United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-23259
(Investment Company Act File Number)
Federated Hermes Adviser 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: 08/31/23
Date of Reporting Period: Six months ended 02/28/23
Item 1. | Reports to Stockholders |
Share Class | Ticker | Institutional | FHCOX |
Federated Hermes Conservative Microshort Fund
A Portfolio of Federated Hermes Adviser Series
Security Type | Percentage of Total Net Assets |
Commercial Paper | 25.3% |
Asset-Backed Securities | 20.7% |
Certificates of Deposit | 4.4% |
Corporate Bond | 1.5% |
Cash Equivalents2 | 22.0% |
Repurchase Agreements | 3.6% |
Other Repurchase Agreements | 25.8% |
Other Assets and Liabilities—Net3 | (3.3)% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests. |
2 | Cash Equivalents include any investments in money market mutual funds. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
COMMERCIAL PAPER— 25.3% | |||
Banking— 1.4% | |||
$ 1,500,000 | National Australia Bank Ltd., Melbourne, 3.844%, 6/15/2023 | $ 1,478,363 | |
Electric Power— 14.1% | |||
5,300,000 | Avangrid, Inc., 4.706%, 3/2/2023 | 5,298,598 | |
5,200,000 | Duke Energy Corp., 4.685%, 3/7/2023 | 5,195,197 | |
4,000,000 | EverSource Energy, 4.798%, 3/6/2023 | 3,996,916 | |
TOTAL | 14,490,711 | ||
Energy - Midstream— 4.9% | |||
5,000,000 | Energy Transfer LP, 5.251%, 3/1/2023 | 4,999,297 | |
Food & Beverage— 4.9% | |||
5,000,000 | Mondelez International, Inc., 4.731%, 3/1/2023 | 4,999,339 | |
TOTAL COMMERCIAL PAPER (IDENTIFIED COST $25,976,249) | 25,967,710 | ||
ASSET-BACKED SECURITIES— 20.7% | |||
Auto Receivables— 11.2% | |||
384,633 | Chase Auto Credit Linked Notes 2020-2, Class C, 1.139%, 2/25/2028 | 375,862 | |
139,430 | Chase Auto Credit Linked Notes 2020-2, Class D, 1.487%, 2/25/2028 | 136,156 | |
1,530,000 | General Motors 2020-1, Class A, 0.680%, 8/15/2025 | 1,498,446 | |
1,500,000 | Harley-Davidson Motorcycle Trust 2023-A, Class A2A, 5.320%, 6/15/2026 | 1,500,110 | |
975,771 | 1 | Hyundai Auto Lease Securitization Trust 2022 - C, Class A2B, 5.101% (30-DAY AVERAGE SOFR +0.700%), 1/15/2025 | 977,238 |
234,657 | Santander Bank Auto Credit-Linked Notes 2021-1A, Class B, 1.833%, 12/15/2031 | 226,754 | |
1,148,224 | Santander Bank Auto Credit-Linked Notes 2022-B, Class C, 0.000%, 8/16/2032 | 1,141,302 | |
58,204 | Santander Drive Auto Receivables Trust 2022-2, Class A2, 2.120%, 10/15/2026 | 58,133 | |
850,000 | Santander Drive Auto Receivables Trust 2022-6, Class B, 4.720%, 6/15/2027 | 836,043 | |
888,747 | Santander Retail Auto Lease Trust 2020-A, Class D, 2.520%, 11/20/2024 | 887,109 | |
81,590 | Tesla Auto Lease Trust 2020-A, Class B, 1.180%, 1/22/2024 | 81,414 | |
3,000,000 | Tesla Auto Lease Trust 2020-A, Class D, 2.330%, 2/20/2024 | 2,989,637 | |
725,000 | World Omni Auto Receivables Trust 2019-A, Class D, 2.590%, 12/15/2025 | 711,023 | |
TOTAL | 11,419,227 | ||
Credit Card— 2.4% | |||
2,000,000 | Evergreen Credit Card Trust 2022-CRT1, Class C, 6.190%, 7/15/2026 | 1,948,378 | |
550,000 | Evergreen Credit Card Trust 2022-CRT2 C, Class C, 7.440%, 11/16/2026 | 541,859 | |
TOTAL | 2,490,237 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Equipment Lease— 3.2% | |||
$ 3,000,000 | Dell Equipment Finance Trust 2020-2, Class D, 1.920%, 3/23/2026 | $ 2,975,739 | |
300,000 | Dell Equipment Finance Trust 2021-1, Class D, 1.030%, 11/23/2026 | 291,496 | |
TOTAL | 3,267,235 | ||
Other— 3.9% | |||
625,000 | DLLAD LLC 2023-1A, Class A2, 5.190%, 4/20/2026 | 624,686 | |
1,500,000 | 1 | PFS Financing Corp. 2022-B, Class B, 5.251% (30-DAY AVERAGE SOFR +0.850%), 2/15/2026 | 1,492,448 |
282,222 | Sofi Consumer Loan Program Trust 2021-1, Class A, 0.490%, 9/25/2030 | 276,970 | |
1,626,741 | Sofi Consumer Loan Program Trust 2022-1S, Class A, 6.210%, 4/15/2031 | 1,624,548 | |
TOTAL | 4,018,652 | ||
Student Loans— 0.0% | |||
20,239 | Navient Student Loan Trust 2018-A, Class A2, 3.190%, 2/18/2042 | 20,038 | |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $21,436,317) | 21,215,389 | ||
CERTIFICATES OF DEPOSIT— 4.4% | |||
Banking— 4.4% | |||
3,000,000 | 1 | Bank of Montreal, 5.200% (SOFR +0.650%), 3/1/2023 | 3,004,993 |
1,500,000 | Toronto Dominion Bank, 4.070%, 7/18/2023 | 1,494,459 | |
TOTAL CERTIFICATES OF DEPOSIT (IDENTIFIED COST $4,500,000) | 4,499,452 | ||
CORPORATE BOND— 1.5% | |||
Finance - Automotive— 1.5% | |||
1,500,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series MTN, 5.122% (SOFR +0.650%), 12/29/2023 (IDENTIFIED COST $1,500,000) | 1,505,689 | |
OTHER REPURCHASE AGREEMENTS— 25.8% | |||
5,295,000 | BNP Paribas S.A. 4.65%, dated 2/28/2023, interest in a $350,000,000 collateralized loan agreement will repurchase securities provided as collateral for $350,045,208 on 3/1/2023, in which asset-backed securities, corporate bonds and sovereign debt with a market value of $357,046,113 have been received as collateral and held with BNY Mellon as tri-party agent. | 5,295,000 | |
5,295,000 | ING Financial Markets LLC, 4.64%, dated 2/28/2023, interest in a $50,000,000 collateralized loan agreement will repurchase securities provided as collateral for $50,006,444 on 3/1/2023, in which corporate bonds with a market value of $51,006,737 have been received as collateral and held with BNY Mellon as tri-party agent. | 5,295,000 | |
5,295,000 | MUFG Securities Americas, Inc., 4.72%, dated 2/28/2023, interest in a $300,000,000 collateralized loan agreement will repurchase securities provided as collateral for $300,039,333 on 3/1/2023, in which American depositary receipts, common stocks, corporate bonds, exchange traded funds and unit investment trust with a market value of $306,040,996 have been received as collateral and held with BNY Mellon as tri-party agent. | 5,295,000 |
Principal Amount or Shares | Value | ||
OTHER REPURCHASE AGREEMENTS— continued | |||
$ 5,295,000 | Societe Generale, Paris 4.72%, dated 2/28/2023, interest in a $650,000,000 collateralized loan agreement will repurchase securities provided as collateral for $650,085,222 on 3/1/2023, in which asset-backed securities, corporate bonds, collateralized mortgage obligations, medium-term notes and sovereign debt with a market value of $663,086,974 have been received as collateral and held with BNY Mellon as tri-party agent. | $ 5,295,000 | |
5,295,000 | Standard Chartered Bank, 4.63%, dated 2/28/2023, interest in a $150,000,000 collateralized loan agreement will repurchase securities provided as collateral for $150,019,292 on 3/1/2023, in which U.S. Government Agency securities with a market value of $153,019,678 have been received as collateral and held with BNY Mellon as tri-party agent. | 5,295,000 | |
TOTAL OTHER REPURCHASE AGREEMENTS (IDENTIFIED COST $26,475,000) | 26,475,000 | ||
REPURCHASE AGREEMENT— 3.6% | |||
3,682,000 | Interest in $2,000,000,000 joint repurchase agreement 4.55%, dated 2/28/2023 under which Sumitomo Mitsui Banking Corp. will repurchase securities provided as collateral for $2,000,252,778 on 3/1/2023. 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 10/20/2052 and the market value of those underlying securities was $2,040,257,833. (IDENTIFIED COST $3,682,000) | 3,682,000 | |
INVESTMENT COMPANY— 22.0% | |||
22,614,490 | Federated Hermes Institutional Money Market Management, Institutional Shares, 4.66%2 (IDENTIFIED COST $22,608,467) | 22,607,705 | |
TOTAL INVESTMENT IN SECURITIES—103.3% (IDENTIFIED COST $106,178,033)3 | 105,952,945 | ||
OTHER ASSETS AND LIABILITIES - NET—(3.3)%4 | (3,402,760) | ||
TOTAL NET ASSETS—100% | $102,550,185 |
Federated Hermes Institutional Money Market Management, Institutional Shares | |
Value as of 8/31/2021 | $22,600,921 |
Purchases at Cost | $— |
Proceeds from Sales | $— |
Change in Unrealized Appreciation/Depreciation | $6,784 |
Net Realized Gain/(Loss) | $— |
Value as of 2/28/2023 | $22,607,705 |
Shares Held as of 2/28/2023 | 22,614,490 |
Dividend Income | $458,879 |
1 | Floating/variable note with current rate and current maturity or next reset date shown. |
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 February 28, 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: | ||||
Commercial Paper | $— | $25,967,710 | $— | $25,967,710 |
Asset-Backed Securities | — | 21,215,389 | — | 21,215,389 |
Certificates of Deposit | — | 4,499,452 | — | 4,499,452 |
Corporate Bond | — | 1,505,689 | — | 1,505,689 |
Other Repurchase Agreements | — | 26,475,000 | — | 26,475,000 |
Repurchase Agreements | — | 3,682,000 | — | 3,682,000 |
Investment Company | 22,607,705 | — | — | 22,607,705 |
TOTAL SECURITIES | $22,607,705 | $83,345,240 | $— | $105,952,945 |
The following acronym(s) are used throughout this portfolio: | ||
MTN | —Medium Term Note | |
SOFR | —Secured Overnight Financing Rate |
Six Months Ended (unaudited) | Year Ended | Period Ended | |
2/28/2023 | 8/31/2022 | 8/31/20211 | |
Net Asset Value, Beginning of Period | $9.94 | $10.02 | $10.00 |
Income From Investment Operations: | |||
Net investment income (loss) | 0.18 | 0.07 | 0.01 |
Net realized and unrealized gain (loss) | 0.01 | (0.08) | 0.03 |
TOTAL FROM INVESTMENT OPERATIONS | 0.19 | (0.01) | 0.04 |
Less Distributions: | |||
Distributions from net investment income | (0.18) | (0.07) | (0.02) |
Net Asset Value, End of Period | $9.95 | $9.94 | $10.02 |
Total Return2 | 1.88% | (0.10)% | 0.36% |
Ratios to Average Net Assets: | |||
Net expenses3 | 0.07%4 | 0.05% | 0.04%4 |
Net investment income | 3.70%4 | 0.73% | 0.23%4 |
Expense waiver/reimbursement5 | 0.46%4 | 0.55% | 1.15%4 |
Supplemental Data: | |||
Net assets, end of period (000 omitted) | $102,550 | $61,280 | $71,621 |
Portfolio turnover6 | 10% | 37% | 26% |
1 | Reflects operations for the period from February 3, 2021 (commencement of operations) to August 31, 2021. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | 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. |
February 28, 2023 (unaudited)
Assets: | |
Investment in repurchase agreements | $30,157,000 |
Investment in securities | 75,795,945 |
Investment in securities, at value including $22,607,705 of investments in affiliated holdings* (identified cost $106,178,033, including $22,608,467 of identified cost in affiliated holdings) | 105,952,945 |
Cash | 1,512 |
Income receivable | 29,419 |
Income receivable from affiliated holdings | 160,614 |
Receivable for shares sold | 52,000 |
Prepaid expenses | 40,148 |
Total Assets | 106,236,638 |
Liabilities: | |
Payable for shares redeemed | 3,518,828 |
Income distribution payable | 134,593 |
Payable to adviser (Note 5) | 1,425 |
Payable for administrative fee (Note 5) | 226 |
Accrued expenses (Note 5) | 31,381 |
Total Liabilities | 3,686,453 |
Net assets for 10,305,959 shares outstanding | $102,550,185 |
Net Assets Consist of: | |
Paid-in capital | $102,775,199 |
Total distributable earnings (loss) | (225,014) |
Total Net Assets | $102,550,185 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Net asset value per share ($102,550,185 ÷ 10,305,959 shares outstanding), no par value, unlimited shares authorized | $9.95 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended February 28, 2023 (unaudited)
Investment Income: | |
Interest | $1,350,895 |
Dividends (including $458,879 received from affiliated holdings*) | 421,655 |
TOTAL INCOME | 1,772,550 |
Expenses: | |
Investment adviser fee (Note 5) | 117,706 |
Administrative fee (Note 5) | 37,029 |
Custodian fees | 6,233 |
Transfer agent fees | 3,733 |
Directors’/Trustees’ fees (Note 5) | 469 |
Auditing fees | 15,053 |
Legal fees | 5,017 |
Portfolio accounting fees | 28,464 |
Share registration costs | 15,030 |
Printing and postage | 8,992 |
Miscellaneous (Note 5) | 10,723 |
TOTAL EXPENSES | 248,449 |
Waiver and Reimbursement: | |
Waiver of investment adviser fee (Note 5) | (117,706) |
Reimbursement of other operating expenses (Note 5) | (98,714) |
TOTAL WAIVER AND REIMBURSEMENT | (216,420) |
Net expenses | 32,029 |
Net investment income | 1,740,521 |
Net change in unrealized depreciation of investments (including net change in unrealized depreciation of $6,784 on investments in affiliated holdings*) | 132,523 |
Change in net assets resulting from operations | $1,873,044 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 2/28/2023 | Year Ended 8/31/2022 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $1,740,521 | $436,246 |
Net realized gain (loss) | — | (1,318) |
Net change in unrealized appreciation/depreciation | 132,523 | (415,384) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 1,873,044 | 19,544 |
Distributions to Shareholders | (1,736,405) | (435,829) |
Share Transactions: | ||
Proceeds from sale of shares | 114,445,856 | 14,821,082 |
Net asset value of shares issued to shareholders in payment of distributions declared | 749,312 | 62,478 |
Cost of shares redeemed | (74,061,374) | (24,808,027) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 41,133,794 | (9,924,467) |
Change in net assets | 41,270,433 | (10,340,752) |
Net Assets: | ||
Beginning of period | 61,279,752 | 71,620,504 |
End of period | $102,550,185 | $61,279,752 |
Six Months Ended 2/28/2023 | Year Ended 8/31/2022 | |
Shares sold | 11,517,167 | 1,488,051 |
Shares issued to shareholders in payment of distributions declared | 75,344 | 6,279 |
Shares redeemed | (7,449,136) | (2,482,839) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 4,143,375 | (988,509) |
Short-Term | Long-Term | Total |
$5,089 | $— | $5,089 |
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 | $8,024,723 |
Sales | $4,410,510 |
Beginning Account Value 9/1/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,018.80 | $0.35 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,024.45 | $0.352 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 0.07%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). |
2 | Actual and Hypothetical expenses paid during the period utilizing the Fund’s current Fee Limit of 0.25% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 181/365 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $1.25 and 1.26, respectively. |
Annual Evaluation of Adequacy and Effectiveness
IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Share Class | Ticker | Institutional | FHMIX | |||
Federated Hermes Conservative Municipal Microshort Fund
A Portfolio of Federated Hermes Adviser Series
Sector Composition | Percentage of Total Net Assets |
Multi-Family Housing | 24.6% |
Industrial Development/Pollution Control | 24.4% |
Electric & Gas | 17.4% |
General Obligation-Local | 10.9% |
Single Family Housing | 3.7% |
Special Tax | 1.4% |
Higher Education | 1.3% |
Other Transportation | 0.7% |
Hospital | 0.7% |
General Obligation-State | 0.3% |
Other2 | 15.4% |
Other Assets and Liabilities—Net3 | (0.8)% |
TOTAL | 100% |
1 | Sector classifications, and the assignment of holdings to such sectors, are based upon the economic sector and/or revenue source of the underlying obligor, as determined by the Fund’s Adviser. For securities that have been enhanced by a third-party guarantor, such as bond insurers and banks, sector classifications are based upon the economic sector and/or revenue source of the underlying obligor, as determined by the Fund’s Adviser. |
2 | For purposes of this table, sector classifications constitute 85.1% of the Fund’s total net assets. Remaining sectors have been aggregated under the designation “Other”. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Securities With an Effective Maturity of: | Percentage of Total Net Assets |
1-7 Days | 67.2% |
8-30 Days | 0.7% |
31-90 Days | 22.0% |
91-180 Days | 7.5% |
181 Days or more | 3.4% |
Other Assets and Liabilities—Net2 | (0.8)% |
Total | 100% |
1 | Variable rate demand instruments are treated as short-term securities as the repayment of their principal amount at face value can be on demand. For other investments, effective maturity is the unexpired time until final maturity. |
2 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount | Value | ||
1 | SHORT-TERM MUNICIPALS— 100.8% | ||
Alabama— 3.1% | |||
$2,400,000 | West Jefferson, AL IDB Solid Waste Disposal (Alabama Power Co.), (Series 2008) Daily VRDNs, 2.800%, 3/1/2023 | $ 2,400,000 | |
2,200,000 | Wilsonville, AL IDB (Alabama Power Co.), (Series D) (Gaston Plant) Daily VRDNs, 2.700%, 3/1/2023 | 2,200,000 | |
TOTAL | 4,600,000 | ||
Arkansas— 3.3% | |||
5,000,000 | Blytheville, AR (Nucor Corp.), (Series 2002) Weekly VRDNs, 4.000%, 3/1/2023 | 5,000,000 | |
California— 16.1% | |||
1,000,000 | California HFA, Mizuho 3a-7 (Series 2022-MIZ9097) VRENs, (GTD by Mizuho Bank Ltd.)/(Mizuho Bank Ltd. LIQ), 3.670%, 3/2/2023 | 1,000,000 | |
5,600,000 | California Statewide Communities Development Authority (Kensington Apartments LP), Tender Option Bond Trust Floater Certificates (Series 2022-MIZ9113) VRENs, (GTD by Mizuho Bank Ltd.)/(Mizuho Bank Ltd. LIQ), 3.670%, 3/2/2023 | 5,600,000 | |
7,300,000 | Nuveen California AMT-Free Quality Municipal Income Fund, (Series A) VRDPs, 3.870%, 3/1/2023 | 7,300,000 | |
1,445,000 | Nuveen California Quality Municipal Income Fund, RIB floater Trust (Series 2022-FR-RI-005) VRENs, (Barclays Bank PLC LIQ)/(Barclays Bank PLC LOC), 3.750%, 3/2/2023 | 1,445,000 | |
2,000,000 | River Islands, CA Public Financing Authority (River Islands, CA Public Financing Authority-Community Facilities District No. 2015-1), Tender Option Bond Trust Floater Certificates (Series 2022-MIZ9110) VRENs, (Mizuho Bank Ltd. GTD)/(Mizuho Bank Ltd. LIQ), 3.670%, 3/2/2023 | 2,000,000 | |
6,700,000 | San Francisco, CA City and County (1500 Mission Urban Housing LP), Mizuho 3A-7 (Series 2022-MIZ9115) VRENs, (GTD by Mizuho Bank Ltd.)/(Mizuho Bank Ltd. LIQ), 3.720%, 3/2/2023 | 6,700,000 | |
TOTAL | 24,045,000 | ||
Colorado— 0.5% | |||
766,764 | Colorado HFA (Steele San Juan, LLC), Mizuho 3a-7 (Series 2021-MIZ9068) VRENs, (GTD by Mizuho Bank Ltd.)/(Mizuho Bank Ltd. LIQ), 3.670%, 3/2/2023 | 766,764 | |
Connecticut— 0.0% | |||
55,000 | Connecticut State Special Transportation Fund, RBC Muni Products (Series G-110) TOBs, (Royal Bank of Canada LIQ)/(Royal Bank of Canada LOC), 3.600%, Optional Tender 4/3/2023 | 55,000 | |
Florida— 0.7% | |||
1,000,000 | Florida Development Finance Corp. (Brightline Florida Passenger Rail Expansion), (Series A) TOBs, (GTD by United States Treasury), 2.900%, Mandatory Tender 4/4/2023 | 998,928 |
Principal Amount | Value | ||
1 | SHORT-TERM MUNICIPALS— continued | ||
Georgia— 3.7% | |||
$1,200,000 | Appling County, GA Development Authority (Georgia Power Co.), (1st Series 1997) Daily VRDNs, 2.850%, 3/1/2023 | $ 1,200,000 | |
1,900,000 | Burke County, GA Development Authority (Georgia Power Co.), (2018 1st Series) Daily VRDNs, 2.700%, 3/1/2023 | 1,900,000 | |
800,000 | Burke County, GA Development Authority (Georgia Power Co.), (Third Series 2012) Daily VRDNs, 3.000%, 3/1/2023 | 800,000 | |
1,600,000 | Heard County, GA Development Authority (Georgia Power Co.), (First Series 1997) Daily VRDNs, 3.050%, 3/1/2023 | 1,600,000 | |
TOTAL | 5,500,000 | ||
Idaho— 0.3% | |||
395,000 | American Falls, ID Reservoir District (Idaho Power Co.), (Series 2000) Weekly VRDNs, 3.750%, 3/1/2023 | 395,000 | |
Illinois— 1.6% | |||
1,960,000 | Illinois Finance Authority (Saint Xavier University), (Series 2006) Weekly VRDNs, (Huntington National Bank LOC), 3.490%, 3/2/2023 | 1,960,000 | |
500,000 | Illinois State, GO Bonds (Series 2022A), 5.000%, 3/1/2023 | 500,000 | |
TOTAL | 2,460,000 | ||
Kentucky— 7.7% | |||
1,000,000 | Kentucky Economic Development Finance Authority (CommonSpirit Health), (Series 2004 C) Weekly VRDNs, 3.700%, 3/1/2023 | 1,000,000 | |
4,900,000 | Louisville & Jefferson County, KY Metropolitan Government (Louisville Gas & Electric Co.), (Series A) Weekly VRDNs, 3.550%, 3/3/2023 | 4,900,000 | |
1,200,000 | Louisville & Jefferson County, KY Metropolitan Government (Louisville Gas & Electric Co.), (Series B) Weekly VRDNs, 3.450%, 3/3/2023 | 1,200,000 | |
4,400,000 | Meade County, KY Industrial Building Revenue Authority (Nucor Corp.), (Series 2021B-1) Daily VRDNs, 3.400%, 3/1/2023 | 4,400,000 | |
TOTAL | 11,500,000 | ||
Louisiana— 0.1% | |||
150,000 | Louisiana Stadium and Exposition District, BANs (Series 2021), 4.000%, 7/3/2023 | 150,028 | |
Massachusetts— 0.7% | |||
1,000,000 | Massachusetts Development Finance Agency (Nantucket Electric Co.), (Series 2004), CP, (GTD by Massachusetts Electric Co.), 3.750%, Mandatory Tender 4/11/2023 | 1,000,056 | |
Mississippi— 0.3% | |||
120,000 | Mississippi Business Finance Corp. (Tri-State Truck Center, Inc.), (Series 2008) Weekly VRDNs, (Regions Bank LOC), 3.570%, 3/2/2023 | 120,000 | |
400,000 | Mississippi Home Corp. (Shady Lane Group LP), Tender Option Bond Trust Floater Certificates (Series 2022-XF1134) Weekly VRDNs, (Deutsche Bank AG LIQ)/(Deutsche Bank AG LOC), 3.720%, 3/2/2023 | 400,000 | |
TOTAL | 520,000 |
Principal Amount | Value | ||
1 | SHORT-TERM MUNICIPALS— continued | ||
Missouri— 1.9% | |||
$2,810,000 | Kansas City, MO Planned Industrial Expansion Authority (EPD3 Ridgeview LP), Mizuho 3a-7 (2022-MIZ9086) VRENs, (GTD by Mizuho Bank Ltd.)/(Mizuho Bank Ltd. LIQ), 3.670%, 3/2/2023 | $ 2,810,000 | |
Multi-State— 1.9% | |||
2,800,000 | Nuveen Municipal Credit Income Fund, PUTTERs 3a-7 (Series 5039) (VMFP Series C) Daily VRDNs, (JPMorgan Chase Bank, N.A. LIQ), 3.670%, 3/1/2023 | 2,800,000 | |
New Jersey— 11.6% | |||
1,989,000 | Alpine Borough, NJ BANs, 4.750%, 8/15/2023 | 1,993,834 | |
1,538,000 | Garwood, NJ BANs, 5.000%, 8/3/2023 | 1,544,342 | |
1,500,000 | Lakewood Township, NJ BANs, 4.250%, 10/24/2023 | 1,500,272 | |
5,500,000 | New Jersey State Economic Development Authority (Jewish Community Housing Corporation of Metropolitan New Jersey), (Series 2010) Weekly VRDNs, (Valley National Bank LOC), 3.540%, 3/2/2023 | 5,500,000 | |
1,500,000 | North Hunterdon-Vorhees, NJ Regional High School District BANs, 4.250%, 7/21/2023 | 1,499,866 | |
729,270 | Pemberton Township, NJ, (Series 2022) BANs, 4.000%, 5/31/2023 | 729,195 | |
1,148,400 | Stone Harbor, NJ BANs, 5.000%, 10/13/2023 | 1,152,672 | |
1,000,000 | West Wildwood, NJ BANs, 4.500%, 2/27/2024 | 1,004,661 | |
1,000,000 | Woolwich, NJ BANs, 3.750%, 5/30/2023 | 999,640 | |
1,398,190 | Wyckoff Township, NJ BANs, 4.500%, 9/19/2023 | 1,398,519 | |
TOTAL | 17,323,001 | ||
New York— 9.1% | |||
355,000 | Albany, NY Housing Authority (Nutgrove Garden Apartments), (Series 2005) Weekly VRDNs, (Citizens Bank, N.A., Providence LOC), 3.930%, 3/2/2023 | 355,000 | |
1,500,000 | Greater Southern Tier Board of Cooperative Educational Services, NY RANs, 4.000%, 6/30/2023 | 1,499,505 | |
1,072,545 | Hannibal, NY CSD BANs, 4.250%, 6/28/2023 | 1,073,053 | |
805,000 | Lowville, NY, (Series A) BANs, 3.250%, 8/24/2023 | 801,881 | |
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), 3.820%, 3/2/2023 | 4,990,000 | |
3,900,000 | Nuveen New York AMT-Free Quality Municipal Income Fund, 800 (Series A) MuniFund Preferred Shares Weekly VRDPs, 3.870%, 3/1/2023 | 3,900,000 | |
1,000,000 | Walton, NY CSD BANs, 4.000%, 6/28/2023 | 999,516 | |
TOTAL | 13,618,955 | ||
North Carolina— 0.7% | |||
400,000 | Hertford County, NC Industrial Facilities & PCFA (Nucor Corp.), (Series 2000A) Weekly VRDNs, 4.000%, 3/1/2023 | 400,000 |
Principal Amount | Value | ||
1 | SHORT-TERM MUNICIPALS— continued | ||
North Carolina— continued | |||
$ 720,000 | Selma, NC Housing Authority Multi Family Revenue (GREH Lizzie Mill, NC TC LLC), Tender Option Bond Certificates (Series 2022-XF1133) Weekly VRDNs, (Deutsche Bank AG LIQ)/(Deutsche Bank AG LOC), 3.720%, 3/2/2023 | $ 720,000 | |
TOTAL | 1,120,000 | ||
Oklahoma— 3.7% | |||
5,500,000 | Muskogee, OK Industrial Trust (Oklahoma Gas and Electric Co.), (1995 Series A) Weekly VRDNs, 3.600%, 3/1/2023 | 5,500,000 | |
Pennsylvania— 4.5% | |||
280,000 | East Hempfield Township, PA IDA (BGT Realty), (Series of 2005) Weekly VRDNs, (Fulton Bank, N.A. LOC), 3.720%, 3/2/2023 | 280,000 | |
1,500,000 | Pennsylvania Economic Development Financing Authority (PPL Energy Supply LLC), (Series 2009B) Weekly VRDNs, (MUFG Bank Ltd. LOC), 4.700%, 3/1/2023 | 1,500,000 | |
1,500,000 | Pennsylvania Economic Development Financing Authority (PPL Energy Supply LLC), (Series 2009C) Weekly VRDNs, (MUFG Bank Ltd. LOC), 4.700%, 3/1/2023 | 1,500,000 | |
2,500,000 | Pennsylvania Economic Development Financing Authority (Republic Services, Inc.), (Series 2014) TOBs, 3.800%, Mandatory Tender 4/3/2023 | 2,498,297 | |
1,000,000 | Pennsylvania Economic Development Financing Authority (Republic Services, Inc.), (Series A) TOBs, 3.450%, Mandatory Tender 4/17/2023 | 998,589 | |
TOTAL | 6,776,886 | ||
Texas— 24.0% | |||
500,000 | Austin, TX Affordable Public Finance Authority (LDG Belmont LP), Tender Option Bond Trust Floater Certificates (Series 2021-XF1102) Weekly VRDNs, (Deutsche Bank AG LIQ)/(Deutsche Bank AG LOC), 3.720%, 3/2/2023 | 500,000 | |
5,500,000 | Dallas, TX Housing Finance Corp. (LDG Ridge at Lancaster LP), Tender Option Bond Trust Floater Certificates (Series 2021-XF1109) Weekly VRDNs, (Deutsche Bank AG LIQ)/(Deutsche Bank AG LOC), 3.720%, 3/2/2023 | 5,500,000 | |
5,600,000 | North Central Texas HFDC (Gala at Waxahachie, LP), Tender Option Bond Trust Certificates (Series 2021-XF1099) Weekly VRDNs, (Deutsche Bank AG LIQ)/(Deutsche Bank AG LOC), 3.720%, 3/2/2023 | 5,600,000 | |
500,000 | Port of Port Arthur Navigation District of Jefferson County, TX (Motiva Enterprises LLC), (Series 2002) Weekly VRDNs, 4.330%, 3/1/2023 | 500,000 | |
6,800,000 | Port of Port Arthur Navigation District of Jefferson County, TX (Motiva Enterprises LLC), (Series 2010A) Daily VRDNs, 3.150%, 3/1/2023 | 6,800,000 | |
5,900,000 | Port of Port Arthur Navigation District of Jefferson County, TX (Motiva Enterprises LLC), (Series 2010B) Daily VRDNs, 3.150%, 3/1/2023 | 5,900,000 | |
900,000 | Port of Port Arthur Navigation District of Jefferson County, TX (Motiva Enterprises LLC), (Series 2010C) Daily VRDNs, 3.160%, 3/1/2023 | 900,000 | |
2,480,000 | Port of Port Arthur Navigation District of Jefferson County, TX (Motiva Enterprises LLC), (Series 2010D) Weekly VRDNs, 4.250%, 3/1/2023 | 2,480,000 | |
6,150,000 | Port of Port Arthur Navigation District of Jefferson County, TX (Motiva Enterprises LLC), (Series 2010E) Weekly VRDNs, 4.270%, 3/1/2023 | 6,150,000 |
Principal Amount | Value | ||
1 | SHORT-TERM MUNICIPALS— continued | ||
Texas— continued | |||
$1,500,000 | Travis County, TX Housing Finance Corp. (Roers Austin Apartments Owner II LP), MIZUHO 3A-7 (Series 2023-MIZ9127) VRENs, (GTD by Mizuho Bank Ltd.)/(Mizuho Bank Ltd. LIQ), 3.720%, 3/2/2023 | $ 1,500,000 | |
TOTAL | 35,830,000 | ||
Wisconsin— 5.3% | |||
7,400,000 | Appleton, WI Redevelopment Authority (Fox Cities Performing Arts Center), (Series 2001B) Weekly VRDNs, (Associated Bank, N.A. LOC), 3.750%, 3/1/2023 | 7,400,000 | |
450,000 | Public Finance Authority, WI (Atlantic Housing Foundation, Inc.), Mizuho 3a-7 (2022-MIZ9092) VRENs, (GTD by Mizuho Bank Ltd.)/(Mizuho Bank Ltd. LIQ), 3.670%, 3/2/2023 | 450,000 | |
TOTAL | 7,850,000 | ||
TOTAL INVESTMENT IN SECURITIES—100.8% (IDENTIFIED COST $150,656,809)2 | 150,619,618 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.8)%3 | (1,262,674) | ||
TOTAL NET ASSETS—100% | $149,356,944 |
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 | 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 acronym(s) are used throughout this portfolio: | ||
AMT | —Alternative Minimum Tax | |
BANs | —Bond Anticipation Notes | |
CP | —Commercial Paper | |
CSD | —Central School District | |
GO | —General Obligation | |
GTD | —Guaranteed | |
HFA | —Housing Finance Authority | |
HFDC | —Health Facility Development Corporation | |
IDA | —Industrial Development Authority | |
IDB | —Industrial Development Bond | |
LIQ | —Liquidity Agreement | |
LOC | —Letter of Credit | |
PCFA | —Pollution Control Financing Authority | |
PUTTERs | —Puttable Tax-Exempt Receipts | |
RANs | —Revenue Anticipation Notes | |
TOBs | —Tender Option Bonds | |
VRDNs | —Variable Rate Demand Notes | |
VRDPs | —Variable Rate Demand Preferreds | |
VRENs | —Variable Rate Extendible Notes |
Six Months Ended (unaudited) | Year Ended | Period Ended | |
2/28/2023 | 8/31/2022 | 8/31/20211 | |
Net Asset Value, Beginning of Period | $10.00 | $10.00 | $10.00 |
Income From Investment Operations: | |||
Net investment income (loss) | 0.142 | 0.092 | 0.02 |
Net realized and unrealized gain (loss) | (0.01) | (0.03) | (0.00)3 |
TOTAL FROM INVESTMENT OPERATIONS | 0.13 | 0.06 | 0.02 |
Less Distributions: | |||
Distributions from net investment income | (0.13) | (0.06) | (0.02) |
Net Asset Value, End of Period | $10.00 | $10.00 | $10.00 |
Total Return4 | 1.36% | 0.60% | 0.16% |
Ratios to Average Net Assets: | |||
Net expenses5 | 0.12%6 | 0.05% | 0.05%6 |
Net investment income | 2.74%6 | 0.91% | 0.28%6 |
Expense waiver/reimbursement7 | 0.30%6 | 0.56% | 2.06%6 |
Supplemental Data: | |||
Net assets, end of period (000 omitted) | $149,357 | $130,017 | $10,247 |
Portfolio turnover8 | 30% | 32% | 0% |
1 | Reflects operations for the period from February 3, 2021 (commencement of operations) to August 31, 2021. |
2 | Per share numbers have been calculated using the average shares method. |
3 | Represents less than $0.01. |
4 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
5 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
6 | Computed on an annualized basis. |
7 | 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. |
8 | Securities that mature are considered sales for purposes of this calculation. |
February 28, 2023 (unaudited)
Assets: | |
Investment in securities, at value (identified cost $150,656,809) | $150,619,618 |
Cash | 2,166,326 |
Income receivable | 693,027 |
Receivable for shares sold | 4,308 |
Total Assets | 153,483,279 |
Liabilities: | |
Payable for investments purchased | 4,009,832 |
Payable for shares redeemed | 83,887 |
Income distribution payable | 10,969 |
Payable to adviser (Note 5) | 3,929 |
Payable for administrative fee (Note 5) | 319 |
Payable for Directors’/Trustees’ fees (Note 5) | 111 |
Accrued expenses (Note 5) | 17,288 |
Total Liabilities | 4,126,335 |
Net assets for 14,937,259 shares outstanding | $149,356,944 |
Net Assets Consist of: | |
Paid-in capital | $149,372,588 |
Total distributable earnings (loss) | (15,644) |
Total Net Assets | $149,356,944 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$149,356,944 ÷ 14,937,259 shares outstanding, no par value, unlimited shares authorized | $10.00 |
Six Months Ended February 28, 2023 (unaudited)
Investment Income: | |
Interest | $3,285,385 |
Expenses: | |
Investment adviser fee (Note 5) | 286,289 |
Administrative fee (Note 5) | 90,145 |
Custodian fees | 4,743 |
Transfer agent fees | 7,826 |
Directors’/Trustees’ fees (Note 5) | 679 |
Auditing fees | 15,053 |
Legal fees | 5,045 |
Portfolio accounting fees | 36,287 |
Share registration costs | 25,626 |
Printing and postage | 9,225 |
Miscellaneous (Note 5) | 10,836 |
TOTAL EXPENSES | 491,754 |
Waiver and Reimbursement: | |
Waiver of investment adviser fee (Note 5) | (286,054) |
Reimbursement of other operating expenses (Note 5) | (62,789) |
TOTAL WAIVER AND REIMBURSEMENT | (348,843) |
Net expenses | 142,911 |
Net investment income | 3,142,474 |
Net change in unrealized depreciation of investments | (6,379) |
Change in net assets resulting from operations | $3,136,095 |
Six Months Ended (unaudited) 2/28/2023 | Year Ended 8/31/2022 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $3,142,474 | $524,848 |
Net realized gain (loss) | — | (1,992) |
Net change in unrealized appreciation/depreciation | (6,379) | (31,427) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 3,136,095 | 491,429 |
Distributions to Shareholders | (3,126,616) | (516,555) |
Share Transactions: | ||
Proceeds from sale of shares | 260,782,760 | 137,704,240 |
Net asset value of shares issued to shareholders in payment of distributions declared | 3,072,208 | 491,308 |
Cost of shares redeemed | (244,524,835) | (18,400,299) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 19,330,133 | 119,795,249 |
Change in net assets | 19,339,612 | 119,770,123 |
Net Assets: | ||
Beginning of period | 130,017,332 | 10,247,209 |
End of period | $149,356,944 | $130,017,332 |
Six Months Ended 2/28/2023 | Year Ended 8/31/2022 | |
Shares sold | 26,078,276 | 13,770,424 |
Shares issued to shareholders in payment of distributions declared | 307,221 | 49,131 |
Shares redeemed | (24,452,483) | (1,840,031) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 1,933,014 | 11,979,524 |
Short-Term | Long-Term | Total |
$2,657 | $— | $2,657 |
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 | $2,161,094 |
Sales | $1,743,616 |
Beginning Account Value 9/1/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,013.60 | $0.602 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,024.20 | $0.602 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 0.12%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). |
2 | Actual and Hypothetical expenses paid during the period utilizing the Fund’s current Fee Limit of 0.25% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period) would be $1.25 and 1.25, respectively. |
Annual Evaluation of Adequacy and Effectiveness
IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Share Class | Ticker | Institutional | FHHIX | R6 | FHHRX |
Federated Hermes SDG Engagement High Yield Credit Fund
A Portfolio of Federated Hermes Adviser Series
Sector Composition | Percentage of Total Net Assets |
Banking | 10.8% |
Capital Goods | 10.4% |
Basic Industries | 8.8% |
Telecommunications | 7.8% |
Utilities | 6.2% |
Health Care | 4.4% |
Media | 3.4% |
Energy | 3.4% |
Consumer Goods | 2.1% |
Consumer Non-Cyclical | 2.1% |
Insurance | 1.6% |
Technology & Electronics | 1.6% |
Automotive | 1.5% |
Real Estate | 1.4% |
Financial Services | 0.9% |
Consumer Cyclicals | 0.6% |
Services | 0.5% |
Retail | 0.5% |
U.S. Treasuries | 24.9% |
Foreign Government/Agencies | 1.1% |
Derivatives2 | 1.9% |
Other Assets and Liabilities—Net3 | 4.1% |
TOTAL | 100% |
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
CORPORATE BONDS—68.0% | |||
Automotive—1.5% | |||
EUR 100,000 | Goodyear Europe B.V., Sr. Unsecd. Note, REGS, 2.750%, 8/15/2028 | $86,092 | |
525,000 | Volvo Car AB, Sr. Unsecd. Note, Series EMTN, 2.000%, 1/24/2025 | 526,877 | |
TOTAL | 612,969 | ||
Banking—10.8% | |||
200,000 | 1 | ABN Amro Bank NV, Jr. Sub. Deb., 4.750% (5YR EUR Swap Annual +3.898%), 3/22/2171 | 182,453 |
$200,000 | Akbank TAS, Sr. Unsecd. Note, REGS, 5.125%, 3/31/2025 | 188,152 | |
250,000 | 1 | Ally Financial, Inc., Jr. Sub. Note, Series C, 4.700% (7-year Constant Maturity Treasury +3.481%), 8/15/2171 | 184,572 |
EUR 100,000 | Alpha Bank AE, Sub., 5.500% (5YR EUR Swap Annual +5.823%), 6/11/2031 | 93,796 | |
$200,000 | 1 | Argentum Netherlands B.V., Sub., 4.625% (5-year Constant Maturity Treasury +2.764%), 8/15/2171 | 185,398 |
200,000 | 1 | Banco Mercantil De Norte, Jr. Sub. Deb., REGS, 7.500% (Prime +5.470%), 9/27/2171 | 187,700 |
EUR 300,000 | Bank of Ireland Group PLC, Sub. Note, Series EMTN, 1.375% (6-month Tbill Auction High Disc Rate +1.650%), 8/11/2031 | 272,704 | |
GBP 100,000 | Bank of Ireland Group PLC, Sub., Series EMTN, 7.594%, 12/6/2032 | 120,857 | |
$400,000 | 1 | BNP Paribas, Jr. Sub. Note, REGS, 4.625% (5-year Constant Maturity Treasury +3.340%), 8/25/2171 | 314,022 |
EUR 200,000 | Cellnex Finance Co. SA, Series EMTN, 2.000%, 2/15/2033 | 157,724 | |
$175,000 | CIT Group, Inc., Sub., 6.125%, 3/9/2028 | 179,535 | |
EUR 400,000 | 1 | Commerzbank AG, Jr. Sub. Note, 4.250% (5YR EUR Swap Annual +4.387%), 4/9/2171 | 334,507 |
200,000 | 1 | Cooperatieve Rabobank UA, Jr. Sub. Note, 3.250% (5YR EUR Swap Annual +3.702%), 12/29/2171 | 179,280 |
$400,000 | 1 | Credit Suisse Group AG, Jr. Sub. Note, REGS, 4.500% (5-year Constant Maturity Treasury +3.554%), 3/3/2171 | 233,460 |
EUR 100,000 | Deutsche Bank AG, Sr. Unsecd. Note, Series EMTN, 5.625% (5YR EUR Swap Annual +6.000%), 5/19/2031 | 103,458 | |
$200,000 | 1 | DNB Bank ASA, Jr. Sub. Note, Series -, 4.875% (5-year Constant Maturity Treasury +3.140%), 11/12/2170 | 188,615 |
300,000 | 1 | ING Groep N.V., Jr. Sub. Note, Series NC10, 4.250% (6-month Tbill Auction High Disc Rate +2.862%), 11/16/2170 | 215,130 |
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Banking—continued | |||
EUR 480,000 | 1 | Intesa Sanpaolo SpA, Jr. Sub. Note, 4.125% (5YR EUR Swap Annual +4.274%), 8/27/2171 | $379,502 |
$200,000 | Itau Unibanco Holding SA, Sub. Deb., REGS, 4.500% (Prime +2.822%), 11/21/2029 | 188,630 | |
400,000 | 1 | NatWest Markets PLC, Jr. Sub. Note, 4.600% (5-year Constant Maturity Treasury +3.100%), 9/30/2171 | 294,340 |
200,000 | 1 | UBS Group AG, Jr. Sub. Note, REGS, 4.375%, 8/10/2171 | 157,597 |
EUR 200,000 | 1 | UniCredit SpA, Jr. Sub. Note, Series EMTN, 3.875%, 6/3/2171 | 164,472 |
TOTAL | 4,505,904 | ||
Basic Industries—8.8% | |||
$325,000 | Alcoa Nederland Holding B.V., Sr. Unsecd. Note, 144A, 4.125%, 3/31/2029 | 288,974 | |
400,000 | Ashland LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/1/2031 | 319,024 | |
400,000 | Cemex SAB de CV, REGS, 3.875%, 7/11/2031 | 322,400 | |
45,000 | CF Industries Holdings, Inc., Sr. Unsecd. Note, 4.950%, 6/1/2043 | 37,837 | |
45,000 | CF Industries Holdings, Inc., Sr. Unsecd. Note, 5.150%, 3/15/2034 | 41,932 | |
40,000 | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 7.000%, 3/15/2027 | 39,600 | |
EUR 100,000 | Graphic Packaging International Corp., Sr. Unsecd. Note, REGS, 2.625%, 2/1/2029 | 91,635 | |
100,000 | Graphic Packaging International, LLC, Unsecd. Note, 144A, 2.625%, 2/1/2029 | 91,635 | |
$200,000 | GUSAP III L.P., Sr. Unsecd. Note, REGS, 4.250%, 1/21/2030 | 183,876 | |
320,000 | Huntsman International LLC, Sr. Unsecd. Note, 2.950%, 6/15/2031 | 254,827 | |
116,000 | Novelis Corporation, Sr. Unsecd. Note, 144A, 3.875%, 8/15/2031 | 94,114 | |
110,000 | Novelis Corporation, Sr. Unsecd. Note, 144A, 4.750%, 1/30/2030 | 96,755 | |
EUR 100,000 | Novelis Sheet Ingot Gmbh, Sr. Unsecd. Note, REGS, 3.375%, 4/15/2029 | 88,731 | |
300,000 | Olympus Water US Holding Corp., Sr. Unsecd. Note, REGS, 5.375%, 10/1/2029 | 248,079 | |
$200,000 | Orbia Advance Corp. SAB de CV, Sr. Unsecd. Note, REGS, 2.875%, 5/11/2031 | 157,700 | |
EUR 100,000 | Sappi Papier Holding GmbH, Sr. Unsecd. Note, REGS, 3.625%, 3/15/2028 | 91,702 | |
300,000 | 1 | Solvay S.A., Jr. Sub. Note, 2.500% (5YR EUR Swap Annual +2.977%), 3/2/2171 | 284,636 |
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Basic Industries—continued | |||
$200,000 | SPCM SA, Sr. Unsecd. Note, 144A, 3.375%, 3/15/2030 | $167,240 | |
200,000 | Summit Digitel Infrastructure, 144A, 2.875%, 8/12/2031 | 154,157 | |
450,000 | Suzano Austria GmbH, Sr. Unsecd. Note, Series DM3N, 3.125%, 1/15/2032 | 354,945 | |
286,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., Sr. Unsecd. Note, 144A, 5.125%, 8/1/2030 | 252,661 | |
TOTAL | 3,662,460 | ||
Capital Goods—10.4% | |||
200,000 | ARD Finance SA, Sec. Fac. Bond, 144A, 6.500%, 6/30/2027 | 163,768 | |
EUR 100,000 | Ardagh Metal Packaging, Sr. Unsecd. Note, REGS, 3.000%, 9/1/2029 | 79,297 | |
GBP 600,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, REGS, 4.750%, 7/15/2027 | 564,949 | |
$725,000 | Ball Corp., Sr. Unsecd. Note, 2.875%, 8/15/2030 | 579,456 | |
EUR 100,000 | Berry Global, Inc., Sec. Fac. Bond, REGS, 1.500%, 1/15/2027 | 93,801 | |
300,000 | Berry Global, Inc., Term Loan—1st Lien, REGS, 1.000%, 1/15/2025 | 297,541 | |
500,000 | Crown European Holdings SA, Sr. Unsecd. Note, REGS, 2.875%, 2/1/2026 | 502,406 | |
$250,000 | Klabin Austria Gmbh, Sr. Unsecd. Note, 144A, 3.200%, 1/12/2031 | 197,500 | |
400,000 | Klabin Austria Gmbh, Sr. Unsecd. Note, REGS, 3.200%, 1/12/2031 | 316,000 | |
EUR 100,000 | Rexel S.A., Sr. Unsecd. Note, 2.125%, 12/15/2028 | 90,974 | |
$475,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/1/2027 | 428,374 | |
EUR 102,000 | Sig Combibloc Purchaser, Sr. Unsecd. Note, 144A, 2.125%, 6/18/2025 | 101,703 | |
350,000 | Sig Combibloc Purchaser, Sr. Unsecd. Note, REGS, 2.125%, 6/18/2025 | 348,982 | |
400,000 | Smurfit Kappa Treasury Unlimited Company, Sr. Unsecd. Note, 1.000%, 9/22/2033 | 305,618 | |
100,000 | Trivium Packaging Finance BV, Sec. Fac. Bond, REGS, 3.750%, 8/15/2026 | 96,647 | |
200,000 | Verallia, Sr. Unsecd. Note, 1.875%, 11/10/2031 | 166,689 | |
TOTAL | 4,333,705 | ||
Consumer Cyclicals—0.6% | |||
250,000 | LKQ European Holdings B.V., Sr. Unsecd. Note, REGS, 4.125%, 4/1/2028 | 256,491 |
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Consumer Goods—2.1% | |||
$200,000 | Arcelik AS, Sr. Unsecd. Note, 3.000%, 5/27/2026 | $190,622 | |
GBP 200,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.125%, 7/1/2027 | 230,299 | |
$100,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 81,727 | |
83,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 4.500%, 9/15/2031 | 69,978 | |
368,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 4.625%, 4/15/2030 | 319,437 | |
TOTAL | 892,063 | ||
Consumer Non-Cyclical—2.1% | |||
460,000 | Hanesbrands, Inc., Sr. Unsecd. Note, 144A, 4.875%, 5/15/2026 | 425,256 | |
542,000 | Levi Strauss & Co., Sr. Unsecd. Note, 144A, 3.500%, 3/1/2031 | 443,660 | |
TOTAL | 868,916 | ||
Energy—3.4% | |||
300,000 | Aker BP ASA, Sr. Unsecd. Note, REGS, 3.750%, 1/15/2030 | 265,061 | |
GBP 100,000 | 1 | BP Capital Markets PLC, Sub., 4.250%, 6/22/2071 | 108,728 |
$100,000 | DCP Midstream Operating LP, Sr. Unsecd. Note, 5.375%, 7/15/2025 | 98,876 | |
275,000 | EnLink Midstream Partners LP, Sr. Unsecd. Note, 5.450%, 6/1/2047 | 217,148 | |
32,000 | EnLink Midstream Partners LP, Sr. Unsecd. Note, 5.600%, 4/1/2044 | 26,146 | |
300,000 | EQT Corp., Sr. Unsecd. Note, 3.900%, 10/1/2027 | 274,638 | |
39,000 | EQT Corp., Sr. Unsecd. Note, 7.500%, 2/1/2030 | 40,307 | |
387,000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | 377,978 | |
TOTAL | 1,408,882 | ||
Financial Services—0.9% | |||
230,000 | 1 | Barclays Bank PLC, Jr. Sub. Deb., 6.278% (3-month USLIBOR +1.550%), 12/15/2071 | 227,123 |
200,000 | China Ping An Insurance Overseas (Holdings) Ltd., Sr. Secd. Note, Series EMTN, 2.850%, 8/12/2031 | 157,931 | |
TOTAL | 385,054 | ||
Health Care—4.4% | |||
519,000 | Centene Corp., 2.500%, 3/1/2031 | 405,087 | |
50,000 | Centene Corp., Sr. Unsecd. Note, 2.625%, 8/1/2031 | 39,017 | |
EUR 200,000 | 1 | Eurofins Scientific SE, Jr. Sub. Note, 3.250% (3-month EURIBOR +5.167%), 11/13/2168 | 195,884 |
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Health Care—continued | |||
EUR 480,000 | Grifols Escrow Issuer SA, Sr. Unsecd. Note, REGS, 3.875%, 10/15/2028 | $429,550 | |
$50,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 32,607 | |
EUR 700,000 | Iqvia, Inc., Sr. Unsecd. Note, REGS, 2.250%, 3/15/2029 | 613,006 | |
$149,000 | Mozart Debt Merger Sub, Inc., Sec. Fac. Bond, 144A, 3.875%, 4/1/2029 | 124,322 | |
TOTAL | 1,839,473 | ||
Insurance—1.6% | |||
GBP 325,000 | 1 | Phoenix Group Holdings PLC, Jr. Sub. Deb., 5.750% (12-month BPLIBOR +4.169%), 10/26/2170 | 329,369 |
EUR 200,000 | 1 | UnipolSai Assicurazioni SpA, Jr. Sub. Note, 6.375% (5YR EUR Swap Annual +6.744%), 4/27/2171 | 188,236 |
$200,000 | Zurich Finance Ireland, Sub. Note, Series EMTN, 3.000% (6-month Tbill Auction High Disc Rate +2.777%), 4/19/2051 | 156,799 | |
TOTAL | 674,404 | ||
Media—3.4% | |||
EUR 300,000 | Altice France Holding SA, Sr. Unsecd. Note, REGS, 4.000%, 2/15/2028 | 215,961 | |
100,000 | Lagardere S.C.A., Sr. Unsecd. Note, 1.750%, 10/7/2027 | 100,481 | |
550,000 | Netflix, Inc., Sr. Unsecd. Note, REGS, 3.625%, 6/15/2030 | 538,775 | |
$230,000 | UPC Broadband Finco BV, Sr. Note, 144A, 4.875%, 7/15/2031 | 192,832 | |
EUR 100,000 | VZ Vendor Financing B.V., Sr. Unsecd. Note, REGS, 2.875%, 1/15/2029 | 81,274 | |
391,000 | Ziggo Bond Co. BV, Sr. Unsecd. Note, REGS, 3.375%, 2/28/2030 | 313,272 | |
TOTAL | 1,442,594 | ||
Real Estate—1.4% | |||
100,000 | CANPACK SA and Eastern PA Land Investment Holding LLC, REGS, 2.375%, 11/1/2027 | 83,940 | |
$200,000 | Country Garden Holdings Co., 5.125%, 1/17/2025 | 144,694 | |
GBP 200,000 | MPT Operating Partnership LP/MPT Finance Corp., Sr. Unsecd. Note, 3.692%, 6/5/2028 | 169,602 | |
$32,000 | MPT Operating Partnership LP/MPT Finance Corp., Sr. Unsecd. Note, 3.500%, 3/15/2031 | 21,967 | |
EUR 300,000 | 1 | Samhallsbyggnadsbolaget i Norden AB, Jr. Sub. Note, 2.625% (5YR EUR Swap Annual +3.227%), 3/14/2171 | 133,651 |
100,000 | 1 | Samhallsbyggnadsbolaget i Norden AB, Jr. Sub. Note, Series*, 2.624% (5YR EUR Swap Annual +2.814%), 4/30/2171 | 44,918 |
TOTAL | 598,772 |
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Retail—0.5% | |||
GBP 100,000 | Marks & Spencer PLC, Sr. Unsecd. Note, 3.250%, 7/10/2027 | $107,857 | |
$100,000 | Marks & Spencer PLC, Sr. Unsecd. Note, REGS, 7.125%, 12/1/2037 | 90,973 | |
TOTAL | 198,830 | ||
Services—0.5% | |||
EUR 233,000 | Catalent Pharma Solutions, Inc., Sr. Unsecd. Note, REGS, 2.375%, 3/1/2028 | 216,567 | |
Technology & Electronics—1.6% | |||
$100,000 | Dell, Inc., Sr. Unsecd. Note, 5.400%, 9/10/2040 | 86,574 | |
50,000 | NXP BV / NXP Funding LLC / NXP USA Inc., Sr. Unsecd. Note, 2.500%, 5/11/2031 | 39,521 | |
69,000 | NXP BV / NXP Funding LLC / NXP USA Inc., Sr. Unsecd. Note, 3.400%, 5/1/2030 | 59,753 | |
82,000 | Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 4.125%, 1/15/2031 | 68,109 | |
126,922 | Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 9.625%, 12/1/2032 | 138,902 | |
310,000 | Seagate HDD Cayman, Sr. Unsecd. Note, 4.091%, 6/1/2029 | 267,747 | |
TOTAL | 660,606 | ||
Telecommunications—7.8% | |||
EUR 200,000 | 1 | At&t Inc.—OLD, Jr. Sub. Note, Series B, 2.875%, 5/1/2171 | 195,674 |
100,000 | Cellnex Telecom S.A., Conv. Bond, Series CLNX, 0.750%, 11/20/2031 | 85,319 | |
100,000 | Cellnex Telecom S.A., Sr. Unsecd. Note, 1.875%, 6/26/2029 | 86,684 | |
200,000 | Iliad SA, Sr. Secd. Note, 1.875%, 2/11/2028 | 173,499 | |
300,000 | Infrastrutture Wireless Italiane SPA, Sr. Unsecd. Note, Series EMTN, 1.750%, 4/19/2031 | 250,733 | |
200,000 | Infrastrutture Wireless Italiane SPA, Sr. Unsecd. Note, Series GMTN, 1.625%, 10/21/2028 | 179,597 | |
200,000 | LorcaTelecom Bondco, Term Loan—1st Lien, REGS, 4.000%, 9/18/2027 | 190,385 | |
$425,000 | Lumen Technologies, Inc., Sr. Unsecd. Note, Series P, 7.600%, 9/15/2039 | 211,053 | |
200,000 | Millicom International Cellular S. A., Sr. Unsecd. Note, REGS, 4.500%, 4/27/2031 | 161,700 | |
300,000 | 1 | Network i2i Ltd., Sub. Deb., REGS, 5.650% (Prime +4.274%), 4/15/2171 | 286,125 |
100,000 | Sprint Corp., Sr. Unsecd. Note, 7.875%, 9/15/2023 | 101,024 | |
72,000 | T-Mobile USA, Inc., 2.250%, 11/15/2031 | 56,486 |
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Telecommunications—continued | |||
$300,000 | T-Mobile USA, Inc., 3.300%, 2/15/2051 | $201,357 | |
325,000 | Telecom Italia Capital SA, Sr. Unsecd. Note, 6.000%, 9/30/2034 | 271,861 | |
EUR 600,000 | 1 | Telefonica Europe BV, Jr. Sub. Note, 2.376% (8-month EURIBOR +2.616%), 5/12/2171 | 489,829 |
$200,000 | Turk Telekomunikasyon AS, Sr. Unsecd. Note, REGS, 4.875%, 6/19/2024 | 188,770 | |
GBP 149,000 | Vmed O2 UK Financing I PLC, Sec. Fac. Bond, REGS, 4.500%, 7/15/2031 | 140,243 | |
TOTAL | 3,270,339 | ||
Utilities—6.2% | |||
$57,000 | AES Corp., Sr. Unsecd. Note, 2.450%, 1/15/2031 | 45,322 | |
200,000 | AES Gener S.A., Jr. Sub. Note, REGS, 6.350%, 10/7/2079 | 187,174 | |
150,000 | Clearway Energy Operating LLC, Sr. Unsecd. Note, 144A, 3.750%, 1/15/2032 | 119,017 | |
443,000 | Clearway Energy Operating LLC, Sr. Unsecd. Note, 144A, 3.750%, 2/15/2031 | 360,923 | |
EUR 300,000 | 1 | Enel SpA, Jr. Sub. Note, Series 9.5Y, 1.875% (5YR EUR Swap Annual +0.000%), 9/8/2171 | 227,273 |
400,000 | Energias de Portugal SA, Jr. Sub. Note, Series NC8, 1.875% (5YR EUR Swap Annual +2.080%), 3/14/2082 | 314,136 | |
$191,000 | Greenko Power II Ltd., Sr. Unsecd. Note, REGS, 4.300%, 12/13/2028 | 162,559 | |
EUR 151,000 | Orsted A/S, Sub., 1.750% (5YR EUR Swap Annual +1.952%), 12/9/3019 | 135,832 | |
GBP 149,000 | Orsted A/S, Sub., Series GBP, 2.500%, 2/18/3021 | 122,698 | |
$550,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 476,115 | |
EUR 500,000 | 1 | Veolia Environnement SA, Jr. Sub. Note, Series 0, 2.500% (5YR EUR Swap Annual +2.840%), 1/20/2029 | 433,133 |
TOTAL | 2,584,182 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $33,423,577) | 28,412,211 | ||
U.S. TREASURIES—24.9% | |||
$6,185,500 | United States Treasury Note, 0.250%, 3/15/2024 | 5,881,072 | |
5,020,200 | United States Treasury Note, 0.250%, 8/31/2025 | 4,507,222 | |
TOTAL U.S. TREASURIES (IDENTIFIED COST $10,461,683) | 10,388,294 |
Foreign Currency Par Amount or Principal Amount | Value in U.S. Dollars | ||
FOREIGN GOVERNMENT/AGENCY—1.1% | |||
Sovereign—1.1% | |||
GBP 400,000 | United Kingdom, Government of, Unsecd. Note, 0.125%, 1/31/2024 (IDENTIFIED COST $445,077) | $464,235 | |
TOTAL INVESTMENT IN SECURITIES—94.0% (IDENTIFIED COST $45,022,258)2 | 39,264,740 | ||
OTHER ASSETS AND LIABILITIES - NET—6.0%3 | 2,493,253 | ||
TOTAL NET ASSETS—100% | $41,757,993 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized (Depreciation) |
Long Futures: | ||||
United States Treasury Notes 2-Year Long Futures | 8 | 1,629,812 | June 2023 | $(3,772) |
Short Futures: | ||||
United States Treasury Notes 10-Year Short Futures | 4 | 446,625 | June 2023 | $(386) |
United States Treasury Ultra Bond Short Futures | 4 | 540,250 | June 2023 | $(3,106) |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(7,264) |
Counter- party | Reference Entity | Buy/ Sell | Pay/ Receive Fixed Rate | Expiration Date | Implied Credit Spread at 2/28/ 20234 | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) |
OTC Swaps: | |||||||||
Goldman Sachs | Schaeffler AG | Sell | 5.00% | 06/20/2027 | 1.54% | 310,000 | 41,904 | 37,710 | 4,194 |
Morgan Stanley | Occidental | Sell | 1.00% | 06/20/2027 | 1.18% | 84,000 | (1,008) | (814) | (194) |
Morgan Stanley | KB Home | Sell | 5.00% | 12/20/2027 | 2.83% | 520,000 | 44,078 | 14,321 | 29,757 |
Morgan Stanley | Tenet Healthcare Corp. | Sell | 5.00% | 12/20/2027 | 3.55% | 358,000 | 20,432 | 12,907 | 7,525 |
Counter- party | Reference Entity | Buy/ Sell | Pay/ Receive Fixed Rate | Expiration Date | Implied Credit Spread at 2/28/ 20234 | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) |
Morgan Stanley | Markit iTraxx Europe Crossover Index Series 38 | Sell | 5.00% | 12/20/2027 | 4.14% | 214,000 | 7,543 | 3,836 | 3,707 |
Morgan Stanley | Lumen Technologies, Inc. | Sell | 1.00% | 12/20/2027 | 16.82% | 25,000 | (9,706) | (4,518) | (5,188) |
Morgan Stanley | Toll Brothers, Inc. | Sell | 1.00% | 12/20/2027 | 1.75% | 335,000 | (10,065) | (26,905) | 16,840 |
Morgan Stanley | Markit CDX North America High Yield Index Series 38 | Sell | 5.00% | 12/20/2027 | 4.63% | 6,520,000 | 91,912 | 2,264 | 89,648 |
Morgan Stanley | Hess Corp. | Sell | 1.00% | 06/20/2028 | 1.45% | 100,000 | (1,954) | (845) | (1,109) |
Morgan Stanley | Marks & Spencer PLC | Sell | 1.00% | 06/20/2028 | 2.95% | 100,000 | (8,958) | (9,474) | 516 |
Morgan Stanley | Arcelor Mittal SA | Sell | 5.00% | 06/20/2028 | 2.15% | 200,000 | 26,895 | 29,286 | (2,391) |
Morgan Stanley | Valeo | Sell | 1.00% | 06/20/2028 | 2.83% | 370,000 | (29,814) | (27,595) | (2,219) |
Goldman Sachs | Volvo | Sell | 5.00% | 06/20/2028 | 2.55% | 50,000 | 5,437 | 6,319 | (882) |
Morgan Stanley | Stellantis N.V. | Sell | 5.00% | 06/20/2028 | 1.59% | 425,000 | 70,315 | 71,177 | (862) |
Morgan Stanley | Rexel SA | Sell | 5.00% | 06/20/2028 | 1.70% | 200,000 | 31,929 | 26,610 | 5,319 |
Morgan Stanley | Virgin Media Finance PLC | Sell | 5.00% | 06/20/2028 | 4.26% | 381,000 | 12,110 | 9,513 | 2,597 |
Morgan Stanley | Anglo American PLC | Sell | 5.00% | 06/20/2028 | 1.76% | 175,000 | 27,175 | 29,661 | (2,486) |
Morgan Stanley | Telecom Italia SpA | Sell | 1.00% | 06/20/2028 | 3.61% | 200,000 | (23,244) | (28,829) | 5,585 |
JPMorgan | Cellnex Telecom SA | Sell | 5.00% | 06/20/2028 | 1.98% | 100,000 | 14,269 | 14,599 | (330) |
Morgan Stanley | Ford Motor Co. | Sell | 5.00% | 06/20/2028 | 3.14% | 485,000 | 37,572 | 35,092 | 2,480 |
Morgan Stanley | Dell, Inc. | Sell | 1.00% | 06/20/2028 | 1.48% | 500,000 | (10,660) | (8,571) | (2,089) |
Morgan Stanley | AES Corp. | Sell | 5.00% | 06/20/2028 | 1.37% | 100,000 | 16,344 | 16,791 | (447) |
Counter- party | Reference Entity | Buy/ Sell | Pay/ Receive Fixed Rate | Expiration Date | Implied Credit Spread at 2/28/ 20234 | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) |
Morgan Stanley | Nokia Oyj | Sell | 5.00% | 06/20/2028 | 1.30% | 475,000 | 85,909 | 89,558 | (3,649) |
Morgan Stanley | Ally Financial, Inc. | Sell | 5.00% | 06/20/2028 | 2.47% | 78,000 | 8,428 | 6,700 | 1,728 |
Morgan Stanley | General Motors Co. | Sell | 5.00% | 06/20/2028 | 1.82% | 507,000 | 71,248 | 62,406 | 8,842 |
Morgan Stanley | Goodyear Tire & Rubber Co. | Sell | 5.00% | 06/20/2028 | 4.28% | 225,000 | 5,542 | 7,521 | (1,979) |
Morgan Stanley | HCA, Inc. | Sell | 5.00% | 06/20/2028 | 1.14% | 360,000 | 62,827 | 65,247 | (2,420) |
Morgan Stanley | Cleveland- Cliffs, Inc. | Sell | 5.00% | 06/20/2028 | 3.14% | 145,000 | 11,294 | 12,826 | (1,532) |
Morgan Stanley | Iron Mountain, Inc. | Sell | 5.00% | 06/20/2028 | 2.25% | 215,000 | 25,805 | 28,004 | (2,199) |
Morgan Stanley | NRG Energy, Inc. | Sell | 5.00% | 06/20/2028 | 3.56% | 260,000 | 15,364 | 10,258 | 5,106 |
JPMorgan | Faurecia | Sell | 5.00% | 06/20/2028 | 3.48% | 100,000 | 6,899 | 6,479 | 420 |
Goldman Sachs | Faurecia | Sell | 5.00% | 06/20/2028 | 3.48% | 130,000 | 8,969 | 9,991 | (1,022) |
Goldman Sachs | Faurecia | Sell | 5.00% | 06/20/2028 | 3.48% | 100,000 | 6,899 | 7,685 | (786) |
TOTAL CREDIT DEFAULT SWAPS | $661,690 | $509,210 | $152,480 |
Settlement Date | Counterparty | Foreign Currency Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) |
Contracts Purchased: | ||||
3/15/2023 | Barclays Bank PLC | 175,000 EUR | $185,821 | $(546) |
3/15/2023 | JP Morgan | 550,000 EUR | $585,491 | $(3,200) |
3/15/2023 | RBC Europe | 250,000 EUR | $266,723 | $(2,045) |
3/15/2023 | State Street Bank | 150,000 EUR | $160,410 | $(1,603) |
Contracts Sold: | ||||
3/15/2023 | Lloyds Securities, Inc. | 150,000 EUR | $163,440 | $4,634 |
3/15/2023 | RBC Europe | 4,098,036 EUR | $4,373,014 | $34,375 |
3/15/2023 | State Street Bank | 8,752,718 EUR | $8,752,718 | $69,202 |
3/15/2023 | State Street Bank | 175,000 EUR | $185,254 | $(21) |
3/15/2023 | State Street Bank | 125,000 EUR | $134,821 | $2,482 |
Settlement Date | Counterparty | Foreign Currency Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) |
3/15/2023 | State Street Bank | 100,000 EUR | $108,637 | $2,766 |
3/15/2023 | State Street Bank | 235,000 EUR | $255,144 | $6,346 |
3/15/2023 | State Street Bank | 2,100,000 GBP | $2,562,548 | $35,822 |
NET UNREALIZED APPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $148,212 |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $28,412,211 | $— | $28,412,211 |
Foreign Governments/Agencies | — | 464,235 | — | 464,235 |
U.S. Treasuries | — | 10,388,294 | — | 10,388,294 |
TOTAL SECURITIES | $— | $39,264,740 | $— | $39,264,740 |
Other Financial Instruments: | ||||
Assets | ||||
Foreign Exchange Contracts | $— | $155,627 | $— | $155,627 |
Swap Contracts | — | 757,099 | — | 757,099 |
Liabilities | ||||
Futures | $(7,264) | $— | $— | $(7,264) |
Foreign Exchange Contracts | — | (7,415) | — | (7,415) |
Swap Contracts | — | (95,409) | — | (95,409) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(7,264) | $809,902 | $— | $802,638 |
EMTN | —Euro Medium Term Note |
EUR | —Euro |
GBP | —Great British Pound |
GMTN | —Global Medium Term Note |
LIBOR | —London Interbank Offered Rates |
OTC | —Over-the-Counter |
Six Months Ended (unaudited) 2/28/2023 | Year Ended August 31, | Period Ended 8/31/20201 | ||
2022 | 2021 | |||
Net Asset Value, Beginning of Period | $8.89 | $10.81 | $10.34 | $10.00 |
Income From Investment Operations: | ||||
Net investment income | 0.16 | 0.22 | 0.26 | 0.37 |
Net realized and unrealized gain (loss) | 0.30 | (1.63) | 0.58 | 0.23 |
TOTAL FROM INVESTMENT OPERATIONS | 0.46 | (1.41) | 0.84 | 0.60 |
Less Distributions: | ||||
Distributions from net investment income | (0.14) | (0.29) | (0.37) | (0.26) |
Distributions from net realized gain | (0.24) | (0.22) | — | — |
TOTAL DISTRIBUTIONS | (0.38) | (0.51) | (0.37) | (0.26) |
Net Asset Value, End of Period | $8.97 | $8.89 | $10.81 | $10.34 |
Total Return2 | 5.18% | (13.61)% | 8.27% | 6.19% |
Ratios to Average Net Assets: | ||||
Net expenses3 | 0.62%4,5 | 0.62% | 0.62%4 | 0.62%4,5 |
Net investment income | 3.49%5 | 2.23% | 2.54% | 4.08%5 |
Expense waiver/reimbursement6 | 0.92%5 | 0.86% | 0.95% | 1.10%5 |
Supplemental Data: | ||||
Net assets, end of period (000 omitted) | $41,719 | $45,031 | $47,738 | $32,603 |
Portfolio turnover7 | 23% | 75% | 27% | 36% |
Six Months Ended (unaudited) 2/28/20231 | Year Ended 8/31/20221 | Period Ended 8/31/20211,2 | |
Net Asset Value, Beginning of Period | $8.89 | $10.81 | $10.73 |
Income From Investment Operations: | |||
Net investment income | 0.14 | 0.20 | 0.11 |
Net realized and unrealized gain (loss) | 0.31 | (1.61) | 0.02 |
TOTAL FROM INVESTMENT OPERATIONS | 0.45 | (1.41) | 0.13 |
Less Distributions: | |||
Distributions from net investment income | (0.14) | (0.29) | (0.05) |
Distributions from net realized gain | (0.24) | (0.22) | — |
TOTAL DISTRIBUTIONS | (0.38) | (0.51) | (0.05) |
Net Asset Value, End of Period | $8.96 | $8.89 | $10.81 |
Total Return3 | 5.12% | (13.62)% | 1.24% |
Ratios to Average Net Assets: | |||
Net expenses4 | 0.57%5,6 | 0.57% | 0.53%6 |
Net investment income | 3.58%6 | 2.42% | 2.39%6 |
Expense waiver/reimbursement7 | 0.94%6 | 0.00%8 | 0.22%6 |
Supplemental Data: | |||
Net assets, end of period (000 omitted) | $39 | $09 | $09 |
Portfolio turnover10 | 23% | 75% | 27%11 |
February 28, 2023 (unaudited)
Assets: | ||
Investment in securities, at value (identified cost $45,022,258) | $39,264,740 | |
Cash denominated in foreign currencies (identified cost $810,697) | 804,394 | |
Deposit at broker for futures | 744,820 | |
Cash collateral on swap contracts | 708,708 | |
Swaps, at value (net premium paid of $616,761) | 757,099 | |
Receivable for investments sold | 696,044 | |
Income receivable | 414,221 | |
Unrealized appreciation on foreign exchange contracts | 155,627 | |
Receivable for periodic payments from swap contracts | 129,887 | |
Receivable for shares sold | 42,198 | |
TOTAL ASSETS | 43,717,738 | |
Liabilities: | ||
Payable for investments purchased | $1,142,090 | |
Payable to bank | 532,798 | |
Swaps, at value (net premium received of $107,551) | 95,409 | |
Payable for shares redeemed | 11,326 | |
Unrealized depreciation on foreign exchange contracts | 7,415 | |
Payable for portfolio accounting fees | 129,729 | |
Payable for adviser (Note 5) | 3,403 | |
Accrued expenses (Note 5) | 37,575 | |
TOTAL LIABILITIES | 1,959,745 | |
Net assets for 4,654,993 shares outstanding | $41,757,993 | |
Net Assets Consists of: | ||
Paid-in capital | $47,947,521 | |
Total distributable earnings (loss) | (6,189,528) | |
TOTAL NET ASSETS | $41,757,993 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
Institutional Shares: | ||
Net asset value per share ($41,718,687 ÷ 4,650,606 shares outstanding), no par value, unlimited shares authorized | $8.97 | |
Class R6 Shares: | ||
Net asset value per share ($39,306 ÷ 4,387 shares outstanding), no par value, unlimited shares authorized | $8.96 |
Six Months Ended February 28, 2023 (unaudited)
Investment Income: | |||
Interest (net of foreign tax withheld of $1,265) | $865,334 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $126,320 | ||
Administrative fee (Note 5) | 17,755 | ||
Custodian fees | 6,792 | ||
Transfer agent fees (Note 2) | 14,749 | ||
Auditing fees | 21,009 | ||
Legal fees | 4,805 | ||
Portfolio accounting fees | 92,343 | ||
Share registration costs | 18,402 | ||
Printing and postage | 10,379 | ||
Miscellaneous (Note 5) | 12,994 | ||
TOTAL EXPENSES | 325,548 | ||
Waivers, Reimbursements and Reduction: | |||
Waiver of investment adviser fee (Note 5) | $(126,320) | ||
Reimbursements of other operating expenses (Notes 2 and 5) | (67,718) | ||
Reduction of custodian fees (Note 6) | (288) | ||
TOTAL WAIVERS, REIMBURSEMENTS AND REDUCTION | (194,326) | ||
Net expenses | 131,222 | ||
Net investment income | 734,112 | ||
Realized and Unrealized Gain (Loss) on Investments, Foreign Exchange Contracts, Futures Contracts, Swap Contracts and Foreign Currency Transactions: | |||
Net realized loss on investments and foreign currency transactions | (1,274,302) | ||
Net realized gain on foreign exchange contracts | 209,921 | ||
Net realized gain on futures contracts | 189,867 | ||
Net realized gain on swap contracts | 689,837 | ||
Net change in unrealized depreciation of investments and translation of assets and liabilities in foreign currency | 1,501,343 | ||
Net change in unrealized appreciation of foreign exchange contracts | (476,703) | ||
Net change in unrealized appreciation of futures contracts | (44,758) | ||
Net change in unrealized depreciation of swap contracts | 328,241 | ||
Net realized and unrealized gain (loss) on investments, foreign exchange contracts, futures contracts, swap contracts and foreign currency transactions | 1,123,446 | ||
Change in net assets resulting from operations | $1,857,558 |
Six Months Ended (unaudited) 2/28/2023 | Year Ended 8/31/2022 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $734,112 | $1,060,511 |
Net realized gain (loss) | (184,677) | 1,361,904 |
Net change in unrealized appreciation/depreciation | 1,308,123 | (9,458,200) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 1,857,558 | (7,035,785) |
Distributions to Shareholders: | ||
Institutional Shares | (1,698,357) | (2,402,966) |
Class R6 Shares | (1,483) | (5) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (1,699,840) | (2,402,971) |
Share Transactions: | ||
Proceeds from sale of shares | 6,554,069 | 19,709,846 |
Net asset value of shares issued to shareholders in payment of distributions declared | 1,234,320 | 2,258,742 |
Cost of shares redeemed | (11,219,268) | (15,236,715) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (3,430,879) | 6,731,873 |
Change in net assets | (3,273,161) | (2,706,883) |
Net Assets: | ||
Beginning of period | 45,031,154 | 47,738,037 |
End of period | $41,757,993 | $45,031,154 |
Transfer Agent Fees Incurred | Transfer Agent Fees Reimbursed | |
Institutional Shares | $14,749 | $(582) |
Fair Value of Derivative Instruments | ||||
Asset | Liability | |||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||||
Foreign exchange contracts | Unrealized appreciation on foreign exchange contracts | $155,627 | Unrealized depreciation on foreign exchange contracts | $7,415 |
Credit contracts | Swaps, at value | 757,099 | Swaps, at value | 95,409 |
Interest rate | Receivable for variation margin on futures contracts | — | Payable for variation margin on futures contracts | 7,264* |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $912,726 | $110,088 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||
Foreign Exchange Contracts | Interest Rate Contracts | Credit Contracts | Total | |
Credit Default Swap Contracts | $— | $— | $689,837 | $689,837 |
Foreign Exchange Contracts | 209,921 | — | — | 209,921 |
Futures Contracts | — | 189,867 | — | 189,867 |
TOTAL | $209,921 | $189,867 | $689,837 | $1,089,625 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||
Foreign Exchange Contracts | Interest Rate Contracts | Credit Contracts | Total | |
Credit Default Swap Contracts | $— | $— | $328,241 | $328,241 |
Foreign Exchange Contracts | (476,703) | — | — | (476,703) |
Futures Contracts | — | (44,758) | — | (44,758) |
TOTAL | $(476,703) | $(44,758) | $328,241 | $(193,220) |
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||
Transaction | Gross Asset Derivatives Presented in Statement of Assets and Liabilities | Financial Instrument | Collateral Received | Net Amount |
Swap Contracts | $757,099 | $(95,409) | $— | $661,690 |
Foreign Exchange Contracts | 155,627 | (3,669) | — | 151,958 |
TOTAL | $912,726 | $(99,078) | $— | $813,648 |
Transaction | Gross Liability Derivatives Presented in Statement of Assets and Liabilities | Financial Instrument | Collateral Pledged | Net Amount |
Swap Contracts | $95,409 | $(95,409) | $— | $— |
Foreign Exchange Contracts | 7,415 | (3,669) | — | 3,746 |
TOTAL | $102,824 | $(99,078) | $— | $3,746 |
Six Months Ended 2/28/2023 | Year Ended 8/31/2022 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 743,841 | $6,513,984 | 2,048,095 | $19,709,846 |
Shares issued to shareholders in payment of distributions declared | 139,623 | 1,232,841 | 222,760 | 2,258,742 |
Shares redeemed | (1,296,298) | (11,215,058) | (1,621,786) | (15,236,715) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | (412,834) | $(3,468,233) | 649,069 | $6,731,873 |
Six Months Ended 2/28/2023 | Year Ended 8/31/2022 | |||
Class R6 Shares: | Shares | Amount | Shares | Amount |
Shares sold | 4,706 | $40,085 | — | $— |
Shares issued to shareholders in payment of distributions declared | 167 | 1,479 | — | — |
Shares redeemed | (495) | (4,210) | — | — |
NET CHANGE RESULTING FROM CLASS R6 SHARE TRANSACTIONS | 4,378 | $37,354 | — | $— |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (408,456) | $(3,430,879) | 649,069 | $6,731,873 |
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 | $9,049,653 |
Sales | $11,064,079 |
Beginning Account Value 9/1/2022 | Ending Account Value 2/28/2023 | Expenses Paid During Period1 | |
Actual: | |||
Institutional Shares | $1,000 | $1,051.80 | $3.15 |
Class R6 Shares | $1,000 | $1,051.20 | $2.90 |
Hypothetical (assuming a 5% return before expenses): | |||
Institutional Shares | $1,000 | $1,021.72 | $3.11 |
Class R6 Shares | $1,000 | $1,021.97 | $2.86 |
Institutional Shares | 0.62% |
Class R6 Shares | 0.57% |
Annual Evaluation of Adequacy and Effectiveness
IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31423A549
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Exhibits |
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant Federated Hermes Adviser Series
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date April 21, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /S/ J. Christopher Donahue
J. Christopher Donahue
Principal Executive Officer
Date April 21, 2023
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date April 21, 2023