
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Active Bond Trust (Series I/JAHFX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| U.S. Government Agency | |
| U.S. Government | |
| Asset-backed securities | |
| Collateralized mortgage obligations – Commercial and residential | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Term loans | |
| Preferred securities | |
| Foreign government obligations | |
| Short-term investments and other | |

ACTB-SA-I
6/26
8/26
Active Bond Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Active Bond Trust (Series II/JAHEX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| U.S. Government Agency | |
| U.S. Government | |
| Asset-backed securities | |
| Collateralized mortgage obligations – Commercial and residential | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Term loans | |
| Preferred securities | |
| Foreign government obligations | |
| Short-term investments and other | |

ACTB-SA-II
6/26
8/26
Active Bond Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Active Bond Trust (Series NAV/JAHDX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| U.S. Government Agency | |
| U.S. Government | |
| Asset-backed securities | |
| Collateralized mortgage obligations – Commercial and residential | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Term loans | |
| Preferred securities | |
| Foreign government obligations | |
| Short-term investments and other | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
ACTB-SA-NAV
6/26
8/26
Active Bond Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Core Bond Trust (Series I/JADKX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| U.S. Government Agency | |
| U.S. Government | |
| Corporate bonds | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Asset-backed securities | |
| Collateralized mortgage obligations – Commercial and residential | |
| Foreign government obligations | |
| Municipal bonds | |
| Short-term investments | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
CRBT-SA-I
6/26
8/26
Core Bond Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Core Bond Trust (Series II/JAAEX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| U.S. Government Agency | |
| U.S. Government | |
| Corporate bonds | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Asset-backed securities | |
| Collateralized mortgage obligations – Commercial and residential | |
| Foreign government obligations | |
| Municipal bonds | |
| Short-term investments | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
CRBT-SA-II
6/26
8/26
Core Bond Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Core Bond Trust (Series NAV/JVCNX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| U.S. Government Agency | |
| U.S. Government | |
| Corporate bonds | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Asset-backed securities | |
| Collateralized mortgage obligations – Commercial and residential | |
| Foreign government obligations | |
| Municipal bonds | |
| Short-term investments | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
CRBT-SA-NAV
6/26
8/26
Core Bond Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| High Yield Trust (Series I/JAELX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| Term loans | |
| Preferred securities | |
| Short-term investments and other | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
HIYI-SA-I
6/26
8/26
High Yield Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| High Yield Trust (Series II/JAEOX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| Term loans | |
| Preferred securities | |
| Short-term investments and other | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
HIYI-SA-II
6/26
8/26
High Yield Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| High Yield Trust (Series NAV/JAEMX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| Term loans | |
| Preferred securities | |
| Short-term investments and other | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
HIYI-SA-NAV
6/26
8/26
High Yield Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Investment Quality Bond Trust (Series I/JADUX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| U.S. Government Agency | |
| U.S. Government | |
| Corporate bonds | |
| Collateralized mortgage obligations – Commercial and residential | |
| Asset-backed securities | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Foreign government obligations | |
| Term loans | |
| Municipal bonds | |
| Short-term investments | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
INQB-SA-I
6/26
8/26
Investment Quality Bond Trust
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Investment Quality Bond Trust (Series II/JADSX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| U.S. Government Agency | |
| U.S. Government | |
| Corporate bonds | |
| Collateralized mortgage obligations – Commercial and residential | |
| Asset-backed securities | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Foreign government obligations | |
| Term loans | |
| Municipal bonds | |
| Short-term investments | |

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Investment Quality Bond Trust (Series NAV/JAJNX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| U.S. Government Agency | |
| U.S. Government | |
| Corporate bonds | |
| Collateralized mortgage obligations – Commercial and residential | |
| Asset-backed securities | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Foreign government obligations | |
| Term loans | |
| Municipal bonds | |
| Short-term investments | |

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Money Market Trust (Series I/JHOXX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Weighted Average Maturity | 51 Days |
| U.S. Government Agency | |
| Repurchase agreement | |
| U.S. Government | |
John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
MMT-SA-I
6/26
8/26
Money Market Trust
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Money Market Trust (Series II/JAAXX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Weighted Average Maturity | 51 Days |
| U.S. Government Agency | |
| Repurchase agreement | |
| U.S. Government | |
John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
MMT-SA-II
6/26
8/26
Money Market Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Money Market Trust (Series NAV/JABXX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Weighted Average Maturity | 51 Days |
| U.S. Government Agency | |
| Repurchase agreement | |
| U.S. Government | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
MMT-SA-NAV
6/26
8/26
Money Market Trust
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Opportunistic Fixed Income Trust (Series I/JAEJX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Foreign government obligations | |
| U.S. Government Agency | |
| Corporate bonds | |
| U.S. Government | |
| Convertible bonds | |
| Asset-backed securities | |
| Term loans | |
| Collateralized mortgage obligations – Commercial and residential | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Preferred securities | |
| Exchange-traded funds | |
| Short-term investments | |
| United States | |
| Brazil | |
| Colombia | |
| South Korea | |
| Japan | |
| Czech Republic | |
| Mexico | |
| Indonesia | |
| United Kingdom | |
| New Zealand | |
| Other countries |
John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
OPFI-SA-I
6/26
8/26
Opportunistic Fixed Income Trust
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Opportunistic Fixed Income Trust (Series II/JAEHX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Foreign government obligations | |
| U.S. Government Agency | |
| Corporate bonds | |
| U.S. Government | |
| Convertible bonds | |
| Asset-backed securities | |
| Term loans | |
| Collateralized mortgage obligations – Commercial and residential | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Preferred securities | |
| Exchange-traded funds | |
| Short-term investments | |
| United States | |
| Brazil | |
| Colombia | |
| South Korea | |
| Japan | |
| Czech Republic | |
| Mexico | |
| Indonesia | |
| United Kingdom | |
| New Zealand | |
| Other countries |
John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
OPFI-SA-II
6/26
8/26
Opportunistic Fixed Income Trust
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Opportunistic Fixed Income Trust (Series NAV/JAEKX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Foreign government obligations | |
| U.S. Government Agency | |
| Corporate bonds | |
| U.S. Government | |
| Convertible bonds | |
| Asset-backed securities | |
| Term loans | |
| Collateralized mortgage obligations – Commercial and residential | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Preferred securities | |
| Exchange-traded funds | |
| Short-term investments | |
| United States | |
| Brazil | |
| Colombia | |
| South Korea | |
| Japan | |
| Czech Republic | |
| Mexico | |
| Indonesia | |
| United Kingdom | |
| New Zealand | |
| Other countries |
John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
OPFI-SA-NAV
6/26
8/26
Opportunistic Fixed Income Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Select Bond Trust (Series I/JAFZX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| U.S. Government Agency | |
| U.S. Government | |
| Asset-backed securities | |
| Collateralized mortgage obligations – Commercial and residential | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Foreign government obligations | |
| Municipal bonds | |
| Short-term investments and other | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
SELB-SA-I
6/26
8/26
Select Bond Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Select Bond Trust (Series II/JHBDX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| U.S. Government Agency | |
| U.S. Government | |
| Asset-backed securities | |
| Collateralized mortgage obligations – Commercial and residential | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Foreign government obligations | |
| Municipal bonds | |
| Short-term investments and other | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
SELB-SA-II
6/26
8/26
Select Bond Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Select Bond Trust (Series NAV/JAGBX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| U.S. Government Agency | |
| U.S. Government | |
| Asset-backed securities | |
| Collateralized mortgage obligations – Commercial and residential | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Foreign government obligations | |
| Municipal bonds | |
| Short-term investments and other | |

SELB-SA-NAV
6/26
8/26
Select Bond Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Short Term Government Income Trust (Series I/JAJPX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| U.S. Government Agency | |
| U.S. Government | |
| Municipal bonds | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Short-term investments and other | |

SHTG-SA-I
6/26
8/26
Short Term Government Income Trust
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Short Term Government Income Trust (Series II/JAFWX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| U.S. Government Agency | |
| U.S. Government | |
| Municipal bonds | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Short-term investments and other | |
John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
SHTG-SA-II
6/26
8/26
Short Term Government Income Trust
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Short Term Government Income Trust (Series NAV/JAFYX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| U.S. Government Agency | |
| U.S. Government | |
| Municipal bonds | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Short-term investments and other | |
John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
SHTG-SA-NAV
6/26
8/26
Short Term Government Income Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Strategic Income Opportunities Trust (Series I/JESNX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| Foreign government obligations | |
| Term loans | |
| Preferred securities | |
| U.S. Government Agency | |
| U.S. Government | |
| Collateralized mortgage obligations – Commercial and residential | |
| Asset-backed securities | |
| Convertible bonds | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Short-term investments and other | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
STIO-SA-I
6/26
8/26
Strategic Income Opportunities Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Strategic Income Opportunities Trust (Series II/JESPX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| Foreign government obligations | |
| Term loans | |
| Preferred securities | |
| U.S. Government Agency | |
| U.S. Government | |
| Collateralized mortgage obligations – Commercial and residential | |
| Asset-backed securities | |
| Convertible bonds | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Short-term investments and other | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
STIO-SA-II
6/26
8/26
Strategic Income Opportunities Trust

| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Strategic Income Opportunities Trust (Series NAV/JVRNX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| Foreign government obligations | |
| Term loans | |
| Preferred securities | |
| U.S. Government Agency | |
| U.S. Government | |
| Collateralized mortgage obligations – Commercial and residential | |
| Asset-backed securities | |
| Convertible bonds | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Short-term investments and other | |

John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
STIO-SA-NAV
6/26
8/26
Strategic Income Opportunities Trust
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Total Bond Market Trust (Series I/JTBMX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| U.S. Government | |
| Corporate bonds | |
| U.S. Government Agency | |
| Collateralized mortgage obligations – Commercial and residential | |
| Foreign government obligations | |
| Asset-backed securities | |
| Municipal bonds | |
| Short-term investments and other | |
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Total Bond Market Trust (Series II/JAGVX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| U.S. Government | |
| Corporate bonds | |
| U.S. Government Agency | |
| Collateralized mortgage obligations – Commercial and residential | |
| Foreign government obligations | |
| Asset-backed securities | |
| Municipal bonds | |
| Short-term investments and other | |
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Total Bond Market Trust (Series NAV/JAGUX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| U.S. Government | |
| Corporate bonds | |
| U.S. Government Agency | |
| Collateralized mortgage obligations – Commercial and residential | |
| Foreign government obligations | |
| Asset-backed securities | |
| Municipal bonds | |
| Short-term investments and other | |
John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
TBMT-SA-NAV
6/26
8/26
Total Bond Market Trust
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Ultra Short Term Bond Trust (Series I/JAGJX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| Asset-backed securities | |
| U.S. Government Agency | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Short-term investments and other | |
John Hancock Distributors, LLC, Member FINRA, SIPC, 200 Berkeley Street, Boston, MA 02116, John Hancock Variable Annuities: 800-344-1029, John Hancock Variable Life Insurance: 800-732-5543, johnhancock.com
ULST-SA-I
6/26
8/26
Ultra Short Term Bond Trust
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Ultra Short Term Bond Trust (Series II/JAGEX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| Asset-backed securities | |
| U.S. Government Agency | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Short-term investments and other | |
ULST-SA-II
6/26
8/26
Ultra Short Term Bond Trust
| Fund (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Ultra Short Term Bond Trust (Series NAV/JAGFX) |
$ |
| Fund net assets | $ |
| Total number of portfolio holdings | |
| Portfolio turnover rate |
| Corporate bonds | |
| Asset-backed securities | |
| U.S. Government Agency | |
| Collateralized mortgage obligations – U.S. Government Agency | |
| Short-term investments and other | |
ULST-SA-NAV
6/26
8/26
Ultra Short Term Bond Trust
ITEM 2. CODE OF ETHICS.
Item is not applicable at this time.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Item is not applicable at this time.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Item is not applicable at this time.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Item is not applicable at this time.
ITEM 6. SCHEDULE OF INVESTMENTS.
(a) Refer to information included in Item 7.
(b) Not applicable.
ITEM 7. FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
The Registrant prepared financial statements and financial highlights for the six months ended June 30, 2026 for the following funds:
John Hancock Active Bond Trust
John Hancock Core Bond Trust
John Hancock High Yield Trust
John Hancock Investment Quality Bond Trust
John Hancock Money Market Trust
John Hancock Opportunistic Fixed Income Trust
John Hancock Select Bond Trust
John Hancock Short Term Government Income Trust
John Hancock Strategic Income Opportunities Trust
John Hancock Total Bond Market Trust
John Hancock Ultra Short Term Bond Trust
| The accompanying notes are an integral part of the financial statements. | 3 |
| The accompanying notes are an integral part of the financial statements. | 4 |
| The accompanying notes are an integral part of the financial statements. | 5 |
| The accompanying notes are an integral part of the financial statements. | 6 |
| The accompanying notes are an integral part of the financial statements. | 7 |
| The accompanying notes are an integral part of the financial statements. | 8 |
| The accompanying notes are an integral part of the financial statements. | 9 |
| The accompanying notes are an integral part of the financial statements. | 10 |
| The accompanying notes are an integral part of the financial statements. | 11 |
| The accompanying notes are an integral part of the financial statements. | 12 |
| The accompanying notes are an integral part of the financial statements. | 13 |
| The accompanying notes are an integral part of the financial statements. | 14 |
| The accompanying notes are an integral part of the financial statements. | 15 |
| The accompanying notes are an integral part of the financial statements. | 16 |
| The accompanying notes are an integral part of the financial statements. | 17 |
| The accompanying notes are an integral part of the financial statements. | 18 |
| Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
| 10-Year U.S. Treasury Note Futures | 26 | Long | Sep 2026 | $2,834,236 | $2,857,156 | $22,920 |
| $22,920 |
| The accompanying notes are an integral part of the financial statements. | 19 |
| The accompanying notes are an integral part of the financial statements. | 20 |
| The accompanying notes are an integral part of the financial statements. | 21 |
| The accompanying notes are an integral part of the financial statements. | 22 |
| The accompanying notes are an integral part of the financial statements. | 23 |
| The accompanying notes are an integral part of the financial statements. | 24 |
| The accompanying notes are an integral part of the financial statements. | 25 |
| The accompanying notes are an integral part of the financial statements. | 26 |
| The accompanying notes are an integral part of the financial statements. | 27 |
| The accompanying notes are an integral part of the financial statements. | 28 |
| The accompanying notes are an integral part of the financial statements. | 29 |
| The accompanying notes are an integral part of the financial statements. | 30 |
| The accompanying notes are an integral part of the financial statements. | 31 |
| The accompanying notes are an integral part of the financial statements. | 32 |
| The accompanying notes are an integral part of the financial statements. | 33 |
| The accompanying notes are an integral part of the financial statements. | 34 |
| The accompanying notes are an integral part of the financial statements. | 35 |
| The accompanying notes are an integral part of the financial statements. | 36 |
| The accompanying notes are an integral part of the financial statements. | 37 |
| The accompanying notes are an integral part of the financial statements. | 38 |
| The accompanying notes are an integral part of the financial statements. | 39 |
| The accompanying notes are an integral part of the financial statements. | 40 |
| The accompanying notes are an integral part of the financial statements. | 41 |
| The accompanying notes are an integral part of the financial statements. | 42 |
| The accompanying notes are an integral part of the financial statements. | 43 |
| The accompanying notes are an integral part of the financial statements. | 44 |
| The accompanying notes are an integral part of the financial statements. | 45 |
| The accompanying notes are an integral part of the financial statements. | 46 |
| The accompanying notes are an integral part of the financial statements. | 47 |
| The accompanying notes are an integral part of the financial statements. | 48 |
| The accompanying notes are an integral part of the financial statements. | 49 |
| The accompanying notes are an integral part of the financial statements. | 50 |
| The accompanying notes are an integral part of the financial statements. | 51 |
| The accompanying notes are an integral part of the financial statements. | 52 |
| The accompanying notes are an integral part of the financial statements. | 53 |
| The accompanying notes are an integral part of the financial statements. | 54 |
| The accompanying notes are an integral part of the financial statements. | 55 |
| Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
| 10-Year Australian Treasury Bond Futures | 35 | Long | Sep 2026 | $2,621,067 | $2,661,125 | $40,058 |
| 10-Year U.S. Treasury Note Futures | 14 | Long | Sep 2026 | 1,540,020 | 1,538,469 | (1,551) |
| 5-Year U.S. Treasury Note Futures | 82 | Long | Sep 2026 | 8,778,646 | 8,777,841 | (805) |
| Euro-Buxl Futures | 4 | Long | Sep 2026 | 497,591 | 508,320 | 10,729 |
| Ultra 10-Year U.S. Treasury Note Futures | 27 | Long | Sep 2026 | 3,032,804 | 3,036,656 | 3,852 |
| 2-Year U.S. Treasury Note Futures | 15 | Short | Sep 2026 | (3,090,567) | (3,091,992) | (1,425) |
| Euro SCHATZ Futures | 49 | Short | Sep 2026 | (5,916,880) | (5,932,424) | (15,544) |
| Euro-OAT Futures | 5 | Short | Sep 2026 | (679,385) | (685,446) | (6,061) |
| German Euro BUND Futures | 4 | Short | Sep 2026 | (574,496) | (581,995) | (7,499) |
| U.K. Long Gilt Bond Futures | 8 | Short | Sep 2026 | (942,717) | (946,661) | (3,944) |
| U.S. Treasury Long Bond Futures | 13 | Short | Sep 2026 | (1,438,918) | (1,475,500) | (36,582) |
| Ultra U.S. Treasury Bond Futures | 17 | Short | Sep 2026 | (1,943,805) | (1,974,656) | (30,851) |
| $(49,623) |
| Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
| EUR | 456,000 | USD | 523,539 | DB | 7/31/2026 | — | $(1,901) |
| USD | 2,743,989 | EUR | 2,390,000 | DB | 7/31/2026 | $9,962 | — |
| USD | 169,936 | EUR | 149,000 | MSI | 7/31/2026 | — | (511) |
| USD | 271,412 | GBP | 205,000 | JPM | 7/31/2026 | — | (505) |
| $9,962 | $(2,917) | ||||||
| Interest rate swaps | ||||||||||
| Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
| Centrally cleared | 1,187,000 | USD | Fixed 1.560% | USD Compounded SOFR(a) | Annual | Annual | Dec 2041 | $(5,137) | $373,754 | $368,617 |
| Centrally cleared | 3,640,000 | USD | Fixed 4.160% | USD Compounded SOFR(a) | Annual | Annual | Mar 2045 | (7,516) | 34,020 | 26,504 |
| Centrally cleared | 1,105,000 | USD | Fixed 2.970% | USD Compounded SOFR(a) | Annual | Annual | Mar 2053 | 598 | 223,048 | 223,646 |
| Centrally cleared | 370,000 | USD | Fixed 3.250% | USD Compounded SOFR(a) | Annual | Annual | Jun 2053 | (3,649) | 61,398 | 57,749 |
| $(15,704) | $692,220 | $676,516 | ||||||||
| (a) | At 6-30-26, the overnight SOFR was 3.680%. |
| Credit default swaps - Seller | |||||||||||
| Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
| Centrally cleared | Oracle Corp. | 1.543% | 560,000 | USD | $560,000 | 1.000% | Quarterly | Dec 2030 | $(5,692) | $(6,246) | $(11,938) |
| Centrally cleared | Alphabet, Inc. | 0.532% | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2031 | 11,654 | (1,032) | 10,622 |
| Centrally cleared | Amazon.com, Inc. | 0.542% | 500,000 | USD | 500,000 | 1.000% | Quarterly | Jun 2031 | 11,311 | (916) | 10,395 |
| Centrally cleared | CDX.NA.HY.46 | 3.040% | 3,776,850 | USD | 3,776,850 | 5.000% | Quarterly | Jun 2031 | 294,478 | 14,847 | 309,325 |
| Centrally cleared | Meta Platforms, Inc. | 0.712% | 505,000 | USD | 505,000 | 1.000% | Quarterly | Jun 2031 | 6,709 | (88) | 6,621 |
| The accompanying notes are an integral part of the financial statements. | 56 |
| Credit default swaps - Seller (continued) | |||||||||||
| Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
| Centrally cleared | Paramount Global | 2.810% | 515,000 | USD | $515,000 | 1.000% | Quarterly | Jun 2031 | $(42,769) | $3,481 | (39,288) |
| $6,356,850 | $275,691 | $10,046 | $285,737 | ||||||||
| Derivatives Currency Abbreviations | |
| EUR | Euro |
| GBP | Pound Sterling |
| USD | U.S. Dollar |
| Derivatives Abbreviations | |
| DB | Deutsche Bank AG |
| JPM | JPMorgan Chase Bank, N.A. |
| MSI | Morgan Stanley & Co. International PLC |
| OTC | Over-the-counter |
| SOFR | Secured Overnight Financing Rate |
| The accompanying notes are an integral part of the financial statements. | 57 |
| The accompanying notes are an integral part of the financial statements. | 58 |
| The accompanying notes are an integral part of the financial statements. | 59 |
| The accompanying notes are an integral part of the financial statements. | 60 |
| The accompanying notes are an integral part of the financial statements. | 61 |
| The accompanying notes are an integral part of the financial statements. | 62 |
| The accompanying notes are an integral part of the financial statements. | 63 |
| The accompanying notes are an integral part of the financial statements. | 64 |
| The accompanying notes are an integral part of the financial statements. | 65 |
| The accompanying notes are an integral part of the financial statements. | 66 |
| The accompanying notes are an integral part of the financial statements. | 67 |
| The accompanying notes are an integral part of the financial statements. | 68 |
| The accompanying notes are an integral part of the financial statements. | 69 |
| The accompanying notes are an integral part of the financial statements. | 70 |
| The accompanying notes are an integral part of the financial statements. | 71 |
| The accompanying notes are an integral part of the financial statements. | 72 |
| The accompanying notes are an integral part of the financial statements. | 73 |
| Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
| 10-Year Australian Treasury Bond Futures | 38 | Long | Sep 2026 | $2,845,731 | $2,889,222 | $43,491 |
| 10-Year Japan Government Bond Futures | 6 | Long | Sep 2026 | 4,703,205 | 4,714,905 | 11,700 |
| 10-Year U.S. Treasury Note Futures | 105 | Long | Sep 2026 | 11,498,446 | 11,538,516 | 40,070 |
| 5-Year U.S. Treasury Note Futures | 165 | Long | Sep 2026 | 17,676,616 | 17,662,735 | (13,881) |
| Euro-Buxl Futures | 3 | Long | Sep 2026 | 379,415 | 381,240 | 1,825 |
| U.S. Treasury Long Bond Futures | 18 | Long | Sep 2026 | 2,028,403 | 2,043,000 | 14,597 |
| Ultra 10-Year U.S. Treasury Note Futures | 41 | Long | Sep 2026 | 4,572,102 | 4,611,219 | 39,117 |
| Ultra U.S. Treasury Bond Futures | 66 | Long | Sep 2026 | 7,421,440 | 7,666,313 | 244,873 |
| 10-Year Canada Government Bond Futures | 18 | Short | Sep 2026 | (1,524,389) | (1,537,091) | (12,702) |
| 2-Year U.S. Treasury Note Futures | 22 | Short | Sep 2026 | (4,531,714) | (4,534,922) | (3,208) |
| 5-Year Canada Government Bond Futures | 44 | Short | Sep 2026 | (3,506,522) | (3,508,831) | (2,309) |
| Euro SCHATZ Futures | 54 | Short | Sep 2026 | (6,520,648) | (6,537,774) | (17,126) |
| Euro-OAT Futures | 5 | Short | Sep 2026 | (677,443) | (685,446) | (8,003) |
| German Euro BOBL Futures | 5 | Short | Sep 2026 | (659,332) | (659,166) | 166 |
| German Euro BUND Futures | 28 | Short | Sep 2026 | (4,037,248) | (4,073,963) | (36,715) |
| U.K. Long Gilt Bond Futures | 14 | Short | Sep 2026 | (1,641,783) | (1,656,656) | (14,873) |
| $287,022 |
| Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
| ARS | 91,384,000 | USD | 55,745 | CITI | 7/14/2026 | $5,425 | — |
| ARS | 35,540,000 | USD | 22,185 | CITI | 9/14/2026 | 740 | — |
| ARS | 78,480,000 | USD | 46,912 | CITI | 10/16/2026 | 2,750 | — |
| ARS | 53,710,000 | USD | 33,886 | CITI | 11/30/2026 | — | $(804) |
| ARS | 45,984,000 | USD | 28,289 | CITI | 12/2/2026 | 1 | — |
| AUD | 3,600 | USD | 2,495 | BARC | 7/31/2026 | — | (4) |
| AUD | 2,734,000 | USD | 1,889,725 | JPM | 7/31/2026 | 2,185 | — |
| AUD | 4,124,000 | USD | 2,854,664 | SCB | 7/31/2026 | — | (884) |
| AUD | 20,000 | USD | 14,064 | SCB | 9/16/2026 | — | (236) |
| BRL | 52,995,000 | USD | 10,183,680 | BARC | 7/2/2026 | 82,093 | — |
| BRL | 61,467,000 | USD | 11,897,736 | CITI | 7/2/2026 | 9,166 | — |
| BRL | 7,120,000 | USD | 1,371,260 | HSBC | 7/2/2026 | 7,971 | — |
| BRL | 3,582,000 | USD | 691,960 | MSI | 7/2/2026 | 1,917 | — |
| BRL | 8,140,000 | USD | 1,567,254 | SSB | 7/2/2026 | 9,563 | — |
| BRL | 3,582,000 | USD | 681,688 | MSI | 7/31/2026 | 7,505 | — |
| BRL | 545,000 | USD | 104,671 | HSBC | 8/4/2026 | 93 | — |
| BRL | 1,237,000 | USD | 238,331 | GSI | 9/2/2026 | — | (2,235) |
| BRL | 135,000 | USD | 25,783 | JPM | 9/2/2026 | — | (16) |
| BRL | 65,000 | USD | 12,395 | MSI | 9/2/2026 | 11 | — |
| BRL | 80,000 | USD | 15,508 | SCB | 9/2/2026 | — | (239) |
| CAD | 1,975,000 | USD | 1,397,052 | DB | 7/31/2026 | — | (2,748) |
| CHF | 3,520 | USD | 4,364 | GSI | 7/31/2026 | 6 | — |
| CLP | 330,900,000 | USD | 361,892 | BARC | 7/31/2026 | — | (2,812) |
| CLP | 216,968,000 | USD | 239,940 | CITI | 7/31/2026 | — | (4,494) |
| CLP | 30,000,000 | USD | 32,513 | HSBC | 7/31/2026 | 42 | — |
| CLP | 198,500,000 | USD | 216,940 | SSB | 7/31/2026 | — | (1,535) |
| CLP | 299,560,000 | USD | 326,283 | BOA | 9/16/2026 | — | (1,033) |
| CLP | 5,050,000 | USD | 5,513 | GSI | 9/16/2026 | — | (30) |
| CLP | 15,150,000 | USD | 16,553 | HSBC | 9/16/2026 | — | (103) |
| CNY | 44,000 | USD | 6,550 | DB | 9/16/2026 | — | (38) |
| CNY | 470,000 | USD | 69,346 | JPM | 9/16/2026 | 221 | — |
| CNY | 1,936,000 | USD | 287,567 | SCB | 9/16/2026 | — | (1,011) |
| COP | 2,891,141,000 | USD | 833,362 | BOA | 7/31/2026 | 6,917 | — |
| COP | 286,500,000 | USD | 82,421 | HSBC | 7/31/2026 | 847 | — |
| The accompanying notes are an integral part of the financial statements. | 74 |
| Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
| COP | 127,900,000 | USD | 35,371 | CITI | 9/16/2026 | $1,385 | — |
| COP | 104,800,000 | USD | 29,911 | SSB | 9/16/2026 | 207 | — |
| CZK | 4,680,000 | USD | 220,918 | BARC | 7/31/2026 | — | $(548) |
| CZK | 3,616,000 | USD | 172,730 | BARC | 9/16/2026 | — | (2,387) |
| CZK | 500,000 | USD | 23,529 | CITI | 9/16/2026 | 25 | — |
| CZK | 1,839,000 | USD | 86,887 | DB | 9/16/2026 | — | (255) |
| DOP | 1,430,000 | USD | 21,975 | DB | 7/13/2026 | 2,083 | — |
| DOP | 290,000 | USD | 4,813 | DB | 7/31/2026 | 46 | — |
| EGP | 490,000 | USD | 9,955 | CITI | 7/6/2026 | 3 | — |
| EGP | 490,000 | USD | 9,647 | HSBC | 7/6/2026 | 311 | — |
| EGP | 1,049,000 | USD | 20,678 | CITI | 7/15/2026 | 541 | — |
| EGP | 2,728,000 | USD | 52,382 | CITI | 7/22/2026 | 2,601 | — |
| EGP | 2,300,000 | USD | 44,185 | BOA | 8/10/2026 | 1,756 | — |
| EGP | 2,560,000 | USD | 47,717 | CITI | 9/3/2026 | 2,930 | — |
| EGP | 700,000 | USD | 13,495 | CITI | 9/16/2026 | 292 | — |
| EGP | 4,190,000 | USD | 75,346 | CITI | 10/5/2026 | 6,649 | — |
| EGP | 1,000,000 | USD | 18,744 | CITI | 12/23/2026 | 240 | — |
| EGP | 344,000 | USD | 6,500 | BOA | 12/31/2026 | 11 | — |
| EGP | 516,000 | USD | 9,718 | CITI | 12/31/2026 | 49 | — |
| EUR | 114,000 | USD | 130,098 | BOA | 7/31/2026 | 312 | — |
| EUR | 565,000 | USD | 641,990 | CITI | 7/31/2026 | 4,339 | — |
| EUR | 905,580 | USD | 1,038,954 | DB | 7/31/2026 | — | (3,021) |
| EUR | 616,000 | USD | 701,046 | HSBC | 7/31/2026 | 3,623 | — |
| EUR | 102,000 | USD | 116,884 | SSB | 7/31/2026 | — | (202) |
| EUR | 97,000 | USD | 112,385 | DB | 9/16/2026 | — | (1,202) |
| EUR | 68,000 | USD | 78,856 | GSI | 9/16/2026 | — | (914) |
| GBP | 214,000 | USD | 283,405 | CITI | 7/31/2026 | 449 | — |
| GBP | 9,290 | USD | 12,299 | DB | 7/31/2026 | 23 | — |
| GBP | 215,000 | USD | 284,714 | SCB | 7/31/2026 | 467 | — |
| HKD | 180,000 | USD | 22,985 | DB | 7/31/2026 | — | (10) |
| HUF | 15,100,000 | USD | 48,539 | BARC | 7/31/2026 | — | (106) |
| HUF | 45,990,000 | USD | 149,573 | GSI | 7/31/2026 | — | (2,062) |
| HUF | 55,835,000 | USD | 181,009 | BOA | 9/16/2026 | — | (2,189) |
| HUF | 12,200,000 | USD | 39,024 | GSI | 9/16/2026 | 48 | — |
| HUF | 5,600,000 | USD | 17,878 | MSI | 9/16/2026 | 57 | — |
| IDR | 2,405,000,000 | USD | 134,508 | HSBC | 7/31/2026 | — | (543) |
| IDR | 19,917,504,000 | USD | 1,109,883 | SSB | 7/31/2026 | — | (426) |
| IDR | 744,000,000 | USD | 41,173 | DB | 9/16/2026 | 123 | — |
| IDR | 7,051,224,000 | USD | 388,706 | GSI | 9/16/2026 | 2,678 | — |
| IDR | 605,000,000 | USD | 33,639 | MSI | 9/16/2026 | — | (58) |
| INR | 28,380,000 | USD | 298,691 | DB | 7/31/2026 | 585 | — |
| INR | 13,580,000 | USD | 143,537 | HSBC | 7/31/2026 | — | (331) |
| INR | 5,050,000 | USD | 52,963 | CITI | 9/16/2026 | 82 | — |
| INR | 3,200,000 | USD | 33,674 | JPM | 9/16/2026 | — | (62) |
| INR | 1,390,000 | USD | 14,615 | MSI | 9/16/2026 | — | (14) |
| INR | 54,853,000 | USD | 569,605 | SCB | 9/16/2026 | 6,564 | — |
| JPY | 119,448,000 | USD | 744,460 | JPM | 7/31/2026 | — | (8,150) |
| JPY | 170,880,000 | USD | 1,060,754 | MSI | 7/31/2026 | — | (7,403) |
| JPY | 62,237,000 | USD | 386,840 | SSB | 7/31/2026 | — | (3,194) |
| KRW | 3,753,103,000 | USD | 2,442,758 | DB | 7/31/2026 | — | (15,840) |
| KRW | 542,970,000 | USD | 354,015 | SSB | 7/31/2026 | — | (2,907) |
| KRW | 32,350,000 | USD | 21,320 | GSI | 9/16/2026 | — | (384) |
| KRW | 33,230,000 | USD | 21,583 | MSI | 9/16/2026 | — | (78) |
| KRW | 110,090,000 | USD | 72,512 | SCB | 9/16/2026 | — | (1,265) |
| KZT | 18,800,000 | USD | 39,436 | DB | 7/28/2026 | — | (444) |
| KZT | 111,800,000 | USD | 220,873 | DB | 9/16/2026 | 6,826 | — |
| MXN | 2,500,000 | USD | 142,683 | BARC | 7/31/2026 | — | (64) |
| MXN | 509,000 | USD | 29,318 | DB | 7/31/2026 | — | (280) |
| MXN | 360,000 | USD | 20,763 | BOA | 9/17/2026 | — | (306) |
| MXN | 3,188,000 | USD | 181,774 | GSI | 9/17/2026 | — | (621) |
| MXN | 459,000 | USD | 26,026 | HSBC | 9/17/2026 | 56 | — |
| MXN | 240,000 | USD | 13,683 | SSB | 9/17/2026 | — | (45) |
| MYR | 560,000 | USD | 137,332 | HSBC | 7/31/2026 | — | (76) |
| MYR | 780,000 | USD | 192,218 | HSBC | 9/17/2026 | — | (753) |
| NGN | 51,309,000 | USD | 35,811 | CITI | 8/5/2026 | 784 | — |
| NGN | 17,761,000 | USD | 12,588 | GSI | 9/2/2026 | — | (79) |
| The accompanying notes are an integral part of the financial statements. | 75 |
| Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
| NOK | 6,490,000 | USD | 659,608 | CITI | 7/31/2026 | — | $(4,211) |
| NOK | 8,086,000 | USD | 834,486 | GSI | 7/31/2026 | — | (17,916) |
| NZD | 2,215,000 | USD | 1,267,367 | JPM | 7/31/2026 | — | (8,113) |
| NZD | 50,000 | USD | 29,237 | SCB | 9/16/2026 | — | (767) |
| PEN | 130,000 | USD | 38,087 | CITI | 7/31/2026 | — | (92) |
| PEN | 170,000 | USD | 49,700 | BARC | 9/16/2026 | — | (116) |
| PEN | 120,000 | USD | 35,388 | BOA | 9/16/2026 | — | (387) |
| PEN | 829,000 | USD | 244,974 | CITI | 9/16/2026 | — | (3,179) |
| PEN | 200,000 | USD | 59,041 | GSI | 9/16/2026 | — | (707) |
| PHP | 31,249,000 | USD | 510,913 | GSI | 7/31/2026 | — | (3,095) |
| PLN | 460,000 | USD | 122,210 | CITI | 7/31/2026 | $66 | — |
| PLN | 110,000 | USD | 29,191 | BOA | 9/16/2026 | 49 | — |
| PLN | 1,691,000 | USD | 460,565 | CITI | 9/16/2026 | — | (11,069) |
| PLN | 35,000 | USD | 9,560 | GSI | 9/16/2026 | — | (257) |
| RON | 265,000 | USD | 57,515 | CITI | 7/31/2026 | 185 | — |
| RON | 150,000 | USD | 32,677 | BOA | 9/16/2026 | — | (99) |
| RON | 160,000 | USD | 34,729 | CITI | 9/16/2026 | 22 | — |
| RON | 771,000 | USD | 169,190 | GSI | 9/16/2026 | — | (1,737) |
| RSD | 580,000 | USD | 5,623 | CITI | 7/31/2026 | 18 | — |
| RSD | 1,397,000 | USD | 13,703 | CITI | 9/16/2026 | — | (131) |
| SEK | 6,671,000 | USD | 696,523 | GSI | 7/31/2026 | — | (7,453) |
| SGD | 50,000 | USD | 39,157 | GSI | 9/16/2026 | — | (303) |
| THB | 4,190,000 | USD | 125,722 | HSBC | 7/31/2026 | 701 | — |
| THB | 7,214,000 | USD | 219,902 | BOA | 9/16/2026 | — | (1,384) |
| THB | 340,000 | USD | 10,368 | SCB | 9/16/2026 | — | (69) |
| TRY | 12,000,000 | USD | 220,814 | DB | 7/17/2026 | 33,293 | — |
| TRY | 835,000 | USD | 17,472 | BARC | 7/31/2026 | 18 | — |
| TRY | 5,242,000 | USD | 109,460 | HSBC | 7/31/2026 | 338 | — |
| TRY | 16,410,000 | USD | 296,794 | BARC | 9/16/2026 | 34,409 | — |
| TRY | 780,000 | USD | 15,729 | HSBC | 9/16/2026 | 14 | — |
| TRY | 7,850,000 | USD | 139,954 | BARC | 11/4/2026 | 12,195 | — |
| TRY | 9,565,000 | USD | 169,409 | BARC | 12/16/2026 | 9,709 | — |
| TRY | 7,850,000 | USD | 139,690 | BARC | 1/29/2027 | 2,004 | — |
| TRY | 7,985,000 | USD | 140,002 | BARC | 2/10/2027 | 2,666 | — |
| TRY | 9,565,000 | USD | 158,884 | BARC | 3/17/2027 | 7,101 | — |
| USD | 14,188 | ARS | 22,700,000 | BOA | 7/14/2026 | — | (1,007) |
| USD | 45,174 | ARS | 68,684,000 | CITI | 7/14/2026 | — | (801) |
| USD | 5,491,197 | AUD | 7,924,000 | BARC | 7/31/2026 | 7,843 | — |
| USD | 1,405,804 | AUD | 2,034,000 | HSBC | 7/31/2026 | — | (1,710) |
| USD | 56,045 | AUD | 80,000 | GSI | 9/16/2026 | 732 | — |
| USD | 10,237,415 | BRL | 52,995,000 | BARC | 7/2/2026 | — | (28,358) |
| USD | 12,047,443 | BRL | 61,467,000 | CITI | 7/2/2026 | 140,544 | — |
| USD | 1,388,862 | BRL | 7,120,000 | HSBC | 7/2/2026 | 9,632 | — |
| USD | 686,602 | BRL | 3,582,000 | MSI | 7/2/2026 | — | (7,275) |
| USD | 1,996,617 | BRL | 10,370,000 | SSB | 7/2/2026 | — | (12,178) |
| USD | 9,757,855 | BRL | 51,190,000 | BARC | 8/4/2026 | — | (82,244) |
| USD | 95,087 | BRL | 500,000 | DB | 9/2/2026 | — | (344) |
| USD | 451,716 | BRL | 2,334,000 | HSBC | 9/2/2026 | 6,245 | — |
| USD | 200,143 | BRL | 1,048,000 | MSI | 9/2/2026 | 120 | — |
| USD | 763,250 | CAD | 1,079,000 | DB | 7/31/2026 | 1,501 | — |
| USD | 28,848 | CAD | 40,000 | JPM | 9/16/2026 | 549 | — |
| USD | 654,640 | CHF | 528,000 | GSI | 7/31/2026 | — | (899) |
| USD | 586,067 | CLP | 529,957,000 | CITI | 7/31/2026 | 10,977 | — |
| USD | 237,124 | CLP | 216,968,000 | SSB | 7/31/2026 | 1,678 | — |
| USD | 29,188 | CLP | 26,900,000 | CITI | 9/16/2026 | — | (19) |
| USD | 128,306 | CLP | 116,005,000 | DB | 9/16/2026 | 2,353 | — |
| USD | 718,270 | CNY | 4,853,000 | BOA | 7/31/2026 | 2,287 | — |
| USD | 1,041,326 | CNY | 7,041,000 | HSBC | 7/31/2026 | 2,538 | — |
| USD | 5,860,910 | COP | 20,332,962,000 | BOA | 7/31/2026 | — | (48,648) |
| USD | 182,542 | COP | 654,905,000 | GSI | 9/16/2026 | — | (5,664) |
| USD | 4,587,673 | CZK | 96,821,000 | BARC | 7/31/2026 | 28,601 | — |
| USD | 94,358 | CZK | 1,980,000 | BARC | 9/16/2026 | 1,084 | — |
| USD | 363,870 | DOP | 21,210,000 | JPM | 7/31/2026 | 8,439 | — |
| USD | 9,938 | EGP | 490,000 | CITI | 7/6/2026 | — | (20) |
| USD | 9,955 | EGP | 490,000 | HSBC | 7/6/2026 | — | (3) |
| USD | 21,170 | EGP | 1,049,000 | CITI | 7/15/2026 | — | (49) |
| The accompanying notes are an integral part of the financial statements. | 76 |
| Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
| USD | 38,422 | EGP | 2,039,000 | CITI | 7/22/2026 | — | $(2,674) |
| USD | 13,684 | EGP | 689,000 | GSI | 7/22/2026 | — | (202) |
| USD | 36,151 | EGP | 1,980,000 | CITI | 8/10/2026 | — | (3,398) |
| USD | 6,317 | EGP | 320,000 | GSI | 8/10/2026 | — | (75) |
| USD | 115,901 | EUR | 102,000 | BARC | 7/31/2026 | — | (781) |
| USD | 9,171,202 | EUR | 7,993,386 | DB | 7/31/2026 | $27,213 | — |
| USD | 53,713 | EUR | 47,000 | JPM | 7/31/2026 | — | (53) |
| USD | 135,652 | EUR | 119,000 | SCB | 7/31/2026 | — | (478) |
| USD | 70,577 | EUR | 61,000 | CITI | 9/16/2026 | 658 | — |
| USD | 461,391 | EUR | 399,000 | DB | 9/16/2026 | 4,051 | — |
| USD | 115,913 | EUR | 100,000 | SCB | 9/16/2026 | 1,291 | — |
| USD | 2,477,009 | GBP | 1,871,000 | DB | 7/31/2026 | — | (4,729) |
| USD | 70,984 | GBP | 53,000 | GSI | 9/16/2026 | 683 | — |
| USD | 24,900 | HKD | 195,000 | DB | 7/31/2026 | 11 | — |
| USD | 97,894 | HUF | 30,100,000 | GSI | 7/31/2026 | 1,349 | — |
| USD | 148,991 | HUF | 45,990,000 | HSBC | 7/31/2026 | 1,479 | — |
| USD | 14,374 | HUF | 4,500,000 | BARC | 9/16/2026 | — | (38) |
| USD | 1,096,667 | IDR | 19,761,934,000 | BOA | 7/31/2026 | — | (4,125) |
| USD | 669,688 | IDR | 11,980,000,000 | SSB | 7/31/2026 | 2,371 | — |
| USD | 48,924 | IDR | 884,000,000 | BARC | 9/16/2026 | — | (144) |
| USD | 101,144 | IDR | 1,816,000,000 | DB | 9/16/2026 | 346 | — |
| USD | 2,199,401 | ILS | 6,530,000 | CITI | 7/31/2026 | 3,462 | — |
| USD | 23,384 | ILS | 70,000 | BARC | 9/16/2026 | — | (184) |
| USD | 56,268 | ILS | 165,000 | CITI | 9/16/2026 | 716 | — |
| USD | 285,746 | INR | 27,150,000 | DB | 7/31/2026 | — | (560) |
| USD | 36,423 | INR | 3,470,000 | MSI | 9/16/2026 | — | (26) |
| USD | 3,154,266 | JPY | 508,130,000 | MSI | 7/31/2026 | 22,012 | — |
| USD | 1,553,769 | JPY | 250,818,000 | SCB | 7/31/2026 | 7,658 | — |
| USD | 5,974,951 | KRW | 9,180,034,000 | DB | 7/31/2026 | 38,745 | — |
| USD | 42,180 | KRW | 64,820,000 | BOA | 9/16/2026 | 231 | — |
| USD | 3,043,901 | MXN | 52,847,000 | DB | 7/31/2026 | 29,100 | — |
| USD | 348,683 | MXN | 6,115,000 | DB | 9/17/2026 | 1,207 | — |
| USD | 34,911 | MXN | 620,000 | GSI | 9/17/2026 | — | (320) |
| USD | 173 | MXN | 3,000 | SCB | 9/17/2026 | 2 | — |
| USD | 700,010 | MYR | 2,900,000 | HSBC | 7/31/2026 | — | (10,782) |
| USD | 669,776 | NOK | 6,490,000 | GSI | 7/31/2026 | 14,379 | — |
| USD | 3,288,289 | NZD | 5,747,000 | JPM | 7/31/2026 | 21,050 | — |
| USD | 14,130 | NZD | 25,000 | SCB | 7/31/2026 | — | (83) |
| USD | 58,299 | NZD | 100,000 | GSI | 9/16/2026 | 1,359 | — |
| USD | 76,834 | PEN | 260,000 | CITI | 7/31/2026 | 843 | — |
| USD | 32,019 | PEN | 110,000 | CITI | 9/16/2026 | — | (65) |
| USD | 31,986 | PEN | 110,000 | SCB | 9/16/2026 | — | (98) |
| USD | 123,115 | PHP | 7,610,000 | DB | 9/16/2026 | — | (304) |
| USD | 941,224 | PLN | 3,507,000 | JPM | 7/31/2026 | 9,002 | — |
| USD | 14,608 | PLN | 55,000 | BARC | 9/16/2026 | — | (12) |
| USD | 33,631 | PLN | 125,000 | BOA | 9/16/2026 | 404 | — |
| USD | 35,937 | PLN | 135,000 | DB | 9/16/2026 | 52 | — |
| USD | 110,927 | PLN | 417,000 | GSI | 9/16/2026 | 82 | — |
| USD | 115,666 | RON | 530,000 | DB | 7/31/2026 | 267 | — |
| USD | 99,598 | RON | 454,000 | CITI | 9/16/2026 | 994 | — |
| USD | 123,450 | RON | 566,000 | DB | 9/16/2026 | 521 | — |
| USD | 14,217 | RON | 65,000 | GSI | 9/16/2026 | 100 | — |
| USD | 11,314 | RSD | 1,160,000 | CITI | 7/31/2026 | 30 | — |
| USD | 7,821 | SEK | 76,000 | SSB | 7/31/2026 | — | (29) |
| USD | 705,576 | SGD | 912,000 | BOA | 7/31/2026 | — | (773) |
| USD | 109,444 | SGD | 140,000 | DB | 9/16/2026 | 654 | — |
| USD | 31,184 | SGD | 40,000 | SCB | 9/16/2026 | 101 | — |
| USD | 254,874 | THB | 8,380,000 | HSBC | 7/31/2026 | 2,027 | — |
| USD | 230,703 | TRY | 12,000,000 | DB | 7/17/2026 | — | (23,404) |
| USD | 368,555 | TRY | 17,650,000 | HSBC | 7/31/2026 | — | (1,138) |
| USD | 182,475 | TRY | 9,565,000 | BARC | 9/16/2026 | — | (10,575) |
| USD | 99,143 | TRY | 5,435,000 | DB | 9/16/2026 | — | (10,552) |
| USD | 148,773 | TRY | 7,850,000 | BARC | 11/4/2026 | — | (3,376) |
| USD | 172,014 | TRY | 9,565,000 | BARC | 12/16/2026 | — | (7,104) |
| USD | 137,072 | TRY | 7,850,000 | BARC | 1/29/2027 | — | (4,622) |
| USD | 137,767 | TRY | 7,985,000 | JPM | 2/10/2027 | — | (4,901) |
| The accompanying notes are an integral part of the financial statements. | 77 |
| Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
| USD | 160,389 | TRY | 9,565,000 | GSI | 3/17/2027 | — | $(5,597) |
| USD | 7,221 | UYU | 290,000 | CITI | 7/31/2026 | $6 | — |
| USD | 951,106 | ZAR | 15,680,000 | SSB | 7/31/2026 | — | (3,867) |
| USD | 54,375 | ZAR | 910,000 | CITI | 9/16/2026 | — | (839) |
| USD | 349,223 | ZAR | 5,791,000 | DB | 9/16/2026 | — | (2,147) |
| UYU | 14,655,000 | USD | 364,908 | CITI | 7/31/2026 | — | (311) |
| ZAR | 1,970,000 | USD | 119,411 | BARC | 7/31/2026 | 570 | — |
| ZAR | 11,180,000 | USD | 678,148 | SSB | 7/31/2026 | 2,757 | — |
| ZAR | 2,396,000 | USD | 144,997 | BOA | 9/16/2026 | 381 | — |
| ZAR | 760,000 | USD | 46,777 | CITI | 9/16/2026 | — | (664) |
| ZAR | 370,000 | USD | 22,588 | GSI | 9/16/2026 | — | (138) |
| ZAR | 140,000 | USD | 8,495 | MSI | 9/16/2026 | —— | —— |
| $709,673 | $(433,913) | ||||||
| Interest rate swaps | ||||||||||
| Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
| Centrally cleared | 8,880,000 | AUD | 3 month AUD BBR BBSW | Fixed 4.750% | Quarterly | Quarterly | Jun 2028 | $25,426 | $11,428 | $36,854 |
| Centrally cleared | 8,880,000 | AUD | Fixed 4.750% | 3 month AUD BBR BBSW | Quarterly | Quarterly | Jun 2028 | (34,051) | (2,802) | (36,853) |
| Centrally cleared | 4,090,000 | NZD | 3 month NZD BBR | Fixed 3.410% | Semi-Annual | Quarterly | Sep 2028 | (1,212) | 283 | (929) |
| Centrally cleared | 450,000 | USD | Fixed 3.704% | 1 day USD Compounded SOFR | Annual | Annual | May 2029 | — | 3,044 | 3,044 |
| Centrally cleared | 23,960,000 | CNY | Fixed 2.010% | 1 week CNY CNREPOFIX | Quarterly | Quarterly | Sep 2029 | — | (65,196) | (65,196) |
| Centrally cleared | 11,025,000 | CNY | Fixed 1.753% | 1 week CNY CNREPOFIX | Quarterly | Quarterly | Sep 2029 | — | (16,884) | (16,884) |
| Centrally cleared | 21,340,000 | CNY | Fixed 1.573% | 1 week CNY CNREPOFIX | Quarterly | Quarterly | Jun 2030 | — | (16,122) | (16,122) |
| Centrally cleared | 21,680,000 | CNY | Fixed 1.604% | 1 week CNY CNREPOFIX | Quarterly | Quarterly | Dec 2030 | — | (21,293) | (21,293) |
| Centrally cleared | 1,010,000 | AUD | 6 month AUD BBR BBSW | Fixed 4.182% | Semi-Annual | Semi-Annual | Dec 2030 | — | (13,019) | (13,019) |
| Centrally cleared | 3,348,231 | BRL | 1 day BRL CDI | Fixed 13.470% | At Maturity | At Maturity | Jan 2031 | — | (16,540) | (16,540) |
| Centrally cleared | 10,650,000 | CNY | Fixed 1.592% | 1 week CNY CNREPOFIX | Quarterly | Quarterly | Mar 2031 | 132 | (9,984) | (9,852) |
| Centrally cleared | 10,575,000 | CNY | Fixed 1.631% | 1 week CNY CNREPOFIX | Quarterly | Quarterly | Mar 2031 | — | (12,546) | (12,546) |
| Centrally cleared | 10,575,000 | CNY | Fixed 1.629% | 1 week CNY CNREPOFIX | Quarterly | Quarterly | Mar 2031 | — | (12,404) | (12,404) |
| Centrally cleared | 2,262,080,000 | KRW | 3 month KRW Certificate of Deposit Rate | Fixed 3.440% | Quarterly | Quarterly | Mar 2031 | 2,123 | (28,789) | (26,666) |
| Centrally cleared | 31,915,000 | CZK | 6 month CZK PRIBOR | Fixed 3.795% | Annual | Semi-Annual | Mar 2031 | — | (19,265) | (19,265) |
| Centrally cleared | 5,060,000 | AUD | 6 month AUD BBR BBSW | Fixed 4.891% | Semi-Annual | Semi-Annual | Mar 2031 | — | 40,078 | 40,078 |
| Centrally cleared | 30,685,000 | NOK | 6 month NOK NIBOR | Fixed 4.577% | Annual | Semi-Annual | Jun 2031 | — | 10,414 | 10,414 |
| Centrally cleared | 3,505,000 | AUD | 6 month AUD BBR BBSW | Fixed 5.150% | Semi-Annual | Semi-Annual | Jun 2031 | — | 54,378 | 54,378 |
| Centrally cleared | 3,500,000 | AUD | 6 month AUD BBR BBSW | Fixed 5.170% | Semi-Annual | Semi-Annual | Jun 2031 | — | 56,437 | 56,437 |
| Centrally cleared | 10,200,000 | CNY | Fixed 1.607% | 1 week CNY CNREPOFIX | Quarterly | Quarterly | Jun 2031 | — | (10,585) | (10,585) |
| Centrally cleared | 8,250,000 | CNY | Fixed 1.580% | 1 week CNY CNREPOFIX | Quarterly | Quarterly | Jun 2031 | — | (7,023) | (7,023) |
| Centrally cleared | 10,225,000 | CNY | Fixed 1.558% | 1 week CNY CNREPOFIX | Quarterly | Quarterly | Jun 2031 | — | (7,084) | (7,084) |
| Centrally cleared | 5,054,248 | ILS | Fixed 3.515% | 1 day ILS SHIR Compounded OIS | Annual | Annual | Jun 2031 | — | (29,957) | (29,957) |
| Centrally cleared | 4,560,560 | ILS | Fixed 3.530% | 1 day ILS SHIR Compounded OIS | Annual | Annual | Jun 2031 | — | (28,082) | (28,082) |
| Centrally cleared | 4,620,000 | ILS | Fixed 3.590% | 1 day ILS SHIR Compounded OIS | Annual | Annual | Jun 2031 | — | (32,711) | (32,711) |
| Centrally cleared | 40,110,000 | CNY | Fixed 1.503% | 1 week CNY CNREPOFIX | Quarterly | Quarterly | Jun 2031 | — | (12,298) | (12,298) |
| Centrally cleared | 20,150,000 | CNY | Fixed 1.505% | 1 week CNY CNREPOFIX | Quarterly | Quarterly | Sep 2031 | — | (5,594) | (5,594) |
| Centrally cleared | 161,295,000 | INR | Fixed 6.305% | 1 day INR MIBOR Compounded OIS | Semi-Annual | Semi-Annual | Sep 2031 | — | (5,831) | (5,831) |
| Centrally cleared | 159,135,000 | INR | Fixed 6.210% | 1 day INR MIBOR Compounded OIS | Semi-Annual | Semi-Annual | Sep 2031 | — | 767 | 767 |
| Centrally cleared | 9,880,000 | NOK | 6 month NOK NIBOR | Fixed 4.434% | Annual | Semi-Annual | Sep 2031 | — | (1,310) | (1,310) |
| Centrally cleared | 525,000 | USD | Fixed 3.595% | 1 day USD Compounded SOFR | Annual | Annual | Nov 2032 | — | 9,806 | 9,806 |
| Centrally cleared | 5,650,000 | ILS | Fixed 3.960% | 1 day ILS SHIR Compounded OIS | Annual | Annual | Mar 2036 | — | (84,027) | (84,027) |
| Centrally cleared | 1,990,000 | SGD | Fixed 2.260% | 1 day SGD Compounded SORA | Semi-Annual | Semi-Annual | Mar 2036 | — | (31,941) | (31,941) |
| The accompanying notes are an integral part of the financial statements. | 78 |
| Interest rate swaps (continued) | ||||||||||
| Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
| Centrally cleared | 1,130,000 | CHF | Fixed 0.935% | 1 day CHF SARON Compounded OIS | Annual | Annual | Mar 2036 | — | $(10,293) | $(10,293) |
| Centrally cleared | 520,000 | CHF | Fixed 0.963% | 1 day CHF SARON Compounded OIS | Annual | Annual | Mar 2036 | — | (5,630) | (5,630) |
| Centrally cleared | 1,120,000 | CHF | Fixed 0.914% | 1 day CHF SARON Compounded OIS | Annual | Annual | Jun 2036 | — | (7,399) | (7,399) |
| Centrally cleared | 1,025,000 | SGD | Fixed 2.140% | 1 day SGD Compounded SORA | Semi-Annual | Semi-Annual | Jun 2036 | $(896) | (4,379) | (5,275) |
| Centrally cleared | 1,000,000 | SGD | Fixed 2.131% | 1 day SGD Compounded SORA | Semi-Annual | Semi-Annual | Jun 2036 | — | (4,515) | (4,515) |
| Centrally cleared | 828,811,005 | CLP | Fixed 5.277% | 1 day CLP CLICP | Semi-Annual | Semi-Annual | Jun 2036 | — | (11,617) | (11,617) |
| Centrally cleared | 3,776,030,000 | COP | 1 day COP IBR Compounded OIS | Fixed 11.781% | Quarterly | Quarterly | Jun 2036 | — | 122,110 | 122,110 |
| Centrally cleared | 2,525,000 | ILS | Fixed 3.785% | 1 day ILS SHIR Compounded OIS | Annual | Annual | Jun 2036 | — | (24,744) | (24,744) |
| Centrally cleared | 829,930,000 | CLP | Fixed 5.337% | 1 day CLP CLICP | Semi-Annual | Semi-Annual | Jun 2036 | — | (15,949) | (15,949) |
| Centrally cleared | 7,760,000 | SEK | Fixed 3.047% | 3 month SEK STIBOR | Annual | Quarterly | Jun 2036 | — | (21,251) | (21,251) |
| Centrally cleared | 1,857,995,000 | COP | 1 day COP IBR Compounded OIS | Fixed 12.027% | Quarterly | Quarterly | Jun 2036 | — | 68,214 | 68,214 |
| Centrally cleared | 2,603,670,000 | COP | 1 day COP IBR Compounded OIS | Fixed 12.027% | Quarterly | Quarterly | Jun 2036 | — | 95,591 | 95,591 |
| Centrally cleared | 3,578,610,000 | COP | 1 day COP IBR Compounded OIS | Fixed 11.507% | Quarterly | Quarterly | Jun 2036 | — | 98,230 | 98,230 |
| Centrally cleared | 1,135,000 | CHF | Fixed 0.863% | 1 day CHF SARON Compounded OIS | Annual | Annual | Jun 2036 | — | (3,700) | (3,700) |
| Centrally cleared | 1,657,880,000 | KRW | 3 month KRW Certificate of Deposit Rate | Fixed 4.060% | Quarterly | Quarterly | Sep 2036 | 5,941 | 3,377 | 9,318 |
| Centrally cleared | 1,150,000 | CHF | Fixed 0.846% | 1 day CHF SARON Compounded OIS | Annual | Annual | Sep 2036 | — | (924) | (924) |
| Centrally cleared | 2,525,000 | USD | 1 day USD Compounded SOFR | Fixed 4.642% | Annual | Annual | Apr 2046 | — | 10,309 | 10,309 |
| Centrally cleared | 1,060,000 | USD | 1 day USD Compounded SOFR | Fixed 4.311% | Annual | Annual | Jun 2046 | (122) | 11,209 | 11,087 |
| Centrally cleared | 1,655,000 | USD | 1 day USD Compounded SOFR | Fixed 4.130% | Annual | Annual | Jun 2056 | 5,257 | (22,292) | (17,035) |
| Centrally cleared | 3,540,000 | SEK | Fixed 2.952% | 3 month SEK STIBOR | Annual | Quarterly | Sep 2056 | — | (788) | (788) |
| Centrally cleared | 3,540,000 | SEK | Fixed 2.962% | 3 month SEK STIBOR | Annual | Quarterly | Sep 2056 | — | (1,523) | (1,523) |
| Centrally cleared | 1,025,000 | AUD | 6 month AUD BBR BBSW | Fixed 4.941% | Semi-Annual | Semi-Annual | Sep 2056 | — | — | — |
| Centrally cleared | 475,000 | EUR | Fixed 2.866% | 6 month EUR EURIBOR | Annual | Semi-Annual | Jun 2076 | — | (6,677) | (6,677) |
| $2,598 | $(37,293) | $(34,695) | ||||||||
| Credit default swaps - Buyer | ||||||||||
| Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
| BARC | Emirate of Abu Dhabi | 770,000 | USD | $770,000 | 1.000% | Quarterly | Jun 2031 | $(19,872) | $(3,195) | $(23,067) |
| BARC | Emirate of Abu Dhabi | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (7,651) | (138) | (7,789) |
| BARC | Government of Malaysia | 2,050,000 | USD | 2,050,000 | 1.000% | Quarterly | Jun 2031 | (55,915) | (2,158) | (58,073) |
| BARC | Kingdom of Saudi Arabia | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (4,848) | 93 | (4,755) |
| BARC | Kingdom of Saudi Arabia | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (4,656) | (99) | (4,755) |
| BARC | Petroleo Brasileiro SA | 265,000 | USD | 265,000 | 1.000% | Quarterly | Jun 2031 | 3,148 | 265 | 3,413 |
| BARC | Republic of Chile | 255,000 | USD | 255,000 | 1.000% | Quarterly | Jun 2031 | (6,216) | (564) | (6,780) |
| BARC | Republic of Colombia | 275,000 | USD | 275,000 | 1.000% | Quarterly | Jun 2031 | 7,800 | (2,538) | 5,262 |
| BARC | Republic of Colombia | 275,000 | USD | 275,000 | 1.000% | Quarterly | Jun 2031 | 6,444 | (1,182) | 5,262 |
| BARC | Republic of Colombia | 270,000 | USD | 270,000 | 1.000% | Quarterly | Jun 2031 | 5,468 | (301) | 5,167 |
| BARC | Republic of Indonesia | 780,000 | USD | 780,000 | 1.000% | Quarterly | Jun 2031 | (2,580) | (1,218) | (3,798) |
| BARC | Republic of Indonesia | 265,000 | USD | 265,000 | 1.000% | Quarterly | Jun 2031 | (1,523) | 233 | (1,290) |
| BARC | Republic of Peru | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (3,555) | (870) | (4,425) |
| BARC | Republic of Peru | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (4,414) | (11) | (4,425) |
| BARC | Republic of Peru | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (4,779) | 354 | (4,425) |
| BARC | Republic of South Africa | 540,000 | USD | 540,000 | 1.000% | Quarterly | Jun 2031 | 7,090 | (1,189) | 5,901 |
| BOA | Kingdom of Saudi Arabia | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (4,667) | (59) | (4,726) |
| The accompanying notes are an integral part of the financial statements. | 79 |
| Credit default swaps - Buyer (continued) | ||||||||||
| Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation)
| Value |
| BOA | Petroleo Brasileiro SA | 265,000 | USD | $265,000 | 1.000% | Quarterly | Jun 2031 | $2,911 | $502 | $3,413 |
| BOA | Republic of Chile | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (6,427) | (486) | (6,913) |
| BOA | Republic of Panama | 265,000 | USD | 265,000 | 1.000% | Quarterly | Jun 2031 | (1,296) | (417) | (1,713) |
| BOA | Republic of South Africa | 270,000 | USD | 270,000 | 1.000% | Quarterly | Jun 2031 | 3,545 | (595) | 2,950 |
| BOA | Republic of South Africa | 270,000 | USD | 270,000 | 1.000% | Quarterly | Jun 2031 | 3,136 | (186) | 2,950 |
| BOA | Republic of South Africa | 270,000 | USD | 270,000 | 1.000% | Quarterly | Jun 2031 | 2,966 | 14 | 2,980 |
| BOA | Republic of South Africa | 270,000 | USD | 270,000 | 1.000% | Quarterly | Jun 2031 | 2,905 | 53 | 2,958 |
| BOA | Republic of Turkey | 280,000 | USD | 280,000 | 1.000% | Quarterly | Jun 2031 | 14,335 | (56) | 14,279 |
| BOA | Republic of Turkey | 280,000 | USD | 280,000 | 1.000% | Quarterly | Jun 2031 | 14,808 | (529) | 14,279 |
| BOA | Republic of Turkey | 280,000 | USD | 280,000 | 1.000% | Quarterly | Jun 2031 | 14,671 | (360) | 14,311 |
| BOA | Republic of Turkey | 280,000 | USD | 280,000 | 1.000% | Quarterly | Jun 2031 | 14,317 | (30) | 14,287 |
| BOA | State of Qatar | 1,535,000 | USD | 1,535,000 | 1.000% | Quarterly | Jun 2031 | (43,779) | (5,908) | (49,687) |
| BOA | United Mexican States | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (1,501) | (354) | (1,855) |
| BOA | United Mexican States | 265,000 | USD | 265,000 | 1.000% | Quarterly | Jun 2031 | (1,645) | (245) | (1,890) |
| CITI | Petroleo Brasileiro SA | 1,875,000 | USD | 1,875,000 | 1.000% | Quarterly | Jun 2031 | 28,602 | (4,453) | 24,149 |
| CITI | Republic of Indonesia | 265,000 | USD | 265,000 | 1.000% | Quarterly | Jun 2031 | (1,326) | 36 | (1,290) |
| DB | Republic of Colombia | 275,000 | USD | 275,000 | 1.000% | Quarterly | Jun 2031 | 8,090 | (2,828) | 5,262 |
| DB | Republic of Panama | 3,160,000 | USD | 3,160,000 | 1.000% | Quarterly | Jun 2031 | (491) | (19,935) | (20,426) |
| DB | United Mexican States | 2,095,000 | USD | 2,095,000 | 1.000% | Quarterly | Jun 2031 | (10,272) | (4,672) | (14,944) |
| DB | United Mexican States | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (1,383) | (472) | (1,855) |
| GSI | Emirate of Abu Dhabi | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (6,683) | (1,106) | (7,789) |
| GSI | Emirate of Abu Dhabi | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (6,581) | (1,208) | (7,789) |
| GSI | Emirate of Abu Dhabi | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (7,639) | (142) | (7,781) |
| GSI | Federative Republic of Brazil | 1,835,000 | USD | 1,835,000 | 1.000% | Quarterly | Jun 2031 | 20,204 | (953) | 19,251 |
| GSI | Federative Republic of Brazil | 265,000 | USD | 265,000 | 1.000% | Quarterly | Jun 2031 | 2,081 | 699 | 2,780 |
| GSI | Federative Republic of Brazil | 265,000 | USD | 265,000 | 1.000% | Quarterly | Jun 2031 | 1,956 | 824 | 2,780 |
| GSI | Kingdom of Saudi Arabia | 525,000 | USD | 525,000 | 1.000% | Quarterly | Jun 2031 | (8,806) | (796) | (9,602) |
| GSI | Kingdom of Saudi Arabia | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (4,331) | (424) | (4,755) |
| GSI | Kingdom of Saudi Arabia | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (4,723) | (25) | (4,748) |
| GSI | Republic of Chile | 1,025,000 | USD | 1,025,000 | 1.000% | Quarterly | Jun 2031 | (22,992) | (4,263) | (27,255) |
| GSI | Republic of Colombia | 560,000 | USD | 560,000 | 1.000% | Quarterly | Jun 2031 | 27,334 | (16,618) | 10,716 |
| GSI | Republic of Peru | 1,815,000 | USD | 1,815,000 | 1.000% | Quarterly | Jun 2031 | (24,799) | (6,094) | (30,893) |
| GSI | Republic of Peru | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (3,607) | (818) | (4,425) |
| GSI | Republic of Peru | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (5,103) | 678 | (4,425) |
| GSI | Republic of South Africa | 270,000 | USD | 270,000 | 1.000% | Quarterly | Jun 2031 | 2,861 | 89 | 2,950 |
| GSI | Republic of Turkey | 280,000 | USD | 280,000 | 1.000% | Quarterly | Jun 2031 | 14,156 | 123 | 14,279 |
| GSI | State of Qatar | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (7,867) | (549) | (8,416) |
| GSI | State of Qatar | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (8,361) | (48) | (8,409) |
| GSI | United Mexican States | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (1,287) | (568) | (1,855) |
| JPM | People's Republic of China | 1,795,000 | USD | 1,795,000 | 1.000% | Quarterly | Jun 2031 | (50,267) | (789) | (51,056) |
| JPM | Republic of Indonesia | 265,000 | USD | 265,000 | 1.000% | Quarterly | Jun 2031 | (1,528) | 238 | (1,290) |
| JPM | Republic of South Africa | 270,000 | USD | 270,000 | 1.000% | Quarterly | Jun 2031 | 3,021 | (67) | 2,954 |
| JPM | Republic of Turkey | 280,000 | USD | 280,000 | 1.000% | Quarterly | Jun 2031 | 14,366 | (70) | 14,296 |
| MSI | Kingdom of Saudi Arabia | 260,000 | USD | 260,000 | 1.000% | Quarterly | Jun 2031 | (4,779) | (65) | (4,844) |
| MSI | Republic of Colombia | 275,000 | USD | 275,000 | 1.000% | Quarterly | Jun 2031 | 6,917 | (1,655) | 5,262 |
| $33,130,000 | $(125,017) | $(87,105) | $(212,122) | |||||||
| Centrally cleared | CDX.EM.45 | 5,425,000 | USD | 5,425,000 | 1.000% | Quarterly | Jun 2031 | 148,509 | (53,844) | 94,665 |
| Centrally cleared | CDX.NA.HY.46 | 5,143,050 | USD | 5,143,050 | 5.000% | Quarterly | Jun 2031 | (415,925) | (5,498) | (421,423) |
| Centrally cleared | CDX.NA.IG.46 | 12,485,000 | USD | 12,485,000 | 1.000% | Quarterly | Jun 2031 | (276,852) | 242 | (276,610) |
| Centrally cleared | iTraxx Europe Crossover Series 45 Version 1 | 2,725,000 | EUR | 3,112,874 | 5.000% | Quarterly | Jun 2031 | (338,362) | (7,155) | (345,517) |
| Centrally cleared | iTraxx Europe Senior Financials Series 45 Version 1 | 4,495,000 | EUR | 5,160,502 | 1.000% | Quarterly | Jun 2031 | (107,870) | (2,088) | (109,958) |
| Centrally cleared | iTraxx Europe Series 45 Version 1 | 2,665,000 | EUR | 3,037,282 | 1.000% | Quarterly | Jun 2031 | (67,932) | (1,218) | (69,150) |
| The accompanying notes are an integral part of the financial statements. | 80 |
| Credit default swaps - Buyer (continued) | ||||||||||
| Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount | Currency | USD notional amount | Pay fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation)
| Value |
| Centrally cleared | iTraxx Europe Sub Financials Series 45 Version 1 | 5,725,000 | EUR | 6,633,545 | 1.000% | Quarterly | Jun 2031 | $(24,447) | $(10,676) | $(35,123) |
| $40,997,253 | $(1,082,879) | $(80,237) | $(1,163,116) | |||||||
| $74,127,253 | $(1,207,896) | $(167,342) | $(1,375,238) | |||||||
| Credit default swaps - Seller | |||||||||||
| Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
| Centrally cleared | CDX.NA.HY.46 | 3.040% | 23,760 | USD | $23,760 | 5.000% | Quarterly | Jun 2031 | $1,084 | $862 | $1,946 |
| $23,760 | $1,084 | $862 | $1,946 | ||||||||
| Total return swaps | ||||||||||
| Pay/ receive total return* | Reference entity | Floating/ fixed rate | Payment frequency | Currency | Notional amount | Maturity date | Counterparty (OTC) | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
| Pay | iBoxx $ Liquid Investment Grade Index | 1 day USD Compounded SOFR | At Maturity | USD | 4,165,000 | Sep 2026 | BOA | — | $(14,339) | $(14,339) |
| Pay | iBoxx $ Liquid High Yield Index | 1 day USD Compounded SOFR | At Maturity | USD | 1,345,000 | Dec 2026 | JPM | — | (32,181) | (32,181) |
| Pay | iBoxx $ Liquid High Yield Index | 1 day USD Compounded SOFR | At Maturity | USD | 3,005,000 | Mar 2027 | JPM | — | (11,399) | (11,399) |
| Pay | iBoxx $ Liquid High Yield Index | 1 day USD Compounded SOFR | At Maturity | USD | 3,400,000 | Sep 2026 | MSI | — | (52,364) | (52,364) |
| Pay | iBoxx $ Liquid High Yield Index | 1 day USD Compounded SOFR | At Maturity | USD | 3,400,000 | Sep 2026 | MSI | — | (75,069) | (75,069) |
| Pay | iBoxx $ Liquid High Yield Index | 1 day USD Compounded SOFR | At Maturity | USD | 1,050,000 | Sep 2026 | MSI | — | (19,699) | (19,699) |
| Pay | iBoxx $ Liquid High Yield Index | 1 day USD Compounded SOFR | At Maturity | USD | 1,055,000 | Sep 2026 | MSI | — | (9,133) | (9,133) |
| Pay | iBoxx $ Liquid High Yield Index | 1 day USD Compounded SOFR | At Maturity | USD | 14,815,000 | Dec 2026 | MSI | — | (366,155) | (366,155) |
| Pay | iBoxx $ Liquid High Yield Index | 1 day USD Compounded SOFR | At Maturity | USD | 3,390,000 | Mar 2027 | MSI | — | (13,805) | (13,805) |
| Receive | iBoxx $ Liquid Leveraged Loan Index | 1 day USD Compounded SOFR | At Maturity | USD | 1,575,000 | Sep 2026 | MSI | — | 22,761 | 22,761 |
| — | $(571,383) | $(571,383) | ||||||||
| Inflation swaps | |||||||||||
| Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | USD notional amount | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
| BOA | 210,000 | USD | $210,000 | Fixed 1.635% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2050 | — | $44,744 | $44,744 |
| CITI | 1,290,000 | USD | 1,290,000 | Fixed 2.440% | USA CPI All Urban Consumers | At Maturity | At Maturity | Sep 2055 | $(3,699) | (18,573) | (22,272) |
| The accompanying notes are an integral part of the financial statements. | 81 |
| Inflation swaps (continued) | |||||||||||
| Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | USD notional amount | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Unamortized upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
| JPM | 1,700,000 | USD | $1,700,000 | Fixed 1.830% | USA CPI All Urban Consumers | At Maturity | At Maturity | Feb 2050 | $(34,860) | $336,490 | $301,630 |
| $3,200,000 | $(38,559) | $362,661 | $324,102 | ||||||||
| Centrally cleared | 6,355,000 | USD | 6,355,000 | Fixed 2.400% | USA CPI All Urban Consumers | At Maturity | At Maturity | Jun 2031 | (15,159) | 14,460 | (699) |
| Centrally cleared | 3,195,000 | USD | 3,195,000 | Fixed 2.379% | USA CPI All Urban Consumers | At Maturity | At Maturity | Mar 2056 | 15,499 | (38,121) | (22,622) |
| Centrally cleared | 1,695,000 | USD | 1,695,000 | Fixed 2.407% | USA CPI All Urban Consumers | At Maturity | At Maturity | Mar 2056 | 1,265 | (21,461) | (20,196) |
| Centrally cleared | 1,635,000 | USD | 1,635,000 | Fixed 2.380% | USA CPI All Urban Consumers | At Maturity | At Maturity | Mar 2056 | 1,529 | (13,439) | (11,910) |
| $12,880,000 | $3,134 | $(58,561) | $(55,427) | ||||||||
| $16,080,000 | $(35,425) | $304,100 | $268,675 | ||||||||
| The accompanying notes are an integral part of the financial statements. | 82 |
| Derivatives Currency Abbreviations | |
| ARS | Argentine Peso |
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| CLP | Chilean Peso |
| CNY | Chinese Yuan Renminbi |
| COP | Colombian Peso |
| CZK | Czech Republic Koruna |
| DOP | Dominican Republic Peso |
| EGP | Egyptian Pound |
| EUR | Euro |
| GBP | Pound Sterling |
| HKD | Hong Kong Dollar |
| HUF | Hungarian Forint |
| IDR | Indonesian Rupiah |
| ILS | Israeli New Shekel |
| INR | Indian Rupee |
| JPY | Japanese Yen |
| KRW | Korean Won |
| KZT | Kazakhstan Tenge |
| MXN | Mexican Peso |
| MYR | Malaysian Ringgit |
| NGN | Nigerian Naira |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| PEN | Peruvian Nuevo Sol |
| PHP | Philippine Peso |
| PLN | Polish Zloty |
| RON | Romanian New Leu |
| RSD | Serbian Dinar |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| THB | Thai Bhat |
| TRY | Turkish Lira |
| USD | U.S. Dollar |
| UYU | Uruguayan Peso |
| ZAR | South African Rand |
| The accompanying notes are an integral part of the financial statements. | 83 |
| Derivatives Abbreviations | |
| BARC | Barclays Bank PLC |
| BBR | Bank Bill Rate |
| BBSW | Bank Bill Swap Rate |
| BOA | Bank of America, N.A. |
| CDI | Brazil Interbank Deposit Rate |
| CITI | Citibank, N.A. |
| CLICP | Sinacofi Chile Interbank Rate Average |
| CNREPOFIX | China Fixing Repo Rate |
| CPI | Consumer Price Index |
| DB | Deutsche Bank AG |
| EURIBOR | Euro Interbank Offered Rate |
| GSI | Goldman Sachs International |
| HSBC | HSBC Bank PLC |
| IBR | Colombia Overnight Interbank Rate |
| JPM | JPMorgan Chase Bank, N.A. |
| MIBOR | Mumbai Interbank Offered Rate |
| MSI | Morgan Stanley & Co. International PLC |
| NIBOR | Norwegian Interbank Offered Rate |
| OIS | Overnight Index Swap |
| OTC | Over-the-counter |
| PRIBOR | Prague Interbank Offered Rate |
| SARON | Swiss Average Rate Overnight |
| SCB | Standard Chartered Bank |
| SHIR | Shekel Overnight Interest Rate |
| SOFR | Secured Overnight Financing Rate |
| SORA | Singapore Overnight Rate Average |
| SSB | State Street Bank and Trust Company |
| STIBOR | Stockholm Interbank Offered Rate |
| The accompanying notes are an integral part of the financial statements. | 84 |
| The accompanying notes are an integral part of the financial statements. | 85 |
| The accompanying notes are an integral part of the financial statements. | 86 |
| The accompanying notes are an integral part of the financial statements. | 87 |
| The accompanying notes are an integral part of the financial statements. | 88 |
| The accompanying notes are an integral part of the financial statements. | 89 |
| The accompanying notes are an integral part of the financial statements. | 90 |
| The accompanying notes are an integral part of the financial statements. | 91 |
| The accompanying notes are an integral part of the financial statements. | 92 |
| The accompanying notes are an integral part of the financial statements. | 93 |
| The accompanying notes are an integral part of the financial statements. | 94 |
| The accompanying notes are an integral part of the financial statements. | 95 |
| The accompanying notes are an integral part of the financial statements. | 96 |
| The accompanying notes are an integral part of the financial statements. | 97 |
| Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
| Ultra U.S. Treasury Bond Futures | 17 | Long | Sep 2026 | $1,917,438 | $1,974,656 | $57,218 |
| $57,218 |
| The accompanying notes are an integral part of the financial statements. | 98 |
| Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
| 2-Year U.S. Treasury Note Futures | 16 | Long | Sep 2026 | $3,297,528 | $3,298,125 | $597 |
| $597 |
| The accompanying notes are an integral part of the financial statements. | 99 |
| The accompanying notes are an integral part of the financial statements. | 100 |
| The accompanying notes are an integral part of the financial statements. | 101 |
| The accompanying notes are an integral part of the financial statements. | 102 |
| The accompanying notes are an integral part of the financial statements. | 103 |
| The accompanying notes are an integral part of the financial statements. | 104 |
| The accompanying notes are an integral part of the financial statements. | 105 |
| The accompanying notes are an integral part of the financial statements. | 106 |
| The accompanying notes are an integral part of the financial statements. | 107 |
| The accompanying notes are an integral part of the financial statements. | 108 |
| Open contracts | Number of contracts | Position | Expiration date | Notional basis^ | Notional value^ | Unrealized appreciation (depreciation) |
| German Euro BUND Futures | 18 | Long | Sep 2026 | $2,584,644 | $2,618,990 | $34,346 |
| 10-Year Canada Government Bond Futures | 2 | Short | Sep 2026 | (169,164) | (170,788) | (1,624) |
| 10-Year U.S. Treasury Note Futures | 46 | Short | Sep 2026 | (5,013,928) | (5,054,969) | (41,041) |
| Euro-BTP Italian Government Bond Futures | 22 | Short | Sep 2026 | (2,956,118) | (3,000,125) | (44,007) |
| Euro-OAT Futures | 7 | Short | Sep 2026 | (950,859) | (959,624) | (8,765) |
| U.S. Treasury Long Bond Futures | 6 | Short | Sep 2026 | (664,209) | (681,000) | (16,791) |
| $(77,882) |
| Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
| AUD | 1,491,538 | USD | 1,033,046 | CITI | 9/16/2026 | — | $(1,778) |
| AUD | 1,459,803 | USD | 1,022,139 | JPM | 9/16/2026 | — | (12,813) |
| AUD | 2,189,704 | USD | 1,542,627 | MSI | 9/16/2026 | — | (28,637) |
| AUD | 2,222,530 | USD | 1,568,212 | RBC | 9/16/2026 | — | (31,527) |
| CAD | 1,957,260 | USD | 1,384,583 | BARC | 7/24/2026 | — | (3,221) |
| CAD | 1,965,817 | USD | 1,384,583 | CITI | 7/24/2026 | $2,818 | — |
| CAD | 1,968,512 | USD | 1,384,583 | JPM | 7/24/2026 | 4,720 | — |
| CAD | 1,959,248 | USD | 1,384,583 | RBC | 7/24/2026 | — | (1,818) |
| CAD | 1,288,185 | USD | 915,315 | JPM | 9/16/2026 | — | (3,958) |
| CAD | 4,634,400 | USD | 3,295,132 | RBC | 9/16/2026 | — | (16,416) |
| EUR | 1,578,396 | USD | 1,823,727 | GSI | 9/16/2026 | — | (14,547) |
| EUR | 3,146,718 | USD | 3,619,253 | HUS | 9/16/2026 | — | (12,441) |
| EUR | 1,578,396 | USD | 1,836,341 | MSI | 9/16/2026 | — | (27,161) |
| EUR | 1,578,396 | USD | 1,814,951 | SSB | 9/16/2026 | — | (5,771) |
| GBP | 4,150,156 | USD | 5,497,604 | GSI | 7/24/2026 | 7,282 | — |
| GBP | 2,766,000 | USD | 3,662,881 | UBS | 7/24/2026 | 6,020 | — |
| GBP | 271,755 | USD | 357,498 | BARC | 9/16/2026 | 2,969 | — |
| JPY | 1,550,744,618 | USD | 9,701,250 | BNY | 7/24/2026 | — | (147,305) |
| KRW | 9,419,912,778 | USD | 6,224,009 | CITI | 7/24/2026 | — | (133,128) |
| KRW | 1,385,969,479 | USD | 902,030 | GSI | 7/24/2026 | — | (5,867) |
| MXN | 13,893,376 | USD | 794,384 | SSB | 9/17/2026 | — | (4,913) |
| NOK | 15,691,424 | EUR | 1,388,200 | RBC | 7/24/2026 | — | (2,816) |
| NOK | 15,719,290 | EUR | 1,388,200 | SCB | 7/24/2026 | — | (2) |
| NOK | 7,567,703 | USD | 796,366 | JPM | 9/16/2026 | — | (32,642) |
| NOK | 10,643,895 | USD | 1,094,494 | UBS | 9/16/2026 | — | (20,325) |
| NZD | 15,869,836 | GBP | 6,897,500 | JPM | 7/24/2026 | — | (128,813) |
| NZD | 1,038,997 | USD | 607,726 | BARC | 9/16/2026 | — | (16,125) |
| NZD | 583,379 | USD | 337,369 | JPM | 9/16/2026 | — | (5,196) |
| NZD | 1,562,389 | USD | 906,241 | UBS | 9/16/2026 | — | (16,622) |
| SGD | 2,475,317 | USD | 1,933,841 | HUS | 9/16/2026 | — | (10,332) |
| USD | 1,336,078 | AUD | 1,904,235 | ANZ | 9/16/2026 | 19,465 | — |
| USD | 8,814,463 | AUD | 12,581,820 | HUS | 9/16/2026 | 115,231 | — |
| USD | 1,384,583 | CAD | 1,960,846 | RBC | 7/24/2026 | 690 | — |
| USD | 1,384,583 | CAD | 1,964,412 | SSB | 7/24/2026 | — | (1,827) |
| USD | 4,278,945 | CAD | 5,942,068 | CITI | 9/16/2026 | 75,089 | — |
| USD | 3,735,911 | EUR | 3,271,805 | BARC | 9/16/2026 | — | (14,278) |
| USD | 1,829,349 | EUR | 1,578,290 | CITI | 9/16/2026 | 20,291 | — |
| USD | 2,357,646 | EUR | 2,060,925 | MSI | 9/16/2026 | — | (4,614) |
| USD | 3,585,732 | EUR | 3,108,806 | SCB | 9/16/2026 | 22,376 | — |
| USD | 18,406,553 | EUR | 15,887,049 | SSB | 9/16/2026 | 196,597 | — |
| USD | 24,671 | GBP | 18,656 | BNY | 7/24/2026 | — | (75) |
| USD | 4,368,068 | GBP | 3,310,460 | HUS | 7/24/2026 | — | (23,021) |
| USD | 4,767,746 | GBP | 3,609,550 | SCB | 7/24/2026 | — | (20,064) |
| USD | 10,572,677 | GBP | 7,938,930 | SCB | 9/16/2026 | 42,139 | — |
| USD | 358,559 | GBP | 271,755 | TD | 9/16/2026 | — | (1,908) |
| USD | 4,785,249 | MXN | 84,055,984 | GSI | 9/17/2026 | 8,893 | — |
| USD | 1,663,249 | MXN | 29,065,577 | SSB | 9/17/2026 | 11,641 | — |
| USD | 3,621,993 | NOK | 34,529,655 | UBS | 9/16/2026 | 137,303 | — |
| USD | 3,984,175 | NZD | 6,828,415 | MSI | 9/16/2026 | 96,103 | — |
| The accompanying notes are an integral part of the financial statements. | 109 |
| Contract to buy | Contract to sell | Counterparty (OTC) | Contractual settlement date | Unrealized appreciation | Unrealized depreciation | ||
| USD | 1,906,144 | SGD | 2,461,772 | BARC | 9/16/2026 | — | $(6,840) |
| USD | 3,821,955 | SGD | 4,890,207 | HUS | 9/16/2026 | $21,893 | — |
| $791,520 | $(756,801) | ||||||
| Derivatives Currency Abbreviations | |
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| EUR | Euro |
| GBP | Pound Sterling |
| JPY | Japanese Yen |
| KRW | Korean Won |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SGD | Singapore Dollar |
| USD | U.S. Dollar |
| Derivatives Abbreviations | |
| ANZ | Australia and New Zealand Banking Group Limited |
| BARC | Barclays Bank PLC |
| BNY | The Bank of New York Mellon |
| CITI | Citibank, N.A. |
| GSI | Goldman Sachs International |
| HUS | HSBC Bank USA, N.A. |
| JPM | JPMorgan Chase Bank, N.A. |
| MSI | Morgan Stanley & Co. International PLC |
| OTC | Over-the-counter |
| RBC | Royal Bank of Canada |
| SCB | Standard Chartered Bank |
| SSB | State Street Bank and Trust Company |
| TD | The Toronto-Dominion Bank |
| UBS | UBS AG |
| The accompanying notes are an integral part of the financial statements. | 110 |
| The accompanying notes are an integral part of the financial statements. | 111 |
| The accompanying notes are an integral part of the financial statements. | 112 |
| The accompanying notes are an integral part of the financial statements. | 113 |
| The accompanying notes are an integral part of the financial statements. | 114 |
| The accompanying notes are an integral part of the financial statements. | 115 |
| The accompanying notes are an integral part of the financial statements. | 116 |
| The accompanying notes are an integral part of the financial statements. | 117 |
| The accompanying notes are an integral part of the financial statements. | 118 |
| The accompanying notes are an integral part of the financial statements. | 119 |
| The accompanying notes are an integral part of the financial statements. | 120 |
| The accompanying notes are an integral part of the financial statements. | 121 |
| The accompanying notes are an integral part of the financial statements. | 122 |
| The accompanying notes are an integral part of the financial statements. | 123 |
| The accompanying notes are an integral part of the financial statements. | 124 |
| The accompanying notes are an integral part of the financial statements. | 125 |
| Shares or Principal Amount | Value | ||||
| SHORT-TERM INVESTMENTS – 21.6% | |||||
| U.S. Government – 19.8% | |||||
| U.S. Treasury Bill | |||||
| 3.341%, 09/03/2026 * | $ | 12,300,000 | $ | 12,220,076 | |
| 3.355%, 02/18/2027 * | 4,250,000 | 4,147,474 | |||
| 3.515%, 07/16/2026 * | 19,739,000 | 19,709,402 | |||
| 3.628%, 11/19/2026 * | 4,720,000 | 4,650,351 | |||
| 40,727,303 | |||||
| Short-term funds – 1.8% | |||||
| John Hancock Collateral Trust, 3.6026% (E)(F) | 359,605 | 3,595,831 | |||
| TOTAL SHORT-TERM INVESTMENTS (Cost $44,343,936) | $ | 44,323,134 | |||
| Total Investments (Ultra Short Term Bond Trust) (Cost $206,242,172) – 100.2% | $ | 205,822,496 | |||
| Other assets and liabilities, net – (0.2%) | (390,061) | ||||
| TOTAL NET ASSETS – 100.0% | $ | 205,432,435 | |||
| Security Abbreviations and Legend | |
| CME | CME Group Published Rates |
| CMT | Constant Maturity Treasury |
| IBOR | Interbank Offered Rate |
| SOFR | Secured Overnight Financing Rate |
| (A) | Variable rate obligation. The coupon rate shown represents the rate at period end. |
| (B) | This security is 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 $49,469,866 or 24.1% of the fund's net assets as of 6-30-26. |
| (C) | All or a portion of this security is on loan as of 6-30-26. |
| (D) | Variable or floating rate security, the interest rate of which adjusts periodically based on a weighted average of interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of period end. |
| (E) | The rate shown is the annualized seven-day yield as of 6-30-26. |
| (F) | Investment is an affiliate of the portfolio, the advisor and/or subadvisor. A portion of this security represents the investment of cash collateral received for securities lending. Market value of this investment amounted to $2,205,124. |
| * | Yield represents either the annualized yield at the date of purchase, the stated coupon rate or, for floating rate securities, the rate at period end. |
| The accompanying notes are an integral part of the financial statements. | 126 |
| United States | 58.6% |
| Brazil | 6.6% |
| Colombia | 4.0% |
| South Korea | 4.0% |
| Japan | 2.8% |
| Czech Republic | 2.6% |
| Mexico | 2.5% |
| Indonesia | 2.0% |
| United Kingdom | 1.5% |
| New Zealand | 1.5% |
| Other countries | 13.9% |
| TOTAL | 100.0% |
| United States | 65.4% |
| Canada | 7.5% |
| Australia | 5.0% |
| United Kingdom | 3.6% |
| New Zealand | 2.2% |
| Philippines | 1.6% |
| Norway | 1.6% |
| Spain | 1.2% |
| Brazil | 1.2% |
| Mexico | 1.1% |
| Other countries | 9.6% |
| TOTAL | 100.0% |
| The accompanying notes are an integral part of the financial statements. | 127 |
| Assets | Active Bond Trust | Core Bond Trust | High Yield Trust | Investment Quality Bond Trust |
| Unaffiliated investments, at value (including securities loaned) | $548,352,068 | $679,143,216 | $173,034,708 | $243,857,557 |
| Affiliated investments, at value | 3,360,456 | 3,896,687 | 20,969,817 | 380,254 |
| Repurchase agreements, at value | — | — | — | 3,200,000 |
| Total investments, at value | 551,712,524 | 683,039,903 | 194,004,525 | 247,437,811 |
| Receivable for centrally cleared swaps | — | — | — | 49,247 |
| Unrealized appreciation on forward foreign currency contracts | — | — | — | 9,962 |
| Receivable for futures variation margin | — | — | — | 8,038 |
| Cash | — | 481,771 | 130,000 | 19,976 |
| Foreign currency, at value | — | 1,217 | 7,427 | 912,264 |
| Collateral held at broker for futures contracts | 290,000 | — | — | — |
| Dividends and interest receivable | 5,108,526 | 4,552,335 | 3,179,479 | 1,378,124 |
| Receivable for fund shares sold | 5,588,786 | 11,175 | 2,411,210 | 5,588,519 |
| Receivable for investments sold | 1,795,654 | 32,608,212 | 157,095 | 52,560 |
| Receivable for delayed-delivery securities sold | — | 11,388,329 | 233,037 | 12,095,156 |
| Receivable for securities lending income | 233 | 1,074 | 18,189 | 408 |
| Other assets | 18,682 | 26,531 | 5,821 | 7,247 |
| Total assets | 564,514,405 | 732,110,547 | 200,146,783 | 267,559,312 |
| Liabilities | ||||
| Payable for sale commitments outstanding, at value | — | — | — | 15,582,137 |
| Unrealized depreciation on forward foreign currency contracts | — | — | — | 2,917 |
| Payable for futures variation margin | 7,674 | — | — | — |
| Due to custodian | 2,662 | — | — | — |
| Payable for collateral on OTC derivatives | — | — | — | 60,000 |
| Payable for investments purchased | 4,059,678 | 40,109,599 | 989,000 | 2,220,026 |
| Payable for delayed-delivery securities purchased | — | 27,321,883 | — | 38,620,366 |
| Payable for fund shares repurchased | 31,263 | 88,538 | 11,262 | 58,231 |
| Payable upon return of securities loaned | 595,251 | 3,896,893 | 18,666,123 | 380,372 |
| Payable to affiliates | ||||
| Accounting and legal services fees | 30,109 | 37,889 | 9,662 | 11,251 |
| Trustees' fees | 1,729 | 2,583 | 731 | 825 |
| Other liabilities and accrued expenses | 70,789 | 90,675 | 91,001 | 86,629 |
| Total liabilities | 4,799,155 | 71,548,060 | 19,767,779 | 57,022,754 |
| Net assets | $559,715,250 | $660,562,487 | $180,379,004 | $210,536,558 |
| Net assets consist of | ||||
| Paid-in capital | $625,107,865 | $785,715,288 | $258,528,057 | $238,931,667 |
| Total distributable earnings (loss) | (65,392,615) | (125,152,801) | (78,149,053) | (28,395,109) |
| Net assets | $559,715,250 | $660,562,487 | $180,379,004 | $210,536,558 |
| Unaffiliated investments, including repurchase agreements, at cost | $564,683,496 | $686,603,121 | $181,268,576 | $258,918,600 |
| Affiliated investments, at cost | $3,360,630 | $3,896,752 | $20,971,841 | $380,273 |
| Foreign currency, at cost | — | $1,237 | $7,547 | $912,231 |
| Proceeds received on sale commitments outstanding | — | — | — | $15,592,887 |
| Securities loaned, at value | $583,472 | $3,804,369 | $18,248,122 | $369,575 |
| Net asset value per share | ||||
| The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | ||||
| Series I | ||||
| Net assets | $24,734,363 | $58,332,397 | $45,515,847 | $89,886,863 |
| Shares outstanding | 2,939,496 | 5,109,326 | 9,322,257 | 9,154,708 |
| Net asset value, offering price and redemption price per share | $8.41 | $11.42 | $4.88 | $9.82 |
| Series II | ||||
| Net assets | $96,019,272 | $89,510,460 | $29,228,305 | $46,251,751 |
| Shares outstanding | 11,396,528 | 7,861,854 | 5,795,215 | 4,713,232 |
| Net asset value, offering price and redemption price per share | $8.43 | $11.39 | $5.04 | $9.81 |
| Series NAV | ||||
| Net assets | $438,961,615 | $512,719,630 | $105,634,852 | $74,397,944 |
| Shares outstanding | 52,102,285 | 45,160,603 | 22,141,756 | 7,610,974 |
| Net asset value, offering price and redemption price per share | $8.42 | $11.35 | $4.77 | $9.78 |
| The accompanying notes are an integral part of the financial statements. | 128 |
| Assets | Money Market Trust | Opportunistic Fixed Income Trust | Select Bond Trust | Short Term Government Income Trust |
| Unaffiliated investments, at value (including securities loaned) | $1,212,435,870 | $172,637,791 | $471,679,437 | $245,482,930 |
| Affiliated investments, at value | — | 1,562,679 | 7,378,510 | 2,987,230 |
| Repurchase agreements, at value | 862,832,419 | — | — | — |
| Total investments, at value | 2,075,268,289 | 174,200,470 | 479,057,947 | 248,470,160 |
| Swap contracts, at value | — | 571,226 | — | — |
| Receivable for centrally cleared swaps | — | 2,546,428 | — | — |
| Unrealized appreciation on forward foreign currency contracts | — | 709,673 | — | — |
| Foreign currency, at value | — | 859,940 | — | — |
| Collateral held at broker for futures contracts | — | 1,262,952 | 900,000 | 338,000 |
| Collateral segregated at custodian for OTC derivative contracts | — | 100,000 | — | — |
| Dividends and interest receivable | 7,465,306 | 1,786,329 | 3,976,764 | 1,552,934 |
| Receivable for fund shares sold | 234,398 | 806,903 | 27,088,126 | — |
| Receivable for investments sold | — | 6,309,155 | 891,994 | — |
| Receivable for delayed-delivery securities sold | — | 7,594,402 | — | — |
| Receivable for securities lending income | — | 1,789 | 494 | — |
| Receivable from affiliates | 5,335 | — | 116 | — |
| Other assets | 74,888 | 5,011 | 198,988 | 6,272 |
| Total assets | 2,083,048,216 | 196,754,278 | 512,114,429 | 250,367,366 |
| Liabilities | ||||
| Payable for sale commitments outstanding, at value | — | 13,573,525 | — | — |
| Unrealized depreciation on forward foreign currency contracts | — | 433,913 | — | — |
| Swap contracts, at value | — | 1,030,629 | — | — |
| Payable for futures variation margin | — | 153,388 | 12,723 | 151,914 |
| Due to custodian | — | 3,551,600 | 151 | — |
| Payable for collateral on OTC derivatives | — | 780,000 | — | — |
| Payable for investments purchased | 6,500,000 | 4,392,190 | 2,601,786 | — |
| Payable for delayed-delivery securities purchased | — | 27,195,740 | — | 2,375,000 |
| Payable for fund shares repurchased | 2,060,920 | 24,465 | 15 | 23,777 |
| Payable upon return of securities loaned | — | 1,563,592 | 5,394,700 | — |
| Payable to affiliates | ||||
| Investment management fees | — | 9,531 | — | — |
| Accounting and legal services fees | 113,484 | 7,727 | 98,173 | 13,418 |
| Trustees' fees | 6,851 | 628 | 24,908 | 756 |
| Other liabilities and accrued expenses | 181,609 | 114,464 | 266,291 | 60,892 |
| Total liabilities | 8,862,864 | 52,831,392 | 8,398,747 | 2,625,757 |
| Net assets | $2,074,185,352 | $143,922,886 | $503,715,682 | $247,741,609 |
| Net assets consist of | ||||
| Paid-in capital | $2,074,177,617 | $165,736,024 | $1,375,772,300 | $274,795,411 |
| Total distributable earnings (loss) | 7,735 | (21,813,138) | (872,056,618) | (27,053,802) |
| Net assets | $2,074,185,352 | $143,922,886 | $503,715,682 | $247,741,609 |
| Unaffiliated investments, including repurchase agreements, at cost | $2,075,268,289 | $174,937,662 | $480,568,933 | $248,731,381 |
| Affiliated investments, at cost | — | $1,562,699 | $7,378,671 | $2,987,286 |
| Foreign currency, at cost | — | $870,892 | — | — |
| Proceeds received on sale commitments outstanding | — | $13,581,152 | — | — |
| Net unamortized upfront payment on OTC swaps | — | $(163,576) | — | — |
| Collateral held at broker for centrally cleared swaps | — | $2,450,000 | — | — |
| Securities loaned, at value | — | $1,507,903 | $5,259,676 | — |
| Net asset value per share | ||||
| The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | ||||
| Series I | ||||
| Net assets | $1,507,119,466 | $18,816,251 | $125,077,415 | $20,880,838 |
| Shares outstanding | 1,507,165,985 | 1,685,365 | 10,455,670 | 1,774,173 |
| Net asset value, offering price and redemption price per share | $1.00 | $11.16 | $11.96 | $11.77 |
| Series II | ||||
| Net assets | $37,220,713 | $35,311,543 | $324,010,781 | $14,304,489 |
| Shares outstanding | 37,201,746 | 3,231,097 | 27,077,710 | 1,216,723 |
| Net asset value, offering price and redemption price per share | $1.00 | $10.93 | $11.97 | $11.76 |
| Series NAV | ||||
| Net assets | $529,845,173 | $89,795,092 | $54,627,486 | $212,556,282 |
| Shares outstanding | 529,849,105 | 8,081,256 | 4,570,375 | 18,059,633 |
| Net asset value, offering price and redemption price per share | $1.00 | $11.11 | $11.95 | $11.77 |
| The accompanying notes are an integral part of the financial statements. | 129 |
| Assets | Strategic Income Opportunities Trust | Total Bond Market Trust | Ultra Short Term Bond Trust |
| Unaffiliated investments, at value (including securities loaned) | $287,269,210 | $1,043,569,139 | $202,226,665 |
| Affiliated investments, at value | 15,442,293 | 21,807,187 | 3,595,831 |
| Total investments, at value | 302,711,503 | 1,065,376,326 | 205,822,496 |
| Unrealized appreciation on forward foreign currency contracts | 791,520 | — | — |
| Receivable for futures variation margin | 18,622 | — | — |
| Cash | 2,228 | — | — |
| Foreign currency, at value | 662,897 | — | — |
| Collateral held at broker for futures contracts | 482,000 | — | — |
| Collateral segregated at custodian for OTC derivative contracts | 10,000 | — | — |
| Dividends and interest receivable | 3,341,725 | 8,990,393 | 1,483,719 |
| Receivable for fund shares sold | 653,115 | 3,422,104 | 981,480 |
| Receivable for investments sold | 1,090,694 | — | — |
| Receivable for securities lending income | 1,077 | 1,161 | 1,855 |
| Receivable from affiliates | — | 7,357 | — |
| Other assets | 11,180 | 27,326 | 8,555 |
| Total assets | 309,776,561 | 1,077,824,667 | 208,298,105 |
| Liabilities | |||
| Unrealized depreciation on forward foreign currency contracts | 756,801 | — | — |
| Payable for investments purchased | 7,755,439 | — | — |
| Payable for fund shares repurchased | 548,226 | 3,280,753 | 596,776 |
| Payable upon return of securities loaned | 236,407 | 12,205,653 | 2,205,481 |
| Payable to affiliates | |||
| Accounting and legal services fees | 15,575 | 57,799 | 11,046 |
| Trustees' fees | 1,577 | 2,720 | 926 |
| Other liabilities and accrued expenses | 106,680 | 97,146 | 51,441 |
| Total liabilities | 9,420,705 | 15,644,071 | 2,865,670 |
| Net assets | $300,355,856 | $1,062,180,596 | $205,432,435 |
| Net assets consist of | |||
| Paid-in capital | $320,569,627 | $1,133,934,965 | $221,669,852 |
| Total distributable earnings (loss) | (20,213,771) | (71,754,369) | (16,237,417) |
| Net assets | $300,355,856 | $1,062,180,596 | $205,432,435 |
| Unaffiliated investments, including repurchase agreements, at cost | $287,896,299 | $1,101,271,285 | $202,646,314 |
| Affiliated investments, at cost | $15,444,205 | $21,807,794 | $3,595,858 |
| Foreign currency, at cost | $668,346 | — | — |
| Securities loaned, at value | $229,463 | $11,935,273 | $2,159,752 |
| Net asset value per share | |||
| The portfolios have an unlimited number of shares authorized with par value of $0.01 per share. Net asset value is calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class. | |||
| Series I | |||
| Net assets | $50,631,088 | $367,340,768 | $9,588,728 |
| Shares outstanding | 3,987,493 | 40,215,314 | 829,633 |
| Net asset value, offering price and redemption price per share | $12.70 | $9.13 | $11.56 |
| Series II | |||
| Net assets | $80,693,010 | $41,050,968 | $151,128,760 |
| Shares outstanding | 6,343,165 | 4,492,786 | 13,096,609 |
| Net asset value, offering price and redemption price per share | $12.72 | $9.14 | $11.54 |
| Series NAV | |||
| Net assets | $169,031,758 | $653,788,860 | $44,714,947 |
| Shares outstanding | 13,360,579 | 71,572,228 | 3,865,701 |
| Net asset value, offering price and redemption price per share | $12.65 | $9.13 | $11.57 |
| The accompanying notes are an integral part of the financial statements. | 130 |
| Investment income | Active Bond Trust | Core Bond Trust | High Yield Trust | Investment Quality Bond Trust |
| Interest | $13,767,289 | $16,190,604 | $6,455,113 | $4,708,187 |
| Dividends from affiliated investments | 64,138 | — | 34,882 | — |
| Dividends from unaffiliated investments | 12,512 | 409,423 | 22,547 | — |
| Securities lending, net | 3,492 | 6,813 | 75,797 | 2,674 |
| Other income | — | — | — | 33 |
| Less foreign taxes withheld | — | — | — | (154) |
| Total investment income | 13,847,431 | 16,606,840 | 6,588,339 | 4,710,740 |
| Expenses | ||||
| Investment management fees | 1,662,527 | 2,097,168 | 437,006 | 623,552 |
| Distribution and service fees | 123,731 | 123,546 | 46,477 | 79,873 |
| Accounting and legal services fees | 43,573 | 57,016 | 14,049 | 16,325 |
| Trustees' fees | 7,367 | 10,382 | 2,464 | 2,853 |
| Custodian fees | 36,898 | 45,094 | 17,268 | 27,245 |
| Printing and postage | 13,700 | 14,356 | 14,467 | 9,714 |
| Professional fees | 39,599 | 41,650 | 44,240 | 57,455 |
| Other | 12,768 | 16,656 | 7,983 | 9,197 |
| Total expenses | 1,940,163 | 2,405,868 | 583,954 | 826,214 |
| Less expense reductions | (26,556) | (33,860) | (8,755) | (9,707) |
| Net expenses | 1,913,607 | 2,372,008 | 575,199 | 816,507 |
| Net investment income | 11,933,824 | 14,234,832 | 6,013,140 | 3,894,233 |
| Realized and unrealized gain (loss) | ||||
| Net realized gain (loss) on | ||||
| Unaffiliated investments and foreign currency transactions | (2,054,588) | (5,284,694) | (1,910,406) | (1,767,777) |
| Affiliated investments | (1,143) | (805) | (3,649) | (116) |
| Futures contracts | (21,834) | — | — | (169,960) |
| Forward foreign currency contracts | — | — | — | 94,664 |
| Swap contracts | — | — | 61,056 | 760,705 |
| (2,077,565) | (5,285,499) | (1,852,999) | (1,082,484) | |
| Change in net unrealized appreciation (depreciation) of | ||||
| Unaffiliated investments and translation of assets and liabilities in foreign currencies | (5,641,432) | (4,576,957) | (311,968) | (578,908) |
| Affiliated investments | (173) | (79) | (2,166) | (9) |
| Futures contracts | 22,920 | — | — | (141,703) |
| Forward foreign currency contracts | — | — | — | 14,707 |
| Swap contracts | — | — | — | (600,363) |
| (5,618,685) | (4,577,036) | (314,134) | (1,306,276) | |
| Net realized and unrealized gain (loss) | (7,696,250) | (9,862,535) | (2,167,133) | (2,388,760) |
| Increase in net assets from operations | $4,237,574 | $4,372,297 | $3,846,007 | $1,505,473 |
| The accompanying notes are an integral part of the financial statements. | 131 |
| Investment income | Money Market Trust | Opportunistic Fixed Income Trust | Select Bond Trust | Short Term Government Income Trust |
| Interest | $38,912,872 | $4,104,661 | $54,032,050 | $4,754,443 |
| Dividends from unaffiliated investments | — | 215,277 | — | — |
| Dividends from affiliated investments | — | — | 489,634 | 51,912 |
| Securities lending, net | — | 8,554 | 11,884 | — |
| Less foreign taxes withheld | — | (26,253) | — | — |
| Total investment income | 38,912,872 | 4,302,239 | 54,533,568 | 4,806,355 |
| Expenses | ||||
| Investment management fees | 3,592,791 | 459,803 | 7,460,496 | 700,853 |
| Distribution and service fees | 431,040 | 48,645 | 429,373 | 23,009 |
| Accounting and legal services fees | 163,950 | 11,112 | 228,696 | 19,327 |
| Trustees' fees | 28,265 | 1,952 | 68,539 | 3,273 |
| Custodian fees | 135,039 | 106,600 | 139,344 | 19,602 |
| Printing and postage | 31,787 | 163 | 84,666 | 8,534 |
| Professional fees | 45,270 | 54,497 | 93,848 | 41,442 |
| Other | 43,050 | 7,658 | 178,779 | 8,007 |
| Total expenses | 4,471,192 | 690,430 | 8,683,741 | 824,047 |
| Less expense reductions | (1,102,314) | (94,388) | (400,557) | (11,450) |
| Net expenses | 3,368,878 | 596,042 | 8,283,184 | 812,597 |
| Net investment income | 35,543,994 | 3,706,197 | 46,250,384 | 3,993,758 |
| Realized and unrealized gain (loss) | ||||
| Net realized gain (loss) on | ||||
| Unaffiliated investments and foreign currency transactions | 4,173 | (59,405) | (135,247,232) | (2,646,375) |
| Affiliated investments | — | (506) | (4,935) | (281) |
| Futures contracts | — | (424,377) | 154,954 | (49,374) |
| Forward foreign currency contracts | — | (1,088,512) | — | — |
| Swap contracts | — | 202,758 | — | — |
| 4,173 | (1,370,042) | (135,097,213) | (2,696,030) | |
| Change in net unrealized appreciation (depreciation) of | ||||
| Unaffiliated investments and translation of assets and liabilities in foreign currencies | — | (353,344) | 134,804,312 | (792,885) |
| Affiliated investments | — | (25) | (1,437) | (54) |
| Futures contracts | — | 298,040 | 57,218 | 4,164 |
| Forward foreign currency contracts | — | 338,626 | — | — |
| Swap contracts | — | (45,921) | — | — |
| — | 237,376 | 134,860,093 | (788,775) | |
| Net realized and unrealized gain (loss) | 4,173 | (1,132,666) | (237,120) | (3,484,805) |
| Increase in net assets from operations | $35,548,167 | $2,573,531 | $46,013,264 | $508,953 |
| The accompanying notes are an integral part of the financial statements. | 132 |
| Investment income | Strategic Income Opportunities Trust | Total Bond Market Trust | Ultra Short Term Bond Trust |
| Interest | $7,219,872 | $22,007,882 | $4,236,557 |
| Dividends from unaffiliated investments | 424,345 | — | — |
| Dividends from affiliated investments | 185,757 | 109,425 | 56,596 |
| Securities lending, net | 6,248 | 6,407 | 11,788 |
| Less foreign taxes withheld | (43,904) | — | — |
| Total investment income | 7,792,318 | 22,123,714 | 4,304,941 |
| Expenses | |||
| Investment management fees | 890,428 | 2,497,740 | 553,832 |
| Distribution and service fees | 109,903 | 141,992 | 191,817 |
| Accounting and legal services fees | 21,951 | 83,474 | 15,831 |
| Trustees' fees | 3,760 | 13,858 | 2,775 |
| Custodian fees | 38,007 | 63,001 | 17,198 |
| Printing and postage | 11,722 | 17,839 | 9,237 |
| Professional fees | 57,332 | 39,587 | 32,589 |
| Other | 10,940 | 18,587 | 7,275 |
| Total expenses | 1,144,043 | 2,876,078 | 830,554 |
| Less expense reductions | (14,904) | (1,402,423) | (70,531) |
| Net expenses | 1,129,139 | 1,473,655 | 760,023 |
| Net investment income | 6,663,179 | 20,650,059 | 3,544,918 |
| Realized and unrealized gain (loss) | |||
| Net realized gain (loss) on | |||
| Unaffiliated investments and foreign currency transactions | 714,109 | (2,498,752) | 126,400 |
| Affiliated investments | (1,709) | (3,176) | (2,074) |
| Futures contracts | 310,459 | — | — |
| Forward foreign currency contracts | (1,231,476) | — | — |
| Written options | 106,770 | — | — |
| (101,847) | (2,501,928) | 124,326 | |
| Change in net unrealized appreciation (depreciation) of | |||
| Unaffiliated investments and translation of assets and liabilities in foreign currencies | (2,901,756) | (11,747,841) | (1,023,687) |
| Affiliated investments | (2,226) | (427) | (43) |
| Futures contracts | (82,187) | — | — |
| Forward foreign currency contracts | 62,756 | — | — |
| Written options | 27,997 | — | — |
| (2,895,416) | (11,748,268) | (1,023,730) | |
| Net realized and unrealized gain (loss) | (2,997,263) | (14,250,196) | (899,404) |
| Increase in net assets from operations | $3,665,916 | $6,399,863 | $2,645,514 |
| The accompanying notes are an integral part of the financial statements. | 133 |
| Active Bond Trust | Core Bond Trust | High Yield Trust | ||||
| Six months ended 6-30-26 (unaudited) | Year ended 12-31-25 | Six months ended 6-30-26 (unaudited) | Year ended 12-31-25 | Six months ended 6-30-26 (unaudited) | Year ended 12-31-25 | |
| Increase (decrease) in net assets | ||||||
| From operations | ||||||
| Net investment income | $11,933,824 | $23,664,577 | $14,234,832 | $31,768,547 | $6,013,140 | $11,639,978 |
| Net realized gain (loss) | (2,077,565) | (5,952,479) | (5,285,499) | (2,684,204) | (1,852,999) | (3,979,092) |
| Change in net unrealized appreciation (depreciation) | (5,618,685) | 21,995,386 | (4,577,036) | 24,191,318 | (314,134) | 5,044,056 |
| Increase in net assets resulting from operations | 4,237,574 | 39,707,484 | 4,372,297 | 53,275,661 | 3,846,007 | 12,704,942 |
| Distributions to shareholders | ||||||
| From earnings | ||||||
| Series I | — | (1,101,311) | — | (2,511,526) | — | (3,436,160) |
| Series II | — | (4,240,506) | — | (3,408,205) | — | (2,027,601) |
| Series NAV | — | (19,331,192) | — | (27,507,907) | — | (7,835,548) |
| Total distributions | — | (24,673,009) | — | (33,427,638) | — | (13,299,309) |
| From portfolio share transactions | ||||||
| Portfolio share transactions | (8,999,711) | (834,197) | (142,744,749) | (16,834,803) | (6,836,391) | 4,987,409 |
| Total increase (decrease) | (4,762,137) | 14,200,278 | (138,372,452) | 3,013,220 | (2,990,384) | 4,393,042 |
| Net assets | ||||||
| Beginning of period | 564,477,387 | 550,277,109 | 798,934,939 | 795,921,719 | 183,369,388 | 178,976,346 |
| End of period | $559,715,250 | $564,477,387 | $660,562,487 | $798,934,939 | $180,379,004 | $183,369,388 |
| Investment Quality Bond Trust | Money Market Trust | Opportunistic Fixed Income Trust | ||||
| Six months ended 6-30-26 (unaudited) | Year ended 12-31-25 | Six months ended 6-30-26 (unaudited) | Year ended 12-31-25 | Six months ended 6-30-26 (unaudited) | Year ended 12-31-25 | |
| Increase (decrease) in net assets | ||||||
| From operations | ||||||
| Net investment income | $3,894,233 | $7,991,286 | $35,543,994 | $89,870,024 | $3,706,197 | $7,526,292 |
| Net realized gain (loss) | (1,082,484) | (2,705,595) | 4,173 | 11,294 | (1,370,042) | (5,146,117) |
| Change in net unrealized appreciation (depreciation) | (1,306,276) | 8,609,253 | — | — | 237,376 | 10,263,603 |
| Increase in net assets resulting from operations | 1,505,473 | 13,894,944 | 35,548,167 | 89,881,318 | 2,573,531 | 12,643,778 |
| Distributions to shareholders | ||||||
| From earnings | ||||||
| Series I | — | (4,101,302) | (26,021,568) | (65,760,417) | — | (1,147,431) |
| Series II | — | (2,107,265) | (613,420) | (1,645,226) | — | (2,205,737) |
| Series NAV | — | (3,073,490) | (8,909,001) | (22,464,380) | — | (5,336,378) |
| Total distributions | — | (9,282,057) | (35,543,989) | (89,870,023) | — | (8,689,546) |
| From portfolio share transactions | ||||||
| Portfolio share transactions | (5,164,546) | (7,486,972) | (98,813,549) | (73,504,153) | (2,015,016) | 885,628 |
| Total increase (decrease) | (3,659,073) | (2,874,085) | (98,809,371) | (73,492,858) | 558,515 | 4,839,860 |
| Net assets | ||||||
| Beginning of period | 214,195,631 | 217,069,716 | 2,172,994,723 | 2,246,487,581 | 143,364,371 | 138,524,511 |
| End of period | $210,536,558 | $214,195,631 | $2,074,185,352 | $2,172,994,723 | $143,922,886 | $143,364,371 |
| The accompanying notes are an integral part of the financial statements. | 134 |
| Select Bond Trust | Short Term Government Income Trust | Strategic Income Opportunities Trust | ||||
| Six months ended 6-30-26 (unaudited) | Year ended 12-31-25 | Six months ended 6-30-26 (unaudited) | Year ended 12-31-25 | Six months ended 6-30-26 (unaudited) | Year ended 12-31-25 | |
| Increase (decrease) in net assets | ||||||
| From operations | ||||||
| Net investment income | $46,250,384 | $223,187,460 | $3,993,758 | $6,979,463 | $6,663,179 | $15,214,520 |
| Net realized gain (loss) | (135,097,213) | (58,618,562) | (2,696,030) | 1,518,246 | (101,847) | (10,602,030) |
| Change in net unrealized appreciation (depreciation) | 134,860,093 | 245,927,736 | (788,775) | 2,445,843 | (2,895,416) | 18,480,863 |
| Increase in net assets resulting from operations | 46,013,264 | 410,496,634 | 508,953 | 10,943,552 | 3,665,916 | 23,093,353 |
| Distributions to shareholders | ||||||
| From earnings | ||||||
| Series I | — | (5,323,649) | — | (375,929) | — | (3,976,478) |
| Series II | — | (13,456,550) | — | (232,325) | — | (5,878,894) |
| Series NAV | — | (214,367,302) | — | (3,846,727) | — | (8,347,596) |
| Total distributions | — | (233,147,501) | — | (4,454,981) | — | (18,202,968) |
| From portfolio share transactions | ||||||
| Portfolio share transactions | (5,194,790,692) | (393,023,541) | 4,160,310 | 76,674,942 | 34,135,665 | (170,283,351) |
| Total increase (decrease) | (5,148,777,428) | (215,674,408) | 4,669,263 | 83,163,513 | 37,801,581 | (165,392,966) |
| Net assets | ||||||
| Beginning of period | 5,652,493,110 | 5,868,167,518 | 243,072,346 | 159,908,833 | 262,554,275 | 427,947,241 |
| End of period | $503,715,682 | $5,652,493,110 | $247,741,609 | $243,072,346 | $300,355,856 | $262,554,275 |
| Total Bond Market Trust | Ultra Short Term Bond Trust | |||
| Six months ended 6-30-26 (unaudited) | Year ended 12-31-25 | Six months ended 6-30-26 (unaudited) | Year ended 12-31-25 | |
| Increase (decrease) in net assets | ||||
| From operations | ||||
| Net investment income | $20,650,059 | $39,096,655 | $3,544,918 | $8,534,790 |
| Net realized gain (loss) | (2,501,928) | (6,885,926) | 124,326 | 480,714 |
| Change in net unrealized appreciation (depreciation) | (11,748,268) | 37,069,011 | (1,023,730) | (100,984) |
| Increase in net assets resulting from operations | 6,399,863 | 69,279,740 | 2,645,514 | 8,914,520 |
| Distributions to shareholders | ||||
| From earnings | ||||
| Series I | — | (12,526,477) | — | (456,667) |
| Series II | — | (1,468,247) | — | (7,462,974) |
| Series NAV | — | (25,273,918) | — | (1,854,208) |
| Total distributions | — | (39,268,642) | — | (9,773,849) |
| From portfolio share transactions | ||||
| Portfolio share transactions | (22,565,432) | 48,484,389 | 1,448,636 | (22,353,838) |
| Total increase (decrease) | (16,165,569) | 78,495,487 | 4,094,150 | (23,213,167) |
| Net assets | ||||
| Beginning of period | 1,078,346,165 | 999,850,678 | 201,338,285 | 224,551,452 |
| End of period | $1,062,180,596 | $1,078,346,165 | $205,432,435 | $201,338,285 |
| The accompanying notes are an integral part of the financial statements. | 135 |
| Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
| Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
| Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
| Active Bond Trust | ||||||||||||||||||
| Series I | ||||||||||||||||||
| 06-30-20263 | 8.35 | 0.18 | (0.12) | 0.06 | — | — | — | 8.41 | 0.724 | 0.715 | 0.705 | 4.305 | 25 | 49 | ||||
| 12-31-2025 | 8.13 | 0.36 | 0.24 | 0.60 | (0.38) | — | (0.38) | 8.35 | 7.39 | 0.71 | 0.70 | 4.26 | 25 | 90 | ||||
| 12-31-2024 | 8.26 | 0.34 | (0.15) | 0.19 | (0.32) | — | (0.32) | 8.13 | 2.25 | 0.71 | 0.70 | 4.07 | 26 | 111 | ||||
| 12-31-2023 | 8.06 | 0.30 | 0.19 | 0.49 | (0.29) | — | (0.29) | 8.26 | 6.43 | 0.71 | 0.71 | 3.68 | 27 | 85 | ||||
| 12-31-2022 | 9.79 | 0.27 | (1.64) | (1.37) | (0.30) | (0.06) | (0.36) | 8.06 | (13.85) | 0.71 | 0.70 | 3.05 | 26 | 91 | ||||
| 12-31-2021 | 10.34 | 0.24 | (0.30) | (0.06) | (0.33) | (0.16) | (0.49) | 9.79 | (0.57) | 0.70 | 0.69 | 2.35 | 34 | 95 | ||||
| Series II | ||||||||||||||||||
| 06-30-20263 | 8.37 | 0.17 | (0.11) | 0.06 | — | — | — | 8.43 | 0.724 | 0.915 | 0.905 | 4.105 | 96 | 49 | ||||
| 12-31-2025 | 8.15 | 0.34 | 0.25 | 0.59 | (0.37) | — | (0.37) | 8.37 | 7.18 | 0.91 | 0.90 | 4.06 | 100 | 90 | ||||
| 12-31-2024 | 8.28 | 0.32 | (0.15) | 0.17 | (0.30) | — | (0.30) | 8.15 | 2.06 | 0.91 | 0.90 | 3.87 | 100 | 111 | ||||
| 12-31-2023 | 8.08 | 0.29 | 0.19 | 0.48 | (0.28) | — | (0.28) | 8.28 | 6.21 | 0.91 | 0.91 | 3.48 | 105 | 85 | ||||
| 12-31-2022 | 9.81 | 0.25 | (1.64) | (1.39) | (0.28) | (0.06) | (0.34) | 8.08 | (14.02) | 0.91 | 0.90 | 2.83 | 103 | 91 | ||||
| 12-31-2021 | 10.36 | 0.22 | (0.30) | (0.08) | (0.31) | (0.16) | (0.47) | 9.81 | (0.77) | 0.90 | 0.89 | 2.15 | 144 | 95 | ||||
| Series NAV | ||||||||||||||||||
| 06-30-20263 | 8.36 | 0.18 | (0.12) | 0.06 | — | — | — | 8.42 | 0.844 | 0.665 | 0.655 | 4.355 | 439 | 49 | ||||
| 12-31-2025 | 8.13 | 0.36 | 0.25 | 0.61 | (0.38) | — | (0.38) | 8.36 | 7.56 | 0.66 | 0.65 | 4.31 | 440 | 90 | ||||
| 12-31-2024 | 8.27 | 0.34 | (0.16) | 0.18 | (0.32) | — | (0.32) | 8.13 | 2.16 | 0.66 | 0.65 | 4.12 | 425 | 111 | ||||
| 12-31-2023 | 8.07 | 0.31 | 0.19 | 0.50 | (0.30) | — | (0.30) | 8.27 | 6.48 | 0.66 | 0.66 | 3.73 | 425 | 85 | ||||
| 12-31-2022 | 9.80 | 0.27 | (1.63) | (1.36) | (0.31) | (0.06) | (0.37) | 8.07 | (13.78) | 0.66 | 0.65 | 3.10 | 420 | 91 | ||||
| 12-31-2021 | 10.34 | 0.24 | (0.28) | (0.04) | (0.34) | (0.16) | (0.50) | 9.80 | (0.42) | 0.65 | 0.64 | 2.40 | 549 | 95 | ||||
| 1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-26. Unaudited. 4. Not annualized. 5. Annualized. | ||||||||||||||||||
| Core Bond Trust | ||||||||||||||||||
| Series I | ||||||||||||||||||
| 06-30-20263 | 11.34 | 0.22 | (0.14) | 0.08 | — | — | — | 11.42 | 0.714 | 0.685 | 0.675 | 3.915 | 58 | 171 | ||||
| 12-31-2025 | 11.06 | 0.46 | 0.31 | 0.77 | (0.49) | — | (0.49) | 11.34 | 6.94 | 0.68 | 0.67 | 4.03 | 60 | 234 | ||||
| 12-31-2024 | 11.31 | 0.45 | (0.28) | 0.17 | (0.42) | — | (0.42) | 11.06 | 1.48 | 0.68 | 0.67 | 3.98 | 61 | 233 | ||||
| 12-31-2023 | 11.04 | 0.39 | 0.22 | 0.61 | (0.34) | — | (0.34) | 11.31 | 5.80 | 0.69 | 0.68 | 3.49 | 63 | 258 | ||||
| 12-31-2022 | 13.10 | 0.23 | (2.03) | (1.80) | (0.26) | — | (0.26) | 11.04 | (13.67) | 0.68 | 0.68 | 1.95 | 64 | 275 | ||||
| 12-31-2021 | 14.23 | 0.11 | (0.39) | (0.28) | (0.26) | (0.59) | (0.85) | 13.10 | (1.96) | 0.67 | 0.66 | 0.82 | 84 | 269 | ||||
| Series II | ||||||||||||||||||
| 06-30-20263 | 11.32 | 0.21 | (0.14) | 0.07 | — | — | — | 11.39 | 0.624 | 0.885 | 0.875 | 3.715 | 90 | 171 | ||||
| 12-31-2025 | 11.04 | 0.43 | 0.32 | 0.75 | (0.47) | — | (0.47) | 11.32 | 6.77 | 0.88 | 0.87 | 3.83 | 87 | 234 | ||||
| 12-31-2024 | 11.30 | 0.43 | (0.29) | 0.14 | (0.40) | — | (0.40) | 11.04 | 1.22 | 0.88 | 0.87 | 3.78 | 77 | 233 | ||||
| 12-31-2023 | 11.03 | 0.37 | 0.22 | 0.59 | (0.32) | — | (0.32) | 11.30 | 5.61 | 0.89 | 0.88 | 3.30 | 69 | 258 | ||||
| 12-31-2022 | 13.08 | 0.21 | (2.02) | (1.81) | (0.24) | — | (0.24) | 11.03 | (13.81) | 0.88 | 0.88 | 1.76 | 64 | 275 | ||||
| 12-31-2021 | 14.22 | 0.09 | (0.41) | (0.32) | (0.23) | (0.59) | (0.82) | 13.08 | (2.23) | 0.87 | 0.86 | 0.62 | 79 | 269 | ||||
| Series NAV | ||||||||||||||||||
| 06-30-20263 | 11.28 | 0.22 | (0.15) | 0.07 | — | — | — | 11.35 | 0.624 | 0.635 | 0.625 | 3.965 | 513 | 171 | ||||
| 12-31-2025 | 11.00 | 0.46 | 0.31 | 0.77 | (0.49) | — | (0.49) | 11.28 | 7.03 | 0.63 | 0.62 | 4.08 | 652 | 234 | ||||
| 12-31-2024 | 11.25 | 0.45 | (0.27) | 0.18 | (0.43) | — | (0.43) | 11.00 | 1.54 | 0.63 | 0.62 | 4.03 | 657 | 233 | ||||
| 12-31-2023 | 10.98 | 0.39 | 0.23 | 0.62 | (0.35) | — | (0.35) | 11.25 | 5.89 | 0.64 | 0.63 | 3.55 | 669 | 258 | ||||
| 12-31-2022 | 13.03 | 0.24 | (2.02) | (1.78) | (0.27) | — | (0.27) | 10.98 | (13.62) | 0.63 | 0.63 | 2.00 | 658 | 275 | ||||
| 12-31-2021 | 14.17 | 0.12 | (0.41) | (0.29) | (0.26) | (0.59) | (0.85) | 13.03 | (1.99) | 0.62 | 0.61 | 0.87 | 836 | 269 | ||||
| 1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-26. Unaudited. 4. Not annualized. 5. Annualized. | ||||||||||||||||||
| The accompanying notes are an integral part of the financial statements. | 136 |
| Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
| Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
| Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
| High Yield Trust | ||||||||||||||||||
| Series I | ||||||||||||||||||
| 06-30-20263 | 4.78 | 0.16 | (0.06) | 0.10 | — | — | — | 4.88 | 2.094 | 0.655 | 0.645 | 6.735 | 46 | 15 | ||||
| 12-31-2025 | 4.80 | 0.32 | 0.03 | 0.35 | (0.37) | — | (0.37) | 4.78 | 7.46 | 0.77 | 0.71 | 6.51 | 47 | 1476 | ||||
| 12-31-2024 | 4.73 | 0.35 | 0.07 | 0.42 | (0.35) | — | (0.35) | 4.80 | 8.95 | 0.88 | 0.87 | 7.12 | 48 | 38 | ||||
| 12-31-2023 | 4.30 | 0.33 | 0.22 | 0.55 | (0.12) | — | (0.12) | 4.73 | 13.05 | 0.87 | 0.86 | 7.24 | 50 | 38 | ||||
| 12-31-2022 | 5.30 | 0.29 | (1.00) | (0.71) | (0.29) | — | (0.29) | 4.30 | (13.25) | 0.85 | 0.84 | 6.03 | 50 | 32 | ||||
| 12-31-2021 | 5.27 | 0.27 | 0.04 | 0.31 | (0.28) | — | (0.28) | 5.30 | 5.82 | 0.83 | 0.82 | 4.99 | 64 | 76 | ||||
| Series II | ||||||||||||||||||
| 06-30-20263 | 4.94 | 0.16 | (0.06) | 0.10 | — | — | — | 5.04 | 2.024 | 0.855 | 0.845 | 6.535 | 29 | 15 | ||||
| 12-31-2025 | 4.95 | 0.32 | 0.04 | 0.36 | (0.37) | — | (0.37) | 4.94 | 7.25 | 0.97 | 0.91 | 6.30 | 29 | 1476 | ||||
| 12-31-2024 | 4.87 | 0.35 | 0.07 | 0.42 | (0.34) | — | (0.34) | 4.95 | 8.72 | 1.08 | 1.07 | 6.92 | 31 | 38 | ||||
| 12-31-2023 | 4.43 | 0.33 | 0.22 | 0.55 | (0.11) | — | (0.11) | 4.87 | 12.70 | 1.07 | 1.06 | 7.04 | 32 | 38 | ||||
| 12-31-2022 | 5.45 | 0.28 | (1.02) | (0.74) | (0.28) | — | (0.28) | 4.43 | (13.45) | 1.05 | 1.04 | 5.80 | 33 | 32 | ||||
| 12-31-2021 | 5.41 | 0.27 | 0.03 | 0.30 | (0.26) | — | (0.26) | 5.45 | 5.67 | 1.03 | 1.02 | 4.79 | 48 | 76 | ||||
| Series NAV | ||||||||||||||||||
| 06-30-20263 | 4.67 | 0.16 | (0.06) | 0.10 | — | — | — | 4.77 | 2.144 | 0.605 | 0.595 | 6.795 | 106 | 15 | ||||
| 12-31-2025 | 4.70 | 0.31 | 0.04 | 0.35 | (0.38) | — | (0.38) | 4.67 | 7.45 | 0.72 | 0.66 | 6.56 | 107 | 1476 | ||||
| 12-31-2024 | 4.63 | 0.34 | 0.08 | 0.42 | (0.35) | — | (0.35) | 4.70 | 9.19 | 0.83 | 0.82 | 7.17 | 101 | 38 | ||||
| 12-31-2023 | 4.22 | 0.32 | 0.21 | 0.53 | (0.12) | — | (0.12) | 4.63 | 12.87 | 0.82 | 0.81 | 7.30 | 98 | 38 | ||||
| 12-31-2022 | 5.20 | 0.28 | (0.97) | (0.69) | (0.29) | — | (0.29) | 4.22 | (13.07) | 0.80 | 0.79 | 6.12 | 85 | 32 | ||||
| 12-31-2021 | 5.18 | 0.27 | 0.03 | 0.30 | (0.28) | — | (0.28) | 5.20 | 5.78 | 0.78 | 0.77 | 5.05 | 96 | 76 | ||||
| 1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-26. Unaudited. 4. Not annualized. 5. Annualized. 6. Increase in portfolio turnover rate resulted from repositioning of the portfolio during the period in accordance with investment policy changes approved by the Board of Trustees. | ||||||||||||||||||
| Investment Quality Bond Trust | ||||||||||||||||||
| Series I | ||||||||||||||||||
| 06-30-20263 | 9.75 | 0.18 | (0.11) | 0.07 | — | — | — | 9.82 | 0.724 | 0.775 | 0.765 | 3.775 | 90 | 45 | ||||
| 12-31-2025 | 9.53 | 0.38 | 0.29 | 0.67 | (0.45) | — | (0.45) | 9.75 | 6.97 | 0.78 | 0.77 | 3.83 | 93 | 49 | ||||
| 12-31-2024 | 9.67 | 0.38 | (0.18) | 0.20 | (0.34) | — | (0.34) | 9.53 | 2.00 | 0.75 | 0.75 | 3.87 | 97 | 44 | ||||
| 12-31-2023 | 9.22 | 0.33 | 0.27 | 0.60 | (0.15) | — | (0.15) | 9.67 | 6.49 | 0.77 | 0.76 | 3.52 | 101 | 41 | ||||
| 12-31-2022 | 11.50 | 0.27 | (2.01) | (1.74) | (0.33) | (0.21) | (0.54) | 9.22 | (14.88) | 0.76 | 0.75 | 2.62 | 100 | 39 | ||||
| 12-31-2021 | 12.17 | 0.22 | (0.37) | (0.15) | (0.25) | (0.27) | (0.52) | 11.50 | (1.26) | 0.74 | 0.73 | 1.86 | 134 | 37 | ||||
| Series II | ||||||||||||||||||
| 06-30-20263 | 9.75 | 0.17 | (0.11) | 0.06 | — | — | — | 9.81 | 0.624 | 0.975 | 0.965 | 3.575 | 46 | 45 | ||||
| 12-31-2025 | 9.54 | 0.36 | 0.28 | 0.64 | (0.43) | — | (0.43) | 9.75 | 6.67 | 0.98 | 0.97 | 3.63 | 49 | 49 | ||||
| 12-31-2024 | 9.68 | 0.36 | (0.18) | 0.18 | (0.32) | — | (0.32) | 9.54 | 1.82 | 0.95 | 0.95 | 3.66 | 50 | 44 | ||||
| 12-31-2023 | 9.23 | 0.31 | 0.27 | 0.58 | (0.13) | — | (0.13) | 9.68 | 6.28 | 0.97 | 0.96 | 3.32 | 51 | 41 | ||||
| 12-31-2022 | 11.50 | 0.25 | (2.00) | (1.75) | (0.31) | (0.21) | (0.52) | 9.23 | (15.06) | 0.96 | 0.95 | 2.42 | 51 | 39 | ||||
| 12-31-2021 | 12.18 | 0.20 | (0.39) | (0.19) | (0.22) | (0.27) | (0.49) | 11.50 | (1.45) | 0.94 | 0.93 | 1.66 | 71 | 37 | ||||
| Series NAV | ||||||||||||||||||
| 06-30-20263 | 9.70 | 0.18 | (0.10) | 0.08 | — | — | — | 9.78 | 0.724 | 0.725 | 0.715 | 3.835 | 74 | 45 | ||||
| 12-31-2025 | 9.49 | 0.38 | 0.28 | 0.66 | (0.45) | — | (0.45) | 9.70 | 6.94 | 0.73 | 0.72 | 3.89 | 73 | 49 | ||||
| 12-31-2024 | 9.63 | 0.38 | (0.18) | 0.20 | (0.34) | — | (0.34) | 9.49 | 2.05 | 0.70 | 0.70 | 3.92 | 70 | 44 | ||||
| 12-31-2023 | 9.18 | 0.33 | 0.27 | 0.60 | (0.15) | — | (0.15) | 9.63 | 6.57 | 0.72 | 0.71 | 3.58 | 62 | 41 | ||||
| 12-31-2022 | 11.45 | 0.27 | (2.00) | (1.73) | (0.33) | (0.21) | (0.54) | 9.18 | (14.88) | 0.71 | 0.70 | 2.70 | 56 | 39 | ||||
| 12-31-2021 | 12.13 | 0.23 | (0.39) | (0.16) | (0.25) | (0.27) | (0.52) | 11.45 | (1.21) | 0.69 | 0.68 | 1.91 | 65 | 37 | ||||
| 1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-26. Unaudited. 4. Not annualized. 5. Annualized. | ||||||||||||||||||
| The accompanying notes are an integral part of the financial statements. | 137 |
| Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
| Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
| Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
| Money Market Trust | ||||||||||||||||||
| Series I | ||||||||||||||||||
| 06-30-20263 | 1.00 | 0.017 | —4 | 0.017 | (0.017) | — | (0.017) | 1.00 | 1.705 | 0.446 | 0.336 | 3.406 | 1,507 | — | ||||
| 12-31-2025 | 1.00 | 0.039 | —4 | 0.039 | (0.039) | — | (0.039) | 1.00 | 4.02 | 0.44 | 0.33 | 3.94 | 1,589 | — | ||||
| 12-31-2024 | 1.00 | 0.049 | —4 | 0.049 | (0.049) | — | (0.049) | 1.00 | 4.97 | 0.44 | 0.33 | 4.86 | 1,659 | — | ||||
| 12-31-2023 | 1.00 | 0.047 | —4 | 0.047 | (0.047) | — | (0.047) | 1.00 | 4.76 | 0.44 | 0.33 | 4.66 | 1,780 | — | ||||
| 12-31-2022 | 1.00 | 0.013 | —4 | 0.013 | (0.013) | — | (0.013) | 1.00 | 1.29 | 0.44 | 0.33 | 1.33 | 1,778 | — | ||||
| 12-31-2021 | 1.00 | —4 | —4 | —4 | —4 | — | —4 | 1.00 | 0.007 | 0.44 | 0.07 | — | 1,522 | — | ||||
| Series II | ||||||||||||||||||
| 06-30-20263 | 1.00 | 0.016 | —4 | 0.016 | (0.016) | — | (0.016) | 1.00 | 1.605 | 0.646 | 0.536 | 3.206 | 37 | — | ||||
| 12-31-2025 | 1.00 | 0.038 | (0.001)8 | 0.037 | (0.037) | — | (0.037) | 1.00 | 3.81 | 0.64 | 0.53 | 3.75 | 40 | — | ||||
| 12-31-2024 | 1.00 | 0.047 | —4 | 0.047 | (0.047) | — | (0.047) | 1.00 | 4.77 | 0.64 | 0.53 | 4.67 | 48 | — | ||||
| 12-31-2023 | 1.00 | 0.044 | 0.001 | 0.045 | (0.045) | — | (0.045) | 1.00 | 4.55 | 0.64 | 0.53 | 4.44 | 57 | — | ||||
| 12-31-2022 | 1.00 | 0.010 | 0.001 | 0.011 | (0.011) | — | (0.011) | 1.00 | 1.07 | 0.64 | 0.53 | 1.00 | 67 | — | ||||
| 12-31-2021 | 1.00 | —4 | —4 | —4 | —4 | — | —4 | 1.00 | 0.007 | 0.64 | 0.07 | — | 79 | — | ||||
| Series NAV | ||||||||||||||||||
| 06-30-20263 | 1.00 | 0.017 | —4 | 0.017 | (0.017) | — | (0.017) | 1.00 | 1.725 | 0.396 | 0.286 | 3.456 | 530 | — | ||||
| 12-31-2025 | 1.00 | 0.040 | —4 | 0.040 | (0.040) | — | (0.040) | 1.00 | 4.07 | 0.39 | 0.28 | 4.00 | 543 | — | ||||
| 12-31-2024 | 1.00 | 0.049 | —4 | 0.049 | (0.049) | — | (0.049) | 1.00 | 5.03 | 0.39 | 0.28 | 4.91 | 539 | — | ||||
| 12-31-2023 | 1.00 | 0.047 | —4 | 0.047 | (0.047) | — | (0.047) | 1.00 | 4.81 | 0.39 | 0.28 | 4.70 | 451 | — | ||||
| 12-31-2022 | 1.00 | 0.014 | (0.001) | 0.013 | (0.013) | — | (0.013) | 1.00 | 1.34 | 0.39 | 0.28 | 1.36 | 484 | — | ||||
| 12-31-2021 | 1.00 | —4 | —4 | —4 | —4 | — | —4 | 1.00 | 0.007 | 0.39 | 0.07 | — | 393 | — | ||||
| 1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-26. Unaudited. 4. Less than $0.0005 per share. 5. Not annualized. 6. Annualized. 7. Less than 0.005%. 8. The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of the sales and repurchases of shares in relation to fluctuating market values of the investments of the fund. | ||||||||||||||||||
| Opportunistic Fixed Income Trust | ||||||||||||||||||
| Series I | ||||||||||||||||||
| 06-30-20263 | 10.96 | 0.29 | (0.09) | 0.20 | — | — | — | 11.16 | 1.824 | 0.965 | 0.825 | 5.255 | 19 | 131 | ||||
| 12-31-2025 | 10.64 | 0.60 | 0.42 | 1.02 | (0.70) | — | (0.70) | 10.96 | 9.51 | 0.97 | 0.83 | 5.37 | 19 | 157 | ||||
| 12-31-2024 | 11.03 | 0.59 | (0.62) | (0.03) | (0.36) | — | (0.36) | 10.64 | (0.32) | 0.94 | 0.82 | 5.40 | 19 | 101 | ||||
| 12-31-2023 | 10.48 | 0.58 | 0.26 | 0.84 | (0.29) | — | (0.29) | 11.03 | 8.23 | 0.93 | 0.82 | 5.35 | 21 | 89 | ||||
| 12-31-2022 | 12.31 | 0.47 | (1.87) | (1.40) | (0.30) | (0.13) | (0.43) | 10.48 | (11.12) | 0.90 | 0.82 | 4.31 | 21 | 119 | ||||
| 12-31-2021 | 13.47 | 0.38 | (0.66) | (0.28) | (0.37) | (0.51) | (0.88) | 12.31 | (2.02) | 0.85 | 0.82 | 2.90 | 29 | 126 | ||||
| Series II | ||||||||||||||||||
| 06-30-20263 | 10.74 | 0.27 | (0.08) | 0.19 | — | — | — | 10.93 | 1.774 | 1.165 | 1.025 | 5.025 | 35 | 131 | ||||
| 12-31-2025 | 10.44 | 0.56 | 0.42 | 0.98 | (0.68) | — | (0.68) | 10.74 | 9.20 | 1.17 | 1.03 | 5.15 | 36 | 157 | ||||
| 12-31-2024 | 10.83 | 0.56 | (0.61) | (0.05) | (0.34) | — | (0.34) | 10.44 | (0.41) | 1.14 | 1.02 | 5.20 | 37 | 101 | ||||
| 12-31-2023 | 10.29 | 0.54 | 0.27 | 0.81 | (0.27) | — | (0.27) | 10.83 | 7.97 | 1.13 | 1.02 | 5.13 | 42 | 89 | ||||
| 12-31-2022 | 12.10 | 0.44 | (1.84) | (1.40) | (0.28) | (0.13) | (0.41) | 10.29 | (11.26) | 1.10 | 1.02 | 4.11 | 43 | 119 | ||||
| 12-31-2021 | 13.25 | 0.35 | (0.64) | (0.29) | (0.35) | (0.51) | (0.86) | 12.10 | (2.26) | 1.05 | 1.02 | 2.70 | 56 | 126 | ||||
| Series NAV | ||||||||||||||||||
| 06-30-20263 | 10.91 | 0.29 | (0.09) | 0.20 | — | — | — | 11.11 | 1.834 | 0.915 | 0.775 | 5.325 | 90 | 131 | ||||
| 12-31-2025 | 10.59 | 0.60 | 0.42 | 1.02 | (0.70) | — | (0.70) | 10.91 | 9.60 | 0.92 | 0.78 | 5.41 | 88 | 157 | ||||
| 12-31-2024 | 10.98 | 0.60 | (0.62) | (0.02) | (0.37) | — | (0.37) | 10.59 | (0.27) | 0.89 | 0.77 | 5.46 | 83 | 101 | ||||
| 12-31-2023 | 10.43 | 0.58 | 0.26 | 0.84 | (0.29) | — | (0.29) | 10.98 | 8.21 | 0.88 | 0.77 | 5.40 | 98 | 89 | ||||
| 12-31-2022 | 12.25 | 0.48 | (1.86) | (1.38) | (0.31) | (0.13) | (0.44) | 10.43 | (10.96) | 0.85 | 0.77 | 4.38 | 96 | 119 | ||||
| 12-31-2021 | 13.41 | 0.39 | (0.66) | (0.27) | (0.38) | (0.51) | (0.89) | 12.25 | (2.06) | 0.80 | 0.77 | 2.95 | 126 | 126 | ||||
| 1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-26. Unaudited. 4. Not annualized. 5. Annualized. | ||||||||||||||||||
| The accompanying notes are an integral part of the financial statements. | 138 |
| Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
| Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
| Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
| Select Bond Trust | ||||||||||||||||||
| Series I | ||||||||||||||||||
| 06-30-20263 | 11.90 | 0.21 | (0.15) | 0.06 | — | — | — | 11.96 | 0.504 | 0.705 | 0.665 | 3.625 | 125 | 83 | ||||
| 12-31-2025 | 11.54 | 0.47 | 0.39 | 0.86 | (0.50) | — | (0.50) | 11.90 | 7.47 | 0.66 | 0.63 | 3.93 | 129 | 107 | ||||
| 12-31-2024 | 11.75 | 0.43 | (0.21) | 0.22 | (0.43) | — | (0.43) | 11.54 | 1.83 | 0.66 | 0.62 | 3.68 | 134 | 114 | ||||
| 12-31-2023 | 11.46 | 0.39 | 0.28 | 0.67 | (0.38) | — | (0.38) | 11.75 | 6.10 | 0.66 | 0.63 | 3.36 | 139 | 146 | ||||
| 12-31-2022 | 13.94 | 0.32 | (2.32) | (2.00) | (0.38) | (0.10) | (0.48) | 11.46 | (14.20) | 0.66 | 0.62 | 2.56 | 135 | 120 | ||||
| 12-31-2021 | 14.59 | 0.28 | (0.45) | (0.17) | (0.41) | (0.07) | (0.48) | 13.94 | (1.20) | 0.65 | 0.61 | 1.94 | 177 | 132 | ||||
| Series II | ||||||||||||||||||
| 06-30-20263 | 11.92 | 0.20 | (0.15) | 0.05 | — | — | — | 11.97 | 0.424 | 0.905 | 0.865 | 3.425 | 324 | 83 | ||||
| 12-31-2025 | 11.55 | 0.44 | 0.41 | 0.85 | (0.48) | — | (0.48) | 11.92 | 7.36 | 0.86 | 0.83 | 3.73 | 340 | 107 | ||||
| 12-31-2024 | 11.77 | 0.41 | (0.22) | 0.19 | (0.41) | — | (0.41) | 11.55 | 1.56 | 0.86 | 0.82 | 3.47 | 356 | 114 | ||||
| 12-31-2023 | 11.48 | 0.37 | 0.27 | 0.64 | (0.35) | — | (0.35) | 11.77 | 5.88 | 0.86 | 0.83 | 3.16 | 390 | 146 | ||||
| 12-31-2022 | 13.96 | 0.30 | (2.32) | (2.02) | (0.36) | (0.10) | (0.46) | 11.48 | (14.38) | 0.86 | 0.82 | 2.40 | 413 | 120 | ||||
| 12-31-2021 | 14.61 | 0.25 | (0.45) | (0.20) | (0.38) | (0.07) | (0.45) | 13.96 | (1.39) | 0.85 | 0.81 | 1.74 | 415 | 132 | ||||
| Series NAV | ||||||||||||||||||
| 06-30-20263 | 11.89 | 0.22 | (0.16) | 0.06 | — | — | — | 11.95 | 0.504 | 0.655 | 0.625 | 3.655 | 55 | 83 | ||||
| 12-31-2025 | 11.53 | 0.47 | 0.40 | 0.87 | (0.51) | — | (0.51) | 11.89 | 7.52 | 0.61 | 0.59 | 3.97 | 5,183 | 107 | ||||
| 12-31-2024 | 11.74 | 0.44 | (0.22) | 0.22 | (0.43) | — | (0.43) | 11.53 | 1.88 | 0.61 | 0.58 | 3.72 | 5,378 | 114 | ||||
| 12-31-2023 | 11.45 | 0.39 | 0.28 | 0.67 | (0.38) | — | (0.38) | 11.74 | 6.15 | 0.61 | 0.59 | 3.40 | 5,487 | 146 | ||||
| 12-31-2022 | 13.93 | 0.33 | (2.32) | (1.99) | (0.39) | (0.10) | (0.49) | 11.45 | (14.16) | 0.61 | 0.58 | 2.61 | 5,411 | 120 | ||||
| 12-31-2021 | 14.58 | 0.28 | (0.45) | (0.17) | (0.41) | (0.07) | (0.48) | 13.93 | (1.15) | 0.60 | 0.57 | 1.98 | 7,199 | 132 | ||||
| 1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-26. Unaudited. 4. Not annualized. 5. Annualized. | ||||||||||||||||||
| Short Term Government Income Trust | ||||||||||||||||||
| Series I | ||||||||||||||||||
| 06-30-20263 | 11.75 | 0.19 | (0.17) | 0.02 | — | — | — | 11.77 | 0.174 | 0.705 | 0.695 | 3.225 | 21 | 241 | ||||
| 12-31-2025 | 11.38 | 0.35 | 0.23 | 0.58 | (0.21) | — | (0.21) | 11.75 | 5.14 | 0.71 | 0.70 | 3.01 | 20 | 487 | ||||
| 12-31-2024 | 11.18 | 0.30 | —6 | 0.30 | (0.10) | — | (0.10) | 11.38 | 2.66 | 0.73 | 0.72 | 2.65 | 23 | 185 | ||||
| 12-31-2023 | 10.94 | 0.20 | 0.22 | 0.42 | (0.18) | — | (0.18) | 11.18 | 3.92 | 0.73 | 0.72 | 1.77 | 24 | 108 | ||||
| 12-31-2022 | 11.88 | 0.12 | (0.89) | (0.77) | (0.17) | — | (0.17) | 10.94 | (6.48) | 0.72 | 0.71 | 1.10 | 25 | 52 | ||||
| 12-31-2021 | 12.29 | 0.13 | (0.32) | (0.19) | (0.22) | — | (0.22) | 11.88 | (1.59) | 0.70 | 0.69 | 1.04 | 30 | 32 | ||||
| Series II | ||||||||||||||||||
| 06-30-20263 | 11.75 | 0.18 | (0.17) | 0.01 | — | — | — | 11.76 | 0.094 | 0.905 | 0.895 | 3.025 | 14 | 241 | ||||
| 12-31-2025 | 11.38 | 0.33 | 0.23 | 0.56 | (0.19) | — | (0.19) | 11.75 | 4.95 | 0.91 | 0.90 | 2.81 | 15 | 487 | ||||
| 12-31-2024 | 11.18 | 0.28 | —6 | 0.28 | (0.08) | — | (0.08) | 11.38 | 2.48 | 0.93 | 0.92 | 2.46 | 15 | 185 | ||||
| 12-31-2023 | 10.95 | 0.17 | 0.22 | 0.39 | (0.16) | — | (0.16) | 11.18 | 3.63 | 0.93 | 0.92 | 1.57 | 15 | 108 | ||||
| 12-31-2022 | 11.89 | 0.10 | (0.89) | (0.79) | (0.15) | — | (0.15) | 10.95 | (6.67) | 0.92 | 0.91 | 0.89 | 17 | 52 | ||||
| 12-31-2021 | 12.30 | 0.10 | (0.32) | (0.22) | (0.19) | — | (0.19) | 11.89 | (1.78) | 0.90 | 0.89 | 0.84 | 22 | 32 | ||||
| Series NAV | ||||||||||||||||||
| 06-30-20263 | 11.74 | 0.19 | (0.16) | 0.03 | — | — | — | 11.77 | 0.264 | 0.655 | 0.645 | 3.275 | 213 | 241 | ||||
| 12-31-2025 | 11.38 | 0.36 | 0.22 | 0.58 | (0.22) | — | (0.22) | 11.74 | 5.09 | 0.66 | 0.65 | 3.06 | 208 | 487 | ||||
| 12-31-2024 | 11.17 | 0.31 | —6 | 0.31 | (0.10) | — | (0.10) | 11.38 | 2.80 | 0.68 | 0.67 | 2.70 | 121 | 185 | ||||
| 12-31-2023 | 10.94 | 0.20 | 0.22 | 0.42 | (0.19) | — | (0.19) | 11.17 | 3.87 | 0.68 | 0.67 | 1.83 | 131 | 108 | ||||
| 12-31-2022 | 11.88 | 0.13 | (0.90) | (0.77) | (0.17) | — | (0.17) | 10.94 | (6.43) | 0.67 | 0.66 | 1.15 | 119 | 52 | ||||
| 12-31-2021 | 12.29 | 0.13 | (0.32) | (0.19) | (0.22) | — | (0.22) | 11.88 | (1.54) | 0.65 | 0.64 | 1.09 | 130 | 32 | ||||
| 1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-26. Unaudited. 4. Not annualized. 5. Annualized. 6. Less than $0.005 per share. | ||||||||||||||||||
| The accompanying notes are an integral part of the financial statements. | 139 |
| Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
| Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
| Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
| Strategic Income Opportunities Trust | ||||||||||||||||||
| Series I | ||||||||||||||||||
| 06-30-20263 | 12.54 | 0.30 | (0.14) | 0.16 | — | — | — | 12.70 | 1.284 | 0.795 | 0.785 | 4.795 | 51 | 24 | ||||
| 12-31-2025 | 12.66 | 0.60 | 0.35 | 0.95 | (1.07) | — | (1.07) | 12.54 | 7.51 | 0.81 | 0.80 | 4.54 | 51 | 73 | ||||
| 12-31-2024 | 12.62 | 0.53 | (0.14) | 0.39 | (0.35) | — | (0.35) | 12.66 | 3.10 | 0.79 | 0.78 | 4.15 | 222 | 46 | ||||
| 12-31-2023 | 12.18 | 0.46 | 0.42 | 0.88 | (0.44) | — | (0.44) | 12.62 | 7.37 | 0.80 | 0.79 | 3.71 | 234 | 39 | ||||
| 12-31-2022 | 14.07 | 0.38 | (1.81) | (1.43) | (0.46) | — | (0.46) | 12.18 | (10.06) | 0.78 | 0.77 | 2.97 | 238 | 48 | ||||
| 12-31-2021 | 14.44 | 0.37 | (0.25) | 0.12 | (0.49) | — | (0.49) | 14.07 | 0.90 | 0.76 | 0.75 | 2.56 | 301 | 61 | ||||
| Series II | ||||||||||||||||||
| 06-30-20263 | 12.57 | 0.29 | (0.14) | 0.15 | — | — | — | 12.72 | 1.194 | 0.995 | 0.985 | 4.595 | 81 | 24 | ||||
| 12-31-2025 | 12.70 | 0.57 | 0.34 | 0.91 | (1.04) | — | (1.04) | 12.57 | 7.22 | 1.01 | 1.00 | 4.45 | 78 | 73 | ||||
| 12-31-2024 | 12.66 | 0.51 | (0.14) | 0.37 | (0.33) | — | (0.33) | 12.70 | 2.91 | 0.99 | 0.98 | 3.97 | 69 | 46 | ||||
| 12-31-2023 | 12.22 | 0.44 | 0.41 | 0.85 | (0.41) | — | (0.41) | 12.66 | 7.23 | 1.00 | 0.99 | 3.52 | 58 | 39 | ||||
| 12-31-2022 | 14.11 | 0.36 | (1.82) | (1.46) | (0.43) | — | (0.43) | 12.22 | (10.30) | 0.98 | 0.97 | 2.80 | 52 | 48 | ||||
| 12-31-2021 | 14.47 | 0.34 | (0.24) | 0.10 | (0.46) | — | (0.46) | 14.11 | 0.70 | 0.96 | 0.95 | 2.36 | 51 | 61 | ||||
| Series NAV | ||||||||||||||||||
| 06-30-20263 | 12.49 | 0.30 | (0.14) | 0.16 | — | — | — | 12.65 | 1.284 | 0.745 | 0.735 | 4.885 | 169 | 24 | ||||
| 12-31-2025 | 12.62 | 0.60 | 0.34 | 0.94 | (1.07) | — | (1.07) | 12.49 | 7.51 | 0.76 | 0.75 | 4.65 | 134 | 73 | ||||
| 12-31-2024 | 12.58 | 0.54 | (0.14) | 0.40 | (0.36) | — | (0.36) | 12.62 | 3.16 | 0.74 | 0.73 | 4.23 | 137 | 46 | ||||
| 12-31-2023 | 12.14 | 0.47 | 0.41 | 0.88 | (0.44) | — | (0.44) | 12.58 | 7.53 | 0.75 | 0.74 | 3.77 | 93 | 39 | ||||
| 12-31-2022 | 14.03 | 0.39 | (1.82) | (1.43) | (0.46) | — | (0.46) | 12.14 | (10.05) | 0.73 | 0.72 | 3.03 | 84 | 48 | ||||
| 12-31-2021 | 14.39 | 0.38 | (0.24) | 0.14 | (0.50) | — | (0.50) | 14.03 | 0.95 | 0.71 | 0.70 | 2.61 | 96 | 61 | ||||
| 1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-26. Unaudited. 4. Not annualized. 5. Annualized. | ||||||||||||||||||
| Total Bond Market Trust | ||||||||||||||||||
| Series I | ||||||||||||||||||
| 06-30-20263 | 9.08 | 0.17 | (0.12) | 0.05 | — | — | — | 9.13 | 0.554 | 0.565 | 0.305 | 3.875 | 367 | 16 | ||||
| 12-31-2025 | 8.81 | 0.34 | 0.27 | 0.61 | (0.34) | — | (0.34) | 9.08 | 6.86 | 0.57 | 0.30 | 3.77 | 361 | 55 | ||||
| 12-31-2024 | 8.99 | 0.31 | (0.22) | 0.09 | (0.27) | — | (0.27) | 8.81 | 0.99 | 0.57 | 0.30 | 3.41 | 326 | 29 | ||||
| 12-31-2023 | 8.78 | 0.27 | 0.18 | 0.45 | (0.24) | — | (0.24) | 8.99 | 5.35 | 0.57 | 0.30 | 3.08 | 299 | 10 | ||||
| 12-31-2022 | 10.45 | 0.22 | (1.64) | (1.42) | (0.25) | — | (0.25) | 8.78 | (13.49) | 0.57 | 0.30 | 2.29 | 271 | 38 | ||||
| 12-31-2021 | 10.89 | 0.17 | (0.37) | (0.20) | (0.24) | — | (0.24) | 10.45 | (1.81) | 0.57 | 0.30 | 1.58 | 336 | 32 | ||||
| Series II | ||||||||||||||||||
| 06-30-20263 | 9.09 | 0.17 | (0.12) | 0.05 | — | — | — | 9.14 | 0.554 | 0.765 | 0.505 | 3.675 | 41 | 16 | ||||
| 12-31-2025 | 8.82 | 0.32 | 0.27 | 0.59 | (0.32) | — | (0.32) | 9.09 | 6.67 | 0.77 | 0.50 | 3.57 | 42 | 55 | ||||
| 12-31-2024 | 9.00 | 0.29 | (0.21) | 0.08 | (0.26) | — | (0.26) | 8.82 | 0.80 | 0.77 | 0.50 | 3.20 | 42 | 29 | ||||
| 12-31-2023 | 8.80 | 0.26 | 0.16 | 0.42 | (0.22) | — | (0.22) | 9.00 | 5.02 | 0.77 | 0.50 | 2.88 | 48 | 10 | ||||
| 12-31-2022 | 10.46 | 0.20 | (1.63) | (1.43) | (0.23) | — | (0.23) | 8.80 | (13.58) | 0.77 | 0.50 | 2.08 | 49 | 38 | ||||
| 12-31-2021 | 10.91 | 0.15 | (0.38) | (0.23) | (0.22) | — | (0.22) | 10.46 | (2.10) | 0.77 | 0.50 | 1.38 | 62 | 32 | ||||
| Series NAV | ||||||||||||||||||
| 06-30-20263 | 9.08 | 0.18 | (0.13) | 0.05 | — | — | — | 9.13 | 0.554 | 0.515 | 0.255 | 3.915 | 654 | 16 | ||||
| 12-31-2025 | 8.81 | 0.35 | 0.26 | 0.61 | (0.34) | — | (0.34) | 9.08 | 6.91 | 0.52 | 0.25 | 3.83 | 676 | 55 | ||||
| 12-31-2024 | 8.98 | 0.31 | (0.20) | 0.11 | (0.28) | — | (0.28) | 8.81 | 1.14 | 0.52 | 0.25 | 3.46 | 632 | 29 | ||||
| 12-31-2023 | 8.78 | 0.28 | 0.16 | 0.44 | (0.24) | — | (0.24) | 8.98 | 5.29 | 0.52 | 0.25 | 3.14 | 594 | 10 | ||||
| 12-31-2022 | 10.44 | 0.22 | (1.62) | (1.40) | (0.26) | — | (0.26) | 8.78 | (13.36) | 0.52 | 0.25 | 2.39 | 542 | 38 | ||||
| 12-31-2021 | 10.89 | 0.17 | (0.37) | (0.20) | (0.25) | — | (0.25) | 10.44 | (1.86) | 0.52 | 0.25 | 1.62 | 350 | 32 | ||||
| 1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-26. Unaudited. 4. Not annualized. 5. Annualized. | ||||||||||||||||||
| The accompanying notes are an integral part of the financial statements. | 140 |
| Per share operating performance for a share outstanding throughout each period | Ratios and supplemental data | |||||||||||||||||
| Income (loss) from investment operations | Less distributions | Ratios to average net assets | ||||||||||||||||
| Period ended | Net asset value, beginning of period ($) | Net investment income (loss) ($)1 | Net realized and unrealized gain (loss) on investments ($) | Total from investment operations ($) | From net investment income ($) | From net realized gain ($) | Total distributions ($) | Net asset value, end of period ($) | Total return (%)2 | Expenses before reductions (%) | Expenses including reductions (%) | Net investment income (loss) (%) | Net assets, end of period (in millions) | Portfolio turnover (%) | ||||
| Ultra Short Term Bond Trust | ||||||||||||||||||
| Series I | ||||||||||||||||||
| 06-30-20263 | 11.40 | 0.21 | (0.05) | 0.16 | — | — | — | 11.56 | 1.404 | 0.685 | 0.615 | 3.665 | 10 | 41 | ||||
| 12-31-2025 | 11.48 | 0.47 | 0.02 | 0.49 | (0.57) | — | (0.57) | 11.40 | 4.29 | 0.68 | 0.61 | 4.00 | 10 | 64 | ||||
| 12-31-2024 | 11.11 | 0.47 | 0.08 | 0.55 | (0.18) | — | (0.18) | 11.48 | 4.97 | 0.68 | 0.61 | 4.18 | 10 | 69 | ||||
| 12-31-2023 | 10.93 | 0.33 | 0.17 | 0.50 | (0.32) | — | (0.32) | 11.11 | 4.60 | 0.68 | 0.61 | 2.99 | 12 | 41 | ||||
| 12-31-2022 | 11.19 | 0.10 | (0.20) | (0.10) | (0.16) | — | (0.16) | 10.93 | (0.84) | 0.67 | 0.61 | 0.94 | 10 | 54 | ||||
| 12-31-2021 | 11.46 | 0.04 | (0.09) | (0.05) | (0.22) | — | (0.22) | 11.19 | (0.46) | 0.67 | 0.60 | 0.34 | 11 | 47 | ||||
| Series II | ||||||||||||||||||
| 06-30-20263 | 11.39 | 0.20 | (0.05) | 0.15 | — | — | — | 11.54 | 1.324 | 0.885 | 0.815 | 3.465 | 151 | 41 | ||||
| 12-31-2025 | 11.48 | 0.44 | 0.02 | 0.46 | (0.55) | — | (0.55) | 11.39 | 4.02 | 0.88 | 0.81 | 3.81 | 153 | 64 | ||||
| 12-31-2024 | 11.11 | 0.45 | 0.08 | 0.53 | (0.16) | — | (0.16) | 11.48 | 4.78 | 0.88 | 0.81 | 3.98 | 178 | 69 | ||||
| 12-31-2023 | 10.93 | 0.31 | 0.17 | 0.48 | (0.30) | — | (0.30) | 11.11 | 4.41 | 0.88 | 0.81 | 2.77 | 200 | 41 | ||||
| 12-31-2022 | 11.19 | 0.09 | (0.21) | (0.12) | (0.14) | — | (0.14) | 10.93 | (1.04) | 0.87 | 0.81 | 0.77 | 228 | 54 | ||||
| 12-31-2021 | 11.46 | 0.02 | (0.10) | (0.08) | (0.19) | — | (0.19) | 11.19 | (0.66) | 0.87 | 0.80 | 0.15 | 197 | 47 | ||||
| Series NAV | ||||||||||||||||||
| 06-30-20263 | 11.41 | 0.21 | (0.05) | 0.16 | — | — | — | 11.57 | 1.404 | 0.635 | 0.565 | 3.715 | 45 | 41 | ||||
| 12-31-2025 | 11.49 | 0.47 | 0.02 | 0.49 | (0.57) | — | (0.57) | 11.41 | 4.34 | 0.63 | 0.56 | 4.06 | 38 | 64 | ||||
| 12-31-2024 | 11.12 | 0.48 | 0.08 | 0.56 | (0.19) | — | (0.19) | 11.49 | 5.01 | 0.63 | 0.56 | 4.24 | 37 | 69 | ||||
| 12-31-2023 | 10.93 | 0.34 | 0.17 | 0.51 | (0.32) | — | (0.32) | 11.12 | 4.74 | 0.63 | 0.56 | 3.04 | 38 | 41 | ||||
| 12-31-2022 | 11.20 | 0.11 | (0.21) | (0.10) | (0.17) | — | (0.17) | 10.93 | (0.88) | 0.62 | 0.56 | 0.97 | 35 | 54 | ||||
| 12-31-2021 | 11.47 | 0.04 | (0.09) | (0.05) | (0.22) | — | (0.22) | 11.20 | (0.41) | 0.62 | 0.55 | 0.38 | 38 | 47 | ||||
| 1. Based on average daily shares outstanding. 2. Total returns exclude insurance-related fees and expenses and would have been lower had certain expenses not been reduced during the applicable periods. 3. Six months ended 6-30-26. Unaudited. 4. Not annualized. 5. Annualized. | ||||||||||||||||||
| The accompanying notes are an integral part of the financial statements. | 141 |
| Total value at 6-30-26 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
| Active Bond Trust | ||||
| Investments in securities: | ||||
| Assets | ||||
| U.S. Government and Agency obligations | $242,643,101 | — | $242,643,101 | — |
| Foreign government obligations | 922,987 | — | 922,987 | — |
| Corporate bonds | 229,717,768 | — | 229,717,768 | — |
| Term loans | 2,116,576 | — | 2,116,576 | — |
| Collateralized mortgage obligations | 36,240,016 | — | 36,240,016 | — |
| Asset-backed securities | 35,659,422 | — | 35,659,422 | — |
| Common stocks | 37,881 | — | — | $37,881 |
| Preferred securities | 1,014,317 | $1,014,317 | — | — |
| Short-term investments | 3,360,456 | 3,360,456 | — | — |
| Total investments in securities | $551,712,524 | $4,374,773 | $547,299,870 | $37,881 |
| Derivatives: | ||||
| Assets | ||||
| Futures | $22,920 | $22,920 | — | — |
| Core Bond Trust | ||||
| Investments in securities: | ||||
| Assets | ||||
| U.S. Government and Agency obligations | $377,741,798 | — | $377,741,798 | — |
| Foreign government obligations | 5,659,641 | — | 5,659,641 | — |
| Corporate bonds | 183,175,224 | — | 183,175,224 | — |
| Municipal bonds | 877,033 | — | 877,033 | — |
| Collateralized mortgage obligations | 65,026,765 | — | 65,026,765 | — |
| Asset-backed securities | 37,900,049 | — | 37,900,049 | — |
| Short-term investments | 12,659,393 | $12,659,393 | — | — |
| Total investments in securities | $683,039,903 | $12,659,393 | $670,380,510 | — |
| High Yield Trust | ||||
| Investments in securities: | ||||
| Assets | ||||
| Corporate bonds | $171,017,873 | — | $171,017,873 | — |
| Term loans | 1,464,530 | — | 1,338,427 | $126,103 |
| Common stocks | 11,750 | — | — | 11,750 |
| Preferred securities | 540,313 | $540,313 | — | — |
| Escrow shares | — | — | — | — |
| Escrow certificates | — | — | — | — |
| Short-term investments | 20,970,059 | 20,970,059 | — | — |
| Total investments in securities | $194,004,525 | $21,510,372 | $172,356,300 | $137,853 |
| Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
| Investment Quality Bond Trust | ||||
| Investments in securities: | ||||
| Assets | ||||
| U.S. Government and Agency obligations | $151,703,360 | — | $151,703,360 | — |
| Foreign government obligations | 2,643,217 | — | 2,643,217 | — |
| Corporate bonds | 35,408,055 | — | 35,408,055 | — |
| Convertible bonds | 79,703 | — | 79,703 | — |
| Municipal bonds | 117,402 | — | 117,402 | — |
| Term loans | 1,739,867 | — | 1,739,867 | — |
| Collateralized mortgage obligations | 36,696,950 | — | 36,696,950 | — |
| Asset-backed securities | 15,469,003 | — | 15,469,003 | — |
| Total value at 6-30-26 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
| Investment Quality Bond Trust (continued) | ||||
| Short-term investments | $3,580,254 | $380,254 | $3,200,000 | — |
| Total investments in securities | $247,437,811 | $380,254 | $247,057,557 | — |
| Liabilities | ||||
| Sale commitments outstanding | $(15,582,137) | — | $(15,582,137) | — |
| Derivatives: | ||||
| Assets | ||||
| Futures | 54,639 | $54,639 | — | — |
| Forward foreign currency contracts | 9,962 | — | 9,962 | — |
| Swap contracts | 1,013,479 | — | 1,013,479 | — |
| Liabilities | ||||
| Futures | (104,262) | (104,262) | — | — |
| Forward foreign currency contracts | (2,917) | — | (2,917) | — |
| Swap contracts | (51,226) | — | (51,226) | — |
| Money Market Trust | ||||
| Investments in securities: | ||||
| Assets | ||||
| U.S. Government | $193,030,154 | — | $193,030,154 | — |
| U.S. Government Agency | 1,019,405,716 | — | 1,019,405,716 | — |
| Repurchase agreement | 862,832,419 | — | 862,832,419 | — |
| Total investments in securities | $2,075,268,289 | — | $2,075,268,289 | — |
| Opportunistic Fixed Income Trust | ||||
| Investments in securities: | ||||
| Assets | ||||
| U.S. Government and Agency obligations | $51,392,475 | — | $51,392,475 | — |
| Foreign government obligations | 61,415,772 | — | 61,415,772 | — |
| Corporate bonds | 21,439,511 | — | 21,439,511 | — |
| Convertible bonds | 13,430,362 | — | 13,430,362 | — |
| Term loans | 4,891,478 | — | 4,891,478 | — |
| Collateralized mortgage obligations | 8,145,266 | — | 8,145,266 | — |
| Asset-backed securities | 4,889,747 | — | 4,889,747 | — |
| Common stocks | 34,536 | $34,056 | 480 | — |
| Preferred securities | 3,104,769 | 3,104,769 | — | — |
| Exchange-traded funds | 136,749 | 136,749 | — | — |
| Escrow certificates | 14,038 | — | 13,325 | $713 |
| Short-term investments | 5,305,767 | 5,126,255 | 179,512 | — |
| Total investments in securities | $174,200,470 | $8,401,829 | $165,797,928 | $713 |
| Liabilities | ||||
| Sale commitments outstanding | $(13,573,525) | — | $(13,573,525) | — |
| Derivatives: | ||||
| Assets | ||||
| Futures | 395,839 | $395,839 | — | — |
| Forward foreign currency contracts | 709,673 | — | 709,673 | — |
| Swap contracts | 1,294,474 | — | 1,294,474 | — |
| Liabilities | ||||
| Futures | (108,817) | (108,817) | — | — |
| Forward foreign currency contracts | (433,913) | — | (433,913) | — |
| Swap contracts | (3,005,169) | — | (3,005,169) | — |
| Level 3 includes securities valued at $0. Refer to Portfolio of Investments. | ||||
| Total value at 6-30-26 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
| Select Bond Trust | ||||
| Investments in securities: | ||||
| Assets | ||||
| U.S. Government and Agency obligations | $234,681,544 | — | $234,681,544 | — |
| Foreign government obligations | 796,550 | — | 796,550 | — |
| Corporate bonds | 162,653,876 | — | 162,653,876 | — |
| Municipal bonds | 456,995 | — | 456,995 | — |
| Collateralized mortgage obligations | 33,890,407 | — | 33,890,407 | — |
| Asset-backed securities | 39,200,065 | — | 39,200,065 | — |
| Short-term investments | 7,378,510 | $7,378,510 | — | — |
| Total investments in securities | $479,057,947 | $7,378,510 | $471,679,437 | — |
| Derivatives: | ||||
| Assets | ||||
| Futures | $57,218 | $57,218 | — | — |
| Short Term Government Income Trust | ||||
| Investments in securities: | ||||
| Assets | ||||
| U.S. Government and Agency obligations | $241,876,379 | — | $241,876,379 | — |
| Municipal bonds | 2,858,990 | — | 2,858,990 | — |
| Collateralized mortgage obligations | 747,561 | — | 747,561 | — |
| Short-term investments | 2,987,230 | $2,987,230 | — | — |
| Total investments in securities | $248,470,160 | $2,987,230 | $245,482,930 | — |
| Derivatives: | ||||
| Assets | ||||
| Futures | $597 | $597 | — | — |
| Strategic Income Opportunities Trust | ||||
| Investments in securities: | ||||
| Assets | ||||
| U.S. Government and Agency obligations | $25,098,096 | — | $25,098,096 | — |
| Foreign government obligations | 49,884,345 | — | 49,884,345 | — |
| Corporate bonds | 129,526,578 | — | 129,526,578 | — |
| Convertible bonds | 5,108,047 | — | 5,108,047 | — |
| Term loans | 36,200,320 | — | 36,200,320 | — |
| Collateralized mortgage obligations | 15,743,001 | — | 15,743,001 | — |
| Asset-backed securities | 8,658,920 | — | 8,658,920 | — |
| Preferred securities | 17,049,903 | $17,049,903 | — | — |
| Short-term investments | 15,442,293 | 15,442,293 | — | — |
| Total investments in securities | $302,711,503 | $32,492,196 | $270,219,307 | — |
| Derivatives: | ||||
| Assets | ||||
| Futures | $34,346 | $34,346 | — | — |
| Forward foreign currency contracts | 791,520 | — | $791,520 | — |
| Liabilities | ||||
| Futures | (112,228) | (112,228) | — | — |
| Forward foreign currency contracts | (756,801) | — | (756,801) | — |
| Total Bond Market Trust | ||||
| Investments in securities: | ||||
| Assets | ||||
| Total value at 6-30-26 | Level 1 quoted price | Level 2 significant observable inputs | Level 3 significant unobservable inputs | |
| Total Bond Market Trust (continued) | ||||
| U.S. Government and Agency obligations | $758,097,088 | — | $758,097,088 | — |
| Foreign government obligations | 7,929,396 | — | 7,929,396 | — |
| Corporate bonds | 257,702,056 | — | 257,702,056 | — |
| Municipal bonds | 3,287,207 | — | 3,287,207 | — |
| Collateralized mortgage obligations | 12,326,894 | — | 12,326,894 | — |
| Asset-backed securities | 4,226,498 | — | 4,226,498 | — |
| Short-term investments | 21,807,187 | $21,807,187 | — | — |
| Total investments in securities | $1,065,376,326 | $21,807,187 | $1,043,569,139 | — |
| Ultra Short Term Bond Trust | ||||
| Investments in securities: | ||||
| Assets | ||||
| U.S. Government and Agency obligations | $766,629 | — | $766,629 | — |
| Corporate bonds | 113,736,252 | — | 113,736,252 | — |
| Collateralized mortgage obligations | 304,730 | — | 304,730 | — |
| Asset-backed securities | 46,691,751 | — | 46,691,751 | — |
| Short-term investments | 44,323,134 | $3,595,831 | 40,727,303 | — |
| Total investments in securities | $205,822,496 | $3,595,831 | $202,226,665 | — |
| Portfolio | Market value of securities on loan | Cash collateral received |
| Active Bond Trust | $583,472 | $595,251 |
| Core Bond Trust | 3,804,369 | 3,896,893 |
| Portfolio | Market value of securities on loan | Cash collateral received |
| High Yield Trust | $18,248,122 | $18,666,123 |
| Investment Quality Bond Trust | 369,575 | 380,372 |
| Opportunistic Fixed Income Trust | 1,507,903 | 1,563,592 |
| Select Bond Trust | 5,259,676 | 5,394,700 |
| Strategic Income Opportunities Trust | 229,463 | 236,407 |
| Total Bond Market Trust | 11,935,273 | 12,205,653 |
| Ultra Short Term Bond Trust | 2,159,752 | 2,205,481 |
| No Expiration Date | ||
| Portfolio | Short Term | Long Term |
| Active Bond Trust | $19,870,273 | $47,789,634 |
| Core Bond Trust | 53,521,972 | 85,549,145 |
| High Yield Trust | 2,118,208 | 83,473,751 |
| Investment Quality Bond Trust | 11,327,101 | 14,789,879 |
| Money Market Trust | 1,412 | — |
| Opportunistic Fixed Income Trust | 8,681,467 | 15,106,577 |
| Select Bond Trust | 380,519,426 | 477,793,813 |
| Short Term Government Income Trust | 3,137,922 | 28,977,274 |
| Strategic Income Opportunities Trust | 4,158,319 | 29,630,811 |
| Total Bond Market Trust | 10,666,303 | 34,600,137 |
| Ultra Short Term Bond Trust | 6,887,040 | 21,245,095 |
| Portfolio | Aggregate cost | Unrealized appreciation | Unrealized (depreciation) | Net unrealized appreciation/ (depreciation) |
| Active Bond Trust | $569,045,745 | $4,219,496 | $(21,529,797) | $(17,310,301) |
| Core Bond Trust | 691,458,798 | 2,494,649 | (10,913,544) | (8,418,895) |
| High Yield Trust | 202,838,610 | 2,740,276 | (11,574,361) | (8,834,085) |
| Investment Quality Bond Trust | 244,794,050 | 1,478,374 | (13,497,075) | (12,018,701) |
| Money Market Trust | 2,075,268,289 | — | — | — |
| Opportunistic Fixed Income Trust | 163,311,613 | 2,448,301 | (6,280,882) | (3,832,581) |
| Select Bond Trust | 489,972,206 | 3,373,356 | (14,230,397) | (10,857,041) |
| Short Term Government Income Trust | 251,958,575 | 82,310 | (3,570,128) | (3,487,818) |
| Strategic Income Opportunities Trust | 304,799,541 | 4,053,548 | (6,184,749) | (2,131,201) |
| Total Bond Market Trust | 1,128,276,074 | 3,418,916 | (66,318,664) | (62,899,748) |
| Ultra Short Term Bond Trust | 206,599,036 | 46,498 | (823,038) | (776,540) |
| Portfolio | Reason | USD Notional range |
| Active Bond Trust | To manage against changes in interest rates and manage duration of the portfolio. | Up to $2.9 million |
| Investment Quality Bond Trust | To manage against changes in interest rates, gain exposure to certain bond markets and manage duration of the portfolio. | From $30.6 million to $36.8 million |
| Opportunistic Fixed Income Trust | To manage against changes in interest rates, gain exposure to certain bond markets and manage duration of the portfolio. | From $28.9 million to $74.7 million |
| Select Bond Trust | To manage against changes in interest rates and manage duration of the portfolio. | Up to $2.0 million |
| Short Term Government Income Trust | To manage against changes in interest rates and manage duration of the portfolio. | From $3.1 to $6.3 million |
| Strategic Income Opportunities Trust | To manage duration of the portfolio. | From $10.4 million to $17.3 million |
| Portfolio | Reason | USD Notional range |
| Investment Quality Bond Trust | To manage against changes in foreign currency exchange rates and to gain exposure to foreign currencies. | From $3.0 million to $3.7 million |
| Opportunistic Fixed Income Trust | To manage against changes in foreign currency exchange rates and to gain exposure to foreign currencies. | From $155.5 million to $213.2 million |
| Strategic Income Opportunities Trust | To manage against changes in foreign currency exchange rates and to enhance potential gain/income. | From $109.6 million to $158.0 million |
| Portfolio | Reason | Market value range |
| Strategic Income Opportunities Trust | To manage against changes in foreign currency exchange rates, to generate potential income from options premiums and to gain exposure to foreign currencies. At June 30, 2026, there were no open written options contracts. | Up to $131,000, as measured during the period |
| Portfolio | Reason | USD Notional range |
| Investment Quality Bond Trust | To manage against changes in interest rates and to manage duration of the portfolio. | From $6.3 million to $8.3 million |
| Opportunistic Fixed Income Trust | To manage against changes in interest rates and to manage duration of the portfolio. | From $52.9 million to $124.9 million |
| Portfolio | Reason | USD Notional range |
| Opportunistic Fixed Income Trust | To manage against potential credit events. | From $25.1 million to $74.1 million |
| Portfolio | Reason | USD Notional range |
| High Yield Trust | To gain credit exposure to an issuer or index. As of June 30, 2026, there were no open credit default sell contracts. | Up to $2.3 million, as measured during the period |
| Investment Quality Bond Trust | To gain credit exposure to an issuer or index. | Up to $6.8 million |
| Opportunistic Fixed Income Trust | To gain credit exposure to an issuer or index. | From $24,000 to $9.2 million |
| Portfolio | Reason | USD Notional range |
| Opportunistic Fixed Income Trust | To manage exposure to inflation risk. | From $9.7 million to $16.1 million |
| Portfolio | Reason | USD Notional range |
| Opportunistic Fixed Income Trust | To gain exposure to a security or market without investing directly in such security or market and to exchange the risk/return of one market with another. | From $26.5 million to $37.2 million |
| Portfolio | Risk | Statements of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
| Active Bond Trust | Interest rate | Receivable/payable for futures variation margin1 | Futures | $22,920 | — |
| Investment Quality Bond Trust | Interest rate | Receivable/payable for futures variation margin1 | Futures | $54,639 | $(104,262) |
| Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | 9,962 | (2,917) | |
| Credit | Swap contracts, at value2 | Credit default swaps | 336,963 | (51,226) | |
| Interest rate | Swap contracts, at value2 | Interest rate swaps | 676,516 | — | |
| $1,078,080 | $(158,405) |
| Portfolio | Risk | Statements of assets and liabilities location | Financial instruments location | Assets derivatives fair value | Liabilities derivatives fair value |
| Opportunistic Fixed Income Trust | Interest rate | Receivable/payable for futures variation margin1 | Futures | $395,839 | $(108,817) |
| Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | 709,673 | (433,913) | |
| Credit | Swap contracts, at value2 | Credit default swaps | 298,702 | (1,671,994) | |
| Interest rate | Swap contracts, at value | Total return swaps | 22,761 | (594,144) | |
| Interest rate | Swap contracts, at value2 | Interest rate swaps | 626,637 | (661,332) | |
| Inflation | Swap contracts, at value | Inflation swaps | 346,374 | (77,699) | |
| $2,399,986 | $(3,547,899) | ||||
| Select Bond Trust | Interest rate | Receivable/payable for futures variation margin1 | Futures | $57,218 | — |
| Short Term Government Income Trust | Interest rate | Receivable/payable for futures variation margin1 | Futures | $597 | — |
| Strategic Income Opportunities Trust | Interest rate | Receivable/payable for futures variation margin1 | Futures | $34,346 | $(112,228) |
| Currency | Unrealized appreciation (depreciation) on forward foreign currency contracts | Forward foreign currency contracts | 791,520 | (756,801) | |
| $825,866 | $(869,029) |
| 1 | Reflects cumulative appreciation/depreciation on open futures as disclosed in the Derivatives section of the Portfolios of investments. Only the period end variation margin receivable/payable is separately reported on the Statements of assets and liabilities. |
| 2 | Reflects cumulative value of swap contracts. Receivable/payable for centrally cleared swaps, which includes value and margin, are shown separately on the Statements of assets and liabilities. |
| Statements of operations location - Net realized gain (loss) on: | ||||||
| Portfolio | Risk | Futures contracts | Forward foreign currency contracts | Written options | Swap contracts | Total |
| Active Bond Trust | Interest rate | $(21,834) | — | — | — | $(21,834) |
| High Yield Trust | Credit | — | — | — | $61,056 | $61,056 |
| Investment Quality Bond Trust | Interest rate | $(169,960) | — | — | $699,896 | $529,936 |
| Currency | — | $94,664 | — | — | 94,664 | |
| Credit | — | — | — | 60,809 | 60,809 | |
| Total | $(169,960) | $94,664 | — | $760,705 | $685,409 | |
| Opportunistic Fixed Income Trust | Interest rate | $(424,377) | — | — | $334,704 | $(89,673) |
| Currency | — | $(1,088,512) | — | — | (1,088,512) | |
| Credit | — | — | — | (126,153) | (126,153) | |
| Inflation | — | — | — | (5,793) | (5,793) | |
| Total | $(424,377) | $(1,088,512) | — | $202,758 | $(1,310,131) | |
| Select Bond Trust | Interest rate | $154,954 | — | — | — | $154,954 |
| Short Term Government Income Trust | Interest rate | $(49,374) | — | — | — | $(49,374) |
| Strategic Income Opportunities Trust | Interest rate | $310,459 | — | — | — | $310,459 |
| Currency | — | $(1,231,476) | $106,770 | — | (1,124,706) | |
| Total | $310,459 | $(1,231,476) | $106,770 | — | $(814,247) | |
| Statements of operations location - Change in net unrealized appreciation (depreciation) of: | ||||||
| Portfolio | Risk | Futures contracts | Forward foreign currency contracts | Written options | Swap contracts | Total |
| Active Bond Trust | Interest rate | $22,920 | — | — | — | $22,920 |
| Statements of operations location - Change in net unrealized appreciation (depreciation) of: | ||||||
| Portfolio | Risk | Futures contracts | Forward foreign currency contracts | Written options | Swap contracts | Total |
| Investment Quality Bond Trust | Interest rate | $(141,703) | — | — | $(610,409) | $(752,112) |
| Currency | — | $14,707 | — | — | 14,707 | |
| Credit | — | — | — | 10,046 | 10,046 | |
| Total | $(141,703) | $14,707 | — | $(600,363) | $(727,359) | |
| Opportunistic Fixed Income Trust | Interest rate | $298,040 | — | — | $(123,205) | $174,835 |
| Currency | — | $338,626 | — | — | 338,626 | |
| Credit | — | — | — | 170,402 | 170,402 | |
| Inflation | — | — | — | (93,118) | (93,118) | |
| Total | $298,040 | $338,626 | — | $(45,921) | $590,745 | |
| Select Bond Trust | Interest rate | $57,218 | — | — | — | $57,218 |
| Short Term Government Income Trust | Interest rate | $4,164 | — | — | — | $4,164 |
| Strategic Income Opportunities Trust | Interest rate | $(82,187) | — | — | — | $(82,187) |
| Currency | — | $62,756 | $27,997 | — | 90,753 | |
| Total | $(82,187) | $62,756 | $27,997 | — | $8,566 | |
| Portfolio | Subadvisor(s) |
| Core Bond Trust | Allspring Global Investments, LLC |
| Active Bond Trust High Yield Trust2 Money Market Trust Select Bond Trust Short Term Government Income Trust Strategic Income Opportunities Trust Total Bond Market Trust Ultra Short Term Bond Trust | Manulife Investment Management (US) LLC (Manulife IM (US))1 |
| Investment Quality Bond Trust Opportunistic Fixed Income Trust | Wellington Management Company LLP |
| Expense reimbursement by class | ||||
| Portfolio | Series I | Series II | Series NAV | Total |
| Active Bond Trust | $1,185 | $4,504 | $20,867 | $26,556 |
| Core Bond Trust | 2,729 | 4,075 | 27,056 | 33,860 |
| High Yield Trust | 2,196 | 1,383 | 5,176 | 8,755 |
| Investment Quality Bond Trust | 4,142 | 2,154 | 3,411 | 9,707 |
| Money Market Trust | 809,160 | 20,269 | 272,885 | 1,102,314 |
| Opportunistic Fixed Income Trust | 12,484 | 23,519 | 58,385 | 94,388 |
| Select Bond Trust | 24,023 | 62,845 | 313,689 | 400,557 |
| Short Term Government Income Trust | 931 | 671 | 9,848 | 11,450 |
| Strategic Income Opportunities Trust | 2,742 | 4,130 | 8,032 | 14,904 |
| Total Bond Market Trust | 477,219 | 54,514 | 870,690 | 1,402,423 |
| Ultra Short Term Bond Trust | 3,473 | 53,055 | 14,003 | 70,531 |
| Class | Rule 12b-1 Fee |
| Series I | 0.15% |
| Series II | 0.35% |
| Distribution and service fees by class | |||
| Portfolio | Series l | Series ll | Total |
| Active Bond Trust | $6,182 | $117,549 | $123,731 |
| Core Bond Trust | 14,600 | 108,946 | 123,546 |
| High Yield Trust | 11,205 | 35,272 | 46,477 |
| Investment Quality Bond Trust | 22,174 | 57,699 | 79,873 |
| Money Market Trust | 383,073 | 47,967 | 431,040 |
| Opportunistic Fixed Income Trust | 4,676 | 43,969 | 48,645 |
| Select Bond Trust | 30,499 | 398,874 | 429,373 |
| Short Term Government Income Trust | 4,999 | 18,010 | 23,009 |
| Strategic Income Opportunities Trust | 12,875 | 97,028 | 109,903 |
| Total Bond Market Trust | 90,372 | 51,620 | 141,992 |
| Ultra Short Term Bond Trust | 2,484 | 189,333 | 191,817 |
| Portfolio | Borrower or Lender | Weighted Average Loan Balance | Days Outstanding | Weighted Average Interest Rate | Interest Income (Expense) |
| Investment Quality Bond Trust | Lender | $2,700,000 | 1 | 4.120% | $309 |
| Money Market Trust | Lender | 5,200,000 | 1 | 4.135% | $597 |
| Opportunistic Fixed Income Trust | Lender | 2,800,000 | 1 | 4.145% | $322 |
| Active Bond Trust | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series I shares | ||||
| Sold | 177,110 | $1,484,846 | 204,638 | $1,719,643 |
| Distributions reinvested | — | — | 131,894 | 1,101,311 |
| Repurchased | (230,092) | (1,928,675) | (494,176) | (4,136,646) |
| Net decrease | (52,982) | $(443,829) | (157,644) | $(1,315,692) |
| Series II shares | ||||
| Sold | 719,985 | $6,067,472 | 1,192,860 | $10,144,143 |
| Distributions reinvested | — | — | 506,631 | 4,240,506 |
| Repurchased | (1,257,337) | (10,547,869) | (2,043,566) | (17,145,537) |
| Net decrease | (537,352) | $(4,480,397) | (344,075) | $(2,760,888) |
| Series NAV shares | ||||
| Sold | 482,868 | $4,048,442 | 1,172,095 | $9,880,612 |
| Distributions reinvested | — | — | 2,312,344 | 19,331,192 |
| Repurchased | (968,479) | (8,123,927) | (3,098,457) | (25,969,421) |
| Net increase (decrease) | (485,611) | $(4,075,485) | 385,982 | $3,242,383 |
| Total net decrease | (1,075,945) | $(8,999,711) | (115,737) | $(834,197) |
| Core Bond Trust | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series I shares | ||||
| Sold | 110,881 | $1,262,509 | 314,425 | $3,586,273 |
| Distributions reinvested | — | — | 220,891 | 2,511,526 |
| Repurchased | (304,745) | (3,468,091) | (772,557) | (8,792,174) |
| Net decrease | (193,864) | $(2,205,582) | (237,241) | $(2,694,375) |
| Series II shares | ||||
| Sold | 487,669 | $5,539,092 | 969,912 | $11,028,649 |
| Distributions reinvested | — | — | 300,282 | 3,408,205 |
| Repurchased | (308,337) | (3,503,245) | (595,720) | (6,742,125) |
| Net increase | 179,332 | $2,035,847 | 674,474 | $7,694,729 |
| Series NAV shares | ||||
| Sold | 2,006,858 | $22,686,951 | 2,722,494 | $30,988,750 |
| Distributions reinvested | — | — | 2,434,328 | 27,507,907 |
| Repurchased | (14,638,836) | (165,261,965) | (7,133,948) | (80,331,814) |
| Net decrease | (12,631,978) | $(142,575,014) | (1,977,126) | $(21,835,157) |
| Total net decrease | (12,646,510) | $(142,744,749) | (1,539,893) | $(16,834,803) |
| High Yield Trust | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series I shares | ||||
| Sold | 572,674 | $2,769,471 | 560,892 | $2,772,285 |
| Distributions reinvested | — | — | 726,461 | 3,436,160 |
| Repurchased | (1,011,196) | (4,866,753) | (1,453,943) | (7,106,758) |
| Net decrease | (438,522) | $(2,097,282) | (166,590) | $(898,313) |
| Series II shares | ||||
| Sold | 408,728 | $2,055,605 | 378,733 | $1,945,166 |
| Distributions reinvested | — | — | 414,642 | 2,027,601 |
| Repurchased | (529,566) | (2,635,909) | (1,086,284) | (5,482,103) |
| Net decrease | (120,838) | $(580,304) | (292,909) | $(1,509,336) |
| Series NAV shares | ||||
| Sold | 1,270,755 | $6,014,970 | 2,401,648 | $11,324,234 |
| Distributions reinvested | — | — | 1,696,006 | 7,835,548 |
| Repurchased | (2,152,615) | (10,173,775) | (2,471,933) | (11,764,724) |
| Net increase (decrease) | (881,860) | $(4,158,805) | 1,625,721 | $7,395,058 |
| Total net increase (decrease) | (1,441,220) | $(6,836,391) | 1,166,222 | $4,987,409 |
| Investment Quality Bond Trust | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series I shares | ||||
| Sold | 381,835 | $3,748,235 | 687,111 | $6,790,167 |
| Distributions reinvested | — | — | 419,356 | 4,101,302 |
| Repurchased | (729,928) | (7,135,724) | (1,759,232) | (17,200,389) |
| Net decrease | (348,093) | $(3,387,489) | (652,765) | $(6,308,920) |
| Series II shares | ||||
| Sold | 309,931 | $3,036,647 | 479,864 | $4,755,526 |
| Distributions reinvested | — | — | 215,247 | 2,107,265 |
| Repurchased | (598,011) | (5,844,911) | (948,312) | (9,289,140) |
| Net decrease | (288,080) | $(2,808,264) | (253,201) | $(2,426,349) |
| Series NAV shares | ||||
| Sold | 383,149 | $3,722,650 | 1,790,233 | $17,517,792 |
| Distributions reinvested | — | — | 315,878 | 3,073,490 |
| Repurchased | (276,434) | (2,691,443) | (1,999,467) | (19,342,985) |
| Net increase | 106,715 | $1,031,207 | 106,644 | $1,248,297 |
| Total net decrease | (529,458) | $(5,164,546) | (799,322) | $(7,486,972) |
| Money Market Trust | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series I shares | ||||
| Sold | 91,140,891 | $91,140,891 | 306,034,920 | $306,034,920 |
| Distributions reinvested | 26,021,568 | 26,021,568 | 65,760,417 | 65,760,417 |
| Repurchased | (199,458,757) | (199,458,757) | (441,581,018) | (441,581,018) |
| Net decrease | (82,296,298) | $(82,296,298) | (69,785,681) | $(69,785,681) |
| Series II shares | ||||
| Sold | 573,156 | $573,156 | 107,355 | $107,355 |
| Distributions reinvested | 613,420 | 613,420 | 1,645,226 | 1,645,226 |
| Repurchased | (4,355,846) | (4,355,846) | (9,771,519) | (9,771,519) |
| Net decrease | (3,169,270) | $(3,169,270) | (8,018,938) | $(8,018,938) |
| Series NAV shares | ||||
| Sold | 123,118,265 | $123,118,265 | 418,216,681 | $418,216,681 |
| Distributions reinvested | 8,909,001 | 8,909,001 | 22,464,380 | 22,464,380 |
| Repurchased | (145,375,247) | (145,375,247) | (436,380,595) | (436,380,595) |
| Net increase (decrease) | (13,347,981) | $(13,347,981) | 4,300,466 | $4,300,466 |
| Total net decrease | (98,813,549) | $(98,813,549) | (73,504,153) | $(73,504,153) |
| Opportunistic Fixed Income Trust | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series I shares | ||||
| Sold | 39,426 | $438,751 | 87,113 | $971,951 |
| Distributions reinvested | — | — | 103,934 | 1,147,431 |
| Repurchased | (114,118) | (1,257,638) | (234,316) | (2,589,602) |
| Net decrease | (74,692) | $(818,887) | (43,269) | $(470,220) |
| Series II shares | ||||
| Sold | 185,649 | $2,024,520 | 292,178 | $3,211,787 |
| Distributions reinvested | — | — | 203,857 | 2,205,737 |
| Repurchased | (345,921) | (3,734,511) | (630,385) | (6,814,117) |
| Net decrease | (160,272) | $(1,709,991) | (134,350) | $(1,396,593) |
| Series NAV shares | ||||
| Sold | 368,481 | $4,052,280 | 819,290 | $9,112,725 |
| Distributions reinvested | — | — | 486,009 | 5,336,378 |
| Repurchased | (323,913) | (3,538,418) | (1,056,624) | (11,696,662) |
| Net increase | 44,568 | $513,862 | 248,675 | $2,752,441 |
| Total net increase (decrease) | (190,396) | $(2,015,016) | 71,056 | $885,628 |
| Select Bond Trust | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series I shares | ||||
| Sold | 651,853 | $7,797,247 | 796,834 | $9,615,856 |
| Distributions reinvested | — | — | 447,365 | 5,323,649 |
| Repurchased | (996,539) | (11,885,948) | (2,067,620) | (24,570,650) |
| Net decrease | (344,686) | $(4,088,701) | (823,421) | $(9,631,145) |
| Select Bond Trust, Cont'd | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series II shares | ||||
| Sold | 2,113,054 | $25,245,818 | 6,077,893 | $72,562,707 |
| Distributions reinvested | — | — | 1,128,905 | 13,456,550 |
| Repurchased | (3,606,399) | (43,061,398) | (9,458,958) | (112,352,874) |
| Net decrease | (1,493,345) | $(17,815,580) | (2,252,160) | $(26,333,617) |
| Series NAV shares | ||||
| Sold | 1,645,429 | $19,592,052 | 8,989,518 | $107,509,643 |
| Distributions reinvested | — | — | 18,044,386 | 214,367,302 |
| Repurchased | (433,148,417) | (5,192,478,463) | (57,579,903) | (678,935,724) |
| Net decrease | (431,502,988) | $(5,172,886,411) | (30,545,999) | $(357,058,779) |
| Total net decrease | (433,341,019) | $(5,194,790,692) | (33,621,580) | $(393,023,541) |
| Short Term Government Income Trust | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series I shares | ||||
| Sold | 278,401 | $3,265,630 | 379,069 | $4,400,379 |
| Distributions reinvested | — | — | 32,131 | 375,929 |
| Repurchased | (210,304) | (2,476,028) | (756,096) | (8,836,877) |
| Net increase (decrease) | 68,097 | $789,602 | (344,896) | $(4,060,569) |
| Series II shares | ||||
| Sold | 119,692 | $1,408,098 | 337,310 | $3,925,141 |
| Distributions reinvested | — | — | 19,857 | 232,325 |
| Repurchased | (162,957) | (1,915,956) | (446,320) | (5,186,801) |
| Net decrease | (43,265) | $(507,858) | (89,153) | $(1,029,335) |
| Series NAV shares | ||||
| Sold | 1,553,982 | $18,280,224 | 8,683,598 | $100,400,137 |
| Distributions reinvested | — | — | 328,780 | 3,846,727 |
| Repurchased | (1,225,632) | (14,401,658) | (1,930,671) | (22,482,018) |
| Net increase | 328,350 | $3,878,566 | 7,081,707 | $81,764,846 |
| Total net increase | 353,182 | $4,160,310 | 6,647,658 | $76,674,942 |
| Strategic Income Opportunities Trust | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series I shares | ||||
| Sold | 322,851 | $4,068,803 | 742,718 | $9,551,754 |
| Distributions reinvested | — | — | 318,118 | 3,976,478 |
| Repurchased | (409,544) | (5,177,769) | (14,517,780) | (190,567,351) |
| Net decrease | (86,693) | $(1,108,966) | (13,456,944) | $(177,039,119) |
| Series II shares | ||||
| Sold | 507,555 | $6,439,161 | 758,319 | $9,855,933 |
| Distributions reinvested | — | — | 468,811 | 5,878,894 |
| Repurchased | (341,845) | (4,324,823) | (459,517) | (5,952,303) |
| Net increase | 165,710 | $2,114,338 | 767,613 | $9,782,524 |
| Series NAV shares | ||||
| Sold | 2,870,728 | $35,956,225 | 3,931,296 | $49,287,874 |
| Distributions reinvested | — | — | 670,490 | 8,347,596 |
| Repurchased | (224,222) | (2,825,932) | (4,772,125) | (60,662,226) |
| Net increase (decrease) | 2,646,506 | $33,130,293 | (170,339) | $(3,026,756) |
| Total net increase (decrease) | 2,725,523 | $34,135,665 | (12,859,670) | $(170,283,351) |
| Total Bond Market Trust | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series I shares | ||||
| Sold | 3,138,791 | $28,602,233 | 6,643,285 | $60,317,096 |
| Distributions reinvested | — | — | 1,376,536 | 12,526,477 |
| Repurchased | (2,629,349) | (23,937,050) | (5,301,014) | (47,941,341) |
| Net increase | 509,442 | $4,665,183 | 2,718,807 | $24,902,232 |
| Series II shares | ||||
| Sold | 513,547 | $4,690,526 | 889,654 | $8,113,371 |
| Distributions reinvested | — | — | 161,169 | 1,468,247 |
| Repurchased | (606,156) | (5,524,266) | (1,276,194) | (11,570,571) |
| Net decrease | (92,609) | $(833,740) | (225,371) | $(1,988,953) |
| Total Bond Market Trust, Cont'd | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series NAV shares | ||||
| Sold | 1,990,840 | $18,170,644 | 18,458,980 | $167,480,115 |
| Distributions reinvested | — | — | 2,777,354 | 25,273,918 |
| Repurchased | (4,895,778) | (44,567,519) | (18,476,893) | (167,182,923) |
| Net increase (decrease) | (2,904,938) | $(26,396,875) | 2,759,441 | $25,571,110 |
| Total net increase (decrease) | (2,488,105) | $(22,565,432) | 5,252,877 | $48,484,389 |
| Ultra Short Term Bond Trust | Six Months Ended 6-30-26 | Year Ended 12-31-25 | ||
| Shares | Amount | Shares | Amount | |
| Series I shares | ||||
| Sold | 285,697 | $3,274,223 | 307,998 | $3,566,270 |
| Distributions reinvested | — | — | 40,342 | 456,667 |
| Repurchased | (301,607) | (3,462,021) | (353,724) | (4,101,006) |
| Net decrease | (15,910) | $(187,798) | (5,384) | $(78,069) |
| Series II shares | ||||
| Sold | 2,579,415 | $29,576,002 | 4,063,858 | $47,202,933 |
| Distributions reinvested | — | — | 659,273 | 7,462,974 |
| Repurchased | (2,947,100) | (33,798,126) | (6,774,566) | (78,772,993) |
| Net decrease | (367,685) | $(4,222,124) | (2,051,435) | $(24,107,086) |
| Series NAV shares | ||||
| Sold | 623,203 | $7,175,510 | 898,398 | $10,428,514 |
| Distributions reinvested | — | — | 163,655 | 1,854,208 |
| Repurchased | (114,719) | (1,316,952) | (895,710) | (10,451,405) |
| Net increase | 508,484 | $5,858,558 | 166,343 | $1,831,317 |
| Total net increase (decrease) | 124,889 | $1,448,636 | (1,890,476) | $(22,353,838) |
| Purchases | Sales | |||
| Portfolio | U.S. Government | Other issuers | U.S. Government | Other issuers |
| Active Bond Trust | $167,535,060 | $103,577,598 | $174,413,883 | $99,075,925 |
| Core Bond Trust | 931,583,471 | 327,768,227 | 943,036,456 | 434,180,835 |
| High Yield Trust | — | 26,923,783 | — | 28,945,356 |
| Investment Quality Bond Trust | 26,165,711 | 78,916,632 | 35,963,429 | 71,639,463 |
| Opportunistic Fixed Income Trust | 25,287,495 | 182,575,021 | 18,353,573 | 191,365,377 |
| Select Bond Trust | 1,645,214,092 | 408,266,866 | 2,460,841,179 | 4,698,519,886 |
| Short Term Government Income Trust | 543,557,298 | 56,821,744 | 553,539,704 | 39,817,025 |
| Strategic Income Opportunities Trust | 1,315,400 | 101,326,645 | 1,292,459 | 64,784,978 |
| Total Bond Market Trust | 141,244,969 | 26,074,218 | 131,565,042 | 42,215,084 |
| Ultra Short Term Bond Trust | — | 70,435,122 | — | 65,667,798 |
| Dividends and distributions | |||||||||
| Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
| Active Bond Trust | |||||||||
| John Hancock Collateral Trust* | 336,065 | $1,330,316 | $66,561,438 | $(64,529,982) | $(1,143) | $(173) | $67,630 | — | $3,360,456 |
| Core Bond Trust | |||||||||
| John Hancock Collateral Trust* | 389,692 | $2,019,734 | $15,193,253 | $(13,315,416) | $(805) | $(79) | $6,813 | — | $3,896,687 |
| Dividends and distributions | |||||||||
| Affiliate | Ending share amount | Beginning value | Cost of purchases | Proceeds from shares sold | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Income distributions received | Capital gain distributions received | Ending value |
| High Yield Trust | |||||||||
| John Hancock Collateral Trust* | 2,097,108 | $9,017,225 | $61,398,283 | $(49,439,876) | $(3,649) | $(2,166) | $110,679 | — | $20,969,817 |
| Investment Quality Bond Trust | |||||||||
| John Hancock Collateral Trust* | 38,028 | $442,798 | $3,293,396 | $(3,355,815) | $(116) | $(9) | $2,674 | — | $380,254 |
| Opportunistic Fixed Income Trust | |||||||||
| John Hancock Collateral Trust* | 156,277 | $1,241,384 | $10,053,257 | $(9,731,431) | $(506) | $(25) | $8,554 | — | $1,562,679 |
| Select Bond Trust | |||||||||
| John Hancock Collateral Trust* | 737,896 | $42,877,758 | $660,530,242 | $(696,023,118) | $(4,935) | $(1,437) | $501,518 | — | $7,378,510 |
| Short Term Government Income Trust | |||||||||
| John Hancock Collateral Trust | 298,741 | $177,331 | $74,682,803 | $(71,872,569) | $(281) | $(54) | $51,912 | — | $2,987,230 |
| Strategic Income Opportunities Trust | |||||||||
| John Hancock Collateral Trust* | 1,544,322 | $8,393,942 | $69,937,775 | $(62,885,489) | $(1,709) | $(2,226) | $192,005 | — | $15,442,293 |
| Total Bond Market Trust | |||||||||
| John Hancock Collateral Trust* | 2,180,850 | $9,453,324 | $102,729,834 | $(90,372,368) | $(3,176) | $(427) | $115,832 | — | $21,807,187 |
| Ultra Short Term Bond Trust | |||||||||
| John Hancock Collateral Trust* | 359,605 | $1,232,529 | $105,191,058 | $(102,825,639) | $(2,074) | $(43) | $68,384 | — | $3,595,831 |
| * | Refer to the Securities lending note within Note 2 for details regarding this investment. |
| Portfolio | Affiliated Concentration |
| Core Bond Trust | 34.9% |
| Portfolio (Subadvisor) | Performance as of 12/31/2025 | Fees and Expenses | Comments |
| Active Bond Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-year period and outperformed the benchmark index for the three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one- and three-year periods and outperformed the peer group median for the five- and ten-year periods. | Subadvisor fee comparative data not provided due to limited size of Broadridge peer group for this purpose.Net management fees for this Trust are higher than the peer group median.Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the Trust’s performance relative to the benchmark index for the one-year period and to the peer group median for the one- and three-year periods.The Board noted the Trust's favorable performance relative to the benchmark index for the three-, five- and ten-year periods and to the peer group median for the five- and ten-year periods.The Board took into account management’s discussion of the Trust’s fees and expenses and considered the Trust’s relatively higher net management fee and lower net total expenses compared to peers. |
| Core Bond Trust(Allspring Global Investments, LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, five- and ten-year periods and outperformed the benchmark index for the three-year period.Broadridge Category – The Trust underperformed the peer group median for the one-and five-year periods and outperformed the peer group median for the three- and ten-year periods. | The subadvisor fees for this Trust are equal to the peer group median.Net management fees for this Trust are higher than the peer group median.Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the Trust’s performance relative to the benchmark index for the one-, five- and ten-year periods and to the peer group median for the one- and five-year periods.The Board noted the Trust's favorable performance relative to the benchmark index for the three-year period and to the peer group median for the three- and ten-year periods.The Board took into account management’s discussion of the Trust’s fees and expenses and considered the Trust’s relatively higher net management fee and lower net total expenses compared to peers. |
| Portfolio (Subadvisor) | Performance as of 12/31/2025 | Fees and Expenses | Comments |
| High Yield Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one- and five-year periods and outperformed the peer group median for the three and ten-year periods. | The subadvisor fees for this Trust are lower than the peer group median.Net management fees for this Trust are lower than the peer group median.Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the Trust’s performance relative to the benchmark index for the one-, three-, five- and ten-year periods and to the peer group median for the one- and five-year periods, including the impact of past and current market conditions on the Trust’s strategy and management’s outlook for the Trust.The Board noted the Trust's favorable performance relative to the peer group median for the three-and ten-year periods.The Board noted that the Trust outperformed its Morningstar peer group and benchmark index for the year-to-date period ended May 31, 2026.The Board took into account management’s discussion of the Trust’s fees and expenses and considered the Trust’s relatively lower net management fee and net total expenses compared to peers. |
| Investment Quality Bond Trust(Wellington Management Company LLP) | Benchmark Index – The Trust underperformed the benchmark index for the one- and five-year periods and outperformed the benchmark index for the three- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three- and five-year periods and outperformed the peer group median for the ten-year period. | The subadvisor fees for this Trust are equal to the peer group median.Net management fees for this Trust are higher than the peer group median.Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the Trust’s performance relative to the benchmark index for the one- and five-year periods and to the peer group median for the one-, three- and five-year periods.The Board noted the Trust's favorable performance relative to the benchmark index for the three- and ten-year periods and to the peer group median for the ten-year period.The Board took into account management’s discussion of the Trust’s fees and expenses and considered the Trust’s relatively higher net management fee and lower net total expenses compared to peers. |
| Portfolio (Subadvisor) | Performance as of 12/31/2025 | Fees and Expenses | Comments |
| Money Market Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | The subadvisor fees for this Trust are lower than the peer group median.Net management fees for this Trust are lower than the peer group median.Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the Trust’s performance relative to the benchmark index for the one-, three-, five- and ten-year periods.The Board noted the Trust's favorable performance relative to the peer group median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s fees and expenses and considered the Trust’s relatively lower net management fee and net total expenses compared to peers. |
| Opportunistic Fixed Income Trust(Wellington Management Company LLP) | Benchmark Index – The Trust outperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-year period and outperformed the peer group median for the three-, five- and ten-year periods. | The subadvisor fees for this Trust are equal to the peer group median.Net management fees for this Trust are lower than the peer group median.Net total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the Trust’s performance relative to the peer group median for the one-year period.The Board noted the Trust's favorable performance relative to the benchmark index for the one-, three-, five- and ten-year periods and to the peer group median for the three-, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s fees and expenses and considered the Trust’s relatively lower net management fee and higher net total expenses compared to peers. |
| Select Bond Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust outperformed the benchmark index for the one- and three-year periods, underperformed the benchmark index for the five-year period and matched the benchmark index for the ten-year period.Broadridge Category – The Trust outperformed the peer group median for the one-, three-, five- and ten-year periods. | Subadvisor fee comparative data not provided due to limited size of Broadridge peer group for this purpose.Net management fees for this Trust are higher than the peer group median.Net total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the Trust’s performance relative to the benchmark index for the five-year period.The Board noted the Trust's favorable performance relative to the benchmark index for the one- and three-year periods and to the peer group median for the one-, three-, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s fees and expenses and considered the Trust’s relatively higher net management fee and net total expenses compared to peers. |
| Portfolio (Subadvisor) | Performance as of 12/31/2025 | Fees and Expenses | Comments |
| Short Term Government Income Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, and ten-year periods and outperformed the peer group median for the five-year period. | Subadvisor fee comparative data not provided due to limited size of Broadridge peer group for this purpose.Net management fees for this Trust are higher than the peer group median.Net total expenses for this Trust are equal to the peer group median. | The Board took into account management’s discussion of the Trust’s performance relative to the benchmark index for the one-, three-, five- and ten-year periods and to the peer group median for the one-, three- and ten-year periods, including the impact of past and current market conditions on the Trust’s strategy and management’s outlook for the Trust.The Board noted the Trust's favorable performance relative to the peer group median for the five- year period.The Board took into account management’s discussion of the Trust’s fees and expenses and considered the Trust’s relatively higher net management fee and net total expenses equal to peers. |
| Strategic Income Opportunities Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-year period and outperformed the benchmark index for the three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | The subadvisor fees for this Trust are lower than the peer group median.Net management fees for this Trust are higher than the peer group median.Net total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the Trust’s performance relative to the benchmark index for the one-year period and to the peer group median for the one-, three-, five- and ten-year periods.The Board noted the Trust's favorable performance relative to the benchmark index for the three-, five- and ten-year periods.The Board took into account management’s discussion of the Trust’s fees and expenses and considered the Trust’s relatively higher net management fee and net total expenses compared to peers. |
| Portfolio (Subadvisor) | Performance as of 12/31/2025 | Fees and Expenses | Comments |
| Total Bond Market Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | Subadvisor fee comparative data not provided due to limited size of Broadridge peer group for this purpose.Net management fees for this Trust are equal to the peer group median.Net total expenses for this Trust are lower than the peer group median. | The Board took into account management’s discussion of the factors that contributed to the Trust’s performance for the one-, three-, five- and ten-year periods relative to the benchmark index and to the peer group median.The Board noted the Trust met expectations to maintain low performance dispersion (gross of fees) relative to its index.The Board noted that the Trust outperformed its Morningstar peer group and benchmark Index for the year-to-date period ended May 31, 2026.The Board took into account management's discussion of the Trust's fees and expenses and considered the Trust's net management fees equal to peers and relatively lower net total expenses compared to peers. |
| Ultra Short Term Bond Trust(Manulife Investment Management (US) LLC) | Benchmark Index – The Trust underperformed the benchmark index for the one-, three-, five- and ten-year periods.Broadridge Category – The Trust underperformed the peer group median for the one-, three-, five- and ten-year periods. | Subadvisor fee comparative data not provided due to limited size of Broadridge peer group for this purpose.Net management fees for this Trust are higher than the peer group median.Net total expenses for this Trust are higher than the peer group median. | The Board took into account management’s discussion of the Trust’s performance for the one-, three-, five- and ten-year periods relative to the benchmark index and to the peer group median, including the impact of past and current market conditions on the Trust’s strategy and management’s outlook for the Trust.The Board took into account management’s discussion of the Trust’s fees and expenses and considered the Trust’s relatively higher net management fee and net total expenses compared to peers. |
ITEM 8. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PROXY DISCLOSURE FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Information included in Item 7, if applicable.
ITEM 10. REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Refer to information included in Item 7.
ITEM 11. STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT.
Information included in Item 7, if applicable.
ITEM 12. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 14. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 15. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
No material changes.
ITEM 16. 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 period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 17. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 18. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.
Not applicable.
ITEM 19. EXHIBITS.
(a)(1) Not applicable.
(a)(2) Not applicable.
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 Variable Insurance Trust
| By: | /s/ Kristie M. Feinberg |
| ------------------------------ | |
| Kristie M. Feinberg | |
| President, | |
| Principal Executive Officer | |
| Date: | August 26, 2026 |
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/ Kristie M. Feinberg |
| ------------------------------ | |
| Kristie M. Feinberg | |
| President, | |
| Principal Executive Officer | |
| Date: | August 26, 2026 |
| By: | /s/ Fernando A. Silva |
| --------------------------- | |
| Fernando A. Silva | |
| Chief Financial Officer, | |
| Principal Financial Officer | |
| Date: | August 26, 2026 |