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: 11/30/23
Date of Reporting Period: Six months ended 05/31/23
Item 1. | Reports to Stockholders |
Share Class | Ticker | A | STIAX | C | SINCX | F | STFSX |
Institutional | STISX | R6 | STILX |
Federated Hermes Strategic Income Fund
A Portfolio of Federated Hermes Fixed Income Securities, Inc.
Portfolio Composition | Percentage of Total Net Assets2 |
Corporate Debt Securities | 52.5% |
Residential Mortgage-Backed Securities | 22.5% |
Foreign Government Securities | 9.6% |
Collateralized Mortgage Obligations | 4.1% |
U.S. Treasuries | 3.3% |
Cash Equivalents3 | 2.2% |
Common Stocks | 2.0% |
Asset-Backed Securities | 1.9% |
Commercial Mortgage-Backed Securities4 | 0.9% |
Security Lending | 1.6% |
Other Security Types5 | 0.1% |
Preferred Stocks6 | 0.0% |
Derivatives7 | (0.5)% |
Other Assets and Liabilities—Net8 | (0.2)% |
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, affiliated investment companies (other than an affiliated money market mutual 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. Affiliated investment companies (other than an affiliated money market mutual fund) in which the Fund invested less than 10% of its net assets are listed individually in the table. |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those representing securities lending collateral. |
4 | For purposes of this table, Mortgage-Backed Securities include mortgage-backed securities guaranteed by Government Sponsored Entities and adjustable rate mortgage-backed securities. |
5 | Other Security Types consists of purchased options. |
6 | Represents less than 0.1%. |
7 | 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. |
8 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— 5.8% | |||
Basic Industry - Chemicals— 0.0% | |||
$ 135,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | $ 126,209 | |
Basic Industry - Metals & Mining— 0.1% | |||
200,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 3.625%, 9/11/2024 | 194,651 | |
75,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 67,913 | |
55,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 36,482 | |
200,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | 217,353 | |
TOTAL | 516,399 | ||
Capital Goods - Aerospace & Defense— 0.1% | |||
80,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 77,317 | |
100,000 | Boeing Co., Sr. Unsecd. Note, 2.196%, 2/4/2026 | 93,085 | |
215,000 | Boeing Co., Sr. Unsecd. Note, 3.625%, 2/1/2031 | 194,514 | |
30,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 21,620 | |
160,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 148,032 | |
65,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 2.300%, 2/15/2031 | 50,797 | |
35,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | 33,808 | |
100,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 91,416 | |
85,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 3.250%, 1/15/2028 | 80,098 | |
100,000 | Raytheon Technologies Corp., Sr. Unsecd. Note, 5.150%, 2/27/2033 | 101,773 | |
TOTAL | 892,460 | ||
Capital Goods - Building Materials— 0.0% | |||
20,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 17,875 | |
80,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 77,252 | |
140,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 131,454 | |
35,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.722%, 2/15/2030 | 30,171 | |
TOTAL | 256,752 | ||
Capital Goods - Construction Machinery— 0.4% | |||
3,390,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 2.450%, 8/12/2031 | 2,654,443 | |
195,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 184,702 | |
100,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 95,268 | |
TOTAL | 2,934,413 | ||
Capital Goods - Diversified Manufacturing— 0.1% | |||
90,000 | Lennox International, Inc., Sr. Unsecd. Note, 1.350%, 8/1/2025 | 82,763 | |
100,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 1.750%, 2/15/2031 | 79,202 | |
90,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 78,865 | |
80,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.250%, 10/1/2054 | 70,177 | |
65,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 1.800%, 4/1/2026 | 57,854 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Capital Goods - Diversified Manufacturing— continued | |||
$ 25,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 2.950%, 4/1/2031 | $ 19,733 | |
90,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 85,444 | |
65,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 54,307 | |
TOTAL | 528,345 | ||
Communications - Cable & Satellite— 0.1% | |||
65,000 | Charter Communications Operating, LLC, 5.375%, 5/1/2047 | 51,916 | |
50,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | 29,509 | |
200,000 | Comcast Corp., Sr. Unsecd. Note, 3.150%, 2/15/2028 | 188,000 | |
30,000 | Comcast Corp., Sr. Unsecd. Note, 3.450%, 2/1/2050 | 22,483 | |
200,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 196,651 | |
TOTAL | 488,559 | ||
Communications - Media & Entertainment— 0.2% | |||
35,000 | Alphabet, Inc., Sr. Unsecd. Note, 2.050%, 8/15/2050 | 21,516 | |
150,000 | Netflix, Inc., Sr. Unsecd. Note, 4.875%, 4/15/2028 | 148,927 | |
25,000 | Paramount Global, Sr. Unsecd. Note, 4.000%, 1/15/2026 | 23,712 | |
40,000 | Paramount Global, Sr. Unsecd. Note, 4.950%, 5/19/2050 | 29,791 | |
100,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 4.279%, 3/15/2032 | 87,418 | |
1,645,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 5.050%, 3/15/2042 | 1,331,912 | |
60,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 6.412%, 3/15/2026 | 60,146 | |
TOTAL | 1,703,422 | ||
Communications - Telecom Wireless— 0.1% | |||
140,000 | Crown Castle, Inc., Sr. Unsecd. Note, 5.200%, 2/15/2049 | 127,605 | |
60,000 | T-Mobile USA, Inc., 3.300%, 2/15/2051 | 41,523 | |
100,000 | T-Mobile USA, Inc., Series WI, 2.700%, 3/15/2032 | 83,070 | |
110,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.650%, 1/15/2053 | 109,969 | |
100,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.625%, 2/10/2053 | 95,594 | |
TOTAL | 457,761 | ||
Communications - Telecom Wirelines— 0.1% | |||
100,000 | AT&T, Inc., Sr. Unsecd. Note, 0.900%, 3/25/2024 | 96,514 | |
100,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 91,446 | |
175,000 | AT&T, Inc., Sr. Unsecd. Note, 2.550%, 12/1/2033 | 137,601 | |
40,000 | AT&T, Inc., Sr. Unsecd. Note, 3.850%, 6/1/2060 | 28,636 | |
90,000 | AT&T, Inc., Sr. Unsecd. Note, 5.400%, 2/15/2034 | 90,268 | |
85,000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | 78,140 | |
150,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 144A, 4.500%, 3/15/2042 | 124,407 | |
50,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.000%, 3/22/2027 | 47,130 | |
65,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.550%, 3/22/2051 | 47,335 | |
TOTAL | 741,477 | ||
Consumer Cyclical - Automotive— 0.5% | |||
150,000 | Daimler Trucks Financial N.A., Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | 130,616 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Consumer Cyclical - Automotive— continued | |||
$ 200,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 6.950%, 3/6/2026 | $ 200,594 | |
100,000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | 83,290 | |
50,000 | General Motors Co., Sr. Unsecd. Note, 5.400%, 4/1/2048 | 42,021 | |
25,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.150%, 6/19/2023 | 24,992 | |
50,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 0.800%, 1/8/2024 | 48,503 | |
3,000,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 3.000%, 2/10/2027 | 2,755,366 | |
150,000 | Mercedes-Benz Finance N.A., LLC, Unsecd. Note, 144A, 4.800%, 3/30/2026 | 149,882 | |
TOTAL | 3,435,264 | ||
Consumer Cyclical - Retailers— 0.1% | |||
160,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 144,273 | |
50,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.550%, 7/26/2027 | 46,757 | |
100,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 71,534 | |
45,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.500%, 10/1/2025 | 43,848 | |
20,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 18,617 | |
75,000 | CVS Health Corp., Sr. Unsecd. Note, 2.625%, 8/15/2024 | 72,695 | |
125,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 113,010 | |
50,000 | CVS Health Corp., Sr. Unsecd. Note, 5.250%, 2/21/2033 | 50,152 | |
60,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.700%, 4/15/2030 | 53,696 | |
120,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 110,445 | |
TOTAL | 725,027 | ||
Consumer Cyclical - Services— 0.1% | |||
50,000 | Amazon.com, Inc., Sr. Unsecd. Note, 2.100%, 5/12/2031 | 42,312 | |
250,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 238,638 | |
200,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 194,690 | |
120,000 | Visa, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2027 | 113,327 | |
TOTAL | 588,967 | ||
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 | 58,808 | |
250,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 237,655 | |
37,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.600%, 4/15/2048 | 34,031 | |
150,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 1.850%, 9/1/2032 | 119,000 | |
150,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 133,163 | |
50,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.400%, 11/15/2025 | 49,205 | |
100,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 5.250%, 11/15/2048 | 94,109 | |
35,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 28,847 | |
50,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 47,496 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Consumer Non-Cyclical - Food/Beverage— continued | |||
$ 90,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.832%, 10/15/2027 | $ 76,141 | |
50,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.000%, 6/1/2026 | 47,450 | |
100,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 84,177 | |
35,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 2.500%, 4/15/2030 | 29,916 | |
90,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 70,928 | |
155,000 | Sysco Corp., Sr. Unsecd. Note, 3.300%, 7/15/2026 | 148,111 | |
75,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 63,287 | |
TOTAL | 1,322,324 | ||
Consumer Non-Cyclical - Health Care— 0.1% | |||
55,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 2.100%, 6/4/2030 | 45,472 | |
45,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 40,076 | |
150,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 101,057 | |
85,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 1.900%, 9/15/2028 | 72,289 | |
170,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 152,352 | |
TOTAL | 411,246 | ||
Consumer Non-Cyclical - Pharmaceuticals— 0.7% | |||
150,000 | AbbVie, Inc., Sr. Unsecd. Note, 2.950%, 11/21/2026 | 141,539 | |
90,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | 81,728 | |
120,000 | Amgen, Inc., Sr. Unsecd. Note, 5.250%, 3/2/2033 | 120,476 | |
3,990,000 | Amgen, Inc., Sr. Unsecd. Note, 5.650%, 3/2/2053 | 3,994,338 | |
200,000 | AstraZeneca PLC, Sr. Unsecd. Note, 4.000%, 1/17/2029 | 196,051 | |
90,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 75,414 | |
24,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 3.400%, 7/26/2029 | 22,604 | |
55,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.250%, 10/26/2049 | 47,995 | |
50,000 | Royalty Pharma PLC, Sr. Unsecd. Note, Series WI, 0.750%, 9/2/2023 | 49,352 | |
50,000 | Royalty Pharma PLC, Sr. Unsecd. Note, Series WI, 1.200%, 9/2/2025 | 45,209 | |
TOTAL | 4,774,706 | ||
Consumer Non-Cyclical - Supermarkets— 0.0% | |||
75,000 | Kroger Co., Sr. Unsecd. Note, 4.450%, 2/1/2047 | 64,613 | |
Consumer Non-Cyclical - Tobacco— 0.1% | |||
80,000 | Altria Group, Inc., Sr. Unsecd. Note, 2.450%, 2/4/2032 | 62,682 | |
80,000 | Altria Group, Inc., Sr. Unsecd. Note, 2.625%, 9/16/2026 | 74,768 | |
100,000 | Altria Group, Inc., Sr. Unsecd. Note, 3.700%, 2/4/2051 | 64,900 | |
50,000 | BAT Capital Corp., Sr. Unsecd. Note, 3.984%, 9/25/2050 | 32,951 | |
175,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 5.750%, 11/17/2032 | 179,538 | |
100,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 99,355 | |
TOTAL | 514,194 | ||
Energy - Independent— 0.0% | |||
170,000 | Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041 | 160,357 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Energy - Independent— continued | |||
$ 50,000 | Marathon Oil Corp., Sr. Unsecd. Note, 5.200%, 6/1/2045 | $ 41,848 | |
TOTAL | 202,205 | ||
Energy - Integrated— 0.0% | |||
75,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027 | 72,386 | |
75,000 | Shell International Finance B.V., Sr. Unsecd. Note, 2.750%, 4/6/2030 | 67,113 | |
70,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | 58,719 | |
TOTAL | 198,218 | ||
Energy - Midstream— 0.1% | |||
70,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 67,775 | |
65,000 | Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.900%, 11/15/2049 | 47,034 | |
75,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 4.150%, 2/1/2024 | 74,149 | |
100,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 100,052 | |
150,000 | MPLX LP, Sr. Unsecd. Note, 4.950%, 3/14/2052 | 123,644 | |
100,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.550%, 7/15/2028 | 96,229 | |
50,000 | ONEOK, Inc., Sr. Unsecd. Note, 5.200%, 7/15/2048 | 41,749 | |
30,000 | Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033 | 26,493 | |
115,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 110,719 | |
TOTAL | 687,844 | ||
Energy - Oil Field Services— 0.0% | |||
105,000 | Ovintiv, Inc., Sr. Unsecd. Note, 7.100%, 7/15/2053 | 105,778 | |
Energy - Refining— 0.0% | |||
160,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 4/1/2029 | 151,941 | |
Financial Institution - Banking— 0.7% | |||
150,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 139,326 | |
90,000 | Bank of America Corp., Sr. Unsecd. Note, 2.299%, 7/21/2032 | 71,791 | |
100,000 | Bank of America Corp., Sr. Unsecd. Note, 2.572%, 10/20/2032 | 81,262 | |
350,000 | Bank of America Corp., Sr. Unsecd. Note, 2.687%, 4/22/2032 | 289,473 | |
100,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.884%, 10/22/2030 | 86,223 | |
200,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.992%, 6/13/2028 | 192,854 | |
95,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 93,853 | |
275,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.561%, 5/1/2032 | 225,936 | |
270,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 258,667 | |
270,000 | Citizens Financial Group, Inc., Sub. Note, 2.638%, 9/30/2032 | 185,372 | |
200,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 191,925 | |
100,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 91,382 | |
90,000 | FNB Corp. (PA), Sr. Unsecd. Note, 5.150%, 8/25/2025 | 84,596 | |
100,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.615%, 4/22/2032 | 82,554 | |
100,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.102%, 2/24/2033 | 84,854 | |
350,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.814%, 4/23/2029 | 326,550 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 55,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 0.824%, 6/1/2025 | $ 52,269 | |
525,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.580%, 4/22/2032 | 437,359 | |
100,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.963%, 1/25/2033 | 84,687 | |
90,000 | Morgan Stanley, Sr. Unsecd. Note, 1.593%, 5/4/2027 | 80,982 | |
250,000 | Morgan Stanley, Sr. Unsecd. Note, 3.625%, 1/20/2027 | 239,716 | |
60,000 | Morgan Stanley, Sr. Unsecd. Note, 4.889%, 7/20/2033 | 57,976 | |
200,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.239%, 7/21/2032 | 159,709 | |
100,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.928%, 4/28/2032 | 78,156 | |
110,000 | Northern Trust Corp., Sub. Note, 6.125%, 11/2/2032 | 115,465 | |
60,685 | 1 | Regional Diversified Funding, 144A, 9.250%, 3/15/2030 | 25,488 |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 183,146 | |
100,000 | US Bancorp, Sr. Unsecd. Note, Series MTN, 1.375%, 7/22/2030 | 76,079 | |
225,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 210,022 | |
275,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.879%, 10/30/2030 | 238,165 | |
150,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 4.897%, 7/25/2033 | 144,833 | |
TOTAL | 4,670,670 | ||
Financial Institution - Broker/Asset Mgr/Exchange— 0.0% | |||
70,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 54,230 | |
Financial Institution - Finance Companies— 0.1% | |||
250,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.400%, 10/29/2033 | 199,195 | |
75,000 | Air Lease Corp., Sr. Unsecd. Note, 5.300%, 2/1/2028 | 74,171 | |
80,000 | Air Lease Corp., Sr. Unsecd. Note, 5.850%, 12/15/2027 | 80,011 | |
TOTAL | 353,377 | ||
Financial Institution - Insurance - Life— 0.0% | |||
150,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 127,942 | |
180,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 135,817 | |
50,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 2.125%, 6/15/2030 | 40,656 | |
TOTAL | 304,415 | ||
Financial Institution - REIT - Apartment— 0.1% | |||
195,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 183,947 | |
165,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | 133,214 | |
TOTAL | 317,161 | ||
Financial Institution - REIT - Healthcare— 0.6% | |||
160,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 151,681 | |
115,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031 | 95,026 | |
5,000,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2032 | 4,049,974 | |
TOTAL | 4,296,681 | ||
Financial Institution - REIT - Office— 0.1% | |||
90,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 86,388 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Financial Institution - REIT - Office— continued | |||
$ 110,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | $ 103,646 | |
210,000 | Boston Properties LP, Sr. Unsecd. Note, 4.500%, 12/1/2028 | 188,107 | |
40,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | 27,377 | |
TOTAL | 405,518 | ||
Financial Institution - REIT - Other— 0.0% | |||
40,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.250%, 10/1/2026 | 38,612 | |
135,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 132,662 | |
TOTAL | 171,274 | ||
Financial Institution - REIT - Retail— 0.0% | |||
120,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 113,148 | |
Technology— 0.2% | |||
50,000 | Apple, Inc., Sr. Unsecd. Note, 3.000%, 11/13/2027 | 47,755 | |
100,000 | Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044 | 97,824 | |
72,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 66,294 | |
3,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036 | 2,247 | |
60,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.419%, 4/15/2033 | 49,854 | |
155,000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 138,847 | |
50,000 | Dell International LLC / EMC Corp., Sr. Unsecd. Note, 6.020%, 6/15/2026 | 51,192 | |
85,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 81,249 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 191,754 | |
110,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 100,788 | |
125,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 121,737 | |
30,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.185%, 2/15/2027 | 28,918 | |
150,000 | Microsoft Corp., Sr. Unsecd. Note, 3.300%, 2/6/2027 | 146,754 | |
200,000 | Oracle Corp., Sr. Unsecd. Note, 3.250%, 11/15/2027 | 186,662 | |
75,000 | Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050 | 51,801 | |
150,000 | Oracle Corp., Sr. Unsecd. Note, 6.900%, 11/9/2052 | 163,465 | |
25,000 | Skyworks Solutions, Inc., Sr. Unsecd. Note, 1.800%, 6/1/2026 | 22,361 | |
80,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 78,347 | |
45,000 | VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026 | 39,864 | |
45,000 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 35,383 | |
TOTAL | 1,703,096 | ||
Technology Services— 0.4% | |||
3,000,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2027 | 2,680,328 | |
45,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 37,521 | |
TOTAL | 2,717,849 | ||
Transportation - Railroads— 0.0% | |||
90,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 1.750%, 12/2/2026 | 81,694 | |
65,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 57,031 | |
TOTAL | 138,725 |
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS— continued | |||
Transportation - Services— 0.0% | |||
$ 80,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 3.300%, 12/1/2026 | $ 75,320 | |
75,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.400%, 11/15/2026 | 69,603 | |
TOTAL | 144,923 | ||
Utility - Electric— 0.5% | |||
65,000 | Ameren Corp., Sr. Unsecd. Note, 1.950%, 3/15/2027 | 58,220 | |
80,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 5.625%, 3/1/2033 | 81,660 | |
50,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 41,693 | |
25,000 | Black Hills Corp., Sr. Unsecd. Note, 3.875%, 10/15/2049 | 18,273 | |
175,000 | CenterPoint Energy, Inc., Sr. Unsecd. Note, 2.650%, 6/1/2031 | 147,141 | |
100,000 | Constellation Energy Generation LLC, Sr. Unsecd. Note, 5.800%, 3/1/2033 | 102,856 | |
110,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series A, 1.450%, 4/15/2026 | 99,381 | |
200,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.450%, 6/1/2030 | 167,871 | |
80,000 | Duke Energy Corp., Sr. Unsecd. Note, 3.950%, 8/15/2047 | 61,212 | |
1,780,000 | Duke Energy Ohio, Inc., Term Loan - 1st Lien, 5.650%, 4/1/2053 | 1,816,505 | |
140,000 | Evergy Metro, Inc., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 115,895 | |
30,000 | Exelon Corp., Sr. Unsecd. Note, 4.100%, 3/15/2052 | 23,757 | |
40,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 32,888 | |
30,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 1.000%, 6/15/2026 | 26,833 | |
110,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 2.950%, 2/7/2024 | 107,968 | |
100,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 5.050%, 2/28/2033 | 99,105 | |
45,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.490%, 5/15/2027 | 42,677 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 54,744 | |
55,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 48,123 | |
185,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 172,832 | |
185,000 | Virginia Electric & Power Co., Sr. Unsecd. Note, Series A, 3.500%, 3/15/2027 | 177,183 | |
55,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 2.200%, 12/15/2028 | 47,834 | |
TOTAL | 3,544,651 | ||
Utility - Natural Gas— 0.0% | |||
30,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 23,974 | |
100,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 99,329 | |
180,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 147,103 | |
TOTAL | 270,406 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $46,322,971) | 41,034,248 |
Principal Amount, Shares or Contracts | Value | ||
MORTGAGE-BACKED SECURITIES— 4.5% | |||
Agency— 4.5% | |||
$ 8,545,591 | FHLMC, Pool SD8225, 3.000%, 7/1/2052 | $ 7,576,450 | |
8,307,580 | FHLMC, Pool SD8243, 3.500%, 9/1/2052 | 7,623,352 | |
10,255,784 | FNMA, Pool FBT224, 3.000%, 3/1/2052 | 9,092,693 | |
7,791,353 | FNMA, Pool MA4732, 4.000%, 9/1/2052 | 7,364,369 | |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $31,474,349) | 31,656,864 | ||
U.S. TREASURIES— 3.4% | |||
U.S. Treasury Notes— 3.4% | |||
10,000,000 | United States Treasury Note, 3.625%, 3/31/2028 | 9,923,437 | |
9,500,000 | United States Treasury Note, 3.875%, 12/31/2027 | 9,515,584 | |
4,000,000 | United States Treasury Note, 4.125%, 11/15/2032 | 4,146,774 | |
TOTAL U.S. TREASURIES (IDENTIFIED COST $23,890,209) | 23,585,795 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS— 3.0% | |||
Commercial Mortgage— 0.6% | |||
810,000 | Bank 2018-BN12, Class A4, 4.255%, 5/15/2061 | 773,242 | |
500,000 | 2 | Bank 2018-BN15, Class A4, 4.407% (12-month USLIBOR +0.000%), 11/15/2061 | 479,398 |
345,000 | Bank 2022-BNK40, Class A4, 3.506%, 3/15/2064 | 302,972 | |
675,000 | Benchmark Mortgage Trust 2019-B11, Class A5, 3.542%, 5/15/2052 | 607,054 | |
520,000 | Benchmark Mortgage Trust 2021-B26, Class A2, 1.957%, 6/15/2054 | 471,912 | |
1,000,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | 946,711 | |
1,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 948,671 | |
TOTAL | 4,529,960 | ||
Federal Home Loan Mortgage Corporation— 0.2% | |||
680,396 | FHLMC REMIC, Series K105, Class A1, 1.536%, 9/25/2029 | 605,931 | |
800,000 | FHLMC REMIC, Series K070, Class A2, 3.303%, 11/25/2027 | 767,240 | |
TOTAL | 1,373,171 | ||
Non-Agency Mortgage-Backed Securities— 2.2% | |||
3,707,015 | GS Mortgage-Backed Securities 2022-PJ3, Class A4, 2.500%, 8/25/2052 | 3,003,840 | |
6,851,148 | JP Morgan Mortgage Trust 2022-1, Class A2, 3.000%, 7/25/2052 | 5,762,191 | |
4,595,433 | JP Morgan Mortgage Trust 2022-2, Class A3, 2.500%, 8/25/2052 | 3,717,992 | |
3,708,858 | JP Morgan Mortgage Trust 2022-3, Class A3, 2.500%, 8/25/2052 | 3,000,699 | |
TOTAL | 15,484,722 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $24,580,957) | 21,387,853 | ||
COMMON STOCKS— 1.8% | |||
Advertising— 0.0% | |||
9,835 | Red Rock Resorts, Inc. | 448,378 | |
Agricultural Chemicals— 0.1% | |||
21,615 | Koppers Holdings, Inc. | 625,970 |
Principal Amount, Shares or Contracts | Value | ||
COMMON STOCKS— continued | |||
Auto Components— 0.1% | |||
38,578 | 3 | American Axle & Manufacturing Holdings, Inc. | $ 260,401 |
2,165 | Lear Corp. | 265,559 | |
TOTAL | 525,960 | ||
Commercial Services & Supplies— 0.1% | |||
8,310 | Brinks Co. (The) | 552,864 | |
Communications Equipment— 0.1% | |||
9,505 | 3 | Lumentum Holdings, Inc. | 502,815 |
Containers & Packaging— 0.2% | |||
97,485 | Ardagh Metal Packaging | 351,921 | |
30,908 | Graphic Packaging Holding Co. | 738,701 | |
8,013 | WestRock Co. | 224,444 | |
TOTAL | 1,315,066 | ||
Electric Utilities— 0.1% | |||
15,775 | NRG Energy, Inc. | 533,037 | |
Food & Staples Retailing— 0.1% | |||
13,305 | 3 | US Foods Holding Corp. | 529,273 |
Gas Pipeline— 0.1% | |||
39,111 | Suburban Propane Partners LP | 597,225 | |
Hotels Restaurants & Leisure— 0.1% | |||
6,700 | Boyd Gaming Corp. | 426,991 | |
13,350 | 3 | Caesars Entertainment Corp. | 547,484 |
TOTAL | 974,475 | ||
Independent Power Producers & Energy Traders— 0.1% | |||
24,270 | Vistra Corp. | 581,752 | |
Media— 0.2% | |||
61,413 | 3 | Cumulus Media, Inc. | 197,750 |
149,475 | 3 | Stagwell, Inc. | 926,745 |
46,525 | Townsquare Media, Inc., Class A | 448,501 | |
TOTAL | 1,572,996 | ||
Media Entertainment— 0.0% | |||
81,205 | 3 | iHeartMedia, Inc. | 192,456 |
Metal Containers— 0.1% | |||
38,946 | 3 | O-I Glass, Inc. | 806,961 |
Oil Gas & Consumable Fuels— 0.1% | |||
6,543 | Devon Energy Corp. | 301,632 | |
1,816 | Pioneer Natural Resources, Inc. | 362,183 | |
TOTAL | 663,815 | ||
Personal Products— 0.1% | |||
16,900 | Energizer Holdings, Inc. | 550,940 | |
Professional Services— 0.1% | |||
5,460 | Science Applications International Corp. | 531,422 |
Principal Amount, Shares or Contracts | Value | ||
COMMON STOCKS— continued | |||
Technology Hardware Storage & Peripherals— 0.0% | |||
10,530 | Dell Technologies, Inc. | $ 471,849 | |
Trading Companies & Distributors— 0.1% | |||
9,225 | 3 | GMS, Inc. | 584,219 |
Utility - Electric— 0.0% | |||
13,500 | Enviva, Inc. | 118,530 | |
TOTAL COMMON STOCKS (IDENTIFIED COST $17,762,981) | 12,680,003 | ||
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 | 2,876,526 | |
1,567,383 | Santander Bank Auto Credit-Linked Notes 2022-A, Class B, 5.281%, 5/15/2032 | 1,519,946 | |
TOTAL | 4,396,472 | ||
Other— 0.3% | |||
2,205,040 | Home Partners of America Trust 2022-1, Class B, 4.330%, 4/17/2039 | 2,080,124 | |
Student Loans— 0.4% | |||
1,611,479 | Navient Student Loan Trust 2021-GA, Class A, 1.580%, 4/15/2070 | 1,397,925 | |
1,600,492 | SMB Private Education Loan Trust 2021-E, Class A1A, 1.680%, 2/15/2051 | 1,434,880 | |
TOTAL | 2,832,805 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $9,955,917) | 9,309,401 | ||
PREFERRED STOCK— 0.0% | |||
Financials— 0.0% | |||
40,000 | 1,3,4 | Lehman Brothers Holdings, Inc., Pfd., 5.670% (IDENTIFIED COST $3,400) | 400 |
PURCHASED CALL OPTIONS— 0.0% | |||
10,000,000 | Morgan Stanley EUR CALL/USD PUT (CALL-Option), Notional Amount $817,600,000, Exercise Price $1.100, Expiration Date 7/7/2023 | 12,900 | |
5,000,000 | Morgan Stanley USD CALL/MXN PUT (CALL-Option), Notional Amount $408,800,000, Exercise Price $19.5, Expiration Date 6/5/2023 | 5 | |
7,500,000 | Toronto Dominion EUR CALL/USD PUT (CALL-Option), Notional Amount $430,950,000, Exercise Price $1.085, Expiration Date 6/22/2023 | 15,945 | |
12,500,000 | UBS AUD CALL/USD PUT (CALL-Option), Notional Amount $244,000,000, Exercise Price $0.685, Expiration Date 9/6/2023 | 61,562 | |
7,500,000 | UBS NZD CALL/USD PUT (CALL-Option), Notional Amount $146,400,000, Exercise Price $0.640, Expiration Date 8/11/2023 | 14,940 | |
100 | United States Treasury, Notional Amount $520,300, Exercise Price $134, Expiration Date 6/24/2023 | 20,313 | |
TOTAL PURCHASED CALL OPTIONS (IDENTIFIED COST $768,545) | 125,665 | ||
PURCHASED PUT OPTIONS— 0.1% | |||
3,000,000 | Barclays USD PUT/NOK CALL (PUT-Option), Notional Amount $454,020,000, Exercise Price $10.25, Expiration Date 7/10/2023 | 1,653 |
Principal Amount, Shares or Contracts | Value | ||
PURCHASED PUT OPTIONS— continued | |||
6,000 | 5 | iShares iBoxx High Yield Corporate Bond ETF (PUT-Option), Notional Amount $44,466,000, Exercise Price $74, Expiration Date 7/21/2023 | $ 571,504 |
5,000,000 | Morgan Stanley USD PUT/MXN CALL (PUT-Option), Notional Amount $408,800,000, Exercise Price $17.70, Expiration Date 6/1/2023 | 11,580 | |
4,500,000 | Morgan Stanley USD PUT/NOK CALL (PUT-Option), Notional Amount $367,920,000, Exercise Price $10.25, Expiration Date 7/10/2023 | 2,480 | |
10,000,000 | UBS USD PUT/JPY CALL (PUT-Option), Notional Amount $195,200,000, Exercise Price $128, Expiration Date 9/27/2023 | 60,750 | |
6,000,000 | UBS USD PUT/ZAR CALL (PUT-Option), Notional Amount $117,120,000, Exercise Price $17.50, Expiration Date 8/7/2023 | 2,484 | |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $1,408,250) | 650,451 | ||
INVESTMENT COMPANIES— 79.8% | |||
20,446,173 | Emerging Markets Core Fund | 158,048,920 | |
11,286,000 | Federated Hermes Government Obligations Fund, Premier Shares, 4.95%6 | 11,286,000 | |
2,662,323 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 5.15%6 | 2,661,790 | |
46,008,645 | 7 | High Yield Bond Core Fund | 242,465,559 |
17,756,249 | Mortgage Core Fund | 149,685,183 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $680,583,831) | 564,147,452 | ||
TOTAL INVESTMENT IN SECURITIES—99.7% (IDENTIFIED COST $836,751,410)8 | 704,578,132 | ||
OTHER ASSETS AND LIABILITIES - NET—0.3%9 | 2,326,064 | ||
TOTAL NET ASSETS—100% | $706,904,196 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
United States Treasury Notes 5-Year Long Futures | 380 | $41,449,687 | September 2023 | $147,301 |
United States Treasury Notes 10-Year Long Futures | 5 | $572,344 | September 2023 | $4,318 |
Short Futures: | ||||
United States Treasury Ultra Bond Short Futures | 12 | $1,642,500 | September 2023 | $(30,683) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $120,936 |
Settlement Date | Counterparty | Foreign Currency Units to Deliver/Receive | In Exchange For | Net Unrealized (Depreciation) | |
Contracts Sold: | |||||
6/7/2023 | UBS AG | 10,000,000 | AUD | $15,293,607 | $(50,481) |
NET UNREALIZED DEPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $(50,481) |
Counterparty | Description | Number of Contracts | Notional Amount | Expiration Date | Exercise Price | Value |
Call Options: | ||||||
Bank of America Merril Lynch | USD CALL/BRL PUT | (10,000,000) | $10,000,000 | July 2023 | $5.30 | $(98,480) |
Barclays | USD CALL/NOK PUT | (10,000,000) | $10,000,000 | July 2023 | $10.60 | $(462,300) |
Morgan Stanley | USD CALL/JPY PUT | (15,000,000) | $15,000,000 | June 2023 | $136.00 | $(372,165) |
Morgan Stanley | USD CALL/ZAR PUT | (12,500,000) | $12,500,000 | July 2023 | $19.00 | $(571,100) |
Morgan Stanley | USD CALL/COP PUT | (10,000,000) | $10,000,000 | June 2023 | $4,750.00 | $(34,550) |
Toronto Dominion | EUR CALL/USD PUT | (15,000,000) | $15,000,000 | June 2023 | $1.11 | $(4,410) |
UBS | GBP CALL/USD PUT | (10,000,000) | $10,000,000 | June 2023 | $1.25 | $(38,430) |
Put Options: | ||||||
Bank of America N.A. | iShares iBoxx High Yield Corporate Bond ETF | (12,000) | $12,000 | July 2023 | $71.00 | $(292,025) |
Bank of New York | NZD PUT/USD CALL | (12,000,000) | $12,000,000 | June 2023 | $0.62 | $(296,220) |
BNP | EUR PUT/USD CALL | (7,500,000) | $7,500,000 | July 2023 | $1.07 | $(68,190) |
BNP | GBP PUT/USD CALL | (10,000,000) | $10,000,000 | June 2023 | $1.24 | $(46,520) |
Credit Agricole | EUR PUT/USD CALL | (7,500,000) | $7,500,000 | October 2023 | $1.08 | $(138,067) |
Morgan Stanley | USD PUT/MXN CALL | (10,000,000) | $10,000,000 | June 2023 | $17.60 | $(19,100) |
Morgan Stanley | USD PUT/COP CALL | (10,000,000) | $10,000,000 | June 2023 | $4,400.00 | $(88,200) |
Morgan Stanley | NZD PUT/USD CALL | (10,000,000) | $10,000,000 | July 2023 | $0.61 | $(172,920) |
UBS | AUD PUT/USD CALL | (10,000,000) | $10,000,000 | June 2023 | $0.65 | $(93,640) |
UBS | USD PUT/BRL CALL | (10,000,000) | $10,000,000 | July 2023 | $4.80 | $(21,730) |
United States Treasury | United States Treasury, 103.25%, 6/24/2023 | (300) | $300 | June 2023 | $103.25 | $(332,813) |
United States Treasury | United States Treasury, 125%, 7/22/2023 | (300) | $300 | July 2023 | $125.00 | $(318,750) |
(Premium Received $3,210,574) | $(3,469,610) |
Affiliates | Value as of 11/30/2022 | Purchases at Cost | Proceeds from Sales |
Bank Loan Core Fund | $3,805,207 | $82,155 | $(3,916,173) |
Emerging Markets Core Fund | $189,522,824 | $24,014,878 | $(52,500,000) |
Federated Hermes Government Obligations Fund, Premier Shares* | $7,548,750 | $42,095,075 | $(38,357,825) |
Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares | $28,407,081 | $280,966,977 | $(306,718,540) |
High Yield Bond Core Fund | $295,244,292 | $— | $(52,000,000) |
Mortgage Core Fund | $118,504,997 | $60,750,000 | $(29,000,000) |
TOTAL OF AFFILIATED TRANSACTIONS | $643,033,151 | $407,909,085 | $(482,492,538) |
Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 5/31/2023 | Shares Held as of 5/31/2023 | Dividend Income |
$387,538 | $(358,727) | $— | — | $94,011 |
$5,174,457 | $(8,163,239) | $158,048,920 | 20,446,173 | $6,514,879 |
$— | $— | $11,286,000 | 11,286,000 | $82,790 |
$(2,312) | $8,584 | $2,661,790 | 2,662,323 | $313,169 |
$9,504,879 | $(10,283,612) | $242,465,559 | 46,008,645 | $8,607,160 |
$1,703,743 | $(2,273,557) | $149,685,183 | 17,756,249 | $2,457,933 |
$16,768,305 | $(21,070,551) | $564,147,452 | 98,159,390 | $18,069,942 |
* | All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions. |
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 supervision of the Fund’s Adviser acting through its Valuation Committee. |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | Non-income-producing security. |
4 | Issuer in default. |
5 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
6 | 7-day net yield. |
7 | The High Yield Bond Core Fund is a diversified portfolio of below investment grade bonds. |
8 | The cost of investments for federal tax purposes amounts to $836,823,147. |
9 | 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, 2023, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $41,008,760 | $25,488 | $41,034,248 |
Mortgage-Backed Securities | — | 31,656,864 | — | 31,656,864 |
U.S. Treasuries | — | 23,585,795 | — | 23,585,795 |
Collateralized Mortgage Obligations | — | 21,387,853 | — | 21,387,853 |
Asset-Backed Securities | — | 9,309,401 | — | 9,309,401 |
Purchased Call Options | — | 125,665 | — | 125,665 |
Purchased Put Options | — | 650,451 | — | 650,451 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 12,680,003 | — | — | 12,680,003 |
Preferred Stock | ||||
Domestic | — | — | 400 | 400 |
Investment Companies | 564,147,452 | — | — | 564,147,452 |
TOTAL SECURITIES | $576,827,455 | $127,724,789 | $25,888 | $704,578,132 |
Other Financial Instruments:1 | ||||
Assets | ||||
Futures Contracts | $151,619 | $— | $— | $151,619 |
Liabilities | ||||
Futures Contracts | (30,683) | — | — | (30,683) |
Foreign Exchange Contracts | — | (50,481) | — | (50,481) |
Written Options Contracts | (2,899,755) | (569,855) | — | (3,469,610) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(2,778,819) | $(620,336) | $— | $(3,399,155) |
1 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
AUD | —Australian Dollar | |
BKNT | —Bank Notes | |
COP | —Colombian Peso | |
ETF | —Exchange-Traded Fund | |
EUR | —Euro | |
FHLMC | —Federal Home Loan Mortgage Corporation | |
FNMA | —Federal National Mortgage Association | |
GBP | —British Pound | |
GMTN | —Global Medium Term Note | |
JPY | —Japanese Yen | |
LIBOR | —London Interbank Offered Rate | |
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 | |
USD | —United States Dollar | |
ZAR | —South African Rand |
Six Months Ended (unaudited) 5/31/2023 | Year Ended November 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $7.86 | $9.30 | $9.29 | $9.09 | $8.60 | $9.08 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.18 | 0.351 | 0.341 | 0.321 | 0.361 | 0.371 |
Net realized and unrealized gain (loss) | (0.07) | (1.44) | 0.01 | 0.17 | 0.47 | (0.51) |
Total From Investment Operations | 0.11 | (1.09) | 0.35 | 0.49 | 0.83 | (0.14) |
Less Distributions: | ||||||
Distributions from net investment income | (0.19) | (0.35) | (0.34) | (0.29) | (0.34) | (0.34) |
Net Asset Value, End of Period | $7.78 | $7.86 | $9.30 | $9.29 | $9.09 | $8.60 |
Total Return2 | 1.45% | (11.88)% | 3.74% | 5.56% | 9.87% | (1.56)% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.93%4 | 0.93% | 0.93% | 0.93% | 0.94% | 0.93% |
Net investment income | 4.66%4 | 4.17% | 3.61% | 3.55% | 3.99% | 4.18% |
Expense waiver/reimbursement5 | 0.13%4 | 0.10% | 0.10% | 0.13% | 0.12% | 0.13% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $205,926 | $222,213 | $297,673 | $292,259 | $307,049 | $307,761 |
Portfolio turnover6 | 46% | 77% | 50% | 70% | 58% | 48% |
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. |
6 | Securities that mature are considered sales for purposes of this calculation. |
Six Months Ended (unaudited) 5/31/2023 | Year Ended November 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $7.86 | $9.30 | $9.28 | $9.09 | $8.59 | $9.07 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.15 | 0.291 | 0.271 | 0.251 | 0.291 | 0.301 |
Net realized and unrealized gain (loss) | (0.08) | (1.44) | 0.02 | 0.16 | 0.48 | (0.50) |
Total From Investment Operations | 0.07 | (1.15) | 0.29 | 0.41 | 0.77 | (0.20) |
Less Distributions: | ||||||
Distributions from net investment income | (0.16) | (0.29) | (0.27) | (0.22) | (0.27) | (0.28) |
Net Asset Value, End of Period | $7.77 | $7.86 | $9.30 | $9.28 | $9.09 | $8.59 |
Total Return2 | 0.94% | (12.54)% | 3.07% | 4.65% | 9.19% | (2.30)% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.69%4 | 1.69% | 1.68% | 1.69% | 1.68% | 1.68% |
Net investment income | 3.91%4 | 3.40% | 2.90% | 2.80% | 3.28% | 3.43% |
Expense waiver/reimbursement5 | 0.11%4 | 0.10% | 0.10% | 0.12% | 0.12% | 0.14% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $22,179 | $23,226 | $35,536 | $45,955 | $58,296 | $76,758 |
Portfolio turnover6 | 46% | 77% | 50% | 70% | 58% | 48% |
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. |
6 | Securities that mature are considered sales for purposes of this calculation. |
Six Months Ended (unaudited) 5/31/2023 | Year Ended November 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $7.80 | $9.23 | $9.22 | $9.03 | $8.54 | $9.02 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.18 | 0.351 | 0.341 | 0.311 | 0.351 | 0.371 |
Net realized and unrealized gain (loss) | (0.07) | (1.43) | 0.01 | 0.17 | 0.48 | (0.51) |
Total From Investment Operations | 0.11 | (1.08) | 0.35 | 0.48 | 0.83 | (0.14) |
Less Distributions: | ||||||
Distributions from net investment income | (0.19) | (0.35) | (0.34) | (0.29) | (0.34) | (0.34) |
Net Asset Value, End of Period | $7.72 | $7.80 | $9.23 | $9.22 | $9.03 | $8.54 |
Total Return2 | 1.46% | (11.86)% | 3.77% | 5.49% | 9.95% | (1.57)% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.93%4 | 0.93% | 0.93% | 0.93% | 0.94% | 0.93% |
Net investment income | 4.66%4 | 4.17% | 3.62% | 3.56% | 3.99% | 4.18% |
Expense waiver/reimbursement5 | 0.13%4 | 0.10% | 0.10% | 0.12% | 0.12% | 0.13% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $32,815 | $35,464 | $51,221 | $51,426 | $53,136 | $51,431 |
Portfolio turnover6 | 46% | 77% | 50% | 70% | 58% | 48% |
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. |
6 | Securities that mature are considered sales for purposes of this calculation. |
Six Months Ended (unaudited) 5/31/2023 | Year Ended November 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $7.81 | $9.24 | $9.23 | $9.04 | $8.55 | $9.03 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.19 | 0.381 | 0.361 | 0.341 | 0.381 | 0.401 |
Net realized and unrealized gain (loss) | (0.07) | (1.43) | 0.02 | 0.17 | 0.48 | (0.51) |
Total From Investment Operations | 0.12 | (1.05) | 0.38 | 0.51 | 0.86 | (0.11) |
Less Distributions: | ||||||
Distributions from net investment income | (0.21) | (0.38) | (0.37) | (0.32) | (0.37) | (0.37) |
Net Asset Value, End of Period | $7.72 | $7.81 | $9.24 | $9.23 | $9.04 | $8.55 |
Total Return2 | 1.49% | (11.56)% | 4.09% | 5.83% | 10.28% | (1.25)% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.61%4 | 0.61% | 0.61% | 0.61% | 0.62% | 0.62% |
Net investment income | 4.98%4 | 4.49% | 3.82% | 3.87% | 4.23% | 4.49% |
Expense waiver/reimbursement5 | 0.23%4 | 0.19% | 0.15% | 0.20% | 0.19% | 0.18% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $437,218 | $547,135 | $783,512 | $246,898 | $275,189 | $134,398 |
Portfolio turnover6 | 46% | 77% | 50% | 70% | 58% | 48% |
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. |
6 | Securities that mature are considered sales for purposes of this calculation. |
Six Months Ended (unaudited) 5/31/2023 | Year Ended November 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $7.86 | $9.30 | $9.29 | $9.10 | $8.60 | $9.09 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.20 | 0.381 | 0.371 | 0.351 | 0.381 | 0.401 |
Net realized and unrealized gain (loss) | (0.07) | (1.44) | 0.01 | 0.16 | 0.49 | (0.52) |
Total From Investment Operations | 0.13 | (1.06) | 0.38 | 0.51 | 0.87 | (0.12) |
Less Distributions: | ||||||
Distributions from net investment income | (0.21) | (0.38) | (0.37) | (0.32) | (0.37) | (0.37) |
Net Asset Value, End of Period | $7.78 | $7.86 | $9.30 | $9.29 | $9.10 | $8.60 |
Total Return2 | 1.62% | (11.59)% | 4.08% | 5.80% | 10.35% | (1.36)% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.60%4 | 0.60% | 0.60% | 0.60% | 0.61% | 0.61% |
Net investment income | 4.99%4 | 4.52% | 3.88% | 3.88% | 4.30% | 4.49% |
Expense waiver/reimbursement5 | 0.11%4 | 0.10% | 0.10% | 0.12% | 0.12% | 0.12% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $8,766 | $9,974 | $11,157 | $5,468 | $4,390 | $3,790 |
Portfolio turnover6 | 46% | 77% | 50% | 70% | 58% | 48% |
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. |
6 | Securities that mature are considered sales for purposes of this calculation. |
May 31, 2023 (unaudited)
Assets: | |
Investment in securities, at value including $10,989,000 of securities loaned and $564,147,452 of investments in affiliated holdings* (identified cost $836,751,410, including $680,583,831 of identified cost in affiliated holdings) | $704,578,132 |
Due from broker (Note 2) | 4,137,437 |
Income receivable | 860,995 |
Income receivable from affiliated holdings | 2,854,494 |
Receivable for investments sold | 11,134,411 |
Receivable for shares sold | 227,896 |
Receivable for variation margin on futures contracts | 341,591 |
Total Assets | 724,134,956 |
Liabilities: | |
Payable for investments purchased | 1,036,655 |
Payable for shares redeemed | 956,035 |
Written options outstanding, at value (premium received $3,210,574) | 3,469,610 |
Unrealized depreciation on foreign exchange contracts | 50,481 |
Payable to bank | 128,213 |
Payable for collateral due to broker for securities lending (Note 2) | 11,286,000 |
Payable for investment adviser fee (Note 5) | 8,368 |
Payable for administrative fee (Note 5) | 1,507 |
Payable for distribution services fee (Note 5) | 14,198 |
Payable for other service fees (Notes 2 and 5) | 49,800 |
Accrued expenses (Note 5) | 229,893 |
Total Liabilities | 17,230,760 |
Net assets for 91,319,395 shares outstanding | $706,904,196 |
Net Assets Consist of: | |
Paid-in capital | $1,006,764,223 |
Total distributable earnings (loss) | (299,860,027) |
Total Net Assets | $706,904,196 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Class A Shares: | |
Net asset value per share ($205,925,815 ÷ 26,474,559 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $7.78 |
Offering price per share (100/95.50 of $7.78) | $8.15 |
Redemption proceeds per share | $7.78 |
Class C Shares: | |
Net asset value per share ($22,178,750 ÷ 2,853,152 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $7.77 |
Offering price per share | $7.77 |
Redemption proceeds per share (99.00/100 of $7.77) | $7.69 |
Class F Shares: | |
Net asset value per share ($32,815,417 ÷ 4,252,757 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $7.72 |
Offering price per share (100/99.00 of $7.72) | $7.80 |
Redemption proceeds per share (99.00/100 of $7.72) | $7.64 |
Institutional Shares: | |
Net asset value per share ($437,218,100 ÷ 56,612,374 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $7.72 |
Offering price per share | $7.72 |
Redemption proceeds per share | $7.72 |
Class R6 Shares: | |
Net asset value per share ($8,766,114 ÷ 1,126,553 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $7.78 |
Offering price per share | $7.78 |
Redemption proceeds per share | $7.78 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended May 31, 2023 (unaudited)
Investment Income: | |
Dividends (including $17,987,152 received from affiliated holdings* and net of foreign taxes withheld of $1,464) | $18,206,483 |
Interest | 2,952,166 |
Net income on securities loaned (includes $82,790 earned from affiliated holdings related to cash collateral balances) (Note 2) | 12,349 |
TOTAL INCOME | 21,170,998 |
Expenses: | |
Investment adviser fee (Note 5) | 2,080,316 |
Administrative fee (Note 5) | 297,184 |
Custodian fees | 29,525 |
Transfer agent fees (Note 2) | 497,550 |
Directors’/Trustees’ fees (Note 5) | 4,025 |
Auditing fees | 17,791 |
Legal fees | 5,572 |
Portfolio accounting fees | 104,487 |
Distribution services fee (Note 5) | 87,353 |
Other service fees (Notes 2 and 5) | 340,995 |
Share registration costs | 54,125 |
Printing and postage | 41,603 |
Miscellaneous (Note 5) | 21,367 |
TOTAL EXPENSES | 3,581,893 |
Waiver and Reimbursements: | |
Waiver/reimbursement of investment adviser fee (Note 5) | (434,580) |
Reimbursement of other operating expenses (Notes 2 and 5) | (293,016) |
TOTAL WAIVER AND REIMBURSEMENTS | (727,596) |
Net expenses | 2,854,297 |
Net investment income | 18,316,701 |
Realized and Unrealized Gain (Loss) on Investments, Foreign Currency Transactions, Foreign Exchange Contracts, Futures Contracts, Written Options and Swap Contracts: | |
Net realized loss on investments (including net realized loss of $(21,070,551) on sales of investments in affiliated holdings*) | $(25,633,353) |
Net realized loss on foreign currency transactions | (4,430,466) |
Net realized gain on foreign exchange contracts | 1,874,066 |
Net realized loss on futures contracts | (4,442,225) |
Net realized gain on written options | 6,005,222 |
Net realized loss on swap contracts | (84,177) |
Net change in unrealized depreciation of investments (including net change in unrealized depreciation of $16,768,305 of investments in affiliated holdings*) | 19,146,731 |
Net change in unrealized appreciation of translation of assets and liabilities in foreign currency | (166) |
Net change in unrealized appreciation of foreign exchange contracts | (1,405,522) |
Net change in unrealized depreciation of futures contracts | 2,055,436 |
Net change in unrealized depreciation of written options | 1,144,603 |
Net realized and unrealized gain (loss) on investments, foreign currency transactions, foreign exchange contracts, futures contracts, written options and swap contracts | (5,769,851) |
Change in net assets resulting from operations | $12,546,850 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 5/31/2023 | Year Ended 11/30/2022 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $18,316,701 | $47,673,876 |
Net realized gain (loss) | (26,710,933) | (73,663,968) |
Net change in unrealized appreciation/depreciation | 20,941,082 | (123,140,565) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 12,546,850 | (149,130,657) |
Distributions to Shareholders: | ||
Class A Shares | (5,330,350) | (10,661,480) |
Class B Shares1 | (12,908) | (84,354) |
Class C Shares | (477,648) | (980,289) |
Class F Shares | (858,729) | (1,872,770) |
Institutional Shares | (12,524,777) | (33,241,296) |
Class R6 Shares | (244,478) | (497,983) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (19,448,890) | (47,338,172) |
Share Transactions: | ||
Proceeds from sale of shares | 94,343,271 | 370,892,579 |
Net asset value of shares issued to shareholders in payment of distributions declared | 19,061,247 | 46,537,659 |
Cost of shares redeemed | (239,166,291) | (564,382,893) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (125,761,773) | (146,952,655) |
Change in net assets | (132,663,813) | (343,421,484) |
Net Assets: | ||
Beginning of period | 839,568,009 | 1,182,989,493 |
End of period | $706,904,196 | $839,568,009 |
1 | On February 3, 2023, Class B Shares were converted into Class A Shares. |
Transfer Agent Fees Incurred | Transfer Agent Fees Reimbursed | |
Class A Shares | $122,240 | $(15,319) |
Class B Shares | 924 | (549) |
Class C Shares | 11,374 | — |
Class F Shares | 18,823 | (1,743) |
Institutional Shares | 343,326 | (275,405) |
Class R6 Shares | 863 | — |
TOTAL | $497,550 | $(293,016) |
Other Service Fees Incurred | |
Class A Shares | $268,891 |
Class B Shares | 629 |
Class C Shares | 28,488 |
Class F Shares | 42,987 |
TOTAL | $340,995 |
Fair Value of Securities Loaned | Collateral Received |
$10,989,000 | $11,286,000 |
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 | $120,936* | $— | |
Interest rate contracts | Purchased options, within Investment in securities, at value | 20,313 | — | |
Interest rate contracts | — | Written options outstanding, at value | 651,563 | |
Equity contracts | — | Written options outstanding, at value | 292,025 | |
Equity contracts | Purchased options, within Investment in securities at value | 571,504 | — | |
Foreign exchange contracts | — | Unrealized depreciation on foreign exchange contracts | 50,481 | |
Foreign exchange contracts | — | Written options outstanding, at value | 2,526,022 | |
Foreign exchange contracts | Purchased options, within Investment in securities at value | 184,299 | — | |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $897,052 | $3,520,091 |
* | Includes net cumulative appreciation 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 | $— | $(2,809,690) | $— | $(94,126) | $(736,777) | $(3,640,593) |
Equity contracts | — | (1,632,535) | — | (229,975) | 1,112,310 | (750,200) |
Foreign exchange contracts | — | — | 1,874,066 | (132,232) | 5,629,689 | 7,371,523 |
Credit contracts | (84,177) | — | — | — | — | (84,177) |
TOTAL | $(84,177) | $(4,442,225) | $1,874,066 | $(456,333) | $6,005,222 | $2,896,553 |
1 | The net realized loss on Purchased Options Contracts is found within the Net realized loss 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 Contracts1 | Written Options Contracts | Total | |
Interest rate contracts | $383,044 | $— | $122,965 | $323,771 | $829,780 |
Equity contracts | 1,672,392 | — | (1,545,808) | 694,000 | 820,584 |
Foreign exchange contracts | — | (1,405,522) | (1,160,768) | 126,832 | (2,439,458) |
TOTAL | $2,055,436 | $(1,405,522) | $(2,583,611) | $1,144,603 | $(789,094) |
1 | The net change in unrealized depreciation of Purchased Options Contracts is found within the Net change in unrealized depreciation of investments on the Statement of Operations. |
Gross Amounts Not Offset In the Statement of Assets and Liabilities | ||||||||
Transaction | Gross Asset Derivatives Presented In Statement of Assets and Liabilities | Financial Instrument | Collateral Received | Net Amount | ||||
Purchased Option Contracts | $776,116 | $(193,077) | $— | $583,039 |
Transaction | Gross Liability Derivatives Presented In Statement of Assets and Liabilities | Financial Instrument | Collateral Received | Net Amount |
Foreign Exchange Contracts | $50,481 | $— | $— | $50,481 |
Written Option Contracts | 3,469,610 | (193,077) | — | 3,276,533 |
Total | $3,520,091 | $(193,077) | $— | $3,327,014 |
Six Months Ended 5/31/2023 | Year Ended 11/30/2022 | |||
Class A Shares: | Shares | Amount | Shares | Amount |
Shares sold | 756,180 | $5,971,610 | 1,713,104 | $14,736,265 |
Shares issued to shareholders in payment of distributions declared | 635,998 | 5,003,625 | 1,187,809 | 9,988,342 |
Conversion of Class B Shares to Class A Shares1 | 165,549 | 1,344,260 | — | — |
Shares redeemed | (3,350,824) | (26,422,170) | (6,636,093) | (55,614,721) |
NET CHANGE RESULTING FROM CLASS A SHARE TRANSACTIONS | (1,793,097) | $(14,102,675) | (3,735,180) | $(30,890,114) |
Six Months Ended 5/31/2023 | Year Ended 11/30/2022 | |||
Class B Shares: | Shares | Amount | Shares | Amount |
Shares sold | 93 | $734 | 2,909 | $26,010 |
Shares issued to shareholders in payment of distributions declared | 1,526 | 11,961 | 8,538 | 72,492 |
Conversion of Class B Shares to Class A Shares1 | (165,829) | (1,344,260) | — | — |
Shares redeemed | (34,114) | (268,267) | (232,077) | (1,990,664) |
NET CHANGE RESULTING FROM CLASS B SHARE TRANSACTIONS | (198,324) | $(1,599,832) | (220,630) | $(1,892,162) |
Six Months Ended 5/31/2023 | Year Ended 11/30/2022 | |||
Class C Shares: | Shares | Amount | Shares | Amount |
Shares sold | 428,017 | $3,381,151 | 562,104 | $4,875,088 |
Shares issued to shareholders in payment of distributions declared | 60,518 | 475,855 | 115,754 | 976,686 |
Shares redeemed | (591,818) | (4,665,407) | (1,544,384) | (13,031,772) |
NET CHANGE RESULTING FROM CLASS C SHARE TRANSACTIONS | (103,283) | $(808,401) | (866,526) | $(7,179,998) |
Six Months Ended 5/31/2023 | Year Ended 11/30/2022 | |||
Class F Shares: | Shares | Amount | Shares | Amount |
Shares sold | 56,181 | $441,942 | 265,927 | $2,234,665 |
Shares issued to shareholders in payment of distributions declared | 107,618 | 840,061 | 220,022 | 1,836,573 |
Shares redeemed | (457,880) | (3,573,771) | (1,487,545) | (11,869,646) |
NET CHANGE RESULTING FROM CLASS F SHARE TRANSACTIONS | (294,081) | $(2,291,768) | (1,001,596) | $(7,798,408) |
Six Months Ended 5/31/2023 | Year Ended 11/30/2022 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 10,445,497 | $81,910,329 | 39,857,359 | $344,718,323 |
Shares issued to shareholders in payment of distributions declared | 1,598,231 | 12,488,582 | 3,971,622 | 33,170,889 |
Shares redeemed | (25,516,603) | (200,233,351) | (58,538,838) | (477,851,241) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | (13,472,875) | $(105,834,440) | (14,709,857) | $(99,962,029) |
Six Months Ended 5/31/2023 | Year Ended 11/30/2022 | |||
Class R6 Shares: | Shares | Amount | Shares | Amount |
Shares sold | 163,706 | $1,293,245 | 497,862 | $4,302,228 |
Shares issued to shareholders in payment of distributions declared | 30,649 | 241,163 | 58,754 | 492,677 |
Shares redeemed | (336,145) | (2,659,065) | (487,342) | (4,024,849) |
NET CHANGE RESULTING FROM R6 SHARE TRANSACTIONS | (141,790) | $(1,124,657) | 69,274 | $770,056 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (16,003,450) | $(125,761,773) | (20,464,515) | $(146,952,655) |
1 | On February 3, 2023, Class B Shares were converted into Class A Shares. Within the Statement of Changes in Net Assets, the conversion from Class B Shares is within the Cost of shares redeemed and the conversion to Class A Shares is within Proceeds from sale of shares. |
Short-Term | Long-Term | Total |
$37,763,731 | $95,147,264 | $132,910,995 |
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 C Shares | 0.75% |
Class F Shares | 0.05% |
Distribution Services Fees Incurred | |
Class B Shares | $1,888 |
Class C Shares | 85,465 |
TOTAL | $87,353 |
Purchases | $190,696,456 |
Sales | $259,891,267 |
Beginning Account Value 12/1/2022 | Ending Account Value 5/31/2023 | Expenses Paid During Period1 | |
Actual: | |||
Class A Shares | $1,000 | $1,014.50 | $4.67 |
Class C Shares | $1,000 | $1,009.40 | $8.47 |
Class F Shares | $1,000 | $1,014.60 | $4.67 |
Institutional Shares | $1,000 | $1,014.90 | $3.06 |
Class R6 Shares | $1,000 | $1,016.20 | $3.02 |
Hypothetical (assuming a 5% return before expenses): | |||
Class A Shares | $1,000 | $1,020.29 | $4.68 |
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 C Shares | 1.69% |
Class F Shares | 0.93% |
Institutional Shares | 0.61% |
Class R6 Shares | 0.60% |
Annual Evaluation of Adequacy and Effectiveness
IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31417P700
CUSIP 31417P809
CUSIP 31417P841
CUSIP 31417P833
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 period covered by this 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 21, 2023
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 21, 2023
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date July 21, 2023