Federated Hermes International Bond Strategy Portfolio
Portfolio of Investments
February 29, 2024 (unaudited)
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
BONDS—42.6% | |||
AUSTRALIAN DOLLAR—0.5% | |||
Sovereign—0.5% | |||
260,000 | Australia, Government of, Sr. Unsecd. Note, Series 148, 2.750%, 11/21/2027 | $ 163,348 | |
260,000 | Australia, Government of, Sr. Unsecd. Note, Series 160, 1.000%, 12/21/2030 | 139,508 | |
TOTAL | 302,856 | ||
BRAZILIAN REAL—0.5% | |||
Sovereign—0.5% | |||
1,500,000 | Brazil, Government of, Unsecd. Note, Series NTNF, 10.000%, 1/1/2027 | 306,098 | |
BRITISH POUND—4.6% | |||
Sovereign—4.6% | |||
140,000 | United Kingdom Gilt, Sr. Unsecd. Note, 0.375%, 10/22/2030 | 139,886 | |
600,000 | United Kingdom, Government of, 3.250%, 1/22/2044 | 630,977 | |
110,000 | United Kingdom, Government of, 4.250%, 12/7/2027 | 139,451 | |
400,000 | United Kingdom, Government of, Bond, 4.250%, 3/7/2036 | 506,438 | |
370,000 | United Kingdom, Government of, Unsecd. Deb., 1.625%, 10/22/2028 | 420,407 | |
880,000 | United Kingdom, Government of, Unsecd. Note, 1.500%, 7/22/2047 | 627,730 | |
310,000 | United Kingdom, Government of, Unsecd. Note, 4.250%, 6/7/2032 | 398,425 | |
TOTAL | 2,863,314 | ||
CANADIAN DOLLAR—1.9% | |||
Sovereign—1.9% | |||
160,000 | Canada, Government of, 4.000%, 6/1/2041 | 125,997 | |
635,000 | Canada, Government of, 5.750%, 6/1/2033 | 550,068 | |
315,000 | Canada, Government of, Series WL43, 5.750%, 6/1/2029 | 256,749 | |
350,000 | Canada, Government of, Unsecd. Note, 2.250%, 6/1/2025 | 251,062 | |
TOTAL | 1,183,876 | ||
EURO—23.9% | |||
Oil & Gas—1.0% | |||
600,000 | Petroleos Mexicanos, Sr. Unsecd. Note, Series EMTN, 3.750%, 4/16/2026 | 602,853 | |
Sovereign—22.9% | |||
110,000 | Belgium, Government of, Series 74, 0.800%, 6/22/2025 | 115,135 | |
618,000 | Belgium, Government of, Sr. Unsecd. Note, Series 86, 1.250%, 4/22/2033 | 583,444 | |
1,095,000 | France, Government of, 0.500%, 5/25/2025 | 1,144,001 | |
240,000 | France, Government of, 2.750%, 10/25/2027 | 259,134 | |
840,000 | France, Government of, 5.750%, 10/25/2032 | 1,107,238 | |
520,000 | France, Government of, Bond, 4.500%, 4/25/2041 | 659,352 | |
290,000 | France, Government of, O.A.T., 5.500%, 4/25/2029 | 354,241 | |
600,000 | France, Government of, Unsecd. Note, 1.000%, 5/25/2027 | 613,041 | |
100,000 | France, Government of, Unsecd. Note, 1.250%, 5/25/2038 | 85,004 | |
370,000 | France, Government of, Unsecd. Note, 2.000%, 5/25/2048 | 315,537 | |
225,000 | Germany, Government of, 2.500%, 7/4/2044 | 239,929 | |
600,000 | Germany, Government of, Bond, Series 03, 4.750%, 7/4/2034 | 784,609 | |
840,000 | Germany, Government of, Unsecd. Deb., 0.500%, 2/15/2028 | 841,157 | |
200,000 | Germany, Government of, Unsecd. Note, 0.500%, 2/15/2025 | 210,301 | |
620,000 | Germany, Government of, Unsecd. Note, 1.000%, 5/15/2038 | 547,577 | |
255,000 | Germany, Government of, Unsecd. Note, 1.000%, 8/15/2024 | 272,364 | |
300,000 | Germany, Government of, Unsecd. Note, 2.100%, 11/15/2029 | 319,053 |
1
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
BONDS—continued | |||
EURO—continued | |||
Sovereign—continued | |||
190,000 | Italy, Government of, Sr. Unsecd. Note, 1.650%, 3/1/2032 | $ 177,921 | |
810,000 | Italy, Government of, Sr. Unsecd. Note, 4.750%, 9/1/2028 | 928,242 | |
810,000 | Italy, Government of, Unsecd. Note, 1.600%, 6/1/2026 | 843,955 | |
500,000 | Italy, Government of, Unsecd. Note, 1.650%, 12/1/2030 | 480,682 | |
600,000 | Italy, Government of, Unsecd. Note, 3.250%, 9/1/2046 | 557,971 | |
120,000 | Netherlands, Government of, Unsecd. Note, 0.250%, 7/15/2025 | 124,680 | |
200,000 | Netherlands, Government of, Unsecd. Note, 0.750%, 7/15/2027 | 202,845 | |
425,000 | Netherlands, Government of, Unsecd. Note, 2.500%, 1/15/2033 | 454,455 | |
220,000 | Spain, Government of, 4.200%, 1/31/2037 | 256,180 | |
540,000 | Spain, Government of, Sr. Unsecd. Note, 1.200%, 10/31/2040 | 405,986 | |
440,000 | Spain, Government of, Sr. Unsecd. Note, 1.500%, 4/30/2027 | 454,629 | |
490,000 | Spain, Government of, Sr. Unsecd. Note, 1.950%, 7/30/2030 | 497,526 | |
310,000 | Spain, Government of, Sr. Unsecd. Note, 2.350%, 7/30/2033 | 311,928 | |
120,000 | Spain, Government of, Unsecd. Note, 1.600%, 4/30/2025 | 127,107 | |
TOTAL | 14,275,224 | ||
TOTAL EURO | 14,878,077 | ||
JAPANESE YEN—10.0% | |||
Sovereign—10.0% | |||
190,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 114, 2.100%, 12/20/2029 | 1,392,366 | |
365,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 153, 1.300%, 6/20/2035 | 2,556,753 | |
63,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 44, 1.700%, 9/20/2044 | 436,785 | |
125,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 58, 0.800%, 3/20/2048 | 703,000 | |
165,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 92, 2.100%, 12/20/2026 | 1,158,896 | |
TOTAL | 6,247,800 | ||
MEXICAN PESO—0.3% | |||
Sovereign—0.3% | |||
3,500,000 | Mexico, Government of, Sr. Unsecd. Note, Series M, 5.750%, 3/5/2026 | 189,569 | |
NEW ZEALAND DOLLAR—0.9% | |||
Sovereign—0.9% | |||
900,000 | New Zealand, Government of, Unsecd. Note, Series 0530, 4.500%, 5/15/2030 | 545,371 | |
TOTAL BONDS (IDENTIFIED COST $28,111,268) | 26,516,961 | ||
REPURCHASE AGREEMENTS—11.5% | |||
$ 7,163,000 | Interest in $400,000,000 joint repurchase agreement, 5.30% dated 2/29/2024 under which BNP Paribas S.A. will repurchase the securities provided as collateral for $400,058,889 on 3/1/2024. 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 2/15/2048 and the market value of those underlying securities was $408,060,098. (IDENTIFIED COST $7,163,000) | 7,163,000 | |
PURCHASED CALL OPTIONS—0.0% | |||
Foreign Currency—0.0% | |||
2,100,000 | NZD CALL/USD PUT, BNP Paribas, Notional Amount $2,100,000, Exercise Price $0.615, Expiration Date 3/7/2024 | 6,195 | |
1,200,000 | USD CALL/CHF PUT, BNP Paribas, Notional Amount $1,200,000, Exercise Price $0.866, Expiration Date 4/12/2024 | 22,991 | |
TOTAL PURCHASED CALL OPTIONS (IDENTIFIED COST $12,699) | 29,186 | ||
PURCHASED PUT OPTIONS—0.0% | |||
Foreign Currency—0.0% | |||
45,000 | CHF PUT/JPY CALL, UBS, Notional Amount $45,000, Exercise Price $160, Expiration Date 7/5/2024 (IDENTIFIED COST $570) | 225 | |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $570) | 225 |
2
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
INVESTMENT COMPANY—52.1% | |||
3,908,173 | Emerging Markets Core Fund (IDENTIFIED COST $33,708,928) | $32,437,833 | |
TOTAL INVESTMENT IN SECURITIES—106.2% (IDENTIFIED COST $68,996,465) | $66,147,205 | ||
OTHER ASSETS AND LIABILITIES - NET—(6.2%)1 | (3,844,070) | ||
TOTAL NET ASSETS—100% | $62,303,135 |
At February 29, 2024, the Fund had the following outstanding futures contracts:
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation |
Long Futures: | ||||
Euro-Bund Long Futures | 4 | $573,473 | March 2024 | $2,417 |
Euro-Bund Long Futures | 1 | $142,947 | June 2024 | $398 |
Long Gilt Long Futures | 3 | $371,459 | June 2024 | $1,496 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $4,311 |
The average notional value of long and short futures contracts held by the Fund throughout the period was $382,543 and $56,164, respectively. This is based on amounts held as of each month-end throughout the three-month fiscal period.
The average market value of purchased put and call options held by the Fund throughout the period was $2,251 and $9,130, respectively. This is based on amounts held as of each month-end throughout the three-month fiscal period.
The average market value of written call options held by the Fund throughout the period was $501. This is based on amounts held as of each month-end throughout the three-month fiscal period.
At February 29, 2024, the Fund had the following outstanding foreign exchange contracts:
Settlement Date | Counterparty | Foreign Currency Units to Receive/Deliver | In Exchange For | Unrealized Appreciation/ (Depreciation) | |
Contracts Purchased: | |||||
3/21/2024 | Bank of America | 450,000 EUR | $483,346 | $3,445 | |
3/21/2024 | BNP Paribas | $600,000 | 2,382,444 PLN | $3,517 | |
3/21/2024 | HSBC | 400,000 CNY | $56,642 | $(902) | |
3/21/2024 | JPMorgan | 650,000 CHF | 110,822,894 JPY | $(5,015) | |
3/21/2024 | JPMorgan | 528,804 EUR | 84,565,191 JPY | $6,043 | |
3/21/2024 | JPMorgan | 200,000 EUR | 31,888,650 JPY | $2,921 | |
3/21/2024 | JPMorgan | 200,000 GBP | $252,607 | $(114) | |
3/21/2024 | Morgan Stanley | 850,000 EUR | $911,460 | $8,035 | |
3/21/2024 | Morgan Stanley | 80,000 GBP | $100,828 | $169 | |
3/21/2024 | Morgan Stanley | $200,000 | 3,505,428 MXN | $(4,957) | |
4/16/2024 | JPMorgan | $150,000 | 131,722 CHF | $260 | |
4/23/2024 | Bank of America | 52,225 AUD | $34,504 | $(498) | |
4/23/2024 | Bank of America | 52,082 AUD | $34,481 | $(569) | |
4/23/2024 | Bank of America | 45,089 AUD | $29,408 | $(49) | |
4/23/2024 | Bank of America | 31,154 CHF | $36,180 | $(737) | |
4/23/2024 | Bank of America | 30,931 CHF | $36,186 | $(995) | |
4/23/2024 | Bank of America | 176,332 EUR | $191,494 | $(474) | |
4/23/2024 | Bank of America | 59,586 GBP | $76,011 | $(770) | |
4/23/2024 | Bank of America | 62,185 GBP | $78,265 | $257 | |
4/23/2024 | Bank of America | 51,644 GBP | $65,367 | $(155) | |
4/23/2024 | Bank of America | 14,975,385 JPY | $100,611 | $175 | |
4/23/2024 | Bank of America | 12,497,754 JPY | $84,101 | $10 | |
4/23/2024 | Bank of America | 1,157,966 MXN | $67,165 | $168 | |
4/23/2024 | BNP Paribas | 54,298 AUD | $35,496 | $(141) |
3
Settlement Date | Counterparty | Foreign Currency Units to Receive/Deliver | In Exchange For | Unrealized Appreciation/ (Depreciation) | |
4/23/2024 | BNP Paribas | 106,293 CAD | $78,942 | $(557) | |
4/23/2024 | BNP Paribas | 105,836 CAD | $78,924 | $(876) | |
4/23/2024 | BNP Paribas | 91,334 CAD | $67,378 | $(24) | |
4/23/2024 | BNP Paribas | 32,494 CHF | $37,132 | $(163) | |
4/23/2024 | BNP Paribas | 204,292 EUR | $222,929 | $(1,620) | |
4/23/2024 | BNY Mellon | 27,097 CHF | $30,982 | $(154) | |
4/23/2024 | Citibank | 204,255 EUR | $223,036 | $(1,768) | |
4/23/2024 | Citibank | 59,967 GBP | $76,034 | $(313) | |
4/23/2024 | Citibank | $200,000 | 171,072 CHF | $5,370 | |
4/23/2024 | Credit Agricole | 14,336,307 JPY | $98,139 | $(1,655) | |
4/23/2024 | Morgan Stanley | 212,423 EUR | $229,341 | $776 | |
4/23/2024 | Morgan Stanley | 1,130,240 MXN | $64,960 | $761 | |
4/23/2024 | Morgan Stanley | 1,130,359 MXN | $65,024 | $704 | |
4/23/2024 | Morgan Stanley | 970,126 MXN | $56,359 | $51 | |
4/23/2024 | State Street | 109,471 CAD | $81,251 | $(523) | |
4/23/2024 | State Street | 14,287,910 JPY | $97,993 | $(1,835) | |
Contracts Sold: | |||||
3/21/2024 | Barclays | 328,804 EUR | 50,732,131 JPY | $(16,136) | |
3/21/2024 | Barclays | 80,000 GBP | $101,438 | $441 | |
3/21/2024 | BNP Paribas | $600,000 | 2,372,417 PLN | $(6,028) | |
3/21/2024 | Citibank | 600,000 CHF | 101,989,380 JPY | $2,563 | |
3/21/2024 | Citibank | $1,700,000 | 255,004,981 JPY | $6,752 | |
3/21/2024 | JPMorgan | 200,000 EUR | 31,750,526 JPY | $(3,845) | |
3/21/2024 | JPMorgan | 600,000 EUR | $651,443 | $2,388 | |
3/21/2024 | JPMorgan | 400,000 EUR | $431,713 | $(990) | |
3/21/2024 | JPMorgan | 200,000 GBP | $253,122 | $630 | |
3/21/2024 | JPMorgan | $900,000 | 134,603,829 JPY | $905 | |
3/21/2024 | Morgan Stanley | 650,000 CHF | 110,443,067 JPY | $2,472 | |
3/21/2024 | Morgan Stanley | 200,000 EUR | 31,498,504 JPY | $(5,532) | |
3/21/2024 | Morgan Stanley | $1,870,000 | 263,003,345 JPY | $(109,715) | |
3/21/2024 | Morgan Stanley | $100,000 | 14,220,408 JPY | $(4,823) | |
3/21/2024 | Morgan Stanley | $250,000 | 35,413,713 JPY | $(12,976) | |
3/21/2024 | State Street | 250,000 EUR | $278,559 | $8,119 | |
4/16/2024 | Citibank | $150,000 | 132,217 CHF | $303 | |
4/16/2024 | Credit Agricole | $380,000 | 322,604 CHF | $(13,267) | |
4/16/2024 | State Street | $400,000 | 349,645 CHF | $(2,527) | |
4/23/2024 | Bank of America | 109,471 CAD | $81,019 | $291 | |
4/23/2024 | Bank of America | 32,494 CHF | $37,092 | $123 | |
4/23/2024 | Bank of America | 59,967 GBP | $76,445 | $723 | |
4/23/2024 | Bank of America | 14,975,385 JPY | $100,761 | $(24) | |
4/23/2024 | Bank of America | 1,130,240 MXN | $64,775 | $(945) | |
4/23/2024 | Bank of America | 1,157,966 MXN | $67,179 | $(154) | |
4/23/2024 | BNP Paribas | 105,836 CAD | $78,986 | $938 | |
4/23/2024 | BNP Paribas | 204,255 EUR | $223,523 | $2,255 | |
4/23/2024 | BNP Paribas | 212,423 EUR | $230,183 | $66 | |
4/23/2024 | BNY Mellon | 54,298 AUD | $35,643 | $287 | |
4/23/2024 | Citibank | 106,293 CAD | $79,044 | $659 | |
4/23/2024 | Citibank | 30,931 CHF | $36,176 | $985 | |
4/23/2024 | Citibank | $200,000 | 171,028 CHF | $(5,420) | |
4/23/2024 | Goldman Sachs | 14,336,307 JPY | $98,725 | $2,241 | |
4/23/2024 | JPMorgan | 90,179 AUD | $59,130 | $412 | |
4/23/2024 | JPMorgan | 182,669 CAD | $135,420 | $713 |
4
Settlement Date | Counterparty | Foreign Currency Units to Receive/Deliver | In Exchange For | Unrealized Appreciation/ (Depreciation) | |
4/23/2024 | JPMorgan | 54,194 CHF | $61,834 | $177 | |
4/23/2024 | JPMorgan | 352,664 EUR | $382,144 | $105 | |
4/23/2024 | JPMorgan | 103,288 GBP | $130,445 | $21 | |
4/23/2024 | JPMorgan | 1,130,359 MXN | $65,245 | $(483) | |
4/23/2024 | Morgan Stanley | 52,225 AUD | $34,550 | $545 | |
4/23/2024 | Morgan Stanley | 52,082 AUD | $34,239 | $326 | |
4/23/2024 | Morgan Stanley | 31,154 CHF | $36,412 | $968 | |
4/23/2024 | Morgan Stanley | 204,292 EUR | $221,733 | $424 | |
4/23/2024 | Morgan Stanley | 59,586 GBP | $75,649 | $409 | |
4/23/2024 | Morgan Stanley | 62,184 GBP | $78,515 | $(7) | |
4/23/2024 | Morgan Stanley | 14,287,910 JPY | $97,895 | $1,737 | |
4/23/2024 | Morgan Stanley | 24,995,507 JPY | $167,545 | $(676) | |
4/23/2024 | Morgan Stanley | 1,940,253 MXN | $112,274 | $(547) | |
NET UNREALIZED DEPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $(137,319) |
The average value at settlement date payable and receivable of foreign exchange contracts purchased and sold by the Fund throughout the period was $121,499 and $74,353, respectively. This is based on the contracts held as of each month-end throughout the three-month fiscal period.
Net Unrealized Appreciation (Depreciation) on Futures Contracts and Foreign Exchange 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 February 29, 2024, were as follows:
Emerging Markets Core Fund | |
Value as of 11/30/2023 | $11,400,353 |
Purchases at Cost | $20,495,549 |
Proceeds from Sales | $— |
Change in Unrealized Appreciation/Depreciation | $541,931 |
Net Realized Gain/(Loss) | $— |
Value as of 2/29/2024 | $32,437,833 |
Shares Held as of 2/29/2024 | 3,908,173 |
Dividend Income | $295,543 |
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. At February 29, 2024, EMCOR represents 52.1% of the Fund’s net assets. Therefore the performance of the Fund is directly affected by the performance of EMCOR. 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.
1 | Assets, other than investments in securities, less liabilities. |
Note: The categories of investments are shown as a percentage of total net assets at February 29, 2024.
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 Federated Investment Management Company (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.
5
■ 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 Investment Company Act of 1940, 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).
6
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of February 29, 2024, 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 | $2,717,862 | $23,799,099 | $— | $26,516,961 |
Repurchase Agreements | — | 7,163,000 | — | 7,163,000 |
Purchased Call Options | 29,186 | — | — | 29,186 |
Purchased Put Options | 225 | — | — | 225 |
Investment Company | 32,437,833 | — | — | 32,437,833 |
TOTAL SECURITIES | $35,185,106 | $30,962,099 | $— | $66,147,205 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $4,311 | $— | $— | $4,311 |
Foreign Exchange Contracts | — | 71,640 | — | 71,640 |
Liabilities | ||||
Foreign Exchange Contracts | — | (208,959) | — | (208,959) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $4,311 | $(137,319) | $— | $(133,008) |
The following acronym(s) are used throughout this portfolio: | ||
AUD | —Australian Dollar | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CNY | —Chinese Yuan Renminbi | |
EMTN | —Euro Medium Term Note | |
EUR | —Euro | |
GBP | —Great British Pound | |
JPY | —Japanese Yen | |
MXN | —Mexican Peso | |
NZD | —New Zealand Dollar | |
PLN | —Polish Zloty | |
USD | —United States Dollar |
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