Federated Hermes Strategic Income Fund
Portfolio of Investments
August 31, 2024 (unaudited)
Principal Amount, Shares or Contracts | Value | ||
U.S. TREASURIES—5.8% | |||
U.S. Treasury Bonds—1.1% | |||
$ 6,275,000 | United States Treasury Bond, 4.250%, 2/15/2054 | $ 6,291,668 | |
U.S. Treasury Notes—4.7% | |||
8,000,000 | United States Treasury Note, 4.250%, 1/31/2026 | 8,009,403 | |
10,000,000 | United States Treasury Note, 4.500%, 7/15/2026 | 10,092,149 | |
9,500,000 | United States Treasury Note, 4.875%, 4/30/2026 | 9,622,830 | |
TOTAL | 27,724,382 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $33,350,889) | 34,016,050 | ||
MORTGAGE-BACKED SECURITIES—5.0% | |||
Agency—5.0% | |||
8,058,198 | FHLMC, Pool SD8225, 3.000%, 7/1/2052 | 7,145,456 | |
7,761,969 | FHLMC, Pool SD8243, 3.500%, 9/1/2052 | 7,145,014 | |
9,307,746 | FNMA, Pool FBT224, 3.000%, 3/1/2052 | 8,265,104 | |
7,220,857 | FNMA, Pool MA4732, 4.000%, 9/1/2052 | 6,849,493 | |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $29,265,813) | 29,405,067 | ||
CORPORATE BONDS—3.8% | |||
Basic Industry - Chemicals—0.0% | |||
90,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | 82,847 | |
Basic Industry - Metals & Mining—0.0% | |||
50,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 47,618 | |
55,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 36,601 | |
135,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | 152,131 | |
TOTAL | 236,350 | ||
Capital Goods - Aerospace & Defense—0.1% | |||
55,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 54,253 | |
135,000 | Boeing Co., Sr. Unsecd. Note, 3.625%, 2/1/2031 | 122,186 | |
30,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 20,250 | |
30,000 | Boeing Co., Sr. Unsecd. Note, 144A, 6.528%, 5/1/2034 | 31,793 | |
50,000 | Boeing Co., Sr. Unsecd. Note, 144A, 6.858%, 5/1/2054 | 53,885 | |
100,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 97,313 | |
55,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 3.250%, 1/15/2028 | 53,082 | |
75,000 | RTX Corp., Sr. Unsecd. Note, 5.150%, 2/27/2033 | 76,929 | |
TOTAL | 509,691 | ||
Capital Goods - Building Materials—0.0% | |||
20,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 18,995 | |
50,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 49,894 | |
TOTAL | 68,889 | ||
Capital Goods - Construction Machinery—0.5% | |||
3,390,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 2.450%, 8/12/2031 | 2,847,480 | |
120,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 117,652 | |
45,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 2.800%, 7/18/2029 | 42,100 | |
20,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 19,335 | |
TOTAL | 3,026,567 | ||
Capital Goods - Diversified Manufacturing—0.1% | |||
15,000 | Ingersoll-Rand, Inc., Sr. Unsecd. Note, 5.450%, 6/15/2034 | 15,606 |
1
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Capital Goods - Diversified Manufacturing—continued | |||
$ 15,000 | Ingersoll-Rand, Inc., Sr. Unsecd. Note, 5.700%, 6/15/2054 | $ 15,615 | |
60,000 | Lennox International, Inc., Sr. Unsecd. Note, 1.350%, 8/1/2025 | 58,080 | |
40,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 37,384 | |
80,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.250%, 10/1/2054 | 74,921 | |
35,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 1.800%, 4/1/2026 | 33,317 | |
25,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 2.950%, 4/1/2031 | 21,647 | |
40,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 34,867 | |
TOTAL | 291,437 | ||
Communications - Cable & Satellite—0.1% | |||
25,000 | Charter Communications Operating LLC, 5.375%, 5/1/2047 | 20,861 | |
50,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | 30,392 | |
75,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 6.550%, 6/1/2034 | 77,735 | |
200,000 | Comcast Corp., Sr. Unsecd. Note, 3.150%, 2/15/2028 | 192,543 | |
30,000 | Comcast Corp., Sr. Unsecd. Note, 3.450%, 2/1/2050 | 22,263 | |
70,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 69,460 | |
TOTAL | 413,254 | ||
Communications - Media & Entertainment—0.0% | |||
50,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 4.279%, 3/15/2032 | 43,728 | |
65,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 5.050%, 3/15/2042 | 52,124 | |
TOTAL | 95,852 | ||
Communications - Telecom Wireless—0.1% | |||
90,000 | Crown Castle, Inc., Sr. Unsecd. Note, 5.200%, 2/15/2049 | 84,992 | |
60,000 | T-Mobile USA, Inc., 3.300%, 2/15/2051 | 42,433 | |
65,000 | T-Mobile USA, Inc., Series WI, 2.700%, 3/15/2032 | 56,414 | |
55,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.650%, 1/15/2053 | 56,480 | |
65,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.625%, 2/10/2053 | 64,912 | |
TOTAL | 305,231 | ||
Communications - Telecom Wirelines—0.1% | |||
65,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 62,164 | |
175,000 | AT&T, Inc., Sr. Unsecd. Note, 2.550%, 12/1/2033 | 145,004 | |
40,000 | AT&T, Inc., Sr. Unsecd. Note, 3.850%, 6/1/2060 | 29,291 | |
45,000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | 42,564 | |
100,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 4.500%, 3/15/2042 | 88,343 | |
30,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.000%, 3/22/2027 | 29,025 | |
45,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.550%, 3/22/2051 | 33,894 | |
TOTAL | 430,285 | ||
Consumer Cyclical - Automotive—0.1% | |||
150,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | 138,035 | |
200,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 7.122%, 11/7/2033 | 216,221 | |
100,000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | 91,826 | |
TOTAL | 446,082 | ||
Consumer Cyclical - Retailers—0.0% | |||
100,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 77,493 | |
120,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 113,517 | |
TOTAL | 191,010 | ||
Consumer Cyclical - Services—0.0% | |||
50,000 | Amazon.com, Inc., Sr. Unsecd. Note, 2.100%, 5/12/2031 | 43,698 | |
Consumer Non-Cyclical - Food/Beverage—0.2% | |||
60,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.700%, 2/1/2036 | 59,296 |
2
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Food/Beverage—continued | |||
$ 150,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | $ 144,106 | |
37,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.600%, 4/15/2048 | 34,325 | |
150,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 137,738 | |
100,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 5.250%, 11/15/2048 | 97,057 | |
35,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 30,159 | |
25,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 24,454 | |
50,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.000%, 6/1/2026 | 48,709 | |
65,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 55,570 | |
60,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 52,836 | |
55,000 | Sysco Corp., Sr. Unsecd. Note, 3.300%, 7/15/2026 | 53,815 | |
50,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 43,136 | |
100,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 5.700%, 3/15/2034 | 104,095 | |
TOTAL | 885,296 | ||
Consumer Non-Cyclical - Health Care—0.1% | |||
30,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 2.100%, 6/4/2030 | 26,338 | |
125,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 110,869 | |
30,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 27,673 | |
100,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 70,199 | |
25,000 | HCA, Inc., Sr. Unsecd. Note, 5.950%, 9/15/2054 | 25,574 | |
TOTAL | 260,653 | ||
Consumer Non-Cyclical - Pharmaceuticals—0.1% | |||
150,000 | AbbVie, Inc., Sr. Unsecd. Note, 2.950%, 11/21/2026 | 145,812 | |
60,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | 56,869 | |
80,000 | Amgen, Inc., Sr. Unsecd. Note, 5.250%, 3/2/2033 | 82,250 | |
80,000 | Amgen, Inc., Sr. Unsecd. Note, 5.650%, 3/2/2053 | 82,339 | |
60,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 52,981 | |
55,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.250%, 10/26/2049 | 47,023 | |
25,000 | Royalty Pharma PLC, Sr. Unsecd. Note, Series WI, 1.200%, 9/2/2025 | 24,098 | |
TOTAL | 491,372 | ||
Consumer Non-Cyclical - Supermarkets—0.0% | |||
50,000 | Kroger Co., Sr. Unsecd. Note, 4.450%, 2/1/2047 | 42,871 | |
Consumer Non-Cyclical - Tobacco—0.1% | |||
65,000 | Altria Group, Inc., Sr. Unsecd. Note, 3.700%, 2/4/2051 | 47,049 | |
30,000 | BAT Capital Corp., Sr. Unsecd. Note, 3.984%, 9/25/2050 | 22,528 | |
115,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 5.750%, 11/17/2032 | 121,737 | |
65,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 70,799 | |
TOTAL | 262,113 | ||
Energy - Independent—0.0% | |||
60,000 | Diamondback Energy, Inc., Sr. Unsecd. Note, 5.750%, 4/18/2054 | 60,067 | |
50,000 | Marathon Oil Corp., Sr. Unsecd. Note, 5.200%, 6/1/2045 | 48,025 | |
40,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.050%, 10/1/2054 | 40,705 | |
70,000 | Ovintiv, Inc., Sr. Unsecd. Note, 7.100%, 7/15/2053 | 79,086 | |
TOTAL | 227,883 | ||
Energy - Integrated—0.0% | |||
50,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027 | 49,466 | |
45,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | 37,789 | |
TOTAL | 87,255 | ||
Energy - Midstream—0.1% | |||
45,000 | Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.900%, 11/15/2049 | 33,665 | |
100,000 | Enbridge, Inc., Sr. Unsecd. Note, 5.950%, 4/5/2054 | 103,467 |
3
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Energy - Midstream—continued | |||
$ 50,000 | Energy Transfer LP, Sr. Unsecd. Note, 5.550%, 5/15/2034 | $ 51,323 | |
65,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 68,141 | |
100,000 | MPLX LP, Sr. Unsecd. Note, 4.950%, 3/14/2052 | 88,558 | |
30,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 26,152 | |
50,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 50,335 | |
65,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.550%, 7/15/2028 | 64,902 | |
30,000 | ONEOK, Inc., Sr. Unsecd. Note, 5.200%, 7/15/2048 | 27,572 | |
120,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 103,263 | |
30,000 | Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033 | 27,921 | |
80,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 78,249 | |
100,000 | Williams Cos., Inc., Sr. Unsecd. Note, 5.150%, 3/15/2034 | 100,491 | |
TOTAL | 824,039 | ||
Energy - Refining—0.0% | |||
110,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 4/1/2029 | 107,648 | |
Financial Institution - Banking—0.7% | |||
150,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 148,975 | |
90,000 | Bank of America Corp., Sr. Unsecd. Note, 2.299%, 7/21/2032 | 76,640 | |
100,000 | Bank of America Corp., Sr. Unsecd. Note, 2.572%, 10/20/2032 | 86,534 | |
140,000 | Bank of America Corp., Sr. Unsecd. Note, 2.687%, 4/22/2032 | 123,023 | |
50,000 | Bank of America Corp., Sr. Unsecd. Note, 5.468%, 1/23/2035 | 51,774 | |
100,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.884%, 10/22/2030 | 91,892 | |
175,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.561%, 5/1/2032 | 151,652 | |
100,000 | Citigroup, Inc., Sub., 5.827%, 2/13/2035 | 102,816 | |
170,000 | Citizens Financial Group, Inc., Sub. Note, 2.638%, 9/30/2032 | 138,185 | |
60,000 | Comerica, Inc., Sr. Unsecd. Note, 5.982%, 1/30/2030 | 61,062 | |
200,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 198,336 | |
65,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 63,742 | |
60,000 | FNB Corp. (PA), Sr. Unsecd. Note, 5.150%, 8/25/2025 | 59,799 | |
100,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.615%, 4/22/2032 | 86,997 | |
100,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.102%, 2/24/2033 | 88,491 | |
165,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.814%, 4/23/2029 | 160,392 | |
100,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 5.709%, 2/2/2035 | 102,539 | |
300,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.580%, 4/22/2032 | 262,722 | |
100,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.963%, 1/25/2033 | 88,588 | |
55,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 5.336%, 1/23/2035 | 56,662 | |
50,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 5.350%, 6/1/2034 | 51,610 | |
100,000 | KeyCorp, Sr. Unsecd. Note, 6.401%, 3/6/2035 | 107,214 | |
45,000 | M&T Bank Corp., Sr. Unsecd. Note, 6.082%, 3/13/2032 | 46,766 | |
65,000 | M&T Bank Corp., Sr. Unsecd. Note, 7.413%, 10/30/2029 | 70,819 | |
90,000 | Morgan Stanley, Sr. Unsecd. Note, 1.593%, 5/4/2027 | 85,531 | |
60,000 | Morgan Stanley, Sr. Unsecd. Note, 4.889%, 7/20/2033 | 59,885 | |
20,000 | Morgan Stanley, Sr. Unsecd. Note, 5.466%, 1/18/2035 | 20,617 | |
100,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.239%, 7/21/2032 | 84,658 | |
100,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.928%, 4/28/2032 | 83,497 | |
75,000 | Northern Trust Corp., Sub., 6.125%, 11/2/2032 | 82,229 | |
65,000 | PNC Financial Services Group, Inc., Sr. Unsecd. Note, 5.676%, 1/22/2035 | 67,861 | |
52,143 | 1 | Regional Diversified Funding, 144A, 9.250%, 3/15/2030 | 21,900 |
85,000 | Regions Financial Corp., Sr. Unsecd. Note, 5.722%, 6/6/2030 | 87,252 | |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 195,247 | |
20,000 | US Bancorp, 5.100%, 7/23/2030 | 20,368 |
4
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$ 65,000 | US Bancorp, Sr. Unsecd. Note, Series MTN, 1.375%, 7/22/2030 | $ 54,737 | |
150,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 145,711 | |
100,000 | Wells Fargo & Co., Sr. Unsecd. Note, 5.499%, 1/23/2035 | 103,238 | |
275,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.879%, 10/30/2030 | 252,170 | |
TOTAL | 3,842,131 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.0% | |||
45,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 37,731 | |
Financial Institution - Finance Companies—0.0% | |||
150,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 5.300%, 1/19/2034 | 151,990 | |
55,000 | Ally Financial, Inc., Sr. Unsecd. Note, 6.848%, 1/3/2030 | 58,194 | |
TOTAL | 210,184 | ||
Financial Institution - Insurance - Life—0.1% | |||
150,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 131,547 | |
120,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 97,360 | |
50,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 2.125%, 6/15/2030 | 43,519 | |
TOTAL | 272,426 | ||
Financial Institution - Insurance - P&C—0.0% | |||
100,000 | Aon North America, Inc., 5.750%, 3/1/2054 | 103,629 | |
Financial Institution - REIT - Apartment—0.0% | |||
120,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 117,017 | |
110,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | 92,275 | |
TOTAL | 209,292 | ||
Financial Institution - REIT - Healthcare—0.6% | |||
110,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 109,133 | |
75,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031 | 66,901 | |
4,000,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2032 | 3,486,613 | |
TOTAL | 3,662,647 | ||
Financial Institution - REIT - Office—0.0% | |||
25,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 24,589 | |
110,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | 107,753 | |
75,000 | Boston Properties LP, Sr. Unsecd. Note, 4.500%, 12/1/2028 | 73,103 | |
40,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | 31,462 | |
TOTAL | 236,907 | ||
Financial Institution - REIT - Other—0.0% | |||
50,000 | Host Hotels & Resorts LP, Sr. Unsecd. Note, 5.500%, 4/15/2035 | 49,554 | |
35,000 | Host Hotels & Resorts LP, Sr. Unsecd. Note, 5.700%, 7/1/2034 | 35,495 | |
100,000 | WP Carey, Inc., Sr. Unsecd. Note, 5.375%, 6/30/2034 | 100,801 | |
TOTAL | 185,850 | ||
Financial Institution - REIT - Retail—0.0% | |||
80,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 79,033 | |
Technology—0.2% | |||
35,000 | Alphabet, Inc., Sr. Unsecd. Note, 2.050%, 8/15/2050 | 21,328 | |
27,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 26,308 | |
65,000 | Broadcom, Inc., Sr. Unsecd. Note, 5.050%, 7/12/2029 | 66,283 | |
3,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036 | 2,483 | |
60,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.469%, 4/15/2034 | 53,038 | |
105,000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 100,250 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 197,922 | |
75,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 71,841 | |
55,000 | Global Payments, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 54,889 |
5
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$ 75,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | $ 74,155 | |
50,000 | Microchip Technology, Inc., Sr. Unsecd. Note, 5.050%, 3/15/2029 | 50,995 | |
75,000 | Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050 | 54,798 | |
75,000 | Oracle Corp., Sr. Unsecd. Note, 6.900%, 11/9/2052 | 87,425 | |
65,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 1.750%, 2/15/2031 | 54,234 | |
30,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 26,041 | |
80,000 | Visa, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2027 | 77,034 | |
45,000 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 38,082 | |
TOTAL | 1,057,106 | ||
Transportation - Railroads—0.0% | |||
40,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 36,406 | |
Transportation - Services—0.0% | |||
100,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 5.200%, 10/30/2034 | 102,432 | |
50,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.400%, 11/15/2026 | 48,657 | |
TOTAL | 151,089 | ||
Utility - Electric—0.2% | |||
40,000 | Ameren Corp., Sr. Unsecd. Note, 1.950%, 3/15/2027 | 37,500 | |
55,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 5.625%, 3/1/2033 | 57,495 | |
25,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 22,004 | |
25,000 | Black Hills Corp., Sr. Unsecd. Note, 3.875%, 10/15/2049 | 19,216 | |
115,000 | CenterPoint Energy, Inc., Sr. Unsecd. Note, 2.650%, 6/1/2031 | 100,573 | |
65,000 | Constellation Energy Generation LLC, Sr. Unsecd. Note, 5.800%, 3/1/2033 | 68,297 | |
75,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series A, 1.450%, 4/15/2026 | 71,268 | |
130,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.450%, 6/1/2030 | 116,249 | |
55,000 | Duke Energy Corp., Sr. Unsecd. Note, 3.950%, 8/15/2047 | 43,261 | |
90,000 | Evergy Metro, Inc., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 75,801 | |
30,000 | Exelon Corp., Sr. Unsecd. Note, 4.100%, 3/15/2052 | 24,306 | |
25,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 21,680 | |
65,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 5.050%, 2/28/2033 | 65,579 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 55,515 | |
120,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 117,557 | |
120,000 | Virginia Electric & Power Co., Sr. Unsecd. Note, Series A, 3.500%, 3/15/2027 | 117,575 | |
TOTAL | 1,013,876 | ||
Utility - Natural Gas Distributor—0.3% | |||
2,000,000 | Southern California Gas Co., Term Loan - 1st Lien, 5.050%, 9/1/2034 | 2,029,242 | |
TOTAL CORPORATE BONDS (IDENTIFIED COST $24,527,737) | 22,457,872 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—3.4% | |||
Commercial Mortgage—0.6% | |||
500,000 | 2 | Bank 2018-BN15, Class A4, 4.407% (12-month USLIBOR +0.000%), 11/15/2061 | 493,536 |
345,000 | Bank 2022-BNK40, Class A4, 3.393%, 3/15/2064 | 314,276 | |
675,000 | Benchmark Mortgage Trust 2019-B11, Class A5, 3.542%, 5/15/2052 | 627,710 | |
520,000 | Benchmark Mortgage Trust 2021-B26, Class A2, 1.957%, 6/15/2054 | 494,674 | |
1,000,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | 965,925 | |
1,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 994,604 | |
TOTAL | 3,890,725 | ||
Federal Home Loan Mortgage Corporation—0.1% | |||
653,852 | FHLMC, REMIC, Series K105, Class A1, 1.536%, 9/25/2029 | 604,432 | |
Non-Agency Mortgage-Backed Securities—2.7% | |||
1,042,677 | GS Mortgage-Backed Securities 2023-PJ5, Class A16, 6.500%, 2/25/2054 | 1,058,460 |
6
Principal Amount, Shares or Contracts | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—continued | |||
Non-Agency Mortgage-Backed Securities—continued | |||
$ 3,427,899 | GS Mortgage-Backed Securities Trust 2022-PJ3, Class A4, 2.500%, 8/25/2052 | $ 2,850,110 | |
6,352,390 | JP Morgan Mortgage Trust 2022-1, Class A2, 3.000%, 7/25/2052 | 5,499,035 | |
4,280,165 | JP Morgan Mortgage Trust 2022-2, Class A3, 2.500%, 8/25/2052 | 3,561,398 | |
3,367,652 | JP Morgan Mortgage Trust 2022-3, Class A3, 2.500%, 8/25/2052 | 2,802,124 | |
TOTAL | 15,771,127 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $22,597,546) | 20,266,284 | ||
COMMON STOCKS—2.2% | |||
Automotive—0.1% | |||
30,398 | 3 | American Axle & Manufacturing Holdings, Inc. | 195,459 |
1,830 | Lear Corp. | 213,470 | |
TOTAL | 408,929 | ||
Chemicals—0.1% | |||
10,750 | Koppers Holdings, Inc. | 425,485 | |
34,935 | 3 | PQ Group Holdings, Inc. | 250,833 |
TOTAL | 676,318 | ||
Commercial Services & Supplies—0.1% | |||
30,185 | Interface, Inc. | 569,893 | |
Consumer Cyclical Services—0.1% | |||
6,395 | The Brink’s Co. | 709,397 | |
Containers & Packaging—0.2% | |||
85,445 | Ardagh Metal Packaging | 305,893 | |
24,643 | Graphic Packaging Holding Co. | 737,565 | |
30,501 | 3 | O-I Glass, Inc. | 387,058 |
TOTAL | 1,430,516 | ||
Food & Beverage—0.1% | |||
10,905 | 3 | US Foods Holding Corp. | 645,685 |
Food Products—0.1% | |||
3,880 | 3 | Post Holdings, Inc. | 449,188 |
Hotels Restaurants & Leisure—0.3% | |||
5,880 | Boyd Gaming Corp. | 352,918 | |
17,155 | 3 | Caesars Entertainment Corp. | 645,714 |
8,255 | Red Rock Resorts, Inc. | 481,101 | |
TOTAL | 1,479,733 | ||
Media Entertainment—0.1% | |||
119,040 | 3 | Stagwell, Inc. | 855,898 |
Midstream—0.1% | |||
33,111 | Suburban Propane Partners LP | 579,442 | |
Oil Field Services—0.1% | |||
4,300 | 3 | Nabors Industries Ltd. | 324,091 |
Oil Gas & Consumable Fuels—0.0% | |||
6,068 | Devon Energy Corp. | 271,725 | |
Personal Products—0.1% | |||
14,460 | Energizer Holdings, Inc. | 468,504 | |
Services—0.1% | |||
31,175 | Dun & Bradstreet Holdings, Inc. | 374,100 | |
Technology—0.2% | |||
4,450 | Science Applications International Corp. | 581,126 | |
56,510 | 3 | Viavi Solutions, Inc. | 486,551 |
TOTAL | 1,067,677 |
7
Principal Amount, Shares or Contracts | Value | ||
COMMON STOCKS—continued | |||
Technology Hardware Storage & Peripherals—0.1% | |||
4,345 | Dell Technologies, Inc. | $ 502,021 | |
Trading Companies & Distributors—0.1% | |||
4,235 | 3 | GMS, Inc. | 367,556 |
2,695 | WESCO International, Inc. | 445,699 | |
TOTAL | 813,255 | ||
Utility - Electric—0.2% | |||
5,765 | NRG Energy, Inc. | 490,083 | |
9,515 | Vistra Corp. | 812,866 | |
TOTAL | 1,302,949 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $12,118,959) | 12,929,321 | ||
ASSET-BACKED SECURITIES—1.3% | |||
Auto Receivables—0.6% | |||
$ 3,000,000 | Ford Credit Auto Lease Trust 2022-A, Class D, 4.660%, 12/15/2026 | 2,994,101 | |
450,538 | Santander Bank Auto Credit-Linked Notes 2022-A, Class B, 5.281%, 5/15/2032 | 449,644 | |
TOTAL | 3,443,745 | ||
Other—0.3% | |||
2,188,083 | Home Partners of America Trust 2022-1, Class B, 4.330%, 4/17/2039 | 2,139,601 | |
Student Loans—0.4% | |||
1,328,295 | Navient Student Loan Trust 2021-GA, Class A, 1.580%, 4/15/2070 | 1,177,435 | |
1,127,148 | SMB Private Education Loan Trust 2021-E, Class A1A, 1.680%, 2/15/2051 | 1,040,260 | |
TOTAL | 2,217,695 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $8,069,141) | 7,801,041 | ||
FOREIGN GOVERNMENTS/AGENCY—0.4% | |||
Sovereign—0.4% | |||
20,000,000 | 4 | Letra Tesouro Nacional, Sr. Unsecd. Note, Series LTN, 0.000%, 7/1/2027 (IDENTIFIED COST $3,039,054) | 2,578,294 |
AGENCY RISK TRANSFER SECURITY—0.2% | |||
1,250,000 | 2 | FNMA - CAS 2023-R05, Class 1M2, 8.447% (30-DAY AVERAGE SOFR +3.100%), 6/25/2043 (IDENTIFIED COST $1,250,000) | 1,315,905 |
PREFERRED STOCK—0.0% | |||
Financials—0.0% | |||
40,000 | 1,3,5 | Lehman Brothers Holdings, Inc., Pfd., 5.670% (IDENTIFIED COST $3,400) | 400 |
PURCHASED CALL OPTIONS—0.1% | |||
5,000,000 | Bank of America Merrill Lynch NZD CALL/USD PUT, Exercise Price $0.5975, Notional Amount $125,000, Expiration Date 10/3/2024 | 235,645 | |
5,000,000 | Bank of Montreal AUD CALL/USD PUT, Exercise Price $0.665, Notional Amount $5,000,000, Expiration Date 10/11/2024 | 121,600 | |
150 | United States Treasury, 0.000%, Exercise Price $109.5, Notional Amount $150,000, Expiration Date 9/21/2024 | 73,828 | |
125 | United States Treasury, 0.000%, Exercise Price $125, Notional Amount $125,000, Expiration Date 9/21/2024 | 83,984 | |
TOTAL PURCHASED CALL OPTIONS (IDENTIFIED COST $410,789) | 515,057 | ||
PURCHASED PUT OPTIONS—0.0% | |||
5,000,000 | Barclays USD PUT/MXN CALL, Exercise Price $18.9, Notional Amount $5,000,000, Expiration Date 10/21/2024 | 34,265 | |
10,000,000 | Credit Agricole USD PUT/MXN CALL, Exercise Price $17.8, Notional Amount $10,000,000, Expiration Date 9/26/2024 | 1,570 | |
125 | Russell 2000 Index, Exercise Price $2,000, Notional Amount $12,500, Expiration Date 9/20/2024 | 41,875 | |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $1,082,057) | 77,710 | ||
INVESTMENT COMPANIES—77.5% | |||
16,187,376 | Emerging Markets Core Fund | 140,182,672 | |
5,885,965 | Federated Hermes Government Obligations Fund, Premier Shares, 5.21%6 | 5,885,965 |
8
Principal Amount, Shares or Contracts | Value | ||
INVESTMENT COMPANIES—continued | |||
37,291,092 | 7 | High Yield Bond Core Fund | $211,067,583 |
12,008,209 | Mortgage Core Fund | 101,709,528 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $525,860,341) | 458,845,748 | ||
TOTAL INVESTMENT IN SECURITIES—99.7% (IDENTIFIED COST $661,575,726) | 590,208,749 | ||
OTHER ASSETS AND LIABILITIES - NET—0.3%8 | 1,965,624 | ||
TOTAL NET ASSETS—100% | $592,174,373 |
At August 31, 2024, the Fund had the following outstanding futures contracts:
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
United States Treasury Notes 2-Year Long Futures | 85 | $17,641,484 | December 2024 | $(24,235) |
United States Treasury Notes 5-Year Long Futures | 296 | $32,381,938 | December 2024 | $(107,974) |
United States Treasury Notes 10-Year Long Futures | 17 | $1,930,563 | December 2024 | $(10,513) |
Short Futures: | ||||
United States Treasury Notes 10-Year Ultra Short Futures | 14 | $1,644,125 | December 2024 | $10,804 |
United States Treasury Ultra Bond Short Futures | 17 | $2,242,938 | December 2024 | $32,809 |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(99,109) |
The average notional value of long and short futures contracts held by the Fund throughout the period was $23,792,034 and $5,081,705, respectively. This is based on the contracts held as of each month-end throughout the nine-month fiscal period.
The average notional amount of credit default swap contracts held by the Fund throughout the period was $7,425,000. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
At August 31, 2024, the Fund had the following outstanding written options contracts:
Counterparty | Description | Number of Contracts | Notional Amount | Expiration Date | Exercise Price | Value |
Call Options: | ||||||
Bank of Montreal | AUD CALL/USD PUT | (10,000,000) | $836,200,000 | October 2024 | $0.68 | $(104,200) |
Toronto Dominion | NZD CALL/USD PUT | (10,000,000) | $599,200,000 | October 2024 | $0.63 | $(110,880) |
UBS | USD CALL/MXN PUT | (10,000,000) | $307,600,000 | November 2024 | $19.30 | $(488,230) |
UBS | USD CALL/NOK PUT | (10,000,000) | $307,600,000 | October 2024 | $11.00 | $(55,190) |
United States Treasury | United States Treasury, 110.50%, 9/20/2024 | (150) | $662,700 | September 2024 | $110.50 | $(26,953) |
United States Treasury | United States Treasury, 127.00%, 9/20/2024 | (125) | $552,250 | September 2024 | $127.00 | $(31,250) |
Put Options: | ||||||
Bank of America | USD PUT/ZAR CAll | (10,000,000) | $407,500,000 | November 2024 | $17.60 | $(146,410) |
Bank of Montreal | AUD PUT/USD CAll | (10,000,000) | $836,200,000 | October 2024 | $0.65 | $(21,870) |
J.P. Morgan | Russell 2000 Index | (125) | $2,810,000 | September 2024 | $1,900.00 | $(22,813) |
Morgan Stanley | NZD PUT/USD CALL | (10,000,000) | $1,036,100,000 | October 2024 | $0.61 | $(65,820) |
UBS | USD PUT/NOK CALL | (10,000,000) | $307,600,000 | October 2024 | $10.30 | $(60,540) |
UBS | USD PUT/MXN CALL | (10,000,000) | $307,600,000 | November 2024 | $18.00 | $(25,110) |
United States Treasury | United States Treasury, 108.50%, 9/20/2024 | (150) | $662,700 | September 2024 | $108.50 | $(26,953) |
(Premium Received $1,613,140) | $(1,186,219) |
The average market value of written put and call options held by the Fund throughout the period was $440,826 and $811,459, 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 $211,772 and $320,292, respectively. This is based on amounts held as of each month-end throughout the nine-month fiscal period.
9
Transactions with affiliated investment companies, which are funds managed by the Adviser or an affiliate of the Adviser, during the period ended August 31, 2024, were as follows:
Affiliates | Value as of 11/30/2023 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 8/31/2024 | Shares Held as of 8/31/2024 | Dividend Income |
Emerging Markets Core Fund | $147,106,964 | $8,426,349 | $(27,000,000) | $14,344,842 | $(2,695,483) | $140,182,672 | 16,187,376 | $8,426,164 |
Federated Hermes Government Obliga- tions Fund, Premier Shares* | $134,394 | $178,444,846 | $(172,693,275) | $— | $— | $5,885,965 | 5,885,965 | $116,316 |
Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares | $8,045,886 | $62,177,940 | $(70,222,764) | $— | $(1,062) | $— | — | $169,351 |
High Yield Bond Core Fund | $233,570,932 | $— | $(32,350,000) | $14,911,464 | $(5,064,813) | $211,067,583 | 37,291,092 | $10,469,227 |
Mortgage Core Fund | $104,723,818 | $7,500,000 | $(15,000,000) | $5,161,681 | $(675,971) | $101,709,528 | 12,008,209 | $3,872,020 |
TOTAL OF AFFILIATED TRANSAC- TIONS | $493,581,994 | $256,549,135 | $(317,266,039) | $34,417,987 | $(8,437,329) | $458,845,748 | 71,372,642 | $23,053,078 |
* | All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions. |
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 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 Adviser acting through its Valuation Committee (“Valuation Committee”). |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | Non-income-producing security. |
4 | Zero coupon bond. |
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. |
Note: The categories of investments are shown as a percentage of total net assets at August 31, 2024.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■ Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by 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.
■ 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 ask quotations.
■ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Adviser.
■ 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, is deemed not representative of the fair value of such security, the Fund uses the fair value of the
10
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 Act, the Fund’s Board of Directors (the “Directors”) have designated the Adviser as the Fund’s valuation designee to perform any fair value determinations for securities and other assets held by the Fund. The Adviser is subject to the Directors’ oversight and certain reporting and other requirements intended to provide the Directors the information needed to oversee the Adviser’s fair value determinations.
The Adviser, acting through its Valuation Committee, is responsible for determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of the Adviser and certain of the Adviser’s affiliated companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is also authorized to use pricing services to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services’ policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Adviser. The Directors periodically review the fair valuations made by the Valuation Committee. The Directors have also approved the Adviser’s fair valuation and significant events procedures as part of the Fund’s compliance program and will review any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and ask for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Adviser.
The Adviser has also adopted procedures requiring an investment to be priced at its fair value whenever the Valuation Committee determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment’s value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
■ With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;
■ Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;
■ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer’s operations or regulatory changes or market developments affecting the issuer’s industry.
The Adviser has adopted procedures whereby the Valuation Committee uses a pricing service to provide factors to update the fair value of equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the pricing time of the Fund. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Valuation Committee will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Adviser. The Directors periodically review fair valuations made in response to significant events.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
11
The following is a summary of the inputs used, as of August 31, 2024, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
U.S. Treasuries | $— | $34,016,050 | $— | $34,016,050 |
Mortgage-Backed Securities | — | 29,405,067 | — | 29,405,067 |
Corporate Bonds | — | 22,435,972 | 21,900 | 22,457,872 |
Collateralized Mortgage Obligations | — | 20,266,284 | — | 20,266,284 |
Asset-Backed Securities | — | 7,801,041 | — | 7,801,041 |
Foreign Governments/Agency | — | 2,578,294 | — | 2,578,294 |
Agency Risk Transfer Security | — | 1,315,905 | — | 1,315,905 |
Purchased Call Options | — | 515,057 | — | 515,057 |
Purchased Put Options | — | 77,710 | — | 77,710 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 12,299,337 | — | — | 12,299,337 |
International | 629,984 | — | — | 629,984 |
Preferred Stock | ||||
Domestic | — | — | 400 | 400 |
Investment Companies | 458,845,748 | — | — | 458,845,748 |
TOTAL SECURITIES | $471,775,069 | $118,411,380 | $22,300 | $590,208,749 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $43,613 | $— | $— | $43,613 |
Liabilities | ||||
Futures Contracts | (142,722) | — | — | (142,722) |
Written Options Contracts | — | (1,186,219) | — | (1,186,219) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(99,109) | $(1,186,219) | $— | $(1,285,328) |
The following acronym(s) are used throughout this portfolio: | ||
AUD | —Australian Dollar | |
BKNT | —Bank Notes | |
CAS | —Connecticut Avenue Securities | |
FHLMC | —Federal Home Loan Mortgage Corporation | |
FNMA | —Federal National Mortgage Association | |
GMTN | —Global Medium Term Note | |
MTN | —Medium Term Note | |
MXN | —Mexican Peso | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
REIT | —Real Estate Investment Trust | |
REMIC | —Real Estate Mortgage Investment Conduit | |
SOFR | —Secured Overnight Financing Rate | |
USD | —United States Dollar | |
ZAR | —South African Rand |
12