At April 30, 2021, the Fund had the following outstanding futures contracts:
| | | | Value and
Unrealized
Appreciation
(Depreciation) |
| | | | |
6United States Treasury Notes 10-Year Short Futures | | | | |
6United States Treasury Long Bond Short Futures | | | | |
6United States Treasury Notes 10-Year Ultra Short Futures | | | | |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | |
The average notional value of short futures contracts held by the Fund throughout the period was $18,435,625. This is based on the contracts held as of each month-end throughout the three-month fiscal period.
Net Unrealized Appreciation on Futures Contracts is included in “Other Assets and Liabilities—Net.”
Affiliated fund holdings are investment companies which are managed by the Adviser or an affiliate of the Adviser. Transactions with affiliated fund holdings during the period ended April 30, 2021, were as follows:
| Federated
Hermes
Government
Obligations Fund,
Premier Shares |
| |
| |
| |
Change in Unrealized Appreciation/Depreciation | |
| |
| |
Shares Held as of 4/30/2021 | |
| |
| Due to monthly principal payments, the average lives of the Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association securities approximates one to ten years. |
| All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
| All or a portion of these securities are segregated pending settlement of dollar-roll transactions. |
| |
| Assets, other than investments in securities, less liabilities. A significant portion of this balance is the result of dollar-roll transactions as of April 30, 2021. |
| Non-income-producing security. |
Note: The categories of investments are shown as a percentage of total net assets at April 30, 2021.
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 the Fund’s Board of Trustees (the “Trustees”).
■ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs.
■ 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 asked quotations.
■ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees.
■ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer’s financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.
If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Fund’s valuation policies and procedures, or if information furnished by a pricing service, in the opinion of the valuation committee (“Valuation Committee”), is deemed not representative of the fair value of such security, the Fund uses the fair value of the
