UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811- 2402

John Hancock Sovereign Bond Fund

(Exact name of registrant as specified in charter)

601 Congress Street, Boston, Massachusetts 02210

(Address of principal executive offices) (Zip code)

Salvatore Schiavone

Treasurer

601 Congress Street

Boston, Massachusetts 02210

(Name and address of agent for service)

Registrant's telephone number, including area code: 617-663-4497


Date of fiscal year end:	May 31

Date of reporting period:	May 31, 2015

ITEM 1. REPORT TO SHAREHOLDERS.

John Hancock

Bond Fund

Annual report 5/31/15

A message to shareholders

Dear fellow shareholder,

Despite improving economic conditions in many developed countries and continued central bank stimulus, global market volatility recently crept up. European markets were shaken by the ongoing debt crisis in Greece, including that country's default on debt payments and subsequent vote to reject the terms of a bailout package from European creditors.

In the bond market, yields rose from recent lows as the U.S. labor market showed some signs of strength. The low levels of returns currently offered by most bond markets mean there is little cushion against falling prices, and, as a result, many fixed-income investors have experienced negative total returns for the first time since 2013. A stronger domestic economy has increased the chances that the U.S. Federal Reserve will raise short-term interest rates.

While the economic picture in many developed countries is improving—and many central banks continue to apply stimulus—we may be in for a period of rising market volatility as investors adjust to the idea of a more normalized monetary policy in the United States. Unpleasant as they are, these pullbacks can ultimately be beneficial to the long-term health of the markets, resetting valuations and investor expectations on a more realistic trajectory.

The near-term challenge, particularly for fixed-income investors, will be maintaining the discipline to stick to a well-constructed long-term financial plan in the face of short-term market dynamics. As always, we recommend that your first course of action be a conversation with your financial advisor. We also believe investors can be well served by owning broadly diversified asset allocation funds or by adding alternative strategies such as absolute return funds to a diversified portfolio.

On behalf of everyone at John Hancock Investments, I'd like to take this opportunity to welcome new shareholders and thank existing shareholders for the continued trust you've placed in us.

Sincerely,

Andrew G. Arnott
President and Chief Executive Officer
John Hancock Investments

This commentary reflects the CEO's views as of May 31, 2015. They are subject to change at any time. For more up-to-date information, you can visit our website at jhinvestments.com.

John Hancock
Bond Fund

Table of contents

2 Your fund at a glance

4 Discussion of fund performance

8 A look at performance

10 Your expenses

12 Fund's investments

36 Financial statements

40 Financial highlights

47 Notes to financial statements

55 Auditor's report

56 Tax information

57 Trustees and Officers

61 More information

Your fund at a glance

INVESTMENT OBJECTIVE

The fund seeks a high level of current income consistent with prudent investment risk.

AVERAGE ANNUAL TOTAL RETURNS AS OF 5/31/15(%)

The Barclays Government/Credit Bond Index is an unmanaged index of U.S. government bonds, U.S. corporate bonds, and Yankee bonds.

It is not possible to invest directly in an index. Index figures do not reflect expenses or sales charges, which would result in lower values.

Figures from Morningstar, Inc. include reinvested distributions and do not take into account sales charges. Actual load-adjusted performance is lower.

The past performance shown here reflects reinvested distributions and the beneficial effect of any expense reductions, and does not guarantee future results. Returns for periods shorter than one year are cumulative, and results for other share classes will vary. Shares will fluctuate in value and, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance cited, and can be found at jhinvestments.com or by calling 800-225-5291. For further information on the fund's objectives, risks, and strategy, see the fund's prospectuses.

PERFORMANCE HIGHLIGHTS OVER THE LAST TWELVE MONTHS

Bonds had mixed results

Slow global growth helped the performance of higher-quality, rate-sensitive asset classes, but high-yield bonds and market segments exposed to falling oil prices lagged.

The fund slightly outperformed its benchmark

Strong security selection and effective yield curve positioning helped fund performance.

Two factors dampened performance

The fund's duration positioning and its allocation to energy issuers within the high-yield space detracted from its 12-month results.

PORTFOLIO COMPOSITION AS OF 5/31/15 (%)

A note about risks

Fixed-income investments are subject to interest-rate and credit risk; their value will normally decline as interest rates rise or if a creditor, grantor, or counterparty is unable or unwilling to make principal, interest, or settlement payments. Investments in higher-yielding, lower-rated securities include a higher risk of default. Sector investing is subject to greater risks than the market as a whole. Because the fund may focus on particular sectors of the economy, its performance may depend on the performance of those sectors, and investments focused in one sector may fluctuate more widely than investments diversified across sectors. Foreign investing, especially in emerging markets, has additional risks, such as currency and market volatility and political and social instability. Mortgage- and asset-backed securities may be sensitive to changes in interest rates, and may be subject to early repayment and the market's perception of issuer creditworthiness. Certain market conditions, including reduced trading volume, heightened volatility, and rising interest rates, may impair liquidity, the ability of the fund to sell securities or close derivative positions at advantageous prices. The use of hedging and derivatives could produce disproportionate gains or losses and may increase costs. Fund distributions generally depend on income from underlying investments and may vary or cease altogether in the future. Please see the fund's prospectuses for additional risks.

Discussion of fund performance

An interview with Portfolio Managers Howard C. Greene, CFA, and Jeffrey N. Given, CFA, John Hancock Asset Management a division of Manulife Asset Management (US) LLC

Howard C. Greene, CFA
Portfolio Manager
John Hancock Asset Management

Jeffrey N. Given, CFA
Portfolio Manager
John Hancock Asset Management

Can you describe the market environment of the past 12 months?

The U.S. investment-grade bond market delivered a positive return of 2.92% during the past year, as gauged by the fund's benchmark, the Barclays Government/Credit Bond Index. Given that bond yields fell in the period (as prices rose), market segments most sensitive to movements in interest rates—including government bonds and longer-term debt—generated the best performance. The primary reason for the downtrend in yields was the backdrop of low inflation, slow global growth, and the benign U.S. Federal Reserve (Fed) policy that characterized the first half of the reporting period.

At the same time, areas of the market with a higher sensitivity to energy prices lagged due to the sharp decline in the price of oil late in 2014. This resulted in pressure on the high-yield market, particularly among energy and energy-related issuers. Emerging-market debt also lagged due to the weakness in the price of oil and other commodities. In addition, the asset class was negatively impacted by concerns about slowing economic growth and volatile currency market performance.

Mortgage-backed securities closed the 12-month period with a gain, thanks to both the broader decline in interest rates and homeowners' slow pace of mortgage refinancings. Corporate bonds also posted a positive return, but the asset class finished behind the overall bond market due to its underperformance in the final month of the fund's fiscal year.

How did the fund's duration and yield curve positioning impact performance?

We positioned the fund in anticipation of a flattening yield curve (outperformance for longer-term bonds relative to intermediate-term debt). We accomplished this by reducing exposure to five- and ten-year bonds in favor of longer-dated securities. This aspect of the fund's positioning made a strong contribution through the end of February, but the positive impact waned once longer-term yields began to rise from March onward. The fund remained geared toward a flatter yield curve at

"The fund remained focused on market segments that offer a yield advantage over U.S. Treasuries..."

the close of the period, as we expect the likelihood that the Fed will raise interest rates before the end of 2015 could lead to a further flattening of the curve.

While this yield curve positioning added value, the fund lost some performance by maintaining a duration (interest-rate sensitivity) below that of the benchmark. This positioning reflected our view that U.S. Treasury yields would gradually move higher over the longer term. Since yields in fact fell during the past year, the fund's defensive posture detracted from performance.

How is the fund positioned among the various sectors of the bond market?

The fund remained focused on market segments that offer a yield advantage over U.S. Treasuries, such as corporate bonds, high-yield bonds, asset-backed securities (ABS), and the international

QUALITY COMPOSITION AS OF 5/31/15 (%)

"We took steps to reduce credit risk in the fund throughout the course of the year."

markets. We believe that the higher yields available in these areas remain advantageous in the low-rate environment. What's more, they tend to benefit from the type of gradual economic growth that has been in place for the past several years. We have funded these positions by holding an underweight in U.S. Treasuries, where yields are lower and interest-rate sensitivity is generally higher.

In the investment-grade corporate segment, our security selection had a positive impact on performance. Our overweight allocation to financials, which outperformed the industrials and utilities sectors during the period, helped the fund generate favorable relative returns within its corporate bond allocation. Financials face tighter regulation regarding capital requirements and permissible leverage than companies in other sectors, which we believe has created a more favorable trade-off of risk and return in the group. We continue to find attractive opportunities in the corporate space, and it remained the fund's largest allocation at period end. Positions in certain ABS that outperformed the broader market were also helpful to performance.

The fund's allocation to high-yield was a modest detractor, as the asset class lagged the investment-grade bond market during the period. In addition, the fund holds positions in a handful of energy producers whose bonds fell sharply in the sell-off of late 2014. While these positions weren't large, the extent of the downturn had a negative impact on the fund's 12-month performance.

The fund also holds a small position in the emerging markets debt. Here, we focus on corporate bonds that we believe offer a compelling opportunity relative to the associated risks, and whose underlying businesses are experiencing positive trends. Although this approach has worked well over time, emerging market corporates underperformed the U.S. bond market due to heightened investor caution regarding economic growth in the developing world.

What is your overall view of the bond market, and how was that reflected in the fund's positioning?

We took steps to reduce credit risk in the fund throughout the course of the year. We lowered the fund's weighting in corporate bonds by selling positions where we no longer saw a favorable trade-off of risk and return. We redeployed the majority of the proceeds of these sales into ABS, where we found a large representation of bonds with the combination of attractive yields, high credit ratings, and short maturity structures that satisfy our yield curve outlook. As a result, our decision to increase the weighting in ABS enabled us to boost the fund's overall credit quality without sacrificing a significant amount of yield. We believe that searching for this type of value, rather than

trying to reach for yield in lower-rated securities, is the prudent course at this stage of the credit cycle.

The fund is also positioned somewhat defensively with respect to its duration. At the close of the fiscal year, the fund's duration stood at 5.2 years, which compares with 6.2 years for the benchmark. This isn't a significant part of our overall strategy, however, as individual security selection is our primary emphasis. With that said, the fund holds a meaningful position in floating-rate securities, primarily mortgage-backed securities that hold adjustable-rate loans. These investments can benefit if interest rates begin to move higher, and we believe they provide an element of diversification to the fund.

Given the backdrop of low prevailing yields and the likelihood that Fed policy will begin to play a greater role in bond market performance, we believe that individual security selection will become increasingly important in the months and years ahead. In this environment, we believe our active, research-based approach can continue to add value for the fund.

MANAGED BY

Howard C. Greene, CFA
On the fund since 2002
Investing since 1979

Jeffrey N. Given, CFA
On the fund since 2006
Investing since 1993

The views expressed in this report are exclusively those of Howard C. Greene, CFA, and Jeffrey N. Given, CFA, John Hancock Asset Management, and are subject to change. They are not meant as investment advice. Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund's investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.

A look at performance

TOTAL RETURNS FOR THE PERIOD ENDED MAY 31, 2015

Average annual total returns (%)
with maximum sales charge Cumulative total returns (%)
with maximum sales charge SEC 30-day
yield (%)
subsidized SEC 30-day
yield (%)
unsubsidized¹

1-year 5-year 10-year 5-year 10-year as of
5-31-15 as of
5-31-15

Class A -1.11 5.48 5.54 30.60 71.50 2.58 2.52

Class B -2.63 5.29 5.38 29.42 68.96 1.98 1.92

Class C 1.32 5.61 5.24 31.41 66.64 1.99 1.93

Class I² 3.35 6.76 6.40 38.69 85.99 3.00 2.95

Class R2^2,3 2.97 6.38 5.97 36.22 78.62 2.53 2.47

Class R4^2,3 3.09 6.47 6.12 36.85 81.15 2.93 2.78

Class R6^2,3 3.45 6.86 6.48 39.35 87.33 3.10 3.02

Index^† 2.92 4.14 4.58 22.52 56.52 — —

Performance figures assume all distributions have been reinvested. Figures reflect maximum sales charges on Class A shares of 4.0% and the applicable contingent deferred sales charge (CDSC) on Class B and Class C shares. The returns for Class A shares have been adjusted to reflect the reduction in the maximum sales charge from 4.5% to 4.0%, effective 2-3-14. The Class B shares' CDSC declines annually between years 1 to 6 according to the following schedule: 5%, 4%, 3%, 3%, 2%, 1%. No sales charge will be assessed after the sixth year. Class C shares sold within one year of purchase are subject to a 1% CDSC. Sales charges are not applicable to Class I, Class R2, Class R4, and Class R6 shares.

The expense ratios of the fund, both net (including any fee waivers and/or expense limitations) and gross (excluding any fee waivers and/or expense limitations), are set forth according to the most recent publicly available prospectuses for the fund and may differ from those disclosed in the Financial highlights tables in this report. Had the fee waivers and expense limitations not been in place, gross expenses would apply. The expense ratios are as follows:

Class A Class B Class C Class I Class R2 Class R4* Class R6

Gross (%) 0.98 1.68 1.68 0.66 1.06 0.91 0.56

Net (%) 0.93 1.63 1.63 0.61 1.01 0.76 0.49

*Expenses have been estimated for the fund's first year of operations.

Please refer to the most recent prospectus and annual or semiannual report for more information on expenses and any expense limitation arrangements for each class.

The returns reflect past results and should not be considered indicative of future performance. The return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Due to market volatility and other factors, the fund's current performance may be higher or lower than the performance shown. For current to the most recent month-end performance data, please call 800-225-5291 or visit the fund's website at jhinvestments.com.

The performance table above and the chart on the next page do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The fund's performance results reflect any applicable fee waivers or expense reductions, without which the expenses would increase and results would have been less favorable.

†	Index is the Barclays Government/Credit Bond Index.

See the following page for footnotes.

This chart and table show what happened to a hypothetical $10,000 investment in John Hancock Bond Fund for the share classes and periods indicated, assuming all distributions were reinvested. For comparison, we've shown the same investment in the Barclays Government/Credit Bond Index.

Start date With maximum
sales charge ($) Without
sales charge ($) Index ($)

Class B⁴ 5-31-05 16,896 16,896 15,652

Class C⁴ 5-31-05 16,664 16,664 15,652

Class I^2,3 5-31-05 18,599 18,599 15,652

Class R2^2,3 5-31-05 17,862 17,862 15,652

Class R4^2,3 5-31-05 18,115 18,115 15,652

Class R6^2,3 5-31-05 18,733 18,733 15,652

The values shown in the chart for Class A shares with maximum sales charge have been adjusted to reflect the reduction in the Class A shares' maximum sales charge from 4.5% to 4.0%, which became effective on 2-3-14.

Performance of the classes will vary based on the difference in sales charges paid by shareholders investing in the different classes and the fee structure of those classes.

The Barclays Government/Credit Bond Index is an unmanaged index of U.S. government bonds, U.S. corporate bonds, and Yankee bonds.

It is not possible to invest directly in an index. Index figures do not reflect expenses or sales charges, which would result in lower values.

Footnotes related to performance pages

1	Unsubsidized yield reflects what the yield would have been without the effect of reimbursements and waivers.
2	For certain types of investors, as described in the fund's prospectuses.
3	Class R6 shares were first offered 9-1-11; Class R2 shares were first offered 3-1-12; Class R4 shares were first offered 3-27-15. Returns prior to these dates are those of Class A shares that have been recalculated to apply the gross fees and expenses of Class R6, Class R2, and Class R4 shares, as applicable.
4	The contingent deferred sales charge is not applicable.

Your expenses

These examples are intended to help you understand your ongoing operating expenses of investing in the fund so you can compare these costs with the ongoing costs of investing in other mutual funds.

Understanding fund expenses

As a shareholder of the fund, you incur two types of costs:

•	Transaction costs, which include sales charges (loads) on purchases or redemptions (varies by share class), minimum account fee charge, etc.
•	Ongoing operating expenses, including management fees, distribution and service fees (if applicable), and other fund expenses.

We are presenting only your ongoing operating expenses here.

Actual expenses/actual returns

This example is intended to provide information about the fund's actual ongoing operating expenses, and is based on the fund's actual return. It assumes an account value of $1,000.00 on December 1, 2014, with the same investment held until May 31, 2015.

Account value
on 12-1-2014 Ending value
on 5-31-2015 Expenses paid
during period
ended 5-31-2015¹ Annualized
expense ratio

Class A $1,000.00 $1,013.20 $4.42 0.88%

Class B 1,000.00 1,010.30 7.92 1.58%

Class C 1,000.00 1,009.70 7.92 1.58%

Class I 1,000.00 1,014.80 2.81 0.56%

Class R2 1,000.00 1,013.10 4.62 0.92%

Class R4² 1,000.00 1,001.80 1.14 0.64%

Class R6 1,000.00 1,015.90 2.31 0.46%

Together with the value of your account, you may use this information to estimate the operating expenses that you paid over the period. Simply divide your account value at May 31, 2015, by $1,000.00, then multiply it by the "expenses paid" for your share class from the table above. For example, for an account value of $8,600.00, the operating expenses should be calculated as follows:

Hypothetical example for comparison purposes

This table allows you to compare the fund's ongoing operating expenses with those of any other fund. It provides an example of the fund's hypothetical account values and hypothetical expenses based on each class's actual expense ratio and an assumed 5% annualized return before expenses (which is not the fund's actual return). It assumes an account value of $1,000.00 on December 1, 2014, with the same investment held until May 31, 2015. Look in any other fund shareholder report to find its hypothetical example and you will be able to compare these expenses. Please remember that these hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

Account value
on 12-1-2014 Ending value
on 5-31-2015 Expenses paid
during period
ended 5-31-2015¹ Annualized
expense ratio

Class A $1,000.00 $1,020.50 $4.43 0.88%

Class B 1,000.00 1,017.10 7.95 1.58%

Class C 1,000.00 1,017.10 7.95 1.58%

Class I 1,000.00 1,022.30 2.82 0.56%

Class R2 1,000.00 1,020.30 4.63 0.92%

Class R4 1,000.00 1,021.70 3.23 0.64%

Class R6 1,000.00 1,022.60 2.32 0.46%

Remember, these examples do not include any transaction costs, therefore, these examples will not help you to determine the relative total costs of owning different funds. If transaction costs were included, your expenses would have been higher. See the prospectuses for details regarding transaction costs.

1	Expenses are equal to the fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
2	The inception date for Class R4 shares is 3-27-15. Expenses are equal to the fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 65/365 (to reflect the period).

Fund's investments

As of 5-31-15

Rate (%) Maturity date Par value^ Value

Corporate bonds 41.8% $1,229,999,391

(Cost $1,204,649,420)

Consumer discretionary 4.8% 140,160,038

Auto components 0.7%

Dana Holding Corp. 6.000 09-15-23 3,905,000 4,129,538

Delphi Corp. 5.000 02-15-23 9,060,000 9,756,488

Stackpole International Intermediate
Company SA (S) 7.750 10-15-21 2,420,000 2,410,925

ZF North America Capital, Inc. (S) 4.750 04-29-25 2,840,000 2,843,550

Automobiles 1.5%

Fiat Chrysler Automobiles NV (S) 5.250 04-15-23 2,310,000 2,321,550

Ford Motor Company 4.750 01-15-43 1,415,000 1,432,689

Ford Motor Credit Company LLC 5.875 08-02-21 16,540,000 19,155,983

General Motors Company 4.875 10-02-23 3,720,000 3,957,176

General Motors Company 6.250 10-02-43 3,570,000 4,111,266

General Motors Financial Company, Inc. 3.450 04-10-22 4,390,000 4,317,951

General Motors Financial Company, Inc. 4.000 01-15-25 5,225,000 5,180,363

General Motors Financial Company, Inc. 4.375 09-25-21 3,030,000 3,155,818

Hotels, restaurants and leisure 0.5%

Boyd Gaming Corp. 6.875 05-15-23 2,440,000 2,482,700

CCM Merger, Inc. (S) 9.125 05-01-19 2,540,000 2,755,900

International Game Technology PLC (S) 6.500 02-15-25 2,115,000 1,982,813

MGM Resorts International 6.000 03-15-23 4,440,000 4,600,950

Seminole Tribe of Florida, Inc. (S) 6.535 10-01-20 2,289,000 2,472,120

Waterford Gaming LLC (H)(S) 8.625 09-15-49 372,111 0

Household durables 0.1%

Argos Merger Sub, Inc. (S) 7.125 03-15-23 1,165,000 1,234,900

Harman International Industries, Inc. 4.150 05-15-25 1,775,000 1,790,847

Internet and catalog retail 0.5%

Amazon.com, Inc. 4.950 12-05-44 5,295,000 5,394,689

QVC, Inc. 4.375 03-15-23 3,880,000 3,899,377

QVC, Inc. 5.125 07-02-22 1,840,000 1,927,411

QVC, Inc. 5.450 08-15-34 3,005,000 2,864,270

Media 0.6%

21st Century Fox America, Inc. 6.150 03-01-37 1,330,000 1,597,178

21st Century Fox America, Inc. 6.400 12-15-35 1,735,000 2,160,030

Altice Financing SA (S) 6.500 01-15-22 1,485,000 1,525,838

Altice Financing SA (S) 6.625 02-15-23 1,890,000 1,958,513

AMC Entertainment, Inc. 5.875 02-15-22 3,745,000 3,904,163

Scripps Networks Interactive, Inc. (C) 3.950 06-15-25 3,925,000 3,935,209

Time Warner Cable, Inc. 8.250 04-01-19 3,290,000 3,898,755

12SEE NOTES TO FINANCIAL STATEMENTS

Rate (%) Maturity date Par value^ Value

Consumer discretionary (continued)

Multiline retail 0.3%

Family Tree Escrow LLC (S) 5.750 03-01-23 2,645,000 $2,787,169

Macy's Retail Holdings, Inc. 7.875 08-15-36 3,420,000 3,672,129

Tops Holding II Corp. 8.750 06-15-18 1,680,000 1,680,000

Specialty retail 0.5%

AutoNation, Inc. 5.500 02-01-20 5,364,000 5,873,580

Jo-Ann Stores Holdings, Inc., PIK (S) 9.750 10-15-19 4,075,000 3,891,625

L Brands, Inc. 6.625 04-01-21 4,975,000 5,621,750

Textiles, apparel and luxury goods 0.1%

Hot Topic, Inc. (S) 9.250 06-15-21 3,210,000 3,474,825

Consumer staples 1.2% 34,429,707

Beverages 0.2%

Constellation Brands, Inc. 4.250 05-01-23 3,025,000 3,055,250

Constellation Brands, Inc. 4.750 11-15-24 1,950,000 2,020,688

Food and staples retailing 0.2%

Rite Aid Corp. (S) 6.125 04-01-23 635,000 660,400

Tops Holding Corp. 8.875 12-15-17 1,475,000 1,545,063

Tops Holding LLC (S) 8.000 06-15-22 4,225,000 4,225,000

Food products 0.3%

Bunge, Ltd. Finance Corp. 8.500 06-15-19 2,286,000 2,789,633

HJ Heinz Company (S) 4.875 02-15-25 4,370,000 4,708,675

Household products 0.1%

HRG Group, Inc. 7.875 07-15-19 2,805,000 2,970,495

Personal products 0.1%

Prestige Brands, Inc. (S) 5.375 12-15-21 1,690,000 1,717,378

Revlon Consumer Products Corp. 5.750 02-15-21 2,600,000 2,606,500

Tobacco 0.3%

Alliance One International, Inc. 9.875 07-15-21 6,275,000 5,459,250

Vector Group, Ltd. 7.750 02-15-21 2,485,000 2,671,375

Energy 4.9% 145,477,250

Energy equipment and services 0.4%

Nostrum Oil & Gas Finance BV (S) 6.375 02-14-19 2,500,000 2,362,500

RKI Exploration & Production LLC (S) 8.500 08-01-21 1,875,000 1,865,625

Rowan Companies, Inc. 4.875 06-01-22 2,570,000 2,559,021

Teine Energy, Ltd. (S) 6.875 09-30-22 1,805,000 1,773,413

TerraForm Power Operating LLC (S) 5.875 02-01-23 2,955,000 3,051,038

Oil, gas and consumable fuels 4.5%

California Resources Corp. 5.500 09-15-21 1,955,000 1,852,363

California Resources Corp. 6.000 11-15-24 5,510,000 5,069,200

Chesapeake Energy Corp. 5.750 03-15-23 4,735,000 4,675,813

Cimarex Energy Company 4.375 06-01-24 5,085,000 5,208,947

SEE NOTES TO FINANCIAL STATEMENTS13

Rate (%) Maturity date Par value^ Value

Energy (continued)

Oil, gas and consumable fuels (continued)

CNOOC Finance 2013, Ltd. 3.000 05-09-23 4,540,000 $4,378,381

Continental Resources, Inc. 5.000 09-15-22 7,935,000 7,915,163

CSI Compressco LP (S) 7.250 08-15-22 1,730,000 1,643,500

DCP Midstream LLC (S) 9.750 03-15-19 3,710,000 4,323,538

DCP Midstream LLC (5.850% to 5-21-23, then 3 month LIBOR + 3.850%) (S) 5.850 05-21-43 2,990,000 2,481,700

DCP Midstream Operating LP 3.875 03-15-23 1,945,000 1,856,215

Ecopetrol SA 5.875 09-18-23 1,300,000 1,396,850

Energy Transfer Partners LP 5.150 03-15-45 3,445,000 3,217,189

Energy Transfer Partners LP 9.700 03-15-19 2,525,000 3,127,553

Enterprise Products Operating LLC (7.000% to 6-1-17, then 3 month LIBOR + 2.778%) 7.000 06-01-67 4,735,000 4,770,513

Enterprise Products Operating LLC (8.375% to 8-1-16, then 3 month LIBOR + 3.708%) 8.375 08-01-66 3,835,000 4,045,925

EP Energy LLC 7.750 09-01-22 1,800,000 1,890,000

EV Energy Partners LP 8.000 04-15-19 2,470,000 2,383,550

Freeport-McMoran Oil & Gas LLC 6.750 02-01-22 4,122,000 4,389,930

Freeport-McMoran Oil & Gas LLC 6.875 02-15-23 1,069,000 1,147,839

FTS International, Inc. 6.250 05-01-22 1,240,000 988,900

Jones Energy Holdings LLC 6.750 04-01-22 1,095,000 1,082,681

Kerr-McGee Corp. 6.950 07-01-24 2,930,000 3,646,177

Kinder Morgan Energy Partners LP 7.750 03-15-32 1,795,000 2,126,061

Kinder Morgan, Inc. 5.550 06-01-45 3,700,000 3,616,151

Kosmos Energy, Ltd. (S) 7.875 08-01-21 1,570,000 1,542,525

Lukoil International Finance BV (S) 3.416 04-24-18 4,925,000 4,728,000

MarkWest Energy Partners LP 4.875 12-01-24 1,565,000 1,580,650

MarkWest Energy Partners LP 6.500 08-15-21 2,659,000 2,851,778

MPLX LP 4.000 02-15-25 1,425,000 1,422,890

Newfield Exploration Company 5.750 01-30-22 2,670,000 2,816,850

Pacific Rubiales Energy Corp. (S) 5.125 03-28-23 1,920,000 1,545,600

Pacific Rubiales Energy Corp. (S) 5.375 01-26-19 2,475,000 2,236,781

Petroleos Mexicanos (S) 4.250 01-15-25 1,445,000 1,437,053

Petroleos Mexicanos 4.875 01-24-22 2,125,000 2,233,375

Regency Energy Partners LP 5.000 10-01-22 930,000 972,408

Regency Energy Partners LP 5.500 04-15-23 4,785,000 4,952,475

Regency Energy Partners LP 5.875 03-01-22 855,000 936,225

Shell International Finance BV 4.375 05-11-45 7,580,000 7,715,303

Summit Midstream Holdings LLC 7.500 07-01-21 1,565,000 1,635,425

Tullow Oil PLC (S) 6.000 11-01-20 1,550,000 1,422,125

Tullow Oil PLC (S) 6.250 04-15-22 1,720,000 1,569,500

Whiting Petroleum Corp. (S) 6.250 04-01-23 2,665,000 2,731,625

Williams Partners LP 4.875 05-15-23 2,190,000 2,236,538

Williams Partners LP 4.875 03-15-24 6,905,000 7,008,575

14SEE NOTES TO FINANCIAL STATEMENTS

Rate (%) Maturity date Par value^ Value

Energy (continued)

Oil, gas and consumable fuels (continued)

WPX Energy, Inc. 5.250 09-15-24 910,000 $864,500

WPX Energy, Inc. 6.000 01-15-22 2,175,000 2,191,313

Financials 16.7% 490,592,404

Banks 6.5%

Banco do Brasil SA (6.250% to 4-15-24, then 10 Year U.S. Treasury + 4.398%) (Q)(S) 6.250 04-15-24 3,300,000 2,409,000

Banco Santander Brasil SA (S) 8.000 03-18-16 BRL 4,600,000 1,371,497

Bank of America Corp. 3.300 01-11-23 2,980,000 2,980,340

Bank of America Corp. 3.950 04-21-25 1,395,000 1,379,432

Bank of America Corp. 4.200 08-26-24 3,125,000 3,168,353

Bank of America Corp. 4.250 10-22-26 3,560,000 3,574,895

Bank of America Corp. 5.000 05-13-21 5,165,000 5,750,034

Bank of America Corp. 6.875 04-25-18 5,715,000 6,508,413

Bank of America Corp. (6.250% to 9-5-24, then 3 month LIBOR + 3.705%) (Q) 6.250 09-05-24 4,575,000 4,660,781

Bank of America Corp. (8.000% to 1-30-18, then 3 month LIBOR + 3.630%) (Q) 8.000 01-30-18 4,275,000 4,552,875

Barclays Bank PLC (S) 10.179 06-12-21 4,620,000 6,206,808

BPCE SA (S) 4.500 03-15-25 4,360,000 4,326,380

BPCE SA (S) 5.700 10-22-23 4,440,000 4,817,569

Commerzbank AG (S) 8.125 09-19-23 5,575,000 6,659,561

Credit Agricole SA (6.625% to 9-23-19, then 5 Year U.S. Swap Rate + 4.697%) (Q)(S) 6.625 09-23-19 4,300,000 4,310,750

Credit Agricole SA (7.875% to 1-23-24, then 5 Year U.S. Swap Rate + 4.898%) (Q)(S) 7.875 01-23-24 4,840,000 5,151,773

Credit Agricole SA (8.125% to 9-19-18, then 5 Year U.S. Swap Rate + 6.283%) (S) 8.125 09-19-33 3,300,000 3,702,930

Fifth Third Bancorp (5.100% to 6-30-23, then 3 month LIBOR + 3.033%) (Q) 5.100 06-30-23 3,665,000 3,463,425

HBOS PLC (S) 6.000 11-01-33 3,820,000 4,294,918

HBOS PLC (S) 6.750 05-21-18 8,130,000 9,067,478

HSBC Holdings PLC (6.375% to 9-17-24, then 5 Year U.S. ISDAFIX + 3.705%) (Q) 6.375 09-17-24 1,455,000 1,495,013

ING Bank NV (S) 5.800 09-25-23 4,779,000 5,386,191

ING Groep NV (6.500% to 4-16-25, then 5 Year U.S. Swap Rate + 4.446%) (Q) 6.500 04-16-25 1,385,000 1,384,134

JPMorgan Chase & Co. 4.625 05-10-21 10,440,000 11,489,690

JPMorgan Chase & Co. (5.000% to 7-1-19, then 3 month LIBOR + 3.320%) (Q) 5.000 07-01-19 4,515,000 4,452,919

JPMorgan Chase & Co. (5.150% to 5-1-23, then 3 month LIBOR + 3.250%) (Q) 5.150 05-01-23 3,705,000 3,619,322

JPMorgan Chase & Co. (6.750% to 2-1-24, then 3 month LIBOR + 3.780%) (Q) 6.750 02-01-24 7,335,000 7,995,150

SEE NOTES TO FINANCIAL STATEMENTS15

Rate (%) Maturity date Par value^ Value

Financials (continued)

Banks (continued)

JPMorgan Chase & Co. (7.900% to 4-30-18, then 3 month LIBOR + 3.470%) (Q) 7.900 04-30-18 6,115,000 $6,521,648

Lloyds Banking Group PLC (7.500% to 6-27-24, then 5 Year U.S. Swap Rate + 4.760%) (Q) 7.500 06-27-24 3,480,000 3,701,850

Manufacturers & Traders Trust Company (5.629% to 12-1-16, then 3 month LIBOR + 6.400%) 5.629 12-01-21 5,215,000 5,410,563

Mizuho Financial Group Cayman 3, Ltd. (S) 4.600 03-27-24 3,275,000 3,467,563

Rabobank Nederland NV 3.875 02-08-22 3,931,000 4,179,836

Rabobank Nederland NV (11.000% to 6-30-19, then 3 month LIBOR + 10.868%) (Q)(S) 11.000 06-30-19 5,392,000 6,901,760

Societe Generale SA (8.250% to 11-29-18, then 5 Year U.S. Swap Rate + 6.394%) (Q) 8.250 11-29-18 3,000,000 3,191,250

Synovus Financial Corp. 7.875 02-15-19 1,600,000 1,808,000

The PNC Financial Services Group, Inc. (4.850% to 6-1-23, then 3 month LIBOR + 3.040%) (Q) 4.850 06-01-23 3,765,000 3,661,463

The PNC Financial Services Group, Inc. (6.750% to 8-1-21, then 3 month LIBOR + 3.678%) (Q) 6.750 08-01-21 4,580,000 5,100,975

Wells Fargo & Company (5.875% to 6-15-25, then 3 month LIBOR + 3.990%) (Q) 5.875 06-15-25 3,440,000 3,616,300

Wells Fargo & Company (5.900% to 6-15-24, then 3 month LIBOR + 3.110%) (Q) 5.900 06-15-24 6,945,000 7,153,350

Wells Fargo & Company, Series K (7.980% to 3-15-18, then 3 month LIBOR + 3.770%) (Q) 7.980 03-15-18 7,937,000 8,730,700

Wells Fargo Bank NA 5.850 02-01-37 3,035,000 3,718,552

Capital markets 2.8%

Ares Capital Corp. 3.875 01-15-20 4,425,000 4,497,420

Credit Suisse Group AG (7.500% to 12-11-23, then 5 Year U.S. Swap Rate + 4.598%) (Q)(S) 7.500 12-11-23 2,975,000 3,164,656

Doric Nimrod Air Alpha 2013-1 Class A Pass Through Trust (S) 5.250 05-30-25 3,154,515 3,343,786

Doric Nimrod Air Alpha 2013-1 Class B Pass Through Trust (S) 6.125 11-30-21 1,653,705 1,765,330

Doric Nimrod Air Finance Alpha, Ltd. 2012-1 Class A Pass Through Trust (S) 5.125 11-30-24 2,893,221 3,073,469

FS Investment Corp. 4.000 07-15-19 4,140,000 4,228,828

Jefferies Group LLC 6.875 04-15-21 5,310,000 6,121,681

Jefferies Group LLC 8.500 07-15-19 2,205,000 2,644,662

Morgan Stanley 4.100 05-22-23 7,060,000 7,239,592

Morgan Stanley 4.300 01-27-45 2,150,000 2,073,505

Morgan Stanley 5.500 01-26-20 4,195,000 4,733,793

Morgan Stanley 5.550 04-27-17 2,480,000 2,671,674

Morgan Stanley 7.300 05-13-19 8,285,000 9,817,452

Morgan Stanley (5.550% to 7-15-20, then 3 month LIBOR + 3.810%) (Q) 5.550 07-15-20 3,345,000 3,357,544

Stifel Financial Corp. 4.250 07-18-24 3,300,000 3,312,774

16SEE NOTES TO FINANCIAL STATEMENTS

Rate (%) Maturity date Par value^ Value

Financials (continued)

Capital markets (continued)

The Bear Stearns Companies LLC 7.250 02-01-18 3,080,000 $3,517,603

The Goldman Sachs Group, Inc. 5.250 07-27-21 12,015,000 13,550,637

The Goldman Sachs Group, Inc. 5.750 01-24-22 1,775,000 2,044,047

Consumer finance 1.3%

Ally Financial, Inc. 5.125 09-30-24 6,670,000 6,820,075

Capital One Financial Corp. 2.450 04-24-19 4,125,000 4,162,340

Capital One Financial Corp. (5.550% to 06-01-2020, then 3 month LIBOR + 3.800%) (Q) 5.550 06-01-20 3,710,000 3,714,638

Credit Acceptance Corp. 6.125 02-15-21 4,280,000 4,333,500

Credito Real SAB de CV (S) 7.500 03-13-19 4,135,000 4,391,370

Discover Financial Services 3.950 11-06-24 4,170,000 4,184,979

Discover Financial Services 5.200 04-27-22 4,760,000 5,207,021

Enova International, Inc. 9.750 06-01-21 4,270,000 4,120,550

Diversified financial services 1.5%

General Electric Capital Corp. (P) 0.754 08-15-36 3,180,000 2,884,699

General Electric Capital Corp. 4.375 09-16-20 2,640,000 2,920,014

General Electric Capital Corp. 5.550 05-04-20 5,315,000 6,159,383

General Electric Capital Corp. (7.125% until 6-15-22, then 3 month LIBOR + 5.296%) (Q) 7.125 06-15-22 4,820,000 5,627,350

Leucadia National Corp. 5.500 10-18-23 5,540,000 5,742,958

McGraw Hill Financial, Inc. (S) 4.000 06-15-25 2,255,000 2,277,239

Nationstar Mortgage LLC 6.500 07-01-21 3,290,000 3,162,513

Nationstar Mortgage LLC 7.875 10-01-20 3,343,000 3,393,145

Nationstar Mortgage LLC 9.625 05-01-19 1,785,000 1,901,025

NewStar Financial, Inc. (S) 7.250 05-01-20 3,610,000 3,691,225

Voya Financial, Inc. (5.650% to 5-15-23, then 3 month LIBOR + 3.580%) 5.650 05-15-53 6,450,000 6,691,875

Insurance 1.9%

Aquarius + Investments PLC (6.375% to 9-1-19, then 5 Year U.S. Swap Rate + 5.210%) 6.375 09-01-24 1,570,000 1,660,011

Assured Guaranty US Holdings, Inc. 5.000 07-01-24 5,110,000 5,400,744

AXA SA 8.600 12-15-30 1,695,000 2,351,813

AXA SA (6.379% to 12-14-36, then 3 month LIBOR + 2.256%) (Q)(S) 6.379 12-14-36 1,575,000 1,751,211

CNA Financial Corp. 7.250 11-15-23 2,320,000 2,837,042

CNO Financial Group, Inc. 5.250 05-30-25 1,070,000 1,110,125

Hartford Financial Services Group, Inc. (8.125% to 6-15-18, then 3 month LIBOR + 4.6025%) 8.125 06-15-68 4,630,000 5,220,325

Liberty Mutual Group, Inc. (7.800% to 03-15-2037, then 3 month LIBOR +3.576%) (S) 7.800 03-07-87 3,800,000 4,607,500

MetLife, Inc. 6.400 12-15-66 3,130,000 3,577,590

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 1,916,163

SEE NOTES TO FINANCIAL STATEMENTS17

Rate (%) Maturity date Par value^ Value

Financials (continued)

Insurance (continued)

Nippon Life Insurance Company (5.100% to 10-16-24, then 5 Year U.S. ISDAFIX + 3.650%) (S) 5.100 10-16-44 3,450,000 $3,682,875

Pacific LifeCorp. (S) 6.000 02-10-20 1,775,000 2,020,165

Prudential Financial, Inc. (5.200% to 3-15-24, then 3 month LIBOR + 3.040%) 5.200 03-15-44 760,000 764,750

Prudential Financial, Inc. (5.875% to 9-1-22, then 3 month LIBOR + 4.175%) 5.875 09-15-42 1,223,000 1,317,171

Sirius International Group, Ltd. (7.506% to 6-30-17, then 3 month LIBOR + 3.200%) (Q)(S) 7.506 06-30-17 6,770,000 7,108,500

Teachers Insurance & Annuity Association of America (S) 6.850 12-16-39 5,200,000 6,871,810

USI, Inc. (S) 7.750 01-15-21 2,585,000 2,636,700

XLIT, Ltd. 4.450 03-31-25 1,190,000 1,197,667

Real estate investment trusts 2.5%

American Tower Corp. 3.400 02-15-19 2,350,000 2,425,014

American Tower Corp. 4.700 03-15-22 2,970,000 3,139,649

ARC Properties Operating Partnership LP 4.600 02-06-24 5,090,000 5,039,100

AvalonBay Communities, Inc. 3.450 06-01-25 3,000,000 3,030,249

Corrections Corp. of America 4.625 05-01-23 2,615,000 2,608,463

Crown Castle Towers LLC (S) 4.883 08-15-40 3,660,000 3,998,356

Crown Castle Towers LLC (S) 6.113 01-15-40 5,659,000 6,493,108

DDR Corp. 7.500 04-01-17 5,360,000 5,912,235

Education Realty Operating Partnership LP 4.600 12-01-24 3,100,000 3,149,637

Goodman Funding Pty, Ltd. (S) 6.375 04-15-21 3,220,000 3,719,503

Health Care REIT, Inc. 4.950 01-15-21 1,820,000 2,014,995

Highwoods Realty LP 5.850 03-15-17 3,130,000 3,366,769

Iron Mountain, Inc. 5.750 08-15-24 3,810,000 3,905,250

Iron Mountain, Inc. 6.000 08-15-23 3,715,000 3,937,900

iStar Financial, Inc. 5.000 07-01-19 980,000 968,975

MPT Operating Partnership LP 6.375 02-15-22 2,515,000 2,716,200

MPT Operating Partnership LP 6.875 05-01-21 1,835,000 1,965,744

Omega Healthcare Investors, Inc. (S) 4.500 01-15-25 2,865,000 2,862,880

Omega Healthcare Investors, Inc. 4.950 04-01-24 3,205,000 3,341,334

USB Realty Corp. (P)(Q)(S) 1.422 01-15-17 2,900,000 2,649,875

Ventas Realty LP 3.750 05-01-24 1,795,000 1,812,501

Ventas Realty LP 4.750 06-01-21 5,095,000 5,590,412

Real estate management and development 0.1%

NANA Development Corp. (S) 9.500 03-15-19 1,685,000 1,600,750

Thrifts and mortgage finance 0.1%

Quicken Loans, Inc. (S) 5.750 05-01-25 2,840,000 2,843,550

Stearns Holdings, Inc. (S) 9.375 08-15-20 1,580,000 1,580,000

18SEE NOTES TO FINANCIAL STATEMENTS

Rate (%) Maturity date Par value^ Value

Health care 2.0% $59,366,186

Health care equipment and supplies 0.4%

Alere, Inc. 7.250 07-01-18 2,065,000 2,191,481

Medtronic, Inc. (S) 4.625 03-15-45 4,720,000 4,896,108

Zimmer Holdings, Inc. 3.550 04-01-25 4,200,000 4,138,727

Health care providers and services 0.6%

Covenant Surgical Partners, Inc. (S) 8.750 08-01-19 1,650,000 1,658,250

HCA, Inc. 5.250 04-15-25 3,690,000 3,917,858

HCA, Inc. 7.500 02-15-22 2,885,000 3,375,450

Medco Health Solutions, Inc. 7.125 03-15-18 2,575,000 2,945,136

Select Medical Corp. 6.375 06-01-21 2,955,000 2,969,775

WellCare Health Plans, Inc. 5.750 11-15-20 3,195,000 3,360,741

Pharmaceuticals 1.0%

AbbVie, Inc. 3.600 05-14-25 5,600,000 5,632,967

Actavis Funding SCS 3.800 03-15-25 3,270,000 3,286,095

Endo Finance LLC (S) 6.000 02-01-25 1,340,000 1,356,750

Endo Finance LLC (S) 7.250 01-15-22 3,020,000 3,208,750

Mallinckrodt International Finance SA (S) 5.500 04-15-25 660,000 663,795

Mallinckrodt International Finance SA (S) 5.750 08-01-22 2,725,000 2,854,438

Mylan, Inc. (S) 7.875 07-15-20 3,900,000 4,085,289

Quintiles Transnational Corp. (S) 4.875 05-15-23 1,170,000 1,187,550

Valeant Pharmaceuticals International, Inc. (S) 5.500 03-01-23 1,025,000 1,045,500

Valeant Pharmaceuticals International, Inc. (S) 5.625 12-01-21 1,860,000 1,929,750

Valeant Pharmaceuticals International, Inc. (S) 6.125 04-15-25 2,733,000 2,845,736

Valeant Pharmaceuticals International, Inc. (S) 7.500 07-15-21 1,660,000 1,816,040

Industrials 5.8% 171,985,871

Aerospace and defense 1.0%

Embraer Overseas, Ltd. (S) 5.696 09-16-23 1,548,000 1,656,360

Huntington Ingalls Industries, Inc. (S) 5.000 12-15-21 3,490,000 3,629,600

Huntington Ingalls Industries, Inc. 7.125 03-15-21 2,550,000 2,728,500

Lockheed Martin Corp. 2.900 03-01-25 6,297,000 6,192,627

Textron Financial Corp. (6.000% to 2-15-17, then 3 month LIBOR + 1.735%) (S) 6.000 02-15-67 9,550,000 8,439,813

Textron, Inc. 3.875 03-01-25 2,155,000 2,190,476

Textron, Inc. 5.600 12-01-17 2,195,000 2,392,943

Textron, Inc. 7.250 10-01-19 2,110,000 2,497,569

Airlines 2.3%

America West Airlines 2000-1 Pass Through Trust 8.057 01-02-22 488,458 559,285

American Airlines 2011-1 Class B Pass Through Trust (S) 7.000 07-31-19 5,922,722 6,366,926

American Airlines 2013-2 Class A Pass Through Trust 4.950 07-15-24 4,038,852 4,341,766

American Airlines 2013-2 Class B Pass Through Trust (S) 5.600 01-15-22 1,130,008 1,178,033

American Airlines 2015-1 Class B Pass Through Trust 3.700 11-01-24 6,120,000 6,058,800

SEE NOTES TO FINANCIAL STATEMENTS19

Rate (%) Maturity date Par value^ Value

Industrials (continued)

Airlines (continued)

British Airways PLC 2013-1 Class A Pass Through Trust (S) 4.625 06-20-24 6,870,389 $7,351,317

British Airways PLC 2013-1 Class B Pass Through Trust (S) 5.625 12-20-21 1,891,280 2,004,757

Continental Airlines 1997-4 Class A Pass Through Trust 6.900 07-02-19 1,021,679 1,076,543

Continental Airlines 1998-1 Class A Pass Through Trust 6.648 03-15-19 228,963 237,389

Continental Airlines 1999-1 Class A Pass Through Trust 6.545 08-02-20 868,440 942,258

Continental Airlines 2000-2 Class B Pass Through Trust 8.307 10-02-19 169,459 184,287

Continental Airlines 2007-1 Class A Pass Through Trust 5.983 10-19-23 3,597,871 4,047,605

Continental Airlines 2012-1 Class B Pass Through Trust 6.250 10-11-21 1,104,253 1,181,551

Delta Air Lines 2002-1 Class G-1 Pass Through Trust 6.718 07-02-24 3,872,403 4,491,987

Delta Air Lines 2007-1 Class A Pass Through Trust 6.821 02-10-24 5,290,597 6,210,103

Delta Air Lines 2010-1 Class A Pass Through Trust 6.200 01-02-20 770,029 841,256

Delta Air Lines 2011-1 Class A Pass Through Trust 5.300 10-15-20 1,206,014 1,305,510

Northwest Airlines 2007-1 Class A Pass Through Trust 7.027 05-01-21 2,293,469 2,628,774

UAL 2009-1 Pass Through Trust 10.400 05-01-18 228,110 250,921

UAL 2009-2A Pass Through Trust 9.750 07-15-18 1,018,613 1,112,834

United Airlines 2014-2 Class A Pass Through Trust 3.750 03-03-28 3,950,000 4,038,875

United Airlines 2014-2 Class B Pass Through Trust 4.625 03-03-24 5,240,000 5,390,650

US Airways 2010-1 Class A Pass Through Trust 6.250 10-22-24 3,375,029 3,788,470

US Airways 2012-1 Class A Pass Through Trust 5.900 04-01-26 1,168,159 1,320,020

US Airways 2012-1 Class C Pass Through Trust 9.125 10-01-15 606,424 618,553

Building products 0.3%

Masco Corp. 4.450 04-01-25 1,330,000 1,364,913

Masco Corp. 7.125 03-15-20 2,380,000 2,813,160

Owens Corning 4.200 12-15-22 4,295,000 4,410,969

Commercial services and supplies 0.1%

Casella Waste Systems, Inc. 7.750 02-15-19 2,610,000 2,681,775

Safway Group Holding LLC (S) 7.000 05-15-18 1,225,000 1,255,625

Construction and engineering 0.1%

Tutor Perini Corp. 7.625 11-01-18 3,640,000 3,767,400

Electrical equipment 0.0%

EnerSys (S) 5.000 04-30-23 995,000 1,007,438

Industrial conglomerates 0.3%

Odebrecht Finance, Ltd. (S) 7.125 06-26-42 2,585,000 2,381,431

Odebrecht Finance, Ltd. (Q)(S) 7.500 09-14-15 970,000 897,250

Odebrecht Finance, Ltd. (S) 8.250 04-25-18 BRL 2,850,000 708,005

20SEE NOTES TO FINANCIAL STATEMENTS

Rate (%) Maturity date Par value^ Value

Industrials (continued)

Industrial conglomerates (continued)

Odebrecht Offshore Drilling Finance, Ltd. (S) 6.625 10-01-23 854,100 $762,711

Tenedora Nemak SA de CV (S) 5.500 02-28-23 2,780,000 2,932,066

Machinery 0.2%

Optimas OE Solutions Holding LLC (S) 8.625 06-01-21 1,425,000 1,467,750

SPL Logistics Escrow LLC (S) 8.875 08-01-20 1,751,000 1,864,815

Trinity Industries, Inc. 4.550 10-01-24 3,540,000 3,456,198

Marine 0.1%

Global Ship Lease, Inc. (S) 10.000 04-01-19 1,300,000 1,374,750

Navios South American Logistics, Inc. (S) 7.250 05-01-22 2,585,000 2,500,988

Road and rail 0.2%

Penske Truck Leasing Company LP (S) 3.375 02-01-22 5,895,000 5,824,449

Trading companies and distributors 1.1%

Ahern Rentals, Inc. (S) 7.375 05-15-23 4,135,000 4,145,338

Air Lease Corp. 3.375 01-15-19 3,760,000 3,854,000

Air Lease Corp. 3.875 04-01-21 2,320,000 2,389,600

Air Lease Corp. 4.750 03-01-20 2,105,000 2,247,088

Air Lease Corp. 5.625 04-01-17 1,780,000 1,900,150

Aircastle, Ltd. 5.500 02-15-22 2,130,000 2,252,475

Aircastle, Ltd. 6.250 12-01-19 1,745,000 1,921,681

Aircastle, Ltd. 7.625 04-15-20 1,370,000 1,585,775

Ashtead Capital, Inc. (S) 5.625 10-01-24 1,605,000 1,673,213

International Lease Finance Corp. (S) 7.125 09-01-18 2,700,000 3,037,500

United Rentals North America, Inc. 5.500 07-15-25 2,545,000 2,535,456

United Rentals North America, Inc. 5.750 11-15-24 3,185,000 3,236,756

Transportation infrastructure 0.1%

Florida East Coast Holdings Corp. (S) 6.750 05-01-19 2,485,000 2,478,788

Information technology 0.6% 16,984,122

Electronic equipment, instruments and components 0.1%

Zebra Technologies Corp. (S) 7.250 10-15-22 2,325,000 2,522,625

Internet software and services 0.3%

Ancestry.com Holdings LLC, PIK (S) 9.625 10-15-18 1,745,000 1,801,713

Ancestry.com, Inc. 11.000 12-15-20 2,505,000 2,855,700

VeriSign, Inc. (S) 5.250 04-01-25 2,620,000 2,672,400

IT services 0.1%

Sixsigma Networks Mexico SA de CV (S) 8.250 11-07-21 2,495,000 2,657,175

Semiconductors and semiconductor equipment 0.1%

Micron Technology, Inc. 5.875 02-15-22 3,460,000 3,633,000

Software 0.0%

Infor US, Inc. (S) 6.500 05-15-22 810,000 841,509

SEE NOTES TO FINANCIAL STATEMENTS21

Rate (%) Maturity date Par value^ Value

Materials 2.5% $73,077,197

Chemicals 0.8%

Braskem Finance, Ltd. (S) 7.000 05-07-20 3,350,000 3,517,500

Incitec Pivot Finance LLC (S) 6.000 12-10-19 1,920,000 2,153,140

NOVA Chemicals Corp. (S) 5.000 05-01-25 5,185,000 5,314,625

Platform Specialty Products Corp. (S) 6.500 02-01-22 5,300,000 5,565,000

Rain CII Carbon LLC (S) 8.250 01-15-21 1,325,000 1,285,250

Rockwood Specialties Group, Inc. 4.625 10-15-20 5,545,000 5,787,594

Construction materials 0.5%

American Gilsonite Company (S) 11.500 09-01-17 3,035,000 2,663,213

Cemex SAB de CV (S) 6.125 05-05-25 3,400,000 3,430,600

Cemex SAB de CV (S) 6.500 12-10-19 3,500,000 3,736,600

Norbord, Inc. (S) 6.250 04-15-23 2,195,000 2,229,999

Vulcan Materials Company 4.500 04-01-25 2,600,000 2,626,000

Containers and packaging 0.2%

Ardagh Finance Holdings SA, PIK (S) 8.625 06-15-19 2,426,936 2,587,721

Tekni-Plex, Inc. (S) 9.750 06-01-19 1,266,000 1,358,583

Wise Metals Group LLC (S) 8.750 12-15-18 2,330,000 2,487,298

Metals and mining 1.0%

Alcoa, Inc. 5.125 10-01-24 3,190,000 3,405,325

Allegheny Technologies, Inc. 9.375 06-01-19 5,935,000 7,047,813

ArcelorMittal 10.600 06-01-19 1,845,000 2,237,063

Commercial Metals Company 7.350 08-15-18 2,520,000 2,734,200

Glencore Finance Canada, Ltd. (S) 4.250 10-25-22 2,195,000 2,234,264

Glencore Funding LLC (S) 4.125 05-30-23 4,465,000 4,451,551

MMC Norilsk Nickel OJSC (S) 5.550 10-28-20 1,615,000 1,612,578

Rain CII Carbon LLC (S) 8.000 12-01-18 2,870,000 2,812,600

Vedanta Resources PLC (S) 7.125 05-31-23 1,950,000 1,798,680

Telecommunication services 1.8% 54,349,333

Diversified telecommunication services 0.9%

AT&T, Inc. 4.750 05-15-46 3,320,000 3,145,497

Columbus International, Inc. (S) 7.375 03-30-21 1,525,000 1,652,719

GCI, Inc. 6.875 04-15-25 2,325,000 2,388,938

T-Mobile USA, Inc. 6.125 01-15-22 1,530,000 1,604,588

T-Mobile USA, Inc. 6.250 04-01-21 1,750,000 1,854,125

Telecom Italia Capital SA 6.999 06-04-18 2,205,000 2,457,252

Telecom Italia Capital SA 7.200 07-18-36 2,190,000 2,419,950

Verizon Communications, Inc. 4.400 11-01-34 2,985,000 2,861,158

Verizon Communications, Inc. 5.012 08-21-54 2,259,000 2,136,330

Verizon Communications, Inc. 6.550 09-15-43 2,620,000 3,167,973

Wind Acquisition Finance SA (S) 7.375 04-23-21 2,495,000 2,601,038

Wireless telecommunication services 0.9%

Comcel Trust (S) 6.875 02-06-24 3,320,000 3,560,700

22SEE NOTES TO FINANCIAL STATEMENTS

Rate (%) Maturity date Par value^ Value

Telecommunication services (continued)

Wireless telecommunication services (continued)

Digicel Group, Ltd. (S) 8.250 09-30-20 3,035,000 $3,147,295

Digicel, Ltd. (S) 6.750 03-01-23 2,000,000 1,985,000

Millicom International Cellular SA (S) 4.750 05-22-20 3,530,000 3,503,666

Millicom International Cellular SA (S) 6.625 10-15-21 3,165,000 3,362,813

MTN Mauritius Investments, Ltd. (S) 4.755 11-11-24 1,255,000 1,276,963

SBA Tower Trust (S) 2.933 12-15-42 2,555,000 2,595,783

SBA Tower Trust (S) 3.598 04-15-43 2,770,000 2,766,959

SBA Tower Trust (S) 5.101 04-15-42 2,830,000 2,937,348

SoftBank Corp. (S) 4.500 04-15-20 2,845,000 2,923,238

Utilities 1.5% 43,577,283

Electric utilities 1.0%

Beaver Valley II Funding Corp. 9.000 06-01-17 371,000 400,680

BVPS II Funding Corp. 8.890 06-01-17 790,000 827,525

Electricite de France SA (5.250% to 1-29-23, then 10 Year Swap Rate + 3.709%) (Q)(S) 5.250 01-29-23 3,415,000 3,548,527

Empresa Electrica Angamos SA (S) 4.875 05-25-29 3,370,000 3,399,488

Israel Electric Corp., Ltd. (S) 5.625 06-21-18 2,940,000 3,154,620

Israel Electric Corp., Ltd. (S) 6.875 06-21-23 1,570,000 1,836,900

Israel Electric Corp., Ltd. (S) 7.250 01-15-19 2,720,000 3,090,600

NextEra Energy Capital Holdings, Inc. (6.650% to 6-15-17, then 3 month LIBOR + 2.125%) 6.650 06-15-67 955,000 892,925

NRG Yield Operating LLC (S) 5.375 08-15-24 2,655,000 2,734,650

PNPP II Funding Corp. 9.120 05-30-16 104,000 107,120

PPL Capital Funding, Inc. (6.700% to 3-30-17, then 3 month LIBOR + 2.665%) 6.700 03-30-67 2,860,000 2,629,018

PPL Energy Supply LLC (S) 6.500 06-01-25 2,165,000 2,204,962

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 2,196,931

W3A Funding Corp. 8.090 01-02-17 832,045 832,045

Independent power and renewable electricity producers 0.2%

Dynegy, Inc. (S) 6.750 11-01-19 1,135,000 1,200,263

Dynegy, Inc. (S) 7.625 11-01-24 5,050,000 5,416,125

Multi-utilities 0.3%

Columbia Pipeline Group, Inc. (S) 4.500 06-01-25 3,405,000 3,448,516

Integrys Energy Group, Inc. (6.110% to 12-1-16, then 3 month LIBOR + 2.120%) 6.110 12-01-66 3,915,000 3,719,250

Wisconsin Energy Corp. (6.250% to 5-15-17, then 3 month LIBOR + 2.113%) 6.250 05-15-67 2,010,000 1,937,138

SEE NOTES TO FINANCIAL STATEMENTS23

Rate (%) Maturity date Par value^ Value

U.S. Government and Agency
obligations 25.7% $756,633,902

(Cost $747,855,967)

U.S. Government 9.0% 265,203,111

U.S. Treasury

Bond 2.500 02-15-45 157,151,000 144,726,328

Bond 3.125 02-15-42 62,550,000 65,477,152

Note 0.750 04-15-18 26,470,000 26,345,909

Note 2.125 05-15-25 14,577,000 14,586,111

Treasury Inflation Protected Security 0.250 01-15-25 14,148,298 14,067,611

U.S. Government Agency 16.7% 491,430,791

Federal Home Loan Bank

15 Yr Pass Thru 2.900 09-05-25 1,390,476 1,388,169

15 Yr Pass Thru 3.170 10-04-27 1,425,000 1,405,955

15 Yr Pass Thru 3.250 06-21-27 1,915,152 1,915,460

30 Yr Pass Thru 4.000 03-01-42 14,469,011 15,534,406

Federal Home Loan Mortgage Corp.

30 Yr Pass Thru (P) 2.558 06-01-44 3,415,606 3,527,665

30 Yr Pass Thru (P) 2.677 05-01-44 3,111,623 3,217,347

30 Yr Pass Thru 3.000 03-01-43 6,575,180 6,686,136

30 Yr Pass Thru (P) 3.018 03-01-44 830,391 865,061

30 Yr Pass Thru 3.500 05-01-42 4,548,161 4,759,046

30 Yr Pass Thru 3.500 06-01-42 10,872,971 11,377,119

30 Yr Pass Thru 3.500 09-01-42 3,581,678 3,742,714

30 Yr Pass Thru 3.500 04-01-44 11,132,143 11,693,533

30 Yr Pass Thru 4.000 11-01-43 8,267,639 8,912,580

30 Yr Pass Thru 4.000 02-01-44 2,256,803 2,423,330

30 Yr Pass Thru 4.500 11-01-39 5,884,363 6,403,263

30 Yr Pass Thru 4.500 02-01-41 8,864,789 9,657,592

30 Yr Pass Thru 4.500 03-01-41 4,608,798 5,077,146

30 Yr Pass Thru 5.500 07-01-37 162,633 184,285

30 Yr Pass Thru 5.500 05-01-38 602,607 682,928

30 Yr Pass Thru 5.500 11-01-39 12,405,211 14,054,819

Federal National Mortgage Association

15 Yr Pass Thru 3.000 09-01-27 7,030,331 7,363,173

15 Yr Pass Thru 3.500 02-01-26 1,057,705 1,122,541

15 Yr Pass Thru 3.500 03-01-26 8,795,328 9,334,478

15 Yr Pass Thru 4.000 12-01-24 4,983,104 5,333,558

30 Yr Pass Thru (P) 2.513 06-01-44 5,600,470 5,784,087

30 Yr Pass Thru (P) 2.551 04-01-44 5,478,721 5,664,608

30 Yr Pass Thru (P) 2.919 03-01-44 785,016 816,582

30 Yr Pass Thru 3.000 10-01-42 7,237,055 7,353,527

30 Yr Pass Thru 3.000 12-01-42 3,734,228 3,794,326

30 Yr Pass Thru 3.000 01-01-43 2,681,621 2,724,778

30 Yr Pass Thru 3.000 03-01-43 1,858,673 1,891,490

24SEE NOTES TO FINANCIAL STATEMENTS

Rate (%) Maturity date Par value^ Value

U.S. Government Agency (continued)

30 Yr Pass Thru 3.000 05-01-43 2,566,760 $2,612,480

30 Yr Pass Thru 3.000 06-01-43 4,442,692 4,511,415

30 Yr Pass Thru 3.500 11-01-40 6,729,314 7,057,894

30 Yr Pass Thru 3.500 06-01-42 6,243,502 6,538,605

30 Yr Pass Thru 3.500 08-01-42 10,484,431 10,981,622

30 Yr Pass Thru 3.500 01-01-43 28,379,097 29,717,718

30 Yr Pass Thru 3.500 07-01-43 10,564,370 11,090,112

30 Yr Pass Thru 4.000 11-01-40 2,309,998 2,491,369

30 Yr Pass Thru 4.000 01-01-41 12,123,407 13,004,905

30 Yr Pass Thru 4.000 09-01-41 12,060,092 13,024,502

30 Yr Pass Thru 4.000 10-01-41 12,032,690 12,938,088

30 Yr Pass Thru 4.000 01-01-42 6,786,118 7,315,753

30 Yr Pass Thru 4.000 09-01-43 13,920,311 15,100,274

30 Yr Pass Thru 4.000 10-01-43 17,678,510 19,107,984

30 Yr Pass Thru 4.000 01-01-44 6,271,832 6,778,969

30 Yr Pass Thru 4.500 08-01-40 12,544,795 13,682,647

30 Yr Pass Thru 4.500 02-01-41 12,301,544 13,409,644

30 Yr Pass Thru 4.500 05-01-41 10,360,482 11,309,923

30 Yr Pass Thru 4.500 06-01-41 12,796,468 14,001,135

30 Yr Pass Thru 4.500 07-01-41 5,656,881 6,189,423

30 Yr Pass Thru 4.500 08-01-41 7,776,703 8,508,806

30 Yr Pass Thru 4.500 05-01-42 14,493,688 15,858,132

30 Yr Pass Thru 4.500 01-01-43 3,532,270 3,850,450

30 Yr Pass Thru 5.000 08-01-40 8,635,848 9,614,466

30 Yr Pass Thru 5.000 09-01-40 7,712,999 8,587,039

30 Yr Pass Thru 5.000 02-01-41 5,795,282 6,469,210

30 Yr Pass Thru 5.000 03-01-41 6,565,726 7,347,715

30 Yr Pass Thru 5.000 04-01-41 2,193,187 2,490,724

30 Yr Pass Thru 5.000 07-01-42 4,462,957 4,968,701

30 Yr Pass Thru 5.500 05-01-35 2,696,124 3,062,755

30 Yr Pass Thru 5.500 04-01-36 690,306 782,964

30 Yr Pass Thru 5.500 05-01-36 3,080,093 3,496,412

30 Yr Pass Thru 5.500 01-01-39 2,530,431 2,877,991

30 Yr Pass Thru 6.000 02-01-37 705,771 808,291

30 Yr Pass Thru 6.500 01-01-39 3,186,334 3,676,849

30 Yr Pass Thru 6.500 06-01-39 1,108,288 1,277,779

Fannie Mae Pool 3.500 04-01-45 21,197,730 22,196,343

Foreign government
obligations 0.2% $5,233,956

(Cost $4,745,253)

Argentina 0.2% 5,233,956

City of Buenos Aires (S) 9.950 03-01-17 2,645,000 2,737,575

Republic of Argentina (H) 8.280 12-31-33 2,502,638 2,496,381

SEE NOTES TO FINANCIAL STATEMENTS25

Rate (%) Maturity date Par value^ Value

Municipal bonds 0.2% $5,972,967

(Cost $5,949,597)

State of Hawaii Department of Business Economic Development & Tourism 1.467 07-01-22 5,950,000 5,972,967

Term loans (M) 0.5% $14,516,071

(Cost $14,874,469)

Consumer discretionary 0.1% 2,042,902

Hotels, restaurants and leisure 0.1%

Marina District Finance Company, Inc. 6.500 08-15-18 2,026,616 2,042,902

Consumer staples 0.1% 2,510,691

Household products 0.1%

The Sun Products Corp. 5.500 03-23-20 2,564,109 2,510,691

Energy 0.0% 1,188,684

Oil, gas and consumable fuels 0.0%

Templar Energy LLC 8.500 11-25-20 1,545,000 1,188,684

Financials 0.1% 1,554,151

Capital markets 0.1%

Walter Investment Management Corp. 4.750 12-19-20 1,647,510 1,554,151

Health care 0.0% 899,994

Health care providers and services 0.0%

Surgery Center Holdings, Inc. 5.250 11-03-20 897,750 899,994

Industrials 0.1% 2,645,114

Aerospace and defense 0.0%

WP CPP Holdings LLC 4.750 12-28-19 977,500 980,921

Airlines 0.1%

Delta Air Lines, Inc. 3.250 10-18-18 1,664,712 1,664,193

Information technology 0.0% 420,954

Software 0.0%

BMC Software Finance, Inc. 5.000 09-10-20 428,750 420,954

Utilities 0.1% 3,253,581

Electric utilities 0.1%

ExGen Texas Power LLC 5.750 09-16-21 2,054,101 2,060,093

La Frontera Generation LLC 4.500 09-30-20 1,192,891 1,193,488

Capital preferred securities 1.0% $29,709,964

(Cost $28,840,934)

Financials 1.0% 29,709,964

Banks 0.2%

BAC Capital Trust XIV, Series G (P)(Q) 4.000 09-29-49 4,683,000 3,758,108

Sovereign Capital Trust VI 7.908 06-13-36 2,613,000 2,721,011

26SEE NOTES TO FINANCIAL STATEMENTS

Rate (%) Maturity date Par value^ Value

Financials (continued)

Capital markets 0.3%

Goldman Sachs Capital II (P)(Q) 4.000 12-31-49 6,375,000 $4,924,688

State Street Capital Trust IV (P) 1.271 06-01-67 5,720,000 4,883,450

Insurance 0.5%

MetLife Capital Trust IV (7.875% to 12-15-32, then 3 month LIBOR + 3.960%) (S) 7.875 12-15-67 960,000 1,245,600

MetLife Capital Trust X (9.250% to 4-8-33 then 3 month LIBOR + 5.540%) (S) 9.250 04-08-68 2,795,000 4,101,663

ZFS Finance USA Trust II (6.450% to 6-15-16 then 3 month LIBOR + 2.000%) (S) 6.450 12-15-65 6,235,000 6,453,225

ZFS Finance USA Trust V (6.500% to 5-9-17, then 3 month LIBOR + 2.285%) (S) 6.500 05-09-67 1,525,000 1,622,219

Collateralized mortgage
obligations 12.5% $368,091,494

(Cost $351,034,490)

Commercial and residential 11.3% 331,609,311

Adjustable Rate Mortgage Trust
Series 2005-4, Class 7A12 (P) 0.765 08-25-35 1,767,483 1,699,465

American Home Mortgage Assets Trust
Series 2006-6, Class XP IO 2.220 12-25-46 17,512,812 1,827,427

American Home Mortgage Investment Trust

Series 2005-1, Class 1A1 (P) 0.405 06-25-45 3,754,829 3,489,648

Series 2005-1, Class AHM (P) 2.402 06-25-45 2,857,141 2,833,732

Americold 2010 LLC Trust
Series 2010-ARTA, Class D (S) 7.443 01-14-29 4,545,000 5,257,138

AOA Mortgage Trust
Series 2015-1177, Class C (P) (S) 3.010 12-13-29 3,277,000 3,266,494

BAMLL Commercial Mortgage Securities Trust

Series 2013-DSNY, Class E (P) (S) 2.786 09-15-26 2,300,000 2,293,813

Series 2014-ICTS, Class D (P) (S) 2.086 06-15-28 710,000 709,171

Series 2014-ICTS, Class E (P) (S) 3.136 06-15-28 1,425,000 1,423,336

Series 2015-200P, Class F (P) (S) 3.596 04-14-33 4,200,000 3,859,565

BBCMS Trust
Series 2015, Class C (P) (S) 2.186 02-15-28 2,145,000 2,146,532

Bear Stearns Adjustable Rate Mortgage Trust

Series 2005-2, Class A1 (P) 2.680 03-25-35 3,693,062 3,724,852

Series 2005-5, Class A2 (P) 2.260 08-25-35 4,303,213 4,321,811

Bear Stearns ALT-A Trust

Series 2004-12, Class 1A1 (P) 0.885 01-25-35 6,032,710 5,856,639

Series 2005-5, Class 1A4 (P) 0.745 07-25-35 3,358,915 3,025,959

Series 2005-7, Class 11A1 (P) 0.725 08-25-35 4,685,359 4,456,863

Bear Stearns Asset Backed Securities Trust
Series 2004-AC5, Class A1 (P) 5.750 10-25-34 4,762,704 4,860,197

BHMS Mortgage Trust
Series 2014-ATLS, Class DFL (P) (S) 3.181 07-05-33 4,675,000 4,582,234

SEE NOTES TO FINANCIAL STATEMENTS27

Rate (%) Maturity date Par value^ Value

Commercial and residential (continued)

BLCP Hotel Trust
Series 2014-CLRN, Class D (P) (S) 2.686 08-15-29 5,015,000 $5,014,995

BWAY Mortgage Trust

Series 2013-1515, Class F (P) (S) 3.927 03-10-33 4,915,000 4,653,733

Series 2015-1740, Class D (P) (S) 3.787 01-13-35 3,765,000 3,712,651

CDGJ Commercial Mortgage Trust
Series 2014-BXCH, Class D (P) (S) 3.186 12-15-27 5,155,000 5,165,619

CGBAM Commercial Mortgage
Series 2015-SMRT, Class F 3.912 04-10-28 3,345,000 3,241,914

Commercial Mortgage Trust (Deutsche Bank)

Series 2012-CR3, Class XA IO (P) 2.160 10-15-45 43,923,108 4,610,828

Series 2012-LC4, Class B (P) 4.934 12-10-44 2,145,000 2,398,447

Series 2013-300P, Class D (P) (S) 4.394 08-10-30 4,685,000 4,919,995

Series 2013-CR11, Class B (P) 5.163 10-10-46 6,764,000 7,646,648

Series 2013-CR13, Class C (P) 4.755 12-10-23 3,160,000 3,399,342

Series 2013-CR6, Class XA IO 1.519 03-10-46 37,653,294 2,288,944

Series 2013-LC13, Class B (P) (S) 5.009 08-10-46 4,015,000 4,492,689

Series 2014-FL4, Class D (P) (S) 2.630 07-13-31 4,410,000 4,388,060

Series 2014-TWC, Class D (P) (S) 2.430 02-13-32 4,170,000 4,167,836

Commercial Mortgage Trust (Deutsche Bank/Morgan Stanley)
Series 2014-PAT, Class D (P) (S) 2.336 08-13-27 5,785,000 5,836,527

Commercial Mortgage Trust (Wells Fargo)

Series 2012-CR2, Class XA IO 1.892 08-15-45 21,459,193 2,014,439

Series 2014-CR15, Class XA IO 1.340 02-10-47 40,044,328 2,630,432

Series 2014-CR16, Class C (P) 4.906 04-10-47 3,740,000 4,027,752

Core Industrial Trust
Series 2015-CALW, Class F (P) (S) 3.850 02-10-34 4,740,000 4,623,609

Credit Suisse Mortgage Trust
Series 2014-ICE, Class D (P) (S) 2.336 04-15-27 6,350,000 6,325,991

Deutsche Mortgage Securities, Inc. Mortgage Loan Trust
Series 2004-4, Class 2AR1 (P) 0.455 06-25-34 3,103,047 2,936,640

Extended Stay America Trust
Series 2013-ESFL, Class DFL (P) (S) 3.321 12-05-31 3,965,000 3,961,467

GAHR Commercial Mortgage Trust

Series 2015-NRF, Class DFX (P) (S) 3.382 12-15-19 2,115,000 2,092,336

Series 2015-NRF, Class EFX (P) (S) 3.382 12-15-19 4,580,000 4,338,799

GMAC Mortgage Loan Trust
Series 2004-AR2, Class 3A (P) 2.941 08-19-34 2,289,781 2,212,911

HarborView Mortgage Loan Trust

Series 2005-11, Class X IO 2.430 08-19-45 8,041,054 482,740

Series 2005-2, Class IX IO 2.136 05-19-35 36,933,640 2,500,045

Series 2005-9, Class 2A1C (P) 0.631 06-20-35 4,211,633 3,859,343

Series 2005-8, Class 1X IO 2.037 09-19-35 9,736,837 500,288

Series 2007-3, Class ES IO (S) 0.350 05-19-47 52,700,107 559,939

28SEE NOTES TO FINANCIAL STATEMENTS

Rate (%) Maturity date Par value^ Value

Commercial and residential (continued)

Series 2007-4, Class ES IO 0.350 07-19-47 55,137,477 $551,375

Series 2007-6, Class ES IO (S) 0.343 08-19-37 42,725,718 453,961

HILT Mortgage Trust
Series 2014-ORL, Class D (P) (S) 2.336 07-15-29 4,445,000 4,371,177

Hilton USA Trust

Series 2013-HLF, Class EFL (P) (S) 3.931 11-05-30 3,764,477 3,763,415

Series 2013-HLT, Class DFX (S) 4.407 11-05-30 4,077,000 4,141,502

IndyMac Index Mortgage Loan Trust

Series 2005-AR12, Class AX2 IO 2.281 07-25-35 61,598,515 4,424,868

Series 2005-AR8, Class AX2 IO 2.301 04-25-35 52,831,714 4,198,589

Series 2005-AR18, Class 1X IO 2.028 10-25-36 23,288,506 2,011,435

Series 2005-AR18, Class 2X IO 1.697 10-25-36 35,509,542 1,353,766

JPMBB Commercial Mortgage Securities Trust
Series 2014-C19, Class C (P) 4.677 04-15-47 6,980,000 7,396,141

JPMorgan Chase Commercial Mortgage Securities Trust

Series 2012-HSBC, Class XA IO (S) 1.431 07-05-32 20,100,000 1,797,161

Series 2014-FBLU, Class D (P) (S) 2.782 12-15-28 4,830,000 4,840,998

Series 2014-FBLU, Class E (P) (S) 3.682 12-15-28 3,925,000 3,925,840

Series 2014-FL5, Class C (P) (S) 2.286 07-15-31 7,785,000 7,753,961

Series 2014-INN, Class F (P) (S) 4.186 06-15-29 3,495,000 3,461,081

Series 2014-PHH, Class C (P) (S) 2.286 08-15-27 6,320,000 6,364,518

MASTR Adjustable Rate Mortgages Trust
Series 2004-11, Class M2 (P) 1.285 11-25-34 3,370,000 3,258,642

Merrill Lynch Mortgage Investors Trust
Series 2005-2, Class 1A (P) 1.582 10-25-35 4,235,408 4,098,482

Morgan Stanley Bank of America Merrill Lynch Trust

Series 2013-C7, Class C (P) 4.182 02-15-46 2,528,000 2,613,224

Series 2014-C18, Class 300D 5.279 08-15-31 2,795,000 2,929,308

Morgan Stanley Capital I Trust

Series 2014-150E, Class D (P) (S) 4.295 09-09-32 10,800,000 11,280,686

Series 2015-XLF1 2.350 08-13-16 4,775,000 4,778,619

Morgan Stanley Mortgage Loan Trust
Series 2004-6AR, Class 2A2 (P) 2.661 08-25-34 4,047,032 4,000,964

MortgageIT Trust
Series 2005-2, Class 1A2 (P) 0.515 05-25-35 2,602,238 2,423,529

Opteum Mortgage Acceptance Corp.
Asset Backed Pass-Through Certificates

Series 2005-2, Class M2 (P) 0.635 04-25-35 2,952,672 2,693,171

Series 2005-3, Class APT (P) 0.475 07-25-35 3,327,484 3,242,470

Residential Accredit Loans, Inc.
Series 2005-QO4, Class XIO IO 2.320 12-25-45 20,340,437 2,575,354

Springleaf Mortgage Loan Trust
Series 2012-3A, Class M1 (P) (S) 2.660 12-25-59 1,520,000 1,527,404

Thornburg Mortgage Securities Trust
Series 2004-1, Class II2A (P) 1.620 03-25-44 4,018,829 3,925,697

SEE NOTES TO FINANCIAL STATEMENTS29

Rate (%) Maturity date Par value^ Value

Commercial and residential (continued)

TMSQ Mortgage Trust
Series 2011-1500, Class D (P) (S) 3.835 10-10-36 2,770,000 $2,752,380

UBS Commercial Mortgage Trust
Series 2012-C1, Class B 4.822 05-10-45 2,445,000 2,671,016

UBS-Barclays Commercial Mortgage Trust
Series 2012-C2, Class XA IO (S) 1.739 05-10-63 38,398,199 2,786,596

VNDO Mortgage Trust
Series 2013-PENN, Class D (P) (S) 3.947 12-13-29 5,923,000 6,148,844

Wachovia Bank Commercial Mortgage Trust
Series 2007-C31, Class AM (P) 5.591 04-15-47 1,810,000 1,927,333

WaMu Mortgage Pass Through Certificates

Series 2005-AR13, Class X IO 1.441 10-25-45 86,746,849 5,796,077

Series 2005-AR19, Class A1A2 (P) 0.475 12-25-45 3,943,452 3,598,250

Series 2005-AR2, Class 2A1B (P) 0.555 01-25-45 1,435,978 1,295,436

Series 2005-AR2, Class 2A3 (P) 0.535 01-25-45 2,167,286 1,995,817

Series 2005-AR8, Class 2AB2 (P) 0.605 07-25-45 4,090,938 3,779,499

Wells Fargo Commercial Mortgage Trust

Series 2013-120B, Class C (P) (S) 2.710 03-18-28 8,325,000 8,231,877

Series 2013-BTC, Class E (P) (S) 3.550 04-16-35 4,630,000 4,307,946

WF-RBS Commercial Mortgage Trust

Series 2012-C9, Class XA IO (S) 2.195 11-15-45 32,675,976 3,456,857

Series 2013-C15, Class B (P) 4.482 08-15-46 1,132,000 1,225,169

Series 2013-C16, Class B (P) 4.983 09-15-46 1,885,000 2,114,708

WFCG Commercial Mortgage Trust
Series 2015-BXRP, Class D (P) (S) 2.771 11-15-29 725,000 724,333

U.S. Government Agency 1.2% 36,482,183

Federal Home Loan Mortgage Corp.

Series 2015-DNA1, Class M2 (P) 2.030 10-25-27 3,890,000 3,886,822

Series 2015-DNA1, Class M3 (P) 3.480 10-25-27 1,325,000 1,319,324

Series 290, Class IO 3.500 11-15-32 10,078,573 1,865,597

Series 4136, Class IH IO 3.500 09-15-27 13,088,798 1,383,386

Series K017, Class X1 IO 1.427 12-25-21 20,374,780 1,522,363

Series K018, Class X1 IO 1.436 01-25-22 19,350,597 1,456,964

Series K021, Class X1 IO 1.500 06-25-22 4,602,783 389,962

Series K022, Class X1 IO 1.295 07-25-22 92,791,889 6,896,293

Series K709, Class X1 IO 1.533 03-25-19 16,929,708 852,479

Series K710, Class X1 IO 1.776 05-25-19 33,792,026 2,020,966

Series K711, Class X1 IO 1.704 07-25-19 49,035,894 2,856,341

Federal National Mortgage Association

Series 2012-137, Class QI IO 3.000 12-25-27 14,541,433 1,886,867

Series 2012-137, Class WI IO 3.500 12-25-32 10,764,117 1,875,861

Series 402, Class 3 IO 4.000 11-25-39 3,477,800 636,120

Series 402, Class 4 IO 4.000 10-25-39 2,116,825 343,817

Series 402, Class 7 IO 4.500 11-25-39 1,968,587 347,196

Series 407, Class 15 IO 5.000 01-25-40 2,300,396 425,828

30SEE NOTES TO FINANCIAL STATEMENTS

Rate (%) Maturity date Par value^ Value

U.S. Government Agency (continued)

Series 407, Class 21 IO 5.000 01-25-39 1,056,023 $220,397

Series 407, Class 7 IO 5.000 03-25-41 1,931,564 376,774

Series 407, Class 8 IO 5.000 03-25-41 968,362 186,038

Series 407, Class C6 IO 5.500 01-25-40 4,571,873 982,791

Government National Mortgage Association

Series 2012-114, Class IO 0.965 01-16-53 10,257,391 794,137

Series 2013-42, Class IA IO 3.500 03-20-43 12,965,446 1,738,443

Series 2013-42, Class YI IO 3.500 03-20-43 17,004,770 2,217,417

Asset backed securities 13.8% 405,943,017

(Cost $402,105,697)

Asset Backed Securities 13.8% 405,943,017

ACE Securities Corp. Home Equity Loan Trust
Series 2005-HE3, Class M2 (P) 0.860 05-25-35 2,419,980 2,319,568

Aegis Asset Backed Securities Trust
Series 2005-4, Class M1 (P) 0.635 10-25-35 7,805,000 7,073,578

Ally Auto Receivables Trust
Series 2014-2, Class A4 1.840 01-15-20 5,635,000 5,683,855

Ally Master Owner Trust

Series 2012-4, Class A 1.720 07-15-19 2,315,000 2,336,185

Series 2015-3, Class A 1.630 05-15-20 7,910,000 7,919,888

American Express Credit Account Master Trust

Series 2014-1, Class A4 1.490 04-15-20 5,700,000 5,742,710

Series 2014-4, Class A 1.430 06-15-20 6,846,000 6,878,840

Ameriquest Mortgage Securities, Inc.
Series 2005-R3, Class M2 (P) 0.655 05-25-35 3,320,000 3,139,140

Applebee's/IHOP Funding LLC
Series 2014-1, Class A2 (S) 4.277 09-05-44 9,640,000 9,929,412

Argent Securities, Inc.

Series 2003-W10, Class M1 (P) 1.261 01-25-34 1,585,140 1,463,246

Series 2004-W6, Class M1 (P) 1.010 05-25-34 1,399,654 1,333,978

BA Credit Card Trust
Series 2015-A2, Class A 1.360 09-15-20 11,280,000 11,280,936

Bank of The West Auto Trust

Series 2014-1, Class A4 (S) 1.650 03-16-20 5,185,000 5,207,881

Series 2015-1, Class A4 (S) 1.660 09-15-20 6,445,000 6,445,883

Bravo Mortgage Asset Trust

Series 2006-1A, Class A2 (P) (S) 0.425 07-25-36 7,747,690 7,274,817

Series 2006-1A, Class A3 (P) (S) 0.535 07-25-36 3,855,000 3,285,840

California Republic Auto Receivables Trust

Series 2014-4, Class A4 1.840 06-15-20 3,165,000 3,191,241

Series 2015-2, Class A4 (C) 1.820 01-15-21 6,345,000 6,348,966

Capital One Multi-Asset Execution Trust
Series 2014-A5, Class A 1.480 07-15-20 11,950,000 12,029,169

CarMax Auto Owner Trust

Series 2014-3, Class A3 1.160 06-17-19 6,440,000 6,455,050

SEE NOTES TO FINANCIAL STATEMENTS31

Rate (%) Maturity date Par value^ Value

Asset Backed Securities (continued)

Series 2015-2, Class A4 1.800 03-15-21 3,040,000 $3,049,290

Chase Issuance Trust

Series 2014-A6, Class A 1.260 07-15-19 3,959,000 3,966,950

Series 2014-A7, Class A 1.380 11-15-19 7,425,000 7,451,693

Series 2015, Class A2A 1.590 02-18-20 7,480,000 7,535,629

Series 2015-A5, Class A 1.360 04-15-20 13,205,000 13,195,889

Chrysler Capital Auto Receivables Trust
Series 2014-BA, Class A4 (S) 1.760 12-16-19 2,565,000 2,582,893

Citibank Credit Card Issuance Trust

Series 2007-A8, Class A8 5.650 09-20-19 4,415,000 4,857,886

Series 2014-A8, Class A8 1.730 04-09-20 8,560,000 8,647,440

Citicorp Residential Mortgage Securities, Inc.
Series 2007-2, Class A6 (P) 6.265 06-25-37 1,216,201 1,260,912

CKE Restaurant Holdings, Inc.
Series 2013-1A, Class A2 (S) 4.474 03-20-43 9,248,950 9,496,665

ContiMortgage Home Equity Loan Trust
Series 1995-2, Class A5 8.100 08-15-25 119,584 114,209

Countrywide Asset-Backed Certificates
Series 2004-10, Class AF5B (P) 5.613 02-25-35 2,602,493 2,647,344

Credit Suisse Mortgage Trust
Series 2006-CF2, Class M1 (P) (S) 0.655 05-25-36 4,910,000 4,760,004

Credit-Based Asset Servicing and Securitization LLC
Series 2005-CB4, Class M1 (P) 0.594 07-25-35 1,680,000 1,618,870

DB Master Finance LLC (S)
Series 2015-1A, Class A2II 3.980 02-20-45 7,945,088 8,021,638

Discover Card Execution Note Trust
Series 2014-A5, Class A 1.390 04-15-20 9,755,000 9,796,732

Encore Credit Receivables Trust
Series 2005-2, Class M2 (P) 0.875 11-25-35 3,715,000 3,623,696

EquiFirst Mortgage Loan Trust
Series 2004-3, Class M3 (P) 1.160 12-25-34 2,262,448 2,024,389

Ford Credit Auto Owner Trust

Series 2014-1, Class B (S) 2.410 11-15-25 3,225,000 3,246,582

Series 2015, Class AA4 1.640 06-15-20 3,515,000 3,532,104

Series 2015-B, Class A4 1.580 08-15-20 3,880,000 3,885,739

Ford Credit Floorplan Master Owner Trust

Series 2012-5, Class A 1.490 09-15-19 5,840,000 5,863,097

Series 2014-4, Class A1 1.400 08-15-19 7,725,000 7,745,471

Series 2015-1, Class A1 1.420 01-15-20 7,490,000 7,494,134

GE Equipment Midticket LLC
Series 2014-1, Class A4 1.590 08-22-23 1,565,000 1,574,614

GM Financial Automobile Leasing Trust
Series 2015-1, Class A4 1.730 06-20-19 2,030,000 2,039,549

GMF Floorplan Owner Revolving Trust (S)
Series 2015-1, Class A1 1.650 05-15-20 4,370,000 4,373,719

GSAA Home Equity Trust
Series 2005-11, Class 3A1 (P) 0.455 10-25-35 3,737,874 3,516,618

32SEE NOTES TO FINANCIAL STATEMENTS

Rate (%) Maturity date Par value^ Value

Asset Backed Securities (continued)

GSAA Trust
Series 2005-10, Class M3 (P) 0.735 06-25-35 4,265,000 $4,090,084

Home Equity Asset Trust
Series 2005-1, Class M4 (P) 1.205 05-25-35 2,085,000 2,004,565

Home Equity Mortgage Loan Asset-Backed Trust
Series 2005-C, Class AII3 (P) 0.555 10-25-25 2,791,363 2,690,274

Honda Auto Receivables Owner Trust

Series 2014-3, Class A4 1.310 10-15-20 10,925,000 10,958,911

Series 2015-2, Class A4 1.470 08-23-21 5,615,000 5,620,351

John Deere Owner Trust

Series 2014-B, Class A4 1.500 06-15-21 4,245,000 4,262,642

Series 2015, Class AA4 1.650 12-15-21 2,695,000 2,709,235

Merrill Lynch Mortgage Investors Trust

Series 2004-OPT1, Class A1A (P) 0.705 06-25-35 3,789,136 3,633,470

Series 2005-WMC1, Class M1 (P) 0.935 09-25-35 2,074,762 1,880,519

MVW Owner Trust
Series 2014-1A, Class A (S) 2.250 09-20-31 1,368,213 1,368,589

Nationstar Home Equity Loan Trust
Series 2006, Class BAV4 (P) 0.465 09-25-36 6,110,000 5,603,512

New Century Home Equity Loan Trust

Series 2005-1, Class M1 (P) 0.860 03-25-35 6,690,000 6,344,502

Series 2005-2, Class M2 (P) 0.635 06-25-35 7,515,000 7,106,274

Nissan Master Owner Trust Receivables Trust
Series 2015-A, Class A2 1.440 01-15-20 7,090,000 7,099,607

Porsche Innovative Lease Owner Trust
Series 2014-1, Class A4 (S) 1.260 09-21-20 3,280,000 3,286,288

RAMP Trust
Series 2005-RS3, Class M1 (P) 0.605 03-25-35 2,355,000 2,265,661

Renaissance Home Equity Loan Trust
Series 2005-2, Class AF4 (P) 4.934 08-25-35 2,830,000 2,843,392

Saxon Asset Securities Trust
Series 2006-2, Class A3C (P) 0.335 09-25-36 7,317,044 6,757,392

Sierra Timeshare Receivables Funding LLC
Series 2014-2A, Class A (S) 2.050 06-20-31 3,357,809 3,382,194

Sonic Capital LLC
Series 2011-1A, Class A2 (S) 5.438 05-20-41 2,980,187 3,158,772

Soundview Home Loan Trust
Series 2005-CTX1, Class M2 (P) 0.621 11-25-35 2,648,500 2,488,931

Specialty Underwriting & Residential Finance Trust
Series 2006-BC1, Class A2D (P) 0.485 12-25-36 6,930,000 6,713,638

Structured Asset Investment Loan Trust

Series 2005-1, Class M2 (P) (S) 0.905 02-25-35 4,785,000 4,479,033

Series 2005-2, Class M2 (P) 0.920 03-25-35 6,030,000 5,615,546

Structured Asset Securities Corp. Mortgage Loan Trust
Series 2005-2XS, Class 2A2 (P) 1.680 02-25-35 4,062,038 3,904,609

TAL Advantage V LLC
Series 2014-1A, Class A (S) 3.510 02-22-39 2,056,250 2,074,995

SEE NOTES TO FINANCIAL STATEMENTS33

Rate (%) Maturity date Par value^ Value

Asset Backed Securities (continued)

Toyota Auto Receivables Owner Trust
Series 2014-C, Class A4 1.440 04-15-20 3,590,000 $3,604,321

Volkswagen Credit Auto Master Trust
Series 2014-1A, Class A2 (S) 1.400 07-22-19 4,215,000 4,233,057

Wendys Funding LLC
Series 2015-1A, Class A2I (S) 3.371 06-15-45 8,740,000 8,774,086

Westgate Resorts LLC

Series 2012-2A, Class B (S) 4.500 01-20-25 3,396,545 3,413,952

Series 2012-3A, Class B (S) 4.500 03-20-25 1,978,248 1,993,928

Series 2013-1A, Class B (S) 3.750 08-20-25 773,335 777,810

Series 2014-1A, Class A (S) 2.150 12-20-26 5,744,298 5,715,949

Series 2014-1A, Class B (S) 3.250 12-20-26 3,825,567 3,830,789

Series 2014-AA, Class A (S) 6.250 10-20-26 2,247,717 2,253,471

Series 2015-1A, Class A (S) 2.750 05-20-27 3,664,364 3,668,314

World Omni Automobile Lease Securitization Trust
Series 2014-A, Class A4 1.370 01-15-20 2,060,000 2,070,415

Shares Value

Preferred securities 1.0% $29,126,026

(Cost $28,710,312)

Consumer staples 0.1% 2,151,353

Food and staples retailing 0.1%

Ocean Spray Cranberries, Inc., Series A, 6.250% (S) 23,250 2,151,353

Financials 0.7% 20,126,775

Banks 0.2%

FNB Corp. (7.250% to 2-15-24, then 3 month LIBOR + 4.600%) 62,350 1,750,165

Regions Financial Corp., 6.375% 115,690 2,909,604

Wells Fargo & Company, Series L, 7.500% 1,342 1,622,250

Capital markets 0.1%

The Goldman Sachs Group, Inc. (5.500% to 5-10-23, then 3 month LIBOR + 3.640%) 89,525 2,225,592

Consumer finance 0.2%

Ally Financial, Inc., 7.000% (S) 3,476 3,510,760

Discover Financial Services, 6.500% 69,600 1,772,712

Diversified financial services 0.2%

GMAC Capital Trust I (8.125% to 2-15-16, then 3 month LIBOR + 5.785%) 216,156 5,633,025

Real estate investment trusts 0.0%

Weyerhaeuser Company, 6.375% 12,950 702,667

Industrials 0.1% 1,904,664

Aerospace and defense 0.1%

United Technologies Corp., 7.500% 31,265 1,904,664

34SEE NOTES TO FINANCIAL STATEMENTS

Shares Value

Utilities 0.1% $4,943,234

Electric utilities 0.0%

Exelon Corp., 6.500% 31,056 1,500,315

Multi-utilities 0.1%

Dominion Resources, Inc., 6.375% 68,339 3,442,919

Par value Value

Short-term investments 2.7% $81,285,000

(Cost $81,285,000)

Repurchase agreement 2.7% 81,285,000

Barclays Tri-Party Repurchase Agreement dated 5-29-15 at 0.060% to be repurchased at $57,870,289 on 6-1-15, collateralized by $23,943,700 U.S. Treasury Inflation Indexed Notes, 0.125% due 7-15-22 (valued at $24,539,041, including interest) and $16,682,700 U.S. Treasury Inflation Indexed Bonds, 3.875% due 4-15-29 (valued at $34,488,674, including interest) 57,870,000 57,870,000

Repurchase Agreement with State Street Corp. dated 5-29-15 at 0.000% to be repurchased at $23,415,000 on 6-1-15, collateralized by $23,885,000 Federal National Mortgage Association, 1.670% due 2-10-20 (valued at $23,885,000, including interest) 23,415,000 23,415,000

Total investments (Cost $2,870,051,139)† 99.4% $2,926,511,788

Other assets and liabilities, net 0.6% $16,664,150

Total net assets 100.0% $2,943,175,938

The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund.

^All par values are denominated in U.S. dollars unless otherwise indicated.

Key to Currency Abbreviation

BRL Brazilian Real

Key to Security Abbreviations and Legend

IO Interest Only Security — (Interest Tranche of Stripped Mortgage Pool). Rate shown is the effective yield at period end.

ISDAFIX International Swaps and Derivatives Association Fixed Interest Rate Swap Rate

LIBOR London Interbank Offered Rate

PIK Payment-in-kind

(C) Security purchased on a when-issued or delayed delivery basis.

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

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

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

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

(S) These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $745,121,601 or 25.3% of the fund's net assets as of 5-31-15.

† At 5-31-15, the aggregate cost of investment securities for federal income tax purposes was $2,878,549,142. Net unrealized appreciation aggregated $47,962,646, of which $71,422,619 related to appreciated investment securities and $23,459,973 related to depreciated investment securities.

SEE NOTES TO FINANCIAL STATEMENTS35

Financial statements

STATEMENT OF ASSETS AND LIABILITIES 5-31-15

Assets

Investments, at value (Cost $2,870,051,139) $2,926,511,788

Cash 22,839,533

Receivable for investments sold 6,507,067

Receivable for fund shares sold 11,819,654

Dividends and interest receivable 25,028,130

Other receivables and prepaid expenses 135,955

Total assets 2,992,842,127

Liabilities

Payable for investments purchased 32,999,667

Payable for delayed delivery securities purchased 10,262,209

Payable for fund shares repurchased 4,620,420

Distributions payable 534,558

Payable to affiliates

Accounting and legal services fees 77,434

Transfer agent fees 549,519

Distribution and service fees 221,218

Trustees' fees 2,513

Other liabilities and accrued expenses 398,651

Total liabilities 49,666,189

Net assets $2,943,175,938

Net assets consist of

Paid-in capital $2,905,939,643

Accumulated distributions in excess of net investment income (570,403 )

Accumulated net realized gain (loss) on investments and foreign currency transactions (18,652,733 )

Net unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies 56,459,431

Net assets $2,943,175,938

36SEE NOTES TO FINANCIAL STATEMENTS

STATEMENT OF ASSETS AND LIABILITIES (continued)

Net asset value per share

Based on net asset values and shares outstanding-the fund has an unlimited number of shares authorized with no par value

Class A ($1,739,611,038 ÷ 108,329,250 shares)¹ $16.06

Class B ($27,971,998 ÷ 1,742,026 shares)¹ $16.06

Class C ($250,172,584 ÷ 15,577,601 shares)¹ $16.06

Class I ($793,469,684 ÷ 49,404,841 shares) $16.06

Class R2 ($38,888,282 ÷ 2,419,093 shares) $16.08

Class R4 ($99,585 ÷ 6,192 shares) $16.08

Class R6 ($92,962,767 ÷ 5,782,173 shares) $16.08

Maximum offering price per share

Class A (net asset value per share ÷ 96%)² $16.73

1 Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

2 On single retail sales of less than $100,000. On sales of $100,000 or more and on group sales the offering price is reduced.

SEE NOTES TO FINANCIAL STATEMENTS37

STATEMENT OF OPERATIONS For the year ended 5-31-15

Investment income

Interest $96,477,261

Dividends 1,874,301

Total investment income 98,351,562

Expenses

Investment management fees 10,866,381

Distribution and service fees 6,976,645

Accounting and legal services fees 398,334

Transfer agent fees 2,797,609

Trustees' fees 36,043

State registration fees 222,958

Printing and postage 211,806

Professional fees 137,758

Custodian fees 329,344

Registration and filing fees 159,953

Other 37,234

Total expenses 22,174,065

Less expense reductions (1,384,997 )

Net expenses 20,789,068

Net investment income 77,562,494

Realized and unrealized gain (loss)

Net realized gain (loss) on

Investments and foreign currency transactions 11,460,974

11,460,974

Change in net unrealized appreciation (depreciation) of

Investments and translation of assets and liabilities in foreign currencies (19,212,687 )

(19,212,687 )

Net realized and unrealized loss (7,751,713 )

Increase in net assets from operations $69,810,781

38SEE NOTES TO FINANCIAL STATEMENTS

STATEMENTS OF CHANGES IN NET ASSETS

Year ended 5-31-15 Year ended 5-31-14

Increase (decrease) in net assets

From operations

Net investment income $77,562,494 $69,407,967

Net realized gain (loss) 11,460,974 (1,245,911 )

Change in net unrealized appreciation (depreciation) (19,212,687 ) 2,708,701

Increase in net assets resulting from operations 69,810,781 70,870,757

Distributions to shareholders

From net investment income

Class A (59,394,153 ) (57,110,614 )

Class B (977,676 ) (1,268,051 )

Class C (6,417,954 ) (5,772,362 )

Class I (22,879,954 ) (10,994,882 )

Class R2 (749,133 ) (190,232 )

Class R4¹ (613 ) —

Class R6 (2,793,534 ) (1,713,305 )

From net realized gain

Class A (4,597,085 ) (5,785,899 )

Class B (90,887 ) (150,431 )

Class C (621,883 ) (679,388 )

Class I (1,722,915 ) (1,012,012 )

Class R2 (50,371 ) (21,658 )

Class R6 (196,277 ) (173,447 )

Total distributions (100,492,435 ) (84,872,281 )

From fund share transactions 1,016,221,197 17,661,786

Total increase 985,539,543 3,660,262

Net assets

Beginning of year 1,957,636,395 1,953,976,133

End of year $2,943,175,938 $1,957,636,395

Undistributed (accumulated distributions in excess of) net investment income ($570,403 ) $5,266,114

1 The inception date for Class R4 shares is 3-27-15.

SEE NOTES TO FINANCIAL STATEMENTS39

Financial highlights

Class A Shares Period ended 5-31-15 5-31-14 5-31-13 5-31-12 5-31-11

Per share operating performance

Net asset value, beginning of period $16.26 $16.37 $15.86 $15.86 $15.00

Net investment income¹ 0.53 0.61 0.63 0.72 0.81

Net realized and unrealized gain (loss) on investments (0.05 ) 0.02 0.61 0.08 0.92

Total from investment operations 0.48 0.63 1.24 0.80 1.73

Less distributions

From net investment income (0.63 ) (0.67 ) (0.70 ) (0.79 ) (0.87 )

From net realized gain (0.05 ) (0.07 ) (0.03 ) (0.01 ) —

Total distributions (0.68 ) (0.74 ) (0.73 ) (0.80 ) (0.87 )

Net asset value, end of period $16.06 $16.26 $16.37 $15.86 $15.86

Total return (%)^2,3 3.02 4.06 7.93 5.21 11.78

Ratios and supplemental data

Net assets, end of period (in millions) $1,740 $1,411 $1,434 $1,061 $912

Ratios (as a percentage of average net assets):

Expenses before reductions 0.94 0.98 1.03 1.06 1.05

Expenses including reductions 0.89 0.92 0.98 1.02 1.05

Net investment income 3.25 3.80 3.84 4.63 5.24

Portfolio turnover (%) 66 77 72 76 73

1 Based on average daily shares outstanding.

2 Does not reflect the effect of sales charges, if any.

3 Total returns would have been lower had certain expenses not been reduced during the applicable periods.

40SEE NOTES TO FINANCIAL STATEMENTS

Class B Shares Period ended 5-31-15 5-31-14 5-31-13 5-31-12 5-31-11

Per share operating performance

Net asset value, beginning of period $16.26 $16.37 $15.86 $15.86 $15.00

Net investment income¹ 0.42 0.50 0.51 0.61 0.70

Net realized and unrealized gain (loss) on investments (0.05 ) 0.02 0.61 0.08 0.92

Total from investment operations 0.37 0.52 1.12 0.69 1.62

Less distributions

From net investment income (0.52 ) (0.56 ) (0.58 ) (0.68 ) (0.76 )

From net realized gain (0.05 ) (0.07 ) (0.03 ) (0.01 ) —

Total distributions (0.57 ) (0.63 ) (0.61 ) (0.69 ) (0.76 )

Net asset value, end of period $16.06 $16.26 $16.37 $15.86 $15.86

Total return (%)^2,3 2.31 3.34 7.18 4.48 11.00

Ratios and supplemental data

Net assets, end of period (in millions) $28 $33 $44 $37 $28

Ratios (as a percentage of average net assets):

Expenses before reductions 1.64 1.68 1.73 1.76 1.75

Expenses including reductions 1.59 1.62 1.68 1.72 1.75

Net investment income 2.57 3.11 3.15 3.92 4.53

Portfolio turnover (%) 66 77 72 76 73

SEE NOTES TO FINANCIAL STATEMENTS41

Class C Shares Period ended 5-31-15 5-31-14 5-31-13 5-31-12 5-31-11

Per share operating performance

Net asset value, beginning of period $16.26 $16.37 $15.87 $15.86 $15.00

Net investment income¹ 0.41 0.49 0.51 0.61 0.70

Net realized and unrealized gain (loss) on investments (0.04 ) 0.03 0.60 0.09 0.92

Total from investment operations 0.37 0.52 1.11 0.70 1.62

Less distributions

From net investment income (0.52 ) (0.56 ) (0.58 ) (0.68 ) (0.76 )

From net realized gain (0.05 ) (0.07 ) (0.03 ) (0.01 ) —

Total distributions (0.57 ) (0.63 ) (0.61 ) (0.69 ) (0.76 )

Net asset value, end of period $16.06 $16.26 $16.37 $15.87 $15.86

Total return (%)^2,3 2.31 3.34 7.11 4.55 11.00

Ratios and supplemental data

Net assets, end of period (in millions) $250 $162 $195 $116 $71

Ratios (as a percentage of average net assets):

Expenses before reductions 1.64 1.68 1.72 1.77 1.75

Expenses including reductions 1.59 1.62 1.67 1.72 1.75

Net investment income 2.53 3.10 3.12 3.91 4.50

Portfolio turnover (%) 66 77 72 76 73

42SEE NOTES TO FINANCIAL STATEMENTS

Class I Shares Period ended 5-31-15 5-31-14 5-31-13 5-31-12 5-31-11

Per share operating performance

Net asset value, beginning of period $16.26 $16.37 $15.87 $15.86 $14.99

Net investment income¹ 0.57 0.66 0.68 0.78 0.88

Net realized and unrealized gain (loss) on investments (0.04 ) 0.02 0.61 0.09 0.92

Total from investment operations 0.53 0.68 1.29 0.87 1.80

Less distributions

From net investment income (0.68 ) (0.72 ) (0.76 ) (0.85 ) (0.93 )

From net realized gain (0.05 ) (0.07 ) (0.03 ) (0.01 ) —

Total distributions (0.73 ) (0.79 ) (0.79 ) (0.86 ) (0.93 )

Net asset value, end of period $16.06 $16.26 $16.37 $15.87 $15.86

Total return (%)² 3.35 4.40 8.27 5.70 12.33

Ratios and supplemental data

Net assets, end of period (in millions) $793 $302 $277 $123 $74

Ratios (as a percentage of average net assets):

Expenses before reductions 0.63 0.66 0.65 0.67 0.62

Expenses including reductions 0.57 0.60 0.60 0.62 0.62

Net investment income 3.53 4.11 4.19 4.99 5.64

Portfolio turnover (%) 66 77 72 76 73

1 Based on average daily shares outstanding.

2 Total returns would have been lower had certain expenses not been reduced during the applicable periods.

SEE NOTES TO FINANCIAL STATEMENTS43

Class R2 Shares Period ended 5-31-15 5-31-14 5-31-13 5-31-12 ¹

Per share operating performance

Net asset value, beginning of period $16.27 $16.38 $15.87 $15.80

Net investment income² 0.51 0.60 0.62 0.17

Net realized and unrealized gain (loss) on investments (0.02 ) 0.02 0.64 0.09

Total from investment operations 0.49 0.62 1.26 0.26

Less distributions

From net investment income (0.63 ) (0.66 ) (0.72 ) (0.19 )

From net realized gain (0.05 ) (0.07 ) (0.03 ) —

Total distributions (0.68 ) (0.73 ) (0.75 ) (0.19 )

Net asset value, end of period $16.08 $16.27 $16.38 $15.87

Total return (%)³ 2.97 4.01 8.09 1.68 ⁴

Ratios and supplemental data

Net assets, end of period (in millions) $39 $7 $2 — ⁵

Ratios (as a percentage of average net assets):

Expenses before reductions 0.98 1.05 1.03 0.86 ⁶

Expenses including reductions 0.93 0.99 0.98 0.80 ⁶

Net investment income 3.16 3.76 3.88 4.28 ⁶

Portfolio turnover (%) 66 77 72 76 ⁷

1 The inception date for Class R2 shares is 3-1-12.

2 Based on average daily shares outstanding.

3 Total returns would have been lower had certain expenses not been reduced during the applicable periods.

4 Not annualized.

5 Less than $500,000.

6 Annualized.

7 The portfolio turnover is shown for the period from 6-1-11 to 5-31-12.

44SEE NOTES TO FINANCIAL STATEMENTS

Class R4 Shares Period ended 5-31-15 ¹

Per share operating performance

Net asset value, beginning of period $16.15

Net investment income² 0.06

Net realized and unrealized loss on investments (0.03 )

Total from investment operations 0.03

Less distributions

From net investment income (0.10 )

Total distributions (0.10 )

Net asset value, end of period $16.08

Total return (%)³ 0.18 ⁴

Ratios and supplemental data

Net assets, end of period (in millions) — ⁵

Ratios (as a percentage of average net assets):

Expenses before reductions 0.80 ⁶

Expenses including reductions 0.64 ⁶

Net investment income 2.21 ⁶

Portfolio turnover (%) 66 ⁷

1 The inception date for Class R4 shares is 3-27-15.

2 Based on average daily shares outstanding.

3 Total returns would have been lower had certain expenses not been reduced during the period.

4 Not annualized.

5 Less than $500,000.

6 Annualized.

7 The portfolio turnover is shown for the period from 6-1-14 to 5-31-15.

SEE NOTES TO FINANCIAL STATEMENTS45

Class R6 Shares Period ended 5-31-15 5-31-14 5-31-13 5-31-12 ¹

Per share operating performance

Net asset value, beginning of period $16.28 $16.38 $15.87 $15.55

Net investment income² 0.59 0.68 0.70 0.57

Net realized and unrealized gain (loss) on investments (0.04 ) 0.03 0.61 0.40

Total from investment operations 0.55 0.71 1.31 0.97

Less distributions

From net investment income (0.70 ) (0.74 ) (0.77 ) (0.64 )

From net realized gain (0.05 ) (0.07 ) (0.03 ) (0.01 )

Total distributions (0.75 ) (0.81 ) (0.80 ) (0.65 )

Net asset value, end of period $16.08 $16.28 $16.38 $15.87

Total return (%)³ 3.45 4.58 8.42 6.38 ⁴

Ratios and supplemental data

Net assets, end of period (in millions) $93 $43 $3 $2

Ratios (as a percentage of average net assets):

Expenses before reductions 0.54 0.56 0.57 0.63 ⁵

Expenses including reductions 0.46 0.50 0.52 0.57 ⁵

Net investment income 3.66 4.26 4.30 5.04 ⁵

Portfolio turnover (%) 66 77 72 76 ⁶

1 The inception date for Class R6 shares is 9-1-11.

2 Based on average daily shares outstanding.

3 Total returns would have been lower had certain expenses not been reduced during the applicable periods.

4 Not annualized.

5 Annualized.

6 The portfolio turnover is shown for the period from 6-1-11 to 5-31-12.

46SEE NOTES TO FINANCIAL STATEMENTS

Notes to financial statements

Note 1 — Organization

John Hancock Bond Fund (the fund) is a series of John Hancock Sovereign Bond Fund (the Trust), an open-end management investment company organized as a Massachusetts business trust and registered under the Investment Company Act of 1940, as amended (the 1940 Act). The investment objective of the fund is to seek a high level of current income consistent with prudent investment risk.

The fund may offer multiple classes of shares. The shares currently offered are detailed in the Statement of assets and liabilities. Class A and Class C shares are offered to all investors. Class B shares are closed to new investors. Class I shares are offered to institutions and certain investors. Class R2 and Class R4 shares are available only to certain retirement plans. Class R6 shares are available only to certain retirement plans, institutions and other investors. Shareholders of each class have exclusive voting rights to matters that affect that class. The distribution and service fees, if any, and transfer agent fees for each class may differ. Class B shares convert to Class A shares eight years after purchase.

Note 2 — Significant accounting policies

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP), which require management to make certain estimates and assumptions as of the date of the financial statements. Actual results could differ from those estimates and those differences could be significant. The fund qualifies as an investment company under Topic 946 of Accounting Standards Codification of US GAAP.

Events or transactions occurring after the end of the fiscal period through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the fund:

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

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

The following is a summary of the values by input classification of the fund's investments as of May 31, 2015, by major security category or type:

Total
market value
at 5-31-15 Level 1
quoted price Level 2
significant
observable
inputs Level 3
significant
unobservable
inputs

Corporate bonds $1,229,999,391 — $1,229,999,391 —

U.S. Government and Agency obligations 756,633,902 — 756,633,902 —

Foreign government obligations 5,233,956 — 5,233,956 —

Municipal bonds 5,972,967 — 5,972,967 —

Term loans 14,516,071 — 14,516,071 —

Capital preferred securities 29,709,964 — 29,709,964 —

Collateralized mortgage obligations 368,091,494 — 361,747,600 $6,343,894

Asset backed securities 405,943,017 — 405,943,017 —

Preferred securities 29,126,026 $21,713,748 7,412,278 —

Short-term investments 81,285,000 — 81,285,000 —

Total investments in securities $2,926,511,788 $21,713,748 $2,898,454,146 $6,343,894

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

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

Security transactions and related investment income. Investment security transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is accrued as earned. Interest income includes coupon interest and amortization/accretion of premiums/discounts on debt securities. Debt obligations may be placed in a non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful. Dividend income is recorded on the ex-date, except for dividends of foreign securities where the dividend may not be known until after the ex-date. In those cases, dividend income, net of withholding taxes, is recorded when the fund becomes aware of the dividends. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds from litigation.

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.

Line of credit. The fund may borrow from banks for temporary or emergency purposes, including meeting redemption requests that otherwise might require the untimely sale of securities. Pursuant to the fund's custodian agreement, the

custodian may loan money to the fund to make properly authorized payments. The fund is obligated to repay the custodian for any overdraft, including any related costs or expenses. The custodian may have a lien, security interest or security entitlement in any fund property that is not otherwise segregated or pledged, to the extent of any overdraft, and to the maximum extent permitted by law.

In addition, the fund and other affiliated funds have entered into an agreement with Citibank N.A. that enables them to participate in a $300 million unsecured committed line of credit. A commitment fee, payable at the end of each calendar quarter, based on the average daily unused portion of the line of credit, is charged to each participating fund on a pro rata basis and is reflected in other expenses on the Statement of operations. Commitment fees for the year ended May 31, 2015 were $1,265. For the year ended May 31, 2015, the fund had no borrowings under the line of credit.

Expenses. Within the John Hancock group of funds complex, expenses that are directly attributable to an individual fund are allocated to such fund. Expenses that are not readily attributable to a specific fund are allocated among all funds in an equitable manner, taking into consideration, among other things, the nature and type of expense and the fund's relative net assets. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Class allocations. Income, common expenses and realized and unrealized gains (losses) are determined at the fund level and allocated daily to each class of shares based on the net assets of the class. Class-specific expenses, such as distribution and service fees, if any, transfer agent fees, for all classes, are calculated daily at the class level based on the appropriate net assets of each class and the specific expense rates applicable to each class.

Federal income taxes. The fund intends to continue to qualify as a regulated investment company by complying with the applicable provisions of the Internal Revenue Code and will not be subject to federal income tax on taxable income that is distributed to shareholders. Therefore, no federal income tax provision is required.

Net capital losses of $10,190,574, that are a result of security transactions occurring after October 31, 2014, are treated as occurring on June 1, 2015, the first day of the fund's next taxable year.

As of May 31, 2015, the fund had no uncertain tax positions that would require financial statement recognition, derecognition or disclosure. The fund's federal tax returns are subject to examination by the Internal Revenue Service for a period of three years.

Distribution of income and gains. Distributions to shareholders from net investment income and net realized gains, if any, are recorded on the ex-date. The fund generally declares dividends daily and pays them monthly. Capital gain distributions, if any, are distributed annually. The tax character of distributions for the years ended May 31, 2015 and 2014 was as follows:

May 31, 2015 May 31, 2014

Ordinary Income $94,787,378 $80,720,514

Long-Term Capital Gain 5,705,057 4,151,767

Total $100,492,435 $84,872,281

Distributions paid by the fund with respect to each class of shares are calculated in the same manner, at the same time and in the same amount, except for the effect of class level expenses that may be applied differently to each class. As of May 31, 2015, the fund has no distributable earnings on a tax basis.

Such distributions and distributable earnings, on a tax basis, are determined in conformity with income tax regulations, which may differ from US GAAP. Distributions in excess of tax basis earnings and profits, if any, are reported in the fund's financial statements as a return of capital.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences, if any, will reverse in a subsequent

period. Book-tax differences are primarily attributable to foreign currency transactions and amortization and accretion on debt securities.

Note 3 — Derivative instruments

The fund may invest in derivatives in order to meet its investment objective. Derivatives include a variety of different instruments that may be traded in the OTC, on a regulated exchange or through a clearing facility. The risks in using derivatives vary depending upon the structure of the instruments, including the use of leverage, optionality, the liquidity or lack of liquidity of the contract, the creditworthiness of the counterparty or clearing organization and the volatility of the position. Some derivatives involve risks that are potentially greater than the risks associated with investing directly in the referenced securities or other referenced underlying instrument. Specifically, the fund is exposed to the risk that the counterparty to an OTC derivatives contract will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. OTC derivatives transactions typically can only be closed out with the other party to the transaction.

For financial reporting purposes, the fund does not offset OTC derivative assets or liabilities that are subject to master netting arrangements, as defined by the ISDAs, in the Statement of assets and liabilities. In the event of default by the counterparty or a termination of the agreement, the ISDA allows an offset of amounts across the various transactions between the fund and the applicable counterparty.

Certain options are traded or cleared on an exchange or central clearinghouse. Exchange-traded or cleared transactions generally present less counterparty risk to a fund than OTC transactions. The exchange or clearinghouse stands between the fund and the broker to the contract and therefore, credit risk is generally limited to the failure of the exchange or clearinghouse and the clearing member.

Options. There are two types of options, put options and call options. Options are traded either OTC or on an exchange. A call option gives the purchaser of the option the right to buy (and the seller the obligation to sell) the underlying instrument at the exercise price. A put option gives the purchaser of the option the right to sell (and the writer the obligation to buy) the underlying instrument at the exercise price. Writing puts and buying calls may increase the fund's exposure to changes in the value of the underlying instrument. Buying puts and writing calls may decrease the fund's exposure to such changes. Risks related to the use of options include the loss of premiums, possible illiquidity of the options markets, trading restrictions imposed by an exchange and movements in underlying security values, and for written options, potential losses in excess of the amounts recognized on the Statement of assets and liabilities. In addition, OTC options are subject to the risks of all OTC derivatives contracts.

When the fund purchases an option, the premium paid by the fund is included in the fund's investments and subsequently "marked-to-market" to reflect current market value. If the purchased option expires, the fund realizes a loss equal to the cost of the option. If the fund exercises a call option, the cost of the securities acquired by exercising the call is increased by the premium paid to buy the call. If the fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are decreased by the premium paid. If the fund enters into a closing sale transaction, the fund realizes a gain or loss, depending on whether proceeds from the closing sale are greater or less than the original cost.

During the year ended May 31, 2015, the fund used purchased options to manage the duration of the fund and held purchased options with market values ranging from up to $125,000, as measured at each quarter end. There were no open purchased option contracts as of May 31, 2015.

Effect of derivative instruments on the Statement of operations

The table below summarizes the net realized gain (loss) included in the net increase (decrease) in net assets from operations, classified by derivative instrument and risk category, for the year ended May 31, 2015:

Risk Statement of operations location Investments and foreign
currency translations*

Interest rate contracts Net realized gain (loss) ($1,027,992 )

Risk Statement of operations location Investments and foreign
currency translations*

Total ($1,027,992 )

* Realized gain/loss associated with purchase option contracts is included in the caption Investments and foreign transactions on the Statement of operations.

The table below summarizes the net change in unrealized appreciation (depreciation) included in the net increase (decrease) in net assets from operations, classified by derivative instrument and risk category, for the year ended May 31, 2015:

Risk Statement of operations location Investments and translation
of assets and liabilities
in foreign currencies*

Interest rate contracts Change in unrealized appreciation (depreciation) $902,992

Total $902,992

* Change in unrealized appreciation/depreciation associated with purchase option contracts is included in the caption Investment and translation of assets and liabilities in foreign currencies on the Statement of operations.

Note 4 — Guarantees and indemnifications

Under the Trust's organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust, including the fund. Additionally, in the normal course of business, the fund enters into contracts with service providers that contain general indemnification clauses. The fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the fund that have not yet occurred. The risk of material loss from such claims is considered remote.

Note 5 — Fees and transactions with affiliates

John Hancock Advisers, LLC (the Advisor) serves as investment advisor for the fund. John Hancock Funds, LLC (the Distributor), an affiliate of the Advisor, serves as principal underwriter of the fund. The Advisor and the Distributor are indirect, wholly owned subsidiaries of Manulife Financial Corporation (MFC).

Management fee. The fund has an investment management agreement with the Advisor under which the fund pays a daily management fee to the Advisor equivalent, on an annual basis, to the sum of: (a) 0.500% of the first $500 million of the fund's average daily net assets, (b) 0.475% of the next $500 million of the fund's average daily net assets, (c) 0.450% of the next $500 million of the fund's average daily net assets, (d) 0.450% of the next $500 million of the fund's average daily net assets, (e) 0.400% of the next $500 million of the fund's average daily net assets, and (f) 0.350% of the fund's average daily net assets in excess of $2.5 billion. The Advisor has a subadvisory agreement with John Hancock Asset Management a division of Manulife Asset Management (US) LLC, an indirectly owned subsidiary of MFC and an affiliate of the Advisor. The fund is not responsible for payment of the subadvisory fees.

The Advisor has contractually agreed to waive a portion of its management fee and/or reimburse expenses for certain funds of the John Hancock group of funds complex, including the fund (the participating portfolios). This waiver is based upon aggregate net assets of all the participating portfolios. The amount of the reimbursement is calculated daily and allocated among all the participating portfolios in proportion to the daily net assets of each fund. During the year ended May 31, 2015, this waiver amounted to 0.01% of the fund's average net assets on an annualized basis. This arrangement may be amended or terminated at any time by the Advisor upon notice to the fund and with the approval of the Board of Trustees.

The Advisor has contractually agreed to waive a portion of its management fee and/or reimburse or pay operating expenses of the fund in order to reduce the total annual fund operating expenses for Class A, Class B, Class C, Class I, Class R2, Class R4 and Class R6 shares by 0.05% of the fund's average daily net assets. These fee waivers and/or reimbursements expire on September 30, 2016, unless renewed by mutual agreement of the fund and the Advisor based upon a determination that this is appropriate under the circumstances at that time.

The Advisor has contractually agreed to waive and/or reimburse all class-specific expenses for Class R6 shares of the fund to the extent they exceed 0.00% of average annual net assets, on an annual basis. The fee waiver and/or reimbursement

expires on September 30, 2015, unless renewed by mutual agreement of the fund and Advisor based upon a determination that this is appropriate under the circumstances at that time.

For the year ended May 31, 2015, these expense reductions described above amounted to the following:

Class Expense reduction Class Expense reduction

Class A $876,689 Class R2 $11,646

Class B 17,468 Class R4 10

Class C 115,800 Class R6 48,397

Class I 314,969 Total $1,384,979

The investment management fees incurred for the for the year ended May 31, 2015 were equivalent to a net annual effective rate of 0.40% of the fund's average daily net assets.

Accounting and legal services. Pursuant to a service agreement, the fund reimburses the Advisor for all expenses associated with providing the administrative, financial, legal, accounting and recordkeeping services to the fund, including the preparation of all tax returns, periodic reports to shareholders and regulatory reports, among other services. These expenses are allocated to each share class based on its relative net assets at the time the expense was incurred. These accounting and legal services fees incurred for the year ended May 31, 2015 amounted to an annual rate of 0.02% of the fund's average daily net assets.

Distribution and service plans. The fund has a distribution agreement with the Distributor. The fund has adopted distribution and service plans with respect to Class A, Class B, Class C, Class R2 and Class R4 shares pursuant to Rule 12b-1 under the 1940 Act, to pay the Distributor for services provided as the distributor of shares of the fund. In addition, under a service plan for Class R2 and Class R4 shares, the fund pays for certain other services. The fund may pay up to the following contractual rates of distribution and service fees under these arrangements, expressed as an annual percentage of average daily net assets for each class of the fund's shares.

Class Rule 12b-1 fee Service fee

Class A 0.30% —

Class B 1.00% —

Class C 1.00% —

Class R2 0.25% 0.25%

Class R4 0.25% 0.10%

The fund's Distributor has contractually agreed to waive 0.10% of Rule 12b-1 fees for Class R4 shares. The current waiver agreement expires on September 30, 2016, unless renewed by mutual agreement of the fund and the Distributor based upon a determination that this is appropriate under the circumstances at the time. This contractual waiver amounted to $18 for Class R4 shares for the year ended May 31, 2015.

Sales charges. Class A shares are assessed up-front sales charges, which resulted in payments to the Distributor amounting to $6,486,406 for the year ended May 31, 2015. Of this amount, $898,274 was retained and used for printing prospectuses, advertising, sales literature and other purposes, $5,417,014 was paid as sales commissions to broker-dealers and $171,118 was paid as sales commissions to sales personnel of Signator Investors, Inc., a broker-dealer affiliate of the Advisor.

Class A, Class B and Class C shares may be subject to contingent deferred sales charges (CDSCs). Certain Class A shares that are acquired through purchases of $1 million or more and are redeemed within one year of purchase are subject to a 1.00% sales charge. Class B shares that are redeemed within six years of purchase are subject to CDSCs, at declining rates, beginning at 5.00%. Class C shares that are redeemed within one year of purchase are subject to a 1.00% CDSC. CDSCs are applied to the lesser of the current market value at the time of redemption or the original purchase cost of the shares being redeemed. Proceeds from CDSCs are used to compensate the Distributor for providing distribution-related services in

connection with the sale of these shares. During the year ended May 31, 2015, CDSCs received by the Distributor amounted to $4,748, $56,959 and $34,419 for Class A, Class B and Class C shares, respectively.

Transfer agent fees. The fund has a transfer agent agreement with John Hancock Signature Services, Inc. (Signature Services), an affiliate of the Advisor. The transfer agent fees paid to Signature Services are determined based on the cost to Signature Services (Signature Services Cost) of providing recordkeeping services. The Signature Services Cost includes a component of allocated John Hancock corporate overhead. It also includes out-of-pocket expenses, including payments made to third-parties for recordkeeping services provided to their clients who invest in one or more John Hancock funds. In addition, Signature Services Cost may be reduced by certain fees that Signature Services receives in connection with retirement and small accounts. Signature Services Cost is calculated monthly and allocated, as applicable, to five categories of share classes: Retail Share and Institutional Share Classes of Non-Municipal Bond Funds, Class R6 Shares, Retirement Share Classes and Municipal Bond Share Classes. Within each of these categories, the applicable costs are allocated to the affected John Hancock affiliated funds and/or classes, based on the relative average daily net assets.

Class level expenses. Class level expenses for the year ended May 31, 2015 were:

Class Distribution and service fees Transfer agent fees

Class A $4,569,591 $1,894,332

Class B 303,104 37,737

Class C 2,014,479 250,312

Class I — 601,224

Class R2 89,426 3,291

Class R4 45 3

Class R6 — 10,710

Total $6,976,645 $2,797,609

Trustee expenses. The fund compensates each Trustee who is not an employee of the Advisor or its affiliates. The costs of paying Trustee compensation and expenses are allocated to each fund based on its net assets relative to other funds within the John Hancock group of funds complex.

Interfund lending program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the fund, along with certain other funds advised by the Advisor, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. Any open loans at period end are presented under the caption Payable for interfund lending in the Statement of assets and liabilities. At period end, no interfund loans were outstanding. The fund's activity in this program during the period for which loans were outstanding was as follows:

Borrower
or lender Average
loan balance Days
outstanding Weighted average
interest rate Interest

Lender $2,800,000 3 0.46% $107

Note 6 — Fund share transactions

Transactions in fund shares for the years ended May 31, 2015 and 2014 were as follows:

Year ended 5-31-15 Year ended 5-31-14

Shares Amount Shares Amount

Class A shares

Sold 36,489,446 $589,787,612 21,003,026 $334,911,089

Distributions reinvested 3,713,667 60,005,892 3,661,005 58,309,591

Repurchased (18,665,985 ) (302,037,248 ) (25,475,061 ) (405,398,526 )

Net increase (decrease) 21,537,128 $347,756,256 (811,030 ) ($12,177,846 )

Year ended 5-31-15 Year ended 5-31-14

Shares Amount Shares Amount

Class B shares

Sold 82,022 $1,327,241 93,597 $1,492,900

Distributions reinvested 52,585 849,537 69,938 1,113,162

Repurchased (397,112 ) (6,418,691 ) (820,777 ) (13,043,733 )

Net decrease (262,505 ) ($4,241,913 ) (657,242 ) ($10,437,671 )

Class C shares

Sold 7,668,246 $123,946,031 2,656,856 $42,448,897

Distributions reinvested 389,803 6,295,754 351,321 5,593,733

Repurchased (2,461,115 ) (39,792,491 ) (4,941,509 ) (78,536,001 )

Net increase (decrease) 5,596,934 $90,449,294 (1,933,332 ) ($30,493,371 )

Class I shares

Sold 36,713,562 $593,720,458 11,124,193 $177,539,637

Distributions reinvested 1,375,684 22,220,847 645,255 10,285,774

Repurchased (7,262,983 ) (117,301,758 ) (10,089,977 ) (160,700,623 )

Net increase 30,826,263 $498,639,547 1,679,471 $27,124,788

Class R2 shares

Sold 2,295,718 $37,088,850 406,327 $6,474,215

Distributions reinvested 48,223 779,202 12,971 206,978

Repurchased (342,641 ) (5,541,369 ) (127,569 ) (2,029,219 )

Net increase 2,001,300 $32,326,683 291,729 $4,651,974

Class R4 shares¹

Sold 6,192 $100,000 — —

Net increase 6,192 $100,000 — —

Class R6 shares

Sold 3,289,778 $53,125,238 2,429,478 $38,642,406

Distributions reinvested 184,830 2,988,651 118,016 1,882,264

Repurchased (304,508 ) (4,922,559 ) (95,569 ) (1,530,758 )

Net increase 3,170,100 $51,191,330 2,451,925 $38,993,912

Total net increase 62,875,412 $1,016,221,197 1,021,521 $17,661,786

¹ The inception date for Class R4 shares is 3-27-15.

Affiliates of the fund owned 100% of shares of beneficial interest of Class R4, on May 31, 2015.

Note 7 — Purchase and sale of securities

Purchases and sales of securities, other than short-term securities and U.S. Treasury obligations, amounted to $1,523,404,036 and $626,371,507, respectively, for the year ended May 31, 2015. Purchases and sales of U.S. Treasury obligations aggregated $995,619,158 and $913,520,723, respectively, for the year ended May 31, 2015.

AUDITOR'S REPORT

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of John Hancock Sovereign Bond Fund and Shareholders of John Hancock Bond Fund:

In our opinion, the accompanying statement of assets and liabilities, including the fund's investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of John Hancock Bond Fund (the "Fund") at May 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at May 31, 2015 by correspondence with the custodian and brokers, and the application of alternative auditing procedures where securities purchased confirmations had not been received, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

July 17, 2015

TAX INFORMATION

Unaudited

For federal income tax purposes, the following information is furnished with respect to the distributions of the fund, if any, paid during its taxable year ended May 31, 2015.

The fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends-received deduction.

The fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

The fund paid $5,705,057 in capital gain dividends.

Eligible shareholders will be mailed a 2015 Form 1099-DIV in early 2016. This will reflect the tax character of all distributions paid in calendar year 2015.

Please consult a tax advisor regarding the tax consequences of your investment in the fund.

Trustees and Officers

This chart provides information about the Trustees and Officers who oversee your John Hancock fund. Officers elected by the Trustees manage the day-to-day operations of the fund and execute policies formulated by the Trustees.

Independent Trustees

Name, year of birth
Position(s) held with fund
Principal occupation(s) and other
directorships during past 5 years Trustee
of the
Trust
since¹ Number of John
Hancock funds
overseen by
Trustee

James M. Oates, Born: 1946 2012 222

Trustee and Chairperson of the Board
Managing Director, Wydown Group (financial consulting firm) (since 1994); Chairman and Director, Emerson Investment Management, Inc. (since 2000); Independent Chairman, Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services company) (1997-2011); Director, Stifel Financial (since 1996); Director, Investor Financial Services Corporation (1995-2007); Director, Connecticut River Bancorp (since 1998); Director, Virtus Funds (formerly Phoenix Mutual Funds) (since 1988). Trustee and Chairperson of the Board, John Hancock Collateral Trust (since 2015); Trustee and Chairperson of the Board, John Hancock retail funds³ (since 2012); Trustee (2005-2006 and since 2012) and Chairperson of the Board (since 2012), John Hancock Funds III; Trustee (since 2004) and Chairperson of the Board (since 2005), John Hancock Variable Insurance Trust; Trustee and Chairperson of the Board, John Hancock Funds II (since 2005).

Charles L. Bardelis,² Born: 1941 2012 222

Trustee
Director, Island Commuter Corp. (marine transport). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds³ (since 2012); Trustee, John Hancock Funds III (2005-2006 and since 2012); Trustee, John Hancock Variable Insurance Trust (since 1988); Trustee, John Hancock Funds II (since 2005).

Peter S. Burgess,² Born: 1942 2012 222

Trustee
Consultant (financial, accounting, and auditing matters) (since 1999); Certified Public Accountant; Partner, Arthur Andersen (independent public accounting firm) (prior to 1999); Director, Lincoln Educational Services Corporation (since 2004); Director, Symetra Financial Corporation (since 2010); Director, PMA Capital Corporation (2004-2010). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds³ (since 2012); Trustee, John Hancock Funds III (2005-2006 and since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2005).

William H. Cunningham, Born: 1944 2005 222

Trustee
Professor, University of Texas, Austin, Texas (since 1971); former Chancellor, University of Texas System and former President of the University of Texas, Austin, Texas; Director, Chairman (since 2009) and Director (since 2006), Lincoln National Corporation (insurance); Director, Southwest Airlines (since 2000); former Director, Introgen (manufacturer of biopharmaceuticals) (until 2008); former Director, Hicks Acquisition Company I, Inc. (until 2007); former Director, Texas Exchange Bank, SSB (formerly Bank of Crowley) (until 2009); former Advisory Director, JP Morgan Chase Bank (formerly Texas Commerce Bank-Austin) (until 2009); former Director, LIN Television (2009-2014). Trustee, John Hancock retail funds³ (since 1986); Trustee, John Hancock Variable Insurance Trust (since 2012); Trustee, John Hancock Funds II (2005-2006 and since 2012); Trustee, John Hancock Collateral Trust (since 2015).

Grace K. Fey, Born: 1946 2012 222

Trustee
Chief Executive Officer, Grace Fey Advisors (since 2007); Director and Executive Vice President, Frontier Capital Management Company (1988-2007); Director, Fiduciary Trust (since 2009). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds³ (since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2008).

Independent Trustees (continued)

Name, year of birth
Position(s) held with fund
Principal occupation(s) and other
directorships during past 5 years Trustee
of the
Trust
since¹ Number of John
Hancock funds
overseen by
Trustee

Theron S. Hoffman,² Born: 1947 2012 222

Trustee
Chief Executive Officer, T. Hoffman Associates, LLC (consulting firm) (since 2003); Director, The Todd Organization (consulting firm) (2003-2010); President, Westport Resources Management (investment management consulting firm) (2006-2008); Senior Managing Director, Partner, and Operating Head, Putnam Investments (2000-2003); Executive Vice President, The Thomson Corp. (financial and legal information publishing) (1997-2000). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds³ (since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2008).

Deborah C. Jackson, Born: 1952 2008 222

Trustee
President, Cambridge College, Cambridge, Massachusetts (since 2011); Chief Executive Officer, American Red Cross of Massachusetts Bay (2002-2011); Board of Directors of Eastern Bank Corporation (since 2001); Board of Directors of Eastern Bank Charitable Foundation (since 2001); Board of Directors of American Student Assistance Corporation (1996-2009); Board of Directors of Boston Stock Exchange (2002-2008); Board of Directors of Harvard Pilgrim Healthcare (health benefits company) (2007-2011). Trustee, John Hancock retail funds³ (since 2008); Trustee of John Hancock Variable Insurance Trust and John Hancock Funds II (since 2012); Trustee, John Hancock Collateral Trust (since 2015).

Hassell H. McClellan, Born: 1945 2012 222

Trustee
Trustee, Virtus Variable Insurance Trust (formerly Phoenix Edge Series Funds) (since 2008); Director, The Barnes Group (since 2010); Associate Professor, The Wallace E. Carroll School of Management, Boston College (retired 2013). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds³ (since 2012); Trustee, John Hancock Funds III (2005-2006 and since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2005).

Steven R. Pruchansky, Born: 1944 2005 222

Trustee and Vice Chairperson of the Board
Chairman and Chief Executive Officer, Greenscapes of Southwest Florida, Inc. (since 2000); Director and President, Greenscapes of Southwest Florida, Inc. (until 2000); Member, Board of Advisors, First American Bank (until 2010); Managing Director, Jon James, LLC (real estate) (since 2000); Partner, Right Funding, LLC (since 2014); Director, First Signature Bank & Trust Company (until 1991); Director, Mast Realty Trust (until 1994); President, Maxwell Building Corp. (until 1991). Trustee (since 1992) and Chairperson of the Board (2011-2012), John Hancock retail funds³; Trustee and Vice Chairperson of the Board, John Hancock retail funds³ John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2012); Trustee, and Vice Chairperson of the Board, John Hancock Collateral Trust (since 2015).

Independent Trustees (continued)

Name, year of birth
Position(s) held with fund
Principal occupation(s) and other
directorships during past 5 years Trustee
of the
Trust
since¹ Number of John
Hancock funds
overseen by
Trustee

Gregory A. Russo, Born: 1949 2009 222

Trustee
Director and Audit Committee Chairman (since 2012), and Member, Audit Committee and Finance Committee (since 2011), NCH Healthcare System, Inc. (holding company for multi-entity healthcare system); Chairman (since 2014) and Director and Member (since 2012) of Finance Committee, The Moorings, Inc. (nonprofit continuing care community); Vice Chairman, Risk & Regulatory Matters, KPMG LLP (KPMG) (2002-2006); Vice Chairman, Industrial Markets, KPMG (1998-2002); Chairman and Treasurer, Westchester County, New York, Chamber of Commerce (1986-1992); Director, Treasurer, and Chairman of Audit and Finance Committees, Putnam Hospital Center (1989-1995); Director and Chairman of Fundraising Campaign, United Way of Westchester and Putnam Counties, New York (1990-1995). Trustee, John Hancock retail funds³ (since 2008); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2012); Trustee, John Hancock Collateral Trust (since 2015).

Non-Independent Trustees⁴

Name, year of birth
Position(s) held with fund
Principal occupation(s) and other
directorships during past 5 years Trustee
of the
Trust
since¹ Number of John
Hancock funds
overseen by
Trustee

James R. Boyle, Born: 1959 2015 222

Non-Independent Trustee*
Chairman, HealthFleet, Inc. (healthcare) (since 2014); Executive Vice President and Chief Executive Officer, U.S. Life Insurance Division of Genworth Financial, Inc. (insurance) (January 2014-July 2014); Senior Executive Vice President, Manulife Financial, president and Chief Executive Officer, John Hancock (1999-2012); Chairman and Director, John Hancock Advisers, LLC, John Hancock Funds, LLC, and John Hancock Investment Management Services, LLC (2005-2010); Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds³ (2005-2010; 2012-2014 and since 2015); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (2005-2014 and since 2015).
*Effective 3-10-15.

Craig Bromley, Born: 1966 2012 222

Non-Independent Trustee
President, John Hancock Financial Service (since 2012); Senior Executive Vice President and General Manager, U.S. Division, Manulife Corporation (since 2012); President and Chief Executive Officer, Manulife Insurance Company (Manulife Japan) (2005-2012, including prior positions). Trustee, John Hancock retail funds,³ John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2012); Trustee, John Hancock Collateral Trust (since 2015).

Warren A. Thomson, Born: 1955 2012 222

Non-Independent Trustee
Senior Executive Vice President and Chief Investment Officer, Manulife Financial Corporation and The Manufacturers Life Insurance Company (since 2009); Chairman, Manulife Asset Management (since 2001, including prior positions); Director and Chairman, Manulife Asset Management Limited (since 2006); Director and Chairman, Hancock Natural Resources Group, Inc. (since 2013). Trustee, John Hancock retail funds,³ John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2012); Trustee, John Hancock Collateral Trust (since 2015).

Principal officers who are not Trustees

Name, year of birth
Position(s) held with fund
Principal occupation(s) and other
directorships during past 5 years Officer
of the
Trust
since

Andrew G. Arnott, Born: 1971 2009

Executive Vice President
President
Senior Vice President, John Hancock Financial Services (since 2009); Director and Executive Vice President, John Hancock Advisers, LLC (since 2005, including prior positions); Director and Executive Vice President, John Hancock Investment Management Services, LLC (since 2006, including prior positions); President, John Hancock Funds, LLC (since 2004, including prior positions); President (effective 3-13-14) and Executive Vice President, John Hancock retail funds,³ John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2007, including prior positions); President, John Hancock Collateral Trust (since 2015).

John J. Danello,Born: 1955 2006

Senior Vice President, Secretary, and Chief Legal Officer
Vice President and Chief Counsel, John Hancock Wealth Management (since 2005); Senior Vice President (since 2007) and Chief Legal Counsel (2007-2010), John Hancock Funds, LLC and The Berkeley Financial Group, LLC; Senior Vice President (since 2006, including prior positions) and Chief Legal Officer and Secretary (since 2014), John Hancock retail funds³ and John Hancock Variable Insurance Trust; Senior Vice President, Chief Legal Officer and Secretary (since 2015), John Hancock Collateral Trust; Vice President, John Hancock Life & Health Insurance Company (since 2009); Vice President, John Hancock Life Insurance Company (USA) and John Hancock Life Insurance Company of New York (since 2010); and Senior Vice President, Secretary, and Chief Legal Counsel (2007-2014, including prior positions) of John Hancock Advisers, LLC and John Hancock Investment Management Services, LLC.

Francis V. Knox, Jr.,Born: 1947 2005

Chief Compliance Officer
Vice President, John Hancock Financial Services (since 2005); Chief Compliance Officer, John Hancock retail funds,³ John Hancock Variable Insurance Trust, John Hancock Funds II, John Hancock Advisers, LLC, and John Hancock Investment Management Services, LLC (since 2005); Chief Compliance Officer, John Hancock Collateral Trust (since 2015).

Charles A. Rizzo, Born: 1957 2007

Chief Financial Officer
Vice President, John Hancock Financial Services (since 2008); Senior Vice President, John Hancock Advisers, LLC and John Hancock Investment Management Services, LLC (since 2008); Chief Financial Officer, John Hancock retail funds,³ John Hancock Variable Insurance Trust and John Hancock Funds II (since 2007); Chief Financial Officer, John Hancock Collateral Trust (since 2015).

Salvatore Schiavone, Born: 1965 2010

Treasurer
Assistant Vice President, John Hancock Financial Services (since 2007); Vice President, John Hancock Advisers, LLC and John Hancock Investment Management Services, LLC (since 2007); Treasurer, John Hancock retail funds³ (since 2007, including prior positions); Treasurer, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2010 and 2007-2009, including prior positions); Treasurer, John Hancock Collateral Trust (since 2015).

The business address for all Trustees and Officers is 601 Congress Street, Boston, Massachusetts 02210-2805.

The Statement of Additional Information of the fund includes additional information about members of the Board of Trustees of the Trust and is available without charge, upon request, by calling 800-225-5291.

1	Each Trustee holds office until his or her successor is elected and qualified, or until the Trustee's death, retirement, resignation, or removal.
2	Member of the Audit Committee.
3	"John Hancock retail funds" comprises John Hancock Funds III and 36 other John Hancock funds consisting of 26 series of other John Hancock trusts and 10 closed-end funds.
4	The Trustee is a Non-Independent Trustee due to current or former positions with the Advisor and certain affiliates.

More information

Trustees

James M. Oates, Chairperson
Steven R. Pruchansky, Vice Chairperson
Charles L. Bardelis*
James R. Boyle†#
Craig Bromley†
Peter S. Burgess*
William H. Cunningham
Grace K. Fey
Theron S. Hoffman*
Deborah C. Jackson
Hassell H. McClellan
Gregory A. Russo
Warren A. Thomson†

Officers

Andrew G. Arnott
President

John J. Danello
Senior Vice President, Secretary,
and Chief Legal Officer

Francis V. Knox, Jr.
Chief Compliance Officer

Charles A. Rizzo
Chief Financial Officer

Salvatore Schiavone
Treasurer

Investment advisor

John Hancock Advisers, LLC

Subadvisor

John Hancock Asset Management a division of Manulife Asset Management (US) LLC

Principal distributor

John Hancock Funds, LLC

Custodian

State Street Bank and Trust Company

Transfer agent

John Hancock Signature Services, Inc.

Legal counsel

K&L Gates LLP

Independent registered public accounting firm

PricewaterhouseCoopers LLP

*Member of the Audit Committee
†Non-Independent Trustee
#Effective 3-10-15

The fund's proxy voting policies and procedures, as well as the fund proxy voting record for the most recent twelve-month period ended June 30, are available free of charge on the Securities and Exchange Commission (SEC) website at sec.gov or on our website.

The fund's complete list of portfolio holdings, for the first and third fiscal quarters, is filed with the SEC on Form N-Q. The fund's Form N-Q is available on our website and the SEC's website, sec.gov, and can be reviewed and copied (for a fee) at the SEC's Public Reference Room in Washington, DC. Call 800-SEC-0330 to receive information on the operation of the SEC's Public Reference Room.

We make this information on your fund, as well as monthly portfolio holdings, and other fund details available on our website at jhinvestments.com or by calling 800-225-5291.

You can also contact us:

800-225-5291
jhinvestments.com
Regular mail:

John Hancock Signature Services, Inc.
P.O. Box 55913
Boston, MA 02205-5913

Express mail:

John Hancock Signature Services, Inc.
Suite 55913
30 Dan Road
Canton, MA 02021

Family of funds

DOMESTIC EQUITY FUNDS

Balanced

Blue Chip Growth

Classic Value

Disciplined Value

Disciplined Value Mid Cap

Equity Income

Fundamental All Cap Core

Fundamental Large Cap Core

Fundamental Large Cap Value

Large Cap Equity

New Opportunities

Select Growth

Small Cap Equity

Small Cap Value

Small Company

Strategic Growth

U.S. Equity

U.S. Global Leaders Growth

Value Equity

GLOBAL AND INTERNATIONAL EQUITY FUNDS

Disciplined Value International

Emerging Markets

Emerging Markets Equity

Global Equity

Global Opportunities

Global Shareholder Yield

Greater China Opportunities

International Core

International Growth

International Small Company

International Value Equity

INCOME FUNDS

Bond

California Tax-Free Income

Core High Yield

Emerging Markets Debt

Floating Rate Income

Focused High Yield

Global Income

Government Income

High Yield Municipal Bond

INCOME FUNDS (continued)

Income

Investment Grade Bond

Money Market

Short Duration Credit Opportunities

Spectrum Income

Strategic Income Opportunities

Tax-Free Bond

ALTERNATIVE AND SPECIALTY FUNDS

Absolute Return Currency

Alternative Asset Allocation

Enduring Equity

Financial Industries

Global Absolute Return Strategies

Global Conservative Absolute Return

Natural Resources

Redwood

Regional Bank

Seaport

Technical Opportunities

ASSET ALLOCATION

Income Allocation Fund

Lifestyle Aggressive Portfolio

Lifestyle Balanced Portfolio

Lifestyle Conservative Portfolio

Lifestyle Growth Portfolio

Lifestyle Moderate Portfolio

Retirement Choices Portfolios (2010-2055)

Retirement Living Portfolios (2010-2055)

Retirement Living II Portfolios (2010-2055)

CLOSED-END FUNDS

Financial Opportunities

Hedged Equity & Income

Income Securities Trust

Investors Trust

Preferred Income

Preferred Income II

Preferred Income III

Premium Dividend

Tax-Advantaged Dividend Income

Tax-Advantaged Global Shareholder Yield

The fund's investment objectives, risks, charges, and expenses are included in the prospectus and should be considered carefully before investing. For a prospectus, contact your financial professional, call John Hancock Investments at 800-225-5291, or visit the fund's website at jhinvestments.com. Please read the prospectus carefully before investing or sending money.

John Hancock Investments

A trusted brand

John Hancock has helped individuals and institutions build and
protect wealth since 1862. Today, we are one of America's strongest
and most-recognized brands.

A better way to invest

As a manager of managers, we search the world to find proven
portfolio teams with specialized expertise for every fund we offer,
then apply vigorous investment oversight to ensure they continue
to meet our uncompromising standards.

Results for investors

Our unique approach to asset management has led to a diverse set
of investments deeply rooted in investor needs, along with strong
risk-adjusted returns across asset classes.

John Hancock Funds, LLC n Member FINRA, SIPC
601 Congress Street n Boston, MA 02210-2805
800-225-5291 n jhinvestments.com

This report is for the information of the shareholders of John Hancock Bond Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.

MF235772 21A 5/15
7/15

ITEM 2. CODE OF ETHICS.

As of the end of the year, May 31, 2015, the registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Chief Executive Officer, Chief Financial Officer and Treasurer (respectively, the principal executive officer, the principal financial officer and the principal accounting officer, the “Covered Officers”). A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Peter S. Burgess is the audit committee financial expert and is “independent”, pursuant to general instructions on Form N-CSR Item 3.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) Audit Fees

The aggregate fees billed for professional services rendered by the principal accountant for the audits of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements amounted to the following for the fiscal years ended May 31, 2015 and 2014. These fees were billed to the registrant and were approved by the registrant’s audit committee.


Fund	May 31, 2015	May 31, 2014
John Hancock Bond Fund	$ 52,423	$ 47,189

(b) Audit-Related Services

Audit-related fees for assurance and related services by the principal accountant are billed to the registrant or to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser ("control affiliates") that provides ongoing services to the registrant. The nature of the services provided was affiliated service provider internal controls reviews. Additionally, amounts billed to control affiliates were $103,940 and $98,642 for the fiscal years ended May 31, 2015 and 2014, respectively.


Fund	May 31, 2015	May 31, 2014
John Hancock Bond Fund	$ 5,220	$ 558

The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning (“tax fees”) amounted to the following for the fiscal years ended May 31, 2015 and 2014. The nature of the services comprising the tax fees was the review of the registrant’s tax returns and tax distribution requirements. These fees were billed to the registrant and were approved by the registrant’s audit committee.


Fund	May 31, 2015	May 31, 2014
John Hancock Bond Fund	$ 3,450	$ 2,941

(d) All Other Fees

Other fees billed for professional services rendered by the principal accountant to the registrant or to the control affiliates for the fiscal years ended May 31, 2015 and 2014 amounted to the following:


Fund	May 31, 2015	May 31, 2014
John Hancock Bond Fund	$5,116	$382

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The trust’s Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm (the “Auditor”) relating to the operations or financial reporting of the funds. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.

The trust’s Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of audit-related and non-audit services by the Auditor. The policies and procedures require that any audit-related and non-audit service provided by the Auditor and any non-audit service provided by the Auditor to a fund service provider that relates directly to the operations and financial reporting of a fund are subject to approval by the Audit Committee before such service is provided. Audit-related services provided by the Auditor that are expected to exceed $25,000 per year/per fund are subject to specific pre-approval by the Audit Committee. Tax services provided by the Auditor that are expected to exceed $30,000 per year/per fund are subject to specific pre-approval by the Audit Committee.

All audit services, as well as the audit-related and non-audit services that are expected to exceed the amounts stated above, must be approved in advance of provision of the service by formal resolution of the Audit Committee. At the regularly scheduled Audit Committee meetings, the Committee reviews a report summarizing the services, including fees, provided by the Auditor.

(e)(2) Services approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:

Audit-Related Fees, Tax Fees and All Other Fees:

There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception under Rule 2-01 of Regulation S-X.

(f) According to the registrant’s principal accountant for the fiscal year ended May 31, 2015, the percentage of hours spent on the audit of the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons who were not full-time, permanent employees of principal accountant was less than 50%.

(g) The aggregate non-audit fees billed by the registrant’s principal accountant for non-audit services rendered to the registrant and rendered to the registrant's control affiliates for the fiscal years ended May 31, 2015 and 2014 amounted to the following:


Trust	May 31, 2015	May 31, 2014
John Hancock Sovereign Bond Fund	$6,620,316	$6,108,879

(h) The audit committee of the registrant has considered the non-audit services provided by the registrant’s principal accountant to the control affiliates and has determined that the services that were not pre-approved are compatible with maintaining the principal accountant’s independence.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

The registrant has a separately-designated standing audit committee comprised of independent trustees. The members of the audit committee are as follows:

Peter S. Burgess - Chairman

Charles L. Bardelis

Theron S. Hoffman

ITEM 6. SCHEDULE OF INVESTMENTS.

(a)

Not applicable.

(b)

Not applicable.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

The registrant has adopted procedures by which shareholders may recommend nominees to the registrant's Board of Trustees. A copy of the procedures is filed as an exhibit to this Form N-CSR. See attached “John Hancock Funds – Nominating, Governance and Administration Committee Charter”.

ITEM 11. CONTROLS AND PROCEDURES.

(a) Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this Form N-CSR, the registrant's principal executive officer and principal financial officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.

(b) There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Code of Ethics for Covered Officers is attached.

(a)(2) Separate certifications for the registrant's principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached.

(b)(1) Separate certifications for the registrant's principal executive officer and principal financial officer, as required by 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, and Rule 30a-2(b) under the Investment Company Act of 1940, are attached. The certifications furnished pursuant to this paragraph are not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certifications are not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates them by reference.

(c)(1) Submission of Matters to a Vote of Security Holders is attached. See attached “John Hancock Funds – Nominating, Governance and Administration Committee Charter”.

(c)(2) Contact person at the registrant.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

John Hancock Sovereign Bond Fund


By:	/s/ Andrew Arnott
	Andrew Arnott
	President

Date: July 17, 2015

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


By:	/s/ Andrew Arnott
	Andrew Arnott
	President

Date: July 17, 2015


By:	/s/ Charles A. Rizzo
	Charles A. Rizzo
	Chief Financial Officer

Date: July 17, 2015


	Howard C. Greene, CFA On the fund since 2002 Investing since 1979
	Jeffrey N. Given, CFA On the fund since 2006 Investing since 1993


Average annual total returns (%) with maximum sales charge				Cumulative total returns (%) with maximum sales charge			SEC 30-day yield (%) subsidized	SEC 30-day yield (%) unsubsidized¹
	1-year	5-year	10-year		5-year	10-year	as of 5-31-15	as of 5-31-15
Class A	-1.11	5.48	5.54		30.60	71.50	2.58	2.52
Class B	-2.63	5.29	5.38		29.42	68.96	1.98	1.92
Class C	1.32	5.61	5.24		31.41	66.64	1.99	1.93
Class I²	3.35	6.76	6.40		38.69	85.99	3.00	2.95
Class R2^2,3	2.97	6.38	5.97		36.22	78.62	2.53	2.47
Class R4^2,3	3.09	6.47	6.12		36.85	81.15	2.93	2.78
Class R6^2,3	3.45	6.86	6.48		39.35	87.33	3.10	3.02
Index^†	2.92	4.14	4.58		22.52	56.52	—	—


	Start date	With maximum sales charge ($)	Without sales charge ($)	Index ($)
Class B⁴	5-31-05	16,896	16,896	15,652
Class C⁴	5-31-05	16,664	16,664	15,652
Class I^2,3	5-31-05	18,599	18,599	15,652
Class R2^2,3	5-31-05	17,862	17,862	15,652
Class R4^2,3	5-31-05	18,115	18,115	15,652
Class R6^2,3	5-31-05	18,733	18,733	15,652


	Account value on 12-1-2014	Ending value on 5-31-2015	Expenses paid during period ended 5-31-2015¹	Annualized expense ratio
Class A	$1,000.00	$1,013.20	$4.42	0.88%
Class B	1,000.00	1,010.30	7.92	1.58%
Class C	1,000.00	1,009.70	7.92	1.58%
Class I	1,000.00	1,014.80	2.81	0.56%
Class R2	1,000.00	1,013.10	4.62	0.92%
Class R4²	1,000.00	1,001.80	1.14	0.64%
Class R6	1,000.00	1,015.90	2.31	0.46%


As of 5-31-15
	Rate (%)	Maturity date	Par value^		Value
Corporate bonds 41.8%					$1,229,999,391
(Cost $1,204,649,420)
Consumer discretionary 4.8%					140,160,038
Auto components 0.7%
Dana Holding Corp.	6.000	09-15-23		3,905,000	4,129,538
Delphi Corp.	5.000	02-15-23		9,060,000	9,756,488
Stackpole International Intermediate Company SA (S)	7.750	10-15-21		2,420,000	2,410,925
ZF North America Capital, Inc. (S)	4.750	04-29-25		2,840,000	2,843,550
Automobiles 1.5%
Fiat Chrysler Automobiles NV (S)	5.250	04-15-23		2,310,000	2,321,550
Ford Motor Company	4.750	01-15-43		1,415,000	1,432,689
Ford Motor Credit Company LLC	5.875	08-02-21		16,540,000	19,155,983
General Motors Company	4.875	10-02-23		3,720,000	3,957,176
General Motors Company	6.250	10-02-43		3,570,000	4,111,266
General Motors Financial Company, Inc.	3.450	04-10-22		4,390,000	4,317,951
General Motors Financial Company, Inc.	4.000	01-15-25		5,225,000	5,180,363
General Motors Financial Company, Inc.	4.375	09-25-21		3,030,000	3,155,818
Hotels, restaurants and leisure 0.5%
Boyd Gaming Corp.	6.875	05-15-23		2,440,000	2,482,700
CCM Merger, Inc. (S)	9.125	05-01-19		2,540,000	2,755,900
International Game Technology PLC (S)	6.500	02-15-25		2,115,000	1,982,813
MGM Resorts International	6.000	03-15-23		4,440,000	4,600,950
Seminole Tribe of Florida, Inc. (S)	6.535	10-01-20		2,289,000	2,472,120
Waterford Gaming LLC (H)(S)	8.625	09-15-49		372,111	0
Household durables 0.1%
Argos Merger Sub, Inc. (S)	7.125	03-15-23		1,165,000	1,234,900
Harman International Industries, Inc.	4.150	05-15-25		1,775,000	1,790,847
Internet and catalog retail 0.5%
Amazon.com, Inc.	4.950	12-05-44		5,295,000	5,394,689
QVC, Inc.	4.375	03-15-23		3,880,000	3,899,377
QVC, Inc.	5.125	07-02-22		1,840,000	1,927,411
QVC, Inc.	5.450	08-15-34		3,005,000	2,864,270
Media 0.6%
21st Century Fox America, Inc.	6.150	03-01-37		1,330,000	1,597,178
21st Century Fox America, Inc.	6.400	12-15-35		1,735,000	2,160,030
Altice Financing SA (S)	6.500	01-15-22		1,485,000	1,525,838
Altice Financing SA (S)	6.625	02-15-23		1,890,000	1,958,513
AMC Entertainment, Inc.	5.875	02-15-22		3,745,000	3,904,163
Scripps Networks Interactive, Inc. (C)	3.950	06-15-25		3,925,000	3,935,209
Time Warner Cable, Inc.	8.250	04-01-19		3,290,000	3,898,755


The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund.
^All par values are denominated in U.S. dollars unless otherwise indicated.
Key to Currency Abbreviation
BRL		Brazilian Real
Key to Security Abbreviations and Legend
IO		Interest Only Security — (Interest Tranche of Stripped Mortgage Pool). Rate shown is the effective yield at period end.
ISDAFIX		International Swaps and Derivatives Association Fixed Interest Rate Swap Rate
LIBOR		London Interbank Offered Rate
PIK		Payment-in-kind
(C)		Security purchased on a when-issued or delayed delivery basis.
(H)		Non-income producing - Issuer is in default.
(M)		Term loans are variable rate obligations. The coupon rate shown represents the rate at period end.
(P)		Variable rate obligation. The coupon rate shown represents the rate at period end.
(Q)		Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date.
(S)		These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $745,121,601 or 25.3% of the fund's net assets as of 5-31-15.
†		At 5-31-15, the aggregate cost of investment securities for federal income tax purposes was $2,878,549,142. Net unrealized appreciation aggregated $47,962,646, of which $71,422,619 related to appreciated investment securities and $23,459,973 related to depreciated investment securities.




Assets
Investments, at value (Cost $2,870,051,139)	$2,926,511,788
Cash	22,839,533
Receivable for investments sold	6,507,067
Receivable for fund shares sold	11,819,654
Dividends and interest receivable	25,028,130
Other receivables and prepaid expenses	135,955
Total assets	2,992,842,127
Liabilities
Payable for investments purchased	32,999,667
Payable for delayed delivery securities purchased	10,262,209
Payable for fund shares repurchased	4,620,420
Distributions payable	534,558
Payable to affiliates
Accounting and legal services fees	77,434
Transfer agent fees	549,519
Distribution and service fees	221,218
Trustees' fees	2,513
Other liabilities and accrued expenses	398,651
Total liabilities	49,666,189
Net assets	$2,943,175,938
Net assets consist of
Paid-in capital	$2,905,939,643
Accumulated distributions in excess of net investment income	(570,403	)
Accumulated net realized gain (loss) on investments and foreign currency transactions	(18,652,733	)
Net unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies	56,459,431
Net assets	$2,943,175,938


	Net asset value per share
	Based on net asset values and shares outstanding-the fund has an unlimited number of shares authorized with no par value
	Class A ($1,739,611,038 ÷ 108,329,250 shares)¹									$16.06
	Class B ($27,971,998 ÷ 1,742,026 shares)¹									$16.06
	Class C ($250,172,584 ÷ 15,577,601 shares)¹									$16.06
	Class I ($793,469,684 ÷ 49,404,841 shares)									$16.06
	Class R2 ($38,888,282 ÷ 2,419,093 shares)									$16.08
	Class R4 ($99,585 ÷ 6,192 shares)									$16.08
	Class R6 ($92,962,767 ÷ 5,782,173 shares)									$16.08
	Maximum offering price per share
	Class A (net asset value per share ÷ 96%)²									$16.73


1	Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
2	On single retail sales of less than $100,000. On sales of $100,000 or more and on group sales the offering price is reduced.




	Year ended 5-31-15		Year ended 5-31-14
Increase (decrease) in net assets
From operations
Net investment income	$77,562,494		$69,407,967
Net realized gain (loss)	11,460,974		(1,245,911	)
Change in net unrealized appreciation (depreciation)	(19,212,687	)	2,708,701
Increase in net assets resulting from operations	69,810,781		70,870,757
Distributions to shareholders
From net investment income
Class A	(59,394,153	)	(57,110,614	)
Class B	(977,676	)	(1,268,051	)
Class C	(6,417,954	)	(5,772,362	)
Class I	(22,879,954	)	(10,994,882	)
Class R2	(749,133	)	(190,232	)
Class R4¹	(613	)	—
Class R6	(2,793,534	)	(1,713,305	)
From net realized gain
Class A	(4,597,085	)	(5,785,899	)
Class B	(90,887	)	(150,431	)
Class C	(621,883	)	(679,388	)
Class I	(1,722,915	)	(1,012,012	)
Class R2	(50,371	)	(21,658	)
Class R6	(196,277	)	(173,447	)
Total distributions	(100,492,435	)	(84,872,281	)
From fund share transactions	1,016,221,197		17,661,786
Total increase	985,539,543		3,660,262
Net assets
Beginning of year	1,957,636,395		1,953,976,133
End of year	$2,943,175,938		$1,957,636,395
Undistributed (accumulated distributions in excess of) net investment income	($570,403	)	$5,266,114





Class A Shares Period ended		5-31-15		5-31-14		5-31-13		5-31-12		5-31-11
Per share operating performance
Net asset value, beginning of period		$16.26		$16.37		$15.86		$15.86		$15.00
Net investment income¹		0.53		0.61		0.63		0.72		0.81
Net realized and unrealized gain (loss) on investments		(0.05	)	0.02		0.61		0.08		0.92
Total from investment operations		0.48		0.63		1.24		0.80		1.73
Less distributions
From net investment income		(0.63	)	(0.67	)	(0.70	)	(0.79	)	(0.87	)
From net realized gain		(0.05	)	(0.07	)	(0.03	)	(0.01	)	—
Total distributions		(0.68	)	(0.74	)	(0.73	)	(0.80	)	(0.87	)
Net asset value, end of period		$16.06		$16.26		$16.37		$15.86		$15.86
Total return (%)^2,3		3.02		4.06		7.93		5.21		11.78
Ratios and supplemental data
Net assets, end of period (in millions)		$1,740		$1,411		$1,434		$1,061		$912
Ratios (as a percentage of average net assets):
	Expenses before reductions	0.94		0.98		1.03		1.06		1.05
	Expenses including reductions	0.89		0.92		0.98		1.02		1.05
	Net investment income	3.25		3.80		3.84		4.63		5.24
Portfolio turnover (%)		66		77		72		76		73


1	Based on average daily shares outstanding.
2	Does not reflect the effect of sales charges, if any.
3	Total returns would have been lower had certain expenses not been reduced during the applicable periods.





Class B Shares Period ended		5-31-15		5-31-14		5-31-13		5-31-12		5-31-11
Per share operating performance
Net asset value, beginning of period		$16.26		$16.37		$15.86		$15.86		$15.00
Net investment income¹		0.42		0.50		0.51		0.61		0.70
Net realized and unrealized gain (loss) on investments		(0.05	)	0.02		0.61		0.08		0.92
Total from investment operations		0.37		0.52		1.12		0.69		1.62
Less distributions
From net investment income		(0.52	)	(0.56	)	(0.58	)	(0.68	)	(0.76	)
From net realized gain		(0.05	)	(0.07	)	(0.03	)	(0.01	)	—
Total distributions		(0.57	)	(0.63	)	(0.61	)	(0.69	)	(0.76	)
Net asset value, end of period		$16.06		$16.26		$16.37		$15.86		$15.86
Total return (%)^2,3		2.31		3.34		7.18		4.48		11.00
Ratios and supplemental data
Net assets, end of period (in millions)		$28		$33		$44		$37		$28
Ratios (as a percentage of average net assets):
	Expenses before reductions	1.64		1.68		1.73		1.76		1.75
	Expenses including reductions	1.59		1.62		1.68		1.72		1.75
	Net investment income	2.57		3.11		3.15		3.92		4.53
Portfolio turnover (%)		66		77		72		76		73





Class C Shares Period ended		5-31-15		5-31-14		5-31-13		5-31-12		5-31-11
Per share operating performance
Net asset value, beginning of period		$16.26		$16.37		$15.87		$15.86		$15.00
Net investment income¹		0.41		0.49		0.51		0.61		0.70
Net realized and unrealized gain (loss) on investments		(0.04	)	0.03		0.60		0.09		0.92
Total from investment operations		0.37		0.52		1.11		0.70		1.62
Less distributions
From net investment income		(0.52	)	(0.56	)	(0.58	)	(0.68	)	(0.76	)
From net realized gain		(0.05	)	(0.07	)	(0.03	)	(0.01	)	—
Total distributions		(0.57	)	(0.63	)	(0.61	)	(0.69	)	(0.76	)
Net asset value, end of period		$16.06		$16.26		$16.37		$15.87		$15.86
Total return (%)^2,3		2.31		3.34		7.11		4.55		11.00
Ratios and supplemental data
Net assets, end of period (in millions)		$250		$162		$195		$116		$71
Ratios (as a percentage of average net assets):
	Expenses before reductions	1.64		1.68		1.72		1.77		1.75
	Expenses including reductions	1.59		1.62		1.67		1.72		1.75
	Net investment income	2.53		3.10		3.12		3.91		4.50
Portfolio turnover (%)		66		77		72		76		73





Class I Shares Period ended		5-31-15		5-31-14		5-31-13		5-31-12		5-31-11
Per share operating performance
Net asset value, beginning of period		$16.26		$16.37		$15.87		$15.86		$14.99
Net investment income¹		0.57		0.66		0.68		0.78		0.88
Net realized and unrealized gain (loss) on investments		(0.04	)	0.02		0.61		0.09		0.92
Total from investment operations		0.53		0.68		1.29		0.87		1.80
Less distributions
From net investment income		(0.68	)	(0.72	)	(0.76	)	(0.85	)	(0.93	)
From net realized gain		(0.05	)	(0.07	)	(0.03	)	(0.01	)	—
Total distributions		(0.73	)	(0.79	)	(0.79	)	(0.86	)	(0.93	)
Net asset value, end of period		$16.06		$16.26		$16.37		$15.87		$15.86
Total return (%)²		3.35		4.40		8.27		5.70		12.33
Ratios and supplemental data
Net assets, end of period (in millions)		$793		$302		$277		$123		$74
Ratios (as a percentage of average net assets):
	Expenses before reductions	0.63		0.66		0.65		0.67		0.62
	Expenses including reductions	0.57		0.60		0.60		0.62		0.62
	Net investment income	3.53		4.11		4.19		4.99		5.64
Portfolio turnover (%)		66		77		72		76		73





Class R2 Shares Period ended		5-31-15		5-31-14		5-31-13		5-31-12	¹
Per share operating performance
Net asset value, beginning of period		$16.27		$16.38		$15.87		$15.80
Net investment income²		0.51		0.60		0.62		0.17
Net realized and unrealized gain (loss) on investments		(0.02	)	0.02		0.64		0.09
Total from investment operations		0.49		0.62		1.26		0.26
Less distributions
From net investment income		(0.63	)	(0.66	)	(0.72	)	(0.19	)
From net realized gain		(0.05	)	(0.07	)	(0.03	)	—
Total distributions		(0.68	)	(0.73	)	(0.75	)	(0.19	)
Net asset value, end of period		$16.08		$16.27		$16.38		$15.87
Total return (%)³		2.97		4.01		8.09		1.68	⁴
Ratios and supplemental data
Net assets, end of period (in millions)		$39		$7		$2		—	⁵
Ratios (as a percentage of average net assets):
	Expenses before reductions	0.98		1.05		1.03		0.86	⁶
	Expenses including reductions	0.93		0.99		0.98		0.80	⁶
	Net investment income	3.16		3.76		3.88		4.28	⁶
Portfolio turnover (%)		66		77		72		76	⁷


1	The inception date for Class R2 shares is 3-1-12.
2	Based on average daily shares outstanding.
3	Total returns would have been lower had certain expenses not been reduced during the applicable periods.
4	Not annualized.
5	Less than $500,000.
6	Annualized.
7	The portfolio turnover is shown for the period from 6-1-11 to 5-31-12.





Class R6 Shares Period ended		5-31-15		5-31-14		5-31-13		5-31-12	¹
Per share operating performance
Net asset value, beginning of period		$16.28		$16.38		$15.87		$15.55
Net investment income²		0.59		0.68		0.70		0.57
Net realized and unrealized gain (loss) on investments		(0.04	)	0.03		0.61		0.40
Total from investment operations		0.55		0.71		1.31		0.97
Less distributions
From net investment income		(0.70	)	(0.74	)	(0.77	)	(0.64	)
From net realized gain		(0.05	)	(0.07	)	(0.03	)	(0.01	)
Total distributions		(0.75	)	(0.81	)	(0.80	)	(0.65	)
Net asset value, end of period		$16.08		$16.28		$16.38		$15.87
Total return (%)³		3.45		4.58		8.42		6.38	⁴
Ratios and supplemental data
Net assets, end of period (in millions)		$93		$43		$3		$2
Ratios (as a percentage of average net assets):
	Expenses before reductions	0.54		0.56		0.57		0.63	⁵
	Expenses including reductions	0.46		0.50		0.52		0.57	⁵
	Net investment income	3.66		4.26		4.30		5.04	⁵
Portfolio turnover (%)		66		77		72		76	⁶


1	The inception date for Class R6 shares is 9-1-11.
2	Based on average daily shares outstanding.
3	Total returns would have been lower had certain expenses not been reduced during the applicable periods.
4	Not annualized.
5	Annualized.
6	The portfolio turnover is shown for the period from 6-1-11 to 5-31-12.


	Total market value at 5-31-15	Level 1 quoted price	Level 2 significant observable inputs	Level 3 significant unobservable inputs
Corporate bonds	$1,229,999,391	—	$1,229,999,391	—
U.S. Government and Agency obligations	756,633,902	—	756,633,902	—
Foreign government obligations	5,233,956	—	5,233,956	—
Municipal bonds	5,972,967	—	5,972,967	—
Term loans	14,516,071	—	14,516,071	—
Capital preferred securities	29,709,964	—	29,709,964	—
Collateralized mortgage obligations	368,091,494	—	361,747,600	$6,343,894
Asset backed securities	405,943,017	—	405,943,017	—
Preferred securities	29,126,026	$21,713,748	7,412,278	—
Short-term investments	81,285,000	—	81,285,000	—
Total investments in securities	$2,926,511,788	$21,713,748	$2,898,454,146	$6,343,894


	May 31, 2015	May 31, 2014
Ordinary Income	$94,787,378	$80,720,514
Long-Term Capital Gain	5,705,057	4,151,767
Total	$100,492,435	$84,872,281


Risk	Statement of operations location	Investments and foreign currency translations*
Interest rate contracts	Net realized gain (loss)	($1,027,992	)


Risk	Statement of operations location	Investments and translation of assets and liabilities in foreign currencies*
Interest rate contracts	Change in unrealized appreciation (depreciation)	$902,992
Total		$902,992


Class	Expense reduction	Class	Expense reduction
Class A	$876,689	Class R2	$11,646
Class B	17,468	Class R4	10
Class C	115,800	Class R6	48,397
Class I	314,969	Total	$1,384,979


Class	Rule 12b-1 fee	Service fee
Class A	0.30%	—
Class B	1.00%	—
Class C	1.00%	—
Class R2	0.25%	0.25%
Class R4	0.25%	0.10%


Class	Distribution and service fees	Transfer agent fees
Class A	$4,569,591	$1,894,332
Class B	303,104	37,737
Class C	2,014,479	250,312
Class I	—	601,224
Class R2	89,426	3,291
Class R4	45	3
Class R6	—	10,710
Total	$6,976,645	$2,797,609


Borrower or lender	Average loan balance	Days outstanding	Weighted average interest rate	Interest
Lender	$2,800,000	3	0.46%	$107



		Year ended 5-31-15					Year ended 5-31-14
	Shares			Amount		Shares			Amount
Class A shares
Sold	36,489,446			$589,787,612		21,003,026			$334,911,089
Distributions reinvested	3,713,667			60,005,892		3,661,005			58,309,591
Repurchased	(18,665,985		)	(302,037,248	)	(25,475,061		)	(405,398,526	)
Net increase (decrease)	21,537,128			$347,756,256		(811,030		)	($12,177,846	)


Name, year of birth Position(s) held with fund Principal occupation(s) and other directorships during past 5 years	Trustee of the Trust since¹	Number of John Hancock funds overseen by Trustee
James M. Oates, Born: 1946	2012	222
Trustee and Chairperson of the Board Managing Director, Wydown Group (financial consulting firm) (since 1994); Chairman and Director, Emerson Investment Management, Inc. (since 2000); Independent Chairman, Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services company) (1997-2011); Director, Stifel Financial (since 1996); Director, Investor Financial Services Corporation (1995-2007); Director, Connecticut River Bancorp (since 1998); Director, Virtus Funds (formerly Phoenix Mutual Funds) (since 1988). Trustee and Chairperson of the Board, John Hancock Collateral Trust (since 2015); Trustee and Chairperson of the Board, John Hancock retail funds³ (since 2012); Trustee (2005-2006 and since 2012) and Chairperson of the Board (since 2012), John Hancock Funds III; Trustee (since 2004) and Chairperson of the Board (since 2005), John Hancock Variable Insurance Trust; Trustee and Chairperson of the Board, John Hancock Funds II (since 2005).
Charles L. Bardelis,² Born: 1941	2012	222
Trustee Director, Island Commuter Corp. (marine transport). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds³ (since 2012); Trustee, John Hancock Funds III (2005-2006 and since 2012); Trustee, John Hancock Variable Insurance Trust (since 1988); Trustee, John Hancock Funds II (since 2005).
Peter S. Burgess,² Born: 1942	2012	222
Trustee Consultant (financial, accounting, and auditing matters) (since 1999); Certified Public Accountant; Partner, Arthur Andersen (independent public accounting firm) (prior to 1999); Director, Lincoln Educational Services Corporation (since 2004); Director, Symetra Financial Corporation (since 2010); Director, PMA Capital Corporation (2004-2010). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds³ (since 2012); Trustee, John Hancock Funds III (2005-2006 and since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2005).
William H. Cunningham, Born: 1944	2005	222
Trustee Professor, University of Texas, Austin, Texas (since 1971); former Chancellor, University of Texas System and former President of the University of Texas, Austin, Texas; Director, Chairman (since 2009) and Director (since 2006), Lincoln National Corporation (insurance); Director, Southwest Airlines (since 2000); former Director, Introgen (manufacturer of biopharmaceuticals) (until 2008); former Director, Hicks Acquisition Company I, Inc. (until 2007); former Director, Texas Exchange Bank, SSB (formerly Bank of Crowley) (until 2009); former Advisory Director, JP Morgan Chase Bank (formerly Texas Commerce Bank-Austin) (until 2009); former Director, LIN Television (2009-2014). Trustee, John Hancock retail funds³ (since 1986); Trustee, John Hancock Variable Insurance Trust (since 2012); Trustee, John Hancock Funds II (2005-2006 and since 2012); Trustee, John Hancock Collateral Trust (since 2015).
Grace K. Fey, Born: 1946	2012	222
Trustee Chief Executive Officer, Grace Fey Advisors (since 2007); Director and Executive Vice President, Frontier Capital Management Company (1988-2007); Director, Fiduciary Trust (since 2009). Trustee, John Hancock Collateral Trust (since 2015); Trustee, John Hancock retail funds³ (since 2012); Trustee, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2008).


Name, year of birth Position(s) held with fund Principal occupation(s) and other directorships during past 5 years	Officer of the Trust since
Andrew G. Arnott, Born: 1971	2009
Executive Vice President President Senior Vice President, John Hancock Financial Services (since 2009); Director and Executive Vice President, John Hancock Advisers, LLC (since 2005, including prior positions); Director and Executive Vice President, John Hancock Investment Management Services, LLC (since 2006, including prior positions); President, John Hancock Funds, LLC (since 2004, including prior positions); President (effective 3-13-14) and Executive Vice President, John Hancock retail funds,³ John Hancock Variable Insurance Trust, and John Hancock Funds II (since 2007, including prior positions); President, John Hancock Collateral Trust (since 2015).
John J. Danello,Born: 1955	2006
Senior Vice President, Secretary, and Chief Legal Officer Vice President and Chief Counsel, John Hancock Wealth Management (since 2005); Senior Vice President (since 2007) and Chief Legal Counsel (2007-2010), John Hancock Funds, LLC and The Berkeley Financial Group, LLC; Senior Vice President (since 2006, including prior positions) and Chief Legal Officer and Secretary (since 2014), John Hancock retail funds³ and John Hancock Variable Insurance Trust; Senior Vice President, Chief Legal Officer and Secretary (since 2015), John Hancock Collateral Trust; Vice President, John Hancock Life & Health Insurance Company (since 2009); Vice President, John Hancock Life Insurance Company (USA) and John Hancock Life Insurance Company of New York (since 2010); and Senior Vice President, Secretary, and Chief Legal Counsel (2007-2014, including prior positions) of John Hancock Advisers, LLC and John Hancock Investment Management Services, LLC.
Francis V. Knox, Jr.,Born: 1947	2005
Chief Compliance Officer Vice President, John Hancock Financial Services (since 2005); Chief Compliance Officer, John Hancock retail funds,³ John Hancock Variable Insurance Trust, John Hancock Funds II, John Hancock Advisers, LLC, and John Hancock Investment Management Services, LLC (since 2005); Chief Compliance Officer, John Hancock Collateral Trust (since 2015).
Charles A. Rizzo, Born: 1957	2007
Chief Financial Officer Vice President, John Hancock Financial Services (since 2008); Senior Vice President, John Hancock Advisers, LLC and John Hancock Investment Management Services, LLC (since 2008); Chief Financial Officer, John Hancock retail funds,³ John Hancock Variable Insurance Trust and John Hancock Funds II (since 2007); Chief Financial Officer, John Hancock Collateral Trust (since 2015).
Salvatore Schiavone, Born: 1965	2010
Treasurer Assistant Vice President, John Hancock Financial Services (since 2007); Vice President, John Hancock Advisers, LLC and John Hancock Investment Management Services, LLC (since 2007); Treasurer, John Hancock retail funds³ (since 2007, including prior positions); Treasurer, John Hancock Variable Insurance Trust and John Hancock Funds II (since 2010 and 2007-2009, including prior positions); Treasurer, John Hancock Collateral Trust (since 2015).