United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-8042
(Investment Company Act File Number)
Federated Hermes Insurance Series
______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 12/31/21
Date of Reporting Period: Six months ended 06/30/21
Item 1. | Reports to Stockholders |
Share Class | Primary | Service |
Federated Hermes Government Money Fund II
A Portfolio of Federated Hermes Insurance Series
Security Type | Percentage of Total Net Assets |
U.S. Treasuries | 32.4% |
Government Agencies | 15.8% |
Repurchase Agreements | 51.8% |
Other Assets and Liabilities—Net2,3 | (0.0)% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests. |
2 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
3 | Represents less than 0.1%. |
Securities With an Effective Maturity of: | Percentage of Total Net Assets |
1-7 Days | 74.3% |
8-30 Days | 3.6% |
31-90 Days | 14.7% |
91-180 Days | 6.8% |
181 Days or more | 0.6% |
Other Assets and Liabilities—Net2,3 | (0.0)% |
Total | 100% |
1 | Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940, which regulates money market mutual funds. |
2 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
3 | Represents less than 0.1%. |
Principal Amount | Value | ||
GOVERNMENT AGENCIES—15.8% | |||
$ 400,000 | 1 | Federal Farm Credit System Floating Rate Notes, 0.105% (Secured Overnight Financing Rate +0.055%), 7/1/2021 | $399,970 |
300,000 | 1 | Federal Farm Credit System Floating Rate Notes, 0.110% (Secured Overnight Financing Rate +0.060%), 7/1/2021 | 300,000 |
400,000 | 1 | Federal Farm Credit System Floating Rate Notes, 0.125% (Secured Overnight Financing Rate +0.075%), 7/1/2021 | 400,000 |
300,000 | 1 | Federal Farm Credit System Floating Rate Notes, 0.175% (Secured Overnight Financing Rate +0.125%), 7/1/2021 | 300,000 |
300,000 | 1 | Federal Farm Credit System Floating Rate Notes, 0.230% (Secured Overnight Financing Rate +0.180%), 7/1/2021 | 300,000 |
300,000 | 1 | Federal Farm Credit System Floating Rate Notes, 0.260% (Secured Overnight Financing Rate +0.210%), 7/1/2021 | 300,000 |
500,000 | 1 | Federal Farm Credit System Floating Rate Notes, 0.350% (Secured Overnight Financing Rate +0.300%), 7/1/2021 | 500,000 |
1,000,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 0.070% (Secured Overnight Financing Rate +0.020%), 7/1/2021 | 1,000,000 |
400,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 0.090% (Secured Overnight Financing Rate +0.040%), 7/1/2021 | 400,000 |
1,000,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 0.095% (Secured Overnight Financing Rate +0.045%), 7/1/2021 | 1,000,000 |
500,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 0.105% (Secured Overnight Financing Rate +0.055%), 7/1/2021 | 500,000 |
1,300,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 0.110% (Secured Overnight Financing Rate +0.060%), 7/1/2021 | 1,300,000 |
250,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 0.115% (Secured Overnight Financing Rate +0.065%), 7/1/2021 | 250,000 |
350,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 0.125% (Secured Overnight Financing Rate +0.075%), 7/1/2021 | 350,000 |
500,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 0.130% (Secured Overnight Financing Rate +0.080%), 7/1/2021 | 500,000 |
300,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 0.135% (Secured Overnight Financing Rate +0.085%), 7/1/2021 | 300,000 |
400,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 0.140% (Secured Overnight Financing Rate +0.090%), 7/1/2021 | 400,000 |
600,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 0.170% (Secured Overnight Financing Rate +0.120%), 7/1/2021 | 600,000 |
350,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 0.200% (Secured Overnight Financing Rate +0.150%), 7/1/2021 | 350,000 |
200,000 | Federal Home Loan Bank System Notes, 0.125%, 8/16/2021 | 199,996 | |
600,000 | 1 | Federal Home Loan Mortgage Corp. Floating Rate Notes, 0.115% (Secured Overnight Financing Rate +0.065%), 7/1/2021 | 600,000 |
400,000 | 1 | Federal Home Loan Mortgage Corp. Floating Rate Notes, 0.140% (Secured Overnight Financing Rate +0.090%), 7/1/2021 | 400,000 |
250,000 | 1 | Federal National Mortgage Association Floating Rate Notes, 0.220% (Secured Overnight Financing Rate +0.170%), 7/1/2021 | 250,000 |
300,000 | 1 | Federal National Mortgage Association Floating Rate Notes, 0.240% (Secured Overnight Financing Rate +0.190%), 7/1/2021 | 299,973 |
200,000 | 1 | Federal National Mortgage Association Floating Rate Notes, 0.250% (Secured Overnight Financing Rate +0.200%), 7/1/2021 | 200,000 |
200,000 | 1 | Federal National Mortgage Association Floating Rate Notes, 0.270% (Secured Overnight Financing Rate +0.220%), 7/1/2021 | 200,000 |
250,000 | 1 | Federal National Mortgage Association Floating Rate Notes, 0.280% (Secured Overnight Financing Rate +0.230%), 7/1/2021 | 250,000 |
400,000 | 1 | Federal National Mortgage Association Floating Rate Notes, 0.320% (Secured Overnight Financing Rate +0.270%), 7/1/2021 | 400,000 |
200,000 | 1 | Federal National Mortgage Association Floating Rate Notes, 0.360% (Secured Overnight Financing Rate +0.310%), 7/1/2021 | 200,000 |
450,000 | 1 | Federal National Mortgage Association Floating Rate Notes, 0.370% (Secured Overnight Financing Rate +0.320%), 7/1/2021 | 450,000 |
450,000 | Federal National Mortgage Association Notes, 1.400%, 8/25/2021 | 450,861 | |
TOTAL GOVERNMENT AGENCIES | 13,350,800 | ||
U.S. TREASURIES—32.4% | |||
U.S. Treasury Bills—26.5% | |||
2,000,000 | 2 | United States Treasury Bills, 0.010%, 7/6/2021 | 1,999,997 |
1,000,000 | 2 | United States Treasury Bills, 0.015%, 8/12/2021 | 999,983 |
1,000,000 | 2 | United States Treasury Bills, 0.015%, 8/26/2021 | 999,977 |
1,000,000 | 2 | United States Treasury Bills, 0.015%, 9/21/2021 | 999,966 |
700,000 | 2 | United States Treasury Bills, 0.015% - 0.070%, 8/5/2021 | 699,979 |
400,000 | 2 | United States Treasury Bills, 0.020%, 7/29/2021 | 399,994 |
1,000,000 | 2 | United States Treasury Bills, 0.020%, 9/14/2021 | 999,958 |
2,100,000 | 2 | United States Treasury Bills, 0.020% - 0.090%, 7/15/2021 | 2,099,967 |
1,000,000 | 2 | United States Treasury Bills, 0.025%, 8/10/2021 | 999,972 |
1,000,000 | 2 | United States Treasury Bills, 0.025%, 8/17/2021 | 999,967 |
1,500,000 | 2 | United States Treasury Bills, 0.025%, 8/31/2021 | 1,499,937 |
600,000 | 2 | United States Treasury Bills, 0.025%, 9/9/2021 | 599,971 |
500,000 | 2 | United States Treasury Bills, 0.025%, 9/16/2021 | 499,973 |
1,000,000 | 2 | United States Treasury Bills, 0.030%, 8/3/2021 | 999,973 |
300,000 | 2 | United States Treasury Bills, 0.035%, 11/4/2021 | 299,963 |
Principal Amount | Value | ||
U.S. TREASURIES—continued | |||
U.S. Treasury Bills—26.5% | |||
$ 1,000,000 | 2 | United States Treasury Bills, 0.040%, 9/23/2021 | $999,907 |
1,000,000 | 2 | United States Treasury Bills, 0.040%, 10/14/2021 | 999,883 |
1,500,000 | 2 | United States Treasury Bills, 0.040%, 10/21/2021 | 1,499,814 |
1,200,000 | 2 | United States Treasury Bills, 0.040%, 12/9/2021 | 1,199,785 |
500,000 | 2 | United States Treasury Bills, 0.090%, 7/8/2021 | 499,991 |
1,500,000 | 2 | United States Treasury Bills, 0.100%, 7/1/2021 | 1,500,000 |
620,000 | 2 | United States Treasury Bills, 0.110%, 12/2/2021 | 619,708 |
TOTAL | 22,418,665 | ||
U.S. Treasury Notes—5.9% | |||
850,000 | 1 | United States Treasury Floating Rate Notes, 0.084% (91-day T-Bill +0.034%), 7/7/2021 | 850,026 |
1,150,000 | 1 | United States Treasury Floating Rate Notes, 0.099% (91-day T-Bill +0.049%), 7/7/2021 | 1,150,082 |
500,000 | 1 | United States Treasury Floating Rate Notes, 0.105% (91-day T-Bill +0.055%), 7/7/2021 | 500,000 |
200,000 | 1 | United States Treasury Floating Rate Notes, 0.204% (91-day T-Bill +0.154%), 7/7/2021 | 200,000 |
150,000 | 1 | United States Treasury Floating Rate Notes, 0.350% (91-day T-Bill +0.300%), 7/7/2021 | 150,030 |
660,000 | United States Treasury Notes, 1.250% - 1.500%, 10/31/2021 | 662,839 | |
250,000 | United States Treasury Notes, 1.750%, 5/15/2022 | 253,657 | |
250,000 | United States Treasury Notes, 1.875%, 5/31/2022 | 254,125 | |
500,000 | United States Treasury Notes, 2.000%, 8/31/2021 | 501,589 | |
500,000 | United States Treasury Notes, 2.875%, 11/15/2021 | 505,170 | |
TOTAL | 5,027,518 | ||
TOTAL U.S. TREASURIES | 27,446,183 | ||
REPURCHASE AGREEMENTS—51.8% | |||
1,000,000 | Interest in $1,600,000,000 joint repurchase agreement 0.02%, dated 5/13/2021 under which BNP Paribas S.A. will repurchase securities provided as collateral for $1,600,080,889 on 8/12/2021. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Treasury securities with various maturities to 2/15/2044 and the market value of those underlying securities was $1,632,044,497. | 1,000,000 | |
15,000,000 | Interest in $2,150,000,000 joint repurchase agreement 0.06%, dated 6/30/2021 under which Mitsubishi UFJ Securities (USA), Inc. will repurchase securities provided as collateral for $2,150,003,285 on 7/1/2021. 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 7/1/2051 and the market value of those underlying securities was $2,201,140,201. | 15,000,000 | |
1,000,000 | Interest in $1,000,000,000 joint repurchase agreement 0.08%, dated 2/9/2021 under which Royal Bank of Canada, New York Branch will repurchase securities provided as collateral for $1,000,400,000 on 8/9/2021. 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 6/1/2060 and the market value of those underlying securities was $1,022,174,677. | 1,000,000 | |
16,846,000 | Interest in $3,000,000,000 joint repurchase agreement 0.06%, dated 6/30/2021 under which Sumitomo Mitsui Banking Corp will repurchase securities provided as collateral for $3,000,004,583 on 7/1/2021. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Treasury securities with various maturities to 6/1/2051 and the market value of those underlying securities was $3,060,004,676. | 16,846,000 | |
10,000,000 | Interest in $200,000,000 joint repurchase agreement 0.06%, dated 6/30/2021 under which Wells Fargo Securities LLC will repurchase securities provided as collateral for $200,000,333 on 7/1/2021. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Treasury securities with various maturities to 7/1/2051 and the market value of those underlying securities was $204,000,341. | 10,000,000 | |
TOTAL REPURCHASE AGREEMENTS | 43,846,000 | ||
TOTAL INVESTMENT IN SECURITIES—100.0% (AT AMORTIZED COST)3 | 84,642,983 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.0)%4 | (21,051) | ||
TOTAL NET ASSETS—100% | $84,621,932 |
1 | Floating/variable note with current rate and current maturity or next reset date shown. |
2 | Discount rate(s) at time of purchase. |
3 | Also represents cost for federal tax purposes. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Six Months Ended (unaudited) 6/30/20211 | Year Ended December 31, | Period Ended 12/31/20162 | ||||
20201 | 20191 | 2018 | 2017 | |||
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Income From Investment Operations: | ||||||
Net investment income (loss) | — | 0.003 | 0.019 | 0.015 | 0.002 | 0.0003 |
Net realized gain (loss) | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.004 | — |
Total From Investment Operations | 0.0003 | 0.003 | 0.019 | 0.015 | 0.006 | 0.0003 |
Less Distributions: | ||||||
Distributions from net investment income | — | (0.003) | (0.019) | (0.015) | (0.006) | (0.000)3 |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return4 | 0.00%5 | 0.31% | 1.89% | 1.50% | 0.56% | 0.06% |
Ratios to Average Net Assets: | ||||||
Net expenses6 | 0.06%7 | 0.26% | 0.29% | 0.38% | 0.38% | —% |
Net investment income | —% | 0.23% | 2.06% | 0.84% | 0.17% | 0.02%7 |
Expense waiver/reimbursement8 | 0.41%7 | 0.21% | 0.09% | —% | —% | —% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $09 | $09 | $09 | $09 | $09 | $09 |
1 | Certain ratios included in Ratios to Average Net Assets and per share amounts may be inflated or deflated as compared to the fee structure for each respective share class as a result of daily systematic allocations being rounded to the nearest penny for fund level income, expense and realized gain/loss amounts. Such differences are immaterial. |
2 | Reflects operations for the period from April 29, 2016 (date of initial investment) to December 31, 2016. |
3 | Represents less than $0.001. |
4 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
5 | Represents less than 0.01%. |
6 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
7 | Computed on an annualized basis. |
8 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
9 | Represents less than $1,000. |
Six Months Ended (unaudited) 6/30/2021 | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Income From Investment Operations: | ||||||
Net investment income (loss) | — | 0.002 | 0.016 | 0.012 | 0.003 | 0.0001 |
Net realized gain (loss) | 0.0001 | 0.0001 | 0.0001 | (0.000)1 | 0.0001 | (0.000)1 |
Total From Investment Operations | 0.0001 | 0.002 | 0.016 | 0.012 | 0.003 | (0.000)1 |
Less Distributions: | ||||||
Distributions from net investment income | — | (0.002) | (0.016) | (0.012) | (0.003) | (0.000)1 |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.00%3 | 0.20% | 1.64% | 1.25% | 0.31% | 0.00% |
Ratios to Average Net Assets: | ||||||
Net expenses4 | 0.08%5 | 0.31% | 0.63% | 0.63% | 0.63% | 0.49% |
Net investment income | —% | 0.18% | 1.66% | 1.26% | 0.30% | 0.00%3 |
Expense waiver/reimbursement6 | 0.66%5 | 0.40% | 0.09% | 0.11% | 0.07% | 0.19% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $84,622 | $90,591 | $80,054 | $130,261 | $93,719 | $112,214 |
1 | Represents less than $0.001. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
3 | Represents less than 0.01%. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
Assets: | |
Investment in repurchase agreements | $43,846,000 |
Investment in securities | 40,796,983 |
Total investment in securities, at amortized cost and fair value | 84,642,983 |
Income receivable | 12,881 |
Receivable for shares sold | 7,045 |
Prepaid expenses | 16,935 |
Total Assets | 84,679,844 |
Liabilities: | |
Payable for shares redeemed | 12,977 |
Payable to bank | 13,279 |
Payable for investment adviser fee (Note 5) | 2,406 |
Payable for administrative fee (Note 5) | 181 |
Payable for custodian fees | 3,475 |
Payable for legal fees | 3,206 |
Payable for transfer agent fees | 1,144 |
Payable for portfolio accounting fees | 19,251 |
Accrued expenses (Note 5) | 1,993 |
Total Liabilities | 57,912 |
Net assets for 84,623,242 shares outstanding | $84,621,932 |
Net Assets Consist of: | |
Paid-in capital | $84,622,791 |
Total distributable earnings (loss) | (859) |
Total Net Assets | $84,621,932 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Primary Shares: | |
$100 ÷ 100 shares outstanding, no par value, unlimited shares authorized | $1.00 |
Service Shares: | |
$84,621,832 ÷ 84,623,142 shares outstanding, no par value, unlimited shares authorized | $1.00 |
Investment Income: | |
Interest | $32,857 |
Expenses: | |
Investment adviser fee (Note 5) | 87,386 |
Administrative fee (Note 5) | 35,070 |
Custodian fees | 4,533 |
Transfer agent fees | 2,540 |
Directors’/Trustees’ fees (Note 5) | 821 |
Auditing fees | 11,830 |
Legal fees | 5,986 |
Portfolio accounting fees | 38,043 |
Other service fees (Notes 2 and 5) | 108,358 |
Printing and postage | 22,039 |
Miscellaneous (Note 5) | 3,015 |
TOTAL EXPENSES | 319,621 |
Waivers and Reimbursements: | |
Waiver of investment adviser fee (Note 5) | (87,386) |
Waivers/reimbursements of other operating expenses (Notes 2 and 5) | (199,378) |
TOTAL WAIVERS AND REIMBURSEMENTS | (286,764) |
Net expenses | 32,857 |
Net investment income | — |
Net realized gain on investments | 7 |
Change in net assets resulting from operations | $7 |
Six Months Ended (unaudited) 6/30/2021 | Year Ended 12/31/2020 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $— | $163,806 |
Net realized gain (loss) | 7 | 275 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 7 | 164,081 |
Distributions to Shareholders: | ||
Primary Shares | — | 1(0) |
Service Shares | — | (163,816) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | — | (163,816) |
Share Transactions: | ||
Proceeds from sale of shares | 19,111,202 | 61,398,870 |
Net asset value of shares issued to shareholders in payment of distributions declared | — | 163,816 |
Cost of shares redeemed | (25,080,726) | (51,025,382) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (5,969,524) | 10,537,304 |
Change in net assets | (5,969,517) | 10,537,569 |
Net Assets: | ||
Beginning of period | 90,591,449 | 80,053,880 |
End of period | $84,621,932 | $90,591,449 |
1 | Represents less than $1. |
Other Service Fees Incurred | Other Service Fees Waived by Unaffiliated Third Parties | |
Service Shares | $108,358 | $(108,358) |
Six Months Ended 6/30/2021 | Year Ended 12/31/2020 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | — | $— | — | $— |
Shares issued to shareholders in payment of distributions declared | — | — | — | — |
Shares redeemed | — | — | — | — |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | — | $— | — | $— |
Six Months Ended 6/30/2021 | Year Ended 12/31/2020 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 19,111,202 | $19,111,202 | 61,398,870 | $61,398,870 |
Shares issued to shareholders in payment of distributions declared | — | — | 163,816 | 163,816 |
Shares redeemed | (25,080,726) | (25,080,726) | (51,025,382) | (51,025,382) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (5,969,524) | $(5,969,524) | 10,537,304 | $10,537,304 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (5,969,524) | $(5,969,524) | 10,537,304 | $10,537,304 |
Short-Term | Long-Term | Total |
$368 | $498 | $866 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Percentage of Average Daily Net Assets of Class | |
Primary Shares | 0.25% |
Beginning Account Value 1/1/2021 | Ending Account Value 6/30/2021 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,000.00 | $20.30 |
Service Shares | $1,000 | $1,000.00 | $30.40 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,024.50 | $20.30 |
Service Shares | $1,000 | $1,024.40 | $30.40 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 0.06% |
Service Shares | 0.08% |
2 | Actual and Hypothetical expenses paid during the period utilizing the Fund’s Primary Shares current Fee Limit of 0.38% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 181/365 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $1.88 and $1.91, respectively. |
3 | Actual and Hypothetical expenses paid during the period utilizing the Fund’s Service Shares current Fee Limit of 0.63% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 181/365 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $3.12 and $3.16, respectively. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916504
Share Class | Primary | Service |
Federated Hermes High Income Bond Fund II
A Portfolio of Federated Hermes Insurance Series
Index Classification | Percentage of Total Net Assets |
Cable Satellite | 8.4% |
Media Entertainment | 7.7% |
Midstream | 7.6% |
Technology | 7.2% |
Health Care | 6.8% |
Independent Energy | 5.8% |
Automotive | 5.6% |
Packaging | 5.0% |
Insurance - P&C | 4.5% |
Gaming | 4.4% |
Pharmaceuticals | 4.1% |
Other2 | 30.5% |
Cash Equivalents3 | 1.3% |
Other Assets and Liabilities - Net4 | 1.1% |
Total | 100% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (BBHY2%ICI). Individual portfolio securities that are not included in the BBHY2%ICI are assigned to an index classification by the Fund’s Adviser. |
2 | For purposes of this table, index classifications which constitute less than 3.5% of the Fund’s total net assets have been aggregated under the designation “Other.” |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—96.5% | |||
Aerospace/Defense—1.5% | |||
$ 600,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.250%, 3/15/2026 | $633,750 | |
450,000 | TransDigm, Inc., Sr. Sub., 6.875%, 5/15/2026 | 476,107 | |
775,000 | TransDigm, Inc., Sr. Sub., Series WI, 5.500%, 11/15/2027 | 808,906 | |
100,000 | TransDigm, Inc., Sr. Sub., Series WI, 7.500%, 3/15/2027 | 106,510 | |
250,000 | TransDigm, Inc., Sr. Unsecd. Note, 144A, 4.625%, 1/15/2029 | 250,822 | |
TOTAL | 2,276,095 | ||
Airlines—0.5% | |||
425,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A, 5.500%, 4/20/2026 | 450,500 | |
325,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A, 5.750%, 4/20/2029 | 351,813 | |
TOTAL | 802,313 | ||
Automotive—5.6% | |||
575,000 | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026 | 592,526 | |
50,000 | American Axle & Manufacturing, Inc., Sr. Unsecd. Note, 6.250%, 3/15/2026 | 51,634 | |
125,000 | American Axle & Manufacturing, Inc., Sr. Unsecd. Note, Series WI, 6.500%, 4/1/2027 | 132,750 | |
22,000 | Clarios Global LP, Sec. Fac. Bond, 144A, 6.750%, 5/15/2025 | 23,485 | |
25,000 | Dana, Inc., Sr. Unsecd. Note, 4.250%, 9/1/2030 | 25,750 | |
125,000 | Dana, Inc., Sr. Unsecd. Note, 5.375%, 11/15/2027 | 133,310 | |
400,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.096%, 5/4/2023 | 408,500 | |
550,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.375%, 11/13/2025 | 571,010 | |
250,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.813%, 10/12/2021 | 252,188 | |
300,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.000%, 11/13/2030 | 314,625 | |
300,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.063%, 11/1/2024 | 319,470 | |
275,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.125%, 8/17/2027 | 292,092 | |
200,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.271%, 1/9/2027 | 214,558 | |
450,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.113%, 5/3/2029 | 504,378 | |
325,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.125%, 6/16/2025 | 358,312 | |
625,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, Series GMTN, 4.389%, 1/8/2026 | 675,781 | |
75,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.000%, 5/15/2027 | 78,829 | |
325,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029 | 355,688 | |
475,000 | J.B. Poindexter & Co., Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/15/2026 | 502,702 | |
475,000 | KAR Auction Services, Inc., Sr. Unsecd. Note, 144A, 5.125%, 6/1/2025 | 488,039 | |
45,000 | Panther BF Aggregator 2 LP, Sec. Fac. Bond, 144A, 6.250%, 5/15/2026 | 47,995 | |
1,125,000 | Panther BF Aggregator 2 LP, Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027 | 1,227,881 | |
650,000 | Real Hero Merger Sub 2, Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/1/2029 | 675,090 | |
300,000 | Schaeffler Verwaltung Zw, 144A, 4.750%, 9/15/2026 | 307,431 | |
TOTAL | 8,554,024 | ||
Building Materials—2.6% | |||
150,000 | American Builders & Contractors Supply Co., Inc., 144A, 4.000%, 1/15/2028 | 153,916 | |
675,000 | CD&R Waterworks Merger Subsidiary LLC, Sr. Unsecd. Note, 144A, 6.125%, 8/15/2025 | 690,883 | |
150,000 | Cornerstone Building Brands, Sr. Unsecd. Note, 144A, 6.125%, 1/15/2029 | 161,181 | |
500,000 | Cp Atlas Buyer, Inc., Sr. Unsecd. Note, 144A, 7.000%, 12/1/2028 | 519,550 | |
350,000 | Foundation Building Materials, Inc., Sr. Unsecd. Note, 144A, 6.000%, 3/1/2029 | 346,983 | |
50,000 | Gyp Holdings III Corp., Sr. Unsecd. Note, 144A, 4.625%, 5/1/2029 | 50,333 | |
175,000 | Interface, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/1/2028 | 183,400 | |
125,000 | Masonite International Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/15/2026 | 129,774 | |
50,000 | SRS Distribution, Inc., Sr. Unsecd. Note, 144A, 6.125%, 7/1/2029 | 51,571 | |
375,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 3.375%, 1/15/2031 | 359,460 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Building Materials—continued | |||
$ 750,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027 | $777,656 | |
350,000 | White Cap Buyer LLC, Sr. Unsecd. Note, 144A, 6.875%, 10/15/2028 | 375,072 | |
200,000 | White Cap Parent LLC, Sr. Sub. Secd. Note, 144A, 8.250%, 3/15/2026 | 207,642 | |
TOTAL | 4,007,421 | ||
Cable Satellite—8.4% | |||
450,000 | Cablevision Systems Corp., Sr. Unsecd. Note, 5.875%, 9/15/2022 | 473,641 | |
75,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2031 | 76,500 | |
175,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 8/15/2030 | 182,431 | |
225,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 6/1/2033 | 230,515 | |
1,075,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.750%, 3/1/2030 | 1,138,156 | |
650,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 682,500 | |
75,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.125%, 5/1/2027 | 78,761 | |
275,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029 | 300,946 | |
199,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.750%, 2/15/2026 | 206,145 | |
450,000 | CSC Holdings LLC, Sr. Unsecd. Note, 5.250%, 6/1/2024 | 488,229 | |
225,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2031 | 212,904 | |
325,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.125%, 12/1/2030 | 323,955 | |
300,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.500%, 11/15/2031 | 302,217 | |
450,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.625%, 12/1/2030 | 442,062 | |
350,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2030 | 364,000 | |
350,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.500%, 2/1/2029 | 388,101 | |
350,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 7.500%, 4/1/2028 | 385,163 | |
125,000 | DISH DBS Corp., Sr. Unsecd. Note, 5.875%, 11/15/2024 | 134,375 | |
50,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.375%, 7/1/2028 | 53,869 | |
275,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.750%, 7/1/2026 | 311,781 | |
575,000 | DISH DBS Corp., Sr. Unsecd. Note, 144A, 5.125%, 6/1/2029 | 568,491 | |
325,000 | 1,2 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.500%, 8/1/2023 | 186,469 |
225,000 | 1,2 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 8.500%, 10/15/2024 | 133,554 |
225,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.875%, 8/1/2022 | 225,686 | |
150,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.000%, 7/15/2028 | 154,688 | |
375,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2030 | 379,243 | |
175,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.625%, 7/15/2024 | 180,022 | |
50,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.000%, 8/1/2027 | 52,506 | |
450,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029 | 490,928 | |
850,000 | Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028 | 895,687 | |
625,000 | UPC Broadband Finco BV, Sr. Note, 144A, 4.875%, 7/15/2031 | 627,219 | |
325,000 | Virgin Media Finance PLC, Sr. Unsecd. Note, 144A, 5.000%, 7/15/2030 | 328,777 | |
200,000 | Virgin Media Secured Finance PLC, 144A, 5.500%, 8/15/2026 | 206,650 | |
200,000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 4.500%, 8/15/2030 | 201,750 | |
200,000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 5.500%, 5/15/2029 | 215,250 | |
200,000 | Vmed O2 UK Financing I PLC, Sec. Fac. Bond, 144A, 4.250%, 1/31/2031 | 196,755 | |
200,000 | Ziggo Bond Co. BV, Sr. Unsecd. Note, 144A, 5.125%, 2/28/2030 | 205,099 | |
557,000 | Ziggo Finance BV, Sec. Fac. Bond, 144A, 5.500%, 1/15/2027 | 580,143 | |
200,000 | Ziggo Finance BV, Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027 | 209,741 | |
TOTAL | 12,814,909 | ||
Chemicals—3.0% | |||
150,000 | Axalta Coat/Dutch Holding BV, Sr. Unsecd. Note, 144A, 4.750%, 6/15/2027 | 157,601 | |
625,000 | Compass Minerals International, Inc., Sr. Unsecd. Note, 144A, 4.875%, 7/15/2024 | 647,591 | |
100,000 | Compass Minerals International, Inc., Sr. Unsecd. Note, 144A, 6.750%, 12/1/2027 | 107,625 | |
300,000 | Element Solutions, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2028 | 306,529 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Chemicals—continued | |||
$ 175,000 | H.B. Fuller Co., Sr. Unsecd. Note, 4.250%, 10/15/2028 | $181,125 | |
300,000 | Herens Holdco S.a.r.l., Sec. Fac. Bond, 144A, 4.750%, 5/15/2028 | 298,875 | |
475,000 | Hexion, Inc., Sr. Unsecd. Note, 144A, 7.875%, 7/15/2027 | 513,050 | |
150,000 | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., Sr. Unsecd. Note, 144A, 9.000%, 7/1/2028 | 167,553 | |
750,000 | Koppers, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | 776,636 | |
325,000 | Polar US Borrower LLC, Sr. Unsecd. Note, 144A, 6.750%, 5/15/2026 | 326,063 | |
250,000 | PQ Corp., Sr. Unsecd. Note, 144A, 5.750%, 12/15/2025 | 257,615 | |
725,000 | Starfruit Finco BV, Sr. Unsecd. Note, 144A, 8.000%, 10/1/2026 | 769,406 | |
TOTAL | 4,509,669 | ||
Construction Machinery—1.0% | |||
475,000 | H&E Equipment Services, Inc., Sr. Unsecd. Note, 144A, 3.875%, 12/15/2028 | 467,993 | |
150,000 | Terex Corp., Sr. Unsecd. Note, 144A, 5.000%, 5/15/2029 | 156,562 | |
25,000 | United Rentals, Inc., Sr. Unsecd. Note, 3.875%, 2/15/2031 | 25,469 | |
275,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.500%, 5/15/2027 | 291,844 | |
450,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.875%, 9/15/2026 | 466,828 | |
75,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 4.000%, 7/15/2030 | 77,400 | |
TOTAL | 1,486,096 | ||
Consumer Cyclical Services—2.5% | |||
225,000 | Allied Universal Holdco LLC, Sec. Fac. Bond, 144A, 6.625%, 7/15/2026 | 238,833 | |
275,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | 279,155 | |
1,025,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027 | 1,130,062 | |
125,000 | Garda World Security Corp., Sec. Fac. Bond, 144A, 4.625%, 2/15/2027 | 125,877 | |
125,000 | Garda World Security Corp., Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | 124,226 | |
325,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., Sr. Unsecd. Note, 144A, 5.250%, 12/1/2027 | 341,718 | |
1,029,000 | GW B-CR Security Corp., Sr. Unsecd. Note, 144A, 9.500%, 11/1/2027 | 1,141,717 | |
375,000 | Signal Parent, Inc., Sr. Unsecd. Note, 144A, 6.125%, 4/1/2029 | 361,408 | |
75,000 | The Brink’s Co., Sr. Unsecd. Note, 144A, 5.500%, 7/15/2025 | 79,892 | |
TOTAL | 3,822,888 | ||
Consumer Products—1.2% | |||
650,000 | BCPE Empire Holdings, Inc., Sr. Unsecd. Note, 144A, 7.625%, 5/1/2027 | 666,513 | |
200,000 | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 4.125%, 4/1/2029 | 202,283 | |
150,000 | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 5.500%, 6/1/2028 | 159,300 | |
275,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.375%, 3/31/2029 | 275,657 | |
225,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2028 | 231,019 | |
125,000 | Prestige Brands, Inc., Sr. Unsecd. Note, 144A, 3.750%, 4/1/2031 | 120,766 | |
100,000 | Prestige Brands, Inc., Sr. Unsecd. Note, 144A, 5.125%, 1/15/2028 | 105,638 | |
TOTAL | 1,761,176 | ||
Diversified Manufacturing—1.1% | |||
175,000 | Entegris, Inc., Sr. Unsecd. Note, 144A, 3.625%, 5/1/2029 | 177,677 | |
850,000 | Gates Global LLC, Sr. Unsecd. Note, 144A, 6.250%, 1/15/2026 | 893,256 | |
175,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 6/15/2024 | 177,363 | |
125,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.125%, 6/15/2025 | 135,244 | |
250,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.250%, 6/15/2028 | 278,796 | |
TOTAL | 1,662,336 | ||
Finance Companies—1.9% | |||
325,000 | LD Holdings Group LLC, Sr. Unsecd. Note, 144A, 6.125%, 4/1/2028 | 325,559 | |
50,000 | Navient Corp., Sr. Unsecd. Note, 5.000%, 3/15/2027 | 51,838 | |
650,000 | Navient Corp., Sr. Unsecd. Note, 5.875%, 10/25/2024 | 702,858 | |
100,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/25/2025 | 110,846 | |
100,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/15/2026 | 111,825 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Finance Companies—continued | |||
$ 475,000 | Quicken Loans, Inc., Sr. Unsecd. Note, 144A, 5.250%, 1/15/2028 | $499,344 | |
150,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.625%, 3/1/2029 | 148,426 | |
225,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.875%, 3/1/2031 | 226,966 | |
500,000 | United Shore Financial Services, Sr. Unsecd. Note, 144A, 5.500%, 11/15/2025 | 519,232 | |
225,000 | United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2029 | 225,255 | |
TOTAL | 2,922,149 | ||
Food & Beverage—2.4% | |||
475,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 4/1/2025 | 488,086 | |
175,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 183,479 | |
200,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 6.375%, 5/1/2025 | 212,750 | |
750,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 851,276 | |
175,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 5.200%, 7/15/2045 | 217,659 | |
75,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 144A, 4.250%, 3/1/2031 | 85,281 | |
75,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 4.500%, 9/15/2031 | 74,970 | |
200,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2028 | 212,608 | |
1,075,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 1,126,063 | |
250,000 | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2029 | 255,324 | |
TOTAL | 3,707,496 | ||
Gaming—4.4% | |||
350,000 | Affinity Gaming LLC, 144A, 6.875%, 12/15/2027 | 372,696 | |
275,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 4.750%, 12/1/2027 | 284,969 | |
100,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2031 | 103,875 | |
25,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 8.625%, 6/1/2025 | 27,591 | |
50,000 | CCM Merger, Inc., Sr. Unsecd. Note, 144A, 6.375%, 5/1/2026 | 52,700 | |
100,000 | Colt Merger Sub, Inc., Sr. Secd. Note, 144A, 5.750%, 7/1/2025 | 105,500 | |
275,000 | Colt Merger Sub, Inc., Sr. Secd. Note, 144A, 6.250%, 7/1/2025 | 291,844 | |
475,000 | Colt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 8.125%, 7/1/2027 | 528,889 | |
300,000 | CRC Escrow Issuer LLC, Sr. Unsecd. Note, 144A, 5.250%, 10/15/2025 | 304,125 | |
50,000 | MGM Growth Properties LLC, Sr. Unsecd. Note, 5.625%, 5/1/2024 | 54,210 | |
50,000 | MGM Growth Properties LLC, Sr. Unsecd. Note, 144A, 3.875%, 2/15/2029 | 50,909 | |
77,000 | MGM Resorts International, Sr. Unsecd. Note, 4.625%, 9/1/2026 | 81,441 | |
175,000 | MGM Resorts International, Sr. Unsecd. Note, 4.750%, 10/15/2028 | 186,287 | |
425,000 | MGM Resorts International, Sr. Unsecd. Note, 6.000%, 3/15/2023 | 455,462 | |
75,000 | MGM Resorts International, Sr. Unsecd. Note, 6.750%, 5/1/2025 | 80,435 | |
175,000 | Midwest Gaming Borrower LLC, 144A, 4.875%, 5/1/2029 | 175,437 | |
750,000 | Mohegan Tribal Gaming Authority, 144A, 8.000%, 2/1/2026 | 784,612 | |
50,000 | Mohegan Tribal Gaming Authority, Sr. Unsecd. Note, 144A, 7.875%, 10/15/2024 | 52,559 | |
100,000 | Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2029 | 100,125 | |
50,000 | Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2027 | 52,000 | |
50,000 | Raptor Acquistion Corp./Raptor Co-Issuer LLC, Sec. Fac. Bond, 144A, 4.875%, 11/1/2026 | 50,761 | |
125,000 | Scientific Games International, Inc., 144A, 8.625%, 7/1/2025 | 137,031 | |
225,000 | Scientific Games International, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/15/2029 | 254,395 | |
75,000 | Scientific Games International, Inc., Sr. Unsecd. Note, 144A, 8.250%, 3/15/2026 | 80,530 | |
850,000 | Star Group Holdings BV, Sr. Unsecd. Note, 144A, 7.000%, 7/15/2026 | 880,872 | |
325,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 4.500%, 2/15/2028 | 331,190 | |
304,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2025 | 309,469 | |
150,000 | Twin River Worldwide Holdings, Inc., Sr. Unsecd. Note, 144A, 6.750%, 6/1/2027 | 160,038 | |
25,000 | VICI Properties LP/VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 3.500%, 2/15/2025 | 25,575 | |
25,000 | VICI Properties LP/VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.125%, 8/15/2030 | 25,742 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Gaming—continued | |||
$ 225,000 | VICI Properties LP/VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.625%, 12/1/2029 | $239,512 | |
TOTAL | 6,640,781 | ||
Health Care—6.6% | |||
25,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 144A, 5.000%, 4/15/2029 | 26,143 | |
75,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2028 | 80,216 | |
125,000 | AdaptHealth LLC, Sr. Unsecd. Note, 144A, 4.625%, 8/1/2029 | 126,884 | |
100,000 | Ardent Health Services, Sr. Unsecd. Note, 144A, 5.750%, 7/15/2029 | 101,500 | |
550,000 | Avantor Funding, Inc., Sec. Fac. Bond, 144A, 4.625%, 7/15/2028 | 581,361 | |
100,000 | Charles River Laboratories International, Inc., Sr. Unsecd. Note, 144A, 3.750%, 3/15/2029 | 101,517 | |
100,000 | Charles River Laboratories International, Inc., Sr. Unsecd. Note, 144A, 4.000%, 3/15/2031 | 104,168 | |
150,000 | CHS/Community Health Systems, Inc., 144A, 6.125%, 4/1/2030 | 152,438 | |
500,000 | CHS/Community Health Systems, Inc., 144A, 6.875%, 4/15/2029 | 524,692 | |
150,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 5.625%, 3/15/2027 | 160,322��� | |
50,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 6.000%, 1/15/2029 | 53,566 | |
50,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 6.625%, 2/15/2025 | 52,937 | |
250,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.000%, 3/15/2026 | 269,691 | |
225,000 | Davita, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/1/2030 | 231,631 | |
725,000 | Global Medical Response, Inc., Sec. Fac. Bond, 144A, 6.500%, 10/1/2025 | 747,294 | |
250,000 | HCA, Inc., Sr. Unsecd. Note, 3.500%, 9/1/2030 | 266,499 | |
475,000 | HCA, Inc., Sr. Unsecd. Note, 5.375%, 2/1/2025 | 536,394 | |
150,000 | HCA, Inc., Sr. Unsecd. Note, 5.625%, 9/1/2028 | 177,937 | |
425,000 | HCA, Inc., Sr. Unsecd. Note, 5.875%, 2/15/2026 | 492,150 | |
150,000 | HCA, Inc., Sr. Unsecd. Note, 5.875%, 5/1/2023 | 163,192 | |
525,000 | IMS Health, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/15/2026 | 544,782 | |
175,000 | LifePoint Health, Inc., 144A, 6.750%, 4/15/2025 | 186,938 | |
100,000 | LifePoint Health, Inc., Sec. Fac. Bond, 144A, 4.375%, 2/15/2027 | 101,350 | |
100,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2029 | 97,642 | |
625,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 9.750%, 12/1/2026 | 674,516 | |
350,000 | MEDNAX, Inc., Sr. Unsecd. Note, 144A, 6.250%, 1/15/2027 | 371,611 | |
850,000 | MPH Acquisition Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 11/1/2028 | 855,300 | |
425,000 | Team Health Holdings, Inc., Sr. Unsecd. Note, 144A, 6.375%, 2/1/2025 | 405,080 | |
50,000 | Teleflex, Inc., Sr. Unsecd. Note, 4.625%, 11/15/2027 | 53,424 | |
50,000 | Teleflex, Inc., Sr. Unsecd. Note, 144A, 4.250%, 6/1/2028 | 52,204 | |
125,000 | Tenet Healthcare Corp., 144A, 4.250%, 6/1/2029 | 126,719 | |
25,000 | Tenet Healthcare Corp., 144A, 4.625%, 6/15/2028 | 25,768 | |
175,000 | Tenet Healthcare Corp., 144A, 4.875%, 1/1/2026 | 181,729 | |
300,000 | Tenet Healthcare Corp., 144A, 5.125%, 11/1/2027 | 315,010 | |
25,000 | Tenet Healthcare Corp., 144A, 7.500%, 4/1/2025 | 27,035 | |
275,000 | Tenet Healthcare Corp., Sr. Secd. Note, 4.625%, 7/15/2024 | 279,698 | |
375,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 6.750%, 6/15/2023 | 409,687 | |
225,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 144A, 6.125%, 10/1/2028 | 240,410 | |
150,000 | Vizient, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/15/2027 | 159,159 | |
TOTAL | 10,058,594 | ||
Health Insurance—0.9% | |||
250,000 | Centene Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2026 | 261,563 | |
450,000 | Centene Corp., Sr. Unsecd. Note, Series WI, 4.250%, 12/15/2027 | 474,750 | |
575,000 | Centene Corp., Sr. Unsecd. Note, Series WI, 4.625%, 12/15/2029 | 633,086 | |
TOTAL | 1,369,399 | ||
Independent Energy—5.5% | |||
225,000 | Antero Resources Corp., Sr. Unsecd. Note, 5.000%, 3/1/2025 | 230,562 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Independent Energy—continued | |||
$ 75,000 | Antero Resources Corp., Sr. Unsecd. Note, 144A, 5.375%, 3/1/2030 | $76,641 | |
25,000 | Antero Resources Corp., Sr. Unsecd. Note, 144A, 7.625%, 2/1/2029 | 27,783 | |
75,000 | Antero Resources Corp., Sr. Unsecd. Note, 144A, 8.375%, 7/15/2026 | 85,406 | |
50,000 | Apache Corp., Sr. Unsecd. Note, 4.625%, 11/15/2025 | 54,142 | |
125,000 | Apache Corp., Sr. Unsecd. Note, 4.875%, 11/15/2027 | 135,549 | |
125,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 | 125,156 | |
100,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 7.000%, 11/1/2026 | 104,962 | |
50,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 8.250%, 12/31/2028 | 55,100 | |
98,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 9.000%, 11/1/2027 | 135,815 | |
250,000 | Berry Petroleum Co., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2026 | 254,255 | |
275,000 | Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 8.250%, 7/15/2025 | 274,538 | |
275,000 | Centennial Resource Production, LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 281,611 | |
50,000 | Chesapeake Energy Corp., Sr. Unsecd. Note, 144A, 5.500%, 2/1/2026 | 52,890 | |
50,000 | Chesapeake Energy Corp., Sr. Unsecd. Note, 144A, 5.875%, 2/1/2029 | 54,188 | |
50,000 | Comstock Resources, Inc., Sr. Unsecd. Note, 144A, 5.875%, 1/15/2030 | 51,063 | |
475,000 | Comstock Resources, Inc., Sr. Unsecd. Note, 144A, 6.750%, 3/1/2029 | 506,578 | |
200,000 | Continental Resources, Inc., Sr. Unsecd. Note, 4.375%, 1/15/2028 | 221,818 | |
200,000 | Continental Resources, Inc., Sr. Unsecd. Note, 144A, 5.750%, 1/15/2031 | 239,750 | |
50,000 | Crownrock LP/Crownrock F, Sr. Unsecd. Note, 144A, 5.000%, 5/1/2029 | 52,580 | |
525,000 | Crownrock LP/Crownrock F, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2025 | 544,869 | |
25,000 | Endeavor Energy Resources LP, Sr. Unsecd. Note, 144A, 5.500%, 1/30/2026 | 26,053 | |
25,000 | Endeavor Energy Resources LP, Sr. Unsecd. Note, 144A, 5.750%, 1/30/2028 | 26,692 | |
200,000 | Endeavor Energy Resources LP, Sr. Unsecd. Note, 144A, 6.625%, 7/15/2025 | 214,603 | |
75,000 | EQT Corp., Sr. Unsecd. Note, 3.900%, 10/1/2027 | 80,437 | |
50,000 | EQT Corp., Sr. Unsecd. Note, 5.000%, 1/15/2029 | 55,818 | |
150,000 | EQT Corp., Sr. Unsecd. Note, 144A, 3.125%, 5/15/2026 | 153,916 | |
75,000 | EQT Corp., Sr. Unsecd. Note, 144A, 3.625%, 5/15/2031 | 78,380 | |
50,000 | Oasis Petroleum, Inc., Sr. Unsecd. Note, 144A, 6.375%, 6/1/2026 | 52,199 | |
350,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 2.900%, 8/15/2024 | 358,312 | |
75,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 3.200%, 8/15/2026 | 75,778 | |
275,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 3.500%, 6/15/2025 | 281,531 | |
125,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 4.100%, 2/15/2047 | 116,563 | |
225,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 4.300%, 8/15/2039 | 215,325 | |
200,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 4.400%, 8/15/2049 | 192,271 | |
250,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 5.875%, 9/1/2025 | 278,444 | |
125,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.125%, 1/1/2031 | 147,222 | |
275,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.450%, 9/15/2036 | 329,150 | |
275,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.625%, 9/1/2030 | 330,344 | |
150,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 8.000%, 7/15/2025 | 179,817 | |
100,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 8.875%, 7/15/2030 | 133,869 | |
150,000 | PDC Energy, Inc., Sr. Unsecd. Note, 6.125%, 9/15/2024 | 153,880 | |
225,000 | PDC Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 5/15/2026 | 235,334 | |
75,000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | 77,719 | |
200,000 | Range Resources Corp., Sr. Unsecd. Note, 144A, 8.250%, 1/15/2029 | 225,753 | |
150,000 | Range Resources Corp., Sr. Unsecd. Note, Series WI, 9.250%, 2/1/2026 | 165,637 | |
150,000 | SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 | 148,687 | |
50,000 | SM Energy Co., Sr. Unsecd. Note, 6.500%, 7/15/2028 | 51,438 | |
25,000 | SM Energy Co., Sr. Unsecd. Note, 6.625%, 1/15/2027 | 25,738 | |
100,000 | SM Energy Co., Sr. Unsecd. Note, 6.750%, 9/15/2026 | 101,875 | |
200,000 | Southwestern Energy Co., Sr. Unsecd. Note, 8.375%, 9/15/2028 | 226,270 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Independent Energy—continued | |||
$ 175,000 | 1,2,3 | Ultra Resources, Inc., Sr. Unsecd. Note, Escrow Security, 0.000%, 4/15/2025 | $0 |
TOTAL | 8,304,311 | ||
Industrial - Other—0.7% | |||
75,000 | Booz Allen Hamilton, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2028 | 76,690 | |
50,000 | Booz Allen Hamilton, Inc., Sr. Unsecd. Note, 144A, 4.000%, 7/1/2029 | 51,188 | |
25,000 | Madison Iaq LLC, Sec. Fac. Bond, 144A, 4.125%, 6/30/2028 | 25,281 | |
400,000 | Madison Iaq LLC, Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 | 407,500 | |
225,000 | Vertical Holdco GmbH, Sr. Unsecd. Note, 144A, 7.625%, 7/15/2028 | 244,618 | |
275,000 | Vertical U.S. Newco, Inc., Sr. Unsecd. Note, 144A, 5.250%, 7/15/2027 | 290,125 | |
TOTAL | 1,095,402 | ||
Insurance - P&C—4.5% | |||
500,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, Sr. Unsecd. Note, 144A, 6.750%, 10/15/2027 | 526,115 | |
875,000 | AmWINS Group, Inc., Sr. Unsecd. Note, 144A, 7.750%, 7/1/2026 | 929,819 | |
345,833 | Ardonagh Midco 2 PLC, Sr. Unsecd. Note, 144A, 11.500% / 12.750% PIK, 1/15/2027 | 380,276 | |
100,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2029 | 100,200 | |
600,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2025 | 614,901 | |
325,000 | Broadstreet Partners, Inc., Sr. Unsecd. Note, 144A, 5.875%, 4/15/2029 | 332,543 | |
225,000 | GTCR AP Finance, Inc., Sr. Unsecd. Note, 144A, 8.000%, 5/15/2027 | 240,411 | |
1,675,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 7.000%, 5/1/2026 | 1,741,280 | |
1,025,000 | NFP Corp., Sr. Unsecd. Note, 144A, 6.875%, 8/15/2028 | 1,082,123 | |
900,000 | USIS Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.875%, 5/1/2025 | 913,964 | |
TOTAL | 6,861,632 | ||
Leisure—0.3% | |||
350,000 | Six Flags Entertainment Corp., Sr. Unsecd. Note, 144A, 5.500%, 4/15/2027 | 362,002 | |
50,000 | Six Flags Theme Parks, Sec. Fac. Bond, 144A, 7.000%, 7/1/2025 | 53,951 | |
TOTAL | 415,953 | ||
Lodging—0.5% | |||
175,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2032 | 173,047 | |
75,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.375%, 5/1/2025 | 79,164 | |
100,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.750%, 5/1/2028 | 108,466 | |
175,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, Series WI, 4.875%, 1/15/2030 | 187,163 | |
225,000 | Wyndham Hotels & Resorts, Inc., Sr. Unsecd. Note, 144A, 4.375%, 8/15/2028 | 234,281 | |
TOTAL | 782,121 | ||
Media Entertainment—7.5% | |||
400,000 | AMC Networks, Inc., Sec. Fac. Bond, 4.250%, 2/15/2029 | 404,000 | |
100,000 | AMC Networks, Inc., Sr. Unsecd. Note, 4.750%, 8/1/2025 | 102,939 | |
220,000 | AMC Networks, Inc., Sr. Unsecd. Note, 5.000%, 4/1/2024 | 223,428 | |
350,000 | Audacy Capital Corp., 144A, 6.500%, 5/1/2027 | 365,302 | |
325,000 | Audacy Capital Corp., 144A, 6.750%, 3/31/2029 | 338,003 | |
333,000 | Cumulus Media News Holdings, Inc., 144A, 6.750%, 7/1/2026 | 348,836 | |
350,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 5.375%, 8/15/2026 | 227,080 | |
350,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 6.625%, 8/15/2027 | 172,375 | |
75,000 | Gray Escrow, Inc., Sr. Unsecd. Note, 144A, 7.000%, 5/15/2027 | 81,338 | |
325,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 4.750%, 10/15/2030 | 324,278 | |
250,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2026 | 258,438 | |
100,000 | iHeartCommunications, Inc., 144A, 4.750%, 1/15/2028 | 103,229 | |
175,000 | iHeartCommunications, Inc., 144A, 5.250%, 8/15/2027 | 183,295 | |
931,114 | iHeartCommunications, Inc., Sr. Unsecd. Note, 8.375%, 5/1/2027 | 998,629 | |
100,000 | Lamar Media Corp., Sr. Unsecd. Note, 4.875%, 1/15/2029 | 105,675 | |
100,000 | Lamar Media Corp., Sr. Unsecd. Note, 144A, 3.625%, 1/15/2031 | 97,950 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Media Entertainment—continued | |||
$ 450,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 4.125%, 8/1/2030 | $458,775 | |
325,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | 342,750 | |
650,000 | Nexstar Broadcasting, Inc., Sr. Unsecd. Note, 144A, 4.750%, 11/1/2028 | 668,687 | |
425,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027 | 451,031 | |
125,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 4.500%, 7/15/2029 | 125,506 | |
125,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 4.750%, 7/15/2031 | 125,469 | |
325,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2025 | 335,286 | |
75,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 5.625%, 10/1/2028 | 79,305 | |
175,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 5.875%, 10/1/2030 | 190,920 | |
50,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2029 | 50,413 | |
325,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2030 | 330,525 | |
100,000 | Scripps Escrow II, Inc., Sr. Unsecd. Note, 144A, 3.875%, 1/15/2029 | 99,351 | |
250,000 | Scripps Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2031 | 249,524 | |
300,000 | Scripps Escrow, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027 | 311,031 | |
75,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.125%, 2/15/2027 | 75,431 | |
875,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.875%, 3/15/2026 | 906,500 | |
275,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2028 | 285,656 | |
100,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 4.750%, 3/15/2026 | 106,625 | |
325,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 5.000%, 9/15/2029 | 340,987 | |
925,000 | Terrier Media Buyer, Inc., Sr. Unsecd. Note, 144A, 8.875%, 12/15/2027 | 1,002,529 | |
225,000 | Univision Communications, Inc., Sec. Fac. Bond, 144A, 4.500%, 5/1/2029 | 227,207 | |
350,000 | Urban One, Inc., Sec. Fac. Bond, 144A, 7.375%, 2/1/2028 | 378,443 | |
TOTAL | 11,476,746 | ||
Metals & Mining—1.3% | |||
225,000 | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 4.625%, 3/1/2029 | 237,042 | |
450,000 | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 4.875%, 3/1/2031 | 473,080 | |
275,000 | Coeur Mining, Inc., Sr. Unsecd. Note, 144A, 5.125%, 2/15/2029 | 273,166 | |
250,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 4.375%, 8/1/2028 | 264,375 | |
150,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 4.625%, 8/1/2030 | 164,455 | |
200,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.000%, 9/1/2027 | 211,823 | |
75,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.250%, 9/1/2029 | 83,046 | |
200,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.400%, 11/14/2034 | 241,832 | |
TOTAL | 1,948,819 | ||
Midstream—7.6% | |||
175,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.750%, 5/20/2027 | 195,668 | |
400,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026 | 448,360 | |
475,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.375%, 6/15/2029 | 495,784 | |
225,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 234,685 | |
400,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | 421,472 | |
250,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 7.875%, 5/15/2026 | 280,225 | |
425,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, 5.625%, 10/1/2026 | 442,000 | |
125,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, 144A, 4.000%, 3/1/2031 | 130,781 | |
125,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, Series WI, 4.500%, 10/1/2029 | 134,531 | |
175,000 | Cheniere Energy, Inc., Sr. Secd. Note, 144A, 4.625%, 10/15/2028 | 184,844 | |
575,000 | CNX Midstream Partners LP/CNX Midstream Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 3/15/2026 | 603,894 | |
175,000 | DT Midstream, Inc., Sr. Unsecd. Note, 144A, 4.375%, 6/15/2031 | 179,032 | |
75,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 4.500%, 1/15/2029 | 76,400 | |
325,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2031 | 335,299 | |
375,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 6.500%, 7/1/2027 | 419,220 | |
51,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 4.750%, 7/15/2023 | 53,302 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Midstream—continued | |||
$ 275,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 5.500%, 7/15/2028 | $297,709 | |
200,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 6.500%, 7/15/2048 | 214,425 | |
175,000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 144A, 6.000%, 7/1/2025 | 190,719 | |
275,000 | Hess Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.125%, 6/15/2028 | 288,823 | |
225,000 | Holly Energy Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 230,513 | |
625,000 | NuStar Logistics LP, Sr. Unsecd. Note, 5.625%, 4/28/2027 | 671,387 | |
225,000 | Oasis Midstream Partners, Sr. Unsecd. Note, 144A, 8.000%, 4/1/2029 | 239,835 | |
150,000 | Rattler Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.625%, 7/15/2025 | 157,875 | |
75,000 | Solaris Midstream Holdings LLC, Sr. Unsecd. Note, 144A, 7.625%, 4/1/2026 | 79,594 | |
450,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 | 473,580 | |
175,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 6/1/2031 | 179,375 | |
250,000 | Summit Midstream Holdings LLC, Sr. Unsecd. Note, 5.500%, 8/15/2022 | 248,028 | |
325,000 | Summit Midstream Holdings LLC, Sr. Unsecd. Note, 5.750%, 4/15/2025 | 299,450 | |
75,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.000%, 1/15/2028 | 79,219 | |
275,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.375%, 2/1/2027 | 287,188 | |
475,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.875%, 4/15/2026 | 500,206 | |
75,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 6.500%, 7/15/2027 | 81,515 | |
675,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | 743,188 | |
250,000 | TransMontaigne Partners LP/TLP Finance Corp., Sr. Unsecd. Note, 6.125%, 2/15/2026 | 256,701 | |
100,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.000%, 7/1/2022 | 101,754 | |
200,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.500%, 3/1/2028 | 214,261 | |
25,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.650%, 7/1/2026 | 26,762 | |
150,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.750%, 8/15/2028 | 162,532 | |
575,000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.300%, 3/1/2048 | 614,741 | |
125,000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.450%, 4/1/2044 | 135,291 | |
75,000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.500%, 8/15/2048 | 81,947 | |
TOTAL | 11,492,115 | ||
Oil Field Services—1.8% | |||
175,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.250%, 4/1/2028 | 183,034 | |
700,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 745,297 | |
225,000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.250%, 1/15/2026 | 220,953 | |
150,000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.500%, 1/15/2028 | 144,300 | |
75,000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 6.875%, 1/15/2029 | 77,344 | |
150,000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026 | 154,805 | |
200,000 | Shelf Drilling Holdings Ltd., Sr. Unsecd. Note, 144A, 8.250%, 2/15/2025 | 159,509 | |
425,000 | USA Compression Partners LP, Sr. Unsecd. Note, 6.875%, 9/1/2027 | 454,869 | |
550,000 | USA Compression Partners LP, Sr. Unsecd. Note, Series WI, 6.875%, 4/1/2026 | 577,462 | |
TOTAL | 2,717,573 | ||
Packaging—5.0% | |||
850,000 | ARD Finance SA, Sec. Fac. Bond, 144A, 6.500%, 6/30/2027 | 894,268 | |
225,000 | Ardagh Metal Packaging, Sr. Unsecd. Note, 144A, 4.000%, 9/1/2029 | 223,594 | |
200,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sec. Fac. Bond, 144A, 5.250%, 8/15/2027 | 204,266 | |
350,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 5.250%, 8/15/2027 | 357,466 | |
200,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | 206,845 | |
275,000 | Ball Corp., Sr. Unsecd. Note, 2.875%, 8/15/2030 | 270,289 | |
225,000 | Berry Global Escrow Corp., 144A, 5.625%, 7/15/2027 | 238,239 | |
300,000 | Bway Holding Co., Sec. Fac. Bond, 144A, 5.500%, 4/15/2024 | 303,375 | |
475,000 | Bway Holding Co., Sr. Unsecd. Note, 144A, 7.250%, 4/15/2025 | 466,450 | |
175,000 | Crown Americas LLC/Crown Americas Capital Corp. VI, Sr. Unsecd. Note, 4.750%, 2/1/2026 | 181,826 | |
950,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, 144A, 6.875%, 1/15/2025 | 967,836 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Packaging—continued | |||
$ 700,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, 144A, 7.875%, 7/15/2026 | $730,446 | |
425,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2025 | 453,288 | |
150,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 5.875%, 8/15/2023 | 161,943 | |
200,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.375%, 8/15/2025 | 222,375 | |
100,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.625%, 5/13/2027 | 108,950 | |
150,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 5.500%, 9/15/2025 | 168,287 | |
500,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.625%, 11/1/2025 | 514,530 | |
175,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.250%, 8/1/2024 | 183,631 | |
375,000 | Trivium Packaging Finance BV, Sec. Fac. Bond, 144A, 5.500%, 8/15/2026 | 394,481 | |
300,000 | Trivium Packaging Finance BV, Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027 | 326,928 | |
TOTAL | 7,579,313 | ||
Paper—0.6% | |||
625,000 | Clearwater Paper Corp., Sr. Unsecd. Note, 144A, 5.375%, 2/1/2025 | 668,022 | |
150,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 3.500%, 3/1/2029 | 148,792 | |
125,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 4.750%, 7/15/2027 | 135,493 | |
TOTAL | 952,307 | ||
Pharmaceuticals—4.1% | |||
200,000 | Bausch Health Cos, Inc., Sec. Fac. Bond, 144A, 5.500%, 11/1/2025 | 205,450 | |
175,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.000%, 1/30/2028 | 166,278 | |
50,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2029 | 46,689 | |
325,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.250%, 1/30/2030 | 302,656 | |
225,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.250%, 2/15/2031 | 210,668 | |
1,139,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 6.125%, 4/15/2025 | 1,168,899 | |
75,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/15/2029 | 74,273 | |
300,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/30/2029 | 307,411 | |
450,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 8.500%, 1/31/2027 | 490,225 | |
375,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 9.000%, 12/15/2025 | 402,581 | |
431,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., Sr. Unsecd. Note, 144A, 6.000%, 6/30/2028 | 291,205 | |
250,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., Term Loan - 2nd Lien, 144A, 9.500%, 7/31/2027 | 255,316 | |
100,000 | Endo Luxembourg Financial Co. I SARL, 144A, 6.125%, 4/1/2029 | 98,125 | |
225,000 | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Sr. Unsecd. Note, 144A, 4.625%, 6/15/2025 | 236,700 | |
175,000 | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Sr. Unsecd. Note, 144A, 5.000%, 6/15/2028 | 190,036 | |
275,000 | Jazz Securities Designated Activity Co., 144A, 4.375%, 1/15/2029 | 285,464 | |
925,000 | 1,2 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2025 | 646,950 |
575,000 | 1,2 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2023 | 404,892 |
200,000 | Organon Finance 1 LLC, Sr. Unsecd. Note, 144A, 5.125%, 4/30/2031 | 206,290 | |
250,000 | Syneos Health, Inc., Sr. Unsecd. Note, 144A, 3.625%, 1/15/2029 | 247,812 | |
TOTAL | 6,237,920 | ||
Restaurant—1.5% | |||
250,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 4.375%, 1/15/2028 | 253,787 | |
178,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Sr. Secd. Note, 144A, 4.250%, 5/15/2024 | 180,069 | |
125,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Term Loan - 1st Lien, 144A, 3.500%, 2/15/2029 | 123,594 | |
1,100,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Term Loan - 2nd Lien, 144A, 4.000%, 10/15/2030 | 1,065,625 | |
75,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Sr. Unsecd. Note, 144A, 4.750%, 6/1/2027 | 78,563 | |
375,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 4.625%, 1/31/2032 | 394,768 | |
75,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 81,294 | |
75,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 7.750%, 4/1/2025 | 81,787 | |
TOTAL | 2,259,487 | ||
Retailers—0.4% | |||
175,000 | Academy Ltd., Sec. Fac. Bond, 144A, 6.000%, 11/15/2027 | 187,658 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Retailers—continued | |||
$ 225,000 | NMG Holding Co., Inc., 144A, 7.125%, 4/1/2026 | $240,469 | |
103,532 | 4 | Party City Holdings, Inc., 144A, 5.750% (6-month USLIBOR 0.750% Floor +5.000%), 7/15/2025 | 98,485 |
75,000 | William Carter Co., Sr. Unsecd. Note, 144A, 5.500%, 5/15/2025 | 79,579 | |
TOTAL | 606,191 | ||
Supermarkets—0.6% | |||
96,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 5.750%, 3/15/2025 | 98,473 | |
625,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 3.500%, 3/15/2029 | 618,750 | |
75,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 5.875%, 2/15/2028 | 80,905 | |
50,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 7.500%, 3/15/2026 | 55,028 | |
TOTAL | 853,156 | ||
Technology—7.2% | |||
350,000 | Banff Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.750%, 9/1/2026 | 368,812 | |
250,000 | Black Knight InfoServ LLC, Sr. Unsecd. Note, 144A, 3.625%, 9/1/2028 | 249,058 | |
100,000 | Boxer Parent Co., Inc., 144A, 9.125%, 3/1/2026 | 105,917 | |
75,000 | BY Crown Parent LLC/BY Bond Finance, Inc., 144A, 4.250%, 1/31/2026 | 78,713 | |
375,000 | Cars.com, Inc., Sr. Unsecd. Note, 144A, 6.375%, 11/1/2028 | 400,466 | |
150,000 | CDW LLC/CDW Finance, Sr. Unsecd. Note, 3.250%, 2/15/2029 | 152,168 | |
75,000 | Clarivate Science Holdings Corp., Sec. Fac. Bond, 144A, 3.875%, 6/30/2028 | 75,777 | |
125,000 | Clarivate Science Holdings Corp., Sr. Unsecd. Note, 144A, 4.875%, 6/30/2029 | 128,438 | |
900,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Unsecd. Note, 144A, 7.125%, 6/15/2024 | 925,272 | |
50,000 | Diebold Nixdorf, Inc., Sr. Secd. Note, 144A, 9.375%, 7/15/2025 | 55,597 | |
100,000 | Elastic N.V., Sr. Unsecd. Note, 144A, 4.125%, 7/15/2029 | 100,000 | |
100,000 | Gartner, Inc., Sr. Unsecd. Note, 144A, 3.750%, 10/1/2030 | 102,436 | |
25,000 | Gartner, Inc., Sr. Unsecd. Note, 144A, 4.500%, 7/1/2028 | 26,436 | |
225,000 | Helios Software Holdings, Sec. Fac. Bond, 144A, 4.625%, 5/1/2028 | 220,923 | |
675,000 | JDA Escrow LLC/JDA Bond Finance, Inc., Sr. Unsecd. Note, 144A, 7.375%, 10/15/2024 | 688,513 | |
350,000 | Logan Merger Sub, Inc., Sr. Secd. Note, 144A, 5.500%, 9/1/2027 | 362,967 | |
300,000 | NCR Corp., 144A, 5.125%, 4/15/2029 | 309,750 | |
250,000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2028 | 258,890 | |
350,000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2030 | 363,573 | |
50,000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/1/2027 | 53,006 | |
150,000 | NCR Corp., Sr. Unsecd. Note, 144A, 8.125%, 4/15/2025 | 164,325 | |
150,000 | PTC, Inc., Sr. Unsub., 144A, 3.625%, 2/15/2025 | 154,989 | |
200,000 | Qorvo, Inc., Sr. Unsecd. Note, 4.375%, 10/15/2029 | 218,288 | |
325,000 | Rackspace Technology, Inc., 144A, 3.500%, 2/15/2028 | 314,893 | |
350,000 | Rackspace Technology, Inc., Sr. Unsecd. Note, 144A, 5.375%, 12/1/2028 | 359,187 | |
450,000 | Rocket Software, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2029 | 447,147 | |
75,000 | Science Applications International Corp., Sr. Unsecd. Note, 144A, 4.875%, 4/1/2028 | 78,924 | |
300,000 | Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 3.125%, 7/15/2029 | 291,084 | |
225,000 | Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 3.375%, 7/15/2031 | 217,725 | |
200,000 | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 4.000%, 4/15/2029 | 203,267 | |
75,000 | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 4.375%, 2/15/2030 | 79,143 | |
75,000 | Sensata Technologies, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2031 | 74,256 | |
625,000 | SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027 | 663,828 | |
120,000 | Star Merger Sub, Inc., 144A, 6.875%, 8/15/2026 | 127,619 | |
510,000 | Star Merger Sub, Inc., Sr. Unsecd. Note, 144A, 10.250%, 2/15/2027 | 564,993 | |
100,000 | Synaptics, Inc., Sr. Unsecd. Note, 144A, 4.000%, 6/15/2029 | 100,625 | |
1,200,000 | Tempo Acquisition LLC, Sr. Unsecd. Note, 144A, 6.750%, 6/1/2025 | 1,220,256 | |
150,000 | TTM Technologies, Inc., Sr. Unsecd. Note, 144A, 4.000%, 3/1/2029 | 151,097 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$ 475,000 | Veritas US, Inc./Veritas Bermuda, Ltd., Sr. Secd. Note, 144A, 7.500%, 9/1/2025 | $495,914 | |
TOTAL | 10,954,272 | ||
Transportation Services—0.3% | |||
375,000 | Watco Cos LLC/Finance Co., Sr. Unsecd. Note, 144A, 6.500%, 6/15/2027 | 402,345 | |
Utility - Electric—2.7% | |||
300,000 | Calpine Corp., 144A, 4.500%, 2/15/2028 | 306,375 | |
135,000 | Calpine Corp., 144A, 5.250%, 6/1/2026 | 139,248 | |
325,000 | Calpine Corp., Sr. Secd. Note, 144A, 3.750%, 3/1/2031 | 309,944 | |
25,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 4.625%, 2/1/2029 | 24,649 | |
25,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2031 | 24,925 | |
175,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028 | 178,310 | |
775,000 | Enviva Partners LP/Enviva Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 1/15/2026 | 811,425 | |
450,000 | NRG Energy, Inc., Sr. Unsecd. Note, 7.250%, 5/15/2026 | 467,649 | |
50,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2031 | 49,198 | |
300,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 5.250%, 6/15/2029 | 319,533 | |
50,000 | NRG Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 1/15/2028 | 53,401 | |
125,000 | Pattern Energy Operations LP/Pattern Energy Operations, Inc., Sr. Unsecd. Note, 144A, 4.500%, 8/15/2028 | 129,712 | |
50,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.250%, 1/31/2023 | 51,382 | |
50,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 51,309 | |
475,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028 | 504,350 | |
75,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 4.375%, 5/1/2029 | 75,469 | |
175,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026 | 180,977 | |
400,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027 | 415,500 | |
TOTAL | 4,093,356 | ||
Wireless Communications—0.8% | |||
200,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 2.250%, 2/15/2026 | 201,750 | |
150,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 2.625%, 2/15/2029 | 148,312 | |
125,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 2.875%, 2/15/2031 | 124,219 | |
150,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 4.500%, 2/1/2026 | 153,309 | |
250,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2028 | 268,125 | |
225,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 144A, 2.250%, 2/15/2026 | 226,969 | |
125,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 144A, 3.375%, 4/15/2029 | 129,303 | |
TOTAL | 1,251,987 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $141,115,406) | 146,680,352 | ||
COMMON STOCKS—0.8% | |||
Chemicals—0.1% | |||
5,488 | 2 | Hexion Holdings Corp. | 101,528 |
Independent Energy—0.2% | |||
3,175 | Oasis Petroleum, Inc. | 319,246 | |
Media Entertainment—0.2% | |||
7,915 | 2 | iHeartMedia, Inc. | 213,151 |
Oil Field Services—0.3% | |||
12,990 | 2,3 | Superior Energy Services, Inc. | 513,105 |
TOTAL COMMON STOCKS (IDENTIFIED COST $941,280) | 1,147,030 | ||
FLOATING RATE LOANS—0.3% | |||
Health Care—0.2% | |||
$ 339,100 | 4 | Envision Healthcare Corp., PIK Term Loan - 1st Lien, Series B, 5.500% (1-month USLIBOR 1.000% Floor +4.500%), 10/10/2025 | 273,292 |
Principal Amount or Shares | Value | ||
FLOATING RATE LOANS—continued | |||
Independent Energy—0.1% | |||
$ 202,000 | 4 | Ascent Resources Utica Holdings, LLC, Term Loan - 2nd Lien, 10.000% (3-month USLIBOR 1.000% Floor +9.000%), 11/1/2025 | $223,715 |
TOTAL FLOATING RATE LOANS (IDENTIFIED COST $782,307) | 497,007 | ||
WARRANT—0.0% | |||
Independent Energy—0.0% | |||
2,751 | 2 | Chesapeake Energy Corp., Warrants, Expiration Date 2/9/2026 (IDENTIFIED COST $267,010) | 73,947 |
REPURCHASE AGREEMENT—1.3% | |||
$1,958,000 | Interest in $2,496,000,000 joint repurchase agreement 0.06%, dated 6/30/2021 under which Bank of America, N.A. will repurchase securities provided as collateral for $2,496,003,813 on 7/1/2021. 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 8/20/2050 and the market value of those underlying securities was $2,545,923,890. (IDENTIFIED COST $1,958,000) | 1,958,000 | |
TOTAL INVESTMENT IN SECURITIES—98.9% (IDENTIFIED COST $145,064,003)5 | 150,356,336 | ||
OTHER ASSETS AND LIABILITIES - NET—1.1%6 | 1,682,310 | ||
TOTAL NET ASSETS—100% | $152,038,646 |
1 | Issuer in default. |
2 | Non-income-producing security. |
3 | Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund’s Board of Trustees (the “Trustees”). |
4 | Floating/variable note with current rate and current maturity or next reset date shown. |
5 | The cost of investments for federal tax purposes amounts to $145,295,425. |
6 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of June 30, 2021, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $146,680,352 | $0 | $146,680,352 |
Floating Rate Loans | — | 497,007 | — | 497,007 |
Warrant | 73,947 | — | — | 73,947 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 633,925 | — | 513,105 | 1,147,030 |
Repurchase Agreement | — | 1,958,000 | — | 1,958,000 |
TOTAL SECURITIES | $707,872 | $149,135,359 | $513,105 | $150,356,336 |
The following acronym(s) are used throughout this portfolio: | ||
GMTN | —Global Medium Term Note | |
LIBOR | —London Interbank Offered Rate | |
PIK | —Payment in Kind |
Six Months Ended (unaudited) 6/30/2021 | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $6.41 | $6.53 | $6.07 | $6.82 | $6.84 | $6.36 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.14 | 0.30 | 0.33 | 0.34 | 0.36 | 0.37 |
Net realized and unrealized gain (loss) | 0.09 | (0.05) | 0.53 | (0.55) | 0.09 | 0.53 |
Total From Investment Operations | 0.23 | 0.25 | 0.86 | (0.21) | 0.45 | 0.90 |
Less Distributions: | ||||||
Distributions from net investment income | (0.32) | (0.37) | (0.40) | (0.54) | (0.47) | (0.42) |
Net Asset Value, End of Period | $6.32 | $6.41 | $6.53 | $6.07 | $6.82 | $6.84 |
Total Return2 | 3.70% | 5.59% | 14.54% | (3.29)% | 6.94% | 14.82% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.81%4 | 0.81% | 0.81% | 0.81% | 0.78% | 0.72% |
Net investment income | 4.48%4 | 4.95% | 5.26% | 5.27% | 5.26% | 5.74% |
Expense waiver/reimbursement5 | 0.03%4 | 0.03% | 0.02% | 0.01% | 0.00%6 | 0.06% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $96,952 | $109,888 | $109,538 | $106,628 | $192,194 | $190,070 |
Portfolio turnover | 19% | 36% | 31% | 18% | 32% | 26% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
6 | Represents less than 0.01%. |
Six Months Ended (unaudited) 6/30/2021 | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $6.38 | $6.49 | $6.04 | $6.78 | $6.81 | $6.33 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.13 | 0.28 | 0.31 | 0.32 | 0.34 | 0.35 |
Net realized and unrealized gain (loss) | 0.08 | (0.03) | 0.52 | (0.54) | 0.09 | 0.53 |
Total From Investment Operations | 0.21 | 0.25 | 0.83 | (0.22) | 0.43 | 0.88 |
Less Distributions: | ||||||
Distributions from net investment income | (0.30) | (0.36) | (0.38) | (0.52) | (0.46) | (0.40) |
Net Asset Value, End of Period | $6.29 | $6.38 | $6.49 | $6.04 | $6.78 | $6.81 |
Total Return2 | 3.46% | 5.46% | 14.13% | (3.43)% | 6.56% | 14.53% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.06%4 | 1.06% | 1.06% | 1.06% | 1.03% | 0.96% |
Net investment income | 4.22%4 | 4.70% | 4.99% | 5.03% | 5.01% | 5.48% |
Expense waiver/reimbursement5 | 0.03%4 | 0.03% | 0.02% | 0.01% | 0.00%6 | 0.08% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $55,087 | $50,322 | $58,591 | $43,012 | $50,284 | $49,183 |
Portfolio turnover | 19% | 36% | 31% | 18% | 32% | 26% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
6 | Represents less than 0.01%. |
Assets: | |
Investment in securities, at value (identified cost $145,064,003) | $150,356,336 |
Income receivable | 2,321,748 |
Receivable for investments sold | 791 |
Receivable for shares sold | 43,270 |
Other receivable | 18,341 |
Total Assets | 152,740,486 |
Liabilities: | |
Payable for investments purchased | 620,591 |
Payable for shares redeemed | 15,532 |
Payable to bank | 16,424 |
Payable for investment adviser fee (Note 5) | 2,326 |
Payable for administrative fee (Note 5) | 325 |
Payable for portfolio accounting fees | 21,889 |
Payable for distribution services fee (Note 5) | 11,152 |
Accrued expenses (Note 5) | 13,601 |
Total Liabilities | 701,840 |
Net assets for 24,102,862 shares outstanding | $152,038,646 |
Net Assets Consist of: | |
Paid-in capital | $157,190,211 |
Total distributable earnings (loss) | (5,151,565) |
Total Net Assets | $152,038,646 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Primary Shares: | |
$96,952,133 ÷ 15,346,274 shares outstanding, no par value, unlimited shares authorized | $6.32 |
Service Shares: | |
$55,086,513 ÷ 8,756,588 shares outstanding, no par value, unlimited shares authorized | $6.29 |
Investment Income: | |
Interest | $4,232,566 |
Dividends | 4,047 |
TOTAL INCOME | 4,236,613 |
Expenses: | |
Investment adviser fee (Note 5) | 480,462 |
Administrative fee (Note 5) | 66,062 |
Custodian fees | 7,547 |
Transfer agent fees | 7,792 |
Directors’/Trustees’ fees (Note 5) | 978 |
Auditing fees | 17,040 |
Legal fees | 5,678 |
Portfolio accounting fees | 54,059 |
Distribution services fee (Note 5) | 63,769 |
Printing and postage | 24,870 |
Miscellaneous (Note 5) | 12,937 |
TOTAL EXPENSES | 741,194 |
Waiver of investment adviser fee (Note 5) | (24,878) |
Net expenses | 716,316 |
Net investment income | 3,520,297 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized gain on investments | 814,640 |
Net change in unrealized appreciation of investments | 1,431,658 |
Net realized and unrealized gain (loss) on investments | 2,246,298 |
Change in net assets resulting from operations | $5,766,595 |
Six Months Ended (unaudited) 6/30/2021 | Year Ended 12/31/2020 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $3,520,297 | $7,308,170 |
Net realized gain (loss) | 814,640 | (1,116,433) |
Net change in unrealized appreciation/depreciation | 1,431,658 | 2,255,015 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 5,766,595 | 8,446,752 |
Distributions to Shareholders: | ||
Primary Shares | (5,363,823) | (5,812,160) |
Service Shares | (2,367,247) | (2,736,746) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (7,731,070) | (8,548,906) |
Share Transactions: | ||
Proceeds from sale of shares | 17,243,673 | 37,016,529 |
Net asset value of shares issued to shareholders in payment of distributions declared | 7,731,065 | 8,548,900 |
Cost of shares redeemed | (31,182,355) | (53,381,895) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (6,207,617) | (7,816,466) |
Change in net assets | (8,172,092) | (7,918,620) |
Net Assets: | ||
Beginning of period | 160,210,738 | 168,129,358 |
End of period | $152,038,646 | $160,210,738 |
Six Months Ended 6/30/2021 | Year Ended 12/31/2020 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,654,305 | $10,505,642 | 4,782,556 | $28,203,580 |
Shares issued to shareholders in payment of distributions declared | 875,012 | 5,363,823 | 1,181,333 | 5,812,160 |
Shares redeemed | (4,329,242) | (27,400,958) | (5,600,398) | (33,846,638) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (1,799,925) | $(11,531,493) | 363,491 | $169,102 |
Six Months Ended 6/30/2021 | Year Ended 12/31/2020 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,073,119 | $6,738,031 | 1,481,388 | $8,812,949 |
Shares issued to shareholders in payment of distributions declared | 387,437 | 2,367,242 | 558,519 | 2,736,740 |
Shares redeemed | (596,755) | (3,781,397) | (3,171,995) | (19,535,257) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 863,801 | $5,323,876 | (1,132,088) | $(7,985,568) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (936,124) | $(6,207,617) | (768,597) | $(7,816,466) |
Short-Term | Long-Term | Total |
$— | $14,298,748 | $14,298,748 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Distribution Services Fees Incurred | |
Service Shares | $63,769 |
Purchases | $29,896,683 |
Sales | $38,524,234 |
Beginning Account Value 1/1/2021 | Ending Account Value 6/30/2021 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,037.00 | $4.09 |
Service Shares | $1,000 | $1,034.60 | $5.35 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,020.78 | $4.06 |
Service Shares | $1,000 | $1,019.54 | $5.31 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 0.81% |
Service Shares | 1.06% |
Annual Evaluation of Adequacy and Effectiveness
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916843
Share Class | Primary | Service |
Federated Hermes Kaufmann Fund II
A Portfolio of Federated Hermes Insurance Series
Sector Composition | Percentage of Total Net Assets |
Health Care | 35.1% |
Information Technology | 22.6% |
Industrials | 11.3% |
Consumer Discretionary | 9.4% |
Financials | 8.1% |
Materials | 6.4% |
Consumer Staples | 1.8% |
Real Estate | 1.7% |
Communication Services | 1.6% |
Energy | 1.3% |
Utilities | 0.2% |
Securities Lending Collateral2 | 1.4% |
Cash Equivalents3 | 0.8% |
Other Assets and Liabilities—Net4 | (1.7)% |
TOTAL | 100% |
1 | Except for Securities Lending Collateral, Cash Equivalents and Other Assets and Liabilities, sector classifications are based upon, and individual portfolio securities are assigned to, the classifications of the Global Industry Classification Standard (GICS), except that the Adviser assigns a classification to securities not classified by the GICS and to securities for which the Adviser does not have access to the classification made by the GICS. |
2 | Represents cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds, other money market instruments and/or repurchase agreements. |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those representing securities lending collateral. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Shares or Principal Amount | Value | ||
COMMON STOCKS—99.2% | |||
Communication Services—1.6% | |||
8,700 | Activision Blizzard, Inc. | $830,328 | |
20,180 | 1 | Playtika Holding Corp. | 481,091 |
3,380 | 1 | Take-Two Interactive Software, Inc. | 598,328 |
37,000 | 1 | ZoomInfo Technologies, Inc. | 1,930,290 |
TOTAL | 3,840,037 | ||
Consumer Discretionary—9.4% | |||
5,540 | 1 | Airbnb, Inc. | 848,396 |
3,605 | 1 | Alibaba Group Holding Ltd., ADR | 817,542 |
651 | 1 | Amazon.com, Inc. | 2,239,544 |
8,316 | 1 | Chegg, Inc. | 691,143 |
400 | 1 | Chewy, Inc. | 31,884 |
300 | 1 | Chipotle Mexican Grill, Inc. | 465,102 |
2,769 | Choice Hotels International, Inc. | 329,123 | |
3,800 | 1,2 | Coupang LLC | 158,916 |
8,357 | 1,2 | DraftKings, Inc. | 435,985 |
8,309 | 1 | Etsy, Inc. | 1,710,324 |
26,000 | 1,3 | Fisker, Inc. | 501,280 |
20,674 | 1 | Floor & Decor Holdings, Inc. | 2,185,242 |
2,100 | Home Depot, Inc. | 669,669 | |
3,950 | 1 | Just Eat Takeaway.com NV | 364,828 |
17,000 | 1 | Las Vegas Sands Corp. | 895,730 |
3,500 | 1 | Lululemon Athletica, Inc. | 1,277,395 |
983 | 1 | Mercadolibre, Inc. | 1,531,308 |
17,161 | Moncler S.p.A | 1,161,685 | |
714,400 | NagaCorp Ltd. | 689,161 | |
8,392 | 1 | Planet Fitness, Inc. | 631,498 |
825 | Vail Resorts, Inc. | 261,129 | |
17,560 | Wingstop, Inc. | 2,767,983 | |
13,510 | 1 | YETI Holdings, Inc. | 1,240,488 |
TOTAL | 21,905,355 | ||
Consumer Staples—1.8% | |||
500 | Costco Wholesale Corp. | 197,835 | |
2,320 | Estee Lauder Cos., Inc., Class A | 737,946 | |
4,211 | 1 | Freshpet, Inc. | 686,224 |
8,600 | 1 | Grocery Outlet Holding Corp. | 298,076 |
83,300 | 1 | Oatly Group AB, ADR | 2,037,518 |
15,850 | 1 | The Duckhorn Portfolio, Inc. | 349,651 |
TOTAL | 4,307,250 | ||
Energy—1.3% | |||
63,200 | 2 | New Fortress Energy, Inc. | 2,394,016 |
4,100 | Pioneer Natural Resources, Inc. | 666,332 | |
TOTAL | 3,060,348 | ||
Financials—8.1% | |||
23,100 | Apollo Global Management LLC | 1,436,820 | |
16,095 | Artisan Partners Asset Management, Inc. | 817,948 | |
2,400 | BlackRock, Inc. | 2,099,928 | |
7,500 | 1,2 | Blue Owl Capital, Inc. | 96,600 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Financials—continued | |||
275,000 | 1,4 | Blue Owl Capital, Inc. | $3,024,658 |
2,748 | 1,2 | Coinbase Global, Inc. | 696,068 |
128,900 | FinecoBank Banca Fineco SPA | 2,252,461 | |
1,400 | Goldman Sachs Group, Inc. | 531,342 | |
28,339 | 1 | Hamilton Lane Alliance Holdings I, Inc. | 276,305 |
21,500 | Hamilton Lane, Inc. | 1,959,080 | |
20,200 | Housing Development Finance Corp. Ltd. | 674,620 | |
33,400 | KKR & Co., Inc, Class Common | 1,978,616 | |
1,300 | London Stock Exchange Group PLC | 143,387 | |
500 | 1 | Markel Corp. | 593,355 |
2,075 | MSCI, Inc., Class A | 1,106,141 | |
39,004 | 2 | StepStone Group, Inc. | 1,341,738 |
TOTAL | 19,029,067 | ||
Health Care—34.8% | |||
5,500 | Abbott Laboratories | 637,615 | |
3,500 | 1,3,4 | Adagio Therapeutics, Inc. | 273,300 |
3,642 | 1 | Agilon health, Inc. | 147,756 |
32,196 | 1 | Akouos, Inc. | 404,060 |
37,034 | 1 | Albireo Pharma, Inc. | 1,302,856 |
65,629 | 1 | Alector, Inc. | 1,367,052 |
11,609 | 1 | Alnylam Pharmaceuticals, Inc. | 1,967,958 |
36,400 | 1 | Amphastar Pharmaceuticals, Inc. | 733,824 |
27,700 | 1 | Annexon, Inc. | 623,527 |
45,996 | 1 | Arcturus Therapeutics Holdings, Inc. | 1,556,505 |
26,021 | 1 | Argenx SE | 7,839,057 |
24,873 | 1 | Avidity Biosciences LLC | 614,612 |
27,303 | 1 | Avrobio, Inc. | 242,724 |
76,233 | 1 | Calithera Biosciences, Inc. | 159,327 |
24,100 | 1 | Catalent, Inc. | 2,605,692 |
7,000 | 1,2 | Century Therapeutics, Inc. | 205,380 |
7,369 | 1,4 | Century Therapeutics, Inc. | 174,556 |
1,076,793 | 1,4 | CeQur SA | 297,216 |
23,800 | 1 | ContraFect Corp. | 104,720 |
137,500 | 1 | Corcept Therapeutics, Inc. | 3,025,000 |
6,418 | 1 | CRISPR Therapeutics AG | 1,039,010 ��� |
13,600 | Danaher Corp. | 3,649,696 | |
8,100 | 1 | Dexcom, Inc. | 3,458,700 |
1,893 | 1 | Doximity, Inc. | 110,173 |
193,800 | 1 | Dynavax Technologies Corp. | 1,908,930 |
6,236 | 1 | Editas Medicine, Inc. | 353,207 |
7,700 | 1 | Edwards Lifesciences Corp. | 797,489 |
3,200 | 1 | Fate Therapeutics, Inc. | 277,728 |
27,400 | 1,2 | Frequency Therapeutics, Inc. | 272,904 |
5,088 | 1 | Frequency Therapeutics, Inc. | 50,676 |
127,397 | 1 | Gamida Cell Ltd. | 816,615 |
4,200 | 1 | Genmab A/S | 1,713,104 |
16,300 | 1 | Genmab A/S, ADR | 665,529 |
12,200 | 1 | Gossamer Bio, Inc. | 99,064 |
15,525 | 1 | Gracell Biotechnologies, Inc., ADR | 201,825 |
8,060 | 1,2 | Graphite Bio, Inc. | 247,684 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
14,237 | 1 | IDEAYA Biosciences, Inc. | $298,835 |
1,700 | 1 | IDEXX Laboratories, Inc. | 1,073,635 |
10,000 | 1,3 | Immatics N.V. | 116,100 |
9,400 | 1,2 | Immatics N.V. | 109,134 |
7,100 | 1 | Insulet Corp. | 1,949,021 |
5,048 | 1 | Intellia Therapeutics, Inc. | 817,322 |
715 | 1 | Intuitive Surgical, Inc. | 657,543 |
21,500 | 1 | Kaleido Biosciences, Inc. | 159,960 |
11,800 | 1 | Karuna Therapeutics, Inc. | 1,345,082 |
25,503 | 1 | Legend Biotech Corp., ADR | 1,046,898 |
8,235 | 1 | Lyell Immunopharma, Inc. | 133,736 |
34,800 | 1 | Merus NV | 733,236 |
137,800 | 1 | Minerva Neurosciences, Inc. | 319,696 |
13,900 | 1 | Moderna, Inc. | 3,266,222 |
20,852 | 1,2 | Molecular Partners AG | 424,388 |
2,987 | 1,2 | Molecular Partners AG, ADR | 60,935 |
1,300 | 1 | Morphic Holding, Inc. | 74,607 |
16,762 | 1,4 | NeoGenomics, Inc. | 612,598 |
14,887 | 1 | Orchard Therapeutics PLC | 65,354 |
29,312 | 1 | Orchard Therapeutics PLC, ADR | 128,680 |
81,200 | 1 | Otonomy, Inc. | 181,076 |
7,049 | 1 | Privia Health Group, Inc. | 312,764 |
5,500 | 1 | Repligen Corp. | 1,097,910 |
17,262 | 1 | Rezolute, Inc. | 246,329 |
34,612 | 1 | Rhythm Pharmaceuticals, Inc. | 677,703 |
13,066 | 1 | Rubius Therapeutics, Inc. | 318,941 |
6,083 | 1 | Sarepta Therapeutics, Inc. | 472,892 |
13,770 | 1,2 | Scynexis, Inc. | 101,347 |
55,391 | 1 | Seres Therapeutics, Inc. | 1,321,075 |
8,815 | 1 | Stoke Therapeutics, Inc. | 296,713 |
3,300 | Stryker Corp. | 857,109 | |
10,114 | 1 | Surgery Partners, Inc. | 673,795 |
55,000 | 1,4 | Talkspace, Inc. | 374,163 |
23,800 | 1 | Tandem Diabetes Care, Inc. | 2,318,120 |
36,010 | 1 | Translate Bio, Inc. | 991,715 |
12,620 | 1 | Turning Point Therapeutics, Inc. | 984,612 |
47,616 | 1 | Ultragenyx Pharmaceutical, Inc. | 4,540,185 |
47,100 | 1 | UniQure N.V. | 1,450,680 |
16,500 | 1 | Veeva Systems, Inc. | 5,130,675 |
4,630 | 1 | Verve Therapeutics, Inc. | 278,957 |
25,459 | 1 | Zai Lab Ltd., ADR | 4,505,988 |
15,734 | 1 | Zentalis Pharmaceuticals, LLC | 837,049 |
5,374 | 1 | Zogenix, Inc. | 92,863 |
TOTAL | 81,400,714 | ||
Industrials—11.3% | |||
41,740 | 1 | Azek Co., Inc. | 1,772,280 |
28,500 | 1 | Azul S.A., ADR | 752,400 |
17,413 | 1 | Colfax Corp. | 797,690 |
35,300 | 1 | CoStar Group, Inc. | 2,923,546 |
19,300 | 1 | Dun & Bradstreet Holdings, Inc. | 412,441 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Industrials—continued | |||
7,220 | 1 | Generac Holdings, Inc. | $2,997,383 |
17,100 | HEICO Corp. | 2,384,082 | |
10,441 | IHS Markit Ltd. | 1,176,283 | |
20,162 | 1 | Ingersoll-Rand, Inc. | 984,107 |
37,400 | 1 | Mercury Systems, Inc. | 2,478,872 |
8,000 | 1 | Plug Power, Inc. | 273,520 |
1,500 | Roper Technologies, Inc. | 705,300 | |
6,500 | Timken Co. | 523,835 | |
13,000 | Trane Technologies PLC | 2,393,820 | |
21,096 | 1 | Trex Co., Inc. | 2,156,222 |
10,850 | 1 | Upwork, Inc. | 632,447 |
2,800 | Verisk Analytics, Inc. | 489,216 | |
19,500 | 1 | XPO Logistics, Inc. | 2,727,855 |
TOTAL | 26,581,299 | ||
Information Technology—22.6% | |||
1,300 | 1 | Adobe, Inc. | 761,332 |
34,832 | 1 | Advanced Micro Devices, Inc. | 3,271,770 |
5,900 | 1 | Ansys, Inc. | 2,047,654 |
7,616 | 1 | Coupa Software, Inc. | 1,996,230 |
2,805 | 1 | DocuSign, Inc. | 784,194 |
18,163 | 1 | Envestnet, Inc. | 1,377,845 |
5,600 | 1 | Everbridge, Inc. | 762,048 |
8,000 | Fidelity National Information Services, Inc. | 1,133,360 | |
49,600 | 1 | GDS Holdings Ltd., ADR | 3,893,104 |
7,580 | 1 | GoDaddy, Inc. | 659,157 |
55,000 | 1,4 | Ironsource, Ltd. | 463,291 |
37,300 | Marvell Technology, Inc. | 2,175,709 | |
53,741 | McAfee Corp. | 1,505,823 | |
15,359 | 1 | Medallia, Inc. | 518,366 |
49,200 | 1 | Nexi SpA | 1,080,568 |
50,000 | 1 | PagSeguro Digital Ltd. | 2,796,000 |
80,000 | 1 | Paysafe Ltd. | 968,800 |
13,900 | 1 | Q2 Holdings, Inc. | 1,425,862 |
27,450 | 1 | Qualtrics International, Inc. | 1,049,962 |
33,000 | 1 | Radware Ltd. | 1,015,740 |
15,900 | 1 | Rapid7, Inc. | 1,504,617 |
2,900 | 1 | Salesforce.com, Inc. | 708,383 |
7,000 | 1 | ServiceNow, Inc. | 3,846,850 |
5,850 | 1 | Shopify, Inc. | 8,546,733 |
10,400 | 1 | Splunk, Inc. | 1,503,632 |
21,705 | 1 | TaskUs, Inc. | 743,179 |
4,900 | 1 | Tyler Technologies, Inc. | 2,216,613 |
6,700 | 1 | Unity Software, Inc. | 735,861 |
52,500 | 1,4 | WM Technology, Inc. | 784,532 |
11,462 | 1 | Workday, Inc. | 2,736,438 |
TOTAL | 53,013,653 | ||
Materials—6.4% | |||
46,000 | Agnico Eagle Mines Ltd. | 2,780,700 | |
14,200 | Ball Corp. | 1,150,484 | |
86,000 | Barrick Gold Corp. | 1,778,480 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Materials—continued | |||
6,875 | Eagle Materials, Inc. | $977,006 | |
4,700 | Franco-Nevada Corp. | 682,061 | |
43,700 | Newmont Corp. | 2,769,706 | |
12,868 | 1 | PureCycle Technologies, Inc. | 304,328 |
8,100 | Scotts Miracle-Gro Co. | 1,554,552 | |
10,770 | Sherwin-Williams Co. | 2,934,287 | |
TOTAL | 14,931,604 | ||
Real Estate—1.7% | |||
19,400 | Americold Realty Trust | 734,290 | |
5,300 | Crown Castle International Corp. | 1,034,030 | |
22,265 | MGM Growth Properties LLC | 815,344 | |
7,704 | 1 | Ryman Hospitality Properties | 608,308 |
15,265 | STAG Industrial, Inc. | 571,369 | |
650 | Sun Communities, Inc. | 111,410 | |
TOTAL | 3,874,751 | ||
Utilities—0.2% | |||
5,643 | NextEra Energy, Inc. | 413,519 | |
TOTAL COMMON STOCKS (IDENTIFIED COST $121,530,055) | 232,357,597 | ||
WARRANTS—0.3% | |||
Financials—0.0% | |||
9,446 | 1 | Hamilton Lane Alliance Holdings I, Inc., Warrants, Expiration Date 1/8/2026 | 9,210 |
Health Care—0.3% | |||
11,450 | 1 | Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 2/8/2024 | 13,097 |
21,500 | 1 | Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 6/22/2022 | 14,508 |
87,500 | 1 | ContraFect Corp., Warrants, Expiration Date 7/20/2022 | 1,409 |
42,500 | 1 | ContraFect Corp., Warrants, Expiration Date 7/27/2021 | 0 |
10,000 | 1 | Dynavax Technologies Corp., Warrants, Expiration Date 2/12/2022 | 57,154 |
4,700 | 1 | Immatics N.V., Warrants, Expiration Date 12/31/2025 | 16,168 |
5,696 | 1 | Rezolute, Inc., Warrants, Expiration Date 10/8/2027 | 78,930 |
53,000 | 1 | Scynexis, Inc., Warrants, Expiration Date 1/1/2099 | 390,080 |
26,500 | 1 | Scynexis, Inc., Warrants, Expiration Date 12/21/2021 | 40,754 |
2,520 | 1 | Scynexis, Inc., Warrants, Expiration Date 3/8/2023 | 2,600 |
26,500 | 1 | Scynexis, Inc., Warrants, Expiration Date 5/21/2024 | 93,121 |
TOTAL | 707,821 | ||
TOTAL WARRANTS (IDENTIFIED COST $353,334) | 717,031 | ||
REPURCHASE AGREEMENTS—2.2% | |||
$1,803,000 | Interest in $2,496,000,000 joint repurchase agreement 0.06%, dated 6/30/2021 under which Bank of America, N.A. will repurchase securities provided as collateral for $2,496,003,813 on 7/1/2021. 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 8/20/2050 and the market value of those underlying securities was $2,545,923,890. | 1,803,000 | |
3,336,872 | Interest in $2,496,000,000 joint repurchase agreement 0.06%, dated 6/30/2021 under which Bank of America, N.A. will repurchase securities provided as collateral for $2,496,003,813 on 7/1/2021. 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 8/20/2050 and the market value of those underlying securities was $2,545,923,890 (purchased with proceeds from securities lending collateral). | 3,336,872 | |
TOTAL REPURCHASE AGREEMENTS (IDENTIFIED COST $5,139,872) | 5,139,872 | ||
TOTAL INVESTMENT IN SECURITIES—101.7% (IDENTIFIED COST $127,023,261)5 | 238,214,500 | ||
OTHER ASSETS AND LIABILITIES - NET—(1.7)%6 | (4,042,641) | ||
TOTAL NET ASSETS—100% | $234,171,859 |
Value as of 12/31/2020 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 6/30/2021 | Shares Held as of 6/30/2021 | Dividend Income | |
Financials: | ||||||||
Hamilton Lane Alliance Holdings I, Inc | $— | $ 293,715 | $(6,869) | $(10,541) | $— | $ 276,305 | 28,339 | $— |
Hamilton Lane Alliance Holdings I, Inc., Warrants, Expiration Date 1/8/2026 | $— | $— | $ 6,869 | $ 2,341 | $— | $ 9,210 | 9,446 | $— |
StepStone Group, Inc. | $— | $1,150,618 | $— | $191,120 | $— | $1,341,738 | 39,004 | $39,004 |
Health Care: | ||||||||
Akouos, Inc. | $594,305 | $30,598 | $— | $(220,843) | $— | $404,060 | 32,196 | $— |
Albireo Pharma, Inc. | $1,511,653 | $— | $(122,757) | $(78,156) | $(7,884) | $1,302,856 | 37,034 | $— |
Alector, Inc. | $841,319 | $151,140 | $— | $374,593 | $— | $1,367,052 | 65,629 | $— |
Amphastar Pharmaceuticals, Inc. | $732,004 | $— | $— | $1,820 | $— | $733,824 | 36,400 | $— |
Annexon, Inc. | $300,360 | $445,623 | $— | $(122,456) | $— | $623,527 | 27,700 | $— |
Arcturus Therapeutics Holdings, Inc. | $2,290,464 | $— | $(459,818) | $13,534 | $(287,675) | $1,556,505 | 45,996 | $— |
Avidity Biosciences LLC | $ 461,912 | $ 170,890 | $— | $(18,190) | $— | $ 614,612 | 24,873 | $— |
Avrobio, Inc. | $199,342 | $227,657 | $(109,863) | $(2,189) | $(72,223) | $242,724 | 27,303 | $— |
Calithera Biosciences, Inc. | $479,216 | $— | $(67,732) | $(149,704) | $(102,453) | $159,327 | 76,233 | $— |
Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 2/8/2024 | $13,298 | $— | $— | $(201) | $— | $13,097 | 11,450 | $— |
Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 6/22/2022 | $15,628 | $— | $— | $(1,120) | $— | $14,508 | 21,500 | $— |
ContraFect Corp. | $— | $119,000 | $— | $(14,280) | $— | $104,720 | 23,800 | $— |
Dynavax Technologies Corp. | $764,510 | $173,937 | $— | $970,483 | $— | $1,908,930 | 193,800 | $— |
Dynavax Technologies Corp., Warrants, Expiration Date 2/12/2022 | $18,923 | $— | $— | $38,231 | $— | $57,154 | 10,000 | $— |
Frequency Therapeutics, Inc. | $736,934 | $236,819 | $(399,367) | $(412,853) | $111,371 | $272,904 | 27,400 | $— |
Frequency Therapeutics, Inc. | $179,403 | $— | $— | $(128,727) | $— | $50,676 | 5,088 | $— |
Gamida Cell Ltd. | $1,153,818 | $— | $(115,650) | $(239,901) | $18,348 | $816,615 | 127,397 | $— |
Merus NV | $673,152 | $— | $(87,252) | $123,634 | $23,702 | $733,236 | 34,800 | $— |
Minerva Neurosciences, Inc. | $322,452 | $— | $— | $(2,756) | $— | $319,696 | 137,800 | $— |
Molecular Partners AG | $486,302 | $— | $— | $(61,914) | $— | $424,388 | 20,852 | $— |
Otonomy, Inc. | $358,600 | $143,338 | $— | $(320,862) | $— | $181,076 | 81,200 | $— |
Rezolute, Inc. | $206,971 | $— | $— | $39,358 | $— | $246,329 | 17,262 | $— |
Rezolute, Inc., Warrants, Expiration Date 10/8/2027 | $56,253 | $— | $— | $22,677 | $— | $78,930 | 5,696 | $— |
Rhythm Pharmaceuticals, Inc. | $862,170 | $180,000 | $(11,627) | $(352,042) | $(798) | $677,703 | 34,612 | $— |
Scynexis, Inc. | $105,341 | $— | $— | $(3,994) | $— | $101,347 | 13,770 | $— |
Talkspace, Inc | $— | $ 550,000 | $— | $(175,837) | $— | $ 374,163 | 55,000 | $— |
Translate Bio, Inc. | $534,470 | $114,782 | $— | $342,463 | $— | $991,715 | 36,010 | $— |
Ultragenyx Pharmaceutical, Inc. | $7,525,055 | $— | $(990,652) | $(2,488,784) | $494,566 | $4,540,185 | 47,616 | $— |
UniQure N.V. | $2,113,605 | $— | $(413,930) | $(125,546) | $(123,449) | $1,450,680 | 47,100 | $— |
Information Technology: | ||||||||
TaskUs, Inc | $— | $ 540,419 | $— | $ 202,760 | $— | $ 743,179 | 21,705 | $— |
TOTAL OF AFFILIATED COMPANIES TRANSACTIONS | $23,537,460 | $4,528,536 | $(2,778,648) | $(2,607,882) | $53,505 | $22,732,971 | 1,424,011 | $39,004 |
1 | Non-income-producing security. |
2 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
3 | Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or availing of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At June 30, 2021, these restricted securities amounted to $890,680, which represented 0.4% of total net assets. |
4 | Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund’s Board of Trustees (the “Trustees”). |
5 | Also represents cost for federal tax purposes. |
6 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of June 30, 2021, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | $170,581,113 | $— | $5,707,098 | $176,288,211 |
International | 39,428,911 | 16,343,259 | 297,216 | 56,069,386 |
Debt Securities: | ||||
Warrants | 25,378 | 691,653 | — | 717,031 |
Repurchase Agreements | — | 5,139,872 | — | 5,139,872 |
TOTAL SECURITIES | $210,035,402 | $22,174,784 | $6,004,314 | $238,214,500 |
The following acronym(s) are used throughout this portfolio: | ||
ADR | —American Depositary Receipt |
Six Months Ended (unaudited) 6/30/2021 | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $25.46 | $22.63 | $18.55 | $19.16 | $16.70 | $17.42 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | (0.14) | (0.22) | (0.10) | (0.11) | (0.14) | (0.11) |
Net realized and unrealized gain (loss) | 1.15 | 5.27 | 6.15 | 0.95 | 4.54 | 0.56 |
Total From Investment Operations | 1.01 | 5.05 | 6.05 | 0.84 | 4.40 | 0.45 |
Less Distributions: | ||||||
Distributions from net realized gain | (1.74) | (2.22) | (1.97) | (1.45) | (1.94) | (1.17) |
Net Asset Value, End of Period | $24.73 | $25.46 | $22.63 | $18.55 | $19.16 | $16.70 |
Total Return2 | 4.28% | 28.79% | 33.82% | 3.84% | 28.33% | 3.66% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.49%4 | 1.50% | 1.51% | 1.52% | 1.54% | 1.54%5 |
Net investment loss | (1.13)%4 | (1.01)% | (0.49)% | (0.53)% | (0.77)% | (0.67)% |
Expense waiver/reimbursement6 | —% | —% | —% | —% | —% | 0.03% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $62,338 | $63,502 | $57,988 | $46,160 | $47,985 | $42,122 |
Portfolio turnover | 16% | 45% | 43% | 41% | 44% | 59% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratio was 1.54% for the year ended December 31, 2016, after taking into account these expense reductions. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 6/30/2021 | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $23.65 | $21.27 | $17.57 | $18.26 | $16.04 | $16.82 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | (0.16) | (0.26) | (0.15) | (0.15) | (0.17) | (0.14) |
Net realized and unrealized gain (loss) | 1.06 | 4.86 | 5.82 | 0.91 | 4.33 | 0.53 |
Total From Investment Operations | 0.90 | 4.60 | 5.67 | 0.76 | 4.16 | 0.39 |
Less Distributions: | ||||||
Distributions from net realized gain | (1.74) | (2.22) | (1.97) | (1.45) | (1.94) | (1.17) |
Net Asset Value, End of Period | $22.81 | $23.65 | $21.27 | $17.57 | $18.26 | $16.04 |
Total Return2 | 4.14% | 28.48% | 33.52% | 3.58% | 27.97% | 3.42% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.74%4 | 1.75% | 1.76% | 1.77% | 1.79% | 1.79%5 |
Net investment loss | (1.38)%4 | (1.26)% | (0.74)% | (0.77)% | (1.02)% | (0.92)% |
Expense waiver/reimbursement6 | —% | —% | —% | —% | —% | 0.03% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $171,834 | $169,061 | $129,327 | $105,132 | $96,037 | $78,870 |
Portfolio turnover | 16% | 45% | 43% | 41% | 44% | 59% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratio was 1.79% for the year ended December 31, 2016, after taking into account these expense reductions. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
Assets: | |
Investment in securities, at value including $3,248,400 of securities loaned and $22,732,971 of investment in affiliated companies* (identified cost $127,023,261) | $238,214,500 |
Income receivable | 65,744 |
Receivable for investments sold | 252,928 |
Receivable for shares sold | 55,218 |
Total Assets | 238,588,390 |
Liabilities: | |
Payable for investments purchased | 870,624 |
Payable for shares redeemed | 125,407 |
Payable to bank | 4,880 |
Payable for collateral due to broker for securities lending | 3,336,872 |
Payable for investment adviser fee (Note 5) | 8,394 |
Payable for administrative fee (Note 5) | 505 |
Payable for distribution services fee (Note 5) | 34,636 |
Accrued expenses (Note 5) | 35,213 |
Total Liabilities | 4,416,531 |
Net assets for 10,052,483 shares outstanding | $234,171,859 |
Net Assets Consist of: | |
Paid-in capital | $115,749,135 |
Total distributable earnings (loss) | 118,422,724 |
Total Net Assets | $234,171,859 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Primary Shares: | |
$62,337,889 ÷ 2,520,413 shares outstanding, no par value, unlimited shares authorized | $24.73 |
Service Shares: | |
$171,833,970 ÷ 7,532,070 shares outstanding, no par value, unlimited shares authorized | $22.81 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Dividends (including $39,004 received from affiliated holdings and net of foreign taxes withheld of $10,239) | $385,614 |
Net income on securities loaned (Note 2) | 21,778 |
Interest | 2,908 |
TOTAL INCOME | 410,300 |
Expenses: | |
Investment adviser fee (Note 5) | 1,481,973 |
Administrative fee (Note 5) | 90,352 |
Custodian fees | 16,983 |
Transfer agent fees | 9,024 |
Directors’/Trustees’ fees (Note 5) | 1,162 |
Auditing fees | 16,285 |
Legal fees | 5,538 |
Portfolio accounting fees | 40,518 |
Distribution services fee (Note 5) | 208,404 |
Printing and postage | 19,025 |
Miscellaneous (Note 5) | 16,372 |
TOTAL EXPENSES | 1,905,636 |
Net investment loss | (1,495,336) |
Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions: | |
Net realized gain on investments (including net realized gain of $53,505 on sales of investments in affiliated companies*) | 9,192,428 |
Net realized gain on foreign currency transactions | 111 |
Net change in unrealized appreciation of investments (including net change in unrealized appreciation of $(2,607,882) on investments in affiliated companies*) | 2,111,458 |
Net change in unrealized appreciation/depreciation of translation of assets and liabilities in foreign currency | (178) |
Net realized and unrealized gain (loss) on investments and foreign currency transactions | 11,303,819 |
Change in net assets resulting from operations | $9,808,483 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 6/30/2021 | Year Ended 12/31/2020 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment loss | $(1,495,336) | $(2,374,350) |
Net realized gain (loss) | 9,192,539 | 17,123,946 |
Net change in unrealized appreciation/depreciation | 2,111,280 | 36,971,961 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 9,808,483 | 51,721,557 |
Distributions to Shareholders: | ||
Primary Shares | (4,188,149) | (5,382,824) |
Service Shares | (12,290,249) | (12,836,300) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (16,478,398) | (18,219,124) |
Share Transactions: | ||
Proceeds from sale of shares | 20,182,139 | 51,579,563 |
Net asset value of shares issued to shareholders in payment of distributions declared | 16,478,386 | 18,219,109 |
Cost of shares redeemed | (28,381,992) | (58,053,310) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 8,278,533 | 11,745,362 |
Change in net assets | 1,608,618 | 45,247,795 |
Net Assets: | ||
Beginning of period | 232,563,241 | 187,315,446 |
End of period | $234,171,859 | $232,563,241 |
Market Value of Securities Loaned | Collateral Received |
$3,248,400 | $3,336,872 |
Security | Acquisition Date | Cost | Value |
Adagio Therapeutics, Inc. | 4/16/2021 | $273,300 | $273,300 |
Fisker, Inc. | 10/29/2020 | $260,000 | $501,280 |
Immatics N.V. | 6/30/2020 | $100,000 | $116,100 |
Six Months Ended 6/30/2021 | Year Ended 12/31/2020 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 53,605 | $1,311,140 | 146,298 | $3,203,683 |
Shares issued to shareholders in payment of distributions declared | 177,615 | 4,188,147 | 350,901 | 5,382,822 |
Shares redeemed | (204,658) | (5,056,030) | (566,093) | (12,397,252) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | 26,562 | $443,257 | (68,894) | $(3,810,747) |
Six Months Ended 6/30/2021 | Year Ended 12/31/2020 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 835,580 | $18,870,999 | 2,374,103 | $48,375,880 |
Shares issued to shareholders in payment of distributions declared | 564,549 | 12,290,239 | 898,900 | 12,836,287 |
Shares redeemed | (1,016,403) | (23,325,962) | (2,205,894) | (45,656,058) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 383,726 | $7,835,276 | 1,067,109 | $15,556,109 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 410,288 | $8,278,533 | 998,215 | $11,745,362 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Percentage of Average Daily Net Assets of Class | |
Primary Shares | 0.25% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | |
Service Shares | $208,404 |
Purchases | $49,461,861 |
Sales | $34,777,591 |
Beginning Account Value 1/1/2021 | Ending Account Value 6/30/2021 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,042.80 | $7.55 |
Service Shares | $1,000 | $1,041.40 | $8.81 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,017.41 | $7.45 |
Service Shares | $1,000 | $1,016.17 | $8.70 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 1.49% |
Service Shares | 1.74% |
Annual Evaluation of Adequacy and Effectiveness
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916777
Share Class | Primary | Service |
Federated Hermes Managed Volatility Fund II
A Portfolio of Federated Hermes Insurance Series
Portfolio Composition | Percentage of Total Net Assets |
Domestic Fixed-Income Securities | 42.6% |
Domestic Equity Securities | 38.3% |
International Equity Securities | 2.7% |
Federated Hermes High Income Bond Fund II, Class P | 3.3% |
Bank Loan Core Fund | 2.2% |
Emerging Markets Core Fund | 1.7% |
Project and Trade Finance Core Fund | 1.6% |
Federated Hermes Short-Intermediate Government Fund, Institutional Shares2 | 0.0% |
Cash Equivalents3 | 8.3% |
Derivative Contracts4 | 0.7% |
Other Assets and Liabilities—Net5 | (1.4)% |
TOTAL | 100% |
Sector Composition of Equity Holdings | Percentage of Equity Securities |
Health Care | 21.0% |
Financials | 18.7% |
Information Technology | 12.3% |
Industrials | 10.9% |
Communication Services | 8.3% |
Consumer Staples | 6.4% |
Consumer Discretionary | 5.5% |
Real Estate | 4.9% |
Energy | 4.5% |
Utilities | 4.2% |
Materials | 3.3% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests. As of the date specified above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, affiliated investment companies (other than an affiliated money market mutual fund) in which the Fund invested greater than 10% of its net assets are not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata portion of each security and each other asset and liability owned by the affiliated investment company. Accordingly, the percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. Affiliated investment companies (other than an affiliated money market mutual fund) in which the Fund invested less than 10% of its net assets are listed individually in the table. |
2 | Represents less than 0.1%. |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts may consist of futures, forwards, options and swaps. The impact of a derivative contract on the Fund’s performance may be larger than its unrealized appreciation (depreciation) or value may indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract’s significance to the portfolio. More complete information regarding the Fund’s direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report. |
5 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
6 | Sector classifications are based upon, and individual portfolio securities are assigned to, the classifications of the Global Industry Classification Standard (GICS) except that the Co-Advisers assign a classification to securities not classified by the GICS and to securities for which the Co-Advisers do not have access to the classification made by the GICS. |
Shares or Principal Amount | Value | ||
COMMON STOCKS—41.1% | |||
Communication Services—3.4% | |||
1,193 | Activision Blizzard, Inc. | $113,860 | |
311 | 1 | Alphabet, Inc., Class A | 759,397 |
132 | 1 | Alphabet, Inc., Class C | 330,834 |
3,759 | 1 | Altice USA, Inc. | 128,332 |
20,660 | AT&T, Inc. | 594,595 | |
75,000 | 1 | BBTV Holdings, Inc. | 483,422 |
10,420 | Comcast Corp., Class A | 594,148 | |
1,527 | Electronic Arts, Inc. | 219,629 | |
13,045 | Interpublic Group of Cos., Inc. | 423,832 | |
10,297 | Lumen Technologies, Inc. | 139,936 | |
77 | Nexstar Media Group, Inc., Class A | 11,387 | |
28,037 | Sirius XM Radio, Inc. | 183,362 | |
184 | 1 | Take-Two Interactive Software, Inc. | 32,572 |
2,062 | 1 | Twitter, Inc. | 141,886 |
22,257 | Verizon Communications, Inc. | 1,247,060 | |
20,000 | 1 | VerticalScope Holdings, Inc. | 375,121 |
8,307 | Walt Disney Co. | 1,460,121 | |
TOTAL | 7,239,494 | ||
Consumer Discretionary—2.3% | |||
223 | 1 | Aptiv PLC | 35,085 |
64 | 1 | AutoZone, Inc. | 95,502 |
212 | 1 | Bright Horizons Family Solutions, Inc. | 31,187 |
1,550 | Brunswick Corp. | 154,411 | |
16 | Columbia Sportswear Co. | 1,574 | |
1,056 | Darden Restaurants, Inc. | 154,165 | |
57 | 1 | Deckers Outdoor Corp. | 21,892 |
3 | Domino’s Pizza, Inc. | 1,399 | |
790 | 1 | DoorDash, Inc. | 140,881 |
1,706 | Foot Locker, Inc. | 105,141 | |
37,802 | 1 | Ford Motor Co. | 561,738 |
1,927 | 1 | General Motors Co. | 114,021 |
2,530 | Genuine Parts Co. | 319,969 | |
2,331 | 1 | Hilton Worldwide Holdings, Inc. | 281,165 |
1,523 | L Brands, Inc. | 109,747 | |
2,132 | 1 | LKQ Corp. | 104,937 |
2,458 | McDonald’s Corp. | 567,773 | |
548 | 1 | Mohawk Industries, Inc. | 105,320 |
273 | 1 | O’Reilly Automotive, Inc. | 154,575 |
18,700 | 1 | Pet Valu Holdings Ltd. | 403,387 |
1,754 | Polaris, Inc., Class A | 240,228 | |
1,952 | 1 | QuantumScape Corp. | 57,116 |
4,772 | 1 | Tapestry, Inc. | 207,487 |
864 | Target Corp. | 208,863 | |
1,557 | Toll Brothers, Inc. | 90,010 | |
1,765 | Travel + Leisure Co. | 104,929 | |
12,000 | 1 | Vasta Platform Ltd. | 97,440 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Consumer Discretionary—continued | |||
2,417 | Yum! Brands, Inc. | $278,028 | |
TOTAL | 4,747,970 | ||
Consumer Staples—2.6% | |||
647 | Altria Group, Inc. | 30,849 | |
1,450 | Casey’s General Stores, Inc. | 282,228 | |
419 | Clorox Co. | 75,382 | |
268 | Costco Wholesale Corp. | 106,040 | |
1,869 | 1 | Darling Ingredients, Inc. | 126,158 |
1,879 | Hershey Foods Corp. | 327,284 | |
7,071 | Kraft Heinz Co./The | 288,355 | |
9,209 | Mondelez International, Inc. | 575,010 | |
3,469 | PepsiCo, Inc. | 514,002 | |
2,048 | Philip Morris International, Inc. | 202,977 | |
11,416 | Procter & Gamble Co. | 1,540,361 | |
7,746 | The Coca-Cola Co. | 419,136 | |
3,455 | Tyson Foods, Inc., Class A | 254,841 | |
5,569 | WalMart, Inc. | 785,340 | |
TOTAL | 5,527,963 | ||
Energy—1.8% | |||
10,130 | Antero Midstream Corp. | 105,251 | |
4,653 | APA Corp. | 100,644 | |
4,087 | Chevron Corp. | 428,072 | |
5,642 | Cimarex Energy Co. | 408,763 | |
3,052 | Diamondback Energy, Inc. | 286,552 | |
1,538 | 1 | EQT Corp. | 34,236 |
14,218 | Exxon Mobil Corp. | 896,872 | |
7,775 | Halliburton Co. | 179,758 | |
18,363 | Kinder Morgan, Inc. | 334,758 | |
13,844 | Marathon Oil Corp. | 188,555 | |
279 | Marathon Petroleum Corp. | 16,857 | |
6,899 | 1 | NOV, Inc. | 105,693 |
4,311 | Occidental Petroleum Corp. | 134,805 | |
3,720 | ONEOK, Inc. | 206,981 | |
4,016 | Schlumberger Ltd. | 128,552 | |
5,694 | Targa Resources, Inc. | 253,098 | |
2,786 | Williams Cos., Inc. | 73,968 | |
TOTAL | 3,883,415 | ||
Financials—7.7% | |||
1,378 | Affiliated Managers Group | 212,501 | |
23,934 | AGNC Investment Corp. | 404,245 | |
2,276 | Allstate Corp. | 296,881 | |
2,756 | American Express Co. | 455,374 | |
1,570 | American International Group, Inc. | 74,732 | |
896 | Ameriprise Financial, Inc. | 222,997 | |
16,903 | Annaly Capital Management, Inc. | 150,099 | |
19,114 | Bank of America Corp. | 788,070 | |
6,545 | Bank of New York Mellon Corp. | 335,300 | |
6,330 | 1 | Berkshire Hathaway, Inc., Class B | 1,759,234 |
396 | BlackRock, Inc. | 346,488 | |
8,745 | 1 | Brighthouse Financial, Inc. | 398,247 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Financials—continued | |||
762 | Charles Schwab Corp. | $55,481 | |
4,017 | Chubb Ltd. | 638,462 | |
13,049 | Citigroup, Inc. | 923,217 | |
1,355 | CME Group, Inc. | 288,181 | |
13,787 | Equitable Holdings, Inc. | 419,814 | |
208 | FactSet Research Systems | 69,807 | |
480 | Goldman Sachs Group, Inc. | 182,174 | |
1,077 | 1 | Guild Holdings Co. | 16,521 |
31,995 | Huntington Bancshares, Inc. | 456,569 | |
729 | Intercontinental Exchange, Inc. | 86,532 | |
3,068 | Janus Henderson Group PLC | 119,069 | |
12,241 | Jefferies Financial Group, Inc. | 418,642 | |
13,773 | JPMorgan Chase & Co. | 2,142,252 | |
9,659 | KeyCorp | 199,458 | |
2,246 | Lincoln National Corp. | 141,139 | |
2,593 | Loews Corp. | 141,708 | |
5,660 | MetLife, Inc. | 338,751 | |
4,372 | MGIC Investment Corp. | 59,459 | |
891 | Morgan Stanley | 81,696 | |
75 | Morningstar, Inc. | 19,283 | |
3,800 | New Residential Investment Corp. | 40,242 | |
1,635 | Northern Trust Corp. | 189,039 | |
30,000 | 1 | Oportun Financial Corp. | 600,900 |
2,180 | Popular, Inc. | 163,609 | |
2,222 | Progressive Corp., OH | 218,223 | |
3,315 | Prudential Financial, Inc. | 339,688 | |
22,149 | Regions Financial Corp. | 446,967 | |
264 | Santander Consumer USA Holdings, Inc. | 9,589 | |
9,628 | SLM Corp. | 201,610 | |
4,779 | State Street Corp. | 393,216 | |
1,705 | The Travelers Cos., Inc. | 255,256 | |
11,527 | Truist Financial Corp. | 639,749 | |
2,951 | U.S. Bancorp | 168,119 | |
1,445 | Virtu Financial, Inc. | 39,925 | |
7,208 | Wells Fargo & Co. | 326,450 | |
TOTAL | 16,274,965 | ||
Health Care—8.6% | |||
4,957 | Abbott Laboratories | 574,665 | |
1,239 | 1 | Alexion Pharmaceuticals, Inc. | 227,617 |
1,916 | Anthem, Inc. | 731,529 | |
1,674 | Becton Dickinson & Co. | 407,100 | |
580 | 1 | Biogen, Inc. | 200,837 |
881 | 1 | Boston Scientific Corp. | 37,672 |
14,116 | Bristol-Myers Squibb Co. | 943,231 | |
1,535 | 1 | Centene Corp. | 111,948 |
1,426 | Cerner Corp. | 111,456 | |
1,331 | 1 | Certara, Inc. | 37,707 |
13,702 | 1 | Change Healthcare, Inc. | 315,694 |
619 | Chemed Corp. | 293,716 | |
1,301 | CIGNA Corp. | 308,428 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
22,500 | 1 | Codex DNA, Inc. | $495,000 |
33,333 | 1 | Convey Holding Parent, Inc. | 379,330 |
15,000 | 1 | CVRx, Inc. | 420,000 |
2,567 | CVS Health Corp. | 214,190 | |
2,091 | Danaher Corp. | 561,141 | |
309 | Dentsply Sirona, Inc. | 19,547 | |
80,000 | 1 | Dialogue Health Technologies, Inc. | 735,721 |
10,325 | Gilead Sciences, Inc. | 710,979 | |
263 | Hill-Rom Holdings, Inc. | 29,874 | |
3,389 | 1 | Hologic, Inc. | 226,114 |
4,090 | 1 | Ionis Pharmaceuticals, Inc. | 163,150 |
789 | 1 | IQVIA Holdings, Inc. | 191,190 |
10,606 | Johnson & Johnson | 1,747,232 | |
1,215 | 1 | Laboratory Corp. of America Holdings | 335,158 |
2,506 | McKesson Corp. | 479,247 | |
2,034 | Medtronic PLC | 252,480 | |
9,148 | Merck & Co., Inc. | 711,440 | |
1,692 | 1 | Molina Healthcare, Inc. | 428,178 |
11,368 | Pfizer, Inc. | 445,171 | |
746 | 1 | PRA Health Sciences, Inc. | 123,247 |
989 | 1 | Quidel Corp. | 126,711 |
89,446 | 1,2 | Recursion Pharmaceuticals, Inc. | 2,766,091 |
152 | ResMed, Inc. | 37,471 | |
5,453 | 1 | SAGE Therapeutics, Inc. | 309,785 |
10,000 | 1 | Singular Genomics Systems, Inc. | 274,800 |
9 | STERIS PLC | 1,857 | |
28 | 1 | Tandem Diabetes Care, Inc. | 2,727 |
849 | Thermo Fisher Scientific, Inc. | 428,295 | |
2,347 | UnitedHealth Group, Inc. | 939,833 | |
1,638 | 1 | Vertex Pharmaceuticals, Inc. | 330,270 |
99 | 1 | Waters Corp. | 34,215 |
TOTAL | 18,222,044 | ||
Industrials—4.5% | |||
2,779 | 3M Co. | 551,993 | |
2,890 | 1 | AECOM | 182,995 |
459 | AGCO Corp. | 59,844 | |
626 | 1 | Alaska Air Group, Inc. | 37,754 |
55 | 1 | AMERCO | 32,417 |
509 | 1 | Boeing Co. | 121,936 |
1,789 | Caterpillar, Inc. | 389,340 | |
685 | 1 | Clean Harbors, Inc. | 63,801 |
3,348 | CSX Corp. | 107,404 | |
1,653 | Curtiss Wright Corp. | 196,310 | |
5,344 | 1 | Dun & Bradstreet Holdings, Inc. | 114,201 |
1,330 | Eaton Corp. PLC | 197,079 | |
453 | Emerson Electric Co. | 43,597 | |
1,472 | FedEx Corp. | 439,142 | |
18,618 | 1 | First Advantage Corp. | 370,684 |
4,183 | General Electric Co. | 56,303 | |
3,778 | Honeywell International, Inc. | 828,704 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Industrials—continued | |||
1,697 | 1 | Ingersoll-Rand, Inc. | $82,831 |
2,958 | ITT Corp. | 270,923 | |
1,338 | Jacobs Engineering Group, Inc. | 178,516 | |
6,873 | Johnson Controls International PLC | 471,694 | |
2,483 | L3Harris Technologies, Inc. | 536,700 | |
1,952 | Manpower, Inc. | 232,112 | |
378 | 1 | Mastec, Inc. | 40,106 |
2,360 | Norfolk Southern Corp. | 626,368 | |
484 | Northrop Grumman Corp. | 175,900 | |
3,287 | OshKosh Truck Corp. | 409,692 | |
1,460 | Parker-Hannifin Corp. | 448,381 | |
2,665 | Pentair PLC | 179,861 | |
283 | Quanta Services, Inc. | 25,631 | |
1,357 | Raytheon Technologies Corp. | 115,766 | |
3,363 | Ryder System, Inc. | 249,972 | |
683 | 1 | Stericycle, Inc. | 48,869 |
1,083 | Textron, Inc. | 74,478 | |
3,520 | Toro Co. | 386,778 | |
2,555 | Trane Technologies PLC | 470,478 | |
78 | 1 | Transdigm Group, Inc. | 50,489 |
605 | 1 | United Rentals, Inc. | 193,001 |
2,023 | Waste Management, Inc. | 283,442 | |
742 | Xylem, Inc. | 89,010 | |
TOTAL | 9,434,502 | ||
Information Technology—5.1% | |||
1,761 | Accenture PLC | 519,125 | |
180 | 1 | C3.AI, Inc. | 11,255 |
4,902 | 1 | Cirrus Logic, Inc. | 417,258 |
10,736 | Cisco Systems, Inc. | 569,008 | |
539 | Citrix Systems, Inc. | 63,209 | |
7,374 | Cognizant Technology Solutions Corp. | 510,723 | |
4,331 | 1 | Dell Technologies, Inc. | 431,671 |
2,689 | Fidelity National Information Services, Inc. | 380,951 | |
3,224 | 1 | Fiserv, Inc. | 344,613 |
22,979 | Hewlett Packard Enterprise Co. | 335,034 | |
13,050 | HP, Inc. | 393,979 | |
48,340 | 1 | IBEX LTD | 943,597 |
3,765 | IBM Corp. | 551,911 | |
24,850 | 1 | Intapp, Inc. | 695,800 |
21,909 | Intel Corp. | 1,229,971 | |
125,000 | 1 | LifeSpeak, Inc. | 1,008,390 |
1,498 | 1 | Lumentum Holdings, Inc. | 122,881 |
570 | 1 | Manhattan Associates, Inc. | 82,559 |
1,950 | McAfee Corp. | 54,639 | |
2,127 | 1 | Micron Technology, Inc. | 180,752 |
4,660 | NortonLifeLock, Inc. | 126,845 | |
1,620 | NXP Semiconductors NV | 333,266 | |
3,042 | 1 | ON Semiconductor Corp. | 116,448 |
4,003 | Oracle Corp. | 311,594 | |
3,984 | 1 | Pure Storage, Inc. | 77,808 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Information Technology—continued | |||
2,191 | 1 | Salesforce.com, Inc. | $535,196 |
495 | 1 | Snowflake, Inc. | 119,691 |
30,000 | 1 | Zeta Global Holdings Corp. | 252,000 |
TOTAL | 10,720,174 | ||
Materials—1.4% | |||
836 | Ardagh Group SA | 20,499 | |
1,744 | Avery Dennison Corp. | 366,658 | |
6,408 | 1 | Axalta Coating Systems Ltd. | 195,380 |
3,717 | CF Industries Holdings, Inc. | 191,240 | |
630 | Corteva, Inc. | 27,940 | |
6,815 | DuPont de Nemours, Inc. | 527,549 | |
1,153 | Eagle Materials, Inc. | 163,853 | |
7,907 | Freeport-McMoRan, Inc. | 293,429 | |
5,100 | Louisiana-Pacific Corp. | 307,479 | |
3,323 | Newmont Corp. | 210,612 | |
2,372 | Olin Corp. | 109,729 | |
8,037 | WestRock Co. | 427,729 | |
TOTAL | 2,842,097 | ||
Real Estate—2.0% | |||
15,549 | 1 | CBRE Group, Inc. | 1,333,016 |
1,614 | Duke Realty Corp. | 76,423 | |
1,711 | Extra Space Storage, Inc. | 280,296 | |
1,364 | First Industrial Realty Trust | 71,242 | |
2,799 | 1 | Howard Hughes Corp. | 272,790 |
181 | Iron Mountain, Inc. | 7,660 | |
1,609 | Jones Lang LaSalle, Inc. | 314,495 | |
3,457 | Kilroy Realty Corp. | 240,745 | |
4,004 | Kimco Realty Corp. | 83,483 | |
5,420 | ProLogis, Inc. | 647,853 | |
1,382 | Public Storage | 415,554 | |
163 | SBA Communications, Corp. | 51,948 | |
318 | Welltower, Inc. | 26,426 | |
13,819 | Weyerhaeuser Co. | 475,650 | |
TOTAL | 4,297,581 | ||
Utilities—1.7% | |||
16,985 | AES Corp. | 442,799 | |
3,993 | CMS Energy Corp. | 235,906 | |
3,617 | DTE Energy Co. | 468,763 | |
6,694 | Duke Energy Corp. | 660,832 | |
12,019 | MDU Resources Group, Inc. | 376,675 | |
12,539 | NextEra Energy, Inc. | 918,858 | |
3,639 | Public Service Enterprises Group, Inc. | 217,394 | |
5,586 | Southern Co. | 338,009 | |
TOTAL | 3,659,236 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $64,549,648) | 86,849,441 | ||
CORPORATE BONDS—18.8% | |||
Basic Industry - Chemicals—0.1% | |||
$ 75,000 | Albemarle Corp., 4.150%, 12/1/2024 | 82,155 �� | |
75,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | 95,028 |
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Basic Industry - Chemicals—continued | |||
$ 100,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | $114,872 | |
TOTAL | 292,055 | ||
Basic Industry - Metals & Mining—0.3% | |||
200,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031 | 204,771 | |
56,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 58,548 | |
75,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 75,307 | |
40,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.875%, 4/27/2051 | 41,990 | |
225,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 238,351 | |
50,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.300%, 8/1/2032 | 56,807 | |
25,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.550%, 4/15/2026 | 27,988 | |
TOTAL | 703,762 | ||
Capital Goods - Aerospace & Defense—0.7% | |||
250,000 | Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027 | 268,972 | |
100,000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | 103,459 | |
185,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 189,619 | |
75,000 | Boeing Co., Sr. Unsecd. Note, 3.625%, 2/1/2031 | 80,745 | |
40,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 41,965 | |
75,000 | Boeing Co., Sr. Unsecd. Note, 4.508%, 5/1/2023 | 79,981 | |
75,000 | Boeing Co., Sr. Unsecd. Note, 4.875%, 5/1/2025 | 84,074 | |
60,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 65,642 | |
40,000 | Leidos, Inc., Sr. Unsecd. Note, 144A, 3.625%, 5/15/2025 | 43,668 | |
150,000 | Leidos, Inc., Sr. Unsecd. Note, 144A, 4.375%, 5/15/2030 | 170,580 | |
200,000 | Textron, Inc., Sr. Unsecd. Note, 3.650%, 3/15/2027 | 221,831 | |
TOTAL | 1,350,536 | ||
Capital Goods - Building Materials—0.3% | |||
20,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 21,767 | |
35,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 37,252 | |
165,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 179,690 | |
85,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.700%, 2/15/2031 | 87,660 | |
40,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.722%, 2/15/2030 | 41,505 | |
125,000 | Carrier Global Corp., Sr. Unsecd. Note, 3.577%, 4/5/2050 | 132,859 | |
100,000 | Masco Corp., Sr. Unsecd. Note, 4.500%, 5/15/2047 | 121,982 | |
TOTAL | 622,715 | ||
Capital Goods - Construction Machinery—0.2% | |||
270,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 299,539 | |
150,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 168,775 | |
TOTAL | 468,314 | ||
Capital Goods - Diversified Manufacturing—0.4% | |||
35,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 35,665 | |
35,000 | Honeywell International, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2050 | 36,062 | |
250,000 | Lennox International, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2023 | 262,242 | |
165,000 | Valmont Industries, Inc., 5.250%, 10/1/2054 | 205,322 | |
55,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 66,823 | |
40,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 42,572 | |
70,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 70,594 | |
TOTAL | 719,280 | ||
Capital Goods - Packaging—0.1% | |||
200,000 | Packaging Corp., of America, Sr. Unsecd. Note, 3.650%, 9/15/2024 | 216,245 | |
Communications - Cable & Satellite—0.4% | |||
100,000 | CCO Safari II LLC, 6.484%, 10/23/2045 | 137,952 |
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Communications - Cable & Satellite—continued | |||
$ 50,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 2.800%, 4/1/2031 | $51,174 | |
50,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | 49,196 | |
85,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Term Loan - 1st Lien, 3.900%, 6/1/2052 | 86,797 | |
225,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 247,534 | |
75,000 | Comcast Corp., Sr. Unsecd. Note, 3.400%, 4/1/2030 | 82,862 | |
100,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 112,110 | |
100,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 124,125 | |
TOTAL | 891,750 | ||
Communications - Media & Entertainment—0.6% | |||
115,000 | Alphabet, Inc., Sr. Unsecd. Note, 1.900%, 8/15/2040 | 104,800 | |
200,000 | British Sky Broadcasting Group PLC, 144A, 3.750%, 9/16/2024 | 218,703 | |
60,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 5.576%, 1/25/2049 | 81,207 | |
200,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 5/13/2045 | 239,447 | |
70,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 2.400%, 3/1/2031 | 70,328 | |
165,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 3.375%, 3/1/2041 | 171,469 | |
85,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.450%, 4/30/2030 | 86,495 | |
��� 35,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.600%, 4/15/2026 | 38,695 | |
75,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.200%, 6/1/2029 | 86,685 | |
125,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.950%, 1/15/2031 | 150,817 | |
40,000 | Walt Disney Co., Sr. Unsecd. Note, 3.600%, 1/13/2051 | 45,460 | |
45,000 | Walt Disney Co., Sr. Unsecd. Note, 3.800%, 5/13/2060 | 53,186 | |
TOTAL | 1,347,292 | ||
Communications - Telecom Wireless—0.5% | |||
200,000 | America Movil S.A.B. de C.V., Sr. Unsecd. Note, 2.875%, 5/7/2030 | 211,605 | |
85,000 | American Tower Corp., 2.950%, 1/15/2051 | 81,394 | |
100,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 110,946 | |
150,000 | Crown Castle International Corp., Sr. Unsecd. Note, 3.250%, 1/15/2051 | 149,620 | |
40,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 4.500%, 4/15/2050 | 47,679 | |
125,000 | T-Mobile USA, Inc., Sr. Sub. Note, 3.000%, 2/15/2041 | 123,771 | |
125,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 3.875%, 4/15/2030 | 140,156 | |
75,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 83,780 | |
100,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | 132,007 | |
TOTAL | 1,080,958 | ||
Communications - Telecom Wirelines—0.8% | |||
100,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 101,075 | |
125,000 | AT&T, Inc., Sr. Unsecd. Note, 3.500%, 6/1/2041 | 130,077 | |
125,000 | AT&T, Inc., Sr. Unsecd. Note, 3.650%, 6/1/2051 | 130,101 | |
303,000 | AT&T, Inc., Sr. Unsecd. Note, 144A, 3.800%, 12/1/2057 | 316,265 | |
250,000 | Deutsche Telekom International Finance BV, Sr. Unsecd. Note, 144A, 3.600%, 1/19/2027 | 275,262 | |
200,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.213%, 3/8/2047 | 250,164 | |
230,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041 | 243,602 | |
100,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 118,293 | |
159,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.672%, 3/15/2055 | 205,018 | |
TOTAL | 1,769,857 | ||
Consumer Cyclical - Automotive—0.6% | |||
100,000 | American Honda Finance Corp., Sr. Unsecd. Note, Series MTN, 0.875%, 7/7/2023 | 100,950 | |
150,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 3.350%, 2/22/2023 | 156,918 | |
150,000 | General Motors Co., Sr. Unsecd. Note, 6.125%, 10/1/2025 | 177,675 | |
75,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 1.500%, 6/10/2026 | 74,599 |
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Automotive—continued | |||
$ 125,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028 | $126,983 | |
125,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.000%, 10/6/2026 | 138,094 | |
245,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series GMTN, 2.700%, 1/11/2023 | 253,986 | |
250,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 1.250%, 11/24/2025 | 248,677 | |
TOTAL | 1,277,882 | ||
Consumer Cyclical - Retailers—0.7% | |||
95,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, 1.750%, 10/1/2027 | 94,384 | |
125,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 139,668 | |
200,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 215,125 | |
70,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 82,882 | |
15,000 | AutoZone, Inc., Sr. Unsecd. Note, 3.625%, 4/15/2025 | 16,428 | |
90,000 | AutoZone, Inc., Sr. Unsecd. Note, 4.000%, 4/15/2030 | 102,450 | |
200,000 | CVS Health Corp., Sr. Unsecd. Note, 4.250%, 4/1/2050 | 237,556 | |
60,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 68,984 | |
200,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | 211,415 | |
40,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 43,725 | |
200,000 | Home Depot, Inc., Sr. Unsecd. Note, 3.300%, 4/15/2040 | 219,521 | |
65,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 1.750%, 3/15/2031 | 62,459 | |
40,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2030 | 46,125 | |
TOTAL | 1,540,722 | ||
Consumer Cyclical - Services—0.3% | |||
125,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.875%, 8/22/2037 | 149,309 | |
75,000 | Booking Holdings, Inc., Sr. Unsecd. Note, 4.625%, 4/13/2030 | 89,627 | |
100,000 | Expedia Group, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/1/2025 | 116,404 | |
125,000 | Expedia Group, Inc., Sr. Unsecd. Note, Series WI, 2.950%, 3/15/2031 | 126,925 | |
125,000 | IHS Markit Ltd., Sr. Unsecd. Note, 4.750%, 8/1/2028 | 147,838 | |
TOTAL | 630,103 | ||
Consumer Non-Cyclical - Food/Beverage—0.9% | |||
40,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 2/1/2046 | 49,741 | |
300,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2050 | 365,713 | |
85,000 | Conagra Brands, Inc., Sr. Unsecd. Note, 1.375%, 11/1/2027 | 83,000 | |
150,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 3.750%, 5/1/2050 | 166,448 | |
40,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 40,111 | |
175,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 190,712 | |
200,000 | Grupo Bimbo S.A.B. de CV, 144A, 4.875%, 6/27/2044 | 240,090 | |
220,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 2.300%, 11/1/2030 | 219,032 | |
175,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 198,631 | |
70,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 70,663 | |
150,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 179,629 | |
TOTAL | 1,803,770 | ||
Consumer Non-Cyclical - Health Care—0.3% | |||
110,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.794%, 5/20/2050 | 123,540 | |
29,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 36,151 | |
115,000 | Danaher Corp., Sr. Unsecd. Note, 2.600%, 10/1/2050 | 110,205 | |
135,000 | Dentsply Sirona, Inc., Sr. Unsecd. Note, 3.250%, 6/1/2030 | 144,547 | |
40,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 41,886 | |
80,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 2.550%, 3/15/2031 | 82,142 | |
100,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 108,389 | |
10,000 | Stryker Corp., Sr. Unsecd. Note, 3.500%, 3/15/2026 | 11,046 | |
TOTAL | 657,906 |
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Pharmaceuticals—0.6% | |||
$ 83,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | $93,780 | |
75,000 | Astrazeneca Finance LLC, Sr. Unsecd. Note, 2.250%, 5/28/2031 | 76,241 | |
65,000 | AstraZeneca PLC, Sr. Unsecd. Note, 2.375%, 6/12/2022 | 66,244 | |
200,000 | Bayer US Finance LLC, Sr. Unsecd. Note, 144A, 3.375%, 10/8/2024 | 214,972 | |
120,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 120,426 | |
125,000 | Biogen, Inc., Sr. Unsecd. Note, 3.150%, 5/1/2050 | 123,029 | |
40,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.250%, 10/26/2049 | 50,609 | |
91,000 | Regeneron Pharmaceuticals, Inc., Sr. Unsecd. Note, 2.800%, 9/15/2050 | 83,043 | |
125,000 | Royalty Pharma PLC, Sr. Unsecd. Note, 144A, 3.550%, 9/2/2050 | 124,641 | |
200,000 | Zoetis, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2050 | 207,025 | |
TOTAL | 1,160,010 | ||
Consumer Non-Cyclical - Tobacco—0.3% | |||
150,000 | Altria Group, Inc., Sr. Unsecd. Note, 5.950%, 2/14/2049 | 192,278 | |
125,000 | Bat Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047 | 133,175 | |
115,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 2.100%, 5/1/2030 | 114,624 | |
105,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 138,364 | |
TOTAL | 578,441 | ||
Energy - Independent—0.3% | |||
130,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 147,932 | |
135,000 | Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041 | 168,750 | |
150,000 | Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027 | 170,062 | |
125,000 | Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2031 | 122,661 | |
TOTAL | 609,405 | ||
Energy - Integrated—0.3% | |||
115,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 1.749%, 8/10/2030 | 112,349 | |
85,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 2.520%, 9/19/2022 | 87,101 | |
35,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.119%, 5/4/2026 | 37,987 | |
105,000 | Chevron Corp., Sr. Unsecd. Note, 3.078%, 5/11/2050 | 108,854 | |
100,000 | Husky Energy, Inc., 4.000%, 4/15/2024 | 107,099 | |
200,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 3.750%, 3/4/2051 | 216,742 | |
TOTAL | 670,132 | ||
Energy - Midstream—0.7% | |||
155,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.400%, 2/15/2031 | 164,667 | |
40,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 46,090 | |
35,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series B, 3.000%, 11/15/2029 | 36,760 | |
115,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series C, 3.900%, 11/15/2049 | 124,545 | |
70,000 | Energy Transfer Operating, Sr. Unsecd. Note, 5.000%, 5/15/2050 | 81,064 | |
15,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 16,325 | |
160,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 10Y, 4.950%, 6/15/2028 | 185,221 | |
200,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.700%, 1/31/2051 | 214,968 | |
75,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 104,171 | |
75,000 | Kinder Morgan, Inc., 5.050%, 2/15/2046 | 91,396 | |
115,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 135,300 | |
165,000 | Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045 | 199,907 | |
TOTAL | 1,400,414 | ||
Energy - Refining—0.2% | |||
75,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044 | 89,021 | |
75,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 93,399 | |
180,000 | Valero Energy Corp., Sr. Unsecd. Note, 2.150%, 9/15/2027 | 183,061 | |
TOTAL | 365,481 |
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—2.6% | |||
$ 140,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | $152,436 | |
150,000 | Bank of America Corp., Sr. Unsecd. Note, 2.687%, 4/22/2032 | 154,420 | |
450,000 | Bank of America Corp., Sr. Unsecd. Note, 3.419%, 12/20/2028 | 490,427 | |
100,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 1.922%, 10/24/2031 | 97,556 | |
100,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 109,794 | |
200,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.200%, 8/16/2023 | 207,213 | |
180,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.352%, 4/24/2025 | 191,897 | |
170,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 185,712 | |
275,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.668%, 7/24/2028 | 303,574 | |
250,000 | Citizens Bank N.A., Sr. Unsecd. Note, Series BKNT, 3.750%, 2/18/2026 | 276,907 | |
40,000 | FNB Corp., (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 40,648 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.992%, 1/27/2032 | 486,038 | |
475,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.900%, 5/25/2026 | 528,663 | |
120,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.953% (Secured Overnight Financing Rate 1.065%), 2/4/2032 | 116,635 | |
75,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.580%, 4/22/2032 | 77,027 | |
600,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.509%, 1/23/2029 | 661,796 | |
325,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.772%, 1/24/2029 | 365,003 | |
40,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.794%, 2/13/2032 | 38,469 | |
125,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.928% (Secured Overnight Financing Rate 1.020%), 4/28/2032 | 121,624 | |
250,000 | Synovus Bank GA, Sr. Unsecd. Note, 2.289%, 2/10/2023 | 251,979 | |
75,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 3.750%, 12/6/2023 | 80,707 | |
135,000 | Wells Fargo & Co., Sr. Unsecd. Note, 2.188%, 4/30/2026 | 140,213 | |
450,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 496,075 | |
TOTAL | 5,574,813 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.2% | |||
140,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 140,857 | |
150,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 179,619 | |
125,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.000%, 5/15/2030 | 138,850 | |
TOTAL | 459,326 | ||
Financial Institution - Finance Companies—0.1% | |||
200,000 | GE Capital International Funding, Inc., Sr. Unsecd. Note, 4.418%, 11/15/2035 | 240,048 | |
Financial Institution - Insurance - Life—0.6% | |||
200,000 | AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029 | 221,806 | |
275,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 299,625 | |
150,000 | Lincoln National Corp., Sr. Unsecd. Note, 3.625%, 12/12/2026 | 166,319 | |
100,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 130,219 | |
100,000 | MetLife, Inc., Sr. Unsecd. Note, 4.050%, 3/1/2045 | 119,782 | |
70,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 80,515 | |
150,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 4.600%, 5/15/2044 | 192,518 | |
TOTAL | 1,210,784 | ||
Financial Institution - Insurance - P&C—0.4% | |||
30,000 | Chubb INA Holdings, Inc., 3.350%, 5/3/2026 | 32,963 | |
100,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 1.375%, 9/15/2030 | 95,193 | |
90,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 3.600%, 8/19/2049 | 98,948 | |
115,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 3.951%, 10/15/2050 | 128,479 | |
200,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 348,751 | |
90,000 | Travelers Cos., Inc., Sr. Unsecd. Note, 2.550%, 4/27/2050 | 87,115 | |
TOTAL | 791,449 | ||
Financial Institution - REIT - Apartment—0.4% | |||
250,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 274,482 |
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Apartment—continued | |||
$ 95,000 | Camden Property Trust, Sr. Unsecd. Note, 2.800%, 5/15/2030 | $100,835 | |
250,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | 277,887 | |
200,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 218,777 | |
TOTAL | 871,981 | ||
Financial Institution - REIT - Healthcare—0.3% | |||
150,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 145,110 | |
200,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 219,849 | |
100,000 | Welltower, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2031 | 103,431 | |
150,000 | Welltower, Inc., Sr. Unsecd. Note, 4.250%, 4/1/2026 | 169,378 | |
TOTAL | 637,768 | ||
Financial Institution - REIT - Office—0.4% | |||
130,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 1.875%, 2/1/2033 | 123,119 | |
625,000 | Boston Properties LP, Sr. Unsecd. Note, 3.650%, 2/1/2026 | 689,357 | |
TOTAL | 812,476 | ||
Financial Institution - REIT - Other—0.1% | |||
50,000 | WP Carey, Inc., Sr. Unsecd. Note, 2.400%, 2/1/2031 | 49,837 | |
120,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | 133,011 | |
100,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 109,282 | |
TOTAL | 292,130 | ||
Financial Institution - REIT - Retail—0.1% | |||
250,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 281,139 | |
Technology—1.2% | |||
150,000 | Apple, Inc., Sr. Unsecd. Note, 2.375%, 2/8/2041 | 145,714 | |
118,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 132,862 | |
100,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 112,252 | |
75,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.419%, 4/15/2033 | 78,849 | |
60,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2051 | 62,733 | |
175,000 | Dell International LLC / EMC Corp., 5.850%, 7/15/2025 | 205,469 | |
100,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 105,344 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 227,157 | |
185,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 203,746 | |
80,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023 | 85,653 | |
120,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029 | 126,989 | |
100,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 116,208 | |
200,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.975%, 2/6/2026 | 230,092 | |
200,000 | Microsoft Corp., Sr. Unsecd. Note, 3.125%, 11/3/2025 | 218,315 | |
200,000 | Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050 | 205,704 | |
100,000 | Oracle Corp., Sr. Unsecd. Note, 3.650%, 3/25/2041 | 106,202 | |
100,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 113,560 | |
25,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 5.500%, 6/15/2045 | 33,681 | |
85,000 | Vontier Corp., Sr. Unsecd. Note, 144A, 1.800%, 4/1/2026 | 84,635 | |
TOTAL | 2,595,165 | ||
Technology Services—0.1% | |||
100,000 | Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026 | 99,133 | |
60,000 | Global Payments, Inc., Sr. Unsecd. Note, 1.200%, 3/1/2026 | 59,475 | |
45,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.900%, 5/15/2030 | 46,943 | |
80,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 81,375 | |
TOTAL | 286,926 | ||
Transportation - Airlines—0.2% | |||
40,000 | Southwest Airlines Co., Sr. Unsecd. Note, 4.750%, 5/4/2023 | 42,923 |
Shares or Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Transportation - Airlines—continued | |||
$ 100,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.125%, 6/15/2027 | $117,713 | |
130,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | 148,405 | |
TOTAL | 309,041 | ||
Transportation - Railroads—0.2% | |||
75,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 3.000%, 4/1/2025 | 80,843 | |
210,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.500%, 5/1/2050 | 221,951 | |
100,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 103,450 | |
TOTAL | 406,244 | ||
Transportation - Services—0.4% | |||
65,000 | FedEx Corp., Sr. Unsecd. Note, 3.250%, 5/15/2041 | 66,932 | |
100,000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | 115,061 | |
80,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 144A, 1.650%, 7/15/2026 | 79,697 | |
80,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 144A, 2.650%, 7/15/2031 | 79,458 | |
200,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 2.700%, 3/14/2023 | 206,588 | |
200,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.400%, 3/1/2023 | 209,059 | |
TOTAL | 756,795 | ||
Utility - Electric—1.5% | |||
165,000 | Ameren Corp., Sr. Unsecd. Note, 1.750%, 3/15/2028 | 163,427 | |
100,000 | Berkshire Hathaway Energy Co., Sr. Unsecd. Note, 3.750%, 11/15/2023 | 106,897 | |
100,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 101,962 | |
65,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 68,961 | |
200,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026 | 211,278 | |
125,000 | Duke Energy Corp., Sr. Unsecd. Note, 3.750%, 9/1/2046 | 133,916 | |
125,000 | Emera US Finance LP, Sr. Unsecd. Note, 3.550%, 6/15/2026 | 136,678 | |
125,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 148,716 | |
200,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.625%, 9/14/2025 | 226,928 | |
100,000 | Enel Finance International SA, Company Guarantee, 144A, 6.000%, 10/7/2039 | 140,305 | |
175,000 | EverSource Energy, Sr. Unsecd. Note, Series N, 3.800%, 12/1/2023 | 187,928 | |
100,000 | Exelon Corp., Sr. Unsecd. Note, 4.700%, 4/15/2050 | 126,602 | |
100,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 117,685 | |
93,000 | Fortis, Inc. / Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 99,858 | |
190,000 | Kansas City Power and Light Co., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 229,877 | |
50,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 54,220 | |
200,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.250%, 6/1/2030 | 201,729 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 78,040 | |
300,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 3.100%, 5/15/2026 | 322,940 | |
125,000 | Puget Energy, Inc., Sec. Fac. Bond, 144A, 2.379%, 6/15/2028 | 126,476 | |
225,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 238,500 | |
TOTAL | 3,222,923 | ||
Utility - Natural Gas—0.4% | |||
225,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | 290,658 | |
40,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 40,308 | |
145,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 167,955 | |
120,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 148,692 | |
190,000 | TransCanada PipeLines Ltd., Sr. Secd. Note, 5.100%, 3/15/2049 | 249,781 | |
TOTAL | 897,394 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $36,500,287) | 39,803,432 |
Shares or Principal Amount | Value | ||
U.S. TREASURIES—13.8% | |||
Treasury Inflation-Indexed Note—1.6% | |||
$ 931,506 | U.S. Treasury Inflation-Protected Note, 0.125%, 4/15/2026 | $1,013,592 | |
1,128,160 | U.S. Treasury Inflation-Protected Note, 0.125%, 1/15/2031 | 1,241,325 | |
1,038,450 | U.S. Treasury Inflation-Protected Note, 0.250%, 2/15/2050 | 1,170,162 | |
11,268 | U.S. Treasury Inflation-Protected Note, 1.000%, 2/15/2046 | 14,653 | |
TOTAL | 3,439,732 | ||
U.S. Treasury Bond—1.5% | |||
150,000 | United States Treasury Bond, 1.375%, 11/15/2040 | 134,556 | |
760,000 | United States Treasury Bond, 1.625%, 11/15/2050 | 680,762 | |
20,000 | United States Treasury Bond, 2.750%, 11/15/2047 | 22,712 | |
1,000 | United States Treasury Bond, 3.000%, 11/15/2044 | 1,175 | |
900,000 | United States Treasury Bond, 3.000%, 2/15/2049 | 1,075,018 | |
1,100,000 | United States Treasury Bond, 3.125%, 5/15/2048 | 1,338,660 | |
TOTAL | 3,252,883 | ||
U.S. Treasury Note—10.7% | |||
1,350,000 | United States Treasury Note, 0.125%, 11/30/2022 | 1,349,299 | |
2,000,000 | United States Treasury Note, 0.125%, 4/30/2023 | 1,996,413 | |
1,000,000 | United States Treasury Note, 0.125%, 6/30/2023 | 997,539 | |
4,000,000 | United States Treasury Note, 0.250%, 5/15/2024 | 3,978,125 | |
5,700,000 | United States Treasury Note, 0.500%, 3/15/2023 | 5,728,885 | |
900,000 | United States Treasury Note, 0.625%, 8/15/2030 | 838,313 | |
400,000 | United States Treasury Note, 0.875%, 11/15/2030 | 380,291 | |
2,500,000 | United States Treasury Note, 1.500%, 9/15/2022 | 2,541,314 | |
900,000 | United States Treasury Note, 1.750%, 12/31/2024 | 936,395 | |
2,400,000 | United States Treasury Note, 1.750%, 11/15/2029 | 2,476,555 | |
900,000 | United States Treasury Note, 2.125%, 11/30/2024 | 947,892 | |
50,000 | United States Treasury Note, 2.250%, 11/15/2027 | 53,474 | |
40,000 | United States Treasury Note, 2.875%, 5/31/2025 | 43,422 | |
300,000 | United States Treasury Note, 2.875%, 5/15/2028 | 333,222 | |
TOTAL | 22,601,139 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $28,810,003) | 29,293,754 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—0.6% | |||
Agency Commercial Mortgage-Backed Securities—0.3% | |||
233,159 | FHLMC REMIC, Series K105, Class A1, 1.536%, 3/25/2053 | 234,936 | |
290,000 | FREMF Mortgage Trust 2015-K49 REMIC, Class B, 3.848%, 10/25/2048 | 314,738 | |
TOTAL | 549,674 | ||
Commercial Mortgage—0.3% | |||
85,000 | Bank, Class A4, 3.488%, 11/15/2050 | 94,267 | |
200,000 | Benchmark Mortgage Trust 2020-B19, Class A5, 1.850%, 9/15/2053 | 197,738 | |
50,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | 53,463 | |
200,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 210,313 | |
100,000 | JPMDB Commercial Mortgage Securities Trust 2016-C4, Class A3, 3.141%, 12/15/2049 | 108,354 | |
TOTAL | 664,135 | ||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $1,166,960) | 1,213,809 | ||
FOREIGN GOVERNMENTS/AGENCIES—0.3% | |||
Sovereign—0.3% | |||
200,000 | Colombia, Government of, Sr. Unsecd. Note, 4.500%, 3/15/2029 | 217,980 | |
200,000 | Mexico, Government of, 3.750%, 1/11/2028 | 217,738 |
Shares or Principal Amount | Value | ||
FOREIGN GOVERNMENTS/AGENCIES—continued | |||
Sovereign—continued | |||
$ 100,000 | Poland, Government of, 4.000%, 1/22/2024 | $108,836 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $513,250) | 544,554 | ||
MORTGAGE-BACKED SECURITIES—0.0% | |||
Government National Mortgage Association—0.0% | |||
4,838 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 5,503 | |
2,889 | Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031 | 3,326 | |
8,250 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 9,482 | |
9,467 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 10,933 | |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $25,427) | 29,244 | ||
ADJUSTABLE RATE MORTGAGE—0.0% | |||
Federal National Mortgage Association—0.0% | |||
2,363 | 3 | Federal National Mortgage Association ARM, 2.323%, 9/1/2037 (IDENTIFIED COST $2,380) | 2,495 |
INVESTMENT COMPANIES—18.6% | |||
470,084 | Bank Loan Core Fund | 4,555,117 | |
358,432 | Emerging Markets Core Fund | 3,681,097 | |
1,088,958 | Federated Hermes High Income Bond Fund II, Class P | 6,882,216 | |
1,055 | Federated Hermes Short-Intermediate Government Fund, Institutional Shares | 11,759 | |
2,109,946 | Mortgage Core Fund | 20,867,364 | |
381,209 | Project and Trade Finance Core Fund | 3,381,320 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $36,445,822) | 39,378,873 | ||
REPURCHASE AGREEMENT—5.6% | |||
$11,854,000 | Interest in $2,496,000,000 joint repurchase agreement 0.06%, dated 6/30/2021 under which Bank of America, N.A. will repurchase securities provided as collateral for $2,496,003,813 on 7/1/2021. 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 8/20/2050 and the market value of those underlying securities was $2,545,923,890. (IDENTIFIED COST $11,854,000) | 11,854,000 | |
TOTAL INVESTMENT IN SECURITIES—98.8% (IDENTIFIED COST $179,867,777)4 | 208,969,602 | ||
OTHER ASSETS AND LIABILITIES - NET—1.2%5 | 2,577,723 | ||
TOTAL NET ASSETS—100% | $211,547,325 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
1S&P 500 E-Mini Long Futures | 426 | $91,347,180 | September 2021 | $1,693,201 |
1United States Treasury Notes 2-Year Long Futures | 35 | $7,711,211 | September 2021 | $(10,973) |
1United States Treasury Notes 5-Year Long Futures | 33 | $4,073,180 | September 2021 | $(7,035) |
Short Futures: | ||||
1United States Treasury Notes 10-Year Short Futures | 262 | $34,715,000 | September 2021 | $(150,528) |
1United States Treasury Notes 10-Year Ultra Short Futures | 12 | $1,766,437 | September 2021 | $(29,441) |
1United States Treasury Ultra Bond Short Futures | 9 | $1,734,188 | September 2021 | $(9,927) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $1,485,297 |
Value as of 12/31/2020 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 6/30/2021 | Shares Held as of 6/30/2021 | Dividend Income | |
Affiliated Issuers no longer in the portfolio at period end | $440,720 | $119,835 | $(375,176) | $(188,150) | $2,771 | $— | — | $— |
TOTAL OF AFFILIATED COMPANIES TRANSACTIONS | $440,720 | $119,835 | $(375,176) | $(188,150) | $2,771 | $— | — | $— |
Affiliates | Value as of 12/31/2020 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 6/30/2021 | Shares Held as of 6/30/2021 | Dividend Income |
Bank Loan Core Fund | $10,204,299 | $3,229,603 | $(9,000,000) | $305,086 | $(183,871) | $4,555,117 | 470,084 | $229,587 |
Emerging Markets Core Fund | $13,049,717 | $351,231 | $(9,500,000) | $(688,537) | $468,686 | $3,681,097 | 358,432 | $351,172 |
Federated Hermes High Income Bond Fund II, Class P | $22,114,880 | $1,094,705 | $(16,000,000) | $(709,983) | $382,614 | $6,882,216 | 1,088,958 | $1,094,704 |
Federated Hermes Short-Intermediate Government Fund, Institutional Shares | $11,925 | $55 | $— | $(221) | $— | $11,759 | 1,055 | $56 |
Mortgage Core Fund | $74,360,167 | $865,562 | $(53,000,000) | $(2,845,663) | $1,487,298 | $20,867,364 | 2,109,946 | $865,533 |
Project and Trade Finance Core Fund | $10,223,086 | $111,626 | $(7,000,000) | $204,443 | $(157,835) | $3,381,320 | 381,209 | $111,622 |
TOTAL OF AFFILIATED TRANSACTIONS | $129,964,074 | $5,652,782 | $(94,500,000) | $(3,734,875) | $1,996,892 | $39,378,873 | 4,409,684 | $2,652,674 |
1 | Non-income-producing security. |
2 | Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund’s Board of Trustees (the “Trustees”). |
3 | 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. |
4 | The cost of investments for federal tax purposes amounts to $179,857,787. |
5 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of June 30, 2021, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | $78,317,329 | $— | $2,766,091 | $81,083,420 |
International | 5,766,021 | — | — | 5,766,021 |
Debt Securities: | ||||
Corporate Bonds | — | 39,803,432 | — | 39,803,432 |
U.S. Treasuries | — | 29,293,754 | — | 29,293,754 |
Commercial Mortgage-Backed Securities | — | 1,213,809 | — | 1,213,809 |
Foreign Governments/Agencies | — | 544,554 | — | 544,554 |
Mortgage-Backed Securities | — | 29,244 | — | 29,244 |
Adjustable Rate Mortgage | — | 2,495 | — | 2,495 |
Investment Companies1 | 35,997,553 | — | — | 39,378,873 |
Repurchase Agreement | — | 11,854,000 | — | 11,854,000 |
TOTAL SECURITIES | $120,080,903 | $82,741,288 | $2,766,091 | $208,969,602 |
Other Financial Instruments:2 | ||||
Assets | $1,693,201 | $— | $— | $1,693,201 |
Liabilities | (207,904) | — | — | (207,904) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $1,485,297 | $— | $— | $1,485,297 |
1 | As permitted by U.S. generally accepted accounting principles (GAAP), an Investment Company valued at $3,381,320 is measured at fair value using the net asset value (NAV) per share practical expedient and has not been categorized in the chart above but is included in the Total column. The amount included herein is intended to permit reconciliation of the fair value classifications to the amounts presented on the Statement of Assets and Liabilities. 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 | |
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 |
Six Months Ended (unaudited) 6/30/2021 | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $11.09 | $11.30 | $9.60 | $10.80 | $9.52 | $9.29 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.09 | 0.19 | 0.24 | 0.23 | 0.29 | 0.34 |
Net realized and unrealized gain (loss) | 1.08 | (0.13) | 1.68 | (1.13) | 1.39 | 0.34 |
Total From Investment Operations | 1.17 | 0.06 | 1.92 | (0.90) | 1.68 | 0.68 |
Less Distributions: | ||||||
Distributions from net investment income | (0.21) | (0.27) | (0.22) | (0.30) | (0.40) | (0.45) |
Net Asset Value, End of Period | $12.05 | $11.09 | $11.30 | $9.60 | $10.80 | $9.52 |
Total Return2 | 10.70% | 0.93% | 20.23% | (8.49)% | 18.11% | 7.69% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.91%4 | 0.92% | 0.91% | 0.89% | 0.83% | 0.79%5 |
Net investment income | 1.61%4 | 1.82% | 2.28% | 2.26% | 2.91% | 3.72% |
Expense waiver/reimbursement6 | 0.02%4 | 0.01% | 0.02% | 0.03% | 0.09% | 0.14% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $209,950 | $586,281 | $651,498 | $632,957 | $621,804 | $563,745 |
Portfolio turnover | 31% | 61% | 47% | 96% | 71% | 90% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratio was 0.79% for the year ended December 31, 2016, after taking into account these expense reductions. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 6/30/2021 | Year Ended December 31, | Period Ended 12/31/20181 | ||
2020 | 2019 | |||
Net Asset Value, Beginning of Period | $11.09 | $11.27 | $9.59 | $10.08 |
Income From Investment Operations: | ||||
Net investment income (loss)2 | 0.08 | 0.16 | 0.21 | 0.13 |
Net realized and unrealized gain (loss) | 1.08 | (0.12) | 1.68 | (0.62) |
Total From Investment Operations | 1.16 | 0.04 | 1.89 | (0.49) |
Less Distributions: | ||||
Distributions from net investment income | (0.19) | (0.22) | (0.21) | — |
Net Asset Value, End of Period | $12.06 | $11.09 | $11.27 | $9.59 |
Total Return3 | 10.55% | 0.71% | 19.92% | (4.86)% |
Ratios to Average Net Assets: | ||||
Net expenses4 | 1.16%5 | 1.17% | 1.16% | 1.15%5 |
Net investment income | 1.36%5 | 1.57% | 2.03% | 1.91%5 |
Expense waiver/reimbursement6 | 0.02%5 | 0.01% | 0.02% | 0.02%5 |
Supplemental Data: | ||||
Net assets, end of period (000 omitted) | $1,597 | $39,680 | $44,161 | $44,037 |
Portfolio turnover | 31% | 61% | 47% | 96%7 |
1 | Reflects operations for the period from April 26, 2018 (date of initial investment) to December 31, 2018. |
2 | Per share numbers have been calculated using the average shares method. |
3 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
7 | Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended December 31, 2018. |
Assets: | |
Investment in securities, at value including $39,378,873 of investment in affiliated holdings* (identified cost $179,867,777) | $208,969,602 |
Due from broker (Note 2) | 2,000 |
Income receivable | 570,257 |
Income receivable from affiliated holdings | 232,698 |
Receivable for investments sold | 268,091 |
Receivable for shares sold | 6,580 |
Receivable for variation margin on futures contracts | 5,215,448 |
Total Assets | 215,264,676 |
Liabilities: | |
Payable for investments purchased | 3,512,463 |
Payable for shares redeemed | 28,125 |
Payable to bank | 23,516 |
Payable for investment adviser fee (Note 5) | 3,351 |
Payable for administrative fee (Note 5) | 796 |
Payable for distribution services fee (Note 5) | 7,339 |
Accrued expenses (Note 5) | 141,761 |
Total Liabilities | 3,717,351 |
Net assets for 17,561,552 shares outstanding | $211,547,325 |
Net Assets Consist of: | |
Paid-in capital | $122,519,637 |
Total distributable earnings (loss) | 89,027,688 |
Total Net Assets | $211,547,325 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Primary Shares: | |
$209,949,851 ÷ 17,429,043 shares outstanding, no par value, unlimited shares authorized | $12.05 |
Service Shares: | |
$1,597,474 ÷ 132,509 shares outstanding, no par value, unlimited shares authorized | $12.06 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Dividends (including $2,652,674 received from affiliated holdings* and net of foreign taxes withheld of $1,609) | $5,017,980 |
Interest | 2,762,486 |
TOTAL INCOME | 7,780,466 |
Expenses: | |
Investment adviser fee (Note 5) | 2,320,701 |
Administrative fee (Note 5) | 308,976 |
Custodian fees | 24,139 |
Transfer agent fees | 22,267 |
Directors’/Trustees’ fees (Note 5) | 2,117 |
Auditing fees | 16,285 |
Legal fees | 8,040 |
Portfolio accounting fees | 93,533 |
Distribution services fee (Note 5) | 48,439 |
Printing and postage | 57,012 |
Miscellaneous (Note 5) | 19,201 |
TOTAL EXPENSES | 2,920,710 |
Reimbursement of investment adviser fee (Note 5) | (64,812) |
Net expenses | 2,855,898 |
Net investment income | 4,924,568 |
Realized and Unrealized Gain (Loss) on Investments, Foreign Currency Transactions, Foreign Exchange Contracts, Futures Contracts and Written Options: | |
Net realized gain on investments (including net realized gain of $1,999,663 on sales of investments in affiliated companies and holdings*) | 97,536,963 |
Net realized loss on foreign currency transactions | (12,724) |
Net realized gain on foreign exchange contracts | 3,168 |
Net realized gain on futures contracts | 15,160,907 |
Net realized loss on written options | (377,687) |
Net change in unrealized appreciation of investments (including net change in unrealized appreciation of $(3,923,025) of investments in affiliated companies and holdings*) | (53,259,260) |
Net change in unrealized appreciation of translation of assets and liabilities in foreign currency | (467) |
Net change in unrealized appreciation of futures contracts | (1,423,757) |
Net realized and unrealized gain (loss) on investments, foreign currency transactions, foreign exchange contracts, futures contracts and written options | 57,627,143 |
Change in net assets resulting from operations | $62,551,711 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 6/30/2021 | Year Ended 12/31/2020 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $4,924,568 | $11,152,803 |
Net realized gain (loss) | 112,310,627 | (23,999,039) |
Net change in unrealized appreciation/depreciation | (54,683,484) | 14,979,672 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 62,551,711 | 2,133,436 |
Distributions to Shareholders: | ||
Primary Shares | (10,815,186) | (14,937,718) |
Service Shares | (645,526) | (827,265) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (11,460,712) | (15,764,983) |
Share Transactions: | ||
Proceeds from sale of shares | 5,852,230 | 29,845,467 |
Net asset value of shares issued to shareholders in payment of distributions declared | 11,460,710 | 15,764,983 |
Cost of shares redeemed | (482,817,862) | (101,676,772) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (465,504,922) | (56,066,322) |
Change in net assets | (414,413,923) | (69,697,869) |
Net Assets: | ||
Beginning of period | 625,961,248 | 695,659,117 |
End of period | $211,547,325 | $625,961,248 |
Fair Value of Derivative Instruments | ||
Assets | ||
Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||
Interest rate contracts | Receivable for variation margin on futures contracts | $1(207,904) |
Equity contracts | Receivable for variation margin on futures contracts | $11,693,201 |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $1,485,297 |
1 | Includes net cumulative appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||
Futures Contracts | Foreign Exchange Contracts | Purchased Options Contracts1 | Written Options Contracts | Total | |
Interest rate contracts | $(118,746) | $— | $— | $— | $(118,746) |
Equity contracts | 15,279,653 | — | 1,041,149 | (377,687) | 15,943,115 |
Foreign exchange contracts | — | 3,168 | — | — | 3,168 |
TOTAL | $15,160,907 | $3,168 | $1,041,149 | $(377,687) | $15,827,537 |
1 | The net realized gain on Purchased Option Contracts is found within the Net realized gain on investments on the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(163,245) |
Equity contracts | (1,260,512) |
TOTAL | $(1,423,757) |
Six Months Ended 6/30/2021 | Year Ended 12/31/2020 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 485,298 | $5,636,804 | 2,708,594 | $27,733,700 |
Shares issued to shareholders in payment of distributions declared | 954,562 | 10,815,186 | 1,577,373 | 14,937,718 |
Shares redeemed | (36,898,354) | (440,659,030) | (9,062,173) | (95,024,537) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (35,458,494) | $(424,207,040) | (4,776,206) | $(52,353,119) |
Six Months Ended 6/30/2021 | Year Ended 12/31/2020 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 18,241 | $215,426 | 209,920 | $2,111,767 |
Shares issued to shareholders in payment of distributions declared | 56,874 | 645,524 | 87,172 | 827,265 |
Shares redeemed | (3,521,249) | (42,158,832) | (635,596) | (6,652,235) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (3,446,134) | $(41,297,882) | (338,504) | $(3,713,203) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (38,904,628) | $(465,504,922) | (5,114,710) | $(56,066,322) |
Short-Term | Long-Term | Total |
$14,831,773 | $34,386,578 | $49,218,351 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Distribution Services Fees Incurred | |
Service Shares | $48,439 |
Purchases | $144,635,169 |
Sales | $563,865,248 |
Beginning Account Value 1/1/2021 | Ending Account Value 6/30/2021 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,107.00 | $4.75 |
Service Shares | $1,000 | $1,105.50 | $6.06 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,020.28 | $4.56 |
Service Shares | $1,000 | $1,019.04 | $5.81 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 0.91% |
Service Shares | 1.16% |
Annual Evaluation of Adequacy and Effectiveness
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916744
Share Class | Primary | Service |
Federated Hermes Quality Bond Fund II
A Portfolio of Federated Hermes Insurance Series
Security Type | Percentage of Total Net Assets |
Corporate Bonds | 96.9% |
U.S. Treasuries | 0.5% |
Mortgage-Backed Securities2,3 | 0.0% |
Securities Lending Collateral4 | 1.3% |
Cash Equivalents5 | 2.1% |
Derivative Contracts6 | (0.1)% |
Other Assets and Liabilities—Net7 | (0.7)% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of these security types. |
2 | For purposes of this table, mortgage-backed securities include mortgage-backed securities guaranteed by Government Sponsored Entities. |
3 | Represents less than 0.1%. |
4 | Represents cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds, other money market instruments and/or repurchase agreements. |
5 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those representing cash collateral for securities lending. |
6 | Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts may consist of futures, forwards, options and swaps. The impact of a derivative contract on the Fund’s performance may be larger than its unrealized appreciation (depreciation) or value may indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract’s significance to the portfolio. More complete information regarding the Fund’s direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report. |
7 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount | Value | ||
CORPORATE BONDS—96.9% | |||
Basic Industry - Chemicals—0.6% | |||
$ 640,000 | FMC Corp., Sr. Unsecd. Note, 3.950%, 2/1/2022 | $647,375 | |
500,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | 574,360 | |
TOTAL | 1,221,735 | ||
Basic Industry - Metals & Mining—1.5% | |||
350,000 | 1 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.250%, 3/17/2028 | 354,318 |
400,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031 | 409,541 | |
230,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 240,466 | |
350,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 351,434 | |
150,000 | 1 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 2.850%, 4/27/2031 | 152,701 |
1,000,000 | 1 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 1,059,337 |
320,000 | Southern Copper Corp., Sr. Unsecd. Note, 3.500%, 11/8/2022 | 331,968 | |
TOTAL | 2,899,765 | ||
Capital Goods - Aerospace & Defense—3.7% | |||
600,000 | Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027 | 645,534 | |
280,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 309,444 | |
200,000 | BAE Systems PLC, Sr. Unsecd. Note, 144A, 3.400%, 4/15/2030 | 217,587 | |
450,000 | Boeing Co., Sr. Unsecd. Note, 1.875%, 6/15/2023 | 458,558 | |
600,000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | 620,752 | |
584,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 598,582 | |
519,000 | 1 | Embraer Overseas Ltd., Sr. Unsecd. Note, 144A, 5.696%, 9/16/2023 | 555,019 |
275,000 | General Dynamics Corp., Sr. Unsecd. Note, 3.250%, 4/1/2025 | 298,157 | |
410,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 448,552 | |
145,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, Series WI, 3.844%, 5/1/2025 | 158,194 | |
600,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 2.300%, 2/15/2031 | 586,920 | |
335,000 | Leidos, Inc., Sr. Unsecd. Note, 144A, 3.625%, 5/15/2025 | 365,720 | |
320,000 | Raytheon Technologies Corp., Sr. Unsecd. Note, 3.100%, 11/15/2021 | 321,070 | |
800,000 | Raytheon Technologies Corp., Sr. Unsecd. Note, 4.125%, 11/16/2028 | 921,079 | |
460,000 | 2 | Textron Financial Corp., Jr. Sub. Note, 144A, 1.890% (3-month USLIBOR +1.735%), 2/15/2042 | 392,150 |
295,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 319,207 | |
TOTAL | 7,216,525 | ||
Capital Goods - Building Materials—1.1% | |||
165,000 | 1 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 179,578 |
800,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 851,474 | |
340,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.700%, 2/15/2031 | 350,641 | |
200,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.722%, 2/15/2030 | 207,526 | |
300,000 | Masco Corp., Sr. Unsecd. Note, 2.000%, 10/1/2030 | 293,021 | |
300,000 | Masco Corp., Sr. Unsecd. Note, 3.500%, 11/15/2027 | 329,710 | |
TOTAL | 2,211,950 | ||
Capital Goods - Construction Machinery—1.8% | |||
600,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.450%, 7/15/2026 | 596,513 | |
250,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.875%, 1/15/2026 | 254,528 | |
195,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.950%, 7/2/2023 | 199,967 | |
500,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 4.375%, 4/5/2022 | 514,486 | |
595,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 660,095 | |
750,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 0.450%, 6/7/2024 | 747,977 | |
510,000 | Weir Group PLC/The, Sr. Unsecd. Note, 144A, 2.200%, 5/13/2026 | 512,544 | |
TOTAL | 3,486,110 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Capital Goods - Diversified Manufacturing—3.3% | |||
$ 750,000 | CK Hutchison Holdings Ltd., Sr. Unsecd. Note, 144A, 2.750%, 3/29/2023 | $777,790 | |
205,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 208,893 | |
400,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.950%, 6/1/2030 | 407,018 | |
555,000 | Hubbell, Inc., Sr. Unsecd. Note, 2.300%, 3/15/2031 | 557,008 | |
585,000 | Lennox International, Inc., Sr. Unsecd. Note, 1.700%, 8/1/2027 | 585,427 | |
1,000,000 | Lennox International, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2023 | 1,048,969 | |
210,000 | Otis Worldwide Corp., Sr. Unsecd. Note, Series WI, 2.565%, 2/15/2030 | 217,661 | |
430,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.000%, 6/30/2030 | 424,077 | |
250,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.650%, 9/15/2023 | 267,137 | |
875,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.800%, 12/15/2026 | 978,236 | |
235,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 250,114 | |
400,000 | Xylem, Inc., Sr. Unsecd. Note, 1.950%, 1/30/2028 | 404,417 | |
250,000 | 1 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 252,121 |
TOTAL | 6,378,868 | ||
Capital Goods - Packaging—0.3% | |||
500,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 3.750%, 3/15/2025 | 546,015 | |
Communications - Cable & Satellite—2.2% | |||
1,000,000 | CCO Safari II LLC, 4.908%, 7/23/2025 | 1,133,556 | |
550,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 2.800%, 4/1/2031 | 562,915 | |
900,000 | Comcast Corp., Sr. Unsecd. Note, 2.350%, 1/15/2027 | 944,823 | |
300,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 330,046 | |
750,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 840,824 | |
400,000 | Time Warner Cable, Inc., Sr. Unsecd. Note, 8.375%, 3/15/2023 | 452,209 | |
TOTAL | 4,264,373 | ||
Communications - Media & Entertainment—1.4% | |||
300,000 | British Sky Broadcasting Group PLC, 144A, 3.750%, 9/16/2024 | 328,055 | |
132,000 | Discovery Communications LLC, Sr. Unsecd. Note, 2.950%, 3/20/2023 | 137,405 | |
500,000 | 1 | Fox Corp, Sr. Unsecd. Note, 3.500%, 4/8/2030 | 551,842 |
500,000 | 1 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.450%, 4/30/2030 | 508,792 |
750,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 3.700%, 8/15/2024 | 810,524 | |
310,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.950%, 1/15/2031 | 374,027 | |
TOTAL | 2,710,645 | ||
Communications - Telecom Wireless—1.8% | |||
600,000 | American Tower Corp., Sr. Unsecd. Note, 3.500%, 1/31/2023 | 628,754 | |
300,000 | Crown Castle International Corp., 3.150%, 7/15/2023 | 315,111 | |
500,000 | Crown Castle International Corp., Sr. Unsecd. Note, 1.050%, 7/15/2026 | 488,798 | |
180,000 | Crown Castle International Corp., Sr. Unsecd. Note, 2.250%, 1/15/2031 | 177,860 | |
250,000 | Crown Castle International Corp., Sr. Unsecd. Note, 3.300%, 7/1/2030 | 268,216 | |
200,000 | Crown Castle International Corp., Sr. Unsecd. Note, 4.450%, 2/15/2026 | 226,208 | |
450,000 | T-Mobile USA, Inc., Series WI, 3.750%, 4/15/2027 | 498,323 | |
450,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 3.875%, 4/15/2030 | 504,563 | |
395,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 441,242 | |
TOTAL | 3,549,075 | ||
Communications - Telecom Wirelines—2.5% | |||
450,000 | AT&T, Inc., Sr. Unsecd. Note, 3.400%, 5/15/2025 | 490,350 | |
877,000 | AT&T, Inc., Sr. Unsecd. Note, 144A, 2.550%, 12/1/2033 | 869,735 | |
300,000 | AT&T, Inc., Sr. Unsecd. Note, 2.300%, 6/1/2027 | 310,540 | |
250,000 | AT&T, Inc., Sr. Unsecd. Note, 2.750%, 6/1/2031 | 260,131 | |
250,000 | Telefonica SA, Company Guarantee, 7.045%, 6/20/2036 | 360,466 | |
300,000 | 1 | Verizon Communications, Inc., Sr. Unsecd. Note, 0.850%, 11/20/2025 | 296,876 |
800,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 1.750%, 1/20/2031 | 767,239 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Communications - Telecom Wirelines—continued | |||
$ 110,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 2.550%, 3/21/2031 | $112,518 | |
175,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.150%, 3/22/2030 | 189,111 | |
1,100,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.150%, 3/15/2024 | 1,197,486 | |
TOTAL | 4,854,452 | ||
Consumer Cyclical - Automotive—4.1% | |||
1,000,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 3.250%, 8/1/2024 | 1,068,910 | |
250,000 | 1 | Ford Motor Co., Sr. Unsecd. Note, 4.346%, 12/8/2026 | 268,127 |
920,000 | General Motors Co., Sr. Unsecd. Note, 4.000%, 4/1/2025 | 1,006,539 | |
250,000 | General Motors Co., Sr. Unsecd. Note, 6.125%, 10/1/2025 | 296,125 | |
500,000 | General Motors Financial Co., Inc., 1.250%, 1/8/2026 | 496,927 | |
500,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028 | 507,934 | |
300,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.000%, 10/6/2026 | 331,427 | |
580,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 1.300%, 1/8/2026 | 573,881 | |
355,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | 364,535 | |
1,025,000 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 2.650%, 7/13/2022 | 1,042,142 | |
500,000 | Stellantis N.V., Sr. Unsecd. Note, 5.250%, 4/15/2023 | 539,765 | |
650,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 0.875%, 11/22/2023 | 651,985 | |
500,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 1.250%, 11/24/2025 | 497,353 | |
300,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.250%, 11/13/2023 | 324,387 | |
TOTAL | 7,970,037 | ||
Consumer Cyclical - Retailers—3.6% | |||
1,000,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 1,117,344 | |
470,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 2.950%, 1/25/2030 | 488,508 | |
665,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 787,374 | |
275,000 | Costco Wholesale Corp., Sr. Unsecd. Note, 1.375%, 6/20/2027 | 276,989 | |
250,000 | 1 | CVS Health Corp., Sr. Unsecd. Note, 1.300%, 8/21/2027 | 245,388 |
1,290,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 1,483,152 | |
200,000 | Dollar General Corp., Sr. Unsecd. Note, 4.150%, 11/1/2025 | 223,923 | |
250,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | 264,268 | |
500,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 4.000%, 5/15/2025 | 552,380 | |
500,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.125%, 9/15/2026 | 526,795 | |
320,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 1.750%, 3/15/2031 | 307,490 | |
120,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2030 | 138,375 | |
580,000 | Tractor Supply Co., Sr. Unsecd. Note, 1.750%, 11/1/2030 | 553,653 | |
TOTAL | 6,965,639 | ||
Consumer Cyclical - Services—2.2% | |||
200,000 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 2.125%, 2/9/2031 | 196,802 | |
500,000 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 3.400%, 12/6/2027 | 546,701 | |
170,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 187,938 | |
400,000 | Booking Holdings, Inc., Sr. Unsecd. Note, 4.625%, 4/13/2030 | 478,013 | |
750,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 841,247 | |
500,000 | Expedia Group, Inc., Sr. Unsecd. Note, Series WI, 2.950%, 3/15/2031 | 507,698 | |
325,000 | IHS Markit Ltd., Sr. Unsecd. Note, 4.125%, 8/1/2023 | 347,555 | |
135,000 | IHS Markit Ltd., Sr. Unsecd. Note, Series 5YR, 3.625%, 5/1/2024 | 145,162 | |
500,000 | Visa, Inc., Sr. Unsecd. Note, 2.800%, 12/14/2022 | 516,680 | |
530,000 | Visa, Inc., Sr. Unsecd. Note, 3.150%, 12/14/2025 | 580,149 | |
TOTAL | 4,347,945 | ||
Consumer Non-Cyclical - Food/Beverage—4.8% | |||
750,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029 | 894,223 | |
515,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 536,857 | |
750,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028 | 881,714 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Food/Beverage—continued | |||
$ 200,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | $200,554 | |
380,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 414,117 | |
500,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | 540,476 | |
161,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 4.500%, 1/25/2022 | 164,664 | |
915,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.230%, 10/1/2025 | 910,643 | |
85,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 3.200%, 5/1/2030 | 92,005 | |
176,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.057%, 5/25/2023 | 187,694 | |
450,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 505,084 | |
417,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.000%, 6/1/2026 | 444,295 | |
900,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, Series WI, 3.875%, 5/15/2027 | 989,557 | |
380,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 2.650%, 10/3/2021 | 381,954 | |
510,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 514,833 | |
240,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.350%, 2/1/2022 | 243,508 | |
60,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027 | 65,708 | |
200,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 2.375%, 3/15/2030 | 203,978 | |
450,000 | Sysco Corp., Sr. Unsecd. Note, 3.250%, 7/15/2027 | 487,665 | |
700,000 | Sysco Corp., Sr. Unsecd. Note, 3.300%, 7/15/2026 | 761,208 | |
TOTAL | 9,420,737 | ||
Consumer Non-Cyclical - Health Care—2.0% | |||
440,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 3.875%, 7/15/2023 | 467,240 | |
205,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.600%, 5/27/2030 | 209,584 | |
350,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 3.000%, 9/23/2029 | 368,926 | |
250,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.700%, 6/6/2027 | 277,940 | |
740,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 806,360 | |
160,000 | Dentsply Sirona, Inc., Sr. Unsecd. Note, 3.250%, 6/1/2030 | 171,315 | |
235,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 246,080 | |
470,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, Series 5YR, 2.200%, 11/15/2024 | 490,770 | |
330,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 2.550%, 3/15/2031 | 338,835 | |
450,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 487,753 | |
50,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 4.133%, 3/25/2025 | 55,464 | |
TOTAL | 3,920,267 | ||
Consumer Non-Cyclical - Pharmaceuticals—3.7% | |||
210,000 | 1 | Abbott Laboratories, Sr. Unsecd. Note, 3.400%, 11/30/2023 | 224,177 |
453,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 511,837 | |
455,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | 494,531 | |
300,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.600%, 5/14/2025 | 327,518 | |
67,000 | AbbVie, Inc., Sr. Unsecd. Note, 4.750%, 3/15/2045 | 84,375 | |
235,000 | AstraZeneca PLC, Sr. Unsecd. Note, 0.700%, 4/8/2026 | 228,979 | |
600,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027 | 652,578 | |
1,000,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 3.875%, 12/15/2023 | 1,071,395 | |
200,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.250%, 12/15/2025 | 223,058 | |
235,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 235,834 | |
600,000 | Biogen, Inc., Sr. Unsecd. Note, 4.050%, 9/15/2025 | 668,464 | |
152,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 5.000%, 8/15/2045 | 208,230 | |
220,000 | Gilead Sciences, Inc., Sr. Unsecd. Note, 3.650%, 3/1/2026 | 242,657 | |
670,000 | Regeneron Pharmaceuticals, Inc., Sr. Unsecd. Note, 1.750%, 9/15/2030 | 635,703 | |
240,000 | Royalty Pharma PLC, Sr. Unsecd. Note, 144A, 1.200%, 9/2/2025 | 238,025 | |
900,000 | Teva Pharmaceutical Finance Netherlands III BV, Sr. Unsecd. Note, 2.200%, 7/21/2021 | 899,865 | |
300,000 | Teva Pharmaceutical Finance Netherlands III BV, Sr. Unsecd. Note, 3.150%, 10/1/2026 | 285,750 | |
TOTAL | 7,232,976 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Supermarkets—0.5% | |||
$ 610,000 | Kroger Co., Bond, 6.900%, 4/15/2038 | $896,834 | |
Consumer Non-Cyclical - Tobacco—1.2% | |||
800,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.400%, 2/14/2026 | 905,590 | |
200,000 | Bat Capital Corp., Sr. Unsecd. Note, 3.215%, 9/6/2026 | 212,382 | |
290,000 | BAT International Finance PLC, Sr. Unsecd. Note, 144A, 3.950%, 6/15/2025 | 316,946 | |
300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 4.450%, 6/12/2025 | 332,469 | |
360,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 474,393 | |
TOTAL | 2,241,780 | ||
Energy - Independent—2.8% | |||
250,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.050%, 7/15/2025 | 257,065 | |
420,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.950%, 1/15/2023 | 435,199 | |
500,000 | Cimarex Energy Co., Sr. Unsecd. Note, 3.900%, 5/15/2027 | 551,726 | |
215,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 244,656 | |
250,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 6/1/2024 | 272,200 | |
700,000 | Hess Corp., Sr. Unsecd. Note, 4.300%, 4/1/2027 | 779,826 | |
475,000 | 1 | Marathon Oil Corp., Sr. Unsecd. Note, 3.850%, 6/1/2025 | 517,591 |
300,000 | Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027 | 340,123 | |
100,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 2.900%, 8/15/2024 | 102,375 | |
1,000,000 | 1 | Occidental Petroleum Corp., Sr. Unsecd. Note, 3.450%, 7/15/2024 | 1,023,975 |
325,000 | Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 1.125%, 1/15/2026 | 321,954 | |
550,000 | Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2031 | 539,710 | |
TOTAL | 5,386,400 | ||
Energy - Integrated—2.2% | |||
500,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.796%, 9/21/2025 | 554,379 | |
500,000 | BP Capital Markets PLC, Sr. Unsecd. Note, 3.994%, 9/26/2023 | 537,831 | |
500,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027 | 559,201 | |
500,000 | Chevron Corp., Sr. Unsecd. Note, 1.141%, 5/11/2023 | 507,607 | |
530,000 | CNPC Hong Kong Overseas Capital Ltd., Company Guarantee, 144A, 5.950%, 4/28/2041 | 735,386 | |
585,000 | Husky Energy, Inc., 4.000%, 4/15/2024 | 626,530 | |
240,000 | Husky Energy, Inc., Sr. Unsecd. Note, 4.400%, 4/15/2029 | 271,653 | |
175,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 4.875%, 1/18/2024 | 183,881 | |
325,000 | Shell International Finance B.V., Sr. Unsecd. Note, 2.875%, 5/10/2026 | 351,329 | |
TOTAL | 4,327,797 | ||
Energy - Midstream—2.9% | |||
265,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.400%, 2/15/2031 | 281,527 | |
500,000 | 1 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 576,129 |
205,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series A, 2.500%, 11/15/2024 | 215,581 | |
300,000 | Energy Transfer Operating, Sr. Unsecd. Note, 3.750%, 5/15/2030 | 326,174 | |
565,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 614,910 | |
470,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 5Y, 4.200%, 9/15/2023 | 503,092 | |
290,000 | MPLX LP, Sr. Unsecd. Note, 1.750%, 3/1/2026 | 293,291 | |
350,000 | MPLX LP, Sr. Unsecd. Note, 3.375%, 3/15/2023 | 366,073 | |
395,000 | MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027 | 441,694 | |
500,000 | MPLX LP, Sr. Unsecd. Note, Series WI, 3.500%, 12/1/2022 | 519,571 | |
345,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.000%, 7/13/2027 | 381,912 | |
600,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 662,596 | |
540,000 | Texas Eastern Transmission LP, Sr. Unsecd. Note, 144A, 2.800%, 10/15/2022 | 551,387 | |
TOTAL | 5,733,937 | ||
Energy - Oil Field Services—0.2% | |||
300,000 | Schlumberger Holdings Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/21/2025 | 333,175 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Energy - Refining—0.8% | |||
$ 600,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.700%, 5/1/2025 | $677,159 | |
185,000 | Phillips 66, Sr. Unsecd. Note, 1.300%, 2/15/2026 | 185,035 | |
215,000 | Valero Energy Corp., 7.500%, 4/15/2032 | 302,321 | |
335,000 | Valero Energy Corp., Sr. Unsecd. Note, 6.625%, 6/15/2037 | 459,780 | |
TOTAL | 1,624,295 | ||
Financial Institution - Banking—19.7% | |||
500,000 | American Express Co., Sr. Unsecd. Note, 3.000%, 10/30/2024 | 536,533 | |
935,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 1,018,054 | |
250,000 | Bank of America Corp., Sr. Unsecd. Note, 2.592%, 4/29/2031 | 257,915 | |
1,250,000 | Bank of America Corp., Sr. Unsecd. Note, 3.705%, 4/24/2028 | 1,382,996 | |
200,000 | Bank of America Corp., Sr. Unsecd. Note, Series GMTN, 2.816%, 7/21/2023 | 205,025 | |
250,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 0.981%, 9/25/2025 | 249,954 | |
750,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2,456%, 10/22/2025 | 785,061 | |
500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.248%, 10/21/2027 | 542,796 | |
500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 4.271%, 7/23/2029 | 574,851 | |
310,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.100%, 10/24/2024 | 324,995 | |
300,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.661%, 5/16/2023 | 306,139 | |
550,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.250%, 9/11/2024 | 594,949 | |
350,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.200%, 1/30/2023 | 364,508 | |
500,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 563,737 | |
800,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.572%, 6/3/2031 | 823,226 | |
250,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.876%, 7/24/2023 | 256,467 | |
1,730,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 1,889,894 | |
500,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.700%, 1/12/2026 | 553,337 | |
500,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.075%, 4/23/2029 | 567,633 | |
90,000 | Citizens Financial Group, Inc., Sr. Unsecd. Note, 2.500%, 2/6/2030 | 92,397 | |
660,000 | Citizens Financial Group, Inc., Sub. Note, 144A, 4.150%, 9/28/2022 | 686,539 | |
300,000 | Comerica, Inc., 3.800%, 7/22/2026 | 332,678 | |
500,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 551,187 | |
140,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 2.375%, 1/28/2025 | 146,863 | |
250,000 | Fifth Third Bank, Sr. Unsecd. Note, Series BKNT, 2.250%, 2/1/2027 | 262,270 | |
685,000 | FNB Corp., (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 696,099 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.992%, 1/27/2032 | 486,038 | |
1,250,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.500%, 11/16/2026 | 1,360,347 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 4.223%, 5/1/2029 | 570,632 | |
500,000 | Goldman Sachs Group, Inc., Sub. Note, 4.250%, 10/21/2025 | 559,332 | |
1,000,000 | HSBC USA, Inc., Sr. Unsecd. Note, 3.500%, 6/23/2024 | 1,083,814 | |
240,000 | 1 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 2.550%, 2/4/2030 | 250,138 |
1,000,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.045%, 11/19/2026 | 987,825 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.580%, 4/22/2032 | 513,512 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.782%, 2/1/2028 | 555,565 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 4.452%, 12/5/2029 | 585,148 | |
1,000,000 | JPMorgan Chase & Co., Sub. Note, 3.375%, 5/1/2023 | 1,053,037 | |
500,000 | JPMorgan Chase & Co., Sub. Note, 3.875%, 9/10/2024 | 545,280 | |
750,000 | Morgan Stanley, Sr. Unsecd. Note, 0.790%, 5/30/2025 | 747,890 | |
1,000,000 | Morgan Stanley, Sr. Unsecd. Note, 0.985%, 12/10/2026 | 984,834 | |
1,000,000 | Morgan Stanley, Sr. Unsecd. Note, 3.625%, 1/20/2027 | 1,109,739 | |
165,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.699%, 1/22/2031 | 172,855 | |
500,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.125%, 1/23/2023 | 521,439 | |
1,000,000 | Morgan Stanley, Sub. Note, Series MTN, 4.100%, 5/22/2023 | 1,065,068 | |
408,000 | MUFG Americas Holdings Corp., Sr. Unsecd. Note, 3.000%, 2/10/2025 | 434,749 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$ 250,000 | MUFG Americas Holdings Corp., Sr. Unsecd. Note, 3.500%, 6/18/2022 | $257,822 | |
250,000 | MUFG Union Bank, N.A., Sr. Unsecd. Note, Series BKNT, 3.150%, 4/1/2022 | 254,905 | |
330,000 | Regions Financial Corp., Sr. Unsecd. Note, 2.250%, 5/18/2025 | 343,940 | |
230,000 | Regions Financial Corp., Sr. Unsecd. Note, 3.800%, 8/14/2023 | 245,331 | |
250,000 | State Street Corp., Sr. Unsecd. Note, 2.653%, 5/15/2023 | 255,066 | |
700,000 | State Street Corp., Sr. Unsecd. Note, 3.300%, 12/16/2024 | 762,359 | |
250,000 | Synovus Bank GA, Sr. Unsecd. Note, 2.289%, 2/10/2023 | 251,979 | |
475,000 | Truist Bank, Sr. Unsecd. Note, Series BKNT, 2.150%, 12/6/2024 | 497,313 | |
500,000 | Truist Bank, Sr. Unsecd. Note, Series BKNT, 3.000%, 2/2/2023 | 520,206 | |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 219,348 | |
245,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 2.750%, 4/1/2022 | 249,181 | |
250,000 | US Bancorp, Sr. Unsecd. Note, Series MTN, 1.375%, 7/22/2030 | 241,258 | |
750,000 | US Bancorp, Sub., Series MTN, 3.600%, 9/11/2024 | 817,881 | |
500,000 | Wells Fargo & Co., Series MTN, 3.500%, 3/8/2022 | 511,168 | |
750,000 | Wells Fargo & Co., Sr. Unsecd. Note, 2.188%, 4/30/2026 | 778,960 | |
2,120,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 2,288,356 | |
250,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.406% , 10/30/2025 | 261,686 | |
1,000,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.572%, 2/11/2031 | 1,035,698 | |
500,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 551,194 | |
TOTAL | 38,496,996 | ||
Financial Institution - Broker/Asset Mgr/Exchange—1.5% | |||
370,000 | Eaton Vance Corp., Sr. Unsecd. Note, 3.625%, 6/15/2023 | 391,783 | |
220,000 | Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026 | 243,589 | |
200,000 | Jefferies Group LLC, Sr. Unsecd. Note, 6.500%, 1/20/2043 | 276,906 | |
245,000 | Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028 | 282,862 | |
595,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 712,489 | |
390,000 | Stifel Financial Corp., 4.250%, 7/18/2024 | 427,825 | |
500,000 | TD Ameritrade Holding Corp., Sr. Unsecd. Note, 3.625%, 4/1/2025 | 546,446 | |
TOTAL | 2,881,900 | ||
Financial Institution - Finance Companies—2.3% | |||
190,000 | AerCap Ireland Capital Ltd / AerCap Global Aviation Trust, Sr. Unsecd. Note, 1.750%, 1/30/2026 | 187,868 | |
500,000 | AerCap Ireland Capital Ltd / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.500%, 1/15/2025 | 530,138 | |
550,000 | AerCap Ireland Capital Ltd / AerCap Global Aviation Trust, Sr. Unsecd. Note, 4.625%, 10/15/2027 | 616,474 | |
700,000 | Air Lease Corp., Sr. Unsecd. Note, 1.875%, 8/15/2026 | 701,088 | |
550,000 | Air Lease Corp., Sr. Unsecd. Note, 3.625%, 12/1/2027 | 592,055 | |
500,000 | Discover Financial Services, Sr. Unsecd. Note, 3.850%, 11/21/2022 | 524,136 | |
250,000 | Discover Financial Services, Sr. Unsecd. Note, 4.100%, 2/9/2027 | 279,892 | |
950,000 | GE Capital Funding LLC, Sr. Unsecd. Note, 4.400%, 5/15/2030 | 1,107,854 | |
TOTAL | 4,539,505 | ||
Financial Institution - Insurance - Health—0.7% | |||
163,000 | CIGNA Corp., Sr. Unsecd. Note, 3.750%, 7/15/2023 | 173,638 | |
650,000 | CIGNA Corp., Sr. Unsecd. Note, 4.375%, 10/15/2028 | 756,543 | |
405,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 3.750%, 7/15/2025 | 449,676 | |
TOTAL | 1,379,857 | ||
Financial Institution - Insurance - Life—1.0% | |||
350,000 | AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029 | 388,160 | |
200,000 | AIG Global Funding, Sec. Fac. Bond, 144A, 2.300%, 7/1/2022 | 203,874 | |
800,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 871,636 | |
172,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 8.875%, 6/1/2039 | 274,332 | |
290,000 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 0.550%, 6/7/2024 | 289,096 | |
TOTAL | 2,027,098 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Insurance - P&C—0.8% | |||
$ 250,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 2.700%, 3/13/2023 | $260,100 | |
300,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 3.350%, 5/15/2024 | 323,841 | |
250,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.450%, 8/15/2027 | 274,357 | |
95,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029 | 106,859 | |
300,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 523,126 | |
TOTAL | 1,488,283 | ||
Financial Institution - REIT - Apartment—1.0% | |||
395,000 | 1 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 433,681 |
115,000 | Camden Property Trust, Sr. Unsecd. Note, 2.800%, 5/15/2030 | 122,064 | |
500,000 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.750%, 6/15/2024 | 541,001 | |
320,000 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 1.700%, 2/15/2031 | 304,529 | |
500,000 | UDR, Inc., Sr. Unsecd. Note, Series MTN, 2.950%, 9/1/2026 | 535,053 | |
TOTAL | 1,936,328 | ||
Financial Institution - REIT - Healthcare—1.2% | |||
445,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 430,494 | |
710,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 801,561 | |
155,000 | Welltower, Inc., Sr. Unsecd. Note, 2.700%, 2/15/2027 | 164,679 | |
375,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031 | 387,002 | |
500,000 | Welltower, Inc., Sr. Unsecd. Note, 3.100%, 1/15/2030 | 533,434 | |
TOTAL | 2,317,170 | ||
Financial Institution - REIT - Office—0.5% | |||
250,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.900%, 12/15/2030 | 305,277 | |
480,000 | Boston Properties LP, Sr. Unsecd. Note, 3.200%, 1/15/2025 | 514,474 | |
80,000 | Boston Properties LP, Sr. Unsecd. Note, 3.250%, 1/30/2031 | 85,778 | |
TOTAL | 905,529 | ||
Financial Institution - REIT - Other—0.6% | |||
320,000 | ProLogis LP, Sr. Unsecd. Note, 4.375%, 2/1/2029 | 377,619 | |
275,000 | WP Carey, Inc., Sr. Unsecd. Note, 2.400%, 2/1/2031 | 274,103 | |
450,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 491,771 | |
TOTAL | 1,143,493 | ||
Financial Institution - REIT - Retail—0.5% | |||
250,000 | Kimco Realty Corp., Sr. Unsecd. Note, 1.900%, 3/1/2028 | 250,162 | |
410,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.700%, 3/1/2024 | 428,915 | |
250,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.700%, 10/1/2030 | 257,235 | |
100,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.400%, 11/1/2022 | 103,463 | |
TOTAL | 1,039,775 | ||
Sovereign—0.3% | |||
510,000 | Inter-American Development Bank, Series MTN, 6.750%, 7/15/2027 | 657,044 | |
Supranational—0.2% | |||
320,000 | Corp Andina De Fomento, Sr. Unsecd. Note, 4.375%, 6/15/2022 | 332,306 | |
Technology—7.2% | |||
500,000 | Apple, Inc., Sr. Unsecd. Note, 0.550%, 8/20/2025 | 494,962 | |
315,000 | Apple, Inc., Sr. Unsecd. Note, 1.125%, 5/11/2025 | 318,836 | |
650,000 | Apple, Inc., Sr. Unsecd. Note, 2.400%, 5/3/2023 | 674,808 | |
125,000 | Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044 | 161,697 | |
340,000 | Automatic Data Processing, Inc., 3.375%, 9/15/2025 | 372,945 | |
280,000 | Broadcom Corp., Sr. Unsecd. Note, Series WI, 3.875%, 1/15/2027 | 309,556 | |
666,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 749,882 | |
135,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.419%, 4/15/2033 | 141,927 | |
750,000 | Dell International LLC / EMC Corp., 5.300%, 10/1/2029 | 905,709 | |
150,000 | Dell International LLC / EMC Corp., 5.850%, 7/15/2025 | 176,116 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$ 350,000 | Dell International LLC / EMC Corp., 6.200%, 7/15/2030 | $450,430 | |
480,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 505,652 | |
80,000 | Equifax, Inc., Sr. Unsecd. Note, Series 5Y, 3.950%, 6/15/2023 | 85,006 | |
250,000 | Fiserv, Inc., Sr. Unsecd. Note, 2.650%, 6/1/2030 | 259,110 | |
230,000 | Fiserv, Inc., Sr. Unsecd. Note, 2.750%, 7/1/2024 | 242,727 | |
500,000 | Fiserv, Inc., Sr. Unsecd. Note, 4.200%, 10/1/2028 | 575,174 | |
670,000 | Ingram Micro, Inc., Sr. Unsecd. Note, 5.000%, 8/10/2022 | 688,880 | |
175,000 | Intel Corp., Sr. Unsecd. Note, 3.400%, 3/25/2025 | 191,311 | |
500,000 | Intel Corp., Sr. Unsecd. Note, 3.700%, 7/29/2025 | 552,986 | |
460,000 | Keysight Technologies, Inc., 4.550%, 10/30/2024 | 511,425 | |
100,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029 | 105,824 | |
310,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 360,245 | |
105,000 | Micron Technology, Inc., Sr. Unsecd. Note, 2.497%, 4/24/2023 | 108,622 | |
250,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.640%, 2/6/2024 | 274,228 | |
750,000 | Microsoft Corp., Sr. Unsecd. Note, 2.400%, 8/8/2026 | 800,014 | |
190,000 | Molex Electronics Technologies LLC, Unsecd. Note, 144A, 3.900%, 4/15/2025 | 195,211 | |
500,000 | Oracle Corp., Sr. Unsecd. Note, 1.650%, 3/25/2026 | 507,080 | |
750,000 | Oracle Corp., Sr. Unsecd. Note, 3.400%, 7/8/2024 | 804,261 | |
310,000 | Qualcomm, Inc., Sr. Unsecd. Note, 2.600%, 1/30/2023 | 321,282 | |
85,000 | Skyworks Solutions, Inc., Sr. Unsecd. Note, 1.800%, 6/1/2026 | 86,125 | |
260,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | 299,823 | |
600,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 681,361 | |
195,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 9/12/2022 | 203,307 | |
500,000 | Vontier Corp., Sr. Unsecd. Note, 144A, 2.400%, 4/1/2028 | 497,295 | |
500,000 | Vontier Corp., Sr. Unsecd. Note, 144A, 2.950%, 4/1/2031 | 502,918 | |
TOTAL | 14,116,735 | ||
Technology Services—0.4% | |||
255,000 | Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026 | 252,789 | |
320,000 | Global Payments, Inc., Sr. Unsecd. Note, 1.200%, 3/1/2026 | 317,201 | |
90,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.900%, 5/15/2030 | 93,886 | |
145,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 147,491 | |
TOTAL | 811,367 | ||
Transportation - Airlines—0.3% | |||
275,000 | Southwest Airlines Co., Sr. Unsecd. Note, 4.750%, 5/4/2023 | 295,097 | |
215,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | 245,439 | |
TOTAL | 540,536 | ||
Transportation - Railroads—0.7% | |||
850,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2023 | 882,240 | |
500,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.150%, 2/5/2027 | 519,878 | |
TOTAL | 1,402,118 | ||
Transportation - Services—1.9% | |||
550,000 | FedEx Corp., Sr. Unsecd. Note, 3.100%, 8/5/2029 | 597,037 | |
485,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 144A, 1.650%, 7/15/2026 | 483,162 | |
315,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 144A, 2.650%, 7/15/2031 | 312,864 | |
215,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 1.200%, 11/15/2025 | 213,110 | |
250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 1.700%, 6/15/2026 | 251,887 | |
250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.375%, 2/1/2022 | 253,083 | |
300,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.450%, 7/1/2024 | 321,908 | |
250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 4.450%, 1/29/2026 | 281,220 | |
280,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.800%, 3/1/2022 | 284,132 | |
150,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.875%, 6/1/2022 | 153,201 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Transportation - Services—continued | |||
$ 590,000 | United Parcel Service, Inc., Sr. Unsecd. Note, 3.900%, 4/1/2025 | $653,251 | |
TOTAL | 3,804,855 | ||
Utility - Electric—3.9% | |||
310,000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025 | 339,618 | |
125,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 2.300%, 3/1/2030 | 126,612 | |
380,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series F, 2.950%, 12/15/2022 | 391,113 | |
500,000 | Berkshire Hathaway Energy Co., 3.500%, 2/1/2025 | 540,369 | |
130,000 | Berkshire Hathaway Energy Co., Sr. Unsecd. Note, Series WI, 4.050%, 4/15/2025 | 144,449 | |
560,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 594,124 | |
400,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 1.710%, 1/24/2028 | 396,753 | |
500,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 537,753 | |
190,000 | Emera US Finance LP, Sr. Unsecd. Note, 144A, 0.833%, 6/15/2024 | 189,064 | |
470,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 2.875%, 5/25/2022 | 480,387 | |
380,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.625%, 9/14/2025 | 431,164 | |
385,000 | Exelon Corp., Sr. Unsecd. Note, 4.050%, 4/15/2030 | 438,949 | |
250,000 | Exelon Generation Co. LLC, Sr. Unsecd. Note, 3.250%, 6/1/2025 | 269,792 | |
240,000 | Fortis, Inc. / Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 257,698 | |
600,000 | National Rural Utilities Cooperative Finance Corp., Sec. Fac. Bond, 2.400%, 4/25/2022 | 609,674 | |
140,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 2.950%, 2/7/2024 | 147,942 | |
300,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.550%, 5/1/2027 | 331,758 | |
500,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.490%, 5/15/2027 | 550,477 | |
245,000 | Puget Energy, Inc., Sec. Fac. Bond, 144A, 2.379%, 6/15/2028 | 247,892 | |
250,000 | Southern Co., Sr. Unsecd. Note, 3.250%, 7/1/2026 | 271,478 | |
378,000 | Wisconsin Energy Corp., Sr. Unsecd. Note, 3.550%, 6/15/2025 | 413,593 | |
TOTAL | 7,710,659 | ||
Utility - Natural Gas—0.8% | |||
280,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 282,157 | |
600,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.750%, 3/1/2023 | 625,646 | |
395,000 | 1 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 457,531 |
250,000 | Sempra Energy, Sr. Unsecd. Note, 2.900%, 2/1/2023 | 258,896 | |
TOTAL | 1,624,230 | ||
Utility - Natural Gas Distributor—0.2% | |||
450,000 | Southern Co. Gas Capital, Sr. Unsecd. Note, 2.450%, 10/1/2023 | 467,993 | |
TOTAL CORPORATE BONDS (IDENTIFIED COST $178,162,946) | 189,365,109 | ||
U.S. TREASURY—0.5% | |||
U.S. Treasury Notes—0.5% | |||
1,000,000 | United States Treasury Notes, 1.625%, 5/15/2031 (IDENTIFIED COST $999,073) | 1,015,469 | |
MORTGAGE-BACKED SECURITIES—0.0% | |||
Federal Home Loan Mortgage Corporation—0.0% | |||
454 | Federal Home Loan Mortgage Corp., Pool C01051, 8.000%, 9/1/2030 | 533 | |
Government National Mortgage Association—0.0% | |||
594 | Government National Mortgage Association, Pool 1512, 7.500%, 12/20/2023 | 626 | |
1,470 | Government National Mortgage Association, Pool 2630, 6.500%, 8/20/2028 | 1,644 | |
1,993 | Government National Mortgage Association, Pool 2631, 7.000%, 8/20/2028 | 2,240 | |
2,818 | Government National Mortgage Association, Pool 2658, 6.500%, 10/20/2028 | 3,159 | |
4,688 | Government National Mortgage Association, Pool 2701, 6.500%, 1/20/2029 | 5,252 | |
3,225 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 3,669 | |
585 | Government National Mortgage Association, Pool 3039, 6.500%, 2/20/2031 | 666 | |
2,311 | Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031 | 2,661 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$ 8,250 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | $9,482 | |
5,653 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 6,528 | |
12,262 | Government National Mortgage Association, Pool 3261, 6.500%, 7/20/2032 | 14,174 | |
867 | Government National Mortgage Association, Pool 516688, 8.000%, 8/15/2029 | 1,010 | |
TOTAL | 51,111 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $45,199) | 51,644 | ||
REPURCHASE AGREEMENTS—3.4% | |||
4,022,000 | Interest in $2,496,000,000 joint repurchase agreement 0.06%, dated 6/30/2021 under which Bank of America, N.A. will repurchase securities provided as collateral for $2,496,003,813 on 7/1/2021. 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 8/20/2050 and the market value of those underlying securities was $2,545,923,890. | 4,022,000 | |
2,597,595 | Interest in $2,496,000,000 joint repurchase agreement 0.06%, dated 6/30/2021 under which Bank of America, N.A. will repurchase securities provided as collateral for $2,496,003,813 on 7/1/2021. 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 8/20/2050 and the market value of those underlying securities was $2,545,923,890. (purchased with proceeds from securities lending collateral) | 2,597,595 | |
TOTAL REPURCHASE AGREEMENTS (IDENTIFIED COST $6,619,595) | 6,619,595 | ||
TOTAL INVESTMENT IN SECURITIES—100.8% (IDENTIFIED COST $185,826,813)3 | 197,051,817 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.8)%4 | (1,581,362) | ||
TOTAL NET ASSETS—100% | $195,470,455 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Depreciation |
Short Futures: | ||||
5United States Treasury Long Bond Short Futures | 35 | $5,626,250 | September 2021 | $(177,827) |
5United States Treasury Notes 10-Year Ultra Short Futures | 10 | $1,472,031 | September 2021 | $(24,534) |
5United States Treasury Ultra Bond Short Futures | 3 | $578,063 | September 2021 | $(28,179) |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(230,540) |
1 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | Also represents cost of investments for federal tax purposes. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
5 | Non-income-producing security. |
The following is a summary of the inputs used, as of June 30, 2021, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $189,365,109 | $— | $189,365,109 |
U.S. Treasury | — | 1,015,469 | — | 1,015,469 |
Mortgage-Backed Securities | — | 51,644 | — | 51,644 |
Repurchase Agreements | — | 6,619,595 | — | 6,619,595 |
TOTAL SECURITIES | $— | $197,051,817 | $— | $197,051,817 |
Other Financial Instruments:1 | ||||
Liabilities | $(230,540) | $— | $— | $(230,540) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(230,540) | $— | $— | $(230,540) |
1 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
BKNT | —Bank Notes | |
GMTN | —Global Medium Term Note | |
LIBOR | —London Interbank Offered Rate | |
MTN | —Medium Term Note | |
REIT | —Real Estate Investment Trust |
Six Months Ended (unaudited) 6/30/2021 | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $11.82 | $11.31 | $10.65 | $11.05 | $10.98 | $10.97 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.13 | 0.28 | 0.31 | 0.30 | 0.31 | 0.34 |
Net realized and unrealized gain (loss) | (0.21) | 0.58 | 0.68 | (0.37) | 0.12 | 0.07 |
Total From Investment Operations | (0.08) | 0.86 | 0.99 | (0.07) | 0.43 | 0.41 |
Less Distributions: | ||||||
Distributions from net investment income | (0.29) | (0.32) | (0.33) | (0.33) | (0.36) | (0.40) |
Distributions from net realized gain | (0.10) | (0.03) | (0.00)2 | — | — | — |
Total Distributions | (0.39) | (0.35) | (0.33) | (0.33) | (0.36) | (0.40) |
Net Asset Value, End of Period | $11.35 | $11.82 | $11.31 | $10.65 | $11.05 | $10.98 |
Total Return3 | (0.61)% | 8.12% | 9.44% | (0.59)% | 4.04% | 3.82% |
Ratios to Average Net Assets: | ||||||
Net expenses4 | 0.74%5 | 0.74% | 0.74% | 0.74% | 0.74% | 0.73% |
Net investment income | 2.28%5 | 2.50% | 2.79% | 2.83% | 2.81% | 3.10% |
Expense waiver/reimbursement6 | 0.07%5 | 0.07% | 0.08% | 0.08% | 0.06% | 0.07% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $178,085 | $170,912 | $167,625 | $162,812 | $185,026 | $188,831 |
Portfolio turnover | 14% | 24% | 21% | 19% | 27% | 26% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Represents less than $0.01. |
3 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 6/30/2021 | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $11.79 | $11.28 | $10.62 | $11.01 | $10.94 | $10.93 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.12 | 0.26 | 0.28 | 0.27 | 0.28 | 0.31 |
Net realized and unrealized gain (loss) | (0.21) | 0.57 | 0.68 | (0.36) | 0.12 | 0.07 |
Total From Investment Operations | (0.09) | 0.83 | 0.96 | (0.09) | 0.40 | 0.38 |
Less Distributions: | ||||||
Distributions from net investment income | (0.26) | (0.29) | (0.30) | (0.30) | (0.33) | (0.37) |
Distributions from net realized gain | (0.10) | (0.03) | (0.00)2 | — | — | — |
Total Distributions | (0.36) | (0.32) | (0.30) | (0.30) | (0.33) | (0.37) |
Net Asset Value, End of Period | $11.34 | $11.79 | $11.28 | $10.62 | $11.01 | $10.94 |
Total Return3 | (0.70)% | 7.86% | 9.17% | (0.78)% | 3.75% | 3.53% |
Ratios to Average Net Assets: | ||||||
Net expenses4 | 0.99%5 | 0.99% | 0.99% | 0.99% | 0.99% | 0.98% |
Net investment income | 2.03%5 | 2.25% | 2.54% | 2.58% | 2.56% | 2.86% |
Expense waiver/reimbursement6 | 0.07%5 | 0.07% | 0.08% | 0.07% | 0.06% | 0.07% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $17,386 | $18,302 | $18,776 | $19,344 | $22,596 | $23,920 |
Portfolio turnover | 14% | 24% | 21% | 19% | 27% | 26% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Represents less than $0.01. |
3 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
Assets: | |
Investment in securities, at value including $2,546,574 of securities loaned (identified cost $185,826,813) | $197,051,817 |
Cash | 596,388 |
Due from broker (Note 2) | 166,500 |
Income receivable | 1,492,697 |
Receivable for shares sold | 39,510 |
Total Assets | 199,346,912 |
Liabilities: | |
Payable for investments purchased | 1,098,053 |
Payable for shares redeemed | 84,467 |
Payable for variation margin on futures contracts | 32,444 |
Payable for collateral due to broker for securities lending | 2,597,595 |
Payable to adviser (Note 5) | 2,841 |
Payable for administrative fee (Note 5) | 419 |
Payable for distribution services fee (Note 5) | 3,573 |
Accrued expenses (Note 5) | 57,065 |
Total Liabilities | 3,876,457 |
Net assets for 17,216,813 shares outstanding | $195,470,455 |
Net Assets Consist of: | |
Paid-in capital | $180,372,106 |
Total distributable earnings (loss) | 15,098,349 |
Total Net Assets | $195,470,455 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Primary Shares: | |
$178,084,660 ÷ 15,683,696 shares outstanding, no par value, unlimited shares authorized | $11.35 |
Service Shares: | |
$17,385,795 ÷ 1,533,117 shares outstanding, no par value, unlimited shares authorized | $11.34 |
Investment Income: | |
Interest | $2,823,889 |
Net income on securities loaned (Note 2) | 1,955 |
TOTAL INCOME | 2,825,844 |
Expenses: | |
Investment adviser fee (Note 5) | 560,469 |
Administrative fee (Note 5) | 75,877 |
Custodian fees | 5,007 |
Transfer agent fees | 8,204 |
Directors’/Trustees’ fees (Note 5) | 1,063 |
Auditing fees | 12,640 |
Legal fees | 5,986 |
Portfolio accounting fees | 47,865 |
Distribution services fee (Note 5) | 21,698 |
Printing and postage | 31,534 |
Miscellaneous (Note 5) | 14,500 |
TOTAL EXPENSES | 784,843 |
Waiver: | |
Waiver of investment adviser fee (Note 5) | (67,323) |
Net expenses | 717,520 |
Net investment income | 2,108,324 |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net realized gain on investments | 1,567,003 |
Net realized gain on futures contracts | 507,055 |
Net change in unrealized appreciation of investments | (4,992,147) |
Net change in unrealized appreciation of futures contracts | (307,949) |
Net realized and unrealized gain (loss) on investments and futures contracts | (3,226,038) |
Change in net assets resulting from operations | $(1,117,714) |
Six Months Ended (unaudited) 6/30/2021 | Year Ended 12/31/2020 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $2,108,324 | $4,593,682 |
Net realized gain (loss) | 2,074,058 | 1,582,585 |
Net change in unrealized appreciation/depreciation | (5,300,096) | 8,246,542 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (1,117,714) | 14,422,809 |
Distributions to Shareholders: | ||
Primary Shares | (5,661,205) | (5,129,491) |
Service Shares | (541,939) | (531,201) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (6,203,144) | (5,660,692) |
Share Transactions: | ||
Proceeds from sale of shares | 21,693,395 | 16,225,144 |
Net asset value of shares issued to shareholders in payment of distributions declared | 6,203,141 | 5,660,688 |
Cost of shares redeemed | (14,319,057) | (27,834,646) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 13,577,479 | (5,948,814) |
Change in net assets | 6,256,621 | 2,813,303 |
Net Assets: | ||
Beginning of period | 189,213,834 | 186,400,531 |
End of period | $195,470,455 | $189,213,834 |
Market Value of Securities Loaned | Collateral Received |
$2,546,574 | $2,597,595 |
Fair Value of Derivative Instruments | ||
Liabilities | ||
Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||
Interest rate contracts | Payable for variation margin on futures contracts | $230,540* |
* | Includes cumulative net depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $507,055 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(307,949) |
Six Months Ended 6/30/2021 | Year Ended 12/31/2020 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,829,091 | $20,863,836 | 1,321,059 | $15,137,018 |
Shares issued to shareholders in payment of distributions declared | 505,917 | 5,661,205 | 507,368 | 5,129,490 |
Shares redeemed | (1,107,481) | (12,698,979) | (2,197,120) | (24,859,601) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | 1,227,527 | $13,826,062 | (368,693) | $(4,593,093) |
Six Months Ended 6/30/2021 | Year Ended 12/31/2020 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 71,288 | $829,559 | 97,027 | $1,088,126 |
Shares issued to shareholders in payment of distributions declared | 48,430 | 541,936 | 52,594 | 531,198 |
Shares redeemed | (138,724) | (1,620,078) | (262,468) | (2,975,045) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (19,006) | $(248,583) | (112,847) | $(1,355,721) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 1,208,521 | $13,577,479 | (481,540) | $(5,948,814) |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Percentage of Average Daily Net Assets of Class | |
Primary Shares | 0.25% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | |
Service Shares | $21,698 |
Purchases | $34,819,898 |
Sales | $25,115,111 |
Beginning Account Value 1/1/2021 | Ending Account Value 6/30/2021 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $993.90 | $3.66 |
Service Shares | $1,000 | $993.00 | $4.89 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,021.12 | $3.71 |
Service Shares | $1,000 | $1,019.89 | $4.96 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 0.74% |
Service Shares | 0.99% |
Annual Evaluation of Adequacy and Effectiveness
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916785
Federated Hermes Fund for U.S. Government Securities II
A Portfolio of Federated Hermes Insurance Series
Type of Investments | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 43.9% |
U.S. Treasury Securities | 27.0% |
U.S. Government Agency Securities | 11.5% |
Asset-Backed Securities | 7.4% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 5.4% |
Non-Agency Commercial Mortgage-Backed Securities | 2.2% |
Non-Agency Mortgage-Backed Securities | 0.2% |
Securities Lending Collateral2 | 0.9% |
Cash Equivalents3 | 13.2% |
Other Assets and Liabilities—Net4 | (11.7)% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of these investments. |
2 | Represents cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds, other money market instruments and/or repurchase agreements. |
3 | Cash equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—42.1% | |||
Federal Home Loan Mortgage Corporation—10.9% | |||
$ 983,011 | 2.000%, 3/1/2051 | $994,177 | |
362,174 | 3.000%, 11/1/2045 | 384,964 | |
853,259 | 3.000%, 10/1/2046 | 897,618 | |
498,194 | 3.000%, 10/1/2046 | 530,633 | |
84,249 | 3.000%, 11/1/2046 | 88,603 | |
870,255 | 3.500%, 7/1/2042 | 936,514 | |
727,039 | 3.500%, 9/1/2043 | 781,712 | |
221,536 | 3.500%, 5/1/2046 | 238,887 | |
1,122,452 | 3.500%, 11/1/2047 | 1,182,745 | |
1,239,654 | 4.000%, 12/1/2041 | 1,354,998 | |
132,269 | 4.000%, 1/1/2042 | 144,576 | |
563,169 | 4.000%, 3/1/2046 | 609,058 | |
221,806 | 4.000%, 11/1/2047 | 237,661 | |
110,352 | 4.000%, 12/1/2047 | 117,930 | |
180,959 | 4.000%, 4/1/2048 | 192,834 | |
585,610 | 4.000%, 7/1/2048 | 623,491 | |
205,051 | 4.500%, 8/1/2040 | 227,731 | |
467,302 | 4.500%, 12/1/2040 | 518,990 | |
623,029 | 4.500%, 4/1/2041 | 691,941 | |
276,773 | 5.000%, 1/1/2034 | 312,069 | |
76,534 | 5.000%, 5/1/2034 | 86,396 | |
61,552 | 5.000%, 4/1/2036 | 70,110 | |
19,728 | 5.000%, 5/1/2036 | 22,456 | |
14,231 | 5.000%, 6/1/2036 | 16,209 | |
66,007 | 5.000%, 6/1/2040 | 74,974 ��� | |
459,591 | 5.500%, 5/1/2034 | 526,971 | |
12,951 | 5.500%, 12/1/2035 | 14,993 | |
103,476 | 5.500%, 2/1/2036 | 120,158 | |
52,087 | 5.500%, 5/1/2036 | 60,377 | |
5,883 | 5.500%, 5/1/2036 | 6,830 | |
7,849 | 5.500%, 5/1/2036 | 9,103 | |
4,261 | 5.500%, 6/1/2036 | 4,949 | |
2,228 | 5.500%, 6/1/2036 | 2,586 | |
69,419 | 5.500%, 11/1/2037 | 80,601 | |
139,440 | 5.500%, 1/1/2038 | 161,946 | |
4,585 | 6.000%, 1/1/2032 | 5,244 | |
20,335 | 6.000%, 2/1/2032 | 23,456 | |
73,000 | 6.000%, 4/1/2036 | 85,854 | |
13,523 | 6.000%, 5/1/2036 | 15,949 | |
141,011 | 6.000%, 6/1/2037 | 166,947 | |
18,425 | 6.000%, 7/1/2037 | 21,810 | |
3,362 | 6.500%, 6/1/2022 | 3,435 | |
338 | 6.500%, 5/1/2024 | 359 | |
5,466 | 6.500%, 3/1/2029 | 6,171 | |
2,276 | 6.500%, 6/1/2029 | 2,576 | |
2,187 | 6.500%, 7/1/2029 | 2,471 | |
479 | 6.500%, 9/1/2029 | 536 | |
1,566 | 7.000%, 12/1/2029 | 1,810 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 813 | 7.000%, 6/1/2030 | $927 | |
155 | 7.000%, 11/1/2030 | 181 | |
166,222 | 7.000%, 4/1/2032 | 197,272 | |
16,349 | 7.500%, 12/1/2030 | 19,214 | |
9,669 | 7.500%, 1/1/2031 | 11,336 | |
2,248 | 8.500%, 5/1/2030 | 2,627 | |
533 | 9.000%, 2/1/2025 | 576 | |
259 | 9.000%, 5/1/2025 | 274 | |
TOTAL | 12,894,816 | ||
Federal National Mortgage Association—15.5% | |||
1,609,843 | 2.000%, 6/1/2050 | 1,629,638 | |
946,674 | 2.000%, 11/1/2050 | 957,428 | |
983,165 | 2.000%, 3/1/2051 | 994,333 | |
1,232,437 | 2.500%, 3/1/2050 | 1,275,067 | |
624,916 | 3.000%, 10/1/2046 | 657,404 | |
967,741 | 3.000%, 11/1/2046 | 1,017,749 | |
169,009 | 3.000%, 11/1/2046 | 179,275 | |
70,709 | 3.000%, 1/1/2047 | 74,296 | |
668,211 | 3.000%, 1/1/2047 | 702,741 | |
51,690 | 3.000%, 2/1/2047 | 55,153 | |
710,305 | 3.000%, 2/1/2048 | 754,280 | |
351,818 | 3.000%, 2/1/2048 | 373,599 | |
140,567 | 3.000%, 7/1/2049 | 146,436 | |
1,857,878 | 3.500%, 9/1/2042 | 2,010,944 | |
862,477 | 3.500%, 8/1/2046 | 919,896 | |
743,141 | 3.500%, 9/1/2046 | 792,104 | |
970,273 | 3.500%, 12/1/2046 | 1,029,896 | |
652,419 | 3.500%, 12/1/2047 | 691,430 | |
351,581 | 3.500%, 1/1/2048 | 379,475 | |
231,568 | 4.000%, 2/1/2041 | 254,320 | |
618,274 | 4.000%, 12/1/2041 | 679,073 | |
491,762 | 4.000%, 4/1/2042 | 537,518 | |
270,731 | 4.000%, 2/1/2048 | 288,899 | |
204,732 | 4.000%, 2/1/2048 | 218,552 | |
535,879 | 4.000%, 2/1/2048 | 574,185 | |
210,788 | 4.500%, 10/1/2041 | 234,103 | |
199,705 | 5.000%, 7/1/2034 | 225,543 | |
25,305 | 5.000%, 11/1/2035 | 28,760 | |
1,788 | 5.500%, 11/1/2021 | 1,799 | |
99,721 | 5.500%, 9/1/2034 | 114,939 | |
47,178 | 5.500%, 1/1/2036 | 54,762 | |
58,901 | 5.500%, 4/1/2036 | 68,338 | |
972 | 6.000%, 8/1/2021 | 974 | |
2,445 | 6.000%, 7/1/2029 | 2,748 | |
1,448 | 6.000%, 5/1/2031 | 1,659 | |
8,814 | 6.000%, 5/1/2036 | 10,388 | |
142,850 | 6.000%, 7/1/2036 | 169,056 | |
3,542 | 6.000%, 7/1/2036 | 4,189 | |
35,400 | 6.000%, 9/1/2037 | 41,992 | |
65,471 | 6.000%, 11/1/2037 | 77,507 | |
25,230 | 6.000%, 12/1/2037 | 29,333 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$ 1,613 | 6.500%, 6/1/2029 | $1,841 | |
2,022 | 6.500%, 6/1/2029 | 2,300 | |
575 | 6.500%, 6/1/2029 | 654 | |
183 | 6.500%, 7/1/2029 | 207 | |
203 | 6.500%, 7/1/2029 | 230 | |
2,997 | 6.500%, 7/1/2029 | 3,408 | |
24 | 6.500%, 7/1/2029 | 27 | |
272 | 6.500%, 7/1/2029 | 307 | |
163 | 6.500%, 8/1/2029 | 180 | |
3,778 | 6.500%, 9/1/2030 | 4,335 | |
15,637 | 6.500%, 6/1/2031 | 18,077 | |
11,635 | 6.500%, 4/1/2032 | 13,560 | |
800 | 7.000%, 2/1/2024 | 848 | |
1,985 | 7.000%, 10/1/2029 | 2,271 | |
11,573 | 7.000%, 10/1/2029 | 13,451 | |
3,911 | 7.000%, 11/1/2030 | 4,593 | |
44,627 | 7.000%, 4/1/2031 | 52,296 | |
81,073 | 7.000%, 4/1/2032 | 96,159 | |
1,034 | 7.500%, 8/1/2028 | 1,170 | |
184 | 7.500%, 9/1/2028 | 211 | |
3,333 | 7.500%, 2/1/2030 | 3,898 | |
1,603 | 8.000%, 7/1/2030 | 1,887 | |
TOTAL | 18,481,691 | ||
Government National Mortgage Association—5.3% | |||
1,119,812 | 3.000%, 11/20/2047 | 1,179,553 | |
1,947,046 | 3.500%, 1/20/2048 | 2,097,252 | |
778,059 | 3.500%, 2/20/2048 | 833,706 | |
318,269 | 4.500%, 6/20/2039 | 352,948 | |
262,164 | 4.500%, 10/15/2039 | 295,159 | |
360,430 | 4.500%, 8/20/2040 | 397,730 | |
203,520 | 5.000%, 7/15/2034 | 228,784 | |
21,028 | 6.000%, 4/15/2032 | 24,031 | |
42,719 | 6.000%, 5/15/2032 | 49,264 | |
74,066 | 6.000%, 4/15/2036 | 86,549 | |
144,091 | 6.000%, 5/15/2036 | 168,177 | |
80,842 | 6.000%, 5/15/2036 | 94,468 | |
27,567 | 6.000%, 7/20/2036 | 31,984 | |
27,280 | 6.000%, 5/20/2037 | 31,750 | |
149,186 | 6.000%, 7/20/2038 | 173,945 | |
2,020 | 6.500%, 12/15/2023 | 2,118 | |
4,033 | 6.500%, 5/15/2024 | 4,257 | |
1,807 | 6.500%, 6/15/2029 | 2,048 | |
4,141 | 6.500%, 6/15/2031 | 4,710 | |
3,559 | 6.500%, 7/20/2031 | 4,088 | |
3,385 | 6.500%, 8/20/2031 | 3,886 | |
22,745 | 6.500%, 10/15/2031 | 26,310 | |
30,905 | 6.500%, 12/15/2031 | 35,592 | |
3,236 | 6.500%, 4/15/2032 | 3,743 | |
20,547 | 6.500%, 5/15/2032 | 23,781 | |
158,763 | 6.500%, 5/15/2032 | 184,352 | |
1,466 | 7.500%, 10/15/2029 | 1,700 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$ 342 | 7.500%, 10/15/2029 | $398 | |
3,294 | 7.500%, 3/20/2030 | 3,806 | |
909 | 8.000%, 4/15/2030 | 1,066 | |
TOTAL | 6,347,155 | ||
1 | Uniform Mortgage-Backed Securities, TBA—10.4% | ||
1,000,000 | 2.500%, 7/1/2051 | 1,034,297 | |
11,000,000 | 2.500%, 7/20/2051 | 11,383,945 | |
TOTAL | 12,418,242 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $47,435,244) | 50,141,904 | ||
U.S. TREASURIES—27.0% | |||
U.S. Treasury Bonds—5.4% | |||
1,500,000 | 1.875%, 2/15/2041 | 1,466,803 | |
500,000 | 2.250%, 8/15/2046 | 515,750 | |
700,000 | 2.375%, 11/15/2049 | 743,671 | |
250,000 | 2.750%, 8/15/2042 | 281,085 | |
1,200,000 | 2.875%, 8/15/2045 | 1,384,416 | |
1,025,000 | 2.875%, 5/15/2049 | 1,197,667 | |
650,000 | 3.125%, 8/15/2044 | 778,469 | |
TOTAL | 6,367,861 | ||
U.S. Treasury Notes—21.6% | |||
1,500,000 | 0.125%, 12/15/2023 | 1,491,905 | |
1,000,000 | 0.250%, 9/30/2025 | 978,913 | |
1,000,000 | 0.375%, 9/30/2027 | 955,358 | |
1,500,000 | 0.625%, 11/30/2027 | 1,451,753 | |
1,500,000 | 0.625%, 12/31/2027 | 1,449,968 | |
1,000,000 | 0.625%, 8/15/2030 | 931,459 | |
1,200,000 | 0.875%, 6/30/2026 | 1,199,531 | |
500,000 | 1.125%, 2/15/2031 | 485,310 | |
1,000,000 | 1.250%, 6/30/2028 | 1,001,563 | |
525,000 | 1.375%, 9/30/2023 | 537,623 | |
1,500,000 | 2 | 1.750%, 5/15/2022 | 1,521,609 |
2,000,000 | 2.000%, 2/15/2023 | 2,058,362 | |
250,000 | 2.250%, 11/15/2027 | 267,372 | |
3,000,000 | 2.375%, 1/31/2023 | 3,103,570 | |
3,000,000 | 2.500%, 1/15/2022 | 3,039,189 | |
1,800,000 | 2.500%, 3/31/2023 | 1,871,769 | |
250,000 | 2.500%, 2/28/2026 | 269,199 | |
500,000 | 2.750%, 8/15/2021 | 501,670 | |
2,500,000 | 2.750%, 7/31/2023 | 2,628,922 | |
TOTAL | 25,745,045 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $31,212,989) | 32,112,906 | ||
GOVERNMENT AGENCIES—11.5% | |||
Federal Farm Credit System—2.4% | |||
1,500,000 | 0.375%, 4/8/2022 | 1,503,245 | |
1,000,000 | 5.750%, 12/7/2028 | 1,311,010 | |
TOTAL | 2,814,255 | ||
Federal Home Loan Bank System—3.6% | |||
1,650,000 | 0.500%, 4/14/2025 | 1,638,492 | |
1,500,000 | 2.375%, 3/13/2026 | 1,602,582 |
Principal Amount | Value | ||
GOVERNMENT AGENCIES—continued | |||
Federal Home Loan Bank System—continued | |||
$ 1,000,000 | 3.125%, 12/12/2025 | $1,101,656 | |
TOTAL | 4,342,730 | ||
Tennessee Valley Authority Bonds—5.5% | |||
1,750,000 | 0.750%, 5/15/2025 | 1,750,218 | |
1,700,000 | 2.875%, 2/1/2027 | 1,862,003 | |
2,000,000 | 4.650%, 6/15/2035 | 2,630,632 | |
250,000 | 4.875%, 1/15/2048 | 360,848 | |
TOTAL | 6,603,701 | ||
TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST $12,534,051) | 13,760,686 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—7.6% | |||
Agency Commercial Mortgage-Backed Securities—5.4% | |||
1,143,000 | FHLMC REMIC, Series K727, Class A2, 2.946%, 7/25/2024 | 1,208,710 | |
2,500,000 | FHLMC REMIC, Series KC03, Class A2, 3.499%, 1/25/2026 | 2,671,597 | |
2,482,000 | FNMA REMIC, Series 2020-M14, Class A2, 1.784%, 5/25/2030 | 2,529,962 | |
TOTAL | 6,410,269 | ||
Non-Agency Commercial Mortgage-Backed Securities—2.2% | |||
1,400,000 | BANK 2017-BNK5 A3, Class A3, 3.020%, 6/15/2060 | 1,464,002 | |
1,100,000 | Fontainebleau Miami Beach Trust, Class A, 3.144%, 12/10/2036 | 1,157,662 | |
TOTAL | 2,621,664 | ||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $8,840,924) | 9,031,933 | ||
ASSET-BACKED SECURITIES—7.4% | |||
Auto Receivables—3.1% | |||
311,000 | AmeriCredit Automobile Receivables Trust 2020-2, Class C, 1.480%, 2/18/2026 | 316,496 | |
1,206,312 | Santander Drive Auto Receivables Trust 2020-1, Class A3, 2.030%, 2/15/2024 | 1,215,391 | |
550,000 | Santander Drive Auto Receivables Trust 2020-2, Class D, 2.220%, 9/15/2026 | 564,512 | |
1,085,000 | Santander Drive Auto Receivables Trust 2020-3, Class C, 1.120%, 1/15/2026 | 1,094,720 | |
500,000 | Santander Retail Auto Lease Trust 2019-A, Class D, 3.660%, 5/20/2024 | 512,206 | |
TOTAL | 3,703,325 | ||
Credit Card—2.1% | |||
2,500,000 | 3 | Discover Card Execution Note Trust 2017-A7, Class A7, 0.433% (1-month USLIBOR +0.360%), 4/15/2025 | 2,513,781 |
Other—0.0% | |||
25,860 | Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 | 25,861 | |
Student Loans—2.2% | |||
377,684 | Navient Student Loan Trust 2020-FA, Class A, 1.220%, 7/15/2069 | 381,264 | |
788,052 | Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 | 795,535 | |
484,087 | Navient Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 | 489,650 | |
862,242 | 3 | SMB Private Education Loan Trust 2020-BA, Class A1B, 1.201% (1-month USLIBOR +1.100%), 7/15/2053 | 867,414 |
TOTAL | 2,533,863 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $8,670,680) | 8,776,830 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—2.0% | |||
Federal National Mortgage Association—1.4% | |||
704,391 | 3 | FNMA REMIC, Series 2016-83, Class FA, 0.592% (1-month USLIBOR +0.500%), 11/25/2046 | 709,889 |
997,647 | 3 | FNMA REMIC, Series 2018-15, Class JF, 0.392% (1-month USLIBOR +0.300%), 3/25/2048 | 1,001,407 |
TOTAL | 1,711,296 | ||
Government National Mortgage Association—0.4% | |||
482,198 | GNMA REMIC, Series 2015-47, Class AE, 2.900%, 11/16/2055 | 500,556 | |
Non-Agency Mortgage—0.2% | |||
73,940 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 27,261 |
Principal Amount | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—continued | |||
Non-Agency Mortgage—continued | |||
$ 182,790 | Credit Suisse Mortgage Trust 2015-WIN1, Class A6, 3.500%, 12/25/2044 | $185,062 | |
TOTAL | 212,323 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $2,498,935) | 2,424,175 | ||
REPURCHASE AGREEMENTS—14.1% | |||
15,711,000 | 4 | Interest in $2,496,000,000 joint repurchase agreement 0.06%, dated 6/30/2021 under which Bank of America, N.A. will repurchase securities provided as collateral for $2,496,003,813 on 7/1/2021. 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 8/20/2050 and the market value of those underlying securities was $2,545,923,890. | 15,711,000 |
1,037,500 | Interest in $2,496,000,000 joint repurchase agreement 0.06%, dated 6/30/2021 under which Bank of America, N.A. will repurchase securities provided as collateral for $2,496,003,813 on 7/1/2021. 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 8/20/2050 and the market value of those underlying securities was $2,545,923,890 (purchased with proceeds from securities lending collateral). | 1,037,500 | |
TOTAL REPURCHASE AGREEMENTS (IDENTIFIED COST $16,748,500) | 16,748,500 | ||
TOTAL INVESTMENT IN SECURITIES—111.7% (IDENTIFIED COST $127,941,323)5 | 132,996,934 | ||
OTHER ASSETS AND LIABILITIES - NET—(11.7)%6 | (13,960,989) | ||
TOTAL NET ASSETS—100% | $119,035,945 |
1 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
2 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
3 | Floating/variable note with current rate and current maturity or next reset date shown. |
4 | All or a portion of these securities are segregated pending settlement of when issued and delayed delivery transaction. |
5 | The cost of investments for federal tax purposes amounts to $127,890,106. |
6 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. A significant portion of this balance is the result of dollar-roll transactions as of June 30, 2021. |
The following acronym(s) are used throughout this portfolio: | ||
FHLMC | —Federal Home Loan Mortgage Corporation | |
FNMA | —Federal National Mortgage Association | |
GNMA | —Government National Mortgage Association | |
LIBOR | —London Interbank Offered Rate | |
REMIC | —Real Estate Mortgage Investment Conduit |
Six Months Ended (unaudited) 6/30/2021 | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $11.16 | $10.87 | $10.52 | $10.73 | $10.78 | $10.88 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.08 | 0.20 | 0.27 | 0.24 | 0.23 | 0.23 |
Net realized and unrealized gain (loss) | (0.25) | 0.36 | 0.34 | (0.20) | (0.03) | (0.06) |
TOTAL FROM INVESTMENT OPERATIONS | (0.17) | 0.56 | 0.61 | 0.04 | 0.20 | 0.17 |
Less Distributions: | ||||||
Distributions from net investment income | (0.22) | (0.27) | (0.26) | (0.25) | (0.25) | (0.27) |
Net Asset Value, End of Period | $10.77 | $11.16 | $10.87 | $10.52 | $10.73 | $10.78 |
Total Return2 | (1.50)% | 5.21% | 5.90% | 0.45% | 1.92% | 1.61% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.78%4 | 0.78% | 0.78% | 0.78% | 0.78% | 0.76% |
Net investment income | 1.41%4 | 1.79% | 2.49% | 2.28% | 2.13% | 2.12% |
Expense waiver/reimbursement5 | 0.09%4 | 0.08% | 0.10% | 0.08% | 0.07% | 0.06% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $119,036 | $130,306 | $116,935 | $120,654 | $132,958 | $152,795 |
Portfolio turnover | 73% | 139% | 65% | 64% | 24% | 53% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 10% | 37% | 61% | 64% | 24% | 41% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
Assets: | |
Investment in repurchase agreements | $16,748,500 |
Investment in securities | 116,248,434 |
Investment in securities, at value $1,014,406 of securities loaned (identified cost $127,941,323) | 132,996,934 |
Income receivable | 382,162 |
Receivable for shares sold | 204,266 |
Total Assets | 133,583,362 |
Liabilities: | |
Payable for investments purchased | 13,430,707 |
Payable for shares redeemed | 39,005 |
Payable to bank | 16,055 |
Payable for collateral due to broker for securities lending | 1,037,500 |
Payable for investment adviser fee (Note 5) | 1,644 |
Payable for administrative fee (Note 5) | 255 |
Accrued expenses (Note 5) | 22,251 |
Total Liabilities | 14,547,417 |
Net assets for 11,048,205 shares outstanding | $119,035,945 |
Net Assets Consist of: | |
Paid-in capital | $113,714,511 |
Total distributable earnings (loss) | 5,321,434 |
Total Net Assets | $119,035,945 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$119,035,945 ÷ 11,048,205 shares outstanding, no par value, unlimited shares authorized | $10.77 |
Investment Income: | |
Interest | $1,350,881 |
Expenses: | |
Investment adviser fee (Note 5) | 369,289 |
Administrative fee (Note 5) | 49,572 |
Custodian fees | 8,089 |
Transfer agent fees | 5,798 |
Directors’/Trustees’ fees (Note 5) | 918 |
Auditing fees | 13,149 |
Legal fees | 5,505 |
Portfolio accounting fees | 50,806 |
Printing and postage | 19,431 |
Miscellaneous (Note 5) | 12,850 |
TOTAL EXPENSES | 535,407 |
Waiver of investment adviser fee (Note 5) | (52,316) |
Net expenses | 483,091 |
Net investment income | 867,790 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized gain on investments | 184,684 |
Net change in unrealized appreciation of investments | (2,936,002) |
Net realized and unrealized gain (loss) on investments | (2,751,318) |
Change in net assets resulting from operations | $(1,883,528) |
Six Months Ended (unaudited) 6/30/2021 | Year Ended 12/31/2020 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $867,790 | $2,268,420 |
Net realized gain (loss) | 184,684 | 1,395,168 |
Net change in unrealized appreciation/depreciation | (2,936,002) | 2,528,043 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (1,883,528) | 6,191,631 |
Distributions to Shareholders | (2,510,504) | (2,991,647) |
Share Transactions: | ||
Proceeds from sale of shares | 7,968,505 | 40,391,262 |
Net asset value of shares issued to shareholders in payment of distributions declared | 2,510,504 | 2,991,647 |
Cost of shares redeemed | (17,354,533) | (33,212,417) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (6,875,524) | 10,170,492 |
Change in net assets | (11,269,556) | 13,370,476 |
Net Assets: | ||
Beginning of period | 130,305,501 | 116,935,025 |
End of period | $119,035,945 | $130,305,501 |
Market Value of Securities Loaned | Collateral Received |
$1,014,406 | $1,037,500 |
Six Months Ended 6/30/2021 | Year Ended 12/31/2020 | |
Shares sold | 729,298 | 3,638,718 |
Shares issued to shareholders in payment of distributions declared | 233,971 | 277,261 |
Shares redeemed | (1,591,033) | (2,997,109) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (627,764) | 918,870 |
Short-Term | Long-Term | Total |
$75,297 | $962,497 | $1,037,794 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Purchases | $— |
Sales | $9,328,753 |
Beginning Account Value 1/1/2021 | Ending Account Value 6/30/2021 | Expenses Paid During Period1 | |
Actual | $1,000.00 | $985.00 | $3.84 |
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,020.93 | $3.91 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 0.78%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. |
Annual Evaluation of Adequacy and Effectiveness
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Exhibits |
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant Federated Hermes Insurance Series
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date August 23, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /S/ John B. Fisher
John B. Fisher
Principal Executive Officer
Date August 23, 2021
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date August 23, 2021