364Q3
John Hancock Absolute Return Currency Fund Quarterly portfolio holdings 4/30/16
Fund’s investments
Absolute Return Currency Fund
As of 4-30-16 (unaudited) Short-term investments 99.2% (Cost $1,045,462,452)
$1,045,717,689 Yield* (%)
Maturity date
Par value^
0.097 0.113 0.191 0.399 0.430 0.450 0.488
06-23-16 07-21-16 05-26-16 08-18-16 10-13-16 09-15-16 11-10-16
221,000,000 210,654,000 143,000,000 125,000,000 80,000,000 80,000,000 80,000,000
Value
U.S. Government 89.1%
$939,053,621
U.S. Treasury Bills U.S. Treasury Bills U.S. Treasury Bills U.S. Treasury Bills U.S. Treasury Bills U.S. Treasury Bills U.S. Treasury Bills (D)
Yield (%)
220,953,369 210,566,157 142,984,270 124,905,665 79,873,120 79,922,000 79,849,040
Shares
Value
Money market funds 10.1%
$106,664,068
State Street Institutional Liquid Reserves Fund, Premier Class Total investments (Cost $1,045,462,452)† 99.2%
0.4600(Y)
106,664,068
106,664,068 $1,045,717,689
Other assets and liabilities, net 0.8%
$8,082,802
Total net assets 100.0%
$1,053,800,491
The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund. ^All par values are denominated in U.S. dollars unless otherwise indicated. Key to Security Abbreviations and Legend (D) (Y)
All or a portion of this security is segregated at the custodian as collateral pursuant to certain derivative instrument contracts. The rate shown is the annualized seven-day yield as of 4-30-16.
*
Yield represents the annualized yield at the date of purchase.
†
At 4-30-16, the aggregate cost of investment securities for federal income tax purposes was $1,045,462,452. Net unrealized appreciation aggregated to $255,237, of which $255,237 related to appreciated investment securities and $0 related to depreciated investment securities.
The following table summarizes the forward foreign currency contracts held at April 30, 2016:
2
Contract to buy
Contract to sell
Counterparty
AUD AUD AUD
79,227,345 70,759,544 372,947,483
USD USD USD
59,485,823 53,274,320 272,880,297
AUD
218,205,045
USD
162,409,108
AUD CAD CAD CAD
332,854,465 261,061,087 269,637,117 99,496,886
USD USD USD USD
246,359,186 197,591,490 205,764,743 75,647,788
CAD
500,974,727
USD
377,335,313
CAD EUR EUR EUR
313,711,435 500,687,083 137,116,723 42,302,975
USD USD USD USD
237,262,269 550,353,994 154,670,638 46,486,544
EUR
49,761,798
USD
55,205,093
EUR GBP GBP
64,216,270 73,496,041 132,747,375
USD USD USD
70,338,935 104,667,713 189,128,051
Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London
Contractual settlement date
Unrealized appreciation
Unrealized depreciation
Net unrealized appreciation/ (depreciation)
6/15/2016 6/15/2016 6/15/2016
$648,096 432,498 10,188,549
— — —
$648,096 432,498 10,188,549
6/15/2016
3,209,519
—
3,209,519
6/15/2016 6/15/2016 6/15/2016 6/15/2016
6,278,876 10,476,708 9,138,635 3,652,187
— — — —
6,278,876 10,476,708 9,138,635 3,652,187
6/15/2016
21,946,368
—
21,946,368
6/15/2016 6/15/2016 6/15/2016 6/15/2016
12,768,764 23,695,691 2,536,955 2,014,826
— — — —
12,768,764 23,695,691 2,536,955 2,014,826
6/15/2016
1,847,995
—
1,847,995
6/15/2016 6/15/2016 6/15/2016
3,286,551 2,733,055 4,857,503
— — —
3,286,551 2,733,055 4,857,503
SEE NOTES TO FUND’S INVESTMENTS
Absolute Return Currency Fund The following table summarizes the forward foreign currency contracts held at April 30, 2016:
Contract to buy
Contract to sell
GBP
116,245,390
USD
165,160,388
GBP JPY JPY JPY
81,681,680 3,698,959,676 8,923,574,033 68,151,740,406
USD USD USD USD
116,295,648 32,715,338 79,696,025 607,566,269
JPY
19,186,414,147
USD
172,740,429
JPY NOK NOK NOK
4,777,828,349 537,682,432 745,117,744 4,749,531,025
USD USD USD USD
42,377,514 62,602,742 91,009,706 548,524,061
NOK
189,315,899
USD
21,878,770
NOK NZD NZD NZD
127,262,994 17,906,141 81,152,729 199,066,745
USD USD USD USD
14,936,580 12,028,092 54,531,876 133,464,836
NZD
427,462,988
USD
284,961,367
NZD SEK SEK SEK
240,705,935 115,405,254 728,807,633 2,204,964,535
USD USD USD USD
160,123,283 13,635,875 90,214,115 261,368,431
SEK
1,309,944,558
USD
161,771,636
SEK SGD SGD
1,000,855,324 19,614,504 222,227,857
USD USD USD
120,118,141 14,437,759 163,240,328
SGD
279,082,919
USD
204,685,031
SGD USD USD USD
58,689,735 359,925,777 53,403,508 158,893,180
USD AUD AUD AUD
43,350,211 491,343,069 70,759,544 216,039,754
USD
261,985,257
AUD
360,386,753
USD USD USD USD
41,954,086 398,043,800 202,959,737 115,455,030
AUD CAD CAD CAD
56,528,616 529,580,740 269,637,117 147,147,314
USD
118,261,508
CAD
150,991,457
USD USD USD USD
254,219,261 15,284,600 314,881,461 158,344,975
CAD EUR EUR EUR
333,490,627 13,500,508 284,013,476 139,953,400
SEE NOTES TO FUND’S INVESTMENTS
Counterparty
Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company
Contractual settlement date
Unrealized appreciation
Unrealized depreciation
Net unrealized appreciation/ (depreciation)
6/15/2016
4,710,592
—
4,710,592
6/15/2016 6/15/2016 6/15/2016 6/15/2016
3,066,909 2,085,165 4,258,625 33,618,011
— — — —
3,066,909 2,085,165 4,258,625 33,618,011
6/15/2016
7,768,931
—
7,768,931
6/15/2016 6/15/2016 6/15/2016 6/15/2016
2,573,187 4,161,835 1,512,327 41,230,064
— — — —
2,573,187 4,161,835 1,512,327 41,230,064
6/15/2016
1,628,779
—
1,628,779
6/15/2016 6/15/2016 6/15/2016 6/15/2016
865,796 446,391 2,003,942 5,216,902
— — — —
865,796 446,391 2,003,942 5,216,902
6/15/2016
12,834,782
—
12,834,782
6/15/2016 6/15/2016 6/15/2016 6/15/2016
7,566,791 757,024 679,970 13,626,265
— — — —
7,566,791 757,024 679,970 13,626,265
6/15/2016
1,599,611
—
1,599,611
6/15/2016 6/15/2016 6/15/2016
4,704,685 132,490 1,837,268
— — —
4,704,685 132,490 1,837,268
6/15/2016
2,626,227
—
2,626,227
6/15/2016 6/15/2016 6/15/2016 6/15/2016
246,305 — — —
— ($13,005,862) (303,309) (5,081,980)
246,305 (13,005,862) (303,309) (5,081,980)
6/15/2016
—
(11,549,936)
(11,549,936)
6/15/2016 6/15/2016 6/15/2016 6/15/2016
— — — —
(951,391) (24,037,146) (11,943,641) (1,822,794)
(951,391) (24,037,146) (11,943,641) (1,822,794)
6/15/2016
—
(2,080,135)
(2,080,135)
6/15/2016 6/15/2016 6/15/2016 6/15/2016
— — — —
(11,575,977) (194,054) (10,746,765) (2,114,935)
(11,575,977) (194,054) (10,746,765) (2,114,935)
3
Absolute Return Currency Fund The following table summarizes the forward foreign currency contracts held at April 30, 2016:
Contract to buy
Contract to sell
USD
232,421,587
EUR
208,643,548
USD USD USD USD
59,906,754 417,503,815 188,449,163 444,597,498
EUR GBP GBP GBP
52,966,968 292,798,789 132,747,375 310,928,742
USD
176,281,448
GBP
122,293,771
USD USD USD USD
118,548,681 82,209,623 82,333,491 149,608,567
GBP JPY JPY JPY
81,826,661 9,276,371,769 8,923,574,033 16,525,412,723
USD
426,948,592
JPY
47,600,510,589
USD USD USD
109,346,174 106,629,638 155,106,211
JPY NOK NOK
12,000,398,342 888,252,203 1,304,921,317
USD
108,472,566
NOK
899,670,704
USD USD USD USD
91,748,596 177,046,710 55,977,042 258,485,616
NOK NZD NZD NZD
751,577,461 265,361,807 81,152,729 383,804,228
USD
110,928,574
NZD
161,551,925
USD USD USD USD
147,272,067 182,756,269 69,010,037 330,044,270
NZD SEK SEK SEK
214,665,516 1,538,862,628 563,607,452 2,799,051,545
USD
219,605,512
SEK
1,859,335,686
USD USD USD USD
129,248,504 72,389,732 13,958,514 109,792,397
SEK SGD SGD SGD
1,104,815,267 101,729,291 19,614,504 151,466,166
USD
131,273,354
SGD
181,849,145
USD
167,931,032
SGD
234,228,589
AUD CAD EUR GBP JPY
4
Australian Dollar Canadian Dollar Euro British Pound Japanese Yen
NOK NZD SEK SGD USD
Counterparty
Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company Barclays Bank PLC Wholesale Deutsche Bank AG London J. Aron & Company Morgan Stanley Capital Services, Inc. State Street Bank and Trust Company
Contractual settlement date
Unrealized appreciation
Unrealized depreciation
Net unrealized appreciation/ (depreciation)
6/15/2016
—
(6,793,219)
(6,793,219)
6/15/2016 6/15/2016 6/15/2016 6/15/2016
— — — —
(821,139) (10,367,061) (5,536,391) (9,766,920)
(821,139) (10,367,061) (5,536,391) (9,766,920)
6/15/2016
—
(2,428,111)
(2,428,111)
6/15/2016 6/15/2016 6/15/2016 6/15/2016
— — — —
(1,025,738) (5,064,213) (1,621,159) (5,865,601)
(1,025,738) (5,064,213) (1,621,159) (5,865,601)
6/15/2016
—
(20,885,889)
(20,885,889)
6/15/2016 6/15/2016 6/15/2016
— — —
(3,555,811) (3,665,546) (6,927,203)
(3,555,811) (3,665,546) (6,927,203)
6/15/2016
—
(3,240,464)
(3,240,464)
6/15/2016 6/15/2016 6/15/2016 6/15/2016
— — — —
(1,575,548) (7,820,110) (558,777) (8,895,237)
(1,575,548) (7,820,110) (558,777) (8,895,237)
6/15/2016
—
(1,618,105)
(1,618,105)
6/15/2016 6/15/2016 6/15/2016 6/15/2016
— — — —
(2,276,700) (9,164,759) (1,280,917) (19,042,672)
(2,276,700) (9,164,759) (1,280,917) (19,042,672)
6/15/2016
—
(12,283,685)
(12,283,685)
6/15/2016 6/15/2016 6/15/2016 6/15/2016
— — — —
(8,539,806) (3,177,872) (611,735) (2,721,267)
(8,539,806) (3,177,872) (611,735) (2,721,267)
6/15/2016
—
(3,809,709)
(3,809,709)
6/15/2016
—
(6,061,071)
(6,061,071)
$281,471,650
($272,410,360)
$9,061,290
Norwegian Krone New Zealand Dollar Swedish Krona Singapore Dollar U.S. Dollar
SEE NOTES TO FUND’S INVESTMENTS
Notes to Fund’s investments (unaudited) Security valuation. Investments are stated at value as of the scheduled close of regular trading on the New York Stock Exchange (NYSE), normally at 4:00 P.M., Eastern Time. In case of emergency or other disruption resulting in the NYSE not opening for trading or the NYSE closing at a time other than the regularly scheduled close, the net asset value (NAV) may be determined as of the regularly scheduled close of the NYSE pursuant to the fund’s Valuation Policies and Procedures. The time at which shares and transactions are priced and until which orders are accepted may vary to the extent permitted by the Securities and Exchange Commission and applicable regulations. In order to value the securities, the fund uses the following valuation techniques: Investments by the fund in open-end management investment companies are valued at their respective net asset values each business day. Debt obligations are valued based on the evaluated prices provided by an independent pricing vendor or from brokerdealers. Independent pricing vendors utilize matrix pricing which takes into account factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data, as well as broker supplied prices. Foreign securities and currencies, including forward foreign currency contracts, are valued in U.S. dollars, based on foreign currency exchange rates supplied by an independent pricing vendor. Securities that trade only in the over-the-counter (OTC) market are valued using bid prices. Other portfolio securities and assets, for which reliable market quotations are not readily available, are valued at fair value as determined in good faith by the fund’s Pricing Committee following procedures established by the Board of Trustees. The frequency with which these fair valuation procedures are used cannot be predicted and fair value of securities may differ significantly from the value that would have been used had a ready market for such securities existed. The fund uses a three-tier hierarchy to prioritize the pricing assumptions, referred to as inputs, used in valuation techniques to measure fair value. Level 1 includes securities valued using quoted prices in active markets for identical securities. Level 2 includes securities valued using other significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepayment speeds and credit risk. Prices for securities valued using these inputs are received from independent pricing vendors and brokers and are based on an evaluation of the inputs described. Level 3 includes securities valued using significant unobservable inputs when market prices are not readily available or reliable, including the fund’s own assumptions in determining the fair value of investments. Factors used in determining value may include market or issuer specific events or trends, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Changes in valuation techniques and related inputs may result in transfers into or out of an assigned level within the disclosure hierarchy. As of April 30, 2016, all investments are categorized as Level 2 under the hierarchy described above, except for the money market fund, which is categorized as Level 1. Derivative instruments. The fund may invest in derivatives in order to meet its investment objectives. Derivatives include a variety of different instruments that may be traded in the OTC market, on a regulated exchange or through a clearing facility. The risks in using derivatives vary depending upon the structure of the instruments, including the use of leverage, optionality, the liquidity or lack of liquidity of the contract, the creditworthiness of the counterparty or clearing organization and the volatility of the position. Some derivatives involve risks that are potentially greater than the risks associated with investing directly in the referenced securities or other referenced underlying instrument. Specifically, the fund is exposed to the risk that the counterparty to an OTC derivatives contract will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. OTC derivatives transactions typically can only be closed out with the other party to the transaction. Forward foreign currency contracts. A forward foreign currency contract is an agreement between two parties to buy and sell specific currencies at a price that is set on the date of the contract. The forward contract calls for delivery of the currencies on a future date that is specified in the contract. Risks related to the use of forwards include the possible failure of counterparties to meet the terms of the forward agreement, the failure of the counterparties to timely post collateral if applicable, and the risk that currency movements will not occur thereby reducing the fund’s total return. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked-tomarket daily and the change in value is recorded by the fund as an unrealized gain or loss. Realized gains or losses, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, are recorded upon delivery or receipt of the currency or settlement with the counterparty. During the period ended April 30, 2016, the fund used forward foreign currency contracts to manage and gain exposure to foreign currencies. The contracts held by the fund at April 30, 2016 are presented in the Fund’s investments. For additional information on the fund’s significant accounting policies, please refer to the fund’s most recent semiannual or annual shareholder report.
5
More information How to contact us Internet
www.jhinvestments.com
Mail
Regular mail:
Express mail:
John Hancock Signature Services, Inc. P.O. Box 55913
John Hancock Signature Services, Inc. 30 Dan Road
Boston, MA 02205-5913
Canton, MA 02021
Customer service representatives
800-225-5291
EASI-Line TDD line
800-338-8080 800-231-5469
Phone
This report is for the information of the shareholders of John Hancock Absolute Return Currency Fund.
364Q3 04/16 6/16
