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 Hermes Managed Pool Series
______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 11/30/21
Date of Reporting Period: Six months ended 05/31/21
Item 1. | Reports to Stockholders |
Ticker FIBPX |
Federated Hermes International Bond Strategy Portfolio
A Portfolio of Federated Hermes Managed Pool Series
Country | Country Exposure as a Percentage of Total Net Assets2,3 | Currency Exposure as a Percentage of Total Net Assets3,4 |
Brazil | 8.4% | 0.7% |
Japan | 7.4% | 16.6% |
Mexico | 7.4% | (1.4)% |
Turkey | 6.1% | — |
United Kingdom | 5.5% | 4.7% |
China | 5.5 % | 0.9% |
France | 4.9% | — |
Italy | 4.3% | — |
Spain | 4.3% | — |
Argentina | 3.1% | — |
South Africa | 2.8% | — |
Egypt | 2.6% | 0.6% |
Germany | 2.2% | — |
India | 1.9% | 0.3% |
Bahrain | 1.8% | — |
Ukraine | 1.7% | — |
Australia | 1.7% | 2.8% |
Dominican Republic | 1.7% | — |
Nigeria | 1.6% | — |
Oman | 1.4% | — |
Colombia | 1.4% | 0.2% |
Canada | 1.3% | (1.2)% |
Ghana | 1.3% | — |
Russia | 1.1% | (0.1)% |
Indonesia | 0.9% | 0.3% |
United States | 0.6% | 48.8% |
Poland | 0.2% | 0.2% |
Euro | — | 24.1% |
Other Countries5 | 14.4% | — |
SUB-TOTAL | 97.5% | 97.5% |
Cash Equivalents6 | 2.3% | 2.3% |
Derivative Contracts7 | 0.1% | 0.1% |
Other Assets and Liabilities—Net8 | 0.1% | 0.1% |
TOTAL | 100% | 100% |
Foreign Currency Par Amount, Principal Amount or Shares | Value in U.S. Dollars | ||
BONDS—35.1% | |||
AUSTRALIAN DOLLAR—1.7% | |||
Sovereign—1.7% | |||
120,000 | Australia, Government of, Series 128, 5.750%, 7/15/2022 | $98,460 | |
100,000 | Australia, Government of, Series 137, 2.750%, 4/21/2024 | 83,045 | |
475,000 | Australia, Government of, Sr. Unsecd. Note, Series 148, 2.750%, 11/21/2027 | 405,280 | |
530,000 | Australia, Government of, Sr. Unsecd. Note, Series 160, 1.000%, 12/21/2030 | 387,291 | |
TOTAL | 974,076 | ||
BRITISH POUND—5.5% | |||
Sovereign—5.5% | |||
600,000 | United Kingdom, Government of, 2.750%, 9/7/2024 | 922,983 | |
200,000 | United Kingdom, Government of, 3.250%, 1/22/2044 | 393,300 | |
110,000 | United Kingdom, Government of, 4.250%, 12/7/2027 | 193,565 | |
200,000 | United Kingdom, Government of, Bond, 4.250%, 3/7/2036 | 405,486 | |
660,000 | United Kingdom, Government of, Unsecd. Note, 1.500%, 7/22/2047 | 977,648 | |
180,000 | United Kingdom, Government of, Unsecd. Note, 4.250%, 6/7/2032 | 344,347 | |
TOTAL | 3,237,329 | ||
CANADIAN DOLLAR—1.3% | |||
Sovereign—1.3% | |||
555,000 | Canada, Government of, Series WL43, 5.750%, 6/1/2029 | 613,750 | |
145,000 | Canada, Government of, 1.500%, 6/1/2023 | 122,845 | |
TOTAL | 736,595 | ||
EGYPTIAN POUND—0.2% | |||
Sovereign—0.2% | |||
2,250,000 | Egypt, Government of, Unsecd. Note, Series 7YR, 14.556%, 10/13/2027 | 143,416 | |
EURO—18.8% | |||
Consumer Products—0.5% | |||
190,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 2.875%, 5/14/2029 | 272,486 | |
Oil & Gas—1.2% | |||
600,000 | Petroleos Mexicanos, Sr. Unsecd. Note, Series EMTN, 1.875%, 4/21/2022 | 731,672 | |
Sovereign—17.1% | �� | ||
110,000 | Belgium, Government of, Series 68, 2.250%, 6/22/2023 | 142,244 | |
230,000 | Belgium, Government of, Series 74, 0.800%, 6/22/2025 | 295,872 | |
495,000 | France, Government of, 0.500%, 5/25/2025 | 628,048 | |
220,000 | France, Government of, 2.750%, 10/25/2027 | 320,794 | |
300,000 | France, Government of, 4.250%, 10/25/2023 | 409,173 | |
400,000 | France, Government of, Bond, 4.500%, 4/25/2041 | 841,066 | |
370,000 | France, Government of, O.A.T., 5.500%, 4/25/2029 | 652,722 | |
200,000 | Germany, Government of, 2.500%, 7/4/2044 | 368,105 | |
410,000 | Germany, Government of, Bond, Series 03, 4.750%, 7/4/2034 | 817,980 | |
55,000 | Germany, Government of, Unsecd. Note, 1.000%, 8/15/2024 | 70,720 | |
400,000 | Italy, Government of, Sr. Unsecd. Note, 0.650%, 10/15/2023 | 498,473 | |
540,000 | Italy, Government of, Sr. Unsecd. Note, 1.650%, 3/1/2032 | 704,128 | |
385,000 | Italy, Government of, Sr. Unsecd. Note, 4.750%, 9/1/2028 | 609,592 | |
340,000 | Italy, Government of, Unsecd. Note, 1.600%, 6/1/2026 | 443,954 | |
140,000 | Italy, Government of, Unsecd. Note, 3.250%, 9/1/2046 | 221,831 |
Foreign Currency Par Amount, Principal Amount or Shares | Value in U.S. Dollars | ||
BONDS—continued | |||
EURO—continued | |||
Sovereign—continued | |||
240,000 | Netherlands, Government of, Unsecd. Note, 0.250%, 7/15/2025 | $302,746 | |
100,000 | Netherlands, Government of, Unsecd. Note, 2.500%, 1/15/2033 | 157,227 | |
600,000 | Spain, Government of, 4.200%, 1/31/2037 | 1,083,618 | |
400,000 | Spain, Government of, Sr. Unsecd. Note, 1.500%, 4/30/2027 | 533,497 | |
485,000 | Spain, Government of, Sr. Unsecd. Note, 1.950%, 7/30/2030 | 676,284 | |
25,000 | Spain, Government of, Sr. Unsecd. Note, 2.750%, 10/31/2024 | 33,793 | |
90,000 | Spain, Government of, Unsecd. Note, 1.600%, 4/30/2025 | 118,147 | |
TOTAL | 9,930,014 | ||
JAPANESE YEN—7.4% | |||
Sovereign—7.4% | |||
106,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 122, 1.800%, 9/20/2030 | 1,121,109 | |
170,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 153, 1.300%, 6/20/2035 | 1,772,080 | |
123,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 44, 1.700%, 9/20/2044 | 1,403,668 | |
TOTAL | 4,296,857 | ||
POLISH ZLOTY—0.2% | |||
Sovereign—0.2% | |||
350,000 | Poland, Government of, Unsecd. Note, Series 0726, 2.500%, 7/25/2026 | 100,980 | |
TOTAL BONDS (IDENTIFIED COST $19,858,658) | 20,423,425 | ||
REPURCHASE AGREEMENTS—2.3% | |||
$1,351,000 | Interest in $152,000,000 joint repurchase agreement, 0.005% dated 5/28/2021 under which BNP Paribas will repurchase the securities provided as collateral for $152,000,084 on 6/1/2021.The securities provided as collateral at the end of the period held with BNY Mellon, tri-party agent, were U.S. Treasury with various maturities to 8/15/2030 and the market value of those underlying securities was $155,040,115. | 1,351,000 | |
PURCHASED CALL OPTION—0.1% | |||
Foreign Currency—0.1% | |||
2,300,000 | EUR CALL/USD PUT, JPMorgan, Notional Amount $2,300,000, Exercise Price $1.233, Expiration Date 6/14/2021 (IDENTIFIED COST $6,041) | 3,513 | |
31,000,000 | MXN CALL/JPY PUT, Barclays, Notional Amount $31,000,000, Exercise Price $5.289, Expiration Date 7/29/2021 (IDENTIFIED COST $32,451) | 65,981 | |
TOTAL PURCHASED CALL OPTIONS (IDENTIFIED COST $38,492) | 69,494 | ||
PURCHASED PUT OPTION—0.0% | |||
Foreign Currency—0.0% | |||
1,500,000 | USD PUT/CAD CALL, JPMorgan, Notional Amount $1,500,000, Exercise Price $1.195, Expiration Date 6/14/2021 (IDENTIFIED COST $3,825) | 2,657 | |
INVESTMENT COMPANY—62.3% | |||
3,524,735 | Emerging Markets Core Fund (IDENTIFIED COST $36,391,060) | 36,234,271 | |
TOTAL INVESTMENT IN SECURITIES—99.8% (IDENTIFIED COST $57,643,035)1 | 58,080,847 | ||
OTHER ASSETS AND LIABILITIES - NET—0.2%2 | 126,370 | ||
TOTAL NET ASSETS—100% | $58,207,217 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized (Depreciation) |
Short Futures: | ||||
3United States Treasury Notes 10 Year | 5 | $659,688 | September 2021 | $(1,184) |
Counterparty | Description | Notional Amount | Expiration Date | Exercise Price | Value in U.S. Dollar |
Call Options: | |||||
3JPMorgan | EUR PUT/USD CALL | $2,300,000 | 6/14/2021 | $1.211 | $(5,740) |
Put Options: | |||||
3BNP Paribas | GBP CALL/USD PUT | $46,925 | 6/9/2021 | $1.400 | $(940) |
(PREMIUM RECEIVED $6,476) | $(6,680) |
Settlement Date | Counterparty | Currency Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) |
Contracts Purchased: | ||||
6/11/2021 | Bank of America | 621,102 MXN | $30,784 | $360 |
6/11/2021 | BNP Paribas | 264,223,325 COP | $72,112 | $(906) |
6/11/2021 | Citibank | 41,384 AUD | $31,162 | $743 |
6/11/2021 | Citibank | 40,337 CAD | $31,336 | $2,054 |
6/11/2021 | Citibank | 27,614 CHF | $31,280 | $(572) |
6/11/2021 | Citibank | 23,554 GBP | $31,361 | $2,066 |
6/11/2021 | Citibank | 3,243,349 JPY | $31,410 | $(1,878) |
6/11/2021 | Citibank | 1,250,000 MXN | $61,707 | $970 |
6/11/2021 | Credit Agricole | 25,700 EUR | $31,419 | $(73) |
6/11/2021 | Credit Agricole | 25,932 EUR | $31,452 | $177 |
6/11/2021 | Credit Agricole | 51,500 EUR | $62,026 | $789 |
6/11/2021 | Credit Agricole | 2,289,866 INR | $30,553 | $1,003 |
6/11/2021 | Credit Agricole | 2,292,860 INR | $30,471 | $1,127 |
6/11/2021 | Credit Agricole | 3,263,702 JPY | $31,396 | $(1,679) |
6/11/2021 | HSBC | 204,790 CNY | $31,046 | $1,100 |
6/11/2021 | HSBC | 204,997 CNY | $30,983 | $1,196 |
6/11/2021 | HSBC | 627,099 MXN | $30,789 | $655 |
6/11/2021 | Morgan Stanley | 158,859 BRL | $30,997 | $(549) |
6/11/2021 | Morgan Stanley | 159,456 BRL | $31,090 | $(526) |
6/11/2021 | Morgan Stanley | 107,010,469 COP | $31,113 | $(2,274) |
6/11/2021 | Morgan Stanley | 108,846,008 COP | $31,226 | $(1,892) |
6/11/2021 | Morgan Stanley | 441,662,813 IDR | $30,808 | $81 |
6/11/2021 | Morgan Stanley | 441,819,375 IDR | $30,773 | $128 |
6/11/2021 | Morgan Stanley | 442,000,000 IDR | $30,497 | $416 |
6/11/2021 | Morgan Stanley | 2,290,000 INR | $30,755 | $804 |
6/11/2021 | State Street | 41,846 AUD | $31,157 | $1,103 |
6/11/2021 | State Street | 40,124 CAD | $31,318 | $1,895 |
6/11/2021 | State Street | 27,695 CHF | $31,311 | $(513) |
6/11/2021 | State Street | 23,373 GBP | $31,343 | $1,827 |
6/15/2021 | JPMorgan | $1,500,000 | 1,809,675 CAD | $2,018 |
7/27/2021 | Bank of America | 820,000 AUD | $636,164 | $(3,861) |
7/27/2021 | Bank of America | 250,000 EUR | 365,996 CAD | $2,265 |
7/27/2021 | Bank of America | 2,000,000 EUR | $2,445,210 | $(3,562) |
7/27/2021 | Bank of America | $500,000 | 606,409 CAD | $(1,934) |
Settlement Date | Counterparty | Currency Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) |
7/27/2021 | Barclays | 2,100,000 BRL | $376,374 | $24,359 |
7/27/2021 | BNP Paribas | 700,000 CAD | 2,139,846 PLN | $(2,797) |
7/27/2021 | BNP Paribas | $3,700,000 | 404,501,168 JPY | $15,552 |
7/27/2021 | Citibank | 800,000 AUD | 862,354 NZD | $(7,711) |
7/27/2021 | Citibank | 2,000,000 CAD | 180,285,000 JPY | $13,283 |
7/27/2021 | Citibank | 250,000 EUR | 368,203 CAD | $439 |
7/27/2021 | Citibank | 1,500,000 EUR | 195,260,520 JPY | $52,682 |
7/27/2021 | Citibank | 5,150,000 EUR | $6,242,141 | $45,101 |
7/27/2021 | Citibank | $2,300,000 | 8,725,089 PLN | $(73,875) |
7/27/2021 | Credit Agricole | 280,000,000 CLP | $405,486 | $(19,197) |
7/27/2021 | Credit Agricole | 39,000,000 RUB | $508,361 | $19,999 |
7/27/2021 | JPMorgan | 2,000,000 BRL | $370,542 | $11,109 |
7/27/2021 | JPMorgan | 450,000,000 COP | $123,438 | $(2,469) |
7/27/2021 | JPMorgan | 300,000 EUR | $361,232 | $5,015 |
7/27/2021 | JPMorgan | 1,000,000 EUR | $1,209,990 | $10,834 |
7/27/2021 | JPMorgan | 1,800,000 GBP | $2,499,095 | $55,506 |
7/27/2021 | JPMorgan | $700,000 | 14,118,838 MXN | $(4,307) |
7/27/2021 | Morgan Stanley | 300,000 GBP | 517,449 CAD | $(2,533) |
7/27/2021 | Morgan Stanley | $400,000 | 43,402,144 JPY | $4,666 |
7/27/2021 | State Street | 2,000,000 CAD | 173,091,800 JPY | $78,803 |
7/27/2021 | State Street | $350,000 | 37,597,490 JPY | $7,539 |
7/27/2021 | State Street | $550,000 | 59,723,296 JPY | $6,003 |
8/2/2021 | Citibank | 20,000,000 MXN | 108,082,960 JPY | $12,478 |
8/2/2021 | Credit Agricole | 15,500,000 MXN | 82,900,805 JPY | $17,536 |
12/16/2021 | BNP Paribas | 2,500,000 CNY | $379,605 | $7,834 |
Contracts Sold: | ||||
6/11/2021 | Barclays | 51,631 EUR | $62,141 | $(835) |
6/11/2021 | BNY Mellon | 6,507,051 JPY | $59,546 | $297 |
6/11/2021 | Citibank | 55,309 CHF | $59,739 | $(1,767) |
6/11/2021 | HSBC | 1,248,201 MXN | $62,120 | $(468) |
6/11/2021 | Morgan Stanley | 318,315 BRL | $57,252 | $(3,760) |
6/11/2021 | Morgan Stanley | 264,223,325 COP | $72,172 | $966 |
6/11/2021 | Morgan Stanley | 215,856,476 COP | $55,878 | $(2,294) |
6/11/2021 | State Street | 1,250,000 MXN | $61,820 | $(857) |
6/15/2021 | Bank of America | $300,000 | 362,706 CAD | $235 |
7/27/2021 | Bank of America | 560,000 CAD | 50,173,424 JPY | $(6,510) |
7/27/2021 | Bank of America | 3,700,000 EUR | $4,466,241 | $(50,807) |
7/27/2021 | BNP Paribas | 2,000,000 CAD | 179,003,560 JPY | $(24,955) |
7/27/2021 | BNP Paribas | $7,935,000 | 856,878,749 JPY | $(130,016) |
7/27/2021 | Citibank | 800,000 AUD | 851,211 NZD | $(359) |
7/27/2021 | Citibank | 750,000 EUR | 98,985,503 JPY | $(13,997) |
7/27/2021 | Citibank | $1,100,000 | 119,918,546 JPY | $(7,707) |
7/27/2021 | Citibank | $1,200,000 | 4,529,566 PLN | $32,380 |
7/27/2021 | Citibank | $880,000 | 3,348,399 PLN | $31,014 |
7/27/2021 | Credit Agricole | 2,100,000 BRL | $382,495 | $(18,239) |
7/27/2021 | Credit Agricole | 350,000 GBP | $486,260 | $(10,468) |
7/27/2021 | Credit Agricole | $700,000 | 14,060,192 MXN | $1,382 |
7/27/2021 | Goldman Sachs | 39,000,000 RUB | $520,187 | $(8,172) |
7/27/2021 | JPMorgan | 280,000,000 CLP | $394,850 | $8,561 |
7/27/2021 | JPMorgan | 250,000 EUR | 368,854 CAD | $100 |
7/27/2021 | JPMorgan | 1,400,000 EUR | $1,709,409 | $255 |
Settlement Date | Counterparty | Currency Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) |
7/27/2021 | JPMorgan | 600,000 GBP | $848,586 | $(2,948) |
7/27/2021 | JPMorgan | $500,000 | 624,401 CAD | $16,826 |
7/27/2021 | JPMorgan | $220,000 | 837,751 PLN | $7,931 |
7/27/2021 | Morgan Stanley | 560,000 CAD | 49,583,565 JPY | $(11,883) |
7/27/2021 | State Street | 480,000 CAD | 42,443,021 JPY | $(10,706) |
7/27/2021 | State Street | 400,000 CAD | 34,822,912 JPY | $(13,897) |
7/27/2021 | State Street | 700,000 CAD | 2,168,634 PLN | $10,629 |
7/27/2021 | State Street | 2,300,000 EUR | $2,811,486 | $3,591 |
7/27/2021 | State Street | 300,000 GBP | 522,154 CAD | $6,428 |
7/27/2021 | State Street | 300,000 GBP | $424,461 | $(1,306) |
7/27/2021 | State Street | $700,000 | 14,105,184 MXN | $3,626 |
8/2/2021 | BNP Paribas | 20,000,000 MXN | 108,355,006 JPY | $(10,000) |
8/2/2021 | Citibank | 15,500,000 MXN | 84,461,763 JPY | $(3,317) |
8/2/2021 | HSBC | 15,500,000 MXN | 82,928,271 JPY | $(17,286) |
8/2/2021 | Goldman Sachs | 15,500,000 MXN | 84,344,513 JPY | $(4,385) |
NET UNREALIZED APPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $45,689 |
Emerging Markets Core Fund | |
Value as of 11/30/2020 | $34,874,345 |
Purchases at Cost | 27,411,780 |
Proceeds from Sales | (26,000,000) |
Change in Unrealized Appreciation/Depreciation | $(761,733) |
Net Realized Gain/(Loss) | $709,879 |
Value as of 5/31/2021 | $36,234,271 |
Shares Held as of 5/31/2021 | 3,524,735 |
Dividend Income | $1,569,635 |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Bonds | $— | $20,423,425 | $— | $20,423,425 |
Repurchase Agreement | — | 1,351,000 | — | 1,351,000 |
Purchased Call Option | — | 69,494 | — | 69,494 |
Purchased Put Option | — | 2,657 | — | 2,657 |
Investment Company | 36,234,271 | — | — | 36,234,271 |
TOTAL SECURITIES | $36,234,271 | $21,846,576 | $— | $58,080,847 |
Other Financial Instruments: | ||||
Assets | ||||
Foreign Exchange Contracts | $— | $535,736 | $— | $535,736 |
Liabilities | ||||
Futures Contracts | (1,184) | — | — | (1,184) |
Written Call Options | (5,740) | — | — | (5,740) |
Written Put Options | (940) | — | — | (940) |
Foreign Exchange Contracts | — | (490,047) | — | (490,047) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(7,864) | $45,689 | $— | $37,825 |
AUD | —Australian Dollar |
BRL | —Brazilian Real |
CAD | —Canadian Dollar |
CHF | —Swiss Franc |
CLP | —Chilean Peso |
CNY | —Chinese Yuan Renminbi |
COP | —Colombian Peso |
EUR | —Euro |
GBP | —Great British Pound |
IDR | —Indonesian Rupiah |
INR | —Indian Rupee |
JPY | —Japanese Yen |
MXN | —Mexican Peso |
NZD | —New Zealand Dollar |
PLN | —Polish Zloty |
RUB | —Russian Ruble |
USD | —United States Dollar |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $15.59 | $14.75 | $14.01 | $15.08 | $14.48 | $13.77 |
Income From Investment Operations: | ||||||
Net investment income1 | 0.34 | 0.51 | 0.53 | 0.54 | 0.47 | 0.51 |
Net realized and unrealized gain (loss) | (0.07) | 0.83 | 0.81 | (1.20) | 0.77 | 0.20 |
TOTAL FROM INVESTMENT OPERATIONS | 0.27 | 1.34 | 1.34 | (0.66) | 1.24 | 0.71 |
Less Distributions: | ||||||
Distributions from net investment income | (0.33) | (0.50) | (0.60) | (0.41) | (0.64) | — |
Distributions from net realized gain | — | — | — | — | — | — |
TOTAL DISTRIBUTIONS | (0.33) | (0.50) | (0.60) | (0.41) | (0.64) | — |
Net Asset Value, End of Period | $15.53 | $15.59 | $14.75 | $14.01 | $15.08 | $14.48 |
Total Return2 | 1.69% | 9.34% | 9.92% | (4.50)% | 8.95% | 5.16% |
Ratios to Average Net Assets: | ||||||
Net expenses3,4 | 0.00%5 | 0.00% | 0.00% | 0.00% | 0.00% | 0.02% |
Net investment income | 4.38%5 | 3.49% | 3.66% | 3.76% | 3.24% | 3.50% |
Expense waiver/reimbursement6 | 0.44%5 | 0.93% | 1.24% | 1.55% | 1.65% | 1.80% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $58,207 | $52,037 | $23,369 | $18,179 | $14,229 | $12,911 |
Portfolio turnover | 49% | 69% | 52% | 20% | 55% | 33% |
Assets: | ||
Investment in securities, at value including $36,234,271 of investment in an affiliated holding* (identified cost $57,643,035) | $58,080,847 | |
Cash denominated in foreign currencies (identified cost $9,665) | 9,679 | |
Due from broker | 7,625 | |
Cash | 514 | |
Unrealized appreciation on foreign exchange contracts | 535,736 | |
Income receivable | 156,726 | |
Receivable for shares sold | 1,429 | |
TOTAL ASSETS | 58,792,556 | |
Liabilities: | ||
Unrealized depreciation on foreign exchange contracts | $490,047 | |
Payable for shares redeemed | 13,925 | |
Written options outstanding, at value (premiums received $6,476) | 6,680 | |
Payable for portfolio accounting fees | 49,563 | |
Payable to adviser (Note 5) | 1,914 | |
Payable for variation margin on futures contracts | 781 | |
Payable for administrative fee (Note 5) | 335 | |
Accrued expenses (Note 5) | 22,094 | |
TOTAL LIABILITIES | 585,339 | |
Net assets for 3,748,319 shares outstanding | $58,207,217 | |
Net Assets Consists of: | ||
Paid-in capital | $56,190,165 | |
Total distributable earnings (loss) | 2,017,052 | |
TOTAL NET ASSETS | $58,207,217 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$58,207,217 ÷ 3,748,319 shares outstanding, no par value, unlimited shares authorized | $15.53 |
Investment Income: | |||
Dividends received from an affiliated holding* | $1,569,635 | ||
Interest | 76,509 | ||
TOTAL INCOME | 1,646,144 | ||
Expenses: | |||
Administrative fee (Note 5) | $29,601 | ||
Custodian fees | 7,111 | ||
Transfer agent fees | 3,205 | ||
Directors'/Trustees' fees (Note 5) | 852 | ||
Auditing fees | 15,208 | ||
Commitment fees | 6,751 | ||
Legal fees | 5,211 | ||
Portfolio accounting fees | 69,046 | ||
Share registration costs | 16,006 | ||
Printing and postage | 9,550 | ||
Miscellaneous (Note 5) | 3,657 | ||
TOTAL EXPENSES | 166,198 | ||
Reimbursement of other operating expenses (Note 5) | $(166,198) | ||
Net expenses | — | ||
Net investment income | 1,646,144 | ||
Realized and Unrealized Gain (Loss) on Investments, Foreign Exchange Contracts, Futures Contracts, Written Options, Swap Contracts and Foreign Currency Transactions: | |||
Net realized gain on investments (including realized gain of $709,879 on sales of investments in an affiliated holding*) and foreign currency transactions | 836,885 | ||
Net realized loss on foreign exchange contracts | (311,547) | ||
Net realized gain on futures contracts | 5,640 | ||
Net realized gain on written options | 45,810 | ||
Net realized loss on swap contracts | (10,399) | ||
Net change in unrealized appreciation of investments and translation of assets and liabilities in foreign currency (including net change in unrealized appreciation of $(761,733) of investments in an affiliated holding*) | (1,233,847) | ||
Net change in unrealized appreciation of foreign exchange contracts | (8,059) | ||
Net change in unrealized appreciation of futures contracts | (2,187) | ||
Net change in unrealized depreciation of written options | (12,058) | ||
Net realized and unrealized gain (loss) on investments, foreign exchange contracts, futures contracts, written options, swap contracts and foreign currency transactions | (689,762) | ||
Change in net assets resulting from operations | $956,382 |
Six Months Ended (unaudited) 5/31/2021 | Year Ended 11/30/2020 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $1,646,144 | $1,053,653 |
Net realized gain | 566,389 | 491,893 |
Net change in unrealized appreciation/depreciation | (1,256,151) | 1,789,745 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 956,382 | 3,335,291 |
Distributions to Shareholders: | ||
Distribution to shareholders | (1,580,581) | (793,186) |
Share Transactions: | ||
Proceeds from sale of shares | 37,825,246 | 29,756,977 |
Net asset value of shares issued to shareholders in payment of distributions declared | 48,888 | 26,941 |
Cost of shares redeemed | (31,079,592) | (3,657,928) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 6,794,542 | 26,125,990 |
Change in net assets | 6,170,343 | 28,668,095 |
Net Assets: | ||
Beginning of period | 52,036,874 | 23,368,779 |
End of period | $58,207,217 | $52,036,874 |
Fair Value of Derivative Instruments | ||||
Asset | Liability | |||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||||
Foreign exchange contracts | Unrealized appreciation on foreign exchange contracts | $535,736 | Unrealized depreciation on foreign exchange contracts | $490,047 |
Foreign exchange contracts | Purchased options, Investments in securities, at value | $72,151 | ||
Foreign exchange contracts | Written options outstanding, at value | $6,680 | ||
Interest rate contracts | Payable for variation margin on futures contracts | $1,184* | ||
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $607,887 | $497,911 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
Purchased Options1 | Credit Default Swap Contracts | Written Options | Foreign Exchange Contracts | Futures Contracts | Total | |
Foreign exchange contracts | $(122,359) | $— | $45,810 | $(311,547) | $— | $(388,096) |
Credit contracts | — | (10,399) | — | — | — | (10,399) |
Interest rate contracts | — | — | — | — | 5,640 | 5,640 |
TOTAL | $(122,359) | $(10,399) | $45,810 | $(311,547) | $5,640 | $(392,855) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||
Purchased Options2 | Written Option Contracts | Foreign Exchange Contracts | Futures Contracts | Total | |
Foreign exchange contracts | $27,109 | $(12,058) | $(8,059) | $— | $6,992 |
Interest rate contracts | — | — | — | (2,187) | (2,187) |
TOTAL | $27,109 | $(12,058) | $(8,059) | $(2,187) | $4,805 |
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||
Transaction | Gross Asset Derivatives Presented in Statement of Assets and Liabilities | Financial Instruments | Collateral Received | Net Amount |
Foreign Exchange Contracts | $535,736 | $(227,292) | $— | $308,444 |
TOTAL | $535,736 | $(227,292) | $— | $308,444 |
Transaction | Gross Liability Derivatives Presented in Statement of Assets and Liabilities | Financial Instruments | Collateral Pledged | Net Amount |
Foreign Exchange Contracts | $490,047 | $(227,292) | $— | $262,755 |
TOTAL | $490,047 | $(227,292) | $— | $262,755 |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |
Shares sold | 2,426,371 | 2,006,421 |
Shares issued to shareholders in payment of distributions declared | 3,098 | 1,859 |
Shares redeemed | (2,019,499) | (254,461) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 409,970 | 1,753,819 |
Short-Term | Long-Term | Total |
$107,969 | $— | $107,969 |
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 | $40,117,011 |
Sales | $33,163,645 |
Beginning Account Value 12/1/2020 | Ending Account Value 5/31/2021 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,016.90 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,024.93 | $0.00 |
Annual Evaluation of Adequacy and Effectiveness
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Exhibits |
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant Federated Hermes Managed Pool Series
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date July 23, 2021
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
Date July 23, 2021
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date July 23, 2021