N-CSRS 1 d288305.htm N-CSRS

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- 4186

John Hancock Income Securities Trust
(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: | October 31
Date of reporting period: | April 30, 2015

ITEM 1. REPORT TO SHAREHOLDERS.

John Hancock

Income Securities Trust

Ticker: JHS Semiannual report 4/30/15

A message to shareholders

Dear fellow shareholder,

U.S. economic growth continued, despite recent weakness caused largely by the harsh winter weather. The market expansion that began in 2009 so far remains intact. Positive economic and business news has translated into good news for U.S. investors, with continued solid results for a range of U.S. equity indexes in recent months. Many fixed-income indexes have also seen positive returns in this environment.

Outside of the United States, economies are struggling to replicate the kind of success we have enjoyed at home. Central banks across Europe and Asia have announced dramatic monetary policy measures to promote economic activity—similar to the monetary policy activity of the U.S. Federal Reserve in recent years. As was the case in the United States beginning in 2009, many international markets have rallied in advance of sustained economic progress. China's stock market in particular has delivered extraordinary gains. In fact, our network of asset managers and research firms believes that government and central bank stimulus may prove to be the biggest driver of international market returns in 2015.

While maintaining adequate portfolio diversification is vital in any market environment, we believe it is especially important today given the unprecedented central bank interventions of the past few years and the very real geopolitical risk around the world. The uncertainty of today's global financial markets is one of the reasons we at John Hancock Investments believe it is important for long-term portfolios to have exposure to a diverse range of investments. Now may be a good time to discuss the resilience of your portfolio with your financial advisor.

On behalf of everyone at John Hancock Investments, I'd like to take this opportunity to welcome new shareholders and to 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 April 30, 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
Income Securities Trust

Table of contents

2 |  | Your fund at a glance
4 |  | Discussion of fund performance
8 |  | Fund's investments
28 |  | Financial statements
32 |  | Financial highlights
33 |  | Notes to financial statements
40 |  | Additional information
41 |  | Shareholder meeting
42 |  | More information

1

Your fund at a glance

INVESTMENT OBJECTIVE

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

AVERAGE ANNUAL TOTAL RETURNS AS OF 4/30/15 (%)

The Barclays U.S. 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.

The fund's most recent performance and annualized distribution rate can be found at www.jhinvestments.com.

The performance data contained within this material represents past performance, which does not guarantee future results.

2

PERFORMANCE HIGHLIGHTS OVER THE LAST SIX MONTHS

Modest gains for the bond market

An environment of modest growth and low inflation helped offset concerns about the potential timing of the U.S. Federal Reserve's first interest-rate increase.

Positions in higher-yielding investment-grade bonds helped

Our decision to favor corporate bonds over U.S. Treasuries and agency mortgage-backed securities was a positive for performance.

Allocation to high-yield bonds detracted

While high-yield bonds finished the period with a gain, they lagged investment-grade bonds.

PORTFOLIO COMPOSITION AS OF 4/30/15 (%)

A note about risks

As is the case with all closed-end funds, shares of this fund may trade at a discount or a premium to the fund's net asset value (NAV). An investment in the fund is subject to investment and market risks, including the possible loss of the entire principal invested. There is no guarantee prior distribution levels will be maintained, and distributions may include a substantial return of capital, which may increase the potential tax gain or reduce the potential tax loss of a subsequent sale of shares of the fund. 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. An issuer of securities held by the fund may default, have its credit rating downgraded, or otherwise perform poorly, which may affect fund performance. 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 fund's use of leverage creates additional risks, including greater volatility of the fund's NAV, market price, and returns. There is no assurance that the fund's leverage strategy will be successful.

3

Discussion of fund performance

An interview with Portfolio Manager Jeffrey N. Given, CFA, John Hancock Asset Management a division of Manulife Asset Management (US) LLC

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

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

The U.S. bond market experienced a modest gain during the six-month reporting period, as gauged by the 2.12% return of the fund's benchmark, the Barclays U.S. Government/Credit Bond Index. On balance, the investment backdrop proved favorable for the bond market. Sluggish growth in the European economy, together with the European Central Bank's announcement of an expanded quantitative easing policy, caused yields to fall significantly across the region (as prices rose). The strength in the European debt markets fed through to the United States, where the relatively high yields on U.S. Treasuries attracted buying interest from global investors. The U.S. market was also helped by the backdrop of modest economic growth and low inflation, which gradually boosted investor confidence that the U.S. Federal Reserve (Fed) could avoid raising interest rates until late in 2015. In this environment, the yield on the 10-year U.S. Treasury note declined from 2.35% on October 31, 2014, to 2.05% on April 30, 2015.

Falling government bond yields, in conjunction with the continued strength in corporate balance sheets, fueled positive performance for investment-grade corporate bonds during the six-month period. High-yield bonds (those rated below investment grade) also finished with a gain, but they lagged their higher-rated counterparts due to the impact of falling oil prices on many energy issuers in the asset class during late 2014. While energy prices subsequently recovered—fueling a concurrent improvement in the high-yield market—the rebound was not enough to make up for the downturn of November and December.

What factors aided the fund's performance results?

The fund finished the semiannual period with a positive total return and outperformed its benchmark.

The fund's performance was helped by its substantial overweight position in investment-grade corporate bonds. We favored this sector on the belief that it offered a solid yield advantage and was positioned to benefit from the favorable credit backdrop. Within the corporate space, the fund was overweight in the financials sector. Unlike companies in the industrials and utilities sectors, regulations prevent financial companies from taking on excessive debt. In many cases, financial firms can't even raise the dividends on their stocks without permission from the Fed. In our view,

4

"The fund's performance was helped by its substantial overweight position in investment-grade corporate bonds."
these factors mean that there is little risk that companies in the financials sector will take actions that are unfavorable for debt investors.

The investment-grade portion of the fund also holds an allocation to securitized debt, a category that includes mortgage-backed securities, asset-backed securities, and collateralized mortgage obligations. In general, we believed these investments offered a better risk/return profile than either U.S. Treasuries or agency mortgage-backed securities. This aspect of the fund's positioning made a positive contribution to the fund's six-month results.

The fund's modest allocation to common stocks also contributed to performance, as U.S. large-cap stocks experienced positive returns during the period. The fund's equity portfolio was aided by its position in Kraft Foods Group, Inc., which gained nearly 50% on news that the company was

QUALITY COMPOSITION AS OF 4/30/15 (%)

5

"The fund's allocation to high-yield bonds, while a positive for absolute returns, detracted from relative performance..."
merging with H.J. Heinz Company. Positions in Stanley Black & Decker, Inc. and the French pharmaceutical giant Sanofi SA further helped performance within the fund's equity allocation.

The fund's yield curve positioning was an additional positive. We added value by tilting toward longer-term bonds over intermediate-term debt, which enabled the fund to capitalize on the flattening of the yield curve.

What factors detracted from performance?

The fund's allocation to high-yield bonds, while a positive for absolute returns, detracted from relative performance at a time in which the asset class lagged investment-grade debt. We continue to see opportunities in high yield, however, as we believe its yield advantage provides a foundation for above-average total returns in a low-yield environment.

In terms of positioning within high yield, the largest change was our decision to reduce the fund's exposure to the energy sector in order to reduce the potential impact of volatility in oil prices. We continued to hold a positive view on the specific securities held in the fund, however, since the portfolio's energy exposure is tilted toward companies that aren't dependent on prices, such as pipeline operators. Revenues for these companies are determined not by the price of oil, but the overall volume of oil and natural gas being moved around the country. Given that production is remaining stable, we believe pipelines can maintain steady earnings despite the volatility in energy prices.

COUNTRY COMPOSITION AS OF 4/30/15 (%)

United States | 88.6
France | 1.8
United Kingdom | 1.4
Luxembourg | 1.2
Netherlands | 1.1
Canada | 0.9
Cayman Islands | 0.7
Mexico | 0.7
Japan | 0.4
Ireland | 0.3
Other countries | 2.9
Total | 100.0
As a percentage of total investments. |

6

How would you characterize your portfolio activity during the past six months?

We continued to manage fund turnover, as we have in recent years. While lower portfolio activity is partially the result of our comfort with the fund's current positioning, it also reflects the generally declining volatility in the credit markets. Our search for opportunities created by short-term market disruptions is a key aspect of our approach, but there is less latitude to put this strategy to work when volatility is low. As a result, we did not make major shifts among asset classes. However, we did continue to employ our opportunistic approach at the individual security level.

In the fund's investment-grade segment, we continued to favor assets such as nonagency mortgage-backed securities, asset-backed securities, and commercial mortgage-backed securities, all of which offer a yield advantage relative to U.S. Treasuries and agency mortgages. We also retained a significant weighting in investment-grade corporate bonds, with an emphasis on bonds that offer attractive yields for the associated risks. We believe both aspects of our approach will help augment the fund's income over time, a potentially important consideration at a time of low prevailing yields.

What are some of the reasons behind the fund's current positioning?

While investors have been focusing a great deal of attention on the timing of the Fed's first interest-rate increase, we don't expect that Fed policy will be a significant issue for the market aside from its potential impact on short-term volatility. The backdrop of low inflation and measured growth should enable the Fed to employ a gradual, well-telegraphed approach, similar to its cycle of rate increases in 2004-2006. We expect that this will contribute to a continuation of the current low-return environment and we continue to seek the most compelling total return opportunities in the higher-yielding segments of the market.

MANAGED BY

| Jeffrey N. Given, CFA On the fund since 2002 Investing since 1993
| Howard C. Greene, CFA On the fund since 2002 Investing since 1979

The views expressed in this report are exclusively those of 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.

7

Fund's investments

| As of 4-30-15 (unaudited) |
|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Corporate bonds 71.5% (48.3% of Total investments) |  |  | $133,174,878 |
| (Cost $127,630,868) |
| Consumer discretionary 8.9% |  |  | 16,525,540 |
| Auto components 1.1% |
| Dana Holding Corp. (Z) |  |  | 6.000 |  |  | 09-15-23 |  |  |  |  |  | 395,000 |  |  | 419,688 |
| Delphi Corp. (Z) |  |  | 5.000 |  |  | 02-15-23 |  |  |  |  |  | 1,005,000 |  |  | 1,082,860 |
| Stackpole International Intermediate Company SA (S)(Z) |  |  | 7.750 |  |  | 10-15-21 |  |  |  |  |  | 245,000 |  |  | 243,775 |
| ZF North America Capital, Inc. (S) |  |  | 4.750 |  |  | 04-29-25 |  |  |  |  |  | 280,000 |  |  | 280,700 |
| Automobiles 2.9% |
| Ford Motor Company (Z) |  |  | 4.750 |  |  | 01-15-43 |  |  |  |  |  | 145,000 |  |  | 151,452 |
| Ford Motor Credit Company LLC (Z) |  |  | 5.875 |  |  | 08-02-21 |  |  |  |  |  | 1,803,000 |  |  | 2,107,586 |
| Ford Motor Credit Company LLC (Z) |  |  | 8.000 |  |  | 12-15-16 |  |  |  |  |  | 330,000 |  |  | 364,225 |
| General Motors Company (Z) |  |  | 4.875 |  |  | 10-02-23 |  |  |  |  |  | 445,000 |  |  | 480,120 |
| General Motors Company (Z) |  |  | 6.250 |  |  | 10-02-43 |  |  |  |  |  | 380,000 |  |  | 453,389 |
| General Motors Financial Company, Inc. |  |  | 3.450 |  |  | 04-10-22 |  |  |  |  |  | 430,000 |  |  | 427,185 |
| General Motors Financial Company, Inc. (Z) |  |  | 4.000 |  |  | 01-15-25 |  |  |  |  |  | 550,000 |  |  | 553,630 |
| General Motors Financial Company, Inc. (Z) |  |  | 4.375 |  |  | 09-25-21 |  |  |  |  |  | 315,000 |  |  | 334,650 |
| Nissan Motor Acceptance Corp. (S)(Z) |  |  | 1.950 |  |  | 09-12-17 |  |  |  |  |  | 490,000 |  |  | 497,850 |
| Hotels, restaurants and leisure 0.9% |
| CCM Merger, Inc. (S)(Z) |  |  | 9.125 |  |  | 05-01-19 |  |  |  |  |  | 380,000 |  |  | 412,775 |
| International Game Technology PLC (S) |  |  | 6.500 |  |  | 02-15-25 |  |  |  |  |  | 225,000 |  |  | 218,250 |
| MGM Resorts International (Z) |  |  | 6.000 |  |  | 03-15-23 |  |  |  |  |  | 455,000 |  |  | 470,925 |
| Seminole Tribe of Florida, Inc. (S)(Z) |  |  | 6.535 |  |  | 10-01-20 |  |  |  |  |  | 575,000 |  |  | 623,875 |
| Waterford Gaming LLC (H)(S) |  |  | 8.625 |  |  | 09-15-49 |  |  |  |  |  | 99,739 |  |  | 0 |
| Household durables 0.2% |
| Argos Merger Sub, Inc. (S)(Z) |  |  | 7.125 |  |  | 03-15-23 |  |  |  |  |  | 120,000 |  |  | 126,000 |
| DR Horton, Inc. (Z) |  |  | 4.000 |  |  | 02-15-20 |  |  |  |  |  | 165,000 |  |  | 167,475 |
| Internet and catalog retail 0.8% |
| Amazon.com, Inc. (Z) |  |  | 4.950 |  |  | 12-05-44 |  |  |  |  |  | 515,000 |  |  | 546,473 |
| QVC, Inc. (Z) |  |  | 4.375 |  |  | 03-15-23 |  |  |  |  |  | 325,000 |  |  | 328,748 |
| QVC, Inc. (Z) |  |  | 5.125 |  |  | 07-02-22 |  |  |  |  |  | 255,000 |  |  | 268,303 |
| QVC, Inc. (Z) |  |  | 5.450 |  |  | 08-15-34 |  |  |  |  |  | 315,000 |  |  | 303,940 |
| Media 1.9% |
| 21st Century Fox America, Inc. |  |  | 6.150 |  |  | 03-01-37 |  |  |  |  |  | 165,000 |  |  | 202,239 |
| 21st Century Fox America, Inc. |  |  | 6.400 |  |  | 12-15-35 |  |  |  |  |  | 150,000 |  |  | 192,213 |
| 21st Century Fox America, Inc. |  |  | 7.750 |  |  | 01-20-24 |  |  |  |  |  | 1,020,000 |  |  | 1,312,704 |
| Altice Financing SA (S)(Z) |  |  | 6.625 |  |  | 02-15-23 |  |  |  |  |  | 200,000 |  |  | 206,000 |
| AMC Entertainment, Inc. (Z) |  |  | 5.875 |  |  | 02-15-22 |  |  |  |  |  | 390,000 |  |  | 404,625 |
| Sirius XM Radio, Inc. (S)(Z) |  |  | 5.250 |  |  | 08-15-22 |  |  |  |  |  | 845,000 |  |  | 893,588 |
| Time Warner Cable, Inc. (Z) |  |  | 8.250 |  |  | 04-01-19 |  |  |  |  |  | 350,000 |  |  | 411,072 |

8 SEE NOTES TO FINANCIAL STATEMENTS

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Consumer discretionary (continued) |  |  |  |
| Multiline retail 0.5% |
| Family Tree Escrow LLC (S)(Z) |  |  | 5.750 |  |  | 03-01-23 |  |  |  |  |  | 225,000 |  |  | $236,250 |
| Macy's Retail Holdings, Inc. (Z) |  |  | 7.875 |  |  | 08-15-36 |  |  |  |  |  | 444,000 |  |  | 479,025 |
| Tops Holding II Corp. (Z) |  |  | 8.750 |  |  | 06-15-18 |  |  |  |  |  | 235,000 |  |  | 229,125 |
| Specialty retail 0.4% |
| AutoNation, Inc. (Z) |  |  | 5.500 |  |  | 02-01-20 |  |  |  |  |  | 655,000 |  |  | 720,500 |
| Textiles, apparel and luxury goods 0.2% |
| Hot Topic, Inc. (S)(Z) |  |  | 9.250 |  |  | 06-15-21 |  |  |  |  |  | 345,000 |  |  | 374,325 |
| Consumer staples 1.7% |  |  | 3,199,683 |
| Beverages 0.5% |
| Constellation Brands, Inc. (Z) |  |  | 4.250 |  |  | 05-01-23 |  |  |  |  |  | 355,000 |  |  | 365,206 |
| Constellation Brands, Inc. (Z) |  |  | 4.750 |  |  | 11-15-24 |  |  |  |  |  | 180,000 |  |  | 190,800 |
| Pernod-Ricard SA (S)(Z) |  |  | 5.750 |  |  | 04-07-21 |  |  |  |  |  | 325,000 |  |  | 374,946 |
| Food and staples retailing 0.0% |
| Rite Aid Corp. (S) |  |  | 6.125 |  |  | 04-01-23 |  |  |  |  |  | 65,000 |  |  | 67,356 |
| Food products 0.5% |
| Bunge, Ltd. Finance Corp. (Z) |  |  | 8.500 |  |  | 06-15-19 |  |  |  |  |  | 389,000 |  |  | 476,965 |
| HJ Heinz Company (S) |  |  | 4.875 |  |  | 02-15-25 |  |  |  |  |  | 430,000 |  |  | 469,560 |
| Personal products 0.2% |
| Prestige Brands, Inc. (S)(Z) |  |  | 5.375 |  |  | 12-15-21 |  |  |  |  |  | 260,000 |  |  | 263,250 |
| Tobacco 0.5% |
| Alliance One International, Inc. (Z) |  |  | 9.875 |  |  | 07-15-21 |  |  |  |  |  | 820,000 |  |  | 713,400 |
| Vector Group, Ltd. (Z) |  |  | 7.750 |  |  | 02-15-21 |  |  |  |  |  | 260,000 |  |  | 278,200 |
| Energy 9.1% |  |  | 16,994,659 |
| Energy equipment and services 1.0% |
| Nostrum Oil & Gas Finance BV (S)(Z) |  |  | 6.375 |  |  | 02-14-19 |  |  |  |  |  | 345,000 |  |  | 328,613 |
| RKI Exploration & Production LLC (S)(Z) |  |  | 8.500 |  |  | 08-01-21 |  |  |  |  |  | 220,000 |  |  | 217,800 |
| Rowan Companies, Inc. (Z) |  |  | 4.875 |  |  | 06-01-22 |  |  |  |  |  | 330,000 |  |  | 320,752 |
| SESI LLC (Z) |  |  | 7.125 |  |  | 12-15-21 |  |  |  |  |  | 576,000 |  |  | 599,040 |
| Teine Energy, Ltd. (S)(Z) |  |  | 6.875 |  |  | 09-30-22 |  |  |  |  |  | 245,000 |  |  | 243,163 |
| TerraForm Power Operating LLC (S)(Z) |  |  | 5.875 |  |  | 02-01-23 |  |  |  |  |  | 110,000 |  |  | 114,675 |
| Oil, gas and consumable fuels 8.1% |
| California Resources Corp. |  |  | 5.500 |  |  | 09-15-21 |  |  |  |  |  | 250,000 |  |  | 236,875 |
| California Resources Corp. |  |  | 6.000 |  |  | 11-15-24 |  |  |  |  |  | 540,000 |  |  | 508,275 |
| Chesapeake Energy Corp. (Z) |  |  | 5.750 |  |  | 03-15-23 |  |  |  |  |  | 485,000 |  |  | 465,600 |
| Cimarex Energy Company (Z) |  |  | 4.375 |  |  | 06-01-24 |  |  |  |  |  | 515,000 |  |  | 521,438 |
| CNOOC Finance 2013, Ltd. (Z) |  |  | 3.000 |  |  | 05-09-23 |  |  |  |  |  | 420,000 |  |  | 406,853 |
| Continental Resources, Inc. (Z) |  |  | 5.000 |  |  | 09-15-22 |  |  |  |  |  | 795,000 |  |  | 806,925 |
| CSI Compressco LP (S)(Z) |  |  | 7.250 |  |  | 08-15-22 |  |  |  |  |  | 235,000 |  |  | 213,850 |
| DCP Midstream LLC (S) |  |  | 9.750 |  |  | 03-15-19 |  |  |  |  |  | 405,000 |  |  | 462,563 |

SEE NOTES TO FINANCIAL STATEMENTS 9

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Energy (continued) |  |  |  |
| Oil, gas and consumable fuels (continued) |
| DCP Midstream LLC (5.850% to 5-21-23, then 3 month LIBOR + 3.850%) (S)(Z) |  |  | 5.850 |  |  | 05-21-43 |  |  |  |  |  | 370,000 |  |  | $279,350 |
| DCP Midstream Operating LP (Z) |  |  | 3.875 |  |  | 03-15-23 |  |  |  |  |  | 225,000 |  |  | 207,012 |
| Denbury Resources, Inc. (Z) |  |  | 5.500 |  |  | 05-01-22 |  |  |  |  |  | 255,000 |  |  | 241,613 |
| Ecopetrol SA (Z) |  |  | 5.875 |  |  | 09-18-23 |  |  |  |  |  | 190,000 |  |  | 206,388 |
| Energy Transfer Partners LP |  |  | 5.150 |  |  | 03-15-45 |  |  |  |  |  | 345,000 |  |  | 336,100 |
| Energy Transfer Partners LP (Z) |  |  | 9.700 |  |  | 03-15-19 |  |  |  |  |  | 425,000 |  |  | 532,278 |
| Enterprise Products Operating LLC (7.000% to 6-1-17, then 3 month LIBOR + 2.777%) (Z) |  |  | 7.000 |  |  | 06-01-67 |  |  |  |  |  | 695,000 |  |  | 705,425 |
| Enterprise Products Operating LLC (8.375% to 8-1-16, then 3 month LIBOR + 3.708%) (Z) |  |  | 8.375 |  |  | 08-01-66 |  |  |  |  |  | 440,000 |  |  | 467,588 |
| EP Energy LLC (Z) |  |  | 7.750 |  |  | 09-01-22 |  |  |  |  |  | 195,000 |  |  | 204,750 |
| EV Energy Partners LP (Z) |  |  | 8.000 |  |  | 04-15-19 |  |  |  |  |  | 400,000 |  |  | 388,000 |
| Freeport-McMoran Oil & Gas LLC (Z) |  |  | 6.750 |  |  | 02-01-22 |  |  |  |  |  | 458,000 |  |  | 489,602 |
| Freeport-McMoran Oil & Gas LLC (Z) |  |  | 6.875 |  |  | 02-15-23 |  |  |  |  |  | 156,000 |  |  | 167,700 |
| FTS International, Inc. (S)(Z) |  |  | 6.250 |  |  | 05-01-22 |  |  |  |  |  | 175,000 |  |  | 139,125 |
| Halcon Resources Corp. (Z) |  |  | 8.875 |  |  | 05-15-21 |  |  |  |  |  | 295,000 |  |  | 230,395 |
| Jones Energy Holdings LLC (Z) |  |  | 6.750 |  |  | 04-01-22 |  |  |  |  |  | 150,000 |  |  | 148,500 |
| Kerr-McGee Corp. (Z) |  |  | 6.950 |  |  | 07-01-24 |  |  |  |  |  | 335,000 |  |  | 420,049 |
| Kinder Morgan Energy Partners LP (Z) |  |  | 7.750 |  |  | 03-15-32 |  |  |  |  |  | 195,000 |  |  | 234,522 |
| Kinder Morgan, Inc. |  |  | 5.550 |  |  | 06-01-45 |  |  |  |  |  | 355,000 |  |  | 354,315 |
| Kosmos Energy, Ltd. (S)(Z) |  |  | 7.875 |  |  | 08-01-21 |  |  |  |  |  | 220,000 |  |  | 213,400 |
| Lukoil International Finance BV (S)(Z) |  |  | 3.416 |  |  | 04-24-18 |  |  |  |  |  | 675,000 |  |  | 635,513 |
| MarkWest Energy Partners LP (Z) |  |  | 4.875 |  |  | 12-01-24 |  |  |  |  |  | 160,000 |  |  | 165,504 |
| MPLX LP (Z) |  |  | 4.000 |  |  | 02-15-25 |  |  |  |  |  | 150,000 |  |  | 150,938 |
| Newfield Exploration Company (Z) |  |  | 5.750 |  |  | 01-30-22 |  |  |  |  |  | 260,000 |  |  | 275,600 |
| Pacific Rubiales Energy Corp. (S)(Z) |  |  | 5.375 |  |  | 01-26-19 |  |  |  |  |  | 335,000 |  |  | 262,205 |
| Petro-Canada (Z) |  |  | 9.250 |  |  | 10-15-21 |  |  |  |  |  | 1,000,000 |  |  | 1,354,212 |
| Petroleos Mexicanos (S)(Z) |  |  | 4.250 |  |  | 01-15-25 |  |  |  |  |  | 125,000 |  |  | 125,750 |
| Petroleos Mexicanos (Z) |  |  | 4.875 |  |  | 01-24-22 |  |  |  |  |  | 275,000 |  |  | 290,813 |
| Regency Energy Partners LP (Z) |  |  | 5.000 |  |  | 10-01-22 |  |  |  |  |  | 95,000 |  |  | 101,413 |
| Regency Energy Partners LP (Z) |  |  | 5.500 |  |  | 04-15-23 |  |  |  |  |  | 480,000 |  |  | 508,800 |
| Regency Energy Partners LP (Z) |  |  | 5.875 |  |  | 03-01-22 |  |  |  |  |  | 90,000 |  |  | 100,125 |
| Summit Midstream Holdings LLC (Z) |  |  | 7.500 |  |  | 07-01-21 |  |  |  |  |  | 150,000 |  |  | 156,000 |
| Tullow Oil PLC (S)(Z) |  |  | 6.000 |  |  | 11-01-20 |  |  |  |  |  | 230,000 |  |  | 211,600 |
| Tullow Oil PLC (S)(Z) |  |  | 6.250 |  |  | 04-15-22 |  |  |  |  |  | 255,000 |  |  | 233,325 |
| Williams Partners LP (Z) |  |  | 4.875 |  |  | 05-15-23 |  |  |  |  |  | 185,000 |  |  | 187,695 |
| Williams Partners LP (Z) |  |  | 4.875 |  |  | 03-15-24 |  |  |  |  |  | 690,000 |  |  | 707,319 |
| WPX Energy, Inc. (Z) |  |  | 5.250 |  |  | 09-15-24 |  |  |  |  |  | 125,000 |  |  | 115,313 |
| Financials 28.0% |  |  | 52,119,257 |
| Banks 10.9% |
| Banco do Brasil SA (6.250% to 4-15-24, then 10 Year U.S. Treasury + 4.398%) (Q)(S)(Z) |  |  | 6.250 |  |  | 04-15-24 |  |  |  |  |  | 470,000 |  |  | 347,894 |

10 SEE NOTES TO FINANCIAL STATEMENTS

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Financials (continued) |  |  |  |
| Banks (continued) |
| Bank of America Corp. (Z) |  |  | 3.300 |  |  | 01-11-23 |  |  |  |  |  | 260,000 |  |  | $260,509 |
| Bank of America Corp. |  |  | 3.950 |  |  | 04-21-25 |  |  |  |  |  | 135,000 |  |  | 133,133 |
| Bank of America Corp. (Z) |  |  | 4.200 |  |  | 08-26-24 |  |  |  |  |  | 280,000 |  |  | 282,988 |
| Bank of America Corp. (Z) |  |  | 4.250 |  |  | 10-22-26 |  |  |  |  |  | 265,000 |  |  | 265,700 |
| Bank of America Corp. (Z) |  |  | 5.000 |  |  | 05-13-21 |  |  |  |  |  | 670,000 |  |  | 750,923 |
| Bank of America Corp. (Z) |  |  | 6.875 |  |  | 04-25-18 |  |  |  |  |  | 1,000,000 |  |  | 1,142,697 |
| Bank of America Corp. (6.250% to 9-5-24, then 3 month LIBOR + 3.705%) (Q)(Z) |  |  | 6.250 |  |  | 09-05-24 |  |  |  |  |  | 470,000 |  |  | 481,456 |
| Bank of America Corp. (8.000% to 1-30-18, then 3 month LIBOR + 3.630%) (Q)(Z) |  |  | 8.000 |  |  | 01-30-18 |  |  |  |  |  | 435,000 |  |  | 464,906 |
| Barclays Bank PLC (S)(Z) |  |  | 10.179 |  |  | 06-12-21 |  |  |  |  |  | 575,000 |  |  | 776,133 |
| BPCE SA (S)(Z) |  |  | 4.500 |  |  | 03-15-25 |  |  |  |  |  | 475,000 |  |  | 479,103 |
| BPCE SA (S)(Z) |  |  | 5.700 |  |  | 10-22-23 |  |  |  |  |  | 645,000 |  |  | 704,074 |
| Commerzbank AG (S)(Z) |  |  | 8.125 |  |  | 09-19-23 |  |  |  |  |  | 350,000 |  |  | 422,625 |
| Credit Agricole SA (6.625% to 9-23-19, then 5 Year U.S. Swap Rate + 4.697%) (Q)(S)(Z) |  |  | 6.625 |  |  | 09-23-19 |  |  |  |  |  | 450,000 |  |  | 454,708 |
| Credit Agricole SA (7.875% to 1-23-24, then 5 year U.S. Swap Rate + 4.898%) (Q)(S)(Z) |  |  | 7.875 |  |  | 01-23-24 |  |  |  |  |  | 600,000 |  |  | 641,597 |
| Credit Agricole SA (8.125% to 9-19-18, then 5 Year U.S. Swap Rate + 6.283%) (S)(Z) |  |  | 8.125 |  |  | 09-19-33 |  |  |  |  |  | 250,000 |  |  | 282,188 |
| Fifth Third Bancorp (5.100% to 6-30-23, then 3 month LIBOR + 3.033%) (Q)(Z) |  |  | 5.100 |  |  | 06-30-23 |  |  |  |  |  | 420,000 |  |  | 399,840 |
| HBOS PLC (S)(Z) |  |  | 6.750 |  |  | 05-21-18 |  |  |  |  |  | 825,000 |  |  | 922,449 |
| HSBC Holdings PLC (6.375% to 9-17-24, then 5 Year U.S. ISDAFIX + 3.705%) (Q)(Z) |  |  | 6.375 |  |  | 09-17-24 |  |  |  |  |  | 200,000 |  |  | 206,800 |
| ING Bank NV (S)(Z) |  |  | 5.800 |  |  | 09-25-23 |  |  |  |  |  | 500,000 |  |  | 562,801 |
| JPMorgan Chase & Co. (Z) |  |  | 4.625 |  |  | 05-10-21 |  |  |  |  |  | 895,000 |  |  | 992,137 |
| JPMorgan Chase & Co. (5.000% to 7-1-19, then 3 month LIBOR + 3.320%) (Q)(Z) |  |  | 5.000 |  |  | 07-01-19 |  |  |  |  |  | 520,000 |  |  | 510,900 |
| JPMorgan Chase & Co. (5.150% to 5-1-23, then 3 month LIBOR + 3.250%) (Q) |  |  | 5.150 |  |  | 05-01-23 |  |  |  |  |  | 375,000 |  |  | 363,516 |
| JPMorgan Chase & Co. (6.750% to 2-1-24, then 3 month LIBOR + 3.780%) (Q)(Z) |  |  | 6.750 |  |  | 02-01-24 |  |  |  |  |  | 805,000 |  |  | 879,302 |
| JPMorgan Chase & Co. (7.900% to 4-30-18, then 3 month LIBOR + 3.470%) (Q)(Z) |  |  | 7.900 |  |  | 04-30-18 |  |  |  |  |  | 655,000 |  |  | 697,575 |
| Lloyds Banking Group PLC (7.500% to 6-27-24, then 5 Year U.S. Swap Rate + 4.760%) (Q)(Z) |  |  | 7.500 |  |  | 06-27-24 |  |  |  |  |  | 385,000 |  |  | 410,988 |
| Manufacturers & Traders Trust Company (5.629% to 12-1-16, then 3 month LIBOR + 6.400%) (Z) |  |  | 5.629 |  |  | 12-01-21 |  |  |  |  |  | 485,000 |  |  | 501,733 |
| Mizuho Financial Group Cayman 3, Ltd. (S)(Z) |  |  | 4.600 |  |  | 03-27-24 |  |  |  |  |  | 435,000 |  |  | 463,560 |
| Rabobank Nederland NV (Z) |  |  | 3.875 |  |  | 02-08-22 |  |  |  |  |  | 905,000 |  |  | 968,496 |
| Societe Generale SA (8.250% to 11-29-18, then 5 Year U.S. Swap Rate + 6.394%) (Q) |  |  | 8.250 |  |  | 11-29-18 |  |  |  |  |  | 385,000 |  |  | 409,063 |
| Swedbank AB (S)(Z) |  |  | 2.125 |  |  | 09-29-17 |  |  |  |  |  | 460,000 |  |  | 466,733 |
| Synovus Financial Corp. (Z) |  |  | 7.875 |  |  | 02-15-19 |  |  |  |  |  | 200,000 |  |  | 226,000 |

SEE NOTES TO FINANCIAL STATEMENTS 11

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Financials (continued) |  |  |  |
| Banks (continued) |
| The PNC Financial Services Group, Inc. (P)(Q)(Z) |  |  | 4.482 |  |  | 05-04-15 |  |  |  |  |  | 250,000 |  |  | $250,395 |
| The PNC Financial Services Group, Inc. (4.850% to 6-1-23, then 3 month LIBOR + 3.040%) (Q)(Z) |  |  | 4.850 |  |  | 06-01-23 |  |  |  |  |  | 310,000 |  |  | 301,863 |
| The PNC Financial Services Group, Inc. (6.750% to 8-1-21, then 3 month LIBOR + 3.678%) (Q)(Z) |  |  | 6.750 |  |  | 08-01-21 |  |  |  |  |  | 520,000 |  |  | 584,480 |
| Wells Fargo & Company (5.875% to 6-15-25, then 3 month LIBOR + 3.990%) (Q)(Z) |  |  | 5.875 |  |  | 06-15-25 |  |  |  |  |  | 315,000 |  |  | 334,294 |
| Wells Fargo & Company (5.900% to 6-15-24, then 3 month LIBOR + 3.110%) (Q)(Z) |  |  | 5.900 |  |  | 06-15-24 |  |  |  |  |  | 655,000 |  |  | 686,113 |
| Wells Fargo & Company, Series K (7.980% to 3-15-18, then 3 month LIBOR + 3.770%) (Q)(Z) |  |  | 7.980 |  |  | 03-15-18 |  |  |  |  |  | 750,000 |  |  | 827,813 |
| Wells Fargo Bank NA (Z) |  |  | 5.850 |  |  | 02-01-37 |  |  |  |  |  | 390,000 |  |  | 487,355 |
| Capital markets 4.8% |
| Ares Capital Corp. (Z) |  |  | 3.875 |  |  | 01-15-20 |  |  |  |  |  | 430,000 |  |  | 437,226 |
| Credit Suisse Group AG (7.500% to 12-11-23, then 5 year U.S. Swap Rate + 4.598%) (Q)(S)(Z) |  |  | 7.500 |  |  | 12-11-23 |  |  |  |  |  | 295,000 |  |  | 315,650 |
| FS Investment Corp. (Z) |  |  | 4.000 |  |  | 07-15-19 |  |  |  |  |  | 435,000 |  |  | 440,768 |
| Jefferies Group LLC (Z) |  |  | 6.875 |  |  | 04-15-21 |  |  |  |  |  | 1,005,000 |  |  | 1,143,055 |
| Jefferies Group LLC (Z) |  |  | 8.500 |  |  | 07-15-19 |  |  |  |  |  | 235,000 |  |  | 280,894 |
| Morgan Stanley (Z) |  |  | 4.100 |  |  | 05-22-23 |  |  |  |  |  | 660,000 |  |  | 677,269 |
| Morgan Stanley (Z) |  |  | 4.300 |  |  | 01-27-45 |  |  |  |  |  | 235,000 |  |  | 230,997 |
| Morgan Stanley (Z) |  |  | 5.500 |  |  | 01-26-20 |  |  |  |  |  | 450,000 |  |  | 509,878 |
| Morgan Stanley (Z) |  |  | 5.550 |  |  | 04-27-17 |  |  |  |  |  | 565,000 |  |  | 609,465 |
| Morgan Stanley (Z) |  |  | 7.300 |  |  | 05-13-19 |  |  |  |  |  | 895,000 |  |  | 1,063,093 |
| Morgan Stanley (5.550% to 7-15-20, then 3 month LIBOR + 3.810%) (Q) |  |  | 5.550 |  |  | 07-15-20 |  |  |  |  |  | 325,000 |  |  | 326,625 |
| Stifel Financial Corp. (Z) |  |  | 4.250 |  |  | 07-18-24 |  |  |  |  |  | 315,000 |  |  | 317,840 |
| The Bear Stearns Companies LLC (Z) |  |  | 7.250 |  |  | 02-01-18 |  |  |  |  |  | 1,000,000 |  |  | 1,146,336 |
| The Goldman Sachs Group, Inc. (Z) |  |  | 5.250 |  |  | 07-27-21 |  |  |  |  |  | 1,195,000 |  |  | 1,352,735 |
| The Goldman Sachs Group, Inc. (Z) |  |  | 5.750 |  |  | 01-24-22 |  |  |  |  |  | 105,000 |  |  | 121,683 |
| Consumer finance 1.8% |
| Capital One Financial Corp. (Z) |  |  | 2.450 |  |  | 04-24-19 |  |  |  |  |  | 470,000 |  |  | 474,600 |
| Capital One Financial Corp. (Z) |  |  | 3.500 |  |  | 06-15-23 |  |  |  |  |  | 1,100,000 |  |  | 1,120,188 |
| Credito Real SAB de CV (S)(Z) |  |  | 7.500 |  |  | 03-13-19 |  |  |  |  |  | 325,000 |  |  | 341,250 |
| Discover Financial Services (Z) |  |  | 3.950 |  |  | 11-06-24 |  |  |  |  |  | 370,000 |  |  | 374,581 |
| Discover Financial Services (Z) |  |  | 5.200 |  |  | 04-27-22 |  |  |  |  |  | 585,000 |  |  | 647,646 |
| Enova International, Inc. |  |  | 9.750 |  |  | 06-01-21 |  |  |  |  |  | 390,000 |  |  | 382,200 |
| Diversified financial services 2.7% |
| Doric Nimrod Air Alpha 2013-1 Class A Pass Through Trust (S)(Z) |  |  | 5.250 |  |  | 05-30-25 |  |  |  |  |  | 383,472 |  |  | 407,439 |
| Doric Nimrod Air Alpha 2013-1 Class B Pass Through Trust (S)(Z) |  |  | 6.125 |  |  | 11-30-21 |  |  |  |  |  | 256,388 |  |  | 273,695 |
| Doric Nimrod Air Finance Alpha, Ltd. 2012-1 Class A Pass Through Trust (S)(Z) |  |  | 5.125 |  |  | 11-30-24 |  |  |  |  |  | 227,262 |  |  | 240,912 |

12 SEE NOTES TO FINANCIAL STATEMENTS

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Financials (continued) |  |  |  |
| Diversified financial services (continued) |
| General Electric Capital Corp. (Z) |  |  | 4.375 |  |  | 09-16-20 |  |  |  |  |  | 365,000 |  |  | $406,495 |
| General Electric Capital Corp. (Z) |  |  | 5.550 |  |  | 05-04-20 |  |  |  |  |  | 430,000 |  |  | 500,116 |
| General Electric Capital Corp. (7.125% until 6-15-22, then 3 month LIBOR + 5.296%) (Q)(Z) |  |  | 7.125 |  |  | 06-15-22 |  |  |  |  |  | 600,000 |  |  | 697,500 |
| Leucadia National Corp. (Z) |  |  | 5.500 |  |  | 10-18-23 |  |  |  |  |  | 655,000 |  |  | 671,934 |
| Nationstar Mortgage LLC (Z) |  |  | 7.875 |  |  | 10-01-20 |  |  |  |  |  | 340,000 |  |  | 350,200 |
| Nationstar Mortgage LLC (Z) |  |  | 9.625 |  |  | 05-01-19 |  |  |  |  |  | 295,000 |  |  | 315,650 |
| NewStar Financial, Inc. (S) |  |  | 7.250 |  |  | 05-01-20 |  |  |  |  |  | 360,000 |  |  | 364,500 |
| Voya Financial, Inc. (5.650% to 5-15-23, then 3 month LIBOR + 3.580%) (Z) |  |  | 5.650 |  |  | 05-15-53 |  |  |  |  |  | 674,000 |  |  | 706,015 |
| Insurance 3.1% |
| American International Group, Inc. (Z) |  |  | 4.125 |  |  | 02-15-24 |  |  |  |  |  | 295,000 |  |  | 317,353 |
| Aquarius + Investments PLC (6.375% to 9-1-19, then 5 Year U.S. Swap Rate + 5.210%) |  |  | 6.375 |  |  | 09-01-24 |  |  |  |  |  | 235,000 |  |  | 251,029 |
| Assured Guaranty US Holdings, Inc. (Z) |  |  | 5.000 |  |  | 07-01-24 |  |  |  |  |  | 465,000 |  |  | 491,178 |
| AXA SA (Z) |  |  | 8.600 |  |  | 12-15-30 |  |  |  |  |  | 175,000 |  |  | 244,909 |
| AXA SA (6.379% to 12-14-36, then 3 month LIBOR + 2.256%) (Q)(S)(Z) |  |  | 6.379 |  |  | 12-14-36 |  |  |  |  |  | 240,000 |  |  | 269,100 |
| CNA Financial Corp. (Z) |  |  | 7.250 |  |  | 11-15-23 |  |  |  |  |  | 320,000 |  |  | 393,981 |
| Liberty Mutual Group, Inc. (7.800% to 3-15-37, then 3 month LIBOR +3.576%) (S)(Z) |  |  | 7.800 |  |  | 03-07-87 |  |  |  |  |  | 705,000 |  |  | 867,221 |
| MetLife, Inc. (Z) |  |  | 6.400 |  |  | 12-15-66 |  |  |  |  |  | 305,000 |  |  | 359,138 |
| Nippon Life Insurance Company (5.000% to 10-18-22, then 3 month LIBOR + 4.240%) (S)(Z) |  |  | 5.000 |  |  | 10-18-42 |  |  |  |  |  | 310,000 |  |  | 334,456 |
| Nippon Life Insurance Company (5.100% to 10-16-24, then 5 Year U.S. ISDAFIX + 3.650%) (S)(Z) |  |  | 5.100 |  |  | 10-16-44 |  |  |  |  |  | 365,000 |  |  | 398,763 |
| Pacific LifeCorp. (S)(Z) |  |  | 6.000 |  |  | 02-10-20 |  |  |  |  |  | 245,000 |  |  | 278,920 |
| Prudential Financial, Inc. (5.200% to 3-15-24, then 3 month LIBOR + 3.040%) (Z) |  |  | 5.200 |  |  | 03-15-44 |  |  |  |  |  | 110,000 |  |  | 113,025 |
| Prudential Financial, Inc. (5.875% to 9-15-22, then 3 month LIBOR + 4.175%) (Z) |  |  | 5.875 |  |  | 09-15-42 |  |  |  |  |  | 142,000 |  |  | 154,070 |
| Sirius International Group, Ltd. (7.506% to 6-30-17, then 3 month LIBOR + 3.200%) (Q)(S)(Z) |  |  | 7.506 |  |  | 06-30-17 |  |  |  |  |  | 485,000 |  |  | 508,038 |
| Teachers Insurance & Annuity Association of America (S)(Z) |  |  | 6.850 |  |  | 12-16-39 |  |  |  |  |  | 555,000 |  |  | 748,586 |
| XLIT, Ltd. (Z) |  |  | 4.450 |  |  | 03-31-25 |  |  |  |  |  | 120,000 |  |  | 120,851 |
| Real estate investment trusts 4.6% |
| American Tower Corp. (Z) |  |  | 3.400 |  |  | 02-15-19 |  |  |  |  |  | 225,000 |  |  | 233,189 |
| American Tower Corp. (Z) |  |  | 4.700 |  |  | 03-15-22 |  |  |  |  |  | 400,000 |  |  | 426,259 |
| ARC Properties Operating Partnership LP |  |  | 4.600 |  |  | 02-06-24 |  |  |  |  |  | 523,000 |  |  | 513,194 |
| Crown Castle Towers LLC (S)(Z) |  |  | 4.883 |  |  | 08-15-40 |  |  |  |  |  | 710,000 |  |  | 777,414 |
| Crown Castle Towers LLC (S)(Z) |  |  | 6.113 |  |  | 01-15-40 |  |  |  |  |  | 451,000 |  |  | 513,872 |
| DDR Corp. (Z) |  |  | 7.500 |  |  | 04-01-17 |  |  |  |  |  | 880,000 |  |  | 974,340 |
| Education Realty Operating Partnership LP |  |  | 4.600 |  |  | 12-01-24 |  |  |  |  |  | 270,000 |  |  | 280,363 |
| Goodman Funding Pty, Ltd. (S)(Z) |  |  | 6.375 |  |  | 04-15-21 |  |  |  |  |  | 645,000 |  |  | 753,673 |

SEE NOTES TO FINANCIAL STATEMENTS 13

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Financials (continued) |  |  |  |
| Real estate investment trusts (continued) |
| Health Care REIT, Inc. (Z) |  |  | 4.950 |  |  | 01-15-21 |  |  |  |  |  | 190,000 |  |  | $211,081 |
| Highwoods Realty LP (Z) |  |  | 5.850 |  |  | 03-15-17 |  |  |  |  |  | 310,000 |  |  | 334,107 |
| Host Hotels & Resorts LP (Z) |  |  | 5.875 |  |  | 06-15-19 |  |  |  |  |  | 439,000 |  |  | 453,955 |
| Iron Mountain, Inc. (Z) |  |  | 6.000 |  |  | 08-15-23 |  |  |  |  |  | 440,000 |  |  | 468,600 |
| iStar Financial, Inc. |  |  | 5.000 |  |  | 07-01-19 |  |  |  |  |  | 135,000 |  |  | 134,494 |
| MPT Operating Partnership LP (Z) |  |  | 6.375 |  |  | 02-15-22 |  |  |  |  |  | 320,000 |  |  | 345,600 |
| Omega Healthcare Investors, Inc. (S) |  |  | 4.500 |  |  | 01-15-25 |  |  |  |  |  | 280,000 |  |  | 284,161 |
| Omega Healthcare Investors, Inc. |  |  | 4.950 |  |  | 04-01-24 |  |  |  |  |  | 350,000 |  |  | 367,371 |
| USB Realty Corp. (P)(Q)(S)(Z) |  |  | 1.422 |  |  | 01-15-17 |  |  |  |  |  | 800,000 |  |  | 728,000 |
| Ventas Realty LP (Z) |  |  | 3.750 |  |  | 05-01-24 |  |  |  |  |  | 215,000 |  |  | 220,154 |
| Ventas Realty LP (Z) |  |  | 4.750 |  |  | 06-01-21 |  |  |  |  |  | 455,000 |  |  | 501,699 |
| Thrifts and mortgage finance 0.1% |
| Stearns Holdings, Inc. (S) |  |  | 9.375 |  |  | 08-15-20 |  |  |  |  |  | 155,000 |  |  | 153,838 |
| Health care 2.7% |  |  | 5,004,959 |
| Health care equipment and supplies 0.6% |
| Crimson Merger Sub, Inc. (S)(Z) |  |  | 6.625 |  |  | 05-15-22 |  |  |  |  |  | 310,000 |  |  | 275,513 |
| Medtronic, Inc. (S)(Z) |  |  | 4.625 |  |  | 03-15-45 |  |  |  |  |  | 405,000 |  |  | 436,072 |
| Zimmer Holdings, Inc. (Z) |  |  | 3.550 |  |  | 04-01-25 |  |  |  |  |  | 435,000 |  |  | 435,324 |
| Health care providers and services 0.5% |
| HCA, Inc. (Z) |  |  | 5.250 |  |  | 04-15-25 |  |  |  |  |  | 375,000 |  |  | 406,406 |
| Medco Health Solutions, Inc. (Z) |  |  | 7.125 |  |  | 03-15-18 |  |  |  |  |  | 275,000 |  |  | 315,459 |
| WellCare Health Plans, Inc. (Z) |  |  | 5.750 |  |  | 11-15-20 |  |  |  |  |  | 200,000 |  |  | 212,100 |
| Pharmaceuticals 1.6% |
| Actavis Funding SCS (Z) |  |  | 3.800 |  |  | 03-15-25 |  |  |  |  |  | 300,000 |  |  | 303,362 |
| Grifols Worldwide Operations, Ltd. (S)(Z) |  |  | 5.250 |  |  | 04-01-22 |  |  |  |  |  | 350,000 |  |  | 357,875 |
| Hospira, Inc. (Z) |  |  | 6.050 |  |  | 03-30-17 |  |  |  |  |  | 485,000 |  |  | 526,268 |
| Mallinckrodt International Finance SA (S)(Z) |  |  | 5.750 |  |  | 08-01-22 |  |  |  |  |  | 310,000 |  |  | 320,850 |
| Mylan, Inc. (S) |  |  | 7.875 |  |  | 07-15-20 |  |  |  |  |  | 545,000 |  |  | 570,680 |
| Valeant Pharmaceuticals International, Inc. (S)(Z) |  |  | 5.500 |  |  | 03-01-23 |  |  |  |  |  | 110,000 |  |  | 111,100 |
| Valeant Pharmaceuticals International, Inc. (S)(Z) |  |  | 5.625 |  |  | 12-01-21 |  |  |  |  |  | 200,000 |  |  | 204,750 |
| Valeant Pharmaceuticals International, Inc. (S)(Z) |  |  | 6.125 |  |  | 04-15-25 |  |  |  |  |  | 260,000 |  |  | 269,100 |
| Valeant Pharmaceuticals International, Inc. (S)(Z) |  |  | 7.500 |  |  | 07-15-21 |  |  |  |  |  | 240,000 |  |  | 260,100 |
| Industrials 9.7% |  |  | 18,132,508 |
| Aerospace and defense 1.7% |
| Embraer Overseas, Ltd. (S)(Z) |  |  | 5.696 |  |  | 09-16-23 |  |  |  |  |  | 296,000 |  |  | 317,460 |
| Huntington Ingalls Industries, Inc. (S)(Z) |  |  | 5.000 |  |  | 12-15-21 |  |  |  |  |  | 350,000 |  |  | 361,813 |
| Lockheed Martin Corp. (Z) |  |  | 2.900 |  |  | 03-01-25 |  |  |  |  |  | 576,000 |  |  | 575,956 |
| Textron Financial Corp. (6.000% to 2-15-17, then 3 month LIBOR + 1.735%) (S)(Z) |  |  | 6.000 |  |  | 02-15-67 |  |  |  |  |  | 925,000 |  |  | 827,875 |
| Textron, Inc. (Z) |  |  | 3.875 |  |  | 03-01-25 |  |  |  |  |  | 180,000 |  |  | 184,409 |
| Textron, Inc. (Z) |  |  | 5.600 |  |  | 12-01-17 |  |  |  |  |  | 505,000 |  |  | 549,626 |

14 SEE NOTES TO FINANCIAL STATEMENTS

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Industrials (continued) |  |  |  |
| Aerospace and defense (continued) |
| Textron, Inc. (Z) |  |  | 7.250 |  |  | 10-01-19 |  |  |  |  |  | 270,000 |  |  | $320,621 |
| Airlines 4.1% |
| America West Airlines 2000-1 Pass Through Trust (Z) |  |  | 8.057 |  |  | 01-02-22 |  |  |  |  |  | 120,189 |  |  | 138,818 |
| American Airlines 2011-1 Class B Pass Through Trust (S)(Z) |  |  | 7.000 |  |  | 07-31-19 |  |  |  |  |  | 628,799 |  |  | 683,819 |
| American Airlines 2013-2 Class A Pass Through Trust (Z) |  |  | 4.950 |  |  | 07-15-24 |  |  |  |  |  | 325,123 |  |  | 354,774 |
| American Airlines 2015-1 Class B Pass Through Trust |  |  | 3.700 |  |  | 11-01-24 |  |  |  |  |  | 630,000 |  |  | 632,363 |
| British Airways PLC 2013-1 Class A Pass Through Trust (S)(Z) |  |  | 4.625 |  |  | 06-20-24 |  |  |  |  |  | 599,950 |  |  | 647,945 |
| British Airways PLC 2013-1 Class B Pass Through Trust (S)(Z) |  |  | 5.625 |  |  | 12-20-21 |  |  |  |  |  | 239,170 |  |  | 254,716 |
| Continental Airlines 1997-4 Class A Pass Through Trust (Z) |  |  | 6.900 |  |  | 07-02-19 |  |  |  |  |  | 202,990 |  |  | 211,110 |
| Continental Airlines 1998-1 Class A Pass Through Trust (Z) |  |  | 6.648 |  |  | 03-15-19 |  |  |  |  |  | 57,208 |  |  | 59,456 |
| Continental Airlines 1999-1 Class A Pass Through Trust (Z) |  |  | 6.545 |  |  | 08-02-20 |  |  |  |  |  | 148,193 |  |  | 161,900 |
| Continental Airlines 2000-2 Class B Pass Through Trust (Z) |  |  | 8.307 |  |  | 10-02-19 |  |  |  |  |  | 53,536 |  |  | 58,755 |
| Continental Airlines 2007-1 Class A Pass Through Trust (Z) |  |  | 5.983 |  |  | 10-19-23 |  |  |  |  |  | 456,808 |  |  | 513,909 |
| Continental Airlines 2012-1 Class B Pass Through Trust (Z) |  |  | 6.250 |  |  | 10-11-21 |  |  |  |  |  | 191,351 |  |  | 204,267 |
| Delta Air Lines 2002-1 Class G-1 Pass Through Trust (Z) |  |  | 6.718 |  |  | 07-02-24 |  |  |  |  |  | 574,101 |  |  | 665,957 |
| Delta Air Lines 2007-1 Class A Pass Through Trust (Z) |  |  | 6.821 |  |  | 02-10-24 |  |  |  |  |  | 565,791 |  |  | 666,898 |
| Delta Air Lines 2010-1 Class A Pass Through Trust (Z) |  |  | 6.200 |  |  | 01-02-20 |  |  |  |  |  | 139,162 |  |  | 152,730 |
| Delta Air Lines 2011-1 Class A Pass Through Trust (Z) |  |  | 5.300 |  |  | 10-15-20 |  |  |  |  |  | 239,923 |  |  | 261,516 |
| Northwest Airlines 2007-1 Class A Pass Through Trust (Z) |  |  | 7.027 |  |  | 05-01-21 |  |  |  |  |  | 347,337 |  |  | 399,438 |
| UAL 2009-1 Pass Through Trust (Z) |  |  | 10.400 |  |  | 05-01-18 |  |  |  |  |  | 62,211 |  |  | 67,810 |
| UAL 2009-2A Pass Through Trust (Z) |  |  | 9.750 |  |  | 07-15-18 |  |  |  |  |  | 216,069 |  |  | 237,136 |
| United Airlines 2014-2 Class A Pass Through Trust (Z) |  |  | 3.750 |  |  | 03-03-28 |  |  |  |  |  | 435,000 |  |  | 454,575 |
| United Airlines 2014-2 Class B Pass Through Trust (Z) |  |  | 4.625 |  |  | 03-03-22 |  |  |  |  |  | 250,000 |  |  | 257,500 |
| US Airways 2010-1 Class A Pass Through Trust (Z) |  |  | 6.250 |  |  | 10-22-24 |  |  |  |  |  | 393,135 |  |  | 447,191 |
| US Airways 2012-1 Class A Pass Through Trust (Z) |  |  | 5.900 |  |  | 04-01-26 |  |  |  |  |  | 150,869 |  |  | 172,368 |
| Building products 0.5% |
| Masco Corp. (Z) |  |  | 4.450 |  |  | 04-01-25 |  |  |  |  |  | 135,000 |  |  | 139,050 |
| Masco Corp. (Z) |  |  | 7.125 |  |  | 03-15-20 |  |  |  |  |  | 285,000 |  |  | 332,738 |
| Owens Corning (Z) |  |  | 4.200 |  |  | 12-15-22 |  |  |  |  |  | 395,000 |  |  | 409,676 |
| Commercial services and supplies 0.4% |
| Ahern Rentals, Inc. (S)(Z) |  |  | 9.500 |  |  | 06-15-18 |  |  |  |  |  | 195,000 |  |  | 210,405 |
| Casella Waste Systems, Inc. (Z) |  |  | 7.750 |  |  | 02-15-19 |  |  |  |  |  | 365,000 |  |  | 372,300 |
| Safway Group Holding LLC (S)(Z) |  |  | 7.000 |  |  | 05-15-18 |  |  |  |  |  | 180,000 |  |  | 182,250 |
| Construction and engineering 0.2% |
| Tutor Perini Corp. (Z) |  |  | 7.625 |  |  | 11-01-18 |  |  |  |  |  | 335,000 |  |  | 347,563 |
| Electrical equipment 0.1% |
| EnerSys (S) |  |  | 5.000 |  |  | 04-30-23 |  |  |  |  |  | 95,000 |  |  | 96,188 |
| Industrial conglomerates 0.3% |
| Odebrecht Finance, Ltd. (S)(Z) |  |  | 7.125 |  |  | 06-26-42 |  |  |  |  |  | 225,000 |  |  | 200,531 |
| Odebrecht Finance, Ltd. (Q)(S)(Z) |  |  | 7.500 |  |  | 09-14-15 |  |  |  |  |  | 200,000 |  |  | 181,000 |

SEE NOTES TO FINANCIAL STATEMENTS 15

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Industrials (continued) |  |  |  |
| Industrial conglomerates (continued) |
| Tenedora Nemak SA de CV (S)(Z) |  |  | 5.500 |  |  | 02-28-23 |  |  |  |  |  | 210,000 |  |  | $220,521 |
| Machinery 0.4% |
| Optimas OE Solutions Holding LLC (S) |  |  | 8.625 |  |  | 06-01-21 |  |  |  |  |  | 135,000 |  |  | 137,700 |
| SPL Logistics Escrow LLC (S)(Z) |  |  | 8.875 |  |  | 08-01-20 |  |  |  |  |  | 215,000 |  |  | 226,288 |
| Trinity Industries, Inc. (Z) |  |  | 4.550 |  |  | 10-01-24 |  |  |  |  |  | 355,000 |  |  | 350,430 |
| Marine 0.2% |
| Navios South American Logistics, Inc. (S)(Z) |  |  | 7.250 |  |  | 05-01-22 |  |  |  |  |  | 375,000 |  |  | 363,750 |
| Road and rail 0.3% |
| Penske Truck Leasing Company LP (S)(Z) |  |  | 3.375 |  |  | 02-01-22 |  |  |  |  |  | 620,000 |  |  | 616,576 |
| Trading companies and distributors 1.4% |
| Air Lease Corp. (Z) |  |  | 3.375 |  |  | 01-15-19 |  |  |  |  |  | 440,000 |  |  | 452,100 |
| Air Lease Corp. (Z) |  |  | 3.875 |  |  | 04-01-21 |  |  |  |  |  | 215,000 |  |  | 221,988 |
| Air Lease Corp. (Z) |  |  | 4.750 |  |  | 03-01-20 |  |  |  |  |  | 220,000 |  |  | 235,950 |
| Air Lease Corp. (Z) |  |  | 5.625 |  |  | 04-01-17 |  |  |  |  |  | 175,000 |  |  | 187,031 |
| Aircastle, Ltd. (Z) |  |  | 5.500 |  |  | 02-15-22 |  |  |  |  |  | 215,000 |  |  | 229,513 |
| Aircastle, Ltd. (Z) |  |  | 7.625 |  |  | 04-15-20 |  |  |  |  |  | 160,000 |  |  | 186,400 |
| Ashtead Capital, Inc. (S)(Z) |  |  | 5.625 |  |  | 10-01-24 |  |  |  |  |  | 205,000 |  |  | 215,506 |
| International Lease Finance Corp. (S)(Z) |  |  | 7.125 |  |  | 09-01-18 |  |  |  |  |  | 290,000 |  |  | 328,425 |
| United Rentals North America, Inc. (Z) |  |  | 5.500 |  |  | 07-15-25 |  |  |  |  |  | 260,000 |  |  | 263,393 |
| United Rentals North America, Inc. (Z) |  |  | 5.750 |  |  | 11-15-24 |  |  |  |  |  | 320,000 |  |  | 328,800 |
| Transportation infrastructure 0.1% |
| Florida East Coast Holdings Corp. (S)(Z) |  |  | 6.750 |  |  | 05-01-19 |  |  |  |  |  | 255,000 |  |  | 253,725 |
| Information technology 0.9% |  |  | 1,696,636 |
| Communications equipment 0.1% |
| Harris Corp. |  |  | 3.832 |  |  | 04-28-25 |  |  |  |  |  | 170,000 |  |  | 170,848 |
| Internet software and services 0.4% |
| Ancestry.com Holdings LLC, PIK (S)(Z) |  |  | 9.625 |  |  | 10-15-18 |  |  |  |  |  | 135,000 |  |  | 138,375 |
| Ancestry.com, Inc. (Z) |  |  | 11.000 |  |  | 12-15-20 |  |  |  |  |  | 305,000 |  |  | 346,938 |
| VeriSign, Inc. (S)(Z) |  |  | 5.250 |  |  | 04-01-25 |  |  |  |  |  | 265,000 |  |  | 273,931 |
| IT services 0.2% |
| Sixsigma Networks Mexico SA de CV (S)(Z) |  |  | 8.250 |  |  | 11-07-21 |  |  |  |  |  | 275,000 |  |  | 290,125 |
| Semiconductors and semiconductor equipment 0.2% |
| Micron Technology, Inc. (Z) |  |  | 5.875 |  |  | 02-15-22 |  |  |  |  |  | 375,000 |  |  | 394,219 |
| Software 0.0% |
| Infor US, Inc. (S) |  |  | 6.500 |  |  | 05-15-22 |  |  |  |  |  | 80,000 |  |  | 82,200 |
| Materials 4.3% |  |  | 7,934,809 |
| Chemicals 1.4% |
| Braskem Finance, Ltd. (S)(Z) |  |  | 7.000 |  |  | 05-07-20 |  |  |  |  |  | 515,000 |  |  | 534,313 |
| Incitec Pivot Finance LLC (S)(Z) |  |  | 6.000 |  |  | 12-10-19 |  |  |  |  |  | 345,000 |  |  | 388,241 |
| NOVA Chemicals Corp. (S)(Z) |  |  | 5.000 |  |  | 05-01-25 |  |  |  |  |  | 535,000 |  |  | 563,756 |

16 SEE NOTES TO FINANCIAL STATEMENTS

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Materials (continued) |  |  |  |
| Chemicals (continued) |
| Platform Specialty Products Corp. (S)(Z) |  |  | 6.500 |  |  | 02-01-22 |  |  |  |  |  | 535,000 |  |  | $559,075 |
| Rockwood Specialties Group, Inc. (Z) |  |  | 4.625 |  |  | 10-15-20 |  |  |  |  |  | 555,000 |  |  | 577,894 |
| Construction materials 0.9% |
| American Gilsonite Company (S)(Z) |  |  | 11.500 |  |  | 09-01-17 |  |  |  |  |  | 310,000 |  |  | 269,700 |
| Cemex SAB de CV (S)(Z) |  |  | 6.125 |  |  | 05-05-25 |  |  |  |  |  | 360,000 |  |  | 369,432 |
| Cemex SAB de CV (S)(Z) |  |  | 6.500 |  |  | 12-10-19 |  |  |  |  |  | 340,000 |  |  | 364,650 |
| Magnesita Finance, Ltd. (Q)(S)(Z) |  |  | 8.625 |  |  | 04-15-17 |  |  |  |  |  | 200,000 |  |  | 162,000 |
| Norbord, Inc. (S) |  |  | 6.250 |  |  | 04-15-23 |  |  |  |  |  | 215,000 |  |  | 215,808 |
| Vulcan Materials Company (Z) |  |  | 4.500 |  |  | 04-01-25 |  |  |  |  |  | 260,000 |  |  | 263,900 |
| Containers and packaging 0.2% |
| Ardagh Finance Holdings SA, PIK (S)(Z) |  |  | 8.625 |  |  | 06-15-19 |  |  |  |  |  | 260,960 |  |  | 278,575 |
| Metals and mining 1.8% |
| Alcoa, Inc. (Z) |  |  | 5.125 |  |  | 10-01-24 |  |  |  |  |  | 520,000 |  |  | 560,739 |
| Allegheny Technologies, Inc. (Z) |  |  | 9.375 |  |  | 06-01-19 |  |  |  |  |  | 715,000 |  |  | 850,850 |
| ArcelorMittal (Z) |  |  | 10.600 |  |  | 06-01-19 |  |  |  |  |  | 370,000 |  |  | 445,388 |
| FMG Resources August 2006 Pty, Ltd. (S) |  |  | 9.750 |  |  | 03-01-22 |  |  |  |  |  | 105,000 |  |  | 108,413 |
| Glencore Finance Canada, Ltd. (S)(Z) |  |  | 4.250 |  |  | 10-25-22 |  |  |  |  |  | 220,000 |  |  | 225,083 |
| Glencore Funding LLC (S)(Z) |  |  | 4.125 |  |  | 05-30-23 |  |  |  |  |  | 370,000 |  |  | 373,140 |
| MMC Norilsk Nickel OJSC (S)(Z) |  |  | 5.550 |  |  | 10-28-20 |  |  |  |  |  | 235,000 |  |  | 230,902 |
| Rain CLL Carbon LLC (S)(Z) |  |  | 8.000 |  |  | 12-01-18 |  |  |  |  |  | 340,000 |  |  | 316,200 |
| Vedanta Resources PLC (S)(Z) |  |  | 7.125 |  |  | 05-31-23 |  |  |  |  |  | 300,000 |  |  | 276,750 |
| Telecommunication services 3.1% |  |  | 5,696,679 |
| Diversified telecommunication services 1.5% |
| AT&T, Inc. |  |  | 4.750 |  |  | 05-15-46 |  |  |  |  |  | 320,000 |  |  | 312,731 |
| BellSouth Telecommunications, Inc. (Z) |  |  | 6.300 |  |  | 12-15-15 |  |  |  |  |  | 140,469 |  |  | 142,782 |
| GCI, Inc. (S) |  |  | 6.875 |  |  | 04-15-25 |  |  |  |  |  | 230,000 |  |  | 235,750 |
| GTP Acquisition Partners I LLC (S)(Z) |  |  | 4.704 |  |  | 05-15-18 |  |  |  |  |  | 485,000 |  |  | 493,474 |
| Telecom Italia Capital SA (Z) |  |  | 7.200 |  |  | 07-18-36 |  |  |  |  |  | 365,000 |  |  | 417,925 |
| Verizon Communications, Inc. (Z) |  |  | 4.400 |  |  | 11-01-34 |  |  |  |  |  | 260,000 |  |  | 255,226 |
| Verizon Communications, Inc. |  |  | 5.012 |  |  | 08-21-54 |  |  |  |  |  | 262,000 |  |  | 259,272 |
| Verizon Communications, Inc. (Z) |  |  | 6.550 |  |  | 09-15-43 |  |  |  |  |  | 263,000 |  |  | 328,963 |
| Wind Acquisition Finance SA (S)(Z) |  |  | 7.375 |  |  | 04-23-21 |  |  |  |  |  | 355,000 |  |  | 363,431 |
| Wireless telecommunication services 1.6% |
| Comcel Trust (S)(Z) |  |  | 6.875 |  |  | 02-06-24 |  |  |  |  |  | 330,000 |  |  | 353,925 |
| Digicel Group, Ltd. (S)(Z) |  |  | 8.250 |  |  | 09-30-20 |  |  |  |  |  | 385,000 |  |  | 397,089 |
| Digicel, Ltd. (S) |  |  | 6.750 |  |  | 03-01-23 |  |  |  |  |  | 200,000 |  |  | 197,100 |
| Millicom International Cellular SA (S)(Z) |  |  | 4.750 |  |  | 05-22-20 |  |  |  |  |  | 210,000 |  |  | 206,850 |
| Millicom International Cellular SA (S)(Z) |  |  | 6.625 |  |  | 10-15-21 |  |  |  |  |  | 300,000 |  |  | 319,125 |
| MTN Mauritius Investments, Ltd. (S)(Z) |  |  | 4.755 |  |  | 11-11-24 |  |  |  |  |  | 225,000 |  |  | 231,224 |
| SBA Tower Trust (S)(Z) |  |  | 2.933 |  |  | 12-15-17 |  |  |  |  |  | 395,000 |  |  | 401,689 |
| SBA Tower Trust (S)(Z) |  |  | 3.598 |  |  | 04-15-43 |  |  |  |  |  | 370,000 |  |  | 369,623 |

SEE NOTES TO FINANCIAL STATEMENTS 17

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Telecommunication services (continued) |  |  |  |
| Wireless telecommunication services (continued) |
| SoftBank Corp. (S)(Z) |  |  | 4.500 |  |  | 04-15-20 |  |  |  |  |  | 400,000 |  |  | $410,500 |
| Utilities 3.1% |  |  | 5,870,148 |
| Electric utilities 2.1% |
| Beaver Valley II Funding Corp. (Z) |  |  | 9.000 |  |  | 06-01-17 |  |  |  |  |  | 49,000 |  |  | 52,920 |
| BVPS II Funding Corp. (Z) |  |  | 8.890 |  |  | 06-01-17 |  |  |  |  |  | 195,000 |  |  | 205,468 |
| Electricite de France SA (5.250% to 1-29-23, then 10 Year U.S. Swap Rate + 3.709%) (Q)(S)(Z) |  |  | 5.250 |  |  | 01-29-23 |  |  |  |  |  | 485,000 |  |  | 508,038 |
| Empresa Electrica Angamos SA (S)(Z) |  |  | 4.875 |  |  | 05-25-29 |  |  |  |  |  | 360,000 |  |  | 364,050 |
| FPL Energy National Wind LLC (S)(Z) |  |  | 5.608 |  |  | 03-10-24 |  |  |  |  |  | 69,163 |  |  | 69,163 |
| Israel Electric Corp., Ltd. (S)(Z) |  |  | 5.625 |  |  | 06-21-18 |  |  |  |  |  | 420,000 |  |  | 454,125 |
| NextEra Energy Capital Holdings, Inc. (6.650% to 6-15-17, then 3 month LIBOR + 2.125%) (Z) |  |  | 6.650 |  |  | 06-15-67 |  |  |  |  |  | 100,000 |  |  | 100,250 |
| NRG Yield Operating LLC (S)(Z) |  |  | 5.375 |  |  | 08-15-24 |  |  |  |  |  | 260,000 |  |  | 269,750 |
| Oncor Electric Delivery Company LLC (Z) |  |  | 5.000 |  |  | 09-30-17 |  |  |  |  |  | 820,000 |  |  | 893,543 |
| PNPP II Funding Corp. (Z) |  |  | 9.120 |  |  | 05-30-16 |  |  |  |  |  | 57,000 |  |  | 58,174 |
| PPL Capital Funding, Inc. (6.700% to 3-30-17, then 3 month LIBOR + 2.665%) (Z) |  |  | 6.700 |  |  | 03-30-67 |  |  |  |  |  | 340,000 |  |  | 314,619 |
| Southern California Edison Company (6.250% to 2-1-22, then 3 month LIBOR + 4.199%) (Q)(Z) |  |  | 6.250 |  |  | 02-01-22 |  |  |  |  |  | 320,000 |  |  | 360,342 |
| W3A Funding Corp. (Z) |  |  | 8.090 |  |  | 01-02-17 |  |  |  |  |  | 207,820 |  |  | 207,897 |
| Independent power and renewable electricity producers 0.1% |
| Dynegy, Inc. (S) |  |  | 6.750 |  |  | 11-01-19 |  |  |  |  |  | 120,000 |  |  | 125,400 |
| Dynegy, Inc. (S) |  |  | 7.625 |  |  | 11-01-24 |  |  |  |  |  | 165,000 |  |  | 177,375 |
| Multi-utilities 0.9% |
| Berkshire Hathaway Energy Company (Z) |  |  | 8.480 |  |  | 09-15-28 |  |  |  |  |  | 550,000 |  |  | 831,109 |
| Integrys Energy Group, Inc. (6.110% to 12-1-16, then 3 month LIBOR + 2.120%) |  |  | 6.110 |  |  | 12-01-66 |  |  |  |  |  | 480,000 |  |  | 471,000 |
| Wisconsin Energy Corp. (6.250% to 5-15-17, then 3 month LIBOR + 2.113%) (Z) |  |  | 6.250 |  |  | 05-15-67 |  |  |  |  |  | 410,000 |  |  | 406,925 |
| Term loans (M) 0.5% (0.3% of Total investments) |  |  | $923,951 |
| (Cost $923,590) |
| Consumer staples 0.2% |  |  | 355,448 |
| Household products 0.2% |
| The Sun Products Corp. |  |  | 5.500 |  |  | 03-23-20 |  |  |  |  |  | 369,777 |  |  | 355,448 |
| Industrials 0.1% |  |  | 147,212 |
| Aerospace and defense 0.1% |
| WP CPP Holdings LLC |  |  | 4.750 |  |  | 12-28-19 |  |  | 146,625 |  |  | 147,212 |
| Utilities 0.2% |  |  | 421,291 |
| Electric utilities 0.2% |
| ExGen Texas Power LLC |  |  | 5.750 |  |  | 09-16-21 |  |  |  |  |  | 278,522 |  |  | 280,437 |
| La Frontera Generation LLC |  |  | 4.500 |  |  | 09-30-20 |  |  |  |  |  | 140,591 |  |  | 140,854 |

18 SEE NOTES TO FINANCIAL STATEMENTS

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Capital preferred securities (a) 1.9% (1.3% of Total investments) |  |  | $3,596,526 |
| (Cost $3,426,132) |
| Financials 1.9% |  |  | 3,596,526 |
| Banks 0.3% |
| Sovereign Capital Trust VI (Z) |  |  | 7.908 |  |  | 06-13-36 |  |  | 489,000 |  |  | 511,443 |
| Capital markets 0.7% |
| Goldman Sachs Capital II (P)(Q)(Z) |  |  | 4.000 |  |  | 06-01-15 |  |  | 670,000 |  |  | 520,925 |
| State Street Capital Trust IV (P)(Z) |  |  | 1.271 |  |  | 06-01-67 |  |  | 935,000 |  |  | 804,100 |
| Insurance 0.9% |
| MetLife Capital Trust IV (7.875% to 12-15-32 then 3 month LIBOR + 3.960%) (S)(Z) |  |  | 7.875 |  |  | 12-15-67 |  |  | 110,000 |  |  | 145,750 |
| MetLife Capital Trust X (9.250% to 4-8-33 then 3 month LIBOR + 5.540%) (S)(Z) |  |  | 9.250 |  |  | 04-08-68 |  |  | 315,000 |  |  | 470,138 |
| ZFS Finance USA Trust II (6.450% to 6-15-16 then 3 month LIBOR + 2.000%) (S)(Z) |  |  | 6.450 |  |  | 12-15-65 |  |  | 870,000 |  |  | 905,670 |
| ZFS Finance USA Trust V (6.500% to 5-9-17, then 3 month LIBOR + 2.285%) (S)(Z) |  |  | 6.500 |  |  | 05-09-67 |  |  | 225,000 |  |  | 238,500 |
| U.S. Government and Agency obligations 32.9% (22.3% of Total investments) |  |  | $61,398,024 |
| (Cost $60,840,043) |
| U.S. Government 7.2% |  |  | 13,405,025 |
| U.S. Treasury |
|  |  |  | Bond (Z) |  |  | 3.000 |  |  | 11-15-44 |  |  | 3,240,000 |  |  | 3,407,822 |
|  |  |  | Bond (Z) |  |  | 3.125 |  |  | 02-15-42 |  |  | 1,405,000 |  |  | 1,510,813 |
|  |  |  | Note (Z) |  |  | 2.000 |  |  | 02-15-25 |  |  | 8,517,000 |  |  | 8,486,390 |
| U.S. Government Agency 25.7% |  |  | 47,992,999 |
| Federal Home Loan Banks |
|  |  |  | Bond (Z) |  |  | 2.900 |  |  | 09-05-25 |  |  | 200,000 |  |  | 197,591 |
|  |  |  | Bond (Z) |  |  | 3.170 |  |  | 10-04-27 |  |  | 200,000 |  |  | 198,310 |
|  |  |  | Bond (Z) |  |  | 3.250 |  |  | 06-21-27 |  |  | 269,697 |  |  | 269,783 |
| Federal Home Loan Mortgage Corp. |
|  |  |  | 30 Yr Pass Thru (P) |  |  | 2.555 |  |  | 06-01-44 |  |  | 483,952 |  |  | 500,816 |
|  |  |  | 30 Yr Pass Thru (P) |  |  | 2.682 |  |  | 05-01-44 |  |  | 457,557 |  |  | 474,595 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 3.000 |  |  | 03-01-43 |  |  | 943,412 |  |  | 965,155 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 4.500 |  |  | 09-01-41 |  |  | 2,475,032 |  |  | 2,708,777 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 5.000 |  |  | 03-01-41 |  |  | 3,997,221 |  |  | 4,471,480 |
| Federal National Mortgage Association |
|  |  |  | 15 Yr Pass Thru (Z) |  |  | 3.000 |  |  | 10-29-27 |  |  | 705,000 |  |  | 691,543 |
|  |  |  | 15 Yr Pass Thru (Z) |  |  | 3.400 |  |  | 09-27-32 |  |  | 745,000 |  |  | 738,039 |
|  |  |  | 30 Year Pass Thru |  |  | 3.500 |  |  | 04-01-45 |  |  | 1,862,691 |  |  | 1,958,009 |
|  |  |  | 30 Yr Pass Thru (P) (Z) |  |  | 2.519 |  |  | 06-01-44 |  |  | 847,996 |  |  | 877,139 |
|  |  |  | 30 Yr Pass Thru (P) (Z) |  |  | 2.547 |  |  | 04-01-44 |  |  | 787,961 |  |  | 815,802 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 3.000 |  |  | 12-01-42 |  |  | 4,054,017 |  |  | 4,147,295 |
|  |  |  | 30 Yr Pass Thru |  |  | 3.000 |  |  | 03-01-43 |  |  | 266,129 |  |  | 272,501 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 3.000 |  |  | 07-01-43 |  |  | 1,005,514 |  |  | 1,026,293 |

SEE NOTES TO FINANCIAL STATEMENTS 19

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| U.S. Government Agency (continued) |  |  |  |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 3.500 |  |  | 12-01-42 |  |  | 5,420,403 |  |  | $5,692,694 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 3.500 |  |  | 01-01-43 |  |  | 4,100,091 |  |  | 4,327,839 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 4.000 |  |  | 10-01-40 |  |  | 480,382 |  |  | 519,751 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 4.000 |  |  | 09-01-41 |  |  | 2,937,847 |  |  | 3,162,087 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 4.000 |  |  | 09-01-41 |  |  | 1,474,700 |  |  | 1,580,348 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 4.000 |  |  | 09-01-41 |  |  | 701,607 |  |  | 763,710 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 4.000 |  |  | 10-01-41 |  |  | 2,157,387 |  |  | 2,328,124 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 4.500 |  |  | 10-01-40 |  |  | 1,977,540 |  |  | 2,168,782 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 4.500 |  |  | 07-01-41 |  |  | 4,890,416 |  |  | 5,353,419 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 5.000 |  |  | 04-01-41 |  |  | 539,403 |  |  | 613,550 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 5.500 |  |  | 08-01-40 |  |  | 185,158 |  |  | 210,220 |
|  |  |  | 30 Yr Pass Thru (Z) |  |  | 6.500 |  |  | 01-01-39 |  |  | 830,425 |  |  | 959,347 |
| Foreign government obligations 0.2% (0.1% of Total investments) |  |  | $329,724 |
| (Cost $277,285) |
| Argentina 0.2% |  |  | 329,724 |
| Republic of Argentina (H) |  |  | 8.280 |  |  | 12-31-33 |  |  |  |  |  | 322,469 |  |  | 329,724 |
| Collateralized mortgage obligations 18.8% (12.7% of Total investments) |  |  | $35,083,830 |
| (Cost $33,127,337) |
| Commercial and residential 15.8% |  |  | 29,537,429 |
| American Home Mortgage Assets Trust Series 2006-6, Class XP IO |  |  | 2.047 |  |  | 12-25-46 |  |  |  |  |  | 4,635,788 |  |  | 432,459 |
| American Home Mortgage Investment Trust Series 2005-1, Class 1A1 (P) |  |  | 0.394 |  |  | 06-25-45 |  |  |  |  |  | 555,636 |  |  | 516,302 |
| Americold 2010 LLC Trust Series 2010-ARTA, Class D (S) |  |  | 7.443 |  |  | 01-14-29 |  |  |  |  |  | 605,000 |  |  | 686,239 |
| BAMLL Commercial Mortgage Securities Trust |
|  |  |  | Series 2014-ICTS, Class D (P) (S) |  |  | 2.082 |  |  | 06-15-28 |  |  |  |  |  | 100,000 |  |  | 99,620 |
|  |  |  | Series 2015-200P, Class F (P) (S) |  |  | 3.595 |  |  | 04-14-33 |  |  |  |  |  | 415,000 |  |  | 382,232 |
| BBCMS Trust Series 2015, Class C (P) (S) |  |  | 2.182 |  |  | 02-15-28 |  |  |  |  |  | 215,000 |  |  | 215,072 |
| Bear Stearns Adjustable Rate Mortgage Trust |
|  |  |  | Series 2005-1, Class B2 (P) |  |  | 2.723 |  |  | 03-25-35 |  |  |  |  |  | 489,045 |  |  | 35,939 |
|  |  |  | Series 2005-2, Class A1 (P) |  |  | 2.680 |  |  | 03-25-35 |  |  |  |  |  | 354,715 |  |  | 358,243 |
| Bear Stearns ALT-A Trust |
|  |  |  | Series 2005-5, Class 1A4 (P) |  |  | 0.741 |  |  | 07-25-35 |  |  |  |  |  | 393,156 |  |  | 354,053 |
|  |  |  | Series 2005-7, Class 11A1 (P) |  |  | 0.714 |  |  | 08-25-35 |  |  |  |  |  | 631,741 |  |  | 588,401 |
| BHMS Mortgage Trust Series 2014-ATLS, Class DFL (P) (S) |  |  | 3.172 |  |  | 07-05-33 |  |  |  |  |  | 620,000 |  |  | 607,508 |
| BLCP Hotel Trust Series 2014-CLRN, Class D (P) (S) |  |  | 2.682 |  |  | 08-15-29 |  |  |  |  |  | 530,000 |  |  | 531,202 |
| BWAY Mortgage Trust |
|  |  |  | Series 2013-1515, Class F (P) (S) |  |  | 4.058 |  |  | 03-10-33 |  |  |  |  |  | 595,000 |  |  | 556,991 |
|  |  |  | Series 2015-1740, Class D (P) (S) |  |  | 3.787 |  |  | 01-13-35 |  |  |  |  |  | 370,000 |  |  | 365,499 |

20 SEE NOTES TO FINANCIAL STATEMENTS

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Commercial and residential (continued) |  |  |  |
| CDGJ Commercial Mortgage Trust Series 2014-BXCH, Class D (P) (S) |  |  | 3.174 |  |  | 12-15-27 |  |  |  |  |  | 595,000 |  |  | $596,044 |
| CGBAM Commercial Mortgage Series 2015-SMRT, Class F |  |  | 3.912 |  |  | 04-10-28 |  |  |  |  |  | 325,000 |  |  | 316,455 |
| Commercial Mortgage Trust Series 2014-PAT, Class D (P) (S) |  |  | 2.330 |  |  | 08-13-27 |  |  |  |  |  | 775,000 |  |  | 781,784 |
| Commercial Mortgage Trust (Deutsche Bank) |
|  |  |  | Series 2012-LC4, Class B (P) |  |  | 4.934 |  |  | 12-10-44 |  |  |  |  |  | 360,000 |  |  | 402,782 |
|  |  |  | Series 2013-300P, Class D (P) (S) |  |  | 4.540 |  |  | 08-10-30 |  |  |  |  |  | 620,000 |  |  | 654,124 |
|  |  |  | Series 2013-CR11, Class B (P) |  |  | 5.331 |  |  | 10-10-46 |  |  |  |  |  | 895,000 |  |  | 1,016,441 |
|  |  |  | Series 2013-CR13, Class C (P) |  |  | 4.913 |  |  | 12-10-23 |  |  |  |  |  | 435,000 |  |  | 470,349 |
|  |  |  | Series 2013-CR6, Class XA IO (P) |  |  | 1.660 |  |  | 03-10-46 |  |  |  |  |  | 4,190,828 |  |  | 259,718 |
|  |  |  | Series 2014-FL4, Class D (P) (S) |  |  | 2.630 |  |  | 07-13-31 |  |  |  |  |  | 600,000 |  |  | 596,775 |
|  |  |  | Series 2014-TWC, Class D (P) (S) |  |  | 2.426 |  |  | 02-13-32 |  |  |  |  |  | 445,000 |  |  | 444,696 |
| Commercial Mortgage Trust (Wells Fargo) Series 2014-CR16, Class C (P) |  |  | 5.069 |  |  | 04-10-47 |  |  |  |  |  | 552,000 |  |  | 597,790 |
| Credit Suisse Mortgage Trust Series 2014-ICE, Class D (P) (S) |  |  | 2.332 |  |  | 04-15-27 |  |  |  |  |  | 550,000 |  |  | 546,636 |
| Deutsche Mortgage Securities, Inc. Mortgage Loan Trust Series 2004-4, Class 2AR1 (P) |  |  | 0.451 |  |  | 06-25-34 |  |  |  |  |  | 446,535 |  |  | 422,415 |
| Extended Stay America Trust Series 2013-ESFL, Class DFL (P) (S) |  |  | 3.318 |  |  | 12-05-31 |  |  |  |  |  | 505,000 |  |  | 504,486 |
| GAHR Commericial Mortgage Trust |
|  |  |  | Series 2015-NRF, Class DFX (P) (S) |  |  | 3.495 |  |  | 12-15-19 |  |  |  |  |  | 220,000 |  |  | 216,300 |
|  |  |  | Series 2015-NRF, Class EFX (P) (S) |  |  | 3.495 |  |  | 12-15-19 |  |  |  |  |  | 495,000 |  |  | 468,011 |
| HarborView Mortgage Loan Trust |
|  |  |  | Series 2005-11, Class X IO |  |  | 2.410 |  |  | 08-19-45 |  |  |  |  |  | 2,009,905 |  |  | 116,685 |
|  |  |  | Series 2005-2, Class IX IO |  |  | 2.182 |  |  | 05-19-35 |  |  |  |  |  | 6,996,417 |  |  | 471,760 |
|  |  |  | Series 2005-9, Class 2A1C (P) |  |  | 0.626 |  |  | 06-20-35 |  |  |  |  |  | 630,290 |  |  | 577,672 |
|  |  |  | Series 2005-8, Class 1X IO |  |  | 2.092 |  |  | 09-19-35 |  |  |  |  |  | 2,648,425 |  |  | 137,681 |
|  |  |  | Series 2007-3, Class ES IO (S) |  |  | 0.350 |  |  | 05-19-47 |  |  |  |  |  | 8,505,650 |  |  | 90,373 |
|  |  |  | Series 2007-4, Class ES IO |  |  | 0.350 |  |  | 07-19-47 |  |  |  |  |  | 8,891,507 |  |  | 88,915 |
|  |  |  | Series 2007-6, Class ES IO (S) |  |  | 0.340 |  |  | 08-19-37 |  |  |  |  |  | 6,967,886 |  |  | 74,034 |
| Hilton USA Trust Series 2013-HLT, Class DFX (S) |  |  | 4.407 |  |  | 11-05-30 |  |  |  |  |  | 431,000 |  |  | 438,611 |
| IndyMac Index Mortgage Loan Trust |
|  |  |  | Series 2005-AR12, Class AX2 IO |  |  | 2.274 |  |  | 07-25-35 |  |  |  |  |  | 6,605,783 |  |  | 481,093 |
|  |  |  | Series 2005-AR8, Class AX2 IO |  |  | 2.296 |  |  | 04-25-35 |  |  |  |  |  | 6,456,709 |  |  | 511,636 |
|  |  |  | Series 2005-AR18, Class 1X IO |  |  | 2.126 |  |  | 10-25-36 |  |  |  |  |  | 7,877,195 |  |  | 698,579 |
|  |  |  | Series 2005-AR18, Class 2X IO |  |  | 1.798 |  |  | 10-25-36 |  |  |  |  |  | 6,900,556 |  |  | 273,676 |
| JPMBB Commercial Mortgage Securities Trust Series 2014-C19, Class C (P) |  |  | 4.833 |  |  | 04-15-47 |  |  |  |  |  | 725,000 |  |  | 769,684 |
| JPMorgan Chase Commercial Mortgage Securities Trust |
|  |  |  | Series 2013-JWRZ, Class D (P) (S) |  |  | 3.172 |  |  | 04-15-30 |  |  |  |  |  | 440,000 |  |  | 440,019 |
|  |  |  | Series 2014-FL5, Class C (P) (S) |  |  | 2.282 |  |  | 07-15-31 |  |  |  |  |  | 1,030,000 |  |  | 1,025,483 |
|  |  |  | Series 2014-INN, Class F (P) (S) |  |  | 4.182 |  |  | 06-15-29 |  |  |  |  |  | 490,000 |  |  | 485,041 |

SEE NOTES TO FINANCIAL STATEMENTS 21

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Commercial and residential (continued) |  |  |  |
|  |  |  | Series 2014-PHH, Class C (P) (S) |  |  | 2.282 |  |  | 08-15-27 |  |  |  |  |  | 760,000 |  |  | $765,144 |
| Merrill Lynch Mortgage Investors Trust Series 2005-2, Class 1A (P) |  |  | 1.582 |  |  | 10-25-35 |  |  |  |  |  | 505,412 |  |  | 489,723 |
| Morgan Stanley Bank of America Merrill Lynch Trust |
|  |  |  | Series 2013-C7, Class C (P) |  |  | 4.325 |  |  | 02-15-46 |  |  |  |  |  | 293,000 |  |  | 306,506 |
|  |  |  | Series 2014-C18, Class 300D |  |  | 5.279 |  |  | 08-15-31 |  |  |  |  |  | 380,000 |  |  | 399,546 |
| Morgan Stanley Capital I Trust Series 2014-150E, Class D (P) (S) |  |  | 4.438 |  |  | 09-09-32 |  |  |  |  |  | 1,050,000 |  |  | 1,103,209 |
| MortgageIT Trust Series 2005-2, Class 1A2 (P) |  |  | 0.504 |  |  | 05-25-35 |  |  |  |  |  | 401,413 |  |  | 373,777 |
| Springleaf Mortgage Loan Trust Series 2012-3A, Class M1 (P) (S) |  |  | 2.660 |  |  | 12-25-59 |  |  |  |  |  | 265,000 |  |  | 264,926 |
| TMSQ Mortgage Trust Series 2014-1500, Class D (P) (S) |  |  | 3.835 |  |  | 10-10-36 |  |  |  |  |  | 340,000 |  |  | 339,755 |
| UBS Commercial Mortgage Trust Series 2012-C1, Class B |  |  | 4.822 |  |  | 05-10-45 |  |  |  |  |  | 405,000 |  |  | 444,212 |
| UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class XA IO (S) |  |  | 1.900 |  |  | 05-10-63 |  |  |  |  |  | 4,798,135 |  |  | 355,009 |
| VNDO Mortgage Trust Series 2013-PENN, Class D (P) (S) |  |  | 4.079 |  |  | 12-13-29 |  |  |  |  |  | 612,000 |  |  | 636,521 |
| Wachovia Bank Commercial Mortgage Trust Series 2007-C31, Class AM (P) |  |  | 5.591 |  |  | 04-15-47 |  |  |  |  |  | 285,000 |  |  | 304,460 |
| WaMu Mortgage Pass Through Certificates Series 2005-AR8, Class 2AB2 (P) |  |  | 0.594 |  |  | 07-25-45 |  |  |  |  |  | 589,965 |  |  | 544,905 |
| Wells Fargo Commercial Mortgage Trust |
|  |  |  | Series 2013-120B, Class C (P) (S) |  |  | 2.800 |  |  | 03-18-28 |  |  |  |  |  | 935,000 |  |  | 925,466 |
|  |  |  | Series 2013-BTC, Class E (P) (S) |  |  | 3.668 |  |  | 04-16-35 |  |  |  |  |  | 620,000 |  |  | 580,580 |
| WF-RBS Commercial Mortgage Trust |
|  |  |  | Series 2012-C9, Class XA IO (S) |  |  | 2.359 |  |  | 11-15-45 |  |  |  |  |  | 4,974,464 |  |  | 529,785 |
|  |  |  | Series 2013-C15, Class B (P) |  |  | 4.631 |  |  | 08-15-46 |  |  |  |  |  | 155,000 |  |  | 168,934 |
|  |  |  | Series 2013-C16, Class B (P) |  |  | 5.149 |  |  | 09-15-46 |  |  |  |  |  | 265,000 |  |  | 299,463 |
| U.S. Government Agency 3.0% |  |  | 5,546,401 |
| Federal Home Loan Mortgage Corp. |
|  |  |  | Series 2015, Class DNA1 M2 (P) |  |  | 2.030 |  |  | 10-25-27 |  |  |  |  |  | 380,000 |  |  | 380,158 |
|  |  |  | Series 290, Class IO |  |  | 3.500 |  |  | 11-15-32 |  |  |  |  |  | 3,077,806 |  |  | 570,250 |
|  |  |  | Series 3747, Class HI IO |  |  | 4.500 |  |  | 07-15-37 |  |  |  |  |  | 2,638,011 |  |  | 201,397 |
|  |  |  | Series 3830, Class NI IO |  |  | 4.500 |  |  | 01-15-36 |  |  |  |  |  | 2,303,165 |  |  | 189,141 |
|  |  |  | Series 4077, Class IK IO |  |  | 5.000 |  |  | 07-15-42 |  |  |  |  |  | 732,175 |  |  | 162,043 |
|  |  |  | Series 4136, Class IH IO |  |  | 3.500 |  |  | 09-15-27 |  |  |  |  |  | 2,097,278 |  |  | 243,821 |
|  |  |  | Series K017, Class X1 IO |  |  | 1.576 |  |  | 12-25-21 |  |  |  |  |  | 2,924,514 |  |  | 221,620 |
|  |  |  | Series K018, Class X1 IO |  |  | 1.583 |  |  | 01-25-22 |  |  |  |  |  | 3,644,079 |  |  | 278,091 |
|  |  |  | Series K021, Class X1 IO |  |  | 1.633 |  |  | 06-25-22 |  |  |  |  |  | 798,252 |  |  | 68,531 |
|  |  |  | Series K022, Class X1 IO |  |  | 1.421 |  |  | 07-25-22 |  |  |  |  |  | 9,264,923 |  |  | 697,890 |
|  |  |  | Series K707, Class X1 IO |  |  | 1.682 |  |  | 12-25-18 |  |  |  |  |  | 2,401,465 |  |  | 117,112 |
|  |  |  | Series K709, Class X1 IO |  |  | 1.665 |  |  | 03-25-19 |  |  |  |  |  | 3,301,422 |  |  | 170,185 |

22 SEE NOTES TO FINANCIAL STATEMENTS

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| U.S. Government Agency (continued) |  |  |  |
|  |  |  | Series K710, Class X1 IO |  |  | 1.907 |  |  | 05-25-19 |  |  |  |  |  | 3,595,361 |  |  | $219,943 |
| Federal National Mortgage Association |
|  |  |  | Series 2010-68, Class CI IO |  |  | 5.000 |  |  | 11-25-38 |  |  |  |  |  | 611,104 |  |  | 71,641 |
|  |  |  | Series 2012-118, Class IB IO |  |  | 3.500 |  |  | 11-25-42 |  |  |  |  |  | 1,288,395 |  |  | 278,767 |
|  |  |  | Series 2012-137, Class QI IO |  |  | 3.000 |  |  | 12-25-27 |  |  |  |  |  | 2,432,644 |  |  | 314,190 |
|  |  |  | Series 2012-137, Class WI IO |  |  | 3.500 |  |  | 12-25-32 |  |  |  |  |  | 1,831,691 |  |  | 317,143 |
|  |  |  | Series 402, Class 3 IO |  |  | 4.000 |  |  | 11-25-39 |  |  |  |  |  | 376,533 |  |  | 61,730 |
|  |  |  | Series 402, Class 4 IO |  |  | 4.000 |  |  | 10-25-39 |  |  |  |  |  | 583,569 |  |  | 96,132 |
|  |  |  | Series 402, Class 7 IO |  |  | 4.500 |  |  | 11-25-39 |  |  |  |  |  | 519,509 |  |  | 95,752 |
|  |  |  | Series 402, Class 8 IO |  |  | 4.500 |  |  | 11-25-39 |  |  |  |  |  | 466,315 |  |  | 91,701 |
|  |  |  | Series 407, Class 15 IO |  |  | 5.000 |  |  | 01-25-40 |  |  |  |  |  | 570,880 |  |  | 111,411 |
|  |  |  | Series 407, Class 21 IO |  |  | 5.000 |  |  | 01-25-39 |  |  |  |  |  | 262,381 |  |  | 50,952 |
|  |  |  | Series 407, Class 7 IO |  |  | 5.000 |  |  | 03-25-41 |  |  |  |  |  | 235,690 |  |  | 47,610 |
|  |  |  | Series 407, Class 8 IO |  |  | 5.000 |  |  | 03-25-41 |  |  |  |  |  | 243,688 |  |  | 48,002 |
|  |  |  | Series 407, Class C6 IO |  |  | 5.500 |  |  | 01-25-40 |  |  |  |  |  | 892,024 |  |  | 182,097 |
| Government National Mortgage Association |
|  |  |  | Series 2012-114, Class IO |  |  | 0.974 |  |  | 01-16-53 |  |  |  |  |  | 1,874,240 |  |  | 148,417 |
|  |  |  | Series 2013-42, Class IO |  |  | 3.500 |  |  | 03-20-43 |  |  |  |  |  | 868,460 |  |  | 110,674 |
| Asset backed securities 12.1% (8.2% of Total investments) |  |  | $22,504,454 |
| (Cost $21,990,208) |
| Asset Backed Securities 12.1% |  |  | 22,504,454 |
| ACE Securities Corp. Series 2005-HE3, Class M2 (P) |  |  | 0.856 |  |  | 05-25-35 |  |  |  |  |  | 315,000 |  |  | 301,802 |
| Aegis Asset Backed Securities Trust Series 2005-4, Class M1 (P) |  |  | 0.631 |  |  | 10-25-35 |  |  |  |  |  | 825,000 |  |  | 744,560 |
| Ally Auto Receivables Trust Series 2014-2, Class A4 |  |  | 1.840 |  |  | 01-15-20 |  |  |  |  |  | 735,000 |  |  | 742,366 |
| Ally Master Owner Trust Series 2012-4, Class A |  |  | 1.720 |  |  | 07-15-19 |  |  |  |  |  | 275,000 |  |  | 277,331 |
| American Express Credit Account Master Trust Series 2014-1, Class A4 |  |  | 1.490 |  |  | 04-15-20 |  |  |  |  |  | 760,000 |  |  | 765,642 |
| Ameriquest Mortgage Securities, Inc. Series 2005-R3, Class M2 (P) |  |  | 0.644 |  |  | 05-25-35 |  |  |  |  |  | 480,000 |  |  | 453,843 |
| Applebee's/IHOP Funding LLC Series 2014-1, Class A2 (S) |  |  | 4.277 |  |  | 09-05-44 |  |  |  |  |  | 1,005,000 |  |  | 1,036,355 |
| Argent Securities, Inc. |
|  |  |  | Series 2003-W10, Class M1 (P) |  |  | 1.254 |  |  | 01-25-34 |  |  |  |  |  | 257,870 |  |  | 248,690 |
|  |  |  | Series 2004-W6, Class M1 (P) |  |  | 0.999 |  |  | 05-25-34 |  |  |  |  |  | 210,860 |  |  | 201,042 |
| Bravo Mortgage Asset Trust Series 2006-1A, Class A2 (P) (S) |  |  | 0.421 |  |  | 07-25-36 |  |  |  |  |  | 800,368 |  |  | 751,451 |
| CarMax Auto Owner Trust Series 2014-3, Class A3 |  |  | 1.160 |  |  | 06-17-19 |  |  |  |  |  | 660,000 |  |  | 660,606 |
| Chase Issuance Trust Series 2014-A6, Class A |  |  | 1.260 |  |  | 07-15-19 |  |  |  |  |  | 541,000 |  |  | 542,025 |

SEE NOTES TO FINANCIAL STATEMENTS 23

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Asset Backed Securities (continued) |  |  |  |
| Chrysler Capital Auto Receivables Trust Series 2014-BA, Class A4 (S) |  |  | 1.760 |  |  | 12-16-19 |  |  |  |  |  | 275,000 |  |  | $276,799 |
| Citibank Credit Card Issuance Trust |
|  |  |  | Series 2007-A8, Class A8 |  |  | 5.650 |  |  | 09-20-19 |  |  |  |  |  | 450,000 |  |  | 496,868 |
|  |  |  | Series 2014-A8, Class A8 |  |  | 1.730 |  |  | 04-09-20 |  |  |  |  |  | 955,000 |  |  | 965,013 |
| CKE Restaurant Holdings, Inc. Series 2013-1A, Class A2 (S) |  |  | 4.474 |  |  | 03-20-43 |  |  |  |  |  | 1,081,550 |  |  | 1,112,105 |
| ContiMortgage Home Equity Loan Trust Series 1995-2, Class A5 |  |  | 8.100 |  |  | 08-15-25 |  |  |  |  |  | 26,030 |  |  | 24,891 |
| Countrywide Asset-Backed Certificates Series 2004-10, Class AF5B (P) |  |  | 5.613 |  |  | 02-25-35 |  |  |  |  |  | 462,450 |  |  | 470,366 |
| Credit Suisse Mortgage Trust Series 2006-CF2, Class M1 (P) (S) |  |  | 0.651 |  |  | 05-25-36 |  |  |  |  |  | 735,000 |  |  | 712,290 |
| DB Master Finance LLC Series 2015-1A, Class A2II (S) |  |  | 3.980 |  |  | 02-20-45 |  |  |  |  |  | 870,000 |  |  | 891,448 |
| Encore Credit Receivables Trust Series 2005-2, Class M2 (P) |  |  | 0.871 |  |  | 11-25-35 |  |  |  |  |  | 600,000 |  |  | 585,310 |
| Ford Credit Auto Owner Trust Series 2015, Class AA4 |  |  | 1.640 |  |  | 06-15-20 |  |  |  |  |  | 360,000 |  |  | 361,935 |
| Ford Credit Floorplan Master Owner Trust |
|  |  |  | Series 2012-5, Class A |  |  | 1.490 |  |  | 09-15-19 |  |  |  |  |  | 690,000 |  |  | 692,685 |
|  |  |  | Series 2014-4, Class A1 |  |  | 1.400 |  |  | 08-15-19 |  |  |  |  |  | 950,000 |  |  | 952,393 |
| GM Financial Automobile Leasing Trust Series 2015-1, Class A4 |  |  | 1.730 |  |  | 06-20-19 |  |  |  |  |  | 205,000 |  |  | 205,942 |
| GSAA Home Equity Trust Series 2005-11, Class 3A1 (P) |  |  | 0.444 |  |  | 10-25-35 |  |  |  |  |  | 562,126 |  |  | 528,659 |
| GSAA Trust Series 2005-10, Class M3 (P) |  |  | 0.724 |  |  | 06-25-35 |  |  |  |  |  | 675,000 |  |  | 647,235 |
| Home Equity Mortgage Loan Asset-Backed Trust Series 2005-C, Class AII3 (P) |  |  | 0.551 |  |  | 10-25-25 |  |  |  |  |  | 400,403 |  |  | 385,845 |
| Honda Auto Receivables Owner Trust Series 2014-3, Class A4 |  |  | 1.310 |  |  | 10-15-20 |  |  |  |  |  | 525,000 |  |  | 526,061 |
| John Deere Owner Trust Series 2014-B, Class A4 |  |  | 1.500 |  |  | 06-15-21 |  |  |  |  |  | 555,000 |  |  | 558,620 |
| Merrill Lynch Mortgage Investors, Inc. Series 2005-WMC1, Class M1 (P) |  |  | 0.931 |  |  | 09-25-35 |  |  |  |  |  | 256,559 |  |  | 232,505 |
| MVW Owner Trust Series 2014-1A, Class A (S) |  |  | 2.250 |  |  | 09-20-31 |  |  |  |  |  | 176,876 |  |  | 177,059 |
| Porsche Innovative Lease Owner Trust Series 2014-1, Class A4 (S) |  |  | 1.260 |  |  | 09-21-20 |  |  |  |  |  | 445,000 |  |  | 446,131 |
| Sonic Capital LLC Series 2011-1A, Class A2 (S) |  |  | 5.438 |  |  | 05-20-41 |  |  |  |  |  | 358,459 |  |  | 380,496 |
| Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Class A2D (P) |  |  | 0.481 |  |  | 12-25-36 |  |  |  |  |  | 1,090,000 |  |  | 1,055,819 |
| Volkswagen Credit Auto Master Trust Series 2014-1A, Class A2 (S) |  |  | 1.400 |  |  | 07-22-19 |  |  |  |  |  | 445,000 |  |  | 446,864 |
| Westgate Resorts LLC |

24 SEE NOTES TO FINANCIAL STATEMENTS

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Asset Backed Securities (continued) |  |  |  |
|  |  |  | Series 2012-2A, Class B (S) |  |  | 4.500 |  |  | 01-20-25 |  |  |  |  |  | 488,678 |  |  | $491,887 |
|  |  |  | Series 2012-3A, Class B (S) |  |  | 4.500 |  |  | 03-20-25 |  |  |  |  |  | 304,531 |  |  | 307,230 |
|  |  |  | Series 2013-1A, Class B (S) |  |  | 3.750 |  |  | 08-20-25 |  |  |  |  |  | 114,383 |  |  | 115,071 |
|  |  |  | Series 2014-1A, Class A (S) |  |  | 2.150 |  |  | 12-20-26 |  |  |  |  |  | 784,699 |  |  | 780,594 |
|  |  |  | Series 2014-1A, Class B (S) |  |  | 3.250 |  |  | 12-20-26 |  |  |  |  |  | 524,488 |  |  | 526,039 |
|  |  |  | Series 2015-1A, Class A (S) |  |  | 2.750 |  |  | 05-20-27 |  |  |  |  |  | 424,022 |  |  | 424,581 |
|  |  |  | Shares |  |  | Value |
| Common stocks 6.6% (4.5% of Total investments) |  |  | $12,225,419 |
| (Cost $10,079,345) |
| Consumer discretionary 0.4% |  |  | 675,851 |
| Hotels, restaurants and leisure 0.4% |
| McDonald's Corp. (Z) |  |  | 7,000 |  |  | 675,851 |
| Consumer staples 1.1% |  |  | 2,105,950 |
| Food products 0.7% |
| Kraft Foods Group, Inc. (Z) |  |  | 15,000 |  |  | 1,271,250 |
| Tobacco 0.4% |
| Philip Morris International, Inc. (Z) |  |  | 10,000 |  |  | 834,700 |
| Energy 0.3% |  |  | 507,440 |
| Oil, gas and consumable fuels 0.3% |
| Royal Dutch Shell PLC, ADR, Class A (Z) |  |  | 8,000 |  |  | 507,440 |
| Financials 1.4% |  |  | 2,586,354 |
| Banks 0.4% |
| U.S. Bancorp (Z) |  |  | 14,500 |  |  | 621,615 |
| Capital markets 0.6% |
| Ares Capital Corp. (Z) |  |  | 33,500 |  |  | 570,170 |
| The Carlyle Group LP (Z) |  |  | 20,100 |  |  | 606,819 |
| Real estate investment trusts 0.4% |
| Weyerhaeuser Company (Z) |  |  | 25,000 |  |  | 787,750 |
| Health care 1.2% |  |  | 2,341,214 |
| Pharmaceuticals 1.2% |
| Johnson & Johnson (Z) |  |  | 8,258 |  |  | 819,194 |
| Pfizer, Inc. (Z) |  |  | 24,000 |  |  | 814,320 |
| Sanofi, ADR (Z) |  |  | 14,000 |  |  | 707,700 |
| Industrials 0.6% |  |  | 1,118,570 |
| Commercial services and supplies 0.4% |
| Republic Services, Inc. (Z) |  |  | 20,000 |  |  | 812,600 |
| Machinery 0.2% |
| Stanley Black & Decker, Inc. (Z) |  |  | 3,100 |  |  | 305,970 |

SEE NOTES TO FINANCIAL STATEMENTS 25

|  |  |  | Shares |  |  | Value |
| Information technology 0.9% |  |  | $1,609,660 |
| Semiconductors and semiconductor equipment 0.5% |
| Intel Corp. (Z) |  |  | 26,000 |  |  | 846,300 |
| Technology hardware, storage and peripherals 0.4% |
| Seagate Technology PLC (Z) |  |  | 13,000 |  |  | 763,360 |
| Materials 0.3% |  |  | 549,000 |
| Chemicals 0.3% |
| E.I. du Pont de Nemours & Company (Z) |  |  | 7,500 |  |  | 549,000 |
| Telecommunication services 0.4% |  |  | 731,380 |
| Diversified telecommunication services 0.4% |
| Verizon Communications, Inc. (Z) |  |  | 14,500 |  |  | 731,380 |
| Preferred securities (b) 1.7% (1.2% of Total investments) |  |  | $3,170,289 |
| (Cost $3,176,147) |
| Consumer staples 0.3% |  |  | 585,156 |
| Food and staples retailing 0.3% |
| Ocean Spray Cranberries, Inc., Series A, 6.250% (S) |  |  |  |  |  | 6,250 |  |  | 585,156 |
| Financials 0.7% |  |  | 1,333,900 |
| Banks 0.1% |
| Wells Fargo & Company, Series L, 7.500% |  |  |  |  |  | 192 |  |  | 234,000 |
| Consumer finance 0.5% |
| Ally Financial, Inc., 7.000% (S) |  |  |  |  |  | 346 |  |  | 352,531 |
| GMAC Capital Trust I (8.125% to 2-15-16, then 3 month LIBOR + 5.785%) (Z) |  |  |  |  |  | 24,985 |  |  | 656,606 |
| Real estate investment trusts 0.1% |
| Weyerhaeuser Company, 6.375% (I) |  |  |  |  |  | 1,700 |  |  | 90,763 |
| Industrials 0.2% |  |  | 359,155 |
| Aerospace and defense 0.2% |
| United Technologies Corp., 7.500% (Z) |  |  |  |  |  | 6,106 |  |  | 359,155 |
| Telecommunication services 0.1% |  |  | 207,267 |
| Diversified telecommunication services 0.1% |
| Intelsat SA, 5.750% (Z) |  |  |  |  |  | 5,900 |  |  | 207,267 |
| Utilities 0.4% |  |  | 684,811 |
| Electric utilities 0.1% |
| Exelon Corp., 6.500% (Z) |  |  |  |  |  | 4,341 |  |  | 213,881 |
| Multi-utilities 0.3% |
| Dominion Resources, Inc., 6.375% (I)(Z) |  |  |  |  |  | 9,485 |  |  | 470,930 |

26 SEE NOTES TO FINANCIAL STATEMENTS

|  |  |  | Rate (%) |  |  | Maturity date |  |  | Par value^ |  |  | Value |
| Escrow certificates 0.0% (0.0% of Total investments) |  |  | $123 |
| (Cost $0) |
| Materials 0.0% |  |  | 123 |
| Smurfit-Stone Container Corp. (I) |  |  | 8.000 |  |  | 03-15-17 |  |  | 245,000 |  |  | 123 |
|  |  |  |  |  |  | Par value |  |  | Value |
| Short-term investments 1.7% (1.1% of Total investments) |  |  | $3,119,000 |
| (Cost $3,119,000) |
| Repurchase agreement 1.7% |  |  | 3,119,000 |
| Repurchase Agreement with State Street Corp., dated 4-30-15 at 0.000% to be repurchased at $3,119,000 on 5-1-15, collateralized by $3,175,000 Federal National Mortage Association, 1.670% due 2-10-20 (valued at $3,182,931, including interest) |  |  |  |  |  | 3,119,000 |  |  | 3,119,000 |
| Total investments (Cost $264,589,955)† 147.9% |  |  | $275,526,218 |
| Other assets and liabilities, net (47.9%) |  |  | ($89,253,882 | )
| Total net assets 100.0% |  |  | $186,272,336 |

The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund.
^ All par values are denominated in U.S. dollars unless otherwise indicated.
Key to Security Abbreviations and Legend
ADR | American Depositary Receipts
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
REIT | Real Estate Investment Trust
(a) | Includes hybrid securities with characteristics of both equity and debt that trade with and pay, interest income.
(b) | Includes preferred stocks and hybrid securities with characteristics of both equity and debt that pay dividends on a periodic basis.
(H) | Non-income producing - Issuer is in default.
(I) | Non-income producing security.
(M) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end.
(P) | Variable rate obligation. The coupon rate shown represents the rate at period end.
(Q) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date.
(S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. Rule 144A securities amounted to $73,034,988 or 39.2% of the fund's net assets as of 4-30-15.
(Z) | All or a portion of this security is pledged as collateral pursuant to the Credit Facility Agreement. Total collateral value at 4-30-15 was $181,750,733.
† | At 4-30-15, the aggregate cost of investment securities for federal income tax purposes was $266,014,333. Net unrealized appreciation aggregated $9,511,885, of which $13,814,806 related to appreciated investment securities and $4,302,921 related to depreciated investment securities.

SEE NOTES TO FINANCIAL STATEMENTS 27

Financial statements

STATEMENT OF ASSETS AND LIABILITIES 4-30-15 (unaudited)

| Assets |  |  |  |  |  |  |
| Investments, at value (Cost $264,589,955) |  |  |  |  |  | $275,526,218 |
| Cash |  |  |  |  |  | 53,841 |
| Cash segregated at custodian for swap contracts |  |  |  |  |  | 280,000 |
| Receivable for investments sold |  |  |  |  |  | 1,083,113 |
| Dividends and interest receivable |  |  |  |  |  | 2,484,744 |
| Other receivables and prepaid expenses |  |  |  |  |  | 32,501 |
| Total assets |  |  |  |  |  | 279,460,417 |
| Liabilities |  |  |  |  |  |  |
| Credit facility agreement payable |  |  |  |  |  | 91,300,000 |
| Payable for investments purchased |  |  |  |  |  | 1,225,142 |
| Swap contracts, at value |  |  |  |  |  | 515,143 |
| Interest payable |  |  |  |  |  | 67,026 |
| Payable to affiliates |  |  |  |  |  |  |
| Trustees' fees |  |  |  |  |  | 371 |
| Other liabilities and accrued expenses |  |  |  |  |  | 80,399 |
| Total liabilities |  |  |  |  |  | 93,188,081 |
| Net assets |  |  |  |  |  | $186,272,336 |
| Net assets consist of |  |  |  |  |  |  |
| Paid-in capital |  |  |  |  |  | $185,634,025 |
| Undistributed net investment income |  |  |  |  |  | 465,311 |
| Accumulated net realized gain (loss) on investments and swap agreements |  |  |  |  |  | (10,248,120 | )
| Net unrealized appreciation (depreciation) on investments and swap agreements |  |  |  |  |  | 10,421,120 |
| Net assets |  |  |  |  |  | $186,272,336 |
| Net asset value per share |  |  |  |  |  |  |
| Based on 11,743,104 shares of beneficial interest outstanding — unlimited number of shares authorized with no par value |  |  |  |  |  | $15.86 |

28 SEE NOTES TO FINANCIAL STATEMENTS

STATEMENT OF OPERATIONS For the six months ended 4-30-15 (unaudited)

| Investment income |  |  |  |  |  |  |  |  |  |
| Interest |  |  |  |  |  |  |  |  | $5,697,353 |
| Dividends |  |  |  |  |  |  |  |  | 344,697 |
| Less foreign taxes withheld |  |  |  |  |  |  |  |  | (1,999 | )
| Total investment income |  |  |  |  |  |  |  |  | 6,040,051 |
| Expenses |  |  |  |  |  |  |  |  |  |
| Investment management fees |  |  |  |  |  |  |  |  | 709,355 |
| Accounting and legal services fees |  |  |  |  |  |  |  |  | 13,889 |
| Transfer agent fees |  |  |  |  |  |  |  |  | 45,538 |
| Trustees' fees |  |  |  |  |  |  |  |  | 14,883 |
| Printing and postage |  |  |  |  |  |  |  |  | 29,387 |
| Professional fees |  |  |  |  |  |  |  |  | 30,241 |
| Custodian fees |  |  |  |  |  |  |  |  | 13,018 |
| Stock exchange listing fees |  |  |  |  |  |  |  |  | 11,709 |
| Interest expense |  |  |  |  |  |  |  |  | 366,489 |
| Other |  |  |  |  |  |  |  |  | 14,597 |
| Total expenses |  |  |  |  |  |  |  |  | 1,249,106 |
| Less expense reductions |  |  |  |  |  |  |  |  | (10,418 | )
| Net expenses |  |  |  |  |  |  |  |  | 1,238,688 |
| Net investment income |  |  |  |  |  |  |  |  | 4,801,363 |
| Realized and unrealized gain (loss) |  |  |  |  |  |  |  |  |  |
| Net realized gain (loss) on |  |  |  |  |  |  |  |  |  |
| Investments |  |  |  |  |  |  |  |  | 933,502 |
| Swap contracts |  |  |  |  |  |  |  |  | (226,273 | )
|  |  |  |  |  |  |  |  |  | 707,229 |
| Change in net unrealized appreciation (depreciation) of |  |  |  |  |  |  |  |  |  |
| Investments |  |  |  |  |  |  |  |  | 166,252 |
| Swap contracts |  |  |  |  |  |  |  |  | 50,020 |
|  |  |  |  |  |  |  |  |  | 216,272 |
| Net realized and unrealized gain |  |  |  |  |  |  |  |  | 923,501 |
| Increase in net assets from operations |  |  |  |  |  |  |  |  | $5,724,864 |

SEE NOTES TO FINANCIAL STATEMENTS 29

STATEMENTS OF CHANGES IN NET ASSETS

|  |  |  |  |  |  |  |  |  | Six months ended 4-30-15 |  |  |  |  |  |  |  |  |  |  |  | Year ended 10-31-14 |  |  |  |
|  |  |  |  |  |  |  |  |  | (unaudited) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Increase (decrease) in net assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| From operations |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Net investment income |  |  |  |  |  |  |  |  | $4,801,363 |  |  |  |  |  |  |  |  | $10,077,544 |
| Net realized gain |  |  |  |  |  |  |  |  | 707,229 |  |  |  |  |  |  |  |  | 2,902,375 |
| Change in net unrealized appreciation (depreciation) |  |  |  |  |  |  |  |  | 216,272 |  |  |  |  |  |  |  |  | 3,628,250 |
| Increase in net assets resulting from operations |  |  |  |  |  |  |  |  | 5,724,864 |  |  |  |  |  |  |  |  | 16,608,169 |
| Distributions to shareholders |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| From net investment income |  |  |  |  |  |  |  |  | (5,414,747 | ) |  |  |  |  |  |  |  | (11,186,482 | )
| Total increase |  |  |  |  |  |  |  |  | 310,117 |  |  |  |  |  |  |  |  | 5,421,687 |
| Net assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Beginning of period |  |  |  |  |  |  |  |  | 185,962,219 |  |  |  |  |  |  |  |  | 180,540,532 |
| End of period |  |  |  |  |  |  |  |  | $186,272,336 |  |  |  |  |  |  |  |  | $185,962,219 |
| Undistributed net investment income |  |  |  |  |  |  |  |  | $465,311 |  |  |  |  |  |  |  |  | $1,078,695 |
| Shares outstanding |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| At beginning and end of period |  |  |  |  |  |  |  |  | 11,743,104 |  |  |  |  |  |  |  |  | 11,743,104 |

30 SEE NOTES TO FINANCIAL STATEMENTS

STATEMENT OF CASH FLOWS For the six months ended 4-30-15 (unaudited)

| Cash flows from operating activities |  |  |  |
| Net increase in net assets from operations |  |  | $5,724,864 |
| Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: |
| Long-term investments purchased |  |  | (67,401,864) |
| Long-term investments sold |  |  | 69,857,106 |
| Increase in short-term investments |  |  | (2,556,000) |
| Net amortization of premium (discount) |  |  | 1,752,302 |
| Decrease in dividends and interest receivable |  |  | 49,469 |
| Increase in receivable for investments sold |  |  | (1,083,113) |
| Increase in other receivables and prepaid assets |  |  | (22,077) |
| Increase in payable for investments purchased |  |  | 309,265 |
| Decrease in unrealized depreciation of swap contracts |  |  | (50,020) |
| Decrease in payable to affiliates |  |  | (2,550) |
| Increase in interest payable |  |  | 16,571 |
| Decrease in other liabilities and accrued expenses |  |  | (26,205) |
| Net change in unrealized (appreciation) depreciation on investments |  |  | (166,252) |
| Net realized gain on investments |  |  | (933,502) |
| Net cash provided by operating activities |  |  | $5,467,994 |
| Cash flows from financing activities |  |  |  |
| Distributions to common shareholders |  |  | (5,414,747) |
| Net cash used in financing activities |  |  | ($5,414,747 | )
| Net increase in cash |  |  | $53,247 |
| Cash at beginning of period |  |  | $594 |
| Cash at end of period |  |  | $53,841 |
| Supplemental disclosure of cash flow information |  |  |  |
| Cash paid for interest |  |  | $349,918 |

SEE NOTES TO FINANCIAL STATEMENTS 31

Financial highlights

| COMMON SHARES Period Ended |  |  | 4-30-151 |  |  |  |  |  | 10-31-14 |  |  |  |  |  | 10-31-13 |  |  |  |  |  | 10-31-12 |  |  |  |  |  | 10-31-11 |  |  |  |  |  | 10-31-10 |
| Per share operating performance |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Net asset value, beginning of period |  |  |  |  |  |  |  |  |  |  |  | $15.84 |  |  |  |  |  |  |  |  | $15.37 |  |  |  |  |  |  |  |  | $15.88 |  |  |  |  |  |  |  |  | $14.64 |  |  |  |  |  |  |  |  | $14.82 |  |  |  |  |  |  |  |  | $13.42 |
| Net investment income2 |  |  |  |  |  |  |  |  |  |  |  | 0.41 |  |  |  |  |  |  |  |  | 0.86 |  |  |  |  |  |  |  |  | 0.91 |  |  |  |  |  |  |  |  | 1.03 |  |  |  |  |  |  |  |  | 1.08 |  |  |  |  |  |  |  |  | 1.19 |
| Net realized and unrealized gain (loss) on investments |  |  |  |  |  |  |  |  |  |  |  | 0.07 |  |  |  |  |  |  |  |  | 0.56 |  |  |  |  |  |  |  |  | (0.39 | ) |  |  |  |  |  |  |  | 1.31 |  |  |  |  |  |  |  |  | (0.13 | ) |  |  |  |  |  |  |  | 1.37 |
| Total from investment operations |  |  |  |  |  |  |  |  |  |  |  | 0.48 |  |  |  |  |  |  |  |  | 1.42 |  |  |  |  |  |  |  |  | 0.52 |  |  |  |  |  |  |  |  | 2.34 |  |  |  |  |  |  |  |  | 0.95 |  |  |  |  |  |  |  |  | 2.56 |
| Less distributions to common shareholders |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| From net investment income |  |  |  |  |  |  |  |  |  |  |  | (0.46 | ) |  |  |  |  |  |  |  | (0.95 | ) |  |  |  |  |  |  |  | (1.03 | ) |  |  |  |  |  |  |  | (1.10 | ) |  |  |  |  |  |  |  | (1.13 | ) |  |  |  |  |  |  |  | (1.16 | )
| Net asset value, end of period |  |  |  |  |  |  |  |  |  |  |  | $15.86 |  |  |  |  |  |  |  |  | $15.84 |  |  |  |  |  |  |  |  | $15.37 |  |  |  |  |  |  |  |  | $15.88 |  |  |  |  |  |  |  |  | $14.64 |  |  |  |  |  |  |  |  | $14.82 |
| Per share market value, end of period |  |  |  |  |  |  |  |  |  |  |  | $14.34 |  |  |  |  |  |  |  |  | $14.29 |  |  |  |  |  |  |  |  | $14.28 |  |  |  |  |  |  |  |  | $16.53 |  |  |  |  |  |  |  |  | $14.81 |  |  |  |  |  |  |  |  | $14.76 |
| Total return at net asset value (%)3,4 |  |  |  |  |  |  |  |  |  |  |  | 3.37 | 5 |  |  |  |  |  |  |  | 10.02 |  |  |  |  |  |  |  |  | 3.51 |  |  |  |  |  |  |  |  | 16.57 |  |  |  |  |  |  |  |  | 6.78 |  |  |  |  |  |  |  |  | 19.90 |
| Total return at market value (%)4 |  |  |  |  |  |  |  |  |  |  |  | 3.60 | 5 |  |  |  |  |  |  |  | 6.83 |  |  |  |  |  |  |  |  | (7.61 | ) |  |  |  |  |  |  |  | 19.95 |  |  |  |  |  |  |  |  | 8.46 |  |  |  |  |  |  |  |  | 23.85 |
| Ratios and supplemental data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Net assets applicable to common shares, end of period (in millions) |  |  |  |  |  |  |  |  |  |  |  | $186 |  |  |  |  |  |  |  |  | $186 |  |  |  |  |  |  |  |  | $181 |  |  |  |  |  |  |  |  | $186 |  |  |  |  |  |  |  |  | $170 |  |  |  |  |  |  |  |  | $171 |
| Ratios (as a percentage of average net assets): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  |  |  | Expenses before reductions |  |  |  |  |  |  |  |  |  |  |  | 1.36 | 6 |  |  |  |  |  |  |  | 1.33 |  |  |  |  |  |  |  |  | 1.35 |  |  |  |  |  |  |  |  | 1.53 |  |  |  |  |  |  |  |  | 1.56 |  |  |  |  |  |  |  |  | 1.78 |
|  |  |  | Expenses including reductions7 |  |  |  |  |  |  |  |  |  |  |  | 1.35 | 6 |  |  |  |  |  |  |  | 1.32 |  |  |  |  |  |  |  |  | 1.35 |  |  |  |  |  |  |  |  | 1.53 |  |  |  |  |  |  |  |  | 1.56 |  |  |  |  |  |  |  |  | 1.78 |
|  |  |  | Net investment income |  |  |  |  |  |  |  |  |  |  |  | 5.23 | 6 |  |  |  |  |  |  |  | 5.50 |  |  |  |  |  |  |  |  | 5.81 |  |  |  |  |  |  |  |  | 6.88 |  |  |  |  |  |  |  |  | 7.34 |  |  |  |  |  |  |  |  | 8.44 |
| Portfolio turnover (%) |  |  |  |  |  |  |  |  |  |  |  | 25 |  |  |  |  |  |  |  |  | 52 |  |  |  |  |  |  |  |  | 60 |  |  |  |  |  |  |  |  | 50 |  |  |  |  |  |  |  |  | 71 |  |  |  |  |  |  |  |  | 79 |
| Senior securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total debt outstanding end of period (in millions) |  |  |  |  |  |  |  |  |  |  |  | $91 |  |  |  |  |  |  |  |  | $91 |  |  |  |  |  |  |  |  | $90 |  |  |  |  |  |  |  |  | $90 |  |  |  |  |  |  |  |  | $87 |  |  |  |  |  |  |  |  | $84 |
| Asset coverage per $1,000 of debt8 |  |  |  |  |  |  |  |  |  |  |  | $3,040 |  |  |  |  |  |  |  |  | $3,037 |  |  |  |  |  |  |  |  | $2,999 |  |  |  |  |  |  |  |  | $3,057 |  |  |  |  |  |  |  |  | $2,957 |  |  |  |  |  |  |  |  | $3,051 |

1 | Six months ended 4-30-15. Unaudited. |  |
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 | Total return based on net asset value reflects changes in the fund's net asset value during each period. Total return based on market value reflects changes in market value. Each figure assumes that dividend and capital gain distributions, if any, were reinvested. These figures will differ depending upon the level of any discount from or premium to net asset value at which the fund's shares traded during the period. |  |
5 | Not annualized. |  |
6 | Annualized. |  |
7 | Expenses including reductions excluding interest expense were 0.95%, 1.00%, 1.01%, 1.06%,1.04% and 1.12% for the periods ended 4-30-15, 10-31-14, 10-31-13, 10-31-12, 10-31-11 and 10-31-10, respectively. |  |
8 | Asset coverage equals the total net assets plus borrowings divided by the borrowings of the fund outstanding at period end (Note 8). As debt outstanding amount changes, level of invested assets may change accordingly. Asset coverage ratio provides a measure of leverage. |  |

32 SEE NOTES TO FINANCIAL STATEMENTS

Notes to financial statements (unaudited)

Note 1 — Organization

John Hancock Income Securities Trust (the fund) is a closed-end management investment company organized as a Massachusetts business trust and registered under the Investment Company Act of 1940, as amended (the 1940 Act).

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. Swaps are valued using evaluated prices obtained from an independent pricing vendor. 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 April 30, 2015, by major security category or type:

|  |  |  | Total market value at 4-30-15 |  |  | Level 1 quoted price |  |  | Level 2 significant observable inputs |  |  | Level 3 significant unobservable inputs |
| Corporate bonds |  |  | $133,174,878 |  |  | — |  |  | $133,174,878 |  |  | — |
| Term loans |  |  | 923,951 |  |  | — |  |  | 923,951 |  |  | — |
| Capital preferred securities |  |  | 3,596,526 |  |  | — |  |  | 3,596,526 |  |  | — |
| U.S. Government and Agency obligations |  |  | 61,398,024 |  |  | — |  |  | 61,398,024 |  |  | — |

33

|  |  |  | Total market value at 4-30-15 |  |  | Level 1 quoted price |  |  | Level 2 significant observable inputs |  |  | Level 3 significant unobservable inputs |
| Foreign government obligations |  |  | 329,724 |  |  | — |  |  | 329,724 |  |  | — |
| Collateralized mortgage obligations |  |  | 35,083,830 |  |  | — |  |  | 34,830,508 |  |  | $253,322 |
| Asset backed securities |  |  | 22,504,454 |  |  | — |  |  | 22,504,454 |  |  | — |
| Common stocks |  |  | 12,225,419 |  |  | $12,225,419 |  |  | — |  |  | — |
| Preferred securities |  |  | 3,170,289 |  |  | 2,232,602 |  |  | 937,687 |  |  | — |
| Escrow certificates |  |  | 123 |  |  | — |  |  | — |  |  | 123 |
| Short-term investments |  |  | 3,119,000 |  |  | — |  |  | 3,119,000 |  |  | — |
| Total investments in securities |  |  | $275,526,218 |  |  | $14,458,021 |  |  | $260,814,752 |  |  | $253,445 |
| Other financial instruments |  |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate swaps |  |  | ($515,143 | ) |  | — |  |  | ($515,143 | ) |  | — |

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. 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. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain if amounts are estimable. Foreign taxes are provided for based on the fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds from litigation.

Foreign taxes. The fund may be subject to withholding tax on income and/or capital gains or repatriation taxes imposed by certain countries in which the fund invests. Taxes are accrued based upon investment income, realized gains or unrealized appreciation.

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

34

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.

Overdrafts. Pursuant to the custodian agreement, the fund's custodian may, in its discretion, advance funds to the fund to make properly authorized payments. When such payments result in an overdraft, the fund is obligated to repay the custodian for any overdraft, including any costs or expenses associated with the overdraft. The custodian may have a lien, security interest or security entitlement in any fund property that is not otherwise segregated or pledged, to the maximum extent permitted by law, to the extent of any overdraft.

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.

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.

Under the Regulated Investment Company Modernization Act of 2010, the fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

For federal income tax purposes, as of October 31, 2014, the fund had a capital loss carryforward of $9,792,647 available to offset future net realized capital gains. The following table details the capital loss carryforward available:

Capital loss carryforward expiring at October 31
2015 | 2016 | 2017 | 2018
$1,203,825 | $1,367,076 | $6,785,450 | $436,296

As of October 31, 2014, 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 and pays dividends quarterly and capital gain distributions, if any, annually.

Such distributions, on a tax basis, are determined in conformity with income tax regulations, which may differ from US GAAP. The final determination of tax characteristics of the fund's distribution will occur at the end of the fiscal year and will subsequently be reported to shareholders.

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 derivative transactions and amortization and accretion on debt securities.

Statement of cash flows. Information on financial transactions that have been settled through the receipt and disbursement of cash is presented in the Statement of cash flows. The cash amount shown in the Statement of cash flows is the amount included in the fund's Statement of assets and liabilities and represents the cash on hand at the fund's custodian and does not include any short-term investments or cash segregated at the custodian for swap contracts.

35

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 market, on a regulated exchange or through a clearing facility. The risks in using derivatives vary depending upon the structure of the instruments, including the use of leverage, optionality, the liquidity or lack of liquidity of the contract, the creditworthiness of the counterparty or clearing organization and the volatility of the position. Some derivatives involve risks that are potentially greater than the risks associated with investing directly in the referenced securities or other referenced underlying instrument. Specifically, the fund is exposed to the risk that the counterparty to an OTC derivatives contract will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. OTC derivatives transactions typically can only be closed out with the other party to the transaction.

Certain swaps are traded through the OTC market and may be regulated by the Commodity Futures Trading Commission (the CFTC). Derivative counterparty risk is managed through an ongoing evaluation of the creditworthiness of all potential counterparties and, if applicable, designated clearing organizations. The fund attempts to reduce its exposure to counterparty risk for derivatives traded in the OTC market, whenever possible, by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement with each of its OTC counterparties. The ISDA gives each party to the agreement the right to terminate all transactions traded under the agreement if there is certain deterioration in the credit quality or contractual default of the other party, as defined in the ISDA. Upon an event of default or a termination of the ISDA, the non-defaulting party has the right to close out all transactions and to net amounts owed.

As defined by the ISDA, the fund may have collateral agreements with certain counterparties to mitigate counterparty risk on OTC derivatives. Subject to established minimum levels, collateral for OTC transactions is generally determined based on the net aggregate unrealized gain or loss on contracts with a particular counterparty. Collateral pledged to the fund is held in a segregated account by a third-party agent or held by the custodian bank for the benefit of the fund and can be in the form of cash or debt securities issued by the U.S. government or related agencies; collateral posted by the fund for OTC transactions is held in a segregated account at the fund's custodian and is noted in the accompanying Fund's investments, or if cash is posted, on the Statement of assets and liabilities. The fund's maximum risk of loss due to counterparty risk is equal to the asset value of outstanding contracts offset by collateral received.

Interest rate swaps. Interest rate swaps represent an agreement between the fund and a counterparty to exchange cash flows based on the difference between two interest rates applied to a notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other. The fund settles accrued net interest receivable or payable under the swap contracts at specified, future intervals. Swap agreements are privately negotiated in the OTC market or may be executed on a registered commodities exchange (centrally cleared swaps). Swaps are marked-to-market daily and the change in value is recorded as unrealized appreciation/depreciation of swap contracts. A termination payment by the counterparty or the fund is recorded as realized gain or loss, as well as the net periodic payments received or paid by the fund. The value of the swap will typically impose collateral posting obligations on the party that is considered out-of-the-money on the swap.

Entering into swap agreements involves, to varying degrees, elements of credit, market and documentation risk that may amount to values that are in excess of the amounts recognized on the Statement of assets and liabilities. Such risks involve the possibility that there will be no liquid market for the swap, or that a counterparty may default on its obligation or delay payment under the swap terms. The counterparty may disagree or contest the terms of the swap. Market risks may also accompany the swap, including interest rate risk. The fund may also suffer losses if it is unable to terminate or assign outstanding swaps or reduce its exposure through offsetting transactions.

During the six months ended April 30, 2015, the fund used interest rate swaps in anticipation of rising interest rates. The following table summarizes the interest rate swap contracts held as of April 30, 2015.

| Counterparty |  |  | USD notional amount |  |  | Payments made by fund |  |  | Payments received by fund |  |  | Maturity date |  |  | Market value |
| Morgan Stanley Capital Services |  |  | $22,000,000 |  |  | Fixed 1.442500% |  |  | 3 Month LIBOR (a) |  |  | Aug 2016 |  |  | ($305,505 | )

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| Counterparty |  |  | USD notional amount |  |  | Payments made by fund |  |  | Payments received by fund |  |  | Maturity date |  |  | Market value |
| Morgan Stanley Capital Services |  |  | 22,000,000 |  |  | Fixed 1.093750% |  |  | 3 Month LIBOR (a) |  |  | May 2017 |  |  | (209,638 | )
| Total |  |  | $44,000,000 |  |  |  |  |  |  |  |  |  |  |  | ($515,143 | )

(a) At 4-30-15, the 3-month LIBOR rate was 0.27875%

No interest rate swap positions were entered into or closed during the six months ended April 30, 2015.

Fair value of derivative instruments by risk category

The table below summarizes the fair value of derivatives held by the fund at April 30, 2015 by risk category:

| Risk |  |  | Statement of assets and liabilities location |  |  | Financial instruments location |  |  | Asset derivatives fair value |  |  | Liabilities derivative fair value |
| Interest rate contracts |  |  | Swap contracts, at value |  |  | Interest rate swaps |  |  | — |  |  | ($515,143 | )

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 six months ended April 30, 2015:

| Risk |  |  | Statement of operations location |  |  | Swap contracts |
| Interest rate contracts |  |  | Net realized gain (loss) |  |  | ($226,273 | )

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 six months ended April 30, 2015:

Risk | Statement of operations location | Swap contracts
Interest rate contracts | Change in unrealized appreciation (depreciation) | $50,020

Note 4 — Guarantees and indemnifications

Under the fund's organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to 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. The Advisor is an indirect, wholly owned subsidiary of Manulife Financial Corporation (MFC).

Management fee. The fund has an investment advisory agreement with the Advisor under which the fund pays a daily management fee to the Advisor, on an annual basis, equal to the sum of (a) 0.650% of the first $150 million of the fund's average daily managed assets (net assets plus borrowings under the Credit Facility Agreement) (see Note 7), (b) 0.375% of the next $50 million of the fund's average daily managed assets, (c) 0.350% of the next $100 million of the fund's average daily managed assets and (d) 0.300% of the fund's average daily managed assets in excess of $300 million. 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 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

37

participating portfolios in proportion to the daily net assets of each fund. During the six months ended April 30, 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 expense reductions described above amounted to $10,418 for the six months ended April 30, 2015.

The investment management fees, including the impact of the waivers and reimbursements as described above, incurred for the six months ended April 30, 2015 were equivalent to a net annual effective rate of 0.51% of the fund's average daily managed 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 accounting and legal services fees incurred for the six months ended April 30, 2015 amounted to an annual rate of 0.01% of the fund's average daily managed assets.

Trustee expenses. The fund compensates each Trustee who is not an employee of the Advisor or its affiliates. Each independent Trustee receives from the fund and the other John Hancock closed-end funds an annual retainer. In addition, Trustee out-of-pocket expenses are allocated to each fund based on its net assets relative to other funds within the John Hancock group of funds complex.

Note 6 — Fund share transactions

On March 12, 2015, the Board of Trustees approved a share repurchase plan. Under the share repurchase plan, the fund may purchase in the open market up to 10% of its outstanding common shares as of February 28, 2015. The current share repurchase plan will remain in effect between March 13, 2015 and December 31, 2015. During the six months ended April 30, 2015, there was no activity under the share repurchase plan.

Note 7 — Leverage risk

The fund utilizes a Credit Facility Agreement (CFA) to increase its assets available for investment. When the fund leverages its assets, common shareholders bear the fees associated with the CFA and have potential to benefit or be disadvantaged from the use of leverage. The Advisor's fee is also increased in dollar terms from the use of leverage. Consequently, the fund and the Advisor may have differing interests in determining whether to leverage the fund's assets. Leverage creates risks that may adversely affect the return for the holders of common shares, including:

• | the likelihood of greater volatility of net asset value and market price of common shares;
• | fluctuations in the interest rate paid for the use of the credit facility;
• | increased operating costs, which may reduce the fund's total return;
• | the potential for a decline in the value of an investment acquired through leverage, while the fund's obligations under such leverage remains fixed; and
• | the fund is more likely to have to sell securities in a volatile market in order to meet asset coverage or other debt compliance requirements.

To the extent the income or capital appreciation derived from securities purchased with funds received from leverage exceeds the cost of leverage, the fund's return will be greater than if leverage had not been used, conversely, returns would be lower if the cost of the leverage exceeds the income or capital appreciation derived. In addition to the risks created by the fund's use of leverage, the fund is subject to the risk that it would be unable to timely, or at all, obtain replacement financing if the CFA is terminated. Were this to happen, the fund would be required to de-leverage, selling securities at a potentially inopportune time and incurring tax consequences. Further, the fund's ability to generate income from the use of leverage would be adversely affected.

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Note 8 — Credit facility agreement

The fund has entered into a CFA with Credit Suisse Securities (USA) LLC (CSSU), pursuant to which the fund borrows money to increase its assets available for investment. In accordance with the 1940 Act, the fund's borrowings under the CFA will not exceed 33 1/3% of the fund's managed assets (net assets plus borrowings) at the time of any borrowing.

The fund pledges a portion of its assets as collateral to secure borrowings under the CFA. Such pledged assets are held in a special custody account with the fund's custodian. The amount of assets required to be pledged by the fund is determined in accordance with the CFA. The fund retains the benefits of ownership of assets pledged to secure borrowings under the CFA. Interest charged is at the rate of one month LIBOR (London Interbank Offered Rate) plus 0.70% and is payable monthly. Prior to January 1, 2015, the interest rate charged under CFA was a rate of three month LIBOR plus 0.41% (paid monthly). As of April 30, 2015, the fund had borrowings of $91,300,000, at an interest rate of 0.88%, which is reflected in the Credit facility agreement payable on the Statement of assets and liabilities. During the six months ended April 30, 2015, the average borrowings under the CFA and the effective average interest rate were $91,300,000 and 0.81%, respectively.

The fund may terminate the CFA with CSSU at any time. If certain asset coverage and collateral requirements or other covenants are not met, the CFA could be deemed in default and result in termination. Absent a default or facility termination event, CSSU generally is required to provide the fund with 270 calendar days' notice prior to terminating or amending the CFA.

Note 9 — Purchase and sale of securities

Purchases and sales of securities, other than short-term investments and U.S. Treasury obligations, amounted to $41,036,382 and $51,477,292, respectively, for the six months ended April 30, 2015. Purchases and sales of U.S. Treasury obligations aggregated $26,365,482 and $18,379,814, respectively, for the six months ended April 30, 2015.

39

ADDITIONAL INFORMATION

Unaudited

Investment objective and policy

The fund is a closed-end, diversified management investment company, common shares of which were initially offered to the public on February 14, 1973 and are publicly traded on the New York Stock Exchange (the NYSE). The fund's investment objective is to generate a high level of current income consistent with prudent investment risk. There can be no assurance that the fund will achieve its investment objective. The fund utilizes a credit facility agreement to increase its assets available for investments.

Under normal circumstances, the fund invests at least 80% of its net assets (plus borrowings for investment purposes) in income securities, consisting of the following: (i) marketable corporate debt securities, (ii) governmental obligations and (iii) cash and commercial paper. The fund will notify shareholders at least 60 days prior to any change in this 80% investment policy. The fund may invest up to 20% of its total assets in income-producing preferred securities and common stocks.

Effective March 20, 2013, the Board of Trustees approved a revision to the fund's investment policy regarding the amount of the fund's securities that is rated investment grade. The new investment policy provides that the fund will invest at least 75% of its net assets (plus borrowings for investment purposes) in debt securities that are rated, at the time of acquisition, investment grade (i.e., at least "Baa" by Moody's Investors Service, Inc. (Moody's) or "BBB" by Standard & Poor's Ratings Services (S&P)), or in unrated securities determined by the fund's investment advisor or subadvisor to be of comparable credit quality. Under the new investment policy, the fund can invest up to 25% of its net assets (plus borrowings for investment purposes) in debt securities that are rated, at the time of acquisition, below investment grade (junk bonds) (i.e., rated "Ba" or lower by Moody's or "BB" or lower by S&P), or in unrated securities determined by the fund's advisor or subadvisor to be of comparable quality.

Dividends and distributions

During the six months ended April 30, 2015, dividends from net investment income totaling $0.4611 per share were paid to shareholders. The dates of payments and the amounts per share were as follows:

Payment date | Income distributions
December 31, 2014 | $0.2411
March 31, 2015 | 0.2200
Total | $0.4611

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Shareholder meeting

The fund held its Annual Meeting of Shareholders on January 26, 2015. The following proposal was considered by the shareholders:

Proposal: Election of twelve (12) Trustees to serve for a three-year term ending at the 2018 Annual Meeting of Shareholders. Each Trustee was re-elected by the fund's shareholders and the votes cast with respect to each Trustee are set forth below.

| Total votes for the nominee | Total votes withheld from the nominee
Independent Trustees |  |
Charles L. Bardelis | 7,582,881.113 | 291,838.637
Peter S. Burgess | 7,580,257.113 | 294,462.637
William H. Cunningham | 7,576,492.113 | 298,227.637
Grace K. Fey | 7,594,233.465 | 280,486.285
Theron S. Hoffman | 7,580,580.465 | 294,139.285
Deborah C. Jackson | 7,586,725.465 | 287,994.285
Hassell H. McClennan | 7,583,635.465 | 291,084.285
James M. Oates | 7,577,232.113 | 297,487.637
Steven R. Pruchansky | 7,578,379.465 | 296,340.285
Gregory A. Russo | 7,584,279.465 | 290,440.285
Non-Independent Trustee |  |
Craig Bromley | 7,571,029.465 | 303,690.265
Warren A. Thomson | 7,531,815.465 | 342,904.285

Mr. James R. Boyle was not up for election; the Board appointed Mr. Boyle to serve as a Non-Independent Trustee on March 10, 2015.

41

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 Custodian State Street Bank and Trust Company Transfer agent Computershare Shareowner Services, LLC Legal counsel K&L Gates LLP Stock symbol Listed New York Stock Exchange: JHS

*Member of the Audit Committee
†Non-Independent Trustee
#Effective 3-10-15

| You can also contact us:
|  | 800-852-0218 jhinvestments.com | Regular mail: Computershare P.O. Box 30170 College Station, TX 77842-3170

The fund's proxy voting policies and procedures, as well as the fund's 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 800-852-0218.

The report is certified under the Sarbanes-Oxley Act, which requires closed-end funds and other public companies to affirm that, to the best of their knowledge, the information in their financial reports is fairly and accurately stated in all material respects.

42

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 800-852-0218, 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 Advisers, LLC 601 Congress Street n Boston, MA 02210-2805 800-843-0090 n jhinvestments.com
| MF230736 | P6SA 4/15 6/15

ITEM 2. CODE OF ETHICS.

Not applicable.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable at this time.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable at this time.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable at this time.

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.

(a) Not applicable.
(b)

|  |  | Total number of | Maximum number of
|  |  | shares purchased | shares that may yet
| Total number of | Average price per | as part of publicly | be purchased under
Period | shares purchased | share | announced plans* | the plans
Mar-15 | - | - | - | 1,174,310*
Apr-15 | - | - | - | 1,174,310
Total | - | - |  |

*In March 2015, the Board of Trustees approved a share repurchase plan, which has been subsequently reviewed and approved by the Board of Trustees. Under the current share repurchase plan, the Fund may purchase in the open market up to 10% of its outstanding common shares as of February 28, 2015. The current share plan will remain in effect between March 13, 2015 and December 31, 2015.

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) 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) 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 Income Securities Trust

By: | /s/ Andrew Arnott |
| Andrew Arnott
| President
Date: | June 23, 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: | June 23, 2015
By: | /s/ Charles A. Rizzo |
| Charles A. Rizzo
| Chief Financial Officer
Date: | June 23, 2015