Federated Hermes International Bond Strategy Portfolio
Portfolio of Investments
August 31, 2023 (unaudited)
Foreign Currency Par Amount, Principal Amount or Shares | Value in U.S. Dollars | ||
BONDS—45.6% | |||
AUSTRALIAN DOLLAR—0.8% | |||
Sovereign—0.8% | |||
$130,000 | Australia, Government of, Sr. Unsecd. Note, Series 148, 2.750%, 11/21/2027 | $80,972 | |
130,000 | Australia, Government of, Sr. Unsecd. Note, Series 160, 1.000%, 12/21/2030 | 68,688 | |
TOTAL | 149,660 | ||
BRITISH POUND—6.2% | |||
Sovereign—6.2% | |||
50,000 | United Kingdom Gilt, Sr. Unsecd. Note, 0.375%, 10/22/2030 | 48,198 | |
160,000 | United Kingdom, Government of, 3.250%, 1/22/2044 | 165,649 | |
210,000 | United Kingdom, Government of, 4.250%, 12/7/2027 | 263,135 | |
250,000 | United Kingdom, Government of, Unsecd. Deb., 1.625%, 10/22/2028 | 277,049 | |
230,000 | United Kingdom, Government of, Unsecd. Note, 1.500%, 7/22/2047 | 160,811 | |
180,000 | United Kingdom, Government of, Unsecd. Note, 4.250%, 6/7/2032 | 227,728 | |
TOTAL | 1,142,570 | ||
CANADIAN DOLLAR—2.4% | |||
Sovereign—2.4% | |||
190,000 | Canada, Government of, 5.750%, 6/1/2033 | 165,312 | |
65,000 | Canada, Government of, Series WL43, 5.750%, 6/1/2029 | 53,098 | |
300,000 | Canada, Government of, Unsecd. Note, 2.250%, 6/1/2025 | 213,175 | |
TOTAL | 431,585 | ||
EURO—24.9% | |||
Sovereign—24.9% | |||
110,000 | Belgium, Government of, Series 74, 0.800%, 6/22/2025 | 114,525 | |
110,000 | Belgium, Government of, Sr. Unsecd. Note, Series 86, 1.250%, 4/22/2033 | 102,270 | |
195,000 | France, Government of, 0.500%, 5/25/2025 | 202,108 | |
240,000 | France, Government of, 2.750%, 10/25/2027 | 259,356 | |
240,000 | France, Government of, 5.750%, 10/25/2032 | 318,305 | |
120,000 | France, Government of, Bond, 4.500%, 4/25/2041 | 150,510 | |
190,000 | France, Government of, O.A.T., 5.500%, 4/25/2029 | 234,262 | |
120,000 | France, Government of, Unsecd. Note, 2.000%, 5/25/2048 | 100,247 | |
75,000 | Germany, Government of, 2.500%, 7/4/2044 | 79,965 | |
100,000 | Germany, Government of, Bond, Series 03, 4.750%, 7/4/2034 | 131,400 | |
240,000 | Germany, Government of, Unsecd. Deb., 0.500%, 2/15/2028 | 238,997 | |
255,000 | Germany, Government of, Unsecd. Note, 1.000%, 8/15/2024 | 270,554 | |
120,000 | Germany, Government of, Unsecd. Note, 1.000%, 5/15/2038 | 104,810 | |
150,000 | Germany, Government of, Unsecd. Note, 2.100%, 11/15/2029 | 159,592 | |
200,000 | Italy, Government of, Sr. Unsecd. Note, 0.650%, 10/15/2023 | 216,091 | |
190,000 | Italy, Government of, Sr. Unsecd. Note, 1.650%, 3/1/2032 | 173,145 | |
210,000 | Italy, Government of, Sr. Unsecd. Note, 4.750%, 9/1/2028 | 239,555 | |
280,000 | Italy, Government of, Unsecd. Note, 1.600%, 6/1/2026 | 288,654 | |
100,000 | Italy, Government of, Unsecd. Note, 3.250%, 9/1/2046 | 90,511 | |
50,000 | Netherlands, Government of, Unsecd. Note, 0.250%, 7/15/2025 | 51,520 | |
80,000 | Netherlands, Government of, Unsecd. Note, 0.750%, 7/15/2027 | 80,496 | |
150,000 | Netherlands, Government of, Unsecd. Note, 2.500%, 1/15/2033 | 159,486 |
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Foreign Currency Par Amount, Principal Amount or Shares | Value in U.S. Dollars | ||
BONDS—continued | |||
EURO—continued | |||
Sovereign—continued | |||
220,000 | Spain, Government of, 4.200%, 1/31/2037 | $251,688 | |
$170,000 | Spain, Government of, Sr. Unsecd. Note, 1.500%, 4/30/2027 | 173,943 | |
145,000 | Spain, Government of, Sr. Unsecd. Note, 1.950%, 7/30/2030 | 144,923 | |
110,000 | Spain, Government of, Sr. Unsecd. Note, 2.350%, 7/30/2033 | 108,614 | |
120,000 | Spain, Government of, Unsecd. Note, 1.600%, 4/30/2025 | 126,492 | |
TOTAL | 4,572,019 | ||
JAPANESE YEN—10.3% | |||
Sovereign—10.3% | |||
50,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 114, 2.100%, 12/20/2029 | 381,436 | |
100,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 153, 1.300%, 6/20/2035 | 724,650 | |
23,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 44, 1.700%, 9/20/2044 | 166,548 | |
50,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 58, 0.800%, 3/20/2048 | 294,793 | |
45,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 92, 2.100%, 12/20/2026 | 329,696 | |
TOTAL | 1,897,123 | ||
MEXICAN PESO—1.0% | |||
Sovereign—1.0% | |||
3,500,000 | Mexico, Government of, Sr. Unsecd. Note, Series M, 5.750%, 3/5/2026 | 185,731 | |
TOTAL BONDS (IDENTIFIED COST $9,799,388) | 8,378,688 | ||
REPURCHASE AGREEMENTS—9.3% | |||
1,717,000 | Interest in $400,000,000 joint repurchase agreement, 5.28% dated 8/31/2023 under which BNP Paribas S.A. will repurchase the securities provided as collateral for $400,058,667 on 9/1/2023. The securities provided as collateral at the end of the period held with BNY Mellon, tri-party agent, were U.S. Treasury with various maturities to 2/15/2053 and the market value of those underlying securities was $408,059,890. | 1,717,000 | |
INVESTMENT COMPANY—44.9% | |||
1,041,742 | Emerging Markets Core Fund (IDENTIFIED COST $10,261,016) | 8,240,180 | |
TOTAL INVESTMENT IN SECURITIES—99.8% (IDENTIFIED COST $21,777,404) | 18,335,868 | ||
OTHER ASSETS AND LIABILITIES - NET—0.2%1 | 32,726 | ||
TOTAL NET ASSETS—100% | $18,368,594 |
At August 31, 2023, the Fund had the following outstanding futures contracts:
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation |
Long Futures: | ||||
United States Treasury Notes 10 Year | 6 | $666,188 | December 2023 | $5,728 |
The average notional value of long futures contracts held by the Fund throughout the period was $687,482. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
The average market value of purchased put and call options held by the Fund throughout the period was $701 and $3,812, respectively. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
The average market value of written put and call options held by the Fund throughout the period was $636 and $326, respectively. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
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At August 31, 2023, the Fund had the following outstanding foreign exchange contracts:
Settlement Date | Counterparty | Currency Units to Receive/Deliver | In Exchange For | Net Unrealized Appreciation (Depreciation) |
Contracts Purchased: | ||||
9/20/2023 | Credit Agricole | $800,000 | 115,151,504 JPY | $6,013 |
9/20/2023 | Morgan Stanley | $800,000 | 110,119,200 JPY | $40,711 |
9/29/2023 | BNP Paribas | 230,000 GBP | $295,575 | $(4,172) |
9/29/2023 | BNP Paribas | $100,000 | 1,014,835 NOK | $4,459 |
9/29/2023 | BNY Mellon | $245,000 | 4,266,334 MXN | $(3,941) |
9/29/2023 | Citibank | 168,000 EUR | 3,202,008 MXN | $(4,412) |
9/29/2023 | Credit Agricole | $900,000 | 130,691,160 JPY | $(2,434) |
9/29/2023 | HSBC | 150,000 AUD | $96,783 | $513 |
9/29/2023 | HSBC | 400,000 BRL | $82,060 | $(1,664) |
9/29/2023 | JPMorgan | 800,000 AUD | $517,444 | $1,472 |
9/29/2023 | JPMorgan | 168,000 EUR | 3,177,815 MXN | $(3,000) |
9/29/2023 | JPMorgan | 351,000 GBP | $452,937 | $(8,230) |
9/29/2023 | JPMorgan | $200,000 | 28,396,616 JPY | $3,919 |
9/29/2023 | JPMorgan | $1,500,000 | 213,979,665 JPY | $22,452 |
9/29/2023 | JPMorgan | $700,000 | 2,882,500 PLN | $2,457 |
9/29/2023 | Morgan Stanley | 64,000 EUR | 1,215,542 MXN | $(1,431) |
9/29/2023 | Morgan Stanley | $100,000 | 14,158,313 JPY | $2,236 |
9/29/2023 | Morgan Stanley | $100,000 | 14,057,753 JPY | $2,930 |
9/29/2023 | Morgan Stanley | $320,000 | 44,450,685 JPY | $13,064 |
9/29/2023 | Morgan Stanley | $180,000 | 3,058,346 MXN | $1,546 |
9/29/2023 | State Street | 700,000 BRL | $141,061 | $(368) |
9/29/2023 | State Street | 1,700,000 BRL | $341,201 | $481 |
9/29/2023 | State Street | 50,000 GBP | $63,458 | $(109) |
9/29/2023 | Wells Fargo | 300,000 EUR | $327,308 | $(1,548) |
10/10/2023 | Morgan Stanley | 400,000 CNY | $55,859 | $(757) |
11/6/2023 | Bank of America | 39,660 AUD | $25,709 | $52 |
11/6/2023 | Bank of America | 79,704 CAD | $58,816 | $227 |
11/6/2023 | Bank of America | 23,636 CHF | $27,257 | $(302) |
11/6/2023 | Bank of America | 47,731 EUR | $52,633 | $(704) |
11/6/2023 | Bank of America | 101,035 EUR | $110,702 | $(782) |
11/6/2023 | Bank of America | 29,674 GBP | $37,742 | $(146) |
11/6/2023 | Bank of America | 7,027,814 JPY | $48,573 | $263 |
11/6/2023 | BNP Paribas | 26,362 AUD | $17,128 | $(4) |
11/6/2023 | BNP Paribas | 39,615 AUD | $26,003 | $(271) |
11/6/2023 | BNY Mellon | 44,901 GBP | $57,258 | $(368) |
11/6/2023 | BNY Mellon | 10,448,757 JPY | $73,878 | $(1,272) |
11/6/2023 | Citibank | 7,397 CHF | $8,535 | $(100) |
11/6/2023 | Citibank | 10,437,190 JPY | $72,981 | $(455) |
11/6/2023 | Citibank | 848,564 MXN | $48,888 | $271 |
11/6/2023 | Credit Agricole | 152,279 EUR | $168,081 | $(2,411) |
11/6/2023 | Credit Agricole | 152,571 EUR | $166,174 | $(186) |
11/6/2023 | JPMorgan | 52,983 CAD | $39,190 | $59 |
11/6/2023 | JPMorgan | 23,453 CHF | $26,908 | $(161) |
11/6/2023 | JPMorgan | 14,024 GBP | $17,914 | $(146) |
11/6/2023 | JPMorgan | 262,369 MXN | $15,281 | $(81) |
11/6/2023 | JPMorgan | 548,242 MXN | $32,364 | $(604) |
11/6/2023 | Morgan Stanley | 15,636 CHF | $17,921 | $(90) |
11/6/2023 | Morgan Stanley | 44,595 GBP | $56,646 | $(144) |
11/6/2023 | Morgan Stanley | 3,271,215 JPY | $23,153 | $(422) |
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Settlement Date | Counterparty | Currency Units to Receive/Deliver | In Exchange For | Net Unrealized Appreciation (Depreciation) |
11/6/2023 | Morgan Stanley | 827,188 MXN | $48,514 | $(594) |
11/6/2023 | Morgan Stanley | $24,248 | 3,448,090 JPY | $287 |
11/6/2023 | State Street | 12,270 AUD | $8,138 | $(168) |
11/6/2023 | State Street | 24,704 CAD | $18,609 | $(309) |
11/6/2023 | State Street | 79,762 CAD | $59,481 | $(394) |
11/16/2023 | Barclays | 60,000 BRL | $11,880 | $103 |
11/16/2023 | Goldman Sachs | 60,000 BRL | 10,864 EUR | $158 |
Contracts Sold: | ||||
9/20/2023 | Citibank | $800,000 | 110,653,496 JPY | $(37,027) |
9/20/2023 | State Street | $800,000 | 114,016,392 JPY | $(13,839) |
9/29/2023 | Bank of America | 150,000 AUD | $100,583 | $3,287 |
9/29/2023 | Bank of America | $160,000 | 22,729,778 JPY | $(3,049) |
9/29/2023 | Barclays | 351,000 GBP | $451,094 | $6,387 |
9/29/2023 | BNP Paribas | 150,000 EUR | $165,556 | $2,676 |
9/29/2023 | Citibank | $100,000 | 1,074,535 NOK | $1,162 |
9/29/2023 | Credit Agricole | 390,000 EUR | $429,381 | $5,894 |
9/29/2023 | Credit Agricole | 220,000 EUR | $240,963 | $2,073 |
9/29/2023 | Goldman Sachs | 500,000 EUR | 839,425 AUD | $1,556 |
9/29/2023 | HSBC | 400,000 BRL | $82,571 | $2,175 |
9/29/2023 | JPMorgan | 800,000 AUD | $517,806 | $(1,109) |
9/29/2023 | Morgan Stanley | 1,700,000 BRL | $343,879 | $2,197 |
9/29/2023 | Morgan Stanley | 400,000 EUR | 7,634,924 MXN | $11,151 |
9/29/2023 | Morgan Stanley | 130,000 GBP | $167,630 | $2,923 |
9/29/2023 | Morgan Stanley | $150,000 | 21,301,617 JPY | $(2,911) |
9/29/2023 | Morgan Stanley | $180,000 | 744,600 PLN | $187 |
9/29/2023 | State Street | 230,000 GBP | $293,194 | $1,791 |
9/29/2023 | State Street | $4,180,000 | 593,294,570 JPY | $(83,250) |
11/6/2023 | Bank of America | 12,270 AUD | $8,073 | $103 |
11/6/2023 | Bank of America | 47,731 EUR | $52,545 | $616 |
11/6/2023 | BNP Paribas | 26,542 AUD | $17,460 | $219 |
11/6/2023 | BNP Paribas | 13,073 AUD | $8,636 | $144 |
11/6/2023 | BNP Paribas | 26,322 CAD | $19,698 | $199 |
11/6/2023 | BNP Paribas | 102,027 EUR | $112,879 | $1,880 |
11/6/2023 | BNY Mellon | 3,271,215 JPY | $23,182 | $451 |
11/6/2023 | Credit Agricole | 7,397 CHF | $8,494 | $58 |
11/6/2023 | JPMorgan | 15,836 CHF | $18,292 | $232 |
11/6/2023 | JPMorgan | 50,252 EUR | $55,717 | $1,046 |
11/6/2023 | JPMorgan | 30,084 GBP | $38,329 | $212 |
11/6/2023 | JPMorgan | 14,817 GBP | $18,935 | $161 |
11/6/2023 | JPMorgan | 14,024 GBP | $17,821 | $53 |
11/6/2023 | JPMorgan | 7,000,668 JPY | $49,130 | $484 |
11/6/2023 | Morgan Stanley | 53,441 CAD | $39,930 | $342 |
11/6/2023 | Morgan Stanley | 24,704 CAD | $18,552 | $251 |
11/6/2023 | Morgan Stanley | 7,800 CHF | $9,027 | $132 |
11/6/2023 | Morgan Stanley | 568,538 MXN | $33,060 | $124 |
11/6/2023 | Morgan Stanley | 280,026 MXN | $16,279 | $56 |
11/6/2023 | Morgan Stanley | 262,369 MXN | $15,232 | $33 |
11/15/2023 | Barclays | $10,000 | 16,800 NZD | $19 |
11/15/2023 | BNY Mellon | $25,000 | 3,583,130 JPY | $(67) |
11/15/2023 | HSBC | 6,700 GBP | 14,233 NZD | $(1) |
11/15/2023 | Morgan Stanley | $9,667 | 14,875 AUD | $(1) |
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Settlement Date | Counterparty | Currency Units to Receive/Deliver | In Exchange For | Net Unrealized Appreciation (Depreciation) |
11/15/2023 | State Street | 6,700 GBP | 13,051 AUD | $(9) |
11/15/2023 | Wells Fargo | $30,875 | 28,196 EUR | $(186) |
11/16/2023 | Barclays | 60,000 BRL | 11,088 EUR | $86 |
11/16/2023 | State Street | 60,000 BRL | $12,064 | $82 |
NET UNREALIZED DEPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $(29,514) |
The average value at settlement date payable and receivable of foreign exchange contracts purchased and sold by the Fund throughout the period was $199,483 and $133,220, respectively. This is based on the contracts held as of each month-end throughout the nine-month fiscal period.
The average notional amount of credit default swap contracts held by the Fund throughout the period was $318. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
Net Unrealized Appreciation (Depreciation) on Futures Contracts and Foreign Exchange Contracts are 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 August 31, 2023, were as follows:
Emerging Markets Core Fund | |
Value as of 11/30/2022 | $6,499,592 |
Purchases at Cost | $9,479,131 |
Proceeds from Sales | $(7,800,000) |
Change in Unrealized Appreciation/(Depreciation) | $(38,521) |
Net Realized Gain/(Loss) | $99,978 |
Value as of 8/31/2023 | $8,240,180 |
Shares Held as of 8/31/2023 | 1,041,742 |
Dividend Income | $526,638 |
Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (SEC), the Fund invests in a portfolio of Federated Hermes Core Trust (“Core Trust”), which is managed by the Federated Investment Management Company (the “Adviser”). Core Trust is an open-end management company, registered under the Act, available only to registered investment companies and other institutional investors. The investment objective of Emerging Markets Core Fund (EMCOR), a portfolio of Core Trust, is to achieve a total return on its assets. EMCOR's secondary objective is to achieve a high level of income. Distributions of net investment income from EMCOR are declared daily and paid monthly. Capital gain distributions, if any, from EMCOR are declared and paid annually, and are recorded by the Fund as capital gains. Federated Hermes, Inc. (“Federated Hermes”) receives no advisory or administrative fees from EMCOR. Copies of the EMCOR financial statements are available on the EDGAR Database on the SEC's website or upon request from the Fund.
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Assets, other than investments in securities, less liabilities.
Note: The categories of investments are shown as a percentage of total net assets at August 31, 2023.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
◾ 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.
◾ Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Adviser.
◾ 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.
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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 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:
◾ With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;
◾ Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;
◾ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments or a natural disaster affecting the issuer’s operations or regulatory changes or market developments affecting the issuer’s industry.
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.
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.
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The following is a summary of the inputs used, as of August 31, 2023, in valuing the Fund's assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Bonds | $— | $8,378,688 | $— | $8,378,688 |
Repurchase Agreement | — | 1,717,000 | — | 1,717,000 |
Investment Company | 8,240,180 | — | — | 8,240,180 |
TOTAL SECURITIES | $8,240,180 | $10,095,688 | $— | $18,335,868 |
Other Financial Instruments: | ||||
Assets | ||||
Foreign Exchange Contracts | $— | $154,115 | $— | $154,115 |
Futures Contracts | 5,728 | — | — | 5,728 |
Liabilities | ||||
Foreign Exchange Contracts | — | (183,629) | — | (183,629) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $5,728 | $(29,514) | $— | $(23,786) |
The following acronym(s) are used throughout this portfolio:
AUD | —Australian Dollar |
BRL | —Brazilian Real |
CAD | —Canadian Dollar |
CHF | —Swiss Franc |
CNY | —Chinese Yuan Renminbi |
EUR | —Euro |
GBP | —Great British Pound |
JPY | —Japanese Yen |
MXN | —Mexican Peso |
NOK | —Norwegian Krone |
NZD | —New Zealand Dollar |
PLN | —Polish Zloty |
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