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 Hermes Insurance Series
______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 12/31/20
Date of Reporting Period: Six months ended 06/30/20
Item 1. | Reports to Stockholders |
Share Class | Primary | Service |
Security Type | Percentage of Total Net Assets |
U.S. Government Agency Securities | 31.6% |
U.S. Treasury Securities | 33.7% |
Repurchase Agreements | 34.5% |
Other Assets and Liabilities—Net2 | 0.2% |
TOTAL | 100.0% |
Securities With an Effective Maturity of: | Percentage of Total Net Assets |
1-7 Days | 72.5% |
8-30 Days | 5.7% |
31-90 Days | 10.5% |
91-180 Days | 8.9% |
181 Days or more | 2.2% |
Other Assets and Liabilities—Net2 | 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 | 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—31.6% | |||
$2,850,000 | 1 | Federal Home Loan Bank System Discount Notes, 0.400%—1.380%, 7/16/2020 - 3/19/2021 | $2,845,938 |
1,300,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.100% (Secured Overnight Financing Rate +0.020%), 7/1/2020 | 1,300,000 |
250,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.107% (3-month USLIBOR -0.200%), 9/18/2020 | 250,000 |
1,050,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.110% (Secured Overnight Financing Rate +0.030%), 7/1/2020 | 1,050,000 |
500,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.115% (Secured Overnight Financing Rate +0.035%), 7/1/2020 | 500,000 |
400,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.130% (Secured Overnight Financing Rate +0.050%), 7/1/2020 | 400,000 |
750,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.134%—0.140% (1-month USLIBOR -0.050%), 7/20/2020 - 7/27/2020 | 750,000 |
1,150,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.139%—0.154% (1-month USLIBOR -0.040%), 7/4/2020 - 7/20/2020 | 1,150,000 |
300,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.145% (Secured Overnight Financing Rate +0.065%), 7/1/2020 | 300,000 |
350,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.155% (Secured Overnight Financing Rate +0.075%), 7/1/2020 | 350,000 |
4,500,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.160% (Secured Overnight Financing Rate +0.080%), 7/1/2020 | 4,500,000 |
300,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.165% (1-month USLIBOR -0.030%), 7/16/2020 | 300,000 |
250,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.165% (Secured Overnight Financing Rate +0.085%), 7/1/2020 | 250,000 |
1,800,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.180% (Secured Overnight Financing Rate +0.100%), 7/1/2020 | 1,800,000 |
750,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.185% (Secured Overnight Financing Rate +0.105%), 7/1/2020 | 750,000 |
300,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.195% (1-month USLIBOR +0.000%), 7/16/2020 | 300,000 |
300,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.195% (Secured Overnight Financing Rate +0.115%), 7/1/2020 | 299,999 |
700,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.200% (Secured Overnight Financing Rate +0.120%), 7/1/2020 | 700,000 |
300,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.210% (Secured Overnight Financing Rate +0.130%), 7/1/2020 | 300,000 |
400,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.212% (3-month USLIBOR -0.235%), 8/10/2020 | 400,000 |
500,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.213% (1-month USLIBOR +0.020%), 7/19/2020 | 500,000 |
200,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.215% (Secured Overnight Financing Rate +0.135%), 7/1/2020 | 200,000 |
350,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.230% (Secured Overnight Financing Rate +0.150%), 7/1/2020 | 350,000 |
200,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.233% (1-month USLIBOR +0.040%), 7/17/2020 | 200,000 |
300,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.250% (Secured Overnight Financing Rate +0.170%), 7/1/2020 | 300,000 |
600,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.310% (Secured Overnight Financing Rate +0.230%), 7/1/2020 | 600,000 |
400,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.425% (3-month USLIBOR -0.115%), 8/5/2020 | 400,000 |
500,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 0.936% (3-month USLIBOR -0.240%), 7/16/2020 | 500,000 |
500,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 1.137% (3-month USLIBOR -0.250%), 7/7/2020 | 500,000 |
500,000 | 2 | Federal Home Loan Mortgage Corp. Floating Rate Notes, 0.110% (Secured Overnight Financing Rate +0.030%), 7/1/2020 | 500,000 |
400,000 | 2 | Federal Home Loan Mortgage Corp. Floating Rate Notes, 0.120% (Secured Overnight Financing Rate +0.040%), 7/1/2020 | 400,000 |
250,000 | 2 | Federal National Mortgage Association Floating Rate Notes, 0.250% (Secured Overnight Financing Rate +0.170%), 7/1/2020 | 250,000 |
300,000 | 2 | Federal National Mortgage Association Floating Rate Notes, 0.270% (Secured Overnight Financing Rate +0.190%), 7/1/2020 | 299,942 |
200,000 | 2 | Federal National Mortgage Association Floating Rate Notes, 0.280% (Secured Overnight Financing Rate +0.200%), 7/1/2020 | 200,000 |
200,000 | 2 | Federal National Mortgage Association Floating Rate Notes, 0.300% (Secured Overnight Financing Rate +0.220%), 7/1/2020 | 200,000 |
250,000 | 2 | Federal National Mortgage Association Floating Rate Notes, 0.310% (Secured Overnight Financing Rate +0.230%), 7/1/2020 | 250,000 |
400,000 | 2 | Federal National Mortgage Association Floating Rate Notes, 0.350% (Secured Overnight Financing Rate +0.270%), 7/1/2020 | 400,000 |
200,000 | 2 | Federal National Mortgage Association Floating Rate Notes, 0.390% (Secured Overnight Financing Rate +0.310%), 7/1/2020 | 200,000 |
450,000 | 2 | Federal National Mortgage Association Floating Rate Notes, 0.400% (Secured Overnight Financing Rate +0.320%), 7/1/2020 | 450,000 |
400,000 | 2 | Federal Farm Credit System Floating Rate Notes, 0.155% (Secured Overnight Financing Rate +0.075%), 7/1/2020 | 400,000 |
400,000 | 2 | Federal Farm Credit System Floating Rate Notes, 0.179% (1-month USLIBOR +0.000%), 7/4/2020 | 399,998 |
Principal Amount | Value | ||
GOVERNMENT AGENCIES—continued | |||
$500,000 | 2 | Federal Farm Credit System Floating Rate Notes, 0.180% (1-month USLIBOR -0.010%), 7/20/2020 | $500,000 |
250,000 | 2 | Federal Farm Credit System Floating Rate Notes, 0.188% (1-month USLIBOR +0.005%), 7/27/2020 | 249,998 |
500,000 | 2 | Federal Farm Credit System Floating Rate Notes, 0.190% (1-month USLIBOR +0.000%), 7/13/2020 | 500,000 |
250,000 | 2 | Federal Farm Credit System Floating Rate Notes, 0.200% (Secured Overnight Financing Rate +0.120%), 7/1/2020 | 250,000 |
200,000 | 2 | Federal Farm Credit System Floating Rate Notes, 0.205% (Effective Fed Funds +0.125%), 7/1/2020 | 199,993 |
300,000 | 2 | Federal Farm Credit System Floating Rate Notes, 0.205% (Secured Overnight Financing Rate +0.125%), 7/1/2020 | 300,000 |
300,000 | 2 | Federal Farm Credit System Floating Rate Notes, 0.260% (Secured Overnight Financing Rate +0.180%), 7/1/2020 | 300,000 |
300,000 | 2 | Federal Farm Credit System Floating Rate Notes, 0.290% (Secured Overnight Financing Rate +0.210%), 7/1/2020 | 300,000 |
500,000 | 2 | Federal Farm Credit System Floating Rate Notes, 0.380% (Secured Overnight Financing Rate +0.300%), 7/1/2020 | 500,000 |
TOTAL GOVERNMENT AGENCIES | 29,095,868 | ||
U.S. TREASURIES—33.7% | |||
U.S. Treasury Bills—24.1% | |||
1,650,000 | 1 | United States Treasury Bills, 0.125%—1.800%, 8/13/2020 | 1,648,953 |
10,000,000 | 1 | United States Treasury Bills, 0.125%, 7/7/2020 | 9,999,792 |
300,000 | 1 | United States Treasury Bills, 0.130%, 8/20/2020 | 299,946 |
3,000,000 | 1 | United States Treasury Bills, 0.135%, 8/18/2020 | 2,999,460 |
500,000 | 1 | United States Treasury Bills, 0.140%, 9/17/2020 | 499,848 |
300,000 | 1 | United States Treasury Bills, 0.147%, 10/13/2020 | 299,872 |
2,000,000 | 1 | United States Treasury Bills, 0.150%, 10/27/2020 | 1,999,017 |
1,000,000 | 1 | United States Treasury Bills, 0.155%, 11/12/2020 | 999,423 |
600,000 | 1 | United States Treasury Bills, 0.180%, 9/29/2020 | 599,730 |
1,000,000 | 1 | United States Treasury Bills, 0.185%, 11/24/2020 | 999,250 |
800,000 | 1 | United States Treasury Bills, 0.185%, 12/10/2020 | 799,334 |
500,000 | 1 | United States Treasury Bills, 1.440%, 8/27/2020 | 498,860 |
100,000 | 1 | United States Treasury Bills, 1.620%, 7/16/2020 | 99,933 |
400,000 | 1 | United States Treasury Bills, 1.740%, 9/10/2020 | 398,627 |
TOTAL | 22,142,045 | ||
U.S. Treasury Notes—9.6% | |||
1,200,000 | 2 | United States Treasury Floating Rate Notes, 0.195% (91-day T-Bill +0.045%), 7/7/2020 | 1,199,747 |
2,700,000 | 2 | United States Treasury Floating Rate Notes, 0.265% (91-day T-Bill +0.115%), 7/7/2020 | 2,699,390 |
200,000 | 2 | United States Treasury Floating Rate Notes, 0.304% (91-day T-Bill +0.154%), 7/7/2020 | 200,000 |
150,000 | 2 | United States Treasury Floating Rate Notes, 0.450% (91-day T-Bill +0.300%), 7/7/2020 | 150,119 |
850,000 | United States Treasury Notes, 1.375%—2.625%, 8/31/2020 | 851,233 | |
250,000 | United States Treasury Notes, 1.375%, 1/31/2021 | 251,334 | |
500,000 | United States Treasury Notes, 2.000%—2.625%, 7/31/2020 | 500,303 | |
150,000 | United States Treasury Notes, 2.000%, 1/15/2021 | 151,318 | |
200,000 | United States Treasury Notes, 2.250%, 2/15/2021 | 201,086 | |
300,000 | United States Treasury Notes, 2.375%, 4/15/2021 | 304,768 | |
200,000 | United States Treasury Notes, 2.500%, 12/31/2020 | 200,884 | |
200,000 | United States Treasury Notes, 2.500%, 2/28/2021 | 201,495 | |
500,000 | United States Treasury Notes, 2.625%, 11/15/2020 | 501,728 | |
350,000 | United States Treasury Notes, 2.750%, 9/30/2020 | 350,948 | |
650,000 | United States Treasury Notes, 2.750%, 11/30/2020 | 653,181 | |
450,000 | United States Treasury Notes, 2.875%, 10/31/2020 | 453,243 | |
TOTAL | 8,870,777 | ||
TOTAL U.S. TREASURIES | 31,012,822 | ||
REPURCHASE AGREEMENTS—34.5% | |||
18,000,000 | Interest in $300,000,000 joint repurchase agreement 0.09%, dated 6/30/2020 under which Pershing LLC will repurchase securities provided as collateral for $300,000,750 on 7/1/2020. 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 6/1/2050 and the market value of those underlying securities was $306,290,528. | 18,000,000 |
Principal Amount | Value | ||
REPURCHASE AGREEMENTS—continued | |||
$13,773,000 | Interest in $3,000,000,000 joint repurchase agreement 0.09%, dated 6/30/2020 under which Sumitomo Mitsui Banking Corp. will repurchase securities provided as collateral for $3,000,007,500 on 7/1/2020. 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 6/1/2050 and the market value of those underlying securities was $3,060,007,650. | $13,773,000 | |
TOTAL REPURCHASE AGREEMENTS | 31,773,000 | ||
TOTAL INVESTMENT IN SECURITIES—99.8% (AT AMORTIZED COST)3 | 91,881,690 | ||
OTHER ASSETS AND LIABILITIES - NET—0.2%4 | 141,150 | ||
TOTAL NET ASSETS—100% | $92,022,840 |
1 | Discount rate(s) at time of purchase. |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
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 |
Six Months Ended (unaudited) 6/30/20201 | 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 | $1.00 |
Income From Investment Operations: | |||||
Net investment income | 0.003 | 0.019 | 0.015 | 0.002 | 0.0003 |
Net realized gain | 0.0003 | 0.0003 | 0.0003 | 0.004 | — |
TOTAL FROM INVESTMENT OPERATIONS | 0.003 | 0.019 | 0.015 | 0.006 | 0.0003 |
Less Distributions: | |||||
Distributions from net investment income | (0.003) | (0.019) | (0.015) | (0.006) | (0.000)3 |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return4 | 0.31% | 1.89% | 1.50% | 0.56% | 0.06% |
Ratios to Average Net Assets: | |||||
Net expenses5 | 0.32%6 | 0.29% | 0.38% | 0.38% | —% |
Net investment income | 0.51%6 | 2.06% | 0.84% | 0.17% | 0.02%6 |
Expense waiver/reimbursement7 | 0.14%6 | 0.09% | — | — | — |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $08 | $08 | $08 | $08 | $08 |
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 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
6 | Computed on an annualized basis. |
7 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
8 | Represents less than $1,000. |
Six Months Ended (unaudited) 6/30/2020 | 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 | $1.00 |
Income From Investment Operations: | ||||||
Net investment income | 0.002 | 0.016 | 0.012 | 0.003 | 0.0001 | — |
Net realized gain (loss) | 0.0001 | 0.0001 | (0.000)1 | 0.0001 | (0.000)1 | 0.0001 |
TOTAL FROM INVESTMENT OPERATIONS | 0.002 | 0.016 | 0.012 | 0.003 | (0.000)1 | 0.0001 |
Less Distributions: | ||||||
Distributions from net investment income | (0.002) | (0.016) | (0.012) | (0.003) | (0.000)1 | — |
Distributions from net realized gain | — | — | — | — | — | (0.000)1 |
TOTAL DISTRIBUTIONS | (0.002) | (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 | $1.00 |
Total Return2 | 0.20% | 1.64% | 1.25% | 0.31% | 0.00% | 0.00% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.45%4 | 0.63% | 0.63% | 0.63% | 0.49% | 0.34% |
Net investment income | 0.38%4 | 1.66% | 1.26% | 0.30% | 0.00%5 | 0.00% |
Expense waiver/reimbursement6 | 0.28%4 | 0.09% | 0.11% | 0.07% | 0.19% | 0.40% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $92,023 | $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. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | Represents less than 0.01%. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Assets: | ||
Investment in repurchase agreements | $31,773,000 | |
Investment in securities | 60,108,690 | |
Investment in securities, at amortized cost and fair value | $91,881,690 | |
Cash | 3,053 | |
Income receivable | 35,953 | |
Receivable for shares sold | 192,769 | |
TOTAL ASSETS | 92,113,465 | |
Liabilities: | ||
Payable for shares redeemed | 66,890 | |
Payable for investment adviser fee (Note 5) | 1,124 | |
Payable for administrative fee (Note 5) | 196 | |
Payable for portfolio accounting fees | 19,942 | |
Payable for other service fees (Note 2) | 2,473 | |
TOTAL LIABILITIES | 90,625 | |
Net assets for 92,024,251 shares outstanding | $92,022,840 | |
Net Assets Consist of: | ||
Paid-in capital | $92,023,800 | |
Total distributable earnings (loss) | (960) | |
TOTAL NET ASSETS | $92,022,840 | |
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: | ||
$92,022,740 ÷ 92,024,151 shares outstanding, no par value, unlimited shares authorized | $1.00 |
Investment Income: | |||
Interest | $356,066 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $85,405 | ||
Administrative fee (Note 5) | 33,983 | ||
Custodian fees | 4,216 | ||
Transfer agent fees | 2,620 | ||
Directors'/Trustees' fees (Note 5) | 821 | ||
Auditing fees | 12,487 | ||
Legal fees | 3,778 | ||
Portfolio accounting fees | 38,763 | ||
Other service fees (Note 2) | 105,799 | ||
Printing and postage | 19,771 | ||
Miscellaneous (Note 5) | 2,727 | ||
TOTAL EXPENSES | 310,370 | ||
Waivers and Reimbursement: | |||
Waiver of investment adviser fee (Note 5) | $(58,211) | ||
Waiver/reimbursement of other operating expenses (Note 2) | (59,899) | ||
TOTAL WAIVERS AND REIMBURSEMENT | (118,110) | ||
Net expenses | 192,260 | ||
Net investment income | 163,806 | ||
Net realized gain on investments | 181 | ||
Change in net assets resulting from operations | $163,987 |
Six Months Ended (unaudited) 6/30/2020 | Year Ended 12/31/2019 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $163,806 | $1,572,238 |
Net realized gain | 181 | 133 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 163,987 | 1,572,371 |
Distributions to Shareholders: | ||
Primary Shares | (0)1 | (2) |
Service Shares | (163,816) | (1,572,255) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (163,816) | (1,572,257) |
Share Transactions: | ||
Proceeds from sale of shares | 31,949,208 | 38,630,012 |
Net asset value of shares issued to shareholders in payment of distributions declared | 163,816 | 1,572,252 |
Cost of shares redeemed | (20,144,235) | (90,410,033) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 11,968,789 | (50,207,769) |
Change in net assets | 11,968,960 | (50,207,655) |
Net Assets: | ||
Beginning of period | 80,053,880 | 130,261,535 |
End of period | $92,022,840 | $80,053,880 |
1 | Represents less than $1. |
Other Service Fees Incurred | Other Service Fees Reimbursed | Other Service Fees Waived by Unaffiliated Third Parties | |
Service Shares | $105,799 | $(2,350) | $(57,549) |
Six Months Ended 6/30/2020 | Year Ended 12/31/2019 | |||
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 | — | $— | — | $— |
Six Months Ended 6/30/2020 | Year Ended 12/31/2019 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 31,949,208 | $31,949,208 | 38,630,012 | $38,630,012 |
Shares issued to shareholders in payment of distributions declared | 163,816 | 163,816 | 1,572,252 | 1,572,252 |
Shares redeemed | (20,144,235) | (20,144,235) | (90,410,033) | (90,410,033) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 11,968,789 | $11,968,789 | (50,207,769) | $(50,207,769) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 11,968,789 | $11,968,789 | (50,207,769) | $(50,207,769) |
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% |
Beginning Account Value 1/1/2020 | Ending Account Value 6/30/2020 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,003.10 | $1.592 |
Service Shares | $1,000 | $1,002.00 | $2.243 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,023.30 | $1.612 |
Service Shares | $1,000 | $1,022.60 | $2.263 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 182/366 (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 | 0.32% |
Service Shares | 0.45% |
2 | Actual and Hypothetical expenses paid during the period utilizing the Fund's Primary Shares current Fee Limit of 0.38% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 182/366 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $1.89 and $1.91, respectively. |
3 | Actual and Hypothetical expenses paid during the period utilizing the Fund's Service Shares current Fee Limit of 0.63% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 182/366 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $3.14 and $3.17, respectively. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916504
Share Class | Primary | Service |
Index Classification | Percentage of Total Net Assets |
Cable Satellite | 8.8% |
Health Care | 8.7% |
Midstream | 7.7% |
Technology | 7.0% |
Media Entertainment | 6.4% |
Packaging | 5.9% |
Automotive | 4.5% |
Independent Energy | 4.5% |
Insurance—P&C | 4.4% |
Gaming | 3.7% |
Other2 | 35.2% |
Cash Equivalents3 | 2.9% |
Other Assets and Liabilities—Net4 | 0.3% |
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—96.6% | |||
Aerospace/Defense—1.4% | |||
$500,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.250%, 3/15/2026 | $500,550 | |
375,000 | TransDigm, Inc., Sr. Sub., 6.875%, 5/15/2026 | 350,085 | |
525,000 | TransDigm, Inc., Sr. Sub. Note, 6.500%, 7/15/2024 | 506,570 | |
675,000 | TransDigm, Inc., Sr. Sub., Series WI, 5.500%, 11/15/2027 | 591,108 | |
100,000 | TransDigm, Inc., Sr. Sub., Series WI, 7.500%, 3/15/2027 | 96,277 | |
TOTAL | 2,044,590 | ||
Automotive—4.5% | |||
500,000 | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026 | 414,642 | |
25,000 | Adient US LLC, 144A, 7.000%, 5/15/2026 | 25,916 | |
100,000 | Adient US LLC, 144A, 9.000%, 4/15/2025 | 108,158 | |
475,000 | American Axle & Manufacturing, Inc., Sr. Unsecd. Note, Series WI, 6.500%, 4/1/2027 | 461,935 | |
25,000 | Clarios Global LP, Sec. Fac. Bond, 144A, 6.750%, 5/15/2025 | 26,078 | |
525,000 | Dana Financing Lux Sarl, 144A, 6.500%, 6/1/2026 | 545,278 | |
200,000 | Dana, Inc., Sr. Unsecd. Note, 5.375%, 11/15/2027 | 199,000 | |
400,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.096%, 5/4/2023 | 380,580 | |
300,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.336%, 3/18/2021 | 297,851 | |
250,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.813%, 10/12/2021 | 247,513 | |
300,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.063%, 11/1/2024 | 286,658 | |
375,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.113%, 5/3/2029 | 367,299 | |
200,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.125%, 6/16/2025 | 200,956 | |
400,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, Series GMTN, 4.389%, 1/8/2026 | 379,814 | |
275,000 | Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 4.875%, 3/15/2027 | 253,103 | |
75,000 | Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 5.000%, 5/31/2026 | 70,125 | |
75,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.000%, 5/15/2027 | 76,439 | |
325,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029 | 331,337 | |
375,000 | J.B. Poindexter & Co., Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/15/2026 | 380,085 | |
50,000 | Panther BF Aggregator 2 LP, Sec. Fac. Bond, 144A, 6.250%, 5/15/2026 | 51,784 | |
1,100,000 | Panther BF Aggregator 2 LP, Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027 | 1,108,222 | |
375,000 | Schaeffler Verwaltung Zw, 144A, 4.750%, 9/15/2026 | 368,589 | |
TOTAL | 6,581,362 | ||
Building Materials—2.2% | |||
150,000 | American Builders & Contractors Supply Co., Inc., 144A, 4.000%, 1/15/2028 | 146,019 | |
600,000 | American Builders & Contractors Supply Co., Inc., Sr. Unsecd. Note, 144A, 5.875%, 5/15/2026 | 595,389 | |
425,000 | Building Materials Corp. of America, Sr. Unsecd. Note, 144A, 6.000%, 10/15/2025 | 438,764 | |
675,000 | CD&R Waterworks Merger Subsidiary LLC, Sr. Unsecd. Note, 144A, 6.125%, 8/15/2025 | 674,841 | |
125,000 | Masonite International Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/15/2026 | 129,195 | |
575,000 | Pisces Midco, Inc., Sec. Fac. Bond, 144A, 8.000%, 4/15/2026 | 581,127 | |
650,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027 | 660,013 | |
TOTAL | 3,225,348 | ||
Cable Satellite—8.8% | |||
325,000 | CCO Holdings LLC/Cap Corp., 144A, 5.750%, 2/15/2026 | 336,877 | |
175,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 8/15/2030 | 179,227 | |
1,075,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.750%, 3/1/2030 | 1,101,574 | |
650,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 671,775 | |
275,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029 | 290,439 | |
775,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.875%, 5/1/2027 | 809,449 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Cable Satellite—continued | |||
$375,000 | CSC Holdings LLC, 144A, 5.375%, 7/15/2023 | $380,700 | |
325,000 | CSC Holdings LLC, 144A, 5.500%, 5/15/2026 | 334,514 | |
325,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.125%, 12/1/2030 | 322,582 | |
200,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2030 | 209,179 | |
225,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.500%, 2/1/2029 | 246,234 | |
450,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.625%, 10/15/2025 | 468,839 | |
275,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 7.500%, 4/1/2028 | 300,893 | |
225,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 7.750%, 7/15/2025 | 234,677 | |
450,000 | CSC Holdings, Inc., Sr. Unsecd. Note, 5.250%, 6/1/2024 | 479,014 | |
450,000 | Cablevision Systems Corp., Sr. Unsecd. Note, 5.875%, 9/15/2022 | 471,251 | |
750,000 | DISH DBS Corp., Sr. Unsecd. Note, 5.875%, 11/15/2024 | 746,839 | |
200,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.750%, 7/1/2026 | 212,396 | |
450,000 | 1,2 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 8.500%, 10/15/2024 | 272,000 |
325,000 | 1,2 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.500%, 8/1/2023 | 185,973 |
225,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.875%, 8/1/2022 | 226,646 | |
375,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2030 | 371,329 | |
175,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.625%, 7/15/2024 | 179,977 | |
50,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.000%, 8/1/2027 | 51,364 | |
600,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.375%, 4/15/2025 | 617,763 | |
300,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029 | 318,009 | |
850,000 | Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028 | 892,500 | |
200,000 | Virgin Media Finance PLC, Sr. Unsecd. Note, 144A, 5.000%, 7/15/2030 | 196,270 | |
200,000 | Virgin Media Secured Finance PLC, 144A, 5.500%, 8/15/2026 | 205,169 | |
200,000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 4.500%, 8/15/2030 | 200,625 | |
200,000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 5.500%, 5/15/2029 | 211,139 | |
200,000 | Ziggo Bond Co. BV, Sr. Unsecd. Note, 144A, 5.125%, 2/28/2030 | 198,784 | |
629,000 | Ziggo Finance BV, Sec. Fac. Bond, 144A, 5.500%, 1/15/2027 | 640,407 | |
200,000 | Ziggo Finance BV, Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027 | 203,581 | |
TOTAL | 12,767,995 | ||
Chemicals—2.9% | |||
200,000 | Alpha 2 BV, Sr. Unsecd. Note, 144A, 8.750%, 6/1/2023 | 200,229 | |
450,000 | Alpha 3 BV, Sr. Unsecd. Note, 144A, 6.250%, 2/1/2025 | 445,500 | |
150,000 | Axalta Coat/Dutch Holding BV, Sr. Unsecd. Note, 144A, 4.750%, 6/15/2027 | 151,155 | |
675,000 | Compass Minerals International, Inc., 144A, 4.875%, 7/15/2024 | 679,148 | |
150,000 | Compass Minerals International, Inc., Sr. Unsecd. Note, 144A, 6.750%, 12/1/2027 | 157,754 | |
400,000 | Element Solutions, Inc., Sr. Unsecd. Note, 144A, 5.875%, 12/1/2025 | 405,121 | |
375,000 | Hexion, Inc., Sr. Unsecd. Note, 144A, 7.875%, 7/15/2027 | 342,199 | |
25,000 | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., Sr. Unsecd. Note, 144A, 9.000%, 7/1/2028 | 26,125 | |
750,000 | Koppers, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | 731,707 | |
250,000 | PQ Corp., Sr. Unsecd. Note, 144A, 5.750%, 12/15/2025 | 252,786 | |
700,000 | Starfruit Finco BV, Sr. Unsecd. Note, 144A, 8.000%, 10/1/2026 | 718,791 | |
150,000 | WR Grace & Co-Conn, Sr. Unsecd. Note, 144A, 4.875%, 6/15/2027 | 152,705 | |
TOTAL | 4,263,220 | ||
Construction Machinery—0.7% | |||
75,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 4.000%, 7/15/2030 | 72,635 | |
100,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 6.500%, 12/15/2026 | 105,190 | |
400,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.500%, 5/15/2027 | 413,574 | |
450,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.875%, 9/15/2026 | 472,102 | |
TOTAL | 1,063,501 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical Services—1.9% | |||
$225,000 | Allied Universal Holdco LLC, Sec. Fac. Bond, 144A, 6.625%, 7/15/2026 | $236,980 | |
1,125,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027 | 1,187,426 | |
954,000 | GW B-CR Security Corp., Sr. Unsecd. Note, 144A, 9.500%, 11/1/2027 | 1,010,467 | |
125,000 | Garda World Security Corp., Sec. Fac. Bond, 144A, 4.625%, 2/15/2027 | 123,516 | |
125,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., Sr. Unsecd. Note, 144A, 5.250%, 12/1/2027 | 127,477 | |
75,000 | The Brink's Co., Sr. Unsecd. Note, 144A, 5.500%, 7/15/2025 | 76,577 | |
TOTAL | 2,762,443 | ||
Consumer Products—1.1% | |||
175,000 | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 5.500%, 6/1/2028 | 180,359 | |
75,000 | Energizer Holdings, Inc., Sec. Fac. Bond, 144A, 6.375%, 7/15/2026 | 77,735 | |
175,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2028 | 172,107 | |
125,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 6/15/2025 | 127,352 | |
125,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 7.750%, 1/15/2027 | 133,573 | |
75,000 | Newell Brands, Inc., Sr. Unsecd. Note, 4.875%, 6/1/2025 | 78,687 | |
100,000 | Prestige Brands, Inc., Sr. Unsecd. Note, 144A, 5.125%, 1/15/2028 | 98,750 | |
700,000 | Prestige Brands, Inc., Sr. Unsecd. Note, 144A, 6.375%, 3/1/2024 | 722,824 | |
TOTAL | 1,591,387 | ||
Diversified Manufacturing—1.3% | |||
75,000 | CFX Escrow Corp., Sr. Unsecd. Note, 144A, 6.375%, 2/15/2026 | 78,492 | |
675,000 | Gates Global LLC, Sr. Unsecd. Note, 144A, 6.250%, 1/15/2026 | 669,654 | |
125,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.125%, 6/15/2025 | 132,150 | |
250,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.250%, 6/15/2028 | 264,267 | |
625,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2021 | 627,047 | |
175,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 6/15/2024 | 174,800 | |
TOTAL | 1,946,410 | ||
Environmental—0.2% | |||
350,000 | Tervita Escrow Corp., 144A, 7.625%, 12/1/2021 | 275,735 | |
Finance Companies—1.6% | |||
50,000 | Navient Corp., Sr. Unsecd. Note, 5.000%, 3/15/2027 | 42,110 | |
850,000 | Navient Corp., Sr. Unsecd. Note, 5.875%, 10/25/2024 | 801,121 | |
100,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/25/2025 | 95,937 | |
100,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/15/2026 | 93,232 | |
900,000 | Quicken Loans, Inc., 144A, 5.750%, 5/1/2025 | 922,405 | |
400,000 | Quicken Loans, Inc., Sr. Unsecd. Note, 144A, 5.250%, 1/15/2028 | 417,162 | |
TOTAL | 2,371,967 | ||
Food & Beverage—2.7% | |||
650,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 4/1/2025 | 642,275 | |
325,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 309,496 | |
200,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 6.375%, 5/1/2025 | 206,901 | |
650,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 639,756 | |
150,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/15/2029 | 155,371 | |
200,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2028 | 207,463 | |
1,075,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 1,115,748 | |
600,000 | U.S. Foodservice, Inc., Sr. Unsecd. Note, 144A, 5.875%, 6/15/2024 | 571,563 | |
TOTAL | 3,848,573 | ||
Gaming—3.7% | |||
275,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 4.750%, 12/1/2027 | 236,593 | |
25,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 8.625%, 6/1/2025 | 26,172 | |
325,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 6.375%, 4/1/2026 | 309,364 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Gaming—continued | |||
$100,000 | Boyd Gaming Corp., Sr. Unsecd. Note, Series WI, 6.000%, 8/15/2026 | $93,356 | |
175,000 | CRC Escrow Issuer LLC, Sr. Unsecd. Note, 144A, 5.250%, 10/15/2025 | 152,514 | |
50,000 | Colt Merger Sub, Inc., Sr. Secd. Note, 144A, 5.750%, 7/1/2025 | 50,375 | |
275,000 | Colt Merger Sub, Inc., Sr. Secd. Note, 144A, 6.250%, 7/1/2025 | 273,542 | |
325,000 | Colt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 8.125%, 7/1/2027 | 316,875 | |
600,000 | Eldorado Resorts, Inc., Sr. Unsecd. Note, 6.000%, 4/1/2025 | 626,187 | |
50,000 | MGM Growth Properties LLC, Sr. Unsecd. Note, 5.625%, 5/1/2024 | 52,134 | |
625,000 | MGM Resorts International, 6.000%, 3/15/2023 | 632,878 | |
77,000 | MGM Resorts International, Sr. Unsecd. Note, 4.625%, 9/1/2026 | 70,294 | |
181,000 | MGM Resorts International, Sr. Unsecd. Note, 5.750%, 6/15/2025 | 179,531 | |
75,000 | MGM Resorts International, Sr. Unsecd. Note, 6.750%, 5/1/2025 | 74,584 | |
500,000 | Mohegan Tribal Gaming Authority, Sr. Unsecd. Note, 144A, 7.875%, 10/15/2024 | 416,822 | |
800,000 | Star Group Holdings BV, Sr. Unsecd. Note, 144A, 7.000%, 7/15/2026 | 845,148 | |
100,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 4.500%, 2/15/2028 | 84,313 | |
575,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2025 | 507,797 | |
25,000 | VICI Properties LP/ VICI Note Co., Inc., 144A, 3.500%, 2/15/2025 | 23,559 | |
50,000 | VICI Properties LP/ VICI Note Co., Inc., 144A, 3.750%, 2/15/2027 | 47,086 | |
25,000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.125%, 8/15/2030 | 23,883 | |
200,000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.250%, 12/1/2026 | 192,233 | |
150,000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.625%, 12/1/2029 | 146,504 | |
TOTAL | 5,381,744 | ||
Health Care—8.6% | |||
75,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2028 | 75,469 | |
25,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 5.125%, 7/1/2022 | 25,020 | |
175,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 5.625%, 2/15/2023 | 175,517 | |
625,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 6.500%, 3/1/2024 | 638,328 | |
550,000 | Air Medical Group Holdings, Inc., Sr. Unsecd. Note, 144A, 6.375%, 5/15/2023 | 508,005 | |
950,000 | Avantor, Inc., Sr. Unsecd. Note, 144A, 9.000%, 10/1/2025 | 1,024,812 | |
550,000 | CHS/Community Health Systems, Inc., 6.250%, 3/31/2023 | 519,150 | |
50,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 6.625%, 2/15/2025 | 47,125 | |
200,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.000%, 3/15/2026 | 189,240 | |
150,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.625%, 1/15/2024 | 147,149 | |
75,000 | Charles River Laboratories International, Inc., Sr. Unsecd. Note, 144A, 4.250%, 5/1/2028 | 75,089 | |
100,000 | Charles River Laboratories International, Inc., Sr. Unsecd. Note, 144A, 5.500%, 4/1/2026 | 104,291 | |
150,000 | HCA, Inc., 5.875%, 5/1/2023 | 162,597 | |
475,000 | HCA, Inc., 5.875%, 2/15/2026 | 522,008 | |
250,000 | HCA, Inc., Sr. Unsecd. Note, 3.500%, 9/1/2030 | 241,040 | |
750,000 | HCA, Inc., Sr. Unsecd. Note, 5.375%, 2/1/2025 | 805,541 | |
175,000 | HCA, Inc., Sr. Unsecd. Note, 5.375%, 9/1/2026 | 190,960 | |
275,000 | HCA, Inc., Sr. Unsecd. Note, 5.625%, 9/1/2028 | 307,373 | |
50,000 | Hill-Rom Holdings, Inc., Sr. Unsecd. Note, 144A, 4.375%, 9/15/2027 | 51,334 | |
525,000 | IMS Health, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/15/2026 | 542,561 | |
200,000 | Iqvia, Inc., Sr. Unsecd. Note, 144A, 5.000%, 5/15/2027 | 205,044 | |
175,000 | LifePoint Health, Inc., 144A, 6.750%, 4/15/2025 | 181,125 | |
100,000 | LifePoint Health, Inc., Sec. Fac. Bond, 144A, 4.375%, 2/15/2027 | 94,750 | |
625,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 9.750%, 12/1/2026 | 639,472 | |
350,000 | MEDNAX, Inc., Sr. Unsecd. Note, 144A, 6.250%, 1/15/2027 | 351,209 | |
900,000 | MPH Acquisition Holdings LLC, 144A, 7.125%, 6/1/2024 | 840,361 | |
425,000 | Polaris Intermediate Corp., Sr. Unsecd. Note, 144A, 8.500%, 12/1/2022 | 375,324 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Health Care—continued | |||
$850,000 | Team Health Holdings, Inc., Sr. Unsecd. Note, 144A, 6.375%, 2/1/2025 | $496,098 | |
50,000 | Teleflex, Inc., Sr. Unsecd. Note, 144A, 4.250%, 6/1/2028 | 51,344 | |
50,000 | Teleflex, Inc., Sr. Unsecd. Note, 4.625%, 11/15/2027 | 52,976 | |
25,000 | Tenet Healthcare Corp., 144A, 4.625%, 6/15/2028 | 24,555 | |
175,000 | Tenet Healthcare Corp., 144A, 4.875%, 1/1/2026 | 171,672 | |
300,000 | Tenet Healthcare Corp., 144A, 5.125%, 11/1/2027 | 296,880 | |
25,000 | Tenet Healthcare Corp., 144A, 7.500%, 4/1/2025 | 26,672 | |
450,000 | Tenet Healthcare Corp., 5.125%, 5/1/2025 | 434,794 | |
275,000 | Tenet Healthcare Corp., Sr. Secd. Note, 4.625%, 7/15/2024 | 269,853 | |
375,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 6.750%, 6/15/2023 | 372,563 | |
325,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 7.000%, 8/1/2025 | 319,376 | |
125,000 | Vizient, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/15/2027 | 131,383 | |
850,000 | West Street Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.375%, 9/1/2025 | 825,023 | |
TOTAL | 12,513,083 | ||
Health Insurance—1.4% | |||
50,000 | Centene Corp., Sr. Unsecd. Note, 144A, 5.250%, 4/1/2025 | 51,556 | |
250,000 | Centene Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2026 | 260,181 | |
350,000 | Centene Corp., Sr. Unsecd. Note, 4.750%, 1/15/2025 | 358,736 | |
175,000 | Centene Corp., Sr. Unsecd. Note, 4.750%, 1/15/2025 | 179,368 | |
525,000 | Centene Corp., Sr. Unsecd. Note, Series WI, 4.250%, 12/15/2027 | 542,968 | |
575,000 | Centene Corp., Sr. Unsecd. Note, Series WI, 4.625%, 12/15/2029 | 610,230 | |
TOTAL | 2,003,039 | ||
Independent Energy—4.5% | |||
325,000 | Antero Resources Corp., Sr. Unsecd. Note, 5.000%, 3/1/2025 | 192,766 | |
50,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 7.000%, 11/1/2026 | 32,178 | |
300,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 10.000%, 4/1/2022 | 256,684 | |
250,000 | Berry Petroleum Co., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2026 | 203,390 | |
469,000 | Callon Petroleum Corp., Sr. Unsecd. Note, 6.125%, 10/1/2024 | 160,926 | |
75,000 | Callon Petroleum Corp., Sr. Unsecd. Note, Series WI, 6.375%, 7/1/2026 | 25,017 | |
400,000 | Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 8.250%, 7/15/2025 | 141,458 | |
275,000 | Centennial Resource Production, LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 146,549 | |
577,000 | 1,2 | Chesapeake Energy Corp., 144A, 11.500%, 1/1/2025 | 62,475 |
200,000 | Continental Resources, Inc., Sr. Unsecd. Note, 4.375%, 1/15/2028 | 176,402 | |
525,000 | Crownrock LP/ Crownrock F, 144A, 5.625%, 10/15/2025 | 472,167 | |
375,000 | 1,2 | EP Energy LLC/Everest Acquisition Finance, Inc., Sec. Fac. Bond, 144A, 8.000%, 11/29/2024 | 11,250 |
100,000 | EQT Corp., Sr. Unsecd. Note, 4.875%, 11/15/2021 | 98,282 | |
225,000 | EQT Corp., Sr. Unsecd. Note, 6.125%, 2/1/2025 | 224,608 | |
150,000 | EQT Corp., Sr. Unsecd. Note, 7.000%, 2/1/2030 | 154,705 | |
125,000 | Endeavor Energy Resources LP, Sr. Unsecd. Note, 144A, 5.750%, 1/30/2028 | 120,289 | |
175,000 | Endeavor Energy Resources LP, Sr. Unsecd. Note, 144A, 6.625%, 7/15/2025 | 176,806 | |
100,000 | Gulfport Energy Corp., Sr. Unsecd. Note, 6.000%, 10/15/2024 | 51,313 | |
325,000 | Gulfport Energy Corp., Sr. Unsecd. Note, 6.375%, 5/15/2025 | 163,296 | |
200,000 | Jagged Peak Energy, Inc., Sr. Unsecd. Note, Series WI, 5.875%, 5/1/2026 | 194,593 | |
75,000 | Oasis Petroleum, Inc., 6.875%, 3/15/2022 | 12,609 | |
500,000 | Oasis Petroleum, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/1/2026 | 84,078 | |
350,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 2.900%, 8/15/2024 | 299,946 | |
275,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 3.500%, 6/15/2025 | 233,750 | |
125,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 4.100%, 2/15/2047 | 84,844 | |
125,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 4.300%, 8/15/2039 | 86,761 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Independent Energy—continued | |||
$125,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 4.400%, 8/15/2049 | $87,334 | |
250,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.450%, 9/15/2036 | 215,270 | |
150,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 8.000%, 7/15/2025 | 150,937 | |
300,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 8.875%, 7/15/2030 | 300,375 | |
175,000 | PDC Energy, Inc., Sr. Unsecd. Note, 6.125%, 9/15/2024 | 163,388 | |
175,000 | PDC Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 5/15/2026 | 159,802 | |
50,000 | Parsley Energy LLC/Parsley Finance Corp., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2025 | 48,735 | |
150,000 | Parsley Energy LLC/Parsley Finance Corp., Sr. Unsecd. Note, 144A, 5.625%, 10/15/2027 | 148,097 | |
200,000 | QEP Resources, Inc., Sr. Unsecd. Note, 5.250%, 5/1/2023 | 132,625 | |
175,000 | QEP Resources, Inc., Sr. Unsecd. Note, 5.625%, 3/1/2026 | 111,677 | |
25,000 | Range Resources Corp., Sr. Unsecd. Note, 144A, 9.250%, 2/1/2026 | 22,520 | |
425,000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | 320,227 | |
200,000 | SM Energy Co., Sr. Unsecd. Note, 5.000%, 1/15/2024 | 108,729 | |
150,000 | SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 | 80,047 | |
25,000 | SM Energy Co., Sr. Unsecd. Note, 6.625%, 1/15/2027 | 12,323 | |
100,000 | SM Energy Co., Sr. Unsecd. Note, 6.750%, 9/15/2026 | 50,644 | |
175,000 | 1,2 | Ultra Resources, Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/15/2025 | 525 |
50,000 | WPX Energy Inc., Sr. Unsecd. Note, 4.500%, 1/15/2030 | 44,278 | |
150,000 | WPX Energy Inc., Sr. Unsecd. Note, 5.250%, 10/15/2027 | 140,382 | |
200,000 | WPX Energy Inc., Sr. Unsecd. Note, 5.750%, 6/1/2026 | 194,581 | |
350,000 | 1,2 | Whiting Petroleum Corp., Sr. Unsecd. Note, 6.250%, 4/1/2023 | 61,906 |
150,000 | 1,2 | Whiting Petroleum Corp., Sr. Unsecd. Note, Series WI, 6.625%, 1/15/2026 | 26,891 |
TOTAL | 6,448,435 | ||
Industrial - Other—0.4% | |||
175,000 | Cushman & Wakefield US Borrower LLC, Sec. Fac. Bond, 144A, 6.750%, 5/15/2028 | 183,203 | |
325,000 | KAR Auction Services, Inc., Sr. Unsecd. Note, 144A, 5.125%, 6/1/2025 | 320,972 | |
TOTAL | 504,175 | ||
Industrial Machinery—0.3% | |||
200,000 | Vertical Holdco GmbH, 7.625%, 7/15/2028 | 200,000 | |
275,000 | Vertical U.S. Newco, Inc., 5.250%, 7/15/2027 | 275,347 | |
TOTAL | 475,347 | ||
Insurance - P&C—4.4% | |||
650,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Unsecd. Note, 144A, 6.750%, 10/15/2027 | 648,902 | |
750,000 | AmWINS Group, Inc., Sr. Unsecd. Note, 144A, 7.750%, 7/1/2026 | 790,170 | |
275,000 | Ardonagh Midco 2 PLC, Sr. Unsecd. Note, 144A, PIK 12.750% (Cash Rate 11.500%), 1/15/2027 | 277,750 | |
200,000 | Ardonagh Midco Three PLC, Sec. Fac. Bond, 144A, 8.625%, 7/15/2023 | 209,400 | |
600,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2025 | 601,869 | |
225,000 | GTCR AP Finance, Inc., Sr. Unsecd. Note, 144A, 8.000%, 5/15/2027 | 232,409 | |
1,825,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 7.000%, 5/1/2026 | 1,826,834 | |
75,000 | NFP Corp., Sec. Fac. Bond, 144A, 7.000%, 5/15/2025 | 79,078 | |
775,000 | NFP Corp., Sr. Unsecd. Note, 144A, 6.875%, 7/15/2025 | 746,112 | |
100,000 | NFP Corp., Sr. Unsecd. Note, 144A, 8.000%, 7/15/2025 | 98,052 | |
900,000 | USIS Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.875%, 5/1/2025 | 910,678 | |
TOTAL | 6,421,254 | ||
Leisure—0.6% | |||
600,000 | Six Flags Entertainment Corp., Sr. Unsecd. Note, 144A, 5.500%, 4/15/2027 | 537,000 | |
50,000 | Six Flags Theme Parks, Sec. Fac. Bond, 144A, 7.000%, 7/1/2025 | 51,906 | |
325,000 | Voc Escrow Ltd., 144A, 5.000%, 2/15/2028 | 242,065 | |
TOTAL | 830,971 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Lodging—0.5% | |||
$75,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.375%, 5/1/2025 | $75,047 | |
100,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.750%, 5/1/2028 | 101,438 | |
375,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 5.125%, 5/1/2026 | 374,696 | |
175,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, Series WI, 4.875%, 1/15/2030 | 172,774 | |
TOTAL | 723,955 | ||
Media Entertainment—6.3% | |||
100,000 | AMC Networks, Inc., Sr. Unsecd. Note, 4.750%, 8/1/2025 | 98,411 | |
550,000 | AMC Networks, Inc., Sr. Unsecd. Note, 5.000%, 4/1/2024 | 546,219 | |
425,000 | CBS Radio, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/1/2024 | 371,299 | |
75,000 | Cumulus Media News Holdings, Inc., 144A, 6.750%, 7/1/2026 | 69,410 | |
350,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 5.375%, 8/15/2026 | 255,472 | |
450,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 6.625%, 8/15/2027 | 242,338 | |
350,000 | Entercom Media Corp., 144A, 6.500%, 5/1/2027 | 315,371 | |
75,000 | Gray Escrow, Inc., Sr. Unsecd. Note, 144A, 7.000%, 5/15/2027 | 77,074 | |
375,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.125%, 10/15/2024 | 375,977 | |
250,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2026 | 249,641 | |
100,000 | iHeartCommunications, Inc., 144A, 4.750%, 1/15/2028 | 92,419 | |
150,000 | iHeartCommunications, Inc., 144A, 5.250%, 8/15/2027 | 143,878 | |
50,000 | iHeartCommunications, Inc., 6.375%, 5/1/2026 | 49,617 | |
806,114 | iHeartCommunications, Inc., Sr. Unsecd. Note, 8.375%, 5/1/2027 | 740,162 | |
100,000 | Lamar Media Corp., Sr. Unsecd. Note, 144A, 4.875%, 1/15/2029 | 100,937 | |
450,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 4.125%, 8/1/2030 | 441,351 | |
50,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/1/2028 | 50,776 | |
325,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | 339,336 | |
375,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027 | 375,949 | |
825,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 8/1/2024 | 833,337 | |
350,000 | Nielsen Finance LLC/Nielsen Finance Co., 144A, 5.000%, 4/15/2022 | 349,370 | |
325,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2025 | 324,352 | |
375,000 | Scripps Escrow, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027 | 355,946 | |
75,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.125%, 2/15/2027 | 68,517 | |
800,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.875%, 3/15/2026 | 790,848 | |
475,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2028 | 439,767 | |
225,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 5.000%, 9/15/2029 | 212,206 | |
725,000 | Terrier Media Buyer, Inc., Sr. Unsecd. Note, 144A, 8.875%, 12/15/2027 | 696,906 | |
100,000 | WMG Acquisition Corp., Sec. Fac. Bond, 144A, 3.875%, 7/15/2030 | 101,255 | |
TOTAL | 9,108,141 | ||
Metals & Mining—1.3% | |||
425,000 | Coeur Mining, Inc., Sr. Unsecd. Note, 5.875%, 6/1/2024 | 409,549 | |
275,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 3.875%, 3/15/2023 | 275,907 | |
125,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 4.125%, 3/1/2028 | 121,542 | |
25,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 4.250%, 3/1/2030 | 24,274 | |
200,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.000%, 9/1/2027 | 201,141 | |
75,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.250%, 9/1/2029 | 77,036 | |
375,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.400%, 11/14/2034 | 371,753 | |
125,000 | HudBay Minerals, Inc., Sr. Unsecd. Note, 144A, 7.250%, 1/15/2023 | 123,581 | |
325,000 | HudBay Minerals, Inc., Sr. Unsecd. Note, 144A, 7.625%, 1/15/2025 | 312,034 | |
TOTAL | 1,916,817 | ||
Midstream—7.7% | |||
150,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.500%, 5/20/2025 | 154,967 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Midstream—continued | |||
$175,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.750%, 5/20/2027 | $185,571 | |
400,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026 | 422,926 | |
225,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 178,460 | |
500,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | 396,265 | |
550,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 5.375%, 9/15/2024 | 470,313 | |
500,000 | Atlas Pipeline Partners LP, 5.875%, 8/1/2023 | 466,250 | |
225,000 | Buckeye Partners, Sr. Unsecd. Note, 144A, 4.125%, 3/1/2025 | 216,398 | |
325,000 | Buckeye Partners, Sr. Unsecd. Note, 144A, 4.500%, 3/1/2028 | 306,312 | |
575,000 | CNX Midstream Partners LP/CNX Midstream Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 3/15/2026 | 531,047 | |
250,000 | Cheniere Energy Partners, LP, Series WI, 5.250%, 10/1/2025 | 249,425 | |
425,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, 5.625%, 10/1/2026 | 422,118 | |
225,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, Series WI, 4.500%, 10/1/2029 | 228,691 | |
250,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 6.500%, 7/1/2027 | 256,708 | |
175,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 144A, 6.000%, 7/1/2025 | 177,188 | |
150,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 4.750%, 7/15/2023 | 151,575 | |
200,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 5.500%, 7/15/2028 | 190,946 | |
100,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 6.500%, 7/15/2048 | 91,437 | |
50,000 | Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsecd. Note, 6.750%, 6/15/2023 | 41,432 | |
300,000 | Ferrellgas, L.P., Sr. Unsecd. Note, 6.750%, 1/15/2022 | 253,055 | |
250,000 | Hess Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.125%, 6/15/2028 | 240,840 | |
225,000 | Holly Energy Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 214,840 | |
177,000 | MPLX LP, Sr. Unsecd. Note, Series WI, 6.250%, 10/15/2022 | 179,175 | |
700,000 | NuStar Logistics LP, Sr. Unsecd. Note, 5.625%, 4/28/2027 | 678,205 | |
100,000 | NuStar Logistics LP, Sr. Unsecd. Note, 6.000%, 6/1/2026 | 98,172 | |
425,000 | Suburban Propane Partners LP, 5.500%, 6/1/2024 | 422,074 | |
450,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 | 447,102 | |
475,000 | Summit Midstream Holdings LLC, 5.500%, 8/15/2022 | 315,170 | |
475,000 | Summit Midstream Holdings LLC, Sr. Unsecd. Note, 5.750%, 4/15/2025 | 267,731 | |
50,000 | Sunoco LP/Finance Corp., Sr. Unsecd. Note, Series WI, 5.500%, 2/15/2026 | 48,678 | |
275,000 | Sunoco LP/Finance Corp., Sr. Unsecd. Note, Series WI, 5.875%, 3/15/2028 | 273,961 | |
500,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | 483,280 | |
75,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.000%, 1/15/2028 | 70,746 | |
275,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.375%, 2/1/2027 | 266,012 | |
475,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.875%, 4/15/2026 | 471,361 | |
25,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 6.500%, 7/15/2027 | 25,125 | |
250,000 | TransMontaigne Partners LP/TLP Finance Corp., Sr. Unsecd. Note, 6.125%, 2/15/2026 | 242,140 | |
100,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.000%, 7/1/2022 | 100,180 | |
150,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.500%, 3/1/2028 | 141,750 | |
25,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.650%, 7/1/2026 | 24,070 | |
550,000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.300%, 3/1/2048 | 448,937 | |
75,000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.450%, 4/1/2044 | 62,835 | |
75,000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.500%, 8/15/2048 | 61,125 | |
150,000 | Western Midstream Operating, LP, Sr. Unsecd. Note, 4.050%, 2/1/2030 | 144,934 | |
100,000 | Western Midstream Operating, LP, Sr. Unsecd. Note, 5.250%, 2/1/2050 | 87,146 | |
TOTAL | 11,206,673 | ||
Oil Field Services—1.5% | |||
125,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.250%, 4/1/2028 | 114,725 | |
525,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 496,075 | |
75,000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.250%, 1/15/2026 | 46,313 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Oil Field Services—continued | |||
$75,000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.500%, 1/15/2028 | $46,359 | |
150,000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026 | 92,034 | |
225,000 | Precision Drilling Corp., Sr. Unsecd. Note, 7.750%, 12/15/2023 | 154,945 | |
175,000 | Sesi LLC, 7.125%, 12/15/2021 | 63,875 | |
675,000 | Sesi LLC, Sr. Unsecd. Note, Series WI, 7.750%, 9/15/2024 | 248,836 | |
350,000 | Shelf Drilling Holdings Ltd., Sr. Unsecd. Note, 144A, 8.250%, 2/15/2025 | 158,590 | |
300,000 | USA Compression Partners LP, Sr. Unsecd. Note, 6.875%, 9/1/2027 | 285,447 | |
475,000 | USA Compression Partners LP, Sr. Unsecd. Note, Series WI, 6.875%, 4/1/2026 | 460,080 | |
TOTAL | 2,167,279 | ||
Packaging—5.9% | |||
850,000 | ARD Finance SA, Sec. Fac. Bond, 144A, 6.500%, 6/30/2027 | 842,405 | |
200,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sec. Fac. Bond, 144A, 5.250%, 8/15/2027 | 196,662 | |
350,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 5.250%, 8/15/2027 | 344,158 | |
400,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | 409,900 | |
350,000 | Berry Global Escrow Corp., 144A, 4.875%, 7/15/2026 | 355,616 | |
225,000 | Berry Global Escrow Corp., 144A, 5.625%, 7/15/2027 | 231,897 | |
166,000 | Berry Plastics Corp., 5.500%, 5/15/2022 | 166,766 | |
75,000 | Berry Plastics Corp., 6.000%, 10/15/2022 | 75,328 | |
300,000 | Bway Holding Co., Sec. Fac. Bond, 144A, 5.500%, 4/15/2024 | 295,309 | |
1,000,000 | Bway Holding Co., Sr. Unsecd. Note, 144A, 7.250%, 4/15/2025 | 909,740 | |
175,000 | Crown Americas LLC/Crown Americas Capital Corp. VI, Sr. Unsecd. Note, 4.750%, 2/1/2026 | 178,953 | |
1,075,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, 144A, 6.875%, 1/15/2025 | 1,040,724 | |
625,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, 144A, 7.875%, 7/15/2026 | 608,066 | |
425,000 | Owens-Brockway Glass Container, Inc., 144A, 5.375%, 1/15/2025 | 430,799 | |
150,000 | Owens-Brockway Glass Container, Inc., 144A, 5.875%, 8/15/2023 | 155,266 | |
200,000 | Owens-Brockway Glass Container, Inc., 144A, 6.375%, 8/15/2025 | 212,125 | |
100,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.625%, 5/13/2027 | 104,188 | |
525,000 | Reynolds Group Issuer, Inc./LLC/LU, 144A, 7.000%, 7/15/2024 | 527,706 | |
125,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/1/2027 | 125,313 | |
150,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 5.500%, 9/15/2025 | 161,797 | |
500,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.625%, 11/1/2025 | 476,822 | |
175,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.250%, 8/1/2024 | 179,904 | |
200,000 | Trivium Packaging Finance BV, Sec. Fac. Bond, 144A, 5.500%, 8/15/2026 | 202,750 | |
300,000 | Trivium Packaging Finance BV, Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027 | 321,319 | |
TOTAL | 8,553,513 | ||
Paper—0.6% | |||
725,000 | Clearwater Paper Corp., Sr. Unsecd. Note, 144A, 5.375%, 2/1/2025 | 732,703 | |
125,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 4.750%, 7/15/2027 | 132,320 | |
TOTAL | 865,023 | ||
Pharmaceuticals—3.1% | |||
200,000 | Bausch Health Cos, Inc., Sec. Fac. Bond, 144A, 5.500%, 11/1/2025 | 204,612 | |
200,000 | Bausch Health Cos, Inc., Sec. Fac. Bond, 144A, 5.750%, 8/15/2027 | 212,462 | |
175,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.000%, 1/30/2028 | 164,980 | |
45,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2023 | 44,892 | |
50,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.875%, 5/15/2023 | 49,914 | |
1,175,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 6.125%, 4/15/2025 | 1,193,424 | |
50,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/15/2029 | 50,344 | |
300,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/30/2029 | 315,244 | |
400,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 8.500%, 1/31/2027 | 425,290 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Pharmaceuticals—continued | |||
$375,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 9.000%, 12/15/2025 | $404,404 | |
431,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 144A, 6.000%, 6/30/2028 | 280,150 | |
296,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., Term Loan—2nd Lien, 144A, 9.500%, 7/31/2027 | 314,559 | |
225,000 | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Sr. Unsecd. Note, 144A, 4.625%, 6/15/2025 | 229,404 | |
175,000 | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Sr. Unsecd. Note, 144A, 5.000%, 6/15/2028 | 179,484 | |
925,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2025 | 155,516 | |
575,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2023 | 115,000 | |
75,000 | Par Pharmaceutical Cos., Inc., Sec. Fac. Bond, 144A, 7.500%, 4/1/2027 | 77,216 | |
TOTAL | 4,416,895 | ||
Restaurants—1.5% | |||
250,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 4.375%, 1/15/2028 | 245,470 | |
975,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 5.000%, 10/15/2025 | 971,778 | |
200,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Sr. Secd. Note, 144A, 4.250%, 5/15/2024 | 200,554 | |
75,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Sr. Unsecd. Note, 144A, 4.750%, 6/1/2027 | 77,093 | |
75,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 76,329 | |
500,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 5.250%, 6/1/2026 | 514,077 | |
75,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 7.750%, 4/1/2025 | 81,047 | |
TOTAL | 2,166,348 | ||
Retailers—0.5% | |||
350,000 | Michaels Stores, Inc., Sr. Unsecd. Note, 144A, 8.000%, 7/15/2027 | 304,784 | |
525,000 | Party City Holdings, Inc., Sr. Unsecd. Note, 144A, 6.125%, 8/15/2023 | 118,125 | |
525,000 | Party City Holdings, Inc., Sr. Unsecd. Note, 144A, 6.625%, 8/1/2026 | 118,125 | |
75,000 | William Carter Co., Sr. Unsecd. Note, 144A, 5.500%, 5/15/2025 | 77,484 | |
50,000 | William Carter Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2027 | 51,645 | |
TOTAL | 670,163 | ||
Supermarkets—0.9% | |||
75,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 4.875%, 2/15/2030 | 76,810 | |
75,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 5.875%, 2/15/2028 | 77,509 | |
50,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 7.500%, 3/15/2026 | 54,280 | |
600,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 5.750%, 3/15/2025 | 615,315 | |
475,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 6.625%, 6/15/2024 | 487,350 | |
TOTAL | 1,311,264 | ||
Technology—7.0% | |||
250,000 | AMS AG, Sr. Unsecd. Note, 144A, 7.000%, 7/31/2025 | 248,750 | |
125,000 | Banff Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.750%, 9/1/2026 | 126,070 | |
125,000 | CDW LLC/CDW Finance, Sr. Unsecd. Note, 4.250%, 4/1/2028 | 127,593 | |
175,000 | CDW LLC/CDW Finance, Sr. Unsecd. Note, 5.500%, 12/1/2024 | 190,732 | |
900,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Unsecd. Note, 144A, 7.125%, 6/15/2024 | 933,244 | |
250,000 | Ensemble S Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.000%, 9/30/2023 | 253,411 | |
50,000 | Fair Isaac & Co., Inc., Sr. Unsecd. Note, 144A, 4.000%, 6/15/2028 | 50,250 | |
125,000 | Financial & Risk US Holdings, Inc., 144A, 6.250%, 5/15/2026 | 132,789 | |
900,000 | Financial & Risk US Holdings, Inc., Sr. Unsecd. Note, 144A, 8.250%, 11/15/2026 | 975,586 | |
25,000 | Gartner, Inc., Sr. Unsecd. Note, 144A, 4.500%, 7/1/2028 | 25,355 | |
250,000 | Gartner, Inc., Sr. Unsecd. Note, 144A, 5.125%, 4/1/2025 | 256,664 | |
775,000 | Inception Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 8.625%, 11/15/2024 | 789,725 | |
675,000 | JDA Escrow LLC / JDA Bond Finance, Inc., 144A, 7.375%, 10/15/2024 | 675,773 | |
225,000 | Microchip Technology, Inc., Sr. Unsecd. Note, 144A, 4.250%, 9/1/2025 | 227,069 | |
50,000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/1/2027 | 50,114 | |
150,000 | NCR Corp., Sr. Unsecd. Note, 144A, 8.125%, 4/15/2025 | 159,656 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$400,000 | NCR Corp., Sr. Unsecd. Note, 6.375%, 12/15/2023 | $407,542 | |
400,000 | Nuance Communications, Inc., Sr. Unsecd. Note, 5.625%, 12/15/2026 | 417,162 | |
150,000 | Open Text Corp., Sr. Unsecd. Note, 144A, 4.125%, 2/15/2030 | 147,727 | |
200,000 | Qorvo, Inc., 144A, 4.375%, 10/15/2029 | 205,160 | |
625,000 | SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027 | 639,341 | |
25,000 | Science Applications International Corp., Sr. Unsecd. Note, 144A, 4.875%, 4/1/2028 | 24,964 | |
75,000 | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 4.375%, 2/15/2030 | 74,440 | |
200,000 | Sensata Technologies UK Financing Co. PLC, Sr. Unsecd. Note, 144A, 6.250%, 2/15/2026 | 207,963 | |
200,000 | Star Merger Sub, Inc., 144A, 6.875%, 8/15/2026 | 212,469 | |
850,000 | Star Merger Sub, Inc., Sr. Unsecd. Note, 144A, 10.250%, 2/15/2027 | 945,468 | |
375,000 | TTM Technologies, Inc., Sr. Unsecd. Note, 144A, 5.625%, 10/1/2025 | 373,322 | |
1,200,000 | Tempo Acquisition LLC, Sr. Unsecd. Note, 144A, 6.750%, 6/1/2025 | 1,218,738 | |
TOTAL | 10,097,077 | ||
Transportation Services—0.3% | |||
200,000 | Stena International S.A., Sec. Fac. Bond, 144A, 6.125%, 2/1/2025 | 191,625 | |
250,000 | Watco Cos LLC/Finance Co., Sr. Unsecd. Note, 144A, 6.500%, 6/15/2027 | 257,395 | |
TOTAL | 449,020 | ||
Utility - Electric—3.3% | |||
300,000 | Calpine Corp., 144A, 4.500%, 2/15/2028 | 294,504 | |
200,000 | Calpine Corp., 144A, 5.250%, 6/1/2026 | 202,523 | |
550,000 | Calpine Corp., 5.750%, 1/15/2025 | 557,103 | |
125,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028 | 122,453 | |
75,000 | DPL, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2025 | 75,208 | |
775,000 | Enviva Partners LP/Enviva Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 1/15/2026 | 807,453 | |
300,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 5.250%, 6/15/2029 | 316,381 | |
450,000 | NRG Energy, Inc., Sr. Unsecd. Note, 7.250%, 5/15/2026 | 475,792 | |
50,000 | NRG Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 1/15/2028 | 52,866 | |
50,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.250%, 1/31/2023 | 50,406 | |
50,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 50,866 | |
850,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028 | 890,218 | |
300,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.000%, 7/31/2027 | 305,325 | |
175,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026 | 179,558 | |
400,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027 | 411,376 | |
TOTAL | 4,792,032 | ||
Wireless Communications—3.0% | |||
1,100,000 | Numericable-SFR SAS, 144A, 7.375%, 5/1/2026 | 1,149,489 | |
450,000 | Sprint Capital Corp., Company Guarantee, 6.875%, 11/15/2028 | 549,653 | |
775,000 | Sprint Corp., 7.125%, 6/15/2024 | 876,478 | |
150,000 | Sprint Corp., 7.875%, 9/15/2023 | 169,124 | |
150,000 | Sprint Corp., Sr. Unsecd. Note, 7.625%, 2/15/2025 | 173,387 | |
150,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 4.500%, 2/1/2026 | 152,105 | |
250,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2028 | 264,406 | |
275,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.000%, 3/1/2023 | 276,614 | |
350,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2025 | 359,975 | |
325,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.500%, 1/15/2026 | 340,010 | |
TOTAL | 4,311,241 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $147,504,982) | 140,076,020 |
Principal Amount or Shares | Value | ||
COMMON STOCKS—0.1% | |||
Chemicals—0.0% | |||
8,506 | 2 | Hexion Holdings Corp. | $57,416 |
Media Entertainment—0.1% | |||
7,915 | 2 | iHeartMedia, Inc. | 66,090 |
TOTAL COMMON STOCKS (IDENTIFIED COST $319,520) | 123,506 | ||
FLOATING RATE LOAN—0.1% | |||
Health Care—0.1% | |||
$316,250 | 3 | Envision Healthcare Corp., 1st Lien PIK Term Loan B, 5.491% (3-month USLIBOR +4.500%), 10/10/2025 (IDENTIFIED COST $557,456) | 181,844 |
REPURCHASE AGREEMENT—2.9% | |||
Finance - Banking—2.9% | |||
4,142,000 | Interest in $1,400,000,000 joint repurchase agreement 0.09%, dated 6/30/2020 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,400,003,500 on 7/1/2020. 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 7/20/2045 and the market value of those underlying securities was $1,428,003,570. (IDENTIFIED COST $4,142,000) | 4,142,000 | |
TOTAL INVESTMENT IN SECURITIES—99.7% (IDENTIFIED COST $152,523,958)4 | 144,523,370 | ||
OTHER ASSETS AND LIABILITIES - NET—0.3%5 | 450,392 | ||
TOTAL NET ASSETS—100% | $144,973,762 |
1 | Issuer in default. |
2 | Non-income-producing security. |
3 | Floating/variable note with current rate and current maturity or next reset date shown. |
4 | The cost of investments for federal tax purposes amounts to $152,875,987. |
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 | $— | $140,076,020 | $— | $140,076,020 |
Floating Rate Loan | — | 181,844 | — | 181,844 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 123,506 | — | — | 123,506 |
Repurchase Agreement | — | 4,142,000 | — | 4,142,000 |
TOTAL SECURITIES | $123,506 | $144,399,864 | $— | $144,523,370 |
Six Months Ended (unaudited) 6/30/2020 | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $6.53 | $6.07 | $6.82 | $6.84 | $6.36 | $6.91 |
Income From Investment Operations: | ||||||
Net investment income1 | 0.15 | 0.33 | 0.34 | 0.36 | 0.37 | 0.37 |
Net realized and unrealized gain (loss) | (0.50) | 0.53 | (0.55) | 0.09 | 0.53 | (0.53) |
TOTAL FROM INVESTMENT OPERATIONS | (0.35) | 0.86 | (0.21) | 0.45 | 0.90 | (0.16) |
Less Distributions: | ||||||
Distributions from net investment income | (0.37) | (0.40) | (0.54) | (0.47) | (0.42) | (0.39) |
Net Asset Value, End of Period | $5.81 | $6.53 | $6.07 | $6.82 | $6.84 | $6.36 |
Total Return2 | (4.30)% | 14.54% | (3.29)% | 6.94% | 14.82% | (2.57)% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.81%4 | 0.81% | 0.81% | 0.78% | 0.72% | 0.77% |
Net investment income | 5.15%4 | 5.26% | 5.27% | 5.26% | 5.74% | 5.55% |
Expense waiver/reimbursement5 | 0.03%4 | 0.02% | 0.01% | 0.00%6 | 0.06% | –% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $97,407 | $109,538 | $106,628 | $192,194 | $190,070 | $267,448 |
Portfolio turnover | 15% | 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. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
6 | Represents less than 0.01%. |
Six Months Ended (unaudited) 6/30/2020 | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $6.49 | $6.04 | $6.78 | $6.81 | $6.33 | $6.87 |
Income From Investment Operations: | ||||||
Net investment income1 | 0.14 | 0.31 | 0.32 | 0.34 | 0.35 | 0.35 |
Net realized and unrealized gain (loss) | (0.48) | 0.52 | (0.54) | 0.09 | 0.53 | (0.52) |
TOTAL FROM INVESTMENT OPERATIONS | (0.34) | 0.83 | (0.22) | 0.43 | 0.88 | (0.17) |
Less Distributions: | ||||||
Distributions from net investment income | (0.36) | (0.38) | (0.52) | (0.46) | (0.40) | (0.37) |
Net Asset Value, End of Period | $5.79 | $6.49 | $6.04 | $6.78 | $6.81 | $6.33 |
Total Return2 | (4.29)% | 14.13% | (3.43)% | 6.56% | 14.53% | (2.72)% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.06%4 | 1.06% | 1.06% | 1.03% | 0.96% | 1.01% |
Net investment income | 4.88%4 | 4.99% | 5.03% | 5.01% | 5.48% | 5.29% |
Expense waiver/reimbursement5 | 0.03%4 | 0.02% | 0.01% | 0.00%6 | 0.08% | –% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $47,566 | $58,591 | $43,012 | $50,284 | $49,183 | $44,179 |
Portfolio turnover | 15% | 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. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
6 | Represents less than 0.01%. |
Assets: | ||
Investment in securities, at value including (identified cost $152,523,958) | $144,523,370 | |
Income receivable | 2,361,264 | |
Receivable for investments sold | 992,695 | |
Receivable for shares sold | 111,698 | |
TOTAL ASSETS | 147,989,027 | |
Liabilities: | ||
Payable for investments purchased | $2,828,750 | |
Payable for shares redeemed | 148,214 | |
Bank overdraft | 1,907 | |
Payable for investment adviser fee (Note 5) | 2,237 | |
Payable for administrative fees (Note 5) | 308 | |
Payable for distribution services fee (Note 5) | 9,896 | |
Accrued expenses (Note 5) | 23,953 | |
TOTAL LIABILITIES | 3,015,265 | |
Net assets for 24,969,567 shares outstanding | $144,973,762 | |
Net Assets Consist of: | ||
Paid-in capital | $162,717,116 | |
Total distributable earnings (loss) | (17,743,354) | |
TOTAL NET ASSETS | $144,973,762 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
Net asset value per share ($97,407,349 ÷ 16,755,310 shares outstanding), no par value, unlimited shares authorized | $5.81 | |
Service Shares: | ||
Net asset value per share ($47,566,413 ÷ 8,214,257 shares outstanding), no par value, unlimited shares authorized | $5.79 |
Investment Income: | |||
Interest | $4,393,424 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $442,537 | ||
Administrative fee (Note 5) | 59,901 | ||
Custodian fees | 6,853 | ||
Transfer agent fee | 8,215 | ||
Directors'/Trustees' fees (Note 5) | 1,043 | ||
Auditing fees | 16,913 | ||
Legal fees | 4,239 | ||
Portfolio accounting fees | 44,347 | ||
Distribution services fee (Note 5) | 61,100 | ||
Printing and postage | 25,813 | ||
Miscellaneous (Note 5) | 11,702 | ||
TOTAL EXPENSES | 682,663 | ||
Waiver of investment adviser fee (Note 5) | (20,523) | ||
Net expenses | 662,140 | ||
Net investment income | 3,731,284 | ||
Realized and Unrealized Gain (Loss) on Investments: | |||
Net realized loss on investments | (234,548) | ||
Net change in unrealized appreciation of investments | (9,606,248) | ||
Net realized and unrealized loss on investments | (9,840,796) | ||
Change in net assets resulting from operations | $(6,109,512) |
Six Months Ended (unaudited) 6/30/2020 | Year Ended 12/31/2019 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $3,731,284 | $8,215,344 |
Net realized loss | (234,548) | (529,999) |
Net change in unrealized appreciation/depreciation | (9,606,248) | 13,556,833 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (6,109,512) | 21,242,178 |
Distributions to Shareholders: | ||
Primary Shares | (5,812,160) | (6,917,851) |
Service Shares | (2,736,746) | (2,697,708) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (8,548,906) | (9,615,559) |
Share Transactions: | ||
Proceeds from sale of shares | 19,847,907 | 42,973,449 |
Net asset value of shares issued to shareholders in payment of distributions declared | 8,548,900 | 9,615,553 |
Cost of shares redeemed | (36,893,985) | (45,725,985) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (8,497,178) | 6,863,017 |
Change in net assets | (23,155,596) | 18,489,636 |
Net Assets: | ||
Beginning of period | 168,129,358 | 149,639,722 |
End of period | $144,973,762 | $168,129,358 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market. |
■ | 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. |
Six Months Ended 6/30/2020 | Year Ended 12/31/2019 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 2,450,185 | $13,735,566 | 3,164,991 | $19,950,540 |
Shares issued to shareholders in payment of distributions declared | 1,181,333 | 5,812,160 | 1,132,218 | 6,917,851 |
Shares redeemed | (3,658,916) | (21,996,743) | (5,078,703) | (31,964,711) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (27,398) | $(2,449,017) | (781,494) | $(5,096,320) |
Six Months Ended 6/30/2020 | Year Ended 12/31/2019 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,039,349 | $6,112,341 | 3,668,502 | $23,022,909 |
Shares issued to shareholders in payment of distributions declared | 558,519 | 2,736,740 | 442,972 | 2,697,702 |
Shares redeemed | (2,408,486) | (14,897,242) | (2,207,531) | (13,761,274) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (810,618) | $(6,048,161) | 1,903,943 | $11,959,337 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (838,016) | $(8,497,178) | 1,122,449 | $6,863,017 |
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 | $61,100 |
Purchases | $20,879,563 |
Sales | $26,502,006 |
Beginning Account Value 1/1/2020 | Ending Account Value 6/30/2020 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $957.00 | $3.94 |
Service Shares | $1,000 | $957.10 | $5.16 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,020.84 | $4.07 |
Service Shares | $1,000 | $1,019.60 | $5.32 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 182/366 (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% |
■ | the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment, including a review of the Funds’ access to other available funding sources such as the Funds’ interfund lending facility, redemptions in-kind and committed lines of credit and confirmation that the Fund did not have to access any of these alternative funding sources during the Period; |
■ | the periodic classifications of the Fund’s investments into one of four liquidity categories and the methodologies and inputs used to classify the investments, including the Fund’s reasonably anticipated trade size; |
■ | the analysis received from a third-party liquidity assessment vendor that is taken into account in the process of determining the liquidity classifications of the Fund’s investments and the results of an evaluation of the services performed by the vendor in support of this process; |
■ | the fact that the Fund invested primarily in highly liquid investments during the Period and, therefore, was not required to establish, and has not established, an HLIM and the procedures for monitoring the status of the Fund as investing primarily in highly liquid investments; |
■ | the fact that the Fund invested no more than 15% of its assets in illiquid investments during the Period and the procedures for monitoring this limit; and |
■ | liquidity events during the Period, including the impact on liquidity caused by extended non-U.S. market closures and the market disruptions resulting from the novel coronavirus outbreak, and the fact that there were no specific liquidity events during the Period that materially affected the Fund’s liquidity risk. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916843
Share Class | Primary | Service |
Sector Composition | Percentage of Total Net Assets |
Health Care | 32.7% |
Information Technology | 17.0% |
Materials | 13.8% |
Industrials | 6.6% |
Consumer Discretionary | 6.2% |
Financials | 4.5% |
Real Estate | 1.7% |
Communication Services | 0.7% |
Consumer Staples | 0.4% |
Energy | 0.4% |
Securities Lending Collateral2 | 0.6% |
Cash Equivalents3 | 16.3% |
Other Assets and Liabilities—Net4 | (0.9)% |
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—83.9% | |||
Communication Services—0.7% | |||
28,038 | 1 | ZoomInfo Technologies, Inc. | $1,430,779 |
Consumer Discretionary—6.2% | |||
4,340 | 1 | Alibaba Group Holding Ltd., ADR | 936,138 |
657 | 1 | Amazon.com, Inc. | 1,812,545 |
1,400 | 1 | Bright Horizons Family Solutions, Inc. | 164,080 |
3,500 | 1 | Etsy, Inc. | 371,805 |
17,585 | 1 | Floor & Decor Holdings, Inc. | 1,013,775 |
2,002 | 1 | GrubHub, Inc. | 140,741 |
2,800 | Hilton Worldwide Holdings, Inc. | 205,660 | |
1,958 | Home Depot, Inc. | 490,499 | |
3,950 | 1 | Just Eat Takeaway | 411,014 |
17,354 | Las Vegas Sands Corp. | 790,301 | |
3,397 | 1 | Lululemon Athletica, Inc. | 1,059,898 |
17,400 | Moncler S.p.A | 664,378 | |
662,441 | NagaCorp Ltd. | 771,696 | |
5,385 | 1 | Planet Fitness, Inc. | 326,169 |
1,600 | Vail Resorts, Inc. | 291,440 | |
15,462 | Wingstop, Inc. | 2,148,754 | |
14,355 | 1 | YETI Holdings, Inc. | 613,389 |
TOTAL | 12,212,282 | ||
Consumer Staples—0.4% | |||
500 | Costco Wholesale Corp. | 151,605 | |
2,700 | 1 | Freshpet, Inc. | 225,882 |
8,017 | 1 | Grocery Outlet Holding Corp. | 327,094 |
TOTAL | 704,581 | ||
Energy—0.4% | |||
52,800 | 1 | New Fortress Energy LLC | 684,288 |
Financials—4.5% | |||
9,400 | 1 | ARYA Sciences Acquisition Corp. | 188,000 |
22,400 | Apollo Global Management LLC | 1,118,208 | |
94,600 | Ashmore Group PLC | 488,288 | |
2,265 | BlackRock, Inc. | 1,232,364 | |
7,200 | Exor NV | 410,519 | |
125,000 | FinecoBank Banca Fineco SPA | 1,684,388 | |
1,650 | Goldman Sachs Group, Inc. | 326,073 | |
20,600 | Hamilton Lane, Inc. | 1,387,822 | |
31,800 | KKR & Co., Inc, Class Common | 981,984 | |
925 | 1 | Markel Corp. | 853,932 |
9,900 | 1 | SelectQuote, Inc. | 250,767 |
TOTAL | 8,922,345 | ||
Health Care—32.6% | |||
10,800 | Abbott Laboratories | 987,444 | |
7,912 | 1 | Akouos, Inc. | 178,020 |
30,290 | 1 | Albireo Pharma, Inc. | 802,382 |
62,000 | 1 | Alector, Inc. | 1,515,280 |
46,300 | 1 | Amarin Corporation PLC., ADR | 320,396 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
33,968 | 1 | Amphastar Pharmaceuticals, Inc. | $762,921 |
27,866 | 1 | Argenx SE | 6,210,854 |
1,319 | 1 | Avidity Biosciences LLC | 37,275 |
4,298 | 1 | Avrobio, Inc. | 75,000 |
21,000 | 1 | Boston Scientific Corp. | 737,310 |
17,700 | 1 | CRISPR Therapeutics AG | 1,300,773 |
89,600 | 1 | Calithera Biosciences, Inc. | 473,088 |
46,800 | 1 | Catabasis Pharmaceuticals, Inc. | 300,924 |
19,100 | 1 | Catalent, Inc. | 1,400,030 |
130,187 | 1 | Corcept Therapeutics, Inc. | 2,189,745 |
7,550 | Danaher Corp. | 1,335,067 | |
8,213 | 1 | Dexcom, Inc. | 3,329,550 |
166,800 | 1 | Dynavax Technologies Corp. | 1,479,516 |
24,300 | 1 | Editas Medicine, Inc. | 718,794 |
7,500 | 1 | Edwards Lifesciences Corp. | 518,325 |
3,200 | 1 | Fate Therapeutics, Inc. | 109,792 |
20,900 | 1,2 | Frequency Therapeutics, Inc. | 485,925 |
13,400 | 1,2 | GW Pharmaceuticals PLC, ADR | 1,644,448 |
11,700 | 1 | Galapagos NV | 2,296,814 |
18,000 | 1 | Galapagos NV, ADR | 3,551,220 |
46,449 | 1 | Gamida Cell Ltd. | 212,272 |
6,780 | 1 | Genmab A/S | 2,268,054 |
15,241 | 1 | Genmab A/S, ADR | 516,518 |
12,200 | 1 | Gossamer Bio, Inc. | 158,600 |
1,600 | 1 | IDEXX Laboratories, Inc. | 528,256 |
1,400 | 1 | Illumina, Inc. | 518,490 |
10,000 | 1 | Immatics N.V. | 125,920 |
7,000 | 1 | Insulet Corp. | 1,359,820 |
660 | 1 | Intuitive Surgical, Inc. | 376,088 |
4,154 | Johnson & Johnson | 584,177 | |
13,000 | 1 | Kaleido Biosciences, Inc. | 96,590 |
2,556 | 1 | Legend Biotech Corp., ADR | 108,783 |
36,955 | 1 | Merus NV | 594,606 |
137,800 | 1 | Minerva Neurosciences, Inc. | 497,458 |
44,100 | 1 | Moderna, Inc. | 2,831,661 |
17,682 | 1 | Molecular Partners AG | 279,023 |
6,250 | 1 | Orchard Therapeutics PLC, ADR | 37,500 |
9,000 | 1 | PDS Biotechnology Corp. | 18,090 |
6,600 | 1 | Repligen Corp. | 815,826 |
27,300 | 1 | Rhythm Pharmaceuticals, Inc. | 608,790 |
1,578 | 1 | Sarepta Therapeutics, Inc. | 253,017 |
139,300 | 1 | Scynexis, Inc. | 104,600 |
28,800 | 1 | Seres Therapeutics, Inc. | 137,088 |
10,400 | 1 | Stoke Therapeutics, Inc. | 247,832 |
3,100 | Stryker Corp. | 558,589 | |
24,200 | 1 | Tandem Diabetes Care, Inc. | 2,393,864 |
5,100 | 1 | Teladoc, Inc. | 973,284 |
27,000 | 1 | Translate Bio, Inc. | 483,840 |
20,775 | 1 | TransMedics Group, Inc. | 372,288 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
49,900 | 1 | Ultragenyx Pharmaceutical, Inc. | $3,903,178 |
49,300 | 1 | UniQure N.V. | 2,221,458 |
19,500 | 1 | Veeva Systems, Inc. | 4,571,190 |
23,189 | 1 | Zai Lab Ltd., ADR | 1,904,513 |
24,134 | 1 | Zogenix, Inc. | 651,859 |
TOTAL | 64,074,015 | ||
Industrials—6.6% | |||
34,556 | 1,2 | Azul S.A., ADR | 386,336 |
7,100 | 1 | Colfax Corp. | 198,090 |
3,540 | 1 | CoStar Group, Inc. | 2,515,772 |
2,750 | 1 | FTI Consulting, Inc. | 315,013 |
3,200 | 1 | Generac Holdings, Inc. | 390,176 |
10,116 | HEICO Corp. | 1,008,059 | |
9,650 | IHS Markit Ltd. | 728,575 | |
4,252 | L3Harris Technologies, Inc. | 721,437 | |
35,700 | 1 | Mercury Systems, Inc. | 2,808,162 |
4,700 | Roper Technologies, Inc. | 1,824,822 | |
7,771 | 1 | Trex Co., Inc. | 1,010,774 |
5,800 | Verisk Analytics, Inc. | 987,160 | |
TOTAL | 12,894,376 | ||
Information Technology—17.0% | |||
1,300 | 1 | Adobe, Inc. | 565,903 |
34,000 | 1 | Advanced Micro Devices, Inc. | 1,788,740 |
5,071 | 1 | Ansys, Inc. | 1,479,363 |
1,500 | Broadcom, Inc. | 473,415 | |
5,326 | 1 | Coupa Software, Inc. | 1,475,515 |
2,800 | 1 | DocuSign, Inc. | 482,188 |
8,675 | 1 | Envestnet, Inc. | 637,960 |
5,229 | 1 | Everbridge, Inc. | 723,484 |
2,100 | FLIR Systems, Inc. | 85,197 | |
7,900 | Fidelity National Information Services, Inc. | 1,059,311 | |
36,700 | 1 | GDS Holdings Ltd., ADR | 2,923,522 |
7,400 | 1 | GoDaddy, Inc. | 542,642 |
36,300 | Marvell Technology Group Ltd. | 1,272,678 | |
15,359 | 1 | Medallia, Inc. | 387,661 |
45,600 | 1 | Nexi SpA | 787,717 |
47,300 | 1 | PagSeguro Digital Ltd. | 1,671,582 |
13,600 | 1 | Q2 Holdings, Inc. | 1,166,744 |
32,100 | 1 | Radware Ltd. | 757,239 |
15,000 | 1 | Rapid7, Inc. | 765,300 |
4,800 | 1 | RealPage, Inc. | 312,048 |
2,685 | 1 | Salesforce.com, Inc. | 502,981 |
6,900 | 1 | ServiceNow, Inc. | 2,794,914 |
5,750 | 1 | Shopify, Inc. | 5,457,900 |
10,100 | 1 | Splunk, Inc. | 2,006,870 |
4,820 | 1 | Tyler Technologies, Inc. | 1,671,962 |
8,100 | 1 | Workday, Inc. | 1,517,616 |
TOTAL | 33,310,452 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Materials—13.8% | |||
52,800 | Agnico Eagle Mines Ltd. | $3,382,368 | |
289,700 | B2Gold Corp. | 1,647,381 | |
11,111 | Ball Corp. | 772,103 | |
110,900 | Barrick Gold Corp. | 2,987,646 | |
54,300 | 1 | Endeavour Financial Corp. | 1,313,903 |
7,300 | Franco-Nevada Corp. | 1,019,774 | |
205,400 | 1 | Kinross Gold Corp. | 1,482,988 |
45,300 | Kirkland Lake Gold Ltd. | 1,868,172 | |
79,000 | Newcrest Mining Ltd. | 1,761,325 | |
54,200 | Newmont Corp. | 3,346,308 | |
64,800 | Osisko Gold Royalties Ltd. | 648,000 | |
7,347 | Pan American Silver Corp. | 223,275 | |
73,800 | 1 | Pretium Resources, Inc. | 619,920 |
2,901 | Scotts Miracle-Gro Co. | 390,098 | |
3,293 | Sherwin-Williams Co. | 1,902,860 | |
10,668 | Vulcan Materials Co. | 1,235,888 | |
25,500 | Wheaton Precious Metals Corp. | 1,123,275 | |
263,900 | Yamana Gold, Inc. | 1,440,894 | |
TOTAL | 27,166,178 | ||
Real Estate—1.7% | |||
16,500 | Americold Realty Trust | 598,950 | |
5,100 | Crown Castle International Corp. | 853,485 | |
7,000 | Easterly Government Properties, Inc. | 161,840 | |
25,218 | JBG Smith Properties | 745,697 | |
17,100 | MGM Growth Properties LLC | 465,291 | |
9,382 | Ryman Hospitality Properties | 324,617 | |
7,010 | STAG Industrial, Inc. | 205,531 | |
TOTAL | 3,355,411 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $81,986,774) | 164,754,707 | ||
WARRANTS—0.1% | |||
Health Care—0.1% | |||
11,450 | 1 | Catabasis Pharmaceuticals, Inc., Warrants | 36,772 |
21,500 | 1 | Catabasis Pharmaceuticals, Inc., Warrants | 39,672 |
42,500 | 1 | ContraFect Corp., Warrants | 4,628 |
87,500 | 1 | ContraFect Corp., Warrants | 13,991 |
10,000 | 1 | Dynavax Technologies Corp., Warrants | 68,171 |
21,060 | 1 | Scynexis, Inc., Warrants | 335 |
25,200 | 1 | Scynexis, Inc., Warrants | 4,959 |
TOTAL WARRANTS (IDENTIFIED COST $1,300) | 168,528 | ||
REPURCHASE AGREEMENTS—16.9% | |||
$1,156,400 | Interest in $1,400,000,000 joint repurchase agreement 0.09%, dated 6/30/2020 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,400,003,500 on 7/1/2020. 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 7/20/2045 and the market value of those underlying securities was $1,428,003,570 (purchased with proceeds from securities lending collateral). | 1,156,400 |
Shares or Principal Amount | Value | ||
WARRANTS—continued | |||
REPURCHASE AGREEMENTS—continued | |||
32,079,000 | Interest in $1,400,000,000 joint repurchase agreement 0.09%, dated 6/30/2020 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,400,003,500 on 7/1/2020. 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 7/20/2045 and the market value of those underlying securities was $1,428,003,570. | $32,079,000 | |
TOTAL REPURCHASE AGREEMENTS (IDENTIFIED COST $33,235,400) | 33,235,400 | ||
TOTAL INVESTMENT IN SECURITIES—100.9% (IDENTIFIED COST $115,223,474)3 | 198,158,635 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.9)%4 | (1,855,350) | ||
TOTAL NET ASSETS—100% | $196,303,285 |
Balance of Shares Held 12/31/2019 | Purchases/ Additions** | Sales/ Reductions** | Balance of Shares Held 6/30/2020 | Value | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss)** | Dividend Income | |
Consumer Discretionary | ||||||||
Wingstop, Inc. | 15,970 | — | (508) | 15,462 | $2,148,754 | $815,080 | $— | $3,458 |
Energy | ||||||||
New Fortress Energy LLC | 32,100 | 20,700 | — | 52,800 | $684,288 | $(141,470) | $— | $— |
Financials | ||||||||
ARYA Sciences Acquisition Corp. | 9,400 | — | — | 9,400 | $188,000 | $79,900 | $— | $— |
Health Care | ||||||||
Albireo Pharma, Inc. | 26,100 | 4,190 | — | 30,290 | $802,382 | $50,930 | $— | $— |
Alector, Inc. | 61,300 | 11,672 | (10,972) | 62,000 | $1,515,280 | $441,697 | $(4,153) | $— |
Amphastar Pharmaceuticals, Inc. | 22,100 | 11,868 | — | 33,968 | $762,921 | $103,469 | $— | $— |
Calithera Biosciences, Inc. | 84,100 | 5,500 | — | 89,600 | $473,088 | $(41,498) | $— | $— |
Catabasis Pharmaceuticals, Inc. | 42,800 | 4,000 | — | 46,800 | $300,924 | $27,976 | $— | $— |
Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 2/28/2024 | 11,450 | — | — | 11,450 | $36,772 | $1,428 | $— | $— |
Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 6/22/2022 | 21,500 | — | — | 21,500 | $39,672 | $(817) | $— | $— |
ContraFect Corp., Warrants, Expiration Date 7/20/2022 | 87,500 | — | — | 87,500 | $13,991 | $437 | $— | $— |
ContraFect Corp., Warrants, Expiration Date 7/27/2021 | 42,500 | — | — | 42,500 | $4,628 | $(923) | $— | $— |
Corcept Therapeutics, Inc.* | 234,400 | — | (104,213) | 130,187 | $2,189,745 | $(320,486) | $974,383 | $— |
Dynavax Technologies Corp. | 146,800 | 20,000 | — | 166,800 | $1,479,516 | $539,820 | $— | $— |
Dynavax Technologies Corp., Warrants, Expiration Date 2/12/2022 | 10,000 | — | — | 10,000 | $68,171 | $35,447 | $— | $— |
Merus NV | 11,400 | 25,555 | — | 36,955 | $594,606 | $83,113 | $— | $— |
Minerva Neurosciences, Inc. | 205,200 | — | (67,400) | 137,800 | $497,458 | $(360,293) | $— | $— |
Molecular Partners AG | 17,900 | — | (218) | 17,682 | $279,023 | $(41,325) | $1,016 | $— |
Rhythm Pharmaceuticals, Inc. | 27,300 | — | — | 27,300 | $608,790 | $(18,018) | $— | $— |
Scynexis, Inc. | 139,300 | — | — | 139,300 | $104,600 | $(22,163) | $— | $— |
Scynexis, Inc., Warrants, Expiration Date 3/8/2023 | 25,200 | — | — | 25,200 | $4,959 | $(2,074) | $— | $— |
Scynexis, Inc., Warrants, Expiration Date 4/6/2021 | 21,060 | — | — | 21,060 | $335 | $(973) | $— | $— |
TransMedics Group, Inc. | — | 20,775 | — | 20,775 | $372,288 | $82,003 | $— | $— |
Ultragenyx Pharmaceutical, Inc. | 52,000 | 2,300 | (4,400) | 49,900 | $3,903,178 | $1,862,832 | $(3,931) | $— |
UniQure N.V. | 57,600 | 2,360 | (10,660) | 49,300 | $2,221,458 | $(1,405,255) | $(43,940) | $— |
Balance of Shares Held 12/31/2019 | Purchases/ Additions** | Sales/ Reductions** | Balance of Shares Held 6/30/2020 | Value | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss)** | Dividend Income | |
Affiliated issuer no longer held at period end | 43,300 | — | (43,300) | — | $— | $955,424 | $(1,027,790) | $— |
TOTAL OF AFFILIATED TRANSACTIONS | 1,448,280 | 128,920 | (241,671) | 1,335,529 | $19,294,827 | $2,724,261 | $(104,415) | $3,458 |
* | At June 30, 2020, 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 | Also represents cost for federal tax purposes. |
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 | $104,526,620 | $— | $— | $104,526,620 |
International | 60,228,087 | — | — | 60,228,087 |
Debt Securities: | ||||
Warrants | — | 168,528 | — | 168,528 |
Repurchase Agreements | — | 33,235,400 | — | 33,235,400 |
TOTAL SECURITIES | $164,754,707 | $33,403,928 | $— | $198,158,635 |
ADR | —American Depositary Receipt |
Six Months Ended (unaudited) 6/30/2020 | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $22.63 | $18.55 | $19.16 | $16.70 | $17.42 | $18.92 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | (0.10) | (0.10) | (0.11) | (0.14) | (0.11) | (0.15) |
Net realized and unrealized gain (loss) | 1.58 | 6.15 | 0.95 | 4.54 | 0.56 | 1.44 |
TOTAL FROM INVESTMENT OPERATIONS | 1.48 | 6.05 | 0.84 | 4.40 | 0.45 | 1.29 |
Less Distributions: | ||||||
Distributions from net realized gain | (2.22) | (1.97) | (1.45) | (1.94) | (1.17) | (2.79) |
Net Asset Value, End of Period | $21.89 | $22.63 | $18.55 | $19.16 | $16.70 | $17.42 |
Total Return2 | 10.73% | 33.82% | 3.84% | 28.33% | 3.66% | 6.37% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.51%4 | 1.51% | 1.52% | 1.54% | 1.54%5 | 1.53%5 |
Net investment loss | (0.99)%4 | (0.49)% | (0.53)% | (0.77)% | (0.67)% | (0.84)% |
Expense waiver/reimbursement6 | —% | —% | —% | —% | 0.03% | 0.00%7 |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $58,208 | $57,988 | $46,160 | $47,985 | $42,122 | $46,450 |
Portfolio turnover | 23% | 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. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | 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. |
6 | This expense decrease is reflected in both the net expense and the net investment income (loss) ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
7 | Represents less than 0.01%. |
Six Months Ended (unaudited) 6/30/2020 | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $21.27 | $17.57 | $18.26 | $16.04 | $16.82 | $18.39 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | (0.12) | (0.15) | (0.15) | (0.17) | (0.14) | (0.19) |
Net realized and unrealized gain (loss) | 1.43 | 5.82 | 0.91 | 4.33 | 0.53 | 1.41 |
TOTAL FROM INVESTMENT OPERATIONS | 1.31 | 5.67 | 0.76 | 4.16 | 0.39 | 1.22 |
Less Distributions: | ||||||
Distributions from net realized gain | (2.22) | (1.97) | (1.45) | (1.94) | (1.17) | (2.79) |
Net Asset Value, End of Period | $20.36 | $21.27 | $17.57 | $18.26 | $16.04 | $16.82 |
Total Return2 | 10.61% | 33.52% | 3.58% | 27.97% | 3.42% | 6.15% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.76%4 | 1.76% | 1.77% | 1.79% | 1.79%5 | 1.78%5 |
Net investment income (loss) | (1.24)%4 | (0.74)% | (0.77)% | (1.02)% | (0.92)% | (1.07)% |
Expense waiver/reimbursement6 | —% | —% | —% | —% | 0.03% | 0.00%7 |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $138,095 | $129,327 | $105,132 | $96,037 | $78,870 | $91,458 |
Portfolio turnover | 23% | 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. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | 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. |
6 | This expense decrease is reflected in both the net expense and the net investment income (loss) ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
7 | Represents less than 0.01%. |
Assets: | ||
Investment in repurchase agreements | $33,235,400 | |
Investment in securities | 164,923,235 | |
Investment in securities, at value including $1,136,562 of securities loaned and $19,294,827 of investments in affiliated companies* (identified cost $115,223,474) | $198,158,635 | |
Cash denominated in foreign currencies (identified cost $1,097) | 1,098 | |
Income receivable | 40,684 | |
Receivable for shares sold | 95,508 | |
TOTAL ASSETS | 198,295,925 | |
Liabilities: | ||
Payable for investments purchased | $267,520 | |
Payable for shares redeemed | 464,863 | |
Payable to bank | 6,434 | |
Payable for collateral due to broker for securities lending | 1,156,400 | |
Payable for investment adviser fee (Note 5) | 6,872 | |
Payable for administrative fees (Note 5) | 412 | |
Payable for distribution services fee (Note 5) | 27,574 | |
Accrued expenses (Note 5) | 62,565 | |
TOTAL LIABILITIES | 1,992,640 | |
Net assets for 9,441,262 shares outstanding | $196,303,285 | |
Net Assets Consist of: | ||
Paid-in capital | $105,631,265 | |
Total distributable earnings (loss) | 90,672,020 | |
TOTAL NET ASSETS | $196,303,285 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
Net asset value per share ($58,207,834 ÷ 2,658,661 shares outstanding), no par value, unlimited shares authorized | $21.89 | |
Service Shares: | ||
Net asset value per share ($138,095,451 ÷ 6,782,601 shares outstanding), no par value, unlimited shares authorized | $20.36 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | ||
Interest | $82,779 | |
Dividends (including $3,458 received from an affiliated holding* and net of foreign taxes withheld of $11,337) | 357,771 | |
Net income on securities loaned | 29,500 | |
TOTAL INCOME | 470,050 | |
Expenses: | ||
Investment adviser fee (Note 5) | $1,165,323 | |
Administrative fee (Note 5) | 70,978 | |
Custodian fees | 15,489 | |
Transfer agent fee | 8,381 | |
Directors'/Trustees' fees (Note 5) | 1,065 | |
Auditing fees | 17,191 | |
Legal fees | 5,309 | |
Portfolio accounting fees | 35,716 | |
Distribution services fee (Note 5) | 155,877 | |
Printing and postage | 18,056 | |
Miscellaneous (Note 5) | 17,492 | |
TOTAL EXPENSES | 1,510,877 | |
Net investment income (loss) | (1,040,827) | |
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions: | ||
Net realized gain on investments (including net realized loss of $(104,415) on sales of investments in affiliated companies*) | 10,661,163 | |
Net realized gain on foreign currency transactions | 12,838 | |
Net realized loss on futures contracts | (1,563,380) | |
Net change in unrealized appreciation of investments (including net change in unrealized appreciation of $2,724,261 on investments in affiliated companies*) | 10,827,226 | |
Net realized and unrealized gain on investments, futures contracts and foreign currency transactions | 19,937,847 | |
Change in net assets resulting from operations | $18,897,020 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 6/30/2020 | Year Ended 12/31/2019 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income (loss) | $(1,040,827) | $(1,173,930) |
Net realized gain | 9,110,621 | 18,258,834 |
Net change in unrealized appreciation/depreciation | 10,827,226 | 31,925,071 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 18,897,020 | 49,009,975 |
Distributions to Shareholders: | ||
Primary Shares | (5,382,824) | (4,810,725) |
Service Shares | (12,836,300) | (11,433,059) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (18,219,124) | (16,243,784) |
Share Transactions: | ||
Proceeds from sale of shares | 20,161,891 | 39,703,166 |
Net asset value of shares issued to shareholders in payment of distributions declared | 18,219,109 | 16,243,770 |
Cost of shares redeemed | (30,071,057) | (52,689,616) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 8,309,943 | 3,257,320 |
Change in net assets | 8,987,839 | 36,023,511 |
Net Assets: | ||
Beginning of period | 187,315,446 | 151,291,935 |
End of period | $196,303,285 | $187,315,446 |
■ | 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 |
$1,136,562 | $1,156,400 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Equity contracts | $(1,563,380) |
Six Months Ended 6/30/2020 | Year Ended 12/31/2019 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 82,651 | $1,712,630 | 271,211 | $5,716,979 |
Shares issued to shareholders in payment of distributions declared | 350,901 | 5,382,822 | 236,865 | 4,810,723 |
Shares redeemed | (337,636) | (7,032,093) | (434,328) | (9,130,046) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | 95,916 | $63,359 | 73,748 | $1,397,656 |
Six Months Ended 6/30/2020 | Year Ended 12/31/2019 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 979,500 | $18,449,261 | 1,711,055 | $33,986,187 |
Shares issued to shareholders in payment of distributions declared | 898,900 | 12,836,287 | 597,650 | 11,433,047 |
Shares redeemed | (1,177,034) | (23,038,964) | (2,211,316) | (43,559,570) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 701,366 | $8,246,584 | 97,389 | $1,859,664 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 797,282 | $8,309,943 | 171,137 | $3,257,320 |
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 | $155,877 |
Purchases | $34,957,498 |
Sales | $50,581,895 |
Country | Percentage of Net Assets |
United States | 70.3% |
Canada | 11.2% |
Netherland | 5.0% |
Belgium | 3.0% |
China | 2.9% |
Italy | 1.6% |
Denmark | 1.4% |
United Kingdom | 1.1% |
Other1 | 4.4% |
1 | Countries representing less than 1.0% have been aggregated under the designation “Other.” |
Beginning Account Value 1/1/2020 | Ending Account Value 6/30/2020 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,107.80 | $7.91 |
Service Shares | $1,000 | $1,106.10 | $9.22 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,017.40 | $7.57 |
Service Shares | $1,000 | $1,016.10 | $8.82 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 182/366 (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% |
■ | the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment, including a review of the Funds’ access to other available funding sources such as the Funds’ interfund lending facility, redemptions in-kind and committed lines of credit and confirmation that the Fund did not have to access any of these alternative funding sources during the Period; |
■ | the periodic classifications of the Fund’s investments into one of four liquidity categories and the methodologies and inputs used to classify the investments, including the Fund’s reasonably anticipated trade size; |
■ | the analysis received from a third-party liquidity assessment vendor that is taken into account in the process of determining the liquidity classifications of the Fund’s investments and the results of an evaluation of the services performed by the vendor in support of this process; |
■ | the fact that the Fund invested primarily in highly liquid investments during the Period and, therefore, was not required to establish, and has not established, an HLIM and the procedures for monitoring the status of the Fund as investing primarily in highly liquid investments; |
■ | the fact that the Fund invested no more than 15% of its assets in illiquid investments during the Period and the procedures for monitoring this limit; and |
■ | liquidity events during the Period, including the impact on liquidity caused by extended non-U.S. market closures and the market disruptions resulting from the novel coronavirus outbreak, and the fact that there were no specific liquidity events during the Period that materially affected the Fund’s liquidity risk. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916777
Share Class | Primary | Service |
Portfolio Composition | Percentage of Total Net Assets |
Domestic Fixed-Income Securities | 48.3% |
Domestic Equity Securities | 39.1% |
Federated Hermes High Income Bond Fund II, Class P | 2.4% |
Emerging Markets Core Fund | 2.0% |
Project and Trade Finance Core Fund | 1.7% |
Federated Bank Loan Core Fund | 0.8% |
International Equity Securities | 0.7% |
Federated Hermes Short-Intermediate Government Fund, Institutional Shares2 | 0.0% |
Cash Equivalents3 | 2.0% |
Other Security Types4 | 0.3% |
Derivative Contracts5 | 0.8% |
Repurchase Agreement | 6.0% |
Other Assets and Liabilities—Net6 | (4.1)% |
TOTAL | 100.0% |
Sector Composition of Equity Holdings | Percentage of Equity Securities |
Financials | 18.6% |
Health Care | 14.7% |
Industrials | 12.3% |
Information Technology | 9.8% |
Communication Services | 9.1% |
Consumer Staples | 9.1% |
Consumer Discretionary | 6.7% |
Utilities | 5.7% |
Energy | 5.1% |
Real Estate | 4.6% |
Materials | 4.3% |
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—39.8% | |||
Communication Services—3.6% | |||
136,948 | AT&T, Inc. | $4,139,938 | |
13,628 | Activision Blizzard, Inc. | 1,034,365 | |
1,892 | 1 | Alphabet, Inc., Class A | 2,682,951 |
585 | 1 | Alphabet, Inc., Class C | 826,962 |
2,445 | 1 | Charter Communications, Inc. | 1,247,048 |
65,551 | Comcast Corp., Class A | 2,555,178 | |
48 | 1 | DISH Network Corp., Class A | 1,656 |
8,981 | 1 | Discovery, Inc., Class C | 172,974 |
6,724 | Fox Corp. | 180,338 | |
2,756 | Fox Corp. | 73,971 | |
12,228 | 1 | Liberty Sirius Group | 421,255 |
4,044 | 1 | Pinterest, Inc. | 89,655 |
4,243 | 1 | Take-Two Interactive Software, Inc. | 592,195 |
79,367 | Verizon Communications, Inc. | 4,375,503 | |
24,546 | Walt Disney Co. | 2,737,124 | |
12,000 | 1 | Warner Music Group | 354,000 |
17,002 | 1 | Zynga, Inc. | 162,199 |
TOTAL | 21,647,312 | ||
Consumer Discretionary—2.7% | |||
1,705 | Aptiv PLC | 132,854 | |
1,887 | Best Buy Co., Inc. | 164,679 | |
13,816 | Brunswick Corp. | 884,362 | |
9,170 | 1 | Caesars Entertainment Corp. | 111,232 |
1,421 | Carter's, Inc. | 114,675 | |
1,068 | Darden Restaurants, Inc. | 80,922 | |
12,592 | eBay, Inc. | 660,450 | |
5,100 | Extended Stay America, Inc. | 57,069 | |
197,607 | Ford Motor Co. | 1,201,451 | |
10,145 | Gentex Corp. | 261,437 | |
5,711 | Hilton Worldwide Holdings, Inc. | 419,473 | |
8,038 | Home Depot, Inc. | 2,013,599 | |
929 | Kohl's Corp. | 19,295 | |
17,751 | L Brands, Inc. | 265,732 | |
38,812 | 1 | LKQ Corp. | 1,016,874 |
5,066 | Lennar Corp., Class A | 312,167 | |
5,882 | Marriott International, Inc., Class A | 504,264 | |
16,457 | McDonald's Corp. | 3,035,823 | |
331 | 1 | Mohawk Industries, Inc. | 33,683 |
42,163 | Newell Brands, Inc. | 669,548 | |
9,000 | 1 | Onewater Marine, Inc. | 218,520 |
12,392 | PVH Corp. | 595,436 | |
660 | 1 | Peloton Interactive, Inc. | 38,128 |
8,440 | 1 | Planet Fitness, Inc. | 511,211 |
14,865 | Six Flags Entertainment Corp. | 285,557 | |
14,930 | Target Corp. | 1,790,555 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Consumer Discretionary—continued | |||
18,947 | Wyndham Destinations, Inc. | $533,926 | |
TOTAL | 15,932,922 | ||
Consumer Staples—3.6% | |||
90,000 | 1 | Albertsons Cos., Inc. | 1,419,300 |
45,633 | Altria Group, Inc. | 1,791,095 | |
45,000 | 1 | Bellring Brands, Inc. | 897,300 |
136 | 1 | Beyond Meat, Inc. | 18,221 |
8,292 | Colgate-Palmolive Co. | 607,472 | |
13,193 | Coty, Inc. - CL A | 58,973 | |
7,612 | Hershey Foods Corp. | 986,667 | |
8,000 | 1 | Jde Peet's B.V. | 324,287 |
17,650 | Kraft Heinz Co./The | 562,859 | |
26,121 | Kroger Co. | 884,196 | |
26,856 | Mondelez International, Inc. | 1,373,147 | |
6,132 | PepsiCo, Inc. | 811,018 | |
28,845 | Philip Morris International, Inc. | 2,020,881 | |
31,320 | Procter & Gamble Co. | 3,744,932 | |
9,813 | Spectrum Brands Holdings, Inc. | 450,417 | |
15,369 | 1 | Sprouts Farmers Market, Inc. | 393,293 |
47,230 | The Coca-Cola Co. | 2,110,236 | |
1,663 | Walgreens Boots Alliance, Inc. | 70,495 | |
24,507 | WalMart, Inc. | 2,935,448 | |
TOTAL | 21,460,237 | ||
Energy—2.0% | |||
31,253 | Apache Corp. | 421,916 | |
5,155 | Cabot Oil & Gas Corp., Class A | 88,563 | |
43,017 | Chevron Corp. | 3,838,407 | |
7,257 | Concho Resources, Inc. | 373,736 | |
23,516 | ConocoPhillips | 988,142 | |
9,889 | Diamondback Energy, Inc. | 413,558 | |
12,078 | EOG Resources, Inc. | 611,871 | |
42,892 | Exxon Mobil Corp. | 1,918,130 | |
158 | Helmerich & Payne, Inc. | 3,083 | |
38,729 | Kinder Morgan, Inc. | 587,519 | |
5,059 | Phillips 66 | 363,742 | |
866 | Pioneer Natural Resources, Inc. | 84,608 | |
63,154 | Schlumberger Ltd. | 1,161,402 | |
11,495 | Valero Energy Corp. | 676,136 | |
31,409 | Williams Cos., Inc. | 597,399 | |
TOTAL | 12,128,212 | ||
Financials—7.4% | |||
69,868 | AGNC Investment Corp. | 901,297 | |
12,971 | Allstate Corp. | 1,258,057 | |
23,972 | Ally Financial, Inc. | 475,365 | |
26,858 | American International Group, Inc. | 837,432 | |
8,151 | Ameriprise Financial, Inc. | 1,222,976 | |
12,000 | 1 | BRP Group, Inc. | 207,240 |
172,977 | Bank of America Corp. | 4,108,204 | |
37,911 | Bank of New York Mellon Corp. | 1,465,260 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Financials—continued | |||
32,470 | 1 | Berkshire Hathaway, Inc., Class B | $5,796,220 |
994 | BlackRock, Inc. | 540,826 | |
40,005 | 1 | Brighthouse Financial, Inc. | 1,112,939 |
1,416 | CME Group, Inc. | 230,157 | |
730 | Chubb Ltd. | 92,433 | |
43,724 | Citigroup, Inc. | 2,234,296 | |
2,785 | Discover Financial Services | 139,501 | |
51,580 | Equitable Holdings, Inc. | 994,978 | |
1,635 | First Citizens Bancshares, Inc., Class A | 662,208 | |
98 | First Horizon National Corp. | 976 | |
5,549 | Goldman Sachs Group, Inc. | 1,096,593 | |
11,817 | Hanover Insurance Group, Inc. | 1,197,417 | |
55,932 | JPMorgan Chase & Co. | 5,260,964 | |
4,742 | Kemper Corp. | 343,890 | |
6,654 | Lazard Ltd., Class A | 190,504 | |
1,892 | Lincoln National Corp. | 69,607 | |
84,311 | MGIC Investment Corp. | 690,507 | |
34,039 | MetLife, Inc. | 1,243,104 | |
19,651 | Morgan Stanley | 949,143 | |
11,424 | NASDAQ, Inc. | 1,364,825 | |
21,595 | OneMain Holdings, Inc. | 529,941 | |
52,000 | 1 | Oportun Financial Corp. | 698,880 |
31,109 | Popular, Inc. | 1,156,322 | |
12,420 | Prudential Financial, Inc. | 756,378 | |
632 | Regions Financial Corp. | 7,028 | |
109,331 | SLM Corp. | 768,597 | |
536 | 1 | SVB Financial Group | 115,524 |
8,000 | 1 | SelectQuote, Inc. | 202,640 |
30,000 | 1 | Silvergate Capital Corp. | 420,000 |
7,191 | Sterling Bancorp | 84,279 | |
29,133 | Synchrony Financial | 645,587 | |
3,029 | U.S. Bancorp | 111,528 | |
73,268 | Unum Group | 1,215,516 | |
6,222 | VOYA Financial, Inc. | 290,256 | |
48,000 | 1 | Velocity Financial, LLC | 189,600 |
7,377 | Virtu Financial, Inc. | 174,097 | |
60,512 | Wells Fargo & Co. | 1,549,107 | |
13,228 | Zions Bancorporation, N.A. | 449,752 | |
TOTAL | 44,051,951 | ||
Health Care—5.9% | |||
18,616 | Abbott Laboratories | 1,702,061 | |
6,438 | AbbVie, Inc. | 632,083 | |
10,000 | 1 | Akouos, Inc. | 225,000 |
2,501 | 1 | Alkermes, Inc. | 48,532 |
3,128 | Anthem, Inc. | 822,601 | |
8,572 | Baxter International, Inc. | 738,049 | |
163 | Becton Dickinson & Co. | 39,001 | |
2,994 | 1 | Biogen, Inc. | 801,045 |
31,155 | Bristol-Myers Squibb Co. | 1,831,914 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
25,857 | CVS Health Corp. | $1,679,929 | |
10,315 | Danaher Corp. | 1,824,002 | |
15,699 | 1 | Davita, Inc. | 1,242,419 |
7,033 | Dentsply Sirona, Inc. | 309,874 | |
18,000 | 1 | Frequency Therapeutics, Inc. | 418,500 |
20,000 | 1 | Genetron Holdings Ltd., ADR | 241,400 |
34,155 | Gilead Sciences, Inc. | 2,627,886 | |
2,603 | HCA Healthcare, Inc. | 252,647 | |
4,288 | Humana, Inc. | 1,662,672 | |
2,643 | 1 | IQVIA Holdings, Inc. | 374,989 |
520 | 1 | Jazz Pharmaceuticals PLC. | 57,377 |
44,076 | Johnson & Johnson | 6,198,408 | |
12,000 | 1 | Lyra Therapeutics, Inc. | 136,080 |
7,858 | McKesson Corp. | 1,205,574 | |
34,124 | Medtronic PLC | 3,129,171 | |
8,065 | Merck & Co., Inc. | 623,666 | |
67,011 | Pfizer, Inc. | 2,191,260 | |
20,000 | 1 | PolyPid Ltd. | 360,600 |
40,030 | 1 | Progenity, Inc. | 360,270 |
42,000 | 1 | Progyny, Inc. | 1,084,020 |
1,867 | STERIS PLC | 286,473 | |
210 | 1 | Teladoc, Inc. | 40,076 |
2,421 | Thermo Fisher Scientific, Inc. | 877,225 | |
1,237 | UnitedHealth Group, Inc. | 364,853 | |
2,727 | Universal Health Services, Inc., Class B | 253,311 | |
2,534 | Zimmer Biomet Holdings, Inc. | 302,458 | |
TOTAL | 34,945,426 | ||
Industrials—4.9% | |||
3,193 | 3M Co. | 498,076 | |
30,534 | ADT, Inc. | 243,661 | |
7,033 | 1 | AECOM | 264,300 |
6,846 | Ametek, Inc. | 611,827 | |
1,709 | Armstrong World Industries, Inc. | 133,234 | |
2,826 | Boeing Co. | 518,006 | |
6,000 | 1 | CPG Newco LLC | 191,160 |
19,721 | CSX Corp. | 1,375,343 | |
1,780 | Carlisle Cos., Inc. | 213,013 | |
12,057 | Carrier Global Corp. | 267,907 | |
4,685 | Caterpillar, Inc. | 592,653 | |
6,297 | Crane Co. | 374,420 | |
4,622 | Cummins, Inc. | 800,808 | |
555 | Deere & Co. | 87,218 | |
9,385 | 1 | Delta Air Lines, Inc. | 263,249 |
6,481 | Dover Corp. | 625,805 | |
13,021 | Eaton Corp. PLC | 1,139,077 | |
22,997 | Emerson Electric Co. | 1,426,504 | |
60,000 | GFL Environmental, Inc. | 1,126,200 | |
154,056 | General Electric Co. | 1,052,203 | |
40,657 | GrafTech International Ltd. | 324,443 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Industrials—continued | |||
11,166 | 1 | HD Supply, Inc. | $386,902 |
10,807 | Honeywell International, Inc. | 1,562,584 | |
3,118 | Hubbell, Inc. | 390,872 | |
1,751 | Hunt (J.B.) Transportation Services, Inc. | 210,715 | |
478 | Huntington Ingalls Industries, Inc. | 83,406 | |
5,486 | Kansas City Southern Industries, Inc. | 819,005 | |
153 | 1 | Kirby Corp. | 8,195 |
4,777 | 1 | Lyft, Inc. | 157,689 |
2,636 | Manpower, Inc. | 181,225 | |
13,234 | Masco Corp. | 664,479 | |
327 | Nielsen Holdings PLC | 4,859 | |
597 | Nordson Corp. | 113,257 | |
2,709 | Norfolk Southern Corp. | 475,619 | |
2,778 | Northrop Grumman Corp. | 854,068 | |
5,939 | Old Dominion Freight Lines, Inc. | 1,007,195 | |
6,028 | Otis Worldwide Corp. | 342,752 | |
22,146 | Owens Corning, Inc. | 1,234,861 | |
2,475 | Parker-Hannifin Corp. | 453,593 | |
14,466 | Raytheon Technologies Corp. | 891,395 | |
1,694 | Regal Beloit Corp. | 147,920 | |
5,384 | Rockwell Automation, Inc. | 1,146,792 | |
1,834 | Southwest Airlines Co. | 62,686 | |
3,917 | 1 | Teledyne Technologies, Inc. | 1,217,991 |
6,364 | Trane Technologies PLC | 566,269 | |
2,674 | TransUnion | 232,745 | |
12,228 | 1 | Uber Technologies, Inc. | 380,046 |
5,463 | Union Pacific Corp. | 923,629 | |
1,427 | 1 | United Rentals, Inc. | 212,680 |
9,505 | Valmont Industries, Inc. | 1,079,958 | |
519 | W.W. Grainger, Inc. | 163,049 | |
11,093 | Waste Management, Inc. | 1,174,860 | |
TOTAL | 29,280,403 | ||
Information Technology—3.9% | |||
3,197 | 1 | Akamai Technologies, Inc. | 342,367 |
3,936 | Alliance Data Systems Corp. | 177,592 | |
369 | 1 | Arista Networks, Inc. | 77,501 |
8,996 | 1 | Arrow Electronics, Inc. | 617,935 |
6,033 | 1 | Autodesk, Inc. | 1,443,033 |
7,891 | Avnet, Inc. | 220,041 | |
2,282 | 1 | CACI International, Inc., Class A | 494,920 |
14,165 | 1 | Ciena Corp. | 767,176 |
19,621 | 1 | Cirrus Logic, Inc. | 1,212,185 |
44,127 | Cisco Systems, Inc. | 2,058,083 | |
1,500 | Citrix Systems, Inc. | 221,865 | |
40,670 | 1 | CommScope Holdings Co., Inc. | 338,781 |
2,378 | 1 | Crowdstrike Holdings, Inc. | 238,490 |
49,525 | DXC Technology Co. | 817,163 | |
1,785 | 1 | Euronet Worldwide, Inc. | 171,039 |
1,378 | Fidelity National Information Services, Inc. | 184,776 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Information Technology—continued | |||
11,453 | HP, Inc. | $199,626 | |
7,495 | IBM Corp. | 905,171 | |
87,735 | Intel Corp. | 5,249,185 | |
2,345 | 1 | Keysight Technologies, Inc. | 236,329 |
3,419 | 1 | Lumentum Holdings, Inc. | 278,409 |
20,124 | 1 | Micron Technology, Inc. | 1,036,788 |
4,819 | Motorola, Inc. | 675,286 | |
4,937 | 1 | ON Semiconductor Corp. | 97,851 |
31,169 | 1 | Pure Storage, Inc. | 540,159 |
4,432 | 1 | Qorvo, Inc. | 489,869 |
6,809 | Science Applications International Corp. | 528,923 | |
3,068 | Skyworks Solutions, Inc. | 392,274 | |
3,650 | Synnex Corp. | 437,161 | |
6,110 | 1 | Synopsys, Inc. | 1,191,450 |
803 | 1 | Verisign, Inc. | 166,085 |
6,983 | 1 | WEX, Inc. | 1,152,265 |
16,726 | Xerox Holdings Corp. | 255,741 | |
TOTAL | 23,215,519 | ||
Materials—1.7% | |||
6,163 | Air Products & Chemicals, Inc. | 1,488,118 | |
6,736 | Aptargroup, Inc. | 754,297 | |
12,522 | CF Industries Holdings, Inc. | 352,369 | |
20,157 | Cabot Corp. | 746,817 | |
9,309 | Celanese Corp. | 803,739 | |
11,154 | Dow, Inc. | 454,637 | |
16,632 | 1 | Eagle Materials, Inc. | 1,167,899 |
85,466 | Graphic Packaging Holding Co. | 1,195,669 | |
2,973 | International Paper Co. | 104,679 | |
4,715 | Linde PLC | 1,000,099 | |
2,812 | LyondellBasell Industries N.V. | 184,805 | |
191 | Newmarket Corp. | 76,492 | |
2,963 | Newmont Corp. | 182,935 | |
13,145 | Reliance Steel & Aluminum Co. | 1,247,855 | |
12,623 | Steel Dynamics, Inc. | 329,334 | |
TOTAL | 10,089,744 | ||
Real Estate—1.8% | |||
3,292 | Avalonbay Communities, Inc. | 509,075 | |
17,154 | 1 | CBRE Group, Inc. | 775,704 |
1,977 | Crown Castle International Corp. | 330,851 | |
34,150 | Duke Realty Corp. | 1,208,568 | |
37,129 | Equity Commonwealth | 1,195,554 | |
23,394 | Equity Residential Properties Trust | 1,376,035 | |
1,843 | Essex Property Trust, Inc. | 422,360 | |
802 | Extra Space Storage, Inc. | 74,081 | |
19,131 | Highwoods Properties, Inc. | 714,160 | |
50,341 | Invitation Homes, Inc. | 1,385,888 | |
42 | Life Storage, Inc. | 3,988 | |
11,933 | Mid-American Apartment Communities, Inc. | 1,368,357 | |
6,738 | Public Storage | 1,292,955 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Real Estate—continued | |||
5,330 | VEREIT, Inc. | $34,272 | |
7,729 | Vornado Realty Trust L.P. | 295,325 | |
TOTAL | 10,987,173 | ||
Utilities—2.3% | |||
3,332 | American Electric Power Co., Inc. | 265,361 | |
5,536 | American Water Works Co., Inc. | 712,262 | |
3,459 | Consolidated Edison Co. | 248,806 | |
3,366 | Dominion Energy, Inc. | 273,252 | |
22,676 | Evergy, Inc. | 1,344,460 | |
26,209 | Exelon Corp. | 951,125 | |
37,398 | FirstEnergy Corp. | 1,450,294 | |
19,507 | MDU Resources Group, Inc. | 432,665 | |
11,799 | NRG Energy, Inc. | 384,175 | |
12,625 | NextEra Energy, Inc. | 3,032,146 | |
55,353 | NiSource, Inc. | 1,258,727 | |
8,538 | 1 | P G & E Corp. | 75,732 |
31,027 | Public Service Enterprises Group, Inc. | 1,525,287 | |
1,417 | Southern Co. | 73,472 | |
51,835 | Vistra Energy Corp. | 965,168 | |
7,074 | WEC Energy Group, Inc. | 620,036 | |
TOTAL | 13,612,968 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $226,411,597) | 237,351,867 | ||
ADJUSTABLE RATE MORTGAGE—0.0% | |||
$2,589 | 2 | Federal National Mortgage Association ARM, 3.978%, 9/1/2037 (IDENTIFIED COST $2,608) | 2,693 |
COMMERCIAL MORTGAGE-BACKED SECURITIES—1.1% | |||
Agency Commercial Mortgage-Backed Securities—0.5% | |||
790,000 | FREMF Mortgage Trust 2015-K49 REMIC, Class B, 3.847%, 10/25/2048 | 842,929 | |
1,832,321 | Federal Home Loan Mortgage Corp. REMIC, Series K105, Class A1, 1.536%, 9/25/2029 | 1,892,505 | |
3,671 | Federal Home Loan Mortgage Corp. REMIC, Series K504, Class A2, 2.566%, 9/25/2020 | 3,675 | |
TOTAL | 2,739,109 | ||
Commercial Mortgage—0.6% | |||
1,335,000 | Banc of America Commercial Mortgage Trust 2016-UBS10, Class A4, 3.170%, 7/15/2049 | 1,427,566 | |
340,000 | Bank 2018-BN12, Class A4, 4.255%, 5/15/2061 | 400,905 | |
85,000 | Bank 2017-BN8, Class A4, 3.488%, 11/15/2050 | 95,561 | |
50,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | 52,989 | |
1,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 960,406 | |
100,000 | JPMDB Commercial Mortgage Securities Trust 2016-C4, Class A3, 3.141%, 12/15/2049 | 109,020 | |
590,000 | UBS-Barclays Commercial Mortgage Trust 2013-C6, Class B, 3.875%, 4/10/2046 | 551,580 | |
105,000 | WF-RBS Commercial Mortgage Trust 2014-C25, Class B, 4.236%, 11/15/2047 | 107,566 | |
TOTAL | 3,705,593 | ||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $6,308,648) | 6,444,702 | ||
CORPORATE BONDS—20.4% | |||
Basic Industry - Chemicals—0.1% | |||
200,000 | Albemarle Corp., 4.150%, 12/1/2024 | 214,578 | |
200,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | 210,688 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Basic Industry - Chemicals—continued | |||
$300,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | $337,737 | |
TOTAL | 763,003 | ||
Basic Industry - Metals & Mining—0.2% | |||
156,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 154,532 | |
650,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 698,405 | |
150,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.300%, 8/1/2032 | 169,704 | |
55,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.550%, 4/15/2026 | 62,596 | |
TOTAL | 1,085,237 | ||
Capital Goods - Aerospace & Defense—0.8% | |||
750,000 | Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027 | 775,166 | |
340,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 332,303 | |
90,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 78,980 | |
200,000 | Boeing Co., Sr. Unsecd. Note, 4.508%, 5/1/2023 | 211,319 | |
200,000 | Boeing Co., Sr. Unsecd. Note, 4.875%, 5/1/2025 | 218,002 | |
400,000 | Embraer Netherlands BV, Sr. Unsecd. Note, 5.050%, 6/15/2025 | 355,462 | |
50,000 | Embraer Overseas Ltd., Sr. Unsecd. Note, 144A, 5.696%, 9/16/2023 | 47,808 | |
160,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 172,600 | |
140,000 | Leidos, Inc., Unsecd. Note, 144A, 3.625%, 5/15/2025 | 153,178 | |
400,000 | Leidos, Inc., Unsecd. Note, 144A, 4.375%, 5/15/2030 | 451,580 | |
155,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 1.850%, 6/15/2030 | 159,047 | |
400,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 2.900%, 3/1/2025 | 438,809 | |
585,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 3.250%, 1/15/2028 | 654,040 | |
500,000 | Textron, Inc., Sr. Unsecd. Note, 3.650%, 3/15/2027 | 518,581 | |
20,000 | Textron, Inc., Sr. Unsecd. Note, 4.000%, 3/15/2026 | 21,357 | |
25,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 26,670 | |
TOTAL | 4,614,902 | ||
Capital Goods - Building Materials—0.1% | |||
60,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 63,139 | |
110,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 114,886 | |
490,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 513,778 | |
40,000 | Masco Corp., Sr. Unsecd. Note, 4.375%, 4/1/2026 | 45,730 | |
165,000 | Masco Corp., Sr. Unsecd. Note, 4.500%, 5/15/2047 | 173,468 | |
TOTAL | 911,001 | ||
Capital Goods - Construction Machinery—0.2% | |||
770,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 813,910 | |
450,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 522,357 | |
TOTAL | 1,336,267 | ||
Capital Goods - Diversified Manufacturing—0.4% | |||
125,000 | General Electric Co., Sr. Unsecd. Note, 3.625%, 5/1/2030 | 125,369 | |
105,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 107,899 | |
110,000 | Honeywell International, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2050 | 117,676 | |
750,000 | Lennox International, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2023 | 774,610 | |
305,000 | Otis Worldwide Corp., Sr. Unsecd. Note, 144A, 2.565%, 2/15/2030 | 320,503 | |
500,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.800%, 12/15/2021 | 514,464 | |
120,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 122,642 | |
220,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 221,732 | |
TOTAL | 2,304,895 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Capital Goods - Packaging—0.2% | |||
$600,000 | Packaging Corp. of America, Sr. Unsecd. Note, 3.650%, 9/15/2024 | $655,247 | |
360,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 4.000%, 3/15/2028 | 402,785 | |
TOTAL | 1,058,032 | ||
Communications - Cable & Satellite—0.7% | |||
250,000 | CCO Safari II LLC, 6.484%, 10/23/2045 | 333,321 | |
200,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 2.800%, 4/1/2031 | 203,197 | |
1,600,000 | Comcast Corp., Sr. Unsecd. Note, 3.150%, 2/15/2028 | 1,787,574 | |
650,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 729,818 | |
250,000 | Comcast Corp., Sr. Unsecd. Note, 3.400%, 4/1/2030 | 285,270 | |
300,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 344,027 | |
300,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 362,005 | |
TOTAL | 4,045,212 | ||
Communications - Media & Entertainment—0.6% | |||
600,000 | British Sky Broadcasting Group PLC, 144A, 3.750%, 9/16/2024 | 668,900 | |
300,000 | Discovery Communications LLC, Sr. Unsecd. Note, 4.650%, 5/15/2050 | 341,647 | |
135,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 4.709%, 1/25/2029 | 162,366 | |
180,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 5.576%, 1/25/2049 | 253,863 | |
500,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 5/13/2045 | 552,408 | |
100,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.600%, 4/15/2026 | 111,675 | |
260,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 4.200%, 6/1/2030 | 302,665 | |
400,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.950%, 1/15/2031 | 468,729 | |
200,000 | Walt Disney Co., Sr. Unsecd. Note, 2.000%, 9/1/2029 | 205,750 | |
110,000 | Walt Disney Co., Sr. Unsecd. Note, 3.600%, 1/13/2051 | 122,894 | |
135,000 | Walt Disney Co., Sr. Unsecd. Note, 3.800%, 5/13/2060 | 155,431 | |
TOTAL | 3,346,328 | ||
Communications - Telecom Wireless—0.6% | |||
425,000 | America Movil S.A.B. de C.V., Sr. Unsecd. Note, 2.875%, 5/7/2030 | 449,406 | |
400,000 | American Tower Corp., Sr. Unsecd. Note, 2.100%, 6/15/2030 | 401,708 | |
300,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 341,860 | |
350,000 | Bell Canada, Sr. Unsecd. Note, 4.464%, 4/1/2048 | 444,160 | |
250,000 | Crown Castle International Corp., Sr. Unsecd. Note, 3.250%, 1/15/2051 | 250,698 | |
160,000 | Crown Castle International Corp., Sr. Unsecd. Note, 3.300%, 7/1/2030 | 175,056 | |
400,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 144A, 3.875%, 4/15/2030 | 446,578 | |
120,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 144A, 4.500%, 4/15/2050 | 141,654 | |
250,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 284,063 | |
280,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | 369,018 | |
TOTAL | 3,304,201 | ||
Communications - Telecom Wirelines—0.9% | |||
800,000 | AT&T, Inc., Sr. Unsecd. Note, 3.200%, 3/1/2022 | 834,990 | |
350,000 | AT&T, Inc., Sr. Unsecd. Note, 3.500%, 6/1/2041 | 368,916 | |
350,000 | AT&T, Inc., Sr. Unsecd. Note, 3.650%, 6/1/2051 | 366,816 | |
800,000 | AT&T, Inc., Sr. Unsecd. Note, 4.800%, 6/15/2044 | 948,477 | |
800,000 | Deutsche Telekom International Finance BV, Sr. Unsecd. Note, 144A, 3.600%, 1/19/2027 | 896,575 | |
580,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.213%, 3/8/2047 | 728,268 | |
350,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 437,815 | |
534,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.672%, 3/15/2055 | 726,995 | |
125,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 5.150%, 9/15/2023 | 142,364 | |
TOTAL | 5,451,216 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Automotive—0.6% | |||
$500,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 3.350%, 2/22/2023 | $524,012 | |
350,000 | Fiat Chrysler Automobiles NV, Sr. Unsecd. Note, 5.250%, 4/15/2023 | 362,493 | |
450,000 | General Motors Co., Sr. Unsecd. Note, 6.125%, 10/1/2025 | 506,278 | |
400,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.000%, 10/6/2026 | 415,558 | |
205,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | 207,332 | |
720,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series GMTN, 2.700%, 1/11/2023 | 757,009 | |
365,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 3.125%, 5/12/2023 | 384,147 | |
200,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/12/2021 | 208,303 | |
TOTAL | 3,365,132 | ||
Consumer Cyclical - Retailers—0.6% | |||
589,000 | Advance Auto Parts, Inc., 4.500%, 12/1/2023 | 639,378 | |
300,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 312,240 | |
170,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 184,536 | |
215,000 | AutoZone, Inc., Sr. Unsecd. Note, 4.000%, 4/15/2030 | 248,952 | |
310,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 362,654 | |
540,000 | Dollar General Corp., Sr. Unsecd. Note, 3.875%, 4/15/2027 | 621,169 | |
600,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | 642,535 | |
120,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 134,847 | |
40,000 | O'Reilly Automotive, Inc., Sr. Unsecd. Note, 3.550%, 3/15/2026 | 45,349 | |
115,000 | O'Reilly Automotive, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2030 | 134,909 | |
TOTAL | 3,326,569 | ||
Consumer Cyclical - Services—0.3% | |||
400,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.875%, 8/22/2037 | 495,764 | |
200,000 | Booking Holdings, Inc., Sr. Unsecd. Note, 4.625%, 4/13/2030 | 234,364 | |
400,000 | IHS Markit Ltd., Sr. Unsecd. Note, 4.750%, 8/1/2028 | 470,534 | |
480,000 | Visa, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2027 | 529,818 | |
200,000 | Visa, Inc., Sr. Unsecd. Note, 2.800%, 12/14/2022 | 211,200 | |
30,000 | Visa, Inc., Sr. Unsecd. Note, 3.150%, 12/14/2025 | 33,493 | |
TOTAL | 1,975,173 | ||
Consumer Non-Cyclical - Food/Beverage—1.0% | |||
165,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 2/1/2046 | 201,358 | |
1,000,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2050 | 1,197,595 | |
400,000 | Campbell Soup Co., Sr. Unsecd. Note, 2.375%, 4/24/2030 | 415,088 | |
230,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 243,893 | |
75,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 3.750%, 5/1/2050 | 81,906 | |
500,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 539,145 | |
200,000 | General Mills, Inc., Sr. Unsecd. Note, 3.700%, 10/17/2023 | 217,840 | |
150,000 | General Mills, Inc., Sr. Unsecd. Note, 4.550%, 4/17/2038 | 189,420 | |
500,000 | Grupo Bimbo S.A.B. de CV, 144A, 4.875%, 6/27/2044 | 561,401 | |
250,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 3.200%, 5/1/2030 | 277,142 | |
220,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 253,834 | |
105,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 2.500%, 4/15/2030 | 109,738 | |
160,000 | Mondelez International, Inc., Sr. Unsecd. Note, 1.500%, 5/4/2025 | 163,250 | |
800,000 | PepsiCo, Inc., Sr. Unsecd. Note, 3.000%, 10/15/2027 | 898,159 | |
300,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 3.500%, 3/15/2025 | 332,911 | |
495,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.550%, 6/2/2027 | 548,943 | |
TOTAL | 6,231,623 | ||
Consumer Non-Cyclical - Health Care—0.2% | |||
155,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2029 | 168,767 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Health Care—continued | |||
$200,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.600%, 5/27/2030 | $205,816 | |
392,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.700%, 6/6/2027 | 438,831 | |
79,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 97,471 | |
140,000 | DH Europe Finance II S.a r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 149,258 | |
135,000 | Dentsply Sirona, Inc., Sr. Unsecd. Note, 3.250%, 6/1/2030 | 141,733 | |
300,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 322,097 | |
10,000 | Stryker Corp., Sr. Unsecd. Note, 3.500%, 3/15/2026 | 11,263 | |
TOTAL | 1,535,236 | ||
Consumer Non-Cyclical - Pharmaceuticals—1.1% | |||
283,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 329,539 | |
225,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 3.200%, 11/21/2029 | 251,224 | |
255,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 4.250%, 11/21/2049 | 307,029 | |
250,000 | Amgen, Inc., 2.300%, 2/25/2031 | 262,160 | |
500,000 | Amgen, Inc., Sr. Unsecd. Note, 2.450%, 2/21/2030 | 529,653 | |
190,000 | AstraZeneca PLC, Sr. Unsecd. Note, 2.375%, 6/12/2022 | 196,798 | |
600,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027 | 669,148 | |
600,000 | Bayer US Finance LLC, Sr. Unsecd. Note, 144A, 3.375%, 10/8/2024 | 655,198 | |
375,000 | Biogen, Inc., Sr. Unsecd. Note, 5.200%, 9/15/2045 | 492,991 | |
500,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 3.900%, 2/20/2028 | 588,680 | |
110,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 4.250%, 10/26/2049 | 146,728 | |
500,000 | Eli Lilly & Co., Sr. Unsecd. Note, 3.375%, 3/15/2029 | 578,890 | |
700,000 | Merck & Co., Inc., Sr. Unsecd. Note, 3.400%, 3/7/2029 | 808,115 | |
210,000 | Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 2.050%, 3/31/2030 | 208,312 | |
450,000 | Zoetis, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2050 | 464,885 | |
TOTAL | 6,489,350 | ||
Consumer Non-Cyclical - Products—0.2% | |||
230,000 | Clorox Co., Sr. Unsecd. Note, 1.800%, 5/15/2030 | 232,491 | |
70,000 | Newell Rubbermaid, Inc., Sr. Unsecd. Note, 4.700%, 4/1/2026 | 73,525 | |
600,000 | Reckitt Benckiser Treasury Services PLC, Sr. Unsecd. Note, 144A, 3.000%, 6/26/2027 | 656,922 | |
TOTAL | 962,938 | ||
Consumer Non-Cyclical - Supermarkets—0.1% | |||
300,000 | Kroger Co., Sr. Unsecd. Note, 2.650%, 10/15/2026 | 327,557 | |
200,000 | Kroger Co., Sr. Unsecd. Note, 4.450%, 2/1/2047 | 243,037 | |
TOTAL | 570,594 | ||
Consumer Non-Cyclical - Tobacco—0.3% | |||
400,000 | Altria Group, Inc., Sr. Unsecd. Note, 5.950%, 2/14/2049 | 525,253 | |
350,000 | Bat Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047 | 381,584 | |
315,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 2.100%, 5/1/2030 | 324,913 | |
280,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 346,585 | |
TOTAL | 1,578,335 | ||
Energy - Independent—0.2% | |||
100,000 | Canadian Natural Resources Ltd., 3.900%, 2/1/2025 | 107,215 | |
250,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.050%, 7/15/2025 | 250,793 | |
250,000 | Cimarex Energy Co., Sr. Unsecd. Note, 3.900%, 5/15/2027 | 251,944 | |
430,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 442,181 | |
TOTAL | 1,052,133 | ||
Energy - Integrated—0.6% | |||
600,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 2.520%, 9/19/2022 | 623,483 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Energy - Integrated—continued | |||
$110,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.119%, 5/4/2026 | $120,041 | |
325,000 | Chevron Corp., Sr. Unsecd. Note, 3.078%, 5/11/2050 | 345,855 | |
600,000 | Exxon Mobil Corp., Sr. Unsecd. Note, 3.482%, 3/19/2030 | 684,628 | |
300,000 | Husky Energy, Inc., 4.000%, 4/15/2024 | 308,059 | |
75,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | 88,688 | |
500,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.125%, 5/11/2035 | 610,451 | |
500,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 3.600%, 12/1/2024 | 540,116 | |
TOTAL | 3,321,321 | ||
Energy - Midstream—0.5% | |||
115,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 122,608 | |
40,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 43,274 | |
875,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 10Y, 4.950%, 6/15/2028 | 940,088 | |
400,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.700%, 1/31/2051 | 417,770 | |
70,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.950%, 2/15/2027 | 79,916 | |
200,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 243,316 | |
200,000 | Kinder Morgan, Inc., 5.050%, 2/15/2046 | 230,357 | |
335,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 323,021 | |
120,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 126,377 | |
490,000 | Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045 | 518,373 | |
TOTAL | 3,045,100 | ||
Energy - Refining—0.1% | |||
220,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 273,097 | |
175,000 | Valero Energy Corp., Sr. Unsecd. Note, 2.700%, 4/15/2023 | 181,689 | |
TOTAL | 454,786 | ||
Financial Institution - Banking—4.0% | |||
600,000 | American Express Credit Corp., Sr. Unsecd. Note, Series MTN, 3.300%, 5/3/2027 | 682,029 | |
400,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 419,966 | |
1,850,000 | Bank of America Corp., Sr. Unsecd. Note, 3.419%, 12/20/2028 | 2,061,603 | |
50,000 | 2 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 0.946% (3-month USLIBOR +0.650%), 10/1/2021 | 50,041 |
150,000 | Bank of America Corp., Sub. Note, 6.500%, 9/15/2037 | 202,303 | |
50,000 | Bank of America Corp., Sub. Note, Series L, 3.950%, 4/21/2025 | 55,362 | |
300,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 331,305 | |
800,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.200%, 8/16/2023 | 836,623 | |
200,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.661%, 5/16/2023 | 207,220 | |
125,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 136,025 | |
580,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.352%, 4/24/2025 | 627,004 | |
570,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 632,525 | |
900,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.668%, 7/24/2028 | 1,003,890 | |
250,000 | Citizens Bank N.A., Sr. Unsecd. Note, Series BKNT, 3.750%, 2/18/2026 | 280,824 | |
265,000 | Citizens Bank, N.A., Providence, Sr. Unsecd. Note, Series BKNT, 2.250%, 4/28/2025 | 281,534 | |
30,000 | Comerica, Inc., 3.800%, 7/22/2026 | 32,434 | |
350,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 369,980 | |
165,000 | FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 164,248 | |
800,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 936,871 | |
1,300,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.876%, 10/31/2022 | 1,333,166 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 6.250%, 2/1/2041 | 747,592 | |
1,400,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.900%, 5/25/2026 | 1,555,540 | |
345,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 2.550%, 2/4/2030 | 356,997 | |
1,850,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.509%, 1/23/2029 | 2,068,169 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$850,000 | JPMorgan Chase & Co., Sub. Note, 3.375%, 5/1/2023 | $909,737 | |
210,000 | M&T Bank Corp., Sr. Unsecd. Note, 3.550%, 7/26/2023 | 228,040 | |
500,000 | Manufacturers & Traders Trust Co., Sr. Unsecd. Note, Series BKNT, 2.500%, 5/18/2022 | 517,472 | |
950,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.772%, 1/24/2029 | 1,082,086 | |
250,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 6.250%, 8/9/2026 | 320,217 | |
275,000 | Morgan Stanley, Sub. Note, Series MTN, 4.100%, 5/22/2023 | 297,339 | |
400,000 | Northern Trust Corp., Sr. Unsecd. Note, 1.950%, 5/1/2030 | 412,072 | |
400,000 | PNC Bank N.A., Sr. Unsecd. Note, Series BKNT, 3.250%, 1/22/2028 | 448,029 | |
235,000 | Regions Financial Corp., Sr. Unsecd. Note, 2.250%, 5/18/2025 | 246,106 | |
250,000 | Synovus Bank GA, Sr. Unsecd. Note, 2.289%, 2/10/2023 | 253,229 | |
600,000 | Truist Bank, Sr. Unsecd. Note, Series BKNT, 3.000%, 2/2/2023 | 634,845 | |
60,000 | Truist Financial Corp., Sr. Unsecd. Note, 2.900%, 3/3/2021 | 60,914 | |
495,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 2.750%, 4/1/2022 | 513,314 | |
250,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 3.750%, 12/6/2023 | 274,039 | |
50,000 | 2 | Wells Fargo & Co., Sr. Unsecd. Note, 1.990% (3-month USLIBOR +1.230%), 10/31/2023 | 50,368 |
410,000 | Wells Fargo & Co., Sr. Unsecd. Note, 2.188%, 4/30/2026 | 424,412 | |
300,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 327,478 | |
1,300,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 1,443,659 | |
TOTAL | 23,816,607 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.2% | |||
130,000 | BlackRock, Inc., Sr. Unsecd. Note, 1.900%, 1/28/2031 | 133,126 | |
40,000 | Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026 | 43,865 | |
165,000 | Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028 | 195,348 | |
265,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 317,429 | |
350,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.000%, 5/15/2030 | 371,376 | |
TOTAL | 1,061,144 | ||
Financial Institution - Finance Companies—0.1% | |||
150,000 | GE Capital Funding LLC, Sr. Unsecd. Note, 144A, 4.400%, 5/15/2030 | 156,152 | |
600,000 | GE Capital International Funding, Inc., Sr. Unsecd. Note, 4.418%, 11/15/2035 | 609,825 | |
TOTAL | 765,977 | ||
Financial Institution - Insurance - Health—0.0% | |||
190,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 2.900%, 5/15/2050 | 202,731 | |
Financial Institution - Insurance - Life—0.7% | |||
500,000 | AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029 | 553,970 | |
800,000 | Aflac, Inc., Sr. Unsecd. Note, 3.625%, 6/15/2023 | 875,595 | |
800,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 893,018 | |
450,000 | Lincoln National Corp., Sr. Unsecd. Note, 3.625%, 12/12/2026 | 496,845 | |
150,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 194,414 | |
250,000 | MetLife, Inc., Sr. Unsecd. Note, 4.050%, 3/1/2045 | 294,483 | |
170,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 177,497 | |
350,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 4.600%, 5/15/2044 | 422,516 | |
TOTAL | 3,908,338 | ||
Financial Institution - Insurance - P&C—0.3% | |||
30,000 | Chubb INA Holdings, Inc., 3.350%, 5/3/2026 | 34,234 | |
240,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 4.400%, 3/15/2048 | 290,148 | |
340,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 3.951%, 10/15/2050 | 360,388 | |
500,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 805,220 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Insurance - P&C—continued | |||
$90,000 | Travelers Cos., Inc., Sr. Unsecd. Note, 2.550%, 4/27/2050 | $89,202 | |
TOTAL | 1,579,192 | ||
Financial Institution - REIT - Apartment—0.4% | |||
750,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 837,615 | |
95,000 | Camden Property Trust, Sr. Unsecd. Note, 2.800%, 5/15/2030 | 102,845 | |
750,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | 834,070 | |
200,000 | UDR, Inc., Series MTN, 3.750%, 7/1/2024 | 216,272 | |
550,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 602,288 | |
TOTAL | 2,593,090 | ||
Financial Institution - REIT - Healthcare—0.2% | |||
600,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 612,610 | |
450,000 | Welltower, Inc., Sr. Unsecd. Note, 4.250%, 4/1/2026 | 505,041 | |
TOTAL | 1,117,651 | ||
Financial Institution - REIT - Office—0.3% | |||
350,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.900%, 6/15/2023 | 378,910 | |
400,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | 456,815 | |
750,000 | Boston Properties LP, Sr. Unsecd. Note, 3.650%, 2/1/2026 | 831,922 | |
TOTAL | 1,667,647 | ||
Financial Institution - REIT - Other—0.2% | |||
650,000 | ProLogis LP, Sr. Unsecd. Note, 4.250%, 8/15/2023 | 719,945 | |
295,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | 307,144 | |
250,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 266,439 | |
TOTAL | 1,293,528 | ||
Financial Institution - REIT - Retail—0.1% | |||
700,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 764,601 | |
Technology—0.9% | |||
350,000 | Apple, Inc., Sr. Unsecd. Note, 2.500%, 2/9/2022 | 361,930 | |
75,000 | Autodesk, Inc., Sr. Unsecd. Note, 4.375%, 6/15/2025 | 85,620 | |
318,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 4.110%, 9/15/2028 | 348,408 | |
250,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 4.150%, 11/15/2030 | 272,578 | |
75,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 4.700%, 4/15/2025 | 84,531 | |
350,000 | Cisco Systems, Inc., 3.625%, 3/4/2024 | 391,219 | |
525,000 | Dell International LLC / EMC Corp., Sec. Fac. Bond, 144A, 5.850%, 7/15/2025 | 603,931 | |
240,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 254,134 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 232,897 | |
145,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.750%, 5/21/2029 | 169,992 | |
185,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 208,134 | |
380,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023 | 415,438 | |
120,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029 | 129,954 | |
245,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 291,304 | |
70,000 | Micron Technology, Inc., Sr. Unsecd. Note, 2.497%, 4/24/2023 | 72,752 | |
200,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.975%, 2/6/2026 | 229,685 | |
245,000 | Microsoft Corp., Sr. Unsecd. Note, 2.675%, 6/1/2060 | 257,245 | |
600,000 | Microsoft Corp., Sr. Unsecd. Note, 3.125%, 11/3/2025 | 673,575 | |
20,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 23,480 | |
200,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 233,800 | |
25,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 5.500%, 6/15/2045 | 34,378 | |
TOTAL | 5,374,985 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Technology Services—0.0% | |||
$145,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.900%, 5/15/2030 | $151,841 | |
Transportation - Airlines—0.0% | |||
140,000 | Southwest Airlines Co., Sr. Unsecd. Note, 4.750%, 5/4/2023 | 144,655 | |
140,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | 147,838 | |
TOTAL | 292,493 | ||
Transportation - Railroads—0.1% | |||
175,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 3.000%, 4/1/2025 | 192,657 | |
105,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.050%, 3/5/2030 | 107,668 | |
310,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.500%, 5/1/2050 | 335,358 | |
230,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 246,352 | |
TOTAL | 882,035 | ||
Transportation - Services—0.3% | |||
400,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 3.300%, 10/15/2022 | 414,434 | |
100,000 | FedEx Corp., Sr. Unsecd. Note, 3.100%, 8/5/2029 | 106,924 | |
300,000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | 308,705 | |
500,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 2.700%, 3/14/2023 | 512,114 | |
500,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.400%, 3/1/2023 | 524,313 | |
TOTAL | 1,866,490 | ||
Utility - Electric—1.5% | |||
600,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 3.200%, 11/13/2027 | 659,499 | |
400,000 | Avangrid, Inc., Sr. Unsecd. Note, 3.800%, 6/1/2029 | 465,169 | |
300,000 | Berkshire Hathaway Energy Co., Sr. Unsecd. Note, 3.750%, 11/15/2023 | 330,028 | |
195,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 199,626 | |
165,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 177,352 | |
210,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series C, 3.375%, 4/1/2030 | 232,785 | |
900,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026 | 976,564 | |
200,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 215,753 | |
400,000 | Emera US Finance LP, Sr. Unsecd. Note, 3.550%, 6/15/2026 | 449,225 | |
400,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 475,587 | |
470,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.625%, 9/14/2025 | 535,626 | |
200,000 | Enel Finance International SA, Company Guarantee, 144A, 6.000%, 10/7/2039 | 266,894 | |
70,000 | EverSource Energy, Sr. Unsecd. Note, 3.350%, 3/15/2026 | 75,882 | |
500,000 | EverSource Energy, Sr. Unsecd. Note, Series N, 3.800%, 12/1/2023 | 547,833 | |
195,000 | Exelon Corp., Sr. Unsecd. Note, 4.700%, 4/15/2050 | 248,836 | |
50,000 | Exelon Generation Co. LLC, Sr. Unsecd. Note, 4.250%, 6/15/2022 | 52,985 | |
160,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 194,664 | |
93,000 | Fortis, Inc. / Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 100,484 | |
20,000 | Indiana Michigan Power Co., Sr. Unsecd. Note, Series K, 4.550%, 3/15/2046 | 25,419 | |
490,000 | Kansas City Power and Light Co., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 613,158 | |
200,000 | Mississippi Power Co., Sr. Unsecd. Note, 3.950%, 3/30/2028 | 227,418 | |
50,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 53,157 | |
110,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 2.950%, 2/7/2024 | 117,849 | |
500,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.250%, 6/1/2030 | 514,751 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 78,639 | |
300,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 3.100%, 5/15/2026 | 325,280 | |
500,000 | Southern Co., Sr. Unsecd. Note, 3.250%, 7/1/2026 | 554,533 | |
135,000 | Southern Co., Sr. Unsecd. Note, Series A, 3.700%, 4/30/2030 | 154,647 | |
140,000 | Virginia Electric & Power Co., Sr. Unsecd. Note, Series A, 3.500%, 3/15/2027 | 158,972 | |
TOTAL | 9,028,615 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Utility - Natural Gas—0.5% | |||
$35,000 | Dominion Energy Gas Holdings LLC, Sr. Unsecd. Note, Series B, 3.000%, 11/15/2029 | $37,443 | |
115,000 | Dominion Energy Gas Holdings LLC, Sr. Unsecd. Note, Series C, 3.900%, 11/15/2049 | 121,761 | |
700,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | 847,842 | |
395,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 420,665 | |
750,000 | Sempra Energy, Sr. Unsecd. Note, 3.400%, 2/1/2028 | 825,092 | |
120,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 134,130 | |
690,000 | TransCanada PipeLines Ltd., Sr. Secd. Note, 5.100%, 3/15/2049 | 881,359 | |
TOTAL | 3,268,292 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $109,632,517) | 121,763,841 | ||
MORTGAGE-BACKED SECURITIES—0.0% | |||
28,042 | Federal National Mortgage Association, Pool AO8829, 3.500%, 7/1/2042 | 30,453 | |
5,939 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 6,780 | |
3,592 | Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031 | 4,151 | |
10,363 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 11,973 | |
11,758 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 13,646 | |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $61,129) | 67,003 | ||
PURCHASED CALL OPTION—0.0% | |||
3,300 | 1 | Invesco QQQ Trust Series 1, Notional Amount $81,708,000, Exercise Price $260.00, Expiration Date 7/17/2020 (IDENTIFIED COST $762,483) | 260,700 |
PURCHASED PUT OPTIONS—0.3% | |||
3,600 | 1 | iShares 20+ Year Treasury Bond ETF, Notional Amount $59,014,800, Exercise Price $148.00, Expiration Date 7/17/2020 | 19,800 |
5,000 | 1 | SPDR S&P 500 ETF Trust, Notional Amount $154,180,000, Exercise Price $290.00, Expiration Date 7/17/2020 | 1,105,000 |
2,500 | 1 | SPDR S&P 500 ETF Trust, Notional Amount $77,090,000, Exercise Price $250.00, Expiration Date 8/21/2020 | 398,750 |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $2,682,056) | 1,523,550 | ||
U.S. TREASURIES—13.5% | |||
$10,823 | U.S. Treasury Inflation-Protected Notes, 1.000%, 2/15/2046 | 14,023 | |
1,000,000 | United States Treasury Bond, 2.000%, 2/15/2050 | 1,144,556 | |
20,000 | United States Treasury Bond, 2.750%, 11/15/2047 | 26,145 | |
2,000,000 | United States Treasury Bond, 2.875%, 5/15/2049 | 2,704,076 | |
1,000 | United States Treasury Bond, 3.000%, 11/15/2044 | 1,338 | |
3,000,000 | United States Treasury Bond, 3.000%, 2/15/2049 | 4,139,145 | |
2,000,000 | United States Treasury Bond, 3.125%, 5/15/2048 | 2,800,414 | |
20,200,000 | United States Treasury Note, 0.500%, 3/15/2023 | 20,378,774 | |
18,000,000 | United States Treasury Note, 1.375%, 6/30/2023 | 18,643,331 | |
4,500,000 | United States Treasury Note, 1.500%, 8/31/2021 | 4,569,441 | |
2,500,000 | United States Treasury Note, 1.500%, 9/15/2022 | 2,573,870 | |
2,300,000 | United States Treasury Note, 1.750%, 12/31/2024 | 2,453,186 | |
8,900,000 | United States Treasury Note, 1.750%, 11/15/2029 | 9,821,843 | |
1,000,000 | United States Treasury Note, 2.000%, 10/31/2022 | 1,042,543 | |
2,020,000 | United States Treasury Note, 2.125%, 5/31/2021 | 2,055,938 | |
2,300,000 | United States Treasury Note, 2.125%, 11/30/2024 | 2,488,775 | |
50,000 | United States Treasury Note, 2.250%, 11/15/2027 | 56,287 | |
3,500,000 | United States Treasury Note, 2.500%, 2/15/2022 | 3,631,900 | |
40,000 | United States Treasury Note, 2.875%, 5/31/2025 | 45,035 | |
1,200,000 | United States Treasury Note, 2.875%, 5/15/2028 | 1,415,764 |
Shares, Principal Amount or Contracts | Value | ||
U.S. TREASURIES—continued | |||
$500,000 | United States Treasury Note, 3.125%, 11/15/2028 | $604,264 | |
TOTAL U.S. TREASURIES (IDENTIFIED COST $75,104,584) | 80,610,648 | ||
FOREIGN GOVERNMENTS/AGENCIES—0.3% | |||
Sovereign—0.3% | |||
600,000 | Colombia, Government of, Sr. Unsecd. Note, 4.500%, 3/15/2029 | 657,936 | |
600,000 | Mexico, Government of, 3.750%, 1/11/2028 | 624,384 | |
200,000 | Poland, Government of, 4.000%, 1/22/2024 | 221,756 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $1,434,800) | 1,504,076 | ||
INVESTMENT COMPANIES—18.9% | |||
1,230,103 | Emerging Markets Core Fund | 11,993,505 | |
540,193 | Federated Bank Loan Core Fund | 4,931,961 | |
2,483,221 | Federated Hermes High Income Bond Fund II, Class P | 14,427,516 | |
7,064,020 | Federated Mortgage Core Portfolio | 71,487,879 | |
1,044 | Federated Hermes Short-Intermediate Government Fund, Institutional Shares | 11,901 | |
1,139,958 | Project and Trade Finance Core Fund | 9,986,031 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $108,581,358) | 112,838,793 | ||
REPURCHASE AGREEMENT—6.0% | |||
$35,864,000 | Interest in $1,400,000,000 joint repurchase agreement 0.09%, dated 6/30/2020 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,400,003,500 on 7/1/2020. 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 7/20/2045 and the market value of those underlying securities was $1,428,003,570. (IDENTIFIED COST $35,864,000) | 35,864,000 | |
TOTAL INVESTMENT IN SECURITIES—100.3% (IDENTIFIED COST $566,845,780)3 | 598,231,873 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.3)%4 | (1,502,136) | ||
TOTAL NET ASSETS—100% | $596,729,737 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures | ||||
1United States Treasury Notes 2-Year Long Futures | 75 | $16,562,109 | September 2020 | $5,105 |
1United States Treasury Notes 5-Year Long Futures | 80 | $10,059,375 | September 2020 | $21,695 |
1United States Treasury Ultra Bond Long Futures | 35 | $7,635,469 | September 2020 | $3,359 |
Short Futures | ||||
1S&P 500 E-Mini Short Futures | 967 | $149,411,170 | September 2020 | $5,042,567 |
1United States Treasury Notes 10-Year Short Futures | 40 | $5,566,875 | September 2020 | $(37,181) |
1United States Treasury Notes 10-Year Ultra Short Futures | 20 | $3,149,687 | September 2020 | $(20,358) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $5,015,187 |
Counterparty | Description | Notional Amount | Expiration Date | Exercise Price | Value |
Call Options: | |||||
J.P. Morgan | Invesco QQQ Trust Series 1 | $81,708,000 | July 2020 | $270.00 | $(39,600) |
Put Options: | |||||
J.P. Morgan | SPDR S&P 500 ETF Trust | $154,180,000 | July 2020 | $280.00 | $(590,000) |
J.P. Morgan | SPDR S&P 500 ETF Trust | $77,090,000 | August 2020 | $230.00 | $(207,500) |
(PREMIUMS RECEIVED $1,430,585) | $(837,100) |
Affiliates | Balance of Shares Held 12/31/2019 | Purchases/ Additions | Sales/ Reductions | Balance of Shares Held 6/30/2020 | Value | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Dividend Income |
Emerging Markets Core Fund | 1,200,291 | 285,990 | (256,178) | 1,230,103 | $11,993,505 | $(338,174) | $7,421 | $275,387 |
Federated Bank Loan Core Fund | 735,995 | 15,208 | (211,010) | 540,193 | $4,931,961 | $(322,608) | $(235,418) | $140,422 |
Federated Hermes High Income Bond Fund II, Class P | 2,624,254 | 809,629 | (950,662) | 2,483,221 | $14,427,516 | $(970,648) | $65,400 | $846,383 |
Federated Mortgage Core Portfolio | 8,479,435 | 1,920,556 | (3,335,971) | 7,064,020 | $71,487,879 | $1,415,574 | $754,617 | $1,141,130 |
Federated Hermes Short-Intermediate Government Fund, Institutional Shares | 1,035 | 9 | — | 1,044 | $11,901 | $529 | $— | $109 |
Project and Trade Finance Core Fund | 1,933,087 | 31,673 | (824,802) | 1,139,958 | $9,986,031 | $83,486 | $(457,481) | $278,482 |
TOTAL OF AFFILIATED TRANSACTIONS | 14,974,097 | 3,063,065 | (5,578,623) | 12,458,539 | $112,838,793 | $(131,841) | $134,539 | $2,681,913 |
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 $566,682,421. |
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 | $233,142,959 | $— | $— | $233,142,959 |
International | 4,208,908 | — | — | 4,208,908 |
Debt Securities: | ||||
Adjustable Rate Mortgage | — | 2,693 | — | 2,693 |
Commercial Mortgage-Backed Securities | — | 6,444,702 | — | 6,444,702 |
Corporate Bonds | — | 121,763,841 | — | 121,763,841 |
Mortgage-Backed Securities | — | 67,003 | — | 67,003 |
U.S. Treasuries | — | 80,610,648 | — | 80,610,648 |
Foreign Governments/Agencies | — | 1,504,076 | — | 1,504,076 |
Purchased Call Option | 260,700 | — | — | 260,700 |
Purchased Put Options | 1,523,550 | — | — | 1,523,550 |
Investment Companies1 | 102,852,762 | — | — | 112,838,793 |
Repurchase Agreement | — | 35,864,000 | — | 35,864,000 |
TOTAL SECURITIES | $341,988,879 | $246,256,963 | $— | $598,231,873 |
Other Financial Instruments | ||||
Assets | ||||
Futures Contracts | $5,072,726 | $— | $— | $5,072,726 |
Liabilities | ||||
Futures Contracts | (57,539) | — | — | (57,539) |
Written Option Contracts | (837,100) | — | — | (837,100) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $4,178,087 | $— | $— | $4,178,087 |
1 | As permitted by U.S. generally accepted accounting principles (GAAP), an Investment Company valued at $9,986,031 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 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. |
ADR | —American Depositary Receipt |
ARM | —Adjustable Rate Mortgage |
BKNT | —Bank Notes |
ETF | —Exchange-Traded Fund |
FREMF | —Freddie Mac Multifamily K-Deals |
GMTN | —Global Medium Term Note |
MTN | —Medium Term Note |
REIT | —Real Estate Investment Trust |
REMIC | —Real Estate Mortgage Investment Conduit |
SPDR | —Standard & Poor's Depositary Receipt |
Six Months Ended (unaudited) 6/30/2020 | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $11.30 | $9.60 | $10.80 | $9.52 | $9.29 | $10.54 |
Income From Investment Operations: | ||||||
Net investment income1 | 0.11 | 0.24 | 0.23 | 0.29 | 0.34 | 0.44 |
Net realized and unrealized gain (loss) | (1.16) | 1.68 | (1.13) | 1.39 | 0.34 | (1.20) |
TOTAL FROM INVESTMENT OPERATIONS | (1.05) | 1.92 | (0.90) | 1.68 | 0.68 | (0.76) |
Less Distributions: | ||||||
Distributions from net investment income | (0.27) | (0.22) | (0.30) | (0.40) | (0.45) | (0.44) |
Distributions from net realized gain | — | — | — | — | — | (0.05) |
TOTAL DISTRIBUTIONS | (0.27) | (0.22) | (0.30) | (0.40) | (0.45) | (0.49) |
Net Asset Value, End of Period | $9.98 | $11.30 | $9.60 | $10.80 | $9.52 | $9.29 |
Total Return2 | (9.17)% | 20.23% | (8.49)% | 18.11% | 7.69% | (7.64)% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.91%4 | 0.91% | 0.89% | 0.83% | 0.79%5 | 0.75%5 |
Net investment income | 2.14%4 | 2.28% | 2.26% | 2.91% | 3.72% | 4.38% |
Expense waiver/reimbursement6 | 0.01%4 | 0.02% | 0.03% | 0.09% | 0.14% | 0.16% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $559,507 | $651,498 | $632,957 | $621,804 | $563,745 | $631,701 |
Portfolio turnover | 42% | 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. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratios were 0.79% and 0.75% for the years ended December 31, 2016 and 2015, respectively, after taking into account these expense reductions. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 6/30/2020 | Year Ended 12/31/2019 | Period Ended 12/31/20181 | |
Net Asset Value, Beginning of Period | $11.27 | $9.59 | $10.08 |
Income From Investment Operations: | |||
Net investment income 2 | 0.10 | 0.21 | 0.13 |
Net realized and unrealized gain (loss) | (1.15) | 1.68 | (0.62) |
TOTAL FROM INVESTMENT OPERATIONS | (1.05) | 1.89 | (0.49) |
Less Distributions: | |||
Distributions from net investment income | (0.22) | (0.21) | — |
Distributions from net realized gain | — | — | — |
TOTAL DISTRIBUTIONS | (0.22) | (0.21) | — |
Net Asset Value, End of Period | $10.00 | $11.27 | $9.59 |
Total Return3 | (9.19)% | 19.92% | (4.86)% |
Ratios to Average Net Assets: | |||
Net expenses4 | 1.16%5 | 1.16% | 1.15%5 |
Net investment income | 1.89%5 | 2.03% | 1.91%5 |
Expense waiver/reimbursement6 | 0.01%5 | 0.02% | 0.02%5 |
Supplemental Data: | |||
Net assets, end of period (000 omitted) | $37,222 | $44,161 | $44,037 |
Portfolio turnover | 42% | 47% | 96%7 |
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 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
7 | 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 $112,838,793 of investment in affiliated holdings* (identified cost $566,845,780) | $598,231,873 | |
Due from broker | 2,000 | |
Income receivable | 1,663,887 | |
Income receivable from affiliated holdings | 263,736 | |
Receivable for investments sold | 32,143,597 | |
Receivable for shares sold | 276,141 | |
TOTAL ASSETS | 632,581,234 | |
Liabilities: | ||
Payable for investments purchased | $32,356,786 | |
Payable for shares redeemed | 429,859 | |
Written options outstanding (premium $1,430,585), at value | 837,100 | |
Bank overdraft | 16,697 | |
Payable for variation margin on futures contracts | 2,081,047 | |
Payable for Directors'/Trustees' fees (Note 5) | 151 | |
Payable for investment adviser fee (Note 5) | 11,988 | |
Payable for administrative fee (Note 5) | 1,610 | |
Payable for distribution services fee (Note 5) | 7,704 | |
Accrued expenses (Note 5) | 108,555 | |
TOTAL LIABILITIES | 35,851,497 | |
Net assets for 59,783,324 shares outstanding | $596,729,737 | |
Net Assets Consist of: | ||
Paid-in capital | $622,735,822 | |
Total distributable earnings (loss) | (26,006,085) | |
TOTAL NET ASSETS | $596,729,737 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
Net asset value per share ($559,507,315 ÷ 56,059,408 shares outstanding), no par value, unlimited shares authorized | $9.98 | |
Service Shares: | ||
Net asset value per share ($37,222,422 ÷ 3,723,916 shares outstanding), no par value, unlimited shares authorized | $10.00 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |||
Dividends (including $2,681,913 received from affiliated holdings* and net of foreign taxes withheld of $2,900) | $6,369,664 | ||
Interest | 3,199,016 | ||
TOTAL INCOME | 9,568,680 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $2,351,507 | ||
Administrative fee (Note 5) | 309,335 | ||
Custodian fees | 19,345 | ||
Transfer agent fees | 25,576 | ||
Directors'/Trustees' fees (Note 5) | 2,552 | ||
Auditing fees | 17,190 | ||
Legal fees | 7,553 | ||
Portfolio accounting fees | 86,374 | ||
Distribution services fee (Note 5) | 49,297 | ||
Printing and postage | 70,048 | ||
Miscellaneous (Note 5) | 16,412 | ||
TOTAL EXPENSES | 2,955,189 | ||
Reimbursement of investment adviser fee (Note 5) | (42,265) | ||
Net expenses | 2,912,924 | ||
Net investment income | 6,655,756 | ||
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Written Options and Foreign Currency Transactions: | |||
Net realized gain on investments (including net realized gain of $134,539 on sales of investments in affiliated holdings*) | 10,403,331 | ||
Net realized loss on foreign currency transactions | (1,230) | ||
Net realized loss on futures contracts | (42,206,730) | ||
Net realized loss on written options | (3,364,688) | ||
Net change in unrealized appreciation of investments (including net change in unrealized appreciation of $(131,841) on investments in affiliated holdings*) | (27,442,676) | ||
Net change in unrealized appreciation of futures contracts | (6,442,497) | ||
Net change in unrealized appreciation of written options | 589,396 | ||
Net realized and unrealized gain (loss) on investments, futures contracts, written options and foreign currency transactions | (68,465,094) | ||
Change in net assets resulting from operations | $(61,809,338) |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 6/30/2020 | Year Ended 12/31/2019 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $6,655,756 | $15,670,104 |
Net realized gain (loss) | (35,169,317) | 24,776,133 |
Net change in unrealized appreciation/depreciation | (33,295,777) | 87,210,130 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (61,809,338) | 127,656,367 |
Distributions to Shareholders: | ||
Primary Shares | (14,937,718) | (13,858,559) |
Service Shares | (827,265) | (900,138) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (15,764,983) | (14,758,697) |
Share Transactions: | ||
Proceeds from sale of shares | 15,102,043 | 25,506,299 |
Net asset value of shares issued to shareholders in payment of distributions declared | 15,764,981 | 14,758,695 |
Cost of shares redeemed | (52,222,083) | (134,498,167) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (21,355,059) | (94,233,173) |
Change in net assets | (98,929,380) | 18,664,497 |
Net Assets: | ||
Beginning of period | 695,659,117 | 676,994,620 |
End of period | $596,729,737 | $695,659,117 |
■ | 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, 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. |
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 | $— | Payable for variation margin on futures contracts | $27,380* | |
Equity contracts | $— | Payable for variation margin on futures contracts | $(5,042,567)* | |
Equity contracts | $— | Written option contracts outstanding, at value | $ 837,100 | |
Equity contracts | Purchased options, Investment in securities at value | $ 1,784,250 | $— | |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $ 1,784,250 | $(4,178,087) |
* | 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 | $1,119,193 | $— | $— | $1,119,193 |
Equity contracts | (43,325,923) | 12,141,548 | (3,364,688) | (34,549,063) |
TOTAL | $(42,206,730) | $12,141,548 | $(3,364,688) | $(33,429,870) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||
Futures Contracts | Purchased Option Contracts2 | Written Option Contracts | Total | |
Interest rate contracts | $184,794 | $— | $— | $184,794 |
Equity contracts | (6,627,291) | (1,628,385) | 589,396 | (7,666,280) |
TOTAL | $(6,442,497) | $(1,628,385) | $589,396 | $(7,481,486) |
1 | The net realized gain on Purchased Option Contracts is found within the Net realized gain 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 appreciation of investments on the Statement of Operations |
Six Months Ended 6/30/2020 | Year Ended 12/31/2019 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,372,001 | $14,012,757 | 2,373,923 | $24,532,576 |
Shares issued to shareholders in payment of distributions declared | 1,577,373 | 14,937,718 | 1,369,423 | 13,858,559 |
Shares redeemed | (4,553,709) | (48,121,473) | (12,039,584) | (125,610,367) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (1,604,335) | $(19,170,998) | (8,296,238) | $(87,219,232) |
Six Months Ended 6/30/2020 | Year Ended 12/31/2019 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 109,662 | $1,089,286 | 94,757 | $973,723 |
Shares issued to shareholders in payment of distributions declared | 87,172 | 827,263 | 88,946 | 900,136 |
Shares redeemed | (390,065) | (4,100,610) | (858,584) | (8,887,800) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (193,231) | $(2,184,061) | (674,881) | $(7,013,941) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (1,797,566) | $(21,355,059) | (8,971,119) | $(94,233,173) |
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 | $49,297 |
Purchases | $210,847,666 |
Sales | $240,567,573 |
Beginning Account Value 1/1/2020 | Ending Account Value 6/30/2020 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $908.30 | $4.32 |
Service Shares | $1,000 | $908.10 | $5.50 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,020.40 | $4.57 |
Service Shares | $1,000 | $1,019.10 | $5.82 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 182/366 (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% |
■ | the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment, including a review of the Funds’ access to other available funding sources such as the Funds’ interfund lending facility, redemptions in-kind and committed lines of credit and confirmation that the Fund did not have to access any of these alternative funding sources during the Period; |
■ | the periodic classifications of the Fund’s investments into one of four liquidity categories and the methodologies and inputs used to classify the investments, including the Fund’s reasonably anticipated trade size; |
■ | the analysis received from a third-party liquidity assessment vendor that is taken into account in the process of determining the liquidity classifications of the Fund’s investments and the results of an evaluation of the services performed by the vendor in support of this process; |
■ | the fact that the Fund invested primarily in highly liquid investments during the Period and, therefore, was not required to establish, and has not established, an HLIM and the procedures for monitoring the status of the Fund as investing primarily in highly liquid investments; |
■ | the fact that the Fund invested no more than 15% of its assets in illiquid investments during the Period and the procedures for monitoring this limit; and |
■ | liquidity events during the Period, including the impact on liquidity caused by extended non-U.S. market closures and the market disruptions resulting from the novel coronavirus outbreak, and the fact that there were no specific liquidity events during the Period that materially affected the Fund’s liquidity risk. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916744
Share Class | Primary | Service |
Security Type | Percentage of Total Net Assets |
Corporate Debt Securities | 97.7% |
Mortgage-Backed Securities2,3 | 0.0% |
Derivative Contracts3,4 | 0.0% |
Securities Lending Collateral5 | 1.7% |
Cash Equivalents6 | 0.5% |
Other Assets and Liabilities—Net7 | 0.1% |
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—97.7% | |||
Basic Industry - Chemicals—0.7% | |||
$640,000 | FMC Corp., Sr. Unsecd. Note, 3.950%, 2/1/2022 | $664,080 | |
500,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | 562,895 | |
TOTAL | 1,226,975 | ||
Basic Industry - Metals & Mining—1.2% | |||
230,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 227,835 | |
650,000 | 1 | Carpenter Technology Corp., Sr. Unsecd. Note, 5.200%, 7/15/2021 | 656,333 |
1,000,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 1,074,470 | |
320,000 | Southern Copper Corp., Sr. Unsecd. Note, 3.500%, 11/8/2022 | 335,999 | |
TOTAL | 2,294,637 | ||
Capital Goods - Aerospace & Defense—2.9% | |||
600,000 | Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027 | 620,133 | |
270,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 2.850%, 12/15/2020 | 271,789 | |
280,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 310,334 | |
200,000 | BAE Systems PLC, Sr. Unsecd. Note, 144A, 3.400%, 4/15/2030 | 218,564 | |
200,000 | Boeing Co., Sr. Unsecd. Note, 1.875%, 6/15/2023 | 200,012 | |
600,000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | 586,487 | |
584,000 | 1 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 570,779 |
519,000 | Embraer Overseas Ltd., Sr. Unsecd. Note, 144A, 5.696%, 9/16/2023 | 496,244 | |
275,000 | General Dynamics Corp., Sr. Unsecd. Note, 3.250%, 4/1/2025 | 305,181 | |
145,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 144A, 3.844%, 5/1/2025 | 157,616 | |
410,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 442,287 | |
335,000 | Leidos, Inc., Unsecd. Note, 144A, 3.625%, 5/15/2025 | 366,532 | |
320,000 | Raytheon Technologies Corp., Sr. Unsecd. Note, 144A, 3.100%, 11/15/2021 | 328,619 | |
460,000 | 2 | Textron Financial Corp., Jr. Sub. Note, 144A, 2.127% (3-month USLIBOR +1.735%), 2/15/2042 | 288,282 |
295,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 314,705 | |
TOTAL | 5,477,564 | ||
Capital Goods - Building Materials—0.9% | |||
165,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 173,633 | |
800,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 835,535 | |
300,000 | Masco Corp., Sr. Unsecd. Note, 3.500%, 11/15/2027 | 318,812 | |
275,000 | Masco Corp., Unsecd. Note, 4.450%, 4/1/2025 | 311,657 | |
TOTAL | 1,639,637 | ||
Capital Goods - Construction Machinery—1.1% | |||
195,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.950%, 7/2/2023 | 196,405 | |
500,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 4.375%, 4/5/2022 | 523,062 | |
595,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 628,930 | |
750,000 | Deere & Co., Sr. Unsecd. Note, 2.600%, 6/8/2022 | 778,927 | |
TOTAL | 2,127,324 | ||
Capital Goods - Diversified Manufacturing—3.8% | |||
700,000 | 3M Co., Sr. Unsecd. Note, 2.000%, 2/14/2025 | 737,664 | |
750,000 | CK Hutchison Holdings Ltd., Sr. Unsecd. Note, 144A, 2.750%, 3/29/2023 | 775,713 | |
225,000 | General Electric Co., Sr. Unsecd. Note, 4.350%, 5/1/2050 | 223,354 | |
205,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 210,660 | |
400,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.950%, 6/1/2030 | 418,481 | |
1,000,000 | Lennox International, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2023 | 1,032,813 | |
210,000 | Otis Worldwide Corp., Sr. Unsecd. Note, 144A, 2.565%, 2/15/2030 | 220,674 | |
430,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.000%, 6/30/2030 | 430,781 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Capital Goods - Diversified Manufacturing—continued | |||
$250,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.650%, 9/15/2023 | $271,942 | |
875,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.800%, 12/15/2026 | 1,000,714 | |
800,000 | United Technologies Corp., Sr. Unsecd. Note, 4.125%, 11/16/2028 | 943,433 | |
235,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 240,174 | |
400,000 | Xylem, Inc., Sr. Unsecd. Note, 1.950%, 1/30/2028 | 404,184 | |
250,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 251,968 | |
TOTAL | 7,162,555 | ||
Capital Goods - Packaging—0.3% | |||
500,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 3.750%, 3/15/2025 | 554,899 | |
Communications - Cable & Satellite—2.3% | |||
1,000,000 | CCO Safari II LLC, 4.908%, 7/23/2025 | 1,147,478 | |
300,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 2.800%, 4/1/2031 | 304,796 | |
400,000 | Comcast Corp., Sr. Unsecd. Note, 2.350%, 1/15/2027 | 427,771 | |
730,000 | Comcast Corp., Sr. Unsecd. Note, 2.750%, 3/1/2023 | 776,317 | |
300,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 336,839 | |
750,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 860,067 | |
400,000 | Time Warner Cable, Inc., Sr. Unsecd. Note, 8.375%, 3/15/2023 | 469,072 | |
TOTAL | 4,322,340 | ||
Communications - Media & Entertainment—2.1% | |||
300,000 | British Sky Broadcasting Group PLC, 144A, 3.750%, 9/16/2024 | 334,450 | |
132,000 | Discovery Communications LLC, Sr. Unsecd. Note, 2.950%, 3/20/2023 | 138,783 | |
400,000 | Discovery Communications LLC, Sr. Unsecd. Note, 3.625%, 5/15/2030 | 438,379 | |
400,000 | Discovery Communications LLC, Sr. Unsecd. Note, 4.125%, 5/15/2029 | 456,952 | |
500,000 | Fox Corp.,Sr. Unsecd. Note, 3.500%, 4/8/2030 | 559,357 | |
400,000 | Fox Corp.,Sr. Unsecd. Note, Series WI, 4.709%, 1/25/2029 | 481,083 | |
270,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 4.200%, 6/1/2030 | 314,306 | |
310,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.950%, 1/15/2031 | 363,265 | |
750,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 3.700%, 8/15/2024 | 815,215 | |
TOTAL | 3,901,790 | ||
Communications - Telecom Wireless—1.7% | |||
600,000 | 1 | American Tower Corp., Sr. Unsecd. Note, 3.500%, 1/31/2023 | 641,556 |
300,000 | Crown Castle International Corp., 3.150%, 7/15/2023 | 320,374 | |
180,000 | Crown Castle International Corp., Sr. Unsecd. Note, 2.250%, 1/15/2031 | 181,714 | |
250,000 | Crown Castle International Corp., Sr. Unsecd. Note, 3.300%, 7/1/2030 | 273,525 | |
200,000 | Crown Castle International Corp., Sr. Unsecd. Note, 4.450%, 2/15/2026 | 229,423 | |
450,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 144A, 3.875%, 4/15/2030 | 502,400 | |
450,000 | T-Mobile USA, Inc., Term Loan—1st Lien, 144A, 3.750%, 4/15/2027 | 499,838 | |
395,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 448,820 | |
TOTAL | 3,097,650 | ||
Communications - Telecom Wirelines—2.1% | |||
300,000 | AT&T, Inc., Sr. Unsecd. Note, 2.300%, 6/1/2027 | 310,220 | |
250,000 | AT&T, Inc., Sr. Unsecd. Note, 2.750%, 6/1/2031 | 259,219 | |
450,000 | AT&T, Inc., Sr. Unsecd. Note, 3.400%, 5/15/2025 | 495,120 | |
750,000 | AT&T, Inc., Sr. Unsecd. Note, 4.250%, 3/1/2027 | 857,178 | |
250,000 | Telefonica SA, Company Guarantee, 7.045%, 6/20/2036 | 364,148 | |
175,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.150%, 3/22/2030 | 198,217 | |
600,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.150%, 3/15/2024 | 668,227 | |
735,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 5.150%, 9/15/2023 | 837,101 | |
TOTAL | 3,989,430 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Automotive—3.3% | |||
$700,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 3.250%, 8/1/2024 | $739,062 | |
500,000 | Fiat Chrysler Automobiles NV, Sr. Unsecd. Note, 5.250%, 4/15/2023 | 517,848 | |
250,000 | 1 | Ford Motor Co., Sr. Unsecd. Note, 4.346%, 12/8/2026 | 233,960 |
250,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.336%, 3/18/2021 | 248,209 | |
920,000 | General Motors Co., Sr. Unsecd. Note, 4.000%, 4/1/2025 | 955,905 | |
250,000 | General Motors Co., Sr. Unsecd. Note, 6.125%, 10/1/2025 | 281,265 | |
500,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 3.200%, 7/6/2021 | 505,857 | |
300,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.000%, 10/6/2026 | 311,668 | |
355,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | 359,038 | |
1,025,000 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 2.650%, 7/13/2022 | 1,009,984 | |
650,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/12/2021 | 676,985 | |
300,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.250%, 11/13/2023 | 328,657 | |
TOTAL | 6,168,438 | ||
Consumer Cyclical - Leisure—0.2% | |||
333,533 | Football Trust V, Pass Thru Cert., 5.350%, 10/5/2020 | 336,264 | |
Consumer Cyclical - Retailers—3.2% | |||
1,000,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, 144A, 3.900%, 4/15/2030 | 1,071,705 | |
470,000 | Alimentation Couche-Tard, Inc., 144A, 2.950%, 1/25/2030 | 488,198 | |
215,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 233,384 | |
1,290,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 1,509,110 | |
275,000 | Costco Wholesale Corp., Sr. Unsecd. Note, 1.375%, 6/20/2027 | 281,415 | |
200,000 | Dollar General Corp., Sr. Unsecd. Note, 4.150%, 11/1/2025 | 231,847 | |
600,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | 642,535 | |
500,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 4.000%, 5/15/2025 | 563,382 | |
500,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.125%, 9/15/2026 | 538,092 | |
370,000 | O'Reilly Automotive, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2030 | 434,055 | |
TOTAL | 5,993,723 | ||
Consumer Cyclical - Services—2.4% | |||
500,000 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 3.400%, 12/6/2027 | 555,733 | |
170,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 194,649 | |
400,000 | Booking Holdings, Inc., Sr. Unsecd. Note, 4.625%, 4/13/2030 | 468,727 | |
750,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 852,897 | |
300,000 | Expedia Group, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/1/2025 | 320,976 | |
500,000 | 1 | Expedia, Inc., 4.500%, 8/15/2024 | 518,895 |
325,000 | IHS Markit Ltd., Sr. Unsecd. Note, 4.125%, 8/1/2023 | 355,766 | |
135,000 | IHS Markit Ltd., Sr. Unsecd. Note, Series 5YR, 3.625%, 5/1/2024 | 144,972 | |
500,000 | Visa, Inc., Sr. Unsecd. Note, 2.800%, 12/14/2022 | 527,999 | |
530,000 | Visa, Inc., Sr. Unsecd. Note, 3.150%, 12/14/2025 | 591,717 | |
TOTAL | 4,532,331 | ||
Consumer Non-Cyclical - Food/Beverage—5.8% | |||
750,000 | 1 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029 | 906,675 |
515,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 546,109 | |
1,000,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028 | 1,177,552 | |
340,000 | 1 | Danone SA, Sr. Unsecd. Note, 144A, 2.947%, 11/2/2026 | 373,051 |
380,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 409,750 | |
330,000 | General Mills, Inc., Sr. Unsecd. Note, 3.700%, 10/17/2023 | 359,437 | |
500,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | 538,304 | |
660,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 4.500%, 1/25/2022 | 692,180 | |
1,050,000 | Kerry Group Financial Services, Sr. Unsecd. Note, 144A, 3.200%, 4/9/2023 | 1,098,300 | |
85,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 3.200%, 5/1/2030 | 94,228 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Food/Beverage—continued | |||
$700,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.057%, 5/25/2023 | $764,002 | |
450,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 519,206 | |
1,000,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 3.150%, 8/15/2024 | 1,084,090 | |
380,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 2.650%, 10/3/2021 | 375,919 | |
240,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.350%, 2/1/2022 | 238,290 | |
60,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027 | 61,380 | |
600,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 2.375%, 3/15/2030 | 613,753 | |
370,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.900%, 9/28/2023 | 404,371 | |
500,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 4.500%, 6/15/2022 | 531,842 | |
TOTAL | 10,788,439 | ||
Consumer Non-Cyclical - Health Care—2.8% | |||
275,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 2.100%, 6/4/2030 | 282,575 | |
210,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2029 | 228,652 | |
940,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 3.875%, 7/15/2023 | 1,016,268 | |
205,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.600%, 5/27/2030 | 210,962 | |
350,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 3.000%, 9/23/2029 | 372,210 | |
250,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.700%, 6/6/2027 | 279,867 | |
740,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 815,233 | |
235,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 237,659 | |
235,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 250,540 | |
470,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, Series 5YR, 2.200%, 11/15/2024 | 494,278 | |
160,000 | Dentsply Sirona, Inc., Sr. Unsecd. Note, 3.250%, 6/1/2030 | 167,980 | |
450,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 483,145 | |
250,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 2.950%, 9/19/2026 | 276,753 | |
50,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 4.133%, 3/25/2025 | 57,145 | |
TOTAL | 5,173,267 | ||
Consumer Non-Cyclical - Pharmaceuticals—4.3% | |||
210,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.400%, 11/30/2023 | 229,256 | |
453,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 527,495 | |
580,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 2.950%, 11/21/2026 | 635,190 | |
455,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 3.200%, 11/21/2029 | 508,031 | |
67,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 4.750%, 3/15/2045 | 83,252 | |
300,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.600%, 5/14/2025 | 333,323 | |
600,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027 | 669,147 | |
1,000,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 3.875%, 12/15/2023 | 1,097,752 | |
200,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.250%, 12/15/2025 | 229,953 | |
600,000 | Biogen Idec, Inc., Sr. Unsecd. Note, 4.050%, 9/15/2025 | 687,879 | |
320,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 3.400%, 7/26/2029 | 373,249 | |
200,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 5.000%, 8/15/2045 | 282,351 | |
310,000 | Eli Lilly & Co., Sr. Unsecd. Note, 3.375%, 3/15/2029 | 358,911 | |
220,000 | Gilead Sciences, Inc., Sr. Unsecd. Note, 3.650%, 3/1/2026 | 251,965 | |
500,000 | Merck & Co., Inc., Sr. Unsecd. Note, 3.400%, 3/7/2029 | 577,225 | |
900,000 | Teva Pharmaceutical Finance Netherlands III BV, Sr. Unsecd. Note, 2.200%, 7/21/2021 | 883,724 | |
300,000 | Teva Pharmaceutical Finance Netherlands III BV, Sr. Unsecd. Note, 3.150%, 10/1/2026 | 268,989 | |
TOTAL | 7,997,692 | ||
Consumer Non-Cyclical - Supermarkets—0.5% | |||
610,000 | Kroger Co., Bond, 6.900%, 4/15/2038 | 912,619 | |
Consumer Non-Cyclical - Tobacco—1.1% | |||
800,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.400%, 2/14/2026 | 920,825 | |
290,000 | BAT International Finance PLC, Sr. Unsecd. Note, 144A, 3.950%, 6/15/2025 | 320,058 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Tobacco—continued | |||
$300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 4.450%, 6/12/2025 | $338,196 | |
360,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 445,608 | |
TOTAL | 2,024,687 | ||
Energy - Independent—1.9% | |||
94,000 | Apache Corp., Sr. Unsecd. Note, 3.250%, 4/15/2022 | 91,236 | |
500,000 | 1 | Apache Corp., Sr. Unsecd. Note, 4.375%, 10/15/2028 | 441,742 |
250,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.050%, 7/15/2025 | 250,793 | |
420,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.950%, 1/15/2023 | 433,493 | |
500,000 | Cimarex Energy Co., Sr. Unsecd. Note, 3.900%, 5/15/2027 | 503,887 | |
215,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 221,091 | |
250,000 | 1 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 6/1/2024 | 264,031 |
475,000 | 1 | Marathon Oil Corp., Sr. Unsecd. Note, 3.850%, 6/1/2025 | 479,353 |
100,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 2.900%, 8/15/2024 | 85,699 | |
1,000,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 3.450%, 7/15/2024 | 835,000 | |
TOTAL | 3,606,325 | ||
Energy - Integrated—2.0% | |||
500,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.796%, 9/21/2025 | 565,898 | |
500,000 | BP Capital Markets PLC, Sr. Unsecd. Note, 3.994%, 9/26/2023 | 549,660 | |
530,000 | CNPC Hong Kong Overseas Capital Ltd., Company Guarantee, 144A, 5.950%, 4/28/2041 | 766,085 | |
500,000 | Chevron Corp., Sr. Unsecd. Note, 1.141%, 5/11/2023 | 508,827 | |
585,000 | Husky Energy, Inc., 4.000%, 4/15/2024 | 600,715 | |
240,000 | Husky Energy, Inc., Sr. Unsecd. Note, 4.400%, 4/15/2029 | 240,200 | |
175,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 4.875%, 1/18/2024 | 168,638 | |
325,000 | Shell International Finance B.V., Sr. Unsecd. Note, 2.875%, 5/10/2026 | 356,486 | |
TOTAL | 3,756,509 | ||
Energy - Midstream—2.9% | |||
500,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 533,080 | |
565,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 611,237 | |
470,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 5Y, 4.200%, 9/15/2023 | 499,962 | |
500,000 | Kinder Morgan Energy Partners LP, 4.250%, 9/1/2024 | 548,820 | |
350,000 | 1 | MPLX LP, Sr. Unsecd. Note, 3.375%, 3/15/2023 | 366,041 |
395,000 | MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027 | 421,752 | |
500,000 | MPLX LP, Sr. Unsecd. Note, Series WI, 3.500%, 12/1/2022 | 521,244 | |
345,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.000%, 7/13/2027 | 350,633 | |
600,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 631,887 | |
540,000 | 1 | Texas Eastern Transmission LP, Sr. Unsecd. Note, 144A, 2.800%, 10/15/2022 | 549,994 |
300,000 | Williams Partners LP, Sr. Unsecd. Note, 3.900%, 1/15/2025 | 328,650 | |
TOTAL | 5,363,300 | ||
Energy - Oil Field Services—0.2% | |||
300,000 | Schlumberger Holdings Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/21/2025 | 330,146 | |
Energy - Refining—0.4% | |||
215,000 | Valero Energy Corp., 7.500%, 4/15/2032 | 296,246 | |
335,000 | Valero Energy Corp., Sr. Unsecd. Note, 6.625%, 6/15/2037 | 443,750 | |
TOTAL | 739,996 | ||
Financial Institution - Banking—20.6% | |||
750,000 | American Express Co., Sr. Unsecd. Note, 3.000%, 10/30/2024 | 812,397 | |
935,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 981,669 | |
1,250,000 | Bank of America Corp., Sr. Unsecd. Note, 3.705%, 4/24/2028 | 1,413,570 | |
700,000 | Bank of America Corp., Sr. Unsecd. Note, Series GMTN, 2.816%, 7/21/2023 | 727,402 | |
500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.456%, 10/22/2025 | 526,337 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.248%, 10/21/2027 | $551,754 | |
500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 4.271%, 7/23/2029 | 588,904 | |
310,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.100%, 10/24/2024 | 326,898 | |
300,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.661%, 5/16/2023 | 310,830 | |
550,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.250%, 9/11/2024 | 604,705 | |
600,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.050%, 3/9/2022 | 623,122 | |
350,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.200%, 1/30/2023 | 368,876 | |
500,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 565,491 | |
750,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.876%, 7/24/2023 | 780,865 | |
730,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 810,076 | |
500,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.700%, 1/12/2026 | 559,252 | |
500,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.075%, 4/23/2029 | 570,713 | |
500,000 | Citizens Bank N.A., Sr. Unsecd. Note, Series BKNT, 3.750%, 2/18/2026 | 561,648 | |
90,000 | Citizens Financial Group, Inc., Sr. Unsecd. Note, 2.500%, 2/6/2030 | 91,340 | |
660,000 | 1 | Citizens Financial Group, Inc., Sub. Note, 144A, 4.150%, 9/28/2022 | 695,722 |
300,000 | Comerica, Inc., 3.800%, 7/22/2026 | 324,339 | |
500,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 528,543 | |
685,000 | FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 681,876 | |
140,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 2.375%, 1/28/2025 | 147,759 | |
385,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.650%, 1/25/2024 | 420,231 | |
250,000 | Fifth Third Bank, Sr. Unsecd. Note, Series BKNT, 2.250%, 2/1/2027 | 264,794 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.000%, 4/26/2022 | 509,752 | |
1,250,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.500%, 11/16/2026 | 1,375,716 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 4.223%, 5/1/2029 | 582,061 | |
500,000 | Goldman Sachs Group, Inc., Sub. Note, 4.250%, 10/21/2025 | 563,895 | |
1,000,000 | HSBC USA, Inc., Sr. Unsecd. Note, 3.500%, 6/23/2024 | 1,090,883 | |
490,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 2.550%, 2/4/2030 | 507,039 | |
500,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 2.625%, 8/6/2024 | 530,274 | |
1,000,000 | JPMorgan Chase & Co., 3.250%, 9/23/2022 | 1,058,752 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.782%, 2/1/2028 | 566,848 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 4.452%, 12/5/2029 | 599,845 | |
1,000,000 | JPMorgan Chase & Co., Sub. Note, 3.375%, 5/1/2023 | 1,070,278 | |
1,000,000 | JPMorgan Chase & Co., Sub. Note, 3.875%, 9/10/2024 | 1,109,371 | |
408,000 | MUFG Americas Holdings Corp., Sr. Unsecd. Note, 3.000%, 2/10/2025 | 434,856 | |
250,000 | MUFG Americas Holdings Corp., Sr. Unsecd. Note, 3.500%, 6/18/2022 | 262,592 | |
250,000 | MUFG Union Bank, N.A., Sr. Unsecd. Note, Series BKNT, 3.150%, 4/1/2022 | 260,496 | |
1,940,000 | 2 | Manufacturers & Traders Trust Co., Sub. Note, Series BKNT, 0.990% (3-month USLIBOR +0.640%), 12/1/2021 | 1,936,493 |
750,000 | Morgan Stanley, Sec. Fac. Bond, 2.750%, 5/19/2022 | 779,978 | |
1,000,000 | Morgan Stanley, Sr. Unsecd. Note, 3.625%, 1/20/2027 | 1,129,848 | |
165,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.699%, 1/22/2031 | 175,475 | |
500,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.125%, 1/23/2023 | 530,349 | |
250,000 | Morgan Stanley, Sub. Note, 5.000%, 11/24/2025 | 292,353 | |
1,000,000 | Morgan Stanley, Sub. Note, Series MTN, 4.100%, 5/22/2023 | 1,081,234 | |
320,000 | PNC Bank NA, Sr. Unsecd. Note, Series BKNT, 2.232%, 7/22/2022 | 325,548 | |
330,000 | Regions Financial Corp., Sr. Unsecd. Note, 2.250%, 5/18/2025 | 345,596 | |
230,000 | Regions Financial Corp., Sr. Unsecd. Note, 3.800%, 8/14/2023 | 250,264 | |
250,000 | State Street Corp., Sr. Unsecd. Note, 2.653%, 5/15/2023 | 259,625 | |
700,000 | State Street Corp., Sr. Unsecd. Note, 3.300%, 12/16/2024 | 780,059 | |
250,000 | Synovus Bank GA, Sr. Unsecd. Note, 2.289%, 2/10/2023 | 253,229 | |
475,000 | Truist Bank, Sr. Unsecd. Note, Series BKNT, 2.150%, 12/6/2024 | 499,712 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$500,000 | Truist Bank, Sr. Unsecd. Note, Series BKNT, 3.000%, 2/2/2023 | $529,037 | |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 220,903 | |
245,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 2.750%, 4/1/2022 | 254,064 | |
750,000 | US Bancorp, Sub. Note, Series MTN, 3.600%, 9/11/2024 | 837,024 | |
500,000 | Wells Fargo & Co., Series MTN, 3.500%, 3/8/2022 | 523,851 | |
500,000 | Wells Fargo & Co., Sr. Unsecd. Note, 2.188%, 4/30/2026 | 517,576 | |
620,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 676,788 | |
250,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.406%, 10/30/2025 | 260,410 | |
500,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 555,254 | |
TOTAL | 38,376,441 | ||
Financial Institution - Broker/Asset Mgr/Exchange—1.7% | |||
370,000 | Eaton Vance Corp., Sr. Unsecd. Note, 3.625%, 6/15/2023 | 396,643 | |
220,000 | Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026 | 241,256 | |
200,000 | Jefferies Group LLC, Sr. Unsecd. Note, 6.500%, 1/20/2043 | 232,940 | |
245,000 | Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028 | 290,062 | |
595,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 712,718 | |
193,000 | 1 | Raymond James Financial, Inc., Sr. Unsecd. Note, 5.625%, 4/1/2024 | 220,154 |
390,000 | Stifel Financial Corp., 4.250%, 7/18/2024 | 415,491 | |
190,000 | Stifel Financial Corp., Sr. Unsecd. Note, 3.500%, 12/1/2020 | 190,958 | |
500,000 | TD Ameritrade Holding Corp., Sr. Unsecd. Note, 3.625%, 4/1/2025 | 558,733 | |
TOTAL | 3,258,955 | ||
Financial Institution - Finance Companies—1.0% | |||
500,000 | Discover Financial Services, Sr. Unsecd. Note, 3.850%, 11/21/2022 | 530,037 | |
250,000 | Discover Financial Services, Sr. Unsecd. Note, 4.100%, 2/9/2027 | 273,434 | |
950,000 | GE Capital Funding LLC, Sr. Unsecd. Note, 144A, 4.400%, 5/15/2030 | 988,958 | |
TOTAL | 1,792,429 | ||
Financial Institution - Insurance - Health—0.8% | |||
300,000 | CIGNA Corp., Sr. Unsecd. Note, 3.750%, 7/15/2023 | 325,884 | |
650,000 | CIGNA Corp., Sr. Unsecd. Note, 4.375%, 10/15/2028 | 769,762 | |
405,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 3.750%, 7/15/2025 | 461,992 | |
TOTAL | 1,557,638 | ||
Financial Institution - Insurance - Life—1.0% | |||
350,000 | AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029 | 387,779 | |
200,000 | AIG Global Funding, Sec. Fac. Bond, 144A, 2.300%, 7/1/2022 | 206,111 | |
800,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 893,018 | |
172,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 8.875%, 6/1/2039 | 298,158 | |
TOTAL | 1,785,066 | ||
Financial Institution - Insurance - P&C—0.8% | |||
250,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.450%, 8/15/2027 | 267,034 | |
95,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029 | 104,816 | |
250,000 | 1 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 2.700%, 3/13/2023 | 263,987 |
300,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 3.350%, 5/15/2024 | 330,010 | |
300,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 483,132 | |
TOTAL | 1,448,979 | ||
Financial Institution - REIT - Apartment—1.2% | |||
395,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 441,144 | |
115,000 | Camden Property Trust, Sr. Unsecd. Note, 2.800%, 5/15/2030 | 124,497 | |
500,000 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.750%, 6/15/2024 | 541,950 | |
550,000 | Post Apartment Homes LP, Sr. Unsecd. Note, 3.375%, 12/1/2022 | 573,977 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Apartment—continued | |||
$500,000 | UDR, Inc., Sr. Unsecd. Note, Series MTN, 2.950%, 9/1/2026 | $530,261 | |
TOTAL | 2,211,829 | ||
Financial Institution - REIT - Healthcare—1.2% | |||
500,000 | Healthcare Trust of America, 3.700%, 4/15/2023 | 523,468 | |
710,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 740,465 | |
155,000 | Welltower, Inc., Sr. Unsecd. Note, 2.700%, 2/15/2027 | 161,196 | |
375,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031 | 373,946 | |
500,000 | Welltower, Inc., Sr. Unsecd. Note, 3.100%, 1/15/2030 | 519,336 | |
TOTAL | 2,318,411 | ||
Financial Institution - REIT - Office—0.9% | |||
640,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.000%, 1/15/2024 | 708,140 | |
250,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.900%, 12/15/2030 | 312,600 | |
480,000 | Boston Properties LP, Sr. Unsecd. Note, 3.200%, 1/15/2025 | 517,281 | |
80,000 | Boston Properties LP, Sr. Unsecd. Note, 3.250%, 1/30/2031 | 86,244 | |
TOTAL | 1,624,265 | ||
Financial Institution - REIT - Other—0.6% | |||
300,000 | ProLogis LP, Sr. Unsecd. Note, 4.250%, 8/15/2023 | 332,282 | |
320,000 | 1 | ProLogis LP, Sr. Unsecd. Note, 4.375%, 2/1/2029 | 389,458 |
450,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 479,590 | |
TOTAL | 1,201,330 | ||
Financial Institution - REIT - Retail—0.8% | |||
410,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.700%, 3/1/2024 | 421,824 | |
396,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.200%, 5/1/2021 | 401,344 | |
100,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.400%, 11/1/2022 | 104,090 | |
450,000 | Regency Centers Corp., Sr. Unsecd. Note, 3.750%, 11/15/2022 | 469,042 | |
TOTAL | 1,396,300 | ||
Sovereign—0.6% | |||
320,000 | Corp Andina De Fomento, Sr. Unsecd. Note, 4.375%, 6/15/2022 | 339,682 | |
510,000 | Inter-American Development Bank, Series MTN, 6.750%, 7/15/2027 | 700,143 | |
TOTAL | 1,039,825 | ||
Technology—7.2% | |||
500,000 | Adobe, Inc., Sr. Unsecd. Note, 3.250%, 2/1/2025 | 556,853 | |
315,000 | Apple, Inc., Sr. Unsecd. Note, 1.125%, 5/11/2025 | 321,002 | |
650,000 | Apple, Inc., Sr. Unsecd. Note, 2.400%, 5/3/2023 | 687,289 | |
125,000 | Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044 | 167,046 | |
340,000 | Automatic Data Processing, Inc., 3.375%, 9/15/2025 | 381,915 | |
280,000 | 1 | Broadcom Corp., Sr. Unsecd. Note, Series WI, 3.875%, 1/15/2027 | 302,952 |
666,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 4.110%, 9/15/2028 | 729,685 | |
135,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 4.700%, 4/15/2025 | 152,156 | |
650,000 | Dell International LLC / EMC Corp., Sec. Fac. Bond, 144A, 5.850%, 7/15/2025 | 747,724 | |
400,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, 144A, 6.020%, 6/15/2026 | 458,927 | |
480,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 508,268 | |
80,000 | Equifax, Inc., Sr. Unsecd. Note, Series 5Y, 3.950%, 6/15/2023 | 86,545 | |
83,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.875%, 6/5/2024 | 91,704 | |
600,000 | 1 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 5.000%, 10/15/2025 | 719,410 |
230,000 | Fiserv, Inc., Sr. Unsecd. Note, 2.750%, 7/1/2024 | 245,389 | |
500,000 | 1 | Fiserv, Inc., Sr. Unsecd. Note, 4.200%, 10/1/2028 | 586,992 |
670,000 | Ingram Micro, Inc., Sr. Unsecd. Note, 5.000%, 8/10/2022 | 670,356 | |
175,000 | Intel Corp., Sr. Unsecd. Note, 3.400%, 3/25/2025 | 196,545 | |
500,000 | Intel Corp., Sr. Unsecd. Note, 3.700%, 7/29/2025 | 569,272 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$460,000 | Keysight Technologies, Inc., 4.550%, 10/30/2024 | $514,284 | |
100,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029 | 108,295 | |
310,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 368,589 | |
105,000 | Micron Technology, Inc., Sr. Unsecd. Note, 2.497%, 4/24/2023 | 109,128 | |
250,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.640%, 2/6/2024 | 276,533 | |
500,000 | Microsoft Corp., Sr. Unsecd. Note, 1.550%, 8/8/2021 | 507,003 | |
750,000 | Microsoft Corp., Sr. Unsecd. Note, 2.400%, 8/8/2026 | 819,452 | |
190,000 | Molex Electronics Technologies LLC, Unsecd. Note, 144A, 3.900%, 4/15/2025 | 198,222 | |
750,000 | Oracle Corp., Sr. Unsecd. Note, 3.400%, 7/8/2024 | 821,307 | |
310,000 | Qualcomm, Inc., Sr. Unsecd. Note, 2.600%, 1/30/2023 | 325,511 | |
260,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | 301,713 | |
600,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 701,399 | |
195,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 9/12/2022 | 208,767 | |
TOTAL | 13,440,233 | ||
Technology Services—0.1% | |||
90,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.900%, 5/15/2030 | 94,246 | |
Transportation - Airlines—0.3% | |||
275,000 | Southwest Airlines Co., Sr. Unsecd. Note, 4.750%, 5/4/2023 | 284,143 | |
215,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | 227,038 | |
TOTAL | 511,181 | ||
Transportation - Railroads—0.8% | |||
2,880 | Burlington Northern Santa Fe Corp., Pass Thru Cert., Series 99-2, 7.570%, 1/2/2021 | 2,953 | |
850,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2023 | 868,562 | |
500,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.150%, 2/5/2027 | 529,319 | |
TOTAL | 1,400,834 | ||
Transportation - Services—1.4% | |||
550,000 | FedEx Corp., Sr. Unsecd. Note, 3.100%, 8/5/2029 | 588,080 | |
250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.375%, 2/1/2022 | 256,570 | |
300,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.450%, 7/1/2024 | 317,721 | |
250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 4.450%, 1/29/2026 | 275,987 | |
125,000 | 1 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.250%, 9/1/2021 | 126,791 |
280,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.800%, 3/1/2022 | 288,025 | |
150,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.450%, 11/15/2021 | 154,747 | |
590,000 | United Parcel Service, Inc., Sr. Unsecd. Note, 3.900%, 4/1/2025 | 670,487 | |
TOTAL | 2,678,408 | ||
Utility - Electric—4.8% | |||
310,000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025 | 344,055 | |
125,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 2.300%, 3/1/2030 | 126,638 | |
380,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series F, 2.950%, 12/15/2022 | 399,625 | |
500,000 | Berkshire Hathaway Energy Co., 3.500%, 2/1/2025 | 557,921 | |
130,000 | Berkshire Hathaway Energy Co., Sr. Unsecd. Note, 144A, 4.050%, 4/15/2025 | 148,234 | |
560,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 601,924 | |
500,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 539,383 | |
1,000,000 | Electricite de France SA, Jr. Sub. Note, 144A, 5.625%, 7/22/2068 | 1,034,445 | |
470,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 2.875%, 5/25/2022 | 486,386 | |
380,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.625%, 9/14/2025 | 433,059 | |
385,000 | Exelon Corp., Sr. Unsecd. Note, 4.050%, 4/15/2030 | 445,352 | |
250,000 | Exelon Generation Co. LLC, Sr. Unsecd. Note, 3.250%, 6/1/2025 | 269,793 | |
240,000 | Fortis, Inc. / Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 259,313 | |
600,000 | National Rural Utilities Cooperative Finance Corp., Sec. Fac. Bond, 2.400%, 4/25/2022 | 619,666 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—continued | |||
$140,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 2.950%, 2/7/2024 | $149,990 | |
300,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.550%, 5/1/2027 | 340,598 | |
110,000 | 1 | NiSource Finance Corp., Sr. Unsecd. Note, 2.650%, 11/17/2022 | 114,961 |
500,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.490%, 5/15/2027 | 566,184 | |
590,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 4.200%, 6/15/2022 | 624,919 | |
250,000 | Southern Co., Sr. Unsecd. Note, 3.250%, 7/1/2026 | 277,266 | |
120,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 3.100%, 3/8/2022 | 125,007 | |
450,000 | Wisconsin Energy Corp., Sr. Unsecd. Note, 3.550%, 6/15/2025 | 501,754 | |
TOTAL | 8,966,473 | ||
Utility - Natural Gas—1.5% | |||
205,000 | Dominion Energy Gas Holdings LLC, Sr. Unsecd. Note, Series A, 2.500%, 11/15/2024 | 216,380 | |
1,000,000 | 1 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 4.200%, 9/15/2021 | 1,034,163 |
600,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.750%, 3/1/2023 | 611,959 | |
395,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 420,665 | |
250,000 | Sempra Energy, Sr. Unsecd. Note, 2.900%, 2/1/2023 | 261,412 | |
300,000 | 1 | Southeast Supply Header LLC, Sr. Unsecd. Note, 144A, 4.250%, 6/15/2024 | 299,407 |
TOTAL | 2,843,986 | ||
Utility - Natural Gas Distributor—0.3% | |||
450,000 | Southern Co. Gas Capital, Sr. Unsecd. Note, 2.450%, 10/1/2023 | 472,586 | |
TOTAL CORPORATE BONDS (IDENTIFIED COST $168,569,610) | 181,937,952 | ||
MORTGAGE-BACKED SECURITIES—0.0% | |||
Federal Home Loan Mortgage Corporation—0.0% | |||
632 | Federal Home Loan Mortgage Corp., Pool C01051, 8.000%, 9/1/2030 | 742 | |
Government National Mortgage Association—0.0% | |||
1,060 | Government National Mortgage Association, Pool 1512, 7.500%, 12/20/2023 | 1,133 | |
1,891 | Government National Mortgage Association, Pool 2630, 6.500%, 8/20/2028 | 2,128 | |
2,660 | Government National Mortgage Association, Pool 2631, 7.000%, 8/20/2028 | 3,003 | |
3,698 | Government National Mortgage Association, Pool 2658, 6.500%, 10/20/2028 | 4,169 | |
5,992 | Government National Mortgage Association, Pool 2701, 6.500%, 1/20/2029 | 6,754 | |
3,959 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 4,520 | |
929 | Government National Mortgage Association, Pool 3039, 6.500%, 2/20/2031 | 1,065 | |
2,874 | Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031 | 3,321 | |
10,363 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 11,973 | |
7,020 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 8,148 | |
15,915 | Government National Mortgage Association, Pool 3261, 6.500%, 7/20/2032 | 18,505 | |
4,352 | Government National Mortgage Association, Pool 516688, 8.000%, 8/15/2029 | 5,062 | |
TOTAL | 69,781 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $61,388) | 70,523 | ||
REPURCHASE AGREEMENTS—2.2% | |||
Banking—2.2% | |||
3,079,280 | Interest in $1,400,000,000 joint repurchase agreement 0.09%, dated 6/30/2020 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,400,003,500 on 7/1/2020. 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 7/20/2045 and the market value of those underlying securities was $1,428,003,570. (purchased with proceeds from securities lending collateral) | 3,079,280 |
Principal Amount | Value | ||
REPURCHASE AGREEMENTS—continued | |||
Banking—continued | |||
$1,009,000 | Interest in $1,400,000,000 joint repurchase agreement 0.09%, dated 6/30/2020 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,400,003,500 on 7/1/2020. 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 7/20/2045 and the market value of those underlying securities was $1,428,003,570. | $1,009,000 | |
TOTAL REPURCHASE AGREEMENTS (IDENTIFIED COST $4,088,280) | 4,088,280 | ||
TOTAL INVESTMENT IN SECURITIES—99.9% (IDENTIFIED COST $172,719,278)3 | 186,096,755 | ||
OTHER ASSETS AND LIABILITIES - NET—0.1%4 | 227,966 | ||
TOTAL NET ASSETS—100% | $186,324,721 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures | ||||
5U.S. Treasury Note 10-Year Long Futures | 45 | $6,262,734 | September 2020 | $12,556 |
Short Futures | ||||
5U.S. Treasury Long Bond Short Futures | 28 | $4,999,750 | September 2020 | $3,437 |
5U.S. Treasury Ultra Bond Short Futures | 7 | $1,527,094 | September 2020 | $(2,860) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $13,133 |
1 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | Also represents cost for federal tax purposes. |
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 | $— | $181,937,952 | $— | $181,937,952 |
Mortgage-Backed Securities | — | 70,523 | — | 70,523 |
Repurchase Agreements | — | 4,088,280 | — | 4,088,280 |
TOTAL SECURITIES | $— | $186,096,755 | $— | $186,096,755 |
Other Financial Instruments:1 | ||||
Assets | $15,993 | $— | $— | $15,993 |
Liabilities | (2,860) | — | — | (2,860) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $13,133 | $— | $— | $13,133 |
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 |
Six Months Ended (unaudited) 6/30/2020 | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $11.31 | $10.65 | $11.05 | $10.98 | $10.97 | $11.42 |
Income From Investment Operations: | ||||||
Net investment income1 | 0.15 | 0.31 | 0.30 | 0.31 | 0.34 | 0.37 |
Net realized and unrealized gain (loss) | 0.33 | 0.68 | (0.37) | 0.12 | 0.07 | (0.39) |
TOTAL FROM INVESTMENT OPERATIONS | 0.48 | 0.99 | (0.07) | 0.43 | 0.41 | (0.02) |
Less Distributions: | ||||||
Distributions from net investment income | (0.32) | (0.33) | (0.33) | (0.36) | (0.40) | (0.43) |
Distributions from net realized gain | (0.03) | (0.00)2 | — | — | — | — |
TOTAL DISTRIBUTIONS | (0.35) | (0.33) | (0.33) | (0.36) | (0.40) | (0.43) |
Net Asset Value, End of Period | $11.44 | $11.31 | $10.65 | $11.05 | $10.98 | $10.97 |
Total Return3 | 4.64% | 9.44% | (0.59)% | 4.04% | 3.82% | (0.24)% |
Ratios to Average Net Assets: | ||||||
Net expenses4 | 0.74%5 | 0.74% | 0.74% | 0.74% | 0.73% | 0.73% |
Net investment income | 2.61%5 | 2.79% | 2.83% | 2.81% | 3.10% | 3.30% |
Expense waiver/reimbursement6 | 0.07%5 | 0.08% | 0.08% | 0.06% | 0.07% | 0.05% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $167,722 | $167,625 | $162,812 | $185,026 | $188,831 | $198,990 |
Portfolio turnover | 16% | 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. Total returns for periods of less than one year are not annualized. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 6/30/2020 | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $11.28 | $10.62 | $11.01 | $10.94 | $10.93 | $11.37 |
Income From Investment Operations: | ||||||
Net investment income1 | 0.13 | 0.28 | 0.27 | 0.28 | 0.31 | 0.34 |
Net realized and unrealized gain (loss) | 0.34 | 0.68 | (0.36) | 0.12 | 0.07 | (0.38) |
TOTAL FROM INVESTMENT OPERATIONS | 0.47 | 0.96 | (0.09) | 0.40 | 0.38 | (0.04) |
Less Distributions: | ||||||
Distributions from net investment income | (0.29) | (0.30) | (0.30) | (0.33) | (0.37) | (0.40) |
Distributions from net realized gain | (0.03) | (0.00)2 | — | — | — | — |
TOTAL DISTRIBUTIONS | (0.32) | (0.30) | (0.30) | (0.33) | (0.37) | (0.40) |
Net Asset Value, End of Period | $11.43 | $11.28 | $10.62 | $11.01 | $10.94 | $10.93 |
Total Return3 | 4.57% | 9.17% | (0.78)% | 3.75% | 3.53% | (0.44)% |
Ratios to Average Net Assets: | ||||||
Net expenses4 | 0.99%5 | 0.99% | 0.99% | 0.99% | 0.98% | 0.98% |
Net investment income | 2.36%5 | 2.54% | 2.58% | 2.56% | 2.86% | 3.04% |
Expense waiver/reimbursement6 | 0.07%5 | 0.08% | 0.07% | 0.06% | 0.07% | 0.05% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $18,603 | $18,776 | $19,344 | $22,596 | $23,920 | $27,977 |
Portfolio turnover | 16% | 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. Total returns for periods of less than one year are not annualized. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Assets: | ||
Investment in securities, at value including $2,986,468 of securities loaned (identified cost $172,719,278) | $186,096,755 | |
Due from broker (Note 2) | 162,180 | |
Income receivable | 1,547,642 | |
Receivable for investments sold | 1,808,930 | |
Receivable for shares sold | 72,813 | |
Receivable for variation margin on futures contracts | 13,355 | |
TOTAL ASSETS | 189,701,675 | |
Liabilities: | ||
Payable for investments purchased | $193,772 | |
Payable for shares redeemed | 41,125 | |
Bank overdraft | 1,864 | |
Payable for collateral due to broker for securities lending | 3,079,280 | |
Payable for investment adviser fee (Note 5) | 2,666 | |
Payable for administrative fees (Note 5) | 396 | |
Payable for distribution services fee (Note 5) | 3,830 | |
Accrued expenses (Note 5) | 54,021 | |
TOTAL LIABILITIES | 3,376,954 | |
Net assets for 16,284,929 shares outstanding | $186,324,721 | |
Net Assets Consist of: | ||
Paid-in capital | $170,007,038 | |
Total distributable earnings (loss) | 16,317,683 | |
TOTAL NET ASSETS | $186,324,721 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
Net asset value per share ($167,722,218 ÷ 14,657,045 shares outstanding), no par value, unlimited shares authorized | $11.44 | |
Service Shares: | ||
Net asset value per share ($18,602,503 ÷ 1,627,884 shares outstanding), no par value, unlimited shares authorized | $11.43 |
Investment Income: | ||
Interest | $3,073,855 | |
Net income on securities loaned | 2,539 | |
TOTAL INCOME | 3,076,394 | |
Expenses: | ||
Investment adviser fee (Note 5) | $549,727 | |
Administrative fee (Note 5) | 72,674 | |
Custodian fees | 4,813 | |
Transfer agent fee | 8,546 | |
Directors'/Trustees' fees (Note 5) | 1,108 | |
Auditing fees | 13,342 | |
Legal fees | 4,408 | |
Portfolio accounting fees | 47,700 | |
Distribution services fee (Note 5) | 23,083 | |
Printing and postage | 34,574 | |
Miscellaneous (Note 5) | 13,256 | |
TOTAL EXPENSES | 773,231 | |
Waiver of investment adviser fee (Note 5) | $(67,662) | |
Net expenses | 705,569 | |
Net investment income | 2,370,825 | |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||
Net realized gain on investments | 737,103 | |
Net realized loss on futures contracts | (129,236) | |
Net change in unrealized appreciation of investments | 5,380,513 | |
Net change in unrealized appreciation of futures contracts | (37,921) | |
Net realized and unrealized gain on investments and futures contracts | 5,950,459 | |
Change in net assets resulting from operations | $8,321,284 |
Six Months Ended (unaudited) 6/30/2020 | Year Ended 12/31/2019 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $2,370,825 | $5,110,075 |
Net realized gain | 607,867 | 556,588 |
Net change in unrealized appreciation/depreciation | 5,342,592 | 10,915,627 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 8,321,284 | 16,582,290 |
Distributions to Shareholders: | ||
Primary Shares | (5,129,491) | (4,859,559) |
Service Shares | (531,200) | (520,306) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (5,660,691) | (5,379,865) |
Share Transactions: | ||
Proceeds from sale of shares | 7,668,357 | 11,736,570 |
Net asset value of shares issued to shareholders in payment of distributions declared | 5,660,688 | 5,379,862 |
Cost of shares redeemed | (16,065,448) | (24,074,695) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (2,736,403) | (6,958,263) |
Change in net assets | (75,810) | 4,244,162 |
Net Assets: | ||
Beginning of period | 186,400,531 | 182,156,369 |
End of period | $186,324,721 | $186,400,531 |
■ | 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. |
■ | 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 |
$2,986,468 | $3,079,280 |
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 daily variation margin on futures contracts | $13,133* |
* | 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 | $(129,236) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(37,921) |
Six Months Ended 6/30/2020 | Year Ended 12/31/2019 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 621,982 | $6,980,851 | 1,017,072 | $11,219,212 |
Shares issued to shareholders in payment of distributions declared | 507,368 | 5,129,490 | 456,297 | 4,859,559 |
Shares redeemed | (1,297,167) | (14,372,986) | (1,939,194) | (21,305,622) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (167,817) | $(2,262,645) | (465,825) | $(5,226,851) |
Six Months Ended 6/30/2020 | Year Ended 12/31/2019 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 62,614 | $687,506 | 47,093 | $517,358 |
Shares issued to shareholders in payment of distributions declared | 52,594 | 531,198 | 48,900 | 520,303 |
Shares redeemed | (152,294) | (1,692,462) | (252,919) | (2,769,073) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (37,086) | $(473,758) | (156,926) | $(1,731,412) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (204,903) | $(2,736,403) | (622,751) | $(6,958,263) |
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 | $23,083 |
Purchases | $28,730,210 |
Sales | $33,788,176 |
Beginning Account Value 1/1/2020 | Ending Account Value 6/30/2020 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,046.40 | $3.77 |
Service Shares | $1,000 | $1,045.70 | $5.04 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,021.20 | $3.72 |
Service Shares | $1,000 | $1,019.90 | $4.97 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 182/366 (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% |
■ | the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment, including a review of the Funds’ access to other available funding sources such as the Funds’ interfund lending facility, redemptions in-kind and committed lines of credit and confirmation that the Fund did not have to access any of these alternative funding sources during the Period; |
■ | the periodic classifications of the Fund’s investments into one of four liquidity categories and the methodologies and inputs used to classify the investments, including the Fund’s reasonably anticipated trade size; |
■ | the analysis received from a third-party liquidity assessment vendor that is taken into account in the process of determining the liquidity classifications of the Fund’s investments and the results of an evaluation of the services performed by the vendor in support of this process; |
■ | the fact that the Fund invested primarily in highly liquid investments during the Period and, therefore, was not required to establish, and has not established, an HLIM and the procedures for monitoring the status of the Fund as investing primarily in highly liquid investments; |
■ | the fact that the Fund invested no more than 15% of its assets in illiquid investments during the Period and the procedures for monitoring this limit; and |
■ | liquidity events during the Period, including the impact on liquidity caused by extended non-U.S. market closures and the market disruptions resulting from the novel coronavirus outbreak, and the fact that there were no specific liquidity events during the Period that materially affected the Fund’s liquidity risk. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916785
Type of Investments | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 57.1% |
U.S. Treasury Securities | 17.0% |
U.S. Government Agency Securities | 11.1% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 7.4% |
Asset-Backed Securities | 4.6% |
Non-Agency Commercial Mortgage-Backed Securities | 2.9% |
Non-Agency Mortgage-Backed Securities | 0.4% |
Cash Equivalents2 | 8.8% |
Other Assets and Liabilities—Net3 | (9.3)% |
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—17.0% | |||
U.S. Treasury Bonds—4.4% | |||
$500,000 | 2.250%, 8/15/2046 | $592,711 | |
700,000 | 2.375%, 11/15/2049 | 863,886 | |
250,000 | 2.750%, 8/15/2042 | 320,427 | |
1,200,000 | 2.875%, 8/15/2045 | 1,580,518 | |
1,025,000 | 2.875%, 5/15/2049 | 1,385,839 | |
650,000 | 3.125%, 8/15/2044 | 886,059 | |
TOTAL | 5,629,440 | ||
U.S. Treasury Notes—12.6% | |||
525,000 | 1.375%, 9/30/2023 | 545,301 | |
1,500,000 | 1.750%, 5/15/2022 | 1,544,248 | |
2,000,000 | 2.000%, 2/15/2023 | 2,095,609 | |
250,000 | 2.250%, 11/15/2027 | 281,433 | |
3,000,000 | 2.375%, 1/31/2023 | 3,170,143 | |
3,000,000 | 2.500%, 1/15/2022 | 3,107,326 | |
1,800,000 | 2.500%, 3/31/2023 | 1,914,742 | |
250,000 | 2.500%, 2/28/2026 | 279,813 | |
500,000 | 2.750%, 8/15/2021 | 514,424 | |
2,500,000 | 2.750%, 7/31/2023 | 2,697,114 | |
TOTAL | 16,150,153 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $19,595,599) | 21,779,593 | ||
ASSET-BACKED SECURITIES—4.6% | |||
Auto Receivables—1.4% | |||
1,228,000 | Santander Drive Auto Receivable 2020-1, Class A3, 3.650%, 2/15/2024 | 1,233,896 | |
500,000 | Santander Retail Auto Lease Trust 2019-A, Class D, 3.660%, 5/20/2024 | 496,963 | |
TOTAL | 1,730,859 | ||
Credit Card—3.1% | |||
4,000,000 | 1 | American Express Credit Account Master Trust 2018-9, Class A, 0.564% (1-month USLIBOR +0.380%), 4/15/2026 | 4,014,945 |
Other—0.1% | |||
94,901 | Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 | 95,845 | |
18,772 | Sofi Consumer Loan Program Trust 2016-2, Class A, 3.090%, 10/27/2025 | 18,814 | |
9,005 | Sofi Consumer Loan Program Trust 2016-3, Class A, 3.050%, 12/26/2025 | 8,998 | |
TOTAL | 123,657 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $5,834,617) | 5,869,461 | ||
GOVERNMENT AGENCIES—11.1% | |||
Federal Farm Credit System—2.2% | |||
1,500,000 | 0.375%, 4/8/2022 | 1,504,084 | |
1,000,000 | 5.750%, 12/7/2028 | 1,388,431 | |
TOTAL | 2,892,515 | ||
Federal Home Loan Bank System—3.5% | |||
1,650,000 | 0.500%, 4/14/2025 | 1,652,711 | |
1,500,000 | 2.375%, 3/13/2026 | 1,650,639 | |
1,000,000 | 3.125%, 12/12/2025 | 1,151,394 | |
TOTAL | 4,454,744 | ||
Federal Home Loan Mortgage Corporation—0.1% | |||
72,000 | 6.750%, 9/15/2029 | 108,492 |
Principal Amount | Value | ||
GOVERNMENT AGENCIES—continued | |||
Tennessee Valley Authority Bonds—5.3% | |||
$1,750,000 | 0.750%, 5/15/2025 | $1,772,912 | |
1,700,000 | 2.875%, 2/1/2027 | 1,913,582 | |
2,000,000 | 4.650%, 6/15/2035 | 2,772,733 | |
250,000 | 4.875%, 1/15/2048 | 386,473 | |
TOTAL | 6,845,700 | ||
TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST $12,633,803) | 14,301,451 | ||
MORTGAGE-BACKED SECURITIES—54.8% | |||
Federal Home Loan Mortgage Corporation—16.0% | |||
589,596 | 3.000%, 11/1/2045 | 632,689 | |
1,601,035 | 3.000%, 10/1/2046 | 1,688,534 | |
672,750 | 3.000%, 10/1/2046 | 727,176 | |
119,873 | 3.000%, 11/1/2046 | 126,425 | |
1,292,501 | 3.500%, 7/1/2042 | 1,408,492 | |
1,144,782 | 3.500%, 9/1/2043 | 1,243,223 | |
314,120 | 3.500%, 5/1/2046 | 343,095 | |
2,386,911 | 3.500%, 11/1/2047 | 2,518,320 | |
1,974,018 | 4.000%, 12/1/2041 | 2,159,708 | |
227,271 | 4.000%, 1/1/2042 | 248,649 | |
1,276,552 | 4.000%, 3/1/2046 | 1,379,879 | |
518,470 | 4.000%, 11/1/2047 | 552,173 | |
239,127 | 4.000%, 12/1/2047 | 254,671 | |
314,115 | 4.000%, 4/1/2048 | 334,043 | |
1,799,468 | 4.000%, 7/1/2048 | 1,911,380 | |
2,935 | 4.500%, 10/1/2020 | 2,946 | |
691,528 | 4.500%, 12/1/2040 | 768,084 | |
959,699 | 4.500%, 4/1/2041 | 1,065,943 | |
307,766 | 4.500%, 8/1/2040 | 342,319 | |
4,924 | 5.000%, 2/1/2021 | 4,957 | |
348,904 | 5.000%, 1/1/2034 | 397,100 | |
93,627 | 5.000%, 5/1/2034 | 106,667 | |
86,381 | 5.000%, 4/1/2036 | 99,245 | |
23,347 | 5.000%, 5/1/2036 | 26,799 | |
18,699 | 5.000%, 6/1/2036 | 21,480 | |
127,458 | 5.000%, 6/1/2040 | 145,543 | |
1,574 | 5.500%, 12/1/2020 | 1,586 | |
583,969 | 5.500%, 5/1/2034 | 676,486 | |
13,581 | 5.500%, 12/1/2035 | 15,789 | |
140,357 | 5.500%, 2/1/2036 | 163,762 | |
54,570 | 5.500%, 5/1/2036 | 63,534 | |
9,517 | 5.500%, 5/1/2036 | 11,144 | |
12,601 | 5.500%, 5/1/2036 | 14,705 | |
4,442 | 5.500%, 6/1/2036 | 5,206 | |
2,320 | 5.500%, 6/1/2036 | 2,719 | |
95,611 | 5.500%, 11/1/2037 | 112,022 | |
182,970 | 5.500%, 1/1/2038 | 214,450 | |
5,063 | 6.000%, 1/1/2032 | 5,819 | |
25,381 | 6.000%, 2/1/2032 | 29,334 | |
105,445 | 6.000%, 4/1/2036 | 124,697 | |
18,909 | 6.000%, 5/1/2036 | 22,547 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$168,623 | 6.000%, 6/1/2037 | $202,342 | |
23,022 | 6.000%, 7/1/2037 | 27,537 | |
1,002 | 6.500%, 5/1/2024 | 1,076 | |
7,255 | 6.500%, 3/1/2029 | 8,203 | |
9,834 | 6.500%, 6/1/2022 | 10,208 | |
2,769 | 6.500%, 6/1/2029 | 3,124 | |
2,769 | 6.500%, 7/1/2029 | 3,140 | |
541 | 6.500%, 9/1/2029 | 608 | |
191 | 7.000%, 11/1/2030 | 222 | |
2,004 | 7.000%, 12/1/2029 | 2,316 | |
944 | 7.000%, 6/1/2030 | 1,076 | |
176,099 | 7.000%, 4/1/2032 | 208,574 | |
17,519 | 7.500%, 12/1/2030 | 20,580 | |
10,600 | 7.500%, 1/1/2031 | 12,494 | |
3,213 | 8.500%, 5/1/2030 | 3,747 | |
798 | 9.000%, 2/1/2025 | 869 | |
804 | 9.000%, 5/1/2025 | 884 | |
TOTAL | 20,480,340 | ||
Federal National Mortgage Association—20.1% | |||
1,995,866 | 2.000%, 6/1/2050 | 2,042,536 | |
1,940,157 | 2.500%, 3/1/2050 | 2,025,762 | |
1,152,716 | 3.000%, 10/1/2046 | 1,215,713 | |
1,729,340 | 3.000%, 11/1/2046 | 1,823,851 | |
248,759 | 3.000%, 11/1/2046 | 265,386 | |
162,844 | 3.000%, 1/1/2047 | 171,744 | |
1,168,715 | 3.000%, 1/1/2047 | 1,232,587 | |
67,277 | 3.000%, 2/1/2047 | 72,930 | |
872,868 | 3.000%, 2/1/2048 | 933,391 | |
362,563 | 3.000%, 2/1/2048 | 387,363 | |
362,081 | 3.000%, 7/1/2049 | 381,077 | |
2,544,554 | 3.500%, 9/1/2042 | 2,786,424 | |
1,945,794 | 3.500%, 12/1/2046 | 2,062,038 | |
1,393,170 | 3.500%, 8/1/2046 | 1,496,056 | |
1,150,279 | 3.500%, 9/1/2046 | 1,232,658 | |
1,172,357 | 3.500%, 12/1/2047 | 1,246,499 | |
649,169 | 3.500%, 1/1/2048 | 707,021 | |
374,640 | 4.000%, 2/1/2041 | 409,998 | |
957,070 | 4.000%, 12/1/2041 | 1,047,398 | |
746,589 | 4.000%, 4/1/2042 | 816,118 | |
561,934 | 4.000%, 2/1/2048 | 597,234 | |
335,389 | 4.000%, 2/1/2048 | 357,191 | |
768,284 | 4.000%, 2/1/2048 | 818,226 | |
322,185 | 4.500%, 10/1/2041 | 357,047 | |
253,954 | 5.000%, 7/1/2034 | 289,923 | |
33,442 | 5.000%, 11/1/2035 | 38,357 | |
64,775 | 5.500%, 1/1/2036 | 75,572 | |
13,993 | 5.500%, 11/1/2021 | 14,306 | |
114,077 | 5.500%, 9/1/2034 | 132,964 | |
77,823 | 5.500%, 4/1/2036 | 90,708 | |
10,541 | 6.000%, 8/1/2021 | 10,768 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$3,332 | 6.000%, 7/1/2029 | $3,752 | |
1,893 | 6.000%, 5/1/2031 | 2,180 | |
10,070 | 6.000%, 5/1/2036 | 11,955 | |
184,319 | 6.000%, 7/1/2036 | 220,419 | |
4,873 | 6.000%, 7/1/2036 | 5,820 | |
84,863 | 6.000%, 11/1/2037 | 101,480 | |
37,887 | 6.000%, 12/1/2037 | 43,793 | |
43,880 | 6.000%, 9/1/2037 | 52,489 | |
1,759 | 6.500%, 6/1/2029 | 2,013 | |
2,215 | 6.500%, 6/1/2029 | 2,528 | |
631 | 6.500%, 6/1/2029 | 720 | |
226 | 6.500%, 7/1/2029 | 257 | |
236 | 6.500%, 7/1/2029 | 241 | |
223 | 6.500%, 7/1/2029 | 254 | |
3,343 | 6.500%, 7/1/2029 | 3,818 | |
302 | 6.500%, 7/1/2029 | 343 | |
26 | 6.500%, 7/1/2029 | 30 | |
218 | 6.500%, 8/1/2029 | 241 | |
4,089 | 6.500%, 9/1/2030 | 4,703 | |
27,038 | 6.500%, 6/1/2031 | 31,100 | |
12,487 | 6.500%, 4/1/2032 | 14,531 | |
1,412 | 7.000%, 2/1/2024 | 1,513 | |
3,157 | 7.000%, 10/1/2029 | 3,620 | |
12,537 | 7.000%, 10/1/2029 | 14,565 | |
4,185 | 7.000%, 11/1/2030 | 4,909 | |
50,001 | 7.000%, 4/1/2031 | 58,849 | |
85,855 | 7.000%, 4/1/2032 | 101,644 | |
1,922 | 7.500%, 8/1/2028 | 2,193 | |
222 | 7.500%, 9/1/2028 | 256 | |
3,597 | 7.500%, 2/1/2030 | 4,231 | |
1,722 | 8.000%, 7/1/2030 | 2,026 | |
TOTAL | 25,835,319 | ||
Government Agency—0.1% | |||
138,463 | FDIC Trust 2013-R2, Class A, 1.250%, 3/25/2033 | 137,219 | |
Government National Mortgage Association—8.7% | |||
2,165,183 | 3.000%, 11/20/2047 | 2,297,998 | |
3,370,628 | 3.500%, 1/20/2048 | 3,662,322 | |
1,085,476 | 3.500%, 2/20/2048 | 1,178,395 | |
818,376 | 3.500%, 11/20/2049 | 863,113 | |
487,881 | 4.500%, 6/20/2039 | 541,515 | |
427,527 | 4.500%, 10/15/2039 | 480,249 | |
556,257 | 4.500%, 8/20/2040 | 616,364 | |
272,706 | 5.000%, 7/15/2034 | 308,357 | |
23,126 | 6.000%, 4/15/2032 | 26,643 | |
45,350 | 6.000%, 5/15/2032 | 52,789 | |
76,943 | 6.000%, 4/15/2036 | 90,674 | |
188,343 | 6.000%, 5/15/2036 | 221,394 | |
149,964 | 6.000%, 5/15/2036 | 176,727 | |
37,004 | 6.000%, 7/20/2036 | 43,078 | |
35,675 | 6.000%, 5/20/2037 | 41,677 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$201,971 | 6.000%, 7/20/2038 | $236,952 | |
3,531 | 6.500%, 12/15/2023 | 3,733 | |
6,629 | 6.500%, 5/15/2024 | 7,048 | |
2,015 | 6.500%, 6/15/2029 | 2,281 | |
24,250 | 6.500%, 10/15/2031 | 28,022 | |
44,343 | 6.500%, 12/15/2031 | 50,915 | |
4,588 | 6.500%, 6/15/2031 | 5,216 | |
6,173 | 6.500%, 4/15/2032 | 7,084 | |
168,529 | 6.500%, 5/15/2032 | 195,479 | |
23,794 | 6.500%, 5/15/2032 | 27,401 | |
4,540 | 6.500%, 7/20/2031 | 5,239 | |
4,233 | 6.500%, 8/20/2031 | 4,882 | |
1,593 | 7.500%, 10/15/2029 | 1,852 | |
371 | 7.500%, 10/15/2029 | 432 | |
4,145 | 7.500%, 3/20/2030 | 4,806 | |
976 | 8.000%, 4/15/2030 | 1,147 | |
TOTAL | 11,183,784 | ||
2 | Uniform Mortgage-Backed Securities, TBA—9.9% | ||
1,000,000 | 2.500%, 7/1/2050 | 1,042,109 | |
5,000,000 | 2.500%, 7/20/2050 | 5,260,682 | |
6,000,000 | 3.000%, 7/20/2050 | 6,353,479 | |
TOTAL | 12,656,270 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $65,850,251) | 70,292,932 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—2.7% | |||
Federal National Mortgage Association—1.5% | |||
872,347 | 1 | Federal National Mortgage Association REMIC, Series 2016-83, Class FA, 0.684% (1-month USLIBOR +0.500%), 11/25/2046 | 875,116 |
1,033,463 | 1 | Federal National Mortgage Association REMIC, Series 2019-56, Class AF, 0.584% (1-month USLIBOR +0.400%), 10/25/2049 | 1,035,903 |
TOTAL | 1,911,019 | ||
Government National Mortgage Association—0.8% | |||
1,002,271 | Government National Mortgage Association REMIC, Series 2015-47, Class AE, 2.900%, 11/16/2055 | 1,049,698 | |
Non-Agency Mortgage-Backed Securities—0.4% | |||
120,120 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 72,555 | |
423,877 | Credit Suisse Mortgage Trust 2015-WIN1, Class A6, 3.500%, 12/25/2044 | 433,030 | |
TOTAL | 505,585 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $3,458,394) | 3,466,302 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—10.3% | |||
Agency Commercial Mortgage-Backed Securities—7.4% | |||
1,455,000 | FHLMC REMIC, Series K064, Class A2, 3.224%, 3/25/2027 | 1,648,885 | |
1,195,694 | FHLMC REMIC, Series K104, Class A1, 1.938%, 10/25/2029 | 1,258,679 | |
1,143,000 | FHLMC REMIC, Series K727, Class A2, 2.946%, 7/25/2024 | 1,228,008 | |
2,500,000 | FHLMC REMIC, Series KC03, Class A2, 3.499%, 1/25/2026 | 2,732,195 | |
2,482,000 | FNMA REMIC, Series 2020-M14, Class A2, 1.784%, 5/25/2030 | 2,613,000 | |
TOTAL | 9,480,767 |
Principal Amount | Value | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—continued | |||
Non-Agency Commercial Mortgage-Backed Securities—2.9% | |||
$1,400,000 | Bank 2017-BNK5 A3, Class A3, 3.020%, 6/15/2060 | $1,475,573 | |
1,000,000 | CD Commercial Mortgage Trust 2016-CD4, Class A4, 3.514%, 5/10/2050 | 1,112,509 | |
1,100,000 | Fontainebleau Miami Beach Trust, Class A, 3.195%, 12/10/2036 | 1,097,683 | |
TOTAL | 3,685,765 | ||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $12,596,593) | 13,166,532 | ||
REPURCHASE AGREEMENT—8.8% | |||
11,330,000 | 3 | Interest in $1,400,000,000 joint repurchase agreement 0.09%, dated 6/30/2020 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,400,003,500 on 7/1/2020. 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 7/20/2045 and the market value of those underlying securities was $1,428,003,570. (IDENTIFIED COST $11,330,000) | 11,330,000 |
TOTAL INVESTMENT IN SECURITIES—109.3% (IDENTIFIED COST $131,299,257)4 | 140,206,271 | ||
OTHER ASSETS AND LIABILITIES - NET—(9.3)%5 | (11,904,570) | ||
TOTAL NET ASSETS—100% | $128,301,701 |
1 | Floating/variable note with current rate and current maturity or next reset date shown. |
2 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
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 $130,907,125. |
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 |
FNMA | —Federal National Mortgage Association |
LIBOR | —London Interbank Offered Rate |
REMIC | —Real Estate Mortgage Investment Conduit |
TBA | —To Be Announced |
Six Months Ended (unaudited) 6/30/2020 | Year Ended December 31, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $10.87 | $10.52 | $10.73 | $10.78 | $10.88 | $11.12 |
Income From Investment Operations: | ||||||
Net investment income1 | 0.11 | 0.27 | 0.24 | 0.23 | 0.23 | 0.25 |
Net realized and unrealized gain (loss) | 0.43 | 0.34 | (0.20) | (0.03) | (0.06) | (0.19) |
TOTAL FROM INVESTMENT OPERATIONS | 0.54 | 0.61 | 0.04 | 0.20 | 0.17 | 0.06 |
Less Distributions: | ||||||
Distributions from net investment income | (0.27) | (0.26) | (0.25) | (0.25) | (0.27) | (0.30) |
Net Asset Value, End of Period | $11.14 | $10.87 | $10.52 | $10.73 | $10.78 | $10.88 |
Total Return2 | 5.02% | 5.90% | 0.45% | 1.92% | 1.61% | 0.52% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.78%4 | 0.78% | 0.78% | 0.78% | 0.76% | 0.76% |
Net investment income | 2.01%4 | 2.49% | 2.28% | 2.13% | 2.12% | 2.25% |
Expense waiver/reimbursement5 | 0.09%4 | 0.10% | 0.08% | 0.07% | 0.06% | 0.03% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $128,302 | $116,935 | $120,654 | $132,958 | $152,795 | $168,742 |
Portfolio turnover | 66% | 65% | 64% | 24% | 53% | 34% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 26% | 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. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Assets: | ||
Investment in securities, at value (identified cost $131,299,257) | $140,206,271 | |
Income receivable | 435,280 | |
Receivable for shares sold | 358,621 | |
TOTAL ASSETS | 141,000,172 | |
Liabilities: | ||
Payable for investments purchased | $12,640,660 | |
Payable for shares redeemed | 29,380 | |
Payable to bank | 1,061 | |
Payable for investment adviser fee (Note 5) | 1,830 | |
Payable for administrative fee (Note 5) | 272 | |
Accrued expenses (Note 5) | 25,268 | |
TOTAL LIABILITIES | 12,698,471 | |
Net assets for 11,519,029 shares outstanding | $128,301,701 | |
Net Assets Consist of: | ||
Paid-in capital | $118,824,321 | |
Total distributable earnings (loss) | 9,477,380 | |
TOTAL NET ASSETS | $128,301,701 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$128,301,701 ÷ 11,519,029 shares outstanding, no par value, unlimited shares authorized | $11.14 |
Investment Income: | ||
Interest | $1,725,743 | |
Net income on securities loaned (Note 2) | 442 | |
TOTAL INCOME | 1,726,185 | |
Expenses: | ||
Investment adviser fee (Note 5) | $370,429 | |
Administrative fee (Note 5) | 50,609 | |
Custodian fees | 9,379 | |
Transfer agent fees | 5,655 | |
Directors'/Trustees' fees (Note 5) | 895 | |
Auditing fees | 13,053 | |
Legal fees | 4,408 | |
Portfolio accounting fees | 50,419 | |
Printing and postage | 21,362 | |
Miscellaneous (Note 5) | 11,465 | |
TOTAL EXPENSES | 537,674 | |
Waiver of investment adviser fee (Note 5) | (53,092) | |
Net expenses | 484,582 | |
Net investment income | 1,241,603 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized gain on investments | 1,268,498 | |
Net change in unrealized appreciation of investments | 3,443,444 | |
Net realized and unrealized gain (loss) on investments | 4,711,942 | |
Change in net assets resulting from operations | $5,953,545 |
Six Months Ended (unaudited) 6/30/2020 | Year Ended 12/31/2019 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $1,241,603 | $2,964,547 |
Net realized gain | 1,268,498 | 19,228 |
Net change in unrealized appreciation/depreciation | 3,443,444 | 3,916,810 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 5,953,545 | 6,900,585 |
Distributions to Shareholders | (2,991,647) | (2,868,385) |
Share Transactions: | ||
Proceeds from sale of shares | 27,231,268 | 12,195,308 |
Net asset value of shares issued to shareholders in payment of distributions declared | 2,991,647 | 2,868,385 |
Cost of shares redeemed | (21,818,137) | (22,814,592) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 8,404,778 | (7,750,899) |
Change in net assets | 11,366,676 | (3,718,699) |
Net Assets: | ||
Beginning of period | 116,935,025 | 120,653,724 |
End of period | $128,301,701 | $116,935,025 |
■ | 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. |
Six Months Ended 6/30/2020 | Year Ended 12/31/2019 | |
Shares sold | 2,459,938 | 1,141,328 |
Shares issued to shareholders in payment of distributions declared | 277,261 | 275,806 |
Shares redeemed | (1,975,269) | (2,134,461) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 761,930 | (717,327) |
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 | $14,453,885 |
Sales | $3,463,505 |
Beginning Account Value 1/1/2020 | Ending Account Value 6/30/2020 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,050.20 | $3.98 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,021.00 | $3.92 |
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 182/366 (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 liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment, including a review of the Funds’ access to other available funding sources such as the Funds’ interfund lending facility, redemptions in-kind and committed lines of credit and confirmation that the Fund did not have to access any of these alternative funding sources during the Period; |
■ | the periodic classifications of the Fund’s investments into one of four liquidity categories and the methodologies and inputs used to classify the investments, including the Fund’s reasonably anticipated trade size; |
■ | the analysis received from a third-party liquidity assessment vendor that is taken into account in the process of determining the liquidity classifications of the Fund’s investments and the results of an evaluation of the services performed by the vendor in support of this process; |
■ | the fact that the Fund invested primarily in highly liquid investments during the Period and, therefore, was not required to establish, and has not established, an HLIM and the procedures for monitoring the status of the Fund as investing primarily in highly liquid investments; |
■ | the fact that the Fund invested no more than 15% of its assets in illiquid investments during the Period and the procedures for monitoring this limit; and |
■ | liquidity events during the Period, including the impact on liquidity caused by extended non-U.S. market closures and the market disruptions resulting from the novel coronavirus outbreak, and the fact that there were no specific liquidity events during the Period that materially affected the Fund’s liquidity risk. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the 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.
Registrant Federated Hermes Insurance Series
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date August 24, 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
Date August 24, 2020
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date August 24, 2020