United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-7115
(Investment Company Act File Number)
Federated Total Return Series, Inc.
______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End:09/30/20
Date of Reporting Period:Six months ended 03/31/20
Item 1. | Reports to Stockholders |
Share Class | Ticker | Institutional | FGFIX | Service | FGFSX |
Donahue
Type of Investments | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 48.3% |
Agency Risk Transfer Securities | 11.4% |
U.S. Treasuries | 11.1% |
Collateralized Mortgage Obligations | 7.4% |
Asset-Backed Securities | 4.4% |
Non-Agency Commercial Mortgage-Backed Securities | 2.6% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 0.7% |
U.S. Government Agency Adjustable Rate Mortgages | 0.3% |
Non-Agency Mortgage-Backed Securities | 0.2% |
Cash Equivalents2 | 12.4% |
Other Assets and Liabilities—Net3 | 1.2% |
TOTAL | 100.0% |
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 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
3 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—48.3% | |||
Federal Home Loan Mortgage Corporation—34.0% | |||
$4,951,299 | 2.500%, 1/1/2050 | $5,135,222 | |
4,000,000 | 2.500%, 4/1/2050 | 4,148,586 | |
3,183,294 | 3.500%, 10/1/2046 | 3,392,598 | |
43,529 | 5.500%, 10/1/2021 | 44,595 | |
4,800 | 6.000%, 7/1/2021 | 4,903 | |
29,456 | 7.500%, 1/1/2027 | 33,001 | |
1,490 | 7.500%, 1/1/2031 | 1,665 | |
2,435 | 7.500%, 1/1/2031 | 2,831 | |
2,230 | 7.500%, 1/1/2031 | 2,603 | |
68,316 | 7.500%, 2/1/2031 | 79,906 | |
29,008 | 7.500%, 2/1/2031 | 33,857 | |
TOTAL | 12,879,767 | ||
Federal National Mortgage Association—13.8% | |||
4,636,580 | 3.000%, 10/1/2046 | 4,878,320 | |
155 | 3.500%, 8/1/2020 | 155 | |
26,686 | 5.000%, 4/1/2036 | 29,730 | |
168,092 | 5.500%, 11/1/2035 | 190,611 | |
58,267 | 6.000%, 2/1/2026 | 64,819 | |
2,922 | 6.000%, 5/1/2036 | 3,397 | |
4,012 | 6.500%, 2/1/2031 | 4,590 | |
374 | 6.500%, 4/1/2031 | 426 | |
4,497 | 6.500%, 4/1/2031 | 5,136 | |
1,084 | 6.500%, 5/1/2030 | 1,224 | |
6,169 | 6.500%, 5/1/2031 | 7,040 | |
5,625 | 6.500%, 6/1/2031 | 6,418 | |
487 | 6.500%, 7/1/2029 | 553 | |
7,483 | 6.500%, 7/1/2031 | 8,603 | |
1,795 | 6.500%, 8/1/2031 | 2,027 | |
2,951 | 7.000%, 2/1/2030 | 3,378 | |
3,033 | 7.000%, 4/1/2029 | 3,474 | |
932 | 7.000%, 4/1/2029 | 1,068 | |
5,159 | 7.000%, 5/1/2029 | 5,885 | |
2,697 | 8.000%, 12/1/2026 | 3,037 | |
TOTAL | 5,219,891 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—0.5% | |||
$15,892 | 5.000%, 1/15/2023 | $16,266 | |
39,374 | 5.000%, 7/15/2023 | 41,013 | |
6,351 | 7.000%, 10/15/2028 | 7,189 | |
2,817 | 7.000%, 12/15/2028 | 3,145 | |
3,883 | 7.000%, 2/15/2029 | 4,312 | |
2,479 | 7.000%, 6/15/2029 | 2,822 | |
4,700 | 8.000%, 10/15/2030 | 5,442 | |
75,684 | 8.000%, 11/15/2030 | 87,716 | |
TOTAL | 167,905 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $17,592,993) | 18,267,563 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—7.6% | |||
Federal Home Loan Mortgage Corporation—7.3% | |||
2,803,008 | 1 | REMIC, Series 3114, Class PF, 1.104% (1-month USLIBOR +0.400%), 2/15/2036 | 2,775,445 |
Federal National Mortgage Association—0.1% | |||
32,171 | REMIC, Series 1999-13, Class PH, 6.000%, 4/25/2029 | 35,929 | |
Non-Agency Mortgage-Backed Securities—0.2% | |||
120,120 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 67,750 | |
6,523 | 2 | Lehman Structured Securities Corp. Mortgage 2002-GE1, Class A, 0.000%, 7/26/2024 | 3,963 |
TOTAL | 71,713 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $2,956,322) | 2,883,087 | ||
1 | ADJUSTABLE RATE MORTGAGES—0.3% | ||
Federal Home Loan Mortgage Corporation ARM—0.0% | |||
16,146 | 4.340%, 7/1/2035 | 16,933 | |
Federal National Mortgage Association ARM—0.3% | |||
50,153 | 3.800%, 2/1/2036 | 52,596 | |
60,200 | 4.097%, 7/1/2034 | 62,913 | |
TOTAL | 115,509 | ||
TOTAL ADJUSTABLE RATE MORTGAGES (IDENTIFIED COST $126,325) | 132,442 | ||
AGENCY RISK TRANSFER SECURITIES—11.4% | |||
726,195 | 1 | Connecticut Avenue Securities, Series 2014-C03, Class 1M2, 3.946% (1-month USLIBOR +3.000%), 7/25/2024 | 660,758 |
927,790 | 1 | FNMA—CAS 2016-C04, Series 2016-C04, Class 1M2, 5.196% (1-month USLIBOR +4.250%), 1/25/2029 | 890,605 |
Principal Amount or Shares | Value | ||
AGENCY RISK TRANSFER SECURITIES—continued | |||
$1,000,000 | 1 | FHLMC—STACR, Series 2015-DNA, Class M3, 4.846% (1-month USLIBOR +3.900%), 12/25/2027 | $980,018 |
1,000,000 | 1 | FHLMC—STACR, Series 2017DNA3, Class M2, 3.446% (1-month USLIBOR +2.500%), 3/25/2030 | 875,421 |
946,427 | Structured Agency Credit Risk Debt Note, Series 2013-DN2, Class M2, 4.423%, 11/25/2023 | 908,778 | |
TOTAL AGENCY RISK TRANSFER SECURITIES (IDENTIFIED COST $4,587,958) | 4,315,580 | ||
ASSET-BACKED SECURITIES—4.4% | |||
Auto Receivables—4.4% | |||
900,000 | Drive Auto Receivables Trust 2020-1, Class D, 2.700%, 5/17/2027 | 754,743 | |
945,000 | Santander Retail Auto Lease Trust 2020-A, Class D, 3.150%, 11/20/2024 | 905,645 | |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $1,844,604) | 1,660,388 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—3.3% | |||
Agency Commercial Mortgage-Backed Securities—0.7% | |||
320,000 | FREMF Mortgage Trust 2017-K67 REMIC, Class B, 3.944%, 9/25/2049 | 268,381 | |
Non-Agency Commercial Mortgage-Backed Securities—2.6% | |||
1,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 968,105 | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $1,370,392) | 1,236,486 | ||
U.S. TREASURIES—11.1% | |||
U.S. Treasury Bonds—5.8% | |||
1,750,000 | United States Treasury Bond, 2.375%, 11/15/2049 | 2,182,237 | |
U.S. Treasury Notes—5.3% | |||
2,000,000 | United States Treasury Note, 0.375%, 3/31/2022 | 2,005,564 | |
TOTAL U.S. TREASURIES (IDENTIFIED COST $3,831,066) | 4,187,801 | ||
INVESTMENT COMPANY—12.4% | |||
4,681,976 | Federated Government Obligations Fund, Premier Shares, 0.37%3 (IDENTIFIED COST $4,681,976) | 4,681,976 | |
TOTAL INVESTMENT IN SECURITIES-98.8% (IDENTIFIED COST $36,991,636)4 | 37,365,323 | ||
OTHER ASSETS AND LIABILITIES - NET—1.2%5 | 467,887 | ||
TOTAL NET ASSETS—100% | $37,833,210 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
2United States Treasury Long Bond Long Futures | 20 | $3,581,250 | June 2020 | $131,923 |
2United States Treasury Notes 5-Year Long Futures | 43 | $5,390,453 | June 2020 | $143,028 |
2United States Treasury Notes 10-Year Long Futures | 20 | $2,773,750 | June 2020 | $(4,732) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $270,219 |
Credit Default Swap | |||||||||
Counterparty | Reference Entity | Buy/ Sell | Pay/ Receive Fixed Rate | Expiration Date | Implied Credit Spread at 3/31/20206 | Notional Amount | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) |
OTC Swaps: | |||||||||
Goldman Sachs & Co. | CMBX.NA. BBB-.13 N.A | Buy | 3.00% | 12/16/2072 | 9.74% | $3,500,000 | $(1,368,891) | $(1,429,377) | $60,486 |
Morgan Stanley & Co. LLC | CMBX.NA. BBB-.11 | Buy | 3.00% | 11/18/2054 | 10.13% | $3,500,000 | $(1,116,576) | $(98,438) | $(1,018,138) |
TOTAL CREDIT DEFAULT SWAPS | $(2,485,467) | $(1,527,815) | $(957,652) |
Federated Government Obligations Fund, Premier Shares | |
Balance of Shares Held 9/30/2019 | 10,735,789 |
Purchases/Additions | 36,673,694 |
Sales/Reductions | (42,727,507) |
Balance of Shares Held 3/31/2020 | 4,681,976 |
Value | $4,681,976 |
Change in Unrealized Appreciation/Depreciation | N/A |
Net Realized Gain/(Loss) | N/A |
Dividend Income | $37,690 |
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 | Non-income-producing security. |
3 | 7-day net yield. |
4 | Also represents cost for federal tax purposes. |
5 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
6 | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Mortgage-Backed Securities | $— | $18,267,563 | $— | $18,267,563 |
Collateralized Mortgage Obligations | — | 2,883,087 | — | 2,883,087 |
Adjustable Rate Mortgages | — | 132,442 | — | 132,442 |
Agency Risk Transfer Securities | — | 4,315,580 | — | 4,315,580 |
Asset-Backed Security | — | 1,660,388 | — | 1,660,388 |
Commercial Mortgage-Backed Securities | — | 1,236,486 | — | 1,236,486 |
U.S. Treasuries | — | 4,187,801 | — | 4,187,801 |
Investment Company | 4,681,976 | — | — | 4,681,976 |
TOTAL SECURITIES | $4,681,976 | $32,683,347 | $— | $37,365,323 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $274,951 | $— | $— | $274,951 |
Swaps Contracts | — | — | — | — |
Liabilities | ||||
Futures Contracts | (4,732) | — | — | (4,732) |
Swaps Contracts | — | (2,485,467) | — | (2,485,467) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $270,219 | $(2,485,467) | $— | $(2,215,248) |
ARM | —Adjustable Rate Mortgage |
CAS | —Connecticut Avenue Securities |
FREMF | —Freddie Mac Multifamily K-Deals |
FHLMC | —Federal Home Loan Mortgage Corporation |
FNMA | —Federal National Mortgage Association |
LIBOR | —London Interbank Offered Rate |
REMIC | —Real Estate Mortgage Investment Conduit |
STACR | —Structured Agency Credit Risk |
Six Months Ended (unaudited) 3/31/2020 | Year Ended September 30, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $9.63 | $9.25 | $9.59 | $9.82 | $9.71 | $9.65 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.11 | 0.26 | 0.25 | 0.21 | 0.28 | 0.27 |
Net realized and unrealized gain (loss) | (0.33) | 0.39 | (0.33) | (0.19) | 0.11 | 0.06 |
TOTAL FROM INVESTMENT OPERATIONS | (0.22) | 0.65 | (0.08) | 0.02 | 0.39 | 0.33 |
Less Distributions: | ||||||
Distributions from net investment income | (0.14) | (0.27) | (0.26) | (0.25) | (0.28) | (0.27) |
Net Asset Value, End of Period | $9.27 | $9.63 | $9.25 | $9.59 | $9.82 | $9.71 |
Total Return1 | (2.36)% | 7.14% | (0.89)% | 0.20% | 4.04% | 3.46% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.39%2 | 0.50% | 0.51% | 0.50% | 0.49% | 0.49% |
Net investment income | 2.35%2 | 2.75% | 2.63% | 2.21% | 2.52% | 2.71% |
Expense waiver/reimbursement3 | 0.68%2 | 0.48% | 0.24% | 0.20% | 0.18% | 0.16% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $33,024 | $44,841 | $90,789 | $121,240 | $150,636 | $132,127 |
Portfolio turnover | 237% | 391%4 | 72% | 277% | 248% | 71% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 148% | 186% | 18% | 63% | 57% | 62% |
1 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
2 | Computed on an annualized basis. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
4 | The portfolio turnover rate was higher from the prior year as a result of significant client activity and asset reduction. |
Six Months Ended (unaudited) 3/31/2020 | Year Ended September 30, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $9.63 | $9.25 | $9.59 | $9.81 | $9.71 | $9.65 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.10 | 0.23 | 0.22 | 0.18 | 0.25 | 0.24 |
Net realized and unrealized gain (loss) | (0.35) | 0.39 | (0.33) | (0.18) | 0.10 | 0.06 |
TOTAL FROM INVESTMENT OPERATIONS | (0.25) | 0.62 | (0.11) | 0.00 | 0.35 | 0.30 |
Less Distributions: | ||||||
Distributions from net investment income | (0.12) | (0.24) | (0.23) | (0.22) | (0.25) | (0.24) |
Net Asset Value, End of Period | $9.26 | $9.63 | $9.25 | $9.59 | $9.81 | $9.71 |
Total Return1 | (2.61)% | 6.82% | (1.19)% | 0.00%2 | 3.62% | 3.15% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.69%3 | 0.80% | 0.81% | 0.81% | 0.79% | 0.79% |
Net investment income | 2.14%3 | 2.46% | 2.33% | 1.91% | 2.25% | 2.38% |
Expense waiver/reimbursement4 | 0.89%3 | 0.69% | 0.44% | 0.40% | 0.38% | 0.34% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $4,809 | $4,540 | $7,143 | $11,269 | $15,236 | $17,893 |
Portfolio turnover | 237% | 391%5 | 72% | 277% | 248% | 71% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 148% | 186% | 18% | 63% | 57% | 62% |
1 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
2 | Represents less than 0.01%. |
3 | Computed on an annualized basis. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
5 | The portfolio turnover rate was higher from the prior year as a result of significant client activity and asset reduction. |
Assets: | ||
Investment in securities, at value including $4,681,976 of investment in an affiliated holding* (identified cost $36,991,636) | $37,365,323 | |
Due from broker (Note 2) | 1,601,775 | |
Income receivable | 99,349 | |
Income receivable from affiliated holdings* | 1,402 | |
Receivable for investments sold | 7,859,718 | |
Receivable for shares sold | 703 | |
Receivable for periodic payments from swap contracts | 16,479 | |
TOTAL ASSETS | 46,944,749 | |
Liabilities: | ||
Payable for investments purchased | $6,360,372 | |
Payable for shares redeemed | 152,946 | |
Payable for variation margin on futures contracts | 76,835 | |
Income distribution payable | 24,446 | |
Swaps, at value (premium received $1,527,815) | 2,485,467 | |
Payable to adviser (Note 5) | 314 | |
Payable for administrative fees (Note 5) | 81 | |
Payable for distribution services fee (Note 5) | 215 | |
Payable for other service fees (Notes 2 and 5) | 1,043 | |
Accrued expenses (Note 5) | 9,820 | |
TOTAL LIABILITIES | 9,111,539 | |
Net assets for 4,082,854 shares outstanding | $37,833,210 | |
Net Assets Consist of: | ||
Paid-in capital | $41,466,593 | |
Total distributable earnings (loss) | (3,633,383) | |
TOTAL NET ASSETS | $37,833,210 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Institutional Shares: | ||
Net asset value per share ($33,024,191 ÷ 3,563,653 shares outstanding), no par value, 1,000,000,000 shares authorized | $9.27 | |
Service Shares: | ||
Net asset value per share ($4,809,019 ÷ 519,201 shares outstanding), no par value, 1,000,000,000 shares authorized | $9.26 |
* | See information listed after the Fund's Portfolio of Investments |
Investment Income: | |||
Interest | $617,710 | ||
Dividends received from an affiliated holding* | 37,690 | ||
TOTAL INCOME | $655,400 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $95,192 | ||
Administrative fee (Note 5) | 18,828 | ||
Custodian fees | 5,470 | ||
Transfer agent fee | 15,487 | ||
Directors'/Trustees' fees (Note 5) | 1,320 | ||
Auditing fees | 12,159 | ||
Legal fees | 4,352 | ||
Portfolio accounting fees | 56,010 | ||
Distribution services fee (Note 5) | 5,715 | ||
Other service fees (Notes 2 and 5) | 5,691 | ||
Share registration costs | 25,165 | ||
Printing and postage | 10,216 | ||
Taxes | 49 | ||
Miscellaneous (Note 5) | 11,990 | ||
TOTAL EXPENSES | 267,644 | ||
Waivers and Reimbursements: | |||
Waiver/reimbursement of investment adviser fee (Note 5) | $(95,192) | ||
Waiver/reimbursement of other operating expenses (Notes 2 and 5) | (72,095) | ||
TOTAL WAIVERS AND REIMBURSEMENTS | (167,287) | ||
Net expenses | 100,357 | ||
Net investment income | 555,043 | ||
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts and Swap Contracts: | |||
Net realized gain on investments | 985,989 | ||
Net realized gain on futures contracts | 686,541 | ||
Net realized loss on swap contracts | (2,256,299) | ||
Net change in unrealized appreciation of investments | (556,697) | ||
Net change in unrealized appreciation of futures contracts | 270,219 | ||
Net change in unrealized appreciation of swap contracts | (957,652) | ||
Net realized and unrealized loss on investments, futures contracts and swap contracts | (1,827,899) | ||
Change in net assets resulting from operations | $(1,272,856) |
* | See information listed after the Fund's Portfolio of Investments |
Six Months Ended (unaudited) 3/31/2020 | Year Ended 9/30/2019 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $555,043 | $1,558,153 |
Net realized loss | (583,769) | (1,292,326) |
Net change in unrealized appreciation/depreciation | (1,244,130) | 3,163,981 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (1,272,856) | 3,429,808 |
Distributions to Shareholders: | ||
Institutional Shares | (612,963) | (1,493,391) |
Service Shares | (58,359) | (137,238) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (671,322) | (1,630,629) |
Share Transactions: | ||
Proceeds from sale of shares | 7,168,118 | 15,883,707 |
Net asset value of shares issued to shareholders in payment of distributions declared | 457,128 | 966,948 |
Cost of shares redeemed | (17,228,756) | (67,201,018) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (9,603,510) | (50,350,363) |
Change in net assets | (11,547,688) | (48,551,184) |
Net Assets: | ||
Beginning of period | 49,380,898 | 97,932,082 |
End of period | $37,833,210 | $49,380,898 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Directors (the “Directors”). |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Directors. |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Directors, 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. |
Other Service Fees Incurred | |
Service Shares | $5,691 |
Fair Value of Derivative Instruments | ||||
Asset | Liability | |||
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 | $(270,219)* | |
Credit contracts | $— | Swaps, at value | $2,485,467 | |
Total derivatives not accounted for as Hedging instruments under ASC Topic 815 | $— | $2,215,248 |
* | Includes cumulative appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day's variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||
Futures Contracts | Credit Default Swaps | Purchased Option Contracts1 | Total | |
Interest rate contracts | $686,541 | $— | $135,195 | $821,736 |
Credit contracts | — | (2,256,299) | — | (2,256,299) |
TOTAL | $686,541 | $(2,256,299) | $135,195 | $(1,434,563) |
1 | The net realized gain (loss) on Purchased Options is found within the Net realized gain on investments on the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||
Futures Contracts | Credit Default Swaps | Total | |
Interest rate contracts | $270,219 | $— | $270,219 |
Credit contracts | — | (957,652) | (957,652) |
TOTAL | $270,219 | $(957,652) | $(687,433) |
Six Months Ended 3/31/2020 | Year Ended 9/30/2019 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 649,899 | $6,355,293 | 1,668,175 | $15,698,065 |
Shares issued to shareholders in payment of distributions declared | 43,671 | 421,225 | 92,825 | 876,794 |
Shares redeemed | (1,784,504) | (16,858,020) | (6,920,526) | (64,118,464) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | (1,090,934) | $(10,081,502) | (5,159,526) | $(47,543,605) |
Six Months Ended 3/31/2020 | Year Ended 9/30/2019 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 83,047 | $812,825 | 19,725 | $185,642 |
Shares issued to shareholders in payment of distributions declared | 3,726 | 35,903 | 9,555 | 90,154 |
Shares redeemed | (38,957) | (370,736) | (330,293) | (3,082,554) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 47,816 | $477,992 | (301,013) | $(2,806,758) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (1,043,118) | $(9,603,510) | (5,460,539) | $(50,350,363) |
Short-Term | Long-Term | Total |
$1,573,095 | $1,568,323 | $3,141,418 |
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 | Distribution Services Fees Waived | |
Service Shares | $5,715 | $(4,547) |
Purchases | $11,152,270 |
Sales | $11,775,652 |
Beginning Account Value 10/1/2019 | Ending Account Value 3/31/2020 | Expenses Paid During Period1 | |
Actual: | |||
Institutional Shares | $1,000 | $976.40 | $1.932 |
Service Shares | $1,000 | $973.90 | $3.40 |
Hypothetical (assuming a 5% return before expenses): | |||
Institutional Shares | $1,000 | $1,023.10 | $1.972 |
Service Shares | $1,000 | $1,021.60 | $3.49 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Institutional Shares | 0.39% |
Service Shares | 0.69% |
2 | Actual and Hypothetical expenses paid during the period utilizing the Fund's Institutional Shares current Fee Limit of 0.33% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 183/366 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $1.63 and $1.67, respectively. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31428Q804
Share Class | Ticker | A | FULAX | Institutional | FULIX | Service | FULBX | R6 | FULLX |
Donahue
Security Type | Percentage of Total Net Assets2 |
Asset-Backed Securities | 56.0% |
Corporate Debt Securities | 35.3% |
Non-Agency Mortgage | 2.3% |
Collateralized Mortgage Obligations | 1.0% |
Commercial Paper | 0.7% |
Commercial Mortgage-Backed Securities | 3.3% |
Municipal Bond | 0.3% |
Mortgage-Backed Security3,4 | 0.0% |
Adjustable Rate Securities4 | 0.0% |
Securities Lending Collateral4,5 | 0.0% |
Derivative Contracts4,6 | 0.0% |
High Yield Bond Portfolio | 0.7% |
Federated Bank Loan Core Fund | 0.9% |
Federated Project and Trade Finance Core Fund | 0.2% |
Other Assets and Liabilities—Net7 | (0.7)% |
TOTAL | 100.0% |
1 | See the Fund's Prospectus and Statement of Additional Information for a description of these security types. |
2 | As of the date specified above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, the affiliated investment company (other than an affiliated money market mutual fund) in which the Fund invested less than 10% of its net assets is listed individually in the table. |
3 | For purposes of this table, Mortgage-Backed Securities may include mortgage-backed securities guaranteed by Government Sponsored Entities and adjustable rate mortgage-backed securities. |
4 | Represents less than 0.1%. |
5 | 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. |
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 or Shares | Value | ||
1 | ADJUSTABLE RATE MORTGAGES—0.0% | ||
Federal National Mortgage Association—0.0% | |||
$753,893 | FNMA ARM, 2.285%, 8/1/2033 | $748,835 | |
693,353 | FNMA ARM, 2.980%, 7/1/2034 | 691,415 | |
46,036 | FNMA ARM, 3.018%, 4/1/2030 | 45,589 | |
104,135 | FNMA ARM, 3.453%, 5/1/2040 | 105,842 | |
TOTAL ADJUSTABLE RATE MORTGAGES (IDENTIFIED COST $1,618,271) | 1,591,681 | ||
ASSET-BACKED SECURITIES—56.0% | |||
Auto Receivables—27.1% | |||
334,873 | ARI Fleet Lease Trust 2017-A, Class A2, 1.910%, 4/15/2026 | 330,297 | |
3,505,000 | ARI Fleet Lease Trust 2017-A, Class A3, 2.280%, 4/15/2026 | 3,462,005 | |
3,747,926 | ARI Fleet Lease Trust 2018-A, Class A2, 2.550%, 10/15/2026 | 3,703,893 | |
6,100,000 | ARI Fleet Lease Trust 2019-A, Class A2A, 2.410%, 11/15/2027 | 6,024,206 | |
12,000,000 | AmeriCredit Automobile Receivables Trust 2016-1, Class D, 3.590%, 2/8/2022 | 12,013,064 | |
15,000,000 | AmeriCredit Automobile Receivables Trust 2017-2, Class D, 3.420%, 4/18/2023 | 15,097,794 | |
13,000,000 | AmeriCredit Automobile Receivables Trust 2017-3, Class D, 3.180%, 7/18/2023 | 13,081,436 | |
2,899,218 | AmeriCredit Automobile Receivables Trust 2018-1, Class A3, 3.070%, 12/19/2022 | 2,858,931 | |
14,745,000 | 1 | BMW Floorplan Master Owner Trust 2018-1, Class A2, 1.024% (1-month USLIBOR +0.320%), 5/15/2023 | 14,329,986 |
2,333,150 | BMW Vehicle Lease Trust 2017-2, Class A4, 2.190%, 3/22/2021 | 2,337,213 | |
7,300,000 | BMW Vehicle Lease Trust 2019-1, Class A4, 2.920%, 8/22/2022 | 7,391,136 | |
5,000,000 | California Republic Auto Receivables Trust 2016-2, Class B, 2.520%, 5/16/2022 | 4,902,440 | |
2,400,000 | California Republic Auto Receivables Trust 2016-2, Class C, 3.510%, 3/15/2023 | 2,354,132 | |
845,843 | Canadian Pacer Auto Receivable 2017-1A, Class A3, 2.050%, 3/19/2021 | 847,315 | |
2,435,000 | Canadian Pacer Auto Receivable 2017-1A, Class A4, 2.286%, 1/19/2022 | 2,378,518 | |
1,718,997 | Canadian Pacer Auto Receivable 2018-1A, Class A3, 3.000%, 11/19/2021 | 1,683,166 | |
6,100,000 | Canadian Pacer Auto Receivable 2018-1A, Class B, 3.470%, 2/19/2023 | 6,063,963 | |
2,500,000 | Canadian Pacer Auto Receivable 2020-1A, Class A3, 1.830%, 7/19/2024 | 2,488,346 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Auto Receivables—continued | |||
$1,385,315 | Capital One Prime Auto Receivables Trust 2019-1, Class A2, 2.580%, 4/15/2022 | $1,384,457 | |
7,000,000 | Capital One Prime Auto Receivables Trust 2019-1, Class A4, 2.560%, 10/15/2024 | 7,106,945 | |
14,650,000 | Capital One Prime Auto Receivables Trust 2020-1, Class A2, 1.640%, 6/15/2023 | 14,543,448 | |
490,358 | 1 | Chesapeake Funding II LLC 2017-2A, Class A2, 1.154% (1-month USLIBOR +0.450%), 5/15/2029 | 477,587 |
3,397,479 | 1 | Chesapeake Funding II LLC 2017-4A, Class A2, 1.044% (1-month USLIBOR +0.340%), 11/15/2029 | 3,335,475 |
4,000,000 | Chesapeake Funding II LLC 2017-4A, Class B, 2.590%, 11/15/2029 | 3,949,781 | |
3,660,000 | Chesapeake Funding II LLC 2017-4A, Class C, 2.760%, 11/15/2029 | 3,617,687 | |
2,750,000 | Chesapeake Funding II LLC 2017-4A, Class D, 3.260%, 11/15/2029 | 2,741,530 | |
6,326,294 | 1 | Chesapeake Funding II LLC 2018-1A, Class A2, 1.154% (1-month USLIBOR +0.450%), 4/15/2030 | 6,157,093 |
9,651,658 | 1 | Chesapeake Funding II LLC 2018-2A, Class A2, 1.074% (1-month USLIBOR +0.370%), 8/15/2030 | 9,482,046 |
5,525,000 | Chesapeake Funding II LLC 2018-2A, Class B, 3.520%, 8/15/2030 | 5,712,618 | |
7,000,000 | Chesapeake Funding II LLC 2018-2A, Class C, 3.720%, 8/15/2030 | 7,282,122 | |
4,000,000 | Chesapeake Funding II LLC 2018-2A, Class D, 4.060%, 8/15/2030 | 4,170,207 | |
6,200,000 | Chesapeake Funding II LLC 2019-1A, Class B, 3.110%, 4/15/2031 | 6,340,229 | |
3,800,000 | Chesapeake Funding II LLC 2019-1A, Class C, 3.360%, 4/15/2031 | 3,944,462 | |
4,000,000 | Chesapeake Funding II LLC 2019-1A, Class D, 3.800%, 4/15/2031 | 4,156,447 | |
2,107,361 | 1 | Chesapeake Funding LLC 2017-3A, Class A2, 1.044% (1-month USLIBOR +0.340%), 8/15/2029 | 2,053,023 |
3,900,000 | Chesapeake Funding LLC 2017-3A, Class B, 2.570%, 8/15/2029 | 3,829,993 | |
2,300,000 | Chesapeake Funding LLC 2017-3A, Class C, 2.780%, 8/15/2029 | 2,260,595 | |
5,100,000 | Chesapeake Funding LLC 2017-3A, Class D, 3.380%, 8/15/2029 | 5,037,219 | |
6,000,000 | Daimler Trucks Retail Trust 2020-1, Class A3, 1.220%, 9/15/2023 | 5,857,827 | |
12,053,201 | Drive Auto Receivables Trust 2019-1, Class A3, 3.180%, 10/17/2022 | 12,101,757 | |
9,500,000 | Drive Auto Receivables Trust 2019-2, Class B, 3.170%, 11/15/2023 | 9,339,302 | |
5,000,000 | Drive Auto Receivables Trust 2019-4, Class A3, 2.160%, 5/15/2023 | 4,971,141 | |
8,600,000 | Drive Auto Receivables Trust 2020-1, Class D, 2.700%, 5/17/2027 | 7,211,989 | |
6,349,238 | Enterprise Fleet Financing LLC 2018-1, Class A2, 2.870%, 10/20/2023 | 6,204,218 | |
9,129,222 | Enterprise Fleet Financing LLC 2018-2 A2, Class A2, 3.140%, 2/20/2024 | 8,988,484 | |
7,217,041 | Enterprise Fleet Financing LLC 2019-1, Class A2, 2.980%, 10/20/2024 | 7,223,629 | |
8,475,000 | Enterprise Fleet Financing LLC 2019-2, Class A2, 2.290%, 2/20/2025 | 8,454,316 | |
2,000,000 | Enterprise Fleet Financing LLC 2019-2, Class A3, 2.380%, 2/20/2025 | 2,005,150 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Auto Receivables—continued | |||
$6,500,000 | Enterprise Fleet Financing LLC 2019-3, Class A2, 2.060%, 5/20/2025 | $6,250,184 | |
5,200,000 | Enterprise Fleet Financing LLC 2020-1, Class A2, 1.780%, 12/22/2025 | 5,170,656 | |
1,599,782 | Fifth Third Auto Trust 2019-1, Class A2A, 2.660%, 5/16/2022 | 1,607,005 | |
15,000,000 | Ford Credit Auto Lease Trust 2018-B, Class B, 3.490%, 3/15/2022 | 14,717,479 | |
10,000,000 | Ford Credit Auto Lease Trust 2019-A, Class B, 3.250%, 7/15/2022 | 9,812,280 | |
7,000,000 | Ford Credit Auto Lease Trust 2020-A, Class B, 2.050%, 6/15/2023 | 6,819,313 | |
1,313,892 | Ford Credit Auto Owner Trust 2017-C, Class A3, 2.010%, 3/15/2022 | 1,302,244 | |
6,600,000 | Ford Credit Auto Owner Trust 2019-B, Class B, 2.400%, 11/15/2024 | 6,550,477 | |
5,000,000 | Ford Credit Auto Owner Trust 2019-B, Class C, 2.580%, 12/15/2025 | 4,962,512 | |
5,850,000 | Ford Credit Auto Owner Trust 2019-C, Class C, 2.250%, 5/15/2026 | 5,688,493 | |
14,100,000 | Ford Credit Floorplan Master Owner Trust 2019-1, Class B, 3.040%, 3/15/2024 | 13,843,418 | |
7,300,000 | GM Financial Automobile Leasing Trust 2017-3, Class C, 2.730%, 9/20/2021 | 7,300,365 | |
6,550,000 | GM Financial Automobile Leasing Trust 2019-3, Class A4, 2.030%, 7/20/2023 | 6,401,521 | |
6,000,000 | 1 | GM Financial Automobile Leasing Trust 2020-1, Class A2B, 0.912% (1-month USLIBOR +0.140%), 4/20/2022 | 5,976,895 |
7,000,000 | GM Financial Automobile Leasing Trust 2020-1, Class D, 2.280%, 6/20/2024 | 6,252,747 | |
3,000,000 | GM Financial Consumer Automobile Receivables Trust 2017-1A, Class B, 2.300%, 6/16/2023 | 3,023,932 | |
2,227,086 | GM Financial Consumer Automobile Receivables Trust 2017-3A, Class A3, 1.970%, 5/16/2022 | 2,222,273 | |
4,250,000 | GM Financial Securitized Term 2018-1, Class B, 2.570%, 7/17/2023 | 4,228,356 | |
267,019 | 1 | GM Financial Securitized Term 2018-3, Class A2B, 0.814% (1-month USLIBOR +0.110%), 7/16/2021 | 267,486 |
3,275,000 | GM Financial Securitized Term 2018-4, Class C, 3.620%, 6/17/2024 | 3,170,709 | |
3,774,731 | GM Financial Securitized Term 2019-1, Class A2, 2.990%, 3/16/2022 | 3,750,652 | |
1,852,805 | GM Financial Securitized Term 2019-2, Class A2A, 2.660%, 6/16/2022 | 1,847,712 | |
9,000,000 | GM Financial Securitized Term 2019-3, Class C, 2.620%, 1/16/2025 | 8,238,628 | |
3,340,000 | General Motors 2019-1, Class C, 3.060%, 4/15/2024 | 3,081,904 | |
10,800,000 | Great America Leasing Receivables 2020-1, Class B, 2.000%, 2/16/2026 | 10,783,798 | |
2,000,000 | Harley-Davidson Motorcycle Trust 2016-A, Class B, 2.710%, 3/15/2024 | 2,000,100 | |
11,800,000 | Harley-Davidson Motorcycle Trust 2019-A, Class A3, 2.340%, 2/15/2024 | 11,721,483 | |
5,560,000 | Harley-Davidson Motorcycle Trust 2019-A, Class A4, 2.390%, 11/15/2026 | 5,625,271 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Auto Receivables—continued | |||
$7,299,062 | Honda Auto Receivables Owner Trust 2018-2, Class A3, 3.010%, 5/18/2022 | $7,280,289 | |
6,500,000 | Honda Auto Receivables Owner Trust 2019-1, Class A4, 2.900%, 6/18/2024 | 6,433,961 | |
5,000,000 | Honda Auto Receivables Owner Trust 2019-2, Class A3, 2.520%, 6/21/2023 | 4,968,129 | |
8,000,000 | Huntington Auto Trust 2016-1, Class D, 2.960%, 8/15/2023 | 7,887,744 | |
6,800,000 | Hyundai Auto Lease Securitization Trust 2017-C, Class B, 2.460%, 7/15/2022 | 6,784,411 | |
11,119,766 | Hyundai Auto Lease Securitization Trust 2018-B, Class A3, 3.040%, 10/15/2021 | 11,089,523 | |
10,000,000 | Hyundai Auto Lease Securitization Trust 2019-A, Class B, 3.250%, 10/16/2023 | 9,776,100 | |
3,375,000 | Hyundai Auto Lease Securitization Trust 2020-A, Class B, 2.810%, 5/15/2024 | 3,183,193 | |
9,500,000 | Hyundai Auto Receivables Trust 2017-B, Class C, 2.440%, 5/15/2024 | 9,659,939 | |
886,620 | Hyundai Auto Receivables Trust 2019-A, Class A2, 2.670%, 12/15/2021 | 879,842 | |
16,000,000 | Hyundai Auto Receivables Trust 2019-A, Class C, 3.030%, 11/17/2025 | 15,650,395 | |
2,750,000 | Hyundai Auto Receivables Trust 2019-B, Class B, 2.210%, 4/15/2025 | 2,781,690 | |
4,000,000 | Hyundai Auto Receivables Trust 2019-B, Class C, 2.400%, 6/15/2026 | 4,049,307 | |
7,000,000 | Mercedes-Benz Auto Lease Trust 2018-A, Class A4, 2.510%, 10/16/2023 | 7,014,099 | |
6,250,000 | Mercedes-Benz Auto Lease Trust 2019-A, Class A3, 3.100%, 11/15/2021 | 6,193,015 | |
4,300,000 | Mercedes-Benz Auto Lease Trust 2019-A, Class A4, 3.250%, 10/15/2024 | 4,354,259 | |
11,100,000 | Mercedes-Benz Auto Lease Trust 2019-B, Class A4, 2.050%, 8/15/2025 | 10,805,725 | |
1,705 | Mercedes-Benz Auto Receivables Trust 2018-1, Class A2A, 2.710%, 4/15/2021 | 1,705 | |
16,200,000 | 1 | Mercedes-Benz Master Owner Trust 2018-AA, Class A, 0.964% (1-month USLIBOR +0.260%), 5/16/2022 | 16,161,130 |
1,950,000 | 1 | Motor PLC 2017-1A, Class A1, 1.476% (1-month USLIBOR +0.530%), 9/25/2024 | 1,945,142 |
18,785,000 | 1 | Navistar Financial Dealer Note Master Trust 2018-1, Class A, 1.576% (1-month USLIBOR +0.630%), 9/25/2023 | 18,045,002 |
8,510,000 | 1 | Navistar Financial Dealer Note Master Trust 2019-1, Class A, 1.586% (1-month USLIBOR +0.640%), 5/25/2024 | 8,382,587 |
2,625,000 | 1 | Navistar Financial Dealer Note Master Trust 2019-1, Class C, 1.896% (1-month USLIBOR +0.950%), 5/25/2024 | 2,581,965 |
10,000,000 | 1 | Nextgear Floorplan Master Owner Trust 2017-1A, Class A1, 1.554% (1-month USLIBOR +0.850%), 4/18/2022 | 10,017,500 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Auto Receivables—continued | |||
$5,000,000 | 1 | Nextgear Floorplan Master Owner Trust 2017-2A, Class A1, 1.384% (1-month USLIBOR +0.680%), 10/17/2022 | $4,748,828 |
7,000,000 | Nextgear Floorplan Master Owner Trust 2017-2A, Class B, 3.020%, 10/17/2022 | 6,933,867 | |
17,500,000 | 1 | Nextgear Floorplan Master Owner Trust 2018-1A, Class A1, 1.344% (1-month USLIBOR +0.640%), 2/15/2023 | 16,356,170 |
5,330,000 | 1 | Nextgear Floorplan Master Owner Trust 2018-2A, Class A1, 1.304% (1-month USLIBOR +0.600%), 10/15/2023 | 5,241,264 |
33,000,000 | Nextgear Floorplan Master Owner Trust 2019-1A, Class B, 3.460%, 2/15/2024 | 33,529,831 | |
18,000,000 | NextGear Floorplan Master Owner Trust 2019-2A, Class B, 2.300%, 10/15/2024 | 17,801,492 | |
3,000,000 | NextGear Floorplan Master Owner Trust 2020-1A, Class B, 2.650%, 2/18/2025 | 2,956,071 | |
477,370 | Nissan Auto Lease Trust 2017-B, Class A4, 2.170%, 12/15/2021 | 477,394 | |
1,482,143 | Nissan Auto Receivables Owner 2016-B, Class A4, 1.540%, 10/17/2022 | 1,455,644 | |
1,497,072 | Nissan Auto Receivables Owner Trust 2019-A, Class A2A, 2.820%, 1/18/2022 | 1,482,917 | |
20,000,000 | 1 | Nissan Master Owner Trust Receivables 2019-B, Class A, 1.134% (1-month USLIBOR +0.430%), 11/15/2023 | 19,047,934 |
5,535,457 | Santander Drive Auto Receivables Trust 2016-2, Class D, 3.390%, 4/15/2022 | 5,484,334 | |
4,551,697 | Santander Drive Auto Receivables Trust 2017-3, Class C, 2.760%, 12/15/2022 | 4,504,510 | |
9,300,000 | Santander Drive Auto Receivables Trust 2019-2, Class C, 2.900%, 10/15/2024 | 9,395,992 | |
15,500,000 | Santander Drive Auto Receivables Trust 2019-3, Class D, 3.280%, 10/15/2025 | 15,548,892 | |
12,000,000 | Santander Retail Auto Lease Trust 2019-A, Class D, 3.660%, 5/20/2024 | 11,754,031 | |
15,600,000 | Santander Retail Auto Lease Trust 2019-B, Class C, 2.770%, 8/21/2023 | 15,310,469 | |
21,364,000 | 1 | Santander Retail Auto Lease Trust 2019-C, Class A2B, 1.112% (1-month USLIBOR +0.340%), 9/20/2022 | 21,012,148 |
5,260,000 | Santander Retail Auto Lease Trust 2020-A, Class D, 3.150%, 11/20/2024 | 5,040,946 | |
3,308,565 | Securitized Term Auto Receivables Trust 2017-1A, Class A4, 2.209%, 6/25/2021 | 3,248,257 | |
1,177,762 | Securitized Term Auto Receivables Trust 2017-2A, Class A3, 2.040%, 4/26/2021 | 1,152,529 | |
734,277 | 1 | Securitized Term Auto Receivables Trust 2018-2A, Class A2B, 1.156% (1-month USLIBOR +0.210%), 2/25/2021 | 735,562 |
6,500,000 | Securitized Term Auto Receivables Trust 2019-1A, Class A3, 2.986%, 2/27/2023 | 6,371,340 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Auto Receivables—continued | |||
$22,000,000 | Securitized Term Auto Receivables Trust 2019-1A, Class A4, 3.141%, 11/27/2023 | $21,637,411 | |
16,760,000 | Tesla Auto Lease Trust 2019-A, Class A4, 2.590%, 11/21/2022 | 16,807,228 | |
10,450,000 | Toyota Auto Loan Extended Note 2019-1A, Class A, 2.560%, 11/25/2031 | 10,617,055 | |
5,000,000 | Toyota Auto Receivables Owner 2019-B, Class A3, 2.570%, 8/15/2023 | 5,077,377 | |
1,129,424 | Toyota Auto Receivables Owner Trust 2017-B, Class A3, 1.760%, 7/15/2021 | 1,123,933 | |
1,501,586 | Toyota Auto Receivables Owner Trust 2019-A, Class A2A, 2.830%, 10/15/2021 | 1,485,494 | |
7,000,000 | Toyota Auto Receivables Owner Trust 2019-C, Class A3, 1.910%, 9/15/2023 | 6,937,170 | |
9,425,000 | Volkswagen Auto Lease Trust 2019-A, Class A4, 2.020%, 8/20/2024 | 9,397,486 | |
491,840 | Volkswagen Auto Loan Enhanced 2018-1, Class A2A, 2.810%, 7/20/2021 | 488,347 | |
4,200,000 | Volvo Financial Equipment LLC 2019-2A, Class B, 2.280%, 11/15/2024 | 4,215,408 | |
1,464,000 | Volvo Financial Equipment LLC 2019-2A, Class C, 2.500%, 5/17/2027 | 1,469,271 | |
2,250,000 | World Omni Auto Receivables Trust 2017-B, Class B, 2.370%, 5/15/2024 | 2,211,673 | |
2,021,538 | World Omni Auto Receivables Trust 2018-C, Class A2, 2.800%, 1/18/2022 | 1,987,405 | |
3,167,452 | World Omni Auto Receivables Trust 2019-A, Class A2, 3.020%, 4/15/2022 | 3,155,284 | |
13,500,000 | World Omni Auto Receivables Trust 2019-C, Class B, 2.200%, 12/15/2025 | 13,298,005 | |
8,100,000 | World Omni Auto Receivables Trust 2019-C, Class C, 2.400%, 6/15/2026 | 7,978,738 | |
4,085,000 | World Omni Auto Receivables Trust, Class A3, 3.040%, 5/15/2024 | 4,132,366 | |
10,645,000 | World Omni Automobile Lease Se 2020-A, Class B, 1.930%, 6/16/2025 | 10,776,826 | |
12,750,000 | World Omni Automobile Lease Securitization Trust 2018-A, Class B, 3.060%, 5/15/2023 | 12,772,040 | |
6,500,000 | World Omni Automobile Lease Securitization Trust 2018-B, Class B, 3.430%, 3/15/2024 | 6,259,122 | |
5,000,000 | World Omni Automobile Lease Securitization Trust 2019-A, Class B, 3.240%, 7/15/2024 | 5,010,304 | |
6,000,000 | World Omni Automobile Lease Securitization Trust 2019-B, Class B, 2.130%, 2/18/2025 | 5,725,159 | |
1,770,279 | World Omni Select Auto Trust 2019-A, Class A2A, 2.060%, 8/15/2023 | 1,767,554 | |
16,500,000 | World Omni Select Auto Trust 2019-A, Class A3, 2.000%, 8/15/2024 | 16,638,356 | |
TOTAL | 990,392,597 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Credit Card—14.4% | |||
$8,200,000 | 1 | American Express Credit Account Master Trust 2017-2, Class A, 1.154% (1-month USLIBOR +0.450%), 9/16/2024 | $7,709,708 |
6,679,000 | 1 | American Express Credit Account Master Trust 2017-5, Class B, 1.284% (1-month USLIBOR +0.580%), 2/18/2025 | 6,029,526 |
12,000,000 | 1 | American Express Credit Account Master Trust 2018-3, Class A, 1.024% (1-month USLIBOR +0.320%), 10/15/2025 | 11,684,990 |
10,000,000 | 1 | American Express Credit Account Master Trust 2018-5, Class B, 1.254% (1-month USLIBOR +0.550%), 12/15/2025 | 9,806,165 |
16,613,000 | 1 | American Express Credit Account Master Trust 2018-7, Class B, 1.274% (1-month USLIBOR +0.570%), 2/17/2026 | 15,982,249 |
16,286,000 | American Express Credit Account Master Trust 2018-8, Class B, 3.350%, 4/15/2024 | 16,120,021 | |
18,679,000 | 1 | American Express Credit Account Master Trust 2018-9, Class B, 1.294% (1-month USLIBOR +0.590%), 4/15/2026 | 16,854,095 |
8,500,000 | Bank of America Credit Card Trust 2018-A3, Class A3, 3.100%, 12/15/2023 | 8,672,635 | |
16,000,000 | Bank of America Credit Card Trust 2019-A1, Class A1, 1.740%, 1/15/2025 | 16,171,443 | |
13,570,000 | 1 | Barclays Dryrock Issuance Trust 2017-1, Class A, 1.034% (1-month USLIBOR +0.330%), 3/15/2023 | 13,147,208 |
13,425,000 | 1 | Barclays Dryrock Issuance Trust 2017-2, Class A, 1.004% (1-month USLIBOR +0.300%), 5/15/2023 | 13,375,293 |
15,000,000 | 1 | Barclays Dryrock Issuance Trust 2018-1, Class A, 1.034% (1-month USLIBOR +0.330%), 7/15/2024 | 14,493,750 |
1,200,000 | 1 | Capital One Multi-Asset Execution Trust 2017-A2, Class A2, 1.114% (1-month USLIBOR +0.410%), 1/15/2025 | 1,129,500 |
10,000,000 | Capital One Multi-Asset Execution Trust 2019-A2, Class A2, 1.720%, 8/15/2024 | 10,110,677 | |
2,220,000 | Chase Issuance Trust 2015-A4, Class A4, 1.840%, 4/15/2022 | 2,222,762 | |
10,000,000 | 1 | Citibank Credit Card Issuance Trust 2016-A3, Class A3, 1.495% (1-month USLIBOR +0.490%), 12/7/2023 | 9,851,132 |
2,500,000 | Citibank Credit Card Issuance Trust 2017-A3, Class A3, 1.920%, 4/7/2022 | 2,501,584 | |
10,000,000 | 1 | Citibank Credit Card Issuance Trust 2017-A4, Class A4, 1.225% (1-month USLIBOR +0.220%), 4/7/2022 | 10,005,187 |
18,000,000 | 1 | Citibank Credit Card Issuance Trust 2018-A4, Class A4, 1.345% (1-month USLIBOR +0.340%), 6/7/2025 | 17,307,886 |
4,500,000 | Discover Card Execution Note T 2019-A3, Class A, 1.890%, 10/15/2024 | 4,526,676 | |
6,250,000 | 1 | Discover Card Execution Note Trust 2017-A1, Class A1, 1.194% (1-month USLIBOR +0.490%), 7/15/2024 | 5,948,978 |
2,825,000 | Discover Card Execution Note Trust 2017-A6, Class A6, 1.880%, 2/15/2023 | 2,765,935 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Credit Card—continued | |||
$14,700,000 | 1 | Discover Card Execution Note Trust 2017-A7, Class A7, 1.064% (1-month USLIBOR +0.360%), 4/15/2025 | $13,680,408 |
6,250,000 | 1 | Discover Card Execution Note Trust 2018-A6, Class A6, 1.094% (1-month USLIBOR +0.390%), 3/15/2026 | 6,133,451 |
20,000,000 | 1 | Evergreen Credit Card Trust 2019-3, Class A, 1.074% (1-month USLIBOR +0.370%), 10/16/2023 | 19,236,930 |
12,100,000 | Evergreen Credit Card Trust 2019-3, Class B, 2.370%, 10/16/2023 | 11,778,199 | |
3,369,000 | Evergreen Credit Card Trust 2019-3, Class C, 2.720%, 10/16/2023 | 3,279,466 | |
17,000,000 | 1 | Evergreen Credit Card Trust Series 2018-2, Class A, 1.054% (1-month USLIBOR +0.350%), 7/15/2022 | 16,930,980 |
14,000,000 | 1 | Evergreen Credit Card Trust Series 2019-1, Class A, 1.184% (1-month USLIBOR +0.480%), 1/15/2023 | 13,337,293 |
5,000,000 | Evergreen Credit Card Trust Series 2019-1, Class B, 3.590%, 1/15/2023 | 4,896,224 | |
4,740,000 | Evergreen Credit Card Trust Series 2019-1, Class C, 3.980%, 1/15/2023 | 4,641,193 | |
4,100,000 | Evergreen Credit Card Trust Series 2019-2, Class B, 2.270%, 9/15/2024 | 4,013,618 | |
11,800,000 | 1 | First National Master Note Trust 2017-2, Class A, 1.144% (1-month USLIBOR +0.440%), 10/16/2023 | 11,376,242 |
7,000,000 | 1 | First National Master Note Trust 2018-1, Class A, 1.164% (1-month USLIBOR +0.460%), 10/15/2024 | 6,619,709 |
3,000,000 | Golden Credit Card Trust 2017-2A, Class A, 1.980%, 4/15/2022 | 3,003,732 | |
21,500,000 | 1 | Golden Credit Card Trust 2017-4A, Class A, 1.224% (1-month USLIBOR +0.520%), 7/15/2024 | 20,318,902 |
4,750,000 | Golden Credit Card Trust 2018-1A, Class A, 2.620%, 1/15/2023 | 4,724,616 | |
7,000,000 | 1 | Golden Credit Card Trust 2019-2A, Class A, 1.054% (1-month USLIBOR +0.350%), 10/15/2023 | 6,726,392 |
22,040,000 | 1 | Gracechurch Card PLC 2018-1A, Class A, 1.104% (1-month USLIBOR +0.400%), 7/15/2022 | 21,912,884 |
18,995,000 | 1 | Master Credit Card Trust 2018-1A, Class A, 1.413% (1-month USLIBOR +0.490%), 7/21/2024 | 16,447,835 |
7,648,000 | Master Credit Card Trust 2018-1A, Class B, 3.245%, 7/21/2024 | 7,728,413 | |
9,500,000 | 1 | Master Credit Card Trust 2018-3A, Class A, 1.263% (1-month USLIBOR +0.340%), 1/21/2022 | 9,458,770 |
15,000,000 | 1 | Master Credit Card Trust 2019-1A, Class A, 1.403% (1-month USLIBOR +0.480%), 7/21/2022 | 14,804,252 |
18,500,000 | 1 | Master Credit Card Trust 2019-2A, Class A, 1.313% (1-month USLIBOR +0.390%), 1/21/2023 | 17,797,947 |
16,000,000 | 1 | Penarth Master Issuer 2018-2A, Class A1, 1.061% (1-month USLIBOR +0.450%), 9/18/2022 | 15,796,712 |
11,000,000 | 1 | Penarth Master Issuer 2019-1A, Class A1, 1.151% (1-month USLIBOR +0.540%), 7/18/2023 | 10,803,469 |
15,000,000 | Trillium Credit Card Trust II 2019-2A, Class B, 3.522%, 1/26/2024 | 14,825,744 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Credit Card—continued | |||
$14,457,000 | Trillium Credit Card Trust II 2019-2A, Class C, 3.915%, 1/26/2024 | $14,320,724 | |
4,000,000 | Trillium Credit Card Trust II 2020-1A, Class B, 2.331%, 12/26/2024 | 3,853,064 | |
13,200,000 | 1 | Trillium Credit Card Trust II, Class A, 1.404% (1-month USLIBOR +0.480%), 1/26/2024 | 12,732,457 |
TOTAL | 527,597,026 | ||
Equipment Lease—6.3% | |||
2,820,233 | CLI Funding LLC 2013-1A, Class Note, 2.830%, 3/18/2028 | 2,783,417 | |
290,850 | CNH Equipment Trust 2018-B, Class A2, 2.930%, 12/15/2021 | 285,058 | |
2,045,615 | CNH Equipment Trust 2019-A, Class A2, 2.960%, 5/16/2022 | 2,007,736 | |
1,500,000 | CNH Equipment Trust 2019-A, Class B, 3.340%, 7/15/2026 | 1,544,010 | |
3,600,000 | CNH Equipment Trust 2019-B, Class B, 2.870%, 11/16/2026 | 3,671,731 | |
2,335,000 | DLL Securitization Trust 2019-DA1, Class A4, 2.920%, 4/20/2027 | 2,363,993 | |
24,000,000 | DLL Securitization Trust 2019-MA2, Class A3, 2.340%, 9/20/2023 | 23,846,170 | |
13,251,000 | DLL Securitization Trust 2019-MA2, Class A4, 2.390%, 4/20/2027 | 13,289,442 | |
4,575,000 | Dell Equipment Finance Trust 2017-2, Class C, 2.730%, 10/24/2022 | 4,484,155 | |
6,500,000 | Dell Equipment Finance Trust 2017-2, Class D, 3.270%, 10/23/2023 | 6,374,805 | |
2,600,000 | Dell Equipment Finance Trust 2018-1, Class C, 3.530%, 6/22/2023 | 2,583,490 | |
4,500,000 | Dell Equipment Finance Trust 2018-2, Class D, 3.970%, 10/22/2024 | 4,510,341 | |
8,000,000 | Dell Equipment Finance Trust 2019-1, Class D, 3.450%, 3/24/2025 | 8,011,542 | |
3,000,000 | Dell Equipment Finance Trust 2019-2, Class A2, 1.950%, 12/22/2021 | 2,949,770 | |
6,000,000 | Dell Equipment Finance Trust 2019-2, Class D, 2.480%, 4/22/2025 | 5,928,698 | |
7,250,000 | Dell Equipment Finance Trust, Class B, 3.340%, 6/22/2023 | 7,190,586 | |
6,316,000 | Great America Leasing Receivables 2017-1, Class B, 2.590%, 1/20/2023 | 6,211,019 | |
2,850,000 | Great America Leasing Receivables 2017-1, Class C, 2.890%, 1/22/2024 | 2,799,740 | |
3,200,000 | Great America Leasing Receivables 2018-1, Class B, 2.990%, 6/17/2024 | 3,190,476 | |
4,326,943 | Great America Leasing Receivables 2019-1, Class A2, 2.970%, 6/15/2021 | 4,239,052 | |
7,500,000 | Great America Leasing Receivables 2019-1, Class B, 3.370%, 2/18/2025 | 7,517,527 | |
2,750,000 | HPEFS Equipment Trust 2019-1, Class D, 2.720%, 9/20/2029 | 2,730,256 | |
11,650,000 | HPEFS Equipment Trust 2020-1A, Class C, 2.030%, 2/20/2030 | 11,416,207 | |
2,750,000 | HPEFS Equipment Trust 2020-1A, Class D, 2.260%, 2/20/2030 | 2,673,464 | |
1,300,000 | John Deere Owner Trust 2018-B, Class A3, 3.080%, 11/15/2022 | 1,271,773 | |
1,577,585 | John Deere Owner Trust 2019-A, Class A2, 2.850%, 12/15/2021 | 1,538,306 | |
7,656,645 | Kubota Credit Owner Trust 2019-1A, Class A2, 2.490%, 6/15/2022 | 7,529,001 | |
896,821 | MMAF Equipment Finance LLC 2018-A, Class A2, 2.920%, 7/12/2021 | 878,035 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Equipment Lease—continued | |||
$7,133,840 | MMAF Equipment Finance LLC 2019-A, Class A2, 2.840%, 1/10/2022 | $6,940,597 | |
3,679,000 | Transportation Finance Equipment Trust 2019-1, Class B, 2.060%, 5/23/2024 | 3,648,828 | |
2,500,000 | Transportation Finance Equipment Trust 2019-1, Class C, 2.190%, 8/23/2024 | 2,479,466 | |
3,000,000 | Transportation Finance Equipment Trust 2019-1, Class D, 2.570%, 1/25/2027 | 2,975,301 | |
1,198,703 | Volvo Financial Equipment LLC 2019-1A, Class A2, 2.900%, 11/15/2021 | 1,175,010 | |
4,770,000 | Volvo Financial Equipment LLC 2019-1A, Class C, 3.480%, 4/15/2026 | 4,855,745 | |
4,250,000 | Volvo Financial Equipment LLC, Series 2017-1A, Class B, 2.400%, 1/18/2022 | 4,165,101 | |
5,000,000 | Volvo Financial Equipment LLC, Series 2017-1A, Class C, 2.600%, 4/15/2024 | 4,897,792 | |
34,750,000 | 1 | Volvo Financial Equipment Master Series 2017- A, Class A, 1.204% (1-month USLIBOR +0.500%), 11/15/2022 | 33,620,045 |
22,000,000 | 1 | Volvo Financial Equipment Master Series 2018- A, Class A, 1.224% (1-month USLIBOR +0.520%), 7/17/2023 | 20,800,575 |
TOTAL | 229,378,260 | ||
Home Equity Loan—0.0% | |||
28,887 | 1 | Countrywide Asset Backed Certificates 2004-4, Class A, 1.686% (1-month USLIBOR +0.740%), 8/25/2034 | 22,719 |
109,416 | 2 | NC Finance Trust 1999-1, Class D, 8.750%, 1/25/2029 | 1,362 |
2,532,132 | 2 | Washington Mutual Asset-Backed Certificates NIM Notes 2007-WM1, Class N1, 6.750%, 1/25/2047 | 0 |
TOTAL | 24,081 | ||
Manufactured Housing—0.0% | |||
8,106 | Indymac Manufactured Housing Contract 1997-1, Class A3, 6.610%, 2/25/2028 | 8,174 | |
Other—8.2% | |||
3,535,380 | 1 | Mississippi Higher Education Assistance Corp. 2014-1, Class A1, 1.626% (1-month USLIBOR +0.680%), 10/25/2035 | 3,299,910 |
1,584,020 | Navient Student Loan Trust 2018-A, Class A1, 2.530%, 2/18/2042 | 1,525,098 | |
469,864 | 1 | Navient Student Loan Trust 2018-BA, Class A1, 1.054% (1-month USLIBOR +0.350%), 12/15/2059 | 451,613 |
4,206,972 | 1 | Navient Student Loan Trust 2019-BA, Class A1, 1.104% (1-month USLIBOR +0.400%), 12/15/2059 | 4,025,372 |
9,000,000 | 1 | Navient Student Loan Trust 2019-D, Class A2B, 1.754% (1-month USLIBOR +1.050%), 12/15/2059 | 7,316,418 |
7,351,888 | Navient Student Loan Trust 2019-EA, Class A1, 2.390%, 5/15/2068 | 7,346,425 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Other—continued | |||
$10,912,729 | 1 | Navient Student Loan Trust 2020-A, Class A1, 1.054% (1-month USLIBOR +0.350%), 11/15/2068 | $10,690,823 |
14,250,000 | 1 | Navient Student Loan Trust, Class A1, 2.102% (1-month USLIBOR +0.750%), 11/15/2068 | 14,121,466 |
6,215,977 | 1 | New Hampshire Higher Education Loan Co. 2012-1, Class A, 1.446% (1-month USLIBOR +0.500%), 10/25/2028 | 6,119,630 |
12,350,000 | 1 | PFS Financing Corp. 2017-BA, Class A1, 1.304% (1-month USLIBOR +0.600%), 7/15/2022 | 12,081,166 |
8,000,000 | PFS Financing Corp. 2017-BA, Class B, 2.570%, 7/15/2022 | 8,041,822 | |
8,202,000 | PFS Financing Corp. 2017-D, Class B, 2.740%, 10/17/2022 | 8,285,992 | |
4,000,000 | PFS Financing Corp. 2018-B, Class B, 3.080%, 2/15/2023 | 3,916,199 | |
8,000,000 | 1 | PFS Financing Corp. 2018-E, Class B, 1.384% (1-month USLIBOR +0.680%), 10/17/2022 | 8,035,522 |
11,000,000 | 1 | PFS Financing Corp. 2019-A, Class A1, 1.254% (1-month USLIBOR +0.550%), 4/15/2024 | 11,079,690 |
6,500,000 | PFS Financing Corp. 2019-A, Class B, 3.130%, 4/15/2024 | 6,145,983 | |
6,000,000 | 1 | PFS Financing Corp. 2019-B, Class A, 1.254% (1-month USLIBOR +0.550%), 9/15/2023 | 6,031,744 |
3,100,000 | 1 | PFS Financing Corp. 2019-B, Class B, 1.504% (1-month USLIBOR +0.800%), 9/15/2023 | 3,115,302 |
2,000,000 | PFS Financing Corp. 2019-C, Class B, 2.420%, 10/15/2024 | 2,054,480 | |
5,835,898 | Public Service New Hampshire 2018-1, Class A1, 3.094%, 2/1/2026 | 5,695,091 | |
208,214 | 1 | SLM Student Loan Trust 2011-1, Class A1, 1.466% (1-month USLIBOR +0.520%), 3/25/2026 | 208,734 |
1,616,936 | 1 | SLM Student Loan Trust 2011-2, Class A1, 1.546% (1-month USLIBOR +0.600%), 11/25/2027 | 1,539,300 |
5,572,352 | SLM Student Loan Trust 2013-B, Class B, 3.000%, 5/16/2044 | 5,300,702 | |
15,000,000 | 1 | SMB Private Education Loan Tru 2020-A, Class A1, 1.980% (1-month USLIBOR +0.300%), 3/15/2027 | 14,595,160 |
650,544 | 1 | SMB Private Education Loan Trust 2018-A, Class A1, 1.054% (1-month USLIBOR +0.350%), 3/16/2026 | 627,264 |
461,987 | 1 | SMB Private Education Loan Trust 2018-C, Class A1, 1.004% (1-month USLIBOR +0.300%), 9/15/2025 | 446,451 |
834,183 | 1 | Social Professional Loan Program LLC 2016-D, Class A1, 1.896% (1-month USLIBOR +0.950%), 1/25/2039 | 812,104 |
1,155,816 | 1 | Social Professional Loan Program LLC 2016-E, Class A1, 1.796% (1-month USLIBOR +0.850%), 7/25/2039 | 1,104,654 |
2,038,763 | 1 | Social Professional Loan Program LLC 2017-A, Class A1, 1.646% (1-month USLIBOR +0.700%), 3/26/2040 | 1,950,774 |
1,541,643 | 1 | Social Professional Loan Program LLC 2017-C, Class A1, 1.546% (1-month USLIBOR +0.600%), 7/25/2040 | 1,472,484 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Other—continued | |||
$1,774,057 | 1 | Social Professional Loan Program LLC 2017-E, Class A1, 1.446% (1-month USLIBOR +0.500%), 11/26/2040 | $1,693,662 |
526,383 | Social Professional Loan Program LLC 2017-F, Class A1FX, 2.050%, 1/25/2041 | 504,322 | |
1,392,922 | 1 | Social Professional Loan Program LLC 2018-A, Class A1, 1.296% (1-month USLIBOR +0.350%), 2/25/2042 | 1,342,600 |
5,833,955 | Social Professional Loan Program LLC 2018-C, Class A1FX, 3.080%, 1/25/2048 | 5,823,272 | |
4,867,061 | Social Professional Loan Program LLC 2019-A, Class A1FX, 3.180%, 6/15/2048 | 4,872,370 | |
3,477,393 | Social Professional Loan Program LLC 2019-B, Class A1FX, 2.780%, 8/17/2048 | 3,482,038 | |
14,357,275 | Social Professional Loan Program LLC 2020-A, Class A1FX, 2.060%, 5/15/2046 | 13,443,192 | |
1,570,439 | Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 | 1,570,072 | |
377,254 | Sofi Consumer Loan Program Trust 2016-2, Class A, 3.090%, 10/27/2025 | 380,408 | |
285,082 | Sofi Consumer Loan Program Trust 2016-3, Class A, 3.050%, 12/26/2025 | 281,275 | |
1,604,419 | Sofi Consumer Loan Program Trust 2017-1, Class A, 3.280%, 1/26/2026 | 1,618,596 | |
1,525,300 | Sofi Consumer Loan Program Trust 2017-3, Class A, 2.770%, 5/25/2026 | 1,519,573 | |
10,633,700 | Sofi Consumer Loan Program Trust 2019-3, Class A, 2.900%, 5/25/2028 | 10,356,532 | |
6,954,036 | Sofi Consumer Loan Program Trust 2020-1, Class A, 2.600%, 1/25/2029 | 6,977,488 | |
5,000,000 | Sofi Consumer Loan Program Trust 2020-1, Class B, 2.250%, 1/25/2029 | 5,024,899 | |
4,025,490 | 1 | State Board of Regents of the State of Utah 2016-1, Class A, 1.696% (1-month USLIBOR +0.750%), 9/25/2056 | 3,906,010 |
21,300,000 | 1 | Verizon Owner Trust 2018-1A, Class A1B, 1.032% (1-month USLIBOR +0.260%), 9/20/2022 | 20,921,806 |
6,000,000 | Verizon Owner Trust 2018-1A, Class C, 3.550%, 4/20/2023 | 5,913,671 | |
3,500,000 | Verizon Owner Trust 2019-A, Class C, 2.600%, 12/20/2023 | 3,454,982 | |
9,400,000 | Verizon Owner Trust 2019-A, Class C, 3.220%, 9/20/2023 | 9,276,380 | |
11,000,000 | Verizon Owner Trust 2019-B, Class A1A, 2.330%, 12/20/2023 | 11,114,585 | |
4,200,000 | 1 | Verizon Owner Trust 2019-B, Class A1B, 1.222% (1-month USLIBOR +0.450%), 12/20/2023 | 4,149,264 |
6,500,000 | Verizon Owner Trust 2019-C, Class A1A, 1.940%, 4/22/2024 | 6,156,625 | |
10,000,000 | Verizon Owner Trust 2019-C, Class C, 2.160%, 4/22/2024 | 9,470,535 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Other—continued | |||
$10,000,000 | Verizon Owner Trust 2020-A, Class C, 2.060%, 7/22/2024 | $9,677,965 | |
TOTAL | 300,369,495 | ||
Rate Reduction Bond—0.0% | |||
1,692,934 | Atlantic City Electric Transition Funding 2002-1, Class A4, 5.550%, 10/20/2023 | 1,660,076 | |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $2,092,263,859) | 2,049,429,709 | ||
CORPORATE BONDS—35.3% | |||
Basic Industry - Chemicals—0.1% | |||
1,820,000 | DuPont de Nemours, Inc., Sr. Unsecd. Note, 3.766%, 11/15/2020 | 1,825,991 | |
Capital Goods - Aerospace & Defense—0.4% | |||
1,200,000 | Boeing Co., Sr. Unsecd. Note, 2.300%, 8/1/2021 | 1,160,797 | |
2,420,000 | General Dynamics Corp., Sr. Unsecd. Note, 2.875%, 5/11/2020 | 2,421,721 | |
7,380,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 2.080%, 10/15/2020 | 7,352,249 | |
2,335,000 | Textron, Inc., Sr. Unsecd. Note, 3.900%, 9/17/2029 | 2,289,450 | |
TOTAL | 13,224,217 | ||
Capital Goods - Construction Machinery—0.1% | |||
3,000,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 4.375%, 11/6/2020 | 2,973,489 | |
Capital Goods - Diversified Manufacturing—1.0% | |||
15,000,000 | 3M Co., Sr. Unsecd. Note, 1.750%, 2/14/2023 | 15,073,362 | |
8,235,000 | Otis Worldwide Corp., Sr. Unsecd. Note, 144A, 2.088%, 4/5/2023 | 7,841,163 | |
7,135,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.350%, 9/15/2024 | 6,949,892 | |
7,020,000 | 1 | Tyco Electronics Group SA, Sr. Unsecd. Note, 1.764% (3-month USLIBOR +0.450%), 6/5/2020 | 6,982,179 |
TOTAL | 36,846,596 | ||
Communications - Cable & Satellite—0.7% | |||
5,500,000 | 1 | Comcast Corp., Sr. Unsecd. Note, 1.873% (3-month USLIBOR +0.440%), 10/1/2021 | 5,379,963 |
20,830,000 | 1 | Comcast Corp., Sr. Unsecd. Note, 2.461% (3-month USLIBOR +0.630%), 4/15/2024 | 19,534,487 |
TOTAL | 24,914,450 | ||
Communications - Media & Entertainment—0.4% | |||
2,610,000 | Fox Corp., Sr. Unsecd. Note, 144A, 3.666%, 1/25/2022 | 2,667,627 | |
1,210,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 3.500%, 10/1/2020 | 1,191,727 | |
555,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 3.750%, 10/1/2021 | 560,703 | |
9,675,000 | 1 | Walt Disney Co., Sr. Unsecd. Note, 1.830% (3-month USLIBOR +0.250%), 9/1/2021 | 9,295,131 |
TOTAL | 13,715,188 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Communications - Telecom Wireless—0.8% | |||
$30,800,000 | 1 | Vodafone Group PLC, Sr. Unsecd. Note, 2.832% (3-month USLIBOR +0.990%), 1/16/2024 | $29,065,936 |
Communications - Telecom Wirelines—0.2% | |||
2,875,000 | AT&T, Inc., Sr. Unsecd. Note, 2.450%, 6/30/2020 | 2,873,442 | |
4,170,000 | 1 | Verizon Communications, Inc., Sr. Unsecd. Note, 1.740% (3-month USLIBOR +1.000%), 3/16/2022 | 3,970,136 |
1,180,000 | 1 | Verizon Communications, Inc., Sr. Unsecd. Note, 2.232% (3-month USLIBOR +0.550%), 5/22/2020 | 1,179,859 |
TOTAL | 8,023,437 | ||
Consumer Cyclical - Automotive—3.0% | |||
3,180,000 | 1 | American Honda Finance Corp., Sr. Unsecd. Note, 1.000% (3-month USLIBOR +0.260%), 6/16/2020 | 3,160,151 |
10,000,000 | 1,3 | American Honda Finance Corp., Sr. Unsecd. Note, Series GMTN, 1.923% (3-month USLIBOR +0.210%), 2/12/2021 | 9,752,583 |
7,000,000 | 1 | American Honda Finance Corp., Sr. Unsecd. Note, Series MTN, 1.186% (3-month USLIBOR +0.290%), 12/10/2021 | 6,576,806 |
100,000 | American Honda Finance Corp., Sr. Unsecd. Note, Series MTN, 1.950%, 7/20/2020 | 99,594 | |
8,000,000 | 1 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 2.132% (3-month USLIBOR +0.450%), 2/22/2021 | 7,724,056 |
4,000,000 | 1 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 2.271% (3-month USLIBOR +0.530%), 5/5/2020 | 3,993,885 |
9,000,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 3.400%, 2/22/2022 | 8,753,553 | |
3,570,000 | 1 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 2.644% (3-month USLIBOR +1.270%), 3/28/2022 | 2,902,450 |
4,000,000 | 1 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.777% (3-month USLIBOR +0.930%), 4/13/2020 | 3,983,914 |
9,090,000 | 1 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 3.387% (3-month USLIBOR +1.550%), 1/14/2022 | 7,546,728 |
8,895,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | 8,402,615 | |
4,000,000 | 1 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 2.064% (3-month USLIBOR +0.690%), 9/28/2022 | 3,721,850 |
10,000,000 | 1 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 2.737% (3-month USLIBOR +0.890%), 1/13/2022 | 9,728,357 |
5,000,000 | 1 | Toyota Motor Credit Corp., Sr. Unsecd. Note, 2.237% (3-month USLIBOR +0.390%), 1/11/2023 | 4,693,983 |
4,000,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series GMTN, 3.050%, 1/8/2021 | 4,018,145 | |
16,800,000 | 1,3 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series MTN, 1.832% (3-month USLIBOR +0.125%), 8/13/2021 | 16,070,382 |
5,000,000 | 1 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series MTN, 2.537% (3-month USLIBOR +0.690%), 1/11/2022 | 4,783,646 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Automotive—continued | |||
$2,000,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 2.500%, 9/24/2021 | $1,950,676 | |
TOTAL | 107,863,374 | ||
Consumer Cyclical - Lodging—0.1% | |||
2,450,000 | 1 | Marriott International, Inc., Sr. Unsecd. Note, Series Y, 2.180% (3-month USLIBOR +0.600%), 12/1/2020 | 2,293,041 |
Consumer Cyclical - Retailers—1.3% | |||
3,570,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 2.700%, 7/26/2022 | 3,532,948 | |
13,055,000 | 1 | CVS Health Corp., Sr. Unsecd. Note, 1.718% (3-month USLIBOR +0.720%), 3/9/2021 | 12,788,366 |
4,000,000 | CVS Health Corp., Sr. Unsecd. Note, 2.125%, 6/1/2021 | 3,991,861 | |
1,180,000 | CVS Health Corp., Sr. Unsecd. Note, 3.350%, 3/9/2021 | 1,188,527 | |
4,464,000 | 1 | Dollar Tree, Inc., Sr. Unsecd. Note, 2.536% (3-month USLIBOR +0.700%), 4/17/2020 | 4,463,067 |
5,000,000 | 1 | Home Depot, Inc., Sr. Unsecd. Note, 1.464% (3-month USLIBOR +0.150%), 6/5/2020 | 4,993,694 |
18,700,000 | 1 | Home Depot, Inc., Sr. Unsecd. Note, 1.890% (3-month USLIBOR +0.310%), 3/1/2022 | 18,169,823 |
TOTAL | 49,128,286 | ||
Consumer Cyclical - Services—0.2% | |||
8,500,000 | Amazon.com, Inc., Sr. Unsecd. Note, 1.900%, 8/21/2020 | 8,497,281 | |
Consumer Non-Cyclical - Food/Beverage—0.7% | |||
5,745,000 | 1 | Constellation Brands, Inc., Sr. Unsecd. Note, 2.391% (3-month USLIBOR +0.700%), 11/15/2021 | 5,416,908 |
6,950,000 | 1 | General Mills, Inc., Sr. Unsecd. Note, 2.846% (3-month USLIBOR +1.010%), 10/17/2023 | 6,722,626 |
6,180,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 3.551%, 5/25/2021 | 6,256,928 | |
1,500,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.375%, 6/15/2021 | 1,503,288 | |
6,000,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 2.700%, 8/15/2022 | 6,022,821 | |
TOTAL | 25,922,571 | ||
Consumer Non-Cyclical - Health Care—0.7% | |||
10,500,000 | 1 | Becton Dickinson & Co., Sr. Unsecd. Note, 2.030% (3-month USLIBOR +1.030%), 6/6/2022 | 9,823,220 |
4,298,000 | 1 | Becton Dickinson & Co., Sr. Unsecd. Note, 2.249% (3-month USLIBOR +0.875%), 12/29/2020 | 4,153,637 |
12,495,000 | DH Europe Finance II S.a r.l., Sr. Unsecd. Note, Series 3YR, 2.050%, 11/15/2022 | 12,270,704 | |
TOTAL | 26,247,561 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Pharmaceuticals—1.3% | |||
$13,635,000 | 1 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 2.346% (3-month USLIBOR +0.650%), 11/21/2022 | $12,761,632 |
2,450,000 | AbbVie, Inc., Sr. Unsecd. Note, 2.500%, 5/14/2020 | 2,450,208 | |
6,500,000 | 1 | AstraZeneca PLC, Sr. Unsecd. Note, 1.516% (3-month USLIBOR +0.620%), 6/10/2022 | 6,177,324 |
9,100,000 | 1 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 1.750% (3-month USLIBOR +1.010%), 12/15/2023 | 8,429,591 |
2,000,000 | 1 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 1.845% (3-month USLIBOR +0.630%), 6/25/2021 | 1,936,336 |
500,000 | 1 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 2.071% (3-month USLIBOR +0.380%), 5/16/2022 | 487,996 |
4,615,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 2.900%, 7/26/2024 | 4,900,683 | |
3,430,000 | Eli Lilly & Co., Sr. Unsecd. Note, 2.350%, 5/15/2022 | 3,499,670 | |
1,900,000 | Gilead Sciences, Inc., Sr. Unsecd. Note, 1.950%, 3/1/2022 | 1,875,704 | |
4,735,000 | Merck & Co., Inc., Sr. Unsecd. Note, 2.900%, 3/7/2024 | 4,960,408 | |
TOTAL | 47,479,552 | ||
Consumer Non-Cyclical - Supermarkets—0.0% | |||
1,715,000 | Kroger Co., Sr. Unsecd. Note, 2.600%, 2/1/2021 | 1,715,769 | |
Consumer Non-Cyclical - Tobacco—0.3% | |||
10,000,000 | 1 | Bat Capital Corp., Sr. Unsecd. Note, Series WI, 2.571% (3-month USLIBOR +0.880%), 8/15/2022 | 9,220,268 |
Energy - Independent—0.2% | |||
13,300,000 | 1 | Occidental Petroleum Corp., Sr. Unsecd. Note, 3.141% (3-month USLIBOR +1.450%), 8/15/2022 | 8,916,844 |
Energy - Integrated—0.8% | |||
1,910,000 | BP Capital Markets PLC, Company Guarantee, 3.561%, 11/1/2021 | 1,934,505 | |
2,780,000 | 1 | BP Capital Markets PLC, Sr. Unsecd. Note, 1.610% (3-month USLIBOR +0.870%), 9/16/2021 | 2,736,218 |
10,000,000 | 1 | Chevron Corp., Unsecd. Note, 2.221% (3-month USLIBOR +0.530%), 11/15/2021 | 9,654,845 |
13,700,000 | Exxon Mobil Corp., Sr. Unsecd. Note, 1.902%, 8/16/2022 | 13,890,161 | |
TOTAL | 28,215,729 | ||
Energy - Midstream—0.5% | |||
1,445,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 1,092,066 | |
10,800,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.500%, 2/1/2022 | 10,662,359 | |
5,000,000 | 1 | MPLX LP, Sr. Unsecd. Note, 1.898% (3-month USLIBOR +0.900%), 9/9/2021 | 4,725,929 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Energy - Midstream—continued | |||
$525,000 | 1 | MPLX LP, Sr. Unsecd. Note, 2.098% (3-month USLIBOR +1.100%), 9/9/2022 | $488,666 |
TOTAL | 16,969,020 | ||
Energy - Refining—0.2% | |||
6,175,000 | 1 | Phillips 66, Sr. Unsecd. Note, 2.246% (3-month USLIBOR +0.600%), 2/26/2021 | 5,776,898 |
Financial Institution - Banking—15.0% | |||
10,000,000 | 1 | American Express Co., 2.287% (3-month USLIBOR +0.650%), 2/27/2023 | 9,571,218 |
2,900,000 | American Express Credit Corp., Unsecd. Note, Series MTN, 2.375%, 5/26/2020 | 2,899,967 | |
4,200,000 | Associated Banc-Corp., Sr. Unsecd. Note, Series BKNT, 3.500%, 8/13/2021 | 4,280,211 | |
4,000,000 | 1 | Australia & New Zealand Banking Group Ltd New York, Unsecd. Note, 144A, 2.151% (3-month USLIBOR +0.460%), 5/17/2021 | 3,925,633 |
13,500,000 | 1 | Australia & New Zealand Banking Group, Melbourne, Sr. Unsecd. Note, 144A, 2.186% (3-month USLIBOR +0.490%), 11/21/2022 | 12,382,468 |
2,550,000 | BNP Paribas SA, Sr. Pfd., Series BKNT, 5.000%, 1/15/2021 | 2,601,208 | |
4,065,000 | Bank of America Corp., Sr. Unsecd. Note, 2.738%, 1/23/2022 | 4,061,542 | |
10,000,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, 2.800% (3-month USLIBOR +1.000%), 4/24/2023 | 9,711,580 |
5,000,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, Series FRN, 2.186% (3-month USLIBOR +0.380%), 1/23/2022 | 4,800,870 |
5,000,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, Series GMTN, 2.479% (3-month USLIBOR +0.660%), 7/21/2021 | 4,971,645 |
7,000,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.999% (3-month USLIBOR +1.180%), 10/21/2022 | 6,763,608 |
8,000,000 | 1 | Bank of Montreal, Sr. Unsecd. Note, Series MTN, 1.180% (3-month USLIBOR +0.440%), 6/15/2020 | 7,969,336 |
2,060,000 | Bank of Montreal, Sr. Unsecd. Note, Series MTN, 2.050%, 11/1/2022 | 2,063,303 | |
1,000,000 | Bank of Montreal, Sr. Unsecd. Note, Series MTN, 2.900%, 3/26/2022 | 1,013,362 | |
5,000,000 | 1 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.819% (3-month USLIBOR +1.050%), 10/30/2023 | 4,807,768 |
2,700,000 | Bank of Nova Scotia, Sr. Unsecd. Note, Series BKNT, 2.500%, 1/8/2021 | 2,708,896 | |
10,870,000 | 1 | Canadian Imperial Bank of Commerce, Sr. Unsecd. Note, Series *, 0.818% (Secured Overnight Financing Rate +0.800%), 3/17/2023 | 10,366,501 |
5,800,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.450%, 4/30/2021 | 5,811,119 | |
7,690,000 | 1 | Capital One NA, Sr. Unsecd. Note, Series BKNT, 2.919% (3-month USLIBOR +1.150%), 1/30/2023 | 7,122,330 |
5,000,000 | 1 | Citibank NA, Sr. Unsecd. Note, Series BKNT, 2.063% (3-month USLIBOR +0.350%), 2/12/2021 | 4,954,542 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$5,000,000 | 1 | Citibank NA, Sr. Unsecd. Note, Series BKNT, 2.083% (3-month USLIBOR +0.320%), 5/1/2020 | $4,997,046 |
6,665,000 | Citibank NA, Sr. Unsecd. Note, Series BKNT, 3.165%, 2/19/2022 | 6,706,567 | |
3,845,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 1.548% (Secured Overnight Financing Rate +0.870%), 11/4/2022 | 3,613,482 |
5,000,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 2.068% (3-month USLIBOR +1.070%), 12/8/2021 | 4,919,017 |
2,715,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.312%, 11/4/2022 | 2,701,275 | |
5,000,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 2.750% (3-month USLIBOR +0.950%), 7/24/2023 | 4,725,156 |
2,000,000 | 1 | Citizens Bank N.A., Sr. Unsecd. Note, Series BKNT, 2.423% (3-month USLIBOR +0.720%), 2/14/2022 | 1,884,556 |
3,890,000 | Citizens Bank N.A., Sr. Unsecd. Note, Series BKNT, 3.250%, 2/14/2022 | 3,944,069 | |
10,000,000 | 1 | Citizens Bank, N.A., Providence, Sr. Unsecd. Note, Series BKNT, 2.324% (3-month USLIBOR +0.950%), 3/29/2023 | 9,568,525 |
10,000,000 | 1 | Commonwealth Bank of Australia, Sr. Unsecd. Note, 144A, 1.830% (3-month USLIBOR +0.830%), 9/6/2021 | 9,788,925 |
8,320,000 | 1 | Compass Bank, Birmingham, Sr. Unsecd. Note, Series BKNT, 1.498% (3-month USLIBOR +0.730%), 6/11/2021 | 8,074,943 |
19,175,000 | 1 | Credit Suisse AG of New York, Sr. Unsecd. Note, 1.199% (Secured Overnight Financing Rate +0.450%), 2/4/2022 | 17,961,695 |
19,150,000 | FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 18,822,542 | |
5,250,000 | 1 | Fifth Third Bank, Sr. Unsecd. Note, Series BKNT, 2.234% (3-month USLIBOR +0.440%), 7/26/2021 | 5,158,664 |
3,000,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.432% (3-month USLIBOR +0.750%), 2/23/2023 | 2,878,533 |
2,815,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.876%, 10/31/2022 | 2,831,746 | |
10,000,000 | 1 | HSBC Holdings PLC, Sr. Unsecd. Note, 2.691% (3-month USLIBOR +1.000%), 5/18/2024 | 9,331,830 |
2,555,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 5.100%, 4/5/2021 | 2,614,978 | |
2,000,000 | 1 | HSBC Holdings PLC, Sr. Unsecd. Note, 4.125% (3-month USLIBOR +2.240%), 3/8/2021 | 1,988,663 |
2,800,000 | Huntington National Bank, Sr. Unsecd. Note, Series BKNT, 3.125%, 4/1/2022 | 2,839,169 | |
6,000,000 | JPMorgan Chase & Co., 3.250%, 9/23/2022 | 6,190,079 | |
6,000,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.536% (3-month USLIBOR +0.730%), 4/23/2024 | 5,649,219 |
3,455,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.550%, 3/1/2021 | 3,464,263 | |
5,000,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.030% (3-month USLIBOR +1.230%), 10/24/2023 | 4,842,654 |
5,000,000 | 1 | JPMorgan Chase Bank, N.A., Sr. Unsecd. Note, Series BKNT, 2.134% (3-month USLIBOR +0.340%), 4/26/2021 | 4,873,158 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$7,355,000 | 1 | MUFG Union Bank, N.A., Sr. Unsecd. Note, Series BKNT, 0.815% (Secured Overnight Financing Rate +0.710%), 12/9/2022 | $6,995,296 |
6,825,000 | MUFG Union Bank, N.A., Sr. Unsecd. Note, Series BKNT, 3.150%, 4/1/2022 | 6,829,542 | |
7,000,000 | 1 | Manufacturers & Traders Trust Co., Sr. Unsecd. Note, Series BKNT, 2.301% (3-month USLIBOR +0.610%), 5/18/2022 | 6,733,105 |
6,500,000 | 1 | Manufacturers & Traders Trust Co., Sub. Note, Series BKNT, 2.220% (3-month USLIBOR +0.640%), 12/1/2021 | 6,316,485 |
11,280,000 | 1 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 1.612% (Secured Overnight Financing Rate +0.700%), 1/20/2023 | 10,532,990 |
2,825,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.500%, 4/21/2021 | 2,823,885 | |
2,145,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 2.720%, 7/22/2025 | 2,175,070 | |
30,000,000 | 1 | National Australia Bank Ltd., Sr. Unsecd. Note, 144A, 1.182% (3-month USLIBOR +0.410%), 12/13/2022 | 28,227,424 |
22,500,000 | National Bank of Canada, Montreal, Sr. Unsecd. Note, Series MTN, 2.100%, 2/1/2023 | 22,436,728 | |
1,250,000 | PNC Bank National Association, Sec. Fac. Bond, Series BKNT, 2.000%, 5/19/2020 | 1,248,370 | |
3,000,000 | 1 | PNC Bank National Association, Sr. Unsecd. Note, Series BKNT, 2.052% (3-month USLIBOR +0.250%), 1/22/2021 | 2,953,104 |
3,300,000 | PNC Bank National Association, Sr. Unsecd. Note, Series BKNT, 2.232%, 7/22/2022 | 3,310,842 | |
6,665,000 | 1 | PNC Bank National Association, Sr. Unsecd. Note, Series BKNT, 2.294% (3-month USLIBOR +0.500%), 7/27/2022 | 6,444,122 |
5,000,000 | 1 | Regions Bank, Alabama, Sr. Unsecd. Note, Series BKNT, 2.401% (3-month USLIBOR +0.500%), 8/13/2021 | 4,867,061 |
25,000,000 | 1 | Royal Bank of Canada, Sr. Unsecd. Note, Series GMTN, 1.091% (Secured Overnight Financing Rate +0.400%), 8/5/2022 | 23,249,308 |
10,000,000 | 1 | Royal Bank of Canada, Sr. Unsecd. Note, Series GMTN, 2.196% (3-month USLIBOR +0.360%), 1/17/2023 | 9,336,571 |
2,730,000 | State Street Corp., Sr. Unsecd. Note, 1.950%, 5/19/2021 | 2,718,559 | |
1,605,000 | State Street Corp., Sr. Unsecd. Note, 144A, 2.825%, 3/30/2023 | 1,620,744 | |
2,750,000 | 3 | Toronto Dominion Bank, Sr. Unsecd. Note, Series GMTN, 3.150%, 9/17/2020 | 2,763,013 |
15,750,000 | 1 | Toronto Dominion Bank, Sr. Unsecd. Note, Series MTN, 1.198% (3-month USLIBOR +0.430%), 6/11/2021 | 15,317,708 |
6,000,000 | 1 | Truist Bank, Sr. Unsecd. Note, Series BKNT, 0.883% (Secured Overnight Financing Rate +0.730%), 3/9/2023 | 5,467,684 |
7,000,000 | 1 | Truist Bank, Sr. Unsecd. Note, Series BKNT, 2.353% (3-month USLIBOR +0.590%), 8/2/2022 | 6,608,913 |
12,855,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 3.050%, 6/20/2022 | 13,137,200 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$10,000,000 | 1 | U.S. Bank N.A., Cincinnati, Sr. Unsecd. Note, 1.398% (3-month USLIBOR +0.400%), 12/9/2022 | $9,737,386 |
9,580,000 | 1 | U.S. Bank N.A., Cincinnati, Sr. Unsecd. Note, Series BKNT, 1.946% (3-month USLIBOR +0.140%), 10/23/2020 | 9,407,264 |
6,000,000 | 1 | U.S. Bank N.A., Cincinnati, Sr. Unsecd. Note, Series BKNT, 1.986% (3-month USLIBOR +0.290%), 5/21/2021 | 5,899,492 |
14,157,000 | 1 | Wells Fargo & Co., Sr. Unsecd. Note, 2.819% (3-month USLIBOR +1.025%), 7/26/2021 | 14,037,284 |
5,100,000 | 1 | Wells Fargo & Co., Sr. Unsecd. Note, 3.007% (3-month USLIBOR +1.230%), 10/31/2023 | 4,868,970 |
1,605,000 | 1 | Wells Fargo Bank, N.A., Sr. Unsecd. Note, Series BKNT, 1.658% (3-month USLIBOR +0.660%), 9/9/2022 | 1,540,901 |
5,000,000 | Wells Fargo Bank, N.A., Sr. Unsecd. Note, Series BKNT, 2.082%, 9/9/2022 | 4,980,206 | |
15,000,000 | 1 | Wells Fargo Bank, N.A., Sr. Unsecd. Note, Series BKNT, 2.141% (3-month USLIBOR +0.310%), 1/15/2021 | 14,851,337 |
30,300,000 | 1 | Westpac Banking Corp., Sr. Unsecd. Note, 2.417% (3-month USLIBOR +0.570%), 1/11/2023 | 29,346,680 |
TOTAL | 549,941,105 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.3% | |||
10,000,000 | 1 | TD Ameritrade Holding Corp., Sr. Unsecd. Note, 2.193% (3-month USLIBOR +0.430%), 11/1/2021 | 9,813,753 |
Financial Institution - Finance Companies—0.1% | |||
2,120,000 | AerCap Ireland Capital Ltd/AerCap Global Aviation Trust, Sr. Unsecd. Note, 4.450%, 12/16/2021 | 1,891,169 | |
3,430,000 | AerCap Ireland Capital Ltd/AerCap Global Aviation Trust, Sr. Unsecd. Note, 4.875%, 1/16/2024 | 2,944,597 | |
TOTAL | 4,835,766 | ||
Financial Institution - Insurance - Health—0.7% | |||
14,690,000 | 1 | CIGNA Corp., Sr. Unsecd. Note, Series WI, 1.493% (3-month USLIBOR +0.650%), 9/17/2021 | 14,117,052 |
10,590,000 | 1 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 1.901% (3-month USLIBOR +0.070%), 10/15/2020 | 10,432,847 |
TOTAL | 24,549,899 | ||
Financial Institution - Insurance - Life—1.7% | |||
6,665,000 | Mass Mutual Global Funding II, Sec. Fac. Bond, 144A, 1.950%, 9/22/2020 | 6,646,532 | |
7,620,000 | 1 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 0.580% (Secured Overnight Financing Rate +0.570%), 9/7/2020 | 7,538,860 |
7,000,000 | 1 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 1.694% (Secured Overnight Financing Rate +0.570%), 1/13/2023 | 6,120,920 |
2,915,000 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 2.400%, 6/17/2022 | 2,934,069 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Insurance - Life—continued | |||
$4,765,000 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 3.375%, 1/11/2022 | $4,841,398 | |
10,000,000 | 1 | New York Life Global Funding, Sec. Fac. Bond, 144A, 2.148% (3-month USLIBOR +0.270%), 4/9/2020 | 9,998,722 |
11,250,000 | New York Life Global Funding, Sec. Fac. Bond, 144A, 2.950%, 1/28/2021 | 11,474,579 | |
13,390,000 | 1 | New York Life Global Funding, Sr. Secd. Note, 144A, 2.057% (3-month USLIBOR +0.320%), 8/6/2021 | 13,016,087 |
TOTAL | 62,571,167 | ||
Financial Institution - REIT - Office—0.0% | |||
1,165,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.000%, 1/15/2024 | 1,192,485 | |
Technology—1.3% | |||
2,473,000 | Amphenol Corp., Sr. Unsecd. Note, 2.200%, 4/1/2020 | 2,473,000 | |
6,535,000 | Apple, Inc., Sr. Unsecd. Note, 1.700%, 9/11/2022 | 6,670,689 | |
5,000,000 | 1 | Apple, Inc., Sr. Unsecd. Note, 1.800% (3-month USLIBOR +0.070%), 5/11/2020 | 4,998,111 |
1,033,000 | 1 | Apple, Inc., Sr. Unsecd. Note, 2.234% (3-month USLIBOR +0.500%), 2/9/2022 | 1,018,911 |
4,935,000 | Broadcom Corp., Sr. Unsecd. Note, Series WI, 3.000%, 1/15/2022 | 4,893,504 | |
5,835,000 | Dell International LLC / EMC Corp., 144A, 4.000%, 7/15/2024 | 5,898,143 | |
4,615,000 | Fiserv, Inc., Sr. Unsecd. Note, 2.750%, 7/1/2024 | 4,597,817 | |
11,250,000 | 1 | IBM Credit Corp., Sr. Unsecd. Note, 2.083% (3-month USLIBOR +0.470%), 11/30/2020 | 11,132,567 |
2,670,000 | IBM Credit LLC, Sr. Unsecd. Note, 2.650%, 2/5/2021 | 2,676,913 | |
5,000,000 | 1 | Qualcomm, Inc., Sr. Unsecd. Note, 2.499% (3-month USLIBOR +0.730%), 1/30/2023 | 4,766,684 |
TOTAL | 49,126,339 | ||
Transportation - Services—0.3% | |||
3,200,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.450%, 7/1/2024 | 3,206,690 | |
3,280,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.650%, 7/29/2021 | 3,322,662 | |
4,825,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.500%, 6/1/2021 | 4,825,283 | |
TOTAL | 11,354,635 | ||
Utility - Electric—2.7% | |||
1,500,000 | AEP Texas, Inc., Sr. Unsecd. Note, Series WI, 2.400%, 10/1/2022 | 1,511,892 | |
5,000,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 2.150%, 11/13/2020 | 4,963,545 | |
7,000,000 | 1 | Consolidated Edison Co., Sr. Unsecd. Note, Series C, 1.615% (3-month USLIBOR +0.400%), 6/25/2021 | 6,798,201 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—continued | |||
$6,015,000 | Dominion Energy, Inc., Jr. Sub. Note, 2.715%, 8/15/2021 | $5,938,198 | |
10,000,000 | 1 | Duke Energy Progress LLC, 1.178% (3-month USLIBOR +0.180%), 9/8/2020 | 9,809,890 |
7,045,000 | 1 | Florida Power & Light Co., Sr. Unsecd. Note, 2.137% (3-month USLIBOR +0.400%), 5/6/2022 | 6,645,624 |
15,100,000 | Georgia Power Co., Sr. Unsecd. Note, Series A, 2.100%, 7/30/2023 | 14,760,348 | |
16,930,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, Series MTN, 1.750%, 1/21/2022 | 16,962,544 | |
3,790,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, Series MTN, 2.900%, 3/15/2021 | 3,797,614 | |
9,102,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, Series H, 3.342%, 9/1/2020 | 9,112,106 | |
2,935,000 | Public Service Enterprises Group, Inc., Sr. Unsecd. Note, 2.875%, 6/15/2024 | 2,931,435 | |
4,000,000 | Shanghai Electric Power Finance Ltd, Sr. Unsecd. Note, 3.625%, 8/11/2020 | 4,026,000 | |
10,290,000 | Wisconsin Public Service, Sr. Unsecd. Note, 3.350%, 11/21/2021 | 10,457,854 | |
TOTAL | 97,715,251 | ||
Utility - Natural Gas—0.2% | |||
9,635,000 | 1 | Sempra Energy, Sr. Unsecd. Note, 2.331% (3-month USLIBOR +0.500%), 1/15/2021 | 9,128,095 |
TOTAL CORPORATE BONDS (IDENTIFIED COST $1,331,504,454) | 1,289,063,993 | ||
MUNICIPAL BOND—0.3% | |||
Municipal Services—0.3% | |||
11,000,000 | 1 | Mississippi State, Taxable UT GO Bonds (Series 2017C) FRNs, 1.756% (1-month USLIBOR +0.400%), Mandatory Tender 11/1/2020 (IDENTIFIED COST $11,000,000) | 11,002,640 |
MORTGAGE-BACKED SECURITY—0.0% | |||
Federal National Mortgage Association—0.0% | |||
370,555 | Federal National Mortgage Association, Pool 728568, 6.500%, 10/1/2033 (IDENTIFIED COST $391,747) | 431,917 | |
COMMERCIAL MORTGAGE-BACKED SECURITIES—3.3% | |||
Commercial Mortgage—3.3% | |||
20,000,000 | 1 | BHMS Mortgage Trust 2018-ATLS, Class A, 1.954% (1-month USLIBOR +1.250%), 7/15/2035 | 16,697,972 |
14,053,523 | 1 | DBWF Mortgage Trust 2018-GLKS, Class A, 1.780% (1-month USLIBOR +1.030%), 12/19/2030 | 12,506,385 |
15,000,000 | 1 | DBWF Mortgage Trust 2018-GLKS, Class B, 2.100% (1-month USLIBOR +1.350%), 12/19/2030 | 13,168,497 |
Principal Amount or Shares | Value | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—continued | |||
Commercial Mortgage—continued | |||
$38,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | $36,787,978 | |
5,000,000 | 1 | WF-RBS Commercial Mortgage Trust 2012-C7, Class AFL, 2.000% (1-month USLIBOR +1.200%), 6/15/2045 | 4,912,635 |
14,980,662 | 1 | UBS-Barclays Commercial Mortgage Trust 2013-C6, Class A3FL, 1.601% (1-month USLIBOR +0.790%), 4/10/2046 | 14,508,833 |
25,000,000 | 1 | Cosmopolitan Hotel Trust 2017-CSMO, Class B, 2.104% (1-month USLIBOR +1.400%), 11/15/2036 | 21,713,360 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $132,896,566) | 120,295,660 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—1.0% | |||
Federal Home Loan Mortgage Corporation—0.3% | |||
87,331 | 1 | Federal Home Loan Mortgage Corp. REMIC 3191 FE, 1.104% (1-month USLIBOR +0.400%), 7/15/2036 | 86,298 |
1,585,184 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 2819, Class F, 1.104% (1-month USLIBOR +0.400%), 6/15/2034 | 1,568,553 |
340,684 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3071, Class TF, 1.004% (1-month USLIBOR +0.300%), 4/15/2035 | 336,883 |
1,027,104 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3084, Class XF, 1.224% (1-month USLIBOR +0.520%), 12/15/2035 | 1,018,025 |
290,621 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3152, Class WF, 1.164% (1-month USLIBOR +0.460%), 2/15/2034 | 287,444 |
1,140,399 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3153, Class EF, 1.114% (1-month USLIBOR +0.410%), 5/15/2036 | 1,126,411 |
462,339 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3153, Class FJ, 2.038% (1-month USLIBOR +0.380%), 5/15/2036 | 457,398 |
253,605 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3156, Class HF, 1.189% (1-month USLIBOR +0.485%), 8/15/2035 | 251,034 |
427,450 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3211, Class FN, 1.004% (1-month USLIBOR +0.300%), 9/15/2036 | 422,055 |
408,016 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3317, Class F, 1.104% (1-month USLIBOR +0.400%), 7/15/2036 | 402,632 |
135,113 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3320, Class FM, 1.104% (1-month USLIBOR +0.400%), 7/15/2036 | 133,590 |
123,101 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3339, Class AF, 1.154% (1-month USLIBOR +0.450%), 7/15/2037 | 121,800 |
1,603,871 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3382, Class FG, 1.304% (1-month USLIBOR +0.600%), 11/15/2037 | 1,594,282 |
1,349,132 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3387, Class PF, 1.124% (1-month USLIBOR +0.420%), 11/15/2037 | 1,336,223 |
158,080 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3542, Class NF, 1.454% (1-month USLIBOR +0.750%), 7/15/2036 | 157,802 |
Principal Amount or Shares | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$491,864 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3556, Class FA, 1.614% (1-month USLIBOR +0.910%), 7/15/2037 | $494,728 |
TOTAL | 9,795,158 | ||
Federal National Mortgage Association—0.2% | |||
23,686 | 1 | Federal National Mortgage Association REMIC 2009-63 FB, 1.446% (1-month USLIBOR +0.500%), 8/25/2039 | 23,580 |
146,829 | 1 | Federal National Mortgage Association REMIC, Series 2002-77, Class FA, 1.611% (1-month USLIBOR +1.000%), 12/18/2032 | 147,447 |
467,446 | 1 | Federal National Mortgage Association REMIC, Series 2006-119, Class CF, 1.246% (1-month USLIBOR +0.300%), 12/25/2036 | 461,078 |
365,194 | 1 | Federal National Mortgage Association REMIC, Series 2006-44, Class FK, 1.376% (1-month USLIBOR +0.430%), 6/25/2036 | 360,913 |
1,634,654 | 1 | Federal National Mortgage Association REMIC, Series 2006-61, Class FQ, 1.346% (1-month USLIBOR +0.400%), 7/25/2036 | 1,618,432 |
374,625 | 1 | Federal National Mortgage Association REMIC, Series 2006-79, Class DF, 1.296% (1-month USLIBOR +0.350%), 8/25/2036 | 369,378 |
1,003,503 | 1 | Federal National Mortgage Association REMIC, Series 2006-81, Class FB, 1.296% (1-month USLIBOR +0.350%), 9/25/2036 | 991,576 |
863,064 | Federal National Mortgage Association REMIC, Series 2006-W1, Class 2AF1, 2.238%, 2/25/2046 | 849,733 | |
591,219 | 1 | Federal National Mortgage Association REMIC, Series 2007-88, Class FY, 1.406% (1-month USLIBOR +0.460%), 9/25/2037 | 586,555 |
311,840 | 1 | Federal National Mortgage Association REMIC, Series 2007-97, Class FE, 1.396% (1-month USLIBOR +0.450%), 7/25/2037 | 308,262 |
168,962 | 1 | Federal National Mortgage Association REMIC, Series 2008-69, Class FB, 1.946% (1-month USLIBOR +1.000%), 6/25/2037 | 170,723 |
33,282 | 1 | Federal National Mortgage Association REMIC, Series 2009-42, Class FG, 1.746% (1-month USLIBOR +0.800%), 5/25/2039 | 33,209 |
409,657 | 1 | Federal National Mortgage Association REMIC, Series 2009-69, Class F, 1.796% (1-month USLIBOR +0.850%), 4/25/2037 | 410,653 |
569 | Federal National Mortgage Association REMIC, Series 2011-6, Class BA, 2.750%, 6/25/2020 | 569 | |
TOTAL | 6,332,108 | ||
Government Agency—0.0% | |||
316,096 | FDIC Trust 2013-R1, Class A, 1.150%, 3/25/2033 | 312,637 | |
Government National Mortgage Association—0.5% | |||
7,783,301 | 1 | Government National Mortgage Association REMIC, Series 2012-H31, Class FA, 2.011% (1-month USLIBOR +0.350%), 11/20/2062 | 7,678,029 |
5,712,799 | 1 | Government National Mortgage Association REMIC, Series 2013-H16, Class FA, 2.201% (1-month USLIBOR +0.540%), 7/20/2063 | 5,663,682 |
Principal Amount or Shares | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—continued | |||
Government National Mortgage Association—continued | |||
$6,961,734 | 1 | Government National Mortgage Association REMIC, Series 2013-H17, Class FA, 2.211% (1-month USLIBOR +0.550%), 7/20/2063 | $6,909,715 |
TOTAL | 20,251,426 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $36,990,913) | 36,691,329 | ||
NON-AGENCY MORTGAGE—2.3% | |||
Non-Agency Mortgage—2.3% | |||
6,200,000 | 1 | Lanark Master Issuer PLC 2018-2A, Class 1A, 2.102% (3-month USLIBOR +0.420%), 12/22/2069 | 6,116,176 |
5,250,000 | 1 | Permanent Master Issuer PLC 2018-1A, Class 1A1, 2.211% (3-month USLIBOR +0.380%), 7/15/2058 | 5,221,330 |
8,261,093 | 1 | Gosforth Funding PLC 2018-1A, Class A1, 2.129% (3-month USLIBOR +0.450%), 8/25/2060 | 8,077,499 |
9,100,000 | Lanark Master Issuer PLC 2020-1A, Class 1A, 2.277%, 12/22/2069 | 8,976,058 | |
140,629 | 1 | Impac CMB Trust 2004-7, Class 1A2, 1.866% (1-month USLIBOR +0.920%), 11/25/2034 | 126,338 |
206,725 | 1 | Impac CMB Trust 2004-9, Class 1A2, 1.826% (1-month USLIBOR +0.880%), 1/25/2035 | 181,198 |
427,157 | 1 | Washington Mutual 2006-AR1, Class 2A1B, 3.035% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +1.070%), 1/25/2046 | 382,722 |
373,801 | 1 | Washington Mutual 2006-AR17, Class 1A, 2.873% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +0.820%), 12/25/2046 | 302,377 |
648,904 | 1 | Washington Mutual 2006-AR15, Class 1A, 2.805% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +0.840%), 11/25/2046 | 515,317 |
359,310 | 1 | Mellon Residential Funding Corp. 2001-TBC1, Class A1, 1.404% (1-month USLIBOR +0.700%), 11/15/2031 | 306,182 |
11,569,600 | Lanark Master Issuer PLC 2018-1A, Class 1A, 2.318%, 12/22/2069 | 11,421,324 | |
576,499 | Sequoia Mortgage Trust 2012-4, Class A3, 2.069%, 9/25/2042 | 550,198 | |
1,769,365 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | 1,683,048 | |
2,309,926 | Sequoia Mortgage Trust 2013-1, Class 1A1, 1.450%, 2/25/2043 | 2,203,128 | |
11,440,000 | 1 | Silverstone Master Issuer 2015-1A, Class 2A2, 2.369% (3-month USLIBOR +0.550%), 1/21/2070 | 11,395,819 |
177,245 | 1 | Countrywide Alternative Loan Trust 2005-51, Class 3AB3, 1.872% (1-month USLIBOR +1.100%), 11/20/2035 | 94,329 |
4,017,958 | 1 | Gosforth Funding PLC 2017-1A, Class A1A, 1.521% (3-month USLIBOR +0.470%), 12/19/2059 | 3,966,279 |
15,500,000 | 1 | Silverstone Master Issuer 2018-1A, Class 1A, 2.209% (3-month USLIBOR +0.390%), 1/21/2070 | 15,028,288 |
7,830,001 | 1 | Holmes Master Issuer PLC 2018-1A, Class A2, 2.191% (3-month USLIBOR +0.360%), 10/15/2054 | 7,780,499 |
TOTAL NON-AGENCY MORTGAGE (IDENTIFIED COST $86,123,913) | 84,328,109 |
Principal Amount or Shares | Value | ||
4 | COMMERCIAL PAPER—0.7% | ||
Financial Institution - Banking—0.7% | |||
$25,000,000 | NatWest Markets PLC, 2.009%, 2/1/2021 (IDENTIFIED COST $24,581,375) | $24,318,844 | |
INVESTMENT COMPANIES—1.8% | |||
3,839,999 | Federated Bank Loan Core Fund | 33,023,991 | |
642,590 | Federated Government Obligations Fund, Premier Shares, 0.37%5 | 642,590 | |
865,619 | Federated Project and Trade Finance Core Fund | 7,504,922 | |
4,406,370 | High Yield Bond Portfolio | 24,102,842 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $76,741,182) | 65,274,345 | ||
TOTAL INVESTMENT IN SECURITIES—100.7% (IDENTIFIED COST $3,794,112,280)6 | 3,682,428,227 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.7)%7 | (25,881,178) | ||
TOTAL NET ASSETS—100% | $3,656,547,049 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation |
8United States Treasury Note 5-Year Long Futures | 400 | $50,143,750 | June 2020 | $1,561,564 |
Balance of Shares Held 9/30/2019 | Purchases/ Additions | Sales/ Reductions | |
Federated Bank Loan Core Fund | 4,963,460 | 4,217,166 | (5,340,627) |
Federated Government Obligations Fund* | 5,508,000 | 18,664,385 | (23,529,795) |
Federated Institutional Prime Value Obligations Fund, Institutional Shares | 131,857,644 | 1,388,884,419 | (1,520,742,063) |
Federated Mortgage Core Portfolio | 894,507 | 11,065 | (905,572) |
Federated Project and Trade Finance Core Fund | 845,200 | 20,419 | — |
High Yield Bond Portfolio | 10,719,066 | 335,147 | (6,647,843) |
TOTAL OF AFFILIATED TRANSACTIONS | 154,787,877 | 1,412,132,601 | (1,557,165,900) |
Balance of Shares Held 3/31/2020 | Value | Change in Unrealized Appreciation/ (Depreciation) | Net Realized Gain/ (Loss) | Dividend Income | Gain Distributions Received |
3,839,999 | $33,023,991 | $(4,361,982) | $(3,876,153) | $1,370,160 | $— |
642,590 | $642,590 | N/A | N/A | $24,550 | $— |
— | $— | $8,322 | $(198,732) | $1,477,876 | $501 |
— | $— | $(33,970) | $(111,327) | $123,686 | $— |
865,619 | $7,504,922 | $(283,870) | $— | $181,856 | $— |
4,406,370 | $24,102,842 | $(3,828,560) | $(4,198,953) | $2,063,037 | $— |
9,754,578 | $65,274,345 | $(8,500,060) | $(8,385,165) | $5,241,165 | $501 |
* | 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 evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund's Board of Directors (the "Directors"). |
3 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
4 | Each issue shows the rate of discount at the time of purchase for discount issues, or the coupon for interest bearing issues. |
5 | 7-day net yield. |
6 | Also represents cost for federal tax purposes. |
7 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
8 | Non-income-producing security. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Adjustable Rate Mortgages | $— | $1,591,681 | $— | $1,591,681 |
Asset-Backed Securities | — | 2,049,428,347 | 1,362 | 2,049,429,709 |
Corporate Bonds | — | 1,289,063,993 | — | 1,289,063,993 |
Municipal Bond | — | 11,002,640 | — | 11,002,640 |
Mortgage-Backed Security | — | 431,917 | — | 431,917 |
Commercial Mortgage-Backed Securities | — | 120,295,660 | — | 120,295,660 |
Collateralized Mortgage Obligations | — | 36,691,329 | — | 36,691,329 |
Non-Agency Mortgage | — | 84,328,109 | — | 84,328,109 |
Commercial Paper | — | 24,318,844 | — | 24,318,844 |
Investment Companies1 | 57,769,423 | — | — | 65,274,345 |
TOTAL SECURITIES | $57,769,423 | $3,617,152,520 | $1,362 | $3,682,428,227 |
Other Financial Instruments2 | ||||
Assets | $1,561,564 | $— | $— | $1,561,564 |
Liabilities | — | — | — | — |
TOTAL OTHER FINANCIAL INSTRUMENTS | $1,561,564 | $— | $— | $1,561,564 |
1 | As permitted by U.S. generally accepted accounting principles (GAAP), the Investment Company valued at $7,504,922 is measured at fair value using the net asset value (NAV) per share practical expedient and has not been categorized in the chart above but is included in the Total column. The price of shares redeemed of Federated Project and Trade Finance Core Fund may be determined as of the closing NAV of the fund up to twenty-four days after receipt of a shareholder redemption request. |
2 | Other financial instruments are futures contracts. |
ARM | —Adjustable Rate Mortgage |
BKNT | —Bank Notes |
CMT | —Constant Maturity Treasury |
FDIC | —Federal Deposit Insurance Corporation |
FNMA | —Federal National Mortgage Association |
FRN(s) | —Floating Rate Note(s) |
GMTN | —Global Medium Term Note |
GO | —General Obligation |
LIBOR | —London Interbank Offered Rate |
MTN | —Medium Term Note |
NIM | —Net Interest Margin |
REIT | —Real Estate Investment Trust |
REMIC | —Real Estate Mortgage Investment Conduit |
UT | —Unlimited Tax |
Six Months Ended (unaudited) 3/31/2020 | Year Ended September 30, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $9.16 | $9.10 | $9.12 | $9.12 | $9.09 | $9.17 |
Income From Investment Operations: | ||||||
Net investment income | 0.091 | 0.19 | 0.15 | 0.09 | 0.06 | 0.05 |
Net realized and unrealized gain (loss) | (0.31) | 0.06 | (0.02) | 0.002 | 0.03 | (0.08) |
TOTAL FROM INVESTMENT OPERATIONS | (0.22) | 0.25 | 0.13 | 0.09 | 0.09 | (0.03) |
Less Distributions: | ||||||
Distributions from net investment income | (0.09) | (0.19) | (0.15) | (0.09) | (0.06) | (0.05) |
Net Asset Value, End of Period | $8.85 | $9.16 | $9.10 | $9.12 | $9.12 | $9.09 |
Total Return3 | (2.43)% | 2.79% | 1.39% | 1.04% | 1.03% | (0.32)% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.62%4 | 0.91% | 0.91% | 0.92% | 0.91% | 0.91% |
Net investment income | 1.98%4 | 2.10% | 1.60% | 1.02% | 0.68% | 0.50% |
Expense waiver/reimbursement5 | 0.08%4 | 0.09% | 0.12% | 0.13% | 0.18% | 0.19% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $410,036 | $318,992 | $281,543 | $269,004 | $270,412 | $312,778 |
Portfolio turnover | 28% | 36% | 32% | 33% | 30% | 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, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Six Months Ended (unaudited) 3/31/2020 | Year Ended September 30, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $9.15 | $9.09 | $9.12 | $9.11 | $9.09 | $9.16 |
Income From Investment Operations: | ||||||
Net investment income | 0.101 | 0.24 | 0.20 | 0.14 | 0.11 | 0.10 |
Net realized and unrealized gain (loss) | (0.30) | 0.06 | (0.03) | 0.01 | 0.02 | (0.07) |
TOTAL FROM INVESTMENT OPERATIONS | (0.20) | 0.30 | 0.17 | 0.15 | 0.13 | 0.03 |
Less Distributions: | ||||||
Distributions from net investment income | (0.10) | (0.24) | (0.20) | (0.14) | (0.11) | (0.10) |
Net Asset Value, End of Period | $8.85 | $9.15 | $9.09 | $9.12 | $9.11 | $9.09 |
Total Return2 | (2.18)% | 3.36% | 1.83% | 1.70% | 1.48% | 0.33% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.36%3 | 0.36% | 0.37% | 0.37% | 0.36% | 0.36% |
Net investment income | 2.26%3 | 2.65% | 2.17% | 1.58% | 1.23% | 1.05% |
Expense waiver/reimbursement4 | 0.08%3 | 0.08% | 0.12% | 0.13% | 0.18% | 0.19% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $2,962,932 | $3,248,715 | $3,237,960 | $2,629,099 | $2,283,604 | $2,354,930 |
Portfolio turnover | 28% | 36% | 32% | 33% | 30% | 21% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | Computed on an annualized basis. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Six Months Ended (unaudited) 3/31/2020 | Year Ended September 30, | |||||
2019 | 2018 | 2017 | 2016 | 2015 | ||
Net Asset Value, Beginning of Period | $9.15 | $9.10 | $9.12 | $9.11 | $9.09 | $9.17 |
Income From Investment Operations: | ||||||
Net investment income | 0.091 | 0.21 | 0.16 | 0.10 | 0.05 | 0.05 |
Net realized and unrealized gain (loss) | (0.30) | 0.04 | (0.03) | 0.01 | 0.04 | (0.07) |
TOTAL FROM INVESTMENT OPERATIONS | (0.21) | 0.25 | 0.13 | 0.11 | 0.09 | (0.02) |
Less Distributions: | ||||||
Distributions from net investment income | (0.09) | (0.20) | (0.15) | (0.10) | (0.07) | (0.06) |
Net Asset Value, End of Period | $8.85 | $9.15 | $9.10 | $9.12 | $9.11 | $9.09 |
Total Return2 | (2.29)% | 2.78% | 1.49% | 1.25% | 1.02% | (0.23)% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.63%3 | 0.81% | 0.82% | 0.82% | 0.81% | 0.81% |
Net investment income | 2.04%3 | 2.20% | 1.72% | 1.09% | 0.76% | 0.60% |
Expense waiver/reimbursement4 | 0.12%3 | 0.13% | 0.15% | 0.16% | 0.22% | 0.23% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $18,081 | $74,205 | $53,156 | $33,431 | $58,362 | $146,733 |
Portfolio turnover | 28% | 36% | 32% | 33% | 30% | 21% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | Computed on an annualized basis. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Six Months Ended (unaudited) 3/31/2020 | Period Ended 9/30/20191 | |
Net Asset Value, Beginning of Period | $9.15 | $9.12 |
Income From Investment Operations: | ||
Net investment income | 0.102 | 0.08 |
Net realized and unrealized gain (loss) | (0.30) | 0.03 |
TOTAL FROM INVESTMENT OPERATIONS | (0.20) | 0.11 |
Less Distributions: | ||
Distributions from net investment income | (0.10) | (0.08) |
Net Asset Value, End of Period | $8.85 | $9.15 |
Total Return3 | (2.17)% | 1.23% |
Ratios to Average Net Assets: | ||
Net expenses | 0.35%4 | 0.35%4 |
Net investment income | 2.18%4 | 2.65%4 |
Expense waiver/reimbursement5 | 0.05%4 | 0.06%4 |
Supplemental Data: | ||
Net assets, end of period (000 omitted) | $265,499 | $30,911 |
Portfolio turnover | 28% | 36%6 |
1 | Reflects operations for the period from May 29, 2019 (date of initial investment) to September 30, 2019. |
2 | Per share numbers have been calculated using the average shares method. |
3 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
6 | Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended September 30, 2019. |
Assets: | ||
Investment in securities, at value including $627,001 of securities loaned and $65,274,345 of investment in affiliated holdings* (identified cost $3,794,112,280) | $3,682,428,227 | |
Due from broker (Note 2) | 370,000 | |
Income receivable | 7,629,922 | |
Income receivable from affiliated holdings* | 511,355 | |
Receivable for investments sold | 21,265,885 | |
Receivable for shares sold | 11,955,424 | |
TOTAL ASSETS | 3,724,160,813 | |
Liabilities: | ||
Payable for investments purchased | $512,407 | |
Payable for shares redeemed | 46,178,389 | |
Payable to bank | 17,948,969 | |
Payable for variation margin on futures contracts | 18,744 | |
Payable for collateral due to broker for securities lending | 642,590 | |
Income distribution payable | 1,837,891 | |
Payable for investment adviser fee (Note 5) | 48,404 | |
Payable for administrative fees (Note 5) | 7,877 | |
Payable for Directors'/Trustees' fees (Note 5) | 158 | |
Payable for other service fees (Notes 2 and 5) | 57,845 | |
Accrued expenses (Note 5) | 360,490 | |
TOTAL LIABILITIES | 67,613,764 | |
Net assets for 413,258,916 shares outstanding | $3,656,547,049 | |
Net Assets Consist of: | ||
Paid-in capital | $3,800,469,981 | |
Total distributable earnings (loss) | (143,922,932) | |
TOTAL NET ASSETS | $3,656,547,049 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Class A Shares: | ||
$410,035,600 ÷ 46,325,876 shares outstanding, $0.001 par value, 2,000,000,000 shares authorized | $8.85 | |
Institutional Shares: | ||
$2,962,931,584 ÷ 334,877,188 shares outstanding, $0.001 par value, 1,000,000,000 shares authorized | $8.85 | |
Service Shares: | ||
$18,081,234 ÷ 2,043,310 shares outstanding, $0.001 par value, 1,000,000,000 shares authorized | $8.85 | |
Class R6 Shares: | ||
$265,498,631 ÷ 30,012,542 shares outstanding, $0.001 par value, 500,000,000 shares authorized | $8.85 |
* | See information listed after the Fund's Portfolio of Investments. |
Investment Income: | |||
Interest | $48,754,757 | ||
Dividends (including $5,216,615 received from affiliated holdings* and net of foreign taxes withheld of $47,992) | 5,168,604 | ||
Net income on securities loaned (includes $24,550 earned from affiliated holdings related to cash collateral balances*) | 1,824 | ||
TOTAL INCOME | 53,925,185 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $6,185,054 | ||
Administrative fee (Note 5) | 1,622,891 | ||
Custodian fees | 61,591 | ||
Transfer agent fee (Note 2) | 987,703 | ||
Directors'/Trustees' fees (Note 5) | 12,058 | ||
Auditing fees | 15,457 | ||
Legal fees | 4,630 | ||
Portfolio accounting fees | 117,106 | ||
Distribution services fee (Note 5) | 179,350 | ||
Other service fees (Notes 2 and 5) | 386,636 | ||
Share registration costs | 143,203 | ||
Printing and postage | 33,801 | ||
Miscellaneous (Note 5) | 24,363 | ||
TOTAL EXPENSES | 9,773,843 | ||
Waivers and Reimbursements: | |||
Waiver/reimbursement of investment adviser fee (Note 5) | $(1,058,304) | ||
Waiver/reimbursement of other operating expenses (Note 5) | (636,678) | ||
TOTAL WAIVERS AND REIMBURSEMENTS | (1,694,982) | ||
Net expenses | 8,078,861 | ||
Net investment income | $45,846,324 |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |||
Net realized loss on investments (including net realized loss of $(8,385,165) on sales of investments in affiliated holdings*) | $(17,939,133) | ||
Net realized loss on futures contracts | (1,003,752) | ||
Realized gain distribution from affiliated investment company shares | 501 | ||
Net change in unrealized appreciation of investments (including net change in unrealized depreciation of $(8,500,060) on investments in affiliated holdings*) | (128,036,236) | ||
Net change in unrealized depreciation of futures contracts | 2,196,248 | ||
Net realized and unrealized gain (loss) on investments and futures contracts | (144,782,372) | ||
Change in net assets resulting from operations | $(98,936,048) |
* | See information listed after the Fund's Portfolio of Investments. |
Six Months Ended (unaudited) 3/31/2020 | Year Ended 9/30/2019 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $45,846,324 | $95,559,557 |
Net realized gain (loss) | (18,942,384) | 3,263,504 |
Net change in unrealized appreciation/depreciation | (125,839,988) | 21,539,008 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (98,936,048) | 120,362,069 |
Distributions to Shareholders: | ||
Class A Shares | (4,068,843) | (6,009,912) |
Institutional Shares | (40,006,208) | (88,194,148) |
Service Shares | (280,427) | (952,712) |
Class R6 Shares1 | (1,440,792) | (200,968) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (45,796,270) | (95,357,740) |
Share Transactions: | ||
Proceeds from sale of shares | 2,581,517,809 | 2,899,039,514 |
Proceeds from shares issued in connection with the tax-free transfer of assets from PNC Ultrashort Bond Fund | 200,895,219 | — |
Net asset value of shares issued to shareholders in payment of distributions declared | 33,941,740 | 67,767,188 |
Cost of shares redeemed | (2,687,897,759) | (2,891,647,776) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 128,457,009 | 75,158,926 |
Change in net assets | (16,275,309) | 100,163,255 |
Net Assets: | ||
Beginning of period | 3,672,822,358 | 3,572,659,103 |
End of period | $3,656,547,049 | $3,672,822,358 |
1 | The Fund's R6 Class commenced operations on May 29, 2019. |
Shares of the Fund Issued | Acquired Fund's Net Assets Received | Unrealized Appreciation1 | Net Assets of the Fund Immediately Prior to Combination | Net Assets of the Fund Immediately After Combination |
21,955,762 | $200,895,219 | $787,988 | $3,800,175,612 | $4,001,070,831 |
1 | Unrealized Appreciation is included in the Net Assets Received amount shown above. |
Net investment income | $46,503,681 |
Net realized and unrealized gain (loss) on investments | $(144,707,365) |
Net increase (decrease) in net assets resulting from operations | $(98,203,684) |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Directors. |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Directors. |
■ | Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Directors, 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. |
■ | 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. |
Transfer Agent Fees Incurred | Transfer Agent Fees Reimbursed | |
Class A Shares | $87,403 | $(50,567) |
Institutional Shares | 887,161 | (577,033) |
Service Shares | 8,323 | (5,907) |
Class R6 Shares | 4,816 | — |
TOTAL | $987,703 | $(633,507) |
Other Service Fees Incurred | |
Class A Shares | $363,354 |
Service Shares | 23,282 |
TOTAL | $386,636 |
Market Value of Securities Loaned | Collateral Received |
$627,001 | $642,590 |
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 | $(1,561,564)* |
* | 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 | $(1,003,752) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $2,196,248 |
Six Months Ended 3/31/2020 | Year Ended 9/30/2019 | |||
Class A Shares: | Shares | Amount | Shares | Amount |
Shares sold | 37,297,071 | $341,461,550 | 25,702,990 | $234,135,027 |
Shares issued to shareholders in payment of distributions declared | 431,228 | 3,927,568 | 637,625 | 5,809,905 |
Shares redeemed | (26,235,620) | (238,661,095) | (22,457,502) | (204,406,344) |
NET CHANGE RESULTING FROM CLASS A SHARE TRANSACTIONS | 11,492,679 | $106,728,023 | 3,883,113 | $35,538,588 |
Six Months Ended 3/31/2020 | Year Ended 9/30/2019 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 203,853,987 | $1,864,142,693 | 269,029,670 | $2,446,829,982 |
Proceeds from shares issued in connection with the tax-free transfer of assets from the Acquired Fund | 21,955,762 | 200,895,219 | — | — |
Shares issued to shareholders in payment of distributions declared | 3,144,469 | 28,664,782 | 6,701,168 | 61,027,305 |
Shares redeemed | (248,962,066) | (2,262,333,235) | (276,948,831) | (2,519,871,294) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | (20,007,848) | $(168,630,541) | (1,217,993) | $(12,014,007) |
Six Months Ended 3/31/2020 | Year Ended 9/30/2019 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,459,304 | $13,345,102 | 18,847,096 | $171,807,649 |
Shares issued to shareholders in payment of distributions declared | 29,701 | 271,010 | 100,895 | 919,080 |
Shares redeemed | (7,552,346) | (69,087,502) | (16,682,435) | (151,963,746) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (6,063,341) | $(55,471,390) | 2,265,556 | $20,762,983 |
Six Months Ended 3/31/2020 | Year Ended 9/30/20191 | |||
Class R6 Shares: | Shares | Amount | Shares | Amount |
Shares sold | 39,620,220 | $362,568,464 | 5,062,175 | $46,266,856 |
Shares issued to shareholders in payment of distributions declared | 119,189 | 1,078,380 | 1,191 | 10,898 |
Shares redeemed | (13,104,915) | (117,815,927) | (1,685,318) | (15,406,392) |
NET CHANGE RESULTING FROM CLASS R6 SHARES TRANSACTIONS | 26,634,494 | $245,830,917 | 3,378,048 | $30,871,362 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 12,055,984 | $128,457,009 | 8,308,724 | $75,158,926 |
1 | Reflects operations for the period from May 29, 2019 (date of initial investment) to September 30, 2019. |
Short-Term | Long-Term | Total |
$5,790,620 | $10,309,221 | $16,099,841 |
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 | |
Class A Shares | 0.30% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | Distribution Services Fees Waived | |
Class A Shares | $163,495 | $— |
Service Shares | 15,855 | (3,171) |
TOTAL | $179,350 | $(3,171) |
Purchases | $1,105,973,935 |
Sales | $959,361,465 |
Beginning Account Value 10/1/2019 | Ending Account Value 3/31/2020 | Expenses Paid During Period1 | |
Actual: | |||
Class A Shares | $1,000 | $975.70 | $3.062 |
Institutional Shares | $1,000 | $978.20 | $1.78 |
Service Shares | $1,000 | $977.10 | $3.113 |
Class R6 Shares | $1,000 | $978.30 | $1.73 |
Hypothetical (assuming a 5% return before expenses): | |||
Class A Shares | $1,000 | $1,021.90 | $3.132 |
Institutional Shares | $1,000 | $1,023.20 | $1.82 |
Service Shares | $1,000 | $1,021.90 | $3.183 |
Class R6 Shares | $1,000 | $1,023.30 | $1.77 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Class A Shares | 0.62% |
Institutional Shares | 0.36% |
Service Shares | 0.63% |
Class R6 Shares | 0.35% |
2 | Actual and Hypothetical expenses paid during the period utilizing the Fund's Class A Shares current Fee Limit of 0.51% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 183/366 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $2.52 and $2.58, respectively. |
3 | Actual and Hypothetical expenses paid during the period utilizing the Fund's Service Shares current Fee Limit of 0.46% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 183/366 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $2.27 and $2.33, respectively. |
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31428Q747
CUSIP 31428Q754
CUSIP 31428Q713
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Exhibits |
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
RegistrantFederated Total Return Series, Inc.
By/S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
DateMay 22, 2020
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/ J. Christopher Donahue
J. Christopher Donahue
Principal Executive Officer
DateMay 22, 2020
By/S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
DateMay 22, 2020