0000928816-14-001698.txt : 20141029 0000928816-14-001698.hdr.sgml : 20141029 20141029155919 ACCESSION NUMBER: 0000928816-14-001698 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20140831 FILED AS OF DATE: 20141029 DATE AS OF CHANGE: 20141029 EFFECTIVENESS DATE: 20141029 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JOHN HANCOCK SOVEREIGN BOND FUND CENTRAL INDEX KEY: 0000045288 IRS NUMBER: 042528977 STATE OF INCORPORATION: MA FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-02402 FILM NUMBER: 141180140 BUSINESS ADDRESS: STREET 1: JOHN HANCOCK FUNDS STREET 2: 601 CONGRESS STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-663-3000 MAIL ADDRESS: STREET 1: C/O JOHN HANCOCK FUNDS STREET 2: 601 CONGRESS STREET CITY: BOSTON STATE: MA ZIP: 02210 FORMER COMPANY: FORMER CONFORMED NAME: HANCOCK JOHN SOVEREIGN BOND FUND DATE OF NAME CHANGE: 19930921 FORMER COMPANY: FORMER CONFORMED NAME: HANCOCK JOHN BONDS DATE OF NAME CHANGE: 19930921 FORMER COMPANY: FORMER CONFORMED NAME: HANCOCK JOHN BOND TRUST DATE OF NAME CHANGE: 19910704 0000045288 S000000646 Bond Fund C000001854 Class A JHNBX C000001855 Class B JHBBX C000001856 Class C JHCBX C000001857 Class I JHBIX C000106442 Class R6 JHBSX C000113488 Class R2 JHRBX C000142878 Class NAV N-Q 1 a_sovereignbondfund.htm JOHN HANCOCK SOVEREIGN BOND FUND a_sovereignbondfund.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:  August 31, 2014 

 

ITEM 1. SCHEDULE OF INVESTMENTS





Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Corporate Bonds 42.8%        $890,988,000 

(Cost $847,781,580)         
 
Consumer Discretionary 4.4%        91,677,233 

 
Auto Components 0.6%         
Dana Holding Corp.  6.000  09/15/23  2,630,000  2,800,950 
Delphi Corp.  5.000  02/15/23  6,805,000  7,306,841 
Stackpole International Intermediate Company SA (S)  7.750  10/15/21  1,695,000  1,728,900 
 
Automobiles 1.3%         
Chrysler Group LLC  8.000  06/15/19  1,040,000  1,118,676 
Ford Motor Company  4.750  01/15/43  1,045,000  1,094,858 
Ford Motor Credit Company LLC  5.875  08/02/21  12,525,000  14,720,369 
Ford Motor Credit Company LLC  8.000  12/15/16  2,885,000  3,306,923 
General Motors Company  4.875  10/02/23  3,025,000  3,236,750 
General Motors Company  6.250  10/02/43  2,600,000  3,048,500 
 
Hotels, Restaurants & Leisure 0.3%         
Arcos Dorados Holdings, Inc. (S)  10.250  07/13/16  BRL  3,275,000  1,377,446 
CCM Merger, Inc. (S)  9.125  05/01/19  2,495,000  2,657,175 
Seminole Indian Tribe of Florida (S)  6.535  10/01/20  2,594,000  2,814,490 
Waterford Gaming LLC (S)  8.625  09/15/14  498,150  110,358 
 
Internet & Catalog Retail 0.3%         
QVC, Inc.  4.375  03/15/23  2,170,000  2,187,217 
QVC, Inc.  5.125  07/02/22  1,800,000  1,932,608 
QVC, Inc. (S)  5.450  08/15/34  2,260,000  2,281,122 
 
Media 0.5%         
21st Century Fox America, Inc.  6.150  03/01/37  975,000  1,183,561 
21st Century Fox America, Inc.  6.400  12/15/35  980,000  1,248,650 
AMC Entertainment, Inc.  5.875  02/15/22  2,680,000  2,760,400 
Myriad International Holdings BV (S)  6.000  07/18/20  1,770,000  1,938,504 
Time Warner Cable, Inc.  8.250  04/01/19  2,485,000  3,126,205 
WideOpenWest Finance LLC  10.250  07/15/19  690,000  769,350 
 
Multiline Retail 0.2%         
Macy's Retail Holdings, Inc.  7.875  08/15/36  2,885,000  3,196,196 
Tops Holding II Corp.  8.750  06/15/18  1,580,000  1,623,450 
 
Specialty Retail 1.0%         
AutoNation, Inc.  5.500  02/01/20  4,510,000  4,949,725 
Bed Bath & Beyond, Inc.  3.749  08/01/24  1,330,000  1,355,491 
Bed Bath & Beyond, Inc.  5.165  08/01/44  1,330,000  1,384,099 
Conn's, Inc. (S)  7.250  07/15/22  3,245,000  3,131,425 
Jo-Ann Stores Holdings, Inc., PIK (S)  9.750  10/15/19  2,915,000  2,798,400 
L Brands, Inc.  6.625  04/01/21  3,945,000  4,443,056 
New Look Bondco I PLC (S)  8.375  05/14/18  855,000  906,300 
The Hillman Group, Inc. (S)  6.375  07/15/22  805,000  802,988 
 
Textiles, Apparel & Luxury Goods 0.2%         
Hot Topic, Inc. (S)  9.250  06/15/21  1,550,000  1,697,250 
Quiksilver, Inc. (S)  7.875  08/01/18  2,800,000  2,639,000 
 
Consumer Staples 1.5%        31,392,154 

 
Beverages 0.2%         
Ajecorp BV (S)  6.500  05/14/22  2,145,000  2,059,200 
Crestview DS Merger Sub II, Inc.  10.000  09/01/21  2,175,000  2,457,750 

 

1 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Consumer Staples (continued)         

 
Food & Staples Retailing 0.4%         
Safeway, Inc.  4.750  12/01/21  925,000  936,069 
Safeway, Inc.  5.000  08/15/19  5,820,000  6,004,069 
Tops Holding Corp.  8.875  12/15/17  960,000  1,024,800 
 
Food Products 0.2%         
Bunge, Ltd. Finance Corp.  8.500  06/15/19  2,236,000  2,799,767 
Tyson Foods, Inc.  3.950  08/15/24  1,980,000  2,022,774 
 
Household Products 0.1%         
Harbinger Group, Inc.  7.875  07/15/19  2,555,000  2,772,175 
 
Personal Products 0.2%         
Prestige Brands, Inc. (S)  5.375  12/15/21  1,770,000  1,756,725 
Revlon Consumer Products Corp.  5.750  02/15/21  2,000,000  2,030,000 
 
Tobacco 0.4%         
Alliance One International, Inc.  9.875  07/15/21  5,500,000  5,500,000 
Vector Group, Ltd.  7.750  02/15/21  1,905,000  2,028,825 
 
Energy 5.9%        123,264,805 

 
Energy Equipment & Services 0.8%         
Astoria Depositor Corp. (S)  8.144  05/01/21  3,565,000  3,761,075 
Exterran Partners LP  6.000  04/01/21  670,000  676,700 
Key Energy Services, Inc.  6.750  03/01/21  1,890,000  1,918,350 
Nostrum Oil & Gas Finance BV (S)  6.375  02/14/19  2,300,000  2,391,770 
Offshore Group Investment, Ltd.  7.125  04/01/23  1,530,000  1,518,525 
Precision Drilling Corp.  6.625  11/15/20  1,405,000  1,489,300 
RKI Exploration & Production LLC (S)  8.500  08/01/21  1,775,000  1,908,125 
Rowan Companies, Inc.  4.875  06/01/22  1,990,000  2,135,949 
Trinidad Drilling, Ltd. (S)  7.875  01/15/19  1,180,000  1,240,475 
 
Oil, Gas & Consumable Fuels 5.1%         
Access Midstream Partners LP  4.875  05/15/23  1,385,000  1,457,713 
Access Midstream Partners LP  4.875  03/15/24  2,860,000  3,007,290 
Afren PLC (S)  6.625  12/09/20  2,600,000  2,477,020 
Afren PLC (S)  10.250  04/08/19  1,260,000  1,326,150 
Baytex Energy Corp. (S)  5.625  06/01/24  440,000  440,000 
Cimarex Energy Company  4.375  06/01/24  3,165,000  3,295,556 
CNOOC Finance 2013, Ltd.  3.000  05/09/23  2,940,000  2,796,578 
Compressco Partners LP (S)  7.250  08/15/22  1,730,000  1,747,300 
Continental Resources, Inc.  5.000  09/15/22  5,520,000  5,954,700 
DCP Midstream LLC (S)  9.750  03/15/19  2,675,000  3,461,747 
DCP Midstream LLC (5.850% to 05/21/2023, then 3 month         
LIBOR + 3.850%) (S)  5.850  05/21/43  2,710,000  2,628,700 
DCP Midstream Operating LP  3.875  03/15/23  1,500,000  1,534,698 
Denbury Resources, Inc.  5.500  05/01/22  1,785,000  1,829,625 
Ecopetrol SA  5.875  09/18/23  1,300,000  1,488,500 
Energy Transfer Partners LP  5.200  02/01/22  1,445,000  1,594,270 
Energy Transfer Partners LP  9.700  03/15/19  2,415,000  3,128,536 
Energy XXI Gulf Coast, Inc. (S)  6.875  03/15/24  1,035,000  1,053,113 
Enterprise Products Operating LLC (7.000% to 6-1-17, then 3         
month LIBOR + 2.778%)  7.000  06/01/67  4,085,000  4,289,250 
Enterprise Products Operating LLC (8.375% to 8-1-16, then 3         
month LIBOR + 3.708%)  8.375  08/01/66  3,160,000  3,529,325 
EP Energy LLC  7.750  09/01/22  1,145,000  1,285,263 
EV Energy Partners LP  8.000  04/15/19  2,370,000  2,452,950 
FTS International, Inc. (S)  6.250  05/01/22  1,240,000  1,267,900 

 

2 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Energy (continued)         

Halcon Resources Corp.  8.875  05/15/21  1,385,000  1,457,713 
Jones Energy Holdings LLC (S)  6.750  04/01/22  1,045,000  1,102,475 
Kerr-McGee Corp.  6.950  07/01/24  2,380,000  3,045,441 
Kinder Morgan Energy Partners LP  7.750  03/15/32  1,090,000  1,410,593 
Kosmos Energy, Ltd. (S)  7.875  08/01/21  1,570,000  1,601,400 
Lukoil International Finance BV (S)  3.416  04/24/18  4,655,000  4,399,906 
MarkWest Energy Partners LP  6.500  08/15/21  1,814,000  1,931,910 
Memorial Resource Development Corp. (S)  5.875  07/01/22  1,020,000  1,035,300 
Midstates Petroleum Company, Inc.  9.250  06/01/21  3,510,000  3,799,575 
Newfield Exploration Company  5.750  01/30/22  2,090,000  2,309,450 
Pacific Rubiales Energy Corp. (S)  5.125  03/28/23  1,920,000  1,939,200 
Pacific Rubiales Energy Corp. (S)  5.375  01/26/19  2,275,000  2,366,000 
Petrobras International Finance Company  5.375  01/27/21  1,865,000  1,966,270 
Petroleos de Venezuela SA  5.375  04/12/27  3,755,000  2,070,883 
Petroleos Mexicanos  4.875  01/24/22  1,475,000  1,602,588 
Plains Exploration & Production Company  6.750  02/01/22  3,357,000  3,810,195 
Plains Exploration & Production Company  6.875  02/15/23  1,069,000  1,241,376 
Regency Energy Partners LP  5.000  10/01/22  690,000  713,288 
Regency Energy Partners LP  5.500  04/15/23  3,715,000  3,891,463 
Regency Energy Partners LP  5.875  03/01/22  615,000  661,125 
Rex Energy Corp.  8.875  12/01/20  1,190,000  1,303,050 
Summit Midstream Holdings LLC  7.500  07/01/21  1,115,000  1,226,500 
TransCanada Pipelines, Ltd. (6.350% to 5-15-17, then 3         
month LIBOR + 2.210%)  6.350  05/15/67  3,910,000  4,071,288 
Tullow Oil PLC (S)  6.000  11/01/20  1,550,000  1,565,500 
Tullow Oil PLC (S)  6.250  04/15/22  1,720,000  1,720,000 
WPX Energy, Inc.  6.000  01/15/22  1,805,000  1,935,863 
 
Financials 16.2%        337,940,576 

 
Banks 5.6%         
Banco do Brasil SA/Cayman Island (6.250% to 4-15-24, then         
10 Year U.S. Treasury + 4.398%) (Q)(S)  6.250  04/15/24  3,300,000  2,648,250 
Banco Santander Brasil SA (S)  8.000  03/18/16  BRL  6,000,000  2,586,554 
Bank of America Corp.  3.300  01/11/23  1,645,000  1,631,532 
Bank of America Corp.  5.000  05/13/21  4,705,000  5,261,465 
Bank of America Corp.  6.875  04/25/18  4,565,000  5,322,900 
Barclays Bank PLC (S)  10.179  06/12/21  3,775,000  5,200,198 
BPCE SA (S)  5.700  10/22/23  4,240,000  4,694,994 
Citigroup, Inc.  3.750  06/16/24  2,675,000  2,731,432 
Citigroup, Inc.  3.875  10/25/23  1,235,000  1,280,418 
Citigroup, Inc.  6.125  08/25/36  2,120,000  2,491,825 
Commerzbank AG (S)  8.125  09/19/23  4,050,000  4,880,655 
Credit Agricole SA (7.875% to 01-23-2024, then 5 Year U.S.         
Swap Rate + 4.898%) (Q)(S)  7.875  01/23/24  4,155,000  4,482,206 
Credit Agricole SA (8.125% to 09/19/2018, then 5 Year U.S.         
Swap Rate + 6.283%) (S)  8.125  09/19/33  1,800,000  2,056,500 
Fifth Third Bancorp (5.100% to 6-30-23, then 3 month LIBOR         
+ 3.033%) (Q)  5.100  06/30/23  2,940,000  2,800,350 
HBOS PLC (S)  6.000  11/01/33  3,110,000  3,578,086 
HBOS PLC (S)  6.750  05/21/18  5,490,000  6,290,662 
ICICI Bank, Ltd. (S)  4.700  02/21/18  2,325,000  2,457,048 
ICICI Bank, Ltd. (S)  5.750  11/16/20  2,410,000  2,668,219 
JPMorgan Chase & Company  4.625  05/10/21  6,165,000  6,817,356 
JPMorgan Chase & Company (5.000% to 7-1-19, then 3         
month LIBOR + 3.320%) (Q)  5.000  07/01/19  3,555,000  3,529,973 

 

3 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Financials (continued)         

JPMorgan Chase & Company (6.750% to 02/01/2024, then 3         
month LIBOR + 3.780%) (Q)  6.750  02/01/24  5,480,000  5,884,150 
JPMorgan Chase & Company (7.900% to 04/30/2018, then 3         
month LIBOR + 3.470%) (Q)  7.900  04/30/18  2,840,000  3,141,750 
Lloyds Banking Group PLC (7.500% to 06-27-2024, then 5         
year U.S. Swap Rate + 4.760%) (Q)  7.500  06/27/24  2,680,000  2,810,650 
Manufacturers & Traders Trust Company (5.629% to         
12/01/2016, then 3 month LIBOR + 6.400%)  5.629  12/01/21  1,065,000  1,107,600 
Mizuho Financial Group Cayman 3, Ltd. (S)  4.600  03/27/24  2,975,000  3,145,185 
Oversea-Chinese Banking Corp., Ltd. (4.000% to         
10/15/2019, then 5 year U.S. Swap Rate + 2.203%) (S)  4.000  10/15/24  1,360,000  1,386,229 
Rabobank Nederland NV  3.875  02/08/22  6,745,000  7,217,325 
Synovus Financial Corp.  7.875  02/15/19  1,075,000  1,214,750 
The PNC Financial Services Group, Inc. (P)(Q)  4.454  10/27/14  1,695,000  1,696,271 
The PNC Financial Services Group, Inc. (4.850% to 6-1-23,         
then 3 month LIBOR + 3.040%) (Q)  4.850  06/01/23  2,400,000  2,301,000 
Wells Fargo & Company (5.900% to 06/15/2024, then 3         
month LIBOR + 3.110%) (Q)  5.900  06/15/24  4,525,000  4,739,938 
Wells Fargo & Company, Series K (7.980% to 3-15-18, then         
3 month LIBOR + 3.770%) (Q)  7.980  03/15/18  5,582,000  6,307,660 
Wells Fargo Bank NA  5.850  02/01/37  1,915,000  2,418,817 
 
Capital Markets 2.6%         
Credit Suisse Group AG (7.500% to 12-11-23, then 5 year         
U.S. Swap Rate + 4.598%) (Q)(S)  7.500  12/11/23  1,975,000  2,142,875 
Fifth Street Finance Corp.  4.875  03/01/19  2,875,000  3,002,328 
FS Investment Corp.  4.000  07/15/19  2,630,000  2,655,009 
Jefferies Group LLC  6.875  04/15/21  3,720,000  4,395,180 
Jefferies Group LLC  8.500  07/15/19  1,965,000  2,452,811 
Macquarie Group, Ltd. (S)  6.000  01/14/20  1,495,000  1,695,494 
Morgan Stanley  4.100  05/22/23  4,005,000  4,080,414 
Morgan Stanley  5.500  01/26/20  3,210,000  3,649,654 
Morgan Stanley  5.550  04/27/17  1,620,000  1,787,657 
Morgan Stanley  5.750  01/25/21  3,355,000  3,895,695 
Morgan Stanley  7.300  05/13/19  6,790,000  8,216,341 
Morgan Stanley (5.450% to 7-15-19, then 3 month LIBOR +         
3.610%) (Q)  5.450  07/15/19  2,335,000  2,375,863 
Stifel Financial Corp.  4.250  07/18/24  2,285,000  2,324,944 
The Goldman Sachs Group, Inc.  5.250  07/27/21  7,700,000  8,678,362 
The Goldman Sachs Group, Inc.  5.750  01/24/22  680,000  789,243 
Walter Investment Management Corp. (S)  7.875  12/15/21  2,995,000  3,047,413 
 
Consumer Finance 0.8%         
Capital One Financial Corp.  4.750  07/15/21  2,300,000  2,544,994 
Credit Acceptance Corp. (S)  6.125  02/15/21  2,975,000  3,064,250 
Credito Real SAB de CV (S)  7.500  03/13/19  3,035,000  3,277,800 
Discover Bank  7.000  04/15/20  735,000  880,651 
Discover Financial Services  5.200  04/27/22  2,895,000  3,216,808 
Enova International, Inc. (S)  9.750  06/01/21  2,750,000  2,811,875 
 
Diversified Financial Services 2.4%         
Bank of America Corp.  4.200  08/26/24  2,020,000  2,050,777 
Doric Nimrod Air Alpha 2013-1 Pass Through Trust (S)  5.250  05/30/23  2,536,010  2,688,171 
Doric Nimrod Air Alpha 2013-1 Pass Through Trust (S)  6.125  11/30/19  1,796,218  1,908,481 
Doric Nimrod Air Finance Alpha, Ltd. 2012-1 Class A Pass         
Through (S)  5.125  11/30/22  1,496,120  1,588,393 
General Electric Capital Corp. (P)  0.714  08/15/36  2,745,000  2,359,385 
General Electric Capital Corp.  4.375  09/16/20  1,810,000  1,990,598 

 

4 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Financials (continued)         

General Electric Capital Corp.  5.550  05/04/20  3,095,000  3,593,691 
General Electric Capital Corp. (7.125% until 6-15-22, then 3         
month LIBOR + 5.296%) (Q)  7.125  06/15/22  4,150,000  4,891,813 
ING Bank NV (S)  5.800  09/25/23  1,755,000  1,992,583 
Intercorp Retail Trust (S)  8.875  11/14/18  750,000  819,375 
JPMorgan Chase & Company (5.150% to 05/01/2023, then 3         
month LIBOR + 3.250%) (Q)  5.150  05/01/23  2,590,000  2,522,013 
Leucadia National Corp.  5.500  10/18/23  4,420,000  4,692,060 
Nationstar Mortgage LLC  7.875  10/01/20  2,050,000  2,111,500 
Nationstar Mortgage LLC  9.625  05/01/19  1,755,000  1,943,663 
Rabobank Nederland NV (11.000% to 6-30-19, then 3 month         
LIBOR + 10.868%) (Q)(S)  11.000  06/30/19  3,579,000  4,742,175 
Synchrony Financial  4.250  08/15/24  2,660,000  2,723,130 
The Bear Stearns Companies LLC  7.250  02/01/18  2,100,000  2,473,246 
USB Realty Corp. (P)(Q)(S)  1.381  01/15/17  2,900,000  2,668,000 
Voya Financial, Inc. (5.650% to 5-15-23, then 3 month         
LIBOR + 3.580%)  5.650  05/15/53  1,760,000  1,790,800 
 
Insurance 2.1%         
American International Group, Inc.  4.125  02/15/24  1,985,000  2,109,817 
American International Group, Inc. (8.175% to 5-15-38, then         
3 month LIBOR + 4.195%)  8.175  05/15/58  310,000  427,025 
Aquarius + Investments PLC (6.375% to 9-1-19, then 5 Year         
U.S. Swap Rate + 5.210%)  6.375  09/01/24  1,570,000  1,660,275 
Assured Guaranty US Holdings, Inc.  5.000  07/01/24  3,275,000  3,406,747 
AXA SA  8.600  12/15/30  1,695,000  2,291,437 
AXA SA (6.379% to 12/14/2036, then 3 month LIBOR +         
2.256%) (Q)(S)  6.379  12/14/36  1,575,000  1,708,875 
CNA Financial Corp.  7.250  11/15/23  3,415,000  4,287,898 
Liberty Mutual Group, Inc. (S)  7.800  03/15/37  3,235,000  3,817,300 
Lincoln National Corp. (6.050% to 4-20-17, then 3 month         
LIBOR + 2.040%)  6.050  04/20/67  2,275,000  2,334,719 
MetLife, Inc.  6.400  12/15/36  2,050,000  2,311,375 
Nippon Life Insurance Company (5.000% to 10-18-22, then 3         
month LIBOR + 4.240%) (S)  5.000  10/18/42  1,795,000  1,911,675 
Pacific LifeCorp. (S)  6.000  02/10/20  1,750,000  2,009,173 
Prudential Financial, Inc. (5.200% to 3-15-24, then 3 month         
LIBOR + 3.040%)  5.200  03/15/44  760,000  769,500 
Prudential Financial, Inc. (5.875% to 9-1-22, then 3 month         
LIBOR + 4.175%)  5.875  09/15/42  4,500,000  4,823,550 
Teachers Insurance & Annuity Association of America (S)  6.850  12/16/39  3,225,000  4,349,054 
USI, Inc. (S)  7.750  01/15/21  2,265,000  2,332,950 
White Mountains Re Group, Ltd. (7.506% to 6-30-17, then 3         
month LIBOR + 3.200%) (Q)(S)  7.506  06/30/17  2,375,000  2,505,625 
 
Real Estate Investment Trusts 2.5%         
American Tower Corp.  3.400  02/15/19  1,580,000  1,636,567 
American Tower Corp.  4.700  03/15/22  2,210,000  2,370,126 
ARC Properties Operating Partnership LP (S)  4.600  02/06/24  4,175,000  4,298,739 
Corrections Corp. of America  4.625  05/01/23  2,140,000  2,121,275 
Crown Castle Towers LLC (S)  4.883  08/15/20  3,660,000  4,074,089 
Crown Castle Towers LLC (S)  6.113  01/15/20  3,009,000  3,518,986 
DDR Corp.  7.500  04/01/17  5,155,000  5,896,052 
Goodman Funding Pty, Ltd. (S)  6.375  04/15/21  3,120,000  3,648,809 
Health Care REIT, Inc.  4.950  01/15/21  1,095,000  1,218,974 
Highwoods Realty LP  5.850  03/15/17  4,765,000  5,263,619 
Host Hotels & Resorts LP  5.250  03/15/22  665,000  739,558 

 

5 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Financials (continued)         

iStar Financial, Inc.  5.000  07/01/19  980,000  980,000 
MPT Operating Partnership LP  6.375  02/15/22  1,685,000  1,811,375 
MPT Operating Partnership LP  6.875  05/01/21  1,555,000  1,671,625 
Omega Healthcare Investors, Inc. (S)  4.950  04/01/24  2,455,000  2,535,990 
Ventas Realty LP  4.000  04/30/19  1,985,000  2,127,922 
Ventas Realty LP  4.750  06/01/21  3,225,000  3,555,024 
Weyerhaeuser Company  7.375  03/15/32  3,610,000  4,982,363 
 
Real Estate Management & Development 0.1%         
General Shopping Investments, Ltd. (12.000% to 3-20-17,         
then 5 Year USGG + 11.052%) (Q)(S)  12.000  03/20/17  1,270,000  1,219,200 
NANA Development Corp. (S)  9.500  03/15/19  1,685,000  1,626,025 
 
Thrifts & Mortgage Finance 0.1%         
Ocwen Financial Corp. (S)  6.625  05/15/19  2,340,000  2,269,800 
 
Health Care 1.5%        31,271,913 

 
Health Care Equipment & Supplies 0.1%         
Alere, Inc.  7.250  07/01/18  2,065,000  2,178,575 
 
Health Care Providers & Services 0.7%         
Community Health Systems, Inc. (S)  6.875  02/01/22  710,000  754,375 
HCA, Inc.  7.500  02/15/22  1,855,000  2,161,075 
Medco Health Solutions, Inc.  7.125  03/15/18  1,970,000  2,318,237 
Quest Diagnostics, Inc.  2.700  04/01/19  2,540,000  2,563,640 
Quest Diagnostics, Inc.  4.250  04/01/24  2,500,000  2,575,153 
Select Medical Corp.  6.375  06/01/21  2,160,000  2,245,050 
WellCare Health Plans, Inc.  5.750  11/15/20  1,330,000  1,378,213 
 
Pharmaceuticals 0.7%         
Endo Finance LLC (S)  7.250  01/15/22  2,295,000  2,487,206 
Grifols Worldwide Operations, Ltd. (S)  5.250  04/01/22  2,465,000  2,532,788 
Mallinckrodt International Finance SA (S)  5.750  08/01/22  2,250,000  2,297,813 
Mylan, Inc. (S)  7.875  07/15/20  3,685,000  4,039,088 
Salix Pharmaceuticals, Ltd. (S)  6.000  01/15/21  1,780,000  1,931,300 
Valeant Pharmaceuticals International, Inc. (S)  7.500  07/15/21  1,660,000  1,809,400 
 
Industrials 5.4%        111,820,880 

 
Aerospace & Defense 0.6%         
Embraer Overseas, Ltd. (S)  5.696  09/16/23  1,548,000  1,664,100 
Huntington Ingalls Industries, Inc.  7.125  03/15/21  1,605,000  1,745,438 
Textron Financial Corp. (6.000% to 2-15-17, then 3 month         
LIBOR + 1.735%) (S)  6.000  02/15/67  4,770,000  4,340,700 
Textron, Inc.  5.600  12/01/17  2,195,000  2,452,542 
Textron, Inc.  7.250  10/01/19  1,640,000  1,974,091 
 
Airlines 2.2%         
America West Airlines 2000-1 Pass Through Trust  8.057  07/02/20  500,728  575,838 
American Airlines 2011-1 Class B Pass Through Trust (S)  7.000  01/31/18  4,754,939  5,147,221 
American Airlines 2013-2 Class A Pass Through Trust  4.950  01/15/23  2,407,119  2,593,671 
American Airlines 2013-2 Class B Pass Through Trust  5.600  07/15/20  1,154,093  1,197,371 
British Airways PLC 2013-1 Class A Pass Through Trust (S)  4.625  06/20/24  4,212,109  4,464,835 
British Airways PLC 2013-1 Class B Pass Through Trust (S)  5.625  06/20/20  1,847,878  1,976,084 
Continental Airlines 1997-4 Class A Pass Through Trust  6.900  01/02/18  1,528,409  1,635,397 
Continental Airlines 1998-1 Class A Pass Through Trust  6.648  09/15/17  380,312  405,032 
Continental Airlines 1999-1 Class A Pass Through Trust  6.545  02/02/19  853,735  949,780 
Continental Airlines 2000-2 Class B Pass Through Trust  8.307  04/02/18  239,242  263,764 
Continental Airlines 2007-1 Class A Pass Through Trust  5.983  04/19/22  2,443,972  2,725,029 

 

6 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Industrials (continued)         

Continental Airlines 2012-1 Class B Pass Through Trust  6.250  04/11/20  1,190,708  1,280,011 
Delta Air Lines 2002-1 Class G-1 Pass Through Trust  6.718  01/02/23  3,176,833  3,732,779 
Delta Air Lines 2007-1 Class A Pass Through Trust  6.821  08/10/22  4,211,430  4,943,376 
Delta Air Lines 2010-1 Class A Pass Through Trust  6.200  07/02/18  687,645  770,162 
Delta Air Lines 2011-1 Class A Pass Through Trust  5.300  04/15/19  1,360,548  1,489,800 
Northwest Airlines 2007-1 Class A Pass Through Trust  7.027  11/01/19  1,633,843  1,874,835 
UAL 2009-1 Pass Through Trust  10.400  11/01/16  358,094  399,275 
UAL 2009-2A Pass Through Trust  9.750  01/15/17  1,157,513  1,310,883 
United Airlines 2014-2 Class A Pass Through Trust  3.750  09/03/26  3,105,000  3,112,763 
United Airlines 2014-2 Class B Pass Through Trust  4.625  09/03/22  1,810,000  1,810,000 
US Airways 2010-1 Class A Pass Through Trust  6.250  04/22/23  1,495,731  1,690,176 
US Airways 2012-1 Class A Pass Through Trust  5.900  10/01/24  913,192  1,031,907 
US Airways 2012-1 Class C Pass Through Trust  9.125  10/01/15  1,001,747  1,056,843 
 
Building Products 0.2%         
Masco Corp.  7.125  03/15/20  1,680,000  1,932,000 
Owens Corning  4.200  12/15/22  2,710,000  2,794,221 
 
Commercial Services & Supplies 0.5%         
Ahern Rentals, Inc. (S)  9.500  06/15/18  1,380,000  1,514,550 
Casella Waste Systems, Inc.  7.750  02/15/19  2,385,000  2,456,550 
Iron Mountain, Inc.  5.750  08/15/24  2,845,000  2,923,238 
Iron Mountain, Inc.  6.000  08/15/23  3,080,000  3,287,900 
Safway Group Holding LLC (S)  7.000  05/15/18  1,225,000  1,289,313 
 
Construction & Engineering 0.3%         
Aeropuertos Dominicanos Siglo XXI SA (S)  9.750  11/13/19  3,025,000  2,919,125 
Tutor Perini Corp.  7.625  11/01/18  2,945,000  3,073,844 
 
Industrial Conglomerates 0.4%         
Odebrecht Finance, Ltd. (S)  7.125  06/26/42  2,525,000  2,783,813 
Odebrecht Finance, Ltd. (P)(Q)(S)  7.500  09/14/15  970,000  996,675 
Odebrecht Finance, Ltd. (S)  8.250  04/25/18  BRL  2,850,000  1,171,320 
Odebrecht Offshore Drilling Finance, Ltd. (S)  6.625  10/01/22  890,010  953,423 
Tenedora Nemak SA de CV (S)  5.500  02/28/23  1,980,000  2,039,400 
 
Machinery 0.1%         
SPL Logistics Escrow LLC (S)  8.875  08/01/20  1,216,000  1,346,720 
 
Marine 0.3%         
Global Ship Lease, Inc. (S)  10.000  04/01/19  1,050,000  1,107,750 
Navios Maritime Acquisition Corp. (S)  8.125  11/15/21  2,040,000  2,121,600 
Navios South American Logistics, Inc. (S)  7.250  05/01/22  2,585,000  2,678,706 
 
Trading Companies & Distributors 0.7%         
Air Lease Corp.  3.375  01/15/19  2,965,000  3,009,475 
Air Lease Corp.  3.875  04/01/21  1,455,000  1,469,550 
Air Lease Corp.  4.750  03/01/20  1,480,000  1,576,200 
Air Lease Corp.  5.625  04/01/17  1,200,000  1,293,000 
Aircastle, Ltd.  6.250  12/01/19  1,360,000  1,472,200 
Aircastle, Ltd.  7.625  04/15/20  885,000  1,015,803 
International Lease Finance Corp. (S)  7.125  09/01/18  1,435,000  1,646,663 
United Rentals North America, Inc.  5.750  11/15/24  2,365,000  2,477,338 
 
Transportation Infrastructure 0.1%         
Florida East Coast Holdings Corp. (S)  6.750  05/01/19  1,760,000  1,856,800 
 
Information Technology 0.5%        8,793,401 

 
Communications Equipment 0.1%         
Altice Financing SA (S)  6.500  01/15/22  970,000  1,020,925 

 

7 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Information Technology (continued)         

 
Internet Software & Services 0.2%         
Ancestry.com, Inc.  11.000  12/15/20  2,055,000  2,368,388 
Ancestry.com, Inc., PIK (S)  9.625  10/15/18  1,270,000  1,298,575 
 
Semiconductors & Semiconductor Equipment 0.2%         
Micron Technology, Inc. (S)  5.875  02/15/22  2,940,000  3,149,475 
 
Software 0.0%         
Blackboard, Inc. (S)  7.750  11/15/19  935,000  956,038 
 
Materials 2.7%        56,244,847 

 
Chemicals 0.6%         
Braskem Finance, Ltd. (S)  7.000  05/07/20  3,250,000  3,664,375 
CF Industries, Inc.  7.125  05/01/20  1,575,000  1,921,875 
Incitec Pivot Finance LLC (S)  6.000  12/10/19  1,920,000  2,176,241 
Methanex Corp.  5.250  03/01/22  1,985,000  2,210,395 
Rain CII Carbon LLC (S)  8.250  01/15/21  1,225,000  1,286,250 
Rayonier AM Products, Inc. (S)  5.500  06/01/24  660,000  646,800 
 
Construction Materials 0.4%         
American Gilsonite Company (S)  11.500  09/01/17  2,785,000  3,025,206 
Cemex SAB de CV (S)  6.500  12/10/19  2,350,000  2,491,000 
Magnesita Finance, Ltd. (Q)(S)  8.625  04/05/17  2,220,000  2,242,200 
 
Containers & Packaging 0.3%         
Ardagh Finance Holdings SA, PIK (S)  8.625  06/15/19  1,825,000  1,891,156 
Tekni-Plex, Inc. (S)  9.750  06/01/19  1,266,000  1,389,435 
Wise Metals Group LLC (S)  8.750  12/15/18  2,215,000  2,392,200 
 
Metals & Mining 1.3%         
Allegheny Technologies, Inc.  9.375  06/01/19  5,025,000  6,174,856 
AngloGold Ashanti Holdings PLC  8.500  07/30/20  2,780,000  3,120,550 
ArcelorMittal  10.350  06/01/19  1,695,000  2,135,700 
AuRico Gold, Inc. (S)  7.750  04/01/20  855,000  878,513 
Commercial Metals Company  7.350  08/15/18  1,570,000  1,774,100 
Edgen Murray Corp. (S)  8.750  11/01/20  1,177,000  1,318,240 
Gerdau Trade, Inc. (S)  4.750  04/15/23  1,550,000  1,536,438 
Glencore Finance Canada, Ltd. (S)  4.250  10/25/22  1,475,000  1,527,000 
JMC Steel Group (S)  8.250  03/15/18  920,000  931,500 
MMC Norilsk Nickel OJSC (S)  5.550  10/28/20  1,515,000  1,496,063 
Rain CII Carbon LLC (S)  8.000  12/01/18  2,070,000  2,152,800 
SunCoke Energy, Inc.  7.625  08/01/19  582,000  615,465 
Thompson Creek Metals Company, Inc.  7.375  06/01/18  2,505,000  2,505,000 
Vedanta Resources PLC (S)  7.125  05/31/23  1,950,000  2,062,125 
 
Trading Companies & Distributors 0.1%         
Glencore Funding LLC (S)  4.125  05/30/23  2,625,000  2,679,364 
 
Telecommunication Services 2.8%        58,595,650 

 
Diversified Telecommunication Services 1.8%         
CenturyLink, Inc.  5.625  04/01/20  950,000  1,004,625 
CenturyLink, Inc.  5.800  03/15/22  2,915,000  3,075,325 
CenturyLink, Inc.  6.450  06/15/21  1,880,000  2,058,600 
CenturyLink, Inc.  7.600  09/15/39  1,995,000  2,029,913 
Columbus International, Inc. (S)  7.375  03/30/21  1,350,000  1,469,813 
GTP Acquisition Partners I LLC (S)  4.704  05/15/18  3,440,000  3,419,360 
Oi SA (S)  9.750  09/15/16  BRL  3,440,000  1,398,436 
PAETEC Holding Corp.  9.875  12/01/18  2,119,000  2,259,384 

 

8 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Telecommunication Services (continued)         

T-Mobile USA, Inc.  6.125  01/15/22  970,000  1,005,163 
T-Mobile USA, Inc.  6.250  04/01/21  1,200,000  1,245,000 
Telecom Italia Capital SA  6.999  06/04/18  2,130,000  2,412,225 
Telecom Italia Capital SA  7.200  07/18/36  2,190,000  2,430,900 
Telefonica Emisiones SAU  6.421  06/20/16  4,270,000  4,670,496 
Verizon Communications, Inc.  3.450  03/15/21  2,935,000  3,044,220 
Verizon Communications, Inc. (S)  5.012  08/21/54  1,804,000  1,884,282 
Verizon Communications, Inc.  6.550  09/15/43  1,800,000  2,320,490 
Wind Acquisition Finance SA (S)  7.375  04/23/21  2,395,000  2,526,725 
 
Wireless Telecommunication Services 1.0%         
Comcel Trust (S)  6.875  02/06/24  2,220,000  2,442,000 
Digicel Group, Ltd. (S)  8.250  09/30/20  2,455,000  2,651,400 
Millicom International Cellular SA (S)  4.750  05/22/20  2,735,000  2,728,163 
Millicom International Cellular SA (S)  6.625  10/15/21  2,415,000  2,632,350 
SBA Tower Trust (S)  2.933  12/15/17  2,220,000  2,261,201 
SBA Tower Trust (S)  3.598  04/15/18  2,545,000  2,555,954 
SBA Tower Trust (S)  5.101  04/17/17  2,090,000  2,220,625 
SoftBank Corp. (S)  4.500  04/15/20  2,800,000  2,849,000 
 
Utilities 1.9%        39,986,541 

 
Electric Utilities 1.2%         
Beaver Valley II Funding Corp.  9.000  06/01/17  271,000  287,239 
BVPS II Funding Corp.  8.890  06/01/17  822,000  855,697 
DPL, Inc.  7.250  10/15/21  2,975,000  3,153,500 
Electricite de France SA (5.250% to 1-29-23, then 10 Year         
Swap Rate + 3.709%) (Q)(S)  5.250  01/29/23  3,355,000  3,464,038 
Israel Electric Corp., Ltd. (S)  5.625  06/21/18  2,790,000  2,974,838 
Israel Electric Corp., Ltd. (S)  6.875  06/21/23  1,415,000  1,628,354 
Israel Electric Corp., Ltd. (S)  7.250  01/15/19  2,720,000  3,061,360 
NextEra Energy Capital Holdings, Inc. (6.650% to 6-15-17,         
then 3 month LIBOR + 2.125%)  6.650  06/15/67  1,355,000  1,385,488 
NRG Yield Operating LLC (S)  5.375  08/15/24  1,885,000  1,950,975 
PNPP II Funding Corp.  9.120  05/30/16  307,000  317,219 
PPL Capital Funding, Inc. (6.700% to 3-30-17, then 3 month         
LIBOR + 2.665%)  6.700  03/30/67  2,860,000  2,916,885 
Southern California Edison Company (6.250% to 2-1-22,         
then 3 month LIBOR + 4.199%) (Q)  6.250  02/01/22  1,955,000  2,126,063 
W3A Funding Corp.  8.090  01/02/17  1,010,965  1,010,965 
 
Independent Power and Renewable Electricity Producers 0.3%         
NRG Energy, Inc.  6.625  03/15/23  890,000  943,400 
NRG Energy, Inc.  7.625  01/15/18  2,460,000  2,769,960 
NRG Energy, Inc.  8.250  09/01/20  1,910,000  2,067,575 
 
Multi-Utilities 0.4%         
CMS Energy Corp.  5.050  03/15/22  2,619,000  2,972,222 
Integrys Energy Group, Inc. (6.110% to 12-1-16, then 3         
month LIBOR + 2.120%)  6.110  12/01/66  3,915,000  4,012,875 
Wisconsin Energy Corp. (6.250% to 5-15-17, then 3 month         
LIBOR + 2.113%)  6.250  05/15/67  2,010,000  2,087,888 

 

9 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
U.S. Government & Agency         
Obligations 29.4%        $613,571,712 

(Cost $609,056,381)         
 
U.S. Government 10.9%        227,825,909 

U.S. Treasury         
Bond  3.125  02/15/42  39,275,000  39,851,871 
Bond  3.375  05/15/44  86,465,000  91,544,819 
Note  0.875  06/15/17  13,825,000  13,825,000 
Note  0.875  07/15/17  22,125,000  22,099,070 
Note  0.875  08/15/17  14,500,000  14,475,075 
Note  2.375  08/15/24  45,901,000  46,030,074 
 
U.S. Government Agency 18.5%        385,745,803 

Federal Home Loan Bank         
Bond  2.900  09/05/25  1,390,476  1,357,527 
Bond  3.170  10/04/27  1,425,000  1,376,497 
Bond  3.250  06/21/27  1,915,152  1,896,467 
Federal Home Loan Mortgage Corp.         
30 Yr Pass Thru (P)  2.558  06/01/44  3,818,363  3,922,636 
30 Yr Pass Thru (P)  2.694  05/01/44  3,791,812  3,911,104 
30 Yr Pass Thru  3.000  03/01/43  6,978,888  7,000,970 
30 Yr Pass Thru (P)  3.036  03/01/44  1,022,571  1,060,384 
30 Yr Pass Thru  3.500  05/01/42  4,881,216  5,025,913 
30 Yr Pass Thru  3.500  06/01/42  11,783,649  12,132,961 
30 Yr Pass Thru  4.000  11/01/43  9,026,604  9,573,906 
30 Yr Pass Thru  4.000  02/01/44  2,393,756  2,539,268 
30 Yr Pass Thru  4.500  11/01/39  7,316,779  7,918,616 
30 Yr Pass Thru  4.500  03/01/41  5,193,268  5,657,764 
30 Yr Pass Thru  5.000  04/01/41  3,628,069  4,000,964 
30 Yr Pass Thru  5.500  07/01/37  204,704  227,837 
30 Yr Pass Thru  5.500  05/01/38  749,838  835,981 
30 Yr Pass Thru  5.500  11/01/39  15,293,178  17,028,592 
30 Yr Pass Thru  6.500  09/01/39  1,812,741  2,032,546 
Federal National Mortgage Association         
15 Yr Pass Thru  3.000  09/01/27  7,988,690  8,299,499 
15 Yr Pass Thru  3.400  09/27/32  4,955,000  4,797,119 
15 Yr Pass Thru  3.500  02/01/26  1,223,107  1,293,209 
15 Yr Pass Thru  3.500  03/01/26  9,852,474  10,417,165 
15 Yr Pass Thru  4.000  12/01/24  6,075,226  6,509,993 
30 Yr Pass Thru (P)  2.531  06/01/44  6,730,639  6,916,487 
30 Yr Pass Thru (P)  2.549  04/01/44  6,513,336  6,699,945 
30 Yr Pass Thru (P)  2.910  03/01/44  905,171  936,728 
30 Yr Pass Thru  3.000  10/01/42  7,701,532  7,683,782 
30 Yr Pass Thru  3.000  12/01/42  4,042,829  4,039,829 
30 Yr Pass Thru  3.000  01/01/43  2,844,853  2,836,518 
30 Yr Pass Thru  3.000  03/01/43  1,990,321  1,995,685 
30 Yr Pass Thru  3.000  05/01/43  2,667,213  2,673,569 
30 Yr Pass Thru  3.000  06/01/43  4,880,108  4,864,286 
30 Yr Pass Thru  3.500  06/01/42  6,176,865  6,373,724 
30 Yr Pass Thru  3.500  08/01/42  11,012,746  11,363,726 
30 Yr Pass Thru  3.500  01/01/43  4,561,642  4,699,183 
30 Yr Pass Thru  4.000  11/01/40  2,515,485  2,677,338 
30 Yr Pass Thru  4.000  01/01/41  9,471,669  10,051,506 
30 Yr Pass Thru  4.000  09/01/41  13,336,205  14,214,260 
30 Yr Pass Thru  4.000  10/01/41  3,830,144  4,075,391 
30 Yr Pass Thru  4.000  01/01/42  7,549,673  8,033,082 

 

10 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
U.S. Government Agency (continued)         

30 Yr Pass Thru  4.000  09/01/43  14,954,972  15,989,658 
30 Yr Pass Thru  4.000  01/01/44  6,699,975  7,150,962 
30 Yr Pass Thru  4.500  08/01/40  8,963,670  9,696,071 
30 Yr Pass Thru  4.500  02/01/41  14,278,610  15,445,282 
30 Yr Pass Thru  4.500  06/01/41  14,820,964  16,140,793 
30 Yr Pass Thru  4.500  07/01/41  6,525,054  7,106,120 
30 Yr Pass Thru  4.500  08/01/41  8,884,880  9,676,092 
30 Yr Pass Thru  5.000  08/01/40  10,608,016  11,714,475 
30 Yr Pass Thru  5.000  09/01/40  17,992,285  19,923,317 
30 Yr Pass Thru  5.000  02/01/41  6,678,668  7,403,456 
30 Yr Pass Thru  5.000  03/01/41  7,354,033  8,177,393 
30 Yr Pass Thru  5.000  04/01/41  13,845,627  15,321,803 
30 Yr Pass Thru  5.500  05/01/35  3,266,309  3,659,286 
30 Yr Pass Thru  5.500  04/01/36  859,310  959,473 
30 Yr Pass Thru  5.500  05/01/36  3,864,277  4,319,537 
30 Yr Pass Thru  5.500  01/01/39  3,009,199  3,358,548 
30 Yr Pass Thru  6.000  02/01/37  891,335  1,006,638 
30 Yr Pass Thru  6.000  07/01/38  3,207,591  3,620,842 
30 Yr Pass Thru  6.500  01/01/39  4,021,868  4,557,767 
30 Yr Pass Thru  6.500  06/01/39  1,382,960  1,566,333 
 
Foreign Government         
Obligations 0.2%        $4,456,234 

(Cost $4,489,160)         
 
Argentina 0.2%        4,456,234 

City of Buenos Aires (S)  9.950  03/01/17  2,645,000  2,555,070 
Republic of Argentina (H)  8.280  12/31/33  2,376,454  1,901,164 
  
Term Loans (M) 0.7%        $15,344,643 

(Cost $15,370,687)         
 
Consumer Discretionary 0.0%        652,241 

 
Hotels, Restaurants & Leisure 0.0%         
Marina District Finance Company, Inc.  6.750  08/15/18  646,750  652,241 
 
Consumer Staples 0.1%        2,475,027 

 
Household Products 0.1%         
The Sun Products Corp.  5.500  03/23/20  2,582,637  2,475,027 
 
Energy 0.1%        2,657,450 

 
Energy Equipment & Services 0.0%         
Paragon Offshore Finance Company (T)  TBD  06/19/21  1,150,000  1,135,625 
 
Oil, Gas & Consumable Fuels 0.1%         
Templar Energy LLC  8.000  11/25/20  1,545,000  1,521,825 
 
Financials 0.1%        1,620,079 

 
Capital Markets 0.1%         
Walter Investment Management Corp.  4.750  12/11/20  1,660,023  1,620,079 
 
Health Care 0.1%        1,648,421 

 
Health Care Providers & Services 0.1%         
CRC Health Corp.  5.250  03/29/21  563,588  564,821 
CRC Health Corp.  9.000  09/28/21  1,080,000  1,083,600 

 

11 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Industrials 0.1%        2,644,193 

 
Aerospace & Defense 0.0%         
WP CPP Holdings LLC  4.750  12/27/19  985,000  985,880 
 
Airlines 0.1%         
Delta Air Lines, Inc.  3.250  10/18/18  1,677,485  1,658,313 
 
Information Technology 0.0%        924,598 

 
Software 0.0%         
BMC Software Finance, Inc.  5.000  09/10/20  432,125  430,437 
Sybil Finance BV  4.750  03/20/20  493,750  494,161 
 
Materials 0.1%        1,418,599 

 
Metals & Mining 0.1%         
FMG Resources August 2006 Pty, Ltd.  3.750  06/30/19  1,424,734  1,418,599 
 
Utilities 0.1%        1,304,035 

 
Electric Utilities 0.1%         
La Frontera Generation LLC  4.500  09/30/20  1,300,783  1,304,035 
 
Capital Preferred Securities 1.5%        $31,238,770 

(Cost $29,412,969)         
 
Financials 1.5%        31,238,770 

 
Banks 0.4%         
Allfirst Preferred Capital Trust (P)  1.734  07/15/29  1,305,000  1,187,550 
Sovereign Capital Trust VI  7.908  06/13/36  2,613,000  2,795,487 
The PNC Financial Services Group, Inc. (6.750% to         
08/01/2021, then 3 month LIBOR + 3.678%) (Q)  6.750  08/01/21  3,360,000  3,771,600 
 
Capital Markets 0.3%         
Goldman Sachs Capital II (P)(Q)  4.000  10/27/14  4,605,000  3,637,950 
State Street Capital Trust IV (P)  1.231  06/15/37  4,580,000  3,955,975 
 
Diversified Financial Services 0.2%         
BAC Capital Trust XIV, Series G (P)(Q)  4.000  10/14/14  4,583,000  3,735,145 
 
Insurance 0.6%         
MetLife Capital Trust IV (7.875% to 12/15/2032, then 3         
month LIBOR + 3.960%) (S)  7.875  12/15/37  960,000  1,226,400 
MetLife Capital Trust X (9.250% to 04/08/2033, then 3 month         
LIBOR + 5.540%) (S)  9.250  04/08/38  2,050,000  2,977,625 
ZFS Finance USA Trust II (6.450% to 6-15-16 then 3 month         
LIBOR + 2.000%) (S)  6.450  12/15/65  5,885,000  6,311,663 
ZFS Finance USA Trust V (6.500% to 05/09/2017, then 3         
month LIBOR + 2.285%) (S)  6.500  05/09/37  1,525,000  1,639,375 
  
Collateralized Mortgage         
Obligations 13.1%        $273,477,943 

(Cost $258,409,761)         
 
Commercial & Residential 11.5%        239,304,670 

Adjustable Rate Mortgage Trust         
Series 2005-4, Class 7A12 (P)  0.735  08/25/35  1,767,483  1,672,166 
American Home Mortgage Assets Trust         
Series 2006-6, Class XP IO  2.754  12/25/46  18,791,737  1,427,029 

 

12 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Commercial & Residential (continued)         

American Home Mortgage Investment Trust         
Series 2005-1, Class 1A1 (P)  0.375  06/25/45  3,967,728  3,760,839 
Americold 2010 LLC Trust         
Series 2010-ARTA, Class D (S)  7.443  01/14/29  4,285,000  4,885,359 
BAMLL Commercial Mortgage Securities Trust         
Series 2014-ICTS, Class D (P) (S)  2.055  06/15/28  710,000  708,541 
BAMLL Commercial Mortgage Securities Trust         
Series 2014-ICTS, Class E (P) (S)  3.105  06/15/28  925,000  922,570 
Banc of America Commercial Mortgage Securities Trust         
Series 2013-DSNY, Class E (P) (S)  2.755  09/15/26  2,300,000  2,310,329 
Bear Stearns Adjustable Rate Mortgage Trust         
Series 2005-2, Class A1 (P)  2.580  03/25/35  2,919,783  2,961,264 
Bear Stearns Adjustable Rate Mortgage Trust         
Series 2005-5, Class A2 (P)  2.260  08/25/35  3,121,743  3,166,316 
Bear Stearns Alt-A Trust         
Series 2004-12, Class 1A1 (P)  0.855  01/25/35  5,382,618  5,223,588 
Bear Stearns Alt-A Trust         
Series 2005-5, Class 1A4 (P)  0.715  07/25/35  3,795,004  3,419,541 
Bear Stearns Alt-A Trust         
Series 2005-7, Class 11A1 (P)  0.695  08/25/35  4,887,338  4,598,736 
Bear Stearns Asset Backed Securities Trust         
Series 2004-AC5, Class A1 (P)  5.750  10/25/34  1,994,737  2,047,907 
BHMS Mortgage Trust         
Series 2014-ATLS, Class DFL (S)  1.000  07/05/33  4,600,000  4,599,995 
Citigroup/Deutsche Bank Commercial Mortgage Trust         
Series 2005-CD1, Class C (P)  5.399  07/15/44  2,290,000  2,364,070 
Commercial Mortgage Pass Through Certificates         
Series 2006-GG7, Class AM (P)  6.014  07/10/38  3,325,000  3,571,426 
Commercial Mortgage Pass Through Certificates         
Series 2010-C1, Class D (P) (S)  6.079  07/10/46  3,280,000  3,586,890 
Commercial Mortgage Pass Through Certificates         
Series 2012-CR2, Class XA IO  2.081  08/15/45  19,554,620  2,038,726 
Commercial Mortgage Pass Through Certificates         
Series 2012-LC4, Class B (P)  4.934  12/10/44  1,955,000  2,141,290 
Commercial Mortgage Pass Through Certificates         
Series 2012-LC4, Class C (P)  5.823  12/10/44  4,110,000  4,608,740 
Commercial Mortgage Pass Through Certificates         
Series 2013-300P, Class D (P) (S)  4.540  08/10/30  4,315,000  4,366,025 
Commercial Mortgage Pass Through Certificates         
Series 2013-CR11, Class B (P)  5.332  10/10/46  6,629,000  7,361,882 
Commercial Mortgage Pass Through Certificates         
Series 2013-CR13, Class C (P)  4.915  12/10/23  2,855,000  2,983,501 
Commercial Mortgage Pass Through Certificates         
Series 2013-LC13, Class B (P) (S)  5.009  08/10/46  3,565,000  3,875,683 
Commercial Mortgage Pass Through Certificates         
Series 2014-CR15, Class XA IO  1.511  02/10/47  39,354,196  2,925,473 
Commercial Mortgage Pass Through Certificates         
Series 2014-CR16, Class C (P)  5.070  04/10/47  3,650,000  3,807,435 
Commercial Mortgage Pass Through Certificates         
Series 2014-FL4, Class D (P) (S)  2.600  07/13/31  4,410,000  4,405,404 
Commercial Mortgage Pass Through Certificates         
Series 2014-TWC, Class D (P) (S)  2.406  02/13/32  2,970,000  2,959,160 
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust         
Series 2004-4, Class 2AR1 (P)  0.695  06/25/34  3,549,285  3,336,172 
Extended Stay America Trust         
Series 2013-ESFL, Class DFL (P) (S)  3.296  12/05/31  3,615,000  3,624,840 

 

13 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Commercial & Residential (continued)         

GMAC Mortgage Loan Trust         
Series 2004-AR2, Class 3A (P)  2.920  08/19/34  2,571,000  2,514,441 
HarborView Mortgage Loan Trust         
Series 2005-11, Class X IO  2.430  08/19/45  8,775,595  469,176 
HarborView Mortgage Loan Trust         
Series 2005-9, Class 2A1C (P)  0.605  06/20/35  4,537,119  4,211,721 
HarborView Mortgage Loan Trust         
Series 2005-8, Class 1X IO  2.111  09/19/35  10,800,521  563,344 
HarborView Mortgage Loan Trust         
Series 2007-3, Class ES IO (S)  0.349  05/19/47  54,965,509  584,009 
HarborView Mortgage Loan Trust         
Series 2007-4, Class ES IO  0.349  07/19/47  58,882,552  588,826 
HarborView Mortgage Loan Trust         
Series 2007-6, Class ES IO (S)  0.342  08/19/37  46,088,931  489,695 
HILT Mortgage Trust         
Series 2014-ORL, Class D (P) (S)  2.159  07/15/29  4,270,000  4,270,004 
Hilton USA Trust         
Series 2013-HLF, Class EFL (P) (S)  3.906  11/05/30  3,360,000  3,370,614 
Hilton USA Trust         
Series 2013-HLT, Class DFX (S)  4.407  11/05/30  2,542,000  2,602,505 
IndyMac Index Mortgage Loan Trust         
Series 2005-AR12, Class AX2 IO  2.191  07/25/35  49,365,316  3,502,864 
IndyMac Index Mortgage Loan Trust         
Series 2005-AR18, Class 1X IO  2.046  10/25/36  24,028,899  1,899,492 
IndyMac Index Mortgage Loan Trust         
Series 2005-AR18, Class 2X IO  1.690  10/25/36  37,624,249  1,303,153 
JPMBB Commercial Mortgage Securities Trust         
Series 2014-C19, Class C (P)  4.835  04/15/47  4,435,000  4,549,614 
JPMorgan Chase Commercial Mortgage Securities Trust         
Series 2007-LD12, Class AM (P)  6.217  02/15/51  5,600,000  6,202,879 
JPMorgan Chase Commercial Mortgage Securities Trust         
Series 2007-LDPX, Class AM (P)  5.464  01/15/49  6,175,000  6,505,708 
JPMorgan Chase Commercial Mortgage Securities Trust         
Series 2012-HSBC, Class XA IO (S)  1.582  07/05/32  20,100,000  1,962,464 
JPMorgan Chase Commercial Mortgage Securities Trust         
Series 2013-JWRZ, Class D (P) (S)  3.145  04/15/30  3,095,000  3,104,551 
JPMorgan Chase Commercial Mortgage Securities Trust         
Series 2014-FBLU, Class D (P) (S)  2.755  12/15/28  4,830,000  4,845,287 
JPMorgan Chase Commercial Mortgage Securities Trust         
Series 2014-FBLU, Class E (P) (S)  3.655  12/15/28  3,465,000  3,466,892 
JPMorgan Chase Commercial Mortgage Securities Trust         
Series 2014-INN, Class F (P) (S)  4.155  06/15/29  3,495,000  3,486,678 
MASTR Adjustable Rate Mortgages Trust         
Series 2004-11, Class M2 (P)  1.255  11/25/34  3,370,000  3,268,927 
Merrill Lynch Mortgage Investors Trust         
Series 2004-1, Class 2A1 (P)  2.147  12/25/34  3,030,792  2,971,585 
Morgan Stanley Bank of America Merrill Lynch Trust         
Series 2013-C7, Class C (P)  4.326  02/15/46  2,403,000  2,412,093 
Morgan Stanley Mortgage Loan Trust         
Series 2004-6AR, Class 2A2 (P)  2.677  08/25/34  4,773,835  4,736,885 
MortgageIT Trust         
Series 2005-2, Class 1A2 (P)  0.485  05/25/35  2,950,541  2,754,631 
Motel 6 Trust         
Series 2012-MTL6, Class D (S)  3.781  10/05/25  6,035,000  6,089,176 
Opteum Mortgage Acceptance Corp.         
Series 2005-3, Class APT (P)  0.445  07/25/35  3,877,083  3,802,445 

 

14 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Commercial & Residential (continued)         

Residential Accredit Loans, Inc.         
Series 2005-QO4, Class XIO IO  2.366  12/25/45  22,039,841  2,562,453 
Springleaf Mortgage Loan Trust         
Series 2012-3A, Class M1 (P) (S)  2.660  12/25/59  1,520,000  1,520,041 
Thornburg Mortgage Securities Trust         
Series 2004-1, Class II2A (P)  1.636  03/25/44  2,690,985  2,662,778 
UBS Commercial Mortgage Trust         
Series 2012-C1, Class B  4.822  05/10/45  2,445,000  2,645,368 
UBS Commercial Mortgage Trust         
Series 2012-C1, Class C (P) (S)  5.719  05/10/45  1,580,000  1,740,487 
UBS-Barclays Commercial Mortgage Trust         
Series 2012-C2, Class XA IO (S)  1.929  05/10/63  27,246,454  2,288,266 
VNDO Mortgage Trust         
Series 2013-PENN, Class D (P) (S)  4.079  12/13/29  4,103,000  4,156,856 
Wachovia Bank Commercial Mortgage Trust         
Series 2007-C31, Class AM (P)  5.591  04/15/47  1,810,000  1,963,569 
WaMu Mortgage Pass Through Certificates         
Series 2005-AR13, Class X IO  1.456  10/25/45  95,834,942  5,149,259 
WaMu Mortgage Pass Through Certificates         
Series 2005-AR19, Class A1A2 (P)  0.445  12/25/45  4,283,855  4,038,253 
WaMu Mortgage Pass Through Certificates         
Series 2005-AR2, Class 2A1B (P)  0.525  01/25/45  1,594,269  1,479,020 
WaMu Mortgage Pass Through Certificates         
Series 2005-AR2, Class 2A3 (P)  0.505  01/25/45  2,406,191  2,251,521 
WaMu Mortgage Pass Through Certificates         
Series 2005-AR8, Class 2AB2 (P)  0.575  07/25/45  4,187,432  3,978,169 
Wells Fargo Commercial Mortgage Trust         
Series 2013-120B, Class C (P) (S)  2.800  03/18/28  6,490,000  6,272,215 
Wells Fargo Commercial Mortgage Trust         
Series 2013-BTC, Class E (P) (S)  3.668  04/16/35  4,215,000  3,797,104 
WF-RBS Commercial Mortgage Trust         
Series 2012-C9, Class XA IO (S)  2.388  11/15/45  29,781,476  3,498,460 
WF-RBS Commercial Mortgage Trust         
Series 2013-C15, Class B (P)  4.634  08/15/46  1,072,000  1,134,271 
WF-RBS Commercial Mortgage Trust         
Series 2013-C16, Class B (P)  5.150  09/15/46  1,800,000  1,976,024 
 
U.S. Government Agency 1.6%        34,173,273 

Federal Home Loan Mortgage Corp.         
Series 290, Class IO  3.500  11/15/32  10,821,475  1,946,024 
Federal Home Loan Mortgage Corp.         
Series 3794, Class PI IO  4.500  02/15/38  1,918,957  211,498 
Federal Home Loan Mortgage Corp.         
Series 4077, Class IK IO  5.000  07/15/42  4,512,530  963,929 
Federal Home Loan Mortgage Corp.         
Series 4136, Class IH IO  3.500  09/15/27  14,852,798  1,963,118 
Federal Home Loan Mortgage Corp.         
Series K017, Class X1 IO  1.586  12/25/21  20,624,201  1,707,003 
Federal Home Loan Mortgage Corp.         
Series K018, Class X1 IO  1.593  01/25/22  19,598,834  1,638,208 
Federal Home Loan Mortgage Corp.         
Series K021, Class X1 IO  1.642  06/25/22  4,659,393  436,981 
Federal Home Loan Mortgage Corp.         
Series K022, Class X1 IO  1.427  07/25/22  36,291,050  2,942,224 
Federal Home Loan Mortgage Corp.         
Series K709, Class X1 IO  1.670  03/25/19  17,149,500  1,033,618 

 

15 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
U.S. Government Agency (continued)         

Federal Home Loan Mortgage Corp.         
Series K710, Class X1 IO  1.911  05/25/19  13,934,236  991,616 
Federal Home Loan Mortgage Corp.         
Series K711, Class X1 IO  1.830  07/25/19  49,588,188  3,450,396 
Federal National Mortgage Association         
Series 2009-50, Class GI IO  5.000  05/25/39  2,067,262  343,669 
Federal National Mortgage Association         
Series 2009-78, Class IB IO  5.000  06/25/39  2,621,030  386,358 
Federal National Mortgage Association         
Series 2012-118, Class IB IO  3.500  11/25/42  7,803,405  1,679,394 
Federal National Mortgage Association         
Series 2012-137, Class QI IO  3.000  12/25/27  15,938,160  2,219,427 
Federal National Mortgage Association         
Series 2012-137, Class WI IO  3.500  12/25/32  11,575,566  2,113,675 
Federal National Mortgage Association         
Series 402, Class 3 IO  4.000  11/25/39  1,637,053  320,059 
Federal National Mortgage Association         
Series 402, Class 4 IO  4.000  10/25/39  2,551,390  463,885 
Federal National Mortgage Association         
Series 402, Class 7 IO  4.500  11/25/39  2,424,504  485,430 
Federal National Mortgage Association         
Series 407, Class 15 IO  5.000  01/25/40  2,789,048  575,356 
Federal National Mortgage Association         
Series 407, Class 21 IO  5.000  01/25/39  1,345,918  209,643 
Federal National Mortgage Association         
Series 407, Class 7 IO  5.000  03/25/41  2,306,790  503,797 
Federal National Mortgage Association         
Series 407, Class 8 IO  5.000  03/25/41  1,148,452  245,299 
Federal National Mortgage Association         
Series 407, Class C6 IO  5.500  01/25/40  5,547,434  1,235,828 
Government National Mortgage Association         
Series 2012-114, Class IO  1.038  01/16/53  11,011,101  960,058 
Government National Mortgage Association         
Series 2013-42, Class IA IO  3.500  03/20/43  15,150,639  2,253,459 
Government National Mortgage Association         
Series 2013-42, Class YI IO  3.500  03/20/43  19,859,342  2,893,321 
 
Asset Backed Securities 7.8%        161,822,370 

(Cost $158,018,891)         
 
ACE Securities Corp. Home Equity Loan Trust         
Series 2005-HE3, Class M2 (P)  0.830  05/25/35  2,419,980  2,310,127 
Aegis Asset Backed Securities Trust         
Series 2004-3, Class A1 (P)  0.875  09/25/34  1,442,353  1,413,969 
Aegis Asset Backed Securities Trust         
Series 2005-4, Class M1 (P)  0.605  10/25/35  4,810,000  4,183,618 
Ally Master Owner Trust         
Series 2012-4, Class A  1.720  07/15/19  1,650,000  1,660,407 
Ameriquest Mortgage Securities, Inc.         
Series 2005-R3, Class M2 (P)  0.625  05/25/35  3,070,000  2,894,780 
Applebee's/IHOP Funding LLC         
Series 2014-1, Class A2 (S)  4.277  09/05/44  7,215,000  7,219,343 
Argent Securities, Inc.         
Series 2003-W10, Class M1 (P)  1.235  01/25/34  1,585,140  1,525,447 
Argent Securities, Inc.         
Series 2004-W6, Class M1 (P)  0.980  05/25/34  1,585,463  1,542,573 

 

16 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Asset Backed Funding Certificates         
Series 2005-HE1, Class M1 (P)  0.785  03/25/35  2,354,186  2,250,934 
Bravo Mortgage Asset Trust         
Series 2006-1A, Class A2 (P) (S)  0.395  07/25/36  3,576,073  3,336,784 
CarMax Auto Owner Trust         
Series 2014-3, Class A3  1.160  06/17/19  4,710,000  4,708,954 
Chase Issuance Trust         
Series 2014-A6, Class A  1.260  07/15/19  3,959,000  3,955,655 
Citibank Credit Card Issuance Trust         
Series 2007-A8, Class A8  5.650  09/20/19  2,660,000  2,996,769 
Citicorp Residential Mortgage Securities, Inc.         
Series 2007-2, Class A6 (P)  5.719  06/25/37  1,490,001  1,540,609 
CKE Restaurant Holdings, Inc.         
Series 2013-1A, Class A2 (S)  4.474  03/20/43  7,727,344  7,895,151 
ContiMortgage Home Equity Loan Trust         
Series 1995-2, Class A5  8.100  08/15/25  127,368  123,663 
Countrywide Asset-Backed Certificates         
Series 2004-10, Class AF5B (P)  5.380  02/25/35  2,848,479  2,909,280 
Credit Suisse Mortgage Trust         
Series 2006-CF2, Class M1 (P) (S)  0.625  05/25/36  4,910,000  4,734,163 
Credit Suisse Mortgage Trust         
Series 2014-ICE, Class D (P) (S)  2.500  04/15/27  3,080,000  3,089,200 
Credit-Based Asset Servicing and Securitization LLC         
Series 2005-CB2, Class M1 (P)  0.815  04/25/36  2,251,323  2,225,261 
Credit-Based Asset Servicing and Securitization LLC         
Series 2005-CB4, Class M1 (P)  0.575  07/25/35  1,680,000  1,614,381 
Dominos Pizza Master Issuer LLC         
Series 2012-1A, Class A2 (S)  5.216  01/25/42  2,025,260  2,149,526 
Encore Credit Receivables Trust         
Series 2005-2, Class M2 (P)  0.845  11/25/35  3,350,000  3,266,933 
Ford Credit Auto Owner Trust         
Series 2014-1, Class B (S)  2.410  11/15/25  3,225,000  3,238,316 
Ford Credit Floorplan Master Owner Trust         
Series 2012-5, Class A  1.490  09/15/19  3,195,000  3,192,744 
Ford Credit Floorplan Master Owner Trust         
Series 2014-4, Class A1  1.400  08/15/19  7,020,000  7,003,714 
Fremont Home Loan Trust         
Series 2005-1, Class M3 (P)  0.920  06/25/35  1,866,455  1,871,314 
GSAA Home Equity Trust         
Series 2005-11, Class 3A1 (P)  0.425  10/25/35  4,352,580  4,087,151 
GSAA Trust         
Series 2005-10, Class M3 (P)  0.705  06/25/35  4,265,000  4,046,824 
Home Equity Asset Trust         
Series 2005-1, Class M4 (P)  1.175  05/25/35  2,085,000  2,009,546 
Home Equity Asset Trust         
Series 2005-6, Class M1 (P)  0.625  12/25/35  1,810,000  1,804,717 
Home Equity Mortgage Loan Asset-Backed Trust         
Series 2005-C, Class AII3 (P)  0.525  10/25/35  3,212,500  3,076,444 
Honda Auto Receivables Owner Trust         
Series 2014-3, Class A4  1.310  10/15/20  3,760,000  3,756,977 
John Deere Owner Trust         
Series 2014-B, Class A4  1.500  06/15/21  4,130,000  4,126,129 
Merrill Lynch Mortgage Investors, Inc.         
Series 2005-WMC1, Class M1 (P)  0.905  09/25/35  2,074,762  1,952,615 
New Century Home Equity Loan Trust         
Series 2005-1, Class M1 (P)  0.830  03/25/35  5,350,000  5,052,604 
RAMP Trust         
Series 2005-RS3, Class M1 (P)  0.575  03/25/35  2,355,000  2,225,524 

 

17 

 



Bond Fund

    Maturity     
  Rate (%)  date  Par value^  Value 
 
Renaissance Home Equity Loan Trust         
Series 2005-2, Class AF4 (P)  4.934  08/25/35  2,680,000  2,604,094 
Sierra Timeshare Receivables Funding LLC         
Series 2014-2A, Class A (S)  2.050  06/20/31  4,532,911  4,522,848 
Sonic Capital LLC         
Series 2011-1A, Class A2 (S)  5.438  05/20/41  2,791,329  2,955,914 
Soundview Home Loan Trust         
Series 2005-CTX1, Class M2 (P)  0.595  11/25/35  2,648,500  2,475,969 
Soundview Home Loan Trust         
Series 2006-OPT2, Class A3 (P)  0.335  05/25/36  1,168,177  1,084,406 
Specialty Underwriting & Residential Finance Trust         
Series 2006-BC1, Class A2D (P)  0.455  12/25/36  6,930,000  6,672,724 
Structured Asset Securities Corp. Mortgage Loan Trust         
Series 2005-2XS, Class 2A2 (P)  1.655  02/25/35  3,297,577  3,270,059 
TAL Advantage V LLC         
Series 2014-1A, Class A (S)  3.510  02/22/39  2,232,500  2,267,912 
Volkswagen Credit Auto Master Trust         
Series 2014-1A, Class A2 (S)  1.400  07/22/19  2,810,000  2,806,364 
Westgate Resorts LLC         
Series 2012-2A, Class A (S)  3.000  01/20/25  1,669,819  1,683,908 
Westgate Resorts LLC         
Series 2012-2A, Class B (S)  4.500  01/20/25  5,951,199  6,046,049 
Westgate Resorts LLC         
Series 2012-3A, Class A (S)  2.500  03/20/25  1,428,650  1,436,240 
Westgate Resorts LLC         
Series 2012-3A, Class B (S)  4.500  03/20/25  3,188,650  3,241,464 
Westgate Resorts LLC         
Series 2013-1A, Class B (S)  3.750  08/20/25  1,087,033  1,097,429 
Westgate Resorts LLC         
Series 2014-AA, Class A (S)  6.250  10/20/26  2,664,844  2,664,844 
 
 
 
      Shares  Value 
 
Preferred Securities 1.3%        $27,047,050 

(Cost $26,011,135)         
 
Consumer Staples 0.1%        2,105,578 

 
Food & Staples Retailing 0.1%         
Ocean Spray Cranberries, Inc., Series A, 6.250% (S)      23,250  2,105,578 
 
Financials 0.8%        16,743,833 

 
Banks 0.3%         
FNB Corp. (7.250% to 2-15-24, then 3 month LIBOR + 4.600%),       
7.250%      61,350  1,750,316 
Regions Financial Corp., 6.375%      102,790  2,558,443 
Wells Fargo & Company, Series L, 7.500%      1,342  1,631,832 
 
Capital Markets 0.1%         
The Goldman Sachs Group, Inc., 5.500%      74,825  1,831,716 
 
Consumer Finance 0.2%         
Ally Financial, Inc., 7.000% (S)      3,594  3,613,430 
Discover Financial Services, 6.500%      60,000  1,534,800 
 
Diversified Financial Services 0.2%         
GMAC Capital Trust I (8.125% to 02/15/2016, then 3 month LIBOR       
+ 5.785%), 8.125%      116,450  3,130,176 

 

18 

 



Bond Fund

Financials (continued)     

 
Real Estate Investment Trusts 0.0%     
Weyerhaeuser Company, 6.375%  12,000  693,120 
 
Industrials 0.2%    3,234,245 

 
Aerospace & Defense 0.1%     
United Technologies Corp., 7.500%  31,265  1,877,776 
 
Airlines 0.1%     
Continental Airlines Finance Trust II, 6.000%  27,300  1,356,469 
 
Utilities 0.2%    4,963,394 

 
Electric Utilities 0.1%     
Exelon Corp., 6.500%  30,506  1,540,553 
 
Multi-Utilities 0.1%     
Dominion Resources, Inc., 6.375%, 6.375% (I)  67,339  3,422,841 
 
  Par value  Value 
 
Short-Term Investments 2.7%    $55,396,000 

(Cost $55,396,000)     
 
Repurchase Agreement 2.7%    55,396,000 

Barclays Tri-Party Repurchase Agreement dated 8-29-14 at 0.030% to     
be repurchased at $46,481,039 on 9-2-14, collateralized by     
$44,861,600 U.S. Treasury Inflation Index Notes, 0.125% due 1-15-     
22 (valued at $47,410,847, including interest)  46,481,000  46,481,000 
Repurchase Agreement with State Street Corp. dated 8-29-14 at     
0.000% to be repurchased at $8,915,000 on 9-2-14, collateralized     
by $9,225,000 U.S. Treasury Notes, 0.625% due 11-30-17 (valued     
at $9,095,758, including interest)  8,915,000  8,915,000 
 
Total investments (Cost $2,003,946,564)† 99.5%    $2,073,342,722 

 
Other assets and liabilities, net 0.5%    $11,174,981 

 
Total net assets 100.0%    $2,084,517,703 

 

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.

BRL Brazilian Real

GO General Obligation

IO Interest-Only Security - (Interest Tranche of Stripped Mortgage Pool). The coupon rate shown represents the rate at period end.

LIBOR London Interbank Offered Rate

PIK Paid-in-kind

PO Principal-Only Security - (Principal Tranche of Stripped Security). Rate shown is the annualized yield at the end of the period.

TBD To Be Determined

USGG U.S. Generic Government Yield Index

(H) Non-income producing - Issuer is in default.

(I) Non-income producing security.

(M) Term loans are variable rate obligations. The coupon rate shown represents the rate at period end.

19 

 



Bond Fund

(P) Variable rate obligation. The coupon rate shown represents the rate at period end.

(Q) Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date.

(S) These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $507,286,657 or 24.70% of the fund's net assets as of August 31, 2014.

(T) This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

† At 8-31-14, the aggregate cost of investment securities for federal income tax purposes was $2,010,399,673. Net unrealized appreciation aggregated $62,943,049, of which $77,933,487 related to appreciated investment securities and $14,990,438 related to depreciated investment securities.

20 

 



Bond Fund

Notes to Portfolio of Investments

Security valuation. Investments are stated at value as of the close of regular trading on the New York Stock Exchange (NYSE), normally at 4:00 P.M., Eastern Time. In order to value the securities, the fund uses the following valuation techniques: Equity securities held by the fund are valued at the last sale price or official closing price on the exchange where the security was acquired or most likely will be sold. In the event there were no sales during the day or closing prices are not available, the securities are valued using the last available bid price. Debt obligations are valued based on the evaluated prices provided by an independent pricing vendor or from broker-dealers. Independent pricing vendors utilize matrix pricing which takes into account factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data, as well as broker supplied prices. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rates supplied by an independent pricing vendor. Securities that trade only in the over-the-counter (OTC) market are valued using bid prices. Certain short-term securities with maturities of 60 days or less at the time of purchase are valued at amortized cost. Other portfolio securities and assets, for which reliable market quotations are not readily available, are valued at fair value as determined in good faith by the fund’s Pricing Committee following procedures established by the Board of Trustees. The frequency with which these fair valuation procedures are used cannot be predicted and fair value of securities may differ significantly from the value that would have been used had a ready market for such securities existed.

The fund uses a three-tier hierarchy to prioritize the pricing assumptions, referred to as inputs, used in valuation techniques to measure fair value. Level 1 includes securities valued using quoted prices in active markets for identical securities. Level 2 includes securities valued using other significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepayment speeds and credit risk. Prices for securities valued using these inputs are received from independent pricing vendors and brokers and are based on an evaluation of the inputs described. Level 3 includes securities valued using significant unobservable inputs when market prices are not readily available or reliable, including the fund’s own assumptions in determining the fair value of investments. Factors used in determining value may include market or issuer specific events or trends, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.

The following is a summary of the values by input classification of the fund’s investments as of August 31, 2014, by major security category or type:

        Level 2    Level 3 
    Total Market      Significant    Significant 
    Value at    Level 1 Quoted    Observable    Unobservable 
    8-31-14    Price    Inputs    Inputs 
Corporate Bonds  $890,988,000    $890,877,642  $110,358 
U.S. Government & Agency Obligations  613,571,712    613,571,712   
Foreign Government Obligations  4,456,234    4,456,234   
Term Loans  15,344,643    15,344,643   
Capital Preferred Securities  31,238,770    31,238,770   
Collateralized Mortgage Obligations  273,477,943    271,815,413  1,662,530 
Asset Backed Securities  161,822,370    161,822,370   
Preferred Securities  27,047,050  $18,221,257  8,825,793   
Short-Term Investments  55,396,000    55,396,000   
 
Total Investments in Securities  $2,073,342,722  $18,221,257  $2,053,348,577  $1,772,888 

 

Repurchase agreements. The fund may enter into repurchase agreements. When the fund enters into a repurchase agreement, it receives collateral that is held in a segregated account by the fund’s custodian, or for tri-party repurchase agreements, collateral is held at a third-party custodian bank in a segregated account for the benefit of the fund.The collateral amount is marked-to-market and monitored on a daily basis to ensure that the collateral held is in an amount not less than the principal amount of the repurchase agreement plus any accrued interest. Collateral received by the fund for repurchase agreements is disclosed in the fund’s investments as part of the caption related to the repurchase agreement.

Repurchase agreements are typically governed by the terms and conditions of the Master Repurchase Agreement and/or Global Master Repurchase Agreement (collectively, MRA). Upon an event of default, the non-defaulting party may close out all transactions traded under the MRA and net amounts owed. Absent an event of default, the MRA does not result in an offset of the net amounts owed. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the collateral value may decline or the counterparty may have insufficient assets to pay back claims resulting from close-out of the transactions.

21 

 



Bond Fund

Stripped securities. Stripped securities are financial instruments structured to separate principal and interest cash flows so that one class receives principal payments from the underlying assets (PO or principal only), while the other class receives the interest cash flows (IO or interest only). Both PO and IO investments represent an interest in the cash flows of an underlying stripped security. If the underlying assets experience greater than anticipated prepayments of principal, the fund may fail to fully recover its initial investment in an IO security. The market value of these securities can be extremely volatile in response to changes in interest rates or prepayments on the underlying securities. In addition, these securities present additional credit risk such that the fund may not receive all or part of its principal or interest payments because the borrower or issuer has defaulted on its obligation.

For additional information on the fund’s significant accounting policies, please refer to the fund’s most recent semiannual or annual shareholder report.

22 

 





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/ Andrew Arnott 
  ------------------------------ 
Andrew Arnott
  President 
 
 
Date:  October 10, 2014 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:  /s/ Andrew Arnott 
  ------------------------------ 
Andrew Arnott
  President 
 
 
Date:  October 10, 2014 
 
 
By:  /s/ Charles A. Rizzo 
  ------------------------------- 
Charles A. Rizzo
  Chief Financial Officer 
 
 
Date:  October 10, 2014 

 

EX-99.CERT 2 b_sovereignbondcerts.htm CERTIFICATION b_sovereignbondcerts.htm

CERTIFICATION

I, Andrew Arnott, 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: October 10, 2014  /s/ Andrew Arnott 
  Andrew Arnott 
  President 

 



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: October 10, 2014  /s/ Charles A. Rizzo 
  Charles A. Rizzo 
  Chief Financial Officer 

 

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