Federated Hermes Strategic Income Fund
Portfolio of Investments
August 31, 2022 (unaudited)
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—5.2% | |||
Basic Industry - Chemicals—0.0% | |||
$ 135,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | $ 129,363 | |
Basic Industry - Metals & Mining—0.1% | |||
200,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 3.625%, 9/11/2024 | 196,172 | |
75,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 66,535 | |
55,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 36,871 | |
200,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | 226,257 | |
TOTAL | 525,835 | ||
Capital Goods - Aerospace & Defense—0.1% | |||
80,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 77,580 | |
100,000 | Boeing Co., Sr. Unsecd. Note, 2.196%, 2/4/2026 | 91,548 | |
215,000 | Boeing Co., Sr. Unsecd. Note, 3.625%, 2/1/2031 | 190,464 | |
30,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 20,877 | |
160,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 148,868 | |
65,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 2.300%, 2/15/2031 | 51,113 | |
35,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | 34,219 | |
100,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 92,465 | |
85,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 3.250%, 1/15/2028 | 80,715 | |
200,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 200,789 | |
TOTAL | 988,638 | ||
Capital Goods - Building Materials—0.0% | |||
20,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 17,649 | |
80,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 77,950 | |
140,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 129,652 | |
35,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.722%, 2/15/2030 | 30,278 | |
TOTAL | 255,529 | ||
Capital Goods - Construction Machinery—0.3% | |||
3,390,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 2.450%, 8/12/2031 | 2,668,185 | |
195,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 184,961 | |
100,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 96,505 | |
TOTAL | 2,949,651 | ||
Capital Goods - Diversified Manufacturing—0.1% | |||
90,000 | Lennox International, Inc., Sr. Unsecd. Note, 1.350%, 8/1/2025 | 81,986 | |
100,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 1.750%, 2/15/2031 | 78,511 | |
90,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 82,614 | |
80,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.250%, 10/1/2054 | 76,099 | |
65,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 1.800%, 4/1/2026 | 56,944 | |
25,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 2.950%, 4/1/2031 | 19,266 | |
90,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 86,169 | |
65,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 54,161 | |
TOTAL | 535,750 | ||
Communications - Cable & Satellite—0.0% | |||
65,000 | Charter Communications Operating LLC, 5.375%, 5/1/2047 | 55,509 | |
50,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | 32,032 | |
200,000 | Comcast Corp., Sr. Unsecd. Note, 3.150%, 2/15/2028 | 190,082 |
1
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Communications - Cable & Satellite—continued | |||
$ 30,000 | Comcast Corp., Sr. Unsecd. Note, 3.450%, 2/1/2050 | $ 23,700 | |
200,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 199,775 | |
TOTAL | 501,098 | ||
Communications - Media & Entertainment—0.1% | |||
35,000 | Alphabet, Inc., Sr. Unsecd. Note, 1.900%, 8/15/2040 | 24,724 | |
150,000 | Netflix, Inc., Sr. Unsecd. Note, 4.875%, 4/15/2028 | 146,074 | |
25,000 | Paramount Global, Sr. Unsecd. Note, 4.000%, 1/15/2026 | 24,617 | |
100,000 | Paramount Global, Sr. Unsecd. Note, 4.200%, 5/19/2032 | 88,091 | |
40,000 | Paramount Global, Sr. Unsecd. Note, 4.950%, 5/19/2050 | 32,724 | |
300,000 | Walt Disney Co., Sr. Unsecd. Note, 2.650%, 1/13/2031 | 264,753 | |
TOTAL | 580,983 | ||
Communications - Telecom Wireless—0.0% | |||
235,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 237,432 | |
140,000 | Crown Castle, Inc., Sr. Unsecd. Note, 5.200%, 2/15/2049 | 133,094 | |
60,000 | T-Mobile USA, Inc., 3.300%, 2/15/2051 | 43,040 | |
100,000 | T-Mobile USA, Inc., Series WI, 2.700%, 3/15/2032 | 83,378 | |
TOTAL | 496,944 | ||
Communications - Telecom Wirelines—0.1% | |||
100,000 | AT&T, Inc., Sr. Unsecd. Note, 0.900%, 3/25/2024 | 95,540 | |
100,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 91,331 | |
175,000 | AT&T, Inc., Sr. Unsecd. Note, 2.550%, 12/1/2033 | 139,590 | |
100,000 | AT&T, Inc., Sr. Unsecd. Note, 2.750%, 6/1/2031 | 85,779 | |
40,000 | AT&T, Inc., Sr. Unsecd. Note, 3.850%, 6/1/2060 | 30,398 | |
85,000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | 83,681 | |
150,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 144A, 4.500%, 3/15/2042 | 132,759 | |
50,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.000%, 3/22/2027 | 47,341 | |
65,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.550%, 3/22/2051 | 51,158 | |
TOTAL | 757,577 | ||
Consumer Cyclical - Automotive—0.6% | |||
1,870,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | 1,595,029 | |
100,000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | 84,306 | |
50,000 | General Motors Co., Sr. Unsecd. Note, 5.400%, 4/1/2048 | 43,756 | |
1,500,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.350%, 2/26/2027 | 1,331,459 | |
25,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.150%, 6/19/2023 | 24,995 | |
50,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 0.800%, 1/8/2024 | 47,532 | |
60,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | 59,541 | |
3,000,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 3.000%, 2/10/2027 | 2,742,119 | |
200,000 | Stellantis N.V., Sr. Unsecd. Note, 5.250%, 4/15/2023 | 201,141 | |
TOTAL | 6,129,878 | ||
Consumer Cyclical - Leisure—0.1% | |||
100,000 | Magallanes, Inc., Sr. Unsecd. Note, 144A, 4.279%, 3/15/2032 | 87,210 | |
1,645,000 | Magallanes, Inc., Sr. Unsecd. Note, 144A, 5.050%, 3/15/2042 | 1,347,328 | |
TOTAL | 1,434,538 | ||
Consumer Cyclical - Retailers—0.1% | |||
160,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 144,088 | |
50,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.550%, 7/26/2027 | 46,945 | |
100,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 74,931 | |
25,000 | AutoNation, Inc., Sr. Unsecd. Note, 2.400%, 8/1/2031 | 19,220 | |
60,000 | AutoNation, Inc., Sr. Unsecd. Note, 3.850%, 3/1/2032 | 51,456 | |
45,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.500%, 10/1/2025 | 44,796 |
2
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Retailers—continued | |||
$ 20,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | $ 18,750 | |
75,000 | CVS Health Corp., Sr. Unsecd. Note, 2.625%, 8/15/2024 | 73,261 | |
125,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 120,582 | |
60,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.700%, 4/15/2030 | 54,095 | |
120,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 112,192 | |
TOTAL | 760,316 | ||
Consumer Cyclical - Services—0.1% | |||
50,000 | Amazon.com, Inc., Sr. Unsecd. Note, 2.100%, 5/12/2031 | 43,104 | |
250,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 241,544 | |
200,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 197,295 | |
120,000 | Visa, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2027 | 114,733 | |
TOTAL | 596,676 | ||
Consumer Non-Cyclical - Food/Beverage—0.1% | |||
60,000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.700%, 2/1/2036 | 58,123 | |
250,000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 237,797 | |
50,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.600%, 4/15/2048 | 45,431 | |
150,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 1.850%, 9/1/2032 | 118,271 | |
150,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 135,638 | |
50,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.400%, 11/15/2025 | 50,078 | |
100,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 5.250%, 11/15/2048 | 97,711 | |
35,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 29,179 | |
50,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 47,630 | |
90,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.832%, 10/15/2027 | 77,190 | |
50,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.000%, 6/1/2026 | 47,359 | |
100,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 85,099 | |
35,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 2.500%, 4/15/2030 | 30,193 | |
90,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 73,463 | |
155,000 | Sysco Corp., Sr. Unsecd. Note, 3.300%, 7/15/2026 | 150,136 | |
75,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 66,471 | |
TOTAL | 1,349,769 | ||
Consumer Non-Cyclical - Health Care—0.1% | |||
55,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 2.100%, 6/4/2030 | 45,311 | |
45,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 40,575 | |
150,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 103,151 | |
85,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 1.900%, 9/15/2028 | 71,811 | |
170,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 151,494 | |
100,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 1.215%, 10/18/2024 | 94,629 | |
TOTAL | 506,971 | ||
Consumer Non-Cyclical - Pharmaceuticals—0.1% | |||
150,000 | AbbVie, Inc., Sr. Unsecd. Note, 2.950%, 11/21/2026 | 141,573 | |
90,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | 82,271 | |
200,000 | AstraZeneca PLC, Sr. Unsecd. Note, 4.000%, 1/17/2029 | 199,981 | |
90,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 73,638 | |
24,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 3.400%, 7/26/2029 | 22,922 | |
55,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.250%, 10/26/2049 | 51,054 | |
50,000 | Royalty Pharma PLC, Sr. Unsecd. Note, Series WI, 0.750%, 9/2/2023 | 48,193 | |
50,000 | Royalty Pharma PLC, Sr. Unsecd. Note, Series WI, 1.200%, 9/2/2025 | 45,487 | |
TOTAL | 665,119 | ||
Consumer Non-Cyclical - Products—0.0% | |||
75,000 | Church & Dwight Co., Inc., Sr. Unsecd. Note, 2.300%, 12/15/2031 | 63,249 |
3
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Products—continued | |||
$ 150,000 | Procter & Gamble Co., Sr. Unsecd. Note, 3.000%, 3/25/2030 | $ 141,398 | |
TOTAL | 204,647 | ||
Consumer Non-Cyclical - Supermarkets—0.0% | |||
75,000 | Kroger Co., Sr. Unsecd. Note, 4.450%, 2/1/2047 | 68,202 | |
Consumer Non-Cyclical - Tobacco—0.0% | |||
80,000 | Altria Group, Inc., Sr. Unsecd. Note, 2.450%, 2/4/2032 | 60,521 | |
80,000 | Altria Group, Inc., Sr. Unsecd. Note, 2.625%, 9/16/2026 | 74,838 | |
100,000 | Altria Group, Inc., Sr. Unsecd. Note, 3.700%, 2/4/2051 | 65,248 | |
50,000 | BAT Capital Corp., Sr. Unsecd. Note, 3.984%, 9/25/2050 | 34,055 | |
100,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 101,273 | |
TOTAL | 335,935 | ||
Energy - Independent—0.0% | |||
170,000 | Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041 | 164,340 | |
50,000 | Marathon Oil Corp., Sr. Unsecd. Note, 5.200%, 6/1/2045 | 45,549 | |
TOTAL | 209,889 | ||
Energy - Integrated—0.0% | |||
75,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027 | 73,955 | |
300,000 | Exxon Mobil Corp., Sr. Unsecd. Note, 3.482%, 3/19/2030 | 287,599 | |
75,000 | Shell International Finance B.V., Sr. Unsecd. Note, 2.750%, 4/6/2030 | 67,398 | |
70,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | 62,470 | |
TOTAL | 491,422 | ||
Energy - Midstream—0.2% | |||
70,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 67,175 | |
65,000 | Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.900%, 11/15/2049 | 51,998 | |
250,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 251,064 | |
75,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 4.150%, 2/1/2024 | 75,000 | |
100,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 101,670 | |
150,000 | MPLX LP, Sr. Unsecd. Note, 4.950%, 3/14/2052 | 132,589 | |
100,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.550%, 7/15/2028 | 97,029 | |
50,000 | ONEOK, Inc., Sr. Unsecd. Note, 5.200%, 7/15/2048 | 44,749 | |
720,000 | Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033 | 647,240 | |
115,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 111,890 | |
TOTAL | 1,580,404 | ||
Energy - Refining—0.4% | |||
2,500,000 | Valero Energy Corp., Sr. Unsecd. Note, 3.650%, 12/1/2051 | 1,908,918 | |
160,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 4/1/2029 | 152,389 | |
2,185,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 6/1/2052 | 1,765,784 | |
TOTAL | 3,827,091 | ||
Financial Institution - Banking—0.5% | |||
150,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 148,372 | |
90,000 | Bank of America Corp., Sr. Unsecd. Note, 2.299%, 7/21/2032 | 71,909 | |
100,000 | Bank of America Corp., Sr. Unsecd. Note, 2.572%, 10/20/2032 | 81,813 | |
350,000 | Bank of America Corp., Sr. Unsecd. Note, 2.687%, 4/22/2032 | 290,419 | |
100,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.884%, 10/22/2030 | 86,945 | |
250,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 248,042 | |
200,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.992%, 6/13/2028 | 195,457 | |
95,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 94,709 | |
275,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.561%, 5/1/2032 | 225,117 | |
270,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 260,618 | |
270,000 | Citizens Financial Group, Inc., Sub. Note, 2.638%, 9/30/2032 | 215,029 |
4
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$ 200,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | $ 197,930 | |
100,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 97,139 | |
55,000 | FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 54,414 | |
90,000 | FNB Corp. (PA), Sr. Unsecd. Note, 5.150%, 8/25/2025 | 90,089 | |
100,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.615%, 4/22/2032 | 82,695 | |
100,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.102%, 2/24/2033 | 85,152 | |
350,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.814%, 4/23/2029 | 327,927 | |
55,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 0.824%, 6/1/2025 | 51,469 | |
525,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.580%, 4/22/2032 | 434,112 | |
100,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.963%, 1/25/2033 | 85,005 | |
90,000 | Morgan Stanley, Sr. Unsecd. Note, 1.593%, 5/4/2027 | 80,261 | |
250,000 | Morgan Stanley, Sr. Unsecd. Note, 3.625%, 1/20/2027 | 243,039 | |
60,000 | Morgan Stanley, Sr. Unsecd. Note, 4.889%, 7/20/2033 | 59,794 | |
200,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.239%, 7/21/2032 | 161,236 | |
100,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.928%, 4/28/2032 | 79,274 | |
60,685 | 1 | Regional Diversified Funding, 144A, 9.250%, 3/15/2030 | 25,488 |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 192,174 | |
100,000 | US Bancorp, Sr. Unsecd. Note, Series MTN, 1.375%, 7/22/2030 | 80,045 | |
225,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 212,712 | |
275,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.879%, 10/30/2030 | 241,448 | |
150,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 4.897%, 7/25/2033 | 147,763 | |
TOTAL | 4,947,596 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.0% | |||
70,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 53,824 | |
Financial Institution - Finance Companies—0.0% | |||
250,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.400%, 10/29/2033 | 196,003 | |
Financial Institution - Insurance - Life—0.1% | |||
200,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 200,708 | |
150,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 136,781 | |
180,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 155,032 | |
50,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 2.125%, 6/15/2030 | 41,457 | |
TOTAL | 533,978 | ||
Financial Institution - REIT - Apartment—0.0% | |||
195,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 185,816 | |
165,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | 135,140 | |
TOTAL | 320,956 | ||
Financial Institution - REIT - Healthcare—0.4% | |||
160,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 155,329 | |
115,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031 | 96,776 | |
5,000,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2032 | 4,146,649 | |
TOTAL | 4,398,754 | ||
Financial Institution - REIT - Office—0.2% | |||
1,680,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 2.950%, 3/15/2034 | 1,418,414 | |
90,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 87,931 | |
110,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | 105,939 | |
210,000 | Boston Properties LP, Sr. Unsecd. Note, 4.500%, 12/1/2028 | 204,633 | |
40,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | 30,536 | |
TOTAL | 1,847,453 | ||
Financial Institution - REIT - Other—0.0% | |||
40,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.250%, 10/1/2026 | 38,971 |
5
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Other—continued | |||
$ 135,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | $ 135,450 | |
TOTAL | 174,421 | ||
Financial Institution - REIT - Retail—0.0% | |||
120,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 115,501 | |
Health Insurance—0.4% | |||
5,225,000 | Centene Corp., Sr. Unsecd. Note, 2.625%, 8/1/2031 | 4,179,425 | |
Technology—0.2% | |||
50,000 | Apple, Inc., Sr. Unsecd. Note, 3.000%, 11/13/2027 | 47,970 | |
100,000 | Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044 | 98,942 | |
72,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 65,731 | |
3,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036 | 2,232 | |
60,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.419%, 4/15/2033 | 49,537 | |
155,000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 139,771 | |
50,000 | Dell International LLC / EMC Corp., Sr. Unsecd. Note, 6.020%, 6/15/2026 | 51,958 | |
85,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 82,198 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 192,009 | |
110,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 100,809 | |
125,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 122,776 | |
30,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.185%, 2/15/2027 | 29,230 | |
150,000 | Microsoft Corp., Sr. Unsecd. Note, 3.300%, 2/6/2027 | 147,510 | |
200,000 | Oracle Corp., Sr. Unsecd. Note, 3.250%, 11/15/2027 | 184,711 | |
75,000 | Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050 | 51,144 | |
25,000 | Skyworks Solutions, Inc., Sr. Unsecd. Note, 1.800%, 6/1/2026 | 22,283 | |
80,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 79,402 | |
45,000 | VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026 | 39,712 | |
45,000 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 35,153 | |
TOTAL | 1,543,078 | ||
Technology Services—0.3% | |||
3,000,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2027 | 2,667,587 | |
45,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 37,001 | |
TOTAL | 2,704,588 | ||
Transportation - Railroads—0.0% | |||
90,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 1.750%, 12/2/2026 | 81,710 | |
65,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 57,328 | |
TOTAL | 139,038 | ||
Transportation - Services—0.2% | |||
80,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 3.300%, 12/1/2026 | 75,784 | |
140,000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 2.650%, 7/15/2031 | 106,472 | |
75,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.400%, 11/15/2026 | 70,442 | |
2,310,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 1.750%, 9/1/2026 | 2,081,727 | |
TOTAL | 2,334,425 | ||
Utility - Electric—0.3% | |||
65,000 | Ameren Corp., Sr. Unsecd. Note, 1.950%, 3/15/2027 | 58,191 | |
1,435,000 | American Electric Power Co., Inc., Jr. Sub. Note, 2.031%, 3/15/2024 | 1,390,687 | |
50,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 41,532 | |
25,000 | Black Hills Corp., Sr. Unsecd. Note, 3.875%, 10/15/2049 | 19,717 | |
175,000 | CenterPoint Energy, Inc., Sr. Unsecd. Note, 2.650%, 6/1/2031 | 149,627 | |
110,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series A, 1.450%, 4/15/2026 | 100,154 | |
200,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.450%, 6/1/2030 | 169,114 | |
80,000 | Duke Energy Corp., Sr. Unsecd. Note, 3.950%, 8/15/2047 | 66,000 |
6
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—continued | |||
$ 30,000 | Exelon Corp., Sr. Unsecd. Note, 144A, 4.100%, 3/15/2052 | $ 25,998 | |
40,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 34,923 | |
140,000 | Kansas City Power and Light Co., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 124,897 | |
30,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 1.000%, 6/15/2026 | 26,924 | |
110,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 2.950%, 2/7/2024 | 108,789 | |
45,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.490%, 5/15/2027 | 43,092 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 57,354 | |
55,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 47,909 | |
185,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 171,761 | |
185,000 | Virginia Electric & Power Co., Sr. Unsecd. Note, Series A, 3.500%, 3/15/2027 | 180,308 | |
55,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 2.200%, 12/15/2028 | 47,709 | |
TOTAL | 2,864,686 | ||
Utility - Natural Gas—0.0% | |||
30,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 24,559 | |
100,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 101,100 | |
180,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 160,646 | |
TOTAL | 286,305 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $60,839,562) | 52,522,256 | ||
U.S. TREASURIES—4.9% | |||
Treasury Securities—4.9% | |||
20,000,000 | United States Treasury Bond, 3.000%, 8/15/2052 | 18,896,876 | |
10,000,000 | United States Treasury Note, 0.125%, 4/30/2023 | 9,788,672 | |
7,000,000 | United States Treasury Note, 1.500%, 1/31/2027 | 6,457,500 | |
15,000,000 | United States Treasury Note, 3.000%, 6/30/2024 | 14,866,992 | |
TOTAL U.S. TREASURIES (IDENTIFIED COST $51,053,242) | 50,010,040 | ||
MORTGAGE-BACKED SECURITIES—4.3% | |||
Federal National Mortgage Association—4.3% | |||
14,726,949 | Federal National Mortgage Association, Pool CB3914, 4.000%, 6/1/2052 | 14,393,169 | |
10,763,558 | Federal National Mortgage Association, Pool FN BT224, 3.000%, 3/1/2052 | 9,968,588 | |
19,888,390 | Federal National Mortgage Association, Pool FS2160, 3.500%, 6/1/2052 | 18,982,357 | |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $43,785,308) | 43,344,114 | ||
COMMON STOCKS—2.2% | |||
Automotive—0.1% | |||
51,043 | American Axle & Manufacturing Holdings, Inc. | 528,295 | |
2,145 | Lear Corp. | 297,383 | |
TOTAL | 825,678 | ||
Building Materials—0.1% | |||
15,880 | 2 | GMS, Inc. | 765,416 |
Cable Satellite—0.0% | |||
37,350 | 2 | Altice USA, Inc. | 373,500 |
Chemicals—0.1% | |||
7,575 | Compass Minerals International, Inc. | 306,712 | |
28,605 | Koppers Holdings, Inc. | 653,052 | |
TOTAL | 959,764 | ||
Communications Equipment—0.1% | |||
9,890 | 2 | Lumentum Holdings, Inc. | 826,309 |
Consumer Cyclical Services—0.1% | |||
12,015 | Brinks Co. (The) | 664,189 |
7
Principal Amount, Shares or Contracts | Value | ||
COMMON STOCKS—continued | |||
Consumer Products—0.1% | |||
22,315 | Energizer Holdings, Inc. | $ 627,052 | |
Containers & Packaging—0.1% | |||
58,816 | 2 | O-I Glass, Inc. | 765,196 |
Food & Beverage—0.0% | |||
16,590 | 2 | US Foods Holding Corp. | 507,986 |
Gaming—0.2% | |||
7,925 | Boyd Gaming Corp. | 431,358 | |
14,110 | 2 | Caesars Entertainment Corp. | 608,423 |
17,705 | Red Rock Resorts, Inc. | 676,685 | |
TOTAL | 1,716,466 | ||
Gas Utilities—0.1% | |||
64,086 | Suburban Propane Partners LP | 1,032,425 | |
Independent Energy—0.1% | |||
8,368 | Devon Energy Corp. | 590,948 | |
2,296 | Pioneer Natural Resources, Inc. | 581,393 | |
TOTAL | 1,172,341 | ||
Media Entertainment—0.4% | |||
100,913 | 2 | Cumulus Media, Inc. | 940,509 |
15,920 | Gray Television, Inc. | 304,072 | |
96,705 | 2 | iHeartMedia, Inc. | 855,840 |
251,040 | 2 | Stagwell, Inc. | 1,702,051 |
61,560 | 2 | Townsquare Media, Inc., | 535,572 |
TOTAL | 4,338,044 | ||
Metals & Mining—0.1% | |||
18,300 | Teck Resources Ltd. | 619,455 | |
Oil Gas & Consumable Fuels—0.1% | |||
17,145 | Enviva, Inc. | 1,191,920 | |
Packaging—0.1% | |||
117,050 | 3 | Ardagh Metal Packaging | 719,858 |
Paper—0.1% | |||
45,728 | Graphic Packaging Holding Co. | 1,018,362 | |
10,418 | WestRock Co. | 422,867 | |
TOTAL | 1,441,229 | ||
Pharmaceuticals—0.0% | |||
33,610 | Bausch Health Cos, Inc. | 200,652 | |
Professional Services—0.1% | |||
9,655 | Science Applications International Corp. | 879,281 | |
Technology—0.0% | |||
12,750 | Dell Technologies, Inc. | 488,198 | |
Utility - Electric—0.2% | |||
21,675 | NRG Energy, Inc. | 894,744 | |
36,350 | Vistra Corp. | 899,662 | |
TOTAL | 1,794,406 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $27,413,824) | 21,909,365 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—2.0% | |||
Commercial Mortgage—0.2% | |||
$ 345,000 | Bank, Class A4, 3.393%, 3/15/2064 | 318,751 | |
675,000 | Benchmark Mortgage Trust 2019-B11, Class A5, 3.542%, 5/15/2052 | 638,160 | |
520,000 | Benchmark Mortgage Trust 2021-B26, Class A2, 1.957%, 6/15/2054 | 476,834 |
8
Principal Amount, Shares or Contracts | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—continued | |||
Commercial Mortgage—continued | |||
$ 1,000,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | $ 951,052 | |
TOTAL | 2,384,797 | ||
Federal Home Loan Mortgage Corporation—0.1% | |||
688,269 | FHLMC REMIC, Series K105, Class A1, 1.536%, 9/25/2029 | 619,991 | |
800,000 | FHLMC REMIC, Series K070, Class A2, 3.303%, 11/25/2027 | 780,784 | |
TOTAL | 1,400,775 | ||
Non-Agency Mortgage-Backed Securities—1.7% | |||
3,885,346 | GS Mortgage-Backed Securities 2022-PJ3, Class A4, 2.500%, 8/25/2052 | 3,328,497 | |
7,140,994 | JP Morgan Mortgage Trust 2022-1, Class A2, 3.000%, 7/25/2052 | 6,343,211 | |
4,796,531 | JP Morgan Mortgage Trust 2022-2, Class A3, 2.500%, 8/25/2052 | 4,109,091 | |
3,869,488 | JP Morgan Mortgage Trust 2022-3, Class A3, 2.500%, 8/25/2052 | 3,314,912 | |
TOTAL | 17,095,711 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $23,002,510) | 20,881,283 | ||
ASSET-BACKED SECURITIES—1.1% | |||
Auto Receivables—0.5% | |||
3,000,000 | Ford Credit Auto Lease Trust 2022-A, Class D, 4.660%, 12/15/2026 | 2,934,610 | |
2,491,536 | Santander Bank Auto Credit-Linked Notes 2022-A, Class B, 5.281%, 5/15/2032 | 2,470,282 | |
TOTAL | 5,404,892 | ||
Other—0.2% | |||
2,248,533 | Home Partners of America Trust 2022-1, Class B, 4.330%, 4/17/2039 | 2,168,726 | |
Student Loans—0.4% | |||
1,791,424 | Navient Student Loan Trust 2021-GA, Class A, 1.580%, 4/15/2070 | 1,567,487 | |
1,985,663 | SMB Private Education Loan Trust 2021-E, Class A1A, 1.680%, 2/15/2051 | 1,848,649 | |
TOTAL | 3,416,136 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $11,485,331) | 10,989,754 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—0.3% | |||
Commercial Mortgage—0.3% | |||
810,000 | Bank 2018-BN12, Class A4, 4.255%, 5/15/2061 | 798,263 | |
500,000 | 4 | Bank 2018-BN15, Class A4, 4.407% (12-month USLIBOR +0.000%), 11/15/2061 | 496,614 |
1,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 949,390 | |
1,000,000 | FREMF Mortgage Trust 2013-K25 REMIC, Class B, 3.727%, 11/25/2045 | 997,466 | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $3,383,377) | 3,241,733 | ||
PREFERRED STOCK—0.0% | |||
Financials—0.0% | |||
40,000 | 1,2,5 | Lehman Brothers Holdings, Inc., Pfd., 5.670% (IDENTIFIED COST $3,400) | 400 |
PURCHASED CALL OPTIONS—0.1% | |||
12,500,000 | Bank of America Merrill Lynch NZD CALL/ USD PUT (CALL-Option), Notional Amount $12,500,000, Exercise Price $0.64, Expiration Date 11/17/2022 | 73,250 | |
12,500 | iShares iBoxx High Yield Corporate Bond ETF (CALL-Option), Notional Amount $93,162,500, Exercise Price $79, Expiration Date 9/16/2022 | 18,750 | |
12,500,000 | Morgan Stanley AUD Call/USD PUT (CALL-Option), Notional Amount $12,500,000, Exercise Price $.705, Expiration Date 11/2/2022 | 100,862 | |
10,000,000 | Morgan Stanley USD CALL/NOK PUT (CALL-Option), Notional Amount $10,000,000, Exercise Price $9.75, Expiration Date 11/10/2022 | 337,770 | |
400 | United States Treasury, Notional Amount $148,000, Exercise Price $120, Expiration Date 9/24/2022 | 43,750 | |
150 | United States Treasury, Notional Amount $45,000, Exercise Price $140, Expiration Date 9/24/2022 | 70,313 | |
TOTAL PURCHASED CALL OPTIONS (IDENTIFIED COST $1,698,325) | 644,695 |
9
Principal Amount, Shares or Contracts | Value | ||
PURCHASED PUT OPTIONS—0.1% | |||
10,100,000 | Credit Agricole NOK PUT/USD CALL, Notional Amount $10,100,000, Exercise Price $1.01, Expiration Date 10/13/2022 | $ 156,661 | |
500 | Russell 2000 Index, Notional Amount $92,205,750, Exercise Price $1600, Expiration Date 10/21/2022 | 742,500 | |
250 | United States Treasury, Notional Amount $92,500, Exercise Price $119, Expiration Date 9/24/2022 | 582,031 | |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $1,095,085) | 1,481,192 | ||
INVESTMENT COMPANIES—80.6% | |||
763,898 | Bank Loan Core Fund | 6,836,885 | |
25,586,121 | Emerging Markets Core Fund | 201,618,634 | |
719,175 | Federated Hermes Government Obligations Fund, Premier Shares, 2.16%6 | 719,175 | |
35,016,939 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 2.25%6 | 35,006,433 | |
69,507,356 | 7 | High Yield Bond Core Fund | 372,559,431 |
23,163,614 | Mortgage Core Fund | 202,913,262 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $969,103,832) | 819,653,820 | ||
TOTAL INVESTMENT IN SECURITIES—100.8% (IDENTIFIED COST $1,192,863,796) | 1,024,678,652 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.8)%8 | (8,327,007) | ||
TOTAL NET ASSETS—100% | $1,016,351,645 |
At August 31, 2022, the Fund had the following outstanding futures contracts:
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
2United States Treasury Notes 2-Year Long Futures | 25 | $5,208,203 | December 2022 | $(4,545) |
2CBOE VIX Long Futures | 400 | $10,787,240 | October 2022 | $695,386 |
2United States Treasury Notes 10-Year Long Futures | 15 | $1,753,594 | December 2022 | $(6,596) |
2United States Treasury Notes 5-Year Long Futures | 160 | $17,731,250 | December 2022 | $(61,610) |
2United States Treasury Ultra Bond Long Futures | 40 | $5,980,000 | December 2022 | $71,160 |
Short Futures: | ||||
2CBOE VIX Short Futures | 400 | $11,380,440 | January 2023 | $(347,794) |
2United States Treasury Notes 10-Year Ultra Short Futures | 5 | $625,938 | December 2022 | $1,189 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $347,190 |
The average notional value of long and short futures contracts held by the Fund throughout the period was $23,332,112 and $25,217,850, respectively. This is based on the contracts held as of each month-end throughout the nine-month fiscal period.
At August 31, 2022, the Fund had no outstanding Foreign Exchange contracts.
The average value at settlement date payable and receivable of foreign exchange contracts purchased and sold by the Fund throughout the period was $636,093 and $450,328, respectively. This is based on the contracts held as of each month-end throughout the nine-month fiscal period.
At August 31, 2022, the Fund had the following open swap contracts:
Credit Default Swap | |||||||||
Counterparty | Reference Entity | Buy/ Sell | Pay/ Receive Fixed Rate | Expiration Date | Implied Credit Spread at 08/31/20229 | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) |
OTC Swaps: | |||||||||
Jefferies and Co. | Buy Protection on CDX | Buy | 1.000% | 09/12/2022 | 1.31% | $24,750,000 | $321,760 | $515,407 | $837,167 |
Goldman Sachs & Co | Pay Periodic Fee on CDX | Sell | 1.000% | 06/20/2027 | 3.36% | $15,000,000 | $1,383,641 | $(1,308,781) | $74,860 |
TOTAL CREDIT DEFAULT SWAPS | $1,705,401 | $(793,374) | $912,027 |
10
The average notional amount of swap contracts held by the Fund throughout the period was $13,965,000. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
At August 31, 2022, the Fund had the following outstanding written options contracts:
Counterparty | Description | Number of Contracts | Notional Amount | Expiration Date | Exercise Price | Value |
Call Options: | ||||||
2Russell 2000 Index | Russell 2000 Index, Notional Amount $10000, Exercise Price $1850. Expiration Date 9/16/2022 | 100 | $18,441,150 | September 2022 | $1,850.00 | $(391,000) |
2Morgan Stanley | AUD CALL/USD PUT | 10,000,000 | $10,000,000 | September 2022 | $0.70 | $(9,360) |
Morgan Stanley | AUD CALL/USD PUT | 12,500,000 | $12,500,000 | October 2022 | $0.73 | $(10,638) |
2Morgan Stanley | USD CALL/NOK PUT | 20,000,000 | $20,000,000 | November 2022 | $10.50 | $(168,420) |
J.P. Morgan | United States Treasury Note 10 Year Future | 400 | $148,000 | September 2022 | $119.00 | $(93,750) |
2BNP | EUR CALL/USD PUT | 20,600,000 | $20,600,000 | November 2022 | $1.03 | $(226,291) |
2Bank of America Merrill Lynch | NZD CALL/ USD PUT | 10,000,000 | $10,000,000 | September 2022 | $0.64 | $(1,170) |
Put Options: | ||||||
Bank of America Merrill Lynch | NZD PUT/USD CALL | 12,500,000 | $12,500,000 | November 2022 | $0.61 | $(268,950) |
2Credit Agricole | EUR PUT/USD CALL | 19,000,000 | $19,000,000 | October 2022 | $0.95 | $(34,086) |
J.P. Morgan | United States Treasury Bond | 150 | $45,000 | September 2022 | $136.00 | $(288,281) |
J.P. Morgan | United States Treasury Note 10 Year Future | 200 | $74,000 | September 2022 | $118.00 | $(318,750) |
2Morgan Stanley | USD PUT/BRL CALL | 7,500,000 | $7,500,000 | September 2022 | $5.25 | $(166,057) |
2Morgan Stanley | USD PUT/NOK CALL | 10,000,000 | $10,000,000 | September 2022 | $9.70 | $(12,810) |
2Morgan Stanley | AUD PUT/USD CALL | 12,500,000 | $12,500,000 | November 2022 | $0.67 | $(155,488) |
(Premium Received $1,499,632) | $(2,145,051) |
The average market value of written put and call options held by the Fund throughout the period was $3,238,209 and $3,393,219, 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 $2,282,638 and $2,066,184, respectively. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
Net Unrealized Appreciation (Depreciation) on Futures, Written Options Contracts and value for Swap 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 August 31, 2022, were as follows:
Affiliates | Value as of 11/30/2021 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 8/31/2022 | Shares Held as of 8/31/2022 | Dividend Income |
Bank Loan Core Fund | $60,812,038 | $17,016,284 | $(70,000,000) | $(143,824) | $(847,613) | $6,836,885 | 763,898 | $1,016,284 |
Emerging Markets Core Fund | $265,673,450 | $70,689,026 | $(82,800,000) | $(44,193,431) | $(7,750,411) | $201,618,634 | 25,586,121 | $12,689,027 |
Federated Hermes Government Obligations Fund, Premier Shares | $17,374,500 | $142,983,085 | $(159,638,410) | $— | $— | $719,175 | 719,175 | $— |
Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares | $23,430,312 | $527,290,102 | $(515,718,624) | $5,001 | $(357) | $35,006,434 | 35,016,939 | $202,607 |
High Yield Bond Core Fund | $466,267,692 | $89,220,000 | $(116,350,000) | $(61,593,893) | $(4,984,368) | $372,559,431 | 69,507,356 | $20,776,236 |
Mortgage Core Fund | $147,548,396 | $112,000,000 | $(35,000,000) | $(21,099,304) | $(535,830) | $202,913,262 | 23,163,614 | $4,003,371 |
TOTAL OF AFFILIATED TRANSACTIONS | $981,106,388 | $959,198,497 | $(979,507,034) | $(127,025,451) | $(14,118,579) | $819,653,821 | 154,757,103 | $38,687,525 |
Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (SEC), the Fund invests in a portfolio of Federated Hermes Core Trust (“Core Trust”), which is managed by Federated Investment Management Company (the “Adviser”). Core Trust is an open-end management company, registered under the Investment Company Act of 1940, as amended (the “Act”), available only to registered investment companies and other institutional investors. The investment objective of High Yield Bond Core Fund (HYCORE), a portfolio of Core Trust, is to seek high current income. Income distributions from HYCORE are declared daily and paid monthly, and are recorded by the Fund as dividend income. Capital gain distributions, if any, from HYCORE are declared and paid annually, and are
11
recorded by the Fund as capital gains. Federated Hermes, Inc. (“Federated Hermes”) receives no advisory or administrative fees from HYCORE. Copies of the HYCORE financial statements are available on the EDGAR Database on the SEC’s website or upon request from the Fund.
1 | Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Directors”). |
2 | Non-income-producing security. |
3 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. As of August 31, 2022, securities subject to this type of arrangement and related collateral were as follows: |
Market Value of Securities Loaned | Collateral Received |
$707,668 | $719,175 |
4 | Floating/variable note with current rate and current maturity or next reset date shown. |
5 | Issuer in default. |
6 | 7-day net yield. |
7 | The High Yield Bond Core Fund is a diversified portfolio of below investment grade bonds. |
8 | Assets, other than investments in securities, less liabilities. |
9 | 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, 2022.
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 Directors.
◾ 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.
◾ Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market.
◾ 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 Directors.
◾ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Directors, 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 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
The Directors have ultimate responsibility for determining the fair value of investments for which market quotations are not readily available. The Directors have appointed a Valuation Committee comprised of officers of the Fund, Federated Investment Management Company (the “Adviser”) and certain of the Adviser’s affiliated companies to assist in determining fair value and in overseeing the calculation of the NAV. The Directors have also authorized the use of pricing services recommended by the Valuation Committee 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 Directors. The Directors periodically review and approve the fair valuations made by the Valuation Committee and any changes made to the procedures.
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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 asked 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 Directors.
The Directors also have adopted procedures requiring an investment to be priced at its fair value whenever the Adviser determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment’s value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
◾ With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;
◾ Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;
◾ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer’s operations or regulatory changes or market developments affecting the issuer’s industry.
The Directors have 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 Fund will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Directors. The Directors have ultimate responsibility for any fair valuations made in response to a significant event.
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.
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The following is a summary of the inputs used, as of August 31, 2022, 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: | ||||
Corporate Bonds | $— | $52,496,768 | $25,488 | $52,522,256 |
U.S. Treasuries | — | 50,010,040 | — | 50,010,040 |
Mortgage-Backed Securities | — | 43,344,114 | — | 43,344,114 |
Collateralized Mortgage Obligations | — | 20,881,283 | — | 20,881,283 |
Asset-Backed Securities | — | 10,989,754 | — | 10,989,754 |
Commercial Mortgage-Backed Securities | — | 3,241,733 | — | 3,241,733 |
Purchased Call Options | 644,695 | — | — | 644,695 |
Purchased Put Options | 1,481,192 | — | — | 1,481,192 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 20,369,400 | — | — | 20,369,400 |
International | 1,539,965 | — | — | 1,539,965 |
Preferred Stock | ||||
Domestic | — | — | 400 | 400 |
Investment Companies | 819,653,820 | — | — | 819,653,820 |
TOTAL SECURITIES | $843,689,072 | $180,963,692 | $25,888 | $1,024,678,652 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $767,735 | $— | $— | $767,735 |
Swap Contracts | — | 1,705,401 | — | 1,705,401 |
Liabilities | ||||
Futures Contracts | (420,545) | — | — | (420,545) |
Written Options Contracts | (2,145,051) | — | — | (2,145,051) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(1,797,861) | $1,705,401 | $— | $(92,460) |
The following acronym(s) are used throughout this portfolio: | ||
AUD | —Australian Dollar | |
BKNT | —Bank Notes | |
BRL | —Brazilian Real | |
ETF | —Exchange-Traded Fund | |
EUR | —Euro Currency | |
FHLMC | —Federal Home Loan Mortgage Corporation | |
FREMF | —Freddie Mac Multifamily K-Deals | |
GMTN | —Global Medium Term Note | |
LIBOR | —London Interbank Offered Rate | |
MTN | —Medium Term Note | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
REIT | —Real Estate Investment Trust | |
REMIC | —Real Estate Mortgage Investment Conduit | |
USD | —United States Dollar |
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