UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811- 2402
John Hancock Sovereign Bond Fund
(Exact name of registrant as specified in charter)
601 Congress Street, Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Salvatore Schiavone
Treasurer
601 Congress Street
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-663-4497
Date of fiscal year end: | May 31 |
Date of reporting period: | May 31, 2016 |
ITEM 1. REPORT TO STOCKHOLDERS.
John Hancock
Bond Fund
Annual report 5/31/16
A message to shareholders
Dear shareholder,
The past 12 months marked a challenging stretch for all investors, and the fixed-income markets offered no exception. Three themes dominated headlines for the majority of the period and continue to be sources of concern for investors: global growth, commodity prices, and the direction of interest rates. On the economic front, worries about a slowdown in China pushed the United States to center stage as investors increasingly looked to domestic demand to fuel global growth. Energy prices were highly volatile, plummeting in January to multi-year lows before rebounding to finish at more sustainable levels. As for interest rates, the U.S. Federal Reserve (Fed) finally began in December the long process of normalizing monetary policy by increasing the federal funds rate for the first time in nine years. More rate hikes may be on the horizon, but the United States' position as the one major economy tightening in this environment makes the Fed's job that much more difficult.
Against this backdrop, investors tended to dial down their risk exposure, selling out of equities, high-yield bonds, and emerging markets in favor of the safety of U.S. Treasuries and other less-volatile assets. That trend abruptly reversed course in February, as attractive valuations eventually lured investors back into riskier assets. After period end, the United Kingdom's vote to leave the European Union set off more volatility as investors turned back to safe-haven assets.
These kinds of market swings can be unsettling. We believe the global economy will continue to make gains, but that periods of heightened volatility could likely persist. At John Hancock Investments, portfolio risk management is a critical part of our role as an asset manager and our dedicated risk team is focused on these issues every day. We continually strive for new ways to analyze potential risks and have liquidity tools in place to meet the needs of our fund shareholders. However, your best resource is your financial advisor, who can help ensure your portfolio is sufficiently diversified to meet your long-term objectives and to withstand the inevitable bumps along the way.
On behalf of everyone at John Hancock Investments, I'd like to take this opportunity to thank you for the continued trust you've placed in us.
Sincerely,
Andrew G. Arnott
President and Chief Executive Officer
John Hancock Investments
This commentary reflects the CEO's views as of May 31, 2016. They are subject to change at any time. All investments entail risks, including the possible loss of principal. Diversification does not guarantee a profit or eliminate the risk of a loss. For more up-to-date information, you can visit our website at jhinvestments.com.
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 5/31/16 (%)
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.
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. 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 prospectus.
PERFORMANCE HIGHLIGHTS OVER THE LAST TWELVE MONTHS
The Fed finally began normalizing monetary policy
After seven years of near-zero interest rates, the U.S. Federal Reserve (Fed) began the process of adopting a more neutral stance by increasing the federal funds rate in December 2015.
Global economic weakness and falling energy prices weighed on markets
Markets were subject to heightened volatility as investors traded with a risk-on/risk-off mentality during the period.
The fund gained ground, but trailed its benchmark
The fund posted a positive return for its fiscal year, but trailed its benchmark, the Barclays U.S. Aggregate Bond Index, due mostly to its limited exposure to U.S. Treasuries, which performed well in this environment.
PORTFOLIO COMPOSITION AS OF 5/31/16 (%)
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 may increase a fund's volatility and could produce disproportionate losses, potentially more than the fund's principal investment. 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 Manager 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-CSR/0001145443-16-001942/howardcgreene.jpg)
Howard C. Greene, CFA
Portfolio Manager
John Hancock Asset Management
![jeffreyngiven.jpg](https://capedge.com/proxy/N-CSR/0001145443-16-001942/jeffreyngiven.jpg)
Jeffrey N. Given, CFA
Portfolio Manager
John Hancock Asset Management
The 12 months ended May 31, 2016, represented a challenging period for fixed-income investors. What were some of the key themes driving the market?
There were essentially three themes that drove market performance during the past year: global growth, commodity prices, and interest rates. To begin with rates, all eyes were on the U.S. Federal Reserve (Fed) in late 2015, which, for several months, had been suggesting a change in its near-zero interest-rate policy was imminent. In fact, the Fed finally did raise short-term interest rates by a quarter of one percent in December 2015, and while there has been much speculation about the timing of the Fed's next move, it has held rates steady since then. The Fed's next opportunities to raise rates coincide with its meetings in July and September.
Oil prices, meanwhile, fell precipitously for the first half of the fund's reporting period, falling from over $60 a barrel in June 2015 to less than $30 a barrel in January. Since then, prices have stabilized, rebounding to nearly $50 by the end of May. Low energy prices have been a particular headwind to the high-yield bond market (generally bonds rated BB and lower), given the large number of smaller energy companies that had been issuing debt to expand operations. Many of these companies appeared unlikely to turn a profit with oil prices below $30 or $40 a barrel, and investors were rightly concerned about a potential spike in defaults in the energy sector of the high-yield market if oil prices remained so depressed. However, that fear spread well beyond the energy sector to all of the high-yield market. Most so-called risk assets—including stocks and, to a lesser degree, investment-grade corporate bonds—saw prices rise and fall in concert with changes in the price of oil. While it's impossible to predict where oil and commodity prices will head next, we believe today's levels are more sustainable than the depressed values we saw earlier in the year. Given that scenario, assets could be driven less by fluctuations in commodity prices looking ahead.
Lastly, concern about the strength of the global economy also fueled the risk-on/risk-off environment during the fund's reporting period. China's economic slowdown in particular has been
QUALITY COMPOSITION AS OF 5/31/16 (%)
What positions were the primary detractors from the fund's performance versus its benchmark, the Barclays U.S. Aggregate Bond Index?
The biggest detractor during the period was the fund's underweight position in U.S. Treasuries. The yield curve—a graphical representation comparing the yields of bonds of varying maturities—generally flattened during the period as short-term rates rose and longer-term rates fell. That drop in longer-term rates benefited investors in long-dated Treasury debt, since rates and prices move in opposite directions. The fund's relative performance was also hampered by a limited exposure to duration, which is a measure of a bond or a portfolio's sensitivity to interest-rate changes. Our belief had been that the risks of higher interest rates outweighed the potential rewards offered through exposure to rate-sensitive securities.
The fund's modest positions in high-yield and emerging-market debt also dragged on returns. Although both segments rallied in the final few months of the fund's fiscal year, overall investors' risk aversion during the period caused these two areas of the market to sell off.
The use of derivatives had a negative impact on the fund's performance. Derivatives were used, in part, to manage the fund's duration, which was at 5.18 years at period end, compared with 5.53 years for its benchmark.
What positions helped relative performance?
We increased the fund's allocations to highly rated corporate debt in the financials sector, and those positions fared relatively well during the past 12 months. A small and gradual uptick in interest rates would likely be beneficial for the profitability of financial companies, so that sector has seen some increased demand in anticipation of higher short-term interest rates.
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 gradually improving economy, have generally been fairly low, presenting an attractive investment opportunity.
Given the level of uncertainty in the markets, how are you positioning the portfolio for the next several months?
We're continuing to take a fairly conservative stance in general as we head into the second half of 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. 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 some 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 our primary goal is to offer investors a well-diversified portfolio, in general we prefer credit-driven holdings over rate-sensitive securities, given the incremental yields offered and the potential opportunity for some spread tightening.
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.
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 MAY 31, 2016
Average annual total returns (%) with maximum sales charge | Cumulative total returns (%) with maximum sales charge | SEC 30-day yield (%) subsidized | SEC 30-day yield (%) unsubsidized1 | ||||||||
1-year | 5-year | 10-year | 5-year | 10-year | as of 5-31-16 | as of 5-31-16 | |||||
Class A | -2.48 | 3.49 | 5.76 | 18.74 | 75.09 | 2.63 | 2.58 | ||||
Class B | -4.03 | 3.27 | 5.60 | 17.45 | 72.41 | 2.04 | 1.98 | ||||
Class C | -0.10 | 3.61 | 5.45 | 19.43 | 70.04 | 2.05 | 1.99 | ||||
Class I2 | 1.97 | 4.71 | 6.61 | 25.90 | 89.68 | 3.08 | 3.02 | ||||
Class R22,3 | 1.55 | 4.36 | 6.19 | 23.78 | 82.27 | 2.64 | 2.58 | ||||
Class R42,3 | 1.86 | 4.48 | 6.35 | 24.50 | 85.07 | 2.89 | 2.73 | ||||
Class R62,3 | 2.02 | 4.83 | 6.69 | 26.59 | 91.10 | 3.15 | 3.08 | ||||
Class NAV2,3 | 2.03 | 4.82 | 6.72 | 26.56 | 91.63 | 3.15 | 3.10 | ||||
Index 1† | 3.11 | 3.56 | 5.02 | 19.13 | 63.19 | — | — | ||||
Index 2 | 2.99 | 3.33 | 4.97 | 17.81 | 62.40 | — | — |
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 | 5-31-06 | 17,241 | 17,241 | 16,319 | 16,240 |
Class C4 | 5-31-06 | 17,004 | 17,004 | 16,319 | 16,240 |
Class I2,3 | 5-31-06 | 18,968 | 18,968 | 16,319 | 16,240 |
Class R22,3 | 5-31-06 | 18,227 | 18,227 | 16,319 | 16,240 |
Class R42,3 | 5-31-06 | 18,507 | 18,507 | 16,319 | 16,240 |
Class R62,3 | 5-31-06 | 19,110 | 19,110 | 16,319 | 16,240 |
Class NAV2,3 | 5-31-06 | 19,163 | 19,163 | 16,319 | 16,240 |
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 R2 shares were first offered 3-1-12; Class R4 shares were first offered 3-27-15; Class R6 shares were first offered 9-1-11; Class NAV shares were first offered 8-31-15. Returns prior to these dates are those of Class A shares that have been recalculated to apply the gross fees and expenses of Class R2, Class R4, Class R5, 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 December 1, 2015, with the same investment held until May 31, 2016.
Account value on 12-1-2015 | Ending value on 5-31-2016 | Expenses paid during period ended 5-31-20161 | Annualized expense ratio | |
Class A | $1,000.00 | $1,026.70 | $4.41 | 0.87% |
Class B | 1,000.00 | 1,023.10 | 7.94 | 1.57% |
Class C | 1,000.00 | 1,022.50 | 7.94 | 1.57% |
Class I | 1,000.00 | 1,028.30 | 2.84 | 0.56% |
Class R2 | 1,000.00 | 1,026.20 | 4.91 | 0.97% |
Class R4 | 1,000.00 | 1,027.70 | 3.45 | 0.68% |
Class R6 | 1,000.00 | 1,028.90 | 2.28 | 0.45% |
Class NAV | 1,000.00 | 1,028.30 | 2.28 | 0.45% |
Together with the value of your account, you may use this information to estimate the operating expenses that you paid over the period. Simply divide your account value at May 31, 2016, 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 December 1, 2015, with the same investment held until May 31, 2016. Look in any other fund shareholder report to find its hypothetical example and you will be able to compare these expenses. Please remember that these hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Account value on 12-1-2015 | Ending value on 5-31-2016 | Expenses paid during period ended 5-31-20161 | Annualized expense ratio | |
Class A | $1,000.00 | $1,020.70 | $4.40 | 0.87% |
Class B | 1,000.00 | 1,017.20 | 7.92 | 1.57% |
Class C | 1,000.00 | 1,017.20 | 7.92 | 1.57% |
Class I | 1,000.00 | 1,022.20 | 2.83 | 0.56% |
Class R2 | 1,000.00 | 1,020.20 | 4.90 | 0.97% |
Class R4 | 1,000.00 | 1,021.60 | 3.44 | 0.68% |
Class R6 | 1,000.00 | 1,022.80 | 2.28 | 0.45% |
Class NAV | 1,000.00 | 1,022.80 | 2.28 | 0.45% |
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). |
Fund's investments
As of 5-31-16 | |||||||||||||||||||||||||||||
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Corporate bonds 40.5% | $1,532,257,776 | ||||||||||||||||||||||||||||
(Cost $1,529,036,913) | |||||||||||||||||||||||||||||
Consumer discretionary 5.7% | 215,559,019 | ||||||||||||||||||||||||||||
Auto components 0.6% | |||||||||||||||||||||||||||||
Dana Holding Corp. | 6.000 | 09-15-23 | 4,055,000 | 4,085,413 | |||||||||||||||||||||||||
Delphi Automotive PLC | 4.250 | 01-15-26 | 4,040,000 | 4,292,318 | |||||||||||||||||||||||||
Delphi Corp. | 5.000 | 02-15-23 | 9,440,000 | 10,006,400 | |||||||||||||||||||||||||
Nemak SAB de CV (S) | 5.500 | 02-28-23 | 2,780,000 | 2,870,350 | |||||||||||||||||||||||||
ZF North America Capital, Inc. (S) | 4.750 | 04-29-25 | 2,840,000 | 2,840,000 | |||||||||||||||||||||||||
Automobiles 1.5% | |||||||||||||||||||||||||||||
American Honda Finance Corp. | 1.700 | 02-22-19 | 5,785,000 | 5,835,376 | |||||||||||||||||||||||||
Ford Motor Company | 4.750 | 01-15-43 | 2,030,000 | 2,071,796 | |||||||||||||||||||||||||
Ford Motor Credit Company LLC | 2.551 | 10-05-18 | 3,680,000 | 3,729,224 | |||||||||||||||||||||||||
Ford Motor Credit Company LLC | 5.875 | 08-02-21 | 10,680,000 | 12,144,612 | |||||||||||||||||||||||||
General Motors Company | 4.875 | 10-02-23 | 7,375,000 | 7,831,048 | |||||||||||||||||||||||||
General Motors Company | 6.250 | 10-02-43 | 4,555,000 | 5,024,598 | |||||||||||||||||||||||||
General Motors Financial Company, Inc. | 3.450 | 04-10-22 | 5,030,000 | 4,987,124 | |||||||||||||||||||||||||
General Motors Financial Company, Inc. | 4.000 | 01-15-25 | 6,675,000 | 6,639,329 | |||||||||||||||||||||||||
General Motors Financial Company, Inc. | 5.250 | 03-01-26 | 3,485,000 | 3,749,696 | |||||||||||||||||||||||||
Hyundai Capital America (S) | 2.400 | 10-30-18 | 5,010,000 | 5,057,450 | |||||||||||||||||||||||||
Diversified consumer services 0.1% | |||||||||||||||||||||||||||||
Service Corp. International | 5.375 | 05-15-24 | 3,745,000 | 3,876,075 | |||||||||||||||||||||||||
Hotels, restaurants and leisure 0.3% | |||||||||||||||||||||||||||||
CCM Merger, Inc. (S) | 9.125 | 05-01-19 | 2,775,000 | 2,910,281 | |||||||||||||||||||||||||
Eldorado Resorts, Inc. | 7.000 | 08-01-23 | 1,465,000 | 1,530,925 | |||||||||||||||||||||||||
GLP Capital LP | 5.375 | 04-15-26 | 935,000 | 974,738 | |||||||||||||||||||||||||
International Game Technology PLC (S) | 6.500 | 02-15-25 | 2,200,000 | 2,200,000 | |||||||||||||||||||||||||
Mohegan Tribal Gaming Authority | 9.750 | 09-01-21 | 2,940,000 | 3,098,025 | |||||||||||||||||||||||||
Seminole Tribe of Florida, Inc. (S) | 6.535 | 10-01-20 | 1,964,000 | 2,062,200 | |||||||||||||||||||||||||
Waterford Gaming LLC (H)(S) | 8.625 | 09-15-49 | 372,111 | 0 | |||||||||||||||||||||||||
Household durables 0.2% | |||||||||||||||||||||||||||||
Newell Brands, Inc. | 2.150 | 10-15-18 | 1,975,000 | 1,991,126 | |||||||||||||||||||||||||
Newell Brands, Inc. | 4.200 | 04-01-26 | 3,870,000 | 4,089,328 | |||||||||||||||||||||||||
Internet and catalog retail 0.5% | |||||||||||||||||||||||||||||
Expedia, Inc. (S) | 5.000 | 02-15-26 | 8,441,000 | 8,433,859 | |||||||||||||||||||||||||
QVC, Inc. | 4.375 | 03-15-23 | 3,920,000 | 3,857,543 | |||||||||||||||||||||||||
QVC, Inc. | 5.125 | 07-02-22 | 3,060,000 | 3,224,365 | |||||||||||||||||||||||||
QVC, Inc. | 5.450 | 08-15-34 | 3,500,000 | 3,117,986 | |||||||||||||||||||||||||
Leisure products 0.0% | |||||||||||||||||||||||||||||
Vista Outdoor, Inc. (S) | 5.875 | 10-01-23 | 870,000 | 909,237 | |||||||||||||||||||||||||
Media 1.9% | |||||||||||||||||||||||||||||
Altice Financing SA (S) | 6.500 | 01-15-22 | 1,485,000 | 1,510,988 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Consumer discretionary (continued) | |||||||||||||||||||||||||||||
Media (continued) | |||||||||||||||||||||||||||||
Altice Financing SA (S) | 6.625 | 02-15-23 | 1,890,000 | $1,890,000 | |||||||||||||||||||||||||
Cengage Learning, Inc. (S) | 9.500 | 06-15-24 | 3,800,000 | 3,847,500 | |||||||||||||||||||||||||
Charter Communications Operating LLC (S) | 6.484 | 10-23-45 | 4,720,000 | 5,444,539 | |||||||||||||||||||||||||
Clear Channel Worldwide Holdings, Inc. | 6.500 | 11-15-22 | 2,785,000 | 2,795,444 | |||||||||||||||||||||||||
McGraw-Hill Global Education Holdings LLC (S) | 7.875 | 05-15-24 | 975,000 | 1,016,438 | |||||||||||||||||||||||||
MDC Partners, Inc. (S) | 6.500 | 05-01-24 | 1,590,000 | 1,538,325 | |||||||||||||||||||||||||
Midcontinent Communications (S) | 6.875 | 08-15-23 | 1,695,000 | 1,762,800 | |||||||||||||||||||||||||
Myriad International Holdings BV (S) | 5.500 | 07-21-25 | 2,020,000 | 2,059,390 | |||||||||||||||||||||||||
Omnicom Group, Inc. | 3.600 | 04-15-26 | 3,565,000 | 3,655,483 | |||||||||||||||||||||||||
Radio One, Inc. (S) | 9.250 | 02-15-20 | 3,070,000 | 2,655,550 | |||||||||||||||||||||||||
Scripps Networks Interactive, Inc. | 3.950 | 06-15-25 | 6,130,000 | 6,296,197 | |||||||||||||||||||||||||
Sinclair Television Group, Inc. (S) | 5.625 | 08-01-24 | 4,125,000 | 4,248,750 | |||||||||||||||||||||||||
Sirius XM Radio, Inc. (S) | 5.250 | 08-15-22 | 3,829,000 | 4,030,023 | |||||||||||||||||||||||||
Sirius XM Radio, Inc. (S) | 5.375 | 04-15-25 | 2,735,000 | 2,745,256 | |||||||||||||||||||||||||
Sirius XM Radio, Inc. (S) | 5.375 | 07-15-26 | 4,865,000 | 4,840,675 | |||||||||||||||||||||||||
Time Warner Cable, Inc. | 8.250 | 04-01-19 | 3,940,000 | 4,557,717 | |||||||||||||||||||||||||
Time Warner, Inc. | 3.600 | 07-15-25 | 3,185,000 | 3,303,361 | |||||||||||||||||||||||||
Time Warner, Inc. | 3.875 | 01-15-26 | 7,820,000 | 8,232,184 | |||||||||||||||||||||||||
Time Warner, Inc. | 6.500 | 11-15-36 | 3,329,000 | 4,032,940 | |||||||||||||||||||||||||
Multiline retail 0.1% | |||||||||||||||||||||||||||||
Macy's Retail Holdings, Inc. | 7.875 | 08-15-36 | 3,420,000 | 3,462,849 | |||||||||||||||||||||||||
Specialty retail 0.4% | |||||||||||||||||||||||||||||
AutoNation, Inc. | 4.500 | 10-01-25 | 1,940,000 | 2,007,050 | |||||||||||||||||||||||||
Jo-Ann Stores Holdings, Inc., PIK (S) | 9.750 | 10-15-19 | 4,378,000 | 3,830,750 | |||||||||||||||||||||||||
L Brands, Inc. | 6.625 | 04-01-21 | 5,860,000 | 6,526,575 | |||||||||||||||||||||||||
L Brands, Inc. | 6.875 | 11-01-35 | 2,215,000 | 2,336,825 | |||||||||||||||||||||||||
Textiles, apparel and luxury goods 0.1% | |||||||||||||||||||||||||||||
Hot Topic, Inc. (S) | 9.250 | 06-15-21 | 3,465,000 | 3,490,988 | |||||||||||||||||||||||||
Consumer staples 2.2% | 85,188,102 | ||||||||||||||||||||||||||||
Beverages 0.6% | |||||||||||||||||||||||||||||
Anheuser-Busch InBev Finance, Inc. | 4.900 | 02-01-46 | 12,045,000 | 13,423,333 | |||||||||||||||||||||||||
Constellation Brands, Inc. | 4.250 | 05-01-23 | 3,315,000 | 3,414,450 | |||||||||||||||||||||||||
Constellation Brands, Inc. | 4.750 | 11-15-24 | 1,975,000 | 2,076,219 | |||||||||||||||||||||||||
PepsiCo, Inc. | 1.500 | 02-22-19 | 5,545,000 | 5,562,090 | |||||||||||||||||||||||||
Food and staples retailing 0.8% | |||||||||||||||||||||||||||||
CVS Health Corp. | 2.875 | 06-01-26 | 3,260,000 | 3,241,278 | |||||||||||||||||||||||||
CVS Health Corp. | 5.125 | 07-20-45 | 5,785,000 | 6,715,772 | |||||||||||||||||||||||||
SUPERVALU, Inc. | 7.750 | 11-15-22 | 4,065,000 | 3,531,469 | |||||||||||||||||||||||||
Tops Holding II Corp. | 8.750 | 06-15-18 | 1,075,000 | 951,913 | |||||||||||||||||||||||||
Tops Holding LLC (S) | 8.000 | 06-15-22 | 6,315,000 | 5,572,988 | |||||||||||||||||||||||||
Walgreens Boots Alliance, Inc. | 1.750 | 05-30-18 | 3,055,000 | 3,058,999 | |||||||||||||||||||||||||
Whole Foods Market, Inc. (S) | 5.200 | 12-03-25 | 7,290,000 | 7,579,952 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Consumer staples (continued) | |||||||||||||||||||||||||||||
Food products 0.5% | |||||||||||||||||||||||||||||
Bunge, Ltd. Finance Corp. | 8.500 | 06-15-19 | 3,211,000 | $3,767,020 | |||||||||||||||||||||||||
Kraft Heinz Foods Company (S) | 2.000 | 07-02-18 | 5,605,000 | 5,647,340 | |||||||||||||||||||||||||
Kraft Heinz Foods Company (S) | 4.875 | 02-15-25 | 3,292,000 | 3,592,191 | |||||||||||||||||||||||||
Kraft Heinz Foods Company (S) | 5.200 | 07-15-45 | 3,750,000 | 4,208,100 | |||||||||||||||||||||||||
Post Holdings, Inc. (S) | 7.750 | 03-15-24 | 1,620,000 | 1,753,650 | |||||||||||||||||||||||||
Personal products 0.1% | |||||||||||||||||||||||||||||
Revlon Consumer Products Corp. | 5.750 | 02-15-21 | 2,820,000 | 2,820,000 | |||||||||||||||||||||||||
Tobacco 0.2% | |||||||||||||||||||||||||||||
Alliance One International, Inc. | 9.875 | 07-15-21 | 6,450,000 | 5,659,875 | |||||||||||||||||||||||||
Vector Group, Ltd. | 7.750 | 02-15-21 | 2,505,000 | 2,611,463 | |||||||||||||||||||||||||
Energy 3.0% | 113,150,912 | ||||||||||||||||||||||||||||
Oil, gas and consumable fuels 3.0% | |||||||||||||||||||||||||||||
Cenovus Energy, Inc. | 4.450 | 09-15-42 | 4,810,000 | 3,529,549 | |||||||||||||||||||||||||
Cimarex Energy Company | 4.375 | 06-01-24 | 3,095,000 | 3,153,152 | |||||||||||||||||||||||||
Columbia Pipeline Group, Inc. | 4.500 | 06-01-25 | 6,620,000 | 6,841,293 | |||||||||||||||||||||||||
Continental Resources, Inc. | 5.000 | 09-15-22 | 7,138,000 | 6,745,410 | |||||||||||||||||||||||||
DCP Midstream LLC (S) | 9.750 | 03-15-19 | 3,840,000 | 4,089,600 | |||||||||||||||||||||||||
DCP Midstream LLC (5.850% to 5-21-23, then 3 month LIBOR + 3.850%) (S) | 5.850 | 05-21-43 | 3,375,000 | 2,295,000 | |||||||||||||||||||||||||
DCP Midstream Operating LP | 2.700 | 04-01-19 | 3,805,000 | 3,562,557 | |||||||||||||||||||||||||
DCP Midstream Operating LP | 3.875 | 03-15-23 | 1,960,000 | 1,739,500 | |||||||||||||||||||||||||
Enbridge Energy Partners LP | 4.375 | 10-15-20 | 3,100,000 | 3,127,537 | |||||||||||||||||||||||||
Energy Transfer Partners LP | 5.150 | 03-15-45 | 3,950,000 | 3,354,202 | |||||||||||||||||||||||||
Energy Transfer Partners LP | 9.700 | 03-15-19 | 2,620,000 | 2,930,522 | |||||||||||||||||||||||||
Enterprise Products Operating LLC (8.375% to 8-1-16, then 3 month LIBOR + 3.708%) | 8.375 | 08-01-66 | 5,865,000 | 5,086,204 | |||||||||||||||||||||||||
Kerr-McGee Corp. | 6.950 | 07-01-24 | 3,055,000 | 3,385,951 | |||||||||||||||||||||||||
Kinder Morgan Energy Partners LP | 7.750 | 03-15-32 | 2,130,000 | 2,300,747 | |||||||||||||||||||||||||
Kinder Morgan, Inc. | 5.550 | 06-01-45 | 5,385,000 | 4,952,509 | |||||||||||||||||||||||||
Lukoil International Finance BV (S) | 3.416 | 04-24-18 | 5,040,000 | 5,090,854 | |||||||||||||||||||||||||
MPLX LP | 4.000 | 02-15-25 | 1,435,000 | 1,287,766 | |||||||||||||||||||||||||
MPLX LP (S) | 4.875 | 12-01-24 | 1,575,000 | 1,488,155 | |||||||||||||||||||||||||
Occidental Petroleum Corp. | 3.400 | 04-15-26 | 3,850,000 | 3,914,899 | |||||||||||||||||||||||||
Petroleos Mexicanos | 4.875 | 01-24-22 | 2,975,000 | 2,973,141 | |||||||||||||||||||||||||
Regency Energy Partners LP | 5.000 | 10-01-22 | 940,000 | 920,641 | |||||||||||||||||||||||||
Regency Energy Partners LP | 5.500 | 04-15-23 | 5,895,000 | 5,762,168 | |||||||||||||||||||||||||
Regency Energy Partners LP | 5.875 | 03-01-22 | 865,000 | 881,733 | |||||||||||||||||||||||||
Shell International Finance BV | 4.375 | 05-11-45 | 8,520,000 | 8,784,785 | |||||||||||||||||||||||||
Summit Midstream Holdings LLC | 7.500 | 07-01-21 | 1,585,000 | 1,470,088 | |||||||||||||||||||||||||
Sunoco Logistics Partners Operations LP | 4.400 | 04-01-21 | 4,055,000 | 4,156,282 | |||||||||||||||||||||||||
Teekay Offshore Partners LP | 6.000 | 07-30-19 | 5,115,000 | 3,785,100 | |||||||||||||||||||||||||
Tesoro Logistics LP | 6.125 | 10-15-21 | 5,185,000 | 5,343,765 | |||||||||||||||||||||||||
Tesoro Logistics LP | 6.375 | 05-01-24 | 800,000 | 824,000 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Energy (continued) | |||||||||||||||||||||||||||||
Oil, gas and consumable fuels (continued) | |||||||||||||||||||||||||||||
Williams Partners LP | 4.875 | 05-15-23 | 2,900,000 | $2,648,779 | |||||||||||||||||||||||||
Williams Partners LP | 4.875 | 03-15-24 | 7,440,000 | 6,725,023 | |||||||||||||||||||||||||
Financials 15.3% | 576,887,831 | ||||||||||||||||||||||||||||
Banks 6.7% | |||||||||||||||||||||||||||||
Bank of America Corp. | 3.950 | 04-21-25 | 1,430,000 | 1,427,866 | |||||||||||||||||||||||||
Bank of America Corp. | 4.200 | 08-26-24 | 3,175,000 | 3,242,126 | |||||||||||||||||||||||||
Bank of America Corp. | 4.250 | 10-22-26 | 3,580,000 | 3,633,099 | |||||||||||||||||||||||||
Bank of America Corp. | 4.450 | 03-03-26 | 6,915,000 | 7,137,207 | |||||||||||||||||||||||||
Bank of America Corp. | 6.875 | 04-25-18 | 6,620,000 | 7,225,042 | |||||||||||||||||||||||||
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 | 5,789,306 | |||||||||||||||||||||||||
Bank of America Corp. (6.300% to 3-10-26, then 3 month LIBOR + 4.553%) (Q) | 6.300 | 03-10-26 | 2,705,000 | 2,870,681 | |||||||||||||||||||||||||
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 | 5,563,875 | |||||||||||||||||||||||||
BankUnited, Inc. | 4.875 | 11-17-25 | 5,330,000 | 5,366,201 | |||||||||||||||||||||||||
Barclays Bank PLC (S) | 10.179 | 06-12-21 | 4,710,000 | 5,975,214 | |||||||||||||||||||||||||
Barclays PLC | 4.375 | 01-12-26 | 4,145,000 | 4,223,224 | |||||||||||||||||||||||||
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 | 1,112,213 | |||||||||||||||||||||||||
BPCE SA (S) | 4.500 | 03-15-25 | 4,360,000 | 4,297,983 | |||||||||||||||||||||||||
BPCE SA (S) | 5.700 | 10-22-23 | 4,630,000 | 4,938,418 | |||||||||||||||||||||||||
Citigroup, Inc. | 4.600 | 03-09-26 | 5,490,000 | 5,697,396 | |||||||||||||||||||||||||
Citigroup, Inc. (6.250% to 8-15-26, then 3 month LIBOR + 4.517%) (Q) | 6.250 | 08-15-26 | 6,505,000 | 6,716,413 | |||||||||||||||||||||||||
Commerzbank AG (S) | 8.125 | 09-19-23 | 6,040,000 | 7,068,370 | |||||||||||||||||||||||||
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 | 4,154,800 | |||||||||||||||||||||||||
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 | 5,159,700 | |||||||||||||||||||||||||
Credit Agricole SA (8.125% to 9-19-18, then 5 Year U.S. Swap Rate + 6.283%) (S) | 8.125 | 09-19-33 | 4,540,000 | 4,977,783 | |||||||||||||||||||||||||
Fifth Third Bancorp (5.100% to 6-30-23, then 3 month LIBOR + 3.033%) (Q) | 5.100 | 06-30-23 | 3,980,000 | 3,641,700 | |||||||||||||||||||||||||
HBOS PLC (S) | 6.750 | 05-21-18 | 8,895,000 | 9,565,870 | |||||||||||||||||||||||||
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 | 1,477,763 | |||||||||||||||||||||||||
HSBC Holdings PLC (6.875% to 6-1-21, then 5 Year U.S. ISDAFIX + 5.514%) (Q) | 6.875 | 06-01-21 | 4,575,000 | 4,610,699 | |||||||||||||||||||||||||
ING Bank NV (S) | 5.800 | 09-25-23 | 5,184,000 | 5,720,477 | |||||||||||||||||||||||||
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 | 1,294,109 | |||||||||||||||||||||||||
JPMorgan Chase & Co. | 3.200 | 06-15-26 | 5,645,000 | 5,644,492 | |||||||||||||||||||||||||
JPMorgan Chase & Co. | 4.625 | 05-10-21 | 8,335,000 | 9,155,472 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Banks (continued) | |||||||||||||||||||||||||||||
JPMorgan Chase & Co. (5.300% to 5-1-20, then 3 month LIBOR + 3.800%) (Q) | 5.300 | 05-01-20 | 5,870,000 | $5,914,025 | |||||||||||||||||||||||||
JPMorgan Chase & Co. (6.750% to 2-1-24, then 3 month LIBOR + 3.780%) (Q) | 6.750 | 02-01-24 | 7,940,000 | 8,820,864 | |||||||||||||||||||||||||
Lloyds Banking Group PLC | 4.650 | 03-24-26 | 11,125,000 | 11,260,147 | |||||||||||||||||||||||||
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 | 3,603,988 | |||||||||||||||||||||||||
Manufacturers & Traders Trust Company (5.629% to 12-1-16, then 3 month LIBOR + 6.400%) | 5.629 | 12-01-21 | 5,255,000 | 5,110,488 | |||||||||||||||||||||||||
Mizuho Financial Group Cayman 3, Ltd. (S) | 4.600 | 03-27-24 | 3,525,000 | 3,776,703 | |||||||||||||||||||||||||
Popular, Inc. | 7.000 | 07-01-19 | 2,750,000 | 2,729,375 | |||||||||||||||||||||||||
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 | 7,265,404 | |||||||||||||||||||||||||
Royal Bank of Scotland Group PLC | 4.800 | 04-05-26 | 3,990,000 | 4,112,932 | |||||||||||||||||||||||||
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 | 2,361,000 | |||||||||||||||||||||||||
Santander Holdings USA, Inc. | 2.700 | 05-24-19 | 8,665,000 | 8,673,587 | |||||||||||||||||||||||||
Santander UK Group Holdings PLC (S) | 4.750 | 09-15-25 | 4,125,000 | 4,064,367 | |||||||||||||||||||||||||
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 | 4,718,648 | |||||||||||||||||||||||||
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 | 3,491,700 | |||||||||||||||||||||||||
Sumitomo Mitsui Banking Corp. | 2.450 | 01-10-19 | 7,159,000 | 7,274,682 | |||||||||||||||||||||||||
Synovus Financial Corp. | 7.875 | 02-15-19 | 1,620,000 | 1,798,200 | |||||||||||||||||||||||||
The PNC Financial Services Group, Inc. (4.850% to 6-1-23, then 3 month LIBOR + 3.040%) (Q) | 4.850 | 06-01-23 | 4,415,000 | 4,238,400 | |||||||||||||||||||||||||
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 | 6,191,063 | |||||||||||||||||||||||||
Wells Fargo & Company | 4.650 | 11-04-44 | 1,815,000 | 1,876,300 | |||||||||||||||||||||||||
Wells Fargo & Company (5.875% to 6-15-25, then 3 month LIBOR + 3.990%) (Q) | 5.875 | 06-15-25 | 5,945,000 | 6,361,150 | |||||||||||||||||||||||||
Wells Fargo & Company (5.900% to 6-15-24, then 3 month LIBOR + 3.110%) (Q) | 5.900 | 06-15-24 | 5,895,000 | 6,109,873 | |||||||||||||||||||||||||
Wells Fargo & Company, Series K (7.980% to 3-15-18, then 3 month LIBOR + 3.770%) (Q) | 7.980 | 03-15-18 | 4,072,000 | 4,285,780 | |||||||||||||||||||||||||
Wells Fargo Bank NA | 5.850 | 02-01-37 | 1,990,000 | 2,408,336 | |||||||||||||||||||||||||
Capital markets 1.9% | |||||||||||||||||||||||||||||
Ares Capital Corp. | 3.875 | 01-15-20 | 4,760,000 | 4,868,142 | |||||||||||||||||||||||||
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 | 3,070,000 | 3,154,425 | |||||||||||||||||||||||||
Deutsche Bank AG | 4.500 | 04-01-25 | 2,355,000 | 2,184,762 | |||||||||||||||||||||||||
FS Investment Corp. | 4.000 | 07-15-19 | 5,040,000 | 5,036,749 | |||||||||||||||||||||||||
Jefferies Group LLC | 6.875 | 04-15-21 | 6,225,000 | 6,988,509 | |||||||||||||||||||||||||
Jefferies Group LLC | 8.500 | 07-15-19 | 2,660,000 | 3,033,557 | |||||||||||||||||||||||||
Macquarie Bank, Ltd. (S) | 4.875 | 06-10-25 | 5,565,000 | 5,658,882 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Capital markets (continued) | |||||||||||||||||||||||||||||
Morgan Stanley | 2.450 | 02-01-19 | 3,070,000 | $3,111,906 | |||||||||||||||||||||||||
Morgan Stanley | 3.875 | 01-27-26 | 3,200,000 | 3,344,042 | |||||||||||||||||||||||||
Morgan Stanley | 5.500 | 01-26-20 | 4,735,000 | 5,243,416 | |||||||||||||||||||||||||
Morgan Stanley | 7.300 | 05-13-19 | 9,090,000 | 10,404,723 | |||||||||||||||||||||||||
Morgan Stanley (5.550% to 7-15-20, then 3 month LIBOR + 3.810%) (Q) | 5.550 | 07-15-20 | 3,445,000 | 3,445,000 | |||||||||||||||||||||||||
Stifel Financial Corp. | 4.250 | 07-18-24 | 3,325,000 | 3,318,852 | |||||||||||||||||||||||||
The Bear Stearns Companies LLC | 7.250 | 02-01-18 | 3,640,000 | 3,967,189 | |||||||||||||||||||||||||
The Goldman Sachs Group, Inc. | 2.000 | 04-25-19 | 3,185,000 | 3,192,510 | |||||||||||||||||||||||||
The Goldman Sachs Group, Inc. | 3.750 | 05-22-25 | 4,055,000 | 4,173,272 | |||||||||||||||||||||||||
The Goldman Sachs Group, Inc. | 4.750 | 10-21-45 | 2,065,000 | 2,204,873 | |||||||||||||||||||||||||
Consumer finance 1.5% | |||||||||||||||||||||||||||||
Ally Financial, Inc. | 3.250 | 11-05-18 | 3,775,000 | 3,760,844 | |||||||||||||||||||||||||
Ally Financial, Inc. | 5.125 | 09-30-24 | 8,440,000 | 8,703,750 | |||||||||||||||||||||||||
American Express Company | 3.625 | 12-05-24 | 20,000 | 20,160 | |||||||||||||||||||||||||
Capital One Financial Corp. | 2.450 | 04-24-19 | 3,220,000 | 3,248,661 | |||||||||||||||||||||||||
Capital One Financial Corp. | 4.200 | 10-29-25 | 4,945,000 | 5,052,203 | |||||||||||||||||||||||||
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 | 4,188,950 | |||||||||||||||||||||||||
Capital One NA | 2.350 | 08-17-18 | 3,820,000 | 3,857,803 | |||||||||||||||||||||||||
Credit Acceptance Corp. | 6.125 | 02-15-21 | 4,420,000 | 4,265,300 | |||||||||||||||||||||||||
Credito Real SAB de CV (S) | 7.500 | 03-13-19 | 4,310,000 | 4,454,855 | |||||||||||||||||||||||||
Discover Bank | 2.600 | 11-13-18 | 5,530,000 | 5,562,306 | |||||||||||||||||||||||||
Discover Financial Services | 3.950 | 11-06-24 | 4,810,000 | 4,883,641 | |||||||||||||||||||||||||
Discover Financial Services | 5.200 | 04-27-22 | 4,795,000 | 5,182,920 | |||||||||||||||||||||||||
Enova International, Inc. | 9.750 | 06-01-21 | 4,300,000 | 3,289,500 | |||||||||||||||||||||||||
Diversified financial services 0.9% | |||||||||||||||||||||||||||||
Doric Nimrod Air Alpha 2013-1 Class A Pass Through Trust (S) | 5.250 | 05-30-25 | 2,655,427 | 2,705,216 | |||||||||||||||||||||||||
Doric Nimrod Air Alpha 2013-1 Class B Pass Through Trust (S) | 6.125 | 11-30-21 | 1,202,774 | 1,217,808 | |||||||||||||||||||||||||
Doric Nimrod Air Finance Alpha, Ltd. 2012-1 Class A Pass Through Trust (S) | 5.125 | 11-30-24 | 2,706,710 | 2,747,996 | |||||||||||||||||||||||||
Leucadia National Corp. | 5.500 | 10-18-23 | 6,320,000 | 6,333,828 | |||||||||||||||||||||||||
NewStar Financial, Inc. | 7.250 | 05-01-20 | 6,120,000 | 5,691,600 | |||||||||||||||||||||||||
S&P Global, Inc. | 4.000 | 06-15-25 | 5,655,000 | 6,035,802 | |||||||||||||||||||||||||
S&P Global, Inc. | 4.400 | 02-15-26 | 3,725,000 | 4,083,725 | |||||||||||||||||||||||||
Voya Financial, Inc. (5.650% to 5-15-23, then 3 month LIBOR + 3.580%) | 5.650 | 05-15-53 | 5,348,000 | 5,020,702 | |||||||||||||||||||||||||
Insurance 1.7% | |||||||||||||||||||||||||||||
Aquarius & Investments PLC (6.375% to 9-1-19, then 5 Year U.S. Swap Rate + 5.210%) | 6.375 | 09-01-24 | 5,275,000 | 5,539,610 | |||||||||||||||||||||||||
Assured Guaranty US Holdings, Inc. | 5.000 | 07-01-24 | 6,030,000 | 6,445,527 | |||||||||||||||||||||||||
AXA SA | 8.600 | 12-15-30 | 2,905,000 | 3,893,281 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Insurance (continued) | |||||||||||||||||||||||||||||
AXA SA (6.379% to 12-14-36, then 3 month LIBOR + 2.256%) (Q)(S) | 6.379 | 12-14-36 | 1,725,000 | $1,822,031 | |||||||||||||||||||||||||
CNA Financial Corp. | 7.250 | 11-15-23 | 2,320,000 | 2,786,503 | |||||||||||||||||||||||||
CNO Financial Group, Inc. | 5.250 | 05-30-25 | 5,545,000 | 5,711,350 | |||||||||||||||||||||||||
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 | 5,337,150 | |||||||||||||||||||||||||
MetLife, Inc. | 6.400 | 12-15-66 | 3,710,000 | 3,983,650 | |||||||||||||||||||||||||
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 | 4,104,588 | |||||||||||||||||||||||||
Pacific LifeCorp. (S) | 6.000 | 02-10-20 | 2,795,000 | 3,100,692 | |||||||||||||||||||||||||
Prudential Financial, Inc. (5.200% to 3-15-24, then 3 month LIBOR + 3.040%) | 5.200 | 03-15-44 | 3,120,000 | 3,123,120 | |||||||||||||||||||||||||
Prudential Financial, Inc. (5.875% to 9-15-22, then 3 month LIBOR + 4.175%) | 5.875 | 09-15-42 | 3,085,000 | 3,343,369 | |||||||||||||||||||||||||
Teachers Insurance & Annuity Association of America (S) | 6.850 | 12-16-39 | 5,745,000 | 7,453,362 | |||||||||||||||||||||||||
The Hartford Financial Services Group, Inc. (8.125% to 6-15-18, then 3 month LIBOR + 4.603%) | 8.125 | 06-15-68 | 5,820,000 | 6,300,150 | |||||||||||||||||||||||||
Real estate investment trusts 2.1% | |||||||||||||||||||||||||||||
American Tower Corp. | 3.400 | 02-15-19 | 3,485,000 | 3,610,244 | |||||||||||||||||||||||||
American Tower Corp. | 4.700 | 03-15-22 | 3,420,000 | 3,709,653 | |||||||||||||||||||||||||
Corrections Corp. of America | 4.625 | 05-01-23 | 3,270,000 | 3,319,050 | |||||||||||||||||||||||||
Corrections Corp. of America | 5.000 | 10-15-22 | 1,330,000 | 1,396,500 | |||||||||||||||||||||||||
Crown Castle International Corp. | 4.450 | 02-15-26 | 4,100,000 | 4,361,170 | |||||||||||||||||||||||||
Crown Castle Towers LLC (S) | 4.883 | 08-15-40 | 4,330,000 | 4,666,224 | |||||||||||||||||||||||||
Crown Castle Towers LLC (S) | 6.113 | 01-15-40 | 5,842,000 | 6,453,914 | |||||||||||||||||||||||||
DDR Corp. | 7.500 | 04-01-17 | 5,575,000 | 5,837,532 | |||||||||||||||||||||||||
Highwoods Realty LP | 5.850 | 03-15-17 | 3,130,000 | 3,226,345 | |||||||||||||||||||||||||
Iron Mountain, Inc. | 5.750 | 08-15-24 | 4,900,000 | 4,900,000 | |||||||||||||||||||||||||
Iron Mountain, Inc. | 6.000 | 08-15-23 | 4,735,000 | 4,948,075 | |||||||||||||||||||||||||
iStar, Inc. | 5.000 | 07-01-19 | 1,250,000 | 1,187,500 | |||||||||||||||||||||||||
MPT Operating Partnership LP | 6.375 | 02-15-22 | 2,750,000 | 2,880,928 | |||||||||||||||||||||||||
MPT Operating Partnership LP | 6.875 | 05-01-21 | 2,175,000 | 2,252,213 | |||||||||||||||||||||||||
Omega Healthcare Investors, Inc. | 4.500 | 01-15-25 | 3,430,000 | 3,334,059 | |||||||||||||||||||||||||
Omega Healthcare Investors, Inc. | 4.950 | 04-01-24 | 3,530,000 | 3,587,108 | |||||||||||||||||||||||||
Omega Healthcare Investors, Inc. | 5.250 | 01-15-26 | 2,015,000 | 2,068,093 | |||||||||||||||||||||||||
Ventas Realty LP | 3.500 | 02-01-25 | 7,180,000 | 7,183,188 | |||||||||||||||||||||||||
Ventas Realty LP | 3.750 | 05-01-24 | 2,595,000 | 2,650,040 | |||||||||||||||||||||||||
VEREIT Operating Partnership LP | 4.600 | 02-06-24 | 5,895,000 | 5,931,844 | |||||||||||||||||||||||||
Welltower, Inc. | 3.750 | 03-15-23 | 1,995,000 | 2,021,402 | |||||||||||||||||||||||||
Thrifts and mortgage finance 0.5% | |||||||||||||||||||||||||||||
Nationstar Mortgage LLC | 6.500 | 07-01-21 | 3,400,000 | 2,943,108 | |||||||||||||||||||||||||
Nationstar Mortgage LLC | 7.875 | 10-01-20 | 3,593,000 | 3,404,368 | |||||||||||||||||||||||||
Nationstar Mortgage LLC | 9.625 | 05-01-19 | 2,160,000 | 2,254,500 |
�� | |||||||||||||||||||||||||||||
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Financials (continued) | |||||||||||||||||||||||||||||
Thrifts and mortgage finance (continued) | |||||||||||||||||||||||||||||
Quicken Loans, Inc. (S) | 5.750 | 05-01-25 | 2,940,000 | $2,785,650 | |||||||||||||||||||||||||
Radian Group, Inc. | 5.250 | 06-15-20 | 2,445,000 | 2,493,900 | |||||||||||||||||||||||||
Radian Group, Inc. | 7.000 | 03-15-21 | 1,190,000 | 1,261,400 | |||||||||||||||||||||||||
Stearns Holdings LLC (S) | 9.375 | 08-15-20 | 1,590,000 | 1,502,550 | |||||||||||||||||||||||||
Health care 2.4% | 91,756,752 | ||||||||||||||||||||||||||||
Biotechnology 0.3% | |||||||||||||||||||||||||||||
AbbVie, Inc. | 3.600 | 05-14-25 | 6,565,000 | 6,726,985 | |||||||||||||||||||||||||
Celgene Corp. | 5.000 | 08-15-45 | 6,025,000 | 6,399,635 | |||||||||||||||||||||||||
Health care equipment and supplies 0.3% | |||||||||||||||||||||||||||||
Medtronic, Inc. | 4.625 | 03-15-45 | 4,120,000 | 4,608,665 | |||||||||||||||||||||||||
Zimmer Biomet Holdings, Inc. | 3.550 | 04-01-25 | 5,300,000 | 5,374,030 | |||||||||||||||||||||||||
Health care providers and services 1.3% | |||||||||||||||||||||||||||||
Centene Corp. (S) | 6.125 | 02-15-24 | 1,510,000 | 1,590,226 | |||||||||||||||||||||||||
Covenant Surgical Partners, Inc. (S) | 8.750 | 08-01-19 | 1,663,000 | 1,584,008 | |||||||||||||||||||||||||
Express Scripts Holding Company | 4.500 | 02-25-26 | 7,585,000 | 8,119,356 | |||||||||||||||||||||||||
Fresenius US Finance II, Inc. (S) | 4.500 | 01-15-23 | 1,880,000 | 1,936,400 | |||||||||||||||||||||||||
HCA, Inc. | 5.250 | 04-15-25 | 4,030,000 | 4,150,900 | |||||||||||||||||||||||||
HCA, Inc. | 5.250 | 06-15-26 | 785,000 | 806,588 | |||||||||||||||||||||||||
HCA, Inc. | 7.500 | 02-15-22 | 3,260,000 | 3,696,025 | |||||||||||||||||||||||||
LifePoint Health, Inc. (S) | 5.375 | 05-01-24 | 3,755,000 | 3,769,081 | |||||||||||||||||||||||||
Medco Health Solutions, Inc. | 7.125 | 03-15-18 | 2,880,000 | 3,145,798 | |||||||||||||||||||||||||
MEDNAX, Inc. (S) | 5.250 | 12-01-23 | 750,000 | 767,348 | |||||||||||||||||||||||||
Molina Healthcare, Inc. (S) | 5.375 | 11-15-22 | 3,545,000 | 3,540,675 | |||||||||||||||||||||||||
Select Medical Corp. | 6.375 | 06-01-21 | 5,020,000 | 4,831,750 | |||||||||||||||||||||||||
UnitedHealth Group, Inc. | 1.450 | 07-17-17 | 4,965,000 | 4,986,300 | |||||||||||||||||||||||||
Universal Health Services, Inc. (S) | 4.750 | 08-01-22 | 3,200,000 | 3,256,000 | |||||||||||||||||||||||||
WellCare Health Plans, Inc. | 5.750 | 11-15-20 | 1,945,000 | 2,015,506 | |||||||||||||||||||||||||
Pharmaceuticals 0.5% | |||||||||||||||||||||||||||||
Actavis Funding SCS | 3.800 | 03-15-25 | 3,915,000 | 3,968,906 | |||||||||||||||||||||||||
Mylan NV (S) | 2.500 | 06-07-19 | 3,495,000 | 3,491,086 | |||||||||||||||||||||||||
Mylan NV (S) | 3.950 | 06-15-26 | 11,730,000 | 11,639,796 | |||||||||||||||||||||||||
Quintiles Transnational Corp. (S) | 4.875 | 05-15-23 | 1,335,000 | 1,351,688 | |||||||||||||||||||||||||
Industrials 5.5% | 207,898,852 | ||||||||||||||||||||||||||||
Aerospace and defense 0.9% | |||||||||||||||||||||||||||||
AerCap Ireland Capital, Ltd. | 4.625 | 10-30-20 | 1,225,000 | 1,267,875 | |||||||||||||||||||||||||
Huntington Ingalls Industries, Inc. (S) | 5.000 | 12-15-21 | 4,055,000 | 4,267,888 | |||||||||||||||||||||||||
Huntington Ingalls Industries, Inc. (S) | 5.000 | 11-15-25 | 850,000 | 892,500 | |||||||||||||||||||||||||
Lockheed Martin Corp. | 2.900 | 03-01-25 | 4,771,000 | 4,830,399 | |||||||||||||||||||||||||
Lockheed Martin Corp. | 4.700 | 05-15-46 | 3,480,000 | 3,892,718 | |||||||||||||||||||||||||
Textron Financial Corp. (6.000% to 2-15-17, then 3 month LIBOR + 1.735%) (S) | 6.000 | 02-15-67 | 9,625,000 | 6,208,125 | |||||||||||||||||||||||||
Textron, Inc. | 3.875 | 03-01-25 | 2,465,000 | 2,515,202 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Industrials (continued) | |||||||||||||||||||||||||||||
Aerospace and defense (continued) | |||||||||||||||||||||||||||||
Textron, Inc. | 4.000 | 03-15-26 | 5,345,000 | $5,475,482 | |||||||||||||||||||||||||
Textron, Inc. | 5.600 | 12-01-17 | 2,195,000 | 2,298,918 | |||||||||||||||||||||||||
Textron, Inc. | 7.250 | 10-01-19 | 2,230,000 | 2,547,947 | |||||||||||||||||||||||||
Air freight and logistics 0.2% | |||||||||||||||||||||||||||||
XPO Logistics, Inc. (S) | 6.500 | 06-15-22 | 6,235,000 | 5,985,600 | |||||||||||||||||||||||||
Airlines 1.8% | |||||||||||||||||||||||||||||
Air Canada 2013-1 Class C Pass Through Trust (S) | 6.625 | 05-15-18 | 4,450,000 | 4,577,938 | |||||||||||||||||||||||||
America West Airlines 2000-1 Pass Through Trust | 8.057 | 01-02-22 | 396,329 | 441,907 | |||||||||||||||||||||||||
American Airlines 2011-1 Class B Pass Through Trust (S) | 7.000 | 07-31-19 | 5,495,356 | 5,728,908 | |||||||||||||||||||||||||
American Airlines 2013-2 Class A Pass Through Trust | 4.950 | 07-15-24 | 3,730,297 | 4,010,069 | |||||||||||||||||||||||||
American Airlines 2013-2 Class B Pass Through Trust (S) | 5.600 | 01-15-22 | 1,398,572 | 1,437,033 | |||||||||||||||||||||||||
American Airlines 2015-1 Class B Pass Through Trust | 3.700 | 11-01-24 | 5,603,975 | 5,494,697 | |||||||||||||||||||||||||
American Airlines 2016-1 Class A Pass Through Trust | 4.100 | 07-15-29 | 2,320,000 | 2,430,200 | |||||||||||||||||||||||||
British Airways 2013-1 Class A Pass Through Trust (S) | 4.625 | 06-20-24 | 6,565,084 | 6,926,164 | |||||||||||||||||||||||||
British Airways 2013-1 Class B Pass Through Trust (S) | 5.625 | 12-20-21 | 1,795,393 | 1,867,209 | |||||||||||||||||||||||||
Continental Airlines 1997-4 Class A Pass Through Trust | 6.900 | 07-02-19 | 525,685 | 536,514 | |||||||||||||||||||||||||
Continental Airlines 1998-1 Class A Pass Through Trust | 6.648 | 03-15-19 | 125,538 | 128,752 | |||||||||||||||||||||||||
Continental Airlines 1999-1 Class A Pass Through Trust | 6.545 | 08-02-20 | 769,092 | 814,314 | |||||||||||||||||||||||||
Continental Airlines 2000-2 Class B Pass Through Trust | 8.307 | 10-02-19 | 80,605 | 85,845 | |||||||||||||||||||||||||
Continental Airlines 2007-1 Class A Pass Through Trust | 5.983 | 10-19-23 | 3,483,352 | 3,879,758 | |||||||||||||||||||||||||
Continental Airlines 2012-1 Class B Pass Through Trust | 6.250 | 10-11-21 | 1,217,898 | 1,287,927 | |||||||||||||||||||||||||
Delta Air Lines 2002-1 Class G-1 Pass Through Trust | 6.718 | 07-02-24 | 4,179,575 | 4,759,491 | |||||||||||||||||||||||||
Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200 | 01-02-20 | 656,219 | 703,008 | |||||||||||||||||||||||||
Delta Air Lines 2011-1 Class A Pass Through Trust | 5.300 | 10-15-20 | 1,051,479 | 1,119,825 | |||||||||||||||||||||||||
Northwest Airlines 2007-1 Class A Pass Through Trust | 7.027 | 05-01-21 | 2,259,131 | 2,514,639 | |||||||||||||||||||||||||
UAL 2009-1 Pass Through Trust | 10.400 | 05-01-18 | 153,017 | 159,138 | |||||||||||||||||||||||||
UAL 2009-2A Pass Through Trust | 9.750 | 07-15-18 | 765,953 | 796,591 | |||||||||||||||||||||||||
United Airlines 2014-2 Class A Pass Through Trust | 3.750 | 03-03-28 | 4,670,045 | 4,810,146 | |||||||||||||||||||||||||
United Airlines 2014-2 Class B Pass Through Trust | 4.625 | 03-03-24 | 5,020,998 | 5,046,103 | |||||||||||||||||||||||||
US Airways 2010-1 Class A Pass Through Trust | 6.250 | 10-22-24 | 3,377,357 | 3,748,867 | |||||||||||||||||||||||||
US Airways 2012-1 Class A Pass Through Trust | 5.900 | 04-01-26 | 2,798,057 | 3,177,193 | |||||||||||||||||||||||||
Building products 0.3% | |||||||||||||||||||||||||||||
Builders FirstSource, Inc. (S) | 10.750 | 08-15-23 | 2,510,000 | 2,729,625 | |||||||||||||||||||||||||
Masco Corp. | 4.375 | 04-01-26 | 2,475,000 | 2,561,625 | |||||||||||||||||||||||||
Masco Corp. | 4.450 | 04-01-25 | 3,230,000 | 3,351,125 | |||||||||||||||||||||||||
Owens Corning | 4.200 | 12-15-22 | 4,330,000 | 4,463,433 | |||||||||||||||||||||||||
Commercial services and supplies 0.2% | |||||||||||||||||||||||||||||
Casella Waste Systems, Inc. | 7.750 | 02-15-19 | 2,945,000 | 3,007,581 | |||||||||||||||||||||||||
Prime Security Services Borrower LLC (S) | 9.250 | 05-15-23 | 1,675,000 | 1,746,188 | |||||||||||||||||||||||||
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 | 4,955,000 | 4,967,388 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Industrials (continued) | |||||||||||||||||||||||||||||
Electrical equipment 0.0% | |||||||||||||||||||||||||||||
EnerSys (S) | 5.000 | 04-30-23 | 1,095,000 | $1,088,156 | |||||||||||||||||||||||||
Industrial conglomerates 0.4% | |||||||||||||||||||||||||||||
General Electric Company (P) | 1.106 | 08-15-36 | 3,180,000 | 2,661,113 | |||||||||||||||||||||||||
General Electric Company (5.000% to 1-21-21, then 3 month LIBOR + 3.330%) (Q) | 5.000 | 01-21-21 | 10,613,000 | 11,101,198 | |||||||||||||||||||||||||
Odebrecht Finance, Ltd. (S) | 7.125 | 06-26-42 | 2,720,000 | 945,200 | |||||||||||||||||||||||||
Odebrecht Finance, Ltd. (Q)(S) | 7.500 | 07-11-16 | 1,105,000 | 386,750 | |||||||||||||||||||||||||
Machinery 0.2% | |||||||||||||||||||||||||||||
Optimas OE Solutions Holding LLC (S) | 8.625 | 06-01-21 | 1,240,000 | 930,000 | |||||||||||||||||||||||||
SPL Logistics Escrow LLC (S) | 8.875 | 08-01-20 | 1,871,000 | 1,464,058 | |||||||||||||||||||||||||
Trinity Industries, Inc. | 4.550 | 10-01-24 | 6,475,000 | 5,992,975 | |||||||||||||||||||||||||
Professional services 0.2% | |||||||||||||||||||||||||||||
Verisk Analytics, Inc. | 4.000 | 06-15-25 | 8,200,000 | 8,338,145 | |||||||||||||||||||||||||
Road and rail 0.2% | |||||||||||||||||||||||||||||
Penske Truck Leasing Company LP (S) | 3.375 | 02-01-22 | 6,395,000 | 6,363,837 | |||||||||||||||||||||||||
Trading companies and distributors 0.9% | |||||||||||||||||||||||||||||
Ahern Rentals, Inc. (S) | 7.375 | 05-15-23 | 4,675,000 | 3,459,500 | |||||||||||||||||||||||||
Air Lease Corp. | 3.375 | 01-15-19 | 4,515,000 | 4,599,656 | |||||||||||||||||||||||||
Air Lease Corp. | 3.875 | 04-01-21 | 2,950,000 | 3,044,282 | |||||||||||||||||||||||||
Air Lease Corp. | 4.750 | 03-01-20 | 2,125,000 | 2,268,438 | |||||||||||||||||||||||||
Air Lease Corp. | 5.625 | 04-01-17 | 2,625,000 | 2,700,889 | |||||||||||||||||||||||||
Aircastle, Ltd. | 5.500 | 02-15-22 | 2,485,000 | 2,621,675 | |||||||||||||||||||||||||
Aircastle, Ltd. | 6.250 | 12-01-19 | 1,760,000 | 1,925,000 | |||||||||||||||||||||||||
Aircastle, Ltd. | 7.625 | 04-15-20 | 1,440,000 | 1,633,500 | |||||||||||||||||||||||||
Ashtead Capital, Inc. (S) | 5.625 | 10-01-24 | 1,855,000 | 1,873,550 | |||||||||||||||||||||||||
International Lease Finance Corp. (S) | 7.125 | 09-01-18 | 3,720,000 | 4,092,000 | |||||||||||||||||||||||||
United Rentals North America, Inc. | 5.500 | 07-15-25 | 3,120,000 | 3,061,500 | |||||||||||||||||||||||||
United Rentals North America, Inc. | 5.750 | 11-15-24 | 3,270,000 | 3,278,175 | |||||||||||||||||||||||||
Transportation infrastructure 0.1% | |||||||||||||||||||||||||||||
Florida East Coast Holdings Corp. (S) | 6.750 | 05-01-19 | 2,660,000 | 2,653,350 | |||||||||||||||||||||||||
Information technology 2.3% | 87,994,054 | ||||||||||||||||||||||||||||
Electronic equipment, instruments and components 0.4% | |||||||||||||||||||||||||||||
Diamond 1 Finance Corp. (S) | 6.020 | 06-15-26 | 10,800,000 | 10,897,643 | |||||||||||||||||||||||||
Zebra Technologies Corp. | 7.250 | 10-15-22 | 2,705,000 | 2,884,206 | |||||||||||||||||||||||||
Internet software and services 0.5% | |||||||||||||||||||||||||||||
Ancestry.com Holdings LLC, PIK (S) | 9.625 | 10-15-18 | 1,985,000 | 2,022,219 | |||||||||||||||||||||||||
Ancestry.com, Inc. | 11.000 | 12-15-20 | 2,680,000 | 2,894,400 | |||||||||||||||||||||||||
eBay, Inc. | 2.500 | 03-09-18 | 3,030,000 | 3,075,532 | |||||||||||||||||||||||||
eBay, Inc. | 3.800 | 03-09-22 | 3,800,000 | 3,945,023 | |||||||||||||||||||||||||
Match Group, Inc. (S) | 6.375 | 06-01-24 | 960,000 | 979,200 | |||||||||||||||||||||||||
Rackspace Hosting, Inc. (S) | 6.500 | 01-15-24 | 4,375,000 | 4,375,000 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Information technology (continued) | |||||||||||||||||||||||||||||
Internet software and services (continued) | |||||||||||||||||||||||||||||
VeriSign, Inc. | 5.250 | 04-01-25 | 3,145,000 | $3,200,038 | |||||||||||||||||||||||||
IT services 0.4% | |||||||||||||||||||||||||||||
Sixsigma Networks Mexico SA de CV (S) | 8.250 | 11-07-21 | 2,870,000 | 2,783,900 | |||||||||||||||||||||||||
Visa, Inc. | 3.150 | 12-14-25 | 6,135,000 | 6,364,148 | |||||||||||||||||||||||||
Visa, Inc. | 4.300 | 12-14-45 | 6,395,000 | 7,053,915 | |||||||||||||||||||||||||
Semiconductors and semiconductor equipment 0.3% | |||||||||||||||||||||||||||||
Lam Research Corp. (C) | 3.900 | 06-15-26 | 2,325,000 | 2,357,199 | |||||||||||||||||||||||||
Micron Technology, Inc. | 5.875 | 02-15-22 | 3,150,000 | 2,866,500 | |||||||||||||||||||||||||
Micron Technology, Inc. (S) | 7.500 | 09-15-23 | 1,825,000 | 1,916,250 | |||||||||||||||||||||||||
Qorvo, Inc. (S) | 6.750 | 12-01-23 | 1,910,000 | 1,967,300 | |||||||||||||||||||||||||
Qorvo, Inc. (S) | 7.000 | 12-01-25 | 1,660,000 | 1,718,100 | |||||||||||||||||||||||||
Software 0.7% | |||||||||||||||||||||||||||||
Activision Blizzard, Inc. (S) | 6.125 | 09-15-23 | 4,660,000 | 5,073,575 | |||||||||||||||||||||||||
Electronic Arts, Inc. | 4.800 | 03-01-26 | 10,105,000 | 10,643,980 | |||||||||||||||||||||||||
Microsoft Corp. | 4.450 | 11-03-45 | 6,935,000 | 7,724,376 | |||||||||||||||||||||||||
Open Text Corp. (S) | 5.875 | 06-01-26 | 1,590,000 | 1,593,975 | |||||||||||||||||||||||||
Technology hardware, storage and peripherals 0.0% | |||||||||||||||||||||||||||||
Western Digital Corp. (S) | 7.375 | 04-01-23 | 1,590,000 | 1,657,575 | |||||||||||||||||||||||||
Materials 1.2% | 44,657,288 | ||||||||||||||||||||||||||||
Chemicals 0.6% | |||||||||||||||||||||||||||||
Braskem Finance, Ltd. (S) | 7.000 | 05-07-20 | 5,150,000 | 5,343,125 | |||||||||||||||||||||||||
Incitec Pivot Finance LLC (S) | 6.000 | 12-10-19 | 2,025,000 | 2,185,408 | |||||||||||||||||||||||||
NOVA Chemicals Corp. (S) | 5.000 | 05-01-25 | 5,525,000 | 5,455,938 | |||||||||||||||||||||||||
Platform Specialty Products Corp. (S) | 6.500 | 02-01-22 | 6,160,000 | 5,467,000 | |||||||||||||||||||||||||
Rain CII Carbon LLC (S) | 8.250 | 01-15-21 | 3,800,000 | 2,916,500 | |||||||||||||||||||||||||
The Chemours Company | 6.625 | 05-15-23 | 1,477,000 | 1,325,608 | |||||||||||||||||||||||||
Construction materials 0.1% | |||||||||||||||||||||||||||||
Cemex SAB de CV (S) | 6.125 | 05-05-25 | 3,400,000 | 3,306,500 | |||||||||||||||||||||||||
Containers and packaging 0.1% | |||||||||||||||||||||||||||||
Ardagh Finance Holdings SA, PIK (S) | 8.625 | 06-15-19 | 2,720,772 | 2,802,395 | |||||||||||||||||||||||||
Ardagh Packaging Finance PLC (S) | 7.250 | 05-15-24 | 1,085,000 | 1,103,988 | |||||||||||||||||||||||||
Metals and mining 0.3% | |||||||||||||||||||||||||||||
Allegheny Technologies, Inc. | 9.375 | 06-01-19 | 6,195,000 | 6,148,538 | |||||||||||||||||||||||||
ArcelorMittal | 10.850 | 06-01-19 | 3,005,000 | 3,538,388 | |||||||||||||||||||||||||
Commercial Metals Company | 7.350 | 08-15-18 | 2,540,000 | 2,692,400 | |||||||||||||||||||||||||
Paper and forest products 0.1% | |||||||||||||||||||||||||||||
Norbord, Inc. (S) | 6.250 | 04-15-23 | 2,325,000 | 2,371,500 | |||||||||||||||||||||||||
Telecommunication services 1.7% | 65,007,803 | ||||||||||||||||||||||||||||
Diversified telecommunication services 1.1% | |||||||||||||||||||||||||||||
AT&T, Inc. | 4.750 | 05-15-46 | 3,260,000 | 3,232,486 |
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 | $1,598,581 | |||||||||||||||||||||||||
Frontier Communications Corp. (S) | 8.875 | 09-15-20 | 3,900,000 | 4,138,875 | |||||||||||||||||||||||||
GCI, Inc. | 6.875 | 04-15-25 | 2,970,000 | 2,992,275 | |||||||||||||||||||||||||
T-Mobile USA, Inc. | 6.125 | 01-15-22 | 1,530,000 | 1,614,150 | |||||||||||||||||||||||||
T-Mobile USA, Inc. | 6.250 | 04-01-21 | 1,770,000 | 1,854,075 | |||||||||||||||||||||||||
Telecom Italia Capital SA | 7.200 | 07-18-36 | 2,650,000 | 2,708,300 | |||||||||||||||||||||||||
Verizon Communications, Inc. | 4.400 | 11-01-34 | 3,320,000 | 3,363,216 | |||||||||||||||||||||||||
Verizon Communications, Inc. | 4.862 | 08-21-46 | 10,455,000 | 11,137,461 | |||||||||||||||||||||||||
Verizon Communications, Inc. | 5.012 | 08-21-54 | 2,884,000 | 2,980,752 | |||||||||||||||||||||||||
Verizon Communications, Inc. | 6.550 | 09-15-43 | 3,415,000 | 4,466,431 | |||||||||||||||||||||||||
Wind Acquisition Finance SA (S) | 7.375 | 04-23-21 | 2,845,000 | 2,692,081 | |||||||||||||||||||||||||
Wireless telecommunication services 0.6% | |||||||||||||||||||||||||||||
CC Holdings GS V LLC | 3.849 | 04-15-23 | 3,960,000 | 4,118,539 | |||||||||||||||||||||||||
Comcel Trust (S) | 6.875 | 02-06-24 | 1,720,000 | 1,601,939 | |||||||||||||||||||||||||
Digicel Group, Ltd. (S) | 8.250 | 09-30-20 | 3,385,000 | 2,936,488 | |||||||||||||||||||||||||
Digicel, Ltd. (S) | 6.750 | 03-01-23 | 3,200,000 | 2,816,000 | |||||||||||||||||||||||||
Millicom International Cellular SA (S) | 4.750 | 05-22-20 | 3,610,000 | 3,501,700 | |||||||||||||||||||||||||
Millicom International Cellular SA (S) | 6.625 | 10-15-21 | 3,240,000 | 3,210,480 | |||||||||||||||||||||||||
MTN Mauritius Investments, Ltd. (S) | 4.755 | 11-11-24 | 1,375,000 | 1,247,496 | |||||||||||||||||||||||||
SBA Tower Trust (S) | 3.598 | 04-15-43 | 2,770,000 | 2,796,478 | |||||||||||||||||||||||||
Utilities 1.2% | 44,157,163 | ||||||||||||||||||||||||||||
Electric utilities 0.8% | |||||||||||||||||||||||||||||
Beaver Valley II Funding Corp. | 9.000 | 06-01-17 | 209,000 | 210,045 | |||||||||||||||||||||||||
BVPS II Funding Corp. | 8.890 | 06-01-17 | 290,000 | 300,674 | |||||||||||||||||||||||||
Electricite de France SA (S) | 3.625 | 10-13-25 | 2,940,000 | 2,997,459 | |||||||||||||||||||||||||
Electricite de France SA (5.250% to 1-29-23, then 10 Year U.S. Swap Rate + 3.709%) (Q)(S) | 5.250 | 01-29-23 | 3,830,000 | 3,657,650 | |||||||||||||||||||||||||
Empresa Electrica Angamos SA (S) | 4.875 | 05-25-29 | 3,490,000 | 3,308,366 | |||||||||||||||||||||||||
Israel Electric Corp., Ltd. (S) | 5.625 | 06-21-18 | 3,295,000 | 3,498,664 | |||||||||||||||||||||||||
Israel Electric Corp., Ltd. (S) | 6.875 | 06-21-23 | 1,825,000 | 2,155,106 | |||||||||||||||||||||||||
Israel Electric Corp., Ltd. (S) | 7.250 | 01-15-19 | 2,890,000 | 3,202,120 | |||||||||||||||||||||||||
NextEra Energy Capital Holdings, Inc. | 2.300 | 04-01-19 | 2,885,000 | 2,913,351 | |||||||||||||||||||||||||
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 | 2,447,575 | |||||||||||||||||||||||||
Talen Energy Supply LLC | 6.500 | 06-01-25 | 2,450,000 | 2,149,875 | |||||||||||||||||||||||||
W3A Funding Corp. | 8.090 | 01-02-17 | 927,329 | 927,336 | |||||||||||||||||||||||||
Independent power and renewable electricity producers 0.4% | |||||||||||||||||||||||||||||
NRG Energy, Inc. | 6.250 | 05-01-24 | 7,200,000 | 6,999,754 | |||||||||||||||||||||||||
NRG Yield Operating LLC | 5.375 | 08-15-24 | 9,755,000 | 9,389,188 | |||||||||||||||||||||||||
U.S. Government and Agency obligations 27.9% | $1,055,355,354 | ||||||||||||||||||||||||||||
(Cost $1,034,090,892) | |||||||||||||||||||||||||||||
U.S. Government 12.8% | 482,453,419 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
U.S. Government (continued) | |||||||||||||||||||||||||||||
U.S. Treasury | |||||||||||||||||||||||||||||
Bond | 2.500 | 02-15-45 | 50,418,000 | $48,938,938 | |||||||||||||||||||||||||
Bond | 2.500 | 02-15-46 | 80,720,000 | 78,295,252 | |||||||||||||||||||||||||
Bond | 3.375 | 05-15-44 | 88,115,000 | 101,734,936 | |||||||||||||||||||||||||
Note | 0.750 | 02-15-19 | 3,340,000 | 3,317,819 | |||||||||||||||||||||||||
Note | 0.875 | 05-15-19 | 118,000,000 | 117,446,816 | |||||||||||||||||||||||||
Note | 1.625 | 05-15-26 | 76,475,000 | 74,960,413 | |||||||||||||||||||||||||
Note | 1.750 | 01-31-23 | 23,975,000 | 24,139,828 | |||||||||||||||||||||||||
Treasury Inflation Protected Security | 0.375 | 07-15-25 | 33,268,534 | 33,619,417 | |||||||||||||||||||||||||
U.S. Government Agency 15.1% | 572,901,935 | ||||||||||||||||||||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 03-01-43 | 5,877,508 | 6,055,342 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 06-01-42 | 9,564,101 | 10,065,522 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 09-01-42 | 3,120,575 | 3,271,989 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 04-01-44 | 10,461,277 | 11,063,676 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 05-01-45 | 24,991,814 | 26,270,830 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 01-01-41 | 20,981,728 | 22,492,632 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 03-01-42 | 12,715,458 | 13,615,210 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 11-01-43 | 7,420,891 | 8,006,291 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 02-01-44 | 1,945,621 | 2,090,894 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 11-01-39 | 4,458,146 | 4,868,862 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 02-01-41 | 7,110,046 | 7,767,295 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 03-01-41 | 4,045,200 | 4,474,758 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 05-01-38 | 434,231 | 490,580 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 12-01-38 | 247,278 | 278,439 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 11-01-39 | 9,603,654 | 10,858,882 | |||||||||||||||||||||||||
Federal National Mortgage Association | |||||||||||||||||||||||||||||
15 Yr Pass Thru | 2.500 | 06-01-27 | 339,798 | 349,986 | |||||||||||||||||||||||||
15 Yr Pass Thru | 3.000 | 09-01-27 | 5,741,908 | 5,996,157 | |||||||||||||||||||||||||
15 Yr Pass Thru | 3.500 | 02-01-26 | 875,680 | 925,939 | |||||||||||||||||||||||||
15 Yr Pass Thru | 3.500 | 03-01-26 | 7,036,807 | 7,440,676 | |||||||||||||||||||||||||
15 Yr Pass Thru | 4.000 | 12-01-24 | 3,786,143 | 4,040,081 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 08-01-42 | 255,461 | 263,660 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 10-01-42 | 6,507,286 | 6,681,553 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 12-01-42 | 3,232,962 | 3,331,665 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 01-01-43 | 2,336,578 | 2,399,152 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 03-01-43 | 1,656,108 | 1,708,222 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 05-01-43 | 2,316,514 | 2,389,410 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.000 | 06-01-43 | 3,752,982 | 3,851,142 | |||||||||||||||||||||||||
30 Yr Pass Thru (C) | 3.000 | 07-01-43 | 40,867,228 | 42,089,375 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 11-01-40 | 5,648,086 | 5,925,448 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 06-01-42 | 5,498,601 | 5,786,664 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 08-01-42 | 9,188,600 | 9,669,975 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 01-01-43 | 4,068,575 | 4,269,642 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
U.S. Government Agency (continued) | |||||||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 06-01-43 | 20,933,720 | $22,072,925 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 07-01-43 | 18,323,261 | 19,317,572 | |||||||||||||||||||||||||
30 Yr Pass Thru | 3.500 | 01-01-45 | 6,736,839 | 7,112,928 | |||||||||||||||||||||||||
30 Yr Pass Thru (C) | 3.500 | 04-01-45 | 47,612,616 | 50,017,687 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 09-01-40 | 13,746,820 | 14,737,809 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 11-01-40 | 2,033,492 | 2,199,783 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 01-01-41 | 10,814,644 | 11,608,742 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 09-01-41 | 21,048,676 | 22,719,685 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 10-01-41 | 10,056,864 | 10,833,922 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 01-01-42 | 5,863,688 | 6,347,779 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 07-01-42 | 759,733 | 821,979 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 09-01-43 | 12,630,166 | 13,747,871 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 10-01-43 | 22,350,276 | 24,229,708 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.000 | 01-01-44 | 5,517,178 | 5,984,730 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 11-01-39 | 7,972,857 | 8,706,749 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 08-01-40 | 9,725,386 | 10,620,597 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 02-01-41 | 9,970,306 | 10,894,293 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 05-01-41 | 8,651,895 | 9,472,625 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 06-01-41 | 10,305,103 | 11,298,760 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 07-01-41 | 4,667,112 | 5,117,133 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 08-01-41 | 6,340,948 | 6,952,367 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 05-01-42 | 12,742,174 | 13,954,895 | |||||||||||||||||||||||||
30 Yr Pass Thru | 4.500 | 01-01-43 | 2,745,885 | 3,000,357 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 08-01-40 | 6,572,871 | 7,303,804 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 09-01-40 | 5,347,989 | 5,957,751 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 02-01-41 | 4,242,181 | 4,744,421 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 03-01-41 | 5,237,539 | 5,857,622 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 04-01-41 | 1,808,652 | 2,055,564 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.000 | 07-01-42 | 3,815,066 | 4,239,319 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 05-01-35 | 2,222,025 | 2,518,845 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 04-01-36 | 527,121 | 597,562 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 05-01-36 | 2,316,749 | 2,626,342 | |||||||||||||||||||||||||
30 Yr Pass Thru | 5.500 | 01-01-39 | 1,901,659 | 2,149,246 | |||||||||||||||||||||||||
30 Yr Pass Thru | 6.000 | 02-01-37 | 499,670 | 572,513 | |||||||||||||||||||||||||
30 Yr Pass Thru | 6.500 | 01-01-39 | 2,371,696 | 2,762,376 | |||||||||||||||||||||||||
30 Yr Pass Thru | 6.500 | 06-01-39 | 821,626 | 955,725 | |||||||||||||||||||||||||
Foreign government obligations 0.3% | $11,436,327 | ||||||||||||||||||||||||||||
(Cost $10,423,615) | |||||||||||||||||||||||||||||
Argentina 0.3% | 11,436,327 | ||||||||||||||||||||||||||||
City of Buenos Aires Argentina (S) | 7.500 | 06-01-27 | 2,900,000 | 2,937,700 | |||||||||||||||||||||||||
Provincia de Buenos Aires (S) | 9.125 | 03-16-24 | 1,000,000 | 1,070,000 | |||||||||||||||||||||||||
Republic of Argentina (S) | 7.500 | 04-22-26 | 4,485,000 | 4,707,008 | |||||||||||||||||||||||||
Republic of Argentina (H) | 8.280 | 12-31-33 | 2,502,638 | 2,721,619 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Capital preferred securities 0.7% | $26,973,151 | ||||||||||||||||||||||||||||
(Cost $27,530,832) | |||||||||||||||||||||||||||||
Financials 0.7% | 26,973,151 | ||||||||||||||||||||||||||||
Banks 0.2% | |||||||||||||||||||||||||||||
BAC Capital Trust XIV, Series G (P)(Q) | 4.000 | 06-27-16 | 4,938,000 | 3,706,586 | |||||||||||||||||||||||||
Sovereign Capital Trust VI | 7.908 | 06-13-36 | 3,068,000 | 3,048,945 | |||||||||||||||||||||||||
Capital markets 0.2% | |||||||||||||||||||||||||||||
Goldman Sachs Capital II (P)(Q) | 4.000 | 07-11-16 | 3,664,000 | 2,775,480 | |||||||||||||||||||||||||
State Street Capital Trust IV (P) | 1.634 | 06-01-77 | 4,995,000 | 4,046,450 | |||||||||||||||||||||||||
Insurance 0.3% | |||||||||||||||||||||||||||||
MetLife Capital Trust IV (7.875% to 12-15-32, then 3 month LIBOR + 3.960%) (S) | 7.875 | 12-15-67 | 960,000 | 1,138,080 | |||||||||||||||||||||||||
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 | 3,863,400 | |||||||||||||||||||||||||
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 | 6,750,110 | |||||||||||||||||||||||||
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 | 1,644,100 | |||||||||||||||||||||||||
Convertible bonds 0.1% | $2,472,188 | ||||||||||||||||||||||||||||
(Cost $2,697,938) | |||||||||||||||||||||||||||||
Utilities 0.1% | 2,472,188 | ||||||||||||||||||||||||||||
Independent power and renewable electricity producers 0.1% | |||||||||||||||||||||||||||||
NRG Yield, Inc. (S) | 3.250 | 06-01-20 | 2,700,000 | 2,472,188 | |||||||||||||||||||||||||
Municipal bonds 0.1% | $4,903,342 | ||||||||||||||||||||||||||||
(Cost $4,901,818) | |||||||||||||||||||||||||||||
State of Hawaii Department of Business Economic Development & Tourism | 1.467 | 07-01-22 | 4,902,214 | 4,903,342 | |||||||||||||||||||||||||
Term loans (M) 0.2% | $8,880,057 | ||||||||||||||||||||||||||||
(Cost $9,610,457) | |||||||||||||||||||||||||||||
Consumer staples 0.1% | 2,546,341 | ||||||||||||||||||||||||||||
Household products 0.1% | |||||||||||||||||||||||||||||
The Sun Products Corp. | 5.500 | 03-23-20 | 2,562,356 | 2,546,341 | |||||||||||||||||||||||||
Financials 0.0% | 1,334,146 | ||||||||||||||||||||||||||||
Thrifts and mortgage finance 0.0% | |||||||||||||||||||||||||||||
Walter Investment Management Corp. | 4.750 | 12-19-20 | 1,583,556 | 1,334,146 | |||||||||||||||||||||||||
Health care 0.0% | 890,416 | ||||||||||||||||||||||||||||
Health care providers and services 0.0% | |||||||||||||||||||||||||||||
Surgery Center Holdings, Inc. | 5.250 | 11-03-20 | 888,750 | 890,416 | |||||||||||||||||||||||||
Industrials 0.1% | 2,584,065 | ||||||||||||||||||||||||||||
Aerospace and defense 0.0% | |||||||||||||||||||||||||||||
WP CPP Holdings LLC | 4.500 | 12-28-19 | 967,500 | 933,637 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Industrials (continued) | |||||||||||||||||||||||||||||
Airlines 0.1% | |||||||||||||||||||||||||||||
Delta Air Lines, Inc. | 3.250 | 10-18-18 | 1,647,682 | $1,650,428 | |||||||||||||||||||||||||
Utilities 0.0% | 1,525,089 | ||||||||||||||||||||||||||||
Electric utilities 0.0% | |||||||||||||||||||||||||||||
ExGen Texas Power LLC | 5.750 | 09-16-21 | 2,033,451 | 1,525,089 | |||||||||||||||||||||||||
Collateralized mortgage obligations 11.7% | $440,079,701 | ||||||||||||||||||||||||||||
(Cost $435,282,988) | |||||||||||||||||||||||||||||
Commercial and residential 10.7% | 404,694,258 | ||||||||||||||||||||||||||||
Adjustable Rate Mortgage Trust Series 2005-4, Class 7A12 (P) | 1.026 | 08-25-35 | 2,078,490 | 1,984,705 | |||||||||||||||||||||||||
American Home Mortgage Investment Trust | |||||||||||||||||||||||||||||
Series 2005-1, Class 1A1 (P) | 0.666 | 06-25-45 | 3,835,547 | 3,543,629 | |||||||||||||||||||||||||
Series 2005-1, Class AHM (P) | 2.905 | 06-25-45 | 2,137,245 | 2,097,325 | |||||||||||||||||||||||||
Americold 2010 LLC Trust Series 2010-ARTA, Class D (S) | 7.443 | 01-14-29 | 4,915,000 | 5,485,075 | |||||||||||||||||||||||||
AOA Mortgage Trust Series 2015-1177, Class C (P) (S) | 3.010 | 12-13-29 | 5,021,000 | 4,932,985 | |||||||||||||||||||||||||
BAMLL Commercial Mortgage Securities Trust | |||||||||||||||||||||||||||||
Series 2013-DSNY, Class E (P) (S) | 3.034 | 09-15-26 | 2,645,000 | 2,626,795 | |||||||||||||||||||||||||
Series 2014-ICTS, Class D (P) (S) | 2.335 | 06-15-28 | 2,295,000 | 2,212,095 | |||||||||||||||||||||||||
Series 2014-ICTS, Class E (P) (S) | 3.384 | 06-15-28 | 1,425,000 | 1,363,224 | |||||||||||||||||||||||||
Series 2015-200P, Class F (P) (S) | 3.596 | 04-14-33 | 4,230,000 | 3,590,071 | |||||||||||||||||||||||||
BBCMS Trust | |||||||||||||||||||||||||||||
Series 2015, Class C (P) (S) | 2.435 | 02-15-28 | 2,145,000 | 2,101,036 | |||||||||||||||||||||||||
Series 2015-MSQ, Class D (P) (S) | 3.990 | 09-15-22 | 5,410,000 | 5,392,838 | |||||||||||||||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust | |||||||||||||||||||||||||||||
Series 2005-2, Class A1 (P) | 3.090 | 03-25-35 | 2,951,416 | 2,943,978 | |||||||||||||||||||||||||
Series 2005-5, Class A2 (P) | 2.460 | 08-25-35 | 4,364,962 | 4,347,500 | |||||||||||||||||||||||||
Bear Stearns ALT-A Trust | |||||||||||||||||||||||||||||
Series 2004-12, Class 1A1 (P) | 1.146 | 01-25-35 | 4,757,785 | 4,591,728 | |||||||||||||||||||||||||
Series 2004-12, Class A3 (P) | 1.146 | 01-25-35 | 3,531,488 | 3,453,979 | |||||||||||||||||||||||||
Series 2005-5, Class 1A4 (P) | 1.006 | 07-25-35 | 2,711,207 | 2,555,955 | |||||||||||||||||||||||||
Series 2005-7, Class 11A1 (P) | 0.986 | 08-25-35 | 4,173,625 | 3,937,747 | |||||||||||||||||||||||||
Bear Stearns Asset Backed Securities Trust Series 2004-AC5, Class A1 | 5.250 | 10-25-34 | 4,086,214 | 4,075,655 | |||||||||||||||||||||||||
BHMS Mortgage Trust Series 2014-ATLS, Class DFL (P) (S) | 3.436 | 07-05-33 | 5,295,000 | 5,080,568 | |||||||||||||||||||||||||
BLCP Hotel Trust Series 2014-CLRN, Class D (P) (S) | 2.934 | 08-15-29 | 6,985,000 | 6,725,243 | |||||||||||||||||||||||||
BWAY Mortgage Trust | |||||||||||||||||||||||||||||
Series 2013-1515, Class F (P) (S) | 3.927 | 03-10-33 | 6,165,000 | 5,511,059 | |||||||||||||||||||||||||
Series 2014-1710, Class XA IO (S) | 0.896 | 01-13-35 | 85,970,000 | 4,175,563 | |||||||||||||||||||||||||
Series 2015-1740, Class D (P) (S) | 3.787 | 01-13-35 | 3,795,000 | 3,592,207 | |||||||||||||||||||||||||
BXHTL Mortgage Trust | |||||||||||||||||||||||||||||
Series 2015-JWRZ, Class DR2 (P) (S) | 4.124 | 05-15-29 | 4,725,000 | 4,419,589 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Commercial and residential (continued) | |||||||||||||||||||||||||||||
Series 2015-JWRZ, Class GL2 (P) (S) | 4.123 | 05-15-29 | 4,175,000 | $3,995,879 | |||||||||||||||||||||||||
CDGJ Commercial Mortgage Trust Series 2014-BXCH, Class D (P) (S) | 3.435 | 12-15-27 | 6,335,000 | 6,156,874 | |||||||||||||||||||||||||
CGBAM Commercial Mortgage Trust Series 2015-SMRT, Class F (P) (S) | 3.786 | 04-10-28 | 3,425,000 | 3,209,088 | |||||||||||||||||||||||||
CGGS Commercial Mortgage Trust Series 2016-RNDA, Class DFX (S) | 4.387 | 02-10-21 | 7,590,000 | 7,717,384 | |||||||||||||||||||||||||
Citigroup Commercial Mortgage Trust Series 2014-388G, Class E (P) (S) | 2.785 | 06-15-33 | 5,770,000 | 5,761,271 | |||||||||||||||||||||||||
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank) | |||||||||||||||||||||||||||||
Series 2013-CR8, Class XA IO | 0.693 | 06-10-46 | 43,248,690 | 1,199,611 | |||||||||||||||||||||||||
Series 2015-CR27, Class B (P) | 4.361 | 10-10-58 | 2,570,000 | 2,746,391 | |||||||||||||||||||||||||
Commercial Mortgage Trust (Deutsche Bank) | |||||||||||||||||||||||||||||
Series 2012-CR3, Class XA IO | 2.098 | 10-15-45 | 55,482,194 | 4,701,295 | |||||||||||||||||||||||||
Series 2012-LC4, Class B (P) | 4.934 | 12-10-44 | 2,145,000 | 2,361,473 | |||||||||||||||||||||||||
Series 2013-300P, Class D (P) (S) | 4.394 | 08-10-30 | 5,125,000 | 5,238,416 | |||||||||||||||||||||||||
Series 2013-CR11, Class B (P) | 5.162 | 10-10-46 | 8,094,000 | 9,090,336 | |||||||||||||||||||||||||
Series 2013-CR13, Class C (P) | 4.751 | 12-10-23 | 3,505,000 | 3,671,257 | |||||||||||||||||||||||||
Series 2013-CR6, Class XA IO | 1.488 | 03-10-46 | 40,166,802 | 1,834,795 | |||||||||||||||||||||||||
Series 2013-LC13, Class B (P) (S) | 5.009 | 08-10-46 | 4,015,000 | 4,444,807 | |||||||||||||||||||||||||
Series 2014-FL4, Class D (P) (S) | 2.885 | 07-13-31 | 6,605,000 | 6,413,427 | |||||||||||||||||||||||||
Series 2014-TWC, Class D (P) (S) | 2.686 | 02-13-32 | 4,270,000 | 4,140,141 | |||||||||||||||||||||||||
Commercial Mortgage Trust (Deutsche Bank/Morgan Stanley) Series 2014-PAT, Class D (P) (S) | 2.585 | 08-13-27 | 6,930,000 | 6,730,798 | |||||||||||||||||||||||||
Commercial Mortgage Trust (Wells Fargo) | |||||||||||||||||||||||||||||
Series 2012-CR2, Class XA IO | 1.741 | 08-15-45 | 31,746,393 | 2,576,436 | |||||||||||||||||||||||||
Series 2014-CR15, Class XA IO | 1.311 | 02-10-47 | 51,562,440 | 2,736,816 | |||||||||||||||||||||||||
Series 2014-CR16, Class C (P) | 4.905 | 04-10-47 | 4,850,000 | 5,040,270 | |||||||||||||||||||||||||
Core Industrial Trust Series 2015-CALW, Class F (P) (S) | 3.850 | 02-10-34 | 4,885,000 | 4,492,541 | |||||||||||||||||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust Series 2004-4, Class 2AR1 (P) | 0.716 | 06-25-34 | 2,775,990 | 2,622,815 | |||||||||||||||||||||||||
GAHR Commercial Mortgage Trust | |||||||||||||||||||||||||||||
Series 2015-NRF, Class DFX (P) (S) | 3.382 | 12-15-19 | 2,345,000 | 2,292,313 | |||||||||||||||||||||||||
Series 2015-NRF, Class EFX (P) (S) | 3.382 | 12-15-19 | 5,210,000 | 4,873,489 | |||||||||||||||||||||||||
GMAC Mortgage Loan Trust Series 2004-AR2, Class 3A (P) | 3.240 | 08-19-34 | 1,838,025 | 1,773,338 | |||||||||||||||||||||||||
Great Wolf Trust Series 2015-WOLF, Class D (P) (S) | 3.935 | 05-15-34 | 7,102,000 | 6,886,001 | |||||||||||||||||||||||||
GS Mortgage Securities Trust | |||||||||||||||||||||||||||||
Series 2012-GC17, Class XA IO | 2.490 | 05-10-45 | 94,127,243 | 7,662,108 | |||||||||||||||||||||||||
Series 2015-590M, Class C (P) (S) | 3.805 | 10-10-35 | 5,490,000 | 5,375,423 | |||||||||||||||||||||||||
Series 2016-ICE2, Class D (P) (S) | 6.185 | 03-15-33 | 6,585,000 | 6,598,331 | |||||||||||||||||||||||||
Series 2016-RENT, Class D (P) (S) | 4.067 | 02-10-29 | 5,175,000 | 4,990,455 | |||||||||||||||||||||||||
HarborView Mortgage Loan Trust | |||||||||||||||||||||||||||||
Series 2005-11, Class X IO | 2.495 | 08-19-45 | 6,944,726 | 405,123 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Commercial and residential (continued) | |||||||||||||||||||||||||||||
Series 2005-2, Class IX IO | 2.069 | 05-19-35 | 31,750,459 | $2,148,427 | |||||||||||||||||||||||||
Series 2005-9, Class 2A1C (P) | 0.889 | 06-20-35 | 4,439,803 | 3,935,577 | |||||||||||||||||||||||||
Series 2007-3, Class ES IO (S) | 0.350 | 05-19-47 | 48,268,667 | 745,346 | |||||||||||||||||||||||||
Series 2007-4, Class ES IO | 0.350 | 07-19-47 | 51,126,113 | 735,503 | |||||||||||||||||||||||||
Series 2007-6, Class ES IO (S) | 0.344 | 08-19-37 | 39,293,039 | 494,441 | |||||||||||||||||||||||||
HILT Mortgage Trust Series 2014-ORL, Class D (P) (S) | 2.585 | 07-15-29 | 4,795,000 | 4,636,000 | |||||||||||||||||||||||||
Hilton USA Trust | |||||||||||||||||||||||||||||
Series 2013-HLF, Class EFL (P) (S) | 4.186 | 11-05-30 | 3,703,928 | 3,691,248 | |||||||||||||||||||||||||
Series 2013-HLT, Class DFX (S) | 4.407 | 11-05-30 | 6,127,000 | 6,151,561 | |||||||||||||||||||||||||
Hudsons Bay Simon JV Trust Series 2015-HBFL, Class DFL (P) (S) | 4.086 | 08-05-34 | 3,470,000 | 3,430,614 | |||||||||||||||||||||||||
Impac Secured Assets CMN Owner Trust Series 2004-4, Class M2 (P) | 1.256 | 02-25-35 | 3,395,000 | 3,115,973 | |||||||||||||||||||||||||
IndyMac Index Mortgage Loan Trust | |||||||||||||||||||||||||||||
Series 2005-AR12, Class AX2 IO | 2.261 | 07-25-35 | 54,373,981 | 4,159,860 | |||||||||||||||||||||||||
Series 2005-AR8, Class AX2 IO | 2.267 | 05-25-35 | 49,827,102 | 3,557,356 | |||||||||||||||||||||||||
Series 2005-AR18, Class 1X IO | 2.033 | 10-25-36 | 20,879,106 | 1,764,641 | |||||||||||||||||||||||||
Series 2005-AR18, Class 2X IO | 1.761 | 10-25-36 | 32,228,523 | 1,683,499 | |||||||||||||||||||||||||
JPMBB Commercial Mortgage Securities Trust Series 2014-C19, Class C (P) | 4.675 | 04-15-47 | 7,040,000 | 6,990,794 | |||||||||||||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | |||||||||||||||||||||||||||||
Series 2012-HSBC, Class XA IO (S) | 1.431 | 07-05-32 | 23,665,000 | 1,808,096 | |||||||||||||||||||||||||
Series 2014-FL5, Class C (P) (S) | 2.534 | 07-15-31 | 8,370,000 | 8,259,036 | |||||||||||||||||||||||||
Series 2014-INN, Class F (P) (S) | 4.434 | 06-15-29 | 4,130,000 | 3,917,770 | |||||||||||||||||||||||||
Series 2014-PHH, Class C (P) (S) | 2.534 | 08-15-27 | 7,925,000 | 7,811,560 | |||||||||||||||||||||||||
Series 2015-MAR7, Class C (S) | 4.490 | 06-05-32 | 5,665,000 | 5,418,426 | |||||||||||||||||||||||||
Series 2015-SG, Class B (P) (S) | 3.185 | 07-15-36 | 4,275,000 | 4,250,697 | |||||||||||||||||||||||||
MASTR Adjustable Rate Mortgages Trust Series 2004-11, Class M2 (P) | 1.546 | 11-25-34 | 4,255,000 | 4,126,233 | |||||||||||||||||||||||||
Merrill Lynch Mortgage Investors Trust Series 2005-2, Class 1A (P) | 1.904 | 10-25-35 | 3,746,058 | 3,615,777 | |||||||||||||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | |||||||||||||||||||||||||||||
Series 2013-C7, Class C (P) | 4.177 | 02-15-46 | 2,768,000 | 2,700,012 | |||||||||||||||||||||||||
Series 2014-C18, Class 300D | 5.279 | 08-15-31 | 3,020,000 | 3,029,143 | |||||||||||||||||||||||||
Morgan Stanley Capital I Trust | |||||||||||||||||||||||||||||
Series 2014-150E, Class D (P) (S) | 4.295 | 09-09-32 | 11,110,000 | 10,824,666 | |||||||||||||||||||||||||
Series 2015, Class XLF1 C (P) (S) | 2.634 | 08-14-31 | 4,775,000 | 4,738,335 | |||||||||||||||||||||||||
Morgan Stanley Mortgage Loan Trust Series 2004-6AR, Class 2A2 (P) | 2.896 | 08-25-34 | 3,874,593 | 3,805,999 | |||||||||||||||||||||||||
MortgageIT Trust Series 2005-2, Class 1A2 (P) | 0.776 | 05-25-35 | 2,574,942 | 2,397,821 | |||||||||||||||||||||||||
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates | |||||||||||||||||||||||||||||
Series 2005-2, Class M2 (P) | 0.896 | 04-25-35 | 4,222,672 | 3,867,871 | |||||||||||||||||||||||||
Series 2005-3, Class APT (P) | 0.736 | 07-25-35 | 3,896,181 | 3,761,796 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Commercial and residential (continued) | |||||||||||||||||||||||||||||
Residential Accredit Loans, Inc. Series 2005-QO4, Class XIO IO | 2.276 | 12-25-45 | 17,488,779 | $1,683,216 | |||||||||||||||||||||||||
Thornburg Mortgage Securities Trust Series 2004-1, Class II2A (P) | 1.925 | 03-25-44 | 3,261,786 | 3,162,957 | |||||||||||||||||||||||||
TMSQ Mortgage Trust Series 2011-1500, Class D (P) (S) | 3.963 | 10-10-36 | 3,010,000 | 2,800,739 | |||||||||||||||||||||||||
UBS Commercial Mortgage Trust Series 2012-C1, Class B | 4.822 | 05-10-45 | 2,745,000 | 2,921,173 | |||||||||||||||||||||||||
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class XA IO (S) | 1.653 | 05-10-63 | 37,250,954 | 2,140,645 | |||||||||||||||||||||||||
VNDO Mortgage Trust Series 2013-PENN, Class D (P) (S) | 4.079 | 12-13-29 | 5,963,000 | 6,034,891 | |||||||||||||||||||||||||
WaMu Mortgage Pass Through Certificates | |||||||||||||||||||||||||||||
Series 2005-AR19, Class A1A2 (P) | 0.736 | 12-25-45 | 4,099,145 | 3,557,130 | |||||||||||||||||||||||||
Series 2005-AR2, Class 2A1B (P) | 0.816 | 01-25-45 | 1,526,868 | 1,370,605 | |||||||||||||||||||||||||
Series 2005-AR2, Class 2A3 (P) | 0.796 | 01-25-45 | 2,299,418 | 2,128,980 | |||||||||||||||||||||||||
Series 2005-AR8, Class 2AB2 (P) | 0.866 | 07-25-45 | 4,059,971 | 3,576,321 | |||||||||||||||||||||||||
Wells Fargo Commercial Mortgage Trust | |||||||||||||||||||||||||||||
Series 2013-120B, Class C (P) (S) | 2.710 | 03-18-28 | 8,550,000 | 8,324,776 | |||||||||||||||||||||||||
Series 2013-BTC, Class E (P) (S) | 3.550 | 04-16-35 | 5,110,000 | 4,642,220 | |||||||||||||||||||||||||
Series 2015-LC22, Class B (P) | 4.539 | 09-15-58 | 3,540,000 | 3,858,404 | |||||||||||||||||||||||||
WF-RBS Commercial Mortgage Trust | |||||||||||||||||||||||||||||
Series 2012-C9, Class XA IO (S) | 2.139 | 11-15-45 | 49,675,873 | 4,177,443 | |||||||||||||||||||||||||
Series 2013-C15, Class B (P) | 4.480 | 08-15-46 | 1,132,000 | 1,226,167 | |||||||||||||||||||||||||
Series 2013-C16, Class B (P) | 4.983 | 09-15-46 | 2,200,000 | 2,461,031 | |||||||||||||||||||||||||
WFCG Commercial Mortgage Trust Series 2015-BXRP, Class D (P) (S) | 3.005 | 11-15-29 | 582,485 | 574,231 | |||||||||||||||||||||||||
U.S. Government Agency 1.0% | 35,385,443 | ||||||||||||||||||||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||||||||||||||||||||
Series 2015-DNA1, Class M2 (P) | 2.296 | 10-25-27 | 3,890,000 | 3,881,520 | |||||||||||||||||||||||||
Series 2015-DNA1, Class M3 (P) | 3.746 | 10-25-27 | 1,325,000 | 1,295,715 | |||||||||||||||||||||||||
Series 2016-HQA1, Class M2 (P) | 3.196 | 09-25-28 | 7,705,000 | 7,809,749 | |||||||||||||||||||||||||
Series 2016-HQA2, Class M2 (P) | 2.696 | 11-25-28 | 2,440,000 | 2,447,178 | |||||||||||||||||||||||||
Series 290, Class IO | 3.500 | 11-15-32 | 9,076,010 | 1,413,942 | |||||||||||||||||||||||||
Series 4136, Class IH IO | 3.500 | 09-15-27 | 10,382,371 | 1,128,249 | |||||||||||||||||||||||||
Series K017, Class X1 IO | 1.411 | 12-25-21 | 19,468,273 | 1,181,514 | |||||||||||||||||||||||||
Series K018, Class X1 IO | 1.403 | 01-25-22 | 18,854,763 | 1,177,853 | |||||||||||||||||||||||||
Series K021, Class X1 IO | 1.488 | 06-25-22 | 5,139,709 | 370,018 | |||||||||||||||||||||||||
Series K022, Class X1 IO | 1.276 | 07-25-22 | 103,946,392 | 6,556,284 | |||||||||||||||||||||||||
Series K709, Class X1 IO | 1.523 | 03-25-19 | 16,593,294 | 599,823 | |||||||||||||||||||||||||
Series K710, Class X1 IO | 1.764 | 05-25-19 | 32,883,345 | 1,425,269 | |||||||||||||||||||||||||
Series K711, Class X1 IO | 1.697 | 07-25-19 | 61,373,945 | 2,717,466 | |||||||||||||||||||||||||
Federal National Mortgage Association | |||||||||||||||||||||||||||||
Series 2012-137, Class QI IO | 3.000 | 12-25-27 | 12,389,997 | 1,334,653 | |||||||||||||||||||||||||
Series 2012-137, Class WI IO | 3.500 | 12-25-32 | 9,577,367 | 1,411,297 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
U.S. Government Agency (continued) | |||||||||||||||||||||||||||||
Government National Mortgage Association Series 2012-114, Class IO | 0.900 | 01-16-53 | 9,383,004 | $634,913 | |||||||||||||||||||||||||
Asset backed securities 15.3% | $576,815,193 | ||||||||||||||||||||||||||||
(Cost $573,854,512) | |||||||||||||||||||||||||||||
ACE Securities Corp. Home Equity Loan Trust Series 2005-HE3, Class M2 (P) | 1.121 | 05-25-35 | 2,642,096 | 2,548,674 | |||||||||||||||||||||||||
Aegis Asset Backed Securities Trust | |||||||||||||||||||||||||||||
Series 2005-1, Class M3 (P) | 0.989 | 03-25-35 | 55,000 | 52,079 | |||||||||||||||||||||||||
Series 2005-4, Class M1 (P) | 0.896 | 10-25-35 | 9,530,000 | 8,705,783 | |||||||||||||||||||||||||
Ally Auto Receivables Trust | |||||||||||||||||||||||||||||
Series 2014-2, Class A4 | 1.840 | 01-15-20 | 8,344,000 | 8,418,389 | |||||||||||||||||||||||||
Series 2015-1, Class A4 | 1.750 | 05-15-20 | 5,980,000 | 6,022,630 | |||||||||||||||||||||||||
Ally Master Owner Trust | |||||||||||||||||||||||||||||
Series 2012-4, Class A | 1.720 | 07-15-19 | 4,830,000 | 4,844,533 | |||||||||||||||||||||||||
Series 2015-3, Class A | 1.630 | 05-15-20 | 7,970,000 | 7,945,891 | |||||||||||||||||||||||||
American Express Credit Account Master Trust | |||||||||||||||||||||||||||||
Series 2014-3, Class A | 1.490 | 04-15-20 | 7,661,000 | 7,699,429 | |||||||||||||||||||||||||
Series 2014-4, Class A | 1.430 | 06-15-20 | 9,020,000 | 9,058,208 | |||||||||||||||||||||||||
Ameriquest Mortgage Securities, Inc. | |||||||||||||||||||||||||||||
Series 2005-R10, Class M1 (P) | 0.856 | 01-25-36 | 3,100,000 | 2,929,881 | |||||||||||||||||||||||||
Series 2005-R3, Class M2 (P) | 0.916 | 05-25-35 | 3,680,000 | 3,502,305 | |||||||||||||||||||||||||
Applebee's Funding LLC Series 2014-1, Class A2 (S) | 4.277 | 09-05-44 | 12,900,000 | 12,985,326 | |||||||||||||||||||||||||
Arby's Funding LLC Series 2015-1A, Class A2 (S) | 4.969 | 10-30-45 | 7,497,325 | 7,771,180 | |||||||||||||||||||||||||
Argent Securities, Inc. | |||||||||||||||||||||||||||||
Series 2003-W10, Class M1 (P) | 1.519 | 01-25-34 | 1,806,828 | 1,672,503 | |||||||||||||||||||||||||
Series 2004-W6, Class M1 (P) | 1.271 | 05-25-34 | 909,077 | 862,836 | |||||||||||||||||||||||||
BA Credit Card Trust Series 2015-A2, Class A | 1.360 | 09-15-20 | 12,480,000 | 12,514,460 | |||||||||||||||||||||||||
Bank of the West Auto Trust | |||||||||||||||||||||||||||||
Series 2014-1, Class A4 (S) | 1.650 | 03-16-20 | 6,400,000 | 6,409,132 | |||||||||||||||||||||||||
Series 2015-1, Class A4 (S) | 1.660 | 09-15-20 | 6,545,000 | 6,513,525 | |||||||||||||||||||||||||
Bravo Mortgage Asset Trust | |||||||||||||||||||||||||||||
Series 2006-1A, Class A2 (P) (S) | 0.686 | 07-25-36 | 6,404,130 | 6,032,753 | |||||||||||||||||||||||||
Series 2006-1A, Class A3 (P) (S) | 0.796 | 07-25-36 | 3,885,000 | 3,341,987 | |||||||||||||||||||||||||
California Republic Auto Receivables Trust | |||||||||||||||||||||||||||||
Series 2014-4, Class A4 | 1.840 | 06-15-20 | 6,240,000 | 6,234,935 | |||||||||||||||||||||||||
Series 2015-2, Class A4 | 1.750 | 01-15-21 | 6,865,000 | 6,816,052 | |||||||||||||||||||||||||
Capital One Multi-Asset Execution Trust | |||||||||||||||||||||||||||||
Series 2014-A5, Class A | 1.480 | 07-15-20 | 12,785,000 | 12,847,398 | |||||||||||||||||||||||||
Series 2015-A5, Class A5 | 1.600 | 05-17-21 | 7,762,000 | 7,817,130 | |||||||||||||||||||||||||
CarMax Auto Owner Trust | |||||||||||||||||||||||||||||
Series 2014-3, Class A3 | 1.160 | 06-17-19 | 7,791,044 | 7,796,225 | |||||||||||||||||||||||||
Series 2015-2, Class A4 | 1.800 | 03-15-21 | 3,145,000 | 3,157,335 | |||||||||||||||||||||||||
Series 2016-1, Class A4 | 1.880 | 06-15-21 | 3,545,000 | 3,560,374 | |||||||||||||||||||||||||
Series 2016-2, Class A4 | 1.680 | 09-15-21 | 4,340,000 | 4,313,284 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Chase Issuance Trust | |||||||||||||||||||||||||||||
Series 2014-A6, Class A | 1.260 | 07-15-19 | 5,424,000 | $5,436,062 | |||||||||||||||||||||||||
Series 2014-A7, Class A | 1.380 | 11-15-19 | 9,340,000 | 9,368,787 | |||||||||||||||||||||||||
Series 2015, Class A2A | 1.590 | 02-18-20 | 9,336,000 | 9,398,017 | |||||||||||||||||||||||||
Series 2015-A5, Class A | 1.360 | 04-15-20 | 13,310,000 | 13,334,176 | |||||||||||||||||||||||||
Chrysler Capital Auto Receivables Trust | |||||||||||||||||||||||||||||
Series 2014-BA, Class A4 (S) | 1.760 | 12-16-19 | 2,585,000 | 2,589,821 | |||||||||||||||||||||||||
Series 2015-AA, Class A4 (S) | 1.550 | 02-18-20 | 90,000 | 89,508 | |||||||||||||||||||||||||
Citibank Credit Card Issuance Trust | |||||||||||||||||||||||||||||
Series 2007-A8, Class A8 | 5.650 | 09-20-19 | 4,455,000 | 4,713,796 | |||||||||||||||||||||||||
Series 2014-A8, Class A8 | 1.730 | 04-09-20 | 9,245,000 | 9,327,672 | |||||||||||||||||||||||||
Citicorp Residential Mortgage Trust Series 2007-2, Class A6 | 6.265 | 06-25-37 | 685,969 | 707,059 | |||||||||||||||||||||||||
CKE Restaurant Holdings, Inc. Series 2013-1A, Class A2 (S) | 4.474 | 03-20-43 | 10,275,800 | 10,252,848 | |||||||||||||||||||||||||
CNH Equipment Trust | |||||||||||||||||||||||||||||
Series 2015-C, Class A3 | 1.660 | 11-16-20 | 9,901,000 | 9,944,022 | |||||||||||||||||||||||||
Series 2016-B, Class A3 | 1.630 | 08-16-21 | 3,725,000 | 3,726,537 | |||||||||||||||||||||||||
ContiMortgage Home Equity Loan Trust Series 1995-2, Class A5 | 8.100 | 08-15-25 | 100,595 | 82,269 | |||||||||||||||||||||||||
Countrywide Asset-Backed Certificates Trust Series 2004-10, Class AF5B | 5.613 | 02-25-35 | 2,210,841 | 2,230,684 | |||||||||||||||||||||||||
Credit-Based Asset Servicing and Securitization LLC Series 2005-CB4, Class M1 (P) | 0.866 | 07-25-35 | 1,955,000 | 1,908,054 | |||||||||||||||||||||||||
CSMC Trust Series 2006-CF2, Class M1 (P) (S) | 0.916 | 05-25-36 | 3,245,569 | 3,193,711 | |||||||||||||||||||||||||
DB Master Finance LLC Series 2015-1A, Class A2II (S) | 3.980 | 02-20-45 | 9,366,438 | 9,533,160 | |||||||||||||||||||||||||
Discover Card Execution Note Trust Series 2016-A1, Class A1 | 1.640 | 07-15-21 | 18,245,000 | 18,357,170 | |||||||||||||||||||||||||
Driven Brands Funding LLC Series 2015-1A, Class A2 (S) | 5.216 | 07-20-45 | 5,243,650 | 5,200,489 | |||||||||||||||||||||||||
Encore Credit Receivables Trust Series 2005-2, Class M2 (P) | 1.136 | 11-25-35 | 3,836,733 | 3,751,517 | |||||||||||||||||||||||||
EquiFirst Mortgage Loan Trust Series 2004-3, Class M3 (P) | 1.421 | 12-25-34 | 2,943,453 | 2,649,992 | |||||||||||||||||||||||||
Ford Credit Auto Owner Trust | |||||||||||||||||||||||||||||
Series 2014-1, Class B (S) | 2.410 | 11-15-25 | 3,225,000 | 3,214,382 | |||||||||||||||||||||||||
Series 2015-A, Class A4 | 1.640 | 06-15-20 | 3,682,000 | 3,695,939 | |||||||||||||||||||||||||
Series 2015-B, Class A4 | 1.580 | 08-15-20 | 3,910,000 | 3,917,420 | |||||||||||||||||||||||||
Series 2016-B, Class A4 | 1.520 | 08-15-21 | 2,390,000 | 2,380,125 | |||||||||||||||||||||||||
Ford Credit Floorplan Master Owner Trust | |||||||||||||||||||||||||||||
Series 2012-5, Class A | 1.490 | 09-15-19 | 7,965,000 | 7,979,469 | |||||||||||||||||||||||||
Series 2014-4, Class A1 | 1.400 | 08-15-19 | 10,425,000 | 10,428,277 | |||||||||||||||||||||||||
Series 2015-1, Class A1 | 1.420 | 01-15-20 | 8,485,000 | 8,478,466 | |||||||||||||||||||||||||
GM Financial Automobile Leasing Trust | |||||||||||||||||||||||||||||
Series 2015-1, Class A4 | 1.730 | 06-20-19 | 2,045,000 | 2,050,264 | |||||||||||||||||||||||||
Series 2015-2, Class A4 | 1.850 | 07-22-19 | 7,012,000 | 7,035,128 |
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 | $4,359,925 | |||||||||||||||||||||||||
GSAA Home Equity Trust Series 2005-11, Class 3A1 (P) | 0.716 | 10-25-35 | 2,997,074 | 2,806,130 | |||||||||||||||||||||||||
GSAA Trust Series 2005-10, Class M3 (P) | 0.996 | 06-25-35 | 4,796,363 | 4,649,915 | |||||||||||||||||||||||||
Home Equity Asset Trust | |||||||||||||||||||||||||||||
Series 2005-1, Class M4 (P) | 1.466 | 05-25-35 | 2,085,000 | 2,007,816 | |||||||||||||||||||||||||
Series 2005-3, Class M4 (P) | 1.406 | 08-25-35 | 2,880,000 | 2,667,385 | |||||||||||||||||||||||||
Honda Auto Receivables Series 2016-2, Class A4 | 1.620 | 08-15-22 | 6,670,000 | 6,669,899 | |||||||||||||||||||||||||
Honda Auto Receivables Owner Trust | |||||||||||||||||||||||||||||
Series 2014-3, Class A4 | 1.310 | 10-15-20 | 11,010,000 | 11,026,730 | |||||||||||||||||||||||||
Series 2015-1, Class A4 | 1.320 | 11-16-20 | 45,000 | 45,028 | |||||||||||||||||||||||||
Series 2015-2, Class A4 | 1.470 | 08-23-21 | 5,660,000 | 5,671,987 | |||||||||||||||||||||||||
Series 2015-3, Class A4 | 1.560 | 10-18-21 | 6,075,000 | 6,101,941 | |||||||||||||||||||||||||
Hyundai Auto Receivables Trust Series 2015-A, Class A4 | 1.370 | 07-15-20 | 40,000 | 39,962 | |||||||||||||||||||||||||
John Deere Owner Trust | |||||||||||||||||||||||||||||
Series 2014-B, Class A4 | 1.500 | 06-15-21 | 5,170,000 | 5,174,765 | |||||||||||||||||||||||||
Series 2015, Class AA4 | 1.650 | 12-15-21 | 2,961,000 | 2,967,779 | |||||||||||||||||||||||||
Merrill Lynch Mortgage Investors Trust | |||||||||||||||||||||||||||||
Series 2004-OPT1, Class A1A (P) | 0.966 | 06-25-35 | 3,110,715 | 2,982,388 | |||||||||||||||||||||||||
Series 2005-WMC1, Class M1 (P) | 1.196 | 09-25-35 | 2,086,424 | 1,978,792 | |||||||||||||||||||||||||
MVW Owner Trust | |||||||||||||||||||||||||||||
Series 2014-1A, Class A (S) | 2.250 | 09-20-31 | 1,036,364 | 1,014,364 | |||||||||||||||||||||||||
Series 2015-1A, Class A (S) | 2.520 | 12-20-32 | 3,605,616 | 3,584,643 | |||||||||||||||||||||||||
Nationstar Home Equity Loan Trust Series 2006-B, Class AV4 (P) | 0.726 | 09-25-36 | 5,939,164 | 5,551,137 | |||||||||||||||||||||||||
New Century Home Equity Loan Trust | |||||||||||||||||||||||||||||
Series 2005-1, Class M1 (P) | 1.121 | 03-25-35 | 7,315,000 | 6,791,530 | |||||||||||||||||||||||||
Series 2005-2, Class M2 (P) | 0.896 | 06-25-35 | 10,316,000 | 9,793,278 | |||||||||||||||||||||||||
Nissan Auto Receivables Owner Trust | |||||||||||||||||||||||||||||
Series 2015-A, Class A4 | 1.500 | 09-15-21 | 90,000 | 89,998 | |||||||||||||||||||||||||
Series 2016-B, Class A4 | 1.540 | 10-17-22 | 3,255,000 | 3,236,189 | |||||||||||||||||||||||||
Nissan Master Owner Trust Receivables Trust Series 2015-A, Class A2 | 1.440 | 01-15-20 | 7,368,000 | 7,375,160 | |||||||||||||||||||||||||
Porsche Innovative Lease Owner Trust Series 2014-1, Class A4 (S) | 1.260 | 09-21-20 | 4,137,000 | 4,135,937 | |||||||||||||||||||||||||
Renaissance Home Equity Loan Trust Series 2005-2, Class AF4 | 4.934 | 08-25-35 | 6,645,000 | 6,668,323 | |||||||||||||||||||||||||
Saxon Asset Securities Trust Series 2006-2, Class A3C (P) | 0.596 | 09-25-36 | 7,152,786 | 6,799,225 | |||||||||||||||||||||||||
Sierra Timeshare Receivables Funding LLC Series 2014-2A, Class A (S) | 2.050 | 06-20-31 | 1,961,214 | 1,953,812 | |||||||||||||||||||||||||
Sonic Capital LLC Series 2016-1A, Class A2 (S) | 4.472 | 05-20-46 | 2,745,000 | 2,745,000 | |||||||||||||||||||||||||
Soundview Home Loan Trust Series 2005-CTX1, Class M2 (P) | 0.886 | 11-25-35 | 3,073,500 | 2,919,993 |
Rate (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Class A2D (P) | 0.746 | 12-25-36 | 7,690,000 | $7,579,262 | |||||||||||||||||||||||||
Structured Asset Investment Loan Trust | |||||||||||||||||||||||||||||
Series 2005-1, Class M2 (P) (S) | 1.166 | 02-25-35 | 5,285,000 | 5,031,859 | |||||||||||||||||||||||||
Series 2005-2, Class M2 (P) | 1.181 | 03-25-35 | 7,250,000 | 6,811,984 | |||||||||||||||||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2005-2XS, Class 2A2 (P) | 1.939 | 02-25-35 | 3,441,801 | 3,270,204 | |||||||||||||||||||||||||
Structured Asset Securities Corp. Trust Series 2005-AR1, Class M1 (P) | 0.876 | 09-25-35 | 2,735,000 | 2,608,944 | |||||||||||||||||||||||||
SunTrust Auto Receivables Trust Series 2015-1, Class A4 (S) | 1.780 | 01-15-21 | 6,555,000 | 6,567,194 | |||||||||||||||||||||||||
Synchrony Credit Card Master Note Trust Series 2016-1, Class A | 2.040 | 03-15-22 | 4,910,000 | 4,969,825 | |||||||||||||||||||||||||
Taco Bell Funding LLC Series 2016-1A, Class A2I (S) | 3.832 | 05-25-46 | 6,675,000 | 6,687,349 | |||||||||||||||||||||||||
TAL Advantage V LLC Series 2014-1A, Class A (S) | 3.510 | 02-22-39 | 1,821,250 | 1,745,578 | |||||||||||||||||||||||||
Toyota Auto Receivables Owner Series 2016-B, Class A4 | 1.520 | 08-16-21 | 3,910,000 | 3,903,938 | |||||||||||||||||||||||||
Toyota Auto Receivables Owner Trust | |||||||||||||||||||||||||||||
Series 2014-C, Class A4 | 1.440 | 04-15-20 | 3,590,000 | 3,598,718 | |||||||||||||||||||||||||
Series 2015-B, Class A4 | 1.740 | 09-15-20 | 5,540,000 | 5,576,331 | |||||||||||||||||||||||||
Volkswagen Credit Auto Master Trust Series 2014-1A, Class A2 (S) | 1.400 | 07-22-19 | 4,245,000 | 4,197,163 | |||||||||||||||||||||||||
Wendys Funding LLC Series 2015-1A, Class A2I (S) | 3.371 | 06-15-45 | 10,662,420 | 10,598,416 | |||||||||||||||||||||||||
Westgate Resorts LLC | |||||||||||||||||||||||||||||
Series 2013-1A, Class B (S) | 3.750 | 08-20-25 | 421,060 | 420,930 | |||||||||||||||||||||||||
Series 2014-1A, Class A (S) | 2.150 | 12-20-26 | 6,034,795 | 5,932,988 | |||||||||||||||||||||||||
Series 2014-1A, Class B (S) | 3.250 | 12-20-26 | 2,771,812 | 2,729,370 | |||||||||||||||||||||||||
Series 2014-AA, Class A (S) | 6.250 | 10-20-26 | 1,137,198 | 1,132,991 | |||||||||||||||||||||||||
Series 2015-1A, Class A (S) | 2.750 | 05-20-27 | 2,573,483 | 2,550,097 | |||||||||||||||||||||||||
Series 2015-2A, Class B (S) | 4.000 | 07-20-28 | 4,392,925 | 4,359,464 | |||||||||||||||||||||||||
Series 2016-1A, Class A (S) | 3.500 | 12-20-28 | 2,884,142 | 2,858,381 | |||||||||||||||||||||||||
World Omni Auto Receivables Trust Series 2016-A, Class A3 | 1.770 | 09-15-21 | 9,880,000 | 9,955,984 | |||||||||||||||||||||||||
World Omni Automobile Lease Securitization Trust Series 2014-A, Class A4 | 1.370 | 01-15-20 | 4,565,000 | 4,570,134 | |||||||||||||||||||||||||
Shares | Value | ||||||||||||||||||||||||||||
Preferred securities 0.6% | $24,265,792 | ||||||||||||||||||||||||||||
(Cost $24,254,595) | |||||||||||||||||||||||||||||
Consumer staples 0.1% | 2,009,672 | ||||||||||||||||||||||||||||
Food and staples retailing 0.1% | |||||||||||||||||||||||||||||
Ocean Spray Cranberries, Inc., Series A, 6.250% (S) | 23,250 | 2,009,672 |
Shares | Value | ||||||||||||||||||||||||||||
Financials 0.4% | $16,832,410 | ||||||||||||||||||||||||||||
Banks 0.1% | |||||||||||||||||||||||||||||
FNB Corp. (7.250% to 2-15-24, then 3 month LIBOR + 4.600%) | 62,350 | 1,886,088 | |||||||||||||||||||||||||||
Regions Financial Corp., 6.375% | 78,785 | 2,067,318 | |||||||||||||||||||||||||||
Wells Fargo & Company, Series L, 7.500% | 1,572 | 1,932,570 | |||||||||||||||||||||||||||
Capital markets 0.1% | |||||||||||||||||||||||||||||
The Goldman Sachs Group, Inc. (5.500% to 5-10-23, then 3 month LIBOR + 3.640%) | 95,285 | 2,467,882 | |||||||||||||||||||||||||||
Consumer finance 0.0% | |||||||||||||||||||||||||||||
Discover Financial Services, 6.500% | 69,600 | 1,840,224 | |||||||||||||||||||||||||||
Diversified financial services 0.2% | |||||||||||||||||||||||||||||
GMAC Capital Trust I, 6.402% | 265,056 | 6,638,328 | |||||||||||||||||||||||||||
Utilities 0.1% | 5,423,710 | ||||||||||||||||||||||||||||
Electric utilities 0.0% | |||||||||||||||||||||||||||||
Exelon Corp., 6.500% | 42,281 | 1,996,509 | |||||||||||||||||||||||||||
Multi-utilities 0.1% | |||||||||||||||||||||||||||||
Dominion Resources, Inc., 6.375% | 68,339 | 3,427,201 | |||||||||||||||||||||||||||
Shares | Value | ||||||||||||||||||||||||||||
Warrants 0.0% | $8,015 | ||||||||||||||||||||||||||||
(Cost $0) | |||||||||||||||||||||||||||||
HealthSouth Corp. (Expiration Date: 1-17-17; Strike Price: $41.40) (I) | 3,143 | 8,015 | |||||||||||||||||||||||||||
Yield* (%) | Maturity date | Par value^ | Value | ||||||||||||||||||||||||||
Short-term investments 4.2% | $157,432,000 | ||||||||||||||||||||||||||||
(Cost $157,432,000) | |||||||||||||||||||||||||||||
U.S. Government Agency 1.0% | 38,674,000 | ||||||||||||||||||||||||||||
Federal Home Loan Bank Discount Note | 0.150 | 06-01-16 | 38,674,000 | 38,674,000 | |||||||||||||||||||||||||
Par value^ | Value | ||||||||||||||||||||||||||||
Repurchase agreement 3.2% | 118,758,000 | ||||||||||||||||||||||||||||
Barclays Tri-Party Repurchase Agreement dated 5-31-16 at 0.290% to be repurchased at $105,116,847 on 6-1-16, collateralized by $75,872,700 U.S. Treasury Inflation Indexed Bonds, 0.750% due 2-15-45 (valued at $73,675,511, including interest) and $32,500,000 U.S. Treasury Inflation Indexed Notes, 0.125% due 1-15-23 (valued at $33,543,743, including interest) | 105,116,000 | 105,116,000 | |||||||||||||||||||||||||||
Repurchase Agreement with State Street Corp. dated 5-31-16 at 0.030% to be repurchased at $13,642,011 on 6-1-16, collateralized by $13,415,000 U.S. Treasury Notes, 2.125% due 8-31-20 (valued at $13,918,063, including interest) | 13,642,000 | 13,642,000 | |||||||||||||||||||||||||||
Total investments (Cost $3,809,116,560)† 101.6% | $3,840,878,896 | ||||||||||||||||||||||||||||
Other assets and liabilities, net (1.6%) | ($61,513,327 | ) | |||||||||||||||||||||||||||
Total net assets 100.0% | $3,779,365,569 |
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 Security Abbreviations and Legend | |||||||||||||||||||||||||||||
IO | Interest Only Security — (Interest Tranche of Stripped Mortgage Pool). Rate shown is the effective yield at period end. | ||||||||||||||||||||||||||||
ISDAFIX | International Swaps and Derivatives Association Fixed Interest Rate Swap Rate | ||||||||||||||||||||||||||||
LIBOR | London Interbank Offered Rate | ||||||||||||||||||||||||||||
PIK | Payment-in-kind | ||||||||||||||||||||||||||||
(C) | Security purchased or sold on a when-issued or delayed delivery basis. | ||||||||||||||||||||||||||||
(H) | Non-income producing - Issuer is in default. | ||||||||||||||||||||||||||||
(I) | Non-income producing security. | ||||||||||||||||||||||||||||
(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 $872,968,251 or 23.1% of the fund's net assets as of 5-31-16. | ||||||||||||||||||||||||||||
* | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. | ||||||||||||||||||||||||||||
† | At 5-31-16, the aggregate cost of investment securities for federal income tax purposes was $3,821,268,605. Net unrealized appreciation aggregated to $19,610,291, of which $67,763,385 related to appreciated investment securities and $48,153,094 related to depreciated investment securities. |
Financial statements
STATEMENT OF ASSETS AND LIABILITIES 5-31-16
Assets | ||||||||||||||||||||||||||||||
Investments, at value (Cost $3,809,116,560) | $3,840,878,896 | |||||||||||||||||||||||||||||
Cash | 4,724,938 | |||||||||||||||||||||||||||||
Receivable for investments sold | 19,041,573 | |||||||||||||||||||||||||||||
Receivable for delayed delivery securities sold | 8,748,806 | |||||||||||||||||||||||||||||
Receivable for fund shares sold | 17,717,367 | |||||||||||||||||||||||||||||
Dividends and interest receivable | 27,613,996 | |||||||||||||||||||||||||||||
Receivable due from advisor | 204 | |||||||||||||||||||||||||||||
Other receivables and prepaid expenses | 165,398 | |||||||||||||||||||||||||||||
Total assets | 3,918,891,178 | |||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||
Payable for investments purchased | 54,472,916 | |||||||||||||||||||||||||||||
Payable for delayed delivery securities purchased | 73,867,264 | |||||||||||||||||||||||||||||
Payable for fund shares repurchased | 9,349,414 | |||||||||||||||||||||||||||||
Distributions payable | 598,090 | |||||||||||||||||||||||||||||
Payable to affiliates | ||||||||||||||||||||||||||||||
Accounting and legal services fees | 112,823 | |||||||||||||||||||||||||||||
Transfer agent fees | 339,467 | |||||||||||||||||||||||||||||
Distribution and service fees | 294,183 | |||||||||||||||||||||||||||||
Other liabilities and accrued expenses | 491,452 | |||||||||||||||||||||||||||||
Total liabilities | 139,525,609 | |||||||||||||||||||||||||||||
Net assets | $3,779,365,569 | |||||||||||||||||||||||||||||
Net assets consist of | ||||||||||||||||||||||||||||||
Paid-in capital | $3,786,767,091 | |||||||||||||||||||||||||||||
Undistributed net investment income | 1,246,663 | |||||||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions | (40,410,528 | ) | ||||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) on investments | 31,762,343 | |||||||||||||||||||||||||||||
Net assets | $3,779,365,569 | |||||||||||||||||||||||||||||
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 ($1,903,832,660 ÷ 120,544,249 shares)1 | $15.79 | |||||||||||||||||
Class B ($22,514,571 ÷ 1,425,683 shares)1 | $15.79 | |||||||||||||||||
Class C ($309,924,766 ÷ 19,621,947 shares)1 | $15.79 | |||||||||||||||||
Class I ($1,367,422,648 ÷ 86,570,049 shares) | $15.80 | |||||||||||||||||
Class R2 ($56,045,478 ÷ 3,544,642 shares) | $15.81 | |||||||||||||||||
Class R4 ($306,955 ÷ 19,414 shares) | $15.81 | |||||||||||||||||
Class R6 ($117,798,269 ÷ 7,449,639 shares) | $15.81 | |||||||||||||||||
Class NAV ($1,520,222 ÷ 96,127 shares) | $15.81 | |||||||||||||||||
Maximum offering price per share | ||||||||||||||||||
Class A (net asset value per share ÷ 96%)2 | $16.45 |
1 | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. | ||||||||||||||||
2 | On single retail sales of less than $100,000. On sales of $100,000 or more and on group sales the offering price is reduced. |
STATEMENT OF OPERATIONS For the year ended 5-31-16
Investment income | ||||||||||||||||||||||||
Interest | $120,958,099 | |||||||||||||||||||||||
Dividends | 1,845,796 | |||||||||||||||||||||||
Total investment income | 122,803,895 | |||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||
Investment management fees | 13,703,959 | |||||||||||||||||||||||
Distribution and service fees | 8,561,143 | |||||||||||||||||||||||
Accounting and legal services fees | 629,175 | |||||||||||||||||||||||
Transfer agent fees | 3,718,341 | |||||||||||||||||||||||
Trustees' fees | 46,719 | |||||||||||||||||||||||
State registration fees | 283,904 | |||||||||||||||||||||||
Printing and postage | 291,198 | |||||||||||||||||||||||
Professional fees | 232,469 | |||||||||||||||||||||||
Custodian fees | 442,537 | |||||||||||||||||||||||
Registration and filing fees | 121,701 | |||||||||||||||||||||||
Other | 60,484 | |||||||||||||||||||||||
Total expenses | 28,091,630 | |||||||||||||||||||||||
Less expense reductions | (1,835,696 | ) | ||||||||||||||||||||||
Net expenses | 26,255,934 | |||||||||||||||||||||||
Net investment income | 96,547,961 | |||||||||||||||||||||||
Realized and unrealized gain (loss) | ||||||||||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||||||||||
Investments and foreign currency transactions | (13,656,576 | ) | ||||||||||||||||||||||
Futures contracts | 1,791,400 | |||||||||||||||||||||||
(11,865,176 | ) | |||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of | ||||||||||||||||||||||||
Investments and translation of assets and liabilities in foreign currencies | (24,697,088 | ) | ||||||||||||||||||||||
(24,697,088 | ) | |||||||||||||||||||||||
Net realized and unrealized loss | (36,562,264 | ) | ||||||||||||||||||||||
Increase in net assets from operations | $59,985,697 |
STATEMENTS OF CHANGES IN NET ASSETS
Year ended 5-31-16 | Year ended 5-31-15 | |||||||||||||||||||||||||||||||||||||||||||||||
Increase (decrease) in net assets | ||||||||||||||||||||||||||||||||||||||||||||||||
From operations | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | $96,547,961 | $77,562,494 | ||||||||||||||||||||||||||||||||||||||||||||||
Net realized gain (loss) | (11,865,176 | ) | 11,460,974 | |||||||||||||||||||||||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (24,697,088 | ) | (19,212,687 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Increase in net assets resulting from operations | 59,985,697 | 69,810,781 | ||||||||||||||||||||||||||||||||||||||||||||||
Distributions to shareholders | ||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | ||||||||||||||||||||||||||||||||||||||||||||||||
Class A | (58,302,581 | ) | (59,394,153 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class B | (629,610 | ) | (977,676 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class C | (7,007,749 | ) | (6,417,954 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class I | (33,385,576 | ) | (22,879,954 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class R2 | (1,438,202 | ) | (749,133 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class R41 | (5,612 | ) | (613 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class R6 | (3,813,054 | ) | (2,793,534 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Class NAV2 | (41,131 | ) | — | |||||||||||||||||||||||||||||||||||||||||||||
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 | (104,623,515 | ) | (100,492,435 | ) | ||||||||||||||||||||||||||||||||||||||||||||
From fund share transactions | 880,827,449 | 1,016,221,197 | ||||||||||||||||||||||||||||||||||||||||||||||
Total increase | 836,189,631 | 985,539,543 | ||||||||||||||||||||||||||||||||||||||||||||||
Net assets | ||||||||||||||||||||||||||||||||||||||||||||||||
Beginning of year | 2,943,175,938 | 1,957,636,395 | ||||||||||||||||||||||||||||||||||||||||||||||
End of year | $3,779,365,569 | $2,943,175,938 | ||||||||||||||||||||||||||||||||||||||||||||||
Undistributed (accumulated distributions in excess of) net investment income | $1,246,663 | ($570,403 | ) |
1 | The inception date for Class R4 shares is 3-27-15. | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | The inception date for Class NAV shares is 8-31-15. |
Financial highlights
Class A Shares Period ended | 5-31-16 | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.06 | $16.26 | $16.37 | $15.86 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income1 | 0.47 | 0.53 | 0.61 | 0.63 | 0.72 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | (0.05 | ) | 0.02 | 0.61 | 0.08 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.24 | 0.48 | 0.63 | 1.24 | 0.80 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.51 | ) | (0.63 | ) | (0.67 | ) | (0.70 | ) | (0.79 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | — | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.51 | ) | (0.68 | ) | (0.74 | ) | (0.73 | ) | (0.80 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.79 | $16.06 | $16.26 | $16.37 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)2,3 | 1.59 | 3.02 | 4.06 | 7.93 | 5.21 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $1,904 | $1,740 | $1,411 | $1,434 | $1,061 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.93 | 0.94 | 0.98 | 1.03 | 1.06 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.87 | 0.89 | 0.92 | 0.98 | 1.02 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 3.01 | 3.25 | 3.80 | 3.84 | 4.63 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 56 | 66 | 77 | 72 | 76 |
1 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | Does not reflect the effect of sales charges, if any. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
Class B Shares Period ended | 5-31-16 | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.06 | $16.26 | $16.37 | $15.86 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income1 | 0.36 | 0.42 | 0.50 | 0.51 | 0.61 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | (0.05 | ) | 0.02 | 0.61 | 0.08 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.13 | 0.37 | 0.52 | 1.12 | 0.69 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.40 | ) | (0.52 | ) | (0.56 | ) | (0.58 | ) | (0.68 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | — | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.40 | ) | (0.57 | ) | (0.63 | ) | (0.61 | ) | (0.69 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.79 | $16.06 | $16.26 | $16.37 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)2,3 | 0.88 | 2.31 | 3.34 | 7.18 | 4.48 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $23 | $28 | $33 | $44 | $37 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 1.63 | 1.64 | 1.68 | 1.73 | 1.76 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 1.57 | 1.59 | 1.62 | 1.68 | 1.72 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 2.32 | 2.57 | 3.11 | 3.15 | 3.92 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 56 | 66 | 77 | 72 | 76 |
1 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | Does not reflect the effect of sales charges, if any. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
Class C Shares Period ended | 5-31-16 | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.06 | $16.26 | $16.37 | $15.87 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income1 | 0.36 | 0.41 | 0.49 | 0.51 | 0.61 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | (0.04 | ) | 0.03 | 0.60 | 0.09 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.13 | 0.37 | 0.52 | 1.11 | 0.70 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.40 | ) | (0.52 | ) | (0.56 | ) | (0.58 | ) | (0.68 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | — | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.40 | ) | (0.57 | ) | (0.63 | ) | (0.61 | ) | (0.69 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.79 | $16.06 | $16.26 | $16.37 | $15.87 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)2,3 | 0.88 | 2.31 | 3.34 | 7.11 | 4.55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $310 | $250 | $162 | $195 | $116 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 1.63 | 1.64 | 1.68 | 1.72 | 1.77 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 1.57 | 1.59 | 1.62 | 1.67 | 1.72 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 2.31 | 2.53 | 3.10 | 3.12 | 3.91 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 56 | 66 | 77 | 72 | 76 |
1 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | Does not reflect the effect of sales charges, if any. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
Class I Shares Period ended | 5-31-16 | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.06 | $16.26 | $16.37 | $15.87 | $15.86 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income1 | 0.52 | 0.57 | 0.66 | 0.68 | 0.78 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.22 | ) | (0.04 | ) | 0.02 | 0.61 | 0.09 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.30 | 0.53 | 0.68 | 1.29 | 0.87 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.56 | ) | (0.68 | ) | (0.72 | ) | (0.76 | ) | (0.85 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | — | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.56 | ) | (0.73 | ) | (0.79 | ) | (0.79 | ) | (0.86 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.80 | $16.06 | $16.26 | $16.37 | $15.87 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)2 | 1.97 | 3.35 | 4.40 | 8.27 | 5.70 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $1,367 | $793 | $302 | $277 | $123 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.61 | 0.63 | 0.66 | 0.65 | 0.67 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.56 | 0.57 | 0.60 | 0.60 | 0.62 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 3.32 | 3.53 | 4.11 | 4.19 | 4.99 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 56 | 66 | 77 | 72 | 76 |
1 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. |
Class R2 Shares Period ended | 5-31-16 | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.08 | $16.27 | $16.38 | $15.87 | $15.80 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.46 | 0.51 | 0.60 | 0.62 | 0.17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | (0.02 | ) | 0.02 | 0.64 | 0.09 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.23 | 0.49 | 0.62 | 1.26 | 0.26 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.50 | ) | (0.63 | ) | (0.66 | ) | (0.72 | ) | (0.19 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | — | (0.05 | ) | (0.07 | ) | (0.03 | ) | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.50 | ) | (0.68 | ) | (0.73 | ) | (0.75 | ) | (0.19 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.81 | $16.08 | $16.27 | $16.38 | $15.87 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)3 | 1.55 | 2.97 | 4.01 | 8.09 | 1.68 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $56 | $39 | $7 | $2 | — | 5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 1.03 | 0.98 | 1.05 | 1.03 | 0.86 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.97 | 0.93 | 0.99 | 0.98 | 0.80 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 2.92 | 3.16 | 3.76 | 3.88 | 4.28 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 56 | 66 | 77 | 72 | 76 | 7 |
1 | The inception date for Class R2 shares is 3-1-12. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4 | Not annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5 | Less than $500,000. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6 | Annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
7 | The portfolio turnover is shown for the period from 6-1-11 to 5-31-12. |
Class R4 Shares Period ended | 5-31-16 | 5-31-15 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.08 | $16.15 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.51 | 0.06 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized loss on investments | (0.22 | ) | (0.03 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.29 | 0.03 | ||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | ||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.56 | ) | (0.10 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.81 | $16.08 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)3 | 1.86 | 0.18 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | — | 5 | — | 5 | ||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | ||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.82 | 0.80 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.66 | 0.64 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 3.24 | 2.21 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 56 | 66 | 7 |
1 | The inception date for Class R4 shares is 3-27-15. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4 | Not annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5 | Less than $500,000. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6 | Annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
7 | The portfolio turnover is shown for the period from 6-1-14 to 5-31-15. |
Class R6 Shares Period ended | 5-31-16 | 5-31-15 | 5-31-14 | 5-31-13 | 5-31-12 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $16.08 | $16.28 | $16.38 | $15.87 | $15.55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.54 | 0.59 | 0.68 | 0.70 | 0.57 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | (0.04 | ) | 0.03 | 0.61 | 0.40 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total from investment operations | 0.31 | 0.55 | 0.71 | 1.31 | 0.97 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.58 | ) | (0.70 | ) | (0.74 | ) | (0.77 | ) | (0.64 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
From net realized gain | — | (0.05 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total distributions | (0.58 | ) | (0.75 | ) | (0.81 | ) | (0.80 | ) | (0.65 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | $15.81 | $16.08 | $16.28 | $16.38 | $15.87 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return (%)3 | 2.02 | 3.45 | 4.58 | 8.42 | 6.38 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $118 | $93 | $43 | $3 | $2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses before reductions | 0.52 | 0.54 | 0.56 | 0.57 | 0.63 | 5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses including reductions | 0.44 | 0.46 | 0.50 | 0.52 | 0.57 | 5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | 3.45 | 3.66 | 4.26 | 4.30 | 5.04 | 5 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover (%) | 56 | 66 | 77 | 72 | 76 | 6 |
1 | The inception date for Class R6 shares is 9-1-11. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2 | Based on average daily shares outstanding. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the applicable periods. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4 | Not annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
5 | Annualized. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6 | The portfolio turnover is shown for the period from 6-1-11 to 5-31-12. |
Class NAV Shares Period ended | 5-31-16 | 1 | |||||||||||||||||||||||||||
Per share operating performance | |||||||||||||||||||||||||||||
Net asset value, beginning of period | $15.78 | ||||||||||||||||||||||||||||
Net investment income2 | 0.41 | ||||||||||||||||||||||||||||
Net realized and unrealized gain on investments | 0.06 | ||||||||||||||||||||||||||||
Total from investment operations | 0.47 | ||||||||||||||||||||||||||||
Less distributions | |||||||||||||||||||||||||||||
From net investment income | (0.44 | ) | |||||||||||||||||||||||||||
Net asset value, end of period | $15.81 | ||||||||||||||||||||||||||||
Total return (%)3 | 3.03 | 4 | |||||||||||||||||||||||||||
Ratios and supplemental data | |||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $2 | ||||||||||||||||||||||||||||
Ratios (as a percentage of average net assets): | |||||||||||||||||||||||||||||
Expenses before reductions | 0.50 | 5 | |||||||||||||||||||||||||||
Expenses including reductions | 0.44 | 5 | |||||||||||||||||||||||||||
Net investment income | 3.44 | 5 | |||||||||||||||||||||||||||
Portfolio turnover (%) | 56 | 6 |
1 | The inception date for Class NAV shares is 8-31-15. | |||||||||||||||||||||||||||||||||||||
2 | Based on average daily shares outstanding. | |||||||||||||||||||||||||||||||||||||
3 | Total returns would have been lower had certain expenses not been reduced during the period. | |||||||||||||||||||||||||||||||||||||
4 | Not annualized. | |||||||||||||||||||||||||||||||||||||
5 | Annualized. | |||||||||||||||||||||||||||||||||||||
6 | The portfolio turnover is shown for the period from 6-1-15 to 5-31-16. |
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 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 scheduled close of regular trading on the New York Stock Exchange (NYSE), normally at 4:00 p.m., Eastern Time. In case of emergency or other disruption resulting in the NYSE not opening for trading or the NYSE closing at a time other than the regularly scheduled close, the net asset value (NAV) may be determined as of the regularly scheduled close of the NYSE pursuant to the fund's Valuation Policies and Procedures. The time at which shares and transactions are priced and until which orders are accepted may vary to the extent permitted by the Securities and Exchange Commission and applicable regulations.
In order to value the securities, the fund uses the following valuation techniques: 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. Equity securities held by the fund are typically valued at the last sale price or official closing price on the exchange or principal market 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. In certain instances, the Pricing Committee may determine to value equity securities using prices obtained from another exchange or market if trading on the exchange or market on which prices are typically obtained did not open for trading as scheduled, or if trading closed earlier than scheduled, and trading occurred as normal on another exchange or market.
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 May 31, 2016, by major security category or type:
Total value at 5-31-16 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
Corporate bonds | $1,532,257,776 | — | $1,532,257,776 | — |
U.S. Government and Agency obligations | 1,055,355,354 | — | 1,055,355,354 | — |
Foreign government obligations | 11,436,327 | — | 11,436,327 | — |
Capital preferred securities | 26,973,151 | — | 26,973,151 | — |
Convertible bonds | 2,472,188 | — | 2,472,188 | — |
Municipal bonds | 4,903,342 | — | 4,903,342 | — |
Term loans | 8,880,057 | — | 8,880,057 | — |
Collateralized mortgage obligations | 440,079,701 | — | 440,079,701 | — |
Asset backed securities | 576,815,193 | — | 576,815,193 | — |
Preferred securities | 24,265,792 | $20,370,032 | 3,895,760 | — |
Warrants | 8,015 | 8,015 | — | — |
Short-term investments | 157,432,000 | — | 157,432,000 | — |
Total investments in securities | $3,840,878,896 | $20,378,047 | $3,820,500,849 | — |
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.
Stripped securities. Stripped securities are financial instruments structured to separate principal and interest cash flows so that one class receives principal payments from the underlying assets (PO or principal only), while the other class receives the interest cash flows (IO or interest only). Both PO and IO investments represent an interest in the cash flows of an underlying stripped security. If the underlying assets experience greater than anticipated prepayments of principal, the fund may fail to fully recover its initial investment in an IO security. The market value of these securities can be extremely volatile in response to changes in interest rates or prepayments on the underlying securities. In addition, these securities present additional credit risk such that the fund may not receive all or part of its principal or interest payments because the borrower or issuer has defaulted on its obligation.
Security transactions and related investment income. Investment security transactions are accounted for on a trade date plus one basis for daily NAV 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 line of credit, is charged to each participating fund on a pro rata basis and is reflected in Other expenses on the Statement of operations. Commitment fees for the year ended May 31, 2016 were $5,756. For the year ended May 31, 2016, 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, for all classes, are calculated daily at the class level based on the net assets of each class and the specific expense rates applicable to each class.
Federal income taxes. The fund intends to continue to qualify as a regulated investment company by complying with the applicable provisions of the Internal Revenue Code and will not be subject to federal income tax on taxable income that is distributed to shareholders. Therefore, no federal income tax provision is required.
For federal income tax purposes, as of May 31, 2016, the fund has a short-term capital loss carryfoward of $7,840,389 and a long-term capital loss carryforward of $20,499,932 available to offset future net realized capital gains. These carryforwards do not expire.
As of May 31, 2016, the fund had no uncertain tax positions that would require financial statement recognition, derecognition or disclosure. The fund's federal tax returns are subject to examination by the Internal Revenue Service for a period of three years.
Distribution of income and gains. Distributions to shareholders from net investment income and net realized gains, if any, are recorded on the ex-date. The fund generally declares dividends daily and pays them monthly. Capital gain distributions, if any, are distributed annually.
The tax character of distributions for the years ended May 31, 2016 and 2015 was as follows:
May 31, 2016 | May 31, 2015 | |||||||
Ordinary Income | $104,623,515 | $94,787,378 |
May 31, 2016 | May 31, 2015 | |||||||
Long-Term Capital Gain | — | 5,705,057 | ||||||
Total | $104,623,515 | $100,492,435 |
Distributions paid by the fund with respect to each class of shares are calculated in the same manner, at the same time and in the same amount, except for the effect of class level expenses that may be applied differently to each class. As of May 31, 2016, the components of distributable earnings on a tax basis consisted of $1,926,591 of undistributed ordinary income.
Such distributions and distributable earnings, on a tax basis, are determined in conformity with income tax regulations, which may differ from US GAAP. Distributions in excess of tax basis earnings and profits, if any, are reported in the fund's financial statements as a return of capital.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences, if any, will reverse in a subsequent period. Book-tax differences are primarily attributable to 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 (over-the-counter) 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 on an exchange. Exchange-traded transactions 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.
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 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 year ended May 31, 2016, 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 as measured at each quarter end. There were no open futures contracts as of May 31, 2016.
Effect of derivative instruments on the Statement of operations
The table below summarizes the net realized gain (loss) included in the net increase (decrease) in net assets from operations, classified by derivative instrument and risk category, for the year ended May 31, 2016:
Risk | Statement of operations location | Futures contracts |
Interest rate | Net realized gain (loss) | $1,791,400 |
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 year ended May 31, 2016, 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. These fee waivers and/or reimbursements expire on September 30, 2016, unless renewed by mutual agreement of the fund and the Advisor based upon a determination that this is appropriate under the circumstances at that time.
The Advisor has contractually agreed to waive and/or reimburse all class-specific expenses for Class R6 shares of the fund to the extent they exceed 0.00% of average net assets, on an annualized basis attributable to the class. 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 year ended May 31, 2016, these expense reductions described above amounted to the following:
Class | Expense reduction | Class | Expense reduction | |
Class A | $1,024,881 | Class R4 | $92 | |
Class B | 14,057 | Class R6 | 76,435 | |
Class C | 156,890 | Class NAV | 631 | |
Class I | 536,363 | Total | $1,835,535 | |
Class R2 | 26,186 |
Expenses waived or reimbursed in the current fiscal period are not subject to recapture in future fiscal periods.
The investment management fees incurred for the year ended May 31, 2016 were equivalent to a net annual effective rate of 0.37% of the fund's average daily net assets.
Accounting and legal services. Pursuant to a service agreement, the fund reimburses the Advisor for all expenses associated with providing the administrative, financial, legal, accounting and recordkeeping services to the fund, including the preparation of all tax returns, periodic reports to shareholders and regulatory reports, among other services. These expenses are allocated to each share class based on its relative net assets at the time the expense was incurred. These accounting and legal services fees incurred for the year ended May 31, 2016 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 Rule12b-1 fees for Class R4 shares. The current waiver agreement expires 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 $161 for Class R4 shares for the year ended May 31, 2016.
Sales charges. Class A shares are assessed up-front sales charges, which resulted in payments to the Distributor amounting to $7,107,697 for the year ended May 31, 2016. Of this amount, $1,007,826 was retained and used for printing prospectuses, advertising, sales literature and other purposes, $6,011,560 was paid as sales commissions to broker-dealers and $88,311 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 year ended May 31, 2016, CDSCs received by the Distributor amounted to $5,388, $63,511 and $68,440 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 year ended May 31, 2016 were:
Class | Distribution and service fees | Transfer agent fees |
Class A | $5,350,202 | $2,252,246 |
Class B | 244,161 | 30,864 |
Class C | 2,732,623 | 344,958 |
Class I | — | 1,065,659 |
Class R2 | 233,679 | 7,528 |
Class R4 | 478 | 27 |
Class R6 | — | 17,059 |
Total | $8,561,143 | $3,718,341 |
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 years ended May 31, 2016 and 2015 were as follows:
Year ended 5-31-16 | Year ended 5-31-15 | |||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Sold | 35,391,749 | $554,961,010 | 36,489,446 | $589,787,612 | ||||||||||||||||||||||
Distributions reinvested | 3,513,492 | 55,111,261 | 3,713,667 | 60,005,892 | ||||||||||||||||||||||
Repurchased | (26,690,242 | ) | (418,500,249 | ) | (18,665,985 | ) | (302,037,248 | ) | ||||||||||||||||||
Net increase | 12,214,999 | $191,572,022 | 21,537,128 | $347,756,256 | ||||||||||||||||||||||
Class B Shares | ||||||||||||||||||||||||||
Sold | 82,433 | $1,288,500 | 82,022 | $1,327,241 | ||||||||||||||||||||||
Distributions reinvested | 32,988 | 517,501 | 52,585 | 849,537 | ||||||||||||||||||||||
Repurchased | (431,764 | ) | (6,776,648 | ) | (397,112 | ) | (6,418,691 | ) | ||||||||||||||||||
Net decrease | (316,343 | ) | ($4,970,647 | ) | (262,505 | ) | ($4,241,913 | ) | ||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Sold | 7,058,923 | $110,691,432 | 7,668,246 | $123,946,031 | ||||||||||||||||||||||
Distributions reinvested | 409,330 | 6,420,042 | 389,803 | 6,295,754 | ||||||||||||||||||||||
Repurchased | (3,423,907 | ) | (53,698,550 | ) | (2,461,115 | ) | (39,792,491 | ) | ||||||||||||||||||
Net increase | 4,044,346 | $63,412,924 | 5,596,934 | $90,449,294 | ||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||
Sold | 56,304,150 | $884,365,532 | 36,713,562 | $593,720,458 | ||||||||||||||||||||||
Distributions reinvested | 1,944,559 | 30,506,400 | 1,375,684 | 22,220,847 | ||||||||||||||||||||||
Repurchased | (21,083,501 | ) | (329,474,837 | ) | (7,262,983 | ) | (117,301,758 | ) | ||||||||||||||||||
Net increase | 37,165,208 | $585,397,095 | 30,826,263 | $498,639,547 | ||||||||||||||||||||||
Class R2 Shares | ||||||||||||||||||||||||||
Sold | 1,698,660 | $26,609,115 | 2,295,718 | $37,088,850 | ||||||||||||||||||||||
Distributions reinvested | 88,114 | 1,383,168 | 48,223 | 779,202 | ||||||||||||||||||||||
Repurchased | (661,225 | ) | (10,392,657 | ) | (342,641 | ) | (5,541,369 | ) | ||||||||||||||||||
Net increase | 1,125,549 | $17,599,626 | 2,001,300 | $32,326,683 |
Year ended 5-31-16 | Year ended 5-31-15 | |||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||
Class R4 Shares1 | ||||||||||||||||||||||||||
Sold | 13,084 | $204,641 | 6,192 | $100,000 | ||||||||||||||||||||||
Distributions reinvested | 138 | 2,171 | — | — | ||||||||||||||||||||||
Net increase | 13,222 | $206,812 | 6,192 | $100,000 | ||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||
Sold | 2,204,481 | $34,512,931 | 3,289,778 | $53,125,238 | ||||||||||||||||||||||
Distributions reinvested | 242,793 | 3,812,467 | 184,830 | 2,988,651 | ||||||||||||||||||||||
Repurchased | (779,808 | ) | (12,233,469 | ) | (304,508 | ) | (4,922,559 | ) | ||||||||||||||||||
Net increase | 1,667,466 | $26,091,929 | 3,170,100 | $51,191,330 | ||||||||||||||||||||||
Class NAV Shares2 | ||||||||||||||||||||||||||
Sold | 113,500 | $1,786,571 | — | — | ||||||||||||||||||||||
Distributions reinvested | 2,626 | 41,131 | — | — | ||||||||||||||||||||||
Repurchased | (19,999 | ) | (310,014 | ) | — | — | ||||||||||||||||||||
Net increase | 96,127 | $1,517,688 | — | — | ||||||||||||||||||||||
Total net increase | 56,010,574 | $880,827,449 | 62,875,412 | $1,016,221,197 |
1 The inception date for Class R4 shares is 3-27-15.
2 The inception date for Class NAV shares is 8-31-15.
Affiliates of the fund owned 32% and 100% of shares of beneficial interest of Class R4 and Class NAV shares, respectively, on May 31, 2016.
Note 7 — Purchase and sale of securities
Purchases and sales of securities, other than short-term securities and U.S. Treasury obligations, amounted to $1,482,050,608 and $781,666,742, respectively, for the year ended May 31, 2016. Purchases and sales of U.S. Treasury obligations aggregated $1,175,885,179 and $970,975,159, respectively for the year ended May 31, 2016.
Note 8 — Investment by affiliated funds
Certain investors in the fund are affiliated funds that are managed by the Advisor and its affiliates. The affiliated funds do not invest in the fund for the purpose of exercising management or control; however, this investment may represent a significant portion of the fund's net assets. At May 31, 2016, funds within the John Hancock group of funds complex held 0.04% of the fund's net assets.
Note 9 — Interfund trading
The fund is permitted to purchase or sell securities from or to certain other affiliated funds, as set forth in Rule 17a-7 of the 1940 Act, under specified conditions outlined in procedures adopted by the Board of Trustees of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by the fund from or to another fund that is or could be considered an affiliate complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. Pursuant to these procedures, for the year ended May 31, 2016, the fund engaged in purchases amounting to $69,578,680.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of John Hancock Sovereign Bond Fund and John Hancock Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the fund's investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of John Hancock Bond Fund (the "Fund") at May 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at May 31, 2016 by correspondence with the custodian and brokers, and the application of alternative auditing procedures where securities purchased confirmations had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
July 15, 2016
Unaudited
For federal income tax purposes, the following information is furnished with respect to the distributions of the fund, if any, paid during its taxable year ended May 31, 2016.
The fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends-received deduction.
The fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Eligible shareholders will be mailed a 2016 Form 1099-DIV in early 2017. This will reflect the tax character of all distributions paid in calendar year 2016.
Please consult a tax advisor regarding the tax consequences of your investment in the fund.
This chart provides information about the Trustees and Officers who oversee your John Hancock fund. Officers elected by the Trustees manage the day-to-day operations of the fund and execute policies formulated by the Trustees.
Independent Trustees
Name, year of birth Position(s) held with fund Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
James M. Oates, Born: 1946 | 2012 | 230 |
Trustee and Chairperson of the Board Managing Director, Wydown Group (financial consulting firm) (since 1994); Chairman and Director, Emerson Investment Management, Inc. (since 2000); Independent Chairman, Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services company) (1997-2011); Director, Stifel Financial (since 1996); Director, Investor Financial Services Corporation (1995-2007); Director, Connecticut River Bancorp (1998-2014); Director, Virtus Funds (formerly Phoenix Mutual Funds) (since 1988). Trustee and Chairperson of the Board, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015); Trustee and Chairperson of the Board, John Hancock retail funds3 (since 2012); Trustee (2005-2006 and since 2012) and Chairperson of the Board (since 2012), John Hancock Funds III; Trustee (since 2004) and Chairperson of the Board (since 2005), John Hancock Variable Insurance Trust; Trustee and Chairperson of the Board, John Hancock Funds II (since 2005). |
Charles L. Bardelis,2 Born: 1941 | 2012 | 230 |
Trustee Director, Island Commuter Corp. (marine transport). Trustee, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015); Trustee, John Hancock retail funds3 (since 2012); Trustee, John Hancock Funds III (2005-2006 and since 2012); Trustee, John Hancock Variable Insurance Trust (since 1988); Trustee, John Hancock Funds II (since 2005). |
Peter S. Burgess,2 Born: 1942 | 2012 | 230 |
Trustee Consultant (financial, accounting, and auditing matters) (since 1999); Certified Public Accountant; Partner, Arthur Andersen (independent public accounting firm) (prior to 1999); Director, Lincoln Educational Services Corporation (since 2004); Director, Symetra Financial Corporation (2010-2016); Director, PMA Capital Corporation (2004-2010). Trustee, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015); Trustee, John Hancock retail funds3 (since 2012); Trustee, John Hancock Funds III (2005-2006 and since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2005). |
William H. Cunningham, Born: 1944 | 2005 | 230 |
Trustee Professor, University of Texas, Austin, Texas (since 1971); former Chancellor, University of Texas System and former President of the University of Texas, Austin, Texas; Chairman (since 2009) and Director (since 2006), Lincoln National Corporation (insurance); Director, Southwest Airlines (since 2000); former Director, LIN Television (2009-2014). Trustee, John Hancock retail funds3 (since 1986); Trustee, John Hancock Variable Insurance Trust (since 2012); Trustee, John Hancock Funds II (2005-2006 and since 2012); Trustee, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015). |
Grace K. Fey, Born: 1946 | 2012 | 230 |
Trustee Chief Executive Officer, Grace Fey Advisors (since 2007); Director and Executive Vice President, Frontier Capital Management Company (1988-2007); Director, Fiduciary Trust (since 2009). Trustee, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015); Trustee, John Hancock retail funds3 (since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2008). |
Independent Trustees (continued)
Name, year of birth Position(s) held with fund Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Theron S. Hoffman,2 Born: 1947 | 2012 | 230 |
Trustee Chief Executive Officer, T. Hoffman Associates, LLC (consulting firm) (since 2003); Director, The Todd Organization (consulting firm) (2003-2010); President, Westport Resources Management (investment management consulting firm) (2006-2008); Senior Managing Director, Partner, and Operating Head, Putnam Investments (2000-2003); Executive Vice President, The Thomson Corp. (financial and legal information publishing) (1997-2000). Trustee, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015); Trustee, John Hancock retail funds3 (since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2008). |
Deborah C. Jackson, Born: 1952 | 2008 | 230 |
Trustee President, Cambridge College, Cambridge, Massachusetts (since 2011); Chief Executive Officer, American Red Cross of Massachusetts Bay (2002-2011); Board of Directors of Eastern Bank Corporation (since 2001); Board of Directors of Eastern Bank Charitable Foundation (since 2001); Board of Directors of American Student Assistance Corporation (1996-2009); Board of Directors of Boston Stock Exchange (2002-2008); Board of Directors of Harvard Pilgrim Healthcare (health benefits company) (2007-2011). Trustee, John Hancock retail funds3 (since 2008); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2012); Trustee, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015). |
Hassell H. McClellan, Born: 1945 | 2012 | 230 |
Trustee Trustee, Virtus Variable Insurance Trust (formerly Phoenix Edge Series Funds) (since 2008); Director, The Barnes Group (since 2010); Associate Professor, The Wallace E. Carroll School of Management, Boston College (retired 2013). Trustee, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015); Trustee, John Hancock retail funds3 (since 2012); Trustee, John Hancock Funds III (2005-2006 and since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2005). |
Steven R. Pruchansky, Born: 1944 | 2005 | 230 |
Trustee and Vice Chairperson of the Board Chairman and Chief Executive Officer, Greenscapes of Southwest Florida, Inc. (since 2000); Director and President, Greenscapes of Southwest Florida, Inc. (until 2000); Member, Board of Advisors, First American Bank (until 2010); Managing Director, Jon James, LLC (real estate) (since 2000); Partner, Right Funding, LLC (since 2014); Director, First Signature Bank & Trust Company (until 1991); Director, Mast Realty Trust (until 1994); President, Maxwell Building Corp. (until 1991). Trustee (since 1992) and Chairperson of the Board (2011-2012), John Hancock retail funds3; Trustee and Vice Chairperson of the Board, John Hancock retail funds3 John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2012); Trustee, and Vice Chairperson of the Board, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015). |
Independent Trustees (continued)
Name, year of birth Position(s) held with fund Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
Gregory A. Russo, Born: 1949 | 2009 | 230 |
Trustee Director and Audit Committee Chairman (since 2012), and Member, Audit Committee and Finance Committee (since 2011), NCH Healthcare System, Inc. (holding company for multi-entity healthcare system); Director and Member (since 2012) and Finance Committee Chairman (since 2014), The Moorings, Inc. (nonprofit continuing care community); Vice Chairman, Risk & Regulatory Matters, KPMG LLP (KPMG) (2002-2006); Vice Chairman, Industrial Markets, KPMG (1998-2002); Chairman and Treasurer, Westchester County, New York, Chamber of Commerce (1986-1992); Director, Treasurer, and Chairman of Audit and Finance Committees, Putnam Hospital Center (1989-1995); Director and Chairman of Fundraising Campaign, United Way of Westchester and Putnam Counties, New York (1990-1995). Trustee, John Hancock retail funds3 (since 2008); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2012); Trustee, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015). |
Non-Independent Trustees4
Name, year of birth Position(s) held with fund Principal occupation(s) and other directorships during past 5 years | Trustee of the Trust since1 | Number of John Hancock funds overseen by Trustee |
James R. Boyle, Born: 1959 | 2015 | 230 |
Non-Independent Trustee Chairman and Chief Executive Officer, Zillion Group, Inc. (formerly HealthFleet, Inc.) (healthcare) (since 2014); Executive Vice President and Chief Executive Officer, U.S. Life Insurance Division of Genworth Financial, Inc. (insurance) (January 2014-July 2014); Senior Executive Vice President, Manulife Financial Corporation, President and Chief Executive Officer, John Hancock (1999-2012); Chairman and Director, John Hancock Advisers, LLC, John Hancock Funds, LLC, and John Hancock Investment Management Services, LLC (2005-2010). Trustee, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015); Trustee, John Hancock retail funds3 (2005-2010; 2012-2014 and since 2015); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (2005-2014 and since 2015). |
Craig Bromley, Born: 1966 | 2012 | 230 |
Non-Independent Trustee President, John Hancock Financial Service (since 2012); Senior Executive Vice President and General Manager, U.S. Division, Manulife Financial Corporation (since 2012); President and Chief Executive Officer, Manulife Insurance Company (Manulife Japan) (2005-2012, including prior positions). Trustee, John Hancock retail funds,3 John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2012); Trustee, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015). |
Warren A. Thomson, Born: 1955 | 2012 | 230 |
Non-Independent Trustee Senior Executive Vice President and Chief Investment Officer, Manulife Financial Corporation and The Manufacturers Life Insurance Company (since 2009); Chairman, Manulife Asset Management (since 2001, including prior positions); Director and Chairman, Manulife Asset Management Limited (since 2006); Director and Chairman, Hancock Natural Resources Group, Inc. (since 2013). Trustee, John Hancock retail funds,3 John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2012); Trustee, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015). |
Principal officers who are not Trustees
Name, year of birth Position(s) held with fund Principal occupation(s) during past 5 years | Officer of the Trust since |
Andrew G. Arnott, Born: 1971 | 2009 |
President Senior Vice President, John Hancock Financial Services (since 2009); Director and Executive Vice President, John Hancock Advisers, LLC (since 2005, including prior positions); Director and Executive Vice President, John Hancock Investment Management Services, LLC (since 2006, including prior positions); President, John Hancock Funds, LLC (since 2004, including prior positions); President, John Hancock retail funds,3 John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2007, including prior positions); President, John Hancock Collateral Trust (since 2015); President, John Hancock Exchange-Traded Fund Trust (since 2014). |
John J. Danello, Born: 1955 | 2006 |
Senior Vice President, Secretary, and Chief Legal Officer Vice President and Chief Counsel, John Hancock Wealth Management (since 2005); Senior Vice President (since 2007) and Chief Legal Counsel (2007-2010), John Hancock Funds, LLC and The Berkeley Financial Group, LLC; Senior Vice President (since 2006, including prior positions) and Chief Legal Officer and Secretary (since 2014), John Hancock retail funds,3 John Hancock Funds II and John Hancock Variable Insurance Trust; Senior Vice President, Chief Legal Officer and Secretary, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015); Vice President, John Hancock Life & Health Insurance Company (since 2009); Vice President, John Hancock Life Insurance Company (USA) and John Hancock Life Insurance Company of New York (since 2010); and Senior Vice President, Secretary, and Chief Legal Counsel (2007-2014, including prior positions) of John Hancock Advisers, LLC and John Hancock Investment Management Services, LLC. |
Francis V. Knox, Jr., Born: 1947 | 2005 |
Chief Compliance Officer Vice President, John Hancock Financial Services (since 2005); Chief Compliance Officer, John Hancock retail funds,3 John Hancock Variable Insurance Trust, John Hancock Funds II, John Hancock Advisers, LLC, and John Hancock Investment Management Services, LLC (since 2005); Chief Compliance Officer, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015). |
Charles A. Rizzo, Born: 1957 | 2007 |
Chief Financial Officer Vice President, John Hancock Financial Services (since 2008); Senior Vice President, John Hancock Advisers, LLC and John Hancock Investment Management Services, LLC (since 2008); Chief Financial Officer, John Hancock retail funds,3 John Hancock Variable Insurance Trust and John Hancock Funds II (since 2007); Chief Financial Officer, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015). |
Salvatore Schiavone, Born: 1965 | 2010 |
Treasurer Assistant Vice President, John Hancock Financial Services (since 2007); Vice President, John Hancock Advisers, LLC and John Hancock Investment Management Services, LLC (since 2007); Treasurer, John Hancock retail funds3 (since 2007, including prior positions); Treasurer, John Hancock Variable Insurance Trust and John Hancock Funds II (2007-2009 and since 2010, including prior positions); Treasurer, John Hancock Collateral Trust and John Hancock Exchange-Traded Fund Trust (since 2015). |
The business address for all Trustees and Officers is 601 Congress Street, Boston, Massachusetts 02210-2805.
The Statement of Additional Information of the fund includes additional information about members of the Board of Trustees of the Trust and is available without charge, upon request, by calling 800-225-5291.
1 | Each Trustee holds office until his or her successor is elected and qualified, or until the Trustee's death, retirement, resignation, or removal. Mr. Boyle has served as Trustee at various times prior to the date listed in the table. |
2 | Member of the Audit Committee. |
3 | "John Hancock retail funds" comprises John Hancock Funds III and 36 other John Hancock funds consisting of 26 series of other John Hancock trusts and 10 closed-end funds. |
4 | The Trustee is a Non-Independent Trustee due to current or former positions with the Advisor and certain affiliates. |
Trustees James M. Oates, Chairperson Officers Andrew G. Arnott John J. Danello Francis V. Knox, Jr. Charles A. Rizzo Salvatore Schiavone | Investment advisor John Hancock Advisers, LLC Subadvisor John Hancock Asset Management a division of Manulife Asset Management (US) LLC Principal distributor John Hancock Funds, LLC Custodian State Street Bank and Trust Company Transfer agent John Hancock Signature Services, Inc. Legal counsel K&L Gates LLP Independent registered public accounting firm PricewaterhouseCoopers LLP |
*Member of the Audit Committee
†Non-Independent Trustee
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 ESG All Cap Core ESG Large Cap Core Fundamental All Cap Core Fundamental Large Cap Core Fundamental Large Cap Value New Opportunities 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 Focused Strategies 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 Retirement Living Portfolios Retirement Living II Portfolios EXCHANGE-TRADED FUNDS John Hancock Multifactor Consumer Discretionary ETF John Hancock Multifactor Consumer Staples ETF John Hancock Multifactor Energy ETF John Hancock Multifactor Financials ETF John Hancock Multifactor Healthcare ETF John Hancock Multifactor Industrials ETF John Hancock Multifactor Large Cap ETF John Hancock Multifactor Materials ETF John Hancock Multifactor Mid Cap ETF John Hancock Multifactor Technology ETF John Hancock Multifactor Utilities 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 |
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. | ||
MF298044 | 21A 5/16 7/16 |
ITEM 2. CODE OF ETHICS.
As of the end of the year, May 31, 2016, the registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Chief Executive Officer, Chief Financial Officer and Treasurer (respectively, the principal executive officer, the principal financial officer and the principal accounting officer, the “Covered Officers”). A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Peter S. Burgess is the audit committee financial expert and is “independent”, pursuant to general instructions on Form N-CSR Item 3.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
The aggregate fees billed for professional services rendered by the principal accountant for the audits of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements amounted to the following for the fiscal years ended May 31, 2016 and 2015. These fees were billed to the registrant and were approved by the registrant’s audit committee.
Fund | May 31, 2016 | May 31, 2015 |
John Hancock Bond Fund | $ 54,761 | $ 52,423 |
(b) Audit-Related Services
Audit-related fees for assurance and related services by the principal accountant are billed to the registrant or to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser ("control affiliates") that provides ongoing services to the registrant. The nature of the services provided was affiliated service provider internal controls reviews. Additionally, amounts billed to control affiliates were $103,474 and $103,940 for the fiscal years ended May 31, 2016 and 2015, respectively.
Fund | May 31, 2016 | May 31, 2015 |
John Hancock Bond Fund | $ 525 | $ 5,220 |
(c) Tax Fees
The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning (“tax fees”) amounted to the following for the fiscal years ended May 31, 2016 and 2015. The nature of the services comprising the tax fees was the review of the registrant’s tax returns and tax distribution requirements. These fees were billed to the registrant and were approved by the registrant’s audit committee.
Fund | May 31, 2016 | May 31, 2015 |
John Hancock Bond Fund | $ 3,500 | $ 3,450 |
(d) All Other Fees
Other fees billed for professional services rendered by the principal accountant to the registrant or to the control affiliates for the fiscal years ended May 31, 2016 and 2015 amounted to the following:
Fund | May 31, 2016 | May 31, 2015 |
John Hancock Bond Fund | $ 108 | $ 5,116 |
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm (the “Auditor”) relating to the operations or financial reporting of the funds. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The trust’s Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of audit-related and non-audit services by the Auditor. The policies and procedures require that any audit-related and non-audit service provided by the Auditor and any non-audit service provided by the Auditor to a fund service provider that relates directly to the operations and financial reporting of a fund are subject to approval by the Audit Committee before such service is provided. Audit-related services provided by the Auditor that are expected to exceed $25,000 per year/per fund are subject to specific pre-approval by the Audit Committee. Tax services provided by the Auditor that are expected to exceed $30,000 per year/per fund are subject to specific pre-approval by the Audit Committee.
All audit services, as well as the audit-related and non-audit services that are expected to exceed the amounts stated above, must be approved in advance of provision of the service by formal resolution of the Audit Committee. At the regularly scheduled Audit Committee meetings, the Committee reviews a report summarizing the services, including fees, provided by the Auditor.
(e)(2) Services approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:
Audit-Related Fees, Tax Fees and All Other Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception under Rule 2-01 of Regulation S-X.
(f) According to the registrant’s principal accountant for the fiscal year ended May 31, 2016, the percentage of hours spent on the audit of the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons who were not full-time, permanent employees of principal accountant was less than 50%.
(g) The aggregate non-audit fees billed by the registrant’s principal accountant for non-audit services rendered to the registrant and rendered to the registrant's control affiliates for the fiscal years ended May 31, 2016 and 2015 amounted to the following:
Trust | May 31, 2016 | May 31, 2015 |
John Hancock Sovereign Bond Fund | $ 5,647,930 | $ 6,620,316 |
(h) The audit committee of the registrant has considered the non-audit services provided by the registrant’s principal accountant to the control affiliates and has determined that the services that were not pre-approved are compatible with maintaining the principal accountant’s independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant has a separately-designated standing audit committee comprised of independent trustees. The members of the audit committee are as follows:
Peter S. Burgess - Chairman
Charles L. Bardelis
Theron S. Hoffman
ITEM 6. SCHEDULE OF INVESTMENTS.
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant has adopted procedures by which shareholders may recommend nominees to the registrant's Board of Trustees. A copy of the procedures is filed as an exhibit to this Form N-CSR. See attached “John Hancock Funds – Nominating, Governance and Administration Committee Charter”.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this Form N-CSR, the registrant's principal executive officer and principal financial officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b) There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics for Covered Officers is attached.
(a)(2) Separate certifications for the registrant's principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached.
(b)(1) Separate certifications for the registrant's principal executive officer and principal financial officer, as required by 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, and Rule 30a-2(b) under the Investment Company Act of 1940, are attached. The certifications furnished pursuant to this paragraph are not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certifications are not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates them by reference.
(c)(1) Submission of Matters to a Vote of Security Holders is attached. See attached “John Hancock Funds – Nominating, Governance and Administration Committee Charter”.
(c)(2) Contact person at the registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
John Hancock Sovereign Bond Fund
By: | /s/ Andrew Arnott |
Andrew Arnott | |
President | |
Date: | July 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: | July 15, 2016 |
By: | /s/ Charles A. Rizzo |
Charles A. Rizzo | |
Chief Financial Officer | |
Date: | July 15, 2016 |