United States Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-23730
(Investment Company Act File Number)
Federated Hermes ETF Trust
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant’s Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 2024-06-30
Date of Reporting Period: 2024-06-30
Item 1. | Reports to Stockholders |
Federated Hermes Total Return Bond ETF
![Image](https://capedge.com/proxy/N-CSR/0001623632-24-001351/i61099e7f882e4b1c04a18811.jpg)
FTRB NYSEArca
Annual Shareholder Report - June 30, 2024
A Portfolio of Federated Hermes ETF Trust
This annual shareholder report contains important information about the Federated Hermes Total Return Bond ETF (the "Fund") for the period of January 3, 2024 to June 30, 2024. You can find additional information at www.FederatedHermes.com/us/FundInformation. You can also request this information by contacting us at 1-800-341-7400, Option 4, or your financial advisor.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
Fund Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Federated Hermes Total Return Bond ETF | $18Footnote Reference* | 0.37% |
Footnote | Description |
Footnote* | Based on operations for the period from January 3, 2024 to June 30, 2024. Expenses for the full year would be higher. |
How did the fund perform last year and what affected its performance?
The following discussion compares the performance of the Fund to the Bloomberg US Universal Index to show how the Fund’s performance compares to the returns of similar investments for the reporting period. See the Average Annual Total Returns table below for the returns of the Fund and related indexes, including the Bloomberg US Aggregate Bond Index, which represents the overall U.S. fixed-income market. The Fund seeks to provide total return by investing primarily in U.S. dollar-denominated, investment-grade, fixed-income securities.
Top Contributors to Performance
■ Overweight allocations in bank loans, trade finance and asset-backed securities contributed to relative Fund performance.
■ The Fund was positively impacted by gains from foreign currency exposure.
■ Positioning for a steepening of the yield curve benefitted relative Fund performance.
Top Detractors from Performance
■ Underweight allocations to emerging markets debt and high-yield bond sectors detracted from relative Fund performance.
■ The Fund was negatively impacted by security selection within the emerging markets debt and high-yield bond allocations.
Annual Shareholder Report
Federated Hermes Total Return Bond ETF
Fund Performance
Keep in mind that the Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
Cumulative Performance: 1/3/2024 to 6/30/2024
Total Return Based on $10,000 Investment
![Growth of 10K Chart](https://capedge.com/proxy/N-CSR/0001623632-24-001351/ie74ab5c79a4d55d3f14454f9.jpg)
Average Annual Total Returns
Fund | Since Inception 1/3/24 |
---|---|
Federated Hermes Total Return Bond ETF at NAV | 0.71% |
Federated Hermes Total Return Bond ETF at Market | 0.71% |
Bloomberg US Aggregate Bond IndexFootnote Reference* | (0.41%) |
Bloomberg US Universal Bond Index | 0.43% |
Lipper Core Bond Funds Average | 0.17% |
Footnote | Description |
Footnote* | The Fund has designated the Bloomberg US Aggregate Bond Index as its new broad-based securities market index in accordance with the SEC’s revised definition for such an index. |
Visit www.FederatedHermes.com/us/FundInformation and click on the link to your fund and share class for more recent performance information.
Key Fund Statistics
Net Assets | $95,118,424 |
Number of Investments | 373 |
Portfolio Turnover | 63% |
Total Advisory Fees Paid | $93,249 |
Annual Shareholder Report
Federated Hermes Total Return Bond ETF
Fund Holdings
Top Security Types
(% of Net Assets)Footnote Reference1
![Group By Sector Chart](https://capedge.com/proxy/N-CSR/0001623632-24-001351/i6475bbc90a14f32dcbd02157.jpg)
Footnote | Description |
Footnote1 | Reflects the pro rata portfolio composition of underlying affiliated investment companies (other than an affiliated money market fund) in which the Fund invested greater than 10% of its net assets as of the date specified above. Accordingly, the percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. |
Additional Information about the Fund
Additional information is available on the Fund’s website at www.FederatedHermes.com/us/FundInformation, including its:
• prospectus • financial information • holdings • proxy voting information
CUSIP31423L404
Q456262-A(08/24)
Federated Securities Corp., Distributor
www.federatedhermes.com/us
© 2024 Federated Hermes, Inc.
Item 2. | Code of Ethics |
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.
(c) There was no amendment to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(d) There was no waiver granted, either actual or implicit, from a provision to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(e) Not Applicable
(f)(3) The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant at 1-800-341-7400, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.
Item 3. | Audit Committee Financial Expert |
The registrant’s Board has determined that each of the following members of the Board’s Audit Committee is an “audit committee financial expert,” and is “independent,” for purposes of this Item 3: Thomas M. O’Neill and John S. Walsh.
Item 4. | Principal Accountant Fees and Services |
(a) Audit Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2024 – $135,928
Fiscal year ended 2023 - $65,924
(b) Audit-Related Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2024 - $0
Fiscal year ended 2023 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(c) Tax Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2024 - $0
Fiscal year ended 2023 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(d) All Other Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2024 - $0
Fiscal year ended 2023 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $31,761 and $63,261 respectively. Fiscal year ended 2024- Service fees for analysis of potential Passive Foreign Investment Company holdings. Fiscal year ended 2023- Service fees for analysis of potential Passive Foreign Investment Company holdings.
(e)(1) Audit Committee Policies regarding Pre-approval of Services.
The Audit Committee is required to pre-approve audit and non-audit services performed by the independent auditor in order to assure that the provision of such services do not impair the auditor’s independence. Unless a type of service to be provided by the independent auditor has received general pre-approval, it will require specific pre-approval by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
Certain services have the general pre-approval of the Audit Committee. The term of the general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee specifically provides for a different period. The Audit Committee will annually review the services that may be provided by the independent auditor without obtaining specific pre-approval from the Audit Committee and may grant general pre-approval for such services. The Audit Committee will revise the list of general pre-approved services from time to time, based on subsequent determinations. The Audit Committee will not delegate to management its responsibilities to pre-approve services performed by the independent auditor.
The Audit Committee has delegated pre-approval authority to its chairman (the “Chairman”) for services that do not exceed a specified dollar threshold. The Chairman or Chief Audit Executive will report any such pre-approval decisions to the Audit Committee at its next scheduled meeting. The Committee will designate another member with such pre-approval authority when the Chairman is unavailable.
AUDIT SERVICES
The annual audit services engagement terms and fees will be subject to the specific pre-approval of the Audit Committee. The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope, registered investment company (RIC) structure or other matters.
In addition to the annual audit services engagement specifically approved by the Audit Committee, the Audit Committee may grant general pre-approval for other audit services, which are those services that only the independent auditor reasonably can provide. The Audit Committee has pre-approved certain audit services; with limited exception, all other audit services must be specifically pre-approved by the Audit Committee.
AUDIT-RELATED SERVICES
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the RIC’s financial statements or that are traditionally performed by the independent auditor. The Audit Committee believes that the provision of audit-related services does not impair the independence of the auditor, and has pre-approved certain audit-related services; all other audit-related services must be specifically pre-approved by the Audit Committee.
TAX SERVICES
The Audit Committee believes that the independent auditor can provide tax services to the RIC such as tax compliance, tax planning and tax advice without impairing the auditor’s independence. However, the Audit Committee will not permit the retention of the independent auditor in connection with a transaction initially recommended by the independent auditor, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has pre-approved certain tax services; with limited exception, all tax services involving large and complex transactions must be specifically pre-approved by the Audit Committee.
ALL OTHER SERVICES
With respect to the provision of permissible services other than audit, review or attest services the pre-approval requirement is waived if:
(1) | With respect to such services rendered to the Funds, the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues paid by the audit client to its accountant during the fiscal year in which the services are provided; and, |
(2) | With respect to such services rendered to the Fund’s investment adviser ( the “Adviser”)and any entity controlling, controlled by to under common control with the Adviser such as affiliated non-U.S. and U.S. funds not under the Audit Committee’s purview and which do not fall within a category of service which has been determined by the Audit Committee not to have a direct impact on the operations or financial reporting of the RIC, the aggregate amount of all services provided constitutes no more than five percent of the total amount of revenues paid to the RIC’s auditor by the RIC, its Adviser and any entity controlling, controlled by, or under common control with the Adviser during the fiscal year in which the services are provided; and |
(3) | Such services were not recognized by the issuer or RIC at the time of the engagement to be non-audit services; and |
(4) | Such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee who are members of the Board of Directors to whom authority to grant such approvals has been delegated by the Audit Committee. |
The Audit Committee may grant general pre-approval to those permissible non-audit services which qualify for pre-approval and which it believes are routine and recurring services, and would not impair the independence of the auditor.
The Securities and Exchange Commission’s (the “SEC”) rules and relevant guidance should be consulted to determine the precise definitions of these services and applicability of exceptions to certain of the prohibitions.
PRE-APPROVAL FEE LEVELS
Pre-approval fee levels for all services to be provided by the independent auditor will be established annually by the Audit Committee. Any proposed services exceeding these levels will require specific pre-approval by the Audit Committee.
PROCEDURES
Requests or applications to provide services that require specific approval by the Audit Committee will be submitted to the Audit Committee by the Fund’s Principal Accounting Officer and/or the Chief Audit Executive of Federated Hermes, Inc., only after those individuals have determined that the request or application is consistent with the SEC’s rules on auditor independence.
(e)(2) Percentage of services identified in items 4(b) through 4(d) that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:
4(b)
Fiscal year ended 2024 – 0%
Fiscal year ended 2023 - 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(c)
Fiscal year ended 2024 – 0%
Fiscal year ended 2023 – 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(d)
Fiscal year ended 2024 – 0%
Fiscal year ended 2023 – 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
(f) | NA |
(g) | Non-Audit Fees billed to the registrant, the registrant’s Adviser, and certain entities controlling, controlled by or under common control with the Adviser: |
Fiscal year ended 2024 - $193,713
Fiscal year ended 2023 - $299,787
(h) | The registrant’s Audit Committee has considered that the provision of non-audit services that were rendered to the registrant’s Adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Financial Statements filed under Item 7 of this form.
(b) Not Applicable
Item 7. | Financial Statements and Financial Highlights for Open-End Management Companies |
and Additional Information
![](https://capedge.com/proxy/N-CSR/0001623632-24-001351/imgdf12ce0a1.gif)
NYSE Arca | FTRB |
Federated Hermes Total Return Bond ETF
A Portfolio of Federated Hermes ETF Trust
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
U.S. TREASURIES—29.7% | |||
U.S. Treasury Bonds—2.7% | |||
$1,700,000 | United States Treasury Bond, 4.250%, 2/15/2054 | $ 1,619,265 | |
249,000 | United States Treasury Bond, 4.500%, 2/15/2044 | 244,268 | |
750,000 | United States Treasury Bond, 4.625%, 5/15/2054 | 760,320 | |
TOTAL | 2,623,853 | ||
U.S. Treasury Notes—27.0% | |||
70,000 | United States Treasury Note, 0.750%, 4/30/2026 | 65,089 | |
63,800 | United States Treasury Note, 0.750%, 5/31/2026 | 59,157 | |
76,300 | United States Treasury Note, 0.750%, 8/31/2026 | 70,165 | |
69,600 | United States Treasury Note, 0.875%, 9/30/2026 | 64,049 | |
75,000 | United States Treasury Note, 1.250%, 11/30/2026 | 69,260 | |
72,700 | United States Treasury Note, 1.250%, 12/31/2026 | 67,012 | |
66,400 | United States Treasury Note, 1.500%, 8/15/2026 | 62,128 | |
478,800 | United States Treasury Note, 1.625%, 2/15/2026 | 454,654 | |
602,000 | United States Treasury Note, 2.750%, 6/30/2025 | 588,196 | |
352,000 | United States Treasury Note, 3.125%, 8/15/2025 | 344,568 | |
443,000 | United States Treasury Note, 3.250%, 6/30/2029 | 420,794 | |
594,000 | United States Treasury Note, 3.875%, 4/30/2025 | 587,548 | |
666,000 | United States Treasury Note, 4.000%, 2/29/2028 | 655,698 | |
2,455,000 | United States Treasury Note, 4.000%, 2/15/2034 | 2,383,294 | |
1,252,000 | United States Treasury Note, 4.125%, 2/15/2027 | 1,237,480 | |
3,231,000 | United States Treasury Note, 4.250%, 2/28/2029 | 3,215,804 | |
1,900,000 | United States Treasury Note, 4.500%, 3/31/2026 | 1,889,811 | |
1,950,000 | United States Treasury Note, 4.500%, 4/15/2027 | 1,946,883 | |
3,478,000 | United States Treasury Note, 4.625%, 2/28/2026 | 3,465,147 | |
3,900,000 | United States Treasury Note, 4.625%, 4/30/2029 | 3,943,890 | |
400,000 | United States Treasury Note, 4.625%, 4/30/2031 | 406,280 | |
1,645,000 | United States Treasury Note, 4.625%, 5/31/2031 | 1,671,230 | |
1,500,000 | United States Treasury Note, 4.875%, 4/30/2026 | 1,502,175 | |
499,000 | United States Treasury Note, 5.000%, 10/31/2025 | 498,960 | |
TOTAL | 25,669,272 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $28,359,043) | 28,293,125 | ||
CORPORATE BONDS—25.1% | |||
Basic Industry - Chemicals—0.0% | |||
14,000 | DuPont de Nemours, Inc., Sr. Unsecd. Note, 5.319%, 11/15/2038 | 14,401 | |
34,000 | RPM International, Inc., Sr. Unsecd. Note, 5.250%, 6/1/2045 | 31,220 | |
TOTAL | 45,621 | ||
Basic Industry - Metals & Mining—0.8% | |||
331,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031 | 281,268 | |
291,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.400%, 11/14/2034 | 286,220 | |
73,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 47,327 | |
150,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 5.634%, 4/4/2034 | 147,697 | |
TOTAL | 762,512 | ||
Basic Industry - Paper—0.2% | |||
200,000 | Smurfit Kappa Treasury Unlimited Company, Sr. Unsecd. Note, 144A, 5.200%, 1/15/2030 | 198,972 | |
Capital Goods - Aerospace & Defense—0.9% | |||
113,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 96,742 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Capital Goods - Aerospace & Defense—continued | |||
$ 105,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | $ 66,899 | |
144,000 | General Dynamics Corp., Sr. Unsecd. Note, 3.250%, 4/1/2025 | 141,638 | |
40,000 | HEICO Corp., Sr. Unsecd. Note, 5.350%, 8/1/2033 | 39,641 | |
37,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, Series WI, 3.844%, 5/1/2025 | 36,409 | |
49,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | 48,129 | |
216,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 204,199 | |
62,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 4.750%, 2/15/2034 | 60,365 | |
27,000 | Northrop Grumman Corp., Sr. Deb., 7.750%, 2/15/2031 | 30,667 | |
52,000 | RTX Corp., Sr. Unsecd. Note, 5.150%, 2/27/2033 | 51,460 | |
48,000 | Textron, Inc., Sr. Unsecd. Note, 3.875%, 3/1/2025 | 47,379 | |
TOTAL | 823,528 | ||
Capital Goods - Building Materials—0.2% | |||
44,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 41,669 | |
115,000 | Carrier Global Corp., Sr. Unsecd. Note, 144A, 5.900%, 3/15/2034 | 120,022 | |
TOTAL | 161,691 | ||
Capital Goods - Construction Machinery—0.4% | |||
287,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 5.550%, 5/30/2033 | 279,643 | |
24,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 4.550%, 4/10/2028 | 23,468 | |
111,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 104,607 | |
TOTAL | 407,718 | ||
Capital Goods - Diversified Manufacturing—0.3% | |||
58,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 55,931 | |
95,000 | Parker-Hannifin Corp., Sr. Unsecd. Note, 4.500%, 9/15/2029 | 92,582 | |
13,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 11,800 | |
29,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 2.950%, 4/1/2031 | 24,118 | |
67,000 | Wabtec Corp., Sr. Unsecd. Note, 5.611%, 3/11/2034 | 67,368 | |
TOTAL | 251,799 | ||
Communications - Cable & Satellite—0.5% | |||
62,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., 5.250%, 4/1/2053 | 48,640 | |
83,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 80,925 | |
90,000 | Comcast Corp., Sr. Unsecd. Note, 3.450%, 2/1/2050 | 63,500 | |
68,000 | Comcast Corp., Sr. Unsecd. Note, 3.900%, 3/1/2038 | 57,633 | |
173,000 | Comcast Corp., Sr. Unsecd. Note, 4.250%, 10/15/2030 | 165,899 | |
22,000 | NBCUniversal, Inc., Sr. Unsecd. Note, 5.950%, 4/1/2041 | 22,782 | |
27,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 22,485 | |
TOTAL | 461,864 | ||
Communications - Media & Entertainment—0.6% | |||
164,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 5.375%, 6/15/2033 | 161,592 | |
58,000 | Meta Platforms, Inc., Sr. Unsecd. Note, 3.850%, 8/15/2032 | 53,920 | |
62,000 | Meta Platforms, Inc., Unsecd. Note, 5.600%, 5/15/2053 | 63,281 | |
126,000 | Netflix, Inc., Sr. Unsecd. Note, 4.875%, 4/15/2028 | 125,357 | |
67,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.600%, 8/1/2031 | 56,541 | |
29,000 | Walt Disney Co., Sr. Unsecd. Note, 3.600%, 1/13/2051 | 21,615 | |
91,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 6.412%, 3/15/2026 | 91,000 | |
TOTAL | 573,306 | ||
Communications - Telecom Wireless—0.9% | |||
275,000 | America Movil S.A.B. de C.V., Sr. Unsecd. Note, 2.875%, 5/7/2030 | 242,329 | |
28,000 | American Tower Corp., Sr. Unsecd. Note, 2.700%, 4/15/2031 | 23,680 | |
80,000 | American Tower Corp., Sr. Unsecd. Note, 4.050%, 3/15/2032 | 73,139 | |
17,000 | Crown Castle, Inc., Sr. Unsecd. Note, 3.250%, 1/15/2051 | 11,288 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Communications - Telecom Wireless—continued | |||
$ 160,000 | Crown Castle, Inc., Sr. Unsecd. Note, 4.450%, 2/15/2026 | $ 157,199 | |
157,000 | T-Mobile USA, Inc., Series WI, 3.000%, 2/15/2041 | 112,340 | |
36,000 | T-Mobile USA, Inc., Series WI, 3.875%, 4/15/2030 | 33,654 | |
153,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 3.500%, 4/15/2031 | 137,458 | |
54,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 53,346 | |
TOTAL | 844,433 | ||
Communications - Telecom Wirelines—0.6% | |||
51,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 47,874 | |
214,000 | AT&T, Inc., Sr. Unsecd. Note, 2.750%, 6/1/2031 | 183,247 | |
175,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 5.000%, 2/15/2029 | 172,843 | |
53,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 2.100%, 3/22/2028 | 47,665 | |
34,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.150%, 3/22/2030 | 30,659 | |
63,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041 | 48,176 | |
TOTAL | 530,464 | ||
Consumer Cyclical - Automotive—1.2% | |||
45,000 | American Honda Finance Corp., Sr. Unsecd. Note, 4.700%, 1/12/2028 | 44,563 | |
247,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | 220,075 | |
298,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 6.950%, 3/6/2026 | 302,812 | |
73,000 | General Motors Co., Sr. Unsecd. Note, 5.150%, 4/1/2038 | 67,153 | |
31,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 5.750%, 2/8/2031 | 31,083 | |
186,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 5.250%, 1/8/2027 | 185,248 | |
42,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 5.680%, 6/26/2028 | 42,444 | |
255,000 | Mercedes-Benz Finance N.A., LLC, Sr. Unsecd. Note, 144A, 5.250%, 11/29/2027 | 256,349 | |
24,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, 3.950%, 6/30/2025 | 23,659 | |
TOTAL | 1,173,386 | ||
Consumer Cyclical - Retailers—0.3% | |||
40,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 36,154 | |
24,000 | AutoZone, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2033 | 22,917 | |
36,000 | Costco Wholesale Corp., Sr. Unsecd. Note, 1.600%, 4/20/2030 | 30,259 | |
36,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.700%, 4/15/2030 | 32,072 | |
87,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 79,694 | |
24,000 | Home Depot, Inc., Sr. Unsecd. Note, 4.000%, 9/15/2025 | 23,650 | |
44,000 | Tractor Supply Co., Sr. Unsecd. Note, 5.250%, 5/15/2033 | 43,614 | |
25,000 | WalMart, Inc., Sr. Unsecd. Note, 3.700%, 6/26/2028 | 24,248 | |
TOTAL | 292,608 | ||
Consumer Cyclical - Services—0.1% | |||
25,000 | Amazon.com, Inc., Sr. Unsecd. Note, 1.500%, 6/3/2030 | 20,823 | |
25,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 23,738 | |
34,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.875%, 8/22/2037 | 30,024 | |
TOTAL | 74,585 | ||
Consumer Cyclical Services—0.1% | |||
107,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | 102,574 | |
Consumer Non-Cyclical - Food/Beverage—0.8% | |||
36,000 | Anheuser-Busch Cos., LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.700%, 2/1/2036 | 34,321 | |
217,000 | Anheuser-Busch InBev Finance, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 198,641 | |
25,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.600%, 4/15/2048 | 22,111 | |
35,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029 | 34,801 | |
40,000 | Coca-Cola Co., Sr. Unsecd. Note, 2.125%, 9/6/2029 | 35,214 | |
260,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 230,922 | |
113,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028 | 110,579 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Food/Beverage—continued | |||
$ 10,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.900%, 5/1/2033 | $ 9,654 | |
13,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 10,573 | |
26,000 | PepsiCo, Inc., Sr. Unsecd. Note, 2.625%, 7/29/2029 | 23,512 | |
34,000 | PepsiCo, Inc., Sr. Unsecd. Note, 2.750%, 3/19/2030 | 30,456 | |
33,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 5.700%, 3/15/2034 | 32,873 | |
TOTAL | 773,657 | ||
Consumer Non-Cyclical - Health Care—1.1% | |||
288,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.750%, 9/23/2026 | 272,443 | |
85,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 1.957%, 2/11/2031 | 69,606 | |
10,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 8,810 | |
53,000 | CVS Health Corp., Sr. Unsecd. Note, 4.780%, 3/25/2038 | 47,319 | |
12,000 | CVS Health Corp., Sr. Unsecd. Note, 5.250%, 2/21/2033 | 11,718 | |
113,000 | CVS Health Corp., Sr. Unsecd. Note, 5.250%, 1/30/2031 | 111,718 | |
250,000 | Elevance Health, Inc., Sr. Unsecd. Note, 5.150%, 6/15/2029 | 250,670 | |
176,000 | GE Healthcare Holding LLC, Sr. Unsecd. Note, 5.857%, 3/15/2030 | 180,878 | |
34,000 | HCA, Inc., Sr. Unsecd. Note, 3.500%, 9/1/2030 | 30,669 | |
24,000 | HCA, Inc., Sr. Unsecd. Note, 5.200%, 6/1/2028 | 23,905 | |
31,000 | HCA, Inc., Sr. Unsecd. Note, 5.450%, 4/1/2031 | 30,978 | |
32,000 | HCA, Inc., Sr. Unsecd. Note, 6.000%, 4/1/2054 | 31,617 | |
25,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 1.215%, 10/18/2024 | 24,678 | |
TOTAL | 1,095,009 | ||
Consumer Non-Cyclical - Pharmaceuticals—1.3% | |||
36,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 35,113 | |
37,000 | AbbVie, Inc., Sr. Unsecd. Note, 2.950%, 11/21/2026 | 35,270 | |
107,000 | AbbVie, Inc., Sr. Unsecd. Note, 4.550%, 3/15/2035 | 101,496 | |
32,000 | AbbVie, Inc., Sr. Unsecd. Note, 5.400%, 3/15/2054 | 31,642 | |
35,000 | Amgen, Inc., Sr. Unsecd. Note, 2.450%, 2/21/2030 | 30,525 | |
142,000 | Amgen, Inc., Sr. Unsecd. Note, 4.400%, 5/1/2045 | 119,483 | |
46,000 | Amgen, Inc., Sr. Unsecd. Note, 5.250%, 3/2/2033 | 45,866 | |
25,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027 | 23,763 | |
300,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.375%, 12/15/2028 | 284,895 | |
56,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 47,668 | |
72,000 | Bristol-Myers Squibb Co., Sr. Sub. Secd. Note, 5.550%, 2/22/2054 | 70,983 | |
60,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 3.900%, 2/20/2028 | 57,939 | |
26,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.125%, 6/15/2039 | 22,562 | |
10,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.250%, 10/26/2049 | 8,140 | |
10,000 | Johnson & Johnson, Sr. Unsecd. Note, 3.500%, 1/15/2048 | 7,654 | |
12,000 | Pfizer Investment Enterprises Pte Ltd., Sr. Unsecd. Note, 4.450%, 5/19/2028 | 11,790 | |
37,000 | Pfizer Investment Enterprises Pte Ltd., Sr. Unsecd. Note, 4.750%, 5/19/2033 | 36,050 | |
152,000 | Pfizer, Inc., Sr. Unsecd. Note, 2.625%, 4/1/2030 | 134,841 | |
38,000 | Regeneron Pharmaceuticals, Inc., Sr. Unsecd. Note, 1.750%, 9/15/2030 | 31,297 | |
25,000 | Revvity, Inc., Sr. Unsecd. Note, 0.850%, 9/15/2024 | 24,718 | |
50,000 | Zoetis, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2050 | 32,582 | |
TOTAL | 1,194,277 | ||
Consumer Non-Cyclical - Products—0.1% | |||
30,000 | Kenvue, Inc., Sr. Unsecd. Note, 4.900%, 3/22/2033 | 29,670 | |
71,000 | Kenvue, Inc., Sr. Unsecd. Note, 5.050%, 3/22/2028 | 71,388 | |
TOTAL | 101,058 | ||
Consumer Non-Cyclical - Tobacco—0.3% | |||
20,000 | BAT Capital Corp., Sr. Unsecd. Note, 5.834%, 2/20/2031 | 20,282 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Tobacco—continued | |||
$ 81,000 | BAT Capital Corp., Sr. Unsecd. Note, 6.000%, 2/20/2034 | $ 81,943 | |
26,000 | BAT International Finance PLC, Sr. Unsecd. Note, 1.668%, 3/25/2026 | 24,357 | |
68,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 2.100%, 5/1/2030 | 57,586 | |
98,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 3.875%, 8/21/2042 | 76,261 | |
38,000 | Reynolds American, Inc., Sr. Unsecd. Note, 5.850%, 8/15/2045 | 35,049 | |
TOTAL | 295,478 | ||
Energy - Independent—0.4% | |||
28,000 | ConocoPhillips Co., Sr. Unsecd. Note, 3.758%, 3/15/2042 | 22,200 | |
30,000 | Diamondback Energy, Inc., Sr. Unsecd. Note, 5.200%, 4/18/2027 | 30,006 | |
170,000 | Diamondback Energy, Inc., Sr. Unsecd. Note, 6.250%, 3/15/2033 | 177,804 | |
18,000 | Hess Corp., Sr. Unsecd. Note, 7.300%, 8/15/2031 | 20,065 | |
22,000 | Marathon Oil Corp., Sr. Unsecd. Note, 6.800%, 3/15/2032 | 23,933 | |
71,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.375%, 9/1/2028 | 73,262 | |
40,000 | Ovintiv, Inc., Sr. Unsecd. Note, 7.100%, 7/15/2053 | 43,874 | |
TOTAL | 391,144 | ||
Energy - Integrated—0.1% | |||
17,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.000%, 2/24/2050 | 11,064 | |
40,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 4.234%, 11/6/2028 | 38,750 | |
24,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 4.893%, 9/11/2033 | 23,338 | |
50,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027 | 48,617 | |
27,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | 21,716 | |
TOTAL | 143,485 | ||
Energy - Midstream—1.3% | |||
93,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | 91,426 | |
64,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 5.800%, 6/1/2045 | 62,432 | |
144,000 | Columbia Pipeline Holding Co. LLC, Sr. Unsecd. Note, 144A, 5.681%, 1/15/2034 | 141,682 | |
46,000 | Enbridge, Inc., Sr. Unsecd. Note, 5.950%, 4/5/2054 | 45,636 | |
24,000 | Energy Transfer LP, Sr. Unsecd. Note, 5.500%, 6/1/2027 | 24,068 | |
116,000 | Energy Transfer LP, Sr. Unsecd. Note, 5.750%, 2/15/2033 | 117,195 | |
88,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 5.950%, 2/1/2041 | 90,536 | |
23,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 5.800%, 3/15/2035 | 23,101 | |
61,000 | MPLX LP, Sr. Unsecd. Note, 4.950%, 9/1/2032 | 58,365 | |
88,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.950%, 9/15/2027 | 84,097 | |
53,000 | ONEOK, Inc., Sr. Unsecd. Note, 2.200%, 9/15/2025 | 50,888 | |
110,000 | ONEOK, Inc., Sr. Unsecd. Note, 6.100%, 11/15/2032 | 113,688 | |
26,000 | Plains All American Pipeline LP, Sr. Unsecd. Note, 5.150%, 6/1/2042 | 23,031 | |
78,000 | Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033 | 70,136 | |
129,000 | Tennessee Gas Pipeline, Sr. Unsecd. Note, 7.000%, 3/15/2027 | 134,326 | |
62,000 | Williams Cos., Inc., Sr. Unsecd. Note, 4.900%, 3/15/2029 | 61,158 | |
80,000 | Williams Cos., Inc., Sr. Unsecd. Note, 8.750%, 3/15/2032 | 95,587 | |
TOTAL | 1,287,352 | ||
Energy - Oil Field Services—0.1% | |||
18,000 | Halliburton Co., Sr. Unsecd. Note, 5.000%, 11/15/2045 | 16,295 | |
36,000 | Schlumberger Holdings Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/21/2025 | 35,257 | |
33,000 | Schlumberger Investment S.A., Sr. Unsecd. Note, 2.650%, 6/26/2030 | 29,047 | |
TOTAL | 80,599 | ||
Energy - Refining—0.1% | |||
48,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044 | 40,925 | |
26,000 | Phillips 66, Sr. Unsecd. Note, 1.300%, 2/15/2026 | 24,338 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Energy - Refining—continued | |||
$ 10,000 | Valero Energy Corp., Sr. Unsecd. Note, 7.500%, 4/15/2032 | $ 11,286 | |
TOTAL | 76,549 | ||
Financial Institution - Banking—5.5% | |||
10,000 | American Express Co., Sr. Unsecd. Note, 4.050%, 5/3/2029 | 9,651 | |
95,000 | American Express Co., Sr. Unsecd. Note, 5.850%, 11/5/2027 | 97,304 | |
90,000 | Bank of America Corp., Sr. Unsecd. Note, 2.572%, 10/20/2032 | 74,597 | |
102,000 | Bank of America Corp., Sr. Unsecd. Note, 2.687%, 4/22/2032 | 86,202 | |
302,000 | Bank of America Corp., Sr. Unsecd. Note, 5.468%, 1/23/2035 | 301,694 | |
38,000 | Bank of America Corp., Sr. Unsecd. Note, Series GMTN, 3.593%, 7/21/2028 | 36,168 | |
44,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 1.898%, 7/23/2031 | 36,242 | |
36,000 | Bank of America Corp., Sub., Series MTN, 4.450%, 3/3/2026 | 35,402 | |
25,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 1.650%, 1/28/2031 | 20,265 | |
24,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.992%, 6/13/2028 | 23,210 | |
10,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.800%, 1/31/2028 | 9,507 | |
24,000 | Capital One Financial Corp., Sr. Unsecd. Note, 5.817%, 2/1/2034 | 23,754 | |
27,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.976%, 11/5/2030 | 24,048 | |
180,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.412%, 3/31/2031 | 171,553 | |
121,000 | Citigroup, Inc., Sub. Note, 4.450%, 9/29/2027 | 117,943 | |
32,000 | Citigroup, Inc., Sub., 5.827%, 2/13/2035 | 31,667 | |
69,000 | Citizens Financial Group, Inc., 5.641%, 5/21/2037 | 63,977 | |
28,000 | Citizens Financial Group, Inc., Sr. Unsecd. Note, 2.500%, 2/6/2030 | 23,745 | |
232,000 | Comerica, Inc., Sr. Unsecd. Note, 5.982%, 1/30/2030 | 228,599 | |
102,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 5.631%, 1/29/2032 | 101,112 | |
26,000 | Fifth Third Bank, Sr. Unsecd. Note, Series BKNT, 2.250%, 2/1/2027 | 24,049 | |
81,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.615%, 4/22/2032 | 68,101 | |
195,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.500%, 11/16/2026 | 187,159 | |
168,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.814%, 4/23/2029 | 159,404 | |
336,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.900%, 5/25/2026 | 326,726 | |
36,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 4.000%, 5/15/2025 | 35,409 | |
86,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 5.023%, 5/17/2033 | 81,348 | |
135,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.953%, 2/4/2032 | 109,807 | |
28,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.963%, 1/25/2033 | 23,873 | |
10,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 4.260%, 2/22/2048 | 8,374 | |
231,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 5.336%, 1/23/2035 | 229,619 | |
140,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 5.500%, 10/15/2040 | 140,552 | |
71,000 | M&T Bank Corp., Sr. Unsecd. Note, 6.082%, 3/13/2032 | 70,770 | |
49,000 | M&T Bank Corp., Sr. Unsecd. Note, 7.413%, 10/30/2029 | 51,556 | |
92,000 | Morgan Stanley, Sr. Unsecd. Note, 1.593%, 5/4/2027 | 85,768 | |
32,000 | Morgan Stanley, Sr. Unsecd. Note, 5.297%, 4/20/2037 | 30,640 | |
231,000 | Morgan Stanley, Sr. Unsecd. Note, 5.466%, 1/18/2035 | 230,397 | |
104,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 4.000%, 7/23/2025 | 102,443 | |
96,000 | Northern Trust Corp., Sub. Note, 3.950%, 10/30/2025 | 94,054 | |
212,000 | PNC Financial Services Group, Inc., Sr. Unsecd. Note, 5.582%, 6/12/2029 | 214,319 | |
250,000 | Regions Financial Corp., Sr. Unsecd. Note, 5.722%, 6/6/2030 | 249,851 | |
144,000 | State Street Corp., Sub., 2.200%, 3/3/2031 | 120,925 | |
250,000 | Synovus Bank GA, Sr. Unsecd. Note, 5.625%, 2/15/2028 | 241,550 | |
64,000 | Truist Financial Corp., Sr. Unsecd. Note, 4.000%, 5/1/2025 | 63,114 | |
87,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.711%, 1/24/2035 | 86,620 | |
35,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.867%, 6/8/2034 | 35,266 | |
25,000 | US Bancorp, 4.967%, 7/22/2033 | 23,574 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$ 148,000 | US Bancorp, Sr. Unsecd. Note, 5.384%, 1/23/2030 | $ 148,397 | |
10,000 | US Bancorp, Sub., Series MTN, 3.100%, 4/27/2026 | 9,588 | |
70,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.164%, 2/11/2026 | 68,480 | |
139,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.393%, 6/2/2028 | 128,017 | |
317,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 4.897%, 7/25/2033 | 304,911 | |
TOTAL | 5,271,301 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.1% | |||
10,000 | Charles Schwab Corp., Sr. Unsecd. Note, 3.250%, 5/22/2029 | 9,216 | |
64,000 | Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026 | 62,298 | |
12,000 | Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028 | 11,497 | |
24,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.250%, 7/18/2024 | 23,980 | |
12,000 | TIAA Asset Management Finance Co. LLC, Sr. Unsecd. Note, 144A, 4.125%, 11/1/2024 | 11,925 | |
TOTAL | 118,916 | ||
Financial Institution - Finance Companies—0.4% | |||
246,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.000%, 10/29/2028 | 223,558 | |
23,000 | Air Lease Corp., Sr. Unsecd. Note, 3.125%, 12/1/2030 | 20,097 | |
70,000 | Air Lease Corp., Sr. Unsecd. Note, 5.300%, 2/1/2028 | 69,848 | |
47,000 | Jefferies Financial Group, Inc., Sr. Unsecd. Note, 6.200%, 4/14/2034 | 47,602 | |
TOTAL | 361,105 | ||
Financial Institution - Insurance - Health—0.2% | |||
36,000 | Anthem, Inc., Sr. Unsecd. Note, 2.250%, 5/15/2030 | 30,846 | |
51,000 | The Cigna Group, Sr. Unsecd. Note, 5.685%, 3/15/2026 | 50,999 | |
24,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 4.500%, 4/15/2033 | 22,937 | |
62,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 4.900%, 4/15/2031 | 61,425 | |
TOTAL | 166,207 | ||
Financial Institution - Insurance - Life—0.7% | |||
88,000 | Corebridge Financial, Inc., Sr. Unsecd. Note, 5.750%, 1/15/2034 | 88,584 | |
30,000 | Lincoln National Corp., Sr. Note, 7.000%, 6/15/2040 | 32,455 | |
83,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 3.375%, 4/15/2050 | 56,704 | |
101,000 | 1 | MetLife, Inc., Jr. Sub. Note, 10.750% (3-month USLIBOR +7.548%), 8/1/2039 | 134,718 |
88,000 | Northwestern Mutual Life Insurance Co., Sr. Unsecd. Note, 144A, 3.625%, 9/30/2059 | 59,753 | |
100,000 | Pacific Life Global Funding II, Sr. Secd. Note, 144A, 4.900%, 1/11/2029 | 99,120 | |
62,000 | Pacific LifeCorp., Bond, 144A, 6.600%, 9/15/2033 | 66,318 | |
93,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 2.125%, 6/15/2030 | 77,695 | |
49,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 4.600%, 5/15/2044 | 42,710 | |
TOTAL | 658,057 | ||
Financial Institution - Insurance - P&C—0.4% | |||
38,000 | American International Group, Inc., Unsecd. Note, 3.875%, 1/15/2035 | 33,842 | |
23,000 | American International Group, Sr. Unsecd. Note, 5.125%, 3/27/2033 | 22,653 | |
23,000 | Aon Corp., Sr. Unsecd. Note, 2.800%, 5/15/2030 | 20,160 | |
45,000 | Aon North America, Inc., 5.750%, 3/1/2054 | 44,012 | |
29,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 1.375%, 9/15/2030 | 23,643 | |
37,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 3.350%, 5/3/2026 | 35,803 | |
54,000 | CNA Financial Corp., Sr. Unsecd. Note, 5.500%, 6/15/2033 | 53,845 | |
115,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 6.625%, 4/15/2042 | 119,913 | |
25,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 31,646 | |
TOTAL | 385,517 | ||
Financial Institution - REIT - Apartment—0.3% | |||
38,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 36,246 | |
203,000 | Camden Property Trust, Sr. Unsecd. Note, 4.900%, 1/15/2034 | 194,222 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Apartment—continued | |||
$ 29,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | $ 23,399 | |
TOTAL | 253,867 | ||
Financial Institution - REIT - Healthcare—0.1% | |||
30,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 23,638 | |
24,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 23,480 | |
111,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031 | 95,616 | |
TOTAL | 142,734 | ||
Financial Institution - REIT - Office—0.1% | |||
90,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 86,970 | |
17,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 5.250%, 5/15/2036 | 16,357 | |
TOTAL | 103,327 | ||
Financial Institution - REIT - Other—0.1% | |||
55,000 | ProLogis LP, Sr. Unsecd. Note, 5.250%, 6/15/2053 | 51,894 | |
Financial Institution - REIT - Retail—0.1% | |||
82,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.800%, 10/1/2026 | 77,542 | |
Gaming—0.0% | |||
46,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 4.750%, 12/1/2027 | 44,274 | |
Technology—1.3% | |||
30,000 | Alphabet, Inc., Sr. Unsecd. Note, 1.900%, 8/15/2040 | 19,539 | |
142,000 | Apple, Inc., 1.650%, 5/11/2030 | 119,662 | |
16,000 | Apple, Inc., Sr. Unsecd. Note, 2.375%, 2/8/2041 | 11,049 | |
25,000 | Apple, Inc., Sr. Unsecd. Note, 2.900%, 9/12/2027 | 23,611 | |
80,000 | Broadcom Corp., Sr. Unsecd. Note, Series WI, 3.875%, 1/15/2027 | 77,404 | |
37,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 35,698 | |
129,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 121,834 | |
31,000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 28,959 | |
32,000 | Cisco Systems, Inc., Sr. Unsecd. Note, 4.800%, 2/26/2027 | 31,913 | |
43,000 | Fiserv, Inc., Sr. Unsecd. Note, 5.600%, 3/2/2033 | 43,354 | |
37,000 | Fortinet, Inc., Sr. Unsecd. Note, 2.200%, 3/15/2031 | 30,470 | |
14,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.900%, 11/15/2031 | 11,722 | |
36,000 | Global Payments, Inc., Sr. Unsecd. Note, 4.950%, 8/15/2027 | 35,642 | |
40,000 | KLA Corp., Sr. Unsecd. Note, 4.650%, 7/15/2032 | 39,048 | |
24,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 23,087 | |
50,000 | Microchip Technology, Inc., Sr. Unsecd. Note, 5.050%, 3/15/2029 | 49,599 | |
37,000 | Microsoft Corp., Sr. Unsecd. Note, 1.350%, 9/15/2030 | 30,637 | |
32,000 | Microsoft Corp., Sr. Unsecd. Note, 2.921%, 3/17/2052 | 21,723 | |
26,000 | Oracle Corp., Sr. Unsecd. Note, 2.950%, 4/1/2030 | 23,123 | |
34,000 | Oracle Corp., Sr. Unsecd. Note, 3.250%, 5/15/2030 | 30,836 | |
113,000 | Oracle Corp., Sr. Unsecd. Note, 4.000%, 11/15/2047 | 85,550 | |
71,000 | Oracle Corp., Sr. Unsecd. Note, 4.900%, 2/6/2033 | 68,872 | |
24,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.850%, 12/15/2025 | 23,459 | |
29,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | 28,019 | |
28,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 23,431 | |
91,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 87,481 | |
92,000 | Visa, Inc., Sr. Unsecd. Note, 4.150%, 12/14/2035 | 85,854 | |
44,000 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 35,752 | |
TOTAL | 1,247,328 | ||
Transportation - Railroads—0.2% | |||
40,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 4.450%, 3/15/2043 | 35,134 | |
11,000 | 1 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 5.200% (180-DAY AVERAGE SOFR +0.000%), 4/15/2054 | 10,537 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS—continued | |||
Transportation - Railroads—continued | |||
$ 52,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.900%, 2/1/2025 | $ 51,136 | |
127,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 111,142 | |
TOTAL | 207,949 | ||
Transportation - Services—0.7% | |||
60,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 4.600%, 5/1/2028 | 59,051 | |
300,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 6.250%, 5/6/2029 | 305,159 | |
106,000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 1.650%, 7/15/2026 | 97,700 | |
53,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 5.550%, 5/1/2028 | 53,370 | |
85,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 5.650%, 3/1/2028 | 86,248 | |
33,000 | United Parcel Service, Inc., Sr. Unsecd. Note, 4.875%, 3/3/2033 | 32,493 | |
TOTAL | 634,021 | ||
Utility - Electric—2.0% | |||
25,000 | AEP Texas, Inc., Sr. Unsecd. Note, Series I, 2.100%, 7/1/2030 | 20,804 | |
54,000 | Ameren Corp., Sr. Unsecd. Note, 1.750%, 3/15/2028 | 47,653 | |
46,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 5.625%, 3/1/2033 | 45,831 | |
95,000 | Consolidated Edison Co., Sr. Unsecd. Note, 4.625%, 12/1/2054 | 80,339 | |
89,000 | Constellation Energy Generation LLC, Sr. Unsecd. Note, 5.800%, 3/1/2033 | 90,809 | |
27,000 | Constellation Energy Group, Inc., Bond, 7.600%, 4/1/2032 | 30,273 | |
52,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series C, 3.375%, 4/1/2030 | 46,971 | |
60,000 | Duke Energy Corp., Sr. Unsecd. Note, 4.500%, 8/15/2032 | 56,103 | |
96,000 | Duke Energy Corp., Sr. Unsecd. Note, 5.000%, 8/15/2052 | 83,398 | |
33,000 | Duke Energy Indiana, LLC., Sr. Deb., 6.120%, 10/15/2035 | 34,920 | |
275,000 | Electricite de France S.A., Sr. Unsecd. Note, 144A, 6.250%, 5/23/2033 | 284,479 | |
167,000 | Exelon Corp., Sr. Unsecd. Note, 4.100%, 3/15/2052 | 128,377 | |
40,000 | National Rural Utilities Cooperative Finance Corp., Sec. Fac. Bond, 4.150%, 12/15/2032 | 36,857 | |
121,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 117,575 | |
36,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.250%, 6/1/2030 | 30,693 | |
66,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 5.050%, 2/28/2033 | 64,149 | |
82,000 | NiSource, Inc., Sr. Unsecd. Note, 1.700%, 2/15/2031 | 65,211 | |
39,000 | Ohio Power Co., Sr. Unsecd. Note, Series Q, 1.625%, 1/15/2031 | 31,139 | |
57,000 | Public Service Enterprises Group, Inc., Sr. Unsecd. Note, 2.450%, 11/15/2031 | 46,935 | |
355,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 316,845 | |
198,000 | Virginia Electric & Power Co., Sr. Unsecd. Note, 2.400%, 3/30/2032 | 162,685 | |
67,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 2.200%, 12/15/2028 | 59,090 | |
TOTAL | 1,881,136 | ||
Utility - Natural Gas—0.1% | |||
70,000 | Sempra Energy, Sr. Unsecd. Note, 6.000%, 10/15/2039 | 70,810 | |
Utility - Natural Gas Distributor—0.1% | |||
85,000 | Southern Co. Gas Capital, Sr. Unsecd. Note, Series 20-A, 1.750%, 1/15/2031 | 68,776 | |
TOTAL CORPORATE BONDS (IDENTIFIED COST $23,998,375) | 23,888,430 | ||
ASSET-BACKED SECURITIES—4.2% | |||
Auto Receivables—1.4% | |||
190,000 | BMW Vehicle Lease Trust 2024-1, Class A3, 5.200%, 3/25/2027 | 188,896 | |
100,000 | Chesapeake Funding II LLC 2024-1A, Class B, 5.440%, 5/15/2036 | 100,477 | |
100,000 | Enterprise Fleet Financing LLC 2024-1, Class A2, 5.230%, 3/20/2030 | 99,700 | |
750,000 | Navistar Financial Dealer Note 2024-1, Class A, 5.590%, 4/25/2029 | 751,416 | |
200,000 | World OMNI Select Auto Trust 2024-A, Class A3, 4.860%, 3/15/2029 | 198,970 | |
TOTAL | 1,339,459 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
ASSET-BACKED SECURITIES—continued | |||
Credit Card—0.7% | |||
$ 500,000 | American Express Credit Account Master Trust 2024-1, Class A, 5.230%, 4/16/2029 | $ 504,502 | |
175,000 | First National Master Note Trust 2024-1, Class A, 5.340%, 5/15/2030 | 175,443 | |
TOTAL | 679,945 | ||
Equipment Lease—2.1% | |||
1,000,000 | DLLAD LLC 2024-1A, Class A3, 5.300%, 7/20/2029 | 1,003,926 | |
1,000,000 | John Deere Owner Trust 2024-B, Class A3, 5.200%, 3/15/2029 | 1,000,356 | |
TOTAL | 2,004,282 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $4,014,312) | 4,023,686 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—4.0% | |||
Federal Home Loan Mortgage Corporation—4.0% | |||
1,862,909 | 1 | FHLMC REMIC, Series 5396, Class FG, 6.330% (30-DAY AVERAGE SOFR +0.000%), 4/25/2054 | 1,852,014 |
1,915,969 | 1 | FHLMC REMIC, Series 5402, Class FB, 6.430% (30-DAY AVERAGE SOFR +0.000%), 4/25/2054 | 1,910,166 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $3,765,664) | 3,762,180 | ||
FOREIGN GOVERNMENTS/AGENCY—0.1% | |||
Sovereign—0.1% | |||
1,000,000 | Letra Tesouro Nacional, Sr. Unsecd. Note, Series LTN, 0.000%, 7/1/2027 (IDENTIFIED COST $150,122) | 127,455 | |
PURCHASED PUT OPTIONS—0.0% | |||
1,500,000 | Credit Agricole USD PUT/MXN CALL (PUT-Option), Notional Amount $1,500,000, Exercise Price $17.8, Expiration Date 9/26/2024 | 14,406 | |
700,000 | UBS USD PUT/BRL CALL (PUT-Option), Notional Amount $700,000, Exercise Price $5.1, Expiration Date 8/2/2024 | 162 | |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $26,030) | 14,568 | ||
EXCHANGE-TRADED FUNDS—16.1% | |||
5,000 | iShares iBoxx High Yield Corporate Bond ETF | 385,700 | |
107,250 | iShares Lehman MBS Fixed-Rate Bond Fund ETF | 9,846,622 | |
111,000 | Vanguard Mortgage-Backed Securities ETF | 5,039,400 | |
TOTAL EXCHANGE-TRADED FUNDS (IDENTIFIED COST $15,255,332) | 15,271,722 | ||
INVESTMENT COMPANIES—20.6% | |||
48,235 | Bank Loan Core Fund | 421,089 | |
410,643 | Emerging Markets Core Fund | 3,449,402 | |
461,628 | Federated Hermes Government Obligations Fund, Premier Shares, 5.23%2 | 461,628 | |
389,262 | High Yield Bond Core Fund | 2,152,622 | |
1,202,840 | Mortgage Core Fund | 9,827,202 | |
368,029 | Project and Trade Finance Core Fund | 3,253,377 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $19,573,553) | 19,565,320 | ||
TOTAL INVESTMENT IN SECURITIES—99.8% (IDENTIFIED COST $95,142,431)3 | 94,946,486 | ||
OTHER ASSETS AND LIABILITIES - NET—0.2%4 | 171,938 | ||
TOTAL NET ASSETS—100% | $95,118,424 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
iBoxx iShares Bond Index Long Futures | 4 | $629,980 | September 2024 | $569 |
United States Treasury Notes 2-Year Long Futures | 81 | $16,541,719 | September 2024 | $31,593 |
United States Treasury Notes 5-Year Long Futures | 52 | $5,542,062 | September 2024 | $10,409 |
United States Treasury Notes 10-Year Long Futures | 17 | $1,869,734 | September 2024 | $17,097 |
United States Treasury Notes 10-Year Ultra Long Futures | 15 | $1,702,969 | September 2024 | $11,685 |
United States Treasury Ultra Bond Long Futures | 13 | $1,629,469 | September 2024 | $(968) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $70,385 |
Counterparty | Description | Number of Contracts | Notional Amount | Expiration Date | Exercise Price | Value |
Call Options: | ||||||
iShares | iShares MBS ETF (U.S.) | (1,000) | $9,181,000 | July 2024 | $93.00 | $(18,734) |
Morgan Stanley | USD CALL/MXN PUT | (1,500,000) | $1,500,000 | August 2024 | $17.50 | $(80,524) |
Morgan Stanley | USD CALL/ZAR PUT | (1,500,000) | $1,500,000 | August 2024 | $19.20 | $(13,576) |
Toronto Dominion | GBP CALL/USD PUT | (500,000) | $500,000 | July 2024 | $1.27 | $(2,811) |
UBS | AUD CALL/ USD PUT | (750,000) | $750,000 | July 2024 | $0.66 | $(10,370) |
UBS | NZD CALL/USD PUT | (1,000,000) | $1,000,000 | July 2024 | $0.62 | $(3,006) |
UBS | USD CALL/BRL PUT | (1,500,000) | $1,500,000 | August 2024 | $5.50 | $(43,858) |
UBS | USD CALL/MXN PUT | (500,000) | $500,000 | July 2024 | $18.00 | $(12,230) |
UBS | USD CALL/NOK PUT | (750,000) | $750,000 | July 2024 | $11.30 | $(310) |
Put Options: | ||||||
Morgan Stanley | AUD PUT/USD CALL | (750,000) | $750,000 | July 2024 | $0.64 | $(110) |
UBS | USD PUT/ZAR CALL | (1,000,000) | $1,000,000 | July 2024 | $18.30 | $(18,498) |
UBS | USD PUT/NOK CALL | (750,000) | $750,000 | July 2024 | $10.50 | $(2,851) |
UBS | USD PUT/MXN CALL | (1,500,000) | $1,500,000 | July 2024 | $18.00 | $(6,942) |
UBS | USD PUT/BRL CALL | (700,000) | $700,000 | August 2024 | $5.25 | $(840) |
(Premium Received $161,620) | $(214,660) |
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 6/30/2024 | Shares Held as of 6/30/2024 | Dividend Income |
Bank Loan Core Fund | $— | $1,423,082 | $(1,000,000) | $7 | $(2,000) | $421,089 | 48,235 | $41,085 |
Emerging Markets Core Fund | $— | $3,920,022 | $(500,000) | $31,150 | $(1,770) | $3,449,402 | 410,643 | $71,159 |
Federated Hermes Government Obligations Fund, Premier Shares | $— | $8,302,622 | $(7,840,994) | $— | $— | $461,628 | 461,628 | $7,716 |
Federated Hermes Prime Value Obligations Fund, Institutional Shares | $— | $16,581,338 | $(16,581,216) | $ | $(122) | $— | — | $11,376 |
High Yield Bond Core Fund | $— | $2,150,922 | $— | $1,700 | $— | $2,152,622 | 389,262 | $36,452 |
Mortgage Core Fund | $— | $18,572,227 | $(8,490,000) | $(45,122) | $(209,903) | $9,827,202 | 1,202,840 | $245,905 |
Project and Trade Finance Core Fund | $— | $3,249,345 | $— | $4,032 | $— | $3,253,377 | 368,029 | $61,977 |
TOTAL OF AFFILIATED TRANSACTIONS | $— | $54,199,558 | $(34,412,210) | $(8,233) | $(213,795) | $19,565,320 | 2,880,637 | $475,670 |
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 | Also represents cost of investments for federal tax purposes. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of June 30, 2024, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
U.S. Treasuries | $— | $28,293,125 | $— | $28,293,125 |
Corporate Bonds | — | 23,888,430 | — | 23,888,430 |
Asset-Backed Securities | — | 4,023,686 | — | 4,023,686 |
Collateralized Mortgage Obligations | — | 3,762,180 | — | 3,762,180 |
Foreign Governments/Agency | — | 127,455 | — | 127,455 |
Purchased Put Options | — | 14,568 | — | 14,568 |
Exchange-Traded Funds | 15,271,722 | — | — | 15,271,722 |
Investment Companies | 16,311,943 | — | — | 16,311,943 |
Other Investments1 | — | — | — | 3,253,377 |
TOTAL SECURITIES | $31,583,665 | $60,109,444 | $— | $94,946,486 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $71,353 | $— | $— | $71,353 |
Liabilities | ||||
Futures Contracts | (968) | — | — | (968) |
Written Options Contracts | (18,734) | (195,926) | — | (214,660) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $51,651 | $(195,926) | $— | $(144,275) |
1 | As permitted by U.S. generally accepted accounting principles (GAAP), an Investment Company valued at $3,253,377 is measured at fair value using the net asset value (NAV) per share practical expedient and has not been categorized in the fair value hierarchy chart above. 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 | |
ETF | —Exchange-Traded Fund | |
FHLMC | —Federal Home Loan Mortgage Corporation | |
GBP | —British Pound | |
GMTN | —Global Medium Term Note | |
LIBOR | —London Interbank Offered Rate | |
MTN | —Medium Term Note | |
NZD | —New Zealand Dollar | |
REIT | —Real Estate Investment Trust | |
REMIC | —Real Estate Mortgage Investment Conduit | |
SOFR | —Secured Overnight Financing Rate | |
USD | —United States Dollar |
Period Ended 6/30/20241 | |
Net Asset Value, Beginning of Period | $25.00 |
Income From Investment Operations: | |
Net investment income (loss)2 | 0.55 |
Net realized and unrealized gain (loss) | (0.38) |
TOTAL FROM INVESTMENT OPERATIONS | 0.17 |
Less Distributions: | |
Distributions from net investment income | (0.53) |
Net Asset Value, End of Period | $24.64 |
Total Return3 | 0.71% |
Ratios to Average Net Assets: | |
Net expenses4 | 0.37%5 |
Net investment income | 4.56%5 |
Expense waiver/reimbursement6 | 0.14%5 |
Supplemental Data: | |
Net assets, end of period (000 omitted) | $95,118 |
Portfolio turnover7 | 63% |
1 | Reflects operations for the period from January 3, 2024 (commencement of operations) to June 30, 2024. |
2 | Per share number has been calculated using the average shares method. |
3 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
7 | Securities that mature are considered sales for purposes of this calculation. |
Assets: | |
Investment in securities, at value including $19,565,320 of investments in affiliated holdings* (identified cost $95,142,431, including $19,573,553 of identified cost in affiliated holdings) | 94,946,486 |
Income receivable | 628,859 |
Income receivable from affiliated holdings | 119,892 |
Receivable for investments sold | 5,075,685 |
Total Assets | 100,770,922 |
Liabilities: | |
Payable for investments purchased | 4,906,735 |
Written options outstanding, at value (premium received $161,620) | 214,660 |
Due to broker | 92,576 |
Payable for variation margin on futures contracts | 41,618 |
Income distribution payable | 367,858 |
Payable for investment adviser fee (Note 5) | 14,907 |
Accrued expenses (Note 5) | 14,144 |
Total Liabilities | 5,652,498 |
Net assets for 3,860,004 shares outstanding | $95,118,424 |
Net Assets Consist of: | |
Paid-in capital | $95,727,348 |
Total distributable earnings (loss) | (608,924) |
Total Net Assets | $95,118,424 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$95,118,424 ÷ 3,860,004 shares outstanding, no par value, unlimited shares authorized | $24.64 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Interest | $868,066 |
Dividends (including $475,670 received from affiliated holdings*) | 545,546 |
TOTAL INCOME | 1,413,612 |
Expenses: | |
Investment adviser fee (Note 5) | 134,638 |
Share registration costs | 14,129 |
TOTAL EXPENSES | 148,767 |
Waiver/reimbursement of investment adviser fee (Note 5) | (41,389) |
Net expenses | 107,378 |
Net investment income | 1,306,234 |
Realized and Unrealized Gain (Loss) on Investments, Foreign Currency Transactions, Foreign Exchange Contracts, Futures Contracts and Written Options: | |
Net realized loss on investments (including net realized loss of $(213,795) on sales of investments in affiliated holdings*) | (324,891) |
Net realized gain on foreign currency transactions | 4,209 |
Net realized loss on foreign exchange contracts | (8,316) |
Net realized loss on futures contracts | (182,287) |
Net realized gain on written options | 81,349 |
Net change in unrealized depreciation of investments (including net change in unrealized depreciation of $(8,233) on investments in affiliated holdings*) | (195,945) |
Net change in unrealized appreciation of futures contracts | 70,385 |
Net change in unrealized depreciation of written options | (53,040) |
Net realized and unrealized gain (loss) on investments, foreign currency transactions, foreign exchange contracts, futures contracts and written options | (608,536) |
Change in net assets resulting from operations | $697,698 |
* | See information listed after the Fund’s Portfolio of Investments. |
1 | Reflects operations for the period from January 3, 2024 (commencement of operations) to June 30, 2024. |
Period Ended 6/30/20241 | |
Increase (Decrease) in Net Assets | |
Operations: | |
Net investment income | $1,306,234 |
Net realized gain (loss) | (429,936) |
Net change in unrealized appreciation/depreciation | (178,600) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 697,698 |
Distributions to Shareholders | (1,306,622) |
Share Transactions: | |
Proceeds from sale of shares | 95,727,348 |
Cost of shares redeemed | — |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 95,727,348 |
Change in net assets | 95,118,424 |
Net Assets: | |
Beginning of period | — |
End of period | $95,118,424 |
1 | Reflects operations for the period from January 3, 2024 (commencement of operations) to June 30, 2024. |
Fair Value of Derivative Instruments | ||||
Assets | Liabilities | |||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||||
Interest rate contracts | $— | Payable for variation margin on futures contracts | $(69,816)* | |
Equity contracts | — | Payable for variation margin on futures contracts | (569)* | |
Equity contracts | — | Written options outstanding, at value | 18,734 | |
Foreign exchange contracts | — | Written options outstanding, at value | 195,926 | |
Foreign exchange contracts | Purchased options, within Investment in securities, at value | 14,568 | — | |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $14,568 | $144,275 |
* | Includes cumulative net appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||
Futures Contracts | Foreign Exchange Contracts | Purchased Options Contracts1 | Written Options Contracts | Total | |
Interest rate contracts | $(196,342) | $— | $62,680 | $29,085 | $(104,577) |
Equity contracts | 14,055 | — | — | — | 14,055 |
Foreign exchange contracts | — | (8,316) | 45,941 | 52,264 | 89,889 |
TOTAL | $(182,287) | $(8,316) | $108,621 | $81,349 | $(633) |
1 | The net realized gain on Purchased Options Contracts is found within the Net realized loss on investments on the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||
Futures Contracts | Purchased Options Contracts1 | Written Options Contracts | Total | |
Interest rate contracts | $69,816 | $— | $— | $69,816 |
Equity contracts | 569 | — | 30,266 | 30,835 |
Foreign exchange contracts | — | (11,462) | (83,306) | (94,768) |
TOTAL | $70,385 | $(11,462) | $(53,040) | $5,883 |
1 | The net change in unrealized depreciation of Purchased Options Contracts is found within the Net change in unrealized depreciation of investments on the Statement of Operations. |
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 |
Purchased Option Contracts | $14,568 | $(162) | $— | $14,406 |
TOTAL | $14,568 | $(162) | $— | $14,406 |
Transaction | Gross Liability Derivatives Presented In Statement of Assets and Liabilities | Financial Instrument | Collateral Received | Net Amount |
Written Option Contracts | $214,660 | $(162) | $— | $214,498 |
TOTAL | $214,660 | $(162) | $— | $214,498 |
Period Ended 6/30/20241 | |
Shares sold | 3,860,004 |
Shares redeemed | — |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 3,860,004 |
1 | Reflects operations for the period from January 3, 2024 (commencement of operations) to June 30, 2024. |
2024 | |
Ordinary income | $1,306,622 |
Undistributed ordinary income | $102,279 |
Net unrealized depreciation | $(283,302) |
Capital loss carryforwards and deferrals | $(427,901) |
TOTAL | $(608,924) |
Short-Term | Long-Term | Total |
$415,496 | $12,405 | $427,901 |
Purchases | $89,800,518 |
Sales | $27,280,713 |
![](https://capedge.com/proxy/N-CSR/0001623632-24-001351/kpmgsig.jpg)
August 23, 2024
![](https://capedge.com/proxy/N-CSR/0001623632-24-001351/fhilogok11p.jpg)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Item 8. | Changes in and Disagreements with Accountants for Open-End Management Investment Companies |
Federated Hermes Total Return Bond ETF: Not Applicable.
Item 9. | Proxy Disclosures for Open-End Management Investment Companies. |
Federated Hermes Total Return Bond ETF: Not Applicable.
Item 10. | Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies. |
Federated Hermes Total Return Bond ETF: The Fund’s disclosure of remuneration items is included as part of the Financial Statements filed under Item 7 of this form.
Item 11. | Statement Regarding Basis for Approval of Investment Advisory Contract. |
Federated Hermes Total Return Bond ETF: The Fund’s Evaluation and Approval of Advisory Contract summary by fund appear in the Financial Statements filed under Item 7 of this form.
Item 12. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Portfolio Managers of Closed-End Management Investment Companies. |
Not Applicable
Item 14. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not Applicable
Item 15. | Submission of Matters to a Vote of Security Holders. |
No Changes to Report
Item 16. | Controls and Procedures. |
(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures as of a date within 90 days of 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 17. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not Applicable
Item 18. | Recovery of Erroneously Awarded Compensation |
(a) Not Applicable
(b) Not Applicable
Item 19. | Exhibits |
(a)(1) | Not Applicable. |
(a)(2) | Certifications of Principal Executive Officer and Principal Financial Officer. |
(a)(3) | Not Applicable. |
(a)(4) | Not Applicable. |
(b) | Certifications pursuant to 18 U.S.C. Section 1350. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: Federated Hermes ETF Trust
By: /s/ Jeremy D. Boughton
Jeremy D. Boughton, Principal Financial Officer
Date: August 22, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ J. Christopher Donahue
J. Christopher Donahue, Principal Executive Officer
Date: August 22, 2024
By: /s/ Jeremy D. Boughton
Jeremy D. Boughton, Principal Financial Officer
Date: August 22, 2024