United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-21822
(Investment Company Act File Number)
Federated Hermes Managed Pool Series
______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 12/31/23
Date of Reporting Period: Six months ended 06/30/23
Item 1. | Reports to Stockholders |
Ticker FCSPX |
Federated Hermes Corporate Bond Strategy Portfolio
A Portfolio of Federated Hermes Managed Pool Series
Security Type | Percentage of Total Net Assets |
Corporate Bonds | 96.0% |
Foreign Government/Agency | 1.7% |
Cash Equivalents2 | 1.1% |
Derivative Contracts3 | (0.1)% |
Securities Lending Collateral4 | 0.6% |
Other Assets and Liabilities—Net5 | 0.7% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of these security types. |
2 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those representing securities lending collateral. |
3 | Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts may consist of futures, forwards, options and swaps. The impact of a derivative contract on the Fund’s performance may be larger than its unrealized appreciation (depreciation) or value may indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract’s significance to the portfolio. More complete information regarding the Fund’s direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report. |
4 | Represents cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds, other money market instruments and/or repurchase agreements. |
5 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—96.0% | |||
Basic Industry - Chemicals—0.4% | |||
$ 90,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | $ 85,011 | |
200,000 | 1 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | 187,652 |
300,000 | RPM International, Inc., Sr. Unsecd. Note, 5.250%, 6/1/2045 | 267,879 | |
TOTAL | 540,542 | ||
Basic Industry - Metals & Mining—1.6% | |||
600,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031 | 495,825 | |
400,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 3.625%, 9/11/2024 | 388,922 | |
200,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 5.500%, 5/2/2033 | 195,504 | |
235,000 | AngloGold Ashanti Holdings PLC, Sr. Note, 6.500%, 4/15/2040 | 236,946 | |
400,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 360,942 | |
350,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 2.625%, 9/23/2031 | 282,017 | |
200,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 134,997 | |
250,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | 275,801 | |
TOTAL | 2,370,954 | ||
Basic Industry - Paper—0.1% | |||
100,000 | Weyerhaeuser Co., Sr. Unsecd. Note, 7.375%, 3/15/2032 | 111,671 | |
Capital Goods - Aerospace & Defense—4.9% | |||
230,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 220,702 | |
500,000 | BAE Systems PLC, Sr. Unsecd. Note, 144A, 3.000%, 9/15/2050 | 343,590 | |
360,000 | Boeing Co., Sr. Unsecd. Note, 2.196%, 2/4/2026 | 330,562 | |
300,000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | 274,362 | |
995,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 865,531 | |
425,000 | Boeing Co., Sr. Unsecd. Note, 3.250%, 2/1/2035 | 344,879 | |
745,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 550,912 | |
175,000 | Boeing Co., Sr. Unsecd. Note, 5.705%, 5/1/2040 | 174,697 | |
360,000 | Embraer Netherlands BV, Sr. Unsecd. Note, 5.050%, 6/15/2025 | 354,870 | |
170,000 | Hexcel Corp., Sr. Unsecd. Note, 4.200%, 2/15/2027 | 160,162 | |
740,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 678,798 | |
200,000 | Leidos, Inc., Sr. Unsecd. Note, 5.750%, 3/15/2033 | 198,789 | |
125,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | 119,960 | |
350,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 321,655 | |
500,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 4.700%, 3/15/2033 | 490,985 | |
600,000 | Raytheon Technologies Corp., Sr. Unsecd. Note, 4.125%, 11/16/2028 | 578,282 | |
350,000 | Raytheon Technologies Corp., Sr. Unsecd. Note, 4.150%, 5/15/2045 | 298,676 | |
280,000 | Raytheon Technologies Corp., Sr. Unsecd. Note, 5.150%, 2/27/2033 | 283,950 | |
136,000 | 2 | Textron Financial Corp., Jr. Sub. Note, 144A, 7.055% (3-month USLIBOR +1.735%), 2/15/2042 | 100,353 |
370,000 | 1 | Textron, Inc., Sr. Unsecd. Note, 2.450%, 3/15/2031 | 305,387 |
50,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 49,495 | |
TOTAL | 7,046,597 | ||
Capital Goods - Building Materials—0.8% | |||
100,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 88,398 | |
125,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 120,092 | |
620,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 573,903 | |
235,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.700%, 2/15/2031 | 198,007 | |
170,000 | Masco Corp., Sr. Unsecd. Note, 4.500%, 5/15/2047 | 137,754 | |
TOTAL | 1,118,154 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Capital Goods - Construction Machinery—1.3% | |||
$ 205,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 5.550%, 5/30/2033 | $ 200,030 | |
450,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.450%, 7/15/2026 | 398,043 | |
445,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 418,547 | |
895,000 | Weir Group PLC/The, Sr. Unsecd. Note, 144A, 2.200%, 5/13/2026 | 802,132 | |
TOTAL | 1,818,752 | ||
Capital Goods - Diversified Manufacturing—1.6% | |||
155,000 | Otis Worldwide Corp., Sr. Unsecd. Note, Series WI, 2.565%, 2/15/2030 | 133,746 | |
300,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 1.400%, 9/15/2027 | 258,798 | |
110,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.950%, 9/15/2029 | 97,306 | |
60,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.850%, 12/15/2025 | 57,614 | |
245,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 4.200%, 9/15/2028 | 235,200 | |
80,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 70,460 | |
390,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.250%, 10/1/2054 | 344,918 | |
335,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 1.800%, 4/1/2026 | 298,002 | |
500,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 2.950%, 4/1/2031 | 400,441 | |
160,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 151,963 | |
285,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 236,638 | |
TOTAL | 2,285,086 | ||
Capital Goods - Packaging—0.4% | |||
180,000 | Packaging Corp., of America, Sr. Unsecd. Note, 3.650%, 9/15/2024 | 176,349 | |
220,000 | Sonoco Products Co., Sr. Unsecd. Note, 5.750%, 11/1/2040 | 218,290 | |
150,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 4.000%, 3/15/2028 | 139,736 | |
TOTAL | 534,375 | ||
Communications - Cable & Satellite—1.9% | |||
440,000 | CCO Safari II LLC, 6.484%, 10/23/2045 | 413,946 | |
380,000 | Charter Communications Operating LLC, 5.375%, 5/1/2047 | 314,461 | |
250,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | 151,421 | |
500,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 4.800%, 3/1/2050 | 377,660 | |
865,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Term Loan - 1st Lien, 3.900%, 6/1/2052 | 566,815 | |
600,000 | Charter Communications, Inc., 4.200%, 3/15/2028 | 562,745 | |
165,000 | Cox Communications, Inc., Sr. Unsecd. Note, 144A, 3.350%, 9/15/2026 | 154,595 | |
300,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 249,819 | |
TOTAL | 2,791,462 | ||
Communications - Media & Entertainment—4.3% | |||
500,000 | Discovery Communications LLC, Sr. Unsecd. Note, 4.650%, 5/15/2050 | 381,247 | |
135,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 4.709%, 1/25/2029 | 131,243 | |
375,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 5.576%, 1/25/2049 | 351,429 | |
950,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 5/13/2045 | 818,983 | |
167,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 6.625%, 3/18/2025 | 169,624 | |
300,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 2.400%, 3/1/2031 | 244,577 | |
495,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 3.375%, 3/1/2041 | 362,073 | |
385,000 | Meta Platforms, Inc., Unsecd. Note, 5.600%, 5/15/2053 | 395,687 | |
850,000 | Netflix, Inc., Sr. Unsecd. Note, 4.875%, 4/15/2028 | 841,440 | |
300,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.450%, 4/30/2030 | 251,814 | |
300,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.600%, 8/1/2031 | 248,871 | |
200,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.650%, 11/1/2024 | 194,318 | |
190,000 | Paramount Global, Sr. Unsecd. Note, 3.700%, 6/1/2028 | 169,142 | |
475,000 | 1 | Paramount Global, Sr. Unsecd. Note, 4.200%, 5/19/2032 | 398,273 |
200,000 | Paramount Global, Sr. Unsecd. Note, 4.900%, 8/15/2044 | 147,019 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Communications - Media & Entertainment—continued | |||
$ 500,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 4.279%, 3/15/2032 | $ 443,669 | |
510,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 5.050%, 3/15/2042 | 430,144 | |
300,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 6.412%, 3/15/2026 | 300,316 | |
TOTAL | 6,279,869 | ||
Communications - Telecom Wireless—4.5% | |||
450,000 | American Tower Corp., Sr. Unsecd. Note, 1.450%, 9/15/2026 | 396,304 | |
300,000 | American Tower Corp., Sr. Unsecd. Note, 2.100%, 6/15/2030 | 242,686 | |
300,000 | American Tower Corp., Sr. Unsecd. Note, 3.100%, 6/15/2050 | 196,147 | |
250,000 | American Tower Corp., Sr. Unsecd. Note, 3.800%, 8/15/2029 | 228,376 | |
100,000 | American Tower Corp., Sr. Unsecd. Note, 4.400%, 2/15/2026 | 96,976 | |
200,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 198,876 | |
280,000 | Bell Canada, Sr. Unsecd. Note, 4.464%, 4/1/2048 | 243,186 | |
400,000 | Crown Castle International Corp., Sr. Unsecd. Note, 4.450%, 2/15/2026 | 389,499 | |
200,000 | Crown Castle International Corp., Sr. Unsecd. Note, 5.200%, 2/15/2049 | 185,811 | |
300,000 | Crown Castle, Inc., Sr. Unsecd. Note, 2.250%, 1/15/2031 | 244,779 | |
300,000 | Crown Castle, Inc., Sr. Unsecd. Note, 5.100%, 5/1/2033 | 295,030 | |
300,000 | TELUS Corp., Sr. Unsecd. Note, 2.800%, 2/16/2027 | 277,367 | |
415,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 4.500%, 4/15/2050 | 356,348 | |
500,000 | T-Mobile USA, Inc., Series WI, 2.700%, 3/15/2032 | 413,334 | |
550,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 3.000%, 2/15/2041 | 402,431 | |
600,000 | T-Mobile USA, Inc., Sec. Fac. Bond, Series WI, 3.875%, 4/15/2030 | 553,119 | |
670,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.650%, 1/15/2053 | 680,805 | |
230,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 224,511 | |
350,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.250%, 9/17/2050 | 281,199 | |
580,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | 545,214 | |
TOTAL | 6,451,998 | ||
Communications - Telecom Wirelines—6.3% | |||
400,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 364,740 | |
877,000 | AT&T, Inc., Sr. Unsecd. Note, 2.550%, 12/1/2033 | 689,165 | |
350,000 | AT&T, Inc., Sr. Unsecd. Note, 2.750%, 6/1/2031 | 295,430 | |
300,000 | AT&T, Inc., Sr. Unsecd. Note, 3.500%, 6/1/2041 | 230,596 | |
1,000,000 | AT&T, Inc., Sr. Unsecd. Note, 3.650%, 6/1/2051 | 734,687 | |
255,000 | AT&T, Inc., Sr. Unsecd. Note, 3.850%, 6/1/2060 | 184,868 | |
500,000 | AT&T, Inc., Sr. Unsecd. Note, 4.300%, 2/15/2030 | 474,850 | |
500,000 | AT&T, Inc., Sr. Unsecd. Note, 4.350%, 3/1/2029 | 480,500 | |
400,000 | AT&T, Inc., Sr. Unsecd. Note, 5.450%, 3/1/2047 | 392,405 | |
245,000 | AT&T, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2041 | 261,788 | |
545,000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | 504,329 | |
815,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 144A, 4.500%, 3/15/2042 | 677,286 | |
40,000 | Telefonica SA, Company Guarantee, 7.045%, 6/20/2036 | 43,648 | |
680,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 1.450%, 3/20/2026 | 616,858 | |
400,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 2.550%, 3/21/2031 | 334,091 | |
1,785,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041 | 1,378,761 | |
30,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.000%, 3/22/2050 | 24,375 | |
750,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 3/16/2027 | 728,543 | |
390,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 320,978 | |
500,000 | Verizon Communications, Inc., Sr. Unsecd. Note, Series WI, 1.680%, 10/30/2030 | 395,078 | |
TOTAL | 9,132,976 | ||
Consumer Cyclical - Automotive—4.3% | |||
650,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.000%, 12/14/2026 | 580,668 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Automotive—continued | |||
$ 175,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | $ 151,614 | |
200,000 | General Motors Co., Sr. Unsecd. Note, 4.000%, 4/1/2025 | 194,382 | |
455,000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | 388,597 | |
110,000 | General Motors Co., Sr. Unsecd. Note, 6.750%, 4/1/2046 | 111,337 | |
750,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 1.500%, 6/10/2026 | 663,098 | |
750,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028 | 647,129 | |
50,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.700%, 8/20/2027 | 44,311 | |
400,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 3.950%, 4/13/2024 | 393,849 | |
250,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.300%, 7/13/2025 | 242,651 | |
300,000 | General Motors Financial Co., Inc., Unsecd. Note, 3.500%, 11/7/2024 | 290,148 | |
600,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 1.000%, 9/17/2024 | 564,535 | |
380,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.000%, 6/15/2028 | 319,776 | |
1,200,000 | Nissan Motor Acceptance Company LLC., Sr. Unsecd. Note, 144A, 1.850%, 9/16/2026 | 1,018,714 | |
400,000 | Stellantis Finance US, Inc., Sr. Unsecd. Note, 144A, 1.711%, 1/29/2027 | 350,710 | |
400,000 | Stellantis Finance US, Inc., Sr. Unsecd. Note, 144A, 2.691%, 9/15/2031 | 319,829 | |
TOTAL | 6,281,348 | ||
Consumer Cyclical - Retailers—3.2% | |||
150,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, 1.750%, 10/1/2027 | 124,911 | |
675,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 575,603 | |
600,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 436,887 | |
130,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.500%, 10/1/2025 | 124,960 | |
185,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 173,116 | |
55,000 | AutoZone, Inc., Sr. Unsecd. Note, 3.125%, 4/21/2026 | 52,026 | |
345,000 | AutoZone, Inc., Sr. Unsecd. Note, 4.000%, 4/15/2030 | 320,591 | |
400,000 | CVS Health Corp., Sr. Unsecd. Note, 2.875%, 6/1/2026 | 376,129 | |
50,000 | CVS Health Corp., Sr. Unsecd. Note, 3.875%, 7/20/2025 | 48,609 | |
880,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 811,761 | |
520,000 | CVS Health Corp., Sr. Unsecd. Note, 5.125%, 7/20/2045 | 481,375 | |
300,000 | Dollar General Corp., Sr. Unsecd. Note, 4.125%, 5/1/2028 | 285,303 | |
610,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 1.750%, 3/15/2031 | 480,981 | |
160,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2030 | 151,172 | |
230,000 | Tractor Supply Co., Sr. Unsecd. Note, 5.250%, 5/15/2033 | 228,315 | |
TOTAL | 4,671,739 | ||
Consumer Non-Cyclical - Food/Beverage—6.5% | |||
1,000,000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 956,633 | |
100,000 | Anheuser-Busch InBev Finance, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 95,663 | |
300,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.350%, 6/1/2040 | 276,182 | |
500,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.439%, 10/6/2048 | 450,564 | |
500,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029 | 498,103 | |
125,000 | Bacardi Ltd., Sr. Unsecd. Note, 144A, 2.750%, 7/15/2026 | 115,129 | |
650,000 | Coca-Cola European Partners PLC, Sr. Unsecd. Note, 144A, 1.500%, 1/15/2027 | 573,818 | |
710,000 | Conagra Brands, Inc., Sr. Unsecd. Note, 1.375%, 11/1/2027 | 601,765 | |
400,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.900%, 5/1/2033 | 393,175 | |
250,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 5.250%, 11/15/2048 | 239,648 | |
135,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 110,226 | |
210,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 197,138 | |
445,000 | General Mills, Inc., Sr. Unsecd. Note, 3.000%, 2/1/2051 | 314,696 | |
200,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | 196,123 | |
150,000 | Heineken NV, Sr. Unsecd. Note, 144A, 4.350%, 3/29/2047 | 128,478 | |
110,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.832%, 10/15/2027 | 92,854 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Food/Beverage—continued | |||
$ 300,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 2.300%, 11/1/2030 | $ 237,972 | |
255,000 | JDE Peet’s B.V., Sr. Unsecd. Note, 144A, 0.800%, 9/24/2024 | 239,242 | |
53,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 51,974 | |
750,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 637,905 | |
190,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 1.850%, 2/15/2031 | 150,436 | |
250,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 3.400%, 8/15/2027 | 234,243 | |
500,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 2.625%, 9/13/2031 | 369,827 | |
300,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 235,442 | |
300,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027 | 276,644 | |
350,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 2.375%, 3/15/2030 | 298,558 | |
300,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 3.500%, 3/15/2025 | 290,010 | |
400,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 342,873 | |
200,000 | Tyson Foods, Inc., 3.950%, 8/15/2024 | 196,367 | |
585,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.550%, 6/2/2027 | 549,847 | |
TOTAL | 9,351,535 | ||
Consumer Non-Cyclical - Health Care—1.9% | |||
350,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.600%, 5/27/2030 | 298,794 | |
220,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 3.000%, 9/23/2029 | 194,289 | |
55,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 53,417 | |
300,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.669%, 6/6/2047 | 275,954 | |
179,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 162,523 | |
295,000 | Danaher Corp., Sr. Unsecd. Note, 2.600%, 10/1/2050 | 199,311 | |
145,000 | GE Healthcare Holding LLC, Sr. Unsecd. Note, 6.377%, 11/22/2052 | 161,458 | |
1,500,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 1,039,272 | |
335,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 0.850%, 9/15/2024 | 315,005 | |
TOTAL | 2,700,023 | ||
Consumer Non-Cyclical - Pharmaceuticals—3.6% | |||
955,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | 864,193 | |
750,000 | Amgen, Inc., Sr. Unsecd. Note, 2.450%, 2/21/2030 | 643,432 | |
980,000 | Amgen, Inc., Sr. Unsecd. Note, 5.250%, 3/2/2033 | 981,718 | |
970,000 | Amgen, Inc., Sr. Unsecd. Note, 5.650%, 3/2/2053 | 983,027 | |
185,000 | AstraZeneca PLC, Sr. Unsecd. Note, 1.375%, 8/6/2030 | 148,937 | |
300,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.625%, 6/25/2038 | 261,453 | |
300,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.875%, 6/25/2048 | 270,121 | |
600,000 | Biogen, Inc., Sr. Unsecd. Note, 3.150%, 5/1/2050 | 411,008 | |
375,000 | Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 2.050%, 3/31/2030 | 311,837 | |
500,000 | Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 3.025%, 7/9/2040 | 378,835 | |
TOTAL | 5,254,561 | ||
Consumer Non-Cyclical - Supermarkets—0.4% | |||
300,000 | Kroger Co., Bond, 6.900%, 4/15/2038 | 332,880 | |
250,000 | Kroger Co., Sr. Unsecd. Note, 3.950%, 1/15/2050 | 200,729 | |
TOTAL | 533,609 | ||
Consumer Non-Cyclical - Tobacco—1.7% | |||
500,000 | Altria Group, Inc., Sr. Unsecd. Note, 3.700%, 2/4/2051 | 335,409 | |
650,000 | Altria Group, Inc., Sr. Unsecd. Note, 3.875%, 9/16/2046 | 456,232 | |
200,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.800%, 2/14/2029 | 194,649 | |
325,000 | BAT Capital Corp., Sr. Unsecd. Note, 2.259%, 3/25/2028 | 278,772 | |
500,000 | BAT Capital Corp., Sr. Unsecd. Note, Series WI, 3.557%, 8/15/2027 | 460,084 | |
200,000 | BAT Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047 | 147,386 | |
300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 5.850%, 8/15/2045 | 267,155 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Tobacco—continued | |||
$ 300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | $ 298,118 | |
TOTAL | 2,437,805 | ||
Energy - Independent—1.9% | |||
250,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.050%, 7/15/2025 | 232,945 | |
590,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 3.800%, 4/15/2024 | 580,491 | |
390,000 | Coterra Energy, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 5/15/2027 | 367,857 | |
175,000 | Coterra Energy, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 3/15/2029 | 163,568 | |
190,000 | Diamondback Energy, Inc., Sr. Unsecd. Note, 6.250%, 3/15/2033 | 196,629 | |
685,000 | Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041 | 656,284 | |
200,000 | Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027 | 190,860 | |
500,000 | Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2031 | 409,442 | |
TOTAL | 2,798,076 | ||
Energy - Integrated—1.0% | |||
605,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 3.750%, 2/15/2052 | 428,885 | |
300,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027 | 287,076 | |
240,000 | Husky Energy, Inc., Sr. Unsecd. Note, 4.400%, 4/15/2029 | 220,480 | |
100,000 | Petro-Canada, Bond, 5.350%, 7/15/2033 | 95,815 | |
130,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 6.500%, 3/13/2027 | 115,762 | |
500,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 3.750%, 3/4/2051 | 367,415 | |
TOTAL | 1,515,433 | ||
Energy - Midstream—6.0% | |||
130,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.400%, 2/15/2031 | 111,983 | |
165,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.600%, 9/1/2032 | 140,416 | |
400,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 383,915 | |
100,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2025 | 97,623 | |
100,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 5.800%, 6/1/2045 | 98,740 | |
50,000 | Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2029 | 43,585 | |
65,000 | Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.900%, 11/15/2049 | 48,071 | |
725,000 | Energy Transfer Operating, Sr. Unsecd. Note, 5.000%, 5/15/2050 | 613,087 | |
250,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 5.300%, 4/15/2047 | 217,786 | |
250,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 6.125%, 12/15/2045 | 237,875 | |
550,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.700%, 1/31/2051 | 421,439 | |
200,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.250%, 2/15/2048 | 169,704 | |
500,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.850%, 3/15/2044 | 462,102 | |
400,000 | Kinder Morgan Energy Partners LP, 4.250%, 9/1/2024 | 392,053 | |
495,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 497,687 | |
300,000 | Kinder Morgan, Inc., 5.050%, 2/15/2046 | 256,719 | |
300,000 | Kinder Morgan, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2028 | 286,945 | |
350,000 | MPLX LP, Sr. Unsecd. Note, 2.650%, 8/15/2030 | 293,031 | |
395,000 | MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027 | 378,189 | |
200,000 | MPLX LP, Sr. Unsecd. Note, 4.900%, 4/15/2058 | 161,505 | |
500,000 | MPLX LP, Sr. Unsecd. Note, 4.950%, 3/14/2052 | 425,267 | |
80,000 | MPLX LP, Sr. Unsecd. Note, Series WI, 4.250%, 12/1/2027 | 76,029 | |
400,000 | ONEOK, Inc., Sr. Unsecd. Note, 3.100%, 3/15/2030 | 343,828 | |
500,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 412,949 | |
600,000 | Plains All American Pipeline LP, Sr. Unsecd. Note, 5.150%, 6/1/2042 | 498,952 | |
180,000 | Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033 | 159,467 | |
350,000 | Targa Resources, Inc., Sr. Unsecd. Note, 6.125%, 3/15/2033 | 357,809 | |
290,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 276,429 | |
290,000 | Williams Partners LP, Sr. Unsecd. Note, 3.900%, 1/15/2025 | 281,588 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Energy - Midstream—continued | |||
$ 650,000 | Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045 | $ 568,053 | |
TOTAL | 8,712,826 | ||
Energy - Oil Field Services—0.4% | |||
510,000 | Ovintiv, Inc., Sr. Unsecd. Note, 7.100%, 7/15/2053 | 525,422 | |
Energy - Refining—1.4% | |||
200,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 3.625%, 9/15/2024 | 194,822 | |
225,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044 | 188,487 | |
150,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 6.500%, 3/1/2041 | 154,752 | |
245,000 | Phillips 66, Sr. Unsecd. Note, 1.300%, 2/15/2026 | 221,547 | |
565,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 518,788 | |
400,000 | Valero Energy Corp., Sr. Unsecd. Note, 2.800%, 12/1/2031 | 327,444 | |
140,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 4/1/2029 | 132,184 | |
400,000 | 1 | Valero Energy Corp., Sr. Unsecd. Note, 4.900%, 3/15/2045 | 354,889 |
TOTAL | 2,092,913 | ||
Financial Institution - Banking—7.3% | |||
410,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 383,296 | |
400,000 | Bank of America Corp., Sr. Unsecd. Note, 2.299%, 7/21/2032 | 320,046 | |
200,000 | Bank of America Corp., Sub. Note, Series L, 3.950%, 4/21/2025 | 193,772 | |
575,000 | Bank of America Corp., Sub. Note, Series L, 4.183%, 11/25/2027 | 546,715 | |
800,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 778,405 | |
500,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.750%, 3/9/2027 | 466,056 | |
255,000 | 1 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 251,922 |
400,000 | Capital One Financial Corp., Sr. Unsecd. Note, 5.817%, 2/1/2034 | 381,816 | |
480,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 452,816 | |
250,000 | Citigroup, Inc., 5.500%, 9/13/2025 | 248,658 | |
450,000 | Citigroup, Inc., Sub. Note, 4.450%, 9/29/2027 | 429,898 | |
285,000 | Citigroup, Inc., Sub., 6.174%, 5/25/2034 | 287,638 | |
580,000 | Citizens Financial Group, Inc., Sub. Note, 2.638%, 9/30/2032 | 410,350 | |
200,000 | Comerica, Inc., 3.800%, 7/22/2026 | 178,186 | |
200,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 191,046 | |
120,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.650%, 1/25/2024 | 118,312 | |
200,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 184,139 | |
370,000 | FNB Corp. (PA), Sr. Unsecd. Note, 5.150%, 8/25/2025 | 354,463 | |
500,000 | Goldman Sachs Group, Inc., 5.950%, 1/15/2027 | 507,249 | |
400,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, Series DMTN, 2.383%, 7/21/2032 | 320,562 | |
900,000 | Goldman Sachs Group, Inc., Sub. Note, 4.250%, 10/21/2025 | 867,741 | |
750,000 | Huntington National Bank, Sr. Unsecd. Note, 4.552%, 5/17/2028 | 700,237 | |
400,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.239%, 7/21/2032 | 318,079 | |
450,000 | Morgan Stanley, Sub. Note, 5.000%, 11/24/2025 | 442,594 | |
750,000 | Synovus Bank GA, Sr. Unsecd. Note, 5.625%, 2/15/2028 | 678,231 | |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 183,496 | |
350,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.867%, 6/8/2034 | 350,303 | |
TOTAL | 10,546,026 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.8% | |||
575,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 442,485 | |
200,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 195,037 | |
200,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.000%, 5/15/2030 | 170,931 | |
300,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.250%, 7/18/2024 | 293,776 | |
TOTAL | 1,102,229 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Finance Companies—1.9% | |||
$ 500,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 2.450%, 10/29/2026 | $ 446,961 | |
525,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.000%, 10/29/2028 | 454,354 | |
1,300,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.400%, 10/29/2033 | 1,045,513 | |
505,000 | Air Lease Corp., Sr. Unsecd. Note, 2.200%, 1/15/2027 | 448,213 | |
500,000 | Air Lease Corp., Sr. Unsecd. Note, 2.875%, 1/15/2032 | 401,856 | |
TOTAL | 2,796,897 | ||
Financial Institution - Insurance - Health—0.4% | |||
271,000 | CIGNA Group, Sr. Unsecd. Note, 3.750%, 7/15/2023 | 270,760 | |
250,000 | CIGNA Group, Sr. Unsecd. Note, 4.900%, 12/15/2048 | 232,830 | |
TOTAL | 503,590 | ||
Financial Institution - Insurance - Life—0.6% | |||
255,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 252,655 | |
110,000 | Lincoln National Corp., Sr. Note, 7.000%, 6/15/2040 | 115,130 | |
400,000 | Lincoln National Corp., Sr. Unsecd. Note, 3.050%, 1/15/2030 | 331,180 | |
100,000 | MetLife, Inc., Jr. Sub. Note, 10.750%, 8/1/2039 | 129,326 | |
50,000 | Penn Mutual Life Insurance Co., Sr. Note, 144A, 7.625%, 6/15/2040 | 54,325 | |
TOTAL | 882,616 | ||
Financial Institution - Insurance - P&C—0.9% | |||
500,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029 | 459,502 | |
400,000 | CNA Financial Corp., Sr. Unsecd. Note, 5.500%, 6/15/2033 | 390,404 | |
120,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 6.625%, 4/15/2042 | 124,503 | |
412,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.569%, 2/1/2029 | 388,918 | |
TOTAL | 1,363,327 | ||
Financial Institution - REIT - Apartment—0.5% | |||
160,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | 154,888 | |
150,000 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.750%, 6/15/2024 | 147,109 | |
160,000 | Mid-America Apartment Communities LP, Sr. Unsub. Note, 1.700%, 2/15/2031 | 126,457 | |
80,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | 63,785 | |
200,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 183,044 | |
TOTAL | 675,283 | ||
Financial Institution - REIT - Healthcare—1.0% | |||
375,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 288,228 | |
245,000 | Healthcare Trust of America, Sr. Unsecd. Note, 3.100%, 2/15/2030 | 210,187 | |
300,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 274,135 | |
325,000 | Welltower, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2031 | 268,956 | |
500,000 | Welltower, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 463,194 | |
TOTAL | 1,504,700 | ||
Financial Institution - REIT - Office—1.0% | |||
65,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 1.875%, 2/1/2033 | 47,576 | |
90,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 85,406 | |
100,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | 93,308 | |
250,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.700%, 7/1/2030 | 237,712 | |
500,000 | Boston Properties LP, Sr. Unsecd. Note, 2.900%, 3/15/2030 | 402,247 | |
840,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | 567,274 | |
TOTAL | 1,433,523 | ||
Financial Institution - REIT - Other—0.4% | |||
160,000 | ProLogis LP, Sr. Unsecd. Note, 4.375%, 2/1/2029 | 153,896 | |
175,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | 159,071 | |
300,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 295,950 | |
TOTAL | 608,917 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Retail—0.9% | |||
$ 140,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.800%, 10/1/2026 | $ 128,173 | |
290,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.800%, 4/1/2027 | 270,943 | |
300,000 | Regency Centers LP, Sr. Unsecd. Note, 3.700%, 6/15/2030 | 268,534 | |
170,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 159,033 | |
460,000 | Tanger Properties LP, Sr. Unsecd. Note, 3.125%, 9/1/2026 | 408,285 | |
TOTAL | 1,234,968 | ||
Technology—7.9% | |||
1,070,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 1,011,618 | |
190,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 174,900 | |
300,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 2.600%, 2/15/2033 | 234,663 | |
310,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.137%, 11/15/2035 | 237,899 | |
10,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036 | 7,563 | |
450,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.469%, 4/15/2034 | 369,300 | |
70,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2051 | 51,548 | |
900,000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 809,118 | |
250,000 | Dell International LLC / EMC Corp., Sr. Unsecd. Note, 4.000%, 7/15/2024 | 245,904 | |
1,000,000 | Dell International LLC / EMC Corp., Sr. Unsecd. Note, 5.300%, 10/1/2029 | 993,324 | |
500,000 | Equifax, Inc., Sr. Unsecd. Note, 2.350%, 9/15/2031 | 399,154 | |
205,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 195,345 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 189,720 | |
135,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.100%, 3/1/2041 | 93,030 | |
250,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 4.700%, 7/15/2027 | 243,460 | |
60,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 5.625%, 7/15/2052 | 56,625 | |
375,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 342,466 | |
285,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023 | 283,598 | |
230,000 | Fiserv, Inc., Sr. Unsecd. Note, 5.600%, 3/2/2033 | 234,203 | |
450,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 4.550%, 10/30/2024 | 442,563 | |
155,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 149,674 | |
765,000 | Micron Technology, Inc., Sr. Unsecd. Note, 3.366%, 11/1/2041 | 535,420 | |
200,000 | 1 | Micron Technology, Inc., Sr. Unsecd. Note, 4.975%, 2/6/2026 | 197,134 |
850,000 | Oracle Corp., Sr. Unsecd. Note, 1.650%, 3/25/2026 | 771,692 | |
1,600,000 | Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050 | 1,144,226 | |
1,000,000 | Oracle Corp., Sr. Unsecd. Note, 3.650%, 3/25/2041 | 771,083 | |
200,000 | Oracle Corp., Sr. Unsecd. Note, 6.250%, 11/9/2032 | 212,384 | |
85,000 | Skyworks Solutions, Inc., Sr. Unsecd. Note, 1.800%, 6/1/2026 | 75,962 | |
75,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | 70,440 | |
80,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 78,137 | |
150,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 143,318 | |
160,000 | VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026 | 141,365 | |
730,000 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 573,920 | |
TOTAL | 11,480,756 | ||
Technology Services—0.9% | |||
150,000 | Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026 | 133,959 | |
710,000 | Global Payments, Inc., Sr. Unsecd. Note, 1.200%, 3/1/2026 | 631,284 | |
500,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2027 | 444,810 | |
85,000 | Global Payments, Inc., Sr. Unsecd. Note, 3.200%, 8/15/2029 | 73,946 | |
95,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 79,129 | |
TOTAL | 1,363,128 | ||
Transportation - Airlines—0.4% | |||
100,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.125%, 6/15/2027 | 99,323 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Transportation - Airlines—continued | |||
$ 495,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | $ 489,974 | |
TOTAL | 589,297 | ||
Transportation - Railroads—0.5% | |||
100,000 | Canadian Pacific Railway Co., 7.125%, 10/15/2031 | 113,206 | |
225,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 1.750%, 12/2/2026 | 202,312 | |
105,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.050%, 3/5/2030 | 88,184 | |
195,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 3.000%, 12/2/2041 | 159,723 | |
200,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 4.700%, 5/1/2048 | 182,236 | |
TOTAL | 745,661 | ||
Transportation - Services—2.2% | |||
330,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2042 | 330,981 | |
250,000 | FedEx Corp., Sr. Unsecd. Note, 3.250%, 5/15/2041 | 186,921 | |
550,000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | 439,997 | |
725,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 1.650%, 7/15/2026 | 630,975 | |
315,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 2.650%, 7/15/2031 | 245,578 | |
300,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 1.700%, 6/15/2026 | 265,128 | |
400,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.950%, 3/10/2025 | 384,682 | |
260,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 1.750%, 9/1/2026 | 232,580 | |
220,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.900%, 12/1/2026 | 201,759 | |
200,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 5.650%, 3/1/2028 | 200,299 | |
TOTAL | 3,118,900 | ||
Utility - Electric—6.7% | |||
130,000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025 | 123,814 | |
385,000 | AEP Texas, Inc., Sr. Unsecd. Note, 4.700%, 5/15/2032 | 369,036 | |
500,000 | Ameren Corp., Sr. Unsecd. Note, 1.750%, 3/15/2028 | 428,584 | |
185,000 | Ameren Corp., Sr. Unsecd. Note, 1.950%, 3/15/2027 | 164,626 | |
80,000 | Ameren Corp., Sr. Unsecd. Note, 3.650%, 2/15/2026 | 76,431 | |
270,000 | American Electric Power Co., Inc., Jr. Sub. Note, 2.031%, 3/15/2024 | 262,649 | |
180,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 5.625%, 3/1/2033 | 183,121 | |
200,000 | Appalachian Power Co., Sr. Unsecd. Note, 7.000%, 4/1/2038 | 225,342 | |
170,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 140,477 | |
645,000 | CenterPoint Energy, Inc., Sr. Unsecd. Note, 2.650%, 6/1/2031 | 538,509 | |
450,000 | Constellation Energy Generation LLC, Sr. Unsecd. Note, 5.800%, 3/1/2033 | 460,892 | |
195,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 188,412 | |
130,000 | Dominion Energy, Inc., Sr. Unsecd. Note, 4.250%, 6/1/2028 | 124,115 | |
120,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series A, 1.450%, 4/15/2026 | 107,811 | |
240,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026 | 221,932 | |
500,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 1.710%, 1/24/2028 | 428,080 | |
300,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 292,355 | |
475,000 | Electricite de France S.A., Sr. Unsecd. Note, 144A, 6.250%, 5/23/2033 | 483,193 | |
740,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 601,383 | |
300,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 2.250%, 7/12/2031 | 235,259 | |
100,000 | Exelon Corp., Sr. Unsecd. Note, 3.950%, 6/15/2025 | 96,743 | |
90,000 | Exelon Corp., Sr. Unsecd. Note, 4.100%, 3/15/2052 | 72,711 | |
95,000 | Exelon Corp., Sr. Unsecd. Note, 4.700%, 4/15/2050 | 84,088 | |
180,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 150,401 | |
242,000 | Fortis, Inc./Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 223,094 | |
290,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 272,600 | |
200,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.550%, 5/1/2027 | 188,554 | |
400,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 5.050%, 2/28/2033 | 394,039 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—continued | |||
$ 300,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.950%, 3/30/2048 | $ 241,321 | |
100,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 85,256 | |
95,000 | NiSource, Inc., Sr. Unsecd. Note, 5.250%, 3/30/2028 | 95,018 | |
400,000 | NiSource, Inc., Sr. Unsecd. Note, 5.400%, 6/30/2033 | 400,667 | |
250,000 | Northeast Utilities, Sr. Unsecd. Note, Series H, 3.150%, 1/15/2025 | 240,359 | |
230,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 198,561 | |
1,175,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 1,089,601 | |
285,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 2.200%, 12/15/2028 | 245,432 | |
TOTAL | 9,734,466 | ||
Utility - Natural Gas—1.2% | |||
300,000 | Enbridge Energy Partners LP, 5.875%, 10/15/2025 | 301,006 | |
80,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | 75,813 | |
300,000 | Enbridge, Inc., Sr. Unsecd. Note, 3.125%, 11/15/2029 | 265,147 | |
195,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 156,150 | |
130,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.950%, 9/15/2027 | 119,569 | |
200,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 197,256 | |
260,000 | Sempra Energy, Sr. Unsecd. Note, 3.700%, 4/1/2029 | 237,758 | |
250,000 | Sempra Energy, Sr. Unsecd. Note, 4.000%, 2/1/2048 | 195,035 | |
250,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 211,378 | |
TOTAL | 1,759,112 | ||
Utility - Natural Gas Distributor—0.1% | |||
110,000 | The East Ohio Gas Company, Sr. Unsecd. Note, 144A, 3.000%, 6/15/2050 | 70,691 | |
TOTAL CORPORATE BONDS (IDENTIFIED COST $159,235,735) | 138,871,813 | ||
FOREIGN GOVERNMENTS/AGENCIES—1.7% | |||
Sovereign—1.7% | |||
700,000 | Mexico, Government of, 3.750%, 1/11/2028 | 665,609 | |
200,000 | Mexico, Government of, Series MTN, 4.750%, 3/8/2044 | 170,811 | |
206,000 | Mexico, Government of, Series MTNA, 6.750%, 9/27/2034 | 224,023 | |
800,000 | Mexico, Government of, Sr. Unsecd. Note, 3.250%, 4/16/2030 | 711,913 | |
250,000 | Mexico, Government of, Sr. Unsecd. Note, 4.500%, 4/22/2029 | 242,588 | |
300,000 | Mexico, Government of, Sr. Unsecd. Note, 4.500%, 1/31/2050 | 244,302 | |
190,000 | Peru, Government of, 6.550%, 3/14/2037 | 212,800 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $2,710,694) | 2,472,046 | ||
REPURCHASE AGREEMENT—1.1% | |||
1,610,000 | Interest in $1,976,000,000 joint repurchase agreement 5.06%, dated 6/30/2023 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,976,833,213 on 7/3/2023. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 7/20/2052 and the market value of those underlying securities was $2,016,369,878. (IDENTIFIED COST $1,610,000) | 1,610,000 | |
INVESTMENT COMPANY—0.6% | |||
851,100 | Federated Hermes Government Obligations Fund, Premier Shares, 4.97%3 (IDENTIFIED COST $851,100) | 851,100 | |
TOTAL INVESTMENT IN SECURITIES—99.4% (IDENTIFIED COST $164,407,529)4 | 143,804,959 | ||
OTHER ASSETS AND LIABILITIES - NET—0.6%5 | 934,959 | ||
TOTAL NET ASSETS—100% | $144,739,918 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
United States Treasury Notes 5-Year Long Futures | 60 | $6,425,625 | September 2023 | $(95,804) |
United States Treasury Notes 10-Year Ultra Long Futures | 20 | $2,368,750 | September 2023 | $(15,670) |
Short Futures: | ||||
United States Treasury Notes 10-Year Short Futures | 15 | $1,683,984 | September 2023 | $21,294 |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(90,180) |
Federated Hermes Government Obligations Fund, Premier Shares* | |
Value as of 12/31/2022 | $1,397,565 |
Purchases at Cost | $7,007,216 |
Proceeds from Sales | $(7,553,681) |
Change in Unrealized Appreciation/Depreciation | $— |
Net Realized Gain/(Loss) | $— |
Value as of 6/30/2023 | $851,100 |
Shares Held as of 6/30/2023 | 851,100 |
Dividend Income | $20,409 |
* | All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions. |
1 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | 7-day net yield. |
4 | Also represents cost for federal tax purposes. |
5 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of June 30, 2023, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $138,871,813 | $— | $138,871,813 |
Foreign Governments/Agencies | — | 2,472,046 | — | 2,472,046 |
Investment Company | 851,100 | — | — | 851,100 |
Repurchase Agreement | — | 1,610,000 | — | 1,610,000 |
TOTAL SECURITIES | $851,100 | $142,953,859 | $— | $143,804,959 |
Other Financial Instruments:1 | ||||
Assets | $21,294 | $— | $— | $21,294 |
Liabilities | (111,474) | — | — | (111,474) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(90,180) | $— | $— | $(90,180) |
1 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
BKNT | —Bank Notes | |
GMTN | —Global Medium Term Note | |
LIBOR | —London Interbank Offered Rate | |
MTN | —Medium Term Note | |
REIT | —Real Estate Investment Trust |
Six Months Ended (unaudited) 6/30/2023 | Year Ended December 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $9.63 | $11.86 | $12.38 | $11.48 | $10.26 | $11.10 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.20 | 0.38 | 0.38 | 0.43 | 0.45 | 0.46 |
Net realized and unrealized gain (loss) | 0.14 | (2.20) | (0.44) | 0.91 | 1.22 | (0.77) |
TOTAL FROM INVESTMENT OPERATIONS | 0.34 | (1.82) | (0.06) | 1.34 | 1.67 | (0.31) |
Less Distributions: | ||||||
Distributions from net investment income | (0.20) | (0.38) | (0.38) | (0.43) | (0.45) | (0.46) |
Distributions from net realized gain | — | (0.03) | (0.08) | (0.01) | — | (0.07) |
TOTAL DISTRIBUTIONS | (0.20) | (0.41) | (0.46) | (0.44) | (0.45) | (0.53) |
Net Asset Value, End of Period | $9.77 | $9.63 | $11.86 | $12.38 | $11.48 | $10.26 |
Total Return1 | 3.58% | (15.44)% | (0.41)% | 11.88% | 16.56% | (2.82)% |
Ratios to Average Net Assets: | ||||||
Net expenses2,3 | 0.00%4 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 4.08%4 | 3.69% | 3.19% | 3.64% | 4.11% | 4.30% |
Expense waiver/reimbursement5 | 0.25%4 | 0.24% | 0.23% | 0.27% | 0.30% | 0.32% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $144,740 | $134,660 | $182,389 | $143,775 | $105,126 | $85,243 |
Portfolio turnover6 | 2% | 7% | 11% | 13% | 18% | 16% |
1 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
2 | Federated Investment Management Company (the “Adviser”) has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses, incurred by the Fund. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
6 | Securities that mature are considered sales for purposes of this calculation. |
June 30, 2023 (unaudited)
Assets: | |
Investment in securities, at value including $826,937 of securities loaned and $851,100 of investments in affiliated holdings* (identified cost $164,407,529, including $851,100 of identified cost in affiliated holdings) | $143,804,959 |
Cash | 271 |
Due from broker (Note 2) | 125,525 |
Income receivable | 1,624,610 |
Receivable for shares sold | 547,360 |
Receivable for variation margin on futures contracts | 3,806 |
Total Assets | 146,106,531 |
Liabilities: | |
Payable for shares redeemed | 2,606 |
Payable for collateral due to broker for securities lending (Note 2) | 851,100 |
Income distribution payable | 474,139 |
Payable to adviser (Note 5) | 1,467 |
Payable for administrative fee (Note 5) | 306 |
Accrued expenses (Note 5) | 36,995 |
Total Liabilities | 1,366,613 |
Net assets for 14,812,948 shares outstanding | $144,739,918 |
Net Assets Consist of: | |
Paid-in capital | $167,053,012 |
Total distributable earnings (loss) | (22,313,094) |
Total Net Assets | $144,739,918 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$144,739,918 ÷ 14,812,948 shares outstanding, no par value, unlimited shares authorized | $9.77 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended June 30, 2023 (unaudited)
Investment Income: | |
Interest | $2,882,603 |
Net income on securities loaned (includes $20,409 earned from affiliated holdings related to cash collateral balances*) (Note 2) | 1,503 |
TOTAL INCOME | 2,884,106 |
Expenses: | |
Administrative fee (Note 5) | 58,384 |
Custodian fees | 5,697 |
Transfer agent fees | 6,802 |
Directors’/Trustees’ fees (Note 5) | 1,058 |
Auditing fees | 17,237 |
Legal fees | 4,804 |
Portfolio accounting fees | 39,800 |
Share registration costs | 18,078 |
Printing and postage | 10,211 |
Commitment fees (Note 7) | 5,345 |
Miscellaneous (Note 5) | 7,778 |
TOTAL EXPENSES | 175,194 |
Reimbursement of other operating expenses (Note 5) | (175,194) |
Net expenses | — |
Net investment income | 2,884,106 |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net realized loss on investments | (49,730) |
Net realized loss on futures contracts | (241,205) |
Net change in unrealized depreciation of investments | 2,318,798 |
Net change in unrealized appreciation of futures contracts | (91,107) |
Net realized and unrealized gain (loss) on investments and futures contracts | 1,936,756 |
Change in net assets resulting from operations | $4,820,862 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 6/30/2023 | Year Ended 12/31/2022 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $2,884,106 | $5,605,476 |
Net realized gain (loss) | (290,935) | (1,359,046) |
Net change in unrealized appreciation/depreciation | 2,227,691 | (32,192,713) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 4,820,862 | (27,946,283) |
Distributions to Shareholders | (2,958,238) | (6,080,541) |
Share Transactions: | ||
Proceeds from sale of shares | 33,920,917 | 75,765,885 |
Net asset value of shares issued to shareholders in payment of distributions declared | 76,880 | 212,329 |
Cost of shares redeemed | (25,780,224) | (89,681,142) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 8,217,573 | (13,702,928) |
Change in net assets | 10,080,197 | (47,729,752) |
Net Assets: | ||
Beginning of period | 134,659,721 | 182,389,473 |
End of period | $144,739,918 | $134,659,721 |
Fair Value of Securities Loaned | Collateral Received |
$826,937 | $851,100 |
Fair Value of Derivative Instruments | ||
Assets | ||
Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||
Interest rate contracts | Receivable for variation margin on futures contracts | $(90,180)* |
* | Includes cumulative net depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(241,205) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(91,107) |
Six Months Ended 6/30/2023 | Year Ended 12/31/2022 | |
Shares sold | 3,457,377 | 7,507,894 |
Shares issued to shareholders in payment of distributions declared | 7,811 | 20,908 |
Shares redeemed | (2,629,759) | (8,931,278) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 835,429 | (1,402,476) |
Short-Term | Long-Term | Total |
$440,790 | $875,465 | $1,316,255 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Purchases | $10,773,535 |
Sales | $2,514,950 |
Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,035.80 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,024.79 | $0.00 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). The Adviser has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses, incurred by the Fund. |
Annual Evaluation of Adequacy and Effectiveness
IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Ticker FHYSX |
Federated Hermes High Yield Strategy Portfolio
A Portfolio of Federated Hermes Managed Pool Series
Index Classification | Percentage of Total Net Assets2 |
Technology | 10.6% |
Cable Satellite | 7.3% |
Insurance - P&C | 6.9% |
Midstream | 6.3% |
Automotive | 5.7% |
Healthcare | 5.1% |
Media Entertainment | 4.9% |
Packaging | 4.6% |
Building Materials | 4.5% |
Gaming | 4.4% |
Independent Energy | 4.1% |
Chemicals | 3.0% |
Other3 | 21.9% |
Cash Equivalents4 | 7.9% |
Other Assets and Liabilities—Net5 | 2.8% |
TOTAL | 100% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (BHY2%ICI). Individual portfolio securities that are not included in the BHY2%ICI are assigned to an index classification by the Fund’s Adviser. |
2 | As of the date specified above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, the affiliated investment company (other than an affiliated money market mutual fund) is not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata portion of each security and each other asset and liability owned by the affiliated investment company. Accordingly, the percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. |
3 | For purposes of this table, index classifications which constitute less than 2.5% of the Fund’s total net assets have been aggregated under the designation “Other.” |
4 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those representing cash collateral for securities lending. |
5 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Shares or Principal Amount | Value | ||
INVESTMENT COMPANY—94.7% | |||
3,005,477 | 1 | High Yield Bond Core Fund (IDENTIFIED COST $17,087,206) | $16,049,249 |
REPURCHASE AGREEMENT—5.6% | |||
$ 951,000 | Interest in $1,976,000,000 joint repurchase agreement 5.06%, dated 6/30/2023 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,976,833,213 on 7/3/2023. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 7/20/2052 and the market value of those underlying securities was $2,016,369,878. (IDENTIFIED COST $951,000) | $ 951,000 | |
TOTAL INVESTMENT IN SECURITIES—100.3% (IDENTIFIED COST $18,038,206)2 | 17,000,249 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.3)%3 | (58,066) | ||
TOTAL NET ASSETS—100% | $16,942,183 |
High Yield Bond Core Fund | |
Value as of 12/31/2022 | $14,555,962 |
Purchases at Cost | $1,796,498 |
Proceeds from Sales | $(650,000) |
Change in Unrealized Appreciation/Depreciation | $437,575 |
Net Realized Gain/(Loss) | $(90,786) |
Value as of 6/30/2023 | $16,049,249 |
Shares Held as of 6/30/2023 | 3,005,477 |
Dividend Income | $496,499 |
1 | Due to this affiliated holding representing greater than 75% of the Fund’s total net assets, a copy of the affiliated holding’s most recent Annual Report is included with this Report. |
2 | Also represents cost of investments for federal tax purposes. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of June 30, 2023, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Investment Company | $16,049,249 | $— | $— | $16,049,249 |
Repurchase Agreement | — | 951,000 | — | 951,000 |
TOTAL SECURITIES | $16,049,249 | $951,000 | $— | $17,000,249 |
Six Months Ended (unaudited) 6/30/2023 | Year Ended December 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $10.88 | $13.16 | $13.18 | $13.20 | $12.21 | $13.29 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.36 | 0.76 | 0.71 | 0.75 | 0.82 | 0.81 |
Net realized and unrealized gain (loss) | 0.23 | (2.27) | (0.01) | (0.01) | 0.99 | (1.08) |
TOTAL FROM INVESTMENT OPERATIONS | 0.59 | (1.51) | 0.70 | 0.74 | 1.81 | (0.27) |
Less Distributions: | ||||||
Distributions from net investment income | (0.36) | (0.77) | (0.72) | (0.76) | (0.82) | (0.81) |
Net Asset Value, End of Period | $11.11 | $10.88 | $13.16 | $13.18 | $13.20 | $12.21 |
Total Return1 | 5.52% | (11.63)% | 5.40% | 6.04% | 15.10% | (2.19)% |
Ratios to Average Net Assets: | ||||||
Net expenses2 | 0.00%3 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 6.63%3 | 6.24% | 5.42% | 5.93% | 6.30% | 6.26% |
Expense waiver/reimbursement4 | 1.08%3 | 0.55% | 0.25% | 0.45% | 0.41% | 0.45% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $16,942 | $15,889 | $125,419 | $95,707 | $44,776 | $42,319 |
Portfolio turnover5 | 4% | 24% | 2% | 23% | 25% | 20% |
1 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
2 | The Adviser has contractually agreed to reimburse all expenses of the Fund, excluding extraordinary expenses. Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | Computed on an annualized basis. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
5 | Securities that mature are considered sales for purposes of this calculation. |
June 30, 2023 (unaudited)
Assets: | |
Investment in securities, at value including $16,049,249 of investments in affiliated holdings* (identified cost $18,038,206, including $17,087,206 of identified cost in affiliated holdings) | $17,000,249 |
Cash | 389 |
Income receivable from affiliated holdings | 87,291 |
Receivable for shares sold | 68,836 |
Total Assets | 17,156,765 |
Liabilities: | |
Payable for investments purchased | 87,292 |
Payable for shares redeemed | 133 |
Income distribution payable | 87,519 |
Payable to adviser (Note 5) | 1,605 |
Payable for administrative fee (Note 5) | 36 |
Payable for auditing fees | 11,706 |
Payable for portfolio accounting fees | 16,723 |
Accrued expenses (Note 5) | 9,568 |
Total Liabilities | 214,582 |
Net assets for 1,525,610 shares outstanding | $16,942,183 |
Net Assets Consist of: | |
Paid-in capital | $25,586,691 |
Total distributable earnings (loss) | (8,644,508) |
Total Net Assets | $16,942,183 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$16,942,183 ÷ 1,525,610 shares outstanding, no par value, unlimited shares authorized | $11.11 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended June 30, 2023 (unaudited)
Investment Income: | |
Dividends received from affiliated holdings* | $496,499 |
Interest | 16,567 |
TOTAL INCOME | 513,066 |
Expenses: | |
Administrative fee (Note 5) | 6,058 |
Custodian fees | 707 |
Transfer agent fees | 1,453 |
Directors’/Trustees’ fees (Note 5) | 755 |
Auditing fees | 14,946 |
Legal fees | 4,525 |
Portfolio accounting fees | 25,733 |
Share registration costs | 12,434 |
Printing and postage | 10,033 |
Commitment fee | 2,941 |
Miscellaneous (Note 5) | 3,689 |
TOTAL EXPENSES | 83,274 |
Reimbursement of other operating expenses (Notes 2 and 5) | (83,274) |
Net expenses | — |
Net investment income | 513,066 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized loss on investments in affiliated holdings* | (90,786) |
Net change in unrealized depreciation of investments in affiliated holdings* | 437,575 |
Net realized and unrealized gain (loss) on investments | 346,789 |
Change in net assets resulting from operations | $859,855 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 6/30/2023 | Year Ended 12/31/2022 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $513,066 | $2,276,704 |
Net realized gain (loss) | (90,786) | (5,665,295) |
Net change in unrealized appreciation/depreciation | 437,575 | (3,603,391) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 859,855 | (6,991,982) |
Distributions to Shareholders | (513,934) | (2,276,985) |
Share Transactions: | ||
Proceeds from sale of shares | 3,470,342 | 13,195,555 |
Net asset value of shares issued to shareholders in payment of distributions declared | 16,311 | 101,793 |
Cost of shares redeemed | (2,779,826) | (113,557,902) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 706,827 | (100,260,554) |
Change in net assets | 1,052,748 | (109,529,521) |
Net Assets: | ||
Beginning of period | 15,889,435 | 125,418,956 |
End of period | $16,942,183 | $15,889,435 |
Six Months Ended 6/30/2023 | Year Ended 12/31/2022 | |
Shares sold | 312,883 | 1,102,776 |
Shares issued to shareholders in payment of distributions declared | 1,469 | 8,523 |
Shares redeemed | (248,691) | (9,181,840) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 65,661 | (8,070,541) |
Short-Term | Long-Term | Total |
$1,183,168 | $5,878,508 | $7,061,676 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Purchases | $1,713,753 |
Sales | $650,000 |
Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,055.20 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,024.79 | $0.00 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). The Adviser has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses incurred by the Fund. This agreement has no fixed term. |
1 Year | 5 Years | 10 Years | |
Fund | -11.96% | 2.10% | 4.25% |
BHY2%ICI | -11.18% | 2.30% | 4.03% |
Index Classification | Percentage of Total Net Assets |
Technology | 9.5% |
Cable Satellite | 8.4% |
Midstream | 7.0% |
Insurance - P&C | 6.8% |
Media Entertainment | 6.7% |
Health Care | 5.4% |
Automotive | 5.1% |
Packaging | 4.9% |
Independent Energy | 4.9% |
Building Materials | 4.8% |
Gaming | 4.3% |
Chemicals | 3.7% |
Other2 | 24.9% |
Cash Equivalents3 | 2.4% |
Other Assets and Liabilities - Net4 | 1.2% |
Total | 100% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg US Corporate High Yield 2% Issuer Capped Index (BHY2%ICI). Individual portfolio securities that are not included in the BHY2%ICI are assigned to an index classification by the Fund’s Adviser. |
2 | For purposes of this table, index classifications which constitute less than 3.5% of the Fund’s total net assets have been aggregated under the designation “Other.” |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—95.4% | |||
Aerospace/Defense—1.5% | |||
$ 3,800,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.250%, 3/15/2026 | $ 3,755,882 | |
4,800,000 | TransDigm, Inc., Sr. Sub., 6.875%, 5/15/2026 | 4,694,705 | |
2,600,000 | TransDigm, Inc., Sr. Sub., Series WI, 7.500%, 3/15/2027 | 2,576,567 | |
TOTAL | 11,027,154 | ||
Automotive—5.1% | |||
3,075,000 | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026 | 2,867,253 | |
5,400,000 | Dornoch Debt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 6.625%, 10/15/2029 | 3,795,153 | |
6,825,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.375%, 11/13/2025 | 6,181,968 | |
3,700,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.000%, 11/13/2030 | 3,044,378 | |
2,000,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.125%, 8/17/2027 | 1,794,590 | |
3,725,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.113%, 5/3/2029 | 3,381,555 | |
1,800,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, Series GMTN, 4.389%, 1/8/2026 | 1,680,759 | |
400,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.000%, 5/15/2027 | 351,810 | |
1,600,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029 | 1,354,920 | |
8,025,000 | Panther BF Aggregator 2 LP, Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027 | 7,852,916 | |
4,300,000 | Real Hero Merger Sub 2, Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/1/2029 | 2,953,240 | |
3,575,000 | Schaeffler Verwaltung ZW, 144A, 4.750%, 9/15/2026 | 3,099,324 | |
TOTAL | 38,357,866 | ||
Building Materials—4.8% | |||
2,500,000 | Abc Supply Co., Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/15/2029 | 2,046,812 | |
1,250,000 | Camelot Return Merger SU, Sec. Fac. Bond, 144A, 8.750%, 8/1/2028 | 1,148,656 | |
1,300,000 | Cornerstone Building Brands, Sr. Unsecd. Note, 144A, 6.125%, 1/15/2029 | 917,631 | |
4,150,000 | Cp Atlas Buyer, Inc., Sr. Unsecd. Note, 144A, 7.000%, 12/1/2028 | 3,087,619 | |
5,125,000 | Foundation Building Materials, Inc., Sr. Unsecd. Note, 144A, 6.000%, 3/1/2029 | 3,860,272 | |
4,275,000 | Gyp Holdings III Corp., Sr. Unsecd. Note, 144A, 4.625%, 5/1/2029 | 3,495,957 | |
2,950,000 | Interface, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/1/2028 | 2,439,758 | |
1,950,000 | MIWD Holdco II LLC/MIWD Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 2/1/2030 | 1,555,028 | |
4,175,000 | SRS Distribution, Inc., Sr. Unsecd. Note, 144A, 6.000%, 12/1/2029 | 3,328,114 | |
2,850,000 | SRS Distribution, Inc., Sr. Unsecd. Note, 144A, 6.125%, 7/1/2029 | 2,307,987 | |
2,850,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 4.375%, 7/15/2030 | 2,328,477 | |
1,200,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2028 | 1,081,620 | |
3,425,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027 | 3,165,447 | |
3,575,000 | White Cap Buyer LLC, Sr. Unsecd. Note, 144A, 6.875%, 10/15/2028 | 3,098,252 | |
2,150,000 | White Cap Parent LLC, Sr. Sub. Secd. Note, 144A, 8.250%, 3/15/2026 | 1,861,341 | |
TOTAL | 35,722,971 | ||
Cable Satellite—8.4% | |||
2,300,000 | CCO Holdings LLC/Cap Corp., Sr. Sub. Secd. Note, 144A, 5.500%, 5/1/2026 | 2,230,380 | |
3,000,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 4.500%, 5/1/2032 | 2,393,775 | |
1,300,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.000%, 3/1/2023 | 1,295,148 | |
3,225,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2031 | 2,594,190 | |
1,675,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2034 | 1,239,500 | |
1,500,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 8/15/2030 | 1,242,615 | |
2,150,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 6/1/2033 | 1,653,877 | |
1,650,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 1,501,822 | |
650,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029 | 589,241 | |
1,550,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2031 | 1,013,344 | |
3,800,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.125%, 12/1/2030 | 2,690,533 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Cable Satellite—continued | |||
$ 3,800,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.500%, 11/15/2031 | $ 2,643,618 | |
4,225,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.625%, 12/1/2030 | 2,344,195 | |
2,275,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.000%, 11/15/2031 | 1,274,000 | |
4,500,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2030 | 2,547,878 | |
950,000 | DIRECTV Holdings LLC, Sec. Fac. Bond, 144A, 5.875%, 8/15/2027 | 851,732 | |
2,000,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.375%, 7/1/2028 | 1,418,250 | |
5,900,000 | DISH DBS Corp., Sr. Unsecd. Note, Series WI, 5.125%, 6/1/2029 | 3,817,211 | |
1,000,000 | DISH Network Corp., Sec. Fac. Bond, 144A, 11.750%, 11/15/2027 | 1,031,150 | |
3,000,000 | Doyla Holdco 18 Designated Activity Co., Sr. Unsecd. Note, 144A, 5.000%, 7/15/2028 | 2,626,927 | |
2,650,000 | 1,2,3 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.500%, 8/1/2023 | 0 |
2,475,000 | 1,2,3 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 8.500%, 10/15/2024 | 0 |
1,975,000 | 1,2,3 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 9.750%, 7/15/2025 | 0 |
4,175,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2031 | 3,265,243 | |
2,725,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2030 | 2,254,842 | |
1,000,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029 | 915,035 | |
5,000,000 | Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028 | 4,550,000 | |
5,525,000 | UPC Broadband Finco BV, Sr. Note, 144A, 4.875%, 7/15/2031 | 4,606,800 | |
725,000 | Virgin Media Finance PLC, Sr. Unsecd. Note, 144A, 5.000%, 7/15/2030 | 582,679 | |
625,000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 5.500%, 5/15/2029 | 561,291 | |
1,000,000 | Vmed O2 UK Financing I PLC, Sec. Fac. Bond, 144A, 4.250%, 1/31/2031 | 811,770 | |
2,425,000 | Vmed O2 UK Financing I PLC, Sr. Note, 144A, 4.750%, 7/15/2031 | 1,974,690 | |
6,175,000 | Ziggo Finance BV, Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027 | 5,755,100 | |
TOTAL | 62,276,836 | ||
Chemicals—3.7% | |||
3,575,000 | Axalta Coating Systems LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2029 | 2,954,345 | |
225,000 | Cheever Escrow Issuer, Sec. Fac. Bond, 144A, 7.125%, 10/1/2027 | 215,729 | |
5,100,000 | Diamond BC BV, Sr. Unsecd. Note, 144A, 4.625%, 10/1/2029 | 4,099,380 | |
2,275,000 | Element Solutions, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2028 | 1,937,390 | |
2,775,000 | H.B. Fuller Co., Sr. Unsecd. Note, 4.250%, 10/15/2028 | 2,465,352 | |
4,700,000 | Herens Holdco S.a.r.l., Sec. Fac. Bond, 144A, 4.750%, 5/15/2028 | 3,518,913 | |
5,225,000 | Koppers, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | 4,972,005 | |
5,675,000 | Olympus Water US Holding Corp., Sr. Unsecd. Note, 144A, 6.250%, 10/1/2029 | 4,315,873 | |
3,950,000 | Polar US Borrower LLC, Sr. Unsecd. Note, 144A, 6.750%, 5/15/2026 | 1,470,486 | |
1,875,000 | WR Grace Holdings LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 | 1,518,319 | |
TOTAL | 27,467,792 | ||
Construction Machinery—0.6% | |||
2,525,000 | H&E Equipment Services, Inc., Sr. Unsecd. Note, 144A, 3.875%, 12/15/2028 | 2,155,201 | |
1,225,000 | United Rentals, Inc., Sr. Unsecd. Note, 3.875%, 2/15/2031 | 1,029,668 | |
625,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 3.750%, 1/15/2032 | 510,706 | |
1,100,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 4.875%, 1/15/2028 | 1,044,841 | |
TOTAL | 4,740,416 | ||
Consumer Cyclical Services—2.2% | |||
6,800,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | 4,944,006 | |
3,500,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027 | 3,052,525 | |
6,875,000 | Garda World Security Corp., Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | 5,595,208 | |
2,828,000 | GW B-CR Security Corp., Sr. Unsecd. Note, 144A, 9.500%, 11/1/2027 | 2,727,892 | |
1,500,000 | Signal Parent, Inc., Sr. Unsecd. Note, 144A, 6.125%, 4/1/2029 | 459,375 | |
TOTAL | 16,779,006 | ||
Consumer Products—1.7% | |||
6,850,000 | BCPE Empire Holdings, Inc., Sr. Unsecd. Note, 144A, 7.625%, 5/1/2027 | 6,151,506 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Products—continued | |||
$ 1,450,000 | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 4.125%, 4/1/2029 | $ 1,238,189 | |
5,275,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.375%, 3/31/2029 | 4,481,941 | |
650,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2028 | 564,332 | |
TOTAL | 12,435,968 | ||
Diversified Manufacturing—1.2% | |||
5,875,000 | Gates Global LLC, Sr. Unsecd. Note, 144A, 6.250%, 1/15/2026 | 5,678,481 | |
2,900,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.250%, 6/15/2028 | 2,944,135 | |
TOTAL | 8,622,616 | ||
Finance Companies—2.2% | |||
900,000 | Navient Corp., Sr. Unsecd. Note, 4.875%, 3/15/2028 | 741,454 | |
4,950,000 | Navient Corp., Sr. Unsecd. Note, 5.500%, 3/15/2029 | 4,046,478 | |
250,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/25/2025 | 240,414 | |
5,250,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.875%, 3/1/2031 | 4,019,665 | |
2,275,000 | Rocket Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 4.000%, 10/15/2033 | 1,702,394 | |
2,775,000 | United Shore Financial Services, Sr. Unsecd. Note, 144A, 5.500%, 11/15/2025 | 2,503,272 | |
3,000,000 | United Wholesale Mortgage LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2029 | 2,390,850 | |
1,275,000 | United Wholesale Mortgage LLC, Sr. Unsecd. Note, 144A, 5.750%, 6/15/2027 | 1,099,447 | |
TOTAL | 16,743,974 | ||
Food & Beverage—1.5% | |||
2,650,000 | Bellring Brands, Inc., Sr. Unsecd. Note, 144A, 7.000%, 3/15/2030 | 2,553,341 | |
2,500,000 | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 8/1/2029 | 2,169,500 | |
2,500,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2028 | 2,357,013 | |
951,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 921,082 | |
1,425,000 | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/1/2030 | 1,256,692 | |
1,900,000 | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2029 | 1,689,290 | |
TOTAL | 10,946,918 | ||
Gaming—4.3% | |||
2,625,000 | Affinity Gaming LLC, 144A, 6.875%, 12/15/2027 | 2,228,859 | |
1,025,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 4.750%, 12/1/2027 | 956,161 | |
1,000,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2031 | 871,180 | |
2,950,000 | Caesars Entertainment Corp., Sr. Unsecd. Note, 144A, 4.625%, 10/15/2029 | 2,406,005 | |
2,250,000 | Colt Merger Sub, Inc., Sr. Secd. Note, 144A, 5.750%, 7/1/2025 | 2,205,824 | |
875,000 | Colt Merger Sub, Inc., Sr. Secd. Note, 144A, 6.250%, 7/1/2025 | 851,992 | |
775,000 | Colt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 8.125%, 7/1/2027 | 763,073 | |
2,300,000 | Midwest Gaming Borrower LLC, 144A, 4.875%, 5/1/2029 | 1,959,978 | |
4,550,000 | Mohegan Tribal Gaming Authority, 144A, 8.000%, 2/1/2026 | 4,263,441 | |
3,050,000 | Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2029 | 2,413,476 | |
1,250,000 | Raptor Acquisition Corp./Raptor Co-Issuer LLC, Sec. Fac. Bond, 144A, 4.875%, 11/1/2026 | 1,112,275 | |
3,800,000 | Scientific Games Holdings Corp., Sr. Unsecd. Note, 144A, 6.625%, 3/1/2030 | 3,214,800 | |
1,000,000 | Scientific Games International, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/15/2029 | 961,800 | |
2,725,000 | Scientific Games International, Inc., Sr. Unsecd. Note, 144A, 8.625%, 7/1/2025 | 2,784,738 | |
3,425,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 4.500%, 2/15/2028 | 2,982,941 | |
650,000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.500%, 9/1/2026 | 612,604 | |
1,525,000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/15/2025 | 1,464,076 | |
TOTAL | 32,053,223 | ||
Health Care—5.4% | |||
2,225,000 | AdaptHealth LLC, Sr. Unsecd. Note, 144A, 4.625%, 8/1/2029 | 1,865,774 | |
1,375,000 | AdaptHealth LLC, Sr. Unsecd. Note, 144A, 5.125%, 3/1/2030 | 1,172,311 | |
2,400,000 | Ardent Health Services, Sr. Unsecd. Note, 144A, 5.750%, 7/15/2029 | 1,885,080 | |
1,500,000 | Avantor Funding, Inc., Sec. Fac. Bond, 144A, 4.625%, 7/15/2028 | 1,366,080 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Health Care—continued | |||
$ 2,150,000 | Avantor Funding, Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/1/2029 | $ 1,808,204 | |
3,450,000 | CHS/Community Health Systems, Inc., 144A, 6.125%, 4/1/2030 | 1,714,833 | |
3,300,000 | CHS/Community Health Systems, Inc., 2nd Lien, 144A, 6.875%, 4/15/2029 | 1,702,249 | |
2,400,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.000%, 3/15/2026 | 2,190,000 | |
1,350,000 | Embecta Corp., Sec. Fac. Bond, 144A, 5.000%, 2/15/2030 | 1,144,422 | |
2,100,000 | Embecta Corp., Sr. Note, 144A, 6.750%, 2/15/2030 | 1,910,024 | |
400,000 | Garden Spinco Corp., Sr. Unsecd. Note, 144A, 8.625%, 7/20/2030 | 424,578 | |
2,625,000 | Global Medical Response, Inc., Sec. Fac. Bond, 144A, 6.500%, 10/1/2025 | 1,882,886 | |
4,425,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2029 | 2,506,497 | |
1,300,000 | MEDNAX, Inc., Sr. Unsecd. Note, 144A, 5.375%, 2/15/2030 | 1,131,538 | |
9,300,000 | Mozart Debt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2029 | 7,403,311 | |
2,100,000 | MPH Acquisition Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 11/1/2028 | 1,401,146 | |
800,000 | Team Health Holdings, Inc., Sr. Unsecd. Note, 144A, 6.375%, 2/1/2025 | 462,256 | |
1,125,000 | Tenet Healthcare Corp., 144A, 4.250%, 6/1/2029 | 976,663 | |
1,550,000 | Tenet Healthcare Corp., 144A, 5.125%, 11/1/2027 | 1,445,018 | |
1,500,000 | Tenet Healthcare Corp., 144A, 6.250%, 2/1/2027 | 1,443,810 | |
650,000 | Tenet Healthcare Corp., Sr. Secd. Note, 4.625%, 7/15/2024 | 634,866 | |
3,950,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 144A, 6.125%, 10/1/2028 | 3,544,849 | |
TOTAL | 40,016,395 | ||
Health Insurance—0.3% | |||
2,600,000 | Centene Corp., Sr. Unsecd. Note, Series WI, 4.625%, 12/15/2029 | 2,381,836 | |
Independent Energy—4.6% | |||
1,125,000 | Antero Resources Corp., Sr. Unsecd. Note, 144A, 5.375%, 3/1/2030 | 1,044,517 | |
1,400,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 8.250%, 12/31/2028 | 1,374,106 | |
949,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 9.000%, 11/1/2027 | 1,172,817 | |
1,075,000 | Berry Petroleum Co., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2026 | 989,017 | |
1,400,000 | Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 8.250%, 7/15/2025 | 1,401,764 | |
3,175,000 | 1,3 | Chesapeake Energy Corp., Sr. Unsecd. Note, 7.000%, 10/1/2024 | 71,438 |
3,375,000 | Comstock Resources, Inc., Sr. Unsecd. Note, 144A, 6.750%, 3/1/2029 | 3,052,046 | |
2,650,000 | Crownrock LP/ Crownrock F, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2025 | 2,562,643 | |
1,950,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 5.875%, 9/1/2025 | 1,946,117 | |
2,375,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.125%, 1/1/2031 | 2,401,397 | |
1,925,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.625%, 9/1/2030 | 1,993,597 | |
500,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 7.150%, 5/15/2028 | 519,215 | |
2,000,000 | PDC Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 5/15/2026 | 1,912,400 | |
3,225,000 | Permian Resources Operating LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 3,047,296 | |
575,000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | 547,132 | |
1,000,000 | Range Resources Corp., Sr. Unsecd. Note, 8.250%, 1/15/2029 | 1,031,790 | |
2,025,000 | Rockcliff Energy II LLC, Sr. Unsecd. Note, 144A, 5.500%, 10/15/2029 | 1,855,356 | |
2,750,000 | SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 | 2,644,237 | |
2,525,000 | Southwestern Energy Co., Sr. Unsecd. Note, 8.375%, 9/15/2028 | 2,607,582 | |
2,075,000 | Tap Rock Resources LLC., Sr. Unsecd. Note, 144A, 7.000%, 10/1/2026 | 1,932,551 | |
TOTAL | 34,107,018 | ||
Industrial - Other—1.6% | |||
7,550,000 | Madison Iaq LLC, Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 | 5,188,955 | |
3,675,000 | Redwood Star Merger Sub, Sr. Unsecd. Note, 144A, 8.750%, 4/1/2030 | 2,903,103 | |
4,729,000 | Vertical Holdco GmbH, Sr. Unsecd. Note, 144A, 7.625%, 7/15/2028 | 3,868,977 | |
TOTAL | 11,961,035 | ||
Insurance - P&C—6.8% | |||
3,325,000 | AmWINS Group, Inc., Sr. Unsecd. Note, 144A, 4.875%, 6/30/2029 | 2,824,410 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Insurance - P&C—continued | |||
$ 4,821,420 | Ardonagh Midco 2 PLC, Sr. Unsecd. Note, 144A, 11.500% / 12.750% PIK, 1/15/2027 | $ 4,604,456 | |
4,350,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2029 | 3,585,877 | |
4,225,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2025 | 4,092,601 | |
7,225,000 | Broadstreet Partners, Inc., Sr. Unsecd. Note, 144A, 5.875%, 4/15/2029 | 6,158,455 | |
8,125,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 5.625%, 12/1/2029 | 7,106,795 | |
6,200,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 7.000%, 5/1/2026 | 6,082,324 | |
1,900,000 | Jones Deslauriers Insurance Management, Inc., Sr. Unsecd. Note, 144A, 10.500%, 12/15/2030 | 1,873,693 | |
225,000 | NFP Corp., Sec. Fac. Bond, 144A, 7.500%, 10/1/2030 | 212,979 | |
8,500,000 | NFP Corp., Sr. Unsecd. Note, 144A, 6.875%, 8/15/2028 | 7,025,071 | |
975,000 | Ryan Specialty Group, Sec. Fac. Bond, 144A, 4.375%, 2/1/2030 | 845,467 | |
6,450,000 | USIS Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.875%, 5/1/2025 | 6,223,763 | |
TOTAL | 50,635,891 | ||
Leisure—0.3% | |||
2,625,000 | SeaWorld Parks & Entertainment, Inc., Sr. Unsecd. Note, 144A, 5.250%, 8/15/2029 | 2,288,997 | |
Lodging—0.4% | |||
1,000,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2032 | 802,580 | |
2,325,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.750%, 5/1/2028 | 2,259,354 | |
TOTAL | 3,061,934 | ||
Media Entertainment—6.6% | |||
5,275,000 | Audacy Capital Corp., 144A, 6.500%, 5/1/2027 | 1,000,792 | |
1,725,000 | Cumulus Media News Holdings, Inc., 144A, 6.750%, 7/1/2026 | 1,451,726 | |
1,875,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 144A, 5.375%, 8/15/2026 | 222,656 | |
2,150,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 6.625%, 8/15/2027 | 24,188 | |
1,300,000 | Gray Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 11/15/2031 | 939,166 | |
975,000 | Gray Escrow, Inc., Sr. Unsecd. Note, 144A, 7.000%, 5/15/2027 | 866,185 | |
3,350,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2026 | 2,989,875 | |
1,275,000 | iHeartCommunications, Inc., 144A, 4.750%, 1/15/2028 | 1,040,298 | |
5,711,766 | iHeartCommunications, Inc., Sr. Unsecd. Note, 8.375%, 5/1/2027 | 4,869,209 | |
1,575,000 | Match Group Holdings II LLC, Sr. Unsecd. Note, 144A, 3.625%, 10/1/2031 | 1,209,858 | |
1,775,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 4.125%, 8/1/2030 | 1,452,203 | |
750,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | 691,290 | |
6,300,000 | Midas Opco Holdings LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 | 5,206,667 | |
1,575,000 | Nexstar Broadcasting, Inc., Sr. Unsecd. Note, 144A, 4.750%, 11/1/2028 | 1,364,753 | |
3,650,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027 | 3,355,764 | |
1,450,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2030 | 1,201,946 | |
2,000,000 | ROBLOX Corp., Sr. Unsecd. Note, 144A, 3.875%, 5/1/2030 | 1,579,000 | |
875,000 | Scripps Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2031 | 702,458 | |
725,000 | Scripps Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027 | 648,208 | |
725,000 | Sinclair Television Group, Sec. Fac. Bond, 144A, 4.125%, 12/1/2030 | 544,498 | |
1,000,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.125%, 2/15/2027 | 817,192 | |
4,025,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | 2,820,982 | |
1,400,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2028 | 1,331,526 | |
4,425,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 5.000%, 9/15/2029 | 4,208,418 | |
6,100,000 | Terrier Media Buyer, Inc., Sr. Unsecd. Note, 144A, 8.875%, 12/15/2027 | 4,601,108 | |
1,800,000 | Univision Communications, Inc., Sec. Fac. Bond, 144A, 7.375%, 6/30/2030 | 1,722,438 | |
2,500,000 | Urban One, Inc., Sec. Fac. Bond, 144A, 7.375%, 2/1/2028 | 2,116,400 | |
TOTAL | 48,978,804 | ||
Metals & Mining—0.5% | |||
1,325,000 | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 4.875%, 3/1/2031 | 1,171,878 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Metals & Mining—continued | |||
$ 3,000,000 | Coeur Mining, Inc., Sr. Unsecd. Note, 144A, 5.125%, 2/15/2029 | $ 2,345,180 | |
TOTAL | 3,517,058 | ||
Midstream—7.0% | |||
2,150,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.500%, 5/20/2025 | 2,069,106 | |
1,700,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026 | 1,617,141 | |
3,000,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 2,841,232 | |
2,075,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | 1,928,360 | |
2,675,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 7.875%, 5/15/2026 | 2,711,651 | |
1,400,000 | Cheniere Energy Partners LP, Sr. Unsecd. Note, 4.000%, 3/1/2031 | 1,193,794 | |
2,600,000 | Cheniere Energy Partners LP, Sr. Unsecd. Note, Series WI, 4.500%, 10/1/2029 | 2,343,839 | |
3,275,000 | CNX Midstream Partners LP, Sr. Unsecd. Note, 144A, 4.750%, 4/15/2030 | 2,691,935 | |
2,875,000 | DT Midstream, Inc., Sr. Unsecd. Note, 144A, 4.375%, 6/15/2031 | 2,415,719 | |
2,325,000 | EQM Midstream Partners LP, Sr. Unsecd. Note, 144A, 4.500%, 1/15/2029 | 1,956,248 | |
2,625,000 | EQM Midstream Partners LP, Sr. Unsecd. Note, 144A, 6.500%, 7/1/2027 | 2,513,437 | |
1,900,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 5.500%, 7/15/2028 | 1,702,311 | |
2,425,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 6.500%, 7/15/2048 | 1,822,084 | |
1,750,000 | Hess Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.125%, 6/15/2028 | 1,621,317 | |
1,725,000 | Holly Energy Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 1,573,590 | |
3,100,000 | Oasis Midstream Partners, Sr. Unsecd. Note, 144A, 8.000%, 4/1/2029 | 3,089,306 | |
2,600,000 | Solaris Midstream Holdings LLC, Sr. Unsecd. Note, 144A, 7.625%, 4/1/2026 | 2,589,210 | |
1,325,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 | 1,267,635 | |
2,000,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 6/1/2031 | 1,702,515 | |
1,700,000 | Summit Midstream Holdings LLC, Sr. Unsecd. Note, 5.750%, 4/15/2025 | 1,446,235 | |
2,300,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.000%, 1/15/2028 | 2,197,854 | |
1,500,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | 1,413,607 | |
1,850,000 | TransMontaigne Partners LP/TLP Finance Corp., Sr. Unsecd. Note, 6.125%, 2/15/2026 | 1,604,338 | |
1,325,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.500%, 3/1/2028 | 1,222,896 | |
1,875,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.650%, 7/1/2026 | 1,782,712 | |
3,500,000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.300%, 3/1/2048 | 2,884,007 | |
TOTAL | 52,202,079 | ||
Oil Field Services—2.1% | |||
3,450,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.250%, 4/1/2028 | 3,162,398 | |
2,100,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 2,008,113 | |
1,725,000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.250%, 1/15/2026 | 1,628,364 | |
900,000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.500%, 1/15/2028 | 824,828 | |
2,575,000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026 | 2,495,381 | |
1,800,000 | USA Compression Partners LP, Sr. Unsecd. Note, 6.875%, 9/1/2027 | 1,685,889 | |
3,766,000 | USA Compression Partners LP, Sr. Unsecd. Note, Series WI, 6.875%, 4/1/2026 | 3,618,731 | |
TOTAL | 15,423,704 | ||
Packaging—4.9% | |||
4,858,496 | ARD Finance SA, Sec. Fac. Bond, 144A, 6.500%, 6/30/2027 | 3,386,918 | |
1,700,000 | Ardagh Metal Packaging, Sr. Unsecd. Note, 144A, 4.000%, 9/1/2029 | 1,350,484 | |
8,250,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sec. Fac. Bond, 144A, 5.250%, 8/15/2027 | 6,181,908 | |
800,000 | Ball Corp., Sr. Unsecd. Note, 6.875%, 3/15/2028 | 822,776 | |
1,200,000 | Berry Global Escrow Corp., 144A, 4.875%, 7/15/2026 | 1,158,061 | |
2,825,000 | Bway Holding Co., Sr. Unsecd. Note, 144A, 7.250%, 4/15/2025 | 2,618,144 | |
7,625,000 | Clydesdale Acquisition Holdings, Inc., Sr. Unsecd. Note, 144A, 8.750%, 4/15/2030 | 6,541,080 | |
2,275,000 | OI European Group BV, Sr. Unsecd. Note, 144A, 4.750%, 2/15/2030 | 1,995,505 | |
2,000,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2025 | 1,921,901 | |
1,647,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.625%, 5/13/2027 | 1,600,484 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Packaging—continued | |||
$ 3,550,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.625%, 11/1/2025 | $ 3,101,089 | |
800,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.250%, 8/1/2024 | 765,889 | |
5,425,000 | Trivium Packaging Finance BV, Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027 | 4,986,144 | |
TOTAL | 36,430,383 | ||
Paper—0.3% | |||
2,875,000 | Graphic Packaging International LLC, Sr. Unsecd. Note, 144A, 3.500%, 3/1/2029 | 2,460,936 | |
Pharmaceuticals—2.1% | |||
1,800,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2029 | 865,058 | |
1,450,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.250%, 1/30/2030 | 697,878 | |
7,600,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/15/2029 | 3,671,275 | |
1,000,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/30/2029 | 484,425 | |
2,150,000 | Catalent Pharma Solutions, Inc., Sr. Unsecd. Note, 144A, 3.500%, 4/1/2030 | 1,700,360 | |
2,800,000 | Grifols Escrow Issuer SA, 144A, 4.750%, 10/15/2028 | 2,421,020 | |
2,700,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 144A, 10.000%, 6/15/2029 | 1,464,723 | |
2,425,000 | Organon Finance 1 LLC, Sr. Unsecd. Note, 144A, 5.125%, 4/30/2031 | 2,104,015 | |
2,525,000 | Syneos Health, Inc., Sr. Unsecd. Note, 144A, 3.625%, 1/15/2029 | 2,014,167 | |
TOTAL | 15,422,921 | ||
Restaurant—1.4% | |||
9,275,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 2nd Lien, 144A, 4.000%, 10/15/2030 | 7,530,326 | |
1,425,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 4.625%, 1/31/2032 | 1,262,339 | |
1,425,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 1,309,831 | |
TOTAL | 10,102,496 | ||
Retailers—0.8% | |||
1,825,000 | Academy Ltd., Sec. Fac. Bond, 144A, 6.000%, 11/15/2027 | 1,749,820 | |
1,450,000 | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 4.625%, 11/15/2029 | 1,223,539 | |
1,625,000 | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2032 | 1,339,000 | |
1,475,000 | Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/1/2029 | 1,042,427 | |
1,400,000 | Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.875%, 10/1/2031 | 978,719 | |
TOTAL | 6,333,505 | ||
Supermarkets—0.6% | |||
4,625,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 3.500%, 3/15/2029 | 3,890,504 | |
275,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 5.875%, 2/15/2028 | 261,910 | |
TOTAL | 4,152,414 | ||
Technology—9.5% | |||
1,625,000 | Boxer Parent Co., Inc., 144A, 9.125%, 3/1/2026 | 1,535,617 | |
3,000,000 | Cars.com, Inc., Sr. Unsecd. Note, 144A, 6.375%, 11/1/2028 | 2,668,463 | |
2,425,000 | Centerfield Media Parent, Sr. Note, 144A, 6.625%, 8/1/2026 | 1,555,155 | |
2,050,000 | Central Parent, Inc./Central Merger Sub, Inc., 144A, 7.250%, 6/15/2029 | 2,007,764 | |
5,550,000 | Clarivate Science Holdings Corp., Sr. Unsecd. Note, 144A, 4.875%, 7/1/2029 | 4,726,657 | |
4,050,000 | Coherent Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 | 3,498,106 | |
1,725,000 | Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.000%, 10/15/2026 | 1,620,647 | |
3,000,000 | Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.500%, 10/15/2028 | 2,763,206 | |
700,000 | Dun & Bradstreet Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 | 599,944 | |
4,000,000 | Elastic N.V., Sr. Unsecd. Note, 144A, 4.125%, 7/15/2029 | 3,235,900 | |
1,775,000 | Entegris Escrow Corp., Sr. Unsecd. Note, 144A, 5.950%, 6/15/2030 | 1,639,212 | |
4,000,000 | HealthEquity, Inc., Sr. Unsecd. Note, 144A, 4.500%, 10/1/2029 | 3,500,600 | |
2,275,000 | Helios Software Holdings, Sec. Fac. Bond, 144A, 4.625%, 5/1/2028 | 1,737,986 | |
5,125,000 | Logan Merger Sub, Inc., Sr. Secd. Note, 144A, 5.500%, 9/1/2027 | 2,764,435 | |
7,375,000 | McAfee Corp., Sr. Unsecd. Note, 144A, 7.375%, 2/15/2030 | 5,942,892 | |
7,875,000 | Minerva Merger Sub, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2030 | 5,818,106 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$ 925,000 | NCR Corp., 144A, 5.125%, 4/15/2029 | $ 775,250 | |
400,000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2028 | 341,666 | |
1,300,000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2030 | 1,074,626 | |
975,000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/1/2027 | 934,513 | |
1,775,000 | NCR Corp., Sr. Unsecd. Note, 144A, 6.125%, 9/1/2029 | 1,662,571 | |
300,000 | Open Text Corp., 144A, 6.900%, 12/1/2027 | 300,390 | |
1,375,000 | Open Text Corp., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2028 | 1,182,294 | |
1,800,000 | Picard Midco, Inc., Sec. Fac. Bond, 144A, 6.500%, 3/31/2029 | 1,519,319 | |
6,725,000 | Rackspace Technology, Inc., Sr. Unsecd. Note, 144A, 5.375%, 12/1/2028 | 2,942,030 | |
6,700,000 | Rocket Software, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2029 | 5,290,496 | |
2,691,000 | Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 9.625%, 12/1/2032 | 2,955,108 | |
1,525,000 | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 5.875%, 9/1/2030 | 1,447,485 | |
2,250,000 | SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027 | 2,111,459 | |
2,825,000 | TTM Technologies, Inc., Sr. Unsecd. Note, 144A, 4.000%, 3/1/2029 | 2,426,647 | |
825,000 | Veritas US, Inc./Veritas Bermuda Ltd., Sr. Secd. Note, 144A, 7.500%, 9/1/2025 | 569,967 | |
TOTAL | 71,148,511 | ||
Transportation Services—0.4% | |||
3,275,000 | Watco Cos. LLC/Finance Co., Sr. Unsecd. Note, 144A, 6.500%, 6/15/2027 | 3,116,425 | |
Utility - Electric—2.5% | |||
650,000 | Calpine Corp., Sr. Secd. Note, 144A, 3.750%, 3/1/2031 | 524,196 | |
1,850,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2031 | 1,554,942 | |
3,000,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028 | 2,682,983 | |
3,600,000 | Enviva Partners LP/Enviva Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 1/15/2026 | 3,396,312 | |
1,081,000 | NRG Energy, Inc., Sr. Unsecd. Note, 6.625%, 1/15/2027 | 1,073,628 | |
925,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.375%, 2/15/2029 | 747,363 | |
1,000,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2031 | 762,023 | |
2,075,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2032 | 1,562,423 | |
450,000 | NRG Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 1/15/2028 | 423,135 | |
2,400,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028 | 2,164,104 | |
125,000 | TransAlta Corp., Sr. Unsecd. Note, 7.750%, 11/15/2029 | 127,828 | |
3,475,000 | Vistra Operations Co. LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026 | 3,353,539 | |
400,000 | Vistra Operations Co. LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027 | 380,345 | |
TOTAL | 18,752,821 | ||
Wireless Communications—0.1% | |||
500,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 2.875%, 2/15/2031 | 413,839 | |
550,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 3.375%, 4/15/2029 | 485,482 | |
TOTAL | 899,321 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $865,289,041) | 710,569,224 | ||
COMMON STOCKS—0.7% | |||
Cable Satellite—0.0% | |||
7,064 | 2,3 | Intelsat Jackson Holdings S.A. | 45,916 |
Independent Energy—0.0% | |||
3,150 | 2,3 | Ultra Resources, Inc. | 0 |
Media Entertainment—0.1% | |||
67,010 | 3 | iHeartMedia, Inc. | 410,771 |
Oil Field Services—0.5% | |||
66,218 | 2,3 | Superior Energy Services, Inc. | 3,973,080 |
Principal Amount or Shares | Value | ||
COMMON STOCKS—continued | |||
Pharmaceuticals—0.1% | |||
142,608 | 3 | Mallinckrodt PLC | $ 1,105,212 |
TOTAL COMMON STOCKS (IDENTIFIED COST $10,032,078) | 5,534,979 | ||
FLOATING RATE LOAN—0.3% | |||
Independent Energy—0.3% | |||
$ 1,976,000 | 4 | Ascent Resources Utica Holdings, LLC, 2020 Fixed 2nd Lien Term Loan, 12.941% (3-month USLIBOR + 9.000%), 11/1/2025 (IDENTIFIED COST $1,976,000) | 2,094,560 |
INVESTMENT COMPANY—2.4% | |||
17,614,978 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 4.36%5 (IDENTIFIED COST $17,610,656) | 17,611,455 | |
TOTAL INVESTMENT IN SECURITIES—98.8% (IDENTIFIED COST $894,907,775)6 | 735,810,218 | ||
OTHER ASSETS AND LIABILITIES - NET—1.2%7 | 9,300,364 | ||
TOTAL NET ASSETS—100% | $745,110,582 |
Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares | |
Value as of 12/31/2021 | $15,264,347 |
Purchases at Cost | $550,135,401 |
Proceeds from Sales | $(547,774,983) |
Change in Unrealized Appreciation/Depreciation | $5,905 |
Net Realized Gain/(Loss) | $(19,215) |
Value as of 12/31/2022 | $17,611,455 |
Shares Held as of 12/31/2022 | 17,614,978 |
Dividend Income | $269,808 |
1 | Issuer in default. |
2 | Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund’s Adviser acting through its Valuation Committee. |
3 | Non-income-producing security. |
4 | Floating/variable note with current rate and current maturity or next reset date shown. |
5 | 7-day net yield. |
6 | The cost of investments for federal tax purposes amounts to $901,217,759. |
7 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of December 31, 2022, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $710,569,224 | $0 | $710,569,224 |
Floating Rate Loan | — | 2,094,560 | — | 2,094,560 |
Equity Securities: | ||||
Common Stocks | 1,515,983 | — | 4,018,996 | 5,534,979 |
Investment Company | 17,611,455 | — | — | 17,611,455 |
TOTAL SECURITIES | $19,127,438 | $712,663,784 | $4,018,996 | $735,810,218 |
The following acronym(s) are used throughout this portfolio: | ||
GMTN | —Global Medium Term Note | |
LIBOR | —London Interbank Offered Rate | |
PIK | —Payment in Kind |
Year Ended December 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $6.34 | $6.35 | $6.36 | $5.88 | $6.40 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.33 | 0.33 | 0.35 | 0.38 | 0.38 |
Net realized and unrealized gain (loss) | (1.08) | 0.01 | 0.01 | 0.49 | (0.51) |
TOTAL FROM INVESTMENT OPERATIONS | (0.75) | 0.34 | 0.36 | 0.87 | (0.13) |
Less Distributions: | |||||
Distributions from net investment income | (0.37) | (0.35) | (0.37) | (0.39) | (0.39) |
Net Asset Value, End of Period | $5.22 | $6.34 | $6.35 | $6.36 | $5.88 |
Total Return1 | (11.96)% | 5.42% | 6.09% | 15.18% | (2.16)% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.04% | 0.02% | 0.03% | 0.03% | 0.03% |
Net investment income | 5.77% | 5.16% | 5.70% | 6.16% | 6.14% |
Expense waiver/reimbursement | —% | —% | —% | —% | —% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $745,111 | $2,494,249 | $2,212,263 | $1,866,222 | $1,712,174 |
Portfolio turnover3 | 13% | 34% | 38% | 34% | 21% |
1 | Based on net asset value. |
2 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | Securities that mature are considered sales for purposes of this calculation. |
December 31, 2022
Assets: | |
Investment in securities, at value including $17,611,455 of investments in an affiliated holding* (identified cost $894,907,775) | $735,810,218 |
Income receivable | 13,524,770 |
Income receivable from an affiliated holding | 50,445 |
Total Assets | 749,385,433 |
Liabilities: | |
Income distribution payable | 4,191,382 |
Accrued expenses (Note 5) | 83,469 |
Total Liabilities | 4,274,851 |
Net assets for 142,870,834 shares outstanding | $745,110,582 |
Net Assets Consist of: | |
Paid-in capital | $1,049,193,326 |
Total distributable earnings (loss) | (304,082,744) |
Total Net Assets | $745,110,582 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$745,110,582 ÷ 142,870,834 shares outstanding, no par value, unlimited shares authorized | $5.22 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31, 2022
Investment Income: | |
Interest | $70,889,790 |
Dividends (including $269,808 received from an affiliated holding*) | 270,421 |
TOTAL INCOME | 71,160,211 |
Expenses: | |
Administrative fee (Note 5) | 4,311 |
Custodian fees | 65,062 |
Transfer agent fees | 79,781 |
Directors’/Trustees’ fees (Note 5) | 12,815 |
Auditing fees | 36,000 |
Legal fees | 9,322 |
Portfolio accounting fees | 179,860 |
Share registration costs | 199 |
Printing and postage | 19,789 |
Commitment fee (Note 7) | 10,101 |
Miscellaneous (Note 5) | 21,695 |
TOTAL EXPENSES | 438,935 |
Net investment income | 70,721,276 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized loss on investments (including net realized loss of $(19,215) on sales of investments in an affiliated holding*) | (75,289,254) |
Net change in unrealized appreciation of investments (including net change in unrealized depreciation of $5,905 on investments in an affiliated holding*) | (199,057,584) |
Net realized and unrealized gain (loss) on investments | (274,346,838) |
Change in net assets resulting from operations | $(203,625,562) |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2022 | 2021 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $70,721,276 | $127,044,351 |
Net realized gain (loss) | (75,289,254) | 19,030,311 |
Net change in unrealized appreciation/depreciation | (199,057,584) | (15,581,232) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (203,625,562) | 130,493,430 |
Distributions to Shareholders | (79,474,824) | (133,937,444) |
Share Transactions: | ||
Proceeds from sale of shares | 107,543,200 | 706,985,450 |
Net asset value of shares issued to shareholders in payment of distributions declared | 5,651,526 | 22,419,254 |
Cost of shares redeemed | (1,579,232,583) | (443,975,198) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (1,466,037,857) | 285,429,506 |
Change in net assets | (1,749,138,243) | 281,985,492 |
Net Assets: | ||
Beginning of period | 2,494,248,825 | 2,212,263,333 |
End of period | $745,110,582 | $2,494,248,825 |
Year Ended 12/31/2022 | Year Ended 12/31/2021 | |
Shares sold | 18,064,404 | 111,369,520 |
Shares issued to shareholders in payment of distributions declared | 969,803 | 3,530,925 |
Shares redeemed | (269,530,125) | (70,088,967) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (250,495,918) | 44,811,478 |
2022 | 2021 | |
Ordinary income | $79,474,824 | $133,937,444 |
Undistributed ordinary income | $1,148,870 |
Net unrealized depreciation | $(165,407,541) |
Capital loss carryforwards | $(139,824,073) |
TOTAL | $(304,082,744) |
Short-Term | Long-Term | Total |
$28,650,339 | $111,173,734 | $139,824,073 |
Purchases | $148,373,325 |
Sales | $1,598,587,508 |
Beginning Account Value 7/1/2022 | Ending Account Value 12/31/2022 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,023.00 | $4.13 |
Service Shares | $1,000 | $1,021.20 | $5.40 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,021.12 | $4.13 |
Service Shares | $1,000 | $1,019.86 | $5.40 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 0.81% |
Service Shares | 1.06% |
Annual Evaluation of Adequacy and Effectiveness
IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Ticker FMBPX |
Federated Hermes Mortgage Strategy Portfolio
A Portfolio of Federated Hermes Managed Pool Series
Portfolio Composition | Percentage of Total Net Assets2 |
U.S. Government Agency Mortgage-Backed Securities | 89.8% |
Non-Agency Mortgage-Backed Securities | 5.5% |
Asset-Backed Securities | 2.4% |
Agency Risk Transfer Securities | 0.3% |
Cash Equivalents3 | 4.1% |
Other Assets and Liabilities—Net4 | (2.1)% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests. |
2 | As of the date specified above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, the affiliated investment company (other than an affiliated money market mutual fund) is not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata portion of each security and each other asset and liability owned by the affiliated investment company. Accordingly, the percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Shares or Principal Amount | Value | ||
INVESTMENT COMPANY—99.7% | |||
50,090,450 | 1 | Mortgage Core Fund (IDENTIFIED COST $453,141,494) | $418,756,162 |
REPURCHASE AGREEMENT—0.6% | |||
$ 2,313,000 | Interest in $1,976,000,000 joint repurchase agreement 5.06%, dated 6/30/2023 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,976,833,213 on 7/3/2023. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 7/20/2052 and the market value of those underlying securities was $2,016,369,878. (IDENTIFIED COST $2,313,000) | $ 2,313,000 | |
TOTAL INVESTMENT IN SECURITIES—100.3% (IDENTIFIED COST $455,454,494)2 | 421,069,162 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.3)%3 | (1,190,008) | ||
TOTAL NET ASSETS—100% | $419,879,154 |
1 | Due to this affiliated holding representing greater than 75% of the Fund’s total net assets, a copy of the affiliated holding’s most recent Annual Report is included with this Report. |
Mortgage Core Fund | |
Value as of 12/31/2022 | $294,527,987 |
Purchases at Cost | $127,601,299 |
Proceeds from Sales | $(900,000) |
Change in Unrealized Appreciation/Depreciation | $(2,326,903) |
Net Realized Gain/(Loss) | $(146,221) |
Value as of 6/30/2023 | $418,756,162 |
Shares Held as of 6/30/2023 | 50,090,450 |
Dividend Income | $7,001,300 |
2 | Also represents cost of investments for federal tax purposes. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of June 30, 2023, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Investment Company | $418,756,162 | $— | $— | $418,756,162 |
Repurchase Agreement | — | 2,313,000 | — | 2,313,000 |
TOTAL SECURITIES | $418,756,162 | $2,313,000 | $— | $421,069,162 |
Six Months Ended (unaudited) 6/30/2023 | Year Ended December 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $8.46 | $9.85 | $10.18 | $9.98 | $9.70 | $9.90 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.17 | 0.27 | 0.22 | 0.27 | 0.32 | 0.30 |
Net realized and unrealized gain (loss) | (0.02) | (1.40) | (0.32) | 0.20 | 0.28 | (0.20) |
TOTAL FROM INVESTMENT OPERATIONS | 0.15 | (1.13) | (0.10) | 0.47 | 0.60 | 0.10 |
Less Distributions: | ||||||
Distributions from net investment income | (0.17) | (0.26) | (0.22) | (0.27) | (0.32) | (0.30) |
Distributions from net realized gain | — | — | (0.01) | — | — | — |
TOTAL DISTRIBUTIONS | (0.17) | (0.26) | (0.23) | (0.27) | (0.32) | (0.30) |
Net Asset Value, End of Period | $8.44 | $8.46 | $9.85 | $10.18 | $9.98 | $9.70 |
Total Return1 | 1.78% | (11.54)% | (0.94)% | 4.77% | 6.29% | 1.12% |
Ratios to Average Net Assets: | ||||||
Net expenses2 | 0.00%3 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 4.04%3 | 3.01% | 2.21% | 2.68% | 3.26% | 3.17% |
Expense waiver/reimbursement4 | 0.15%3 | 0.17% | 0.21% | 0.23% | 0.24% | 0.27% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $419,879 | $295,407 | $171,828 | $126,578 | $120,793 | $99,486 |
Portfolio turnover5 | 0% | 11% | 14% | 43% | 7% | 10% |
1 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
2 | The Adviser has contractually agreed to reimburse all expenses, excluding extraordinary expenses, incurred by the Fund. Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | Computed on an annualized basis. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
5 | Securities that mature are considered sales for purposes of this calculation. |
June 30, 2023 (unaudited)
Assets: | |
Investment in securities, at value including $418,756,162 of investments in affiliated holdings* (identified cost $455,454,494, including $453,141,494 of identified cost in affiliated holdings) | $421,069,162 |
Cash | 611 |
Income receivable from affiliated holdings | 1,399,779 |
Receivable for shares sold | 1,627,955 |
Total Assets | 424,097,507 |
Liabilities: | |
Payable for investments purchased | 2,799,779 |
Payable for shares redeemed | 1,730 |
Income distribution payable | 1,372,272 |
Payable to adviser (Note 5) | 1,930 |
Payable for administrative fee (Note 5) | 891 |
Accrued expenses (Note 5) | 41,751 |
Total Liabilities | 4,218,353 |
Net assets for 49,741,871 shares outstanding | $419,879,154 |
Net Assets Consist of: | |
Paid-in capital | $459,428,755 |
Total distributable earnings (loss) | (39,549,601) |
Total Net Assets | $419,879,154 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$419,879,154 ÷ 49,741,871 shares outstanding, no par value, unlimited shares authorized | $8.44 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended June 30, 2023 (unaudited)
Investment Income: | |
Dividends received from affiliated holdings* | $7,001,300 |
Interest | 28,904 |
TOTAL INCOME | 7,030,204 |
Expenses: | |
Administrative fee (Note 5) | 135,831 |
Custodian fees | 5,944 |
Transfer agent fees | 10,591 |
Directors’/Trustees’ fees (Note 5) | 1,450 |
Auditing fees | 16,018 |
Legal fees | 4,804 |
Portfolio accounting fees | 42,030 |
Share registration costs | 21,334 |
Printing and postage | 9,916 |
Commitment fee | 2,914 |
Miscellaneous (Note 5) | 8,884 |
TOTAL EXPENSES | 259,716 |
Reimbursement of other operating expenses (Note 5) | (259,716) |
Net expenses | — |
Net investment income | 7,030,204 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized loss on investments in affiliated holdings* | (146,221) |
Net change in unrealized depreciation of investments in affiliated holdings* | (2,326,903) |
Net realized and unrealized gain (loss) on investments | (2,473,124) |
Change in net assets resulting from operations | $4,557,080 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 6/30/2023 | Year Ended 12/31/2022 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $7,030,204 | $7,112,504 |
Net realized gain (loss) | (146,221) | (2,886,851) |
Net change in unrealized appreciation/depreciation | (2,326,903) | (31,121,729) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 4,557,080 | (26,896,076) |
Distributions to Shareholders | (7,027,069) | (7,113,868) |
Share Transactions: | ||
Proceeds from sale of shares | 145,582,873 | 213,317,582 |
Net asset value of shares issued to shareholders in payment of distributions declared | 170,095 | 207,511 |
Cost of shares redeemed | (18,811,032) | (55,935,840) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 126,941,936 | 157,589,253 |
Change in net assets | 124,471,947 | 123,579,309 |
Net Assets: | ||
Beginning of period | 295,407,207 | 171,827,898 |
End of period | $419,879,154 | $295,407,207 |
Six Months Ended 6/30/2023 | Year Ended 12/31/2022 | |
Shares sold | 17,013,791 | 23,685,150 |
Shares issued to shareholders in payment of distributions declared | 19,910 | 23,589 |
Shares redeemed | (2,193,047) | (6,251,194) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 14,840,654 | 17,457,545 |
Short-Term | Long-Term | Total |
$139,841 | $7,238 | $147,079 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Purchases | $69,849,280 |
Sales | $— |
Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,017.80 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,024.79 | $0.00 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). The Adviser has contractually agreed to reimburse all expenses, excluding extraordinary expenses, incurred by the Fund. This agreement has no fixed term. |
1 Year | 5 Years | 10 Years | |
Fund | -11.57% | -0.27% | 0.90% |
BMBS | -11.81% | -0.53% | 0.74% |
Security Type | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 90.0% |
Non-Agency Mortgage-Backed Securities | 4.4% |
Asset-Backed Securities | 2.8% |
Derivative Contracts2 | 0.0% |
Cash Equivalents3 | 3.7% |
Other Assets and Liabilities—Net4 | (0.9)% |
TOTAL | 100% |
1 | See the Fund’s Private Offering Memorandum for a description of the principal types of securities in which the Fund invests. |
2 | Represents less than 0.1%. |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—90.0% | |||
Federal Home Loan Mortgage Corporation—33.4% | |||
$ 5,830,291 | 2.000%, 5/1/2035 | $ 5,224,147 | |
3,067,968 | 2.000%, 7/1/2035 | 2,740,379 | |
18,088,964 | 2.000%, 11/1/2035 | 16,163,128 | |
35,877,327 | 2.000%, 4/1/2036 | 32,136,140 | |
15,779,375 | 2.000%, 11/1/2036 | 14,099,428 | |
8,815,172 | 2.000%, 8/1/2050 | 7,265,467 | |
10,921,265 | 2.000%, 9/1/2050 | 8,984,246 | |
17,494,462 | 2.000%, 9/1/2050 | 14,490,012 | |
29,593,363 | 2.000%, 11/1/2050 | 24,344,619 | |
25,436,305 | 2.000%, 12/1/2050 | 20,869,224 | |
3,284,258 | 2.000%, 3/1/2051 | 2,698,676 | |
7,074,589 | 2.000%, 4/1/2051 | 5,802,138 | |
44,736,223 | 2.000%, 4/1/2051 | 36,759,767 | |
16,218,448 | 2.000%, 5/1/2051 | 13,301,363 | |
35,176,482 | 2.000%, 1/1/2052 | 29,003,460 | |
95,658,416 | 2.000%, 1/1/2052 | 78,602,549 | |
1,606,498 | 2.500%, 10/1/2049 | 1,379,742 | |
6,690,140 | 2.500%, 5/1/2050 | 5,775,103 | |
8,124,960 | 2.500%, 9/1/2050 | 6,952,739 | |
74,164,598 | 2.500%, 9/1/2051 | 63,012,630 | |
72,908,933 | 2.500%, 10/1/2051 | 62,036,913 | |
2,807,128 | 2.500%, 1/1/2052 | 2,409,150 | |
13,168,505 | 2.500%, 2/1/2052 | 11,219,250 | |
25,964,968 | 2.500%, 2/1/2052 | 22,068,787 | |
11,958,302 | 2.500%, 2/1/2052 | 10,188,186 | |
29,832,189 | 2.500%, 4/1/2052 | 25,607,420 | |
1,484,970 | 3.000%, 4/1/2031 | 1,415,265 | |
2,310,828 | 3.000%, 6/1/2032 | 2,197,302 | |
2,738,841 | 3.000%, 6/1/2032 | 2,604,288 | |
25,422,609 | 3.000%, 6/1/2033 | 24,141,874 | |
1,827,904 | 3.000%, 7/1/2033 | 1,738,103 | |
13,540,229 | 3.000%, 1/1/2043 | 12,319,749 | |
472,872 | 3.000%, 6/1/2045 | 426,850 | |
4,483,383 | 3.000%, 10/1/2045 | 4,048,440 | |
641,778 | 3.000%, 5/1/2046 | 579,117 | |
11,802,906 | 3.000%, 6/1/2046 | 10,561,981 | |
4,923,578 | 3.000%, 6/1/2046 | 4,458,239 | |
5,542,339 | 3.000%, 7/1/2046 | 5,037,572 | |
1,834,468 | 3.000%, 9/1/2046 | 1,639,304 | |
4,471,076 | 3.000%, 10/1/2046 | 4,034,532 | |
4,547,714 | 3.000%, 10/1/2046 | 4,098,002 | |
3,524,571 | 3.000%, 11/1/2046 | 3,169,427 | |
2,609,136 | 3.000%, 11/1/2046 | 2,331,557 | |
5,360,485 | 3.000%, 12/1/2046 | 4,832,076 | |
7,628,467 | 3.000%, 5/1/2047 | 6,874,109 | |
9,686,121 | 3.000%, 4/1/2052 | 8,574,670 | |
38,615,739 | 3.000%, 6/1/2052 | 33,955,430 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 117,283 | 3.500%, 6/1/2026 | $ 114,471 | |
163,951 | 3.500%, 6/1/2026 | 159,875 | |
58,036 | 3.500%, 7/1/2026 | 56,496 | |
3,991,951 | 3.500%, 7/1/2042 | 3,736,585 | |
3,624,293 | 3.500%, 9/1/2043 | 3,389,428 | |
1,547,252 | 3.500%, 5/1/2046 | 1,442,558 | |
17,467,814 | 3.500%, 7/1/2046 | 16,209,449 | |
11,006,875 | 3.500%, 11/1/2047 | 10,220,829 | |
5,735,905 | 3.500%, 11/1/2047 | 5,315,526 | |
2,185,518 | 3.500%, 12/1/2047 | 2,014,415 | |
11,269,586 | 3.500%, 12/1/2047 | 10,507,040 | |
6,010,085 | 3.500%, 2/1/2048 | 5,590,271 | |
8,840,792 | 3.500%, 2/1/2048 | 8,253,639 | |
13,295,456 | 3.500%, 12/1/2049 | 12,140,620 | |
8,359,202 | 3.500%, 5/1/2051 | 7,639,461 | |
14,727,969 | 3.500%, 7/1/2051 | 13,469,072 | |
64,770,456 | 3.500%, 4/1/2052 | 58,925,428 | |
7,949,834 | 3.500%, 5/1/2052 | 7,232,423 | |
35,537 | 4.000%, 5/1/2024 | 35,216 | |
349,313 | 4.000%, 8/1/2025 | 344,475 | |
50,742 | 4.000%, 5/1/2026 | 49,932 | |
640,187 | 4.000%, 5/1/2026 | 629,977 | |
690,332 | 4.000%, 12/1/2040 | 668,292 | |
526,632 | 4.000%, 1/1/2042 | 509,296 | |
3,041,946 | 4.000%, 11/1/2047 | 2,912,686 | |
3,055,028 | 4.000%, 5/1/2048 | 2,918,530 | |
31,357,332 | 4.000%, 6/1/2052 | 29,495,732 | |
9,712,710 | 4.000%, 7/1/2052 | 9,120,916 | |
16,882,873 | 4.000%, 8/1/2052 | 15,854,203 | |
28,028 | 4.500%, 7/1/2024 | 27,827 | |
29,884 | 4.500%, 8/1/2024 | 29,670 | |
59,134 | 4.500%, 9/1/2024 | 58,712 | |
33,476 | 4.500%, 9/1/2024 | 33,237 | |
41,400 | 4.500%, 6/1/2025 | 41,084 | |
37,782,312 | 4.500%, 10/1/2037 | 37,554,533 | |
431,103 | 4.500%, 11/1/2039 | 426,962 | |
1,289,777 | 4.500%, 5/1/2040 | 1,277,847 | |
126,896 | 4.500%, 6/1/2040 | 125,729 | |
186,421 | 4.500%, 7/1/2040 | 184,712 | |
388,185 | 4.500%, 8/1/2040 | 384,542 | |
705,892 | 4.500%, 8/1/2040 | 699,334 | |
2,191,274 | 4.500%, 9/1/2040 | 2,171,188 | |
430,341 | 4.500%, 7/1/2041 | 426,398 | |
386,687 | 4.500%, 7/1/2041 | 383,135 | |
274,269 | 4.500%, 7/1/2041 | 271,749 | |
1,766,405 | 4.500%, 10/1/2048 | 1,729,563 | |
9,284,035 | 4.500%, 7/1/2052 | 8,993,932 | |
38,767,645 | 4.500%, 8/1/2052 | 37,404,815 | |
3,982 | 5.000%, 6/1/2023 | 3,970 | |
11,903 | 5.000%, 7/1/2023 | 11,867 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 3,786 | 5.000%, 7/1/2023 | $ 3,775 | |
3,574 | 5.000%, 7/1/2025 | 3,561 | |
792,193 | 5.000%, 1/1/2034 | 795,336 | |
273,753 | 5.000%, 5/1/2034 | 274,841 | |
944 | 5.000%, 11/1/2035 | 950 | |
305,748 | 5.000%, 4/1/2036 | 307,969 | |
377 | 5.000%, 4/1/2036 | 380 | |
5,404 | 5.000%, 4/1/2036 | 5,433 | |
62,012 | 5.000%, 4/1/2036 | 62,479 | |
72,610 | 5.000%, 5/1/2036 | 73,266 | |
52,732 | 5.000%, 6/1/2036 | 53,108 | |
117,692 | 5.000%, 6/1/2036 | 118,280 | |
302,317 | 5.000%, 12/1/2037 | 304,966 | |
50,886 | 5.000%, 5/1/2038 | 51,336 | |
27,506 | 5.000%, 6/1/2038 | 27,747 | |
53,357 | 5.000%, 9/1/2038 | 53,847 | |
50,174 | 5.000%, 2/1/2039 | 50,643 | |
48,245 | 5.000%, 6/1/2039 | 48,724 | |
1,442,862 | 5.000%, 10/1/2039 | 1,458,007 | |
127,787 | 5.000%, 2/1/2040 | 129,192 | |
217,831 | 5.000%, 8/1/2040 | 220,385 | |
37,024,669 | 5.000%, 10/1/2052 | 36,594,028 | |
674,562 | 5.500%, 5/1/2034 | 690,253 | |
21,822 | 5.500%, 3/1/2036 | 22,530 | |
55,209 | 5.500%, 3/1/2036 | 56,856 | |
11,270 | 5.500%, 3/1/2036 | 11,637 | |
80,881 | 5.500%, 3/1/2036 | 83,044 | |
165,429 | 5.500%, 6/1/2036 | 170,774 | |
82,346 | 5.500%, 6/1/2036 | 85,024 | |
31,917 | 5.500%, 6/1/2036 | 32,846 | |
78,584 | 5.500%, 9/1/2037 | 81,177 | |
133,424 | 5.500%, 9/1/2037 | 137,773 | |
93,182 | 5.500%, 12/1/2037 | 96,237 | |
11,710 | 5.500%, 3/1/2038 | 12,108 | |
5,038,742 | 5.500%, 9/1/2052 | 5,070,068 | |
30,000,892 | 5.500%, 12/1/2052 | 30,095,530 | |
7,550 | 6.000%, 7/1/2029 | 7,680 | |
17,743 | 6.000%, 2/1/2032 | 18,268 | |
11,212 | 6.000%, 5/1/2036 | 11,666 | |
31,740 | 6.000%, 8/1/2037 | 33,180 | |
194,765 | 6.000%, 9/1/2037 | 203,128 | |
4,073 | 6.500%, 6/1/2029 | 4,206 | |
1,488 | 6.500%, 7/1/2029 | 1,537 | |
128,839 | 6.500%, 11/1/2036 | 137,043 | |
342,487 | 6.500%, 10/1/2037 | 365,819 | |
1,426 | 6.500%, 4/1/2038 | 1,523 | |
1,173 | 6.500%, 4/1/2038 | 1,254 | |
6,742 | 7.000%, 4/1/2032 | 7,074 | |
106,872 | 7.000%, 4/1/2032 | 113,722 | |
23,282 | 7.000%, 9/1/2037 | 25,380 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 10,781 | 7.500%, 10/1/2029 | $ 11,313 | |
6,253 | 7.500%, 11/1/2029 | 6,574 | |
7,352 | 7.500%, 4/1/2031 | 7,484 | |
10,611 | 7.500%, 5/1/2031 | 11,312 | |
1,432 | 8.000%, 3/1/2030 | 1,516 | |
23,837 | 8.000%, 1/1/2031 | 25,173 | |
25,953 | 8.000%, 2/1/2031 | 27,767 | |
13,338 | 8.000%, 3/1/2031 | 14,229 | |
513 | 8.500%, 9/1/2025 | 527 | |
129 | 8.500%, 9/1/2025 | 132 | |
TOTAL | 1,061,691,814 | ||
Federal National Mortgage Association—54.2% | |||
7,147,266 | 2.000%, 12/1/2034 | 6,419,837 | |
10,384,073 | 2.000%, 7/1/2035 | 9,304,496 | |
6,178,413 | 2.000%, 4/1/2036 | 5,526,423 | |
31,615,733 | 2.000%, 5/1/2036 | 28,220,134 | |
39,770,302 | 2.000%, 7/1/2050 | 32,716,554 | |
8,254,174 | 2.000%, 8/1/2050 | 6,790,196 | |
11,205,848 | 2.000%, 10/1/2050 | 9,218,354 | |
27,099,546 | 2.000%, 11/1/2050 | 22,293,111 | |
12,726,948 | 2.000%, 3/1/2051 | 10,485,577 | |
8,745,286 | 2.000%, 5/1/2051 | 7,177,806 | |
331,975,753 | 2.000%, 5/1/2051 | 272,784,576 | |
18,949,490 | 2.000%, 6/1/2051 | 15,641,863 | |
17,362,971 | 2.000%, 7/1/2051 | 14,272,584 | |
15,649,186 | 2.000%, 10/1/2051 | 12,819,818 | |
126,767,793 | 2.000%, 2/1/2052 | 103,610,525 | |
76,035,957 | 2.000%, 2/1/2052 | 62,407,485 | |
5,639,563 | 2.500%, 9/1/2035 | 5,187,795 | |
23,460,837 | 2.500%, 7/1/2036 | 21,640,112 | |
9,175,016 | 2.500%, 11/1/2036 | 8,434,299 | |
2,651,108 | 2.500%, 12/1/2036 | 2,443,706 | |
2,237,583 | 2.500%, 12/1/2049 | 1,921,051 | |
3,361,383 | 2.500%, 7/1/2050 | 2,879,574 | |
7,003,292 | 2.500%, 9/1/2050 | 5,995,087 | |
15,941,967 | 2.500%, 9/1/2050 | 13,641,955 | |
36,772,583 | 2.500%, 10/1/2050 | 31,375,324 | |
13,884,286 | 2.500%, 11/1/2050 | 11,850,773 | |
17,642,906 | 2.500%, 2/1/2051 | 15,034,088 | |
21,754,650 | 2.500%, 2/1/2051 | 18,537,838 | |
17,689,085 | 2.500%, 4/1/2051 | 15,059,620 | |
15,748,249 | 2.500%, 5/1/2051 | 13,407,287 | |
15,918,494 | 2.500%, 6/1/2051 | 13,604,458 | |
44,709,800 | 2.500%, 9/1/2051 | 38,084,688 | |
17,487,460 | 2.500%, 10/1/2051 | 14,852,444 | |
82,391,309 | 2.500%, 10/1/2051 | 70,182,540 | |
24,917,585 | 2.500%, 1/1/2052 | 21,244,758 | |
8,317,669 | 2.500%, 1/1/2052 | 7,069,559 | |
67,158,053 | 2.500%, 1/1/2052 | 57,080,631 | |
9,148,704 | 2.500%, 2/1/2052 | 7,768,745 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 7,132,438 | 2.500%, 3/1/2052 | $ 6,076,666 | |
33,087,303 | 2.500%, 5/1/2052 | 28,184,417 | |
1,137,581 | 3.000%, 2/1/2032 | 1,079,703 | |
2,421,181 | 3.000%, 8/1/2043 | 2,196,133 | |
1,676,812 | 3.000%, 9/1/2043 | 1,520,953 | |
6,476,044 | 3.000%, 8/1/2046 | 5,835,646 | |
3,074,461 | 3.000%, 9/1/2046 | 2,771,397 | |
2,663,537 | 3.000%, 10/1/2046 | 2,395,153 | |
1,441,572 | 3.000%, 10/1/2046 | 1,288,207 | |
2,863,330 | 3.000%, 11/1/2046 | 2,574,814 | |
2,657,498 | 3.000%, 11/1/2046 | 2,374,774 | |
3,459,043 | 3.000%, 11/1/2046 | 3,111,583 | |
876,457 | 3.000%, 1/1/2047 | 787,595 | |
14,418,928 | 3.000%, 1/1/2047 | 12,966,044 | |
761,348 | 3.000%, 2/1/2047 | 686,298 | |
4,406,276 | 3.000%, 3/1/2047 | 3,962,290 | |
8,739,692 | 3.000%, 3/1/2047 | 7,867,254 | |
1,104,707 | 3.000%, 4/1/2047 | 986,490 | |
5,799,604 | 3.000%, 12/1/2047 | 5,226,096 | |
8,995,879 | 3.000%, 12/1/2047 | 8,109,112 | |
3,567,120 | 3.000%, 2/1/2048 | 3,173,132 | |
1,068,955 | 3.000%, 2/1/2048 | 951,891 | |
1,227,993 | 3.000%, 11/1/2049 | 1,093,129 | |
2,522,791 | 3.000%, 5/1/2051 | 2,244,543 | |
126,210,049 | 3.000%, 5/1/2051 | 111,165,837 | |
44,922,885 | 3.000%, 12/1/2051 | 39,561,069 | |
38,298,503 | 3.000%, 12/1/2051 | 33,847,030 | |
20,191,062 | 3.000%, 4/1/2052 | 17,867,894 | |
73,562 | 3.500%, 11/1/2025 | 71,867 | |
110,331 | 3.500%, 11/1/2025 | 107,789 | |
116,841 | 3.500%, 12/1/2025 | 113,988 | |
130,996 | 3.500%, 1/1/2026 | 127,857 | |
34,939 | 3.500%, 1/1/2026 | 34,102 | |
6,834,464 | 3.500%, 9/1/2042 | 6,391,801 | |
11,043,393 | 3.500%, 7/1/2045 | 10,282,348 | |
4,445,556 | 3.500%, 8/1/2046 | 4,109,187 | |
4,190,591 | 3.500%, 8/1/2046 | 3,901,800 | |
7,258,066 | 3.500%, 9/1/2046 | 6,780,564 | |
4,620,221 | 3.500%, 2/1/2047 | 4,280,165 | |
7,074,931 | 3.500%, 11/1/2047 | 6,556,416 | |
7,328,824 | 3.500%, 12/1/2047 | 6,819,184 | |
3,601,031 | 3.500%, 4/1/2048 | 3,332,613 | |
12,830,587 | 3.500%, 5/1/2051 | 11,906,283 | |
14,767,875 | 3.500%, 7/1/2051 | 13,533,257 | |
48,150,502 | 3.500%, 6/1/2052 | 43,820,342 | |
90,001 | 4.000%, 12/1/2025 | 88,714 | |
117,455 | 4.000%, 7/1/2026 | 115,515 | |
29,917,218 | 4.000%, 11/1/2037 | 29,193,320 | |
1,072,556 | 4.000%, 2/1/2041 | 1,037,887 | |
794,833 | 4.000%, 3/1/2046 | 766,523 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 1,035,134 | 4.000%, 7/1/2046 | $ 997,683 | |
2,291,230 | 4.000%, 11/1/2046 | 2,203,966 | |
3,287,732 | 4.000%, 10/1/2047 | 3,147,412 | |
5,108,417 | 4.000%, 10/1/2047 | 4,891,349 | |
2,734,990 | 4.000%, 11/1/2047 | 2,614,501 | |
2,937,864 | 4.000%, 1/1/2048 | 2,821,519 | |
3,348,286 | 4.000%, 2/1/2048 | 3,201,825 | |
3,748,467 | 4.000%, 2/1/2048 | 3,584,500 | |
7,305,599 | 4.000%, 2/1/2048 | 6,995,167 | |
1,199,640 | 4.000%, 2/1/2048 | 1,142,667 | |
3,174,312 | 4.000%, 2/1/2048 | 3,032,981 | |
1,982,294 | 4.000%, 3/1/2048 | 1,888,150 | |
1,205,476 | 4.000%, 3/1/2048 | 1,154,064 | |
2,878,166 | 4.000%, 5/1/2048 | 2,746,872 | |
677,854 | 4.000%, 6/1/2048 | 646,932 | |
2,519,405 | 4.000%, 6/1/2048 | 2,404,477 | |
1,392,087 | 4.000%, 7/1/2048 | 1,323,255 | |
14,452,674 | 4.000%, 4/1/2052 | 13,617,240 | |
12,738,535 | 4.000%, 5/1/2052 | 11,970,340 | |
35,273,888 | 4.000%, 7/1/2052 | 33,135,680 | |
28,681,841 | 4.000%, 7/1/2052 | 26,952,188 | |
16,858,380 | 4.000%, 9/1/2052 | 15,831,203 | |
91,895 | 4.500%, 2/1/2039 | 90,955 | |
486,186 | 4.500%, 5/1/2040 | 481,706 | |
1,215,687 | 4.500%, 10/1/2040 | 1,204,541 | |
147,816 | 4.500%, 11/1/2040 | 146,460 | |
1,600,742 | 4.500%, 4/1/2041 | 1,586,057 | |
794,050 | 4.500%, 6/1/2041 | 786,762 | |
13,000,336 | 4.500%, 5/1/2052 | 12,547,388 | |
6,928,268 | 4.500%, 6/1/2052 | 6,684,713 | |
8,163,091 | 4.500%, 8/1/2052 | 7,878,679 | |
17,363 | 5.000%, 5/1/2023 | 17,310 | |
4,703 | 5.000%, 8/1/2023 | 4,688 | |
45,812 | 5.000%, 11/1/2023 | 45,617 | |
1,031,129 | 5.000%, 2/1/2036 | 1,038,327 | |
567,414 | 5.000%, 7/1/2040 | 573,923 | |
570,834 | 5.000%, 10/1/2041 | 577,843 | |
42,572,829 | 5.000%, 8/1/2052 | 42,037,079 | |
25,164 | 5.500%, 1/1/2032 | 25,679 | |
16,471 | 5.500%, 1/1/2032 | 16,817 | |
247,244 | 5.500%, 9/1/2034 | 253,613 | |
681,554 | 5.500%, 12/1/2034 | 699,120 | |
22,083 | 5.500%, 4/1/2035 | 22,637 | |
292,088 | 5.500%, 11/1/2035 | 300,515 | |
135,926 | 5.500%, 1/1/2036 | 139,898 | |
50,734 | 5.500%, 3/1/2036 | 52,235 | |
230,897 | 5.500%, 4/1/2036 | 237,577 | |
351,840 | 5.500%, 4/1/2036 | 362,258 | |
191,599 | 5.500%, 5/1/2036 | 197,864 | |
73,637 | 5.500%, 9/1/2036 | 75,834 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 244,748 | 5.500%, 8/1/2037 | $ 252,161 | |
124,337 | 5.500%, 7/1/2038 | 128,419 | |
349,531 | 5.500%, 4/1/2041 | 361,523 | |
9,818,082 | 5.500%, 9/1/2052 | 9,885,871 | |
8,862,705 | 5.500%, 11/1/2052 | 8,890,662 | |
5,799 | 6.000%, 1/1/2029 | 5,899 | |
7,546 | 6.000%, 2/1/2029 | 7,676 | |
2,513 | 6.000%, 2/1/2029 | 2,548 | |
3,538 | 6.000%, 4/1/2029 | 3,614 | |
9,076 | 6.000%, 5/1/2029 | 9,271 | |
4,567 | 6.000%, 5/1/2029 | 4,649 | |
394,791 | 6.000%, 7/1/2034 | 409,706 | |
212,757 | 6.000%, 11/1/2034 | 220,560 | |
98,917 | 6.000%, 7/1/2036 | 103,345 | |
26,051 | 6.000%, 7/1/2036 | 27,153 | |
94,847 | 6.000%, 10/1/2037 | 99,224 | |
39,527 | 6.000%, 6/1/2038 | 41,408 | |
510,714 | 6.000%, 7/1/2038 | 534,479 | |
46,113 | 6.000%, 9/1/2038 | 48,276 | |
30,584 | 6.000%, 10/1/2038 | 32,082 | |
289,552 | 6.000%, 2/1/2039 | 303,858 | |
12,823 | 6.500%, 9/1/2028 | 13,046 | |
2,196 | 6.500%, 8/1/2029 | 2,262 | |
4,232 | 6.500%, 6/1/2031 | 4,412 | |
11,550 | 6.500%, 6/1/2031 | 12,002 | |
1,726 | 6.500%, 6/1/2031 | 1,794 | |
1,879 | 6.500%, 6/1/2031 | 1,912 | |
2,380 | 6.500%, 1/1/2032 | 2,478 | |
35,242 | 6.500%, 3/1/2032 | 36,811 | |
112,949 | 6.500%, 4/1/2032 | 118,164 | |
14,558 | 6.500%, 5/1/2032 | 15,270 | |
140,914 | 6.500%, 7/1/2036 | 149,733 | |
3,095 | 6.500%, 8/1/2036 | 3,267 | |
12,850 | 6.500%, 9/1/2036 | 13,724 | |
23,422 | 6.500%, 12/1/2036 | 24,898 | |
58,267 | 6.500%, 9/1/2037 | 62,359 | |
193 | 6.500%, 12/1/2037 | 206 | |
31,289 | 6.500%, 10/1/2038 | 33,453 | |
40 | 7.000%, 7/1/2023 | 40 | |
454 | 7.000%, 2/1/2024 | 454 | |
171 | 7.000%, 5/1/2024 | 172 | |
781 | 7.000%, 7/1/2024 | 787 | |
577 | 7.000%, 7/1/2025 | 584 | |
7,725 | 7.000%, 9/1/2031 | 8,135 | |
5,007 | 7.000%, 9/1/2031 | 5,314 | |
76,816 | 7.000%, 11/1/2031 | 81,622 | |
5,405 | 7.000%, 12/1/2031 | 5,739 | |
21,382 | 7.000%, 1/1/2032 | 21,594 | |
23,595 | 7.000%, 2/1/2032 | 25,027 | |
24,438 | 7.000%, 3/1/2032 | 25,968 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 45,741 | 7.000%, 3/1/2032 | $ 47,592 | |
4,741 | 7.000%, 4/1/2032 | 5,044 | |
13,915 | 7.000%, 4/1/2032 | 14,675 | |
101,615 | 7.000%, 4/1/2032 | 108,218 | |
152,494 | 7.000%, 6/1/2037 | 166,098 | |
735 | 7.500%, 1/1/2030 | 774 | |
5,755 | 7.500%, 9/1/2030 | 6,078 | |
5,637 | 7.500%, 5/1/2031 | 5,985 | |
2,317 | 7.500%, 6/1/2031 | 2,465 | |
21,795 | 7.500%, 8/1/2031 | 23,240 | |
32,483 | 7.500%, 1/1/2032 | 33,980 | |
2,663 | 7.500%, 6/1/2033 | 2,777 | |
528 | 8.000%, 10/1/2026 | 530 | |
1,333 | 8.000%, 11/1/2029 | 1,411 | |
141 | 9.000%, 6/1/2025 | 144 | |
TOTAL | 1,727,115,031 | ||
Government National Mortgage Association—2.4% | |||
6,101,695 | 3.000%, 1/20/2047 | 5,525,163 | |
44,688,912 | 3.000%, 9/20/2050 | 39,851,905 | |
702,235 | 3.500%, 8/15/2043 | 657,663 | |
455,129 | 3.500%, 8/15/2043 | 426,241 | |
8,402,468 | 3.500%, 3/20/2047 | 7,795,448 | |
10,488,328 | 3.500%, 11/20/2047 | 9,724,064 | |
647,404 | 4.000%, 9/15/2040 | 621,404 | |
1,749,591 | 4.000%, 10/15/2040 | 1,681,147 | |
827,897 | 4.000%, 1/15/2041 | 794,766 | |
1,095,551 | 4.000%, 10/15/2041 | 1,051,249 | |
2,991,085 | 4.000%, 6/15/2048 | 2,849,002 | |
174,455 | 4.500%, 1/15/2039 | 171,535 | |
110,554 | 4.500%, 6/15/2039 | 108,785 | |
488,801 | 4.500%, 10/15/2039 | 481,052 | |
186,219 | 4.500%, 1/15/2040 | 183,256 | |
108,644 | 4.500%, 6/15/2040 | 106,944 | |
66,063 | 4.500%, 9/15/2040 | 65,019 | |
97,540 | 4.500%, 2/15/2041 | 96,018 | |
557,491 | 4.500%, 3/15/2041 | 548,754 | |
48,490 | 4.500%, 5/15/2041 | 47,723 | |
1,819,376 | 4.500%, 6/20/2041 | 1,800,788 | |
348,826 | 4.500%, 9/15/2041 | 344,123 | |
359,386 | 4.500%, 10/15/2043 | 354,091 | |
320,776 | 5.000%, 1/15/2039 | 321,506 | |
244,757 | 5.000%, 5/15/2039 | 245,431 | |
339,606 | 5.000%, 8/20/2039 | 342,812 | |
114,866 | 5.500%, 12/15/2038 | 117,778 | |
82,595 | 5.500%, 12/20/2038 | 84,979 | |
161,648 | 5.500%, 1/15/2039 | 166,138 | |
162,788 | 5.500%, 2/15/2039 | 167,268 | |
5,558 | 6.000%, 10/15/2028 | 5,653 | |
4,326 | 6.000%, 3/15/2029 | 4,417 | |
53,975 | 6.000%, 2/15/2036 | 56,144 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$ 93,274 | 6.000%, 4/15/2036 | $ 97,209 | |
77,758 | 6.000%, 6/15/2037 | 81,018 | |
9,168 | 6.500%, 10/15/2028 | 9,416 | |
3,570 | 6.500%, 10/15/2028 | 3,603 | |
4,034 | 6.500%, 11/15/2028 | 4,132 | |
4,206 | 6.500%, 12/15/2028 | 4,303 | |
2,213 | 6.500%, 2/15/2029 | 2,274 | |
9,008 | 6.500%, 3/15/2029 | 9,217 | |
21,330 | 6.500%, 9/15/2031 | 22,119 | |
49,385 | 6.500%, 2/15/2032 | 51,337 | |
7,778 | 7.000%, 11/15/2027 | 7,962 | |
4,967 | 7.000%, 6/15/2028 | 5,114 | |
9,088 | 7.000%, 11/15/2028 | 9,348 | |
6,138 | 7.000%, 1/15/2029 | 6,325 | |
6,066 | 7.000%, 5/15/2029 | 6,282 | |
453 | 7.000%, 10/15/2029 | 459 | |
17,597 | 7.000%, 5/15/2030 | 18,225 | |
12,332 | 7.000%, 11/15/2030 | 12,833 | |
7,565 | 7.000%, 12/15/2030 | 7,817 | |
9,135 | 7.000%, 8/15/2031 | 9,511 | |
34,883 | 7.000%, 10/15/2031 | 36,481 | |
9,485 | 7.000%, 12/15/2031 | 9,951 | |
7,993 | 7.500%, 8/15/2029 | 8,336 | |
33,639 | 7.500%, 10/15/2029 | 35,156 | |
1,557 | 7.500%, 10/15/2030 | 1,627 | |
5,948 | 7.500%, 1/15/2031 | 6,286 | |
677 | 8.000%, 8/15/2029 | 714 | |
2,080 | 8.000%, 10/15/2029 | 2,194 | |
7,469 | 8.000%, 11/15/2029 | 7,883 | |
6,826 | 8.000%, 1/15/2030 | 7,165 | |
2,734 | 8.000%, 10/15/2030 | 2,881 | |
62,986 | 8.000%, 11/15/2030 | 66,821 | |
3,068 | 8.500%, 5/15/2029 | 3,252 | |
TOTAL | 77,355,517 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $2,955,245,523) | 2,866,162,362 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—4.4% | |||
Non-Agency Mortgage-Backed Securities—4.4% | |||
460,152 | Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 | 288,713 | |
221,662 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 23,072 | |
35,944,375 | GS Mortgage-Backed Securities 2022-PJ3, Class A4, 2.500%, 8/25/2052 | 28,763,925 | |
37,409,743 | JP Morgan Mortgage Trust 2022-1, Class A2, 3.000%, 7/25/2052 | 31,289,740 | |
37,398,256 | JP Morgan Mortgage Trust 2022-2, Class A3, 2.500%, 8/25/2052 | 29,903,997 | |
42,621,064 | JP Morgan Mortgage Trust 2022-3, Class A3, 2.500%, 8/25/2052 | 34,080,204 | |
138,138 | Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 3.748%, 8/25/2035 | 122,417 | |
1,784,903 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | 1,463,865 | |
3,039,115 | Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 | 2,477,958 | |
14,827,125 | Sequoia Mortgage Trust 2021-3, Class A1, 2.500%, 5/25/2051 | 11,930,044 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $165,958,227) | 140,343,935 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—2.8% | |||
Auto Receivables—0.0% | |||
$ 522,911 | Tesla Auto Lease Trust 2020-A, Class A3, 0.680%, 12/20/2023 | $ 521,179 | |
Single Family Rental Securities—1.6% | |||
14,739,416 | Home Partners of America Trust 2022-1, Class B, 4.330%, 4/17/2039 | 13,509,930 | |
16,726,000 | Progress Residential Trust 2022-SFR1, Class E1, 3.930%, 2/17/2041 | 13,082,010 | |
14,000,000 | Progress Residential Trust 2022-SFR2, Class D, 3.945%, 4/17/2027 | 12,707,729 | |
14,808,453 | Progress Residential Trust 2022-SFR4, Class B, 4.788%, 5/17/2041 | 13,310,071 | |
TOTAL | 52,609,740 | ||
Student Loans—1.2% | |||
4,237,524 | Navient Student Loan Trust 2020-FA, Class A, 1.220%, 7/15/2069 | 3,874,486 | |
8,700,256 | Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 | 7,499,444 | |
7,136,133 | Navient Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 | 6,340,469 | |
8,998,589 | 1 | SMB Private Education Loan Trust 2018-A, Class A2B, 5.117% (1-month USLIBOR +0.800%), 2/15/2036 | 8,755,088 |
10,985,330 | 1 | SMB Private Education Loan Trust 2020-BA, Class A1B, 5.417% (1-month USLIBOR +1.100%), 7/15/2053 | 10,752,745 |
TOTAL | 37,222,232 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $100,193,602) | 90,353,151 | ||
INVESTMENT COMPANY—3.7% | |||
117,293,489 | Federated Hermes Government Obligations Fund, Premier Shares, 4.15%2 (IDENTIFIED COST $117,293,489) | 117,293,489 | |
TOTAL INVESTMENT IN SECURITIES—100.9% (IDENTIFIED COST $3,338,690,841)3 | 3,214,152,937 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.9)%4 | (29,876,844) | ||
TOTAL NET ASSETS—100% | $3,184,276,093 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
United States Treasury Notes 10-Year Ultra Long Futures | 300 | $35,484,375 | March 2023 | $(764,768) |
United States Treasury Notes 10-Year Long Futures | 250 | $28,074,219 | March 2023 | $(466,025) |
Short Futures: | ||||
United States Treasury Ultra Bond Short Futures | 100 | $13,431,250 | March 2023 | $87,943 |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(1,142,850) |
Federated Hermes Government Obligations Fund, Premier Shares | |
Value as of 12/31/2021 | $1,233,856,835 |
Purchases at Cost | $2,978,910,262 |
Proceeds from Sales | $(4,095,473,608) |
Change in Unrealized Appreciation/Depreciation | $— |
Net Realized Gain/(Loss) | $— |
Value as of 12/31/2022 | $117,293,489 |
Shares Held as of 12/31/2022 | 117,293,489 |
Dividend Income | $3,373,291 |
1 | Floating/variable note with current rate and current maturity or next reset date shown. |
2 | 7-day net yield. |
3 | The cost of investments for federal tax purposes amounts to $3,338,473,621. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of December 31, 2022, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Mortgage-Backed Securities | $— | $2,866,162,362 | $— | $2,866,162,362 |
Collateralized Mortgage Obligations | — | 140,343,935 | — | 140,343,935 |
Asset-Backed Securities | — | 90,353,151 | — | 90,353,151 |
Investment Company | 117,293,489 | — | — | 117,293,489 |
TOTAL SECURITIES | $117,293,489 | $3,096,859,448 | $— | $3,214,152,937 |
Other Financial Instruments:1 | ||||
Assets | $87,943 | $— | $— | $87,943 |
Liabilities | (1,230,793) | — | — | (1,230,793) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(1,142,850) | $— | $— | $(1,142,850) |
1 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
LIBOR | —London Interbank Offered Rate |
Year Ended December 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | |
Net Asset Value, Beginning of Period | $9.76 | $10.07 | $9.88 | $9.60 | $9.80 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.25 | 0.17 | 0.24 | 0.32 | 0.30 |
Net realized and unrealized gain (loss) | (1.37) | (0.26) | 0.22 | 0.28 | (0.20) |
TOTAL FROM INVESTMENT OPERATIONS | (1.12) | (0.09) | 0.46 | 0.60 | 0.10 |
Less Distributions: | |||||
Distributions from net investment income | (0.26) | (0.22) | (0.27) | (0.32) | (0.30) |
Net Asset Value, End of Period | $8.38 | $9.76 | $10.07 | $9.88 | $9.60 |
Total Return2 | (11.57)% | (0.89)% | 4.70% | 6.33% | 1.10% |
Ratios to Average Net Assets: | |||||
Net expenses3 | 0.02% | 0.02% | 0.02% | 0.03% | 0.03% |
Net investment income | 2.78% | 1.72% | 2.42% | 3.25% | 3.18% |
Expense waiver/reimbursement4 | —% | —% | —% | —% | —% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $3,184,276 | $3,204,459 | $2,143,118 | $2,528,865 | $2,815,951 |
Portfolio turnover5 | 204% | 351% | 257% | 130% | 109% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions)5 | 123% | 65% | 72% | 100% | 109% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
5 | Securities that mature are considered sales for purposes of this calculation. |
December 31, 2022
Assets: | |
Investment in securities, at value including $117,293,489 of investments in an affiliated holding* (identified cost $3,338,690,841) | $3,214,152,937 |
Due from broker (Note 2) | 1,027,500 |
Income receivable | 8,295,042 |
Income receivable from an affiliated holding | 447,907 |
Total Assets | 3,223,923,386 |
Liabilities: | |
Payable for investments purchased | 29,773,895 |
Payable for variation margin on futures contracts | 3,904 |
Income distribution payable | 9,713,947 |
Accrued expenses (Note 5) | 155,547 |
Total Liabilities | 39,647,293 |
Net assets for 379,865,050 shares outstanding | $3,184,276,093 |
Net Assets Consist of: | |
Paid-in capital | $3,671,066,599 |
Total distributable earnings (loss) | (486,790,506) |
Total Net Assets | $3,184,276,093 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$3,184,276,093 ÷ 379,865,050 shares outstanding, no par value, unlimited shares authorized | $8.38 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31, 2022
Investment Income: | |
Interest | $94,023,824 |
Dividends received from an affiliated holding* | 3,373,291 |
TOTAL INCOME | 97,397,115 |
Expenses: | |
Administrative fee (Note 5) | 4,837 |
Custodian fees | 146,911 |
Transfer agent fees | 212,324 |
Directors’/Trustees’ fees (Note 5) | 21,401 |
Auditing fees | 32,199 |
Legal fees | 9,422 |
Portfolio accounting fees | 257,815 |
Printing and postage | 19,642 |
Miscellaneous (Note 5) | 29,569 |
TOTAL EXPENSES | 734,120 |
Net investment income | 96,662,995 |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net realized loss on investments | (306,588,703) |
Net realized gain on futures contracts | 52 |
Net change in unrealized appreciation of investments | (167,777,609) |
Net change in unrealized appreciation of futures contracts | (1,142,850) |
Net realized and unrealized gain (loss) on investments and futures contracts | (475,509,110) |
Change in net assets resulting from operations | $(378,846,115) |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2022 | 2021 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $96,662,995 | $43,750,066 |
Net realized gain (loss) | (306,588,651) | (9,894,595) |
Net change in unrealized appreciation/depreciation | (168,920,459) | (58,278,254) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (378,846,115) | (24,422,783) |
Distributions to Shareholders | (102,200,096) | (56,034,731) |
Share Transactions: | ||
Proceeds from sale of shares | 2,040,715,935 | 1,365,048,740 |
Net asset value of shares issued to shareholders in payment of distributions declared | 13,900,330 | 8,562,706 |
Cost of shares redeemed | (1,593,752,933) | (231,813,060) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 460,863,332 | 1,141,798,386 |
Change in net assets | (20,182,879) | 1,061,340,872 |
Net Assets: | ||
Beginning of period | 3,204,458,972 | 2,143,118,100 |
End of period | $3,184,276,093 | $3,204,458,972 |
Fair Value of Derivative Instruments | ||
Liabilities | ||
Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||
Interest rate contracts | Payable for variation margin on futures contracts | $1,142,850* |
* | Includes cumulative net depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $52 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(1,142,850) |
Year Ended 12/31/2022 | Year Ended 12/31/2021 | |
Shares sold | 229,727,001 | 137,902,805 |
Shares issued to shareholders in payment of distributions declared | 1,598,040 | 864,504 |
Shares redeemed | (179,640,289) | (23,434,485) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 51,684,752 | 115,332,824 |
2022 | 2021 | |
Ordinary income | $102,200,096 | $56,034,731 |
Undistributed ordinary income | $100,877 |
Net unrealized depreciation | $(124,320,684) |
Capital loss carryforwards | $(362,570,699) |
TOTAL | $(486,790,506) |
Short-Term | Long-Term | Total |
$285,947,761 | $76,622,938 | $362,570,699 |
Purchases | $230,629,412 |
Sales | $83,749,152 |
February 22, 2023
Beginning Account Value 7/1/2022 | Ending Account Value 12/31/2022 | Expenses Paid During Period1 | |
Actual | $1,000 | $965.80 | $0.10 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,025.10 | $0.10 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 0.02%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). |
Annual Evaluation of Adequacy and Effectiveness
IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) 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 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Exhibits |
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
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.
Registrant Federated Hermes Managed Pool Series
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date August 22, 2023
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/ J. Christopher Donahue
J. Christopher Donahue
Principal Executive Officer
Date August 22, 2023
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date August 22, 2023