Federated Hermes Global Total Return Bond Fund
Portfolio of Investments
August 31, 2023 (unaudited)
Foreign Currency Par Amount, Principal Amount or Shares | Value in U.S. Dollars | ||
BONDS—57.8% | |||
AUSTRALIAN DOLLAR—1.6% | |||
Sovereign—1.6% | |||
140,000 | Australia, Government of, Series 137, 2.750%, 4/21/2024 | $89,989 | |
400,000 | Australia, Government of, Sr. Unsecd. Note, Series 160, 1.000%, 12/21/2030 | 211,349 | |
TOTAL AUSTRALIAN DOLLAR | 301,338 | ||
BRAZILIAN REAL—1.0% | |||
Sovereign—1.0% | |||
1,000,000 | Nota Do Tesouro Nacional, Unsecd. Note, Series NTNF, 10.000%, 1/1/2029 | 198,870 | |
BRITISH POUND—4.7% | |||
Sovereign—4.7% | |||
200,000 | United Kingdom, Government of, 2.750%, 9/7/2024 | 247,429 | |
127,000 | United Kingdom, Government of, 3.250%, 1/22/2044 | 131,484 | |
170,000 | United Kingdom, Government of, 4.250%, 12/7/2027 | 213,014 | |
50,000 | United Kingdom, Government of, Bond, 4.250%, 3/7/2036 | 62,152 | |
100,000 | United Kingdom, Government of, Unsecd. Deb., 1.625%, 10/22/2028 | 110,820 | |
190,000 | United Kingdom, Government of, Unsecd. Note, 1.500%, 7/22/2047 | 132,844 | |
TOTAL BRITISH POUND | 897,743 | ||
CANADIAN DOLLAR—2.8% | |||
Sovereign—2.8% | |||
80,000 | Canada, Government of, 4.000%, 6/1/2041 | 62,856 | |
250,000 | Canada, Government of, 5.750%, 6/1/2033 | 217,516 | |
310,000 | Canada, Government of, Series WL43, 5.750%, 6/1/2029 | 253,235 | |
TOTAL CANADIAN DOLLAR | 533,607 | ||
CHINESE YUAN RENMINBI—8.1% | |||
Sovereign—8.1% | |||
5,200,000 | China, Government of, Series 1916, 3.120%, 12/5/2026 | 734,906 | |
2,600,000 | China, Government of, Sr. Unsecd. Note, Series 1827, 3.250%, 11/22/2028 | 371,933 | |
3,100,000 | China, Government of, Unsecd. Note, Series INBK, 2.690%, 8/15/2032 | 427,367 | |
TOTAL CHINESE YUAN RENMINBI | 1,534,206 | ||
DANISH KRONE—0.1% | |||
Mortgage Banks—0.1% | |||
68,178 | Realkredit Danmark A/S, Series 23D, 5.000%, 7/1/2035 | 9,969 | |
EURO—22.5% | |||
Banking—1.0% | |||
180,000 | Citigroup, Inc., Sr. Unsecd. Note, Series EMTN, 0.750%, 10/26/2023 | 194,260 | |
Consumer Products—2.0% | |||
370,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 2.875%, 5/14/2029 | 379,408 | |
Sovereign—19.5% | |||
240,000 | Austria, Government of, Sr. Unsecd. Note, 0.750%, 10/20/2026 | 243,858 | |
120,000 | Belgium, Government of, Series 44, 5.000%, 3/28/2035 | 152,424 | |
280,000 | France, Government of, Bond, 4.500%, 4/25/2041 | 351,190 | |
175,000 | France, Government of, O.A.T., 5.500%, 4/25/2029 | 215,768 | |
90,000 | France, Government of, Unsecd. Note, 2.000%, 5/25/2048 | 75,186 | |
400,000 | Germany, Government of, 0.250%, 2/15/2027 | 400,749 |
1
Foreign Currency Par Amount, Principal Amount or Shares | Value in U.S. Dollars | ||
BONDS—continued | |||
EURO—continued | |||
Sovereign—continued | |||
190,000 | Germany, Government of, Bond, Series 03, 4.750%, 7/4/2034 | $249,661 | |
230,000 | Germany, Government of, Unsecd. Deb., 0.500%, 2/15/2028 | 229,039 | |
70,000 | Germany, Government of, Unsecd. Note, 1.000%, 5/15/2038 | 61,139 | |
80,000 | Germany, Government of, Unsecd. Note, 3.250%, 7/4/2042 | 94,642 | |
220,000 | Italy, Government of, Sr. Unsecd. Note, 1.650%, 3/1/2032 | 200,484 | |
330,000 | Italy, Government of, Sr. Unsecd. Note, 4.750%, 9/1/2028 | 376,444 | |
300,000 | Netherlands, Government of, Unsecd. Note, 2.500%, 1/15/2033 | 318,972 | |
40,000 | Portugal, Government of, Sr. Unsecd. Note, 0.900%, 10/12/2035 | 32,561 | |
480,000 | Spain, Government of, Sr. Unsecd. Note, 1.950%, 7/30/2030 | 479,745 | |
200,000 | Spain, Government of, Sr. Unsecd. Note, 2.750%, 10/31/2024 | 214,931 | |
TOTAL | 3,696,793 | ||
TOTAL EURO | 4,270,461 | ||
INDONESIAN RUPIAH—0.5% | |||
Sovereign—0.5% | |||
1,300,000,000 | Indonesia, Government of, Sr. Unsecd. Note, Series FR68, 8.375%, 3/15/2034 | 97,086 | |
JAPANESE YEN—5.2% | |||
Sovereign—5.2% | |||
15,000,000 | Japan (40 YEAR ISSUE), Sr. Unsecd. Note, Series 12, 0.500%, 3/20/2059 | 71,416 | |
30,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 122, 1.800%, 9/20/2030 | 226,140 | |
30,000,000 | Japan, Government of, Sr. Unsecd. Note, Series 153, 1.300%, 6/20/2035 | 217,395 | |
66,500,000 | Japan, Government of, Sr. Unsecd. Note, Series 44, 1.700%, 9/20/2044 | 481,541 | |
TOTAL JAPANESE YEN | 996,492 | ||
MEXICAN PESO—3.6% | |||
Sovereign—3.6% | |||
12,800,000 | Mexico, Government of, Sr. Unsecd. Note, Series M, 5.750%, 3/5/2026 | 679,243 | |
POLISH ZLOTY—0.6% | |||
Sovereign—0.6% | |||
500,000 | Poland, Government of, Unsecd. Note, Series 0726, 2.500%, 7/25/2026 | 112,379 | |
SWEDISH KRONA—0.3% | |||
Sovereign—0.3% | |||
750,000 | Sweden, Government of, Series 1059, 1.000%, 11/12/2026 | 64,141 | |
U.S. DOLLAR—6.8% | |||
Banking—1.3% | |||
$250,000 | Credit Agricole London, Sr. Unsecd. Note, 144A, 3.250%, 10/4/2024 | 242,997 | |
Oil & Gas—1.4% | |||
300,000 | Korea National Oil Corp., Sr. Unsecd. Note, 144A, 2.125%, 4/18/2027 | 270,077 | |
Telecommunications & Cellular—1.3% | |||
280,000 | America Movil S.A.B. de C.V., Sr. Unsecd. Note, 3.625%, 4/22/2029 | 257,381 | |
Utilities—2.8% | |||
300,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 293,829 | |
250,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.875%, 6/14/2029 | 239,275 | |
TOTAL | 533,104 | ||
TOTAL U.S. DOLLAR | 1,303,559 | ||
TOTAL BONDS (IDENTIFIED COST $12,801,933) | 10,999,094 |
2
Foreign Currency Par Amount, Principal Amount or Shares | Value in U.S. Dollars | ||
U.S. TREASURIES—26.8% | |||
$350,000 | United States Treasury Bond, 2.875%, 5/15/2043 | $278,523 | |
760,000 | United States Treasury Bond, 2.875%, 11/15/2046 | 590,770 | |
430,000 | United States Treasury Bond, 3.250%, 5/15/2042 | 366,924 | |
520,000 | United States Treasury Bond, 4.500%, 2/15/2036 | 543,237 | |
680,000 | United States Treasury Note, 0.625%, 8/15/2030 | 535,525 | |
650,000 | 1 | United States Treasury Note, 0.750%, 8/31/2026 | 581,827 |
1,450,000 | United States Treasury Note, 1.500%, 2/15/2025 | 1,376,360 | |
880,000 | 1 | United States Treasury Note, 2.875%, 8/15/2028 | 824,798 |
TOTAL U.S. TREASURIES (IDENTIFIED COST $5,607,192) | 5,097,964 | ||
INVESTMENT COMPANIES—14.5% | |||
46,073 | Emerging Markets Core Fund | 364,441 | |
252,538 | Mortgage Core Fund | 2,078,384 | |
35,750 | Project and Trade Finance Core Fund | 312,455 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $3,158,639) | 2,755,280 | ||
TOTAL INVESTMENT IN SECURITIES—99.1% (IDENTIFIED COST $21,567,764) | 18,852,338 | ||
OTHER ASSETS AND LIABILITIES - NET—0.9%2 | 161,658 | ||
TOTAL NET ASSETS—100% | $19,013,996 |
At August 31, 2023, the Fund had the following outstanding futures contracts:
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
EURO-BUND Long Futures | 1 | EUR 144,425 | September 2023 | $(751) |
EURO-SCHATZ Long Futures | 1 | EUR 113,987 | September 2023 | $(370) |
United States Treasury Notes 2 Year Long Futures | 6 | $1,222,828 | December 2023 | $3,922 |
United States Treasury Notes 10 Year Ultra Long Futures | 8 | $928,875 | December 2023 | $9,733 |
Short Futures: | ||||
United States Treasury Notes 10 Year Short Futures | 4 | $444,125 | December 2023 | $(3,384) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $9,150 |
The average notional value of long and short futures contracts held by the Fund throughout the period was $1,757,167 and $691,847, respectively. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
The average market value of purchased put and call options held by the Fund throughout the period was $5,186 and $3,189, respectively. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
The average market value of written put and call options held by the Fund throughout the period was $1,043 and $255, respectively. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
At August 31, 2023, the Fund had the following open swap contracts:
Counterparty | Reference Entity | Buy/ Sell | Pay/ Receive Fixed Rate | Expiration Date | Implied Credit Spread at 8/31/20233 | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Depreciation |
OTC Swap: | |||||||||
Citigroup Global Markets, Inc. | CDX Index HY Series 40 | Buy | 5.00% | 6/20/2028 | 0.35% | $500,000 | $(14,099) | $(12,043) | $(2,056) |
3
The average notional amount of credit default swap contracts held by the Fund throughout the period was $230,000. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
At August 31, 2023, the Fund had the following outstanding foreign exchange contracts:
Settlement Date | Counterparty | Foreign Currency Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) |
Contracts Purchased: | ||||
9/20/2023 | Credit Agricole | $600,000 | 86,363,628 JPY | $4,509 |
9/20/2023 | Morgan Stanley | $600,000 | 82,589,400 JPY | $30,533 |
9/29/2023 | BNP Paribas | $100,000 | 1,014,835 NOK | $4,459 |
9/29/2023 | BNY Mellon | $650,000 | 11,318,846 MXN | $(10,454) |
9/29/2023 | Citibank | 210,000 EUR | 4,002,510 MXN | $(5,515) |
9/29/2023 | Citibank | 4,670,000 THB | $133,472 | $274 |
9/29/2023 | JPMorgan | 900,000 AUD | $582,124 | $1,656 |
9/29/2023 | JPMorgan | 80,000 EUR | 1,513,245 MXN | $(1,429) |
9/29/2023 | JPMorgan | 405,000 GBP | $522,620 | $(9,497) |
9/29/2023 | JPMorgan | $600,000 | 2,473,940 PLN | $1,326 |
9/29/2023 | Morgan Stanley | 80,000 EUR | 1,519,428 MXN | $(1,789) |
9/29/2023 | Morgan Stanley | $150,000 | 2,595,489 MXN | $(1,447) |
9/29/2023 | Morgan Stanley | $190,000 | 3,228,254 MXN | $1,631 |
9/29/2023 | Morgan Stanley | $200,000 | 27,421,432 JPY | $10,653 |
9/29/2023 | Morgan Stanley | $200,000 | 27,366,118 JPY | $11,035 |
9/29/2023 | Morgan Stanley | $700,000 | 2,840,541 PLN | $12,611 |
9/29/2023 | State Street | 600,000 BRL | $120,909 | $(316) |
9/29/2023 | State Street | 170,000 EUR | $187,165 | $(2,568) |
9/29/2023 | State Street | 100,000 GBP | $126,915 | $(218) |
9/29/2023 | State Street | $200,000 | 27,974,136 JPY | $6,836 |
9/29/2023 | UBS Securities LLC | 1,500,000,000 IDR | $99,974 | $(1,503) |
10/2/2023 | Morgan Stanley | 320,000,000 KRW | $247,965 | $(5,437) |
10/10/2023 | BNP Paribas | 2,500,000 CNY | $349,093 | $(4,706) |
10/10/2023 | Morgan Stanley | 1,800,000 CNY | $251,366 | $(3,408) |
11/6/2023 | Bank of America | 42,333 AUD | $27,442 | $56 |
11/6/2023 | Bank of America | 85,078 CAD | $62,781 | $243 |
11/6/2023 | Bank of America | 26,393 CHF | $30,437 | $(337) |
11/6/2023 | Bank of America | 56,769 EUR | $62,599 | $(837) |
11/6/2023 | Bank of America | 107,846 EUR | $118,165 | $(834) |
11/6/2023 | Bank of America | 31,674 GBP | $40,287 | $(156) |
11/6/2023 | Bank of America | 7,501,599 JPY | $51,847 | $280 |
11/6/2023 | BNP Paribas | 28,139 AUD | $18,282 | $(4) |
11/6/2023 | BNP Paribas | 44,237 AUD | $29,037 | $(302) |
11/6/2023 | BNY Mellon | 48,458 GBP | $61,687 | $(291) |
11/6/2023 | BNY Mellon | 50,140 GBP | $63,938 | $(411) |
11/6/2023 | BNY Mellon | 11,667,779 JPY | $82,497 | $(1,420) |
11/6/2023 | Citibank | 43,178 AUD | $28,009 | $37 |
11/6/2023 | Citibank | 8,798 CHF | $10,152 | $(118) |
11/6/2023 | Citibank | 11,140,821 JPY | $77,901 | $(485) |
11/6/2023 | Citibank | 947,563 MXN | $54,591 | $302 |
11/6/2023 | Credit Agricole | 162,857 EUR | $177,377 | $(198) |
11/6/2023 | Credit Agricole | 170,045 EUR | $187,691 | $(2,692) |
11/6/2023 | JPMorgan | 56,555 CAD | $41,832 | $63 |
11/6/2023 | JPMorgan | 25,034 CHF | $28,722 | $(172) |
11/6/2023 | JPMorgan | 16,679 GBP | $21,306 | $(173) |
11/6/2023 | JPMorgan | 312,049 MXN | $18,174 | $(97) |
11/6/2023 | JPMorgan | 585,202 MXN | $34,546 | $(645) |
4
Settlement Date | Counterparty | Foreign Currency Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) |
11/6/2023 | Morgan Stanley | 16,690 CHF | $19,130 | $(96) |
11/6/2023 | Morgan Stanley | 25,547 CHF | $29,345 | $(211) |
11/6/2023 | Morgan Stanley | 165,220 EUR | $181,074 | $(1,324) |
11/6/2023 | Morgan Stanley | 47,601 GBP | $60,465 | $(154) |
11/6/2023 | Morgan Stanley | 3,890,616 JPY | $27,537 | $(502) |
11/6/2023 | Morgan Stanley | 882,953 MXN | $51,784 | $(634) |
11/6/2023 | Morgan Stanley | 916,042 MXN | $52,753 | $314 |
11/6/2023 | State Street | 14,594 AUD | $9,679 | $(200) |
11/6/2023 | State Street | 29,382 CAD | $22,133 | $(367) |
11/6/2023 | State Street | 86,337 CAD | $64,090 | $(132) |
11/6/2023 | State Street | 89,068 CAD | $66,420 | $(440) |
11/6/2023 | State Street | 11,433,506 JPY | $79,562 | $(112) |
11/16/2023 | Barclays | 88,000 BRL | $17,424 | $150 |
11/16/2023 | Goldman Sachs | 88,000 BRL | 15,934 EUR | $231 |
Contracts Sold: | ||||
9/20/2023 | Citibank | $600,000 | 82,990,122 JPY | $(27,770) |
9/20/2023 | State Street | $600,000 | 85,512,294 JPY | $(10,380) |
9/29/2023 | Barclays | 405,000 GBP | $520,493 | $7,370 |
9/29/2023 | BNP Paribas | 500,000 BRL | $102,597 | $2,103 |
9/29/2023 | BNP Paribas | $231,000 | 943,971 PLN | $(2,566) |
9/29/2023 | BNY Mellon | 170,000 EUR | $188,910 | $4,312 |
9/29/2023 | Citibank | $100,000 | 1,074,534 NOK | $1,162 |
9/29/2023 | Goldman Sachs | 550,000 EUR | 923,368 AUD | $1,711 |
9/29/2023 | HSBC | 100,000 BRL | $20,643 | $544 |
9/29/2023 | HSBC | $150,000 | 132,678 CHF | $671 |
9/29/2023 | JPMorgan | 900,000 AUD | $582,532 | $(1,248) |
9/29/2023 | Morgan Stanley | 366,866 PLN | $90,000 | $1,221 |
9/29/2023 | Morgan Stanley | 500,000 EUR | 9,543,654 MXN | $13,939 |
9/29/2023 | Morgan Stanley | 150,000 GBP | $193,419 | $3,373 |
9/29/2023 | Morgan Stanley | $400,000 | 1,654,668 PLN | $417 |
9/29/2023 | State Street | 50,000 GBP | $63,738 | $389 |
9/29/2023 | State Street | 1,500,000,000 IDR | $97,684 | $(787) |
9/29/2023 | State Street | $2,320,000 | 329,292,680 JPY | $(46,206) |
9/29/2023 | Wells Fargo | 395,000 BRL | $80,262 | $872 |
10/10/2023 | Barclays | 2,500,000 CNY | $348,088 | $3,701 |
11/6/2023 | Bank of America | 14,594 AUD | $9,602 | $122 |
11/6/2023 | Bank of America | 56,769 EUR | $62,494 | $733 |
11/6/2023 | BNP Paribas | 43,178 AUD | $27,816 | $(231) |
11/6/2023 | BNP Paribas | 29,639 AUD | $19,497 | $245 |
11/6/2023 | BNP Paribas | 14,598 AUD | $9,644 | $161 |
11/6/2023 | BNP Paribas | 29,392 CAD | $21,996 | $222 |
11/6/2023 | BNP Paribas | 113,930 EUR | $126,048 | $2,099 |
11/6/2023 | BNY Mellon | 11,433,506 JPY | $79,174 | $(275) |
11/6/2023 | BNY Mellon | 3,890,616 JPY | $27,572 | $536 |
11/6/2023 | Credit Agricole | 8,798 CHF | $10,102 | $69 |
11/6/2023 | JPMorgan | 25,547 CHF | $29,282 | $148 |
11/6/2023 | JPMorgan | 17,683 CHF | $20,426 | $259 |
11/6/2023 | JPMorgan | 56,115 EUR | $62,217 | $1,168 |
11/6/2023 | JPMorgan | 33,594 GBP | $42,800 | $237 |
11/6/2023 | JPMorgan | 16,679 GBP | $21,195 | $63 |
11/6/2023 | JPMorgan | 16,546 GBP | $21,144 | $180 |
5
Settlement Date | Counterparty | Foreign Currency Units to Receive/Deliver | In Exchange For | Unrealized Appreciation (Depreciation) |
11/6/2023 | JPMorgan | 7,817,412 JPY | $54,862 | $540 |
11/6/2023 | JPMorgan | 3,850,367 JPY | $27,077 | $321 |
11/6/2023 | Morgan Stanley | 59,675 CAD | $44,588 | $381 |
11/6/2023 | Morgan Stanley | 29,382 CAD | $22,065 | $299 |
11/6/2023 | Morgan Stanley | 8,710 CHF | $10,080 | $147 |
11/6/2023 | Morgan Stanley | 165,220 EUR | $180,442 | $693 |
11/6/2023 | Morgan Stanley | 48,458 GBP | $61,687 | $291 |
11/6/2023 | Morgan Stanley | 916,041 MXN | $52,800 | $(267) |
11/6/2023 | Morgan Stanley | 634,867 MXN | $36,917 | $139 |
11/6/2023 | Morgan Stanley | 312,696 MXN | $18,178 | $63 |
11/6/2023 | Morgan Stanley | 312,049 MXN | $18,116 | $39 |
11/6/2023 | State Street | 86,337 CAD | $63,853 | $(104) |
11/15/2023 | Barclays | $15,000 | 25,200 NZD | $29 |
11/15/2023 | BNY Mellon | $37,500 | 5,374,695 JPY | $(100) |
11/15/2023 | HSBC | 10,000 GBP | 21,243 NZD | $(1) |
11/15/2023 | Morgan Stanley | $14,500 | 22,312 AUD | $(2) |
11/15/2023 | State Street | 10,000 GBP | 19,479 AUD | $(13) |
11/15/2023 | Wells Fargo | $46,313 | 42,295 EUR | $(279) |
11/16/2023 | Barclays | 88,000 BRL | 16,262 EUR | $126 |
11/16/2023 | State Street | 88,000 BRL | $17,694 | $120 |
NET UNREALIZED DEPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $(13,446) |
The average value at settlement date payable and receivable of foreign exchange contracts purchased and sold by the Fund throughout the period was $317,348 and $277,460, respectively. This is based on the contracts held as of each month-end throughout the nine-month fiscal period.
Net Unrealized Appreciation (Depreciation) on Futures Contracts, Foreign Exchange Contracts, and Swap Contracts are 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 August 31, 2023, were as follows:
Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares | Project and Trade Finance Core Fund | Emerging Markets Core Fund | Mortgage Core Fund | Total of Affiliated Transactions | |
Value as of 11/30/2022 | $631,162 | $478,170 | $7,788 | $3,016,886 | $4,134,006 |
Purchases at Cost | 4,915,629 | 32,324 | 1,496,561 | 71,398 | 6,515,912 |
Proceeds from Sales | (5,546,922) | (200,000) | (1,120,000) | (955,000) | (7,821,922) |
Change in Unrealized Appreciation/(Depreciation) | $23 | $19,424 | $(11,135) | $(27,801) | $(19,489) |
Net Realized Gain/(Loss) | $108 | $(17,463) | $(8,773) | $(27,099) | $(53,227) |
Value as of 8/31/2023 | $— | $312,455 | $364,441 | $2,078,384 | $2,755,280 |
Shares Held as of 8/31/2023 | — | 35,750 | 46,073 | 252,538 | 334,361 |
Dividend Income | $9,520 | $32,534 | $26,564 | $72,044 | $140,662 |
1
All or a portion of this security is pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding futures contracts.
2
Assets, other than investments in securities, less liabilities.
3
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.
Note: The categories of investments are shown as a percentage of total net assets at August 31, 2023.
6
Investment Valuation
In calculating its 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”).
◾ 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.
◾ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs, or NAV per share practical expedient, as applicable.
◾ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer’s financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.
If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Adviser's valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion of the Adviser’s valuation committee (“Valuation Committee”), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.
Fair Valuation 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 Trustees’ oversight and certain reporting and other requirements intended to provide the Trustees the information needed to oversee the Adviser’s fair value determinations.
The Adviser, acting through its Valuation Committee, is responsible for determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of the Adviser and certain of the Adviser’s affiliated companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is also authorized to use pricing services to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services’ policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Adviser. The 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 principally traded 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.
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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.
The following is a summary of the inputs used, as of August 31, 2023, in valuing the Fund's assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Bonds | $— | $10,999,094 | $— | $10,999,094 |
U.S. Treasuries | — | 5,097,964 | — | 5,097,964 |
Investment Companies1 | 2,442,825 | — | — | 2,755,280 |
TOTAL SECURITIES | $2,442,825 | $16,097,058 | $— | $18,852,338 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $13,655 | $— | $— | $13,655 |
Foreign Exchange Contracts | — | 138,414 | — | 138,414 |
Liabilities | ||||
Futures Contracts | (4,505) | — | — | (4,505) |
Foreign Exchange Contracts | — | (151,860) | — | (151,860) |
Swap Contracts | — | (14,099) | — | (14,099) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $9,150 | $(27,545) | $— | $(18,395) |
1
As permitted by U.S. generally accepted accounting principles (GAAP), an Investment Company valued at $312,455 is measured at fair value using the net asset value (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 may be determined as of the closing NAV of the fund up to 24 days after receipt of a shareholder redemption request.
The following acronym(s) are used throughout this portfolio:
AUD | —Australian Dollar |
BRL | —Brazilian Real |
CAD | —Canadian Dollar |
CHF | —Swiss Franc |
CNY | —Chinese Yuan Renminbi |
EMTN | —Euro Medium Term Note |
EUR | —Euro |
GBP | —Great British Pound |
IDR | —Indonesian Rupiah |
JPY | —Japanese Yen |
KRW | —South Korean Won |
MXN | —Mexican Peso |
NOK | —Norwegian Krone |
NZD | —New Zealand Dollar |
PLN | —Polish Zloty |
THB | —Thai Baht |
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