Federated Hermes Managed Volatility Fund II
Portfolio of Investments
March 31, 2023 (unaudited)
Shares or Principal Amount | Value | ||
COMMON STOCKS—39.7% | |||
Communication Services—3.3% | |||
5,439 | 1 | Alphabet, Inc., Class A | $564,187 |
3,674 | 1 | Alphabet, Inc., Class C | 382,096 |
15,732 | AT&T, Inc. | 302,841 | |
6 | Cable One, Inc. | 4,212 | |
19,880 | Comcast Corp., Class A | 753,651 | |
2,015 | Electronic Arts, Inc. | 242,707 | |
1,169 | Fox Corp | 36,601 | |
332 | 1 | Live Nation Entertainment, Inc. | 23,240 |
45,491 | Lumen Technologies, Inc. | 120,551 | |
456 | 1 | Madison Square Garden Sports Corp. | 88,852 |
6,523 | 1 | Meta Platforms, Inc. | 1,382,485 |
50 | 1 | Netflix, Inc. | 17,274 |
393 | Nexstar Media Group, Inc., Class A | 67,855 | |
621 | 1 | Pinterest, Inc. | 16,935 |
2,734 | 1 | Playtika Holding Corp. | 30,785 |
2,651 | 1 | T-Mobile USA, Inc. | 383,971 |
7,892 | 1 | TripAdvisor, Inc. | 156,735 |
16,271 | Verizon Communications, Inc. | 632,779 | |
6,047 | 1 | Walt Disney Co. | 605,486 |
TOTAL | 5,813,243 | ||
Consumer Discretionary—2.2% | |||
30 | ADT, Inc. | 217 | |
2,421 | 1 | Aptiv PLC | 271,612 |
66 | 1 | AutoZone, Inc. | 162,238 |
366 | Best Buy Co., Inc. | 28,647 | |
1,760 | Block (H&R), Inc. | 62,040 | |
868 | 1 | Bright Horizons Family Solutions, Inc. | 66,827 |
137 | Domino’s Pizza, Inc. | 45,192 | |
44 | 1 | DoorDash, Inc. | 2,797 |
6,825 | eBay, Inc. | 302,825 | |
10,135 | Ford Motor Co. | 127,701 | |
41 | General Motors Co. | 1,504 | |
1,064 | Genuine Parts Co. | 178,018 | |
2,199 | 1 | Grand Canyon Education, Inc. | 250,466 |
559 | Home Depot, Inc. | 164,972 | |
316 | Lear Corp. | 44,079 | |
1,155 | LKQ Corp. | 65,558 | |
548 | Lowe’s Cos., Inc. | 109,584 | |
2,675 | McDonald’s Corp. | 747,957 | |
1,392 | 1 | Norwegian Cruise Line Holdings Ltd. | 18,722 |
23 | 1 | NVR, Inc. | 128,160 |
255 | 1 | O’Reilly Automotive, Inc. | 216,490 |
8,962 | 1 | Rivian Automotive, Inc. | 138,732 |
63 | 1 | Royal Caribbean Cruises, Ltd. | 4,114 |
170 | Starbucks Corp. | 17,702 |
1
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Consumer Discretionary—continued | |||
4,829 | Tapestry, Inc. | $208,178 | |
452 | Toll Brothers, Inc. | 27,134 | |
7,946 | 1 | Under Armour, Inc., Class A | 75,407 |
1,734 | 1 | Under Armour, Inc., Class C | 14,791 |
95 | Vail Resorts, Inc. | 22,200 | |
1,116 | Whirlpool Corp. | 147,334 | |
1,182 | Wyndham Hotels & Resorts, Inc. | 80,199 | |
1,018 | Yum! Brands, Inc. | 134,457 | |
TOTAL | 3,865,854 | ||
Consumer Staples—3.0% | |||
1,470 | Albertsons Cos., Inc. | 30,547 | |
13,885 | Altria Group, Inc. | 619,549 | |
3,058 | Archer-Daniels-Midland Co. | 243,600 | |
997 | Casey’s General Stores, Inc. | 215,811 | |
87 | Clorox Co. | 13,767 | |
1,389 | Hershey Foods Corp. | 353,375 | |
9 | Kimberly-Clark Corp. | 1,208 | |
3,627 | Kroger Co. | 179,065 | |
3,662 | Mondelez International, Inc. | 255,315 | |
2,059 | PepsiCo, Inc. | 375,356 | |
4,944 | Philip Morris International, Inc. | 480,804 | |
6,687 | Procter & Gamble Co. | 994,290 | |
8,645 | The Coca-Cola Co. | 536,249 | |
1,530 | 1 | US Foods Holding Corp. | 56,518 |
5,281 | WalMart, Inc. | 778,683 | |
TOTAL | 5,134,137 | ||
Energy—3.3% | |||
620 | APA Corp. | 22,357 | |
13,856 | 1 | Atlas Energy Solutions, Inc. | 235,968 |
2,579 | Cheniere Energy, Inc. | 406,450 | |
5,960 | Chevron Corp. | 972,434 | |
7,351 | ConocoPhillips | 729,293 | |
880 | DT Midstream, Inc. | 43,446 | |
3,504 | EQT Corp. | 111,813 | |
16,034 | Exxon Mobil Corp. | 1,758,288 | |
16,930 | Marathon Oil Corp. | 405,643 | |
3,398 | Marathon Petroleum Corp. | 458,152 | |
1,952 | ONEOK, Inc. | 124,030 | |
6,084 | Range Resources Corp. | 161,044 | |
512 | Schlumberger Ltd. | 25,139 | |
6,000 | 1 | TXO Energy Partners, LP | 138,660 |
742 | Valero Energy Corp. | 103,583 | |
TOTAL | 5,696,300 | ||
Financials—7.9% | |||
2,315 | Affiliated Managers Group | 329,702 | |
3,239 | Ally Financial, Inc. | 82,562 | |
1,724 | American Express Co. | 284,374 | |
9,541 | American International Group, Inc. | 480,485 | |
839 | Ameriprise Financial, Inc. | 257,153 | |
5,791 | Annaly Capital Management, Inc. | 110,666 |
2
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Financials—continued | |||
21,412 | Bank of America Corp. | $612,383 | |
9,542 | Bank of New York Mellon Corp. | 433,588 | |
5,679 | 1 | Berkshire Hathaway, Inc., Class B | 1,753,505 |
267 | BlackRock, Inc. | 178,655 | |
5,011 | 1 | Brighthouse Financial, Inc. | 221,035 |
516 | Capital One Financial Corp. | 49,619 | |
1,358 | Charles Schwab Corp. | 71,132 | |
3,067 | Chubb Ltd. | 595,550 | |
11,076 | Citigroup, Inc. | 519,354 | |
1,048 | CME Group, Inc. | 200,713 | |
1,984 | Discover Financial Services | 196,099 | |
2,483 | East West Bancorp, Inc. | 137,806 | |
14,749 | Equitable Holdings, Inc. | 374,477 | |
10,614 | 1 | F&G Annuities & Life, Inc. | 192,326 |
3,132 | Fidelity National Information Services, Inc. | 170,162 | |
897 | 1 | Fiserv, Inc. | 101,388 |
200 | Global Payments, Inc. | 21,048 | |
1,268 | Goldman Sachs Group, Inc. | 414,775 | |
3,517 | Hartford Financial Services Group, Inc. | 245,100 | |
10,313 | JPMorgan Chase & Co. | 1,343,887 | |
6,718 | KeyCorp | 84,109 | |
786 | Lazard Ltd., Class A | 26,024 | |
1,180 | MetLife, Inc. | 68,369 | |
10,290 | MGIC Investment Corp. | 138,092 | |
163 | Moody’s Corp. | 49,881 | |
3,527 | Morgan Stanley | 309,671 | |
4,795 | OneMain Holdings, Inc. | 177,799 | |
2,534 | 1 | PayPal Holdings, Inc. | 192,432 |
1,138 | PNC Financial Services Group | 144,640 | |
6,357 | Popular, Inc. | 364,955 | |
18,285 | Regions Financial Corp. | 339,370 | |
231 | S&P Global, Inc. | 79,642 | |
4,096 | 1 | Skyward Specialty Insurance Group, Inc. | 89,579 |
23,503 | SLM Corp. | 291,202 | |
2,184 | State Street Corp. | 165,307 | |
5,943 | Synchrony Financial | 172,822 | |
1,933 | The Travelers Cos., Inc. | 331,335 | |
7,078 | Truist Financial Corp. | 241,360 | |
10,977 | Virtu Financial, Inc. | 207,465 | |
5,291 | Wells Fargo & Co. | 197,778 | |
8,342 | Western Alliance Bancorp | 296,475 | |
830 | 1 | WEX, Inc. | 152,629 |
684 | Willis Towers Watson PLC | 158,948 | |
404 | Zions Bancorporation, N.A. | 12,092 | |
TOTAL | 13,669,520 | ||
Health Care—6.5% | |||
4,645 | Abbott Laboratories | 470,353 | |
428 | Agilent Technologies, Inc. | 59,209 | |
521 | 1 | Biogen, Inc. | 144,854 |
439 | 1 | Bio-Rad Laboratories, Inc., Class A | 210,290 |
3
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
11,984 | Bristol-Myers Squibb Co. | $830,611 | |
4,025 | Cardinal Health, Inc. | 303,887 | |
1,092 | 1 | Centene Corp. | 69,025 |
186 | CIGNA Corp. | 47,529 | |
5,662 | CVS Health Corp. | 420,743 | |
2,089 | Danaher Corp. | 526,512 | |
289 | Dentsply Sirona, Inc. | 11,352 | |
1,283 | Elevance Health, Inc. | 589,936 | |
423 | Eli Lilly & Co. | 145,267 | |
570 | 1 | GE HealthCare Technologies, Inc. | 46,757 |
8,533 | Gilead Sciences, Inc. | 707,983 | |
791 | HCA Healthcare, Inc. | 208,571 | |
4,931 | 1 | Hologic, Inc. | 397,932 |
379 | Humana, Inc. | 183,989 | |
841 | 1 | Illumina, Inc. | 195,575 |
9,722 | Johnson & Johnson | 1,506,910 | |
218 | Laboratory Corp. of America Holdings | 50,014 | |
1,172 | McKesson Corp. | 417,291 | |
2,017 | Medtronic PLC | 162,610 | |
7,899 | Merck & Co., Inc. | 840,375 | |
149 | 1 | Moderna, Inc. | 22,883 |
16,487 | Pfizer, Inc. | 672,670 | |
9,480 | Premier, Inc. | 306,868 | |
255 | Quest Diagnostics, Inc. | 36,077 | |
216 | 1 | Regeneron Pharmaceuticals, Inc. | 177,481 |
7,620 | 1 | Structure Therapeutics, Inc., ADR | 181,280 |
11,269 | 1 | Teladoc Health, Inc. | 291,867 |
896 | Thermo Fisher Scientific, Inc. | 516,427 | |
26,600 | 1 | TMS Co., Ltd. | 103,874 |
716 | UnitedHealth Group, Inc. | 338,374 | |
578 | 1 | Vertex Pharmaceuticals, Inc. | 182,110 |
TOTAL | 11,377,486 | ||
Industrials—4.4% | |||
2,530 | 3M Co. | 265,928 | |
402 | Acuity Brands, Inc. | 73,457 | |
2,707 | AECOM | 228,254 | |
2,784 | Allison Transmission Holdings, Inc. | 125,948 | |
263 | Automatic Data Processing, Inc. | 58,552 | |
167 | 1 | Avis Budget Group, Inc. | 32,532 |
1,599 | 1 | Boeing Co. | 339,676 |
4,345 | 1 | Builders Firstsource, Inc. | 385,749 |
4 | C.H. Robinson Worldwide, Inc. | 398 | |
319 | Caterpillar, Inc. | 73,000 | |
3,375 | CSX Corp. | 101,048 | |
1,827 | Dun & Bradstreet Holdings, Inc. | 21,449 | |
1,245 | Eaton Corp. PLC | 213,318 | |
424 | Emerson Electric Co. | 36,947 | |
40,000 | 1 | Eurogroup Laminations S.p.A. | 210,393 |
552 | Expeditors International Washington, Inc. | 60,786 | |
2,278 | General Dynamics Corp. | 519,862 |
4
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Industrials—continued | |||
2,271 | General Electric Co. | $217,108 | |
3,360 | Honeywell International, Inc. | 642,163 | |
1,589 | Ingersoll-Rand, Inc. | 92,448 | |
4,368 | Johnson Controls International PLC | 263,041 | |
2,097 | L3Harris Technologies, Inc. | 411,515 | |
1,226 | Leidos Holdings, Inc. | 112,866 | |
2,925 | 1 | Lyft, Inc. | 27,115 |
1,411 | Manpower, Inc. | 116,450 | |
47 | Masco Corp. | 2,337 | |
2,161 | Norfolk Southern Corp. | 458,132 | |
3,469 | OshKosh Truck Corp. | 288,551 | |
1,689 | Otis Worldwide Corp. | 142,552 | |
1,009 | Owens Corning, Inc. | 96,662 | |
692 | Parker-Hannifin Corp. | 232,588 | |
4,297 | Raytheon Technologies Corp. | 420,805 | |
266 | Republic Services, Inc. | 35,969 | |
13,800 | 1 | Skymark Airlines, Inc. | 124,202 |
1,013 | Textron, Inc. | 71,548 | |
944 | Trane Technologies PLC | 173,677 | |
10,561 | 1 | Uber Technologies, Inc. | 334,784 |
566 | 1 | United Rentals, Inc. | 224,000 |
1,865 | Waste Management, Inc. | 304,312 | |
1,664 | 1 | Willscot Corp. | 78,008 |
TOTAL | 7,618,130 | ||
Information Technology—3.2% | |||
1,486 | 1 | Advanced Micro Devices, Inc. | 145,643 |
2,961 | 1 | Cirrus Logic, Inc. | 323,874 |
17,870 | Cisco Systems, Inc. | 934,154 | |
1,986 | Cognizant Technology Solutions Corp. | 121,007 | |
2,096 | Dell Technologies, Inc. | 84,280 | |
6,235 | 1 | Dropbox, Inc. | 134,801 |
3,670 | 1 | DXC Technology Co. | 93,805 |
1,571 | 1 | GoDaddy, Inc. | 122,098 |
26,846 | Hewlett Packard Enterprise Co. | 427,657 | |
1,546 | HP, Inc. | 45,375 | |
14,983 | Intel Corp. | 489,495 | |
10,000 | 1 | IONOS SE | 160,723 |
2,802 | Juniper Networks, Inc. | 96,445 | |
4,289 | 1 | Kyndryl Holdings, Inc. | 63,306 |
6,759 | Marvell Technology, Inc. | 292,665 | |
978 | Microchip Technology, Inc. | 81,937 | |
6,333 | Micron Technology, Inc. | 382,133 | |
5,266 | 1 | Nutanix, Inc. | 136,863 |
692 | 1 | ON Semiconductor Corp. | 56,965 |
754 | Oracle Corp. | 70,062 | |
338 | 1 | Qorvo, Inc. | 34,331 |
2,623 | 1 | Salesforce, Inc. | 524,023 |
682 | 1 | Snowflake, Inc. | 105,226 |
3,980 | 1 | Teradata Corp. | 160,314 |
482 | 1 | Verisign, Inc. | 101,861 |
5
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Information Technology—continued | |||
1,970 | 1 | VMware, Inc., Class A | $245,954 |
5,311 | 1 | Western Digital Corp. | 200,065 |
TOTAL | 5,635,062 | ||
Materials—2.0% | |||
129 | Air Products & Chemicals, Inc. | 37,050 | |
578 | Alcoa Corp. | 24,600 | |
1,007 | Avery Dennison Corp. | 180,183 | |
6,238 | Dow, Inc. | 341,967 | |
1,663 | Ecolab, Inc. | 275,276 | |
4,135 | Freeport-McMoRan, Inc. | 169,163 | |
1,497 | Huntsman Corp. | 40,958 | |
33,333 | 1 | Lithium Royalty Corp. | 399,552 |
669 | Louisiana-Pacific Corp. | 36,267 | |
1,791 | LyondellBasell Industries N.V. | 168,157 | |
2,373 | New Linde PLC | 843,459 | |
3,113 | Newmont Corp. | 152,599 | |
1,027 | Nucor Corp. | 158,641 | |
2,986 | Olin Corp. | 165,723 | |
769 | Steel Dynamics, Inc. | 86,943 | |
2,531 | United States Steel Corp. | 66,059 | |
7,613 | WestRock Co. | 231,968 | |
TOTAL | 3,378,565 | ||
Real Estate—1.7% | |||
694 | American Tower Corp. | 141,812 | |
10,304 | Apartment Income REIT Corp. | 368,986 | |
261 | Avalonbay Communities, Inc. | 43,864 | |
2,053 | 1 | CBRE Group, Inc. | 149,479 |
3 | Equinix, Inc. | 2,163 | |
1,776 | Extra Space Storage, Inc. | 289,364 | |
1,277 | First Industrial Realty Trust | 67,936 | |
6,140 | Host Hotels & Resorts, Inc. | 101,248 | |
6,119 | ProLogis, Inc. | 763,468 | |
1,257 | Public Storage | 379,790 | |
476 | SBA Communications, Corp. | 124,269 | |
4,247 | UDR, Inc. | 174,382 | |
14,054 | Weyerhaeuser Co. | 423,447 | |
TOTAL | 3,030,208 | ||
Utilities—2.2% | |||
13,828 | AES Corp. | 332,978 | |
5 | Brookfield Renewable Corp. | 175 | |
3,694 | Consolidated Edison Co. | 353,405 | |
333 | DTE Energy Co. | 36,477 | |
1,141 | Duke Energy Corp. | 110,072 | |
5,423 | FirstEnergy Corp. | 217,245 | |
11,023 | NextEra Energy, Inc. | 849,653 | |
13,982 | PPL Corp. | 388,560 | |
3,410 | Public Service Enterprises Group, Inc. | 212,954 | |
5,432 | Southern Co. | 377,959 | |
8,826 | UGI Corp. | 306,792 | |
5,449 | Vistra Corp. | 130,776 |
6
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Utilities—continued | |||
7,076 | Xcel Energy, Inc. | $477,205 | |
TOTAL | 3,794,251 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $57,699,070) | 69,012,756 | ||
U.S. TREASURIES—19.4% | |||
Treasury Inflation-Indexed Note—0.0% | |||
$12,623 | U.S. Treasury Inflation-Protected Notes, 1.000%, 2/15/2046 | 11,250 | |
U.S. Treasury Bond—3.4% | |||
150,000 | United States Treasury Bond, 1.375%, 11/15/2040 | 103,179 | |
760,000 | United States Treasury Bond, 1.625%, 11/15/2050 | 487,228 | |
860,000 | United States Treasury Bond, 2.375%, 2/15/2042 | 690,941 | |
20,000 | United States Treasury Bond, 2.750%, 11/15/2047 | 16,645 | |
2,950,000 | United States Treasury Bond, 2.875%, 5/15/2052 | 2,522,668 | |
1,000 | United States Treasury Bond, 3.000%, 11/15/2044 | 871 | |
900,000 | United States Treasury Bond, 3.000%, 2/15/2049 | 787,834 | |
1,100,000 | United States Treasury Bond, 3.125%, 5/15/2048 | 982,217 | |
300,000 | United States Treasury Bond, 4.000%, 11/15/2052 | 318,291 | |
TOTAL | 5,909,874 | ||
U.S. Treasury Note—16.0% | |||
500,000 | United States Treasury Note, 0.125%, 4/30/2023 | 498,427 | |
2,000,000 | United States Treasury Note, 0.250%, 9/30/2023 | 1,957,207 | |
330,000 | United States Treasury Note, 0.625%, 7/31/2026 | 297,660 | |
900,000 | United States Treasury Note, 0.625%, 8/15/2030 | 733,170 | |
400,000 | United States Treasury Note, 0.875%, 11/15/2030 | 330,984 | |
675,000 | United States Treasury Note, 1.250%, 12/31/2026 | 616,722 | |
300,000 | United States Treasury Note, 1.375%, 11/15/2031 | 253,168 | |
400,000 | United States Treasury Note, 1.500%, 1/31/2027 | 368,184 | |
200,000 | United States Treasury Note, 1.625%, 5/15/2031 | 173,810 | |
900,000 | United States Treasury Note, 1.750%, 12/31/2024 | 863,433 | |
775,000 | United States Treasury Note, 1.750%, 3/15/2025 | 741,248 | |
500,000 | United States Treasury Note, 2.125%, 11/30/2024 | 483,222 | |
1,150,000 | United States Treasury Note, 2.250%, 3/31/2024 | 1,123,285 | |
50,000 | United States Treasury Note, 2.250%, 11/15/2027 | 47,035 | |
3,500,000 | United States Treasury Note, 2.500%, 4/30/2024 | 3,422,621 | |
500,000 | United States Treasury Note, 2.500%, 5/31/2024 | 488,578 | |
3,800,000 | United States Treasury Note, 2.625%, 5/31/2027 | 3,643,610 | |
500,000 | United States Treasury Note, 2.750%, 4/30/2027 | 481,871 | |
5,700,000 | United States Treasury Note, 2.750%, 7/31/2027 | 5,489,716 | |
40,000 | United States Treasury Note, 2.875%, 5/31/2025 | 39,050 | |
300,000 | United States Treasury Note, 2.875%, 5/15/2028 | 289,388 | |
680,000 | United States Treasury Note, 3.000%, 6/30/2024 | 667,902 | |
110,000 | United States Treasury Note, 3.125%, 8/31/2027 | 107,618 | |
1,800,000 | United States Treasury Note, 3.500%, 2/15/2033 | 1,802,626 | |
250,000 | United States Treasury Note, 3.875%, 11/30/2027 | 252,637 | |
2,600,000 | United States Treasury Note, 4.000%, 2/28/2030 | 2,668,656 | |
TOTAL | 27,841,828 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $35,672,044) | 33,762,952 | ||
CORPORATE BONDS—11.9% | |||
Basic Industry - Chemicals—0.1% | |||
50,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | 47,496 |
7
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Basic Industry - Chemicals—continued | |||
$75,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | $71,631 | |
TOTAL | 119,127 | ||
Basic Industry - Metals & Mining—0.0% | |||
60,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 54,343 | |
30,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 20,915 | |
TOTAL | 75,258 | ||
Capital Goods - Aerospace & Defense—0.4% | |||
125,000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | 115,234 | |
45,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 33,136 | |
75,000 | Boeing Co., Sr. Unsecd. Note, 4.875%, 5/1/2025 | 74,884 | |
85,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 79,717 | |
25,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | 24,366 | |
110,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 103,681 | |
90,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 4.700%, 3/15/2033 | 90,976 | |
95,000 | Raytheon Technologies Corp., Sr. Unsecd. Note, 5.150%, 2/27/2033 | 98,922 | |
100,000 | Textron, Inc., Sr. Unsecd. Note, 3.650%, 3/15/2027 | 95,666 | |
TOTAL | 716,582 | ||
Capital Goods - Building Materials—0.1% | |||
35,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 31,665 | |
20,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 19,425 | |
90,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 84,136 | |
TOTAL | 135,226 | ||
Capital Goods - Construction Machinery—0.1% | |||
100,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 96,111 | |
170,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 163,473 | |
TOTAL | 259,584 | ||
Capital Goods - Diversified Manufacturing—0.1% | |||
45,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 42,249 | |
45,000 | Honeywell International, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2050 | 33,823 | |
65,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 58,235 | |
70,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 1.800%, 4/1/2026 | 62,050 | |
45,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 37,591 | |
TOTAL | 233,948 | ||
Capital Goods - Packaging—0.1% | |||
125,000 | Packaging Corp., of America, Sr. Unsecd. Note, 3.650%, 9/15/2024 | 123,011 | |
Communications - Cable & Satellite—0.3% | |||
50,000 | CCO Safari II LLC, 6.484%, 10/23/2045 | 47,424 | |
25,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | 15,619 | |
225,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 217,151 | |
150,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 148,377 | |
90,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 77,851 | |
TOTAL | 506,422 | ||
Communications - Media & Entertainment—0.4% | |||
115,000 | Alphabet, Inc., Sr. Unsecd. Note, 2.050%, 8/15/2050 | 73,212 | |
200,000 | British Sky Broadcasting Group PLC, Sr. Unsecd. Note, 144A, 3.750%, 9/16/2024 | 196,215 | |
100,000 | Meta Platforms, Inc., Sr. Unsecd. Note, 3.500%, 8/15/2027 | 96,629 | |
75,000 | Meta Platforms, Inc., Sr. Unsecd. Note, 3.850%, 8/15/2032 | 70,249 | |
75,000 | Netflix, Inc., Sr. Unsecd. Note, 4.875%, 4/15/2028 | 74,693 | |
50,000 | Paramount Global, Sr. Unsecd. Note, 4.200%, 6/1/2029 | 46,004 | |
65,000 | S&P Global, Inc., Sr. Unsecd. Note, 2.900%, 3/1/2032 | 58,069 |
8
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Communications - Media & Entertainment—continued | |||
$65,000 | Walt Disney Co., Sr. Unsecd. Note, 3.600%, 1/13/2051 | $52,879 | |
45,000 | Walt Disney Co., Sr. Unsecd. Note, 3.800%, 5/13/2060 | 37,037 | |
TOTAL | 704,987 | ||
Communications - Telecom Wireless—0.3% | |||
50,000 | American Tower Corp., Sr. Unsecd. Note, 2.700%, 4/15/2031 | 41,966 | |
60,000 | American Tower Corp., Sr. Unsecd. Note, 3.100%, 6/15/2050 | 39,459 | |
75,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 74,675 | |
100,000 | Crown Castle International Corp., Sr. Unsecd. Note, 3.250%, 1/15/2051 | 68,982 | |
105,000 | T-Mobile USA, Inc., Series WI, 3.000%, 2/15/2041 | 77,930 | |
90,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.200%, 1/15/2033 | 91,850 | |
60,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 59,357 | |
70,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | 67,606 | |
TOTAL | 521,825 | ||
Communications - Telecom Wirelines—0.3% | |||
150,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 138,071 | |
203,000 | AT&T, Inc., Sr. Unsecd. Note, 3.800%, 12/1/2057 | 151,053 | |
45,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 144A, 4.500%, 3/15/2042 | 38,811 | |
80,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041 | 63,682 | |
100,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 85,566 | |
TOTAL | 477,183 | ||
Consumer Cyclical - Automotive—0.2% | |||
150,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | 129,469 | |
100,000 | General Motors Co., Sr. Unsecd. Note, 6.125%, 10/1/2025 | 101,950 | |
100,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028 | 87,383 | |
TOTAL | 318,802 | ||
Consumer Cyclical - Leisure—0.1% | |||
100,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 144A, 4.279%, 3/15/2032 | 89,352 | |
100,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 144A, 5.050%, 3/15/2042 | 83,734 | |
TOTAL | 173,086 | ||
Consumer Cyclical - Retailers—0.3% | |||
45,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, 1.750%, 10/1/2027 | 38,890 | |
90,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 82,073 | |
50,000 | AutoNation, Inc., Sr. Unsecd. Note, 3.850%, 3/1/2032 | 42,635 | |
40,000 | AutoZone, Inc., Sr. Unsecd. Note, 3.625%, 4/15/2025 | 39,002 | |
20,000 | AutoZone, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2033 | 19,773 | |
85,000 | CVS Health Corp., Sr. Unsecd. Note, 4.250%, 4/1/2050 | 71,122 | |
60,000 | CVS Health Corp., Sr. Unsecd. Note, 5.250%, 2/21/2033 | 61,260 | |
40,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 36,976 | |
165,000 | Home Depot, Inc., Sr. Unsecd. Note, 3.300%, 4/15/2040 | 137,342 | |
TOTAL | 529,073 | ||
Consumer Cyclical - Services—0.1% | |||
65,000 | Amazon.com, Inc., Sr. Unsecd. Note, 2.500%, 6/3/2050 | 44,112 | |
125,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.875%, 8/22/2037 | 116,434 | |
TOTAL | 160,546 | ||
Consumer Non-Cyclical - Food/Beverage—0.3% | |||
105,000 | Anheuser-Busch InBev Finance, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 102,747 | |
85,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 3.750%, 5/1/2050 | 67,336 | |
25,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 20,895 | |
100,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 95,878 | |
145,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 2.300%, 11/1/2030 | 116,468 |
9
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Food/Beverage—continued | |||
$70,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | $61,046 | |
70,000 | PepsiCo, Inc., Sr. Unsecd. Note, 2.750%, 10/21/2051 | 51,536 | |
90,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 78,185 | |
TOTAL | 594,091 | ||
Consumer Non-Cyclical - Health Care—0.2% | |||
27,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.794%, 5/20/2050 | 21,939 | |
27,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 25,158 | |
90,000 | Danaher Corp., Sr. Unsecd. Note, 2.600%, 10/1/2050 | 61,653 | |
65,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 58,193 | |
80,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 55,350 | |
10,000 | Stryker Corp., Sr. Unsecd. Note, 3.500%, 3/15/2026 | 9,702 | |
100,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 1.215%, 10/18/2024 | 94,953 | |
TOTAL | 326,948 | ||
Consumer Non-Cyclical - Pharmaceuticals—0.5% | |||
83,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 82,463 | |
110,000 | Amgen, Inc., Sr. Unsecd. Note, 5.250%, 3/2/2033 | 113,074 | |
110,000 | Amgen, Inc., Sr. Unsecd. Note, 5.650%, 3/2/2053 | 114,589 | |
75,000 | AstraZeneca PLC, Sr. Unsecd. Note, 1.375%, 8/6/2030 | 61,174 | |
200,000 | Bayer US Finance LLC, Sr. Unsecd. Note, 144A, 3.375%, 10/8/2024 | 194,554 | |
70,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 58,963 | |
75,000 | Biogen, Inc., Sr. Unsecd. Note, 3.150%, 5/1/2050 | 52,296 | |
40,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.250%, 10/26/2049 | 36,305 | |
91,000 | Regeneron Pharmaceuticals, Inc., Sr. Unsecd. Note, 2.800%, 9/15/2050 | 60,805 | |
115,000 | Zoetis, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2050 | 82,280 | |
TOTAL | 856,503 | ||
Consumer Non-Cyclical - Tobacco—0.2% | |||
75,000 | Altria Group, Inc., Sr. Unsecd. Note, 3.700%, 2/4/2051 | 50,700 | |
50,000 | BAT Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047 | 37,301 | |
125,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 2.100%, 5/1/2030 | 103,965 | |
25,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 5.750%, 11/17/2032 | 26,253 | |
55,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 56,606 | |
TOTAL | 274,825 | ||
Energy - Independent—0.1% | |||
55,000 | Diamondback Energy, Inc., Sr. Unsecd. Note, 6.250%, 3/15/2033 | 58,158 | |
80,000 | Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041 | 77,234 | |
85,000 | Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027 | 82,412 | |
TOTAL | 217,804 | ||
Energy - Integrated—0.2% | |||
55,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.119%, 5/4/2026 | 52,957 | |
80,000 | Chevron Corp., Sr. Unsecd. Note, 3.078%, 5/11/2050 | 60,673 | |
185,000 | ConocoPhillips Co., Sr. Unsecd. Note, 2.400%, 3/7/2025 | 177,682 | |
TOTAL | 291,312 | ||
Energy - Midstream—0.5% | |||
45,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.600%, 9/1/2032 | 38,738 | |
40,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 39,258 | |
35,000 | Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2029 | 31,215 | |
115,000 | Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.900%, 11/15/2049 | 87,356 | |
60,000 | Energy Transfer LP, Sr. Unsecd. Note, 5.750%, 2/15/2033 | 61,515 | |
15,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 14,913 | |
95,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 10Y, 4.950%, 6/15/2028 | 94,422 |
10
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Energy - Midstream—continued | |||
$50,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | $51,740 | |
110,000 | MPLX LP, Sr. Unsecd. Note, 4.950%, 9/1/2032 | 107,650 | |
75,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 62,975 | |
20,000 | ONEOK, Inc., Sr. Unsecd. Note, 6.100%, 11/15/2032 | 20,722 | |
110,000 | Plains All American Pipeline LP, Sr. Unsecd. Note, 5.150%, 6/1/2042 | 92,842 | |
100,000 | Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033 | 90,027 | |
100,000 | Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045 | 88,252 | |
TOTAL | 881,625 | ||
Energy - Oil Field Services—0.1% | |||
85,000 | Halliburton Co., Sr. Unsecd. Note, 5.000%, 11/15/2045 | 77,462 | |
110,000 | Schlumberger Investment SA, Sr. Unsecd. Note, 2.650%, 6/26/2030 | 97,301 | |
TOTAL | 174,763 | ||
Energy - Refining—0.1% | |||
75,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044 | 64,748 | |
50,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 46,843 | |
75,000 | Valero Energy Corp., Sr. Unsecd. Note, 2.800%, 12/1/2031 | 63,114 | |
TOTAL | 174,705 | ||
Financial Institution - Banking—2.4% | |||
115,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 110,115 | |
260,000 | Bank of America Corp., Sr. Unsecd. Note, 2.299%, 7/21/2032 | 209,730 | |
350,000 | Bank of America Corp., Sr. Unsecd. Note, 3.419%, 12/20/2028 | 325,467 | |
75,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 73,331 | |
200,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.200%, 8/16/2023 | 197,728 | |
50,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.992%, 6/13/2028 | 48,756 | |
75,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.273%, 3/1/2030 | 63,960 | |
95,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.057%, 1/25/2033 | 80,465 | |
180,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.352%, 4/24/2025 | 175,507 | |
195,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 186,245 | |
90,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.668%, 7/24/2028 | 85,331 | |
100,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 6.361%, 10/27/2028 | 100,753 | |
50,000 | FNB Corp. (PA), Sr. Unsecd. Note, 5.150%, 8/25/2025 | 46,911 | |
150,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.948%, 10/21/2027 | 134,154 | |
275,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.992%, 1/27/2032 | 219,870 | |
275,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.900%, 5/25/2026 | 261,227 | |
100,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 4.443%, 8/4/2028 | 91,820 | |
120,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.953%, 2/4/2032 | 96,616 | |
100,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.963%, 1/25/2033 | 85,588 | |
325,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.509%, 1/23/2029 | 304,372 | |
75,000 | M&T Bank Corp., Sr. Unsecd. Note, 5.053%, 1/27/2034 | 69,714 | |
325,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.772%, 1/24/2029 | 308,063 | |
40,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.794%, 2/13/2032 | 31,427 | |
55,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.928%, 4/28/2032 | 43,304 | |
80,000 | Northern Trust Corp., Sub., 6.125%, 11/2/2032 | 85,340 | |
110,000 | PNC Financial Services Group, Inc., Sub. Note, 4.626%, 6/6/2033 | 101,539 | |
75,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 3.750%, 12/6/2023 | 73,617 | |
45,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.122%, 1/26/2034 | 43,923 | |
125,000 | US Bancorp, 4.967%, 7/22/2033 | 118,469 | |
500,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 471,442 | |
TOTAL | 4,244,784 |
11
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Broker/Asset Mgr/Exchange—0.1% | |||
$100,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | $77,256 | |
100,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 97,849 | |
TOTAL | 175,105 | ||
Financial Institution - Finance Companies—0.1% | |||
50,000 | Air Lease Corp., Sr. Unsecd. Note, 5.300%, 2/1/2028 | 49,387 | |
85,000 | Air Lease Corp., Sr. Unsecd. Note, 5.850%, 12/15/2027 | 85,523 | |
TOTAL | 134,910 | ||
Financial Institution - Insurance - Health—0.1% | |||
90,000 | Elevance Health, Inc., Sr. Unsecd. Note, 4.750%, 2/15/2033 | 90,514 | |
145,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 3.050%, 5/15/2041 | 114,440 | |
TOTAL | 204,954 | ||
Financial Institution - Insurance - Life—0.2% | |||
110,000 | Lincoln National Corp., Sr. Unsecd. Note, 3.625%, 12/12/2026 | 100,741 | |
100,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 86,939 | |
70,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 54,453 | |
100,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 2.125%, 6/15/2030 | 83,505 | |
75,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 4.600%, 5/15/2044 | 68,605 | |
TOTAL | 394,243 | ||
Financial Institution - Insurance - P&C—0.2% | |||
30,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 3.350%, 5/3/2026 | 29,039 | |
100,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 1.375%, 9/15/2030 | 80,969 | |
200,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 272,404 | |
TOTAL | 382,412 | ||
Financial Institution - REIT - Apartment—0.2% | |||
135,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 127,363 | |
135,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | 131,577 | |
110,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 102,939 | |
TOTAL | 361,879 | ||
Financial Institution - REIT - Healthcare—0.2% | |||
100,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 78,148 | |
125,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 117,329 | |
75,000 | Welltower, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2031 | 62,368 | |
100,000 | Welltower, Inc., Sr. Unsecd. Note, 4.250%, 4/1/2026 | 97,906 | |
TOTAL | 355,751 | ||
Financial Institution - REIT - Office—0.1% | |||
130,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 1.875%, 2/1/2033 | 97,551 | |
100,000 | Boston Properties LP, Sr. Unsecd. Note, 3.650%, 2/1/2026 | 91,493 | |
40,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | 27,526 | |
TOTAL | 216,570 | ||
Financial Institution - REIT - Other—0.1% | |||
70,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | 64,541 | |
50,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 48,947 | |
TOTAL | 113,488 | ||
Financial Institution - REIT - Retail—0.1% | |||
135,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 128,213 | |
Technology—0.9% | |||
165,000 | Apple, Inc., Sr. Unsecd. Note, 2.375%, 2/8/2041 | 123,669 | |
65,000 | Apple, Inc., Sr. Unsecd. Note, 2.400%, 8/20/2050 | 43,654 | |
112,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 107,105 | |
20,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 18,556 |
12
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$5,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036 | $3,793 | |
50,000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 45,027 | |
100,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 95,601 | |
30,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 4.700%, 7/15/2027 | 29,566 | |
35,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 5.625%, 7/15/2052 | 33,669 | |
95,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 88,215 | |
80,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023 | 79,268 | |
100,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 98,055 | |
65,000 | Microsoft Corp., Sr. Unsecd. Note, 2.525%, 6/1/2050 | 46,057 | |
200,000 | Microsoft Corp., Sr. Unsecd. Note, 3.125%, 11/3/2025 | 195,143 | |
125,000 | Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050 | 88,790 | |
125,000 | Oracle Corp., Sr. Unsecd. Note, 6.250%, 11/9/2032 | 134,512 | |
85,000 | Trimble, Inc., Sr. Unsecd. Note, 6.100%, 3/15/2033 | 85,905 | |
110,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 105,302 | |
25,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 5.500%, 6/15/2045 | 24,395 | |
40,000 | VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026 | 35,400 | |
35,000 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 27,731 | |
TOTAL | 1,509,413 | ||
Technology Services—0.1% | |||
110,000 | Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026 | 98,791 | |
85,000 | Global Payments, Inc., Sr. Unsecd. Note, 4.950%, 8/15/2027 | 84,047 | |
90,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 76,368 | |
TOTAL | 259,206 | ||
Transportation - Railroads—0.2% | |||
75,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 3.000%, 4/1/2025 | 72,903 | |
110,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.500%, 5/1/2050 | 83,466 | |
65,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.375%, 5/20/2031 | 56,153 | |
100,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 88,040 | |
TOTAL | 300,562 | ||
Transportation - Services—0.2% | |||
65,000 | FedEx Corp., Sr. Unsecd. Note, 3.250%, 5/15/2041 | 49,636 | |
80,000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 1.650%, 7/15/2026 | 70,459 | |
80,000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 2.650%, 7/15/2031 | 62,293 | |
30,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 5.550%, 5/1/2028 | 29,969 | |
70,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 5.700%, 2/1/2028 | 70,693 | |
50,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.850%, 3/1/2027 | 46,022 | |
TOTAL | 329,072 | ||
Utility - Electric—1.3% | |||
165,000 | Ameren Corp., Sr. Unsecd. Note, 1.750%, 3/15/2028 | 143,536 | |
50,000 | American Electric Power Co., Inc., Jr. Sub. Note, 2.031%, 3/15/2024 | 48,393 | |
60,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 5.625%, 3/1/2033 | 62,115 | |
100,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 83,205 | |
75,000 | Constellation Energy Generation LLC, Sr. Unsecd. Note, 5.800%, 3/1/2033 | 77,416 | |
65,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 63,086 | |
200,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026 | 187,218 | |
125,000 | Duke Energy Corp., Sr. Unsecd. Note, 3.750%, 9/1/2046 | 97,398 | |
75,000 | Emera US Finance LP, Sr. Unsecd. Note, 3.550%, 6/15/2026 | 71,541 | |
50,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 40,641 | |
100,000 | Enel Finance International SA, Company Guarantee, 144A, 6.000%, 10/7/2039 | 98,717 | |
25,000 | Exelon Corp., Sr. Unsecd. Note, 4.100%, 3/15/2052 | 20,592 |
13
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—continued | |||
$100,000 | Exelon Corp., Sr. Unsecd. Note, 4.700%, 4/15/2050 | $90,801 | |
100,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 84,312 | |
93,000 | Fortis, Inc./Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 87,354 | |
190,000 | Kansas City Power and Light Co., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 161,108 | |
50,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 46,638 | |
200,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.250%, 6/1/2030 | 169,195 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 56,562 | |
10,000 | NiSource, Inc., Sr. Unsecd. Note, 5.250%, 3/30/2028 | 10,180 | |
300,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 3.100%, 5/15/2026 | 284,658 | |
125,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 110,213 | |
100,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 91,994 | |
20,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 5.150%, 10/1/2027 | 20,365 | |
TOTAL | 2,207,238 | ||
Utility - Natural Gas—0.3% | |||
100,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | 96,707 | |
40,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 32,180 | |
70,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 70,064 | |
130,000 | Sempra Energy, Sr. Unsecd. Note, 3.700%, 4/1/2029 | 120,881 | |
120,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 102,378 | |
90,000 | TransCanada PipeLines Ltd., Sr. Secd. Note, 5.100%, 3/15/2049 | 83,793 | |
TOTAL | 506,003 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $22,612,976) | 20,671,039 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—0.6% | |||
Agency Commercial Mortgage-Backed Securities—0.2% | |||
229,243 | FHLMC REMIC, Series K105, Class A1, 1.536%, 9/25/2029 | 204,959 | |
290,000 | FREMF Mortgage Trust 2015-K49 REMIC, Class B, 3.725%, 10/25/2048 | 279,891 | |
TOTAL | 484,850 | ||
Commercial Mortgage—0.4% | |||
110,000 | Bank, Class A4, 3.394%, 3/15/2064 | 96,237 | |
85,000 | Bank, Class A4, 3.488%, 11/15/2050 | 78,960 | |
200,000 | Benchmark Mortgage Trust 2020-B19, Class A5, 1.850%, 9/15/2053 | 159,111 | |
50,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | 47,488 | |
200,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 188,009 | |
100,000 | JPMDB Commercial Mortgage Securities Trust 2016-C4, Class A3, 3.141%, 12/15/2049 | 92,494 | |
TOTAL | 662,299 | ||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $1,280,631) | 1,147,149 | ||
FOREIGN GOVERNMENTS/AGENCIES—0.2% | |||
Sovereign—0.2% | |||
200,000 | Mexico, Government of, 3.750%, 1/11/2028 | 191,646 | |
100,000 | Poland, Government of, Sr. Unsecd. Note, 4.000%, 1/22/2024 | 99,200 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $301,950) | 290,846 | ||
MORTGAGE-BACKED SECURITIES—0.0% | |||
Government National Mortgage Association—0.0% | |||
3,236 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 3,365 | |
1,984 | Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031 | 2,080 | |
5,660 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 5,927 |
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Shares or Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$6,823 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | $7,162 | |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $17,691) | 18,534 | ||
ADJUSTABLE RATE MORTGAGE—0.0% | |||
Federal National Mortgage Association—0.0% | |||
1,571 | 2 | Federal National Mortgage Association ARM, 4.094%, 9/1/2037 (IDENTIFIED COST $1,582) | 1,612 |
INVESTMENT COMPANIES—21.4% | |||
1,617 | Bank Loan Core Fund | 14,103 | |
363,922 | Emerging Markets Core Fund | 2,878,621 | |
548,372 | Federated Hermes High Income Bond Fund II, Primary Shares | 2,851,533 | |
1,092 | Federated Hermes Short-Intermediate Government Fund, Institutional Shares | 10,868 | |
3,275,988 | Mortgage Core Fund | 27,845,897 | |
419,092 | Project and Trade Finance Core Fund | 3,662,864 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $39,050,397) | 37,263,886 | ||
REPURCHASE AGREEMENT—7.3% | |||
$12,727,000 | Interest in $1,896,000,000 joint repurchase agreement 4.82%, dated 3/31/2023 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,896,761,560 on 4/3/2023. 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 5/20/2052 and the market value of those underlying securities was $1,934,696,791. (IDENTIFIED COST $12,727,000) | 12,727,000 | |
TOTAL INVESTMENT IN SECURITIES—100.5% (IDENTIFIED COST $169,363,341) | 174,895,774 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.5)%3 | (900,775) | ||
TOTAL NET ASSETS—100% | $173,994,999 |
At March 31, 2023, the Fund had the following outstanding futures contracts:
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
S&P 500 E-Mini Long Futures | 172 | $35,584,650 | June 2023 | $2,092,320 |
United States Treasury Notes 2-Year Long Futures | 50 | $10,322,656 | June 2023 | $109,081 |
United States Treasury Notes 10-Year Ultra Long Futures | 30 | $3,634,219 | June 2023 | $113,997 |
Short Futures: | ||||
United States Treasury Notes 5-Year Short Futures | 20 | $2,190,156 | June 2023 | $(44,367) |
United States Treasury Notes 10-Year Ultra Short Futures | 300 | $34,476,563 | June 2023 | $(931,365) |
United States Treasury Ultra Bond Short Futures | 6 | $846,750 | June 2023 | $(29,760) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $1,309,906 |
The average notional value of long and short futures contracts held by the Fund throughout the period was $51,501,466 and $38,689,152, 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 $286,719. 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.”
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Transactions with affiliated investment companies, which are funds 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 during the period ended March 31, 2023, were as follows:
Affiliates | Value as of 12/31/2022 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 3/31/2023 | Shares Held as of 3/31/2023 | Dividend Income |
Bank Loan Core Fund | $13,706 | $304 | $— | $93 | $— | $14,103 | 1,617 | $304 |
Emerging Markets Core Fund | $2,389,776 | $492,210 | $— | $(3,365) | $— | $2,878,621 | 363,922 | $42,210 |
Federated Hermes High Income Bond Fund II, Primary Shares | $2,753,671 | $166,458 | $— | $(68,596) | $— | $2,851,533 | 548,372 | $165,477 |
Federated Hermes Short-Intermediate Government Fund, Institutional Shares | $10,633 | $83 | $— | $152 | $— | $10,868 | 1,092 | $82 |
Mortgage Core Fund | $21,642,062 | $5,829,628 | $— | $374,207 | $— | $27,845,897 | 3,275,988 | $229,628 |
Project and Trade Finance Core Fund | $3,567,737 | $62,167 | $— | $32,960 | $— | $3,662,864 | 419,092 | $62,230 |
TOTAL OF AFFILIATED TRANSACTIONS | $30,377,585 | $6,550,850 | $— | $335,451 | $— | $37,263,886 | 4,610,083 | $499,931 |
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, 2023.
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 Co-Advisers.
◾ 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 ask quotations.
◾ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Co-Advisers.
◾ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Co-Advisers, 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 Co-Advisers valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion of the Co-Advisers 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
Pursuant to Rule 2a-5 under the Investment Company Act, the Fund’s Board of Trustees (the “Trustees”) has designated the Co-Advisers as the Fund’s valuation designee to perform any fair value determinations for securities and other assets held by the Fund. The Co-Advisers are subject to the Trustees’ oversight and certain reporting and other requirements intended to provide the Trustees the information needed to oversee the Co-Advisers’ fair value determinations.
The Co-Advisers, acting through their Valuation Committee, are responsible for determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of the Fund, the Co-Advisers and certain of the Co-Advisers’ affiliated companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is also authorized to use pricing services to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services’ policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Co-Advisers based on recent market activity. In the event that market quotations and price evaluations are not available for an
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investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Co-Advisers. The Trustees periodically review the fair valuations made by the Valuation Committee. The Trustees have also approved the Co-Advisers fair valuation and significant events procedures as part of the Fund’s compliance program and will review any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and ask for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Co-Advisers.
The Co-Advisers have also adopted procedures requiring an investment to be priced at its fair value whenever the Valuation Committee determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment’s value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
◾ With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;
◾ Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;
◾ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer’s operations or regulatory changes or market developments affecting the issuer’s industry.
The Co-Advisers 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 Valuation Committee will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Co-Advisers. The Trustees periodically review fair valuations made in response to significant events.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
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The following is a summary of the inputs used, as of March 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 | |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | $64,926,908 | $— | $— | $64,926,908 |
International | 3,857,772 | 228,076 | — | 4,085,848 |
Debt Securities: | ||||
U.S. Treasuries | — | 33,762,952 | — | 33,762,952 |
Corporate Bonds | — | 20,671,039 | — | 20,671,039 |
Commercial Mortgage-Backed Securities | — | 1,147,149 | — | 1,147,149 |
Foreign Governments/Agencies | — | 290,846 | — | 290,846 |
Mortgage-Backed Securities | — | 18,534 | — | 18,534 |
Adjustable Rate Mortgages | — | 1,612 | — | 1,612 |
Repurchase Agreement | — | 12,727,000 | — | 12,727,000 |
Investment Companies1 | 33,601,022 | — | — | 37,263,886 |
TOTAL SECURITIES | $102,385,702 | $68,847,208 | $— | $174,895,774 |
Other Financial Instruments:2 | ||||
Assets | $2,315,398 | $— | $— | $2,315,398 |
Liabilities | (1,005,492) | — | — | (1,005,492) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $1,309,906 | $— | $— | $1,309,906 |
1 | As permitted by U.S. generally accepted accounting principles, an Investment Company valued at $3,662,864 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: | ||
ADR | —American Depositary Receipt | |
ARM | —Adjustable Rate Mortgage | |
FHLMC | —Federal Home Loan Mortgage Corporation | |
FREMF | —Freddie Mac Multifamily K-Deals | |
GMTN | —Global Medium Term Note | |
MTN | —Medium Term Note | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
REMIC | —Real Estate Mortgage Investment Conduit |
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