Federated Hermes SDG Engagement High Yield Credit Fund
Portfolio of Investments
May 31, 2022 (unaudited)
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
CORPORATE BONDS—66.4% | |||
Automotive—2.4% | |||
EUR 230,000 | Faurecia, Sr. Unsecd. Note, 2.375%, 6/15/2027 | $206,146 | |
100,000 | Goodyear Europe B.V., Sr. Unsecd. Note, REGS, 2.750%, 8/15/2028 | 89,092 | |
250,000 | LKQ Italia Bondco Di Lkq, Sr. Unsecd. Note, REGS, 3.875%, 4/1/2024 | 274,426 | |
525,000 | Volvo Car AB, Sr. Unsecd. Note, Series EMTN, 2.000%, 1/24/2025 | 543,936 | |
TOTAL | 1,113,600 | ||
Banking—11.0% | |||
200,000 | 1 | ABN Amro Bank NV, Jr. Sub. Deb., 4.750%, 9/22/2027 | 204,021 |
$ 200,000 | Akbank TAS, Sr. Unsecd. Note, REGS, 5.125%, 3/31/2025 | 181,401 | |
250,000 | 1 | Ally Financial, Inc., Jr. Sub. Note, Series C, 4.700%, 5/15/2028 | 200,293 |
EUR 100,000 | Alpha Bank AE, Sub., 5.500%, 6/11/2031 | 93,156 | |
$ 200,000 | 1 | Argentum Netherlands B.V., Sub., 4.625%, 8/15/2022 | 191,632 |
200,000 | Banco Btg Pactual/Cayman, Sub., REGS, 7.750%, 2/15/2029 | 205,447 | |
200,000 | 1 | Banco Mercantil De Norte, Jr. Sub. Deb., REGS, 7.500%, 6/27/2029 | 190,497 |
EUR 300,000 | Bank of Ireland Group PLC, Sub. Note, Series EMTN, 1.375%, 8/11/2031 | 286,447 | |
$ 200,000 | Bank of Ireland Group PLC, Sub., Series EMTN, 4.125%, 9/19/2027 | 198,639 | |
400,000 | 1 | BNP Paribas, Jr. Sub. Note, REGS, 4.500%, 2/25/2030 | 338,550 |
EUR 200,000 | Cellnex Finance Co. SA, Series EMTN, 2.000%, 2/15/2033 | 159,594 | |
$ 175,000 | CIT Group, Inc., Sub., 6.125%, 3/9/2028 | 187,378 | |
EUR 400,000 | 1 | Commerzbank AG, Jr. Sub. Note, 4.250%, 10/9/2027 | 370,565 |
200,000 | 1 | Cooperatieve Rabobank UA, Jr. Sub. Note, 3.250%, 12/29/2026 | 190,877 |
$ 400,000 | 1 | Credit Suisse Group AG, Jr. Sub. Note, REGS, 4.500%, 1/24/2030 | 315,583 |
EUR 100,000 | Deutsche Bank AG, Sr. Unsecd. Note, Series EMTN, 5.625%, 5/19/2031 | 111,076 | |
$ 200,000 | 1 | DNB Bank ASA, Jr. Sub. Note, Series -, 4.875%, 11/12/2024 | 194,875 |
300,000 | 1 | ING Groep N.V., Jr. Sub. Note, Series NC10, 4.250%, 5/16/2031 | 227,896 |
EUR 480,000 | 1 | Intesa Sanpaolo SpA, Jr. Sub. Note, 4.125%, 2/27/2030 | 405,593 |
$ 200,000 | Itau Unibanco Holding SA, Sub. Deb., REGS, 4.500%, 11/21/2029 | 192,300 | |
400,000 | 1 | NatWest Markets plc, Jr. Sub. Note, 4.600%, 6/28/2031 | 323,058 |
200,000 | 1 | UBS Group AG, Jr. Sub. Note, REGS, 4.375%, 2/10/2031 | 162,590 |
EUR 200,000 | 1 | UniCredit SpA, Jr. Sub. Note, Series EMTN, 3.875%, 6/3/2027 | 175,525 |
TOTAL | 5,106,993 | ||
Basic Industries—7.7% | |||
$ 325,000 | Alcoa Nederland Holding B.V., Sr. Unsecd. Note, 144A, 4.125%, 3/31/2029 | 310,149 | |
150,000 | Ashland LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/1/2031 | 129,004 | |
EUR 150,000 | Ashland Services B.V., Sr. Unsecd. Note, REGS, 2.000%, 1/30/2028 | 145,936 | |
$ 400,000 | Cemex SAB de CV, REGS, 3.875%, 7/11/2031 | 339,564 | |
45,000 | CF Industries Holdings, Inc., Sr. Unsecd. Note, 4.950%, 6/1/2043 | 43,531 | |
45,000 | CF Industries Holdings, Inc., Sr. Unsecd. Note, 5.150%, 3/15/2034 | 46,270 | |
40,000 | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 7.000%, 3/15/2027 | 41,033 | |
EUR 100,000 | Graphic Packaging International Corp., Sr. Unsecd. Note, REGS, 2.625%, 2/1/2029 | 93,407 | |
100,000 | Graphic Packaging International, LLC, Unsecd. Note, 144A, 2.625%, 2/1/2029 | 93,407 | |
$ 200,000 | GUSAP III L.P., Sr. Unsecd. Note, REGS, 4.250%, 1/21/2030 | 192,613 | |
320,000 | Huntsman International LLC, Sr. Unsecd. Note, 2.950%, 6/15/2031 | 279,331 | |
116,000 | Novelis Corporation, Sr. Unsecd. Note, 144A, 3.875%, 8/15/2031 | 101,518 | |
210,000 | Novelis Corporation, Sr. Unsecd. Note, 144A, 4.750%, 1/30/2030 | 199,541 |
1
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Basic Industries—continued | |||
EUR 300,000 | Olympus Water US Holding Corp., Sr. Unsecd. Note, REGS, 5.375%, 10/1/2029 | $261,934 | |
$ 200,000 | Orbia Advance Corp. SAB de CV, Sr. Unsecd. Note, REGS, 2.875%, 5/11/2031 | 165,005 | |
EUR 100,000 | Sappi Papier Holding GmbH, Sr. Unsecd. Note, REGS, 3.125%, 4/15/2026 | 99,025 | |
100,000 | 1 | Solvay S.A., Jr. Sub. Note, 2.500%, 12/2/2025 | 98,670 |
$ 200,000 | SPCM SA, Sr. Unsecd. Note, 144A, 3.375%, 3/15/2030 | 164,632 | |
200,000 | Summit Digitel Infrastructure, 144A, 2.875%, 8/12/2031 | 160,057 | |
250,000 | Suzano Austria GmbH, Sr. Unsecd. Note, 5.000%, 1/15/2030 | 242,924 | |
200,000 | Suzano Austria GmbH, Sr. Unsecd. Note, Series DM3N, 3.125%, 1/15/2032 | 167,751 | |
97,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., Sr. Unsecd. Note, 144A, 5.125%, 8/1/2030 | 89,623 | |
89,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., Sr. Unsecd. Note, 144A, 5.875%, 6/15/2027 | 89,351 | |
TOTAL | 3,554,276 | ||
Capital Goods—9.5% | |||
200,000 | ARD Finance SA, Sec. Fac. Bond, 144A, 6.500%, 6/30/2027 | 157,351 | |
EUR 100,000 | Ardagh Metal Packaging, Sr. Unsecd. Note, REGS, 3.000%, 9/1/2029 | 85,494 | |
GBP 600,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, REGS, 4.750%, 7/15/2027 | 599,477 | |
$ 625,000 | Ball Corp., Sr. Unsecd. Note, 2.875%, 8/15/2030 | 541,622 | |
EUR 100,000 | Berry Global, Inc., Sec. Fac. Bond, REGS, 1.500%, 1/15/2027 | 98,447 | |
300,000 | Berry Global, Inc., Term Loan—1st Lien, REGS, 1.000%, 1/15/2025 | 305,961 | |
500,000 | Crown European Holdings SA, Sr. Unsecd. Note, REGS, 2.875%, 2/1/2026 | 527,381 | |
$ 250,000 | Klabin Austria Gmbh, Sr. Unsecd. Note, 144A, 3.200%, 1/12/2031 | 205,552 | |
400,000 | Klabin Austria Gmbh, Sr. Unsecd. Note, REGS, 3.200%, 1/12/2031 | 328,884 | |
EUR 100,000 | Rexel S.A., Sr. Unsecd. Note, 2.125%, 12/15/2028 | 93,936 | |
200,000 | Rexel S.A., Sr. Unsecd. Note, 2.125%, 6/15/2028 | 192,205 | |
$ 375,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/1/2027 | 354,351 | |
EUR 102,000 | Sig Combibloc Purchaser, Sr. Unsecd. Note, 144A, 2.125%, 6/18/2025 | 108,407 | |
250,000 | Sig Combibloc Purchaser, Sr. Unsecd. Note, REGS, 2.125%, 6/18/2025 | 265,703 | |
300,000 | Smurfit Kappa Treasury Unlimited Company, Sr. Unsecd. Note, 1.000%, 9/22/2033 | 255,945 | |
100,000 | Trivium Packaging Finance BV, Sec. Fac. Bond, REGS, 3.750%, 8/15/2026 | 103,218 | |
200,000 | Verallia, Sr. Unsecd. Note, 1.875%, 11/10/2031 | 178,746 | |
TOTAL | 4,402,680 | ||
Consumer Goods—1.9% | |||
200,000 | Arcelik AS, Sr. Unsecd. Note, 3.000%, 5/27/2026 | 191,010 | |
GBP 200,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.125%, 7/1/2027 | 258,499 | |
$ 100,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 87,985 | |
83,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 4.500%, 9/15/2031 | 72,948 | |
318,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 4.625%, 4/15/2030 | 285,712 | |
TOTAL | 896,154 | ||
Consumer Non-Cyclical—1.6% | |||
460,000 | Hanesbrands, Inc., Sr. Unsecd. Note, 144A, 4.875%, 5/15/2026 | 455,858 | |
342,000 | Levi Strauss & Co., Sr. Unsecd. Note, 144A, 3.500%, 3/1/2031 | 300,982 | |
TOTAL | 756,840 | ||
Energy—3.6% | |||
300,000 | Aker BP ASA, Sr. Unsecd. Note, REGS, 3.750%, 1/15/2030 | 279,904 | |
GBP 100,000 | 1 | BP Capital Markets PLC, Sub., 4.250%, 3/22/2027 | 120,002 |
$ 100,000 | DCP Midstream Operating LP, Sr. Unsecd. Note, 5.375%, 7/15/2025 | 102,622 | |
275,000 | EnLink Midstream Partners LP, Sr. Unsecd. Note, 5.450%, 6/1/2047 | 220,777 | |
32,000 | EnLink Midstream Partners LP, Sr. Unsecd. Note, 5.600%, 4/1/2044 | 26,033 | |
200,000 | Enterprise Products Operating LLC, Jr. Sub. Deb., 5.375%, 2/15/2078 | 170,887 |
2
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Energy—continued | |||
$ 300,000 | EQT Corp., Sr. Unsecd. Note, 3.900%, 10/1/2027 | $289,593 | |
39,000 | EQT Corp., Sr. Unsecd. Note, 7.500%, 2/1/2030 | 43,391 | |
387,000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | 394,730 | |
TOTAL | 1,647,939 | ||
Financial Services—1.3% | |||
230,000 | 1 | Barclays Bank plc, Jr. Sub. Deb., 6.278%, 12/15/2034 | 268,392 |
400,000 | China Ping An Insurance Overseas (Holdings) Ltd., Sr. Secd. Note, Series EMTN, 2.850%, 8/12/2031 | 328,182 | |
TOTAL | 596,574 | ||
Health Care—3.5% | |||
419,000 | Centene Corp., 2.500%, 3/1/2031 | 357,864 | |
50,000 | Centene Corp., Sr. Unsecd. Note, 2.625%, 8/1/2031 | 42,988 | |
EUR 200,000 | 1 | Eurofins Scientific SE, Jr. Sub. Note, 3.250%, 11/13/2025 | 201,398 |
480,000 | Grifols Escrow Issuer SA, Sr. Unsecd. Note, REGS, 3.875%, 10/15/2028 | 463,759 | |
$ 50,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 37,460 | |
EUR 400,000 | Iqvia, Inc., Sr. Unsecd. Note, REGS, 2.250%, 3/15/2029 | 375,241 | |
$ 149,000 | Mozart Debt Merger Sub, Inc., Sec. Fac. Bond, 144A, 3.875%, 4/1/2029 | 134,703 | |
TOTAL | 1,613,413 | ||
Home Products & Furnishings—0.2% | |||
EUR 100,000 | Nobel Bidco BV, Sr. Note, REGS, 3.125%, 6/15/2028 | 84,810 | |
Insurance—1.9% | |||
100,000 | 1 | Caisse Nat Reassurance, Jr. Sub. Note, 6.375%, 5/28/2024 | 113,095 |
GBP 325,000 | 1 | Phoenix Group Holdings PLC, Jr. Sub. Deb., 5.750%, 4/26/2028 | 381,474 |
EUR 200,000 | 1 | UnipolSai Assicurazioni SpA, Jr. Sub. Note, 6.375%, 4/27/2030 | 207,409 |
$ 200,000 | Zurich Finance Ireland, Sub. Note, Series EMTN, 3.000%, 4/19/2051 | 165,075 | |
TOTAL | 867,053 | ||
Media—3.1% | |||
EUR 300,000 | Altice France Holding SA, Sr. Unsecd. Note, REGS, 4.000%, 2/15/2028 | 254,814 | |
100,000 | Lagardere S.C.A., Sr. Unsecd. Note, 1.750%, 10/7/2027 | 102,158 | |
450,000 | Netflix, Inc., Sr. Unsecd. Note, REGS, 3.625%, 6/15/2030 | 456,244 | |
$ 230,000 | UPC Broadband Finco BV, Sr. Note, 144A, 4.875%, 7/15/2031 | 211,241 | |
EUR 100,000 | VZ Vendor Financing B.V., Sr. Unsecd. Note, REGS, 2.875%, 1/15/2029 | 89,079 | |
391,000 | Ziggo Bond Co. BV, Sr. Unsecd. Note, REGS, 3.375%, 2/28/2030 | 338,996 | |
TOTAL | 1,452,532 | ||
Real Estate—2.8% | |||
300,000 | CANPACK SA and Eastern PA Land Investment Holding LLC, REGS, 2.375%, 11/1/2027 | 272,950 | |
$ 200,000 | Country Garden Holdings Co., 5.125%, 1/17/2025 | 127,000 | |
EUR 400,000 | 1 | Heimstaden Bostad AB, Jr. Sub. Note, 2.625%, 2/1/2027 | 306,949 |
GBP 200,000 | MPT Operating Partnership LP/MPT Finance Corp., Sr. Unsecd. Note, 3.692%, 6/5/2028 | 228,325 | |
$ 32,000 | MPT Operating Partnership LP/MPT Finance Corp., Sr. Unsecd. Note, 3.500%, 3/15/2031 | 28,013 | |
EUR 300,000 | 1 | Samhallsbyggnadsbolaget i Norden AB, Jr. Sub. Note, 2.625%, 12/14/2025 | 239,938 |
100,000 | 1 | Samhallsbyggnadsbolaget i Norden AB, Jr. Sub. Note, Series *, 2.624%, 1/30/2025 | 79,918 |
$ 200,000 | Shimao Group Holdings Ltd., Sr. Unsecd. Note, 5.200%, 1/16/2027 | 27,000 | |
TOTAL | 1,310,093 | ||
Retail—0.7% | |||
GBP 200,000 | Marks & Spencer PLC, Sr. Unsecd. Note, 3.250%, 7/10/2027 | 230,346 | |
$ 100,000 | Marks & Spencer PLC, Sr. Unsecd. Note, REGS, 7.125%, 12/1/2037 | 99,821 | |
TOTAL | 330,167 |
3
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Services—0.6% | |||
EUR 300,000 | Catalent Pharma Solutions, Inc., Sr. Unsecd. Note, REGS, 2.375%, 3/1/2028 | $288,248 | |
Technology & Electronics—1.5% | |||
$ 100,000 | Dell, Inc., Sr. Unsecd. Note, 5.400%, 9/10/2040 | 92,598 | |
50,000 | NXP BV / NXP Funding LLC / NXP USA Inc., Sr. Unsecd. Note, 144A, 2.500%, 5/11/2031 | 41,933 | |
69,000 | NXP BV / NXP Funding LLC / NXP USA Inc., Sr. Unsecd. Note, 144A, 3.400%, 5/1/2030 | 63,907 | |
578,000 | Seagate HDD Cayman, Sr. Unsecd. Note, 3.375%, 7/15/2031 | 497,511 | |
TOTAL | 695,949 | ||
Telecommunications—8.4% | |||
EUR 100,000 | Altice Financing SA, Sec. Fac. Bond, REGS, 4.250%, 8/15/2029 | 92,325 | |
100,000 | Cellnex Telecom S.A., Conv. Bond, Series CLNX, 0.750%, 11/20/2031 | 83,246 | |
100,000 | Cellnex Telecom S.A., Sr. Unsecd. Note, 1.875%, 6/26/2029 | 89,397 | |
200,000 | Iliad SA, Sr. Secd. Note, 1.875%, 2/11/2028 | 182,659 | |
100,000 | Infrastrutture Wireless Italiane SPA, Sr. Unsecd. Note, Series EMTN, 1.750%, 4/19/2031 | 89,943 | |
200,000 | Infrastrutture Wireless Italiane SPA, Sr. Unsecd. Note, Series GMTN, 1.625%, 10/21/2028 | 189,706 | |
$ 425,000 | Lumen Technologies, Inc., Sr. Unsecd. Note, Series P, 7.600%, 9/15/2039 | 366,301 | |
400,000 | Millicom International Cellular S.A., Sr. Unsecd. Note, REGS, 4.500%, 4/27/2031 | 346,066 | |
300,000 | 1 | Network i2i Ltd., Sub. Deb., REGS, 5.650%, 1/15/2025 | 294,957 |
100,000 | Sprint Corp., Sr. Unsecd. Note, 7.875%, 9/15/2023 | 104,872 | |
50,000 | Sprint Nextel Corp., Sr. Unsecd. Note, 6.000%, 11/15/2022 | 50,711 | |
72,000 | T-Mobile USA, Inc., 2.250%, 11/15/2031 | 59,850 | |
300,000 | T-Mobile USA, Inc., 3.300%, 2/15/2051 | 230,412 | |
325,000 | Telecom Italia Capital SA, Sr. Unsecd. Note, 6.000%, 9/30/2034 | 287,852 | |
EUR 500,000 | 1 | Telefonica Europe BV, Jr. Sub. Note, 2.376%, 2/12/2029 | 437,305 |
$ 200,000 | Turk Telekomunikasyon AS, Sr. Unsecd. Note, REGS, 4.875%, 6/19/2024 | 185,072 | |
GBP 449,000 | Vmed O2 UK Financing I PLC, Sec. Fac. Bond, REGS, 4.500%, 7/15/2031 | 488,486 | |
$ 400,000 | VTR Comunicaciones SpA, Sec. Fac. Bond, REGS, 4.375%, 4/15/2029 | 307,030 | |
TOTAL | 3,886,190 | ||
Utilities—4.7% | |||
57,000 | AES Corp., Sr. Unsecd. Note, 2.450%, 1/15/2031 | 47,495 | |
200,000 | AES Gener S.A., Jr. Sub. Note, REGS, 6.350%, 10/7/2079 | 188,887 | |
443,000 | Clearway Energy Operating LLC, Sr. Unsecd. Note, 144A, 3.750%, 2/15/2031 | 391,612 | |
EUR 200,000 | 1 | Enel SpA, Jr. Sub. Note, Series 9.5Y, 1.875%, 6/8/2030 | 167,682 |
300,000 | Energias de Portugal SA, Jr. Sub. Note, Series NC8, 1.875%, 3/14/2082 | 251,449 | |
$ 200,000 | Greenko Power II Ltd., Sr. Unsecd. Note, REGS, 4.300%, 12/13/2028 | 182,148 | |
EUR 300,000 | 1 | Orsted A/S, Sub., 1.750%, 12/9/2022 | 288,248 |
$300,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 285,015 | |
EUR 400,000 | 1 | Veolia Environnement SA, Jr. Sub. Note, Series ., 2.500%, 1/20/2029 | 373,482 |
TOTAL | 2,176,018 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $35,560,958) | 30,779,529 | ||
U.S. TREASURY—25.3% | |||
$6,925,000 | United States Treasury Note, 0.250%, 3/15/2024 | 6,658,282 |
4
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
�� | U.S. TREASURY—continued | ||
$ 5,520,200 | United States Treasury Note, 0.250%, 8/31/2025 | $5,088,500 | |
TOTAL U.S. TREASURY (IDENTIFIED COST $11,791,014) | 11,746,782 | ||
TOTAL INVESTMENT IN SECURITIES—91.7% (IDENTIFIED COST $47,351,972) | 42,526,311 | ||
OTHER ASSETS AND LIABILITIES - NET—8.3%2 | 3,832,807 | ||
TOTAL NET ASSETS—100% | $46,359,118 |
At May 31, 2022, the Fund had the following outstanding futures contracts:
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Short Futures: | ||||
3Euro-Bund, Short Futures | 7 | EUR 1,139,025 | June 2022 | $113,503 |
3United States Treasury Notes 10-Year Note, Short Futures | 11 | $1,313,984 | September 2022 | $(2,779) |
3United States Treasury Ultra Bond, Short Futures | 7 | $1,090,250 | September 2022 | $1,347 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $112,071 |
The average notional value of short futures contracts held by the Fund throughout the period was $3,356,638. This is based on amounts held as of each month-end throughout the nine-month fiscal period
At May 31, 2022, the Fund had the following open swap contracts:
Credit Default Swaps
Counterparty | Reference Entity | Buy/ Sell | Pay/ Receive Fixed Rate | Expiration Date | Implied Credit Spread at 5/31/20224 | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
OTC Swaps: | ||||||||||
Barclays | Cellnex Telecom SA | Sell | 3.13% | 6/20/2027 | 2.44% | $100,000 | $11,785 | $13,133 | $(1,348) | |
Goldman Sachs | CSC Holdings LLC | Sell | 5.38% | 12/20/2026 | 2.72% | $68,000 | $(960) | $4,894 | $(5,854) | |
Goldman Sachs | CSC Holdings LLC | Sell | 5.38% | 12/20/2026 | 2.72% | $68,000 | $(960) | $4,894 | $(5,854) | |
Goldman Sachs | CSC Holdings LLC | Sell | 5.38% | 12/20/2026 | 2.72% | $21,000 | $(297) | $1,422 | $(1,719) | |
Goldman Sachs | CSC Holdings LLC | Sell | 5.38% | 12/20/2026 | 2.72% | $68,000 | $(960) | $4,891 | $(5,851) | |
Goldman Sachs | CSC Holdings LLC | Sell | 5.38% | 12/20/2026 | 2.72% | $14,000 | $(198) | $935 | $(1,133) | |
Goldman Sachs | CSC Holdings LLC | Sell | 5.38% | 12/20/2026 | 2.72% | $61,000 | $(862) | $4,074 | $(4,936) | |
Goldman Sachs | Government of Sweden | Sell | 2.13% | 6/20/2027 | 2.31% | $50,000 | $6,359 | $7,666 | $(1,307) | |
Goldman Sachs | Schaeffler AG | Sell | 5.00% | 6/20/2027 | 3.03% | $310,000 | $27,755 | $43,748 | $(15,993) | |
Morgan Stanley | AES Corp. | Sell | 1.38% | 6/20/2027 | 1.31% | $100,000 | $13,908 | $15,929 | $(2,021) | |
Morgan Stanley | Ally Financial, Inc. | Sell | 5.80% | 6/20/2027 | 2.17% | $78,000 | $9,910 | $12,451 | $(2,541) | |
Morgan Stanley | Anglo American PLC | Sell | 1.63% | 6/20/2027 | 1.44% | $310,000 | $55,092 | $61,522 | $(6,430) |
5
Counterparty | Reference Entity | Buy/ Sell | Pay/ Receive Fixed Rate | Expiration Date | Implied Credit Spread at 5/31/20224 | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
Morgan Stanley | Arcelor Mittal SA | Sell | 1.00% | 6/20/2027 | 2.02% | $200,000 | $29,108 | $34,745 | $(5,637) | |
Morgan Stanley | Cleveland-Cliffs Inc. | Sell | 5.88% | 6/20/2027 | 2.81% | $145,000 | $13,089 | $13,951 | $(862) | |
Morgan Stanley | Dell Inc. | Sell | 7.10% | 6/20/2027 | 1.80% | $500,000 | $(17,245) | $(5,559) | $(11,686) | |
Morgan Stanley | General Motors Co. | Sell | 4.88% | 6/20/2027 | 2.23% | $507,000 | $62,197 | $73,425 | $(11,228) | |
Morgan Stanley | Goodyear Tire & Rubber Co. | Sell | 5.00% | 6/20/2027 | 4.12% | $225,000 | $8,190 | $8,466 | $(276) | |
Morgan Stanley | Government of France | Sell | 3.25% | 6/20/2027 | 2.95% | $370,000 | $ (34,035) | $(33,511) | $(524) | |
Morgan Stanley | Government of United States | Sell | 3.55% | 6/20/2027 | 1.50% | $200,000 | $ (2,635) | $(4,374) | $1,739 | |
Morgan Stanley | Government of United States | Sell | 4.35% | 6/20/2027 | 2.51% | $485,000 | $38,914 | $53,155 | $(14,241) | |
Morgan Stanley | Government of United States | Sell | 6.88% | 6/20/2027 | 4.05% | $488,000 | $20,415 | $32,874 | $(12,459) | |
Morgan Stanley | HCA Inc. | Sell | 5.88% | 6/20/2027 | 1.53% | $360,000 | $55,832 | $58,154 | $(2,322) | |
Morgan Stanley | Iron Mountain Inc. | Sell | 4.88% | 6/20/2027 | 2.35% | $215,000 | $24,867 | $26,027 | $(1,160) | |
Morgan Stanley | KB Home | Sell | 6.88% | 6/20/2027 | 3.06% | $520,000 | $42,418 | $62,877 | $(20,459) | |
Morgan Stanley | Kraft Heinz Foods Co. | Sell | 6.38% | 6/20/2027 | 0.89% | $202,000 | $973 | $1,449 | $(476) | |
Morgan Stanley | Lennar Corp. | Sell | 4.88% | 6/20/2027 | 1.72% | $425,000 | $62,195 | $71,778 | $(9,583) | |
Morgan Stanley | Lumen Technologies Inc. | Sell | 7.50% | 6/20/2027 | 5.20% | $25,000 | $ (3,896) | $(3,649) | $(247) | |
Morgan Stanley | Markit CDX | Sell | 5.00% | 6/20/2027 | 4.61% | $1,450,000 | $23,565 | $67,886 | $(44,321) | |
Morgan Stanley | Markit iTraxx | Sell | 5.00% | 6/20/2027 | 4.37% | $3,890,000 | $108,752 | $246,159 | $(137,407) | |
Morgan Stanley | Nokia Oy | Sell | 2.00% | 6/20/2027 | 1.41% | $325,000 | $57,796 | $60,475 | $(2,679) | |
Morgan Stanley | NRG Energy Inc. | Sell | 5.75% | 6/20/2027 | 2.95% | $500,000 | $43,743 | $53,080 | $(9,337) | |
Morgan Stanley | Occidental Petroleum Corp. | Sell | 5.55% | 6/20/2027 | 1.31% | $699,000 | $(9,595) | $(7,948) | $(1,647) | |
Morgan Stanley | Stellantis N.V. | Sell | 5.25% | 6/20/2027 | 1.73% | $575,000 | $93,123 | $105,417 | $(12,294) | |
Morgan Stanley | Telecom Italia SpA | Sell | 3.63% | 6/20/2027 | 3.92% | $200,000 | $(22,513) | $(31,690) | $9,177 | |
Morgan Stanley | Toll Brothers Inc. | Sell | 4.38% | 6/20/2027 | 2.09% | $335,000 | $(15,132) | $(7,845) | $(7,287) | |
TOTAL CREDIT DEFAULT SWAPS | $700,698 | $1,050,901 | ($350,203) |
The average notional amount of credit default swap contracts held by the Fund throughout the period was $11,777,600. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
6
At May 31, 2022, the Fund had the following outstanding foreign exchange contracts:
Settlement Date | Counterparty | Foreign Currency Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) | |
Contracts Purchased: | |||||
6/15/2022 | Barclays | 220,000 EUR | $243,491 | $(7,112) | |
6/15/2022 | Barclays | 150,000 GBP | $185,692 | $3,338 | |
6/15/2022 | Barclays | 200,000 GBP | $251,091 | $948 | |
6/15/2022 | JP Morgan | 400,000 EUR | $431,974 | $(2,195) | |
6/15/2022 | Lloyds Bank PLC | 150,000 EUR | $164,092 | $(2,924) | |
6/15/2022 | RBC Europe | 195,000 EUR | $206,433 | $3,085 | |
6/15/2022 | RBC Europe | 200,000 EUR | $211,567 | $3,323 | |
6/15/2022 | RBC Europe | 300,000 EUR | $316,364 | $5,971 | |
6/15/2022 | State Street | 150,000 EUR | $158,883 | $2,284 | |
Contracts Sold: | |||||
6/15/2022 | JP Morgan | 150,000 EUR | $164,881 | $3,713 | |
6/15/2022 | RBC Europe | 225,000 EUR | $249,780 | $8,029 | |
6/15/2022 | RBC Europe | 148,000 EUR | $158,610 | $(409) | |
6/15/2022 | State Street | 4,466,667 EUR | $4,903,708 | $104,501 | |
6/15/2022 | State Street | 4,466,667 EUR | $4,903,417 | $104,211 | |
6/15/2022 | State Street | 4,466,666 EUR | $4,913,534 | $114,328 | |
6/15/2022 | State Street | 336,000 EUR | $370,043 | $9,028 | |
6/15/2022 | State Street | 147,000 EUR | $153,133 | $(4,811) | |
6/15/2022 | State Street | 2,200,000 GBP | $2,872,536 | $100,096 | |
NET UNREALIZED APPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $445,404 |
The average value at settlement date payable and receivable of foreign exchange contracts purchased and sold by the Fund throughout the period was $47,369 and $312,454, respectively. This is based on the contracts held as of each month-end throughout the nine-month fiscal period.
Net Unrealized Appreciation on Futures Contracts and Foreign Exchange Contracts and value for Swap Contracts is included in “Other Assets and Liabilities-Net.”
1
Perpetual Bond Security. The maturity date reflects the next call date.
2
Assets, other than investments in securities, less liabilities.
3
Non-income-producing security.
4
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.
Note: The categories of investments are shown as a percentage of total net assets at May 31, 2022.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
◾ Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”).
◾ Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market.
◾ Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations.
◾ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees.
◾ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs, or NAV per share practical expedient, as applicable.
◾ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer’s financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar
7
securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.
If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Fund's valuation policies and procedures, or if information furnished by a pricing service, in the opinion of the valuation committee (“Valuation Committee”), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.
Fair Valuation and Significant Events Procedures
The Trustees have ultimate responsibility for determining the fair value of investments for which market quotations are not readily available. The Trustees have appointed a Valuation Committee comprised of officers of the Fund, Federated Investment Management Company (the “Adviser”) and certain of the Adviser's affiliated companies to assist in determining fair value and in overseeing the calculation of the NAV. The Trustees have also authorized the use of pricing services recommended by the Valuation Committee to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services’ policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Trustees. The Trustees periodically review and approve the fair valuations made by the Valuation Committee and any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Trustees.
The Trustees also have adopted procedures requiring an investment to be priced at its fair value whenever the Adviser determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment’s value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
◾ With respect to securities principally traded in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;
◾ Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;
◾ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer’s operations or regulatory changes or market developments affecting the issuer’s industry.
The Trustees have adopted procedures whereby the Valuation Committee uses a pricing service to provide factors to update the fair value of equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the pricing time of the Fund. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Fund will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Trustees. The Trustees have ultimate responsibility for any fair valuations made in response to a significant event.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
8
The following is a summary of the inputs used, as of May 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 | $— | $30,779,529 | $— | $30,779,529 |
U.S. Treasury | — | 11,746,782 | — | 11,746,782 |
TOTAL SECURITIES | $— | $42,526,311 | $— | $42,526,311 |
Other Financial Instruments: | ||||
Assets: | ||||
Futures | $114,850 | $— | $— | $114,850 |
Foreign Exchange Contracts | — | 462,855 | — | 462,855 |
Swap Contracts | — | 809,986 | — | 809,986 |
Liabilities: | ||||
Futures | $(2,779) | $— | $— | $(2,779) |
Foreign Exchange Contracts | — | (17,451) | — | (17,451) |
Swap Contracts | — | (109,288) | — | (109,288) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $112,071 | $1,146,102 | $— | $1,258,173 |
The following acronym(s) are used throughout this portfolio:
EMTN | —Euro Medium Term Note |
EUR | —Euro |
GBP | —Great British Pound |
GMTN | —Global Medium Term Note |
9