United States Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-8519
(Investment Company Act File Number)
Federated Hermes Core Trust
(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: 2024-12-31
Date of Reporting Period: 2024-12-31
| Item 1. | Reports to Stockholders |
Annual Shareholder Report - December 31, 2024
A Portfolio of Federated Hermes Core Trust
This annual shareholder report contains important information about the Mortgage Core Fund (the "Fund") for the period of January 1, 2024 to December 31, 2024. You can find additional information at FederatedHermes.com/us/FundInformation. You can also request this information by contacting us at 1-800-341-7400, Option 4, or your financial advisor.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Mortgage Core Fund | $2 | 0.02% |
|---|
Management's Discussion of Fund Performance
The following discussion compares the performance of the Fund to the Bloomberg US Mortgage Backed Securities Index to show how the Fund’s performance compares to the returns of similar investments for the reporting period. See the Average Annual Total Returns table below for the returns of the Fund and related indexes, including the Bloomberg US Aggregate Bond Index, which represents the overall U.S. fixed-income market. The Fund seeks to provide total return.
Top Contributors to Performance
Security selection proved beneficial to relative performance, attributable to a preference for mortgage-backed securities issued by Fannie Mae and Freddie Mac over Ginnie Mae securities, which lagged their conventional counterparts.
Interest rate strategy was additive to relative performance as duration and yield curve positioning made small positive contributions.
The Fund used derivatives as a tool to assist in managing Fund duration and yield curve exposure. The principal derivatives the Fund used for these purposes were Treasury futures contracts. For the reporting period, the use of futures contracts positively contributed to Fund performance relative to the Index.
Top Detractors from Performance
There were no material detractors from relative Fund performance.
Annual Shareholder Report
Keep in mind that the Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
Cumulative Performance: 12/31/2014 to 12/31/2024
Total Return Based on $10,000 Investment
| Mortgage Core Fund | Bloomberg US Aggregate Bond Index | Bloomberg US Mortgage Backed Securities Index |
|---|
| 12/31/2014 | $10,000 | $10,000 | $10,000 |
|---|
| 12/31/2015 | $10,166 | $10,055 | $10,151 |
|---|
| 12/31/2016 | $10,400 | $10,321 | $10,321 |
|---|
| 12/31/2017 | $10,686 | $10,687 | $10,576 |
|---|
| 12/31/2018 | $10,804 | $10,688 | $10,681 |
|---|
| 12/31/2019 | $11,488 | $11,620 | $11,359 |
|---|
| 12/31/2020 | $12,028 | $12,492 | $11,799 |
|---|
| 12/31/2021 | $11,921 | $12,299 | $11,676 |
|---|
| 12/31/2022 | $10,542 | $10,699 | $10,297 |
|---|
| 12/31/2023 | $11,088 | $11,291 | $10,817 |
|---|
| 12/31/2024 | $11,243 | $11,432 | $10,946 |
|---|
Average Annual Total Returns
| Fund/Index | 1 Year | 5 Years | 10 Years |
|---|
| Mortgage Core Fund | 1.39% | (0.43%) | 1.18% |
|---|
Bloomberg US Aggregate Bond IndexFootnote Reference* | 1.25% | (0.33%) | 1.35% |
|---|
| Bloomberg US Mortgage Backed Securities Index | 1.20% | (0.74%) | 0.91% |
|---|
| Footnote | Description |
Footnote* | The Fund has designated the Bloomberg US Aggregate Bond Index as the new broad-based securities market index in accordance with the SEC’s revised requirements for such an index. |
Visit FederatedHermes.com/us/FundInformation and click on the link to your fund and share class for more recent performance information.
- Net Assets$6,062,578,955
- Number of Investments504
- Portfolio Turnover113%
- Portfolio Turnover (excluding purchases and sales from dollar-roll transactions)26%
- Total Advisory Fees Paid$0
Annual Shareholder Report
Top Security Types (% of Net Assets)
| Value | Value |
|---|
| Agency Risk Transfer Securities | 0.2% |
| Non-Agency Mortgage-Backed Securities | 1.1% |
| Asset-Backed Securities | 2.0% |
| Cash Equivalents | 6.8% |
| Collaterized Mortgage Obligations | 8.6% |
| U.S Government Agency Mortgage-Backed Securities | 92.8% |
Additional Information about the Fund
Additional information is available on the Fund’s website at FederatedHermes.com/us/FundInformation, including its:
• prospectus • financial information • holdings • proxy voting information
CUSIP 31409N200
30129-A (02/25)
Federated Securities Corp., Distributor
FederatedHermes.com/us
© 2025 Federated Hermes, Inc.
High Yield Bond Core Fund
Annual Shareholder Report - December 31, 2024
A Portfolio of Federated Hermes Core Trust
This annual shareholder report contains important information about the High Yield Bond Core Fund (the "Fund") for the period of January 1, 2024 to December 31, 2024. You can find additional information at FederatedHermes.com/us/FundInformation. You can also request this information by contacting us at 1-800-341-7400, Option 4, or your financial advisor.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| High Yield Bond Core Fund | $4 | 0.04% |
|---|
Management's Discussion of Fund Performance
The following discussion compares the performance of the Fund to the Bloomberg US Corporate High Yield 2% Issuer Capped Index (the “Index”) to show how the Fund’s performance compares to the returns of similar investments for the reporting period. See the Average Annual Total Returns table below for the returns of the Fund and related indexes, including the Bloomberg US Aggregate Bond Index, which represents the overall U.S. fixed-income market. The Fund seeks to provide high current income.
Top Contributors to Performance
The Fund was positively impacted by security selection in the Insurance-P&C, Consumer Cyclical Services, Building Materials, Independent Energy, Healthcare and Chemical industry sectors.
The Fund was positively impacted by its underweight allocation to the underperforming Wireless Telecommunications sector.
Specific Fund holdings that positively impacted performance relative to the Index included: Clydesdale Acquisition, Allied Universal Holdco, SRS Distribution, Condor Merger Sub and Ardonagh Midco 2 Limited.
Top Detractors from Performance
The Fund was negatively impacted by security selection in the Media & Entertainment, Packaging, Electric Utility, Pharmaceutical, Midstream and Finance Company industry sectors.
The Fund was negatively impacted by its industry allocation, especially its underweight allocation to the strong performing Wireline Telecommunications and Retail industry sectors. It was also negatively impacted by its overweight allocation to the underperforming Automotive and Cable & Satellite industry sectors. Given the strong absolute performance during the period, the Fund’s cash position was also a drag on performance.
Specific Fund holdings that negatively impacted performance relative to the Index included: iHeartCommunications, Ardagh Packaging, Enviva Inc., CSC Holdings LLC and CMG Media Corporation.
Annual Shareholder Report
High Yield Bond Core Fund
Keep in mind that the Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
Cumulative Performance: 12/31/2014 to 12/31/2024
Total Return Based on $10,000 Investment
| High Yield Bond Core Fund | Bloomberg US Aggregate Bond Index | Bloomberg US Corporate High Yield 2% Issuer Capped Index |
|---|
| 12/31/2014 | $10,000 | $10,000 | $10,000 |
|---|
| 12/31/2015 | $9,819 | $10,055 | $9,557 |
|---|
| 12/31/2016 | $11,381 | $10,321 | $11,194 |
|---|
| 12/31/2017 | $12,240 | $10,687 | $12,033 |
|---|
| 12/31/2018 | $11,976 | $10,688 | $11,783 |
|---|
| 12/31/2019 | $13,794 | $11,620 | $13,470 |
|---|
| 12/31/2020 | $14,634 | $12,492 | $14,419 |
|---|
| 12/31/2021 | $15,427 | $12,299 | $15,178 |
|---|
| 12/31/2022 | $13,582 | $10,699 | $13,481 |
|---|
| 12/31/2023 | $15,542 | $11,291 | $15,293 |
|---|
| 12/31/2024 | $16,625 | $11,432 | $16,546 |
|---|
Average Annual Total Returns
| Fund/Index | 1 Year | 5 Years | 10 Years |
|---|
| High Yield Bond Core Fund | 6.97% | 3.80% | 5.21% |
|---|
Bloomberg US Aggregate Bond IndexFootnote Reference* | 1.25% | (0.33%) | 1.35% |
|---|
| Bloomberg US Corporate High Yield 2% Issuer Capped Index | 8.19% | 4.20% | 5.16% |
|---|
| Footnote | Description |
Footnote* | The Fund has designated the Bloomberg US Aggregate Bond Index as the new broad-based securities market index in accordance with the SEC’s revised requirements for such an index. |
Visit FederatedHermes.com/us/FundInformation and click on the link to your fund and share class for more recent performance information.
- Net Assets$926,200,990
- Number of Investments447
- Portfolio Turnover22%
- Total Advisory Fees Paid$0
Annual Shareholder Report
High Yield Bond Core Fund
Top Index Classifications (% of Net Assets)
| Value | Value |
|---|
| Building Materials | 3.9% |
| Consumer Cyclical Services | 3.9% |
| Packaging | 4.1% |
| Health Care | 4.4% |
| Midstream | 4.6% |
| Gaming | 5.2% |
| Automotive | 5.7% |
| Cable Satellite | 6.7% |
| Insurance - P&C | 8.3% |
| Technology | 12.7% |
Additional Information about the Fund
Additional information is available on the Fund’s website at FederatedHermes.com/us/FundInformation, including its:
• prospectus • financial information • holdings • proxy voting information
CUSIP 31409N101
30175-A (02/25)
Federated Securities Corp., Distributor
FederatedHermes.com/us
© 2025 Federated Hermes, Inc.
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.
(c) There was no amendment to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(d) There was no waiver granted, either actual or implicit, from a provision to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(e) Not Applicable
(f)(3) The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant at 1-800-341-7400, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.
| Item 3. | Audit Committee Financial Expert |
The registrant’s Board has determined that each of the following members of the Board’s Audit Committee is an “audit committee financial expert,” and is “independent,” for purposes of this Item 3: John G. Carson, Thomas M. O’Neill and John S. Walsh.
| Item 4. | Principal Accountant Fees and Services |
(a) Audit Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2024 – $162,637
Fiscal year ended 2023 - $156,382
(b) Audit-Related Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2024 - $0
Fiscal year ended 2023 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $1,625 and $0 respectively. Fiscal year ended 2024- Travel expenses for attendance at Board meeting.
(c) Tax Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2024 - $0
Fiscal year ended 2023 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(d) All Other Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2024 - $0
Fiscal year ended 2023 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $28,965 respectively. Fiscal year ended 2023- Service fees for analysis of potential Passive Foreign Investment Company holdings.
(e)(1) Audit Committee Policies regarding Pre-approval of Services.
The Audit Committee is required to pre-approve audit and non-audit services performed by the independent auditor in order to assure that the provision of such services do not impair the auditor’s independence. The Audit Committee is required to pre-concur with independence conclusions made by the independent auditor regarding non-audit services to be provided by the independent auditor to the Funds, the Funds Board of Directors, or any entity that is controlled directly or indirectly by the Funds. Unless a type of service to be provided by the independent auditor has received general pre-approval, it will require specific pre-approval(and pre-concurrence for non-audit services) by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
Certain services have the general pre-approval of the Audit Committee. The term of the general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee specifically provides for a different period. The Audit Committee will annually review the services that may be provided by the independent auditor without obtaining specific pre-approval from the Audit Committee and may grant general pre-approval for such services. The Audit Committee will revise the list of general pre-approved services from time to time, based on subsequent determinations. The Audit Committee will not delegate to management its responsibilities to pre-approve services performed by the independent auditor.
The Audit Committee has delegated pre-approval/pre-concurrence authority to its chairman (the “Chairman”) for services that do not exceed a specified dollar threshold. The Chairman or Chief Audit Executive will report any such pre-approval/pre-concurrence decisions to the Audit Committee at its next scheduled meeting. The Committee will designate another member with such pre-approval/pre-concurrence authority when the Chairman is unavailable.
AUDIT SERVICES
The annual audit services engagement terms and fees will be subject to the specific pre-approval of the Audit Committee. The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope, registered investment company (RIC) structure or other matters.
In addition to the annual audit services engagement specifically approved by the Audit Committee, the Audit Committee may grant general pre-approval for other audit services, which are those services that only the independent auditor reasonably can provide. The Audit Committee has pre-approved certain audit services; with limited exception, all other audit services must be specifically pre-approved by the Audit Committee.
AUDIT-RELATED SERVICES
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the RIC’s financial statements or that are traditionally performed by the independent auditor. The Audit Committee believes that the provision of audit-related services does not impair the independence of the auditor, and has pre-approved certain audit-related services; all other audit-related services must be specifically pre-approved by the Audit Committee.
TAX SERVICES
The Audit Committee believes that the independent auditor can provide tax services to the RIC such as tax compliance, tax planning and tax advice without impairing the auditor’s independence. However, the Audit Committee will not permit the retention of the independent auditor in connection with a transaction initially recommended by the independent auditor, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has pre-approved/pre-concurred certain tax services; with limited exception, all tax services involving large and complex transactions must be specifically pre-approved/pre-concurred by the Audit Committee.
ALL OTHER SERVICES
With respect to the provision of permissible services other than audit, review or attest services the pre-approval/pre-concurrence requirement is waived if:
(1) With respect to such services rendered to the Funds, the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues paid by the audit client to its accountant during the fiscal year in which the services are provided; and,
(2) With respect to such services rendered to the Fund’s investment adviser ( the “Adviser”)and any entity controlling, controlled by to under common control with the Adviser such as affiliated non-U.S. and U.S. funds not under the Audit Committee’s purview and which do not fall within a category of service which has been determined by the Audit Committee not to have a direct impact on the operations or financial reporting of the RIC, the aggregate amount of all services provided constitutes no more than five percent of the total amount of revenues paid to the RIC’s auditor by the RIC, its Adviser and any entity controlling, controlled by, or under common control with the Adviser during the fiscal year in which the services are provided; and
(3) Such services were not recognized by the issuer or RIC at the time of the engagement to be non-audit services; and
(4) Such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee who are members of the Board of Directors to whom authority to grant such approvals has been delegated by the Audit Committee.
The Audit Committee may grant general pre-approval/pre-concurrence to those permissible non-audit services which qualify for pre-approval and which it believes are routine and recurring services, and would not impair the independence of the auditor.
The Securities and Exchange Commission’s (the “SEC”) rules and relevant guidance should be consulted to determine the precise definitions of these services and applicability of exceptions to certain of the prohibitions.
PRE-APPROVAL FEE LEVELS
Pre-approval fee levels for all services to be provided by the independent auditor will be established annually by the Audit Committee. Any proposed services exceeding these levels will require specific pre-approval by the Audit Committee.
PROCEDURES
Requests or applications to provide services that require specific approval/concurrence by the Audit Committee will be submitted to the Audit Committee by the Fund’s Principal Accounting Officer and/or the Chief Audit Executive of Federated Hermes, Inc., only after those individuals have determined that the request or application is consistent with the SEC’s rules on auditor independence.
(e)(2) Percentage of services identified in items 4(b) through 4(d) that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:
4(b)
Fiscal year ended 2024 – 0%
Fiscal year ended 2023 - 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(c)
Fiscal year ended 2024 – 0%
Fiscal year ended 2023 – 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(d)
Fiscal year ended 2024 – 0%
Fiscal year ended 2023 – 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
(f) NA
(g) Non-Audit Fees billed to the registrant, the registrant’s Adviser, and certain entities controlling, controlled by or under common control with the Adviser:
Fiscal year ended 2024 - $218,008
Fiscal year ended 2023 - $193,176
(h) The registrant’s Audit Committee has considered that the provision of non-audit services that were rendered to the registrant’s Adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
| 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 Financial Statements filed under Item 7 of this form.
(b) Not Applicable
| Item 7. | Financial Statements and Financial Highlights for Open-End Management Companies |
Annual Financial Statements
and Additional Information
High Yield Bond Core Fund
A Portfolio of Federated Hermes Core TrustNot FDIC Insured ▪ May Lose Value ▪ No Bank Guarantee
Portfolio of Investments
| | | |
| | | |
| | | |
| | Goat Holdco, LLC, 144A, 6.750%, 2/1/2032 | |
| | TransDigm, Inc., 144A, 6.375%, 3/1/2029 | |
| | TransDigm, Inc., 1st Priority Sr. Secd. Note, 144A, 6.625%, 3/1/2032 | |
| | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.000%, 1/15/2033 | |
| | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.750%, 8/15/2028 | |
| | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.875%, 12/15/2030 | |
| | TransDigm, Inc., Sr. Sub., Series WI, 5.500%, 11/15/2027 | |
| | | |
| | | |
| | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A, 5.500%, 4/20/2026 | |
| | | |
| | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026 | |
| | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 8.250%, 4/15/2031 | |
| | Adient Global Holdings Ltd., Term Loan - 1st Lien, 144A, 7.000%, 4/15/2028 | |
| | Clarios Global LP / Clarios US Finance Co., Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027 | |
| | Clarios Global LP, Sec. Fac. Bond, 144A, 6.750%, 5/15/2028 | |
| | Dornoch Debt Merger Sub., Inc., Sr. Unsecd. Note, 144A, 6.625%, 10/15/2029 | |
| | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.375%, 11/13/2025 | |
| | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.000%, 11/13/2030 | |
| | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.125%, 8/17/2027 | |
| | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.113%, 5/3/2029 | |
| | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.125%, 6/16/2025 | |
| | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, Series GMTN, 4.389%, 1/8/2026 | |
| | IHO Verwaltungs GmbH, 144A, 8.000%, 11/15/2032 | |
| | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029 | |
| | JB Poindexter & Co., Inc., Sr. Unsecd. Note, 144A, 8.750%, 12/15/2031 | |
| | Real Hero Merger Sub 2, Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/1/2029 | |
| | ZF North America Capital, Inc., Sr. Unsecd. Note, 144A, 6.750%, 4/23/2030 | |
| | ZF North America Capital, Inc., Sr. Unsecd. Note, 144A, 6.875%, 4/14/2028 | |
| | ZF North America Capital, Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/14/2030 | |
| | | |
| | | |
| | Ally Financial, Inc., Sr. Sub. Note, 5.750%, 11/20/2025 | |
| | | |
| | ABC Supply Co., Inc., 144A, 4.000%, 1/15/2028 | |
| | ABC Supply Co., Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/15/2029 | |
| | Beacon Roofing Supply, Inc., Sr. Note, 144A, 6.500%, 8/1/2030 | |
| | Camelot Return Merger SU, Sec. Fac. Bond, 144A, 8.750%, 8/1/2028 | |
| | Cp Atlas Buyer, Inc., Sr. Unsecd. Note, 144A, 7.000%, 12/1/2028 | |
| | Foundation Building Materials, Inc., Sr. Unsecd. Note, 144A, 6.000%, 3/1/2029 | |
| | Gyp Holdings III Corp., Sr. Unsecd. Note, 144A, 4.625%, 5/1/2029 | |
| | Interface, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/1/2028 | |
| | Masterbrand, Inc., 144A, 7.000%, 7/15/2032 | |
| | Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC, Sec. Fac. Bond, 144A, 6.750%, 4/1/2032 | |
| | MIWD Holdco II LLC/ MIWD Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 2/1/2030 | |
| | Patrick Industries, Inc., Sec. Fac. Bond, 144A, 6.375%, 11/1/2032 | |
| | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 4.375%, 7/15/2030 | |
| | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2028 | |
| | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027 | |
| | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 6.500%, 8/15/2032 | |
| | White Cap Buyer LLC, Sr. Unsecd. Note, 144A, 6.875%, 10/15/2028 | |
| | | |
Annual Financial Statements and Additional Information
| | | |
| | CORPORATE BONDS—continued | |
| | | |
| | CCO Holdings LLC/Cap Corp., Sr. Sub. Secd. Note, 144A, 5.500%, 5/1/2026 | |
| | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2031 | |
| | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2034 | |
| | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 8/15/2030 | |
| | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 6/1/2033 | |
| | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | |
| | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.125%, 5/1/2027 | |
| | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029 | |
| | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 4.500%, 5/1/2032 | |
| | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2031 | |
| | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.125%, 12/1/2030 | |
| | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.500%, 11/15/2031 | |
| | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.625%, 12/1/2030 | |
| | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.000%, 11/15/2031 | |
| | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2030 | |
| | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.500%, 2/1/2029 | |
| | DISH DBS Corp., Sr. Unsecd. Note, 7.375%, 7/1/2028 | |
| | DISH DBS Corp., Sr. Unsecd. Note, Series WI, 5.125%, 6/1/2029 | |
| | Doyla Holdco 18 Designated Activity Co., Sr. Unsecd. Note, 144A, 5.000%, 7/15/2028 | |
| | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2031 | |
| | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2030 | |
| | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.000%, 8/1/2027 | |
| | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029 | |
| | Sunrise FinCo I B.V., Sr. Note, 144A, 4.875%, 7/15/2031 | |
| | Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028 | |
| | Virgin Media Finance PLC, Sr. Unsecd. Note, 144A, 5.000%, 7/15/2030 | |
| | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 4.500%, 8/15/2030 | |
| | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 5.500%, 5/15/2029 | |
| | Vmed O2 UK Financing I PLC, Sec. Fac. Bond, 144A, 4.250%, 1/31/2031 | |
| | Vmed O2 UK Financing I PLC, Sr. Note, 144A, 4.750%, 7/15/2031 | |
| | Ziggo B.V., Sec. Fac. Bond, 144A, 4.875%, 1/15/2030 | |
| | Ziggo Bond Co. B.V., Sr. Unsecd. Note, 144A, 5.125%, 2/28/2030 | |
| | Ziggo Finance B.V., Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027 | |
| | | |
| | | |
| | Axalta Coating Systems LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2029 | |
| | Cheever Escrow Issuer, Sec. Fac. Bond, 144A, 7.125%, 10/1/2027 | |
| | Element Solutions, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2028 | |
| | H.B. Fuller Co., Sr. Unsecd. Note, 4.250%, 10/15/2028 | |
| | Herens Holdco S.a.r.l., Sec. Fac. Bond, 144A, 4.750%, 5/15/2028 | |
| | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., Sr. Unsecd. Note, 144A, 9.000%, 7/1/2028 | |
| | Olympus Water US Holding Corp., Sec. Fac. Bond, 144A, 7.250%, 6/15/2031 | |
| | Olympus Water US Holding Corp., Sec. Fac. Bond, 144A, 9.750%, 11/15/2028 | |
| | Olympus Water US Holding Corp., Sr. Unsecd. Note, 144A, 6.250%, 10/1/2029 | |
| | SNF Group SACA, Sr. Unsecd. Note, 144A, 3.375%, 3/15/2030 | |
| | WR Grace Holdings LLC, Sec. Fac. Bond, 144A, 7.375%, 3/1/2031 | |
| | WR Grace Holdings LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 | |
| | | |
| | Construction Machinery—0.7% | |
| | H&E Equipment Services, Inc., Sr. Unsecd. Note, 144A, 3.875%, 12/15/2028 | |
| | United Rentals North America, Inc., Sr. Unsecd. Note, 3.750%, 1/15/2032 | |
| | United Rentals North America, Inc., Sr. Unsecd. Note, 3.875%, 2/15/2031 | |
| | United Rentals North America, Inc., Sr. Unsecd. Note, 4.875%, 1/15/2028 | |
| | United Rentals North America, Inc., Sr. Unsecd. Note, 144A, 6.125%, 3/15/2034 | |
| | United Rentals North America, Inc., Term Loan - 1st Lien, 144A, 6.000%, 12/15/2029 | |
| | | |
Annual Financial Statements and Additional Information
| | | |
| | CORPORATE BONDS—continued | |
| | Consumer Cyclical Services—3.9% | |
| | Allied Universal Holdco LLC, Sec. Fac. Bond, 144A, 7.875%, 2/15/2031 | |
| | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | |
| | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027 | |
| | Cars.com, Inc., Sr. Unsecd. Note, 144A, 6.375%, 11/1/2028 | |
| | Dun & Bradstreet Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 | |
| | Garda World Security Corp., Sec. Fac. Bond, 144A, 7.750%, 2/15/2028 | |
| | Garda World Security Corp., Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | |
| | Garda World Security Corp., Sr. Unsecd. Note, 144A, 8.375%, 11/15/2032 | |
| | Go Daddy Operating Co. LLC / GD Finance Co., Inc., Sr. Unsecd. Note, 144A, 5.250%, 12/1/2027 | |
| | Match Group Holdings II LLC, Sr. Unsecd. Note, 144A, 3.625%, 10/1/2031 | |
| | Match Group Holdings II LLC, Sr. Unsecd. Note, 144A, 4.125%, 8/1/2030 | |
| | Match Group Holdings II LLC, Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | |
| | Raven Acquisition Holdings LLC, Sr. Secd. Note, 144A, 6.875%, 11/15/2031 | |
| | The Brink’s Co., Sr. Unsecd. Note, 144A, 6.500%, 6/15/2029 | |
| | The Brink’s Co., Sr. Unsecd. Note, 144A, 6.750%, 6/15/2032 | |
| | | |
| | | |
| | BCPE Empire Holdings, Inc., Sr. Unsecd. Note, 144A, 7.625%, 5/1/2027 | |
| | Champ Acquisition Corp., Sr. Secd. Note, 144A, 8.375%, 12/1/2031 | |
| | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 4.125%, 4/1/2029 | |
| | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 5.500%, 6/1/2028 | |
| | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.375%, 3/31/2029 | |
| | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2028 | |
| | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 6.500%, 12/31/2027 | |
| | | |
| | Diversified Manufacturing—1.4% | |
| | Emrld Borrower LP / Emerald Co-Issuer, Inc., Sec. Fac. Bond, 144A, 6.625%, 12/15/2030 | |
| | Emrld Borrower LP, Sec. Fac. Bond, 144A, 6.750%, 7/15/2031 | |
| | Gates Corp., Sr. Unsecd. Note, 144A, 6.875%, 7/1/2029 | |
| | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 6.375%, 3/15/2029 | |
| | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 6.625%, 3/15/2032 | |
| | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.250%, 6/15/2028 | |
| | | |
| | | |
| | Boost Newco Borrower LLC, 144A, 7.500%, 1/15/2031 | |
| | Macquarie Airfinance Holdings Ltd., Sr. Unsecd. Note, 144A, 6.400%, 3/26/2029 | |
| | Macquarie Airfinance Holdings Ltd., Sr. Unsecd. Note, 144A, 6.500%, 3/26/2031 | |
| | Macquarie Airfinance Holdings Ltd., Sr. Unsecd. Note, 144A, 8.125%, 3/30/2029 | |
| | Navient Corp., Sr. Unsecd. Note, 4.875%, 3/15/2028 | |
| | Navient Corp., Sr. Unsecd. Note, 5.000%, 3/15/2027 | |
| | Navient Corp., Sr. Unsecd. Note, 5.500%, 3/15/2029 | |
| | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/25/2025 | |
| | Rocket Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.625%, 3/1/2029 | |
| | Rocket Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.875%, 3/1/2031 | |
| | Rocket Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 4.000%, 10/15/2033 | |
| | United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.500%, 11/15/2025 | |
| | United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2029 | |
| | United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.750%, 6/15/2027 | |
| | UWM Holdings LLC, Sr. Unsecd. Note, 144A, 6.625%, 2/1/2030 | |
| | | |
| | | |
| | Bellring Brands, Inc., Sr. Unsecd. Note, 144A, 7.000%, 3/15/2030 | |
| | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 8/1/2029 | |
| | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 5.500%, 10/15/2027 | |
| | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 6.125%, 9/15/2032 | |
| | Post Holdings, Inc., 144A, 6.375%, 3/1/2033 | |
Annual Financial Statements and Additional Information
| | | |
| | CORPORATE BONDS—continued | |
| | Food & Beverage—continued | |
| | Post Holdings, Inc., Sec. Fac. Bond, 144A, 6.250%, 2/15/2032 | |
| | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/15/2029 | |
| | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 6.250%, 10/15/2034 | |
| | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/1/2030 | |
| | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2029 | |
| | US Foods, Inc., Sr. Unsecd. Note, 144A, 5.750%, 4/15/2033 | |
| | US Foods, Inc., Sr. Unsecd. Note, 144A, 6.875%, 9/15/2028 | |
| | | |
| | | |
| | Affinity Gaming LLC, 144A, 6.875%, 12/15/2027 | |
| | Boyd Gaming Corp., Sr. Unsecd. Note, 4.750%, 12/1/2027 | |
| | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2031 | |
| | Caesars Entertainment Corp., 144A, 6.000%, 10/15/2032 | |
| | Caesars Entertainment Corp., Sec. Fac. Bond, 144A, 7.000%, 2/15/2030 | |
| | Caesars Entertainment Corp., Sr. Secd. Note, 144A, 6.500%, 2/15/2032 | |
| | Caesars Entertainment Corp., Sr. Unsecd. Note, 144A, 4.625%, 10/15/2029 | |
| | Churchill Downs, Inc., Sr. Unsecd. Note, 144A, 5.500%, 4/1/2027 | |
| | Churchill Downs, Inc., Sr. Unsecd. Note, 144A, 6.750%, 5/1/2031 | |
| | Colt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 8.125%, 7/1/2027 | |
| | Light & Wonder International, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/15/2029 | |
| | Light & Wonder International, Inc., Sr. Unsecd. Note, 144A, 7.500%, 9/1/2031 | |
| | MGM Resorts International, Sr. Unsecd. Note, 6.125%, 9/15/2029 | |
| | MGM Resorts International, Sr. Unsecd. Note, 6.500%, 4/15/2032 | |
| | Midwest Gaming Borrower LLC, Sr. Note, 144A, 4.875%, 5/1/2029 | |
| | Mohegan Tribal Gaming Authority, 144A, 8.000%, 2/1/2026 | |
| | Ontario Gaming GTA LP, Sec. Fac. Bond, 144A, 8.000%, 8/1/2030 | |
| | Penn Entertainment, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2029 | |
| | Scientific Games Holdings Corp., Sr. Unsecd. Note, 144A, 6.625%, 3/1/2030 | |
| | Station Casinos, Inc., 144A, 6.625%, 3/15/2032 | |
| | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 4.500%, 2/15/2028 | |
| | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.500%, 9/1/2026 | |
| | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/15/2025 | |
| | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp., 144A, 7.125%, 2/15/2031 | |
| | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp., Sr. Unsecd. Note, 144A, 6.250%, 3/15/2033 | |
| | | |
| | | |
| | Ardent Health Services, Sr. Unsecd. Note, 144A, 5.750%, 7/15/2029 | |
| | Avantor Funding, Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/1/2029 | |
| | Avantor Funding, Inc., Sr. Unsecd. Note, 144A, 4.625%, 7/15/2028 | |
| | CHS/Community Health Systems, Inc., 144A, 6.125%, 4/1/2030 | |
| | CHS/Community Health Systems, Inc., 144A, 6.875%, 4/15/2029 | |
| | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 5.625%, 3/15/2027 | |
| | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 6.000%, 1/15/2029 | |
| | Concentra Escrow Issuer Corp., Sr. Unsecd. Note, 144A, 6.875%, 7/15/2032 | |
| | Embecta Corp., Sec. Fac. Bond, 144A, 5.000%, 2/15/2030 | |
| | Embecta Corp., Sr. Note, 144A, 6.750%, 2/15/2030 | |
| | Iqvia, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/15/2026 | |
| | Iqvia, Inc., Sr. Unsecd. Note, 144A, 6.500%, 5/15/2030 | |
| | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2029 | |
| | Medline Borrower LP, Sec. Fac. Bond, 144A, 3.875%, 4/1/2029 | |
| | Medline Borrower LP, Sr. Unsecd. Note, 144A, 5.250%, 10/1/2029 | |
| | Medline Borrower LP/Medline Co-Issuer, Inc., 144A, 6.250%, 4/1/2029 | |
| | Neogen Food Safety Corp., Sr. Unsecd. Note, 144A, 8.625%, 7/20/2030 | |
| | Select Medical Corp., 144A, 6.250%, 12/1/2032 | |
| | Tenet Healthcare Corp., 4.250%, 6/1/2029 | |
| | Tenet Healthcare Corp., 5.125%, 11/1/2027 | |
Annual Financial Statements and Additional Information
| | | |
| | CORPORATE BONDS—continued | |
| | | |
| | Tenet Healthcare Corp., 144A, 6.250%, 2/1/2027 | |
| | Tenet Healthcare Corp., Sec. Fac. Bond, 144A, 6.750%, 5/15/2031 | |
| | Tenet Healthcare Corp., Sr. Unsecd. Note, 6.125%, 10/1/2028 | |
| | | |
| | | |
| | Centene Corp., Sr. Unsecd. Note, Series WI, 4.625%, 12/15/2029 | |
| | Molina Healthcare, Inc., Sr. Secd. Note, 144A, 6.250%, 1/15/2033 | |
| | | |
| | | |
| | Aethon United LP BR/Aethon United Finance, 144A, 7.500%, 10/1/2029 | |
| | Antero Resources Corp., Sr. Unsecd. Note, 144A, 5.375%, 3/1/2030 | |
| | Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 | |
| | Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 6.625%, 10/15/2032 | |
| | Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 8.250%, 12/31/2028 | |
| | Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 9.000%, 11/1/2027 | |
| | Civitas Resources, Inc., Sr. Unsecd. Note, 144A, 8.625%, 11/1/2030 | |
| | Civitas Resources, Inc., Sr. Unsecd. Note, 144A, 8.750%, 7/1/2031 | |
| | Civitas Resources, Inc., Unsecd. Note, 144A, 8.375%, 7/1/2028 | |
| | Comstock Resources, Inc., Sr. Unsecd. Note, 144A, 6.750%, 3/1/2029 | |
| | Comstock Resources, Inc., Sr. Unsecd. Note, 144A, 6.750%, 3/1/2029 | |
| | Expand Energy Corp., Sr. Unsecd. Note, 7.000%, 10/1/2099 | |
| | Matador Resources Co., Sr. Unsecd. Note, 144A, 6.250%, 4/15/2033 | |
| | Matador Resources Co., Sr. Unsecd. Note, 144A, 6.500%, 4/15/2032 | |
| | Occidental Petroleum Corp., Sr. Unsecd. Note, 5.875%, 9/1/2025 | |
| | Occidental Petroleum Corp., Sr. Unsecd. Note, 7.150%, 5/15/2028 | |
| | Permian Resources Operating LLC, Sr. Sub. Secd. Note, 144A, 6.250%, 2/1/2033 | |
| | Permian Resources Operating LLC, Sr. Unsecd. Note, 144A, 7.000%, 1/15/2032 | |
| | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | |
| | Range Resources Corp., Sr. Unsecd. Note, 8.250%, 1/15/2029 | |
| | Rockcliff Energy II LLC, Sr. Unsecd. Note, 144A, 5.500%, 10/15/2029 | |
| | Sitio Royalties Operating Partnership LP / Sitio Finance Corp., Sr. Unsecd. Note, 144A, 7.875%, 11/1/2028 | |
| | SM Energy Co., Sr. Unsecd. Note, 144A, 6.750%, 8/1/2029 | |
| | SM Energy Co., Sr. Unsecd. Note, 144A, 7.000%, 8/1/2032 | |
| | | |
| | | |
| | Hillenbrand, Inc., Sr. Unsecd. Note, 6.250%, 2/15/2029 | |
| | Madison Iaq LLC, Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 | |
| | SPX Flow, Inc., Sr. Unsecd. Note, 144A, 8.750%, 4/1/2030 | |
| | | |
| | | |
| | Acrisure LLC, Sec. Fac. Bond, 144A, 7.500%, 11/6/2030 | |
| | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 144A, 5.875%, 11/1/2029 | |
| | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 144A, 7.375%, 10/1/2032 | |
| | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, Sec. Fac. Bond, 144A, 7.000%, 1/15/2031 | |
| | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, Sr. Unsecd. Note, 144A, 6.500%, 10/1/2031 | |
| | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, Sr. Unsecd. Note, 144A, 6.750%, 10/15/2027 | |
| | AmWINS Group, Inc., Sec. Fac. Bond, 144A, 6.375%, 2/15/2029 | |
| | AmWINS Group, Inc., Sr. Unsecd. Note, 144A, 4.875%, 6/30/2029 | |
| | Ardonagh Finco Ltd., Sec. Fac. Bond, 144A, 7.750%, 2/15/2031 | |
| | Ardonagh Group Finance Ltd., Sr. Unsecd. Note, 144A, 8.875%, 2/15/2032 | |
| | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2029 | |
| | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 7.500%, 2/15/2032 | |
| | Baldwin Insurance Group Holdings LLC/Baldwin Insurance Group Holdings Finance, 144A, 7.125%, 5/15/2031 | |
| | Broadstreet Partners, Inc., Sr. Unsecd. Note, 144A, 5.875%, 4/15/2029 | |
| | Hub International Ltd., Sec. Fac. Bond, 144A, 7.250%, 6/15/2030 | |
| | Hub International Ltd., Sr. Unsecd. Note, 144A, 5.625%, 12/1/2029 | |
Annual Financial Statements and Additional Information
| | | |
| | CORPORATE BONDS—continued | |
| | Insurance - P&C—continued | |
| | Hub International Ltd., Sr. Unsecd. Note, 144A, 7.375%, 1/31/2032 | |
| | Jones Deslauriers Insurance Management, Inc., Sec. Fac. Bond, 144A, 8.500%, 3/15/2030 | |
| | Jones Deslauriers Insurance Management, Inc., Sr. Unsecd. Note, 144A, 10.500%, 12/15/2030 | |
| | Panther Escrow Issuer, Sec. Fac. Bond, 144A, 7.125%, 6/1/2031 | |
| | Ryan Specialty LLC, Sec. Fac. Bond, 144A, 4.375%, 2/1/2030 | |
| | Ryan Specialty LLC, Sec. Fac. Bond, 144A, 5.875%, 8/1/2032 | |
| | USI, Inc./NY, Sr. Unsecd. Note, 144A, 7.500%, 1/15/2032 | |
| | | |
| | | |
| | Carnival Corp., Sr. Secd. Note, 144A, 7.000%, 8/15/2029 | |
| | Carnival Corp., Sr. Unsecd. Note, 144A, 6.000%, 5/1/2029 | |
| | Carnival Corp., Sr. Unsecd. Note, 144A, 7.625%, 3/1/2026 | |
| | NCL Corp. Ltd., Sr. Secd. Note, 144A, 8.125%, 1/15/2029 | |
| | NCL Corp. Ltd., Sr. Unsecd. Note, 144A, 5.875%, 3/15/2026 | |
| | NCL Corp. Ltd., Sr. Unsecd. Note, 144A, 7.750%, 2/15/2029 | |
| | NCL Finance Ltd., Sr. Unsecd. Note, 144A, 6.125%, 3/15/2028 | |
| | Royal Caribbean Cruises, Ltd., 144A, 6.000%, 2/1/2033 | |
| | Royal Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 4.250%, 7/1/2026 | |
| | Royal Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 5.375%, 7/15/2027 | |
| | Royal Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 5.500%, 8/31/2026 | |
| | Royal Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 5.625%, 9/30/2031 | |
| | Royal Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 6.250%, 3/15/2032 | |
| | Six Flags Entertainment Corp., Sr. Unsecd. Note, 144A, 7.250%, 5/15/2031 | |
| | United Parks & Resorts, Inc., Sr. Unsecd. Note, 144A, 5.250%, 8/15/2029 | |
| | | |
| | | |
| | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2032 | |
| | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.750%, 5/1/2028 | |
| | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.875%, 3/15/2033 | |
| | RHP Hotel Property/RHP Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 4/1/2032 | |
| | RHP Hotel Property/RHP Finance Corp., Sr. Unsecd. Note, 144A, 7.250%, 7/15/2028 | |
| | Wyndham Hotels & Resorts, Inc., Sr. Unsecd. Note, 144A, 4.375%, 8/15/2028 | |
| | XHR LP, Sr. Unsecd. Note, 144A, 6.625%, 5/15/2030 | |
| | | |
| | | |
| | CMG Media, Corp., 144A, 8.875%, 6/18/2029 | |
| | Cumulus Media News Holdings, Inc., 144A, 8.000%, 7/1/2029 | |
| | Gray Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 11/15/2031 | |
| | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027 | |
| | Outfront Media Capital LLC / Outfront Media Capital Corp., 144A, 7.375%, 2/15/2031 | |
| | Outfront Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2029 | |
| | Outfront Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2030 | |
| | Outfront Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 5.000%, 8/15/2027 | |
| | Scripps Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2031 | |
| | Scripps Escrow, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027 | |
| | Sinclair Television Group, Sec. Fac. Bond, 144A, 4.125%, 12/1/2030 | |
| | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | |
| | Stagwell Global LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 | |
| | Tegna, Inc., Sr. Unsecd. Note, 144A, 5.000%, 9/15/2029 | |
| | Univision Communications, Inc., Sec. Fac. Bond, 144A, 7.375%, 6/30/2030 | |
| | Univision Communications, Inc., Sec. Fac. Bond, 144A, 8.000%, 8/15/2028 | |
| | | |
| | | |
| | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 4.875%, 3/1/2031 | |
| | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 6.750%, 4/15/2030 | |
| | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 6.875%, 11/1/2029 | |
Annual Financial Statements and Additional Information
| | | |
| | CORPORATE BONDS—continued | |
| | Metals & Mining—continued | |
| | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 7.000%, 3/15/2032 | |
| | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 7.375%, 5/1/2033 | |
| | Coeur Mining, Inc., Sr. Unsecd. Note, 144A, 5.125%, 2/15/2029 | |
| | | |
| | | |
| | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | |
| | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | |
| | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 6.625%, 2/1/2032 | |
| | Blue Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unsecd. Note, 144A, 7.000%, 7/15/2029 | |
| | Blue Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unsecd. Note, 144A, 7.250%, 7/15/2032 | |
| | Cheniere Energy Partners, LP, Sr. Unsecd. Note, Series WI, 4.500%, 10/1/2029 | |
| | CNX Midstream Partners LP, Sr. Unsecd. Note, 144A, 4.750%, 4/15/2030 | |
| | DT Midstream, Inc., Sr. Unsecd. Note, 144A, 4.375%, 6/15/2031 | |
| | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 4.500%, 1/15/2029 | |
| | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 6.375%, 4/1/2029 | |
| | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 6.500%, 7/1/2027 | |
| | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 7.500%, 6/1/2027 | |
| | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 7.500%, 6/1/2030 | |
| | Hess Midstream Operations LP, Sr. Unsecd. Note, 144A, 5.125%, 6/15/2028 | |
| | Hess Midstream Operations LP, Sr. Unsecd. Note, 144A, 6.500%, 6/1/2029 | |
| | HF Sinclair Corp., Sr. Unsecd. Note, 5.000%, 2/1/2028 | |
| | Northriver Midstream Fin, 144A, 6.750%, 7/15/2032 | |
| | Solaris Midstream Holdings LLC, Sr. Unsecd. Note, 144A, 7.625%, 4/1/2026 | |
| | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 | |
| | Suburban Propane Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 6/1/2031 | |
| | Targa Resources Partners LP / Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.000%, 1/15/2028 | |
| | Targa Resources Partners LP / Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | |
| | Western Midstream Operating, LP, Sr. Unsecd. Note, 4.650%, 7/1/2026 | |
| | | |
| | | |
| | Archrock Partners LP / Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.250%, 4/1/2028 | |
| | Archrock Partners LP / Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | |
| | Kodiak Gas Services LLC, Sr. Unsecd. Note, 144A, 7.250%, 2/15/2029 | |
| | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.500%, 1/15/2028 | |
| | Nabors Industries, Inc., Sec. Fac. Bond, 144A, 9.125%, 1/31/2030 | |
| | Nabors Industries, Inc., Sr. Unsecd. Note, 144A, 7.375%, 5/15/2027 | |
| | Nabors Industries, Inc., Sr. Unsecd. Note, 144A, 8.875%, 8/15/2031 | |
| | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026 | |
| | USA Compression Partners LP, Sr. Unsecd. Note, 6.875%, 9/1/2027 | |
| | USA Compression Partners LP, Sr. Unsecd. Note, 144A, 7.125%, 3/15/2029 | |
| | | |
| | | |
| | ARD Finance SA, Sec. Fac. Bond, 144A, 7.250% PIK, 6/30/2027 | |
| | Ardagh Metal Packaging, Sr. Unsecd. Note, 144A, 4.000%, 9/1/2029 | |
| | Ardagh Packaging Finance PLC/Ardagh Holdings, Sec. Fac. Bond, 144A, 5.250%, 8/15/2027 | |
| | Ball Corp., Sr. Unsecd. Note, 6.000%, 6/15/2029 | |
| | Ball Corp., Sr. Unsecd. Note, 6.875%, 3/15/2028 | |
| | Berry Global Escrow Corp., 144A, 4.875%, 7/15/2026 | |
| | Clydesdale Acquisition Holdings, Inc., Sec. Fac. Bond, 144A, 6.875%, 1/15/2030 | |
| | Clydesdale Acquisition Holdings, Inc., Sr. Unsecd. Note, 144A, 8.750%, 4/15/2030 | |
| | Mauser Packaging Solutions Holding Co., 144A, 9.250%, 4/15/2027 | |
| | Mauser Packaging Solutions Holding Co., Sec. Fac. Bond, 144A, 7.875%, 4/15/2027 | |
| | OI European Group B.V., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2030 | |
| | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.625%, 5/13/2027 | |
| | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/15/2031 | |
| | Sealed Air Corp., 144A, 6.500%, 7/15/2032 | |
Annual Financial Statements and Additional Information
| | | |
| | CORPORATE BONDS—continued | |
| | | |
| | Sealed Air Corp., Sr. Unsecd. Note, 144A, 6.125%, 2/1/2028 | |
| | Sealed Air Corp., Sr. Unsecd. Note, 144A, 7.250%, 2/15/2031 | |
| | Trivium Packaging Finance B.V., Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027 | |
| | | |
| | | |
| | Clearwater Paper Corp., Sr. Unsecd. Note, 144A, 4.750%, 8/15/2028 | |
| | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 3.500%, 3/1/2029 | |
| | | |
| | | |
| | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2029 | |
| | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/15/2029 | |
| | Grifols Escrow Issuer S.A., Sr. Unsecd. Note, 144A, 4.750%, 10/15/2028 | |
| | Jazz Securities Designated Activity Co., Sec. Fac. Bond, 144A, 4.375%, 1/15/2029 | |
| | Organon & Co./Organon Foreign Debt Co-Issuer B.V., Sec. Fac. Bond, 144A, 6.750%, 5/15/2034 | |
| | Organon & Co./Organon Foreign Debt Co-Issuer B.V., Sr. Unsecd. Note, 144A, 7.875%, 5/15/2034 | |
| | Organon Finance 1 LLC, Sr. Unsecd. Note, 144A, 5.125%, 4/30/2031 | |
| | | |
| | | |
| | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 4.000%, 10/15/2030 | |
| | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 6.125%, 6/15/2029 | |
| | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Term Loan - 1st Lien, 144A, 5.625%, 9/15/2029 | |
| | Yum! Brands, Inc., Sr. Unsecd. Note, 4.625%, 1/31/2032 | |
| | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | |
| | | |
| | | |
| | Academy Ltd., Sec. Fac. Bond, 144A, 6.000%, 11/15/2027 | |
| | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 4.750%, 3/1/2030 | |
| | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 4.625%, 11/15/2029 | |
| | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2032 | |
| | BELRON UK Finance PLC, 144A, 5.750%, 10/15/2029 | |
| | Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/1/2029 | |
| | Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.875%, 10/1/2031 | |
| | Group 1 Automotive, Inc., Sr. Unsecd. Note, 144A, 6.375%, 1/15/2030 | |
| | Kontoor Brands, Inc., Sr. Unsecd. Note, 144A, 4.125%, 11/15/2029 | |
| | LCM Investments Holdings II, LLC, Sr. Unsecd. Note, 144A, 8.250%, 8/1/2031 | |
| | Velocity Vehicle Group, Sr. Unsecd. Note, 144A, 8.000%, 6/1/2029 | |
| | William Carter Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2027 | |
| | | |
| | | |
| | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 3.500%, 3/15/2029 | |
| | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 5.875%, 2/15/2028 | |
| | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 6.500%, 2/15/2028 | |
| | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 7.500%, 3/15/2026 | |
| | | |
| | | |
| | Amentum Escrow Corp., Sr. Unsecd. Note, 144A, 7.250%, 8/1/2032 | |
| | AthenaHealth Group, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2030 | |
| | Capstone Borrower, Inc., Sec. Fac. Bond, 144A, 8.000%, 6/15/2030 | |
| | Centerfield Media Parent, Sr. Note, 144A, 6.625%, 8/1/2026 | |
| | Central Parent LLC / CDK Global II LLC / CDK Financing Co., 144A, 8.000%, 6/15/2029 | |
| | Central Parent, Inc./Central Merger Sub, Inc., 144A, 7.250%, 6/15/2029 | |
| | Clarivate Science Holdings Corp., Sr. Unsecd. Note, 144A, 4.875%, 7/1/2029 | |
| | Cloud Software Group, Inc., Sec. Fac. Bond, 144A, 6.500%, 3/31/2029 | |
| | Cloud Software Group, Inc., Sec. Fac. Bond, 144A, 8.250%, 6/30/2032 | |
| | Cloud Software Group, Inc., Sec. Fac. Bond, 144A, 9.000%, 9/30/2029 | |
| | Coherent Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 | |
Annual Financial Statements and Additional Information
| | | |
| | CORPORATE BONDS—continued | |
| | | |
| | Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.000%, 10/15/2026 | |
| | Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.500%, 10/15/2028 | |
| | Elastic N.V., Sr. Unsecd. Note, 144A, 4.125%, 7/15/2029 | |
| | Ellucian Holdings, Inc., Sec. Fac. Bond, 144A, 6.500%, 12/1/2029 | |
| | Entegris Escrow Corp., Sec. Fac. Bond, 144A, 4.750%, 4/15/2029 | |
| | Entegris Escrow Corp., Sr. Unsecd. Note, 144A, 5.950%, 6/15/2030 | |
| | Entegris, Inc., Sr. Unsecd. Note, 144A, 4.375%, 4/15/2028 | |
| | Fortress Intermediate 3, Inc., Sec. Fac. Bond, 144A, 7.500%, 6/1/2031 | |
| | Goto Group, Inc., 144A, 5.500%, 5/1/2028 | |
| | Goto Group, Inc., 144A, 5.500%, 5/1/2028 | |
| | HealthEquity, Inc., Sr. Unsecd. Note, 144A, 4.500%, 10/1/2029 | |
| | Helios Software Holdings, Sec. Fac. Bond, 144A, 4.625%, 5/1/2028 | |
| | Insight Enterprises, Inc., Sr. Unsecd. Note, 144A, 6.625%, 5/15/2032 | |
| | Iron Mountain, Inc., 144A, 6.250%, 1/15/2033 | |
| | Iron Mountain, Inc., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2029 | |
| | McAfee Corp., Sr. Unsecd. Note, 144A, 7.375%, 2/15/2030 | |
| | NCR Atleos Escrow Corp., 144A, 9.500%, 4/1/2029 | |
| | NCR Voyix Corp., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2028 | |
| | NCR Voyix Corp., Sr. Unsecd. Note, 144A, 5.125%, 4/15/2029 | |
| | Open Text, Inc., 144A, 6.900%, 12/1/2027 | |
| | Open Text, Inc., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2028 | |
| | Rocket Software, Inc., Sec. Fac. Bond, 144A, 9.000%, 11/28/2028 | |
| | Rocket Software, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2029 | |
| | Science Applications International Corp., Sr. Unsecd. Note, 144A, 4.875%, 4/1/2028 | |
| | Seagate HDD Cayman, Sr. Unsecd. Note, 8.250%, 12/15/2029 | |
| | Seagate HDD Cayman, Sr. Unsecd. Note, 8.500%, 7/15/2031 | |
| | Seagate HDD Cayman, Sr. Unsecd. Note, 9.625%, 12/1/2032 | |
| | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 5.875%, 9/1/2030 | |
| | Sensata Technologies, Inc., Sr. Unsecd. Note, 144A, 6.625%, 7/15/2032 | |
| | SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027 | |
| | SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 6.500%, 6/1/2032 | |
| | Synaptics, Inc., Sr. Unsecd. Note, 144A, 4.000%, 6/15/2029 | |
| | TTM Technologies, Inc., Sr. Unsecd. Note, 144A, 4.000%, 3/1/2029 | |
| | UKG, Inc., Sec. Fac. Bond, 144A, 6.875%, 2/1/2031 | |
| | Viavi Solutions, Inc., Sr. Unsecd. Note, 144A, 3.750%, 10/1/2029 | |
| | Zebra Technologies Corp., Sr. Unsecd. Note, 144A, 6.500%, 6/1/2032 | |
| | ZipRecruiter, Inc., Sr. Unsecd. Note, 144A, 5.000%, 1/15/2030 | |
| | | |
| | Transportation Services—0.4% | |
| | Stena International S.A., Sr. Secd. Note, 144A, 7.250%, 1/15/2031 | |
| | Watco Cos LLC/Finance Co., Sr. Unsecd. Note, 144A, 7.125%, 8/1/2032 | |
| | | |
| | | |
| | Calpine Corp., Sr. Secd. Note, 144A, 3.750%, 3/1/2031 | |
| | Calpine Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2031 | |
| | Calpine Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028 | |
| | NextEra Energy Operating Partners LP, Sr. Unsecd. Note, 144A, 4.500%, 9/15/2027 | |
| | NextEra Energy Operating Partners LP, Sr. Unsecd. Note, 144A, 7.250%, 1/15/2029 | |
| | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.375%, 2/15/2029 | |
| | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2031 | |
| | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2032 | |
| | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 5.750%, 7/15/2029 | |
| | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/1/2033 | |
| | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 6.250%, 11/1/2034 | |
| | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | |
| | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028 | |
Annual Financial Statements and Additional Information
| | | |
| | CORPORATE BONDS—continued | |
| | Utility - Electric—continued | |
| | TransAlta Corp., Sr. Unsecd. Note, 7.750%, 11/15/2029 | |
| | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026 | |
| | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027 | |
| | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/15/2032 | |
| | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 7.750%, 10/15/2031 | |
| | | |
| | TOTAL CORPORATE BONDS
(IDENTIFIED COST $921,533,211) | |
| | | |
| | | |
| | Audacy Capital Corp.
(IDENTIFIED COST $5,372,443) | |
| | | |
| | | |
| | Audacy Capital Corp., Warrants 9/30/2028 | |
| | Audacy Capital Corp., Warrants 9/30/2028 | |
| | TOTAL WARRANTS
(IDENTIFIED COST $3,226) | |
| | | |
| | Federated Hermes Government Obligations Fund, Premier Shares, 4.40%4 (IDENTIFIED COST $34,129,461) | |
| | TOTAL INVESTMENT IN SECURITIES—98.9%
(IDENTIFIED COST $961,038,341)5 | |
| | OTHER ASSETS AND LIABILITIES - NET—1.1%6 | |
| | | |
Transactions with affiliated investment companies, which are funds managed by the Adviser or an affiliate of the Adviser, during the period ended December 31, 2024, were as follows:
| Federated Hermes
Institutional
Prime Value
Obligations Fund,
Institutional Shares | Federated Hermes
Government
Obligations Fund,
Premier Shares | Total of
Affiliated
Transactions |
| | | |
| | | |
| | | |
Change in Unrealized Appreciation/Depreciation | | | |
| | | |
| | | |
Shares Held as of 12/31/2024 | | | |
| | | |
| |
| Non-income-producing security. |
| Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund’s Adviser acting through its Valuation Committee (“Valuation Committee”). |
| |
| The cost of investments for federal tax purposes amounts to $966,495,764. |
| Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Note: The categories of investments are shown as a percentage of total net assets at December 31, 2024.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
Annual Financial Statements and Additional Information
The following is a summary of the inputs used, as of December 31, 2024, in valuing the Fund’s assets carried at fair value:
|
| | Level 2—
Other
Significant
Observable
Inputs | Level 3—
Significant
Unobservable
Inputs | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
The following acronym(s) are used throughout this portfolio: | |
| |
| |
See Notes which are an integral part of the Financial Statements
Annual Financial Statements and Additional Information
Financial Highlights
(For a Share Outstanding Throughout Each Period)
| |
| | | | | |
Net Asset Value, Beginning of Period | | | | | |
Income From Investment Operations: | | | | | |
Net investment income (loss)1 | | | | | |
Net realized and unrealized gain (loss) | | | | | |
TOTAL FROM INVESTMENT OPERATIONS | | | | | |
| | | | | |
Distributions from net investment income | | | | | |
Net Asset Value, End of Period | | | | | |
| | | | | |
Ratios to Average Net Assets: | | | | | |
| | | | | |
| | | | | |
Expense waiver/reimbursement | | | | | |
| | | | | |
Net assets, end of period (000 omitted) | | | | | |
| | | | | |
| Per share numbers have been calculated using the average shares method. |
| Based on net asset value. |
| Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
| Securities that mature are considered sales for purposes of this calculation. |
See Notes which are an integral part of the Financial Statements
Annual Financial Statements and Additional Information
Statement of Assets and LiabilitiesDecember 31, 2024
| |
Investment in securities, at value including $34,129,461 of investments in affiliated holdings* (identified cost $961,038,341, including $34,129,461 of identified cost in affiliated holdings) | |
| |
| |
Income receivable from affiliated holdings | |
| |
| |
Income distribution payable | |
Accrued expenses (Note 5) | |
| |
Net assets for 165,032,894 shares outstanding | |
| |
| |
Total distributable earnings (loss) | |
| |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$926,200,990 ÷ 165,032,894 shares outstanding, no par value, unlimited shares authorized | |
| See information listed after the Fund’s Portfolio of Investments. |
See Notes which are an integral part of the Financial Statements
Annual Financial Statements and Additional Information
Statement of OperationsYear Ended December 31, 2024
| |
| |
Dividends (including $1,520,964 received from affiliated holdings*) | |
| |
| |
Administrative fee (Note 5) | |
| |
| |
Directors’/Trustees’ fees (Note 5) | |
| |
| |
Portfolio accounting fees | |
| |
| |
| |
| |
| |
| |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized loss on investments (including net realized loss of $(16,210) on sales of investments in affiliated holdings*) | |
Net change in unrealized depreciation of investments (including net change in unrealized appreciation of $(4,295) on investments in affiliated holdings*) | |
Net realized and unrealized gain (loss) on investments | |
Change in net assets resulting from operations | |
| See information listed after the Fund’s Portfolio of Investments. |
See Notes which are an integral part of the Financial Statements
Annual Financial Statements and Additional Information
Statement of Changes in Net Assets
| | |
Increase (Decrease) in Net Assets | | |
| | |
| | |
| | |
Net change in unrealized appreciation/depreciation | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | |
Distributions to Shareholders | | |
| | |
Proceeds from sale of shares | | |
Net asset value of shares issued to shareholders in payment of distributions declared | | |
| | |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | | |
| | |
| | |
| | |
| | |
See Notes which are an integral part of the Financial Statements
Annual Financial Statements and Additional Information
Notes to Financial Statements
Federated Hermes Core Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust consists of four portfolios. The financial statements included herein are only those of High Yield Bond Core Fund (the “Fund”), a diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder’s interest is limited to the portfolio in which shares are held. Each portfolio pays its own expenses. The investment objective of the Fund is to seek high current income.
The Fund’s portfolio consists primarily of lower rated corporate debt obligations. These lower rated debt obligations may be more susceptible to real or perceived adverse economic conditions than investment-grade bonds. These lower rated debt obligations are regarded as predominately speculative with respect to each issuer’s continuing ability to make interest and principal payments (i.e., the obligations are subject to the risk of default). Currently, shares of the Fund are being offered for investment only to investment companies, insurance company separate accounts, common or commingled trust funds or similar organizations or parties that are “accredited investors” within the meaning of Regulation D of the Securities Act of 1933, as amended (the “1933 Act”).
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles (GAAP).
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■
Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by Federated Investment Management Company (the “Adviser”).
■
Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs, or NAV per share practical expedient, as applicable.
■
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 ask quotations.
■
Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Adviser.
■
For securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, 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.
If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Adviser’s valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion of the Adviser’s valuation committee (“Valuation Committee”), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.
Fair Valuation and Significant Events Procedures
Pursuant to Rule 2a-5 under the Act, the Fund’s Board of Trustees (the “Trustees”) has designated the Adviser as the Fund’s valuation designee to perform any fair value determinations for securities and other assets held by the Fund. The Adviser is subject to the Trustees’ oversight and certain reporting and other requirements intended to provide the Trustees the information needed to oversee the Adviser’s fair value determinations.
The Adviser, acting through its Valuation Committee, is responsible for determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of the Adviser and certain of the Adviser’s affiliated companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is also authorized to use pricing services to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services’ policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Adviser. The Trustees periodically review the fair valuations made by the Valuation Committee. The Trustees have also approved the Adviser’s fair valuation and significant events procedures as part of the Fund’s compliance program and will review any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between
Annual Financial Statements and Additional Information
the prices bid and ask for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Adviser.
The Adviser has also adopted procedures requiring an investment to be priced at its fair value whenever the Valuation Committee determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment’s value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
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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;
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Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;
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Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer’s operations or regulatory changes or market developments affecting the issuer’s industry.
The Adviser has adopted procedures whereby the Valuation Committee uses a pricing service to provide factors to update the fair value of equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the pricing time of the Fund. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Valuation Committee will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Adviser. The Trustees periodically review fair valuations made in response to significant events.
Investment Income, Gains and Losses, Expenses and Distributions
Investment transactions are accounted for on a trade-date basis. Realized gains and losses from investment transactions are recorded on an identified-cost basis. Interest income and expenses are accrued daily. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Foreign dividends are recorded on the ex-dividend date or when the Fund is informed of the ex-dividend date. Distributions of net investment income, if any, are declared daily and paid monthly. In addition, distributions of capital gains, if any, are declared and paid at least annually. Non-cash dividends included in dividend income, if any, are recorded at fair value. Amortization/accretion of premium and discount is included in investment income.
It is the Fund’s policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986 (the “Code”) and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal income tax is necessary. As of and during the year ended December 31, 2024, the Fund did not have a liability for any uncertain tax positions. The Fund recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2024, tax years 2021 through 2024 remain subject to examination by the Fund’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
When-Issued and Delayed-Delivery Transactions
The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
The Fund may purchase securities which are considered restricted. Restricted securities are securities that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the 1933 Act; or (b) are subject to contractual restrictions on public sales. In some cases, when a security cannot be offered for public sale without first being registered, the issuer of the restricted security has agreed to register such securities for resale, at the issuer’s expense, either upon demand by the Fund or in connection with another registered offering of the securities. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. Restricted securities may be determined to be liquid under criteria established by the Trustees. The Fund will not incur any registration costs upon such resales. The Fund’s restricted securities, like other securities, are priced in accordance with procedures established by and under the general supervision of the Adviser.
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ materially from those estimated. The Fund applies investment company accounting and reporting guidance.
Annual Financial Statements and Additional Information
3. SHARES OF BENEFICIAL INTEREST
The following table summarizes share activity:
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Shares issued to shareholders in payment of distributions declared | | |
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NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | | |
4. FEDERAL TAX INFORMATION
The tax character of distributions as reported on the Statement of Changes in Net Assets for the years ended December 31, 2024 and 2023, was as follows:
As of December 31, 2024, the components of distributable earnings on a tax-basis were as follows:
Undistributed ordinary income | |
Net unrealized depreciation | |
Capital loss carryforwards | |
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At December 31, 2024, the cost of investments for federal tax purposes was $966,495,764. The net unrealized depreciation of investments for federal tax purposes was $50,234,237. This consists of unrealized appreciation from investments for those securities having an excess of value over cost of $9,090,940 and unrealized depreciation from investments for those securities having an excess of cost over value of $59,325,177. The difference between book-basis and tax-basis net unrealized depreciation is attributable to differing treatments for wash sales, defaulted securities and discount accretion/premium amortization on debt securities.
As of December 31, 2024, the Fund had a capital loss carryforward of $195,320,663 which will reduce the Fund’s taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code, thereby reducing the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. Pursuant to the Code, these net capital losses retain their character as either short-term or long-term and do not expire.
The following schedule summarizes the Fund’s capital loss carryforwards:
The Fund used capital loss carryforwards of $511,264 to offset capital gains realized during the year ended December 31, 2024.
5. INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The Adviser, subject to the direction of the Trustees, provides investment adviser services at no fee, because all investors in the Fund are other Federated Hermes Funds, insurance company separate accounts, common or commingled trust funds or similar organizations or entities that are “accredited investors” within the meaning of Regulation D of the 1933 Act. The Fund pays operating expenses associated with the operation and maintenance of the Fund (excluding fees and expenses that may be charged by the Adviser and its affiliates). Although not contractually obligated to do so, the Adviser intends to voluntarily reimburse operating expenses (excluding extraordinary expenses and proxy-related expenses paid by the Fund, if any) such that the Fund will only bear such expenses in an amount of up to 0.15% of the Fund’s average daily net assets. The Adviser can modify or terminate this voluntary reimbursement at any time at its sole discretion.
Federated Administrative Services (FAS), under the Administrative Services Agreement, provides the Fund with administrative personnel and services. FAS does not charge the Fund a fee but is entitled to certain out-of-pocket expenses.
Directors’/Trustees’ and Miscellaneous Fees
Certain Officers and Trustees of the Fund are Officers and Directors or Trustees of certain of the above companies. To efficiently facilitate payment, Independent Directors’/Trustees’ fees and certain expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses are paid by an affiliate of the Adviser which in due course are reimbursed by the Fund. These expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses may be included in Accrued and Miscellaneous Expenses on the Statement of Assets and Liabilities and Statement of Operations, respectively.
Annual Financial Statements and Additional Information
Affiliated Shares of Beneficial Interest
As of December 31, 2024, a majority of the shares of beneficial interest outstanding are owned by other affiliated investment companies.
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding long-term U.S. government securities and short-term obligations, for the year ended December 31, 2024, were as follows:
The Fund participates with certain other Federated Hermes Funds, on a several basis, in an up to $500,000,000 unsecured, 364-day, committed, revolving line of credit (LOC) agreement dated June 18, 2024. The LOC was made available to temporarily finance the repurchase or redemption of shares of the Fund, failed trades, payment of dividends, settlement of trades and for other short-term, temporary or emergency general business purposes. The Fund cannot borrow under the LOC if an inter-fund loan is outstanding. The Fund’s ability to borrow under the LOC also is subject to the limitations of the Act and various conditions precedent that must be satisfied before the Fund can borrow. Loans under the LOC are charged interest at a fluctuating rate per annum equal to (a) the highest, on any day, of (i) the federal funds effective rate, (ii) the published secured overnight financing rate plus an assigned percentage, and (iii) 0.0%, plus (b) a margin. Any fund eligible to borrow under the LOC pays its pro rata share of a commitment fee based on the amount of the lenders’ commitment that has not been utilized, quarterly in arrears and at maturity. As of December 31, 2024, the Fund had no outstanding loans. During the year ended December 31, 2024, the Fund did not utilize the LOC.
Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other funds advised by subsidiaries of Federated Hermes, Inc., may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from other participating affiliated funds. As of December 31, 2024, there were no outstanding loans. During the year ended December 31, 2024, the program was not utilized.
In this reporting period, the Fund adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures. Adoption of the new standard impacted financial statement disclosures only and did not affect the Fund’s financial position or the results of its operations. An operating segment is defined as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (CODM) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. A management committee of the Adviser acts as the CODM. The Fund represents a single operating segment, as the CODM monitors the operating results of the Fund as a whole and the strategic asset allocation is determined based on the investment objective of the Fund and executed by the Fund’s portfolio management team. The financial information in the form of the Fund’s portfolio composition, total returns, expense ratios and changes in net assets (i.e., changes in net assets resulting from operations, subscriptions and redemptions) which is reviewed by the CODM to assess the Fund’s performance in comparison to the Fund’s benchmarks and to make resource allocation decisions for the Fund’s single segment is consistent with the information presented in these financial statements. Segment assets are reflected on the accompanying Statement of Assets and Liabilities as “total assets” and significant segment expenses are listed on the accompanying Statement of Operations.
Under the Fund’s organizational documents, its Officers and Directors/Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund (other than liabilities arising out of their willful misfeasance, bad faith, gross negligence or reckless disregard of their duties to the Fund). In addition, in the normal course of business, the Fund provides certain indemnifications under arrangements with third parties. Typically, obligations to indemnify a third party arise in the context of an arrangement entered into by the Fund under which the Fund agrees to indemnify such third party for certain liabilities arising out of actions taken pursuant to the arrangement, provided the third party’s actions are not deemed to have breached an agreed-upon standard of care (such as willful misfeasance, bad faith, gross negligence or reckless disregard of their duties under the contract). The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet arisen. The Fund does not anticipate any material claims or losses pursuant to these arrangements at this time, and accordingly expects the risk of loss to be remote.
11. FEDERAL TAX INFORMATION (UNAUDITED)
For the fiscal year ended December 31, 2024, 86.7% of dividends paid by the Fund are interest related dividends, as provided by the American Jobs Creation Act of 2004. 99.3% of total ordinary income distributions qualified as business interest income for purposes of 163(j) and the regulations thereunder.
Annual Financial Statements and Additional Information
Report of Independent Registered Public Accounting Firm
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF HIGH YIELD BOND CORE FUND:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of High Yield Bond Core Fund (the “Fund”) (one of the portfolios constituting Federated Hermes Core Trust (the “Trust”)) including the portfolio of investments, as of December 31, 2024, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the portfolios constituting Federated Hermes Core Trust) at December 31, 2024, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and in accordance with the relevant ethical requirements relating to our audits.
We conducted our audits in accordance with the auditing standards of the PCAOB and in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2024, by correspondence with the custodian, brokers, and others; when replies were not received from brokers or others, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. 
We have served as the auditor of one or more Federated Hermes investment companies since 1979.
Boston, Massachusetts
February 24, 2025
Annual Financial Statements and Additional Information
Shareholder Meeting Results (unaudited)
At a Special Meeting held on October 25, 2024, shareholders of the Federated Hermes Core Trust (the “Trust”) elected Trustees of the Trust. Shareholders of the Trust elected new individuals to serve as Trustees effective January 1, 2025, who will serve on the Board with current Trustees Messrs. J. Christopher Donahue, John B. Fisher, John G. Carson, G. Thomas Hough, Thomas M. O’Neill, John S. Walsh and Ms. Madelyn A. Reilly. Under the Trust’s Director Service Policy, Trustees Judge Maureen Lally-Green and Mr. P. Jerome Richey retired from the Board on December 31, 2024. The number of votes cast for, against or withheld, as well as the number of abstentions and broker non-votes with respect to the election of each nominee for office, is included below.
Annual Financial Statements and Additional Information
Evaluation and Approval of Advisory Contract–May 2024
High Yield Bond Core Fund (the “Fund”)
At its meetings in May 2024 (the “May Meetings”), the Fund’s Board of Trustees (the “Board”), including those Trustees who are not “interested persons” of the Fund, as defined in the Investment Company Act of 1940 (the “Independent Trustees”), reviewed and unanimously approved the continuation of the investment advisory contract between the Fund and Federated Investment Management Company (the “Adviser”) (the “Contract”) for an additional one-year term. The Board’s determination to approve the continuation of the Contract reflects the exercise of its business judgment after considering all of the information and factors believed to be relevant and appropriate on whether to approve the continuation of the existing arrangement. The information, factors and conclusions that formed the basis for the Board’s approval are summarized below.
The Board considered that the Fund is distinctive in that it is designed for the efficient management of a particular asset class and is made available for investment only to other funds (each, a “Federated Hermes Fund” and, collectively the “Federated Hermes Funds”) advised by the Adviser or its affiliates (collectively, “Federated Hermes”) and a limited number of other accredited investors.
In addition, the Board considered that the Adviser does not charge an investment advisory fee for its services, although Federated Hermes may receive compensation for managing assets invested in the Fund.
Information Received and Review Process
At the request of the Independent Trustees, the Fund’s Chief Compliance Officer (the “CCO”) furnished to the Board in advance of its May Meetings an independent written evaluation of the Fund’s management fee (the “CCO Fee Evaluation Report”). The Board considered the CCO Fee Evaluation Report, along with other information, in evaluating the reasonableness of the Fund’s management fee and in determining to approve the continuation of the Contract.
In addition to the extensive materials that comprise and accompany the CCO Fee Evaluation Report, the Board considered information specifically prepared in connection with the approval of the continuation of the Contract that was presented at the May Meetings. In this regard, in the months preceding the May Meetings, the Board requested and reviewed written responses and supporting materials prepared by Federated Hermes in response to requests posed to Federated Hermes by independent legal counsel on behalf of the Independent Trustees encompassing a wide variety of topics, including those summarized below. The Board also considered such additional matters as the Independent Trustees deemed reasonably necessary to evaluate the Contract, which included detailed information about the Fund and Federated Hermes furnished to the Board at its meetings throughout the year and in between regularly scheduled meetings on particular matters as the need arose.
The Board’s consideration of the Contract included review of materials and information covering the following matters, among others: (1) copies of the Contracts; (2) the nature, quality and extent of the advisory and other services provided to the Fund by Federated Hermes; (3) Federated Hermes’ business and operations; (4) the Adviser’s investment philosophy, personnel and processes; (5) the Fund’s investment objectives and strategies; (6) the Fund’s short-term and long-term performance - in absolute terms (both on a gross basis and net of expenses) and relative to its benchmark index; (7) the Fund’s fees and expenses, including the advisory fee and the overall expense structure of the Fund, with due regard for contractual or voluntary expense limitations (if any); (8) the financial condition of Federated Hermes; (9) the Adviser’s profitability with respect to managing the Fund; (10) distribution and sales activity for the Fund; and (11) the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities (if any).
The Board also considered judicial decisions concerning allegedly excessive investment advisory fees charged to other registered funds in evaluating the Contract. Using these judicial decisions as a guide, the Board considered several factors they deemed relevant to an adviser’s fiduciary duty with respect to its receipt of compensation from a fund, including: (1) the nature and quality of the services provided by the adviser to the fund and its shareholders, including the performance of the fund, its benchmark and comparable funds; (2) the adviser’s cost of providing the services and the profitability to the adviser of providing advisory services to the fund; (3) the extent to which the adviser may realize “economies of scale” as the fund grows larger and, if such economies of scale exist, whether they have been appropriately shared with the fund and its shareholders or the family of funds; (4) any “fall-out” benefits that accrue to the adviser because of its relationship with the fund, including research services received from brokers that execute fund trades and any fees paid to affiliates of the adviser for services rendered to the fund; (5) comparative fees and expenses, including a comparison of management fees paid to the adviser with those paid by similar funds managed by the same adviser or other advisers as well as management fees charged to institutional and other advisory clients of the same adviser for what might be viewed as like services; and (6) the extent of care, conscientiousness and independence with which the fund’s board members perform their duties and their expertise, including whether they are fully informed about all facts the board deems relevant to its consideration of the adviser’s services and fees. The Board considered that the Securities and Exchange Commission (“SEC”) disclosure requirements regarding the basis for a fund board’s approval of the fund’s
Annual Financial Statements and Additional Information
investment advisory contract generally align with the factors listed above. The Board was guided by these factors in its evaluation of the Contract to the extent it considered them to be appropriate and relevant, as discussed further below. The Board considered and weighed these factors in light of its substantial accumulated experience in governing the Fund and working with Federated Hermes on matters relating to the oversight of the other Federated Hermes Funds.
In determining to approve the continuation of the Contract, the members of the Board reviewed and evaluated information and factors they believed to be relevant and appropriate through the exercise of their reasonable business judgment. While individual members of the Board may have weighed certain factors differently, the Board’s determination to approve the continuation of the Contract was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically with respect to the continuation of the Contract. The Board recognized that its evaluation process is evolutionary and that the factors considered and emphasis placed on relevant factors may change in recognition of changing circumstances in the registered fund marketplace. The Independent Trustees were assisted throughout the evaluation process by independent legal counsel. In connection with their deliberations at the May Meetings, the Independent Trustees met separately in executive session with their independent legal counsel and without management present to review the relevant materials and consider their responsibilities under applicable laws. In addition, senior management representatives of Federated Hermes also met with the Independent Trustees and their independent legal counsel to discuss the materials and presentations furnished to the Board at the May Meetings. The Board considered the approval of the Contract for the Fund as part of its consideration of agreements for funds across the family of Federated Hermes Funds, but its approvals were made on a fund-by-fund basis.
Nature, Extent and Quality of Services
The Board considered the nature, extent and quality of the services provided to the Fund by the Adviser and the resources of Federated Hermes dedicated to the Fund. In this regard, the Board evaluated, among other things, the terms of the Contract and the full range of services provided to the Fund by Federated Hermes. The Board considered the Adviser’s personnel, investment philosophy and process, investment research capabilities and resources, trade operations capabilities, experience and performance track record. The Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Fund and evaluated Federated Hermes’ ability and experience in attracting and retaining qualified personnel to service the Fund. The Board considered the trading operations by the Adviser, including the execution of portfolio transactions and the selection of brokers for those transactions. The Board also considered the Adviser’s ability to deliver competitive investment performance for the Fund when compared to the Fund’s benchmark index, which was deemed by the Board to be a useful indicator of how the Adviser is executing the Fund’s investment program.
In addition, the Board considered the financial resources and overall reputation of Federated Hermes and its willingness to consider and make investments in personnel, infrastructure, technology, cybersecurity, business continuity planning and operational enhancements that are designed to benefit the Federated Hermes Funds. The Board noted the benefits of the previous significant acquisition of Hermes Fund Managers Limited by Federated Hermes, which has deepened Federated Hermes’ investment management expertise and capabilities and expanded its access to analytical resources related to environmental, social and governance (“ESG”) factors and issuer engagement on ESG matters where appropriate. The Board considered Federated Hermes’ oversight of the securities lending program for the Federated Hermes Funds that engage in securities lending and noted the income earned by the Federated Hermes Funds that participate in such program. In addition, the Board considered the quality of Federated Hermes’ communications with the Board and responsiveness to Board inquiries and requests made from time to time with respect to the Federated Hermes Funds. The Board also considered that Federated Hermes is responsible for providing the Federated Hermes Funds’ officers.
The Board received and evaluated information regarding Federated Hermes’ regulatory and compliance environment. The Board considered Federated Hermes’ compliance program and compliance history and reports from the CCO about Federated Hermes’ compliance with applicable laws and regulations, including responses to regulatory developments and any compliance or other issues raised by regulatory agencies. The Board also noted Federated Hermes’ support of the Federated Hermes Funds’ compliance control structure and the compliance-related resources devoted by Federated Hermes in support of the Fund’s obligations pursuant to Rule 38a-1 under the Investment Company Act of 1940, including Federated Hermes’ commitment to respond to rulemaking and other regulatory initiatives of the SEC. The Board considered Federated Hermes’ approach to internal audits and risk management with respect to the Federated Hermes Funds and its day-to-day oversight of the Federated Hermes Funds’ compliance with their investment objectives and policies as well as with applicable laws and regulations, noting that regulatory and other developments had over time led, and continue to lead, to an increase in the scope of Federated Hermes’ oversight in this regard.
In addition, the Board noted Federated Hermes’ commitment to maintaining high quality systems and expending substantial resources to prepare for and respond to ongoing changes due to the market, regulatory and control environments in which the Fund and its service providers operate.
Annual Financial Statements and Additional Information
The Board considered Federated Hermes’ efforts to provide shareholders in the Federated Hermes Funds with a comprehensive array of funds with different investment objectives, policies and strategies. The Board considered the expenses that Federated Hermes had incurred, as well as the entrepreneurial and other risks assumed by Federated Hermes, in sponsoring and providing on-going services to new funds to expand these opportunities for shareholders. The Board noted the benefits to shareholders of being part of the family of Federated Hermes Funds, which include the general right to exchange investments between the same class of shares without the incurrence of additional sales charges.
Based on these considerations, the Board concluded that it was satisfied with the nature, extent and quality of the services provided by the Adviser to the Fund.
Fund Investment Performance
The Board considered the investment performance of the Fund. In evaluating the Fund’s investment performance, the Board considered performance results in light of the Fund’s investment objective, strategies and risks. The Board considered detailed investment reports on, and the Adviser’s analysis of, the Fund’s performance over different time periods that were provided to the Board throughout the year and in connection with the May Meetings.
For the one-year, three-year and five-year periods ended December 31, 2023, the Fund outperformed its benchmark index.
Based on these considerations, the Board concluded that it had continued confidence in the Adviser’s overall capabilities to manage the Fund.
The Board considered that the Adviser does not charge an investment advisory fee to this Fund for its services. Because the Adviser does not charge the Fund an investment advisory fee, the Board noted that it did not consider fee comparisons to other registered funds or other types of clients of Federated Hermes to be relevant to its evaluation. The Board also considered the overall expense structure of the Fund, with due regard for contractual or voluntary expense limitations.
In the case of the Fund, the Board noted that Federated Hermes does not manage any other types of clients that are comparable to the Fund.
The Board received and considered profitability information furnished by Federated Hermes. The Board considered that the Adviser does not charge an investment advisory fee to the Fund and noted, therefore, that the Adviser does not profit from providing advisory services to the Fund under the Contract.
The Board also reviewed information compiled by Federated Hermes comparing its profitability information to other publicly-held fund management companies, including information regarding profitability trends over time. The Board recognized that profitability comparisons among fund management companies are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund management company is affected by numerous factors. The Board considered the CCO’s conclusion that, based on such profitability information, Federated Hermes’ profit margins did not appear to be excessive. The Board also considered the CCO’s view that Federated Hermes appeared financially sound, with the resources necessary to fulfill its obligations under its contracts with the Federated Hermes Funds.
Because of the distinctive nature of the Fund as primarily an internal product with an advisory fee of zero, the Board noted that it did not consider the assessment of whether economies of scale would be realized if the Fund were to grow to a sufficient size to be particularly relevant to its evaluation.
The Board considered information regarding the compensation and other ancillary (or “fall-out”) benefits that Federated Hermes derived from its relationships with the Federated Hermes Funds.
The Board noted that an affiliate of the Adviser is entitled to reimbursement for certain out-of-pocket expense incurred in providing administrative services to the Fund.
In connection with the Board’s governance of other Federated Hermes Funds, the Board noted that, in addition to receiving advisory fees under the Federated Hermes Funds’ investment advisory contracts, Federated Hermes’ affiliates also receive fees for providing other services to the Federated Hermes Funds under separate service contracts including for serving as the Federated Hermes Funds’ administrator and distributor. In this regard, the Board considered that certain of Federated Hermes’ affiliates provide distribution and shareholder services to the Federated Hermes Funds, for which they may be compensated through distribution and servicing fees paid pursuant to Rule 12b-1 plans or otherwise. The Board also received and considered information detailing the benefits, if any, that Federated Hermes may derive from its receipt of research services from brokers who execute portfolio trades for the Federated Hermes Funds.
Annual Financial Statements and Additional Information
Conclusions
The Board considered: (i) the CCO’s conclusion that his observations and the information accompanying the CCO Fee Evaluation Report show that the management fee for the Fund is reasonable; and (ii) the CCO’s recommendation that the Board approve the management fee. The Board noted that, under these circumstances, no changes were recommended to, and no objection was raised to the continuation of, the Contract by the CCO. The CCO also recognized that the Board’s evaluation of the Federated Hermes Funds’ advisory and sub-advisory arrangements is a continuing and ongoing process that is informed by the information that the Board requests and receives from management throughout the course of the year and, in this regard, the CCO noted certain items, and management has committed to reviewing certain items, for future reporting to the Board as the Board continues its ongoing oversight of the Federated Hermes Funds.
On the basis of the information and factors summarized above, among other information and factors deemed relevant by the Board, and the evaluation thereof, the Board, including the Independent Trustees, unanimously voted to approve the continuation of the Contract. The Board based its determination to approve the Contract on the totality of the circumstances and relevant factors and with a view of past and future long-term considerations. Not all of the factors and considerations identified above were necessarily deemed to be relevant to the Fund, nor did the Board consider any one of them to be determinative.
Annual Financial Statements and Additional Information
Mutual funds are not bank deposits or obligations, are not guaranteed by any bank and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.
This information is authorized for distribution to prospective investors only when preceded or accompanied by the Fund’s Private Offering Memorandum, which contains facts concerning its objective and policies, management fees, expenses and other information.
High Yield Bond Core Fund
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
Contact us at FederatedHermes.com/us
or call 1-800-341-7400.
Federated Securities Corp., Placement Agent
© 2025 Federated Hermes, Inc.
Annual Financial Statements
and Additional Information
Mortgage Core Fund
A Portfolio of Federated Hermes Core TrustNot FDIC Insured ▪ May Lose Value ▪ No Bank Guarantee
Portfolio of Investments
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| | MORTGAGE-BACKED SECURITIES—92.8% | |
| | Federal Home Loan Mortgage Corporation—28.6% | |
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Annual Financial Statements and Additional Information
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| | MORTGAGE-BACKED SECURITIES—continued | |
| | Federal Home Loan Mortgage Corporation—continued | |
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Annual Financial Statements and Additional Information
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| | MORTGAGE-BACKED SECURITIES—continued | |
| | Federal Home Loan Mortgage Corporation—continued | |
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Annual Financial Statements and Additional Information
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| | MORTGAGE-BACKED SECURITIES—continued | |
| | Federal Home Loan Mortgage Corporation—continued | |
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| | Federal National Mortgage Association—45.8% | |
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Annual Financial Statements and Additional Information
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| | MORTGAGE-BACKED SECURITIES—continued | |
| | Federal National Mortgage Association—continued | |
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Annual Financial Statements and Additional Information
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| | MORTGAGE-BACKED SECURITIES—continued | |
| | Federal National Mortgage Association—continued | |
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Annual Financial Statements and Additional Information
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| | MORTGAGE-BACKED SECURITIES—continued | |
| | Federal National Mortgage Association—continued | |
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Annual Financial Statements and Additional Information
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| | MORTGAGE-BACKED SECURITIES—continued | |
| | Federal National Mortgage Association—continued | |
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| | Government National Mortgage Association—6.9% | |
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Annual Financial Statements and Additional Information
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| | MORTGAGE-BACKED SECURITIES—continued | |
| | Government National Mortgage Association—continued | |
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| | Uniform Mortgage-Backed Securities, TBA—11.5% | |
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Annual Financial Statements and Additional Information
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| | MORTGAGE-BACKED SECURITIES—continued | |
| | Uniform Mortgage-Backed Securities, TBA—continued | |
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| | TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $5,731,308,336) | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS—9.7% | |
| | Federal Home Loan Mortgage Corporation—2.9% | |
| | REMIC, Series 4661, Class GF, 5.162% (30-DAY AVERAGE SOFR +0.564%), 2/15/2047 | |
| | REMIC, Series 4944, Class F, 5.133% (30-DAY AVERAGE SOFR +0.564%), 1/25/2050 | |
| | REMIC, Series 5342, Class FB, 5.133% (30-DAY AVERAGE SOFR +0.564%), 11/25/2049 | |
| | REMIC, Series 5393, Class HF, 6.274% (30-DAY AVERAGE SOFR +0.000%), 3/25/2054 | |
| | REMIC, Series 5396, Class FQ, 6.318% (30-DAY AVERAGE SOFR +0.000%), 4/25/2054 | |
| | REMIC, Series 5400, Class FA, 6.068% (30-DAY AVERAGE SOFR +0.000%), 4/25/2054 | |
| | REMIC, Series 5428, Class JF, 5.668% (30-DAY AVERAGE SOFR +1.100%), 7/25/2054 | |
| | REMIC, Series 5457, Class GF, 5.668% (30-DAY AVERAGE SOFR +1.100%), 10/25/2054 | |
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| | Federal National Mortgage Association—3.9% | |
| | REMIC, Series 2017-30, Class FA, 5.033% (30-DAY AVERAGE SOFR +0.464%), 5/25/2047 | |
| | REMIC, Series 2019-34, Class FC, 5.083% (30-DAY AVERAGE SOFR +0.514%), 7/25/2049 | |
| | REMIC, Series 2019-66, Class FA, 5.879% (30-DAY AVERAGE SOFR +0.564%), 11/25/2059 | |
| | REMIC, Series 2023-42, Class FA, 4.983% (30-DAY AVERAGE SOFR +0.414%), 10/25/2048 | |
| | REMIC, Series 2024-13, Class FA, 5.568% (30-DAY AVERAGE SOFR +1.000%), 10/25/2053 | |
| | REMIC, Series 2024-15, Class FA, 6.500% (30-DAY AVERAGE SOFR +0.000%), 4/25/2054 | |
| | REMIC, Series 2024-15, Class FB, 6.121% (30-DAY AVERAGE SOFR +0.000%), 4/25/2054 | |
| | REMIC, Series 2024-22, Class FA, 5.468% (30-DAY AVERAGE SOFR +0.900%), 5/25/2054 | |
| | REMIC, Series 2024-25, Class FA, 5.668% (30-DAY AVERAGE SOFR +1.100%), 5/25/2054 | |
| | REMIC, Series 2024-40, Class FC, 5.468% (30-DAY AVERAGE SOFR +0.900%), 5/25/2054 | |
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| | Government National Mortgage Association—1.8% | |
| | REMIC, Series 2022-175, Class FA, 5.504% (30-DAY AVERAGE SOFR +0.000%), 10/20/2052 | |
| | REMIC, Series 2023-35, Class FH, 5.154% (30-DAY AVERAGE SOFR +0.550%), 2/20/2053 | |
| | REMIC, Series 2023-111, Class FD, 5.604% (30-DAY AVERAGE SOFR +1.000%), 8/20/2053 | |
| | REMIC, Series 2023-117, Class F, 5.554% (30-DAY AVERAGE SOFR +0.950%), 5/20/2053 | |
| | REMIC, Series 2024-113, Class FJ, 5.154% (30-DAY AVERAGE SOFR +0.550%), 9/20/2053 | |
| | REMIC, Series 2024-59, Class MF, 5.704% (30-DAY AVERAGE SOFR +1.100%), 4/20/2054 | |
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| | Non-Agency Mortgage-Backed Securities—1.1% | |
| | Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 | |
| | GS Mortgage-Backed Securities Trust 2023-PJ1, Class A4, 3.500%, 2/25/2053 | |
| | JP Morgan Mortgage Trust 2022-3, Class A2, 3.000%, 8/25/2052 | |
| | JP Morgan Mortgage Trust 2022-4, Class A3, 3.000%, 10/25/2052 | |
| | JP Morgan Mortgage Trust 2022-6, Class A3, 3.000%, 11/25/2052 | |
Annual Financial Statements and Additional Information
| | | |
| | COLLATERALIZED MORTGAGE OBLIGATIONS—continued | |
| | Non-Agency Mortgage-Backed Securities—continued | |
| | Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 5.766%, 8/25/2035 | |
| | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | |
| | Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 | |
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| | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $588,520,276) | |
| | ASSET-BACKED SECURITIES—2.0% | |
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| | Ford Credit Auto Owner Trust/Ford Credit 2023-1, Class B, 5.290%, 8/15/2035 | |
| | Single Family Rental Securities—1.3% | |
| | Home Partners of America Trust 2022-1, Class B, 4.330%, 4/17/2039 | |
| | Progress Residential Trust 2022-SFR1, Class E1, 3.930%, 2/17/2041 | |
| | Progress Residential Trust 2022-SFR2, Class D, 3.945%, 4/17/2027 | |
| | Progress Residential Trust 2022-SFR4, Class B, 4.788%, 5/17/2041 | |
| | Progress Residential Trust 2023-SFR2, Class D, 4.500%, 10/17/2040 | |
| | Progress Residential Trust 2023-SFR2, Class E1, 4.750%, 10/17/2040 | |
| | Progress Residential Trust 2024-SFR1, Class D, 3.750%, 2/17/2041 | |
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| | Navient Student Loan Trust 2020-FA, Class A, 1.220%, 7/15/2069 | |
| | Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 | |
| | Navient Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 | |
| | SMB Private Education Loan Trust 2018-A, Class A2B, 5.311% (CME Term SOFR 1 Month +0.914%), 2/15/2036 | |
| | SMB Private Education Loan Trust 2020-BA, Class A1B, 5.611% (CME Term SOFR 1 Month +1.214%), 7/15/2053 | |
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| | TOTAL ASSET-BACKED SECURITIES
(IDENTIFIED COST $121,995,341) | |
| | AGENCY RISK TRANSFER SECURITIES—0.2% | |
| | FHLMC - STACR 2023-DNA1, Series 2023-DNA, Class M1A, 6.660% (30-DAY AVERAGE SOFR +2.100%), 3/25/2043 | |
| | FNMA - CAS 2023-R05, Series 2023-R05, Class 1M2, 7.660% (30-DAY AVERAGE SOFR +3.100%), 6/25/2043 | |
| | TOTAL AGENCY RISK TRANSFER SECURITIES
(IDENTIFIED COST $12,654,130) | |
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| | Federated Hermes Government Obligations Fund, Premier Shares, 4.40%3 (IDENTIFIED COST $411,777,353) | |
| | TOTAL INVESTMENT IN SECURITIES—111.5%
(IDENTIFIED COST $6,866,255,436)4 | |
| | OTHER ASSETS AND LIABILITIES - NET—(11.5)%5 | |
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Annual Financial Statements and Additional Information
At December 31, 2024, the Fund had the following outstanding futures contracts:
| | | | Value and
Unrealized
Appreciation
(Depreciation) |
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United States Treasury Notes 2-Year Long Futures | | | | |
United States Treasury Notes 5-Year Long Futures | | | | |
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United States Treasury Notes Long Bond Short Futures | | | | |
United States Treasury Notes 10-Year Ultra Short Futures | | | | |
United States Treasury Notes Ultra Bond Short Futures | | | | |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | |
Net Unrealized Appreciation on Futures Contracts is included in “Other Assets and Liabilities—Net.”
Transactions with affiliated investment companies, which are funds managed by the Adviser or an affiliate of the Adviser, during the period ended December 31, 2024, were as follows:
| Federated Hermes
Government
Obligations Fund,
Premier Shares |
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Change in Unrealized Appreciation/Depreciation | |
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Shares Held as of 12/31/2024 | |
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| All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
| Floating/variable note with current rate and current maturity or next reset date shown. |
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| The cost of investments for federal tax purposes amounts to $6,857,470,802. |
| Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. A significant portion of this balance is the result of dollar-roll transactions as of December 31, 2024. |
Note: The categories of investments are shown as a percentage of total net assets at December 31, 2024.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
Annual Financial Statements and Additional Information
The following is a summary of the inputs used, as of December 31, 2024, in valuing the Fund’s assets carried at fair value:
|
| | Level 2—
Other
Significant
Observable
Inputs | Level 3—
Significant
Unobservable
Inputs | |
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Mortgage-Backed Securities | | | | |
Collateralized Mortgage Obligations | | | | |
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Agency Risk Transfer Securities | | | | |
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Other Financial Instruments:1 | | | | |
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TOTAL OTHER FINANCIAL INSTRUMENTS | | | | |
| Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | |
| —Connecticut Avenue Securities |
| —Federal Home Loan Mortgage Corporation |
| —Federal National Mortgage Association |
| —Real Estate Mortgage Investment Conduit |
| —Secured Overnight Financing Rate |
| —Structured Agency Credit Risk |
See Notes which are an integral part of the Financial Statements
Annual Financial Statements and Additional Information
Financial Highlights
(For a Share Outstanding Throughout Each Period)
| |
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Net Asset Value, Beginning of Period | | | | | |
Income From Investment Operations: | | | | | |
Net investment income (loss)1 | | | | | |
Net realized and unrealized gain (loss) | | | | | |
TOTAL FROM INVESTMENT OPERATIONS | | | | | |
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Distributions from net investment income | | | | | |
Net Asset Value, End of Period | | | | | |
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Ratios to Average Net Assets: | | | | | |
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Expense waiver/reimbursement | | | | | |
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Net assets, end of period (000 omitted) | | | | | |
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Portfolio turnover (excluding purchases and sales from dollar-roll transactions)4 | | | | | |
| Per share numbers have been calculated using the average shares method. |
| Based on net asset value. |
| Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
| Securities that mature are considered sales for purposes of this calculation. |
See Notes which are an integral part of the Financial Statements
Annual Financial Statements and Additional Information
Statement of Assets and LiabilitiesDecember 31, 2024
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Investment in securities, at value including $411,777,353 of investments in affiliated holdings* (identified cost $6,866,255,436, including $411,777,353 of identified cost in affiliated holdings) | |
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Income receivable from affiliated holdings | |
Receivable for variation margin on futures contracts | |
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Payable for investments purchased | |
Income distribution payable | |
Payable for Directors’/Trustees’ fees (Note 5) | |
Accrued expenses (Note 5) | |
| |
Net assets for 741,109,630 shares outstanding | |
| |
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Total distributable earnings (loss) | |
| |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$6,062,578,955 ÷ 741,109,630 shares outstanding, no par value, unlimited shares authorized | |
| See information listed after the Fund’s Portfolio of Investments. |
See Notes which are an integral part of the Financial Statements
Annual Financial Statements and Additional Information
Statement of OperationsYear Ended December 31, 2024
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Dividends received from affiliated holdings* | |
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Administrative fee (Note 5) | |
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Directors’/Trustees’ fees (Note 5) | |
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Portfolio accounting fees | |
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Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net realized loss on investments | |
Net realized gain on futures contracts | |
Net change in unrealized appreciation of investments | |
Net change in unrealized appreciation of futures contracts | |
Net realized and unrealized gain (loss) on investments and futures contracts | |
Change in net assets resulting from operations | |
| See information listed after the Fund’s Portfolio of Investments. |
See Notes which are an integral part of the Financial Statements
Annual Financial Statements and Additional Information
Statement of Changes in Net Assets
| | |
Increase (Decrease) in Net Assets | | |
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Net change in unrealized appreciation/depreciation | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | |
Distributions to Shareholders | | |
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Proceeds from sale of shares | | |
Net asset value of shares issued to shareholders in payment of distributions declared | | |
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CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | | |
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See Notes which are an integral part of the Financial Statements
Annual Financial Statements and Additional Information
Notes to Financial Statements
Federated Hermes Core Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust consists of four portfolios. The financial statements included herein are only those of Mortgage Core Fund (the “Fund”), a diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder’s interest is limited to the portfolio in which shares are held. Each portfolio pays its own expenses. The investment objective of the Fund is to provide total return. The Fund is an investment vehicle used by other Federated Hermes funds that invest some of their assets in mortgage-backed securities. Currently, shares of the Fund are being offered for investment only to investment companies, insurance company separate accounts, common or commingled trust funds or similar organizations or parties that are “accredited investors” within the meaning of Regulation D of the Securities Act of 1933, as amended (the “1933 Act”).
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles (GAAP).
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■
Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by Federated Investment Management Company (the “Adviser”).
■
Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs, or NAV per share practical expedient, as applicable.
■
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 ask quotations.
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Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Adviser.
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For securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, 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.
If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Adviser’s valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion of the Adviser’s valuation committee (“Valuation Committee”), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.
Fair Valuation Procedures
Pursuant to Rule 2a-5 under the Act, the Fund’s Board of Trustees (the “Trustees”) has designated the Adviser as the Fund’s valuation designee to perform any fair value determinations for securities and other assets held by the Fund. The Adviser is subject to the Trustees’ oversight and certain reporting and other requirements intended to provide the Trustees the information needed to oversee the Adviser’s fair value determinations.
The Adviser, acting through its Valuation Committee, is responsible for determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of the Adviser and certain of the Adviser’s affiliated companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is also authorized to use pricing services to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services’ policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Adviser. The Trustees periodically review the fair valuations made by the Valuation Committee. The Trustees have also approved the Adviser’s fair valuation and significant events procedures as part of the Fund’s compliance program and will review any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between
Annual Financial Statements and Additional Information
the prices bid and ask for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Adviser.
The Fund may invest in repurchase agreements for short-term liquidity purposes. It is the policy of the Fund to require the other party to a repurchase agreement to transfer to the Fund’s custodian or sub-custodian eligible securities or cash with a market value (after transaction costs) at least equal to the repurchase price to be paid under the repurchase agreement. The eligible securities are transferred to accounts with the custodian or sub-custodian in which the Fund holds a “securities entitlement” and exercises “control” as those terms are defined in the Uniform Commercial Code. The Fund has established procedures for monitoring the market value of the transferred securities and requiring the transfer of additional eligible securities if necessary to equal at least the repurchase price. These procedures also allow the other party to require securities to be transferred from the account to the extent that their market value exceeds the repurchase price or in exchange for other eligible securities of equivalent market value.
The insolvency of the other party or other failure to repurchase the securities may delay the disposition of the underlying securities or cause the Fund to receive less than the full repurchase price. Under the terms of the repurchase agreement, any amounts received by the Fund in excess of the repurchase price and related transaction costs must be remitted to the other party.
The Fund may enter into repurchase agreements in which eligible securities are transferred into joint trading accounts maintained by the custodian or sub-custodian for investment companies and other clients advised by the Fund’s Adviser and its affiliates. The Fund will participate on a pro rata basis with the other investment companies and clients in its share of the securities transferred under such repurchase agreements and in its share of proceeds from any repurchase or other disposition of such securities.
Investment Income, Gains and Losses, Expenses and Distributions
Investment transactions are accounted for on a trade-date basis. Realized gains and losses from investment transactions are recorded on an identified-cost basis. Interest income and expenses are accrued daily. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions of net investment income, if any, are declared daily and paid monthly. In addition, distributions of capital gains, if any, are declared and paid at least annually. Non-cash dividends included in dividend income, if any, are recorded at fair value. Amortization/accretion of premium and discount is included in investment income. Gains and losses realized on principal payment of mortgage-backed securities (paydown gains and losses) are classified as part of investment income.
It is the Fund’s policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986 (the “Code”) and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal income tax is necessary. As of and during the year ended December 31, 2024, the Fund did not have a liability for any uncertain tax positions. The Fund recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2024, tax years 2021 through 2024 remain subject to examination by the Fund’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
When-Issued and Delayed-Delivery Transactions
The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
The Fund may transact in To Be Announced Securities (TBAs). As with other delayed-delivery transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Fund records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked to market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Fund.
The Fund engages in dollar-roll transactions in which the Fund sells mortgage-backed securities with a commitment to buy similar (same type, coupon and maturity), but not identical mortgage-backed securities on a future date. Both securities involved are TBA mortgage-backed securities. The Fund treats dollar-roll transactions as purchases and sales. Dollar-rolls are subject to interest rate risks and credit risks.
The Fund purchases and sells financial futures contracts to manage duration and sector/asset class risks. Upon entering into a financial futures contract with a broker, the Fund is required to deposit with a broker, either U.S. government securities or a specified amount of cash, which is shown as due from broker in the Statement of Assets and Liabilities. Futures contracts are valued daily and unrealized gains or losses are recorded in a “variation margin” account. The Fund receives from or pays to the broker a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Fund recognizes a realized gain or loss. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with the changes in the value of the underlying securities. There is minimal counterparty risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default.
Annual Financial Statements and Additional Information
Futures contracts outstanding at period end are listed after the Fund’s Portfolio of Investments.
The average notional value of long and short futures contracts held by the Fund throughout the period was $367,542,337 and $101,209,826, respectively. This is based on amounts held as of each month-end throughout the fiscal period.
The Fund may purchase securities which are considered restricted. Restricted securities are securities that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the 1933 Act; or (b) are subject to contractual restrictions on public sales. In some cases, when a security cannot be offered for public sale without first being registered, the issuer of the restricted security has agreed to register such securities for resale, at the issuer’s expense, either upon demand by the Fund or in connection with another registered offering of the securities. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. Restricted securities may be determined to be liquid under criteria established by the Trustees. The Fund will not incur any registration costs upon such resales. The Fund’s restricted securities, like other securities, are priced in accordance with procedures established by and under the general supervision of the Adviser.
Additional Disclosure Related to Derivative Instruments
Fair Value of Derivative Instruments |
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| Statement of
Assets and
Liabilities
Location | |
Derivatives not accounted for as hedging
instruments under ASC Topic 815 | | |
| Receivable for variation
margin on futures contracts | |
| 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. |
The Effect of Derivative Instruments on the Statement of Operations for the Year Ended December 31, 2024
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
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Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
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The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ materially from those estimated. The Fund applies investment company accounting and reporting guidance.
3. SHARES OF BENEFICIAL INTEREST
The following table summarizes share activity:
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Shares issued to shareholders in payment of distributions declared | | |
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NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | | |
Annual Financial Statements and Additional Information
4. FEDERAL TAX INFORMATION
The tax character of distributions as reported on the Statement of Changes in Net Assets for the years ended December 31, 2024 and 2023, was as follows:
As of December 31, 2024, the components of distributable earnings on a tax-basis were as follows:
Undistributed ordinary income | |
Net unrealized depreciation | |
Capital loss carryforwards | |
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At December 31, 2024, the cost of investments for federal tax purposes was $6,857,470,802. The net unrealized depreciation of investments for federal tax purposes was $96,509,088. This consists of unrealized appreciation from investments for those securities having an excess of value over cost of $25,186,240 and unrealized depreciation from investments for those securities having an excess of cost over value of $121,695,328. The amounts presented are inclusive of derivative contracts. The difference between book-basis and tax-basis net unrealized depreciation is attributable to differing treatments for dollar-roll transactions and mark-to-market on futures contracts.
As of December 31, 2024, the Fund had a capital loss carryforward of $501,612,809 which will reduce the Fund’s taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code, thereby reducing the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. Pursuant to the Code, these net capital losses retain their character as either short-term or long-term and do not expire.
The following schedule summarizes the Fund’s capital loss carryforwards:
5. INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The Adviser, subject to the direction of the Trustees, provides investment adviser services at no fee, because all investors in the Fund are other Federated Hermes Funds, insurance company separate accounts, common or commingled trust funds or similar organizations or entities that are “accredited investors” within the meaning of Regulation D of the 1933 Act. The Fund pays operating expenses associated with the operation and maintenance of the Fund (excluding fees and expenses that may be charged by the Adviser and its affiliates). Although not contractually obligated to do so, the Adviser intends to voluntarily reimburse operating expenses (excluding extraordinary expenses and proxy-related expenses paid by the Fund, if any) such that the Fund will only bear such expenses in an amount of up to 0.15% of the Fund’s average daily net assets. The Adviser can modify or terminate this voluntary reimbursement at any time at its sole discretion.
Federated Administrative Services (FAS), under the Administrative Services Agreement, provides the Fund with administrative personnel and services. FAS does not charge the Fund a fee but is entitled to reimbursement for certain out-of-pocket expenses.
Directors’/Trustees’ and Miscellaneous Fees
Certain Officers and Trustees of the Fund are Officers and Directors or Trustees of certain of the above companies. To efficiently facilitate payment, Independent Directors’/Trustees’ fees and certain expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses are paid by an affiliate of the Adviser which in due course are reimbursed by the Fund. These expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses may be included in Accrued and Miscellaneous Expenses on the Statement of Assets and Liabilities and Statement of Operations, respectively.
Affiliated Shares of Beneficial Interest
As of December 31, 2024, a majority of the shares of beneficial interest outstanding are owned by other affiliated investment companies.
6. INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding long-term U.S. government securities and short-term obligations, for the year ended December 31, 2024, were as follows:
Annual Financial Statements and Additional Information
7. CREDIT RISK
The Fund may place its cash on deposit with financial institutions in the United States, which are insured by the Federal Deposit Insurance Company (“FDIC”) up to $250,000. The Fund’s credit risk in the event of failure of these financial institutions is represented by the difference between the FDIC limit and the total amounts on deposit. The Fund from time to time may have amounts on deposit in excess of the insured limits.
The Fund participates with certain other Federated Hermes Funds, on a several basis, in an up to $500,000,000 unsecured, 364-day, committed, revolving line of credit (LOC) agreement dated June 18, 2024. The LOC was made available to temporarily finance the repurchase or redemption of shares of the Fund, failed trades, payment of dividends, settlement of trades and for other short-term, temporary or emergency general business purposes. The Fund cannot borrow under the LOC if an inter-fund loan is outstanding. The Fund’s ability to borrow under the LOC also is subject to the limitations of the Act and various conditions precedent that must be satisfied before the Fund can borrow. Loans under the LOC are charged interest at a fluctuating rate per annum equal to (a) the highest, on any day, of (i) the federal funds effective rate, (ii) the published secured overnight financing rate plus an assigned percentage, and (iii) 0.0%, plus (b) a margin. Any fund eligible to borrow under the LOC pays its pro rata share of a commitment fee based on the amount of the lenders’ commitment that has not been utilized, quarterly in arrears and at maturity. As of December 31, 2024, the Fund had no outstanding loans. During the year ended December 31, 2024, the Fund did not utilize the LOC.
Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other funds advised by subsidiaries of Federated Hermes, Inc., may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from other participating affiliated funds. As of December 31, 2024, there were no outstanding loans. During the year ended December 31, 2024, the program was not utilized.
In this reporting period, the Fund adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures. Adoption of the new standard impacted financial statement disclosures only and did not affect the Fund’s financial position or the results of its operations. An operating segment is defined as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (CODM) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. A management committee of the Adviser acts as the CODM. The Fund represents a single operating segment, as the CODM monitors the operating results of the Fund as a whole and the strategic asset allocation is determined based on the investment objective of the Fund and executed by the Fund’s portfolio management team. The financial information in the form of the Fund’s portfolio composition, total returns, expense ratios and changes in net assets (i.e., changes in net assets resulting from operations, subscriptions and redemptions) which is reviewed by the CODM to assess the Fund’s performance in comparison to the Fund’s benchmarks and to make resource allocation decisions for the Fund’s single segment is consistent with the information presented in these financial statements. Segment assets are reflected on the accompanying Statement of Assets and Liabilities as “total assets” and significant segment expenses are listed on the accompanying Statement of Operations.
Under the Fund’s organizational documents, its Officers and Directors/Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund (other than liabilities arising out of their willful misfeasance, bad faith, gross negligence or reckless disregard of their duties to the Fund). In addition, in the normal course of business, the Fund provides certain indemnifications under arrangements with third parties. Typically, obligations to indemnify a third party arise in the context of an arrangement entered into by the Fund under which the Fund agrees to indemnify such third party for certain liabilities arising out of actions taken pursuant to the arrangement, provided the third party’s actions are not deemed to have breached an agreed-upon standard of care (such as willful misfeasance, bad faith, gross negligence or reckless disregard of their duties under the contract). The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet arisen. The Fund does not anticipate any material claims or losses pursuant to these arrangements at this time, and accordingly expects the risk of loss to be remote.
12. FEDERAL TAX INFORMATION (UNAUDITED)
100% of total ordinary income distributions qualified as business interest income for purposes of 163(j) and the regulations thereunder.
Annual Financial Statements and Additional Information
Report of Independent Registered Public Accounting Firm
TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF mortgage core Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Mortgage Core Fund (the “Fund”) (one of the portfolios constituting Federated Hermes Core Trust (the “Trust”)), including the portfolio of investments, as of December 31, 2024, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the portfolios constituting Federated Hermes Core Trust) at December 31, 2024, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and in accordance with the relevant ethical requirements relating to our audits.
We conducted our audits in accordance with the auditing standards of the PCAOB and in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2024, by correspondence with the custodian, brokers, and others; when replies were not received from brokers or others, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. We have served as the auditor of one or more Federated Hermes investment companies since 1979.
Boston, Massachusetts
February 24, 2025
Annual Financial Statements and Additional Information
Shareholder Meeting Results (unaudited)
At a Special Meeting held on October 25, 2024, shareholders of the Federated Hermes Core Trust (the “Trust”) elected Trustees of the Trust. Shareholders of the Trust elected new individuals to serve as Trustees effective January 1, 2025, who will serve on the Board with current Trustees Messrs. J. Christopher Donahue, John B. Fisher, John G. Carson, G. Thomas Hough, Thomas M. O’Neill, John S. Walsh and Ms. Madelyn A. Reilly. Under the Trust’s Director Service Policy, Trustees Judge Maureen Lally-Green and Mr. P. Jerome Richey retired from the Board on December 31, 2024. The number of votes cast for, against or withheld, as well as the number of abstentions and broker non-votes with respect to the election of each nominee for office, is included below.
Annual Financial Statements and Additional Information
Evaluation and Approval of Advisory Contract–May 2024
Mortgage Core Fund (the “Fund”)
At its meetings in May 2024 (the “May Meetings”), the Fund’s Board of Trustees (the “Board”), including those Trustees who are not “interested persons” of the Fund, as defined in the Investment Company Act of 1940 (the “Independent Trustees”), reviewed and unanimously approved the continuation of the investment advisory contract between the Fund and Federated Investment Management Company (the “Adviser”) (the “Contract”) for an additional one-year term. The Board’s determination to approve the continuation of the Contract reflects the exercise of its business judgment after considering all of the information and factors believed to be relevant and appropriate on whether to approve the continuation of the existing arrangement. The information, factors and conclusions that formed the basis for the Board’s approval are summarized below.
The Board considered that the Fund is distinctive in that it is designed for the efficient management of a particular asset class and is made available for investment only to other funds (each, a “Federated Hermes Fund” and, collectively the “Federated Hermes Funds”) advised by the Adviser or its affiliates (collectively, “Federated Hermes”) and a limited number of other accredited investors.
In addition, the Board considered that the Adviser does not charge an investment advisory fee for its services, although Federated Hermes may receive compensation for managing assets invested in the Fund.
Information Received and Review Process
At the request of the Independent Trustees, the Fund’s Chief Compliance Officer (the “CCO”) furnished to the Board in advance of its May Meetings an independent written evaluation of the Fund’s management fee (the “CCO Fee Evaluation Report”). The Board considered the CCO Fee Evaluation Report, along with other information, in evaluating the reasonableness of the Fund’s management fee and in determining to approve the continuation of the Contract.
In addition to the extensive materials that comprise and accompany the CCO Fee Evaluation Report, the Board considered information specifically prepared in connection with the approval of the continuation of the Contract that was presented at the May Meetings. In this regard, in the months preceding the May Meetings, the Board requested and reviewed written responses and supporting materials prepared by Federated Hermes in response to requests posed to Federated Hermes by independent legal counsel on behalf of the Independent Trustees encompassing a wide variety of topics, including those summarized below. The Board also considered such additional matters as the Independent Trustees deemed reasonably necessary to evaluate the Contract, which included detailed information about the Fund and Federated Hermes furnished to the Board at its meetings throughout the year and in between regularly scheduled meetings on particular matters as the need arose.
The Board’s consideration of the Contract included review of materials and information covering the following matters, among others: (1) copies of the Contracts; (2) the nature, quality and extent of the advisory and other services provided to the Fund by Federated Hermes; (3) Federated Hermes’ business and operations; (4) the Adviser’s investment philosophy, personnel and processes; (5) the Fund’s investment objectives and strategies; (6) the Fund’s short-term and long-term performance - in absolute terms (both on a gross basis and net of expenses) and relative to its benchmark index; (7) the Fund’s fees and expenses, including the advisory fee and the overall expense structure of the Fund, with due regard for contractual or voluntary expense limitations (if any); (8) the financial condition of Federated Hermes; (9) the Adviser’s profitability with respect to managing the Fund; (10) distribution and sales activity for the Fund; and (11) the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities (if any).
The Board also considered judicial decisions concerning allegedly excessive investment advisory fees charged to other registered funds in evaluating the Contract. Using these judicial decisions as a guide, the Board considered several factors they deemed relevant to an adviser’s fiduciary duty with respect to its receipt of compensation from a fund, including: (1) the nature and quality of the services provided by the adviser to the fund and its shareholders, including the performance of the fund, its benchmark and comparable funds; (2) the adviser’s cost of providing the services and the profitability to the adviser of providing advisory services to the fund; (3) the extent to which the adviser may realize “economies of scale” as the fund grows larger and, if such economies of scale exist, whether they have been appropriately shared with the fund and its shareholders or the family of funds; (4) any “fall-out” benefits that accrue to the adviser because of its relationship with the fund, including research services received from brokers that execute fund trades and any fees paid to affiliates of the adviser for services rendered to the fund; (5) comparative fees and expenses, including a comparison of management fees paid to the adviser with those paid by similar funds managed by the same adviser or other advisers as well as management fees charged to institutional and other advisory clients of the same adviser for what might be viewed as like services; and (6) the extent of care, conscientiousness and independence with which the fund’s board members perform their duties and their expertise, including whether they are fully informed about all facts the board deems relevant to its consideration of the adviser’s services and fees. The Board considered that the Securities and Exchange Commission (“SEC”) disclosure requirements regarding the basis for a fund board’s approval of the fund’s
Annual Financial Statements and Additional Information
investment advisory contract generally align with the factors listed above. The Board was guided by these factors in its evaluation of the Contract to the extent it considered them to be appropriate and relevant, as discussed further below. The Board considered and weighed these factors in light of its substantial accumulated experience in governing the Fund and working with Federated Hermes on matters relating to the oversight of the other Federated Hermes Funds.
In determining to approve the continuation of the Contract, the members of the Board reviewed and evaluated information and factors they believed to be relevant and appropriate through the exercise of their reasonable business judgment. While individual members of the Board may have weighed certain factors differently, the Board’s determination to approve the continuation of the Contract was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically with respect to the continuation of the Contract. The Board recognized that its evaluation process is evolutionary and that the factors considered and emphasis placed on relevant factors may change in recognition of changing circumstances in the registered fund marketplace. The Independent Trustees were assisted throughout the evaluation process by independent legal counsel. In connection with their deliberations at the May Meetings, the Independent Trustees met separately in executive session with their independent legal counsel and without management present to review the relevant materials and consider their responsibilities under applicable laws. In addition, senior management representatives of Federated Hermes also met with the Independent Trustees and their independent legal counsel to discuss the materials and presentations furnished to the Board at the May Meetings. The Board considered the approval of the Contract for the Fund as part of its consideration of agreements for funds across the family of Federated Hermes Funds, but its approvals were made on a fund-by-fund basis.
Nature, Extent and Quality of Services
The Board considered the nature, extent and quality of the services provided to the Fund by the Adviser and the resources of Federated Hermes dedicated to the Fund. In this regard, the Board evaluated, among other things, the terms of the Contract and the full range of services provided to the Fund by Federated Hermes. The Board considered the Adviser’s personnel, investment philosophy and process, investment research capabilities and resources, trade operations capabilities, experience and performance track record. The Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Fund and evaluated Federated Hermes’ ability and experience in attracting and retaining qualified personnel to service the Fund. The Board considered the trading operations by the Adviser, including the execution of portfolio transactions and the selection of brokers for those transactions. The Board also considered the Adviser’s ability to deliver competitive investment performance for the Fund when compared to the Fund’s benchmark index, which was deemed by the Board to be a useful indicator of how the Adviser is executing the Fund’s investment program.
In addition, the Board considered the financial resources and overall reputation of Federated Hermes and its willingness to consider and make investments in personnel, infrastructure, technology, cybersecurity, business continuity planning and operational enhancements that are designed to benefit the Federated Hermes Funds. The Board noted the benefits of the previous significant acquisition of Hermes Fund Managers Limited by Federated Hermes, which has deepened Federated Hermes’ investment management expertise and capabilities and expanded its access to analytical resources related to environmental, social and governance (“ESG”) factors and issuer engagement on ESG matters where appropriate. The Board considered Federated Hermes’ oversight of the securities lending program for the Federated Hermes Funds that engage in securities lending and noted the income earned by the Federated Hermes Funds that participate in such program. In addition, the Board considered the quality of Federated Hermes’ communications with the Board and responsiveness to Board inquiries and requests made from time to time with respect to the Federated Hermes Funds. The Board also considered that Federated Hermes is responsible for providing the Federated Hermes Funds’ officers.
The Board received and evaluated information regarding Federated Hermes’ regulatory and compliance environment. The Board considered Federated Hermes’ compliance program and compliance history and reports from the CCO about Federated Hermes’ compliance with applicable laws and regulations, including responses to regulatory developments and any compliance or other issues raised by regulatory agencies. The Board also noted Federated Hermes’ support of the Federated Hermes Funds’ compliance control structure and the compliance-related resources devoted by Federated Hermes in support of the Fund’s obligations pursuant to Rule 38a-1 under the Investment Company Act of 1940, including Federated Hermes’ commitment to respond to rulemaking and other regulatory initiatives of the SEC. The Board considered Federated Hermes’ approach to internal audits and risk management with respect to the Federated Hermes Funds and its day-to-day oversight of the Federated Hermes Funds’ compliance with their investment objectives and policies as well as with applicable laws and regulations, noting that regulatory and other developments had over time led, and continue to lead, to an increase in the scope of Federated Hermes’ oversight in this regard.
In addition, the Board noted Federated Hermes’ commitment to maintaining high quality systems and expending substantial resources to prepare for and respond to ongoing changes due to the market, regulatory and control environments in which the Fund and its service providers operate.
Annual Financial Statements and Additional Information
The Board considered Federated Hermes’ efforts to provide shareholders in the Federated Hermes Funds with a comprehensive array of funds with different investment objectives, policies and strategies. The Board considered the expenses that Federated Hermes had incurred, as well as the entrepreneurial and other risks assumed by Federated Hermes, in sponsoring and providing on-going services to new funds to expand these opportunities for shareholders. The Board noted the benefits to shareholders of being part of the family of Federated Hermes Funds, which include the general right to exchange investments between the same class of shares without the incurrence of additional sales charges.
Based on these considerations, the Board concluded that it was satisfied with the nature, extent and quality of the services provided by the Adviser to the Fund.
Fund Investment Performance
The Board considered the investment performance of the Fund. In evaluating the Fund’s investment performance, the Board considered performance results in light of the Fund’s investment objective, strategies and risks. The Board considered detailed investment reports on, and the Adviser’s analysis of, the Fund’s performance over different time periods that were provided to the Board throughout the year and in connection with the May Meetings.
For the one-year, three-year and five-year periods ended December 31, 2023, the Fund outperformed its benchmark index.
Based on these considerations, the Board concluded that it had continued confidence in the Adviser’s overall capabilities to manage the Fund.
The Board considered that the Adviser does not charge an investment advisory fee to this Fund for its services. Because the Adviser does not charge the Fund an investment advisory fee, the Board noted that it did not consider fee comparisons to other registered funds or other types of clients of Federated Hermes to be relevant to its evaluation. The Board also considered the overall expense structure of the Fund, with due regard for contractual or voluntary expense limitations.
In the case of the Fund, the Board noted that Federated Hermes does not manage any other types of clients that are comparable to the Fund.
The Board received and considered profitability information furnished by Federated Hermes. The Board considered that the Adviser does not charge an investment advisory fee to the Fund and noted, therefore, that the Adviser does not profit from providing advisory services to the Fund under the Contract.
The Board also reviewed information compiled by Federated Hermes comparing its profitability information to other publicly-held fund management companies, including information regarding profitability trends over time. The Board recognized that profitability comparisons among fund management companies are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund management company is affected by numerous factors. The Board considered the CCO’s conclusion that, based on such profitability information, Federated Hermes’ profit margins did not appear to be excessive. The Board also considered the CCO’s view that Federated Hermes appeared financially sound, with the resources necessary to fulfill its obligations under its contracts with the Federated Hermes Funds.
Because of the distinctive nature of the Fund as primarily an internal product with an advisory fee of zero, the Board noted that it did not consider the assessment of whether economies of scale would be realized if the Fund were to grow to a sufficient size to be particularly relevant to its evaluation.
The Board considered information regarding the compensation and other ancillary (or “fall-out”) benefits that Federated Hermes derived from its relationships with the Federated Hermes Funds.
The Board noted that an affiliate of the Adviser is entitled to reimbursement for certain out-of-pocket expense incurred in providing administrative services to the Fund.
In connection with the Board’s governance of other Federated Hermes Funds, the Board noted that, in addition to receiving advisory fees under the Federated Hermes Funds’ investment advisory contracts, Federated Hermes’ affiliates also receive fees for providing other services to the Federated Hermes Funds under separate service contracts including for serving as the Federated Hermes Funds’ administrator and distributor. In this regard, the Board considered that certain of Federated Hermes’ affiliates provide distribution and shareholder services to the Federated Hermes Funds, for which they may be compensated through distribution and servicing fees paid pursuant to Rule 12b-1 plans or otherwise. The Board also received and considered information detailing the benefits, if any, that Federated Hermes may derive from its receipt of research services from brokers who execute portfolio trades for the Federated Hermes Funds.
Annual Financial Statements and Additional Information
Conclusions
The Board considered: (i) the CCO’s conclusion that his observations and the information accompanying the CCO Fee Evaluation Report show that the management fee for the Fund is reasonable; and (ii) the CCO’s recommendation that the Board approve the management fee. The Board noted that, under these circumstances, no changes were recommended to, and no objection was raised to the continuation of, the Contract by the CCO. The CCO also recognized that the Board’s evaluation of the Federated Hermes Funds’ advisory and sub-advisory arrangements is a continuing and ongoing process that is informed by the information that the Board requests and receives from management throughout the course of the year and, in this regard, the CCO noted certain items, and management has committed to reviewing certain items, for future reporting to the Board as the Board continues its ongoing oversight of the Federated Hermes Funds.
On the basis of the information and factors summarized above, among other information and factors deemed relevant by the Board, and the evaluation thereof, the Board, including the Independent Trustees, unanimously voted to approve the continuation of the Contract. The Board based its determination to approve the Contract on the totality of the circumstances and relevant factors and with a view of past and future long-term considerations. Not all of the factors and considerations identified above were necessarily deemed to be relevant to the Fund, nor did the Board consider any one of them to be determinative.
Annual Financial Statements and Additional Information
Mutual funds are not bank deposits or obligations, are not guaranteed by any bank and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.
This information is authorized for distribution to prospective investors only when preceded or accompanied by the Fund’s Private Offering Memorandum, which contains facts concerning its objective and policies, management fees, expenses and other information.
Mortgage Core Fund
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
Contact us at FederatedHermes.com/us
or call 1-800-341-7400.
Federated Securities Corp., Placement Agent
© 2025 Federated Hermes, Inc.
| Item 8. | Changes in and Disagreements with Accountants for Open-End Management Investment Companies |
High Yield Bond Core Fund: Not Applicable.
Mortgage Core Fund: Not Applicable.
| Item 9. | Proxy Disclosures for Open-End Management Investment Companies. |
High Yield Bond Core Fund: The Fund’s report on its most recent meeting of shareholders is filed under Item 7 of this form.
Mortgage Core Fund: The Fund’s report on its most recent meeting of shareholders is filed under Item 7 of this form.
| Item 10. | Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies. |
High Yield Bond Core Fund: The Fund’s disclosure of remuneration items is included as part of the Financial Statements filed under Item 7 of this form.
Mortgage Core Fund: The Fund’s disclosure of remuneration items is included as part of the Financial Statements filed under Item 7 of this form.
| Item 11. | Statement Regarding Basis for Approval of Investment Advisory Contract. |
High Yield Bond Core Fund: The Fund’s Evaluation and Approval of Advisory Contract summary by fund appear in the Financial Statements filed under Item 7 of this form.
Mortgage Core Fund: The Fund’s Evaluation and Approval of Advisory Contract summary by fund appear in the Financial Statements filed under Item 7 of this form.
| Item 12. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
| Item 13. | Portfolio Managers of Closed-End Management Investment Companies. |
Not Applicable
| Item 14. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not Applicable
| Item 15. | Submission of Matters to a Vote of Security Holders. |
No Changes to Report
| Item 16. | Controls and Procedures. |
(a) The registrant’s Principal Executive Officer and Principal Financial Officer 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 as of a date within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 17. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not Applicable
| Item 18. | Recovery of Erroneously Awarded Compensation |
(a) Not Applicable
(b) Not Applicable
(a)(1) Not Applicable.
(a)(2) Not Applicable.
(a)(3) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(4) Not Applicable.
(a)(5) 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 Core Trust
By: /s/ Jeremy D. Boughton
Jeremy D. Boughton, Principal Financial Officer
Date: February 24, 2025
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, President - Principal Executive Officer
Date: February 24, 2025
By: /s/ Jeremy D. Boughton
Jeremy D. Boughton, Principal Financial Officer
Date: February 24, 2025
