Federated Hermes Ultrashort Bond Fund
Portfolio of Investments
June 30, 2024 (unaudited)
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—38.1% | |||
Auto Receivables—21.3% | |||
$ 4,000,000 | Ally Auto Receivables Trust 2023-1, Class C, 5.960%, 3/15/2029 | $ 3,988,080 | |
2,500,000 | Ally Auto Receivables Trust 2023-1, Class D, 6.740%, 4/15/2034 | 2,498,511 | |
4,000,000 | Ally Auto Receivables Trust 2023-A, Class C, 6.080%, 1/15/2034 | 3,974,755 | |
3,000,000 | Ally Auto Receivables Trust 2024-1, Class C, 5.540%, 11/15/2029 | 2,995,978 | |
3,500,000 | Ally Auto Receivables Trust 2024-1, Class D, 5.800%, 2/16/2032 | 3,495,261 | |
2,000,000 | Ally Bank Auto Credit-Linked Notes 2024-A, Class B, 5.827%, 5/17/2032 | 2,003,833 | |
3,000,000 | Ally Bank Auto Credit-Linked Notes 2024-A, Class C, 6.022%, 5/17/2032 | 3,005,595 | |
2,000,000 | Ally Bank Auto Credit-Linked Notes 2024-A, Class D, 6.315%, 5/17/2032 | 2,003,989 | |
590,183 | AmeriCredit Automobile Receivables Trust 2020-2, Class C, 1.480%, 2/18/2026 | 586,143 | |
5,320,000 | AmeriCredit Automobile Receivables Trust 2020-2, Class D, 2.130%, 3/18/2026 | 5,251,234 | |
5,091,225 | AmeriCredit Automobile Receivables Trust 2020-3, Class C, 1.060%, 8/18/2026 | 4,996,531 | |
18,800,000 | AmeriCredit Automobile Receivables Trust 2023-2, Class C, 6.000%, 7/18/2029 | 19,036,736 | |
2,750,000 | ARI Fleet Lease Trust 2021-A, Class B, 1.130%, 3/15/2030 | 2,734,618 | |
2,546,000 | ARI Fleet Lease Trust 2021-A, Class C, 1.450%, 3/15/2030 | 2,530,789 | |
6,225,000 | ARI Fleet Lease Trust 2024-A, Class A2, 5.300%, 11/15/2032 | 6,206,456 | |
1,310,000 | ARI Fleet Lease Trust 2024-A, Class B, 5.160%, 11/15/2032 | 1,302,005 | |
6,500,000 | ARI Fleet Lease Trust 2024-B, Class A2, 5.540%, 4/15/2033 | 6,506,094 | |
2,691,448 | 1 | Bayview Opportunity Master Fun 2024-CAR1, Class C, 6.835% (30-DAY AVERAGE SOFR +1.500%), 12/26/2031 | 2,694,081 |
672,862 | 1 | Bayview Opportunity Master Fun 2024-CAR1, Class D, 7.385% (30-DAY AVERAGE SOFR +2.050%), 12/26/2031 | 673,516 |
1,345,724 | 1 | Bayview Opportunity Master Fun 2024-CAR1, Class E, 8.935% (30-DAY AVERAGE SOFR +3.600%), 12/26/2031 | 1,347,008 |
3,650,000 | BOF URSA FUNDING 2024-SN1A, Class C, 5.830%, 12/15/2028 | 3,647,106 | |
4,650,000 | BOF URSA FUNDING 2024-SN1A, Class D, 6.360%, 7/16/2029 | 4,651,906 | |
800,000 | CarMax Auto Owner Trust 2021-1, Class C, 0.940%, 12/15/2026 | 771,195 | |
1,750,000 | CarMax Auto Owner Trust 2021-1, Class D, 1.280%, 7/15/2027 | 1,689,461 | |
5,000,000 | CarMax Auto Owner Trust 2024-1, Class B, 5.170%, 8/15/2029 | 4,959,877 | |
3,500,000 | CarMax Auto Owner Trust 2024-1, Class C, 5.470%, 8/15/2029 | 3,491,281 | |
3,500,000 | CarMax Auto Owner Trust 2024-1, Class D, 6.000%, 7/15/2030 | 3,499,869 | |
7,000,000 | CarMax Auto Owner Trust 2024-2, Class D, 6.420%, 10/15/2030 | 7,083,683 | |
121,213 | Chase Auto Credit Linked Notes 2021-1, Class D, 1.174%, 9/25/2028 | 120,687 | |
88,889 | Chase Auto Credit Linked Notes 2021-1, Class E, 2.365%, 9/25/2028 | 88,574 | |
1,000,925 | Chase Auto Credit Linked Notes 2021-2, Class B, 0.889%, 12/26/2028 | 988,799 | |
502,003 | Chase Auto Credit Linked Notes 2021-2, Class C, 0.969%, 12/26/2028 | 495,842 | |
446,567 | Chase Auto Credit Linked Notes 2021-2, Class D, 1.138%, 12/26/2028 | 441,160 | |
246,382 | Chase Auto Credit Linked Notes 2021-2, Class E, 2.280%, 12/26/2028 | 243,927 | |
3,000,071 | Chase Auto Credit Linked Notes 2021-3, Class B, 0.760%, 2/26/2029 | 2,927,731 | |
784,109 | Chase Auto Credit Linked Notes 2021-3, Class C, 0.860%, 2/26/2029 | 764,891 | |
354,554 | Chase Auto Credit Linked Notes 2021-3, Class E, 2.102%, 2/26/2029 | 347,429 | |
1,744,944 | Chesapeake Funding II LLC 2020-1A, Class C, 2.140%, 8/15/2032 | 1,742,209 | |
1,350,000 | Chesapeake Funding II LLC 2020-1A, Class D, 2.830%, 8/15/2032 | 1,346,688 | |
5,300,000 | Chesapeake Funding II LLC 2021-1A, Class B, 0.990%, 4/15/2033 | 5,213,811 | |
2,000,000 | Chesapeake Funding II LLC 2021-1A, Class C, 1.230%, 4/15/2033 | 1,966,175 | |
2,550,000 | Chesapeake Funding II LLC 2021-1A, Class D, 1.520%, 4/15/2033 | 2,493,334 | |
1,000,000 | Chesapeake Funding II LLC 2023-1A, Class B, 5.590%, 5/15/2035 | 995,704 | |
750,000 | Chesapeake Funding II LLC 2023-1A, Class C, 6.070%, 5/15/2035 | 738,958 | |
1,750,000 | Chesapeake Funding II LLC 2023-1A, Class D, 6.690%, 5/15/2035 | 1,720,724 |
1
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Auto Receivables—continued | |||
$ 3,000,000 | Chesapeake Funding II LLC 2023-2A, Class B, 5.970%, 10/15/2035 | $ 2,997,810 | |
4,500,000 | Chesapeake Funding II LLC 2023-2A, Class C, 6.150%, 10/15/2035 | 4,496,350 | |
13,807,049 | 1 | Chesapeake Funding II LLC 2024-1A, Class A2, 6.103% (30-DAY AVERAGE SOFR +0.770%), 5/15/2036 | 13,823,832 |
1,800,000 | Chesapeake Funding II LLC 2024-1A, Class B, 5.440%, 5/15/2036 | 1,812,211 | |
3,500,000 | Chesapeake Funding II LLC 2024-1A, Class C, 5.600%, 5/15/2036 | 3,527,681 | |
12,000,000 | 1 | Citizens Auto Receivables Trust 2024-2, Class A2B, 5.873% (30-DAY AVERAGE SOFR +0.540%), 11/16/2026 | 12,002,657 |
1,424,878 | Drive Auto Receivables Trust 2021-2, Class C, 0.870%, 10/15/2027 | 1,422,039 | |
14,500,000 | Drive Auto Receivables Trust 2024-1, Class C, 5.430%, 11/17/2031 | 14,420,526 | |
4,114,426 | Enterprise Fleet Financing LLC 2021-2, Class A2, 0.480%, 5/20/2027 | 4,073,136 | |
5,705,019 | Enterprise Fleet Financing LLC 2021-3, Class A2, 0.770%, 8/20/2027 | 5,656,225 | |
1,763,620 | Enterprise Fleet Financing LLC 2022-3, Class A2, 4.380%, 7/20/2029 | 1,746,505 | |
12,000,000 | Enterprise Fleet Financing LLC 2023-3, Class A2, 6.400%, 3/20/2030 | 12,135,328 | |
16,900,000 | Enterprise Fleet Financing LLC 2024-1, Class A2, 5.230%, 3/20/2030 | 16,856,636 | |
5,000,000 | Enterprise Fleet Financing LLC 2024-2, Class A2, 5.740%, 12/20/2026 | 5,015,064 | |
7,000,000 | Ford Credit Auto Lease Trust 2023-B, Class D, 6.970%, 6/15/2028 | 7,112,184 | |
2,565,000 | Ford Credit Auto Owner Trust 2021-A, Class C, 0.830%, 8/15/2028 | 2,478,167 | |
2,320,000 | Ford Credit Auto Owner Trust 2022-C, Class C, 5.220%, 3/15/2030 | 2,313,247 | |
4,000,000 | Ford Credit Auto Owner Trust/Ford Credit 2023-2, Class D, 6.600%, 2/15/2036 | 4,064,387 | |
14,000,000 | Ford Credit Floorplan Master Owner 2023-1, Class B, 5.310%, 5/15/2028 | 13,904,034 | |
10,000,000 | Ford Credit Floorplan Master Owner Trust 2023-1, Class C, 5.750%, 5/15/2028 | 9,980,073 | |
13,000,000 | Ford Credit Floorplan Master Owner Trust 2023-1, Class D, 6.620%, 5/15/2028 | 13,123,527 | |
2,650,000 | GECU Auto Receivables Trust 2023-1A, Class C, 6.330%, 4/15/2030 | 2,631,809 | |
7,000,000 | GECU Auto Receivables Trust 2023-1A, Class D, 7.200%, 11/17/2031 | 6,921,255 | |
6,750,000 | 1 | General Motors 2024-1A, Class A2, 6.083% (30-DAY AVERAGE SOFR +0.750%), 3/15/2029 | 6,752,148 |
3,350,000 | GM Financial Securitized Term 2020-3, Class B, 0.810%, 1/16/2026 | 3,342,306 | |
2,000,000 | GM Financial Securitized Term 2020-3, Class D, 1.910%, 9/16/2027 | 1,995,881 | |
92,318 | GM Financial Securitized Term 2021-1, Class A3, 0.350%, 10/16/2025 | 92,095 | |
1,675,000 | GM Financial Securitized Term 2021-1, Class B, 0.750%, 5/17/2027 | 1,636,954 | |
1,375,000 | GM Financial Securitized Term 2021-1, Class C, 1.040%, 5/17/2027 | 1,345,177 | |
3,250,000 | GM Financial Securitized Term 2023-3, Class B, 5.720%, 1/16/2029 | 3,258,341 | |
6,000,000 | GM Financial Securitized Term 2023-3, Class C, 5.920%, 2/16/2029 | 6,001,495 | |
2,250,000 | GM Financial Securitized Term 2024-1, Class B, 5.160%, 8/16/2029 | 2,261,147 | |
1,600,000 | GreenState Auto Receivables Trust 2024-1A, Class B, 5.420%, 1/15/2030 | 1,597,295 | |
2,000,000 | GreenState Auto Receivables Trust 2024-1A, Class C, 5.770%, 2/15/2030 | 1,994,074 | |
1,800,000 | GreenState Auto Receivables Trust, Class SUB, 6.500%, 6/15/2032 | 1,794,683 | |
12,000,000 | Hyundai Auto Lease Securitization Trust 2024 - B, Class B, 5.350%, 5/15/2028 | 11,981,743 | |
651,779 | Hyundai Auto Receivables Trust 2020-B, Class B, 0.940%, 12/15/2025 | 650,402 | |
7,000,000 | Hyundai Auto Receivables Trust 2024-A, Class C, 5.270%, 7/15/2031 | 7,008,140 | |
3,500,000 | LAD Auto Receivables Trust 2024-2A, Class B, 5.500%, 7/16/2029 | 3,505,270 | |
2,300,000 | LAD Auto Receivables Trust 2024-2A, Class C, 5.660%, 10/15/2029 | 2,303,198 | |
1,700,000 | LAD Auto Receivables Trust 2024-2A, Class D, 6.370%, 10/15/2031 | 1,700,032 | |
7,000,000 | Navistar Financial Dealer Note 2024-1, Class A, 5.590%, 4/25/2029 | 7,015,289 | |
3,675,000 | Navistar Financial Dealer Note Master Trust 2023-1, Class A, 6.180%, 8/25/2028 | 3,698,441 | |
1,948,000 | Navistar Financial Dealer Note Master Trust 2023-1, Class B, 6.480%, 8/25/2028 | 1,954,662 | |
4,750,000 | 1 | NextGear Floorplan Master Owner 2023-1A, Class A1, 6.433% (30-DAY AVERAGE SOFR +1.100%), 3/15/2028 | 4,784,855 |
20,000,000 | NextGear Floorplan Master Owner Trust 2021-1A, Class A, 0.850%, 7/15/2026 | 19,963,180 | |
7,650,000 | 1 | NextGear Floorplan Master Owner Trust 2022-1A, Class A1, 6.383% (30-DAY AVERAGE SOFR +1.050%), 3/15/2027 | 7,677,089 |
12,000,000 | 1 | NextGear Floorplan Master Owner Trust 2024-1A, Class A1, 6.233% (30-DAY AVERAGE SOFR +0.900%), 3/15/2029 | 12,030,406 |
17,000,000 | 1 | Nissan Master Owner Trust Receivables 2024-A, Class A, 6.003% (30-DAY AVERAGE SOFR +0.670%), 2/15/2028 | 17,030,054 |
1,300,000 | PenFed Auto Receivables Owner Trust 2022-A, Class B, 4.600%, 12/15/2028 | 1,275,013 |
2
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Auto Receivables—continued | |||
$ 1,582,000 | PenFed Auto Receivables Owner Trust 2022-A, Class C, 4.830%, 12/15/2028 | $ 1,548,308 | |
800,000 | PenFed Auto Receivables Owner Trust 2022-A, Class D, 5.850%, 6/17/2030 | 789,323 | |
972,841 | Santander Bank Auto Credit-Linked Notes 2021-1A, Class B, 1.833%, 12/15/2031 | 963,639 | |
952,897 | Santander Bank Auto Credit-Linked Notes 2022-A, Class B, 5.281%, 5/15/2032 | 948,873 | |
517,740 | Santander Bank Auto Credit-Linked Notes 2022-B, Class C, 5.916%, 8/16/2032 | 517,684 | |
776,609 | Santander Bank Auto Credit-Linked Notes 2022-B, Class D, 6.793%, 8/16/2032 | 777,728 | |
604,030 | Santander Bank Auto Credit-Linked Notes 2022-B, Class E, 8.681%, 8/16/2032 | 607,396 | |
2,306,831 | Santander Consumer Auto Receivables Trust 2020-B, Class D, 2.140%, 12/15/2026 | 2,290,990 | |
1,500,000 | Santander Consumer Auto Receivables Trust 2021-AA, Class D, 1.570%, 1/15/2027 | 1,426,551 | |
1,750,000 | Santander Consumer Auto Receivables Trust 2021-AA, Class E, 3.280%, 3/15/2027 | 1,665,097 | |
968,712 | Santander Drive Auto Receivables Trust 2020-3, Class D, 1.640%, 11/16/2026 | 961,662 | |
8,348,572 | Santander Drive Auto Receivables Trust 2021-3, Class D, 1.330%, 9/15/2027 | 8,125,610 | |
6,150,000 | Santander Drive Auto Receivables Trust 2022-6, Class C, 4.960%, 11/15/2028 | 6,101,251 | |
3,600,000 | Santander Drive Auto Receivables Trust 2024-1, Class C, 5.450%, 3/15/2030 | 3,585,527 | |
20,000,000 | Santander Drive Auto Receivables Trust 2024-2, Class D, 6.390%, 8/15/2031 | 20,440,950 | |
22,644,736 | Santander Retail Auto Lease Trust 2021-C, Class D, 1.390%, 8/20/2026 | 22,586,198 | |
6,000,000 | SBNA Auto Lease Trust 2024-A, Class D, 6.040%, 4/15/2030 | 6,030,883 | |
4,225,000 | SBNA Auto Receivables Trust 2024-A, Class C, 5.590%, 1/15/2030 | 4,243,631 | |
6,500,000 | SBNA Auto Receivables Trust 2024-A, Class E, 8.000%, 4/15/2032 | 6,542,760 | |
5,500,000 | SFS Auto Receivables Securitization Trust 2023-1A, Class B, 5.710%, 1/22/2030 | 5,557,956 | |
6,950,000 | SFS Auto Receivables Securitization Trust 2023-1A, Class C, 5.970%, 2/20/2031 | 7,031,986 | |
4,000,000 | SFS Auto Receivables Securitization Trust 2024-1A, Class C, 5.510%, 1/20/2032 | 4,010,282 | |
5,000,000 | SFS Auto Receivables Securitization Trust 2024-2A, Class C, 5.540%, 2/20/2032 | 5,025,409 | |
4,419,558 | Tesla Auto Lease Trust 2021-B, Class C, 1.120%, 9/22/2025 | 4,404,736 | |
6,000,000 | Tesla Auto Lease Trust 2021-B, Class D, 1.320%, 9/22/2025 | 5,974,816 | |
13,500,000 | Tesla Auto Lease Trust 2023-A, Class B, 6.410%, 7/20/2027 | 13,581,793 | |
10,000,000 | Tesla Auto Lease Trust 2023-B, Class B, 6.570%, 8/20/2027 | 10,079,222 | |
6,850,000 | Tesla Auto Lease Trust 2024-A, Class B, 5.550%, 5/22/2028 | 6,839,159 | |
4,432,781 | U.S. Bank National Association 2023-1, Class B, 6.789%, 8/25/2032 | 4,456,095 | |
2,650,000 | World Omni Auto Receivables Trust 2020-C, Class C, 1.390%, 5/17/2027 | 2,618,004 | |
1,685,000 | World Omni Auto Receivables Trust 2021-A, Class C, 0.890%, 8/16/2027 | 1,622,845 | |
3,000,000 | World Omni Auto Receivables Trust 2021-C, Class C, 1.060%, 4/17/2028 | 2,817,608 | |
4,926,520 | World Omni Select Auto Trust 2020-A, Class C, 1.250%, 10/15/2026 | 4,893,101 | |
9,000,000 | World Omni Select Auto Trust 2020-A, Class D, 1.700%, 10/15/2026 | 8,905,093 | |
3,500,000 | World Omni Select Auto Trust 2021-A, Class C, 1.090%, 11/15/2027 | 3,330,818 | |
TOTAL | 608,729,271 | ||
Credit Card—4.7% | |||
8,000,000 | American Express Credit Account Master Trust 2024-1, Class A, 5.230%, 4/16/2029 | 8,077,174 | |
10,000,000 | 1 | Barclays Dryrock Issuance Trust 2023-2 A, Class A, 6.233% (30-DAY AVERAGE SOFR +0.900%), 8/15/2028 | 10,057,946 |
3,000,000 | Citibank Credit Card Issuance Trust 2023-A1, Class A1, 5.240%, 12/8/2027 | 2,998,264 | |
5,000,000 | Evergreen Credit Card Trust 2022-CRT1, Class C, 6.190%, 7/15/2026 | 4,997,465 | |
6,750,000 | Evergreen Credit Card Trust Series 2021-1, Class C, 1.420%, 10/15/2026 | 6,643,717 | |
2,900,000 | Evergreen Credit Card Trust Series 2023-CRT3, Class B, 6.580%, 2/16/2027 | 2,913,022 | |
5,000,000 | Evergreen Credit Card Trust Series 2023-CRT3, Class C, 7.310%, 2/16/2027 | 4,986,920 | |
5,000,000 | First National Master Note Trust 2023-1, Class A, 5.130%, 4/15/2029 | 4,965,753 | |
8,000,000 | First National Master Note Trust 2023-2, Class A, 5.770%, 9/17/2029 | 8,078,050 | |
5,300,000 | First National Master Note Trust 2024-1, Class A, 5.340%, 5/15/2030 | 5,316,855 | |
4,250,000 | Golden Credit Card Trust 2021-1A, Class C, 1.740%, 8/15/2028 | 3,849,431 | |
4,000,000 | Golden Credit Card Trust 2021-1A, Class C, 2.660%, 1/15/2029 | 3,632,785 | |
8,227,000 | Golden Credit Card Trust 2022-4A, Class CR, 7.930%, 9/15/2027 | 8,375,019 |
3
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Credit Card—continued | |||
$ 3,000,000 | Master Credit Card Trust 2022-1A, Class B, 1.970%, 7/21/2026 | $ 2,932,424 | |
2,000,000 | Master Credit Card Trust 2022-1A, Class C, 2.270%, 7/21/2026 | 1,956,169 | |
3,625,000 | Master Credit Card Trust 2023-1A, Class B, 5.140%, 6/21/2027 | 3,570,479 | |
2,750,000 | Master Credit Card Trust 2023-1A, Class C, 5.870%, 6/21/2027 | 2,740,079 | |
3,150,000 | Master Credit Card Trust 2023-2A, Class B, 6.260%, 1/21/2027 | 3,151,444 | |
6,100,000 | Master Credit Card Trust 2023-2A, Class C, 6.890%, 1/21/2027 | 6,096,231 | |
1,650,000 | Master Credit Card Trust 2023-3A, Class B, 6.300%, 10/21/2030 | 1,681,261 | |
5,000,000 | Master Credit Card Trust 2023-3A, Class C, 7.080%, 10/21/2030 | 5,083,212 | |
2,750,000 | Master Credit Card Trust 2024-1A, Class B, 5.530%, 1/21/2028 | 2,731,194 | |
3,500,000 | Master Credit Card Trust 2024-1A, Class C, 6.020%, 1/21/2028 | 3,476,076 | |
7,174,000 | Trillium Credit Card Trust II 2023-1A, Class B, 5.230%, 3/26/2031 | 6,963,299 | |
3,305,000 | Trillium Credit Card Trust II 2023-1A, Class C, 6.060%, 3/26/2031 | 3,208,961 | |
6,500,000 | Trillium Credit Card Trust II 2023-3A, Class B, 6.256%, 8/28/2028 | 6,516,174 | |
6,000,000 | Trillium Credit Card Trust II 2023-3A, Class C, 6.937%, 8/28/2028 | 6,020,552 | |
3,000,000 | Trillium Credit Card Trust II 2024-1A, Class B, 5.527%, 12/27/2028 | 2,984,570 | |
2,500,000 | Trillium Credit Card Trust II 2024-1A, Class C, 6.016%, 12/27/2028 | 2,487,074 | |
TOTAL | 136,491,600 | ||
Equipment Lease—3.3% | |||
3,750,000 | Dell Equipment Finance Trust 2022-2, Class C, 4.740%, 7/22/2027 | 3,714,374 | |
4,330,000 | Dell Equipment Finance Trust 2022-2, Class D, 5.720%, 1/24/2028 | 4,253,276 | |
3,500,000 | Dell Equipment Finance Trust 2023-1, Class D, 6.800%, 3/22/2029 | 3,478,816 | |
2,500,000 | Dell Equipment Finance Trust 2023-2, Class D, 6.740%, 7/23/2029 | 2,483,499 | |
10,000,000 | Dell Equipment Finance Trust 2023-3, Class B, 6.050%, 4/23/2029 | 10,072,260 | |
5,500,000 | Dell Equipment Finance Trust 2023-3, Class C, 6.170%, 4/23/2029 | 5,539,974 | |
3,500,000 | Dell Equipment Finance Trust 2023-3, Class D, 6.750%, 10/22/2029 | 3,556,448 | |
2,000,000 | Dell Equipment Finance Trust 2024-1, Class B, 5.530%, 3/22/2030 | 2,010,154 | |
1,000,000 | Dell Equipment Finance Trust 2024-1, Class C, 5.730%, 3/22/2030 | 1,005,176 | |
2,000,000 | Dell Equipment Finance Trust 2024-1, Class D, 6.120%, 9/23/2030 | 2,010,265 | |
1,582,179 | DLLAD LLC 2023-1A, Class A2, 5.190%, 4/20/2026 | 1,579,375 | |
2,500,000 | DLLAD LLC 2024-1A, Class A2, 5.500%, 8/20/2027 | 2,502,487 | |
6,700,000 | DLLST LLC 2024-1A, Class A3, 144A, 5.050%, 8/20/2027 | 6,655,249 | |
2,610,000 | Great America Leasing Receivables 2021-1, Class B, 0.720%, 12/15/2026 | 2,545,440 | |
4,000,000 | Great America Leasing Receivables 2023-1, Class B, 5.210%, 3/15/2030 | 3,971,012 | |
3,000,000 | Great America Leasing Receivables 2023-1, Class C, 5.500%, 3/17/2031 | 2,965,712 | |
3,700,000 | Great America Leasing Receivables 2024-1, Class B, 5.180%, 12/16/2030 | 3,681,548 | |
1,225,000 | Great America Leasing Receivables 2024-1, Class C, 5.430%, 12/15/2031 | 1,216,543 | |
7,000,000 | HPEFS Equipment Trust 2023-2A, Class D, 7.180%, 7/21/2031 | 7,007,127 | |
7,700,000 | HPEFS Equipment Trust 2024-1A, Class D, 5.820%, 12/22/2031 | 7,687,501 | |
10,500,000 | HPEFS Equipment Trust 2024-2A, Class D, 5.820%, 4/20/2032 | 10,530,385 | |
5,791,539 | MMAF Equipment Finance LLC 2023-A, Class A2, 5.790%, 11/13/2026 | 5,798,561 | |
TOTAL | 94,265,182 | ||
Home Equity Loan—0.0% | |||
28,887 | 1 | Countrywide Asset Backed Certificates 2004-4, Class A, 6.199% (CME Term SOFR 1 Month +0.854%), 8/25/2034 | 28,697 |
109,416 | 2 | NC Finance Trust 1999-1, Class D, 8.750%, 1/25/2029 | 0 |
TOTAL | 28,697 | ||
Manufactured Housing—0.0% | |||
1,615 | Indymac Manufactured Housing Contract 1997-1, Class A3, 6.610%, 2/25/2028 | 1,616 | |
Other—2.5% | |||
4,500,000 | PFS Financing Corp. 2021-B, Class B, 1.095%, 8/15/2026 | 4,481,269 | |
10,500,000 | 1 | PFS Financing Corp. 2023-D, Class B, 6.983% (30-DAY AVERAGE SOFR +1.650%), 8/16/2027 | 10,526,162 |
4
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Other—continued | |||
$ 7,600,000 | 1 | PFS Financing Corp. 2024-A, Class B, 6.633% (30-DAY AVERAGE SOFR +1.300%), 1/15/2028 | $ 7,616,403 |
20,000,000 | 1 | PFS Financing Corp. 2024-C, Class A, 6.133% (30-DAY AVERAGE SOFR +0.000%), 4/17/2028 | 20,068,640 |
3,500,000 | 1 | PFS Financing Corp. 2024-C, Class B, 6.533% (30-DAY AVERAGE SOFR +1.200%), 4/17/2028 | 3,507,969 |
1,407,270 | Sierra Receivables Funding Co. 2020-2A, Class A, 1.330%, 7/20/2037 | 1,353,959 | |
6,000,000 | Verizon Master Trust 2023-2, Class C, 5.380%, 4/13/2028 | 5,957,261 | |
10,000,000 | Verizon Master Trust 2023-5, Class C, 6.090%, 9/8/2028 | 10,086,238 | |
7,250,000 | Verizon Master Trust 2024-1, Class C, 5.530%, 12/20/2028 | 7,252,543 | |
TOTAL | 70,850,444 | ||
Student Loans—6.3% | |||
1,468,941 | 1 | Mississippi Higher Education Assistance Corp. 2014-1, Class A1, 6.129% (30-DAY AVERAGE SOFR +0.794%), 10/25/2035 | 1,460,500 |
4,090,860 | 1 | Navient Student Loan Trust 2019-D, Class A2B, 6.493% (CME Term SOFR 1 Month +1.164%), 12/15/2059 | 4,102,125 |
7,286,773 | Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 | 6,596,861 | |
5,288,011 | Navient Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 | 4,871,422 | |
12,816,031 | Navient Student Loan Trust 2021-A, Class A, 0.840%, 5/15/2069 | 11,343,803 | |
37,768,425 | Navient Student Loan Trust 2021-BA, Class A, 0.940%, 7/15/2069 | 33,281,649 | |
28,891,661 | Navient Student Loan Trust 2021-CA, Class A, 1.060%, 10/15/2069 | 25,497,812 | |
33,561,595 | Navient Student Loan Trust 2021-FA, Class A, 1.110%, 2/18/2070 | 28,762,500 | |
2,576,968 | 1 | Navient Student Loan Trust 2023-BA, Class A1B, 7.033% (30-DAY AVERAGE SOFR +1.700%), 3/15/2072 | 2,598,614 |
5,328,165 | 1 | Nelnet Student Loan Trust 2021-CA, Class AFL, 6.193% (CME Term SOFR 1 Month +0.854%), 4/20/2062 | 5,296,770 |
32,380,885 | 1 | Nelnet Student Loan Trust 2021-DA, Class AFL, 6.143% (CME Term SOFR 1 Month +0.804%), 4/20/2062 | 32,184,502 |
6,793,924 | 1 | SMB Private Education Loan Trust 2021-D, Class A1B, 6.043% (CME Term SOFR 1 Month +0.714%), 3/17/2053 | 6,683,481 |
17,135,857 | 1 | SMB Private Education Loan Trust 2021-E, Class A1B, 6.073% (CME Term SOFR 1 Month +0.744%), 2/15/2051 | 16,874,475 |
TOTAL | 179,554,514 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $1,107,248,752) | 1,089,921,324 | ||
CORPORATE BONDS—24.5% | |||
Communications - Cable & Satellite—0.1% | |||
3,820,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 6.150%, 11/10/2026 | 3,857,974 | |
Communications - Media & Entertainment—0.3% | |||
7,540,000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 6.412%, 3/15/2026 | 7,540,468 | |
Communications - Telecom Wirelines—1.2% | |||
10,000,000 | AT&T, Inc., Sr. Unsecd. Note, 5.539%, 2/20/2026 | 9,999,856 | |
25,000,000 | 1 | Verizon Communications, Inc., Sr. Unsecd. Note, 6.164% (SOFR +0.790%), 3/20/2026 | 25,190,620 |
TOTAL | 35,190,476 | ||
Consumer Cyclical - Automotive—4.2% | |||
20,000,000 | 1 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 6.121% (SOFR +0.750%), 12/13/2024 | 20,046,559 |
18,605,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 6.950%, 6/10/2026 | 18,969,865 | |
20,000,000 | 1 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 5.975% (SOFR +0.620%), 10/15/2024 | 20,008,287 |
10,000,000 | 1 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 6.409% (SOFR +1.040%), 2/26/2027 | 10,022,073 |
8,000,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 5.250%, 1/8/2027 | 7,970,010 | |
5,000,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 5.800%, 6/26/2025 | 5,005,049 | |
6,000,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 5.950%, 9/21/2026 | 6,049,859 | |
6,000,000 | 1 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 6.682% (SOFR +1.320%), 11/3/2025 | 6,038,733 |
7,500,000 | Nissan Motor Acceptance Co. LLC., Sr. Unsecd. Note, 144A, 6.950%, 9/15/2026 | 7,682,803 | |
10,000,000 | 1 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series MTN, 5.675% (SOFR +0.320%), 1/13/2025 | 10,002,697 |
10,000,000 | 1 | Volkswagen Group of America Finance LLC, 144A, 6.204% (SOFR +0.830%), 3/20/2026 | 10,036,876 |
TOTAL | 121,832,811 | ||
Consumer Cyclical - Retailers—0.1% | |||
1,660,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, 5.900%, 3/9/2026 | 1,661,048 |
5
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Food/Beverage—0.3% | |||
$ 1,272,000 | 1 | Keurig Dr Pepper, Inc., 6.252% (30-DAY AVERAGE SOFR +0.880%), 3/15/2027 | $ 1,278,354 |
6,070,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 5.400%, 3/15/2029 | 6,080,010 | |
TOTAL | 7,358,364 | ||
Consumer Non-Cyclical - Health Care—0.3% | |||
3,340,000 | CVS Health Corp., Sr. Unsecd. Note, 5.000%, 2/20/2026 | 3,315,972 | |
4,600,000 | HCA, Inc., Sr. Unsecd. Note, 5.200%, 6/1/2028 | 4,582,979 | |
TOTAL | 7,898,951 | ||
Consumer Non-Cyclical - Pharmaceuticals—0.1% | |||
3,420,000 | Bayer US Finance LLC, Sr. Unsecd. Note, 144A, 6.125%, 11/21/2026 | 3,457,415 | |
Energy - Midstream—0.6% | |||
2,825,000 | Columbia Pipeline Holding Co. LLC, Sr. Unsecd. Note, 144A, 6.055%, 8/15/2026 | 2,848,346 | |
1,555,000 | Enbridge, Inc., Sr. Unsecd. Note, 5.900%, 11/15/2026 | 1,573,237 | |
6,130,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 10/1/2026 | 6,121,753 | |
5,895,000 | ONEOK, Inc., Sr. Unsecd. Note, 5.550%, 11/1/2026 | 5,920,854 | |
TOTAL | 16,464,190 | ||
Financial Institution - Banking—12.2% | |||
21,550,000 | 1 | American Express Co., Sr. Unsecd. Note, 6.012% (SOFR +0.650%), 11/4/2026 | 21,574,532 |
6,380,000 | 1 | ANZ New Zealand National (Int’l) Ltd., Sr. Unsecd. Note, 144A, 5.966% (SOFR +0.600%), 2/18/2025 | 6,389,914 |
15,000,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, 6.329% (SOFR +0.970%), 7/22/2027 | 15,083,946 |
5,000,000 | 1 | Bank of America N.A., Sr. Unsecd. Note, 6.386% (SOFR +1.020%), 8/18/2026 | 5,050,613 |
10,000,000 | 1 | Bank of Montreal, Sr. Unsecd. Note, Series MTN, 5.992% (SOFR +0.620%), 9/15/2026 | 9,999,180 |
10,000,000 | 1 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series J, 5.559% (SOFR +0.200%), 10/25/2024 | 9,993,884 |
15,000,000 | 1 | Bank of New Zealand (BNZ), Sr. Unsecd. Note, 144A, 6.170% (SOFR +0.810%), 1/27/2027 | 15,025,952 |
20,000,000 | 1 | Bank of Nova Scotia, Sr. Unsecd. Note, 5.982% (SOFR +0.610%), 9/15/2026 | 19,992,495 |
25,000,000 | 1 | Canadian Imperial Bank of Commerce, Sr. Unsecd. Note, 5.777% (SOFR +0.420%), 10/18/2024 | 25,011,615 |
7,695,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 6.053% (SOFR +0.694%), 1/25/2026 | 7,703,347 |
15,000,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 6.140% (SOFR +0.770%), 6/9/2027 | 15,009,046 |
8,000,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 6.650% (SOFR +1.280%), 2/24/2028 | 8,097,120 |
3,770,000 | Citizens Financial Group, Inc., Sr. Unsecd. Note, 5.841%, 1/23/2030 | 3,758,971 | |
3,675,000 | Comerica, Inc., Sr. Unsecd. Note, 5.982%, 1/30/2030 | 3,621,913 | |
25,975,000 | 1 | Commonwealth Bank of Australia, Sr. Unsecd. Note, 144A, 5.753% (SOFR +0.400%), 7/7/2025 | 25,991,504 |
12,275,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 6.278% (SOFR +0.920%), 10/21/2027 | 12,308,492 |
9,375,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 6.489% (SOFR +1.120%), 2/24/2028 | 9,451,428 |
10,000,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, Series FRN, 6.160% (SOFR +0.790%), 12/9/2026 | 10,012,971 |
20,000,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 5.971% (SOFR +0.600%), 12/10/2025 | 20,033,962 |
12,500,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 6.138% (SOFR +0.765%), 9/22/2027 | 12,525,599 |
6,000,000 | 1 | Morgan Stanley Bank, N.A., Sr. Unsecd. Note, Series BKNT, 6.435% (SOFR +1.080%), 1/14/2028 | 6,044,751 |
20,000,000 | 1 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 6.374% (SOFR +1.020%), 4/13/2028 | 20,082,109 |
16,000,000 | 1 | National Bank of Canada, Sr. Unsecd. Note, 5.852% (SOFR +0.490%), 8/6/2024 | 16,001,702 |
2,000,000 | 1 | NatWest Markets PLC, Sr. Unsecd. Note, 144A, 5.894% (SOFR +0.530%), 8/12/2024 | 2,000,659 |
9,000,000 | 1 | NatWest Markets PLC, Sr. Unsecd. Note, 144A, 6.135% (SOFR +0.760%), 9/29/2026 | 8,970,622 |
3,865,000 | PNC Financial Services Group, Inc., Sr. Unsecd. Note, 6.615%, 10/20/2027 | 3,959,879 | |
10,000,000 | 1 | Royal Bank of Canada, Sr. Unsecd. Note, 5.720% (SOFR +0.360%), 7/29/2024 | 10,001,517 |
4,500,000 | 1 | Royal Bank of Canada, Sr. Unsecd. Note, Series GMTN, 6.307% (30-DAY AVERAGE SOFR +0.950%), 1/19/2027 | 4,536,954 |
10,000,000 | 1 | UBS AG London, Sr. Unsecd. Note, 144A, 5.814% (SOFR +0.450%), 8/9/2024 | 10,001,363 |
5,000,000 | 1 | Wells Fargo Bank, N.A., Sr. Unsecd. Note, 6.065% (SOFR +0.710%), 1/15/2026 | 5,020,710 |
6,000,000 | 1 | Wells Fargo Bank, N.A., Sr. Unsecd. Note, 6.442% (SOFR +1.070%), 12/11/2026 | 6,074,297 |
TOTAL | 349,331,047 | ||
Financial Institution - Finance Companies—0.5% | |||
7,000,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 5.750%, 6/6/2028 | 7,075,859 |
6
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Finance Companies—continued | |||
$ 7,000,000 | Air Lease Corp., Sr. Unsecd. Note, 5.100%, 3/1/2029 | $ 6,928,395 | |
TOTAL | 14,004,254 | ||
Financial Institution - Insurance - Life—2.4% | |||
5,000,000 | CoreBridge Global Funding, Sec. Fac. Bond, 144A, 5.200%, 1/12/2029 | 4,978,837 | |
10,000,000 | 1 | MassMutual Global Funding II, Sec. Fac. Bond, 144A, 6.094% (SOFR +0.740%), 4/9/2027 | 10,024,472 |
7,690,000 | 1 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 6.072% (30-DAY AVERAGE SOFR +0.700%), 6/11/2027 | 7,715,271 |
6,000,000 | Met Tower Global Funding, Sec. Fac. Bond, 144A, 4.850%, 1/16/2027 | 5,967,902 | |
20,000,000 | 1 | New York Life Global Funding, Sec. Fac. Bond, 144A, 5.685% (SOFR +0.330%), 1/14/2025 | 20,008,324 |
20,000,000 | 1 | Pacific Life Global Funding II, Sec. Fac. Bond, 144A, 5.760% (SOFR +0.400%), 1/27/2025 | 20,015,079 |
TOTAL | 68,709,885 | ||
Financial Institution - Insurance - P&C—0.1% | |||
4,500,000 | Aon North America, Inc., Sr. Unsecd. Note, 5.125%, 3/1/2027 | 4,494,110 | |
Technology—0.5% | |||
15,340,000 | Concentrix Corp., Sr. Unsecd. Note, 6.650%, 8/2/2026 | 15,503,558 | |
Transportation - Services—0.1% | |||
1,985,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 5.350%, 1/12/2027 | 1,981,992 | |
Utility - Electric—1.2% | |||
4,535,000 | American Electric Power Co., Inc., Jr. Sub. Note, 5.699%, 8/15/2025 | 4,540,149 | |
3,385,000 | 3 | Electricite de France S.A., Sr. Unsecd. Note, 144A, 5.700%, 5/23/2028 | 3,420,465 |
25,790,000 | 1 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, Series D, 5.687% (SOFR +0.330%), 10/18/2024 | 25,795,018 |
TOTAL | 33,755,632 | ||
Utility - Natural Gas—0.3% | |||
10,000,000 | Sempra Energy, Sr. Unsecd. Note, 5.400%, 8/1/2026 | 9,993,792 | |
TOTAL CORPORATE BONDS (IDENTIFIED COST $700,840,462) | 703,035,967 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—17.0% | |||
Federal Home Loan Mortgage Corporation—10.8% | |||
672,700 | Federal Home Loan Mortgage Corp. REMIC, Series 2819, Class F, 5.847% (30-DAY AVERAGE SOFR +0.514%), 6/15/2034 | 668,082 | |
24,235 | Federal Home Loan Mortgage Corp. REMIC, Series 3071, Class TF, 5.747% (30-DAY AVERAGE SOFR +0.414%), 4/15/2035 | 24,211 | |
452,030 | Federal Home Loan Mortgage Corp. REMIC, Series 3084, Class XF, 5.967% (30-DAY AVERAGE SOFR +0.634%), 12/15/2035 | 447,480 | |
117,895 | Federal Home Loan Mortgage Corp. REMIC, Series 3152, Class WF, 5.907% (30-DAY AVERAGE SOFR +0.574%), 2/15/2034 | 116,724 | |
476,089 | Federal Home Loan Mortgage Corp. REMIC, Series 3153, Class EF, 5.857% (30-DAY AVERAGE SOFR +0.524%), 5/15/2036 | 470,619 | |
191,988 | Federal Home Loan Mortgage Corp. REMIC, Series 3153, Class FJ, 5.827% (30-DAY AVERAGE SOFR +0.494%), 5/15/2036 | 190,035 | |
98,475 | Federal Home Loan Mortgage Corp. REMIC, Series 3156, Class HF, 5.932% (30-DAY AVERAGE SOFR +0.599%), 8/15/2035 | 97,394 | |
145,510 | Federal Home Loan Mortgage Corp. REMIC, Series 3211, Class FN, 5.747% (30-DAY AVERAGE SOFR +0.414%), 9/15/2036 | 142,655 | |
170,542 | Federal Home Loan Mortgage Corp. REMIC, Series 3317, Class F, 5.847% (30-DAY AVERAGE SOFR +0.514%), 7/15/2036 | 168,037 | |
46,551 | Federal Home Loan Mortgage Corp. REMIC, Series 3320, Class FM, 5.847% (30-DAY AVERAGE SOFR +0.514%), 7/15/2036 | 45,928 | |
32,115 | Federal Home Loan Mortgage Corp. REMIC, Series 3339, Class AF, 5.897% (30-DAY AVERAGE SOFR +0.564%), 7/15/2037 | 31,633 | |
701,200 | Federal Home Loan Mortgage Corp. REMIC, Series 3382, Class FG, 6.047% (30-DAY AVERAGE SOFR +0.714%), 11/15/2037 | 694,186 | |
580,541 | Federal Home Loan Mortgage Corp. REMIC, Series 3387, Class PF, 5.867% (30-DAY AVERAGE SOFR +0.534%), 11/15/2037 | 572,884 | |
66,074 | Federal Home Loan Mortgage Corp. REMIC, Series 3542, Class NF, 6.197% (30-DAY AVERAGE SOFR +0.864%), 7/15/2036 | 65,969 | |
193,272 | Federal Home Loan Mortgage Corp. REMIC, Series 3556, Class FA, 6.357% (30-DAY AVERAGE SOFR +1.024%), 7/15/2037 | 194,061 | |
1,845,199 | Federal Home Loan Mortgage Corp. REMIC, Series 3843, Class FB, 5.777% (30-DAY AVERAGE SOFR +0.444%), 4/15/2041 | 1,836,994 | |
899,217 | Federal Home Loan Mortgage Corp. REMIC, Series 4238, Class FT, 5.797% (30-DAY AVERAGE SOFR +0.464%), 8/15/2043 | 881,886 | |
17,049,818 | Federal Home Loan Mortgage Corp. REMIC, Series 4494, Class FL, 5.727% (30-DAY AVERAGE SOFR +0.394%), 7/15/2045 | 16,617,020 |
7
Principal Amount or Shares | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$ 918,519 | Federal Home Loan Mortgage Corp. REMIC, Series 4604, Class FB, 5.847% (30-DAY AVERAGE SOFR +0.514%), 8/15/2046 | $ 906,130 | |
1,652,447 | Federal Home Loan Mortgage Corp. REMIC, Series 4703, Class FA, 5.797% (30-DAY AVERAGE SOFR +0.464%), 7/15/2047 | 1,596,114 | |
12,206,109 | Federal Home Loan Mortgage Corp. REMIC, Series 4901, Class BF, 5.849% (30-DAY AVERAGE SOFR +0.514%), 7/25/2049 | 11,989,770 | |
3,722,810 | Federal Home Loan Mortgage Corp. REMIC, Series 4916, Class FA, 5.849% (30-DAY AVERAGE SOFR +0.514%), 9/25/2049 | 3,671,572 | |
17,691,378 | Federal Home Loan Mortgage Corp. REMIC, Series 4920, Class FA, 5.899% (30-DAY AVERAGE SOFR +0.564%), 10/25/2049 | 17,276,468 | |
14,049,901 | Federal Home Loan Mortgage Corp. REMIC, Series 4988, Class KF, 5.799% (30-DAY AVERAGE SOFR +0.464%), 7/25/2050 | 13,825,286 | |
28,637,304 | Federal Home Loan Mortgage Corp. REMIC, Series 4993, Class F, 5.899% (30-DAY AVERAGE SOFR +0.564%), 7/25/2050 | 27,447,630 | |
6,882,639 | Federal Home Loan Mortgage Corp. REMIC, Series 5057, Class FH, 5.585% (30-DAY AVERAGE SOFR +0.250%), 12/25/2050 | 6,467,978 | |
38,708,412 | Federal Home Loan Mortgage Corp. REMIC, Series 5396, Class FQ, 6.318% (30-DAY AVERAGE SOFR +0.000%), 4/25/2054 | 38,306,526 | |
24,583,478 | Federal Home Loan Mortgage Corp. REMIC, Series 5417, Class FC, 6.535% (30-DAY AVERAGE SOFR +1.200%), 6/25/2054 | 24,571,943 | |
22,003,345 | Federal Home Loan Mortgage Corp. REMIC, Series 5426, Class FB, 6.535% (30-DAY AVERAGE SOFR +1.200%), 6/25/2054 | 21,996,749 | |
6,929,959 | Federal Home Loan Mortgage Corp. REMIC, Series KF79, Class AL, 5.908% (30-DAY AVERAGE SOFR +0.584%), 5/25/2030 | 6,903,194 | |
518,708 | Federal Home Loan Mortgage Corp. REMIC, Series KF87, Class AL, 5.788% (30-DAY AVERAGE SOFR +0.464%), 8/25/2030 | 515,334 | |
11,477,445 | Federal Home Loan Mortgage Corp. REMIC, Series KF90, Class AL, 5.768% (30-DAY AVERAGE SOFR +0.444%), 9/25/2030 | 11,465,665 | |
7,480,589 | Federal Home Loan Mortgage Corp. REMIC, Series KF92, Class AL, 5.768% (30-DAY AVERAGE SOFR +0.444%), 10/25/2030 | 7,443,721 | |
7,632,363 | Federal Home Loan Mortgage Corp. REMIC, Series KF93, Class AL, 5.718% (30-DAY AVERAGE SOFR +0.394%), 10/25/2027 | 7,614,096 | |
12,973,161 | Federal Home Loan Mortgage Corp. REMIC, Series KF94, Class AL, 5.738% (30-DAY AVERAGE SOFR +0.414%), 11/25/2030 | 12,946,613 | |
28,071,500 | Federal Home Loan Mortgage Corp. REMIC, Series KF95, Class AL, 5.698% (30-DAY AVERAGE SOFR +0.374%), 11/25/2030 | 27,956,379 | |
12,097,855 | Federal Home Loan Mortgage Corp. REMIC, Series KF96, Class AL, 5.698% (30-DAY AVERAGE SOFR +0.374%), 12/25/2030 | 12,053,921 | |
18,334,029 | Federal Home Loan Mortgage Corp. REMIC, Series KF98, Class AL, 5.608% (30-DAY AVERAGE SOFR +0.284%), 12/25/2030 | 18,255,198 | |
13,171,106 | Federal Home Loan Mortgage Corp. REMIC, Series KF121, Class AS, 5.504% (30-DAY AVERAGE SOFR +0.180%), 8/25/2028 | 13,067,448 | |
45,423 | Federal Home Loan Mortgage Corp., Class FE, 5.847% (30-DAY AVERAGE SOFR +0.514%), 7/15/2036 | 44,778 | |
TOTAL | 309,588,311 | ||
1 | Federal National Mortgage Association—4.7% | ||
58,936 | Federal National Mortgage Association REMIC, Series 2002-77, Class FA, 6.447% (30-DAY AVERAGE SOFR +1.114%), 12/18/2032 | 59,356 | |
211,821 | Federal National Mortgage Association REMIC, Series 2006-119, Class CF, 5.749% (30-DAY AVERAGE SOFR +0.414%), 12/25/2036 | 208,445 | |
133,406 | Federal National Mortgage Association REMIC, Series 2006-44, Class FK, 5.879% (30-DAY AVERAGE SOFR +0.544%), 6/25/2036 | 132,218 | |
695,554 | Federal National Mortgage Association REMIC, Series 2006-61, Class FQ, 5.849% (30-DAY AVERAGE SOFR +0.514%), 7/25/2036 | 686,642 | |
157,125 | Federal National Mortgage Association REMIC, Series 2006-79, Class DF, 5.799% (30-DAY AVERAGE SOFR +0.464%), 8/25/2036 | 155,345 | |
502,478 | Federal National Mortgage Association REMIC, Series 2006-81, Class FB, 5.799% (30-DAY AVERAGE SOFR +0.464%), 9/25/2036 | 495,440 | |
350,238 | Federal National Mortgage Association REMIC, Series 2006-W1, Class 2AF1, 5.669% (30-DAY AVERAGE SOFR +0.334%), 2/25/2046 | 346,741 | |
2,383,893 | Federal National Mortgage Association REMIC, Series 2007-22, Class FQ, 5.679% (30-DAY AVERAGE SOFR +0.344%), 3/25/2037 | 2,336,882 | |
263,141 | Federal National Mortgage Association REMIC, Series 2007-88, Class FY, 5.909% (30-DAY AVERAGE SOFR +0.574%), 9/25/2037 | 259,615 | |
144,177 | Federal National Mortgage Association REMIC, Series 2007-97, Class FE, 5.899% (30-DAY AVERAGE SOFR +0.564%), 7/25/2037 | 142,423 | |
70,405 | Federal National Mortgage Association REMIC, Series 2008-69, Class FB, 6.449% (30-DAY AVERAGE SOFR +1.114%), 6/25/2037 | 70,756 |
8
Principal Amount or Shares | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—continued | |||
1 | Federal National Mortgage Association—continued | ||
$ 174,199 | Federal National Mortgage Association REMIC, Series 2009-69, Class F, 6.299% (30-DAY AVERAGE SOFR +0.964%), 4/25/2037 | $ 174,583 | |
4,317,944 | Federal National Mortgage Association REMIC, Series 2010-111, Class FM, 5.849% (30-DAY AVERAGE SOFR +0.514%), 10/25/2040 | 4,274,709 | |
1,599,567 | Federal National Mortgage Association REMIC, Series 2017-24, Class FB, 5.799% (30-DAY AVERAGE SOFR +0.464%), 4/25/2047 | 1,560,605 | |
16,515,308 | Federal National Mortgage Association REMIC, Series 2018-85, Class FE, 5.749% (30-DAY AVERAGE SOFR +0.414%), 12/25/2048 | 16,204,953 | |
1,189,654 | Federal National Mortgage Association REMIC, Series 2019-31, Class FA, 5.849% (30-DAY AVERAGE SOFR +0.514%), 7/25/2049 | 1,169,945 | |
13,305,470 | Federal National Mortgage Association REMIC, Series 2019-50, Class FA, 5.899% (30-DAY AVERAGE SOFR +0.564%), 9/25/2049 | 13,102,163 | |
5,774,503 | Federal National Mortgage Association REMIC, Series 2020-47, Class FH, 5.849% (30-DAY AVERAGE SOFR +0.514%), 7/25/2050 | 5,568,084 | |
9,771,550 | Federal National Mortgage Association REMIC, Series 2020-68, Class FB, 5.749% (30-DAY AVERAGE SOFR +0.414%), 10/25/2060 | 9,312,752 | |
39,011,563 | Federal National Mortgage Association REMIC, Series 2024-22, Class FA, 6.235% (30-DAY AVERAGE SOFR +0.900%), 5/25/2054 | 38,779,948 | |
38,070,393 | Federal National Mortgage Association REMIC, Series 2024-22, Class FB, 6.335% (30-DAY AVERAGE SOFR +1.000%), 4/30/2054 | 37,888,808 | |
9,211 | Federal National Mortgage Association, Class FB, 5.949% (30-DAY AVERAGE SOFR +0.614%), 8/25/2039 | 9,147 | |
TOTAL | 132,939,560 | ||
1 | Government National Mortgage Association—0.1% | ||
1,484,924 | Government National Mortgage Association REMIC, Series 2012-H31, Class FA, 5.787% (CME Term SOFR 1 Month +0.464%), 11/20/2062 | 1,480,426 | |
707,971 | Government National Mortgage Association REMIC, Series 2013-H16, Class FA, 5.977% (CME Term SOFR 1 Month +0.654%), 7/20/2063 | 707,384 | |
521,772 | Government National Mortgage Association REMIC, Series 2013-H17, Class FA, 5.987% (CME Term SOFR 1 Month +0.664%), 7/20/2063 | 521,523 | |
TOTAL | 2,709,333 | ||
Non-Agency Mortgage—1.4% | |||
5,572,350 | BRASS PLC, Class A1, 0.669%, 4/16/2069 | 5,505,153 | |
22,917,625 | Chase Mortgage Finance Corp. 2023-1, Class A4, 6.000%, 6/25/2054 | 22,805,242 | |
76,902 | 1 | Countrywide Alternative Loan Trust 2005-51, Class 3AB3, 6.556% (CME Term SOFR 1 Month +1.214%), 11/20/2035 | 59,910 |
35,012 | 1 | Impac CMB Trust 2004-7, Class 1A2, 6.379% (CME Term SOFR 1 Month +1.034%), 11/25/2034 | 34,306 |
74,987 | 1 | Impac CMB Trust 2004-9, Class 1A2, 6.339% (CME Term SOFR 1 Month +0.994%), 1/25/2035 | 72,317 |
11,810,041 | 1 | JP Morgan Mortgage Trust 2021-1, Class A11, 5.973% (30-DAY AVERAGE SOFR +0.650%), 6/25/2051 | 11,113,487 |
91,808 | 1 | Mellon Residential Funding Corp. 2001-TBC1, Class A1, 6.143% (CME Term SOFR 1 Month +0.814%), 11/15/2031 | 86,732 |
419,988 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | 346,945 | |
175,673 | 1 | Washington Mutual 2006-AR1, Class 2A1B, 6.222% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +1.070%), 1/25/2046 | 159,639 |
310,593 | 1 | Washington Mutual 2006-AR15, Class 1A, 5.992% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +0.840%), 11/25/2046 | 274,879 |
164,639 | 1 | Washington Mutual 2006-AR17, Class 1A, 4.371% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +0.820%), 12/25/2046 | 138,693 |
TOTAL | 40,597,303 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $492,460,219) | 485,834,507 | ||
U.S. TREASURIES—7.0% | |||
U.S. Treasury Bills—3.5% | |||
100,000,000 | United States Treasury Bill, 5.210%, 7/30/2024 | 99,577,870 | |
1 | U.S. Treasury Notes—3.5% | ||
100,000,000 | 1 | United States Treasury Floating Rate Notes, 5.342% (91-day T-Bill +0.037%), 7/2/2024 | 99,996,080 |
TOTAL U.S. TREASURIES (IDENTIFIED COST $199,579,512) | 199,573,950 |
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Principal Amount or Shares | Value | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—3.4% | |||
Commercial Mortgage—3.4% | |||
$ 20,000,000 | 1 | BHMS Mortgage Trust 2018-ATLS, Class A, 6.875% (CME Term SOFR 1 Month +1.547%), 7/15/2035 | $ 19,903,300 |
38,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 37,332,561 | |
22,000,000 | 1 | JW Commercial Mortgage Trust 2 2024-MRCO, Class C, 7.710% (CME Term SOFR 1 Month +2.390%), 6/15/2039 | 21,890,064 |
18,000,000 | 1 | ORL Trust 2023-GLKS, Class A, 7.675% (CME Term SOFR 1 Month +2.350%), 10/15/2028 | 18,033,773 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $98,994,616) | 97,159,698 | ||
MORTGAGE-BACKED SECURITIES—1.7% | |||
Federal Home Loan Mortgage Corporation—0.8% | |||
24,664,281 | Federal Home Loan Mortgage Corp., Pool SD8431, 5.500%, 5/1/2054 | 24,329,769 | |
Federal National Mortgage Association—0.9% | |||
283,820 | Federal National Mortgage Association, Pool 728568, 6.500%, 10/1/2033 | 294,220 | |
24,725,250 | Federal National Mortgage Association, Pool DB0774, 6.000%, 3/1/2054 | 24,800,233 | |
TOTAL | 25,094,453 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $49,824,102) | 49,424,222 | ||
AGENCY RISK TRANSFER SECURITIES—0.8% | |||
12,000,000 | FNMA - CAS 2023-R05, Series 2023-R05, Class 1M2, 8.435% (30-DAY AVERAGE SOFR +3.100%), 6/25/2043 | 12,678,692 | |
11,000,000 | FNMA - CAS 2023-R08, Series 2023-R08, Class 1M2, 7.821% (30-DAY AVERAGE SOFR +2.500%), 10/25/2043 | 11,328,998 | |
TOTAL AGENCY RISK TRANSFER SECURITIES (IDENTIFIED COST $23,000,000) | 24,007,690 | ||
1 | ADJUSTABLE RATE MORTGAGES—0.0% | ||
Federal National Mortgage Association—0.0% | |||
259,533 | FNMA ARM, 4.414%, 8/1/2033 | 252,557 | |
13,546 | FNMA ARM, 4.859%, 4/1/2030 | 13,323 | |
241,053 | FNMA ARM, 4.976%, 7/1/2034 | 235,800 | |
29,161 | FNMA ARM, 6.514%, 5/1/2040 | 29,093 | |
TOTAL ADJUSTABLE RATE MORTGAGES (IDENTIFIED COST $550,388) | 530,773 | ||
INVESTMENT COMPANIES—7.2% | |||
2,327,873 | Bank Loan Core Fund | 20,322,334 | |
140,693,372 | Federated Hermes Government Obligations Fund, Premier Shares, 5.23%4 | 140,693,372 | |
7,962,618 | High Yield Bond Core Fund | 44,033,275 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $205,083,162) | 205,048,981 | ||
TOTAL INVESTMENT IN SECURITIES—99.7% (IDENTIFIED COST $2,877,581,213) | 2,854,537,112 | ||
OTHER ASSETS AND LIABILITIES - NET—0.3%5 | 7,509,238 | ||
TOTAL NET ASSETS—100% | $2,862,046,350 |
At June 30, 2024, the Fund had the following outstanding futures contracts:
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized (Depreciation) |
Short Futures: | ||||
United States Treasury Notes 5-Year Short Futures | 250 | $26,644,531 | September 2024 | $(106,031) |
The average notional value of short futures contracts held by the Fund throughout the period was $10,546,484. This is based on the contracts held as of each month-end throughout the nine-month fiscal period.
Net Unrealized Depreciation on Futures Contracts is included in “Other Assets and Liabilities—Net.”
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Transactions with affiliated investment companies, which are funds managed by the Adviser or an affiliate of the Adviser, during the period ended June 30, 2024, were as follows:
Affiliates | Value as of 9/30/2023 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 6/30/2024 | Shares Held as of 6/30/2024 | Dividend Income |
Bank Loan Core Fund | $13,509,767 | $20,666,218 | $(13,810,839) | $2,167,252 | $(2,210,064) | $20,322,334 | 2,327,873 | $670,743 |
Federated Hermes Government Obli- gations Fund, Premier Shares* | $5,112,500 | $566,791,564 | $(431,210,692) | $— | $— | $140,693,372 | 140,693,372 | $1,289,873 |
Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares | $96,509,951 | $1,241,371,856 | $(1,337,855,850) | $440 | $(26,397) | $— | — | $4,293,000 |
High Yield Bond Core Fund | $— | $44,021,075 | $— | $12,200 | $— | $44,033,275 | 7,962,618 | $1,286,857 |
TOTAL OF AFFILIATED TRANSAC- TIONS | $115,132,218 | $1,872,850,713 | $(1,782,877,381) | $2,179,892 | $(2,236,461) | $205,048,981 | 150,983,863 | $7,540,473 |
* | All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions. |
1 | 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. |
2 | 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 (“Valuation Committee”). |
3 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. As of June 30, 2024, securities subject to this type of arrangement and related collateral were as follows: |
Fair Value of Securities Loaned | Collateral Received |
$80,838,172 | $832,000 |
4 | 7-day net yield. |
5 | Assets, other than investments in securities, less liabilities. |
Note: The categories of investments are shown as a percentage of total net assets at June 30, 2024.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■ Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by Federated Investment Management Company (the “Adviser”).
■ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs, or NAV per share practical expedient, as applicable.
■ Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and ask quotations.
■ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Adviser.
■ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer’s financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.
If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Adviser’s valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion of the Adviser’s Valuation Committee, is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.
Fair Valuation and Significant Events Procedures
Pursuant to Rule 2a-5 under the Investment Company Act of 1940, the Fund’s Board of Directors (the “Directors”) has designated the Adviser as the Fund’s valuation designee to perform any fair value determinations for securities and other assets held by the Fund. The Adviser is subject to the Directors’ oversight and certain reporting and other requirements intended to provide the Directors the information needed to oversee the Adviser’s fair value determinations.
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The Adviser, acting through its Valuation Committee, is responsible for determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of the Adviser and certain of the Adviser’s affiliated companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is also authorized to use pricing services to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services’ policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Adviser. The Directors periodically review the fair valuations made by the Valuation Committee. The Directors have also approved the Adviser’s fair valuation and significant events procedures as part of the Fund’s compliance program and will review any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and ask for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Adviser.
The Adviser has also adopted procedures requiring an investment to be priced at its fair value whenever the Valuation Committee determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment’s value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
■ With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;
■ Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;
■ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer’s operations or regulatory changes or market developments affecting the issuer’s industry.
The Adviser has adopted procedures whereby the Valuation Committee uses a pricing service to provide factors to update the fair value of equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the pricing time of the Fund. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Valuation Committee will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Adviser. The Directors periodically review fair valuations made in response to significant events.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
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The following is a summary of the inputs used, as of June 30, 2024, 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: | ||||
Asset-Backed Securities | $— | $1,089,921,324 | $— | $1,089,921,324 |
Corporate Bonds | — | 703,035,967 | — | 703,035,967 |
Collateralized Mortgage Obligations | — | 485,834,507 | — | 485,834,507 |
U.S. Treasuries | — | 199,573,950 | — | 199,573,950 |
Commercial Mortgage-Backed Securities | — | 97,159,698 | — | 97,159,698 |
Mortgage-Backed Securities | — | 49,424,222 | — | 49,424,222 |
Agency Risk Transfer Securities | — | 24,007,690 | — | 24,007,690 |
Adjustable Rate Mortgages | — | 530,773 | — | 530,773 |
Investment Companies | 205,048,981 | — | — | 205,048,981 |
TOTAL SECURITIES | $205,048,981 | $2,649,488,131 | $— | $2,854,537,112 |
Other Financial Instruments:1 | ||||
Liabilities | $(106,031) | $— | $— | $(106,031) |
1 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
ARM | —Adjustable Rate Mortgage | |
BKNT | —Bank Notes | |
CAS | —Connecticut Avenue Securities | |
CMT | —Constant Maturity Treasury | |
FNMA | —Federal National Mortgage Association | |
GMTN | —Global Medium Term Note | |
MTN | —Medium Term Note | |
REMIC | —Real Estate Mortgage Investment Conduit | |
SOFR | —Secured Overnight Financing Rate |
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