United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-21822
(Investment Company Act File Number)
Federated Hermes Managed Pool Series
______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 11/30/23
Date of Reporting Period: Six months ended 05/31/23
Item 1. | Reports to Stockholders |
Ticker FIBPX |
Federated Hermes International Bond Strategy Portfolio
A Portfolio of Federated Hermes Managed Pool Series
Country | Country Exposure as a Percentage of Total Net Assets2,3 | Currency Exposure as a Percentage of Total Net Assets3,4 |
France | 7.5% | — |
Japan | 7.5% | 22.1% |
Mexico | 7.1% | (0.1)% |
United Kingdom | 7.1% | 4.9% |
Turkey | 5.7% | — |
Germany | 5.4% | — |
Brazil | 4.9% | 0.6% |
Colombia | 4.6% | — |
Italy | 4.1% | — |
Spain | 4.1% | — |
Argentina | 2.6% | — |
Canada | 2.4% | 1.0% |
Oman | 2.2% | — |
Belgium | 2.1% | — |
Dominican Republic | 2.1% | — |
South Africa | 2.1% | — |
Bahrain | 1.7% | — |
India | 1.5% | — |
Netherlands | 1.5% | — |
China | 1.4% | 0.3% |
Australia | 1.1% | 3.4% |
Nigeria | 1.1% | — |
Chile | 1.0% | 0.1% |
Peru | 1.0% | — |
United States | 0.1% | 31.9% |
Other5 | 11.4% | 0.7% |
Euro | — | 24.3% |
New Zealand | — | 4.1% |
SUB-TOTAL | 93.3% | 93.3% |
Cash Equivalents6 | 7.1% | 7.1% |
Derivative Contracts7 | (0.7)% | (0.7)% |
Other Assets and Liabilities—Net8 | 0.3% | 0.3% |
TOTAL | 100% | 100% |
Foreign Currency Par Amount, Principal Amount or Shares | Value in U.S. Dollars | ||
BONDS—43.4% | |||
AUSTRALIAN DOLLAR—1.1% | |||
Sovereign—1.1% | |||
$200,000 | Australia, Government of, Series 137, 2.750%, 4/21/2024 | $128,874 | |
130,000 | Australia, Government of, Sr. Unsecd. Note, Series 148, 2.750%, 11/21/2027 | 82,386 | |
130,000 | Australia, Government of, Sr. Unsecd. Note, Series 160, 1.000%, 12/21/2030 | 70,450 | |
TOTAL | 281,710 | ||
BRITISH POUND—7.1% | |||
Sovereign—7.1% | |||
190,000 | United Kingdom, Government of, 3.250%, 1/22/2044 | 196,391 | |
660,000 | United Kingdom, Government of, 4.250%, 12/7/2027 | 822,082 | |
190,000 | United Kingdom, Government of, Bond, 4.250%, 3/7/2036 | 235,297 | |
250,000 | United Kingdom, Government of, Unsecd. Deb., 1.625%, 10/22/2028 | 274,248 | |
180,000 | United Kingdom, Government of, Unsecd. Note, 1.500%, 7/22/2047 | 125,345 | |
180,000 | United Kingdom, Government of, Unsecd. Note, 4.250%, 6/7/2032 | 226,867 | |
TOTAL | 1,880,230 | ||
CANADIAN DOLLAR—2.4% | |||
Sovereign—2.4% | |||
300,000 | Canada, Government of, Unsecd. Note, 2.250%, 6/1/2025 | 213,154 | |
40,000 | Canada, Government of, Unsecd. Note, 1.250%, 3/1/2027 | 27,074 | |
265,000 | Canada, Government of, Series WL43, 5.750%, 6/1/2029 | 221,382 | |
190,000 | Canada, Government of, 5.750%, 6/1/2033 | 170,180 | |
TOTAL | 631,790 | ||
EURO—24.6% | |||
Sovereign—24.6% | |||
60,000 | Belgium, Government of, Series 68, 2.250%, 6/22/2023 | 64,101 | |
230,000 | Belgium, Government of, Series 74, 0.800%, 6/22/2025 | 236,210 | |
290,000 | Belgium, Government of, Sr. Unsecd. Note, Series 86, 1.250%, 4/22/2033 | 267,599 | |
345,000 | France, Government of, 0.500%, 5/25/2025 | 352,404 | |
240,000 | France, Government of, 2.750%, 10/25/2027 | 257,902 | |
490,000 | France, Government of, 5.750%, 10/25/2032 | 651,042 | |
130,000 | France, Government of, Bond, 4.500%, 4/25/2041 | 163,455 | |
340,000 | France, Government of, O.A.T., 5.500%, 4/25/2029 | 419,210 | |
120,000 | France, Government of, Unsecd. Note, 2.000%, 5/25/2048 | 100,688 | |
75,000 | Germany, Government of, 2.500%, 7/4/2044 | 80,698 | |
100,000 | Germany, Government of, Bond, Series 03, 4.750%, 7/4/2034 | 132,049 | |
440,000 | Germany, Government of, Unsecd. Deb., 0.500%, 2/15/2028 | 434,102 | |
120,000 | Germany, Government of, Unsecd. Note, 1.000%, 5/15/2038 | 104,886 | |
455,000 | Germany, Government of, Unsecd. Note, 1.000%, 8/15/2024 | 475,456 | |
200,000 | Germany, Government of, Unsecd. Note, 2.100%, 11/15/2029 | 211,994 | |
200,000 | Italy, Government of, Sr. Unsecd. Note, 0.650%, 10/15/2023 | 211,604 | |
290,000 | Italy, Government of, Sr. Unsecd. Note, 1.650%, 3/1/2032 | 258,904 | |
210,000 | Italy, Government of, Sr. Unsecd. Note, 4.750%, 9/1/2028 | 237,197 | |
280,000 | Italy, Government of, Unsecd. Note, 1.600%, 6/1/2026 | 284,270 | |
100,000 | Italy, Government of, Unsecd. Note, 3.250%, 9/1/2046 | 88,836 | |
100,000 | Netherlands, Government of, Unsecd. Note, 0.250%, 7/15/2025 | 101,514 | |
80,000 | Netherlands, Government of, Unsecd. Note, 0.750%, 7/15/2027 | 79,664 |
Foreign Currency Par Amount, Principal Amount or Shares | Value in U.S. Dollars | ||
BONDS—continued | |||
EURO—continued | |||
Sovereign—continued | |||
$200,000 | Netherlands, Government of, Unsecd. Note, 2.500%, 1/15/2033 | $212,027 | |
140,000 | Spain, Government of, 4.200%, 1/31/2037 | 159,479 | |
370,000 | Spain, Government of, Sr. Unsecd. Note, 1.500%, 4/30/2027 | 374,888 | |
145,000 | Spain, Government of, Sr. Unsecd. Note, 1.950%, 7/30/2030 | 143,803 | |
110,000 | Spain, Government of, Sr. Unsecd. Note, 2.350%, 7/30/2033 | 107,740 | |
25,000 | Spain, Government of, Sr. Unsecd. Note, 2.750%, 10/31/2024 | 26,671 | |
270,000 | Spain, Government of, Unsecd. Note, 1.600%, 4/30/2025 | 281,321 | |
TOTAL | 6,519,714 | ||
JAPANESE YEN—7.5% | |||
Sovereign—7.5% | |||
60,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 114, 2.100%, 12/20/2029 | 484,268 | |
80,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 153, 1.300%, 6/20/2035 | 620,862 | |
43,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 44, 1.700%, 9/20/2044 | 345,463 | |
50,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 58, 0.800%, 3/20/2048 | 330,497 | |
25,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 92, 2.100%, 12/20/2026 | 192,917 | |
TOTAL | 1,974,007 | ||
MEXICAN PESO—0.7% | |||
Sovereign—0.7% | |||
3,500,000 | Mexico, Government of, Sr. Unsecd. Note, Series M, 5.750%, 3/5/2026 | 179,531 | |
TOTAL BONDS (IDENTIFIED COST $13,136,836) | 11,466,982 | ||
REPURCHASE AGREEMENTS—7.1% | |||
1,886,000 | Interest in $400,000,000 joint repurchase agreement, 5.05% dated 5/31/2023 under which BNP Paribas S.A. will repurchase the securities provided as collateral for $400,056,111 on 6/1/2023. The securities provided as collateral at the end of the period held with BNY Mellon, tri-party agent, were U.S. Treasury with various maturities to 2/15/2051 and the market value of those underlying securities was $408,057,288. | 1,886,000 | |
PURCHASED CALL OPTIONS—0.0% | |||
Foreign Currency—0.0% | |||
10,000 | AUD CALL/USD PUT, Toronto Dominion, Notional Amount $10,000, Exercise Price $0.675, Expiration Date 6/7/2023 | 0 | |
30,000 | AUD CALL/USD PUT, JP Morgan, Notional Amount $41,754, Exercise Price $0.719 Expiration Date 7/13/2023 | 1 | |
TOTAL PURCHASED CALL OPTIONS (IDENTIFIED COST $797) | 1 | ||
PURCHASED PUT OPTIONS—0.0% | |||
Foreign Currency—0.0% | |||
20,000 | EUR PUT/NOK CALL, Toronto Dominion, Notional Amount $20,000, Exercise Price $11.52, Expiration Date 6/7/2023 | 3 | |
20,000 | GBP PUT/NZD CALL, Bank of Montreal, Notional Amount $20,000, Exercise Price $1.98, Expiration Date 6/8/2023 | 0 | |
20,000 | GBP PUT/AUD CALL, Bank of Montreal, Notional Amount $20,000, Exercise Price $1.849, Expiration Date 6/8/2023 | 0 | |
30,000 | USD PUT/CAD CALL, JP Morgan, Notional Amount $30,000, Exercise Price $1.323, Expiration Date 7/14/2023 | 37 | |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $940) | 40 | ||
INVESTMENT COMPANY—49.9% | |||
1,708,521 | Emerging Markets Core Fund (IDENTIFIED COST $15,423,947) | 13,206,868 | |
TOTAL INVESTMENT IN SECURITIES—100.4% (IDENTIFIED COST $30,448,520)1 | 26,559,891 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.4)%2 | (94,550) | ||
TOTAL NET ASSETS—100% | $26,465,341 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation | |
Long Futures: | |||||
Euro-Bund Futures Long Futures | 4 | $581,696 | March 2023 | $6,113 | |
Japan 10 Year Bond Long Futures | 1 | $1,066,571 | March 2023 | $94 | |
United States Treasury Notes 2 Year Long Futures | 2 | $411,656 | September 2023 | $261 | |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $6,468 |
Counterparty | Description | Number of Contracts | Notional Amount | Expiration Date | Exercise Price | Value in U.S. Dollar |
Call Option: | ||||||
JP Morgan | USD CALL/CAD PUT | (30,000) | $30,000 | 7/14/2023 | $1.359 | $(233) |
Put Options: | ||||||
Bank of New York | EUR PUT/USD CALL | (27,959) | $27,959 | 7/13/2023 | $1.073 | $(306) |
JP Morgan | AUD PUT/USD CALL | (44,183) | $44,183 | 7/13/2023 | $0.679 | $(1,266) |
(PREMIUMS PAID $1,572) | $(1,805) |
Settlement Date | Counterparty | Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) | ||||
Contracts Purchased: | ||||||||
7/6/2023 | Bank of America | $250,000 | 34,194,818 JPY | $3,162 | ||||
7/6/2023 | BNP Paribas | 400,000 CNY | $58,549 | $(2,020) | ||||
7/6/2023 | BNP Paribas | 1,100,000,000 IDR | $73,651 | $(298) | ||||
7/6/2023 | BNY Mellon | 100,000 GBP | 16,142,610 JPY | $7,963 | ||||
7/6/2023 | Citibank | 750,000 AUD | 681,358 CAD | $(13,879) | ||||
7/6/2023 | Citibank | 675,000 EUR | 991,685 CAD | $(8,165) | ||||
7/6/2023 | Citibank | 1,125,000 MXN | 8,128,672 JPY | $4,428 | ||||
7/6/2023 | JPMorgan | 100,000 GBP | 16,936,510 JPY | $2,232 | ||||
7/6/2023 | JPMorgan | 1,700,000 NZD | $1,019,852 | $3,878 | ||||
7/6/2023 | JPMorgan | $170,000 | 3,155,177 MXN | $(6,986) | ||||
7/6/2023 | JPMorgan | $750,000 | 8,029,692 NOK | $25,332 | ||||
7/6/2023 | Morgan Stanley | 200,000 AUD | 181,617 CAD | $(3,643) | ||||
7/6/2023 | Morgan Stanley | 750,000 AUD | 682,141 CAD | $(14,456) | ||||
7/6/2023 | Morgan Stanley | 225,000 EUR | 331,794 CAD | $(3,631) | ||||
7/6/2023 | Morgan Stanley | 100,000 GBP | 16,138,312 JPY | $7,994 | ||||
7/6/2023 | Morgan Stanley | 1,125,000 MXN | 8,344,227 JPY | $2,872 | ||||
7/6/2023 | Morgan Stanley | 2,250,000 MXN | 15,884,080 JPY | $11,551 | ||||
7/6/2023 | Morgan Stanley | $75,000 | 1,376,182 MXN | $(2,195) | ||||
7/6/2023 | State Street | 50,000 AUD | $33,738 | $(1,170) | ||||
7/6/2023 | State Street | 100,000 GBP | 16,438,314 JPY | $5,828 | ||||
8/15/2023 | Morgan Stanley | 195,550,000 IDR | $13,087 | $(54) | ||||
8/15/2023 | Wells Fargo | 25,000 EUR | $27,613 | $(772) | ||||
8/31/2023 | BNP Paribas | 22,589 CAD | $16,551 | $124 | ||||
8/31/2023 | Citibank | 10,791 AUD | $7,248 | $(204) | ||||
8/31/2023 | Citibank | 10,894 AUD | $7,251 | $(139) | ||||
8/31/2023 | Citibank | 6,927 CHF | $7,647 | $41 | ||||
8/31/2023 | Citibank | 13,221 GBP | $15,970 | $503 | ||||
8/31/2023 | Citibank | $40,000 | 1,374,648 THB | $113 | ||||
8/31/2023 | Citibank | $40,000 | 1,361,500 THB | $494 |
Settlement Date | Counterparty | Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) | ||||
8/31/2023 | Credit Agricole | 13,176 GBP | $15,923 | $494 | ||||
8/31/2023 | Credit Agricole | 6,856,391 JPY | $51,920 | $(1,959) | ||||
8/31/2023 | JPMorgan | 200,000 AUD | 182,970 CAD | $(4,518) | ||||
8/31/2023 | JPMorgan | 75,421 CAD | $55,616 | $60 | ||||
8/31/2023 | JPMorgan | 2,715,120 JPY | $20,770 | $(985) | ||||
8/31/2023 | JPMorgan | 4,142,543 JPY | $31,236 | $(1,050) | ||||
8/31/2023 | Morgan Stanley | 10,629 AUD | $7,242 | $(304) | ||||
8/31/2023 | Morgan Stanley | 10,690 AUD | $7,240 | $(262) | ||||
8/31/2023 | Morgan Stanley | 16,064 AUD | $10,877 | $(391) | ||||
8/31/2023 | Morgan Stanley | 26,820 AUD | $18,219 | $(712) | ||||
8/31/2023 | Morgan Stanley | 22,404 CAD | $16,534 | $4 | ||||
8/31/2023 | Morgan Stanley | 22,442 CAD | $16,553 | $14 | ||||
8/31/2023 | Morgan Stanley | 22,763 CAD | $16,556 | $248 | ||||
8/31/2023 | Morgan Stanley | 33,764 CAD | $24,852 | $73 | ||||
8/31/2023 | Morgan Stanley | 55,659 CAD | $41,664 | $(576) | ||||
8/31/2023 | Morgan Stanley | 6,836 CHF | $7,634 | $(47) | ||||
8/31/2023 | Morgan Stanley | 7,017 CHF | $7,626 | $162 | ||||
8/31/2023 | Morgan Stanley | 10,571 CHF | $11,474 | $259 | ||||
8/31/2023 | Morgan Stanley | 16,834 CHF | $19,132 | $(447) | ||||
8/31/2023 | Morgan Stanley | 22,516 CHF | $25,565 | $(574) | ||||
8/31/2023 | Morgan Stanley | 43,357 EUR | $46,957 | $(362) | ||||
8/31/2023 | Morgan Stanley | 43,511 EUR | $46,918 | $(158) | ||||
8/31/2023 | Morgan Stanley | 106,819 EUR | $117,891 | $(3,095) | ||||
8/31/2023 | Morgan Stanley | 141,933 EUR | $157,313 | $(4,780) | ||||
8/31/2023 | Morgan Stanley | 13,055 GBP | $15,965 | $301 | ||||
8/31/2023 | Morgan Stanley | 13,118 GBP | $15,950 | $394 | ||||
8/31/2023 | Morgan Stanley | 251,628 MXN | $13,447 | $506 | ||||
8/31/2023 | Morgan Stanley | 252,856 MXN | $13,324 | $697 | ||||
8/31/2023 | Morgan Stanley | 255,021 MXN | $13,358 | $783 | ||||
8/31/2023 | Morgan Stanley | 260,079 MXN | $13,394 | $1,027 | ||||
8/31/2023 | Morgan Stanley | 381,768 MXN | $19,990 | $1,179 | ||||
8/31/2023 | Morgan Stanley | 610,959 MXN | $34,011 | $(133) | ||||
8/31/2023 | Morgan Stanley | 833,400 MXN | $45,254 | $959 | ||||
8/31/2023 | State Street | 36,699 AUD | $24,323 | $(367) | ||||
8/31/2023 | State Street | 7,013 CHF | $7,643 | $142 | ||||
8/31/2023 | State Street | 43,744 EUR | $46,936 | $75 | ||||
8/31/2023 | State Street | 43,752 EUR | $46,979 | $41 | ||||
8/31/2023 | State Street | 66,164 EUR | $70,484 | $621 | ||||
8/31/2023 | State Street | 19,973 GBP | $23,954 | $931 | ||||
8/31/2023 | State Street | 31,755 GBP | $40,151 | $(587) | ||||
8/31/2023 | State Street | 42,661 GBP | $53,581 | $(429) | ||||
8/31/2023 | State Street | 2,744,483 JPY | $20,776 | $(777) | ||||
8/31/2023 | State Street | 2,754,000 JPY | $20,796 | $(728) | ||||
8/31/2023 | State Street | 2,769,998 JPY | $20,805 | $(620) | ||||
8/31/2023 | State Street | 9,281,336 JPY | $69,278 | $(1,646) | ||||
Contracts Sold: | ||||||||
7/6/2023 | BNP Paribas | 1,100,000,000 IDR | $74,548 | $1,195 | ||||
7/6/2023 | Citibank | 900,000 EUR | 1,334,230 CAD | $19,723 | ||||
7/6/2023 | Citibank | 400,000 GBP | 65,561,292 JPY | $(24,700) | ||||
7/6/2023 | Credit Agricole | $2,605,000 | 341,618,684 JPY | $(138,995) | ||||
7/6/2023 | Credit Agricole | $150,000 | 19,672,593 JPY | $(7,992) |
Settlement Date | Counterparty | Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) | ||||
7/6/2023 | JPMorgan | 390,000 EUR | $426,994 | $9,235 | ||||
7/6/2023 | JPMorgan | $70,000 | 94,000 CAD | $(690) | ||||
7/6/2023 | Morgan Stanley | 200,000 AUD | 181,029 CAD | $3,210 | ||||
7/6/2023 | Morgan Stanley | 50,000 GBP | 650,664 NOK | $(3,523) | ||||
7/6/2023 | Morgan Stanley | $400,000 | 53,144,040 JPY | $(16,375) | ||||
7/6/2023 | Morgan Stanley | $750,000 | 7,965,533 NOK | $(31,122) | ||||
7/6/2023 | State Street | 750,000 AUD | 673,610 CAD | $8,166 | ||||
7/6/2023 | State Street | 430,000 GBP | $537,299 | $1,992 | ||||
7/6/2023 | State Street | 4,500,000 MXN | 32,170,950 JPY | $(20,194) | ||||
7/6/2023 | State Street | $1,000,000 | 137,515,840 JPY | $(7,329) | ||||
8/15/2023 | Bank of America | $20,000 | 31,385 NZD | $(1,104) | ||||
8/15/2023 | Barclays | $10,000 | 14,638 AUD | $(451) | ||||
8/15/2023 | Barclays | $20,000 | 2,734,850 JPY | $(127) | ||||
8/15/2023 | Citibank | 6,700 GBP | 12,443 AUD | $(229) | ||||
8/15/2023 | Citibank | $10,000 | 103,936 NOK | $(602) | ||||
8/15/2023 | HSBC | 6,700 GBP | 13,358 NZD | $(304) | ||||
8/15/2023 | JPMorgan | $20,000 | 18,361 EUR | $(286) | ||||
8/15/2023 | JPMorgan | $20,000 | 2,649,257 JPY | $(749) | ||||
8/15/2023 | Morgan Stanley | $10,000 | 15,078 AUD | $(164) | ||||
8/15/2023 | State Street | $10,000 | 1,368,529 JPY | $(56) | ||||
8/15/2023 | State Street | $10,000 | 108,974 NOK | $(146) | ||||
8/15/2023 | Wells Fargo | $20,000 | 18,105 EUR | $(562) | ||||
8/31/2023 | BNP Paribas | 22,404 CAD | $16,301 | $(237) | ||||
8/31/2023 | BNP Paribas | 251,628 MXN | $12,957 | $(996) | ||||
8/31/2023 | Citibank | 100,000 AUD | 91,704 CAD | $2,421 | ||||
8/31/2023 | Citibank | 16,064 AUD | $10,783 | $297 | ||||
8/31/2023 | Citibank | 10,629 AUD | $7,184 | $246 | ||||
8/31/2023 | Citibank | 7,013 CHF | $7,824 | $39 | ||||
8/31/2023 | Citibank | 141,933 EUR | $156,498 | $3,964 | ||||
8/31/2023 | Citibank | 2,769,998 JPY | $21,395 | $1,210 | ||||
8/31/2023 | Citibank | 833,400 MXN | $45,803 | $(409) | ||||
8/31/2023 | Citibank | $80,000 | 2,728,264 THB | $(836) | ||||
8/31/2023 | JPMorgan | 36,699 AUD | $24,907 | $951 | ||||
8/31/2023 | JPMorgan | 10,690 AUD | $7,137 | $159 | ||||
8/31/2023 | JPMorgan | 22,516 CHF | $25,527 | $535 | ||||
8/31/2023 | JPMorgan | 42,661 GBP | $53,850 | $698 | ||||
8/31/2023 | JPMorgan | 19,973 GBP | $24,675 | $(210) | ||||
8/31/2023 | Morgan Stanley | 21,686 AUD | $14,544 | $389 | ||||
8/31/2023 | Morgan Stanley | 75,421 CAD | $56,451 | $775 | ||||
8/31/2023 | Morgan Stanley | 33,764 CAD | $24,911 | $(14) | ||||
8/31/2023 | Morgan Stanley | 13,763 CHF | $15,172 | $(103) | ||||
8/31/2023 | Morgan Stanley | 10,571 CHF | $11,677 | $(55) | ||||
8/31/2023 | Morgan Stanley | 7,017 CHF | $7,712 | $(77) | ||||
8/31/2023 | Morgan Stanley | 66,164 EUR | $72,384 | $1,279 | ||||
8/31/2023 | Morgan Stanley | 13,118 GBP | $15,888 | $(455) | ||||
8/31/2023 | Morgan Stanley | 9,281,336 JPY | $69,914 | $2,282 | ||||
8/31/2023 | Morgan Stanley | 4,142,543 JPY | $31,993 | $1,807 | ||||
8/31/2023 | Morgan Stanley | 2,744,483 JPY | $21,333 | $1,334 | ||||
8/31/2023 | Morgan Stanley | 515,100 MXN | $26,783 | $(1,780) | ||||
8/31/2023 | Morgan Stanley | 381,768 MXN | $20,374 | $(795) | ||||
8/31/2023 | Morgan Stanley | 252,856 MXN | $13,017 | $(1,004) |
Settlement Date | Counterparty | Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) | ||||
8/31/2023 | State Street | 100,000 AUD | 91,644 CAD | $2,377 | ||||
8/31/2023 | State Street | 45,352 CAD | $33,148 | $(331) | ||||
8/31/2023 | State Street | 22,442 CAD | $16,453 | $(114) | ||||
8/31/2023 | State Street | 86,867 EUR | $94,325 | $970 | ||||
8/31/2023 | State Street | 43,752 EUR | $47,342 | $322 | ||||
8/31/2023 | State Street | 43,744 EUR | $47,130 | $119 | ||||
8/31/2023 | State Street | 26,277 GBP | $32,190 | $(549) | ||||
8/31/2023 | State Street | 13,176 GBP | $16,216 | $(201) | ||||
8/31/2023 | State Street | 5,469,120 JPY | $42,267 | $2,414 | ||||
NET UNREALIZED DEPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $(193,391) |
Emerging Markets Core Fund | |
Value as of 11/30/2022 | $6,499,592 |
Purchases at Cost | $6,942,040 |
Proceeds from Sales | $— |
Change in Unrealized Appreciation/(Depreciation) | $(234,764) |
Net Realized Gain/(Loss) | $— |
Value as of 5/31/2023 | $13,206,868 |
Shares Held as of 5/31/2023 | 1,708,521 |
Dividend Income | $342,566 |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Bonds | $— | $11,466,982 | $— | $11,466,982 |
Repurchase Agreement | — | 1,886,000 | — | 1,886,000 |
Purchased Call Options | — | 1 | — | 1 |
Purchased Put Options | — | 40 | — | 40 |
Investment Company | 13,206,868 | — | — | 13,206,868 |
TOTAL SECURITIES | $13,206,868 | $13,353,023 | $— | $26,559,891 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $6,468 | $— | $— | $6,468 |
Foreign Exchange Contracts | — | 153,594 | — | 153,594 |
Liabilities | ||||
Written Call Options | — | (233) | — | (233) |
Written Put Options | — | (1,572) | — | (1,572) |
Foreign Exchange Contracts | — | (346,985) | — | (346,985) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $6,468 | $(195,196) | $— | $(188,728) |
AUD | —Australian Dollar |
CAD | —Canadian Dollar |
CHF | —Swiss Franc |
CNY | —Chinese Yuan Renminbi |
EUR | —Euro |
GBP | —Great British Pound |
IDR | —Indonesian Rupiah |
JPY | —Japanese Yen |
MXN | —Mexican Peso |
NOK | —Norwegian Krone |
NZD | —New Zealand Dollar |
THB | —Thai Baht |
USD | —United States Dollar |
Six Months Ended (unaudited) 5/31/2023 | Year Ended November 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $11.70 | $14.83 | $15.59 | $14.75 | $14.01 | $15.08 |
Income From Investment Operations: | ||||||
Net investment income1 | 0.29 | 0.52 | 0.62 | 0.51 | 0.53 | 0.54 |
Net realized and unrealized gain (loss) | (0.17) | (2.94) | (1.05) | 0.83 | 0.81 | (1.20) |
TOTAL FROM INVESTMENT OPERATIONS | 0.12 | (2.42) | (0.43) | 1.34 | 1.34 | (0.66) |
Less Distributions: | ||||||
Distributions from net investment income | — | (0.71) | (0.33) | (0.50) | (0.60) | (0.41) |
Net Asset Value, End of Period | $11.82 | $11.70 | $14.83 | $15.59 | $14.75 | $14.01 |
Total Return2 | 1.03% | (17.16)% | (2.90)% | 9.34% | 9.92% | (4.50)% |
Ratios to Average Net Assets: | ||||||
Net expenses3,4 | 0.00%5 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 4.51%5 | 3.95% | 4.01% | 3.49% | 3.66% | 3.76% |
Expense waiver/reimbursement6 | 1.52%5 | 0.94% | 0.49% | 0.93% | 1.24% | 1.55% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $26,465 | $13,251 | $62,853 | $52,037 | $23,369 | $18,179 |
Portfolio turnover7 | 7% | 15% | 53% | 69% | 52% | 20% |
May 31, 2023 (unaudited)
Assets: | ||
Investment in securities, at value including $13,206,868 of investment in an affiliated holding* (identified cost $30,448,520, including $15,423,947 of identified cost in an affiliated holding) | $26,559,891 | |
Deposit at broker | 31,097 | |
Cash denominated in foreign currencies (identified cost $7,436) | 7,399 | |
Cash | 6,764 | |
Unrealized appreciation on foreign exchange contracts | 153,594 | |
Income receivable | 114,853 | |
Receivable for shares sold | 35,028 | |
Receivable for investments sold | 5,309 | |
Receivable for variation margin on futures contracts | 4,477 | |
TOTAL ASSETS | 26,918,412 | |
Liabilities: | ||
Unrealized depreciation on foreign exchange contracts | $346,985 | |
Payable for investments purchased | 4,108 | |
Written options outstanding, at value (premiums received $1,572) | 1,805 | |
Payable for shares redeemed | 322 | |
Payable for portfolio accounting fees | 69,114 | |
Payable for auditing fees | 15,302 | |
Payable to adviser (Note 5) | 4,364 | |
Payable for administrative fee (Note 5) | 125 | |
Accrued expenses (Note 5) | 10,946 | |
TOTAL LIABILITIES | 453,071 | |
Net assets for 2,238,625 shares outstanding | $26,465,341 | |
Net Assets Consists of: | ||
Paid-in capital | $37,282,495 | |
Total distributable earnings (loss) | (10,817,154) | |
TOTAL NET ASSETS | $26,465,341 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$26,465,341 ÷ 2,238,625 shares outstanding, no par value, unlimited shares authorized | $11.82 |
Six Months Ended May 31, 2023 (unaudited)
Investment Income: | |||
Dividends received from an affiliated holding* | $342,566 | ||
Interest | 84,376 | ||
TOTAL INCOME | 426,942 | ||
Expenses: | |||
Administrative fee (Note 5) | $7,645 | ||
Custodian fees | 13,398 | ||
Transfer agent fees | 1,756 | ||
Directors'/Trustees' fees (Note 5) | 696 | ||
Auditing fees | 17,617 | ||
Legal fees | 4,940 | ||
Portfolio accounting fees | 69,317 | ||
Share registration costs | 12,625 | ||
Printing and postage | 9,454 | ||
Miscellaneous (Note 5) | 6,452 | ||
TOTAL EXPENSES | 143,900 | ||
Reimbursement of other operating expenses (Note 5) | $(143,900) | ||
Net expenses | — | ||
Net investment income | 426,942 | ||
Realized and Unrealized Gain (Loss) on Investments, Foreign Exchange Contracts, Futures Contracts, Written Options, Swap Contracts and Foreign Currency Transactions: | |||
Net realized loss on investments and foreign currency transactions | (223,121) | ||
Net realized gain on foreign exchange contracts | 73,044 | ||
Net realized gain on futures contracts | 5,514 | ||
Net realized gain on written options | 984 | ||
Net realized loss on swap contracts | (2,668) | ||
Net change in unrealized depreciation of investments and translation of assets and liabilities in foreign currency (including net change in unrealized depreciation of $(234,764) of investments in an affiliated holding*) | (165,452) | ||
Net change in unrealized appreciation of foreign exchange contracts | (241,283) | ||
Net change in unrealized appreciation of futures contracts | 6,468 | ||
Net change in unrealized appreciation of written options | (233) | ||
Net realized and unrealized gain (loss) on investments, foreign exchange contracts, futures contracts, written options, swap contracts and foreign currency transactions | (546,747) | ||
Change in net assets resulting from operations | $(119,805) |
Six Months Ended (unaudited) 5/31/2023 | Year Ended 11/30/2022 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $426,942 | $1,257,415 |
Net realized loss | (146,247) | (8,198,968) |
Net change in unrealized appreciation/depreciation | (400,500) | (337,925) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (119,805) | (7,279,478) |
Distributions to Shareholders: | ||
Distribution to shareholders | — | (2,996,216) |
Share Transactions: | ||
Proceeds from sale of shares | 14,427,286 | 13,023,781 |
Net asset value of shares issued to shareholders in payment of distributions declared | — | 110,582 |
Cost of shares redeemed | (1,093,340) | (52,460,725) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 13,333,946 | (39,326,362) |
Change in net assets | 13,214,141 | (49,602,056) |
Net Assets: | ||
Beginning of period | 13,251,200 | 62,853,256 |
End of period | $26,465,341 | $13,251,200 |
Fair Value of Derivative Instruments | ||||
Assets | Liabilities | |||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||||
Foreign exchange contracts | Unrealized appreciation on foreign exchange contracts | $153,594 | Unrealized depreciation on foreign exchange contracts | $346,985 |
Interest rate contracts | Receivable for variation margin on future contracts | $6,468* | Payable for variation margin on future contracts | $— |
Foreign exchange contracts | Purchased options, within Investment in securities, at value | $41 | Written Options Outstanding, Value | $1,805 |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $160,103 | $348,790 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | Purchased Options1 | Credit Default Swap Contracts | Written Option Contract | Foreign Exchange Contracts | Futures Contracts | Total |
Foreign exchange contracts | $(10,927) | $— | $984 | $73,044 | $— | $63,101 |
Credit contracts | — | (2,668) | — | — | — | (2,668) |
Interest rate contracts | — | — | — | — | 5,514 | 5,514 |
TOTAL | $(10,927) | $(2,668) | $984 | $73,044 | $5,514 | $65,947 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||
Purchased Options2 | Written Option Contracts | Foreign Exchange Contracts | Futures Contracts | Total | |
Foreign exchange contracts | $(1,696) | $(233) | $(241,283) | $— | $(243,212) |
Interest rate contracts | — | — | — | 6,468 | 6,468 |
TOTAL | $(1,696) | $(233) | $(241,283) | $6,468 | $(236,744) |
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||
Transaction | Gross Asset Derivatives Presented in Statement of Assets and Liabilities | Financial Instruments | Collateral Received | Net Amount |
Foreign Exchange Contracts | $153,594 | $(115,967) | $— | $37,627 |
TOTAL | $153,594 | $(115,967) | $— | $37,627 |
Transaction | Gross Liability Derivatives Presented in Statement of Assets and Liabilities | Financial Instruments | Collateral Pledged | Net Amount |
Foreign Exchange Contracts | $346,985 | $(115,967) | $— | $231,018 |
TOTAL | $346,985 | $(115,967) | $— | $231,018 |
Six Months Ended 5/31/2023 | Year Ended 11/30/2022 | |
Shares sold | 1,197,102 | 1,017,088 |
Shares issued to shareholders in payment of distributions declared | — | 7,787 |
Shares redeemed | (90,970) | (4,129,609) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 1,106,132 | (3,104,734) |
Short-Term | Long-Term | Total |
$1,018,405 | $5,928,234 | $6,946,639 |
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 | $14,342,574 |
Sales | $1,303,175 |
Beginning Account Value 12/1/2022 | Ending Account Value 5/31/2023 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,010.30 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,024.93 | $0.00 |
Annual Evaluation of Adequacy and Effectiveness
IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Exhibits |
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant Federated Hermes Managed Pool Series
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date July 21, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /S/ J. Christopher Donahue
J. Christopher Donahue
Principal Executive Officer
Date July 21, 2023
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date July 21, 2023