United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-8042
(Investment Company Act File Number)
Federated Insurance Series
_______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, Pennsylvania 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End:12/31/19
Date of Reporting Period:12/31/19
Item 1. | Reports to Stockholders |
Share Class | Primary | Service |
1 | Please see the footnotes to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the Blended Index. |
2 | There are no guarantees that dividend-paying stocks will continue to pay dividends. In addition, dividend-paying stocks may not experience the same capital appreciation potential as non-dividend-paying stocks. High-yield, lower-rated securities generally entail greater market, credit and liquidity risks than investment-grade securities and may include higher volatility and higher risk of default. |
3 | The CBOE Volatility Index® (VIX® Index) is a leading measure of market expectations of near-term volatility conveyed by S&P 500 Index option prices.* |
4 | Please see the footnotes to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the S& P 500 Index. |
5 | Bond prices are sensitive to changes in interest rates and a rise in interest rates can cause a decline in their prices. |
6 | The value of some mortgage-backed securities may be particularly sensitive to changes in the prevailing interest rates, and although the securities are generally supported by some form of government or private insurance, there is no assurance that private guarantors or insurers will meet their obligations. |
7 | Investment-grade securities are securities that are rated at least “BBB- (minus)” or unrated securities of a comparable quality. Noninvestment-grade securities are securities that are not rated at least “BBB- (minus)” or unrated securities of a comparable quality. Credit ratings are an indication of the risk that a security will default. They do not protect a security from credit risk. Lower-rated bonds typically offer higher yields to help compensate investors for the increased risk associated with them. Among these risks are lower credit-worthiness, greater price volatility, more risk to principal and income than with higher-rated securities and increased possibilities of default. |
8 | International investing involves special risks including currency risk, increased volatility, political risks and differences in auditing and other financial standards. Prices of emerging markets securities can be significantly more volatile than the prices of securities in developed countries and currency risk and political risks are accentuated in emerging markets. |
9 | High-yield, lower-rated securities generally entail greater market, credit and liquidity risks than investment-grade securities and may include higher volatility and a higher risk of default. |
10 | Duration is a measure of a security's price sensitivity to changes in interest rates. Securities with longer durations are more sensitive to changes in interest rates than securities of shorter durations. |
11 | The Bloomberg Barclays U.S. Treasury Index measures U.S dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury.* |
12 | The Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index is an issuer-constrained version of the Bloomberg Barclays U.S. Corporate High-Yield Index that measures the market of USD-denominated, noninvestment-grade, fixed-rate, taxable corporate bonds. The index follows the same rules as the uncapped index but limits the exposure of each issuer to 2% of the total market value and redistributes any excess market value index-wide on a pro-rata basis.* |
13 | The Bloomberg Barclays Emerging Markets U.S. Aggregate Index tracks total returns for external-currency-denominated debt instruments of the emerging markets.* |
14 | The Bloomberg Barclays U.S. Corporate Investment Grade Index measures the investment grade, fixed-rate, taxable corporate bond market. It includes USD denominated securities publicly issued by US and non-US industrial, utility and financial issuers.* |
15 | The Bloomberg Barclays MBS Index covers agency mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC).* |
16 | The Fund's use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities or other traditional instruments. |
* | The index is unmanaged, and it is not possible to invest directly in an index. |
Federated Managed Volatility Fund II - | Primary Shares* | Service Shares* | S&P 500 | R1000V | Blended Index |
F | F | I | I | I | |
12/31/2009 | 10,000 | 10,000 | 10,000 | 10,000 | 10,000 |
12/31/2010 | 11,208 | 11,208 | 11,506 | 11,551 | 11,059 |
12/31/2011 | 11,743 | 11,743 | 11,749 | 11,596 | 11,631 |
12/31/2012 | 13,335 | 13,335 | 13,630 | 13,626 | 12,738 |
12/31/2013 | 16,234 | 16,234 | 18,044 | 18,058 | 14,109 |
12/31/2014 | 16,869 | 16,869 | 20,514 | 20,487 | 15,377 |
12/31/2015 | 15,594 | 15,594 | 20,798 | 19,703 | 15,222 |
12/31/2016 | 16,793 | 16,793 | 23,285 | 23,120 | 16,516 |
12/31/2017 | 19,834 | 19,834 | 28,369 | 26,279 | 17,760 |
12/31/2018 | 18,150 | 18,131 | 27,125 | 24,106 | 17,206 |
12/31/2019 | 21,821 | 21,742 | 35,666 | 30,505 | 19,933 |
* | The performance of the Primary Shares and Service Shares is substantially similar for the time period shown and, therefore, only one line appears in the graph. |
1 Year | 5 Years | 10 Years | |
Primary Shares | 20.23% | 5.28% | 8.12% |
Service Shares5 | 19.92% | 5.21% | 8.08% |
S&P 500 | 31.49% | 11.70% | 13.56% |
R1000V | 26.54% | 8.29% | 11.80% |
Blended Index | 15.85% | 5.33% | 7.14% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The S&P 500, R1000V and the Blended Index have been adjusted to reflect reinvestment of dividends on securities in the indexes. |
2 | The S&P 500 is a capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. |
3 | The S&P 500, R1000V and the Blended Index are not adjusted to reflect sales charges, expenses or other fees that the Securities and Exchange Commission (SEC) requires to be reflected in the Fund's performance. The indexes are unmanaged and, unlike the Fund, are not affected by cash flows. It is not possible to invest directly in an index. |
4 | The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower expected growth values. The R1000V is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. The R1000V is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics. The Bloomberg Barclays U.S. Aggregate Bond Index measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities and commercial mortgage-backed securities. |
5 | The Fund's Service (S) Class commenced operations on April 26, 2018. For the periods prior to the commencement of operations of the Fund's S class, the performance information shown is for the Fund's Primary (P) class. The performance of the P class has not been adjusted to reflect the expenses applicable to the S class. The total returns of the S class would have been substantially similar to the annual returns for the P class over the same period because the classes are invested in the same portfolio of securities and would differ only to the extent the classes do not have the same expenses. The expenses of the S class are higher than those of the P class; accordingly, the performance of the S class is anticipated to be lower than the performance of the P class. |
Portfolio Composition | Percentage of Total Net Assets |
Domestic Fixed-Income Securities | 44.6% |
Domestic Equity Securities | 40.0% |
Federated High Income Bond Fund II, Class P | 2.5% |
Federated Project and Trade Finance Core Fund | 2.5% |
Emerging Markets Core Fund | 1.7% |
Federated Bank Loan Core Fund | 1.0% |
International Equity Securities | 0.3% |
Federated U.S. Government Securities Fund: 2-5 Years, Institutional Shares2 | 0.0% |
Cash Equivalents3 | 0.6% |
Other Security Types4 | 0.1% |
Derivative Contracts5 | 1.6% |
Repurchase Agreement | 4.3% |
Other Assets and Liabilities—Net6 | 0.8% |
TOTAL | 100.0% |
Sector Composition of Equity Holdings | Percentage of Equity Securities |
Financials | 24.5% |
Health Care | 13.5% |
Industrials | 9.4% |
Consumer Staples | 8.8% |
Energy | 8.0% |
Communication Services | 7.9% |
Information Technology | 6.6% |
Utilities | 6.4% |
Consumer Discretionary | 5.7% |
Real Estate | 5.0% |
Materials | 4.2% |
TOTAL | 100.0% |
1 | See the Fund's Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests. 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. |
2 | Represents less than 0.1%. |
3 | Cash Equivalents include any investments in money market mutual funds. |
4 | Other Security Types consist of purchased options. |
5 | 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 tables at the end of the Portfolio of Investments included in this Report. |
6 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
7 | Sector classifications are based upon, and individual portfolio securities are assigned to, the classifications of the Global Industry Classification Standard (GICS) except that the Co-Advisers assign a classification to securities not classified by the GICS and to securities for which the Co-Advisers do not have access to the classification made by the GICS. |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—40.3% | |||
Communication Services—3.2% | |||
106,592 | AT&T, Inc. | $4,165,615 | |
85,368 | CenturyLink, Inc. | 1,127,711 | |
2,001 | 1 | Charter Communications, Inc. | 970,645 |
74,221 | Comcast Corp., Class A | 3,337,718 | |
44 | 1 | DISH Network Corp., Class A | 1,561 |
8,646 | 1 | Discovery, Inc., Class C | 263,617 |
4,361 | Fox Corp. | 161,662 | |
13,224 | 1 | Lions Gate Entertainment Corp., Class A | 140,968 |
17,507 | 1 | Lions Gate Entertainment Corp., Class B | 173,845 |
48,353 | News Corp., Inc., Class B | 701,602 | |
10,935 | Sinclair Broadcast Group, Inc. | 364,573 | |
8,902 | 1 | Take-Two Interactive Software, Inc. | 1,089,872 |
96,274 | Verizon Communications, Inc. | 5,911,224 | |
4,935 | ViacomCBS, Inc., Class A | 221,433 | |
158 | ViacomCBS, Inc., Class B | 6,631 | |
23,179 | Walt Disney Co. | 3,352,379 | |
35,059 | 1 | Zynga, Inc. | 214,561 |
TOTAL | 22,205,617 | ||
Consumer Discretionary—2.3% | |||
10,841 | 1 | Caesars Entertainment Corp. | 147,438 |
68 | Dollar General Corp. | 10,607 | |
11,766 | 1 | Dollar Tree, Inc. | 1,106,592 |
4,365 | Expedia Group, Inc. | 472,031 | |
16,913 | Extended Stay America, Inc. | 251,327 | |
211,150 | Ford Motor Co. | 1,963,695 | |
4,813 | 1 | Frontdoor, Inc. | 228,232 |
24,952 | Gentex Corp. | 723,109 | |
7,796 | Home Depot, Inc. | 1,702,490 | |
17,091 | L Brands, Inc. | 309,689 | |
26,480 | 1 | LKQ Corp. | 945,336 |
3,016 | MGM Resorts International | 100,342 | |
18,569 | McDonald's Corp. | 3,669,420 | |
33,254 | Newell Brands, Inc. | 639,142 | |
7,819 | 1 | Norwegian Cruise Line Holdings Ltd. | 456,708 |
39,147 | Pulte Group, Inc. | 1,518,904 | |
6,701 | Target Corp. | 859,135 | |
9,019 | 1 | Under Armour, Inc., Class C | 172,984 |
586 | Yum China Holding, Inc. | 28,134 | |
5,350 | Yum! Brands, Inc. | 538,906 | |
TOTAL | 15,844,221 | ||
Consumer Staples—3.6% | |||
18,325 | Altria Group, Inc. | 914,601 | |
18,000 | 1 | Bellring Brands, Inc. | 383,220 |
17,515 | Colgate-Palmolive Co. | 1,205,732 | |
561 | 1 | Herbalife Ltd. | 26,743 |
8,908 | Hershey Foods Corp. | 1,309,298 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Consumer Staples—continued | |||
1,500 | Kimberly-Clark Corp. | $206,325 | |
35,116 | Kraft Heinz Co./The | 1,128,277 | |
1,862 | Lamb Weston Holdings, Inc. | 160,188 | |
50,287 | Mondelez International, Inc. | 2,769,808 | |
5,946 | PepsiCo, Inc. | 812,640 | |
27,974 | Philip Morris International, Inc. | 2,380,308 | |
52,928 | Procter & Gamble Co. | 6,610,707 | |
2,190 | 1 | Sprouts Farmers Market, Inc. | 42,376 |
40,831 | The Coca-Cola Co. | 2,259,996 | |
1,601 | Walgreens Boots Alliance, Inc. | 94,395 | |
37,944 | WalMart, Inc. | 4,509,265 | |
TOTAL | 24,813,879 | ||
Energy—3.2% | |||
27,634 | Cabot Oil & Gas Corp., Class A | 481,108 | |
41,139 | Chevron Corp. | 4,957,661 | |
30,148 | ConocoPhillips | 1,960,525 | |
4,492 | Continental Resources, Inc. | 154,076 | |
11,712 | EOG Resources, Inc. | 980,997 | |
26,772 | EQT Corp. | 291,815 | |
81,521 | Exxon Mobil Corp. | 5,688,535 | |
145 | Helmerich & Payne, Inc. | 6,587 | |
7,036 | Hess Corp. | 470,075 | |
60,378 | Kinder Morgan, Inc. | 1,278,202 | |
15,078 | Marathon Oil Corp. | 204,759 | |
21,839 | Occidental Petroleum Corp. | 899,985 | |
9,776 | Parsley Energy, Inc. | 184,864 | |
19,367 | Patterson-UTI Energy, Inc. | 203,354 | |
5,279 | Phillips 66 | 588,133 | |
2,979 | Pioneer Natural Resources, Inc. | 450,931 | |
40,423 | Schlumberger Ltd. | 1,625,005 | |
12,433 | Valero Energy Corp. | 1,164,351 | |
32,967 | Williams Cos., Inc. | 781,977 | |
TOTAL | 22,372,940 | ||
Financials—9.9% | |||
64,198 | AXA Equitable Holdings, Inc. | 1,590,826 | |
6,314 | Aflac, Inc. | 334,011 | |
12,579 | Allstate Corp. | 1,414,509 | |
49,185 | Ally Financial, Inc. | 1,503,094 | |
4,416 | Ameriprise Financial, Inc. | 735,617 | |
4,218 | 1 | Athene Holding Ltd. | 198,373 |
45,000 | 1 | BRP Group, Inc. | 722,250 |
201,332 | Bank of America Corp. | 7,090,913 | |
36,767 | Bank of New York Mellon Corp. | 1,850,483 | |
31,339 | 1 | Berkshire Hathaway, Inc., Class B | 7,098,283 |
14,753 | 1 | Brighthouse Financial, Inc. | 578,760 |
12,708 | CIT Group Holdings, Inc. | 579,866 | |
258 | CME Group, Inc. | 51,786 | |
26,759 | CNA Financial Corp. | 1,199,071 | |
6,986 | Capital One Financial Corp. | 718,929 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Financials—continued | |||
60,232 | Chimera Investment Corp. | $1,238,370 | |
704 | Chubb Ltd. | 109,585 | |
59,345 | Citigroup, Inc. | 4,741,072 | |
37,810 | Citizens Financial Group, Inc. | 1,535,464 | |
21,593 | Comerica, Inc. | 1,549,298 | |
2,681 | Discover Financial Services | 227,402 | |
13,822 | E*Trade Financial Corp. | 627,104 | |
9,959 | First Horizon National Corp. | 164,921 | |
5,930 | Goldman Sachs Group, Inc. | 1,363,485 | |
3,474 | Hanover Insurance Group, Inc. | 474,792 | |
56,484 | JPMorgan Chase & Co. | 7,873,870 | |
19,421 | Jefferies Financial Group, Inc. | 415,027 | |
1,887 | Kemper Corp. | 146,242 | |
15,152 | KeyCorp | 306,676 | |
10,791 | Lazard Ltd., Class A | 431,208 | |
21,553 | Lincoln National Corp. | 1,271,843 | |
30,400 | Loews Corp. | 1,595,696 | |
17,330 | MGIC Investment Corp. | 245,566 | |
42,503 | MetLife, Inc. | 2,166,378 | |
36,205 | Morgan Stanley | 1,850,800 | |
71,359 | Navient Corp. | 976,191 | |
117,947 | New York Community Bancorp, Inc. | 1,417,723 | |
20,943 | OneMain Holdings, Inc. | 882,747 | |
45,000 | 1 | Oportun Financial Corp. | 1,071,000 |
5,352 | Popular, Inc. | 314,430 | |
12,868 | Prudential Financial, Inc. | 1,206,246 | |
78,367 | Regions Financial Corp. | 1,344,778 | |
45,000 | 1 | Silvergate Capital Corp. | 715,950 |
28,253 | Synchrony Financial | 1,017,391 | |
4,644 | U.S. Bancorp | 275,343 | |
48,097 | Unum Group | 1,402,508 | |
78,605 | Wells Fargo & Co. | 4,228,949 | |
TOTAL | 68,854,826 | ||
Health Care—5.4% | |||
19,777 | Abbott Laboratories | 1,717,830 | |
5,519 | 1 | Alkermes, Inc. | 112,588 |
9,930 | Allergan PLC | 1,898,318 | |
2,524 | 1 | Alnylam Pharmaceuticals, Inc. | 290,689 |
2,525 | Amgen, Inc. | 608,702 | |
45,000 | 1 | Andlauer Healthcare Group, Inc. | 694,813 |
3,034 | Anthem, Inc. | 916,359 | |
1,314 | Baxter International, Inc. | 109,877 | |
3,267 | 1 | Biogen, Inc. | 969,417 |
13,266 | CVS Health Corp. | 985,531 | |
6,186 | Cardinal Health, Inc. | 312,888 | |
1,377 | Cooper Cos., Inc. | 442,416 | |
11,067 | Danaher Corp. | 1,698,563 | |
174 | 1 | Davita, Inc. | 13,055 |
7,954 | Dentsply Sirona, Inc. | 450,117 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
30,000 | 1 | Frequency Therapeutics, Inc. | $525,900 |
17,436 | Gilead Sciences, Inc. | 1,132,991 | |
6,144 | HCA Healthcare, Inc. | 908,145 | |
1,911 | Hill-Rom Holdings, Inc. | 216,956 | |
25,973 | 1 | Hologic, Inc. | 1,356,050 |
975 | 1 | Horizon Therapeutics PLC | 35,295 |
2,053 | Humana, Inc. | 752,466 | |
3,963 | 1 | IQVIA Holdings, Inc. | 612,323 |
42,746 | Johnson & Johnson | 6,235,359 | |
29,162 | 1 | MEDNAX, Inc. | 810,412 |
11,912 | McKesson Corp. | 1,647,668 | |
23,629 | Medtronic PLC | 2,680,710 | |
17,271 | Merck & Co., Inc. | 1,570,798 | |
5,483 | 1 | Mylan NV | 110,208 |
82,361 | Pfizer, Inc. | 3,226,904 | |
24,000 | 1 | Progyny, Inc. | 658,800 |
2,286 | STERIS PLC | 348,432 | |
60,000 | 1 | SmileDirectClub, Inc. | 524,400 |
6,783 | Thermo Fisher Scientific, Inc. | 2,203,593 | |
3,442 | Universal Health Services, Inc., Class B | 493,789 | |
1,764 | West Pharmaceutical Services, Inc. | 265,182 | |
2,440 | Zimmer Biomet Holdings, Inc. | 365,219 | |
TOTAL | 37,902,763 | ||
Industrials—3.8% | |||
9,178 | 3M Co. | 1,619,183 | |
6,639 | Ametek, Inc. | 662,174 | |
19,125 | CSX Corp. | 1,383,885 | |
1,713 | Carlisle Cos., Inc. | 277,232 | |
3,263 | Caterpillar, Inc. | 481,880 | |
1,974 | Copa Holdings SA, Class A | 213,350 | |
4,484 | Cummins, Inc. | 802,457 | |
16,758 | Delta Air Lines, Inc. | 980,008 | |
6,285 | Dover Corp. | 724,409 | |
2,699 | Eaton Corp. PLC | 255,649 | |
22,302 | Emerson Electric Co. | 1,700,751 | |
1,075 | 1 | Gardner Denver Holdings, Inc. | 39,431 |
142,426 | General Electric Co. | 1,589,474 | |
31,942 | 1 | HD Supply, Inc. | 1,284,707 |
13,119 | Honeywell International, Inc. | 2,322,063 | |
3,024 | Hubbell, Inc. | 447,008 | |
6,172 | Ingersoll-Rand PLC | 820,382 | |
444 | L3Harris Technologies, Inc. | 87,854 | |
2,050 | 1 | Lyft, Inc. | 88,191 |
839 | Macquarie Infrastructure Co. | 35,943 | |
12,835 | Masco Corp. | 615,952 | |
7,085 | Nielsen Holdings PLC | 143,826 | |
4,601 | Norfolk Southern Corp. | 893,192 | |
2,400 | Parker-Hannifin Corp. | 493,968 | |
2,670 | Roper Technologies, Inc. | 945,794 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Industrials—continued | |||
15,332 | Southwest Airlines Co. | $827,621 | |
1,473 | Spirit AeroSystems Holdings, Inc., Class A | 107,352 | |
2,650 | 1 | Teledyne Technologies, Inc. | 918,331 |
862 | 1 | Transdigm Group, Inc. | 482,720 |
5,244 | 1 | United Airlines Holdings, Inc. | 461,944 |
2,218 | 1 | United Rentals, Inc. | 369,896 |
7,228 | United Technologies Corp. | 1,082,465 | |
5,705 | Valmont Industries, Inc. | 854,495 | |
2,786 | 1 | WABCO Holdings, Inc. | 377,503 |
10,898 | Waste Management, Inc. | 1,241,936 | |
6,117 | Woodward, Inc. | 724,497 | |
TOTAL | 26,357,523 | ||
Information Technology—2.6% | |||
3,817 | Alliance Data Systems Corp. | 428,267 | |
8,426 | 1 | Autodesk, Inc. | 1,545,834 |
23,272 | Avnet, Inc. | 987,664 | |
11,760 | 1 | Bill.Com Holdings, Inc. | 447,468 |
3,034 | 1 | Ciena Corp. | 129,522 |
2,312 | 1 | Cree, Inc. | 106,699 |
4,277 | Cypress Semiconductor Corp. | 99,782 | |
6,746 | 1 | Dell Technologies, Inc. | 346,677 |
1,955 | HP, Inc. | 40,175 | |
4,678 | IBM Corp. | 627,039 | |
107,736 | Intel Corp. | 6,448,000 | |
33,379 | Marvell Technology Group Ltd. | 886,546 | |
27,334 | 1 | Micron Technology, Inc. | 1,470,023 |
9,214 | Motorola, Inc. | 1,484,744 | |
53,283 | NortonLifeLock, Inc. | 1,359,782 | |
18,794 | 1 | Nuance Communications, Inc. | 335,097 |
2,509 | 1 | ON Semiconductor Corp. | 61,169 |
3,475 | 1 | Qorvo, Inc. | 403,899 |
18,000 | 1 | Sitime Corp. | 459,000 |
773 | 1 | Verisign, Inc. | 148,942 |
16,221 | Xerox Holdings Corp. | 598,068 | |
TOTAL | 18,414,397 | ||
Materials—1.7% | |||
6,312 | Air Products & Chemicals, Inc. | 1,483,257 | |
11,463 | 1 | Alcoa Corp. | 246,569 |
6,532 | Aptargroup, Inc. | 755,230 | |
3,248 | Ardagh Group SA | 63,596 | |
5,233 | Avery Dennison Corp. | 684,581 | |
6,388 | 1 | Berry Global Group, Inc. | 303,366 |
17,626 | CF Industries Holdings, Inc. | 841,465 | |
12,995 | Celanese Corp. | 1,599,945 | |
9,031 | Corteva, Inc. | 266,956 | |
9,031 | Dow, Inc | 494,267 | |
11,941 | DuPont de Nemours, Inc. | 766,612 | |
3,791 | Eagle Materials, Inc. | 343,692 | |
14,762 | Huntsman Corp. | 356,650 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Materials—continued | |||
8,438 | International Paper Co. | $388,570 | |
3,734 | Linde PLC | 794,969 | |
2,707 | LyondellBasell Industries N.V. | 255,757 | |
2,022 | Martin Marietta Materials | 565,432 | |
1,177 | Olin Corp. | 20,303 | |
5,841 | Reliance Steel & Aluminum Co. | 699,518 | |
833 | Royal Gold, Inc. | 101,834 | |
12,153 | Steel Dynamics, Inc. | 413,688 | |
20,239 | Valvoline, Inc. | 433,317 | |
33 | Vulcan Materials Co. | 4,752 | |
TOTAL | 11,884,326 | ||
Real Estate—2.0% | |||
27,677 | Apartment Investment & Management Co., Class A | 1,429,517 | |
844 | Avalonbay Communities, Inc. | 176,987 | |
38,516 | Equity Commonwealth | 1,264,480 | |
11,427 | Equity Residential Properties Trust | 924,673 | |
1,787 | Essex Property Trust, Inc. | 537,637 | |
3,869 | Extra Space Storage, Inc. | 408,644 | |
45,772 | Healthpeak Properties, Inc. | 1,577,761 | |
42,524 | Host Hotels & Resorts, Inc. | 788,820 | |
52,495 | Invitation Homes, Inc. | 1,573,275 | |
700 | Mid-American Apartment Communities, Inc. | 92,302 | |
6,893 | Public Storage | 1,467,933 | |
89,230 | SITE Centers Corp. | 1,251,005 | |
2,211 | Simon Property Group, Inc. | 329,350 | |
162,366 | VEREIT, Inc. | 1,500,262 | |
24,154 | Weingarten Realty Investors | 754,571 | |
TOTAL | 14,077,217 | ||
Utilities—2.6% | |||
55,413 | AES Corp. | 1,102,719 | |
20,187 | Ameren Corp. | 1,550,362 | |
23,324 | American Electric Power Co., Inc. | 2,204,351 | |
5,780 | DTE Energy Co. | 750,649 | |
302 | Duke Energy Corp. | 27,545 | |
25,643 | Evergy, Inc. | 1,669,103 | |
42,874 | Exelon Corp. | 1,954,626 | |
33,476 | NRG Energy, Inc. | 1,330,671 | |
9,813 | NextEra Energy, Inc. | 2,376,316 | |
10,332 | 1 | P G & E Corp. | 112,309 |
15,502 | Pinnacle West Capital Corp. | 1,394,095 | |
19,111 | Public Service Enterprises Group, Inc. | 1,128,504 | |
22,077 | UGI Corp. | 996,997 | |
56,651 | Vistra Energy Corp. | 1,302,406 | |
TOTAL | 17,900,653 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $237,752,822) | 280,628,362 | ||
ADJUSTABLE RATE MORTGAGE—0.0% | |||
$5,404 | 2 | Federal National Mortgage Association ARM, 4.144%, 9/1/2037 (IDENTIFIED COST $5,443) | 5,658 |
Shares, Principal Amount or Contracts | Value | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—1.0% | |||
Agency Commercial Mortgage-Backed Securities—0.1% | |||
$790,000 | FREMF Mortgage Trust 2015-K49 REMIC, Class B, 3.720%, 10/25/2048 | $814,822 | |
56,594 | Federal Home Loan Mortgage Corp. REMIC, Series K504, Class A2, 2.566%, 9/25/2020 | 56,578 | |
TOTAL | 871,400 | ||
Commercial Mortgage—0.9% | |||
1,335,000 | Banc of America Commercial Mortgage Trust 2016-UBS10, Class A4, 3.170%, 7/15/2049 | 1,384,278 | |
340,000 | Bank 2018-BN12, Class A4, 4.255%, 5/15/2061 | 380,666 | |
1,000,000 | 2 | Bank 2018-BN15, Class A4, 4.407% (12-month USLIBOR +0.000%), 11/15/2061 | 1,130,523 |
85,000 | Bank 2017-BN8, Class A4, 3.488%, 11/15/2050 | 90,420 | |
1,000,000 | Benchmark Mortgage Trust 2018-B1, Class A5, 3.666%, 1/15/2051 | 1,075,384 | |
50,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | 52,030 | |
1,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 1,021,907 | |
100,000 | JPMDB Commercial Mortgage Securities Trust 2016-C4, Class A3, 3.141%, 12/15/2049 | 103,519 | |
590,000 | UBS-Barclays Commercial Mortgage Trust 2013-C6, Class B, 3.875%, 4/10/2046 | 612,442 | |
105,000 | WF-RBS Commercial Mortgage Trust 2014-C25, Class B, 4.236%, 11/15/2047 | 110,647 | |
TOTAL | 5,961,816 | ||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $6,578,151) | 6,833,216 | ||
CORPORATE BONDS—17.2% | |||
Basic Industry - Chemicals—0.2% | |||
200,000 | Albemarle Corp., 4.150%, 12/1/2024 | 214,306 | |
200,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | 229,088 | |
600,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | 649,892 | |
TOTAL | 1,093,286 | ||
Basic Industry - Metals & Mining—0.1% | |||
156,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 161,771 | |
650,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 687,038 | |
150,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.300%, 8/1/2032 | 153,317 | |
55,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.550%, 4/15/2026 | 58,524 | |
TOTAL | 1,060,650 | ||
Capital Goods - Aerospace & Defense—0.4% | |||
750,000 | Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027 | 779,071 | |
400,000 | Embraer Netherlands BV, Sr. Unsecd. Note, 5.050%, 6/15/2025 | 439,670 | |
50,000 | Embraer Overseas Ltd., Sr. Unsecd. Note, 144A, 5.696%, 9/16/2023 | 55,021 | |
160,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 166,760 | |
400,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 2.900%, 3/1/2025 | 415,723 | |
585,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 3.250%, 1/15/2028 | 610,295 | |
500,000 | Textron, Inc., Sr. Unsecd. Note, 3.650%, 3/15/2027 | 519,807 | |
20,000 | Textron, Inc., Sr. Unsecd. Note, 4.000%, 3/15/2026 | 21,318 | |
25,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 26,830 | |
TOTAL | 3,034,495 | ||
Capital Goods - Building Materials—0.1% | |||
60,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 61,113 | |
110,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 113,106 | |
490,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 502,516 | |
40,000 | Masco Corp., Sr. Unsecd. Note, 4.375%, 4/1/2026 | 43,219 | |
165,000 | Masco Corp., Sr. Unsecd. Note, 4.500%, 5/15/2047 | 166,348 | |
TOTAL | 886,302 | ||
Capital Goods - Construction Machinery—0.2% | |||
770,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 803,532 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Capital Goods - Construction Machinery—continued | |||
$450,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | $489,148 | |
TOTAL | 1,292,680 | ||
Capital Goods - Diversified Manufacturing—0.3% | |||
750,000 | Lennox International, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2023 | 763,228 | |
500,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.800%, 12/15/2021 | 507,448 | |
800,000 | Valmont Industries, Inc., 5.250%, 10/1/2054 | 797,190 | |
TOTAL | 2,067,866 | ||
Capital Goods - Packaging—0.1% | |||
600,000 | Packaging Corp. of America, Sr. Unsecd. Note, 3.650%, 9/15/2024 | 630,672 | |
360,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 4.000%, 3/15/2028 | 387,270 | |
TOTAL | 1,017,942 | ||
Communications - Cable & Satellite—0.5% | |||
250,000 | CCO Safari II LLC, 6.484%, 10/23/2045 | 312,219 | |
1,600,000 | Comcast Corp., Sr. Unsecd. Note, 3.150%, 2/15/2028 | 1,676,731 | |
350,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 370,678 | |
600,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 654,825 | |
300,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 334,967 | |
TOTAL | 3,349,420 | ||
Communications - Media & Entertainment—0.4% | |||
600,000 | British Sky Broadcasting Group PLC, 144A, 3.750%, 9/16/2024 | 642,566 | |
135,000 | Fox Corp., Sr. Unsecd. Note, 144A, 4.709%, 1/25/2029 | 153,869 | |
180,000 | Fox Corp., Sr. Unsecd. Note, 144A, 5.576%, 1/25/2049 | 228,944 | |
500,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 5/13/2045 | 523,176 | |
100,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.600%, 4/15/2026 | 105,345 | |
600,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.625%, 5/1/2022 | 621,466 | |
200,000 | Walt Disney Co., Sr. Unsecd. Note, 2.000%, 9/1/2029 | 194,119 | |
TOTAL | 2,469,485 | ||
Communications - Telecom Wireless—0.3% | |||
300,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 330,402 | |
350,000 | Bell Canada, Sr. Unsecd. Note, 4.464%, 4/1/2048 | 405,283 | |
450,000 | Crown Castle International Corp., Sr. Unsecd. Note, 3.800%, 2/15/2028 | 479,505 | |
500,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 542,997 | |
280,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | 337,082 | |
TOTAL | 2,095,269 | ||
Communications - Telecom Wirelines—0.6% | |||
800,000 | AT&T, Inc., Sr. Unsecd. Note, 3.200%, 3/1/2022 | 819,377 | |
800,000 | AT&T, Inc., Sr. Unsecd. Note, 4.800%, 6/15/2044 | 911,657 | |
800,000 | Deutsche Telekom International Finance BV, Sr. Unsecd. Note, 144A, 3.600%, 1/19/2027 | 842,303 | |
580,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.213%, 3/8/2047 | 687,514 | |
350,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 394,990 | |
534,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.672%, 3/15/2055 | 659,661 | |
125,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 5.150%, 9/15/2023 | 138,661 | |
TOTAL | 4,454,163 | ||
Consumer Cyclical - Automotive—0.5% | |||
500,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 3.350%, 2/22/2023 | 514,216 | |
350,000 | Fiat Chrysler Automobiles NV, Sr. Unsecd. Note, 5.250%, 4/15/2023 | 374,934 | |
350,000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | 353,163 | |
400,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.000%, 10/6/2026 | 419,345 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Automotive—continued | |||
$600,000 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 2.650%, 7/13/2022 | $601,781 | |
720,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series GMTN, 2.700%, 1/11/2023 | 734,738 | |
200,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/12/2021 | 206,861 | |
TOTAL | 3,205,038 | ||
Consumer Cyclical - Retailers—0.5% | |||
589,000 | Advance Auto Parts, Inc., 4.500%, 12/1/2023 | 631,256 | |
310,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 338,559 | |
550,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 650,850 | |
540,000 | Dollar General Corp., Sr. Unsecd. Note, 3.875%, 4/15/2027 | 578,069 | |
600,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | 625,005 | |
500,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.800%, 9/14/2027 | 519,927 | |
40,000 | O'Reilly Automotive, Inc., Sr. Unsecd. Note, 3.550%, 3/15/2026 | 42,317 | |
TOTAL | 3,385,983 | ||
Consumer Cyclical - Services—0.3% | |||
400,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.875%, 8/22/2037 | 454,208 | |
400,000 | Expedia Group, Inc., Sr. Unsecd. Note, 3.800%, 2/15/2028 | 407,966 | |
400,000 | IHS Markit Ltd., Sr. Unsecd. Note, 4.750%, 8/1/2028 | 446,435 | |
480,000 | Visa, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2027 | 501,013 | |
200,000 | Visa, Inc., Sr. Unsecd. Note, 2.800%, 12/14/2022 | 205,818 | |
30,000 | Visa, Inc., Sr. Unsecd. Note, 3.150%, 12/14/2025 | 31,707 | |
TOTAL | 2,047,147 | ||
Consumer Non-Cyclical - Food/Beverage—1.0% | |||
165,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 2/1/2046 | 194,630 | |
835,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.439%, 10/6/2048 | 937,251 | |
485,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028 | 545,544 | |
500,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 510,178 | |
200,000 | General Mills, Inc., Sr. Unsecd. Note, 3.700%, 10/17/2023 | 210,731 | |
150,000 | General Mills, Inc., Sr. Unsecd. Note, 4.550%, 4/17/2038 | 173,702 | |
280,000 | General Mills, Inc., Sr. Unsecd. Note, 4.700%, 4/17/2048 | 333,546 | |
500,000 | Grupo Bimbo S.A.B. de CV, 144A, 4.875%, 6/27/2044 | 535,897 | |
690,000 | Heineken NV, Sr. Unsecd. Note, 144A, 3.500%, 1/29/2028 | 731,042 | |
220,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 240,326 | |
500,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.950%, 7/15/2025 | 529,318 | |
140,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 137,852 | |
800,000 | PepsiCo, Inc., Sr. Unsecd. Note, 3.000%, 10/15/2027 | 847,939 | |
300,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 3.500%, 3/15/2025 | 315,675 | |
495,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.550%, 6/2/2027 | 526,588 | |
400,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 4.550%, 6/2/2047 | 456,225 | |
TOTAL | 7,226,444 | ||
Consumer Non-Cyclical - Health Care—0.2% | |||
155,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2029 | 153,992 | |
392,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.700%, 6/6/2027 | 417,646 | |
200,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.669%, 6/6/2047 | 238,058 | |
79,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 92,323 | |
140,000 | DH Europe Finance II S.a r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 139,579 | |
300,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 306,632 | |
10,000 | Stryker Corp., Sr. Unsecd. Note, 3.500%, 3/15/2026 | 10,641 | |
TOTAL | 1,358,871 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Pharmaceuticals—0.6% | |||
$283,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | $309,256 | |
225,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 3.200%, 11/21/2029 | 229,035 | |
255,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 4.250%, 11/21/2049 | 269,520 | |
190,000 | AstraZeneca PLC, Sr. Unsecd. Note, 2.375%, 6/12/2022 | 192,174 | |
600,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027 | 625,661 | |
600,000 | Bayer US Finance LLC, Sr. Unsecd. Note, 144A, 3.375%, 10/8/2024 | 618,341 | |
500,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 3.900%, 2/20/2028 | 551,039 | |
110,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 4.250%, 10/26/2049 | 130,361 | |
500,000 | Eli Lilly & Co., Sr. Unsecd. Note, 3.375%, 3/15/2029 | 539,088 | |
700,000 | Merck & Co., Inc., Sr. Unsecd. Note, 3.400%, 3/7/2029 | 757,940 | |
150,000 | Teva Pharmaceutical Finance Netherlands III BV, Sr. Unsecd. Note, 3.150%, 10/1/2026 | 125,254 | |
TOTAL | 4,347,669 | ||
Consumer Non-Cyclical - Products—0.1% | |||
70,000 | Newell Rubbermaid, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2026 | 72,982 | |
600,000 | Reckitt Benckiser Treasury Services PLC, Sr. Unsecd. Note, 144A, 3.000%, 6/26/2027 | 614,720 | |
TOTAL | 687,702 | ||
Consumer Non-Cyclical - Supermarkets—0.1% | |||
600,000 | Kroger Co., Sr. Unsecd. Note, 2.650%, 10/15/2026 | 603,912 | |
200,000 | Kroger Co., Sr. Unsecd. Note, 4.450%, 2/1/2047 | 212,513 | |
TOTAL | 816,425 | ||
Consumer Non-Cyclical - Tobacco—0.2% | |||
125,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.800%, 2/14/2029 | 139,264 | |
400,000 | Altria Group, Inc., Sr. Unsecd. Note, 5.950%, 2/14/2049 | 484,310 | |
350,000 | Bat Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047 | 351,603 | |
280,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 342,445 | |
TOTAL | 1,317,622 | ||
Energy - Independent—0.4% | |||
700,000 | Apache Corp., Sr. Unsecd. Note, 4.375%, 10/15/2028 | 731,404 | |
100,000 | Canadian Natural Resources Ltd., 3.900%, 2/1/2025 | 106,619 | |
250,000 | Cimarex Energy Co., Sr. Unsecd. Note, 3.900%, 5/15/2027 | 258,610 | |
430,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 455,124 | |
700,000 | Marathon Oil Corp., Sr. Unsecd. Note, 3.850%, 6/1/2025 | 741,195 | |
400,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 3.450%, 7/15/2024 | 409,701 | |
300,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 5.550%, 3/15/2026 | 340,680 | |
TOTAL | 3,043,333 | ||
Energy - Integrated—0.4% | |||
600,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 2.520%, 9/19/2022 | 607,804 | |
110,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.119%, 5/4/2026 | 114,916 | |
300,000 | Husky Energy, Inc., 4.000%, 4/15/2024 | 316,694 | |
290,000 | Husky Energy, Inc., Sr. Unsecd. Note, 4.400%, 4/15/2029 | 312,178 | |
75,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | 85,464 | |
500,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.125%, 5/11/2035 | 584,710 | |
500,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 3.600%, 12/1/2024 | 530,519 | |
TOTAL | 2,552,285 | ||
Energy - Midstream—0.4% | |||
115,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 122,954 | |
225,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.050%, 3/15/2025 | 236,482 | |
40,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 42,919 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Energy - Midstream—continued | |||
$875,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 10Y, 4.950%, 6/15/2028 | $958,459 | |
70,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.950%, 2/15/2027 | 75,551 | |
200,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 252,119 | |
200,000 | Kinder Morgan, Inc., 5.050%, 2/15/2046 | 225,109 | |
335,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 368,909 | |
120,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 125,545 | |
490,000 | Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045 | 528,426 | |
TOTAL | 2,936,473 | ||
Energy - Refining—0.2% | |||
600,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 3.625%, 9/15/2024 | 630,104 | |
220,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 265,218 | |
300,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.900%, 3/15/2045 | 345,972 | |
TOTAL | 1,241,294 | ||
Financial Institution - Banking—3.2% | |||
600,000 | American Express Credit Corp., Sr. Unsecd. Note, Series MTN, 3.300%, 5/3/2027 | 637,174 | |
400,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 422,755 | |
1,850,000 | Bank of America Corp., Sr. Unsecd. Note, 3.419%, 12/20/2028 | 1,941,636 | |
50,000 | 2 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.559% (3-month USLIBOR +0.650%), 10/1/2021 | 50,148 |
1,200,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.124%, 1/20/2023 | 1,224,143 | |
150,000 | Bank of America Corp., Sub. Note, 6.500%, 9/15/2037 | 195,564 | |
50,000 | Bank of America Corp., Sub. Note, Series L, 3.950%, 4/21/2025 | 53,351 | |
300,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 320,047 | |
800,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.200%, 8/16/2023 | 808,185 | |
200,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.661%, 5/16/2023 | 203,079 | |
500,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.050%, 3/9/2022 | 510,452 | |
125,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 132,563 | |
580,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.352%, 4/24/2025 | 603,593 | |
570,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 598,675 | |
900,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.668%, 7/24/2028 | 959,092 | |
250,000 | Citizens Bank N.A., Sr. Unsecd. Note, Series BKNT, 3.750%, 2/18/2026 | 267,197 | |
30,000 | Comerica, Inc., 3.800%, 7/22/2026 | 31,615 | |
350,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 367,577 | |
800,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 879,470 | |
1,300,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.876%, 10/31/2022 | 1,318,431 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 6.250%, 2/1/2041 | 699,366 | |
1,400,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.900%, 5/25/2026 | 1,493,088 | |
1,850,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.509%, 1/23/2029 | 1,965,402 | |
850,000 | JPMorgan Chase & Co., Sub. Note, 3.375%, 5/1/2023 | 883,364 | |
210,000 | M&T Bank Corp., Sr. Unsecd. Note, 3.550%, 7/26/2023 | 220,483 | |
500,000 | Manufacturers & Traders Trust Co., Sr. Unsecd. Note, Series BKNT, 2.500%, 5/18/2022 | 505,815 | |
950,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.772%, 1/24/2029 | 1,022,144 | |
250,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 6.250%, 8/9/2026 | 304,442 | |
275,000 | Morgan Stanley, Sub. Note, Series MTN, 4.100%, 5/22/2023 | 290,482 | |
400,000 | PNC Bank NA, Sr. Unsecd. Note, Series BKNT, 3.250%, 1/22/2028 | 420,829 | |
600,000 | Truist Bank, Sr. Unsecd. Note, Series BKNT, 3.000%, 2/2/2023 | 615,358 | |
60,000 | Truist Financial Corp., Sr. Unsecd. Note, 2.900%, 3/3/2021 | 60,630 | |
495,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 2.750%, 4/1/2022 | 503,710 | |
250,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 3.750%, 12/6/2023 | 265,034 | |
300,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 307,438 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$50,000 | 2 | Wells Fargo & Co., Sr. Unsecd. Note, 3.157% (3-month USLIBOR +1.230%), 10/31/2023 | $50,914 |
1,300,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 1,381,586 | |
TOTAL | 22,514,832 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.1% | |||
40,000 | Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026 | 42,637 | |
165,000 | Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028 | 183,657 | |
200,000 | TD Ameritrade Holding Corp., Sr. Unsecd. Note, 3.300%, 4/1/2027 | 209,444 | |
TOTAL | 435,738 | ||
Financial Institution - Finance Companies—0.2% | |||
1,100,000 | GE Capital International Funding, Inc., Sr. Unsecd. Note, 4.418%, 11/15/2035 | 1,173,209 | |
Financial Institution - Insurance - Health—0.1% | |||
350,000 | CIGNA Corp., Sr. Unsecd. Note, 3.750%, 7/15/2023 | 367,123 | |
Financial Institution - Insurance - Life—0.7% | |||
500,000 | AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029 | 526,069 | |
800,000 | Aflac, Inc., Sr. Unsecd. Note, 3.625%, 6/15/2023 | 841,873 | |
800,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 859,012 | |
400,000 | American International Group, Inc., Sr. Unsecd. Note, 4.875%, 6/1/2022 | 426,984 | |
450,000 | Lincoln National Corp., Sr. Unsecd. Note, 3.625%, 12/12/2026 | 475,448 | |
350,000 | Lincoln National Corp., Sr. Unsecd. Note, 4.200%, 3/15/2022 | 364,832 | |
150,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 180,611 | |
500,000 | MetLife, Inc., Sr. Unsecd. Note, 4.050%, 3/1/2045 | 579,635 | |
170,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 181,733 | |
350,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 4.600%, 5/15/2044 | 412,698 | |
TOTAL | 4,848,895 | ||
Financial Institution - Insurance - P&C—0.4% | |||
700,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.450%, 8/15/2027 | 729,293 | |
30,000 | Chubb INA Holdings, Inc., 3.350%, 5/3/2026 | 31,899 | |
490,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 4.400%, 3/15/2048 | 563,881 | |
340,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 3.951%, 10/15/2050 | 353,728 | |
500,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 849,295 | |
TOTAL | 2,528,096 | ||
Financial Institution - REIT - Apartment—0.3% | |||
750,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 790,082 | |
750,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | 811,657 | |
200,000 | UDR, Inc., Series MTN, 3.750%, 7/1/2024 | 210,643 | |
550,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 577,758 | |
TOTAL | 2,390,140 | ||
Financial Institution - REIT - Healthcare—0.3% | |||
750,000 | Healthcare Trust of America, Sr. Unsecd. Note, 3.750%, 7/1/2027 | 791,920 | |
600,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 628,067 | |
450,000 | Welltower, Inc., Sr. Unsecd. Note, 4.250%, 4/1/2026 | 489,930 | |
TOTAL | 1,909,917 | ||
Financial Institution - REIT - Office—0.2% | |||
350,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.900%, 6/15/2023 | 367,685 | |
400,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | 429,632 | |
750,000 | Boston Properties LP, Sr. Unsecd. Note, 3.650%, 2/1/2026 | 794,580 | |
TOTAL | 1,591,897 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Other—0.3% | |||
$820,000 | Liberty Property LP, Sr. Unsecd. Note, 3.750%, 4/1/2025 | $876,597 | |
650,000 | ProLogis LP, Sr. Unsecd. Note, 4.250%, 8/15/2023 | 696,079 | |
295,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | 311,503 | |
250,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 268,028 | |
TOTAL | 2,152,207 | ||
Financial Institution - REIT - Retail—0.3% | |||
740,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.800%, 4/1/2027 | 782,636 | |
700,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 759,137 | |
750,000 | Tanger Properties LP, Sr. Unsecd. Note, 3.125%, 9/1/2026 | 743,389 | |
TOTAL | 2,285,162 | ||
Technology—1.0% | |||
350,000 | Apple, Inc., Sr. Unsecd. Note, 2.500%, 2/9/2022 | 355,244 | |
900,000 | Apple, Inc., Sr. Unsecd. Note, 2.900%, 9/12/2027 | 937,217 | |
75,000 | Autodesk, Inc., Sr. Unsecd. Note, 4.375%, 6/15/2025 | 81,895 | |
600,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/15/2024 | 623,992 | |
350,000 | Cisco Systems, Inc., 3.625%, 3/4/2024 | 374,137 | |
270,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, 144A, 4.420%, 6/15/2021 | 277,865 | |
475,000 | Equifax, Inc., Sr. Unsecd. Note, 2.300%, 6/1/2021 | 476,454 | |
240,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 241,445 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 219,975 | |
145,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.750%, 5/21/2029 | 158,665 | |
185,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 194,560 | |
380,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023 | 401,367 | |
120,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029 | 120,470 | |
245,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 269,999 | |
200,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.640%, 2/6/2024 | 217,012 | |
200,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.975%, 2/6/2026 | 222,023 | |
600,000 | Microsoft Corp., Sr. Unsecd. Note, 3.125%, 11/3/2025 | 635,057 | |
245,000 | Microsoft Corp., Sr. Unsecd. Note, 4.000%, 2/12/2055 | 289,855 | |
600,000 | Oracle Corp., Sr. Unsecd. Note, 3.250%, 11/15/2027 | 635,909 | |
20,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 22,248 | |
200,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 219,525 | |
25,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 5.500%, 6/15/2045 | 31,073 | |
TOTAL | 7,005,987 | ||
Transportation - Railroads—0.0% | |||
175,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 3.000%, 4/1/2025 | 182,322 | |
Transportation - Services—0.3% | |||
400,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 3.300%, 10/15/2022 | 411,486 | |
100,000 | FedEx Corp., Sr. Unsecd. Note, 3.100%, 8/5/2029 | 99,988 | |
300,000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | 289,471 | |
500,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 2.700%, 3/14/2023 | 505,337 | |
250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.375%, 2/1/2022 | 255,299 | |
500,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.400%, 3/1/2023 | 515,664 | |
TOTAL | 2,077,245 | ||
Utility - Electric—1.3% | |||
600,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 3.200%, 11/13/2027 | 618,949 | |
400,000 | Avangrid, Inc., Sr. Unsecd. Note, 3.800%, 6/1/2029 | 424,253 | |
300,000 | Berkshire Hathaway Energy Co., Sr. Unsecd. Note, 3.750%, 11/15/2023 | 317,850 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—continued | |||
$35,000 | Dominion Energy Gas Holdings LLC, Sr. Unsecd. Note, Series B, 3.000%, 11/15/2029 | $34,903 | |
115,000 | Dominion Energy Gas Holdings LLC, Sr. Unsecd. Note, Series C, 3.900%, 11/15/2049 | 114,986 | |
165,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 170,009 | |
205,000 | Dominion Energy, Inc., Sr. Unsecd. Note, 4.250%, 6/1/2028 | 226,727 | |
900,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026 | 904,153 | |
200,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 208,219 | |
375,000 | Electricite de France SA, Jr. Sub. Note, 144A, 5.625%, 7/22/2068 | 397,768 | |
400,000 | Emera US Finance LP, Sr. Unsecd. Note, 3.550%, 6/15/2026 | 415,459 | |
400,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 462,460 | |
470,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.625%, 9/14/2025 | 512,755 | |
200,000 | Enel Finance International SA, Company Guarantee, 144A, 6.000%, 10/7/2039 | 251,838 | |
70,000 | EverSource Energy, Sr. Unsecd. Note, 3.350%, 3/15/2026 | 72,098 | |
500,000 | EverSource Energy, Sr. Unsecd. Note, Series N, 3.800%, 12/1/2023 | 526,583 | |
50,000 | Exelon Generation Co. LLC, Sr. Unsecd. Note, 4.250%, 6/15/2022 | 52,292 | |
160,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 183,126 | |
93,000 | Fortis, Inc. / Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 94,968 | |
20,000 | Indiana Michigan Power Co., Sr. Unsecd. Note, Series K, 4.550%, 3/15/2046 | 23,363 | |
490,000 | Kansas City Power and Light Co., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 561,046 | |
200,000 | Mississippi Power Co., Sr. Unsecd. Note, 3.950%, 3/30/2028 | 217,812 | |
50,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 54,203 | |
110,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 2.950%, 2/7/2024 | 113,412 | |
700,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.625%, 6/15/2023 | 731,857 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 72,000 | |
300,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 3.100%, 5/15/2026 | 305,894 | |
500,000 | Southern Co., Sr. Unsecd. Note, 3.250%, 7/1/2026 | 520,760 | |
140,000 | Virginia Electric & Power Co., Sr. Unsecd. Note, Series A, 3.500%, 3/15/2027 | 149,715 | |
TOTAL | 8,739,458 | ||
Utility - Natural Gas—0.4% | |||
700,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | 832,025 | |
750,000 | Sempra Energy, Sr. Unsecd. Note, 3.400%, 2/1/2028 | 777,228 | |
120,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 136,709 | |
690,000 | TransCanada PipeLines Ltd., Sr. Secd. Note, 5.100%, 3/15/2049 | 840,799 | |
TOTAL | 2,586,761 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $111,105,920) | 119,776,833 | ||
MORTGAGE-BACKED SECURITIES—0.0% | |||
28,526 | Federal National Mortgage Association, Pool AO8829, 3.500%, 7/1/2042 | 30,023 | |
6,551 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 7,419 | |
3,887 | Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031 | 4,433 | |
11,131 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 12,633 | |
12,833 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 14,625 | |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $125,887) | 69,133 | ||
PURCHASED PUT OPTION—0.1% | |||
9,000 | SPDR S&P 500 ETF Trust, Notional Amount $289,674,000, Exercise Price $310.00, Expiration Date 1/17/2020 (IDENTIFIED COST $702,404) | 670,500 | |
U.S. TREASURIES—14.4% | |||
5,600,000 | United States Treasury Bond, 2.750%, 8/15/2047 | 6,009,830 | |
20,000 | United States Treasury Bond, 2.750%, 11/15/2047 | 21,460 |
Shares, Principal Amount or Contracts | Value | ||
U.S. TREASURIES—continued | |||
$2,000,000 | United States Treasury Bond, 2.875%, 5/15/2049 | $2,204,176 | |
1,000 | United States Treasury Bond, 3.000%, 11/15/2044 | 1,115 | |
3,000,000 | United States Treasury Bond, 3.000%, 2/15/2049 | 3,382,944 | |
2,000,000 | United States Treasury Bond, 3.125%, 5/15/2048 | 2,302,430 | |
18,000,000 | United States Treasury Note, 1.375%, 6/30/2023 | 17,836,569 | |
4,500,000 | United States Treasury Note, 1.500%, 8/31/2021 | 4,492,011 | |
1,000,000 | United States Treasury Note, 1.500%, 9/30/2021 | 998,282 | |
2,500,000 | United States Treasury Note, 1.500%, 9/15/2022 | 2,493,066 | |
2,500,000 | United States Treasury Note, 1.625%, 6/30/2021 | 2,500,584 | |
2,400,000 | United States Treasury Note, 1.625%, 2/15/2026 | 2,378,311 | |
13,000,000 | United States Treasury Note, 1.625%, 8/15/2029 | 12,661,739 | |
2,000,000 | United States Treasury Note, 1.750%, 7/31/2021 | 2,004,418 | |
1,000,000 | United States Treasury Note, 2.000%, 10/31/2022 | 1,010,425 | |
2,650,000 | United States Treasury Note, 2.000%, 11/15/2026 | 2,680,180 | |
2,020,000 | United States Treasury Note, 2.125%, 5/31/2021 | 2,034,378 | |
2,300,000 | United States Treasury Note, 2.125%, 11/30/2024 | 2,347,000 | |
50,000 | United States Treasury Note, 2.250%, 11/15/2027 | 51,422 | |
5,700,000 | United States Treasury Note, 2.500%, 6/30/2020 | 5,724,160 | |
2,000,000 | United States Treasury Note, 2.500%, 1/31/2021 | 2,018,153 | |
3,500,000 | United States Treasury Note, 2.500%, 2/15/2022 | 3,565,391 | |
4,000,000 | United States Treasury Note, 2.625%, 7/15/2021 | 4,061,533 | |
3,000,000 | United States Treasury Note, 2.750%, 6/30/2025 | 3,160,137 | |
40,000 | United States Treasury Note, 2.875%, 5/31/2025 | 42,369 | |
1,200,000 | United States Treasury Note, 2.875%, 5/15/2028 | 1,290,972 | |
2,000,000 | United States Treasury Note, 3.125%, 11/15/2028 | 2,200,672 | |
10,700,000 | United States Treasury Note, 3.625%, 2/15/2021 | 10,933,444 | |
3,297 | U.S. Treasury Inflation-Protected Notes, 0.125%, 4/15/2020 | 3,293 | |
10,860 | U.S. Treasury Inflation-Protected Notes, 1.000%, 2/15/2046 | 11,952 | |
TOTAL U.S. TREASURIES (IDENTIFIED COST $97,765,149) | 100,422,416 | ||
FOREIGN GOVERNMENTS/AGENCIES—0.2% | |||
Sovereign—0.2% | |||
600,000 | Colombia, Government of, Sr. Unsecd. Note, 4.500%, 3/15/2029 | 665,400 | |
600,000 | Mexico, Government of, 3.750%, 1/11/2028 | 623,400 | |
200,000 | Poland, Government of, 4.000%, 1/22/2024 | 215,151 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $1,434,800) | 1,503,951 | ||
INVESTMENT COMPANIES—19.8% | |||
1,200,291 | Emerging Markets Core Fund | 12,098,932 | |
735,995 | Federated Bank Loan Core Fund | 7,249,549 | |
2,624,254 | Federated High Income Bond Fund II | 17,136,381 | |
8,479,435 | Federated Mortgage Core Portfolio | 83,776,815 | |
1,933,087 | Federated Project and Trade Finance Core Fund | 17,281,796 | |
1,035 | Federated U.S. Gov't Securities Fund 2-5, Institutional Shares | 11,276 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $133,165,473) | 137,554,749 |
Shares, Principal Amount or Contracts | Value | ||
REPURCHASE AGREEMENT—4.4% | |||
$30,206,000 | Interest in $450,000,000 joint repurchase agreement 1.57%, dated 12/31/2019 under which BMO Capital Markets Corp. will repurchase securities provided as collateral for $450,039,250 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 11/20/2069 and the market value of those underlying securities was $460,414,804. (IDENTIFIED COST $30,206,000) | $30,206,000 | |
TOTAL INVESTMENT IN SECURITIES—97.4% (IDENTIFIED COST $618,842,049)3 | 677,670,818 | ||
OTHER ASSETS AND LIABILITIES - NET—2.6%4 | 17,988,299 | ||
TOTAL NET ASSETS—100% | $695,659,117 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
1S&P 500 Index Long Futures | 502 | $405,503,050 | March 2020 | $11,669,858 |
1United States Treasury Notes 2-Year Long Futures | 150 | $32,325,000 | March 2020 | $(30,806) |
1United States Treasury Notes 5-Year Long Futures | 100 | $11,860,938 | March 2020 | $(60,381) |
1United States Treasury Ultra Bond Long Futures | 30 | $5,449,688 | March 2020 | $(155,839) |
1United States Treasury Notes 10-Year Ultra Short Futures | 20 | $2,814,063 | March 2020 | $34,852 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $11,457,684 |
Counterparty | Description | Notional Amount | Expiration Date | Exercise Price | Value |
Put Options: | |||||
J.P. MORGAN | SPDR S&P 500 ETF Trust | $289,674,000 | January 2020 | $300.00 | $(301,500) |
(PREMIUMS RECEIVED $305,589) | $(301,500) |
Affiliates | Balance of Shares Held 12/31/2018 | Purchases/ Additions | Sales/ Reductions | Balance of Shares Held 12/31/2019 | Value | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Dividend Income |
Emerging Markets Core Fund | 1,696,947 | 212,793 | (709,449) | 1,200,291 | $12,098,932 | $1,377,730 | $(131,198) | $721,854 |
Federated Bank Loan Core Fund | 769,550 | 42,872 | (76,427) | 735,995 | $7,249,549 | $190,473 | $(23,446) | $421,780 |
Federated High Income Bond Fund II, Class P | 3,835,070 | 573,801 | (1,784,617) | 2,624,254 | $17,136,381 | $1,468,672 | $66,673 | $1,522,163 |
Federated Mortgage Core Portfolio | 11,473,149 | 4,253,501 | (7,247,215) | 8,479,435 | $83,776,815 | $2,342,346 | $224,291 | $3,068,342 |
Federated Project and Trade Finance Core Fund | 2,226,116 | 94,385 | (387,414) | 1,933,087 | $17,281,796 | $55,684 | $(292,789) | $850,749 |
Federated U.S. Government Securities Fund: 2-5 Years, Institutional Shares | 1,012 | 23 | — | 1,035 | $11,276 | $244 | $— | $227 |
TOTAL OF AFFILIATED TRANSACTIONS | 20,001,844 | 5,177,375 | (10,205,122) | 14,974,097 | $137,554,749 | $5,435,149 | $(156,469) | $6,585,115 |
1 | Non-income-producing security. |
2 | Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above. |
3 | The cost of investments for federal tax purposes amounts to $620,173,695. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | $268,151,489 | $— | $— | $268,151,489 |
International | 12,476,873 | — | — | 12,476,873 |
Debt Securities: | ||||
Adjustable Rate Mortgage | — | 5,658 | — | 5,658 |
Commercial Mortgage-Backed Securities | — | 6,833,216 | — | 6,833,216 |
Corporate Bonds | — | 119,776,833 | — | 119,776,833 |
Mortgage-Backed Securities | — | 69,133 | — | 69,133 |
U.S. Treasuries | — | 100,422,416 | — | 100,422,416 |
Foreign Governments/Agencies | — | 1,503,951 | — | 1,503,951 |
Purchased Put Option | 670,500 | — | — | 670,500 |
Investment Companies1 | 120,272,953 | —- | — | 137,554,749 |
Repurchase Agreement | — | 30,206,000 | — | 30,206,000 |
TOTAL SECURITIES | $401,571,815 | $258,817,207 | $— | $677,670,818 |
Other Financial Instruments | ||||
Assets | ||||
Futures Contracts | $11,704,710 | $— | $— | $11,704,710 |
Liabilities | ||||
Futures Contracts | (247,026) | — | — | (247,026) |
Written Options Contracts | (301,500) | — | — | (301,500) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $11,156,184 | $— | $— | $11,156,184 |
1 | As permitted by U.S. generally accepted accounting principles (GAAP), an Investment Company valued at $17,281,796 is measured at fair value using the net asset value (NAV) per share practical expedient and has not been categorized in the chart above but is included in the Total column. The amount included herein is intended to permit reconciliation of the fair value classifications to the amounts presented on the Statement of Assets and Liabilities. The price of shares redeemed of Federated Project and Trade Finance Core Fund may be determined as of the closing NAV of the fund up to twenty-four days after receipt of a shareholder redemption request. |
ARM | —Adjustable Rate Mortgage |
BKNT | —Bank Notes |
ETF | —Exchange-Traded Fund |
FREMF | —Freddie Mac Multifamily K-Deals |
GMTN | —Global Medium Term Note |
LIBOR | —London Interbank Offered Rate |
MTN | —Medium Term Note |
REIT | —Real Estate Investment Trust |
REMIC | —Real Estate Mortgage Investment Conduits |
SPDR | —Standard & Poor's Depositary Receipt |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $9.60 | $10.80 | $9.52 | $9.29 | $10.54 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.24 | 0.23 | 0.29 | 0.34 | 0.44 |
Net realized and unrealized gain (loss) | 1.68 | (1.13) | 1.39 | 0.34 | (1.20) |
TOTAL FROM INVESTMENT OPERATIONS | 1.92 | (0.90) | 1.68 | 0.68 | (0.76) |
Less Distributions: | |||||
Distributions from net investment income | (0.22) | (0.30) | (0.40) | (0.45) | (0.44) |
Distributions from net realized gain | — | — | — | — | (0.05) |
TOTAL DISTRIBUTIONS | (0.22) | (0.30) | (0.40) | (0.45) | (0.49) |
Net Asset Value, End of Period | $11.30 | $9.60 | $10.80 | $9.52 | $9.29 |
Total Return2 | 20.23% | (8.49)% | 18.11% | 7.69% | (7.64)% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.91% | 0.89% | 0.83% | 0.79%3 | 0.75%3 |
Net investment income | 2.28% | 2.26% | 2.91% | 3.72% | 4.38% |
Expense waiver/reimbursement4 | 0.02% | 0.03% | 0.09% | 0.14% | 0.16% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $651,498 | $632,957 | $621,804 | $563,745 | $631,701 |
Portfolio turnover | 47% | 96% | 71% | 90% | 97% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratios are 0.79% and 0.75% for the years ended December 31, 2016 and 2015, respectively, after taking into account these expense reductions. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Year Ended 12/31/2019 | Period Ended 12/31/20181 | |
Net Asset Value, Beginning of Period | $9.59 | $10.08 |
Income From Investment Operations: | ||
Net investment income (loss)2 | 0.21 | 0.13 |
Net realized and unrealized gain (loss) | 1.68 | (0.62) |
TOTAL FROM INVESTMENT OPERATIONS | 1.89 | (0.49) |
Less Distributions: | ||
Distributions from net investment income | (0.21) | — |
Net Asset Value, End of Period | $11.27 | $9.59 |
Total Return3 | 19.92% | (4.86)% |
Ratios to Average Net Assets: | ||
Net expenses | 1.16% | 1.15%4 |
Net investment income | 2.03% | 1.91%4 |
Expense waiver/reimbursement5 | 0.02% | 0.02%4 |
Supplemental Data: | ||
Net assets, end of period (000 omitted) | $44,161 | $44,037 |
Portfolio turnover | 47% | 96%6 |
1 | Reflects operations for the period from April 26, 2018 (date of initial investment) to December 31, 2018. |
2 | Per share numbers have been calculated using the average shares method. |
3 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
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. |
6 | Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended December 31, 2018. |
Assets: | ||
Investment in securities, at value including $137,554,749 of investment in affiliated holdings* (identified cost $618,842,049) | $677,670,818 | |
Cash | 49,368 | |
Due from broker | 15,853,926 | |
Income receivable | 2,085,733 | |
Income receivable from affiliated holdings | 387,841 | |
Receivable for shares sold | 243,139 | |
Receivable for variation margin on futures contracts | 944,247 | |
TOTAL ASSETS | 697,235,072 | |
Liabilities: | ||
Payable for investments purchased | $388,393 | |
Payable for shares redeemed | 685,425 | |
Written options outstanding (premium $305,589), at value | 301,500 | |
Payable for investment adviser fee (Note 5) | 14,000 | |
Payable for administrative fee (Note 5) | 1,839 | |
Payable for custodian fees | 33,826 | |
Payable for portfolio accounting fees | 97,177 | |
Payable for distribution services fee (Note 5) | 9,288 | |
Accrued expenses (Note 5) | 44,507 | |
TOTAL LIABILITIES | 1,575,955 | |
Net assets for 61,580,890 shares outstanding | $695,659,117 | |
Net Assets Consist of: | ||
Paid-in capital | $644,090,881 | |
Total distributable earnings (loss) | 51,568,236 | |
TOTAL NET ASSETS | $695,659,117 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
Primary Shares: | ||
Net asset value per share ($651,497,620 ÷ 57,663,743 shares outstanding), no par value, unlimited shares authorized | $11.30 | |
Service Shares: | ||
Net asset value per share ($44,161,497 ÷ 3,917,147 shares outstanding), no par value, unlimited shares authorized | $11.27 |
* | See information listed after the Fund's Portfolio of Investments. |
Investment Income: | ||
Dividends (including $6,585,115 received from affiliated holdings* and net of foreign taxes withheld of $702) | $14,044,507 | |
Interest | 8,012,632 | |
TOTAL INCOME | 22,057,139 | |
Expenses: | ||
Investment adviser fee (Note 5) | $5,186,257 | |
Administrative fee (Note 5) | 675,708 | |
Custodian fees | 54,024 | |
Transfer agent fee | 50,922 | |
Directors'/Trustees' fees (Note 5) | 6,081 | |
Auditing fees | 34,570 | |
Legal fees | 16,364 | |
Portfolio accounting fees | 200,932 | |
Distribution services fee (Note 5) | 109,762 | |
Printing and postage | 136,082 | |
Miscellaneous (Note 5) | 35,125 | |
TOTAL EXPENSES | 6,505,827 | |
Reimbursement of investment adviser fee (Note 5) | (118,792) | |
Net expenses | 6,387,035 | |
Net investment income | 15,670,104 | |
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Written Options and Foreign Currency Transactions: | ||
Net realized loss on investments (including net realized loss of $(156,469) on sales of investments in affiliated holdings*) | (4,235,947) | |
Net realized loss on foreign currency transactions | (2,144) | |
Net realized gain on futures contracts | 26,125,112 | |
Net realized gain on written options | 2,889,112 | |
Net change in unrealized depreciation of investments (including net change in unrealized depreciation of $5,435,149 on investments in affiliated holdings*) | 74,794,507 | |
Net change in unrealized appreciation/depreciation of translation of assets and liabilities in foreign currency | 1,556 | |
Net change in unrealized depreciation of futures contracts | 12,595,975 | |
Net change in unrealized appreciation of written options | (181,908) | |
Net realized and unrealized gain (loss) on investments, futures contracts, written options and foreign currency transactions | 111,986,263 | |
Change in net assets resulting from operations | $127,656,367 |
* | See information listed after the Fund's Portfolio of Investments. |
Year Ended December 31 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $15,670,104 | $14,685,775 |
Net realized gain (loss) | 24,776,133 | (22,815,479) |
Net change in unrealized appreciation/depreciation | 87,210,130 | (56,815,881) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 127,656,367 | (64,945,585) |
Distributions to Shareholders: | ||
Primary Shares | (13,858,559) | (17,245,330) |
Service Shares | (900,138) | — |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (14,758,697) | (17,245,330) |
Share Transactions: | ||
Proceeds from sale of shares | 25,506,299 | 60,468,298 |
Proceeds from shares issued in connection with the tax-free transfer of assets from Federated Managed Tail Risk Fund II | — | 181,846,189 |
Net asset value of shares issued to shareholders in payment of distributions declared | 14,758,695 | 17,245,330 |
Cost of shares redeemed | (134,498,167) | (122,178,476) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (94,233,173) | 137,381,341 |
Change in net assets | 18,664,497 | 55,190,426 |
Net Assets: | ||
Beginning of period | 676,994,620 | 621,804,194 |
End of period | $695,659,117 | $676,994,620 |
Shares of the Fund Issued | Federated Managed Tail Risk Fund II Net Assets Received | Unrealized Appreciation1 | Net Assets of the Fund Immediately Prior to Combination | Net Assets of the Fund Immediately After Combination |
17,252,819 | $181,846,189 | $1,990,708 | $599,415,157 | $781,261,346 |
1 | Unrealized Appreciation is included in the Net Assets Received amount shown above. |
Net investment income* | $16,332,897 |
Net realized and unrealized loss on investments | $(82,276,859) |
Net decrease in net assets resulting from operations | $(65,943,962) |
* | Net investment income includes $133,000 of pro forma additional expenses. |
■ | 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. |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | 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. |
■ | 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, |
■ | With respect to securities traded principally 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. |
Fair Value of Derivative Instruments | ||||
Asset | Liability | |||
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 | $ (212,174)* | $— | |
Equity contracts | Receivable for variation margin on futures contracts | $ 11,669,858* | $— | |
Equity contracts | $— | Written option contracts outstanding, at value | $ 301,500 | |
Equity contracts | Purchased options, Investment in securities at value | $ 670,500 | $— | |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $ 12,128,184 | $ 301,500 |
* | Includes net cumulative appreciation/depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day's variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||
Futures Contracts | Purchased Option Contracts1 | Written Option Contracts | Total | |
Interest rate contracts | $(388,978) | $— | $— | $(388,978) |
Equity contracts | $26,514,090 | $ (9,951,237) | $2,889,112 | $19,451,965 |
TOTAL | $26,125,112 | $ (9,951,237) | $2,889,112 | $19,062,987 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||
Futures Contracts | Purchased Option Contracts2 | Written Option Contracts | Total | |
Interest rate contracts | $92,052 | $— | $— | $92,052 |
Equity contracts | $12,503,923 | $563,521 | $(181,908) | $12,885,536 |
TOTAL | $12,595,975 | $563,521 | $(181,908) | $12,977,588 |
1 | The net realized loss on Purchased Option Contracts is found within the Net realized loss on investments on the Statement of Operations. |
2 | The net change in unrealized depreciation of Purchased Option Contracts is found within the Net change in unrealized depreciation of investments on the Statement of Operations. |
Year Ended December | 2019 | 2018 | ||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 2,373,923 | $24,532,576 | 5,736,527 | $59,498,677 |
Proceeds from shares issued in connection with the tax-free transfer of assets from Federated Managed Tail Risk Fund II | — | — | 12,384,634 | 130,535,314 |
Shares issued to shareholders in payment of distributions declared | 1,369,423 | 13,858,559 | 1,677,561 | 17,245,330 |
Shares redeemed | (12,039,584) | (125,610,367) | (11,423,916) | (118,377,677) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (8,296,238) | $(87,219,232) | 8,374,806 | $88,901,644 |
Year Ended December | 2019 | 20181 | ||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 94,757 | $973,723 | 95,335 | $969,621 |
Proceeds from shares issued in connection with the tax-free transfer of assets from Federated Managed Tail Risk Fund II | — | — | 4,868,185 | 51,310,875 |
Shares issued to shareholders in payment of distributions declared | 88,946 | 900,136 | — | — |
Shares redeemed | (858,584) | (8,887,800) | (371,492) | (3,800,799) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (674,881) | $(7,013,941) | 4,592,028 | $48,479,697 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (8,971,119) | $(94,233,173) | 12,966,834 | $137,381,341 |
1 | Reflects operations for the period from April 26, 2018 (date of initial investment) to December 31, 2018. |
2019 | 2018 | |
Ordinary income | $14,758,697 | $17,245,330 |
Undistributed ordinary income | $15,757,886 |
Unrealized appreciation | $56,918,867 |
Capital loss carry forwards | $(21,108,517) |
Short-Term | Long-Term | Total |
$11,134,453 | $9,974,064 | $21,108,517 |
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 |
Distribution Services Fees Incurred | |
Service Shares | $109,762 |
Purchases | $220,360,788 |
Sales | $333,835,524 |
February 14, 2020
Beginning Account Value 7/1/2019 | Ending Account Value 12/31/2019 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,070.10 | $4.75 |
Service Shares | $1,000 | $1,068.20 | $6.05 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,020.60 | $4.63 |
Service Shares | $1,000 | $1,019.40 | $5.90 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 0.91% |
Service Shares | 1.16% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: September 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Thomas R. Donahue* Birth Date: October 20, 1958 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Director or Trustee of certain of the funds in the Federated Hermes Fund Family; Chief Financial Officer, Treasurer, Vice President and Assistant Secretary, Federated Hermes, Inc.; Chairman and Trustee, Federated Administrative Services; Chairman and Director, Federated Administrative Services, Inc.; Trustee and Treasurer, Federated Advisory Services Company; Director or Trustee and Treasurer, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, and Federated Investment Management Company; Director, MDTA LLC; Director, Executive Vice President and Assistant Secretary, Federated Securities Corp.; Director or Trustee and Chairman, Federated Services Company and Federated Shareholder Services Company; and Director and President, FII Holdings, Inc. Previous Positions: Director, Federated Hermes, Inc.; Assistant Secretary, Federated Investment Management Company, Federated Global Investment Management Company and Passport Research, LTD; Treasurer, Passport Research, LTD; Executive Vice President, Federated Securities Corp.; and Treasurer, FII Holdings, Inc. |
* | Family relationships and reasons for “interested” status: J. Christopher Donahue and Thomas R. Donahue are brothers. Both are “interested” due to their beneficial ownership of shares of Federated Hermes, Inc. and the positions they hold with Federated Hermes, Inc. and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, Chairman of the Compensation Committee, KLX Energy Services Holdings, Inc. (oilfield services); former Director of KLX Corp. (aerospace). Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc.; Director, Chair of the Audit Committee, Equifax, Inc.; Director, Member of the Audit Committee, Haverty Furniture Companies, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court's Board of Continuing Judicial Education and the Supreme Court's Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, St. Vincent College; and Director and Chair, North Catholic High School, Inc. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: September 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant and Author. Other Directorships Held: None. Qualifications: Mr. Mansfield has served as a Marine Corps officer and in several banking, business management, educational roles and directorship positions throughout his long career. He remains active as a Management Consultant and Author. |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CNX Resources Corporation (formerly known as CONSOL Energy Inc.); and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
John B. Fisher Birth Date: May 16, 1956 President Officer since: November 2004 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Complex and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Hermes, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes' taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated Hermes' money market products in 2004. She joined Federated Hermes in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916744
Share Class | Primary | Service |
1 | Please see the footnotes to the line graphs below for definitions of, and further information about, the BBHY2%ICI. |
2 | Please see the footnotes to the line graphs below for definitions of, and further information about, the LVHYFA. |
3 | High-yield, lower-rated securities generally entail greater market, credit and liquidity risks than investment-grade securities and may include higher volatility and a higher risk of default. |
4 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.* |
5 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
6 | Credit Suisse High Yield Bond Index serves as a benchmark to evaluate the performance of low-quality bonds. Low-quality is defined as those bonds in the range from “BB” to “CCC” and defaults.* |
* | The index is unmanaged, and it is not possible to invest directly in an index. |
Federated High Income Bond Fund II - | Primary Shares | Service Shares | BBHY2%ICI | LVHYFA |
F | F | I | I | |
12/31/2009 | 10,000 | 10,000 | 10,000 | 10,000 |
12/31/2010 | 11,473 | 11,438 | 11,494 | 11,408 |
12/31/2011 | 12,066 | 12,001 | 12,064 | 11,801 |
12/31/2012 | 13,839 | 13,718 | 13,967 | 13,561 |
12/31/2013 | 14,806 | 14,641 | 15,006 | 14,521 |
12/31/2014 | 15,205 | 14,996 | 15,375 | 14,755 |
12/31/2015 | 14,814 | 14,587 | 14,693 | 14,195 |
12/31/2016 | 17,009 | 16,707 | 17,210 | 16,211 |
12/31/2017 | 18,189 | 17,803 | 18,501 | 17,360 |
12/31/2018 | 17,591 | 17,192 | 18,116 | 16,841 |
12/31/2019 | 20,150 | 19,621 | 20,710 | 19,221 |
1 Year | 5 Years | 10 Years | |
Primary Shares | 14.54% | 5.79% | 7.26% |
Service Shares | 14.13% | 5.52% | 6.97% |
BBHY2%ICI | 14.32% | 6.14% | 7.55% |
LVHYFA | 12.96% | 5.12% | 6.73% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBHY2%ICI and the LVHYFA have been adjusted to reflect reinvestment of dividends on securities in the index and average. |
2 | The BBHY2%ICI is an issuer-constrained version of the Bloomberg Barclays U.S. Corporate High Yield Index that measures the market of USD-denominated, noninvestment-grade, fixed-rate, taxable corporate bonds. The index follows the same rules as the uncapped index but limits the exposure of each issuer to 2% of the total market value and redistributes any excess market value index-wide on a pro-rata basis. The BBHY2%ICI is not adjusted to reflect sales charges, expenses or other fees that the Securities and Exchange Commission (SEC) requires to be reflected in the Fund's performance. The index is unmanaged and unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
3 | Lipper figures represent the average of the total returns reported by all funds designated by Lipper, Inc., as falling into the respective category and is not adjusted to reflect any sales charges. The Lipper figures in the Growth of $10,000 line graph are based on historical return information published by Lipper and reflect the return of the funds comprising the category in the year of publication. Because the funds designated by Lipper as falling into the category can change over time, the Lipper figures in the line graph may not match the Lipper figures in the Average Annual Total Returns table, which reflect the return of the funds that currently comprise the category. |
Index Classification | Percentage of Total Net Assets |
Health Care | 8.9% |
Cable Satellite | 7.9% |
Technology | 7.2% |
Midstream | 6.4% |
Media Entertainment | 6.0% |
Packaging | 5.9% |
Independent Energy | 4.6% |
Insurance—P&C | 4.1% |
Pharmaceuticals | 3.8% |
Wireless Communications | 3.5% |
Other2 | 34.4% |
Cash Equivalents3 | 5.8% |
Other Assets and Liabilities—Net4 | 1.5% |
TOTAL | 100.0% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (BBHY2%ICI). Individual portfolio securities that are not included in the BBHY2%ICI are assigned to an index classification by the Fund's Adviser. |
2 | For purposes of this table, index classifications which constitute less than 3.5% of the Fund's total net assets have been aggregated under the designation “Other.” |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—92.5% | |||
Aerospace/Defense—1.4% | |||
$375,000 | TransDigm UK Holdings PLC, Sr. Sub., 6.875%, 5/15/2026 | $400,443 | |
500,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.250%, 3/15/2026 | 542,242 | |
675,000 | TransDigm, Inc., Sr. Sub. Deb., 144A, 5.500%, 11/15/2027 | 683,829 | |
125,000 | TransDigm, Inc., Sr. Sub. Note, 6.375%, 6/15/2026 | 132,807 | |
475,000 | TransDigm, Inc., Sr. Sub. Note, 6.500%, 7/15/2024 | 490,882 | |
100,000 | TransDigm, Inc., Sr. Sub., Series WI, 7.500%, 3/15/2027 | 109,565 | |
TOTAL | 2,359,768 | ||
Automotive—3.1% | |||
625,000 | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026 | 559,391 | |
625,000 | American Axle & Manufacturing, Inc., Sr. Unsecd. Note, Series WI, 6.500%, 4/1/2027 | 650,016 | |
525,000 | Dana Financing Lux Sarl, 144A, 6.500%, 6/1/2026 | 562,616 | |
50,000 | Dana Financing Lux Sarl, Sr. Unsecd. Note, 144A, 5.750%, 4/15/2025 | 52,396 | |
200,000 | Dana, Inc., Sr. Unsecd. Note, 5.375%, 11/15/2027 | 206,500 | |
275,000 | Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 4.875%, 3/15/2027 | 285,134 | |
275,000 | Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 5.000%, 5/31/2026 | 286,509 | |
75,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.000%, 5/15/2027 | 79,713 | |
325,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029 | 350,300 | |
375,000 | J.B. Poindexter & Co., Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/15/2026 | 396,693 | |
50,000 | Panther BF Aggregator 2 LP, Sec. Fac. Bond, 144A, 6.250%, 5/15/2026 | 53,969 | |
1,150,000 | Panther BF Aggregator 2 LP, Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027 | 1,224,002 | |
500,000 | Schaeffler Verwaltung Zw, 144A, 4.750%, 9/15/2026 | 511,161 | |
TOTAL | 5,218,400 | ||
Banking—0.2% | |||
325,000 | Ally Financial, Inc., Sr. Sub. Note, 5.750%, 11/20/2025 | 364,406 | |
Building Materials—2.0% | |||
150,000 | American Builders & Contractors Supply Co., Inc., 144A, 4.000%, 1/15/2028 | 152,528 | |
600,000 | American Builders & Contractors Supply Co., Inc., Sr. Unsecd. Note, 144A, 5.875%, 5/15/2026 | 638,610 | |
75,000 | Beacon Roofing Supply, Inc., 144A, 4.500%, 11/15/2026 | 77,344 | |
375,000 | Building Materials Corp. of America, Sr. Unsecd. Note, 144A, 6.000%, 10/15/2025 | 395,153 | |
625,000 | CD&R Waterworks Merger Subsidiary LLC, Sr. Unsecd. Note, 144A, 6.125%, 8/15/2025 | 649,994 | |
125,000 | Masonite International Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/15/2026 | 133,168 | |
575,000 | Pisces Midco, Inc., Sec. Fac. Bond, 144A, 8.000%, 4/15/2026 | 600,889 | |
600,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027 | 626,893 | |
TOTAL | 3,274,579 | ||
Cable Satellite—7.9% | |||
325,000 | CCO Holdings LLC/Cap Corp., 144A, 5.750%, 2/15/2026 | 343,483 | |
775,000 | CCO Holdings LLC/Cap Corp., 5.750%, 9/1/2023 | 791,790 | |
1,075,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.750%, 3/1/2030 | 1,098,521 | |
650,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 683,260 | |
275,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029 | 294,071 | |
500,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.875%, 5/1/2027 | 529,911 | |
375,000 | CSC Holdings LLC, 144A, 5.375%, 7/15/2023 | 385,157 | |
325,000 | CSC Holdings LLC, 144A, 5.500%, 5/15/2026 | 344,845 | |
200,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2030 | 213,750 | |
225,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.500%, 2/1/2029 | 251,297 | |
450,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.625%, 10/15/2025 | 478,683 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Cable Satellite—continued | |||
$275,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 7.500%, 4/1/2028 | $311,389 | |
225,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 7.750%, 7/15/2025 | 240,458 | |
450,000 | CSC Holdings, Inc., Sr. Unsecd. Note, 5.250%, 6/1/2024 | 485,813 | |
450,000 | Cablevision Systems Corp., Sr. Unsecd. Note, 5.875%, 9/15/2022 | 485,676 | |
105,000 | Charter Communications Holdings II, 5.750%, 1/15/2024 | 107,144 | |
825,000 | DISH DBS Corp., Sr. Unsecd. Note, 5.875%, 11/15/2024 | 844,767 | |
200,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.750%, 7/1/2026 | 212,248 | |
450,000 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 8.500%, 10/15/2024 | 410,812 | |
425,000 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.500%, 8/1/2023 | 365,978 | |
300,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.625%, 7/15/2024 | 315,625 | |
100,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.000%, 8/1/2027 | 105,685 | |
600,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.375%, 4/15/2025 | 621,219 | |
300,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029 | 324,927 | |
850,000 | Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028 | 915,025 | |
200,000 | Virgin Media Secured Finance PLC, 144A, 5.500%, 8/15/2026 | 210,465 | |
200,000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 5.500%, 5/15/2029 | 212,120 | |
200,000 | Virgin Media, Inc., Sr. Unsecd. Note, 144A, 5.750%, 1/15/2025 | 206,333 | |
200,000 | Virgin Media, Inc., Sr. Unsecd. Note, 144A, 6.000%, 10/15/2024 | 206,583 | |
700,000 | Ziggo Finance BV, Sec. Fac. Bond, 144A, 5.500%, 1/15/2027 | 745,045 | |
300,000 | Ziggo Finance BV, Sr. Unsecd. Note, 144A, 5.875%, 1/15/2025 | 310,063 | |
200,000 | Ziggo Finance BV, Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027 | 211,465 | |
TOTAL | 13,263,608 | ||
Chemicals—2.4% | |||
200,000 | Alpha 2 BV, Sr. Unsecd. Note, 144A, 8.750%, 6/1/2023 | 204,583 | |
575,000 | Alpha 3 BV, Sr. Unsecd. Note, 144A, 6.250%, 2/1/2025 | 592,250 | |
675,000 | Compass Minerals International, Inc., 144A, 4.875%, 7/15/2024 | 674,436 | |
150,000 | Compass Minerals International, Inc., Sr. Unsecd. Note, 144A, 6.750%, 12/1/2027 | 159,653 | |
400,000 | Element Solutions, Inc., Sr. Unsecd. Note, 144A, 5.875%, 12/1/2025 | 419,496 | |
300,000 | Hexion, Inc., Sr. Unsecd. Note, 144A, 7.875%, 7/15/2027 | 312,743 | |
700,000 | Koppers, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | 734,993 | |
250,000 | PQ Corp., Sr. Unsecd. Note, 144A, 5.750%, 12/15/2025 | 261,979 | |
700,000 | Starfruit Finco BV, Sr. Unsecd. Note, 144A, 8.000%, 10/1/2026 | 743,767 | |
TOTAL | 4,103,900 | ||
Construction Machinery—0.6% | |||
100,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 6.500%, 12/15/2026 | 110,091 | |
450,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.500%, 5/15/2027 | 483,208 | |
450,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.875%, 9/15/2026 | 483,874 | |
TOTAL | 1,077,173 | ||
Consumer Cyclical Services—1.4% | |||
125,000 | Allied Universal Holdco LLC, Sec. Fac. Bond, 144A, 6.625%, 7/15/2026 | 134,572 | |
1,125,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027 | 1,204,416 | |
829,000 | GW B-CR Security Corp., Sr. Unsecd. Note, 144A, 9.500%, 11/1/2027 | 886,491 | |
125,000 | Go Daddy Operating Co. LLC / GD Finance Co., Inc., Sr. Unsecd. Note, 144A, 5.250%, 12/1/2027 | 131,794 | |
TOTAL | 2,357,273 | ||
Consumer Products—0.8% | |||
50,000 | Energizer Holdings, Inc., Sec. Fac. Bond, 144A, 6.375%, 7/15/2026 | 53,343 | |
125,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 6/15/2025 | 129,948 | |
275,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 7.750%, 1/15/2027 | 307,835 | |
100,000 | Prestige Brands, Inc., Sr. Unsecd. Note, 144A, 5.125%, 1/15/2028 | 105,000 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Products—continued | |||
$700,000 | Prestige Brands, Inc., Sr. Unsecd. Note, 144A, 6.375%, 3/1/2024 | $729,459 | |
TOTAL | 1,325,585 | ||
Diversified Manufacturing—1.3% | |||
75,000 | Amsted Industries, Inc., Sr. Unsecd. Note, 144A, 5.625%, 7/1/2027 | 79,713 | |
75,000 | CFX Escrow Corp., Sr. Unsecd. Note, 144A, 6.375%, 2/15/2026 | 81,844 | |
650,000 | Gates Global LLC, Sr. Unsecd. Note, 144A, 6.250%, 1/15/2026 | 662,379 | |
150,000 | Stevens Holding Company, Inc., Sr. Unsecd. Note, 144A, 6.125%, 10/1/2026 | 164,302 | |
375,000 | Titan Acquisition Ltd., Sr. Unsecd. Note, 144A, 7.750%, 4/15/2026 | 372,121 | |
550,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2021 | 552,376 | |
175,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 6/15/2024 | 182,073 | |
TOTAL | 2,094,808 | ||
Environmental—0.2% | |||
350,000 | Tervita Escrow Corp., 144A, 7.625%, 12/1/2021 | 352,975 | |
Finance Companies—1.9% | |||
800,000 | Navient Corp., Sr. Unsecd. Note, 5.875%, 10/25/2024 | 857,992 | |
100,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/25/2025 | 110,650 | |
100,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/15/2026 | 110,095 | |
675,000 | Park Aerospace Holdings Ltd., Sr. Unsecd. Note, 144A, 5.500%, 2/15/2024 | 741,933 | |
900,000 | Quicken Loans, Inc., 144A, 5.750%, 5/1/2025 | 932,252 | |
400,000 | Quicken Loans, Inc., Sr. Unsecd. Note, 144A, 5.250%, 1/15/2028 | 414,929 | |
TOTAL | 3,167,851 | ||
Food & Beverage—2.5% | |||
650,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 4/1/2025 | 679,244 | |
400,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 422,240 | |
125,000 | Aramark Services, Inc., Sr. Unsecd. Note, 5.125%, 1/15/2024 | 128,536 | |
400,000 | B&G Foods, Inc., Sr. Unsecd. Note, 5.250%, 4/1/2025 | 412,166 | |
125,000 | Performance Food Group, Inc., 144A, 5.500%, 6/1/2024 | 128,489 | |
175,000 | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 5.500%, 10/15/2027 | 187,473 | |
150,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/15/2029 | 160,223 | |
200,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2028 | 215,870 | |
1,075,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 1,155,434 | |
650,000 | U.S. Foodservice, Inc., Sr. Unsecd. Note, 144A, 5.875%, 6/15/2024 | 670,855 | |
TOTAL | 4,160,530 | ||
Gaming—3.3% | |||
275,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 4.750%, 12/1/2027 | 286,165 | |
200,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 6.375%, 4/1/2026 | 215,557 | |
100,000 | Boyd Gaming Corp., Sr. Unsecd. Note, Series WI, 6.000%, 8/15/2026 | 107,660 | |
575,000 | CRC Escrow Issuer LLC, Sr. Unsecd. Note, 144A, 5.250%, 10/15/2025 | 595,844 | |
600,000 | Eldorado Resorts, Inc., Sr. Unsecd. Note, 6.000%, 4/1/2025 | 632,751 | |
50,000 | MGM Growth Properties LLC, Sr. Unsecd. Note, 5.625%, 5/1/2024 | 54,604 | |
625,000 | MGM Resorts International, 6.000%, 3/15/2023 | 687,241 | |
100,000 | MGM Resorts International, Sr. Unsecd. Note, 4.625%, 9/1/2026 | 106,232 | |
275,000 | MGM Resorts International, Sr. Unsecd. Note, 5.750%, 6/15/2025 | 308,685 | |
475,000 | Mohegan Tribal Gaming Authority, Sr. Unsecd. Note, 144A, 7.875%, 10/15/2024 | 485,885 | |
150,000 | Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2027 | 158,948 | |
800,000 | Star Group Holdings BV, Sr. Unsecd. Note, 144A, 7.000%, 7/15/2026 | 868,480 | |
525,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2025 | 535,500 | |
225,000 | Sugarhouse HSP Gaming Finance Corp., Sec. Fac. Bond, 144A, 5.875%, 5/15/2025 | 225,093 | |
175,000 | VICI Properties LP/VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.250%, 12/1/2026 | 180,571 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Gaming—continued | |||
$150,000 | VICI Properties LP/VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.625%, 12/1/2029 | $157,027 | |
TOTAL | 5,606,243 | ||
Health Care—8.9% | |||
175,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 5.625%, 2/15/2023 | 178,209 | |
625,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 6.500%, 3/1/2024 | 649,478 | |
675,000 | Air Medical Group Holdings, Inc., Sr. Unsecd. Note, 144A, 6.375%, 5/15/2023 | 606,093 | |
950,000 | Avantor, Inc., Sr. Unsecd. Note, 144A, 9.000%, 10/1/2025 | 1,063,634 | |
550,000 | CHS/Community Health Systems, Inc., 6.250%, 3/31/2023 | 559,625 | |
200,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.000%, 3/15/2026 | 206,375 | |
150,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.625%, 1/15/2024 | 159,373 | |
100,000 | Charles River Laboratories International, Inc., Sr. Unsecd. Note, 144A, 5.500%, 4/1/2026 | 107,732 | |
75,000 | Charles River Laboratories International, Inc., Sr. Unsecd. Note, 144A, 4.250%, 5/1/2028 | 76,545 | |
625,000 | Enterprise Merger Sub, Inc., Sr. Unsecd. Note, 144A, 8.750%, 10/15/2026 | 389,280 | |
200,000 | HCA, Inc., 5.875%, 5/1/2023 | 221,449 | |
475,000 | HCA, Inc., 5.875%, 2/15/2026 | 541,015 | |
750,000 | HCA, Inc., Sr. Unsecd. Note, 5.375%, 2/1/2025 | 830,936 | |
175,000 | HCA, Inc., Sr. Unsecd. Note, 5.375%, 9/1/2026 | 195,348 | |
275,000 | HCA, Inc., Sr. Unsecd. Note, 5.625%, 9/1/2028 | 313,899 | |
250,000 | HCA, Inc., Sr. Unsecd. Note, 5.875%, 2/1/2029 | 289,375 | |
50,000 | Hill-Rom Holdings, Inc., Sr. Unsecd. Note, 144A, 4.375%, 9/15/2027 | 51,580 | |
525,000 | IMS Health, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/15/2026 | 555,094 | |
200,000 | Iqvia, Inc., Sr. Unsecd. Note, 144A, 5.000%, 5/15/2027 | 212,035 | |
650,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 9.750%, 12/1/2026 | 736,141 | |
350,000 | MEDNAX, Inc., Sr. Unsecd. Note, 144A, 6.250%, 1/15/2027 | 359,634 | |
1,025,000 | MPH Acquisition Holdings LLC, 144A, 7.125%, 6/1/2024 | 994,240 | |
775,000 | Ortho-Clinical Diagnostics, Inc., 144A, 6.625%, 5/15/2022 | 772,089 | |
500,000 | Polaris Intermediate Corp., Sr. Unsecd. Note, 144A, 8.500%, 12/1/2022 | 466,872 | |
125,000 | RegionalCare Hospital Partners Holdings, Inc., Sr. Unsecd. Note, 144A, 11.500%, 5/1/2024 | 134,688 | |
475,000 | Surgery Center Holdings, Inc., Sr. Unsecd. Note, 144A, 6.750%, 7/1/2025 | 476,385 | |
1,225,000 | Team Health Holdings, Inc., Sr. Unsecd. Note, 144A, 6.375%, 2/1/2025 | 821,258 | |
50,000 | Teleflex, Inc., Sr. Unsecd. Note, 4.625%, 11/15/2027 | 53,083 | |
175,000 | Tenet Healthcare Corp., 144A, 4.875%, 1/1/2026 | 183,514 | |
300,000 | Tenet Healthcare Corp., 144A, 5.125%, 11/1/2027 | 317,250 | |
500,000 | Tenet Healthcare Corp., 5.125%, 5/1/2025 | 516,250 | |
275,000 | Tenet Healthcare Corp., Sr. Secd. Note, 4.625%, 7/15/2024 | 282,105 | |
425,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 6.750%, 6/15/2023 | 467,838 | |
300,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 7.000%, 8/1/2025 | 317,500 | |
75,000 | Vizient, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/15/2027 | 80,464 | |
850,000 | West Street Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.375%, 9/1/2025 | 849,991 | |
TOTAL | 15,036,377 | ||
Health Insurance—1.2% | |||
525,000 | Centene Corp., Sr. Unsecd. Note, 144A, 4.250%, 12/15/2027 | 541,065 | |
575,000 | Centene Corp., Sr. Unsecd. Note, 144A, 4.625%, 12/15/2029 | 607,027 | |
175,000 | Centene Corp., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2025 | 182,143 | |
250,000 | Centene Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2026 | 265,775 | |
350,000 | Centene Corp., Sr. Unsecd. Note, 4.750%, 1/15/2025 | 364,285 | |
TOTAL | 1,960,295 | ||
Independent Energy—4.6% | |||
325,000 | Antero Resources Corp., Sr. Unsecd. Note, 5.000%, 3/1/2025 | 244,562 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Independent Energy—continued | |||
$50,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 7.000%, 11/1/2026 | $40,017 | |
175,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 10.000%, 4/1/2022 | 174,497 | |
250,000 | Berry Petroleum Co., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2026 | 232,274 | |
469,000 | Callon Petroleum Corp., Sr. Unsecd. Note, 6.125%, 10/1/2024 | 479,055 | |
75,000 | Callon Petroleum Corp., Sr. Unsecd. Note, Series WI, 6.375%, 7/1/2026 | 76,309 | |
400,000 | Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 8.250%, 7/15/2025 | 410,166 | |
250,000 | Centennial Resource Production, LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 260,581 | |
577,000 | Chesapeake Energy Corp., 144A, 11.500%, 1/1/2025 | 546,707 | |
625,000 | Crownrock LP/Crownrock F, 144A, 5.625%, 10/15/2025 | 639,056 | |
375,000 | 1,2 | EP Energy LLC/Everest Acquisition Finance, Inc., Sec. Fac. Bond, 144A, 8.000%, 11/29/2024 | 188,593 |
250,000 | Gulfport Energy Corp., Sr. Unsecd. Note, 6.000%, 10/15/2024 | 178,125 | |
325,000 | Gulfport Energy Corp., Sr. Unsecd. Note, 6.375%, 5/15/2025 | 207,322 | |
200,000 | Jagged Peak Energy, Inc., Sr. Unsecd. Note, Series WI, 5.875%, 5/1/2026 | 206,971 | |
75,000 | Laredo Petroleum, 5.625%, 1/15/2022 | 72,961 | |
225,000 | Laredo Petroleum, Sr. Unsecd. Note, 6.250%, 3/15/2023 | 211,593 | |
75,000 | Oasis Petroleum Inc., 6.875%, 3/15/2022 | 72,375 | |
500,000 | Oasis Petroleum Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/1/2026 | 416,262 | |
175,000 | PDC Energy, Inc., Sr. Unsecd. Note, 6.125%, 9/15/2024 | 177,698 | |
175,000 | PDC Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 5/15/2026 | 175,004 | |
125,000 | Parsley Energy LLC/Parsley Finance Corp., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2025 | 129,061 | |
150,000 | Parsley Energy LLC/Parsley Finance Corp., Sr. Unsecd. Note, 144A, 5.625%, 10/15/2027 | 158,903 | |
200,000 | QEP Resources, Inc., Sr. Unsecd. Note, 5.250%, 5/1/2023 | 198,500 | |
175,000 | QEP Resources, Inc., Sr. Unsecd. Note, 5.625%, 3/1/2026 | 171,111 | |
475,000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | 407,312 | |
200,000 | SM Energy Co., Sr. Unsecd. Note, 5.000%, 1/15/2024 | 191,083 | |
150,000 | SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 | 142,813 | |
25,000 | SM Energy Co., Sr. Unsecd. Note, 6.625%, 1/15/2027 | 24,629 | |
100,000 | SM Energy Co., Sr. Unsecd. Note, 6.750%, 9/15/2026 | 98,285 | |
325,000 | SRC Energy, Inc., Sr. Unsecd. Note, Series WI, 6.250%, 12/1/2025 | 328,247 | |
175,000 | Southwestern Energy Co., Sr. Unsecd. Note, 7.750%, 10/1/2027 | 162,527 | |
125,000 | Ultra Resources, Inc., Sr. Unsecd. Note, 144A, 6.875%, 4/15/2022 | 15,938 | |
175,000 | Ultra Resources, Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/15/2025 | 12,250 | |
150,000 | WPX Energy, Inc., Sr. Unsecd. Note, 5.250%, 10/15/2027 | 158,528 | |
125,000 | WPX Energy, Inc., Sr. Unsecd. Note, 5.750%, 6/1/2026 | 133,728 | |
350,000 | Whiting Petroleum Corp., Sr. Unsecd. Note, 6.250%, 4/1/2023 | 294,000 | |
150,000 | Whiting Petroleum Corp., Sr. Unsecd. Note, Series WI, 6.625%, 1/15/2026 | 102,601 | |
TOTAL | 7,739,644 | ||
Industrial - Other—0.7% | |||
200,000 | Anixter, Inc., Sr. Unsecd. Note, 6.000%, 12/1/2025 | 208,583 | |
375,000 | Hillman Group, Inc., Unsecd. Note, 144A, 6.375%, 7/15/2022 | 349,804 | |
100,000 | IAA Spinco, Inc., Sr. Unsecd. Note, 144A, 5.500%, 6/15/2027 | 106,435 | |
325,000 | KAR Auction Services, Inc., Sr. Unsecd. Note, 144A, 5.125%, 6/1/2025 | 338,678 | |
225,000 | Resideo Funding, Inc., Sr. Unsecd. Note, 144A, 6.125%, 11/1/2026 | 227,256 | |
TOTAL | 1,230,756 | ||
Insurance - P&C—4.1% | |||
175,000 | Acrisure LLC, Sec. Fac. Bond, 144A, 8.125%, 2/15/2024 | 190,641 | |
550,000 | Acrisure LLC, Sr. Unsecd. Note, 144A, 7.000%, 11/15/2025 | 532,120 | |
75,000 | Acrisure LLC, Sr. Unsecd. Note, 144A, 10.125%, 8/1/2026 | 80,990 | |
325,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Unsecd. Note, 144A, 6.750%, 10/15/2027 | 348,660 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Insurance - P&C—continued | |||
$750,000 | AmWINS Group, Inc., Sr. Unsecd. Note, 144A, 7.750%, 7/1/2026 | $830,983 | |
650,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2025 | 662,799 | |
175,000 | GTCR AP Finance, Inc., Sr. Unsecd. Note, 144A, 8.000%, 5/15/2027 | 182,498 | |
1,900,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 7.000%, 5/1/2026 | 2,014,047 | |
200,000 | Kirs Midco 3 PLC, Sec. Fac. Bond, 144A, 8.625%, 7/15/2023 | 198,917 | |
775,000 | NFP Corp., Sr. Unsecd. Note, 144A, 6.875%, 7/15/2025 | 778,867 | |
100,000 | NFP Corp., Sr. Unsecd. Note, 144A, 8.000%, 7/15/2025 | 102,292 | |
900,000 | USIS Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.875%, 5/1/2025 | 922,221 | |
TOTAL | 6,845,035 | ||
Leisure—0.7% | |||
75,000 | Live Nation Entertainment, Inc., Sr. Unsecd. Note, 144A, 4.750%, 10/15/2027 | 77,764 | |
600,000 | Six Flags Entertainment Corp., Sr. Unsecd. Note, 144A, 5.500%, 4/15/2027 | 640,860 | |
25,000 | Viking Cruises Ltd., Sr. Unsecd. Note, 144A, 5.875%, 9/15/2027 | 26,765 | |
325,000 | Voc Escrow Ltd., 144A, 5.000%, 2/15/2028 | 341,039 | |
TOTAL | 1,086,428 | ||
Lodging—0.4% | |||
375,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 5.125%, 5/1/2026 | 395,755 | |
175,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, Series WI, 4.875%, 1/15/2030 | 185,802 | |
125,000 | RHP Hotel Property/RHP Finance Corp., Sr. Unsecd. Note, 144A, 4.750%, 10/15/2027 | 129,294 | |
TOTAL | 710,851 | ||
Media Entertainment—6.0% | |||
100,000 | AMC Networks, Inc., Sr. Unsecd. Note, 4.750%, 8/1/2025 | 100,584 | |
550,000 | AMC Networks, Inc., Sr. Unsecd. Note, 5.000%, 4/1/2024 | 562,375 | |
425,000 | CBS Radio, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/1/2024 | 448,551 | |
175,000 | Cumulus Media News Holdings, Inc., 144A, 6.750%, 7/1/2026 | 187,797 | |
350,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 5.375%, 8/15/2026 | 354,699 | |
500,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 6.625%, 8/15/2027 | 487,175 | |
350,000 | Entercom Media Corp., 144A, 6.500%, 5/1/2027 | 375,497 | |
600,000 | Gannett Co., Inc., 6.375%, 10/15/2023 | 618,750 | |
75,000 | Gray Escrow, Inc., Sr. Unsecd. Note, 144A, 7.000%, 5/15/2027 | 83,483 | |
375,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.125%, 10/15/2024 | 389,844 | |
325,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2026 | 346,320 | |
100,000 | iHeartCommunications, Inc., 144A, 4.750%, 1/15/2028 | 102,685 | |
150,000 | iHeartCommunications, Inc., 144A, 5.250%, 8/15/2027 | 157,222 | |
750,000 | 1,2,3 | iHeartCommunications, Inc., Escrow, 9.000%, 3/1/2021 | 0 |
906,114 | iHeartCommunications, Inc., Sr. Unsecd. Note, 8.375%, 5/1/2027 | 1,002,932 | |
400,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | 418,139 | |
825,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 8/1/2024 | 861,783 | |
375,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027 | 395,869 | |
350,000 | Nielsen Finance LLC/Nielsen Finance Co., 144A, 5.000%, 4/15/2022 | 351,935 | |
325,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2025 | 335,559 | |
50,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2030 | 50,968 | |
375,000 | Scripps Escrow, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027 | 393,506 | |
200,000 | Sinclair Television Group, 144A, 5.625%, 8/1/2024 | 206,167 | |
75,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.125%, 2/15/2027 | 77,276 | |
800,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.875%, 3/15/2026 | 843,278 | |
225,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 5.000%, 9/15/2029 | 229,219 | |
600,000 | Terrier Media Buyer, Inc., Sr. Unsecd. Note, 144A, 8.875%, 12/15/2027 | 636,000 | |
TOTAL | 10,017,613 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Metals & Mining—1.5% | |||
$425,000 | Coeur Mining, Inc., Sr. Unsecd. Note, 5.875%, 6/1/2024 | $426,239 | |
400,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 3.875%, 3/15/2023 | 408,126 | |
200,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.000%, 9/1/2027 | 210,370 | |
175,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.250%, 9/1/2029 | 187,801 | |
500,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.400%, 11/14/2034 | 524,911 | |
75,000 | HudBay Minerals, Inc., Sr. Unsecd. Note, 144A, 7.250%, 1/15/2023 | 77,984 | |
475,000 | HudBay Minerals, Inc., Sr. Unsecd. Note, 144A, 7.625%, 1/15/2025 | 502,353 | |
250,000 | Steel Dynamics, Inc., Sr. Unsecd. Note, 5.500%, 10/1/2024 | 257,528 | |
TOTAL | 2,595,312 | ||
Midstream—6.4% | |||
150,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.500%, 5/20/2025 | 162,374 | |
175,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.750%, 5/20/2027 | 192,469 | |
400,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026 | 441,740 | |
200,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 176,380 | |
500,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | 436,262 | |
550,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 5.375%, 9/15/2024 | 511,500 | |
500,000 | Atlas Pipeline Partners LP, 5.875%, 8/1/2023 | 501,250 | |
575,000 | CNX Midstream Partners LP/CNX Midstream Finance Corp, Sr. Unsecd. Note, 144A, 6.500%, 3/15/2026 | 532,075 | |
325,000 | Cheniere Corpus Christi Holdings LLC, Sr. Secd. Note, 5.875%, 3/31/2025 | 366,127 | |
250,000 | Cheniere Energy Partners, LP, Series WI, 5.250%, 10/1/2025 | 261,145 | |
225,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, 144A, 4.500%, 10/1/2029 | 231,626 | |
425,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, 5.625%, 10/1/2026 | 450,234 | |
200,000 | Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsecd. Note, 6.750%, 6/15/2023 | 169,583 | |
550,000 | Ferrellgas, L.P., Sr. Unsecd. Note, 6.750%, 1/15/2022 | 469,047 | |
250,000 | Hess Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.125%, 6/15/2028 | 253,438 | |
800,000 | Holly Energy Partners LP, 144A, 6.000%, 8/1/2024 | 835,992 | |
177,000 | MPLX LP, Sr. Unsecd. Note, 144A, 6.250%, 10/15/2022 | 180,505 | |
700,000 | NuStar Logistics LP, Sr. Unsecd. Note, 5.625%, 4/28/2027 | 720,545 | |
100,000 | NuStar Logistics LP, Sr. Unsecd. Note, 6.000%, 6/1/2026 | 105,937 | |
425,000 | Suburban Propane Partners LP, 5.500%, 6/1/2024 | 437,746 | |
450,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 | 469,281 | |
500,000 | Summit Midstream Holdings LLC, 5.500%, 8/15/2022 | 446,406 | |
475,000 | Summit Midstream Holdings LLC, Sr. Unsecd. Note, 5.750%, 4/15/2025 | 364,166 | |
50,000 | Sunoco LP/Finance Corp., Sr. Unsecd. Note, Series WI, 5.500%, 2/15/2026 | 52,017 | |
275,000 | Sunoco LP/Finance Corp., Sr. Unsecd. Note, Series WI, 5.875%, 3/15/2028 | 292,779 | |
500,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | 514,375 | |
25,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 7/15/2027 | 27,421 | |
75,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.000%, 1/15/2028 | 76,674 | |
275,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.375%, 2/1/2027 | 285,821 | |
475,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.875%, 4/15/2026 | 505,578 | |
250,000 | TransMontaigne Partners LP/TLP Finance Corp., Sr. Unsecd. Note, 6.125%, 2/15/2026 | 245,712 | |
TOTAL | 10,716,205 | ||
Oil Field Services—1.7% | |||
125,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.250%, 4/1/2028 | 129,063 | |
550,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 582,902 | |
150,000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026 | 142,927 | |
300,000 | Precision Drilling Corp., Sr. Unsecd. Note, 7.750%, 12/15/2023 | 300,125 | |
175,000 | Sesi LLC, 7.125%, 12/15/2021 | 149,695 | |
725,000 | Sesi LLC, Sr. Unsecd. Note, Series WI, 7.750%, 9/15/2024 | 484,238 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Oil Field Services—continued | |||
$350,000 | Shelf Drilling Holdings Ltd., Sr. Unsecd. Note, 144A, 8.250%, 2/15/2025 | $334,246 | |
225,000 | USA Compression Partners LP, Sr. Unsecd. Note, 6.875%, 9/1/2027 | 234,776 | |
525,000 | USA Compression Partners LP, Sr. Unsecd. Note, Series WI, 6.875%, 4/1/2026 | 552,234 | |
TOTAL | 2,910,206 | ||
Packaging—5.9% | |||
850,000 | ARD Finance SA, Sec. Fac. Bond, 144A, 6.500%, 6/30/2027 | 880,430 | |
350,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 5.250%, 8/15/2027 | 369,029 | |
400,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | 420,500 | |
350,000 | Berry Global Escrow Corp., 144A, 4.875%, 7/15/2026 | 369,801 | |
225,000 | Berry Global Escrow Corp., 144A, 5.625%, 7/15/2027 | 241,881 | |
525,000 | Berry Plastics Corp., 5.500%, 5/15/2022 | 532,215 | |
112,000 | Berry Plastics Corp., 6.000%, 10/15/2022 | 114,415 | |
350,000 | Bway Holding Co., Sec. Fac. Bond, 144A, 5.500%, 4/15/2024 | 361,407 | |
1,100,000 | Bway Holding Co., Sr. Unsecd. Note, 144A, 7.250%, 4/15/2025 | 1,088,989 | |
175,000 | Crown Americas LLC/Crown Americas Capital Corp VI, Sr. Unsecd. Note, 4.750%, 2/1/2026 | 185,342 | |
1,075,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, 144A, 6.875%, 1/15/2025 | 1,085,739 | |
625,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, 144A, 7.875%, 7/15/2026 | 631,139 | |
425,000 | Owens-Brockway Glass Container, Inc., 144A, 5.375%, 1/15/2025 | 438,989 | |
150,000 | Owens-Brockway Glass Container, Inc., 144A, 5.875%, 8/15/2023 | 160,438 | |
200,000 | Owens-Brockway Glass Container, Inc., 144A, 6.375%, 8/15/2025 | 219,000 | |
650,000 | Reynolds Group Issuer, Inc./LLC/LU, 144A, 7.000%, 7/15/2024 | 673,156 | |
581,465 | Reynolds Group Issuer, Inc./LLC/LU, 5.750%, 10/15/2020 | 582,918 | |
175,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/1/2027 | 177,625 | |
300,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 5.500%, 9/15/2025 | 330,875 | |
500,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.625%, 11/1/2025 | 451,457 | |
175,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.250%, 8/1/2024 | 177,260 | |
200,000 | Trivium Packaging Finance BV, Sec. Fac. Bond, 144A, 5.500%, 8/15/2026 | 211,125 | |
200,000 | Trivium Packaging Finance BV, Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027 | 222,870 | |
TOTAL | 9,926,600 | ||
Paper—0.5% | |||
750,000 | Clearwater Paper Corp., Sr. Unsecd. Note, 144A, 5.375%, 2/1/2025 | 746,250 | |
125,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 4.750%, 7/15/2027 | 134,106 | |
TOTAL | 880,356 | ||
Pharmaceuticals—3.8% | |||
200,000 | Bausch Health Cos, Inc., Sec. Fac. Bond, 144A, 5.500%, 11/1/2025 | 209,417 | |
200,000 | Bausch Health Cos, Inc., Sec. Fac. Bond, 144A, 5.750%, 8/15/2027 | 217,370 | |
175,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.000%, 1/30/2028 | 180,056 | |
60,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2023 | 60,475 | |
350,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.875%, 5/15/2023 | 353,281 | |
1,125,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 6.125%, 4/15/2025 | 1,164,729 | |
250,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/30/2029 | 286,088 | |
400,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 8.500%, 1/31/2027 | 456,260 | |
375,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 9.000%, 12/15/2025 | 427,387 | |
50,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 9.250%, 4/1/2026 | 57,523 | |
200,000 | Eagle Holding Co. II LLC, Sr. Unsecd. Note, 144A, 7.625%, 5/15/2022 | 203,647 | |
275,000 | Eagle Holding Co. II LLC, Unsecd. Note, 144A, 7.750%, 5/15/2022 | 279,719 | |
400,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., Sr. Unsecd. Note, 144A, 6.000%, 7/15/2023 | 289,996 | |
650,000 | Endo Finance LLC/Endo Finco, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/1/2025 | 440,173 | |
1,200,000 | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Sr. Unsecd. Note, 144A, 6.375%, 8/1/2023 | 1,241,613 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Pharmaceuticals—continued | |||
$925,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2025 | $330,688 | |
575,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2023 | 220,176 | |
TOTAL | 6,418,598 | ||
Refining—0.4% | |||
675,000 | CVR Refining LLC/Coffeyville Finance, Inc., 6.500%, 11/1/2022 | 685,120 | |
Restaurants—1.3% | |||
250,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 4.375%, 1/15/2028 | 251,088 | |
1,050,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 5.000%, 10/15/2025 | 1,086,314 | |
125,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Sr. Secd. Note, 144A, 4.250%, 5/15/2024 | 128,386 | |
75,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Sr. Unsecd. Note, 144A, 4.750%, 6/1/2027 | 79,112 | |
75,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 78,701 | |
500,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 5.250%, 6/1/2026 | 528,762 | |
TOTAL | 2,152,363 | ||
Retailers—0.9% | |||
250,000 | Hanesbrands, Inc., Sr. Unsecd. Note, 144A, 4.875%, 5/15/2026 | 265,150 | |
350,000 | Michaels Stores, Inc., Sr. Unsecd. Note, 144A, 8.000%, 7/15/2027 | 334,898 | |
525,000 | Party City Holdings, Inc., Sr. Unsecd. Note, 144A, 6.125%, 8/15/2023 | 460,905 | |
525,000 | Party City Holdings, Inc., Sr. Unsecd. Note, 144A, 6.625%, 8/1/2026 | 371,344 | |
50,000 | William Carter Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2027 | 53,866 | |
TOTAL | 1,486,163 | ||
Supermarkets—0.8% | |||
75,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 5.875%, 2/15/2028 | 79,826 | |
175,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 7.500%, 3/15/2026 | 196,766 | |
600,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 5.750%, 3/15/2025 | 622,749 | |
475,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 6.625%, 6/15/2024 | 498,346 | |
TOTAL | 1,397,687 | ||
Technology—7.2% | |||
550,000 | Banff Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.750%, 9/1/2026 | 558,264 | |
125,000 | CDW LLC/CDW Finance, Sr. Unsecd. Note, 4.250%, 4/1/2028 | 131,325 | |
375,000 | CDW LLC/CDW Finance, Sr. Unsecd. Note, 5.500%, 12/1/2024 | 417,032 | |
775,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Unsecd. Note, 144A, 7.125%, 6/15/2024 | 818,594 | |
275,000 | Ensemble S Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.000%, 9/30/2023 | 283,364 | |
50,000 | Fair Isaac & Co., Inc., Sr. Unsecd. Note, 144A, 4.000%, 6/15/2028 | 50,500 | |
125,000 | Financial & Risk US Holdings, Inc., 144A, 6.250%, 5/15/2026 | 136,638 | |
900,000 | Financial & Risk US Holdings, Inc., Sr. Unsecd. Note, 144A, 8.250%, 11/15/2026 | 1,015,290 | |
250,000 | Gartner, Inc., Sr. Unsecd. Note, 144A, 5.125%, 4/1/2025 | 260,834 | |
800,000 | Inception Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 8.625%, 11/15/2024 | 784,000 | |
950,000 | Infor US, Inc., 6.500%, 5/15/2022 | 965,941 | |
700,000 | Italics Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 7.125%, 7/15/2023 | 712,243 | |
675,000 | JDA Escrow LLC/JDA Bond Finance, Inc., 144A, 7.375%, 10/15/2024 | 703,124 | |
400,000 | NCR Corp., 6.375%, 12/15/2023 | 410,834 | |
50,000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/1/2027 | 53,366 | |
450,000 | Nuance Communications, Inc., Sr. Unsecd. Note, 5.625%, 12/15/2026 | 480,626 | |
200,000 | Qorvo, Inc., 144A, 4.375%, 10/15/2029 | 209,875 | |
150,000 | Riverbed Technology, Inc., Sr. Unsecd. Note, 144A, 8.875%, 3/1/2023 | 87,000 | |
625,000 | SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027 | 668,359 | |
75,000 | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 4.375%, 2/15/2030 | 76,646 | |
200,000 | Sensata Technologies UK Financing Co. PLC, Sr. Unsecd. Note, 144A, 6.250%, 2/15/2026 | 215,870 | |
200,000 | Star Merger Sub, Inc., 144A, 6.875%, 8/15/2026 | 221,125 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$850,000 | Star Merger Sub, Inc., Sr. Unsecd. Note, 144A, 10.250%, 2/15/2027 | $979,072 | |
375,000 | TTM Technologies, Inc., Sr. Unsecd. Note, 144A, 5.625%, 10/1/2025 | 388,749 | |
1,200,000 | Tempo Acquisition LLC, Sr. Unsecd. Note, 144A, 6.750%, 6/1/2025 | 1,241,988 | |
225,000 | Western Digital Corp., Sr. Unsecd. Note, 4.750%, 2/15/2026 | 234,984 | |
TOTAL | 12,105,643 | ||
Utility - Electric—3.0% | |||
300,000 | Calpine Corp., 144A, 4.500%, 2/15/2028 | 303,036 | |
200,000 | Calpine Corp., 144A, 5.250%, 6/1/2026 | 208,715 | |
550,000 | Calpine Corp., 5.750%, 1/15/2025 | 565,812 | |
275,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028 | 281,380 | |
625,000 | Enviva Partners LP/Enviva Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 1/15/2026 | 670,706 | |
300,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 5.250%, 6/15/2029 | 324,930 | |
450,000 | NRG Energy, Inc., Sr. Unsecd. Note, 7.250%, 5/15/2026 | 492,457 | |
50,000 | NRG Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 1/15/2028 | 54,343 | |
50,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.250%, 1/31/2023 | 51,598 | |
50,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 50,968 | |
850,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028 | 900,286 | |
150,000 | Vistra Energy Corp., Sr. Unsecd. Note, 5.875%, 6/1/2023 | 153,830 | |
300,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.000%, 7/31/2027 | 314,049 | |
175,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026 | 185,906 | |
400,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027 | 422,240 | |
TOTAL | 4,980,256 | ||
Wireless Communications—3.5% | |||
200,000 | Altice France SA, 144A, 8.125%, 2/1/2027 | 225,620 | |
450,000 | Altice Luxembourg SA, Sr. Unsecd. Note, 144A, 7.625%, 2/15/2025 | 469,125 | |
1,175,000 | Numericable-SFR SAS, 144A, 7.375%, 5/1/2026 | 1,263,701 | |
550,000 | Sprint Capital Corp., Company Guarantee, 6.875%, 11/15/2028 | 593,642 | |
775,000 | Sprint Corp., 7.125%, 6/15/2024 | 837,647 | |
525,000 | Sprint Corp., 7.875%, 9/15/2023 | 580,343 | |
400,000 | Sprint Corp., Sr. Unsecd. Note, 7.625%, 2/15/2025 | 439,940 | |
200,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 4.500%, 2/1/2026 | 205,370 | |
250,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2028 | 262,415 | |
275,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.000%, 3/1/2023 | 280,523 | |
350,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2025 | 362,395 | |
325,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.500%, 1/15/2026 | 349,070 | |
TOTAL | 5,869,791 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $153,789,479) | 155,478,398 | ||
COMMON STOCKS—0.2% | |||
Chemicals—0.1% | |||
8,506 | 1 | Hexion Holdings Corp. | 102,497 |
Media Entertainment—0.1% | |||
7,915 | 1 | iHeartMedia, Inc. | 133,764 |
TOTAL COMMON STOCKS (IDENTIFIED COST $319,520) | 236,261 |
Principal Amount or Shares | Value | ||
REPURCHASE AGREEMENT—5.8% | |||
Finance - Banking—5.8% | |||
$9,806,000 | Interest in $450,000,000 joint repurchase agreement 1.57%, dated 12/31/2019 under which BMO Capital Markets Corp. will repurchase securities provided as collateral for $450,039,250 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 11/20/2069 and the market value of those underlying securities was $460,414,804. (IDENTIFIED COST $9,806,000) | $9,806,000 | |
TOTAL INVESTMENT IN SECURITIES—98.5% (IDENTIFIED COST $163,914,999)4 | 165,520,659 | ||
OTHER ASSETS AND LIABILITIES - NET—1.5%5 | 2,608,699 | ||
TOTAL NET ASSETS—100% | $168,129,358 |
1 | Non-income-producing security. |
2 | Issuer in default. |
3 | 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 Trustees (the “Trustees”). |
4 | The cost of investments for federal tax purposes amounts to $164,209,925. |
5 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $155,478,398 | $0 | $155,478,398 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 236,261 | — | — | 236,261 |
Repurchase Agreement | — | 9,806,000 | — | 9,806,000 |
TOTAL SECURITIES | $236,261 | $165,284,398 | $0 | $165,520,659 |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $6.07 | $6.82 | $6.84 | $6.36 | $6.91 |
Income From Investment Operations: | |||||
Net investment income1 | 0.33 | 0.34 | 0.36 | 0.37 | 0.37 |
Net realized and unrealized gain (loss) | 0.53 | (0.55) | 0.09 | 0.53 | (0.53) |
TOTAL FROM INVESTMENT OPERATIONS | 0.86 | (0.21) | 0.45 | 0.90 | (0.16) |
Less Distributions: | |||||
Distributions from net investment income | (0.40) | (0.54) | (0.47) | (0.42) | (0.39) |
Net Asset Value, End of Period | $6.53 | $6.07 | $6.82 | $6.84 | $6.36 |
Total Return2 | 14.54% | (3.29)% | 6.94% | 14.82% | (2.57)% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.81% | 0.81% | 0.78% | 0.72% | 0.77% |
Net investment income | 5.26% | 5.27% | 5.26% | 5.74% | 5.55% |
Expense waiver/reimbursement3 | 0.02% | 0.01% | 0.00%4 | 0.06% | —% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $109,538 | $106,628 | $192,194 | $190,070 | $267,448 |
Portfolio turnover | 31% | 18% | 32% | 26% | 33% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
4 | Represents less than 0.01%. |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $6.04 | $6.78 | $6.81 | $6.33 | $6.87 |
Income From Investment Operations: | |||||
Net investment income1 | 0.31 | 0.32 | 0.34 | 0.35 | 0.35 |
Net realized and unrealized gain (loss) | 0.52 | (0.54) | 0.09 | 0.53 | (0.52) |
TOTAL FROM INVESTMENT OPERATIONS | 0.83 | (0.22) | 0.43 | 0.88 | (0.17) |
Less Distributions: | |||||
Distributions from net investment income | (0.38) | (0.52) | (0.46) | (0.40) | (0.37) |
Net Asset Value, End of Period | $6.49 | $6.04 | $6.78 | $6.81 | $6.33 |
Total Return2 | 14.13% | (3.43)% | 6.56% | 14.53% | (2.72)% |
Ratios to Average Net Assets: | |||||
Net expenses | 1.06% | 1.06% | 1.03% | 0.96% | 1.01% |
Net investment income | 4.99% | 5.03% | 5.01% | 5.48% | 5.29% |
Expense waiver/reimbursement3 | 0.02% | 0.01% | 0.00%4 | 0.08% | —% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $58,591 | $43,012 | $50,284 | $49,183 | $44,179 |
Portfolio turnover | 31% | 18% | 32% | 26% | 33% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
4 | Represents less than 0.01%. |
Assets: | ||
Investment in securities, at value (identified cost $163,914,999) | $165,520,659 | |
Cash | 158 | |
Income receivable | 2,539,719 | |
Receivable for investments sold | 37,500 | |
Receivable for shares sold | 158,316 | |
TOTAL ASSETS | 168,256,352 | |
Liabilities: | ||
Payable for shares redeemed | $51,143 | |
Payable for investment adviser fee (Note 5) | 2,715 | |
Payable for administrative fees (Note 5) | 362 | |
Payable for custodian fees | 10,506 | |
Payable for portfolio accounting fees | 44,752 | |
Payable for distribution services fee (Note 5) | 12,296 | |
Accrued expenses (Note 5) | 5,220 | |
TOTAL LIABILITIES | 126,994 | |
Net assets for 25,807,583 shares outstanding | $168,129,358 | |
Net Assets Consist of: | ||
Paid-in capital | $171,214,294 | |
Total distributable earnings (loss) | (3,084,936) | |
TOTAL NET ASSETS | $168,129,358 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
Net asset value per share ($109,537,883 ÷ 16,782,708 shares outstanding), no par value, unlimited shares authorized | $6.53 | |
Service Shares: | ||
Net asset value per share ($58,591,475 ÷ 9,024,875 shares outstanding), no par value, unlimited shares authorized | $6.49 |
Investment Income: | ||
Interest | $9,625,284 | |
Expenses: | ||
Investment adviser fee (Note 5) | $952,636 | |
Administrative fee (Note 5) | 127,837 | |
Custodian fees | 16,542 | |
Transfer agent fee | 16,596 | |
Directors'/Trustees' fees (Note 5) | 2,261 | |
Auditing fees | 34,027 | |
Legal fees | 9,159 | |
Portfolio accounting fees | 87,927 | |
Distribution services fee (Note 5) | 121,299 | |
Printing and postage | 52,020 | |
Miscellaneous (Note 5) | 22,790 | |
TOTAL EXPENSES | 1,443,094 | |
Waiver of investment adviser fee (Note 5) | (33,154) | |
Net expenses | 1,409,940 | |
Net investment income | 8,215,344 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized gain (loss) on investments | (529,999) | |
Net change in unrealized depreciation of investments | 13,556,833 | |
Net realized and unrealized gain on investments | 13,026,834 | |
Change in net assets resulting from operations | $21,242,178 |
Year Ended December 31 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $8,215,344 | $9,093,387 |
Net realized gain (loss) | (529,999) | 590,091 |
Net change in unrealized appreciation/depreciation | 13,556,833 | (15,517,633) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 21,242,178 | (5,834,155) |
Distributions to Shareholders: | ||
Primary Shares | (6,917,851) | (9,160,767) |
Service Shares | (2,697,708) | (3,793,391) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (9,615,559) | (12,954,158) |
Share Transactions: | ||
Proceeds from sale of shares | 42,973,449 | 32,243,150 |
Net asset value of shares issued to shareholders in payment of distributions declared | 9,615,553 | 12,954,150 |
Cost of shares redeemed | (45,725,985) | (119,247,711) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 6,863,017 | (74,050,411) |
Change in net assets | 18,489,636 | (92,838,724) |
Net Assets: | ||
Beginning of period | 149,639,722 | 242,478,446 |
End of period | $168,129,358 | $149,639,722 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by 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. |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | 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. |
■ | 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 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. |
■ | With respect to securities traded principally 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. |
Year Ended December 31 | 2019 | 2018 | ||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 3,164,991 | $19,950,540 | 3,543,782 | $22,656,876 |
Shares issued to shareholders in payment of distributions declared | 1,132,218 | 6,917,851 | 1,477,543 | 9,160,767 |
Shares redeemed | (5,078,703) | (31,964,711) | (15,649,947) | (103,973,265) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (781,494) | $(5,096,320) | (10,628,622) | $(72,155,622) |
Year Ended December 31 | 2019 | 2018 | ||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 3,668,502 | $23,022,909 | 1,496,206 | $9,586,274 |
Shares issued to shareholders in payment of distributions declared | 442,972 | 2,697,702 | 613,816 | 3,793,383 |
Shares redeemed | (2,207,531) | (13,761,274) | (2,402,438) | (15,274,446) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 1,903,943 | $11,959,337 | (292,416) | $(1,894,789) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 1,122,449 | $6,863,017 | (10,921,038) | $(74,050,411) |
2019 | 2018 | |
Ordinary income | $9,615,559 | $12,954,158 |
Undistributed ordinary income | $8,547,296 |
Unrealized appreciation | $1,310,734 |
Capital loss carry forwards | $(12,942,966) |
Short-Term | Long-Term | Total |
$35,125 | $12,907,841 | $12,942,966 |
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 |
Distribution Services Fees Incurred | |
Service Shares | $121,299 |
Purchases | $47,247,416 |
Sales | $49,023,244 |
February 14, 2020
Beginning Account Value 7/1/2019 | Ending Account Value 12/31/2019 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,041.50 | $4.17 |
Service Shares | $1,000 | $1,038.40 | $5.45 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,021.10 | $4.13 |
Service Shares | $1,000 | $1,019.86 | $5.40 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 0.81% |
Service Shares | 1.06% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: September 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Thomas R. Donahue* Birth Date: October 20, 1958 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Director or Trustee of certain of the funds in the Federated Hermes Fund Family; Chief Financial Officer, Treasurer, Vice President and Assistant Secretary, Federated Hermes, Inc.; Chairman and Trustee, Federated Administrative Services; Chairman and Director, Federated Administrative Services, Inc.; Trustee and Treasurer, Federated Advisory Services Company; Director or Trustee and Treasurer, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, and Federated Investment Management Company; Director, MDTA LLC; Director, Executive Vice President and Assistant Secretary, Federated Securities Corp.; Director or Trustee and Chairman, Federated Services Company and Federated Shareholder Services Company; and Director and President, FII Holdings, Inc. Previous Positions: Director, Federated Hermes, Inc.; Assistant Secretary, Federated Investment Management Company, Federated Global Investment Management Company and Passport Research, LTD; Treasurer, Passport Research, LTD; Executive Vice President, Federated Securities Corp.; and Treasurer, FII Holdings, Inc. |
* | Family relationships and reasons for “interested” status: J. Christopher Donahue and Thomas R. Donahue are brothers. Both are “interested” due to their beneficial ownership of shares of Federated Hermes, Inc. and the positions they hold with Federated Hermes, Inc. and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, Chairman of the Compensation Committee, KLX Energy Services Holdings, Inc. (oilfield services); former Director of KLX Corp. (aerospace). Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc.; Director, Chair of the Audit Committee, Equifax, Inc.; Director, Member of the Audit Committee, Haverty Furniture Companies, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court's Board of Continuing Judicial Education and the Supreme Court's Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, St. Vincent College; and Director and Chair, North Catholic High School, Inc. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: September 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant and Author. Other Directorships Held: None. Qualifications: Mr. Mansfield has served as a Marine Corps officer and in several banking, business management, educational roles and directorship positions throughout his long career. He remains active as a Management Consultant and Author. |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CNX Resources Corporation (formerly known as CONSOL Energy Inc.); and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Complex and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Hermes, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes' taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated Hermes' money market products in 2004. She joined Federated Hermes in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916843
Share Class | Primary | Service |
1 | Please see the footnotes to the line graphs below for definitions of, and further information about, the RMCGI. |
2 | Please see the footnotes to the line graphs below for definitions of, and further information about, the MIMCGFA. |
3 | The S&P 500 is a capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.* |
4 | The Russell 1000® Index measures the performance of the small-cap segment of the U.S. equity universe. It includes approximately 1000 of the smallest securities based on a combination of their market cap and current index membership.* |
5 | The Russell Midcap® Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap® Index is a subset of the Russell 1000® Index. It includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership.* |
6 | The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.* |
7 | International investing involves special risks including currency risk, increased volatility, political risks and differences in auditing and other financial standards. |
* | The index is unmanaged, and it is not possible to invest directly in an index. |
Federated Kaufmann Fund II - | Primary Shares | Service Shares | NA | RMCGI | MIMCGFA |
F | F | NA | I | I | |
12/31/2009 | 10,000 | 10,000 | 10,000 | 10,000 | |
12/31/2010 | 11,799 | 11,775 | 12,638 | 12,639 | |
12/31/2011 | 10,232 | 10,187 | 12,430 | 12,025 | |
12/31/2012 | 12,001 | 11,919 | 14,394 | 13,700 | |
12/31/2013 | 16,817 | 16,648 | 19,539 | 18,588 | |
12/31/2014 | 18,450 | 18,219 | 21,865 | 19,967 | |
12/31/2015 | 19,627 | 19,340 | 21,821 | 19,916 | |
12/31/2016 | 20,345 | 20,001 | 23,420 | 20,862 | |
12/31/2017 | 26,108 | 25,595 | 29,338 | 26,247 | |
12/31/2018 | 27,112 | 26,510 | 27,944 | 25,187 | |
12/31/2019 | 36,281 | 35,396 | 37,856 | 33,844 |
1 Year | 5 Years | 10 Years | |
Primary Shares | 33.82% | 14.48% | 13.75% |
Service Shares | 33.52% | 14.21% | 13.47% |
RMCGI | 35.47% | 11.60% | 14.24% |
MIMCGFA | 34.37% | 11.13% | 12.97% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The RMCGI and MIMCGFA have been adjusted to reflect reinvestment of dividends on securities in the index and average. |
2 | The RMCGI measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values. The RMCGI is constructed to provide a comprehensive and unbiased barometer of the mid-cap growth market. The RMCGI is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap growth market. The RMCGI is not adjusted to reflect sales charges, expenses or other fees that the Securities and Exchange Commission requires to be reflected in the Fund's performance. The index is unmanaged and unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
3 | Morningstar figures represent the average of the total returns reported by all the funds designated by Morningstar as falling into the respective category indicated. They do not reflect sales charges. The Morningstar figures in the Growth of $10,000 line graph are based on historical return information published by Morningstar and reflect the return of the funds comprising the category in the year of publication. Because the funds designated by Morningstar as falling into the category can change over time, the Morningstar figures in the line graph may not match the Morningstar figures in the Average Annual Total Returns table, which reflect the return of the funds that currently comprise the category. |
Sector Composition | Percentage of Total Net Assets |
Health Care | 30.4% |
Information Technology | 18.5% |
Materials | 10.5% |
Industrials | 9.4% |
Consumer Discretionary | 7.4% |
Financials | 4.7% |
Real Estate | 3.0% |
Energy | 0.9% |
Consumer Staples | 0.1% |
Securities Lending Collateral2 | 3.3% |
Cash Equivalents3 | 15.4% |
Other Assets and Liabilities—Net4 | (3.6) % |
TOTAL | 100.0% |
1 | Except for Securities Lending Collateral, Cash Equivalents and Other Assets and Liabilities, sector classifications are based upon, and individual portfolio securities are assigned to, the classifications of the Global Industry Classification Standard (GICS), except that the Adviser assigns a classification to securities not classified by the GICS and to securities for which the Adviser does not have access to the classification made by the GICS. |
2 | Represents cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds, other money market instruments and/or repurchase agreements. |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those representing cash collateral for securities lending. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Shares or Principal Amount | Value | ||
COMMON STOCKS—84.8% | |||
Consumer Discretionary—7.4% | |||
4,100 | 1 | Alibaba Group Holding Ltd., ADR | $869,610 |
647 | 1 | Amazon.com, Inc. | 1,195,553 |
1,400 | 1 | Bright Horizons Family Solutions, Inc. | 210,406 |
6,925 | 1 | Etsy, Inc. | 306,778 |
22,940 | 1 | Floor & Decor Holdings, Inc. | 1,165,581 |
4,600 | 1,2 | GrubHub, Inc. | 223,744 |
6,800 | Hilton Worldwide Holdings, Inc. | 754,188 | |
1,600 | Home Depot, Inc. | 349,408 | |
16,395 | Las Vegas Sands Corp. | 1,131,911 | |
14,200 | 1,2 | Luckin Coffee, Inc., ADR | 558,912 |
4,000 | 1 | Lululemon Athletica, Inc. | 926,680 |
26,200 | Moncler S.p.A | 1,178,425 | |
724,567 | NagaCorp Ltd. | 1,265,037 | |
5,922 | 1,2 | Peloton Interactive, Inc. | 168,185 |
5,385 | 1 | Planet Fitness, Inc. | 402,152 |
2,750 | 1 | Takeaway.com Holding BV | 254,020 |
8,000 | 1,2 | The RealReal, Inc. | 150,800 |
3,981 | Vail Resorts, Inc. | 954,763 | |
15,970 | Wingstop, Inc. | 1,377,093 | |
13,200 | 1,2 | YETI Holdings, Inc. | 459,096 |
TOTAL | 13,902,342 | ||
Consumer Staples—0.1% | |||
3,200 | 1,2 | Beyond Meat, Inc. | 241,920 |
Energy—0.9% | |||
33,490 | DHT Maritime,nc. | 277,297 | |
47,451 | Euronav SA | 595,036 | |
32,100 | 1,2 | New Fortress Energy LLC | 503,007 |
11,000 | 1 | Rattler Midstream Partners LP | 195,690 |
3,428 | Scorpio Tankers, Inc. | 134,857 | |
TOTAL | 1,705,887 | ||
Financials—4.7% | |||
9,400 | 1 | ARYA Sciences Acquisition Corp. | 108,100 |
94,600 | Ashmore Group PLC | 650,899 | |
4,150 | BlackRock, Inc. | 2,086,205 | |
4,107 | Eurazeo SA | 281,530 | |
167,400 | FinecoBank Banca Fineco SPA | 2,009,336 | |
19,200 | Hamilton Lane, Inc. | 1,144,320 | |
27,300 | KKR & Co., Inc. | 796,341 | |
700 | 1 | Markel Corp. | 800,219 |
27,000 | 1 | Qudian, Inc., ADR | 127,170 |
6,940 | Raymond James Financial, Inc. | 620,853 | |
1,873 | 1 | XP, Inc. | 72,148 |
TOTAL | 8,697,121 | ||
Health Care—30.3% | |||
10,800 | Abbott Laboratories | 938,088 | |
26,100 | 1 | Albireo Pharma, Inc. | 663,462 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
61,300 | 1 | Alector, Inc. | $1,056,199 |
2,084 | 1 | Alnylam Pharmaceuticals, Inc. | 240,014 |
49,500 | 1,2 | Amarin Corporation PLC, ADR | 1,061,280 |
22,100 | 1 | Amphastar Pharmaceuticals, Inc. | 426,309 |
43,300 | 1 | AnaptysBio, Inc. | 703,625 |
32,400 | 1 | Argenx SE | 5,213,564 |
34,400 | 1 | Atara Biotherapeutics, Inc. | 566,568 |
23,800 | 1 | Boston Scientific Corp. | 1,076,236 |
22,400 | 1 | CRISPR Therapeutics AG | 1,364,272 |
84,100 | 1 | Calithera Biosciences, Inc. | 480,211 |
42,800 | 1 | Catabasis Pharmaceuticals, Inc. | 252,948 |
234,400 | 1 | Corcept Therapeutics, Inc. | 2,836,240 |
10,400 | Danaher Corp. | 1,596,192 | |
9,900 | 1 | Dexcom, Inc. | 2,165,526 |
146,800 | 1 | Dynavax Technologies Corp. | 839,696 |
22,800 | 1 | Editas Medicine, Inc. | 675,108 |
2,500 | 1 | Edwards Lifesciences Corp. | 583,225 |
20,900 | 1,2 | Frequency Therapeutics, Inc. | 366,377 |
4,400 | 1,2 | GW Pharmaceuticals PLC, ADR | 460,064 |
13,850 | 1 | Galapagos NV | 2,882,773 |
17,500 | 1 | Galapagos NV, ADR | 3,619,525 |
6,500 | 1 | Genmab A/S | 1,446,788 |
14,325 | 1 | Genmab A/S, ADR | 319,877 |
14,070 | 1 | Glaukos Corp. | 766,393 |
12,200 | 1 | Gossamer Bio, Inc. | 190,686 |
2,000 | 1 | IDEXX Laboratories, Inc. | 522,260 |
2,725 | 1 | Illumina, Inc. | 903,991 |
9,200 | 1 | Insulet Corp. | 1,575,040 |
11,400 | 1 | Merus NV | 160,512 |
205,200 | 1 | Minerva Neurosciences, Inc. | 1,458,972 |
17,900 | 1 | Molecular Partners AG | 324,040 |
13,500 | 1 | Natera, Inc. | 454,815 |
26,100 | 1 | Nektar Therapeutics | 563,369 |
6,250 | 1 | Orchard Therapeutics PLC, ADR | 85,938 |
4,300 | 1 | PTC Therapeutics, Inc. | 206,529 |
4,100 | 1,2 | Penumbra, Inc. | 673,507 |
11,250 | 1 | Repligen Corp. | 1,040,625 |
27,300 | 1 | Rhythm Pharmaceuticals, Inc. | 626,808 |
139,300 | 1,2 | Scynexis, Inc. | 126,763 |
10,400 | 1 | Seres Therapeutics, Inc. | 35,880 |
10,400 | 1,2 | Stoke Therapeutics, Inc. | 294,528 |
3,400 | Stryker Corp. | 713,796 | |
28,000 | 1 | Tandem Diabetes Care, Inc. | 1,669,080 |
6,900 | 1,2 | Teladoc, Inc. | 577,668 |
14,500 | 1 | Translate Bio, Inc. | 118,030 |
1,876 | 1 | Twist Bioscience Corp. | 39,396 |
52,000 | 1 | Ultragenyx Pharmaceutical, Inc. | 2,220,920 |
57,600 | 1 | UniQure N.V. | 4,127,616 |
21,800 | 1 | Veeva Systems, Inc. | 3,066,388 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
14,400 | 1 | Vericel Corp | $250,560 |
19,800 | 1 | Zai Lab Ltd., ADR | 823,482 |
23,700 | 1 | Zogenix, Inc. | 1,235,481 |
TOTAL | 56,687,240 | ||
Industrials—9.4% | |||
33,400 | Air Lease Corp. | 1,587,168 | |
50,700 | 1 | Azul S.A., ADR | 2,169,960 |
715 | Cintas Corp. | 192,392 | |
3,900 | 1 | CoStar Group, Inc. | 2,333,370 |
3,200 | 1 | Generac Holdings, Inc. | 321,888 |
18,346 | HEICO Corp. | 2,094,196 | |
16,200 | 1 | IHS Markit Ltd. | 1,220,670 |
26,625 | 1 | Kratos Defense & Security Solutions | 479,516 |
38,500 | 1 | Mercury Systems, Inc. | 2,660,735 |
6,697 | Roper Technologies, Inc. | 2,372,278 | |
10,629 | 1 | Trex Co., Inc. | 955,335 |
19,300 | 1,2 | Upwork, Inc. | 205,931 |
7,080 | Verisk Analytics, Inc. | 1,057,327 | |
TOTAL | 17,650,766 | ||
Information Technology—18.5% | |||
1,475 | 1 | Adobe, Inc. | 486,470 |
51,600 | 1 | Advanced Micro Devices, Inc. | 2,366,376 |
5,257 | 1 | Ansys, Inc. | 1,353,204 |
3,900 | Broadcom, Inc. | 1,232,478 | |
12,900 | 1 | Coupa Software, Inc. | 1,886,625 |
2,800 | 1 | DocuSign, Inc. | 207,508 |
14,000 | 1 | Envestnet, Inc. | 974,820 |
2,655 | 1 | Everbridge, Inc. | 207,302 |
9,000 | Fidelity National Information Services, Inc. | 1,251,810 | |
51,500 | 1 | GDS Holdings Ltd., ADR | 2,656,370 |
9,400 | 1 | GoDaddy, Inc. | 638,448 |
1,268 | 1 | IPG Photonics Corp. | 183,759 |
38,400 | Marvell Technology Group Ltd. | 1,019,904 | |
15,359 | 1,2 | Medallia, Inc. | 477,819 |
52,872 | 1 | Nexi SpA | 734,400 |
48,396 | 1 | PagSeguro Digital Ltd. | 1,653,207 |
14,260 | 1 | Q2 Holdings, Inc. | 1,156,201 |
32,100 | 1 | Radware Ltd. | 827,538 |
15,000 | 1 | Rapid7, Inc. | 840,300 |
6,900 | 1 | RealPage, Inc. | 370,875 |
2,685 | 1 | Salesforce.com, Inc. | 436,688 |
13,500 | 1 | ServiceNow, Inc. | 3,811,320 |
8,000 | 1 | Shopify, Inc. | 3,180,640 |
16,450 | 1 | Splunk, Inc. | 2,463,717 |
6,750 | 1 | Tyler Technologies, Inc. | 2,025,135 |
13,800 | 1 | Workday, Inc. | 2,269,410 |
TOTAL | 34,712,324 | ||
Materials—10.5% | |||
37,676 | 2 | Agnico Eagle Mines Ltd. | 2,321,218 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Materials—continued | |||
2,737 | Albemarle Corp. | $199,911 | |
297,300 | B2Gold Corp. | 1,192,817 | |
7,465 | Ball Corp. | 482,762 | |
90,705 | Barrick Gold Corp. | 1,686,206 | |
700 | Ecolab, Inc. | 135,093 | |
54,300 | 1 | Endeavour Financial Corp. | 1,025,743 |
3,424 | Franco-Nevada Corp. | 353,567 | |
211,539 | 1 | Kinross Gold Corp. | 1,002,695 |
29,458 | Kirkland Lake Gold Ltd. | 1,298,214 | |
49,433 | Newcrest Mining Ltd. | 1,046,423 | |
46,117 | Newmont Goldcorp Corp. | 2,003,784 | |
64,800 | Osisko Gold Royalties Ltd. | 629,208 | |
7,347 | Pan American Silver Corp. | 174,051 | |
73,800 | 1 | Pretium Resources, Inc. | 821,394 |
3,630 | Sherwin-Williams Co. | 2,118,250 | |
13,400 | Vulcan Materials Co. | 1,929,466 | |
8,959 | Wheaton Precious Metals Corp. | 266,530 | |
263,900 | 2 | Yamana Gold, Inc. | 1,042,405 |
TOTAL | 19,729,737 | ||
Real Estate—3.0% | |||
14,256 | Americold Realty Trust | 499,815 | |
10,700 | 1 | CBRE Group, Inc. | 655,803 |
5,537 | Crown Castle International Corp. | 787,085 | |
31,000 | JBG Smith Properties | 1,236,590 | |
6,700 | Lamar Advertising Co. | 598,042 | |
17,600 | MGM Growth Properties LLC | 545,072 | |
11,682 | Ryman Hospitality Properties | 1,012,362 | |
5,420 | STAG Industrial, Inc. | 171,109 | |
TOTAL | 5,505,878 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $86,859,978) | 158,833,215 | ||
WARRANTS—0.1% | |||
Health Care—0.1% | |||
11,450 | 1 | Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 2/8/2024 | 35,344 |
21,500 | 1 | Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 6/22/2022 | 40,489 |
87,500 | 1 | ContraFect Corp., Warrants, Expiration Date 7/20/2022 | 13,554 |
42,500 | 1 | ContraFect Corp., Warrants, Expiration Date 7/27/2021 | 5,550 |
10,000 | 1 | Dynavax Technologies Corp., Warrants, Expiration Date 2/12/2022 | 32,724 |
25,200 | 1 | Scynexis, Inc., Warrants, Expiration Date 3/8/2023 | 7,033 |
21,060 | 1 | Scynexis, Inc., Warrants, Expiration Date 4/6/2021 | 1,308 |
TOTAL WARRANTS (IDENTIFIED COST $1,300) | 136,002 | ||
REPURCHASE AGREEMENTS—18.7% | |||
$6,246,555 | Interest in $450,000,000 joint repurchase agreement 1.57%, dated 12/31/2019 under which BMO Capital Markets Corp. will repurchase securities provided as collateral for $450,039,250 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 11/20/2069 and the market value of those underlying securities was $460,414,804 (purchased with proceeds from securities lending collateral). | 6,246,555 |
Shares or Principal Amount | Value | ||
REPURCHASE AGREEMENTS—continued | |||
$28,750,000 | Interest in $450,000,000 joint repurchase agreement 1.57%, dated 12/31/2019 under which BMO Capital Markets Corp. will repurchase securities provided as collateral for $450,039,250 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 11/20/2069 and the market value of those underlying securities was $460,414,804. | $28,750,000 | |
TOTAL REPURCHASE AGREEMENTS (IDENTIFIED COST $34,996,555) | 34,996,555 | ||
TOTAL INVESTMENT IN SECURITIES—103.6% (IDENTIFIED COST $121,857,833)3 | 193,965,772 | ||
OTHER ASSETS AND LIABILITIES - NET—(3.6)%4 | (6,650,326) | ||
TOTAL NET ASSETS—100% | $187,315,446 |
Balance of Shares Held 12/31/2018 | Purchases/ Additions** | Sales/ Reductions** | Balance of Shares Held 12/31/2019 | Value | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss)** | Dividend Income | |
Energy | ||||||||
New Fortress Energy LLC | — | 32,100 | — | 32,100 | $503,007 | $51,337 | $— | $— |
Financials | ||||||||
ARYA Sciences Acquisition Corp. | 9,400 | — | — | 9,400 | $108,100 | $11,844 | $— | $— |
Health Care | ||||||||
Albireo Pharma, Inc. | 11,780 | 15,220 | (900) | 26,100 | $663,462 | $(107,144) | $(15,880) | $— |
Alector, Inc. | 15,462 | 45,838 | — | 61,300 | $1,056,199 | $(17,378) | $— | $— |
Argenx SE* | 49,400 | 203 | (17,203) | 32,400 | $5,213,564 | $973,188 | $1,583,317 | $— |
Calithera Biosciences, Inc. | 63,581 | 22,833 | (2,314) | 84,100 | $480,211 | $152,829 | $(12,778) | $— |
Catabasis Pharmaceuticals, Inc. | 21,500 | 22,900 | (1,600) | 42,800 | $252,948 | $60,493 | $(8,152) | $— |
Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 2/28/2024 | — | 11,450 | — | 11,450 | $35,344 | $35,344 | $— | $— |
Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 6/22/2022 | 215,000 | — | (193,500) | 21,500 | $40,489 | $6,798 | $— | $— |
ContraFect Corp., Warrants, Expiration Date 7/27/2021 | 42,500 | — | — | 42,500 | $5,550 | $(28,564) | $— | $— |
ContraFect Corp., Warrants, Expiration Date 7/20/2022 | 87,500 | — | — | 87,500 | $13,554 | $(42,630) | $— | $— |
Corcept Therapeutics, Inc. | 302,381 | — | (67,981) | 234,400 | $2,836,240 | $(565,210) | $166,970 | $— |
Dynavax Technologies Corp. | 63,400 | 105,776 | (22,376) | 146,800 | $839,696 | $170,368 | $(223,226) | $— |
Dynavax Technologies Corp., Warrants, Expiration Date 2/12/2022 | — | 10,000 | — | 10,000 | $32,724 | $32,724 | $— | $— |
Minerva Neurosciences, Inc. | 162,987 | 42,213 | — | 205,200 | $1,458,972 | $73,591 | $— | $— |
Scynexis, Inc. | 139,400 | — | (100) | 139,300 | $126,763 | $60,585 | $(869) | $— |
Scynexis, Inc., Warrants, Expiration Date 3/8/2019 | 25,200 | — | — | 25,200 | $7,033 | $5,284 | $— | $— |
Scynexis, Inc., Warrants, Expiration Date 4/6/2021 | 21,060 | — | — | 21,060 | $1,308 | $1,076 | $— | $— |
UniQure N.V. | 32,600 | 44,300 | (19,300) | 57,600 | $4,127,616 | $1,825,379 | $285,925 | $— |
Affiliated issuer no longer held at period end | 15,315 | — | (15,315) | — | $— | $(918,915) | $— | $— |
TOTAL OF AFFILIATED TRANSACTIONS | 1,278,466 | 352,833 | (340,589) | 1,290,710 | $17,802,780 | $1,780,999 | $1,775,307 | $— |
* | At December 31, 2019, the Fund no longer has ownership of at least 5% of the voting shares. |
** | A portion of the amount shown was recorded when the Fund no longer had ownership of at least 5% of the voting shares. |
1 | Non-income-producing security. |
2 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
3 | The cost of investments for federal tax purposes amounts to $122,190,644. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | $102,237,9451 | $— | $— | $102,237,945 |
International | 39,308,034 | 17,287,236 | — | 56,595,270 |
Debt Securities: | ||||
Warrants | — | 136,002 | — | 136,002 |
Repurchase Agreements | — | 34,996,555 | — | 34,996,555 |
TOTAL SECURITIES | $141,545,979 | $52,419,793 | $— | $193,965,772 |
1 | Includes $205,974 transferred from Level 3 to Level 1 because observable market data was obtained for a security. This transfer represents the value of the security at the beginning of the period. |
ADR | —American Depositary Receipt |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $18.55 | $19.16 | $16.70 | $17.42 | $18.92 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | (0.10) | (0.11) | (0.14) | (0.11) | (0.15) |
Net realized and unrealized gain (loss) | 6.15 | 0.95 | 4.54 | 0.56 | 1.44 |
TOTAL FROM INVESTMENT OPERATIONS | 6.05 | 0.84 | 4.40 | 0.45 | 1.29 |
Less Distributions: | |||||
Distributions from net realized gain | (1.97) | (1.45) | (1.94) | (1.17) | (2.79) |
Net Asset Value, End of Period | $22.63 | $18.55 | $19.16 | $16.70 | $17.42 |
Total Return2 | 33.82% | 3.84% | 28.33% | 3.66% | 6.37% |
Ratios to Average Net Assets: | |||||
Net expenses | 1.51% | 1.52% | 1.54% | 1.54%3 | 1.53%3 |
Net investment loss | (0.49)% | (0.53)% | (0.77)% | (0.67)% | (0.84)% |
Expense waiver/reimbursement4 | —% | —% | —% | 0.03% | 0.00%5 |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $57,988 | $46,160 | $47,985 | $42,122 | $46,450 |
Portfolio turnover | 43% | 41% | 44% | 59% | 60% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratios are 1.54% and 1.53% for the year ended December 31, 2016 and 2015, respectively, after taking into account these expense reductions. |
4 | This expense decrease is reflected in both the net expense and the net investment income (loss) ratios shown above. |
5 | Represents less than 0.01%. |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $17.57 | $18.26 | $16.04 | $16.82 | $18.39 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | (0.15) | (0.15) | (0.17) | (0.14) | (0.19) |
Net realized and unrealized gain (loss) | 5.82 | 0.91 | 4.33 | 0.53 | 1.41 |
TOTAL FROM INVESTMENT OPERATIONS | 5.67 | 0.76 | 4.16 | 0.39 | 1.22 |
Less Distributions: | |||||
Distributions from net realized gain | (1.97) | (1.45) | (1.94) | (1.17) | (2.79) |
Net Asset Value, End of Period | $21.27 | $17.57 | $18.26 | $16.04 | $16.82 |
Total Return2 | 33.52% | 3.58% | 27.97% | 3.42% | 6.15% |
Ratios to Average Net Assets: | |||||
Net expenses | 1.76% | 1.77% | 1.79% | 1.79%3 | 1.78%3 |
Net investment income (loss) | (0.74)% | (0.77)% | (1.02)% | (0.92)% | (1.07)% |
Expense waiver/reimbursement4 | —% | —% | —% | 0.03% | 0.00%5 |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $129,327 | $105,132 | $96,037 | $78,870 | $91,458 |
Portfolio turnover | 43% | 41% | 44% | 59% | 60% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratios are 1.79% and 1.78% for the year ended December 31, 2016 and 2015, respectively, after taking into account these expense reductions. |
4 | This expense decrease is reflected in both the net expense and the net investment income (loss) ratios shown above. |
5 | Represents less than 0.01%. |
Assets: | ||
Investment in repurchase agreements | $34,996,555 | |
Investment in securities | 158,969,217 | |
Investment in securities, at value including $6,127,633 of securities loaned and including $12,589,216 of investments in affiliated companies* (identified cost $121,857,833) | $193,965,772 | |
Cash | 554 | |
Cash denominated in foreign currencies (identified cost $1,088) | 1,098 | |
Income receivable | 64,891 | |
Receivable for shares sold | 168,571 | |
TOTAL ASSETS | 194,200,886 | |
Liabilities: | ||
Payable for investments purchased | $194,224 | |
Payable for shares redeemed | 315,097 | |
Payable for collateral due to broker for securities lending | 6,246,555 | |
Payable to adviser (Note 5) | 6,663 | |
Payable for administrative fees (Note 5) | 403 | |
Payable for distribution services fee (Note 5) | 27,350 | |
Accrued expenses (Note 5) | 95,148 | |
TOTAL LIABILITIES | 6,885,440 | |
Net assets for 8,643,980 shares outstanding | $187,315,446 | |
Net Assets Consist of: | ||
Paid-in capital | $97,321,322 | |
Total distributable earnings (loss) | 89,994,124 | |
TOTAL NET ASSETS | $187,315,446 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
Net asset value per share ($57,988,260 ÷ 2,562,745 shares outstanding), no par value, unlimited shares authorized | $22.63 | |
Service Shares: | ||
Net asset value per share ($129,327,186 ÷ 6,081,235 shares outstanding), no par value, unlimited shares authorized | $21.27 |
* | See information listed after the Fund's Portfolio of Investments. |
Investment Income: | ||
Interest | $819,482 | |
Dividends (including $27,861 of net foreign taxes withheld) | 781,867 | |
Net income on securities loaned | 204,741 | |
TOTAL INCOME | 1,806,090 | |
Expenses: | ||
Investment adviser fee (Note 5) | $2,301,731 | |
Administrative fee (Note 5) | 141,282 | |
Custodian fees | 30,508 | |
Transfer agent fee | 16,625 | |
Directors'/Trustees' fees (Note 5) | 2,355 | |
Auditing fees | 34,570 | |
Legal fees | 10,086 | |
Portfolio accounting fees | 69,800 | |
Distribution services fee (Note 5) | 306,087 | |
Printing and postage | 35,695 | |
Miscellaneous (Note 5) | 31,281 | |
TOTAL EXPENSES | 2,980,020 | |
Net investment income (loss) | (1,173,930) | |
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions: | ||
Net realized gain on investments (including net realized gain of $1,775,307 on sales of investments in affiliated companies*) | 18,345,105 | |
Net realized gain on foreign currency transactions | 5,827 | |
Net realized loss on futures contracts | (92,098) | |
Net change in unrealized appreciation of investments (including net change in unrealized appreciation of $1,780,999 on investments in affiliated companies*) | 31,925,018 | |
Net change in unrealized appreciation/depreciation of translation of assets and liabilities in foreign currency | 53 | |
Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions | 50,183,905 | |
Change in net assets resulting from operations | $49,009,975 |
* | See information listed after the Fund's Portfolio of Investments. |
Year Ended December 31 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income (loss) | $(1,173,930) | $(1,157,191) |
Net realized gain | 18,258,834 | 16,859,405 |
Net change in unrealized appreciation/depreciation | 31,925,071 | (11,055,635) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 49,009,975 | 4,646,579 |
Distributions to Shareholders: | ||
Primary Shares | (4,810,725) | (3,543,669) |
Service Shares | (11,433,059) | (7,812,619) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (16,243,784) | (11,356,288) |
Share Transactions: | ||
Proceeds from sale of shares | 39,703,166 | 53,258,598 |
Net asset value of shares issued to shareholders in payment of distributions declared | 16,243,770 | 11,356,277 |
Cost of shares redeemed | (52,689,616) | (50,635,284) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 3,257,320 | 13,979,591 |
Change in net assets | 36,023,511 | 7,269,882 |
Net Assets: | ||
Beginning of period | 151,291,935 | 144,022,053 |
End of period | $187,315,446 | $151,291,935 |
■ | 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. |
■ | Fixed-income securities 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. |
■ | 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. |
■ | 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 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. |
■ | With respect to securities traded principally 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. |
Market Value of Securities Loaned | Collateral Received |
$6,127,633 | $6,246,555 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Equity contracts | $(92,098) |
Year Ended December 31 | 2019 | 2018 | ||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 271,211 | $5,716,979 | 246,431 | $5,031,315 |
Shares issued to shareholders in payment of distributions declared | 236,865 | 4,810,723 | 176,918 | 3,543,667 |
Shares redeemed | (434,328) | (9,130,046) | (439,023) | (8,907,467) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | 73,748 | $1,397,656 | (15,674) | $(332,485) |
Year Ended December 31 | 2019 | 2018 | ||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,711,055 | $33,986,187 | 2,502,643 | $48,227,283 |
Shares issued to shareholders in payment of distributions declared | 597,650 | 11,433,047 | 410,758 | 7,812,610 |
Shares redeemed | (2,211,316) | (43,559,570) | (2,189,022) | (41,727,817) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 97,389 | $1,859,664 | 724,379 | $14,312,076 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 171,137 | $3,257,320 | 708,705 | $13,979,591 |
Increase (Decrease) | |
Paid-In Capital | Total Distributable Earnings (Loss) |
$(1,022,291) | $1,022,291 |
2019 | 2018 | |
Long-term capital gains | $16,243,784 | $11,356,288 |
Net unrealized appreciation | $71,775,000 |
Undistributed long-term capital gains | $18,219,124 |
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 | |
Primary Shares | 0.25% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | |
Service Shares | $306,087 |
Purchases | $60,024,535 |
Sales | $73,373,264 |
February 14, 2020
Beginning Account Value 7/1/2019 | Ending Account Value 12/31/2019 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,057.50 | $7.83 |
Service Shares | $1,000 | $1,056.10 | $9.12 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,017.60 | $7.68 |
Service Shares | $1,000 | $1,016.30 | $8.94 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 1.51% |
Service Shares | 1.76% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: September 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Thomas R. Donahue* Birth Date: October 20, 1958 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Director or Trustee of certain of the funds in the Federated Hermes Fund Family; Chief Financial Officer, Treasurer, Vice President and Assistant Secretary, Federated Hermes, Inc.; Chairman and Trustee, Federated Administrative Services; Chairman and Director, Federated Administrative Services, Inc.; Trustee and Treasurer, Federated Advisory Services Company; Director or Trustee and Treasurer, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, and Federated Investment Management Company; Director, MDTA LLC; Director, Executive Vice President and Assistant Secretary, Federated Securities Corp.; Director or Trustee and Chairman, Federated Services Company and Federated Shareholder Services Company; and Director and President, FII Holdings, Inc. Previous Positions: Director, Federated Hermes, Inc.; Assistant Secretary, Federated Investment Management Company, Federated Global Investment Management Company and Passport Research, LTD; Treasurer, Passport Research, LTD; Executive Vice President, Federated Securities Corp.; and Treasurer, FII Holdings, Inc. |
* | Family relationships and reasons for “interested” status: J. Christopher Donahue and Thomas R. Donahue are brothers. Both are “interested” due to their beneficial ownership of shares of Federated Hermes, Inc. and the positions they hold with Federated Hermes, Inc. and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, Chairman of the Compensation Committee, KLX Energy Services Holdings, Inc. (oilfield services); former Director of KLX Corp. (aerospace). Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc.; Director, Chair of the Audit Committee, Equifax, Inc.; Director, Member of the Audit Committee, Haverty Furniture Companies, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court's Board of Continuing Judicial Education and the Supreme Court's Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, St. Vincent College; and Director and Chair, North Catholic High School, Inc. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: September 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant and Author. Other Directorships Held: None. Qualifications: Mr. Mansfield has served as a Marine Corps officer and in several banking, business management, educational roles and directorship positions throughout his long career. He remains active as a Management Consultant and Author. |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CNX Resources Corporation (formerly known as CONSOL Energy Inc.); and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Complex and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Hermes, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes' taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated Hermes' money market products in 2004. She joined Federated Hermes in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916777
Share Class | Primary | Service |
Security Type | Percentage of Total Net Assets |
U.S. Government Agency Securities | 35.5% |
U.S. Treasury Securities | 18.2% |
Repurchase Agreements | 45.4% |
Other Assets and Liabilities—Net2 | 0.9% |
TOTAL | 100.0% |
Securities With an Effective Maturity of: | Percentage of Total Net Assets |
1-7 Days | 63.4% |
8-30 Days | 11.0% |
31-90 Days | 10.2% |
91-180 Days | 9.5% |
181 Days or more | 5.0% |
Other Assets and Liabilities—Net2 | 0.9% |
TOTAL | 100.0% |
1 | See the Fund's Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests. |
2 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
3 | Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940, which regulates money market mutual funds. |
Principal Amount | Value | ||
GOVERNMENT AGENCIES—35.5% | |||
$400,000 | 1 | Federal Farm Credit System Floating Rate Notes, 1.615% (Secured Overnight Financing Rate +0.075%), 1/1/2020 | $400,000 |
250,000 | 1 | Federal Farm Credit System Floating Rate Notes, 1.660% (Secured Overnight Financing Rate +0.120%), 1/1/2020 | 250,000 |
250,000 | 1 | Federal Farm Credit System Floating Rate Notes, 1.670% (1-month USLIBOR -0.065%), 1/12/2020 | 249,997 |
200,000 | 1 | Federal Farm Credit System Floating Rate Notes, 1.675% (Effective Fed Funds +0.125%), 1/1/2020 | 199,988 |
250,000 | 1 | Federal Farm Credit System Floating Rate Notes, 1.680% (1-month USLIBOR -0.030%), 1/9/2020 | 250,000 |
400,000 | 1 | Federal Farm Credit System Floating Rate Notes, 1.694% (1-month USLIBOR +0.000%), 1/4/2020 | 399,993 |
500,000 | 1 | Federal Farm Credit System Floating Rate Notes, 1.695% (1-month USLIBOR -0.015%), 1/8/2020 | 500,000 |
250,000 | 1 | Federal Farm Credit System Floating Rate Notes, 1.712% (1-month USLIBOR -0.080%), 1/27/2020 | 249,999 |
500,000 | 1 | Federal Farm Credit System Floating Rate Notes, 1.740% (1-month USLIBOR +0.000%), 1/13/2020 | 500,000 |
300,000 | 1 | Federal Farm Credit System Floating Rate Notes, 1.750% (Secured Overnight Financing Rate +0.210%), 1/1/2020 | 300,000 |
500,000 | 1 | Federal Farm Credit System Floating Rate Notes, 1.754% (1-month USLIBOR -0.010%), 1/20/2020 | 500,000 |
250,000 | 1 | Federal Farm Credit System Floating Rate Notes, 1.797% (1-month USLIBOR +0.005%), 1/27/2020 | 249,994 |
5,900,000 | 2 | Federal Home Loan Bank System Discount Notes, 1.570%—1.890%, 1/21/2020 - 6/19/2020 | 5,877,206 |
1,100,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.570% (Secured Overnight Financing Rate +0.030%), 1/1/2020 | 1,100,000 |
500,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.575% (Secured Overnight Financing Rate +0.035%), 1/1/2020 | 500,000 |
500,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.585% (Secured Overnight Financing Rate +0.045%), 1/1/2020 | 500,000 |
400,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.590% (Secured Overnight Financing Rate +0.050%), 1/1/2020 | 400,000 |
300,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.600% (Secured Overnight Financing Rate +0.060%), 1/1/2020 | 300,000 |
800,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.605% (Secured Overnight Financing Rate +0.065%), 1/1/2020 | 800,000 |
350,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.615% (Secured Overnight Financing Rate +0.075%), 1/1/2020 | 350,000 |
800,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.640% (Secured Overnight Financing Rate +0.100%), 1/1/2020 | 800,000 |
200,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.645% (1-month USLIBOR -0.065%), 1/8/2020 | 200,000 |
250,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.645% (Secured Overnight Financing Rate +0.105%), 1/1/2020 | 250,000 |
300,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.655% (Secured Overnight Financing Rate +0.115%), 1/1/2020 | 299,999 |
350,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.656% (3-month USLIBOR -0.245%), 2/11/2020 | 350,000 |
100,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.660% (Secured Overnight Financing Rate +0.120%), 1/1/2020 | 100,000 |
250,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.668% (3-month USLIBOR -0.220%), 3/11/2020 | 250,000 |
300,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.670% (Secured Overnight Financing Rate +0.130%), 1/1/2020 | 300,000 |
500,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.680% (1-month USLIBOR -0.055%), 1/12/2020 | 500,000 |
1,000,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.687%—1.714% (1-month USLIBOR -0.050%), 1/17/2020 - 1/19/2020 | 1,000,000 |
200,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.698% (1-month USLIBOR -0.005%), 1/5/2020 | 200,000 |
250,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.698% (3-month USLIBOR -0.200%), 3/18/2020 | 250,000 |
750,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.705%—1.725% (1-month USLIBOR -0.040%), 1/18/2020 - 1/20/2020 | 750,000 |
300,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.710% (Secured Overnight Financing Rate +0.170%), 1/1/2020 | 300,000 |
300,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.739% (1-month USLIBOR +0.000%), 1/16/2020 | 300,000 |
500,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.739% (1-month USLIBOR -0.025%), 1/20/2020 | 500,000 |
400,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.775% (3-month USLIBOR -0.115%), 2/5/2020 | 400,000 |
500,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.783% (1-month USLIBOR +0.020%), 1/19/2020 | 500,000 |
250,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.803% (3-month USLIBOR -0.150%), 1/22/2020 | 250,000 |
800,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 1.842% (1-month USLIBOR +0.050%), 1/25/2020 - 1/27/2020 | 800,000 |
2,950,000 | Federal Home Loan Bank System, 1.690%—2.100%, 4/3/2020 - 9/4/2020 | 2,949,714 | |
300,000 | 2 | Federal Home Loan Mortgage Corp. Discount Notes, 1.669%, 3/5/2020 | 299,110 |
400,000 | 1 | Federal Home Loan Mortgage Corp. Floating Rate Notes, 1.580% (Secured Overnight Financing Rate +0.040%), 1/1/2020 | 400,000 |
600,000 | Federal Home Loan Mortgage Corp. Notes, 2.460%, 4/8/2020 | 600,000 | |
2,000,000 | 1 | Federal National Mortgage Association Floating Rate Notes, 1.700% (Secured Overnight Financing Rate +0.160%), 1/1/2020 | 2,000,000 |
TOTAL GOVERNMENT AGENCIES | 28,426,000 |
Principal Amount | Value | ||
U.S. TREASURIES—18.2% | |||
U.S. Treasury Bills—6.5% | |||
$300,000 | 2 | United States Treasury Bills, 1.610%, 4/30/2020 | $298,390 |
100,000 | 2 | United States Treasury Bills, 1.620%, 7/16/2020 | 99,113 |
500,000 | 2 | United States Treasury Bills, 1.625%, 4/9/2020 | 497,766 |
400,000 | 2 | United States Treasury Bills, 1.740%, 9/10/2020 | 395,109 |
400,000 | 2 | United States Treasury Bills, 1.800%, 8/13/2020 | 395,500 |
500,000 | 2 | United States Treasury Bills, 1.825%, 3/12/2020 | 498,200 |
800,000 | 2 | United States Treasury Bills, 1.845%—1.870%, 3/19/2020 | 796,786 |
1,000,000 | 2 | United States Treasury Bills, 1.890%, 2/13/2020 | 997,742 |
500,000 | 2 | United States Treasury Bills, 2.010%, 1/16/2020 | 499,581 |
750,000 | 2 | United States Treasury Bills, 2.465%—2.468%, 2/27/2020 | 747,072 |
TOTAL | 5,225,259 | ||
U.S. Treasury Notes—11.6% | |||
200,000 | 1 | United States Treasury Floating Rate Notes, 1.558% (91-day T-Bill +0.033%), 1/7/2020 | 200,005 |
1,200,000 | 1 | United States Treasury Floating Rate Notes, 1.570% (91-day T-Bill +0.045%), 1/7/2020 | 1,199,371 |
2,700,000 | 1 | United States Treasury Floating Rate Notes, 1.640% (91-day T-Bill +0.115%), 1/7/2020 | 2,698,871 |
150,000 | 1 | United States Treasury Floating Rate Notes, 1.825% (91-day T-Bill +0.300%), 1/7/2020 | 150,163 |
600,000 | United States Treasury Notes, 1.125%—1.375%, 3/31/2020 | 598,670 | |
700,000 | United States Treasury Notes, 1.250%, 2/29/2020 | 699,023 | |
600,000 | United States Treasury Notes, 1.375%—2.625%, 8/31/2020 | 602,163 | |
250,000 | United States Treasury Notes, 1.500%, 4/15/2020 | 249,625 | |
350,000 | United States Treasury Notes, 1.500%, 5/31/2020 | 349,531 | |
500,000 | United States Treasury Notes, 2.000%—2.625%, 7/31/2020 | 502,142 | |
500,000 | United States Treasury Notes, 2.375%, 4/30/2020 | 500,895 | |
100,000 | United States Treasury Notes, 2.500%, 6/30/2020 | 100,294 | |
500,000 | United States Treasury Notes, 2.625%, 11/15/2020 | 504,023 | |
350,000 | United States Treasury Notes, 2.750%, 9/30/2020 | 352,844 | |
200,000 | United States Treasury Notes, 2.750%, 11/30/2020 | 201,927 | |
150,000 | United States Treasury Notes, 2.875%, 10/31/2020 | 151,515 | |
250,000 | United States Treasury Notes, 3.500%, 5/15/2020 | 251,351 | |
TOTAL | 9,312,413 | ||
TOTAL U.S. TREASURIES | 14,537,672 | ||
REPURCHASE AGREEMENTS—45.4% | |||
1,000,000 | Interest in $575,000,000 joint repurchase agreement 1.60%, dated 11/15/2019 under which BMO Capital Markets Corp. will repurchase securities provided as collateral for $577,300,000 on 2/13/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 12/20/2069 and the market value of those underlying securities was $591,111,986. | 1,000,000 | |
1,000,000 | Interest in $730,000,000 joint repurchase agreement 1.65%, dated 11/14/2019 under which Barclays Bank PLC will repurchase securities provided as collateral for $732,040,958 on 1/14/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 5/20/2049 and the market value of those underlying securities was $746,681,778. | 1,000,000 | |
14,000,000 | Interest in $500,000,000 joint repurchase agreement 1.58%, dated 12/31/2019 under which J.P. Morgan Securities LLC will repurchase securities provided as collateral for $500,043,889 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 7/25/2052 and the market value of those underlying securities was $510,367,203. | 14,000,000 | |
18,000,000 | Interest in $300,000,000 joint repurchase agreement 1.59%, dated 12/31/2019 under which Pershing LLC will repurchase securities provided as collateral for $300,026,500 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 7/20/2067 and the market value of those underlying securities was $307,705,418. | 18,000,000 |
Principal Amount | Value | ||
REPURCHASE AGREEMENTS—continued | |||
$2,364,000 | Interest in $3,000,000,000 joint repurchase agreement 1.58%, dated 12/31/2019 under which Sumitomo Mitsui Banking Corp. will repurchase securities provided as collateral for $3,000,263,333 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 9/1/2049 and the market value of those underlying securities was $3,060,268,600. | $2,364,000 | |
TOTAL REPURCHASE AGREEMENTS | 36,364,000 | ||
TOTAL INVESTMENT IN SECURITIES—99.1% (AT AMORTIZED COST)3 | 79,327,672 | ||
OTHER ASSETS AND LIABILITIES - NET—0.9%4 | 726,208 | ||
TOTAL NET ASSETS—100% | $80,053,880 |
1 | Floating/variable note with current rate and current maturity or next reset date shown. |
2 | Discount rate(s) at time of purchase. |
3 | Also represents cost for federal tax purposes. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
LIBOR | —London Interbank Offered Rate |
Year Ended December 31, | Period Ended 12/31/20162 | |||
20191 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 |
Income From Investment Operations: | ||||
Net investment income | 0.019 | 0.015 | 0.002 | 0.0003 |
Net realized gain | 0.0003 | 0.0003 | 0.004 | — |
TOTAL FROM INVESTMENT OPERATIONS | 0.019 | 0.015 | 0.006 | 0.0003 |
Less Distributions: | ||||
Distributions from net investment income | (0.019) | (0.015) | (0.006) | (0.000)3 |
TOTAL DISTRIBUTIONS | (0.019) | (0.015) | (0.006) | (0.000)3 |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return4 | 1.89% | 1.50% | 0.56% | 0.06% |
Ratios to Average Net Assets: | ||||
Net expenses | 0.29% | 0.38% | 0.38% | —% |
Net investment income | 2.06% | 0.84% | 0.17% | 0.02%5 |
Expense waiver/reimbursement | 0.09% | —% | —% | —% |
Supplemental Data: | ||||
Net assets, end of period (000 omitted) | $06 | $06 | $06 | $06 |
1 | Certain ratios included in Ratios to Average Net Assets and per share amounts may be inflated or deflated as compared to the fee structure for each respective share class as a result of daily systematic allocations being rounded to the nearest penny for fund level income, expense and realized gain/loss amounts. Such differences are immaterial. |
2 | Reflects operations for the period from April 29, 2016 (date of initial investment) to December 31, 2016. |
3 | Represents less than $0.001. |
4 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
5 | Computed on an annualized basis. |
6 | Represents less than $1,000. |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Income From Investment Operations: | |||||
Net investment income | 0.016 | 0.012 | 0.003 | 0.0001 | — |
Net realized gain (loss) | 0.0001 | (0.000)1 | 0.0001 | (0.000)1 | 0.0001 |
TOTAL FROM INVESTMENT OPERATIONS | 0.016 | 0.012 | 0.003 | (0.000)1 | 0.0001 |
Less Distributions: | |||||
Distributions from net investment income | (0.016) | (0.012) | (0.003) | (0.000)1 | — |
Distributions from net realized gain | — | — | — | — | (0.000)1 |
TOTAL DISTRIBUTIONS | (0.016) | (0.012) | (0.003) | (0.000)1 | (0.000)1 |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 1.64% | 1.25% | 0.31% | 0.00% | 0.00% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.63% | 0.63% | 0.63% | 0.49% | 0.34% |
Net investment income | 1.66% | 1.26% | 0.30% | 0.00%3 | 0.00% |
Expense waiver/reimbursement4 | 0.09% | 0.11% | 0.07% | 0.19% | 0.40% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $80,054 | $130,261 | $93,719 | $112,214 | $139,170 |
1 | Represents less than $0.001. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | Represents less than 0.01%. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in repurchase agreements | $36,364,000 | |
Investment in securities | 42,963,672 | |
Investment in securities, at amortized cost and fair value | $79,327,672 | |
Cash | 368 | |
Income receivable | 89,960 | |
Receivable for shares sold | 822,405 | |
TOTAL ASSETS | 80,240,405 | |
Liabilities: | ||
Payable for shares redeemed | $114,787 | |
Payable for investment adviser fee (Note 5) | 157 | |
Payable for administrative fee (Note 5) | 171 | |
Payable for custodian fees | 6,878 | |
Payable for portfolio accounting fees | 39,792 | |
Payable for other service fees (Notes 2 and 5) | 17,177 | |
Accrued expenses (Note 5) | 7,563 | |
TOTAL LIABILITIES | 186,525 | |
Net assets for 80,055,462 shares outstanding | $80,053,880 | |
Net Assets Consist of: | ||
Paid-in capital | $80,055,011 | |
Total distributable earnings (loss) | (1,131) | |
TOTAL NET ASSETS | $80,053,880 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
$100 ÷ 100 shares outstanding, no par value, unlimited shares authorized | $1.00 | |
Service Shares: | ||
$80,053,780 ÷ 80,055,362 shares outstanding, no par value, unlimited shares authorized | $1.00 |
Investment Income: | ||
Interest | $2,170,755 | |
Expenses: | ||
Investment adviser fee (Note 5) | $189,210 | |
Administrative fee (Note 5) | 75,560 | |
Custodian fees | 10,716 | |
Transfer agent fee | 5,236 | |
Directors'/Trustees' fees (Note 5) | 1,885 | |
Auditing fees | 25,106 | |
Legal fees | 10,218 | |
Portfolio accounting fees | 79,435 | |
Other service fees (Notes 2 and 5) | 234,383 | |
Printing and postage | 42,916 | |
Miscellaneous (Note 5) | 5,828 | |
TOTAL EXPENSES | 680,493 | |
Waiver of investment adviser fee (Note 5) | (81,976) | |
Net expenses | 598,517 | |
Net investment income | 1,572,238 | |
Net realized gain on investments | 133 | |
Change in net assets resulting from operations | $1,572,371 |
Year Ended December 31 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $1,572,238 | $1,211,133 |
Net realized gain (loss) | 133 | (332) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 1,572,371 | 1,210,801 |
Distributions to Shareholders: | ||
Primary Shares | (2) | (1) |
Service Shares | (1,572,255) | (1,211,130) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (1,572,257) | (1,211,131) |
Share Transactions: | ||
Proceeds from sale of shares | 38,630,012 | 75,281,929 |
Net asset value of shares issued to shareholders in payment of distributions declared | 1,572,252 | 1,211,130 |
Cost of shares redeemed | (90,410,033) | (39,950,260) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (50,207,769) | 36,542,799 |
Change in net assets | (50,207,655) | 36,542,469 |
Net Assets: | ||
Beginning of period | 130,261,535 | 93,719,066 |
End of period | $80,053,880 | $130,261,535 |
Other Service Fees Incurred | |
Service Shares | $234,383 |
Year Ended December 31 | 2019 | 2018 | ||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | — | $— | — | $— |
Shares issued to shareholders in payment of distributions declared | — | — | — | — |
Shares redeemed | — | — | — | — |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | — | $— | — | $— |
Year Ended December 31 | 2019 | 2018 | ||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 38,630,012 | $38,630,012 | 75,281,929 | $75,281,929 |
Shares issued to shareholders in payment of distributions declared | 1,572,252 | 1,572,252 | 1,211,130 | 1,211,130 |
Shares redeemed | (90,410,033) | (90,410,033) | (39,950,260) | (39,950,260) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (50,207,769) | $(50,207,769) | 36,542,799 | $36,542,799 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (50,207,769) | $(50,207,769) | 36,542,799 | $36,542,799 |
2019 | 2018 | |
Ordinary income | $1,572,257 | $1,211,131 |
Undistributed ordinary income | $10 |
Capital loss carryforwards | $(1,141) |
Short-Term | Long-Term | Total |
$643 | $498 | $1,141 |
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 | |
Primary Shares | 0.25% |
February 14, 2020
Beginning Account Value 7/1/2019 | Ending Account Value 12/31/2019 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,008.50 | $1.92 |
Service Shares | $1,000 | $1,007.20 | $3.19 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,023.30 | $1.94 |
Service Shares | $1,000 | $1,022.00 | $3.21 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 0.38% |
Service Shares | 0.63% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: September 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Thomas R. Donahue* Birth Date: October 20, 1958 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Director or Trustee of certain of the funds in the Federated Hermes Fund Family; Chief Financial Officer, Treasurer, Vice President and Assistant Secretary, Federated Hermes, Inc.; Chairman and Trustee, Federated Administrative Services; Chairman and Director, Federated Administrative Services, Inc.; Trustee and Treasurer, Federated Advisory Services Company; Director or Trustee and Treasurer, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, and Federated Investment Management Company; Director, MDTA LLC; Director, Executive Vice President and Assistant Secretary, Federated Securities Corp.; Director or Trustee and Chairman, Federated Services Company and Federated Shareholder Services Company; and Director and President, FII Holdings, Inc. Previous Positions: Director, Federated Hermes, Inc.; Assistant Secretary, Federated Investment Management Company, Federated Global Investment Management Company and Passport Research, LTD; Treasurer, Passport Research, LTD; Executive Vice President, Federated Securities Corp.; and Treasurer, FII Holdings, Inc. |
* | Family relationships and reasons for “interested” status: J. Christopher Donahue and Thomas R. Donahue are brothers. Both are “interested” due to their beneficial ownership of shares of Federated Hermes, Inc. and the positions they hold with Federated Hermes, Inc. and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, Chairman of the Compensation Committee, KLX Energy Services Holdings, Inc. (oilfield services); former Director of KLX Corp. (aerospace). Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc.; Director, Chair of the Audit Committee, Equifax, Inc.; Director, Member of the Audit Committee, Haverty Furniture Companies, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court's Board of Continuing Judicial Education and the Supreme Court's Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, St. Vincent College; and Director and Chair, North Catholic High School, Inc. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: September 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant and Author. Other Directorships Held: None. Qualifications: Mr. Mansfield has served as a Marine Corps officer and in several banking, business management, educational roles and directorship positions throughout his long career. He remains active as a Management Consultant and Author. |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CNX Resources Corporation (formerly known as CONSOL Energy Inc.); and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Complex and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Hermes, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes' taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated Hermes' money market products in 2004. She joined Federated Hermes in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916504
Share Class | Primary | Service |
1 | Please see the footnotes to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the BBICI. |
2 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
3 | Duration is a measure of a security's price sensitivity to changes in interest rates. Securities with longer durations are more sensitive to changes in interest rates than securities of shorter durations. |
4 | Investment-grade securities are securities that are rated at least “BBB- (minus)” or unrated securities of a comparable quality. Noninvestment-grade securities are securities that are not rated at least “BBB- (minus)” or unrated securities of a comparable quality. Credit ratings are an indication of the risk that a security will default. They do not protect a security from credit risk. Lower-rated bonds typically offer higher yields to help compensate investors for the increased risk associated with them. Among these risks are lower credit-worthiness, greater price volatility, more risk to principal and income than with higher-rated securities and increased possibilities of default. |
5 | The Fund's use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional instruments. |
Federated Quality Bond Fund II - | Primary Shares | Service Shares | NA | BBICI |
F | F | NA | I | |
12/31/2009 | 10,000 | 10,000 | 10,000 | |
12/31/2010 | 10,850 | 10,828 | 10,776 | |
12/31/2011 | 11,097 | 11,044 | 11,354 | |
12/31/2012 | 12,176 | 12,087 | 12,274 | |
12/31/2013 | 12,302 | 12,178 | 12,253 | |
12/31/2014 | 12,768 | 12,605 | 12,763 | |
12/31/2015 | 12,737 | 12,550 | 12,878 | |
12/31/2016 | 13,224 | 12,993 | 13,351 | |
12/31/2017 | 13,758 | 13,480 | 13,841 | |
12/31/2018 | 13,677 | 13,375 | 13,843 | |
12/31/2019 | 14,968 | 14,601 | 15,161 |
1 Year | 5 Years | 10 Years | |
Primary Shares | 9.44% | 3.23% | 4.12% |
Service Shares | 9.17% | 2.98% | 3.86% |
BBICI | 9.52% | 3.50% | 4.25% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBICI has been adjusted to reflect reinvestment of dividends on securities in the index. |
2 | The BBICI measures the investment-grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related bond markets. The index only includes securities with maturity between one and ten years. It is composed of the Bloomberg Barclays U.S. Corporate Index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities. The index is not adjusted to reflect sales loads, expenses or other fees that the Securities and Exchange Commission requires to be reflected in the Fund's performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
Security Type | Percentage of Total Net Assets |
Corporate Debt Securities | 97.0% |
Foreign Government Debt Securities | 0.1% |
Mortgage-Backed Securities2,3 | 0.0% |
Collateralized Mortgage Obligation3 | 0.0% |
Derivative Contracts3,4 | 0.0% |
Securities Lending Collateral5 | 0.9% |
Cash Equivalents6 | 2.0% |
Other Assets and Liabilities—Net3,7 | 0.0% |
TOTAL | 100.0% |
1 | See the Fund's Prospectus and Statement of Additional Information for a description of these security types. |
2 | For purposes of this table, Mortgage-Backed Securities include mortgage-backed securities guaranteed by Government-Sponsored Enterprises. |
3 | Represents less than 0.1%. |
4 | 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. |
5 | Represents cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds, other money market instruments and/or repurchase agreements. |
6 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those representing cash collateral for securities lending. |
7 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount | Value | ||
CORPORATE BONDS—97.0% | |||
Basic Industry - Chemicals—0.7% | |||
$640,000 | FMC Corp., Sr. Unsecd. Note, 3.950%, 2/1/2022 | $659,417 | |
500,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | 541,577 | |
TOTAL | 1,200,994 | ||
Basic Industry - Metals & Mining—1.5% | |||
230,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 238,509 | |
650,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 5.200%, 7/15/2021 | 666,421 | |
470,000 | Newcrest Finance Property Ltd., Sr. Unsecd. Note, 144A, 4.200%, 10/1/2022 | 489,929 | |
1,000,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 1,056,982 | |
320,000 | Southern Copper Corp., Sr. Unsecd. Note, 3.500%, 11/8/2022 | 330,730 | |
TOTAL | 2,782,571 | ||
Capital Goods - Aerospace & Defense—2.4% | |||
600,000 | Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027 | 623,257 | |
270,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 2.850%, 12/15/2020 | 271,860 | |
280,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 297,132 | |
519,000 | Embraer Overseas Ltd., Sr. Unsecd. Note, 144A, 5.696%, 9/16/2023 | 571,121 | |
410,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 427,322 | |
300,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 2.550%, 10/15/2022 | 304,487 | |
500,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 2.930%, 1/15/2025 | 515,441 | |
320,000 | Rockwell Collins, Inc., Sr. Unsecd. Note, 3.100%, 11/15/2021 | 325,498 | |
910,000 | 1 | Textron Financial Corp., Jr. Sub. Note, 144A, 3.644% (3-month USLIBOR +1.735%), 2/15/2042 | 725,147 |
295,000 | Textron Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 316,591 | |
TOTAL | 4,377,856 | ||
Capital Goods - Building Materials—0.9% | |||
165,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 168,061 | |
800,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 822,588 | |
300,000 | Masco Corp., Sr. Unsecd. Note, 3.500%, 11/15/2027 | 310,194 | |
275,000 | Masco Corp., Unsecd. Note, 4.450%, 4/1/2025 | 299,487 | |
TOTAL | 1,600,330 | ||
Capital Goods - Construction Machinery—1.2% | |||
500,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 4.375%, 4/5/2022 | 523,376 | |
595,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 620,911 | |
750,000 | Deere & Co., Sr. Unsecd. Note, 2.600%, 6/8/2022 | 764,002 | |
310,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 336,968 | |
TOTAL | 2,245,257 | ||
Capital Goods - Diversified Manufacturing—3.0% | |||
700,000 | 3M Co., Sr. Unsecd. Note, 2.000%, 2/14/2025 | 696,043 | |
750,000 | CK Hutchison Holdings Ltd., Sr. Unsecd. Note, 144A, 2.750%, 3/29/2023 | 754,478 | |
430,000 | General Electric Capital Corp., Sr. Unsecd. Note, Series GMTN, 4.625%, 1/7/2021 | 439,675 | |
600,000 | General Electric Capital Corp., Sub. Note, 5.300%, 2/11/2021 | 618,889 | |
1,000,000 | Lennox International, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2023 | 1,017,638 | |
250,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.650%, 9/15/2023 | 262,502 | |
875,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.800%, 12/15/2026 | 940,290 | |
800,000 | United Technologies Corp., Sr. Unsecd. Note, 4.125%, 11/16/2028 | 901,176 | |
TOTAL | 5,630,691 | ||
Capital Goods - Packaging—0.3% | |||
500,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 3.750%, 3/15/2025 | 528,063 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Communications - Cable & Satellite—2.5% | |||
$567,000 | CCO Safari II LLC, 4.464%, 7/23/2022 | $595,916 | |
1,000,000 | CCO Safari II LLC, 4.908%, 7/23/2025 | 1,101,559 | |
600,000 | Comcast Corp., Sr. Unsecd. Note, 1.625%, 1/15/2022 | 598,574 | |
730,000 | Comcast Corp., Sr. Unsecd. Note, 2.750%, 3/1/2023 | 747,079 | |
300,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 317,724 | |
750,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 818,531 | |
400,000 | Time Warner Cable, Inc., Sr. Unsecd. Note, 8.375%, 3/15/2023 | 472,170 | |
TOTAL | 4,651,553 | ||
Communications - Media & Entertainment—1.0% | |||
300,000 | British Sky Broadcasting Group PLC, 144A, 3.750%, 9/16/2024 | 321,283 | |
750,000 | CBS Corp., 3.700%, 8/15/2024 | 793,893 | |
250,000 | Discovery Communications LLC, Sr. Unsecd. Note, 2.950%, 3/20/2023 | 254,794 | |
400,000 | Fox Corp, Sr. Unsecd. Note, 144A, 4.709%, 1/25/2029 | 455,909 | |
TOTAL | 1,825,879 | ||
Communications - Telecom Wireless—1.0% | |||
600,000 | American Tower Corp., Sr. Unsecd. Note, 3.500%, 1/31/2023 | 622,057 | |
300,000 | Crown Castle International Corp., 3.150%, 7/15/2023 | 309,586 | |
360,000 | Crown Castle International Corp., Sr. Unsecd. Note, 2.250%, 9/1/2021 | 361,040 | |
200,000 | Crown Castle International Corp., Sr. Unsecd. Note, 4.450%, 2/15/2026 | 219,073 | |
395,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 428,967 | |
TOTAL | 1,940,723 | ||
Communications - Telecom Wirelines—1.9% | |||
450,000 | AT&T, Inc., Sr. Unsecd. Note, 3.400%, 5/15/2025 | 471,696 | |
750,000 | AT&T, Inc., Sr. Unsecd. Note, 4.250%, 3/1/2027 | 823,547 | |
450,000 | Telefonica Emisiones SAU, Company Guarantee, 5.462%, 2/16/2021 | 467,076 | |
250,000 | Telefonica SA, Company Guarantee, 7.045%, 6/20/2036 | 349,692 | |
600,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.150%, 3/15/2024 | 646,388 | |
735,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 5.150%, 9/15/2023 | 815,329 | |
TOTAL | 3,573,728 | ||
Consumer Cyclical - Automotive—3.0% | |||
700,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 3.250%, 8/1/2024 | 721,387 | |
500,000 | Fiat Chrysler Automobiles NV, Sr. Unsecd. Note, 5.250%, 4/15/2023 | 535,620 | |
250,000 | Ford Motor Co., Sr. Unsecd. Note, 4.346%, 12/8/2026 | 258,280 | |
250,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.336%, 3/18/2021 | 251,891 | |
920,000 | General Motors Co., Sr. Unsecd. Note, 4.000%, 4/1/2025 | 969,853 | |
500,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 3.200%, 7/6/2021 | 506,912 | |
300,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.000%, 10/6/2026 | 314,508 | |
1,025,000 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 2.650%, 7/13/2022 | 1,028,043 | |
650,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/12/2021 | 672,299 | |
300,000 | 2 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.250%, 11/13/2023 | 319,668 |
TOTAL | 5,578,461 | ||
Consumer Cyclical - Leisure—0.2% | |||
333,533 | Football Trust V, Pass Thru Cert., 5.350%, 10/5/2020 | 341,634 | |
Consumer Cyclical - Retailers—2.5% | |||
250,000 | CVS Health Corp., Sr. Unsecd. Note, 3.350%, 3/9/2021 | 254,158 | |
580,000 | CVS Health Corp., Sr. Unsecd. Note, 3.700%, 3/9/2023 | 604,148 | |
1,290,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 1,408,842 | |
200,000 | Dollar General Corp., Sr. Unsecd. Note, 4.150%, 11/1/2025 | 217,707 | |
600,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | 625,005 | |
500,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 4.000%, 5/15/2025 | 534,822 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Retailers—continued | |||
$500,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.125%, 9/15/2026 | $499,616 | |
560,000 | WalMart Inc., Sr. Unsecd. Note, 3.400%, 6/26/2023 | 588,779 | |
TOTAL | 4,733,077 | ||
Consumer Cyclical - Services—2.5% | |||
500,000 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 3.400%, 12/6/2027 | 520,769 | |
500,000 | Amazon.com, Inc., Sr. Unsecd. Note, 2.400%, 2/22/2023 | 508,901 | |
170,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 179,898 | |
750,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 813,432 | |
500,000 | Expedia, Inc., 4.500%, 8/15/2024 | 533,664 | |
325,000 | IHS Markit Ltd., Sr. Unsecd. Note, 4.125%, 8/1/2023 | 345,741 | |
135,000 | IHS Markit Ltd., Sr. Unsecd. Note, Series 5YR, 3.625%, 5/1/2024 | 140,441 | |
1,000,000 | Visa, Inc., Sr. Unsecd. Note, 2.800%, 12/14/2022 | 1,029,091 | |
530,000 | Visa, Inc., Sr. Unsecd. Note, 3.150%, 12/14/2025 | 560,152 | |
TOTAL | 4,632,089 | ||
Consumer Non-Cyclical - Food/Beverage—7.0% | |||
449,000 | Anheuser-Busch InBev Finance, Inc., Sr. Unsecd. Note, 3.300%, 2/1/2023 | 465,109 | |
750,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029 | 868,911 | |
800,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 3.875%, 11/26/2023 | 845,853 | |
1,000,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028 | 1,124,833 | |
750,000 | Danone SA, Sr. Unsecd. Note, 144A, 2.077%, 11/2/2021 | 750,765 | |
340,000 | Danone SA, Sr. Unsecd. Note, 144A, 2.947%, 11/2/2026 | 347,263 | |
380,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 387,735 | |
330,000 | General Mills, Inc., Sr. Unsecd. Note, 3.700%, 10/17/2023 | 347,706 | |
500,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | 522,354 | |
660,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 4.500%, 1/25/2022 | 686,531 | |
1,050,000 | Kerry Group Financial Services, Sr. Unsecd. Note, 144A, 3.200%, 4/9/2023 | 1,063,125 | |
700,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.057%, 5/25/2023 | 738,250 | |
450,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 491,575 | |
900,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.000%, 6/1/2026 | 900,033 | |
1,000,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 3.150%, 8/15/2024 | 1,038,213 | |
250,000 | PepsiCo, Inc., Sr. Unsecd. Note, 2.000%, 4/15/2021 | 250,721 | |
380,000 | 2 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 2.650%, 10/3/2021 | 377,796 |
240,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.350%, 2/1/2022 | 240,732 | |
60,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027 | 61,749 | |
600,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 3.500%, 3/15/2025 | 631,350 | |
370,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.900%, 9/28/2023 | 392,470 | |
500,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 4.500%, 6/15/2022 | 526,404 | |
TOTAL | 13,059,478 | ||
Consumer Non-Cyclical - Health Care—2.6% | |||
210,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2029 | 208,635 | |
940,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 3.875%, 7/15/2023 | 986,391 | |
350,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 3.000%, 9/23/2029 | 356,302 | |
500,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 2.894%, 6/6/2022 | 508,250 | |
740,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 784,300 | |
235,000 | DH Europe Finance II S.a r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 234,293 | |
470,000 | DH Europe Finance II S.a r.l., Sr. Unsecd. Note, Series 5YR, 2.200%, 11/15/2024 | 470,731 | |
450,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 459,948 | |
250,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 2.950%, 9/19/2026 | 257,034 | |
500,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 3.000%, 4/15/2023 | 514,075 | |
TOTAL | 4,779,959 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Pharmaceuticals—4.0% | |||
$210,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.400%, 11/30/2023 | $220,859 | |
453,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 495,028 | |
580,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 2.950%, 11/21/2026 | 589,567 | |
455,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 3.200%, 11/21/2029 | 463,160 | |
300,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.600%, 5/14/2025 | 316,633 | |
67,000 | Actavis Funding SCS, Sr. Unsecd. Note, 4.750%, 3/15/2045 | 72,886 | |
600,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027 | 625,661 | |
1,000,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 3.875%, 12/15/2023 | 1,049,637 | |
200,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.250%, 12/15/2025 | 215,780 | |
180,000 | Biogen Idec, Inc., Sr. Unsecd. Note, 2.900%, 9/15/2020 | 181,342 | |
320,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 3.400%, 7/26/2029 | 342,254 | |
340,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 3.875%, 8/15/2025 | 367,813 | |
200,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 5.000%, 8/15/2045 | 256,420 | |
310,000 | Eli Lilly & Co., Sr. Unsecd. Note, 3.375%, 3/15/2029 | 334,235 | |
220,000 | Gilead Sciences, Inc., Sr. Unsecd. Note, 3.650%, 3/1/2026 | 236,755 | |
500,000 | Merck & Co., Inc., Sr. Unsecd. Note, 3.400%, 3/7/2029 | 541,386 | |
900,000 | Teva Pharmaceutical Finance Netherlands III BV, Sr. Unsecd. Note, 2.200%, 7/21/2021 | 873,243 | |
300,000 | Teva Pharmaceutical Finance Netherlands III BV, Sr. Unsecd. Note, 3.150%, 10/1/2026 | 250,507 | |
TOTAL | 7,433,166 | ||
Consumer Non-Cyclical - Products—1.0% | |||
575,000 | Church and Dwight, Inc., Sr. Unsecd. Note, 2.450%, 8/1/2022 | 579,781 | |
1,250,000 | Reckitt Benckiser Treasury Services PLC, Sr. Unsecd. Note, 144A, 2.375%, 6/24/2022 | 1,259,103 | |
TOTAL | 1,838,884 | ||
Consumer Non-Cyclical - Supermarkets—0.4% | |||
610,000 | Kroger Co., Bond, 6.900%, 4/15/2038 | 820,991 | |
Consumer Non-Cyclical - Tobacco—1.0% | |||
800,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.400%, 2/14/2026 | 869,105 | |
290,000 | BAT International Finance PLC, Sr. Unsecd. Note, 144A, 3.950%, 6/15/2025 | 306,715 | |
300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 4.450%, 6/12/2025 | 322,986 | |
360,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 440,287 | |
TOTAL | 1,939,093 | ||
Energy - Independent—2.0% | |||
94,000 | Apache Corp., Sr. Unsecd. Note, 3.250%, 4/15/2022 | 95,773 | |
500,000 | Apache Corp., Sr. Unsecd. Note, 4.375%, 10/15/2028 | 522,432 | |
420,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.950%, 1/15/2023 | 428,467 | |
500,000 | Cimarex Energy Co., Sr. Unsecd. Note, 3.900%, 5/15/2027 | 517,220 | |
250,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 6/1/2024 | 264,040 | |
215,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 227,562 | |
475,000 | Marathon Oil Corp., Sr. Unsecd. Note, 3.850%, 6/1/2025 | 502,954 | |
100,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 2.900%, 8/15/2024 | 101,652 | |
1,000,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 3.450%, 7/15/2024 | 1,024,254 | |
TOTAL | 3,684,354 | ||
Energy - Integrated—2.4% | |||
500,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.796%, 9/21/2025 | 541,005 | |
500,000 | BP Capital Markets PLC, Sr. Unsecd. Note, 3.994%, 9/26/2023 | 534,441 | |
530,000 | CNPC Hong Kong Overseas Capital Ltd., Company Guarantee, 144A, 5.950%, 4/28/2041 | 720,071 | |
585,000 | Husky Energy, Inc., 4.000%, 4/15/2024 | 617,555 | |
240,000 | Husky Energy, Inc., Sr. Unsecd. Note, 4.400%, 4/15/2029 | 258,354 | |
800,000 | Petroleos Mexicanos, Company Guarantee, 5.500%, 1/21/2021 | 823,600 | |
175,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 4.875%, 1/18/2024 | 184,203 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Energy - Integrated—continued | |||
$525,000 | Shell International Finance B.V., Sr. Unsecd. Note, 1.875%, 5/10/2021 | $525,511 | |
325,000 | Shell International Finance B.V., Sr. Unsecd. Note, 2.875%, 5/10/2026 | 336,714 | |
TOTAL | 4,541,454 | ||
Energy - Midstream—2.9% | |||
500,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 534,585 | |
565,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 606,236 | |
470,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 5Y, 4.200%, 9/15/2023 | 493,493 | |
500,000 | Kinder Morgan Energy Partners LP, 4.250%, 9/1/2024 | 535,723 | |
500,000 | MPLX LP, Sr. Unsecd. Note, 144A, 3.500%, 12/1/2022 | 514,838 | |
350,000 | MPLX LP, Sr. Unsecd. Note, 3.375%, 3/15/2023 | 359,441 | |
395,000 | MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027 | 414,816 | |
345,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.000%, 7/13/2027 | 367,314 | |
600,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 627,723 | |
540,000 | Texas Eastern Transmission LP, Sr. Unsecd. Note, 144A, 2.800%, 10/15/2022 | 545,297 | |
300,000 | Williams Partners LP, Sr. Unsecd. Note, 3.900%, 1/15/2025 | 315,831 | |
TOTAL | 5,315,297 | ||
Energy - Oil Field Services—0.2% | |||
300,000 | Schlumberger Holdings Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/21/2025 | 323,010 | |
Energy - Refining—0.4% | |||
215,000 | Valero Energy Corp., 7.500%, 4/15/2032 | 298,758 | |
335,000 | Valero Energy Corp., Sr. Unsecd. Note, 6.625%, 6/15/2037 | 443,654 | |
TOTAL | 742,412 | ||
Financial Institution - Banking—21.7% | |||
750,000 | American Express Co., Sr. Unsecd. Note, 3.000%, 10/30/2024 | 775,223 | |
500,000 | American Express Credit Corp., Sr. Unsecd. Note, Series MTN, 2.700%, 3/3/2022 | 508,348 | |
800,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 845,510 | |
250,000 | Bank of America Corp., Sr. Unsecd. Note, 2.738%, 1/23/2022 | 251,905 | |
1,250,000 | Bank of America Corp., Sr. Unsecd. Note, 3.705%, 4/24/2028 | 1,336,148 | |
1,450,000 | Bank of America Corp., Sr. Unsecd. Note, Series GMTN, 2.816%, 7/21/2023 | 1,473,998 | |
500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.456%, 10/22/2025 | 503,214 | |
500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.248%, 10/21/2027 | 521,060 | |
500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 4.271%, 7/23/2029 | 555,463 | |
300,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.661%, 5/16/2023 | 304,619 | |
550,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.250%, 9/11/2024 | 577,871 | |
600,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.050%, 3/9/2022 | 612,542 | |
350,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.200%, 1/30/2023 | 359,861 | |
500,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 545,458 | |
750,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.876%, 7/24/2023 | 763,352 | |
730,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 766,724 | |
500,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.700%, 1/12/2026 | 533,132 | |
500,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.075%, 4/23/2029 | 547,853 | |
150,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.500%, 1/14/2022 | 157,282 | |
500,000 | Citizens Bank N.A., Sr. Unsecd. Note, Series BKNT, 3.750%, 2/18/2026 | 534,394 | |
660,000 | Citizens Financial Group, Inc., Sub. Note, 144A, 4.150%, 9/28/2022 | 688,543 | |
300,000 | Comerica, Inc., 3.800%, 7/22/2026 | 316,152 | |
500,000 | 2 | Compass Bank, Birmingham, Sr. Unsecd. Note, Series BKNT, 3.500%, 6/11/2021 | 508,680 |
500,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 525,110 | |
140,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 2.375%, 1/28/2025 | 140,190 | |
385,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.650%, 1/25/2024 | 405,917 | |
630,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.350%, 11/15/2021 | 632,448 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.000%, 4/26/2022 | $506,244 | |
1,250,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.500%, 11/16/2026 | 1,314,720 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 4.223%, 5/1/2029 | 551,023 | |
500,000 | Goldman Sachs Group, Inc., Sub. Note, 4.250%, 10/21/2025 | 542,921 | |
1,000,000 | HSBC USA, Inc., Sr. Unsecd. Note, 3.500%, 6/23/2024 | 1,055,808 | |
500,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 2.625%, 8/6/2024 | 507,228 | |
250,000 | Huntington National Bank, Sr. Unsecd. Note, Series BKNT, 3.125%, 4/1/2022 | 255,568 | |
1,000,000 | JPMorgan Chase & Co., 3.250%, 9/23/2022 | 1,034,439 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.782%, 2/1/2028 | 538,993 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 4.452%, 12/5/2029 | 568,713 | |
1,000,000 | JPMorgan Chase & Co., Sub. Note, 3.375%, 5/1/2023 | 1,039,252 | |
1,000,000 | JPMorgan Chase & Co., Sub. Note, 3.875%, 9/10/2024 | 1,070,445 | |
408,000 | MUFG Americas Holdings Corp., Sr. Unsecd. Note, 3.000%, 2/10/2025 | 416,084 | |
250,000 | MUFG Americas Holdings Corp., Sr. Unsecd. Note, 3.500%, 6/18/2022 | 258,584 | |
250,000 | MUFG Union Bank, N.A., Sr. Unsecd. Note, Series BKNT, 3.150%, 4/1/2022 | 255,822 | |
1,940,000 | 1 | Manufacturers & Traders Trust Co., Sub. Note, Series BKNT, 2.546% (3-month USLIBOR +0.640%), 12/1/2021 | 1,941,175 |
750,000 | Morgan Stanley, Sec. Fac. Bond, 2.750%, 5/19/2022 | 763,742 | |
1,000,000 | Morgan Stanley, Sr. Unsecd. Note, 3.625%, 1/20/2027 | 1,064,527 | |
970,000 | Morgan Stanley, Sr. Unsecd. Note, 5.750%, 1/25/2021 | 1,007,633 | |
500,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.125%, 1/23/2023 | 514,232 | |
250,000 | Morgan Stanley, Sub. Note, 5.000%, 11/24/2025 | 281,582 | |
1,000,000 | Morgan Stanley, Sub. Note, Series MTN, 4.100%, 5/22/2023 | 1,056,297 | |
320,000 | PNC Bank NA, Sr. Unsecd. Note, Series BKNT, 2.232%, 7/22/2022 | 321,155 | |
500,000 | PNC Bank NA, Sr. Unsecd. Note, Series BKNT, 2.500%, 1/22/2021 | 502,996 | |
640,000 | Regions Financial Corp., Sr. Unsecd. Note, 3.200%, 2/8/2021 | 648,048 | |
230,000 | Regions Financial Corp., Sr. Unsecd. Note, 3.800%, 8/14/2023 | 243,470 | |
250,000 | State Street Corp., Sr. Unsecd. Note, 2.653%, 5/15/2023 | 253,482 | |
700,000 | State Street Corp., Sr. Unsecd. Note, 3.300%, 12/16/2024 | 738,242 | |
475,000 | Truist Bank, Sr. Unsecd. Note, Series BKNT, 2.150%, 12/6/2024 | 474,123 | |
500,000 | Truist Bank, Sr. Unsecd. Note, Series BKNT, 3.000%, 2/2/2023 | 512,798 | |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 208,316 | |
245,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 2.750%, 4/1/2022 | 249,311 | |
600,000 | U.S. Bank, N.A., Sr. Unsecd. Note, Series BKNT, 3.450%, 11/16/2021 | 617,855 | |
750,000 | US Bancorp, Sub. Note, Series MTN, 3.600%, 9/11/2024 | 797,026 | |
500,000 | Wells Fargo & Co., Series MTN, 3.500%, 3/8/2022 | 516,456 | |
620,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 635,371 | |
1,000,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.069%, 1/24/2023 | 1,020,952 | |
500,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 531,379 | |
TOTAL | 40,507,009 | ||
Financial Institution - Broker/Asset Mgr/Exchange—1.3% | |||
370,000 | Eaton Vance Corp., Sr. Unsecd. Note, 3.625%, 6/15/2023 | 388,496 | |
220,000 | Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026 | 234,506 | |
200,000 | Jefferies Group LLC, Sr. Unsecd. Note, 6.500%, 1/20/2043 | 238,224 | |
245,000 | Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028 | 272,702 | |
193,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 5.625%, 4/1/2024 | 217,445 | |
390,000 | Stifel Financial Corp., 4.250%, 7/18/2024 | 415,145 | |
190,000 | Stifel Financial Corp., Sr. Unsecd. Note, 3.500%, 12/1/2020 | 192,441 | |
500,000 | TD Ameritrade Holding Corp., Sr. Unsecd. Note, 3.625%, 4/1/2025 | 531,912 | |
TOTAL | 2,490,871 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Finance Companies—1.8% | |||
$500,000 | Discover Financial Services, Sr. Unsecd. Note, 3.850%, 11/21/2022 | $522,754 | |
250,000 | Discover Financial Services, Sr. Unsecd. Note, 4.100%, 2/9/2027 | 269,320 | |
1,966,000 | GE Capital International Funding Co., Sr. Unsecd. Note, 2.342%, 11/15/2020 | 1,967,896 | |
600,000 | GE Capital International Funding, Inc., Sr. Unsecd. Note, 4.418%, 11/15/2035 | 639,932 | |
TOTAL | 3,399,902 | ||
Financial Institution - Insurance - Health—0.8% | |||
300,000 | CIGNA Corp., Sr. Unsecd. Note, 3.750%, 7/15/2023 | 314,677 | |
650,000 | CIGNA Corp., Sr. Unsecd. Note, 4.375%, 10/15/2028 | 720,499 | |
405,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 3.750%, 7/15/2025 | 437,378 | |
TOTAL | 1,472,554 | ||
Financial Institution - Insurance - Life—1.1% | |||
350,000 | AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029 | 368,248 | |
200,000 | AIG Global Funding, Sec. Fac. Bond, 144A, 2.300%, 7/1/2022 | 201,087 | |
800,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 859,012 | |
290,000 | Lincoln National Corp., Sr. Unsecd. Note, 4.200%, 3/15/2022 | 302,289 | |
172,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 8.875%, 6/1/2039 | 291,014 | |
TOTAL | 2,021,650 | ||
Financial Institution - Insurance - P&C—0.9% | |||
200,000 | Berkshire Hathaway, Inc., Sr. Unsecd. Note, 2.200%, 3/15/2021 | 200,782 | |
250,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.450%, 8/15/2027 | 260,462 | |
95,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029 | 102,245 | |
250,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 2.700%, 3/13/2023 | 255,331 | |
300,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 3.350%, 5/15/2024 | 316,052 | |
300,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 509,577 | |
TOTAL | 1,644,449 | ||
Financial Institution - REIT - Apartment—1.1% | |||
395,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 416,109 | |
500,000 | 2 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.750%, 6/15/2024 | 527,321 |
550,000 | Post Apartment Homes LP, Sr. Unsecd. Note, 3.375%, 12/1/2022 | 566,770 | |
500,000 | UDR, Inc., Sr. Unsecd. Note, Series MTN, 2.950%, 9/1/2026 | 508,972 | |
TOTAL | 2,019,172 | ||
Financial Institution - REIT - Healthcare—1.0% | |||
500,000 | Healthcare Trust of America, 3.700%, 4/15/2023 | 517,122 | |
710,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 758,921 | |
155,000 | Welltower, Inc., Sr. Unsecd. Note, 2.700%, 2/15/2027 | 155,628 | |
500,000 | Welltower, Inc., Sr. Unsecd. Note, 3.100%, 1/15/2030 | 506,236 | |
TOTAL | 1,937,907 | ||
Financial Institution - REIT - Office—0.6% | |||
640,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.000%, 1/15/2024 | 681,811 | |
480,000 | Boston Properties LP, Sr. Unsecd. Note, 3.200%, 1/15/2025 | 498,134 | |
TOTAL | 1,179,945 | ||
Financial Institution - REIT - Other—0.6% | |||
320,000 | Liberty Property LP, Sr. Unsecd. Note, 4.375%, 2/1/2029 | 364,106 | |
300,000 | ProLogis LP, Sr. Unsecd. Note, 4.250%, 8/15/2023 | 321,267 | |
450,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 482,450 | |
TOTAL | 1,167,823 | ||
Financial Institution - REIT - Retail—0.8% | |||
410,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.700%, 3/1/2024 | 414,873 | |
396,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.200%, 5/1/2021 | 401,600 | |
100,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.400%, 11/1/2022 | 103,307 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Retail—continued | |||
$450,000 | Regency Centers Corp., Sr. Unsecd. Note, 3.750%, 11/15/2022 | $468,712 | |
TOTAL | 1,388,492 | ||
Sovereign—0.5% | |||
320,000 | Corp Andina De Fomento, Sr. Unsecd. Note, 4.375%, 6/15/2022 | 336,542 | |
510,000 | Inter-American Development Bank, Series MTN, 6.750%, 7/15/2027 | 657,492 | |
TOTAL | 994,034 | ||
Technology—7.3% | |||
500,000 | Adobe, Inc., Sr. Unsecd. Note, 3.250%, 2/1/2025 | 528,056 | |
650,000 | Apple, Inc., Sr. Unsecd. Note, 2.400%, 5/3/2023 | 661,064 | |
900,000 | Apple, Inc., Sr. Unsecd. Note, 3.200%, 5/13/2025 | 950,772 | |
125,000 | Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044 | 152,279 | |
340,000 | Automatic Data Processing, Inc., 3.375%, 9/15/2025 | 362,413 | |
230,000 | Broadcom Corp., Sr. Unsecd. Note, Series WI, 3.625%, 1/15/2024 | 238,345 | |
280,000 | Broadcom Corp., Sr. Unsecd. Note, Series WI, 3.875%, 1/15/2027 | 290,795 | |
700,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/15/2024 | 727,991 | |
400,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, 144A, 6.020%, 6/15/2026 | 460,388 | |
345,000 | Equifax, Inc., Sr. Unsecd. Note, 2.300%, 6/1/2021 | 346,056 | |
480,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 482,891 | |
80,000 | 2 | Equifax, Inc., Sr. Unsecd. Note, Series 5Y, 3.950%, 6/15/2023 | 84,022 |
83,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.875%, 6/5/2024 | 88,318 | |
600,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 5.000%, 10/15/2025 | 685,658 | |
230,000 | Fiserv, Inc., Sr. Unsecd. Note, 2.750%, 7/1/2024 | 234,127 | |
500,000 | Fiserv, Inc., Sr. Unsecd. Note, 4.200%, 10/1/2028 | 554,577 | |
670,000 | Ingram Micro, Inc., Sr. Unsecd. Note, 5.000%, 8/10/2022 | 692,098 | |
500,000 | Intel Corp., Sr. Unsecd. Note, 3.700%, 7/29/2025 | 540,706 | |
460,000 | Keysight Technologies, Inc., 4.550%, 10/30/2024 | 501,212 | |
100,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029 | 100,392 | |
310,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 341,631 | |
500,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.640%, 2/6/2024 | 542,530 | |
500,000 | Microsoft Corp., Sr. Unsecd. Note, 1.550%, 8/8/2021 | 499,340 | |
750,000 | Microsoft Corp., Sr. Unsecd. Note, 2.400%, 8/8/2026 | 759,707 | |
190,000 | Molex Electronics Technologies LLC, Unsecd. Note, 144A, 3.900%, 4/15/2025 | 196,075 | |
750,000 | Oracle Corp., Sr. Unsecd. Note, 3.400%, 7/8/2024 | 791,636 | |
310,000 | Qualcomm, Inc., Sr. Unsecd. Note, 2.600%, 1/30/2023 | 315,566 | |
350,000 | Total System Services, Inc., Sr. Unsecd. Note, 3.800%, 4/1/2021 | 356,898 | |
260,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | 284,806 | |
195,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 9/12/2022 | 204,746 | |
600,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 658,575 | |
TOTAL | 13,633,670 | ||
Transportation - Railroads—1.1% | |||
8,961 | Burlington Northern Santa Fe Corp., Pass Thru Cert., Series 99-2, 7.570%, 1/2/2021 | 9,101 | |
1,100,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 3.450%, 9/15/2021 | 1,125,529 | |
850,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2023 | 869,574 | |
TOTAL | 2,004,204 | ||
Transportation - Services—1.2% | |||
550,000 | FedEx Corp., Sr. Unsecd. Note, 3.100%, 8/5/2029 | 549,935 | |
250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.375%, 2/1/2022 | 255,299 | |
300,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.450%, 7/1/2024 | 311,600 | |
250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 4.450%, 1/29/2026 | 269,486 | |
125,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.250%, 9/1/2021 | 125,301 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Transportation - Services—continued | |||
$280,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.800%, 3/1/2022 | $283,481 | |
150,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.450%, 11/15/2021 | 153,367 | |
250,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.500%, 6/1/2021 | 255,129 | |
TOTAL | 2,203,598 | ||
Utility - Electric—5.3% | |||
310,000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025 | 323,247 | |
380,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series F, 2.950%, 12/15/2022 | 387,279 | |
500,000 | Berkshire Hathaway Energy Co., 3.500%, 2/1/2025 | 530,759 | |
210,000 | 2 | Consolidated Edison Co., Sr. Unsecd. Note, 2.000%, 5/15/2021 | 210,141 |
205,000 | 2 | Dominion Energy Gas Holdings LLC, Sr. Unsecd. Note, Series A, 2.500%, 11/15/2024 | 205,999 |
560,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 577,000 | |
250,000 | Duke Energy Corp., Sr. Unsecd. Note, 1.800%, 9/1/2021 | 249,774 | |
500,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 520,549 | |
1,000,000 | Electricite de France SA, Jr. Sub. Note, 144A, 5.625%, 7/22/2068 | 1,060,715 | |
180,000 | Emera US Finance LP, Sr. Unsecd. Note, 2.700%, 6/15/2021 | 181,673 | |
470,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 2.875%, 5/25/2022 | 476,003 | |
380,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.625%, 9/14/2025 | 414,568 | |
240,000 | Fortis, Inc./Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 245,080 | |
235,000 | Great Plains Energy, Inc., Note, 4.850%, 6/1/2021 | 242,410 | |
600,000 | National Rural Utilities Cooperative Finance Corp., Sec. Fac. Bond, 2.400%, 4/25/2022 | 606,494 | |
140,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 2.950%, 2/7/2024 | 144,343 | |
375,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.900%, 4/1/2022 | 382,683 | |
300,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.550%, 5/1/2027 | 318,653 | |
110,000 | NiSource Finance Corp., Sr. Unsecd. Note, 2.650%, 11/17/2022 | 111,355 | |
500,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.490%, 5/15/2027 | 525,852 | |
590,000 | 2 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 4.200%, 6/15/2022 | 615,387 |
425,000 | PSEG Power LLC, Sr. Unsecd. Note, 4.150%, 9/15/2021 | 438,015 | |
250,000 | Public Service Enterprises Group, Inc., Sr. Unsecd. Note, 2.000%, 11/15/2021 | 249,852 | |
250,000 | Southern Co., Sr. Unsecd. Note, 3.250%, 7/1/2026 | 260,380 | |
120,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 3.100%, 3/8/2022 | 122,549 | |
450,000 | Wisconsin Energy Corp., Sr. Unsecd. Note, 3.550%, 6/15/2025 | 477,700 | |
TOTAL | 9,878,460 | ||
Utility - Natural Gas—1.2% | |||
1,000,000 | 2 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 4.200%, 9/15/2021 | 1,030,451 |
600,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.750%, 3/1/2023 | 619,371 | |
250,000 | Sempra Energy, Sr. Unsecd. Note, 2.900%, 2/1/2023 | 254,970 | |
300,000 | Southeast Supply Header LLC, Sr. Unsecd. Note, 144A, 4.250%, 6/15/2024 | 305,774 | |
TOTAL | 2,210,566 | ||
Utility - Natural Gas Distributor—0.2% | |||
450,000 | Southern Co. Gas Capital, Sr. Unsecd. Note, 2.450%, 10/1/2023 | 453,125 | |
TOTAL CORPORATE BONDS (IDENTIFIED COST $172,747,467) | 180,728,435 | ||
MORTGAGE-BACKED SECURITIES—0.0% | |||
Federal Home Loan Mortgage Corporation—0.0% | |||
662 | Federal Home Loan Mortgage Corp., Pool C01051, 8.000%, 9/1/2030 | 769 | |
Government National Mortgage Association—0.0% | |||
1,373 | Government National Mortgage Association, Pool 1512, 7.500%, 12/20/2023 | 1,465 | |
2,105 | Government National Mortgage Association, Pool 2630, 6.500%, 8/20/2028 | 2,340 | |
2,971 | Government National Mortgage Association, Pool 2631, 7.000%, 8/20/2028 | 3,331 | |
4,098 | Government National Mortgage Association, Pool 2658, 6.500%, 10/20/2028 | 4,558 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$6,585 | Government National Mortgage Association, Pool 2701, 6.500%, 1/20/2029 | $7,324 | |
4,367 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 4,946 | |
984 | Government National Mortgage Association, Pool 3039, 6.500%, 2/20/2031 | 1,110 | |
3,109 | Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031 | 3,546 | |
11,131 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 12,633 | |
7,663 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 8,732 | |
17,033 | Government National Mortgage Association, Pool 3261, 6.500%, 7/20/2032 | 19,439 | |
753 | Government National Mortgage Association, Pool 493514, 8.000%, 9/15/2030 | 807 | |
4,520 | Government National Mortgage Association, Pool 516688, 8.000%, 8/15/2029 | 5,204 | |
TOTAL | 75,435 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $67,414) | 76,204 | ||
FOREIGN GOVERNMENTS/AGENCY—0.1% | |||
Sovereign—0.1% | |||
225,000 | Colombia, Government of, Sr. Unsecd. Note, 4.375%, 7/12/2021 (IDENTIFIED COST $224,835) | 232,034 | |
COLLATERALIZED MORTGAGE OBLIGATION—0.0% | |||
Commercial Mortgage—0.0% | |||
870 | TIAA Seasoned Commercial Mortgage Trust 2007-C4, Class AJ, 5.502%, 8/15/2039 (IDENTIFIED COST $863) | 870 | |
REPURCHASE AGREEMENTS—2.9% | |||
Finance - Banking—2.9% | |||
1,639,370 | Interest in $450,000,000 joint repurchase agreement 1.57%, dated 12/31/2019 under which BMO Capital Markets Corp. will repurchase securities provided as collateral for $450,039,250 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 11/20/2069 and the market value of those underlying securities was $460,414,804 (purchased with proceeds from securities lending collateral). | 1,639,370 | |
3,676,000 | Interest in $450,000,000 joint repurchase agreement 1.57%, dated 12/31/2019 under which BMO Capital Markets Corp. will repurchase securities provided as collateral for $450,039,250 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 11/20/2069 and the market value of those underlying securities was $460,414,804. | 3,676,000 | |
TOTAL REPURCHASE AGREEMENTS (IDENTIFIED COST $5,315,370) | 5,315,370 | ||
TOTAL INVESTMENT IN SECURITIES—100.0% (IDENTIFIED COST $178,355,949)3 | 186,352,913 | ||
OTHER ASSETS AND LIABILITIES - NET—0.0%4 | 47,618 | ||
TOTAL NET ASSETS—100% | $186,400,531 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
5U.S. Treasury Note 10-Year Long Futures | 80 | $10,273,750 | March 2020 | $(75,245) |
5U.S. Treasury Long Bond Short Futures | 23 | $3,585,844 | March 2020 | $83,049 |
5U.S. Treasury Ultra Bond Short Futures | 7 | $1,271,594 | March 2020 | $43,250 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $51,054 |
1 | Floating/variable note with current rate and current maturity or next reset date shown. |
2 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
3 | The cost of investments for federal tax purposes amounts to $178,356,097. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
5 | Non-income-producing security. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $180,728,435 | $— | $180,728,435 |
Mortgage-Backed Securities | — | 76,204 | — | 76,204 |
Foreign Governments/Agency | — | 232,034 | — | 232,034 |
Collateralized Mortgage Obligation | — | 870 | — | 870 |
Repurchase Agreements | — | 5,315,370 | — | 5,315,370 |
TOTAL SECURITIES | $— | $186,352,913 | $— | $186,352,913 |
Other Financial Instruments:1 | ||||
Assets | $126,299 | $— | $— | $126,299 |
Liabilities | (75,245) | — | — | (75,245) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $51,054 | $— | $— | $51,054 |
1 | Other financial instruments are futures contracts. |
BKNT | —Bank Notes |
GMTN | —Global Medium Term Note |
LIBOR | —London Interbank Offered Rate |
MTN | —Medium Term Note |
REIT | —Real Estate Investment Trust |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $10.65 | $11.05 | $10.98 | $10.97 | $11.42 |
Income From Investment Operations: | |||||
Net investment income1 | 0.31 | 0.30 | 0.31 | 0.34 | 0.37 |
Net realized and unrealized gain (loss) | 0.68 | (0.37) | 0.12 | 0.07 | (0.39) |
TOTAL FROM INVESTMENT OPERATIONS | 0.99 | (0.07) | 0.43 | 0.41 | (0.02) |
Less Distributions: | |||||
Distributions from net investment income | (0.33) | (0.33) | (0.36) | (0.40) | (0.43) |
Distributions from net realized gain | (0.00)2 | — | — | — | — |
TOTAL DISTRIBUTIONS | (0.33) | (0.33) | (0.36) | (0.40) | (0.43) |
Net Asset Value, End of Period | $11.31 | $10.65 | $11.05 | $10.98 | $10.97 |
Total Return3 | 9.44% | (0.59)% | 4.04% | 3.82% | (0.24)% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.74% | 0.74% | 0.74% | 0.73% | 0.73% |
Net investment income | 2.79% | 2.83% | 2.81% | 3.10% | 3.30% |
Expense waiver/reimbursement4 | 0.08% | 0.08% | 0.06% | 0.07% | 0.05% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $167,625 | $162,812 | $185,026 | $188,831 | $198,990 |
Portfolio turnover | 21% | 19% | 27% | 26% | 17% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Represents less than $0.01. |
3 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $10.62 | $11.01 | $10.94 | $10.93 | $11.37 |
Income From Investment Operations: | |||||
Net investment income1 | 0.28 | 0.27 | 0.28 | 0.31 | 0.34 |
Net realized and unrealized gain (loss) | 0.68 | (0.36) | 0.12 | 0.07 | (0.38) |
TOTAL FROM INVESTMENT OPERATIONS | 0.96 | (0.09) | 0.40 | 0.38 | (0.04) |
Less Distributions: | |||||
Distributions from net investment income | (0.30) | (0.30) | (0.33) | (0.37) | (0.40) |
Distributions from net realized gain | (0.00)2 | — | — | — | — |
TOTAL DISTRIBUTIONS | (0.30) | (0.30) | (0.33) | (0.37) | (0.40) |
Net Asset Value, End of Period | $11.28 | $10.62 | $11.01 | $10.94 | $10.93 |
Total Return3 | 9.17% | (0.78)% | 3.75% | 3.53% | (0.44)% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.99% | 0.99% | 0.99% | 0.98% | 0.98% |
Net investment income | 2.54% | 2.58% | 2.56% | 2.86% | 3.04% |
Expense waiver/reimbursement4 | 0.08% | 0.07% | 0.06% | 0.07% | 0.05% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $18,776 | $19,344 | $22,596 | $23,920 | $27,977 |
Portfolio turnover | 21% | 19% | 27% | 26% | 17% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Represents less than $0.01. |
3 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in securities, at value including $1,597,008 of securities loaned (identified cost $178,355,949) | $186,352,913 | |
Cash | 304 | |
Due from broker (Note 2) | 29,640 | |
Income receivable | 1,637,451 | |
Receivable for shares sold | 116,027 | |
Receivable for variation margin on futures contracts | 7,299 | |
TOTAL ASSETS | 188,143,634 | |
Liabilities: | ||
Payable for shares redeemed | $7,061 | |
Payable for collateral due to broker for securities lending | 1,639,370 | |
Payable to advisor (Note 5) | 2,660 | |
Payable for administrative fees (Note 5) | 402 | |
Payable for portfolio accounting fees | 47,669 | |
Payable for distribution services fee (Note 5) | 3,993 | |
Accrued expenses (Note 5) | 41,948 | |
TOTAL LIABILITIES | 1,743,103 | |
Net assets for 16,489,832 shares outstanding | $186,400,531 | |
Net Assets Consist of: | ||
Paid-in capital | $172,743,441 | |
Total distributable earnings (loss) | 13,657,090 | |
TOTAL NET ASSETS | $186,400,531 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
Net asset value per share ($167,624,679 ÷ 14,824,862 shares outstanding), no par value, unlimited shares authorized | $11.31 | |
Service Shares: | ||
Net asset value per share ($18,775,852 ÷ 1,664,970 shares outstanding), no par value, unlimited shares authorized | $11.28 |
Investment Income: | ||
Interest | $6,528,763 | |
Net income on securities loaned | 2,691 | |
TOTAL INCOME | 6,531,454 | |
Expenses: | ||
Investment adviser fee (Note 5) | $1,111,121 | |
Administrative fee (Note 5) | 153,253 | |
Custodian fees | 12,386 | |
Transfer agent fee | 17,544 | |
Directors'/Trustees' fees (Note 5) | 2,452 | |
Auditing fees | 26,830 | |
Legal fees | 9,160 | |
Portfolio accounting fees | 94,094 | |
Distribution services fee (Note 5) | 47,924 | |
Printing and postage | 69,905 | |
Miscellaneous (Note 5) | 26,710 | |
TOTAL EXPENSES | 1,571,379 | |
Waiver of investment adviser fee (Note 5) | (150,000) | |
Net expenses | 1,421,379 | |
Net investment income | 5,110,075 | |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||
Net realized gain on investments | 668,699 | |
Net realized loss on futures contracts | (112,111) | |
Net change in unrealized depreciation of investments | 10,920,333 | |
Net change in unrealized appreciation of futures contracts | (4,706) | |
Net realized and unrealized gain (loss) on investments and futures contracts | 11,472,215 | |
Change in net assets resulting from operations | $16,582,290 |
Year Ended December 31 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $5,110,075 | $5,349,919 |
Net realized gain (loss) | 556,588 | (92,357) |
Net change in unrealized appreciation/depreciation | 10,915,627 | (6,611,129) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 16,582,290 | (1,353,567) |
Distributions to Shareholders: | ||
Primary Shares | (4,859,559) | (5,280,660) |
Service Shares | (520,306) | (603,797) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (5,379,865) | (5,884,457) |
Share Transactions: | ||
Proceeds from sale of shares | 11,736,570 | 10,374,695 |
Net asset value of shares issued to shareholders in payment of distributions declared | 5,379,862 | 5,884,454 |
Cost of shares redeemed | (24,074,695) | (34,487,264) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (6,958,263) | (18,228,115) |
Change in net assets | 4,244,162 | (25,466,139) |
Net Assets: | ||
Beginning of period | 182,156,369 | 207,622,508 |
End of period | $186,400,531 | $182,156,369 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by Fund's Board of Trustees (the “Trustees”). |
■ | 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. |
■ | 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 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. |
■ | With respect to securities traded principally 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. |
Market Value of Securities Loaned | Collateral Received |
$1,597,008 | $1,639,370 |
Fair Value of Derivative Instruments | ||
Assets | ||
Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||
Interest Rate Contracts | Receivable for variation margin on futures contracts | $51,054* |
* | Includes cumulative net appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day's variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(112,111) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(4,706) |
Year Ended December 31 | 2019 | 2018 | ||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,017,072 | $11,219,212 | 926,837 | $9,908,467 |
Shares issued to shareholders in payment of distributions declared | 456,297 | 4,859,559 | 501,964 | 5,280,660 |
Shares redeemed | (1,939,194) | (21,305,622) | (2,887,517) | (30,973,082) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (465,825) | $(5,226,851) | (1,458,716) | $(15,783,955) |
Year Ended December 31 | 2019 | 2018 | ||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 47,093 | $517,358 | 43,477 | $466,228 |
Shares issued to shareholders in payment of distributions declared | 48,900 | 520,303 | 57,450 | 603,794 |
Shares redeemed | (252,919) | (2,769,073) | (330,799) | (3,514,182) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (156,926) | $(1,731,412) | (229,872) | $(2,444,160) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (622,751) | $(6,958,263) | (1,688,588) | $(18,228,115) |
2019 | 2018 | |
Ordinary income | $5,379,865 | $5,884,457 |
Undistributed ordinary income | $5,261,941 |
Unrealized appreciation | $7,996,816 |
Undistributed long-term capital gains | $398,333 |
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 | |
Primary Shares | 0.25% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | |
Service Shares | $47,924 |
Purchases | $37,804,797 |
Sales | $46,198,420 |
February 14, 2020
Beginning Account Value 7/1/2019 | Ending Account Value 12/31/2019 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,026.30 | $3.78 |
Service Shares | $1,000 | $1,024.50 | $5.05 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,021.50 | $3.77 |
Service Shares | $1,000 | $1,020.20 | $5.04 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 0.74% |
Service Shares | 0.99% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: September 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Thomas R. Donahue* Birth Date: October 20, 1958 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Director or Trustee of certain of the funds in the Federated Hermes Fund Family; Chief Financial Officer, Treasurer, Vice President and Assistant Secretary, Federated Hermes, Inc.; Chairman and Trustee, Federated Administrative Services; Chairman and Director, Federated Administrative Services, Inc.; Trustee and Treasurer, Federated Advisory Services Company; Director or Trustee and Treasurer, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, and Federated Investment Management Company; Director, MDTA LLC; Director, Executive Vice President and Assistant Secretary, Federated Securities Corp.; Director or Trustee and Chairman, Federated Services Company and Federated Shareholder Services Company; and Director and President, FII Holdings, Inc. Previous Positions: Director, Federated Hermes, Inc.; Assistant Secretary, Federated Investment Management Company, Federated Global Investment Management Company and Passport Research, LTD; Treasurer, Passport Research, LTD; Executive Vice President, Federated Securities Corp.; and Treasurer, FII Holdings, Inc. |
* | Family relationships and reasons for “interested” status: J. Christopher Donahue and Thomas R. Donahue are brothers. Both are “interested” due to their beneficial ownership of shares of Federated Hermes, Inc. and the positions they hold with Federated Hermes, Inc. and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, Chairman of the Compensation Committee, KLX Energy Services Holdings, Inc. (oilfield services); former Director of KLX Corp. (aerospace). Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc.; Director, Chair of the Audit Committee, Equifax, Inc.; Director, Member of the Audit Committee, Haverty Furniture Companies, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court's Board of Continuing Judicial Education and the Supreme Court's Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, St. Vincent College; and Director and Chair, North Catholic High School, Inc. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: September 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant and Author. Other Directorships Held: None. Qualifications: Mr. Mansfield has served as a Marine Corps officer and in several banking, business management, educational roles and directorship positions throughout his long career. He remains active as a Management Consultant and Author. |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CNX Resources Corporation (formerly known as CONSOL Energy Inc.); and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Complex and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Hermes, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes' taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated Hermes' money market products in 2004. She joined Federated Hermes in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916785
1 | The Bloomberg Barclays U.S. Mortgage Backed Securities Index (BBMBS) and Bloomberg Barclays U.S. Government Bond Index (BBGI) returned 6.35% and 6.83%, respectively. The Blended Index is being used for comparison purposes because, although it is not the Fund's broad-based securities market index, the Fund's Adviser believes it more closely reflects the market sectors in which the Fund invests. The Fund's broad-based securities market index is the BBMBS. Please see the footnotes to the line graph under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the Blended Index. |
2 | The value of some mortgage-backed securities may be particularly sensitive to changes in prevailing interest rates, and although the securities are generally supported by some form of government or private insurance, there is no assurance that private guarantors or insurers will meet their obligations. |
3 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
Federated Fund for U.S. Government Securities II | NA | BBMBS | BBGI | Blended Index | |
F | NA | I | I | I | |
12/31/2009 | 10,000 | 10,000 | 10,000 | 10,000 | |
12/31/2010 | 10,517 | 10,537 | 10,552 | 10,543 | |
12/31/2011 | 11,124 | 11,193 | 11,504 | 11,296 | |
12/31/2012 | 11,455 | 11,483 | 11,736 | 11,568 | |
12/31/2013 | 11,220 | 11,321 | 11,432 | 11,360 | |
12/31/2014 | 11,739 | 12,010 | 11,994 | 12,007 | |
12/31/2015 | 11,800 | 12,191 | 12,096 | 12,163 | |
12/31/2016 | 11,989 | 12,395 | 12,223 | 12,342 | |
12/31/2017 | 12,220 | 12,701 | 12,504 | 12,640 | |
12/31/2018 | 12,275 | 12,827 | 12,615 | 12,761 | |
12/31/2019 | 12,999 | 13,642 | 13,476 | 13,593 |
1 Year | 5 Years | 10 Years | |
Fund | 5.90% | 2.06% | 2.66% |
BBMBS | 6.35% | 2.58% | 3.15% |
BBGI | 6.83% | 2.36% | 3.03% |
Blended Index | 6.51% | 2.51% | 3.12% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBMBS, BBGI and Blended Index have been adjusted to reflect reinvestment of dividends on securities in the indexes. |
2 | The BBMBS covers agency mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC). The index is not adjusted to reflect sales loads, expenses or other fees that the Securities and Exchange Commission (SEC) requires to be reflected in the Fund's performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
3 | The BBGI is a market value weighted index of U.S. government and government agency securities (other than mortgage securities) with maturities of one year or more. The index is not adjusted to reflect sales loads, expenses or other fees that the SEC requires to be reflected in the Fund's performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
Type of Investments | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 55.2% |
U.S. Treasury Securities | 26.7% |
U.S. Government Agency Securities | 7.5% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 4.6% |
Non-Agency Mortgage-Backed Securities | 1.5% |
Non-Agency Commercial Mortgage-Backed Securities | 0.9% |
Asset-Backed Securities | 0.2% |
Cash Equivalents2 | 3.2% |
Other Assets and Liabilities—Net3 | 0.2% |
TOTAL | 100.0% |
1 | See the Fund's Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests. |
2 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount | Value | ||
U.S. TREASURIES—26.7% | |||
U.S. Treasury Bonds—4.1% | |||
$500,000 | 2.250%, 8/15/2046 | $486,171 | |
1,000,000 | 2.750%, 8/15/2042 | 1,068,290 | |
1,200,000 | 2.875%, 8/15/2045 | 1,312,468 | |
1,025,000 | 2.875%, 5/15/2049 | 1,129,640 | |
650,000 | 3.125%, 8/15/2044 | 739,988 | |
TOTAL | 4,736,557 | ||
U.S. Treasury Notes—22.6% | |||
525,000 | 1.375%, 9/30/2023 | 519,873 | |
3,000,000 | 1.750%, 5/15/2022 | 3,009,598 | |
2,000,000 | 2.000%, 2/15/2023 | 2,022,245 | |
850,000 | 2.250%, 11/15/2027 | 874,170 | |
3,000,000 | 2.375%, 1/31/2023 | 3,066,734 | |
3,000,000 | 2.500%, 1/15/2022 | 3,053,617 | |
1,800,000 | 2.500%, 3/31/2023 | 1,849,264 | |
1,000,000 | 2.500%, 2/28/2026 | 1,041,851 | |
8,250,000 | 2.750%, 8/15/2021 | 8,399,407 | |
2,500,000 | 2.750%, 7/31/2023 | 2,596,325 | |
TOTAL | 26,433,084 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $30,094,020) | 31,169,641 | ||
ASSET-BACKED SECURITIES—0.2% | |||
Other—0.2% | |||
133,872 | Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 | 134,889 | |
89,091 | Sofi Consumer Loan Program Trust 2016-2, Class A, 3.090%, 10/27/2025 | 89,297 | |
69,816 | Sofi Consumer Loan Program Trust 2016-3, Class A, 3.050%, 12/26/2025 | 69,947 | |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $292,749) | 294,133 | ||
GOVERNMENT AGENCIES—7.5% | |||
Federal Farm Credit System—1.1% | |||
1,000,000 | 5.750%, 12/7/2028 | 1,289,111 | |
Federal Home Loan Bank System—2.7% | |||
3,150,000 | 2.625%, 5/28/2020 | 3,163,444 | |
Federal Home Loan Mortgage Corporation—0.1% | |||
72,000 | 6.750%, 9/15/2029 | 100,701 | |
Tennessee Valley Authority Bonds—3.6% | |||
1,700,000 | 2.875%, 2/1/2027 | 1,788,995 | |
2,000,000 | 4.650%, 6/15/2035 | 2,484,314 | |
TOTAL | 4,273,309 | ||
TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST $7,821,534) | 8,826,565 | ||
MORTGAGE-BACKED SECURITIES—53.2% | |||
Federal Home Loan Mortgage Corporation—19.7% | |||
654,475 | 3.000%, 11/1/2045 | 673,512 | |
1,814,388 | 3.000%, 10/1/2046 | 1,856,958 | |
722,213 | 3.000%, 10/1/2046 | 744,800 | |
136,695 | 3.000%, 11/1/2046 | 139,903 | |
1,477,101 | 3.500%, 7/1/2042 | 1,555,082 | |
1,241,531 | 3.500%, 9/1/2043 | 1,306,299 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 344,353 | 3.500%, 5/1/2046 | $362,856 | |
2,757,695 | 3.500%, 11/1/2047 | 2,861,918 | |
2,192,085 | 4.000%, 12/1/2041 | 2,348,542 | |
249,339 | 4.000%, 1/1/2042 | 267,135 | |
1,517,961 | 4.000%, 3/1/2046 | 1,607,328 | |
641,971 | 4.000%, 11/1/2047 | 673,948 | |
308,726 | 4.000%, 12/1/2047 | 324,104 | |
414,999 | 4.000%, 4/1/2048 | 435,152 | |
2,137,812 | 4.000%, 7/1/2048 | 2,232,941 | |
11,141 | 4.500%, 10/1/2020 | 11,221 | |
350,652 | 4.500%, 8/1/2040 | 381,092 | |
776,001 | 4.500%, 12/1/2040 | 842,394 | |
1,106,851 | 4.500%, 4/1/2041 | 1,200,168 | |
11,972 | 5.000%, 2/1/2021 | 12,094 | |
382,068 | 5.000%, 1/1/2034 | 418,253 | |
111,215 | 5.000%, 5/1/2034 | 121,848 | |
97,488 | 5.000%, 4/1/2036 | 107,419 | |
24,410 | 5.000%, 5/1/2036 | 26,883 | |
20,994 | 5.000%, 6/1/2036 | 23,130 | |
178,941 | 5.000%, 6/1/2040 | 196,719 | |
4,051 | 5.500%, 12/1/2020 | 4,100 | |
636,707 | 5.500%, 5/1/2034 | 710,526 | |
13,881 | 5.500%, 12/1/2035 | 15,604 | |
152,589 | 5.500%, 2/1/2036 | 171,894 | |
55,758 | 5.500%, 5/1/2036 | 62,735 | |
9,701 | 5.500%, 5/1/2036 | 10,900 | |
13,441 | 5.500%, 5/1/2036 | 15,150 | |
4,527 | 5.500%, 6/1/2036 | 5,089 | |
2,759 | 5.500%, 6/1/2036 | 3,101 | |
104,991 | 5.500%, 11/1/2037 | 118,040 | |
197,938 | 5.500%, 1/1/2038 | 222,536 | |
187,666 | 5.500%, 3/1/2040 | 209,594 | |
6,040 | 6.000%, 1/1/2032 | 6,851 | |
5,289 | 6.000%, 1/1/2032 | 5,931 | |
28,464 | 6.000%, 2/1/2032 | 32,106 | |
123,897 | 6.000%, 4/1/2036 | 142,085 | |
25,029 | 6.000%, 5/1/2036 | 28,820 | |
196,739 | 6.000%, 6/1/2037 | 226,782 | |
25,838 | 6.000%, 7/1/2037 | 29,698 | |
14,376 | 6.500%, 6/1/2022 | 14,924 | |
1,117 | 6.500%, 5/1/2024 | 1,200 | |
8,154 | 6.500%, 3/1/2029 | 9,138 | |
3,057 | 6.500%, 6/1/2029 | 3,415 | |
3,104 | 6.500%, 7/1/2029 | 3,486 | |
559 | 6.500%, 9/1/2029 | 623 | |
2,127 | 7.000%, 12/1/2029 | 2,427 | |
1,006 | 7.000%, 6/1/2030 | 1,137 | |
213 | 7.000%, 11/1/2030 | 245 | |
180,792 | 7.000%, 4/1/2032 | 210,591 | |
18,069 | 7.500%, 12/1/2030 | 21,014 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 11,046 | 7.500%, 1/1/2031 | $12,813 | |
3,413 | 8.500%, 5/1/2030 | 3,957 | |
924 | 9.000%, 2/1/2025 | 1,008 | |
896 | 9.000%, 5/1/2025 | 986 | |
TOTAL | 23,040,205 | ||
Federal National Mortgage Association—20.5% | |||
1,293,530 | 3.000%, 10/1/2046 | 1,323,879 | |
266,774 | 3.000%, 11/1/2046 | 274,200 | |
1,896,254 | 3.000%, 11/1/2046 | 1,940,744 | |
167,475 | 3.000%, 1/1/2047 | 171,195 | |
1,287,215 | 3.000%, 1/1/2047 | 1,317,416 | |
72,937 | 3.000%, 2/1/2047 | 75,218 | |
922,042 | 3.000%, 2/1/2048 | 945,692 | |
484,113 | 3.000%, 2/1/2048 | 496,531 | |
472,942 | 3.000%, 7/1/2049 | 479,605 | |
2,742,425 | 3.500%, 9/1/2042 | 2,892,349 | |
1,640,477 | 3.500%, 8/1/2046 | 1,707,859 | |
1,345,501 | 3.500%, 9/1/2046 | 1,400,346 | |
2,226,642 | 3.500%, 12/1/2046 | 2,314,273 | |
1,437,696 | 3.500%, 12/1/2047 | 1,493,379 | |
751,888 | 3.500%, 1/1/2048 | 792,288 | |
412,655 | 4.000%, 2/1/2041 | 442,236 | |
1,080,421 | 4.000%, 12/1/2041 | 1,157,872 | |
874,833 | 4.000%, 4/1/2042 | 936,726 | |
397,070 | 4.000%, 2/1/2048 | 416,476 | |
680,345 | 4.000%, 2/1/2048 | 713,170 | |
813,571 | 4.000%, 2/1/2048 | 854,858 | |
336,766 | 4.500%, 10/1/2041 | 364,948 | |
290,378 | 5.000%, 7/1/2034 | 318,245 | |
35,724 | 5.000%, 11/1/2035 | 39,326 | |
19,555 | 5.500%, 11/1/2021 | 20,031 | |
124,446 | 5.500%, 9/1/2034 | 139,406 | |
71,797 | 5.500%, 1/1/2036 | 80,918 | |
85,460 | 5.500%, 4/1/2036 | 96,229 | |
17,461 | 6.000%, 8/1/2021 | 17,905 | |
3,705 | 6.000%, 7/1/2029 | 4,094 | |
2,022 | 6.000%, 5/1/2031 | 2,270 | |
10,320 | 6.000%, 5/1/2036 | 11,856 | |
5,573 | 6.000%, 7/1/2036 | 6,420 | |
187,599 | 6.000%, 7/1/2036 | 215,593 | |
48,334 | 6.000%, 9/1/2037 | 55,604 | |
86,545 | 6.000%, 11/1/2037 | 99,561 | |
42,477 | 6.000%, 12/1/2037 | 46,360 | |
1,828 | 6.500%, 6/1/2029 | 2,071 | |
2,308 | 6.500%, 6/1/2029 | 2,608 | |
657 | 6.500%, 6/1/2029 | 743 | |
341 | 6.500%, 7/1/2029 | 351 | |
251 | 6.500%, 7/1/2029 | 283 | |
27 | 6.500%, 7/1/2029 | 30 | |
317 | 6.500%, 7/1/2029 | 356 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 233 | 6.500%, 7/1/2029 | $263 | |
3,489 | 6.500%, 7/1/2029 | 3,946 | |
239 | 6.500%, 8/1/2029 | 264 | |
4,236 | 6.500%, 9/1/2030 | 4,820 | |
27,978 | 6.500%, 6/1/2031 | 31,917 | |
22,086 | 6.500%, 4/1/2032 | 25,070 | |
1,693 | 7.000%, 2/1/2024 | 1,816 | |
12,993 | 7.000%, 10/1/2029 | 14,913 | |
3,346 | 7.000%, 10/1/2029 | 3,798 | |
4,315 | 7.000%, 11/1/2030 | 4,985 | |
51,460 | 7.000%, 4/1/2031 | 59,624 | |
88,112 | 7.000%, 4/1/2032 | 102,604 | |
2,035 | 7.500%, 8/1/2028 | 2,309 | |
232 | 7.500%, 9/1/2028 | 266 | |
3,721 | 7.500%, 2/1/2030 | 4,309 | |
1,779 | 8.000%, 7/1/2030 | 2,073 | |
TOTAL | 23,934,497 | ||
Government Agency—0.2% | |||
281,373 | FDIC Trust 2013-R2, Class A, 1.250%, 3/25/2033 | 279,925 | |
Government National Mortgage Association—11.9% | |||
2,577,116 | 3.000%, 11/20/2047 | 2,654,178 | |
3,679,199 | 3.500%, 1/20/2048 | 3,845,507 | |
1,177,956 | 3.500%, 2/20/2048 | 1,235,988 | |
830,975 | 3.500%, 6/20/2049 | 857,630 | |
843,839 | 3.500%, 9/20/2049 | 873,742 | |
848,208 | 3.500%, 11/20/2049 | 879,922 | |
549,869 | 4.500%, 6/20/2039 | 598,727 | |
492,184 | 4.500%, 10/15/2039 | 537,502 | |
630,729 | 4.500%, 8/20/2040 | 688,694 | |
300,618 | 5.000%, 7/15/2034 | 328,586 | |
24,078 | 6.000%, 4/15/2032 | 26,942 | |
46,602 | 6.000%, 5/15/2032 | 52,493 | |
78,313 | 6.000%, 4/15/2036 | 89,200 | |
228,253 | 6.000%, 5/15/2036 | 259,601 | |
210,249 | 6.000%, 5/15/2036 | 239,245 | |
40,007 | 6.000%, 7/20/2036 | 45,456 | |
38,524 | 6.000%, 5/20/2037 | 43,889 | |
219,732 | 6.000%, 7/20/2038 | 251,138 | |
4,483 | 6.500%, 12/15/2023 | 4,742 | |
8,147 | 6.500%, 5/15/2024 | 8,648 | |
2,114 | 6.500%, 6/15/2029 | 2,363 | |
4,801 | 6.500%, 6/15/2031 | 5,390 | |
5,004 | 6.500%, 7/20/2031 | 5,677 | |
4,714 | 6.500%, 8/20/2031 | 5,345 | |
24,964 | 6.500%, 10/15/2031 | 28,423 | |
46,406 | 6.500%, 12/15/2031 | 52,468 | |
7,009 | 6.500%, 4/15/2032 | 7,937 | |
24,841 | 6.500%, 5/15/2032 | 28,188 | |
203,692 | 6.500%, 5/15/2032 | 232,756 | |
1,652 | 7.500%, 10/15/2029 | 1,905 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$ 384 | 7.500%, 10/15/2029 | $444 | |
4,612 | 7.500%, 3/20/2030 | 5,293 | |
1,007 | 8.000%, 4/15/2030 | 1,164 | |
TOTAL | 13,899,183 | ||
1 | Uniform Mortgage-Backed Securities, TBA—0.9% | ||
1,000,000 | 3.000%, 1/20/2050 | 1,027,210 | |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $58,902,092) | 62,181,020 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—3.5% | |||
Federal National Mortgage Association—1.0% | |||
1,123,034 | 2 | Federal National Mortgage Association REMIC, Series 2019-56, Class AF, 2.192% (1-month USLIBOR +0.400%), 10/25/2049 | 1,120,727 |
Government National Mortgage Association—1.0% | |||
1,125,374 | Government National Mortgage Association REMIC, Series 2015-47, Class AE, 2.900%, 11/16/2055 | 1,139,924 | |
Non-Agency Mortgage-Backed Securities—1.5% | |||
120,120 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 71,641 | |
243,805 | Credit Suisse Mortgage Trust 2014-WIN2, Class A2, 3.500%, 10/25/2044 | 245,785 | |
533,110 | Credit Suisse Mortgage Trust 2015-WIN1, Class A6, 3.500%, 12/25/2044 | 537,494 | |
950,825 | Sequoia Mortgage Trust 2014-4, Class A5, 3.500%, 11/25/2044 | 958,813 | |
TOTAL | 1,813,733 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $4,113,819) | 4,074,384 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—5.5% | |||
Agency Commercial Mortgage-Backed Securities—4.6% | |||
1,455,000 | FHLMC REMIC, Series K064, Class A2, 3.224%, 3/25/2027 | 1,538,892 | |
1,143,000 | FHLMC REMIC, Series K727, Class A2, 2.946%, 7/25/2024 | 1,177,472 | |
2,500,000 | FHLMC REMIC, Series KC03, Class A2, 3.499%, 1/25/2026 | 2,625,135 | |
TOTAL | 5,341,499 | ||
Non-Agency Commercial Mortgage-Backed Securities—0.9% | |||
1,100,000 | Fontainebleau Miami Beach Trust, Class A, 3.195%, 12/10/2036 | 1,124,064 | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $6,323,522) | 6,465,563 | ||
REPURCHASE AGREEMENT—3.2% | |||
3,699,000 | 3 | Interest in $450,000,000 joint repurchase agreement 1.57%, dated 12/31/2019 under which BMO Capital Markets Corp. will repurchase securities provided as collateral for $450,039,250 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 11/20/2069 and the market value of those underlying securities was $460,414,804. (IDENTIFIED COST $3,699,000) | 3,699,000 |
TOTAL INVESTMENT IN SECURITIES—99.8% (IDENTIFIED COST $111,246,736)4 | 116,710,306 | ||
OTHER ASSETS AND LIABILITIES - NET—0.2%5 | 224,719 | ||
TOTAL NET ASSETS—100% | $116,935,025 |
1 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | All or a portion of these securities are segregated pending settlement of when issued and delayed delivery transactions. |
4 | The cost of investments for federal tax purposes amounts to $111,162,188. |
5 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
FDIC | —Federal Deposit Insurance Corporation |
FHLMC | —Federal Home Loan Mortgage Corporation |
LIBOR | —London Interbank Offered Rate |
REMIC | —Real Estate Mortgage Investment Conduit |
TBA | —To Be Announced |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $10.52 | $10.73 | $10.78 | $10.88 | $11.12 |
Income From Investment Operations: | |||||
Net investment income1 | 0.27 | 0.24 | 0.23 | 0.23 | 0.25 |
Net realized and unrealized gain (loss) | 0.34 | (0.20) | (0.03) | (0.06) | (0.19) |
TOTAL FROM INVESTMENT OPERATIONS | 0.61 | 0.04 | 0.20 | 0.17 | 0.06 |
Less Distributions: | |||||
Distributions from net investment income | (0.26) | (0.25) | (0.25) | (0.27) | (0.30) |
Net Asset Value, End of Period | $10.87 | $10.52 | $10.73 | $10.78 | $10.88 |
Total Return2 | 5.90% | 0.45% | 1.92% | 1.61% | 0.52% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.78% | 0.78% | 0.78% | 0.76% | 0.76% |
Net investment income | 2.49% | 2.28% | 2.13% | 2.12% | 2.25% |
Expense waiver/reimbursement3 | 0.10% | 0.08% | 0.07% | 0.06% | 0.03% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $116,935 | $120,654 | $132,958 | $152,795 | $168,742 |
Portfolio turnover | 65% | 64% | 24% | 53% | 34% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 61% | 64% | 24% | 41% | 27% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in securities, at value (identified cost $111,246,736) | $116,710,306 | |
Cash | 495 | |
Income receivable | 511,803 | |
Receivable for investments sold | 539,958 | |
Receivable for shares sold | 267,048 | |
TOTAL ASSETS | 118,029,610 | |
Liabilities: | ||
Payable for investments purchased | $1,027,292 | |
Payable for shares redeemed | 4,674 | |
Payable for investment adviser fee (Note 5) | 1,688 | |
Payable for administrative fees (Note 5) | 251 | |
Payable for portfolio accounting fees | 50,376 | |
Accrued expenses (Note 5) | 10,304 | |
TOTAL LIABILITIES | 1,094,585 | |
Net assets for 10,757,099 shares outstanding | $116,935,025 | |
Net Assets Consist of: | ||
Paid-in capital | $110,419,543 | |
Total distributable earnings (loss) | 6,515,482 | |
TOTAL NET ASSETS | $116,935,025 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$116,935,025 ÷ 10,757,099 shares outstanding, no par value, unlimited shares authorized | $10.87 |
Investment Income: | ||
Interest | $3,892,124 | |
Net income on securities loaned | 13 | |
TOTAL INCOME | 3,892,137 | |
Expenses: | ||
Investment adviser fee (Note 5) | $715,049 | |
Administrative fee (Note 5) | 95,981 | |
Custodian fees | 16,850 | |
Transfer agent fee | 11,721 | |
Directors'/Trustees' fees (Note 5) | 1,994 | |
Auditing fees | 26,252 | |
Legal fees | 9,218 | |
Portfolio accounting fees | 100,417 | |
Printing and postage | 42,108 | |
Miscellaneous (Note 5) | 22,711 | |
TOTAL EXPENSES | 1,042,301 | |
Waiver of investment adviser fee (Note 5) | (114,711) | |
Net expenses | 927,590 | |
Net investment income | 2,964,547 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized gain on investments | 19,228 | |
Net change in unrealized appreciation of investments | 3,916,810 | |
Net realized and unrealized gain (loss) on investments | 3,936,038 | |
Change in net assets resulting from operations | $6,900,585 |
Year Ended December 31 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $2,964,547 | $2,850,913 |
Net realized gain (loss) | 19,228 | (1,264,848) |
Net change in unrealized appreciation/depreciation | 3,916,810 | (1,271,303) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 6,900,585 | 314,762 |
Distributions to Shareholders | (2,868,385) | (3,072,484) |
Share Transactions: | ||
Proceeds from sale of shares | 12,195,308 | 12,071,536 |
Net asset value of shares issued to shareholders in payment of distributions declared | 2,868,385 | 3,072,484 |
Cost of shares redeemed | (22,814,592) | (24,690,505) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (7,750,899) | (9,546,485) |
Change in net assets | (3,718,699) | (12,304,207) |
Net Assets: | ||
Beginning of period | 120,653,724 | 132,957,931 |
End of period | $116,935,025 | $120,653,724 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | 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. |
■ | 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 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. |
Year Ended December 31 | 2019 | 2018 |
Shares sold | 1,141,328 | 1,157,893 |
Shares issued to shareholders in payment of distributions declared | 275,806 | 298,589 |
Shares redeemed | (2,134,461) | (2,377,228) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (717,327) | (920,746) |
2019 | 2018 | |
Ordinary income | $2,868,385 | $3,072,484 |
Undistributed ordinary income | $2,991,083 |
Net unrealized appreciation | $5,526,621 |
Capital loss carryforwards | $(2,002,222) |
Short-Term | Long-Term | Total |
$436,847 | $1,565,375 | $2,002,222 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Purchases | $8,683,855 |
Sales | $3,781,820 |
February 14, 2020
Beginning Account Value 7/1/2019 | Ending Account Value 12/31/2019 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,015.90 | $3.96 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,021.30 | $3.97 |
1 | Expenses are equal to the Fund's annualized net expense ratio of 0.78%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: September 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Thomas R. Donahue* Birth Date: October 20, 1958 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Director or Trustee of certain of the funds in the Federated Hermes Fund Family; Chief Financial Officer, Treasurer, Vice President and Assistant Secretary, Federated Hermes, Inc.; Chairman and Trustee, Federated Administrative Services; Chairman and Director, Federated Administrative Services, Inc.; Trustee and Treasurer, Federated Advisory Services Company; Director or Trustee and Treasurer, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, and Federated Investment Management Company; Director, MDTA LLC; Director, Executive Vice President and Assistant Secretary, Federated Securities Corp.; Director or Trustee and Chairman, Federated Services Company and Federated Shareholder Services Company; and Director and President, FII Holdings, Inc. Previous Positions: Director, Federated Hermes, Inc.; Assistant Secretary, Federated Investment Management Company, Federated Global Investment Management Company and Passport Research, LTD; Treasurer, Passport Research, LTD; Executive Vice President, Federated Securities Corp.; and Treasurer, FII Holdings, Inc. |
* | Family relationships and reasons for “interested” status: J. Christopher Donahue and Thomas R. Donahue are brothers. Both are “interested” due to their beneficial ownership of shares of Federated Hermes, Inc. and the positions they hold with Federated Hermes, Inc. and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, Chairman of the Compensation Committee, KLX Energy Services Holdings, Inc. (oilfield services); former Director of KLX Corp. (aerospace). Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc.; Director, Chair of the Audit Committee, Equifax, Inc.; Director, Member of the Audit Committee, Haverty Furniture Companies, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court's Board of Continuing Judicial Education and the Supreme Court's Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, St. Vincent College; and Director and Chair, North Catholic High School, Inc. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: September 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant and Author. Other Directorships Held: None. Qualifications: Mr. Mansfield has served as a Marine Corps officer and in several banking, business management, educational roles and directorship positions throughout his long career. He remains active as a Management Consultant and Author. |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CNX Resources Corporation (formerly known as CONSOL Energy Inc.); and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Complex and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Hermes, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes' taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated Hermes' money market products in 2004. She joined Federated Hermes in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Item 2. | Code of Ethics |
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the "Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers") that applies to the registrant's Principal Executive Officer and Principal Financial Officer; the registrant's Principal Financial Officer also serves as the Principal Accounting Officer.
(c) There was no amendment to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(d) There was no waiver granted, either actual or implicit, from a provision to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(e) Not Applicable
(f)(3) The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant at 1-800-341-7400, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.
Item 3. Audit Committee Financial Expert
The registrant's Board has determined that each of the following members of the Board's Audit Committee is an “audit committee financial expert,” and is "independent," for purposes of this Item: John T. Collins, G. Thomas Hough and Thomas M. O'Neill.
Item 4. | Principal Accountant Fees and Services |
(a) Audit Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2019 - $181,350
Fiscal year ended 2018 - $181,350
(b) Audit-Related Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2019 - $0
Fiscal year ended 2018 - $0
Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(c) Tax Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2019 - $0
Fiscal year ended 2018 - $0
Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(d) All Other Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2019 - $0
Fiscal year ended 2018 - $0
Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(e)(1) Audit Committee Policies regarding Pre-approval of Services.
The Audit Committee is required to pre-approve audit and non-audit services performed by the independent auditor in order to assure that the provision of such services do not impair the auditor’s independence. Unless a type of service to be provided by the independent auditor has received general pre-approval, it will require specific pre-approval by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
Certain services have the general pre-approval of the Audit Committee. The term of the general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee specifically provides for a different period. The Audit Committee will annually review the services that may be provided by the independent auditor without obtaining specific pre-approval from the Audit Committee and may grant general pre-approval for such services. The Audit Committee will revise the list of general pre-approved services from time to time, based on subsequent determinations. The Audit Committee will not delegate its responsibilities to pre-approve services performed by the independent auditor to management.
The Audit Committee has delegated pre-approval authority to its Chairman. The Chairman will report any pre-approval decisions to the Audit Committee at its next scheduled meeting. The Committee will designate another member with such pre-approval authority when the Chairman is unavailable.
AUDIT SERVICES
The annual Audit services engagement terms and fees will be subject to the specific pre-approval of the Audit Committee. The Audit Committee must approve any changes in terms, conditions and fees resulting from changes in audit scope, registered investment company (RIC) structure or other matters.
In addition to the annual Audit services engagement specifically approved by the Audit Committee, the Audit Committee may grant general pre-approval for other Audit Services, which are those services that only the independent auditor reasonably can provide. The Audit Committee has pre-approved certain Audit services, all other Audit services must be specifically pre-approved by the Audit Committee.
AUDIT-RELATED SERVICES
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the Company’s financial statements or that are traditionally performed by the independent auditor. The Audit Committee believes that the provision of Audit-related services does not impair the independence of the auditor, and has pre-approved certain Audit-related services, all other Audit-related services must be specifically pre-approved by the Audit Committee.
TAX SERVICES
The Audit Committee believes that the independent auditor can provide Tax services to the Company such as tax compliance, tax planning and tax advice without impairing the auditor’s independence. However, the Audit Committee will not permit the retention of the independent auditor in connection with a transaction initially recommended by the independent auditor, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has pre-approved certain Tax services, all Tax services involving large and complex transactions must be specifically pre-approved by the Audit Committee.
ALL OTHER SERVICES
With respect to the provision of services other than audit, review or attest services the pre-approval requirement is waived if:
(1) | The aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues paid by the registrant, the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant to its accountant during the fiscal year in which the services are provided; |
(2) | Such services were not recognized by the registrant, the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant at the time of the engagement to be non-audit services; and |
(3) | Such services are promptly brought to the attention of the Audit Committee of the issuer and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee who are members of the board of directors to whom authority to grant such approvals has been delegated by the Audit Committee. |
The Audit Committee may grant general pre-approval to those permissible non-audit services classified as All Other services that it believes are routine and recurring services, and would not impair the independence of the auditor.
The SEC’s rules and relevant guidance should be consulted to determine the precise definitions of prohibited non-audit services and the applicability of exceptions to certain of the prohibitions.
PRE-APPROVAL FEE LEVELS
Pre-approval fee levels for all services to be provided by the independent auditor will be established annually by the Audit Committee. Any proposed services exceeding these levels will require specific pre-approval by the Audit Committee.
PROCEDURES
Requests or applications to provide services that require specific approval by the Audit Committee will be submitted to the Audit Committee by both the independent auditor and the Principal Accounting Officer and/or Internal Auditor, and must include a joint statement as to whether, in their view, the request or application is consistent with the SEC’s rules on auditor independence.
(e)(2) Percentage of services identified in items 4(b) through 4(d) that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:
4(b)
Fiscal year ended 2019 – 0%
Fiscal year ended 2018 - 0%
Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(c)
Fiscal year ended 2019 – 0%
Fiscal year ended 2018 – 0%
Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(d)
Fiscal year ended 2019 – 0%
Fiscal year ended 2018 – 0%
Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
(f) | NA |
(g) | Non-Audit Fees billed to the registrant, the registrant’s investment adviser, and certain entities controlling, controlled by or under common control with the investment adviser: |
Fiscal year ended 2019 - $68,304
Fiscal year ended 2018 - $0
(h) | The registrant’s Audit Committee has considered that the provision of non-audit services that were rendered to the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
The registrant’s management and Audit Committee continue to believe that the registrant’s registered public accounting firm, KPMG LLP (“KPMG”), has the ability to exercise objective and impartial judgment on all issues encompassed within its audit services. KPMG is required to make a determination that it satisfies certain independence requirements under the federal securities laws. Like other registrants, there is a risk that activities or relationships of KPMG, or its partners or employees, can prevent a determination from being made that it satisfies such independence requirements with respect to the registrant, which could render it ineligible to serve as the registrant’s independent public accountant.
In its required communications to the Audit Committee of the registrant’s Board, KPMG informed the Audit Committee that KPMG and/or covered person professionals within KPMG maintain lending relationships with certain owners of greater than 10% of the shares of the registrant and/or certain investment companies within the “investment company complex” as defined under Rule 2-01(f)(14) of Regulation S-X, which are affiliates of the registrant. KPMG has advised the Audit Committee that these lending relationships implicate Rule 2-01(c)(1)(ii)(A) of Regulation S-X (referred to as the “Loan Rule”). The Loan Rule prohibits an independent public accountant, or covered person professionals at such firm, from having a financial relationship (such as a loan) with a lender that is a record or beneficial owner of more than 10% of an audit client’s equity securities. For purposes of the Loan Rule, audit clients include the registrant, as well as all registered investment companies audited by KPMG (collectively, the “KPMG Funds”).
KPMG informed the Audit Committee that KPMG believes that these lending relationships described above do not and will not impair KPMG’s ability to exercise objective and impartial judgment in connection with financial statement audits of the registrant and a reasonable investor with knowledge of all relevant facts and circumstances would conclude that KPMG has been and is capable of objective and impartial judgment on all issues encompassed within KPMG’s audits.
On June 20, 2016, the Division of Investment Management of the Securities and Exchange Commission (“SEC”) issued a no-action letter to another mutual fund complex (see Fidelity Management & Research Company et al., No-Action Letter) related to similar Loan Rule matters as those described above (the “Letter”). In the Letter, the SEC Staff confirmed that it would not recommend enforcement action against an investment company that relied on the audit services performed by an independent public accountant where the Loan Rule was implicated in certain specified circumstances provided that: (1) the auditor has complied with PCAOB Rule 3526(b)(1) and 3526(b)(2); (2) the Loan Rule is implicated because of lending relationships; and (3) notwithstanding such lending relationships that implicate the Loan Rule, the auditor has concluded that it is objective and impartial with respect to the issues encompassed within its engagement as auditor of the funds. The circumstances described in the Letter are substantially similar to the circumstances that implicated the Loan Rule with respect to EY and the registrant. On September 22, 2017, the SEC extended the expiration of the Letter until the effectiveness of any amendments to the Loan Rule designed to address the concerns in the Letter. On June 18, 2019, the SEC adopted amendments (effective October 3, 2019) to the Loan Rule, which, refocus the analysis that must be conducted to determine whether an auditor is independent when the auditor has a lending relationship with certain shareholders of an audit client at any time during an audit or professional engagement period.
If it were to be determined that the relief available under the Letter was improperly relied upon, or that the independence requirements under the federal securities laws were not complied with regarding the registrant, for certain periods, any of the registrant’s filings with the SEC which contain financial statements of the registrant for such periods may be determined not to be consistent with or comply with applicable federal securities laws, the registrant’s ability to offer shares under its current registration statement may be impacted, andcertain financial reporting and/or other covenants with, and representations and warranties to, the registrant’s lender under its committed line of credit may be impacted. Such eventscould have a material adverse effect on the registrant and the KPMG Funds.
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 registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual 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.
RegistrantFederated Insurance Series
By/S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
DateFebruary 14, 2020
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/ John B. Fisher
John B. Fisher, Principal Executive Officer
DateFebruary 14, 2020
By/S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
DateFebruary 14, 2020