United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-6447
(Investment Company Act File Number)
Federated Hermes Fixed Income Securities, Inc.
______________________________________________________________
(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: 11/30/22
Date of Reporting Period: Six months ended 05/31/22
Item 1. | Reports to Stockholders |
Share Class | Ticker | A | STIAX | B | SINBX | C | SINCX |
F | STFSX | Institutional | STISX | R6 | STILX |
Federated Hermes Strategic Income Fund
A Portfolio of Federated Hermes Fixed Income Securities, Inc.
Portfolio Composition | Percentage of Total Net Assets2 |
Corporate Debt Securities | 58.3% |
Mortgage-Backed Securities3 | 18.0% |
Foreign Government Securities | 7.9% |
Cash Equivalents4 | 6.5% |
U.S. Treasury Securities | 6.5% |
Collateralized Mortgage Obligations | 3.2% |
Other Security Types5 | 3.0% |
Asset-Backed Securities | 1.8% |
Derivative Contracts6 | 0.6% |
Bank Loan Core Fund | 1.0% |
Other Assets and Liabilities—Net7 | (6.8)% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of these investments. |
2 | As of the date specified above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, affiliated investment companies (other than an affiliated money market mutual fund), in which the Fund invested greater than 10% of its net assets are 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. Affiliated investment companies (other than an affiliated money market mutual fund) in which the Fund invested less than 10% of its net assets are listed individually in the table. |
3 | For purposes of this table, Mortgage-Backed Securities include mortgage-backed securities guaranteed by Government Sponsored Entities and adjustable rate mortgage-backed securities. |
4 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those representing securities lending collateral. |
5 | Other Security Types consist of common stock, preferred stock, purchased options and exchange-traded funds. |
6 | 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. |
7 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount, Shares or Contracts | Value | ||
U.S. TREASURIES— 6.5% | |||
Treasury Securities— 6.5% | |||
$ 7,505,680 | U.S. Treasury Inflation-Protected Notes, 0.125%, 7/15/2031 | $ 7,479,394 | |
20,734,400 | U.S. Treasury Inflation-Protected Notes, 0.125%, 1/15/2032 | 20,608,028 | |
11,000,000 | United States Treasury Bond, 2.375%, 5/15/2051 | 9,461,110 | |
10,000,000 | United States Treasury Note, 0.125%, 4/30/2023 | 9,821,688 | |
20,000,000 | United States Treasury Note, 0.750%, 11/15/2024 | 19,095,348 | |
7,000,000 | United States Treasury Note, 1.500%, 1/31/2027 | 6,592,490 | |
TOTAL U.S. TREASURIES (IDENTIFIED COST $78,062,539) | 73,058,058 | ||
CORPORATE BONDS— 4.8% | |||
Basic Industry - Chemicals— 0.0% | |||
135,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | 133,663 | |
Basic Industry - Metals & Mining— 0.1% | |||
200,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 3.625%, 9/11/2024 | 199,622 | |
75,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 68,048 | |
55,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 40,258 | |
200,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | 238,355 | |
TOTAL | 546,283 | ||
Capital Goods - Aerospace & Defense— 0.1% | |||
80,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 79,282 | |
100,000 | Boeing Co., Sr. Unsecd. Note, 2.196%, 2/4/2026 | 91,680 | |
215,000 | Boeing Co., Sr. Unsecd. Note, 3.625%, 2/1/2031 | 193,370 | |
30,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 21,851 | |
160,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 153,452 | |
65,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 2.300%, 2/15/2031 | 54,012 | |
35,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | 34,822 | |
100,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 97,280 | |
85,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 3.250%, 1/15/2028 | 82,499 | |
200,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 202,442 | |
TOTAL | 1,010,690 | ||
Capital Goods - Building Materials— 0.0% | |||
20,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 18,098 | |
80,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 78,675 | |
140,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 133,010 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Capital Goods - Building Materials— continued | |||
$ 35,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.722%, 2/15/2030 | $ 30,988 | |
TOTAL | 260,771 | ||
Capital Goods - Construction Machinery— 0.3% | |||
3,390,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 2.450%, 8/12/2031 | 2,732,292 | |
195,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 190,993 | |
100,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 98,380 | |
TOTAL | 3,021,665 | ||
Capital Goods - Diversified Manufacturing— 0.1% | |||
90,000 | Lennox International, Inc., Sr. Unsecd. Note, 1.350%, 8/1/2025 | 82,883 | |
100,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 1.750%, 2/15/2031 | 81,402 | |
80,000 | Valmont Industries, Inc., 5.250%, 10/1/2054 | 79,552 | |
90,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 86,349 | |
65,000 | Vontier Corp., Sr. Unsecd. Note, 1.800%, 4/1/2026 | 58,087 | |
25,000 | Vontier Corp., Sr. Unsecd. Note, 2.950%, 4/1/2031 | 21,123 | |
90,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 87,039 | |
65,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 56,338 | |
TOTAL | 552,773 | ||
Communications - Cable & Satellite— 0.0% | |||
65,000 | Charter Communications Operating LLC, 5.375%, 5/1/2047 | 59,795 | |
50,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | 35,497 | |
200,000 | Comcast Corp., Sr. Unsecd. Note, 3.150%, 2/15/2028 | 195,631 | |
30,000 | Comcast Corp., Sr. Unsecd. Note, 3.450%, 2/1/2050 | 25,300 | |
200,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 204,217 | |
TOTAL | 520,440 | ||
Communications - Media & Entertainment— 0.1% | |||
35,000 | Alphabet, Inc., Sr. Unsecd. Note, 1.900%, 8/15/2040 | 26,108 | |
150,000 | Netflix, Inc., Sr. Unsecd. Note, 4.875%, 4/15/2028 | 148,910 | |
25,000 | Paramount Global, Sr. Unsecd. Note, 4.000%, 1/15/2026 | 25,169 | |
100,000 | Paramount Global, Sr. Unsecd. Note, 4.200%, 5/19/2032 | 93,751 | |
40,000 | Paramount Global, Sr. Unsecd. Note, 4.950%, 5/19/2050 | 36,134 | |
300,000 | Walt Disney Co., Sr. Unsecd. Note, 2.650%, 1/13/2031 | 271,781 | |
TOTAL | 601,853 | ||
Communications - Telecom Wireless— 0.0% | |||
235,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 241,360 | |
140,000 | Crown Castle International Corp., Sr. Unsecd. Note, 5.200%, 2/15/2049 | 141,175 | |
60,000 | T-Mobile USA, Inc., 3.300%, 2/15/2051 | 46,082 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Communications - Telecom Wireless— continued | |||
$ 100,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 144A, 2.700%, 3/15/2032 | $ 86,542 | |
TOTAL | 515,159 | ||
Communications - Telecom Wirelines— 0.1% | |||
100,000 | AT&T, Inc., Sr. Unsecd. Note, 0.900%, 3/25/2024 | 96,421 | |
100,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 93,229 | |
175,000 | AT&T, Inc., Sr. Unsecd. Note, 2.550%, 12/1/2033 | 148,068 | |
100,000 | AT&T, Inc., Sr. Unsecd. Note, 2.750%, 6/1/2031 | 89,629 | |
40,000 | AT&T, Inc., Sr. Unsecd. Note, 3.850%, 6/1/2060 | 32,935 | |
85,000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | 86,689 | |
150,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 144A, 4.500%, 3/15/2042 | 139,459 | |
50,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.000%, 3/22/2027 | 48,546 | |
65,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.550%, 3/22/2051 | 55,031 | |
TOTAL | 790,007 | ||
Consumer Cyclical - Automotive— 0.6% | |||
1,870,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | 1,660,953 | |
100,000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | 90,953 | |
50,000 | General Motors Co., Sr. Unsecd. Note, 5.400%, 4/1/2048 | 46,386 | |
1,500,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.350%, 2/26/2027 | 1,362,709 | |
25,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.150%, 6/19/2023 | 25,207 | |
50,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 0.800%, 1/8/2024 | 47,839 | |
60,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | 59,606 | |
3,000,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 3.000%, 2/10/2027 | 2,820,424 | |
200,000 | Stellantis N.V., Sr. Unsecd. Note, 5.250%, 4/15/2023 | 203,119 | |
TOTAL | 6,317,196 | ||
Consumer Cyclical - Leisure— 0.1% | |||
100,000 | Magallanes, Inc., Sr. Unsecd. Note, 144A, 4.279%, 3/15/2032 | 93,559 | |
1,645,000 | Magallanes, Inc., Sr. Unsecd. Note, 144A, 5.050%, 3/15/2042 | 1,489,170 | |
TOTAL | 1,582,729 | ||
Consumer Cyclical - Retailers— 0.1% | |||
160,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 150,188 | |
50,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.550%, 7/26/2027 | 47,652 | |
100,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 77,832 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Consumer Cyclical - Retailers— continued | |||
$ 25,000 | AutoNation, Inc., Sr. Unsecd. Note, 2.400%, 8/1/2031 | $ 20,086 | |
60,000 | AutoNation, Inc., Sr. Unsecd. Note, 3.850%, 3/1/2032 | 53,851 | |
45,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.500%, 10/1/2025 | 45,740 | |
20,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 19,541 | |
75,000 | CVS Health Corp., Sr. Unsecd. Note, 2.625%, 8/15/2024 | 74,246 | |
125,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 127,584 | |
60,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.700%, 4/15/2030 | 55,669 | |
120,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 114,340 | |
TOTAL | 786,729 | ||
Consumer Cyclical - Services— 0.1% | |||
50,000 | Amazon.com, Inc., Sr. Unsecd. Note, 2.100%, 5/12/2031 | 44,069 | |
250,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 247,598 | |
200,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 201,433 | |
120,000 | Visa, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2027 | 117,040 | |
TOTAL | 610,140 | ||
Consumer Non-Cyclical - Food/Beverage— 0.1% | |||
60,000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.700%, 2/1/2036 | 60,829 | |
250,000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 249,788 | |
50,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.600%, 4/15/2048 | 47,702 | |
150,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 1.850%, 9/1/2032 | 122,253 | |
150,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 138,006 | |
50,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.400%, 11/15/2025 | 50,943 | |
100,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 5.250%, 11/15/2048 | 102,136 | |
35,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 29,412 | |
50,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 48,734 | |
90,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.832%, 10/15/2027 | 79,314 | |
50,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.000%, 6/1/2026 | 48,387 | |
100,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 87,985 | |
35,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 2.500%, 4/15/2030 | 30,884 | |
90,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 77,599 | |
155,000 | Sysco Corp., Sr. Unsecd. Note, 3.300%, 7/15/2026 | 152,931 | |
75,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 69,120 | |
TOTAL | 1,396,023 | ||
Consumer Non-Cyclical - Health Care— 0.1% | |||
55,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 2.100%, 6/4/2030 | 46,375 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Consumer Non-Cyclical - Health Care— continued | |||
$ 80,000 | Dentsply Sirona, Inc., Sr. Unsecd. Note, 3.250%, 6/1/2030 | $ 69,693 | |
45,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 41,222 | |
150,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 112,380 | |
85,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 1.900%, 9/15/2028 | 73,310 | |
170,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 155,875 | |
100,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 1.215%, 10/18/2024 | 95,815 | |
TOTAL | 594,670 | ||
Consumer Non-Cyclical - Pharmaceuticals— 0.1% | |||
150,000 | AbbVie, Inc., Sr. Unsecd. Note, 2.950%, 11/21/2026 | 145,983 | |
90,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | 84,692 | |
200,000 | AstraZeneca PLC, Sr. Unsecd. Note, 4.000%, 1/17/2029 | 202,861 | |
90,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 76,138 | |
24,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 3.400%, 7/26/2029 | 23,704 | |
55,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.250%, 10/26/2049 | 54,260 | |
50,000 | Royalty Pharma PLC, Sr. Unsecd. Note, Series WI, 0.750%, 9/2/2023 | 48,558 | |
50,000 | Royalty Pharma PLC, Sr. Unsecd. Note, Series WI, 1.200%, 9/2/2025 | 45,873 | |
TOTAL | 682,069 | ||
Consumer Non-Cyclical - Products— 0.0% | |||
75,000 | Church & Dwight Co., Inc., Sr. Unsecd. Note, 2.300%, 12/15/2031 | 64,359 | |
150,000 | Procter & Gamble Co., Sr. Unsecd. Note, 3.000%, 3/25/2030 | 144,355 | |
TOTAL | 208,714 | ||
Consumer Non-Cyclical - Supermarkets— 0.0% | |||
75,000 | Kroger Co., Sr. Unsecd. Note, 4.450%, 2/1/2047 | 70,411 | |
Consumer Non-Cyclical - Tobacco— 0.0% | |||
80,000 | Altria Group, Inc., Sr. Unsecd. Note, 2.450%, 2/4/2032 | 64,599 | |
80,000 | Altria Group, Inc., Sr. Unsecd. Note, 2.625%, 9/16/2026 | 75,786 | |
100,000 | Altria Group, Inc., Sr. Unsecd. Note, 3.700%, 2/4/2051 | 70,233 | |
50,000 | Bat Capital Corp., Sr. Unsecd. Note, 3.984%, 9/25/2050 | 35,999 | |
100,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 104,944 | |
TOTAL | 351,561 | ||
Energy - Independent— 0.0% | |||
170,000 | Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041 | 173,534 | |
50,000 | Marathon Oil Corp., Sr. Unsecd. Note, 5.200%, 6/1/2045 | 49,330 | |
TOTAL | 222,864 | ||
Energy - Integrated— 0.0% | |||
75,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027 | 75,309 | |
300,000 | Exxon Mobil Corp., Sr. Unsecd. Note, 3.482%, 3/19/2030 | 295,608 | |
75,000 | Shell International Finance B.V., Sr. Unsecd. Note, 2.750%, 4/6/2030 | 69,526 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Energy - Integrated— continued | |||
$ 70,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | $ 65,896 | |
TOTAL | 506,339 | ||
Energy - Midstream— 0.1% | |||
70,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 69,326 | |
65,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series C, 144A, 3.900%, 11/15/2049 | 54,216 | |
250,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 253,744 | |
75,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 4.150%, 2/1/2024 | 75,848 | |
100,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 106,229 | |
150,000 | MPLX LP, Sr. Unsecd. Note, 4.950%, 3/14/2052 | 138,462 | |
100,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.550%, 7/15/2028 | 99,581 | |
50,000 | ONEOK, Inc., Sr. Unsecd. Note, 5.200%, 7/15/2048 | 47,293 | |
720,000 | Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033 | 682,521 | |
115,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 115,225 | |
TOTAL | 1,642,445 | ||
Energy - Refining— 0.4% | |||
2,500,000 | Valero Energy Corp., Sr. Unsecd. Note, 3.650%, 12/1/2051 | 1,973,971 | |
160,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 4/1/2029 | 155,939 | |
2,185,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 6/1/2052 | 1,825,342 | |
TOTAL | 3,955,252 | ||
Financial Institution - Banking— 0.4% | |||
150,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 151,033 | |
90,000 | Bank of America Corp., Sr. Unsecd. Note, 2.299%, 7/21/2032 | 75,727 | |
100,000 | Bank of America Corp., Sr. Unsecd. Note, 2.572%, 10/20/2032 | 85,851 | |
350,000 | Bank of America Corp., Sr. Unsecd. Note, 2.687%, 4/22/2032 | 305,405 | |
100,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.884%, 10/22/2030 | 90,415 | |
250,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 251,348 | |
95,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 96,006 | |
275,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.561%, 5/1/2032 | 235,697 | |
270,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 266,391 | |
270,000 | Citizens Financial Group, Inc., Sub. Note, 2.638%, 9/30/2032 | 222,114 | |
200,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 200,915 | |
100,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 98,992 | |
55,000 | FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 54,493 | |
100,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.615%, 4/22/2032 | 86,277 | |
100,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.102%, 2/24/2033 | 88,938 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 350,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.814%, 4/23/2029 | $ 340,734 | |
55,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 0.824%, 6/1/2025 | 52,178 | |
525,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.580%, 4/22/2032 | 458,384 | |
100,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.963%, 1/25/2033 | 89,365 | |
90,000 | Morgan Stanley, Sr. Unsecd. Note, 1.593%, 5/4/2027 | 82,002 | |
250,000 | Morgan Stanley, Sr. Unsecd. Note, 3.625%, 1/20/2027 | 247,542 | |
200,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.239%, 7/21/2032 | 169,048 | |
100,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.928%, 4/28/2032 | 82,451 | |
60,685 | 1 | Regional Diversified Funding, 144A, 9.250%, 3/15/2030 | 25,488 |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 196,800 | |
100,000 | US Bancorp, Sr. Unsecd. Note, Series MTN, 1.375%, 7/22/2030 | 81,748 | |
225,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 217,251 | |
275,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.879%, 10/30/2030 | 250,470 | |
TOTAL | 4,603,063 | ||
Financial Institution - Broker/Asset Mgr/Exchange— 0.0% | |||
70,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 56,703 | |
Financial Institution - Finance Companies— 0.0% | |||
250,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.400%, 10/29/2033 | 206,290 | |
Financial Institution - Insurance - Life— 0.1% | |||
200,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 203,672 | |
150,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 143,323 | |
180,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 156,580 | |
50,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 2.125%, 6/15/2030 | 42,485 | |
TOTAL | 546,060 | ||
Financial Institution - REIT - Apartment— 0.0% | |||
195,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 190,779 | |
165,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | 140,845 | |
TOTAL | 331,624 | ||
Financial Institution - REIT - Healthcare— 0.4% | |||
160,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 160,688 | |
115,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031 | 100,470 | |
5,000,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2032 | 4,320,907 | |
TOTAL | 4,582,065 | ||
Financial Institution - REIT - Office— 0.2% | |||
1,680,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 2.950%, 3/15/2034 | 1,470,260 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Financial Institution - REIT - Office— continued | |||
$ 90,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | $ 90,431 | |
110,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | 109,454 | |
210,000 | Boston Properties LP, Sr. Unsecd. Note, 4.500%, 12/1/2028 | 211,411 | |
40,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | 32,278 | |
TOTAL | 1,913,834 | ||
Financial Institution - REIT - Other— 0.0% | |||
40,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.250%, 10/1/2026 | 40,502 | |
135,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 137,491 | |
TOTAL | 177,993 | ||
Financial Institution - REIT - Retail— 0.0% | |||
120,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 118,733 | |
Health Insurance— 0.4% | |||
5,225,000 | Centene Corp., Sr. Unsecd. Note, 2.625%, 8/1/2031 | 4,492,246 | |
Technology— 0.1% | |||
50,000 | Apple, Inc., Sr. Unsecd. Note, 3.000%, 11/13/2027 | 49,447 | |
100,000 | Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044 | 104,226 | |
72,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 68,405 | |
3,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036 | 2,409 | |
60,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.419%, 4/15/2033 | 51,738 | |
155,000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 142,888 | |
50,000 | Dell International LLC / EMC Corp., 6.020%, 6/15/2026 | 52,853 | |
85,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 83,157 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 200,007 | |
110,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 102,975 | |
125,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 125,530 | |
30,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.185%, 2/15/2027 | 30,055 | |
150,000 | Microsoft Corp., Sr. Unsecd. Note, 3.300%, 2/6/2027 | 151,981 | |
200,000 | Oracle Corp., Sr. Unsecd. Note, 3.250%, 11/15/2027 | 187,439 | |
75,000 | Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050 | 54,350 | |
25,000 | Skyworks Solutions, Inc., Sr. Unsecd. Note, 1.800%, 6/1/2026 | 22,527 | |
80,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 82,003 | |
45,000 | VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026 | 40,384 | |
45,000 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 36,592 | |
TOTAL | 1,588,966 | ||
Technology Services— 0.2% | |||
3,000,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2027 | 2,729,880 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Technology Services— continued | |||
$ 45,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | $ 37,626 | |
TOTAL | 2,767,506 | ||
Transportation - Railroads— 0.0% | |||
90,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 1.750%, 12/2/2026 | 82,990 | |
65,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 58,715 | |
TOTAL | 141,705 | ||
Transportation - Services— 0.2% | |||
80,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 3.300%, 12/1/2026 | 77,519 | |
140,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 144A, 2.650%, 7/15/2031 | 114,159 | |
75,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.400%, 11/15/2026 | 73,119 | |
2,310,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 1.750%, 9/1/2026 | 2,118,077 | |
TOTAL | 2,382,874 | ||
Utility - Electric— 0.3% | |||
65,000 | Ameren Corp., Sr. Unsecd. Note, 1.950%, 3/15/2027 | 59,560 | |
1,435,000 | American Electric Power Co., Inc., Jr. Sub. Note, 2.031%, 3/15/2024 | 1,400,339 | |
50,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 43,054 | |
25,000 | Black Hills Corp., Sr. Unsecd. Note, 3.875%, 10/15/2049 | 20,975 | |
175,000 | CenterPoint Energy, Inc., Sr. Unsecd. Note, 2.650%, 6/1/2031 | 152,547 | |
110,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series A, 1.450%, 4/15/2026 | 100,852 | |
200,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.450%, 6/1/2030 | 173,736 | |
80,000 | Duke Energy Corp., Sr. Unsecd. Note, 3.950%, 8/15/2047 | 68,007 | |
30,000 | Exelon Corp., Sr. Unsecd. Note, 144A, 4.100%, 3/15/2052 | 26,805 | |
40,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 34,120 | |
140,000 | Kansas City Power and Light Co., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 134,858 | |
30,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 1.000%, 6/15/2026 | 27,116 | |
110,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 2.950%, 2/7/2024 | 110,049 | |
45,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.490%, 5/15/2027 | 44,024 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 58,059 | |
55,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 49,021 | |
185,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 170,862 | |
185,000 | Virginia Electric & Power Co., Sr. Unsecd. Note, Series A, 3.500%, 3/15/2027 | 183,833 | |
55,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 2.200%, 12/15/2028 | 49,138 | |
TOTAL | 2,906,955 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Utility - Natural Gas— 0.0% | |||
$ 30,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | $ 25,270 | |
100,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 103,346 | |
180,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 166,645 | |
TOTAL | 295,261 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $60,254,750) | 53,992,324 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS— 2.1% | |||
Commercial Mortgage— 0.4% | |||
810,000 | Bank 2018-BN12, Class A4, 4.255%, 5/15/2061 | 815,910 | |
500,000 | 2 | Bank 2018-BN15, Class A4, 4.407% (12-month USLIBOR +0.000%), 11/15/2061 | 507,443 |
345,000 | Bank, Class A4, 3.394%, 3/15/2064 | 323,907 | |
675,000 | Benchmark Mortgage Trust 2019-B11, Class A5, 3.542%, 5/15/2052 | 651,766 | |
520,000 | Benchmark Mortgage Trust 2021-B26, Class A2, 1.957%, 6/15/2054 | 487,779 | |
1,000,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | 971,807 | |
1,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 967,992 | |
TOTAL | 4,726,604 | ||
Federal Home Loan Mortgage Corporation REMIC— 0.1% | |||
800,000 | FHLMC REMIC, Series K070, Class A2, 3.303%, 11/25/2027 | 801,507 | |
689,706 | FHLMC REMIC, Series K105, Class A1, 1.536%, 9/25/2029 | 633,206 | |
TOTAL | 1,434,713 | ||
Non-Agency Mortgage-Backed Securities— 1.6% | |||
3,939,220 | GS Mortgage-Backed Securities 2022-PJ3, Class A4, 2.500%, 8/25/2052 | 3,452,049 | |
7,266,069 | JP Morgan Mortgage Trust 2022-1, Class A2, 3.000%, 7/25/2052 | 6,640,223 | |
4,878,489 | JP Morgan Mortgage Trust 2022-2, Class A3, 2.500%, 8/25/2052 | 4,275,157 | |
3,933,223 | JP Morgan Mortgage Trust 2022-3, Class A3, 2.500%, 8/25/2052 | 3,446,794 | |
TOTAL | 17,814,223 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $25,695,191) | 23,975,540 | ||
COMMON STOCKS— 2.0% | |||
Auto Components— 0.0% | |||
47,063 | 3 | American Axle & Manufacturing Holdings, Inc. | 381,681 |
1,960 | Lear Corp. | 276,282 | |
TOTAL | 657,963 | ||
Chemicals— 0.1% | |||
27,490 | Koppers Holdings, Inc. | 744,979 | |
Commercial Services & Supplies— 0.1% | |||
11,555 | Brinks Co. (The) | 702,891 |
Principal Amount, Shares or Contracts | Value | ||
COMMON STOCKS— continued | |||
Communications Equipment— 0.1% | |||
9,260 | 3 | Lumentum Holdings, Inc. | $ 797,101 |
Containers & Packaging— 0.3% | |||
108,875 | Ardagh Metal Packaging | 657,605 | |
45,728 | Graphic Packaging Holding Co. | 1,017,905 | |
56,186 | 3 | O-I Glass, Inc. | 924,260 |
17,148 | WestRock Co. | 831,506 | |
TOTAL | 3,431,276 | ||
Electric Utilities— 0.1% | |||
20,695 | NRG Energy, Inc. | 952,798 | |
Food & Staples Retailing— 0.0% | |||
14,745 | 3 | US Foods Holding Corp. | 488,354 |
Gas Utilities— 0.1% | |||
59,996 | Suburban Propane Partners LP | 1,022,932 | |
Hotels Restaurants & Leisure— 0.1% | |||
8,150 | Boyd Gaming Corp. | 478,976 | |
18,680 | Red Rock Resorts, Inc. | 723,476 | |
TOTAL | 1,202,452 | ||
Independent Power Producers & Energy Traders— 0.1% | |||
34,640 | Vistra Corp. | 913,457 | |
Media— 0.5% | |||
40,795 | 3 | Altice USA, Inc. | 464,247 |
102,036 | 3 | Cumulus Media, Inc. | 1,229,534 |
65,065 | 3 | iHeartMedia, Inc. | 767,767 |
202,265 | 3 | Stagwell, Inc. | 1,599,916 |
72,360 | 3 | Townsquare Media, Inc. | 712,746 |
105,293 | 3 | Urban One, Inc. | 689,669 |
TOTAL | 5,463,879 | ||
Metals & Mining— 0.1% | |||
7,575 | Compass Minerals International, Inc. | 340,345 | |
18,260 | Teck Resources Ltd. | 758,520 | |
TOTAL | 1,098,865 | ||
Oil Gas & Consumable Fuels— 0.1% | |||
8,608 | Devon Energy Corp. | 644,739 | |
2,256 | Pioneer Natural Resources, Inc. | 627,033 | |
TOTAL | 1,271,772 | ||
Personal Products— 0.0% | |||
20,970 | Energizer Holdings, Inc. | 628,890 | |
Pharmaceuticals— 0.0% | |||
33,610 | 3 | Bausch Health Cos, Inc. | 326,689 |
Principal Amount, Shares or Contracts | Value | ||
COMMON STOCKS— continued | |||
Professional Services— 0.1% | |||
9,150 | Science Applications International Corp. | $ 792,024 | |
Technology Hardware Storage & Peripherals— 0.0% | |||
12,065 | Dell Technologies, Inc. | 602,526 | |
Trading Companies & Distributors— 0.1% | |||
15,255 | 3 | GMS, Inc. | 759,852 |
Utility - Electric— 0.1% | |||
16,370 | Enviva, Inc. | 1,275,059 | |
TOTAL COMMON STOCKS (IDENTIFIED COST $26,626,576) | 23,133,759 | ||
ASSET-BACKED SECURITIES— 1.1% | |||
Auto Receivables— 0.5% | |||
$ 3,000,000 | Ford Credit Auto Lease Trust 2022-A, Class D, 4.660%, 12/15/2026 | 2,990,928 | |
2,890,000 | Santander Bank Auto Credit-Linked Notes 2022-A, Class B, 5.281%, 5/15/2032 | 2,891,853 | |
TOTAL | 5,882,781 | ||
Other— 0.2% | |||
2,280,000 | Home Partners of America Trust 2022-1, Class B, 4.330%, 4/17/2039 | 2,263,033 | |
Student Loans— 0.4% | |||
1,851,738 | Navient Student Loan Trust 2021-GA, Class A, 1.580%, 4/15/2070 | 1,760,065 | |
2,114,400 | SMB Private Education Loan Trust 2021-E, Class A1A, 1.680%, 2/15/2051 | 2,013,387 | |
TOTAL | 3,773,452 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $12,103,904) | 11,919,266 | ||
COMMERCIAL MORTGAGE-BACKED SECURITY— 0.1% | |||
Agency Commercial Mortgage-Backed Securities— 0.1% | |||
1,000,000 | FREMF Mortgage Trust 2013-K25 REMIC, Class B, 3.595%, 11/25/2045 (IDENTIFIED COST $1,004,153) | 1,000,910 | |
PREFERRED STOCK— 0.0% | |||
Financials— 0.0% | |||
40,000 | 1,3,4 | Lehman Brothers Holdings, Inc., Pfd., 5.670% (IDENTIFIED COST $3,400) | 400 |
PURCHASED CALL OPTIONS— 0.4% | |||
15,000,000 | 3 | Bank of America Merrill Lynch AUD CALL/USD PUT, Notional Amount $42,820,000, Exercise Price $87, Expiration Date | 76,110 |
15,000,000 | 3 | BARCLAYS NZD CALL/USD PUT, Notional Amount $42,820,000, Exercise Price $87, Expiration Date 6/28/2022 | 57,210 |
40,000,000 | 3 | BARCLAYS USD CALL/JPY PUT, Notional Amount $42,820,000, Exercise Price $87, Expiration Date 7/8/2022 | 40,840 |
7,500 | 3 | iShares iBoxx High Yield Corporate Bond ETF, Notional Amount $59,62,5000, Exercise Price $77, Expiration Date 7/15/2022 | 1,976,250 |
Principal Amount, Shares or Contracts | Value | ||
PURCHASED CALL OPTIONS— continued | |||
20,000,000 | 3 | Morgan Stanley AUD CALL/USD PUT, Notional Amount $42,820,000, Exercise Price $87, Expiration Date 7/21/2022 | $ 28,280 |
300 | 3 | Russell 2000 Index, Notional Amount $55,921,290 Exercise Price $2,020, Expiration Date 6/17/2022 | 102,000 |
300 | 3 | Russell 2000 Index, Notional Amount $55,921,290, Exercise Price $1,850, Expiration Date 7/15/2022 | 2,433,000 |
TOTAL PURCHASED CALL OPTIONS (IDENTIFIED COST $3,735,013) | 4,713,690 | ||
PURCHASED PUT OPTIONS— 0.3% | |||
30,000,000 | 3 | Bank of America Merrill Lynch USD PUT/JPY CALL, Notional Amount $42,820,000, Exercise Price $87, Expiration Date 7/8/2022 | 8,970 |
10,000,000 | 3 | Bank of America Merrill Lynch USD PUT/NOK CALL, Notional Amount $42,820,000, Exercise Price $87, Expiration Date 6/28/2022 | 78,500 |
500 | 3 | Russell 2000 Index, Notional Amount $93,202,150, Exercise Price $1,750, Expiration Date 7/15/2022 | 1,882,500 |
250 | United States Treasury Bond Futures, Notional Amount $350,000, Exercise Price $139, Expiration Date 6/25/2022 | 406,250 | |
800 | United States Treasury Note 10 Year Futures, Notional Amount $42,820,000, Exercise Price $87, Expiration Date 7/23/2022 | 562,504 | |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $3,384,406) | 2,938,724 | ||
INVESTMENT COMPANIES— 82.8% | |||
1,302,874 | Bank Loan Core Fund | 11,830,096 | |
27,607,830 | Emerging Markets Core Fund | 235,494,794 | |
48,919,825 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 0.83%5 | 48,905,149 | |
71,298,333 | High Yield Bond Core Fund | 404,974,529 | |
25,938,309 | Mortgage Core Fund | 233,444,782 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $1,043,968,358) | 934,649,350 | ||
TOTAL INVESTMENT IN SECURITIES—100.1% (IDENTIFIED COST $1,254,838,290)6 | 1,129,382,021 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.1)%7 | (583,755) | ||
TOTAL NET ASSETS—100% | $1,128,798,266 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
3United States Treasury Notes 2-Year Long Futures | 50 | $10,555,078 | September 2022 | $(12,492) |
3United States Treasury Notes 5-Year Long Futures | 10 | $1,129,531 | September 2022 | $(4,007) |
3United States Treasury Notes 10-Year Long Futures | 15 | $1,791,797 | September 2022 | $(9,176) |
Short Futures: | ||||
3United States Treasury Notes 10-Year Ultra Short Futures | 10 | $1,284,844 | September 2022 | $7,009 |
3United States Treasury Ultra Bond Short Futures | 2 | $311,500 | September 2022 | $386 |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(18,280) |
Settlement Date | Counterparty | Foreign Currency Units to Deliver/Receive | In Exchange For | Net Unrealized Appreciation/ (Depreciation) | |
Contracts Purchased: | |||||
6/13/2022 | Bank of America N.A. | 1,300,148,300 | JPY | $10,000,000 | $103,107 |
6/16/2022 | Credit Agricole CIB | 17,000 | CNY | $2,534 | $18 |
6/16/2022 | Morgan Stanley | 96,412,500 | CNY | $15,000,000 | $(520,998) |
6/27/2022 | Credit Agricole CIB | 15,000,000 | GBP | $19,542,039 | $(638,836) |
Contracts Sold: | |||||
6/13/2022 | Bank Of New York | 1,289,224,000 | JPY | $10,000,000 | $(18,217) |
6/16/2022 | Morgan Stanley | 17,000 | CNY | $2,640 | $87 |
6/16/2022 | Morgan Stanley | 96,397,500 | CNY | $15,000,000 | $523,251 |
NET UNREALIZED DEPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $(551,588) |
Credit Default Swap | |||||||||
Counterparty | Reference Entity | Buy/ Sell | Pay/ Receive Fixed Rate | Expiration Date | Implied Credit Spread at 05/31/20228 | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) |
OTC Swap: | |||||||||
Barclays Bank ICE | Sell Protection on CDX | Receive | 5.000% | 12/20/2026 | 0.36% | $10,000,000 | $274,418 | $645,690 | $(371,272) |
TOTAL CREDIT DEFAULT SWAPS | $274,418 | $645,690 | $(371,272) |
Counterparty | Description | Number of Contracts | Notional Amount | Expiration Date | Exercise Price | Value |
Call Options: | ||||||
Morgan Stanley | GBP CALL/USD PUT | 19,125,000 | $19,125,000 | June 2022 | $1.28 | $(75,525) |
Morgan Stanley | GBP CALL/USD PUT | 19,350,000 | $19,350,000 | July 2022 | $1.29 | $(87,501) |
Morgan Stanley | USD CALL/CAD PUT | 25,000,000 | $25,000,000 | June 2022 | $1.29 | $(30,825) |
Morgan Stanley | USD CALL/CAD PUT | 25,000,000 | $25,000,000 | June 2022 | $1.31 | $(7,875) |
J.P. Morgan | Russell 2000 Index | 400 | $74,561,720 | June 2022 | $1,950.00 | $(534,000) |
J.P. Morgan | United States Treasury Bond | 250 | $350,000 | June 2022 | $142.00 | $(214,844) |
J.P. Morgan | United States Treasury Note 10 Year Future | 400 | $408,000 | June 2022 | $120.00 | $(250,000) |
Instinet | iShares iBoxx High Yield Corporate Bond ETF | 15,000 | $119,250,000 | June 2022 | $78.00 | $(2,258,671) |
BNP | USD CALL/JPY PUT | 30,000,000 | $30,000,000 | June 2022 | $131.00 | $(93,090) |
Barclays | AUD CALL/USD PUT | 15,000,000 | $15,000,000 | June 2022 | $0.73 | $(111,000) |
Barclays | NZD CALL/USD PUT | 15,000,000 | $15,000,000 | June 2022 | $0.66 | $(132,855) |
Barclays | USD CALL/MXN PUT | 15,000,000 | $15,000,000 | July 2022 | $20.50 | $(67,830) |
Barclays | USD CALL/ZAR PUT | 15,000,000 | $15,000,000 | July 2022 | $15.50 | $(395,610) |
Bank of America Merill Lynch | USD CALL/NOK PUT | 15,000,000 | $15,000,000 | June 2022 | $9.75 | $(50,475) |
Put Options: | ||||||
Bank of America Merrill Lynch | USD PUT/NOK CALL | 30,000,000 | $30,000,000 | June 2022 | $8.75 | $(9,120) |
Bank of America Merrill Lynch | AUD PUT/USD CALL | 15,000,000 | $15,000,000 | June 2022 | $0.69 | $(35,895) |
Bank of America Merrill Lynch | USD PUT/CAD CALL | 25,000,000 | $25,000,000 | June 2022 | $1.27 | $(212,550) |
Barclays | USD PUT/MXN CALL | 15,000,000 | $15,000,000 | July 2022 | $19.50 | $(97,260) |
Barclays | USD PUT/ZAR CALL | 15,000,000 | $15,000,000 | July 2022 | $14.00 | $(885) |
Barclays | NZD PUT/USD CALL | 15,000,000 | $15,000,000 | June 2022 | $0.64 | $(100,380) |
BNP | USD PUT/JPY CALL | 30,000,000 | $30,000,000 | June 2022 | $124.00 | $(29,580) |
J.P. Morgan | Russell 2000 Index | 500 | $93,202,150 | June 2022 | $1,800.00 | $(1,265,000) |
J.P. Morgan | United States Treasury Bond | 250 | $350,000 | June 2022 | $136.00 | $(163,457) |
(Premium Received $6,797,129) | $(6,224,228) |
Affiliates | Value as of 11/30/2021 | Purchases at Cost | Proceeds from Sales |
Bank Loan Core Fund | $60,812,038 | $16,841,163 | $(65,000,000) |
Emerging Markets Core Fund | $265,673,450 | $66,915,666 | $(62,800,000) |
Federated Hermes Government Obligations Fund, Premier Shares | $17,374,500 | $48,419,276 | $(65,793,776) |
Federated Institutional Prime Value Obligations Fund, Institutional Shares | $23,430,312 | $363,155,907 | $(337,679,077) |
High Yield Bond Core Fund | $466,267,692 | $89,220,000 | $(106,625,000) |
Mortgage Core Fund | $147,548,396 | $111,999,999 | $(10,000,000) |
TOTAL OF AFFILIATED TRANSACTIONS | $981,106,388 | $696,552,011 | $(647,897,853) |
Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 5/31/2022 | Shares Held as of 5/31/2022 | Dividend Income | Gain Distributions Received |
$(372,727) | $(450,378) | $11,830,096 | 1,302,874 | $841,155 | $— |
$(30,290,463) | $(4,003,859) | $235,494,794 | 27,607,830 | $8,914,393 | $— |
$— | $— | $— | — | $— | $— |
$848 | $(2,841) | $48,905,149 | 48,919,825 | $77,823 | $2,215 |
$(40,372,396) | $(3,515,767) | $404,974,529 | 71,298,333 | $14,408,335 | $— |
$(15,859,711) | $(243,902) | $233,444,782 | 25,938,309 | $2,289,761 | $— |
$(86,894,449) | $(8,216,747) | $934,649,350 | 175,067,171 | $26,531,467 | $2,215 |
1 | 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 Board of Directors (the “Directors”). |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | Non-income-producing security. |
4 | Issuer in default. |
5 | 7-day net yield. |
6 | The cost of investments for federal tax purposes amounts to $1,255,005,479. |
7 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
8 | 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. |
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: | ||||
U.S. Treasuries | $— | $73,058,058 | $— | $73,058,058 |
Corporate Bonds | — | 53,966,836 | 25,488 | 53,992,324 |
Collateralized Mortgage Obligations | — | 23,975,540 | — | 23,975,540 |
Asset-Backed Securities | — | 11,919,266 | — | 11,919,266 |
Commercial Mortgage-Backed Security | — | 1,000,910 | — | 1,000,910 |
Purchased Call Options | — | 4,713,690 | — | 4,713,690 |
Purchased Put Options | — | 2,938,724 | — | 2,938,724 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 21,390,945 | — | — | 21,390,945 |
International | 1,742,814 | — | — | 1,742,814 |
Preferred Stock | ||||
Domestic | — | — | 400 | 400 |
Investment Companies | 934,649,350 | — | — | 934,649,350 |
TOTAL SECURITIES | $957,783,109 | $171,573,024 | $25,888 | $1,129,382,021 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $7,395 | $— | $— | $7,395 |
Foreign Exchange Contracts | — | 626,463 | — | 626,463 |
Swap Contracts | — | 274,418 | — | 274,418 |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Liabilities | ||||
Futures Contracts | $(25,675) | $— | $— | $(25,675) |
Foreign Exchange Contracts | — | (1,178,051) | — | (1,178,051) |
Written Options Contracts | (4,685,972) | (1,538,256) | — | (6,224,228) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(4,704,252) | $(1,815,426) | $— | $(6,519,678) |
The following acronym(s) are used throughout this portfolio: | ||
AUD | —Australian Dollar | |
BKNT | —Bank Notes | |
CAD | —Canadian Dollar | |
CNY | —Chinese Yuan Renminbi | |
ETF | —Exchange-Traded Fund | |
FHLMC | —Federal Home Loan Mortgage Corporation | |
FREMF | —Freddie Mac Multifamily K-Deals | |
GBP | —British Pound | |
GMTN | —Global Medium Term Note | |
JPY | —Japanese Yen | |
LIBOR | —London Interbank Offered Rate | |
MTN | —Medium Term Note | |
MXN | —Mexican Peso | |
NZD | —New Zealand Dollar | |
REIT | —Real Estate Investment Trust | |
REMIC | —Real Estate Mortgage Investment Conduit | |
USD | —United States Dollar | |
ZAR | —South African Rand |
Six Months Ended (unaudited) 5/31/2022 | Year Ended November 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $9.30 | $9.29 | $9.09 | $8.60 | $9.08 | $8.86 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.18 | 0.34 | 0.32 | 0.36 | 0.37 | 0.36 |
Net realized and unrealized gain (loss) | (0.85) | 0.01 | 0.17 | 0.47 | (0.51) | 0.24 |
Total From Investment Operations | (0.67) | 0.35 | 0.49 | 0.83 | (0.14) | 0.60 |
Less Distributions: | ||||||
Distributions from net investment income | (0.18) | (0.34) | (0.29) | (0.34) | (0.34) | (0.38) |
Net Asset Value, End of Period | $8.45 | $9.30 | $9.29 | $9.09 | $8.60 | $9.08 |
Total Return2 | (7.31)% | 3.74% | 5.56% | 9.87% | (1.56)% | 6.85% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.93%4 | 0.93% | 0.93% | 0.94% | 0.93% | 0.96% |
Net investment income | 3.94%4 | 3.61% | 3.55% | 3.99% | 4.18% | 3.99% |
Expense waiver/reimbursement5 | 0.10%4 | 0.10% | 0.13% | 0.12% | 0.13% | 0.12% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $255,880 | $297,673 | $292,259 | $307,049 | $307,761 | $342,586 |
Portfolio turnover6 | 34% | 50% | 70% | 58% | 48% | 18% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
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. |
Six Months Ended (unaudited) 5/31/2022 | Year Ended November 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $9.28 | $9.27 | $9.08 | $8.58 | $9.07 | $8.85 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.14 | 0.28 | 0.25 | 0.29 | 0.30 | 0.29 |
Net realized and unrealized gain (loss) | (0.84) | (0.01) | 0.16 | 0.48 | (0.52) | 0.24 |
Total From Investment Operations | (0.70) | 0.27 | 0.41 | 0.77 | (0.22) | 0.53 |
Less Distributions: | ||||||
Distributions from net investment income | (0.14) | (0.26) | (0.22) | (0.27) | (0.27) | (0.31) |
Net Asset Value, End of Period | $8.44 | $9.28 | $9.27 | $9.08 | $8.58 | $9.07 |
Total Return2 | (7.59)% | 2.94% | 4.62% | 9.18% | (2.43)% | 6.06% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.73%4 | 1.71% | 1.72% | 1.70% | 1.70% | 1.73% |
Net investment income | 3.12%4 | 2.91% | 2.77% | 3.27% | 3.41% | 3.23% |
Expense waiver/reimbursement5 | 0.10%4 | 0.11% | 0.12% | 0.12% | 0.13% | 0.12% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $2,594 | $3,890 | $8,324 | $19,567 | $28,507 | $46,640 |
Portfolio turnover6 | 34% | 50% | 70% | 58% | 48% | 18% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
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. |
Six Months Ended (unaudited) 5/31/2022 | Year Ended November 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $9.30 | $9.28 | $9.09 | $8.59 | $9.07 | $8.85 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.14 | 0.27 | 0.25 | 0.29 | 0.30 | 0.29 |
Net realized and unrealized gain (loss) | (0.84) | 0.02 | 0.16 | 0.48 | (0.50) | 0.24 |
Total From Investment Operations | (0.70) | 0.29 | 0.41 | 0.77 | (0.20) | 0.53 |
Less Distributions: | ||||||
Distributions from net investment income | (0.15) | (0.27) | (0.22) | (0.27) | (0.28) | (0.31) |
Net Asset Value, End of Period | $8.45 | $9.30 | $9.28 | $9.09 | $8.59 | $9.07 |
Total Return2 | (7.66)% | 3.07% | 4.65% | 9.19% | (2.30)% | 6.04% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.68%4 | 1.68% | 1.69% | 1.68% | 1.68% | 1.70% |
Net investment income | 3.18%4 | 2.90% | 2.80% | 3.28% | 3.43% | 3.25% |
Expense waiver/reimbursement5 | 0.10%4 | 0.10% | 0.12% | 0.12% | 0.14% | 0.12% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $28,677 | $35,536 | $45,955 | $58,296 | $76,758 | $132,528 |
Portfolio turnover6 | 34% | 50% | 70% | 58% | 48% | 18% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
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. |
Six Months Ended (unaudited) 5/31/2022 | Year Ended November 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $9.23 | $9.22 | $9.03 | $8.54 | $9.02 | $8.81 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.17 | 0.34 | 0.31 | 0.35 | 0.37 | 0.36 |
Net realized and unrealized gain (loss) | (0.83) | 0.01 | 0.17 | 0.48 | (0.51) | 0.23 |
Total From Investment Operations | (0.66) | 0.35 | 0.48 | 0.83 | (0.14) | 0.59 |
Less Distributions: | ||||||
Distributions from net investment income | (0.18) | (0.34) | (0.29) | (0.34) | (0.34) | (0.38) |
Net Asset Value, End of Period | $8.39 | $9.23 | $9.22 | $9.03 | $8.54 | $9.02 |
Total Return2 | (7.25)% | 3.77% | 5.49% | 9.95% | (1.57)% | 6.79% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.93%4 | 0.93% | 0.93% | 0.94% | 0.93% | 0.96% |
Net investment income | 3.95%4 | 3.62% | 3.56% | 3.99% | 4.18% | 3.99% |
Expense waiver/reimbursement5 | 0.10%4 | 0.10% | 0.12% | 0.12% | 0.13% | 0.11% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $45,163 | $51,221 | $51,426 | $53,136 | $51,431 | $60,561 |
Portfolio turnover6 | 34% | 50% | 70% | 58% | 48% | 18% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
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. |
Six Months Ended (unaudited) 5/31/2022 | Year Ended November 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $9.24 | $9.23 | $9.04 | $8.55 | $9.03 | $8.81 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.19 | 0.36 | 0.34 | 0.38 | 0.40 | 0.38 |
Net realized and unrealized gain (loss) | (0.84) | 0.02 | 0.17 | 0.48 | (0.51) | 0.25 |
Total From Investment Operations | (0.65) | 0.38 | 0.51 | 0.86 | (0.11) | 0.63 |
Less Distributions: | ||||||
Distributions from net investment income | (0.19) | (0.37) | (0.32) | (0.37) | (0.37) | (0.41) |
Net Asset Value, End of Period | $8.40 | $9.24 | $9.23 | $9.04 | $8.55 | $9.03 |
Total Return2 | (7.10)% | 4.09% | 5.83% | 10.28% | (1.25)% | 7.23% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.61%4 | 0.61% | 0.61% | 0.62% | 0.62% | 0.64% |
Net investment income | 4.27%4 | 3.82% | 3.87% | 4.23% | 4.49% | 4.24% |
Expense waiver/reimbursement5 | 0.15%4 | 0.15% | 0.20% | 0.19% | 0.18% | 0.17% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $785,080 | $783,512 | $246,898 | $275,189 | $134,398 | $136,141 |
Portfolio turnover6 | 34% | 50% | 70% | 58% | 48% | 18% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
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. |
Six Months Ended (unaudited) 5/31/2022 | Year Ended November 30, | Period Ended 11/30/20171 | ||||
2021 | 2020 | 2019 | 2018 | |||
Net Asset Value, Beginning of Period | $9.30 | $9.29 | $9.10 | $8.60 | $9.09 | $8.96 |
Income From Investment Operations: | ||||||
Net investment income (loss)2 | 0.19 | 0.37 | 0.35 | 0.38 | 0.40 | 0.31 |
Net realized and unrealized gain (loss) | (0.84) | 0.01 | 0.16 | 0.49 | (0.52) | 0.11 |
Total From Investment Operations | (0.65) | 0.38 | 0.51 | 0.87 | (0.12) | 0.42 |
Less Distributions: | ||||||
Distributions from net investment income | (0.19) | (0.37) | (0.32) | (0.37) | (0.37) | (0.29) |
Net Asset Value, End of Period | $8.46 | $9.30 | $9.29 | $9.10 | $8.60 | $9.09 |
Total Return3 | (7.05)% | 4.08% | 5.80% | 10.35% | (1.36)% | 4.73% |
Ratios to Average Net Assets: | ||||||
Net expenses4 | 0.60%5 | 0.60% | 0.60% | 0.61% | 0.61% | 0.61%5 |
Net investment income | 4.28%5 | 3.88% | 3.88% | 4.30% | 4.49% | 4.03%5 |
Expense waiver/reimbursement6 | 0.10%5 | 0.10% | 0.12% | 0.12% | 0.12% | 0.12%5 |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $11,405 | $11,157 | $5,468 | $4,390 | $3,790 | $5,251 |
Portfolio turnover7 | 34% | 50% | 70% | 58% | 48% | 18%8 |
1 | Reflects operations for the period from January 27, 2017 (date of initial investment) to November 30, 2017. |
2 | Per share numbers have been calculated using the average shares method. |
3 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | 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. |
7 | Securities that mature are considered sales for purposes of this calculation. |
8 | Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended November 30, 2017. |
May 31, 2022 (unaudited)
Assets: | |
Investment in securities, at value including $934,649,350 of investment in affiliated holdings* (identified cost $1,254,838,290) | $1,129,382,021 |
Cash | 636,574 |
Cash denominated in foreign currencies (identified cost $147,493) | 148,151 |
Due from broker (Note 2) | 6,279,114 |
Income receivable | 782,481 |
Income receivable from affiliated holdings | 4,442,598 |
Swaps, at value (premium paid $645,690) | 274,418 |
Receivable for investments sold | 925,287 |
Receivable for shares sold | 708,039 |
Unrealized appreciation on foreign exchange contracts | 626,463 |
Receivable for variation margin on futures contracts | 551,061 |
Receivable for periodic payments from swap contracts | 100,000 |
Total Assets | 1,144,856,207 |
Liabilities: | |
Payable for investments purchased | 6,536,797 |
Payable for shares redeemed | 1,920,679 |
Written options outstanding (premium received $6,797,129), at value | 6,224,228 |
Unrealized depreciation on foreign exchange contracts | 1,178,051 |
Payable for investment adviser fee (Note 5) | 14,192 |
Payable for administrative fee (Note 5) | 2,433 |
Payable for distribution services fee (Note 5) | 20,114 |
Payable for other service fees (Notes 2 and 5) | 64,428 |
Accrued expenses (Note 5) | 97,019 |
Total Liabilities | 16,057,941 |
Net assets for 134,182,410 shares outstanding | $1,128,798,266 |
Net Assets Consist of: | |
Paid-in capital | $1,340,634,833 |
Total distributable earnings (loss) | (211,836,567) |
Total Net Assets | $1,128,798,266 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Class A Shares: | |
Net asset value per share ($255,879,741 ÷ 30,264,645 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $8.45 |
Offering price per share (100/95.50 of $8.45) | $8.85 |
Redemption proceeds per share | $8.45 |
Class B Shares: | |
Net asset value per share ($2,593,507 ÷ 307,325 shares outstanding), $0.001 par value, 2,000,000,000 shares authorized | $8.44 |
Offering price per share | $8.44 |
Redemption proceeds per share (94.50/100 of $8.44) | $7.98 |
Class C Shares: | |
Net asset value per share ($28,677,214 ÷ 3,393,919 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $8.45 |
Offering price per share | $8.45 |
Redemption proceeds per share (99.00/100 of $8.45) | $8.37 |
Class F Shares: | |
Net asset value per share ($45,163,238 ÷ 5,383,048 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $8.39 |
Offering price per share (100/99.00 of $8.39) | $8.47 |
Redemption proceeds per share (99.00/100 of $8.39) | $8.31 |
Institutional Shares: | |
Net asset value per share ($785,079,920 ÷ 93,485,042 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $8.40 |
Offering price per share | $8.40 |
Redemption proceeds per share | $8.40 |
Class R6 Shares: | |
Net asset value per share ($11,404,646 ÷ 1,348,431 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $8.46 |
Offering price per share | $8.46 |
Redemption proceeds per share | $8.46 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended May 31, 2022 (unaudited)
Investment Income: | |
Dividends (including $26,531,467 received from affiliated holdings* and net of foreign taxes withheld of $3,513) | $27,110,725 |
Interest | 1,900,977 |
Net income on securities loaned (Note 2) | 80,314 |
TOTAL INCOME | 29,092,016 |
Expenses: | |
Investment adviser fee (Note 5) | 3,276,623 |
Administrative fee (Note 5) | 468,300 |
Custodian fees | 31,697 |
Transfer agent fees (Note 2) | 614,884 |
Directors’/Trustees’ fees (Note 5) | 4,879 |
Auditing fees | 16,555 |
Legal fees | 4,121 |
Portfolio accounting fees | 116,449 |
Distribution services fee (Note 5) | 135,220 |
Other service fees (Notes 2 and 5) | 456,228 |
Share registration costs | 75,485 |
Printing and postage | 33,097 |
Miscellaneous (Note 5) | 23,102 |
TOTAL EXPENSES | 5,256,640 |
Waiver and Reimbursements: | |
Waiver/reimbursement of investment adviser fee (Note 5) | (515,963) |
Waiver/reimbursements of other operating expenses (Notes 2 and 5) | (351,646) |
TOTAL WAIVER AND REIMBURSEMENTS | (867,609) |
Net expenses | 4,389,031 |
Net investment income | 24,702,985 |
Realized and Unrealized Gain (Loss) on Investments, Foreign Currency Transactions, Foreign Exchange Contracts, Futures Contracts, Written Options and Swap Contracts: | |
Net realized loss on investments (including net realized loss of $(8,216,747) on sales of investments in affiliated holdings*) | $(21,084,619) |
Net realized loss on foreign currency transactions | (3,616,730) |
Net realized loss on foreign exchange contracts | (962,046) |
Net realized gain on futures contracts | 847,714 |
Net realized gain on written options | 4,802,295 |
Net realized gain on swap contracts | 736,777 |
Realized gain distribution from affiliated investment company shares* | 2,215 |
Net change in unrealized depreciation of investments (including net change in unrealized depreciation of $(86,894,449) on investments in affiliated holdings*) | (102,380,598) |
Net change in unrealized appreciation/depreciation of translation of assets and liabilities in foreign currency | 1,771 |
Net change in unrealized appreciation of foreign exchange contracts | (551,588) |
Net change in unrealized depreciation of futures contracts | 47,777 |
Net change in unrealized depreciation of written options | 7,592,434 |
Net change in unrealized appreciation of swap contracts | (371,272) |
Net realized and unrealized gain (loss) on investments, foreign currency transactions, foreign exchange contracts, futures contracts, written options and swap contracts | (114,935,870) |
Change in net assets resulting from operations | $(90,232,885) |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 5/31/2022 | Year Ended 11/30/2021 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $24,702,985 | $33,287,072 |
Net realized gain (loss) | (19,274,394) | 27,334,213 |
Net change in unrealized appreciation/depreciation | (95,661,476) | (40,029,143) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (90,232,885) | 20,592,142 |
Distributions to Shareholders: | ||
Class A Shares | (5,613,939) | (10,713,324) |
Class B Shares | (50,517) | (167,190) |
Class C Shares | (534,727) | (1,130,730) |
Class F Shares | (988,715) | (1,872,000) |
Institutional Shares | (17,666,654) | (18,156,976) |
Class R6 Shares | (255,798) | (303,149) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (25,110,350) | (32,343,369) |
Share Transactions: | ||
Proceeds from sale of shares | 270,739,746 | 668,970,292 |
Net asset value of shares issued to shareholders in payment of distributions declared | 24,687,595 | 31,392,160 |
Cost of shares redeemed | (234,275,333) | (155,951,371) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 61,152,008 | 544,411,081 |
Change in net assets | (54,191,227) | 532,659,854 |
Net Assets: | ||
Beginning of period | 1,182,989,493 | 650,329,639 |
End of period | $1,128,798,266 | $1,182,989,493 |
Transfer Agent Fees Incurred | Transfer Agent Fees Reimbursed | |
Class A Shares | $141,088 | $(10,819) |
Class B Shares | 2,338 | (103) |
Class C Shares | 15,924 | — |
Class F Shares | 21,695 | (51) |
Institutional Shares | 433,089 | (340,673) |
Class R6 Shares | 750 | — |
TOTAL | $614,884 | $(351,646) |
Other Service Fees Incurred | |
Class A Shares | $350,258 |
Class B Shares | 3,920 |
Class C Shares | 41,153 |
Class F Shares | 60,897 |
TOTAL | $456,228 |
Fair Value of Derivative Instruments | ||||
Assets | Liabilities | |||
Statement of Assets and Liabilities Location | Fair Value | 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 | $(18,280)* | $— | |
Interest rate contracts | Purchased options, within Investment in securities, at value | 968,754 | — | |
Interest rate contracts | — | Written options outstanding, at value | 628,301 | |
Equity contracts | — | Written options outstanding, at value | 4,057,672 | |
Equity contracts | Purchased options, within Investment in securities at value | 6,393,750 | — | |
Foreign exchange contracts | Unrealized appreciation on foreign exchange contracts | 626,463 | Unrealized depreciation on foreign exchange contracts | 1,178,051 |
Foreign exchange contracts | — | Written options outstanding, at value | 1,538,255 | |
Foreign exchange contracts | Purchased options, within Investment in securities at value | 289,910 | — | |
Credit contracts | Swaps, at value | 274,418 | — | |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $8,535,015 | $7,402,279 |
* | 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 | ||||||
Credit Default Swaps | Futures Contracts | Foreign Exchange Contracts | Purchased Options Contracts1 | Written Options Contracts | Total | |
Interest rate contracts | $— | $847,714 | $— | $(1,250,966) | $(805,156) | $(1,208,408) |
Equity contracts | — | — | — | (8,848,229) | (619,525) | (9,467,754) |
Foreign exchange contracts | — | — | (962,046) | (1,215,212) | 6,226,976 | 4,049,718 |
Credit contracts | 736,777 | — | — | — | — | 736,777 |
TOTAL | $736,777 | $847,714 | $(962,046) | $(11,314,407) | $4,802,295 | $(5,889,667) |
1 | The net realized gain on Purchased Options Contracts is found within the Net realized gain on investments on the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
Credit Default Swaps | Futures Contracts | Foreign Exchange Contracts | Purchased Options Contracts2 | Written Options Contracts | Total | |
Interest rate contracts | $— | $47,777 | $— | $931,709 | $474,659 | $1,454,145 |
Equity contracts | — | — | — | (1,514,874) | 4,865,200 | 3,350,326 |
Foreign exchange contracts | — | — | (551,588) | (32,928) | 2,252,575 | 1,668,059 |
Credit contracts | (371,272) | — | — | — | — | (371,272) |
TOTAL | $(371,272) | $47,777 | $(551,588) | $(616,093) | $7,592,434 | $6,101,258 |
2 | The net change in unrealized depreciation of Purchased Options Contracts is found within the Net change in unrealized depreciation of investments on the Statement of Operations. |
Gross Amounts Not Offset In the Statement of Assets and Liabilities | ||||||||
Transaction | Gross Asset Derivatives Presented In Statement of Assets and Liabilities | Financial Instrument | Collateral Received | Net Amount | ||||
Foreign Exchange Contracts | $626,463 | $(521,016) | $— | $105,447 | ||||
Swap Contracts | 274,418 | — | — | 274,418 | ||||
Purchased Option Contracts | 7,652,414 | (2,717,211) | — | 4,935,203 | ||||
TOTAL | $8,553,295 | $(3,238,227) | $— | $5,315,068 |
Transaction | Gross Liability Derivatives Presented In Statement of Assets and Liabilities | Financial Instrument | Collateral Received | Net Amount |
Foreign Exchange Contracts | $1,178,051 | $(521,016) | $— | $657,035 |
Swap Contracts | — | — | — | — |
Written Option Contracts | 6,224,228 | (2,717,211) | — | 3,507,017 |
TOTAL | $7,402,279 | $(3,238,227) | $— | $4,164,052 |
Six Months Ended 5/31/2022 | Year Ended 11/30/2021 | |||
Class A Shares: | Shares | Amount | Shares | Amount |
Shares sold | 980,143 | $8,902,207 | 4,760,268 | $45,229,587 |
Shares issued to shareholders in payment of distributions declared | 587,138 | 5,258,466 | 1,052,751 | 9,971,445 |
Shares redeemed | (3,305,472) | (29,357,972) | (5,269,244) | (50,055,842) |
NET CHANGE RESULTING FROM CLASS A SHARE TRANSACTIONS | (1,738,191) | $(15,197,299) | 543,775 | $5,145,190 |
Six Months Ended 5/31/2022 | Year Ended 11/30/2021 | |||
Class B Shares: | Shares | Amount | Shares | Amount |
Shares sold | 2,573 | $23,345 | 16,160 | $153,326 |
Shares issued to shareholders in payment of distributions declared | 4,743 | 42,644 | 15,710 | 148,336 |
Shares redeemed | (118,945) | (1,079,645) | (510,638) | (4,832,968) |
NET CHANGE RESULTING FROM CLASS B SHARE TRANSACTIONS | (111,629) | $(1,013,656) | (478,768) | $(4,531,306) |
Six Months Ended 5/31/2022 | Year Ended 11/30/2021 | |||
Class C Shares: | Shares | Amount | Shares | Amount |
Shares sold | 363,818 | $3,295,548 | 1,176,394 | $11,177,994 |
Shares issued to shareholders in payment of distributions declared | 59,361 | 532,753 | 118,982 | 1,125,188 |
Shares redeemed | (852,221) | (7,548,648) | (2,422,934) | (22,985,832) |
NET CHANGE RESULTING FROM CLASS C SHARE TRANSACTIONS | (429,042) | $(3,720,347) | (1,127,558) | $(10,682,650) |
Six Months Ended 5/31/2022 | Year Ended 11/30/2021 | |||
Class F Shares: | Shares | Amount | Shares | Amount |
Shares sold | 148,808 | $1,333,583 | 323,512 | $3,056,385 |
Shares issued to shareholders in payment of distributions declared | 109,144 | 969,856 | 194,770 | 1,830,949 |
Shares redeemed | (423,338) | (3,702,309) | (545,810) | (5,135,405) |
NET CHANGE RESULTING FROM CLASS F SHARE TRANSACTIONS | (165,386) | $(1,398,870) | (27,528) | $(248,071) |
Six Months Ended 5/31/2022 | Year Ended 11/30/2021 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 28,394,657 | $254,235,233 | 63,755,929 | $602,705,700 |
Shares issued to shareholders in payment of distributions declared | 1,986,677 | 17,630,761 | 1,912,323 | 18,018,626 |
Shares redeemed | (21,691,398) | (190,784,530) | (7,619,770) | (71,801,280) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | 8,689,936 | $81,081,464 | 58,048,482 | $548,923,046 |
Six Months Ended 5/31/2022 | Year Ended 11/30/2021 | |||
Class R6 Shares: | Shares | Amount | Shares | Amount |
Shares sold | 326,172 | $2,949,830 | 699,078 | $6,647,300 |
Shares issued to shareholders in payment of distributions declared | 28,342 | 253,115 | 31,392 | 297,616 |
Shares redeemed | (205,152) | (1,802,229) | (119,793) | (1,140,044) |
NET CHANGE RESULTING FROM R6 SHARE TRANSACTIONS | 149,362 | $1,400,716 | 610,677 | $5,804,872 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 6,395,050 | $61,152,008 | 57,569,080 | $544,411,081 |
Short-Term | Long-Term | Total |
$— | $63,556,596 | $63,556,596 |
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 |
Percentage of Average Daily Net Assets of Class | |
Class B Shares | 0.75% |
Class C Shares | 0.75% |
Class F Shares | 0.05% |
Distribution Services Fees Incurred | |
Class B Shares | $11,761 |
Class C Shares | 123,459 |
TOTAL | $135,220 |
Purchases | $403,231,207 |
Sales | $348,812,637 |
Beginning Account Value 12/1/2021 | Ending Account Value 5/31/2022 | Expenses Paid During Period1 | |
Actual: | |||
Class A Shares | $1,000 | $926.90 | $4.47 |
Class B Shares | $1,000 | $924.10 | $8.30 |
Class C Shares | $1,000 | $923.40 | $8.06 |
Class F Shares | $1,000 | $927.50 | $4.47 |
Institutional Shares | $1,000 | $929.00 | $2.93 |
Class R6 Shares | $1,000 | $929.50 | $2.89 |
Hypothetical (assuming a 5% return before expenses): | |||
Class A Shares | $1,000 | $1,020.29 | $4.68 |
Class B Shares | $1,000 | $1,016.31 | $8.70 |
Class C Shares | $1,000 | $1,016.55 | $8.45 |
Class F Shares | $1,000 | $1,020.29 | $4.68 |
Institutional Shares | $1,000 | $1,021.89 | $3.07 |
Class R6 Shares | $1,000 | $1,021.94 | $3.02 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Class A Shares | 0.93% |
Class B Shares | 1.73% |
Class C Shares | 1.68% |
Class F Shares | 0.93% |
Institutional Shares | 0.61% |
Class R6 Shares | 0.60% |
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.
CUSIP 31417P601
CUSIP 31417P700
CUSIP 31417P809
CUSIP 31417P841
CUSIP 31417P833
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 Fixed Income Securities, Inc.
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date July 25, 2022
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 July 25, 2022
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date July 25, 2022