United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-6447
(Investment Company Act File Number)
Federated Hermes Fixed Income Securities, Inc.
______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 11/30/21
Date of Reporting Period: Six months ended 05/31/21
Item 1. | Reports to Stockholders |
![](https://capedge.com/proxy/N-CSRS/0001623632-21-000875/img1e48b90a1.gif)
Share Class | Ticker | A | STIAX | B | SINBX | C | SINCX |
F | STFSX | Institutional | STISX | R6 | STILX |
Federated Hermes Strategic Income Fund
A Portfolio of Federated Hermes Fixed Income Securities, Inc.
![](https://capedge.com/proxy/N-CSRS/0001623632-21-000875/donahuechrissigsmall.jpg)
Portfolio Composition | Percentage of Total Net Assets2 |
Corporate Debt Securities | 51.9% |
Collateralized Mortgage Obligations | 11.9% |
Foreign Government Securities | 9.0% |
Bank Loan Core Fund | 5.3% |
U.S. Treasury Securities | 4.5% |
Other Security Types3 | 4.0% |
Asset-Backed Securities | 0.8% |
Derivative Contracts4 | 0.5% |
Mortgage-Backed Securities5 | 0.5% |
Cash Equivalents6 | 6.9% |
Other Assets and Liabilities—Net7 | 4.7% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of these investments. |
2 | As of the date specified above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, the affiliated investment companies (other than an affiliated money market mutual fund and Bank Loan Core Fund) in which the Fund invested greater than 10% of its net assets are not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata portion of each security and each other asset and liability owned by the affiliated investment company. Accordingly, the percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. |
3 | Other Security Types consist of common stock, preferred stock, purchased options and exchange-traded funds. |
4 | Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts may consist of futures, forwards, options and swaps. The impact of a derivative contract on the Fund’s performance may be larger than its unrealized appreciation (depreciation) or value may indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract’s significance to the portfolio. More complete information regarding the Fund’s direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report. |
5 | For purposes of this table, Mortgage-Backed Securities include mortgage-backed securities guaranteed by Government Sponsored Entities and adjustable rate mortgage-backed securities. |
6 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those representing securities lending collateral. |
7 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount, Shares or Contracts | Value | ||
U.S. TREASURIES— 4.5% | |||
Treasury Securities— 4.5% | |||
$20,000,000 | United States Treasury Note, 0.125%, 4/30/2023 | $19,995,666 | |
5,000,000 | United States Treasury Note, 0.625%, 8/15/2030 | 4,608,635 | |
20,000,000 | United States Treasury Note, 1.625%, 6/30/2021 | 20,026,316 | |
TOTAL U.S. TREASURIES (IDENTIFIED COST $44,908,984) | 44,630,617 | ||
CORPORATE BONDS— 3.9% | |||
Basic Industry - Chemicals— 0.0% | |||
135,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | 163,510 | |
Basic Industry - Metals & Mining— 0.1% | |||
200,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 3.625%, 9/11/2024 | 217,149 | |
75,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 75,047 | |
55,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.875%, 4/27/2051 | 55,128 | |
200,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | 277,125 | |
TOTAL | 624,449 | ||
Capital Goods - Aerospace & Defense— 0.2% | |||
80,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 88,637 | |
100,000 | Boeing Co., Sr. Unsecd. Note, 2.196%, 2/4/2026 | 100,444 | |
180,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 181,852 | |
215,000 | Boeing Co., Sr. Unsecd. Note, 3.625%, 2/1/2031 | 228,178 | |
30,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 29,697 | |
160,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 175,345 | |
65,000 | Leidos, Inc., Sr. Unsecd. Note, 144A, 2.300%, 2/15/2031 | 62,291 | |
35,000 | Leidos, Inc., Unsecd. Note, 144A, 3.625%, 5/15/2025 | 38,146 | |
100,000 | Leidos, Inc., Unsecd. Note, 144A, 4.375%, 5/15/2030 | 112,454 | |
200,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 2.900%, 3/1/2025 | 215,753 | |
85,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 3.250%, 1/15/2028 | 92,067 | |
40,000 | Textron, Inc., Sr. Unsecd. Note, 2.450%, 3/15/2031 | 39,622 | |
200,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 217,243 | |
TOTAL | 1,581,729 | ||
Capital Goods - Building Materials— 0.0% | |||
20,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 21,410 | |
80,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 85,594 | |
140,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 152,466 | |
135,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.700%, 2/15/2031 | 137,470 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Capital Goods - Building Materials— continued | |||
$ 35,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.722%, 2/15/2030 | $35,970 | |
TOTAL | 432,910 | ||
Capital Goods - Construction Machinery— 0.0% | |||
195,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 216,694 | |
100,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 111,252 | |
TOTAL | 327,946 | ||
Capital Goods - Diversified Manufacturing— 0.1% | |||
85,000 | General Electric Co., Sr. Unsecd. Note, 3.625%, 5/1/2030 | 93,445 | |
75,000 | General Electric Co., Sr. Unsecd. Note, 4.500%, 3/11/2044 | 87,863 | |
90,000 | Lennox International, Inc., Sr. Unsecd. Note, 1.350%, 8/1/2025 | 90,567 | |
35,000 | Otis Worldwide Corp., Sr. Unsecd. Note, Series WI, 2.565%, 2/15/2030 | 35,748 | |
100,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 1.750%, 2/15/2031 | 94,103 | |
75,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 87,203 | |
90,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 96,144 | |
65,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 64,368 | |
TOTAL | 649,441 | ||
Communications - Cable & Satellite— 0.1% | |||
65,000 | Charter Communications Operating LLC, 5.375%, 5/1/2047 | 75,991 | |
30,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 2.300%, 2/1/2032 | 28,195 | |
60,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.700%, 4/1/2051 | 56,481 | |
50,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | 45,997 | |
50,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Term Loan - 1st Lien, 3.900%, 6/1/2052 | 48,069 | |
325,000 | Comcast Corp., Sr. Unsecd. Note, 1.500%, 2/15/2031 | 302,260 | |
200,000 | Comcast Corp., Sr. Unsecd. Note, 3.150%, 2/15/2028 | 217,992 | |
100,000 | Comcast Corp., Sr. Unsecd. Note, 3.400%, 4/1/2030 | 109,073 | |
30,000 | Comcast Corp., Sr. Unsecd. Note, 3.450%, 2/1/2050 | 31,265 | |
200,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 224,650 | |
TOTAL | 1,139,973 | ||
Communications - Media & Entertainment— 0.2% | |||
35,000 | Alphabet, Inc., Sr. Unsecd. Note, 1.900%, 8/15/2040 | 30,946 | |
50,000 | Discovery Communications LLC, Sr. Unsecd. Note, 3.900%, 11/15/2024 | 54,610 | |
100,000 | Discovery Communications LLC, Sr. Unsecd. Note, 4.650%, 5/15/2050 | 111,369 | |
65,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 4.709%, 1/25/2029 | 75,420 | |
100,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 5.576%, 1/25/2049 | 128,092 | |
150,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 3.375%, 3/1/2041 | 149,435 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Communications - Media & Entertainment— continued | |||
$ 100,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.450%, 4/30/2030 | $99,544 | |
25,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.000%, 1/15/2026 | 27,857 | |
100,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.950%, 1/15/2031 | 118,592 | |
40,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.950%, 5/19/2050 | 47,679 | |
300,000 | Walt Disney Co., Sr. Unsecd. Note, 2.650%, 1/13/2031 | 309,919 | |
300,000 | Walt Disney Co., Sr. Unsecd. Note, 3.000%, 9/15/2022 | 310,857 | |
TOTAL | 1,464,320 | ||
Communications - Telecom Wireless— 0.1% | |||
235,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 262,022 | |
140,000 | Crown Castle International Corp., Sr. Unsecd. Note, 5.200%, 2/15/2049 | 174,468 | |
60,000 | T-Mobile USA, Inc., 3.300%, 2/15/2051 | 56,536 | |
25,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 144A, 4.500%, 4/15/2050 | 28,323 | |
165,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 144A, 3.875%, 4/15/2030 | 181,166 | |
TOTAL | 702,515 | ||
Communications - Telecom Wirelines— 0.2% | |||
175,000 | AT&T, Inc., Sr. Unsecd. Note, 144A, 2.550%, 12/1/2033 | 169,205 | |
100,000 | AT&T, Inc., Sr. Unsecd. Note, 0.900%, 3/25/2024 | 100,284 | |
100,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 100,912 | |
100,000 | AT&T, Inc., Sr. Unsecd. Note, 2.750%, 6/1/2031 | 101,391 | |
225,000 | AT&T, Inc., Sr. Unsecd. Note, 3.650%, 6/1/2051 | 225,327 | |
40,000 | AT&T, Inc., Sr. Unsecd. Note, 3.850%, 6/1/2060 | 40,096 | |
85,000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | 102,827 | |
150,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.213%, 3/8/2047 | 180,403 | |
395,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 2.550%, 3/21/2031 | 397,507 | |
50,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.000%, 3/22/2027 | 53,901 | |
65,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.550%, 3/22/2051 | 66,006 | |
152,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.672%, 3/15/2055 | 187,617 | |
TOTAL | 1,725,476 | ||
Consumer Cyclical - Automotive— 0.4% | |||
100,000 | American Honda Finance Corp., Sr. Unsecd. Note, Series MTN, 0.875%, 7/7/2023 | 101,177 | |
100,000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | 119,292 | |
50,000 | General Motors Co., Sr. Unsecd. Note, 5.400%, 4/1/2048 | 61,283 | |
25,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.150%, 6/19/2023 | 26,706 | |
50,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 0.800%, 1/8/2024 | 49,926 | |
60,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | 61,685 | |
25,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 10/15/2027 | 25,493 | |
3,000,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 3.000%, 2/10/2027 | 3,177,668 | |
200,000 | Stellantis N.V., Sr. Unsecd. Note, 5.250%, 4/15/2023 | 216,633 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Consumer Cyclical - Automotive— continued | |||
$ 120,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series GMTN, 2.700%, 1/11/2023 | $124,816 | |
TOTAL | 3,964,679 | ||
Consumer Cyclical - Retailers— 0.1% | |||
160,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 176,423 | |
50,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.550%, 7/26/2027 | 54,818 | |
100,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 102,990 | |
45,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.500%, 10/1/2025 | 50,206 | |
45,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 53,005 | |
75,000 | CVS Health Corp., Sr. Unsecd. Note, 2.625%, 8/15/2024 | 79,665 | |
250,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 309,133 | |
100,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | 106,093 | |
60,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.700%, 4/15/2030 | 63,300 | |
120,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 129,501 | |
65,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 1.750%, 3/15/2031 | 61,445 | |
50,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 3.600%, 9/1/2027 | 55,650 | |
TOTAL | 1,242,229 | ||
Consumer Cyclical - Services— 0.1% | |||
200,000 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 3.600%, 11/28/2024 | 217,415 | |
50,000 | Amazon.com, Inc., Sr. Unsecd. Note, 2.100%, 5/12/2031 | 50,181 | |
250,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 276,000 | |
75,000 | Booking Holdings, Inc., Sr. Unsecd. Note, 4.625%, 4/13/2030 | 87,772 | |
200,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 224,897 | |
125,000 | Expedia Group, Inc., Sr. Unsecd. Note, 144A, 2.950%, 3/15/2031 | 124,846 | |
60,000 | Expedia Group, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/1/2025 | 69,975 | |
160,000 | IHS Markit Ltd., Sr. Unsecd. Note, 4.750%, 8/1/2028 | 186,798 | |
120,000 | Visa, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2027 | 129,996 | |
TOTAL | 1,367,880 | ||
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 | 71,597 | |
250,000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 300,229 | |
50,000 | Anheuser-Busch InBev Finance, Inc., 3.650%, 2/1/2026 | 55,324 | |
50,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.600%, 4/15/2048 | 58,022 | |
150,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 1.850%, 9/1/2032 | 141,310 | |
150,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 153,994 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Consumer Non-Cyclical - Food/Beverage— continued | |||
$ 50,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.400%, 11/15/2025 | $56,886 | |
100,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 5.250%, 11/15/2048 | 128,835 | |
35,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 34,627 | |
50,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 54,531 | |
90,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.832%, 10/15/2027 | 89,553 | |
100,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 5.085%, 5/25/2048 | 127,883 | |
50,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.000%, 6/1/2026 | 52,819 | |
100,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 107,406 | |
35,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 2.500%, 4/15/2030 | 35,487 | |
75,000 | PepsiCo, Inc., Sr. Unsecd. Note, 3.625%, 3/19/2050 | 83,491 | |
100,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 99,889 | |
70,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027 | 77,095 | |
155,000 | Sysco Corp., Sr. Unsecd. Note, 3.300%, 7/15/2026 | 169,371 | |
75,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 86,895 | |
TOTAL | 1,985,244 | ||
Consumer Non-Cyclical - Health Care— 0.0% | |||
55,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 2.100%, 6/4/2030 | 53,670 | |
80,000 | Dentsply Sirona, Inc., Sr. Unsecd. Note, 3.250%, 6/1/2030 | 84,603 | |
45,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 46,641 | |
170,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 181,837 | |
35,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 4.133%, 3/25/2025 | 39,031 | |
TOTAL | 405,782 | ||
Consumer Non-Cyclical - Pharmaceuticals— 0.1% | |||
150,000 | AbbVie, Inc., Sr. Unsecd. Note, 2.950%, 11/21/2026 | 161,085 | |
90,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | 96,609 | |
90,000 | AbbVie, Inc., Sr. Unsecd. Note, 4.250%, 11/21/2049 | 103,815 | |
150,000 | Amgen, Inc., Sr. Unsecd. Note, 2.450%, 2/21/2030 | 152,571 | |
200,000 | AstraZeneca PLC, Sr. Unsecd. Note, 4.000%, 1/17/2029 | 228,635 | |
200,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.250%, 12/15/2025 | 224,376 | |
90,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 88,837 | |
75,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 3.400%, 7/26/2029 | 83,107 | |
55,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.250%, 10/26/2049 | 66,034 | |
50,000 | Royalty Pharma PLC, Sr. Unsecd. Note, 144A, 1.200%, 9/2/2025 | 49,635 | |
90,000 | Royalty Pharma PLC, Sr. Unsecd. Note, 144A, 1.750%, 9/2/2027 | 89,211 | |
50,000 | Royalty Pharma PLC, Unsecd. Note, 144A, 0.750%, 9/2/2023 | 50,039 | |
TOTAL | 1,393,954 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Consumer Non-Cyclical - Products— 0.0% | |||
$ 150,000 | Procter & Gamble Co., Sr. Unsecd. Note, 3.000%, 3/25/2030 | $163,553 | |
Consumer Non-Cyclical - Supermarkets— 0.0% | |||
75,000 | Kroger Co., Sr. Unsecd. Note, 4.450%, 2/1/2047 | 85,471 | |
Consumer Non-Cyclical - Tobacco— 0.0% | |||
80,000 | Altria Group, Inc., Sr. Unsecd. Note, 2.450%, 2/4/2032 | 75,830 | |
80,000 | Altria Group, Inc., Sr. Unsecd. Note, 2.625%, 9/16/2026 | 84,177 | |
100,000 | Altria Group, Inc., Sr. Unsecd. Note, 3.700%, 2/4/2051 | 91,077 | |
50,000 | Bat Capital Corp., Sr. Unsecd. Note, 3.984%, 9/25/2050 | 46,546 | |
100,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 129,949 | |
TOTAL | 427,579 | ||
Energy - Independent— 0.1% | |||
175,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 196,669 | |
200,000 | EOG Resources, Inc., Sr. Unsecd. Note, 4.150%, 1/15/2026 | 225,840 | |
25,000 | Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027 | 28,134 | |
50,000 | Marathon Oil Corp., Sr. Unsecd. Note, 5.200%, 6/1/2045 | 57,720 | |
TOTAL | 508,363 | ||
Energy - Integrated— 0.1% | |||
100,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 1.749%, 8/10/2030 | 96,019 | |
300,000 | Exxon Mobil Corp., Sr. Unsecd. Note, 3.482%, 3/19/2030 | 332,057 | |
75,000 | Shell International Finance B.V., Sr. Unsecd. Note, 2.750%, 4/6/2030 | 78,823 | |
70,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | 79,833 | |
TOTAL | 586,732 | ||
Energy - Midstream— 0.1% | |||
145,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 165,432 | |
80,000 | Energy Transfer Operating, Sr. Unsecd. Note, 5.000%, 5/15/2050 | 88,526 | |
250,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 273,374 | |
100,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.700%, 1/31/2051 | 100,596 | |
75,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 4.150%, 2/1/2024 | 81,331 | |
200,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 268,376 | |
100,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.550%, 7/15/2028 | 113,001 | |
50,000 | ONEOK, Inc., Sr. Unsecd. Note, 5.200%, 7/15/2048 | 58,371 | |
115,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 127,006 | |
TOTAL | 1,276,013 | ||
Energy - Refining— 0.0% | |||
160,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 4/1/2029 | 175,336 | |
Financial Institution - Banking— 0.6% | |||
150,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 164,236 | |
200,000 | Bank of America Corp., Sr. Unsecd. Note, 2.592%, 4/29/2031 | 203,733 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 350,000 | Bank of America Corp., Sr. Unsecd. Note, 2.687%, 4/22/2032 | $355,109 | |
100,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.884%, 10/22/2030 | 104,073 | |
250,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 275,916 | |
100,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.661%, 5/16/2023 | 102,341 | |
95,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 102,986 | |
275,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.561%, 5/1/2032 | 275,848 | |
165,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.976%, 11/5/2030 | 172,771 | |
270,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 296,882 | |
270,000 | Citizens Financial Group, Inc., Sub. Note, 144A, 2.638%, 9/30/2032 | 267,519 | |
200,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 220,197 | |
100,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 114,361 | |
55,000 | FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 56,023 | |
200,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.615%, 4/22/2032 | 201,690 | |
350,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.814%, 4/23/2029 | 388,289 | |
200,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.262%, 3/13/2023 | 204,629 | |
55,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 0.824%, 6/1/2025 | 55,098 | |
170,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.953%, 2/4/2032 | 162,475 | |
525,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.580%, 4/22/2032 | 529,338 | |
200,000 | Manufacturers & Traders Trust Co., Sr. Unsecd. Note, Series BKNT, 2.500%, 5/18/2022 | 204,101 | |
90,000 | Morgan Stanley, Sr. Unsecd. Note, 1.593%, 5/4/2027 | 90,866 | |
250,000 | Morgan Stanley, Sr. Unsecd. Note, 3.625%, 1/20/2027 | 278,672 | |
100,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.928%, 4/28/2032 | 95,426 | |
95,875 | 1 | Regional Diversified Funding, 144A, 9.250%, 3/15/2030 | 40,268 |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 220,224 | |
100,000 | US Bancorp, Sr. Unsecd. Note, Series MTN, 1.375%, 7/22/2030 | 94,352 | |
475,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 515,146 | |
275,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.879%, 10/30/2030 | 288,318 | |
TOTAL | 6,080,887 | ||
Financial Institution - Broker/Asset Mgr/Exchange— 0.0% | |||
70,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 69,134 | |
Financial Institution - Finance Companies— 0.0% | |||
230,000 | GE Capital International Funding, Inc., Sr. Unsecd. Note, 4.418%, 11/15/2035 | 267,777 | |
Financial Institution - Insurance - Life— 0.1% | |||
200,000 | AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029 | 219,146 | |
200,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 218,685 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Financial Institution - Insurance - Life— continued | |||
$ 75,000 | American International Group, Inc., Unsecd. Note, 3.875%, 1/15/2035 | $83,006 | |
150,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 183,484 | |
180,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 199,453 | |
50,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 2.125%, 6/15/2030 | 49,225 | |
TOTAL | 952,999 | ||
Financial Institution - Insurance - P&C— 0.0% | |||
45,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 6/15/2023 | 48,343 | |
Financial Institution - REIT - Apartment— 0.1% | |||
195,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 213,486 | |
50,000 | Camden Property Trust, Sr. Unsecd. Note, 2.800%, 5/15/2030 | 51,982 | |
165,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | 169,446 | |
TOTAL | 434,914 | ||
Financial Institution - REIT - Healthcare— 0.0% | |||
160,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 180,682 | |
115,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031 | 116,607 | |
TOTAL | 297,289 | ||
Financial Institution - REIT - Office— 0.1% | |||
90,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 100,636 | |
110,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | 123,156 | |
210,000 | Boston Properties LP, Sr. Unsecd. Note, 4.500%, 12/1/2028 | 241,876 | |
TOTAL | 465,668 | ||
Financial Institution - REIT - Other— 0.0% | |||
40,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.250%, 10/1/2026 | 45,105 | |
135,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 148,284 | |
TOTAL | 193,389 | ||
Financial Institution - REIT - Retail— 0.0% | |||
120,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 132,991 | |
Oil & Gas— 0.2% | |||
2,010,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 2.900%, 8/15/2024 | 2,007,487 | |
Technology— 0.3% | |||
50,000 | Apple, Inc., Sr. Unsecd. Note, 3.000%, 11/13/2027 | 54,780 | |
100,000 | Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044 | 123,373 | |
75,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 82,193 | |
90,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.419%, 4/15/2033 | 91,883 | |
55,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2051 | 53,526 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Technology— continued | |||
$ 150,000 | Dell International LLC / EMC Corp., Term Loan - 1st Lien, 144A, 5.300%, 10/1/2029 | $177,740 | |
50,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, 144A, 6.020%, 6/15/2026 | 59,635 | |
85,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 89,944 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 225,147 | |
110,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 119,553 | |
350,000 | Ingram Micro, Inc., Sr. Unsecd. Note, 5.450%, 12/15/2024 | 401,030 | |
65,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029 | 67,876 | |
125,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 142,986 | |
25,000 | Micron Technology, Inc., Sr. Unsecd. Note, 2.497%, 4/24/2023 | 25,935 | |
30,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.185%, 2/15/2027 | 33,909 | |
150,000 | Microsoft Corp., Sr. Unsecd. Note, 3.300%, 2/6/2027 | 167,270 | |
200,000 | Oracle Corp., Sr. Unsecd. Note, 3.250%, 11/15/2027 | 217,602 | |
150,000 | Oracle Corp., Sr. Unsecd. Note, 3.650%, 3/25/2041 | 153,152 | |
25,000 | Skyworks Solutions, Inc., Sr. Unsecd. Note, 1.800%, 6/1/2026 | 25,197 | |
80,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 92,072 | |
65,000 | Vontier Corp., Sr. Unsecd. Note, 144A, 1.800%, 4/1/2026 | 64,993 | |
25,000 | Vontier Corp., Sr. Unsecd. Note, 144A, 2.950%, 4/1/2031 | 24,763 | |
TOTAL | 2,494,559 | ||
Technology Services— 0.0% | |||
45,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 45,171 | |
Transportation - Airlines— 0.0% | |||
70,000 | Southwest Airlines Co., Sr. Unsecd. Note, 4.750%, 5/4/2023 | 75,501 | |
70,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | 80,335 | |
TOTAL | 155,836 | ||
Transportation - Railroads— 0.0% | |||
65,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 66,349 | |
Transportation - Services— 0.1% | |||
80,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 3.300%, 12/1/2026 | 87,308 | |
130,000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | 143,418 | |
75,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.400%, 11/15/2026 | 81,638 | |
200,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.950%, 3/10/2025 | 219,504 | |
TOTAL | 531,868 | ||
Utility - Electric— 0.2% | |||
50,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 50,352 | |
25,000 | Black Hills Corp., Sr. Unsecd. Note, 3.875%, 10/15/2049 | 25,952 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Utility - Electric— continued | |||
$ 175,000 | CenterPoint Energy, Inc., Sr. Unsecd. Note, 2.650%, 6/1/2031 | $175,930 | |
110,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series A, 1.450%, 4/15/2026 | 110,757 | |
200,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.450%, 6/1/2030 | 199,777 | |
80,000 | Duke Energy Corp., Sr. Unsecd. Note, 3.950%, 8/15/2047 | 85,412 | |
200,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.875%, 6/14/2029 | 235,311 | |
40,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 44,714 | |
140,000 | Kansas City Power and Light Co., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 163,650 | |
30,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 1.000%, 6/15/2026 | 29,699 | |
110,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 2.950%, 2/7/2024 | 116,641 | |
155,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.150%, 4/1/2024 | 166,047 | |
45,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.490%, 5/15/2027 | 49,648 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 75,625 | |
185,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 196,196 | |
185,000 | Virginia Electric & Power Co., Sr. Unsecd. Note, Series A, 3.500%, 3/15/2027 | 205,620 | |
TOTAL | 1,931,331 | ||
Utility - Natural Gas— 0.0% | |||
65,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series C, 3.900%, 11/15/2049 | 68,509 | |
30,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 29,844 | |
100,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 116,194 | |
180,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 214,081 | |
TOTAL | 428,628 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $37,031,442) | 38,999,704 | ||
COMMON STOCKS— 3.8% | |||
Auto Components— 0.2% | |||
65,683 | 2 | American Axle & Manufacturing Holdings, Inc. | 735,650 |
32,781 | 2 | Goodyear Tire & Rubber Co. | 650,047 |
3,720 | Lear Corp. | 719,299 | |
TOTAL | 2,104,996 | ||
Chemicals— 0.1% | |||
34,410 | 2 | Koppers Holdings, Inc. | 1,192,995 |
Commercial Services & Supplies— 0.3% | |||
14,630 | Brinks Co. (The) | 1,103,248 |
Principal Amount, Shares or Contracts | Value | ||
COMMON STOCKS— continued | |||
Commercial Services & Supplies— continued | |||
73,560 | 2 | KAR Auction Services, Inc. | $1,319,667 |
TOTAL | 2,422,915 | ||
Communications Equipment— 0.1% | |||
17,395 | 2 | Lumentum Holdings, Inc. | 1,415,431 |
Containers & Packaging— 0.4% | |||
74,458 | Graphic Packaging Holding Co. | 1,316,418 | |
83,261 | 2 | O-I Glass, Inc. | 1,534,500 |
21,398 | WestRock Co. | 1,247,931 | |
TOTAL | 4,098,849 | ||
Electric Utilities— 0.1% | |||
23,075 | NRG Energy, Inc. | 741,861 | |
Gas Utilities— 0.1% | |||
66,936 | Suburban Propane Partners LP | 983,959 | |
Hotels Restaurants & Leisure— 0.3% | |||
11,580 | 2 | Boyd Gaming Corp. | 745,636 |
37,225 | 2 | Red Rock Resorts, Inc. | 1,665,819 |
TOTAL | 2,411,455 | ||
Independent Power Producers & Energy Traders— 0.1% | |||
38,115 | Vistra Corp. | 616,320 | |
IT Services— 0.1% | |||
13,200 | Science Applications International Corp. | 1,186,152 | |
Media— 0.9% | |||
30,395 | 2 | Altice USA, Inc. | 1,096,044 |
273,600 | 2 | Audacy, Inc. | 1,190,160 |
214,860 | 2 | Cumulus Media, Inc. | 2,359,163 |
20,725 | 2 | Emerald Holding, Inc. | 117,096 |
58,545 | 2 | iHeartMedia, Inc. | 1,358,829 |
3,315 | Nexstar Media Group, Inc. | 503,582 | |
70,590 | 2 | Townsquare Media, Inc. | 976,260 |
285,835 | 2 | Urban One, Inc. | 1,372,008 |
TOTAL | 8,973,142 | ||
Metals & Mining— 0.2% | |||
14,330 | Compass Minerals International, Inc. | 1,001,667 | |
54,975 | Teck Resources Ltd. | 1,358,432 | |
TOTAL | 2,360,099 | ||
Oil Gas & Consumable Fuels— 0.4% | |||
37,559 | Devon Energy Corp. | 997,567 | |
29,935 | Enviva Partners LP/Enviva Partners Finance Corp. | 1,463,821 | |
5,651 | Pioneer Natural Resources, Inc. | 860,026 |
Principal Amount, Shares or Contracts | Value | ||
COMMON STOCKS— continued | |||
Oil Gas & Consumable Fuels— continued | |||
28,015 | Sunoco LP | $981,646 | |
TOTAL | 4,303,060 | ||
Pharmaceuticals— 0.1% | |||
42,445 | 2 | Bausch Health Cos, Inc. | 1,365,031 |
Technology Hardware Storage & Peripherals— 0.2% | |||
8,270 | 2 | Dell Technologies, Inc. | 815,753 |
19,830 | 2 | NCR Corp. | 955,806 |
TOTAL | 1,771,559 | ||
Textiles Apparel & Luxury Goods— 0.1% | |||
25,525 | Hanesbrands, Inc. | 498,758 | |
Trading Companies & Distributors— 0.1% | |||
19,960 | 2 | GMS, Inc. | 913,968 |
TOTAL COMMON STOCKS (IDENTIFIED COST $33,083,438) | 37,360,550 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS— 0.8% | |||
Commercial Mortgage— 0.6% | |||
$ 810,000 | Bank 2018-BN12, Class A4, 4.255%, 5/15/2061 | 935,682 | |
500,000 | 3 | Bank 2018-BN15, Class A4, 4.407% (12-month USLIBOR +0.000%), 11/15/2061 | 584,229 |
675,000 | Benchmark Mortgage Trust 2019-B11, Class A5, 3.542%, 5/15/2052 | 752,751 | |
520,000 | Benchmark Mortgage Trust 2021-B26, Class A2, 1.957%, 6/15/2054 | 537,068 | |
1,000,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | 1,075,118 | |
1,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 1,048,877 | |
1,000,000 | Morgan Stanley Capital I 2012-C4, Class AS, 3.773%, 3/15/2045 | 1,015,558 | |
TOTAL | 5,949,283 | ||
Federal Home Loan Mortgage Corporation REMIC— 0.2% | |||
800,000 | FHLMC REMIC, Series K070, Class A2, 3.303%, 11/25/2027 | 900,260 | |
694,901 | FHLMC REMIC, Series K105, Class A1, 1.536%, 9/25/2029 | 700,526 | |
TOTAL | 1,600,786 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $7,148,166) | 7,550,069 | ||
COMMERCIAL MORTGAGE-BACKED SECURITY— 0.1% | |||
Agency Commercial Mortgage-Backed Securities— 0.1% | |||
1,000,000 | FREMF Mortgage Trust 2013-K25 REMIC, Class B, 3.620%, 11/25/2045 (IDENTIFIED COST $1,004,153) | 1,033,848 | |
PREFERRED STOCK— 0.0% | |||
Financials— 0.0% | |||
40,000 | 1,2,4 | Lehman Brothers Holdings, Inc., Pfd., 5.670% (IDENTIFIED COST $3,400) | 400 |
Principal Amount, Shares or Contracts | Value | ||
PURCHASED CALL OPTIONS— 0.0% | |||
7,500,000 | 2 | Morgan Stanley AUD CALL/USD PUT, Notional Amount:$17,500,000, Exercise Price $0.77. Expiration Date 7/14/2021 | $98,535 |
15,000,000 | 2 | Morgan Stanley USD CALL/ZAR PUT, Notional Amount: $30,000,000, Exercise Price $14.30. Expiration Date 8/9/2021 | 218,655 |
TOTAL PURCHASED CALL OPTIONS (IDENTIFIED COST $566,745) | 317,190 | ||
PURCHASED PUT OPTIONS— 0.1% | |||
3,000 | 2 | Chicago Board Options Exchange SPX Volatility Index, Notional Amount $5,028,000, Exercise Price $16, Expiration Date 7/21/2021 | 127,500 |
3,000 | 2 | Chicago Board Options Exchange SPX Volatility Index, Notional Amount $5,028,000, Exercise Price $22, Expiration Date 7/21/2021 | 1,170,000 |
250 | United States 10 Year, Notional Amount: $19,375 Exercise Price $131, Expiration Date 7/23/2021 | 121,094 | |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $946,933) | 1,418,594 | ||
INVESTMENT COMPANIES— 86.6% | |||
5,433,125 | Bank Loan Core Fund | 52,538,315 | |
25,345,631 | Emerging Markets Core Fund | 260,553,089 | |
24,169,198 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 0.03%5 | 24,174,449 | |
60,903,078 | High Yield Bond Core Fund | 386,734,544 | |
13,658,844 | Mortgage Core Fund | 135,359,145 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $851,349,163) | 859,359,542 | ||
TOTAL INVESTMENT IN SECURITIES—99.8% (IDENTIFIED COST $976,042,424)6 | 990,670,514 | ||
OTHER ASSETS AND LIABILITIES - NET—0.2%7 | 2,030,538 | ||
TOTAL NET ASSETS—100% | $992,701,052 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
2United States Treasury Notes 2-Year Long Futures | 35 | $7,725,703 | September 2021 | $3,520 |
2United States Treasury Notes 5-Year Long Futures | 15 | $1,857,773 | September 2021 | $3,130 |
Short Futures: | ||||
2United States Treasury Notes 10-Year Short Futures | 165 | $21,769,687 | September 2021 | $(39,060) |
2United States Treasury Notes 10-Year Ultra Short Futures | 10 | $1,449,531 | September 2021 | $(2,034) |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(34,444) |
Settlement Date | Counterparty | Foreign Currency Units to Deliver/Receive | In Exchange For | Net Unrealized Appreciation/ (Depreciation) | |
Contracts Purchased: | |||||
6/11/2021 | State Street Bank & Trust Co. | 1,350,000 | AUD | $1,005,167 | $39,648 |
6/11/2021 | Morgan Stanley | 6,120,000 | BRL | $1,193,238 | $(26,078) |
6/11/2021 | State Street Bank & Trust Co. | 1,130,000 | CAD | $882,008 | $54,179 |
6/11/2021 | State Street Bank & Trust Co. | 1,100,000 | CHF | $1,243,618 | $(19,551) |
6/11/2021 | HSBC Bank USA | 7,860,000 | CNY | $1,187,939 | $47,064 |
6/11/2021 | Morgan Stanley | 4,161,600,000 | COP | $1,193,876 | $(72,154) |
6/11/2021 | Credit Agricole CIB | 825,000 | EUR | $1,000,640 | $8,382 |
6/11/2021 | State Street Bank & Trust Co. | 750,000 | GBP | $1,005,755 | $59,774 |
6/11/2021 | Morgan Stanley | 36,250,000,000 | IDR | $2,501,207 | $35,423 |
6/11/2021 | Credit Agricole CIB | 88,400,000 | INR | $1,174,788 | $40,762 |
6/11/2021 | Morgan Stanley | 186,250,000 | INR | $2,501,343 | $59,701 |
6/11/2021 | Credit Agricole CIB | 104,000,000 | JPY | $1,000,455 | $(50,537) |
6/11/2021 | HSBC Bank USA | 24,000,000 | MXN | $1,178,354 | $24,911 |
6/22/2021 | Credit Agricole CIB | 7,500,000 | EUR | $9,082,377 | $92,527 |
6/25/2021 | Morgan Stanley | 33,282,976 | NOK | $4,000,000 | $2,679 |
Settlement Date | Counterparty | Foreign Currency Units to Deliver/Receive | In Exchange For | Net Unrealized Appreciation/ (Depreciation) | |
Contracts Sold: | |||||
6/11/2021 | Credit Agricole CIB | 1,350,000 | AUD | $1,040,769 | $(4,046) |
6/11/2021 | Morgan Stanley | 6,120,000 | BRL | $1,100,739 | $(66,421) |
6/11/2021 | Morgan Stanley | 1,130,000 | CAD | $936,898 | $712 |
6/11/2021 | CITIBANK N.A. | 1,100,000 | CHF | $1,188,100 | $(35,968) |
6/11/2021 | HSBC Bank USA | 7,860,000 | CNY | $1,222,509 | $(12,494) |
6/11/2021 | Morgan Stanley | 4,161,600,000 | COP | $1,077,297 | $(44,425) |
6/11/2021 | Barclays Bank PLC Wholesale | 825,000 | EUR | $992,929 | $(16,094) |
6/11/2021 | Morgan Stanley | 36,250,000,000 | IDR | $2,523,003 | $(13,628) |
6/11/2021 | Morgan Stanley | 274,650,000 | INR | $3,756,514 | $(20,081) |
6/11/2021 | Bank Of New York | 104,000,000 | JPY | $951,711 | $1,793 |
6/11/2021 | Bank of America N.A. | 24,000,000 | MXN | $1,193,713 | $(9,551) |
NET UNREALIZED APPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $76,527 |
Counterparty | Description | Notional Amount | Expiration Date | Exercise Price | Value |
Call Options: | |||||
Bank of New York | EUR CALL/USD PUT | $18,150,000 | June 2021 | $1.21 | $(192,953) |
Bank of New York | USD CALL/NOK PUT | $15,000,000 | July 2021 | $8.60 | $(121,335) |
Barclays | USD CALL/MXN PUT | $12,500,000 | June 2021 | $21.00 | $(21,363) |
Barclays | USD CALL/RUB PUT | $12,500,000 | September 2021 | $77.00 | $(202,037) |
Barclays | GBP CALL/USD PUT | $21,450,000 | August 2021 | $1.43 | $(187,687) |
BNP | GBP CALL/USD PUT | $1,050,000 | June 2021 | $1.40 | $(15,031) |
HSBC | USD CALL/ZAR PUT | $15,000,000 | June 2021 | $14.20 | $(97,365) |
JP Morgan | US Treasury Note 10 - Year Future (600 Contracts) | $186,000 | June 2021 | $132.00 | $(318,750) |
JP Morgan | iShares iBoxx High Yield Corporate Bond ETF (7,500 Contracts) | $65,385,000 | June 2021 | $87.00 | $(167,527) |
Morgan Stanley | AUD CALL/USD PUT | $10,000,000 | July 2021 | $0.80 | $(17,060) |
Morgan Stanley | NZD CALL/USD PUT | $10,000,000 | July 2021 | $0.74 | $(43,690) |
Morgan Stanley | USD CALL/ZAR PUT | $15,000,000 | August 2021 | $15.00 | $(93,150) |
Morgan Stanley | USD CALL/ZAR PUT | $15,000,000 | June 2021 | $14.60 | $(5,235) |
Counterparty | Description | Notional Amount | Expiration Date | Exercise Price | Value |
Put Options: | |||||
Bank of New York | USD PUT/NOK CALL | $15,000,000 | July 2021 | $8.00 | $(41,070) |
Barclays | USD PUT/MXN CALL | $12,500,000 | June 2021 | $19.50 | $(32,763) |
Barclays | GBP PUT/USD CALL | $20,850,000 | August 2021 | $1.39 | $(112,090) |
Barclays | USD PUT/RUB CALL | $12,500,000 | July 2021 | $71.75 | $(79,137) |
Barclays | USD PUT/RUB CALL | $12,500,000 | June 2021 | $72.50 | $(71,450) |
Credit Agricole | NZD PUT/USD CALL | $7,500,000 | July 2021 | $0.70 | $(23,265) |
HSBC | USD PUT/ZAR CALL | $15,000,000 | June 2021 | $13.50 | $(70,335) |
JP Morgan | Chicago Board Options Exchange SPX Volatility Index (6,000 Contracts) | $10,056,000 | July 2021 | $18.00 | $(750,000) |
JP Morgan | US Treasury Note 10 - Year Future (600 Contracts) | $186,000 | June 2021 | $131.25 | $(187,500) |
JP Morgan | iShares iBoxx High Yield Corporate Bond ETF (7,500 Contracts) | $65,385,000 | June 2021 | $85.00 | $(79,255) |
Morgan Stanley | AUD PUT/USD CALL | $7,500,000 | July 2021 | $0.76 | $(41,212) |
(Premiums Received $4,340,453) | $(2,971,260) |
Affiliates | Value as of 11/30/2020 | Purchases at Cost | Proceeds from Sales |
Bank Loan Core Fund | $10,468,457 | $41,794,266 | $— |
Emerging Markets Core Fund | $176,445,209 | $89,545,306 | $(6,000,000) |
Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares | $10,983,731 | $260,083,648 | $(246,894,383) |
High Yield Bond Core Fund | $269,156,193 | $125,800,000 | $(12,000,000) |
Mortgage Core Fund | $76,085,404 | $70,400,000 | $(9,725,250) |
TOTAL OF AFFILIATED TRANSACTIONS | $543,138,994 | $587,623,220 | $(274,619,633) |
Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 5/31/2021 | Shares Held as of 5/31/2021 | Dividend Income |
$275,592 | $— | $52,538,315 | 5,433,125 | $514,035 |
$(43,695) | $606,269 | $260,553,089 | 25,345,631 | $6,085,248 |
$1,020 | $433 | $24,174,449 | 24,169,198 | $4,244 |
$3,477,135 | $301,216 | $386,734,544 | 60,903,078 | $7,939,260 |
$(1,474,607) | $73,598 | $135,359,145 | 13,658,844 | $1,106,460 |
$2,235,445 | $981,516 | $859,359,542 | 129,509,876 | $15,649,247 |
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 | Floating/variable note with current rate and current maturity or next reset date shown. |
4 | Issuer in default. |
5 | 7-day net yield. |
6 | The cost of investments for federal tax purposes amounts to $976,022,487. |
7 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of May 31, 2021, 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 | $— | $44,630,617 | $— | $44,630,617 |
Corporate Bonds | — | 38,959,436 | 40,268 | 38,999,704 |
Collateralized Mortgage Obligations | — | 7,550,069 | — | 7,550,069 |
Commercial Mortgage-Backed Security | — | 1,033,848 | — | 1,033,848 |
Purchased Call Options | — | 317,190 | — | 317,190 |
Purchased Put Options | 1,418,594 | — | — | 1,418,594 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 34,637,087 | — | — | 34,637,087 |
International | 2,723,463 | — | — | 2,723,463 |
Preferred Stock | ||||
Domestic | — | — | 400 | 400 |
Investment Companies | 859,359,542 | — | — | 859,359,542 |
TOTAL SECURITIES | $898,138,686 | $92,491,160 | $40,668 | $990,670,514 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $6,650 | $— | $— | $6,650 |
Foreign Exchange Contracts | — | 467,555 | — | 467,555 |
Liabilities | ||||
Futures Contracts | (41,094) | — | — | (41,094) |
Foreign Exchange Contracts | — | (391,028) | — | (391,028) |
Written Options Contracts | (1,503,032) | (1,468,228) | — | (2,971,260) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(1,537,476) | $(1,391,701) | $— | $(2,929,177) |
The following acronym(s) are used throughout this portfolio: | ||
AUD | —Australian Dollar | |
BKNT | —Bank Notes | |
BRL | —Brazilian Real | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CNY | —Chinese Yuan Renminbi | |
COP | —Colombian Peso | |
ETF | —Exchange-Traded Fund | |
EUR | —Euro Currency | |
FHLMC | —Federal Home Loan Mortgage Corporation | |
FREMF | —Freddie Mac Multifamily K-Deals | |
GBP | —British Pound | |
GMTN | —Global Medium Term Note | |
IDR | —Indonesian Rupiah | |
INR | —Indian Rupee | |
JPY | —Japanese Yen | |
LIBOR | —London Interbank Offered Rate | |
MTN | —Medium Term Note | |
MXN | —Mexican Peso | |
NOK | —Norwegian Krone | |
REIT | —Real Estate Investment Trust | |
REMIC | —Real Estate Mortgage Investment Conduit | |
USD | —United States Dollar |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $9.29 | $9.09 | $8.60 | $9.08 | $8.86 | $8.63 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.18 | 0.32 | 0.36 | 0.37 | 0.36 | 0.36 |
Net realized and unrealized gain (loss) | 0.28 | 0.17 | 0.47 | (0.51) | 0.24 | 0.21 |
Total From Investment Operations | 0.46 | 0.49 | 0.83 | (0.14) | 0.60 | 0.57 |
Less Distributions: | ||||||
Distributions from net investment income | (0.19) | (0.29) | (0.34) | (0.34) | (0.38) | (0.34) |
Net Asset Value, End of Period | $9.56 | $9.29 | $9.09 | $8.60 | $9.08 | $8.86 |
Total Return2 | 5.02% | 5.56% | 9.87% | (1.56)% | 6.85% | 6.81% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.93%4 | 0.93% | 0.94% | 0.93% | 0.96% | 1.26% |
Net investment income | 3.85%4 | 3.55% | 3.99% | 4.18% | 3.99% | 4.16% |
Expense waiver/reimbursement5 | 0.11%4 | 0.13% | 0.12% | 0.13% | 0.12% | 0.09% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $306,474 | $292,259 | $307,049 | $307,761 | $342,586 | $392,737 |
Portfolio turnover | 9% | 70% | 58% | 48% | 18% | 14% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $9.27 | $9.08 | $8.58 | $9.07 | $8.85 | $8.62 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.16 | 0.25 | 0.29 | 0.30 | 0.29 | 0.30 |
Net realized and unrealized gain (loss) | 0.27 | 0.16 | 0.48 | (0.52) | 0.24 | 0.21 |
Total From Investment Operations | 0.43 | 0.41 | 0.77 | (0.22) | 0.53 | 0.51 |
Less Distributions: | ||||||
Distributions from net investment income | (0.16) | (0.22) | (0.27) | (0.27) | (0.31) | (0.28) |
Net Asset Value, End of Period | $9.54 | $9.27 | $9.08 | $8.58 | $9.07 | $8.85 |
Total Return2 | 4.62% | 4.62% | 9.18% | (2.43)% | 6.06% | 6.02% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.73%4 | 1.72% | 1.70% | 1.70% | 1.73% | 2.01% |
Net investment income | 3.11%4 | 2.77% | 3.27% | 3.41% | 3.23% | 3.41% |
Expense waiver/reimbursement5 | 0.13%4 | 0.12% | 0.12% | 0.13% | 0.12% | 0.09% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $5,671 | $8,324 | $19,567 | $28,507 | $46,640 | $57,432 |
Portfolio turnover | 9% | 70% | 58% | 48% | 18% | 14% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $9.28 | $9.09 | $8.59 | $9.07 | $8.85 | $8.62 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.16 | 0.25 | 0.29 | 0.30 | 0.29 | 0.30 |
Net realized and unrealized gain (loss) | 0.27 | 0.16 | 0.48 | (0.50) | 0.24 | 0.21 |
Total From Investment Operations | 0.43 | 0.41 | 0.77 | (0.20) | 0.53 | 0.51 |
Less Distributions: | ||||||
Distributions from net investment income | (0.16) | (0.22) | (0.27) | (0.28) | (0.31) | (0.28) |
Net Asset Value, End of Period | $9.55 | $9.28 | $9.09 | $8.59 | $9.07 | $8.85 |
Total Return2 | 4.62% | 4.65% | 9.19% | (2.30)% | 6.04% | 6.02% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.69%4 | 1.69% | 1.68% | 1.68% | 1.70% | 2.01% |
Net investment income | 3.12%4 | 2.80% | 3.28% | 3.43% | 3.25% | 3.41% |
Expense waiver/reimbursement5 | 0.11%4 | 0.12% | 0.12% | 0.14% | 0.12% | 0.09% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $35,368 | $45,955 | $58,296 | $76,758 | $132,528 | $155,650 |
Portfolio turnover | 9% | 70% | 58% | 48% | 18% | 14% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $9.22 | $9.03 | $8.54 | $9.02 | $8.81 | $8.58 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.18 | 0.31 | 0.35 | 0.37 | 0.36 | 0.36 |
Net realized and unrealized gain (loss) | 0.28 | 0.17 | 0.48 | (0.51) | 0.23 | 0.21 |
Total From Investment Operations | 0.46 | 0.48 | 0.83 | (0.14) | 0.59 | 0.57 |
Less Distributions: | ||||||
Distributions from net investment income | (0.19) | (0.29) | (0.34) | (0.34) | (0.38) | (0.34) |
Net Asset Value, End of Period | $9.49 | $9.22 | $9.03 | $8.54 | $9.02 | $8.81 |
Total Return2 | 5.07% | 5.49% | 9.95% | (1.57)% | 6.79% | 6.86% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.93%4 | 0.93% | 0.94% | 0.93% | 0.96% | 1.26% |
Net investment income | 3.86%4 | 3.56% | 3.99% | 4.18% | 3.99% | 4.16% |
Expense waiver/reimbursement5 | 0.11%4 | 0.12% | 0.12% | 0.13% | 0.11% | 0.09% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $52,121 | $51,426 | $53,136 | $51,431 | $60,561 | $69,364 |
Portfolio turnover | 9% | 70% | 58% | 48% | 18% | 14% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $9.23 | $9.04 | $8.55 | $9.03 | $8.81 | $8.58 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.17 | 0.34 | 0.38 | 0.40 | 0.38 | 0.38 |
Net realized and unrealized gain (loss) | 0.30 | 0.17 | 0.48 | (0.51) | 0.25 | 0.21 |
Total From Investment Operations | 0.47 | 0.51 | 0.86 | (0.11) | 0.63 | 0.59 |
Less Distributions: | ||||||
Distributions from net investment income | (0.21) | (0.32) | (0.37) | (0.37) | (0.41) | (0.36) |
Net Asset Value, End of Period | $9.49 | $9.23 | $9.04 | $8.55 | $9.03 | $8.81 |
Total Return2 | 5.11% | 5.83% | 10.28% | (1.25)% | 7.23% | 7.12% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.61%4 | 0.61% | 0.62% | 0.62% | 0.64% | 1.01% |
Net investment income | 4.09%4 | 3.87% | 4.23% | 4.49% | 4.24% | 4.41% |
Expense waiver/reimbursement5 | 0.17%4 | 0.20% | 0.19% | 0.18% | 0.17% | 0.09% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $585,155 | $246,898 | $275,189 | $134,398 | $136,141 | $93,764 |
Portfolio turnover | 9% | 70% | 58% | 48% | 18% | 14% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | Period Ended 11/30/20171 | |||
2020 | 2019 | 2018 | |||
Net Asset Value, Beginning of Period | $9.29 | $9.10 | $8.60 | $9.09 | $8.96 |
Income From Investment Operations: | |||||
Net investment income (loss)2 | 0.19 | 0.35 | 0.38 | 0.40 | 0.31 |
Net realized and unrealized gain (loss) | 0.29 | 0.16 | 0.49 | (0.52) | 0.11 |
Total From Investment Operations | 0.48 | 0.51 | 0.87 | (0.12) | 0.42 |
Less Distributions: | |||||
Distributions from net investment income | (0.21) | (0.32) | (0.37) | (0.37) | (0.29) |
Net Asset Value, End of Period | $9.56 | $9.29 | $9.10 | $8.60 | $9.09 |
Total Return3 | 5.19% | 5.80% | 10.35% | (1.36)% | 4.73% |
Ratios to Average Net Assets: | |||||
Net expenses4 | 0.60%5 | 0.60% | 0.61% | 0.61% | 0.61%5 |
Net investment income | 4.14%5 | 3.88% | 4.30% | 4.49% | 4.03%5 |
Expense waiver/reimbursement6 | 0.11%5 | 0.12% | 0.12% | 0.12% | 0.12%5 |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $7,912 | $5,468 | $4,390 | $3,790 | $5,251 |
Portfolio turnover | 9% | 70% | 58% | 48% | 18%7 |
1 | Reflects operations for the period from January 27, 2017 (date of initial investment) to November 30, 2017. |
2 | Per share numbers have been calculated using the average shares method. |
3 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
7 | Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended November 30, 2017. |
Assets: | |
Investment in securities, at value including $859,359,542 of investment in affiliated holdings* (identified cost $976,042,424) | $990,670,514 |
Due from broker (Note 2) | 632,000 |
Income receivable | 501,606 |
Income receivable from affiliated holdings | 3,189,873 |
Receivable for shares sold | 1,411,767 |
Unrealized appreciation on foreign exchange contracts | 467,555 |
Receivable for variation margin on futures contracts | 1,337,120 |
Total Assets | 998,210,435 |
Liabilities: | |
Payable for investments purchased | 1,427,225 |
Payable for shares redeemed | 424,019 |
Written options outstanding (premium received $4,340,453), at value | 2,971,260 |
Unrealized depreciation on foreign exchange contracts | 391,028 |
Payable for investment adviser fee (Note 5) | 50,598 |
Payable for administrative fee (Note 5) | 8,491 |
Payable for distribution services fee (Note 5) | 27,172 |
Payable for other service fees (Notes 2 and 5) | 77,743 |
Accrued expenses (Note 5) | 131,847 |
Total Liabilities | 5,509,383 |
Net assets for 104,320,393 shares outstanding | $992,701,052 |
Net Assets Consist of: | |
Paid-in capital | $1,057,294,701 |
Total distributable earnings (loss) | (64,593,649) |
Total Net Assets | $992,701,052 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Class A Shares: | |
Net asset value per share ($306,474,176 ÷ 32,068,683 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $9.56 |
Offering price per share (100/95.50 of $9.56) | $10.01 |
Redemption proceeds per share | $9.56 |
Class B Shares: | |
Net asset value per share ($5,671,256 ÷ 594,525 shares outstanding), $0.001 par value, 2,000,000,000 shares authorized | $9.54 |
Offering price per share | $9.54 |
Redemption proceeds per share (94.50/100 of $9.54) | $9.02 |
Class C Shares: | |
Net asset value per share ($35,367,973 ÷ 3,703,229 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $9.55 |
Offering price per share | $9.55 |
Redemption proceeds per share (99.00/100 of $9.55) | $9.45 |
Class F Shares: | |
Net asset value per share ($52,121,229 ÷ 5,494,497 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $9.49 |
Offering price per share (100/99.00 of $9.49) | $9.59 |
Redemption proceeds per share (99.00/100 of $9.49) | $9.40 |
Institutional Shares: | |
Net asset value per share ($585,154,586 ÷ 61,631,893 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $9.49 |
Offering price per share | $9.49 |
Redemption proceeds per share | $9.49 |
Class R6 Shares: | |
Net asset value per share ($7,911,832 ÷ 827,566 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $9.56 |
Offering price per share | $9.56 |
Redemption proceeds per share | $9.56 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Dividends (including $15,649,247 received from affiliated holdings* and net of foreign taxes withheld of $588) | $16,022,487 |
Interest | 749,530 |
TOTAL INCOME | 16,772,017 |
Expenses: | |
Investment adviser fee (Note 5) | 1,940,218 |
Administrative fee (Note 5) | 276,547 |
Custodian fees | 19,135 |
Transfer agent fees (Note 2) | 328,541 |
Directors’/Trustees’ fees (Note 5) | 3,404 |
Auditing fees | 16,555 |
Legal fees | 5,304 |
Portfolio accounting fees | 98,363 |
Distribution services fee (Note 5) | 186,055 |
Other service fees (Notes 2 and 5) | 497,109 |
Share registration costs | 61,768 |
Printing and postage | 23,354 |
Taxes | 25 |
Miscellaneous (Note 5) | 17,913 |
TOTAL EXPENSES | 3,474,291 |
Waivers and Reimbursements: | |
Waiver/reimbursement of investment adviser fee (Note 5) | (389,364) |
Reimbursement of other operating expenses (Notes 2 and 5) | (90,060) |
TOTAL WAIVERS AND REIMBURSEMENTS | (479,424) |
Net expenses | 2,994,867 |
Net investment income | 13,777,150 |
Realized and Unrealized Gain (Loss) on Investments, Foreign Currency Transactions, Foreign Exchange Contracts, Futures Contracts, Written Options and Swap Contracts: | |
Net realized gain on investments (including net realized gain of $981,516 on sales of investments in affiliated holdings*) | $13,107,296 |
Net realized loss on foreign currency transactions | (2,017,020) |
Net realized gain on foreign exchange contracts | 133,055 |
Net realized gain on futures contracts | 542,777 |
Net realized gain on written options | 2,978,312 |
Net realized gain on swap contracts | 54,867 |
Net change in unrealized appreciation of investments (including net change in unrealized appreciation of $2,235,445 of investments in affiliated holdings*) | 5,217,458 |
Net change in unrealized appreciation of translation of assets and liabilities in foreign currency | (73) |
Net change in unrealized appreciation of foreign exchange contracts | (46,476) |
Net change in unrealized depreciation of futures contracts | (30,202) |
Net change in unrealized depreciation of written options | 1,031,890 |
Net realized and unrealized gain (loss) on investments, foreign currency transactions, foreign exchange contracts, futures contracts, written options and swap contracts | 20,971,884 |
Change in net assets resulting from operations | $34,749,034 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended 11/30/2020 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $13,777,150 | $24,359,835 |
Net realized gain (loss) | 14,799,287 | (8,173,579) |
Net change in unrealized appreciation/depreciation | 6,172,597 | 10,457,275 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 34,749,034 | 26,643,531 |
Distributions to Shareholders: | ||
Class A Shares | (6,064,264) | (9,315,548) |
Class B Shares | (115,962) | (321,325) |
Class C Shares | (718,626) | (1,258,620) |
Class F Shares | (1,065,041) | (1,656,587) |
Institutional Shares | (6,498,543) | (9,647,933) |
Class R6 Shares | (136,665) | (168,039) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (14,599,101) | (22,368,052) |
Share Transactions: | ||
Proceeds from sale of shares | 394,603,094 | 150,084,678 |
Net asset value of shares issued to shareholders in payment of distributions declared | 14,074,227 | 21,505,497 |
Cost of shares redeemed | (86,455,841) | (243,163,912) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 322,221,480 | (71,573,737) |
Change in net assets | 342,371,413 | (67,298,258) |
Net Assets: | ||
Beginning of period | 650,329,639 | 717,627,897 |
End of period | $992,701,052 | $650,329,639 |
Transfer Agent Fees Incurred | Transfer Agent Fees Reimbursed | |
Class A Shares | $147,896 | $(2,241) |
Class B Shares | 5,475 | (619) |
Class C Shares | 22,890 | (24) |
Class F Shares | 23,866 | — |
Institutional Shares | 127,853 | (87,176) |
Class R6 Shares | 561 | — |
TOTAL | $328,541 | $(90,060) |
Other Service Fees Incurred | |
Class A Shares | $370,736 |
Class B Shares | 8,452 |
Class C Shares | 53,566 |
Class F Shares | 64,355 |
TOTAL | $497,109 |
Fair Value of Derivative Instruments | ||||
Assets | Liabilities | |||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||||
Interest rate contracts | Receivable for variation margin on futures contracts | $(34,444)* | $— | |
Interest rate contracts | Purchased options, within Investment in securities, at value | 121,094 | — | |
Interest rate contracts | — | Written options outstanding, at value | 506,250 | |
Equity contracts | — | Written options outstanding, at value | 996,782 | |
Equity contracts | Purchased options, within Investment in securities at value | 1,297,500 | — | |
Foreign exchange contracts | Unrealized appreciation on foreign exchange contracts | 467,555 | Unrealized depreciation on foreign exchange contracts | 391,028 |
Foreign exchange contracts | — | Written options outstanding, at value | 1,468,228 | |
Foreign exchange contracts | Purchased options, within Investment in securities at value | 317,190 | — | |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $2,168,895 | $3,362,288 |
* | Includes cumulative net depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
OTC Swaps | Futures Contracts | Foreign Exchange Contracts | Purchased Options Contracts1 | Written Options Contracts | Total | |
Interest rate contracts | $— | $637,501 | $— | $(34,602) | $(2,988,453) | $(2,385,554) |
Equity contracts | — | (94,724) | — | (327,423) | 2,289,741 | 1,867,594 |
Foreign exchange contracts | — | — | 133,055 | 176,949 | 3,677,024 | 3,987,028 |
Credit contracts | 54,867 | — | — | — | — | 54,867 |
TOTAL | $54,867 | $542,777 | $133,055 | $(185,076) | $2,978,312 | $3,523,935 |
1 | The net realized gain (loss) on Purchased Options Contracts is found within the Net realized gain on investments on the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||
Futures Contracts | Foreign Exchange Contracts | Purchased Options Contracts2 | Written Options Contracts | Total | |
Interest rate contracts | $(30,202) | $— | $131,396 | $118,145 | $219,339 |
Equity contracts | — | — | (851,388) | (171,938) | (1,023,326) |
Foreign exchange contracts | — | (46,476) | (487,958) | 1,085,683 | 551,249 |
TOTAL | $(30,202) | $(46,476) | $(1,207,950) | $1,031,890 | $(252,738) |
2 | The net change in unrealized depreciation of Purchased Options Contracts is found within the Net change in unrealized appreciation of investments on the Statement of Operations. |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Class A Shares: | Shares | Amount | Shares | Amount |
Shares sold | 2,683,114 | $25,416,762 | 3,682,330 | $32,892,582 |
Shares issued to shareholders in payment of distributions declared | 594,865 | 5,619,847 | 973,658 | 8,643,882 |
Shares redeemed | (2,668,357) | (25,237,944) | (6,961,763) | (60,715,174) |
NET CHANGE RESULTING FROM CLASS A SHARE TRANSACTIONS | 609,622 | $5,798,665 | (2,305,775) | $(19,178,710) |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Class B Shares: | Shares | Amount | Shares | Amount |
Shares sold | 9,638 | $91,140 | 31,031 | $279,386 |
Shares issued to shareholders in payment of distributions declared | 11,014 | 103,768 | 33,542 | 297,389 |
Shares redeemed | (323,849) | (3,048,787) | (1,322,686) | (11,459,208) |
NET CHANGE RESULTING FROM CLASS B SHARE TRANSACTIONS | (303,197) | $(2,853,879) | (1,258,113) | $(10,882,433) |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Class C Shares: | Shares | Amount | Shares | Amount |
Shares sold | 575,919 | $5,450,911 | 810,356 | $7,240,043 |
Shares issued to shareholders in payment of distributions declared | 75,778 | 714,814 | 138,065 | 1,225,932 |
Shares redeemed | (1,898,987) | (17,994,952) | (2,413,569) | (21,419,361) |
NET CHANGE RESULTING FROM CLASS C SHARE TRANSACTIONS | (1,247,290) | $(11,829,227) | (1,465,148) | $(12,953,386) |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Class F Shares: | Shares | Amount | Shares | Amount |
Shares sold | 104,026 | $976,876 | 350,255 | $3,092,566 |
Shares issued to shareholders in payment of distributions declared | 111,063 | 1,041,298 | 183,231 | 1,615,285 |
Shares redeemed | (296,554) | (2,781,090) | (841,803) | (7,318,114) |
NET CHANGE RESULTING FROM CLASS F SHARE TRANSACTIONS | (81,465) | $(762,916) | (308,317) | $(2,610,263) |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 38,131,815 | $360,089,136 | 11,706,142 | $104,646,682 |
Shares issued to shareholders in payment of distributions declared | 687,837 | 6,460,858 | 1,085,000 | 9,555,838 |
Shares redeemed | (3,934,383) | (36,938,987) | (16,490,597) | (141,136,968) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | 34,885,269 | $329,611,007 | (3,699,455) | $(26,934,448) |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Class R6 Shares: | Shares | Amount | Shares | Amount |
Shares sold | 272,985 | $2,578,269 | 215,006 | $1,933,419 |
Shares issued to shareholders in payment of distributions declared | 14,138 | 133,642 | 18,827 | 167,171 |
Shares redeemed | (47,949) | (454,081) | (128,034) | (1,115,087) |
NET CHANGE RESULTING FROM R6 SHARE TRANSACTIONS | 239,174 | $2,257,830 | 105,799 | $985,503 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 34,102,113 | $322,221,480 | (8,931,009) | $(71,573,737) |
Short-Term | Long-Term | Total |
$— | $85,617,382 | $85,617,382 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Percentage of Average Daily Net Assets of Class | |
Class B Shares | 0.75% |
Class C Shares | 0.75% |
Class F Shares | 0.05% |
Distribution Services Fees Incurred | |
Class B Shares | $25,357 |
Class C Shares | 160,698 |
TOTAL | $186,055 |
Purchases | $361,245,940 |
Sales | $65,064,859 |
Beginning Account Value 12/1/2020 | Ending Account Value 5/31/2021 | Expenses Paid During Period1 | |
Actual: | |||
Class A Shares | $1,000 | $1,050.20 | $4.75 |
Class B Shares | $1,000 | $1,046.20 | $8.83 |
Class C Shares | $1,000 | $1,046.20 | $8.62 |
Class F Shares | $1,000 | $1,050.70 | $4.75 |
Institutional Shares | $1,000 | $1,051.10 | $3.12 |
Class R6 Shares | $1,000 | $1,051.90 | $3.07 |
Hypothetical (assuming a 5% return before expenses): | |||
Class A Shares | $1,000 | $1,020.29 | $4.68 |
Class B Shares | $1,000 | $1,016.31 | $8.70 |
Class C Shares | $1,000 | $1,016.50 | $8.50 |
Class F Shares | $1,000 | $1,020.29 | $4.68 |
Institutional Shares | $1,000 | $1,021.89 | $3.07 |
Class R6 Shares | $1,000 | $1,021.94 | $3.02 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Class A Shares | 0.93% |
Class B Shares | 1.73% |
Class C Shares | 1.69% |
Class F Shares | 0.93% |
Institutional Shares | 0.61% |
Class R6 Shares | 0.60% |
Annual Evaluation of Adequacy and Effectiveness
![](https://capedge.com/proxy/N-CSRS/0001623632-21-000875/edelivery.jpg)
![](https://capedge.com/proxy/N-CSRS/0001623632-21-000875/fhilogok11p.jpg)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31417P601
CUSIP 31417P700
CUSIP 31417P809
CUSIP 31417P841
CUSIP 31417P833
![](https://capedge.com/proxy/N-CSRS/0001623632-21-000875/fscbug_small.jpg)
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Exhibits |
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant Federated Hermes Fixed Income Securities, Inc.
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date July 23, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /S/ J. Christopher Donahue
J. Christopher Donahue
Principal Executive Officer
Date July 23, 2021
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date July 23, 2021