Federated Hermes Managed Volatility Fund II
Portfolio of Investments
March 31, 2022 (unaudited)
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—41.3% | |||
Communication Services—2.9% | |||
1,241 | Activision Blizzard, Inc. | $ 99,416 | |
302 | 1 | Alphabet, Inc., Class A | 839,968 |
204 | 1 | Alphabet, Inc., Class C | 569,770 |
3,827 | 1 | Altice USA, Inc. | 47,761 |
19,183 | AT&T, Inc. | 453,294 | |
23 | 1 | Charter Communications, Inc. | 12,547 |
10,988 | Comcast Corp., Class A | 514,458 | |
1,755 | Electronic Arts, Inc. | 222,025 | |
12,244 | Interpublic Group of Cos., Inc. | 434,050 | |
1,985 | 1 | Liberty Broadband Corp. | 260,154 |
954 | 1 | Live Nation Entertainment, Inc. | 112,229 |
30,230 | Lumen Technologies, Inc. | 340,692 | |
929 | 1 | T-Mobile USA, Inc. | 119,237 |
18,067 | Verizon Communications, Inc. | 920,333 | |
6,985 | Walt Disney Co. | 958,063 | |
TOTAL | 5,903,997 | ||
Consumer Discretionary—2.2% | |||
2,849 | 1 | Aptiv PLC | 341,054 |
80 | 1 | AutoZone, Inc. | 163,566 |
221 | 1 | Bright Horizons Family Solutions, Inc. | 29,325 |
936 | Domino’s Pizza, Inc. | 380,961 | |
794 | 1 | DoorDash, Inc. | 93,049 |
20,063 | Ford Motor Co. | 339,265 | |
1,483 | Genuine Parts Co. | 186,888 | |
46 | Hasbro, Inc. | 3,768 | |
2,396 | Kohl’s Corp. | 144,862 | |
293 | Lear Corp. | 41,779 | |
2,218 | LKQ Corp. | 100,719 | |
2,675 | McDonald’s Corp. | 661,474 | |
19 | 1 | Mohawk Industries, Inc. | 2,360 |
284 | 1 | O’Reilly Automotive, Inc. | 194,529 |
2,053 | Ralph Lauren Corp. | 232,892 | |
165 | 1 | Rivian Automotive, Inc. | 8,290 |
50,000 | 1 | Solo Brands, Inc. | 426,500 |
9,358 | Tapestry, Inc. | 347,650 | |
1,631 | Target Corp. | 346,131 | |
386 | 1 | Terminix Global Holdings, Inc. | 17,613 |
1,803 | Toll Brothers, Inc. | 84,777 | |
95 | Wyndham Hotels & Resorts, Inc. | 8,046 | |
2,259 | Yum! Brands, Inc. | 267,759 | |
TOTAL | 4,423,257 | ||
Consumer Staples—3.1% | |||
7,482 | Altria Group, Inc. | 390,934 | |
3,946 | Archer-Daniels-Midland Co. | 356,166 |
1
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Consumer Staples—continued | |||
205 | Clorox Co. | $ 28,501 | |
528 | Costco Wholesale Corp. | 304,049 | |
1,297 | 1 | Coty, Inc. - CL A | 11,660 |
1,955 | Hershey Foods Corp. | 423,512 | |
8,069 | Kroger Co. | 462,918 | |
5,436 | Mondelez International, Inc. | 341,272 | |
2,288 | PepsiCo, Inc. | 382,965 | |
5,172 | Philip Morris International, Inc. | 485,858 | |
11,876 | Procter & Gamble Co. | 1,814,653 | |
9,599 | The Coca-Cola Co. | 595,138 | |
741 | Tyson Foods, Inc., Class A | 66,416 | |
687 | Walgreens Boots Alliance, Inc. | 30,757 | |
3,639 | WalMart, Inc. | 541,920 | |
TOTAL | 6,236,719 | ||
Energy—2.9% | |||
11,509 | APA Corp. | 475,667 | |
5,257 | Chevron Corp. | 855,997 | |
8,511 | ConocoPhillips | 851,100 | |
514 | Diamondback Energy, Inc. | 70,459 | |
15,824 | Exxon Mobil Corp. | 1,306,904 | |
2,704 | Hess Corp. | 289,436 | |
13,449 | Kinder Morgan, Inc. | 254,321 | |
19,293 | Marathon Oil Corp. | 484,447 | |
7,452 | Occidental Petroleum Corp. | 422,827 | |
2,169 | �� | ONEOK, Inc. | 153,196 |
4,326 | Schlumberger Ltd. | 178,707 | |
6,357 | Targa Resources, Inc. | 479,763 | |
TOTAL | 5,822,824 | ||
Financials—8.5% | |||
751 | Affiliated Managers Group | 105,853 | |
33,802 | AGNC Investment Corp. | 442,806 | |
2,367 | Allstate Corp. | 327,853 | |
5,417 | Ally Financial, Inc. | 235,531 | |
1,137 | American Financial Group, Inc. | 165,570 | |
582 | American International Group, Inc. | 36,532 | |
932 | Ameriprise Financial, Inc. | 279,935 | |
8,611 | Annaly Capital Management, Inc. | 60,621 | |
1,394 | 1 | Arch Capital Group Ltd. | 67,497 |
4,225 | Axis Capital Holdings Ltd. | 255,486 | |
21,574 | Bank of America Corp. | 889,280 | |
8,730 | Bank of New York Mellon Corp. | 433,270 | |
6,306 | 1 | Berkshire Hathaway, Inc., Class B | 2,225,450 |
412 | BlackRock, Inc. | 314,838 | |
919 | 1 | Brighthouse Financial, Inc. | 47,476 |
573 | Capital One Financial Corp. | 75,229 | |
1,509 | Charles Schwab Corp. | 127,224 | |
3,649 | Chubb Ltd. | 780,521 | |
14,139 | Citigroup, Inc. | 755,023 | |
1,410 | CME Group, Inc. | 335,383 |
2
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Financials—continued | |||
14,422 | Equitable Holdings, Inc. | $ 445,784 | |
1,632 | Goldman Sachs Group, Inc. | 538,723 | |
759 | Intercontinental Exchange, Inc. | 100,279 | |
3,968 | Janus Henderson Group PLC | 138,959 | |
10,671 | Jefferies Financial Group, Inc. | 350,542 | |
14,637 | JPMorgan Chase & Co. | 1,995,316 | |
10,049 | KeyCorp | 224,897 | |
2,697 | Loews Corp. | 174,820 | |
8,679 | MetLife, Inc. | 609,960 | |
8,220 | MGIC Investment Corp. | 111,381 | |
1,409 | Morgan Stanley | 123,147 | |
7,017 | OneMain Holdings, Inc. | 332,676 | |
4,766 | Popular, Inc. | 389,573 | |
1,429 | Progressive Corp., OH | 162,892 | |
1,165 | Prudential Financial, Inc. | 137,668 | |
21,900 | Regions Financial Corp. | 487,494 | |
23,886 | SLM Corp. | 438,547 | |
2,426 | State Street Corp. | 211,353 | |
1,428 | Synchrony Financial | 49,709 | |
4,868 | The Hartford Financial Services Group, Inc. | 349,571 | |
2,178 | The Travelers Cos., Inc. | 397,986 | |
8,460 | Truist Financial Corp. | 479,682 | |
3,069 | U.S. Bancorp | 163,117 | |
8,623 | Wells Fargo & Co. | 417,871 | |
5,018 | Western Alliance Bancorp | 415,591 | |
448 | Zions Bancorporation, N.A. | 29,371 | |
TOTAL | 17,238,287 | ||
Health Care—7.4% | |||
5,157 | Abbott Laboratories | 610,383 | |
1,258 | Agilent Technologies, Inc. | 166,471 | |
378 | AmerisourceBergen Corp. | 58,480 | |
1,849 | Anthem, Inc. | 908,266 | |
690 | 1 | Biogen, Inc. | 145,314 |
916 | 1 | Boston Scientific Corp. | 40,570 |
14,402 | Bristol-Myers Squibb Co. | 1,051,778 | |
2,519 | 1 | Centene Corp. | 212,075 |
5,583 | Cerner Corp. | 522,345 | |
125 | CIGNA Corp. | 29,951 | |
3,081 | CVS Health Corp. | 311,828 | |
2,321 | Danaher Corp. | 680,819 | |
321 | Dentsply Sirona, Inc. | 15,800 | |
248 | Eli Lilly & Co. | 71,020 | |
11,119 | Gilead Sciences, Inc. | 661,025 | |
6,301 | 1 | Hologic, Inc. | 484,043 |
2,021 | 1 | IQVIA Holdings, Inc. | 467,275 |
11,033 | Johnson & Johnson | 1,955,379 | |
1,425 | 1 | Laboratory Corp. of America Holdings | 375,716 |
1,873 | McKesson Corp. | 573,381 | |
2,241 | Medtronic PLC | 248,639 |
3
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
9,927 | Merck & Co., Inc. | $ 814,510 | |
919 | 1 | Mirati Therapeutics, Inc. | 75,560 |
1,421 | 1 | Molina Healthcare, Inc. | 474,031 |
1,689 | Organon & Co. | 58,997 | |
18,307 | Pfizer, Inc. | 947,753 | |
6,001 | Premier, Inc. | 213,576 | |
3,011 | Quest Diagnostics, Inc. | 412,085 | |
287 | 1 | Tandem Diabetes Care, Inc. | 33,375 |
995 | Thermo Fisher Scientific, Inc. | 587,697 | |
2,682 | UnitedHealth Group, Inc. | 1,367,740 | |
1,032 | 1 | Vertex Pharmaceuticals, Inc. | 269,321 |
103 | 1 | Waters Corp. | 31,970 |
224 | Zoetis, Inc. | 42,244 | |
TOTAL | 14,919,417 | ||
Industrials—4.5% | |||
2,890 | 3M Co. | 430,263 | |
533 | Acuity Brands, Inc. | 100,897 | |
15,128 | ADT, Inc. | 114,822 | |
3,006 | AECOM | 230,891 | |
2,185 | 1 | Alaska Air Group, Inc. | 126,752 |
530 | 1 | Boeing Co. | 101,495 |
355 | Caterpillar, Inc. | 79,101 | |
3,483 | CSX Corp. | 130,438 | |
124 | Curtiss Wright Corp. | 18,620 | |
250 | Dover Corp. | 39,225 | |
1,383 | Eaton Corp. PLC | 209,884 | |
471 | Emerson Electric Co. | 46,182 | |
205 | Equifax, Inc. | 48,606 | |
520 | FedEx Corp. | 120,323 | |
2,584 | General Dynamics Corp. | 623,209 | |
859 | General Electric Co. | 78,598 | |
3,853 | Honeywell International, Inc. | 749,717 | |
347 | Huntington Ingalls Industries, Inc. | 69,206 | |
1,765 | Ingersoll-Rand, Inc. | 88,868 | |
25,167 | 1 | Jet Blue Airways Corp. | 376,247 |
7,151 | Johnson Controls International PLC | 468,891 | |
2,390 | L3Harris Technologies, Inc. | 593,843 | |
174 | Lockheed Martin Corp. | 76,804 | |
1,281 | Manpower, Inc. | 120,312 | |
53 | Masco Corp. | 2,703 | |
1,118 | 1 | Mastec, Inc. | 97,378 |
2,401 | Norfolk Southern Corp. | 684,813 | |
365 | Northrop Grumman Corp. | 163,235 | |
3,851 | OshKosh Truck Corp. | 387,603 | |
1,876 | Otis Worldwide Corp. | 144,358 | |
769 | Parker-Hannifin Corp. | 218,211 | |
2,772 | Pentair PLC | 150,270 | |
78 | Quanta Services, Inc. | 10,266 | |
2,668 | Raytheon Technologies Corp. | 264,319 |
4
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Industrials—continued | |||
423 | Roper Technologies, Inc. | $ 199,753 | |
1,126 | Textron, Inc. | 83,752 | |
2,270 | Toro Co. | 194,062 | |
2,530 | Trane Technologies PLC | 386,331 | |
497 | 1 | TuSimple Holdings, Inc. | 6,063 |
629 | 1 | United Rentals, Inc. | 223,427 |
5,138 | 1 | Virgin Galactic Holdings, Inc. | 50,763 |
4,083 | Waste Management, Inc. | 647,155 | |
772 | Xylem, Inc. | 65,821 | |
TOTAL | 9,023,477 | ||
Information Technology—3.9% | |||
1,527 | Accenture PLC | 514,950 | |
11,557 | Cisco Systems, Inc. | 644,418 | |
123 | Citrix Systems, Inc. | 12,411 | |
2,884 | Cognizant Technology Solutions Corp. | 258,608 | |
7,567 | Dell Technologies, Inc. | 379,788 | |
2,797 | Fidelity National Information Services, Inc. | 280,875 | |
996 | 1 | Fiserv, Inc. | 100,994 |
25,701 | Hewlett Packard Enterprise Co. | 429,464 | |
4,290 | HP, Inc. | 155,727 | |
12,603 | 1 | IBEX LTD | 200,892 |
3,842 | IBM Corp. | 499,537 | |
22,791 | Intel Corp. | 1,129,522 | |
2,101 | Juniper Networks, Inc. | 78,073 | |
1,558 | 1 | Lumentum Holdings, Inc. | 152,061 |
918 | 1 | Manhattan Associates, Inc. | 127,336 |
304 | Marvell Technology, Inc. | 21,800 | |
6,835 | Micron Technology, Inc. | 532,378 | |
6,245 | NortonLifeLock, Inc. | 165,617 | |
1,685 | NXP Semiconductors NV | 311,860 | |
2,875 | 1 | ON Semiconductor Corp. | 180,004 |
1,917 | Oracle Corp. | 158,593 | |
2,062 | 1 | Procore Technologies, Inc. | 119,514 |
4,145 | 1 | Pure Storage, Inc. | 146,360 |
2,617 | 1 | Salesforce.com, Inc. | 555,641 |
344 | 1 | Snowflake, Inc. | 78,821 |
9,195 | 1 | StoneCo Ltd. | 107,581 |
582 | 1 | Synopsys, Inc. | 193,963 |
536 | 1 | Verisign, Inc. | 119,239 |
2,159 | 1 | Western Digital Corp. | 107,194 |
TOTAL | 7,763,221 | ||
Materials—1.6% | |||
144 | Air Products & Chemicals, Inc. | 35,987 | |
643 | Alcoa Corp. | 57,889 | |
2,109 | Avery Dennison Corp. | 366,903 | |
6,666 | 1 | Axalta Coating Systems Ltd. | 163,850 |
4,647 | CF Industries Holdings, Inc. | 478,920 | |
655 | Corteva, Inc. | 37,649 | |
494 | Eagle Materials, Inc. | 63,410 |
5
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Materials—continued | |||
838 | Ecolab, Inc. | $ 147,957 | |
12,163 | Freeport-McMoRan, Inc. | 604,988 | |
5,816 | Louisiana-Pacific Corp. | 361,290 | |
881 | LyondellBasell Industries N.V. | 90,584 | |
3,457 | Newmont Corp. | 274,659 | |
54 | Nucor Corp. | 8,027 | |
3,363 | Olin Corp. | 175,818 | |
424 | United States Steel Corp. | 16,002 | |
8,619 | WestRock Co. | 405,351 | |
TOTAL | 3,289,284 | ||
Real Estate—2.1% | |||
4,586 | Apartment Income REIT Corp. | 245,168 | |
5,157 | 1 | CBRE Group, Inc. | 471,969 |
5,483 | Duke Realty Corp. | 318,343 | |
1,973 | Extra Space Storage, Inc. | 405,649 | |
1,419 | First Industrial Realty Trust | 87,850 | |
995 | Jones Lang LaSalle, Inc. | 238,263 | |
5,458 | ProLogis, Inc. | 881,358 | |
1,251 | Public Storage | 488,240 | |
169 | SBA Communications, Corp. | 58,153 | |
8,215 | UDR, Inc. | 471,294 | |
13,157 | Weyerhaeuser Co. | 498,650 | |
TOTAL | 4,164,937 | ||
Utilities—2.2% | |||
17,546 | AES Corp. | 451,459 | |
573 | American Water Works Co., Inc. | 94,849 | |
4,154 | CMS Energy Corp. | 290,531 | |
4,007 | DTE Energy Co. | 529,765 | |
6,914 | Duke Energy Corp. | 772,017 | |
178 | FirstEnergy Corp. | 8,163 | |
563 | Idacorp, Inc. | 64,948 | |
193 | National Fuel Gas Co. | 13,259 | |
12,268 | NextEra Energy, Inc. | 1,039,222 | |
18,137 | PPL Corp. | 517,993 | |
3,785 | Public Service Enterprises Group, Inc. | 264,950 | |
6,032 | Southern Co. | 437,380 | |
757 | UGI Corp. | 27,418 | |
TOTAL | 4,511,954 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $63,533,387) | 83,297,374 | ||
CORPORATE BONDS—17.6% | |||
Basic Industry - Chemicals—0.1% | |||
$ 75,000 | Albemarle Corp., 4.150%, 12/1/2024 | 76,779 | |
75,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | 83,718 | |
100,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | 104,795 | |
TOTAL | 265,292 | ||
Basic Industry - Metals & Mining—0.3% | |||
200,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031 | 184,627 | |
56,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 57,071 |
6
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Basic Industry - Metals & Mining—continued | |||
$ 75,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | $ 69,365 | |
40,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 33,761 | |
225,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 229,574 | |
50,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.300%, 8/1/2032 | 50,737 | |
25,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.550%, 4/15/2026 | 25,536 | |
TOTAL | 650,671 | ||
Capital Goods - Aerospace & Defense—0.6% | |||
250,000 | Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027 | 248,656 | |
100,000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | 96,070 | |
185,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 171,656 | |
75,000 | Boeing Co., Sr. Unsecd. Note, 3.625%, 2/1/2031 | 73,129 | |
40,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 34,789 | |
75,000 | Boeing Co., Sr. Unsecd. Note, 4.508%, 5/1/2023 | 76,312 | |
75,000 | Boeing Co., Sr. Unsecd. Note, 4.875%, 5/1/2025 | 77,447 | |
60,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 59,191 | |
40,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | 40,038 | |
150,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 151,991 | |
200,000 | Textron Inc., Sr. Unsecd. Note, 3.650%, 3/15/2027 | 200,774 | |
TOTAL | 1,230,053 | ||
Capital Goods - Building Materials—0.2% | |||
20,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 19,386 | |
35,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 34,605 | |
165,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 162,409 | |
40,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.722%, 2/15/2030 | 37,639 | |
125,000 | Carrier Global Corp., Sr. Unsecd. Note, 3.577%, 4/5/2050 | 114,802 | |
100,000 | Masco Corp., Sr. Unsecd. Note, 4.500%, 5/15/2047 | 103,541 | |
TOTAL | 472,382 | ||
Capital Goods - Construction Machinery—0.3% | |||
200,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 2.450%, 8/12/2031 | 176,326 | |
270,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 271,475 | |
150,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 154,305 | |
TOTAL | 602,106 | ||
Capital Goods - Diversified Manufacturing—0.3% | |||
35,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 33,751 | |
35,000 | Honeywell International, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2050 | 32,414 | |
250,000 | Lennox International, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2023 | 250,412 | |
165,000 | Valmont Industries, Inc., 5.250%, 10/1/2054 | 179,954 | |
55,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 58,647 | |
40,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 39,094 | |
70,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 63,681 | |
TOTAL | 657,953 | ||
Capital Goods - Packaging—0.1% | |||
200,000 | Packaging Corp., of America, Sr. Unsecd. Note, 3.650%, 9/15/2024 | 202,724 | |
Communications - Cable & Satellite—0.3% | |||
100,000 | CCO Safari II LLC, 6.484%, 10/23/2045 | 114,142 | |
50,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | 40,355 | |
85,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Term Loan - 1st Lien, 3.900%, 6/1/2052 | 71,944 | |
225,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 228,502 |
7
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Communications - Cable & Satellite—continued | |||
$ 100,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | $ 103,359 | |
100,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 104,066 | |
TOTAL | 662,368 | ||
Communications - Media & Entertainment—0.7% | |||
115,000 | Alphabet, Inc., Sr. Unsecd. Note, 1.900%, 8/15/2040 | 94,034 | |
200,000 | British Sky Broadcasting Group PLC, 144A, 3.750%, 9/16/2024 | 203,449 | |
60,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 5.576%, 1/25/2049 | 69,959 | |
200,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 5/13/2045 | 207,522 | |
70,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 2.400%, 3/1/2031 | 63,355 | |
165,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 3.375%, 3/1/2041 | 147,286 | |
150,000 | Netflix, Inc., Sr. Unsecd. Note, 4.875%, 4/15/2028 | 157,545 | |
35,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.600%, 4/15/2026 | 35,470 | |
75,000 | Paramount Global, Sr. Unsecd. Note, 4.200%, 6/1/2029 | 75,955 | |
125,000 | Paramount Global, Sr. Unsecd. Note, 4.200%, 5/19/2032 | 125,415 | |
40,000 | S&P Global, Inc., Sr. Unsecd. Note, 144A, 2.900%, 3/1/2032 | 38,831 | |
40,000 | Walt Disney Co., Sr. Unsecd. Note, 3.600%, 1/13/2051 | 39,748 | |
45,000 | Walt Disney Co., Sr. Unsecd. Note, 3.800%, 5/13/2060 | 45,528 | |
TOTAL | 1,304,097 | ||
Communications - Telecom Wireless—0.5% | |||
200,000 | America Movil S.A.B. de C.V., Sr. Unsecd. Note, 2.875%, 5/7/2030 | 191,247 | |
85,000 | American Tower Corp., 2.950%, 1/15/2051 | 67,035 | |
100,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 103,484 | |
150,000 | Crown Castle International Corp., Sr. Unsecd. Note, 3.250%, 1/15/2051 | 126,068 | |
40,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 4.500%, 4/15/2050 | 40,609 | |
125,000 | T-Mobile USA, Inc., Sr. Sub. Note, 3.000%, 2/15/2041 | 105,996 | |
125,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 3.875%, 4/15/2030 | 125,658 | |
75,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 77,303 | |
100,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | 112,344 | |
TOTAL | 949,744 | ||
Communications - Telecom Wirelines—0.6% | |||
100,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 94,807 | |
125,000 | AT&T, Inc., Sr. Unsecd. Note, 3.500%, 6/1/2041 | 115,414 | |
303,000 | AT&T, Inc., Sr. Unsecd. Note, 3.800%, 12/1/2057 | 277,645 | |
250,000 | Deutsche Telekom International Finance BV, Sr. Unsecd. Note, 144A, 3.600%, 1/19/2027 | 252,725 | |
95,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 144A, 4.500%, 3/15/2042 | 96,441 | |
200,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.213%, 3/8/2047 | 215,150 | |
55,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041 | 51,705 | |
100,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 103,116 | |
TOTAL | 1,207,003 | ||
Consumer Cyclical - Automotive—0.6% | |||
150,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 3.350%, 2/22/2023 | 151,459 | |
150,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | 136,689 | |
150,000 | General Motors Co., Sr. Unsecd. Note, 6.125%, 10/1/2025 | 161,169 | |
75,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 1.500%, 6/10/2026 | 68,634 | |
125,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028 | 113,375 | |
125,000 | Nissan Motor Acceptance Company LLC., Sr. Unsecd. Note, 144A, 1.850%, 9/16/2026 | 112,108 | |
200,000 | Stellantis Finance US, Inc., 144A, 1.711%, 1/29/2027 | 182,616 | |
250,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 1.250%, 11/24/2025 | 230,728 | |
TOTAL | 1,156,778 |
8
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Leisure—0.1% | |||
$ 100,000 | Magallanes, Inc., Sr. Unsecd. Note, 144A, 4.279%, 3/15/2032 | $ 100,569 | |
100,000 | Magallanes, Inc., Sr. Unsecd. Note, 144A, 5.050%, 3/15/2042 | 102,210 | |
TOTAL | 202,779 | ||
Consumer Cyclical - Retailers—0.5% | |||
95,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, 1.750%, 10/1/2027 | 85,711 | |
125,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 124,769 | |
200,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 186,959 | |
35,000 | AutoNation, Inc., Sr. Unsecd. Note, 2.400%, 8/1/2031 | 30,530 | |
100,000 | AutoNation, Inc., Sr. Unsecd. Note, 3.850%, 3/1/2032 | 96,945 | |
35,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 36,550 | |
15,000 | AutoZone, Inc., Sr. Unsecd. Note, 3.625%, 4/15/2025 | 15,174 | |
200,000 | CVS Health Corp., Sr. Unsecd. Note, 4.250%, 4/1/2050 | 208,227 | |
24,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 25,147 | |
40,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 39,707 | |
200,000 | Home Depot, Inc., Sr. Unsecd. Note, 3.300%, 4/15/2040 | 193,328 | |
TOTAL | 1,043,047 | ||
Consumer Cyclical - Services—0.1% | |||
125,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.875%, 8/22/2037 | 132,622 | |
100,000 | Expedia Group, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/1/2025 | 106,993 | |
TOTAL | 239,615 | ||
Consumer Non-Cyclical - Food/Beverage—0.8% | |||
40,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 2/1/2046 | 44,550 | |
300,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2050 | 321,550 | |
150,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 3.750%, 5/1/2050 | 139,410 | |
40,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 35,944 | |
175,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 176,781 | |
200,000 | Grupo Bimbo S.A.B. de CV, 144A, 4.875%, 6/27/2044 | 206,849 | |
220,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 2.300%, 11/1/2030 | 196,735 | |
175,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 173,493 | |
150,000 | Smithfield Foods, Inc., 144A, 2.625%, 9/13/2031 | 131,976 | |
70,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 63,630 | |
150,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 156,308 | |
TOTAL | 1,647,226 | ||
Consumer Non-Cyclical - Health Care—0.4% | |||
110,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.794%, 5/20/2050 | 106,976 | |
29,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 31,255 | |
115,000 | Danaher Corp., Sr. Unsecd. Note, 2.600%, 10/1/2050 | 95,306 | |
135,000 | Dentsply Sirona, Inc., Sr. Unsecd. Note, 3.250%, 6/1/2030 | 130,287 | |
40,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 38,175 | |
80,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 69,643 | |
65,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 1.900%, 9/15/2028 | 58,883 | |
80,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 2.550%, 3/15/2031 | 73,516 | |
100,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 97,647 | |
10,000 | Stryker Corp., Sr. Unsecd. Note, 3.500%, 3/15/2026 | 10,126 | |
100,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 1.215%, 10/18/2024 | 96,247 | |
TOTAL | 808,061 | ||
Consumer Non-Cyclical - Pharmaceuticals—0.4% | |||
83,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 86,226 | |
65,000 | AstraZeneca PLC, Sr. Unsecd. Note, 2.375%, 6/12/2022 | 65,099 |
9
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Pharmaceuticals—continued | |||
$ 200,000 | Bayer US Finance LLC, Sr. Unsecd. Note, 144A, 3.375%, 10/8/2024 | $ 199,846 | |
120,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 108,142 | |
125,000 | Biogen, Inc., Sr. Unsecd. Note, 3.150%, 5/1/2050 | 102,715 | |
40,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.250%, 10/26/2049 | 43,804 | |
91,000 | Regeneron Pharmaceuticals, Inc., Sr. Unsecd. Note, 2.800%, 9/15/2050 | 72,979 | |
200,000 | Zoetis, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2050 | 177,884 | |
TOTAL | 856,695 | ||
Consumer Non-Cyclical - Tobacco—0.2% | |||
150,000 | Altria Group, Inc., Sr. Unsecd. Note, 3.700%, 2/4/2051 | 121,691 | |
125,000 | BAT Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047 | 111,881 | |
115,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 2.100%, 5/1/2030 | 103,613 | |
105,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 120,927 | |
TOTAL | 458,112 | ||
Energy - Independent—0.2% | |||
130,000 | Coterra Energy, Inc., Sr. Unsecd. Note, 144A, 4.375%, 3/15/2029 | 135,630 | |
145,000 | Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041 | 163,349 | |
150,000 | Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027 | 154,898 | |
TOTAL | 453,877 | ||
Energy - Integrated—0.3% | |||
35,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.119%, 5/4/2026 | 34,966 | |
175,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 3.750%, 2/15/2052 | 157,139 | |
105,000 | Chevron Corp., Sr. Unsecd. Note, 3.078%, 5/11/2050 | 99,430 | |
185,000 | ConocoPhillips Co., Sr. Unsecd. Note, 2.400%, 3/7/2025 | 182,998 | |
200,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 3.750%, 3/4/2051 | 192,570 | |
TOTAL | 667,103 | ||
Energy - Midstream—0.5% | |||
100,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.600%, 9/1/2032 | 95,476 | |
40,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 41,417 | |
15,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 15,409 | |
160,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 10Y, 4.950%, 6/15/2028 | 168,271 | |
200,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.700%, 1/31/2051 | 183,614 | |
75,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 88,167 | |
115,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 116,352 | |
30,000 | Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033 | 30,316 | |
165,000 | Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045 | 172,798 | |
TOTAL | 911,820 | ||
Energy - Oil Field Services—0.1% | |||
35,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series B, 144A, 3.000%, 11/15/2029 | 33,755 | |
115,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series C, 144A, 3.900%, 11/15/2049 | 112,741 | |
TOTAL | 146,496 | ||
Energy - Refining—0.1% | |||
75,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044 | 76,470 | |
75,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 83,408 | |
100,000 | Valero Energy Corp., Sr. Unsecd. Note, 2.800%, 12/1/2031 | 92,423 | |
TOTAL | 252,301 | ||
Financial Institution - Banking—2.7% | |||
140,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 142,867 | |
235,000 | Bank of America Corp., Sr. Unsecd. Note, 2.299%, 7/21/2032 | 209,472 | |
150,000 | Bank of America Corp., Sr. Unsecd. Note, 2.687%, 4/22/2032 | 138,171 |
10
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$ 450,000 | Bank of America Corp., Sr. Unsecd. Note, 3.419%, 12/20/2028 | $ 445,788 | |
100,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 1.922%, 10/24/2031 | 86,980 | |
100,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 101,905 | |
200,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.200%, 8/16/2023 | 199,797 | |
100,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.273%, 3/1/2030 | 96,660 | |
95,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.057%, 1/25/2033 | 88,863 | |
180,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.352%, 4/24/2025 | 180,523 | |
170,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 171,482 | |
275,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.668%, 7/24/2028 | 275,390 | |
250,000 | Citizens Bank N.A., Sr. Unsecd. Note, Series BKNT, 3.750%, 2/18/2026 | 255,523 | |
40,000 | FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 39,780 | |
100,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.948%, 10/21/2027 | 93,075 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.992%, 1/27/2032 | 433,842 | |
475,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.900%, 5/25/2026 | 480,068 | |
120,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.953%, 2/4/2032 | 105,249 | |
75,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.580%, 4/22/2032 | 68,815 | |
100,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.963%, 1/25/2033 | 94,379 | |
600,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.509%, 1/23/2029 | 597,862 | |
325,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.772%, 1/24/2029 | 327,824 | |
40,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.794%, 2/13/2032 | 34,448 | |
125,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.928%, 4/28/2032 | 108,193 | |
75,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 3.750%, 12/6/2023 | 76,440 | |
135,000 | Wells Fargo & Co., Sr. Unsecd. Note, 2.188%, 4/30/2026 | 130,318 | |
450,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 449,840 | |
TOTAL | 5,433,554 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.2% | |||
140,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 125,515 | |
150,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 158,950 | |
125,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.000%, 5/15/2030 | 126,567 | |
TOTAL | 411,032 | ||
Financial Institution - Finance Companies—0.2% | |||
150,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.000%, 10/29/2028 | 138,619 | |
80,000 | Air Lease Corp., Sr. Unsecd. Note, 2.200%, 1/15/2027 | 74,163 | |
75,000 | Air Lease Corp., Sr. Unsecd. Note, 2.875%, 1/15/2032 | 67,241 | |
75,000 | AstraZeneca Finance LLC, Sr. Unsecd. Note, 2.250%, 5/28/2031 | 69,934 | |
TOTAL | 349,957 | ||
Financial Institution - Insurance - Life—0.4% | |||
275,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 281,371 | |
150,000 | Lincoln National Corp., Sr. Unsecd. Note, 3.625%, 12/12/2026 | 152,504 | |
100,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 110,134 | |
100,000 | MetLife, Inc., Sr. Unsecd. Note, 4.050%, 3/1/2045 | 102,619 | |
70,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 64,925 | |
150,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 4.600%, 5/15/2044 | 160,885 | |
TOTAL | 872,438 | ||
Financial Institution - Insurance - P&C—0.3% | |||
30,000 | Chubb INA Holdings, Inc., 3.350%, 5/3/2026 | 30,440 | |
100,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 1.375%, 9/15/2030 | 87,248 | |
90,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 2.900%, 9/15/2051 | 74,312 | |
115,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 3.951%, 10/15/2050 | 109,112 |
11
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Insurance - P&C—continued | |||
$ 200,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | $ 305,573 | |
90,000 | Travelers Cos., Inc., Sr. Unsecd. Note, 2.550%, 4/27/2050 | 73,184 | |
TOTAL | 679,869 | ||
Financial Institution - REIT - Apartment—0.4% | |||
250,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 250,099 | |
95,000 | Camden Property Trust, Sr. Unsecd. Note, 2.800%, 5/15/2030 | 91,423 | |
250,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | 255,502 | |
200,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 199,882 | |
TOTAL | 796,906 | ||
Financial Institution - REIT - Healthcare—0.3% | |||
150,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 130,015 | |
200,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 202,010 | |
100,000 | Welltower, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2031 | 93,366 | |
150,000 | Welltower, Inc., Sr. Unsecd. Note, 4.250%, 4/1/2026 | 154,350 | |
TOTAL | 579,741 | ||
Financial Institution - REIT - Office—0.4% | |||
130,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 1.875%, 2/1/2033 | 110,146 | |
625,000 | Boston Properties LP, Sr. Unsecd. Note, 3.650%, 2/1/2026 | 633,959 | |
40,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | 35,712 | |
TOTAL | 779,817 | ||
Financial Institution - REIT - Other—0.1% | |||
50,000 | WP Carey, Inc., Sr. Unsecd. Note, 2.400%, 2/1/2031 | 45,135 | |
120,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | 121,637 | |
100,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 102,631 | |
TOTAL | 269,403 | ||
Financial Institution - REIT - Retail—0.1% | |||
250,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 258,875 | |
Technology—1.3% | |||
150,000 | Apple, Inc., Sr. Unsecd. Note, 2.375%, 2/8/2041 | 130,993 | |
92,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 93,291 | |
95,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 96,433 | |
26,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.137%, 11/15/2035 | 22,960 | |
5,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036 | 4,351 | |
75,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.419%, 4/15/2033 | 70,137 | |
60,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2051 | 53,924 | |
100,000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 94,440 | |
175,000 | Dell International LLC / EMC Corp., 5.850%, 7/15/2025 | 186,939 | |
100,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 98,862 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 209,207 | |
185,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 182,317 | |
80,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023 | 81,281 | |
120,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029 | 114,542 | |
100,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 104,932 | |
45,000 | Micron Technology, Inc., Sr. Unsecd. Note, 3.366%, 11/1/2041 | 40,290 | |
200,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.975%, 2/6/2026 | 209,720 | |
200,000 | Microsoft Corp., Sr. Unsecd. Note, 3.125%, 11/3/2025 | 203,623 | |
200,000 | Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050 | 166,368 | |
100,000 | Oracle Corp., Sr. Unsecd. Note, 3.650%, 3/25/2041 | 87,611 | |
100,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 103,246 |
12
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$ 25,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 5.500%, 6/15/2045 | $ 29,206 | |
40,000 | VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026 | 36,781 | |
35,000 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 30,870 | |
85,000 | Vontier Corp., Sr. Unsecd. Note, 1.800%, 4/1/2026 | 76,962 | |
TOTAL | 2,529,286 | ||
Technology Services—0.2% | |||
100,000 | Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026 | 91,126 | |
60,000 | Global Payments, Inc., Sr. Unsecd. Note, 1.200%, 3/1/2026 | 55,357 | |
100,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2027 | 94,019 | |
45,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.900%, 5/15/2030 | 41,596 | |
80,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 72,530 | |
TOTAL | 354,628 | ||
Transportation - Airlines—0.2% | |||
40,000 | Southwest Airlines Co., Sr. Unsecd. Note, 4.750%, 5/4/2023 | 40,857 | |
100,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.125%, 6/15/2027 | 107,035 | |
130,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | 136,629 | |
TOTAL | 284,521 | ||
Transportation - Railroads—0.2% | |||
75,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 3.000%, 4/1/2025 | 75,744 | |
210,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.500%, 5/1/2050 | 196,864 | |
65,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.375%, 5/20/2031 | 60,914 | |
100,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 94,760 | |
TOTAL | 428,282 | ||
Transportation - Services—0.4% | |||
65,000 | FedEx Corp., Sr. Unsecd. Note, 3.250%, 5/15/2041 | 58,365 | |
100,000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | 99,090 | |
80,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 144A, 1.650%, 7/15/2026 | 72,338 | |
80,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 144A, 2.650%, 7/15/2031 | 69,498 | |
200,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 2.700%, 3/14/2023 | 200,982 | |
200,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.400%, 3/1/2023 | 201,813 | |
TOTAL | 702,086 | ||
Utility - Electric—1.4% | |||
165,000 | Ameren Corp., Sr. Unsecd. Note, 1.750%, 3/15/2028 | 151,174 | |
50,000 | American Electric Power Co., Inc., Jr. Sub. Note, 2.031%, 3/15/2024 | 49,168 | |
100,000 | Berkshire Hathaway Energy Co., Sr. Unsecd. Note, 3.750%, 11/15/2023 | 101,641 | |
100,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 91,059 | |
65,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 64,918 | |
200,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026 | 194,932 | |
125,000 | Duke Energy Corp., Sr. Unsecd. Note, 3.750%, 9/1/2046 | 118,356 | |
125,000 | Emera US Finance LP, Sr. Unsecd. Note, 3.550%, 6/15/2026 | 125,034 | |
125,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 130,791 | |
100,000 | Enel Finance International SA, Company Guarantee, 144A, 6.000%, 10/7/2039 | 118,700 | |
175,000 | EverSource Energy, Sr. Unsecd. Note, Series N, 3.800%, 12/1/2023 | 177,653 | |
100,000 | Exelon Corp., Sr. Unsecd. Note, 4.700%, 4/15/2050 | 110,343 | |
25,000 | Exelon Corp., Sr. Unsecd. Note, 144A, 4.100%, 3/15/2052 | 25,467 | |
100,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 95,828 | |
93,000 | Fortis, Inc. / Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 92,058 | |
190,000 | Kansas City Power And Light Co., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 198,127 | |
50,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 50,446 |
13
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—continued | |||
$ 200,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.250%, 6/1/2030 | $ 183,335 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 66,415 | |
300,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 3.100%, 5/15/2026 | 296,325 | |
125,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 114,529 | |
225,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 218,250 | |
TOTAL | 2,774,549 | ||
Utility - Natural Gas—0.5% | |||
225,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | 256,264 | |
40,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 36,459 | |
145,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 153,710 | |
130,000 | Sempra Energy, Sr. Unsecd. Note, 3.700%, 4/1/2029 | 130,739 | |
120,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 127,442 | |
190,000 | TransCanada PipeLines Ltd., Sr. Secd. Note, 5.100%, 3/15/2049 | 222,162 | |
TOTAL | 926,776 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $36,380,813) | 35,480,023 | ||
U.S. TREASURIES—11.1% | |||
Treasury Inflation-Indexed Note—0.0% | |||
11,862 | U.S. Treasury Inflation-Protected Notes, 1.000%, 2/15/2046 | 14,462 | |
U.S. Treasury Bond—2.2% | |||
150,000 | United States Treasury Bond, 1.375%, 11/15/2040 | 122,826 | |
760,000 | United States Treasury Bond, 1.625%, 11/15/2050 | 625,137 | |
800,000 | United States Treasury Bond, 2.250%, 2/15/2052 | 767,000 | |
710,000 | United States Treasury Bond, 2.375%, 2/15/2042 | 684,706 | |
20,000 | United States Treasury Bond, 2.750%, 11/15/2047 | 20,781 | |
1,000 | United States Treasury Bond, 3.000%, 11/15/2044 | 1,062 | |
900,000 | United States Treasury Bond, 3.000%, 2/15/2049 | 990,709 | |
1,100,000 | United States Treasury Bond, 3.125%, 5/15/2048 | 1,230,434 | |
TOTAL | 4,442,655 | ||
U.S. Treasury Note—8.9% | |||
1,350,000 | United States Treasury Note, 0.125%, 11/30/2022 | 1,339,374 | |
500,000 | United States Treasury Note, 0.125%, 4/30/2023 | 491,122 | |
1,900,000 | United States Treasury Note, 0.125%, 6/30/2023 | 1,857,270 | |
2,000,000 | United States Treasury Note, 0.250%, 9/30/2023 | 1,944,649 | |
5,200,000 | United States Treasury Note, 0.500%, 3/15/2023 | 5,143,616 | |
330,000 | United States Treasury Note, 0.625%, 7/31/2026 | 304,552 | |
900,000 | United States Treasury Note, 0.625%, 8/15/2030 | 782,104 | |
400,000 | United States Treasury Note, 0.875%, 11/15/2030 | 354,401 | |
675,000 | United States Treasury Note, 1.250%, 12/31/2026 | 637,787 | |
500,000 | United States Treasury Note, 1.375%, 12/31/2028 | 467,314 | |
1,000,000 | United States Treasury Note, 1.375%, 11/15/2031 | 917,606 | |
400,000 | United States Treasury Note, 1.500%, 1/31/2027 | 382,337 | |
400,000 | United States Treasury Note, 1.625%, 5/15/2031 | 376,720 | |
900,000 | United States Treasury Note, 1.750%, 12/31/2024 | 881,742 | |
775,000 | United States Treasury Note, 1.750%, 3/15/2025 | 758,652 | |
900,000 | United States Treasury Note, 2.125%, 11/30/2024 | 890,971 | |
50,000 | United States Treasury Note, 2.250%, 11/15/2027 | 49,414 | |
40,000 | �� | United States Treasury Note, 2.875%, 5/31/2025 | 40,401 |
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Shares, Principal Amount or Contracts | Value | ||
U.S. TREASURIES—continued | |||
U.S. Treasury Note—continued | |||
$ 300,000 | United States Treasury Note, 2.875%, 5/15/2028 | $ 306,841 | |
TOTAL | 17,926,873 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $22,899,192) | 22,383,990 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—0.6% | |||
Agency Commercial Mortgage-Backed Securities—0.2% | |||
231,867 | FHLMC REMIC, Series K105, Class A1, 1.536%, 9/25/2029 | 217,673 | |
290,000 | FREMF Mortgage Trust 2015-K49 REMIC, Class B, 3.728%, 10/25/2048 | 290,036 | |
TOTAL | 507,709 | ||
Commercial Mortgage—0.4% | |||
85,000 | Bank 2017-BN8, Class A4, 3.488%, 11/15/2050 | 85,541 | |
110,000 | Bank, Class A4, 3.507%, 3/15/2064 | 110,652 | |
200,000 | Benchmark Mortgage Trust 2020-B19, Class A5, 1.850%, 9/15/2053 | 179,095 | |
50,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | 49,493 | |
200,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 195,213 | |
100,000 | JPMDB Commercial Mortgage Securities Trust 2016-C4, Class A3, 3.141%, 12/15/2049 | 99,219 | |
TOTAL | 719,213 | ||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $1,280,282) | 1,226,922 | ||
FOREIGN GOVERNMENTS/AGENCIES—0.2% | |||
Sovereign—0.2% | |||
200,000 | Mexico, Government of, 3.750%, 1/11/2028 | 203,398 | |
100,000 | Poland, Government of, 4.000%, 1/22/2024 | 102,553 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $301,950) | 305,951 | ||
MORTGAGE-BACKED SECURITIES—0.0% | |||
Government National Mortgage Association—0.0% | |||
4,024 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 4,351 | |
2,496 | Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031 | 2,720 | |
7,059 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 7,667 | |
7,965 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 8,682 | |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $21,529) | 23,420 | ||
ADJUSTABLE RATE MORTGAGE—0.0% | |||
Federal National Mortgage Association—0.0% | |||
1,656 | 2 | Federal National Mortgage Association ARM, 2.065%, 9/1/2037 (IDENTIFIED COST $1,668) | 1,739 |
PURCHASED PUT OPTIONS—0.0% | |||
50,000 | 1 | SPDR S&P 500 ETF Trust, Notional Amount $22,582,000, Exercise Price $425. Expiration Date 4/14/2022 | 38,750 |
50,000 | 1 | SPDR S&P 500 ETF Trust, Notional Amount $45,164,000, Exercise Price $440. Expiration Date 4/8/2022 | 50,250 |
100,000 | 1 | SPDR S&P 500 ETF Trust, Notional Amount $45,164,000, Exercise Price $445. Expiration Date 4/1/2022 | 11,500 |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $299,283) | 100,500 | ||
INVESTMENT COMPANIES—22.7% | |||
487,473 | Bank Loan Core Fund | 4,616,371 | |
331,702 | Emerging Markets Core Fund | 2,998,584 | |
930,070 | Federated Hermes High Income Bond Fund II, Class P | 5,394,406 | |
1,064 | Federated Hermes Short-Intermediate Government Fund, Institutional Shares | 11,142 | |
3,186,071 | Mortgage Core Fund | 29,439,300 |
15
Shares, Principal Amount or Contracts | Value | ||
INVESTMENT COMPANIES—continued | |||
392,339 | Project and Trade Finance Core Fund | $ 3,397,654 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $46,128,627) | 45,857,457 | ||
REPURCHASE AGREEMENT—6.6% | |||
$13,402,000 | Interest in $1,592,000,000 joint repurchase agreement 0.30%, dated 3/31/2022 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,592,013,267 on 4/1/2022. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 4/20/2050 and the market value of those underlying securities was $1,623,853,532. (IDENTIFIED COST $13,402,000) | 13,402,000 | |
TOTAL INVESTMENT IN SECURITIES—100.1% (IDENTIFIED COST $184,248,731) | 202,079,376 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.1)%3 | (161,865) | ||
TOTAL NET ASSETS—100% | $201,917,511 |
At March 31, 2022, the Fund had the following outstanding futures contracts:
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
1United States Treasury Notes 2-Year Long Futures | 25 | $5,298,047 | June 2022 | $(70,953) |
1United States Treasury Notes 5-Year Long Futures | 20 | $2,293,750 | June 2022 | $11,832 |
1S&P 500 E-Mini Long Futures | 147 | $33,301,013 | June 2022 | $2,076,691 |
Short Futures: | ||||
1United States Treasury Notes 10-Year Short Futures | 117 | $14,376,375 | June 2022 | $436,659 |
1United States Treasury Notes 10-Year Ultra Short Futures | 5 | $677,344 | June 2022 | $21,941 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $2,476,170 |
The average notional value of long and short futures contracts held by the Fund throughout the period was $66,789,505 and $32,709,149, respectively. This is based on the contracts held as of each month-end throughout the three-month fiscal period.
The average market value of purchased put options held by the Fund throughout the period was $292,150. This is based on amounts held as of each month-end throughout the three-month fiscal period.
Net Unrealized Appreciation on Futures Contracts is included in “Other Assets and Liabilities—Net.”
Affiliated fund holdings are investment companies which are managed by Federated Global Investment Management Corp., Federated Investment Management Company and Federated Equity Management Company of Pennsylvania (collectively, the “Co-Advisers”) or an affiliate of the Co-Advisers. Transactions with affiliated fund holdings during the period ended March 31, 2022, were as follows:
Affiliates | Value as of 12/31/2021 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 3/31/2022 | Shares Held as of 3/31/2022 | Dividend Income |
Bank Loan Core Fund | $4,642,689 | $60,685 | $— | $(87,003) | $— | $4,616,371 | 481,108 | $59,309 |
Emerging Markets Core Fund | $3,587,549 | $48,306 | $(400,000) | $(234,231) | $(3,040) | $2,998,584 | 368,332 | $54,636 |
Federated Hermes High Income Bond Fund II, Class P | $6,958,443 | $282,542 | $(1,275,000) | $(808,955) | $237,376 | $5,394,406 | 1,088,958 | $282,542 |
Federated Hermes Short-Intermediate Government Fund, Institutional Shares | $11,649 | $24 | $— | $(531) | $— | $11,142 | 1,062 | $26 |
Mortgage Core Fund | $25,374,632 | $5,539,496 | $— | $(1,474,828) | $— | $29,439,300 | 2,599,860 | $136,394 |
Project and Trade Finance Core Fund | $3,423,115 | $25,345 | $— | $(50,806) | $— | $3,397,654 | 389,433 | $38,809 |
TOTAL OF AFFILIATED TRANSACTIONS | $43,998,077 | $5,956,398 | $(1,675,000) | $(2,656,354) | $234,336 | $45,857,457 | 4,928,753 | $571,716 |
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1 | Non-income-producing security. |
2 | Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above. |
3 | Assets, other than investments in securities, less liabilities. |
Note: The categories of investments are shown as a percentage of total net assets at March 31, 2022.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
◾ Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market.
◾ Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund’s Board of Trustees (the “Trustees”).
◾ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs, or NAV per share practical expedient, as applicable.
◾ Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations.
◾ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees.
◾ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer’s financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.
If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Fund’s valuation policies and procedures, or if information furnished by a pricing service, in the opinion of the valuation committee (“Valuation Committee”), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.
Fair Valuation and Significant Events Procedures
The Trustees have ultimate responsibility for determining the fair value of investments for which market quotations are not readily available. The Trustees have appointed a Valuation Committee comprised of officers of the Fund, the Co-Advisers and certain of the Co-Advisers’ affiliated companies to assist in determining fair value and in overseeing the calculation of the NAV. The Trustees have also authorized the use of pricing services recommended by the Valuation Committee to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services’ policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Co-Advisers based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Trustees. The Trustees periodically review and approve the fair valuations made by the Valuation Committee and any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Trustees.
The Trustees also have adopted procedures requiring an investment to be priced at its fair value whenever the Co-Advisers determine that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment’s value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
◾ With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;
◾ Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;
17
◾ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer’s operations or regulatory changes or market developments affecting the issuer’s industry.
The Trustees have adopted procedures whereby the Valuation Committee uses a pricing service to provide factors to update the fair value of equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the pricing time of the Fund. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Fund will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Trustees. The Trustees have ultimate responsibility for any fair valuations made in response to a significant event.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of March 31, 2022, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | $78,936,904 | $— | $— | $78,936,904 |
International | 4,360,470 | — | — | 4,360,470 |
Debt Securities: | ||||
Corporate Bonds | — | 35,480,023 | — | 35,480,023 |
U.S. Treasuries | — | 22,383,990 | — | 22,383,990 |
Commercial Mortgage-Backed Securities | — | 1,226,922 | — | 1,226,922 |
Foreign Governments/Agencies | — | 305,951 | — | 305,951 |
Mortgage-Backed Securities | — | 23,420 | — | 23,420 |
Adjustable Rate Mortgages | — | 1,739 | — | 1,739 |
Purchased Put Options | 100,500 | — | — | 100,500 |
Repurchase Agreement | — | 13,402,000 | — | 13,402,000 |
Investment Companies1 | 42,459,803 | — | — | 45,857,457 |
TOTAL SECURITIES | $125,857,677 | $72,824,045 | $— | $202,079,376 |
Other Financial Instruments:2 | ||||
Assets | $2,547,123 | $— | $— | $2,547,123 |
Liabilities | (70,953) | — | — | (70,953) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $2,476,170 | $— | $— | $2,476,170 |
1 | As permitted by U.S. generally accepted accounting principles, an Investment Company valued at $3,397,654 is measured at fair value using the NAV per share practical expedient and has not been categorized in the chart above but is included in the Total column. The price of shares redeemed of Project and Trade Finance Core Fund may be determined as of the closing NAV of the fund up to twenty-four days after receipt of a shareholder redemption request. |
2 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
ARM | —Adjustable Rate Mortgage | |
BKNT | —Bank Notes | |
ETF | —Exchange-Traded Fund | |
FHLMC | —Federal Home Loan Mortgage Corporation | |
FREMF | —Freddie Mac Multifamily K-Deals | |
GMTN | —Global Medium Term Note | |
MTN | —Medium Term Note | |
REIT | —Real Estate Investment Trust | |
REMIC | —Real Estate Mortgage Investment Conduit | |
SPDR | —Standard & Poor’s Depositary Receipt |
18