N-Q 1 a_sovereignbond.htm JOHN HANCOCK SOVEREIGN BOND FUND a_sovereignbond.htm
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