United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-21822
(Investment Company Act File Number)
Federated Managed Pool Series
_______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, Pennsylvania 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End:12/31/19
Date of Reporting Period:12/31/19
Item 1. | Reports to Stockholders |
TickerFCSPX |
1 | Please see the footnotes to the line graphs below for definitions of, and further information about the BBUSC. |
2 | Please see the footnotes to the line graphs below for definitions of, and further information about the BBUSC-Baa. |
3 | Duration is a measure of a security's price sensitivity to changes in interest rates. Securities with longer durations are more sensitive to changes in interest rates than securities of shorter durations. |
4 | The Bloomberg Barclays U.S. Treasury Long Index measures U.S. dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury with 10 years or more to maturity.* |
5 | The Bloomberg Barclays U.S. Treasury Intermediate Index measures U.S. dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury with maturities of 1 to 9.9999 years to maturity.* |
6 | The Fund's use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional instruments. |
* | The index is unmanaged, and it is not possible to invest directly in an index. |
Federated Corporate Bond Strategy Portfolio | NA | BBUSC | BBUSC-Baa | |
F | NA | I | I | |
12/31/2009 | 10,000 | 10,000 | 10,000 | |
12/31/2010 | 10,956 | 10,847 | 11,003 | |
12/31/2011 | 11,736 | 11,753 | 12,047 | |
12/31/2012 | 13,148 | 12,854 | 13,410 | |
12/31/2013 | 13,013 | 12,595 | 13,134 | |
12/31/2014 | 14,065 | 13,543 | 14,229 | |
12/31/2015 | 13,684 | 13,439 | 13,840 | |
12/31/2016 | 14,863 | 14,195 | 14,932 | |
12/31/2017 | 16,053 | 15,072 | 16,043 | |
12/31/2018 | 15,600 | 14,754 | 15,574 | |
12/31/2019 | 18,183 | 16,790 | 18,137 |
1 Year | 5 Years | 10 Years | |
Fund | 16.56% | 5.27% | 6.16% |
BBUSC | 13.80% | 4.39% | 5.32% |
BBUSC-Baa | 16.46% | 4.97% | 6.13% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBUSC and BBUSC-Baa have been adjusted to reflect reinvestment of dividends on securities in an index. |
2 | The BBUSC is composed of all publicly issued, fixed-rate, nonconvertible, investment-grade corporate debt and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities. Issues are rated at least “Baa” by Moody's Investors Service or “BBB” by Standard & Poor's, if unrated by Moody's. The index is not adjusted to reflect sales loads, expenses or other fees that the Securities and Exchange Commission (SEC) requires to be reflected in the Fund's performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
3 | The BBUSC-Baa is a component of the BBUSC comprised of corporate bonds or securities represented by the following sectors: industrial, utility and finance, including both U.S. and non-U.S. corporations and non-corporate bonds or securities represented by the following sectors: sovereign, supranational, foreign agencies and foreign local governments. The index is not adjusted to reflect sales loads, expenses or other fees that the SEC requires to be reflected in the Fund's performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
Security Type | Percentage of Total Net Assets |
Corporate Debt Securities | 94.1% |
Foreign Government Debt Securities | 3.7% |
Derivative Contracts2,3 | 0.0% |
Securities Lending Collateral4 | 3.5% |
Cash Equivalents5 | 1.3% |
Other Assets and Liabilities—Net6 | (2.6)% |
TOTAL | 100.0% |
1 | See the Fund's Prospectus and Statement of Additional Information for a description of these security types. |
2 | Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts may consist of futures, forwards, options and swaps. The impact of a derivative contract on the Fund's performance may be larger than its unrealized appreciation (depreciation) or value may indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract's significance to the portfolio. More complete information regarding the Fund's direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report. |
3 | Represents less than 0.1%. |
4 | Represents cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds, other money market instruments and/or repurchase agreements. |
5 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
6 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—94.1% | |||
Basic Industry - Chemicals—0.7% | |||
$90,000 | Albemarle Corp., 4.150%, 12/1/2024 | $96,438 | |
90,000 | 1 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | 103,089 |
200,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | 216,631 | |
300,000 | RPM International, Inc., Sr. Unsecd. Note, 5.250%, 6/1/2045 | 336,082 | |
TOTAL | 752,240 | ||
Basic Industry - Metals & Mining—1.8% | |||
235,000 | Anglogold Ashanti Holdings PLC, Sr. Note, 6.500%, 4/15/2040 | 266,100 | |
40,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 41,480 | |
150,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 5.200%, 7/15/2021 | 153,789 | |
250,000 | Gold Fields Orogen Holding BVI Ltd., Sr. Unsecd. Note, 144A, 4.875%, 10/7/2020 | 254,047 | |
280,000 | Newcrest Finance Property Ltd., Sr. Unsecd. Note, 144A, 4.200%, 10/1/2022 | 291,872 | |
225,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 237,821 | |
250,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | 333,946 | |
170,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.300%, 8/1/2032 | 173,759 | |
105,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.550%, 4/15/2026 | 111,727 | |
TOTAL | 1,864,541 | ||
Basic Industry - Paper—0.9% | |||
150,000 | 1 | International Paper Co., Sr. Unsecd. Note, 3.000%, 2/15/2027 | 154,647 |
300,000 | International Paper Co., Sr. Unsecd. Note, 4.400%, 8/15/2047 | 320,884 | |
150,000 | Weyerhaeuser Co., Sr. Unsecd. Note, 3.250%, 3/15/2023 | 153,395 | |
140,000 | Weyerhaeuser Co., Sr. Unsecd. Note, 4.700%, 3/15/2021 | 143,660 | |
100,000 | Weyerhaeuser Co., Sr. Unsecd. Note, 7.375%, 3/15/2032 | 138,567 | |
TOTAL | 911,153 | ||
Capital Goods - Aerospace & Defense—2.1% | |||
150,000 | Arconic, Inc., Sr. Unsecd. Note, 5.400%, 4/15/2021 | 154,693 | |
230,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 244,072 | |
360,000 | Embraer Netherlands BV, Sr. Unsecd. Note, 5.050%, 6/15/2025 | 395,703 | |
100,000 | Embraer SA, Sr. Unsecd. Note, 5.150%, 6/15/2022 | 105,882 | |
170,000 | Hexcel Corp., Sr. Unsecd. Note, 3.950%, 2/15/2027 | 177,332 | |
240,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 250,139 | |
740,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 3.250%, 1/15/2028 | 771,997 | |
136,000 | 2 | Textron Financial Corp., Jr. Sub. Note, 144A, 3.644% (3-month USLIBOR +1.735%), 2/15/2042 | 108,374 |
50,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 53,660 | |
TOTAL | 2,261,852 | ||
Capital Goods - Building Materials—0.6% | |||
100,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 101,855 | |
125,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 128,529 | |
220,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 225,620 | |
170,000 | Masco Corp., Sr. Unsecd. Note, 4.500%, 5/15/2047 | 171,389 | |
TOTAL | 627,393 | ||
Capital Goods - Construction Machinery—0.5% | |||
480,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 500,903 | |
Capital Goods - Diversified Manufacturing—3.8% | |||
1,900,000 | General Electric Co., Sr. Unsecd. Note, 3.375%, 3/11/2024 | 1,968,092 | |
110,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.950%, 9/15/2029 | 111,186 | |
60,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.850%, 12/15/2025 | 64,662 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Capital Goods - Diversified Manufacturing—continued | |||
$245,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 4.200%, 9/15/2028 | $268,398 | |
600,000 | 1 | United Technologies Corp., Sr. Unsecd. Note, 4.125%, 11/16/2028 | 675,882 |
350,000 | United Technologies Corp., Sr. Unsecd. Note, 4.150%, 5/15/2045 | 400,725 | |
525,000 | Valmont Industries, Inc., 5.250%, 10/1/2054 | 523,156 | |
TOTAL | 4,012,101 | ||
Capital Goods - Packaging—0.8% | |||
180,000 | Packaging Corp. of America, Sr. Unsecd. Note, 3.650%, 9/15/2024 | 189,202 | |
80,000 | Packaging Corp. of America, Sr. Unsecd. Note, 4.500%, 11/1/2023 | 85,948 | |
220,000 | Sonoco Products Co., Sr. Unsecd. Note, 5.750%, 11/1/2040 | 268,869 | |
120,000 | WestRock Co., Sr. Unsecd. Note, 4.000%, 3/1/2023 | 125,313 | |
150,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 4.000%, 3/15/2028 | 161,363 | |
TOTAL | 830,695 | ||
Communications - Cable & Satellite—2.0% | |||
440,000 | CCO Safari II LLC, 6.484%, 10/23/2045 | 549,506 | |
380,000 | Charter Communications Operating LLC, 5.375%, 5/1/2047 | 425,830 | |
300,000 | Charter Communications, Inc., 4.200%, 3/15/2028 | 319,704 | |
165,000 | Cox Communications, Inc., Sr. Unsecd. Note, 144A, 3.350%, 9/15/2026 | 170,416 | |
300,000 | Time Warner Cable, Inc., Company Guarantee, 5.000%, 2/1/2020 | 300,568 | |
300,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 334,967 | |
TOTAL | 2,100,991 | ||
Communications - Media & Entertainment—2.3% | |||
200,000 | CBS Corp., 3.700%, 8/15/2024 | 211,705 | |
200,000 | CBS Corp., 4.900%, 8/15/2044 | 226,074 | |
190,000 | CBS Corp., Sr. Unsecd. Note, Series WI, 3.700%, 6/1/2028 | 199,507 | |
135,000 | Fox Corp., Sr. Unsecd. Note, 144A, 4.709%, 1/25/2029 | 153,869 | |
375,000 | Fox Corp., Sr. Unsecd. Note, 144A, 5.576%, 1/25/2049 | 476,966 | |
250,000 | 1 | Grupo Televisa S.A., 6.625%, 3/18/2025 | 291,863 |
250,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 5/13/2045 | 261,588 | |
70,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 4.000%, 3/15/2022 | 72,591 | |
305,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.625%, 5/1/2022 | 315,912 | |
200,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.650%, 11/1/2024 | 211,341 | |
TOTAL | 2,421,416 | ||
Communications - Telecom Wireless—2.7% | |||
250,000 | American Tower Corp., Sr. Unsecd. Note, 3.800%, 8/15/2029 | 267,434 | |
100,000 | American Tower Corp., Sr. Unsecd. Note, 4.400%, 2/15/2026 | 109,155 | |
200,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 220,268 | |
280,000 | Bell Canada, Sr. Unsecd. Note, 4.464%, 4/1/2048 | 324,227 | |
400,000 | Crown Castle International Corp., Sr. Unsecd. Note, 4.450%, 2/15/2026 | 438,145 | |
200,000 | Crown Castle International Corp., Sr. Unsecd. Note, 5.200%, 2/15/2049 | 242,917 | |
300,000 | TELUS Corp., Sr. Unsecd. Note, 2.800%, 2/16/2027 | 300,843 | |
230,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 249,779 | |
580,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | 698,241 | |
TOTAL | 2,851,009 | ||
Communications - Telecom Wirelines—6.7% | |||
750,000 | AT&T, Inc., Sr. Unsecd. Note, 4.250%, 3/1/2027 | 823,547 | |
500,000 | AT&T, Inc., Sr. Unsecd. Note, 4.300%, 2/15/2030 | 555,959 | |
500,000 | 1 | AT&T, Inc., Sr. Unsecd. Note, 4.350%, 3/1/2029 | 555,973 |
400,000 | AT&T, Inc., Sr. Unsecd. Note, 5.450%, 3/1/2047 | 496,200 | |
245,000 | AT&T, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2041 | 324,582 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Communications - Telecom Wirelines—continued | |||
$800,000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | $978,967 | |
225,000 | Telefonica Emisiones SAU, Company Guarantee, 5.462%, 2/16/2021 | 233,538 | |
180,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.213%, 3/8/2047 | 213,366 | |
240,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.520%, 3/1/2049 | 300,653 | |
40,000 | Telefonica SA, Company Guarantee, 7.045%, 6/20/2036 | 55,951 | |
750,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 3/16/2027 | 832,427 | |
390,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 440,131 | |
300,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.150%, 3/15/2024 | 323,194 | |
210,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.522%, 9/15/2048 | 251,564 | |
534,000 | 1 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.672%, 3/15/2055 | 659,661 |
TOTAL | 7,045,713 | ||
Consumer Cyclical - Automotive—2.9% | |||
470,000 | Fiat Chrysler Automobiles NV, Sr. Unsecd. Note, 5.250%, 4/15/2023 | 503,483 | |
200,000 | 1 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.336%, 3/18/2021 | 201,513 |
250,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.339%, 3/28/2022 | 252,483 | |
250,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.350%, 11/1/2022 | 252,576 | |
200,000 | General Motors Co., Sr. Unsecd. Note, 4.000%, 4/1/2025 | 210,837 | |
455,000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | 459,112 | |
110,000 | General Motors Co., Sr. Unsecd. Note, 6.750%, 4/1/2046 | 129,303 | |
250,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.300%, 7/13/2025 | 267,235 | |
300,000 | General Motors Financial Co., Inc., Unsecd. Note, 3.500%, 11/7/2024 | 309,124 | |
200,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/12/2021 | 206,861 | |
200,000 | 1 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.250%, 11/13/2023 | 213,112 |
TOTAL | 3,005,639 | ||
Consumer Cyclical - Retailers—3.9% | |||
100,000 | Advance Auto Parts, Inc., 4.500%, 12/1/2023 | 107,174 | |
80,000 | Advance Auto Parts, Inc., Company Guarantee, 4.500%, 1/15/2022 | 83,084 | |
130,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.500%, 10/1/2025 | 140,140 | |
55,000 | AutoZone, Inc., Sr. Unsecd. Note, 3.125%, 4/21/2026 | 56,721 | |
50,000 | CVS Health Corp., Sr. Unsecd. Note, 3.875%, 7/20/2025 | 53,244 | |
390,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 425,929 | |
880,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 1,041,360 | |
520,000 | CVS Health Corp., Sr. Unsecd. Note, 5.125%, 7/20/2045 | 616,116 | |
300,000 | Dollar General Corp., Sr. Unsecd. Note, 4.125%, 5/1/2028 | 327,538 | |
310,000 | Dollar General Corp., Sr. Unsecd. Note, 4.150%, 11/1/2025 | 337,447 | |
450,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | 468,754 | |
335,000 | O'Reilly Automotive, Inc., Company Guarantee, 4.875%, 1/14/2021 | 342,653 | |
120,000 | Under Armour, Inc., Sr. Unsecd. Note, 3.250%, 6/15/2026 | 116,748 | |
TOTAL | 4,116,908 | ||
Consumer Cyclical - Services—0.8% | |||
350,000 | Expedia Group, Inc., Sr. Unsecd. Note, 3.800%, 2/15/2028 | 356,970 | |
450,000 | IHS Markit Ltd., Sr. Unsecd. Note, 4.750%, 8/1/2028 | 502,239 | |
TOTAL | 859,209 | ||
Consumer Non-Cyclical - Food/Beverage—7.8% | |||
1,000,000 | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 1,184,468 | |
100,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 2/1/2046 | 117,957 | |
500,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.439%, 10/6/2048 | 561,228 | |
500,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029 | 579,274 | |
125,000 | Bacardi Ltd., Sr. Unsecd. Note, 144A, 2.750%, 7/15/2026 | 123,012 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Food/Beverage—continued | |||
$250,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028 | $281,208 | |
250,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 5.250%, 11/15/2048 | 303,622 | |
290,000 | Danone SA, Sr. Unsecd. Note, 144A, 2.947%, 11/2/2026 | 296,195 | |
210,000 | 1 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 214,275 |
365,000 | General Mills, Inc., Sr. Unsecd. Note, 4.550%, 4/17/2038 | 422,675 | |
80,000 | 1 | General Mills, Inc., Sr. Unsecd. Note, 4.700%, 4/17/2048 | 95,299 |
200,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | 208,942 | |
300,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 4.500%, 1/25/2022 | 312,059 | |
150,000 | Heineken NV, Sr. Unsecd. Note, 144A, 4.350%, 3/29/2047 | 167,938 | |
250,000 | Kerry Group Financial Services, Sr. Unsecd. Note, 144A, 3.200%, 4/9/2023 | 253,125 | |
220,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 240,326 | |
250,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 5.085%, 5/25/2048 | 301,514 | |
475,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.000%, 6/1/2026 | 475,017 | |
330,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 324,936 | |
250,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 5.200%, 7/15/2045 | 271,182 | |
250,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 3.400%, 8/15/2027 | 260,655 | |
140,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 2.650%, 10/3/2021 | 139,188 | |
300,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027 | 308,743 | |
300,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 3.500%, 3/15/2025 | 315,675 | |
200,000 | Tyson Foods, Inc., 3.950%, 8/15/2024 | 214,414 | |
185,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.550%, 6/2/2027 | 196,806 | |
TOTAL | 8,169,733 | ||
Consumer Non-Cyclical - Health Care—1.7% | |||
155,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2029 | 153,992 | |
120,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 3.200%, 10/1/2022 | 122,768 | |
220,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 3.000%, 9/23/2029 | 223,961 | |
55,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 58,293 | |
300,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.669%, 6/6/2047 | 357,088 | |
204,000 | 1 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 238,403 |
40,000 | Laboratory Corp. of America Holdings, Sr. Unsecd. Note, 3.750%, 8/23/2022 | 41,534 | |
550,000 | 1 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 562,159 |
TOTAL | 1,758,198 | ||
Consumer Non-Cyclical - Pharmaceuticals—3.5% | |||
955,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 3.200%, 11/21/2029 | 972,127 | |
460,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 4.250%, 11/21/2049 | 486,192 | |
300,000 | AstraZeneca PLC, Sr. Unsecd. Note, 2.375%, 6/12/2022 | 303,433 | |
500,000 | AstraZeneca PLC, Sr. Unsecd. Note, 4.000%, 1/17/2029 | 555,225 | |
250,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 3.875%, 12/15/2023 | 262,409 | |
200,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.250%, 12/15/2025 | 215,780 | |
375,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 5.000%, 8/15/2045 | 480,788 | |
190,000 | Shire Acquisitions Investments Ireland DAC, Sr. Unsecd. Note, 2.400%, 9/23/2021 | 191,080 | |
300,000 | Teva Pharmaceutical Finance Netherlands III BV, Sr. Unsecd. Note, 3.150%, 10/1/2026 | 250,508 | |
TOTAL | 3,717,542 | ||
Consumer Non-Cyclical - Supermarkets—0.4% | |||
300,000 | Kroger Co., Bond, 6.900%, 4/15/2038 | 403,766 | |
Consumer Non-Cyclical - Tobacco—1.7% | |||
200,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.800%, 2/14/2029 | 222,822 | |
500,000 | Altria Group, Inc., Sr. Unsecd. Note, 5.950%, 2/14/2049 | 605,387 | |
200,000 | Bat Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047 | 200,916 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Tobacco—continued | |||
$300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 5.850%, 8/15/2045 | $343,934 | |
300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 366,906 | |
TOTAL | 1,739,965 | ||
Energy - Independent—3.9% | |||
200,000 | 1 | Apache Corp., Sr. Unsecd. Note, 4.250%, 1/15/2030 | 207,421 |
500,000 | 1 | Apache Corp., Sr. Unsecd. Note, 4.375%, 10/15/2028 | 522,432 |
590,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 3.800%, 4/15/2024 | 623,699 | |
390,000 | Cimarex Energy Co., Sr. Unsecd. Note, 3.900%, 5/15/2027 | 403,431 | |
175,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 185,225 | |
500,000 | Marathon Oil Corp., Sr. Unsecd. Note, 3.850%, 6/1/2025 | 529,425 | |
1,000,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 2.900%, 8/15/2024 | 1,016,520 | |
400,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 3.450%, 7/15/2024 | 409,702 | |
180,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 5.550%, 3/15/2026 | 204,408 | |
TOTAL | 4,102,263 | ||
Energy - Integrated—0.7% | |||
250,000 | Husky Energy, Inc., 4.000%, 4/15/2024 | 263,912 | |
240,000 | Husky Energy, Inc., Sr. Unsecd. Note, 4.400%, 4/15/2029 | 258,354 | |
100,000 | Petro-Canada, Bond, 5.350%, 7/15/2033 | 123,088 | |
130,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 6.500%, 3/13/2027 | 138,394 | |
TOTAL | 783,748 | ||
Energy - Midstream—6.8% | |||
400,000 | 1 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 427,668 |
100,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2025 | 109,699 | |
100,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 5.800%, 6/1/2045 | 126,567 | |
600,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 643,791 | |
250,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 5.300%, 4/15/2047 | 266,599 | |
250,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 6.125%, 12/15/2045 | 289,620 | |
250,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 10Y, 4.950%, 6/15/2028 | 273,846 | |
200,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.250%, 2/15/2048 | 214,573 | |
500,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.850%, 3/15/2044 | 580,796 | |
40,000 | Florida Gas Transmission Co. LLC, Sr. Unsecd. Note, 144A, 5.450%, 7/15/2020 | 40,676 | |
400,000 | Kinder Morgan Energy Partners LP, 4.250%, 9/1/2024 | 428,578 | |
495,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 623,995 | |
300,000 | Kinder Morgan, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2028 | 327,178 | |
300,000 | Kinder Morgan, Inc., Sr. Unsecd. Note, 5.200%, 3/1/2048 | 347,870 | |
80,000 | MPLX LP, Sr. Unsecd. Note, 144A, 4.250%, 12/1/2027 | 84,273 | |
395,000 | MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027 | 414,816 | |
200,000 | MPLX LP, Sr. Unsecd. Note, 4.900%, 4/15/2058 | 203,647 | |
500,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 550,611 | |
290,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 303,399 | |
200,000 | Texas Eastern Transmission LP, Sr. Unsecd. Note, 144A, 2.800%, 10/15/2022 | 201,962 | |
290,000 | Williams Partners LP, Sr. Unsecd. Note, 3.900%, 1/15/2025 | 305,303 | |
400,000 | Williams Partners LP, Sr. Unsecd. Note, 4.850%, 3/1/2048 | 437,306 | |
TOTAL | 7,202,773 | ||
Energy - Refining—1.2% | |||
200,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 3.625%, 9/15/2024 | 210,035 | |
150,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 6.500%, 3/1/2041 | 194,676 | |
190,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 229,052 | |
140,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 4/1/2029 | 151,081 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Energy - Refining—continued | |||
$400,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.900%, 3/15/2045 | $461,296 | |
TOTAL | 1,246,140 | ||
Financial Institution - Banking—7.7% | |||
410,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 433,324 | |
200,000 | Bank of America Corp., Sub. Note, Series L, 3.950%, 4/21/2025 | 213,402 | |
300,000 | Bank of America Corp., Sub. Note, Series L, 4.183%, 11/25/2027 | 325,193 | |
800,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 853,460 | |
500,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.750%, 3/9/2027 | 533,210 | |
255,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 270,429 | |
480,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 523,639 | |
250,000 | Citigroup, Inc., 5.500%, 9/13/2025 | 285,790 | |
750,000 | Citigroup, Inc., Sub. Note, 3.875%, 3/26/2025 | 793,199 | |
250,000 | Citizens Financial Group, Inc., Sub. Note, 144A, 4.150%, 9/28/2022 | 260,812 | |
180,000 | Citizens Financial Group, Inc., Sub. Note, 4.300%, 12/3/2025 | 193,400 | |
150,000 | Citizens Financial Group, Inc., Sub. Note, 4.350%, 8/1/2025 | 161,642 | |
200,000 | Comerica, Inc., 3.800%, 7/22/2026 | 210,768 | |
200,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 210,044 | |
120,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.650%, 1/25/2024 | 126,520 | |
200,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 219,867 | |
900,000 | Goldman Sachs Group, Inc., Sub. Note, 4.250%, 10/21/2025 | 977,258 | |
40,000 | Huntington Bancshares, Inc., Sub. Note, 7.000%, 12/15/2020 | 41,826 | |
450,000 | Morgan Stanley, Sub. Note, 5.000%, 11/24/2025 | 506,847 | |
175,000 | Morgan Stanley, Sub. Note, Series MTN, 4.100%, 5/22/2023 | 184,852 | |
410,000 | Regions Financial Corp., Sr. Unsecd. Note, 3.200%, 2/8/2021 | 415,156 | |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 208,316 | |
150,000 | Truist Financial Corp., Sr. Unsecd. Note, 2.900%, 3/3/2021 | 151,576 | |
TOTAL | 8,100,530 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.3% | |||
300,000 | Stifel Financial Corp., 4.250%, 7/18/2024 | 319,342 | |
Financial Institution - Finance Companies—1.0% | |||
500,000 | Discover Bank, Sr. Unsecd. Note, Series BKNT, 4.650%, 9/13/2028 | 563,392 | |
400,000 | GE Capital International Funding, Inc., Sr. Unsecd. Note, 4.418%, 11/15/2035 | 426,621 | |
70,000 | Macquarie Group Ltd., Sr. Unsecd. Note, 144A, 6.000%, 1/14/2020 | 70,085 | |
TOTAL | 1,060,098 | ||
Financial Institution - Insurance - Health—1.3% | |||
500,000 | CIGNA Corp., Sr. Unsecd. Note, 3.750%, 7/15/2023 | 524,462 | |
500,000 | CIGNA Corp., Sr. Unsecd. Note, 4.125%, 11/15/2025 | 542,738 | |
250,000 | CIGNA Corp., Sr. Unsecd. Note, 4.900%, 12/15/2048 | 298,928 | |
TOTAL | 1,366,128 | ||
Financial Institution - Insurance - Life—1.7% | |||
75,000 | AXA-UAP, Sub. Note, 8.600%, 12/15/2030 | 109,031 | |
300,000 | American International Group, Inc., 4.500%, 7/16/2044 | 345,592 | |
255,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 273,810 | |
100,000 | American International Group, Inc., Sr. Unsecd. Note, 4.375%, 1/15/2055 | 109,617 | |
110,000 | Lincoln National Corp., Sr. Note, 7.000%, 6/15/2040 | 156,384 | |
400,000 | 1 | Lincoln National Corp., Sr. Unsecd. Note, 3.050%, 1/15/2030 | 402,812 |
200,000 | Lincoln National Corp., Sr. Unsecd. Note, 6.250%, 2/15/2020 | 200,929 | |
100,000 | MetLife, Inc., Jr. Sub. Note, 10.750%, 8/1/2039 | 167,186 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Insurance - Life—continued | |||
$50,000 | Penn Mutual Life Insurance Co., Sr. Note, 144A, 7.625%, 6/15/2040 | $71,872 | |
TOTAL | 1,837,233 | ||
Financial Institution - Insurance - P&C—1.1% | |||
500,000 | 1 | CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029 | 538,135 |
120,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 6.625%, 4/15/2042 | 165,295 | |
13,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 6/15/2023 | 13,814 | |
412,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.569%, 2/1/2029 | 460,196 | |
TOTAL | 1,177,440 | ||
Financial Institution - REIT - Apartment—0.9% | |||
160,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | 173,154 | |
150,000 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.750%, 6/15/2024 | 158,196 | |
100,000 | Post Apartment Homes LP, Sr. Unsecd. Note, 3.375%, 12/1/2022 | 103,049 | |
250,000 | UDR, Inc., Series MTN, 3.750%, 7/1/2024 | 263,304 | |
80,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | 79,893 | |
200,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 210,094 | |
TOTAL | 987,690 | ||
Financial Institution - REIT - Healthcare—1.4% | |||
400,000 | Healthcare Trust of America, 3.700%, 4/15/2023 | 413,697 | |
245,000 | Healthcare Trust of America, Sr. Unsecd. Note, 3.100%, 2/15/2030 | 243,263 | |
300,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 314,034 | |
500,000 | Welltower, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 544,740 | |
TOTAL | 1,515,734 | ||
Financial Institution - REIT - Office—0.3% | |||
100,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.900%, 6/15/2023 | 105,053 | |
90,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 96,892 | |
100,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | 107,408 | |
TOTAL | 309,353 | ||
Financial Institution - REIT - Other—1.0% | |||
160,000 | Liberty Property LP, Sr. Unsecd. Note, 4.375%, 2/1/2029 | 182,053 | |
300,000 | Liberty Property LP, Sr. Unsecd. Note, 4.400%, 2/15/2024 | 324,311 | |
175,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | 184,790 | |
300,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 321,633 | |
TOTAL | 1,012,787 | ||
Financial Institution - REIT - Retail—1.2% | |||
140,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.800%, 10/1/2026 | 140,690 | |
80,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.400%, 11/1/2022 | 82,645 | |
290,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.800%, 4/1/2027 | 306,709 | |
170,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 184,362 | |
460,000 | Tanger Properties LP, Sr. Unsecd. Note, 3.125%, 9/1/2026 | 455,945 | |
45,000 | Tanger Properties LP, Sr. Unsecd. Note, 3.875%, 12/1/2023 | 46,327 | |
TOTAL | 1,216,678 | ||
Technology—6.0% | |||
1,050,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/15/2024 | 1,091,986 | |
60,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, 144A, 4.420%, 6/15/2021 | 61,748 | |
840,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, 144A, 6.020%, 6/15/2026 | 966,814 | |
205,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 206,235 | |
250,000 | Equifax, Inc., Sr. Unsecd. Note, Series 5Y, 3.950%, 6/15/2023 | 262,569 | |
100,000 | Equifax, Inc., Sr. Unsecd. Note, Series FXD, 3.600%, 8/15/2021 | 102,313 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 219,975 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$90,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.750%, 5/21/2029 | $98,481 | |
375,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 394,378 | |
285,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023 | 301,025 | |
310,000 | Hewlett Packard Enterprise Co., Sr. Unsecd. Note, 3.600%, 10/15/2020 | 313,544 | |
100,000 | Ingram Micro, Inc., Sr. Unsecd. Note, 5.000%, 8/10/2022 | 103,298 | |
70,000 | Ingram Micro, Inc., Sr. Unsecd. Note, 5.450%, 12/15/2024 | 73,536 | |
450,000 | Keysight Technologies, Inc., 4.550%, 10/30/2024 | 490,316 | |
155,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 170,815 | |
200,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.640%, 2/6/2024 | 217,012 | |
200,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.975%, 2/6/2026 | 222,023 | |
350,000 | Molex Electronics Technologies LLC, Unsecd. Note, 144A, 3.900%, 4/15/2025 | 361,191 | |
160,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | 175,265 | |
80,000 | 1 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 88,992 |
150,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 164,644 | |
220,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 9/12/2022 | 230,995 | |
TOTAL | 6,317,155 | ||
Transportation - Railroads—0.9% | |||
100,000 | Canadian Pacific Railway Co., 7.125%, 10/15/2031 | 138,596 | |
200,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 4.450%, 3/15/2023 | 212,807 | |
305,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2023 | 312,024 | |
200,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 4.700%, 5/1/2048 | 234,242 | |
TOTAL | 897,669 | ||
Transportation - Services—1.9% | |||
330,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2042 | 418,418 | |
200,000 | FedEx Corp., Sr. Unsecd. Note, 3.100%, 8/5/2029 | 199,976 | |
550,000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | 530,696 | |
400,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.950%, 3/10/2025 | 424,865 | |
220,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.900%, 12/1/2026 | 221,594 | |
200,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.400%, 3/1/2023 | 206,266 | |
TOTAL | 2,001,815 | ||
Utility - Electric—5.6% | |||
130,000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025 | 135,555 | |
80,000 | Ameren Corp., Sr. Unsecd. Note, 3.650%, 2/15/2026 | 83,740 | |
95,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series F, 2.950%, 12/15/2022 | 96,820 | |
200,000 | Appalachian Power Co., Sr. Unsecd. Note, 7.000%, 4/1/2038 | 283,813 | |
50,000 | Dominion Energy Gas Holdings LLC, Sr. Unsecd. Note, Series B, 3.000%, 11/15/2029 | 49,862 | |
65,000 | Dominion Energy Gas Holdings LLC, Sr. Unsecd. Note, Series C, 3.900%, 11/15/2049 | 64,992 | |
195,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 200,920 | |
130,000 | Dominion Energy, Inc., Sr. Unsecd. Note, 4.250%, 6/1/2028 | 143,778 | |
240,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026 | 241,107 | |
300,000 | 1 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 312,329 |
300,000 | Electricite de France SA, Jr. Sub. Note, 144A, 5.625%, 7/22/2068 | 318,214 | |
390,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 450,899 | |
290,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.625%, 9/14/2025 | 316,381 | |
200,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.875%, 6/14/2029 | 225,712 | |
100,000 | Exelon Corp., Sr. Unsecd. Note, 3.950%, 6/15/2025 | 107,529 | |
180,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 206,016 | |
242,000 | Fortis, Inc./Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 247,122 | |
600,000 | Mississippi Power Co., Sr. Unsecd. Note, 3.950%, 3/30/2028 | 653,436 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—continued | |||
$290,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | $314,375 | |
200,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.550%, 5/1/2027 | 212,435 | |
300,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.950%, 3/30/2048 | 315,872 | |
100,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 110,770 | |
250,000 | Northeast Utilities, Sr. Unsecd. Note, Series H, 3.150%, 1/15/2025 | 257,935 | |
200,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 3.950%, 3/15/2024 | 210,605 | |
200,000 | PPL WEM Holdings PLC, Sr. Unsecd. Note, 144A, 5.375%, 5/1/2021 | 205,901 | |
80,000 | TECO Finance, Inc., Company Guarantee, 5.150%, 3/15/2020 | 80,494 | |
TOTAL | 5,846,612 | ||
Utility - Natural Gas—1.6% | |||
300,000 | 1 | Enbridge Energy Partners LP, 5.875%, 10/15/2025 | 349,841 |
80,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | 95,088 | |
200,000 | 1 | National Fuel Gas Co., Sr. Unsecd. Note, 3.750%, 3/1/2023 | 206,457 |
130,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.950%, 9/15/2027 | 134,663 | |
90,000 | National Fuel Gas Co., Sr. Unsecd. Note, 4.900%, 12/1/2021 | 93,691 | |
300,000 | Sempra Energy, Sr. Unsecd. Note, 3.400%, 2/1/2028 | 310,891 | |
200,000 | Sempra Energy, Sr. Unsecd. Note, 3.550%, 6/15/2024 | 209,512 | |
250,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 284,811 | |
TOTAL | 1,684,954 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $91,239,286) | 98,937,109 | ||
FOREIGN GOVERNMENTS/AGENCIES—3.7% | |||
Sovereign—3.7% | |||
450,000 | Colombia, Government of, Sr. Unsecd. Note, 3.875%, 4/25/2027 | 475,875 | |
400,000 | Colombia, Government of, Sr. Unsecd. Note, 4.375%, 7/12/2021 | 412,504 | |
855,000 | Colombia, Government of, Sr. Unsecd. Note, 4.500%, 3/15/2029 | 948,195 | |
700,000 | Mexico, Government of, 3.750%, 1/11/2028 | 727,300 | |
200,000 | Mexico, Government of, Series MTN, 4.750%, 3/8/2044 | 221,000 | |
206,000 | Mexico, Government of, Series MTN, 6.750%, 9/27/2034 | 282,220 | |
300,000 | Mexico, Government of, Sr. Unsecd. Note, 3.600%, 1/30/2025 | 313,578 | |
250,000 | Mexico, Government of, Sr. Unsecd. Note, 4.500%, 4/22/2029 | 274,125 | |
190,000 | 1 | Peru, Government of, 6.550%, 3/14/2037 | 277,875 |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $3,572,057) | 3,932,672 | ||
REPURCHASE AGREEMENT—1.3% | |||
Finance - Banking—1.3% | |||
1,317,000 | Interest in $450,000,000 joint repurchase agreement 1.57%, dated 12/31/2019 under which BMO Capital Markets Corp. will repurchase securities provided as collateral for $450,039,250 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 11/20/2069 and the market value of those underlying securities was $460,414,804. (IDENTIFIED COST $1,317,000) | 1,317,000 | |
INVESTMENT COMPANY—3.5% | |||
3,660,975 | Federated Government Obligations Fund, Premier Shares, 1.53%3 (IDENTIFIED COST $3,660,975) | 3,660,975 | |
TOTAL INVESTMENT IN SECURITIES—102.6% (IDENTIFIED COST $99,789,318)4 | 107,847,756 | ||
OTHER ASSETS AND LIABILITIES - NET—(2.6)%5 | (2,721,598) | ||
TOTAL NET ASSETS—100% | $105,126,158 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
6U.S. Treasury Notes 2-Year Long Futures | 75 | $16,162,500 | March 2020 | $(15,410) |
6U.S. Treasury Notes 5-Year Short Futures | 20 | $2,372,188 | March 2020 | $11,986 |
6U.S. Treasury Notes 10-Year Short Futures | 30 | $3,852,656 | March 2020 | $43,058 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $39,634 |
Federated Government Obligations Fund, Premier Shares* | |
Balance of Shares Held 12/31/2018 | — |
Purchases/Additions | 14,958,512 |
Sales/Reductions | (11,297,537) |
Balance of Shares Held 12/31/2019 | 3,660,975 |
Value | $3,660,975 |
Change in Unrealized Appreciation/Depreciation | N/A |
Net Realized Gain/(Loss) | N/A |
Dividend Income | $13,631 |
* | All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions. |
1 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | 7-day net yield. |
4 | Also represents cost for federal tax purposes. |
5 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
6 | Non-income-producing security. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $98,937,109 | $— | $98,937,109 |
Foreign Governments/Agencies | — | 3,932,672 | — | 3,932,672 |
Repurchase Agreement | — | 1,317,000 | — | 1,317,000 |
Investment Company | 3,660,975 | — | — | 3,660,975 |
TOTAL SECURITIES | $3,660,975 | $104,186,781 | $— | $107,847,756 |
Other Financial Instruments:1 | ||||
Assets | $55,044 | $— | $— | $55,044 |
Liabilities | (15,410) | — | — | (15,410) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $39,634 | $— | $— | $39,634 |
1 | Other financial instruments are futures contracts. |
BKNT | —Bank Notes |
GMTN | —Global Medium Term Note |
LIBOR | —London Interbank Offered Rate |
MTN | —Medium Term Note |
REIT | —Real Estate Investment Trust |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $10.26 | $11.10 | $10.71 | $10.29 | $11.05 |
Income From Investment Operations: | |||||
Net investment income | 0.45 | 0.46 | 0.45 | 0.46 | 0.47 |
Net realized and unrealized gain (loss) | 1.22 | (0.77) | 0.39 | 0.42 | (0.76) |
TOTAL FROM INVESTMENT OPERATIONS | 1.67 | (0.31) | 0.84 | 0.88 | (0.29) |
Less Distributions: | |||||
Distributions from net investment income | (0.45) | (0.46) | (0.45) | (0.46) | (0.47) |
Distributions from net realized gain | — | (0.07) | — | — | — |
TOTAL DISTRIBUTIONS | (0.45) | (0.53) | (0.45) | (0.46) | (0.47) |
Net Asset Value, End of Period | $11.48 | $10.26 | $11.10 | $10.71 | $10.29 |
Total Return1 | 16.56% | (2.82)% | 8.01% | 8.61% | (2.71)% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 4.11% | 4.30% | 4.14% | 4.28% | 4.39% |
Expense waiver/reimbursement3 | 0.30% | 0.32% | 0.29% | 0.33% | 0.34% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $105,126 | $85,243 | $85,052 | $78,255 | $72,610 |
Portfolio turnover | 18% | 16% | 22% | 25% | 26% |
1 | Based on net asset value. |
2 | Federated Investment Management Company (the “Adviser”) has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses, incurred by the Fund. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in securities, at value including $3,541,673 of securities loaned and including $3,660,975 of investment in an affiliated holding* (identified cost $99,789,318) | $107,847,756 | |
Cash | 728 | |
Due from broker | 35,394 | |
Income receivable | 1,122,464 | |
Receivable for shares sold | 196,155 | |
Receivable for variation margin on futures contracts | 9,542 | |
TOTAL ASSETS | 109,212,039 | |
Liabilities: | ||
Payable for shares redeemed | $2,061 | |
Payable for collateral due to broker for securities lending | 3,660,975 | |
Income distribution payable | 333,006 | |
Payable to adviser (Note 5) | 1,332 | |
Payable for administrative fees (Note 5) | 227 | |
Accrued expenses (Note 5) | 88,280 | |
TOTAL LIABILITIES | 4,085,881 | |
Net assets for 9,156,686 shares outstanding | $105,126,158 | |
Net Assets Consist of: | ||
Paid-in capital | $97,291,729 | |
Total distributable earnings (loss) | 7,834,429 | |
TOTAL NET ASSETS | $105,126,158 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$105,126,158 ÷ 9,156,686 shares outstanding, no par value, unlimited shares authorized | $11.48 |
* | See information listed after the Fund's Portfolio of Investments. |
Investment Income: | ||
Interest | $4,041,588 | |
Net income on securities loaned (includes $13,631 earned from an affiliated holding related to cash collateral balances*) | 614 | |
TOTAL INCOME | 4,042,202 | |
Expenses: | ||
Administrative fee (Note 5) | $82,491 | |
Custodian fees | 11,730 | |
Transfer agent fee | 9,338 | |
Directors'/Trustees' fees (Note 5) | 2,022 | |
Auditing fees | 30,999 | |
Legal fees | 9,155 | |
Portfolio accounting fees | 74,174 | |
Share registration costs | 30,987 | |
Printing and postage | 16,780 | |
Commitment fee (Note 7) | 16,609 | |
Miscellaneous (Note 5) | 11,984 | |
TOTAL EXPENSES | 296,269 | |
Reimbursement: | ||
Reimbursement of other operating expenses (Notes 2 and 5) | $(296,269) | |
Net expenses | — | |
Net investment income | 4,042,202 | |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||
Net realized gain on investments | 340,430 | |
Net realized loss on futures contracts | (504,884) | |
Net change in unrealized depreciation of investments | 10,699,090 | |
Net change in unrealized depreciation of futures contracts | 223,140 | |
Net realized and unrealized gain (loss) on investments and futures contracts | 10,757,776 | |
Change in net assets resulting from operations | $14,799,978 |
* | See information listed after the Fund's Portfolio of Investments. |
Year Ended December 31 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $4,042,202 | $3,676,245 |
Net realized gain (loss) | (164,454) | 325,360 |
Net change in unrealized appreciation/depreciation | 10,922,230 | (6,504,179) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 14,799,978 | (2,502,574) |
Distributions to Shareholders: | (4,038,571) | (4,268,491) |
Share Transactions: | ||
Proceeds from sale of shares | 25,959,589 | 22,519,274 |
Net asset value of shares issued to shareholders in payment of distributions declared | 114,594 | 117,235 |
Cost of shares redeemed | (16,952,141) | (15,674,963) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 9,122,042 | 6,961,546 |
Change in net assets | 19,883,449 | 190,481 |
Net Assets: | ||
Beginning of period | 85,242,709 | 85,052,228 |
End of period | $105,126,158 | $85,242,709 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
■ | With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts; |
■ | Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; |
■ | Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry. |
Market Value of Securities Loaned | Collateral Received |
$3,541,673 | $3,660,975 |
Asset | ||
Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||
Interest rate contracts | Receivable for variation margin on futures contracts | $39,634* |
* | Includes cumulative appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day's variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(504,884) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $223,140 |
Year Ended December 31 | 2019 | 2018 |
Shares sold | 2,355,503 | 2,124,954 |
Shares issued to shareholders in payment of distributions declared | 10,329 | 11,171 |
Shares redeemed | (1,520,486) | (1,488,997) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 845,346 | 647,128 |
2019 | 2018 | |
Ordinary income1 | $4,038,571 | $3,782,900 |
Long-term capital gains | $— | $485,591 |
1 | For tax purposes, short-term capital gain distributions are considered ordinary income distributions. |
Undistributed ordinary income | $11,805 |
Unrealized appreciation | $8,058,436 |
Capital loss carryforwards | $(235,812) |
Short-Term | Long-Term | Total |
$183,434 | $52,378 | $235,812 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Purchases | $25,205,711 |
Sales | $17,464,702 |
February 21, 2020
Beginning Account Value 7/1/2019 | Ending Account Value 12/31/2019 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,049.10 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,025.20 | $0.00 |
1 | Expenses are equal to the Fund's annualized net expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The Adviser has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses, incurred by the Fund. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 President and Trustee Indefinite Term Began serving: October 2005 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
John B. Fisher* Birth Date: May 16, 1956 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations:Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President of some of the Funds in the Federated Hermes Fund Family and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; President and CEO of Passport Research, Ltd.; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
* | Reasons for “interested” status: J. Christopher Donahue and John B. Fisher are interested due to their beneficial ownership of shares of Federated Hermes, Inc. and due to positions they hold with Federated Hermes, Inc. and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, Chairman of the Compensation Committee, KLX Energy Services Holdings, Inc. (oilfield services); former Director of KLX Corp. (aerospace). Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc.; Director, Chair of the Audit Committee, Equifax, Inc.; Director, Member of the Audit Committee, Haverty Furniture Companies, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court's Board of Continuing Judicial Education and the Supreme Court's Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, St. Vincent College; and Director and Chair, North Catholic High School, Inc. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 2005 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant and Author. Other Directorships Held: None. Qualifications: Mr. Mansfield has served as a Marine Corps officer and in several banking, business management, educational roles and directorship positions throughout his long career. He remains active as a Management Consultant and Author. |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CNX Resources Corporation (formerly known as CONSOL Energy Inc.); and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: November 2005 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: October 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: September 2006 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes' taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: February 2015 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
TickerFHYSX |
1 | Please see the footnotes to the line graphs below for definitions of, and further information about, the BBHY2%ICI. |
2 | High-yield, lower-rated securities generally entail greater market, credit and liquidity risks than investment-grade securities and may include higher volatility and a higher risk of default. |
3 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.* |
4 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
5 | Credit Suisse High Yield Bond Index serves as a benchmark to evaluate the performance of low-quality bonds. Low-quality is defined as those bonds in the range from “BB” to “CCC” and defaults.* |
* | The index is unmanaged, and it is not possible to invest directly in an index. |
Federated High-Yield Strategy Portfolio | NA | BBHY2%ICI | |
F | NA | I | |
12/31/2009 | 10,000 | 10,000 | |
12/31/2010 | 11,500 | 11,494 | |
12/31/2011 | 12,200 | 12,064 | |
12/31/2012 | 14,083 | 13,967 | |
12/31/2013 | 15,185 | 15,006 | |
12/31/2014 | 15,720 | 15,375 | |
12/31/2015 | 15,443 | 14,693 | |
12/31/2016 | 17,891 | 17,210 | |
12/31/2017 | 19,232 | 18,501 | |
12/31/2018 | 18,811 | 18,116 | |
12/31/2019 | 21,652 | 20,710 |
1 Year | 5 Years | 10 Years | |
Fund | 15.10% | 6.61% | 8.03% |
BBHY2%ICI | 14.32% | 6.14% | 7.55% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBHY2%ICI has been adjusted to reflect reinvestment of dividends on securities in the index. |
2 | The BBHY2%ICI is an issuer-constrained version of the Bloomberg Barclays U.S. Corporate High-Yield Index that measures the market of USD-denominated, noninvestment-grade, fixed-rate, taxable corporate bonds. The index follows the same rules as the uncapped index but limits the exposure of each issuer to 2% of the total market value and redistributes any excess market value index-wide on a pro-rata basis. The BBHY2%ICI is not adjusted to reflect sales charges, expenses or other fees that the Securities and Exchange Commission requires to be reflected in the Fund's performance. The index is unmanaged and unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
Index Classification | Percentage of Total Net Assets2 |
Health Care | 9.2% |
Cable Satellite | 8.0% |
Technology | 7.7% |
Midstream | 6.4% |
Packaging | 6.1% |
Media Entertainment | 6.0% |
Independent Energy | 4.6% |
Insurance—P&C | 4.0% |
Pharmaceuticals | 3.8% |
Wireless Communications | 3.6% |
Gaming | 3.3% |
Automotive | 3.1% |
Utility—Electric | 2.9% |
Chemicals | 2.6% |
Food & Beverage | 2.6% |
Other3 | 20.0% |
Cash Equivalents4 | 5.7% |
Other Assets and Liabilities—Net5 | 0.4% |
TOTAL | 100.0% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (BBHY2%ICI). Individual portfolio securities that are not included in the BBHY2%ICI are assigned to an index classification by the Fund's Adviser. |
2 | As of the date specified above, the Fund owned shares of an affiliated investment company. For purposes of this table, the affiliated investment company is not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata portion of each security and each other asset and liability owned by the affiliated investment company. Accordingly, the percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. |
3 | For purposes of this table, index classifications which constitute less than 2.5% of the Fund's total net assets have been aggregated under the designation “Other.” |
4 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
5 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Shares or Principal Amount | Value | ||
INVESTMENT COMPANY—99.7% | |||
7,020,392 | 1 | High Yield Bond Portfolio (IDENTIFIED COST $44,186,870) | $44,649,691 |
REPURCHASE AGREEMENT—1.0% | |||
$429,000 | Interest in $450,000,000 joint repurchase agreement 1.57%, dated 12/31/2019 under which BMO Capital Markets Corp. will repurchase securities provided as collateral for $450,039,250 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 11/20/2069 and the market value of those underlying securities was $460,414,804. (IDENTIFIED COST $429,000) | 429,000 | |
TOTAL INVESTMENT IN SECURITIES—100.7% (IDENTIFIED COST $44,615,870)2 | 45,078,691 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.7)%3 | (302,988) | ||
TOTAL NET ASSETS—100% | $44,775,703 |
High Yield Bond Portfolio | |
Balance of Shares Held 12/31/2018 | 7,163,621 |
Purchases/Additions | 1,928,383 |
Sales/Reductions | (2,071,612) |
Balance of Shares Held 12/31/2019 | 7,020,392 |
Value | $44,649,691 |
Change in Unrealized Appreciation/Depreciation | $4,327,907 |
Net Realized Gain/(Loss) | $(752,195) |
Dividend Income | $3,027,208 |
1 | Due to this affiliated holding representing greater than 75% of the Fund's total net assets, a copy of the affiliated holding's most recent Annual Report is included with this Report. |
2 | The cost of investments for federal tax purposes amounts to $45,131,117. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Investment Company | $44,649,691 | $— | $— | $44,649,691 |
Repurchase Agreement | — | 429,000 | — | 429,000 |
TOTAL SECURITIES | $44,649,691 | $429,000 | $— | $45,078,691 |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $12.21 | $13.29 | $13.15 | $12.13 | $13.35 |
Income From Investment Operations: | |||||
Net investment income | 0.82 | 0.81 | 0.80 | 0.83 | 0.86 |
Net realized and unrealized gain (loss) | 0.99 | (1.08) | 0.16 | 1.04 | (1.06) |
TOTAL FROM INVESTMENT OPERATIONS | 1.81 | (0.27) | 0.96 | 1.87 | (0.20) |
Less Distributions: | |||||
Distributions from net investment income | (0.82) | (0.81) | (0.80) | (0.83) | (0.87) |
Distributions from net realized gain | — | — | (0.02) | (0.02) | (0.15) |
TOTAL DISTRIBUTIONS | (0.82) | (0.81) | (0.82) | (0.85) | (1.02) |
Net Asset Value, End of Period | $13.20 | $12.21 | $13.29 | $13.15 | $12.13 |
Total Return1 | 15.10% | (2.19)% | 7.50% | 15.85% | (1.76)% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 6.30% | 6.26% | 6.02% | 6.52% | 6.57% |
Expense waiver/reimbursement3 | 0.41% | 0.45% | 0.41% | 0.46% | 0.49% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $44,776 | $42,319 | $41,769 | $38,324 | $35,258 |
Portfolio turnover | 25% | 20% | 15% | 20% | 25% |
1 | Based on net asset value. |
2 | The Adviser has contractually agreed to reimburse all expenses of the Fund, excluding extraordinary expenses. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in securities, at value including $44,649,691 of investment in an affiliated holding* (identified cost $44,615,870) | $45,078,691 | |
Cash | 828 | |
Income receivable | 19 | |
Income receivable from affiliated holding* | 231,779 | |
TOTAL ASSETS | 45,311,317 | |
Liabilities: | ||
Payable for investments purchased | $232,012 | |
Payable for shares redeemed | 1,125 | |
Income distribution payable | 229,945 | |
Payable to adviser (Note 5) | 1,440 | |
Payable for administrative fees (Note 5) | 96 | |
Payable for auditing fees | 28,300 | |
Payable for portfolio accounting fees | 26,641 | |
Accrued expenses (Note 5) | 16,055 | |
TOTAL LIABILITIES | 535,614 | |
Net assets for 3,390,839 shares outstanding | $44,775,703 | |
Net Assets Consist of: | ||
Paid-in capital | $45,776,168 | |
Total distributable earnings (loss) | (1,000,465) | |
TOTAL NET ASSETS | $44,775,703 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$44,775,703 ÷ 3,390,839 shares outstanding, no par value, unlimited shares authorized | $13.20 |
* | See information listed after the Fund's Portfolio of Investments. |
Investment Income: | ||
Dividends received from affiliated holding* | $3,027,208 | |
Interest | 6,869 | |
TOTAL INCOME | 3,034,077 | |
Expenses: | ||
Administrative fee (Note 5) | $38,165 | |
Custodian fees | 4,460 | |
Transfer agent fee | 5,647 | |
Directors'/Trustees' fees (Note 5) | 1,713 | |
Auditing fees | 28,299 | |
Legal fees | 10,203 | |
Portfolio accounting fees | 53,296 | |
Share registration costs | 30,377 | |
Printing and postage | 16,617 | |
Miscellaneous (Note 5) | 9,762 | |
TOTAL EXPENSES | 198,539 | |
Reimbursement of other operating expenses (Note 5) | (198,539) | |
Net expenses | — | |
Net investment income | 3,034,077 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized gain (loss) on investments in an affiliated holding* | (752,195) | |
Net change in unrealized depreciation of investments in an affiliated holding* | 4,327,907 | |
Net realized and unrealized gain on investments | 3,575,712 | |
Change in net assets resulting from operations | $6,609,789 |
* | See information listed after the Fund's Portfolio of Investments. |
Year Ended December 31 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $3,034,077 | $2,468,944 |
Net realized loss | (752,195) | (466,568) |
Net change in unrealized appreciation/depreciation | 4,327,907 | (2,911,302) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 6,609,789 | (908,926) |
Distributions to Shareholders | (3,033,858) | (2,468,789) |
Share Transactions: | ||
Proceeds from sale of shares | 15,655,731 | 14,252,703 |
Net asset value of shares issued to shareholders in payment of distributions declared | 98,295 | 77,365 |
Cost of shares redeemed | (16,873,444) | (10,401,835) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (1,119,418) | 3,928,233 |
Change in net assets | 2,456,513 | 550,518 |
Net Assets: | ||
Beginning of period | 42,319,190 | 41,768,672 |
End of period | $44,775,703 | $42,319,190 |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market. |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
■ | With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts; |
■ | Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; |
■ | Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry. |
Year Ended December 31 | 2019 | 2018 |
Shares sold | 1,213,744 | 1,109,068 |
Shares issued to shareholders in payment of distributions declared | 7,573 | 6,026 |
Shares redeemed | (1,295,178) | (793,719) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (73,861) | 321,375 |
2019 | 2018 | |
Ordinary income | $3,033,858 | $2,468,789 |
Undistributed ordinary income | $932 |
Unrealized appreciation | $(52,426) |
Capital loss carry forwards | $(948,971) |
Short-Term | Long-Term | Total |
$— | $948,971 | $948,971 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Purchases | $11,971,887 |
Sales | $13,020,000 |
February 21, 2020
Beginning Account Value 7/1/2019 | Ending Account Value 12/31/2019 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,043.10 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,025.20 | $0.00 |
1 | Expenses are equal to the Fund's annualized net expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The Adviser has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses incurred by the Fund. This agreement has no fixed term. |
High Yield Bond Portfolio
1 | Please see the footnotes to the line graphs below for definitions of, and further information about, the BBHY2%ICI. |
2 | High-yield, lower-rated securities generally entail greater market, credit and liquidity risks than investment-grade securities and may include higher volatility and a higher risk of default. |
3 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.* |
4 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
5 | Credit Suisse High Yield Bond Index serves as a benchmark to evaluate the performance of low-quality bonds. Low-quality is defined as those bonds in the range from “BB” to “CCC” and defaults.* |
* | The index is unmanaged, and it is not possible to invest directly in an index. |
High Yield Bond Portfolio | NA | BBHY2%ICI | |
F | NA | I | |
12/31/2009 | 10,000 | 10,000 | |
12/31/2010 | 11,506 | 11,494 | |
12/31/2011 | 12,200 | 12,064 | |
12/31/2012 | 14,084 | 13,967 | |
12/31/2013 | 15,183 | 15,006 | |
12/31/2014 | 15,720 | 15,375 | |
12/31/2015 | 15,436 | 14,693 | |
12/31/2016 | 17,891 | 17,210 | |
12/31/2017 | 19,241 | 18,501 | |
12/31/2018 | 18,826 | 18,116 | |
12/31/2019 | 21,684 | 20,710 |
1 Year | 5 Years | 10 Years | |
Fund | 15.18% | 6.64% | 8.05% |
BBHY2%ICI | 14.32% | 6.14% | 7.55% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBHY2%ICI has been adjusted to reflect reinvestment of dividends on securities in the index. |
2 | The BBHY2%ICI is an issuer-constrained version of the Bloomberg Barclays U.S. Corporate High Yield Index that measures the market of USD-denominated, noninvestment-grade, fixed-rate, taxable corporate bonds. The index follows the same rules as the uncapped index but limits the exposure of each issuer to 2% of the total market value and redistributes any excess market value index-wide on a pro-rata basis. The BBHY2%ICI is not adjusted to reflect sales charges, expenses or other fees that the Securities and Exchange Commission requires to be reflected in the Fund's performance. The index is unmanaged and unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
Index Classification | Percentage of Total Net Assets |
Health Care | 9.2% |
Cable Satellite | 8.0% |
Technology | 7.7% |
Midstream | 6.4% |
Packaging | 6.2% |
Media Entertainment | 6.0% |
Independent Energy | 4.7% |
Insurance - P&C | 4.0% |
Pharmaceuticals | 3.8% |
Wireless Communications | 3.6% |
Gaming | 3.3% |
Automotive | 3.1% |
Utility - Electric | 2.9% |
Other2 | 25.2% |
Cash Equivalents3 | 4.7% |
Other Assets and Liabilities—Net4 | 1.2% |
TOTAL | 100.0% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (BBHY2%ICI). Individual portfolio securities that are not included in the BBHY2%ICI are assigned to an index classification by the Fund's Adviser. |
2 | For purposes of this table, index classifications which constitute 2.5% or less of the Fund's total net assets have been aggregated under the designation “Other.” |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—94.0% | |||
Aerospace/Defense—1.4% | |||
$5,625,000 | TransDigm UK Holdings PLC, Sr. Sub., 6.875%, 5/15/2026 | $6,006,642 | |
5,275,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.250%, 3/15/2026 | 5,720,653 | |
10,350,000 | TransDigm, Inc., Sr. Sub. Deb., 144A, 5.500%, 11/15/2027 | 10,485,378 | |
525,000 | TransDigm, Inc., Sr. Sub. Note, 6.500%, 5/15/2025 | 547,095 | |
2,900,000 | TransDigm, Inc., Sr. Sub., Series WI, 7.500%, 3/15/2027 | 3,177,385 | |
TOTAL | 25,937,153 | ||
Automotive—3.1% | |||
7,725,000 | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026 | 6,914,068 | |
2,300,000 | American Axle & Manufacturing, Inc., Sr. Unsecd. Note, 6.250%, 3/15/2026 | 2,361,174 | |
4,775,000 | American Axle & Manufacturing, Inc., Sr. Unsecd. Note, Series WI, 6.500%, 4/1/2027 | 4,966,119 | |
3,675,000 | Dana Financing Lux Sarl, 144A, 6.500%, 6/1/2026 | 3,938,314 | |
3,250,000 | Dana Financing Lux Sarl, Sr. Unsecd. Note, 144A, 5.750%, 4/15/2025 | 3,405,724 | |
625,000 | Dana, Inc., Sr. Unsecd. Note, 5.375%, 11/15/2027 | 645,313 | |
2,525,000 | Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 4.875%, 3/15/2027 | 2,618,046 | |
3,650,000 | Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 5.000%, 5/31/2026 | 3,802,752 | |
450,000 | Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 5.125%, 11/15/2023 | 458,820 | |
2,375,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.000%, 5/15/2027 | 2,524,263 | |
1,600,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029 | 1,724,556 | |
4,350,000 | J.B. Poindexter & Co., Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/15/2026 | 4,601,637 | |
550,000 | Panther BF Aggregator 2 LP, Sec. Fac. Bond, 144A, 6.250%, 5/15/2026 | 593,656 | |
12,400,000 | Panther BF Aggregator 2 LP, Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027 | 13,197,940 | |
6,125,000 | Schaeffler Verwaltung Zw, 144A, 4.750%, 9/15/2026 | 6,261,725 | |
TOTAL | 58,014,107 | ||
Banking—0.2% | |||
3,100,000 | Ally Financial, Inc., Sr. Sub. Note, 5.750%, 11/20/2025 | 3,475,875 | |
Building Materials—2.2% | |||
800,000 | American Builders & Contractors Supply Co., Inc., 144A, 4.000%, 1/15/2028 | 813,480 | |
8,225,000 | American Builders & Contractors Supply Co., Inc., Sr. Unsecd. Note, 144A, 5.875%, 5/15/2026 | 8,754,279 | |
1,050,000 | Beacon Roofing Supply, Inc., 144A, 4.500%, 11/15/2026 | 1,082,812 | |
3,550,000 | Building Materials Corp. of America, Sr. Unsecd. Note, 144A, 6.000%, 10/15/2025 | 3,740,777 | |
8,175,000 | CD&R Waterworks Merger Subsidiary LLC, Sr. Unsecd. Note, 144A, 6.125%, 8/15/2025 | 8,501,918 | |
1,000,000 | Masonite International Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/15/2026 | 1,065,348 | |
7,075,000 | Pisces Midco, Inc., Sec. Fac. Bond, 144A, 8.000%, 4/15/2026 | 7,393,552 | |
9,125,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027 | 9,534,005 | |
TOTAL | 40,886,171 | ||
Cable Satellite—8.0% | |||
4,450,000 | CCO Holdings LLC/Cap Corp., 144A, 5.375%, 5/1/2025 | 4,603,903 | |
3,450,000 | CCO Holdings LLC/Cap Corp., 144A, 5.750%, 2/15/2026 | 3,646,201 | |
3,175,000 | CCO Holdings LLC/Cap Corp., 5.250%, 9/30/2022 | 3,216,370 | |
5,475,000 | CCO Holdings LLC/Cap Corp., 5.750%, 9/1/2023 | 5,593,616 | |
1,100,000 | CCO Holdings LLC/Cap Corp., Sr. Sub. Secd. Note, 144A, 5.500%, 5/1/2026 | 1,161,680 | |
3,750,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.750%, 3/1/2030 | 3,832,050 | |
5,850,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 6,149,344 | |
1,600,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.125%, 5/1/2027 | 1,690,960 | |
650,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029 | 695,078 | |
400,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.875%, 4/1/2024 | 414,334 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Cable Satellite—continued | |||
$5,400,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.875%, 5/1/2027 | $5,723,041 | |
900,000 | CSC Holdings LLC, 144A, 5.375%, 7/15/2023 | 924,377 | |
3,675,000 | CSC Holdings LLC, 144A, 5.500%, 5/15/2026 | 3,899,405 | |
4,225,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2030 | 4,515,469 | |
1,325,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.500%, 2/1/2029 | 1,479,859 | |
4,550,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.625%, 10/15/2025 | 4,840,017 | |
4,575,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 7.500%, 4/1/2028 | 5,180,375 | |
5,900,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 7.750%, 7/15/2025 | 6,305,330 | |
5,050,000 | CSC Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 4/15/2027 | 5,432,285 | |
4,450,000 | Cablevision Systems Corp., Sr. Unsecd. Note, 5.875%, 9/15/2022 | 4,802,796 | |
4,300,000 | Charter Communications Holdings II, 5.125%, 2/15/2023 | 4,353,707 | |
345,000 | Charter Communications Holdings II, 5.750%, 1/15/2024 | 352,043 | |
4,475,000 | DISH DBS Corp., Sr. Unsecd. Note, 5.875%, 11/15/2024 | 4,582,221 | |
6,800,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.750%, 7/1/2026 | 7,216,432 | |
4,275,000 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 8.500%, 10/15/2024 | 3,902,712 | |
1,975,000 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 9.750%, 7/15/2025 | 1,830,993 | |
3,925,000 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.500%, 8/1/2023 | 3,379,916 | |
2,800,000 | Sirius XM Radio, Inc., 144A, 4.625%, 5/15/2023 | 2,847,838 | |
4,625,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.625%, 7/15/2024 | 4,865,893 | |
3,075,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.375%, 4/15/2025 | 3,183,747 | |
1,850,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.375%, 7/15/2026 | 1,969,718 | |
2,850,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029 | 3,086,807 | |
10,800,000 | Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028 | 11,626,200 | |
2,550,000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 5.500%, 5/15/2029 | 2,704,530 | |
1,675,000 | Virgin Media, Inc., Sr. Unsecd. Note, 144A, 5.750%, 1/15/2025 | 1,728,039 | |
3,650,000 | Virgin Media, Inc., Sr. Unsecd. Note, 144A, 6.000%, 10/15/2024 | 3,770,140 | |
6,175,000 | Ziggo Finance BV, Sec. Fac. Bond, 144A, 5.500%, 1/15/2027 | 6,572,361 | |
3,100,000 | Ziggo Finance BV, Sr. Unsecd. Note, 144A, 5.875%, 1/15/2025 | 3,203,990 | |
3,575,000 | Ziggo Finance BV, Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027 | 3,779,928 | |
TOTAL | 149,063,705 | ||
Chemicals—2.5% | |||
2,150,000 | Alpha 2 BV, Sr. Unsecd. Note, 144A, 8.750%, 6/1/2023 | 2,199,267 | |
6,975,000 | Alpha 3 BV, Sr. Unsecd. Note, 144A, 6.250%, 2/1/2025 | 7,184,250 | |
5,325,000 | Compass Minerals International, Inc., 144A, 4.875%, 7/15/2024 | 5,320,554 | |
3,125,000 | Compass Minerals International, Inc., Sr. Unsecd. Note, 144A, 6.750%, 12/1/2027 | 3,326,094 | |
4,675,000 | Element Solutions, Inc., Sr. Unsecd. Note, 144A, 5.875%, 12/1/2025 | 4,902,860 | |
3,575,000 | Hexion, Inc., Sr. Unsecd. Note, 144A, 7.875%, 7/15/2027 | 3,726,848 | |
8,375,000 | Koppers, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | 8,793,666 | |
3,550,000 | PQ Corp., Sr. Unsecd. Note, 144A, 5.750%, 12/15/2025 | 3,720,098 | |
7,600,000 | Starfruit Finco BV, Sr. Unsecd. Note, 144A, 8.000%, 10/1/2026 | 8,075,190 | |
TOTAL | 47,248,827 | ||
Construction Machinery—0.7% | |||
4,850,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 4.875%, 1/15/2028 | 5,058,938 | |
3,725,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 6.500%, 12/15/2026 | 4,100,899 | |
725,000 | United Rentals North America, Inc., Term Loan—2nd Lien, 3.875%, 11/15/2027 | 741,530 | |
600,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.500%, 7/15/2025 | 624,689 | |
950,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.500%, 5/15/2027 | 1,020,105 | |
775,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.875%, 9/15/2026 | 833,338 | |
TOTAL | 12,379,499 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical Services—1.4% | |||
$1,425,000 | Allied Universal Holdco LLC, Sec. Fac. Bond, 144A, 6.625%, 7/15/2026 | $1,534,118 | |
12,600,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027 | 13,489,465 | |
8,828,000 | GW B-CR Security Corp., Sr. Unsecd. Note, 144A, 9.500%, 11/1/2027 | 9,440,222 | |
1,575,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., Sr. Unsecd. Note, 144A, 5.250%, 12/1/2027 | 1,660,601 | |
TOTAL | 26,124,406 | ||
Consumer Products—0.9% | |||
3,350,000 | Energizer Holdings, Inc., Sec. Fac. Bond, 144A, 6.375%, 7/15/2026 | 3,573,948 | |
925,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 6/15/2025 | 961,616 | |
1,700,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 7.750%, 1/15/2027 | 1,902,980 | |
550,000 | Prestige Brands, Inc., Sr. Unsecd. Note, 144A, 5.125%, 1/15/2028 | 577,500 | |
8,500,000 | Prestige Brands, Inc., Sr. Unsecd. Note, 144A, 6.375%, 3/1/2024 | 8,857,722 | |
TOTAL | 15,873,766 | ||
Diversified Manufacturing—1.3% | |||
800,000 | Amsted Industries, Inc., Sr. Unsecd. Note, 144A, 5.625%, 7/1/2027 | 850,278 | |
750,000 | CFX Escrow Corp., Sr. Unsecd. Note, 144A, 6.000%, 2/15/2024 | 798,439 | |
1,025,000 | CFX Escrow Corp., Sr. Unsecd. Note, 144A, 6.375%, 2/15/2026 | 1,118,531 | |
7,225,000 | Gates Global LLC, Sr. Unsecd. Note, 144A, 6.250%, 1/15/2026 | 7,362,600 | |
975,000 | Stevens Holding Company, Inc., Sr. Unsecd. Note, 144A, 6.125%, 10/1/2026 | 1,067,964 | |
4,825,000 | Titan Acquisition Ltd., Sr. Unsecd. Note, 144A, 7.750%, 4/15/2026 | 4,787,956 | |
7,225,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2021 | 7,256,212 | |
1,400,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 6/15/2024 | 1,456,581 | |
TOTAL | 24,698,561 | ||
Environmental—0.2% | |||
4,250,000 | Tervita Escrow Corp., 144A, 7.625%, 12/1/2021 | 4,286,125 | |
Finance Companies—1.9% | |||
1,600,000 | Avolon Holdings Funding Ltd., Sr. Unsecd. Note, 144A, 5.250%, 5/15/2024 | 1,751,192 | |
7,925,000 | Navient Corp., Sr. Unsecd. Note, 5.875%, 10/25/2024 | 8,499,483 | |
1,025,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/25/2025 | 1,134,163 | |
775,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/15/2026 | 853,236 | |
1,050,000 | Navient Corp., Sr. Unsecd. Note, Series MTN, 6.125%, 3/25/2024 | 1,141,864 | |
7,225,000 | Park Aerospace Holdings Ltd., Sr. Unsecd. Note, 144A, 5.500%, 2/15/2024 | 7,941,431 | |
12,850,000 | Quicken Loans, Inc., 144A, 5.750%, 5/1/2025 | 13,310,480 | |
1,550,000 | Quicken Loans, Inc., Sr. Unsecd. Note, 144A, 5.250%, 1/15/2028 | 1,607,850 | |
TOTAL | 36,239,699 | ||
Food & Beverage—2.5% | |||
3,125,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 4/1/2025 | 3,265,594 | |
3,925,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 4,143,230 | |
50,000 | Aramark Services, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2026 | 52,116 | |
4,925,000 | Aramark Services, Inc., Sr. Unsecd. Note, 5.125%, 1/15/2024 | 5,064,304 | |
4,525,000 | B&G Foods, Inc., Sr. Unsecd. Note, 5.250%, 4/1/2025 | 4,662,628 | |
1,900,000 | Lamb Weston Holdings, Inc., Sr. Unsub., 144A, 4.875%, 11/1/2026 | 2,017,515 | |
925,000 | Performance Food Group, Inc., 144A, 5.500%, 6/1/2024 | 950,821 | |
3,525,000 | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 5.500%, 10/15/2027 | 3,776,244 | |
2,775,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.000%, 8/15/2026 | 2,936,228 | |
2,325,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2028 | 2,509,489 | |
10,225,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 10,990,060 | |
6,875,000 | U.S. Foodservice, Inc., Sr. Unsecd. Note, 144A, 5.875%, 6/15/2024 | 7,095,584 | |
TOTAL | 47,463,813 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Gaming—3.3% | |||
$2,500,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 4.750%, 12/1/2027 | $2,601,500 | |
1,025,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 6.375%, 4/1/2026 | 1,104,732 | |
1,750,000 | Boyd Gaming Corp., Sr. Unsecd. Note, Series WI, 6.000%, 8/15/2026 | 1,884,046 | |
5,925,000 | CRC Escrow Issuer LLC, Sr. Unsecd. Note, 144A, 5.250%, 10/15/2025 | 6,139,781 | |
3,150,000 | Eldorado Resorts, Inc., Sr. Unsecd. Note, 6.000%, 4/1/2025 | 3,321,943 | |
1,225,000 | Eldorado Resorts, Inc., Sr. Unsecd. Note, 6.000%, 9/15/2026 | 1,351,327 | |
1,375,000 | MGM Growth Properties LLC, Sr. Unsecd. Note, 144A, 5.750%, 2/1/2027 | 1,538,281 | |
2,300,000 | MGM Resorts International, 6.000%, 3/15/2023 | 2,529,045 | |
1,975,000 | MGM Resorts International, Sr. Unsecd. Note, 4.625%, 9/1/2026 | 2,098,087 | |
2,575,000 | MGM Resorts International, Sr. Unsecd. Note, 5.500%, 4/15/2027 | 2,863,014 | |
4,175,000 | MGM Resorts International, Sr. Unsecd. Note, 5.750%, 6/15/2025 | 4,686,396 | |
5,600,000 | Mohegan Tribal Gaming Authority, Sr. Unsecd. Note, 144A, 7.875%, 10/15/2024 | 5,728,324 | |
1,750,000 | Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2027 | 1,854,392 | |
9,550,000 | Star Group Holdings BV, Sr. Unsecd. Note, 144A, 7.000%, 7/15/2026 | 10,367,480 | |
7,250,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2025 | 7,395,000 | |
2,750,000 | Sugarhouse HSP Gaming Finance Corp., Sec. Fac. Bond, 144A, 5.875%, 5/15/2025 | 2,751,141 | |
2,150,000 | VICI Properties LP/VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.250%, 12/1/2026 | 2,218,445 | |
1,675,000 | VICI Properties LP/VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.625%, 12/1/2029 | 1,753,474 | |
TOTAL | 62,186,408 | ||
Health Care—9.2% | |||
2,525,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 5.625%, 2/15/2023 | 2,571,296 | |
8,150,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 6.500%, 3/1/2024 | 8,469,195 | |
8,075,000 | Air Medical Group Holdings, Inc., Sr. Unsecd. Note, 144A, 6.375%, 5/15/2023 | 7,250,664 | |
1,025,000 | Avantor, Inc., 144A, 6.000%, 10/1/2024 | 1,095,023 | |
9,775,000 | Avantor, Inc., Sr. Unsecd. Note, 144A, 9.000%, 10/1/2025 | 10,944,237 | |
5,125,000 | CHS/Community Health Systems, Inc., 6.250%, 3/31/2023 | 5,214,687 | |
2,275,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.000%, 3/15/2026 | 2,347,513 | |
1,375,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.625%, 1/15/2024 | 1,460,924 | |
1,200,000 | Charles River Laboratories International, Inc., Sr. Unsecd. Note, 144A, 4.250%, 5/1/2028 | 1,224,720 | |
7,325,000 | Enterprise Merger Sub, Inc., Sr. Unsecd. Note, 144A, 8.750%, 10/15/2026 | 4,562,358 | |
2,300,000 | HCA, Inc., 5.875%, 5/1/2023 | 2,546,664 | |
1,925,000 | HCA, Inc., 5.875%, 2/15/2026 | 2,192,537 | |
9,450,000 | HCA, Inc., Sr. Unsecd. Note, 5.375%, 2/1/2025 | 10,469,797 | |
3,325,000 | HCA, Inc., Sr. Unsecd. Note, 5.375%, 9/1/2026 | 3,711,614 | |
3,200,000 | HCA, Inc., Sr. Unsecd. Note, 5.625%, 9/1/2028 | 3,652,640 | |
2,775,000 | HCA, Inc., Sr. Unsecd. Note, 5.875%, 2/1/2029 | 3,212,062 | |
1,400,000 | HCA, Inc., Sr. Unsecd. Note, 7.500%, 2/15/2022 | 1,549,492 | |
725,000 | Hill-Rom Holdings, Inc., Sr. Unsecd. Note, 144A, 4.375%, 9/15/2027 | 747,908 | |
6,800,000 | IMS Health, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/15/2026 | 7,189,793 | |
1,325,000 | Iqvia, Inc., Sr. Unsecd. Note, 144A, 5.000%, 5/15/2027 | 1,404,735 | |
7,225,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 9.750%, 12/1/2026 | 8,182,493 | |
2,500,000 | MEDNAX, Inc., Sr. Unsecd. Note, 144A, 6.250%, 1/15/2027 | 2,568,812 | |
11,475,000 | MPH Acquisition Holdings LLC, 144A, 7.125%, 6/1/2024 | 11,130,635 | |
8,525,000 | Ortho-Clinical Diagnostics, Inc., 144A, 6.625%, 5/15/2022 | 8,492,976 | |
5,950,000 | Polaris Intermediate Corp., Sr. Unsecd. Note, 144A, 8.500%, 12/1/2022 | 5,555,774 | |
1,175,000 | RegionalCare Hospital Partners Holdings, Inc., Sr. Unsecd. Note, 144A, 11.500%, 5/1/2024 | 1,266,063 | |
5,425,000 | Surgery Center Holdings, Inc., Sr. Unsecd. Note, 144A, 6.750%, 7/1/2025 | 5,440,814 | |
15,150,000 | Team Health Holdings, Inc., Sr. Unsecd. Note, 144A, 6.375%, 2/1/2025 | 10,156,787 | |
1,100,000 | Teleflex, Inc., Sr. Unsecd. Note, 4.625%, 11/15/2027 | 1,167,826 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Health Care—continued | |||
$775,000 | Teleflex, Inc., Sr. Unsecd. Note, 4.875%, 6/1/2026 | $812,082 | |
2,900,000 | Tenet Healthcare Corp., 144A, 4.875%, 1/1/2026 | 3,041,085 | |
3,075,000 | Tenet Healthcare Corp., 144A, 5.125%, 11/1/2027 | 3,251,812 | |
5,050,000 | Tenet Healthcare Corp., 5.125%, 5/1/2025 | 5,214,125 | |
2,900,000 | Tenet Healthcare Corp., Sr. Secd. Note, 4.625%, 7/15/2024 | 2,974,921 | |
1,900,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 6.750%, 6/15/2023 | 2,091,511 | |
6,200,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 7.000%, 8/1/2025 | 6,561,677 | |
1,075,000 | Vizient, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/15/2027 | 1,153,311 | |
11,125,000 | West Street Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.375%, 9/1/2025 | 11,124,889 | |
TOTAL | 172,005,452 | ||
Health Insurance—1.0% | |||
4,025,000 | Centene Corp., Sr. Unsecd. Note, 144A, 4.250%, 12/15/2027 | 4,148,165 | |
4,850,000 | Centene Corp., Sr. Unsecd. Note, 144A, 4.625%, 12/15/2029 | 5,120,145 | |
1,450,000 | Centene Corp., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2025 | 1,509,182 | |
2,750,000 | Centene Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2026 | 2,923,525 | |
2,950,000 | Centene Corp., Sr. Unsecd. Note, 4.750%, 1/15/2025 | 3,070,404 | |
1,375,000 | WellCare Health Plans, Inc., Sr. Unsecd. Note, 144A, 5.375%, 8/15/2026 | 1,466,919 | |
TOTAL | 18,238,340 | ||
Independent Energy—4.7% | |||
2,300,000 | Antero Resources Corp., Sr. Unsecd. Note, 5.000%, 3/1/2025 | 1,730,750 | |
225,000 | Antero Resources Corp., Sr. Unsecd. Note, 5.625%, 6/1/2023 | 181,125 | |
750,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 7.000%, 11/1/2026 | 600,261 | |
1,975,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 10.000%, 4/1/2022 | 1,969,319 | |
2,800,000 | Berry Petroleum Co., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2026 | 2,601,473 | |
3,800,000 | Callon Petroleum Corp., Sr. Unsecd. Note, 6.125%, 10/1/2024 | 3,881,472 | |
1,200,000 | Callon Petroleum Corp., Sr. Unsecd. Note, Series WI, 6.375%, 7/1/2026 | 1,220,943 | |
2,450,000 | Carrizo Oil & Gas, Inc., 6.250%, 4/15/2023 | 2,492,483 | |
2,950,000 | Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 8.250%, 7/15/2025 | 3,024,974 | |
3,750,000 | Centennial Resource Production, LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 3,908,709 | |
4,234,000 | Chesapeake Energy Corp., 144A, 11.500%, 1/1/2025 | 4,011,715 | |
3,175,000 | Chesapeake Energy Corp., Sr. Unsecd. Note, 7.000%, 10/1/2024 | 1,920,843 | |
7,000,000 | Crownrock LP/Crownrock F, 144A, 5.625%, 10/15/2025 | 7,157,430 | |
5,150,000 | 1,2 | EP Energy LLC/Everest Acquisition Finance, Inc., Sec. Fac. Bond, 144A, 8.000%, 11/29/2024 | 2,590,012 |
2,475,000 | Gulfport Energy Corp., Sr. Unsecd. Note, 6.000%, 10/15/2024 | 1,763,437 | |
2,400,000 | Gulfport Energy Corp., Sr. Unsecd. Note, 6.375%, 5/15/2025 | 1,530,996 | |
1,050,000 | Gulfport Energy Corp., Sr. Unsecd. Note, Series WI, 6.375%, 1/15/2026 | 653,990 | |
3,675,000 | Jagged Peak Energy, Inc., Sr. Unsecd. Note, Series WI, 5.875%, 5/1/2026 | 3,803,083 | |
2,475,000 | Laredo Petroleum, 5.625%, 1/15/2022 | 2,407,710 | |
1,400,000 | Laredo Petroleum, Sr. Unsecd. Note, 6.250%, 3/15/2023 | 1,316,581 | |
923,000 | Oasis Petroleum, Inc., 6.875%, 3/15/2022 | 890,695 | |
950,000 | Oasis Petroleum, Inc., 6.875%, 1/15/2023 | 931,000 | |
4,700,000 | Oasis Petroleum, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/1/2026 | 3,912,867 | |
925,000 | PDC Energy, Inc., Sr. Unsecd. Note, 6.125%, 9/15/2024 | 939,259 | |
3,675,000 | PDC Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 5/15/2026 | 3,675,092 | |
550,000 | Parsley Energy LLC/Parsley Finance Corp., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2025 | 567,870 | |
2,375,000 | Parsley Energy LLC/Parsley Finance Corp., Sr. Unsecd. Note, 144A, 5.625%, 10/15/2027 | 2,515,956 | |
2,250,000 | QEP Resources, Inc., Sr. Unsecd. Note, 5.250%, 5/1/2023 | 2,233,125 | |
1,500,000 | QEP Resources, Inc., Sr. Unsecd. Note, 5.625%, 3/1/2026 | 1,466,663 | |
4,075,000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | 3,494,312 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Independent Energy—continued | |||
$1,050,000 | Range Resources Corp., Sr. Unsecd. Note, 5.000%, 3/15/2023 | $968,426 | |
3,750,000 | SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 | 3,570,319 | |
425,000 | SM Energy Co., Sr. Unsecd. Note, 6.625%, 1/15/2027 | 418,700 | |
1,700,000 | SM Energy Co., Sr. Unsecd. Note, 6.750%, 9/15/2026 | 1,670,841 | |
3,500,000 | SRC Energy, Inc., Sr. Unsecd. Note, Series WI, 6.250%, 12/1/2025 | 3,534,965 | |
1,075,000 | Southwestern Energy Co., Sr. Unsecd. Note, 7.750%, 10/1/2027 | 998,379 | |
875,000 | Ultra Resources, Inc., Sr. Unsecd. Note, 144A, 6.875%, 4/15/2022 | 111,563 | |
3,025,000 | Ultra Resources, Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/15/2025 | 211,750 | |
1,200,000 | WPX Energy, Inc., Sr. Unsecd. Note, 5.250%, 10/15/2027 | 1,268,220 | |
450,000 | WPX Energy, Inc., Sr. Unsecd. Note, 5.750%, 6/1/2026 | 481,420 | |
3,625,000 | Whiting Petroleum Corp., Sr. Unsecd. Note, 6.250%, 4/1/2023 | 3,045,000 | |
2,150,000 | Whiting Petroleum Corp., Sr. Unsecd. Note, Series WI, 6.625%, 1/15/2026 | 1,470,611 | |
TOTAL | 87,144,339 | ||
Industrial - Other—0.8% | |||
3,775,000 | Anixter, Inc., Sr. Unsecd. Note, 6.000%, 12/1/2025 | 3,937,004 | |
4,375,000 | Hillman Group, Inc., Unsecd. Note, 144A, 6.375%, 7/15/2022 | 4,081,052 | |
1,100,000 | IAA Spinco, Inc., Sr. Unsecd. Note, 144A, 5.500%, 6/15/2027 | 1,170,785 | |
3,325,000 | KAR Auction Services, Inc., Sr. Unsecd. Note, 144A, 5.125%, 6/1/2025 | 3,464,933 | |
2,500,000 | Resideo Funding, Inc., Sr. Unsecd. Note, 144A, 6.125%, 11/1/2026 | 2,525,063 | |
TOTAL | 15,178,837 | ||
Insurance - P&C—4.0% | |||
2,800,000 | Acrisure LLC, Sec. Fac. Bond, 144A, 8.125%, 2/15/2024 | 3,050,250 | |
5,150,000 | Acrisure LLC, Sr. Unsecd. Note, 144A, 7.000%, 11/15/2025 | 4,982,574 | |
925,000 | Acrisure LLC, Sr. Unsecd. Note, 144A, 10.125%, 8/1/2026 | 998,882 | |
2,725,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Unsecd. Note, 144A, 6.750%, 10/15/2027 | 2,923,380 | |
8,950,000 | AmWINS Group, Inc., Sr. Unsecd. Note, 144A, 7.750%, 7/1/2026 | 9,916,399 | |
7,950,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2025 | 8,106,535 | |
1,625,000 | GTCR AP Finance, Inc., Sr. Unsecd. Note, 144A, 8.000%, 5/15/2027 | 1,694,627 | |
20,275,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 7.000%, 5/1/2026 | 21,492,007 | |
1,550,000 | Kirs Midco 3 PLC, Sec. Fac. Bond, 144A, 8.625%, 7/15/2023 | 1,541,607 | |
9,525,000 | NFP Corp., Sr. Unsecd. Note, 144A, 6.875%, 7/15/2025 | 9,572,530 | |
550,000 | NFP Corp., Sr. Unsecd. Note, 144A, 8.000%, 7/15/2025 | 562,603 | |
9,400,000 | USIS Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.875%, 5/1/2025 | 9,632,086 | |
TOTAL | 74,473,480 | ||
Leisure—0.6% | |||
750,000 | Live Nation Entertainment, Inc., Sr. Unsecd. Note, 144A, 4.750%, 10/15/2027 | 777,638 | |
5,125,000 | Six Flags Entertainment Corp., Sr. Unsecd. Note, 144A, 5.500%, 4/15/2027 | 5,474,012 | |
200,000 | Viking Cruises Ltd., Sr. Unsecd. Note, 144A, 6.250%, 5/15/2025 | 208,833 | |
4,050,000 | Voc Escrow Ltd., 144A, 5.000%, 2/15/2028 | 4,249,867 | |
TOTAL | 10,710,350 | ||
Lodging—0.3% | |||
4,225,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 5.125%, 5/1/2026 | 4,458,843 | |
1,875,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, Series WI, 4.875%, 1/15/2030 | 1,990,739 | |
TOTAL | 6,449,582 | ||
Media Entertainment—6.0% | |||
2,325,000 | AMC Networks, Inc., Sr. Unsecd. Note, 4.750%, 8/1/2025 | 2,338,566 | |
4,725,000 | AMC Networks, Inc., Sr. Unsecd. Note, 5.000%, 4/1/2024 | 4,831,313 | |
5,275,000 | CBS Radio, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/1/2024 | 5,567,314 | |
1,975,000 | Cumulus Media News Holdings, Inc., 144A, 6.750%, 7/1/2026 | 2,119,420 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Media Entertainment—continued | |||
$3,750,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 5.375%, 8/15/2026 | $3,800,348 | |
5,575,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 6.625%, 8/15/2027 | 5,432,001 | |
3,950,000 | Entercom Media Corp., 144A, 6.500%, 5/1/2027 | 4,237,748 | |
7,550,000 | Gannett Co., Inc., 6.375%, 10/15/2023 | 7,785,937 | |
2,450,000 | Gray Escrow, Inc., Sr. Unsecd. Note, 144A, 7.000%, 5/15/2027 | 2,727,095 | |
2,250,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.125%, 10/15/2024 | 2,339,066 | |
5,775,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2026 | 6,153,840 | |
1,100,000 | iHeartCommunications, Inc., 144A, 4.750%, 1/15/2028 | 1,129,535 | |
1,825,000 | iHeartCommunications, Inc., 144A, 5.250%, 8/15/2027 | 1,912,874 | |
6,350,000 | 1,2,3 | iHeartCommunications, Inc., Escrow, 9.000%, 3/1/2021 | 0 |
10,036,766 | iHeartCommunications, Inc., Sr. Unsecd. Note, 8.375%, 5/1/2027 | 11,109,194 | |
4,550,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | 4,756,331 | |
875,000 | Match Group, Inc., Sr. Unsecd. Note, 6.375%, 6/1/2024 | 920,207 | |
7,800,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 8/1/2024 | 8,147,763 | |
4,175,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027 | 4,407,339 | |
4,375,000 | Nielsen Finance LLC/Nielsen Finance Co., 144A, 5.000%, 4/15/2022 | 4,399,194 | |
1,350,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2025 | 1,393,862 | |
575,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2030 | 586,126 | |
3,950,000 | Scripps Escrow, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027 | 4,144,933 | |
5,000,000 | Sinclair Television Group, 144A, 5.625%, 8/1/2024 | 5,154,175 | |
975,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.125%, 2/15/2027 | 1,004,589 | |
6,250,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.875%, 3/15/2026 | 6,588,109 | |
1,675,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 5.000%, 9/15/2029 | 1,706,406 | |
6,375,000 | Terrier Media Buyer, Inc., Sr. Unsecd. Note, 144A, 8.875%, 12/15/2027 | 6,757,500 | |
850,000 | Urban One, Inc., 144A, 7.375%, 4/15/2022 | 839,640 | |
TOTAL | 112,290,425 | ||
Metals & Mining—1.5% | |||
4,575,000 | Coeur Mining, Inc., Sr. Unsecd. Note, 5.875%, 6/1/2024 | 4,588,336 | |
3,200,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 3.875%, 3/15/2023 | 3,265,008 | |
2,450,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.000%, 9/1/2027 | 2,577,032 | |
2,350,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.250%, 9/1/2029 | 2,521,903 | |
3,725,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.400%, 11/14/2034 | 3,910,589 | |
750,000 | HudBay Minerals, Inc., Sr. Unsecd. Note, 144A, 7.250%, 1/15/2023 | 779,843 | |
5,675,000 | HudBay Minerals, Inc., Sr. Unsecd. Note, 144A, 7.625%, 1/15/2025 | 6,001,795 | |
1,600,000 | Steel Dynamics, Inc., Sr. Unsecd. Note, 5.125%, 10/1/2021 | 1,600,968 | |
775,000 | Steel Dynamics, Inc., Sr. Unsecd. Note, 5.250%, 4/15/2023 | 790,112 | |
1,275,000 | Steel Dynamics, Inc., Sr. Unsecd. Note, 5.500%, 10/1/2024 | 1,313,392 | |
TOTAL | 27,348,978 | ||
Midstream—6.4% | |||
450,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.500%, 5/20/2025 | 487,121 | |
1,350,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.750%, 5/20/2027 | 1,484,760 | |
6,300,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026 | 6,957,405 | |
4,300,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 3,792,170 | |
5,650,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | 4,929,766 | |
4,100,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 5.375%, 9/15/2024 | 3,813,000 | |
575,000 | Atlas Pipeline Partners LP, 5.875%, 8/1/2023 | 576,438 | |
7,300,000 | CNX Midstream Partners LP/CNX Midstream Finance Corp, Sr. Unsecd. Note, 144A, 6.500%, 3/15/2026 | 6,755,037 | |
775,000 | Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027 | 857,948 | |
1,050,000 | Cheniere Corpus Christi Holdings LLC, Sr. Secd. Note, 5.875%, 3/31/2025 | 1,182,872 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Midstream—continued | |||
$6,825,000 | Cheniere Energy Partners, LP, Series WI, 5.250%, 10/1/2025 | $7,129,258 | |
3,650,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, 144A, 4.500%, 10/1/2029 | 3,757,493 | |
1,400,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, 5.625%, 10/1/2026 | 1,483,124 | |
500,000 | Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsecd. Note, 6.750%, 6/15/2023 | 423,958 | |
3,200,000 | Ferrellgas, L.P., Sr. Unsecd. Note, 6.500%, 5/1/2021 | 2,777,280 | |
4,450,000 | Ferrellgas, L.P., Sr. Unsecd. Note, 6.750%, 1/15/2022 | 3,795,013 | |
2,850,000 | Hess Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.125%, 6/15/2028 | 2,889,188 | |
7,500,000 | Holly Energy Partners LP, 144A, 6.000%, 8/1/2024 | 7,837,425 | |
1,650,000 | MPLX LP, Sr. Unsecd. Note, 144A, 6.375%, 5/1/2024 | 1,726,869 | |
5,875,000 | NuStar Logistics LP, Sr. Unsecd. Note, 5.625%, 4/28/2027 | 6,047,431 | |
2,875,000 | NuStar Logistics LP, Sr. Unsecd. Note, 6.000%, 6/1/2026 | 3,045,700 | |
4,375,000 | Suburban Propane Partners LP, 5.500%, 6/1/2024 | 4,506,206 | |
1,275,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.750%, 3/1/2025 | 1,313,779 | |
5,250,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 | 5,474,949 | |
8,250,000 | Summit Midstream Holdings LLC, 5.500%, 8/15/2022 | 7,365,699 | |
4,000,000 | Summit Midstream Holdings LLC, Sr. Unsecd. Note, 5.750%, 4/15/2025 | 3,066,660 | |
2,250,000 | Sunoco LP/Finance Corp., Sr. Unsecd. Note, Series WI, 5.500%, 2/15/2026 | 2,340,782 | |
1,775,000 | Sunoco LP/Finance Corp., Sr. Unsecd. Note, Series WI, 5.875%, 3/15/2028 | 1,889,758 | |
4,225,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | 4,346,469 | |
1,300,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 7/15/2027 | 1,425,905 | |
3,550,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.000%, 1/15/2028 | 3,629,245 | |
725,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.125%, 2/1/2025 | 753,993 | |
1,275,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.250%, 5/1/2023 | 1,290,408 | |
4,450,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.375%, 2/1/2027 | 4,625,107 | |
3,475,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.875%, 4/15/2026 | 3,698,700 | |
1,850,000 | TransMontaigne Partners LP/TLP Finance Corp., Sr. Unsecd. Note, 6.125%, 2/15/2026 | 1,818,268 | |
TOTAL | 119,295,184 | ||
Oil Field Services—1.8% | |||
925,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.250%, 4/1/2028 | 955,063 | |
6,200,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 6,570,899 | |
2,575,000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026 | 2,453,582 | |
2,675,000 | Precision Drilling Corp., Sr. Unsecd. Note, 7.750%, 12/15/2023 | 2,676,110 | |
3,075,000 | Sesi LLC, 7.125%, 12/15/2021 | 2,630,355 | |
7,075,000 | Sesi LLC, Sr. Unsecd. Note, Series WI, 7.750%, 9/15/2024 | 4,725,499 | |
4,575,000 | Shelf Drilling Holdings Ltd., Sr. Unsecd. Note, 144A, 8.250%, 2/15/2025 | 4,369,079 | |
1,900,000 | USA Compression Partners LP, Sr. Unsecd. Note, 6.875%, 9/1/2027 | 1,982,555 | |
6,725,000 | USA Compression Partners LP, Sr. Unsecd. Note, Series WI, 6.875%, 4/1/2026 | 7,073,853 | |
TOTAL | 33,436,995 | ||
Packaging—6.2% | |||
9,075,000 | ARD Finance SA, Sec. Fac. Bond, 144A, 6.500%, 6/30/2027 | 9,399,885 | |
4,000,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 5.250%, 8/15/2027 | 4,217,480 | |
4,600,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | 4,835,750 | |
4,650,000 | Berry Global Escrow Corp., 144A, 4.875%, 7/15/2026 | 4,913,069 | |
2,800,000 | Berry Global Escrow Corp., 144A, 5.625%, 7/15/2027 | 3,010,070 | |
7,000,000 | Berry Plastics Corp., 5.500%, 5/15/2022 | 7,096,201 | |
2,700,000 | Bway Holding Co., Sec. Fac. Bond, 144A, 5.500%, 4/15/2024 | 2,787,993 | |
13,575,000 | Bway Holding Co., Sr. Unsecd. Note, 144A, 7.250%, 4/15/2025 | 13,439,114 | |
2,450,000 | Crown Americas LLC/Crown Americas Capital Corp VI, Sr. Unsecd. Note, 4.750%, 2/1/2026 | 2,594,789 | |
12,100,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, 144A, 6.875%, 1/15/2025 | 12,220,879 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Packaging—continued | |||
$7,575,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, 144A, 7.875%, 7/15/2026 | $7,649,405 | |
5,125,000 | Owens-Brockway Glass Container, Inc., 144A, 5.375%, 1/15/2025 | 5,293,689 | |
3,975,000 | Owens-Brockway Glass Container, Inc., 144A, 6.375%, 8/15/2025 | 4,352,625 | |
4,125,000 | Reynolds Group Issuer, Inc./LLC/LU, 144A, 7.000%, 7/15/2024 | 4,271,953 | |
10,829,779 | Reynolds Group Issuer, Inc./LLC/LU, 5.750%, 10/15/2020 | 10,856,853 | |
900,000 | Sealed Air Corp., 144A, 5.250%, 4/1/2023 | 961,124 | |
2,025,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/1/2027 | 2,055,375 | |
2,500,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 5.500%, 9/15/2025 | 2,757,288 | |
5,050,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.625%, 11/1/2025 | 4,559,721 | |
3,100,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.250%, 8/1/2024 | 3,140,036 | |
1,300,000 | Trivium Packaging Finance BV, Sec. Fac. Bond, 144A, 5.500%, 8/15/2026 | 1,372,311 | |
2,650,000 | Trivium Packaging Finance BV, Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027 | 2,953,028 | |
TOTAL | 114,738,638 | ||
Paper—0.4% | |||
6,375,000 | Clearwater Paper Corp., Sr. Unsecd. Note, 144A, 5.375%, 2/1/2025 | 6,343,125 | |
1,575,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 4.750%, 7/15/2027 | 1,689,735 | |
TOTAL | 8,032,860 | ||
Pharmaceuticals—3.8% | |||
1,750,000 | Bausch Health Cos, Inc., Sec. Fac. Bond, 144A, 5.500%, 11/1/2025 | 1,832,399 | |
1,450,000 | Bausch Health Cos, Inc., Sec. Fac. Bond, 144A, 5.750%, 8/15/2027 | 1,575,933 | |
875,000 | Bausch Health Cos, Inc., Sr. Secd. Note, 144A, 6.500%, 3/15/2022 | 895,781 | |
1,375,000 | Bausch Health Cos, Inc., Sr. Secd. Note, 144A, 7.000%, 3/15/2024 | 1,432,867 | |
2,125,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.000%, 1/30/2028 | 2,186,391 | |
591,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2023 | 595,678 | |
3,423,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.875%, 5/15/2023 | 3,455,091 | |
10,275,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 6.125%, 4/15/2025 | 10,637,862 | |
1,550,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/30/2029 | 1,773,742 | |
8,225,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 8.500%, 1/31/2027 | 9,381,846 | |
2,775,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 9.000%, 12/15/2025 | 3,162,667 | |
175,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 9.250%, 4/1/2026 | 201,329 | |
775,000 | Eagle Holding Co. II LLC, Sr. Unsecd. Note, 144A, 7.625%, 5/15/2022 | 789,131 | |
4,175,000 | Eagle Holding Co. II LLC, Unsecd. Note, 144A, 7.750%, 5/15/2022 | 4,246,643 | |
4,254,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., Sr. Unsecd. Note, 144A, 6.000%, 7/15/2023 | 3,084,107 | |
7,400,000 | Endo Finance LLC/Endo Finco, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/1/2025 | 5,011,206 | |
13,625,000 | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Sr. Unsecd. Note, 144A, 6.375%, 8/1/2023 | 14,097,481 | |
8,725,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2025 | 3,119,187 | |
9,150,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2023 | 3,503,672 | |
TOTAL | 70,983,013 | ||
Refining—0.5% | |||
8,375,000 | CVR Refining LLC/Coffeyville Finance, Inc., 6.500%, 11/1/2022 | 8,500,566 | |
Restaurants—1.3% | |||
1,375,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 4.375%, 1/15/2028 | 1,380,981 | |
14,575,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 5.000%, 10/15/2025 | 15,079,076 | |
525,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Sr. Unsecd. Note, 144A, 4.750%, 6/1/2027 | 553,782 | |
1,175,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 1,232,986 | |
2,400,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 5.000%, 6/1/2024 | 2,492,004 | |
3,900,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 5.250%, 6/1/2026 | 4,124,348 | |
TOTAL | 24,863,177 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Retailers—0.8% | |||
$2,225,000 | Hanesbrands, Inc., Sr. Unsecd. Note, 144A, 4.875%, 5/15/2026 | $2,359,835 | |
3,925,000 | Michaels Stores, Inc., Sr. Unsecd. Note, 144A, 8.000%, 7/15/2027 | 3,755,636 | |
5,800,000 | Party City Holdings, Inc., Sr. Unsecd. Note, 144A, 6.125%, 8/15/2023 | 5,091,907 | |
5,550,000 | Party City Holdings, Inc., Sr. Unsecd. Note, 144A, 6.625%, 8/1/2026 | 3,925,640 | |
525,000 | William Carter Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2027 | 565,594 | |
TOTAL | 15,698,612 | ||
Supermarkets—0.9% | |||
900,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 5.875%, 2/15/2028 | 957,915 | |
2,100,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 7.500%, 3/15/2026 | 2,361,185 | |
10,350,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 5.750%, 3/15/2025 | 10,742,420 | |
2,225,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 6.625%, 6/15/2024 | 2,334,359 | |
TOTAL | 16,395,879 | ||
Technology—7.7% | |||
6,325,000 | Banff Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.750%, 9/1/2026 | 6,420,033 | |
1,950,000 | CDW LLC/CDW Finance, Sr. Unsecd. Note, 4.250%, 4/1/2028 | 2,048,670 | |
3,775,000 | CDW LLC/CDW Finance, Sr. Unsecd. Note, 5.500%, 12/1/2024 | 4,198,121 | |
11,725,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Unsecd. Note, 144A, 7.125%, 6/15/2024 | 12,384,531 | |
3,350,000 | Ensemble S Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.000%, 9/30/2023 | 3,451,890 | |
700,000 | Fair Isaac & Co., Inc., Sr. Unsecd. Note, 144A, 4.000%, 6/15/2028 | 707,000 | |
1,275,000 | Financial & Risk US Holdings, Inc., 144A, 6.250%, 5/15/2026 | 1,393,702 | |
10,425,000 | Financial & Risk US Holdings, Inc., Sr. Unsecd. Note, 144A, 8.250%, 11/15/2026 | 11,760,442 | |
1,250,000 | Gartner, Inc., Sr. Unsecd. Note, 144A, 5.125%, 4/1/2025 | 1,304,169 | |
8,950,000 | Inception Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 8.625%, 11/15/2024 | 8,771,000 | |
12,750,000 | Infor US, Inc., 6.500%, 5/15/2022 | 12,963,945 | |
8,875,000 | Italics Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 7.125%, 7/15/2023 | 9,030,224 | |
7,400,000 | JDA Escrow LLC / JDA Bond Finance, Inc., 144A, 7.375%, 10/15/2024 | 7,708,321 | |
1,125,000 | NCR Corp., 6.375%, 12/15/2023 | 1,155,471 | |
1,875,000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/1/2027 | 2,001,230 | |
3,200,000 | NCR Corp., Sr. Unsecd. Note, 5.000%, 7/15/2022 | 3,238,000 | |
5,350,000 | Nuance Communications, Inc., Sr. Unsecd. Note, 5.625%, 12/15/2026 | 5,714,108 | |
2,375,000 | Qorvo, Inc., 144A, 4.375%, 10/15/2029 | 2,492,266 | |
1,675,000 | Riverbed Technology, Inc., Sr. Unsecd. Note, 144A, 8.875%, 3/1/2023 | 971,500 | |
7,275,000 | SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027 | 7,779,703 | |
950,000 | Sabre GLBL, Inc., 144A, 5.375%, 4/15/2023 | 975,256 | |
700,000 | Sensata Technologies B.V., 144A, 5.625%, 11/1/2024 | 780,791 | |
1,675,000 | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 4.375%, 2/15/2030 | 1,711,758 | |
900,000 | Sensata Technologies UK Financing Co. PLC, Sr. Unsecd. Note, 144A, 6.250%, 2/15/2026 | 971,415 | |
2,225,000 | Star Merger Sub, Inc., 144A, 6.875%, 8/15/2026 | 2,460,016 | |
9,850,000 | Star Merger Sub, Inc., Sr. Unsecd. Note, 144A, 10.250%, 2/15/2027 | 11,345,722 | |
3,950,000 | TTM Technologies, Inc., Sr. Unsecd. Note, 144A, 5.625%, 10/1/2025 | 4,094,827 | |
13,350,000 | Tempo Acquisition LLC, Sr. Unsecd. Note, 144A, 6.750%, 6/1/2025 | 13,817,116 | |
2,500,000 | Western Digital Corp., Sr. Unsecd. Note, 4.750%, 2/15/2026 | 2,610,937 | |
TOTAL | 144,262,164 | ||
Utility - Electric—2.9% | |||
3,625,000 | Calpine Corp., 144A, 4.500%, 2/15/2028 | 3,661,685 | |
900,000 | Calpine Corp., 144A, 5.250%, 6/1/2026 | 939,215 | |
5,800,000 | Calpine Corp., 5.750%, 1/15/2025 | 5,966,750 | |
2,450,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028 | 2,506,840 | |
6,975,000 | Enviva Partners LP/Enviva Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 1/15/2026 | 7,485,082 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—continued | |||
$1,150,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 5.250%, 6/15/2029 | $1,245,565 | |
6,825,000 | NRG Energy, Inc., Sr. Unsecd. Note, 6.625%, 1/15/2027 | 7,417,752 | |
2,875,000 | NRG Energy, Inc., Sr. Unsecd. Note, 7.250%, 5/15/2026 | 3,146,256 | |
700,000 | NRG Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 1/15/2028 | 760,795 | |
425,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.250%, 1/31/2023 | 438,583 | |
2,975,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 3,032,566 | |
7,050,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028 | 7,467,078 | |
1,800,000 | Vistra Energy Corp., Sr. Unsecd. Note, 5.875%, 6/1/2023 | 1,845,954 | |
2,975,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.000%, 7/31/2027 | 3,114,319 | |
1,875,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026 | 1,991,855 | |
3,050,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027 | 3,219,580 | |
TOTAL | 54,239,875 | ||
Wireless Communications—3.6% | |||
1,025,000 | Altice France SA, 144A, 8.125%, 2/1/2027 | 1,156,303 | |
4,750,000 | Altice Luxembourg SA, Sr. Unsecd. Note, 144A, 7.625%, 2/15/2025 | 4,951,875 | |
15,050,000 | Numericable-SFR SAS, 144A, 7.375%, 5/1/2026 | 16,186,124 | |
4,650,000 | Sprint Capital Corp., Company Guarantee, 6.875%, 11/15/2028 | 5,018,977 | |
8,000,000 | Sprint Corp., 7.125%, 6/15/2024 | 8,646,680 | |
8,725,000 | Sprint Corp., Sr. Unsecd. Note, 7.625%, 2/15/2025 | 9,596,191 | |
3,400,000 | Sprint Corp., Sr. Unsecd. Note, 7.625%, 3/1/2026 | 3,755,810 | |
3,675,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.125%, 4/15/2025 | 3,810,828 | |
800,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.375%, 4/15/2027 | 853,858 | |
2,400,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.000%, 3/1/2023 | 2,448,204 | |
4,325,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2025 | 4,478,170 | |
3,975,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.500%, 1/15/2024 | 4,099,259 | |
1,900,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.500%, 1/15/2026 | 2,040,714 | |
TOTAL | 67,042,993 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $1,730,441,396) | 1,755,207,854 | ||
COMMON STOCKS—0.1% | |||
Chemicals—0.1% | |||
98,676 | 1 | Hexion Holdings Corp. | 1,189,046 |
Media Entertainment—0.0% | |||
67,010 | 1 | iHeartMedia, Inc. | 1,132,469 |
TOTAL COMMON STOCKS (IDENTIFIED COST $3,094,143) | 2,321,515 | ||
INVESTMENT COMPANY—4.7% | |||
87,212,687 | Federated Institutional Prime Value Obligations Fund, Institutional Shares, 1.75%4 (IDENTIFIED COST $87,236,119) | 87,230,130 | |
TOTAL INVESTMENT IN SECURITIES—98.8% (IDENTIFIED COST $1,820,771,658)5 | 1,844,759,499 | ||
OTHER ASSETS AND LIABILITIES - NET—1.2%6 | 21,462,292 | ||
TOTAL NET ASSETS—100% | $1,866,221,791 |
Federated Institutional Prime Value Obligations Fund, Institutional Shares | |
Balance of Shares Held 12/31/2018 | 42,745,013 |
Purchases/Additions | 664,140,216 |
Sales/Reductions | (619,672,542) |
Balance of Shares Held 12/31/2019 | 87,212,687 |
Value | $87,230,130 |
Change in Unrealized Appreciation/Depreciation | $2,169 |
Net Realized Gain/(Loss) | $9,110 |
Dividend Income | $1,104,929 |
1 | Non-income-producing security. |
2 | Issuer in default. |
3 | Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund's Board of Trustees (the “Trustees”). |
4 | 7-day net yield. |
5 | The cost of investments for federal tax purposes amounts to $1,821,234,451. |
6 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $1,755,207,854 | $0 | $1,755,207,854 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 2,321,515 | — | — | 2,321,515 |
Investment Company | 87,230,130 | — | — | 87,230,130 |
TOTAL SECURITIES | $89,551,645 | $1,755,207,854 | $0 | $1,844,759,499 |
MTN | —Medium Term Note |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $5.88 | $6.40 | $6.32 | $5.82 | $6.34 |
Income From Investment Operations: | |||||
Net investment income | 0.38 | 0.38 | 0.39 | 0.40 | 0.41 |
Net realized and unrealized gain (loss) | 0.49 | (0.51) | 0.08 | 0.50 | (0.51) |
TOTAL FROM INVESTMENT OPERATIONS | 0.87 | (0.13) | 0.47 | 0.90 | (0.10) |
Less Distributions: | |||||
Distributions from net investment income | (0.39) | (0.39) | (0.39) | (0.40) | (0.41) |
Distributions from net realized gain | — | — | — | — | (0.01) |
TOTAL DISTRIBUTIONS | (0.39) | (0.39) | (0.39) | (0.40) | (0.42) |
Net Asset Value, End of Period | $6.36 | $5.88 | $6.40 | $6.32 | $5.82 |
Total Return1 | 15.18% | (2.16)% | 7.55% | 15.90% | (1.81)% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.03% | 0.03% | 0.02% | 0.02% | 0.02% |
Net investment income | 6.16% | 6.14% | 6.05% | 6.47% | 6.37% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $1,866,222 | $1,712,174 | $2,036,543 | $2,121,645 | $2,379,520 |
Portfolio turnover | 34% | 21% | 28% | 25% | 33% |
1 | Based on net asset value. |
Assets: | ||
Investment in securities, at value including $87,230,130 of investment in an affiliated holding* (identified cost $1,820,771,658) | $1,844,759,499 | |
Income receivable | 29,531,180 | |
Income receivable from affiliated holdings* | 113,935 | |
Receivable for investments sold | 405,000 | |
Receivable for shares sold | 250,000 | |
TOTAL ASSETS | 1,875,059,614 | |
Liabilities: | ||
Income distribution payable | $8,652,830 | |
Accrued expenses (Note 5) | 184,993 | |
TOTAL LIABILITIES | 8,837,823 | |
Net assets for 293,316,455 shares outstanding | $1,866,221,791 | |
Net Assets Consist of: | ||
Paid-in capital | $1,903,120,504 | |
Total distributable earnings (loss) | (36,898,713) | |
TOTAL NET ASSETS | $1,866,221,791 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$1,866,221,791 ÷ 293,316,455 shares outstanding, no par value, unlimited shares authorized | $6.36 |
* | See information listed after the Fund's Portfolio of Investments. |
Investment Income: | ||
Interest | $115,781,517 | |
Dividends received from an affiliated holding* | 1,104,929 | |
TOTAL INCOME | 116,886,446 | |
Expenses: | ||
Administrative fee (Note 5) | $2,723 | |
Custodian fees | 71,491 | |
Transfer agent fee | 130,212 | |
Directors'/Trustees' fees (Note 5) | 14,204 | |
Auditing fees | 36,700 | |
Legal fees | 9,092 | |
Portfolio accounting fees | 198,202 | |
Printing and postage | 15,836 | |
Miscellaneous (Note 5) | 29,660 | |
TOTAL EXPENSES | 508,120 | |
Net investment income | 116,378,326 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized gain on investments (including net realized gain of $9,110 on sales of investments in an affiliated holding*) | 3,493,912 | |
Net change in unrealized depreciation of investments (including net change in unrealized depreciation of $2,169 on investments in an affiliated holding*) | 143,379,329 | |
Net realized and unrealized gain on investments | 146,873,241 | |
Change in net assets resulting from operations | $263,251,567 |
* | See information listed after the Fund's Portfolio of Investments. |
Year Ended December 31 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $116,378,326 | $111,446,944 |
Net realized gain | 3,493,912 | 7,538,798 |
Net change in unrealized appreciation/depreciation | 143,379,329 | (154,766,309) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 263,251,567 | (35,780,567) |
Distributions to Shareholders | (119,348,718) | (114,049,474) |
Share Transactions: | ||
Proceeds from sale of shares | 517,478,900 | 240,055,351 |
Net asset value of shares issued to shareholders in payment of distributions declared | 11,967,918 | 9,467,988 |
Cost of shares redeemed | (519,301,399) | (424,062,887) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 10,145,419 | (174,539,548) |
Change in net assets | 154,048,268 | (324,369,589) |
Net Assets: | ||
Beginning of period | 1,712,173,523 | 2,036,543,112 |
End of period | $1,866,221,791 | $1,712,173,523 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
■ | With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts; |
■ | Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; |
■ | Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry. |
Year Ended December 31 | 2019 | 2018 |
Shares sold | 83,359,803 | 39,241,943 |
Shares issued to shareholders in payment of distributions declared | 1,913,898 | 1,527,133 |
Shares redeemed | (83,230,409) | (67,809,662) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 2,043,292 | (27,040,586) |
2019 | 2018 | |
Ordinary income | $119,348,718 | $114,049,474 |
Undistributed ordinary income | $1,763,288 |
Unrealized appreciation (depreciation) | $23,525,048 |
Capital loss carryforwards | $(62,187,049) |
Short-Term | Long-Term | Total |
$— | $62,187,049 | $62,187,049 |
Purchases | $611,759,859 |
Sales | $649,330,273 |
High Yield Bond Portfolio
February 21, 2020
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period1 | |
Actual | $1,000.00 | $1,043.60 | $0.15 |
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,025.00 | $0.15 |
1 | Expenses are equal to the Fund's annualized net expense ratio of 0.03%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 President and Trustee Indefinite Term Began serving: October 2005 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
John B. Fisher* Birth Date: May 16, 1956 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations:Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President of some of the Funds in the Federated Hermes Fund Family and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; President and CEO of Passport Research, Ltd.; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
* | Reasons for “interested” status: J. Christopher Donahue and John B. Fisher are interested due to their beneficial ownership of shares of Federated Hermes, Inc. and due to positions they hold with Federated Hermes, Inc. and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, Chairman of the Compensation Committee, KLX Energy Services Holdings, Inc. (oilfield services); former Director of KLX Corp. (aerospace). Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc.; Director, Chair of the Audit Committee, Equifax, Inc.; Director, Member of the Audit Committee, Haverty Furniture Companies, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court's Board of Continuing Judicial Education and the Supreme Court's Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, St. Vincent College; and Director and Chair, North Catholic High School, Inc. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 2005 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant and Author. Other Directorships Held: None. Qualifications: Mr. Mansfield has served as a Marine Corps officer and in several banking, business management, educational roles and directorship positions throughout his long career. He remains active as a Management Consultant and Author. |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CNX Resources Corporation (formerly known as CONSOL Energy Inc.); and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: November 2005 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: October 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: September 2006 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes' taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
TickerFMBPX |
1 | Please see the footnotes to the line graph under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the BBMBS. |
2 | The value of some mortgage-backed securities may be particularly sensitive to changes in prevailing interest rates, and although the securities are generally supported by some form of government or private insurance, there is no assurance that private guarantors or insurers will meet their obligations. |
3 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
Federated Mortgage Strategy Portfolio | BBMBS | |
F | I | |
12/31/2009 | 10,000 | 10,000 |
12/31/2010 | 10,516 | 10,537 |
12/31/2011 | 11,087 | 11,193 |
12/31/2012 | 11,435 | 11,483 |
12/31/2013 | 11,196 | 11,321 |
12/31/2014 | 11,852 | 12,010 |
12/31/2015 | 12,049 | 12,191 |
12/31/2016 | 12,326 | 12,395 |
12/31/2017 | 12,665 | 12,701 |
12/31/2018 | 12,807 | 12,827 |
12/31/2019 | 13,613 | 13,642 |
1 Year | 5 Years | 10 Years | |
Fund | 6.29% | 2.81% | 3.13% |
BBMBS | 6.35% | 2.58% | 3.15% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBMBS has been adjusted to reflect reinvestment of dividends on securities in the index. |
2 | The BBMBS covers agency mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC). The index is not adjusted to reflect sales loads, expenses or other fees that the Securities and Exchange Commission requires to be reflected in the Fund's performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
Type of Investment | Percentage of Total Net Assets2 |
U.S. Government Agency Mortgage-Backed Securities | 89.5% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 3.1% |
Asset-Backed Securities | 2.6% |
Non-Agency Mortgage-Backed Securities | 1.5% |
Cash Equivalents3 | 5.4% |
Other Assets and Liabilities—Net4 | (2.1)% |
TOTAL | 100.0% |
1 | See the Fund's Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests. |
2 | As of the date specified above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, the affiliated investment company (other than an affiliated money market mutual fund) is not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata portion of each security and each other asset and liability owned by the affiliated investment company. Accordingly, the percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Shares or Principal Amount | Value | ||
INVESTMENT COMPANY—99.5% | |||
12,161,692 | 1 | Federated Mortgage Core Portfolio (IDENTIFIED COST $118,703,094) | $120,157,513 |
REPURCHASE AGREEMENT—0.6% | |||
$765,000 | Interest in $450,000,000 joint repurchase agreement 1.570%, dated 12/31/2019 under which BMO Capital Markets Corp. will repurchase securities provided as collateral for $450,039,250 on 1/2/2020. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 11/20/2069 and the market value of those underlying securities was $460,414,804. (IDENTIFIED COST $765,000) | 765,000 | |
TOTAL INVESTMENT IN SECURITIES—100.1% (IDENTIFIED COST $119,468,094)2 | 120,922,513 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.1)%3 | (129,396) | ||
TOTAL NET ASSETS—100% | $120,793,117 |
1 | Due to this affiliated holding representing greater than 75% of the Fund's total net assets, a copy of the affiliated holding's most recent Annual Report is included with this Report. |
Federated Mortgage Core Portfolio | |
Balance of Shares Held 12/31/2018 | 10,332,179 |
Purchases/Additions | 2,589,541 |
Sales/Reductions | (760,028) |
Balance of Shares Held 12/31/2019 | 12,161,692 |
Value | $120,157,513 |
Change in Unrealized Appreciation/Depreciation | $3,162,322 |
Net Realized Gain/(Loss) | $(66,211) |
Dividend Income | $3,637,793 |
2 | The cost of investments for federal tax purposes amounts to $121,327,829. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Investment Company | $120,157,513 | $— | $— | $120,157,513 |
Repurchase Agreement | — | 765,000 | — | 765,000 |
TOTAL SECURITIES | $120,157,513 | $765,000 | $— | $120,922,513 |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $9.70 | $9.90 | $9.91 | $9.95 | $10.07 |
Income From Investment Operations: | |||||
Net investment income | 0.32 | 0.30 | 0.28 | 0.27 | 0.29 |
Net realized and unrealized gain (loss) | 0.28 | (0.20) | (0.01) | (0.04) | (0.12) |
TOTAL FROM INVESTMENT OPERATIONS | 0.60 | 0.10 | 0.27 | 0.23 | 0.17 |
Less Distributions: | |||||
Distributions from net investment income | (0.32) | (0.30) | (0.28) | (0.27) | (0.29) |
Net Asset Value, End of Period | $9.98 | $9.70 | $9.90 | $9.91 | $9.95 |
Total Return1 | 6.29% | 1.12% | 2.75% | 2.30% | 1.67% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 3.26% | 3.17% | 2.82% | 2.67% | 2.86% |
Expense waiver/reimbursement3 | 0.24% | 0.27% | 0.26% | 0.26% | 0.27% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $120,793 | $99,486 | $82,970 | $83,685 | $78,397 |
Portfolio turnover | 7% | 10% | 18% | 9% | 20% |
1 | Based on net asset value. |
2 | The Adviser has contractually agreed to reimburse all expenses, excluding extraordinary expenses, incurred by the Fund. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in securities, at value including $120,157,513 of investment in an affiliated holding* (identified cost $119,468,094) | $120,922,513 | |
Cash | 641 | |
Income receivable | 33 | |
Income receivable from affiliated holding* | 279,113 | |
Receivable for shares sold | 215,484 | |
TOTAL ASSETS | 121,417,784 | |
Liabilities: | ||
Payable for investments purchased | $279,416 | |
Payable for shares redeemed | 2,935 | |
Income distribution payable | 270,620 | |
Payable to adviser (Note 5) | 1,544 | |
Payable for administrative fee (Note 5) | 260 | |
Payable for auditing fees | 28,300 | |
Payable for portfolio accounting fees | 26,849 | |
Accrued expenses (Note 5) | 14,743 | |
TOTAL LIABILITIES | 624,667 | |
Net assets for 12,098,659 shares outstanding | $120,793,117 | |
Net Assets Consist of: | ||
Paid-in capital | $121,511,128 | |
Total distributable earnings (loss) | (718,011) | |
TOTAL NET ASSETS | $120,793,117 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$120,793,117 ÷ 12,098,659 shares outstanding, no par value, unlimited shares authorized | $9.98 |
* | See information listed after the Fund's Portfolio of Investments. |
Investment Income: | |||
Dividends received from an affiliated holding* | $3,637,793 | ||
Interest | 7,947 | ||
TOTAL INCOME | 3,645,740 | ||
Expenses: | |||
Administrative fee (Note 5) | $88,732 | ||
Custodian fees | 6,599 | ||
Transfer agent fee | 9,566 | ||
Directors'/Trustees' fees (Note 5) | 2,109 | ||
Auditing fees | 28,299 | ||
Legal fees | 9,084 | ||
Portfolio accounting fees | 53,504 | ||
Share registration costs | 33,920 | ||
Printing and postage | 16,610 | ||
Commitment fee | 16,612 | ||
Miscellaneous (Note 5) | 8,647 | ||
TOTAL EXPENSES | 273,682 | ||
Reimbursement of operating expenses (Note 5) | (273,682) | ||
Net investment income | 3,645,740 | ||
Realized and Unrealized Gain (Loss) on Investments: | |||
Net realized loss on investments in an affiliated holding* | (66,211) | ||
Net change in unrealized depreciation of investments in an affiliated holding* | 3,162,322 | ||
Net realized and unrealized gain (loss) on investments | 3,096,111 | ||
Change in net assets resulting from operations | $6,741,851 |
* | See information listed after the Fund's Portfolio of Investments. |
Year Ended December 31 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $3,645,740 | $2,963,831 |
Net realized loss | (66,211) | (440,785) |
Net change in unrealized appreciation/depreciation | 3,162,322 | (1,210,266) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 6,741,851 | 1,312,780 |
Distributions to Shareholders | (3,644,970) | (2,964,158) |
Share Transactions: | ||
Proceeds from sale of shares | 33,579,741 | 35,279,604 |
Net asset value of shares issued to shareholders in payment of distributions declared | 117,084 | 87,912 |
Cost of shares redeemed | (15,486,985) | (17,199,617) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 18,209,840 | 18,167,899 |
Change in net assets | 21,306,721 | 16,516,521 |
Net Assets: | ||
Beginning of period | 99,486,396 | 82,969,875 |
End of period | $120,793,117 | $99,486,396 |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
Year Ended December 31 | 2019 | 2018 |
Shares sold | 3,394,259 | 3,652,690 |
Shares issued to shareholders in payment of distributions declared | 11,818 | 9,115 |
Shares redeemed | (1,561,253) | (1,785,064) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 1,844,824 | 1,876,741 |
2019 | 2018 | |
Ordinary income | $3,644,970 | $2,964,158 |
Undistributed ordinary income | $2,094 |
Unrealized depreciation | $(405,316) |
Capital loss carryforwards | $(314,789) |
Short-Term | Long-Term | Total |
$– | $314,789 | $314,789 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Purchases | $25,362,483 |
Sales | $7,490,000 |
February 21, 2020
Beginning Account Value 7/1/2019 | Ending Account Value 12/31/2019 | Expenses Paid During Period1 | |
Actual | $1,000.00 | $1,019.70 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,025.20 | $0.00 |
1 | Expenses are equal to the Fund's annualized net expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The Adviser has contractually agreed to reimburse all expenses, excluding extraordinary expenses, incurred by the Fund. This agreement has no fixed term. |
Federated Mortgage Core Portfolio
1 | Please see the footnotes to the line graph under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the BBMBS. |
2 | The value of some mortgage-backed securities may be particularly sensitive to changes in prevailing interest rates, and although the securities are generally supported by some form of government or private insurance, there is no assurance that private guarantors or insurers will meet their obligations. |
3 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
Federated Mortgage Core Portfolio | NA | BBMBS | |
F | NA | I | |
12/31/2009 | 10,000 | 10,000 | |
12/31/2010 | 10,504 | 10,537 | |
12/31/2011 | 11,076 | 11,193 | |
12/31/2012 | 11,424 | 11,483 | |
12/31/2013 | 11,191 | 11,321 | |
12/31/2014 | 11,851 | 12,010 | |
12/31/2015 | 12,048 | 12,191 | |
12/31/2016 | 12,325 | 12,395 | |
12/31/2017 | 12,664 | 12,701 | |
12/31/2018 | 12,804 | 12,827 | |
12/31/2019 | 13,614 | 13,642 |
1 Year | 5 Years | 10 Years | |
Fund | 6.33% | 2.81% | 3.13% |
BBMBS | 6.35% | 2.58% | 3.15% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBMBS has been adjusted to reflect reinvestment of dividends on securities in the index. |
2 | The BBMBS covers agency mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC). The index is not adjusted to reflect sales loads, expenses or other fees that the Securities and Exchange Commission requires to be reflected in the Fund's performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
Type of Investment | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 90.0% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 3.1% |
Asset-Backed Securities | 2.6% |
Non-Agency Mortgage-Backed Securities | 1.5% |
Cash Equivalents2 | 4.8% |
Other Assets and Liabilities—Net3 | (2.0)% |
TOTAL | 100.0% |
1 | See the Fund's Private Offering Memorandum for a description of the principal types of securities in which the Fund invests. |
2 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—2.6% | |||
Credit Card—2.5% | |||
$8,375,000 | 1 | American Express Credit Account Master Trust 2018-9, Class A, 2.119% (1-month USLIBOR +0.380%), 4/15/2026 | $8,376,430 |
14,368,000 | 1 | Capital One Multi-Asset Execut 2017-A5, Class A5, 2.319% (1-month USLIBOR +0.580%), 7/15/2027 | 14,381,200 |
26,460,000 | 1 | Discover Card Execution Note T 2017-A5, Class A5, 2.339% (1-month USLIBOR +0.600%), 12/15/2026 | 26,534,503 |
12,340,000 | 1 | Discover Card Execution Note Trust 2018-A2, Class A2, 2.069% (1-month USLIBOR +0.330%), 8/15/2025 | 12,332,324 |
TOTAL | 61,624,457 | ||
Other—0.1% | |||
1,853,616 | Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 | 1,867,696 | |
986,151 | Sofi Consumer Loan Program Trust 2016-3, Class A, 3.050%, 12/26/2025 | 987,995 | |
TOTAL | 2,855,691 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $64,540,294) | 64,480,148 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—3.1% | |||
Agency Commercial Mortgage-Backed Securities—3.1% | |||
23,760,000 | FHLMC REMIC, Series K727, Class A2, 2.946%, 7/25/2024 | 24,476,573 | |
25,797,908 | FHLMC REMIC, Series K736, Class A1, 1.895%, 6/25/2025 | 25,577,552 | |
28,000,000 | FHLMC REMIC, Series KC03, Class A2, 3.499%, 1/25/2026 | 29,401,518 | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $79,127,958) | 79,455,643 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—4.3% | |||
Federal Home Loan Mortgage Corporation—1.8% | |||
44,523,674 | 1 | FHLMC REMIC, Series 4856, Class FD, 2.039% (1-month USLIBOR +0.300%), 8/15/2040 | 44,271,158 |
Federal National Mortgage Association—1.0% | |||
25,211,507 | 1 | FNMA REMIC, Series 2019-56, Class AF, 2.192% (1-month USLIBOR +0.400%), 10/25/2049 | 25,159,711 |
Non-Agency Mortgage-Backed Securities—1.5% | |||
767,881 | Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 | 685,395 | |
452,086 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 269,631 | |
2,377,097 | Credit Suisse Mortgage Trust 2014-WIN2, Class A2, 3.500%, 10/25/2044 | 2,396,400 | |
258,722 | Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 4.415%, 8/25/2035 | 253,219 | |
6,737,974 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | 6,540,747 | |
6,650,727 | Sequoia Mortgage Trust 2013-1, Class 2A1, 1.855%, 2/25/2043 | 6,458,306 | |
13,248,710 | Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 | 12,852,261 | |
9,597,391 | Sequoia Mortgage Trust 2014-4, Class A5, 3.500%, 11/25/2044 | 9,678,015 | |
TOTAL | 39,133,974 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $109,622,662) | 108,564,843 | ||
MORTGAGE-BACKED SECURITIES—87.2% | |||
Federal Home Loan Mortgage Corporation—31.5% | |||
8,856,488 | 2.500%, 9/1/2034 | 8,948,784 | |
2,934,287 | 2.500%, 10/1/2049 | 2,901,684 | |
2,972,416 | 3.000%, 4/1/2031 | 3,058,859 | |
3,259,583 | 3.000%, 1/1/2032 | 3,357,230 | |
4,351,198 | 3.000%, 3/1/2032 | 4,485,898 | |
5,132,406 | 3.000%, 3/1/2032 | 5,284,874 | |
4,319,545 | 3.000%, 6/1/2032 | 4,446,515 | |
5,735,346 | 3.000%, 6/1/2032 | 5,909,310 | |
16,016,675 | 3.000%, 11/1/2032 | 16,481,469 | |
2,394,995 | 3.000%, 12/1/2032 | 2,464,047 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$8,293,936 | 3.000%, 1/1/2033 | $8,542,397 | |
27,616,347 | 3.000%, 2/1/2033 | 28,540,305 | |
3,779,524 | 3.000%, 7/1/2033 | 3,898,888 | |
24,991,309 | 3.000%, 1/1/2043 | 25,843,191 | |
7,382,577 | 3.000%, 11/1/2044 | 7,486,576 | |
1,447,732 | 3.000%, 6/1/2045 | 1,483,056 | |
9,299,857 | 3.000%, 10/1/2045 | 9,573,269 | |
1,105,302 | 3.000%, 5/1/2046 | 1,139,870 | |
21,011,457 | 3.000%, 6/1/2046 | 21,602,921 | |
8,285,577 | 3.000%, 6/1/2046 | 8,583,544 | |
10,284,443 | 3.000%, 7/1/2046 | 10,635,010 | |
3,097,134 | 3.000%, 9/1/2046 | 3,183,349 | |
9,759,417 | 3.000%, 10/1/2046 | 10,037,191 | |
10,319,899 | 3.000%, 10/1/2046 | 10,607,175 | |
8,811,003 | 3.000%, 10/1/2046 | 9,086,564 | |
3,812,901 | 3.000%, 11/1/2046 | 3,919,041 | |
8,700,352 | 3.000%, 11/1/2046 | 8,904,481 | |
9,958,465 | 3.000%, 12/1/2046 | 10,269,912 | |
19,343,626 | 3.000%, 1/1/2047 | 19,797,468 | |
16,512,960 | 3.000%, 5/1/2047 | 16,988,113 | |
313,184 | 3.500%, 6/1/2026 | 324,607 | |
622,799 | 3.500%, 6/1/2026 | 645,515 | |
202,260 | 3.500%, 7/1/2026 | 209,637 | |
9,234,023 | 3.500%, 7/1/2042 | 9,721,518 | |
8,195,794 | 3.500%, 9/1/2043 | 8,623,354 | |
5,463,593 | 3.500%, 5/1/2046 | 5,688,861 | |
32,603,329 | 3.500%, 7/1/2046 | 34,355,131 | |
22,394,112 | 3.500%, 11/1/2047 | 23,240,460 | |
67,562,555 | 3.500%, 11/1/2047 | 70,158,194 | |
3,774,426 | 3.500%, 12/1/2047 | 3,977,229 | |
32,218,874 | 3.500%, 12/1/2047 | 33,537,216 | |
29,314,341 | 3.500%, 12/1/2047 | 30,422,227 | |
18,966,071 | 3.500%, 2/1/2048 | 19,697,679 | |
25,813,162 | 3.500%, 2/1/2048 | 26,897,628 | |
2,223 | 4.000%, 2/1/2020 | 2,222 | |
232,400 | 4.000%, 5/1/2024 | 242,157 | |
1,429,747 | 4.000%, 8/1/2025 | 1,490,670 | |
162,785 | 4.000%, 5/1/2026 | 169,824 | |
2,411,001 | 4.000%, 5/1/2026 | 2,515,244 | |
2,045,526 | 4.000%, 12/1/2040 | 2,192,161 | |
12,544,218 | 4.000%, 12/1/2041 | 13,439,539 | |
1,719,275 | 4.000%, 1/1/2042 | 1,841,986 | |
21,519,478 | 4.000%, 6/1/2047 | 22,762,863 | |
22,606,493 | 4.000%, 10/1/2047 | 23,868,177 | |
15,728,287 | 4.000%, 11/1/2047 | 16,511,724 | |
13,882,238 | 4.000%, 12/1/2047 | 14,655,280 | |
9,303,260 | 4.000%, 2/1/2048 | 9,759,684 | |
27,072,980 | 4.000%, 4/1/2048 | 28,387,663 | |
15,942,652 | 4.000%, 5/1/2048 | 16,672,000 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$9,246,356 | 4.000%, 6/1/2048 | $9,746,221 | |
10,079 | 4.500%, 3/1/2021 | 10,161 | |
158,094 | 4.500%, 9/1/2021 | 159,843 | |
167,338 | 4.500%, 7/1/2024 | 174,025 | |
175,050 | 4.500%, 8/1/2024 | 182,047 | |
466,646 | 4.500%, 9/1/2024 | 484,979 | |
454,264 | 4.500%, 9/1/2024 | 472,722 | |
244,693 | 4.500%, 6/1/2025 | 254,803 | |
1,151,285 | 4.500%, 11/1/2039 | 1,251,226 | |
3,249,393 | 4.500%, 5/1/2040 | 3,531,468 | |
326,511 | 4.500%, 6/1/2040 | 354,855 | |
592,428 | 4.500%, 7/1/2040 | 643,856 | |
1,996,307 | 4.500%, 8/1/2040 | 2,169,603 | |
986,161 | 4.500%, 8/1/2040 | 1,071,769 | |
6,110,455 | 4.500%, 9/1/2040 | 6,640,896 | |
1,241,698 | 4.500%, 7/1/2041 | 1,346,383 | |
427,023 | 4.500%, 7/1/2041 | 461,584 | |
635,117 | 4.500%, 7/1/2041 | 688,663 | |
10,827,033 | 4.500%, 2/1/2048 | 11,673,868 | |
15,421,667 | 4.500%, 5/1/2048 | 16,350,763 | |
12,166,805 | 4.500%, 8/1/2048 | 12,996,382 | |
8,577,222 | 4.500%, 10/1/2048 | 9,048,400 | |
6,266 | 5.000%, 7/1/2020 | 6,280 | |
11,515 | 5.000%, 10/1/2021 | 11,741 | |
56,894 | 5.000%, 11/1/2021 | 58,014 | |
56,516 | 5.000%, 12/1/2021 | 57,741 | |
103,879 | 5.000%, 6/1/2023 | 107,599 | |
208,488 | 5.000%, 7/1/2023 | 216,313 | |
82,838 | 5.000%, 7/1/2023 | 85,945 | |
76,983 | 5.000%, 7/1/2025 | 79,740 | |
1,565,303 | 5.000%, 1/1/2034 | 1,713,546 | |
530,270 | 5.000%, 5/1/2034 | 580,971 | |
2,267 | 5.000%, 11/1/2035 | 2,497 | |
694,613 | 5.000%, 4/1/2036 | 765,375 | |
10,372 | 5.000%, 4/1/2036 | 11,412 | |
138,845 | 5.000%, 4/1/2036 | 153,253 | |
769 | 5.000%, 4/1/2036 | 849 | |
82,976 | 5.000%, 5/1/2036 | 91,597 | |
249,770 | 5.000%, 6/1/2036 | 274,386 | |
113,248 | 5.000%, 6/1/2036 | 124,774 | |
674,463 | 5.000%, 12/1/2037 | 744,536 | |
95,196 | 5.000%, 5/1/2038 | 105,172 | |
47,550 | 5.000%, 6/1/2038 | 52,651 | |
113,291 | 5.000%, 9/1/2038 | 125,380 | |
101,357 | 5.000%, 2/1/2039 | 112,219 | |
51,607 | 5.000%, 3/1/2039 | 57,137 | |
113,094 | 5.000%, 6/1/2039 | 125,214 | |
3,473,995 | 5.000%, 10/1/2039 | 3,835,420 | |
291,777 | 5.000%, 2/1/2040 | 321,677 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$601,520 | 5.000%, 8/1/2040 | $661,281 | |
12,098 | 5.500%, 3/1/2021 | 12,275 | |
77,008 | 5.500%, 4/1/2021 | 78,033 | |
35,976 | 5.500%, 1/1/2022 | 36,896 | |
91,838 | 5.500%, 1/1/2022 | 94,075 | |
4,352 | 5.500%, 1/1/2022 | 4,463 | |
112,100 | 5.500%, 2/1/2022 | 115,094 | |
1,321,935 | 5.500%, 5/1/2034 | 1,475,200 | |
103,338 | 5.500%, 3/1/2036 | 116,118 | |
124,597 | 5.500%, 3/1/2036 | 140,522 | |
41,958 | 5.500%, 3/1/2036 | 47,165 | |
110,442 | 5.500%, 3/1/2036 | 124,124 | |
265,765 | 5.500%, 6/1/2036 | 299,849 | |
117,924 | 5.500%, 6/1/2036 | 132,562 | |
77,704 | 5.500%, 6/1/2036 | 87,338 | |
103,229 | 5.500%, 9/1/2037 | 116,273 | |
339,085 | 5.500%, 9/1/2037 | 381,248 | |
143,045 | 5.500%, 12/1/2037 | 161,306 | |
23,633 | 5.500%, 3/1/2038 | 26,605 | |
12,009 | 6.000%, 7/1/2029 | 13,427 | |
36,636 | 6.000%, 2/1/2032 | 41,325 | |
50,308 | 6.000%, 5/1/2036 | 57,928 | |
69,179 | 6.000%, 8/1/2037 | 79,611 | |
263,269 | 6.000%, 9/1/2037 | 303,116 | |
11,006 | 6.500%, 3/1/2022 | 11,379 | |
9,383 | 6.500%, 6/1/2029 | 10,604 | |
10,652 | 6.500%, 6/1/2029 | 12,051 | |
4,228 | 6.500%, 7/1/2029 | 4,742 | |
248,203 | 6.500%, 11/1/2036 | 290,424 | |
599,900 | 6.500%, 10/1/2037 | 705,464 | |
3,108 | 6.500%, 4/1/2038 | 3,651 | |
2,572 | 6.500%, 4/1/2038 | 3,027 | |
94 | 7.000%, 10/1/2020 | 95 | |
8,824 | 7.000%, 4/1/2032 | 10,125 | |
170,447 | 7.000%, 4/1/2032 | 198,449 | |
55,429 | 7.000%, 9/1/2037 | 65,155 | |
22,789 | 7.500%, 8/1/2029 | 26,320 | |
24,369 | 7.500%, 10/1/2029 | 28,019 | |
12,760 | 7.500%, 11/1/2029 | 14,707 | |
15,760 | 7.500%, 4/1/2031 | 17,549 | |
14,740 | 7.500%, 5/1/2031 | 17,090 | |
3,771 | 8.000%, 3/1/2030 | 4,367 | |
36,127 | 8.000%, 1/1/2031 | 42,310 | |
53,488 | 8.000%, 2/1/2031 | 62,176 | |
56,137 | 8.000%, 3/1/2031 | 65,721 | |
1,591 | 8.500%, 9/1/2025 | 1,755 | |
420 | 8.500%, 9/1/2025 | 463 | |
TOTAL | 795,208,874 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—43.7% | |||
$4,129,307 | 2.500%, 2/1/2028 | $4,176,856 | |
25,000,000 | 2.500%, 6/1/2034 | 25,233,188 | |
6,862,622 | 2.500%, 9/1/2034 | 6,934,138 | |
3,898,084 | 2.500%, 9/1/2034 | 3,932,007 | |
39,737,162 | 2.500%, 12/1/2034 | 40,082,974 | |
20,941,020 | 2.500%, 11/1/2049 | 20,701,800 | |
8,438,434 | 2.500%, 12/1/2049 | 8,342,037 | |
9,973,914 | 2.500%, 12/1/2049 | 9,859,977 | |
2,945,610 | 3.000%, 2/1/2032 | 3,029,341 | |
5,724,085 | 3.000%, 8/1/2043 | 5,888,794 | |
4,359,935 | 3.000%, 9/1/2043 | 4,485,390 | |
14,052,077 | 3.000%, 8/1/2046 | 14,456,420 | |
5,380,086 | 3.000%, 9/1/2046 | 5,546,664 | |
8,442,689 | 3.000%, 10/1/2046 | 8,640,772 | |
2,556,879 | 3.000%, 10/1/2046 | 2,628,056 | |
5,504,943 | 3.000%, 11/1/2046 | 5,647,863 | |
4,980,814 | 3.000%, 11/1/2046 | 5,119,466 | |
8,722,770 | 3.000%, 11/1/2046 | 8,927,425 | |
2,929,286 | 3.000%, 1/1/2047 | 2,994,352 | |
68,267,748 | 3.000%, 1/1/2047 | 69,869,452 | |
1,412,068 | 3.000%, 2/1/2047 | 1,456,230 | |
17,035,514 | 3.000%, 3/1/2047 | 17,520,380 | |
13,006,477 | 3.000%, 3/1/2047 | 13,311,636 | |
1,929,017 | 3.000%, 4/1/2047 | 1,981,509 | |
12,045,952 | 3.000%, 12/1/2047 | 12,392,570 | |
16,705,817 | 3.000%, 12/1/2047 | 17,223,064 | |
5,544,053 | 3.000%, 2/1/2048 | 5,686,256 | |
1,534,350 | 3.000%, 2/1/2048 | 1,573,705 | |
39,227,265 | 3.000%, 4/1/2049 | 39,804,381 | |
6,259,652 | 3.000%, 11/1/2049 | 6,377,956 | |
2,495,941 | 3.000%, 11/1/2049 | 2,531,101 | |
46,614,226 | 3.000%, 12/1/2049 | 47,270,886 | |
30,678,008 | 3.000%, 12/1/2049 | 31,110,172 | |
268,074 | 3.500%, 11/1/2025 | 277,852 | |
445,288 | 3.500%, 11/1/2025 | 461,530 | |
421,821 | 3.500%, 12/1/2025 | 437,206 | |
153,038 | 3.500%, 1/1/2026 | 158,620 | |
514,131 | 3.500%, 1/1/2026 | 532,884 | |
29,500,809 | 3.500%, 4/1/2033 | 30,917,925 | |
13,475,899 | 3.500%, 9/1/2042 | 14,212,603 | |
21,529,063 | 3.500%, 7/1/2045 | 22,692,564 | |
16,231,248 | 3.500%, 8/1/2046 | 16,900,476 | |
12,139,527 | 3.500%, 8/1/2046 | 12,638,154 | |
20,749,494 | 3.500%, 9/1/2046 | 21,595,286 | |
8,282,671 | 3.500%, 11/1/2046 | 8,722,529 | |
8,272,782 | 3.500%, 2/1/2047 | 8,712,115 | |
25,034,815 | 3.500%, 11/1/2047 | 25,980,963 | |
23,050,857 | 3.500%, 12/1/2047 | 23,943,635 | |
26,752,419 | 3.500%, 12/1/2047 | 27,788,562 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$14,334,321 | 3.500%, 12/1/2047 | $14,876,063 | |
16,796,625 | 3.500%, 4/1/2048 | 17,405,180 | |
19,420,530 | 3.500%, 9/1/2049 | 19,978,497 | |
393,590 | 4.000%, 12/1/2025 | 410,362 | |
391,405 | 4.000%, 7/1/2026 | 408,328 | |
2,837,312 | 4.000%, 2/1/2041 | 3,040,707 | |
7,435,677 | 4.000%, 12/1/2041 | 7,968,709 | |
2,861,288 | 4.000%, 3/1/2042 | 3,072,660 | |
6,012,430 | 4.000%, 4/1/2042 | 6,437,799 | |
9,784,189 | 4.000%, 10/1/2045 | 10,412,194 | |
2,249,579 | 4.000%, 3/1/2046 | 2,390,455 | |
3,506,595 | 4.000%, 7/1/2046 | 3,718,848 | |
3,278,987 | 4.000%, 9/1/2046 | 3,467,574 | |
5,458,736 | 4.000%, 11/1/2046 | 5,770,813 | |
24,842,160 | 4.000%, 6/1/2047 | 26,277,528 | |
11,837,277 | 4.000%, 10/1/2047 | 12,434,298 | |
9,663,289 | 4.000%, 10/1/2047 | 10,139,793 | |
9,513,889 | 4.000%, 11/1/2047 | 9,980,647 | |
12,173,901 | 4.000%, 12/1/2047 | 12,875,400 | |
15,341,478 | 4.000%, 12/1/2047 | 16,139,208 | |
6,617,626 | 4.000%, 1/1/2048 | 7,022,738 | |
12,748,641 | 4.000%, 2/1/2048 | 13,371,708 | |
9,679,728 | 4.000%, 2/1/2048 | 10,155,832 | |
4,545,829 | 4.000%, 2/1/2048 | 4,907,214 | |
16,668,442 | 4.000%, 2/1/2048 | 17,472,665 | |
20,056,597 | 4.000%, 2/1/2048 | 21,074,433 | |
4,164,739 | 4.000%, 3/1/2048 | 4,495,828 | |
45,900,021 | 4.000%, 3/1/2048 | 48,114,614 | |
3,833,388 | 4.000%, 3/1/2048 | 4,031,040 | |
11,922,509 | 4.000%, 4/1/2048 | 12,546,184 | |
10,425,412 | 4.000%, 5/1/2048 | 10,912,130 | |
2,742,984 | 4.000%, 6/1/2048 | 2,871,042 | |
13,670,437 | 4.000%, 6/1/2048 | 14,291,563 | |
11,083,637 | 4.000%, 7/1/2048 | 11,536,315 | |
6,022,248 | 4.000%, 11/1/2048 | 6,286,464 | |
197,210 | 4.500%, 2/1/2039 | 214,158 | |
1,197,285 | 4.500%, 5/1/2040 | 1,301,220 | |
3,836,365 | 4.500%, 10/1/2040 | 4,169,394 | |
371,232 | 4.500%, 11/1/2040 | 402,994 | |
4,335,052 | 4.500%, 4/1/2041 | 4,700,534 | |
2,150,397 | 4.500%, 6/1/2041 | 2,331,693 | |
4,597,587 | 4.500%, 9/1/2041 | 4,982,329 | |
10,163,828 | 4.500%, 5/1/2048 | 10,779,336 | |
8,766,220 | 4.500%, 9/1/2048 | 9,258,738 | |
519,406 | 5.000%, 5/1/2023 | 538,451 | |
93,022 | 5.000%, 8/1/2023 | 96,591 | |
399,183 | 5.000%, 11/1/2023 | 416,480 | |
2,218,745 | 5.000%, 2/1/2036 | 2,443,460 | |
1,346,366 | 5.000%, 7/1/2040 | 1,480,127 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$1,488,369 | 5.000%, 10/1/2041 | $1,626,935 | |
32,920 | 5.500%, 1/1/2032 | 36,557 | |
43,717 | 5.500%, 1/1/2032 | 48,547 | |
409,829 | 5.500%, 9/1/2034 | 459,094 | |
1,392,219 | 5.500%, 12/1/2034 | 1,559,129 | |
47,157 | 5.500%, 4/1/2035 | 52,722 | |
488,636 | 5.500%, 11/1/2035 | 549,654 | |
327,073 | 5.500%, 1/1/2036 | 368,627 | |
117,461 | 5.500%, 3/1/2036 | 132,224 | |
498,609 | 5.500%, 4/1/2036 | 560,641 | |
740,203 | 5.500%, 4/1/2036 | 833,480 | |
217,496 | 5.500%, 5/1/2036 | 244,589 | |
157,611 | 5.500%, 9/1/2036 | 177,527 | |
515,353 | 5.500%, 8/1/2037 | 580,793 | |
188,261 | 5.500%, 7/1/2038 | 212,246 | |
863,288 | 5.500%, 4/1/2041 | 946,653 | |
1,349 | 6.000%, 1/1/2029 | 1,385 | |
13,272 | 6.000%, 1/1/2029 | 14,655 | |
17,082 | 6.000%, 2/1/2029 | 18,875 | |
7,602 | 6.000%, 2/1/2029 | 8,412 | |
4,794 | 6.000%, 4/1/2029 | 5,347 | |
15,953 | 6.000%, 5/1/2029 | 17,774 | |
10,242 | 6.000%, 5/1/2029 | 11,333 | |
698,334 | 6.000%, 7/1/2034 | 797,854 | |
378,168 | 6.000%, 11/1/2034 | 431,400 | |
189,006 | 6.000%, 7/1/2036 | 217,210 | |
47,932 | 6.000%, 7/1/2036 | 55,215 | |
242,759 | 6.000%, 10/1/2037 | 279,539 | |
188,628 | 6.000%, 6/1/2038 | 216,583 | |
996,286 | 6.000%, 7/1/2038 | 1,148,838 | |
80,385 | 6.000%, 9/1/2038 | 92,743 | |
60,968 | 6.000%, 10/1/2038 | 70,335 | |
435,649 | 6.000%, 2/1/2039 | 502,455 | |
29,697 | 6.500%, 9/1/2028 | 32,272 | |
4,340 | 6.500%, 8/1/2029 | 4,874 | |
5,344 | 6.500%, 6/1/2031 | 6,115 | |
15,004 | 6.500%, 6/1/2031 | 17,080 | |
5,041 | 6.500%, 6/1/2031 | 5,702 | |
5,622 | 6.500%, 6/1/2031 | 6,376 | |
33,700 | 6.500%, 12/1/2031 | 38,803 | |
3,248 | 6.500%, 1/1/2032 | 3,737 | |
47,026 | 6.500%, 3/1/2032 | 54,126 | |
188,085 | 6.500%, 4/1/2032 | 214,815 | |
59,509 | 6.500%, 5/1/2032 | 68,603 | |
295,172 | 6.500%, 7/1/2036 | 344,904 | |
11,569 | 6.500%, 8/1/2036 | 13,556 | |
14,296 | 6.500%, 9/1/2036 | 16,803 | |
84,378 | 6.500%, 12/1/2036 | 98,588 | |
116,869 | 6.500%, 9/1/2037 | 137,656 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$6,395 | 6.500%, 12/1/2037 | $7,535 | |
90,498 | 6.500%, 10/1/2038 | 106,662 | |
799 | 7.000%, 7/1/2023 | 848 | |
20,586 | 7.000%, 2/1/2024 | 21,778 | |
895 | 7.000%, 5/1/2024 | 965 | |
2,148 | 7.000%, 7/1/2024 | 2,330 | |
1,219 | 7.000%, 7/1/2025 | 1,339 | |
15,304 | 7.000%, 9/1/2031 | 17,564 | |
6,113 | 7.000%, 9/1/2031 | 7,096 | |
130,048 | 7.000%, 11/1/2031 | 151,179 | |
10,938 | 7.000%, 12/1/2031 | 12,496 | |
74,163 | 7.000%, 1/1/2032 | 83,496 | |
28,935 | 7.000%, 2/1/2032 | 33,568 | |
37,435 | 7.000%, 3/1/2032 | 43,538 | |
263,993 | 7.000%, 3/1/2032 | 300,228 | |
122,252 | 7.000%, 4/1/2032 | 142,464 | |
5,709 | 7.000%, 4/1/2032 | 6,648 | |
29,664 | 7.000%, 4/1/2032 | 34,083 | |
29,104 | 7.000%, 6/1/2032 | 33,885 | |
283,801 | 7.000%, 6/1/2037 | 333,687 | |
985 | 7.500%, 1/1/2030 | 1,144 | |
10,681 | 7.500%, 9/1/2030 | 12,408 | |
14,633 | 7.500%, 5/1/2031 | 17,065 | |
4,037 | 7.500%, 6/1/2031 | 4,700 | |
39,180 | 7.500%, 8/1/2031 | 45,583 | |
45,036 | 7.500%, 1/1/2032 | 51,748 | |
3,835 | 7.500%, 6/1/2033 | 4,403 | |
225 | 8.000%, 7/1/2023 | 235 | |
4,956 | 8.000%, 10/1/2026 | 5,600 | |
2,386 | 8.000%, 11/1/2029 | 2,754 | |
453 | 9.000%, 6/1/2025 | 503 | |
TOTAL | 1,104,950,973 | ||
Government National Mortgage Association—10.0% | |||
20,676,387 | 3.000%, 1/20/2047 | 21,294,660 | |
1,648,576 | 3.500%, 8/15/2043 | 1,738,399 | |
1,299,771 | 3.500%, 8/15/2043 | 1,370,589 | |
16,916,611 | 3.500%, 3/20/2047 | 17,740,489 | |
20,587,811 | 3.500%, 11/20/2047 | 21,590,485 | |
27,519,925 | 3.500%, 6/20/2049 | 28,402,690 | |
46,560,054 | 3.500%, 9/20/2049 | 48,209,988 | |
28,874,985 | 3.500%, 10/20/2049 | 29,927,545 | |
26,843,276 | 3.500%, 11/20/2049 | 27,846,941 | |
1,633,507 | 4.000%, 9/15/2040 | 1,748,386 | |
4,054,298 | 4.000%, 10/15/2040 | 4,339,423 | |
1,888,075 | 4.000%, 1/15/2041 | 2,019,087 | |
2,627,887 | 4.000%, 10/15/2041 | 2,805,307 | |
7,488,000 | 4.000%, 5/20/2047 | 7,824,558 | |
19,084,078 | 4.000%, 6/15/2048 | 20,038,553 | |
427,141 | 4.500%, 1/15/2039 | 464,469 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$348,592 | 4.500%, 6/15/2039 | $380,737 | |
1,431,807 | 4.500%, 10/15/2039 | 1,563,641 | |
427,499 | 4.500%, 1/15/2040 | 467,485 | |
249,420 | 4.500%, 6/15/2040 | 272,750 | |
347,469 | 4.500%, 9/15/2040 | 379,970 | |
533,781 | 4.500%, 2/15/2041 | 582,875 | |
1,287,252 | 4.500%, 3/15/2041 | 1,407,655 | |
131,793 | 4.500%, 5/15/2041 | 143,667 | |
4,397,528 | 4.500%, 6/20/2041 | 4,792,044 | |
718,286 | 4.500%, 9/15/2041 | 781,880 | |
493,124 | 4.500%, 10/15/2043 | 536,013 | |
398,572 | 4.500%, 11/15/2043 | 430,497 | |
583,069 | 5.000%, 1/15/2039 | 645,149 | |
560,082 | 5.000%, 5/15/2039 | 619,984 | |
804,175 | 5.000%, 8/20/2039 | 884,912 | |
233,474 | 5.500%, 12/15/2038 | 261,189 | |
168,826 | 5.500%, 12/20/2038 | 189,255 | |
354,786 | 5.500%, 1/15/2039 | 398,214 | |
356,747 | 5.500%, 2/15/2039 | 399,883 | |
8,813 | 6.000%, 10/15/2028 | 9,664 | |
11,137 | 6.000%, 3/15/2029 | 12,205 | |
105,889 | 6.000%, 2/15/2036 | 120,432 | |
184,443 | 6.000%, 4/15/2036 | 209,721 | |
170,677 | 6.000%, 6/15/2037 | 194,498 | |
19,295 | 6.500%, 10/15/2028 | 21,557 | |
7,096 | 6.500%, 10/15/2028 | 7,704 | |
8,685 | 6.500%, 11/15/2028 | 9,620 | |
14,650 | 6.500%, 12/15/2028 | 16,271 | |
5,669 | 6.500%, 2/15/2029 | 6,333 | |
14,275 | 6.500%, 3/15/2029 | 15,896 | |
28,853 | 6.500%, 9/15/2031 | 32,882 | |
62,011 | 6.500%, 2/15/2032 | 70,434 | |
18,241 | 7.000%, 11/15/2027 | 20,311 | |
14,729 | 7.000%, 12/15/2027 | 16,505 | |
10,131 | 7.000%, 6/15/2028 | 11,213 | |
19,235 | 7.000%, 11/15/2028 | 21,400 | |
8,747 | 7.000%, 1/15/2029 | 9,860 | |
8,114 | 7.000%, 5/15/2029 | 9,209 | |
2,391 | 7.000%, 10/15/2029 | 2,705 | |
23,521 | 7.000%, 5/15/2030 | 26,696 | |
15,858 | 7.000%, 11/15/2030 | 18,066 | |
15,941 | 7.000%, 12/15/2030 | 17,982 | |
29,731 | 7.000%, 6/15/2031 | 33,489 | |
15,422 | 7.000%, 8/15/2031 | 17,570 | |
64,671 | 7.000%, 10/15/2031 | 74,144 | |
11,496 | 7.000%, 12/15/2031 | 13,231 | |
18,533 | 7.500%, 8/15/2029 | 21,192 | |
44,929 | 7.500%, 10/15/2029 | 51,648 | |
54,614 | 7.500%, 6/15/2030 | 63,087 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$4,708 | 7.500%, 10/15/2030 | $5,420 | |
7,368 | 7.500%, 1/15/2031 | 8,556 | |
3,766 | 8.000%, 1/15/2022 | 3,923 | |
2,482 | 8.000%, 6/15/2022 | 2,595 | |
4,095 | 8.000%, 8/15/2029 | 4,715 | |
2,691 | 8.000%, 10/15/2029 | 3,110 | |
9,657 | 8.000%, 11/15/2029 | 11,171 | |
9,876 | 8.000%, 1/15/2030 | 11,314 | |
3,587 | 8.000%, 10/15/2030 | 4,141 | |
78,853 | 8.000%, 11/15/2030 | 91,255 | |
4,180 | 8.500%, 5/15/2029 | 4,875 | |
172 | 9.500%, 10/15/2020 | 174 | |
TOTAL | 253,806,143 | ||
Uniform Mortgage-Backed Securities, TBA—2.0% | |||
50,000,000 | 2 | 3.000%, 1/20/2050 | 51,360,505 |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $ 2,124,855,938) | 2,205,326,495 | ||
INVESTMENT COMPANY—4.8% | |||
121,153,079 | 3Federated Government Obligations Fund, Premier Shares, 1.53%4 (IDENTIFIED COST $121,153,079) | 121,153,079 | |
TOTAL INVESTMENT IN SECURITIES—102.0% (IDENTIFIED COST $2,499,299,931)5 | 2,578,980,208 | ||
OTHER ASSETS AND LIABILITIES - NET—(2.0)%6 | (50,115,422) | ||
TOTAL NET ASSETS—100% | $2,528,864,786 |
Federated Government Obligations Fund, Premier Shares | |
Balance of Shares Held 12/31/2018 | 89,372,028 |
Purchases/Additions | 1,550,583,537 |
Sales/Reductions | (1,518,802,486) |
Balance of Shares Held 12/31/2019 | 121,153,079 |
Value | $121,153,079 |
Change in Unrealized Appreciation/Depreciation | NA |
Net Realized Gain/(Loss) | NA |
Dividend Income | $3,222,268 |
1 | Floating/variable note with current rate and current maturity or next reset date shown. |
2 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
3 | All or a portion of this security is segregated pending settlement of when issue and delayed transactions. |
4 | 7-day net yield. |
5 | The cost of investments for federal tax purposes amounts to $2,498,099,757. |
6 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Asset-Backed Securities | $— | $64,480,148 | $— | $64,480,148 |
Commercial Mortgage-Backed Securities | — | 79,455,643 | — | 79,455,643 |
Collateralized Mortgage Obligations | — | 108,564,843 | — | 108,564,843 |
Mortgage-Backed Securities | — | 2,205,326,495 | — | 2,205,326,495 |
Investment Company | 121,153,079 | — | — | 121,153,079 |
TOTAL SECURITIES | $121,153,079 | $2,457,827,129 | $— | $2,578,980,208 |
FHLMC | —Federal Home Loan Mortgage Corporation |
FNMA | —Federal National Mortgage Association |
REMIC | —Real Estate Mortgage Investment Conduit |
Year Ended December 31 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $9.60 | $9.80 | $9.81 | $9.85 | $9.97 |
Income From Investment Operations: | |||||
Net investment income1 | 0.32 | 0.30 | 0.27 | 0.23 | 0.23 |
Net realized and unrealized gain (loss) | 0.28 | (0.20) | 0.002 | (0.00)2 | (0.07) |
TOTAL FROM INVESTMENT OPERATIONS | 0.60 | 0.10 | 0.27 | 0.23 | 0.16 |
Less Distributions: | |||||
Distributions from net investment income | (0.32) | (0.30) | (0.28) | (0.27) | (0.28) |
Net Asset Value, End of Period | $9.88 | $9.60 | $9.80 | $9.81 | $9.85 |
Total Return3 | 6.33% | 1.10% | 2.75% | 2.30% | 1.66% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.03% | 0.03% | 0.03% | 0.03% | 0.03% |
Net investment income | 3.25% | 3.18% | 2.71% | 2.34% | 2.31% |
Expense waiver/reimbursement4 | —% | —% | 0.00%5 | 0.00%5 | —% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $2,528,865 | $2,815,951 | $1,787,418 | $2,147,397 | $1,900,395 |
Portfolio turnover | 130% | 109% | 88% | 258% | 307% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 100% | 109% | 46% | 42% | 46% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Represents less than $0.01. |
3 | Based on net asset value. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
5 | Represents less than 0.01%. |
Assets: | ||
Investment in securities, at value including $121,153,079 of investment in an affiliated holding* (identified cost $2,499,299,931) | $2,578,980,208 | |
Income receivable | 6,500,950 | |
Income receivable from an affiliated holding | 414,791 | |
TOTAL ASSETS | 2,585,895,949 | |
Liabilities: | ||
Payable for investments purchased | $51,364,583 | |
Income distribution payable | 5,390,979 | |
Accrued expenses (Note 5) | 275,601 | |
TOTAL LIABILITIES | 57,031,163 | |
Net assets for 255,950,936 shares outstanding | $2,528,864,786 | |
Net Assets Consist of: | ||
Paid-in capital | $2,507,738,449 | |
Total distributable earnings (loss) | 21,126,337 | |
TOTAL NET ASSETS | $2,528,864,786 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$2,528,864,786 ÷ 255,950,936 shares outstanding, no par value, unlimited shares authorized | $9.88 |
* | See information listed after the Fund's Portfolio of Investments. |
Investment Income: | ||
Interest | $81,674,718 | |
Dividends received from an affiliated holding* | 3,222,268 | |
TOTAL INCOME | 84,896,986 | |
Expenses: | ||
Administrative fee (Note 5) | $12,823 | |
Custodian fees | 106,817 | |
Transfer agent fee | 180,339 | |
Directors'/Trustees' fees (Note 5) | 19,319 | |
Auditing fees | 32,500 | |
Legal fees | 10,473 | |
Portfolio accounting fees | 247,717 | |
Share registration costs | 200 | |
Printing and postage | 16,003 | |
Miscellaneous (Note 5) | 30,903 | |
TOTAL EXPENSES | 657,094 | |
Net investment income | 84,239,892 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized gain on investments | 11,228,822 | |
Net change in unrealized appreciation of investments | 62,595,684 | |
Net realized and unrealized gain (loss) on investments | 73,824,506 | |
Change in net assets resulting from operations | $158,064,398 |
* | See information listed after the Fund's Portfolio of Investments. |
Year Ended December 31 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $84,239,892 | $74,500,364 |
Net realized gain (loss) | 11,228,822 | (38,821,151) |
Net change in unrealized appreciation/depreciation | 62,595,684 | 9,445,875 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 158,064,398 | 45,125,088 |
Distributions to Shareholders | (84,671,889) | (74,757,288) |
Share Transactions: | ||
Proceeds from sale of shares | 679,031,800 | 1,338,729,800 |
Net asset value of shares issued to shareholders in payment of distributions declared | 10,132,796 | 8,059,110 |
Cost of shares redeemed | (1,049,643,767) | (288,623,600) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (360,479,171) | 1,058,165,310 |
Change in net assets | (287,086,662) | 1,028,533,110 |
Net Assets: | ||
Beginning of period | 2,815,951,448 | 1,787,418,338 |
End of period | $2,528,864,786 | $2,815,951,448 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
Year Ended December 31 | 2019 | 2018 |
Shares sold | 69,130,342 | 140,395,762 |
Shares issued to shareholders in payment of distributions declared | 1,033,755 | 844,493 |
Shares redeemed | (107,607,772) | (30,302,963) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (37,443,675) | 110,937,292 |
2019 | 2018 | |
Ordinary income | $84,671,889 | $74,757,288 |
Undistributed ordinary income | $597,895 |
Net unrealized appreciation | $80,880,451 |
Capital loss carryforwards | $(60,352,009) |
Short-Term | Long-Term | Total |
$36,259,149 | $24,092,860 | $60,352,009 |
Purchases | $245,352,683 |
Sales | $151,140,110 |
February 21, 2020
Beginning Account Value 7/1/2019 | Ending Account Value 12/31/2019 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,019.70 | $0.15 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,025.00 | $0.15 |
1 | Expenses are equal to the Fund's annualized net expense ratio of 0.03%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 President and Trustee Indefinite Term Began serving: October 2005 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
John B. Fisher* Birth Date: May 16, 1956 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations:Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President of some of the Funds in the Federated Hermes Fund Family and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; President and CEO of Passport Research, Ltd.; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
* | Reasons for “interested” status: J. Christopher Donahue and John B. Fisher are interested due to their beneficial ownership of shares of Federated Hermes, Inc. and due to positions they hold with Federated Hermes, Inc. and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, Chairman of the Compensation Committee, KLX Energy Services Holdings, Inc. (oilfield services); former Director of KLX Corp. (aerospace). Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc.; Director, Chair of the Audit Committee, Equifax, Inc.; Director, Member of the Audit Committee, Haverty Furniture Companies, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court's Board of Continuing Judicial Education and the Supreme Court's Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, St. Vincent College; and Director and Chair, North Catholic High School, Inc. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 2005 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant and Author. Other Directorships Held: None. Qualifications: Mr. Mansfield has served as a Marine Corps officer and in several banking, business management, educational roles and directorship positions throughout his long career. He remains active as a Management Consultant and Author. |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CNX Resources Corporation (formerly known as CONSOL Energy Inc.); and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: November 2005 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: October 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: September 2006 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes' taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: February 2015 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Item 2. | Code of Ethics |
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the "Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers") that applies to the registrant's Principal Executive Officer and Principal Financial Officer; the registrant's Principal Financial Officer also serves as the Principal Accounting Officer.
(c) There was no amendment to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(d) There was no waiver granted, either actual or implicit, from a provision to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(e) Not Applicable
(f)(3) The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant at 1-800-341-7400, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.
Item 3. Audit Committee Financial Expert
The registrant's Board has determined that each of the following members of the Board's Audit Committee is an “audit committee financial expert,” and is "independent," for purposes of this Item: John T. Collins, G. Thomas Hough and Thomas M. O'Neill.
Item 4. | Principal Accountant Fees and Services |
(a) Audit Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2019 - $148,300
Fiscal year ended 2018 - $148,652
(b) Audit-Related Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2019 - $0
Fiscal year ended 2018 - $0
Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(c) Tax Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2019 - $0
Fiscal year ended 2018 - $0
Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(d) All Other Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2019 - $0
Fiscal year ended 2018 - $0
Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $81,675 and $38,903 respectively. Fiscal year ended 2019- Service fee for analysis of potential Passive Foreign Investment Company holdings. Fiscal year ended 2018- Service fee 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. Unless a type of service to be provided by the independent auditor has received general pre-approval, it will require specific pre-approval by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
Certain services have the general pre-approval of the Audit Committee. The term of the general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee specifically provides for a different period. The Audit Committee will annually review the services that may be provided by the independent auditor without obtaining specific pre-approval from the Audit Committee and may grant general pre-approval for such services. The Audit Committee will revise the list of general pre-approved services from time to time, based on subsequent determinations. The Audit Committee will not delegate its responsibilities to pre-approve services performed by the independent auditor to management.
The Audit Committee has delegated pre-approval authority to its Chairman. The Chairman will report any pre-approval decisions to the Audit Committee at its next scheduled meeting. The Committee will designate another member with such pre-approval authority when the Chairman is unavailable.
AUDIT SERVICES
The annual Audit services engagement terms and fees will be subject to the specific pre-approval of the Audit Committee. The Audit Committee must approve any changes in terms, conditions and fees resulting from changes in audit scope, registered investment company (RIC) structure or other matters.
In addition to the annual Audit services engagement specifically approved by the Audit Committee, the Audit Committee may grant general pre-approval for other Audit Services, which are those services that only the independent auditor reasonably can provide. The Audit Committee has pre-approved certain Audit services, all other Audit services must be specifically pre-approved by the Audit Committee.
AUDIT-RELATED SERVICES
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the Company’s financial statements or that are traditionally performed by the independent auditor. The Audit Committee believes that the provision of Audit-related services does not impair the independence of the auditor, and has pre-approved certain Audit-related services, all other Audit-related services must be specifically pre-approved by the Audit Committee.
TAX SERVICES
The Audit Committee believes that the independent auditor can provide Tax services to the Company such as tax compliance, tax planning and tax advice without impairing the auditor’s independence. However, the Audit Committee will not permit the retention of the independent auditor in connection with a transaction initially recommended by the independent auditor, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has pre-approved certain Tax services, all Tax services involving large and complex transactions must be specifically pre-approved by the Audit Committee.
ALL OTHER SERVICES
With respect to the provision of services other than audit, review or attest services the pre-approval requirement is waived if:
(1) | The aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues paid by the registrant, the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant to its accountant during the fiscal year in which the services are provided; |
(2) | Such services were not recognized by the registrant, the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant at the time of the engagement to be non-audit services; and |
(3) | Such services are promptly brought to the attention of the Audit Committee of the issuer and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee who are members of the board of directors to whom authority to grant such approvals has been delegated by the Audit Committee. |
The Audit Committee may grant general pre-approval to those permissible non-audit services classified as All Other services that it believes are routine and recurring services, and would not impair the independence of the auditor.
The SEC’s rules and relevant guidance should be consulted to determine the precise definitions of prohibited non-audit services and the applicability of exceptions to certain of the prohibitions.
PRE-APPROVAL FEE LEVELS
Pre-approval fee levels for all services to be provided by the independent auditor will be established annually by the Audit Committee. Any proposed services exceeding these levels will require specific pre-approval by the Audit Committee.
PROCEDURES
Requests or applications to provide services that require specific approval by the Audit Committee will be submitted to the Audit Committee by both the independent auditor and the Principal Accounting Officer and/or Internal Auditor, and must include a joint statement as to whether, in their view, the request or application is consistent with the SEC’s rules on auditor independence.
(e)(2) Percentage of services identified in items 4(b) through 4(d) that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:
4(b)
Fiscal year ended 2019 – 0%
Fiscal year ended 2018 - 0%
Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(c)
Fiscal year ended 2019 – 0%
Fiscal year ended 2018 – 0%
Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(d)
Fiscal year ended 2019 – 0%
Fiscal year ended 2018 – 0%
Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
(f) | NA |
(g) | Non-Audit Fees billed to the registrant, the registrant’s investment adviser, and certain entities controlling, controlled by or under common control with the investment adviser: |
Fiscal year ended 2019 - $728,817
Fiscal year ended 2018 - $801,040
(h) | The registrant’s Audit Committee has considered that the provision of non-audit services that were rendered to the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
The registrant’s management and Audit Committee continue to believe that the registrant’s registered public accounting firm, Ernst & Young LLP (“EY”), has the ability to exercise objective and impartial judgment on all issues encompassed within their audit services. EY is required to make a determination that it satisfies certain independence requirements under the federal securities laws. Like other registrants, there is a risk that activities or relationships of EY, or its partners or employees, can prevent a determination from being made that it satisfies such independence requirements with respect to the registrant, which could render it ineligible to serve as the registrant’s independent public accountant.
In its required communications to the Audit Committee of the registrant’s Board, EY informed the Audit Committee that EY and/or covered person professionals within EY maintain lending relationships with certain owners of greater than 10% of the shares of certain investment companies within the “investment company complex” as defined under Rule 2-01(f)(14) of Regulation S-X, which are affiliates of the registrant. EY has advised the Audit Committee that these lending relationships implicate Rule 2-01(c)(1)(ii)(A) of Regulation S-X (referred to as the “Loan Rule”). The Loan Rule prohibits an independent public accountant, or covered person professionals at such firm, from having a financial relationship (such as a loan) with a lender that is a record or beneficial owner of more than 10% of an audit client’s equity securities. For purposes of the Loan Rule, audit clients include the registrant, as well as all registered investment companies advised by advisory subsidiaries of Federated Investors, Inc., the Adviser (for which EY serves as independent public accountant), and their respective affiliates (collectively, the “Federated Fund Complex”).
EY informed the Audit Committee that EY believes that these lending relationships described above do not and will not impair EY’s ability to exercise objective and impartial judgment in connection with financial statement audits of their respective funds of the registrant and a reasonable investor with knowledge of all relevant facts and circumstances would conclude that EY has been and is capable of objective and impartial judgment on all issues encompassed within EY’s audits.
On June 20, 2016, the Division of Investment Management of the Securities and Exchange Commission (“SEC”) issued a no-action letter to another mutual fund complex (see Fidelity Management & Research Company et al., No-Action Letter) related to similar Loan Rule matters as those described above (the “Letter”). In the Letter, the SEC Staff confirmed that it would not recommend enforcement action against an investment company that relied on the audit services performed by an independent public accountant where the Loan Rule was implicated in certain specified circumstances provided that: (1) the auditor has complied with PCAOB Rule 3526(b)(1) and 3526(b)(2); (2) the Loan Rule is implicated because of lending relationships; and (3) notwithstanding such lending relationships that implicate the Loan Rule, the auditor has concluded that it is objective and impartial with respect to the issues encompassed within its engagement as auditor of the funds. The circumstances described in the Letter are substantially similar to the circumstances that implicated the Loan Rule with respect to EY and the registrant. On September 22, 2017, the SEC extended the expiration of the Letter until the effectiveness of any amendments to the Loan Rule designed to address the concerns in the Letter. On June 18, 2019, the SEC adopted amendments (effective October 3, 2019) to the Loan Rule, which, refocus the analysis that must be conducted to determine whether an auditor is independent when the auditor has a lending relationship with certain shareholders of an audit client at any time during an audit or professional engagement period.
If it were to be determined that, with respect to the Loan Rule, the relief available under the Letter was improperly relied upon, or that the independence requirements under the federal securities laws were not complied with regarding the registrant, for certain periods, and/or given the implication of the Investment Rule for certain periods, any of the registrant’s filings with the SEC which contain financial statements of the registrant for such periods may be determined not to be consistent with or comply with applicable federal securities laws, the registrant’s ability to offer shares under its current registration statement may be impacted, andcertain financial reporting and/or other covenants with, and representations and warranties to, the registrant’s lender under its committed line of credit may be impacted. Such eventscould have a material adverse effect on the registrant and the Federated Fund Complex.
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Exhibits |
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
RegistrantFederated Managed Pool Series
By/S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
DateFebruary 21, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By/S/ J. Christopher Donahue
J. Christopher Donahue, Principal Executive Officer
DateFebruary 21, 2020
By/S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
DateFebruary 21, 2020