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: 2024-12-31
Date of Reporting Period: Six months ended 2024-06-30
Item 1. | Reports to Stockholders |
Federated Hermes Corporate Bond Strategy Portfolio
FCSPX
Semi-Annual Shareholder Report - June 30, 2024
A Portfolio of Federated Hermes Managed Pool Series
This semi-annual shareholder report contains important information about the Federated Hermes Corporate Bond Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information at www.FederatedHermes.com/us/FundInformation. You can also request this information by contacting us at 1-800-341-7400, Option 4, or your financial advisor.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Federated Hermes Corporate Bond Strategy Portfolio | $0 | 0.00% |
Key Fund Statistics
Net Assets | $174,930,587 |
Number of Investments | 492 |
Portfolio Turnover | 4% |
Fund Holdings
Top Security Types (% of Net Assets)
Value | Value |
---|---|
Security Lending Collateral | 0.3% |
Foreign Government/Agency | 1.4% |
Cash Equivalents | 1.6% |
Corporate Bonds | 96.0% |
Semi-Annual Shareholder Report
Federated Hermes Corporate Bond Strategy Portfolio
Additional Information about the Fund
Additional information is available on the Fund’s website at www.FederatedHermes.com/us/FundInformation, including its:
• prospectus • financial information • holdings • proxy voting information
CUSIP31421P100
35282-A(08/24)
Federated Securities Corp., Distributor
www.federatedhermes.com/us
© 2024 Federated Hermes, Inc.
Federated Hermes High Yield Strategy Portfolio
FHYSX
Semi-Annual Shareholder Report - June 30, 2024
A Portfolio of Federated Hermes Managed Pool Series
This semi-annual shareholder report contains important information about the Federated Hermes High Yield Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information at www.FederatedHermes.com/us/FundInformation. You can also request this information by contacting us at 1-800-341-7400, Option 4, or your financial advisor.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Federated Hermes High Yield Strategy Portfolio | $0 | 0.00% |
Key Fund Statistics
Net Assets | $29,593,627 |
Number of Investments | 2 |
Portfolio Turnover | 0% |
Fund Holdings
Top Index Classification (% of Net Assets)
Value | Value |
---|---|
Consumer Cyclical Services | 3.9% |
Health Care | 4.3% |
Packaging | 4.4% |
Midstream | 5.1% |
Cash Equivalents | 5.2% |
Gaming | 5.2% |
Automotive | 6.0% |
Cable Satellite | 6.5% |
Insurance - P&C | 7.3% |
Technology | 12.3% |
Semi-Annual Shareholder Report
Federated Hermes High Yield Strategy Portfolio
Additional Information about the Fund
Additional information is available on the Fund’s website at www.FederatedHermes.com/us/FundInformation, including its:
• prospectus • financial information • holdings • proxy voting information
CUSIP31421P209
40940-A(08/24)
Federated Securities Corp., Distributor
www.federatedhermes.com/us
© 2024 Federated Hermes, Inc.
Federated Hermes Mortgage Strategy Portfolio
FMBPX
Semi-Annual Shareholder Report - June 30, 2024
A Portfolio of Federated Hermes Managed Pool Series
This semi-annual shareholder report contains important information about the Federated Hermes Mortgage Strategy Portfolio (the "Fund") for the period of January 1, 2024 to June 30, 2024. You can find additional information at www.FederatedHermes.com/us/FundInformation. You can also request this information by contacting us at 1-800-341-7400, Option 4, or your financial advisor.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
Fund Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Federated Hermes Mortgage Strategy Portfolio | $0 | 0.00% |
Key Fund Statistics
Net Assets | $1,039,663,946 |
Number of Investments | 2 |
Portfolio Turnover | 2% |
Fund Holdings
Top Security Types (% of Net Assets)Footnote Reference*
Value | Value |
---|---|
Agency Risk Transfer Securities | 0.2% |
Asset-Backed Securities | 2.0% |
Cash Equivalents | 3.6% |
Non-Agency Mortgage-Backed Securities | 9.1% |
U.S. Government Agency Mortgage-Backed Securities | 93.2% |
Footnote | Description |
Footnote* | Reflects the pro rata portfolio composition of underlying affiliated investment companies (other than an affiliated money market mutual fund) in which the Fund invested greater than 10% of its net assets as of the date specified above. Accordingly, the percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. |
Semi-Annual Shareholder Report
Federated Hermes Mortgage Strategy Portfolio
Additional Information about the Fund
Additional information is available on the Fund’s website at www.FederatedHermes.com/us/FundInformation, including its:
• prospectus • financial information • holdings • proxy voting information
CUSIP31421P407
38886-A(08/24)
Federated Securities Corp., Distributor
www.federatedhermes.com/us
© 2024 Federated Hermes, Inc.
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 Financial Statements filed under Item 7 of this form.
(b) Not Applicable
Item 7. | Financial Statements and Financial Highlights for Open-End Management Companies |
and Additional Information
Ticker FCSPX |
Federated Hermes Corporate Bond Strategy Portfolio
A Portfolio of Federated Hermes Managed Pool Series
Principal Amount or Shares | Value | ||
CORPORATE BONDS—96.0% | |||
Basic Industry - Chemicals—0.3% | |||
$ 90,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | $ 82,410 | |
200,000 | 1 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | 193,503 |
300,000 | RPM International, Inc., Sr. Unsecd. Note, 5.250%, 6/1/2045 | 277,012 | |
TOTAL | 552,925 | ||
Basic Industry - Metals & Mining—1.7% | |||
600,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031 | 510,299 | |
400,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 3.625%, 9/11/2024 | 398,044 | |
200,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 5.500%, 5/2/2033 | 195,891 | |
235,000 | Anglogold Ashanti Holdings PLC, Sr. Note, 6.500%, 4/15/2040 | 235,525 | |
90,000 | Glencore Funding LLC, 144A, 5.893%, 4/4/2054 | 86,622 | |
400,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 374,154 | |
350,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 2.625%, 9/23/2031 | 287,389 | |
200,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 129,860 | |
250,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | 273,110 | |
400,000 | Steel Dynamics, Inc., Sr. Unsecd. Note, 5.375%, 8/15/2034 | 393,415 | |
TOTAL | 2,884,309 | ||
Basic Industry - Paper—0.5% | |||
800,000 | Smurfit Kappa Treasury Unlimited Co., Sr. Unsecd. Note, 144A, 5.777%, 4/3/2054 | 796,212 | |
100,000 | Weyerhaeuser Co., Sr. Unsecd. Note, 7.375%, 3/15/2032 | 111,841 | |
TOTAL | 908,053 | ||
Capital Goods - Aerospace & Defense—4.7% | |||
230,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 224,396 | |
500,000 | BAE Systems PLC, Sr. Unsecd. Note, 144A, 3.000%, 9/15/2050 | 323,923 | |
360,000 | Boeing Co., Sr. Unsecd. Note, 2.196%, 2/4/2026 | 338,524 | |
300,000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | 276,664 | |
995,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 852,270 | |
425,000 | Boeing Co., Sr. Unsecd. Note, 3.250%, 2/1/2035 | 324,698 | |
745,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 475,145 | |
175,000 | Boeing Co., Sr. Unsecd. Note, 5.705%, 5/1/2040 | 161,436 | |
520,000 | Boeing Co., Sr. Unsecd. Note, 144A, 6.528%, 5/1/2034 | 532,694 | |
555,000 | Boeing Co., Sr. Unsecd. Note, 144A, 6.858%, 5/1/2054 | 569,984 | |
700,000 | HEICO Corp., Sr. Unsecd. Note, 5.350%, 8/1/2033 | 694,195 | |
170,000 | Hexcel Corp., Sr. Unsecd. Note, 4.200%, 2/15/2027 | 163,252 | |
740,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 697,503 | |
200,000 | Leidos, Inc., Sr. Unsecd. Note, 5.750%, 3/15/2033 | 201,849 | |
125,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | 122,809 | |
350,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 331,021 | |
500,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 4.700%, 3/15/2033 | 482,639 | |
600,000 | RTX Corp., Sr. Unsecd. Note, 4.125%, 11/16/2028 | 577,763 | |
350,000 | RTX Corp., Sr. Unsecd. Note, 4.150%, 5/15/2045 | 283,677 | |
280,000 | RTX Corp., Sr. Unsecd. Note, 5.150%, 2/27/2033 | 277,215 | |
370,000 | 1 | Textron, Inc., Sr. Unsecd. Note, 2.450%, 3/15/2031 | 310,204 |
TOTAL | 8,221,861 | ||
Capital Goods - Building Materials—0.9% | |||
100,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 92,458 | |
125,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 124,112 | |
620,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 587,725 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Capital Goods - Building Materials—continued | |||
$ 150,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 5.600%, 5/29/2034 | $ 150,160 | |
235,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.700%, 2/15/2031 | 202,131 | |
255,000 | Carrier Global Corp., Sr. Unsecd. Note, 5.900%, 3/15/2034 | 266,262 | |
170,000 | Masco Corp., Sr. Unsecd. Note, 4.500%, 5/15/2047 | 140,759 | |
TOTAL | 1,563,607 | ||
Capital Goods - Construction Machinery—1.3% | |||
205,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 5.550%, 5/30/2033 | 199,882 | |
350,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 5.800%, 4/15/2034 | 347,529 | |
450,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.450%, 7/15/2026 | 416,150 | |
445,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 426,337 | |
895,000 | Weir Group PLC/The, Sr. Unsecd. Note, 144A, 2.200%, 5/13/2026 | 840,408 | |
TOTAL | 2,230,306 | ||
Capital Goods - Diversified Manufacturing—1.3% | |||
115,000 | Ingersoll-Rand, Inc., Sr. Unsecd. Note, 5.450%, 6/15/2034 | 116,046 | |
105,000 | Ingersoll-Rand, Inc., Sr. Unsecd. Note, 5.700%, 6/15/2054 | 105,776 | |
155,000 | Otis Worldwide Corp., Sr. Unsecd. Note, Series WI, 2.565%, 2/15/2030 | 136,107 | |
80,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 72,709 | |
390,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.250%, 10/1/2054 | 349,569 | |
335,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 1.800%, 4/1/2026 | 313,576 | |
500,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 2.950%, 4/1/2031 | 417,345 | |
160,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 156,160 | |
310,000 | Wabtec Corp., Sr. Unsecd. Note, 5.611%, 3/11/2034 | 311,927 | |
285,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 239,309 | |
TOTAL | 2,218,524 | ||
Capital Goods - Packaging—0.3% | |||
180,000 | Packaging Corp of America, Sr. Unsecd. Note, 3.650%, 9/15/2024 | 179,124 | |
220,000 | Sonoco Products Co., Sr. Unsecd. Note, 5.750%, 11/1/2040 | 216,245 | |
150,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 4.000%, 3/15/2028 | 143,707 | |
TOTAL | 539,076 | ||
Communications - Cable & Satellite—1.6% | |||
440,000 | CCO Safari II LLC, 6.484%, 10/23/2045 | 402,286 | |
380,000 | Charter Communications Operating LLC, 5.375%, 5/1/2047 | 303,872 | |
250,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | 146,134 | |
500,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 4.800%, 3/1/2050 | 367,154 | |
865,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Term Loan - 1st Lien, 3.900%, 6/1/2052 | 542,939 | |
600,000 | Charter Communications, Inc., 4.200%, 3/15/2028 | 567,236 | |
165,000 | Cox Communications, Inc., Sr. Unsecd. Note, 144A, 3.350%, 9/15/2026 | 157,781 | |
300,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 250,064 | |
TOTAL | 2,737,466 | ||
Communications - Media & Entertainment—2.8% | |||
500,000 | Discovery Communications LLC, Sr. Unsecd. Note, 4.650%, 5/15/2050 | 364,793 | |
135,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 4.709%, 1/25/2029 | 132,639 | |
375,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 5.576%, 1/25/2049 | 344,615 | |
300,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 2.400%, 3/1/2031 | 250,598 | |
495,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 3.375%, 3/1/2041 | 364,605 | |
850,000 | Netflix, Inc., Sr. Unsecd. Note, 4.875%, 4/15/2028 | 845,890 | |
300,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.450%, 4/30/2030 | 258,759 | |
300,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.600%, 8/1/2031 | 253,265 | |
200,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.650%, 11/1/2024 | 198,614 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Communications - Media & Entertainment—continued | |||
$ 190,000 | Paramount Global, Sr. Unsecd. Note, 3.700%, 6/1/2028 | $ 171,396 | |
475,000 | 1 | Paramount Global, Sr. Unsecd. Note, 4.200%, 5/19/2032 | 388,171 |
200,000 | Paramount Global, Sr. Unsecd. Note, 4.900%, 8/15/2044 | 139,440 | |
500,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 4.279%, 3/15/2032 | 436,573 | |
510,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 5.050%, 3/15/2042 | 415,063 | |
300,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 6.412%, 3/15/2026 | 300,019 | |
TOTAL | 4,864,440 | ||
Communications - Telecom Wireless—4.3% | |||
450,000 | American Tower Corp., Sr. Unsecd. Note, 1.450%, 9/15/2026 | 413,057 | |
300,000 | American Tower Corp., Sr. Unsecd. Note, 2.100%, 6/15/2030 | 251,471 | |
300,000 | American Tower Corp., Sr. Unsecd. Note, 3.100%, 6/15/2050 | 193,896 | |
250,000 | American Tower Corp., Sr. Unsecd. Note, 3.800%, 8/15/2029 | 232,462 | |
100,000 | American Tower Corp., Sr. Unsecd. Note, 4.400%, 2/15/2026 | 98,268 | |
500,000 | American Tower Corp., Sr. Unsecd. Note, 5.450%, 2/15/2034 | 495,837 | |
280,000 | Bell Canada, Sr. Unsecd. Note, 4.464%, 4/1/2048 | 234,158 | |
300,000 | Crown Castle, Inc., Sr. Unsecd. Note, 2.250%, 1/15/2031 | 246,837 | |
400,000 | Crown Castle, Inc., Sr. Unsecd. Note, 4.450%, 2/15/2026 | 393,237 | |
300,000 | Crown Castle, Inc., Sr. Unsecd. Note, 5.100%, 5/1/2033 | 289,525 | |
200,000 | Crown Castle, Inc., Sr. Unsecd. Note, 5.200%, 2/15/2049 | 181,524 | |
300,000 | TELUS Corp., Sr. Unsecd. Note, 2.800%, 2/16/2027 | 282,269 | |
415,000 | T-Mobile USA, Inc., 4.500%, 4/15/2050 | 346,841 | |
500,000 | T-Mobile USA, Inc., Series WI, 2.700%, 3/15/2032 | 418,462 | |
550,000 | T-Mobile USA, Inc., Series WI, 3.000%, 2/15/2041 | 393,786 | |
600,000 | T-Mobile USA, Inc., Series WI, 3.875%, 4/15/2030 | 561,039 | |
575,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.150%, 4/15/2034 | 565,361 | |
670,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.650%, 1/15/2053 | 660,582 | |
230,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 227,286 | |
350,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.250%, 9/17/2050 | 273,384 | |
580,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | 534,895 | |
250,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.750%, 6/28/2054 | 242,283 | |
TOTAL | 7,536,460 | ||
Communications - Telecom Wirelines—5.8% | |||
400,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 375,638 | |
877,000 | AT&T, Inc., Sr. Unsecd. Note, 2.550%, 12/1/2033 | 697,625 | |
350,000 | AT&T, Inc., Sr. Unsecd. Note, 2.750%, 6/1/2031 | 299,806 | |
300,000 | AT&T, Inc., Sr. Unsecd. Note, 3.500%, 6/1/2041 | 229,343 | |
1,000,000 | AT&T, Inc., Sr. Unsecd. Note, 3.650%, 6/1/2051 | 706,904 | |
255,000 | AT&T, Inc., Sr. Unsecd. Note, 3.850%, 6/1/2060 | 178,002 | |
500,000 | AT&T, Inc., Sr. Unsecd. Note, 4.300%, 2/15/2030 | 479,162 | |
500,000 | AT&T, Inc., Sr. Unsecd. Note, 4.350%, 3/1/2029 | 484,734 | |
400,000 | AT&T, Inc., Sr. Unsecd. Note, 5.450%, 3/1/2047 | 388,268 | |
500,000 | AT&T, Inc., Sr. Unsecd. Note, 5.539%, 2/20/2026 | 499,993 | |
245,000 | AT&T, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2041 | 259,055 | |
545,000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | 478,302 | |
815,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 4.500%, 3/15/2042 | 690,710 | |
200,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 4.550%, 3/15/2052 | 163,394 | |
375,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 5.000%, 2/15/2029 | 370,453 | |
40,000 | Telefonica SA, Company Guarantee, 7.045%, 6/20/2036 | 43,543 | |
680,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 1.450%, 3/20/2026 | 636,912 | |
400,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 2.550%, 3/21/2031 | 339,945 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Communications - Telecom Wirelines—continued | |||
$1,785,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041 | $ 1,365,787 | |
30,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.000%, 3/22/2050 | 23,388 | |
390,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 315,575 | |
750,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 3/16/2027 | 731,281 | |
500,000 | Verizon Communications, Inc., Sr. Unsecd. Note, Series WI, 1.680%, 10/30/2030 | 406,525 | |
TOTAL | 10,164,345 | ||
Consumer Cyclical - Automotive—5.3% | |||
650,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.000%, 12/14/2026 | 600,933 | |
175,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | 155,993 | |
500,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 6.125%, 3/8/2034 | 494,902 | |
1,805,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 7.122%, 11/7/2033 | 1,908,395 | |
200,000 | General Motors Co., Sr. Unsecd. Note, 4.000%, 4/1/2025 | 197,380 | |
455,000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | 399,665 | |
110,000 | General Motors Co., Sr. Unsecd. Note, 6.750%, 4/1/2046 | 114,968 | |
750,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 1.500%, 6/10/2026 | 694,964 | |
750,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028 | 672,795 | |
50,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.700%, 8/20/2027 | 46,141 | |
250,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.300%, 7/13/2025 | 246,743 | |
800,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 5.750%, 2/8/2031 | 802,411 | |
300,000 | General Motors Financial Co., Inc., Unsecd. Note, 3.500%, 11/7/2024 | 297,515 | |
600,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 1.000%, 9/17/2024 | 593,811 | |
380,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.000%, 6/15/2028 | 335,485 | |
1,200,000 | Nissan Motor Acceptance Co. LLC., Sr. Unsecd. Note, 144A, 1.850%, 9/16/2026 | 1,099,081 | |
400,000 | Stellantis Finance US, Inc., Sr. Unsecd. Note, 144A, 1.711%, 1/29/2027 | 364,608 | |
400,000 | Stellantis Finance US, Inc., Sr. Unsecd. Note, 144A, 2.691%, 9/15/2031 | 330,806 | |
TOTAL | 9,356,596 | ||
Consumer Cyclical - Retailers—2.3% | |||
150,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, 1.750%, 10/1/2027 | 131,312 | |
675,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 610,442 | |
600,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 448,548 | |
185,000 | AutoNation, Inc., Sr. Unsecd. Note, 1.950%, 8/1/2028 | 160,476 | |
750,000 | AutoNation, Inc., Sr. Unsecd. Note, 3.850%, 3/1/2032 | 666,463 | |
130,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.500%, 10/1/2025 | 128,024 | |
55,000 | AutoZone, Inc., Sr. Unsecd. Note, 3.125%, 4/21/2026 | 52,862 | |
345,000 | AutoZone, Inc., Sr. Unsecd. Note, 4.000%, 4/15/2030 | 324,567 | |
350,000 | AutoZone, Inc., Sr. Unsecd. Note, 5.400%, 7/15/2034 | 346,272 | |
300,000 | Dollar General Corp., Sr. Unsecd. Note, 4.125%, 5/1/2028 | 288,873 | |
610,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 1.750%, 3/15/2031 | 492,223 | |
160,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2030 | 152,398 | |
230,000 | Tractor Supply Co., Sr. Unsecd. Note, 5.250%, 5/15/2033 | 228,102 | |
TOTAL | 4,030,562 | ||
Consumer Cyclical - Services—0.3% | |||
570,000 | Expedia Group, Inc., Sr. Unsecd. Note, Series WI, 3.250%, 2/15/2030 | 514,010 | |
Consumer Non-Cyclical - Food/Beverage—4.5% | |||
125,000 | Bacardi Ltd., Sr. Unsecd. Note, 144A, 2.750%, 7/15/2026 | 118,190 | |
225,000 | Campbell Soup Co., Sr. Unsecd. Note, 5.200%, 3/21/2029 | 225,205 | |
650,000 | Coca-Cola Europacific Partners PLC, Sr. Unsecd. Note, 144A, 1.500%, 1/15/2027 | 594,038 | |
710,000 | Conagra Brands, Inc., Sr. Unsecd. Note, 1.375%, 11/1/2027 | 625,713 | |
115,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.800%, 1/15/2029 | 113,382 | |
400,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.900%, 5/1/2033 | 386,412 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Food/Beverage—continued | |||
$ 250,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 5.250%, 11/15/2048 | $ 232,958 | |
135,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 112,542 | |
210,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 201,781 | |
445,000 | General Mills, Inc., Sr. Unsecd. Note, 3.000%, 2/1/2051 | 283,706 | |
150,000 | Heineken NV, Sr. Unsecd. Note, 144A, 4.350%, 3/29/2047 | 128,204 | |
110,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.832%, 10/15/2027 | 98,262 | |
300,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 2.300%, 11/1/2030 | 250,266 | |
255,000 | JDE Peet’s B.V., Sr. Unsecd. Note, 144A, 0.800%, 9/24/2024 | 251,524 | |
53,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 52,483 | |
750,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 610,578 | |
190,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 1.850%, 2/15/2031 | 154,266 | |
250,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 3.400%, 8/15/2027 | 237,915 | |
500,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 2.625%, 9/13/2031 | 400,591 | |
300,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 254,887 | |
300,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027 | 288,920 | |
350,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 2.375%, 3/15/2030 | 302,509 | |
300,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 3.500%, 3/15/2025 | 295,497 | |
400,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 332,883 | |
200,000 | Tyson Foods, Inc., 3.950%, 8/15/2024 | 199,489 | |
585,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.550%, 6/2/2027 | 559,356 | |
500,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 5.700%, 3/15/2034 | 498,321 | |
TOTAL | 7,809,878 | ||
Consumer Non-Cyclical - Health Care—2.7% | |||
350,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.600%, 5/27/2030 | 305,037 | |
220,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 3.000%, 9/23/2029 | 199,185 | |
55,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 54,527 | |
300,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.669%, 6/6/2047 | 261,751 | |
179,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 157,846 | |
400,000 | CVS Health Corp., Sr. Unsecd. Note, 2.875%, 6/1/2026 | 381,063 | |
50,000 | CVS Health Corp., Sr. Unsecd. Note, 3.875%, 7/20/2025 | 49,113 | |
880,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 758,778 | |
520,000 | CVS Health Corp., Sr. Unsecd. Note, 5.125%, 7/20/2045 | 458,032 | |
500,000 | CVS Health Corp., Sr. Unsecd. Note, 6.050%, 6/1/2054 | 490,699 | |
145,000 | GE Healthcare Holding LLC, Sr. Unsecd. Note, 6.377%, 11/22/2052 | 157,493 | |
1,500,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 1,003,549 | |
365,000 | HCA, Inc., Sr. Unsecd. Note, 6.000%, 4/1/2054 | 360,884 | |
TOTAL | 4,637,957 | ||
Consumer Non-Cyclical - Pharmaceuticals—3.4% | |||
955,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | 876,546 | |
750,000 | Amgen, Inc., Sr. Unsecd. Note, 2.450%, 2/21/2030 | 654,317 | |
980,000 | Amgen, Inc., Sr. Unsecd. Note, 5.250%, 3/2/2033 | 977,626 | |
970,000 | Amgen, Inc., Sr. Unsecd. Note, 5.650%, 3/2/2053 | 955,967 | |
300,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.625%, 6/25/2038 | 252,284 | |
300,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.875%, 6/25/2048 | 241,527 | |
500,000 | Bayer US Finance LLC, Sr. Unsecd. Note, 144A, 6.500%, 11/21/2033 | 511,691 | |
600,000 | Biogen, Inc., Sr. Unsecd. Note, 3.150%, 5/1/2050 | 386,889 | |
335,000 | Revvity, Inc., Sr. Unsecd. Note, 0.850%, 9/15/2024 | 331,236 | |
375,000 | Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 2.050%, 3/31/2030 | 316,562 | |
500,000 | Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 3.025%, 7/9/2040 | 362,422 | |
TOTAL | 5,867,067 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Supermarkets—0.3% | |||
$ 300,000 | Kroger Co., Bond, 6.900%, 4/15/2038 | $ 333,929 | |
250,000 | Kroger Co., Sr. Unsecd. Note, 3.950%, 1/15/2050 | 192,981 | |
TOTAL | 526,910 | ||
Consumer Non-Cyclical - Tobacco—1.7% | |||
500,000 | Altria Group, Inc., Sr. Unsecd. Note, 3.700%, 2/4/2051 | 338,235 | |
650,000 | Altria Group, Inc., Sr. Unsecd. Note, 3.875%, 9/16/2046 | 468,672 | |
200,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.800%, 2/14/2029 | 196,797 | |
325,000 | BAT Capital Corp., Sr. Unsecd. Note, 2.259%, 3/25/2028 | 291,283 | |
490,000 | BAT Capital Corp., Sr. Unsecd. Note, 6.000%, 2/20/2034 | 495,938 | |
500,000 | BAT Capital Corp., Sr. Unsecd. Note, Series WI, 3.557%, 8/15/2027 | 475,074 | |
200,000 | BAT Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047 | 154,149 | |
300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 5.850%, 8/15/2045 | 277,015 | |
300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 310,532 | |
TOTAL | 3,007,695 | ||
Energy - Independent—2.6% | |||
680,000 | Apache Corp., Sr. Unsecd. Note, 5.100%, 9/1/2040 | 580,765 | |
250,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.050%, 7/15/2025 | 240,833 | |
390,000 | Coterra Energy, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 5/15/2027 | 375,291 | |
175,000 | Coterra Energy, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 3/15/2029 | 167,440 | |
410,000 | Diamondback Energy, Inc., Sr. Unsecd. Note, 5.750%, 4/18/2054 | 397,748 | |
190,000 | Diamondback Energy, Inc., Sr. Unsecd. Note, 6.250%, 3/15/2033 | 198,824 | |
685,000 | Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041 | 683,300 | |
200,000 | Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027 | 195,619 | |
650,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.600%, 3/15/2046 | 678,508 | |
510,000 | Ovintiv, Inc., Sr. Unsecd. Note, 7.100%, 7/15/2053 | 560,001 | |
500,000 | Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2031 | 419,996 | |
TOTAL | 4,498,325 | ||
Energy - Integrated—1.1% | |||
605,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 3.750%, 2/15/2052 | 426,714 | |
300,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027 | 291,918 | |
355,000 | Eni SpA, Sr. Unsecd. Note, 144A, 5.500%, 5/15/2034 | 351,866 | |
230,000 | Eni SpA, Sr. Unsecd. Note, 144A, 5.950%, 5/15/2054 | 226,057 | |
100,000 | Petro-Canada, Bond, 5.350%, 7/15/2033 | 96,100 | |
130,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 6.500%, 3/13/2027 | 123,954 | |
500,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 3.750%, 3/4/2051 | 358,951 | |
TOTAL | 1,875,560 | ||
Energy - Midstream—8.0% | |||
130,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.400%, 2/15/2031 | 114,100 | |
165,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.600%, 9/1/2032 | 142,380 | |
400,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 391,552 | |
100,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2025 | 98,793 | |
100,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 5.800%, 6/1/2045 | 97,668 | |
495,000 | Columbia Pipeline Holding Co. LLC, Sr. Unsecd. Note, 144A, 5.681%, 1/15/2034 | 487,840 | |
300,000 | Enbridge Energy Partners LP, 5.875%, 10/15/2025 | 300,831 | |
80,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | 76,367 | |
300,000 | Enbridge, Inc., Sr. Unsecd. Note, 3.125%, 11/15/2029 | 270,992 | |
600,000 | Enbridge, Inc., Sr. Unsecd. Note, 5.700%, 3/8/2033 | 604,939 | |
300,000 | Enbridge, Inc., Sr. Unsecd. Note, 5.950%, 4/5/2054 | 297,883 | |
725,000 | Energy Transfer LP, Sr. Unsecd. Note, 5.000%, 5/15/2050 | 615,928 | |
250,000 | Energy Transfer LP, Sr. Unsecd. Note, 5.300%, 4/15/2047 | 221,029 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Energy - Midstream—continued | |||
$ 170,000 | Energy Transfer LP, Sr. Unsecd. Note, 5.550%, 5/15/2034 | $ 168,352 | |
250,000 | Energy Transfer LP, Sr. Unsecd. Note, 6.125%, 12/15/2045 | 245,316 | |
550,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.700%, 1/31/2051 | 405,784 | |
200,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.250%, 2/15/2048 | 163,642 | |
500,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.850%, 3/15/2044 | 450,599 | |
400,000 | Kinder Morgan Energy Partners LP, 4.250%, 9/1/2024 | 398,833 | |
495,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 504,073 | |
300,000 | Kinder Morgan, Inc., 5.050%, 2/15/2046 | 262,796 | |
300,000 | Kinder Morgan, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2028 | 291,351 | |
350,000 | MPLX LP, Sr. Unsecd. Note, 2.650%, 8/15/2030 | 301,744 | |
395,000 | MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027 | 383,689 | |
200,000 | MPLX LP, Sr. Unsecd. Note, 4.900%, 4/15/2058 | 164,591 | |
500,000 | MPLX LP, Sr. Unsecd. Note, 4.950%, 3/14/2052 | 424,222 | |
275,000 | MPLX LP, Sr. Unsecd. Note, 5.500%, 6/1/2034 | 270,945 | |
80,000 | MPLX LP, Sr. Unsecd. Note, Series WI, 4.250%, 12/1/2027 | 77,447 | |
195,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 163,845 | |
130,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.950%, 9/15/2027 | 124,365 | |
200,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 199,454 | |
400,000 | ONEOK, Inc., Sr. Unsecd. Note, 3.100%, 3/15/2030 | 357,768 | |
500,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 427,554 | |
500,000 | ONEOK, Inc., Sr. Unsecd. Note, 6.625%, 9/1/2053 | 533,985 | |
600,000 | Plains All American Pipeline LP, Sr. Unsecd. Note, 5.150%, 6/1/2042 | 532,099 | |
250,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 206,748 | |
180,000 | Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033 | 161,933 | |
350,000 | Targa Resources, Inc., Sr. Unsecd. Note, 6.125%, 3/15/2033 | 359,635 | |
500,000 | Targa Resources, Inc., Sr. Unsecd. Note, 6.250%, 7/1/2052 | 505,099 | |
290,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 277,907 | |
290,000 | Williams Cos., Inc., Sr. Unsecd. Note, 3.900%, 1/15/2025 | 287,300 | |
650,000 | Williams Cos., Inc., Sr. Unsecd. Note, 4.900%, 1/15/2045 | 567,961 | |
1,000,000 | Williams Cos., Inc., Sr. Unsecd. Note, 5.150%, 3/15/2034 | 976,035 | |
TOTAL | 13,915,374 | ||
Energy - Refining—1.2% | |||
200,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 3.625%, 9/15/2024 | 199,054 | |
225,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044 | 192,230 | |
150,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 6.500%, 3/1/2041 | 156,233 | |
245,000 | Phillips 66, Sr. Unsecd. Note, 1.300%, 2/15/2026 | 229,453 | |
565,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 500,726 | |
400,000 | Valero Energy Corp., Sr. Unsecd. Note, 2.800%, 12/1/2031 | 339,676 | |
140,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 4/1/2029 | 133,295 | |
400,000 | 1 | Valero Energy Corp., Sr. Unsecd. Note, 4.900%, 3/15/2045 | 359,494 |
TOTAL | 2,110,161 | ||
Financial Institution - Banking—8.6% | |||
410,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 405,708 | |
200,000 | Bank of America Corp., Sub. Note, Series L, 3.950%, 4/21/2025 | 197,171 | |
800,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 792,523 | |
500,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.750%, 3/9/2027 | 480,351 | |
400,000 | Capital One Financial Corp., Sr. Unsecd. Note, 5.700%, 2/1/2030 | 401,999 | |
400,000 | Capital One Financial Corp., Sr. Unsecd. Note, 5.817%, 2/1/2034 | 396,110 | |
480,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 460,926 | |
250,000 | Citigroup, Inc., 5.500%, 9/13/2025 | 249,826 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$ 450,000 | Citigroup, Inc., Sub. Note, 4.450%, 9/29/2027 | $ 438,744 | |
500,000 | Citigroup, Inc., Sub., 5.827%, 2/13/2035 | 495,004 | |
285,000 | Citigroup, Inc., Sub., 6.174%, 5/25/2034 | 289,993 | |
550,000 | Citizens Financial Group, Inc., Sr. Unsecd. Note, 5.841%, 1/23/2030 | 548,391 | |
580,000 | Citizens Financial Group, Inc., Sub. Note, 2.638%, 9/30/2032 | 445,290 | |
200,000 | Comerica, Inc., 3.800%, 7/22/2026 | 190,362 | |
655,000 | Comerica, Inc., Sr. Unsecd. Note, 5.982%, 1/30/2030 | 645,538 | |
200,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 197,109 | |
200,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 190,969 | |
695,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 5.631%, 1/29/2032 | 689,232 | |
370,000 | FNB Corp. (PA), Sr. Unsecd. Note, 5.150%, 8/25/2025 | 364,889 | |
500,000 | Goldman Sachs Group, Inc., 5.950%, 1/15/2027 | 508,602 | |
400,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, Series DMTN, 2.383%, 7/21/2032 | 328,613 | |
900,000 | Goldman Sachs Group, Inc., Sub. Note, 4.250%, 10/21/2025 | 884,618 | |
300,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 5.709%, 2/2/2035 | 295,487 | |
750,000 | Huntington National Bank, Sr. Unsecd. Note, 4.552%, 5/17/2028 | 731,058 | |
800,000 | KeyCorp, Sr. Unsecd. Note, 6.401%, 3/6/2035 | 811,465 | |
370,000 | M&T Bank Corp., Sr. Unsecd. Note, 6.082%, 3/13/2032 | 368,970 | |
480,000 | M&T Bank Corp., Sr. Unsecd. Note, 7.413%, 10/30/2029 | 505,190 | |
400,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.239%, 7/21/2032 | 326,902 | |
450,000 | Morgan Stanley, Sub. Note, 5.000%, 11/24/2025 | 447,110 | |
620,000 | Regions Financial Corp., Sr. Unsecd. Note, 5.722%, 6/6/2030 | 619,800 | |
750,000 | Synovus Bank GA, Sr. Unsecd. Note, 5.625%, 2/15/2028 | 724,933 | |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 191,741 | |
350,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.867%, 6/8/2034 | 352,838 | |
TOTAL | 14,977,462 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.7% | |||
160,000 | Jefferies Financial Group LLC, Sr. Unsecd. Note, 5.875%, 7/21/2028 | 161,663 | |
575,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 459,800 | |
200,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 195,628 | |
200,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.000%, 5/15/2030 | 184,416 | |
300,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.250%, 7/18/2024 | 299,752 | |
TOTAL | 1,301,259 | ||
Financial Institution - Finance Companies—2.4% | |||
500,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 2.450%, 10/29/2026 | 466,588 | |
525,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.000%, 10/29/2028 | 477,287 | |
1,300,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.400%, 10/29/2033 | 1,091,107 | |
505,000 | Air Lease Corp., Sr. Unsecd. Note, 2.200%, 1/15/2027 | 466,466 | |
500,000 | Air Lease Corp., Sr. Unsecd. Note, 2.875%, 1/15/2032 | 418,521 | |
400,000 | Air Lease Corp., Sr. Unsecd. Note, 5.100%, 3/1/2029 | 395,908 | |
460,000 | Ally Financial, Inc., Sr. Unsecd. Note, 6.848%, 1/3/2030 | 472,846 | |
350,000 | Jefferies Financial Group, Inc., Sr. Unsecd. Note, 6.200%, 4/14/2034 | 354,682 | |
TOTAL | 4,143,405 | ||
Financial Institution - Insurance - Health—0.6% | |||
1,000,000 | Centene Corp., 2.500%, 3/1/2031 | 821,426 | |
250,000 | The Cigna Group, Sr. Unsecd. Note, 4.900%, 12/15/2048 | 219,886 | |
TOTAL | 1,041,312 | ||
Financial Institution - Insurance - Life—1.0% | |||
545,000 | Corebridge Financial, Inc., Sr. Unsecd. Note, 5.750%, 1/15/2034 | 548,949 | |
110,000 | Lincoln National Corp., Sr. Note, 7.000%, 6/15/2040 | 119,169 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Insurance - Life—continued | |||
$ 400,000 | Lincoln National Corp., Sr. Unsecd. Note, 3.050%, 1/15/2030 | $ 355,862 | |
500,000 | Lincoln National Corp., Sr. Unsecd. Note, 5.852%, 3/15/2034 | 499,657 | |
100,000 | MetLife, Inc., Jr. Sub. Note, 10.750%, 8/1/2039 | 133,954 | |
50,000 | Penn Mutual Life Insurance Co., Sr. Note, 144A, 7.625%, 6/15/2040 | 55,830 | |
TOTAL | 1,713,421 | ||
Financial Institution - Insurance - P&C—1.2% | |||
800,000 | Aon North America, Inc., 5.750%, 3/1/2054 | 783,145 | |
500,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029 | 474,010 | |
400,000 | CNA Financial Corp., Sr. Unsecd. Note, 5.500%, 6/15/2033 | 399,189 | |
120,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 6.625%, 4/15/2042 | 125,584 | |
412,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.569%, 2/1/2029 | 401,879 | |
TOTAL | 2,183,807 | ||
Financial Institution - REIT - Apartment—0.3% | |||
160,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | 157,025 | |
160,000 | Mid-America Apartment Communities LP, Sr. Unsub. 1.700%, 2/15/2031 | 128,455 | |
80,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | 64,612 | |
200,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 188,630 | |
TOTAL | 538,722 | ||
Financial Institution - REIT - Healthcare—0.9% | |||
375,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 295,646 | |
245,000 | Healthcare Trust of America, Sr. Unsecd. Note, 3.100%, 2/15/2030 | 214,353 | |
300,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 287,029 | |
325,000 | Welltower, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2031 | 277,533 | |
500,000 | Welltower, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 478,155 | |
TOTAL | 1,552,716 | ||
Financial Institution - REIT - Office—1.1% | |||
65,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 1.875%, 2/1/2033 | 48,928 | |
90,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 87,002 | |
100,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | 95,795 | |
250,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.700%, 7/1/2030 | 241,688 | |
105,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 5.250%, 5/15/2036 | 101,124 | |
950,000 | Boston Properties LP, Sr. Unsecd. Note, 2.900%, 3/15/2030 | 806,396 | |
840,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | 616,510 | |
TOTAL | 1,997,443 | ||
Financial Institution - REIT - Other—0.8% | |||
570,000 | Host Hotels & Resorts LP, Sr. Unsecd. Note, 5.700%, 7/1/2034 | 560,527 | |
175,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | 163,473 | |
750,000 | WP Carey, Inc., Sr. Unsecd. Note, 5.375%, 6/30/2034 | 729,838 | |
TOTAL | 1,453,838 | ||
Financial Institution - REIT - Retail—0.9% | |||
140,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.800%, 10/1/2026 | 132,463 | |
290,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.800%, 4/1/2027 | 279,029 | |
350,000 | Kimco Realty Corp., Sr. Unsecd. Note, 6.400%, 3/1/2034 | 370,118 | |
300,000 | Regency Centers LP, Sr. Unsecd. Note, 3.700%, 6/15/2030 | 276,488 | |
170,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 163,762 | |
460,000 | Tanger Properties LP, Sr. Unsecd. Note, 3.125%, 9/1/2026 | 433,819 | |
TOTAL | 1,655,679 | ||
Technology—8.5% | |||
1,070,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 1,032,712 | |
190,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 179,525 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$ 300,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 2.600%, 2/15/2033 | $ 243,243 | |
310,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.137%, 11/15/2035 | 248,358 | |
10,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036 | 7,918 | |
450,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.469%, 4/15/2034 | 383,776 | |
70,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2051 | 52,169 | |
900,000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 842,896 | |
370,000 | Concentrix Corp., Sr. Unsecd. Note, 6.650%, 8/2/2026 | 373,945 | |
250,000 | Dell International LLC / EMC Corp., Sr. Unsecd. Note, 4.000%, 7/15/2024 | 249,830 | |
1,000,000 | Dell International LLC / EMC Corp., Sr. Unsecd. Note, 5.300%, 10/1/2029 | 1,005,970 | |
500,000 | Equifax, Inc., Sr. Unsecd. Note, 2.350%, 9/15/2031 | 410,477 | |
205,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 202,318 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 192,529 | |
135,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.100%, 3/1/2041 | 97,033 | |
375,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 346,845 | |
230,000 | Fiserv, Inc., Sr. Unsecd. Note, 5.600%, 3/2/2033 | 232,017 | |
150,000 | Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026 | 139,309 | |
710,000 | Global Payments, Inc., Sr. Unsecd. Note, 1.200%, 3/1/2026 | 661,173 | |
500,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2027 | 463,311 | |
85,000 | Global Payments, Inc., Sr. Unsecd. Note, 3.200%, 8/15/2029 | 76,400 | |
450,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 4.550%, 10/30/2024 | 448,778 | |
155,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 149,159 | |
245,000 | Microchip Technology, Inc., Sr. Unsecd. Note, 5.050%, 3/15/2029 | 243,092 | |
765,000 | Micron Technology, Inc., Sr. Unsecd. Note, 3.366%, 11/1/2041 | 560,149 | |
200,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.975%, 2/6/2026 | 198,474 | |
850,000 | Oracle Corp., Sr. Unsecd. Note, 1.650%, 3/25/2026 | 797,159 | |
1,600,000 | Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050 | 1,120,842 | |
1,000,000 | Oracle Corp., Sr. Unsecd. Note, 3.650%, 3/25/2041 | 765,781 | |
550,000 | Oracle Corp., Sr. Unsecd. Note, 5.550%, 2/6/2053 | 520,760 | |
200,000 | Oracle Corp., Sr. Unsecd. Note, 6.250%, 11/9/2032 | 211,784 | |
300,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 1.400%, 9/15/2027 | 267,195 | |
110,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.950%, 9/15/2029 | 98,982 | |
60,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.850%, 12/15/2025 | 58,679 | |
245,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 4.200%, 9/15/2028 | 236,897 | |
85,000 | Skyworks Solutions, Inc., Sr. Unsecd. Note, 1.800%, 6/1/2026 | 79,086 | |
75,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | 72,491 | |
80,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 79,037 | |
95,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 79,539 | |
150,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 144,306 | |
600,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 5.250%, 6/5/2034 | 591,044 | |
160,000 | VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026 | 147,361 | |
730,000 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 593,436 | |
TOTAL | 14,905,785 | ||
Transportation - Airlines—0.3% | |||
100,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.125%, 6/15/2027 | 99,517 | |
495,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | 492,816 | |
TOTAL | 592,333 | ||
Transportation - Railroads—0.4% | |||
100,000 | Canadian Pacific Railway Co., 7.125%, 10/15/2031 | 111,296 | |
225,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 1.750%, 12/2/2026 | 207,644 | |
105,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.050%, 3/5/2030 | 89,626 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Transportation - Railroads—continued | |||
$ 195,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 3.000%, 12/2/2041 | $ 168,487 | |
200,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 4.700%, 5/1/2048 | 173,392 | |
TOTAL | 750,445 | ||
Transportation - Services—2.0% | |||
330,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2042 | 331,411 | |
250,000 | FedEx Corp., Sr. Unsecd. Note, 3.250%, 5/15/2041 | 183,646 | |
550,000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | 428,032 | |
725,000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 1.650%, 7/15/2026 | 668,715 | |
315,000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 2.650%, 7/15/2031 | 255,628 | |
300,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 1.700%, 6/15/2026 | 278,341 | |
400,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.950%, 3/10/2025 | 395,187 | |
200,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 5.250%, 7/1/2029 | 198,369 | |
50,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 5.350%, 1/12/2027 | 49,924 | |
260,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 1.750%, 9/1/2026 | 240,706 | |
220,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.900%, 12/1/2026 | 208,113 | |
200,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 5.650%, 3/1/2028 | 203,038 | |
TOTAL | 3,441,110 | ||
Utility - Electric—6.9% | |||
130,000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025 | 126,932 | |
385,000 | AEP Texas, Inc., Sr. Unsecd. Note, 4.700%, 5/15/2032 | 363,005 | |
500,000 | Ameren Corp., Sr. Unsecd. Note, 1.750%, 3/15/2028 | 441,467 | |
185,000 | Ameren Corp., Sr. Unsecd. Note, 1.950%, 3/15/2027 | 170,005 | |
80,000 | Ameren Corp., Sr. Unsecd. Note, 3.650%, 2/15/2026 | 77,582 | |
180,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 5.625%, 3/1/2033 | 179,460 | |
200,000 | Appalachian Power Co., Sr. Unsecd. Note, 7.000%, 4/1/2038 | 219,899 | |
170,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 143,559 | |
645,000 | CenterPoint Energy, Inc., Sr. Unsecd. Note, 2.650%, 6/1/2031 | 543,181 | |
450,000 | Constellation Energy Generation LLC, Sr. Unsecd. Note, 5.800%, 3/1/2033 | 459,437 | |
70,000 | Constellation Energy Generation LLC, Sr. Unsecd. Note, 6.125%, 1/15/2034 | 72,989 | |
55,000 | Constellation Energy Generation LLC, Sr. Unsecd. Note, 6.500%, 10/1/2053 | 58,435 | |
195,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 194,237 | |
130,000 | Dominion Energy, Inc., Sr. Unsecd. Note, 4.250%, 6/1/2028 | 125,648 | |
120,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series A, 1.450%, 4/15/2026 | 111,812 | |
240,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026 | 226,951 | |
1,200,000 | Duke Energy Corp., Sr. Unsecd. Note, 6.100%, 9/15/2053 | 1,219,315 | |
500,000 | EDP Finance B.V., Sr. Unsecd. Note, 144A, 1.710%, 1/24/2028 | 441,979 | |
300,000 | EDP Finance B.V., Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 299,710 | |
475,000 | Electricite de France S.A., Sr. Unsecd. Note, 144A, 6.250%, 5/23/2033 | 491,687 | |
740,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 609,502 | |
300,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 2.250%, 7/12/2031 | 244,818 | |
250,000 | EverSource Energy, Sr. Unsecd. Note, Series H, 3.150%, 1/15/2025 | 246,656 | |
100,000 | Exelon Corp., Sr. Unsecd. Note, 3.950%, 6/15/2025 | 98,441 | |
90,000 | Exelon Corp., Sr. Unsecd. Note, 4.100%, 3/15/2052 | 69,304 | |
95,000 | Exelon Corp., Sr. Unsecd. Note, 4.700%, 4/15/2050 | 80,225 | |
600,000 | Exelon Corp., Sr. Unsecd. Note, 5.150%, 3/15/2028 | 598,844 | |
180,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 149,011 | |
242,000 | Fortis, Inc. / Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 229,713 | |
290,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 283,242 | |
200,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.550%, 5/1/2027 | 191,017 | |
400,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 5.050%, 2/28/2033 | 389,002 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—continued | |||
$ 600,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 5.250%, 3/15/2034 | $ 589,807 | |
300,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.950%, 3/30/2048 | 225,279 | |
100,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 80,538 | |
95,000 | NiSource, Inc., Sr. Unsecd. Note, 5.250%, 3/30/2028 | 94,928 | |
400,000 | NiSource, Inc., Sr. Unsecd. Note, 5.400%, 6/30/2033 | 396,224 | |
230,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 205,529 | |
1,175,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 1,141,712 | |
285,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 2.200%, 12/15/2028 | 251,510 | |
TOTAL | 12,142,592 | ||
Utility - Natural Gas—0.5% | |||
65,000 | Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.900%, 11/15/2049 | 46,076 | |
500,000 | Sempra Energy, Jr. Sub. Note, 4.125%, 4/1/2052 | 462,725 | |
260,000 | Sempra Energy, Sr. Unsecd. Note, 3.700%, 4/1/2029 | 243,663 | |
250,000 | Sempra Energy, Sr. Unsecd. Note, 4.000%, 2/1/2048 | 190,253 | |
TOTAL | 942,717 | ||
Utility - Natural Gas Distributor—0.0% | |||
110,000 | The East Ohio Gas Co., Sr. Unsecd. Note, 144A, 3.000%, 6/15/2050 | 67,666 | |
TOTAL CORPORATE BONDS (IDENTIFIED COST $185,536,203) | 167,973,179 | ||
FOREIGN GOVERNMENTS/AGENCIES—1.4% | |||
Sovereign—1.4% | |||
700,000 | Mexico, Government of, 3.750%, 1/11/2028 | 661,586 | |
200,000 | Mexico, Government of, Series MTN, 4.750%, 3/8/2044 | 160,197 | |
206,000 | Mexico, Government of, Series MTNA, 6.750%, 9/27/2034 | 214,450 | |
800,000 | Mexico, Government of, Sr. Unsecd. Note, 3.250%, 4/16/2030 | 703,528 | |
250,000 | Mexico, Government of, Sr. Unsecd. Note, 4.500%, 4/22/2029 | 239,343 | |
300,000 | Mexico, Government of, Sr. Unsecd. Note, 4.500%, 1/31/2050 | 224,886 | |
190,000 | Peru, Government of, 6.550%, 3/14/2037 | 202,730 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $2,708,109) | 2,406,720 | ||
REPURCHASE AGREEMENT—1.6% | |||
2,767,000 | Interest in $1,187,000,000 joint repurchase agreement 5.33%, dated 6/28/2024 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,187,527,226 on 7/1/2024. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 5/20/2052 and the market value of those underlying securities was $1,211,277,770. (IDENTIFIED COST $2,767,000) | 2,767,000 | |
INVESTMENT COMPANY—0.3% | |||
505,730 | Federated Hermes Government Obligations Fund, Premier Shares, 5.23%2 (IDENTIFIED COST $505,730) | 505,730 | |
TOTAL INVESTMENT IN SECURITIES—99.3% (IDENTIFIED COST $191,517,042)3 | 173,652,629 | ||
OTHER ASSETS AND LIABILITIES - NET—0.7%4 | 1,277,958 | ||
TOTAL NET ASSETS—100% | $174,930,587 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
United States Treasury Notes 2-Year Long Futures | 70 | $14,295,313 | September 2024 | $45,765 |
United States Treasury Notes 5-Year Long Futures | 110 | $11,723,594 | September 2024 | $66,786 |
United States Treasury Notes 10-Year Long Futures | 15 | $1,649,766 | September 2024 | $15,085 |
Short Futures: | ||||
United States Treasury Notes 10-Year Ultra Short Futures | 30 | $3,405,938 | September 2024 | $(32,223) |
United States Treasury Ultra Bond Short Futures | 10 | $1,253,438 | September 2024 | $(18,486) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $76,927 |
Federated Hermes Government Obligations Fund, Premier Shares* | |
Value as of 12/31/2023 | $855,748 |
Purchases at Cost | $6,456,337 |
Proceeds from Sales | $(6,806,355) |
Change in Unrealized Appreciation/Depreciation | $— |
Net Realized Gain/(Loss) | $— |
Value as of 6/30/2024 | $505,730 |
Shares Held as of 6/30/2024 | 505,730 |
Dividend Income | $9,175 |
* | 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 | 7-day net yield. |
3 | Also represents cost of investments for federal tax purposes. |
4 | 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 June 30, 2024, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $167,973,179 | $— | $167,973,179 |
Foreign Governments/Agencies | — | 2,406,720 | — | 2,406,720 |
Investment Company | 505,730 | — | — | 505,730 |
Repurchase Agreement | — | 2,767,000 | — | 2,767,000 |
TOTAL SECURITIES | $505,730 | $173,146,899 | $— | $173,652,629 |
Other Financial Instruments:1 | ||||
Assets | $127,636 | $— | $— | $127,636 |
Liabilities | (50,709) | — | — | (50,709) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $76,927 | $— | $— | $76,927 |
1 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
BKNT | —Bank Notes | |
GMTN | —Global Medium Term Note | |
MTN | —Medium Term Note | |
REIT | —Real Estate Investment Trust |
Six Months Ended (unaudited) 6/30/2024 | Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $10.09 | $9.63 | $11.86 | $12.38 | $11.48 | $10.26 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.21 | 0.40 | 0.38 | 0.38 | 0.43 | 0.45 |
Net realized and unrealized gain (loss) | (0.19) | 0.46 | (2.20) | (0.44) | 0.91 | 1.22 |
TOTAL FROM INVESTMENT OPERATIONS | 0.02 | 0.86 | (1.82) | (0.06) | 1.34 | 1.67 |
Less Distributions: | ||||||
Distributions from net investment income | (0.21) | (0.40) | (0.38) | (0.38) | (0.43) | (0.45) |
Distributions from net realized gain | — | — | (0.03) | (0.08) | (0.01) | — |
TOTAL DISTRIBUTIONS | (0.21) | (0.40) | (0.41) | (0.46) | (0.44) | (0.45) |
Net Asset Value, End of Period | $9.90 | $10.09 | $9.63 | $11.86 | $12.38 | $11.48 |
Total Return2 | 0.21% | 9.20% | (15.44)% | (0.41)% | 11.88% | 16.56% |
Ratios to Average Net Assets: | ||||||
Net expenses3,4 | 0.00%5 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 4.31%5 | 4.13% | 3.69% | 3.19% | 3.64% | 4.11% |
Expense waiver/reimbursement6 | 0.23%5 | 0.26% | 0.24% | 0.23% | 0.27% | 0.30% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $174,931 | $155,899 | $134,660 | $182,389 | $143,775 | $105,126 |
Portfolio turnover7 | 4% | 5% | 7% | 11% | 13% | 18% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | The Adviser has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses, incurred by the Fund. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | 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. |
7 | Securities that mature are considered sales for purposes of this calculation. |
Assets: | |
Investment in securities, at value including $482,514 of securities loaned and $505,730 of investments in affiliated holdings* (identified cost $191,517,042, including $505,730 of identified cost in affiliated holdings) | $173,652,629 |
Cash | 248,588 |
Due from broker (Note 2) | 160,050 |
Income receivable | 2,135,943 |
Receivable for shares sold | 525,396 |
Receivable for variation margin on futures contracts | 16,912 |
Total Assets | 176,739,518 |
Liabilities: | |
Payable for investments purchased | 394,596 |
Payable for shares redeemed | 254,660 |
Payable for collateral due to broker for securities lending (Note 2) | 505,730 |
Income distribution payable | 614,848 |
Payable to adviser (Note 5) | 1,998 |
Payable for administrative fee (Note 5) | 1,114 |
Accrued expenses (Note 5) | 35,985 |
Total Liabilities | 1,808,931 |
Net assets for 17,674,584 shares outstanding | $174,930,587 |
Net Assets Consist of: | |
Paid-in capital | $195,436,835 |
Total distributable earnings (loss) | (20,506,248) |
Total Net Assets | $174,930,587 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$174,930,587 ÷ 17,674,584 shares outstanding, no par value, unlimited shares authorized | $9.90 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Interest | $3,530,869 |
Net income on securities loaned (includes $9,175 earned from affiliated holdings related to cash collateral balances*) (Note 2) | 2,442 |
TOTAL INCOME | 3,533,311 |
Expenses: | |
Administrative fee (Note 5) | 66,826 |
Custodian fees | 5,837 |
Transfer agent fees | 7,590 |
Directors’/Trustees’ fees (Note 5) | 959 |
Auditing fees | 17,074 |
Legal fees | 5,654 |
Portfolio accounting fees | 40,562 |
Share registration costs | 17,217 |
Printing and postage | 10,475 |
Commitment fees (Note 7) | 6,479 |
Miscellaneous (Note 5) | 7,681 |
TOTAL EXPENSES | 186,354 |
Reimbursement of other operating expenses (Note 5) | (186,354) |
Net expenses | — |
Net investment income | 3,533,311 |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net realized loss on investments | (341,767) |
Net realized loss on futures contracts | (217,237) |
Net change in unrealized depreciation of investments | (2,544,052) |
Net change in unrealized appreciation of futures contracts | (8,845) |
Net realized and unrealized gain (loss) on investments and futures contracts | (3,111,901) |
Change in net assets resulting from operations | $421,410 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 6/30/2024 | Year Ended 12/31/2023 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $3,533,311 | $5,907,363 |
Net realized gain (loss) | (559,004) | (914,732) |
Net change in unrealized appreciation/depreciation | (2,552,897) | 7,685,852 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 421,410 | 12,678,483 |
Distributions to Shareholders | (3,487,426) | (5,942,999) |
Share Transactions: | ||
Proceeds from sale of shares | 40,655,720 | 90,950,975 |
Net asset value of shares issued to shareholders in payment of distributions declared | 68,400 | 140,393 |
Cost of shares redeemed | (18,626,107) | (76,587,983) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 22,098,013 | 14,503,385 |
Change in net assets | 19,031,997 | 21,238,869 |
Net Assets: | ||
Beginning of period | 155,898,590 | 134,659,721 |
End of period | $174,930,587 | $155,898,590 |
Fair Value of Securities Loaned | Collateral Received |
$482,514 | $505,730 |
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 | $76,927* |
* | Includes cumulative net appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(217,237) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(8,845) |
Six Months Ended 6/30/2024 | Year Ended 12/31/2023 | |
Shares sold | 4,097,148 | 9,385,880 |
Shares issued to shareholders in payment of distributions declared | 6,909 | 14,398 |
Shares redeemed | (1,877,291) | (7,929,979) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 2,226,766 | 1,470,299 |
Short-Term | Long-Term | Total |
$629,872 | $1,516,270 | $2,146,142 |
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 | $30,881,010 |
Sales | $6,649,519 |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
and Additional Information
Ticker FHYSX |
Federated Hermes High Yield Strategy Portfolio
A Portfolio of Federated Hermes Managed Pool Series
Shares or Principal Amount | Value | ||
INVESTMENT COMPANY—98.4% | |||
5,263,102 | 1 | High Yield Bond Core Fund (IDENTIFIED COST $29,333,946) | 29,104,955 |
REPURCHASE AGREEMENT—2.0% | |||
$ 603,000 | Interest in $1,187,000,000 joint repurchase agreement 5.33%, dated 6/28/2024 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,187,527,226 on 7/1/2024. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 5/20/2052 and the market value of those underlying securities was $1,211,277,770. (IDENTIFIED COST $603,000) | $ 603,000 | |
TOTAL INVESTMENT IN SECURITIES—100.4% (IDENTIFIED COST $29,936,946)2 | 29,707,955 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.4)%3 | (114,328) | ||
TOTAL NET ASSETS—100% | $29,593,627 |
High Yield Bond Core Fund | |
Value as of 12/31/2023 | $24,174,980 |
Purchases at Cost | $5,184,337 |
Proceeds from Sales | $— |
Change in Unrealized Appreciation/Depreciation | $(254,362) |
Net Realized Gain/(Loss) | $— |
Value as of 6/30/2024 | $29,104,955 |
Shares Held as of 6/30/2024 | 5,263,102 |
Dividend Income | $844,765 |
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 Financial Statements and Notes to Financial Statements are included with this Report. |
2 | Also represents cost of investments for federal tax purposes. |
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 June 30, 2024, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Investment Company | $29,104,955 | $— | $— | $29,104,955 |
Repurchase Agreement | — | 603,000 | — | 603,000 |
TOTAL SECURITIES | $29,104,955 | $603,000 | $— | $29,707,955 |
Six Months Ended (unaudited) 6/30/2024 | Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $11.61 | $10.88 | $13.16 | $13.18 | $13.20 | $12.21 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.36 | 0.74 | 0.76 | 0.71 | 0.75 | 0.82 |
Net realized and unrealized gain (loss) | (0.12) | 0.72 | (2.27) | (0.01) | (0.01) | 0.99 |
TOTAL FROM INVESTMENT OPERATIONS | 0.24 | 1.46 | (1.51) | 0.70 | 0.74 | 1.81 |
Less Distributions: | ||||||
Distributions from net investment income | (0.36) | (0.73) | (0.77) | (0.72) | (0.76) | (0.82) |
Net Asset Value, End of Period | $11.49 | $11.61 | $10.88 | $13.16 | $13.18 | $13.20 |
Total Return2 | 2.09% | 13.96% | (11.63)% | 5.40% | 6.04% | 15.10% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.00%4 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 6.29%4 | 6.62% | 6.24% | 5.42% | 5.93% | 6.30% |
Expense waiver/reimbursement5 | 0.68%4 | 0.93% | 0.55% | 0.25% | 0.45% | 0.41% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $29,594 | $25,054 | $15,889 | $125,419 | $95,707 | $44,776 |
Portfolio turnover6 | 0% | 4% | 24% | 2% | 23% | 25% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | 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. |
4 | Computed on an annualized basis. |
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 | Securities that mature are considered sales for purposes of this calculation. |
Assets: | |
Investment in securities, at value including $29,104,955 of investments in affiliated holdings* (identified cost $29,936,946, including $29,333,946 of identified cost in affiliated holdings) | $29,707,955 |
Cash | 740 |
Income receivable | 268 |
Income receivable from affiliated holdings | 153,859 |
Receivable for shares sold | 102,745 |
Total Assets | 29,965,567 |
Liabilities: | |
Payable for investments purchased | 143,430 |
Payable for shares redeemed | 49,448 |
Income distribution payable | 146,230 |
Payable to adviser (Note 5) | 1,495 |
Payable for administrative fee (Note 5) | 188 |
Payable for auditing fees | 13,420 |
Payable for legal fees | 5,965 |
Accrued expenses (Note 5) | 11,764 |
Total Liabilities | 371,940 |
Net assets for 2,575,388 shares outstanding | $29,593,627 |
Net Assets Consist of: | |
Paid-in capital | $37,424,746 |
Total distributable earnings (loss) | (7,831,119) |
Total Net Assets | $29,593,627 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$29,593,627 ÷ 2,575,388 shares outstanding, no par value, unlimited shares authorized | $11.49 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Dividends received from affiliated holdings* | $844,765 |
Interest | 16,707 |
TOTAL INCOME | 861,472 |
Expenses: | |
Administrative fee (Note 5) | 10,638 |
Custodian fees | 1,591 |
Transfer agent fees | 2,577 |
Directors’/Trustees’ fees (Note 5) | 684 |
Auditing fees | 16,659 |
Legal fees | 5,654 |
Portfolio accounting fees | 26,854 |
Share registration costs | 13,061 |
Printing and postage | 10,922 |
Commitment fee | 1,558 |
Miscellaneous (Note 5) | 3,179 |
TOTAL EXPENSES | 93,377 |
Reimbursement of other operating expenses (Notes 2 and 5) | (93,377) |
Net expenses | — |
Net investment income | 861,472 |
Net change in unrealized appreciation of investments in affiliated holdings* | (254,362) |
Change in net assets resulting from operations | $607,110 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 6/30/2024 | Year Ended 12/31/2023 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $861,472 | $1,193,916 |
Net realized gain (loss) | — | (90,787) |
Net change in unrealized appreciation/depreciation | (254,362) | 1,500,903 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 607,110 | 2,604,032 |
Distributions to Shareholders | (857,998) | (1,193,834) |
Share Transactions: | ||
Proceeds from sale of shares | 6,816,030 | 12,103,936 |
Net asset value of shares issued to shareholders in payment of distributions declared | 20,860 | 34,123 |
Cost of shares redeemed | (2,046,359) | (4,383,708) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 4,790,531 | 7,754,351 |
Change in net assets | 4,539,643 | 9,164,549 |
Net Assets: | ||
Beginning of period | 25,053,984 | 15,889,435 |
End of period | $29,593,627 | $25,053,984 |
Six Months Ended 6/30/2024 | Year Ended 12/31/2023 | |
Shares sold | 594,137 | 1,088,611 |
Shares issued to shareholders in payment of distributions declared | 1,818 | 3,060 |
Shares redeemed | (178,791) | (393,396) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 417,164 | 698,275 |
Short-Term | Long-Term | Total |
$1,183,168 | $5,950,657 | $7,133,825 |
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 | $5,184,337 |
Sales | $— |
1 Year | 5 Years | 10 Years | ||
Fund | 14.43% | 5.35% | 4.87% | |
BHY2%ICI | 13.44% | 5.35% | 4.59% |
Index Classification | Percentage of Total Net Assets |
Technology | 11.4% |
Cable Satellite | 7.9% |
Insurance - P&C | 6.8% |
Automotive | 6.4% |
Midstream | 5.9% |
Media Entertainment | 5.3% |
Building Materials | 4.7% |
Packaging | 4.6% |
Gaming | 4.6% |
Health Care | 4.5% |
Independent Energy | 3.6% |
Other2 | 29.4% |
Cash Equivalents3 | 3.8% |
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 US 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 3.5% of the Fund’s total net assets have been aggregated under the designation “Other.” |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—94.8% | |||
Aerospace/Defense—1.5% | |||
$ 3,800,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.250%, 3/15/2026 | $ 3,797,292 | |
1,825,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.750%, 8/15/2028 | 1,869,406 | |
4,525,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.875%, 12/15/2030 | 4,663,714 | |
2,600,000 | TransDigm, Inc., Sr. Sub., Series WI, 7.500%, 3/15/2027 | 2,614,796 | |
TOTAL | 12,945,208 | ||
Airlines—0.1% | |||
812,500 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A, 5.500%, 4/20/2026 | 807,236 | |
Automotive—6.4% | |||
450,000 | Adient Global Holdings Ltd., Sec. Fac. Bond, 144A, 7.000%, 4/15/2028 | 465,418 | |
3,800,000 | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026 | 3,718,252 | |
375,000 | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 8.250%, 4/15/2031 | 397,385 | |
1,325,000 | Clarios Global LP, Sec. Fac. Bond, 144A, 6.750%, 5/15/2028 | 1,352,613 | |
4,050,000 | Dornoch Debt Merger Sub., Inc., Sr. Unsecd. Note, 144A, 6.625%, 10/15/2029 | 3,656,418 | |
6,825,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.375%, 11/13/2025 | 6,534,139 | |
3,700,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.000%, 11/13/2030 | 3,322,712 | |
2,000,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.125%, 8/17/2027 | 1,895,108 | |
3,725,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.113%, 5/3/2029 | 3,625,726 | |
3,175,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.125%, 6/16/2025 | 3,136,469 | |
3,525,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, Series GMTN, 4.389%, 1/8/2026 | 3,429,898 | |
400,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.000%, 5/15/2027 | 390,160 | |
3,550,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029 | 3,488,046 | |
975,000 | JB Poindexter & Co., Inc., Sr. Unsecd. Note, 144A, 8.750%, 12/15/2031 | 995,719 | |
8,025,000 | Panther BF Aggregator 2 LP, Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027 | 8,068,022 | |
3,925,000 | Real Hero Merger Sub 2, Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/1/2029 | 3,388,241 | |
3,575,000 | Schaeffler Verwaltung ZW, 144A, 4.750%, 9/15/2026 | 3,428,300 | |
1,850,000 | ZF North America Capital, Inc., Sr. Unsecd. Note, 144A, 6.875%, 4/14/2028 | 1,918,254 | |
600,000 | ZF North America Capital, Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/14/2030 | 640,175 | |
TOTAL | 53,851,055 | ||
Banking—0.2% | |||
1,875,000 | Ally Financial, Inc., Sr. Sub. Note, 5.750%, 11/20/2025 | 1,864,750 | |
Building Materials—4.7% | |||
2,500,000 | Abc Supply Co., Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/15/2029 | 2,231,273 | |
325,000 | American Builders & Contractors Supply Co., Inc., 144A, 4.000%, 1/15/2028 | 307,911 | |
475,000 | Beacon Roofing Supply, Inc., Sr. Note, 144A, 6.500%, 8/1/2030 | 486,038 | |
1,250,000 | Camelot Return Merger SU, Sec. Fac. Bond, 144A, 8.750%, 8/1/2028 | 1,270,405 | |
1,025,000 | Cornerstone Building Brands, Sr. Unsecd. Note, 144A, 6.125%, 1/15/2029 | 841,551 | |
3,775,000 | Cp Atlas Buyer, Inc., Sr. Unsecd. Note, 144A, 7.000%, 12/1/2028 | 3,290,969 | |
4,750,000 | Foundation Building Materials, Inc., Sr. Unsecd. Note, 144A, 6.000%, 3/1/2029 | 4,275,760 | |
4,275,000 | Gyp Holdings III Corp., Sr. Unsecd. Note, 144A, 4.625%, 5/1/2029 | 3,927,435 | |
2,950,000 | Interface, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/1/2028 | 2,730,883 | |
1,950,000 | MIWD Holdco II LLC/ MIWD Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 2/1/2030 | 1,728,031 | |
4,175,000 | Srs Distribution, Inc., Sr. Unsecd. Note, 144A, 6.000%, 12/1/2029 | 3,897,640 | |
2,850,000 | Srs Distribution, Inc., Sr. Unsecd. Note, 144A, 6.125%, 7/1/2029 | 2,705,320 | |
2,475,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 4.375%, 7/15/2030 | 2,275,968 | |
1,200,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2028 | 1,156,055 | |
3,425,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027 | 3,341,779 | |
3,575,000 | White Cap Buyer LLC, Sr. Unsecd. Note, 144A, 6.875%, 10/15/2028 | 3,465,111 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Building Materials—continued | |||
$ 1,900,000 | White Cap Parent LLC, Sr. Sub. Secd. Note, 144A, 8.250%, 3/15/2026 | $ 1,893,660 | |
TOTAL | 39,825,789 | ||
Cable Satellite—7.9% | |||
2,300,000 | CCO Holdings LLC/Cap Corp., Sr. Sub. Secd. Note, 144A, 5.500%, 5/1/2026 | 2,286,120 | |
3,000,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 4.500%, 5/1/2032 | 2,573,368 | |
3,850,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2031 | 3,369,732 | |
1,675,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2034 | 1,363,395 | |
1,500,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 8/15/2030 | 1,354,229 | |
1,825,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 6/1/2033 | 1,546,574 | |
1,650,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 1,579,978 | |
600,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.125%, 5/1/2027 | 580,077 | |
1,700,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029 | 1,604,768 | |
1,550,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2031 | 1,132,551 | |
3,800,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.125%, 12/1/2030 | 2,895,296 | |
3,800,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.500%, 11/15/2031 | 2,877,743 | |
3,175,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.625%, 12/1/2030 | 1,915,701 | |
2,275,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.000%, 11/15/2031 | 1,378,923 | |
4,500,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2030 | 2,805,930 | |
450,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.500%, 2/1/2029 | 397,528 | |
950,000 | DIRECTV Holdings LLC, Sec. Fac. Bond, 144A, 5.875%, 8/15/2027 | 893,377 | |
2,000,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.375%, 7/1/2028 | 1,197,506 | |
1,275,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.750%, 7/1/2026 | 889,363 | |
5,100,000 | DISH DBS Corp., Sr. Unsecd. Note, Series WI, 5.125%, 6/1/2029 | 2,633,767 | |
1,225,000 | DISH Network Corp., Sec. Fac. Bond, 144A, 11.750%, 11/15/2027 | 1,279,723 | |
3,000,000 | Doyla Holdco 18 Designated Activity Co., Sr. Unsecd. Note, 144A, 5.000%, 7/15/2028 | 2,820,598 | |
4,175,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2031 | 3,576,853 | |
2,725,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2030 | 2,431,770 | |
525,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.000%, 8/1/2027 | 507,475 | |
1,000,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029 | 967,915 | |
5,000,000 | Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028 | 4,698,000 | |
5,525,000 | UPC Broadband Finco B.V., Sr. Note, 144A, 4.875%, 7/15/2031 | 4,869,293 | |
725,000 | Virgin Media Finance PLC, Sr. Unsecd. Note, 144A, 5.000%, 7/15/2030 | 640,111 | |
925,000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 5.500%, 5/15/2029 | 894,815 | |
1,000,000 | Vmed O2 UK Financing I PLC, Sec. Fac. Bond, 144A, 4.250%, 1/31/2031 | 874,480 | |
2,425,000 | Vmed O2 UK Financing I PLC, Sr. Note, 144A, 4.750%, 7/15/2031 | 2,167,661 | |
700,000 | Ziggo Bond Co. B.V., Sr. Unsecd. Note, 144A, 5.125%, 2/28/2030 | 586,285 | |
5,350,000 | Ziggo Finance B.V., Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027 | 5,211,926 | |
TOTAL | 66,802,831 | ||
Chemicals—2.7% | |||
3,575,000 | Axalta Coating Systems LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2029 | 3,211,849 | |
675,000 | Cheever Escrow Issuer, Sec. Fac. Bond, 144A, 7.125%, 10/1/2027 | 676,279 | |
2,275,000 | Element Solutions, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2028 | 2,096,678 | |
2,775,000 | H.B. Fuller Co., Sr. Unsecd. Note, 4.250%, 10/15/2028 | 2,597,909 | |
4,700,000 | Herens Holdco S.a.r.l., Sec. Fac. Bond, 144A, 4.750%, 5/15/2028 | 3,861,198 | |
875,000 | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., Sr. Unsecd. Note, 144A, 9.000%, 7/1/2028 | 837,725 | |
1,275,000 | Olympus Water US Holding Corp., Sec. Fac. Bond, 144A, 9.750%, 11/15/2028 | 1,354,870 | |
5,675,000 | Olympus Water US Holding Corp., Sr. Unsecd. Note, 144A, 6.250%, 10/1/2029 | 5,046,725 | |
1,850,000 | Polar US Borrower LLC, Sr. Unsecd. Note, 144A, 6.750%, 5/15/2026 | 603,026 | |
750,000 | WR Grace Holdings LLC, Sec. Fac. Bond, 144A, 7.375%, 3/1/2031 | 751,425 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Chemicals—continued | |||
$ 1,575,000 | WR Grace Holdings LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 | $ 1,387,743 | |
TOTAL | 22,425,427 | ||
Construction Machinery—0.7% | |||
2,525,000 | H&E Equipment Services, Inc., Sr. Unsecd. Note, 144A, 3.875%, 12/15/2028 | 2,297,802 | |
625,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 3.750%, 1/15/2032 | 553,704 | |
1,100,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 4.875%, 1/15/2028 | 1,074,711 | |
825,000 | United Rentals North America, Inc., Term Loan - 1st Lien, 144A, 6.000%, 12/15/2029 | 838,198 | |
1,225,000 | United Rentals, Inc., Sr. Unsecd. Note, 3.875%, 2/15/2031 | 1,114,505 | |
TOTAL | 5,878,920 | ||
Consumer Cyclical Services—3.1% | |||
400,000 | Allied Universal Holdco LLC, Sec. Fac. Bond, 144A, 6.625%, 7/15/2026 | 398,275 | |
6,800,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | 5,550,834 | |
3,500,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027 | 3,433,559 | |
3,000,000 | Cars.com, Inc., Sr. Unsecd. Note, 144A, 6.375%, 11/1/2028 | 2,895,915 | |
1,125,000 | Garda World Security Corp., Sec. Fac. Bond, 144A, 7.750%, 2/15/2028 | 1,165,083 | |
6,875,000 | Garda World Security Corp., Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | 6,169,987 | |
2,453,000 | GW B-CR Security Corp., Sr. Unsecd. Note, 144A, 9.500%, 11/1/2027 | 2,475,774 | |
2,125,000 | Go Daddy Operating Co. LLC / GD Finance Co., Inc., Sr. Unsecd. Note, 144A, 5.250%, 12/1/2027 | 2,084,249 | |
1,700,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | 1,661,418 | |
TOTAL | 25,835,094 | ||
Consumer Products—1.7% | |||
325,000 | Acushnet Co., Sr. Unsecd. Note, 144A, 7.375%, 10/15/2028 | 339,272 | |
6,150,000 | BCPE Empire Holdings, Inc., Sr. Unsecd. Note, 144A, 7.625%, 5/1/2027 | 5,936,601 | |
1,450,000 | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 4.125%, 4/1/2029 | 1,321,284 | |
300,000 | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 5.500%, 6/1/2028 | 294,705 | |
5,275,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.375%, 3/31/2029 | 4,728,120 | |
1,075,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2028 | 995,007 | |
650,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 6.500%, 12/31/2027 | 650,670 | |
TOTAL | 14,265,659 | ||
Diversified Manufacturing—1.6% | |||
4,375,000 | Emerald Debt Merger, Sec. Fac. Bond, 144A, 6.625%, 12/15/2030 | 4,473,962 | |
6,375,000 | Gates Global LLC, Sr. Unsecd. Note, 144A, 6.250%, 1/15/2026 | 6,350,074 | |
2,900,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.250%, 6/15/2028 | 2,982,766 | |
TOTAL | 13,806,802 | ||
Finance Companies—2.5% | |||
1,900,000 | GTCR W. Merger Sub LLC, 144A, 7.500%, 1/15/2031 | 2,009,007 | |
900,000 | Navient Corp., Sr. Unsecd. Note, 4.875%, 3/15/2028 | 837,174 | |
4,450,000 | Navient Corp., Sr. Unsecd. Note, 5.500%, 3/15/2029 | 4,108,540 | |
575,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/25/2025 | 582,213 | |
5,250,000 | Quicken Loans LLC / Quicken Loans Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.875%, 3/1/2031 | 4,624,048 | |
2,275,000 | Rocket Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 4.000%, 10/15/2033 | 1,935,305 | |
3,025,000 | United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.500%, 11/15/2025 | 3,008,615 | |
3,000,000 | United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2029 | 2,843,625 | |
1,275,000 | United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.750%, 6/15/2027 | 1,250,947 | |
TOTAL | 21,199,474 | ||
Food & Beverage—1.7% | |||
2,650,000 | Bellring Brands, Inc., Sr. Unsecd. Note, 144A, 7.000%, 3/15/2030 | 2,744,830 | |
2,500,000 | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 8/1/2029 | 2,295,532 | |
1,275,000 | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 5.500%, 10/15/2027 | 1,257,665 | |
1,475,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/15/2029 | 1,422,804 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Food & Beverage—continued | |||
$ 2,000,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2028 | $ 1,983,346 | |
951,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 944,221 | |
1,425,000 | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/1/2030 | 1,329,356 | |
1,900,000 | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2029 | 1,805,958 | |
375,000 | US Foods, Inc., Sr. Unsecd. Note, 144A, 6.875%, 9/15/2028 | 386,479 | |
TOTAL | 14,170,191 | ||
Gaming—4.6% | |||
2,675,000 | Affinity Gaming LLC, 144A, 6.875%, 12/15/2027 | 2,386,511 | |
1,025,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 4.750%, 12/1/2027 | 988,075 | |
1,000,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2031 | 918,889 | |
500,000 | Caesars Entertainment Corp., Sec. Fac. Bond, 144A, 7.000%, 2/15/2030 | 513,031 | |
2,950,000 | Caesars Entertainment Corp., Sr. Unsecd. Note, 144A, 4.625%, 10/15/2029 | 2,664,548 | |
775,000 | Churchill Downs, Inc., Sr. Unsecd. Note, 144A, 5.500%, 4/1/2027 | 767,463 | |
1,975,000 | Churchill Downs, Inc., Sr. Unsecd. Note, 144A, 6.750%, 5/1/2031 | 2,006,966 | |
2,550,000 | Colt Merger Sub., Inc., Sr. Secd. Note, 144A, 5.750%, 7/1/2025 | 2,551,326 | |
2,150,000 | Colt Merger Sub., Inc., Sr. Secd. Note, 144A, 6.250%, 7/1/2025 | 2,157,469 | |
775,000 | Colt Merger Sub., Inc., Sr. Unsecd. Note, 144A, 8.125%, 7/1/2027 | 794,983 | |
250,000 | Light & Wonder, Inc., Sr. Unsecd. Note, 144A, 7.500%, 9/1/2031 | 260,933 | |
2,300,000 | Midwest Gaming Borrower LLC, Sr. Note, 144A, 4.875%, 5/1/2029 | 2,141,542 | |
4,400,000 | Mohegan Tribal Gaming Authority, 144A, 8.000%, 2/1/2026 | 4,155,536 | |
2,025,000 | Ontario Gaming GTA LP, Sec. Fac. Bond, 144A, 8.000%, 8/1/2030 | 2,089,739 | |
3,450,000 | Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2029 | 2,953,696 | |
1,250,000 | Raptor Acquisition Corp. / Raptor Co-Issuer LLC, Sec. Fac. Bond, 144A, 4.875%, 11/1/2026 | 1,192,617 | |
3,800,000 | Scientific Games Holdings Corp., Sr. Unsecd. Note, 144A, 6.625%, 3/1/2030 | 3,597,137 | |
1,000,000 | Scientific Games International, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/15/2029 | 1,024,890 | |
3,425,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 4.500%, 2/15/2028 | 3,231,791 | |
650,000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.500%, 9/1/2026 | 629,632 | |
1,525,000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/15/2025 | 1,498,884 | |
TOTAL | 38,525,658 | ||
Health Care—4.5% | |||
2,400,000 | Ardent Health Services, Sr. Unsecd. Note, 144A, 5.750%, 7/15/2029 | 2,100,462 | |
2,150,000 | Avantor Funding, Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/1/2029 | 1,954,484 | |
1,500,000 | Avantor Funding, Inc., Sr. Unsecd. Note, 144A, 4.625%, 7/15/2028 | 1,450,817 | |
1,350,000 | CHS/Community Health Systems, Inc., 144A, 6.125%, 4/1/2030 | 875,772 | |
3,300,000 | CHS/Community Health Systems, Inc., 144A, 6.875%, 4/15/2029 | 2,133,174 | |
1,000,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 5.625%, 3/15/2027 | 930,443 | |
650,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 6.000%, 1/15/2029 | 585,826 | |
1,062,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.000%, 3/15/2026 | 1,059,417 | |
1,350,000 | Embecta Corp., Sec. Fac. Bond, 144A, 5.000%, 2/15/2030 | 1,146,913 | |
2,100,000 | Embecta Corp., Sr. Note, 144A, 6.750%, 2/15/2030 | 1,829,782 | |
400,000 | Garden Spinco Corp., Sr. Unsecd. Note, 144A, 8.625%, 7/20/2030 | 427,778 | |
1,125,000 | IMS Health, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/15/2026 | 1,115,006 | |
650,000 | Iqvia, Inc., Sr. Unsecd. Note, 144A, 6.500%, 5/15/2030 | 667,133 | |
2,875,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2029 | 2,129,105 | |
9,325,000 | Mozart Debt Merger Sub., Inc., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2029 | 8,802,020 | |
575,000 | MPH Acquisition Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 11/1/2028 | 467,818 | |
1,125,000 | Tenet Healthcare Corp., 144A, 4.250%, 6/1/2029 | 1,048,599 | |
800,000 | Tenet Healthcare Corp., 144A, 4.875%, 1/1/2026 | 791,550 | |
1,550,000 | Tenet Healthcare Corp., 144A, 5.125%, 11/1/2027 | 1,516,328 | |
1,500,000 | Tenet Healthcare Corp., 144A, Term Loan - 2nd Lien, 6.250%, 2/1/2027 | 1,508,409 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Health Care—continued | |||
$ 1,800,000 | Tenet Healthcare Corp., Sec. Fac. Bond, 144A, 6.750%, 5/15/2031 | $ 1,841,940 | |
3,250,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 6.125%, 10/1/2028 | 3,243,662 | |
TOTAL | 37,626,438 | ||
Health Insurance—0.3% | |||
2,600,000 | Centene Corp., Sr. Unsecd. Note, Series WI, 4.625%, 12/15/2029 | 2,495,954 | |
Independent Energy—3.6% | |||
1,125,000 | Antero Resources Corp., Sr. Unsecd. Note, 144A, 5.375%, 3/1/2030 | 1,079,607 | |
250,000 | Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 7.000%, 11/1/2026 | 251,961 | |
1,900,000 | Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 8.250%, 12/31/2028 | 1,913,264 | |
650,000 | Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 9.000%, 11/1/2027 | 819,608 | |
1,075,000 | Berry Petroleum Co., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2026 | 1,041,148 | |
1,850,000 | Callon Petroleum Corp., Sr. Unsecd. Note, 144A, 7.500%, 6/15/2030 | 1,867,725 | |
3,175,000 | 1,2 | Chesapeake Energy Corp., Sr. Unsecd. Note, 7.000%, 4/1/2024 | 63,500 |
575,000 | Civitas Resources, Inc., Sr. Unsecd. Note, 144A, 8.625%, 11/1/2030 | 610,401 | |
350,000 | Civitas Resources, Inc., Sr. Unsecd. Note, 144A, 8.750%, 7/1/2031 | 373,029 | |
1,675,000 | Civitas Resources, Inc., Unsecd. Note, 144A, 8.375%, 7/1/2028 | 1,750,702 | |
3,050,000 | Comstock Resources, Inc., Sr. Unsecd. Note, 144A, 6.750%, 3/1/2029 | 2,793,105 | |
3,150,000 | Crownrock LP/Crownrock F, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2025 | 3,147,779 | |
1,550,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 5.875%, 9/1/2025 | 1,559,688 | |
500,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 7.150%, 5/15/2028 | 530,695 | |
3,225,000 | Permian Resources Operating LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 3,226,321 | |
575,000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | 568,264 | |
1,300,000 | Range Resources Corp., Sr. Unsecd. Note, 8.250%, 1/15/2029 | 1,347,089 | |
1,600,000 | Rockcliff Energy II LLC, Sr. Unsecd. Note, 144A, 5.500%, 10/15/2029 | 1,514,325 | |
700,000 | Sitio Royalties Operating Partnership Lp / Sitio Finance Corp., Sr. Unsecd. Note, 144A, 7.875%, 11/1/2028 | 725,942 | |
2,750,000 | SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 | 2,720,202 | |
2,325,000 | Southwestern Energy Co., Sr. Unsecd. Note, 8.375%, 9/15/2028 | 2,409,530 | |
TOTAL | 30,313,885 | ||
Industrial - Other—1.2% | |||
6,050,000 | Madison Iaq LLC, Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 | 5,337,998 | |
3,500,000 | Redwood Star Merger Sub., Sr. Unsecd. Note, 144A, 8.750%, 4/1/2030 | 3,504,025 | |
1,275,000 | Vertical Holdco GmbH, Sr. Unsecd. Note, 144A, 7.625%, 7/15/2028 | 1,253,951 | |
TOTAL | 10,095,974 | ||
Insurance - P&C—6.8% | |||
625,000 | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, Sec. Fac. Bond, 144A, 7.000%, 1/15/2031 | 659,681 | |
3,625,000 | AmWINS Group, Inc., Sr. Unsecd. Note, 144A, 4.875%, 6/30/2029 | 3,315,276 | |
4,821,420 | Ardonagh Midco 2 PLC, Sr. Unsecd. Note, 144A, 11.500% / 12.750% PIK, 1/15/2027 | 4,771,170 | |
4,350,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2029 | 4,065,764 | |
4,225,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2025 | 4,236,653 | |
7,225,000 | Broadstreet Partners, Inc., Sr. Unsecd. Note, 144A, 5.875%, 4/15/2029 | 6,750,203 | |
950,000 | Hub International Ltd., Sec. Fac. Bond, 144A, 7.250%, 6/15/2030 | 1,004,060 | |
8,125,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 5.625%, 12/1/2029 | 7,761,297 | |
6,100,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 7.000%, 5/1/2026 | 6,130,652 | |
2,125,000 | Jones Deslauriers Insurance Management, Inc., Sec. Fac. Bond, 144A, 8.500%, 3/15/2030 | 2,234,214 | |
2,300,000 | Jones Deslauriers Insurance Management, Inc., Sr. Unsecd. Note, 144A, 10.500%, 12/15/2030 | 2,427,804 | |
550,000 | NFP Corp., Sec. Fac. Bond, 144A, 7.500%, 10/1/2030 | 585,866 | |
400,000 | NFP Corp., Sec. Fac. Bond, 144A, 8.500%, 10/1/2031 | 433,810 | |
8,500,000 | NFP Corp., Sr. Unsecd. Note, 144A, 6.875%, 8/15/2028 | 8,647,268 | |
1,550,000 | Ryan Specialty Group, Sec. Fac. Bond, 144A, 4.375%, 2/1/2030 | 1,439,563 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Insurance - P&C—continued | |||
$ 3,050,000 | USI, Inc./NY, Sr. Unsecd. Note, 144A, 7.500%, 1/15/2032 | $ 3,126,402 | |
TOTAL | 57,589,683 | ||
Leisure—1.2% | |||
425,000 | Carnival Corp., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2029 | 444,017 | |
675,000 | NCL Corp. Ltd., Sr. Secd. Note, 144A, 8.125%, 1/15/2029 | 705,599 | |
1,750,000 | NCL Corp. Ltd., Sr. Unsecd. Note, 144A, 5.875%, 3/15/2026 | 1,711,242 | |
300,000 | NCL Corp. Ltd., Sr. Unsecd. Note, 144A, 7.750%, 2/15/2029 | 302,094 | |
475,000 | NCL Finance Ltd., Sr. Unsecd. Note, 144A, 6.125%, 3/15/2028 | 455,122 | |
900,000 | Royal Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 5.375%, 7/15/2027 | 891,492 | |
825,000 | Royal Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 5.500%, 8/31/2026 | 817,388 | |
2,875,000 | SeaWorld Parks & Entertainment, Inc., Sr. Unsecd. Note, 144A, 5.250%, 8/15/2029 | 2,690,960 | |
2,050,000 | Six Flags Entertainment Corp., Sr. Unsecd. Note, 144A, 7.250%, 5/15/2031 | 2,057,646 | |
TOTAL | 10,075,560 | ||
Lodging—0.6% | |||
1,000,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2032 | 873,924 | |
2,325,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.750%, 5/1/2028 | 2,327,741 | |
1,550,000 | RHP Hotel Property/RHP Finance Corp., Sr. Unsecd. Note, 144A, 7.250%, 7/15/2028 | 1,612,483 | |
TOTAL | 4,814,148 | ||
Media Entertainment—5.3% | |||
5,275,000 | 1,2 | Audacy Capital Corp., 144A, 6.500%, 5/1/2027 | 98,906 |
850,000 | Cumulus Media News Holdings, Inc., 144A, 6.750%, 7/1/2026 | 573,236 | |
1,875,000 | 1,2 | Diamond Sports Group LLC / Diamond Sports Finance Co., 144A, 5.375%, 8/15/2026 | 96,094 |
2,150,000 | 1,2 | Diamond Sports Group LLC / Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 6.625%, 8/15/2027 | 112,875 |
1,300,000 | Gray Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 11/15/2031 | 982,278 | |
1,075,000 | Gray Escrow, Inc., Sr. Unsecd. Note, 144A, 7.000%, 5/15/2027 | 1,022,814 | |
2,925,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2026 | 2,847,899 | |
1,275,000 | iHeartCommunications, Inc., 144A, 4.750%, 1/15/2028 | 982,056 | |
5,461,766 | iHeartCommunications, Inc., Sr. Unsecd. Note, 8.375%, 5/1/2027 | 3,550,148 | |
1,575,000 | Match Group Holdings II LLC, Sr. Unsecd. Note, 144A, 3.625%, 10/1/2031 | 1,362,304 | |
1,775,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 4.125%, 8/1/2030 | 1,612,465 | |
7,175,000 | Midas Opco Holdings, LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 | 6,607,691 | |
1,575,000 | Nexstar Broadcasting, Inc., Sr. Unsecd. Note, 144A, 4.750%, 11/1/2028 | 1,452,599 | |
3,150,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027 | 3,048,525 | |
300,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., 144A, 7.375%, 2/15/2031 | 315,230 | |
1,450,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2030 | 1,294,351 | |
625,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 5.000%, 8/15/2027 | 604,626 | |
2,400,000 | ROBLOX Corp., Sr. Unsecd. Note, 144A, 3.875%, 5/1/2030 | 2,142,564 | |
450,000 | Scripps Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2031 | 330,773 | |
725,000 | Scripps Escrow, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027 | 644,790 | |
725,000 | Sinclair Television Group, Sec. Fac. Bond, 144A, 4.125%, 12/1/2030 | 512,028 | |
3,775,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | 2,836,195 | |
700,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2028 | 654,724 | |
2,325,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 5.000%, 9/15/2029 | 2,133,257 | |
4,100,000 | Terrier Media Buyer, Inc., Sr. Unsecd. Note, 144A, 8.875%, 12/15/2027 | 3,255,666 | |
2,750,000 | Univision Communications, Inc., Sec. Fac. Bond, 144A, 7.375%, 6/30/2030 | 2,745,317 | |
1,125,000 | Univision Communications, Inc., Sec. Fac. Bond, 144A, 8.000%, 8/15/2028 | 1,161,394 | |
2,500,000 | Urban One, Inc., Sec. Fac. Bond, 144A, 7.375%, 2/1/2028 | 2,127,375 | |
TOTAL | 45,108,180 | ||
Metals & Mining—0.6% | |||
825,000 | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 4.875%, 3/1/2031 | 746,886 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Metals & Mining—continued | |||
$ 1,525,000 | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 6.750%, 4/15/2030 | $ 1,548,378 | |
3,000,000 | Coeur Mining, Inc., Sr. Unsecd. Note, 144A, 5.125%, 2/15/2029 | 2,764,545 | |
TOTAL | 5,059,809 | ||
Midstream—5.9% | |||
2,150,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.500%, 5/20/2025 | 2,122,007 | |
2,100,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026 | 2,080,834 | |
3,425,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 3,400,552 | |
2,075,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | 2,056,218 | |
3,025,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 7.875%, 5/15/2026 | 3,103,063 | |
2,600,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, Series WI, 4.500%, 10/1/2029 | 2,490,155 | |
3,275,000 | CNX Midstream Partners LP, Sr. Unsecd. Note, 144A, 4.750%, 4/15/2030 | 2,945,166 | |
2,875,000 | DT Midstream, Inc., Sr. Unsecd. Note, 144A, 4.375%, 6/15/2031 | 2,596,956 | |
1,900,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 5.500%, 7/15/2028 | 1,883,776 | |
775,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 6.500%, 7/15/2048 | 795,260 | |
2,325,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 4.500%, 1/15/2029 | 2,198,604 | |
2,625,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 6.500%, 7/1/2027 | 2,674,500 | |
450,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 7.500%, 6/1/2027 | 463,960 | |
325,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 7.500%, 6/1/2030 | 349,752 | |
1,750,000 | Hess Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.125%, 6/15/2028 | 1,690,014 | |
1,725,000 | HF Sinclair Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 1,674,481 | |
3,100,000 | Oasis Midstream Partners, Sr. Unsecd. Note, 144A, 8.000%, 4/1/2029 | 3,227,797 | |
2,600,000 | Solaris Midstream Holdings LLC, Sr. Unsecd. Note, 144A, 7.625%, 4/1/2026 | 2,638,228 | |
1,325,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 | 1,324,061 | |
2,000,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 6/1/2031 | 1,816,153 | |
2,050,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.000%, 1/15/2028 | 2,026,460 | |
1,500,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | 1,501,133 | |
1,450,000 | TransMontaigne Partners LP/TLP Finance Corp., Sr. Unsecd. Note, 6.125%, 2/15/2026 | 1,318,956 | |
475,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.500%, 3/1/2028 | 460,046 | |
1,875,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.650%, 7/1/2026 | 1,844,641 | |
1,750,000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.300%, 3/1/2048 | 1,525,433 | |
TOTAL | 50,208,206 | ||
Oil Field Services—1.9% | |||
4,000,000 | Archrock Partners LP / Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.250%, 4/1/2028 | 3,944,120 | |
2,100,000 | Archrock Partners LP / Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 2,107,329 | |
1,500,000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.250%, 1/15/2026 | 1,443,330 | |
900,000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.500%, 1/15/2028 | 779,205 | |
150,000 | Nabors Industries, Inc., Sec. Fac. Bond, 144A, 9.125%, 1/31/2030 | 150,739 | |
2,351,000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026 | 2,351,227 | |
1,900,000 | USA Compression Partners LP, Sr. Unsecd. Note, 6.875%, 9/1/2027 | 1,879,560 | |
3,766,000 | USA Compression Partners LP, Sr. Unsecd. Note, Series WI, 6.875%, 4/1/2026 | 3,754,240 | |
TOTAL | 16,409,750 | ||
Packaging—4.6% | |||
4,408,496 | ARD Finance SA, Sec. Fac. Bond, 144A, 6.500%, 6/30/2027 | 2,064,432 | |
2,625,000 | Ardagh Metal Packaging, Sr. Unsecd. Note, 144A, 4.000%, 9/1/2029 | 2,225,308 | |
6,925,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sec. Fac. Bond, 144A, 5.250%, 8/15/2027 | 5,387,925 | |
2,550,000 | Ball Corp., Sr. Unsecd. Note, 6.000%, 6/15/2029 | 2,607,179 | |
800,000 | Ball Corp., Sr. Unsecd. Note, 6.875%, 3/15/2028 | 831,654 | |
1,200,000 | Berry Global Escrow Corp., 144A, 4.875%, 7/15/2026 | 1,179,996 | |
1,525,000 | Bway Holding Co., 144A, 7.875%, 8/15/2026 | 1,553,336 | |
1,700,000 | Bway Holding Co., 144A, 9.250%, 4/15/2027 | 1,670,488 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Packaging—continued | |||
$ 8,425,000 | Clydesdale Acquisition Holdings, Inc., Sr. Unsecd. Note, 144A, 8.750%, 4/15/2030 | $ 7,865,384 | |
2,275,000 | OI European Group B.V., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2030 | 2,129,979 | |
2,147,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.625%, 5/13/2027 | 2,149,856 | |
1,250,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/15/2031 | 1,268,925 | |
1,300,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 6.125%, 2/1/2028 | 1,312,040 | |
600,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 7.250%, 2/15/2031 | 636,930 | |
6,100,000 | Trivium Packaging Finance B.V., Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027 | 5,987,936 | |
TOTAL | 38,871,368 | ||
Paper—0.3% | |||
2,875,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 3.500%, 3/1/2029 | 2,598,909 | |
Pharmaceuticals—1.3% | |||
1,425,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2029 | 619,898 | |
1,450,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.250%, 1/30/2030 | 669,951 | |
6,325,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/15/2029 | 2,806,221 | |
1,000,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/30/2029 | 458,139 | |
5,050,000 | Grifols Escrow Issuer SA, Sr. Unsecd. Note, 144A, 4.750%, 10/15/2028 | 4,585,425 | |
2,425,000 | Organon Finance 1 LLC, Sr. Unsecd. Note, 144A, 5.125%, 4/30/2031 | 2,076,830 | |
TOTAL | 11,216,464 | ||
Restaurant—1.3% | |||
9,575,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 4.000%, 10/15/2030 | 8,599,585 | |
1,425,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 4.625%, 1/31/2032 | 1,334,106 | |
1,425,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 1,382,827 | |
TOTAL | 11,316,518 | ||
Retailers—1.3% | |||
2,575,000 | Academy Ltd., Sec. Fac. Bond, 144A, 6.000%, 11/15/2027 | 2,531,720 | |
1,450,000 | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 4.625%, 11/15/2029 | 1,343,745 | |
1,625,000 | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2032 | 1,478,698 | |
1,475,000 | Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/1/2029 | 1,262,932 | |
900,000 | Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.875%, 10/1/2031 | 742,458 | |
1,075,000 | Kontoor Brands, Inc., Sr. Unsecd. Note, 144A, 4.125%, 11/15/2029 | 972,850 | |
1,800,000 | LCM Investments Holdings II, LLC, Sr. Unsecd. Note, 144A, 8.250%, 8/1/2031 | 1,880,504 | |
825,000 | William Carter Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2027 | 815,203 | |
TOTAL | 11,028,110 | ||
Supermarkets—0.6% | |||
3,350,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 3.500%, 3/15/2029 | 3,045,659 | |
275,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 5.875%, 2/15/2028 | 275,357 | |
1,250,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 6.500%, 2/15/2028 | 1,265,716 | |
400,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 7.500%, 3/15/2026 | 407,681 | |
TOTAL | 4,994,413 | ||
Technology—11.4% | |||
1,000,000 | AMS AG, Sr. Unsecd. Note, 144A, 12.250%, 3/30/2029 | 1,113,330 | |
2,625,000 | Boxer Parent Co., Inc., 144A, 9.125%, 3/1/2026 | 2,637,305 | |
2,175,000 | Capstone Borrower, Inc., Sec. Fac. Bond, 144A, 8.000%, 6/15/2030 | 2,265,197 | |
1,925,000 | Centerfield Media Parent, Sr. Note, 144A, 6.625%, 8/1/2026 | 1,368,617 | |
825,000 | Central Parent LLC / CDK Global II LLC / CDK Financing Co., 144A, 8.000%, 6/15/2029 | 861,737 | |
3,575,000 | Central Parent, Inc./Central Merger Sub., Inc., 144A, 7.250%, 6/15/2029 | 3,648,622 | |
5,550,000 | Clarivate Science Holdings Corp., Sr. Unsecd. Note, 144A, 4.875%, 7/1/2029 | 5,213,526 | |
2,550,000 | Cloud Software Group, Inc., Sec. Fac. Bond, 144A, 9.000%, 9/30/2029 | 2,425,848 | |
4,050,000 | Coherent Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 | 3,850,740 | |
1,725,000 | Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.000%, 10/15/2026 | 1,641,872 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$ 3,000,000 | Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.500%, 10/15/2028 | $ 2,724,257 | |
2,825,000 | Dun & Bradstreet Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 | 2,638,296 | |
4,000,000 | Elastic N.V., Sr. Unsecd. Note, 144A, 4.125%, 7/15/2029 | 3,677,227 | |
875,000 | Entegris Escrow Corp., Sec. Fac. Bond, 144A, 4.750%, 4/15/2029 | 843,989 | |
3,400,000 | Entegris Escrow Corp., Sr. Unsecd. Note, 144A, 5.950%, 6/15/2030 | 3,383,350 | |
4,000,000 | HealthEquity, Inc., Sr. Unsecd. Note, 144A, 4.500%, 10/1/2029 | 3,719,037 | |
2,750,000 | Helios Software Holdings, Sec. Fac. Bond, 144A, 4.625%, 5/1/2028 | 2,511,398 | |
3,950,000 | Iron Mountain, Inc., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2029 | 4,062,587 | |
3,825,000 | Logan Merger Sub, Inc., Sr. Secd. Note, 144A, 5.500%, 9/1/2027 | 1,853,873 | |
7,625,000 | McAfee Corp., Sr. Unsecd. Note, 144A, 7.375%, 2/15/2030 | 6,973,722 | |
7,950,000 | Minerva Merger Sub., Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2030 | 7,222,674 | |
1,700,000 | NCR Atleos Escrow Corp., Sec. Fac. Bond, 144A, 9.500%, 4/1/2029 | 1,807,730 | |
900,000 | NCR Voyix Corp., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2028 | 851,668 | |
2,725,000 | NCR Voyix Corp., Sr. Unsecd. Note, 144A, 5.125%, 4/15/2029 | 2,593,441 | |
1,300,000 | NCR Voyix Corp., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2030 | 1,195,534 | |
775,000 | Open Text Corp., 144A, 6.900%, 12/1/2027 | 806,214 | |
2,775,000 | Open Text Corp., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2028 | 2,580,299 | |
3,525,000 | Picard Midco, Inc., Sec. Fac. Bond, 144A, 6.500%, 3/31/2029 | 3,360,209 | |
5,400,000 | Rocket Software, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2029 | 4,703,751 | |
2,941,000 | Seagate HDD Cayman, Sr. Unsecd. Note, 9.625%, 12/1/2032 | 3,365,533 | |
100,000 | Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 8.250%, 12/15/2029 | 107,926 | |
825,000 | Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 8.500%, 7/15/2031 | 895,891 | |
1,525,000 | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 5.875%, 9/1/2030 | 1,516,737 | |
4,550,000 | SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027 | 4,487,928 | |
700,000 | Synaptics, Inc., Sr. Unsecd. Note, 144A, 4.000%, 6/15/2029 | 628,839 | |
2,825,000 | TTM Technologies, Inc., Sr. Unsecd. Note, 144A, 4.000%, 3/1/2029 | 2,569,592 | |
TOTAL | 96,108,496 | ||
Transportation Services—0.4% | |||
3,275,000 | Watco Cos LLC/Finance Co., Sr. Unsecd. Note, 144A, 6.500%, 6/15/2027 | 3,278,488 | |
Utility - Electric—2.3% | |||
400,000 | Calpine Corp., Sr. Secd. Note, 144A, 3.750%, 3/1/2031 | 351,301 | |
1,850,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2031 | 1,698,348 | |
3,000,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028 | 2,878,210 | |
2,499,000 | Enviva Partners LP/Enviva Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 1/15/2026 | 1,233,533 | |
1,050,000 | NextEra Energy Operating Partners LP, Sr. Unsecd. Note, 144A, 7.250%, 1/15/2029 | 1,099,909 | |
1,081,000 | NRG Energy, Inc., Sr. Unsecd. Note, 6.625%, 1/15/2027 | 1,084,082 | |
925,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.375%, 2/15/2029 | 818,019 | |
1,000,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2031 | 860,384 | |
187,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2032 | 160,301 | |
2,400,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028 | 2,333,312 | |
1,525,000 | TransAlta Corp., Sr. Unsecd. Note, 7.750%, 11/15/2029 | 1,620,884 | |
3,475,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026 | 3,432,990 | |
400,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027 | 394,807 | |
1,700,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 7.750%, 10/15/2031 | 1,766,876 | |
TOTAL | 19,732,956 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $878,177,214) | 801,147,403 | ||
COMMON STOCKS—0.3% | |||
Media Entertainment—0.0% | |||
67,010 | 2 | iHeartMedia, Inc. | 178,917 |
Principal Amount or Shares | Value | ||
COMMON STOCKS—continued | |||
Oil Field Services—0.3% | |||
32,040 | 2 | Superior Energy Services, Inc. | $ 2,509,805 |
TOTAL COMMON STOCKS (IDENTIFIED COST $2,144,259) | 2,688,722 | ||
INVESTMENT COMPANY—3.8% | |||
32,001,577 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 5.45%3 (IDENTIFIED COST $32,013,283) | 32,017,578 | |
TOTAL INVESTMENT IN SECURITIES—98.9% (IDENTIFIED COST $912,334,756)4 | 835,853,703 | ||
OTHER ASSETS AND LIABILITIES - NET—1.1%5 | 9,713,653 | ||
TOTAL NET ASSETS—100% | $845,567,356 |
Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares | |
Value as of 12/31/2022 | $17,611,455 |
Purchases at Cost | $202,697,281 |
Proceeds from Sales | $(188,308,514) |
Change in Unrealized Appreciation/Depreciation | $3,496 |
Net Realized Gain/(Loss) | $13,860 |
Value as of 12/31/2023 | $32,017,578 |
Shares Held as of 12/31/2023 | 32,001,577 |
Dividend Income | $1,040,166 |
1 | Issuer in default. |
2 | Non-income-producing security. |
3 | 7-day net yield. |
4 | The cost of investments for federal tax purposes amounts to $918,830,747. |
5 | 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, 2023, 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 | $— | $801,147,403 | $— | $801,147,403 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 178,917 | 2,509,805 | — | 2,688,722 |
Investment Company | 32,017,578 | — | — | 32,017,578 |
TOTAL SECURITIES | $32,196,495 | $803,657,208 | $— | $835,853,703 |
The following acronym(s) are used throughout this portfolio: | ||
GMTN | —Global Medium Term Note | |
PIK | —Payment in Kind |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $5.22 | $6.34 | $6.35 | $6.36 | $5.88 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.34 | 0.33 | 0.33 | 0.35 | 0.38 |
Net realized and unrealized gain (loss) | 0.39 | (1.08) | 0.01 | 0.01 | 0.49 |
TOTAL FROM INVESTMENT OPERATIONS | 0.73 | (0.75) | 0.34 | 0.36 | 0.87 |
Less Distributions: | |||||
Distributions from net investment income | (0.36) | (0.37) | (0.35) | (0.37) | (0.39) |
Net Asset Value, End of Period | $5.59 | $5.22 | $6.34 | $6.35 | $6.36 |
Total Return2 | 14.43% | (11.96)% | 5.42% | 6.09% | 15.18% |
Ratios to Average Net Assets: | |||||
Net expenses3 | 0.04% | 0.04% | 0.02% | 0.03% | 0.03% |
Net investment income | 6.34% | 5.77% | 5.16% | 5.70% | 6.16% |
Expense waiver/reimbursement | —% | —% | —% | —% | —% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $845,567 | $745,111 | $2,494,249 | $2,212,263 | $1,866,222 |
Portfolio turnover4 | 16% | 13% | 34% | 38% | 34% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Securities that mature are considered sales for purposes of this calculation. |
Assets: | |
Investment in securities, at value including $32,017,578 of investments in affiliated holdings* (identified cost $912,334,756, including $32,013,283 of identified cost in affiliated holdings) | $835,853,703 |
Income receivable | 14,228,985 |
Income receivable from affiliated holdings | 92,428 |
Total Assets | 850,175,116 |
Liabilities: | |
Income distribution payable | 4,520,183 |
Accrued expenses (Note 5) | 87,577 |
Total Liabilities | 4,607,760 |
Net assets for 151,384,877 shares outstanding | $845,567,356 |
Net Assets Consist of: | |
Paid-in capital | $1,095,197,836 |
Total distributable earnings (loss) | (249,630,480) |
Total Net Assets | $845,567,356 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$845,567,356 ÷ 151,384,877 shares outstanding, no par value, unlimited shares authorized | $5.59 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Interest | $49,630,057 |
Dividends received from affiliated holdings* | 1,040,166 |
TOTAL INCOME | 50,670,223 |
Expenses: | |
Administrative fee (Note 5) | 5,866 |
Custodian fees | 25,531 |
Transfer agent fees | 49,993 |
Directors’/Trustees’ fees (Note 5) | 5,759 |
Auditing fees | 39,086 |
Legal fees | 10,656 |
Portfolio accounting fees | 146,614 |
Printing and postage | 18,665 |
Commitment fee (Note 7) | 15,510 |
Miscellaneous (Note 5) | 8,777 |
TOTAL EXPENSES | 326,457 |
Net investment income | 50,343,766 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized loss on investments (including net realized gain of $13,860 on sales of investments in affiliated holdings*) | (25,508,183) |
Net change in unrealized depreciation of investments (including net change in unrealized appreciation of $3,496 on investments in affiliated holdings*) | 82,616,504 |
Net realized and unrealized gain (loss) on investments | 57,108,321 |
Change in net assets resulting from operations | $107,452,087 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2023 | 2022 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $50,343,766 | $70,721,276 |
Net realized gain (loss) | (25,508,183) | (75,289,254) |
Net change in unrealized appreciation/depreciation | 82,616,504 | (199,057,584) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 107,452,087 | (203,625,562) |
Distributions to Shareholders | (52,999,823) | (79,474,824) |
Share Transactions: | ||
Proceeds from sale of shares | 135,520,135 | 107,543,200 |
Net asset value of shares issued to shareholders in payment of distributions declared | 3,222,946 | 5,651,526 |
Cost of shares redeemed | (92,738,571) | (1,579,232,583) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 46,004,510 | (1,466,037,857) |
Change in net assets | 100,456,774 | (1,749,138,243) |
Net Assets: | ||
Beginning of period | 745,110,582 | 2,494,248,825 |
End of period | $845,567,356 | $745,110,582 |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |
Shares sold | 25,323,647 | 18,064,404 |
Shares issued to shareholders in payment of distributions declared | 600,019 | 969,803 |
Shares redeemed | (17,409,623) | (269,530,125) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 8,514,043 | (250,495,918) |
2023 | 2022 | |
Ordinary income | $52,999,823 | $79,474,824 |
Undistributed ordinary income | $870,685 |
Net unrealized depreciation | $(82,977,044) |
Capital loss carryforwards and deferrals | $(167,524,121) |
TOTAL | $(249,630,480) |
Short-Term | Long-Term | Total |
$27,969,708 | $139,554,413 | $167,524,121 |
Purchases | $150,221,200 |
Sales | $119,337,996 |
February 23, 2024
Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,082.10 | $0.21 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,025.00 | $0.20 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 0.04%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
and Additional Information
Ticker | FMBPX |
Federated Hermes Mortgage Strategy Portfolio
A Portfolio of Federated Hermes Managed Pool Series
Shares or Principal Amount | Value | ||
INVESTMENT COMPANY—99.2% | |||
126,273,922 | 1 | Mortgage Core Fund (IDENTIFIED COST $1,064,452,701) | 1,031,657,942 |
REPURCHASE AGREEMENT—1.0% | |||
$ 10,298,000 | Interest in $1,187,000,000 joint repurchase agreement 5.33%, dated 6/28/2024 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,187,527,226 on 7/1/2024. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 5/20/2052 and the market value of those underlying securities was $1,211,277,770. (IDENTIFIED COST $10,298,000) | $ 10,298,000 | |
TOTAL INVESTMENT IN SECURITIES—100.2% (IDENTIFIED COST $1,074,750,701)2 | 1,041,955,942 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.2)%3 | (2,291,996) | ||
TOTAL NET ASSETS—100% | $1,039,663,946 |
Mortgage Core Fund | |
Value as of 12/31/2023 | $894,115,566 |
Purchases at Cost | $185,087,105 |
Proceeds from Sales | $(16,500,000) |
Change in Unrealized Appreciation/Depreciation | $(27,402,995) |
Net Realized Gain/(Loss) | $(3,641,734) |
Value as of 6/30/2024 | $1,031,657,942 |
Shares Held as of 6/30/2024 | 126,273,922 |
Dividend Income | $23,097,083 |
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 Financial Statements and Notes to Financial Statements are included with this Report. |
2 | Also represents cost of investments for federal tax purposes. |
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 June 30, 2024, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Investment Company | $1,031,657,942 | $— | $— | $1,031,657,942 |
Repurchase Agreement | — | 10,298,000 | — | 10,298,000 |
TOTAL SECURITIES | $1,031,657,942 | $10,298,000 | $— | $1,041,955,942 |
Six Months Ended (unaudited) 6/30/2024 | Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $8.53 | $8.46 | $9.85 | $10.18 | $9.98 | $9.70 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.20 | 0.36 | 0.27 | 0.22 | 0.27 | 0.32 |
Net realized and unrealized gain (loss) | (0.28) | 0.06 | (1.40) | (0.32) | 0.20 | 0.28 |
TOTAL FROM INVESTMENT OPERATIONS | (0.08) | 0.42 | (1.13) | (0.10) | 0.47 | 0.60 |
Less Distributions: | ||||||
Distributions from net investment income | (0.20) | (0.35) | (0.26) | (0.22) | (0.27) | (0.32) |
Distributions from net realized gain | — | — | — | (0.01) | — | — |
TOTAL DISTRIBUTIONS | (0.20) | (0.35) | (0.26) | (0.23) | (0.27) | (0.32) |
Net Asset Value, End of Period | $8.25 | $8.53 | $8.46 | $9.85 | $10.18 | $9.98 |
Total Return2 | (0.96)% | 5.18% | (11.54)% | (0.94)% | 4.77% | 6.29% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.00%4 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 4.78%4 | 4.31% | 3.01% | 2.21% | 2.68% | 3.26% |
Expense waiver/reimbursement5 | 0.12%4 | 0.15% | 0.17% | 0.21% | 0.23% | 0.24% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $1,039,664 | $907,240 | $295,407 | $171,828 | $126,578 | $120,793 |
Portfolio turnover6 | 2% | 1% | 11% | 14% | 43% | 7% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | 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. |
4 | Computed on an annualized basis. |
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 | Securities that mature are considered sales for purposes of this calculation. |
Assets: | |
Investment in securities, at value including $1,031,657,942 of investments in affiliated holdings* (identified cost $1,074,750,701, including $1,064,452,701 of identified cost in affiliated holdings) | $1,041,955,942 |
Cash | 400 |
Income receivable | 4,574 |
Income receivable from affiliated holdings | 4,080,779 |
Receivable for shares sold | 3,357,406 |
Total Assets | 1,049,399,101 |
Liabilities: | |
Payable for investments purchased | 4,070,802 |
Payable for shares redeemed | 1,626,261 |
Income distribution payable | 4,005,903 |
Payable to adviser (Note 5) | 2,834 |
Payable for administrative fee (Note 5) | 6,633 |
Accrued expenses (Note 5) | 22,722 |
Total Liabilities | 9,735,155 |
Net assets for 126,030,909 shares outstanding | $1,039,663,946 |
Net Assets Consist of: | |
Paid-in capital | $1,081,744,749 |
Total distributable earnings (loss) | (42,080,803) |
Total Net Assets | $1,039,663,946 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$1,039,663,946 ÷ 126,030,909 shares outstanding, no par value, unlimited shares authorized | $8.25 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Dividends received from affiliated holdings* | $23,097,083 |
Interest | 138,205 |
TOTAL INCOME | 23,235,288 |
Expenses: | |
Administrative fee (Note 5) | 377,245 |
Custodian fees | 17,074 |
Transfer agent fees | 29,312 |
Directors’/Trustees’ fees (Note 5) | 2,278 |
Auditing fees | 15,587 |
Legal fees | 5,654 |
Portfolio accounting fees | 63,729 |
Share registration costs | 47,777 |
Printing and postage | 10,340 |
Miscellaneous (Note 5) | 14,389 |
TOTAL EXPENSES | 583,385 |
Reimbursements of other operating expenses (Note 5) | (583,385) |
Net expenses | — |
Net investment income | 23,235,288 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized loss on investments in affiliated holdings* | (3,641,734) |
Net change in unrealized depreciation of investments in affiliated holdings* | (27,402,995) |
Net realized and unrealized gain (loss) on investments | (31,044,729) |
Change in net assets resulting from operations | $(7,809,441) |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 6/30/2024 | Year Ended 12/31/2023 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $23,235,288 | $21,211,411 |
Net realized gain (loss) | (3,641,734) | (634,999) |
Net change in unrealized appreciation/depreciation | (27,402,995) | 26,666,665 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (7,809,441) | 47,243,077 |
Distributions to Shareholders | (23,221,817) | (21,213,010) |
Share Transactions: | ||
Proceeds from sale of shares | 241,816,625 | 656,484,450 |
Net asset value of shares issued to shareholders in payment of distributions declared | 480,790 | 464,465 |
Cost of shares redeemed | (78,841,863) | (71,146,537) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 163,455,552 | 585,802,378 |
Change in net assets | 132,424,294 | 611,832,445 |
Net Assets: | ||
Beginning of period | 907,239,652 | 295,407,207 |
End of period | $1,039,663,946 | $907,239,652 |
Six Months Ended 6/30/2024 | Year Ended 12/31/2023 | |
Shares sold | 29,168,655 | 80,038,747 |
Shares issued to shareholders in payment of distributions declared | 58,238 | 55,796 |
Shares redeemed | (9,563,756) | (8,627,988) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 19,663,137 | 71,466,555 |
Short-Term | Long-Term | Total |
$139,841 | $7,253 | $147,094 |
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 | $185,087,105 |
Sales | $16,500,000 |
1 Year | 5 Years | 10 Years | |
Fund | 5.19% | 0.52% | 1.62% |
BMBS | 5.05% | 0.25% | 1.38% |
Security Type | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 89.9% |
Non-Agency Mortgage-Backed Securities | 5.3% |
Asset-Backed Securities | 2.0% |
Agency Risk Transfer Securities | 0.3% |
Collateralized Mortgage Obligations | 0.2% |
Derivative Contracts | 0.1% |
Cash Equivalents2 | 2.2% |
Other Assets and Liabilities—Net3,4 | (0.0)% |
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. |
3 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
4 | Represents less than 0.1%. |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—89.9% | |||
Federal Home Loan Mortgage Corporation—33.7% | |||
$ 2,659,365 | 2.000%, 7/1/2035 | $ 2,398,766 | |
31,014,898 | 2.000%, 4/1/2036 | 28,024,119 | |
14,102,749 | 2.000%, 5/1/2036 | 12,685,523 | |
34,761,132 | 2.000%, 11/1/2036 | 31,333,062 | |
8,243,698 | 2.000%, 8/1/2050 | 6,819,324 | |
44,877,748 | 2.000%, 9/1/2050 | 37,053,501 | |
27,816,430 | 2.000%, 11/1/2050 | 22,879,826 | |
24,138,750 | 2.000%, 12/1/2050 | 19,764,306 | |
3,044,568 | 2.000%, 3/1/2051 | 2,508,052 | |
67,230,106 | 2.000%, 3/1/2051 | 55,298,725 | |
41,681,577 | 2.000%, 4/1/2051 | 34,206,161 | |
27,528,719 | 2.000%, 5/1/2051 | 22,634,572 | |
21,845,060 | 2.000%, 5/1/2051 | 17,927,240 | |
89,886,481 | 2.000%, 1/1/2052 | 73,765,718 | |
48,197,567 | 2.000%, 1/1/2052 | 40,005,388 | |
41,857,626 | 2.500%, 12/1/2035 | 38,719,870 | |
24,162,568 | 2.500%, 4/1/2037 | 22,373,932 | |
6,212,139 | 2.500%, 5/1/2050 | 5,381,930 | |
7,515,005 | 2.500%, 8/1/2050 | 6,510,676 | |
7,035,487 | 2.500%, 9/1/2050 | 6,053,470 | |
71,398,669 | 2.500%, 9/1/2051 | 60,785,750 | |
65,569,575 | 2.500%, 10/1/2051 | 56,253,410 | |
13,700,880 | 2.500%, 10/1/2051 | 11,690,028 | |
43,140,421 | 2.500%, 11/1/2051 | 37,294,113 | |
29,143,215 | 2.500%, 12/1/2051 | 24,806,722 | |
15,340,489 | 2.500%, 12/1/2051 | 13,237,605 | |
69,145,790 | 2.500%, 1/1/2052 | 59,602,419 | |
2,585,538 | 2.500%, 1/1/2052 | 2,232,323 | |
13,513,911 | 2.500%, 3/1/2052 | 11,667,750 | |
63,432,210 | 2.500%, 4/1/2052 | 54,707,148 | |
9,680,182 | 2.500%, 4/1/2052 | 8,303,303 | |
16,067,849 | 2.500%, 5/1/2052 | 13,802,493 | |
24,375,557 | 2.500%, 5/1/2052 | 20,999,861 | |
432,787 | 3.000%, 6/1/2045 | 393,594 | |
577,989 | 3.000%, 5/1/2046 | 526,188 | |
11,305,997 | 3.000%, 6/1/2046 | 10,133,735 | |
4,341,178 | 3.000%, 6/1/2046 | 3,968,391 | |
5,010,196 | 3.000%, 7/1/2046 | 4,603,610 | |
1,727,945 | 3.000%, 9/1/2046 | 1,545,543 | |
4,108,923 | 3.000%, 10/1/2046 | 3,726,547 | |
2,530,678 | 3.000%, 11/1/2046 | 2,261,958 | |
4,768,831 | 3.000%, 12/1/2046 | 4,331,005 | |
6,827,051 | 3.000%, 5/1/2047 | 6,191,726 | |
11,372,115 | 3.000%, 10/1/2050 | 10,084,607 | |
10,096,957 | 3.000%, 11/1/2050 | 8,953,818 | |
8,123,018 | 3.000%, 11/1/2051 | 7,284,591 | |
8,873,027 | 3.000%, 4/1/2052 | 7,933,617 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 36,726,949 | 3.000%, 6/1/2052 | $ 32,614,772 | |
29,225,405 | 3.000%, 8/1/2052 | 26,039,908 | |
66,218 | 3.500%, 6/1/2026 | 65,216 | |
94,861 | 3.500%, 6/1/2026 | 93,300 | |
36,456 | 3.500%, 7/1/2026 | 35,816 | |
1,450,401 | 3.500%, 5/1/2046 | 1,355,818 | |
16,783,422 | 3.500%, 7/1/2046 | 15,552,583 | |
5,245,388 | 3.500%, 11/1/2047 | 4,893,493 | |
2,135,371 | 3.500%, 12/1/2047 | 1,980,772 | |
9,322,458 | 3.500%, 12/1/2047 | 8,734,918 | |
5,627,328 | 3.500%, 2/1/2048 | 5,269,153 | |
8,038,903 | 3.500%, 2/1/2048 | 7,537,283 | |
12,207,152 | 3.500%, 12/1/2049 | 11,223,037 | |
7,725,833 | 3.500%, 5/1/2051 | 7,109,150 | |
11,752,371 | 3.500%, 7/1/2051 | 10,839,993 | |
26,822,192 | 3.500%, 2/1/2052 | 24,756,655 | |
3,725,992 | 3.500%, 3/1/2052 | 3,470,497 | |
72,227,382 | 3.500%, 5/1/2052 | 66,298,482 | |
7,654,176 | 3.500%, 5/1/2052 | 7,023,478 | |
21,258,256 | 3.500%, 6/1/2052 | 19,793,912 | |
6,129,022 | 3.500%, 7/1/2052 | 5,689,117 | |
4,078 | 4.000%, 5/1/2024 | 4,055 | |
23,213 | 4.000%, 5/1/2026 | 22,923 | |
348,441 | 4.000%, 5/1/2026 | 344,082 | |
604,050 | 4.000%, 12/1/2040 | 585,540 | |
2,812,264 | 4.000%, 5/1/2048 | 2,705,291 | |
10,860,087 | 4.000%, 4/1/2052 | 10,396,083 | |
4,429,326 | 4.000%, 4/1/2052 | 4,242,849 | |
14,717,986 | 4.000%, 5/1/2052 | 13,950,020 | |
29,687,148 | 4.000%, 6/1/2052 | 28,082,448 | |
1,860,165 | 4.000%, 7/1/2052 | 1,777,055 | |
16,091,157 | 4.000%, 8/1/2052 | 15,236,456 | |
67,277,267 | 4.000%, 9/1/2052 | 63,724,778 | |
14,217,190 | 4.000%, 10/1/2052 | 13,470,913 | |
18,768,317 | 4.000%, 11/1/2052 | 17,906,313 | |
20,896,158 | 4.000%, 11/1/2052 | 19,818,884 | |
7,368 | 4.500%, 7/1/2024 | 7,322 | |
7,986 | 4.500%, 8/1/2024 | 7,933 | |
2,803 | 4.500%, 9/1/2024 | 2,788 | |
15,155 | 4.500%, 6/1/2025 | 15,037 | |
32,141,983 | 4.500%, 10/1/2037 | 31,980,229 | |
380,357 | 4.500%, 11/1/2039 | 379,771 | |
113,665 | 4.500%, 6/1/2040 | 113,482 | |
166,110 | 4.500%, 7/1/2040 | 165,837 | |
632,475 | 4.500%, 8/1/2040 | 631,460 | |
406,930 | 4.500%, 7/1/2041 | 406,266 | |
372,013 | 4.500%, 7/1/2041 | 371,367 | |
253,123 | 4.500%, 7/1/2041 | 252,683 | |
1,639,282 | 4.500%, 10/1/2048 | 1,616,425 | |
10,176,647 | 4.500%, 5/1/2052 | 9,955,882 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 21,101,454 | 4.500%, 6/1/2052 | $ 20,497,303 | |
36,540,176 | 4.500%, 8/1/2052 | 35,471,163 | |
9,146,938 | 4.500%, 9/1/2052 | 8,885,054 | |
13,161,767 | 4.500%, 10/1/2052 | 12,769,923 | |
6,090,874 | 4.500%, 10/1/2052 | 5,914,109 | |
18,049,378 | 4.500%, 12/1/2052 | 17,514,279 | |
28,742,467 | 4.500%, 1/1/2053 | 27,890,356 | |
28,971,699 | 4.500%, 2/1/2053 | 28,112,793 | |
14,431,750 | 4.500%, 3/1/2053 | 13,994,880 | |
3,650,536 | 4.500%, 5/1/2053 | 3,553,719 | |
173 | 5.000%, 7/1/2025 | 172 | |
654,896 | 5.000%, 1/1/2034 | 663,570 | |
239,068 | 5.000%, 5/1/2034 | 242,154 | |
812 | 5.000%, 11/1/2035 | 825 | |
265,274 | 5.000%, 4/1/2036 | 269,561 | |
349 | 5.000%, 4/1/2036 | 355 | |
4,903 | 5.000%, 4/1/2036 | 4,972 | |
58,307 | 5.000%, 4/1/2036 | 59,268 | |
68,776 | 5.000%, 5/1/2036 | 69,931 | |
44,580 | 5.000%, 6/1/2036 | 45,299 | |
90,554 | 5.000%, 6/1/2036 | 92,001 | |
262,770 | 5.000%, 12/1/2037 | 267,089 | |
43,187 | 5.000%, 5/1/2038 | 43,919 | |
25,794 | 5.000%, 6/1/2038 | 26,253 | |
47,187 | 5.000%, 9/1/2038 | 48,058 | |
43,309 | 5.000%, 2/1/2039 | 44,111 | |
43,240 | 5.000%, 6/1/2039 | 44,033 | |
1,285,646 | 5.000%, 10/1/2039 | 1,309,978 | |
114,532 | 5.000%, 2/1/2040 | 116,756 | |
197,424 | 5.000%, 8/1/2040 | 201,406 | |
34,212,155 | 5.000%, 10/1/2052 | 33,946,053 | |
24,264,983 | 5.000%, 2/1/2053 | 24,025,446 | |
20,178,884 | 5.000%, 3/1/2053 | 19,996,709 | |
10,911,352 | 5.000%, 5/1/2053 | 10,811,480 | |
582,695 | 5.500%, 5/1/2034 | 596,584 | |
20,699 | 5.500%, 3/1/2036 | 21,377 | |
42,765 | 5.500%, 3/1/2036 | 44,082 | |
10,700 | 5.500%, 3/1/2036 | 11,051 | |
71,446 | 5.500%, 3/1/2036 | 73,398 | |
156,024 | 5.500%, 6/1/2036 | 161,112 | |
77,657 | 5.500%, 6/1/2036 | 80,189 | |
27,637 | 5.500%, 6/1/2036 | 28,476 | |
74,423 | 5.500%, 9/1/2037 | 77,077 | |
117,228 | 5.500%, 9/1/2037 | 121,060 | |
81,253 | 5.500%, 12/1/2037 | 84,163 | |
10,474 | 5.500%, 3/1/2038 | 10,835 | |
11,217,468 | 5.500%, 5/1/2038 | 11,371,481 | |
4,411,557 | 5.500%, 9/1/2052 | 4,440,795 | |
27,719,720 | 5.500%, 12/1/2052 | 27,912,095 | |
23,493,742 | 5.500%, 3/1/2053 | 23,627,421 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 5,378 | 6.000%, 7/1/2029 | $ 5,463 | |
13,899 | 6.000%, 2/1/2032 | 14,245 | |
10,513 | 6.000%, 5/1/2036 | 10,912 | |
26,209 | 6.000%, 8/1/2037 | 27,343 | |
181,224 | 6.000%, 9/1/2037 | 188,768 | |
24,633,070 | 6.000%, 11/1/2053 | 25,024,022 | |
3,453 | 6.500%, 6/1/2029 | 3,538 | |
1,263 | 6.500%, 7/1/2029 | 1,294 | |
110,048 | 6.500%, 11/1/2036 | 116,059 | |
1,271 | 6.500%, 4/1/2038 | 1,347 | |
1,059 | 6.500%, 4/1/2038 | 1,121 | |
34,189,220 | 6.500%, 10/1/2053 | 35,031,444 | |
29,594,353 | 6.500%, 11/1/2053 | 30,323,386 | |
5,939 | 7.000%, 4/1/2032 | 6,141 | |
98,267 | 7.000%, 4/1/2032 | 103,024 | |
7,620 | 7.000%, 9/1/2037 | 8,124 | |
8,927 | 7.500%, 10/1/2029 | 9,314 | |
5,230 | 7.500%, 11/1/2029 | 5,464 | |
4,045 | 7.500%, 4/1/2031 | 4,063 | |
9,638 | 7.500%, 5/1/2031 | 10,222 | |
1,205 | 8.000%, 3/1/2030 | 1,267 | |
20,941 | 8.000%, 1/1/2031 | 21,964 | |
23,545 | 8.000%, 2/1/2031 | 25,043 | |
11,994 | 8.000%, 3/1/2031 | 12,715 | |
340 | 8.500%, 9/1/2025 | 345 | |
46 | 8.500%, 9/1/2025 | 47 | |
TOTAL | 1,858,768,390 | ||
Federal National Mortgage Association—49.1% | |||
28,560,004 | 2.000%, 8/1/2035 | 25,779,176 | |
5,335,134 | 2.000%, 4/1/2036 | 4,808,994 | |
28,548,226 | 2.000%, 5/1/2036 | 25,661,490 | |
19,075,241 | 2.000%, 5/1/2050 | 15,713,787 | |
37,242,429 | 2.000%, 7/1/2050 | 30,679,538 | |
7,619,936 | 2.000%, 8/1/2050 | 6,281,908 | |
37,543,340 | 2.000%, 10/1/2050 | 30,880,494 | |
35,985,302 | 2.000%, 11/1/2050 | 29,598,961 | |
11,893,742 | 2.000%, 3/1/2051 | 9,823,835 | |
312,224,185 | 2.000%, 5/1/2051 | 256,520,799 | |
38,959,404 | 2.000%, 5/1/2051 | 32,337,443 | |
16,645,139 | 2.000%, 7/1/2051 | 13,711,920 | |
7,270,109 | 2.000%, 8/1/2051 | 5,988,964 | |
43,649,029 | 2.000%, 8/1/2051 | 35,766,197 | |
38,419,949 | 2.000%, 10/1/2051 | 31,481,468 | |
22,373,641 | 2.000%, 10/1/2051 | 18,409,964 | |
26,799,997 | 2.000%, 11/1/2051 | 22,110,780 | |
10,891,725 | 2.000%, 12/1/2051 | 8,985,992 | |
5,959,172 | 2.000%, 12/1/2051 | 4,942,563 | |
28,952,581 | 2.000%, 12/1/2051 | 23,678,628 | |
7,098,291 | 2.000%, 1/1/2052 | 5,842,988 | |
118,392,086 | 2.000%, 2/1/2052 | 97,158,963 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 71,767,289 | 2.000%, 2/1/2052 | $ 58,896,127 | |
18,170,034 | 2.000%, 2/1/2052 | 14,990,809 | |
24,167,750 | 2.000%, 2/1/2052 | 19,833,366 | |
34,823,593 | 2.000%, 2/1/2052 | 28,774,010 | |
14,705,191 | 2.000%, 3/1/2052 | 12,104,640 | |
19,256,971 | 2.000%, 3/1/2052 | 15,881,545 | |
14,409,046 | 2.000%, 3/1/2052 | 11,932,912 | |
12,232,621 | 2.000%, 3/1/2052 | 10,134,319 | |
16,526,639 | 2.000%, 3/1/2052 | 13,511,010 | |
36,804,607 | 2.000%, 4/1/2052 | 30,180,853 | |
24,784,433 | 2.000%, 4/1/2052 | 20,269,742 | |
2,275,998 | 2.500%, 12/1/2036 | 2,114,629 | |
33,844,434 | 2.500%, 12/1/2036 | 31,286,214 | |
3,684,760 | 2.500%, 5/1/2037 | 3,409,692 | |
8,417,463 | 2.500%, 6/1/2050 | 7,292,527 | |
3,134,225 | 2.500%, 7/1/2050 | 2,694,789 | |
6,291,919 | 2.500%, 9/1/2050 | 5,413,689 | |
14,996,941 | 2.500%, 9/1/2050 | 12,903,659 | |
34,560,038 | 2.500%, 10/1/2050 | 29,498,527 | |
12,882,092 | 2.500%, 11/1/2050 | 10,995,437 | |
26,545,419 | 2.500%, 11/1/2050 | 22,632,807 | |
20,556,045 | 2.500%, 2/1/2051 | 17,526,226 | |
41,132,121 | 2.500%, 9/1/2051 | 35,300,898 | |
75,364,614 | 2.500%, 10/1/2051 | 64,680,316 | |
64,632,116 | 2.500%, 10/1/2051 | 55,489,541 | |
64,180,645 | 2.500%, 10/1/2051 | 55,001,651 | |
31,972,960 | 2.500%, 11/1/2051 | 27,220,400 | |
14,413,563 | 2.500%, 12/1/2051 | 12,268,834 | |
7,782,601 | 2.500%, 1/1/2052 | 6,653,739 | |
60,992,388 | 2.500%, 1/1/2052 | 52,145,479 | |
17,421,877 | 2.500%, 1/1/2052 | 14,873,067 | |
22,829,501 | 2.500%, 1/1/2052 | 19,660,780 | |
5,130,063 | 2.500%, 2/1/2052 | 4,406,791 | |
40,627,018 | 2.500%, 2/1/2052 | 35,184,802 | |
20,048,120 | 2.500%, 2/1/2052 | 17,221,598 | |
4,045,564 | 2.500%, 3/1/2052 | 3,481,514 | |
37,382,211 | 2.500%, 3/1/2052 | 31,819,761 | |
18,251,425 | 2.500%, 4/1/2052 | 15,547,031 | |
2,222,832 | 2.500%, 5/1/2052 | 1,892,944 | |
30,762,773 | 2.500%, 5/1/2052 | 26,401,593 | |
900,192 | 3.000%, 2/1/2032 | 862,101 | |
2,260,399 | 3.000%, 8/1/2043 | 2,074,324 | |
1,608,541 | 3.000%, 9/1/2043 | 1,475,833 | |
5,823,181 | 3.000%, 8/1/2046 | 5,281,275 | |
2,852,081 | 3.000%, 9/1/2046 | 2,593,796 | |
3,328,190 | 3.000%, 11/1/2046 | 3,012,228 | |
682,817 | 3.000%, 2/1/2047 | 620,128 | |
8,082,225 | 3.000%, 3/1/2047 | 7,330,093 | |
5,108,986 | 3.000%, 12/1/2047 | 4,633,544 | |
8,139,305 | 3.000%, 12/1/2047 | 7,402,209 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 3,370,886 | 3.000%, 2/1/2048 | $ 3,011,895 | |
28,859,612 | 3.000%, 2/1/2048 | 26,110,806 | |
1,136,685 | 3.000%, 11/1/2049 | 1,019,361 | |
11,669,134 | 3.000%, 1/1/2051 | 10,347,999 | |
118,340,266 | 3.000%, 5/1/2051 | 104,905,249 | |
27,457,240 | 3.000%, 7/1/2051 | 24,322,894 | |
38,900,084 | 3.000%, 7/1/2051 | 34,447,339 | |
15,746,858 | 3.000%, 12/1/2051 | 14,018,189 | |
34,338,462 | 3.000%, 12/1/2051 | 30,579,561 | |
6,138,276 | 3.000%, 1/1/2052 | 5,528,684 | |
20,807,750 | 3.000%, 2/1/2052 | 18,715,323 | |
14,875,905 | 3.000%, 2/1/2052 | 13,212,630 | |
9,873,226 | 3.000%, 3/1/2052 | 8,753,874 | |
19,367,221 | 3.000%, 4/1/2052 | 17,256,243 | |
22,046,861 | 3.000%, 4/1/2052 | 19,785,047 | |
6,252,643 | 3.000%, 4/1/2052 | 5,571,120 | |
12,071,261 | 3.000%, 5/1/2052 | 10,721,573 | |
26,945,596 | 3.000%, 6/1/2052 | 24,046,487 | |
39,404 | 3.500%, 11/1/2025 | 38,783 | |
56,271 | 3.500%, 11/1/2025 | 55,385 | |
68,720 | 3.500%, 12/1/2025 | 67,619 | |
69,854 | 3.500%, 1/1/2026 | 68,719 | |
19,952 | 3.500%, 1/1/2026 | 19,633 | |
9,522,539 | 3.500%, 9/1/2037 | 9,173,418 | |
6,386,034 | 3.500%, 12/1/2047 | 5,981,564 | |
18,481,467 | 3.500%, 1/1/2048 | 17,120,324 | |
3,275,672 | 3.500%, 4/1/2048 | 3,054,894 | |
16,457,572 | 3.500%, 11/1/2050 | 15,416,491 | |
12,135,577 | 3.500%, 5/1/2051 | 11,314,805 | |
12,519,504 | 3.500%, 6/1/2051 | 11,520,184 | |
13,152,600 | 3.500%, 7/1/2051 | 12,172,620 | |
47,576,708 | 3.500%, 3/1/2052 | 44,448,135 | |
15,563,489 | 3.500%, 5/1/2052 | 14,285,935 | |
45,535,215 | 3.500%, 6/1/2052 | 41,857,859 | |
17,201,393 | 3.500%, 6/1/2052 | 15,896,898 | |
38,027,694 | 3.500%, 7/1/2052 | 35,108,153 | |
9,862,092 | 3.500%, 1/1/2053 | 9,101,857 | |
9,635,066 | 3.500%, 4/1/2053 | 8,839,640 | |
44,757 | 4.000%, 12/1/2025 | 44,215 | |
74,230 | 4.000%, 7/1/2026 | 73,281 | |
25,988,900 | 4.000%, 11/1/2037 | 25,480,877 | |
7,211,640 | 4.000%, 10/1/2051 | 6,829,711 | |
3,429,961 | 4.000%, 4/1/2052 | 3,244,827 | |
5,093,251 | 4.000%, 4/1/2052 | 4,818,340 | |
25,936,384 | 4.000%, 7/1/2052 | 24,583,057 | |
23,714,828 | 4.000%, 7/1/2052 | 22,655,281 | |
15,998,884 | 4.000%, 9/1/2052 | 15,149,084 | |
19,266,707 | 4.000%, 9/1/2052 | 18,333,645 | |
5,637,898 | 4.000%, 10/1/2052 | 5,336,672 | |
26,377,257 | 4.000%, 4/1/2053 | 24,951,468 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 38,498,040 | 4.000%, 5/1/2053 | $ 36,585,508 | |
81,616 | 4.500%, 2/1/2039 | 81,458 | |
452,319 | 4.500%, 5/1/2040 | 451,582 | |
129,838 | 4.500%, 11/1/2040 | 129,620 | |
1,437,120 | 4.500%, 4/1/2041 | 1,434,672 | |
678,607 | 4.500%, 6/1/2041 | 677,456 | |
7,778,326 | 4.500%, 8/1/2052 | 7,555,626 | |
5,434,879 | 4.500%, 8/1/2052 | 5,272,481 | |
17,580,891 | 4.500%, 10/1/2052 | 17,158,574 | |
22,148,838 | 4.500%, 2/1/2053 | 21,492,204 | |
882,452 | 5.000%, 2/1/2036 | 896,413 | |
501,310 | 5.000%, 7/1/2040 | 511,303 | |
550,931 | 5.000%, 10/1/2041 | 561,901 | |
39,893,235 | 5.000%, 8/1/2052 | 39,595,412 | |
16,030,778 | 5.000%, 11/1/2052 | 15,976,725 | |
8,819,952 | 5.000%, 12/1/2052 | 8,734,813 | |
24,018,147 | 5.000%, 2/1/2053 | 23,786,300 | |
21,513 | 5.500%, 1/1/2032 | 21,949 | |
12,568 | 5.500%, 1/1/2032 | 12,829 | |
221,844 | 5.500%, 9/1/2034 | 227,691 | |
574,809 | 5.500%, 12/1/2034 | 589,964 | |
16,845 | 5.500%, 4/1/2035 | 17,269 | |
113,573 | 5.500%, 1/1/2036 | 116,931 | |
44,520 | 5.500%, 3/1/2036 | 45,863 | |
198,252 | 5.500%, 4/1/2036 | 204,102 | |
303,152 | 5.500%, 4/1/2036 | 312,235 | |
181,870 | 5.500%, 5/1/2036 | 187,870 | |
63,286 | 5.500%, 9/1/2036 | 65,210 | |
208,085 | 5.500%, 8/1/2037 | 214,413 | |
117,733 | 5.500%, 7/1/2038 | 121,936 | |
336,978 | 5.500%, 4/1/2041 | 349,712 | |
9,425,774 | 5.500%, 9/1/2052 | 9,497,080 | |
8,159,072 | 5.500%, 11/1/2052 | 8,215,696 | |
14,461,458 | 5.500%, 8/1/2053 | 14,530,187 | |
4,111 | 6.000%, 1/1/2029 | 4,176 | |
5,461 | 6.000%, 2/1/2029 | 5,548 | |
1,834 | 6.000%, 2/1/2029 | 1,863 | |
3,059 | 6.000%, 4/1/2029 | 3,108 | |
6,452 | 6.000%, 5/1/2029 | 6,555 | |
3,446 | 6.000%, 5/1/2029 | 3,501 | |
312,637 | 6.000%, 7/1/2034 | 323,873 | |
177,019 | 6.000%, 11/1/2034 | 183,333 | |
84,808 | 6.000%, 7/1/2036 | 88,449 | |
17,619 | 6.000%, 7/1/2036 | 18,371 | |
89,942 | 6.000%, 10/1/2037 | 93,925 | |
37,842 | 6.000%, 6/1/2038 | 39,602 | |
481,952 | 6.000%, 7/1/2038 | 503,976 | |
43,800 | 6.000%, 9/1/2038 | 45,817 | |
29,335 | 6.000%, 10/1/2038 | 30,715 | |
277,105 | 6.000%, 2/1/2039 | 290,142 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 4,618,971 | 6.000%, 12/1/2052 | $ 4,703,393 | |
4,885,645 | 6.000%, 1/1/2053 | 4,966,238 | |
5,052,053 | 6.000%, 4/1/2053 | 5,135,392 | |
49,641,826 | 6.000%, 12/1/2053 | 50,429,691 | |
7,803 | 6.500%, 9/1/2028 | 7,883 | |
1,785 | 6.500%, 8/1/2029 | 1,829 | |
3,806 | 6.500%, 6/1/2031 | 3,937 | |
10,229 | 6.500%, 6/1/2031 | 10,539 | |
1,536 | 6.500%, 6/1/2031 | 1,584 | |
1,144 | 6.500%, 6/1/2031 | 1,172 | |
2,044 | 6.500%, 1/1/2032 | 2,107 | |
24,503 | 6.500%, 3/1/2032 | 25,401 | |
81,538 | 6.500%, 4/1/2032 | 84,757 | |
13,390 | 6.500%, 5/1/2032 | 13,938 | |
119,127 | 6.500%, 7/1/2036 | 125,512 | |
2,671 | 6.500%, 8/1/2036 | 2,792 | |
12,275 | 6.500%, 9/1/2036 | 12,990 | |
21,936 | 6.500%, 12/1/2036 | 23,126 | |
55,886 | 6.500%, 9/1/2037 | 59,299 | |
184 | 6.500%, 12/1/2037 | 195 | |
27,801 | 6.500%, 10/1/2038 | 29,491 | |
14,974,383 | 6.500%, 10/1/2053 | 15,343,265 | |
32 | 7.000%, 5/1/2024 | 31 | |
257 | 7.000%, 7/1/2024 | 256 | |
278 | 7.000%, 7/1/2025 | 287 | |
6,425 | 7.000%, 9/1/2031 | 6,673 | |
4,386 | 7.000%, 9/1/2031 | 4,577 | |
70,384 | 7.000%, 11/1/2031 | 73,699 | |
4,951 | 7.000%, 12/1/2031 | 5,181 | |
21,536 | 7.000%, 2/1/2032 | 22,515 | |
22,412 | 7.000%, 3/1/2032 | 23,468 | |
38,894 | 7.000%, 3/1/2032 | 40,123 | |
4,365 | 7.000%, 4/1/2032 | 4,575 | |
11,263 | 7.000%, 4/1/2032 | 11,704 | |
93,680 | 7.000%, 4/1/2032 | 98,288 | |
110,005 | 7.000%, 6/1/2037 | 117,744 | |
4,632 | 7.500%, 9/1/2030 | 4,863 | |
5,041 | 7.500%, 5/1/2031 | 5,318 | |
1,589 | 7.500%, 6/1/2031 | 1,682 | |
19,778 | 7.500%, 8/1/2031 | 20,981 | |
27,577 | 7.500%, 1/1/2032 | 28,623 | |
2,129 | 7.500%, 6/1/2033 | 2,199 | |
835 | 8.000%, 11/1/2029 | 877 | |
69 | 9.000%, 6/1/2025 | 69 | |
TOTAL | 2,711,110,502 | ||
Government National Mortgage Association—7.1% | |||
5,481,945 | 3.000%, 1/20/2047 | 5,036,319 | |
39,792,444 | 3.000%, 9/20/2050 | 36,010,582 | |
45,121,357 | 3.000%, 5/20/2052 | 40,847,137 | |
642,223 | 3.500%, 8/15/2043 | 604,332 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$ 413,324 | 3.500%, 8/15/2043 | $ 389,107 | |
7,401,067 | 3.500%, 3/20/2047 | 6,939,646 | |
9,309,186 | 3.500%, 11/20/2047 | 8,705,530 | |
17,802,836 | 3.500%, 5/20/2052 | 16,509,323 | |
28,529,397 | 3.500%, 11/20/2052 | 26,550,127 | |
586,292 | 4.000%, 9/15/2040 | 568,379 | |
1,586,978 | 4.000%, 10/15/2040 | 1,539,578 | |
747,439 | 4.000%, 1/15/2041 | 724,602 | |
970,340 | 4.000%, 10/15/2041 | 940,303 | |
2,905,151 | 4.000%, 6/15/2048 | 2,799,320 | |
149,732 | 4.500%, 1/15/2039 | 147,986 | |
93,225 | 4.500%, 6/15/2039 | 92,181 | |
442,377 | 4.500%, 10/15/2039 | 437,514 | |
161,745 | 4.500%, 1/15/2040 | 159,963 | |
90,312 | 4.500%, 6/15/2040 | 89,334 | |
63,661 | 4.500%, 9/15/2040 | 62,994 | |
84,521 | 4.500%, 2/15/2041 | 83,600 | |
491,937 | 4.500%, 3/15/2041 | 486,602 | |
45,262 | 4.500%, 5/15/2041 | 44,786 | |
1,633,972 | 4.500%, 6/20/2041 | 1,630,309 | |
336,249 | 4.500%, 9/15/2041 | 332,697 | |
295,822 | 4.500%, 10/15/2043 | 293,552 | |
268,940 | 5.000%, 1/15/2039 | 272,115 | |
221,740 | 5.000%, 5/15/2039 | 224,520 | |
302,384 | 5.000%, 8/20/2039 | 307,014 | |
73,598,135 | 5.000%, 9/20/2053 | 73,125,201 | |
101,143 | 5.500%, 12/15/2038 | 104,424 | |
73,582 | 5.500%, 12/20/2038 | 75,785 | |
155,095 | 5.500%, 1/15/2039 | 160,244 | |
146,947 | 5.500%, 2/15/2039 | 151,784 | |
29,706,967 | 5.500%, 7/20/2053 | 29,886,344 | |
44,598,169 | 5.500%, 8/20/2053 | 44,867,462 | |
39,766,688 | 5.500%, 9/20/2053 | 40,006,807 | |
4,506 | 6.000%, 10/15/2028 | 4,580 | |
3,734 | 6.000%, 3/15/2029 | 3,805 | |
50,028 | 6.000%, 2/15/2036 | 52,077 | |
70,095 | 6.000%, 4/15/2036 | 73,113 | |
66,511 | 6.000%, 6/15/2037 | 69,420 | |
48,996,220 | 6.000%, 6/20/2053 | 49,813,222 | |
7,817 | 6.500%, 10/15/2028 | 8,001 | |
3,046 | 6.500%, 11/15/2028 | 3,118 | |
3,364 | 6.500%, 12/15/2028 | 3,443 | |
1,879 | 6.500%, 2/15/2029 | 1,923 | |
4,981 | 6.500%, 3/15/2029 | 5,102 | |
19,142 | 6.500%, 9/15/2031 | 19,787 | |
44,634 | 6.500%, 2/15/2032 | 46,284 | |
5,858 | 7.000%, 11/15/2027 | 5,963 | |
4,052 | 7.000%, 6/15/2028 | 4,153 | |
2,319 | 7.000%, 11/15/2028 | 2,371 | |
4,981 | 7.000%, 1/15/2029 | 5,102 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$ 5,274 | 7.000%, 5/15/2029 | $ 5,439 | |
257 | 7.000%, 10/15/2029 | 258 | |
14,878 | 7.000%, 5/15/2030 | 15,343 | |
10,973 | 7.000%, 11/15/2030 | 11,377 | |
5,827 | 7.000%, 12/15/2030 | 5,999 | |
7,851 | 7.000%, 8/15/2031 | 8,152 | |
31,651 | 7.000%, 10/15/2031 | 33,020 | |
8,708 | 7.000%, 12/15/2031 | 9,118 | |
6,277 | 7.500%, 8/15/2029 | 6,520 | |
28,854 | 7.500%, 10/15/2029 | 29,924 | |
1,236 | 7.500%, 10/15/2030 | 1,284 | |
5,325 | 7.500%, 1/15/2031 | 5,584 | |
1,839 | 8.000%, 10/15/2029 | 1,925 | |
6,551 | 8.000%, 11/15/2029 | 6,858 | |
5,246 | 8.000%, 1/15/2030 | 5,475 | |
2,403 | 8.000%, 10/15/2030 | 2,513 | |
33,112 | 8.000%, 11/15/2030 | 34,917 | |
2,655 | 8.500%, 5/15/2029 | 2,789 | |
TOTAL | 391,515,462 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $4,911,051,483) | 4,961,394,354 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—5.5% | |||
Federal National Mortgage Association—0.2% | |||
12,309,671 | 1 | REMIC, Series 2019-66, Class FA, 5.879% (30-DAY AVERAGE SOFR +0.000%), 11/25/2059 | 11,909,385 |
Non-Agency Mortgage-Backed Securities—5.3% | |||
428,021 | Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 | 259,084 | |
221,662 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 22,280 | |
33,910,034 | GS Mortgage-Backed Securities Trust 2022-PJ3, Class A4, 2.500%, 8/25/2052 | 27,716,156 | |
34,665,993 | GS Mortgage-Backed Securities Trust 2023-PJ1, Class A4, 3.500%, 2/25/2053 | 30,636,072 | |
35,242,790 | JP Morgan Mortgage Trust 2022-1, Class A2, 3.000%, 7/25/2052 | 30,027,957 | |
35,321,480 | JP Morgan Mortgage Trust 2022-2, Class A3, 2.500%, 8/25/2052 | 28,913,944 | |
29,097,521 | JP Morgan Mortgage Trust 2022-3, Class A2, 3.000%, 8/25/2052 | 24,810,181 | |
39,731,165 | JP Morgan Mortgage Trust 2022-3, Class A3, 2.500%, 8/25/2052 | 32,523,686 | |
6,305,123 | JP Morgan Mortgage Trust 2022-4, Class A3, 3.000%, 10/25/2052 | 5,372,161 | |
5,591,810 | JP Morgan Mortgage Trust 2022-6, Class A3, 3.000%, 11/25/2052 | 4,764,397 | |
38,115,919 | JP Morgan Mortgage Trust 2023-4, Class 1A2, 6.000%, 11/25/2053 | 38,217,163 | |
43,904,029 | JP Morgan Mortgage Trust 2023-6, Class A2, 6.000%, 12/25/2053 | 44,020,647 | |
128,177 | Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 4.869%, 8/25/2035 | 114,659 | |
1,627,237 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | 1,348,128 | |
2,829,466 | Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 | 2,335,275 | |
22,825,740 | Sequoia Mortgage Trust 2023-2, Class A1, 5.000%, 3/25/2053 | 22,227,456 | |
TOTAL | 293,309,246 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $324,254,168) | 305,218,631 | ||
ASSET-BACKED SECURITIES—2.0% | |||
Auto Receivables—0.4% | |||
20,562,000 | Ford Credit Auto Owner Trust/Ford Credit 2023-1, Class B, 5.290%, 8/15/2035 | 20,477,398 | |
Single Family Rental Securities—1.1% | |||
14,622,517 | Home Partners of America Trust 2022-1, Class B, 4.330%, 4/17/2039 | 13,901,562 | |
16,726,000 | Progress Residential Trust 2022-SFR1, Class E1, 3.930%, 2/17/2041 | 14,396,903 | |
14,000,000 | Progress Residential Trust 2022-SFR2, Class D, 3.945%, 4/17/2027 | 13,024,023 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Single Family Rental Securities—continued | |||
$ 14,808,453 | Progress Residential Trust 2022-SFR4, Class B, 4.788%, 5/17/2041 | $ 14,132,720 | |
3,600,000 | Progress Residential Trust 2023-SFR2, Class D, 4.500%, 10/17/2028 | 3,323,445 | |
5,650,000 | Progress Residential Trust 2023-SFR2, Class E1, 4.750%, 10/17/2028 | 5,070,005 | |
TOTAL | 63,848,658 | ||
Student Loans—0.5% | |||
3,329,237 | Navient Student Loan Trust 2020-FA, Class A, 1.220%, 7/15/2069 | 3,025,073 | |
6,882,152 | Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 | 6,143,309 | |
5,161,109 | Navient Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 | 4,726,998 | |
5,976,631 | 1 | SMB Private Education Loan Trust 2018-A, Class A2B, 6.276% (CME Term SOFR 1 Month +0.914%), 2/15/2036 | 5,913,962 |
8,524,336 | 1 | SMB Private Education Loan Trust 2020-BA, Class A1B, 6.576% (CME Term SOFR 1 Month +1.214%), 7/15/2053 | 8,438,898 |
TOTAL | 28,248,240 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $118,072,207) | 112,574,296 | ||
1 | AGENCY RISK TRANSFER SECURITIES—0.3% | ||
2,836,670 | FHLMC - STACR, Series 2023-DNA1, Class M1A, 7.437% (30-DAY AVERAGE SOFR +2.100%), 3/25/2043 | 2,881,223 | |
10,400,000 | FNMA - CAS, Series 2023-R05, Class 1M2, 8.437% (30-DAY AVERAGE SOFR +3.100%), 6/25/2043 | 10,858,221 | |
TOTAL AGENCY RISK TRANSFER SECURITIES (IDENTIFIED COST $13,236,670) | 13,739,444 | ||
INVESTMENT COMPANY—2.2% | |||
119,161,249 | Federated Hermes Government Obligations Fund, Premier Shares, 5.28%2 (IDENTIFIED COST $119,161,249) | 119,161,249 | |
TOTAL INVESTMENT IN SECURITIES—99.9% (IDENTIFIED COST $5,485,775,777)3 | 5,512,087,974 | ||
OTHER ASSETS AND LIABILITIES - NET—0.1%4 | 5,097,416 | ||
TOTAL NET ASSETS—100% | $5,517,185,390 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation |
Long Futures: | ||||
United States Treasury Notes 5-Year Long Futures | 725 | $78,860,743 | March 2024 | $1,799,541 |
United States Treasury Notes 10-Year Long Futures | 675 | $76,201,172 | March 2024 | $2,503,017 |
United States Treasury Notes 10-Year Ultra Long Futures | 575 | $67,858,984 | March 2024 | $3,057,568 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $7,360,126 |
Federated Hermes Government Obligations Fund, Premier Shares | |
Value as of 12/31/2022 | $117,293,489 |
Purchases at Cost | $3,390,076,933 |
Proceeds from Sales | $(3,388,209,173) |
Change in Unrealized Appreciation/Depreciation | $— |
Net Realized Gain/(Loss) | $— |
Value as of 12/31/2023 | $119,161,249 |
Shares Held as of 12/31/2023 | 119,161,249 |
Dividend Income | $11,497,853 |
1 | Floating/variable note with current rate and current maturity or next reset date shown. |
2 | 7-day net yield. |
3 | The cost of investments for federal tax purposes amounts to $5,485,500,336. |
4 | 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, 2023, 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 | $— | $4,961,394,354 | $— | $4,961,394,354 |
Collateralized Mortgage Obligations | — | 305,218,631 | — | 305,218,631 |
Asset-Backed Securities | — | 112,574,296 | — | 112,574,296 |
Agency Risk Transfer Securities | — | 13,739,444 | — | 13,739,444 |
Investment Company | 119,161,249 | — | — | 119,161,249 |
TOTAL SECURITIES | $119,161,249 | $5,392,926,725 | $— | $5,512,087,974 |
Other Financial Instruments:1 | ||||
Assets | $7,360,126 | $— | $— | $7,360,126 |
1 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
CAS | —Connecticut Avenue Securities | |
FHLMC | —Federal Home Loan Mortgage Corporation | |
FNMA | —Federal National Mortgage Association | |
REMIC | —Real Estate Mortgage Investment Conduit | |
SOFR | —Secured Overnight Financing Rate | |
STACR | —Structured Agency Credit Risk |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $8.38 | $9.76 | $10.07 | $9.88 | $9.60 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.35 | 0.25 | 0.17 | 0.24 | 0.32 |
Net realized and unrealized gain (loss) | 0.07 | (1.37) | (0.26) | 0.22 | 0.28 |
TOTAL FROM INVESTMENT OPERATIONS | 0.42 | (1.12) | (0.09) | 0.46 | 0.60 |
Less Distributions: | |||||
Distributions from net investment income | (0.35) | (0.26) | (0.22) | (0.27) | (0.32) |
Net Asset Value, End of Period | $8.45 | $8.38 | $9.76 | $10.07 | $9.88 |
Total Return2 | 5.19% | (11.57)% | (0.89)% | 4.70% | 6.33% |
Ratios to Average Net Assets: | |||||
Net expenses3 | 0.02% | 0.02% | 0.02% | 0.02% | 0.03% |
Net investment income | 4.27% | 2.78% | 1.72% | 2.42% | 3.25% |
Expense waiver/reimbursement | —% | —% | —% | —% | —% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $5,517,185 | $3,184,276 | $3,204,459 | $2,143,118 | $2,528,865 |
Portfolio turnover4 | 53% | 204% | 351% | 257% | 130% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions)4 | 31% | 123% | 65% | 72% | 100% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Securities that mature are considered sales for purposes of this calculation. |
Assets: | |
Investment in securities, at value including $119,161,249 of investments in affiliated holdings* (identified cost $5,485,775,777, including $119,161,249 of identified cost in affiliated holdings) | $5,512,087,974 |
Due from broker (Note 2) | 4,174,374 |
Income receivable | 15,922,126 |
Income receivable from affiliated holdings | 777,121 |
Receivable for variation margin on futures contracts | 8,387 |
Total Assets | 5,532,969,982 |
Liabilities: | |
Payable for shares redeemed | 150,000 |
Income distribution payable | 15,372,061 |
Accrued expenses (Note 5) | 262,531 |
Total Liabilities | 15,784,592 |
Net assets for 652,817,590 shares outstanding | $5,517,185,390 |
Net Assets Consist of: | |
Paid-in capital | $5,933,428,472 |
Total distributable earnings (loss) | (416,243,082) |
Total Net Assets | $5,517,185,390 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$5,517,185,390 ÷ 652,817,590 shares outstanding, no par value, unlimited shares authorized | $8.45 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Interest | $189,305,105 |
Dividends received from affiliated holdings* | 11,497,853 |
TOTAL INCOME | 200,802,958 |
Expenses: | |
Administrative fee (Note 5) | 9,017 |
Custodian fees | 214,701 |
Transfer agent fees | 286,534 |
Directors’/Trustees’ fees (Note 5) | 22,012 |
Auditing fees | 38,411 |
Legal fees | 10,569 |
Portfolio accounting fees | 259,071 |
Share registration costs | 201 |
Printing and postage | 18,440 |
Miscellaneous (Note 5) | 42,559 |
TOTAL EXPENSES | 901,515 |
Net investment income | 199,901,443 |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net realized loss on investments | (84,991,065) |
Net realized loss on futures contracts | (3,964,207) |
Net change in unrealized depreciation of investments | 150,850,101 |
Net change in unrealized depreciation of futures contracts | 8,502,976 |
Net realized and unrealized gain (loss) on investments and futures contracts | 70,397,805 |
Change in net assets resulting from operations | $270,299,248 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2023 | 2022 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $199,901,443 | $96,662,995 |
Net realized gain (loss) | (88,955,272) | (306,588,651) |
Net change in unrealized appreciation/depreciation | 159,353,077 | (168,920,459) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 270,299,248 | (378,846,115) |
Distributions to Shareholders | (199,751,824) | (102,200,096) |
Share Transactions: | ||
Proceeds from sale of shares | 2,726,863,581 | 2,040,715,935 |
Net asset value of shares issued to shareholders in payment of distributions declared | 35,191,234 | 13,900,330 |
Cost of shares redeemed | (499,692,942) | (1,593,752,933) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 2,262,361,873 | 460,863,332 |
Change in net assets | 2,332,909,297 | (20,182,879) |
Net Assets: | ||
Beginning of period | 3,184,276,093 | 3,204,458,972 |
End of period | $5,517,185,390 | $3,184,276,093 |
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 | $7,360,126* |
* | Includes net cumulative appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(3,964,207) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $8,502,976 |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |
Shares sold | 328,676,656 | 229,727,001 |
Shares issued to shareholders in payment of distributions declared | 4,270,767 | 1,598,040 |
Shares redeemed | (59,994,883) | (179,640,289) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 272,952,540 | 51,684,752 |
2023 | 2022 | |
Ordinary income | $199,751,824 | $102,200,096 |
Undistributed ordinary income | $358,486 |
Net unrealized appreciation | $26,587,638 |
Capital loss carryforwards | $(443,189,206) |
TOTAL | $(416,243,082) |
Short-Term | Long-Term | Total |
$289,842,586 | $153,346,620 | $443,189,206 |
Purchases | $225,120,830 |
Sales | $59,363,574 |
February 23, 2024
Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,033.50 | $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). |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Item 8. | Changes in and Disagreements with Accountants for Open-End Management Investment Companies |
Federated Hermes Corporate Bond Strategy Portfolio: Not Applicable.
Federated Hermes High-Yield Strategy Portfolio: Not Applicable.
Federated Hermes Mortgage Strategy Portfolio: Not Applicable.
Item 9. | Proxy Disclosures for Open-End Management Investment Companies. |
Federated Hermes Corporate Bond Strategy Portfolio: Not Applicable.
Federated Hermes High-Yield Strategy Portfolio: Not Applicable.
Federated Hermes Mortgage Strategy Portfolio: Not Applicable.
Item 10. | Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies. |
Federated Hermes Corporate Bond Strategy Portfolio: The Fund’s disclosure of remuneration items is included as part of the Financial Statements filed under Item 7 of this form.
Federated Hermes High-Yield Strategy Portfolio: The Fund’s disclosure of remuneration items is included as part of the Financial Statements filed under Item 7 of this form.
Federated Hermes Mortgage Strategy Portfolio: The Fund’s disclosure of remuneration items is included as part of the Financial Statements filed under Item 7 of this form.
Item 11. | Statement Regarding Basis for Approval of Investment Advisory Contract. |
Federated Hermes Corporate Bond Strategy Portfolio: The Fund’s Evaluation and Approval of Advisory Contract summary by fund appear in the Financial Statements filed under Item 7 of this form.
Federated Hermes High-Yield Strategy Portfolio: The Fund’s Evaluation and Approval of Advisory Contract summary by fund appear in the Financial Statements filed under Item 7 of this form.
Federated Hermes Mortgage Strategy Portfolio: The Fund’s Evaluation and Approval of Advisory Contract summary by fund appear in the Financial Statements filed under Item 7 of this form.
Item 12. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Portfolio Managers of Closed-End Management Investment Companies. |
Not Applicable
Item 14. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not Applicable
Item 15. | Submission of Matters to a Vote of Security Holders. |
No Changes to Report
Item 16. | Controls and Procedures. |
(a) The registrant’s Principal Executive Officer and Principal Financial Officer 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 as of a date within 90 days 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 17. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not Applicable
Item 18. | Recovery of Erroneously Awarded Compensation |
(a) Not Applicable
(b) Not Applicable
Item 19. | Exhibits |
(a)(1) Not Applicable.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(a)(4) 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/ Jeremy D. Boughton
Jeremy D. Boughton, Principal Financial Officer
Date: August 22, 2024
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: August 22, 2024
By: /s/ Jeremy D. Boughton
Jeremy D. Boughton, Principal Financial Officer
Date: August 22, 2024