Federated Hermes Total Return Bond Fund ETF
Portfolio of Investments
March 31, 2024 (unaudited)
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
U.S. TREASURIES—36.1% | |||
U.S. Treasury Bills—2.0% | |||
$1,338,000 | United States Treasury Bill, 5.104%, 9/26/2024 | $ 1,303,542 | |
U.S. Treasury Bonds—4.6% | |||
725,000 | United States Treasury Bond, 3.625%, 5/15/2053 | 637,187 | |
236,000 | United States Treasury Bond, 3.875%, 5/15/2043 | 217,901 | |
884,000 | United States Treasury Bond, 4.250%, 2/15/2054 | 869,701 | |
215,000 | United States Treasury Bond, 4.500%, 2/15/2044 | 216,248 | |
75,000 | United States Treasury Bond, 4.750%, 11/15/2043 | 77,823 | |
853,000 | United States Treasury Bond, 6.250%, 5/15/2030 | 943,905 | |
TOTAL | 2,962,765 | ||
U.S. Treasury Notes—29.5% | |||
70,000 | United States Treasury Note, 0.750%, 4/30/2026 | 64,671 | |
63,800 | United States Treasury Note, 0.750%, 5/31/2026 | 58,780 | |
76,300 | United States Treasury Note, 0.750%, 8/31/2026 | 69,752 | |
69,600 | United States Treasury Note, 0.875%, 9/30/2026 | 63,689 | |
75,000 | United States Treasury Note, 1.250%, 11/30/2026 | 68,956 | |
72,700 | United States Treasury Note, 1.250%, 12/31/2026 | 66,745 | |
66,400 | United States Treasury Note, 1.500%, 8/15/2026 | 61,873 | |
78,800 | United States Treasury Note, 1.625%, 2/15/2026 | 74,511 | |
602,000 | United States Treasury Note, 2.750%, 6/30/2025 | 586,440 | |
699,000 | United States Treasury Note, 2.750%, 4/30/2027 | 665,771 | |
602,000 | United States Treasury Note, 3.125%, 8/15/2025 | 588,297 | |
1,057,000 | United States Treasury Note, 3.125%, 11/15/2028 | 1,006,844 | |
543,000 | United States Treasury Note, 3.250%, 6/30/2029 | 517,957 | |
1,020,000 | United States Treasury Note, 3.750%, 12/31/2028 | 998,597 | |
110,000 | United States Treasury Note, 3.750%, 12/31/2030 | 106,980 | |
594,000 | United States Treasury Note, 3.875%, 4/30/2025 | 586,947 | |
671,000 | United States Treasury Note, 3.875%, 11/30/2027 | 660,311 | |
666,000 | United States Treasury Note, 4.000%, 2/29/2028 | 658,343 | |
1,648,000 | United States Treasury Note, 4.000%, 2/15/2034 | 1,621,218 | |
1,086,000 | United States Treasury Note, 4.125%, 2/15/2027 | 1,077,091 | |
750,000 | United States Treasury Note, 4.250%, 12/31/2025 | 743,875 | |
2,799,000 | United States Treasury Note, 4.250%, 2/28/2029 | 2,803,469 | |
1,185,000 | United States Treasury Note, 4.250%, 2/28/2031 | 1,187,476 | |
725,000 | United States Treasury Note, 4.375%, 12/15/2026 | 723,408 | |
552,000 | United States Treasury Note, 4.500%, 11/15/2033 | 564,462 | |
3,018,000 | United States Treasury Note, 4.625%, 2/28/2026 | 3,015,768 | |
574,000 | United States Treasury Note, 5.000%, 10/31/2025 | 575,663 | |
TOTAL | 19,217,894 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $23,616,187) | 23,484,201 | ||
CORPORATE BONDS—24.9% | |||
Basic Industry - Chemicals—0.0% | |||
23,000 | DuPont de Nemours, Inc., Sr. Unsecd. Note, 5.319%, 11/15/2038 | 22,986 | |
Basic Industry - Metals & Mining—1.1% | |||
331,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031 | 281,633 |
1
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Basic Industry - Metals & Mining—continued | |||
$ 291,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.400%, 11/14/2034 | $ 287,469 | |
33,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 22,587 | |
150,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 5.634%, 4/4/2034 | 150,401 | |
TOTAL | 742,090 | ||
Basic Industry - Paper—0.3% | |||
200,000 | Smurfit Kappa Treasury Unlimited Co., Sr. Unsecd. Note, 144A, 5.200%, 1/15/2030 | 199,605 | |
Capital Goods - Aerospace & Defense—0.8% | |||
53,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 45,774 | |
15,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 10,265 | |
144,000 | General Dynamics Corp., Sr. Unsecd. Note, 3.250%, 4/1/2025 | 141,196 | |
49,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | 47,902 | |
216,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 204,670 | |
12,000 | RTX Corp, Sr. Unsecd. Note, 5.150%, 2/27/2033 | 12,023 | |
48,000 | Textron, Inc., Sr. Unsecd. Note, 3.875%, 3/1/2025 | 47,280 | |
TOTAL | 509,110 | ||
Capital Goods - Building Materials—0.2% | |||
115,000 | Carrier Global Corp., Sr. Unsecd. Note, 5.900%, 3/15/2034 | 120,865 | |
Capital Goods - Construction Machinery—0.5% | |||
287,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 5.550%, 5/30/2033 | 282,230 | |
24,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 4.550%, 4/10/2028 | 23,515 | |
36,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 34,048 | |
TOTAL | 339,793 | ||
Capital Goods - Diversified Manufacturing—0.3% | |||
58,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 55,582 | |
24,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.850%, 12/15/2025 | 23,475 | |
13,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 11,465 | |
29,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 2.950%, 4/1/2031 | 24,241 | |
67,000 | Wabtec Corp., Sr. Unsecd. Note, 5.611%, 3/11/2034 | 67,867 | |
TOTAL | 182,630 | ||
Communications - Cable & Satellite—0.2% | |||
62,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., 5.250%, 4/1/2053 | 49,102 | |
23,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 22,730 | |
13,000 | Comcast Corp., Sr. Unsecd. Note, 3.900%, 3/1/2038 | 11,328 | |
22,000 | NBCUniversal, Inc., Sr. Unsecd. Note, 5.950%, 4/1/2041 | 23,157 | |
27,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 22,476 | |
TOTAL | 128,793 | ||
Communications - Media & Entertainment—0.6% | |||
30,000 | Alphabet, Inc., Sr. Unsecd. Note, 1.900%, 8/15/2040 | 20,152 | |
124,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 5.375%, 6/15/2033 | 123,716 | |
25,000 | Meta Platforms, Inc., Sr. Unsecd. Note, 3.850%, 8/15/2032 | 23,427 | |
22,000 | Meta Platforms, Inc., Unsecd. Note, 5.600%, 5/15/2053 | 23,253 | |
71,000 | Netflix, Inc., Sr. Unsecd. Note, 4.875%, 4/15/2028 | 70,900 | |
67,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.600%, 8/1/2031 | 56,752 | |
29,000 | Walt Disney Co., Sr. Unsecd. Note, 3.600%, 1/13/2051 | 22,465 | |
36,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 6.412%, 3/15/2026 | 36,001 | |
TOTAL | 376,666 | ||
Communications - Telecom Wireless—0.7% | |||
275,000 | America Movil S.A.B. de C.V., Sr. Unsecd. Note, 2.875%, 5/7/2030 | 243,171 | |
28,000 | American Tower Corp., Sr. Unsecd. Note, 2.700%, 4/15/2031 | 23,704 |
2
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Communications - Telecom Wireless—continued | |||
$ 10,000 | American Tower Corp., Sr. Unsecd. Note, 4.050%, 3/15/2032 | $ 9,152 | |
17,000 | Crown Castle, Inc., Sr. Unsecd. Note, 3.250%, 1/15/2051 | 11,628 | |
92,000 | Crown Castle, International Corp., Sr. Unsecd. Note, 4.450%, 2/15/2026 | 90,466 | |
31,000 | T-Mobile USA, Inc., Series WI, 3.000%, 2/15/2041 | 22,833 | |
36,000 | T-Mobile USA, Inc., Series WI, 3.875%, 4/15/2030 | 33,724 | |
24,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 23,634 | |
TOTAL | 458,312 | ||
Communications - Telecom Wirelines—0.4% | |||
51,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 47,682 | |
175,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 5.000%, 2/15/2029 | 173,785 | |
53,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 2.100%, 3/22/2028 | 47,714 | |
29,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041 | 22,666 | |
TOTAL | 291,847 | ||
Consumer Cyclical - Automotive—1.7% | |||
45,000 | American Honda Finance Corp., Sr. Unsecd. Note, 4.700%, 1/12/2028 | 44,810 | |
247,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | 219,836 | |
298,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 6.950%, 3/6/2026 | 303,679 | |
73,000 | General Motors Co., Sr. Unsecd. Note, 5.150%, 4/1/2038 | 68,519 | |
186,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 5.250%, 1/8/2027 | 185,833 | |
12,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 5.680%, 6/26/2028 | 12,165 | |
255,000 | Mercedes-Benz Finance NA LLC, Sr. Unsecd. Note, 144A, 5.250%, 11/29/2027 | 257,633 | |
24,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, 3.950%, 6/30/2025 | 23,660 | |
TOTAL | 1,116,135 | ||
Consumer Cyclical - Retailers—0.3% | |||
40,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 36,268 | |
24,000 | AutoZone, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2033 | 23,186 | |
36,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.700%, 4/15/2030 | 32,067 | |
27,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 24,829 | |
24,000 | Home Depot, Inc., Sr. Unsecd. Note, 4.000%, 9/15/2025 | 23,670 | |
44,000 | Tractor Supply Co., Sr. Unsecd. Note, 5.250%, 5/15/2033 | 44,327 | |
25,000 | WalMart, Inc., Sr. Unsecd. Note, 3.700%, 6/26/2028 | 24,351 | |
TOTAL | 208,698 | ||
Consumer Cyclical - Services—0.3% | |||
25,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 23,827 | |
107,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | 102,550 | |
92,000 | Visa, Inc., Sr. Unsecd. Note, 4.150%, 12/14/2035 | 87,275 | |
TOTAL | 213,652 | ||
Consumer Non-Cyclical - Food/Beverage—1.6% | |||
36,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.700%, 2/1/2036 | 34,806 | |
217,000 | Anheuser-Busch InBev Finance, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 203,778 | |
25,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.600%, 4/15/2048 | 22,846 | |
35,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029 | 34,990 | |
40,000 | Coca-Cola Co., Sr. Unsecd. Note, 2.125%, 9/6/2029 | 35,474 | |
260,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 230,876 | |
113,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028 | 111,067 | |
10,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.900%, 5/1/2033 | 9,810 | |
323,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | 321,291 | |
13,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 10,979 | |
26,000 | PepsiCo, Inc., Sr. Unsecd. Note, 2.625%, 7/29/2029 | 23,624 |
3
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Food/Beverage—continued | |||
$ 33,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 5.700%, 3/15/2034 | $ 33,435 | |
TOTAL | 1,072,976 | ||
Consumer Non-Cyclical - Health Care—1.0% | |||
288,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.750%, 9/23/2026 | 271,696 | |
85,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 1.957%, 2/11/2031 | 69,748 | |
10,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 9,055 | |
13,000 | CVS Health Corp., Sr. Unsecd. Note, 4.780%, 3/25/2038 | 12,005 | |
12,000 | CVS Health Corp., Sr. Unsecd. Note, 5.250%, 2/21/2033 | 12,003 | |
176,000 | GE Healthcare Holding LLC, Sr. Unsecd. Note, 5.857%, 3/15/2030 | 183,205 | |
24,000 | HCA, Inc., Sr. Unsecd. Note, 5.200%, 6/1/2028 | 24,068 | |
32,000 | HCA, Inc., Sr. Unsecd. Note, 6.000%, 4/1/2054 | 32,479 | |
25,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 0.850%, 9/15/2024 | 24,420 | |
25,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 1.215%, 10/18/2024 | 24,423 | |
TOTAL | 663,102 | ||
Consumer Non-Cyclical - Pharmaceuticals—1.3% | |||
36,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 35,181 | |
37,000 | AbbVie, Inc., Sr. Unsecd. Note, 2.950%, 11/21/2026 | 35,239 | |
107,000 | AbbVie, Inc., Sr. Unsecd. Note, 4.550%, 3/15/2035 | 103,420 | |
32,000 | AbbVie, Inc., Sr. Unsecd. Note, 5.400%, 3/15/2054 | 32,937 | |
46,000 | Amgen, Inc., Sr. Unsecd. Note, 5.250%, 3/2/2033 | 46,387 | |
25,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027 | 23,799 | |
300,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.375%, 12/15/2028 | 282,370 | |
56,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 47,270 | |
72,000 | Bristol-Myers Squibb Co., Sr. Sub. Secd. Note, 5.550%, 2/22/2054 | 74,044 | |
60,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 3.900%, 2/20/2028 | 58,268 | |
26,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.125%, 6/15/2039 | 23,040 | |
10,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.250%, 10/26/2049 | 8,540 | |
10,000 | Johnson & Johnson, Sr. Unsecd. Note, 3.500%, 1/15/2048 | 7,962 | |
12,000 | Pfizer Investment Enterprises Pte Ltd., Sr. Unsecd. Note, 4.450%, 5/19/2028 | 11,829 | |
12,000 | Pfizer Investment Enterprises Pte Ltd., Sr. Unsecd. Note, 4.750%, 5/19/2033 | 11,815 | |
50,000 | Zoetis, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2050 | 34,442 | |
TOTAL | 836,543 | ||
Consumer Non-Cyclical - Products—0.2% | |||
30,000 | Kenvue, Inc., Sr. Unsecd. Note, 4.900%, 3/22/2033 | 29,974 | |
71,000 | Kenvue, Inc., Sr. Unsecd. Note, 5.050%, 3/22/2028 | 71,763 | |
TOTAL | 101,737 | ||
Consumer Non-Cyclical - Tobacco—0.3% | |||
32,000 | BAT Capital Corp., Sr. Unsecd. Note, 6.000%, 2/20/2034 | 32,401 | |
26,000 | BAT International Finance PLC, Sr. Unsecd. Note, 1.668%, 3/25/2026 | 24,200 | |
28,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 2.100%, 5/1/2030 | 23,790 | |
98,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 3.875%, 8/21/2042 | 78,464 | |
38,000 | Reynolds American, Inc., Sr. Unsecd. Note, 5.850%, 8/15/2045 | 35,247 | |
TOTAL | 194,102 | ||
Energy - Independent—0.1% | |||
22,000 | Marathon Oil Corp., Sr. Unsecd. Note, 6.800%, 3/15/2032 | 23,703 | |
16,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.375%, 9/1/2028 | 16,615 | |
TOTAL | 40,318 | ||
Energy - Integrated—0.3% | |||
17,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.000%, 2/24/2050 | 11,598 |
4
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Energy - Integrated—continued | |||
$ 40,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 4.234%, 11/6/2028 | $ 39,145 | |
24,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 4.893%, 9/11/2033 | 23,833 | |
28,000 | ConocoPhillips Co., Sr. Unsecd. Note, 3.758%, 3/15/2042 | 23,262 | |
27,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | 22,711 | |
80,000 | Williams Cos., Inc., Sr. Unsecd. Note, 8.750%, 3/15/2032 | 96,240 | |
TOTAL | 216,789 | ||
Energy - Midstream—1.2% | |||
93,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | 91,568 | |
24,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 5.800%, 6/1/2045 | 23,718 | |
144,000 | Columbia Pipeline Holding Co. LLC, Sr. Unsecd. Note, 144A, 5.681%, 1/15/2034 | 143,049 | |
24,000 | Energy Transfer LP, Sr. Unsecd. Note, 5.500%, 6/1/2027 | 24,149 | |
116,000 | Energy Transfer LP, Sr. Unsecd. Note, 5.750%, 2/15/2033 | 117,838 | |
88,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 5.950%, 2/1/2041 | 93,130 | |
23,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 5.800%, 3/15/2035 | 23,337 | |
31,000 | MPLX LP, Sr. Unsecd. Note, 4.950%, 9/1/2032 | 30,113 | |
25,000 | ONEOK, Inc., Sr. Unsecd. Note, 2.200%, 9/15/2025 | 23,854 | |
22,000 | ONEOK, Inc., Sr. Unsecd. Note, 6.100%, 11/15/2032 | 23,049 | |
26,000 | Plains All American Pipeline LP, Sr. Unsecd. Note, 5.150%, 6/1/2042 | 23,469 | |
129,000 | Tennessee Gas Pipeline, Sr. Unsecd. Note, 7.000%, 3/15/2027 | 134,864 | |
TOTAL | 752,138 | ||
Energy - Oil Field Services—0.2% | |||
18,000 | Halliburton Co., Sr. Unsecd. Note, 5.000%, 11/15/2045 | 16,899 | |
36,000 | Schlumberger Holdings Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/21/2025 | 35,277 | |
62,000 | Williams Cos., Inc., Sr. Unsecd. Note, 4.900%, 3/15/2029 | 61,590 | |
TOTAL | 113,766 | ||
Energy - Refining—0.1% | |||
26,000 | Phillips 66, Sr. Unsecd. Note, 1.300%, 2/15/2026 | 24,189 | |
10,000 | Valero Energy Corp., Sr. Unsecd. Note, 7.500%, 4/15/2032 | 11,480 | |
TOTAL | 35,669 | ||
Financial Institution - Banking—4.8% | |||
10,000 | American Express Co., Sr. Unsecd. Note, 4.050%, 5/3/2029 | 9,699 | |
23,000 | American Express Co., Sr. Unsecd. Note, 5.850%, 11/5/2027 | 23,685 | |
42,000 | Bank of America Corp., Sr. Unsecd. Note, 2.687%, 4/22/2032 | 35,551 | |
136,000 | Bank of America Corp., Sr. Unsecd. Note, 5.468%, 1/23/2035 | 136,887 | |
38,000 | Bank of America Corp., Sr. Unsecd. Note, Series GMTN, 3.593%, 7/21/2028 | 36,118 | |
44,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 1.898%, 7/23/2031 | 36,112 | |
36,000 | Bank of America Corp., Sub., Series MTN, 4.450%, 3/3/2026 | 35,460 | |
24,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.992%, 6/13/2028 | 23,284 | |
10,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.800%, 1/31/2028 | 9,509 | |
24,000 | Capital One Financial Corp., Sr. Unsecd. Note, 5.817%, 2/1/2034 | 23,963 | |
27,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.976%, 11/5/2030 | 23,984 | |
24,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.352%, 4/24/2025 | 23,960 | |
180,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.412%, 3/31/2031 | 171,569 | |
121,000 | Citigroup, Inc., Sub. Note, 4.450%, 9/29/2027 | 117,708 | |
32,000 | Citigroup, Inc., Sub., 5.827%, 2/13/2035 | 31,680 | |
28,000 | Citizens Financial Group, Inc., Sr. Unsecd. Note, 2.500%, 2/6/2030 | 23,640 | |
232,000 | Comerica, Inc., Sr. Unsecd. Note, 5.982%, 1/30/2030 | 229,210 | |
32,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 5.631%, 1/29/2032 | 32,033 | |
26,000 | Fifth Third Bank, Sr. Unsecd. Note, Series BKNT, 2.250%, 2/1/2027 | 24,045 |
5
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$ 157,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.500%, 11/16/2026 | $ 150,628 | |
50,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.814%, 4/23/2029 | 47,399 | |
336,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.900%, 5/25/2026 | 327,153 | |
36,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 4.000%, 5/15/2025 | 35,357 | |
86,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 5.023%, 5/17/2033 | 81,942 | |
135,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.953%, 2/4/2032 | 109,990 | |
28,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.963%, 1/25/2033 | 23,907 | |
10,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 4.260%, 2/22/2048 | 8,632 | |
128,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 5.336%, 1/23/2035 | 128,500 | |
10,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 5.500%, 10/15/2040 | 10,246 | |
49,000 | M&T Bank Corp., Sr. Unsecd. Note, 7.413%, 10/30/2029 | 51,678 | |
52,000 | Morgan Stanley, Sr. Unsecd. Note, 1.593%, 5/4/2027 | 48,100 | |
32,000 | Morgan Stanley, Sr. Unsecd. Note, 5.466%, 1/18/2035 | 32,286 | |
104,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 4.000%, 7/23/2025 | 102,280 | |
96,000 | Northern Trust Corp., Sub. Note, 3.950%, 10/30/2025 | 94,044 | |
212,000 | PNC Financial Services Group, Inc., Sr. Unsecd. Note, 5.582%, 6/12/2029 | 214,582 | |
144,000 | State Street Corp., Sub., 2.200%, 3/3/2031 | 120,452 | |
24,000 | Truist Financial Corp., Sr. Unsecd. Note, 4.000%, 5/1/2025 | 23,614 | |
32,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.711%, 1/24/2035 | 32,138 | |
35,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.867%, 6/8/2034 | 35,429 | |
25,000 | US Bancorp, 4.967%, 7/22/2033 | 23,632 | |
148,000 | US Bancorp, Sr. Unsecd. Note, 5.384%, 1/23/2030 | 148,654 | |
10,000 | US Bancorp, Sub., Series MTN, 3.100%, 4/27/2026 | 9,591 | |
10,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.164%, 2/11/2026 | 9,701 | |
139,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.393%, 6/2/2028 | 127,227 | |
49,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 4.897%, 7/25/2033 | 47,219 | |
TOTAL | 3,092,478 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.1% | |||
10,000 | Charles Schwab Corp., Sr. Unsecd. Note, 3.250%, 5/22/2029 | 9,257 | |
24,000 | Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026 | 23,411 | |
12,000 | Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028 | 11,653 | |
24,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.250%, 7/18/2024 | 23,868 | |
12,000 | TIAA Asset Management Finance Co. LLC, Sr. Unsecd. Note, 144A, 4.125%, 11/1/2024 | 11,895 | |
TOTAL | 80,084 | ||
Financial Institution - Finance Companies—0.4% | |||
246,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.000%, 10/29/2028 | 222,586 | |
35,000 | Air Lease Corp., Sr. Unsecd. Note, 5.300%, 2/1/2028 | 35,019 | |
TOTAL | 257,605 | ||
Financial Institution - Insurance - Health—0.1% | |||
24,000 | The Cigna Group, Sr. Unsecd. Note, 5.685%, 3/15/2026 | 23,987 | |
24,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 4.500%, 4/15/2033 | 23,225 | |
TOTAL | 47,212 | ||
Financial Institution - Insurance - Life—0.8% | |||
30,000 | Lincoln National Corp., Sr. Note, 7.000%, 6/15/2040 | 33,134 | |
83,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 3.375%, 4/15/2050 | 57,933 | |
101,000 | 1 | MetLife, Inc., Jr. Sub. Note, 10.750% (3-Month USLIBOR +7.548%), 8/1/2039 | 136,956 |
48,000 | Northwestern Mutual Life Insurance Co., Sr. Unsecd. Note, 144A, 3.625%, 9/30/2059 | 33,770 | |
100,000 | Pacific Life Global Funding II, Sr. Secd. Note, 144A, 4.900%, 1/11/2029 | 99,797 | |
62,000 | Pacific LifeCorp., Bond, 144A, 6.600%, 9/15/2033 | 66,470 |
6
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Financial Institution - Insurance - Life—continued | |||
$ 57,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 2.125%, 6/15/2030 | $ 47,753 | |
49,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 4.600%, 5/15/2044 | 44,104 | |
TOTAL | 519,917 | ||
Financial Institution - Insurance - P&C—0.3% | |||
23,000 | American International Group, Sr. Unsecd. Note, 5.125%, 3/27/2033 | 22,872 | |
29,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 1.375%, 9/15/2030 | 23,599 | |
37,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 3.350%, 5/3/2026 | 35,741 | |
23,000 | CNA Financial Corp., Sr. Unsecd. Note, 5.500%, 6/15/2033 | 23,309 | |
115,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 6.625%, 4/15/2042 | 119,740 | |
TOTAL | 225,261 | ||
Financial Institution - REIT - Apartment—0.4% | |||
38,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 36,217 | |
203,000 | Camden Property Trust, Sr. Unsecd. Note, 4.900%, 1/15/2034 | 197,539 | |
29,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | 23,587 | |
TOTAL | 257,343 | ||
Financial Institution - REIT - Healthcare—0.2% | |||
30,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 23,847 | |
24,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 23,440 | |
111,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031 | 95,474 | |
TOTAL | 142,761 | ||
Financial Institution - REIT - Office—0.2% | |||
90,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 86,883 | |
17,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 5.250%, 5/15/2036 | 16,684 | |
TOTAL | 103,567 | ||
Financial Institution - REIT - Other—0.1% | |||
55,000 | ProLogis LP, Sr. Unsecd. Note, 5.250%, 6/15/2053 | 54,142 | |
Gaming—0.1% | |||
46,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 4.750%, 12/1/2027 | 44,313 | |
Technology—0.7% | |||
16,000 | Apple, Inc., Sr. Unsecd. Note, 2.375%, 2/8/2041 | 11,400 | |
25,000 | Apple, Inc., Sr. Unsecd. Note, 2.900%, 9/12/2027 | 23,670 | |
10,000 | Broadcom Corp., Sr. Unsecd. Note, Series WI, 3.875%, 1/15/2027 | 9,694 | |
37,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 35,748 | |
37,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 34,987 | |
32,000 | Cisco Systems, Inc., Sr. Unsecd. Note, 4.800%, 2/26/2027 | 32,051 | |
43,000 | Fiserv, Inc., Sr. Unsecd. Note, 5.600%, 3/2/2033 | 43,839 | |
24,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 23,266 | |
50,000 | Microchip Technology, Inc., Sr. Unsecd. Note, 5.050%, 3/15/2029 | 50,007 | |
32,000 | Microsoft Corp., Sr. Unsecd. Note, 2.921%, 3/17/2052 | 22,623 | |
26,000 | Oracle Corp., Sr. Unsecd. Note, 2.950%, 4/1/2030 | 23,136 | |
113,000 | Oracle Corp., Sr. Unsecd. Note, 4.000%, 11/15/2047 | 88,215 | |
36,000 | Oracle Corp., Sr. Unsecd. Note, 4.900%, 2/6/2033 | 35,246 | |
44,000 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 35,807 | |
TOTAL | 469,689 | ||
Technology Services—0.1% | |||
14,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.900%, 11/15/2031 | 11,749 | |
36,000 | Global Payments, Inc., Sr. Unsecd. Note, 4.950%, 8/15/2027 | 35,712 | |
28,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 23,450 | |
TOTAL | 70,911 |
7
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Transportation - Railroads—0.1% | |||
$ 40,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 4.450%, 3/15/2043 | $ 35,982 | |
11,000 | 1 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 5.200% (180-DAY AVERAGE SOFR +0.000%), 4/15/2054 | 10,903 |
24,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.900%, 2/1/2025 | 23,454 | |
27,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 23,651 | |
TOTAL | 93,990 | ||
Transportation - Services—0.3% | |||
66,000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 1.650%, 7/15/2026 | 60,514 | |
23,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 5.550%, 5/1/2028 | 23,247 | |
85,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 5.650%, 3/1/2028 | 86,626 | |
TOTAL | 170,387 | ||
Utility - Electric—2.4% | |||
54,000 | Ameren Corp., Sr. Unsecd. Note, 1.750%, 3/15/2028 | 47,675 | |
46,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 5.625%, 3/1/2033 | 46,702 | |
95,000 | Consolidated Edison Co., Sr. Unsecd. Note, 4.625%, 12/1/2054 | 83,053 | |
60,000 | Constellation Energy Generation LLC, Sr. Unsecd. Note, 5.800%, 3/1/2033 | 61,846 | |
52,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series C, 3.375%, 4/1/2030 | 47,257 | |
60,000 | Duke Energy Corp., Sr. Unsecd. Note, 4.500%, 8/15/2032 | 56,877 | |
96,000 | Duke Energy Corp., Sr. Unsecd. Note, 5.000%, 8/15/2052 | 86,896 | |
33,000 | Duke Energy Indiana, Inc., Sr. Deb., 6.120%, 10/15/2035 | 35,248 | |
275,000 | Electricite de France S.A., Sr. Unsecd. Note, 144A, 6.250%, 5/23/2033 | 288,044 | |
43,000 | Exelon Corp., Sr. Unsecd. Note, 4.100%, 3/15/2052 | 34,207 | |
40,000 | National Rural Utilities Cooperative Finance Corp., Sec. Fac. Bond, 4.150%, 12/15/2032 | 37,127 | |
121,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 117,835 | |
36,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 5.050%, 2/28/2033 | 35,667 | |
57,000 | Public Service Enterprises Group, Inc., Sr. Unsecd. Note, 2.450%, 11/15/2031 | 47,129 | |
355,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 316,613 | |
198,000 | Virginia Electric & Power Co., Sr. Unsecd. Note, 2.400%, 3/30/2032 | 164,167 | |
67,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 2.200%, 12/15/2028 | 59,217 | |
TOTAL | 1,565,560 | ||
Utility - Natural Gas—0.1% | |||
63,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.950%, 9/15/2027 | 60,096 | |
30,000 | Sempra Energy, Sr. Unsecd. Note, 6.000%, 10/15/2039 | 30,553 | |
TOTAL | 90,649 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $16,263,719) | 16,224,191 | ||
ASSET-BACKED SECURITIES—0.7% | |||
Auto Receivables—0.7% | |||
190,000 | BMW Vehicle Lease Trust 2024-1, Class A3, 5.200%, 3/25/2027 | 189,689 | |
100,000 | Enterprise Fleet Financing LLC 2024-1, Class A2, 5.230%, 3/20/2030 | 99,796 | |
200,000 | World OMNI Select Auto Trust 2024-A, Class A3, 4.860%, 3/15/2029 | 199,619 | |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $489,955) | 489,104 | ||
FOREIGN GOVERNMENTS/AGENCIES—0.3% | |||
Sovereign—0.3% | |||
BRL 1,000,000 | Letra Tesouro Nacional, Sr. Unsecd. Note, Series LTN, 0.000%, 7/1/2027 | 144,713 | |
MXN 1,000,000 | Mex Bonos Desarr Fix Rt, Sr. Unsecd. Note, Series M, 7.000%, 9/3/2026 | 56,455 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $201,259) | 201,168 |
8
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
PURCHASED CALL OPTIONS—0.0% | |||
350,000 | Morgan Stanley AUD Call/USD Put (CALL-Option), Notional Amount $32956000, Exercise Price $.665. Expiration Date 5/2/2024 | $ 925 | |
175,000 | Morgan Stanley NZD CALL/USD PUT (CALL-Option), Notional Amount $16478000, Exercise Price $0.61. Expiration Date 4/4/2024 | 7 | |
175,000 | Morgan Stanley USD CALL/MXN PUT (CALL-Option), Notional Amount $16478000, Exercise Price $16.95. Expiration Date 4/4/2024 | 69 | |
350,000 | UBS NZD CALL/USD PUT (CALL-Option), Notional Amount $10752000, Exercise Price $.615. Expiration Date 6/3/2024 | 1,237 | |
TOTAL PURCHASED CALL OPTIONS (IDENTIFIED COST $11,057) | 2,238 | ||
EXCHANGE-TRADED FUND—9.4% | |||
66,300 | iShares Lehman MBS Fixed-Rate Bond Fund (IDENTIFIED COST $6,112,471) | 6,127,446 | |
INVESTMENT COMPANIES—31.2% | |||
162,782 | Bank Loan Core Fund | 1,425,972 | |
244,875 | Emerging Markets Core Fund | 2,076,542 | |
1,195,847 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 5.37%2 | 1,195,967 | |
209,164 | High Yield Bond Core Fund | 1,162,953 | |
1,491,805 | Mortgage Core Fund | 12,322,308 | |
238,086 | Project and Trade Finance Core Fund | 2,104,676 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $20,311,017) | 20,288,418 | ||
TOTAL INVESTMENT IN SECURITIES—102.6% (IDENTIFIED COST $67,005,665) | 66,816,766 | ||
OTHER ASSETS AND LIABILITIES - NET—(2.6)%3 | (1,697,611) | ||
TOTAL NET ASSETS—100% | $65,119,155 |
At March 31, 2024, the Fund had the following outstanding futures contracts:
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
United States Treasury Long Bond Long Futures | 11 | $1,324,812 | June 2024 | $17,187 |
United States Treasury Notes 2-Year Long Futures | 5 | $1,022,422 | June 2024 | $(761) |
United States Treasury Notes 5-Year Long Futures | 10 | $1,070,156 | June 2024 | $1,930 |
United States Treasury Notes 10-Year Ultra Long Futures | 7 | $802,266 | June 2024 | $5,656 |
United States Treasury Ultra Bond Long Futures | 3 | $387,000 | June 2024 | $2,705 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $26,717 |
The average notional value of long contracts held by the Fund throughout the period was $1,366,781. This is based on the contracts held as of each month-end throughout the nine-month fiscal period.
9
At March 31, 2024, the Fund had the following outstanding written options contracts:
Counterparty | Description | Number of Contracts | Notional Amount | Expiration Date | Exercise Price | Value |
Call Options: | ||||||
Bank of America Merrill Lynch | USD CALL/ BRL PUT | (350,000) | $13,272,000 | April 2024 | $5.10 | $(181) |
Morgan Stanley | NZD CALL/USD PUT | (350,000) | $13,272,000 | April 2024 | $0.63 | $0 |
Morgan Stanley | USD CALL/MXN PUT | (350,000) | $13,272,000 | April 2024 | $17.25 | $(14) |
UBS | AUD CALL/USD PUT | (350,000) | $10,752,000 | April 2024 | $0.67 | $(15) |
UBS | USD CALL/ZAR PUT | (350,000) | $10,752,000 | May 2024 | $19.50 | $(1,906) |
Wells Fargo Bank | US Bond Future Option | (10) | $579,600 | April 2024 | $123.00 | $(4,375) |
Put Options: | ||||||
Morgan Stanley | AUD PUT/USD CALL | (350,000) | $32,956,000 | May 2024 | $0.64 | $(1,099) |
Toronto Dominion | USD PUT/MXN CALL | (350,000) | $21,133,000 | May 2024 | $16.70 | $(3,570) |
UBS | USD PUT/ZAR CALL | (350,000) | $10,752,000 | May 2024 | $18.20 | $(548) |
UBS | NZD PUT/USD CALL | (350,000) | $10,752,000 | June 2024 | $0.60 | $(4,085) |
UBS | USD PUT/BRL CALL | (350,000) | $10,752,000 | June 2024 | $4.80 | $(445) |
Wells Fargo Bank | US 5YR Future Option | (15) | $869,400 | April 2024 | $106.75 | $(5,391) |
Wells Fargo Bank | US Bond Future Option | (10) | $579,600 | April 2024 | $118.00 | $(4,844) |
(Premium Received $49,176) | $(26,473) |
Net Unrealized Appreciation/Depreciation on Futures Contracts and Value of Written Options Contracts is included in “Other Assets and Liabilities–Net.”
Transactions with affiliated investment companies, which are funds managed by the Adviser or an affiliate of the Adviser, during the period ended March 31, 2024, were as follows:
Affiliates | Value as of 6/30/2023 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 3/31/2024 | Shares Held as of 3/31/2024 | Dividend Income |
Bank Loan Core Fund | $— | $1,423,081 | $— | $2,891 | $— | $1,425,972 | 162,782 | $12,798 |
Emerging Markets Core Fund | $— | $2,030,022 | $— | $46,520 | $— | $2,076,542 | 244,875 | $19,384 |
Federated Hermes Institutional Prime Value Obliga- tions Fund, Institutional Shares, | $— | $4,171,275 | $(2,975,215) | $(45) | $(48) | $1,195,967 | 1,195,847 | $4,996 |
High Yield Bond Core Fund | $— | $1,160,922 | $— | $2,031 | $— | $1,162,953 | 209,164 | $11,358 |
Mortgage Core Fund | $— | $15,972,227 | $(3,490,000) | $(79,327) | $(80,592) | $12,322,308 | 1,491,805 | $80,301 |
Project and Trade Finance Core Fund | $— | $2,099,345 | $— | $5,331 | $— | $2,104,676 | 238,086 | $14,594 |
TOTAL OF AFFILIATED TRANSACTIONS | $— | $26,856,872 | $(6,465,215) | $(22,599) | $(80,640) | $20,288,418 | 3,542,559 | $143,431 |
1 | Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above. |
2 | 7-day net yield. |
3 | Assets, other than investments in securities, less liabilities. |
Note: The categories of investments are shown as a percentage of total net assets at March 31, 2024.
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.
◾ Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and ask quotations.
◾ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Adviser.
◾ Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market.
◾ 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
10
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 and Significant Events Procedures
Pursuant to Rule 2a-5 under the Investment Company Act of 1940, the Fund’s Board of Directors (the “Directors”) 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 Directors’ oversight and certain reporting and other requirements intended to provide the Directors 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 Directors periodically review the fair valuations made by the Valuation Committee. The Directors 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.
The Adviser has also adopted procedures requiring an investment to be priced at its fair value whenever the Valuation Committee determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment’s value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
◾ With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;
◾ Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;
◾ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer’s operations or regulatory changes or market developments affecting the issuer’s industry.
The Adviser has adopted procedures whereby the Valuation Committee uses a pricing service to provide factors to update the fair value of equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the pricing time of the Fund. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Valuation Committee will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Adviser. The Directors periodically review fair valuations made in response to significant events.
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.
11
The following is a summary of the inputs used, as of March 31, 2024, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
U.S. Treasuries | $— | $23,484,201 | $— | $23,484,201 |
Corporate Bonds | — | 16,224,191 | — | 16,224,191 |
Asset-Backed Securities | — | 489,104 | — | 489,104 |
Foreign Governments/Agencies | — | 201,168 | — | 201,168 |
Purchased Call Options | — | 2,238 | — | 2,238 |
Exchange-Traded Fund | 6,127,446 | — | — | 6,127,446 |
Investment Companies1 | 18,183,742 | — | — | 20,288,418 |
TOTAL SECURITIES | $24,311,188 | $40,400,902 | $— | $66,816,766 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $27,478 | $— | $— | $27,478 |
Liabilities | ||||
Futures Contracts | (761) | — | — | (761) |
Written Options Contracts | — | (26,473) | — | (26,473) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $26,717 | $(26,473) | $— | $244 |
1 | As permitted by U.S. generally accepted accounting principles, an Investment Company valued at $2,104,676 is measured at fair value using the NAV per share practical expedient and has not been categorized in the chart above but is included in the Total column. The price of shares redeemed of Project and Trade Finance Core Fund (PTCORE), a portfolio of Federated Hermes Core Trust III may be determined as of the closing NAV of the fund up to twenty-four days after receipt of a shareholder redemption request. The investment objective of PTCORE is to provide total return. Copies of the PTCORE financial statements are available on the EDGAR database on the SEC’s website or upon request from the Fund. |
The following acronym(s) are used throughout this portfolio: | ||
AUD | —Australian Dollar | |
BKNT | —Bank Notes | |
BRL | —Brazilian Real | |
BRL | —Brazilian Real | |
GMTN | —Global Medium Term Note | |
MTN | —Medium Term Note | |
MXN | —Mexican Peso | |
REIT | —Real Estate Investment Trust | |
SOFR | —Secured Overnight Financing Rate | |
USD | —United States Dollar |
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