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, Pennsylvania 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: 12/31/23
Date of Reporting Period: 12/31/23
Item 1. | Reports to Stockholders |
Share Class | Service |
Federated Hermes Government Money Fund II
A Portfolio of Federated Hermes Insurance Series
Security Type | Percentage of Total Net Assets |
U.S. Government Agency Securities | 26.5% |
U.S. Treasury Securities | 15.6% |
Repurchase Agreements | 57.6% |
Other Assets and Liabilities—Net2 | 0.3% |
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. |
2 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Securities With an Effective Maturity of: | Percentage of Total Net Assets |
1-7 Days | 77.5% |
8-30 Days | 2.0% |
31-90 Days | 6.9% |
91-180 Days | 5.9% |
181 Days or more | 7.4% |
Other Assets and Liabilities—Net2 | 0.3% |
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. |
Principal Amount | Value | ||
GOVERNMENT AGENCIES—26.5% | |||
$ 150,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.440% (SOFR +0.040%), 1/1/2024 | $ 150,000 |
350,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.445% (SOFR +0.045%), 1/1/2024 | 350,000 |
325,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.460% (SOFR +0.060%), 1/1/2024 | 324,997 |
500,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.475% (SOFR +0.075%), 1/1/2024 | 499,995 |
750,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.480% (SOFR +0.080%), 1/1/2024 - 1/2/2024 | 749,997 |
400,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.485% (SOFR +0.085%), 1/1/2024 | 399,998 |
450,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.490% (SOFR +0.090%), 1/1/2024 | 450,000 |
400,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.495% (SOFR +0.095%), 1/1/2024 | 400,000 |
750,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.500% (SOFR +0.100%), 1/1/2024 | 750,000 |
300,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.505% (SOFR +0.105%), 1/1/2024 | 300,000 |
200,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.510% (SOFR +0.110%), 1/1/2024 | 200,000 |
300,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.520% (SOFR +0.120%), 1/1/2024 | 300,000 |
600,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.530% (SOFR +0.130%), 1/1/2024 | 599,998 |
100,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.535% (SOFR +0.135%), 1/1/2024 | 100,000 |
125,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.555% (SOFR +0.155%), 1/1/2024 | 125,000 |
200,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.560% (SOFR +0.160%), 1/1/2024 | 200,000 |
550,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.565% (SOFR +0.165%), 1/1/2024 | 549,962 |
100,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.570% (SOFR +0.170%), 1/1/2024 | 100,000 |
250,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.575% (SOFR +0.175%), 1/1/2024 | 250,000 |
150,000 | 1 | Federal Farm Credit System Floating Rate Notes, 5.600% (SOFR +0.200%), 1/1/2024 | 150,000 |
1,800,000 | Federal Home Loan Bank System Discount Notes, 5.275% - 5.340%, 1/19/2024 - 4/8/2024 | 1,787,775 | |
700,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 5.450% (SOFR +0.050%), 1/1/2024 | 700,000 |
400,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 5.470% (SOFR +0.070%), 1/1/2024 | 400,000 |
450,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 5.500% (SOFR +0.100%), 1/1/2024 | 450,000 |
250,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 5.505% (SOFR +0.105%), 1/1/2024 | 250,013 |
200,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 5.525% (SOFR +0.125%), 1/1/2024 | 200,000 |
250,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 5.555% (SOFR +0.155%), 1/1/2024 | 250,020 |
400,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 5.560% (SOFR +0.160%), 1/1/2024 | 400,000 |
250,000 | 1 | Federal Home Loan Bank System Floating Rate Notes, 5.610% (SOFR +0.210%), 1/1/2024 | 250,000 |
9,475,000 | Federal Home Loan Bank System, 4.980% - 5.640%, 1/10/2024 - 1/3/2025 | 9,474,990 | |
350,000 | Federal Home Loan Mortgage Corp., 5.410% - 5.420%, 6/14/2024 - 6/17/2024 | 350,000 | |
TOTAL GOVERNMENT AGENCIES | 21,462,745 | ||
U.S. TREASURIES—15.6% | |||
2 | U.S. Treasury Bills—8.1% | ||
400,000 | United States Treasury Bill, 5.135%, 10/31/2024 | 382,655 | |
330,000 | United States Treasury Bill, 5.220%, 4/23/2024 | 324,593 | |
200,000 | United States Treasury Bill, 5.250%, 1/18/2024 | 199,504 | |
500,000 | United States Treasury Bill, 5.250%, 4/16/2024 | 492,271 | |
350,000 | United States Treasury Bill, 5.260%, 3/26/2024 | 345,653 | |
750,000 | United States Treasury Bill, 5.270%, 2/22/2024 | 744,291 | |
500,000 | United States Treasury Bill, 5.275%, 2/13/2024 | 496,850 | |
370,000 | United States Treasury Bill, 5.280%, 1/23/2024 | 368,806 | |
200,000 | United States Treasury Bill, 5.285%, 1/4/2024 | 199,912 | |
200,000 | United States Treasury Bill, 5.285%, 2/8/2024 | 198,884 | |
400,000 | United States Treasury Bill, 5.285%, 2/15/2024 | 397,357 | |
400,000 | United States Treasury Bill, 5.285%, 3/12/2024 | 395,831 | |
360,000 | United States Treasury Bill, 5.320%, 5/2/2024 | 353,510 | |
500,000 | United States Treasury Bill, 5.325%, 4/25/2024 | 491,495 | |
250,000 | United States Treasury Bill, 5.345%, 1/30/2024 | 248,923 |
Principal Amount | Value | ||
U.S. TREASURIES—continued | |||
2 | U.S. Treasury Bills—8.1% | ||
$ 900,000 | United States Treasury Bills, 5.285% - 5.335%, 2/27/2024 | $ 892,488 | |
TOTAL | 6,533,023 | ||
U.S. Treasury Notes—7.5% | |||
500,000 | 1 | United States Treasury Floating Rate Notes, 5.255% (91-day T-Bill -0.075%), 1/3/2024 | 500,000 |
750,000 | 1 | United States Treasury Floating Rate Notes, 5.315% (91-day T-Bill -0.015%), 1/3/2024 | 750,025 |
750,000 | 1 | United States Treasury Floating Rate Notes, 5.367% (91-day T-Bill +0.037%), 1/3/2024 | 749,765 |
1,200,000 | 1 | United States Treasury Floating Rate Notes, 5.455% (91-day T-Bill +0.125%), 1/3/2024 | 1,199,398 |
250,000 | 1 | United States Treasury Floating Rate Notes, 5.470% (91-day T-Bill +0.140%), 1/3/2024 | 249,836 |
850,000 | 1 | United States Treasury Floating Rate Notes, 5.499% (91-day T-Bill +0.169%), 1/3/2024 | 850,126 |
750,000 | 1 | United States Treasury Floating Rate Notes, 5.500% (91-day T-Bill +0.170%), 1/3/2024 | 749,224 |
1,050,000 | 1 | United States Treasury Floating Rate Notes, 5.530% (91-day T-Bill +0.200%), 1/3/2024 | 1,050,143 |
TOTAL | 6,098,517 | ||
TOTAL U.S. TREASURIES | 12,631,540 | ||
REPURCHASE AGREEMENTS—57.6% | |||
19,000,000 | Interest in $450,000,000 joint repurchase agreement 5.35%, dated 12/29/2023 under which ABN Amro Bank NV, will repurchase securities provided as collateral for $450,267,500 on 1/2/2024. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 4/15/2054 and the market value of those underlying securities was $460,833,374. | 19,000,000 | |
19,000,000 | Interest in $300,000,000 joint repurchase agreement 5.35%, dated 12/29/2023 under which Wells Fargo Securities LLC will repurchase securities provided as collateral for $300,178,333 on 1/2/2024. 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 12/20/2053 and the market value of those underlying securities was $306,181,900. | 19,000,000 | |
6,585,000 | Interest in $2,000,000,000 joint repurchase agreement 5.34%, dated 12/29/2023 under which Sumitomo Mitsui Banking Corp. will repurchase securities provided as collateral for $2,001,188,889 on 1/2/2024. 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 11/20/2051 and the market value of those underlying securities was $2,041,210,441. | 6,585,000 | |
2,000,000 | Interest in $1,000,000,000 joint repurchase agreement 5.34%, dated 12/27/2023 under which Natixis Financial Products LLC will repurchase securities provided as collateral for $1,005,043,333 on 2/1/2024. 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 10/1/2053 and the market value of those underlying securities was $1,020,953,385. | 2,000,000 | |
TOTAL REPURCHASE AGREEMENTS | 46,585,000 | ||
TOTAL INVESTMENT IN SECURITIES—99.7% (AT AMORTIZED COST)3 | 80,679,285 | ||
OTHER ASSETS AND LIABILITIES - NET—0.3%4 | 234,912 | ||
TOTAL NET ASSETS—100% | $80,914,197 |
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 of investments for federal tax purposes. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following acronym(s) are used throughout this portfolio: | ||
SOFR | —Secured Overnight Financing Rate |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.044 | 0.011 | 0.0002 | 0.002 | 0.016 |
Net realized gain (loss) | — | 0.001 | (0.000)2 | 0.0002 | 0.0002 |
Total From Investment Operations | 0.044 | 0.012 | 0.0002 | 0.002 | 0.016 |
Less Distributions: | |||||
Distributions from net investment income | (0.044) | (0.012) | (0.000)2 | (0.002) | (0.016) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return3 | 4.52% | 1.16% | 0.00%4 | 0.20% | 1.64% |
Ratios to Average Net Assets: | |||||
Net expenses5 | 0.63% | 0.48% | 0.07% | 0.31% | 0.63% |
Net investment income | 4.43% | 1.14% | 0.00%4 | 0.18% | 1.66% |
Expense waiver/reimbursement6 | 0.08% | 0.24% | 0.66% | 0.40% | 0.09% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $80,914 | $80,514 | $81,245 | $90,591 | $80,054 |
1 | Per share numbers have been calculated using the average shares method. |
2 | Represents less than $0.001. |
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. |
4 | Represents less than 0.01%. |
5 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
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 | $46,585,000 |
Investment in securities | 34,094,285 |
Total investment in securities, at amortized cost and fair value | 80,679,285 |
Income receivable | 270,455 |
Receivable for shares sold | 427,734 |
Total Assets | 81,377,474 |
Liabilities: | |
Payable for investments purchased | 396,711 |
Payable for shares redeemed | 23,239 |
Payable to bank | 194 |
Payable for investment adviser fee (Note 5) | 712 |
Payable for administrative fee (Note 5) | 512 |
Payable for portfolio accounting fees | 26,115 |
Payable for other service fees (Notes 2 and 5) | 1,158 |
Accrued expenses (Note 5) | 14,636 |
Total Liabilities | 463,277 |
Net assets for 80,914,620 shares outstanding | $80,914,197 |
Net Assets Consist of: | |
Paid-in capital | $80,914,169 |
Total distributable earnings (loss) | 28 |
Total Net Assets | $80,914,197 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Service Shares: | |
$80,914,197 ÷ 80,914,620 shares outstanding, no par value, unlimited shares authorized | $1.00 |
Investment Income: | |
Interest | $4,031,723 |
Expenses: | |
Investment adviser fee (Note 5) | 159,152 |
Administrative fee (Note 5) | 63,370 |
Custodian fees | 8,482 |
Transfer agent fees | 4,844 |
Directors’/Trustees’ fees (Note 5) | 1,577 |
Auditing fees | 21,092 |
Legal fees | 10,793 |
Portfolio accounting fees | 69,844 |
Other service fees (Notes 2 and 5) | 197,495 |
Printing and postage | 27,287 |
Miscellaneous (Note 5) | 6,817 |
TOTAL EXPENSES | 570,753 |
Waiver of investment adviser fee (Note 5) | (66,971) |
Net expenses | 503,782 |
Net investment income | 3,527,941 |
Change in net assets resulting from operations | $3,527,941 |
Year Ended December 31 | 2023 | 2022 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $3,527,941 | $938,526 |
Net realized gain (loss) | — | 989 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 3,527,941 | 939,515 |
Distributions to Shareholders: | ||
Service Shares | (3,528,028) | (938,522) |
Share Transactions: | ||
Proceeds from sale of shares | 23,706,322 | 30,810,447 |
Net asset value of shares issued to shareholders in payment of distributions declared | 3,527,943 | 938,520 |
Cost of shares redeemed | (26,834,067) | (32,480,761) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 400,198 | (731,794) |
Change in net assets | 400,111 | (730,801) |
Net Assets: | ||
Beginning of period | 80,514,086 | 81,244,887 |
End of period | $80,914,197 | $80,514,086 |
Other Service Fees Incurred | |
Service Shares | $197,495 |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | — | $— | — | $— |
Shares issued to shareholders in payment of distributions declared | — | — | — | — |
Shares redeemed | — | — | (100) | (100) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | — | $— | (100) | $(100) |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 23,706,322 | $23,706,322 | 30,810,447 | $30,810,447 |
Shares issued to shareholders in payment of distributions declared | 3,527,943 | 3,527,943 | 938,520 | 938,520 |
Shares redeemed | (26,834,067) | (26,834,067) | (32,480,661) | (32,480,661) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 400,198 | $400,198 | (731,694) | $(731,694) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 400,198 | $400,198 | (731,794) | $(731,794) |
2023 | 2022 | |
Ordinary income1 | $3,528,028 | $938,522 |
1 | For tax purposes, short-term capital gain distributions are considered ordinary income distributions. |
Undistributed ordinary income | $28 |
TOTAL | $28 |
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 |
February 15, 2024
Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period1 | |
Actual: | |||
Service Shares | $1,000 | $1,024.10 | $3.21 |
Hypothetical (assuming a 5% return before expenses): | |||
Service Shares | $1,000 | $1,022.03 | $3.21 |
1 | Expenses are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (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 ratio is as follows: |
Service Shares | 0.63% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: September 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Thomas R. Donahue* Birth Date: October 20, 1958 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Director or Trustee of certain of the funds in the Federated Hermes Fund Family; Chief Financial Officer, Treasurer, Vice President and Assistant Secretary, Federated Hermes, Inc.; Chairman and Trustee, Federated Administrative Services; Chairman and Director, Federated Administrative Services, Inc.; Trustee and Treasurer, Federated Advisory Services Company; Director or Trustee and Treasurer, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, and Federated Investment Management Company; Director, MDTA LLC; Director, Executive Vice President and Assistant Secretary, Federated Securities Corp.; Director or Trustee and Chairman, Federated Services Company and Federated Shareholder Services Company; and Director and President, FII Holdings, Inc. Previous Positions: Director, Federated Hermes, Inc.; Assistant Secretary, Federated Investment Management Company, Federated Global Investment Management Company and Passport Research, LTD; Treasurer, Passport Research, LTD; Executive Vice President, Federated Securities Corp.; and Treasurer, FII Holdings, Inc. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee and Chair of the Board of Directors or Trustees of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Chair of the Audit Committee, Member of the Compensation Committee, Equifax, Inc.; Lead Director, Member of the Audit and Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President’s Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Emerita, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (natural gas). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as Director of the Office of Church Relations and later as Associate General Secretary for the Diocese of Pittsburgh, a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania and previously served on the Supreme Court’s Board of Continuing Judicial Education and the Supreme Court’s Appellate Court Procedural Rules Committee. Judge Lally-Green was then appointed by the Supreme Court of Pennsylvania and currently serves on the Judicial Ethics Advisory Board. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director, CNX Resources Corporation (natural gas). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, Saint Vincent College; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; and Director and Vice Chair, Saint Francis University. |
Thomas M. O’Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee and Chair of the Audit Committee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O’Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O’Neill serves as Director, Medicines for Humanity. Mr. O’Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); Director, Midway Pacific (lumber); and Director, The Golisano Children’s Museum of Naples, Florida. |
Madelyn A. Reilly Birth Date: February 2, 1956 Trustee Indefinite Term Began serving: November 2020 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors, Duquesne University (Retired). Other Directorships Held: None. Qualifications: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors and Director of Risk Management and Associate General Counsel, Duquesne University. Prior to her work at Duquesne University, Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, Health and Safety, PPG Industries. Ms. Reilly currently serves as a member of the Board of Directors of UPMC Mercy Hospital, and as a member of the Board of Directors of Catholic Charities, Pittsburgh. |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CONSOL Energy Inc. (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and CNX Gas Company; and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes, Inc. in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Director and Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, and Federated MDTA LLC; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and CEO of Passport Research, Ltd.; Director and President, Technology, Federated Services Company. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated Hermes, Inc. in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Inc., Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes, Inc. in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes’ taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund’s Adviser in 2009 and served as a Senior Vice President of the Fund’s Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated Hermes’ money market products in 2004. She joined Federated Hermes in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund’s Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
Share Class | Primary | Service |
Federated Hermes High Income Bond Fund II
A Portfolio of Federated Hermes Insurance Series
1 Year | 5 Years | 10 Years | |
Primary Shares | 12.71% | 4.75% | 4.13% |
Service Shares | 12.47% | 4.49% | 3.87% |
BHY2%ICI | 13.44% | 5.35% | 4.59% |
LVHYFA | 11.81% | 4.78% | 3.90% |
Index Classification | Percentage of Total Net Assets |
Technology | 11.2% |
Cable Satellite | 7.9% |
Insurance - P&C | 6.5% |
Midstream | 6.3% |
Automotive | 6.2% |
Media Entertainment | 5.0% |
Health Care | 4.8% |
Packaging | 4.6% |
Gaming | 4.3% |
Building Materials | 4.0% |
Independent Energy | 3.8% |
Other2 | 29.7% |
Cash Equivalents3 | 4.1% |
Other Assets and Liabilities - Net4 | 1.6% |
Total | 100% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg US Corporate High Yield 2% Issuer Capped Index (BHY2%ICI). Individual portfolio securities that are not included in the BHY2%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—94.0% | |||
Aerospace/Defense—1.6% | |||
$ 475,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.250%, 3/15/2026 | $ 474,661 | |
175,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.750%, 8/15/2028 | 179,258 | |
500,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.875%, 12/15/2030 | 515,328 | |
775,000 | TransDigm, Inc., Sr. Sub., Series WI, 5.500%, 11/15/2027 | 759,936 | |
100,000 | TransDigm, Inc., Sr. Sub., Series WI, 7.500%, 3/15/2027 | 100,569 | |
TOTAL | 2,029,752 | ||
Airlines—0.1% | |||
187,500 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A, 5.500%, 4/20/2026 | 186,285 | |
Automotive—6.2% | |||
75,000 | Adient Global Holdings Ltd., Sec. Fac. Bond, 144A, 7.000%, 4/15/2028 | 77,570 | |
550,000 | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026 | 538,168 | |
22,000 | Clarios Global LP, Sec. Fac. Bond, 144A, 6.750%, 5/15/2025 | 22,207 | |
25,000 | Dana Financing Lux Sarl, Sr. Unsecd. Note, 144A, 5.750%, 4/15/2025 | 24,961 | |
100,000 | Dana, Inc., Sr. Unsecd. Note, 4.500%, 2/15/2032 | 87,120 | |
125,000 | Dana, Inc., Sr. Unsecd. Note, 5.375%, 11/15/2027 | 124,250 | |
575,000 | Dornoch Debt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 6.625%, 10/15/2029 | 519,121 | |
550,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.375%, 11/13/2025 | 526,561 | |
200,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.000%, 11/13/2030 | 179,606 | |
300,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.063%, 11/1/2024 | 294,895 | |
275,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.125%, 8/17/2027 | 260,577 | |
200,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.271%, 1/9/2027 | 191,931 | |
450,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.113%, 5/3/2029 | 438,007 | |
375,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.125%, 6/16/2025 | 370,449 | |
300,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 6.800%, 5/12/2028 | 313,553 | |
375,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, Series GMTN, 4.389%, 1/8/2026 | 364,883 | |
225,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.000%, 5/15/2027 | 219,465 | |
475,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029 | 466,710 | |
300,000 | JB Poindexter & Co., Inc., Sr. Unsecd. Note, 144A, 8.750%, 12/15/2031 | 306,375 | |
1,325,000 | Panther BF Aggregator 2 LP, Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027 | 1,332,103 | |
575,000 | Real Hero Merger Sub 2, Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/1/2029 | 496,367 | |
325,000 | Schaeffler Verwaltung ZW, 144A, 4.750%, 9/15/2026 | 311,664 | |
175,000 | ZF North America Capital, Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/14/2030 | 186,718 | |
TOTAL | 7,653,261 | ||
Banking—0.2% | |||
250,000 | Ally Financial, Inc., Sr. Sub. Note, 5.750%, 11/20/2025 | 248,633 | |
Building Materials—4.0% | |||
25,000 | Abc Supply Co., Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/15/2029 | 22,313 | |
275,000 | American Builders & Contractors Supply Co., Inc., 144A, 4.000%, 1/15/2028 | 260,540 | |
75,000 | Beacon Roofing Supply, Inc., Sr. Note, 144A, 6.500%, 8/1/2030 | 76,743 | |
225,000 | Camelot Return Merger SU, Sec. Fac. Bond, 144A, 8.750%, 8/1/2028 | 228,673 | |
150,000 | Cornerstone Building Brands, Sr. Unsecd. Note, 144A, 6.125%, 1/15/2029 | 123,154 | |
575,000 | Cp Atlas Buyer, Inc., Sr. Unsecd. Note, 144A, 7.000%, 12/1/2028 | 501,273 | |
575,000 | Foundation Building Materials, Inc., Sr. Unsecd. Note, 144A, 6.000%, 3/1/2029 | 517,592 | |
350,000 | Gyp Holdings III Corp., Sr. Unsecd. Note, 144A, 4.625%, 5/1/2029 | 321,544 | |
225,000 | Interface, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/1/2028 | 208,288 | |
75,000 | MIWD Holdco II LLC/ MIWD Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 2/1/2030 | 66,463 | |
575,000 | Srs Distribution, Inc., Sr. Unsecd. Note, 144A, 6.000%, 12/1/2029 | 536,801 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Building Materials—continued | |||
$ 500,000 | Srs Distribution, Inc., Sr. Unsecd. Note, 144A, 6.125%, 7/1/2029 | $ 474,617 | |
375,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 3.375%, 1/15/2031 | 323,160 | |
750,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027 | 731,776 | |
400,000 | White Cap Buyer LLC, Sr. Unsecd. Note, 144A, 6.875%, 10/15/2028 | 387,705 | |
200,000 | White Cap Parent LLC, Sr. Sub. Secd. Note, 144A, 8.250%, 3/15/2026 | 199,332 | |
TOTAL | 4,979,974 | ||
Cable Satellite—7.9% | |||
125,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2031 | 109,407 | |
250,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2034 | 203,492 | |
225,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 6/1/2033 | 190,673 | |
900,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.750%, 3/1/2030 | 823,680 | |
750,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 718,172 | |
75,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.125%, 5/1/2027 | 72,510 | |
275,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029 | 259,595 | |
75,000 | CSC Holdings LLC, Sr. Unsecd. Note, 5.250%, 6/1/2024 | 73,473 | |
225,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2031 | 164,403 | |
425,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.125%, 12/1/2030 | 323,816 | |
300,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.500%, 11/15/2031 | 227,190 | |
450,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.625%, 12/1/2030 | 271,517 | |
475,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2030 | 296,181 | |
400,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.500%, 2/1/2029 | 353,358 | |
350,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 7.500%, 4/1/2028 | 262,166 | |
225,000 | DIRECTV Holdings LLC, Sec. Fac. Bond, 144A, 5.875%, 8/15/2027 | 211,589 | |
225,000 | DISH DBS Corp., Sec. Fac. Bond, 144A, 5.750%, 12/1/2028 | 179,882 | |
50,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.375%, 7/1/2028 | 29,938 | |
275,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.750%, 7/1/2026 | 191,823 | |
575,000 | DISH DBS Corp., Sr. Unsecd. Note, Series WI, 5.125%, 6/1/2029 | 296,944 | |
175,000 | DISH Network Corp., Sec. Fac. Bond, 144A, 11.750%, 11/15/2027 | 182,818 | |
75,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.125%, 9/1/2026 | 70,534 | |
300,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2031 | 257,019 | |
150,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.000%, 7/15/2028 | 138,822 | |
300,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2030 | 267,718 | |
450,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029 | 435,562 | |
850,000 | Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028 | 798,660 | |
625,000 | UPC Broadband Finco B.V., Sr. Note, 144A, 4.875%, 7/15/2031 | 550,825 | |
525,000 | Virgin Media Finance PLC, Sr. Unsecd. Note, 144A, 5.000%, 7/15/2030 | 463,529 | |
200,000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 4.500%, 8/15/2030 | 178,322 | |
200,000 | Vmed O2 UK Financing I PLC, Sec. Fac. Bond, 144A, 4.250%, 1/31/2031 | 174,896 | |
250,000 | Vmed O2 UK Financing I PLC, Sr. Note, 144A, 4.750%, 7/15/2031 | 223,470 | |
375,000 | VZ Secured Financing B.V., Sec. Fac. Bond, 144A, 5.000%, 1/15/2032 | 320,605 | |
200,000 | Ziggo Bond Co. B.V., Sr. Unsecd. Note, 144A, 5.125%, 2/28/2030 | 167,510 | |
275,000 | Ziggo Finance B.V., Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027 | 267,903 | |
TOTAL | 9,758,002 | ||
Chemicals—2.4% | |||
150,000 | Ashland LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/1/2031 | 129,558 | |
150,000 | Axalta Coat/Dutch Holding B.V., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2027 | 145,911 | |
150,000 | Axalta Coating Systems Dutch Holding B B.V., Sr. Unsecd. Note, 144A, 7.250%, 2/15/2031 | 157,497 | |
250,000 | Cheever Escrow Issuer, Sec. Fac. Bond, 144A, 7.125%, 10/1/2027 | 250,474 | |
300,000 | Element Solutions, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2028 | 276,485 | |
175,000 | H.B. Fuller Co., Sr. Unsecd. Note, 4.250%, 10/15/2028 | 163,832 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Chemicals—continued | |||
$ 600,000 | Herens Holdco S.a.r.l., Sec. Fac. Bond, 144A, 4.750%, 5/15/2028 | $ 492,919 | |
125,000 | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., Sr. Unsecd. Note, 144A, 9.000%, 7/1/2028 | 119,675 | |
200,000 | Olympus Water US Holding Corp., Sec. Fac. Bond, 144A, 4.250%, 10/1/2028 | 180,192 | |
225,000 | Olympus Water US Holding Corp., Sec. Fac. Bond, 144A, 9.750%, 11/15/2028 | 239,095 | |
350,000 | Olympus Water US Holding Corp., Sr. Unsecd. Note, 144A, 6.250%, 10/1/2029 | 311,252 | |
275,000 | Polar US Borrower LLC, Sr. Unsecd. Note, 144A, 6.750%, 5/15/2026 | 89,639 | |
200,000 | SPCM S.A., Sr. Unsecd. Note, 144A, 3.375%, 3/15/2030 | 172,048 | |
75,000 | WR Grace Holdings LLC, Sec. Fac. Bond, 144A, 7.375%, 3/1/2031 | 75,143 | |
200,000 | WR Grace Holdings LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 | 176,221 | |
TOTAL | 2,979,941 | ||
Construction Machinery—0.7% | |||
425,000 | H&E Equipment Services, Inc., Sr. Unsecd. Note, 144A, 3.875%, 12/15/2028 | 386,759 | |
175,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 3.750%, 1/15/2032 | 155,037 | |
75,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 4.000%, 7/15/2030 | 69,164 | |
75,000 | United Rentals North America, Inc., Term Loan - 1st Lien, 144A, 6.000%, 12/15/2029 | 76,200 | |
138,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.500%, 5/15/2027 | 138,401 | |
TOTAL | 825,561 | ||
Consumer Cyclical Services—3.3% | |||
225,000 | Allied Universal Holdco LLC, Sec. Fac. Bond, 144A, 6.625%, 7/15/2026 | 224,030 | |
425,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | 346,927 | |
850,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027 | 833,864 | |
375,000 | Cars.com, Inc., Sr. Unsecd. Note, 144A, 6.375%, 11/1/2028 | 361,989 | |
125,000 | Garda World Security Corp., Sec. Fac. Bond, 144A, 4.625%, 2/15/2027 | 120,602 | |
100,000 | Garda World Security Corp., Sec. Fac. Bond, 144A, 7.750%, 2/15/2028 | 103,563 | |
325,000 | Garda World Security Corp., Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | 291,672 | |
325,000 | Go Daddy Operating Co. LLC / GD Finance Co., Inc., Sr. Unsecd. Note, 144A, 5.250%, 12/1/2027 | 318,768 | |
854,000 | GW B-CR Security Corp., Sr. Unsecd. Note, 144A, 9.500%, 11/1/2027 | 861,929 | |
450,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 4.125%, 8/1/2030 | 408,794 | |
275,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | 268,759 | |
TOTAL | 4,140,897 | ||
Consumer Products—1.7% | |||
50,000 | Acushnet Co., Sr. Unsecd. Note, 144A, 7.375%, 10/15/2028 | 52,196 | |
800,000 | BCPE Empire Holdings, Inc., Sr. Unsecd. Note, 144A, 7.625%, 5/1/2027 | 772,241 | |
200,000 | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 4.125%, 4/1/2029 | 182,246 | |
150,000 | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 5.500%, 6/1/2028 | 147,352 | |
375,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.375%, 3/31/2029 | 336,122 | |
300,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2028 | 277,676 | |
275,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 6.500%, 12/31/2027 | 275,284 | |
125,000 | Prestige Brands, Inc., Sr. Unsecd. Note, 144A, 3.750%, 4/1/2031 | 109,409 | |
TOTAL | 2,152,526 | ||
Diversified Manufacturing—1.4% | |||
600,000 | Emerald Debt Merger, Sec. Fac. Bond, 144A, 6.625%, 12/15/2030 | 613,572 | |
850,000 | Gates Global LLC, Sr. Unsecd. Note, 144A, 6.250%, 1/15/2026 | 846,677 | |
125,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.125%, 6/15/2025 | 126,005 | |
200,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.250%, 6/15/2028 | 205,708 | |
TOTAL | 1,791,962 | ||
Finance Companies—2.4% | |||
250,000 | GTCR W. Merger Sub LLC, 144A, 7.500%, 1/15/2031 | 264,343 | |
75,000 | Navient Corp., Sr. Unsecd. Note, 5.000%, 3/15/2027 | 72,480 | |
375,000 | Navient Corp., Sr. Unsecd. Note, 5.500%, 3/15/2029 | 346,225 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Finance Companies—continued | |||
$ 200,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/25/2025 | $ 202,509 | |
175,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/15/2026 | 178,021 | |
100,000 | Quicken Loans LLC / Quicken Loans Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.625%, 3/1/2029 | 90,623 | |
225,000 | Quicken Loans LLC / Quicken Loans Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.875%, 3/1/2031 | 198,174 | |
375,000 | Rocket Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 2.875%, 10/15/2026 | 346,254 | |
250,000 | Rocket Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 4.000%, 10/15/2033 | 212,671 | |
475,000 | United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.500%, 11/15/2025 | 472,427 | |
350,000 | United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2029 | 331,756 | |
275,000 | United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.750%, 6/15/2027 | 269,812 | |
TOTAL | 2,985,295 | ||
Food & Beverage—1.9% | |||
400,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 4/1/2025 | 397,275 | |
350,000 | Bellring Brands, Inc., Sr. Unsecd. Note, 144A, 7.000%, 3/15/2030 | 362,525 | |
200,000 | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 8/1/2029 | 183,643 | |
150,000 | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 5.500%, 10/15/2027 | 147,960 | |
200,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/15/2029 | 192,923 | |
100,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2028 | 99,167 | |
330,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 327,648 | |
150,000 | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/1/2030 | 139,932 | |
475,000 | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2029 | 451,489 | |
TOTAL | 2,302,562 | ||
Gaming—4.3% | |||
400,000 | Affinity Gaming LLC, 144A, 6.875%, 12/15/2027 | 356,861 | |
275,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 4.750%, 12/1/2027 | 265,093 | |
100,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2031 | 91,889 | |
50,000 | Caesars Entertainment Corp., Sec. Fac. Bond, 144A, 7.000%, 2/15/2030 | 51,303 | |
75,000 | Caesars Entertainment Corp., Sr. Unsecd. Note, 144A, 4.625%, 10/15/2029 | 67,743 | |
100,000 | CCM Merger, Inc., Sr. Unsecd. Note, 144A, 6.375%, 5/1/2026 | 97,731 | |
200,000 | Churchill Downs, Inc., Sr. Unsecd. Note, 144A, 6.750%, 5/1/2031 | 203,237 | |
200,000 | Colt Merger Sub, Inc., Sr. Secd. Note, 144A, 5.750%, 7/1/2025 | 200,104 | |
375,000 | Colt Merger Sub, Inc., Sr. Secd. Note, 144A, 6.250%, 7/1/2025 | 376,303 | |
475,000 | Colt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 8.125%, 7/1/2027 | 487,247 | |
125,000 | Light & Wonder, Inc., Sr. Unsecd. Note, 144A, 7.500%, 9/1/2031 | 130,466 | |
225,000 | Midwest Gaming Borrower LLC, Sr. Note, 144A, 4.875%, 5/1/2029 | 209,499 | |
650,000 | Mohegan Tribal Gaming Authority, 144A, 8.000%, 2/1/2026 | 613,886 | |
325,000 | Ontario Gaming GTA LP, Sec. Fac. Bond, 144A, 8.000%, 8/1/2030 | 335,390 | |
200,000 | Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2029 | 171,229 | |
200,000 | Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2027 | 194,074 | |
100,000 | Raptor Acquisition Corp. / Raptor Co-Issuer LLC, Sec. Fac. Bond, 144A, 4.875%, 11/1/2026 | 95,409 | |
350,000 | Scientific Games Holdings Corp., Sr. Unsecd. Note, 144A, 6.625%, 3/1/2030 | 331,315 | |
225,000 | Scientific Games International, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/15/2029 | 230,600 | |
475,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 4.500%, 2/15/2028 | 448,205 | |
250,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 4.625%, 12/1/2031 | 225,671 | |
25,000 | VICI Properties LP / VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 3.500%, 2/15/2025 | 24,376 | |
50,000 | VICI Properties LP / VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2029 | 45,971 | |
50,000 | VICI Properties LP / VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 5.625%, 5/1/2024 | 49,869 | |
TOTAL | 5,303,471 | ||
Health Care—4.8% | |||
175,000 | Ardent Health Services, Sr. Unsecd. Note, 144A, 5.750%, 7/15/2029 | 153,159 | |
225,000 | Avantor Funding, Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/1/2029 | 204,539 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Health Care—continued | |||
$ 550,000 | Avantor Funding, Inc., Sr. Unsecd. Note, 144A, 4.625%, 7/15/2028 | $ 531,966 | |
150,000 | CHS/Community Health Systems, Inc., 144A, 6.125%, 4/1/2030 | 97,308 | |
550,000 | CHS/Community Health Systems, Inc., 144A, 6.875%, 4/15/2029 | 355,529 | |
150,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 5.625%, 3/15/2027 | 139,566 | |
50,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 6.000%, 1/15/2029 | 45,063 | |
87,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.000%, 3/15/2026 | 86,788 | |
125,000 | CHS/Community Health Systems, Inc., Sr. Note, 144A, 5.250%, 5/15/2030 | 104,716 | |
100,000 | Embecta Corp., Sec. Fac. Bond, 144A, 5.000%, 2/15/2030 | 84,956 | |
200,000 | Embecta Corp., Sr. Note, 144A, 6.750%, 2/15/2030 | 174,265 | |
50,000 | Garden Spinco Corp., Sr. Unsecd. Note, 144A, 8.625%, 7/20/2030 | 53,472 | |
350,000 | HCA, Inc., Sr. Unsecd. Note, 5.875%, 2/15/2026 | 353,123 | |
300,000 | IMS Health, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/15/2026 | 297,335 | |
200,000 | Iqvia, Inc., Sr. Unsecd. Note, 144A, 6.500%, 5/15/2030 | 205,272 | |
100,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2029 | 74,056 | |
300,000 | Mozart Debt Merger Sub., Inc., Sec. Fac. Bond, 144A, 3.875%, 4/1/2029 | 271,606 | |
1,150,000 | Mozart Debt Merger Sub., Inc., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2029 | 1,085,504 | |
50,000 | Teleflex, Inc., Sr. Unsecd. Note, 4.625%, 11/15/2027 | 48,652 | |
50,000 | Teleflex, Inc., Sr. Unsecd. Note, 144A, 4.250%, 6/1/2028 | 47,439 | |
125,000 | Tenet Healthcare Corp., 144A, 4.250%, 6/1/2029 | 116,511 | |
175,000 | Tenet Healthcare Corp., 144A, 4.875%, 1/1/2026 | 173,152 | |
300,000 | Tenet Healthcare Corp., 144A, 5.125%, 11/1/2027 | 293,483 | |
100,000 | Tenet Healthcare Corp., 144A, Term Loan - 2nd Lien, 6.250%, 2/1/2027 | 100,561 | |
250,000 | Tenet Healthcare Corp., Sec. Fac. Bond, 144A, 6.750%, 5/15/2031 | 255,825 | |
50,000 | Tenet Healthcare Corp., Sr. Secd. Note, 6.125%, 6/15/2030 | 50,617 | |
475,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 6.125%, 10/1/2028 | 474,074 | |
25,000 | Tenet Healthcare Corp., Term Loan - 1st Lien, 4.625%, 6/15/2028 | 23,873 | |
TOTAL | 5,902,410 | ||
Health Insurance—0.6% | |||
250,000 | Centene Corp., Sr. Unsecd. Note, Series WI, 4.250%, 12/15/2027 | 241,078 | |
575,000 | Centene Corp., Sr. Unsecd. Note, Series WI, 4.625%, 12/15/2029 | 551,990 | |
TOTAL | 793,068 | ||
Independent Energy—3.8% | |||
75,000 | Antero Resources Corp., Sr. Unsecd. Note, 144A, 5.375%, 3/1/2030 | 71,974 | |
13,000 | Antero Resources Corp., Sr. Unsecd. Note, 144A, 7.625%, 2/1/2029 | 13,351 | |
125,000 | Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 | 116,429 | |
200,000 | Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 8.250%, 12/31/2028 | 201,396 | |
75,000 | Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 9.000%, 11/1/2027 | 94,570 | |
175,000 | Berry Petroleum Co., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2026 | 169,489 | |
225,000 | Callon Petroleum Corp., Sr. Unsecd. Note, 144A, 7.500%, 6/15/2030 | 227,156 | |
50,000 | Chord Energy Corp., Sr. Unsecd. Note, 144A, 6.375%, 6/1/2026 | 50,051 | |
100,000 | Civitas Resources, Inc., Sr. Unsecd. Note, 144A, 8.625%, 11/1/2030 | 106,157 | |
50,000 | Civitas Resources, Inc., Sr. Unsecd. Note, 144A, 8.750%, 7/1/2031 | 53,290 | |
225,000 | Civitas Resources, Inc., Unsecd. Note, 144A, 8.375%, 7/1/2028 | 235,169 | |
475,000 | Comstock Resources, Inc., Sr. Unsecd. Note, 144A, 6.750%, 3/1/2029 | 434,992 | |
525,000 | Crownrock LP/ Crownrock F, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2025 | 524,630 | |
250,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 5.875%, 9/1/2025 | 251,563 | |
50,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.125%, 1/1/2031 | 51,970 | |
125,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.625%, 9/1/2030 | 133,091 | |
100,000 | PDC Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 5/15/2026 | 99,872 | |
125,000 | Permian Resources Operating LLC, Sr. Unsecd. Note, 144A, 5.375%, 1/15/2026 | 123,446 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Independent Energy—continued | |||
$ 300,000 | Permian Resources Operating LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | $ 300,123 | |
75,000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | 74,121 | |
200,000 | Range Resources Corp., Sr. Unsecd. Note, 8.250%, 1/15/2029 | 207,245 | |
75,000 | Range Resources Corp., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2030 | 69,412 | |
175,000 | Rockcliff Energy II LLC, Sr. Unsecd. Note, 144A, 5.500%, 10/15/2029 | 165,629 | |
100,000 | Sitio Royalties Operating Partnership Lp / Sitio Finance Corp., Sr. Unsecd. Note, 144A, 7.875%, 11/1/2028 | 103,706 | |
150,000 | SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 | 148,375 | |
125,000 | SM Energy Co., Sr. Unsecd. Note, 6.500%, 7/15/2028 | 125,196 | |
50,000 | SM Energy Co., Sr. Unsecd. Note, 6.625%, 1/15/2027 | 49,768 | |
100,000 | SM Energy Co., Sr. Unsecd. Note, 6.750%, 9/15/2026 | 99,828 | |
125,000 | Southwestern Energy Co., Sr. Unsecd. Note, 4.750%, 2/1/2032 | 115,807 | |
50,000 | Southwestern Energy Co., Sr. Unsecd. Note, 5.375%, 3/15/2030 | 48,882 | |
200,000 | Southwestern Energy Co., Sr. Unsecd. Note, 8.375%, 9/15/2028 | 207,271 | |
TOTAL | 4,673,959 | ||
Industrial - Other—1.3% | |||
25,000 | Madison Iaq LLC, Sec. Fac. Bond, 144A, 4.125%, 6/30/2028 | 22,754 | |
850,000 | Madison Iaq LLC, Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 | 749,967 | |
400,000 | Redwood Star Merger Sub, Sr. Unsecd. Note, 144A, 8.750%, 4/1/2030 | 400,460 | |
202,000 | Vertical Holdco GmbH, Sr. Unsecd. Note, 144A, 7.625%, 7/15/2028 | 198,665 | |
200,000 | Vertical U.S. Newco, Inc., Sr. Unsecd. Note, 144A, 5.250%, 7/15/2027 | 196,607 | |
TOTAL | 1,568,453 | ||
Insurance - P&C—6.5% | |||
125,000 | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, Sec. Fac. Bond, 144A, 7.000%, 1/15/2031 | 131,936 | |
475,000 | AmWINS Group, Inc., Sr. Unsecd. Note, 144A, 4.875%, 6/30/2029 | 434,415 | |
594,567 | Ardonagh Midco 2 PLC, Sr. Unsecd. Note, 144A, 11.500% / 12.750% PIK, 1/15/2027 | 588,370 | |
275,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2029 | 257,031 | |
600,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2025 | 601,655 | |
1,025,000 | Broadstreet Partners, Inc., Sr. Unsecd. Note, 144A, 5.875%, 4/15/2029 | 957,641 | |
225,000 | GTCR AP Finance, Inc., Sr. Unsecd. Note, 144A, 8.000%, 5/15/2027 | 227,589 | |
225,000 | Hub International Ltd., Sec. Fac. Bond, 144A, 7.250%, 6/15/2030 | 237,804 | |
425,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 5.625%, 12/1/2029 | 405,976 | |
1,475,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 7.000%, 5/1/2026 | 1,482,412 | |
300,000 | Jones Deslauriers Insurance Management, Inc., Sec. Fac. Bond, 144A, 8.500%, 3/15/2030 | 315,419 | |
300,000 | Jones Deslauriers Insurance Management, Inc., Sr. Unsecd. Note, 144A, 10.500%, 12/15/2030 | 316,670 | |
125,000 | NFP Corp., Sec. Fac. Bond, 144A, 7.500%, 10/1/2030 | 133,152 | |
1,300,000 | NFP Corp., Sr. Unsecd. Note, 144A, 6.875%, 8/15/2028 | 1,322,523 | |
75,000 | Ryan Specialty Group, Sec. Fac. Bond, 144A, 4.375%, 2/1/2030 | 69,656 | |
500,000 | USI, Inc./NY, Sr. Unsecd. Note, 144A, 7.500%, 1/15/2032 | 512,525 | |
TOTAL | 7,994,774 | ||
Leisure—1.1% | |||
50,000 | Carnival Corp., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2029 | 52,237 | |
50,000 | NCL Corp. Ltd., Sr. Secd. Note, 144A, 8.125%, 1/15/2029 | 52,266 | |
225,000 | NCL Corp. Ltd., Sr. Unsecd. Note, 144A, 5.875%, 3/15/2026 | 220,017 | |
50,000 | NCL Corp. Ltd., Sr. Unsecd. Note, 144A, 7.750%, 2/15/2029 | 50,349 | |
150,000 | NCL Finance Ltd., Sr. Unsecd. Note, 144A, 6.125%, 3/15/2028 | 143,723 | |
25,000 | Royal Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 5.375%, 7/15/2027 | 24,764 | |
125,000 | Royal Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 5.500%, 8/31/2026 | 123,847 | |
450,000 | SeaWorld Parks & Entertainment, Inc., Sr. Unsecd. Note, 144A, 5.250%, 8/15/2029 | 421,194 | |
250,000 | Six Flags Entertainment Corp., Sr. Unsecd. Note, 144A, 7.250%, 5/15/2031 | 250,932 | |
TOTAL | 1,339,329 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Lodging—0.6% | |||
$ 100,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2032 | $ 87,392 | |
75,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.375%, 5/1/2025 | 74,970 | |
100,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.750%, 5/1/2028 | 100,118 | |
175,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, Series WI, 4.875%, 1/15/2030 | 169,783 | |
75,000 | RHP Hotel Property/RHP Finance Corp., Sr. Unsecd. Note, 144A, 7.250%, 7/15/2028 | 78,023 | |
200,000 | Wyndham Hotels & Resorts, Inc., Sr. Unsecd. Note, 144A, 4.375%, 8/15/2028 | 187,155 | |
TOTAL | 697,441 | ||
Media Entertainment—5.0% | |||
350,000 | 1,2 | Audacy Capital Corp., 144A, 6.500%, 5/1/2027 | 6,563 |
350,000 | 1,2 | Audacy Capital Corp., 144A, 6.750%, 3/31/2029 | 7,000 |
125,000 | Cumulus Media News Holdings, Inc., 144A, 6.750%, 7/1/2026 | 84,299 | |
125,000 | 1,2 | Diamond Sports Group LLC / Diamond Sports Finance Co., 144A, 5.375%, 8/15/2026 | 6,406 |
350,000 | 1,2 | Diamond Sports Group LLC / Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 6.625%, 8/15/2027 | 18,375 |
150,000 | Gray Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 11/15/2031 | 113,340 | |
125,000 | Gray Escrow, Inc., Sr. Unsecd. Note, 144A, 7.000%, 5/15/2027 | 118,932 | |
275,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 4.750%, 10/15/2030 | 207,327 | |
250,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2026 | 243,410 | |
100,000 | iHeartCommunications, Inc., 144A, 4.750%, 1/15/2028 | 77,024 | |
175,000 | iHeartCommunications, Inc., 144A, 5.250%, 8/15/2027 | 139,216 | |
856,114 | iHeartCommunications, Inc., Sr. Unsecd. Note, 8.375%, 5/1/2027 | 556,474 | |
100,000 | Lamar Media Corp., Sr. Unsecd. Note, 4.875%, 1/15/2029 | 96,873 | |
100,000 | Lamar Media Corp., Sr. Unsecd. Note, Series WI, 3.625%, 1/15/2031 | 88,947 | |
1,000,000 | Midas Opco Holdings, LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 | 920,933 | |
300,000 | Nexstar Broadcasting, Inc., Sr. Unsecd. Note, 144A, 4.750%, 11/1/2028 | 276,686 | |
325,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027 | 314,530 | |
25,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., 144A, 7.375%, 2/15/2031 | 26,269 | |
50,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2029 | 45,167 | |
325,000 | Outfront Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2030 | 290,113 | |
175,000 | ROBLOX Corp., Sr. Unsecd. Note, 144A, 3.875%, 5/1/2030 | 156,229 | |
250,000 | Scripps Escrow, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027 | 222,341 | |
175,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.125%, 2/15/2027 | 156,350 | |
225,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | 169,045 | |
275,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2028 | 257,213 | |
125,000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 5.000%, 9/15/2029 | 114,691 | |
525,000 | Terrier Media Buyer, Inc., Sr. Unsecd. Note, 144A, 8.875%, 12/15/2027 | 416,884 | |
250,000 | Univision Communications, Inc., Sec. Fac. Bond, 144A, 4.500%, 5/1/2029 | 223,346 | |
175,000 | Univision Communications, Inc., Sec. Fac. Bond, 144A, 7.375%, 6/30/2030 | 174,702 | |
200,000 | Univision Communications, Inc., Sec. Fac. Bond, 144A, 8.000%, 8/15/2028 | 206,470 | |
375,000 | Urban One, Inc., Sec. Fac. Bond, 144A, 7.375%, 2/1/2028 | 319,106 | |
150,000 | WMG Acquisition Corp., Sec. Fac. Bond, 144A, 3.750%, 12/1/2029 | 136,751 | |
TOTAL | 6,191,012 | ||
Metals & Mining—0.5% | |||
225,000 | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 4.625%, 3/1/2029 | 209,011 | |
125,000 | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 6.750%, 4/15/2030 | 126,916 | |
300,000 | Coeur Mining, Inc., Sr. Unsecd. Note, 144A, 5.125%, 2/15/2029 | 276,455 | |
TOTAL | 612,382 | ||
Midstream—6.3% | |||
175,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.750%, 5/20/2027 | 170,370 | |
400,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026 | 396,349 | |
475,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.375%, 6/15/2029 | 457,213 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Midstream—continued | |||
$ 275,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | $ 273,037 | |
400,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | 396,379 | |
250,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 7.875%, 5/15/2026 | 256,452 | |
125,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, 4.000%, 3/1/2031 | 113,808 | |
100,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, Series WI, 3.250%, 1/31/2032 | 85,326 | |
125,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, Series WI, 4.500%, 10/1/2029 | 119,719 | |
175,000 | Cheniere Energy, Inc., Sec. Fac. Bond, Series WI, 4.625%, 10/15/2028 | 170,944 | |
375,000 | CNX Midstream Partners LP, Sr. Unsecd. Note, 144A, 4.750%, 4/15/2030 | 337,233 | |
125,000 | Crestwood Midstream Partners LP, Sr. Unsecd. Note, 144A, 7.375%, 2/1/2031 | 131,445 | |
275,000 | DT Midstream, Inc., Sr. Unsecd. Note, 144A, 4.375%, 6/15/2031 | 248,405 | |
275,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 5.500%, 7/15/2028 | 272,652 | |
125,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 6.500%, 7/15/2048 | 128,268 | |
75,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 4.500%, 1/15/2029 | 70,923 | |
325,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2031 | 302,896 | |
65,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 6.000%, 7/1/2025 | 65,011 | |
375,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 6.500%, 7/1/2027 | 382,071 | |
75,000 | EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 7.500%, 6/1/2027 | 77,327 | |
100,000 | Hess Midstream Operations LP, Sr. Unsecd. Note, 144A, 4.250%, 2/15/2030 | 92,115 | |
100,000 | Hess Midstream Operations LP, Sr. Unsecd. Note, 144A, 5.500%, 10/15/2030 | 96,898 | |
275,000 | Hess Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.125%, 6/15/2028 | 265,574 | |
275,000 | HF Sinclair Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 266,946 | |
250,000 | Oasis Midstream Partners, Sr. Unsecd. Note, 144A, 8.000%, 4/1/2029 | 260,306 | |
250,000 | Solaris Midstream Holdings LLC, Sr. Unsecd. Note, 144A, 7.625%, 4/1/2026 | 253,676 | |
450,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 | 449,681 | |
175,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 6/1/2031 | 158,913 | |
75,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.000%, 1/15/2028 | 74,139 | |
75,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 6.500%, 7/15/2027 | 76,037 | |
575,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | 575,434 | |
225,000 | TransMontaigne Partners LP/TLP Finance Corp., Sr. Unsecd. Note, 6.125%, 2/15/2026 | 204,666 | |
200,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.500%, 3/1/2028 | 193,703 | |
25,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.650%, 7/1/2026 | 24,595 | |
150,000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.750%, 8/15/2028 | 146,559 | |
275,000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.300%, 3/1/2048 | 239,711 | |
TOTAL | 7,834,781 | ||
Oil Field Services—2.0% | |||
200,000 | Archrock Partners LP / Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.250%, 4/1/2028 | 197,206 | |
700,000 | Archrock Partners LP / Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 702,443 | |
175,000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.250%, 1/15/2026 | 168,388 | |
125,000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.500%, 1/15/2028 | 108,223 | |
75,000 | Nabors Industries, Inc., Sec. Fac. Bond, 144A, 9.125%, 1/31/2030 | 75,369 | |
50,000 | Nabors Industries, Inc., Sr. Unsecd. Note, 144A, 7.375%, 5/15/2027 | 49,037 | |
100,000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 6.875%, 1/15/2029 | 96,542 | |
205,000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026 | 205,020 | |
425,000 | USA Compression Partners LP, Sr. Unsecd. Note, 6.875%, 9/1/2027 | 420,428 | |
425,000 | USA Compression Partners LP, Sr. Unsecd. Note, Series WI, 6.875%, 4/1/2026 | 423,673 | |
TOTAL | 2,446,329 | ||
Packaging—4.6% | |||
897,108 | ARD Finance S.A., Sec. Fac. Bond, 144A, 6.500%, 6/30/2027 | 420,102 | |
600,000 | Ardagh Metal Packaging, Sr. Unsecd. Note, 144A, 4.000%, 9/1/2029 | 508,642 | |
200,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sec. Fac. Bond, 144A, 5.250%, 8/15/2027 | 155,608 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Packaging—continued | |||
$ 275,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 5.250%, 8/15/2027 | $ 213,961 | |
275,000 | Ball Corp., Sr. Unsecd. Note, 2.875%, 8/15/2030 | 236,262 | |
75,000 | Ball Corp., Sr. Unsecd. Note, 3.125%, 9/15/2031 | 64,747 | |
100,000 | Ball Corp., Sr. Unsecd. Note, 6.000%, 6/15/2029 | 102,242 | |
100,000 | Ball Corp., Sr. Unsecd. Note, 6.875%, 3/15/2028 | 103,957 | |
225,000 | Berry Global Escrow Corp., 144A, 5.625%, 7/15/2027 | 223,548 | |
225,000 | Bway Holding Co., 144A, 7.875%, 8/15/2026 | 229,181 | |
300,000 | Bway Holding Co., 144A, 9.250%, 4/15/2027 | 294,792 | |
1,200,000 | Clydesdale Acquisition Holdings, Inc., Sr. Unsecd. Note, 144A, 8.750%, 4/15/2030 | 1,120,292 | |
175,000 | Crown Americas LLC / Crown Americas Capital Corp. VI, Sr. Unsecd. Note, 4.750%, 2/1/2026 | 173,448 | |
75,000 | OI European Group B.V., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2030 | 70,219 | |
200,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.375%, 8/15/2025 | 201,412 | |
150,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.625%, 5/13/2027 | 150,200 | |
275,000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/15/2031 | 279,164 | |
100,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 5.000%, 4/15/2029 | 96,810 | |
100,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 6.125%, 2/1/2028 | 100,926 | |
100,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 7.250%, 2/15/2031 | 106,155 | |
275,000 | Trivium Packaging Finance B.V., Sec. Fac. Bond, 144A, 5.500%, 8/15/2026 | 270,092 | |
600,000 | Trivium Packaging Finance B.V., Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027 | 588,977 | |
TOTAL | 5,710,737 | ||
Paper—0.2% | |||
150,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 3.500%, 3/1/2029 | 135,595 | |
25,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 3.750%, 2/1/2030 | 22,539 | |
125,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 4.750%, 7/15/2027 | 121,385 | |
TOTAL | 279,519 | ||
Pharmaceuticals—1.6% | |||
75,000 | Bausch Health Cos., Inc., Sec. Fac. Bond, 144A, 6.125%, 2/1/2027 | 50,705 | |
75,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2029 | 32,626 | |
275,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.250%, 1/30/2030 | 127,060 | |
325,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.250%, 2/15/2031 | 141,931 | |
200,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/30/2029 | 91,628 | |
325,000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 8.500%, 1/31/2027 | 178,736 | |
675,000 | Grifols Escrow Issuer S.A., Sr. Unsecd. Note, 144A, 4.750%, 10/15/2028 | 612,903 | |
350,000 | Jazz Securities Designated Activity Co., Sec. Fac. Bond, 144A, 4.375%, 1/15/2029 | 326,235 | |
450,000 | Organon Finance 1 LLC, Sr. Unsecd. Note, 144A, 5.125%, 4/30/2031 | 385,391 | |
TOTAL | 1,947,215 | ||
Restaurant—1.5% | |||
225,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 3.500%, 2/15/2029 | 207,691 | |
1,000,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 4.000%, 10/15/2030 | 898,129 | |
150,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 4.375%, 1/15/2028 | 143,399 | |
75,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Sr. Unsecd. Note, 144A, 4.750%, 6/1/2027 | 73,929 | |
375,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 4.625%, 1/31/2032 | 351,080 | |
75,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 5.375%, 4/1/2032 | 73,769 | |
75,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 72,780 | |
TOTAL | 1,820,777 | ||
Retailers—1.2% | |||
325,000 | Academy Ltd., Sec. Fac. Bond, 144A, 6.000%, 11/15/2027 | 319,537 | |
200,000 | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 4.625%, 11/15/2029 | 185,344 | |
150,000 | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2032 | 136,495 | |
300,000 | Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/1/2029 | 256,868 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Retailers—continued | |||
$ 75,000 | Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.875%, 10/1/2031 | $ 61,872 | |
75,000 | Kontoor Brands, Inc., Sr. Unsecd. Note, 144A, 4.125%, 11/15/2029 | 67,873 | |
100,000 | LCM Investments Holdings II, LLC, Sr. Unsecd. Note, 144A, 4.875%, 5/1/2029 | 93,017 | |
200,000 | LCM Investments Holdings II, LLC, Sr. Unsecd. Note, 144A, 8.250%, 8/1/2031 | 208,945 | |
100,000 | William Carter Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2027 | 98,812 | |
TOTAL | 1,428,763 | ||
Supermarkets—0.5% | |||
425,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 3.500%, 3/15/2029 | 386,390 | |
75,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 5.875%, 2/15/2028 | 75,097 | |
150,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 6.500%, 2/15/2028 | 151,886 | |
50,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 7.500%, 3/15/2026 | 50,960 | |
TOTAL | 664,333 | ||
Technology—11.2% | |||
150,000 | AMS AG, Sr. Unsecd. Note, 144A, 12.250%, 3/30/2029 | 166,999 | |
150,000 | Black Knight InfoServ LLC, Sr. Unsecd. Note, 144A, 3.625%, 9/1/2028 | 142,312 | |
350,000 | Boxer Parent Co., Inc., 144A, 9.125%, 3/1/2026 | 351,641 | |
300,000 | Capstone Borrower, Inc., Sec. Fac. Bond, 144A, 8.000%, 6/15/2030 | 312,441 | |
200,000 | Centerfield Media Parent, Sr. Note, 144A, 6.625%, 8/1/2026 | 142,194 | |
125,000 | Central Parent LLC / CDK Global II LLC / CDK Financing Co., 144A, 8.000%, 6/15/2029 | 130,566 | |
500,000 | Central Parent, Inc./Central Merger Sub, Inc., 144A, 7.250%, 6/15/2029 | 510,297 | |
50,000 | Ciena Corp., Sr. Unsecd. Note, 144A, 4.000%, 1/31/2030 | 45,593 | |
550,000 | Clarivate Science Holdings Corp., Sr. Unsecd. Note, 144A, 4.875%, 7/1/2029 | 516,656 | |
400,000 | Cloud Software Group, Inc., Sec. Fac. Bond, 144A, 9.000%, 9/30/2029 | 380,525 | |
550,000 | Coherent Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 | 522,940 | |
275,000 | Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.000%, 10/15/2026 | 261,748 | |
325,000 | Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.500%, 10/15/2028 | 295,128 | |
225,000 | Dun & Bradstreet Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 | 210,130 | |
450,000 | Elastic N.V., Sr. Unsecd. Note, 144A, 4.125%, 7/15/2029 | 413,688 | |
75,000 | Entegris Escrow Corp., Sec. Fac. Bond, 144A, 4.750%, 4/15/2029 | 72,342 | |
550,000 | Entegris Escrow Corp., Sr. Unsecd. Note, 144A, 5.950%, 6/15/2030 | 547,307 | |
100,000 | Gartner, Inc., Sr. Unsecd. Note, 144A, 3.750%, 10/1/2030 | 88,507 | |
25,000 | Gartner, Inc., Sr. Unsecd. Note, 144A, 4.500%, 7/1/2028 | 23,724 | |
325,000 | HealthEquity, Inc., Sr. Unsecd. Note, 144A, 4.500%, 10/1/2029 | 302,172 | |
375,000 | Helios Software Holdings, Sec. Fac. Bond, 144A, 4.625%, 5/1/2028 | 342,463 | |
450,000 | Iron Mountain, Inc., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2029 | 462,826 | |
550,000 | Logan Merger Sub, Inc., Sr. Secd. Note, 144A, 5.500%, 9/1/2027 | 266,570 | |
1,125,000 | McAfee Corp., Sr. Unsecd. Note, 144A, 7.375%, 2/15/2030 | 1,028,910 | |
1,125,000 | Minerva Merger Sub, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2030 | 1,022,077 | |
250,000 | NCR Atleos Escrow Corp., Sec. Fac. Bond, 144A, 9.500%, 4/1/2029 | 265,843 | |
275,000 | NCR Voyix Corp., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2028 | 260,232 | |
300,000 | NCR Voyix Corp., Sr. Unsecd. Note, 144A, 5.125%, 4/15/2029 | 285,516 | |
350,000 | NCR Voyix Corp., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2030 | 321,875 | |
25,000 | Open Text Corp., 144A, 6.900%, 12/1/2027 | 26,007 | |
275,000 | Open Text Corp., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2028 | 255,705 | |
75,000 | Open Text Holdings, Inc. / Open Text Corp., Sr. Unsecd. Note, 144A, 4.125%, 2/15/2030 | 67,960 | |
275,000 | Open Text Holdings, Inc. / Open Text Corp., Sr. Unsecd. Note, 144A, 4.125%, 12/1/2031 | 243,598 | |
450,000 | Picard Midco, Inc., Sec. Fac. Bond, 144A, 6.500%, 3/31/2029 | 428,963 | |
325,000 | Rackspace Technology, Inc., 144A, 3.500%, 2/15/2028 | 130,847 | |
600,000 | Rocket Software, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2029 | 522,639 | |
75,000 | Science Applications International Corp., Sr. Unsecd. Note, 144A, 4.875%, 4/1/2028 | 71,736 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$ 456,125 | Seagate HDD Cayman, Sr. Unsecd. Note, 9.625%, 12/1/2032 | $ 521,967 | |
125,000 | Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 8.500%, 7/15/2031 | 135,741 | |
200,000 | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 4.000%, 4/15/2029 | 186,085 | |
200,000 | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 5.875%, 9/1/2030 | 198,916 | |
75,000 | Sensata Technologies, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2031 | 66,209 | |
750,000 | SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027 | 739,768 | |
100,000 | Synaptics, Inc., Sr. Unsecd. Note, 144A, 4.000%, 6/15/2029 | 89,834 | |
275,000 | TTM Technologies, Inc., Sr. Unsecd. Note, 144A, 4.000%, 3/1/2029 | 250,137 | |
75,000 | Viavi Solutions, Inc., Sr. Unsecd. Note, 144A, 3.750%, 10/1/2029 | 65,752 | |
175,000 | ZipRecruiter, Inc., Sr. Unsecd. Note, 144A, 5.000%, 1/15/2030 | 152,987 | |
TOTAL | 13,848,073 | ||
Transportation Services—0.3% | |||
375,000 | Watco Cos LLC/Finance Co., Sr. Unsecd. Note, 144A, 6.500%, 6/15/2027 | 375,399 | |
Utility - Electric—2.1% | |||
300,000 | Calpine Corp., 144A, 4.500%, 2/15/2028 | 285,532 | |
67,000 | Calpine Corp., 144A, 5.250%, 6/1/2026 | 66,152 | |
200,000 | Calpine Corp., Sr. Secd. Note, 144A, 3.750%, 3/1/2031 | 175,650 | |
25,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 4.625%, 2/1/2029 | 23,245 | |
25,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2031 | 22,951 | |
175,000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028 | 167,896 | |
191,000 | Enviva Partners LP/Enviva Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 1/15/2026 | 94,280 | |
150,000 | NextEra Energy Operating Partners LP, Sr. Unsecd. Note, 144A, 7.250%, 1/15/2029 | 157,130 | |
39,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2032 | 33,432 | |
250,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 5.250%, 6/15/2029 | 242,379 | |
50,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | 46,555 | |
475,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028 | 461,801 | |
25,000 | TransAlta Corp., Sr. Unsecd. Note, 7.750%, 11/15/2029 | 26,572 | |
175,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026 | 172,884 | |
400,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027 | 394,808 | |
250,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 7.750%, 10/15/2031 | 259,835 | |
TOTAL | 2,631,102 | ||
Wireless Communications—0.2% | |||
250,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2028 | 249,259 | |
TOTAL CORPORATE BONDS (IDENTIFIED COST $125,049,114) | 116,347,237 | ||
COMMON STOCKS—0.3% | |||
Media Entertainment—0.0% | |||
7,915 | 2 | iHeartMedia, Inc. | 21,133 |
Oil Field Services—0.3% | |||
4,754 | 2 | Superior Energy Services, Inc. | 372,397 |
TOTAL COMMON STOCKS (IDENTIFIED COST $270,600) | 393,530 | ||
REPURCHASE AGREEMENT—4.1% | |||
$5,009,000 | Interest in $1,800,000,000 joint repurchase agreement 5.34%, dated 12/29/2023 under which Bank of Montreal will repurchase securities provided as collateral for $1,801,068,000 on 1/2/2024. 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 2/20/2073 and the market value of those underlying securities was $1,855,100,040. (IDENTIFIED COST $5,009,000) | 5,009,000 | |
TOTAL INVESTMENT IN SECURITIES—98.4% (IDENTIFIED COST $130,328,714)3 | 121,749,767 | ||
OTHER ASSETS AND LIABILITIES - NET—1.6%4 | 1,984,468 | ||
TOTAL NET ASSETS—100% | $123,734,235 |
1 | Issuer in default. |
2 | Non-income-producing security. |
3 | The cost of investments for federal tax purposes amounts to $130,632,915. |
4 | 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 December 31, 2023, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $116,347,237 | $— | $116,347,237 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 21,133 | 372,397 | — | 393,530 |
Repurchase Agreement | — | 5,009,000 | — | 5,009,000 |
TOTAL SECURITIES | $21,133 | $121,728,634 | $— | $121,749,767 |
The following acronym(s) are used throughout this portfolio: | ||
GMTN | —Global Medium Term Note | |
PIK | —Payment in Kind |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $5.34 | $6.39 | $6.41 | $6.53 | $6.07 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.30 | 0.29 | 0.28 | 0.30 | 0.33 |
Net realized and unrealized gain (loss) | 0.34 | (1.02) | 0.02 | (0.05) | 0.53 |
Total From Investment Operations | 0.64 | (0.73) | 0.30 | 0.25 | 0.86 |
Less Distributions: | |||||
Distributions from net investment income | (0.32) | (0.32) | (0.32) | (0.37) | (0.40) |
Net Asset Value, End of Period | $5.66 | $5.34 | $6.39 | $6.41 | $6.53 |
Total Return2 | 12.71% | (11.78)% | 4.85% | 5.59% | 14.54% |
Ratios to Average Net Assets: | |||||
Net expenses3 | 0.81% | 0.81% | 0.81% | 0.81% | 0.81% |
Net investment income | 5.69% | 5.15% | 4.42% | 4.95% | 5.26% |
Expense waiver/reimbursement4 | 0.06% | 0.05% | 0.04% | 0.03% | 0.02% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $72,987 | $68,740 | $103,152 | $109,888 | $109,538 |
Portfolio turnover5 | 16% | 13% | 39% | 36% | 31% |
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. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | 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. |
5 | Securities that mature are considered sales for purposes of this calculation. |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $5.31 | $6.35 | $6.38 | $6.49 | $6.04 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.29 | 0.27 | 0.26 | 0.28 | 0.31 |
Net realized and unrealized gain (loss) | 0.34 | (1.00) | 0.01 | (0.03) | 0.52 |
Total From Investment Operations | 0.63 | (0.73) | 0.27 | 0.25 | 0.83 |
Less Distributions: | |||||
Distributions from net investment income | (0.31) | (0.31) | (0.30) | (0.36) | (0.38) |
Net Asset Value, End of Period | $5.63 | $5.31 | $6.35 | $6.38 | $6.49 |
Total Return2 | 12.47% | (11.92)% | 4.44% | 5.46% | 14.13% |
Ratios to Average Net Assets: | |||||
Net expenses3 | 1.06% | 1.06% | 1.06% | 1.06% | 1.06% |
Net investment income | 5.44% | 4.92% | 4.16% | 4.70% | 4.99% |
Expense waiver/reimbursement4 | 0.06% | 0.05% | 0.04% | 0.03% | 0.02% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $50,747 | $47,172 | $57,578 | $50,322 | $58,591 |
Portfolio turnover5 | 16% | 13% | 39% | 36% | 31% |
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. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | 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. |
5 | Securities that mature are considered sales for purposes of this calculation. |
Assets: | |
Investment in securities, at value (identified cost $130,328,714) | $121,749,767 |
Cash | 427 |
Income receivable | 2,072,136 |
Receivable for investments sold | 1,350 |
Receivable for shares sold | 6,614 |
Total Assets | 123,830,294 |
Liabilities: | |
Payable for shares redeemed | 33,248 |
Payable for investment adviser fee (Note 5) | 5,465 |
Payable for administrative fee (Note 5) | 790 |
Payable for custodian fees | 8,390 |
Payable for portfolio accounting fees | 33,578 |
Payable for distribution services fee (Note 5) | 10,547 |
Accrued expenses (Note 5) | 4,041 |
Total Liabilities | 96,059 |
Net assets for 21,896,584 shares outstanding | $123,734,235 |
Net Assets Consist of: | |
Paid-in capital | $144,587,113 |
Total distributable earnings (loss) | (20,852,878) |
Total Net Assets | $123,734,235 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Primary Shares: | |
$72,987,605 ÷ 12,885,716 shares outstanding, no par value, unlimited shares authorized | $5.66 |
Service Shares: | |
$50,746,630 ÷ 9,010,868 shares outstanding, no par value, unlimited shares authorized | $5.63 |
Investment Income: | |
Interest | $7,699,420 |
Expenses: | |
Investment adviser fee (Note 5) | 709,906 |
Administrative fee (Note 5) | 100,609 |
Custodian fees | 13,757 |
Transfer agent fees | 14,575 |
Directors’/Trustees’ fees (Note 5) | 1,767 |
Auditing fees | 35,721 |
Legal fees | 10,587 |
Portfolio accounting fees | 102,624 |
Distribution services fee (Note 5) | 119,413 |
Printing and postage | 26,598 |
Miscellaneous (Note 5) | 22,479 |
TOTAL EXPENSES | 1,158,036 |
Waiver of investment adviser fee (Note 5) | (74,454) |
Net expenses | 1,083,582 |
Net investment income | 6,615,838 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized loss on investments | (3,294,561) |
Net change in unrealized depreciation of investments | 10,827,457 |
Net realized and unrealized gain (loss) on investments | 7,532,896 |
Change in net assets resulting from operations | $14,148,734 |
Year Ended December 31 | 2023 | 2022 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $6,615,838 | $6,532,149 |
Net realized gain (loss) | (3,294,561) | (1,351,738) |
Net change in unrealized appreciation/depreciation | 10,827,457 | (22,618,212) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 14,148,734 | (17,437,801) |
Distributions to Shareholders: | ||
Primary Shares | (4,093,344) | (4,434,390) |
Service Shares | (2,681,065) | (2,815,712) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (6,774,409) | (7,250,102) |
Share Transactions: | ||
Proceeds from sale of shares | 18,445,601 | 17,048,944 |
Net asset value of shares issued to shareholders in payment of distributions declared | 6,774,404 | 7,250,097 |
Cost of shares redeemed | (24,771,499) | (44,429,214) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 448,506 | (20,130,173) |
Change in net assets | 7,822,831 | (44,818,076) |
Net Assets: | ||
Beginning of period | 115,911,404 | 160,729,480 |
End of period | $123,734,235 | $115,911,404 |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 2,494,006 | $13,279,685 | 2,111,750 | $11,833,606 |
Shares issued to shareholders in payment of distributions declared | 804,193 | 4,093,344 | 769,859 | 4,434,390 |
Shares redeemed | (3,280,638) | (17,518,397) | (6,157,435) | (35,688,342) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | 17,561 | $(145,368) | (3,275,826) | $(19,420,346) |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 965,254 | $5,165,916 | 910,215 | $5,215,338 |
Shares issued to shareholders in payment of distributions declared | 528,809 | 2,681,060 | 490,541 | 2,815,707 |
Shares redeemed | (1,365,031) | (7,253,102) | (1,579,698) | (8,740,872) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 129,032 | $593,874 | (178,942) | $(709,827) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 146,593 | $448,506 | (3,454,768) | $(20,130,173) |
2023 | 2022 | |
Ordinary income | $6,774,409 | $7,250,102 |
Undistributed ordinary income | $6,751,014 |
Net unrealized depreciation | $(8,883,148) |
Capital loss carryforwards | $(18,720,744) |
TOTAL | $(20,852,878) |
Short-Term | Long-Term | Total |
$197,407 | $18,523,337 | $18,720,744 |
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 | $119,413 |
Purchases | $17,649,881 |
Sales | $19,655,417 |
February 15, 2024
Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,072.00 | $4.23 |
Service Shares | $1,000 | $1,072.40 | $5.54 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,021.12 | $4.13 |
Service Shares | $1,000 | $1,019.86 | $5.40 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (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% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: September 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Thomas R. Donahue* Birth Date: October 20, 1958 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Director or Trustee of certain of the funds in the Federated Hermes Fund Family; Chief Financial Officer, Treasurer, Vice President and Assistant Secretary, Federated Hermes, Inc.; Chairman and Trustee, Federated Administrative Services; Chairman and Director, Federated Administrative Services, Inc.; Trustee and Treasurer, Federated Advisory Services Company; Director or Trustee and Treasurer, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, and Federated Investment Management Company; Director, MDTA LLC; Director, Executive Vice President and Assistant Secretary, Federated Securities Corp.; Director or Trustee and Chairman, Federated Services Company and Federated Shareholder Services Company; and Director and President, FII Holdings, Inc. Previous Positions: Director, Federated Hermes, Inc.; Assistant Secretary, Federated Investment Management Company, Federated Global Investment Management Company and Passport Research, LTD; Treasurer, Passport Research, LTD; Executive Vice President, Federated Securities Corp.; and Treasurer, FII Holdings, Inc. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee and Chair of the Board of Directors or Trustees of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Chair of the Audit Committee, Member of the Compensation Committee, Equifax, Inc.; Lead Director, Member of the Audit and Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President’s Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Emerita, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (natural gas). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as Director of the Office of Church Relations and later as Associate General Secretary for the Diocese of Pittsburgh, a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania and previously served on the Supreme Court’s Board of Continuing Judicial Education and the Supreme Court’s Appellate Court Procedural Rules Committee. Judge Lally-Green was then appointed by the Supreme Court of Pennsylvania and currently serves on the Judicial Ethics Advisory Board. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director, CNX Resources Corporation (natural gas). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, Saint Vincent College; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; and Director and Vice Chair, Saint Francis University. |
Thomas M. O’Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee and Chair of the Audit Committee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O’Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O’Neill serves as Director, Medicines for Humanity. Mr. O’Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); Director, Midway Pacific (lumber); and Director, The Golisano Children’s Museum of Naples, Florida. |
Madelyn A. Reilly Birth Date: February 2, 1956 Trustee Indefinite Term Began serving: November 2020 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors, Duquesne University (Retired). Other Directorships Held: None. Qualifications: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors and Director of Risk Management and Associate General Counsel, Duquesne University. Prior to her work at Duquesne University, Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, Health and Safety, PPG Industries. Ms. Reilly currently serves as a member of the Board of Directors of UPMC Mercy Hospital, and as a member of the Board of Directors of Catholic Charities, Pittsburgh. |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CONSOL Energy Inc. (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and CNX Gas Company; and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes, Inc. in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Director and Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, and Federated MDTA LLC; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and CEO of Passport Research, Ltd.; Director and President, Technology, Federated Services Company. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated Hermes, Inc. in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Inc., Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes, Inc. in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes’ taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund’s Adviser in 2009 and served as a Senior Vice President of the Fund’s Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated Hermes’ money market products in 2004. She joined Federated Hermes in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund’s Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
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
1 Year | 5 Years | 10 Years | |
Primary Shares | 15.23% | 7.31% | 8.66% |
Service Shares | 14.93% | 7.06% | 8.39% |
RMCGI | 25.87% | 13.82% | 10.57% |
MIMCGFA | 20.89% | 12.13% | 9.02% |
Sector Composition | Percentage of Total Net Assets |
Health Care | 37.0% |
Information Technology | 12.8% |
Industrials | 10.9% |
Consumer Discretionary | 10.0% |
Financials | 9.2% |
Real Estate | 5.5% |
Materials | 3.8% |
Energy | 2.8% |
Communication Services | 2.3% |
Consumer Staples | 1.9% |
Utilities | 1.2% |
U.S. Treasury Notes | 1.2% |
Securities Lending Collateral2 | 0.6% |
Cash Equivalents3 | 1.4% |
Other Assets and Liabilities—Net4 | (0.6)% |
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—95.5% | |||
Communication Services—2.3% | |||
7,351 | 1 | Alphabet, Inc., Class A | $ 1,026,861 |
10,100 | Infrastrutture Wireless Italiane SPA | 127,928 | |
872 | 1 | Meta Platforms, Inc. | 308,653 |
7,457 | 1 | Pinterest, Inc. | 276,207 |
900 | 1 | Take-Two Interactive Software, Inc. | 144,855 |
32,573 | Universal Music Group | 930,160 | |
TOTAL | 2,814,664 | ||
Consumer Discretionary—9.6% | |||
3,600 | 1 | Airbnb, Inc. | 490,104 |
5,200 | 1 | Alibaba Group Holding Ltd., ADR | 403,052 |
9,741 | 1 | Amazon.com, Inc. | 1,480,048 |
6,160 | 1,2 | Birkenstock Holding Ltd. | 300,177 |
460 | 1 | Chipotle Mexican Grill, Inc. | 1,052,002 |
2,555 | 1 | DoorDash, Inc. | 252,664 |
13,001 | 1 | DraftKings, Inc. | 458,285 |
2,480 | 1 | Five Below, Inc. | 528,637 |
4,600 | 1 | Floor & Decor Holdings, Inc. | 513,176 |
1,850 | 1 | Lululemon Athletica, Inc. | 945,886 |
309 | 1 | Mercadolibre, Inc. | 485,606 |
6,200 | Moncler S.p.A | 382,332 | |
434,941 | NagaCorp Ltd. | 170,880 | |
2,500 | Nike, Inc., Class B | 271,425 | |
2,600 | 1 | Planet Fitness, Inc. | 189,800 |
51,123 | 1 | Sportradar Group AG | 564,909 |
4,650 | TJX Cos., Inc. | 436,216 | |
11,600 | Wingstop, Inc. | 2,976,328 | |
TOTAL | 11,901,527 | ||
Consumer Staples—1.9% | |||
1,600 | Costco Wholesale Corp. | 1,056,128 | |
3,844 | 1 | Maplebear, Inc. | 90,219 |
12,800 | Philip Morris International, Inc. | 1,204,224 | |
TOTAL | 2,350,571 | ||
Energy—2.8% | |||
6,935 | Cheniere Energy, Inc. | 1,183,874 | |
60,800 | New Fortress Energy, Inc. | 2,293,984 | |
TOTAL | 3,477,858 | ||
Financials—9.1% | |||
19,100 | Apollo Global Management, Inc. | 1,779,929 | |
1,500 | BlackRock, Inc. | 1,217,700 | |
173,500 | 1 | Blue Owl Capital, Inc. | 2,585,150 |
26,900 | FinecoBank Banca Fineco SPA | 404,165 | |
17,900 | Hamilton Lane, Inc. | 2,030,576 | |
11,899 | London Stock Exchange Group PLC | 1,406,626 | |
1,280 | MSCI, Inc., Class A | 724,032 | |
2,450 | S&P Global, Inc. | 1,079,274 | |
TOTAL | 11,227,452 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Health Care—36.4% | |||
17,400 | 1 | 89Bio, Inc. | $ 194,358 |
2,800 | Abbott Laboratories | 308,196 | |
6,565 | 1 | Acrivon Therapeutics, Inc. | 32,300 |
58,700 | 1,3 | Albireo Pharma CVR, Rights | 126,205 |
1,675 | 1 | Alnylam Pharmaceuticals, Inc. | 320,612 |
4,606 | 1 | Ambrx Biopharma, Inc. | 65,589 |
29,100 | 1 | Amphastar Pharmaceuticals, Inc. | 1,799,835 |
2,500 | 1 | Amylyx Pharmaceuticals, Inc. | 36,800 |
62,476 | 1 | Arcturus Therapeutics Holdings, Inc. | 1,969,868 |
15,870 | 1 | Argenx SE | 6,030,760 |
180 | 1 | Argenx SE | 68,257 |
170 | 1 | Argenx SE, ADR | 64,673 |
1,900 | AstraZeneca PLC | 255,898 | |
120,600 | 1 | aTyr Pharma, Inc. | 170,046 |
7,369 | 1 | Century Therapeutics, Inc. | 24,465 |
56,475 | 1,3 | Contra Akouos, Inc., Rights | 44,615 |
40,800 | 1 | Corcept Therapeutics, Inc. | 1,325,184 |
5,100 | 1 | CRISPR Therapeutics AG | 319,260 |
9,700 | Danaher Corp. | 2,243,998 | |
10,400 | 1 | Denali Therapeutics, Inc. | 223,184 |
28,400 | 1 | Dexcom, Inc. | 3,524,156 |
139,900 | 1 | Dynavax Technologies Corp. | 1,955,802 |
10,894 | 1 | EDAP TMS S.A., ADR | 57,520 |
1,400 | Eli Lilly & Co. | 816,088 | |
17,822 | 1 | Fusion Pharmaceuticals, Inc. | 171,269 |
39,400 | 1 | Fusion Pharmaceuticals, Inc. | 378,634 |
104,689 | 1 | Fusion Pharmaceuticals, Inc. | 1,006,061 |
400 | 1 | Genmab A/S | 127,413 |
12,000 | 1 | Guardant Health, Inc. | 324,600 |
44,600 | 1 | IDEAYA Biosciences, Inc. | 1,586,868 |
1,000 | 1 | IDEXX Laboratories, Inc. | 555,050 |
5,268 | 1 | Inspire Medical Systems, Inc. | 1,071,669 |
2,900 | 1 | Insulet Corp. | 629,242 |
25,300 | 1 | Intellia Therapeutics, Inc. | 771,397 |
2,700 | 1 | Intuitive Surgical, Inc. | 910,872 |
4,307 | 1,3 | Laronde, Inc. | 93,398 |
21,643 | 1 | Legend Biotech Corp., ADR | 1,302,259 |
36,086 | 1 | Merus NV | 992,365 |
17,225 | 1 | Minerva Neurosciences, Inc. | 105,934 |
4,050 | 1 | Minerva Neurosciences, Inc. | 24,908 |
14,250 | 1,2 | Moonlake Immunotherapeutics | 860,557 |
7,200 | 1 | Natera, Inc. | 451,008 |
6,800 | Novo Nordisk A/S | 703,357 | |
19,764 | 1 | Orchard Therapeutics PLC, ADR | 325,118 |
35,326 | 1 | Regulus Therapeutics, Inc. | 45,217 |
15,752 | 1 | Regulus Therapeutics, Inc. | 20,163 |
4,600 | 1 | Repligen Corp. | 827,080 |
84,174 | 1 | Rezolute, Inc. | 83,543 |
31,335 | 1 | Rhythm Pharmaceuticals, Inc. | 1,440,470 |
7,700 | 1 | Sarepta Therapeutics, Inc. | 742,511 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
31,700 | 1 | Scynexis, Inc. | $ 70,691 |
27,822 | 1 | Structure Therapeutics, Inc., ADR | 1,134,025 |
1,500 | Stryker Corp. | 449,190 | |
12,300 | 1 | Tela Bio, Inc. | 81,426 |
30,000 | 1 | Ultragenyx Pharmaceutical, Inc. | 1,434,600 |
1,296 | UnitedHealth Group, Inc. | 682,305 | |
1,200 | 1 | Vaxcyte, Inc. | 75,360 |
5,500 | 1 | Veeva Systems, Inc. | 1,058,860 |
34,166 | 1 | Verona Pharma PLC, ADR | 679,220 |
65,495 | 1 | Verve Therapeutics, Inc. | 913,000 |
4,713 | 1 | Xenon Pharmaceuticals, Inc. | 217,081 |
4,637 | 1 | Zealand Pharma AS | 256,283 |
24,665 | 1 | Zentalis Pharmaceuticals, Inc. | 373,675 |
TOTAL | 44,954,348 | ||
Industrials—10.6% | |||
16,000 | ABB Ltd. | 711,025 | |
2,150 | Comfort Systems USA, Inc. | 442,190 | |
6,750 | Eaton Corp. PLC | 1,625,535 | |
4,362 | General Electric Co. | 556,722 | |
5,200 | 1 | GXO Logistics, Inc. | 318,032 |
9,133 | HEICO Corp. | 1,633,620 | |
751 | Old Dominion Freight Lines, Inc. | 304,403 | |
11,123 | Quanta Services, Inc. | 2,400,343 | |
7,000 | Trane Technologies PLC | 1,707,300 | |
2,563 | 1 | Uber Technologies, Inc. | 157,804 |
11,054 | 1 | Veralto Corp. | 909,302 |
11,401 | Wabtec Corp. | 1,446,787 | |
7,527 | Xylem, Inc. | 860,788 | |
TOTAL | 13,073,851 | ||
Information Technology—12.4% | |||
825 | 1 | Adobe, Inc. | 492,195 |
3,730 | 1 | Advanced Micro Devices, Inc. | 549,839 |
14,623 | 1 | Alteryx, Inc. | 689,621 |
5,490 | 1,2 | ARM Holdings PLC, ADR | 412,546 |
5,175 | 1 | Crowdstrike Holdings, Inc. | 1,321,281 |
7,000 | 1 | Datadog, Inc. | 849,660 |
10,071 | 1 | DoubleVerify Holdings, Inc. | 370,411 |
17,937 | 1 | HashiCorp, Inc. | 424,031 |
7,383 | 1 | Klaviyo, Inc. | 205,100 |
1,744 | Microsoft Corp. | 655,814 | |
1,647 | Motorola Solutions, Inc. | 515,659 | |
5,100 | 1 | Okta, Inc. | 461,703 |
4,675 | 1 | Palo Alto Networks, Inc. | 1,378,564 |
5,774 | 1 | Q2 Holdings, Inc. | 250,649 |
2,550 | 1 | Salesforce, Inc. | 671,007 |
3,170 | 1 | ServiceNow, Inc. | 2,239,573 |
18,000 | 1 | Shopify, Inc. | 1,402,200 |
1,300 | Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 135,200 | |
2,283 | 1 | Tyler Technologies, Inc. | 954,568 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Information Technology—continued | |||
4,735 | 1 | Workday, Inc. | $ 1,307,144 |
TOTAL | 15,286,765 | ||
Materials—3.8% | |||
21,101 | Agnico Eagle Mines Ltd. | 1,157,390 | |
27,298 | Barrick Gold Corp. | 493,821 | |
968 | Martin Marietta Materials | 482,945 | |
22,158 | Newmont Corp. | 917,119 | |
5,100 | Sherwin-Williams Co. | 1,590,690 | |
TOTAL | 4,641,965 | ||
Real Estate—5.4% | |||
29,500 | Americold Realty Trust, Inc. | 892,965 | |
29,000 | 1 | CoStar Group, Inc. | 2,534,310 |
6,200 | Gaming and Leisure Properties, Inc. | 305,970 | |
24,952 | Physicians Realty Trust | 332,111 | |
5,000 | ProLogis, Inc. | 666,500 | |
4,700 | Ryman Hospitality Properties, Inc. | 517,282 | |
5,000 | STAG Industrial, Inc. | 196,300 | |
38,500 | VICI Properties, Inc. | 1,227,380 | |
TOTAL | 6,672,818 | ||
Utilities—1.2% | |||
5,100 | American Electric Power Co., Inc. | 414,222 | |
7,600 | Duke Energy Corp. | 737,504 | |
6,255 | NextEra Energy, Inc. | 379,929 | |
TOTAL | 1,531,655 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $66,745,318) | 117,933,474 | ||
U.S. TREASURIES—1.2% | |||
U.S. Treasury Notes—1.2% | |||
$1,265,000 | United States Treasury Note, 3.375%, 5/15/2033 | 1,214,795 | |
259,000 | United States Treasury Note, 4.375%, 10/31/2024 | 257,897 | |
TOTAL U.S. TREASURIES (IDENTIFIED COST $1,383,475) | 1,472,692 | ||
CORPORATE BONDS—0.9% | |||
Consumer Discretionary—0.4% | |||
124,000 | Airbnb, Inc., Conv. Bond, 0.000%, 3/15/2026 | 111,769 | |
200,000 | Mercadolibre, Inc., Sr. Unsecd. Note, 2.375%, 1/14/2026 | 186,912 | |
200,000 | NagaCorp Ltd., Sr. Unsecd. Note, 7.950%, 7/6/2024 | 196,450 | |
TOTAL | 495,131 | ||
Health Care—0.0% | |||
25,200 | 3 | CeQur S.A., Conv. Bond, 0.000%, 6/30/2034 | 29,962 |
Industrials—0.1% | |||
86,000 | Fiverr International Ltd., Conv. Bond, 0.000%, 11/1/2025 | 76,328 | |
Information Technology—0.4% | |||
125,000 | DocuSign, Inc., Conv. Bond, 0.000%, 1/15/2024 | 124,765 | |
145,000 | Okta, Inc., Conv. Bond, 0.125%, 9/1/2025 | 133,527 | |
95,000 | RingCentral, Inc., Conv. Bond, 6.220%, 3/1/2025 | 88,502 | |
145,000 | Shopify, Inc., Conv. Bond, 0.125%, 11/1/2025 | 137,207 | |
TOTAL | 484,001 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $1,041,982) | 1,085,422 |
Shares or Principal Amount | Value | ||
PREFERRED STOCKS—0.8% | |||
Financials—0.1% | |||
2,715 | JPMorgan Chase & Co., 5.750% | $ 67,875 | |
2,890 | Wells Fargo & Co., 5.625% | 69,158 | |
TOTAL | 137,033 | ||
Health Care—0.4% | |||
53,840 | 3 | CeQur S.A. | 261,578 |
32,229 | Regulus Therapeutics, Inc. | 41,253 | |
1,382 | Regulus Therapeutics, Inc. | 176,896 | |
TOTAL | 479,727 | ||
Industrials—0.2% | |||
10,000 | FTAI Aviation Ltd. | 252,800 | |
Real Estate—0.1% | |||
3,100 | Public Storage, 4.000% | 56,265 | |
2,700 | Public Storage, 4.625% | 57,753 | |
2,600 | Rexford Industrial Realty, Inc., 5.875% | 61,152 | |
TOTAL | 175,170 | ||
TOTAL PREFERRED STOCKS (IDENTIFIED COST $1,088,384) | 1,044,730 | ||
WARRANTS—0.2% | |||
Health Care—0.2% | |||
11,450 | 1 | Catabasis Pharmaceuticals, Inc., Warrants Expiration Date 2/8/2024 | 0 |
5,250 | 1 | Minerva Neurosciences, Inc., Warrants Expiration Date 12/31/2099 | 32,287 |
5,696 | 1 | Rezolute, Inc., Warrants Expiration Date 10/8/2027 | 397 |
1,400 | 1 | Rezolute, Inc., Warrants Expiration Date 1/1/2099 | 1,390 |
44,952 | 1 | Rezolute, Inc., Warrants Expiration Date 12/31/2099 | 44,615 |
26,500 | 1 | Scynexis, Inc., Warrants Expiration Date 5/21/2024 | 204 |
644 | 1 | Scynexis, Inc., Warrants Expiration Date 4/26/2029 | 1,014 |
53,000 | 1 | Scynexis, Inc., Warrants Expiration Date 1/1/2099 | 118,190 |
TOTAL WARRANTS (IDENTIFIED COST $563,503) | 198,097 | ||
REPURCHASE AGREEMENTS—2.0% | |||
$1,782,000 | Interest in $1,800,000,000 joint repurchase agreement 5.34%, dated 12/29/2023 under which Bank of Montreal will repurchase securities provided as collateral for $1,801,068,000 on 1/2/2024. 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 2/20/2073 and the market value of those underlying securities was $1,855,100,040. | 1,782,000 | |
745,879 | Interest in $1,800,000,000 joint repurchase agreement 5.34%, dated 12/29/2023 under which Bank of Montreal will repurchase securities provided as collateral for $1,801,068,000 on 1/2/2024. 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 2/20/2073 and the market value of those underlying securities was $1,855,100,040 (purchased with proceeds from securities lending collateral). | 745,879 | |
TOTAL REPURCHASE AGREEMENTS (IDENTIFIED COST $2,527,879) | 2,527,879 | ||
TOTAL INVESTMENT IN SECURITIES—100.6% (IDENTIFIED COST $73,350,541)4 | 124,262,294 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.6)%5 | (786,988) | ||
TOTAL NET ASSETS—100% | $123,475,306 |
Affiliated | Value as of 12/31/2022 | Purchases at Cost* | Proceeds from Sales* | Change in Unrealized Appreciation/ (Depreciation)* | Net Realized Gain/ (Loss)* | Value as of 12/31/2023 | Shares Held as of 12/31/2023 | Dividend Income* |
Health Care: | ||||||||
Albireo Pharma CVR, Rights** | $— | $126,205 | $— | $— | $— | $126,205 | 58,700 | $— |
Amphastar Pharmaceuticals, Inc. | $938,110 | $103,642 | $(404,364) | $946,817 | $215,630 | $1,799,835 | 29,100 | $— |
Arcturus Therapeutics Holdings, Inc. | $1,106,284 | $144,720 | $(378,693) | $1,312,200 | $(214,643) | $1,969,868 | 62,476 | $— |
aTyr Pharma, Inc. | $145,854 | $167,324 | $(40,538) | $19,796 | $(122,390) | $170,046 | 120,600 | $— |
Dynavax Technologies Corp. | $2,070,948 | $— | $(754,245) | $333,055 | $306,044 | $1,955,802 | 139,900 | $— |
Fusion Pharmaceuticals, Inc. | $44,415 | $14,920 | $— | $111,934 | $— | $171,269 | 17,822 | $— |
Fusion Pharmaceuticals, Inc. | $— | $133,960 | $— | $244,674 | $— | $378,634 | 39,400 | $— |
Fusion Pharmaceuticals, Inc. | $— | $437,600 | $— | $568,461 | $— | $1,006,061 | 104,689 | $— |
IDEAYA Biosciences, Inc. | $657,754 | $298,050 | $(130,067) | $740,214 | $20,917 | $1,586,868 | 44,600 | $— |
Merus NV | $762,594 | $325,614 | $(502,099) | $484,967 | $(78,711) | $992,365 | 36,086 | $— |
Minerva Neurosciences, Inc. | $27,388 | $— | $— | $78,546 | $— | $105,934 | 17,225 | $— |
Minerva Neurosciences, Inc. | $— | $40,500 | $— | $(15,592) | $— | $24,908 | 4,050 | $— |
Minerva Neurosciences, Inc., Warrants Expira- tion Date 12/31/2099 | $— | $52,447 | $— | $(20,160) | $— | $32,287 | 5,250 | $— |
Orchard Therapeutics PLC, ADR** | $78,202 | $38,859 | $(41,632) | $538,758 | $(289,069) | $325,118 | 19,764 | $— |
Regulus Therapeutics, Inc. | $44,154 | $— | $— | $(2,901) | $— | $41,253 | 32,229 | $— |
Regulus Therapeutics, Inc. | $48,397 | $— | $— | $(3,180) | $— | $45,217 | 35,326 | $— |
Regulus Therapeutics, Inc. | $— | $124,394 | $— | $52,502 | $— | $176,896 | 1,382 | $— |
Regulus Therapeutics, Inc. | $— | $14,179 | $— | $5,984 | $— | $20,163 | 15,752 | $— |
Rezolute, Inc. | $174,240 | $— | $— | $(90,697) | $— | $83,543 | 84,174 | $— |
Rezolute, Inc., Warrants Expiration Date 10/8/2027 | $3,452 | $— | $— | $(3,055) | $— | $397 | 5,696 | $— |
Rezolute, Inc., Warrants Expiration Date 1/1/2099 | $2,898 | $— | $— | $(1,508) | $— | $1,390 | 1,400 | $— |
Rezolute, Inc., Warrants Expiration Date 12/31/2099 | $93,051 | $— | $— | $(48,436) | $— | $44,615 | 44,952 | $— |
Rhythm Pharmaceuticals, Inc.** | $3,316,768 | $— | $(2,091,355) | $(864,877) | $1,079,934 | $1,440,470 | 31,335 | $— |
Scynexis, Inc. | $63,826 | $— | $(21,141) | $319,009 | $(291,003) | $70,691 | 31,700 | $— |
Scynexis, Inc., Warrants Expiration Date 5/21/2024 | $1,200 | $— | $— | $(996) | $— | $204 | 26,500 | $— |
Scynexis, Inc., Warrants Expiration Date 4/26/2029 | $570 | $— | $— | $444 | $— | $1,014 | 644 | $— |
Scynexis, Inc., Warrants Expiration Date 1/1/2099 | $82,680 | $— | $— | $35,510 | $— | $118,190 | 53,000 | $— |
Affiliated Issuers no longer in the portfolio at period end | $5,496,546 | $1,222,972 | $(5,544,595) | $883,336 | $(2,058,259) | $— | — | $— |
TOTAL OF AFFILIATED COMPANIES TRANSACTIONS | $15,159,331 | $3,245,386 | $(9,908,729) | $5,624,805 | $(1,431,550) | $12,689,243 | 1,063,752 | $— |
* | A portion of the amount shown was recorded when the Fund no longer had ownership of at least 5% of the voting shares. |
** | At December 31, 2023, the Fund no longer has ownership of at least 5% of the voting shares. |
1 | Non-income-producing security. |
2 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
3 | Market quotations and price valuations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Fund’s Adviser acting through its (“Valuation Committee”). |
4 | The cost of investments for federal tax purposes amounts to $74,920,265. |
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 December 31, 2023, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | $91,768,695 | $— | $264,218 | $92,032,913 |
International | 14,393,734 | 11,506,827 | — | 25,900,561 |
Preferred Stocks | ||||
Domestic | 353,456 | 176,896 | — | 530,352 |
International | 252,800 | — | 261,578 | 514,378 |
Debt Securities: | ||||
U.S. Treasuries | — | 1,472,692 | — | 1,472,692 |
Corporate Bonds | — | 1,055,460 | 29,962 | 1,085,422 |
Warrants | 78,292 | 119,805 | — | 198,097 |
Repurchase Agreements | — | 2,527,879 | — | 2,527,879 |
TOTAL SECURITIES | $106,846,977 | $16,859,559 | $555,758 | $124,262,294 |
The following acronym(s) are used throughout this portfolio: | ||
ADR | —American Depositary Receipt | |
ARM | —Adjustable Rate Mortgage | |
CVR | —Contingent Value Right | |
PLC | —Public Limited Company |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $15.10 | $24.31 | $25.46 | $22.63 | $18.55 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | (0.02) | (0.08) | (0.24) | (0.22) | (0.10) |
Net realized and unrealized gain (loss) | 2.32 | (6.87) | 0.83 | 5.27 | 6.15 |
Total From Investment Operations | 2.30 | (6.95) | 0.59 | 5.05 | 6.05 |
Less Distributions: | |||||
Distributions from net realized gain | — | (2.26) | (1.74) | (2.22) | (1.97) |
Net Asset Value, End of Period | $17.40 | $15.10 | $24.31 | $25.46 | $22.63 |
Total Return2 | 15.23% | (30.09)% | 2.51% | 28.79% | 33.82% |
Ratios to Average Net Assets: | |||||
Net expenses3 | 1.54% | 1.54% | 1.50% | 1.50% | 1.51% |
Net investment loss | (0.15)% | (0.51)% | (0.99)% | (1.01)% | (0.49)% |
Expense waiver/reimbursement4 | 0.02% | 0.00%5 | —% | —% | —% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $33,266 | $34,430 | $55,366 | $63,502 | $57,988 |
Portfolio turnover6 | 56% | 41% | 34% | 45% | 43% |
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. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | 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. |
5 | Represents less than 0.01%. |
6 | Securities that mature are considered sales for purposes of this calculation. |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $13.73 | $22.40 | $23.65 | $21.27 | $17.57 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | (0.05) | (0.11) | (0.28) | (0.26) | (0.15) |
Net realized and unrealized gain (loss) | 2.10 | (6.30) | 0.77 | 4.86 | 5.82 |
Total From Investment Operations | 2.05 | (6.41) | 0.49 | 4.60 | 5.67 |
Less Distributions: | |||||
Distributions from net realized gain | — | (2.26) | (1.74) | (2.22) | (1.97) |
Net Asset Value, End of Period | $15.78 | $13.73 | $22.40 | $23.65 | $21.27 |
Total Return2 | 14.93% | (30.26)% | 2.26% | 28.48% | 33.52% |
Ratios to Average Net Assets: | |||||
Net expenses3 | 1.79% | 1.79% | 1.75% | 1.75% | 1.76% |
Net investment loss | (0.38)% | (0.73)% | (1.24)% | (1.26)% | (0.74)% |
Expense waiver/reimbursement4 | 0.02% | 0.00%5 | —% | —% | —% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $90,210 | $108,981 | $150,983 | $169,061 | $129,327 |
Portfolio turnover6 | 56% | 41% | 34% | 45% | 43% |
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. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | 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. |
5 | Represents less than 0.01%. |
6 | Securities that mature are considered sales for purposes of this calculation. |
Assets: | |
Investment in securities, at value including $710,109 of securities loaned and $12,689,243 of investments in affiliated holdings* (identified cost $73,350,541, including $8,806,701 of identified cost in affiliated holdings) | $124,262,294 |
Cash | 29,919 |
Income receivable | 111,465 |
Receivable for investments sold | 16,060 |
Receivable for shares sold | 5,300 |
Total Assets | 124,425,038 |
Liabilities: | |
Payable for investments purchased | 35,805 |
Payable for shares redeemed | 49,630 |
Payable for collateral due to broker for securities lending (Note 2) | 745,879 |
Payable for investment adviser fee (Note 5) | 12,605 |
Payable for administrative fee (Note 5) | 794 |
Payable for auditing fees | 30,490 |
Payable for portfolio accounting fees | 16,675 |
Payable for distribution services fee (Note 5) | 18,792 |
Accrued expenses (Note 5) | 39,062 |
Total Liabilities | 949,732 |
Net assets for 7,629,539 shares outstanding | $123,475,306 |
Net Assets Consist of: | |
Paid-in capital | $69,490,431 |
Total distributable earnings (loss) | 53,984,875 |
Total Net Assets | $123,475,306 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Primary Shares: | |
$33,265,710 ÷ 1,911,692 shares outstanding, no par value, unlimited shares authorized | $17.40 |
Service Shares: | |
$90,209,596 ÷ 5,717,847 shares outstanding, no par value, unlimited shares authorized | $15.78 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Dividends (net of foreign taxes withheld of $26,208) | $1,248,367 |
Interest | 596,555 |
Net income on securities loaned (Note 2) | 31,320 |
TOTAL INCOME | 1,876,242 |
Expenses: | |
Investment adviser fee (Note 5) | 1,726,286 |
Administrative fee (Note 5) | 106,557 |
Custodian fees | 36,532 |
Transfer agent fees | 14,047 |
Directors’/Trustees’ fees (Note 5) | 1,900 |
Auditing fees | 38,113 |
Legal fees | 13,611 |
Portfolio accounting fees | 65,153 |
Distribution services fee (Note 5) | 249,323 |
Printing and postage | 34,071 |
Miscellaneous (Note 5) | 42,801 |
TOTAL EXPENSES | 2,328,394 |
Waiver of investment adviser fee (Note 5) | (27,034) |
Net expenses | 2,301,360 |
Net investment income (loss) | (425,118) |
Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions: | |
Net realized gain on investments (including net realized loss of $(1,431,550) on sales of investments in affiliated holdings*) | 4,668,304 |
Net realized loss on foreign currency transactions | (3,677) |
Net change in unrealized appreciation of investments (including net change in unrealized depreciation of $5,624,805 on investments in affiliated holdings*) | 15,125,569 |
Net change in unrealized appreciation/depreciation of translation of assets and liabilities in foreign currency | 65 |
Net realized and unrealized gain (loss) on investments and foreign currency transactions | 19,790,261 |
Change in net assets resulting from operations | $19,365,143 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2023 | 2022 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment loss | $(425,118) | $(1,052,951) |
Net realized gain (loss) | 4,664,627 | (662,474) |
Net change in unrealized appreciation/depreciation | 15,125,634 | (60,249,806) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 19,365,143 | (61,965,231) |
Distributions to Shareholders: | ||
Primary Shares | — | (5,000,707) |
Service Shares | — | (15,209,394) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | — | (20,210,101) |
Share Transactions: | ||
Proceeds from sale of shares | 9,539,789 | 30,701,378 |
Net asset value of shares issued to shareholders in payment of distributions declared | — | 20,210,085 |
Cost of shares redeemed | (48,840,125) | (31,674,352) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (39,300,336) | 19,237,111 |
Change in net assets | (19,935,193) | (62,938,221) |
Net Assets: | ||
Beginning of period | 143,410,499 | 206,348,720 |
End of period | $123,475,306 | $143,410,499 |
Fair Value of Securities Loaned | Collateral Received |
$710,109 | $745,879 |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 64,823 | $1,054,395 | 126,871 | $2,146,304 |
Shares issued to shareholders in payment of distributions declared | — | — | 277,971 | 5,000,705 |
Shares redeemed | (432,844) | (6,923,247) | (402,248) | (6,715,513) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (368,021) | $(5,868,852) | 2,594 | $431,496 |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 598,437 | $8,485,394 | 1,893,686 | $28,555,074 |
Shares issued to shareholders in payment of distributions declared | — | — | 928,534 | 15,209,380 |
Shares redeemed | (2,819,473) | (41,916,878) | (1,623,969) | (24,958,839) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (2,221,036) | $(33,431,484) | 1,198,251 | $18,805,615 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (2,589,057) | $(39,300,336) | 1,200,845 | $19,237,111 |
2023 | 2022 | |
Long-term capital gains | $— | $20,210,101 |
Undistributed ordinary income | $887,742 |
Net unrealized appreciation | $49,342,029 |
Undistributed long-term capital gains | $3,755,253 |
Other temporary differences | $(149) |
TOTAL | $53,984,875 |
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 | $249,323 |
Purchases | $63,193,777 |
Sales | $77,542,298 |
February 15, 2024
Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,068.80 | $8.08 |
Service Shares | $1,000 | $1,067.00 | $9.38 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,017.39 | $7.88 |
Service Shares | $1,000 | $1,016.13 | $9.15 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (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 | 1.55% |
Service Shares | 1.80% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: September 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Thomas R. Donahue* Birth Date: October 20, 1958 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Director or Trustee of certain of the funds in the Federated Hermes Fund Family; Chief Financial Officer, Treasurer, Vice President and Assistant Secretary, Federated Hermes, Inc.; Chairman and Trustee, Federated Administrative Services; Chairman and Director, Federated Administrative Services, Inc.; Trustee and Treasurer, Federated Advisory Services Company; Director or Trustee and Treasurer, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, and Federated Investment Management Company; Director, MDTA LLC; Director, Executive Vice President and Assistant Secretary, Federated Securities Corp.; Director or Trustee and Chairman, Federated Services Company and Federated Shareholder Services Company; and Director and President, FII Holdings, Inc. Previous Positions: Director, Federated Hermes, Inc.; Assistant Secretary, Federated Investment Management Company, Federated Global Investment Management Company and Passport Research, LTD; Treasurer, Passport Research, LTD; Executive Vice President, Federated Securities Corp.; and Treasurer, FII Holdings, Inc. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee and Chair of the Board of Directors or Trustees of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Chair of the Audit Committee, Member of the Compensation Committee, Equifax, Inc.; Lead Director, Member of the Audit and Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President’s Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Emerita, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (natural gas). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as Director of the Office of Church Relations and later as Associate General Secretary for the Diocese of Pittsburgh, a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania and previously served on the Supreme Court’s Board of Continuing Judicial Education and the Supreme Court’s Appellate Court Procedural Rules Committee. Judge Lally-Green was then appointed by the Supreme Court of Pennsylvania and currently serves on the Judicial Ethics Advisory Board. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director, CNX Resources Corporation (natural gas). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, Saint Vincent College; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; and Director and Vice Chair, Saint Francis University. |
Thomas M. O’Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee and Chair of the Audit Committee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O’Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O’Neill serves as Director, Medicines for Humanity. Mr. O’Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); Director, Midway Pacific (lumber); and Director, The Golisano Children’s Museum of Naples, Florida. |
Madelyn A. Reilly Birth Date: February 2, 1956 Trustee Indefinite Term Began serving: November 2020 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors, Duquesne University (Retired). Other Directorships Held: None. Qualifications: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors and Director of Risk Management and Associate General Counsel, Duquesne University. Prior to her work at Duquesne University, Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, Health and Safety, PPG Industries. Ms. Reilly currently serves as a member of the Board of Directors of UPMC Mercy Hospital, and as a member of the Board of Directors of Catholic Charities, Pittsburgh. |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CONSOL Energy Inc. (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and CNX Gas Company; and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes, Inc. in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Director and Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, and Federated MDTA LLC; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and CEO of Passport Research, Ltd.; Director and President, Technology, Federated Services Company. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated Hermes, Inc. in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Inc., Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes, Inc. in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes’ taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund’s Adviser in 2009 and served as a Senior Vice President of the Fund’s Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated Hermes’ money market products in 2004. She joined Federated Hermes in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund’s Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
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
1 Year | 5 Years | 10 Years | |
Primary Shares | 8.68% | 6.15% | 4.19% |
Service Shares6 | 8.33% | 5.88% | 4.04% |
S&P 500 | 26.29% | 15.69% | 12.03% |
R1000V | 11.46% | 10.91% | 8.40% |
Blended Index | 8.00% | 5.32% | 4.68% |
MUITA | 10.74% | 6.23% | 4.26% |
At December 31, 2023, the Fund’s portfolio composition1was as follows: | |
Portfolio Composition | Percentage of Total Net Assets |
Domestic Fixed-Income Securities | 45.2% |
Domestic Equity Securities | 41.4% |
International Equity Securities | 2.5% |
Foreign Governments/Agencies | 0.2% |
Other Securities Types2 | 0.2% |
Project and Trade Finance Core Fund | 2.2% |
Federated Hermes High Income Bond Fund II, Class P | 1.4% |
Emerging Markets Core Fund | 1.2% |
Bank Loan Core Fund3 | 0.0% |
Federated Hermes Short-Intermediate Government Fund, Institutional Shares3 | 0.0% |
Cash Equivalents4 | 5.5% |
Derivative Contracts5 | 0.8% |
Other Assets and Liabilities—Net6 | (0.6)% |
TOTAL | 100% |
Sector Composition of Equity Holdings | Percentage of Equity Securities |
Financials | 21.9% |
Health Care | 14.7% |
Industrials | 13.9% |
Information Technology | 9.6% |
Consumer Staples | 7.9% |
Energy | 7.7% |
Real Estate | 5.0% |
Consumer Discretionary | 5.0% |
Materials | 4.8% |
Utilities | 4.8% |
Communication Services | 4.7% |
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 | Other Security Type consists of purchased put options. |
3 | Represents less than 0.1%. |
4 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
5 | 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. |
6 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
7 | 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, Principal Amount or Contracts | Value | ||
COMMON STOCKS—43.9% | |||
Communication Services—2.1% | |||
33,573 | AT&T, Inc. | $ 563,355 | |
22,830 | Comcast Corp., Class A | 1,001,095 | |
2,512 | Electronic Arts, Inc. | 343,667 | |
1,016 | 1 | Iridium Communications, Inc. | 41,818 |
968 | 1 | Match Group, Inc. | 35,332 |
1,327 | 1 | Roku, Inc. | 121,633 |
656 | 1 | Take-Two Interactive Software, Inc. | 105,583 |
1,148 | 1 | T-Mobile USA, Inc. | 184,059 |
17,181 | Verizon Communications, Inc. | 647,724 | |
6,385 | Walt Disney Co. | 576,502 | |
2,107 | 1 | Warner Bros. Discovery, Inc. | 23,978 |
980 | 1 | ZoomInfo Technologies, Inc. | 18,120 |
TOTAL | 3,662,866 | ||
Consumer Discretionary—2.2% | |||
2,556 | 1 | Aptiv PLC | 229,324 |
259 | Best Buy Co., Inc. | 20,274 | |
1,578 | BorgWarner, Inc. | 56,571 | |
362 | 1 | Capri Holdings Ltd. | 18,187 |
4,653 | Carter’s, Inc. | 348,463 | |
449 | 1 | DoorDash, Inc. | 44,402 |
7,207 | eBay, Inc. | 314,369 | |
555 | 1 | Etsy, Inc. | 44,983 |
12,351 | Ford Motor Co. | 150,559 | |
1,326 | Gap (The), Inc. | 27,727 | |
1,026 | Gentex Corp. | 33,509 | |
309 | Las Vegas Sands Corp. | 15,206 | |
19 | Lear Corp. | 2,683 | |
123 | LKQ Corp. | 5,878 | |
463 | Lowe’s Cos., Inc. | 103,041 | |
2,168 | McDonald’s Corp. | 642,834 | |
3,865 | MGM Resorts International | 172,688 | |
28,320 | Newell Brands, Inc. | 245,818 | |
4 | 1 | NVR, Inc. | 28,002 |
232 | 1 | O’Reilly Automotive, Inc. | 220,418 |
1,010 | 1 | Pet Acquistion LLC | 3,192 |
4,531 | Pulte Group, Inc. | 467,690 | |
7,002 | 1 | Rivian Automotive, Inc. | 164,267 |
2,070 | 1 | Royal Caribbean Cruises, Ltd. | 268,044 |
1,680 | Tapestry, Inc. | 61,841 | |
17 | Thor Industries, Inc. | 2,010 | |
623 | Toll Brothers, Inc. | 64,038 | |
100 | Vail Resorts, Inc. | 21,347 | |
272 | Williams-Sonoma, Inc. | 54,884 | |
TOTAL | 3,832,249 | ||
Consumer Staples—3.5% | |||
14,864 | Altria Group, Inc. | 599,614 | |
210 | Casey’s General Stores, Inc. | 57,695 | |
1,397 | Church and Dwight, Inc. | 132,100 | |
1,413 | Colgate-Palmolive Co. | 112,630 | |
246 | Constellation Brands, Inc., Class A | 59,471 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Consumer Staples—continued | |||
2,274 | General Mills, Inc. | $ 148,128 | |
1,154 | Hershey Foods Corp. | 215,152 | |
2,933 | Kimberly-Clark Corp. | 356,389 | |
4,511 | 1 | Maplebear, Inc. | 105,873 |
6,803 | Molson Coors Beverage Co., Class B | 416,412 | |
3,866 | Mondelez International, Inc. | 280,014 | |
2,174 | PepsiCo, Inc. | 369,232 | |
2,061 | Philip Morris International, Inc. | 193,899 | |
6,735 | Procter & Gamble Co. | 986,947 | |
3,468 | Smucker (J.M.) Co. | 438,286 | |
7,898 | The Coca-Cola Co. | 465,429 | |
7,449 | WalMart, Inc. | 1,174,335 | |
TOTAL | 6,111,606 | ||
Energy—3.4% | |||
654 | APA Corp. | 23,465 | |
5,655 | Baker Hughes a GE Co. LLC | 193,288 | |
6,293 | Chevron Corp. | 938,664 | |
7,490 | ConocoPhillips | 869,364 | |
1,218 | Coterra Energy, Inc., Class A | 31,083 | |
16,666 | Exxon Mobil Corp. | 1,666,267 | |
2,891 | Hess Corp. | 416,767 | |
15,319 | Marathon Oil Corp. | 370,107 | |
3,929 | Marathon Petroleum Corp. | 582,906 | |
748 | Pioneer Natural Resources, Inc. | 168,210 | |
2,244 | Schlumberger Ltd. | 116,778 | |
2,214 | TechnipFMC PLC | 44,590 | |
3,000 | TXO Energy Partners, LP | 54,540 | |
3,563 | Valero Energy Corp. | 463,190 | |
TOTAL | 5,939,219 | ||
Financials—9.6% | |||
2,444 | Affiliated Managers Group | 370,071 | |
1,186 | Ally Financial, Inc. | 41,415 | |
1,820 | American Express Co. | 340,959 | |
8,165 | American International Group, Inc. | 553,179 | |
9,385 | Annaly Capital Management, Inc. | 181,787 | |
6,463 | Axis Capital Holdings Ltd. | 357,856 | |
26,185 | Bank of America Corp. | 881,649 | |
10,075 | Bank of New York Mellon Corp. | 524,404 | |
5,895 | 1 | Berkshire Hathaway, Inc., Class B | 2,102,511 |
282 | BlackRock, Inc. | 228,928 | |
5,498 | 1 | Brighthouse Financial, Inc. | 290,954 |
200,000 | 1 | Cab Payments Holdings Ltd. | 210,847 |
843 | Charles Schwab Corp. | 57,998 | |
7,311 | Citigroup, Inc. | 376,078 | |
438 | Comerica, Inc. | 24,445 | |
10,469 | Corebridge Financial, Inc. | 226,759 | |
4,459 | Discover Financial Services | 501,192 | |
153 | First Citizens Bancshares, Inc., Class A | 217,102 | |
947 | 1 | Fiserv, Inc. | 125,799 |
211 | Global Payments, Inc. | 26,797 | |
1,339 | Goldman Sachs Group, Inc. | 516,546 | |
1,558 | Hartford Financial Services Group, Inc. | 125,232 | |
28,825 | Huntington Bancshares, Inc. | 366,654 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Financials—continued | |||
911 | Janus Henderson Group PLC | $ 27,467 | |
10,990 | JPMorgan Chase & Co. | 1,869,399 | |
829 | Lazard Ltd., Class A | 28,849 | |
6,419 | Lincoln National Corp. | 173,120 | |
622 | M&T Bank Corp. | 85,264 | |
4,801 | MetLife, Inc. | 317,490 | |
10,865 | MGIC Investment Corp. | 209,586 | |
3,724 | Morgan Stanley | 347,263 | |
3,605 | Old Republic International Corp. | 105,987 | |
5,476 | OneMain Holdings, Inc. | 269,419 | |
1,152 | 1 | PayPal Holdings, Inc. | 70,744 |
1,497 | PNC Financial Services Group, Inc. | 231,810 | |
5,046 | Prudential Financial, Inc. | 523,321 | |
3,019 | Regions Financial Corp. | 58,508 | |
423 | S&P Global, Inc. | 186,340 | |
18,838 | SLM Corp. | 360,183 | |
6,096 | State Street Corp. | 472,196 | |
11,574 | Synchrony Financial | 442,011 | |
2,041 | The Travelers Cos., Inc. | 388,790 | |
4,985 | Truist Financial Corp. | 184,046 | |
11,590 | Virtu Financial, Inc. | 234,813 | |
651 | Webster Financial Corp. Waterbury | 33,045 | |
21,575 | Wells Fargo & Co. | 1,061,922 | |
19,044 | Western Union Co. | 227,005 | |
868 | 1 | WEX, Inc. | 168,869 |
722 | Willis Towers Watson PLC | 174,146 | |
TOTAL | 16,900,755 | ||
Health Care—6.4% | |||
2,628 | Abbott Laboratories | 289,264 | |
106 | Agilent Technologies, Inc. | 14,737 | |
7,654 | 1 | Boston Scientific Corp. | 442,478 |
10,803 | Bristol-Myers Squibb Co. | 554,302 | |
4,241 | Cardinal Health, Inc. | 427,493 | |
1,153 | 1 | Centene Corp. | 85,564 |
3,077 | CVS Health Corp. | 242,960 | |
2,205 | Danaher Corp. | 510,105 | |
305 | Dentsply Sirona, Inc. | 10,855 | |
1,241 | Elevance Health, Inc. | 585,206 | |
9,946 | 1 | Exelixis, Inc. | 238,605 |
601 | 1 | GE HealthCare Technologies, Inc. | 46,469 |
8,375 | Gilead Sciences, Inc. | 678,459 | |
1,745 | HCA Healthcare, Inc. | 472,337 | |
571 | Humana, Inc. | 261,409 | |
1,396 | 1 | Illumina, Inc. | 194,379 |
247 | 1 | Incyte Genomics, Inc. | 15,509 |
170 | 1 | Jazz Pharmaceuticals PLC | 20,910 |
9,696 | Johnson & Johnson | 1,519,751 | |
1,173 | McKesson Corp. | 543,076 | |
2,129 | Medtronic PLC | 175,387 | |
10,953 | Merck & Co., Inc. | 1,194,096 | |
1,440 | 1 | Mirati Therapeutics, Inc. | 84,600 |
1,349 | 1 | Moderna, Inc. | 134,158 |
9,428 | Pfizer, Inc. | 271,432 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
3,801 | 1 | R1 RCM, Inc. | $ 40,177 |
279 | 1 | Regeneron Pharmaceuticals, Inc. | 245,043 |
20,000 | 1 | Sagimet Biosciences, Inc. | 108,400 |
1,035 | STERIS PLC | 227,545 | |
16,031 | 1 | Teladoc Health, Inc. | 345,468 |
1,350 | 1 | Tenet Healthcare Corp. | 102,019 |
1,085 | The Cigna Group | 324,903 | |
562 | Thermo Fisher Scientific, Inc. | 298,304 | |
756 | UnitedHealth Group, Inc. | 398,011 | |
610 | 1 | Vertex Pharmaceuticals, Inc. | 248,203 |
65 | Zimmer Biomet Holdings, Inc. | 7,910 | |
TOTAL | 11,359,524 | ||
Industrials—6.1% | |||
5,690 | 3M Co. | 622,031 | |
399 | Acuity Brands, Inc. | 81,727 | |
1,047 | AECOM | 96,774 | |
2,940 | Allison Transmission Holdings, Inc. | 170,961 | |
278 | Automatic Data Processing, Inc. | 64,766 | |
4,353 | 1 | Azek Co., Inc. | 166,502 |
2,796 | 1 | Boeing Co. | 728,805 |
1,121 | Broadridge Financial Solutions | 230,646 | |
2,791 | 1 | Builders Firstsource, Inc. | 465,930 |
2,389 | C.H. Robinson Worldwide, Inc. | 206,386 | |
337 | Caterpillar, Inc. | 99,641 | |
4,182 | 1 | Clarivate PLC | 38,725 |
148 | 1 | Clean Harbors, Inc. | 25,827 |
3,563 | CSX Corp. | 123,529 | |
3,421 | Delta Air Lines, Inc. | 137,627 | |
193 | Donaldson Co., Inc. | 12,613 | |
1,315 | Eaton Corp. PLC | 316,678 | |
757 | Emcor Group, Inc. | 163,080 | |
447 | Emerson Electric Co. | 43,506 | |
15,000 | 1 | Eurogroup Laminations S.p.A. | 64,418 |
3,509 | Expeditors International Washington, Inc. | 446,345 | |
435 | FedEx Corp. | 110,042 | |
2,757 | Ferguson PLC | 532,294 | |
4,610 | Fortune Brands Innovations, Inc. | 351,005 | |
915 | 1 | Gates Industrial Corp PLC | 12,279 |
4,547 | General Electric Co. | 580,334 | |
2,504 | Honeywell International, Inc. | 525,114 | |
622 | Hubbell, Inc. | 204,594 | |
2,175 | Hunt (J.B.) Transportation Services, Inc. | 434,434 | |
1,678 | Ingersoll-Rand, Inc. | 129,777 | |
6,302 | KBR, Inc. | 349,194 | |
2,214 | L3Harris Technologies, Inc. | 466,313 | |
1,895 | Landstar System, Inc. | 366,967 | |
3,723 | MSC Industrial Direct Co. | 376,991 | |
1,783 | Otis Worldwide Corp. | 159,525 | |
1,066 | Owens Corning, Inc. | 158,013 | |
730 | Parker-Hannifin Corp. | 336,311 | |
574 | Pentair PLC | 41,736 | |
281 | Republic Services, Inc. | 46,340 | |
1,816 | RTX Corp | 152,798 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Industrials—continued | |||
10,000 | 1 | Skymark Airlines, Inc. | $ 71,749 |
997 | Trane Technologies PLC | 243,168 | |
1,229 | TransUnion | 84,445 | |
7 | United Rentals, Inc. | 4,014 | |
734 | 1 | Veralto Corp. | 60,379 |
2,592 | Vertiv Holdings Co. | 124,494 | |
448 | Waste Management, Inc. | 80,237 | |
8,185 | 1 | Willscot Corp. | 364,232 |
569 | 1 | XPO, Inc. | 49,839 |
TOTAL | 10,723,135 | ||
Information Technology—4.2% | |||
3,735 | 1 | Advanced Micro Devices, Inc. | 550,576 |
1,182 | Applied Materials, Inc. | 191,567 | |
1,426 | 1 | AppLovin Corp. | 56,826 |
1,419 | 1 | CCC Intelligent Solutions Holdings, Inc. | 16,162 |
4,378 | 1 | Cirrus Logic, Inc. | 364,206 |
21,466 | Cisco Systems, Inc. | 1,084,462 | |
9,727 | 1 | DXC Technology Co. | 222,457 |
1,245 | 1 | GoDaddy, Inc. | 132,169 |
21,026 | Hewlett Packard Enterprise Co. | 357,022 | |
1,087 | IBM Corp. | 177,779 | |
18,501 | Intel Corp. | 929,675 | |
2,000 | 1 | IONOS SE | 38,540 |
12,981 | Juniper Networks, Inc. | 382,680 | |
318 | Lam Research Corp. | 249,077 | |
7,137 | Marvell Technology, Inc. | 430,432 | |
453 | Micron Technology, Inc. | 38,659 | |
1,302 | MKS Instruments, Inc. | 133,937 | |
5,503 | 1 | Nutanix, Inc. | 262,438 |
4,030 | Oracle Corp. | 424,883 | |
632 | 1 | Pure Storage, Inc. | 22,537 |
2,427 | 1 | Qorvo, Inc. | 273,304 |
513 | Qualcomm, Inc. | 74,195 | |
2,332 | 1 | Salesforce, Inc. | 613,643 |
2,013 | 1 | UiPath, Inc. | 50,003 |
1,394 | 1 | Verisign, Inc. | 287,108 |
773 | 1 | Western Digital Corp. | 40,482 |
TOTAL | 7,404,819 | ||
Materials—2.1% | |||
667 | Avery Dennison Corp. | 134,841 | |
6,587 | Dow, Inc. | 361,231 | |
1,756 | Ecolab, Inc. | 348,303 | |
2,483 | Linde PLC | 1,019,793 | |
10,000 | 1 | Lithium Royalty Corp. | 67,016 |
1,891 | LyondellBasell Industries N.V. | 179,796 | |
844 | Mosaic Co./The | 30,156 | |
317 | Newmarket Corp. | 173,028 | |
3,006 | Newmont Corp. | 124,419 | |
1,630 | Nucor Corp. | 283,685 | |
3,258 | Olin Corp. | 175,769 | |
155 | Packaging Corp. of America | 25,251 | |
173 | Reliance Steel & Aluminum Co. | 48,385 | |
601 | Royal Gold, Inc. | 72,697 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Materials—continued | |||
2,879 | Steel Dynamics, Inc. | $ 340,010 | |
8,039 | WestRock Co. | 333,779 | |
TOTAL | 3,718,159 | ||
Real Estate—2.2% | |||
2,493 | Americold Realty Trust, Inc. | 75,463 | |
2,936 | Apartment Income REIT Corp. | 101,967 | |
2,534 | Avalonbay Communities, Inc. | 474,416 | |
2,638 | 1 | CBRE Group, Inc. | 245,571 |
4,401 | Cubesmart | 203,986 | |
498 | Digital Realty Trust, Inc. | 67,021 | |
630 | Equinix, Inc. | 507,396 | |
340 | Federal Realty Investment Trust | 35,037 | |
2,640 | First Industrial Realty Trust | 139,049 | |
6,483 | Host Hotels & Resorts, Inc. | 126,224 | |
106 | 1 | Howard Hughes Holdings, Inc. | 9,068 |
3,419 | Iron Mountain, Inc. | 239,262 | |
641 | ProLogis, Inc. | 85,445 | |
1,547 | Public Storage | 471,835 | |
502 | SBA Communications, Corp. | 127,352 | |
3,600 | Simon Property Group, Inc. | 513,504 | |
13,889 | Weyerhaeuser Co. | 482,921 | |
TOTAL | 3,905,517 | ||
Utilities—2.1% | |||
3,886 | Atmos Energy Corp. | 450,387 | |
100 | Brookfield Renewable Corp. | 2,879 | |
15,331 | Clearway Energy, Inc. | 392,167 | |
7,077 | Clearway Energy, Inc. | 194,122 | |
3,900 | Consolidated Edison Co. | 354,783 | |
6,365 | NextEra Energy, Inc. | 386,610 | |
9,005 | PPL Corp. | 244,036 | |
8,043 | Public Service Enterprises Group, Inc. | 491,829 | |
12,139 | UGI Corp. | 298,619 | |
11,124 | Vistra Corp. | 428,497 | |
7,461 | Xcel Energy, Inc. | 461,911 | |
TOTAL | 3,705,840 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $62,843,554) | 77,263,689 | ||
U.S. TREASURIES—18.2% | |||
Treasury Inflation-Indexed Note—0.0% | |||
$ 12,985 | U.S. Treasury Inflation-Protected Notes, 1.000%, 2/15/2046 | 10,633 | |
U.S. Treasury Bond—2.9% | |||
150,000 | United States Treasury Bond, 1.375%, 11/15/2040 | 99,676 | |
760,000 | United States Treasury Bond, 1.625%, 11/15/2050 | 453,747 | |
660,000 | United States Treasury Bond, 2.375%, 2/15/2042 | 507,272 | |
20,000 | United States Treasury Bond, 2.750%, 11/15/2047 | 15,595 | |
2,950,000 | United States Treasury Bond, 2.875%, 5/15/2052 | 2,353,831 | |
1,000 | United States Treasury Bond, 3.000%, 11/15/2044 | 828 | |
900,000 | United States Treasury Bond, 3.000%, 2/15/2049 | 734,062 | |
1,100,000 | United States Treasury Bond, 3.125%, 5/15/2048 | 918,156 | |
TOTAL | 5,083,167 | ||
U.S. Treasury Note—15.3% | |||
330,000 | United States Treasury Note, 0.625%, 7/31/2026 | 302,260 | |
900,000 | United States Treasury Note, 0.625%, 8/15/2030 | 730,133 |
Shares, Principal Amount or Contracts | Value | ||
U.S. TREASURIES—continued | |||
U.S. Treasury Note—continued | |||
$ 200,000 | United States Treasury Note, 0.875%, 11/15/2030 | $ 164,344 | |
675,000 | United States Treasury Note, 1.250%, 12/31/2026 | 623,057 | |
300,000 | United States Treasury Note, 1.375%, 11/15/2031 | 249,188 | |
400,000 | United States Treasury Note, 1.500%, 1/31/2027 | 371,395 | |
200,000 | United States Treasury Note, 1.625%, 5/15/2031 | 171,581 | |
900,000 | United States Treasury Note, 1.750%, 12/31/2024 | 873,422 | |
325,000 | United States Treasury Note, 1.750%, 3/15/2025 | 314,041 | |
500,000 | United States Treasury Note, 2.125%, 11/30/2024 | 487,793 | |
1,150,000 | United States Treasury Note, 2.250%, 3/31/2024 | 1,141,285 | |
50,000 | United States Treasury Note, 2.250%, 11/15/2027 | 47,006 | |
3,500,000 | United States Treasury Note, 2.500%, 4/30/2024 | 3,466,777 | |
500,000 | United States Treasury Note, 2.500%, 5/31/2024 | 494,297 | |
3,800,000 | United States Treasury Note, 2.625%, 5/31/2027 | 3,637,906 | |
500,000 | United States Treasury Note, 2.750%, 4/30/2027 | 481,055 | |
5,700,000 | United States Treasury Note, 2.750%, 7/31/2027 | 5,472,063 | |
40,000 | United States Treasury Note, 2.875%, 5/31/2025 | 39,087 | |
680,000 | United States Treasury Note, 3.000%, 6/30/2024 | 672,818 | |
110,000 | United States Treasury Note, 3.125%, 8/31/2027 | 106,923 | |
1,600,000 | United States Treasury Note, 3.500%, 2/15/2033 | 1,552,250 | |
250,000 | United States Treasury Note, 3.625%, 3/31/2028 | 247,296 | |
150,000 | United States Treasury Note, 3.875%, 11/30/2027 | 149,695 | |
750,000 | United States Treasury Note, 4.000%, 2/28/2030 | 753,979 | |
300,000 | United States Treasury Note, 4.125%, 7/31/2028 | 303,109 | |
2,100,000 | United States Treasury Note, 4.375%, 11/30/2030 | 2,160,375 | |
150,000 | United States Treasury Note, 4.625%, 6/30/2025 | 150,345 | |
1,800,000 | United States Treasury Note, 5.000%, 9/30/2025 | 1,818,468 | |
TOTAL | 26,981,948 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $34,242,996) | 32,075,748 | ||
CORPORATE BONDS—11.3% | |||
Basic Industry - Chemicals—0.1% | |||
50,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | 46,746 | |
75,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | 73,989 | |
TOTAL | 120,735 | ||
Basic Industry - Metals & Mining—0.0% | |||
60,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 55,646 | |
30,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 21,174 | |
TOTAL | 76,820 | ||
Capital Goods - Aerospace & Defense—0.5% | |||
125,000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | 117,929 | |
45,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 34,473 | |
75,000 | HEICO Corp., Sr. Unsecd. Note, 5.350%, 8/1/2033 | 76,831 | |
85,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 80,419 | |
25,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | 24,375 | |
110,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 105,375 | |
100,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 4.750%, 2/15/2034 | 101,832 | |
90,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 4.700%, 3/15/2033 | 90,818 | |
95,000 | RTX Corp, Sr. Unsecd. Note, 5.150%, 2/27/2033 | 96,863 | |
100,000 | Textron, Inc., Sr. Unsecd. Note, 3.650%, 3/15/2027 | 96,035 | |
TOTAL | 824,950 | ||
Capital Goods - Building Materials—0.1% | |||
35,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 32,372 | |
20,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 19,608 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Capital Goods - Building Materials—continued | |||
$ 90,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | $ 85,590 | |
25,000 | Carrier Global Corp., Sr. Unsecd. Note, 144A, 5.900%, 3/15/2034 | 27,050 | |
20,000 | Carrier Global Corp., Sr. Unsecd. Note, 144A, 6.200%, 3/15/2054 | 23,143 | |
TOTAL | 187,763 | ||
Capital Goods - Construction Machinery—0.1% | |||
100,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 96,407 | |
170,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 163,083 | |
TOTAL | 259,490 | ||
Capital Goods - Diversified Manufacturing—0.2% | |||
45,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 43,000 | |
45,000 | Honeywell International, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2050 | 34,246 | |
50,000 | Honeywell International, Inc., Sr. Unsecd. Note, 4.500%, 1/15/2034 | 50,275 | |
65,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 58,785 | |
70,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 1.800%, 4/1/2026 | 64,438 | |
45,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 38,574 | |
TOTAL | 289,318 | ||
Capital Goods - Packaging—0.1% | |||
125,000 | Packaging Corp of America, Sr. Unsecd. Note, 3.650%, 9/15/2024 | 123,267 | |
Communications - Cable & Satellite—0.3% | |||
50,000 | CCO Safari II LLC, 6.484%, 10/23/2045 | 49,178 | |
25,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | 15,603 | |
225,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 217,196 | |
150,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 148,021 | |
90,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 77,977 | |
TOTAL | 507,975 | ||
Communications - Media & Entertainment—0.3% | |||
115,000 | Alphabet, Inc., Sr. Unsecd. Note, 2.050%, 8/15/2050 | 71,933 | |
40,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 5.375%, 6/15/2033 | 40,648 | |
50,000 | Meta Platforms, Inc., Sr. Unsecd. Note, 3.500%, 8/15/2027 | 48,713 | |
75,000 | Meta Platforms, Inc., Sr. Unsecd. Note, 3.850%, 8/15/2032 | 71,366 | |
65,000 | Walt Disney Co., Sr. Unsecd. Note, 3.600%, 1/13/2051 | 52,293 | |
45,000 | Walt Disney Co., Sr. Unsecd. Note, 3.800%, 5/13/2060 | 36,657 | |
100,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 4.279%, 3/15/2032 | 91,552 | |
100,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 5.050%, 3/15/2042 | 88,208 | |
TOTAL | 501,370 | ||
Communications - Telecom Wireless—0.3% | |||
50,000 | American Tower Corp., Sr. Unsecd. Note, 2.700%, 4/15/2031 | 42,969 | |
60,000 | American Tower Corp., Sr. Unsecd. Note, 3.100%, 6/15/2050 | 40,969 | |
100,000 | Crown Castle, Inc., Sr. Unsecd. Note, 3.250%, 1/15/2051 | 70,001 | |
105,000 | T-Mobile USA, Inc., Series WI, 3.000%, 2/15/2041 | 78,652 | |
90,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.200%, 1/15/2033 | 92,303 | |
60,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 59,239 | |
70,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | 68,300 | |
TOTAL | 452,433 | ||
Communications - Telecom Wirelines—0.3% | |||
150,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 140,369 | |
203,000 | AT&T, Inc., Sr. Unsecd. Note, 3.800%, 12/1/2057 | 151,073 | |
45,000 | AT&T, Inc., Sr. Unsecd. Note, 5.400%, 2/15/2034 | 46,427 | |
45,000 | Rogers Communications, Inc., Sr. Unsecd. Note, 4.500%, 3/15/2042 | 39,748 | |
80,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041 | 63,728 | |
100,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 85,728 | |
TOTAL | 527,073 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Automotive—0.2% | |||
$ 75,000 | American Honda Finance Corp., Sr. Unsecd. Note, Series GMTN, 5.800%, 10/3/2025 | $ 76,341 | |
150,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | 133,712 | |
100,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028 | 89,790 | |
60,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 5.680%, 6/26/2028 | 61,200 | |
TOTAL | 361,043 | ||
Consumer Cyclical - Retailers—0.2% | |||
45,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, 1.750%, 10/1/2027 | 38,657 | |
90,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 80,785 | |
50,000 | AutoNation, Inc., Sr. Unsecd. Note, 3.850%, 3/1/2032 | 44,465 | |
40,000 | AutoZone, Inc., Sr. Unsecd. Note, 3.625%, 4/15/2025 | 39,308 | |
20,000 | AutoZone, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2033 | 19,697 | |
40,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 37,621 | |
TOTAL | 260,533 | ||
Consumer Cyclical - Services—0.1% | |||
65,000 | Amazon.com, Inc., Sr. Unsecd. Note, 2.500%, 6/3/2050 | 43,303 | |
125,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.875%, 8/22/2037 | 116,117 | |
15,000 | Expedia Group, Inc., Sr. Unsecd. Note, Series WI, 2.950%, 3/15/2031 | 13,208 | |
TOTAL | 172,628 | ||
Consumer Non-Cyclical - Food/Beverage—0.3% | |||
85,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 3.750%, 5/1/2050 | 67,951 | |
25,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 20,997 | |
100,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 95,964 | |
145,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 2.300%, 11/1/2030 | 120,017 | |
70,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 61,167 | |
70,000 | PepsiCo, Inc., Sr. Unsecd. Note, 2.750%, 10/21/2051 | 49,798 | |
90,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 79,223 | |
TOTAL | 495,117 | ||
Consumer Non-Cyclical - Health Care—0.2% | |||
27,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.794%, 5/20/2050 | 22,023 | |
27,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 25,274 | |
85,000 | CVS Health Corp., Sr. Unsecd. Note, 4.250%, 4/1/2050 | 71,093 | |
60,000 | CVS Health Corp., Sr. Unsecd. Note, 5.250%, 2/21/2033 | 61,357 | |
90,000 | Danaher Corp., Sr. Unsecd. Note, 2.600%, 10/1/2050 | 60,376 | |
65,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 58,862 | |
80,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 56,439 | |
25,000 | HCA, Inc., Sr. Unsecd. Note, 5.200%, 6/1/2028 | 25,272 | |
10,000 | Stryker Corp., Sr. Unsecd. Note, 3.500%, 3/15/2026 | 9,759 | |
TOTAL | 390,455 | ||
Consumer Non-Cyclical - Pharmaceuticals—0.5% | |||
83,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 81,826 | |
110,000 | Amgen, Inc., Sr. Unsecd. Note, 5.250%, 3/2/2033 | 112,815 | |
110,000 | Amgen, Inc., Sr. Unsecd. Note, 5.650%, 3/2/2053 | 115,813 | |
75,000 | AstraZeneca PLC, Sr. Unsecd. Note, 1.375%, 8/6/2030 | 62,385 | |
70,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 59,742 | |
75,000 | Biogen, Inc., Sr. Unsecd. Note, 3.150%, 5/1/2050 | 52,724 | |
40,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.250%, 10/26/2049 | 34,748 | |
30,000 | Gilead Sciences, Inc., Sr. Unsecd. Note, 5.250%, 10/15/2033 | 31,283 | |
60,000 | Pfizer Investment Enterprises Pte Ltd., Sr. Unsecd. Note, 4.450%, 5/19/2028 | 59,991 | |
60,000 | Pfizer Investment Enterprises Pte Ltd., Sr. Unsecd. Note, 4.750%, 5/19/2033 | 60,157 | |
45,000 | Pfizer Investment Enterprises Pte Ltd., Sr. Unsecd. Note, 5.300%, 5/19/2053 | 45,974 | |
91,000 | Regeneron Pharmaceuticals, Inc., Sr. Unsecd. Note, 2.800%, 9/15/2050 | 60,053 | |
115,000 | Zoetis, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2050 | 82,750 | |
TOTAL | 860,261 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Tobacco—0.1% | |||
$ 50,000 | BAT Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047 | $ 38,472 | |
125,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 2.100%, 5/1/2030 | 107,298 | |
25,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 5.750%, 11/17/2032 | 26,249 | |
55,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 57,061 | |
TOTAL | 229,080 | ||
Energy - Independent—0.1% | |||
55,000 | Diamondback Energy, Inc., Sr. Unsecd. Note, 6.250%, 3/15/2033 | 58,798 | |
80,000 | Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041 | 84,137 | |
60,000 | Ovintiv, Inc., Sr. Unsecd. Note, 7.100%, 7/15/2053 | 66,088 | |
TOTAL | 209,023 | ||
Energy - Integrated—0.0% | |||
80,000 | Chevron Corp., Sr. Unsecd. Note, 3.078%, 5/11/2050 | 60,479 | |
Energy - Midstream—0.5% | |||
45,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.600%, 9/1/2032 | 39,892 | |
40,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 39,205 | |
35,000 | Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2029 | 31,246 | |
115,000 | Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.900%, 11/15/2049 | 85,240 | |
60,000 | Energy Transfer LP, Sr. Unsecd. Note, 5.750%, 2/15/2033 | 61,939 | |
15,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 14,984 | |
95,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 10Y, 4.950%, 6/15/2028 | 94,723 | |
50,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 51,456 | |
110,000 | MPLX LP, Sr. Unsecd. Note, 4.950%, 9/1/2032 | 107,707 | |
75,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 67,301 | |
20,000 | ONEOK, Inc., Sr. Unsecd. Note, 6.100%, 11/15/2032 | 21,266 | |
110,000 | Plains All American Pipeline LP, Sr. Unsecd. Note, 5.150%, 6/1/2042 | 99,692 | |
100,000 | Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033 | 92,022 | |
100,000 | Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045 | 91,091 | |
TOTAL | 897,764 | ||
Energy - Oil Field Services—0.0% | |||
85,000 | Halliburton Co., Sr. Unsecd. Note, 5.000%, 11/15/2045 | 82,649 | |
Energy - Refining—0.1% | |||
75,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044 | 67,032 | |
50,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 47,990 | |
75,000 | Valero Energy Corp., Sr. Unsecd. Note, 2.800%, 12/1/2031 | 63,682 | |
TOTAL | 178,704 | ||
Financial Institution - Banking—2.2% | |||
100,000 | American Express Co., Sr. Unsecd. Note, 4.990%, 5/1/2026 | 99,746 | |
115,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 113,060 | |
135,000 | Bank of America Corp., Sr. Unsecd. Note, 2.299%, 7/21/2032 | 110,285 | |
350,000 | Bank of America Corp., Sr. Unsecd. Note, 3.419%, 12/20/2028 | 329,922 | |
50,000 | Bank of America Corp., Sr. Unsecd. Note, 5.288%, 4/25/2034 | 50,142 | |
75,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 74,046 | |
50,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.992%, 6/13/2028 | 48,797 | |
75,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.273%, 3/1/2030 | 67,047 | |
95,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.057%, 1/25/2033 | 81,085 | |
195,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 188,257 | |
90,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.668%, 7/24/2028 | 85,832 | |
70,000 | Citigroup, Inc., Sub., 6.174%, 5/25/2034 | 72,461 | |
100,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 6.361%, 10/27/2028 | 103,817 | |
50,000 | FNB Corp. (PA), Sr. Unsecd. Note, 5.150%, 8/25/2025 | 49,656 | |
150,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.948%, 10/21/2027 | 137,270 | |
275,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.992%, 1/27/2032 | 222,308 | |
100,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 4.443%, 8/4/2028 | 96,981 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$ 120,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.953%, 2/4/2032 | $ 97,579 | |
100,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.963%, 1/25/2033 | 85,728 | |
325,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.509%, 1/23/2029 | 308,189 | |
75,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 5.350%, 6/1/2034 | 76,112 | |
75,000 | M&T Bank Corp., Sr. Unsecd. Note, 5.053%, 1/27/2034 | 71,095 | |
30,000 | M&T Bank Corp., Sr. Unsecd. Note, 7.413%, 10/30/2029 | 32,294 | |
45,000 | Morgan Stanley, Sr. Unsecd. Note, 5.250%, 4/21/2034 | 45,016 | |
325,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.772%, 1/24/2029 | 310,130 | |
40,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.794%, 2/13/2032 | 31,959 | |
55,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.928%, 4/28/2032 | 44,250 | |
80,000 | Northern Trust Corp., Sub., 6.125%, 11/2/2032 | 85,941 | |
110,000 | PNC Financial Services Group, Inc., Sub Note, 4.626%, 6/6/2033 | 103,807 | |
45,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.122%, 1/26/2034 | 43,607 | |
50,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.867%, 6/8/2034 | 51,040 | |
125,000 | US Bancorp, 4.967%, 7/22/2033 | 118,564 | |
30,000 | US Bancorp, Sr. Unsecd. Note, 5.836%, 6/12/2034 | 30,959 | |
30,000 | Wells Fargo & Co., Sr. Unsecd. Note, 5.389%, 4/24/2034 | 30,148 | |
100,000 | Wells Fargo & Co., Sr. Unsecd. Note, 6.491%, 10/23/2034 | 108,847 | |
300,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 285,958 | |
TOTAL | 3,891,935 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.1% | |||
40,000 | BlackRock, Inc., Sr. Unsecd. Note, 4.750%, 5/25/2033 | 40,376 | |
100,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 81,976 | |
100,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 100,852 | |
TOTAL | 223,204 | ||
Financial Institution - Finance Companies—0.1% | |||
50,000 | Air Lease Corp., Sr. Unsecd. Note, 5.300%, 2/1/2028 | 50,591 | |
85,000 | Air Lease Corp., Sr. Unsecd. Note, 5.850%, 12/15/2027 | 87,269 | |
40,000 | Ally Financial, Inc., Sr. Unsecd. Note, 6.848%, 1/3/2030 | 41,128 | |
TOTAL | 178,988 | ||
Financial Institution - Insurance - Health—0.1% | |||
90,000 | Elevance Health, Inc., Sr. Unsecd. Note, 4.750%, 2/15/2033 | 90,075 | |
145,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 3.050%, 5/15/2041 | 113,388 | |
TOTAL | 203,463 | ||
Financial Institution - Insurance - Life—0.3% | |||
45,000 | Corebridge Financial, Inc., Sr. Unsecd. Note, 5.750%, 1/15/2034 | 46,031 | |
50,000 | CoreBridge Global Funding, Sr. Secd. Note, 144A, 5.900%, 9/19/2028 | 51,590 | |
10,000 | Lincoln National Corp., Sr. Unsecd. Note, 3.400%, 1/15/2031 | 8,968 | |
110,000 | Lincoln National Corp., Sr. Unsecd. Note, 3.625%, 12/12/2026 | 107,052 | |
100,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 85,439 | |
70,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 55,652 | |
100,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 2.125%, 6/15/2030 | 84,513 | |
75,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 4.600%, 5/15/2044 | 69,969 | |
TOTAL | 509,214 | ||
Financial Institution - Insurance - P&C—0.3% | |||
100,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 1.375%, 9/15/2030 | 82,332 | |
30,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 3.350%, 5/3/2026 | 29,215 | |
125,000 | CNA Financial Corp., Sr. Unsecd. Note, 5.500%, 6/15/2033 | 128,992 | |
200,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 264,719 | |
45,000 | Travelers Cos., Inc., Sr. Unsecd. Note, 5.450%, 5/25/2053 | 48,603 | |
TOTAL | 553,861 | ||
Financial Institution - REIT - Apartment—0.2% | |||
135,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 129,073 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Apartment—continued | |||
$ 135,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | $ 132,692 | |
110,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 103,685 | |
TOTAL | 365,450 | ||
Financial Institution - REIT - Healthcare—0.2% | |||
100,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 80,103 | |
125,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 119,203 | |
75,000 | Welltower, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2031 | 65,461 | |
100,000 | Welltower, Inc., Sr. Unsecd. Note, 4.250%, 4/1/2026 | 98,542 | |
TOTAL | 363,309 | ||
Financial Institution - REIT - Office—0.1% | |||
130,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 1.875%, 2/1/2033 | 101,296 | |
100,000 | Boston Properties LP, Sr. Unsecd. Note, 3.650%, 2/1/2026 | 96,323 | |
40,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | 27,834 | |
TOTAL | 225,453 | ||
Financial Institution - REIT - Other—0.1% | |||
70,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | 65,763 | |
50,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 49,793 | |
TOTAL | 115,556 | ||
Financial Institution - REIT - Retail—0.1% | |||
75,000 | Kimco Realty Corp., Sr. Unsecd. Note, 6.400%, 3/1/2034 | 82,299 | |
135,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 129,668 | |
TOTAL | 211,967 | ||
Technology—0.8% | |||
165,000 | Apple, Inc., Sr. Unsecd. Note, 2.375%, 2/8/2041 | 120,717 | |
65,000 | Apple, Inc., Sr. Unsecd. Note, 2.400%, 8/20/2050 | 42,662 | |
65,000 | Apple, Inc., Sr. Unsecd. Note, 4.000%, 5/10/2028 | 64,892 | |
112,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 109,436 | |
20,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 19,114 | |
5,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036 | 4,055 | |
50,000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 46,827 | |
45,000 | Concentrix Corp., Sr. Unsecd. Note, 6.650%, 8/2/2026 | 46,151 | |
100,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 97,412 | |
30,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 4.700%, 7/15/2027 | 30,018 | |
35,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 5.625%, 7/15/2052 | 35,610 | |
95,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 89,446 | |
100,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 98,752 | |
65,000 | Microsoft Corp., Sr. Unsecd. Note, 2.525%, 6/1/2050 | 44,430 | |
200,000 | Microsoft Corp., Sr. Unsecd. Note, 3.125%, 11/3/2025 | 195,370 | |
125,000 | Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050 | 92,697 | |
85,000 | Trimble, Inc., Sr. Unsecd. Note, 6.100%, 3/15/2033 | 91,014 | |
110,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 107,403 | |
25,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 5.500%, 6/15/2045 | 24,725 | |
40,000 | VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026 | 36,599 | |
35,000 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 29,021 | |
TOTAL | 1,426,351 | ||
Technology Services—0.2% | |||
110,000 | Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026 | 100,919 | |
85,000 | Global Payments, Inc., Sr. Unsecd. Note, 4.950%, 8/15/2027 | 85,189 | |
90,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 77,186 | |
TOTAL | 263,294 | ||
Transportation - Railroads—0.2% | |||
75,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 3.000%, 4/1/2025 | 73,407 | |
75,000 | 2 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 5.200% (180-DAY AVERAGE SOFR +2.050%), 4/15/2054 | 78,147 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Transportation - Railroads—continued | |||
$ 110,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 3.500%, 5/1/2050 | $ 84,572 | |
65,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.375%, 5/20/2031 | 56,535 | |
100,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 89,112 | |
TOTAL | 381,773 | ||
Transportation - Services—0.3% | |||
45,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 4.600%, 5/1/2028 | 44,750 | |
70,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 4.900%, 5/1/2033 | 69,944 | |
65,000 | FedEx Corp., Sr. Unsecd. Note, 3.250%, 5/15/2041 | 50,315 | |
80,000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 1.650%, 7/15/2026 | 72,152 | |
80,000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 2.650%, 7/15/2031 | 65,708 | |
30,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 5.550%, 5/1/2028 | 30,486 | |
70,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 5.700%, 2/1/2028 | 71,571 | |
50,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.850%, 3/1/2027 | 47,035 | |
75,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 5.250%, 6/1/2028 | 76,044 | |
TOTAL | 528,005 | ||
Utility - Electric—1.1% | |||
165,000 | Ameren Corp., Sr. Unsecd. Note, 1.750%, 3/15/2028 | 145,893 | |
50,000 | American Electric Power Co., Inc., Jr. Sub. Note, 2.031%, 3/15/2024 | 49,596 | |
60,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 5.625%, 3/1/2033 | 62,543 | |
100,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 84,198 | |
75,000 | Constellation Energy Generation LLC, Sr. Unsecd. Note, 5.800%, 3/1/2033 | 78,887 | |
15,000 | Constellation Energy Generation LLC, Sr. Unsecd. Note, 6.500%, 10/1/2053 | 16,946 | |
65,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 63,950 | |
100,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026 | 94,957 | |
125,000 | Duke Energy Corp., Sr. Unsecd. Note, 3.750%, 9/1/2046 | 96,650 | |
75,000 | Emera US Finance LP, Sr. Unsecd. Note, 3.550%, 6/15/2026 | 72,306 | |
50,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 41,276 | |
100,000 | Enel Finance International S.A., Co. Guarantee, 144A, 6.000%, 10/7/2039 | 101,891 | |
190,000 | Evergy Metro, Inc., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 160,308 | |
25,000 | Exelon Corp., Sr. Unsecd. Note, 4.100%, 3/15/2052 | 20,275 | |
100,000 | Exelon Corp., Sr. Unsecd. Note, 4.700%, 4/15/2050 | 90,170 | |
100,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 86,738 | |
93,000 | Fortis, Inc./Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 88,343 | |
50,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 48,085 | |
200,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.250%, 6/1/2030 | 171,202 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 56,193 | |
10,000 | NiSource, Inc., Sr. Unsecd. Note, 5.250%, 3/30/2028 | 10,201 | |
100,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 3.100%, 5/15/2026 | 95,903 | |
125,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 111,833 | |
100,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 95,271 | |
20,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 5.150%, 10/1/2027 | 20,305 | |
TOTAL | 1,963,920 | ||
Utility - Natural Gas—0.3% | |||
25,000 | Enbridge, Inc., Sr. Unsecd. Note, 6.700%, 11/15/2053 | 29,110 | |
40,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 33,544 | |
70,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 70,137 | |
130,000 | Sempra Energy, Sr. Unsecd. Note, 3.700%, 4/1/2029 | 123,960 | |
120,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 100,944 | |
90,000 | TransCanada PipeLines Ltd., Sr. Secd. Note, 5.100%, 3/15/2049 | 85,956 | |
TOTAL | 443,651 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $21,346,288) | 19,918,324 |
Shares, Principal Amount or Contracts | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—0.7% | |||
Agency—0.2% | |||
$ 290,000 | FREMF Mortgage Trust 2015-K49 REMIC, Class B, 3.720%, 10/25/2048 | $ 281,204 | |
Commercial Mortgage—0.4% | |||
110,000 | Bank 2022-BNK40, Class A4, 3.393%, 3/15/2064 | 97,868 | |
85,000 | Bank, Class A4, 3.488%, 11/15/2050 | 79,820 | |
200,000 | Benchmark Mortgage Trust 2020-B19, Class A5, 1.850%, 9/15/2053 | 158,968 | |
50,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | 46,736 | |
200,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 193,794 | |
100,000 | JPMDB Commercial Mortgage Securities Trust 2016-C4, Class A3, 3.141%, 12/15/2049 | 92,089 | |
TOTAL | 669,275 | ||
Federal Home Loan Mortgage Corporation—0.1% | |||
225,506 | Federal Home Loan Mortgage Corp. REMIC, Series K105, Class A1, 1.536%, 9/25/2029 | 203,341 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $1,276,153) | 1,153,820 | ||
FOREIGN GOVERNMENTS/AGENCIES—0.2% | |||
Sovereign—0.2% | |||
200,000 | Mexico, Government of, 3.750%, 1/11/2028 | 192,770 | |
100,000 | Poland, Government of, Sr. Unsecd. Note, 4.000%, 1/22/2024 | 99,804 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $298,558) | 292,574 | ||
MORTGAGE-BACKED SECURITIES—0.0% | |||
Government National Mortgage Association—0.0% | |||
2,718 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 2,804 | |
1,708 | Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031 | 1,776 | |
4,776 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 4,930 | |
5,970 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 6,177 | |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $15,132) | 15,687 | ||
ADJUSTABLE RATE MORTGAGE—0.0% | |||
Federal National Mortgage Association—0.0% | |||
1,515 | 2 | Federal National Mortgage Association ARM, 6.094%, 9/1/2037 (IDENTIFIED COST $1,519) | 1,546 |
PURCHASED CALL OPTION—0.1% | |||
70,000 | 1 | SPDR S&P 500 ETF Trust (CALL-Option), Notional Amount $333,888,100 Exercise Price $485, Expiration Date 1/19/2024 (IDENTIFIED COST $144,927) | 142,800 |
PURCHASED PUT OPTION—0.1% | |||
50,000 | 1 | SPDR S&P 500 ETF Trust (PUT-Option), Notional Amount $238,491,500 Exercise Price $470, Expiration Date 1/19/2024 (IDENTIFIED COST $104,020) | 117,250 |
INVESTMENT COMPANIES—20.2% | |||
1,739 | Bank Loan Core Fund | 15,220 | |
260,626 | Emerging Markets Core Fund | 2,150,161 | |
434,303 | Federated Hermes High Income Bond Fund II, Class P | 2,458,157 | |
1,124 | Federated Hermes Short-Intermediate Government Fund, Institutional Shares | 11,048 | |
3,182,360 | Mortgage Core Fund | 26,890,940 | |
443,371 | Project and Trade Finance Core Fund | 3,897,234 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $36,160,485) | 35,422,760 | ||
REPURCHASE AGREEMENT—5.2% | |||
$9,192,000 | Interest in $1,800,000,000 joint repurchase agreement 5.34%, dated 12/29/2023 under which Bank of Montreal will repurchase securities provided as collateral for $1,801,068,000 on 1/2/2024. 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 2/20/2073 and the market value of those underlying securities was $1,855,100,040. (IDENTIFIED COST $9,192,000) | 9,192,000 | |
TOTAL INVESTMENT IN SECURITIES—99.9% (IDENTIFIED COST $165,625,632)3 | 175,596,198 | ||
OTHER ASSETS AND LIABILITIES - NET—0.1%4 | 213,176 | ||
TOTAL NET ASSETS—100% | $175,809,374 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
S&P 500 E-Mini Long Futures | 280 | $67,480,000 | March 2024 | $1,932,849 |
United States Treasury Notes 2-Year Long Futures | 60 | $12,354,844 | March 2024 | $69,725 |
United States Treasury Notes 5-Year Long Futures | 80 | $8,701,875 | March 2024 | $198,570 |
United States Treasury Notes 10-Year Ultra Long Futures | 5 | $590,078 | March 2024 | $27,006 |
Short Futures: | ||||
United States Treasury Notes 10-Year Short Futures | 235 | $26,529,297 | March 2024 | $(703,801) |
United States Treasury Ultra Bond Short Futures | 14 | $1,870,312 | March 2024 | $(165,913) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $1,358,436 |
Affiliates | Value as of 12/31/2022 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 12/31/2023 | Shares Held as of 12/31/2023 | Dividend Income |
Bank Loan Core Fund | $13,706 | $1,366 | $— | $148 | $— | $15,220 | 1,739 | $1,366 |
Emerging Markets Core Fund | $2,389,776 | $879,754 | $(1,210,000) | $309,309 | $(218,678) | $2,150,161 | 260,626 | $179,736 |
Federated Hermes High Income Bond Fund II, Class P | $2,753,671 | $166,459 | $(600,000) | $99,244 | $38,783 | $2,458,157 | 434,303 | $166,458 |
Federated Hermes Short-Intermediate Govern- ment Fund, Institutional Shares | $10,633 | $390 | $— | $25 | $— | $11,048 | 1,124 | $361 |
Mortgage Core Fund | $21,642,062 | $9,753,886 | $(4,850,000) | $920,744 | $(575,752) | $26,890,940 | 3,182,360 | $1,103,886 |
Project and Trade Finance Core Fund | $3,567,737 | $274,730 | $— | $54,767 | $— | $3,897,234 | 443,371 | $274,793 |
TOTAL OF AFFILIATED TRANSACTIONS | $30,377,585 | $11,076,585 | $(6,660,000) | $1,384,237 | $(755,647) | $35,422,760 | 4,323,523 | $1,726,600 |
1 | Non-income-producing security. |
2 | Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above. |
3 | The cost of investments for federal tax purposes amounts to $167,954,690. |
4 | 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 December 31, 2023, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | $72,734,688 | $— | $— | $72,734,688 |
International | 4,143,447 | 385,554 | — | 4,529,001 |
Debt Securities: | ||||
U.S. Treasuries | — | 32,075,748 | — | 32,075,748 |
Corporate Bonds | — | 19,918,324 | — | 19,918,324 |
Collateralized Mortgage Obligations | — | 1,153,820 | — | 1,153,820 |
Foreign Governments/Agencies | — | 292,574 | — | 292,574 |
Mortgage-Backed Securities | — | 15,687 | — | 15,687 |
Adjustable Rate Mortgage | — | 1,546 | — | 1,546 |
Purchased Call Option | 142,800 | — | — | 142,800 |
Purchased Put Option | 117,250 | — | — | 117,250 |
Investment Companies1 | 31,525,526 | — | — | 35,422,760 |
Repurchase Agreement | — | 9,192,000 | — | 9,192,000 |
TOTAL SECURITIES | $108,663,711 | $63,035,253 | $— | $175,596,198 |
Other Financial Instruments:2 | ||||
Assets | $2,228,150 | $— | $— | $2,228,150 |
Liabilities | (869,714) | — | — | (869,714) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $1,358,436 | $— | $— | $1,358,436 |
1 | As permitted by U.S. generally accepted accounting principles (GAAP), an Investment Company valued at $3,897,234 is measured at fair value using the net assets 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 (PTCORE), a portfolio of Federated Hermes Core Trust III, may be determined as of the closing NAV of the fund up to twenty-four days after receipt of a shareholder redemption request. The investment objective of PTCORE is to provide total return. Copies of the PTCORE financial statements are available on the EDGAR database on the SEC’s website or upon request from the Fund. |
2 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
ARM | —Adjustable Rate Mortgage | |
ETF | —Exchange-Traded Fund | |
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 | |
SOFR | —Secured Overnight Financing Rate | |
SPDR | —Standard & Poor’s Depositary Receipt |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $8.46 | $12.90 | $11.09 | $11.30 | $9.60 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.20 | 0.16 | 0.19 | 0.19 | 0.24 |
Net realized and unrealized gain (loss) | 0.52 | (1.72) | 1.83 | (0.13) | 1.68 |
Total From Investment Operations | 0.72 | (1.56) | 2.02 | 0.06 | 1.92 |
Less Distributions: | |||||
Distributions from net investment income | (0.16) | (0.21) | (0.21) | (0.27) | (0.22) |
Distributions from net realized gain | — | (2.67) | — | — | — |
Total Distributions | (0.16) | (2.88) | (0.21) | (0.27) | (0.22) |
Net Asset Value, End of Period | $9.02 | $8.46 | $12.90 | $11.09 | $11.30 |
Total Return2 | 8.68% | (13.75)% | 18.51% | 0.93% | 20.23% |
Ratios to Average Net Assets: | |||||
Net expenses3 | 0.95% | 0.95% | 0.93% | 0.92% | 0.91% |
Net investment income | 2.39% | 1.72% | 1.58% | 1.82% | 2.28% |
Expense waiver/reimbursement4 | 0.13% | 0.11% | 0.02% | 0.01% | 0.02% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $174,228 | $173,194 | $217,682 | $586,281 | $651,498 |
Portfolio turnover5 | 47% | 51% | 60% | 61% | 47% |
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. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | 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. |
5 | Securities that mature are considered sales for purposes of this calculation. |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $8.63 | $12.90 | $11.09 | $11.27 | $9.59 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.19 | 0.14 | 0.16 | 0.16 | 0.21 |
Net realized and unrealized gain (loss) | 0.52 | (1.74) | 1.84 | (0.12) | 1.68 |
Total From Investment Operations | 0.71 | (1.60) | 2.00 | 0.04 | 1.89 |
Less Distributions: | |||||
Distributions from net investment income | (0.14) | — | (0.19) | (0.22) | (0.21) |
Distributions from net realized gain | — | (2.67) | — | — | — |
Total Distributions | (0.14) | (2.67) | (0.19) | (0.22) | (0.21) |
Net Asset Value, End of Period | $9.20 | $8.63 | $12.90 | $11.09 | $11.27 |
Total Return2 | 8.33% | (14.00)% | 18.25% | 0.71% | 19.92% |
Ratios to Average Net Assets: | |||||
Net expenses3 | 1.20% | 1.20% | 1.16% | 1.17% | 1.16% |
Net investment income | 2.14% | 1.47% | 1.38% | 1.57% | 2.03% |
Expense waiver/reimbursement4 | 0.13% | 0.11% | 0.02% | 0.01% | 0.02% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $1,581 | $1,576 | $1,949 | $39,680 | $44,161 |
Portfolio turnover5 | 47% | 51% | 60% | 61% | 47% |
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. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | 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. |
5 | Securities that mature are considered sales for purposes of this calculation. |
Assets: | |
Investment in securities, at value including $35,422,760 of investments in affiliated holdings* (identified cost $165,625,632, including $36,160,485 of identified cost in affiliated holdings) | $175,596,198 |
Cash | 992 |
Due from broker (Note 2) | 2,000 |
Income receivable | 570,628 |
Income receivable from affiliated holdings | 135,981 |
Receivable for investments sold | 22,272 |
Receivable for shares sold | 42,205 |
Total Assets | 176,370,276 |
Liabilities: | |
Payable for investments purchased | 280,955 |
Payable for shares redeemed | 13,740 |
Payable for variation margin on futures contracts | 150,107 |
Payable for investment adviser fee (Note 5) | 8,791 |
Payable for administrative fee (Note 5) | 2,154 |
Payable for auditing fees | 30,490 |
Payable for custodian fees | 21,734 |
Payable for portfolio accounting fees | 33,059 |
Payable for distribution services fee (Note 5) | 329 |
Accrued expenses (Note 5) | 19,543 |
Total Liabilities | 560,902 |
Net assets for 19,492,825 shares outstanding | $175,809,374 |
Net Assets Consist of: | |
Paid-in capital | $181,832,256 |
Total distributable earnings (loss) | (6,022,882) |
Total Net Assets | $175,809,374 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Primary Shares: | |
$174,227,840 ÷ 19,320,979 shares outstanding, no par value, unlimited shares authorized | $9.02 |
Service Shares: | |
$1,581,534 ÷ 171,846 shares outstanding, no par value, unlimited shares authorized | $9.20 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Dividends (including $1,726,600 received from affiliated holdings*and net of foreign taxes withheld of $386) | $3,338,627 |
Interest | 2,394,528 |
TOTAL INCOME | 5,733,155 |
Expenses: | |
Investment adviser fee (Note 5) | 1,286,764 |
Administrative fee (Note 5) | 269,409 |
Custodian fees | 42,448 |
Transfer agent fees | 17,483 |
Directors’/Trustees’ fees (Note 5) | 2,057 |
Auditing fees | 38,113 |
Legal fees | 14,010 |
Portfolio accounting fees | 125,306 |
Distribution services fee (Note 5) | 3,883 |
Printing and postage | 33,357 |
Miscellaneous (Note 5) | 29,065 |
TOTAL EXPENSES | 1,861,895 |
Waiver/reimbursement of investment adviser fee (Note 5) | (219,165) |
Net expenses | 1,642,730 |
Net investment income | 4,090,425 |
Realized and Unrealized Gain (Loss) on Investments, Foreign Currency Transactions and Futures Contracts: | |
Net realized loss on investments (including net realized loss of $(755,647) on sales of investments in affiliated holdings*) | (3,828,193) |
Net realized gain on foreign currency transactions | 3,330 |
Net realized gain on futures contracts | 7,368,276 |
Net change in unrealized appreciation of investments (including net change in unrealized depreciation of $1,384,237 on investments in affiliated holdings*) | 5,739,915 |
Net change in unrealized appreciation of translation of assets and liabilities in foreign currency | (75) |
Net change in unrealized appreciation of futures contracts | 875,257 |
Net realized and unrealized gain (loss) on investments, foreign currency transactions and futures contracts | 10,158,510 |
Change in net assets resulting from operations | $14,248,935 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2023 | 2022 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $4,090,425 | $3,233,732 |
Net realized gain (loss) | 3,543,413 | (9,154,345) |
Net change in unrealized appreciation/depreciation | 6,615,097 | (23,779,774) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 14,248,935 | (29,700,387) |
Distributions to Shareholders: | ||
Primary Shares | (3,205,320) | (47,808,168) |
Service Shares | (24,674) | (400,234) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (3,229,994) | (48,208,402) |
Share Transactions: | ||
Proceeds from sale of shares | 3,643,010 | 5,130,009 |
Net asset value of shares issued to shareholders in payment of distributions declared | 3,229,994 | 48,208,376 |
Cost of shares redeemed | (16,852,254) | (20,291,100) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (9,979,250) | 33,047,285 |
Change in net assets | 1,039,691 | (44,861,504) |
Net Assets: | ||
Beginning of period | 174,769,683 | 219,631,187 |
End of period | $175,809,374 | $174,769,683 |
Fair Value of Derivative Instruments | ||||
Assets | Liabilities | |||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||||
Interest rate contracts | $— | Payable for variation margin on futures contracts | $574,413* | |
Equity contracts | — | Payable for variation margin on futures contracts | (1,932,849)* | |
Equity contracts | Purchased options, within Investment in securities at value | 260,050 | — | |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $260,050 | $(1,358,436) |
* | Includes cumulative (appreciation)/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 | Purchased Options Contracts1 | Total | |
Interest rate contracts | $1,214,119 | $— | $1,214,119 |
Equity contracts | 6,154,157 | (5,042,810) | 1,111,347 |
TOTAL | $7,368,276 | $(5,042,810) | $2,325,466 |
1 | The net realized loss on Purchased Options Contracts is found within the Net realized loss on investments on the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||
Futures Contracts | Purchased Options Contracts1 | Total | |
Interest rate contracts | $(1,095,738) | $— | $(1,095,738) |
Equity contracts | 1,970,995 | 34,526 | 2,005,521 |
TOTAL | $875,257 | $34,526 | $909,783 |
1 | The net change in unrealized appreciation of Purchased Options Contracts is found within the Net change in unrealized appreciation of investments on the Statement of Operations. |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 427,564 | $3,625,602 | 530,991 | $4,916,770 |
Shares issued to shareholders in payment of distributions declared | 388,995 | 3,205,320 | 5,219,233 | 47,808,168 |
Shares redeemed | (1,957,443) | (16,716,743) | (2,158,898) | (19,972,108) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (1,140,884) | $(9,885,821) | 3,591,326 | $32,752,830 |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 2,011 | $17,408 | 21,072 | $213,239 |
Shares issued to shareholders in payment of distributions declared | 2,930 | 24,674 | 42,757 | 400,208 |
Shares redeemed | (15,657) | (135,511) | (32,386) | (318,992) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (10,716) | $(93,429) | 31,443 | $294,455 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (1,151,600) | $(9,979,250) | 3,622,769 | $33,047,285 |
2023 | 2022 | |
Ordinary income | $3,229,994 | $20,666,153 |
Long-term capital gains | $— | $27,542,249 |
Undistributed ordinary income | $4,094,082 |
Net unrealized appreciation | $7,641,508 |
Capital loss carryforwards | $(17,758,472) |
TOTAL | $(6,022,882) |
Short-Term | Long-Term | Total |
$5,409,679 | $12,348,793 | $17,758,472 |
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 | $3,883 |
Purchases | $64,510,740 |
Sales | $55,088,703 |
February 15, 2024
Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,042.80 | $4.89 |
Service Shares | $1,000 | $1,040.70 | $6.17 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,020.42 | $4.84 |
Service Shares | $1,000 | $1,019.16 | $6.11 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (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 | 0.95% |
Service Shares | 1.20% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: September 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Thomas R. Donahue* Birth Date: October 20, 1958 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Director or Trustee of certain of the funds in the Federated Hermes Fund Family; Chief Financial Officer, Treasurer, Vice President and Assistant Secretary, Federated Hermes, Inc.; Chairman and Trustee, Federated Administrative Services; Chairman and Director, Federated Administrative Services, Inc.; Trustee and Treasurer, Federated Advisory Services Company; Director or Trustee and Treasurer, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, and Federated Investment Management Company; Director, MDTA LLC; Director, Executive Vice President and Assistant Secretary, Federated Securities Corp.; Director or Trustee and Chairman, Federated Services Company and Federated Shareholder Services Company; and Director and President, FII Holdings, Inc. Previous Positions: Director, Federated Hermes, Inc.; Assistant Secretary, Federated Investment Management Company, Federated Global Investment Management Company and Passport Research, LTD; Treasurer, Passport Research, LTD; Executive Vice President, Federated Securities Corp.; and Treasurer, FII Holdings, Inc. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee and Chair of the Board of Directors or Trustees of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Chair of the Audit Committee, Member of the Compensation Committee, Equifax, Inc.; Lead Director, Member of the Audit and Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President’s Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Emerita, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (natural gas). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as Director of the Office of Church Relations and later as Associate General Secretary for the Diocese of Pittsburgh, a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania and previously served on the Supreme Court’s Board of Continuing Judicial Education and the Supreme Court’s Appellate Court Procedural Rules Committee. Judge Lally-Green was then appointed by the Supreme Court of Pennsylvania and currently serves on the Judicial Ethics Advisory Board. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director, CNX Resources Corporation (natural gas). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, Saint Vincent College; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; and Director and Vice Chair, Saint Francis University. |
Thomas M. O’Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee and Chair of the Audit Committee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O’Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O’Neill serves as Director, Medicines for Humanity. Mr. O’Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); Director, Midway Pacific (lumber); and Director, The Golisano Children’s Museum of Naples, Florida. |
Madelyn A. Reilly Birth Date: February 2, 1956 Trustee Indefinite Term Began serving: November 2020 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors, Duquesne University (Retired). Other Directorships Held: None. Qualifications: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors and Director of Risk Management and Associate General Counsel, Duquesne University. Prior to her work at Duquesne University, Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, Health and Safety, PPG Industries. Ms. Reilly currently serves as a member of the Board of Directors of UPMC Mercy Hospital, and as a member of the Board of Directors of Catholic Charities, Pittsburgh. |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CONSOL Energy Inc. (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and CNX Gas Company; and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes, Inc. in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
John B. Fisher Birth Date: May 16, 1956 President Officer since: November 2004 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Director and Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, and Federated MDTA LLC; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and CEO of Passport Research, Ltd.; Director and President, Technology, Federated Services Company. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated Hermes, Inc. in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Inc., Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes, Inc. in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes’ taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund’s Adviser in 2009 and served as a Senior Vice President of the Fund’s Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated Hermes’ money market products in 2004. She joined Federated Hermes in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund’s Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
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
1 Year | 5 Years | 10 Years | |
Primary Shares | 6.14% | 2.36% | 2.25% |
Service Shares | 5.85% | 2.10% | 2.00% |
BICI | 6.94% | 2.44% | 2.46% |
Security Type | Percentage of Total Net Assets |
Corporate Bonds | 97.2% |
Mortgage-Backed Securities2,3 | 0.0% |
Securities Lending Collateral4 | 0.8% |
Cash Equivalents5 | 1.7% |
Derivative Contracts6 | 0.1% |
Other Assets and Liabilities—Net7 | 0.2% |
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—97.2% | |||
Basic Industry - Chemicals—0.3% | |||
$ 500,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | $ 493,260 | |
Basic Industry - Metals & Mining—0.9% | |||
350,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.250%, 3/17/2028 | 312,281 | |
200,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031 | 170,208 | |
200,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 5.500%, 5/2/2033 | 202,172 | |
350,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 324,601 | |
350,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 6.125%, 10/6/2028 | 366,964 | |
TOTAL | 1,376,226 | ||
Capital Goods - Aerospace & Defense—3.1% | |||
600,000 | Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027 | 574,008 | |
280,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 274,033 | |
200,000 | BAE Systems PLC, Sr. Unsecd. Note, 144A, 3.400%, 4/15/2030 | 184,633 | |
600,000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | 566,057 | |
500,000 | Boeing Co., Sr. Unsecd. Note, 3.625%, 2/1/2031 | 464,637 | |
410,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 387,903 | |
600,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 2.300%, 2/15/2031 | 502,510 | |
335,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | 326,630 | |
800,000 | RTX Corp, Sr. Unsecd. Note, 4.125%, 11/16/2028 | 782,225 | |
460,000 | 1 | Textron Financial Corp., Jr. Sub. Note, 144A, 7.376% (CME Term SOFR 3 Month +1.996%), 2/15/2042 | 362,551 |
TOTAL | 4,425,187 | ||
Capital Goods - Building Materials—1.3% | |||
415,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 383,837 | |
800,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 784,313 | |
155,000 | Carrier Global Corp., Sr. Unsecd. Note, 144A, 5.900%, 3/15/2034 | 167,711 | |
300,000 | Masco Corp., Sr. Unsecd. Note, 2.000%, 10/1/2030 | 247,535 | |
300,000 | Masco Corp., Sr. Unsecd. Note, 3.500%, 11/15/2027 | 284,979 | |
TOTAL | 1,868,375 | ||
Capital Goods - Construction Machinery—1.6% | |||
500,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 1.500%, 8/12/2026 | 453,597 | |
205,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 5.550%, 5/30/2033 | 203,032 | |
600,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.450%, 7/15/2026 | 550,558 | |
595,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 573,624 | |
510,000 | Weir Group PLC/The, Sr. Unsecd. Note, 144A, 2.200%, 5/13/2026 | 474,402 | |
TOTAL | 2,255,213 | ||
Capital Goods - Diversified Manufacturing—2.8% | |||
700,000 | GE Capital Funding LLC, Sr. Unsecd. Note, 4.400%, 5/15/2030 | 663,091 | |
205,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 195,889 | |
400,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.950%, 6/1/2030 | 346,679 | |
555,000 | Hubbell, Inc., Sr. Unsecd. Note, 2.300%, 3/15/2031 | 467,720 | |
585,000 | Lennox International, Inc., Sr. Unsecd. Note, 1.700%, 8/1/2027 | 526,275 | |
430,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.000%, 6/30/2030 | 365,192 | |
875,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.800%, 12/15/2026 | 856,115 | |
500,000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 2.400%, 4/1/2028 | 439,825 | |
235,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 227,411 | |
TOTAL | 4,088,197 | ||
Capital Goods - Packaging—0.3% | |||
500,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 3.750%, 3/15/2025 | 490,951 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Communications - Cable & Satellite—1.7% | |||
$1,000,000 | CCO Safari II LLC, 4.908%, 7/23/2025 | $ 991,061 | |
400,000 | Comcast Corp., Sr. Unsecd. Note, 2.350%, 1/15/2027 | 375,657 | |
300,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 289,595 | |
750,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 740,107 | |
TOTAL | 2,396,420 | ||
Communications - Media & Entertainment—2.2% | |||
300,000 | British Sky Broadcasting Group PLC, Sr. Unsecd. Note, 144A, 3.750%, 9/16/2024 | 296,209 | |
220,000 | Meta Platforms, Inc., Sr. Unsecd. Note, 3.500%, 8/15/2027 | 214,338 | |
250,000 | Meta Platforms, Inc., Sr. Unsecd. Note, 3.850%, 8/15/2032 | 237,885 | |
500,000 | Netflix, Inc., Sr. Unsecd. Note, 4.375%, 11/15/2026 | 497,946 | |
500,000 | Netflix, Inc., Sr. Unsecd. Note, 144A, 4.875%, 6/15/2030 | 506,788 | |
310,000 | Paramount Global, Sr. Unsecd. Note, 4.200%, 5/19/2032 | 276,933 | |
805,000 | S&P Global, Inc., Sr. Unsecd. Note, 2.900%, 3/1/2032 | 718,891 | |
500,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 4.054%, 3/15/2029 | 474,646 | |
TOTAL | 3,223,636 | ||
Communications - Telecom Wireless—2.1% | |||
500,000 | American Tower Corp., Sr. Unsecd. Note, 1.450%, 9/15/2026 | 455,836 | |
430,000 | Crown Castle Inc., Sr. Unsecd. Note, 2.250%, 1/15/2031 | 356,357 | |
250,000 | Crown Castle Inc., Sr. Unsecd. Note, 4.800%, 9/1/2028 | 246,933 | |
250,000 | Crown Castle Inc., Sr. Unsecd. Note, 5.100%, 5/1/2033 | 247,673 | |
450,000 | T-Mobile USA, Inc., Series WI, 3.750%, 4/15/2027 | 436,603 | |
450,000 | T-Mobile USA, Inc., Series WI, 3.875%, 4/15/2030 | 426,853 | |
500,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.050%, 7/15/2033 | 504,073 | |
395,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 389,993 | |
TOTAL | 3,064,321 | ||
Communications - Telecom Wirelines—1.7% | |||
300,000 | AT&T, Inc., Sr. Unsecd. Note, 2.300%, 6/1/2027 | 278,583 | |
877,000 | AT&T, Inc., Sr. Unsecd. Note, 2.550%, 12/1/2033 | 715,234 | |
250,000 | Telefonica SA, Company Guarantee, 7.045%, 6/20/2036 | 283,072 | |
300,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 0.850%, 11/20/2025 | 278,919 | |
800,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 1.750%, 1/20/2031 | 658,366 | |
110,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 2.550%, 3/21/2031 | 94,878 | |
175,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.150%, 3/22/2030 | 160,011 | |
TOTAL | 2,469,063 | ||
Consumer Cyclical - Automotive—3.7% | |||
605,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.000%, 12/14/2026 | 556,844 | |
300,000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 5.125%, 1/19/2028 | 301,976 | |
250,000 | Ford Motor Co., Sr. Unsecd. Note, 4.346%, 12/8/2026 | 243,756 | |
290,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 6.798%, 11/7/2028 | 303,627 | |
200,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 7.122%, 11/7/2033 | 215,596 | |
250,000 | 2 | General Motors Co., Sr. Unsecd. Note, 4.200%, 10/1/2027 | 244,270 |
250,000 | General Motors Co., Sr. Unsecd. Note, 6.125%, 10/1/2025 | 253,433 | |
500,000 | General Motors Financial Co., Inc., 1.250%, 1/8/2026 | 462,799 | |
500,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028 | 448,951 | |
300,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.000%, 10/6/2026 | 292,048 | |
210,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 5.850%, 4/6/2030 | 216,732 | |
680,000 | Nissan Motor Acceptance Company LLC., Sr. Unsecd. Note, 144A, 1.125%, 9/16/2024 | 656,210 | |
200,000 | Stellantis Finance US, Inc., Sr. Unsecd. Note, 144A, 1.711%, 1/29/2027 | 181,723 | |
500,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, 3.950%, 6/30/2025 | 494,257 | |
500,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 1.250%, 11/24/2025 | 464,576 | |
TOTAL | 5,336,798 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Retailers—2.4% | |||
$1,000,000 | 2 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | $ 897,608 |
470,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 2.950%, 1/25/2030 | 421,068 | |
265,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 256,100 | |
240,000 | AutoZone, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2033 | 236,367 | |
275,000 | Costco Wholesale Corp., Sr. Unsecd. Note, 1.375%, 6/20/2027 | 249,717 | |
500,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 4.000%, 5/15/2025 | 491,283 | |
320,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 1.750%, 3/15/2031 | 259,746 | |
120,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2030 | 115,709 | |
580,000 | Tractor Supply Co., Sr. Unsecd. Note, 1.750%, 11/1/2030 | 475,317 | |
90,000 | Tractor Supply Co., Sr. Unsecd. Note, 5.250%, 5/15/2033 | 92,371 | |
TOTAL | 3,495,286 | ||
Consumer Cyclical - Services—1.7% | |||
200,000 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 2.125%, 2/9/2031 | 165,852 | |
500,000 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 3.400%, 12/6/2027 | 474,419 | |
300,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.000%, 4/13/2025 | 293,798 | |
170,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 163,310 | |
260,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.300%, 4/13/2027 | 252,547 | |
400,000 | Booking Holdings, Inc., Sr. Unsecd. Note, 4.625%, 4/13/2030 | 403,258 | |
750,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 734,799 | |
54,000 | Expedia Group, Inc., Sr. Unsecd. Note, Series WI, 2.950%, 3/15/2031 | 47,549 | |
TOTAL | 2,535,532 | ||
Consumer Non-Cyclical - Food/Beverage—5.5% | |||
750,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029 | 762,395 | |
1,015,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 909,953 | |
750,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028 | 751,929 | |
380,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 364,663 | |
500,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | 498,750 | |
915,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.230%, 10/1/2025 | 847,535 | |
450,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 445,577 | |
417,000 | 2 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.000%, 6/1/2026 | 400,788 |
900,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, Series WI, 3.875%, 5/15/2027 | 883,309 | |
300,000 | PepsiCo, Inc., Sr. Unsecd. Note, 2.625%, 7/29/2029 | 276,632 | |
300,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 2.625%, 9/13/2031 | 232,294 | |
510,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 419,081 | |
60,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027 | 57,507 | |
450,000 | Sysco Corp., Sr. Unsecd. Note, 3.250%, 7/15/2027 | 430,492 | |
700,000 | Sysco Corp., Sr. Unsecd. Note, 3.300%, 7/15/2026 | 676,071 | |
TOTAL | 7,956,976 | ||
Consumer Non-Cyclical - Health Care—2.8% | |||
250,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.700%, 6/6/2027 | 242,413 | |
203,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 199,911 | |
1,290,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 1,268,931 | |
235,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 212,807 | |
470,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, Series 5YR, 2.200%, 11/15/2024 | 457,944 | |
300,000 | GE Healthcare Holding LLC, Sr. Unsecd. Note, 5.857%, 3/15/2030 | 315,318 | |
300,000 | GE Healthcare Holding LLC, Sr. Unsecd. Note, 5.905%, 11/22/2032 | 320,146 | |
85,000 | HCA, Inc., Sr. Unsecd. Note, 3.125%, 3/15/2027 | 80,610 | |
500,000 | HCA, Inc., Sr. Unsecd. Note, 5.500%, 6/1/2033 | 508,062 | |
450,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 408,878 | |
TOTAL | 4,015,020 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Pharmaceuticals—4.2% | |||
$ 500,000 | Abbott Laboratories, Sr. Unsecd. Note, 1.150%, 1/30/2028 | $ 445,998 | |
453,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 446,590 | |
455,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | 425,541 | |
300,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.600%, 5/14/2025 | 294,840 | |
67,000 | AbbVie, Inc., Sr. Unsecd. Note, 4.750%, 3/15/2045 | 64,497 | |
1,000,000 | Amgen, Inc., Sr. Unsecd. Note, 5.250%, 3/2/2030 | 1,028,462 | |
140,000 | Amgen, Inc., Sr. Unsecd. Note, 5.507%, 3/2/2026 | 140,067 | |
235,000 | AstraZeneca PLC, Sr. Unsecd. Note, 0.700%, 4/8/2026 | 216,396 | |
600,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027 | 576,633 | |
200,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.250%, 12/15/2025 | 194,980 | |
235,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 200,562 | |
600,000 | Biogen, Inc., Sr. Unsecd. Note, 4.050%, 9/15/2025 | 590,520 | |
152,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 5.000%, 8/15/2045 | 150,971 | |
220,000 | Gilead Sciences, Inc., Sr. Unsecd. Note, 3.650%, 3/1/2026 | 215,594 | |
670,000 | Regeneron Pharmaceuticals, Inc., Sr. Unsecd. Note, 1.750%, 9/15/2030 | 551,197 | |
240,000 | Royalty Pharma PLC, Sr. Unsecd. Note, Series WI, 1.200%, 9/2/2025 | 224,046 | |
300,000 | Teva Pharmaceutical Finance Netherlands III B.V., Sr. Unsecd. Note, 3.150%, 10/1/2026 | 277,990 | |
TOTAL | 6,044,884 | ||
Consumer Non-Cyclical - Products—0.3% | |||
200,000 | Kenvue, Inc., Sr. Unsecd. Note, 5.000%, 3/22/2030 | 206,600 | |
200,000 | Kenvue, Inc., Sr. Unsecd. Note, 5.350%, 3/22/2026 | 203,397 | |
TOTAL | 409,997 | ||
Consumer Non-Cyclical - Supermarkets—0.5% | |||
610,000 | Kroger Co., Bond, 6.900%, 4/15/2038 | 690,674 | |
Consumer Non-Cyclical - Tobacco—2.0% | |||
350,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.400%, 2/14/2026 | 346,936 | |
250,000 | BAT Capital Corp., Sr. Unsecd. Note, 2.259%, 3/25/2028 | 223,877 | |
300,000 | BAT Capital Corp., Sr. Unsecd. Note, 7.750%, 10/19/2032 | 338,983 | |
290,000 | BAT International Finance PLC, Sr. Unsecd. Note, 144A, 3.950%, 6/15/2025 | 284,179 | |
300,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 5.125%, 11/17/2027 | 305,547 | |
500,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 5.125%, 2/15/2030 | 508,490 | |
140,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 5.625%, 11/17/2029 | 146,902 | |
300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 4.450%, 6/12/2025 | 296,801 | |
360,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 373,491 | |
TOTAL | 2,825,206 | ||
Energy - Independent—2.3% | |||
215,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 181,703 | |
160,000 | Diamondback Energy, Inc., Sr. Unsecd. Note, 6.250%, 3/15/2033 | 171,049 | |
700,000 | Hess Corp., Sr. Unsecd. Note, 4.300%, 4/1/2027 | 693,122 | |
100,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 2.900%, 8/15/2024 | 98,393 | |
1,000,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 3.450%, 7/15/2024 | 987,330 | |
200,000 | Ovintiv, Inc., Sr. Unsecd. Note, 5.650%, 5/15/2028 | 204,213 | |
180,000 | Ovintiv, Inc., Sr. Unsecd. Note, 6.250%, 7/15/2033 | 186,231 | |
325,000 | Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 1.125%, 1/15/2026 | 301,827 | |
550,000 | Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2031 | 467,541 | |
TOTAL | 3,291,409 | ||
Energy - Integrated—1.4% | |||
300,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 2.650%, 1/15/2032 | 248,780 | |
500,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027 | 489,062 | |
500,000 | Chevron Corp., Sr. Unsecd. Note, 1.554%, 5/11/2025 | 479,851 | |
530,000 | CNPC Hong Kong Overseas Capital Ltd., Company Guarantee, 144A, 5.950%, 4/28/2041 | 583,180 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Energy - Integrated—continued | |||
$ 175,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 4.875%, 1/18/2024 | $ 174,688 | |
TOTAL | 1,975,561 | ||
Energy - Midstream—2.7% | |||
265,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.400%, 2/15/2031 | 236,966 | |
500,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 490,062 | |
205,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series A, 2.500%, 11/15/2024 | 199,736 | |
300,000 | Energy Transfer LP, Sr. Unsecd. Note, 3.750%, 5/15/2030 | 278,728 | |
290,000 | MPLX LP, Sr. Unsecd. Note, 1.750%, 3/1/2026 | 271,365 | |
395,000 | MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027 | 386,960 | |
345,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.000%, 7/13/2027 | 335,400 | |
120,000 | ONEOK, Inc., Sr. Unsecd. Note, 6.100%, 11/15/2032 | 127,595 | |
500,000 | Plains All American Pipeline LP, Sr. Unsecd. Note, 3.550%, 12/15/2029 | 460,720 | |
140,000 | Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033 | 128,831 | |
400,000 | Targa Resources, Inc., Sr. Unsecd. Note, 6.125%, 3/15/2033 | 421,386 | |
600,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 578,567 | |
TOTAL | 3,916,316 | ||
Energy - Oil Field Services—0.2% | |||
300,000 | Schlumberger Holdings Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/21/2025 | 295,676 | |
Energy - Refining—1.0% | |||
600,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.700%, 5/1/2025 | 596,428 | |
185,000 | Phillips 66, Sr. Unsecd. Note, 1.300%, 2/15/2026 | 171,975 | |
335,000 | Valero Energy Corp., Sr. Unsecd. Note, 6.625%, 6/15/2037 | 367,805 | |
215,000 | Valero Energy Corp., Sr. Unsecd. Note, 7.500%, 4/15/2032 | 247,565 | |
TOTAL | 1,383,773 | ||
Financial Institution - Banking—22.8% | |||
1,085,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 1,066,693 | |
700,000 | Bank of America Corp., Sr. Unsecd. Note, 1.734%, 7/22/2027 | 641,565 | |
1,900,000 | Bank of America Corp., Sr. Unsecd. Note, 2.592%, 4/29/2031 | 1,638,462 | |
1,250,000 | Bank of America Corp., Sr. Unsecd. Note, 3.705%, 4/24/2028 | 1,194,479 | |
500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.248%, 10/21/2027 | 476,071 | |
500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 4.271%, 7/23/2029 | 483,135 | |
250,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, 2.050%, 1/26/2027 | 232,399 | |
300,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, 3.350%, 4/25/2025 | 293,253 | |
550,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.250%, 9/11/2024 | 540,534 | |
400,000 | Capital One Financial Corp., Sr. Unsecd. Note, 5.817%, 2/1/2034 | 398,290 | |
500,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 480,517 | |
250,000 | Citigroup, Inc., Sr. Unsecd. Note, 1.122%, 1/28/2027 | 229,791 | |
1,400,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.572%, 6/3/2031 | 1,196,620 | |
480,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 463,402 | |
500,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.700%, 1/12/2026 | 488,054 | |
250,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.887%, 1/10/2028 | 241,887 | |
500,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.075%, 4/23/2029 | 481,653 | |
90,000 | Citizens Financial Group, Inc., Sr. Unsecd. Note, 2.500%, 2/6/2030 | 75,460 | |
300,000 | Comerica, Inc., 3.800%, 7/22/2026 | 282,283 | |
500,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 489,941 | |
140,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 2.375%, 1/28/2025 | 135,467 | |
250,000 | Fifth Third Bank, Sr. Unsecd. Note, Series BKNT, 2.250%, 2/1/2027 | 231,054 | |
300,000 | FNB Corp. (PA), Sr. Unsecd. Note, 5.150%, 8/25/2025 | 297,939 | |
200,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.431%, 3/9/2027 | 184,471 | |
750,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.992%, 1/27/2032 | 606,296 | |
250,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.640%, 2/24/2028 | 231,855 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$1,250,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.500%, 11/16/2026 | $ 1,204,119 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 4.223%, 5/1/2029 | 484,000 | |
500,000 | Goldman Sachs Group, Inc., Sub. Note, 4.250%, 10/21/2025 | 491,073 | |
240,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 2.550%, 2/4/2030 | 205,420 | |
220,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 6.208%, 8/21/2029 | 226,981 | |
1,000,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.045%, 11/19/2026 | 926,618 | |
1,000,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.545%, 11/8/2032 | 834,690 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.580%, 4/22/2032 | 423,156 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.845%, 6/14/2025 | 496,097 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 4.323%, 4/26/2028 | 492,796 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 4.452%, 12/5/2029 | 490,360 | |
410,000 | M&T Bank Corp., Sr. Unsecd. Note, 4.553%, 8/16/2028 | 396,001 | |
250,000 | M&T Bank Corp., Sr. Unsecd. Note, 5.053%, 1/27/2034 | 236,983 | |
320,000 | M&T Bank Corp., Sr. Unsecd. Note, 7.413%, 10/30/2029 | 344,468 | |
550,000 | Morgan Stanley, Sr. Unsecd. Note, 0.985%, 12/10/2026 | 506,329 | |
1,000,000 | Morgan Stanley, Sr. Unsecd. Note, 3.625%, 1/20/2027 | 970,046 | |
210,000 | Morgan Stanley, Sr. Unsecd. Note, 5.123%, 2/1/2029 | 211,073 | |
500,000 | Morgan Stanley, Sr. Unsecd. Note, 6.342%, 10/18/2033 | 539,386 | |
500,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.239%, 7/21/2032 | 408,311 | |
165,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.699%, 1/22/2031 | 144,343 | |
500,000 | PNC Financial Services Group, Inc., Sr. Unsecd. Note, 3.150%, 5/19/2027 | 474,620 | |
500,000 | PNC Financial Services Group, Inc., Sr. Unsecd. Note, 5.068%, 1/24/2034 | 489,485 | |
200,000 | PNC Financial Services Group, Inc., Sr. Unsecd. Note, 5.582%, 6/12/2029 | 204,405 | |
330,000 | Regions Financial Corp., Sr. Unsecd. Note, 2.250%, 5/18/2025 | 314,788 | |
700,000 | State Street Corp., Sr. Unsecd. Note, 3.300%, 12/16/2024 | 689,153 | |
65,000 | State Street Corp., Sr. Unsecd. Note, 4.421%, 5/13/2033 | 63,231 | |
1,200,000 | Synovus Bank GA, Sr. Unsecd. Note, 5.625%, 2/15/2028 | 1,153,889 | |
300,000 | Synovus Financial Corp., Sr. Unsecd. Note, 5.200%, 8/11/2025 | 295,266 | |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 190,974 | |
500,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 1.125%, 8/3/2027 | 437,961 | |
500,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 4.123%, 6/6/2028 | 482,079 | |
400,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.122%, 1/26/2034 | 387,620 | |
250,000 | US Bancorp, Sr. Unsecd. Note, 5.836%, 6/12/2034 | 257,992 | |
1,250,000 | US Bancorp, Sr. Unsecd. Note, Series MTN, 2.215%, 1/27/2028 | 1,149,293 | |
1,320,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 1,253,781 | |
235,000 | Wells Fargo & Co., Sr. Unsecd. Note, 5.389%, 4/24/2034 | 236,158 | |
750,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.393%, 6/2/2028 | 687,271 | |
250,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.406%, 10/30/2025 | 243,254 | |
1,000,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.572%, 2/11/2031 | 864,596 | |
TOTAL | 32,989,637 | ||
Financial Institution - Broker/Asset Mgr/Exchange—1.8% | |||
500,000 | Charles Schwab Corp., Sr. Unsecd. Note, 3.625%, 4/1/2025 | 491,166 | |
220,000 | Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026 | 214,319 | |
500,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.625%, 10/15/2031 | 414,490 | |
200,000 | Jefferies Group LLC, Sr. Unsecd. Note, 6.500%, 1/20/2043 | 210,166 | |
245,000 | Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028 | 239,532 | |
595,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 600,071 | |
390,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.250%, 7/18/2024 | 386,245 | |
TOTAL | 2,555,989 | ||
Financial Institution - Finance Companies—2.0% | |||
205,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.000%, 10/29/2028 | 187,263 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Finance Companies—continued | |||
$ 500,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.300%, 1/30/2032 | $ 435,339 | |
550,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 4.625%, 10/15/2027 | 539,011 | |
700,000 | Air Lease Corp., Sr. Unsecd. Note, 1.875%, 8/15/2026 | 644,254 | |
550,000 | Air Lease Corp., Sr. Unsecd. Note, 3.625%, 12/1/2027 | 520,641 | |
140,000 | Air Lease Corp., Sr. Unsecd. Note, 5.850%, 12/15/2027 | 143,737 | |
180,000 | Ally Financial, Inc., Sr. Unsecd. Note, 6.992%, 6/13/2029 | 186,048 | |
250,000 | Discover Financial Services, Sr. Unsecd. Note, 4.100%, 2/9/2027 | 240,090 | |
TOTAL | 2,896,383 | ||
Financial Institution - Insurance - Health—1.1% | |||
645,000 | Centene Corp., Sr. Unsecd. Note, 2.450%, 7/15/2028 | 574,924 | |
200,000 | The Cigna Group, Sr. Unsecd. Note, 4.375%, 10/15/2028 | 198,478 | |
400,000 | The Cigna Group, Sr. Unsecd. Note, 5.685%, 3/15/2026 | 400,326 | |
405,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 3.750%, 7/15/2025 | 399,310 | |
TOTAL | 1,573,038 | ||
Financial Institution - Insurance - Life—1.2% | |||
350,000 | AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029 | 331,283 | |
350,000 | CoreBridge Global Funding, Sr. Secd. Note, 144A, 5.900%, 9/19/2028 | 361,132 | |
550,000 | Lincoln National Corp., Sr. Unsecd. Note, 3.050%, 1/15/2030 | 486,511 | |
172,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 8.875%, 6/1/2039 | 220,471 | |
290,000 | 2 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 0.550%, 6/7/2024 | 283,947 |
TOTAL | 1,683,344 | ||
Financial Institution - Insurance - P&C—0.5% | |||
250,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.450%, 8/15/2027 | 239,519 | |
95,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029 | 90,989 | |
300,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 397,079 | |
TOTAL | 727,587 | ||
Financial Institution - REIT - Apartment—0.8% | |||
395,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 377,657 | |
115,000 | 2 | Camden Property Trust, Sr. Unsecd. Note, 2.800%, 5/15/2030 | 102,907 |
320,000 | Mid-America Apartment Communities LP, Sr. Unsub. Note, 1.700%, 2/15/2031 | 259,639 | |
500,000 | UDR, Inc., Sr. Unsecd. Note, Series MTN, 2.950%, 9/1/2026 | 474,990 | |
TOTAL | 1,215,193 | ||
Financial Institution - REIT - Healthcare—1.3% | |||
445,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 356,461 | |
710,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 691,284 | |
375,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031 | 326,847 | |
500,000 | Welltower, Inc., Sr. Unsecd. Note, 3.100%, 1/15/2030 | 451,496 | |
TOTAL | 1,826,088 | ||
Financial Institution - REIT - Office—0.8% | |||
250,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.900%, 12/15/2030 | 250,511 | |
480,000 | Boston Properties LP, Sr. Unsecd. Note, 3.200%, 1/15/2025 | 466,920 | |
80,000 | Boston Properties LP, Sr. Unsecd. Note, 3.250%, 1/30/2031 | 68,708 | |
120,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | 83,502 | |
250,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 9.250%, 7/20/2028 | 264,260 | |
TOTAL | 1,133,901 | ||
Financial Institution - REIT - Other—0.7% | |||
320,000 | ProLogis LP, Sr. Unsecd. Note, 4.375%, 2/1/2029 | 315,047 | |
275,000 | WP Carey, Inc., Sr. Unsecd. Note, 2.400%, 2/1/2031 | 232,608 | |
450,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 448,136 | |
TOTAL | 995,791 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Retail—0.6% | |||
$ 725,000 | Kimco Realty Corp., Sr. Unsecd. Note, 1.900%, 3/1/2028 | $ 639,843 | |
250,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.700%, 10/1/2030 | 216,394 | |
TOTAL | 856,237 | ||
Sovereign—0.4% | |||
510,000 | Inter-American Development Bank, Series MTN, 6.750%, 7/15/2027 | 548,233 | |
Technology—5.2% | |||
125,000 | Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044 | 121,551 | |
340,000 | Automatic Data Processing, Inc., Sr. Unsecd. Note, 3.375%, 9/15/2025 | 333,397 | |
666,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 650,751 | |
135,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.419%, 4/15/2033 | 118,633 | |
250,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 4.000%, 4/15/2029 | 241,489 | |
250,000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 234,135 | |
215,000 | Concentrix Corp., Sr. Unsecd. Note, 6.650%, 8/2/2026 | 220,498 | |
250,000 | Dell International LLC / EMC Corp., Sr. Unsecd. Note, 5.300%, 10/1/2029 | 257,640 | |
150,000 | Dell International LLC / EMC Corp., Sr. Unsecd. Note, 5.850%, 7/15/2025 | 151,532 | |
250,000 | Fiserv, Inc., Sr. Unsecd. Note, 2.650%, 6/1/2030 | 219,955 | |
500,000 | Fiserv, Inc., Sr. Unsecd. Note, 4.200%, 10/1/2028 | 489,252 | |
225,000 | Fiserv, Inc., Sr. Unsecd. Note, 5.450%, 3/2/2028 | 231,886 | |
175,000 | Intel Corp., Sr. Unsecd. Note, 3.400%, 3/25/2025 | 172,138 | |
100,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029 | 90,972 | |
310,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 306,132 | |
750,000 | Microsoft Corp., Sr. Unsecd. Note, 2.400%, 8/8/2026 | 715,024 | |
500,000 | Oracle Corp., Sr. Unsecd. Note, 1.650%, 3/25/2026 | 466,556 | |
825,000 | Oracle Corp., Sr. Unsecd. Note, 2.300%, 3/25/2028 | 752,227 | |
230,000 | Oracle Corp., Sr. Unsecd. Note, 6.150%, 11/9/2029 | 247,597 | |
260,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | 253,360 | |
400,000 | Trimble, Inc., Sr. Unsecd. Note, 6.100%, 3/15/2033 | 428,303 | |
600,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 585,837 | |
265,000 | VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026 | 242,471 | |
TOTAL | 7,531,336 | ||
Technology Services—0.7% | |||
255,000 | Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026 | 233,950 | |
320,000 | Global Payments, Inc., Sr. Unsecd. Note, 1.200%, 3/1/2026 | 294,121 | |
300,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2027 | 276,349 | |
90,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.900%, 5/15/2030 | 79,220 | |
145,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 124,355 | |
TOTAL | 1,007,995 | ||
Transportation - Airlines—0.1% | |||
215,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | 215,104 | |
Transportation - Railroads—0.6% | |||
500,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.450%, 12/2/2031 | 463,948 | |
500,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.150%, 2/5/2027 | 466,904 | |
TOTAL | 930,852 | ||
Transportation - Services—1.9% | |||
735,000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 1.650%, 7/15/2026 | 662,897 | |
315,000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 2.650%, 7/15/2031 | 258,724 | |
215,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 1.200%, 11/15/2025 | 199,459 | |
250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 1.700%, 6/15/2026 | 229,930 | |
250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 4.450%, 1/29/2026 | 244,473 | |
300,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 5.700%, 2/1/2028 | 306,734 | |
350,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 1.750%, 9/1/2026 | 322,663 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Transportation - Services—continued | |||
$ 590,000 | United Parcel Service, Inc., Sr. Unsecd. Note, 3.900%, 4/1/2025 | $ 583,681 | |
TOTAL | 2,808,561 | ||
Utility - Electric—5.2% | |||
310,000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025 | 301,321 | |
185,000 | Ameren Corp., Sr. Unsecd. Note, 1.950%, 3/15/2027 | 169,546 | |
125,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 2.300%, 3/1/2030 | 106,859 | |
500,000 | Berkshire Hathaway Energy Co., 3.500%, 2/1/2025 | 492,493 | |
130,000 | Berkshire Hathaway Energy Co., Sr. Unsecd. Note, Series WI, 4.050%, 4/15/2025 | 128,646 | |
250,000 | Constellation Energy Generation LLC, Sr. Unsecd. Note, 3.250%, 6/1/2025 | 243,055 | |
560,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 550,950 | |
400,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 1.710%, 1/24/2028 | 355,695 | |
500,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 494,015 | |
200,000 | Electricite de France SA, Sr. Unsecd. Note, 144A, 5.700%, 5/23/2028 | 207,087 | |
190,000 | Emera US Finance LP, Sr. Unsecd. Note, 0.833%, 6/15/2024 | 185,242 | |
500,000 | Enel Finance America LLC, Sr. Unsecd. Note, 144A, 7.100%, 10/14/2027 | 533,904 | |
330,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 1.375%, 7/12/2026 | 300,746 | |
385,000 | Exelon Corp., Sr. Unsecd. Note, 4.050%, 4/15/2030 | 367,548 | |
500,000 | Exelon Corp., Sr. Unsecd. Note, Series WI, 2.750%, 3/15/2027 | 471,201 | |
240,000 | Fortis, Inc./Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 227,981 | |
260,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 4.625%, 7/15/2027 | 259,701 | |
600,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 5.000%, 2/28/2030 | 606,918 | |
500,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.490%, 5/15/2027 | 481,778 | |
45,000 | NiSource, Inc., Sr. Unsecd. Note, 5.250%, 3/30/2028 | 45,906 | |
245,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 219,194 | |
250,000 | Southern Co., Sr. Unsecd. Note, 3.250%, 7/1/2026 | 241,316 | |
300,000 | Virginia Electric & Power Co., Sr. Unsecd. Note, Series B, 3.750%, 5/15/2027 | 293,070 | |
155,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 2.200%, 12/15/2028 | 138,014 | |
108,000 | Wisconsin Energy Corp., Sr. Unsecd. Note, 3.550%, 6/15/2025 | 105,130 | |
TOTAL | 7,527,316 | ||
Utility - Natural Gas—0.8% | |||
280,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 234,811 | |
395,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 395,774 | |
500,000 | Sempra Energy, Sr. Unsecd. Note, 3.250%, 6/15/2027 | 474,211 | |
TOTAL | 1,104,796 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $147,202,169) | 140,451,338 | ||
MORTGAGE-BACKED SECURITIES—0.0% | |||
Federal Home Loan Mortgage Corporation—0.0% | |||
251 | Federal Home Loan Mortgage Corp., Pool C01051, 8.000%, 9/1/2030 | 266 | |
Government National Mortgage Association—0.0% | |||
707 | Government National Mortgage Association, Pool 2630, 6.500%, 8/20/2028 | 724 | |
1,041 | Government National Mortgage Association, Pool 2631, 7.000%, 8/20/2028 | 1,071 | |
1,364 | Government National Mortgage Association, Pool 2658, 6.500%, 10/20/2028 | 1,396 | |
2,143 | Government National Mortgage Association, Pool 2701, 6.500%, 1/20/2029 | 2,194 | |
1,812 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 1,869 | |
351 | Government National Mortgage Association, Pool 3039, 6.500%, 2/20/2031 | 361 | |
1,366 | Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031 | 1,421 | |
4,777 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 4,930 | |
3,565 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 3,688 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$ 8,225 | Government National Mortgage Association, Pool 3261, 6.500%, 7/20/2032 | $ 8,521 | |
TOTAL | 26,175 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $25,613) | 26,441 | ||
REPURCHASE AGREEMENTS—2.5% | |||
2,350,000 | Interest in $1,800,000,000 joint repurchase agreement 5.34%, dated 12/29/2023 under which Bank of Montreal will repurchase securities provided as collateral for $1,801,068,000 on 1/2/2024. 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 2/20/2073 and the market value of those underlying securities was $1,855,100,040. | 2,350,000 | |
1,172,315 | Interest in $1,800,000,000 joint repurchase agreement 5.34%, dated 12/29/2023 under which Bank of Montreal will repurchase securities provided as collateral for $1,801,068,000 on 1/2/2024. 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 2/20/2073 and the market value of those underlying securities was $1,855,100,040 (purchased with proceeds from securities lending collateral). | 1,172,315 | |
TOTAL REPURCHASE AGREEMENTS (IDENTIFIED COST $3,522,315) | 3,522,315 | ||
TOTAL INVESTMENT IN SECURITIES—99.7% (IDENTIFIED COST $150,750,097)3 | 144,000,094 | ||
OTHER ASSETS AND LIABILITIES - NET—0.3%4 | 494,704 | ||
TOTAL NET ASSETS—100% | $144,494,798 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation |
Long Futures: | ||||
United States Treasury Notes 10-Year Long Futures | 10 | $1,128,906 | March 2024 | $37,082 |
United States Treasury Notes 10-Year Ultra Long Futures | 38 | $4,484,594 | March 2024 | $177,953 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $215,035 |
1 | Floating/variable note with current rate and current maturity or next reset date shown. |
2 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
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. |
The following is a summary of the inputs used, as of December 31, 2023, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $140,451,338 | $— | $140,451,338 |
Mortgage-Backed Securities | — | 26,441 | — | 26,441 |
Repurchase Agreements | — | 3,522,315 | — | 3,522,315 |
TOTAL SECURITIES | $— | $144,000,094 | $— | $144,000,094 |
Other Financial Instruments:1 | ||||
Assets | $215,035 | $— | $— | $215,035 |
1 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
BKNT | —Bank Notes | |
GMTN | —Global Medium Term Note | |
MTN | —Medium Term Note | |
REIT | —Real Estate Investment Trust | |
SOFR | —Secured Overnight Financing Rate |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $9.81 | $11.26 | $11.82 | $11.31 | $10.65 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.29 | 0.25 | 0.25 | 0.28 | 0.31 |
Net realized and unrealized gain (loss) | 0.30 | (1.27) | (0.42) | 0.58 | 0.68 |
Total From Investment Operations | 0.59 | (1.02) | (0.17) | 0.86 | 0.99 |
Less Distributions: | |||||
Distributions from net investment income | (0.26) | (0.27) | (0.29) | (0.32) | (0.33) |
Distributions from net realized gain | — | (0.16) | (0.10) | (0.03) | (0.00)2 |
Total Distributions | (0.26) | (0.43) | (0.39) | (0.35) | (0.33) |
Net Asset Value, End of Period | $10.14 | $9.81 | $11.26 | $11.82 | $11.31 |
Total Return3 | 6.14% | (9.28)% | (1.40)% | 8.12% | 9.44% |
Ratios to Average Net Assets: | |||||
Net expenses4 | 0.74% | 0.74% | 0.74% | 0.74% | 0.74% |
Net investment income | 2.94% | 2.44% | 2.17% | 2.50% | 2.79% |
Expense waiver/reimbursement5 | 0.08% | 0.07% | 0.06% | 0.07% | 0.08% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $132,027 | $134,757 | $162,034 | $170,912 | $167,625 |
Portfolio turnover6 | 15% | 15% | 27% | 24% | 21% |
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. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
6 | Securities that mature are considered sales for purposes of this calculation. |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $9.79 | $11.23 | $11.79 | $11.28 | $10.62 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.26 | 0.22 | 0.22 | 0.26 | 0.28 |
Net realized and unrealized gain (loss) | 0.30 | (1.26) | (0.42) | 0.57 | 0.68 |
Total From Investment Operations | 0.56 | (1.04) | (0.20) | 0.83 | 0.96 |
Less Distributions: | |||||
Distributions from net investment income | (0.23) | (0.24) | (0.26) | (0.29) | (0.30) |
Distributions from net realized gain | — | (0.16) | (0.10) | (0.03) | (0.00)2 |
Total Distributions | (0.23) | (0.40) | (0.36) | (0.32) | (0.30) |
Net Asset Value, End of Period | $10.12 | $9.79 | $11.23 | $11.79 | $11.28 |
Total Return3 | 5.85% | (9.46)% | (1.66)% | 7.86% | 9.17% |
Ratios to Average Net Assets: | |||||
Net expenses4 | 0.99% | 0.99% | 0.99% | 0.99% | 0.99% |
Net investment income | 2.69% | 2.19% | 1.92% | 2.25% | 2.54% |
Expense waiver/reimbursement5 | 0.08% | 0.07% | 0.06% | 0.07% | 0.08% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $12,468 | $12,873 | $16,287 | $18,302 | $18,776 |
Portfolio turnover6 | 15% | 15% | 27% | 24% | 21% |
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. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/ reimbursement recorded by investment companies in which the Fund may invest. |
6 | Securities that mature are considered sales for purposes of this calculation. |
Assets: | |
Investment in securities, at value including $1,137,289 of securities loaned (identified cost $150,750,097) | $144,000,094 |
Cash | 660 |
Due from broker (Note 2) | 135,250 |
Income receivable | 1,361,982 |
Receivable for shares sold | 301,295 |
Total Assets | 145,799,281 |
Liabilities: | |
Payable for shares redeemed | 49,460 |
Payable for variation margin on futures contracts | 3,518 |
Payable for collateral due to broker for securities lending (Note 2) | 1,172,315 |
Payable for investment adviser fee (Note 5) | 6,029 |
Payable for administrative fee (Note 5) | 921 |
Payable for auditing fees | 23,664 |
Payable for distribution services fee (Note 5) | 2,633 |
Accrued expenses (Note 5) | 45,943 |
Total Liabilities | 1,304,483 |
Net assets for 14,247,902 shares outstanding | $144,494,798 |
Net Assets Consist of: | |
Paid-in capital | $149,061,379 |
Total distributable earnings (loss) | (4,566,581) |
Total Net Assets | $144,494,798 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Primary Shares: | |
$132,026,874 ÷ 13,016,079 shares outstanding, no par value, unlimited shares authorized | $10.14 |
Service Shares: | |
$12,467,924 ÷ 1,231,823 shares outstanding, no par value, unlimited shares authorized | $10.12 |
Investment Income: | |
Interest | $5,342,339 |
Net income on securities loaned (Note 2) | 13,609 |
TOTAL INCOME | 5,355,948 |
Expenses: | |
Investment adviser fee (Note 5) | 872,629 |
Administrative fee (Note 5) | 120,046 |
Custodian fees | 8,898 |
Transfer agent fees | 14,844 |
Directors’/Trustees’ fees (Note 5) | 1,927 |
Auditing fees | 29,581 |
Legal fees | 10,675 |
Portfolio accounting fees | 87,247 |
Distribution services fee (Note 5) | 31,570 |
Printing and postage | 22,043 |
Miscellaneous (Note 5) | 28,179 |
TOTAL EXPENSES | 1,227,639 |
Waiver of investment adviser fee (Note 5) | (112,700) |
Net expenses | 1,114,939 |
Net investment income | 4,241,009 |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net realized loss on investments | (1,148,494) |
Net realized loss on futures contracts | (461,395) |
Net change in unrealized depreciation of investments | 5,728,418 |
Net change in unrealized depreciation of futures contracts | 229,492 |
Net realized and unrealized gain (loss) on investments and futures contracts | 4,348,021 |
Change in net assets resulting from operations | $8,589,030 |
Year Ended December 31 | 2023 | 2022 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $4,241,009 | $3,828,050 |
Net realized gain (loss) | (1,609,889) | (677,538) |
Net change in unrealized appreciation/depreciation | 5,957,910 | (19,480,310) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 8,589,030 | (16,329,798) |
Distributions to Shareholders: | ||
Primary Shares | (3,525,781) | (5,969,547) |
Service Shares | (302,937) | (565,684) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (3,828,718) | (6,535,231) |
Share Transactions: | ||
Proceeds from sale of shares | 6,077,305 | 6,380,104 |
Net asset value of shares issued to shareholders in payment of distributions declared | 3,828,715 | 6,535,227 |
Cost of shares redeemed | (17,801,451) | (20,741,748) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (7,895,431) | (7,826,417) |
Change in net assets | (3,135,119) | (30,691,446) |
Net Assets: | ||
Beginning of period | 147,629,917 | 178,321,363 |
End of period | $144,494,798 | $147,629,917 |
Fair Value of Securities Loaned | Collateral Received |
$1,137,289 | $1,172,315 |
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 | $(215,035)* |
* | Includes cumulative net 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 | |
Interest rate contracts | $(461,395) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $229,492 |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 600,606 | $5,898,833 | 602,659 | $6,152,032 |
Shares issued to shareholders in payment of distributions declared | 363,483 | 3,525,780 | 581,827 | 5,969,547 |
Shares redeemed | (1,684,684) | (16,501,494) | (1,835,220) | (18,635,582) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (720,595) | $(7,076,881) | (650,734) | $(6,514,003) |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 18,252 | $178,472 | 21,948 | $228,072 |
Shares issued to shareholders in payment of distributions declared | 31,230 | 302,935 | 55,135 | 565,680 |
Shares redeemed | (133,109) | (1,299,957) | (211,485) | (2,106,166) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (83,627) | $(818,550) | (134,402) | $(1,312,414) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (804,222) | $(7,895,431) | (785,136) | $(7,826,417) |
2023 | 2022 | |
Ordinary income1 | $3,828,718 | $4,304,512 |
Long-term capital gains | $— | $2,230,719 |
1 | For tax purposes, short-term capital gain distributions are considered ordinary income distributions. |
Undistributed ordinary income2 | $4,240,239 |
Net unrealized depreciation | $(6,750,003) |
Capital loss carryforwards | $(2,056,817) |
TOTAL | $(4,566,581) |
2 | For tax purposes, short-term capital gains are considered ordinary income in determining distributable earnings. |
Short-Term | Long-Term | Total |
$207,915 | $1,848,902 | $2,056,817 |
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 | $31,570 |
Purchases | $20,902,178 |
Sales | $28,610,686 |
February 15, 2024
Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,042.10 | $3.81 |
Service Shares | $1,000 | $1,040.10 | $5.09 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,021.48 | $3.77 |
Service Shares | $1,000 | $1,020.21 | $5.04 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (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% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: September 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Thomas R. Donahue* Birth Date: October 20, 1958 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Director or Trustee of certain of the funds in the Federated Hermes Fund Family; Chief Financial Officer, Treasurer, Vice President and Assistant Secretary, Federated Hermes, Inc.; Chairman and Trustee, Federated Administrative Services; Chairman and Director, Federated Administrative Services, Inc.; Trustee and Treasurer, Federated Advisory Services Company; Director or Trustee and Treasurer, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, and Federated Investment Management Company; Director, MDTA LLC; Director, Executive Vice President and Assistant Secretary, Federated Securities Corp.; Director or Trustee and Chairman, Federated Services Company and Federated Shareholder Services Company; and Director and President, FII Holdings, Inc. Previous Positions: Director, Federated Hermes, Inc.; Assistant Secretary, Federated Investment Management Company, Federated Global Investment Management Company and Passport Research, LTD; Treasurer, Passport Research, LTD; Executive Vice President, Federated Securities Corp.; and Treasurer, FII Holdings, Inc. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee and Chair of the Board of Directors or Trustees of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Chair of the Audit Committee, Member of the Compensation Committee, Equifax, Inc.; Lead Director, Member of the Audit and Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President’s Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Emerita, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (natural gas). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as Director of the Office of Church Relations and later as Associate General Secretary for the Diocese of Pittsburgh, a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania and previously served on the Supreme Court’s Board of Continuing Judicial Education and the Supreme Court’s Appellate Court Procedural Rules Committee. Judge Lally-Green was then appointed by the Supreme Court of Pennsylvania and currently serves on the Judicial Ethics Advisory Board. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director, CNX Resources Corporation (natural gas). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, Saint Vincent College; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; and Director and Vice Chair, Saint Francis University. |
Thomas M. O’Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee and Chair of the Audit Committee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O’Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O’Neill serves as Director, Medicines for Humanity. Mr. O’Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); Director, Midway Pacific (lumber); and Director, The Golisano Children’s Museum of Naples, Florida. |
Madelyn A. Reilly Birth Date: February 2, 1956 Trustee Indefinite Term Began serving: November 2020 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors, Duquesne University (Retired). Other Directorships Held: None. Qualifications: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors and Director of Risk Management and Associate General Counsel, Duquesne University. Prior to her work at Duquesne University, Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, Health and Safety, PPG Industries. Ms. Reilly currently serves as a member of the Board of Directors of UPMC Mercy Hospital, and as a member of the Board of Directors of Catholic Charities, Pittsburgh. |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CONSOL Energy Inc. (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and CNX Gas Company; and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes, Inc. in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Director and Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, and Federated MDTA LLC; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and CEO of Passport Research, Ltd.; Director and President, Technology, Federated Services Company. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated Hermes, Inc. in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Inc., Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes, Inc. in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes’ taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund’s Adviser in 2009 and served as a Senior Vice President of the Fund’s Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated Hermes’ money market products in 2004. She joined Federated Hermes in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund’s Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
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
1 Year | 5 Years | 10 Years | |
Fund | 4.19% | -0.11% | 0.85% |
BMBS | 5.05% | 0.25% | 1.38% |
BGI | 4.09% | 0.56% | 1.27% |
Blended Index | 4.74% | 0.37% | 1.35% |
Type of Investments | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 65.9% |
U.S. Treasury Securities | 17.6% |
Non-Agency Mortgage-Backed Securities | 7.1% |
Asset-Backed Securities | 4.0% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 4.0% |
Derivative Contracts2 | 0.1% |
Cash Equivalents3 | 0.9% |
Other Assets and Liabilities—Net4 | 0.4% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of these investments. |
2 | 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. |
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—65.5% | |||
Federal Home Loan Mortgage Corporation—19.1% | |||
$5,852,187 | 2.000%, 1/1/2052 | $ 4,802,622 | |
1,755,448 | 2.000%, 1/1/2052 | 1,457,073 | |
1,403,594 | 2.500%, 9/1/2050 | 1,207,680 | |
1,215,484 | 2.500%, 1/1/2052 | 1,047,725 | |
2,517,718 | 2.500%, 4/1/2052 | 2,171,407 | |
417,937 | 3.500%, 6/1/2052 | 389,148 | |
1,362,319 | 3.500%, 7/1/2052 | 1,264,539 | |
51,600 | 4.000%, 12/1/2047 | 49,637 | |
574,068 | 4.000%, 9/1/2052 | 543,755 | |
471,409 | 4.000%, 11/1/2052 | 447,106 | |
1,141,456 | 4.500%, 11/1/2037 | 1,135,712 | |
159,851 | 5.000%, 1/1/2034 | 161,968 | |
50,140 | 5.000%, 5/1/2034 | 50,788 | |
37,231 | 5.000%, 4/1/2036 | 37,832 | |
13,613 | 5.000%, 5/1/2036 | 13,826 | |
8,264 | 5.000%, 6/1/2036 | 8,398 | |
33,668 | 5.000%, 6/1/2040 | 34,309 | |
280,654 | 5.500%, 5/1/2034 | 287,343 | |
11,195 | 5.500%, 12/1/2035 | 11,514 | |
63,426 | 5.500%, 2/1/2036 | 65,372 | |
45,170 | 5.500%, 5/1/2036 | 46,500 | |
3,009 | 5.500%, 5/1/2036 | 3,107 | |
5,004 | 5.500%, 5/1/2036 | 5,158 | |
3,320 | 5.500%, 6/1/2036 | 3,429 | |
864 | 5.500%, 6/1/2036 | 891 | |
40,918 | 5.500%, 11/1/2037 | 42,259 | |
75,510 | 5.500%, 1/1/2038 | 77,952 | |
334,788 | 5.500%, 5/1/2038 | 339,385 | |
3,268 | 6.000%, 1/1/2032 | 3,339 | |
10,798 | 6.000%, 2/1/2032 | 11,067 | |
44,712 | 6.000%, 4/1/2036 | 46,407 | |
5,230 | 6.000%, 5/1/2036 | 5,429 | |
127,198 | 6.000%, 6/1/2037 | 133,058 | |
7,804 | 6.000%, 7/1/2037 | 8,141 | |
2,651 | 6.500%, 3/1/2029 | 2,716 | |
1,589 | 6.500%, 6/1/2029 | 1,629 | |
950 | 6.500%, 7/1/2029 | 974 | |
304 | 6.500%, 9/1/2029 | 312 | |
737 | 7.000%, 12/1/2029 | 760 | |
255 | 7.000%, 6/1/2030 | 263 | |
97 | 7.000%, 11/1/2030 | 101 | |
138,087 | 7.000%, 4/1/2032 | 144,825 | |
5,143 | 7.500%, 1/1/2031 | 5,428 | |
1,045 | 8.500%, 5/1/2030 | 1,103 | |
108 | 9.000%, 2/1/2025 | 108 | |
TOTAL | 16,072,095 | ||
Federal National Mortgage Association—26.3% | |||
2,110,907 | 2.000%, 7/1/2050 | 1,738,921 | |
870,656 | 2.000%, 7/1/2051 | 716,140 | |
1,860,417 | 2.000%, 8/1/2051 | 1,536,061 | |
877,664 | 2.000%, 2/1/2052 | 720,258 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$1,870,157 | 2.000%, 2/1/2052 | $ 1,534,753 | |
748,059 | 2.000%, 2/1/2052 | 616,235 | |
584,959 | 2.500%, 10/1/2051 | 502,213 | |
829,613 | 2.500%, 1/1/2052 | 708,241 | |
696,563 | 2.500%, 3/1/2052 | 592,915 | |
35,269 | 3.000%, 2/1/2047 | 32,031 | |
560,618 | 3.000%, 2/1/2048 | 500,914 | |
1,836,032 | 3.000%, 2/1/2048 | 1,661,155 | |
816,085 | 3.000%, 5/1/2051 | 723,436 | |
1,503,883 | 3.000%, 2/1/2052 | 1,335,734 | |
1,096,900 | 3.000%, 6/1/2052 | 978,884 | |
1,440,377 | 3.500%, 8/1/2037 | 1,387,569 | |
1,461,920 | 3.500%, 9/1/2037 | 1,408,323 | |
524,716 | 3.500%, 12/1/2046 | 488,301 | |
326,092 | 3.500%, 12/1/2047 | 305,540 | |
809,018 | 3.500%, 1/1/2048 | 749,435 | |
934,338 | 3.500%, 11/1/2050 | 875,233 | |
613,767 | 3.500%, 6/1/2052 | 567,221 | |
122,621 | 4.500%, 10/1/2041 | 122,413 | |
841,087 | 4.500%, 2/1/2053 | 816,152 | |
121,327 | 5.000%, 7/1/2034 | 122,980 | |
14,131 | 5.000%, 11/1/2035 | 14,339 | |
67,364 | 5.500%, 9/1/2034 | 69,139 | |
24,931 | 5.500%, 1/1/2036 | 25,668 | |
35,000 | 5.500%, 4/1/2036 | 36,049 | |
959,614 | 5.500%, 6/1/2053 | 964,174 | |
1,120 | 6.000%, 7/1/2029 | 1,138 | |
882 | 6.000%, 5/1/2031 | 903 | |
5,112 | 6.000%, 5/1/2036 | 5,317 | |
84,176 | 6.000%, 7/1/2036 | 87,791 | |
2,049 | 6.000%, 7/1/2036 | 2,136 | |
22,140 | 6.000%, 9/1/2037 | 23,111 | |
18,751 | 6.000%, 11/1/2037 | 19,630 | |
11,471 | 6.000%, 12/1/2037 | 11,952 | |
1,200 | 6.500%, 6/1/2029 | 1,231 | |
96 | 6.500%, 6/1/2029 | 98 | |
91 | 6.500%, 7/1/2029 | 93 | |
140 | 6.500%, 7/1/2029 | 143 | |
1,803 | 6.500%, 7/1/2029 | 1,847 | |
108 | 6.500%, 7/1/2029 | 111 | |
72 | 6.500%, 8/1/2029 | 74 | |
2,900 | 6.500%, 9/1/2030 | 2,985 | |
12,419 | 6.500%, 6/1/2031 | 12,850 | |
9,587 | 6.500%, 4/1/2032 | 9,974 | |
11 | 7.000%, 2/1/2024 | 11 | |
1,042 | 7.000%, 10/1/2029 | 1,075 | |
8,822 | 7.000%, 10/1/2029 | 9,121 | |
3,127 | 7.000%, 11/1/2030 | 3,256 | |
67,367 | 7.000%, 4/1/2032 | 70,615 | |
366 | 7.500%, 8/1/2028 | 378 | |
103 | 7.500%, 9/1/2028 | 107 | |
2,574 | 7.500%, 2/1/2030 | 2,707 | |
1,261 | 8.000%, 7/1/2030 | 1,335 | |
TOTAL | 22,120,416 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—20.1% | |||
$1,814,368 | 2.000%, 6/20/2052 | $ 1,535,206 | |
2,637,659 | 2.500%, 6/20/2051 | 2,313,991 | |
575,455 | 3.000%, 11/20/2047 | 527,777 | |
956,224 | 3.500%, 1/20/2048 | 894,217 | |
503,422 | 3.500%, 5/20/2052 | 466,845 | |
970,697 | 4.000%, 10/20/2052 | 926,685 | |
960,100 | 4.000%, 12/20/2052 | 916,493 | |
189,746 | 4.500%, 6/20/2039 | 189,117 | |
152,067 | 4.500%, 10/15/2039 | 150,396 | |
215,167 | 4.500%, 8/20/2040 | 214,595 | |
945,469 | 4.500%, 10/20/2052 | 923,452 | |
110,988 | 5.000%, 7/15/2034 | 111,667 | |
929,191 | 5.000%, 9/20/2052 | 925,252 | |
905,755 | 5.500%, 10/20/2052 | 911,224 | |
1,491,251 | 5.500%, 9/20/2053 | 1,500,255 | |
6,961 | 6.000%, 4/15/2032 | 7,121 | |
17,877 | 6.000%, 5/15/2032 | 18,481 | |
66,000 | 6.000%, 4/15/2036 | 68,959 | |
59,264 | 6.000%, 5/15/2036 | 61,908 | |
16,114 | 6.000%, 7/20/2036 | 16,846 | |
16,777 | 6.000%, 5/20/2037 | 17,589 | |
98,941 | 6.000%, 7/20/2038 | 104,030 | |
1,773,616 | 6.000%, 10/20/2052 | 1,802,637 | |
1,991,083 | 6.000%, 10/20/2053 | 2,023,661 | |
102 | 6.500%, 5/15/2024 | 102 | |
302 | 6.500%, 6/15/2029 | 309 | |
290 | 6.500%, 6/15/2031 | 289 | |
2,196 | 6.500%, 7/20/2031 | 2,265 | |
2,073 | 6.500%, 8/20/2031 | 2,137 | |
18,336 | 6.500%, 10/15/2031 | 19,048 | |
19,121 | 6.500%, 12/15/2031 | 19,828 | |
2,009 | 6.500%, 4/15/2032 | 2,082 | |
14,557 | 6.500%, 5/15/2032 | 15,136 | |
130,891 | 6.500%, 5/15/2032 | 136,141 | |
261 | 7.500%, 10/15/2029 | 272 | |
2,013 | 7.500%, 3/20/2030 | 2,093 | |
716 | 8.000%, 4/15/2030 | 753 | |
TOTAL | 16,828,859 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $55,091,280) | 55,021,370 | ||
U.S. TREASURIES—17.6% | |||
U.S. Treasury Bonds—7.6% | |||
1,000,000 | 2.750%, 8/15/2042 | 812,031 | |
300,000 | 2.875%, 11/15/2046 | 240,609 | |
1,750,000 | 3.375%, 5/15/2044 | 1,544,371 | |
600,000 | 3.375%, 11/15/2048 | 523,875 | |
500,000 | 3.625%, 5/15/2053 | 463,437 | |
300,000 | 4.000%, 11/15/2052 | 296,672 | |
500,000 | 4.125%, 8/15/2053 | 506,643 | |
1,900,000 | 4.500%, 2/15/2036 | 2,026,766 | |
TOTAL | 6,414,404 | ||
U.S. Treasury Notes—10.0% | |||
800,000 | 0.625%, 3/31/2027 | 719,061 | |
2,400,000 | 0.625%, 11/30/2027 | 2,115,176 | |
250,000 | 2.500%, 2/28/2026 | 241,264 |
Principal Amount | Value | ||
U.S. TREASURIES—continued | |||
U.S. Treasury Notes—continued | |||
$1,000,000 | 3.500%, 1/31/2028 | $ 984,365 | |
500,000 | 3.500%, 1/31/2030 | 489,258 | |
750,000 | 3.875%, 12/31/2029 | 748,945 | |
1,500,000 | 4.625%, 11/15/2026 | 1,523,966 | |
1,500,000 | 4.875%, 10/31/2028 | 1,566,002 | |
TOTAL | 8,388,037 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $14,686,556) | 14,802,441 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—7.5% | |||
Government National Mortgage Association—0.4% | |||
350,836 | REMIC, Series 2015-47, Class AE, 2.900%, 11/16/2055 | 329,816 | |
Non-Agency Mortgage-Backed Securities—7.1% | |||
58,896 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 5,920 | |
65,092 | Credit Suisse Mortgage Trust 2015-WIN1, Class A6, 3.500%, 12/25/2044 | 59,074 | |
984,196 | GS Mortgage-Backed Securities Trust 2022-PJ3, Class A4, 2.500%, 8/25/2052 | 804,427 | |
520,937 | GS Mortgage-Backed Securities Trust 2023-PJ1, Class A4, 3.500%, 2/25/2053 | 460,378 | |
1,077,356 | 1 | JP Morgan Mortgage Trust 2021-1, Class A11, 5.978% (30-DAY AVERAGE SOFR +0.650%), 6/25/2051 | 986,226 |
1,233,432 | JP Morgan Mortgage Trust 2022-1, Class A2, 3.000%, 7/25/2052 | 1,050,922 | |
1,334,565 | JP Morgan Mortgage Trust 2022-2, Class A3, 2.500%, 8/25/2052 | 1,092,467 | |
1,141,328 | JP Morgan Mortgage Trust 2022-3, Class A3, 2.500%, 8/25/2052 | 934,284 | |
609,127 | JP Morgan Mortgage Trust 2023-6, Class A2, 6.000%, 12/25/2053 | 610,745 | |
TOTAL | 6,004,443 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $7,095,136) | 6,334,259 | ||
ASSET-BACKED SECURITIES—4.0% | |||
Auto Receivables—0.3% | |||
266,082 | AmeriCredit Automobile Receivables Trust 2020-2, Class C, 1.480%, 2/18/2026 | 261,423 | |
Single Family Rental Securities—1.1% | |||
605,000 | Progress Residential Trust 2022-SFR1, Class E1, 3.930%, 2/17/2041 | 520,754 | |
409,212 | Progress Residential Trust 2022-SFR4, Class B, 4.788%, 5/17/2041 | 390,539 | |
TOTAL | 911,293 | ||
Student Loans—2.6% | |||
165,088 | Navient Student Loan Trust 2020-FA, Class A, 1.220%, 7/15/2069 | 150,005 | |
341,933 | Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 | 305,225 | |
179,637 | Navient Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 | 164,527 | |
610,664 | Navient Student Loan Trust 2021-FA, Class A, 1.110%, 2/18/2070 | 516,025 | |
781,681 | Navient Student Loan Trust 2021-GA, Class A, 1.580%, 4/15/2070 | 674,033 | |
418,606 | 1 | SMB Private Education Loan Trust 2020-BA, Class A1B, 6.576% (CME Term SOFR 1-Month +1.214%), 7/15/2053 | 414,410 |
TOTAL | 2,224,225 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $3,770,440) | 3,396,941 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—4.0% | |||
Agency Commercial Mortgage-Backed Securities—4.0% | |||
457,000 | FHLMC REMIC, Series K151, Class A2, 3.800%, 10/25/2032 | 434,441 | |
900,000 | FHLMC REMIC, Series K512, Class A2, 5.000%, 11/25/2028 | 922,558 | |
1,000,000 | FHLMC REMIC, Series K750, Class A2, 3.000%, 9/25/2029 | 932,459 | |
1,000,000 | FHLMC REMIC, Series K754, Class A2, 4.940%, 11/25/2030 | 1,026,917 | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $3,243,274) | 3,316,375 |
Principal Amount | Value | ||
REPURCHASE AGREEMENT—0.9% | |||
$ 742,000 | Interest in $1,800,000,000 joint repurchase agreement 5.34%, dated 12/29/2023 under which Bank of Montreal will repurchase securities provided as collateral for $1,801,068,000 on 1/2/2024. 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 2/20/2073 and the market value of those underlying securities was $1,855,100,040. (IDENTIFIED COST $742,000) | $ 742,000 | |
TOTAL INVESTMENT IN SECURITIES—99.5% (IDENTIFIED COST $84,628,686)2 | 83,613,386 | ||
OTHER ASSETS AND LIABILITIES - NET—0.5%3 | 429,028 | ||
TOTAL NET ASSETS—100% | $84,042,414 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
United States Treasury Notes 2-Year Long Futures | 12 | $2,470,969 | March 2024 | $26,973 |
United States Treasury Notes 10-Year Long Futures | 8 | $903,125 | March 2024 | $29,665 |
Short Futures: | ||||
United States Treasury Notes 10-Year Ultra Short Futures | 7 | $826,110 | March 2024 | $(6,250) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $50,388 |
1 | Floating/variable note with current rate and current maturity or next reset date shown. |
2 | Also represents cost of investments for federal tax purposes. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Mortgage-Backed Securities | $— | $55,021,370 | $— | $55,021,370 |
U.S. Treasuries | — | 14,802,441 | — | 14,802,441 |
Collateralized Mortgage Obligations | — | 6,334,259 | — | 6,334,259 |
Asset-Backed Securities | — | 3,396,941 | — | 3,396,941 |
Commercial Mortgage-Backed Securities | — | 3,316,375 | — | 3,316,375 |
Repurchase Agreement | — | 742,000 | — | 742,000 |
TOTAL SECURITIES | $— | $83,613,386 | $— | $83,613,386 |
Other Financial Instruments:1 | ||||
Assets | $56,638 | $— | $— | $56,638 |
Liabilities | (6,250) | — | — | (6,250) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $50,388 | $— | $— | $50,388 |
1 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
FHLMC | —Federal Home Loan Mortgage Corporation | |
REMIC | —Real Estate Mortgage Investment Conduit | |
SOFR | —Secured Overnight Financing Rate |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net Asset Value, Beginning of Period | $9.20 | $10.71 | $11.16 | $10.87 | $10.52 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.30 | 0.21 | 0.15 | 0.20 | 0.27 |
Net realized and unrealized gain (loss) | 0.08 | (1.54) | (0.38) | 0.36 | 0.34 |
TOTAL FROM INVESTMENT OPERATIONS | 0.38 | (1.33) | (0.23) | 0.56 | 0.61 |
Less Distributions: | |||||
Distributions from net investment income | (0.23) | (0.18) | (0.22) | (0.27) | (0.26) |
Net Asset Value, End of Period | $9.35 | $9.20 | $10.71 | $11.16 | $10.87 |
Total Return2 | 4.19% | (12.55)% | (2.04)% | 5.21% | 5.90% |
Ratios to Average Net Assets: | |||||
Net expenses3 | 0.78% | 0.78% | 0.78% | 0.78% | 0.78% |
Net investment income | 3.29% | 2.12% | 1.34% | 1.79% | 2.49% |
Expense waiver/reimbursement4 | 0.14% | 0.13% | 0.09% | 0.08% | 0.10% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $84,042 | $91,840 | $114,594 | $130,306 | $116,935 |
Portfolio turnover5 | 74% | 122% | 166% | 139% | 65% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions)5 | 65% | 96% | 31% | 37% | 61% |
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. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | 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. |
5 | Securities that mature are considered sales for purposes of this calculation. |
Assets: | |
Investment in securities, at value including (identified cost $84,628,686) | $83,613,386 |
Cash | 640 |
Due from broker (Note 2) | 18,219 |
Income receivable | 331,834 |
Receivable for shares sold | 143,634 |
Receivable for variation margin on futures contracts | 2,749 |
Total Assets | 84,110,462 |
Liabilities: | |
Payable for shares redeemed | 17,999 |
Payable for investment adviser fee (Note 5) | 3,089 |
Payable for administrative fee (Note 5) | 536 |
Payable for custodian fees | 9,878 |
Payable for portfolio accounting fees | 26,406 |
Payable for printing and postage | 6,194 |
Accrued expenses (Note 5) | 3,946 |
Total Liabilities | 68,048 |
Net assets for 8,988,357 shares outstanding | $84,042,414 |
Net Assets Consist of: | |
Paid-in capital | $94,085,620 |
Total distributable earnings (loss) | (10,043,206) |
Total Net Assets | $84,042,414 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$84,042,414 ÷ 8,988,357 shares outstanding, no par value, unlimited shares authorized | $9.35 |
Investment Income: | |
Interest | $3,495,304 |
Expenses: | |
Investment adviser fee (Note 5) | 514,306 |
Administrative fee (Note 5) | 70,312 |
Custodian fees | 18,043 |
Transfer agent fees | 9,891 |
Directors’/Trustees’ fees (Note 5) | 1,632 |
Auditing fees | 27,562 |
Legal fees | 10,582 |
Portfolio accounting fees | 102,384 |
Printing and postage | 20,217 |
Miscellaneous (Note 5) | 21,801 |
TOTAL EXPENSES | 796,730 |
Waiver of investment adviser fee (Note 5) | (123,932) |
Net expenses | 672,798 |
Net investment income | 2,822,506 |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net realized loss on investments | (4,551,759) |
Net realized loss on futures contracts | (159,968) |
Net change in unrealized depreciation of investments | 5,355,844 |
Net change in unrealized appreciation of futures contracts | 50,388 |
Net realized and unrealized gain (loss) on investments and futures contracts | 694,505 |
Change in net assets resulting from operations | $3,517,011 |
Year Ended December 31 | 2023 | 2022 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $2,822,506 | $2,141,798 |
Net realized gain (loss) | (4,711,727) | (6,371,670) |
Net change in unrealized appreciation/depreciation | 5,406,232 | (9,883,732) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 3,517,011 | (14,113,604) |
Distributions to Shareholders | (2,190,864) | (1,919,363) |
Share Transactions: | ||
Proceeds from sale of shares | 4,904,033 | 10,329,104 |
Net asset value of shares issued to shareholders in payment of distributions declared | 2,190,864 | 1,919,363 |
Cost of shares redeemed | (16,219,095) | (18,969,052) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (9,124,198) | (6,720,585) |
Change in net assets | (7,798,051) | (22,753,552) |
Net Assets: | ||
Beginning of period | 91,840,465 | 114,594,017 |
End of period | $84,042,414 | $91,840,465 |
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 | $50,388 |
* | Includes cumulative net 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 | |
Interest rate contracts | $(159,968) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $50,388 |
Year Ended 12/31/2023 | Year Ended 12/31/2022 | |
Shares sold | 539,993 | 1,043,424 |
Shares issued to shareholders in payment of distributions declared | 238,917 | 191,744 |
Shares redeemed | (1,773,813) | (1,949,011) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (994,903) | (713,843) |
2023 | 2022 | |
Ordinary income | $2,190,864 | $1,919,363 |
Undistributed ordinary income | $2,821,802 |
Net unrealized depreciation | $(1,015,300) |
Capital loss carryforward | $(11,849,708) |
TOTAL | $(10,043,206) |
Short-Term | Long-Term | Total |
$5,232,942 | $6,616,766 | $11,849,708 |
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 | $1,389,454 |
Sales | $3,828,671 |
February 15, 2024
Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,027.50 | $3.99 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,021.27 | $3.97 |
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 184/365 (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. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: September 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Thomas R. Donahue* Birth Date: October 20, 1958 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Director or Trustee of certain of the funds in the Federated Hermes Fund Family; Chief Financial Officer, Treasurer, Vice President and Assistant Secretary, Federated Hermes, Inc.; Chairman and Trustee, Federated Administrative Services; Chairman and Director, Federated Administrative Services, Inc.; Trustee and Treasurer, Federated Advisory Services Company; Director or Trustee and Treasurer, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, and Federated Investment Management Company; Director, MDTA LLC; Director, Executive Vice President and Assistant Secretary, Federated Securities Corp.; Director or Trustee and Chairman, Federated Services Company and Federated Shareholder Services Company; and Director and President, FII Holdings, Inc. Previous Positions: Director, Federated Hermes, Inc.; Assistant Secretary, Federated Investment Management Company, Federated Global Investment Management Company and Passport Research, LTD; Treasurer, Passport Research, LTD; Executive Vice President, Federated Securities Corp.; and Treasurer, FII Holdings, Inc. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee and Chair of the Board of Directors or Trustees of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Chair of the Audit Committee, Member of the Compensation Committee, Equifax, Inc.; Lead Director, Member of the Audit and Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President’s Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor of Law, Emerita, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (natural gas). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as Director of the Office of Church Relations and later as Associate General Secretary for the Diocese of Pittsburgh, a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania and previously served on the Supreme Court’s Board of Continuing Judicial Education and the Supreme Court’s Appellate Court Procedural Rules Committee. Judge Lally-Green was then appointed by the Supreme Court of Pennsylvania and currently serves on the Judicial Ethics Advisory Board. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director, CNX Resources Corporation (natural gas). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, Saint Vincent College; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; and Director and Vice Chair, Saint Francis University. |
Thomas M. O’Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee and Chair of the Audit Committee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O’Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O’Neill serves as Director, Medicines for Humanity. Mr. O’Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); Director, Midway Pacific (lumber); and Director, The Golisano Children’s Museum of Naples, Florida. |
Madelyn A. Reilly Birth Date: February 2, 1956 Trustee Indefinite Term Began serving: November 2020 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors, Duquesne University (Retired). Other Directorships Held: None. Qualifications: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors and Director of Risk Management and Associate General Counsel, Duquesne University. Prior to her work at Duquesne University, Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, Health and Safety, PPG Industries. Ms. Reilly currently serves as a member of the Board of Directors of UPMC Mercy Hospital, and as a member of the Board of Directors of Catholic Charities, Pittsburgh. |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CONSOL Energy Inc. (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and CNX Gas Company; and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes, Inc. in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Director and Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, and Federated MDTA LLC; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and CEO of Passport Research, Ltd.; Director and President, Technology, Federated Services Company. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated Hermes, Inc. in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Inc., Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes, Inc. in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes’ taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund’s Adviser in 2009 and served as a Senior Vice President of the Fund’s Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated Hermes’ money market products in 2004. She joined Federated Hermes in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund’s Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
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 |
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the "Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers") that applies to the registrant's Principal Executive Officer and Principal Financial Officer; the registrant's Principal Financial Officer also serves as the Principal Accounting Officer.
(c) There was no amendment to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(d) There was no waiver granted, either actual or implicit, from a provision to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(e) Not Applicable
(f)(3) The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant at 1-800-341-7400, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.
Item 3. Audit Committee Financial Expert
The registrant's Board has determined that each of the following members of the Board's Audit Committee is an “audit committee financial expert,” and is "independent," for purposes of this Item: Thomas M. O'Neill and John S. Walsh.
Item 4. | Principal Accountant Fees and Services |
(a) Audit Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2023 – $199,938
Fiscal year ended 2022 - $190,417
(b) Audit-Related Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2023 - $0
Fiscal year ended 2022 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(c) Tax Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2023 - $0
Fiscal year ended 2022 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(d) All Other Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2023 - $0
Fiscal year ended 2022 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(e)(1) Audit Committee Policies regarding Pre-approval of Services.
The Audit Committee is required to pre-approve audit and non-audit services performed by the independent auditor in order to assure that the provision of such services do not impair the auditor’s independence. Unless a type of service to be provided by the independent auditor has received general pre-approval, it will require specific pre-approval by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
Certain services have the general pre-approval of the Audit Committee. The term of the general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee specifically provides for a different period. The Audit Committee will annually review the services that may be provided by the independent auditor without obtaining specific pre-approval from the Audit Committee and may grant general pre-approval for such services. The Audit Committee will revise the list of general pre-approved services from time to time, based on subsequent determinations. The Audit Committee will not delegate to management its responsibilities to pre-approve services performed by the independent auditor.
The Audit Committee has delegated pre-approval authority to its chairman (the “Chairman”) for services that do not exceed a specified dollar threshold. The Chairman or Chief Audit Executive will report any such pre-approval decisions to the Audit Committee at its next scheduled meeting. The Committee will designate another member with such pre-approval authority when the Chairman is unavailable.
AUDIT SERVICES
The annual audit services engagement terms and fees will be subject to the specific pre-approval of the Audit Committee. The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope, registered investment company (RIC) structure or other matters.
In addition to the annual audit services engagement specifically approved by the Audit Committee, the Audit Committee may grant general pre-approval for other audit services, which are those services that only the independent auditor reasonably can provide. The Audit Committee has pre-approved certain audit services; with limited exception, all other audit services must be specifically pre-approved by the Audit Committee.
AUDIT-RELATED SERVICES
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the RIC’s financial statements or that are traditionally performed by the independent auditor. The Audit Committee believes that the provision of audit-related services does not impair the independence of the auditor, and has pre-approved certain audit-related services; all other audit-related services must be specifically pre-approved by the Audit Committee.
TAX SERVICES
The Audit Committee believes that the independent auditor can provide tax services to the RIC such as tax compliance, tax planning and tax advice without impairing the auditor’s independence. However, the Audit Committee will not permit the retention of the independent auditor in connection with a transaction initially recommended by the independent auditor, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has pre-approved certain tax services; with limited exception, all tax services involving large and complex transactions must be specifically pre-approved by the Audit Committee.
ALL OTHER SERVICES
With respect to the provision of permissible services other than audit, review or attest services the pre-approval requirement is waived if:
(1) | With respect to such services rendered to the Funds, the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues paid by the audit client to its accountant during the fiscal year in which the services are provided; and, |
(2) | With respect to such services rendered to the Fund’s investment adviser ( the “Adviser”)and any entity controlling, controlled by to under common control with the Adviser such as affiliated non-U.S. and U.S. funds not under the Audit Committee’s purview and which do not fall within a category of service which has been determined by the Audit Committee not to have a direct impact on the operations or financial reporting of the RIC, the aggregate amount of all services provided constitutes no more than five percent of the total amount of revenues paid to the RIC’s auditor by the RIC, its Adviser and any entity controlling, controlled by, or under common control with the Adviser during the fiscal year in which the services are provided; and |
(3) | Such services were not recognized by the issuer or RIC at the time of the engagement to be non-audit services; and |
(4) | Such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee who are members of the Board of Directors to whom authority to grant such approvals has been delegated by the Audit Committee. |
The Audit Committee may grant general pre-approval to those permissible non-audit services which qualify for pre-approval and which it believes are routine and recurring services, and would not impair the independence of the auditor.
The Securities and Exchange Commission’s (the “SEC”) rules and relevant guidance should be consulted to determine the precise definitions of these services and applicability of exceptions to certain of the prohibitions.
PRE-APPROVAL FEE LEVELS
Pre-approval fee levels for all services to be provided by the independent auditor will be established annually by the Audit Committee. Any proposed services exceeding these levels will require specific pre-approval by the Audit Committee.
PROCEDURES
Requests or applications to provide services that require specific approval by the Audit Committee will be submitted to the Audit Committee by the Fund’s Principal Accounting Officer and/or the Chief Audit Executive of Federated Hermes, Inc., only after those individuals have determined that the request or application is consistent with the SEC’s rules on auditor independence.
(e)(2) Percentage of services identified in items 4(b) through 4(d) that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:
4(b)
Fiscal year ended 2023 – 0%
Fiscal year ended 2022 - 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(c)
Fiscal year ended 2023 – 0%
Fiscal year ended 2022 – 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(d)
Fiscal year ended 2023 – 0%
Fiscal year ended 2022 – 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
(f) | NA |
(g) | Non-Audit Fees billed to the registrant, the registrant’s Adviser, and certain entities controlling, controlled by or under common control with the Adviser: |
Fiscal year ended 2023 - $57,553
Fiscal year ended 2022 - $28,340
(h) | The registrant’s Audit Committee has considered that the provision of non-audit services that were rendered to the registrant’s Adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 18. | Recovery of Erroneously Awarded Compensation |
(a) | Not Applicable |
(b) | 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 February 15, 2024
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 February 15, 2024
By /S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
Date February 15, 2024