Federated Hermes Conservative Municipal Microshort Fund
Portfolio of Investments
May 31, 2024 (unaudited)
Principal Amount | Value | ||
1 | SHORT-TERM MUNICIPALS—102.2% | ||
Arizona—1.8% | |||
$ 1,000,000 | Arizona State IDA (Vaseo Apartments LP), Mizuho 3a-7 (Series 2023-MIZ9118) Daily VRDNs, (FHLMC GTD)/(Mizuho Bank Ltd. GTD)/(Mizuho Bank Ltd. LIQ), 4.270%, 6/3/2024 | $ 1,000,000 | |
3,500,000 | Phoenix, AZ IDA (Republic Services, Inc.), (Series 2013), 4.050%, Mandatory Tender 8/1/2024 | 3,499,839 | |
TOTAL | 4,499,839 | ||
Arkansas—0.9% | |||
2,150,000 | Blytheville, AR (Nucor Corp.), (Series 2002) Weekly VRDNs, 3.700%, 6/5/2024 | 2,150,000 | |
California—16.6% | |||
1,000,000 | California HFA, Mizuho 3a-7 (Series 2022-MIZ9097) VRENs, (Mizuho Bank Ltd. GTD)/(Mizuho Bank Ltd. LIQ), 3.710%, 6/6/2024 | 1,000,000 | |
1,000,000 | California Infrastructure & Economic Development Bank (Brightline West Passenger Rail Project), (Series 2020A), (United States Treasury GTD), 3.950%, Mandatory Tender 1/30/2025 | 999,997 | |
2,000,000 | California Municipal Finance Authority (Republic Services, Inc.), (Series 2021A), 4.000%, Mandatory Tender 10/1/2024 | 1,998,764 | |
2,500,000 | California Municipal Finance Authority (Waste Management, Inc.), Solid Waste Disposal Revenue Bonds (Series 2017A), (Waste Management Holdings, Inc. GTD), 4.250%, Mandatory Tender 12/2/2024 | 2,499,263 | |
1,500,000 | California PCFA (Republic Services, Inc.), (Series 2023), 4.125%, Mandatory Tender 8/15/2024 | 1,497,920 | |
6,000,000 | California Statewide Communities Development Authority (Kensington Apartments LP), Mizuho 3a-7 (Series 2022-MIZ9113) VRENs, (Mizuho Bank Ltd. GTD)/(Mizuho Bank Ltd. LIQ), 3.710%, 6/6/2024 | 6,000,000 | |
3,300,000 | Los Angeles, CA Community Redevelopment Agency (DWF V Hollywood & Vine, LP), Mizuho 3a-7 (Series 2022-MIZ9089) Daily VRDNs, (FHLMC GTD)/(Mizuho Bank Ltd. LIQ), 4.650%, 6/3/2024 | 3,300,000 | |
4,820,000 | Los Angeles, CA TRANs, 5.000%, 6/27/2024 | 4,822,667 | |
6,900,000 | Nuveen California AMT-Free Quality Municipal Income Fund, (Series A) MuniFund Preferred Shares Weekly VRDPs, 3.810%, 6/3/2024 | 6,900,000 | |
1,445,000 | Nuveen California Quality Municipal Income Fund, RIB Floater Trust (Series 2022-FR-RI-005) (Series 2 Preferred Shares) VRENs, (Barclays Bank PLC LIQ)/(Barclays Bank PLC LOC), 3.760%, 6/6/2024 | 1,445,000 | |
20,000 | Port of Oakland, CA, Refunded Revenue Bonds (Series 2000D), (United States Treasury PRF), 5.000%, 11/1/2024 | 20,095 | |
1,280,000 | Port of Oakland, CA, Revenue Bonds (Series 2000D), (United States Treasury PRF), 5.000%, 11/1/2024 | 1,283,937 | |
9,000,000 | San Francisco, CA City and County (1500 Mission Urban Housing LP), Mizuho 3a-7 (Series 2022-MIZ9115) VRENs, (Mizuho Bank Ltd. GTD)/(Mizuho Bank Ltd. LIQ), 3.710%, 6/6/2024 | 9,000,000 | |
TOTAL | 40,767,643 | ||
Colorado—1.9% | |||
4,655,000 | Colorado Health Facilities Authority (National Jewish Medical and Research Center), (Series 2005) Weekly VRDNs, (UMB Bank, N.A. LOC), 3.460%, 6/6/2024 | 4,655,000 | |
Georgia—0.9% | |||
1,000,000 | Atlanta, GA Airport Passenger Facilities Charge Revenue, (Series 2023E), 5.000%, 7/1/2024 | 1,000,542 | |
1,200,000 | Heard County, GA Development Authority (Georgia Power Co.), (First Series 2007) Daily VRDNs, 4.200%, 6/3/2024 | 1,200,000 | |
TOTAL | 2,200,542 | ||
Idaho—3.7% | |||
9,100,000 | American Falls, ID Reservoir District (Idaho Power Co.), (Series 2000) Weekly VRDNs, 4.050%, 6/5/2024 | 9,100,000 | |
Illinois—0.7% | |||
1,800,000 | Chicago, IL O’Hare International Airport, (Series 2023-XF1457) Daily VRDNs, (JPMorgan Chase Bank, N.A. LIQ), 4.500%, 6/3/2024 | 1,800,000 | |
Indiana—2.1% | |||
200,000 | Indiana Development Finance Authority (Duke Energy Indiana, Inc.), (Series 2003A) Weekly VRDNs, 3.550%, 6/5/2024 | 200,000 | |
5,000,000 | Indiana Finance Authority (Brightmark Circularity Center Ashley 2 LLC), Morgan Stanley 3a-7 (Series 2024-MS-0022), (Morgan Stanley Bank, N.A. LIQ)/(United States Treasury GTD), 3.860%, Optional Tender 7/25/2024 | 5,000,000 | |
TOTAL | 5,200,000 | ||
Kentucky—6.5% | |||
4,400,000 | Kentucky Economic Development Finance Authority (CommonSpirit Health), (Series 2004 C) Weekly VRDNs, 3.650%, 6/5/2024 | 4,400,000 |
1
Principal Amount | Value | ||
1 | SHORT-TERM MUNICIPALS—continued | ||
Kentucky—continued | |||
$ 7,000,000 | Louisville & Jefferson County, KY Metropolitan Government (Louisville Gas & Electric Co.), (2007 Series A) Weekly VRDNs, 3.450%, 6/7/2024 | $ 7,000,000 | |
600,000 | Louisville & Jefferson County, KY Metropolitan Government (Louisville Gas & Electric Co.), (2007 Series B) Weekly VRDNs, 3.510%, 6/7/2024 | 600,000 | |
100,000 | Meade County, KY Industrial Building Revenue Authority (Nucor Corp.), (Series 2020A-1) Daily VRDNs, 4.620%, 6/3/2024 | 100,000 | |
250,000 | Meade County, KY Industrial Building Revenue Authority (Nucor Corp.), (Series 2020B-1) Daily VRDNs, 4.620%, 6/3/2024 | 250,000 | |
850,000 | Meade County, KY Industrial Building Revenue Authority (Nucor Corp.), (Series 2021A-1) Daily VRDNs, 4.620%, 6/3/2024 | 850,000 | |
2,875,000 | Meade County, KY Industrial Building Revenue Authority (Nucor Corp.), (Series 2021B-1) Daily VRDNs, 4.600%, 6/3/2024 | 2,875,000 | |
TOTAL | 16,075,000 | ||
Louisiana—1.2% | |||
1,000,000 | Louisiana Local Government Environmental Facilities CDA (American Biocarbon, CT LLC), (Series 2023), (United States Treasury GTD), 4.000%, Mandatory Tender 6/25/2024 | 999,653 | |
1,650,000 | St. James Parish, LA (Nucor Steel Louisiana LLC), (Series 2010A-1) Weekly VRDNs, (Nucor Corp. GTD), 3.580%, 6/5/2024 | 1,650,000 | |
270,000 | St. James Parish, LA (Nucor Steel Louisiana LLC), (Series 2010B-1) Weekly VRDNs, (Nucor Corp. GTD), 3.650%, 6/5/2024 | 270,000 | |
TOTAL | 2,919,653 | ||
Massachusetts—0.4% | |||
1,000,000 | Massachusetts Development Finance Agency (Nantucket Electric Co.), (Series 2004), CP, (Massachusetts Electric Co. GTD), 3.850%, Mandatory Tender 6/10/2024 | 1,000,005 | |
Missouri—2.0% | |||
505,000 | Kansas City, MO IDA (Paige Point Townhomes), Mizuho 3a-7 (Series 2023-MIZ9154) VRENs, (Mizuho Bank Ltd. GTD)/(Mizuho Bank Ltd. LIQ), 3.710%, 6/6/2024 | 505,000 | |
2,449,814 | Kansas City, MO Planned Industrial Expansion Authority (EPD3 Ridgeview LP), Mizuho 3a-7 (2022-MIZ9086) VRENs, (Mizuho Bank Ltd. GTD)/(Mizuho Bank Ltd. LIQ), 3.710%, 6/6/2024 | 2,449,814 | |
1,915,000 | St. Louis, MO Airport Revenue, (Series 2017B), (Assured Guaranty Municipal Corp. INS), 5.000%, 7/1/2024 | 1,915,841 | |
TOTAL | 4,870,655 | ||
Montana—0.5% | |||
1,165,000 | Montana State Board of Housing (Butte Affordable Housing Solutions LP), Mizuho 3a-7 (Series 2020-MIZ9027) VRENs, (Mizuho Bank Ltd. GTD)/(Mizuho Bank Ltd. LIQ), 3.710%, 6/6/2024 | 1,165,000 | |
Multi-State—15.3% | |||
6,005,000 | DWS Municipal Income Trust, PUTTERs 3a-7 (Series 5055) Weekly VRDNs, (JPMorgan Chase Bank, N.A. LIQ), 3.760%, 6/6/2024 | 6,005,000 | |
4,984,000 | FHLMC (Multifamily Housing Revenue Bond Pass-Through Certificates), Floater Certificates (Series M017-A) Weekly VRDNs, (FHLMC GTD)/(FHLMC LIQ), 4.140%, 6/6/2024 | 4,984,000 | |
9,000,000 | Invesco Municipal Opportunity Trust, PUTTERs 3a-7 (VMTP 5029) Daily VRDNs, (JPMorgan Chase Bank, N.A. LIQ), 4.550%, 6/3/2024 | 9,000,000 | |
4,900,000 | Invesco Value Municipal Income Trust, PUTTERs 3a-7 (VMTP 5027) Daily VRDNs, (JPMorgan Chase Bank, N.A. LIQ), 4.550%, 6/3/2024 | 4,900,000 | |
11,300,000 | Nuveen AMT-Free Quality Municipal Income Fund, (Series D) MuniFund Preferred Shares Weekly VRDPs, 3.810%, 6/3/2024 | 11,300,000 | |
1,300,000 | Nuveen Municipal Credit Opportunities Fund, PUTTERS 3a-7 (Series 5033) (VMFP Series C) Daily VRDNs, (JPMorgan Chase Bank, N.A. LIQ), 4.550%, 6/3/2024 | 1,300,000 | |
200,000 | PIMCO Flexible Municipal Income Fund, PUTTERs (3a-7) (Series 5046) MuniFund Term Preferred Shares Daily VRDNs, (JPMorgan Chase Bank, N.A. LIQ), 4.550%, 6/3/2024 | 200,000 | |
TOTAL | 37,689,000 | ||
Nevada—2.1% | |||
1,250,000 | Clark County, NV Passenger Facility (Las Vegas-McCarran International Airport), (Series 2019E), 5.000%, 7/1/2024 | 1,250,757 | |
2,000,000 | Director of the State of Nevada Department of Business and Industry (Brightline West Passenger Rail Project), (Series 2020A), (United States Treasury GTD), 4.000%, Mandatory Tender 1/30/2025 | 2,000,068 | |
2,000,000 | Director of the State of Nevada Department of Business and Industry (Republic Services, Inc.), Solid Waste Disposal Revenue Bonds (Series 2001), 4.500%, Mandatory Tender 12/2/2024 | 2,000,000 | |
TOTAL | 5,250,825 | ||
New Hampshire—1.0% | |||
2,500,000 | National Finance Authority, NH (University Hospitals Home Care, Inc.), Morgan Stanley 3a-7 (Series 2024-MS0023), (Morgan Stanley Bank, N.A. LIQ)/(Morgan Stanley Bank, N.A. LOC), 3.660%, Optional Tender 6/20/2024 | 2,500,000 | |
New Jersey—11.5% | |||
1,000,000 | Barnegat Light, NJ BANs, 4.500%, 7/31/2024 | 999,349 |
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Principal Amount | Value | ||
1 | SHORT-TERM MUNICIPALS—continued | ||
New Jersey—continued | |||
$ 2,000,000 | Beach Haven, NJ BANs, 4.250%, 5/1/2025 | $ 2,003,206 | |
1,173,750 | Belleville, NJ BANs, 5.000%, 7/10/2024 | 1,174,181 | |
1,680,000 | Bogota, NJ BANs, 4.000%, 4/11/2025 | 1,677,876 | |
1,000,000 | Demarest, NJ BANs, 4.500%, 3/12/2025 | 1,003,990 | |
1,000,000 | Galloway Township, NJ BANs, 4.500%, 1/15/2025 | 1,001,241 | |
1,205,000 | Harvey Cedars, NJ BANs, 5.000%, 4/30/2025 | 1,208,852 | |
1,239,000 | Hillsdale Borough, NJ BANs, 4.250%, 8/23/2024 | 1,238,300 | |
1,000,000 | Lopatcong, NJ BANs, 4.500%, 7/2/2024 | 1,000,045 | |
3,325,000 | New Jersey State Transportation Trust Fund Authority (New Jersey State), Federal Highway Reimbursement Revenue Notes (Series 2016A-1), 5.000%, 6/15/2024 | 3,325,666 | |
1,306,187 | Oxford Township, NJ BANs, 4.750%, 4/24/2025 | 1,309,169 | |
1,178,647 | Pitman, NJ BANs, 4.000%, 2/28/2025 | 1,178,431 | |
2,659,000 | Stanhope, NJ BANs, 4.250%, 4/25/2025 | 2,661,292 | |
1,568,000 | Stone Harbor, NJ BANs, 4.750%, 10/11/2024 | 1,570,988 | |
1,188,207 | West Wildwood, NJ BANs, 4.250%, 2/25/2025 | 1,185,733 | |
1,000,000 | West Wildwood, NJ BANs, 4.500%, 2/25/2025 | 1,001,291 | |
1,000,000 | West Wildwood, NJ BANs, 4.500%, 6/13/2024 | 999,957 | |
1,242,000 | Winslow Township, NJ, (Series A) BANs, 4.000%, 9/12/2024 | 1,240,707 | |
920,000 | Woodcliff Lake, NJ RANs, 4.250%, 9/20/2024 | 918,204 | |
1,443,500 | Wyckoff Township, NJ BANs, 4.500%, 6/13/2024 | 1,443,467 | |
TOTAL | 28,141,945 | ||
New York—5.2% | |||
4,990,000 | New York State HFA (42nd and 10th Street Associates LLC), 3a-7 High Grade Trust (Series 2022-007) VRENs, (Barclays Bank PLC LIQ)/(Barclays Bank PLC LOC), 3.810%, 6/6/2024 | 4,990,000 | |
1,000,000 | Newburgh, NY BANs, 4.450%, 8/9/2024 | 999,849 | |
5,800,000 | Nuveen New York AMT-Free Quality Municipal Income Fund, 800 (Series A) MuniFund Preferred Shares Weekly VRDPs, 3.810%, 6/3/2024 | 5,800,000 | |
1,077,889 | Perry CSD, NY BANs, 4.500%, 6/28/2024 | 1,077,858 | |
TOTAL | 12,867,707 | ||
North Carolina—1.6% | |||
2,200,000 | Hertford County, NC Industrial Facilities & PCFA (Nucor Corp.), (Series 2000A) Weekly VRDNs, 3.700%, 6/5/2024 | 2,200,000 | |
1,700,000 | Hertford County, NC Industrial Facilities & PCFA (Nucor Corp.), (Series 2000B) Weekly VRDNs, 3.700%, 6/5/2024 | 1,700,000 | |
TOTAL | 3,900,000 | ||
Ohio—3.3% | |||
2,250,000 | Cleveland, OH Airport System, (Series 2018A), 5.000%, 1/1/2025 | 2,259,726 | |
1,400,000 | Delhi Township, OH BANs, 5.000%, 11/27/2024 | 1,403,390 | |
2,460,000 | River Valley, OH Local School District BANs, 5.000%, 6/3/2024 | 2,460,000 | |
2,000,000 | Salem, OH City School District BANs, 5.250%, 6/3/2024 | 2,000,000 | |
TOTAL | 8,123,116 | ||
Oklahoma—0.8% | |||
2,000,000 | Muskogee, OK Industrial Trust (Oklahoma Gas and Electric Co.), (1995 Series A) Weekly VRDNs, 3.450%, 6/5/2024 | 2,000,000 | |
Oregon—0.4% | |||
1,000,000 | Port of Portland, OR Airport, (Series 26C), 5.000%, 7/1/2024 | 1,000,510 | |
Pennsylvania—4.4% | |||
2,000,000 | Allegheny County, PA Sanitation Authority, Sewer Revenue Bonds (Series 2015), 5.000%, 12/1/2024 | 2,010,606 | |
1,500,000 | Pennsylvania Economic Development Financing Authority (PPL Energy Supply LLC), (Series 2009B) Weekly VRDNs, (MUFG Bank Ltd. LOC), 4.100%, 6/5/2024 | 1,500,000 | |
3,000,000 | Pennsylvania Economic Development Financing Authority (PPL Energy Supply LLC), (Series 2009C) Weekly VRDNs, (MUFG Bank Ltd. LOC), 4.100%, 6/5/2024 | 3,000,000 | |
1,500,000 | Pennsylvania Economic Development Financing Authority (Republic Services, Inc.), (Series 2019A), 4.050%, Mandatory Tender 7/15/2024 | 1,499,914 | |
1,505,000 | Philadelphia, PA Airport System, (Series 2015A), 5.000%, 6/15/2024 | 1,505,253 |
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Principal Amount | Value | ||
1 | SHORT-TERM MUNICIPALS—continued | ||
Pennsylvania—continued | |||
$ 1,250,000 | Philadelphia, PA Redevelopment Authority (Philadelphia, PA), City Service Agreement Revenue Refunding Bonds (Series 2015B), 5.000%, 4/15/2025 | $ 1,258,661 | |
TOTAL | 10,774,434 | ||
South Carolina—0.7% | |||
1,700,000 | South Carolina Jobs-EDA (BTH Spartanburg I LLC), (Series 2022-XF3074) Weekly VRDNs, (Mizuho Bank Ltd. GTD)/(Mizuho Bank Ltd. LIQ), 3.710%, 6/6/2024 | 1,700,000 | |
Texas—15.4% | |||
4,500,000 | Dallas-Fort Worth, TX International Airport, (Series II), CPX, 4.000%, Mandatory Tender 7/2/2024 | 4,500,101 | |
1,220,000 | Las Varas, TX Public Facility Corporation (Roers San Antonio Apartments Owner I LP), Mizuho 3a-7 (Series 2024-MIZ9158) VRENs, (Mizuho Bank Ltd. GTD)/(Mizuho Bank Ltd. LIQ), 3.710%, 6/6/2024 | 1,220,000 | |
1,000,000 | Love Field Airport Modernization Corporation, TX, General Airport Revenue Bonds (Series 2017), 5.000%, 11/1/2024 | 1,002,791 | |
1,750,000 | Mission, TX Economic Development Corp. (Republic Services, Inc.), 4.050%, Mandatory Tender 8/1/2024 | 1,750,003 | |
1,250,000 | Mission, TX Economic Development Corp. (Waste Management, Inc.), (Series 2023A), (Waste Management Holdings, Inc. GTD), 4.250%, Mandatory Tender 6/3/2024 | 1,250,000 | |
4,600,000 | Port of Corpus Christi Authority of Nueces County, TX (Flint Hills Resources LLC), (Series 2005) Daily VRDNs, 4.800%, 6/3/2024 | 4,600,000 | |
9,515,000 | Port of Port Arthur Navigation District of Jefferson County, TX (Motiva Enterprises LLC), (Series 2010D) Weekly VRDNs, 3.750%, 6/5/2024 | 9,515,000 | |
6,150,000 | Port of Port Arthur Navigation District of Jefferson County, TX (Motiva Enterprises LLC), (Series 2010E) Weekly VRDNs, 3.750%, 6/5/2024 | 6,150,000 | |
1,000,000 | San Antonio, TX Airport, (Series A), 5.000%, 7/1/2024 | 1,000,471 | |
3,444,000 | Texas Tech University System (The Board of Regents of), CP Notes (Series A), CP, 3.600%, Mandatory Tender 6/3/2024 | 3,444,006 | |
1,500,000 | Travis County, TX Housing Finance Corp. (Roers Austin Apartments Owner II LP), Mizuho 3a-7 (Series 2023-MIZ9127) VRENs, (Mizuho Bank Ltd. GTD)/(Mizuho Bank Ltd. LIQ), 3.710%, 6/6/2024 | 1,500,000 | |
2,000,000 | University of North Texas System, (Series B), CPX, 3.750%, Mandatory Tender 6/5/2024 | 2,000,005 | |
TOTAL | 37,932,377 | ||
Virginia—1.0% | |||
1,140,000 | Southampton County, VA IDA (PRTI-Virginia One, LLC), Environmental Improvement Revenue Bonds (Series 2023), (United States Treasury COL), 4.875%, Mandatory Tender 12/12/2024 | 1,137,883 | |
1,000,000 | Virginia Small Business Financing Authority (Pure Salmon Virginia LLC), (Series 2022), (United States Treasury COL), 5.000%, Mandatory Tender 11/15/2024 | 999,985 | |
400,000 | Virginia State Housing Development Authority, (Series 2023C E-1), 3.850%, Mandatory Tender 1/1/2025 | 398,237 | |
TOTAL | 2,536,105 | ||
Wisconsin—0.3% | |||
700,000 | Grantsburg, WI School District TRANs, 5.250%, 10/30/2024 | 701,672 | |
TOTAL SHORT-TERM MUNICIPALS (IDENTIFIED COST $251,572,463) | 251,521,028 | ||
MUNICIPAL BONDS—0.4% | |||
New Jersey—0.4% | |||
1,000,000 | Lawrence Township, NJ BANs, 4.500%, 6/5/2025 (IDENTIFIED COST $1,002,100) | 1,002,029 | |
TOTAL INVESTMENT IN SECURITIES—102.6% (IDENTIFIED COST $252,574,563) | 252,523,057 | ||
OTHER ASSETS AND LIABILITIES - NET—(2.6)%2 | (6,513,217) | ||
TOTAL NET ASSETS—100% | $246,009,840 |
Securities that are subject to the federal alternative minimum tax (AMT) represent 36.0% of the portfolio as calculated based upon total market value.
1 | Current rate and current maturity or next reset date shown for floating rate notes and variable rate notes/demand instruments. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
2 | Assets, other than investments in securities, less liabilities. |
Note: The categories of investments are shown as a percentage of total net assets at May 31, 2024.
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Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■ Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by Federated Investment Management Company (the “Adviser”).
■ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs, or NAV per share practical expedient, as applicable.
■ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer’s financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.
If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Adviser’s valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion of the Adviser’s valuation committee (“Valuation Committee”), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.
Fair Valuation Procedures
Pursuant to Rule 2a-5 under the Investment Company Act of 1940, the Fund’s Board of Trustees (the “Trustees”) has designated the Adviser as the Fund’s valuation designee to perform any fair value determinations for securities and other assets held by the Fund. The Adviser is subject to the Trustees’ oversight and certain reporting and other requirements intended to provide the Trustees the information needed to oversee the Adviser’s fair value determinations.
The Adviser, acting through its Valuation Committee, is responsible for determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of the Adviser and certain of the Adviser’s affiliated companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is also authorized to use pricing services to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services’ policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Adviser. The Trustees periodically review the fair valuations made by the Valuation Committee. The Trustees have also approved the Adviser’s fair valuation and significant events procedures as part of the Fund’s compliance program and will review any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and ask for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Adviser.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
5
As of May 31, 2024, all investments of the Fund utilized Level 2 inputs in valuing the Fund’s assets carried at fair value.
The following acronym(s) are used throughout this portfolio: | ||
AMT | —Alternative Minimum Tax | |
BANs | —Bond Anticipation Notes | |
CDA | —Community Development Authority | |
COL | —Collateralized | |
CP | —Commercial Paper | |
CPX | —Commercial Paper Extendible | |
CSD | —Central School District | |
EDA | —Economic Development Authority | |
FHLMC | —Federal Home Loan Mortgage Corporation | |
GTD | —Guaranteed | |
HFA | —Housing Finance Authority | |
IDA | —Industrial Development Authority | |
INS | —Insured | |
LIQ | —Liquidity Agreement | |
LOC | —Letter of Credit | |
PCFA | —Pollution Control Financing Authority | |
PRF | —Prerefunded | |
PUTTERs | —Puttable Tax-Exempt Receipts | |
RANs | —Revenue Anticipation Notes | |
TRANs | —Tax and Revenue Anticipation Notes | |
VMTP | —Variable Municipal Term Preferred | |
VRDNs | —Variable Rate Demand Notes | |
VRDPs | —Variable Rate Demand Preferreds | |
VRENs | —Variable Rate Extendible Notes | |
6