UNITED STATES | |
SECURITIES AND EXCHANGE COMMISSION | |
Washington, D.C. 20549 | |
FORM N-Q | |
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS 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: | February 29, 2012 |
ITEM 1. SCHEDULE OF INVESTMENTS
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Corporate Bonds 44.0% | $547,445,822 | |||
| ||||
(Cost $520,943,546) | ||||
Consumer Discretionary 5.9% | 73,914,203 | |||
| ||||
Auto Components 0.4% | ||||
Allison Transmission, Inc. (S) | 7.125 | 05/15/19 | $1,575,000 | 1,622,250 |
Exide Technologies | 8.625 | 02/01/18 | 2,600,000 | 2,021,500 |
Hyva Global BV (S) | 8.625 | 03/24/16 | 1,155,000 | 987,525 |
Visteon Corp. | 6.750 | 04/15/19 | 990,000 | 999,900 |
Automobiles 0.7% | ||||
Ford Motor Credit Company LLC | 5.000 | 05/15/18 | 1,925,000 | 2,029,370 |
Ford Motor Credit Company LLC | 5.875 | 08/02/21 | 1,930,000 | 2,153,195 |
Hyundai Capital Services, Inc. (S) | 4.375 | 07/27/16 | 1,235,000 | 1,262,345 |
Hyundai Capital Services, Inc. (S) | 6.000 | 05/05/15 | 1,615,000 | 1,734,231 |
Kia Motors Corp. (S) | 3.625 | 06/14/16 | 1,315,000 | 1,330,709 |
Food Products 0.1% | ||||
Simmons Foods, Inc. (S) | 10.500 | 11/01/17 | 1,060,000 | 1,012,300 |
Hotels, Restaurants & Leisure 1.4% | ||||
Arcos Dorados Holdings, Inc. (BRL) (D)(S) | 10.250 | 07/13/16 | 1,025,000 | 622,252 |
CCM Merger, Inc. (S) | 8.000 | 08/01/13 | 2,050,000 | 2,029,500 |
Downstream Development Authority of the Quapaw Tribe of | ||||
Oklahoma (S) | 10.500 | 07/01/19 | 1,175,000 | 1,204,375 |
Greektown Superholdings, Inc. | 13.000 | 07/01/15 | 1,965,000 | 2,156,588 |
Jacobs Entertainment, Inc. | 9.750 | 06/15/14 | 2,435,000 | 2,343,688 |
Landry's Acquisition Company (S) | 11.625 | 12/01/15 | 920,000 | 1,005,100 |
Landry's, Inc. | 11.625 | 12/01/15 | 465,000 | 508,013 |
Little Traverse Bay Bands of Odawa Indians (S) | 9.000 | 08/31/20 | 1,315,000 | 1,157,200 |
MGM Resorts International (S) | 8.625 | 02/01/19 | 1,590,000 | 1,693,350 |
Mohegan Tribal Gaming Authority | 7.125 | 08/15/14 | 1,425,000 | 1,004,625 |
Seminole Indian Tribe of Florida (S) | 6.535 | 10/01/20 | 2,260,000 | 2,204,946 |
Seminole Indian Tribe of Florida (S) | 7.750 | 10/01/17 | 1,455,000 | 1,578,675 |
Waterford Gaming LLC (S) | 8.625 | 09/15/14 | 823,705 | 412,398 |
Household Durables 0.1% | ||||
American Standard Americas (S) | 10.750 | 01/15/16 | 335,000 | 234,500 |
Urbi Desarrollos Urbanos SAB de CV (S) | 9.750 | 02/03/22 | 655,000 | 673,013 |
Internet & Catalog Retail 0.2% | ||||
Expedia, Inc. | 5.950 | 08/15/20 | 2,125,000 | 2,169,978 |
Media 2.0% | ||||
AMC Entertainment, Inc. | 8.000 | 03/01/14 | 931,000 | 931,000 |
AMC Entertainment, Inc. | 8.750 | 06/01/19 | 720,000 | 750,600 |
Cablevision Systems Corp. | 8.625 | 09/15/17 | 610,000 | 687,775 |
CBS Corp. | 7.875 | 07/30/30 | 2,480,000 | 3,296,875 |
CCO Holdings LLC | 8.125 | 04/30/20 | 590,000 | 660,800 |
Cinemark USA, Inc. | 7.375 | 06/15/21 | 800,000 | 854,000 |
Cinemark USA, Inc. | 8.625 | 06/15/19 | 750,000 | 834,375 |
CSC Holdings, Inc. | 7.875 | 02/15/18 | 1,675,000 | 1,892,750 |
DIRECTV Holdings LLC | 6.350 | 03/15/40 | 1,155,000 | 1,360,347 |
Grupo Televisa SAB | 6.625 | 01/15/40 | 1,295,000 | 1,523,136 |
Kabel BW GmbH (S) | 7.500 | 03/15/19 | 1,250,000 | 1,350,000 |
News America, Inc. | 6.150 | 03/01/37 | 775,000 | 892,233 |
News America, Inc. | 6.150 | 02/15/41 | 1,400,000 | 1,663,005 |
News America, Inc. | 6.400 | 12/15/35 | 645,000 | 752,307 |
1 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Consumer Discretionary (continued) | ||||
| ||||
Regal Cinemas Corp. | 8.625 | 07/15/19 | $465,000 | $508,013 |
Regal Entertainment Group | 9.125 | 08/15/18 | 455,000 | 498,225 |
Time Warner Cable, Inc. | 6.750 | 07/01/18 | 1,950,000 | 2,396,921 |
UBM PLC (S) | 5.750 | 11/03/20 | 1,145,000 | 1,131,015 |
XM Satellite Radio, Inc. (S) | 7.625 | 11/01/18 | 2,195,000 | 2,403,525 |
Multiline Retail 0.2% | ||||
Macy's Retail Holdings, Inc. | 5.125 | 01/15/42 | 485,000 | 494,624 |
Macy's Retail Holdings, Inc. | 7.875 | 08/15/36 | 2,083,000 | 2,330,188 |
Specialty Retail 0.4% | ||||
AutoNation, Inc. | 5.500 | 02/01/20 | 1,935,000 | 2,002,725 |
Hillman Group, Inc. | 10.875 | 06/01/18 | 1,205,000 | 1,262,238 |
Limited Brands, Inc. | 6.625 | 04/01/21 | 1,320,000 | 1,452,000 |
Toys R Us Property Company II LLC | 8.500 | 12/01/17 | 570,000 | 602,775 |
Textiles, Apparel & Luxury Goods 0.4% | ||||
Burlington Coat Factory Warehouse Corp. | 10.000 | 02/15/19 | 2,980,000 | 3,058,225 |
Levi Strauss & Company | 7.625 | 05/15/20 | 2,050,000 | 2,173,000 |
Consumer Staples 1.9% | 23,624,372 | |||
| ||||
Beverages 0.0% | ||||
Corp. Lindley SA (S) | 6.750 | 11/23/21 | 540,000 | 579,150 |
Food & Staples Retailing 0.3% | ||||
Rite Aid Corp. (S) | 9.250 | 03/15/20 | 1,440,000 | 1,458,000 |
Rite Aid Corp. | 9.375 | 12/15/15 | 2,110,000 | 2,173,300 |
Food Products 0.6% | ||||
B&G Foods, Inc. | 7.625 | 01/15/18 | 990,000 | 1,072,913 |
Bunge Ltd. Finance Corp. | 4.100 | 03/15/16 | 815,000 | 849,334 |
Bunge Ltd. Finance Corp. | 8.500 | 06/15/19 | 1,726,000 | 2,134,408 |
Corp. Pesquera Inca SAC (S) | 9.000 | 02/10/17 | 1,355,000 | 1,436,300 |
Del Monte Corp. | 7.625 | 02/15/19 | 945,000 | 947,363 |
Grupo Bimbo SAB de CV (S) | 4.500 | 01/25/22 | 1,150,000 | 1,185,061 |
Household Products 0.5% | ||||
Reynolds Group Issuer, Inc. (S) | 9.000 | 04/15/19 | 1,890,000 | 1,890,000 |
Reynolds Group Issuer, Inc. (S) | 9.875 | 08/15/19 | 1,750,000 | 1,809,063 |
Yankee Candle Company, Inc. | 8.500 | 02/15/15 | 2,025,000 | 2,073,114 |
Personal Products 0.2% | ||||
Hypermarcas SA (S) | 6.500 | 04/20/21 | 530,000 | 511,450 |
Revlon Consumer Products Corp. | 9.750 | 11/15/15 | 1,635,000 | 1,767,844 |
Tobacco 0.3% | ||||
Alliance One International, Inc. | 10.000 | 07/15/16 | 2,335,000 | 2,340,838 |
Lorillard Tobacco Company | 6.875 | 05/01/20 | 1,175,000 | 1,396,234 |
Energy 4.3% | 52,967,024 | |||
| ||||
Energy Equipment & Services 0.5% | ||||
Astoria Depositor Corp., Series B (S) | 8.144 | 05/01/21 | 3,790,000 | 3,221,500 |
Precision Drilling Corp. | 6.625 | 11/15/20 | 1,205,000 | 1,290,856 |
Trinidad Drilling, Ltd. (S) | 7.875 | 01/15/19 | 1,045,000 | 1,118,150 |
Weatherford International, Inc. | 6.800 | 06/15/37 | 480,000 | 562,052 |
Gas Utilities 0.2% | ||||
DCP Midstream LLC (S) | 9.750 | 03/15/19 | 1,705,000 | 2,211,552 |
2 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Energy (continued) | ||||
| ||||
Oil, Gas & Consumable Fuels 3.6% | ||||
Afren PLC (S) | 11.500 | 02/01/16 | $1,800,000 | $1,908,000 |
Alpha Natural Resources, Inc. | 6.000 | 06/01/19 | 520,000 | 507,000 |
Alpha Natural Resources, Inc. | 6.250 | 06/01/21 | 1,130,000 | 1,096,100 |
Arch Coal, Inc. (S) | 7.000 | 06/15/19 | 675,000 | 675,000 |
Arch Coal, Inc. (S) | 7.250 | 06/15/21 | 1,190,000 | 1,187,025 |
BreitBurn Energy Partners LP (S) | 7.875 | 04/15/22 | 770,000 | 806,575 |
Chesapeake Energy Corp. | 6.125 | 02/15/21 | 1,110,000 | 1,125,263 |
DTEK Finance BV (S) | 9.500 | 04/28/15 | 840,000 | 831,600 |
Energy Transfer Partners LP | 5.200 | 02/01/22 | 645,000 | 694,103 |
Energy Transfer Partners LP | 9.700 | 03/15/19 | 1,380,000 | 1,771,601 |
Enterprise Products Operating LLC (7.000% to 06/01/2017, | ||||
then 3 month LIBOR + 2.778%) | 7.000 | 06/01/67 | 2,585,000 | 2,575,306 |
EV Energy Partners LP | 8.000 | 04/15/19 | 1,730,000 | 1,816,500 |
Kerr-McGee Corp. | 6.950 | 07/01/24 | 3,210,000 | 3,957,378 |
Kinder Morgan Energy Partners LP | 7.750 | 03/15/32 | 840,000 | 1,038,849 |
Linn Energy LLC (S) | 6.250 | 11/01/19 | 2,110,000 | 2,107,363 |
Linn Energy LLC | 8.625 | 04/15/20 | 830,000 | 921,300 |
Marathon Petroleum Corp. | 6.500 | 03/01/41 | 1,415,000 | 1,596,346 |
MarkWest Energy Partners LP | 6.500 | 08/15/21 | 1,975,000 | 2,133,000 |
McMoRan Exploration Company | 11.875 | 11/15/14 | 1,230,000 | 1,303,800 |
Newfield Exploration Company | 5.750 | 01/30/22 | 1,140,000 | 1,234,050 |
NuStar Logistics LP | 7.650 | 04/15/18 | 2,025,000 | 2,379,859 |
Peabody Energy Corp. (S) | 6.250 | 11/15/21 | 1,490,000 | 1,560,775 |
Petroleos Mexicanos (S) | 4.875 | 01/24/22 | 1,300,000 | 1,361,100 |
Spectra Energy Capital LLC | 6.200 | 04/15/18 | 1,440,000 | 1,671,767 |
Targa Resources Partners LP (S) | 6.375 | 08/01/22 | 1,175,000 | 1,236,688 |
TransCanada Pipelines, Ltd. (6.350% to 05/15/2017, then 3 | ||||
month LIBOR + 2.210%) | 6.350 | 05/15/67 | 2,995,000 | 3,074,011 |
Williams Partners LP | 7.250 | 02/01/17 | 3,295,000 | 3,992,555 |
Financials 15.3% | 190,709,440 | |||
| ||||
Capital Markets 1.9% | ||||
Affinion Group Holdings, Inc. | 11.625 | 11/15/15 | 1,055,000 | 938,950 |
Credit Suisse New York | 4.375 | 08/05/20 | 2,265,000 | 2,302,273 |
Credit Suisse New York | 5.400 | 01/14/20 | 1,005,000 | 1,009,333 |
Credit Suisse New York | 6.000 | 02/15/18 | 600,000 | 632,018 |
Jefferies Group, Inc. | 6.875 | 04/15/21 | 1,240,000 | 1,221,400 |
Jefferies Group, Inc. | 8.500 | 07/15/19 | 665,000 | 714,875 |
Macquarie Bank, Ltd. (S) | 6.625 | 04/07/21 | 1,055,000 | 1,040,377 |
Macquarie Group, Ltd. (S) | 6.000 | 01/14/20 | 1,345,000 | 1,321,713 |
Morgan Stanley | 5.500 | 07/28/21 | 640,000 | 633,907 |
Morgan Stanley | 5.750 | 01/25/21 | 670,000 | 663,943 |
Morgan Stanley | 7.300 | 05/13/19 | 2,270,000 | 2,449,471 |
Polymer Group, Inc. | 7.750 | 02/01/19 | 465,000 | 497,550 |
The Goldman Sachs Group, Inc. | 5.250 | 07/27/21 | 1,285,000 | 1,286,722 |
The Goldman Sachs Group, Inc. | 5.750 | 01/24/22 | 1,305,000 | 1,361,800 |
The Goldman Sachs Group, Inc. | 6.150 | 04/01/18 | 3,130,000 | 3,392,635 |
The Goldman Sachs Group, Inc. | 6.750 | 10/01/37 | 4,450,000 | 4,452,385 |
Commercial Banks 2.3% | ||||
Abbey National Treasury Services PLC | 4.000 | 04/27/16 | 1,660,000 | 1,631,812 |
Banco de Credito del Peru (S) | 4.750 | 03/16/16 | 700,000 | 714,000 |
Barclays Bank PLC | 5.140 | 10/14/20 | 1,160,000 | 1,115,376 |
Barclays Bank PLC (S) | 6.050 | 12/04/17 | 1,185,000 | 1,206,584 |
3 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Financials (continued) | ||||
| ||||
Barclays Bank PLC (S) | 10.179 | 06/12/21 | $1,235,000 | $1,430,957 |
BBVA Bancomer SA (S) | 6.500 | 03/10/21 | 2,225,000 | 2,269,500 |
BPCE SA (12.500% to 09/30/2019, then 3 month LIBOR + | ||||
12.980%) (Q)(S) | 12.500 | 09/30/19 | 1,239,000 | 1,273,308 |
First Horizon National Corp. | 5.375 | 12/15/15 | 1,440,000 | 1,508,796 |
First Tennessee Bank NA | 5.050 | 01/15/15 | 275,000 | 281,464 |
ICICI Bank, Ltd. (S) | 5.750 | 11/16/20 | 1,910,000 | 1,899,373 |
Lloyds TSB Bank PLC | 6.375 | 01/21/21 | 2,190,000 | 2,380,539 |
Lloyds TSB Group PLC (6.413% to 10/01/2035, then 3 month | ||||
LIBOR + 1.496%) (Q)(S) | 6.413 | 10/01/35 | 2,410,000 | 1,662,900 |
Regions Financial Corp. (P) | 0.744 | 06/26/12 | 1,060,000 | 1,059,123 |
Regions Financial Corp. | 7.750 | 11/10/14 | 1,825,000 | 1,948,553 |
Santander Holdings USA, Inc. | 4.625 | 04/19/16 | 480,000 | 475,596 |
Synovus Financial Corp. | 7.875 | 02/15/19 | 960,000 | 984,000 |
The Royal Bank of Scotland PLC | 4.875 | 03/16/15 | 1,425,000 | 1,479,280 |
Wachovia Bank NA | 5.850 | 02/01/37 | 1,665,000 | 1,828,673 |
Wachovia Bank NA | 6.600 | 01/15/38 | 1,465,000 | 1,779,817 |
Wachovia Corp. | 5.750 | 06/15/17 | 1,715,000 | 1,993,336 |
Consumer Finance 0.9% | ||||
American Express Company | 7.000 | 03/19/18 | 1,705,000 | 2,100,084 |
Capital One Financial Corp. | 6.150 | 09/01/16 | 2,655,000 | 2,844,392 |
Discover Bank | 7.000 | 04/15/20 | 1,090,000 | 1,235,301 |
Discover Financial Services | 10.250 | 07/15/19 | 2,495,000 | 3,181,355 |
Nelnet, Inc. (P) | 3.951 | 09/29/36 | 2,595,000 | 2,072,333 |
Diversified Financial Services 4.2% | ||||
Alfa Bank OJSC (S) | 7.750 | 04/28/21 | 585,000 | 580,613 |
Bank of America Corp. | 5.700 | 01/24/22 | 1,955,000 | 2,071,405 |
Bank of America Corp. | 6.500 | 08/01/16 | 1,245,000 | 1,345,920 |
Bank of America NA | 5.300 | 03/15/17 | 595,000 | 604,900 |
Bank of America NA | 6.000 | 10/15/36 | 1,555,000 | 1,499,737 |
Citigroup, Inc. | 5.850 | 12/11/34 | 1,590,000 | 1,654,223 |
Citigroup, Inc. | 6.125 | 11/21/17 | 3,045,000 | 3,411,493 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.375 | 01/19/17 | 1,290,000 | 1,328,166 |
Credit Suisse AG (3 month LIBOR + 0.690% to 05/15/2017, | ||||
then 3 month LIBOR + 1.690%) (Q) | 1.193 | 05/15/17 | 3,300,000 | 2,211,990 |
General Electric Capital Corp. (P) | 0.983 | 08/15/36 | 2,245,000 | 1,669,759 |
General Electric Capital Corp. | 4.375 | 09/16/20 | 1,510,000 | 1,610,028 |
General Electric Capital Corp. | 5.300 | 02/11/21 | 880,000 | 969,296 |
General Electric Capital Corp. | 5.625 | 05/01/18 | 2,190,000 | 2,528,587 |
General Electric Capital Corp. | 5.875 | 01/14/38 | 1,650,000 | 1,841,359 |
General Electric Capital Corp. | 6.000 | 08/07/19 | 1,505,000 | 1,755,331 |
Intercorp Retail Trust (S) | 8.875 | 11/14/18 | 750,000 | 806,250 |
JPMorgan Chase & Company | 3.450 | 03/01/16 | 653,000 | 678,376 |
JPMorgan Chase & Company | 3.700 | 01/20/15 | 557,000 | 591,381 |
JPMorgan Chase & Company | 5.600 | 07/15/41 | 2,440,000 | 2,706,304 |
JPMorgan Chase & Company | 6.000 | 01/15/18 | 3,760,000 | 4,357,163 |
JPMorgan Chase & Company (7.900% to 04/30/2018, then 3 | ||||
month LIBOR + 3.470%) (Q) | 7.900 | 04/30/18 | 2,240,000 | 2,436,851 |
Merrill Lynch & Company, Inc. | 6.875 | 04/25/18 | 3,010,000 | 3,276,433 |
Merrill Lynch & Company, Inc. | 7.750 | 05/14/38 | 980,000 | 1,058,209 |
Nationstar Mortgage | 10.875 | 04/01/15 | 2,455,000 | 2,553,200 |
Rabobank Nederland NV (11.000% to 06/30/2019, then 3 | ||||
month LIBOR + 10.868%) (Q)(S) | 11.000 | 06/30/19 | 3,204,000 | 4,056,264 |
The Bear Stearns Companies LLC | 7.250 | 02/01/18 | 1,950,000 | 2,357,468 |
4 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Financials (continued) | ||||
| ||||
USB Realty Corp. (P)(Q)(S) | 1.719 | 01/15/17 | $2,900,000 | $2,233,000 |
Insurance 2.8% | ||||
Aflac, Inc. | 6.900 | 12/17/39 | 1,005,000 | 1,213,070 |
Aflac, Inc. | 8.500 | 05/15/19 | 1,705,000 | 2,218,785 |
AXA SA (6.379% to 12/14/2036, then 3 month LIBOR + | ||||
2.256%) (Q)(S) | 6.379 | 12/14/36 | 1,170,000 | 936,000 |
Chubb Corp. (6.375% until 04/15/2017, then 3 month LIBOR | ||||
+ 2.250%) | 6.375 | 03/29/67 | 1,270,000 | 1,307,306 |
CNA Financial Corp. | 6.500 | 08/15/16 | 1,110,000 | 1,245,353 |
CNA Financial Corp. | 7.250 | 11/15/23 | 2,190,000 | 2,484,448 |
CNO Financial Group, Inc. (S) | 9.000 | 01/15/18 | 1,500,000 | 1,614,375 |
Glen Meadow Pass-Through Trust (6.505% to 02/15/2017, | ||||
then 3 month LIBOR + 2.125%) (S) | 6.505 | 02/12/67 | 3,490,000 | 2,617,500 |
Hartford Financial Services Group, Inc. | 6.625 | 03/30/40 | 980,000 | 983,673 |
Liberty Mutual Group, Inc. (S) | 7.800 | 03/15/37 | 2,635,000 | 2,569,125 |
Lincoln National Corp. | 8.750 | 07/01/19 | 1,295,000 | 1,650,680 |
Lincoln National Corp. (6.050% to 04/20/2017, then 3 month | ||||
LIBOR + 2.040%) | 6.050 | 04/20/67 | 2,455,000 | 2,252,463 |
Teachers Insurance & Annuity Association of America (S) | 6.850 | 12/16/39 | 2,745,000 | 3,580,224 |
The Hanover Insurance Group, Inc. | 6.375 | 06/15/21 | 635,000 | 684,892 |
Unum Group | 7.125 | 09/30/16 | 1,585,000 | 1,813,250 |
UnumProvident Finance Company PLC (S) | 6.850 | 11/15/15 | 2,395,000 | 2,638,150 |
W.R. Berkley Corp. | 5.600 | 05/15/15 | 1,345,000 | 1,417,598 |
Willis Group Holdings PLC | 5.750 | 03/15/21 | 1,595,000 | 1,738,963 |
Willis North America, Inc. | 7.000 | 09/29/19 | 2,060,000 | 2,354,409 |
Real Estate Investment Trusts 3.1% | ||||
Alexandria Real Estate Equities, Inc. | 4.600 | 04/01/22 | 910,000 | 920,676 |
Boston Properties LP | 3.700 | 11/15/18 | 880,000 | 921,325 |
Brandywine Operating Partnership LP | 7.500 | 05/15/15 | 1,505,000 | 1,646,335 |
CommonWealth REIT | 6.650 | 01/15/18 | 1,800,000 | 1,937,599 |
DDR Corp. | 7.500 | 04/01/17 | 3,170,000 | 3,562,944 |
Goodman Funding Pty, Ltd. (S) | 6.375 | 04/15/21 | 2,620,000 | 2,728,830 |
Health Care REIT, Inc. | 4.950 | 01/15/21 | 1,610,000 | 1,683,815 |
Health Care REIT, Inc. | 6.125 | 04/15/20 | 2,910,000 | 3,232,186 |
Health Care REIT, Inc. | 6.200 | 06/01/16 | 1,835,000 | 2,025,293 |
Healthcare Realty Trust, Inc. | 6.500 | 01/17/17 | 2,120,000 | 2,340,124 |
Mack-Cali Realty LP | 7.750 | 08/15/19 | 1,410,000 | 1,718,954 |
MPT Operating Partnership LP | 6.375 | 02/15/22 | 1,535,000 | 1,584,888 |
MPT Operating Partnership LP | 6.875 | 05/01/21 | 975,000 | 1,036,547 |
ProLogis LP | 4.500 | 08/15/17 | 295,000 | 303,280 |
ProLogis LP | 6.250 | 03/15/17 | 2,255,000 | 2,492,411 |
SL Green Realty Corp. | 7.750 | 03/15/20 | 735,000 | 827,894 |
Ventas Realty LP | 4.750 | 06/01/21 | 1,645,000 | 1,694,393 |
Vornado Realty LP | 4.250 | 04/01/15 | 2,715,000 | 2,836,757 |
WEA Finance LLC (S) | 6.750 | 09/02/19 | 1,180,000 | 1,381,529 |
Weyerhaeuser Company | 7.375 | 03/15/32 | 2,960,000 | 3,214,536 |
Real Estate Management & Development 0.1% | ||||
Realogy Corp. (S) | 7.875 | 02/15/19 | 855,000 | 829,350 |
Health Care 1.2% | 14,464,147 | |||
| ||||
Biotechnology 0.1% | ||||
Kinetic Concepts, Inc. (S) | 10.500 | 11/01/18 | 740,000 | 769,600 |
5 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Health Care (continued) | ||||
| ||||
Health Care Equipment & Supplies 0.2% | ||||
Alere, Inc. | 7.875 | 02/01/16 | $1,595,000 | $1,670,763 |
Alere, Inc. | 8.625 | 10/01/18 | 815,000 | 860,844 |
Health Care Providers & Services 0.5% | ||||
BioScrip, Inc. | 10.250 | 10/01/15 | 1,160,000 | 1,249,900 |
Gentiva Health Services, Inc. | 11.500 | 09/01/18 | 280,000 | 250,600 |
HCA, Inc. | 7.500 | 02/15/22 | 1,605,000 | 1,737,413 |
Medco Health Solutions, Inc. | 7.125 | 03/15/18 | 2,225,000 | 2,646,299 |
Pharmaceuticals 0.4% | ||||
Catalent Pharma Solutions, Inc., PIK (P) | 9.500 | 04/15/15 | 1,657,387 | 1,711,252 |
Endo Pharmaceuticals Holdings, Inc. | 7.250 | 01/15/22 | 1,625,000 | 1,807,813 |
Valeant Pharmaceuticals International, Inc. (S) | 6.750 | 10/01/17 | 385,000 | 394,625 |
Valeant Pharmaceuticals International, Inc. (S) | 6.875 | 12/01/18 | 1,335,000 | 1,365,038 |
Industrials 4.8% | 59,694,898 | |||
| ||||
Aerospace & Defense 0.9% | ||||
Bombardier, Inc. (S) | 7.750 | 03/15/20 | 1,015,000 | 1,177,400 |
Colt Defense LLC | 8.750 | 11/15/17 | 950,000 | 650,750 |
Ducommun, Inc. | 9.750 | 07/15/18 | 295,000 | 312,700 |
Embraer Overseas, Ltd. | 6.375 | 01/15/20 | 1,485,000 | 1,648,350 |
Huntington Ingalls Industries, Inc. | 7.125 | 03/15/21 | 1,690,000 | 1,810,413 |
Kratos Defense & Security Solutions, Inc. | 10.000 | 06/01/17 | 1,055,000 | 1,136,763 |
Textron Financial Corp. (6.000% to 02/15/2017, then 3 month | ||||
LIBOR + 1.735%) (S) | 6.000 | 02/15/67 | 3,140,000 | 2,355,000 |
Textron, Inc. | 5.600 | 12/01/17 | 1,945,000 | 2,090,451 |
Airlines 2.1% | ||||
America West Airlines 2000-1 Pass Through Trust | 8.057 | 07/02/20 | 769,090 | 788,317 |
Continental Airlines 1997-4 Class A Pass Through Trust | 6.900 | 01/02/18 | 1,416,381 | 1,508,446 |
Continental Airlines 1998-1 Class A Pass Through Trust | 6.648 | 09/15/17 | 787,107 | 826,462 |
Continental Airlines 1999-1 Class A Pass Through Trust | 6.545 | 02/02/19 | 522,503 | 560,384 |
Continental Airlines 2000-2 Class B Pass Through Trust | 8.307 | 04/02/18 | 491,843 | 486,925 |
Continental Airlines 2007-1 Class A Pass Through Trust | 5.983 | 04/19/22 | 1,989,081 | 2,178,044 |
Continental Airlines 2010-1 Class A Pass Through Trust | 4.750 | 01/12/21 | 652,191 | 681,540 |
Delta Air Lines 2002-1 Class G-1 Pass Through Trust | 6.718 | 01/02/23 | 2,293,840 | 2,408,532 |
Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821 | 08/10/22 | 2,382,035 | 2,611,425 |
Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200 | 07/02/18 | 818,349 | 885,862 |
Delta Air Lines 2011-1 Class A Pass Through Trust | 5.300 | 04/15/19 | 1,655,000 | 1,754,300 |
Delta Air Lines, Inc. (S) | 9.500 | 09/15/14 | 1,139,000 | 1,221,578 |
Northwest Airlines 2002-1 Class G-2 Pass Through Trust | 6.264 | 11/20/21 | 2,128,981 | 2,169,005 |
Northwest Airlines 2007-1 Class A Pass Through Trust | 7.027 | 11/01/19 | 1,520,782 | 1,566,405 |
U.S. Airways 2010-1 Class A Pass Through Trust | 6.250 | 04/22/23 | 1,591,904 | 1,595,884 |
UAL 2009-2A Pass Through Trust | 9.750 | 01/15/17 | 1,602,981 | 1,835,414 |
United Air Lines, Inc. 2007-1 Class C Pass Through Trust (P) | 3.059 | 07/02/14 | 2,794,766 | 2,655,028 |
United Airlines 2009-1 Pass Through Trust | 10.400 | 11/01/16 | 610,446 | 695,908 |
Building Products 0.4% | ||||
Masco Corp. | 7.125 | 03/15/20 | 1,280,000 | 1,365,532 |
Voto-Votorantim Overseas Trading Operations NV (S) | 6.625 | 09/25/19 | 1,800,000 | 1,975,500 |
Voto-Votorantim, Ltd. (S) | 6.750 | 04/05/21 | 1,840,000 | 2,005,600 |
Commercial Services & Supplies 0.3% | ||||
Garda World Security Corp. (S) | 9.750 | 03/15/17 | 410,000 | 432,550 |
International Lease Finance Corp. (S) | 7.125 | 09/01/18 | 1,260,000 | 1,411,200 |
6 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Industrials (continued) | ||||
| ||||
Steelcase, Inc. | 6.375 | 02/15/21 | $2,285,000 | $2,384,722 |
Construction & Engineering 0.1% | ||||
Tutor Perini Corp. | 7.625 | 11/01/18 | 1,430,000 | 1,437,150 |
Electrical Equipment 0.1% | ||||
Coleman Cable, Inc. | 9.000 | 02/15/18 | 905,000 | 936,675 |
Industrial Conglomerates 0.3% | ||||
Odebrecht Finance, Ltd. (S) | 6.000 | 04/05/23 | 1,825,000 | 1,866,063 |
Odebrecht Finance, Ltd. (S) | 7.000 | 04/21/20 | 1,120,000 | 1,229,200 |
Odebrecht Finance, Ltd. (Q)(S) | 7.500 | 09/14/15 | 355,000 | 366,538 |
Marine 0.2% | ||||
Navios South American Logistics, Inc. (S) | 9.250 | 04/15/19 | 2,305,000 | 1,913,150 |
Road & Rail 0.3% | ||||
The Hertz Corp. (S) | 6.750 | 04/15/19 | 595,000 | 621,031 |
The Hertz Corp. | 6.750 | 04/15/19 | 2,505,000 | 2,623,988 |
Trading Companies & Distributors 0.1% | ||||
Aircastle, Ltd. | 9.750 | 08/01/18 | 990,000 | 1,116,225 |
Aircastle, Ltd. (S) | 9.750 | 08/01/18 | 355,000 | 398,488 |
Information Technology 0.3% | 3,794,868 | |||
| ||||
Computers & Peripherals 0.1% | ||||
Hewlett-Packard Company | 4.375 | 09/15/21 | 1,355,000 | 1,428,868 |
IT Services 0.2% | ||||
Brightstar Corp. (S) | 9.500 | 12/01/16 | 2,275,000 | 2,366,000 |
Materials 4.1% | 51,592,189 | |||
| ||||
Chemicals 0.7% | ||||
American Pacific Corp. | 9.000 | 02/01/15 | 1,000,000 | 972,500 |
Braskem America Finance Company (S) | 7.125 | 07/22/41 | 1,545,000 | 1,537,275 |
Braskem Finance, Ltd. (S) | 7.000 | 05/07/20 | 3,780,000 | 4,176,900 |
Incitec Pivot Finance LLC (S) | 6.000 | 12/10/19 | 1,370,000 | 1,484,529 |
Construction Materials 0.2% | ||||
Building Materials Corp. of America (S) | 6.750 | 05/01/21 | 995,000 | 1,082,063 |
Severstal Columbus LLC | 10.250 | 02/15/18 | 370,000 | 406,075 |
Vulcan Materials Company | 7.500 | 06/15/21 | 530,000 | 590,288 |
Containers & Packaging 0.4% | ||||
Graphic Packaging International, Inc. | 7.875 | 10/01/18 | 435,000 | 478,500 |
Graphic Packaging International, Inc. | 9.500 | 06/15/17 | 835,000 | 928,938 |
Pretium Packaging LLC | 11.500 | 04/01/16 | 650,000 | 676,000 |
Temple-Inland, Inc. | 6.625 | 01/15/18 | 3,085,000 | 3,596,675 |
Metals & Mining 2.0% | ||||
Alcoa, Inc. | 5.400 | 04/15/21 | 1,575,000 | 1,639,159 |
Allegheny Technologies, Inc. | 5.950 | 01/15/21 | 570,000 | 630,647 |
Allegheny Technologies, Inc. | 9.375 | 06/01/19 | 1,205,000 | 1,553,051 |
ArcelorMittal | 6.750 | 03/01/41 | 1,410,000 | 1,369,027 |
ArcelorMittal | 9.850 | 06/01/19 | 1,470,000 | 1,782,619 |
Cliffs Natural Resources, Inc. | 6.250 | 10/01/40 | 1,230,000 | 1,334,891 |
Commercial Metals Company | 7.350 | 08/15/18 | 1,395,000 | 1,422,900 |
FMG Resources August 2006 Pty, Ltd. (S) | 6.875 | 02/01/18 | 1,230,000 | 1,297,650 |
FMG Resources August 2006 Pty, Ltd. (S) | 8.250 | 11/01/19 | 765,000 | 845,325 |
7 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Materials (continued) | ||||
| ||||
Gerdau Trade, Inc. (S) | 5.750 | 01/30/21 | $1,345,000 | $1,392,075 |
JMC Steel Group (S) | 8.250 | 03/15/18 | 775,000 | 808,906 |
Metinvest BV (S) | 8.750 | 02/14/18 | 1,755,000 | 1,605,825 |
Rain CII Carbon LLC (S) | 8.000 | 12/01/18 | 2,225,000 | 2,341,813 |
SunCoke Energy, Inc. | 7.625 | 08/01/19 | 1,125,000 | 1,170,000 |
Taseko Mines, Ltd. | 7.750 | 04/15/19 | 495,000 | 475,200 |
Teck Resources, Ltd. | 6.250 | 07/15/41 | 670,000 | 769,143 |
Teck Resources, Ltd. | 10.750 | 05/15/19 | 936,000 | 1,160,640 |
Thompson Creek Metals Company, Inc. | 7.375 | 06/01/18 | 1,855,000 | 1,776,163 |
Vale Overseas, Ltd. | 6.875 | 11/10/39 | 1,415,000 | 1,740,092 |
Paper & Forest Products 0.8% | ||||
Georgia-Pacific LLC (S) | 5.400 | 11/01/20 | 3,320,000 | 3,739,572 |
Georgia-Pacific LLC | 7.250 | 06/01/28 | 750,000 | 912,935 |
International Paper Company | 9.375 | 05/15/19 | 1,650,000 | 2,173,959 |
Verso Paper Holdings LLC | 8.750 | 02/01/19 | 410,000 | 202,950 |
Westvaco Corp. | 7.950 | 02/15/31 | 3,200,000 | 3,517,904 |
Telecommunication Services 2.8% | 34,208,788 | |||
| ||||
Diversified Telecommunication Services 2.1% | ||||
CenturyLink, Inc. | 6.450 | 06/15/21 | 1,265,000 | 1,338,938 |
CenturyLink, Inc. | 7.600 | 09/15/39 | 1,275,000 | 1,305,509 |
Crown Castle Towers LLC (S) | 4.883 | 08/15/20 | 3,075,000 | 3,217,148 |
Crown Castle Towers LLC (S) | 6.113 | 01/15/20 | 2,390,000 | 2,690,349 |
GTP Acquisition Partners I LLC (S) | 4.347 | 06/15/16 | 3,050,000 | 3,057,991 |
GTP Acquisition Partners I LLC (S) | 7.628 | 06/15/16 | 1,345,000 | 1,316,520 |
GTP Towers Issuer LLC (S) | 8.112 | 02/15/15 | 3,740,000 | 3,814,235 |
Oi SA (BRL) (S) | 9.750 | 09/15/16 | 3,440,000 | 1,993,187 |
PAETEC Holding Corp. | 9.875 | 12/01/18 | 1,619,000 | 1,813,280 |
Qwest Communications International, Inc. | 8.000 | 10/01/15 | 1,305,000 | 1,400,852 |
Telecom Italia Capital SA | 7.200 | 07/18/36 | 1,490,000 | 1,370,800 |
Telecom Italia Capital SA | 7.721 | 06/04/38 | 158,000 | 149,310 |
West Corp. | 11.000 | 10/15/16 | 1,780,000 | 1,889,025 |
Wireless Telecommunication Services 0.7% | ||||
America Movil SAB de CV | 5.000 | 03/30/20 | 2,280,000 | 2,588,701 |
Digicel, Ltd. (S) | 7.000 | 02/15/20 | 580,000 | 585,800 |
Nextel Communications, Inc. | 7.375 | 08/01/15 | 2,000,000 | 1,975,000 |
NII Capital Corp. | 8.875 | 12/15/19 | 1,655,000 | 1,783,263 |
SBA Tower Trust (S) | 5.101 | 04/15/17 | 1,790,000 | 1,918,880 |
Utilities 3.4% | 42,475,893 | |||
| ||||
Electric Utilities 1.7% | ||||
Beaver Valley II Funding | 9.000 | 06/01/17 | 2,111,000 | 2,204,201 |
BVPS II Funding Corp. | 8.890 | 06/01/17 | 1,562,000 | 1,724,227 |
Commonwealth Edison Company | 5.800 | 03/15/18 | 1,955,000 | 2,317,271 |
Israel Electric Corp., Ltd. (S) | 7.250 | 01/15/19 | 2,395,000 | 2,473,154 |
ITC Holdings Corp. (S) | 5.500 | 01/15/20 | 1,670,000 | 1,881,713 |
NV Energy, Inc. | 6.250 | 11/15/20 | 1,055,000 | 1,152,650 |
PNM Resources, Inc. | 9.250 | 05/15/15 | 3,255,000 | 3,718,838 |
PNPP II Funding Corp. | 9.120 | 05/30/16 | 674,000 | 720,526 |
PPL Capital Funding, Inc. (6.700% to 03/30/2017, then 3 | ||||
month LIBOR + 2.665%) (P) | 6.700 | 03/30/67 | 2,210,000 | 2,176,850 |
Southern California Edison Company (6.250% to 02/01/2022, | ||||
then 3 month LIBOR + 4.199%) (Q) | 6.250 | 02/01/22 | 1,290,000 | 1,306,048 |
8 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Utilities (continued) | ||||
| ||||
W3A Funding Corp. | 8.090 | 01/02/17 | $1,350,870 | $1,337,659 |
Independent Power Producers & Energy Traders 1.0% | ||||
Allegheny Energy Supply Company LLC (S) | 5.750 | 10/15/19 | 1,826,000 | 1,973,948 |
DPL, Inc. (S) | 7.250 | 10/15/21 | 2,535,000 | 2,889,900 |
Exelon Generation Company LLC | 6.250 | 10/01/39 | 1,810,000 | 2,210,432 |
Ipalco Enterprises, Inc. | 5.000 | 05/01/18 | 2,320,000 | 2,346,100 |
NRG Energy, Inc. | 7.625 | 01/15/18 | 1,835,000 | 1,857,938 |
NRG Energy, Inc. | 8.250 | 09/01/20 | 1,550,000 | 1,569,375 |
Multi-Utilities 0.4% | ||||
Integrys Energy Group, Inc. (6.110% to 12/01/2016, then 3 | ||||
month LIBOR + 2.120%) | 6.110 | 12/01/66 | 3,175,000 | 3,151,346 |
Wisconsin Energy Corp. (6.250% to 05/15/2017, then 3 | ||||
month LIBOR + 2.113%) | 6.250 | 05/15/67 | 1,860,000 | 1,906,500 |
Water Utilities 0.3% | ||||
Cia de Saneamento Basico do Estado de Sao Paulo (S) | 6.250 | 12/16/20 | 1,215,000 | 1,281,825 |
Midwest Generation LLC, Series B | 8.560 | 01/02/16 | 1,475,797 | 1,505,313 |
Salton Sea Funding Corp., Series F | 7.475 | 11/30/18 | 704,394 | 770,079 |
U.S. Government & Agency Obligations 31.2% | $388,114,038 | |||
| ||||
(Cost $383,945,520) | ||||
U.S. Government 7.3% | 90,794,634 | |||
| ||||
U.S. Treasury | ||||
Strip, PO | 12.517 | 11/15/30 | 7,940,000 | 4,460,636 |
U.S. Treasury Bonds | ||||
Bond | 3.125 | 11/15/41 | 21,430,000 | 21,553,887 |
U.S. Treasury Notes | ||||
Note | 0.875 | 12/31/16 | 10,305,000 | 10,324,322 |
Note | 0.875 | 01/31/17 | 10,915,000 | 10,926,090 |
Note | 2.000 | 02/15/22 | 43,455,000 | 43,529,699 |
U.S. Government Agency 23.9% | 297,319,404 | |||
| ||||
Federal Home Loan Mortgage Corp. | ||||
30 Yr Pass Thru | 4.000 | 09/01/40 | 11,263,750 | 11,816,246 |
30 Yr Pass Thru | 5.000 | 07/01/41 | 14,947,896 | 16,116,474 |
30 Yr Pass Thru | 6.500 | 06/01/37 | 176,505 | 196,846 |
30 Yr Pass Thru | 6.500 | 10/01/37 | 371,276 | 413,599 |
30 Yr Pass Thru | 6.500 | 11/01/37 | 782,684 | 871,904 |
30 Yr Pass Thru | 6.500 | 12/01/37 | 339,856 | 378,597 |
30 Yr Pass Thru | 6.500 | 02/01/38 | 162,905 | 181,475 |
Federal National Mortgage Association | ||||
15 Yr Pass Thru | 3.000 | 02/01/27 | 6,090,000 | 6,326,540 |
30 Yr Pass Thru | 4.000 | 10/01/40 | 7,938,978 | 8,419,255 |
30 Yr Pass Thru | 4.000 | 11/01/40 | 3,745,535 | 3,962,761 |
30 Yr Pass Thru | 4.000 | 09/01/41 | 10,783,410 | 11,496,421 |
30 Yr Pass Thru | 4.000 | 09/01/41 | 8,959,907 | 9,552,346 |
30 Yr Pass Thru | 4.000 | 09/01/41 | 20,625,775 | 21,873,554 |
30 Yr Pass Thru | 4.000 | 10/01/41 | 5,398,480 | 5,725,067 |
30 Yr Pass Thru | 4.000 | 11/01/41 | 5,468,501 | 5,767,710 |
30 Yr Pass Thru | 4.000 | 12/01/41 | 11,593,893 | 12,228,251 |
30 Yr Pass Thru | 4.000 | 12/01/41 | 8,636,517 | 9,109,063 |
30 Yr Pass Thru | 4.500 | 06/01/41 | 27,614,381 | 29,635,497 |
9 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
U.S. Government Agency (continued) | ||||
| ||||
30 Yr Pass Thru | 4.500 | 07/01/41 | $10,234,001 | $10,983,035 |
30 Yr Pass Thru | 5.000 | 11/01/33 | 1,978,017 | 2,136,438 |
30 Yr Pass Thru | 5.000 | 10/01/34 | 2,155,667 | 2,328,317 |
30 Yr Pass Thru | 5.000 | 09/01/40 | 14,438,689 | 15,583,815 |
30 Yr Pass Thru | 5.000 | 09/01/40 | 14,618,995 | 15,778,421 |
30 Yr Pass Thru | 5.000 | 02/01/41 | 8,881,231 | 9,588,373 |
30 Yr Pass Thru | 5.000 | 03/01/41 | 10,388,105 | 11,215,228 |
30 Yr Pass Thru | 5.000 | 04/01/41 | 11,056,073 | 11,936,381 |
30 Yr Pass Thru | 5.000 | 04/01/41 | 3,947,423 | 4,364,111 |
30 Yr Pass Thru | 5.500 | 05/01/35 | 10,403,835 | 11,368,133 |
30 Yr Pass Thru | 5.500 | 01/01/39 | 8,552,667 | 9,350,731 |
30 Yr Pass Thru | 6.000 | 05/01/37 | 6,795,828 | 7,486,396 |
30 Yr Pass Thru | 6.000 | 07/01/38 | 9,479,522 | 10,493,157 |
30 Yr Pass Thru | 6.500 | 01/01/39 | 13,141,677 | 14,743,951 |
30 Yr Pass Thru | 6.500 | 03/01/39 | 652,770 | 733,174 |
30 Yr Pass Thru | 6.500 | 06/01/39 | 4,596,305 | 5,158,137 |
Foreign Government Obligations 0.2% | $2,118,288 | |||
| ||||
(Cost $2,120,000) | ||||
Argentina 0.2% | 2,118,288 | |||
| ||||
City of Buenos Aires (S) | 9.950 | 03/01/17 | 2,120,000 | 2,118,288 |
Convertible Bonds 0.1% | $1,917,655 | |||
| ||||
(Cost $1,207,911) | ||||
Consumer Discretionary 0.0% | 713,205 | |||
| ||||
Media 0.0% | ||||
XM Satellite Radio, Inc. (S) | 7.000 | 12/01/14 | 486,000 | 713,205 |
Industrials 0.1% | 1,204,450 | |||
| ||||
Airlines 0.1% | ||||
US Airways Group, Inc. | 7.250 | 05/15/14 | 680,000 | 1,204,450 |
Municipal Bonds 0.2% | $2,401,356 | |||
| ||||
(Cost $2,028,628) | ||||
State of California | 7.600 | 11/01/40 | 980,000 | 1,301,332 |
State of Illinois | 5.100 | 06/01/33 | 1,145,000 | 1,100,024 |
Term Loans (M) 0.4% | $5,223,943 | |||
| ||||
(Cost $5,913,711) | ||||
Consumer Discretionary 0.3% | 3,524,673 | |||
| ||||
Hotels, Restaurants & Leisure 0.3% | ||||
CCM Merger, Inc. | 7.000 | 03/01/17 | 767,984 | 767,264 |
Kalispel Tribal Economic Authority | 7.500 | 02/22/17 | 2,461,744 | 2,363,274 |
Media 0.0% | ||||
Vertis, Inc. | 11.750 | 12/31/15 | 1,087,268 | 394,135 |
Financials 0.1% | 1,699,270 | |||
| ||||
Real Estate Investment Trusts 0.1% | ||||
iStar Financial, Inc. | 7.000 | 06/30/14 | 880,000 | 875,270 |
10 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Financials (continued) | ||||
| ||||
Real Estate Management & Development 0.0% | ||||
Realogy Corp. | 13.500 | 10/15/17 | $800,000 | $824,000 |
Capital Preferred Securities 1.8% | $22,589,325 | |||
| ||||
(Cost $22,783,219) | ||||
Financials 1.8% | 22,589,325 | |||
| ||||
Capital Markets 0.5% | ||||
State Street Capital Trust III (Q) | 5.536 | 04/30/12 | 3,275,000 | 3,283,908 |
State Street Capital Trust IV | 1.546 | 06/15/37 | 4,005,000 | 2,827,346 |
Commercial Banks 0.9% | ||||
Allfirst Preferred Capital Trust | 2.072 | 07/15/29 | 1,305,000 | 979,155 |
Fifth Third Capital Trust IV (6.500% to 04/15/2017 then 3 | ||||
month LIBOR + 1.368%) | 6.500 | 04/15/37 | 3,425,000 | 3,399,313 |
PNC Financial Services Group, Inc. (Q) | 6.750 | 08/01/21 | 900,000 | 949,239 |
PNC Preferred Funding Trust III (8.700% to 03/15/2013, then | ||||
3 month LIBOR + 5.226%) (Q)(S) | 8.700 | 03/15/13 | 3,330,000 | 3,437,359 |
Regions Financing Trust II (6.625% to 05/15/2027, then 3 | ||||
month LIBOR + 1.290%) | 6.625 | 05/15/47 | 1,245,000 | 1,132,950 |
Sovereign Capital Trust VI | 7.908 | 06/13/36 | 1,840,000 | 1,748,000 |
Insurance 0.4% | ||||
Aon Corp. | 8.205 | 01/01/27 | 1,380,000 | 1,612,955 |
MetLife Capital Trust X (9.250% to 04/08/2038, then 3 month | ||||
LIBOR + 5.540%) (S) | 9.250 | 04/08/38 | 1,450,000 | 1,783,500 |
ZFS Finance USA Trust II (6.450% to 06/15/2016, then 3 | ||||
month LIBOR + 2.000%) (S) | 6.450 | 12/15/65 | 1,480,000 | 1,435,600 |
Collateralized Mortgage Obligations 13.5% | $167,942,211 | |||
| ||||
(Cost $170,328,087) | ||||
Commercial & Residential 11.1% | 138,613,097 | |||
| ||||
American Home Mortgage Assets | ||||
Series 2006-6, Class A1A | 0.434 | 12/25/46 | 2,127,924 | 1,004,291 |
Series 2006-6, Class XP IO | 2.136 | 12/25/46 | 22,401,917 | 1,304,224 |
American Tower Trust(S) | ||||
Series 2007-1A, Class C | 5.615 | 04/15/37 | 3,075,000 | 3,241,785 |
Series 2007-1A, Class D | 5.957 | 04/15/37 | 3,175,000 | 3,366,224 |
Banc of America Commercial Mortgage, Inc. | ||||
Series 2006-2, Class AM | 5.767 | 05/10/45 | 2,380,000 | 2,581,072 |
Series 2006-4, Class AM | 5.675 | 07/10/46 | 3,930,000 | 4,102,366 |
Series 2006-3, Class A4 | 5.889 | 07/10/44 | 3,735,000 | 4,205,543 |
Bear Stearns Alt-A Trust(P) | ||||
Series 2004-12 1A1 | 0.594 | 01/25/35 | 3,001,043 | 2,510,964 |
Series 2005-3, Class B2 | 2.635 | 04/25/35 | 1,130,143 | 24,262 |
Bear Stearns Commercial Mortgage Securities, Inc. | ||||
Series 2006-PW14, Class D (S) | 5.412 | 12/11/38 | 2,480,000 | 638,997 |
Citigroup Commercial Mortgage Trust | ||||
Series 2006-C4, Class A3 (P) | 5.730 | 03/15/49 | 4,075,000 | 4,642,195 |
Citigroup/Deutsche Bank Commercial Mortgage Trust | ||||
Series 2005-CD1, Class C (P) | 5.226 | 07/15/44 | 1,230,000 | 931,585 |
Commercial Mortgage Pass Through Certificates | ||||
Series 2007-C9, Class A4 (P) | 5.813 | 12/10/49 | 5,995,000 | 6,931,071 |
11 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Commercial & Residential (continued) | ||||
| ||||
First Horizon Alternative Mortgage Securities | ||||
Series 2004-AA5, Class B1 (P) | 2.331 | 12/25/34 | $1,163,859 | $130,875 |
GMAC Mortgage Loan Trust | ||||
Series 2004-AR2, Class 3A (P) | 3.170 | 08/19/34 | 3,245,439 | 2,987,956 |
Greenwich Capital Commercial Funding Corp. | ||||
Series 2006-GG7, Class AM (P) | 5.881 | 07/10/38 | 3,075,000 | 3,219,916 |
Series 2007-GG9, Class C (P) | 5.554 | 03/10/39 | 1,810,000 | 493,681 |
GSR Mortgage Loan Trust | ||||
Series 2005-AR6, Class 3A1 (P) | 2.690 | 09/25/35 | 2,776,243 | 2,492,894 |
Series 2004-9, Class B1 (P) | 3.102 | 08/25/34 | 1,627,488 | 683,545 |
Series 2006-AR1, Class 3A1 (P) | 5.022 | 01/25/36 | 3,089,315 | 2,685,545 |
Harborview Mortgage Loan Trust | ||||
Series 2004-11, Class X1 IO | 1.990 | 01/19/35 | 18,552,448 | 1,344,711 |
Series 2005-11, Class X IO | 2.033 | 08/19/45 | 11,838,805 | 597,149 |
Series 2005-8, Class 1X IO | 2.136 | 09/19/35 | 17,932,462 | 887,248 |
Series 2007-3, Class ES IO | 0.350 | 05/19/47 | 76,185,382 | 476,159 |
Series 2007-4, Class ES IO | 0.350 | 07/19/47 | 93,713,898 | 586,649 |
Series 2007-6, Class ES IO | 0.342 | 08/19/37 | 63,664,066 | 404,267 |
IndyMac Index Mortgage Loan Trust | ||||
Series 2004-AR13, Class B1 | 5.296 | 01/25/35 | 1,089,578 | 92,668 |
Series 2005-AR18, Class 1X IO | 2.056 | 10/25/36 | 29,165,036 | 1,886,103 |
Series 2005-AR18, Class 2X IO | 1.722 | 10/25/36 | 48,219,650 | 2,283,683 |
Series 2005-AR5, Class B1 | 2.613 | 05/25/35 | 694,982 | 5,068 |
JPMorgan Chase Commercial Mortgage Securities Corp. | ||||
Series 2005-PDP5, Class AM | 5.248 | 12/15/44 | 5,515,000 | 5,928,597 |
Series 2006-LDP7, Class AM | 5.871 | 04/15/45 | 3,795,000 | 4,131,935 |
Series 2007-CB18, Class A4 | 5.440 | 06/12/47 | 5,110,000 | 5,744,912 |
Series 2005-LDP3, Class A4B | 4.996 | 08/15/42 | 3,985,000 | 4,221,514 |
LB-UBS Commercial Mortgage Trust | ||||
Series 2006-C6, Class AM | 5.413 | 09/15/39 | 5,015,000 | 5,342,123 |
Series 2007-C1, Class AM | 5.455 | 02/15/40 | 3,515,000 | 3,667,713 |
Series 2006-C4, Class A4 | 5.874 | 06/15/38 | 4,165,000 | 4,775,814 |
Series 2007-C2, Class A3 | 5.430 | 02/15/40 | 4,910,000 | 5,456,689 |
Merrill Lynch | ||||
Series 2006-2, Class A4 (P) | 5.902 | 06/12/46 | 4,985,000 | 5,671,719 |
MLCC Mortgage Investors, Inc. | ||||
Series 2006-3, Class 2A1 (P) | 2.459 | 10/25/36 | 2,900,912 | 2,600,702 |
Series 2007-3, Class M1 (P) | 5.355 | 09/25/37 | 1,056,892 | 558,255 |
Series 2007-3, Class M2 (P) | 5.355 | 09/25/37 | 395,223 | 42,124 |
Series 2007-3, Class M3 (P) | 5.355 | 09/25/37 | 281,018 | 13,977 |
Morgan Stanley Capital I | ||||
Series 2007-IQ13, Class A4 | 5.364 | 03/15/44 | 4,875,000 | 5,371,880 |
Series 2008-HQ8, Class AM | 5.468 | 03/12/44 | 4,900,000 | 5,169,044 |
Provident Funding Mortgage Loan Trust | ||||
Series 2005-1, Class B1 (P) | 2.703 | 05/25/35 | 1,473,678 | 211,292 |
Residential Accredit Loans, Inc. | ||||
Series 2005-QO4, Class X IO | 2.310 | 12/25/45 | 28,161,913 | 1,365,853 |
Structured Asset Securities Corp. | ||||
Series 2003-6A, Class B1 (P) | 2.771 | 03/25/33 | 1,790,034 | 1,204,632 |
Thornburg Mortgage Securities Trust | ||||
Series 2004-1, Class II2A (P) | 1.791 | 03/25/44 | 3,223,412 | 2,943,239 |
WaMu Mortgage Pass Through Certificates | ||||
Series 2005-AR1, Class X IO | 1.436 | 01/25/45 | 41,460,381 | 1,847,694 |
Series 2005-AR13, Class X IO | 1.425 | 10/25/45 | 109,414,108 | 5,517,852 |
Series 2005-AR19, Class B1 | 0.944 | 12/25/45 | 2,213,715 | 295,484 |
12 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Commercial & Residential (continued) | ||||
| ||||
Series 2005-AR2, Class X IO | 1.559 | 01/25/45 | $61,331,672 | $2,992,986 |
Series 2005-AR6, Class X IO | 1.456 | 04/25/45 | 35,073,241 | 1,850,268 |
Series 2005-AR8, Class X IO | 1.571 | 07/25/45 | 29,506,489 | 1,454,626 |
Series 2005-AR13, Class B1 | 0.844 | 10/25/45 | 3,791,466 | 527,230 |
Series 2005-AR6, Class B1 | 0.844 | 04/25/45 | 4,235,499 | 490,030 |
Wells Fargo Mortgage Backed Securities Trust | ||||
Series 2005-AR5, Class 1A1 (P) | 3.690 | 04/25/35 | 2,377,229 | 2,089,716 |
Series 2006-AR15, Class A3 (P) | 5.300 | 10/25/36 | 2,328,801 | 382,501 |
U.S. Government Agency 2.4% | 29,329,114 | |||
| ||||
Federal Home Loan Mortgage Corp. | ||||
Series 3581, Class IO | 6.000 | 10/15/39 | 2,274,407 | 333,651 |
Series 3623, Class LI IO | 4.500 | 01/15/25 | 2,084,533 | 180,380 |
Series 3630, Class BI IO | 4.000 | 05/15/27 | 1,359,925 | 65,278 |
Series 3794, Class PI IO | 4.500 | 02/15/38 | 3,425,483 | 379,727 |
Federal National Mortgage Association | ||||
Series 20011-146, Class MA | 3.500 | 08/25/41 | 5,934,283 | 6,196,211 |
Series 2009-109, Class IW IO | 4.500 | 04/25/38 | 3,352,544 | 338,729 |
Series 2009-47, Class EI IO | 5.000 | 08/25/19 | 2,977,487 | 281,490 |
Series 2009-50, Class GI IO | 5.000 | 05/25/39 | 5,968,209 | 693,604 |
Series 2009-78, Class IB IO | 5.000 | 06/25/39 | 7,964,754 | 990,587 |
Series 2010-14, Class AI IO | 4.000 | 08/25/27 | 4,001,397 | 194,230 |
Series 2010-36, Class BI IO | 4.000 | 03/25/28 | 4,055,421 | 243,212 |
Series 2012-19, Class JA | 3.500 | 03/25/41 | 9,160,000 | 9,743,950 |
Series 3908, Class PA | 4.000 | 06/15/39 | 3,529,186 | 3,794,137 |
Series 398, Class C3 IO | 4.500 | 05/25/39 | 4,529,188 | 557,981 |
Series 401, Class C2 IO | 4.500 | 06/25/39 | 2,999,236 | 317,653 |
Series 402, Class 3 IO | 4.000 | 11/25/39 | 3,832,163 | 475,263 |
Series 402, Class 4 IO | 4.000 | 10/25/39 | 6,632,657 | 705,707 |
Series 402, Class 7 IO | 4.500 | 11/25/39 | 5,899,782 | 709,241 |
Series 407, Class 15 IO | 5.000 | 01/25/40 | 5,711,685 | 695,982 |
Series 407, Class 16 IO | 5.000 | 01/25/40 | 1,333,697 | 155,745 |
Series 407, Class 17 IO | 5.000 | 01/25/40 | 1,179,363 | 143,544 |
Series 407, Class 21 IO | 5.000 | 01/25/39 | 4,807,882 | 577,772 |
Series 407, Class 7 IO | 5.000 | 03/25/41 | 3,927,211 | 756,089 |
Series 407, Class 8 IO | 5.000 | 03/25/41 | 1,844,940 | 244,744 |
Government National Mortgage Association | ||||
Series 2010-78, Class AI IO | 4.500 | 04/20/39 | 5,878,398 | 554,207 |
Asset Backed Securities 4.9% | $60,535,022 | |||
| ||||
(Cost $60,888,172) | ||||
Aegis Asset Backed Securities Trust | ||||
Series 2004-3, Class A1 (P) | 0.604 | 09/25/34 | 1,505,653 | 1,354,674 |
Ameriquest Mortgage Securities, Inc. | ||||
Series 2005-R1, Class M1 (P) | 0.694 | 03/25/35 | 2,175,000 | 1,951,825 |
Asset Backed Funding Certificates | ||||
Series 2005-HE1, Class M1 (P) | 0.664 | 03/25/35 | 1,652,918 | 1,304,639 |
Bayview Financial Acquisition Trust | ||||
Series 2006-A, Class 2A3 (P) | 0.594 | 02/28/41 | 1,422,050 | 1,237,177 |
Bravo Mortgage Asset Trust | ||||
Series 2006-1A, Class A2 (P)(S) | 0.484 | 07/25/36 | 2,384,381 | 1,929,157 |
Carrington Mortgage Loan Trust | ||||
Series 2005-OPT2, Class M2 (P) | 0.694 | 05/25/35 | 1,725,000 | 1,538,493 |
Series 2006-NC4, Class A5 (P) | 0.304 | 10/25/36 | 546,420 | 430,755 |
13 |
Bond Fund
As of 2-29-12 (Unaudited)
Maturity | Par value | |||
Rate (%) | date | Value | ||
Asset Backed Securities (Continued) | ||||
| ||||
Citigroup Mortgage Loan Trust | ||||
Series 2006-WFH3, Class A3 (P) | 0.394 | 10/25/36 | $2,571,869 | $2,395,766 |
ContiMortgage Home Equity Loan Trust | ||||
Series 1995-2, Class A-5 | 8.100 | 08/15/25 | 168,684 | 167,931 |
Countrywide Asset-Backed Certificates | ||||
Series 2006-3, Class 2A2 (P) | 0.424 | 06/25/36 | 2,430,181 | 1,966,408 |
Credit-Based Asset Servicing and Securitization LLC | ||||
Series 2005-CB2, Class M1 (P) | 0.684 | 04/25/36 | 3,029,402 | 2,658,227 |
Dominos Pizza Master Issuer LLC | ||||
Series 2007-1, Class M1 (S) | 7.629 | 04/25/37 | 3,715,000 | 3,722,868 |
Series 2007-1, Class A2 (S) | 5.261 | 04/25/37 | 3,180,000 | 3,185,963 |
Fremont Home Loan Trust | ||||
Series 2005-1, Class M3 (P) | 0.754 | 06/25/35 | 1,300,000 | 1,162,663 |
FUEL Trust | ||||
Series 2011-1 (S) | 4.207 | 04/15/16 | 2,765,000 | 2,836,815 |
Home Equity Asset Trust | ||||
Series 2005-5, Class M1 (P) | 0.724 | 11/25/35 | 2,035,000 | 1,603,594 |
Series 2007-3, Class 2A2 (P) | 0.424 | 08/25/37 | 8,050,000 | 5,913,071 |
Leaf Capital Funding SPE A LLC | ||||
Series 2010-A, Class C (P)(S) | 7.246 | 12/15/20 | 1,131,676 | 1,131,676 |
Series 2010-A, Class D (P)(S) | 10.246 | 12/15/20 | 844,642 | 844,642 |
Series 2010-A, Class E1 (P)(S) | 14.746 | 12/15/20 | 986,274 | 986,274 |
Leaf II Receivables Funding LLC | ||||
Series 2011-1, Class A (S) | 1.700 | 12/20/18 | 1,299,317 | 1,277,228 |
Master Asset Backed Securities Trust | ||||
Series 2007-HE2, Class A2 (P) | 0.944 | 08/25/37 | 2,343,886 | 2,045,389 |
Merrill Lynch Mortgage Investors, Inc. | ||||
Series 2005-HE2, Class A2C (P) | 0.614 | 09/25/36 | 2,615,000 | 2,275,555 |
Series 2005-WMC1, Class M1 (P) | 0.994 | 09/25/35 | 1,025,201 | 980,117 |
New Century Home Equity Loan Trust | ||||
Series 2005-1, Class M1 (P) | 0.694 | 03/25/35 | 1,495,000 | 1,050,378 |
Series 2005-3, Class M1 (P) | 0.724 | 07/25/35 | 1,265,000 | 1,108,226 |
Novastar Home Equity Loan | ||||
Series 2004-4, Class M3 (P) | 1.324 | 03/25/35 | 2,720,000 | 2,433,132 |
Park Place Securities, Inc. | ||||
Series 2004-WHQ2, Class M2 (P) | 0.874 | 02/25/35 | 3,650,000 | 2,954,299 |
Series 2005-WCH1, Class M2 (P) | 0.764 | 01/25/36 | 3,580,000 | 3,251,732 |
Renaissance Home Equity Loan Trust | ||||
Series 2005-2, Class AF3 | 4.499 | 08/25/35 | 383,060 | 369,871 |
Series 2005-2, Class AF4 | 4.934 | 08/25/35 | 2,365,000 | 1,846,885 |
Sonic Capital LLC | ||||
Series 2011-1A, Class A2 (S) | 5.438 | 05/20/41 | 2,512,175 | 2,619,592 |
Shares | Value | |||
Preferred Securities 0.7% | $8,947,221 | |||
| ||||
(Cost $9,334,091) | ||||
Consumer Discretionary 0.1% | 1,311,206 | |||
| ||||
Hotels, Restaurants & Leisure 0.1% | ||||
Greektown Superholdings, Inc., Series A (I) | 17,280 | 1,311,206 |
14 |
Bond Fund
As of 2-29-12 (Unaudited)
Shares | Value | |
Consumer Staples 0.2% | $2,069,250 | |
| ||
Food & Staples Retailing 0.2% | ||
Ocean Spray Cranberries, Inc., Series A, 6.250% (Q)(S) | 23,250 | 2,069,250 |
Financials 0.4% | 5,378,710 | |
| ||
Consumer Finance 0.1% | ||
Ally Financial, Inc., 7.300% | 48,470 | 1,140,984 |
Diversified Financial Services 0.3% | ||
Bank of America Corp., Series MER, 8.625% (Q) | 89,220 | 2,273,326 |
Citigroup Capital XIII (7.875% to 10/30/2015, then 3 month LIBOR + | ||
6.370%), 7.875% | 16,000 | 432,800 |
GMAC Capital Trust I (8.125% to 02/15/2016, then 3 month LIBOR | ||
+ 5.785%), 8.125% | 65,230 | 1,531,600 |
Utilities 0.0% | 188,055 | |
| ||
Electric Utilities 0.0% | ||
PPL Corp., 8.750% | 3,500 | 188,055 |
Shares | Value | |
Common Stocks 0.0% | $67,154 | |
| ||
(Cost $97,862) | ||
Consumer Discretionary 0.0% | 67,154 | |
| ||
Greektown Superholdings, Inc. (I) | 885 | 67,154 |
Par value | Value | |
Short-Term Investments 0.7% | $8,216,000 | |
| ||
(Cost $8,216,000) | ||
Repurchase Agreement 0.7% | 8,216,000 | |
| ||
Repurchase Agreement with State Street Corp. dated 2-29- | ||
12 at 0.010% to be repurchased at $8,216,002 on 3-1-12, | ||
collateralized by $6,000,000 Federal National Mortgage | ||
Association, 6.250% due 5-15-29 (valued at $8,385,000, | ||
including interest). | 8,216,000 | 8,216,000 |
Total investments (Cost $1,186,143,439) 97.7% | $1,215,518,035 | |
| ||
Other assets and liabilities, net 2.3% | $28,839,209 | |
| ||
Total net assets 100.0% | $1,244,357,244 | |
|
The percentage shown for each investment category is the total value of that category as a percentage of the net assets applicable of the Fund. All par values are denominated in U.S. Dollars unless otherwise indicated.
Notes to Portfolio of Investments | |
| |
BRL |
Brazilian Real |
IO | Interest Only Security - (Interest Tranche of Stripped Mortgage Pool). Rate shown is the annualized yield atthe end of the period. |
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-kind |
PO | Principal-Only Security - (Principal Tranche of Stripped Security). Rate shown is the annualized yield on date of purchase. |
15 |
Bond Fund
As of 2-29-12 (Unaudited)
(D) | Par value of foreign bonds is expressed in local currency as shown parenthetically in security description. |
(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 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 $201,151,317 or 16.2% of the Fund's net assets as of February 29, 2012. | |
† | At 2-29-12, the aggregate cost of investment securities for federal income tax purposes was $1,187,806,747. |
Net unrealized appreciation aggregated $27,711,288, of which $66,533,281 related to appreciated investment | |
securities and $38,821,993 related to depreciated investment securities. |
16 |
Notes to the Schedule of Investments (Unaudited)
Security valuation. Investments are stated at value as of the close of regular trading on the New York Stock Exchange (NYSE), normally at 4:00 P.M., Eastern Time. The Fund uses a three-tier hierarchy to prioritize the pricing assumptions, referred to as inputs, used in valuation techniques to measure fair value. Level 1 includes securities valued using quoted prices in active markets for identical securities. Level 2 includes securities valued using significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepayment speeds and credit risk. Prices for securities valued using these inputs are received from independent pricing vendors and brokers and are based on an evaluation of the inputs described. Level 3 includes securities valued using significant unobservable inputs when market prices are not readily available or reliable, including the Fund’s own assumptions in determining the fair value of investments. Factors used in determining value may include market or issuer specific events, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The following is a summary of the values by input classification of the Fund’s investments as of February 29, 2012, by major security category or type:
Level 2 | Level 3 | |||
Total Market | Significant | Significant | ||
Value at | Level 1 Quoted | Observable | Unobservable | |
02/29/12 | Price | Inputs | Inputs | |
Corporate Bonds | $547,445,822 | — | $545,876,224 | $1,569,598 |
U.S. Government | 90,794,634 | — | 90,794,634 | — |
U.S. Government Agency | 297,319,404 | 297,319,404 | ||
Foreign Government Obligations | 2,118,288 | — | 2,118,288 | — |
Convertible Bonds | 1,917,655 | — | 1,917,655 | — |
Municipal Bonds | 2,401,356 | — | 2,401,356 | — |
Term Loans | 5,223,943 | — | 5,223,943 | — |
Capital Preferred Securities | 22,589,325 | — | 22,589,325 | — |
Collateralized Mortgage Obligations | 167,942,211 | — | 167,466,052 | 476,159 |
Asset Backed Securities | 60,535,022 | — | 57,572,430 | 2,962,592 |
Preferred Securities | 8,947,221 | $5,566,765 | 2,069,250 | 1,311,206 |
Common Stocks | 67,154 | — | — | 67,154 |
Short-Term Investments | 8,216,000 | — | 8,216,000 | — |
Total investments in Securities | $1,215,518,035 | $5,566,765 | $1,203,564,561 | $6,386,709 |
Futures | ($31,962) | ($31,962) | — | — |
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. During the period ended February 29, 2012, there were no significant transfers into or out of Level 1.
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. Transfers into or out of Level 3 represent the beginning value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.
Collateralized | ||||||
Corporate | Mortgage | Asset Backed | Preferred | Common | ||
Bonds | Obligations | Securities | Securities | Stocks | Total | |
Balance as of 5-31-11 | $2,202,254 | $9,807,309 | $5,865,818 | - | - | $17,875,381 |
Realized gain (loss) | 15,302 | - | - | - | - | 15,302 |
Changed in unrealized | 39,462 | 14,964 | - | 15,206 | 4,761 | 74,393 |
appreciation (depreciation) | ||||||
Purchases | - | 859 | 5,130,328 | - | - | 5,131,187 |
Sales | (687,420) | (90,165) | (5,444,279) | - | - | (6,221,864) |
Transfers into Level 3 | - | - | - | 1,296,000 | 62,393 | 1,358,393 |
Transfers out of Level 3 | - | (9,256,808) | (2,589,275) | - | - | (11,846,083) |
Balance as of 2-29-12 | $1,569,598 | $476,159 | $2,962,592 | 1,311,206 | 67,154 | $6,386,709 |
Change in unrealized at | $33,173 | $14,962 | - | $15,206 | $4,761 | $68,102 |
period end* |
* Change in unrealized appreciation (depreciation) attributable to level 3 securities held at the period end.
In order to value the securities, the Fund uses the following valuation techniques. Equity securities, including exchange-traded funds, held by the Fund are valued at the last sale price or official closing price on the principal securities exchange on which they trade. In the event there were no sales during the day or closing prices are not available, then securities are valued using the last quoted bid or evaluated price. Foreign securities and currencies, including forward foreign currency contracts are valued in U.S. dollars, based on foreign currency exchange rates supplied by an independent pricing service. Certain securities and forward foreign currency contracts traded only in the over-the-counter market are valued at the last bid price quoted by brokers making markets in the securities at the close of trading. Certain short-term securities are valued at amortized cost. Other portfolio securities and assets, where market quotations are not readily available, are valued at fair value, as determined in good faith by the Fund’s Pricing Committee, following procedures established by the Board of Trustees.
Stripped securities. Stripped mortgage-backed securities are financial instruments structured to separate principal and interest cash flows so that one class receives the entire principal from the underlying mortgage assets (PO or principal only), while the other class receives the interest cash flows (IO or interest only). Both PO and IO investments represent an interest in the cash flows of an underlying stripped mortgage-backed security. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to fully recover its initial investment in an IO security. The market value of these securities can be extremely volatile in response to changes in interest rates. In addition, these securities present additional credit risk such that the Fund may not receive all or part of its principal or interest payments because the borrower or issuer has defaulted on its obligation.
Futures. A futures contract is a contractual agreement to buy or sell a particular commodity, currency or financial instrument at a pre-determined price in the future. Risks related to the use of futures contracts include possible illiquidity of the futures markets and contract prices that can be highly volatile and imperfectly correlated to movements in hedged security values and/or interest rates. Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade.
During the period ended February 29, 2012, the Fund used futures contracts to manage duration of the portfolio. The following table summarizes the contracts held at February 29, 2012. During the period ended February 29, 2012 the Fund held futures contracts with USD absolute notional values ranging from $22.4 million to $47.0 million, as measured at each quarter end.
NUMBER | UNREALIZED | ||||
OF | EXPIRATION | NOTIONAL | APPRECIATION | ||
OPEN CONTRACTS | CONTRACTS | POSITION | DATE | VALUE | (DEPRECIATION) |
| |||||
U.S. Treasury Ultra Long Bond Futures | 47 | Long | June 2012 | $7,390,750 | ($59,617) |
U.S. Treasury 30-Year Bond Futures | 50 | Long | June 2012 | 7,082,813 | (44,383) |
U.S. Treasury 10-Year Note Futures | 121 | Short | June 2012 | (15,845,328) | 46,923 |
U.S. Treasury 5-Year Note Futures | 136 | Short | June 2012 | (16,751,375) | 25,115 |
($31,962) |
Fair value of derivative instruments by risk category
The table below summarizes the fair value of derivatives held by the Fund at February 29, 2012 by risk category:
FINANCIAL | LIABILITY | ||
INSTRUMENTS | ASSET DERIVATIVES | DERIVATIVES FAIR | |
RISK | LOCATION | FAIR VALUE | VALUE |
| |||
Interest rate | |||
contracts | Futures | $72,038 | ($104,000) |
Total | $72,038 | ($104,000) |
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
ITEM 2. 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-Q, the registrant's principal executive officer and principal accounting 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 last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Separate certifications for the registrant's principal executive officer and principal accounting officer, as required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached.
SIGNATURES |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
John Hancock Sovereign Bond Fund | |
By: | /s/ Keith F. Hartstein |
Keith F. Hartstein | |
President and Chief Executive Officer | |
Date: | April 23, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Keith F. Hartstein |
Keith F. Hartstein | |
President and Chief Executive Officer | |
Date: | April 23, 2012 |
By: | /s/ Charles A. Rizzo |
Charles A. Rizzo | |
Chief Financial Officer | |
Date: | April 23, 2012 |
CERTIFICATION
I, Keith F. Hartstein, certify that:
1. I have reviewed this report on Form N-Q of John Hancock Sovereign Bond Fund (the “registrant”);
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: April 23, 2012 | /s/ Keith F. Hartstein |
Keith F. Hartstein | |
President and Chief Executive Officer |
CERTIFICATION
I, Charles A. Rizzo, certify that:
1. I have reviewed this report on Form N-Q of John Hancock Sovereign Bond Fund (the “registrant”);
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: April 23, 2012 | /s/ Charles A. Rizzo |
Charles A. Rizzo | |
Chief Financial Officer |
9`R+(`3AB1CI4]K=0V^LVUQ-J+72*K`R,KY7Y2
M`.>>IK&HH<;@I6-&XNTO=+07$I-W"Y"ELDNA]_8^M3ZP;&[N9KN*_4LP&(_*
M;)(`&,X]JQZ*.4.8OW=U'+I-A`LA+Q>9O7GC)&*KV4BQ7UO)(<(DBLQ]`#4%
M%.VEA7UN7-2OI;J[G_TB22`R,45F.,9XX/2KES)I^IR)