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, 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: 12/31/21
Date of Reporting Period: 12/31/21
Item 1. | Reports to Stockholders |
Ticker FCSPX |
Federated Hermes Corporate Bond Strategy Portfolio
A Portfolio of Federated Hermes Managed Pool Series
1 Year | 5 Years | 10 Years | |
Fund | -0.41% | 6.39% | 5.61% |
BUSC | -1.08% | 5.05% | 4.45% |
BUSC-Baa | -0.40% | 5.77% | 5.08% |
Security Type | Percentage of Total Net Assets |
Corporate Bonds | 93.4% |
Foreign Government/Agency | 2.9% |
Cash Equivalents2 | 3.0% |
Securities Lending Collateral3 | 1.3% |
Derivative Contracts4,5 | 0.0% |
Other Assets and Liabilities—Net6 | (0.6)% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of these security types. |
2 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
3 | 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. |
4 | 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. |
5 | Represents less than 0.1%. |
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—93.4% | |||
Basic Industry - Chemicals—0.4% | |||
$ 90,000 | Albemarle Corp., 4.150%, 12/1/2024 | $ 96,451 | |
90,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | 117,504 | |
200,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | 226,858 | |
300,000 | RPM International, Inc., Sr. Unsecd. Note, 5.250%, 6/1/2045 | 386,914 | |
TOTAL | 827,727 | ||
Basic Industry - Metals & Mining—1.7% | |||
600,000 | 1 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031 | 597,806 |
400,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 3.625%, 9/11/2024 | 420,148 | |
235,000 | AngloGold Ashanti Holdings PLC, Sr. Note, 6.500%, 4/15/2040 | 286,477 | |
40,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 41,004 | |
400,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 392,832 | |
350,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 2.625%, 9/23/2031 | 340,487 | |
200,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 193,077 | |
225,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 232,961 | |
250,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | 350,249 | |
170,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.300%, 8/1/2032 | 188,613 | |
105,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.550%, 4/15/2026 | 115,180 | |
TOTAL | 3,158,834 | ||
Basic Industry - Paper—0.1% | |||
100,000 | Weyerhaeuser Co., Sr. Unsecd. Note, 7.375%, 3/15/2032 | 140,859 | |
Capital Goods - Aerospace & Defense—4.4% | |||
230,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 246,745 | |
500,000 | BAE Systems PLC, Sr. Unsecd. Note, 144A, 3.000%, 9/15/2050 | 488,120 | |
360,000 | Boeing Co., Sr. Unsecd. Note, 2.196%, 2/4/2026 | 360,207 | |
300,000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | 305,252 | |
995,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 1,014,839 | |
425,000 | Boeing Co., Sr. Unsecd. Note, 3.250%, 2/1/2035 | 428,951 | |
745,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 776,232 | |
500,000 | Boeing Co., Sr. Unsecd. Note, 4.508%, 5/1/2023 | 522,381 | |
175,000 | Boeing Co., Sr. Unsecd. Note, 5.705%, 5/1/2040 | 225,096 | |
360,000 | Embraer Netherlands BV, Sr. Unsecd. Note, 5.050%, 6/15/2025 | 372,571 | |
100,000 | Embraer SA, Sr. Unsecd. Note, 5.150%, 6/15/2022 | 101,455 | |
170,000 | Hexcel Corp., Sr. Unsecd. Note, 4.200%, 2/15/2027 | 182,661 | |
740,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 784,372 | |
125,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | 133,191 | |
350,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 390,444 | |
600,000 | Raytheon Technologies Corp., Sr. Unsecd. Note, 4.125%, 11/16/2028 | 671,724 | |
350,000 | Raytheon Technologies Corp., Sr. Unsecd. Note, 4.150%, 5/15/2045 | 408,909 | |
136,000 | 2 | Textron Financial Corp., Jr. Sub. Note, 144A, 1.891% (3-month USLIBOR +1.735%), 2/15/2042 | 116,960 |
370,000 | Textron, Inc., Sr. Unsecd. Note, 2.450%, 3/15/2031 | 364,105 | |
50,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 52,796 | |
TOTAL | 7,947,011 | ||
Capital Goods - Building Materials—1.1% | |||
100,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 106,390 | |
125,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 130,077 | |
620,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 657,915 | |
235,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.700%, 2/15/2031 | 238,973 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Capital Goods - Building Materials—continued | |||
$ 115,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.722%, 2/15/2030 | $ 117,570 | |
500,000 | Carrier Global Corp., Sr. Unsecd. Note, 3.577%, 4/5/2050 | 533,074 | |
170,000 | Masco Corp., Sr. Unsecd. Note, 4.500%, 5/15/2047 | 204,456 | |
TOTAL | 1,988,455 | ||
Capital Goods - Construction Machinery—1.5% | |||
885,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 2.450%, 8/12/2031 | 862,687 | |
450,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.450%, 7/15/2026 | 440,819 | |
480,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 522,949 | |
895,000 | Weir Group PLC/The, Sr. Unsecd. Note, 144A, 2.200%, 5/13/2026 | 883,388 | |
TOTAL | 2,709,843 | ||
Capital Goods - Diversified Manufacturing—1.5% | |||
815,000 | Lennox International, Inc., Sr. Unsecd. Note, 1.700%, 8/1/2027 | 801,493 | |
155,000 | Otis Worldwide Corp., Sr. Unsecd. Note, Series WI, 2.565%, 2/15/2030 | 157,378 | |
300,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 1.400%, 9/15/2027 | 291,348 | |
110,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.950%, 9/15/2029 | 113,891 | |
60,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.850%, 12/15/2025 | 64,758 | |
245,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 4.200%, 9/15/2028 | 275,281 | |
390,000 | Valmont Industries, Inc., 5.250%, 10/1/2054 | 498,808 | |
80,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 99,122 | |
160,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 166,657 | |
285,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 282,805 | |
TOTAL | 2,751,541 | ||
Capital Goods - Packaging—0.4% | |||
180,000 | Packaging Corp., of America, Sr. Unsecd. Note, 3.650%, 9/15/2024 | 190,250 | |
220,000 | Sonoco Products Co., Sr. Unsecd. Note, 5.750%, 11/1/2040 | 296,629 | |
120,000 | WestRock Co., Sr. Unsecd. Note, 4.000%, 3/1/2023 | 123,253 | |
150,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 4.000%, 3/15/2028 | 165,914 | |
TOTAL | 776,046 | ||
Communications - Cable & Satellite—1.8% | |||
440,000 | CCO Safari II LLC, 6.484%, 10/23/2045 | 602,167 | |
600,000 | Charter Communications, Inc., 4.200%, 3/15/2028 | 657,619 | |
380,000 | Charter Communications Operating LLC, 5.375%, 5/1/2047 | 454,590 | |
250,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | 236,463 | |
865,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Term Loan - 1st Lien, 3.900%, 6/1/2052 | 869,073 | |
165,000 | Cox Communications, Inc., Sr. Unsecd. Note, 144A, 3.350%, 9/15/2026 | 175,330 | |
300,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 364,454 | |
TOTAL | 3,359,696 | ||
Communications - Media & Entertainment—3.0% | |||
500,000 | Discovery Communications LLC, Sr. Unsecd. Note, 4.650%, 5/15/2050 | 588,074 | |
135,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 4.709%, 1/25/2029 | 154,228 | |
375,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 5.576%, 1/25/2049 | 513,067 | |
250,000 | Grupo Televisa S.A., 6.625%, 3/18/2025 | 285,266 | |
950,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 5/13/2045 | 1,123,923 | |
300,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 2.400%, 3/1/2031 | 299,514 | |
495,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 3.375%, 3/1/2041 | 510,366 | |
300,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.450%, 4/30/2030 | 300,022 | |
300,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.600%, 8/1/2031 | 304,331 | |
200,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.650%, 11/1/2024 | 212,122 | |
200,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 3.700%, 8/15/2024 | 211,870 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Communications - Media & Entertainment—continued | |||
$ 200,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.900%, 8/15/2044 | $ 243,922 | |
475,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.950%, 1/15/2031 | 566,480 | |
190,000 | ViacomCBS, Inc., Sr. Unsecd. Note, Series WI, 3.700%, 6/1/2028 | 206,248 | |
TOTAL | 5,519,433 | ||
Communications - Telecom Wireless—3.8% | |||
450,000 | American Tower Corp., Sr. Unsecd. Note, 1.450%, 9/15/2026 | 440,791 | |
300,000 | American Tower Corp., Sr. Unsecd. Note, 2.100%, 6/15/2030 | 289,193 | |
300,000 | American Tower Corp., Sr. Unsecd. Note, 3.100%, 6/15/2050 | 292,586 | |
250,000 | American Tower Corp., Sr. Unsecd. Note, 3.800%, 8/15/2029 | 272,245 | |
100,000 | American Tower Corp., Sr. Unsecd. Note, 4.400%, 2/15/2026 | 109,285 | |
200,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 215,312 | |
280,000 | Bell Canada, Sr. Unsecd. Note, 4.464%, 4/1/2048 | 347,283 | |
300,000 | Crown Castle International Corp., Sr. Unsecd. Note, 2.250%, 1/15/2031 | 292,639 | |
400,000 | Crown Castle International Corp., Sr. Unsecd. Note, 4.450%, 2/15/2026 | 438,196 | |
200,000 | Crown Castle International Corp., Sr. Unsecd. Note, 5.200%, 2/15/2049 | 257,239 | |
300,000 | TELUS Corp., Sr. Unsecd. Note, 2.800%, 2/16/2027 | 312,495 | |
500,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 2.700%, 3/15/2032 | 503,644 | |
600,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 3.875%, 4/15/2030 | 656,836 | |
415,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 4.500%, 4/15/2050 | 486,418 | |
550,000 | T-Mobile USA, Inc., Sr. Sub. Note, 3.000%, 2/15/2041 | 537,966 | |
230,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 248,699 | |
350,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.250%, 9/17/2050 | 405,039 | |
580,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | 757,276 | |
TOTAL | 6,863,142 | ||
Communications - Telecom Wirelines—6.7% | |||
400,000 | AT&T, Inc., Sr. Unsecd. Note, 0.900%, 3/25/2024 | 398,392 | |
400,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 398,318 | |
877,000 | AT&T, Inc., Sr. Unsecd. Note, 2.550%, 12/1/2033 | 858,761 | |
350,000 | AT&T, Inc., Sr. Unsecd. Note, 2.750%, 6/1/2031 | 357,468 | |
300,000 | AT&T, Inc., Sr. Unsecd. Note, 3.500%, 6/1/2041 | 308,977 | |
1,000,000 | AT&T, Inc., Sr. Unsecd. Note, 3.650%, 6/1/2051 | 1,037,911 | |
255,000 | AT&T, Inc., Sr. Unsecd. Note, 3.850%, 6/1/2060 | 267,134 | |
500,000 | AT&T, Inc., Sr. Unsecd. Note, 4.300%, 2/15/2030 | 563,324 | |
500,000 | AT&T, Inc., Sr. Unsecd. Note, 4.350%, 3/1/2029 | 562,112 | |
400,000 | AT&T, Inc., Sr. Unsecd. Note, 5.450%, 3/1/2047 | 523,915 | |
245,000 | AT&T, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2041 | 346,935 | |
545,000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | 707,972 | |
400,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 4.895%, 3/6/2048 | 482,285 | |
180,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.213%, 3/8/2047 | 224,015 | |
240,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.520%, 3/1/2049 | 313,172 | |
40,000 | Telefonica SA, Company Guarantee, 7.045%, 6/20/2036 | 57,138 | |
680,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 1.450%, 3/20/2026 | 677,178 | |
400,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 2.550%, 3/21/2031 | 403,979 | |
1,785,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041 | 1,872,125 | |
30,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.000%, 3/22/2050 | 34,539 | |
750,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 3/16/2027 | 834,271 | |
390,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 453,451 | |
500,000 | Verizon Communications, Inc., Sr. Unsecd. Note, Series WI, 1.680%, 10/30/2030 | 475,564 | |
TOTAL | 12,158,936 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Automotive—4.8% | |||
$ 650,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.000%, 12/14/2026 | $ 653,164 | |
175,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | 175,940 | |
250,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.339%, 3/28/2022 | 250,747 | |
250,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.350%, 11/1/2022 | 253,454 | |
200,000 | General Motors Co., Sr. Unsecd. Note, 4.000%, 4/1/2025 | 214,137 | |
455,000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | 564,249 | |
110,000 | General Motors Co., Sr. Unsecd. Note, 6.750%, 4/1/2046 | 157,582 | |
750,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 1.500%, 6/10/2026 | 738,683 | |
750,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028 | 753,656 | |
50,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.700%, 8/20/2027 | 50,898 | |
400,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 3.950%, 4/13/2024 | 421,119 | |
250,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.300%, 7/13/2025 | 269,708 | |
300,000 | General Motors Financial Co., Inc., Unsecd. Note, 3.500%, 11/7/2024 | 315,158 | |
600,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 1.000%, 9/17/2024 | 589,986 | |
235,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | 238,317 | |
380,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 10/15/2027 | 378,281 | |
1,200,000 | Nissan Motor Acceptance Company LLC., Sr. Unsecd. Note, 144A, 1.850%, 9/16/2026 | 1,172,050 | |
400,000 | Stellantis Finance US, Inc., 144A, 1.711%, 1/29/2027 | 393,396 | |
400,000 | Stellantis Finance US, Inc., Sr. Unsecd. Note, 144A, 2.691%, 9/15/2031 | 393,778 | |
470,000 | Stellantis N.V., Sr. Unsecd. Note, 5.250%, 4/15/2023 | 493,570 | |
200,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.250%, 11/13/2023 | 211,292 | |
TOTAL | 8,689,165 | ||
Consumer Cyclical - Retailers—3.6% | |||
150,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, 1.750%, 10/1/2027 | 145,880 | |
675,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 737,268 | |
600,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 650,843 | |
540,000 | AutoNation, Inc., Sr. Unsecd. Note, 2.400%, 8/1/2031 | 521,422 | |
130,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.500%, 10/1/2025 | 141,541 | |
215,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 245,857 | |
55,000 | AutoZone, Inc., Sr. Unsecd. Note, 3.125%, 4/21/2026 | 58,146 | |
345,000 | AutoZone, Inc., Sr. Unsecd. Note, 4.000%, 4/15/2030 | 386,422 | |
400,000 | CVS Health Corp., Sr. Unsecd. Note, 2.875%, 6/1/2026 | 418,185 | |
50,000 | CVS Health Corp., Sr. Unsecd. Note, 3.875%, 7/20/2025 | 53,778 | |
880,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 1,152,573 | |
520,000 | CVS Health Corp., Sr. Unsecd. Note, 5.125%, 7/20/2045 | 677,521 | |
300,000 | Dollar General Corp., Sr. Unsecd. Note, 4.125%, 5/1/2028 | 333,714 | |
310,000 | Dollar General Corp., Sr. Unsecd. Note, 4.150%, 11/1/2025 | 337,129 | |
610,000 | 1 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 1.750%, 3/15/2031 | 577,893 |
160,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2030 | 180,381 | |
TOTAL | 6,618,553 | ||
Consumer Cyclical - Services—0.8% | |||
200,000 | 1 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 2.125%, 2/9/2031 | 193,290 |
235,000 | Booking Holdings, Inc., Sr. Unsecd. Note, 4.625%, 4/13/2030 | 274,872 | |
350,000 | Expedia Group, Inc., Sr. Unsecd. Note, 3.800%, 2/15/2028 | 374,511 | |
250,000 | Expedia Group, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/1/2025 | 282,247 | |
350,000 | Expedia Group, Inc., Sr. Unsecd. Note, Series WI, 2.950%, 3/15/2031 | 349,865 | |
TOTAL | 1,474,785 | ||
Consumer Non-Cyclical - Food/Beverage—7.1% | |||
500,000 | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 3.650%, 2/1/2026 | 537,283 | |
1,000,000 | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 1,266,846 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Food/Beverage—continued | |||
$ 100,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 2/1/2046 | $ 125,841 | |
300,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.350%, 6/1/2040 | 353,308 | |
500,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.439%, 10/6/2048 | 599,116 | |
350,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2050 | 432,377 | |
500,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029 | 582,493 | |
125,000 | Bacardi Ltd., Sr. Unsecd. Note, 144A, 2.750%, 7/15/2026 | 128,660 | |
650,000 | Coca-Cola European Partners PLC, Sr. Unsecd. Note, 144A, 1.500%, 1/15/2027 | 637,431 | |
710,000 | Conagra Brands, Inc., Sr. Unsecd. Note, 1.375%, 11/1/2027 | 678,643 | |
250,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 5.250%, 11/15/2048 | 328,462 | |
135,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 133,248 | |
210,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 225,572 | |
445,000 | General Mills, Inc., Sr. Unsecd. Note, 3.000%, 2/1/2051 | 447,342 | |
200,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | 211,034 | |
100,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 4.500%, 1/25/2022 | 100,211 | |
150,000 | Heineken NV, Sr. Unsecd. Note, 144A, 4.350%, 3/29/2047 | 186,966 | |
110,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.832%, 10/15/2027 | 108,068 | |
300,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 2.300%, 11/1/2030 | 294,401 | |
255,000 | JDE Peet’s B.V., Sr. Unsecd. Note, 144A, 0.800%, 9/24/2024 | 250,013 | |
250,000 | Kerry Group Financial Services, Sr. Unsecd. Note, 144A, 3.200%, 4/9/2023 | 255,320 | |
220,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 239,533 | |
250,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 5.085%, 5/25/2048 | 327,016 | |
750,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 880,162 | |
190,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 1.850%, 2/15/2031 | 181,431 | |
250,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 3.400%, 8/15/2027 | 269,109 | |
500,000 | Smithfield Foods, Inc., 144A, 2.625%, 9/13/2031 | 484,309 | |
300,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 299,130 | |
300,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027 | 322,433 | |
350,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 2.375%, 3/15/2030 | 351,114 | |
300,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 3.500%, 3/15/2025 | 319,945 | |
400,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 472,210 | |
200,000 | Tyson Foods, Inc., 3.950%, 8/15/2024 | 212,730 | |
585,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.550%, 6/2/2027 | 630,181 | |
TOTAL | 12,871,938 | ||
Consumer Non-Cyclical - Health Care—2.7% | |||
350,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.600%, 5/27/2030 | 353,610 | |
220,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 3.000%, 9/23/2029 | 229,913 | |
55,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 58,498 | |
300,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.669%, 6/6/2047 | 379,209 | |
204,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 257,464 | |
295,000 | Danaher Corp., Sr. Unsecd. Note, 2.600%, 10/1/2050 | 282,072 | |
125,000 | Dentsply Sirona, Inc., Sr. Unsecd. Note, 3.250%, 6/1/2030 | 132,171 | |
1,500,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 1,532,801 | |
335,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 0.850%, 9/15/2024 | 330,434 | |
255,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 1.900%, 9/15/2028 | 249,287 | |
550,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 582,720 | |
500,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 1.215%, 10/18/2024 | 499,717 | |
TOTAL | 4,887,896 | ||
Consumer Non-Cyclical - Pharmaceuticals—3.2% | |||
955,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | 1,022,136 | |
750,000 | Amgen, Inc., Sr. Unsecd. Note, 2.450%, 2/21/2030 | 764,158 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Pharmaceuticals—continued | |||
$ 185,000 | 1 | Astrazeneca Finance LLC, Sr. Unsecd. Note, 2.250%, 5/28/2031 | $ 186,497 |
300,000 | AstraZeneca PLC, Sr. Unsecd. Note, 2.375%, 6/12/2022 | 301,917 | |
500,000 | AstraZeneca PLC, Sr. Unsecd. Note, 4.000%, 1/17/2029 | 565,165 | |
300,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.625%, 6/25/2038 | 350,938 | |
300,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.875%, 6/25/2048 | 369,596 | |
600,000 | Biogen, Inc., Sr. Unsecd. Note, 3.150%, 5/1/2050 | 578,327 | |
790,000 | Royalty Pharma PLC, Sr. Unsecd. Note, 1.750%, 9/2/2027 | 776,694 | |
375,000 | Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 2.050%, 3/31/2030 | 367,643 | |
500,000 | Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 3.025%, 7/9/2040 | 509,874 | |
TOTAL | 5,792,945 | ||
Consumer Non-Cyclical - Supermarkets—0.4% | |||
300,000 | Kroger Co., Bond, 6.900%, 4/15/2038 | 439,579 | |
250,000 | Kroger Co., Sr. Unsecd. Note, 3.950%, 1/15/2050 | 288,250 | |
TOTAL | 727,829 | ||
Consumer Non-Cyclical - Tobacco—1.8% | |||
650,000 | Altria Group, Inc., Sr. Unsecd. Note, 3.875%, 9/16/2046 | 630,194 | |
200,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.800%, 2/14/2029 | 225,780 | |
500,000 | Altria Group, Inc., Sr. Unsecd. Note, 5.950%, 2/14/2049 | 625,287 | |
325,000 | Bat Capital Corp., Sr. Unsecd. Note, 2.259%, 3/25/2028 | 316,971 | |
500,000 | Bat Capital Corp., Sr. Unsecd. Note, Series WI, 3.557%, 8/15/2027 | 524,792 | |
200,000 | Bat Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047 | 209,650 | |
300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 5.850%, 8/15/2045 | 365,303 | |
300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 397,431 | |
TOTAL | 3,295,408 | ||
Energy - Independent—1.7% | |||
250,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.050%, 7/15/2025 | 252,609 | |
590,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 3.800%, 4/15/2024 | 619,130 | |
390,000 | Coterra Energy, Inc., Sr. Unsecd. Note, 144A, 3.900%, 5/15/2027 | 419,387 | |
175,000 | Coterra Energy, Inc., Sr. Unsecd. Note, 144A, 4.375%, 3/15/2029 | 195,699 | |
685,000 | Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041 | 847,368 | |
200,000 | Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027 | 219,230 | |
500,000 | Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2031 | 482,932 | |
TOTAL | 3,036,355 | ||
Energy - Integrated—1.4% | |||
605,000 | 1 | Cenovus Energy, Inc., Sr. Unsecd. Note, 3.750%, 2/15/2052 | 607,874 |
300,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027 | 327,226 | |
240,000 | Husky Energy, Inc., Sr. Unsecd. Note, 4.400%, 4/15/2029 | 265,783 | |
100,000 | Petro-Canada, Bond, 5.350%, 7/15/2033 | 121,387 | |
130,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 6.500%, 3/13/2027 | 138,854 | |
470,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 2.800%, 5/15/2023 | 480,985 | |
500,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 3.750%, 3/4/2051 | 537,912 | |
TOTAL | 2,480,021 | ||
Energy - Midstream—5.4% | |||
130,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.400%, 2/15/2031 | 134,457 | |
400,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 448,587 | |
100,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2025 | 107,883 | |
100,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 5.800%, 6/1/2045 | 132,559 | |
50,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series B, 144A, 3.000%, 11/15/2029 | 51,665 | |
65,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series C, 144A, 3.900%, 11/15/2049 | 72,465 | |
725,000 | Energy Transfer Operating, Sr. Unsecd. Note, 5.000%, 5/15/2050 | 836,285 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Energy - Midstream—continued | |||
$ 600,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | $ 635,154 | |
250,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 5.300%, 4/15/2047 | 290,377 | |
250,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 6.125%, 12/15/2045 | 311,655 | |
550,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.700%, 1/31/2051 | 578,638 | |
200,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.250%, 2/15/2048 | 226,934 | |
500,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.850%, 3/15/2044 | 603,307 | |
400,000 | Kinder Morgan Energy Partners LP, 4.250%, 9/1/2024 | 426,708 | |
495,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 657,585 | |
300,000 | Kinder Morgan, Inc., 5.050%, 2/15/2046 | 360,428 | |
300,000 | Kinder Morgan, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2028 | 333,628 | |
350,000 | MPLX LP, Sr. Unsecd. Note, 2.650%, 8/15/2030 | 348,809 | |
395,000 | MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027 | 432,468 | |
200,000 | MPLX LP, Sr. Unsecd. Note, 4.900%, 4/15/2058 | 230,892 | |
80,000 | MPLX LP, Sr. Unsecd. Note, Series WI, 4.250%, 12/1/2027 | 88,679 | |
400,000 | ONEOK, Inc., Sr. Unsecd. Note, 3.100%, 3/15/2030 | 407,852 | |
500,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 579,899 | |
290,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 318,180 | |
200,000 | Texas Eastern Transmission LP, Sr. Unsecd. Note, 144A, 2.800%, 10/15/2022 | 202,198 | |
290,000 | Williams Partners LP, Sr. Unsecd. Note, 3.900%, 1/15/2025 | 308,391 | |
650,000 | Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045 | 780,637 | |
TOTAL | 9,906,320 | ||
Energy - Refining—1.5% | |||
200,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 3.625%, 9/15/2024 | 210,407 | |
225,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044 | 265,406 | |
150,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 6.500%, 3/1/2041 | 206,628 | |
245,000 | Phillips 66, Sr. Unsecd. Note, 1.300%, 2/15/2026 | 239,929 | |
565,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 713,893 | |
400,000 | Valero Energy Corp., Sr. Unsecd. Note, 2.800%, 12/1/2031 | 399,194 | |
140,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 4/1/2029 | 152,488 | |
400,000 | 1 | Valero Energy Corp., Sr. Unsecd. Note, 4.900%, 3/15/2045 | 473,453 |
TOTAL | 2,661,398 | ||
Financial Institution - Banking—5.8% | |||
410,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 434,707 | |
400,000 | Bank of America Corp., Sr. Unsecd. Note, 2.299%, 7/21/2032 | 393,711 | |
200,000 | Bank of America Corp., Sub. Note, Series L, 3.950%, 4/21/2025 | 213,948 | |
575,000 | Bank of America Corp., Sub. Note, Series L, 4.183%, 11/25/2027 | 629,554 | |
800,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 855,015 | |
500,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.750%, 3/9/2027 | 541,629 | |
255,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 268,470 | |
480,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 527,239 | |
250,000 | Citigroup, Inc., 5.500%, 9/13/2025 | 282,984 | |
750,000 | Citigroup, Inc., Sub. Note, 3.875%, 3/26/2025 | 801,053 | |
450,000 | Citigroup, Inc., Sub. Note, 4.450%, 9/29/2027 | 502,137 | |
580,000 | Citizens Financial Group, Inc., Sub. Note, 2.638%, 9/30/2032 | 573,865 | |
200,000 | Comerica, Inc., 3.800%, 7/22/2026 | 216,212 | |
200,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 214,901 | |
120,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.650%, 1/25/2024 | 125,772 | |
200,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 220,899 | |
245,000 | FNB Corp., (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 247,136 | |
500,000 | Goldman Sachs Group, Inc., 5.950%, 1/15/2027 | 589,820 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$ 400,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, Series DMTN, 2.383%, 7/21/2032 | $ 394,169 | |
900,000 | Goldman Sachs Group, Inc., Sub. Note, 4.250%, 10/21/2025 | 982,414 | |
400,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.239%, 7/21/2032 | 391,656 | |
450,000 | Morgan Stanley, Sub. Note, 5.000%, 11/24/2025 | 504,222 | |
175,000 | Morgan Stanley, Sub. Note, Series MTN, 4.100%, 5/22/2023 | 182,333 | |
250,000 | Synovus Bank GA, Sr. Unsecd. Note, 2.289%, 2/10/2023 | 250,202 | |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 212,889 | |
TOTAL | 10,556,937 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.7% | |||
575,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 569,513 | |
200,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 232,159 | |
300,000 | Stifel Financial Corp., 4.250%, 7/18/2024 | 319,656 | |
200,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.000%, 5/15/2030 | 219,567 | |
TOTAL | 1,340,895 | ||
Financial Institution - Finance Companies—2.1% | |||
500,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 2.450%, 10/29/2026 | 504,389 | |
525,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.000%, 10/29/2028 | 532,832 | |
1,300,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.400%, 10/29/2033 | 1,325,170 | |
500,000 | Discover Bank, Sr. Unsecd. Note, Series BKNT, 4.650%, 9/13/2028 | 567,828 | |
811,000 | GE Capital International Funding, Inc., Sr. Unsecd. Note, 4.418%, 11/15/2035 | 969,147 | |
TOTAL | 3,899,366 | ||
Financial Institution - Insurance - Health—0.6% | |||
271,000 | CIGNA Corp., Sr. Unsecd. Note, 3.750%, 7/15/2023 | 281,914 | |
500,000 | CIGNA Corp., Sr. Unsecd. Note, 4.125%, 11/15/2025 | 547,211 | |
250,000 | CIGNA Corp., Sr. Unsecd. Note, 4.900%, 12/15/2048 | 323,836 | |
TOTAL | 1,152,961 | ||
Financial Institution - Insurance - Life—1.1% | |||
300,000 | American International Group, Inc., 4.500%, 7/16/2044 | 370,337 | |
255,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 270,904 | |
400,000 | American International Group, Inc., Sr. Unsecd. Note, 4.375%, 1/15/2055 | 492,042 | |
75,000 | AXA-UAP, Sub. Note, 8.600%, 12/15/2030 | 108,330 | |
110,000 | Lincoln National Corp., Sr. Note, 7.000%, 6/15/2040 | 168,058 | |
400,000 | Lincoln National Corp., Sr. Unsecd. Note, 3.050%, 1/15/2030 | 416,400 | |
100,000 | MetLife, Inc., Jr. Sub. Note, 10.750%, 8/1/2039 | 169,494 | |
50,000 | Penn Mutual Life Insurance Co., Sr. Note, 144A, 7.625%, 6/15/2040 | 73,603 | |
TOTAL | 2,069,168 | ||
Financial Institution - Insurance - P&C—0.7% | |||
500,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029 | 553,927 | |
120,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 6.625%, 4/15/2042 | 173,323 | |
13,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 6/15/2023 | 13,586 | |
412,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.569%, 2/1/2029 | 473,884 | |
TOTAL | 1,214,720 | ||
Financial Institution - REIT - Apartment—0.6% | |||
160,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | 173,086 | |
150,000 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.750%, 6/15/2024 | 158,031 | |
160,000 | Mid-America Apartment Communities LP, Sr. Unsub. Note, 1.700%, 2/15/2031 | 152,991 | |
50,000 | Post Apartment Homes LP, Sr. Unsecd. Note, 3.375%, 12/1/2022 | 50,816 | |
80,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | 83,109 | |
200,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 214,738 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Apartment—continued | |||
$ 250,000 | UDR, Inc., Sr. Unsecd. Note, Series MTN, 2.100%, 8/1/2032 | $ 238,292 | |
TOTAL | 1,071,063 | ||
Financial Institution - REIT - Healthcare—1.2% | |||
375,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 355,278 | |
245,000 | Healthcare Trust of America, Sr. Unsecd. Note, 3.100%, 2/15/2030 | 253,171 | |
365,000 | Physicians Realty Trust, Sr. Unsecd. Note, 2.625%, 11/1/2031 | 364,959 | |
300,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 328,020 | |
325,000 | Welltower, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2031 | 331,592 | |
500,000 | Welltower, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 559,744 | |
TOTAL | 2,192,764 | ||
Financial Institution - REIT - Office—1.0% | |||
65,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 1.875%, 2/1/2033 | 61,172 | |
90,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 98,488 | |
100,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | 110,498 | |
250,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.900%, 12/15/2030 | 300,636 | |
500,000 | Boston Properties LP, Sr. Unsecd. Note, 2.900%, 3/15/2030 | 509,726 | |
840,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | 823,360 | |
TOTAL | 1,903,880 | ||
Financial Institution - REIT - Other—0.5% | |||
160,000 | ProLogis LP, Sr. Unsecd. Note, 4.375%, 2/1/2029 | 183,236 | |
240,000 | WP Carey, Inc., Sr. Unsecd. Note, 2.400%, 2/1/2031 | 236,130 | |
175,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | ��192,877 | |
300,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 318,673 | |
TOTAL | 930,916 | ||
Financial Institution - REIT - Retail—0.8% | |||
140,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.800%, 10/1/2026 | 145,613 | |
80,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.400%, 11/1/2022 | 81,475 | |
290,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.800%, 4/1/2027 | 314,010 | |
300,000 | Regency Centers LP, Sr. Unsecd. Note, 3.700%, 6/15/2030 | 328,713 | |
170,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 189,920 | |
460,000 | Tanger Properties LP, Sr. Unsecd. Note, 3.125%, 9/1/2026 | 475,968 | |
TOTAL | 1,535,699 | ||
Technology—7.7% | |||
1,070,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 1,174,064 | |
190,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 210,890 | |
300,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 2.600%, 2/15/2033 | 292,899 | |
310,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.137%, 11/15/2035 | 312,181 | |
10,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036 | 9,998 | |
450,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.469%, 4/15/2034 | 471,598 | |
70,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2051 | 73,359 | |
900,000 | CDW LLC/ CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 923,832 | |
250,000 | Dell International LLC / EMC Corp., 4.000%, 7/15/2024 | 265,417 | |
1,000,000 | Dell International LLC / EMC Corp., 5.300%, 10/1/2029 | 1,173,347 | |
500,000 | Equifax, Inc., Sr. Unsecd. Note, 2.350%, 9/15/2031 | 493,786 | |
205,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 212,052 | |
250,000 | Equifax, Inc., Sr. Unsecd. Note, Series 5Y, 3.950%, 6/15/2023 | 259,927 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 222,373 | |
135,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.100%, 3/1/2041 | 136,564 | |
375,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 403,686 | |
285,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023 | 298,033 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$ 450,000 | Keysight Technologies, Inc., 4.550%, 10/30/2024 | $ 486,853 | |
155,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 173,705 | |
765,000 | Micron Technology, Inc., Sr. Unsecd. Note, 3.366%, 11/1/2041 | 786,653 | |
200,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.975%, 2/6/2026 | 222,660 | |
350,000 | Molex Electronics Technologies LLC, Unsecd. Note, 144A, 3.900%, 4/15/2025 | 367,391 | |
850,000 | Oracle Corp., Sr. Unsecd. Note, 1.650%, 3/25/2026 | 844,147 | |
800,000 | Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050 | 784,822 | |
1,000,000 | Oracle Corp., Sr. Unsecd. Note, 3.650%, 3/25/2041 | 1,012,515 | |
85,000 | Skyworks Solutions, Inc., Sr. Unsecd. Note, 1.800%, 6/1/2026 | 84,227 | |
160,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | 178,628 | |
80,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 88,900 | |
220,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 9/12/2022 | 225,035 | |
150,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 167,393 | |
160,000 | VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026 | 157,412 | |
730,000 | 1 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 717,796 |
335,000 | Vontier Corp., Sr. Unsecd. Note, 144A, 1.800%, 4/1/2026 | 330,315 | |
500,000 | Vontier Corp., Sr. Unsecd. Note, 144A, 2.950%, 4/1/2031 | 495,992 | |
TOTAL | 14,058,450 | ||
Technology Services—0.8% | |||
150,000 | Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026 | 145,439 | |
710,000 | Global Payments, Inc., Sr. Unsecd. Note, 1.200%, 3/1/2026 | 689,832 | |
500,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2027 | 502,274 | |
95,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 95,612 | |
TOTAL | 1,433,157 | ||
Transportation - Airlines—0.4% | |||
140,000 | Southwest Airlines Co., Sr. Unsecd. Note, 4.750%, 5/4/2023 | 146,661 | |
100,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.125%, 6/15/2027 | 114,404 | |
495,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | 550,214 | |
TOTAL | 811,279 | ||
Transportation - Railroads—0.8% | |||
100,000 | Canadian Pacific Railway Co., 7.125%, 10/15/2031 | 139,388 | |
225,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 1.750%, 12/2/2026 | 225,935 | |
105,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.050%, 3/5/2030 | 103,610 | |
195,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 3.000%, 12/2/2041 | 199,781 | |
200,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 4.450%, 3/15/2023 | 206,723 | |
305,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2023 | 312,113 | |
200,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 4.700%, 5/1/2048 | 250,155 | |
TOTAL | 1,437,705 | ||
Transportation - Services—2.1% | |||
330,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2042 | 447,544 | |
250,000 | FedEx Corp., Sr. Unsecd. Note, 3.250%, 5/15/2041 | 255,862 | |
550,000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | 619,059 | |
725,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 144A, 1.650%, 7/15/2026 | 708,176 | |
315,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 144A, 2.650%, 7/15/2031 | 311,565 | |
300,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 1.700%, 6/15/2026 | 296,849 | |
400,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.950%, 3/10/2025 | 426,528 | |
260,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 1.750%, 9/1/2026 | 258,397 | |
220,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.900%, 12/1/2026 | 229,247 | |
200,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.400%, 3/1/2023 | 205,270 | |
TOTAL | 3,758,497 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—4.6% | |||
$ 130,000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025 | $ 138,880 | |
500,000 | Ameren Corp., Sr. Unsecd. Note, 1.750%, 3/15/2028 | 483,723 | |
185,000 | Ameren Corp., Sr. Unsecd. Note, 1.950%, 3/15/2027 | 185,653 | |
80,000 | Ameren Corp., Sr. Unsecd. Note, 3.650%, 2/15/2026 | 85,040 | |
95,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series F, 2.950%, 12/15/2022 | 96,535 | |
200,000 | Appalachian Power Co., Sr. Unsecd. Note, 7.000%, 4/1/2038 | 287,988 | |
170,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 168,319 | |
645,000 | CenterPoint Energy, Inc., Sr. Unsecd. Note, 2.650%, 6/1/2031 | 654,444 | |
195,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 201,970 | |
130,000 | Dominion Energy, Inc., Sr. Unsecd. Note, 4.250%, 6/1/2028 | 145,005 | |
120,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series A, 1.450%, 4/15/2026 | 118,724 | |
240,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026 | 248,751 | |
500,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 1.710%, 1/24/2028 | 486,803 | |
300,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 315,008 | |
740,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 873,850 | |
300,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 2.250%, 7/12/2031 | 290,493 | |
100,000 | Exelon Corp., Sr. Unsecd. Note, 3.950%, 6/15/2025 | 106,922 | |
95,000 | Exelon Corp., Sr. Unsecd. Note, 4.700%, 4/15/2050 | 119,572 | |
180,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 206,004 | |
242,000 | Fortis, Inc./Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 252,082 | |
290,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 312,149 | |
200,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.550%, 5/1/2027 | 216,821 | |
300,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.950%, 3/30/2048 | 337,832 | |
100,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 118,051 | |
250,000 | Northeast Utilities, Sr. Unsecd. Note, Series H, 3.150%, 1/15/2025 | 260,717 | |
230,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 226,562 | |
1,175,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 1,204,375 | |
285,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 2.200%, 12/15/2028 | 284,822 | |
TOTAL | 8,427,095 | ||
Utility - Natural Gas—1.0% | |||
300,000 | Enbridge Energy Partners LP, 5.875%, 10/15/2025 | 341,832 | |
80,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | 103,035 | |
300,000 | Enbridge, Inc., Sr. Unsecd. Note, 3.125%, 11/15/2029 | 314,496 | |
195,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 196,161 | |
130,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.950%, 9/15/2027 | 138,143 | |
200,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 223,677 | |
250,000 | Sempra Energy, Sr. Unsecd. Note, 4.000%, 2/1/2048 | 278,828 | |
250,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 299,239 | |
TOTAL | 1,895,411 | ||
Utility - Natural Gas Distributor—0.1% | |||
110,000 | The East Ohio Gas Company, Sr. Unsecd. Note, 144A, 3.000%, 6/15/2050 | 108,739 | |
TOTAL CORPORATE BONDS (IDENTIFIED COST $161,341,243) | 170,442,838 | ||
FOREIGN GOVERNMENTS/AGENCIES—2.9% | |||
Sovereign—2.9% | |||
400,000 | Colombia, Government of, Sr. Unsecd. Note, 3.000%, 1/30/2030 | 365,600 | |
450,000 | Colombia, Government of, Sr. Unsecd. Note, 3.875%, 4/25/2027 | 453,375 | |
855,000 | Colombia, Government of, Sr. Unsecd. Note, 4.500%, 3/15/2029 | 874,246 | |
700,000 | Mexico, Government of, 3.750%, 1/11/2028 | 751,513 | |
200,000 | Mexico, Government of, Series MTN, 4.750%, 3/8/2044 | 217,752 |
Principal Amount or Shares | Value | ||
FOREIGN GOVERNMENTS/AGENCIES—continued | |||
Sovereign—continued | |||
$ 206,000 | Mexico, Government of, Series MTNA, 6.750%, 9/27/2034 | $ 274,754 | |
800,000 | Mexico, Government of, Sr. Unsecd. Note, 3.250%, 4/16/2030 | 819,104 | |
700,000 | Mexico, Government of, Sr. Unsecd. Note, 3.600%, 1/30/2025 | 741,755 | |
300,000 | Mexico, Government of, Sr. Unsecd. Note, 4.500%, 1/31/2050 | 318,000 | |
250,000 | Mexico, Government of, Sr. Unsecd. Note, 4.500%, 4/22/2029 | 278,165 | |
190,000 | Peru, Government of, 6.550%, 3/14/2037 | 258,877 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $5,140,600) | 5,353,141 | ||
REPURCHASE AGREEMENT—3.0% | |||
5,389,000 | Interest in $1,000,000,000 joint repurchase agreement 0.06%, dated 12/31/2021 under which HSBC Securities (USA), Inc. will repurchase securities provided as collateral for $1,000,004,583 on 1/3/2022. 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 1/1/2052 and the market value of those underlying securities was $1,020,000,000 (IDENTIFIED COST $5,389,000) | 5,389,000 | |
INVESTMENT COMPANY—1.3% | |||
2,340,755 | Federated Hermes Government Obligations Fund, Premier Shares, 0.03%3 (IDENTIFIED COST $2,340,755) | 2,340,755 | |
TOTAL INVESTMENT IN SECURITIES—100.6% (IDENTIFIED COST $174,211,598)4 | 183,525,734 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.6)%5 | (1,136,261) | ||
TOTAL NET ASSETS—100% | $182,389,473 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
6United States Treasury Ultra Bond Long Futures | 9 | $1,774,125 | March 2022 | $15,927 |
Short Futures: | ||||
6United States Treasury Notes 10-Year Short Futures | 60 | $7,828,125 | March 2022 | $(57,791) |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(41,864) |
Federated Hermes Government Obligations Fund, Premier Shares* | |
Value as of 12/31/2020 | $700,235 |
Purchases at Cost | $16,471,310 |
Proceeds from Sales | $(14,830,790) |
Change in Unrealized Appreciation/Depreciation | N/A |
Net Realized Gain/(Loss) | N/A |
Value as of 12/31/2021 | $2,340,755 |
Shares Held as of 12/31/2021 | 2,340,755 |
Dividend Income | $273 |
* | 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. |
The following is a summary of the inputs used, as of December 31, 2021, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $170,442,838 | $— | $170,442,838 |
Foreign Governments/Agencies | — | 5,353,141 | — | 5,353,141 |
Investment Company | 2,340,755 | — | — | 2,340,755 |
Repurchase Agreement | — | 5,389,000 | — | 5,389,000 |
TOTAL SECURITIES | $2,340,755 | $181,184,979 | $— | $183,525,734 |
Other Financial Instruments:1 | ||||
Assets | $15,927 | $— | $— | $15,927 |
Liabilities | (57,791) | — | — | (57,791) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(41,864) | $— | $— | $(41,864) |
1 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
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, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $12.38 | $11.48 | $10.26 | $11.10 | $10.71 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.38 | 0.43 | 0.45 | 0.46 | 0.45 |
Net realized and unrealized gain (loss) | (0.44) | 0.91 | 1.22 | (0.77) | 0.39 |
TOTAL FROM INVESTMENT OPERATIONS | (0.06) | 1.34 | 1.67 | (0.31) | 0.84 |
Less Distributions: | |||||
Distributions from net investment income | (0.38) | (0.43) | (0.45) | (0.46) | (0.45) |
Distributions from net realized gain | (0.08) | (0.01) | — | (0.07) | — |
TOTAL DISTRIBUTIONS | (0.46) | (0.44) | (0.45) | (0.53) | (0.45) |
Net Asset Value, End of Period | $11.86 | $12.38 | $11.48 | $10.26 | $11.10 |
Total Return1 | (0.41)% | 11.88% | 16.56% | (2.82)% | 8.01% |
Ratios to Average Net Assets: | |||||
Net expenses2, 3 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 3.19% | 3.64% | 4.11% | 4.30% | 4.14% |
Expense waiver/reimbursement4 | 0.23% | 0.27% | 0.30% | 0.32% | 0.29% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $182,389 | $143,775 | $105,126 | $85,243 | $85,052 |
Portfolio turnover5 | 11% | 13% | 18% | 16% | 22% |
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 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
5 | Securities that mature are considered sales for purposes of this calculation. |
December 31, 2021
Assets: | |
Investment in securities, at value including $2,275,764 of securities loaned and $2,340,755 of investments in an affiliated holding* (identified cost $174,211,598) | $183,525,734 |
Cash | 690 |
Due from broker (Note 2) | 51,975 |
Income receivable | 1,579,326 |
Receivable for shares sold | 123,624 |
Receivable for variation margin on futures contracts | 10,291 |
Total Assets | 185,291,640 |
Liabilities: | |
Payable for shares redeemed | 39,744 |
Payable for collateral due to broker for securities lending (Note 2) | 2,340,755 |
Income distribution payable | 448,920 |
Payable for administrative fee (Note 5) | 391 |
Accrued expenses (Note 5) | 72,357 |
Total Liabilities | 2,902,167 |
Net assets for 15,379,995 shares outstanding | $182,389,473 |
Net Assets Consist of: | |
Paid-in capital | $172,538,367 |
Total distributable earnings (loss) | 9,851,106 |
Total Net Assets | $182,389,473 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$182,389,473 ÷ 15,379,995 shares outstanding, no par value, unlimited shares authorized | $11.86 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31, 2021
Investment Income: | |
Interest | $5,182,344 |
Net income on securities loaned (includes $273 earned from an affiliated holding related to cash collateral balances*) (Note 2) | 5,930 |
TOTAL INCOME | 5,188,274 |
Expenses: | |
Administrative fee (Note 5) | 134,532 |
Custodian fees | 14,599 |
Transfer agent fees | 14,639 |
Directors’/Trustees’ fees (Note 5) | 2,178 |
Auditing fees | 29,800 |
Legal fees | 10,634 |
Portfolio accounting fees | 83,801 |
Share registration costs | 36,193 |
Printing and postage | 19,620 |
Commitment fee (Note 7) | 17,243 |
Miscellaneous (Note 5) | 11,757 |
TOTAL EXPENSES | 374,996 |
Waivers and Reimbursement: | |
Waivers/reimbursement of other operating expenses (Notes 2 and 5) | (374,996) |
Net expenses | — |
Net investment income | 5,188,274 |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net realized gain on investments | 1,660,721 |
Net realized gain on futures contracts | 19,008 |
Net change in unrealized appreciation of investments | (7,293,089) |
Net change in unrealized depreciation of futures contracts | (18,460) |
Net realized and unrealized gain (loss) on investments and futures contracts | (5,631,820) |
Change in net assets resulting from operations | $(443,546) |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2021 | 2020 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $5,188,274 | $4,267,201 |
Net realized gain (loss) | 1,679,729 | 442,271 |
Net change in unrealized appreciation/depreciation | (7,311,549) | 8,485,749 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (443,546) | 13,195,221 |
Distributions to Shareholders | (6,409,622) | (4,325,376) |
Share Transactions: | ||
Proceeds from sale of shares | 69,323,561 | 46,654,426 |
Net asset value of shares issued to shareholders in payment of distributions declared | 234,075 | 130,140 |
Cost of shares redeemed | (24,090,384) | (17,005,180) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 45,467,252 | 29,779,386 |
Change in net assets | 38,614,084 | 38,649,231 |
Net Assets: | ||
Beginning of period | 143,775,389 | 105,126,158 |
End of period | $182,389,473 | $143,775,389 |
Market Value of Securities Loaned | Collateral Received |
$2,275,764 | $2,340,755 |
Fair Value of Derivative Instruments | ||
Assets | ||
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 | $(41,864)* |
* | Includes cumulative appreciation/depreciation 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 | $19,008 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(18,460) |
Year Ended 12/31/2021 | Year Ended 12/31/2020 | |
Shares sold | 5,764,232 | 3,920,733 |
Shares issued to shareholders in payment of distributions declared | 19,554 | 10,989 |
Shares redeemed | (2,013,606) | (1,478,593) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 3,770,180 | 2,453,129 |
2021 | 2020 | |
Ordinary income1 | $5,265,107 | $4,258,863 |
Long-term capital gains | $1,144,515 | $66,513 |
1 | For tax purposes, short-term capital gain distributions are considered ordinary income distributions. |
Undistributed ordinary income2 | $66,295 |
Net unrealized appreciation | $9,314,134 |
Undistributed long-term capital gains | $470,677 |
2 | For tax purposes, short-term capital gains are considered ordinary income in determining distributable earnings. |
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 | $59,861,892 |
Sales | $17,247,245 |
February 22, 2022
Beginning Account Value 7/1/2021 | Ending Account Value 12/31/2021 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,001.80 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,025.21 | $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 Hermes, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
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, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, 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, Chair of the Audit Committee, Equifax, Inc.; Lead Director, Member of the Audit and Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of Governance and Compensation Committees, Publix Super Markets, 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 Emerita 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; 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; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; and Director, Saint Francis University. |
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. 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); Director, The Golisano Children’s Museum of Naples, Florida; and Director, Midway Pacific (lumber). |
Madelyn A. Reilly Birth Date: February 2, 1956 Trustee Indefinite Term Began serving: November 2020 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal Affairs, General Counsel and Secretary to the Board of Directors, Duquesne University. Other Directorships Held: None. Qualifications: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary to the Board of Directors and Assistant General Counsel and Director of Risk Management, Duquesne University. Prior to her work at Duquesne University, Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, Health and Safety, PPG Industries. |
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, CONSOL Energy Inc. (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.). 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, CONSOL Energy Inc. and CNX Gas Company; 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 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 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, Inc. 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 Hermes, Inc. 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, Inc., 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, Inc. 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. |
Annual Evaluation of Adequacy and Effectiveness
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Ticker FHYSX |
Federated Hermes High Yield Strategy Portfolio
A Portfolio of Federated Hermes Managed Pool Series
1 Year | 5 Years | 10 Years | |
Fund | 5.40% | 6.23% | 7.09% |
BHY2%ICI | 5.26% | 6.28% | 6.82% |
Index Classification | Percentage of Total Net Assets2 |
Cable Satellite | 8.5% |
Media Entertainment | 8.4% |
Healthcare | 7.5% |
Midstream | 7.1% |
Technology | 6.6% |
Automotive | 5.9% |
Independent Energy | 5.1% |
Insurance - P&C | 5.1% |
Packaging | 4.6% |
Gaming | 4.1% |
Pharmaceuticals | 3.6% |
Chemicals | 3.2% |
Building Materials | 3.0% |
Food & Beverage | 2.8% |
Consumer Cyclical Services | 2.5% |
Other3 | 19.8% |
Cash Equivalents4 | 0.6% |
Other Assets and Liabilities—Net5 | 1.6% |
TOTAL | 100% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (BHY2%ICI). Individual portfolio securities that are not included in the BHY2%ICI are assigned to an index classification by the Fund’s Adviser. |
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 | 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—99.5% | |||
19,685,706 | 1High Yield Bond Core Fund (IDENTIFIED COST $122,679,517) | $124,807,376 | |
REPURCHASE AGREEMENT—0.9% | |||
$ 1,145,000 | Interest in $1,000,000,000 joint repurchase agreement 0.06%, dated 12/31/2021 under which HSBC Securities (USA), Inc. will repurchase securities provided as collateral for $1,000,004,583 on 1/3/2022. 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 1/1/2052 and the market value of those underlying securities was $1,020,000,000. (IDENTIFIED COST $1,145,000) | 1,145,000 | |
TOTAL INVESTMENT IN SECURITIES—100.4% (IDENTIFIED COST $123,824,517) | 125,952,376 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.4)%2 | (533,420) | ||
TOTAL NET ASSETS—100%3 | $125,418,956 |
High Yield Bond Core Fund | |
Value as of 12/31/2020 | $95,108,561 |
Purchases at Cost | $32,585,522 |
Proceeds from Sales | $(2,600,000) |
Change in Unrealized Appreciation/Depreciation | $(252,020) |
Net Realized Gain/(Loss) | $(34,687) |
Value as of 12/31/2021 | $124,807,376 |
Shares Held as of 12/31/2021 | 19,685,706 |
Dividend Income | $6,035,695 |
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 $124,463,071. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of December 31, 2021, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Investment Company | $124,807,376 | $— | $— | $124,807,376 |
Repurchase Agreement | — | 1,145,000 | — | 1,145,000 |
TOTAL SECURITIES | $124,807,376 | $1,145,000 | $— | $125,952,376 |
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $13.18 | $13.20 | $12.21 | $13.29 | $13.15 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.71 | 0.75 | 0.82 | 0.81 | 0.80 |
Net realized and unrealized gain (loss) | (0.01) | (0.01) | 0.99 | (1.08) | 0.16 |
TOTAL FROM INVESTMENT OPERATIONS | 0.70 | 0.74 | 1.81 | (0.27) | 0.96 |
Less Distributions: | |||||
Distributions from net investment income | (0.72) | (0.76) | (0.82) | (0.81) | (0.80) |
Distributions from net realized gain | — | — | — | — | (0.02) |
TOTAL DISTRIBUTIONS | (0.72) | (0.76) | (0.82) | (0.81) | (0.82) |
Net Asset Value, End of Period | $13.16 | $13.18 | $13.20 | $12.21 | $13.29 |
Total Return1 | 5.40% | 6.04% | 15.10% | (2.19)% | 7.50% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 5.42% | 5.93% | 6.30% | 6.26% | 6.02% |
Expense waiver/reimbursement3 | 0.25% | 0.45% | 0.41% | 0.45% | 0.41% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $125,419 | $95,707 | $44,776 | $42,319 | $41,769 |
Portfolio turnover4 | 2% | 23% | 25% | 20% | 15% |
1 | Based on net asset value. |
2 | The Adviser has contractually agreed to reimburse all expenses of the Fund, excluding extraordinary expenses. Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
4 | Securities that mature are considered sales for purposes of this calculation. |
December 31, 2021
Assets: | |
Investment in securities, at value including $124,807,376 of investments in an affiliated holding* (identified cost $123,824,517) | $125,952,376 |
Cash | 972 |
Income receivable from an affiliated holding | 556,128 |
Receivable for shares sold | 102,678 |
Total Assets | 126,612,154 |
Liabilities: | |
Payable for investments purchased | 555,953 |
Payable for shares redeemed | 33,902 |
Income distribution payable | 545,782 |
Payable to adviser (Note 5) | 1,733 |
Payable for administrative fee (Note 5) | 269 |
Accrued expenses (Note 5) | 55,559 |
Total Liabilities | 1,193,198 |
Net assets for 9,530,490 shares outstanding | $125,418,956 |
Net Assets Consist of: | |
Paid-in capital | $125,140,418 |
Total distributable earnings (loss) | 278,538 |
Total Net Assets | $125,418,956 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$125,418,956 ÷ 9,530,490 shares outstanding, no par value, unlimited shares authorized | $13.16 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31, 2021
Investment Income: | |
Dividends received from an affiliated holding* | $6,035,695 |
Interest | 195 |
TOTAL INCOME | 6,035,890 |
Expenses: | |
Administrative fee (Note 5) | 87,160 |
Custodian fees | 6,173 |
Transfer agent fees | 9,735 |
Directors’/Trustees’ fees (Note 5) | 1,892 |
Auditing fees | 25,500 |
Legal fees | 10,634 |
Portfolio accounting fees | 53,234 |
Share registration costs | 41,493 |
Printing and postage | 19,558 |
Commitment fee | 15,171 |
Miscellaneous (Note 5) | 6,225 |
TOTAL EXPENSES | 276,775 |
Reimbursement: | |
Reimbursement of other operating expenses (Notes 2 and 5) | (276,775) |
Net expenses | — |
Net investment income | 6,035,890 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized loss on investments in an affiliated holding* | (34,687) |
Net change in unrealized appreciation of investments in an affiliated holding* | (252,020) |
Net realized and unrealized gain (loss) on investments | (286,707) |
Change in net assets resulting from operations | $5,749,183 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2021 | 2020 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $6,035,890 | $2,740,275 |
Net realized gain (loss) | (34,687) | (351,885) |
Net change in unrealized appreciation/depreciation | (252,020) | 1,917,058 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 5,749,183 | 4,305,448 |
Distributions to Shareholders | (6,035,472) | (2,740,156) |
Share Transactions: | ||
Proceeds from sale of shares | 42,889,213 | 64,190,210 |
Net asset value of shares issued to shareholders in payment of distributions declared | 212,775 | 84,825 |
Cost of shares redeemed | (13,103,471) | (14,909,302) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 29,998,517 | 49,365,733 |
Change in net assets | 29,712,228 | 50,931,025 |
Net Assets: | ||
Beginning of period | 95,706,728 | 44,775,703 |
End of period | $125,418,956 | $95,706,728 |
Year Ended 12/31/2021 | Year Ended 12/31/2020 | |
Shares sold | 3,246,928 | 5,018,399 |
Shares issued to shareholders in payment of distributions declared | 16,143 | 6,726 |
Shares redeemed | (993,919) | (1,154,626) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 2,269,152 | 3,870,499 |
2021 | 2020 | |
Ordinary income | $6,035,472 | $2,740,156 |
Undistributed ordinary income | $1,469 |
Net unrealized appreciation | $1,489,305 |
Capital loss carryforwards | $(1,212,236) |
Short-Term | Long-Term | Total |
$18 | $1,212,218 | $1,212,236 |
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 | $32,585,522 |
Sales | $2,600,000 |
February 22, 2022
Beginning Account Value 7/1/2021 | Ending Account Value 12/31/2021 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,016.60 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,025.21 | $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. |
1 Year | 5 Years | 10 Years | |
Fund | 5.42% | 6.27% | 7.11% |
BHY2%ICI | 5.26% | 6.28% | 6.82% |
Index Classification | Percentage of Total Net Assets |
Cable Satellite | 8.5% |
Media Entertainment | 8.5% |
Health Care | 7.5% |
Midstream | 7.2% |
Technology | 6.6% |
Automotive | 5.9% |
Independent Energy | 5.1% |
Insurance - P&C | 5.1% |
Packaging | 4.6% |
Gaming | 4.1% |
Pharmaceuticals | 3.6% |
Chemicals | 3.2% |
Building Materials | 3.1% |
Other2 | 25.3% |
Cash Equivalents3 | 0.6% |
Other Assets and Liabilities - Net4 | 1.1% |
Total | 100% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (BHY2%ICI). Individual portfolio securities that are not included in the BHY2%ICI are assigned to an index classification by the Fund’s Adviser. |
2 | For purposes of this table, index classifications which constitute less than 3.0% 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—97.8% | |||
Aerospace/Defense—1.4% | |||
$ 9,400,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.250%, 3/15/2026 | $ 9,782,016 | |
8,325,000 | TransDigm, Inc., Sr. Sub., 6.875%, 5/15/2026 | 8,708,741 | |
650,000 | TransDigm, Inc., Sr. Sub. Note, 6.375%, 6/15/2026 | 668,688 | |
3,100,000 | TransDigm, Inc., Sr. Unsecd. Note, 144A, 4.625%, 1/15/2029 | 3,095,319 | |
10,500,000 | TransDigm, Inc., Sr. Sub., Series WI, 5.500%, 11/15/2027 | 10,833,637 | |
2,900,000 | TransDigm, Inc., Sr. Sub., Series WI, 7.500%, 3/15/2027 | 3,033,400 | |
TOTAL | 36,121,801 | ||
Airlines—0.4% | |||
6,675,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A, 5.500%, 4/20/2026 | 6,951,545 | |
2,850,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A, 5.750%, 4/20/2029 | 3,051,652 | |
TOTAL | 10,003,197 | ||
Automotive—5.9% | |||
10,000,000 | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026 | 10,212,900 | |
2,225,000 | Adient US LLC, 144A, 9.000%, 4/15/2025 | 2,366,555 | |
675,000 | Clarios Global LP, Sec. Fac. Bond, 144A, 6.750%, 5/15/2025 | 707,748 | |
3,250,000 | Dana Financing Lux Sarl, Sr. Unsecd. Note, 144A, 5.750%, 4/15/2025 | 3,330,437 | |
625,000 | Dana, Inc., Sr. Unsecd. Note, 4.250%, 9/1/2030 | 634,516 | |
1,850,000 | Dana, Inc., Sr. Unsecd. Note, 4.500%, 2/15/2032 | 1,848,178 | |
425,000 | Dana, Inc., Sr. Unsecd. Note, 5.625%, 6/15/2028 | 452,149 | |
10,050,000 | Dornoch Debt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 6.625%, 10/15/2029 | 9,936,937 | |
600,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.096%, 5/4/2023 | 612,039 | |
500,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.339%, 3/28/2022 | 501,495 | |
14,175,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.375%, 11/13/2025 | 14,745,331 | |
7,500,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.000%, 11/13/2030 | 8,081,475 | |
1,625,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.063%, 11/1/2024 | 1,711,913 | |
2,000,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.125%, 8/17/2027 | 2,161,240 | |
5,075,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.140%, 2/15/2023 | 5,202,129 | |
1,675,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.250%, 9/20/2022 | 1,707,353 | |
725,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.271%, 1/9/2027 | 780,194 | |
5,450,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.113%, 5/3/2029 | 6,201,909 | |
2,525,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.125%, 6/16/2025 | 2,749,220 | |
11,100,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, Series GMTN, 4.389%, 1/8/2026 | 11,972,793 | |
2,600,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.000%, 5/15/2027 | 2,686,710 | |
1,600,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029 | 1,722,928 | |
7,275,000 | J.B. Poindexter & Co., Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/15/2026 | 7,622,709 | |
7,350,000 | KAR Auction Services, Inc., Sr. Unsecd. Note, 144A, 5.125%, 6/1/2025 | 7,469,143 | |
495,000 | Panther BF Aggregator 2 LP, Sec. Fac. Bond, 144A, 6.250%, 5/15/2026 | 518,520 | |
21,150,000 | Panther BF Aggregator 2 LP, Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027 | 22,446,178 | |
14,625,000 | Real Hero Merger Sub 2, Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/1/2029 | 14,622,733 | |
5,200,000 | Schaeffler Verwaltung Zw, 144A, 4.750%, 9/15/2026 | 5,315,206 | |
TOTAL | 148,320,638 | ||
Building Materials—3.1% | |||
4,050,000 | Abc Supply Co., Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/15/2029 | 4,045,849 | |
800,000 | American Builders & Contractors Supply Co., Inc., 144A, 4.000%, 1/15/2028 | 819,732 | |
3,050,000 | Cornerstone Building Brands, Sr. Unsecd. Note, 144A, 6.125%, 1/15/2029 | 3,264,232 | |
10,825,000 | Cp Atlas Buyer, Inc., Sr. Unsecd. Note, 144A, 7.000%, 12/1/2028 | 10,786,084 | |
8,775,000 | Foundation Building Materials, Inc., Sr. Unsecd. Note, 144A, 6.000%, 3/1/2029 | 8,633,766 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Building Materials—continued | |||
$ 4,275,000 | Gyp Holdings III Corp., Sr. Unsecd. Note, 144A, 4.625%, 5/1/2029 | $ 4,292,228 | |
2,950,000 | Interface, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/1/2028 | 3,094,476 | |
7,175,000 | SRS Distribution, Inc., Sr. Unsecd. Note, 144A, 6.000%, 12/1/2029 | 7,222,104 | |
3,475,000 | SRS Distribution, Inc., Sr. Unsecd. Note, 144A, 6.125%, 7/1/2029 | 3,546,377 | |
2,875,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 3.375%, 1/15/2031 | 2,774,375 | |
2,850,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 4.375%, 7/15/2030 | 2,913,498 | |
2,400,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2028 | 2,482,356 | |
11,150,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027 | 11,491,580 | |
6,000,000 | White Cap Buyer LLC, Sr. Unsecd. Note, 144A, 6.875%, 10/15/2028 | 6,263,520 | |
4,725,000 | White Cap Parent LLC, Sr. Sub. Secd. Note, 144A, 8.250%, 3/15/2026 | 4,854,725 | |
TOTAL | 76,484,902 | ||
Cable Satellite—8.5% | |||
2,650,000 | Cablevision Systems Corp., Sr. Unsecd. Note, 5.875%, 9/15/2022 | 2,718,940 | |
2,550,000 | CCO Holdings LLC/Cap Corp., Sr. Sub. Secd. Note, 144A, 5.500%, 5/1/2026 | 2,630,064 | |
6,425,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 4.500%, 5/1/2032 | 6,620,416 | |
1,300,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.000%, 3/1/2023 | 1,301,664 | |
6,050,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2031 | 6,115,491 | |
1,675,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2034 | 1,650,943 | |
11,350,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 8/15/2030 | 11,636,417 | |
4,150,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 6/1/2033 | 4,240,532 | |
5,675,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.750%, 3/1/2030 | 5,912,073 | |
3,650,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 3,803,300 | |
6,050,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.125%, 5/1/2027 | 6,238,911 | |
650,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029 | 702,553 | |
2,050,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2031 | 1,922,634 | |
5,775,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.125%, 12/1/2030 | 5,647,199 | |
6,800,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.500%, 11/15/2031 | 6,726,016 | |
8,350,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.625%, 12/1/2030 | 7,915,299 | |
2,275,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.000%, 11/15/2031 | 2,195,830 | |
5,050,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2027 | 5,226,447 | |
8,750,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2030 | 8,734,381 | |
4,175,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.500%, 2/1/2029 | 4,475,725 | |
4,375,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 7.500%, 4/1/2028 | 4,699,122 | |
6,350,000 | DIRECTV Holdings LLC, Sec. Fac. Bond, 144A, 5.875%, 8/15/2027 | 6,510,020 | |
1,650,000 | DISH DBS Corp., Sec. Fac. Bond, 144A, 5.750%, 12/1/2028 | 1,669,594 | |
2,025,000 | DISH DBS Corp., Sr. Unsecd. Note, 5.875%, 11/15/2024 | 2,082,834 | |
4,275,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.375%, 7/1/2028 | 4,335,299 | |
5,350,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.750%, 7/1/2026 | 5,651,205 | |
5,900,000 | DISH DBS Corp., Sr. Unsecd. Note, 144A, 5.125%, 6/1/2029 | 5,378,558 | |
4,850,000 | Doyla Holdco 18 Designated Activity Co., Sr. Unsecd. Note, 144A, 5.000%, 7/15/2028 | 4,893,892 | |
2,650,000 | 1,2 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.500%, 8/1/2023 | 1,202,862 |
2,475,000 | 1,2 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 8.500%, 10/15/2024 | 1,136,953 |
1,975,000 | 1,2 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 9.750%, 7/15/2025 | 908,816 |
2,300,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.125%, 9/1/2026 | 2,303,692 | |
8,175,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2031 | 8,029,689 | |
1,600,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.000%, 7/15/2028 | 1,611,712 | |
6,850,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2030 | 6,862,159 | |
4,025,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029 | 4,343,699 | |
10,400,000 | Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028 | 10,764,000 | |
10,350,000 | UPC Broadband Finco BV, Sr. Note, 144A, 4.875%, 7/15/2031 | 10,573,715 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Cable Satellite—continued | |||
$ 6,025,000 | Virgin Media Finance PLC, Sr. Unsecd. Note, 144A, 5.000%, 7/15/2030 | $ 6,004,274 | |
2,200,000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 4.500%, 8/15/2030 | 2,217,446 | |
2,975,000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 5.500%, 5/15/2029 | 3,146,405 | |
2,075,000 | Vmed O2 UK Financing I PLC, Sec. Fac. Bond, 144A, 4.250%, 1/31/2031 | 2,036,862 | |
3,900,000 | Vmed O2 UK Financing I PLC, Sr. Note, 144A, 4.750%, 7/15/2031 | 3,955,809 | |
1,525,000 | Ziggo Bond Co. BV, Sr. Unsecd. Note, 144A, 5.125%, 2/28/2030 | 1,534,905 | |
4,304,000 | Ziggo Finance BV, Sec. Fac. Bond, 144A, 5.500%, 1/15/2027 | 4,427,353 | |
9,500,000 | Ziggo Finance BV, Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027 | 9,794,642 | |
TOTAL | 212,490,352 | ||
Chemicals—3.1% | |||
2,850,000 | Axalta Coating Systems LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2029 | 2,761,579 | |
5,325,000 | Compass Minerals International, Inc., Sr. Unsecd. Note, 144A, 4.875%, 7/15/2024 | 5,467,923 | |
3,925,000 | Compass Minerals International, Inc., Sr. Unsecd. Note, 144A, 6.750%, 12/1/2027 | 4,161,462 | |
6,525,000 | Element Solutions, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2028 | 6,566,988 | |
3,775,000 | H.B. Fuller Co., Sr. Unsecd. Note, 4.250%, 10/15/2028 | 3,893,667 | |
8,250,000 | Herens Holdco S.a.r.l., Sec. Fac. Bond, 144A, 4.750%, 5/15/2028 | 8,098,076 | |
7,375,000 | Hexion, Inc., Sr. Unsecd. Note, 144A, 7.875%, 7/15/2027 | 7,788,000 | |
2,800,000 | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., Sr. Unsecd. Note, 144A, 9.000%, 7/1/2028 | 2,989,938 | |
12,000,000 | Koppers, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | 12,222,360 | |
3,700,000 | Olympus Water US Holding Corp., Sec. Fac. Bond, 144A, 4.250%, 10/1/2028 | 3,684,811 | |
5,675,000 | Olympus Water US Holding Corp., Sr. Unsecd. Note, 144A, 6.250%, 10/1/2029 | 5,541,098 | |
5,800,000 | Polar US Borrower LLC, Sr. Unsecd. Note, 144A, 6.750%, 5/15/2026 | 5,704,532 | |
1,325,000 | SPCM SA, 144A, 3.125%, 3/15/2027 | 1,310,664 | |
1,100,000 | SPCM SA, Sr. Unsecd. Note, 144A, 3.375%, 3/15/2030 | 1,061,539 | |
1,875,000 | WR Grace Holdings LLC, 144A, 4.875%, 6/15/2027 | 1,928,213 | |
4,550,000 | WR Grace Holdings LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 | 4,669,437 | |
TOTAL | 77,850,287 | ||
Construction Machinery—0.8% | |||
8,525,000 | H&E Equipment Services, Inc., Sr. Unsecd. Note, 144A, 3.875%, 12/15/2028 | 8,476,194 | |
1,025,000 | Ritchie Bros Hldgs, Inc., Sr. Unsecd. Note, 144A, 4.750%, 12/15/2031 | 1,071,832 | |
2,425,000 | United Rentals, Inc., Sr. Unsecd. Note, 3.875%, 2/15/2031 | 2,465,546 | |
950,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.500%, 5/15/2027 | 989,130 | |
2,150,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 3.750%, 1/15/2032 | 2,168,141 | |
3,100,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 4.875%, 1/15/2028 | 3,263,060 | |
725,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 3.875%, 11/15/2027 | 753,482 | |
TOTAL | 19,187,385 | ||
Consumer Cyclical Services—2.5% | |||
2,850,000 | Allied Universal Holdco LLC, Sec. Fac. Bond, 144A, 6.625%, 7/15/2026 | 2,993,854 | |
6,800,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | 6,623,302 | |
14,725,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027 | 15,749,713 | |
1,425,000 | Atlas Luxco 4 S.a.r.l. / Allied Universal Holdings Co. LLC / Allied Universal Finance Corp., Sec. Fac. Bond, 144A, 4.625%, 6/1/2028 | 1,400,775 | |
2,525,000 | Garda World Security Corp., Sec. Fac. Bond, 144A, 4.625%, 2/15/2027 | 2,515,253 | |
7,475,000 | Garda World Security Corp., Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | 7,149,127 | |
3,575,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., Sr. Unsecd. Note, 144A, 5.250%, 12/1/2027 | 3,700,715 | |
14,778,000 | GW B-CR Security Corp., Sr. Unsecd. Note, 144A, 9.500%, 11/1/2027 | 15,954,329 | |
5,925,000 | Signal Parent, Inc., Sr. Unsecd. Note, 144A, 6.125%, 4/1/2029 | 5,267,799 | |
850,000 | The Brink’s Co., Sr. Unsecd. Note, 144A, 5.500%, 7/15/2025 | 884,850 | |
TOTAL | 62,239,717 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Products—1.4% | |||
$11,175,000 | BCPE Empire Holdings, Inc., Sr. Unsecd. Note, 144A, 7.625%, 5/1/2027 | $ 11,421,632 | |
7,250,000 | Diamond BC BV, Sr. Unsecd. Note, 144A, 4.625%, 10/1/2029 | 7,202,766 | |
2,950,000 | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 4.125%, 4/1/2029 | 2,976,476 | |
2,200,000 | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 5.500%, 6/1/2028 | 2,338,226 | |
6,375,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.375%, 3/31/2029 | 6,231,340 | |
3,550,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2028 | 3,630,869 | |
TOTAL | 33,801,309 | ||
Diversified Manufacturing—0.9% | |||
769,000 | CFX Escrow Corp., Sr. Unsecd. Note, 144A, 6.375%, 2/15/2026 | 795,742 | |
14,475,000 | Gates Global LLC, Sr. Unsecd. Note, 144A, 6.250%, 1/15/2026 | 14,961,289 | |
5,900,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.250%, 6/15/2028 | 6,477,846 | |
TOTAL | 22,234,877 | ||
Finance Companies—1.8% | |||
5,075,000 | LD Holdings Group LLC, Sr. Unsecd. Note, 144A, 6.125%, 4/1/2028 | 4,790,394 | |
2,400,000 | Navient Corp., Sr. Unsecd. Note, 4.875%, 3/15/2028 | 2,397,612 | |
1,600,000 | Navient Corp., Sr. Unsecd. Note, 5.500%, 3/15/2029 | 1,598,552 | |
4,125,000 | Navient Corp., Sr. Unsecd. Note, 5.875%, 10/25/2024 | 4,402,406 | |
775,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/15/2026 | 857,483 | |
3,000,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.625%, 3/1/2029 | 3,015,555 | |
6,250,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.875%, 3/1/2031 | 6,353,375 | |
2,600,000 | Rocket Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 2.875%, 10/15/2026 | 2,583,984 | |
2,275,000 | Rocket Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 4.000%, 10/15/2033 | 2,307,737 | |
7,725,000 | United Shore Financial Services, Sr. Unsecd. Note, 144A, 5.500%, 11/15/2025 | 7,878,226 | |
5,925,000 | United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2029 | 5,822,231 | |
2,775,000 | United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.750%, 6/15/2027 | 2,784,713 | |
TOTAL | 44,792,268 | ||
Food & Beverage—2.8% | |||
2,500,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 4/1/2025 | 2,553,150 | |
2,675,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 2,769,976 | |
5,625,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 6.375%, 5/1/2025 | 5,885,297 | |
7,825,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 9,183,026 | |
7,375,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 5.200%, 7/15/2045 | 9,398,902 | |
3,500,000 | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 8/1/2029 | 3,477,880 | |
2,575,000 | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 5.500%, 10/15/2027 | 2,690,270 | |
3,325,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 4.500%, 9/15/2031 | 3,305,449 | |
4,400,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 4.625%, 4/15/2030 | 4,489,364 | |
550,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/15/2029 | 578,759 | |
5,625,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2028 | 5,970,544 | |
9,200,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 9,510,086 | |
2,125,000 | US Foods, Inc., Sec. Fac. Bond, 144A, 6.250%, 4/15/2025 | 2,214,951 | |
1,425,000 | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/1/2030 | 1,443,240 | |
6,100,000 | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2029 | 6,209,068 | |
TOTAL | 69,679,962 | ||
Gaming—4.1% | |||
6,925,000 | Affinity Gaming LLC, 144A, 6.875%, 12/15/2027 | 7,211,833 | |
4,425,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 4.750%, 12/1/2027 | 4,521,399 | |
2,375,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2031 | 2,426,644 | |
200,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 8.625%, 6/1/2025 | 214,544 | |
2,950,000 | Caesars Entertainment Corp., Sr. Unsecd. Note, 144A, 4.625%, 10/15/2029 | 2,956,180 | |
600,000 | CCM Merger, Inc., Sr. Unsecd. Note, 144A, 6.375%, 5/1/2026 | 626,523 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Gaming—continued | |||
$ 2,900,000 | Colt Merger Sub, Inc., Sr. Secd. Note, 144A, 5.750%, 7/1/2025 | $ 3,032,211 | |
3,875,000 | Colt Merger Sub, Inc., Sr. Secd. Note, 144A, 6.250%, 7/1/2025 | 4,072,237 | |
6,175,000 | Colt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 8.125%, 7/1/2027 | 6,845,883 | |
650,000 | MGM Growth Properties LLC, Sr. Unsecd. Note, 4.500%, 9/1/2026 | 700,079 | |
1,600,000 | MGM Growth Properties LLC, Sr. Unsecd. Note, 5.750%, 2/1/2027 | 1,809,888 | |
1,325,000 | MGM Growth Properties LLC, Sr. Unsecd. Note, 144A, 3.875%, 2/15/2029 | 1,393,151 | |
1,525,000 | MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/15/2025 | 1,627,678 | |
2,300,000 | MGM Resorts International, Sr. Unsecd. Note, 6.000%, 3/15/2023 | 2,406,410 | |
3,000,000 | MGM Resorts International, Sr. Unsecd. Note, 6.750%, 5/1/2025 | 3,138,000 | |
5,025,000 | Midwest Gaming Borrower LLC, 144A, 4.875%, 5/1/2029 | 5,057,763 | |
13,500,000 | Mohegan Tribal Gaming Authority, 144A, 8.000%, 2/1/2026 | 14,191,132 | |
1,250,000 | Mohegan Tribal Gaming Authority, Sr. Unsecd. Note, 144A, 7.875%, 10/15/2024 | 1,307,519 | |
3,050,000 | Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2029 | 2,963,121 | |
1,500,000 | Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2027 | 1,531,643 | |
1,250,000 | Raptor Acquistion Corp./Raptor Co-Issuer LLC, Sec. Fac. Bond, 144A, 4.875%, 11/1/2026 | 1,264,063 | |
5,725,000 | Scientific Games International, Inc., 144A, 8.625%, 7/1/2025 | 6,118,307 | |
3,800,000 | Scientific Games International, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/15/2029 | 4,243,289 | |
4,525,000 | Scientific Games International, Inc., Sr. Unsecd. Note, 144A, 8.250%, 3/15/2026 | 4,768,332 | |
7,950,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 4.500%, 2/15/2028 | 8,010,579 | |
3,275,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 4.625%, 12/1/2031 | 3,307,439 | |
275,000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 3.500%, 2/15/2025 | 279,415 | |
1,850,000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.125%, 8/15/2030 | 1,959,576 | |
2,425,000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.250%, 12/1/2026 | 2,528,754 | |
2,175,000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.625%, 12/1/2029 | 2,318,441 | |
TOTAL | 102,832,033 | ||
Health Care—7.5% | |||
500,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 144A, 5.000%, 4/15/2029 | 514,510 | |
300,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2028 | 315,762 | |
3,975,000 | AdaptHealth LLC, Sr. Unsecd. Note, 144A, 4.625%, 8/1/2029 | 3,981,022 | |
5,250,000 | AdaptHealth LLC, Sr. Unsecd. Note, 144A, 5.125%, 3/1/2030 | 5,349,802 | |
4,850,000 | Ardent Health Services, Sr. Unsecd. Note, 144A, 5.750%, 7/15/2029 | 4,814,595 | |
7,400,000 | Avantor Funding, Inc., Sec. Fac. Bond, 144A, 4.625%, 7/15/2028 | 7,726,821 | |
7,150,000 | Avantor Funding, Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/1/2029 | 7,238,267 | |
1,350,000 | Charles River Laboratories International, Inc., Sr. Unsecd. Note, 144A, 3.750%, 3/15/2029 | 1,365,437 | |
1,350,000 | Charles River Laboratories International, Inc., Sr. Unsecd. Note, 144A, 4.000%, 3/15/2031 | 1,385,161 | |
250,000 | Charles River Laboratories International, Inc., Sr. Unsecd. Note, 144A, 4.250%, 5/1/2028 | 260,359 | |
3,450,000 | CHS/Community Health Systems, Inc., 144A, 6.125%, 4/1/2030 | 3,418,381 | |
2,425,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.000%, 12/15/2027 | 2,622,371 | |
9,350,000 | CHS/Community Health Systems, Inc., 2nd Lien, 144A, 6.875%, 4/15/2029 | 9,539,618 | |
1,650,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 6.000%, 1/15/2029 | 1,761,920 | |
1,525,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 6.625%, 2/15/2025 | 1,580,106 | |
2,375,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.000%, 3/15/2026 | 2,499,308 | |
6,825,000 | Davita, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/1/2030 | 6,999,447 | |
10,400,000 | Global Medical Response, Inc., Sec. Fac. Bond, 144A, 6.500%, 10/1/2025 | 10,531,144 | |
5,550,000 | HCA, Inc., Sr. Unsecd. Note, 3.500%, 9/1/2030 | 5,876,756 | |
6,500,000 | HCA, Inc., Sr. Unsecd. Note, 5.375%, 2/1/2025 | 7,151,950 | |
3,325,000 | HCA, Inc., Sr. Unsecd. Note, 5.375%, 9/1/2026 | 3,740,791 | |
1,650,000 | HCA, Inc., Sr. Unsecd. Note, 5.875%, 5/1/2023 | 1,749,025 | |
5,900,000 | IMS Health, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/15/2026 | 6,062,220 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Health Care—continued | |||
$ 1,325,000 | Iqvia, Inc., Sr. Unsecd. Note, 144A, 5.000%, 5/15/2027 | $ 1,373,164 | |
925,000 | LifePoint Health, Inc., 144A, 6.750%, 4/15/2025 | 965,251 | |
1,175,000 | LifePoint Health, Inc., Sec. Fac. Bond, 144A, 4.375%, 2/15/2027 | 1,185,070 | |
5,550,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2029 | 5,530,242 | |
7,900,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 9.750%, 12/1/2026 | 8,358,002 | |
3,825,000 | MEDNAX, Inc., Sr. Unsecd. Note, 144A, 6.250%, 1/15/2027 | 4,006,534 | |
5,550,000 | Mozart Debt Merger Sub, Inc., Sec. Fac. Bond, 144A, 3.875%, 4/1/2029 | 5,541,508 | |
11,100,000 | Mozart Debt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2029 | 11,274,492 | |
2,725,000 | MPH Acquisition Holdings LLC, Sr. Note, 144A, 5.500%, 9/1/2028 | 2,766,597 | |
13,575,000 | MPH Acquisition Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 11/1/2028 | 12,930,391 | |
5,500,000 | Team Health Holdings, Inc., Sr. Unsecd. Note, 144A, 6.375%, 2/1/2025 | 5,182,595 | |
4,925,000 | Tenet Healthcare Corp., 144A, 4.250%, 6/1/2029 | 5,010,055 | |
700,000 | Tenet Healthcare Corp., 144A, 4.625%, 6/15/2028 | 720,262 | |
2,900,000 | Tenet Healthcare Corp., 144A, 4.875%, 1/1/2026 | 2,983,129 | |
1,750,000 | Tenet Healthcare Corp., 144A, 5.125%, 11/1/2027 | 1,824,883 | |
3,750,000 | Tenet Healthcare Corp., 144A, 6.250%, 2/1/2027 | 3,886,331 | |
350,000 | Tenet Healthcare Corp., 144A, 7.500%, 4/1/2025 | 368,778 | |
1,194,000 | Tenet Healthcare Corp., Sr. Secd. Note, 4.625%, 7/15/2024 | 1,210,423 | |
1,500,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 6.750%, 6/15/2023 | 1,604,940 | |
12,275,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 144A, 6.125%, 10/1/2028 | 12,990,080 | |
1,625,000 | Vizient, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/15/2027 | 1,697,719 | |
TOTAL | 187,895,219 | ||
Health Insurance—0.8% | |||
4,850,000 | Centene Corp., Sr. Unsecd. Note, 2.625%, 8/1/2031 | 4,761,075 | |
2,125,000 | Centene Corp., Sr. Unsecd. Note, 3.000%, 10/15/2030 | 2,163,760 | |
675,000 | Centene Corp., Sr. Unsecd. Note, Series WI, 3.375%, 2/15/2030 | 688,537 | |
6,275,000 | Centene Corp., Sr. Unsecd. Note, Series WI, 4.250%, 12/15/2027 | 6,552,543 | |
4,850,000 | Centene Corp., Sr. Unsecd. Note, Series WI, 4.625%, 12/15/2029 | 5,238,922 | |
TOTAL | 19,404,837 | ||
Independent Energy—5.0% | |||
1,500,000 | Antero Resources Corp., Sr. Unsecd. Note, 5.000%, 3/1/2025 | 1,525,635 | |
1,625,000 | Antero Resources Corp., Sr. Unsecd. Note, 144A, 5.375%, 3/1/2030 | 1,739,863 | |
1,210,000 | Antero Resources Corp., Sr. Unsecd. Note, 144A, 7.625%, 2/1/2029 | 1,345,018 | |
829,000 | Antero Resources Corp., Sr. Unsecd. Note, 144A, 8.375%, 7/15/2026 | 944,927 | |
2,750,000 | Apache Corp., Sr. Unsecd. Note, 4.875%, 11/15/2027 | 3,001,419 | |
2,300,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 | 2,216,269 | |
3,525,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 7.000%, 11/1/2026 | 3,577,752 | |
1,400,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 8.250%, 12/31/2028 | 1,461,488 | |
949,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 9.000%, 11/1/2027 | 1,271,299 | |
2,550,000 | Berry Petroleum Co., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2026 | 2,527,152 | |
675,000 | Callon Petroleum Corp., Sr. Unsecd. Note, 6.125%, 10/1/2024 | 665,577 | |
2,950,000 | Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 8.250%, 7/15/2025 | 2,905,868 | |
300,000 | Centennial Resource Production, LLC, Sr. Unsecd. Note, 144A, 5.375%, 1/15/2026 | 295,035 | |
4,975,000 | Centennial Resource Production, LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 5,079,475 | |
3,175,000 | 1,2 | Chesapeake Energy Corp., Sr. Unsecd. Note, 7.000%, 10/1/2024 | 63,500 |
875,000 | Comstock Resources, Inc., Sr. Unsecd. Note, 144A, 5.875%, 1/15/2030 | 898,323 | |
8,025,000 | Comstock Resources, Inc., Sr. Unsecd. Note, 144A, 6.750%, 3/1/2029 | 8,717,638 | |
900,000 | Crownrock LP/Crownrock F, Sr. Unsecd. Note, 144A, 5.000%, 5/1/2029 | 935,118 | |
7,025,000 | Crownrock LP/Crownrock F, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2025 | 7,191,282 | |
2,000,000 | Endeavor Energy Resources LP, Sr. Unsecd. Note, 144A, 5.750%, 1/30/2028 | 2,135,000 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Independent Energy—continued | |||
$ 2,675,000 | Endeavor Energy Resources LP, Sr. Unsecd. Note, 144A, 6.625%, 7/15/2025 | $ 2,833,400 | |
675,000 | EQT Corp., Sr. Unsecd. Note, 5.000%, 1/15/2029 | 748,524 | |
1,000,000 | EQT Corp., Sr. Unsecd. Note, 6.625%, 2/1/2025 | 1,128,770 | |
2,250,000 | EQT Corp., Sr. Unsecd. Note, 144A, 3.125%, 5/15/2026 | 2,312,471 | |
1,600,000 | EQT Corp., Sr. Unsecd. Note, 144A, 3.625%, 5/15/2031 | 1,662,488 | |
1,400,000 | Oasis Petroleum, Inc., Sr. Unsecd. Note, 144A, 6.375%, 6/1/2026 | 1,472,058 | |
1,325,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 4.100%, 2/15/2047 | 1,300,507 | |
4,150,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 4.300%, 8/15/2039 | 4,144,958 | |
2,000,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 4.400%, 8/15/2049 | 2,028,030 | |
425,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 4.500%, 7/15/2044 | 438,396 | |
2,700,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 5.875%, 9/1/2025 | 2,980,139 | |
2,900,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.125%, 1/1/2031 | 3,528,372 | |
4,175,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.450%, 9/15/2036 | 5,331,475 | |
5,325,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.625%, 9/1/2030 | 6,598,634 | |
500,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 7.150%, 5/15/2028 | 587,175 | |
2,075,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 8.000%, 7/15/2025 | 2,424,638 | |
1,250,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 8.500%, 7/15/2027 | 1,560,625 | |
1,825,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 8.875%, 7/15/2030 | 2,464,444 | |
338,000 | PDC Energy, Inc., Sr. Unsecd. Note, 6.125%, 9/15/2024 | 342,590 | |
4,450,000 | PDC Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 5/15/2026 | 4,604,215 | |
1,575,000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | 1,628,219 | |
524,000 | Range Resources Corp., Sr. Unsecd. Note, 5.000%, 3/15/2023 | 536,345 | |
2,775,000 | Range Resources Corp., Sr. Unsecd. Note, 144A, 8.250%, 1/15/2029 | 3,098,967 | |
2,150,000 | Range Resources Corp., Sr. Unsecd. Note, Series WI, 9.250%, 2/1/2026 | 2,319,984 | |
3,075,000 | Rockcliff Energy II LLC, Sr. Unsecd. Note, 144A, 5.500%, 10/15/2029 | 3,172,370 | |
4,000,000 | SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 | 4,039,480 | |
650,000 | SM Energy Co., Sr. Unsecd. Note, 6.500%, 7/15/2028 | 673,673 | |
650,000 | SM Energy Co., Sr. Unsecd. Note, 6.625%, 1/15/2027 | 670,176 | |
2,250,000 | SM Energy Co., Sr. Unsecd. Note, 6.750%, 9/15/2026 | 2,314,215 | |
650,000 | Southwestern Energy Co., Sr. Unsecd. Note, 4.750%, 2/1/2032 | 685,776 | |
975,000 | Southwestern Energy Co., Sr. Unsecd. Note, 5.375%, 3/15/2030 | 1,046,409 | |
1,075,000 | Southwestern Energy Co., Sr. Unsecd. Note, 7.750%, 10/1/2027 | 1,160,731 | |
2,900,000 | Southwestern Energy Co., Sr. Unsecd. Note, 8.375%, 9/15/2028 | 3,241,127 | |
3,175,000 | Tap Rock Resources LLC., Sr. Unsecd. Note, 144A, 7.000%, 10/1/2026 | 3,305,302 | |
3,025,000 | 1,2,3 | Ultra Resources, Inc., Escrow Security, 0.000%, 4/15/2025 | 0 |
TOTAL | 124,882,321 | ||
Industrial - Other—1.2% | |||
1,575,000 | Booz Allen Hamilton, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2028 | 1,604,823 | |
700,000 | Booz Allen Hamilton, Inc., Sr. Unsecd. Note, 144A, 4.000%, 7/1/2029 | 724,024 | |
1,975,000 | Cushman & Wakefield US Borrower LLC, Sec. Fac. Bond, 144A, 6.750%, 5/15/2028 | 2,116,064 | |
750,000 | Madison Iaq LLC, Sec. Fac. Bond, 144A, 4.125%, 6/30/2028 | 752,981 | |
13,250,000 | Madison Iaq LLC, Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 | 13,270,270 | |
5,529,000 | Vertical Holdco GmbH, Sr. Unsecd. Note, 144A, 7.625%, 7/15/2028 | 5,930,765 | |
5,650,000 | Vertical U.S. Newco, Inc., Sr. Unsecd. Note, 144A, 5.250%, 7/15/2027 | 5,946,794 | |
TOTAL | 30,345,721 | ||
Insurance - P&C—5.1% | |||
8,875,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Unsecd. Note, 144A, 6.750%, 10/15/2027 | 9,217,043 | |
10,175,000 | AmWINS Group, Inc., Sr. Unsecd. Note, 144A, 4.875%, 6/30/2029 | 10,294,200 | |
6,294,232 | Ardonagh Midco 2 PLC, Sr. Unsecd. Note, 144A, 11.500% / 12.750% PIK, 1/15/2027 | 7,038,399 | |
6,675,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2029 | 6,502,618 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Insurance - P&C—continued | |||
$ 7,950,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2025 | $ 8,017,893 | |
12,950,000 | Broadstreet Partners, Inc., Sr. Unsecd. Note, 144A, 5.875%, 4/15/2029 | 12,741,570 | |
2,250,000 | GTCR AP Finance, Inc., Sr. Unsecd. Note, 144A, 8.000%, 5/15/2027 | 2,336,625 | |
7,200,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 5.625%, 12/1/2029 | 7,428,600 | |
28,075,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 7.000%, 5/1/2026 | 28,882,858 | |
550,000 | NFP Corp., Sec. Fac. Bond, 4.875%, 8/15/2028 | 556,336 | |
19,100,000 | NFP Corp., Sr. Unsecd. Note, 144A, 6.875%, 8/15/2028 | 19,183,658 | |
14,750,000 | USIS Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.875%, 5/1/2025 | 14,876,776 | |
TOTAL | 127,076,576 | ||
Leisure—0.6% | |||
7,875,000 | SeaWorld Parks & Entertainment, Inc., Sr. Unsecd. Note, 144A, 5.250%, 8/15/2029 | 8,030,610 | |
1,125,000 | Six Flags Entertainment Corp., Sr. Unsecd. Note, 144A, 4.875%, 7/31/2024 | 1,137,532 | |
5,950,000 | Six Flags Entertainment Corp., Sr. Unsecd. Note, 144A, 5.500%, 4/15/2027 | 6,164,200 | |
875,000 | Six Flags Theme Parks, Sec. Fac. Bond, 144A, 7.000%, 7/1/2025 | 935,430 | |
TOTAL | 16,267,772 | ||
Lodging—0.3% | |||
2,000,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2032 | 1,992,810 | |
2,475,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 3.750%, 5/1/2029 | 2,497,114 | |
2,000,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.750%, 5/1/2028 | 2,139,600 | |
TOTAL | 6,629,524 | ||
Media Entertainment—8.4% | |||
5,400,000 | AMC Networks, Inc., Sec. Fac. Bond, 4.250%, 2/15/2029 | 5,376,024 | |
2,360,000 | AMC Networks, Inc., Sr. Unsecd. Note, 5.000%, 4/1/2024 | 2,380,178 | |
5,825,000 | Audacy Capital Corp., 144A, 6.500%, 5/1/2027 | 5,767,915 | |
4,950,000 | Audacy Capital Corp., 144A, 6.750%, 3/31/2029 | 4,842,932 | |
6,339,000 | Cumulus Media News Holdings, Inc., 144A, 6.750%, 7/1/2026 | 6,584,826 | |
3,025,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 5.375%, 8/15/2026 | 1,515,979 | |
5,925,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 6.625%, 8/15/2027 | 1,673,813 | |
5,050,000 | Gray Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 11/15/2031 | 5,204,252 | |
1,475,000 | Gray Escrow, Inc., Sr. Unsecd. Note, 144A, 7.000%, 5/15/2027 | 1,578,014 | |
3,775,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 4.750%, 10/15/2030 | 3,757,843 | |
5,775,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2026 | 5,972,418 | |
450,000 | iHeartCommunications, Inc., 6.375%, 5/1/2026 | 467,370 | |
2,375,000 | iHeartCommunications, Inc., 144A, 4.750%, 1/15/2028 | 2,412,169 | |
4,300,000 | iHeartCommunications, Inc., 144A, 5.250%, 8/15/2027 | 4,476,730 | |
15,636,766 | iHeartCommunications, Inc., Sr. Unsecd. Note, 8.375%, 5/1/2027 | 16,506,561 | |
225,000 | Lamar Media Corp., Sr. Unsecd. Note, 4.000%, 2/15/2030 | 228,585 | |
2,700,000 | Lamar Media Corp., Sr. Unsecd. Note, 4.875%, 1/15/2029 | 2,821,973 | |
575,000 | Lamar Media Corp., Sr. Unsecd. Note, 144A, 3.625%, 1/15/2031 | 560,783 | |
3,075,000 | Match Group Holdings II LLC, Sr. Unsecd. Note, 144A, 3.625%, 10/1/2031 | 2,991,129 | |
4,275,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 4.125%, 8/1/2030 | 4,323,885 | |
1,550,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/1/2028 | 1,615,557 | |
3,750,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | 3,905,344 | |
11,950,000 | Midas Opco Holdings, LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 | 12,252,753 | |
6,700,000 | Nexstar Broadcasting, Inc., Sr. Unsecd. Note, 144A, 4.750%, 11/1/2028 | 6,837,853 | |
8,800,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027 | 9,287,564 | |
825,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 4.500%, 7/15/2029 | 812,835 | |
2,150,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 4.750%, 7/15/2031 | 2,126,382 | |
850,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2025 | 864,450 | |
2,750,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 5.625%, 10/1/2028 | 2,844,036 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Media Entertainment—continued | |||
$ 7,425,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 5.875%, 10/1/2030 | $ 7,850,452 | |
1,400,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2029 | 1,404,669 | |
3,575,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2030 | 3,571,479 | |
1,350,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 6.250%, 6/15/2025 | 1,405,370 | |
4,275,000 | ROBLOX Corp., Sr. Unsecd. Note, 144A, 3.875%, 5/1/2030 | 4,343,443 | |
1,300,000 | Scripps Escrow II, Inc., Sr. Unsecd. Note, 144A, 3.875%, 1/15/2029 | 1,300,397 | |
4,575,000 | Scripps Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2031 | 4,656,183 | |
5,150,000 | Scripps Escrow, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027 | 5,415,547 | |
725,000 | Sinclair Television Group, Sec. Fac. Bond, 144A, 4.125%, 12/1/2030 | 688,036 | |
2,450,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.125%, 2/15/2027 | 2,379,134 | |
4,025,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | 3,909,905 | |
9,450,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.875%, 3/15/2026 | 9,601,578 | |
4,450,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2028 | 4,507,249 | |
7,875,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 5.000%, 9/15/2029 | 8,066,441 | |
14,675,000 | Terrier Media Buyer, Inc., Sr. Unsecd. Note, 144A, 8.875%, 12/15/2027 | 15,882,752 | |
4,175,000 | Univision Communications, Inc., Sec. Fac. Bond, 144A, 4.500%, 5/1/2029 | 4,224,182 | |
6,150,000 | Urban One, Inc., Sec. Fac. Bond, 144A, 7.375%, 2/1/2028 | 6,343,448 | |
1,350,000 | WMG Acquisition Corp., Sec. Fac. Bond, 144A, 3.875%, 7/15/2030 | 1,373,875 | |
2,825,000 | WMG Acquisition Corp., Sr. Unsecd. Note, 144A, 3.000%, 2/15/2031 | 2,708,991 | |
TOTAL | 209,623,284 | ||
Metals & Mining—1.2% | |||
5,150,000 | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 4.625%, 3/1/2029 | 5,260,622 | |
6,475,000 | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 4.875%, 3/1/2031 | 6,736,460 | |
5,650,000 | Coeur Mining, Inc., Sr. Unsecd. Note, 144A, 5.125%, 2/15/2029 | 5,186,079 | |
2,775,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 4.375%, 8/1/2028 | 2,914,263 | |
3,825,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 4.625%, 8/1/2030 | 4,108,662 | |
2,450,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.000%, 9/1/2027 | 2,551,418 | |
1,900,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.250%, 9/1/2029 | 2,083,702 | |
1,775,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.400%, 11/14/2034 | 2,163,565 | |
TOTAL | 31,004,771 | ||
Midstream—7.2% | |||
450,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.500%, 5/20/2025 | 482,513 | |
1,350,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.750%, 5/20/2027 | 1,494,788 | |
6,200,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026 | 6,940,962 | |
2,175,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.375%, 6/15/2029 | 2,298,323 | |
8,950,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 9,283,387 | |
7,700,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | 8,085,693 | |
5,200,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 7.875%, 5/15/2026 | 5,735,834 | |
1,400,000 | Cheniere Energy, Inc., Sr. Secd. Note, 144A, 4.625%, 10/15/2028 | 1,491,483 | |
5,650,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, 4.000%, 3/1/2031 | 5,934,675 | |
1,550,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, 144A, 3.250%, 1/31/2032 | 1,568,600 | |
5,000,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, Series WI, 4.500%, 10/1/2029 | 5,308,650 | |
5,925,000 | CNX Midstream Partners LP, Sr. Unsecd. Note, 144A, 4.750%, 4/15/2030 | 5,912,824 | |
5,625,000 | DT Midstream, Inc., Sr. Unsecd. Note, 144A, 4.375%, 6/15/2031 | 5,858,662 | |
2,925,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 4.500%, 1/15/2029 | 3,046,314 | |
6,350,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2031 | 6,725,190 | |
4,850,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 6.500%, 7/1/2027 | 5,438,111 | |
826,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 4.750%, 7/15/2023 | 859,916 | |
5,300,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 5.500%, 7/15/2028 | 5,797,776 | |
3,925,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 6.500%, 7/15/2048 | 4,774,409 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Midstream—continued | |||
$ 1,750,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 144A, 6.000%, 7/1/2025 | $ 1,905,085 | |
1,325,000 | Hess Midstream Operations LP, Sr. Unsecd. Note, 144A, 4.250%, 2/15/2030 | 1,317,322 | |
700,000 | Hess Midstream Operations LP, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2026 | 721,788 | |
4,050,000 | Hess Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.125%, 6/15/2028 | 4,222,976 | |
4,475,000 | Holly Energy Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 4,467,773 | |
4,925,000 | NuStar Logistics LP, Sr. Unsecd. Note, 5.625%, 4/28/2027 | 5,213,112 | |
3,850,000 | Oasis Midstream Partners, Sr. Unsecd. Note, 144A, 8.000%, 4/1/2029 | 4,201,967 | |
2,650,000 | Rattler Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.625%, 7/15/2025 | 2,758,650 | |
3,200,000 | Solaris Midstream Holdings LLC, Sr. Unsecd. Note, 144A, 7.625%, 4/1/2026 | 3,371,328 | |
4,425,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 | 4,583,880 | |
7,475,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 6/1/2031 | 7,571,764 | |
3,225,000 | Summit Midstream Holdings LLC, Sr. Unsecd. Note, 5.750%, 4/15/2025 | 2,905,854 | |
3,550,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.000%, 1/15/2028 | 3,746,359 | |
4,450,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.375%, 2/1/2027 | 4,591,465 | |
5,125,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.875%, 4/15/2026 | 5,354,241 | |
1,925,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 6.500%, 7/15/2027 | 2,065,679 | |
2,750,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 4.875%, 2/1/2031 | 2,991,120 | |
5,725,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | 6,264,180 | |
1,850,000 | TransMontaigne Partners LP/TLP Finance Corp., Sr. Unsecd. Note, 6.125%, 2/15/2026 | 1,834,099 | |
2,800,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.000%, 7/1/2022 | 2,810,472 | |
2,250,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.500%, 3/1/2028 | 2,453,715 | |
1,875,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.650%, 7/1/2026 | 2,042,719 | |
8,300,000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.300%, 3/1/2048 | 10,013,618 | |
2,200,000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.450%, 4/1/2044 | 2,632,124 | |
575,000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.500%, 8/15/2048 | 687,689 | |
1,375,000 | Western Midstream Operating, LP, Sr. Unsecd. Note, 5.300%, 2/1/2030 | 1,513,909 | |
TOTAL | 179,280,998 | ||
Oil Field Services—1.9% | |||
7,150,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.250%, 4/1/2028 | 7,465,601 | |
8,675,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 9,117,425 | |
1,275,000 | Nabors Industries, Inc., Sr. Unsecd. Note, 144A, 7.375%, 5/15/2027 | 1,321,142 | |
4,100,000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.250%, 1/15/2026 | 3,796,764 | |
2,050,000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.500%, 1/15/2028 | 1,858,151 | |
1,775,000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 6.875%, 1/15/2029 | 1,811,609 | |
2,575,000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026 | 2,626,462 | |
3,275,000 | Shelf Drilling Holdings Ltd., Sr. Unsecd. Note, 144A, 8.250%, 2/15/2025 | 2,394,402 | |
6,550,000 | USA Compression Partners LP, Sr. Unsecd. Note, 6.875%, 9/1/2027 | 6,925,315 | |
8,991,000 | USA Compression Partners LP, Sr. Unsecd. Note, Series WI, 6.875%, 4/1/2026 | 9,360,485 | |
TOTAL | 46,677,356 | ||
Packaging—4.6% | |||
11,475,000 | ARD Finance SA, Sec. Fac. Bond, 144A, 6.500%, 6/30/2027 | 11,831,184 | |
5,675,000 | Ardagh Metal Packaging, Sr. Unsecd. Note, 144A, 4.000%, 9/1/2029 | 5,631,501 | |
12,075,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sec. Fac. Bond, 144A, 5.250%, 8/15/2027 | 12,164,053 | |
2,775,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 5.250%, 8/15/2027 | 2,795,466 | |
2,650,000 | Ball Corp., Sr. Unsecd. Note, 2.875%, 8/15/2030 | 2,575,085 | |
1,650,000 | Berry Global Escrow Corp., 144A, 4.875%, 7/15/2026 | 1,708,955 | |
2,800,000 | Berry Global Escrow Corp., 144A, 5.625%, 7/15/2027 | 2,932,342 | |
3,200,000 | Bway Holding Co., Sec. Fac. Bond, 144A, 5.500%, 4/15/2024 | 3,233,504 | |
6,825,000 | Bway Holding Co., Sr. Unsecd. Note, 144A, 7.250%, 4/15/2025 | 6,849,911 | |
13,100,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, 144A, 6.875%, 1/15/2025 | 13,137,990 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Packaging—continued | |||
$12,700,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, 144A, 7.875%, 7/15/2026 | $ 13,199,300 | |
3,775,000 | OI European Group BV, Sr. Unsecd. Note, 144A, 4.750%, 2/15/2030 | 3,831,663 | |
5,125,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2025 | 5,296,918 | |
3,750,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.375%, 8/15/2025 | 4,044,581 | |
2,200,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.625%, 5/13/2027 | 2,323,200 | |
5,050,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.625%, 11/1/2025 | 5,067,877 | |
4,650,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.250%, 8/1/2024 | 4,864,644 | |
2,700,000 | Trivium Packaging Finance BV, Sec. Fac. Bond, 144A, 5.500%, 8/15/2026 | 2,810,943 | |
10,400,000 | Trivium Packaging Finance BV, Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027 | 11,008,400 | |
TOTAL | 115,307,517 | ||
Paper—0.6% | |||
2,625,000 | Clearwater Paper Corp., Sr. Unsecd. Note, 144A, 4.750%, 8/15/2028 | 2,680,204 | |
6,125,000 | Clearwater Paper Corp., Sr. Unsecd. Note, 144A, 5.375%, 2/1/2025 | 6,621,340 | |
1,075,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 3.500%, 3/15/2028 | 1,073,855 | |
3,625,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 3.500%, 3/1/2029 | 3,603,014 | |
550,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 3.750%, 2/1/2030 | 556,674 | |
TOTAL | 14,535,087 | ||
Pharmaceuticals—3.6% | |||
2,625,000 | Bausch Health Cos., Inc., Sec. Fac. Bond, 144A, 5.500%, 11/1/2025 | 2,670,977 | |
1,450,000 | Bausch Health Cos, Inc., Sec. Fac. Bond, 144A, 5.750%, 8/15/2027 | 1,506,550 | |
2,125,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.000%, 1/30/2028 | 1,958,347 | |
3,800,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2029 | 3,359,447 | |
4,900,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.250%, 1/30/2030 | 4,319,595 | |
2,650,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.250%, 2/15/2031 | 2,332,795 | |
10,784,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 6.125%, 4/15/2025 | 10,997,901 | |
11,100,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/15/2029 | 10,565,868 | |
1,550,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/30/2029 | 1,536,678 | |
8,825,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 8.500%, 1/31/2027 | 9,279,002 | |
2,775,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 9.000%, 12/15/2025 | 2,926,182 | |
750,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 9.250%, 4/1/2026 | 793,114 | |
2,150,000 | Catalent Pharma Solutions, Inc., Sr. Unsecd. Note, 144A, 3.500%, 4/1/2030 | 2,146,990 | |
575,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., Term Loan - 2nd Lien, 144A, 9.500%, 7/31/2027 | 585,902 | |
3,650,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., Sr. Unsecd. Note, 144A, 6.000%, 6/30/2028 | 2,724,834 | |
4,550,000 | Grifols Escrow Issuer SA, 144A, 4.750%, 10/15/2028 | 4,649,508 | |
5,900,000 | Jazz Securities Designated Activity Co., 144A, 4.375%, 1/15/2029 | 6,119,303 | |
7,125,000 | 1,2 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2025 | 3,890,357 |
9,150,000 | 1,2 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2023 | 4,996,037 |
1,100,000 | Organon Finance 1 LLC, Sec. Fac. Bond, 144A, 4.125%, 4/30/2028 | 1,119,778 | |
6,225,000 | Organon Finance 1 LLC, Sr. Unsecd. Note, 144A, 5.125%, 4/30/2031 | 6,514,307 | |
4,975,000 | Syneos Health, Inc., Sr. Unsecd. Note, 144A, 3.625%, 1/15/2029 | 4,919,952 | |
TOTAL | 89,913,424 | ||
Restaurant—1.4% | |||
750,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Term Loan - 1st Lien, 144A, 3.500%, 2/15/2029 | 743,351 | |
20,875,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Term Loan - 2nd Lien, 144A, 4.000%, 10/15/2030 | 20,553,108 | |
2,675,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 4.375%, 1/15/2028 | 2,733,088 | |
525,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Sr. Unsecd. Note, 144A, 4.750%, 6/1/2027 | 543,244 | |
1,325,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 3.625%, 3/15/2031 | 1,322,072 | |
4,775,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 4.625%, 1/31/2032 | 5,082,677 | |
2,425,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 2,628,542 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Restaurant—continued | |||
$ 350,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 7.750%, 4/1/2025 | $ 369,227 | |
TOTAL | 33,975,309 | ||
Retailers—0.7% | |||
3,575,000 | Academy Ltd., Sec. Fac. Bond, 144A, 6.000%, 11/15/2027 | 3,818,797 | |
1,450,000 | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 4.625%, 11/15/2029 | 1,479,609 | |
2,225,000 | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2032 | 2,312,231 | |
1,000,000 | Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/1/2029 | 990,655 | |
2,400,000 | Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.875%, 10/1/2031 | 2,370,936 | |
1,450,000 | Kontoor Brands, Inc., Sr. Unsecd. Note, 144A, 4.125%, 11/15/2029 | 1,452,421 | |
2,875,000 | NMG Holding Co., Inc., 144A, 7.125%, 4/1/2026 | 3,055,953 | |
1,150,000 | William Carter Co., Sr. Unsecd. Note, 144A, 5.500%, 5/15/2025 | 1,194,275 | |
TOTAL | 16,674,877 | ||
Supermarkets—0.5% | |||
9,625,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 3.500%, 3/15/2029 | 9,660,516 | |
900,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 4.875%, 2/15/2030 | 973,134 | |
900,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 5.875%, 2/15/2028 | 955,242 | |
1,400,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 7.500%, 3/15/2026 | 1,496,159 | |
TOTAL | 13,085,051 | ||
Technology—6.6% | |||
2,375,000 | AMS AG, Sr. Unsecd. Note, 144A, 7.000%, 7/31/2025 | 2,521,211 | |
5,600,000 | Black Knight InfoServ LLC, Sr. Unsecd. Note, 144A, 3.625%, 9/1/2028 | 5,601,288 | |
2,975,000 | Boxer Parent Co., Inc., 144A, 9.125%, 3/1/2026 | 3,110,675 | |
6,250,000 | Cars.com, Inc., Sr. Unsecd. Note, 144A, 6.375%, 11/1/2028 | 6,665,219 | |
1,000,000 | CDW LLC/ CDW Finance, Sr. Unsecd. Note, 5.500%, 12/1/2024 | 1,096,790 | |
4,425,000 | Centerfield Media Parent, Sr. Note, 144A, 6.625%, 8/1/2026 | 4,440,687 | |
1,075,000 | Clarivate Science Holdings Corp., Sec. Fac. Bond, 144A, 3.875%, 7/1/2028 | 1,082,541 | |
6,300,000 | Clarivate Science Holdings Corp., Sr. Unsecd. Note, 144A, 4.875%, 7/1/2029 | 6,400,012 | |
2,975,000 | Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.000%, 10/15/2026 | 3,097,555 | |
3,850,000 | Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.500%, 10/15/2028 | 4,028,717 | |
850,000 | Diebold Nixdorf, Inc., Sr. Secd. Note, 144A, 9.375%, 7/15/2025 | 916,160 | |
1,450,000 | Dun & Bradstreet Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 | 1,485,873 | |
4,800,000 | Elastic N.V., Sr. Unsecd. Note, 144A, 4.125%, 7/15/2029 | 4,756,872 | |
1,875,000 | Fair Isaac & Co., Inc., Sr. Unsecd. Note, 144A, 4.000%, 6/15/2028 | 1,930,613 | |
1,025,000 | Gartner, Inc., Sr. Unsecd. Note, 144A, 3.750%, 10/1/2030 | 1,049,431 | |
1,275,000 | Gartner, Inc., Sr. Unsecd. Note, 144A, 4.500%, 7/1/2028 | 1,333,663 | |
4,700,000 | HealthEquity, Inc., Sr. Unsecd. Note, 144A, 4.500%, 10/1/2029 | 4,658,875 | |
6,525,000 | Helios Software Holdings, Sec. Fac. Bond, 144A, 4.625%, 5/1/2028 | 6,422,786 | |
2,800,000 | II-VI, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 | 2,865,240 | |
9,750,000 | Logan Merger Sub, Inc., Sr. Secd. Note, 144A, 5.500%, 9/1/2027 | 9,877,140 | |
3,500,000 | MSCI, Inc., Sr. Unsecd. Note, 144A, 3.625%, 9/1/2030 | 3,584,140 | |
4,925,000 | NCR Corp., 144A, 5.125%, 4/15/2029 | 5,107,274 | |
1,950,000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2028 | 2,011,464 | |
4,800,000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2030 | 4,939,176 | |
1,875,000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/1/2027 | 1,961,250 | |
4,275,000 | NCR Corp., Sr. Unsecd. Note, 144A, 6.125%, 9/1/2029 | 4,586,274 | |
5,225,000 | Nuance Communications, Inc., Sr. Unsecd. Note, 5.625%, 12/15/2026 | 5,396,615 | |
2,375,000 | Open Text Corp., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2028 | 2,424,376 | |
1,325,000 | Open Text Corp., Sr. Unsecd. Note, 144A, 4.125%, 2/15/2030 | 1,366,791 | |
1,525,000 | Open Text Holdings, Inc./Open Text Corp., Sr. Unsecd. Note, 144A, 4.125%, 12/1/2031 | 1,542,621 | |
4,500,000 | Rackspace Technology, Inc., 144A, 3.500%, 2/15/2028 | 4,290,682 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$ 7,700,000 | Rackspace Technology, Inc., Sr. Unsecd. Note, 144A, 5.375%, 12/1/2028 | $ 7,518,588 | |
9,200,000 | Rocket Software, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2029 | 8,988,446 | |
675,000 | Science Applications International Corp., Sr. Unsecd. Note, 144A, 4.875%, 4/1/2028 | 692,901 | |
4,200,000 | Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 3.125%, 7/15/2029 | 4,112,724 | |
3,150,000 | Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 3.375%, 7/15/2031 | 3,078,589 | |
1,250,000 | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 4.000%, 4/15/2029 | 1,278,725 | |
1,675,000 | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 4.375%, 2/15/2030 | 1,761,154 | |
775,000 | Sensata Technologies, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2031 | 773,361 | |
8,600,000 | SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027 | 8,997,363 | |
1,034,000 | Star Merger Sub, Inc., 144A, 6.875%, 8/15/2026 | 1,076,477 | |
1,575,000 | Synaptics, Inc., Sr. Unsecd. Note, 144A, 4.000%, 6/15/2029 | 1,600,885 | |
3,300,000 | TTM Technologies, Inc., Sr. Unsecd. Note, 144A, 4.000%, 3/1/2029 | 3,284,374 | |
9,000,000 | Veritas US, Inc./Veritas Bermuda, Ltd., Sr. Secd. Note, 144A, 7.500%, 9/1/2025 | 9,326,745 | |
1,800,000 | Viavi Solutions, Inc., Sr. Unsecd. Note, 144A, 3.750%, 10/1/2029 | 1,802,493 | |
TOTAL | 164,844,836 | ||
Transportation Services—0.5% | |||
4,225,000 | Stena International S.A., Sec. Fac. Bond, 144A, 6.125%, 2/1/2025 | 4,343,237 | |
6,775,000 | Watco Cos LLC/Finance Co., Sr. Unsecd. Note, 144A, 6.500%, 6/15/2027 | 7,052,775 | |
TOTAL | 11,396,012 | ||
Utility - Electric—2.4% | |||
3,625,000 | Calpine Corp., 144A, 4.500%, 2/15/2028 | 3,767,209 | |
299,000 | Calpine Corp., 144A, 5.250%, 6/1/2026 | 307,137 | |
4,900,000 | Calpine Corp., Sr. Secd. Note, 144A, 3.750%, 3/1/2031 | 4,730,117 | |
975,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 4.625%, 2/1/2029 | 963,071 | |
2,600,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2031 | 2,604,017 | |
3,875,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028 | 3,940,022 | |
8,775,000 | Enviva Partners LP/Enviva Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 1/15/2026 | 9,070,718 | |
2,081,000 | NRG Energy, Inc., Sr. Unsecd. Note, 6.625%, 1/15/2027 | 2,165,905 | |
925,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.375%, 2/15/2029 | 907,735 | |
1,000,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2031 | 976,710 | |
6,675,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2032 | 6,552,080 | |
1,000,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 5.250%, 6/15/2029 | 1,072,800 | |
975,000 | NRG Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 1/15/2028 | 1,032,154 | |
2,975,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 3,123,393 | |
5,550,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028 | 5,886,469 | |
4,225,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 4.375%, 5/1/2029 | 4,240,400 | |
3,600,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026 | 3,722,346 | |
4,325,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027 | 4,460,221 | |
TOTAL | 59,522,504 | ||
Wireless Communications—1.0% | |||
800,000 | Sprint Capital Corp., Company Guarantee, 6.875%, 11/15/2028 | 1,013,344 | |
3,150,000 | Sprint Corp., Sr. Unsecd. Note, 7.125%, 6/15/2024 | 3,540,348 | |
3,625,000 | Sprint Corp., Sr. Unsecd. Note, 7.625%, 2/15/2025 | 4,173,336 | |
825,000 | Sprint Nextel Corp., Sr. Unsecd. Note, 6.000%, 11/15/2022 | 859,732 | |
3,500,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 2.875%, 2/15/2031 | 3,462,655 | |
325,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2028 | 342,625 | |
5,475,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 144A, 2.250%, 2/15/2026 | 5,497,037 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Wireless Communications—continued | |||
$ 4,850,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 144A, 3.375%, 4/15/2029 | $ 4,950,249 | |
TOTAL | 23,839,326 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $2,399,269,804) | 2,438,221,050 | ||
COMMON STOCKS—0.4% | |||
Chemicals—0.1% | |||
62,324 | 2 | Hexion Holdings Corp. | 1,804,591 |
Independent Energy—0.0% | |||
347 | Chesapeake Energy Corp. | 22,389 | |
Media Entertainment—0.1% | |||
67,010 | 2 | iHeartMedia, Inc. | 1,409,890 |
Oil Field Services—0.2% | |||
140,672 | 2,3 | Superior Energy Services, Inc. | 6,084,064 |
TOTAL COMMON STOCKS (IDENTIFIED COST $6,882,629) | 9,320,934 | ||
FLOATING RATE LOAN—0.1% | |||
Independent Energy—0.1% | |||
1,976,000 | 4 | Ascent Resources Utica Holdings, LLC, Term Loan - 2nd Lien, 10.000% (3-month USLIBOR 1.000% Floor +9.000%), 11/1/2025 (IDENTIFIED COST $1,976,000) | 2,143,130 |
WARRANTS—0.0% | |||
Independent Energy—0.0% | |||
17,432 | 2 | Chesapeake Energy Corp., Warrants, Expiration Date 2/9/2026 | 625,983 |
655 | 2 | Chesapeake Energy Corp., Warrants, Expiration Date 2/9/2026 | 21,209 |
6,639 | 2 | Chesapeake Energy Corp., Warrants, Expiration Date 2/9/2026 | 265,294 |
TOTAL WARRANTS (IDENTIFIED COST $2,504,034) | 912,486 | ||
INVESTMENT COMPANY—0.6% | |||
15,264,347 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 0.05%5 (IDENTIFIED COST $15,269,453) | 15,264,347 | |
TOTAL INVESTMENT IN SECURITIES—98.9% (IDENTIFIED COST $2,425,901,920)6 | 2,465,861,947 | ||
OTHER ASSETS AND LIABILITIES - NET—1.1%7 | 28,386,878 | ||
TOTAL NET ASSETS—100% | $2,494,248,825 |
Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares | |
Value as of 12/31/2020 | $34,452,869 |
Purchases at Cost | $914,003,162 |
Proceeds from Sales | $(933,183,453) |
Change in Unrealized Appreciation/Depreciation | $14,328 |
Net Realized Gain/(Loss) | $(22,559) |
Value as of 12/31/2021 | $15,264,347 |
Shares Held as of 12/31/2021 | 15,264,347 |
Dividend Income | $12,615 |
1 | Issuer in default. |
2 | Non-income-producing security. |
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 | Floating/variable note with current rate and current maturity or next reset date shown. |
5 | 7-day net yield. |
6 | The cost of investments for federal tax purposes amounts to $2,430,053,736. |
7 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of December 31, 2021, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $2,438,221,050 | $0 | $2,438,221,050 |
Floating Rate Loan | — | 2,143,130 | — | 2,143,130 |
Warrants | 912,486 | — | — | 912,486 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 3,236,870 | — | 6,084,064 | 9,320,934 |
Investment Company | 15,264,347 | — | — | 15,264,347 |
TOTAL SECURITIES | $19,413,703 | $2,440,364,180 | $6,084,064 | $2,465,861,947 |
The following acronym(s) are used throughout this portfolio: | ||
GMTN | —Global Medium Term Note | |
LIBOR | —London Interbank Offered Rate | |
PIK | —Payment in Kind |
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $6.35 | $6.36 | $5.88 | $6.40 | $6.32 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.33 | 0.35 | 0.38 | 0.38 | 0.39 |
Net realized and unrealized gain (loss) | 0.01 | 0.01 | 0.49 | (0.51) | 0.08 |
TOTAL FROM INVESTMENT OPERATIONS | 0.34 | 0.36 | 0.87 | (0.13) | 0.47 |
Less Distributions: | |||||
Distributions from net investment income | (0.35) | (0.37) | (0.39) | (0.39) | (0.39) |
Net Asset Value, End of Period | $6.34 | $6.35 | $6.36 | $5.88 | $6.40 |
Total Return1 | 5.42% | 6.09% | 15.18% | (2.16)% | 7.55% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.02% | 0.03% | 0.03% | 0.03% | 0.02% |
Net investment income | 5.16% | 5.70% | 6.16% | 6.14% | 6.05% |
Expense waiver/reimbursement | —% | —% | —% | —% | 0.00%3 |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $2,494,249 | $2,212,263 | $1,866,222 | $1,712,174 | $2,036,543 |
Portfolio turnover4 | 34% | 38% | 34% | 21% | 28% |
1 | Based on net asset value. |
2 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | Represents less than 0.01%. |
4 | Securities that mature are considered sales for purposes of this calculation. |
December 31, 2021
Assets: | |
Investment in securities, at value including $15,264,347 of investments in an affiliated holding* (identified cost $2,425,901,920) | $2,465,861,947 |
Income receivable | 38,177,290 |
Income receivable from an affiliated holding | 888 |
Total Assets | 2,504,040,125 |
Liabilities: | |
Income distribution payable | 9,688,750 |
Accrued expenses (Note 5) | 102,550 |
Total Liabilities | 9,791,300 |
Net assets for 393,366,752 shares outstanding | $2,494,248,825 |
Net Assets Consist of: | |
Paid-in capital | $2,515,231,183 |
Total distributable earnings (loss) | (20,982,358) |
Total Net Assets | $2,494,248,825 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$2,494,248,825 ÷ 393,366,752 shares outstanding, no par value, unlimited shares authorized | $6.34 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31, 2021
Investment Income: | |
Interest | $127,380,530 |
Dividends (including $12,615 received from an affiliated holding*) | 269,033 |
TOTAL INCOME | 127,649,563 |
Expenses: | |
Administrative fee (Note 5) | 11,025 |
Custodian fees | 87,040 |
Transfer agent fees | 165,002 |
Directors’/Trustees’ fees (Note 5) | 13,327 |
Auditing fees | 36,000 |
Legal fees | 10,585 |
Portfolio accounting fees | 230,374 |
Share registration costs | 2,471 |
Printing and postage | 18,809 |
Commitment fee (Note 7) | 7,052 |
Miscellaneous (Note 5) | 23,527 |
TOTAL EXPENSES | 605,212 |
Net investment income | 127,044,351 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized gain on investments (including net realized loss of $(22,559) on sales of investments in an affiliated holding*) | 19,028,036 |
Realized gain distribution from affiliated investment company shares | 2,275 |
Net change in unrealized appreciation of investments (including net change in unrealized appreciation of $14,328 on investments in an affiliated holding*) | (15,581,232) |
Net realized and unrealized gain (loss) on investments | 3,449,079 |
Change in net assets resulting from operations | $130,493,430 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2021 | 2020 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $127,044,351 | $99,087,276 |
Net realized gain (loss) | 19,030,311 | (6,529,622) |
Net change in unrealized appreciation/depreciation | (15,581,232) | 31,553,418 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 130,493,430 | 124,111,072 |
Distributions to Shareholders | (133,937,444) | (104,750,703) |
Share Transactions: | ||
Proceeds from sale of shares | 706,985,450 | 740,733,532 |
Net asset value of shares issued to shareholders in payment of distributions declared | 22,419,254 | 11,407,561 |
Cost of shares redeemed | (443,975,198) | (425,459,920) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 285,429,506 | 326,681,173 |
Change in net assets | 281,985,492 | 346,041,542 |
Net Assets: | ||
Beginning of period | 2,212,263,333 | 1,866,221,791 |
End of period | $2,494,248,825 | $2,212,263,333 |
Year Ended 12/31/2021 | Year Ended 12/31/2020 | |
Shares sold | 111,369,520 | 124,631,886 |
Shares issued to shareholders in payment of distributions declared | 3,530,925 | 1,874,131 |
Shares redeemed | (70,088,967) | (71,267,198) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 44,811,478 | 55,238,819 |
2021 | 2020 | |
Ordinary income | $133,937,444 | $104,750,703 |
Undistributed ordinary income | $2,848,794 |
Net unrealized appreciation | $35,808,211 |
Capital loss carryforwards | $(59,639,363) |
Short-Term | Long-Term | Total |
$— | $59,639,363 | $59,639,363 |
Purchases | $1,107,000,437 |
Sales | $808,745,917 |
February 22, 2022
Beginning Account Value 7/1/2021 | Ending Account Value 12/31/2021 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,016.20 | $0.15 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,025.05 | $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 Hermes, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
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, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, 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, Chair of the Audit Committee, Equifax, Inc.; Lead Director, Member of the Audit and Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of Governance and Compensation Committees, Publix Super Markets, 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 Emerita 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; 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; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; and Director, Saint Francis University. |
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. 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); Director, The Golisano Children’s Museum of Naples, Florida; and Director, Midway Pacific (lumber). |
Madelyn A. Reilly Birth Date: February 2, 1956 Trustee Indefinite Term Began serving: November 2020 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal Affairs, General Counsel and Secretary to the Board of Directors, Duquesne University. Other Directorships Held: None. Qualifications: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary to the Board of Directors and Assistant General Counsel and Director of Risk Management, Duquesne University. Prior to her work at Duquesne University, Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, Health and Safety, PPG Industries. |
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, CONSOL Energy Inc. (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.). 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, CONSOL Energy Inc. and CNX Gas Company; 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 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 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, Inc. 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 Hermes, Inc. 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, Inc., 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, Inc. 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. |
Annual Evaluation of Adequacy and Effectiveness
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Ticker FMBPX |
Federated Hermes Mortgage Strategy Portfolio
A Portfolio of Federated Hermes Managed Pool Series
1 Year | 5 Years | 10 Years | |
Fund | -0.94% | 2.77% | 2.45% |
BMBS | -1.04% | 2.50% | 2.28% |
Portfolio Composition | Percentage of Total Net Assets2 |
U.S Government Agency Mortgage-Backed Securities | 87.1% |
Asset-Backed Securities | 3.5% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 0.8% |
Collateralized Mortgage Obligations | 0.5% |
Non-Agency Mortgage-Backed Security | 0.2% |
Cash Equivalents3 | 38.8% |
Other Assets and Liabilities—Net4 | (30.9)% |
TOTAL | 100% |
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—99.8% | |||
17,560,638 | 1Mortgage Core Fund (IDENTIFIED COST $172,328,526) | $171,391,826 | |
REPURCHASE AGREEMENT—0.4% | |||
$ 723,000 | Interest in $1,000,000,000 joint repurchase agreement 0.06%, dated 12/31/2021 under which HSBC Securities (USA), Inc. will repurchase securities provided as collateral for $1,000,004,583 on 1/3/2022. 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 1/1/2052 and the market value of those underlying securities was $1,020,000,000. (IDENTIFIED COST $723,000) | 723,000 | |
TOTAL INVESTMENT IN SECURITIES—100.2% (IDENTIFIED COST $173,051,526)2 | 172,114,826 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.2)%3 | (286,928) | ||
TOTAL NET ASSETS—100% | $171,827,898 |
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. |
Mortgage Core Fund | |
Value as of 12/31/2020 | $125,621,962 |
Purchases at Cost | $71,659,034 |
Proceeds from Sales | $(21,220,000) |
Change in Unrealized Appreciation/Depreciation | $(4,329,758) |
Net Realized Gain/(Loss) | $(339,412) |
Value as of 12/31/2021 | $171,391,826 |
Shares Held as of 12/31/2021 | 17,560,638 |
Dividend Income | $3,234,035 |
2 | The cost of investments for federal tax purposes amounts to $175,042,531. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of December 31, 2021, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Investment Company | $171,391,826 | $— | $— | $171,391,826 |
Repurchase Agreement | — | 723,000 | — | 723,000 |
TOTAL SECURITIES | $171,391,826 | $723,000 | $— | $172,114,826 |
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $10.18 | $9.98 | $9.70 | $9.90 | $9.91 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.22 | 0.27 | 0.32 | 0.30 | 0.28 |
Net realized and unrealized gain (loss) | (0.32) | 0.20 | 0.28 | (0.20) | (0.01) |
TOTAL FROM INVESTMENT OPERATIONS | (0.10) | 0.47 | 0.60 | 0.10 | 0.27 |
Less Distributions: | |||||
Distributions from net investment income | (0.22) | (0.27) | (0.32) | (0.30) | (0.28) |
Distributions from net realized gain | (0.01) | — | — | — | — |
TOTAL DISTRIBUTIONS | (0.23) | (0.27) | (0.32) | (0.30) | (0.28) |
Net Asset Value, End of Period | $9.85 | $10.18 | $9.98 | $9.70 | $9.90 |
Total Return1 | (0.94)% | 4.77% | 6.29% | 1.12% | 2.75% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 2.21% | 2.68% | 3.26% | 3.17% | 2.82% |
Expense waiver/reimbursement3 | 0.21% | 0.23% | 0.24% | 0.27% | 0.26% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $171,828 | $126,578 | $120,793 | $99,486 | $82,970 |
Portfolio turnover4 | 14% | 43% | 7% | 10% | 18% |
1 | Based on net asset value. |
2 | The Adviser has contractually agreed to reimburse all expenses, excluding extraordinary expenses, incurred by the Fund. Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
4 | Securities that mature are considered sales for purposes of this calculation. |
December 31, 2021
Assets: | |
Investment in securities, at value including $171,391,826 of investment in affiliated holdings* (identified cost $173,051,526) | $172,114,826 |
Cash | 222 |
Income receivable from affiliated holdings | 317,678 |
Receivable for shares sold | 128,645 |
Total Assets | 172,561,371 |
Liabilities: | |
Payable for investments purchased | 317,678 |
Payable for shares redeemed | 44,013 |
Income distribution payable | 308,199 |
Payable for investment adviser fee (Note 5) | 2,744 |
Payable for administrative fee (Note 5) | 368 |
Payable for auditing fees | 26,901 |
Accrued expenses (Note 5) | 33,570 |
Total Liabilities | 733,473 |
Net assets for 17,443,672 shares outstanding | $171,827,898 |
Net Assets Consist of: | |
Paid-in capital | $174,897,566 |
Total distributable earnings (loss) | (3,069,668) |
Total Net Assets | $171,827,898 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$171,827,898 ÷ 17,443,672 shares outstanding, no par value, unlimited shares authorized | $9.85 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31, 2021
Investment Income: | |
Dividends received from affiliated holdings* | $3,234,035 |
Interest | 234 |
TOTAL INCOME | 3,234,269 |
Expenses: | |
Administrative fee (Note 5) | 114,482 |
Custodian fees | 6,779 |
Transfer agent fees | 10,931 |
Directors’/Trustees’ fees (Note 5) | 2,126 |
Auditing fees | 25,500 |
Legal fees | 10,634 |
Portfolio accounting fees | 55,212 |
Share registration costs | 34,766 |
Printing and postage | 19,260 |
Commitment fee | 9,974 |
Miscellaneous (Note 5) | 17,646 |
TOTAL EXPENSES | 307,310 |
Reimbursement of other operating expenses (Note 5) | (307,310) |
Net expenses | — |
Net investment income | 3,234,269 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized loss on investments in an affiliated holding* | (339,412) |
Net change in unrealized appreciation of investments in an affiliated holding* | (4,329,758) |
Net realized and unrealized gain (loss) on investments | (4,669,170) |
Change in net assets resulting from operations | $(1,434,901) |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2021 | 2020 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $3,234,269 | $3,643,124 |
Net realized gain (loss) | (339,412) | 549,794 |
Net change in unrealized appreciation/depreciation | (4,329,758) | 1,938,639 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (1,434,901) | 6,131,557 |
Distributions to Shareholders | (3,407,523) | (3,640,790) |
Share Transactions: | ||
Proceeds from sale of shares | 85,643,473 | 76,216,695 |
Net asset value of shares issued to shareholders in payment of distributions declared | 108,395 | 113,998 |
Cost of shares redeemed | (35,659,363) | (73,036,760) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 50,092,505 | 3,293,933 |
Change in net assets | 45,250,081 | 5,784,700 |
Net Assets: | ||
Beginning of period | 126,577,817 | 120,793,117 |
End of period | $171,827,898 | $126,577,817 |
Year Ended 12/31/2021 | Year Ended 12/31/2020 | |
Shares sold | 8,563,074 | 7,512,128 |
Shares issued to shareholders in payment of distributions declared | 10,856 | 11,188 |
Shares redeemed | (3,570,055) | (7,182,178) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 5,003,875 | 341,138 |
2021 | 2020 | |
Ordinary income1 | $3,407,523 | $3,640,790 |
1 | For tax purposes, short-term capital gain distributions are considered ordinary income distributions. |
Undistributed ordinary income | $5,116 |
Unrealized depreciation | $(2,927,705) |
Capital loss carryforwards | $(147,079) |
Short-Term | Long-Term | Total |
$139,841 | $7,238 | $147,079 |
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 | $71,659,034 |
Sales | $21,220,000 |
February 22, 2022
Beginning Account Value 7/1/2021 | Ending Account Value 12/31/2021 | Expenses Paid During Period1 | |
Actual | $1,000 | $997.20 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,025.21 | $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. |
1 Year | 5 Years | 10 Years | |
Fund | -0.89% | 2.77% | 2.46% |
BMBS | -1.04% | 2.50% | 2.28% |
Security Type | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 87.3% |
Asset-Backed Securities | 3.5% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 0.9% |
Collateralized Mortgage Obligations | 0.5% |
Non-Agency Mortgage-Backed Securities | 0.2% |
Cash Equivalents2 | 38.5% |
Other Assets and Liabilities—Net3 | (30.9)% |
TOTAL | 100% |
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 including those that are segregated subject to dollar-roll transactions equal to 29.6% of net assets. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—87.3% | |||
Federal Home Loan Mortgage Corporation—19.6% | |||
$ 39,367,314 | 2.000%, 11/1/2036 | $ 40,360,543 | |
12,108,627 | 2.000%, 9/1/2050 | 12,102,623 | |
22,980,827 | 2.000%, 3/1/2051 | 22,955,070 | |
30,402,183 | 2.000%, 4/1/2051 | 30,368,108 | |
12,675,492 | 2.000%, 8/1/2051 | 12,657,324 | |
33,321,182 | 2.000%, 8/1/2051 | 33,273,422 | |
19,853,153 | 2.000%, 11/1/2051 | 19,818,493 | |
1,878,172 | 2.500%, 10/1/2049 | 1,922,116 | |
2,459,997 | 2.500%, 1/1/2051 | 2,512,751 | |
12,738,576 | 2.500%, 8/1/2051 | 13,037,624 | |
15,354,218 | 2.500%, 8/1/2051 | 15,690,679 | |
3,192,415 | 2.500%, 11/1/2051 | 3,263,618 | |
1,912,197 | 3.000%, 4/1/2031 | 2,005,402 | |
1,776,762 | 3.000%, 1/1/2032 | 1,866,364 | |
2,442,195 | 3.000%, 3/1/2032 | 2,569,628 | |
3,092,210 | 3.000%, 3/1/2032 | 3,243,898 | |
2,847,142 | 3.000%, 6/1/2032 | 2,985,918 | |
3,597,110 | 3.000%, 6/1/2032 | 3,778,062 | |
7,050,602 | 3.000%, 11/1/2032 | 7,424,670 | |
1,101,112 | 3.000%, 12/1/2032 | 1,158,086 | |
4,613,341 | 3.000%, 1/1/2033 | 4,854,064 | |
17,613,970 | 3.000%, 2/1/2033 | 18,582,600 | |
2,293,641 | 3.000%, 7/1/2033 | 2,416,189 | |
16,508,561 | 3.000%, 1/1/2043 | 17,467,733 | |
2,054,597 | 3.000%, 11/1/2044 | 2,132,398 | |
569,063 | 3.000%, 6/1/2045 | 597,680 | |
5,319,859 | 3.000%, 10/1/2045 | 5,632,276 | |
720,520 | 3.000%, 5/1/2046 | 762,609 | |
12,477,807 | 3.000%, 6/1/2046 | 13,191,088 | |
5,791,784 | 3.000%, 6/1/2046 | 6,200,692 | |
6,478,687 | 3.000%, 7/1/2046 | 6,875,354 | |
2,109,752 | 3.000%, 9/1/2046 | 2,231,014 | |
5,281,358 | 3.000%, 10/1/2046 | 5,589,863 | |
5,451,202 | 3.000%, 10/1/2046 | 5,752,593 | |
7,479,501 | 3.000%, 10/1/2046 | 7,909,396 | |
4,139,750 | 3.000%, 11/1/2046 | 4,329,823 | |
2,681,854 | 3.000%, 11/1/2046 | 2,835,998 | |
6,113,918 | 3.000%, 12/1/2046 | 6,495,894 | |
7,976,590 | 3.000%, 1/1/2047 | 8,337,842 | |
8,756,363 | 3.000%, 5/1/2047 | 9,245,967 | |
24,266,781 | 3.000%, 7/1/2051 | 25,204,653 | |
4,207,083 | 3.000%, 8/1/2051 | 4,367,708 | |
19,462,244 | 3.000%, 10/1/2051 | 20,207,206 | |
19,734,097 | 3.000%, 11/1/2051 | 20,519,913 | |
205,729 | 3.500%, 6/1/2026 | 216,879 | |
271,422 | 3.500%, 6/1/2026 | 286,131 | |
92,641 | 3.500%, 7/1/2026 | 97,661 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 4,789,065 | 3.500%, 7/1/2042 | $ 5,154,357 | |
4,269,999 | 3.500%, 9/1/2043 | 4,579,687 | |
2,036,509 | 3.500%, 5/1/2046 | 2,166,390 | |
20,253,023 | 3.500%, 7/1/2046 | 21,842,152 | |
13,911,771 | 3.500%, 11/1/2047 | 14,794,665 | |
7,110,198 | 3.500%, 11/1/2047 | 7,546,440 | |
2,407,196 | 3.500%, 12/1/2047 | 2,594,005 | |
13,523,923 | 3.500%, 12/1/2047 | 14,388,330 | |
7,234,917 | 3.500%, 2/1/2048 | 7,680,394 | |
11,402,040 | 3.500%, 2/1/2048 | 12,173,581 | |
2,637,671 | 3.500%, 8/1/2051 | 2,790,025 | |
78,487 | 4.000%, 5/1/2024 | 82,473 | |
577,324 | 4.000%, 8/1/2025 | 606,637 | |
74,413 | 4.000%, 5/1/2026 | 78,192 | |
1,034,624 | 4.000%, 5/1/2026 | 1,087,158 | |
921,472 | 4.000%, 12/1/2040 | 997,265 | |
6,066,542 | 4.000%, 12/1/2041 | 6,568,738 | |
672,334 | 4.000%, 1/1/2042 | 727,991 | |
10,212,273 | 4.000%, 6/1/2047 | 11,099,145 | |
9,606,510 | 4.000%, 10/1/2047 | 10,390,340 | |
3,886,648 | 4.000%, 11/1/2047 | 4,166,183 | |
6,863,927 | 4.000%, 12/1/2047 | 7,414,542 | |
3,519,389 | 4.000%, 2/1/2048 | 3,785,983 | |
9,266,260 | 4.000%, 4/1/2048 | 9,919,676 | |
3,898,716 | 4.000%, 5/1/2048 | 4,168,763 | |
4,107,283 | 4.000%, 6/1/2048 | 4,452,809 | |
57,109 | 4.500%, 7/1/2024 | 59,081 | |
67,705 | 4.500%, 8/1/2024 | 70,044 | |
127,455 | 4.500%, 9/1/2024 | 131,858 | |
63,324 | 4.500%, 9/1/2024 | 65,445 | |
101,701 | 4.500%, 6/1/2025 | 105,620 | |
531,048 | 4.500%, 11/1/2039 | 584,016 | |
1,574,724 | 4.500%, 5/1/2040 | 1,733,454 | |
154,752 | 4.500%, 6/1/2040 | 170,372 | |
227,300 | 4.500%, 7/1/2040 | 250,189 | |
491,533 | 4.500%, 8/1/2040 | 540,805 | |
864,745 | 4.500%, 8/1/2040 | 951,780 | |
2,753,173 | 4.500%, 9/1/2040 | 3,032,478 | |
531,547 | 4.500%, 7/1/2041 | 582,819 | |
400,791 | 4.500%, 7/1/2041 | 440,703 | |
315,732 | 4.500%, 7/1/2041 | 346,187 | |
6,479,951 | 4.500%, 2/1/2048 | 7,098,925 | |
4,437,248 | 4.500%, 5/1/2048 | 4,774,782 | |
2,370,736 | 4.500%, 10/1/2048 | 2,542,925 | |
21,314 | 5.000%, 6/1/2023 | 21,803 | |
45,701 | 5.000%, 7/1/2023 | 46,747 | |
19,806 | 5.000%, 7/1/2023 | 20,260 | |
16,137 | 5.000%, 7/1/2025 | 16,549 | |
990,022 | 5.000%, 1/1/2034 | 1,094,110 | |
338,804 | 5.000%, 5/1/2034 | 374,854 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 1,186 | 5.000%, 11/1/2035 | $ 1,324 | |
381,458 | 5.000%, 4/1/2036 | 425,780 | |
503 | 5.000%, 4/1/2036 | 562 | |
9,191 | 5.000%, 4/1/2036 | 10,242 | |
85,861 | 5.000%, 4/1/2036 | 95,952 | |
76,248 | 5.000%, 5/1/2036 | 85,092 | |
66,121 | 5.000%, 6/1/2036 | 73,799 | |
145,128 | 5.000%, 6/1/2036 | 161,052 | |
379,954 | 5.000%, 12/1/2037 | 423,841 | |
58,938 | 5.000%, 5/1/2038 | 65,800 | |
32,522 | 5.000%, 6/1/2038 | 36,361 | |
66,055 | 5.000%, 9/1/2038 | 73,924 | |
62,869 | 5.000%, 2/1/2039 | 70,426 | |
63,182 | 5.000%, 6/1/2039 | 70,596 | |
1,781,694 | 5.000%, 10/1/2039 | 1,992,683 | |
162,431 | 5.000%, 2/1/2040 | 181,817 | |
295,758 | 5.000%, 8/1/2040 | 331,619 | |
477 | 5.500%, 1/1/2022 | 478 | |
1,869 | 5.500%, 2/1/2022 | 1,872 | |
829,499 | 5.500%, 5/1/2034 | 934,144 | |
42,027 | 5.500%, 3/1/2036 | 48,070 | |
58,369 | 5.500%, 3/1/2036 | 66,530 | |
25,579 | 5.500%, 3/1/2036 | 29,271 | |
98,200 | 5.500%, 3/1/2036 | 111,436 | |
216,136 | 5.500%, 6/1/2036 | 247,221 | |
87,024 | 5.500%, 6/1/2036 | 99,548 | |
46,400 | 5.500%, 6/1/2036 | 52,806 | |
81,840 | 5.500%, 9/1/2037 | 94,143 | |
196,077 | 5.500%, 9/1/2037 | 224,241 | |
105,414 | 5.500%, 12/1/2037 | 121,212 | |
14,339 | 5.500%, 3/1/2038 | 16,443 | |
9,483 | 6.000%, 7/1/2029 | 10,537 | |
23,945 | 6.000%, 2/1/2032 | 27,095 | |
17,705 | 6.000%, 5/1/2036 | 20,468 | |
44,953 | 6.000%, 8/1/2037 | 52,229 | |
226,305 | 6.000%, 9/1/2037 | 262,188 | |
876 | 6.500%, 3/1/2022 | 880 | |
4,594 | 6.500%, 6/1/2029 | 5,185 | |
2,017 | 6.500%, 7/1/2029 | 2,253 | |
159,888 | 6.500%, 11/1/2036 | 189,912 | |
376,357 | 6.500%, 10/1/2037 | 449,348 | |
1,844 | 6.500%, 4/1/2038 | 2,202 | |
1,755 | 6.500%, 4/1/2038 | 2,095 | |
7,487 | 7.000%, 4/1/2032 | 8,650 | |
114,905 | 7.000%, 4/1/2032 | 135,995 | |
47,869 | 7.000%, 9/1/2037 | 58,640 | |
15,218 | 7.500%, 10/1/2029 | 17,378 | |
7,904 | 7.500%, 11/1/2029 | 9,062 | |
10,395 | 7.500%, 4/1/2031 | 11,304 | |
11,775 | 7.500%, 5/1/2031 | 13,767 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 1,995 | 8.000%, 3/1/2030 | $ 2,290 | |
31,775 | 8.000%, 1/1/2031 | 37,098 | |
40,015 | 8.000%, 2/1/2031 | 46,645 | |
14,577 | 8.000%, 3/1/2031 | 16,938 | |
837 | 8.500%, 9/1/2025 | 912 | |
230 | 8.500%, 9/1/2025 | 249 | |
TOTAL | 629,178,955 | ||
Federal National Mortgage Association—35.1% | |||
29,356,043 | 1.500%, 10/1/2036 | 29,487,899 | |
9,308,156 | 2.000%, 9/1/2035 | 9,545,908 | |
2,449,324 | 2.000%, 9/1/2036 | 2,513,875 | |
2,978,679 | 2.000%, 12/1/2036 | 3,053,831 | |
4,784,293 | 2.000%, 9/1/2050 | 4,781,921 | |
5,407,935 | 2.000%, 10/1/2050 | 5,403,564 | |
22,905,905 | 2.000%, 10/1/2050 | 23,009,078 | |
30,004,424 | 2.000%, 11/1/2050 | 29,980,171 | |
28,049,122 | 2.000%, 2/1/2051 | 28,026,449 | |
9,389,540 | 2.000%, 3/1/2051 | 9,379,016 | |
9,592,630 | 2.000%, 3/1/2051 | 9,580,680 | |
32,618,395 | 2.000%, 3/1/2051 | 32,577,759 | |
15,768,463 | 2.000%, 3/1/2051 | 15,748,819 | |
21,020,689 | 2.000%, 3/1/2051 | 20,997,129 | |
13,712,245 | 2.000%, 3/1/2051 | 13,706,518 | |
30,474,911 | 2.000%, 4/1/2051 | 30,440,755 | |
9,686,948 | 2.000%, 4/1/2051 | 9,674,880 | |
9,377,559 | 2.000%, 4/1/2051 | 9,386,096 | |
4,792,047 | 2.000%, 4/1/2051 | 4,798,656 | |
14,303,762 | 2.000%, 4/1/2051 | 14,310,080 | |
26,611,049 | 2.000%, 4/1/2051 | 26,689,331 | |
5,708,901 | 2.000%, 5/1/2051 | 5,723,911 | |
4,188,601 | 2.000%, 5/1/2051 | 4,199,614 | |
57,032,399 | 2.000%, 5/1/2051 | 56,968,477 | |
22,127,838 | 2.000%, 6/1/2051 | 22,156,629 | |
12,672,691 | 2.000%, 8/1/2051 | 12,654,527 | |
20,252,149 | 2.000%, 8/1/2051 | 20,262,044 | |
26,797,057 | 2.000%, 8/1/2051 | 26,758,648 | |
20,579,941 | 2.000%, 8/1/2051 | 20,643,054 | |
2,207,355 | 2.500%, 2/1/2028 | 2,287,547 | |
12,124,508 | 2.500%, 11/1/2049 | 12,415,770 | |
2,909,778 | 2.500%, 12/1/2049 | 2,974,223 | |
14,315,841 | 2.500%, 7/1/2050 | 14,642,074 | |
8,445,497 | 2.500%, 1/1/2051 | 8,721,618 | |
26,968,571 | 2.500%, 7/1/2051 | 27,770,234 | |
28,807,318 | 2.500%, 8/1/2051 | 29,433,180 | |
19,755,907 | 2.500%, 8/1/2051 | 20,185,120 | |
5,210,432 | 2.500%, 8/1/2051 | 5,322,981 | |
25,949,703 | 2.500%, 9/1/2051 | 26,539,431 | |
55,152,200 | 2.500%, 9/1/2051 | 56,343,532 | |
1,440,097 | 3.000%, 2/1/2032 | 1,511,146 | |
3,182,604 | 3.000%, 8/1/2043 | 3,349,616 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 1,784,789 | 3.000%, 9/1/2043 | $ 1,878,448 | |
7,646,465 | 3.000%, 8/1/2046 | 8,074,009 | |
3,388,377 | 3.000%, 9/1/2046 | 3,586,305 | |
3,233,858 | 3.000%, 10/1/2046 | 3,382,337 | |
1,625,345 | 3.000%, 10/1/2046 | 1,718,764 | |
3,462,036 | 3.000%, 11/1/2046 | 3,620,992 | |
2,741,370 | 3.000%, 11/1/2046 | 2,898,934 | |
3,740,101 | 3.000%, 11/1/2046 | 3,941,044 | |
906,668 | 3.000%, 1/1/2047 | 947,731 | |
28,683,601 | 3.000%, 1/1/2047 | 29,982,652 | |
897,392 | 3.000%, 2/1/2047 | 953,458 | |
5,233,159 | 3.000%, 3/1/2047 | 5,473,434 | |
10,150,507 | 3.000%, 3/1/2047 | 10,711,718 | |
1,210,372 | 3.000%, 4/1/2047 | 1,279,184 | |
6,685,552 | 3.000%, 12/1/2047 | 7,059,368 | |
10,611,781 | 3.000%, 12/1/2047 | 11,231,657 | |
4,051,483 | 3.000%, 2/1/2048 | 4,271,054 | |
1,099,964 | 3.000%, 2/1/2048 | 1,159,577 | |
3,208,053 | 3.000%, 11/1/2049 | 3,352,140 | |
1,263,868 | 3.000%, 11/1/2049 | 1,309,258 | |
12,612,899 | 3.000%, 12/1/2049 | 13,070,805 | |
18,699,805 | 3.000%, 12/1/2049 | 19,371,390 | |
24,443,121 | 3.000%, 8/1/2051 | 25,418,362 | |
19,517,548 | 3.000%, 11/1/2051 | 20,288,642 | |
117,594 | 3.500%, 11/1/2025 | 123,967 | |
182,027 | 3.500%, 11/1/2025 | 191,892 | |
213,754 | 3.500%, 12/1/2025 | 225,338 | |
217,091 | 3.500%, 1/1/2026 | 228,856 | |
58,028 | 3.500%, 1/1/2026 | 61,173 | |
18,170,010 | 3.500%, 4/1/2033 | 19,336,437 | |
8,059,395 | 3.500%, 9/1/2042 | 8,691,765 | |
12,920,794 | 3.500%, 7/1/2045 | 13,922,495 | |
5,325,409 | 3.500%, 8/1/2046 | 5,694,917 | |
5,755,067 | 3.500%, 8/1/2046 | 6,120,305 | |
9,190,804 | 3.500%, 9/1/2046 | 9,792,469 | |
6,100,646 | 3.500%, 11/1/2046 | 6,590,765 | |
5,566,539 | 3.500%, 2/1/2047 | 6,013,748 | |
8,954,822 | 3.500%, 11/1/2047 | 9,504,240 | |
9,238,188 | 3.500%, 12/1/2047 | 9,808,600 | |
4,580,873 | 3.500%, 4/1/2048 | 4,840,457 | |
6,263,712 | 3.500%, 2/1/2051 | 6,599,572 | |
163,991 | 4.000%, 12/1/2025 | 172,318 | |
189,889 | 4.000%, 7/1/2026 | 199,531 | |
1,320,421 | 4.000%, 2/1/2041 | 1,430,195 | |
3,445,799 | 4.000%, 12/1/2041 | 3,732,255 | |
1,572,218 | 4.000%, 3/1/2042 | 1,709,246 | |
2,649,471 | 4.000%, 4/1/2042 | 2,868,798 | |
1,069,097 | 4.000%, 3/1/2046 | 1,154,926 | |
1,653,155 | 4.000%, 7/1/2046 | 1,792,588 | |
1,859,490 | 4.000%, 9/1/2046 | 2,017,198 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 2,665,711 | 4.000%, 11/1/2046 | $ 2,891,171 | |
12,131,960 | 4.000%, 6/1/2047 | 13,185,544 | |
3,929,153 | 4.000%, 10/1/2047 | 4,234,276 | |
6,274,424 | 4.000%, 10/1/2047 | 6,728,339 | |
4,224,053 | 4.000%, 11/1/2047 | 4,545,740 | |
5,341,841 | 4.000%, 12/1/2047 | 5,794,228 | |
3,876,643 | 4.000%, 1/1/2048 | 4,230,932 | |
5,098,866 | 4.000%, 2/1/2048 | 5,462,398 | |
4,773,263 | 4.000%, 2/1/2048 | 5,115,073 | |
9,490,725 | 4.000%, 2/1/2048 | 10,168,867 | |
1,894,652 | 4.000%, 2/1/2048 | 2,053,892 | |
4,209,149 | 4.000%, 2/1/2048 | 4,527,992 | |
2,408,756 | 4.000%, 3/1/2048 | 2,624,151 | |
1,637,885 | 4.000%, 3/1/2048 | 1,768,276 | |
4,271,619 | 4.000%, 5/1/2048 | 4,567,495 | |
1,129,443 | 4.000%, 6/1/2048 | 1,206,263 | |
4,797,033 | 4.000%, 6/1/2048 | 5,126,305 | |
2,245,217 | 4.000%, 7/1/2048 | 2,392,138 | |
114,200 | 4.500%, 2/1/2039 | 125,362 | |
576,685 | 4.500%, 5/1/2040 | 634,789 | |
1,536,942 | 4.500%, 10/1/2040 | 1,685,193 | |
189,135 | 4.500%, 11/1/2040 | 207,379 | |
1,964,508 | 4.500%, 4/1/2041 | 2,154,003 | |
951,651 | 4.500%, 6/1/2041 | 1,043,446 | |
111,701 | 5.000%, 5/1/2023 | 114,106 | |
19,012 | 5.000%, 8/1/2023 | 19,447 | |
158,428 | 5.000%, 11/1/2023 | 163,275 | |
1,297,418 | 5.000%, 2/1/2036 | 1,447,176 | |
717,702 | 5.000%, 7/1/2040 | 803,970 | |
833,036 | 5.000%, 10/1/2041 | 934,838 | |
27,327 | 5.500%, 1/1/2032 | 30,593 | |
19,954 | 5.500%, 1/1/2032 | 22,352 | |
291,249 | 5.500%, 9/1/2034 | 329,608 | |
844,452 | 5.500%, 12/1/2034 | 956,106 | |
24,568 | 5.500%, 4/1/2035 | 27,742 | |
343,964 | 5.500%, 11/1/2035 | 391,416 | |
175,165 | 5.500%, 1/1/2036 | 199,461 | |
65,684 | 5.500%, 3/1/2036 | 74,785 | |
312,663 | 5.500%, 4/1/2036 | 355,596 | |
441,021 | 5.500%, 4/1/2036 | 502,142 | |
200,952 | 5.500%, 5/1/2036 | 230,079 | |
93,043 | 5.500%, 9/1/2036 | 106,018 | |
297,022 | 5.500%, 8/1/2037 | 338,685 | |
143,227 | 5.500%, 7/1/2038 | 164,807 | |
564,681 | 5.500%, 4/1/2041 | 636,710 | |
7,887 | 6.000%, 1/1/2029 | 8,698 | |
10,531 | 6.000%, 2/1/2029 | 11,614 | |
3,047 | 6.000%, 2/1/2029 | 3,341 | |
3,985 | 6.000%, 4/1/2029 | 4,437 | |
11,359 | 6.000%, 5/1/2029 | 12,640 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 6,029 | 6.000%, 5/1/2029 | $ 6,661 | |
461,121 | 6.000%, 7/1/2034 | 530,121 | |
246,825 | 6.000%, 11/1/2034 | 283,209 | |
103,459 | 6.000%, 7/1/2036 | 120,049 | |
29,799 | 6.000%, 7/1/2036 | 34,550 | |
115,559 | 6.000%, 10/1/2037 | 134,532 | |
97,104 | 6.000%, 6/1/2038 | 112,541 | |
625,002 | 6.000%, 7/1/2038 | 728,123 | |
48,276 | 6.000%, 9/1/2038 | 56,255 | |
39,170 | 6.000%, 10/1/2038 | 45,549 | |
300,779 | 6.000%, 2/1/2039 | 349,861 | |
19,928 | 6.500%, 9/1/2028 | 21,768 | |
2,790 | 6.500%, 8/1/2029 | 3,131 | |
4,629 | 6.500%, 6/1/2031 | 5,315 | |
12,783 | 6.500%, 6/1/2031 | 14,574 | |
1,903 | 6.500%, 6/1/2031 | 2,173 | |
2,466 | 6.500%, 6/1/2031 | 2,717 | |
2,693 | 6.500%, 1/1/2032 | 3,094 | |
39,786 | 6.500%, 3/1/2032 | 45,937 | |
136,424 | 6.500%, 4/1/2032 | 157,200 | |
28,138 | 6.500%, 5/1/2032 | 32,649 | |
176,451 | 6.500%, 7/1/2036 | 209,169 | |
6,174 | 6.500%, 8/1/2036 | 7,319 | |
13,368 | 6.500%, 9/1/2036 | 15,949 | |
37,878 | 6.500%, 12/1/2036 | 44,709 | |
86,220 | 6.500%, 9/1/2037 | 103,176 | |
2,223 | 6.500%, 12/1/2037 | 2,663 | |
65,917 | 6.500%, 10/1/2038 | 78,863 | |
209 | 7.000%, 7/1/2023 | 217 | |
3,806 | 7.000%, 2/1/2024 | 3,907 | |
358 | 7.000%, 5/1/2024 | 378 | |
1,271 | 7.000%, 7/1/2024 | 1,353 | |
816 | 7.000%, 7/1/2025 | 884 | |
9,621 | 7.000%, 9/1/2031 | 11,174 | |
5,403 | 7.000%, 9/1/2031 | 6,367 | |
82,800 | 7.000%, 11/1/2031 | 97,759 | |
5,826 | 7.000%, 12/1/2031 | 6,871 | |
42,048 | 7.000%, 1/1/2032 | 45,905 | |
25,507 | 7.000%, 2/1/2032 | 30,026 | |
26,324 | 7.000%, 3/1/2032 | 31,082 | |
52,109 | 7.000%, 3/1/2032 | 59,362 | |
5,089 | 7.000%, 4/1/2032 | 6,022 | |
18,572 | 7.000%, 4/1/2032 | 21,626 | |
108,997 | 7.000%, 4/1/2032 | 129,178 | |
12,415 | 7.000%, 6/1/2032 | 14,724 | |
206,557 | 7.000%, 6/1/2037 | 252,836 | |
827 | 7.500%, 1/1/2030 | 953 | |
7,535 | 7.500%, 9/1/2030 | 8,713 | |
6,186 | 7.500%, 5/1/2031 | 7,206 | |
2,533 | 7.500%, 6/1/2031 | 2,957 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 29,254 | 7.500%, 8/1/2031 | $ 34,187 | |
37,007 | 7.500%, 1/1/2032 | 42,134 | |
3,083 | 7.500%, 6/1/2033 | 3,500 | |
20 | 8.000%, 7/1/2023 | 20 | |
3,053 | 8.000%, 10/1/2026 | 3,340 | |
1,602 | 8.000%, 11/1/2029 | 1,839 | |
210 | 9.000%, 6/1/2025 | 228 | |
TOTAL | 1,126,100,604 | ||
Government National Mortgage Association—1.7% | |||
7,794,593 | 3.000%, 1/20/2047 | 8,148,331 | |
917,738 | 3.500%, 8/15/2043 | 983,163 | |
555,866 | 3.500%, 8/15/2043 | 595,493 | |
10,429,542 | 3.500%, 3/20/2047 | 11,124,443 | |
13,008,719 | 3.500%, 11/20/2047 | 13,860,221 | |
815,855 | 4.000%, 9/15/2040 | 884,307 | |
2,171,394 | 4.000%, 10/15/2040 | 2,350,922 | |
998,748 | 4.000%, 1/15/2041 | 1,082,367 | |
1,339,100 | 4.000%, 10/15/2041 | 1,451,914 | |
4,454,364 | 4.000%, 6/15/2048 | 4,797,700 | |
239,419 | 4.500%, 1/15/2039 | 263,696 | |
147,589 | 4.500%, 6/15/2039 | 163,239 | |
607,083 | 4.500%, 10/15/2039 | 671,554 | |
227,251 | 4.500%, 1/15/2040 | 251,349 | |
127,879 | 4.500%, 6/15/2040 | 141,558 | |
124,595 | 4.500%, 9/15/2040 | 138,223 | |
156,646 | 4.500%, 2/15/2041 | 174,146 | |
676,163 | 4.500%, 3/15/2041 | 748,592 | |
66,647 | 4.500%, 5/15/2041 | 74,093 | |
2,213,802 | 4.500%, 6/20/2041 | 2,433,460 | |
410,868 | 4.500%, 9/15/2041 | 456,767 | |
370,479 | 4.500%, 10/15/2043 | 413,488 | |
138,676 | 4.500%, 11/15/2043 | 154,341 | |
353,313 | 5.000%, 1/15/2039 | 396,030 | |
311,584 | 5.000%, 5/15/2039 | 349,627 | |
421,128 | 5.000%, 8/20/2039 | 467,225 | |
139,664 | 5.500%, 12/15/2038 | 157,831 | |
100,282 | 5.500%, 12/20/2038 | 113,562 | |
192,649 | 5.500%, 1/15/2039 | 218,543 | |
203,816 | 5.500%, 2/15/2039 | 231,073 | |
6,594 | 6.000%, 10/15/2028 | 7,227 | |
4,881 | 6.000%, 3/15/2029 | 5,402 | |
76,307 | 6.000%, 2/15/2036 | 87,135 | |
98,157 | 6.000%, 4/15/2036 | 112,303 | |
100,298 | 6.000%, 6/15/2037 | 114,928 | |
10,431 | 6.500%, 10/15/2028 | 11,611 | |
4,827 | 6.500%, 10/15/2028 | 5,168 | |
6,006 | 6.500%, 11/15/2028 | 6,635 | |
7,562 | 6.500%, 12/15/2028 | 8,338 | |
2,831 | 6.500%, 2/15/2029 | 3,145 | |
10,960 | 6.500%, 3/15/2029 | 12,118 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$ 23,370 | 6.500%, 9/15/2031 | $ 26,445 | |
53,816 | 6.500%, 2/15/2032 | 61,134 | |
9,903 | 7.000%, 11/15/2027 | 10,880 | |
6,435 | 7.000%, 6/15/2028 | 7,122 | |
11,472 | 7.000%, 11/15/2028 | 12,697 | |
7,067 | 7.000%, 1/15/2029 | 7,888 | |
6,800 | 7.000%, 5/15/2029 | 7,661 | |
1,279 | 7.000%, 10/15/2029 | 1,418 | |
19,714 | 7.000%, 5/15/2030 | 22,210 | |
13,610 | 7.000%, 11/15/2030 | 15,469 | |
9,762 | 7.000%, 12/15/2030 | 10,935 | |
13,070 | 7.000%, 8/15/2031 | 14,866 | |
45,750 | 7.000%, 10/15/2031 | 52,391 | |
10,206 | 7.000%, 12/15/2031 | 11,753 | |
9,619 | 7.500%, 8/15/2029 | 10,854 | |
37,706 | 7.500%, 10/15/2029 | 42,860 | |
2,990 | 7.500%, 10/15/2030 | 3,411 | |
6,460 | 7.500%, 1/15/2031 | 7,471 | |
751 | 8.000%, 8/15/2029 | 861 | |
2,301 | 8.000%, 10/15/2029 | 2,639 | |
8,259 | 8.000%, 11/15/2029 | 9,481 | |
7,926 | 8.000%, 1/15/2030 | 9,006 | |
3,054 | 8.000%, 10/15/2030 | 3,498 | |
68,702 | 8.000%, 11/15/2030 | 79,458 | |
3,445 | 8.500%, 5/15/2029 | 3,965 | |
TOTAL | 54,107,641 | ||
1 | Uniform Mortgage-Backed Securities, TBA—30.9% | ||
35,000,000 | 1.500%, 1/1/2037 | 35,136,447 | |
141,000,000 | 2.000%, 1/1/2037 | 144,506,303 | |
125,000,000 | 2.000%, 1/1/2052 | 124,699,225 | |
479,500,000 | 2.500%, 1/1/2052 | 489,614,669 | |
188,000,000 | 3.000%, 1/1/2052 | 194,837,034 | |
TOTAL | 988,793,678 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $2,755,259,798) | 2,798,180,878 | ||
ASSET-BACKED SECURITIES—3.5% | |||
Auto Receivables—0.7% | |||
11,095,000 | Santander Drive Auto Receivables Trust 2020-2, Class D, 2.220%, 9/15/2026 | 11,263,989 | |
10,025,000 | Tesla Auto Lease Trust 2020-A, Class A3, 0.680%, 12/20/2023 | 10,041,499 | |
TOTAL | 21,305,488 | ||
Credit Card—1.1% | |||
22,500,000 | 2 | Discover Card Execution Note Trust 2017-A7, Class A7, 0.470% (1-month USLIBOR +0.360%), 4/15/2025 | 22,568,366 |
12,340,000 | 2 | Discover Card Execution Note Trust 2018-A2, Class A2, 0.440% (1-month USLIBOR +0.330%), 8/15/2025 | 12,386,649 |
TOTAL | 34,955,015 | ||
Student Loans—1.7% | |||
5,847,017 | Navient Student Loan Trust 2020-FA, Class A, 1.220%, 7/15/2069 | 5,843,881 | |
12,237,883 | Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 | 12,203,402 | |
10,437,304 | Navient Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 | 10,426,828 | |
12,247,354 | 2 | SMB Private Education Loan Trust 2018-A, Class A2B, 0.909% (1-month USLIBOR +0.800%), 2/15/2036 | 12,334,553 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Student Loans—continued | |||
$ 14,790,479 | 2 | SMB Private Education Loan Trust 2020-BA, Class A1B, 1.210% (1-month USLIBOR +1.100%), 7/15/2053 | $ 14,939,053 |
TOTAL | 55,747,717 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $111,445,988) | 112,008,220 | ||
COMMERCIAL MORTGAGE-BACKED SECURITY—0.9% | |||
Agency Commercial Mortgage-Backed Securities—0.9% | |||
26,739,659 | 2 | FHLMC REMIC, Series KF90, Class AS, 0.430% (Secured Overnight Financing Rate +0.380%), 9/25/2030 (IDENTIFIED COST $26,739,658) | 26,814,246 |
COLLATERALIZED MORTGAGE OBLIGATIONS—0.7% | |||
Federal Home Loan Mortgage Corporation—0.4% | |||
12,158,797 | 2 | REMIC, Series 3284, Class AF, 0.419% (1-month USLIBOR +0.310%), 3/15/2037 | 12,183,869 |
Government National Mortgage Association—0.1% | |||
3,330,155 | 2 | REMIC, Series 2005-71, Class FA, 0.231% (1-month USLIBOR +0.140%), 9/16/2035 | 3,332,708 |
Non-Agency Mortgage-Backed Securities—0.2% | |||
519,506 | Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 | 402,381 | |
278,282 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 100,979 | |
73,366 | Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 2.834%, 8/25/2035 | 76,729 | |
2,111,879 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | 2,108,513 | |
4,119,473 | Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 | 4,125,743 | |
TOTAL | 6,814,345 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $22,649,117) | 22,330,922 | ||
INVESTMENT COMPANY—38.5% | |||
1,233,856,835 | 3 | Federated Hermes Government Obligations Fund, Premier Shares, 0.03%4 (IDENTIFIED COST $1,233,856,835) | 1,233,856,835 |
TOTAL INVESTMENT IN SECURITIES—130.9% (IDENTIFIED COST $4,149,951,396)5 | 4,193,191,101 | ||
OTHER ASSETS AND LIABILITIES - NET—(30.9)%6 | (988,732,129) | ||
TOTAL NET ASSETS—100% | $3,204,458,972 |
Federated Hermes Government Obligations Fund, Premier Shares | |
Value as of 12/31/2020 | $204,435,825 |
Purchases at Cost | $2,349,363,396 |
Proceeds from Sales | $(1,319,942,386) |
Change in Unrealized Appreciation/Depreciation | N/A |
Net Realized Gain/(Loss) | N/A |
Value as of 12/31/2021 | $1,233,856,835 |
Shares Held as of 12/31/2021 | 1,233,856,835 |
Dividend Income | $194,832 |
1 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | All or a portion of these securities are segregated pending settlement of dollar-roll transactions. |
4 | 7-day net yield. |
5 | The cost of investments for federal tax purposes amounts to $4,162,155,234. |
6 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. A significant portion of this balance is the result of dollar-roll transactions as of December 31, 2021. |
The following is a summary of the inputs used, as of December 31, 2021, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Mortgage-Backed Securities | $— | $2,798,180,878 | $— | $2,798,180,878 |
Asset-Backed Securities | — | 112,008,220 | — | 112,008,220 |
Commercial Mortgage-Backed Security | — | 26,814,246 | — | 26,814,246 |
Collateralized Mortgage Obligations | — | 22,330,922 | — | 22,330,922 |
Investment Company | 1,233,856,835 | — | — | 1,233,856,835 |
TOTAL SECURITIES | $1,233,856,835 | $2,959,334,266 | $— | $4,193,191,101 |
The following acronym(s) are used throughout this portfolio: | ||
FHLMC | —Federal Home Loan Mortgage Corporation | |
LIBOR | —London Interbank Offered Rate | |
REMIC | —Real Estate Mortgage Investment Conduit |
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $10.07 | $9.88 | $9.60 | $9.80 | $9.81 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.17 | 0.24 | 0.32 | 0.30 | 0.27 |
Net realized and unrealized gain (loss) | (0.26) | 0.22 | 0.28 | (0.20) | 0.002 |
TOTAL FROM INVESTMENT OPERATIONS | (0.09) | 0.46 | 0.60 | 0.10 | 0.27 |
Less Distributions: | |||||
Distributions from net investment income | (0.22) | (0.27) | (0.32) | (0.30) | (0.28) |
Net Asset Value, End of Period | $9.76 | $10.07 | $9.88 | $9.60 | $9.80 |
Total Return3 | (0.89)% | 4.70% | 6.33% | 1.10% | 2.75% |
Ratios to Average Net Assets: | |||||
Net expenses4 | 0.02% | 0.02% | 0.03% | 0.03% | 0.03% |
Net investment income | 1.72% | 2.42% | 3.25% | 3.18% | 2.71% |
Expense waiver/reimbursement5 | —% | —% | —% | —% | 0.00%6 |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $3,204,459 | $2,143,118 | $2,528,865 | $2,815,951 | $1,787,418 |
Portfolio turnover7 | 351% | 257% | 130% | 109% | 88% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions)7 | 65% | 72% | 100% | 109% | 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 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
6 | Represents less than 0.01%. |
7 | Securities that mature are considered sales for purposes of this calculation. |
December 31, 2021
Assets: | |
Investment in securities, at value including $1,233,856,835 of investments in an affiliated holding* (identified cost $4,149,951,396) | $4,193,191,101 |
Cash | 60 |
Due from broker (Note 2) | 840,003 |
Income receivable | 4,910,992 |
Income receivable from an affiliated holding | 25,006 |
Total Assets | 4,198,967,162 |
Liabilities: | |
Payable for investments purchased | 989,090,906 |
Income distribution payable | 5,266,477 |
Accrued expenses (Note 5) | 150,807 |
Total Liabilities | 994,508,190 |
Net assets for 328,180,298 shares outstanding | $3,204,458,972 |
Net Assets Consist of: | |
Paid-in capital | $3,210,203,267 |
Total distributable earnings (loss) | (5,744,295) |
Total Net Assets | $3,204,458,972 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$3,204,458,972 ÷ 328,180,298 shares outstanding, no par value, unlimited shares authorized | $9.76 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31, 2021
Investment Income: | |
Interest | $44,181,019 |
Dividends received from an affiliated holding* | 194,832 |
TOTAL INCOME | 44,375,851 |
Expenses: | |
Administrative fee (Note 5) | 7,752 |
Custodian fees | 104,580 |
Transfer agent fees | 156,615 |
Directors’/Trustees’ fees (Note 5) | 13,269 |
Auditing fees | 31,900 |
Legal fees | 10,585 |
Portfolio accounting fees | 248,756 |
Share registration costs | 2,473 |
Printing and postage | 18,726 |
Miscellaneous (Note 5) | 31,129 |
TOTAL EXPENSES | 625,785 |
Net investment income | 43,750,066 |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net realized loss on investments | (7,311,144) |
Net realized loss on futures contracts | (2,583,451) |
Net change in unrealized appreciation of investments | (58,278,254) |
Net realized and unrealized gain (loss) on investments and futures contracts | (68,172,849) |
Change in net assets resulting from operations | $(24,422,783) |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2021 | 2020 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $43,750,066 | $62,927,831 |
Net realized gain (loss) | (9,894,595) | 39,055,732 |
Net change in unrealized appreciation/depreciation | (58,278,254) | 21,837,682 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (24,422,783) | 123,821,245 |
Distributions to Shareholders | (56,034,731) | (70,234,363) |
Share Transactions: | ||
Proceeds from sale of shares | 1,365,048,740 | 1,127,424,951 |
Net asset value of shares issued to shareholders in payment of distributions declared | 8,562,706 | 9,568,350 |
Cost of shares redeemed | (231,813,060) | (1,576,326,869) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 1,141,798,386 | (439,333,568) |
Change in net assets | 1,061,340,872 | (385,746,686) |
Net Assets: | ||
Beginning of period | 2,143,118,100 | 2,528,864,786 |
End of period | $3,204,458,972 | $2,143,118,100 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(2,583,451) |
Year Ended 12/31/2021 | Year Ended 12/31/2020 | |
Shares sold | 137,902,805 | 112,591,117 |
Shares issued to shareholders in payment of distributions declared | 864,504 | 949,096 |
Shares redeemed | (23,434,485) | (156,643,675) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 115,332,824 | (43,103,462) |
2021 | 2020 | |
Ordinary income | $56,034,731 | $70,234,363 |
Undistributed ordinary income | $265,923 |
Net unrealized appreciation | $31,035,867 |
Capital loss carryforwards and deferrals | $(37,046,085) |
Short-Term | Long-Term | Total |
$23,356,191 | $13,689,894 | $37,046,085 |
Purchases | $— |
Sales | $186,055,981 |
February 22, 2022
Beginning Account Value 7/1/2021 | Ending Account Value 12/31/2021 | Expenses Paid During Period1 | |
Actual | $1,000 | $997.10 | $0.10 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,025.10 | $0.10 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 0.02%, 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 Hermes, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
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, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, 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, Chair of the Audit Committee, Equifax, Inc.; Lead Director, Member of the Audit and Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of Governance and Compensation Committees, Publix Super Markets, 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 Emerita 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; 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; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; and Director, Saint Francis University. |
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. 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); Director, The Golisano Children’s Museum of Naples, Florida; and Director, Midway Pacific (lumber). |
Madelyn A. Reilly Birth Date: February 2, 1956 Trustee Indefinite Term Began serving: November 2020 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal Affairs, General Counsel and Secretary to the Board of Directors, Duquesne University. Other Directorships Held: None. Qualifications: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary to the Board of Directors and Assistant General Counsel and Director of Risk Management, Duquesne University. Prior to her work at Duquesne University, Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, Health and Safety, PPG Industries. |
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, CONSOL Energy Inc. (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.). 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, CONSOL Energy Inc. and CNX Gas Company; 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 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 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, Inc. 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 Hermes, Inc. 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, Inc., 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, Inc. 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. |
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 |
(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: 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 2021 – $143,100
Fiscal year ended 2020 - $143,100
(b) Audit-Related Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2021 - $0
Fiscal year ended 2020 - $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 2021 - $0
Fiscal year ended 2020 - $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 2021 - $0
Fiscal year ended 2020 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $76,302 and $53,434 respectively. Fiscal year ended 2021- Service fees for analysis of potential Passive Foreign Investment Company holdings. Fiscal year ended 2020- Service fees for analysis of potential Passive Foreign Investment Company holdings.
(e)(1) Audit Committee Policies regarding Pre-approval of Services.
The Audit Committee is required to pre-approve audit and non-audit services performed by the independent auditor in order to assure that the provision of such services do not impair the auditor’s independence. 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 to management its responsibilities to pre-approve services performed by the independent auditor.
The Audit Committee has delegated pre-approval authority to its chairman (the “Chairman”) for services that do not exceed a specified dollar threshold. The Chairman or Chief Audit Executive will report any such pre-approval 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 will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope, registered investment company (RIC) structure or other matters.
In addition to the annual audit services engagement specifically approved by the Audit Committee, the Audit Committee may grant general pre-approval for other audit services, which are those services that only the independent auditor reasonably can provide. The Audit Committee has pre-approved certain audit services; with limited exception, all other audit services must be specifically pre-approved by the Audit Committee.
AUDIT-RELATED SERVICES
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the RIC’s financial statements or that are traditionally performed by the independent auditor. The Audit Committee believes that the provision of audit-related services does not impair the independence of the auditor, and has pre-approved certain audit-related services; all other audit-related services must be specifically pre-approved by the Audit Committee.
TAX SERVICES
The Audit Committee believes that the independent auditor can provide tax services to the RIC such as tax compliance, tax planning and tax advice without impairing the auditor’s independence. However, the Audit Committee will not permit the retention of the independent auditor in connection with a transaction initially recommended by the independent auditor, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has pre-approved certain tax services; with limited exception, 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 permissible services other than audit, review or attest services the pre-approval requirement is waived if:
(1) | With respect to such services rendered to the Funds, the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues paid by the audit client to its accountant during the fiscal year in which the services are provided; and, |
(2) | With respect to such services rendered to the Fund’s investment adviser ( the “Adviser”)and any entity controlling, controlled by to under common control with the Adviser such as affiliated non-U.S. and U.S. funds not under the Audit Committee’s purview and which do not fall within a category of service which has been determined by the Audit Committee not to have a direct impact on the operations or financial reporting of the RIC, the aggregate amount of all services provided constitutes no more than five percent of the total amount of revenues paid to the RIC’s auditor by the RIC, its Adviser and any entity controlling, controlled by, or under common control with the Adviser during the fiscal year in which the services are provided; and |
(3) | Such services were not recognized by the issuer or RIC at the time of the engagement to be non-audit services; and |
(4) | Such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee who are members of the Board of Directors to whom authority to grant such approvals has been delegated by the Audit Committee. |
The Audit Committee may grant general pre-approval to those permissible non-audit services which qualify for pre-approval and which it believes are routine and recurring services, and would not impair the independence of the auditor.
The Securities and Exchange Commission’s (the “SEC”) rules and relevant guidance should be consulted to determine the precise definitions of these services and applicability of exceptions to certain of the prohibitions.
PRE-APPROVAL FEE LEVELS
Pre-approval fee levels for all services to be provided by the independent auditor will be established annually by the Audit Committee. Any proposed services exceeding these levels will require specific pre-approval by the Audit Committee.
PROCEDURES
Requests or applications to provide services that require specific approval by the Audit Committee will be submitted to the Audit Committee by the Fund’s Principal Accounting Officer and/or the Chief Audit Executive of Federated Hermes, Inc., only after those individuals have determined that the request or application is consistent with the SEC’s rules on auditor independence.
(e)(2) Percentage of services identified in items 4(b) through 4(d) that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:
4(b)
Fiscal year ended 2021 – 0%
Fiscal year ended 2020 - 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(c)
Fiscal year ended 2021 – 0%
Fiscal year ended 2020 – 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(d)
Fiscal year ended 2021 – 0%
Fiscal year ended 2020 – 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
(f) | NA |
(g) | Non-Audit Fees billed to the registrant, the registrant’s Adviser, and certain entities controlling, controlled by or under common control with the Adviser: |
Fiscal year ended 2021 - $113,741
Fiscal year ended 2020 - $78,663
(h) | The registrant’s Audit Committee has considered that the provision of non-audit services that were rendered to the registrant’s Adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the 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 February 22, 2022
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 February 22, 2022
By /S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
Date February 22, 2022