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 Hermes Total Return Series, Inc.
_______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, Pennsylvania 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 11/30/21
Date of Reporting Period: 11/30/21
Item 1. | Reports to Stockholders |
Share Class | Ticker | A | TLRAX | B | TLRBX | C | TLRCX | R | FTRKX |
Institutional | FTRBX | Service | FTRFX | R6 | FTRLX |
Federated Hermes Total Return Bond Fund
A Portfolio of Federated Hermes Total Return Series, Inc.
1 Year | 5 Years | 10 Years | |
Class A Shares | -4.17% | 3.05% | 2.87% |
Class B Shares | -5.52% | 3.09% | 2.90% |
Class C Shares | -1.14% | 3.49% | 2.92% |
Class R Shares | 0.14% | 3.83% | 3.18% |
Institutional Shares | 0.97% | 4.60% | 3.92% |
Service Shares | 0.57% | 4.27% | 3.60% |
Class R6 Shares4 | 0.89% | 4.59% | 3.88% |
BAB | -1.15% | 3.65% | 3.04% |
LCBFA | -0.70% | 3.76% | 3.24% |
Portfolio Composition | Percentage of Total Net Assets2 |
Corporate Debt Securities | 42.7% |
U.S. Treasury and Agency Securities | 20.4% |
Mortgage-Backed Securities3 | 19.7% |
Asset-Backed Securities | 1.1% |
Commercial Mortgage-Backed Securities3 | 1.0% |
Collateralized Mortgage Obligations | 0.4% |
Foreign Government Securities | 0.2% |
Municipal Bonds 4 | 0.0% |
Adjustable Rate Mortgages4 | 0.0% |
Emerging Markets Core Fund | 4.9% |
Project and Trade Finance Core Fund | 4.5% |
Bank Loan Core Fund | 2.0% |
Securities Lending Collateral5 | 1.4% |
Cash Equivalents6 | 9.2% |
Other Security Types4,7 | 0.0% |
Derivative Contracts8 | (0.2)% |
Other Assets and Liabilities—Net9 | (7.3)% |
TOTAL | 100% |
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, affiliated investment companies (other than an affiliated money market mutual fund), in which the Fund invested greater than 10% of its net assets are not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata portion of each security and each other asset and liability owned by the affiliated investment company. Accordingly, the percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. Affiliated investment companies (other than an affiliated money market mutual fund) in which the Fund invested less than 10% of its net assets are listed individually in the table. |
3 | For purposes of this table, Mortgage-Backed Securities 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 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements, other than those representing securities lending collateral. |
7 | Other Security Types consist of common stock and purchased options. |
8 | 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. |
9 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— 33.4% | |||
Basic Industry - Chemicals— 0.1% | |||
$ 2,653,000 | Albemarle Corp., 4.150%, 12/1/2024 | $2,858,961 | |
395,000 | DuPont de Nemours, Inc., Sr. Unsecd. Note, 5.319%, 11/15/2038 | 511,104 | |
9,955,000 | RPM International, Inc., Sr. Unsecd. Note, 5.250%, 6/1/2045 | 12,677,208 | |
12,000 | Sherwin-Williams Co., Sr. Unsecd. Note, 2.750%, 6/1/2022 | 12,107 | |
TOTAL | 16,059,380 | ||
Basic Industry - Metals & Mining— 0.4% | |||
10,285,000 | 1 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031 | 10,261,309 |
4,580,000 | Anglogold Ashanti Holdings PLC, Sr. Note, 6.500%, 4/15/2040 | 5,537,701 | |
1,530,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 1,571,375 | |
7,785,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 7,650,972 | |
3,890,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | 3,771,865 | |
7,750,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 8,056,193 | |
2,200,000 | Southern Copper Corp., Sr. Unsecd. Note, 3.500%, 11/8/2022 | 2,250,050 | |
2,180,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | 3,007,539 | |
2,290,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.300%, 8/1/2032 | 2,514,975 | |
3,330,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.550%, 4/15/2026 | 3,668,687 | |
TOTAL | 48,290,666 | ||
Capital Goods - Aerospace & Defense— 1.1% | |||
3,970,000 | 1 | Lockheed Martin Corp., Sr. Unsecd. Note, 2.900%, 3/1/2025 | 4,170,391 |
2,940,000 | 1 | General Dynamics Corp., Sr. Unsecd. Note, 1.150%, 6/1/2026 | 2,916,365 |
9,050,000 | Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027 | 9,646,330 | |
7,480,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 8,073,793 | |
4,845,000 | BAE Systems PLC, Sr. Unsecd. Note, 144A, 3.000%, 9/15/2050 | 4,755,381 | |
6,065,000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | 6,185,661 | |
11,535,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 11,647,085 | |
2,425,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 2,536,070 | |
5,875,000 | Boeing Co., Sr. Unsecd. Note, 4.508%, 5/1/2023 | 6,135,472 | |
5,900,000 | Boeing Co., Sr. Unsecd. Note, 4.875%, 5/1/2025 | 6,470,389 | |
8,500,000 | Boeing Co., Sr. Unsecd. Note, 5.705%, 5/1/2040 | 10,868,016 | |
4,360,000 | General Dynamics Corp., Sr. Unsecd. Note, 3.250%, 4/1/2025 | 4,625,694 | |
6,490,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 6,922,630 | |
2,900,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, Series WI, 3.844%, 5/1/2025 | 3,086,080 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Capital Goods - Aerospace & Defense— continued | |||
$ 3,750,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | $4,005,394 | |
10,870,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | 12,223,967 | |
7,300,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 3.550%, 1/15/2026 | 7,905,589 | |
1,820,000 | 2 | Textron Financial Corp., Jr. Sub. Note, 144A, 1.891% (3-month USLIBOR +1.735%), 2/15/2042 | 1,574,300 |
1,800,000 | Textron, Inc., Sr. Unsecd. Note, 3.875%, 3/1/2025 | 1,923,792 | |
3,000,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 3,175,995 | |
TOTAL | 118,848,394 | ||
Capital Goods - Building Materials— 0.3% | |||
3,010,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 3,233,703 | |
4,940,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 5,176,686 | |
5,270,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 5,633,193 | |
3,305,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.722%, 2/15/2030 | 3,375,775 | |
10,200,000 | Carrier Global Corp., Sr. Unsecd. Note, 3.577%, 4/5/2050 | 10,859,450 | |
TOTAL | 28,278,807 | ||
Capital Goods - Construction Machinery— 0.4% | |||
8,170,000 | Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 2.450%, 8/12/2031 | 8,049,764 | |
69,000 | Caterpillar, Inc., Deb., 5.300%, 9/15/2035 | 91,609 | |
295,000 | Caterpillar, Inc., Sr. Unsecd. Note, 3.250%, 9/19/2049 | 327,316 | |
1,640,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.875%, 1/15/2026 | 1,649,383 | |
9,000,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.950%, 7/2/2023 | 9,143,262 | |
445,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 4.375%, 4/5/2022 | 450,397 | |
9,475,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 10,337,097 | |
3,910,000 | Deere & Co., Sr. Unsecd. Note, 2.750%, 4/15/2025 | 4,096,293 | |
510,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 2.150%, 9/8/2022 | 517,100 | |
500,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 2.750%, 3/15/2022 | 503,629 | |
9,875,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 10,917,112 | |
TOTAL | 46,082,962 | ||
Capital Goods - Diversified Manufacturing— 0.6% | |||
2,680,000 | 1 | Honeywell International, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2050 | 2,808,338 |
144,000 | General Electric Capital Corp., Note, Series MTNA, 6.750%, 3/15/2032 | 199,458 | |
350,000 | General Electric Capital Corp., Series NOT2, 5.500%, 3/15/2023 | 365,512 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Capital Goods - Diversified Manufacturing— continued | |||
$ 120,000 | General Electric Capital Corp., Sr. Unsecd. Note, Series GMTN, 6.875%, 1/10/2039 | $187,738 | |
2,555,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 2,566,294 | |
5,885,000 | Lennox International, Inc., Sr. Unsecd. Note, 1.700%, 8/1/2027 | 5,826,112 | |
8,190,000 | Lennox International, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2023 | 8,493,483 | |
5,200,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 1.400%, 9/15/2027 | 5,051,675 | |
5,000,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 1.750%, 2/15/2031 | 4,669,699 | |
4,830,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.000%, 6/30/2030 | 4,674,259 | |
3,585,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.950%, 9/15/2029 | 3,760,114 | |
1,900,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.850%, 12/15/2025 | 2,061,144 | |
8,180,000 | Valmont Industries, Inc., 5.250%, 10/1/2054 | 10,751,259 | |
1,645,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | 2,077,762 | |
3,285,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 3,446,915 | |
6,575,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 6,614,586 | |
TOTAL | 63,554,348 | ||
Capital Goods - Packaging— 0.1% | |||
5,830,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 4.000%, 3/15/2028 | 6,469,199 | |
Communications - Cable & Satellite— 0.8% | |||
10,000,000 | 1 | Comcast Corp., Sr. Unsecd. Note, 1.500%, 2/15/2031 | 9,409,595 |
10,980,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., 5.050%, 3/30/2029 | 12,686,616 | |
175,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 227,101 | |
8,500,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 4.800%, 3/1/2050 | 9,590,552 | |
10,695,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Term Loan - 1st Lien, 3.900%, 6/1/2052 | 10,830,979 | |
4,300,000 | Comcast Corp., 3.375%, 2/15/2025 | 4,560,475 | |
2,460,000 | Comcast Corp., Sr. Unsecd. Note, 2.800%, 1/15/2051 | 2,380,585 | |
4,570,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 4,907,769 | |
8,290,000 | Comcast Corp., Sr. Unsecd. Note, 3.400%, 4/1/2030 | 9,050,201 | |
910,000 | Comcast Corp., Sr. Unsecd. Note, 3.450%, 2/1/2050 | 983,234 | |
2,325,000 | Comcast Corp., Sr. Unsecd. Note, 3.750%, 4/1/2040 | 2,622,278 | |
400,000 | Comcast Corp., Sr. Unsecd. Note, 3.900%, 3/1/2038 | 458,025 | |
3,380,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 3,687,899 | |
580,000 | Comcast Corp., Sr. Unsecd. Note, 4.400%, 8/15/2035 | 692,167 | |
5,000,000 | Comcast Corp., Sr. Unsecd. Note, 4.950%, 10/15/2058 | 7,064,026 | |
3,000,000 | NBC Universal, Inc., Sr. Unsecd. Note, 5.950%, 4/1/2041 | 4,323,878 | |
7,000,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 8,590,187 | |
��500,000 | Time Warner Cable, Inc., Sr. Unsecd. Note, 4.500%, 9/15/2042 | 550,588 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Communications - Cable & Satellite— continued | |||
$ 135,000 | Time Warner Cable, Inc., Sr. Unsecd. Note, 8.375%, 3/15/2023 | $147,960 | |
TOTAL | 92,764,115 | ||
Communications - Media & Entertainment— 0.7% | |||
10,000,000 | Alphabet, Inc., Sr. Unsecd. Note, 1.900%, 8/15/2040 | 9,178,026 | |
5,000,000 | British Sky Broadcasting Group PLC, 144A, 3.750%, 9/16/2024 | 5,347,484 | |
4,510,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 5.576%, 1/25/2049 | 6,175,560 | |
11,850,000 | Grupo Televisa S.A., 6.625%, 3/18/2025 | 13,586,241 | |
2,100,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 5/13/2045 | 2,518,943 | |
7,500,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 2.400%, 3/1/2031 | 7,547,831 | |
12,195,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 3.375%, 3/1/2041 | 12,920,954 | |
5,200,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.900%, 8/15/2044 | 6,320,191 | |
6,255,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.950%, 1/15/2031 | 7,431,953 | |
7,570,000 | Walt Disney Co., Sr. Unsecd. Note, 3.600%, 1/13/2051 | 8,668,343 | |
3,155,000 | Walt Disney Co., Sr. Unsecd. Note, 3.800%, 5/13/2060 | 3,765,265 | |
TOTAL | 83,460,791 | ||
Communications - Telecom Wireless— 0.8% | |||
8,980,000 | America Movil S.A.B. de C.V., Sr. Unsecd. Note, 2.875%, 5/7/2030 | 9,317,762 | |
10,350,000 | American Tower Corp., Sr. Unsecd. Note, 2.100%, 6/15/2030 | 9,947,928 | |
3,000,000 | American Tower Corp., Sr. Unsecd. Note, 3.700%, 10/15/2049 | 3,210,634 | |
3,500,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 3,781,887 | |
6,175,000 | Crown Castle International Corp., Sr. Unsecd. Note, 3.250%, 1/15/2051 | 6,177,543 | |
8,400,000 | Crown Castle International Corp., Sr. Unsecd. Note, 4.450%, 2/15/2026 | 9,232,035 | |
14,000,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 3.875%, 4/15/2030 | 15,236,985 | |
3,350,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 4.500%, 4/15/2050 | 3,924,147 | |
5,175,000 | T-Mobile USA, Inc., Sr. Sub. Note, 3.000%, 2/15/2041 | 4,945,504 | |
5,005,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 5,445,595 | |
5,000,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.250%, 9/17/2050 | 5,769,499 | |
5,630,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | 7,335,044 | |
TOTAL | 84,324,563 | ||
Communications - Telecom Wirelines— 1.2% | |||
9,240,000 | AT&T, Inc., Sr. Unsecd. Note, 0.900%, 3/25/2024 | 9,183,137 | |
9,255,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 9,246,474 | |
3,693,000 | AT&T, Inc., Sr. Unsecd. Note, 2.550%, 12/1/2033 | 3,572,885 | |
7,090,000 | AT&T, Inc., Sr. Unsecd. Note, 3.500%, 6/1/2041 | 7,300,695 | |
8,370,000 | AT&T, Inc., Sr. Unsecd. Note, 3.650%, 6/1/2051 | 8,710,615 | |
4,035,000 | AT&T, Inc., Sr. Unsecd. Note, 3.800%, 12/1/2057 | 4,221,545 | |
1,940,000 | AT&T, Inc., Sr. Unsecd. Note, 3.850%, 6/1/2060 | 2,033,104 | |
6,000,000 | AT&T, Inc., Sr. Unsecd. Note, 4.550%, 3/9/2049 | 7,179,951 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Communications - Telecom Wirelines— continued | |||
$ 465,000 | AT&T, Inc., Sr. Unsecd. Note, 5.250%, 3/1/2037 | $580,227 | |
2,100,000 | AT&T, Inc., Sr. Unsecd. Note, 5.450%, 3/1/2047 | 2,785,051 | |
275,000 | AT&T, Inc., Sr. Unsecd. Note, 5.700%, 3/1/2057 | 380,851 | |
5,800,000 | AT&T, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2041 | 8,236,957 | |
4,160,000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | 5,417,311 | |
12,000,000 | Deutsche Telekom International Finance BV, Sr. Unsecd. Note, 144A, 3.600%, 1/19/2027 | 12,939,919 | |
5,000,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 4.895%, 3/6/2048 | 6,072,377 | |
3,925,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.213%, 3/8/2047 | 4,920,326 | |
4,525,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.520%, 3/1/2049 | 5,893,735 | |
10,600,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 1.450%, 3/20/2026 | 10,531,564 | |
16,495,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041 | 17,555,429 | |
870,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.000%, 3/22/2050 | 1,012,492 | |
5,740,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 6,751,923 | |
1,122,000 | Verizon Communications, Inc., Sr. Unsecd. Note, Series WI, 2.987%, 10/30/2056 | 1,081,631 | |
TOTAL | 135,608,199 | ||
Consumer Cyclical - Automotive— 1.1% | |||
6,000,000 | 1 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 1.250%, 11/24/2025 | 5,906,849 |
10,290,000 | 1 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 1.500%, 6/10/2026 | 10,104,382 |
5,860,000 | 1 | Stellantis Finance US, Inc., 144A, 1.711%, 1/29/2027 | 5,752,633 |
6,465,000 | 1 | Stellantis Finance US, Inc., Sr. Unsecd. Note, 144A, 2.691%, 9/15/2031 | 6,372,007 |
4,350,000 | Daimler Finance NA LLC, Sr. Unsub., 144A, 1.450%, 3/2/2026 | 4,329,764 | |
2,400,000 | DaimlerChrysler North America Holding Corp., Company Guarantee, 8.500%, 1/18/2031 | 3,597,819 | |
5,540,000 | General Motors Co., Sr. Unsecd. Note, 4.000%, 4/1/2025 | 5,946,075 | |
260,000 | General Motors Co., Sr. Unsecd. Note, 5.150%, 4/1/2038 | 314,063 | |
10,175,000 | General Motors Co., Sr. Unsecd. Note, 6.125%, 10/1/2025 | 11,745,644 | |
2,790,000 | General Motors Co., Sr. Unsecd. Note, 6.750%, 4/1/2046 | 4,042,868 | |
5,365,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.700%, 8/20/2027 | 5,461,055 | |
410,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 3.950%, 4/13/2024 | 432,339 | |
4,745,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | 4,824,936 | |
15,305,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 10/15/2027 | 15,298,682 | |
18,400,000 | Nissan Motor Acceptance Company LLC., Sr. Unsecd. Note, 144A, 1.850%, 9/16/2026 | 17,875,392 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Consumer Cyclical - Automotive— continued | |||
$ 8,680,000 | Stellantis N.V., Sr. Unsecd. Note, 5.250%, 4/15/2023 | $9,192,901 | |
2,700,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series GMTN, 2.700%, 1/11/2023 | 2,761,273 | |
4,650,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.250%, 11/13/2023 | 4,932,426 | |
TOTAL | 118,891,108 | ||
Consumer Cyclical - Gaming— 0.0% | |||
250,000 | GLP Capital LP / GLP Financing II, Inc., Sr. Unsecd. Note, 5.375%, 4/15/2026 | 277,674 | |
Consumer Cyclical - Lodging— 0.0% | |||
730,000 | American Campus Communities Operating Partnership LP, Sr. Unsecd. Note, 4.125%, 7/1/2024 | 782,579 | |
Consumer Cyclical - Retailers— 1.2% | |||
2,500,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, 1.750%, 10/1/2027 | 2,433,826 | |
15,185,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 16,686,563 | |
13,850,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 15,148,080 | |
8,190,000 | AutoNation, Inc., Sr. Unsecd. Note, 2.400%, 8/1/2031 | 7,949,800 | |
6,180,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 7,159,424 | |
475,000 | AutoZone, Inc., Sr. Unsecd. Note, 3.625%, 4/15/2025 | 507,181 | |
2,480,000 | Costco Wholesale Corp., Sr. Unsecd. Note, 1.375%, 6/20/2027 | 2,447,937 | |
246,204 | CVS Health Corp., Pass Thru Cert., 144A, 5.298%, 1/11/2027 | 266,774 | |
1,200,000 | CVS Health Corp., Sr. Unsecd. Note, 2.700%, 8/21/2040 | 1,151,360 | |
2,500,000 | CVS Health Corp., Sr. Unsecd. Note, 2.875%, 6/1/2026 | 2,621,355 | |
8,500,000 | CVS Health Corp., Sr. Unsecd. Note, 3.375%, 8/12/2024 | 8,941,235 | |
205,000 | CVS Health Corp., Sr. Unsecd. Note, 3.700%, 3/9/2023 | 212,060 | |
74,000 | CVS Health Corp., Sr. Unsecd. Note, 4.100%, 3/25/2025 | 80,032 | |
944,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 1,063,987 | |
3,815,000 | CVS Health Corp., Sr. Unsecd. Note, 4.780%, 3/25/2038 | 4,651,675 | |
12,745,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 16,864,203 | |
1,760,000 | CVS Health Corp., Sr. Unsecd. Note, 5.125%, 7/20/2045 | 2,305,799 | |
4,670,000 | Dollar General Corp., Sr. Unsecd. Note, 4.150%, 11/1/2025 | 5,110,624 | |
9,180,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | 9,538,152 | |
4,205,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.700%, 4/15/2030 | 4,413,487 | |
2,300,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.800%, 9/14/2027 | 2,438,881 | |
3,690,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 3,937,143 | |
12,000,000 | Home Depot, Inc., Sr. Unsecd. Note, 3.750%, 2/15/2024 | 12,678,565 | |
2,370,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 3.550%, 3/15/2026 | 2,560,756 | |
TOTAL | 131,168,899 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Consumer Cyclical - Services— 0.5% | |||
$ 2,340,000 | 1 | University of Southern California, Sr. Unsecd. Note, 5.250%, 10/1/2111 | $3,998,072 |
10,000,000 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 3.600%, 11/28/2024 | 10,600,616 | |
5,130,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 5,527,080 | |
5,000,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.875%, 8/22/2037 | 5,890,385 | |
165,000 | Booking Holdings, Inc., Sr. Unsecd. Note, 2.750%, 3/15/2023 | 169,167 | |
2,100,000 | Boston University, Series MTNA, 7.625%, 7/15/2097 | 2,508,236 | |
6,700,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 7,321,178 | |
8,100,000 | Expedia Group, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/1/2025 | 9,200,265 | |
325,000 | Expedia Group, Inc., Sr. Unsecd. Note, Series WI, 3.250%, 2/15/2030 | 335,329 | |
4,420,000 | Visa, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2027 | 4,691,110 | |
3,300,000 | Visa, Inc., Sr. Unsecd. Note, 3.150%, 12/14/2025 | 3,533,195 | |
350,000 | Visa, Inc., Sr. Unsecd. Note, 4.150%, 12/14/2035 | 418,747 | |
TOTAL | 54,193,380 | ||
Consumer Non-Cyclical - Food/Beverage— 2.0% | |||
870,000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.700%, 2/1/2036 | 1,047,010 | |
11,000,000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 13,982,947 | |
1,390,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 2/1/2046 | 1,752,647 | |
6,960,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.439%, 10/6/2048 | 8,384,805 | |
3,000,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2050 | 3,718,279 | |
10,030,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.600%, 4/15/2048 | 12,308,733 | |
3,375,000 | Bacardi Ltd., Sr. Unsecd. Note, 144A, 2.750%, 7/15/2026 | 3,488,639 | |
5,100,000 | Coca-Cola European Partners PLC, Sr. Unsecd. Note, 144A, 1.500%, 1/15/2027 | 5,022,143 | |
4,305,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 1.850%, 9/1/2032 | 4,083,701 | |
9,164,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 9,425,311 | |
5,000,000 | Constellation Brands, Inc., 4.250%, 5/1/2023 | 5,236,079 | |
1,690,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 3.750%, 5/1/2050 | 1,884,752 | |
6,640,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028 | 7,605,882 | |
3,575,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 3,546,437 | |
5,160,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 5,573,327 | |
8,000,000 | General Mills, Inc., Sr. Unsecd. Note, 3.700%, 10/17/2023 | 8,392,835 | |
2,937,000 | General Mills, Inc., Sr. Unsecd. Note, 144A, 3.000%, 2/1/2051 | 3,018,590 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Consumer Non-Cyclical - Food/Beverage— continued | |||
$ 3,250,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | $3,431,893 | |
1,980,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 4.500%, 1/25/2022 | 1,990,741 | |
2,810,000 | Heineken NV, Sr. Unsecd. Note, 144A, 4.350%, 3/29/2047 | 3,628,331 | |
12,840,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.832%, 10/15/2027 | 12,664,299 | |
7,500,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 2.300%, 11/1/2030 | 7,342,551 | |
5,965,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 3.200%, 5/1/2030 | 6,345,102 | |
1,430,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.057%, 5/25/2023 | 1,494,139 | |
3,140,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 3,435,067 | |
15,060,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 17,452,228 | |
5,000,000 | Mead Johnson Nutrition Co., Sr. Unsecd. Note, 4.600%, 6/1/2044 | 6,565,534 | |
6,100,000 | PepsiCo, Inc., 2.750%, 4/30/2025 | 6,393,729 | |
150,000 | Ralston Purina Co., Deb., 7.875%, 6/15/2025 | 183,265 | |
200,000 | Ralston Purina Co., Deb., 8.125%, 2/1/2023 | 212,946 | |
8,350,000 | Smithfield Foods, Inc., 144A, 2.625%, 9/13/2031 | 8,195,646 | |
14,670,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | 14,753,906 | |
6,865,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 3.500%, 3/15/2025 | 7,317,360 | |
12,300,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 14,674,188 | |
1,450,000 | Tyson Foods, Inc., 5.150%, 8/15/2044 | 1,906,667 | |
1,970,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.550%, 6/2/2027 | 2,122,061 | |
TOTAL | 218,581,770 | ||
Consumer Non-Cyclical - Health Care— 1.0% | |||
10,220,000 | 1 | Danaher Corp., Sr. Unsecd. Note, 2.600%, 10/1/2050 | 9,985,114 |
7,240,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.600%, 5/27/2030 | 7,338,629 | |
5,000,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.750%, 9/23/2026 | 5,173,176 | |
7,355,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 3.000%, 9/23/2029 | 7,724,558 | |
2,620,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 1.957%, 2/11/2031 | 2,519,638 | |
1,690,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 1,803,905 | |
9,570,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.794%, 5/20/2050 | 10,921,840 | |
11,545,000 | Dentsply Sirona, Inc., Sr. Unsecd. Note, 3.250%, 6/1/2030 | 12,301,480 | |
3,270,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 3,411,445 | |
1,000,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 3.400%, 11/15/2049 | 1,114,948 | |
10,090,000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | 10,327,675 | |
5,630,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 0.850%, 9/15/2024 | 5,541,806 | |
4,315,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 1.900%, 9/15/2028 | 4,214,467 | |
6,515,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 2.550%, 3/15/2031 | 6,662,190 | |
8,325,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 8,836,209 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Consumer Non-Cyclical - Health Care— continued | |||
$ 4,035,000 | Stryker Corp., Sr. Unsecd. Note, 0.600%, 12/1/2023 | $4,002,802 | |
11,000,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 1.215%, 10/18/2024 | 11,002,694 | |
1,995,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 4.133%, 3/25/2025 | 2,161,031 | |
TOTAL | 115,043,607 | ||
Consumer Non-Cyclical - Pharmaceuticals— 1.5% | |||
11,215,000 | 1 | Zoetis, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2050 | 11,607,289 |
5,128,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 5,648,084 | |
9,050,000 | Abbott Laboratories, Sr. Unsecd. Note, 4.900%, 11/30/2046 | 12,614,848 | |
6,380,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | 6,778,681 | |
13,210,000 | AbbVie, Inc., Sr. Unsecd. Note, 4.250%, 11/21/2049 | 15,916,109 | |
2,000,000 | Amgen, Inc., Sr. Unsecd. Note, 3.625%, 5/22/2024 | 2,110,889 | |
375,000 | Amgen, Inc., Sr. Unsecd. Note, 4.400%, 5/1/2045 | 451,757 | |
1,975,000 | Astrazeneca Finance LLC, Sr. Unsecd. Note, 2.250%, 5/28/2031 | 1,996,935 | |
3,775,000 | AstraZeneca PLC, Sr. Unsecd. Note, 2.125%, 8/6/2050 | 3,378,735 | |
7,410,000 | AstraZeneca PLC, Sr. Unsecd. Note, 2.375%, 6/12/2022 | 7,475,807 | |
7,000,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027 | 7,491,634 | |
7,000,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.500%, 8/17/2023 | 7,317,489 | |
5,050,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 3.875%, 12/15/2023 | 5,306,134 | |
5,250,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.250%, 12/15/2025 | 5,718,636 | |
2,455,000 | Bayer US Finance LLC, Sr. Unsecd. Note, 144A, 3.375%, 10/8/2024 | 2,575,143 | |
5,000,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | 4,896,768 | |
12,625,000 | Biogen, Inc., Sr. Unsecd. Note, 3.150%, 5/1/2050 | 12,427,118 | |
10,140,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 0.750%, 11/13/2025 | 9,903,145 | |
9,100,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 3.900%, 2/20/2028 | 10,189,266 | |
260,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.125%, 6/15/2039 | 309,568 | |
3,000,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.350%, 11/15/2047 | 3,768,488 | |
2,475,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 5.000%, 8/15/2045 | 3,334,606 | |
1,000,000 | Johnson & Johnson, 5.950%, 8/15/2037 | 1,452,017 | |
500,000 | Johnson & Johnson, Sr. Unsecd. Note, 3.550%, 3/1/2036 | 572,980 | |
17,652,000 | Regeneron Pharmaceuticals, Inc., Sr. Unsecd. Note, 2.800%, 9/15/2050 | 16,668,616 | |
6,870,000 | Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 2.050%, 3/31/2030 | 6,685,083 | |
TOTAL | 166,595,825 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Consumer Non-Cyclical - Products— 0.1% | |||
$ 3,060,000 | Church and Dwight, Inc., Sr. Unsecd. Note, 3.150%, 8/1/2027 | $3,251,190 | |
500,000 | Procter & Gamble Co., 2.300%, 2/6/2022 | 501,689 | |
2,390,000 | Unilever Capital Corp., Sr. Unsecd. Note, 0.375%, 9/14/2023 | 2,378,369 | |
TOTAL | 6,131,248 | ||
Consumer Non-Cyclical - Supermarkets— 0.0% | |||
3,000,000 | Kroger Co., Bond, 6.900%, 4/15/2038 | 4,446,002 | |
Consumer Non-Cyclical - Tobacco— 0.4% | |||
9,075,000 | Altria Group, Inc., Sr. Unsecd. Note, 5.950%, 2/14/2049 | 11,458,795 | |
4,490,000 | Bat Capital Corp., Sr. Unsecd. Note, 2.789%, 9/6/2024 | 4,645,275 | |
5,000,000 | Bat Capital Corp., Sr. Unsecd. Note, 3.734%, 9/25/2040 | 4,826,631 | |
3,000,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 0.875%, 5/1/2026 | 2,901,820 | |
7,770,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 2.100%, 5/1/2030 | 7,658,397 | |
1,960,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 3.875%, 8/21/2042 | 2,150,331 | |
5,335,000 | Reynolds American, Inc., Sr. Unsecd. Note, 4.450%, 6/12/2025 | 5,774,114 | |
5,450,000 | Reynolds American, Inc., Sr. Unsecd. Note, 5.850%, 8/15/2045 | 6,630,494 | |
TOTAL | 46,045,857 | ||
Energy - Independent— 0.5% | |||
7,000,000 | Canadian Natural Resources Ltd., 3.900%, 2/1/2025 | 7,446,950 | |
5,230,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.050%, 7/15/2025 | 5,288,070 | |
12,625,000 | Coterra Energy, Inc., Sr. Unsecd. Note, 144A, 3.900%, 5/15/2027 | 13,701,454 | |
1,730,000 | Coterra Energy, Inc., Sr. Unsecd. Note, 144A, 4.375%, 3/15/2029 | 1,927,442 | |
13,920,000 | Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041 | 17,185,280 | |
12,265,000 | Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027 | 13,428,668 | |
610,000 | XTO Energy, Inc., 6.750%, 8/1/2037 | 875,660 | |
TOTAL | 59,853,524 | ||
Energy - Integrated— 0.7% | |||
3,770,000 | 1 | Shell International Finance B.V., Sr. Unsecd. Note, 2.875%, 5/10/2026 | 3,997,244 |
3,550,000 | 1 | Suncor Energy, Inc., Sr. Unsecd. Note, 6.500%, 6/15/2038 | 4,894,418 |
4,990,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.000%, 2/24/2050 | 4,889,230 | |
2,485,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.119%, 5/4/2026 | 2,632,554 | |
365,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.224%, 4/14/2024 | 381,698 | |
100,000 | BP PLC, Deb., 8.750%, 3/1/2032 | 152,524 | |
6,990,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 3.750%, 2/15/2052 | 6,875,074 | |
12,275,000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027 | 13,386,316 | |
8,520,000 | Chevron Corp., Sr. Unsecd. Note, 3.078%, 5/11/2050 | 9,099,650 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Energy - Integrated— continued | |||
$ 3,400,000 | Chevron Corp., Sr. Unsecd. Note, 3.191%, 6/24/2023 | $3,513,168 | |
4,030,000 | CNPC Hong Kong Overseas Capital Ltd., Company Guarantee, 144A, 5.950%, 4/28/2041 | 5,721,263 | |
4,000,000 | Conoco, Inc., 7.250%, 10/15/2031 | 5,672,549 | |
205,000 | ConocoPhillips, Company Guarantee, 6.500%, 2/1/2039 | 299,898 | |
450,000 | Petro-Canada, Sr. Unsecd. Note, 6.800%, 5/15/2038 | 636,476 | |
3,025,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | 3,556,882 | |
10,510,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 3.750%, 3/4/2051 | 11,435,507 | |
TOTAL | 77,144,451 | ||
Energy - Midstream— 0.9% | |||
4,710,000 | 1 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 5,172,857 |
9,240,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 10,472,441 | |
4,000,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2025 | 4,382,813 | |
2,400,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 5.800%, 6/1/2045 | 3,275,546 | |
1,210,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series B, 144A, 3.000%, 11/15/2029 | 1,261,297 | |
3,715,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series C, 144A, 3.900%, 11/15/2049 | 4,177,389 | |
785,000 | Energy Transfer Operating, Sr. Unsecd. Note, 5.500%, 6/1/2027 | 898,462 | |
360,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.050%, 3/15/2025 | 381,995 | |
10,000,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 10,627,059 | |
225,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 6.125%, 12/15/2045 | 282,816 | |
4,270,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 30Y, 6.000%, 6/15/2048 | 5,367,557 | |
6,250,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.850%, 3/15/2044 | 7,581,072 | |
1,650,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 5.800%, 3/15/2035 | 2,075,326 | |
5,870,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 7,886,502 | |
520,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, Series MTN, 6.950%, 1/15/2038 | 724,172 | |
3,320,000 | Kinder Morgan, Inc., Sr. Unsecd. Note, 3.250%, 8/1/2050 | 3,146,581 | |
320,000 | MPLX LP, Sr. Unsecd. Note, 4.500%, 4/15/2038 | 355,671 | |
5,200,000 | MPLX LP, Sr. Unsecd. Note, 4.900%, 4/15/2058 | 6,097,588 | |
2,220,000 | MPLX LP, Sr. Unsecd. Note, Series WI, 4.250%, 12/1/2027 | 2,445,779 | |
1,631,000 | ONEOK, Inc., Sr. Unsecd. Note, 2.200%, 9/15/2025 | 1,661,873 | |
8,390,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 9,827,882 | |
3,850,000 | Texas Eastern Transmission LP, Sr. Unsecd. Note, 144A, 2.800%, 10/15/2022 | 3,893,554 | |
225,000 | Williams Partners LP, Sr. Unsecd. Note, 4.850%, 3/1/2048 | 274,205 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Energy - Midstream— continued | |||
$ 7,275,000 | Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045 | $8,747,211 | |
TOTAL | 101,017,648 | ||
Energy - Oil Field Services— 0.0% | |||
175,000 | Burlington Resources, LLC., Sr. Unsecd. Note, 7.200%, 8/15/2031 | 249,173 | |
615,000 | Schlumberger Holdings Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/21/2025 | 669,880 | |
TOTAL | 919,053 | ||
Energy - Refining— 0.5% | |||
535,000 | HollyFrontier Corp., Sr. Unsecd. Note, 5.875%, 4/1/2026 | 603,798 | |
325,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.500%, 4/1/2048 | 372,025 | |
11,295,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044 | 13,291,867 | |
6,615,000 | Phillips 66, Sr. Unsecd. Note, 0.900%, 2/15/2024 | 6,567,031 | |
5,255,000 | Phillips 66, Sr. Unsecd. Note, 1.300%, 2/15/2026 | 5,156,065 | |
7,360,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 9,142,761 | |
4,020,000 | Valero Energy Corp., 7.500%, 4/15/2032 | 5,510,890 | |
9,985,000 | Valero Energy Corp., Sr. Unsecd. Note, 2.800%, 12/1/2031 | 9,832,984 | |
395,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.350%, 6/1/2028 | 436,250 | |
TOTAL | 50,913,671 | ||
Financial Institution - Banking— 5.9% | |||
10,350,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.580%, 4/22/2032 | 10,443,433 |
4,905,000 | 1 | Morgan Stanley, Sr. Unsecd. Note, 1.593%, 5/4/2027 | 4,852,284 |
4,995,000 | American Express Co., 2.650%, 12/2/2022 | 5,104,232 | |
355,000 | American Express Co., Sr. Unsecd. Note, 3.000%, 10/30/2024 | 372,872 | |
10,720,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 11,448,539 | |
9,900,000 | Bank of America Corp., Sr. Unsecd. Note, 2.572%, 10/20/2032 | 9,949,466 | |
8,185,000 | Bank of America Corp., Sr. Unsecd. Note, 2.592%, 4/29/2031 | 8,257,606 | |
5,440,000 | Bank of America Corp., Sr. Unsecd. Note, 2.687%, 4/22/2032 | 5,511,908 | |
11,460,000 | Bank of America Corp., Sr. Unsecd. Note, 3.419%, 12/20/2028 | 12,222,040 | |
5,400,000 | Bank of America Corp., Sr. Unsecd. Note, Series GMTN, 3.593%, 7/21/2028 | 5,810,582 | |
7,000,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 1.898%, 7/23/2031 | 6,698,350 | |
23,225,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 1.922%, 10/24/2031 | 22,181,766 | |
10,000,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.087%, 6/14/2029 | 9,871,427 | |
10,235,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.884%, 10/22/2030 | 10,587,247 | |
8,440,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.824%, 1/20/2028 | 9,153,739 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 1,622,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 4.000%, 4/1/2024 | $1,728,558 | |
3,500,000 | Bank of America Corp., Sub. Note, Series L, 3.950%, 4/21/2025 | 3,757,696 | |
560,000 | Bank of America Corp., Sub. Note, Series MTN, 4.200%, 8/26/2024 | 602,050 | |
660,000 | Bank of America Corp., Sub. Note, Series MTN, 4.450%, 3/3/2026 | 726,744 | |
6,840,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.250%, 9/11/2024 | 7,231,943 | |
1,740,000 | Bank of New York Mellon Corp., Sub. Note, Series MTN, 3.000%, 10/30/2028 | 1,857,856 | |
480,000 | Bank of New York Mellon, N.A., 3.400%, 5/15/2024 | 508,081 | |
2,100,000 | Capital One Bank, Sub. Note, 3.375%, 2/15/2023 | 2,162,075 | |
2,160,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 2,280,557 | |
15,085,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.572%, 6/3/2031 | 15,179,692 | |
3,970,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.750%, 4/25/2022 | 3,999,647 | |
895,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.876%, 7/24/2023 | 907,233 | |
5,665,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.976%, 11/5/2030 | 5,893,872 | |
9,070,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.106%, 4/8/2026 | 9,513,680 | |
10,215,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.142%, 1/24/2023 | 10,251,839 | |
7,000,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.300%, 4/27/2025 | 7,449,517 | |
2,320,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.352%, 4/24/2025 | 2,430,081 | |
5,000,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.887%, 1/10/2028 | 5,424,542 | |
10,000,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.412%, 3/31/2031 | 11,413,269 | |
3,080,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.500%, 1/14/2022 | 3,095,067 | |
345,000 | Citigroup, Inc., Sub. Note, 4.450%, 9/29/2027 | 383,995 | |
13,600,000 | Citizens Financial Group, Inc., Sub. Note, 2.638%, 9/30/2032 | 13,633,066 | |
6,770,000 | Comerica, Inc., 3.800%, 7/22/2026 | 7,347,630 | |
6,980,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 7,527,767 | |
7,540,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.650%, 1/25/2024 | 7,934,918 | |
4,280,000 | Fifth Third Bank, Sr. Unsecd. Note, Series BKNT, 2.250%, 2/1/2027 | 4,391,889 | |
14,145,000 | FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 14,315,168 | |
10,375,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.948%, 10/21/2027 | 10,357,039 | |
5,815,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.992%, 1/27/2032 | 5,571,572 | |
10,000,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.600%, 2/7/2030 | 10,145,769 | |
12,000,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.500%, 11/16/2026 | 12,788,378 | |
6,000,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.691%, 6/5/2028 | 6,471,744 | |
10,000,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.800%, 3/15/2030 | 10,978,564 | |
8,000,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.814%, 4/23/2029 | 8,721,518 | |
8,150,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, Series DMTN, 2.383%, 7/21/2032 | 8,002,587 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 500,000 | HSBC Holdings PLC, Jr. Sub. Note, 6.375%, 9/30/2070 | $538,138 | |
7,445,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 1.589%, 5/24/2027 | 7,278,073 | |
2,400,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.262%, 3/13/2023 | 2,417,025 | |
10,000,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.900%, 5/25/2026 | 10,819,170 | |
4,450,000 | HSBC USA, Inc., Sr. Unsecd. Note, 3.500%, 6/23/2024 | 4,714,025 | |
4,500,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 4.000%, 5/15/2025 | 4,871,249 | |
720,000 | JPMorgan Chase & Co., Jr. Sub. Deb., Series X, 6.100%, 4/1/2170 | 762,750 | |
610,000 | JPMorgan Chase & Co., Jr. Sub. Note, Series FF, 5.000%, 2/1/2170 | 622,581 | |
15,175,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.764%, 11/19/2031 | 14,365,637 | |
3,990,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.953%, 2/4/2032 | 3,827,805 | |
15,000,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.522%, 4/22/2031 | 15,149,235 | |
2,000,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.300%, 4/1/2026 | 2,133,909 | |
7,450,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.509%, 1/23/2029 | 8,017,698 | |
10,000,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.540%, 5/1/2028 | 10,744,991 | |
410,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.559%, 4/23/2024 | 425,193 | |
10,000,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.702%, 5/6/2030 | 10,905,677 | |
235,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.882%, 7/24/2038 | 269,704 | |
245,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 4.023%, 12/5/2024 | 258,961 | |
4,000,000 | JPMorgan Chase & Co., Sub. Note, 3.375%, 5/1/2023 | 4,144,815 | |
635,000 | Lloyds Banking Group PLC, Sub. Note, 4.650%, 3/24/2026 | 701,407 | |
2,550,000 | M&T Bank Corp., Sr. Unsecd. Note, 3.550%, 7/26/2023 | 2,653,482 | |
5,000,000 | Manufacturers & Traders Trust Co., Sr. Unsecd. Note, Series BKNT, 2.500%, 5/18/2022 | 5,039,688 | |
5,000,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.239%, 7/21/2032 | 4,903,626 | |
1,665,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.699%, 1/22/2031 | 1,711,273 | |
425,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.125%, 1/23/2023 | 436,765 | |
12,000,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.772%, 1/24/2029 | 13,108,692 | |
685,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 4.000%, 7/23/2025 | 743,574 | |
12,000,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 4.431%, 1/23/2030 | 13,698,602 | |
11,990,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.794%, 2/13/2032 | 11,367,174 | |
2,000,000 | 2 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 7.251% (US CPI Urban Consumers YoY NSA +2.000%), 5/17/2023 | 2,114,502 |
5,000,000 | Morgan Stanley, Sub. Note, 3.950%, 4/23/2027 | 5,467,806 | |
6,300,000 | Morgan Stanley, Sub. Note, Series MTN, 4.100%, 5/22/2023 | 6,587,582 | |
500,000 | Natwest Group PLC, Sub. Deb., 6.125%, 12/15/2022 | 526,178 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 160,000 | Natwest Group PLC, Sub. Note, 6.000%, 12/19/2023 | $174,551 | |
5,100,000 | PNC Bank, N.A., Sr. Unsecd. Note, Series BKNT, 3.250%, 1/22/2028 | 5,522,007 | |
6,215,000 | PNC Bank, N.A., Sub. Note, Series BKNT, 2.700%, 11/1/2022 | 6,330,212 | |
3,245,000 | PNC Financial Services Group, Sr. Unsecd. Note, 2.550%, 1/22/2030 | 3,347,330 | |
63,917 | 3 | Regional Diversified Funding, 144A, 9.250%, 3/15/2030 | 26,845 |
6,105,000 | Regions Financial Corp., Sr. Unsecd. Note, 2.250%, 5/18/2025 | 6,274,097 | |
3,000,000 | State Street Corp., Sr. Unsecd. Note, 3.550%, 8/18/2025 | 3,255,072 | |
1,930,000 | State Street Corp., Sr. Unsecd. Note, Series WI, 2.825%, 3/30/2023 | 1,944,220 | |
370,000 | State Street Corp., Sub. Deb., 3.031%, 11/1/2034 | 387,740 | |
8,000,000 | State Street Corp., Sub. Note, 2.200%, 3/3/2031 | 7,957,413 | |
2,495,000 | Synovus Bank GA, Sr. Unsecd. Note, 2.289%, 2/10/2023 | 2,499,948 | |
350,000 | Truist Bank, Sub. Deb., Series BKNT, 2.636%, 9/17/2029 | 361,285 | |
3,310,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 3,534,537 | |
10,250,000 | Truist Bank, Sub. Note, Series BKNT, 3.800%, 10/30/2026 | 11,235,984 | |
4,000,000 | Truist Financial Corp., Sr. Unsecd. Note, 4.000%, 5/1/2025 | 4,335,507 | |
500,000 | Truist Financial Corp., Sub. Note, 6.000%, 2/15/2026 | 581,928 | |
10,335,000 | US Bancorp, Sr. Unsecd. Note, Series MTN, 1.375%, 7/22/2030 | 9,764,495 | |
265,000 | Wells Fargo & Co., Series MTN, 4.100%, 6/3/2026 | 289,211 | |
12,570,000 | Wells Fargo & Co., Sr. Unsecd. Note, 2.188%, 4/30/2026 | 12,840,959 | |
8,400,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 8,845,566 | |
10,825,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.393%, 6/2/2028 | 10,972,681 | |
10,240,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.879%, 10/30/2030 | 10,630,819 | |
18,650,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 20,093,117 | |
435,000 | Westpac Banking Corp., Sub. Note, Series GMTN, 4.322%, 11/23/2031 | 472,214 | |
TOTAL | 660,455,819 | ||
Financial Institution - Broker/Asset Mgr/Exchange— 0.3% | |||
2,845,000 | 1 | BlackRock, Inc., Sr. Unsecd. Note, 1.900%, 1/28/2031 | 2,832,243 |
2,645,000 | FMR LLC, Bond, 144A, 7.570%, 6/15/2029 | 3,690,063 | |
2,810,000 | Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026 | 3,051,119 | |
4,220,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 4,210,710 | |
3,265,000 | Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028 | 3,667,437 | |
4,105,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 4,786,299 | |
3,580,000 | Stifel Financial Corp., 4.250%, 7/18/2024 | 3,842,708 | |
5,240,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.000%, 5/15/2030 | 5,813,716 | |
5,085,000 | TIAA Asset Management Finance Co. LLC, Sr. Unsecd. Note, 144A, 4.125%, 11/1/2024 | 5,500,980 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - Broker/Asset Mgr/Exchange— continued | |||
$ 435,000 | XLIT Ltd., Sub. Note, 4.450%, 3/31/2025 | $473,754 | |
TOTAL | 37,869,029 | ||
Financial Institution - Finance Companies— 0.6% | |||
8,000,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 2.450%, 10/29/2026 | 8,024,720 | |
5,420,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.000%, 10/29/2028 | 5,461,915 | |
11,725,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.400%, 10/29/2033 | 11,814,519 | |
6,500,000 | Discover Bank, Sr. Unsecd. Note, Series BKNT, 4.650%, 9/13/2028 | 7,438,027 | |
3,975,000 | Discover Financial Services, Sr. Unsecd. Note, 3.850%, 11/21/2022 | 4,095,487 | |
9,370,000 | GE Capital Funding LLC, Sr. Unsecd. Note, 4.400%, 5/15/2030 | 11,148,230 | |
12,753,000 | GE Capital International Funding, Inc., Sr. Unsecd. Note, 4.418%, 11/15/2035 | 15,428,471 | |
250,000 | International Lease Finance Corp., 5.875%, 8/15/2022 | 258,983 | |
743,000 | Susa Partnership LP, Deb., 7.500%, 12/1/2027 | 986,939 | |
TOTAL | 64,657,291 | ||
Financial Institution - Insurance - Health— 0.0% | |||
5,080,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 2.900%, 5/15/2050 | 5,206,790 | |
Financial Institution - Insurance - Life— 1.0% | |||
11,000,000 | American International Group, Inc., 4.500%, 7/16/2044 | 13,494,220 | |
2,600,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 2,770,843 | |
3,600,000 | AXA-UAP, Sub. Note, 8.600%, 12/15/2030 | 5,227,861 | |
5,535,000 | Belrose Funding Trust, Sr. Unsecd. Note, 2.330%, 8/15/2030 | 5,464,642 | |
7,780,000 | Lincoln National Corp., Sr. Note, 7.000%, 6/15/2040 | 11,990,380 | |
2,650,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 5.375%, 12/1/2041 | 3,552,024 | |
4,968,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 8.875%, 6/1/2039 | 8,194,235 | |
330,000 | MetLife, Inc., Jr. Sub. Note, 6.400%, 12/15/2036 | 409,834 | |
2,200,000 | MetLife, Inc., Jr. Sub. Note, 10.750%, 8/1/2039 | 3,767,935 | |
5,000,000 | MetLife, Inc., Sr. Unsecd. Note, 4.050%, 3/1/2045 | 6,011,130 | |
16,268,000 | Northwestern Mutual Life Insurance Co., Sr. Unsecd. Note, 144A, 3.625%, 9/30/2059 | 18,353,198 | |
5,060,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 6,014,378 | |
3,000,000 | Pacific LifeCorp., Bond, 144A, 6.600%, 9/15/2033 | 4,235,827 | |
2,070,000 | Penn Mutual Life Insurance Co., Sr. Note, 144A, 7.625%, 6/15/2040 | 3,096,769 | |
5,450,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 3.100%, 11/15/2026 | 5,809,640 | |
2,190,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2022 | 2,242,559 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - Insurance - Life— continued | |||
$ 8,000,000 | Prudential Financial, Inc., Series MTN, 5.100%, 8/15/2043 | $9,793,183 | |
1,050,000 | Prudential Financial, Inc., Series MTN, 6.625%, 12/1/2037 | 1,548,464 | |
2,050,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 6.200%, 11/15/2040 | 2,940,654 | |
TOTAL | 114,917,776 | ||
Financial Institution - Insurance - P&C— 0.7% | |||
1,000,000 | Assured Guaranty US Holding, Inc., 7.000%, 6/1/2034 | 1,370,048 | |
255,000 | Berkshire Hathaway Finance Corp., Sr. Unsecd. Note, 4.200%, 8/15/2048 | 315,193 | |
3,500,000 | Berkshire Hathaway, Inc., Sr. Unsecd. Note, 3.125%, 3/15/2026 | 3,746,371 | |
4,350,000 | Chubb INA Holdings, Inc., 3.350%, 5/3/2026 | 4,688,253 | |
10,175,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 1.375%, 9/15/2030 | 9,526,045 | |
3,700,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 3.350%, 5/15/2024 | 3,914,897 | |
1,000,000 | Cincinnati Financial Corp., 6.920%, 5/15/2028 | 1,296,203 | |
2,395,000 | CNA Financial Corp., Sr. Unsecd. Note, 2.050%, 8/15/2030 | 2,354,782 | |
7,895,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029 | 8,794,750 | |
4,930,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 2.900%, 9/15/2051 | 4,907,880 | |
2,500,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 6.625%, 4/15/2042 | 3,650,132 | |
1,103,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 6/15/2023 | 1,157,699 | |
6,862,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.569%, 2/1/2029 | 7,976,947 | |
4,100,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 4.950%, 4/22/2044 | 5,040,474 | |
6,600,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 11,652,680 | |
335,000 | Teachers Insurance & Annuity Association of America, Sub. Note, 144A, 4.900%, 9/15/2044 | 441,673 | |
7,295,000 | Travelers Cos., Inc., Sr. Unsecd. Note, 2.550%, 4/27/2050 | 7,119,164 | |
TOTAL | 77,953,191 | ||
Financial Institution - REIT - Apartment— 0.5% | |||
8,350,000 | 1 | UDR, Inc., Sr. Unsecd. Note, Series MTN, 2.100%, 6/15/2033 | 7,964,684 |
12,130,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 13,134,443 | |
2,240,000 | Camden Property Trust, Sr. Unsecd. Note, 2.800%, 5/15/2030 | 2,356,439 | |
3,745,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | 4,087,008 | |
5,100,000 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.750%, 6/15/2024 | 5,407,918 | |
3,360,000 | Mid-America Apartment Communities LP, Sr. Unsub. Note, 1.700%, 2/15/2031 | 3,187,456 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - REIT - Apartment— continued | |||
$ 1,955,000 | Post Apartment Homes LP, Sr. Unsecd. Note, 3.375%, 12/1/2022 | $1,994,528 | |
1,905,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | 1,996,535 | |
2,100,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 2,275,857 | |
10,100,000 | UDR, Inc., Sr. Unsecd. Note, Series MTN, 2.100%, 8/1/2032 | 9,660,072 | |
TOTAL | 52,064,940 | ||
Financial Institution - REIT - Healthcare— 0.4% | |||
3,000,000 | Health Care REIT, Inc., Sr. Unsecd. Note, 4.000%, 6/1/2025 | 3,235,373 | |
7,680,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 7,256,835 | |
4,110,000 | Healthcare Trust of America, Sr. Unsecd. Note, 3.100%, 2/15/2030 | 4,271,777 | |
6,225,000 | Physicians Realty Trust, Sr. Unsecd. Note, 2.625%, 11/1/2031 | 6,226,593 | |
5,000,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 5,521,623 | |
3,650,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 4,076,261 | |
6,155,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031 | 6,341,016 | |
6,050,000 | Welltower, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2031 | 6,196,627 | |
2,500,000 | Welltower, Inc., Sr. Unsecd. Note, 4.250%, 4/1/2026 | 2,754,399 | |
TOTAL | 45,880,504 | ||
Financial Institution - REIT - Office— 0.2% | |||
5,310,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 1.875%, 2/1/2033 | 5,006,816 | |
2,220,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 2,424,748 | |
5,000,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.900%, 12/15/2030 | 6,037,690 | |
5,330,000 | Boston Properties LP, Sr. Unsecd. Note, 3.200%, 1/15/2025 | 5,598,554 | |
1,180,000 | Boston Properties LP, Sr. Unsecd. Note, 3.250%, 1/30/2031 | 1,234,872 | |
4,810,000 | Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | 4,757,440 | |
TOTAL | 25,060,120 | ||
Financial Institution - REIT - Other— 0.2% | |||
440,000 | Host Hotels & Resorts LP, Sr. Unsecd. Note, Series D, 3.750%, 10/15/2023 | 461,393 | |
7,400,000 | WP Carey, Inc., Sr. Unsecd. Note, 2.400%, 2/1/2031 | 7,333,910 | |
2,925,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | 3,249,073 | |
10,000,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 10,676,868 | |
TOTAL | 21,721,244 | ||
Financial Institution - REIT - Retail— 0.2% | |||
3,390,000 | Kimco Realty Corp., Sr. Unsecd. Note, 1.900%, 3/1/2028 | 3,351,049 | |
8,810,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.800%, 10/1/2026 | 9,257,416 | |
1,530,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.400%, 11/1/2022 | 1,560,093 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - REIT - Retail— continued | |||
$ 3,330,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | $3,714,557 | |
TOTAL | 17,883,115 | ||
Municipal Services— 0.0% | |||
1,405,000 | Camp Pendleton & Quantico Housing LLC, 5.572%, 10/1/2050 | 1,771,000 | |
Sovereign— 0.0% | |||
3,700,000 | Inter-American Development Bank, Series MTN, 6.750%, 7/15/2027 | 4,720,490 | |
Supranational— 0.0% | |||
1,875,000 | Corp Andina De Fomento, Sr. Unsecd. Note, 4.375%, 6/15/2022 | 1,913,229 | |
Technology— 2.3% | |||
2,650,000 | 1 | Microsoft Corp., Sr. Unsecd. Note, 2.400%, 8/8/2026 | 2,765,867 |
5,000,000 | 1 | Oracle Corp., Sr. Unsecd. Note, 2.500%, 5/15/2022 | 5,030,127 |
3,965,000 | 1 | Apple, Inc., Sr. Unsecd. Note, 2.375%, 2/8/2041 | 3,893,019 |
3,300,000 | 1 | VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026 | 3,226,469 |
2,575,000 | 1 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | 2,509,587 |
2,000,000 | Apple, Inc., 3.450%, 5/6/2024 | 2,116,842 | |
555,000 | Apple, Inc., 3.850%, 5/4/2043 | 659,767 | |
7,000,000 | Apple, Inc., Sr. Unsecd. Note, 2.900%, 9/12/2027 | 7,443,979 | |
9,600,000 | Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044 | 12,448,371 | |
6,800,000 | Automatic Data Processing, Inc., 3.375%, 9/15/2025 | 7,295,034 | |
5,602,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 6,134,019 | |
6,498,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 7,110,550 | |
3,953,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.137%, 11/15/2035 | 3,889,673 | |
352,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036 | 346,955 | |
9,953,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.419%, 4/15/2033 | 10,264,978 | |
1,815,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2051 | 1,891,474 | |
9,315,000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | 9,390,777 | |
2,000,000 | Cisco Systems, Inc., 3.625%, 3/4/2024 | 2,125,285 | |
7,995,000 | Dell International LLC / EMC Corp., Sec. Fac. Bond, 5.850%, 7/15/2025 | 9,152,494 | |
5,185,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 5,379,286 | |
1,535,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 1,722,440 | |
2,280,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.100%, 3/1/2041 | 2,281,905 | |
6,885,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 7,344,738 | |
6,585,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023 | 6,919,073 | |
775,000 | IBM Corp., Sr. Unsecd. Note, 2.850%, 5/13/2022 | 783,732 | |
6,000,000 | Intel Corp., Sr. Unsecd. Note, 3.700%, 7/29/2025 | 6,499,457 | |
5,630,000 | Keysight Technologies, Inc., 4.550%, 10/30/2024 | 6,129,625 | |
5,955,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029 | 6,296,935 | |
6,100,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 6,865,226 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Technology— continued | |||
$ 10,995,000 | Micron Technology, Inc., Sr. Unsecd. Note, 3.366%, 11/1/2041 | $11,092,581 | |
4,500,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.975%, 2/6/2026 | 5,034,127 | |
1,297,000 | Microsoft Corp., Sr. Unsecd. Note, 2.675%, 6/1/2060 | 1,296,652 | |
2,857,000 | Microsoft Corp., Sr. Unsecd. Note, 2.921%, 3/17/2052 | 3,046,521 | |
6,123,000 | Microsoft Corp., Sr. Unsecd. Note, 3.041%, 3/17/2062 | 6,632,553 | |
2,000,000 | Microsoft Corp., Sr. Unsecd. Note, 3.125%, 11/3/2025 | 2,138,095 | |
284,000 | Microsoft Corp., Sr. Unsecd. Note, 3.450%, 8/8/2036 | 326,806 | |
7,000,000 | Oracle Corp., 6.500%, 4/15/2038 | 9,851,654 | |
6,070,000 | Oracle Corp., Sr. Unsecd. Note, 1.650%, 3/25/2026 | 6,043,322 | |
12,665,000 | Oracle Corp., Sr. Unsecd. Note, 2.950%, 4/1/2030 | 13,089,870 | |
6,070,000 | Oracle Corp., Sr. Unsecd. Note, 3.650%, 3/25/2041 | 6,328,772 | |
2,100,000 | SAIC, Inc., Company Guarantee, Series 1, 5.950%, 12/1/2040 | 2,671,312 | |
1,650,000 | Skyworks Solutions, Inc., Sr. Unsecd. Note, 1.800%, 6/1/2026 | 1,649,691 | |
5,430,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | 6,041,576 | |
1,970,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 2,187,029 | |
1,750,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 9/12/2022 | 1,794,088 | |
2,485,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 2,803,942 | |
8,000,000 | Verisk Analytics, Inc., Unsecd. Note, 4.000%, 6/15/2025 | 8,673,634 | |
7,715,000 | Vontier Corp., Sr. Unsecd. Note, 144A, 1.800%, 4/1/2026 | 7,580,026 | |
10,000,000 | Vontier Corp., Sr. Unsecd. Note, 144A, 2.950%, 4/1/2031 | 9,894,000 | |
TOTAL | 256,093,935 | ||
Technology Services— 0.2% | |||
4,360,000 | Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026 | 4,244,979 | |
4,700,000 | Global Payments, Inc., Sr. Unsecd. Note, 1.200%, 3/1/2026 | 4,557,748 | |
14,000,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2027 | 14,006,013 | |
1,405,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.900%, 5/15/2030 | 1,424,119 | |
2,450,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 2,476,374 | |
TOTAL | 26,709,233 | ||
Transportation - Airlines— 0.2% | |||
3,950,000 | Southwest Airlines Co., Sr. Unsecd. Note, 4.750%, 5/4/2023 | 4,147,643 | |
2,150,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.125%, 6/15/2027 | 2,451,083 | |
9,134,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | 10,154,887 | |
TOTAL | 16,753,613 | ||
Transportation - Railroads— 0.4% | |||
5,000,000 | 1 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.900%, 2/1/2025 | 5,243,679 |
6,590,000 | 1 | Union Pacific Corp., Sr. Unsecd. Note, 2.375%, 5/20/2031 | 6,731,855 |
1,898,000 | Burlington Northern Santa Fe Corp., 3.050%, 9/1/2022 | 1,925,046 | |
1,850,000 | Canadian Pacific Railway Co., 7.125%, 10/15/2031 | 2,569,749 | |
1,570,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 1.750%, 12/2/2026 | 1,571,812 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Transportation - Railroads— continued | |||
$ 2,725,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.050%, 3/5/2030 | $2,699,351 | |
1,470,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 3.000%, 12/2/2041 | 1,498,383 | |
3,445,000 | CSX Corp., Sr. Unsecd. Note, 3.800%, 4/15/2050 | 4,037,529 | |
5,925,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2023 | 6,085,921 | |
4,660,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 4.700%, 5/1/2048 | 5,924,771 | |
6,565,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 6,731,015 | |
TOTAL | 45,019,111 | ||
Transportation - Services— 0.7% | |||
6,620,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2042 | 9,197,009 | |
4,510,000 | FedEx Corp., Sr. Unsecd. Note, 3.250%, 5/15/2041 | 4,605,652 | |
545,000 | FedEx Corp., Sr. Unsecd. Note, 3.900%, 2/1/2035 | 610,685 | |
8,075,000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | 9,199,946 | |
10,625,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 144A, 1.650%, 7/15/2026 | 10,409,259 | |
6,395,000 | GXO Logistics, Inc., Sr. Unsecd. Note, 144A, 2.650%, 7/15/2031 | 6,325,135 | |
10,000,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 1.700%, 6/15/2026 | 9,928,008 | |
8,750,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.375%, 2/1/2022 | 8,750,000 | |
7,135,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 4.000%, 7/15/2025 | 7,714,557 | |
6,135,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.900%, 12/1/2026 | 6,432,729 | |
8,000,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.400%, 3/1/2023 | 8,250,691 | |
TOTAL | 81,423,671 | ||
Utility - Electric— 2.3% | |||
8,000,000 | 1 | EDP Finance BV, Sr. Unsecd. Note, 144A, 1.710%, 1/24/2028 | 7,805,439 |
3,150,000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025 | 3,367,666 | |
8,000,000 | Ameren Corp., Sr. Unsecd. Note, 1.750%, 3/15/2028 | 7,776,526 | |
3,790,000 | Ameren Corp., Sr. Unsecd. Note, 1.950%, 3/15/2027 | 3,789,563 | |
2,960,000 | Ameren Corp., Sr. Unsecd. Note, 3.650%, 2/15/2026 | 3,175,674 | |
535,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 3.250%, 3/1/2050 | 540,507 | |
2,125,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series F, 2.950%, 12/15/2022 | 2,162,118 | |
3,835,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series M, 0.750%, 11/1/2023 | 3,803,715 | |
6,275,000 | Berkshire Hathaway Energy Co., Sr. Unsecd. Note, Series WI, 4.050%, 4/15/2025 | 6,832,343 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Utility - Electric— continued | |||
$ 5,045,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | $5,029,996 | |
1,600,000 | Consolidated Edison Co., 4.625%, 12/1/2054 | 2,041,355 | |
2,590,000 | Consolidated Edison Co., Sr. Unsecd. Note, Series 20B, 3.950%, 4/1/2050 | 3,025,730 | |
5,265,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 5,483,932 | |
2,025,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series A, 1.450%, 4/15/2026 | 2,002,772 | |
6,455,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series C, 3.375%, 4/1/2030 | 6,862,146 | |
12,020,000 | Duke Energy Corp., Sr. Unsecd. Note, 3.750%, 9/1/2046 | 12,997,542 | |
2,775,000 | Duke Energy Indiana, Inc., 1st Mtg. Bond, 6.350%, 8/15/2038 | 4,014,843 | |
427,000 | Duke Energy Indiana, Inc., Sr. Deb., 6.120%, 10/15/2035 | 575,899 | |
6,150,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 6,488,978 | |
5,885,000 | Electricite de France SA, Note, 144A, 5.600%, 1/27/2040 | 7,814,538 | |
3,940,000 | Emera US Finance LP, Sr. Unsecd. Note, 3.550%, 6/15/2026 | 4,219,823 | |
15,600,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 18,552,872 | |
5,950,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 2.250%, 7/12/2031 | 5,824,480 | |
513,000 | Entergy Louisiana LLC, 1st Mtg. Bond, 5.400%, 11/1/2024 | 573,234 | |
7,880,000 | EverSource Energy, Sr. Unsecd. Note, 3.450%, 1/15/2050 | 8,419,655 | |
6,955,000 | EverSource Energy, Sr. Unsecd. Note, Series L, 2.900%, 10/1/2024 | 7,233,377 | |
7,100,000 | Exelon Corp., Sr. Unsecd. Note, 3.950%, 6/15/2025 | 7,630,573 | |
4,012,000 | Exelon Corp., Sr. Unsecd. Note, 4.450%, 4/15/2046 | 4,985,062 | |
2,385,000 | Exelon Corp., Sr. Unsecd. Note, 4.700%, 4/15/2050 | 3,077,764 | |
3,220,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 3,772,414 | |
6,043,000 | Fortis, Inc. / Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 6,329,260 | |
5,400,000 | Gulf Power Co., 4.550%, 10/1/2044 | 6,333,122 | |
1,250,000 | Gulf Power Co., Sr. Unsecd. Note, Series 12-A, 3.100%, 5/15/2022 | 1,263,962 | |
4,130,000 | Kansas City Power and Light Co., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 5,075,772 | |
1,325,000 | MidAmerican Energy Holdings Co., Sr. Unsecd. Note, 5.950%, 5/15/2037 | 1,817,716 | |
8,040,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 8,810,902 | |
4,125,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.150%, 4/1/2024 | 4,310,315 | |
4,970,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.550%, 5/1/2027 | 5,368,924 | |
2,000,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.625%, 6/15/2023 | 2,062,312 | |
5,000,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.950%, 3/30/2048 | 5,752,136 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Utility - Electric— continued | |||
$ 2,685,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | $3,238,194 | |
250,000 | Northern States Power Co., MN, 7.125%, 7/1/2025 | 298,762 | |
7,805,000 | Public Service Enterprises Group, Inc., Sr. Unsecd. Note, 2.450%, 11/15/2031 | 7,731,773 | |
2,955,000 | Public Service Enterprises Group, Inc., Sr. Unsecd. Note, 2.875%, 6/15/2024 | 3,069,158 | |
3,150,000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | 3,122,711 | |
15,495,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 15,785,531 | |
6,920,000 | Southern Co., Sr. Unsecd. Note, Series A, 3.700%, 4/30/2030 | 7,512,840 | |
1,500,000 | Southwestern Electric Power Co., Sr. Unsecd. Note, 6.200%, 3/15/2040 | 2,127,610 | |
9,945,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 0.550%, 9/15/2023 | 9,872,343 | |
TOTAL | 259,763,879 | ||
Utility - Natural Gas— 0.4% | |||
2,930,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | 3,763,104 | |
5,920,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 5,999,198 | |
2,870,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.950%, 9/15/2027 | 3,015,685 | |
8,320,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 9,433,554 | |
450,000 | Sempra Energy, Sr. Unsecd. Note, 2.900%, 2/1/2023 | 460,143 | |
5,300,000 | Sempra Energy, Sr. Unsecd. Note, 3.550%, 6/15/2024 | 5,621,960 | |
1,160,000 | Sempra Energy, Sr. Unsecd. Note, 6.000%, 10/15/2039 | 1,612,292 | |
7,490,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 9,202,170 | |
135,000 | TransCanada PipeLines Ltd., Sr. Unsecd. Note, 6.200%, 10/15/2037 | 184,724 | |
TOTAL | 39,292,830 | ||
Utility - Natural Gas Distributor— 0.0% | |||
1,765,000 | Southern Co. Gas Capital, Sr. Unsecd. Note, 3.950%, 10/1/2046 | 1,998,595 | |
2,045,000 | The East Ohio Gas Company, Sr. Unsecd. Note, 144A, 3.000%, 6/15/2050 | 2,049,268 | |
TOTAL | 4,047,863 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $3,505,407,935) | 3,736,926,393 | ||
U.S. TREASURIES— 20.4% | |||
U.S. Treasury Bonds— 6.6% | |||
619,549,500 | United States Treasury Bond, 2.000%, 8/15/2051 | 648,601,911 | |
4,845,000 | United States Treasury Bond, 2.250%, 8/15/2049 | 5,318,830 | |
13,420,000 | United States Treasury Bond, 2.375%, 11/15/2049 | 15,135,080 | |
215,000 | United States Treasury Bond, 2.500%, 2/15/2045 | 240,753 | |
250,000 | United States Treasury Bond, 2.500%, 2/15/2046 | 281,790 | |
350,000 | United States Treasury Bond, 2.500%, 5/15/2046 | 394,946 | |
9,000,000 | United States Treasury Bond, 2.750%, 11/15/2047 | 10,733,233 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
U.S. TREASURIES— continued | |||
U.S. Treasury Bonds— continued | |||
$ 9,000,000 | United States Treasury Bond, 2.875%, 5/15/2043 | $10,580,284 | |
2,380,000 | United States Treasury Bond, 2.875%, 8/15/2045 | 2,848,121 | |
10,400,000 | United States Treasury Bond, 2.875%, 5/15/2049 | 12,839,874 | |
2,000,000 | United States Treasury Bond, 3.000%, 5/15/2042 | 2,392,853 | |
800,000 | United States Treasury Bond, 3.000%, 11/15/2045 | 979,405 | |
2,000,000 | United States Treasury Bond, 3.000%, 2/15/2047 | 2,474,501 | |
750,000 | United States Treasury Bond, 3.000%, 5/15/2047 | 930,146 | |
850,000 | United States Treasury Bond, 3.000%, 8/15/2048 | 1,064,908 | |
950,000 | United States Treasury Bond, 3.125%, 8/15/2044 | 1,171,503 | |
3,215,000 | United States Treasury Bond, 3.125%, 5/15/2048 | 4,112,740 | |
2,885,000 | United States Treasury Bond, 3.750%, 8/15/2041 | 3,806,903 | |
3,100,000 | 1 | United States Treasury Bond, 4.500%, 2/15/2036 | 4,323,912 |
5,000,000 | United States Treasury Bond, 5.250%, 11/15/2028 | 6,300,296 | |
4,000,000 | United States Treasury Bond, 7.125%, 2/15/2023 | 4,328,462 | |
TOTAL | 738,860,451 | ||
U.S. Treasury Notes— 13.8% | |||
53,453 | U.S. Treasury Inflation-Protected Notes, 0.125%, 10/15/2024 | 57,295 | |
228,856 | U.S. Treasury Inflation-Protected Notes, 0.125%, 7/15/2026 | 248,810 | |
5,169,364 | U.S. Treasury Inflation-Protected Notes, 0.125%, 10/15/2026 | 5,627,105 | |
182,949,359 | U.S. Treasury Inflation-Protected Notes, 0.125%, 7/15/2031 | 205,299,330 | |
7,788,078 | U.S. Treasury Inflation-Protected Notes, 0.250%, 2/15/2050 | 9,516,629 | |
1,021,932 | U.S. Treasury Inflation-Protected Notes, 0.375%, 1/15/2027 | 1,126,022 | |
241,075 | U.S. Treasury Inflation-Protected Notes, 0.375%, 7/15/2027 | 267,981 | |
3,262,590 | U.S. Treasury Inflation-Protected Notes, 0.500%, 4/15/2024 | 3,496,198 | |
291,195 | U.S. Treasury Inflation-Protected Notes, 0.750%, 2/15/2045 | 377,673 | |
325,881 | U.S. Treasury Inflation-Protected Notes, 0.875%, 1/15/2029 | 379,562 | |
117,725,000 | United States Treasury Note, 0.125%, 8/31/2023 | 116,991,114 | |
148,691,000 | United States Treasury Note, 0.250%, 9/30/2023 | 148,033,072 | |
6,000,000 | United States Treasury Note, 0.250%, 7/31/2025 | 5,838,854 | |
9,200,000 | United States Treasury Note, 0.250%, 8/31/2025 | 8,939,508 | |
265,000 | United States Treasury Note, 0.250%, 9/30/2025 | 257,390 | |
6,540,000 | United States Treasury Note, 0.375%, 9/15/2024 | 6,468,964 | |
11,000,000 | United States Treasury Note, 0.375%, 11/30/2025 | 10,703,569 | |
12,000,000 | United States Treasury Note, 0.375%, 7/31/2027 | 11,448,439 | |
10,410,000 | United States Treasury Note, 0.375%, 9/30/2027 | 9,898,154 | |
5,400,000 | United States Treasury Note, 0.500%, 4/30/2027 | 5,202,964 | |
1,500,000 | United States Treasury Note, 0.500%, 10/31/2027 | 1,434,421 | |
22,200,000 | United States Treasury Note, 0.750%, 3/31/2026 | 21,869,475 | |
8,200,000 | United States Treasury Note, 0.750%, 4/30/2026 | 8,071,315 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
U.S. TREASURIES— continued | |||
U.S. Treasury Notes— continued | |||
$109,090,000 | United States Treasury Note, 0.875%, 9/30/2026 | $107,693,823 | |
11,350,000 | United States Treasury Note, 0.875%, 11/15/2030 | 10,854,281 | |
700,000 | United States Treasury Note, 1.125%, 2/28/2027 | 698,167 | |
1,000,000 | United States Treasury Note, 1.125%, 2/29/2028 | 990,519 | |
11,000,000 | United States Treasury Note, 1.250%, 3/31/2028 | 10,958,078 | |
15,645,000 | United States Treasury Note, 1.250%, 4/30/2028 | 15,578,252 | |
53,955,000 | United States Treasury Note, 1.250%, 9/30/2028 | 53,546,609 | |
728,000,000 | 1 | United States Treasury Note, 1.375%, 11/15/2031 | 723,677,500 |
270,000 | United States Treasury Note, 1.625%, 5/15/2026 | 276,027 | |
21,650,000 | 4 | United States Treasury Note, 1.750%, 12/31/2026 | 22,299,102 |
6,180,000 | United States Treasury Note, 2.000%, 4/30/2024 | 6,373,798 | |
1,300,000 | United States Treasury Note, 2.125%, 9/30/2024 | 1,348,914 | |
1,300,000 | United States Treasury Note, 2.250%, 11/15/2025 | 1,360,794 | |
180,000 | United States Treasury Note, 2.375%, 5/15/2027 | 191,128 | |
100,000 | United States Treasury Note, 2.375%, 5/15/2029 | 107,059 | |
1,205,000 | United States Treasury Note, 2.500%, 5/15/2024 | 1,257,507 | |
130,000 | United States Treasury Note, 2.625%, 2/15/2029 | 141,206 | |
4,800,000 | United States Treasury Note, 2.750%, 2/15/2028 | 5,219,987 | |
455,000 | United States Treasury Note, 2.875%, 5/15/2028 | 498,768 | |
980,000 | United States Treasury Note, 2.875%, 8/15/2028 | 1,076,685 | |
400,000 | United States Treasury Note, 3.125%, 11/15/2028 | 447,086 | |
TOTAL | 1,546,149,134 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $2,231,833,841) | 2,285,009,585 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES— 1.0% | |||
Agency Commercial Mortgage-Backed Securities— 0.2% | |||
6,100,000 | FREMF Mortgage Trust 2013-K25 REMIC, Class B, 3.745%, 11/25/2045 | 6,240,279 | |
11,890,000 | FREMF Mortgage Trust 2015-K49 REMIC, Class B, 3.848%, 10/25/2048 | 12,590,276 | |
TOTAL | 18,830,555 | ||
Commercial Mortgage— 0.8% | |||
4,500,000 | 2 | Bank 2018-BN15, Class A4, 4.407% (12-month USLIBOR +0.000%), 11/15/2061 | 5,156,624 |
8,800,000 | Bank 2019-BN16, Class A4, 4.005%, 2/15/2052 | 9,897,842 | |
4,359,000 | Bank, Class A5, 3.390%, 6/15/2060 | 4,701,712 | |
8,890,000 | Benchmark Mortgage Trust 2018-B1, Class A5, 3.666%, 1/15/2051 | 9,722,648 | |
29,700,000 | Benchmark Mortgage Trust 2018-B4, Class A5, 4.121%, 7/15/2051 | 33,442,592 | |
2,600,000 | CD Commercial Mortgage Trust 2016-CD1, Class A4, 2.724%, 8/10/2049 | 2,704,988 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES— continued | |||
Commercial Mortgage— continued | |||
$ 4,100,000 | CD Commercial Mortgage Trust 2016-CD4, Class A4, 3.514%, 5/10/2050 | $4,426,901 | |
14,400,000 | JPMDB Commercial Mortgage Securities Trust 2016-C4, Class A3, 3.141%, 12/15/2049 | 15,228,794 | |
3,342,000 | Wells Fargo Commercial Mortgage Trust 2017-C38, Class A5, 3.453%, 7/15/2050 | 3,612,410 | |
TOTAL | 88,894,511 | ||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $100,989,015) | 107,725,066 | ||
ASSET-BACKED SECURITIES— 0.3% | |||
Auto Receivables— 0.0% | |||
4,323,678 | AmeriCredit Automobile Receivables Trust 2017-2, Class D, 3.420%, 4/18/2023 | 4,342,918 | |
Credit Card— 0.3% | |||
14,419,000 | 2 | Master Credit Card Trust 2018-1A, Class A, 0.581% (1-month USLIBOR +0.490%), 7/21/2024 | 14,485,154 |
20,000,000 | 2 | Trillium Credit Card Trust II 2020-1A, Class A, 0.462% (1-month USLIBOR +0.370%), 12/26/2024 | 20,030,496 |
TOTAL | 34,515,650 | ||
Financial Institution - Finance Companies— 0.0% | |||
64,417 | Countrywide Home Loan, Inc., Class 2A1, 6.000%, 2/25/2037 | 32,473 | |
Other— 0.0% | |||
32,139 | Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 | 32,354 | |
Student Loans— 0.0% | |||
13,820 | 2 | Navient Student Loan Trust 2020-A, Class A1, 0.440% (1-month USLIBOR +0.350%), 11/15/2068 | 13,890 |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $38,904,272) | 38,937,285 | ||
FOREIGN GOVERNMENTS/AGENCIES— 0.2% | |||
Sovereign— 0.2% | |||
5,350,000 | Colombia, Government of, Sr. Unsecd. Note, 3.000%, 1/30/2030 | 4,872,031 | |
15,000,000 | Colombia, Government of, Sr. Unsecd. Note, 4.500%, 3/15/2029 | 15,314,400 | |
2,150,000 | Poland, Government of, 4.000%, 1/22/2024 | 2,274,915 | |
4,000,000 | Saudi Arabia, Government of, Sr. Unsecd. Note, 144A, 2.900%, 10/22/2025 | 4,193,840 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $27,295,415) | 26,655,186 | ||
MORTGAGE-BACKED SECURITIES— 0.0% | |||
Federal Home Loan Mortgage Corporation— 0.0% | |||
383 | Federal Home Loan Mortgage Corp., Pool C00879, 8.000%, 10/1/2029 | 438 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal Home Loan Mortgage Corporation— continued | |||
$ 88 | Federal Home Loan Mortgage Corp., Pool C41497, 7.500%, 9/1/2030 | $102 | |
138,389 | Federal Home Loan Mortgage Corp., Pool G01989, 6.000%, 12/1/2035 | 160,421 | |
17,728 | Federal Home Loan Mortgage Corp., Pool G03381, 5.500%, 9/1/2037 | 20,313 | |
387 | Federal Home Loan Mortgage Corp., Pool G03927, 5.500%, 1/1/2038 | 445 | |
149,360 | Federal Home Loan Mortgage Corp., Pool G08451, 4.500%, 6/1/2041 | 164,355 | |
5,528 | Federal Home Loan Mortgage Corp., Pool G14615, 4.500%, 9/1/2026 | 5,825 | |
5,840 | Federal Home Loan Mortgage Corp., Pool G14801, 3.000%, 6/1/2028 | 6,122 | |
5,797 | Federal Home Loan Mortgage Corp., Pool G18521, 3.500%, 8/1/2029 | 6,128 | |
4,021 | Federal Home Loan Mortgage Corp., Pool ZI5305, 5.500%, 10/1/2036 | 4,615 | |
46,291 | Federal Home Loan Mortgage Corp., Pool ZI5333, 5.500%, 10/1/2036 | 52,723 | |
5,192 | Federal Home Loan Mortgage Corp., Pool ZK0727, 5.500%, 9/1/2022 | 5,259 | |
4,236 | Federal Home Loan Mortgage Corp., Pool ZK1227, 5.000%, 12/1/2022 | 4,277 | |
14,140 | Federal Home Loan Mortgage Corp., Pool ZK1547, 4.500%, 5/1/2024 | 14,618 | |
6,248 | Federal Home Loan Mortgage Corp., Pool ZS1273, 6.000%, 1/1/2037 | 7,265 | |
569 | Federal Home Loan Mortgage Corp., Pool ZS5294, 5.000%, 4/1/2022 | 571 | |
2,371 | Federal Home Loan Mortgage Corp., Pool ZS5598, 5.000%, 4/1/2023 | 2,427 | |
TOTAL | 455,904 | ||
Federal National Mortgage Association— 0.0% | |||
1,443 | Federal National Mortgage Association, Pool 251286, 7.000%, 11/1/2027 | 1,622 | |
3,081 | Federal National Mortgage Association, Pool 252717, 7.500%, 9/1/2029 | 3,538 | |
3,149 | Federal National Mortgage Association, Pool 255225, 5.500%, 6/1/2034 | 3,573 | |
35,039 | Federal National Mortgage Association, Pool 255767, 5.500%, 6/1/2025 | 38,769 | |
18,198 | Federal National Mortgage Association, Pool 256233, 6.000%, 5/1/2036 | 21,122 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 12,742 | Federal National Mortgage Association, Pool 257306, 5.500%, 8/1/2038 | $14,702 | |
404 | Federal National Mortgage Association, Pool 313458, 7.000%, 4/1/2027 | 444 | |
233 | Federal National Mortgage Association, Pool 349416, 7.500%, 8/1/2026 | 259 | |
1,412 | Federal National Mortgage Association, Pool 396031, 7.500%, 10/1/2027 | 1,587 | |
1,445 | Federal National Mortgage Association, Pool 545137, 7.500%, 8/1/2031 | 1,673 | |
389 | Federal National Mortgage Association, Pool 555211, 7.000%, 8/1/2032 | 454 | |
1,042 | Federal National Mortgage Association, Pool 576245, 7.500%, 4/1/2031 | 1,228 | |
101 | Federal National Mortgage Association, Pool 577475, 7.500%, 4/1/2031 | 107 | |
17,895 | Federal National Mortgage Association, Pool 620613, 6.500%, 1/1/2032 | 20,615 | |
73,787 | Federal National Mortgage Association, Pool 725424, 5.500%, 4/1/2034 | 83,444 | |
12,463 | Federal National Mortgage Association, Pool 725948, 5.500%, 10/1/2034 | 14,114 | |
46,688 | Federal National Mortgage Association, Pool 735744, 6.000%, 8/1/2035 | 53,948 | |
11,864 | Federal National Mortgage Association, Pool 852523, 5.500%, 2/1/2036 | 13,545 | |
2,291 | Federal National Mortgage Association, Pool 866049, 5.500%, 3/1/2036 | 2,630 | |
24,106 | Federal National Mortgage Association, Pool 871234, 5.500%, 4/1/2036 | 27,540 | |
2,930 | Federal National Mortgage Association, Pool 885404, 6.000%, 6/1/2036 | 3,404 | |
3,896 | Federal National Mortgage Association, Pool 889187, 5.000%, 7/1/2033 | 4,247 | |
13,043 | Federal National Mortgage Association, Pool 906224, 5.500%, 1/1/2037 | 14,976 | |
84,497 | Federal National Mortgage Association, Pool 932639, 5.000%, 3/1/2040 | 94,940 | |
37,294 | Federal National Mortgage Association, Pool 934898, 4.500%, 7/1/2024 | 38,679 | |
2,170 | Federal National Mortgage Association, Pool 936523, 5.500%, 7/1/2037 | 2,493 | |
24,184 | Federal National Mortgage Association, Pool 962914, 5.000%, 5/1/2038 | 27,197 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 4,558 | Federal National Mortgage Association, Pool 979899, 5.500%, 5/1/2038 | $5,265 | |
231,440 | Federal National Mortgage Association, Pool AB1048, 4.500%, 5/1/2040 | 256,546 | |
5,630 | Federal National Mortgage Association, Pool AB2275, 4.500%, 2/1/2041 | 6,193 | |
7,137 | Federal National Mortgage Association, Pool AB4297, 3.500%, 1/1/2042 | 7,669 | |
3,481 | Federal National Mortgage Association, Pool AC1889, 4.000%, 9/1/2039 | 3,791 | |
13,992 | Federal National Mortgage Association, Pool AC3668, 4.500%, 10/1/2039 | 15,493 | |
3,317 | Federal National Mortgage Association, Pool AD7127, 4.500%, 7/1/2040 | 3,676 | |
10,295 | Federal National Mortgage Association, Pool AD7134, 5.000%, 7/1/2040 | 11,572 | |
1,565 | Federal National Mortgage Association, Pool AD7793, 4.500%, 7/1/2040 | 1,736 | |
28,101 | Federal National Mortgage Association, Pool AH5583, 4.500%, 2/1/2041 | 30,912 | |
2,311 | Federal National Mortgage Association, Pool AH9719, 4.500%, 4/1/2041 | 2,542 | |
12,883 | Federal National Mortgage Association, Pool AI0845, 4.000%, 12/1/2041 | 14,007 | |
3,870 | Federal National Mortgage Association, Pool AJ1441, 3.500%, 9/1/2026 | 4,088 | |
25,011 | Federal National Mortgage Association, Pool AL1948, 4.000%, 1/1/2042 | 27,255 | |
10,648 | Federal National Mortgage Association, Pool AO8179, 3.500%, 9/1/2042 | 11,438 | |
3,273 | Federal National Mortgage Association, Pool AS0765, 3.500%, 10/1/2028 | 3,457 | |
9,236 | Federal National Mortgage Association, Pool AS6131, 3.500%, 11/1/2045 | 9,901 | |
6,348 | Federal National Mortgage Association, Pool AT5900, 3.000%, 6/1/2043 | 6,699 | |
14,358 | Federal National Mortgage Association, Pool AX2484, 3.500%, 10/1/2044 | 15,468 | |
13,987 | Federal National Mortgage Association, Pool AY8424, 3.500%, 8/1/2045 | 15,003 | |
150,295 | Federal National Mortgage Association, Pool MA0500, 5.000%, 8/1/2040 | 168,954 | |
301,399 | Federal National Mortgage Association, Pool MA0562, 4.500%, 11/1/2040 | 331,544 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 8,239 | Federal National Mortgage Association, Pool MA0585, 4.500%, 11/1/2040 | $9,063 | |
288,242 | Federal National Mortgage Association, Pool MA0695, 4.000%, 4/1/2031 | 310,777 | |
4,150 | Federal National Mortgage Association, Pool MA0821, 4.500%, 8/1/2041 | 4,565 | |
5,167 | Federal National Mortgage Association, Pool MA0907, 4.000%, 11/1/2041 | 5,635 | |
20,024 | Federal National Mortgage Association, Pool MA1236, 3.500%, 11/1/2042 | 21,510 ��� | |
TOTAL | 1,795,609 | ||
Government National Mortgage Association— 0.0% | |||
915 | Government National Mortgage Association, Pool 1512, 7.500%, 12/20/2023 | 957 | |
186 | Government National Mortgage Association, Pool 1716, 7.000%, 5/20/2024 | 196 | |
1,314 | Government National Mortgage Association, Pool 2630, 6.500%, 8/20/2028 | 1,453 | |
1,378 | Government National Mortgage Association, Pool 2631, 7.000%, 8/20/2028 | 1,533 | |
2,775 | Government National Mortgage Association, Pool 2658, 6.500%, 10/20/2028 | 3,073 | |
3,064 | Government National Mortgage Association, Pool 2698, 5.500%, 1/20/2029 | 3,342 | |
4,156 | Government National Mortgage Association, Pool 2701, 6.500%, 1/20/2029 | 4,602 | |
1,453 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 1,633 | |
322 | Government National Mortgage Association, Pool 2853, 7.500%, 12/20/2029 | 366 | |
196 | Government National Mortgage Association, Pool 3039, 6.500%, 2/20/2031 | 220 | |
5,032 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 5,702 | |
2,515 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 2,863 | |
2,874 | Government National Mortgage Association, Pool 3261, 6.500%, 7/20/2032 | 3,279 | |
20,224 | Government National Mortgage Association, Pool 3320, 5.500%, 12/20/2032 | 22,482 | |
13,628 | Government National Mortgage Association, Pool 3333, 5.500%, 1/20/2033 | 15,149 | |
4,370 | Government National Mortgage Association, Pool 3375, 5.500%, 4/20/2033 | 4,864 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Government National Mortgage Association— continued | |||
$ 22,718 | Government National Mortgage Association, Pool 3390, 5.500%, 5/20/2033 | $25,297 | |
24,567 | Government National Mortgage Association, Pool 3403, 5.500%, 6/20/2033 | 27,366 | |
7,820 | Government National Mortgage Association, Pool 345128, 6.500%, 1/15/2024 | 8,161 | |
27,526 | Government National Mortgage Association, Pool 3458, 5.000%, 10/20/2033 | 30,158 | |
10,237 | Government National Mortgage Association, Pool 3499, 5.000%, 1/20/2034 | 11,218 | |
11,070 | Government National Mortgage Association, Pool 3556, 5.500%, 5/20/2034 | 12,380 | |
25,055 | Government National Mortgage Association, Pool 3623, 5.000%, 10/20/2034 | 27,547 | |
101 | Government National Mortgage Association, Pool 366985, 4.500%, 6/15/2041 | 113 | |
6,304 | Government National Mortgage Association, Pool 372962, 7.000%, 3/15/2024 | 6,613 | |
3,713 | Government National Mortgage Association, Pool 373015, 8.000%, 6/15/2024 | 3,934 | |
2,071 | Government National Mortgage Association, Pool 412615, 7.500%, 6/15/2026 | 2,273 | |
163 | Government National Mortgage Association, Pool 432701, 8.000%, 6/15/2026 | 179 | |
495 | Government National Mortgage Association, Pool 443780, 7.000%, 12/15/2027 | 521 | |
1,239 | Government National Mortgage Association, Pool 444274, 7.500%, 1/15/2027 | 1,367 | |
35 | Government National Mortgage Association, Pool 446820, 8.000%, 8/15/2027 | 38 | |
535 | Government National Mortgage Association, Pool 455319, 7.000%, 10/15/2027 | 595 | |
38,904 | Government National Mortgage Association, Pool 456873, 6.500%, 5/15/2028 | 43,215 | |
772 | Government National Mortgage Association, Pool 460881, 7.000%, 7/15/2028 | 861 | |
249 | Government National Mortgage Association, Pool 468225, 6.500%, 9/15/2028 | 270 | |
89 | Government National Mortgage Association, Pool 471672, 7.000%, 4/15/2028 | 98 | |
160 | Government National Mortgage Association, Pool 506476, 7.000%, 4/15/2029 | 181 | |
13,372 | Government National Mortgage Association, Pool 510559, 7.000%, 10/15/2029 | 14,887 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Government National Mortgage Association— continued | |||
$ 2,543 | Government National Mortgage Association, Pool 541578, 5.000%, 6/15/2033 | $2,839 | |
1,667 | Government National Mortgage Association, Pool 544007, 6.500%, 3/15/2031 | 1,893 | |
128 | Government National Mortgage Association, Pool 571225, 6.500%, 10/15/2031 | 147 | |
764 | Government National Mortgage Association, Pool 591976, 5.000%, 4/15/2033 | 853 | |
4,358 | Government National Mortgage Association, Pool 603010, 5.000%, 6/15/2033 | 4,863 | |
11,196 | Government National Mortgage Association, Pool 605775, 6.000%, 11/15/2034 | 12,815 | |
18,438 | Government National Mortgage Association, Pool 605777, 6.000%, 12/15/2034 | 21,041 | |
24,131 | Government National Mortgage Association, Pool 615490, 4.500%, 8/15/2033 | 26,641 | |
1,131 | Government National Mortgage Association, Pool 633711, 6.000%, 9/15/2034 | 1,300 | |
16,450 | Government National Mortgage Association, Pool 643816, 6.000%, 7/15/2025 | 17,547 | |
296,422 | Government National Mortgage Association, Pool 644568, 5.500%, 8/15/2035 | 333,800 | |
37,009 | Government National Mortgage Association, Pool 650708, 5.500%, 1/15/2036 | 41,785 | |
68,133 | Government National Mortgage Association, Pool 652534, 5.500%, 4/15/2036 | 76,882 | |
3,699 | Government National Mortgage Association, Pool 689593, 6.000%, 7/15/2023 | 3,714 | |
4,713 | Government National Mortgage Association, Pool 704189, 5.500%, 1/15/2039 | 5,371 | |
7,165 | Government National Mortgage Association, Pool 780626, 7.000%, 8/15/2027 | 7,841 | |
8,295 | Government National Mortgage Association, Pool 782604, 5.500%, 3/15/2039 | 9,431 | |
8,308 | Government National Mortgage Association, Pool MA0625, 3.500%, 12/20/2042 | 8,914 | |
2,495 | Government National Mortgage Association, Pool MA1376, 4.000%, 10/20/2043 | 2,704 | |
TOTAL | 869,367 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $2,856,715) | 3,120,880 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MUNICIPAL BOND— 0.0% | |||
Transportation - Services— 0.0% | |||
$ 390,000 | Texas State Transportation Commission - State Highway Fund, 5.178%, 4/1/2030 (IDENTIFIED COST $421,511) | $476,075 | |
COLLATERALIZED MORTGAGE OBLIGATION— 0.0% | |||
Federal Home Loan Mortgage Corporation REMIC— 0.0% | |||
54,363 | Federal Home Loan Mortgage Corp. REMIC, Series 3051, Class MY, 5.500%, 10/15/2025 (IDENTIFIED COST $53,321) | 58,345 | |
ADJUSTABLE RATE MORTGAGES— 0.0% | |||
Federal National Mortgage Association— 0.0% | |||
2,658 | 2 | FNMA ARM, 2.125%, 1/1/2033 | 2,784 |
Government National Mortgage Association— 0.0% | |||
1,136 | 2 | GNMA ARM, 2.000%, 5/20/2028 | 1,163 |
177 | 2 | GNMA ARM, 2.125%, 10/20/2025 | 179 |
TOTAL | 1,342 | ||
TOTAL ADJUSTABLE RATE MORTGAGES (IDENTIFIED COST $4,092) | 4,126 | ||
PURCHASED CALL OPTION— 0.0% | |||
8,825,500 | 5 | BNP EUR CALL/USD PUT, Notional Amount $8,825,500, Exercise Price, $1.16, Expiration Date 2/15/2022 (IDENTIFIED COST $45,363) | 42,018 |
INVESTMENT COMPANIES— 45.8% | |||
23,159,991 | Bank Loan Core Fund | 222,335,908 | |
57,605,893 | Emerging Markets Core Fund | 554,168,691 | |
41,289,653 | Federated Hermes Government Obligations Fund, Premier Shares, 0.03%6 | 41,289,653 | |
173,771,296 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 0.04%6 | 173,788,673 | |
174,376,038 | High Yield Bond Core Fund | 1,088,106,476 | |
259,829,141 | Mortgage Core Fund | 2,543,727,294 | |
57,582,439 | Project and Trade Finance Core Fund | 508,452,940 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $5,044,163,058) | 5,131,869,635 | ||
TOTAL INVESTMENT IN SECURITIES—101.1% (IDENTIFIED COST $10,951,974,538)7 | 11,330,824,594 | ||
OTHER ASSETS AND LIABILITIES - NET—(1.1)%8 | (126,178,500) | ||
TOTAL NET ASSETS—100% | $11,204,646,094 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
5United States Treasury Notes 2-Year Long Futures | 5,003 | $1,094,328,083 | March 2022 | $(96,278) |
5United States Treasury Notes 5-Year Long Futures | 2,400 | $291,356,251 | March 2022 | $202,198 |
5United States Treasury Notes 10-Year Long Futures | 600 | $78,487,500 | March 2022 | $246,879 |
Short Futures: | ||||
5United States Treasury Notes 10-Year Short Futures | 2,682 | $393,960,656 | March 2022 | $(4,444,013) |
5United States Treasury Ultra Bond Short Futures | 2,302 | $461,694,875 | March 2022 | $(12,899,676) |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(16,990,890) |
Settlement Date | Counterparty | Foreign Currency Units to Deliver/Receive | In Exchange For | Net Unrealized Appreciation/ (Depreciation) | |
Contracts Purchased: | |||||
12/8/2021 | Bank of America N.A. | 6,490,000 | GBP | $8,765,110 | $(133,680) |
12/9/2021 | JPMorgan Chase | 11,511,621 | AUD | $8,864,969 | $(658,716) |
12/9/2021 | Morgan Stanley | 6,900,000 | EUR | $8,441,990 | $(615,702) |
12/9/2021 | JPMorgan Chase | 7,120,003 | EUR | $8,451,137 | $(375,313) |
12/9/2021 | Morgan Stanley | 176,700,000,000 | IDR | $12,178,648 | $150,794 |
12/9/2021 | Barclays Bank PLC | 918,000,000 | INR | $12,330,423 | $(124,194) |
12/9/2021 | JPMorgan Chase | 182,351,298 | MXN | $8,895,110 | $(405,125) |
12/21/2021 | Citibank N.A. | 10,728,080 | CAD | $8,876,930 | $(476,971) |
12/21/2021 | Bank of America N.A. | 6,257,000 | GBP | $8,682,813 | $(358,007) |
Contracts Sold: | |||||
12/9/2021 | BNP Paribas SA | 182,351,298 | MXN | $9,050,228 | $560,243 |
NET UNREALIZED DEPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $(2,436,671) |
Counterparty | Description | Number of Contracts | Notional Amount | Expiration Date | Exercise Price | Value |
Put Option: | ||||||
5Morgan Stanley | USD PUT/CAD CALL | (8,637,681) | $8,637,681 | December 2021 | $1.24 | $(2,695) |
(Premium Received $58,233) | $(2,695) |
Affiliates | Value as of 11/30/2020 | Purchases at Cost | Proceeds from Sales |
Bank Loan Core Fund | $705,910,081 | $42,088,983 | $(536,852,900) |
Emerging Markets Core Fund | $507,797,675 | $133,970,467 | $(50,111,300) |
Federated Hermes Government Obligations Fund, Premier Shares* | $12,088,767 | $1,432,285,969 | $(1,403,085,083) |
Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares* | $30,676,679 | $5,366,316,037 | $(5,223,183,479) |
High Yield Bond Core Fund | $779,999,966 | $324,443,640 | $(8,700,000) |
Mortgage Core Fund | $1,846,468,963 | $1,054,954,000 | $(305,000,000) |
Project and Trade Finance Core Fund | $417,634,947 | $92,869,963 | $— |
TOTAL OF AFFILIATED TRANSACTIONS | $4,300,577,078 | $8,446,929,059 | $(7,526,932,762) |
Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 11/30/2021 | Shares Held as of 11/30/2021** | Dividend Income |
$53,695 | $11,136,049 | $222,335,908 | 23,159,991 | $26,088,990 |
$(37,287,933) | $(200,218) | $554,168,691 | 57,605,893 | $35,324,334 |
N/A | N/A | $41,289,653 | 41,289,653 | $10,689 |
$(19,475) | $(1,089) | $173,788,673 | 173,771,296 | $73,751 |
$(7,664,317) | $27,187 | $1,088,106,476 | 174,376,038 | $54,694,607 |
$(64,099,684) | $11,404,015 | $2,543,727,294 | 259,829,141 | $41,127,574 |
$(2,051,970) | $— | $508,452,940 | 57,582,439 | $13,576,580 |
$(111,069,684) | $22,365,944 | $5,131,869,635 | 787,614,451 | $170,896,525 |
* | All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions. |
** | At November 30, 2021, the Fund owned a majority of the outstanding shares of beneficial interest of each of Mortgage Core Fund and Project and Trade Finance Core Fund. |
1 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
2 | Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above. |
3 | 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”). |
4 | All or a portion of this security is pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding futures contracts. |
5 | Non-income-producing security. |
6 | 7-day net yield. |
7 | The cost of investments for federal tax purposes amounts to $10,995,557,887. |
8 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of November 30, 2021, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $3,736,899,548 | $26,845 | $3,736,926,393 |
U.S. Treasuries | — | 2,285,009,585 | — | 2,285,009,585 |
Commercial Mortgage- Backed Securities | — | 107,725,066 | — | 107,725,066 |
Asset-Backed Securities | — | 38,937,285 | — | 38,937,285 |
Foreign Governments/Agencies | — | 26,655,186 | — | 26,655,186 |
Mortgage-Backed Securities | — | 3,120,880 | — | 3,120,880 |
Municipal Bond | — | 476,075 | — | 476,075 |
Collateralized Mortgage Obligation | — | 58,345 | — | 58,345 |
Adjustable Rate Mortgages | — | 4,126 | — | 4,126 |
Purchased Call Option | — | 42,018 | — | 42,018 |
Investment Companies1 | 4,623,416,695 | — | — | 5,131,869,635 |
TOTAL SECURITIES | $4,623,416,695 | $6,198,928,114 | $26,845 | $11,330,824,594 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $449,077 | $— | $— | $449,077 |
Foreign Exchange Contracts | — | 711,037 | — | 711,037 |
Liabilities | ||||
Futures Contracts | (17,439,967) | — | — | (17,439,967) |
Foreign Exchange Contracts | — | (3,147,708) | — | (3,147,708) |
Written Options Contracts | — | (2,695) | — | (2,695) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(16,990,890) | $(2,439,366) | $— | $(19,430,256) |
1 | As permitted by U.S. generally accepted accounting principles (GAAP), an Investment Company valued at $508,452,940 is measured at fair value using the net asset value (NAV) per share practical expedient and has not been categorized in the chart above but is included in the Total column. The amount included herein is intended to permit reconciliation of the fair value classifications to the amounts presented on the Statement of Assets and Liabilities. The price of shares redeemed of Project and Trade Finance Core Fund may be determined as of the closing NAV of the fund up to twenty-four days after receipt of a shareholder redemption request. |
The following acronym(s) are used throughout this portfolio: | ||
ARM | —Adjustable Rate Mortgage | |
AUD | —Australian Dollar | |
BKNT | —Bank Notes | |
CAD | —Canadian Dollar | |
EUR | —Euro Currency | |
FNMA | —Federal National Mortgage Association | |
FREMF | —Freddie Mac Multifamily K-Deals | |
GBP | —British Pound | |
GMTN | —Global Medium Term Note | |
GNMA | —Government National Mortgage Association | |
IDR | —Indonesian Rupiah | |
INR | —Indian Rupee | |
LIBOR | —London Interbank Offered Rate | |
MTN | —Medium Term Note | |
MXN | —Mexican Peso | |
REIT | —Real Estate Investment Trust | |
REMIC | —Real Estate Mortgage Investment Conduit | |
USD | —United States Dollar |
Year Ended November 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.26 | 0.26 | 0.32 | 0.30 | 0.29 |
Net realized and unrealized gain (loss) | (0.23) | 0.67 | 0.70 | (0.52) | 0.12 |
Total From Investment Operations | 0.03 | 0.93 | 1.02 | (0.22) | 0.41 |
Less Distributions: | |||||
Distributions from net investment income | (0.26) | (0.26) | (0.32) | (0.30) | (0.29) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) |
Total Distributions | (0.48) | (0.26) | (0.32) | (0.30) | (0.32) |
Net Asset Value, End of Period | $11.28 | $11.73 | $11.06 | $10.36 | $10.88 |
Total Return1 | 0.32% | 8.47% | 9.95% | (2.01)% | 3.82% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.92% | 0.92% | 0.92% | 0.92% | 0.92% |
Net investment income | 2.30% | 2.31% | 2.95% | 2.82% | 2.69% |
Expense waiver/reimbursement3 | 0.05% | 0.05% | 0.06% | 0.07% | 0.07% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $195,599 | $201,349 | $171,858 | $184,434 | $216,294 |
Portfolio turnover4 | 68% | 88% | 43% | 48% | 23% |
1 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. |
2 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
4 | Securities that mature are considered sales for purposes of this calculation. |
Year Ended November 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.19 | 0.20 | 0.26 | 0.24 | 0.23 |
Net realized and unrealized gain (loss) | (0.22) | 0.66 | 0.70 | (0.51) | 0.12 |
Total From Investment Operations | (0.03) | 0.86 | 0.96 | (0.27) | 0.35 |
Less Distributions: | |||||
Distributions from net investment income | (0.20) | (0.19) | (0.26) | (0.25) | (0.23) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) |
Total Distributions | (0.42) | (0.19) | (0.26) | (0.25) | (0.26) |
Net Asset Value, End of Period | $11.28 | $11.73 | $11.06 | $10.36 | $10.88 |
Total Return1 | (0.23)% | 7.88% | 9.36% | (2.54)% | 3.26% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 1.48% | 1.47% | 1.46% | 1.47% | 1.46% |
Net investment income | 1.74% | 1.78% | 2.42% | 2.26% | 2.15% |
Expense waiver/reimbursement3 | 0.04% | 0.04% | 0.04% | 0.05% | 0.07% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $2,686 | $4,386 | $6,440 | $8,244 | $14,521 |
Portfolio turnover4 | 68% | 88% | 43% | 48% | 23% |
1 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. |
2 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
4 | Securities that mature are considered sales for purposes of this calculation. |
Year Ended November 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.21 | 0.21 | 0.27 | 0.25 | 0.23 |
Net realized and unrealized gain (loss) | (0.23) | 0.66 | 0.70 | (0.52) | 0.12 |
Total From Investment Operations | (0.02) | 0.87 | 0.97 | (0.27) | 0.35 |
Less Distributions: | |||||
Distributions from net investment income | (0.21) | (0.20) | (0.27) | (0.25) | (0.23) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) |
Total Distributions | (0.43) | (0.20) | (0.27) | (0.25) | (0.26) |
Net Asset Value, End of Period | $11.28 | $11.73 | $11.06 | $10.36 | $10.88 |
Total Return1 | (0.17)% | 7.93% | 9.40% | (2.51)% | 3.29% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 1.42% | 1.43% | 1.43% | 1.44% | 1.43% |
Net investment income | 1.80% | 1.81% | 2.45% | 2.31% | 2.18% |
Expense waiver/reimbursement3 | 0.04% | 0.04% | 0.04% | 0.04% | 0.05% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $41,098 | $52,265 | $47,994 | $52,798 | $75,399 |
Portfolio turnover4 | 68% | 88% | 43% | 48% | 23% |
1 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. |
2 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
4 | Securities that mature are considered sales for purposes of this calculation. |
Year Ended November 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.24 | 0.24 | 0.30 | 0.29 | 0.27 |
Net realized and unrealized gain (loss) | (0.23) | 0.67 | 0.70 | (0.52) | 0.12 |
Total From Investment Operations | 0.01 | 0.91 | 1.00 | (0.23) | 0.39 |
Less Distributions: | |||||
Distributions from net investment income | (0.24) | (0.24) | (0.30) | (0.29) | (0.27) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) |
Total Distributions | (0.46) | (0.24) | (0.30) | (0.29) | (0.30) |
Net Asset Value, End of Period | $11.28 | $11.73 | $11.06 | $10.36 | $10.88 |
Total Return1 | 0.14% | 8.27% | 9.77% | (2.17)% | 3.64% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 1.11% | 1.11% | 1.09% | 1.10% | 1.09% |
Net investment income | 2.11% | 2.14% | 2.79% | 2.65% | 2.51% |
Expense waiver/reimbursement3 | 0.04% | 0.04% | 0.04% | 0.04% | 0.05% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $36,596 | $38,182 | $40,574 | $43,512 | $53,603 |
Portfolio turnover4 | 68% | 88% | 43% | 48% | 23% |
1 | Based on net asset value. |
2 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
4 | Securities that mature are considered sales for purposes of this calculation. |
Year Ended November 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.32 | 0.33 | 0.38 | 0.36 | 0.35 |
Net realized and unrealized gain (loss) | (0.21) | 0.66 | 0.70 | (0.52) | 0.12 |
Total From Investment Operations | 0.11 | 0.99 | 1.08 | (0.16) | 0.47 |
Less Distributions: | |||||
Distributions from net investment income | (0.33) | (0.32) | (0.38) | (0.36) | (0.35) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) |
Total Distributions | (0.55) | (0.32) | (0.38) | (0.36) | (0.38) |
Net Asset Value, End of Period | $11.29 | $11.73 | $11.06 | $10.36 | $10.88 |
Total Return1 | 0.97% | 9.06% | 10.55% | (1.47)% | 4.39% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.37% | 0.37% | 0.37% | 0.37% | 0.37% |
Net investment income | 2.85% | 2.86% | 3.50% | 3.38% | 3.23% |
Expense waiver/reimbursement3 | 0.07% | 0.07% | 0.07% | 0.08% | 0.08% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $8,145,281 | $7,510,994 | $6,419,153 | $5,855,756 | $5,713,188 |
Portfolio turnover4 | 68% | 88% | 43% | 48% | 23% |
1 | Based on net asset value. |
2 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
4 | Securities that mature are considered sales for purposes of this calculation. |
Year Ended November 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.29 | 0.29 | 0.34 | 0.32 | 0.31 |
Net realized and unrealized gain (loss) | (0.23) | 0.66 | 0.71 | (0.51) | 0.13 |
Total From Investment Operations | 0.06 | 0.95 | 1.05 | (0.19) | 0.44 |
Less Distributions: | |||||
Distributions from net investment income | (0.29) | (0.28) | (0.35) | (0.33) | (0.32) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) |
Total Distributions | (0.51) | (0.28) | (0.35) | (0.33) | (0.35) |
Net Asset Value, End of Period | $11.28 | $11.73 | $11.06 | $10.36 | $10.88 |
Total Return1 | 0.57% | 8.73% | 10.22% | (1.76)% | 4.08% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.67% | 0.67% | 0.67% | 0.67% | 0.67% |
Net investment income | 2.54% | 2.58% | 3.21% | 3.07% | 2.94% |
Expense waiver/reimbursement3 | 0.26% | 0.27% | 0.27% | 0.27% | 0.28% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $270,435 | $356,898 | $393,416 | $425,188 | $503,342 |
Portfolio turnover4 | 68% | 88% | 43% | 48% | 23% |
1 | Based on net asset value. |
2 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
4 | Securities that mature are considered sales for purposes of this calculation. |
Year Ended November 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.87 | $10.78 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.32 | 0.33 | 0.38 | 0.36 | 0.36 |
Net realized and unrealized gain (loss) | (0.22) | 0.66 | 0.70 | (0.51) | 0.11 |
Total From Investment Operations | 0.10 | 0.99 | 1.08 | (0.15) | 0.47 |
Less Distributions: | |||||
Distributions from net investment income | (0.33) | (0.32) | (0.38) | (0.36) | (0.35) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) |
Total Distributions | (0.55) | (0.32) | (0.38) | (0.36) | (0.38) |
Net Asset Value, End of Period | $11.28 | $11.73 | $11.06 | $10.36 | $10.87 |
Total Return1 | 0.89% | 9.07% | 10.56% | (1.37)% | 4.40% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.36% | 0.36% | 0.36% | 0.36% | 0.36% |
Net investment income | 2.85% | 2.87% | 3.50% | 3.39% | 3.20% |
Expense waiver/reimbursement3 | 0.04% | 0.04% | 0.04% | 0.04% | 0.05% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $2,512,951 | $1,924,055 | $1,498,931 | $1,079,125 | $1,016,255 |
Portfolio turnover4 | 68% | 88% | 43% | 48% | 23% |
1 | Based on net asset value. |
2 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
4 | Securities that mature are considered sales for purposes of this calculation. |
November 30, 2021
Assets: | |
Investment in securities, at value including $150,765,581 of securities loaned and $5,131,869,635 of investment in affiliated holdings* (identified cost $10,951,974,538) | $11,330,824,594 |
Due from broker (Note 2) | 14,874 |
Income receivable | 33,723,274 |
Income receivable from affiliated holdings | 15,354,884 |
Receivable for investments sold | 110,948,512 |
Receivable for shares sold | 31,711,611 |
Unrealized appreciation on foreign exchange contracts | 711,037 |
Total Assets | 11,523,288,786 |
Liabilities: | |
Payable for investments purchased | 130,420,357 |
Payable for shares redeemed | 14,102,948 |
Written options outstanding (premium received $58,233), at value | 2,695 |
Unrealized depreciation on foreign exchange contracts | 3,147,708 |
Payable for variation margin on futures contracts | 10,893,259 |
Payable for collateral due to broker for securities lending (Note 2) | 153,089,653 |
Income distribution payable | 4,430,539 |
Capital gain distribution payable | 1,416,531 |
Payable for investment adviser fee (Note 5) | 79,660 |
Payable for administrative fee (Note 5) | 23,921 |
Payable for distribution services fee (Note 5) | 93,737 |
Payable for other service fees (Notes 2 and 5) | 106,045 |
Accrued expenses (Note 5) | 835,639 |
Total Liabilities | 318,642,692 |
Net assets for 992,945,763 shares outstanding | $11,204,646,094 |
Net Assets Consist of: | |
Paid-in capital | $10,801,819,203 |
Total distributable earnings (loss) | 402,826,891 |
Total Net Assets | $11,204,646,094 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Class A Shares: | |
Net asset value per share ($195,598,998 ÷ 17,334,168 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.28 |
Offering price per share (100/95.50 of $11.28) | $11.81 |
Redemption proceeds per share | $11.28 |
Class B Shares: | |
Net asset value per share ($2,686,439 ÷ 238,128 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.28 |
Offering price per share | $11.28 |
Redemption proceeds per share (94.50/100 of $11.28) | $10.66 |
Class C Shares: | |
Net asset value per share ($41,098,122 ÷ 3,642,411 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.28 |
Offering price per share | $11.28 |
Redemption proceeds per share (99.00/100 of $11.28) | $11.17 |
Class R Shares: | |
Net asset value per share ($36,595,542 ÷ 3,243,067 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.28 |
Offering price per share | $11.28 |
Redemption proceeds per share | $11.28 |
Institutional Shares: | |
Net asset value per share ($8,145,280,702 ÷ 721,756,134 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.29 |
Offering price per share | $11.29 |
Redemption proceeds per share | $11.29 |
Service Shares: | |
Net asset value per share ($270,435,138 ÷ 23,965,234 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.28 |
Offering price per share | $11.28 |
Redemption proceeds per share | $11.28 |
Class R6 Shares: | |
Net asset value per share ($2,512,951,153 ÷ 222,766,621 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.28 |
Offering price per share | $11.28 |
Redemption proceeds per share | $11.28 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended November 30, 2021
Investment Income: | |
Dividends (including $170,856,105 received from affiliated holdings*) | $172,780,719 |
Interest | 169,744,561 |
Net income on securities loaned (includes $40,420 earned from affiliated holdings* related to cash collateral balances) (Note 2) | 307,568 |
TOTAL INCOME | 342,832,848 |
Expenses: | |
Investment adviser fee (Note 5) | 31,943,457 |
Administrative fee (Note 5) | 8,333,723 |
Custodian fees | 329,601 |
Transfer agent fees (Note 2) | 4,999,754 |
Directors’/Trustees’ fees (Note 5) | 55,387 |
Auditing fees | 35,400 |
Legal fees | 10,581 |
Portfolio accounting fees | 309,466 |
Distribution services fee (Note 5) | 1,815,523 |
Other service fees (Notes 2 and 5) | 1,378,113 |
Share registration costs | 466,772 |
Printing and postage | 192,359 |
Miscellaneous (Note 5) | 66,658 |
TOTAL EXPENSES | 49,936,794 |
Waivers and Reimbursements: | |
Waiver/reimbursement of investment adviser fee (Note 5) | (3,764,743) |
Waiver/reimbursement of other operating expenses (Notes 2 and 5) | (3,665,343) |
TOTAL WAIVERS AND REIMBURSEMENTS | (7,430,086) |
Net expenses | 42,506,708 |
Net investment income | $300,326,140 |
Realized and Unrealized Gain (Loss) on Investments, Foreign Currency Transactions, Foreign Exchange Contracts, Futures Contracts, Written Options and Swap Contracts: | |
Net realized gain on investments (including net realized gain of $22,365,944 on sales of investments in affiliated holdings*) | $83,734,593 |
Net realized loss on foreign currency transactions | (5,341,798) |
Net realized loss on foreign exchange contracts | (1,562,725) |
Net realized gain on futures contracts | 17,981,372 |
Net realized gain on written options | 18,706,477 |
Net realized loss on swap contracts | (302) |
Net change in unrealized appreciation of investments (including net change in unrealized appreciation of $(111,069,684) on investments in affiliated holdings*) | (296,493,343) |
Net change in unrealized appreciation of translation of assets and liabilities in foreign currency | (217) |
Net change in unrealized appreciation of foreign exchange contracts | (3,125,875) |
Net change in unrealized appreciation of futures contracts | (19,714,368) |
Net change in unrealized depreciation of written options | 92,133 |
Net realized and unrealized gain (loss) on investments, foreign currency transactions, foreign exchange contracts, futures contracts, written options and swap contracts | (205,724,053) |
Change in net assets resulting from operations | $94,602,087 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended November 30 | 2021 | 2020 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $300,326,140 | $258,770,989 |
Net realized gain (loss) | 113,517,617 | 279,327,978 |
Net change in unrealized appreciation/depreciation | (319,241,670) | 234,289,606 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 94,602,087 | 772,388,573 |
Distributions to Shareholders: | ||
Class A Shares | (8,525,780) | (4,068,170) |
Class B Shares | (139,973) | (91,866) |
Class C Shares | (1,867,869) | (866,832) |
Class R Shares | (1,505,154) | (803,712) |
Institutional Shares | (367,464,477) | (187,960,112) |
Service Shares | (14,475,264) | (9,328,955) |
Class R6 Shares | (101,092,127) | (49,299,034) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (495,070,644) | (252,418,681) |
Share Transactions: | ||
Proceeds from sale of shares | 3,897,600,449 | 3,445,307,467 |
Net asset value of shares issued to shareholders in payment of distributions declared | 387,589,957 | 191,095,124 |
Cost of shares redeemed | (2,768,204,092) | (2,646,611,323) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 1,516,986,314 | 989,791,268 |
Change in net assets | 1,116,517,757 | 1,509,761,160 |
Net Assets: | ||
Beginning of period | 10,088,128,337 | 8,578,367,177 |
End of period | $11,204,646,094 | $10,088,128,337 |
Transfer Agent Fees Incurred | Transfer Agent Fees Reimbursed | |
Class A Shares | $161,575 | $(24,416) |
Class B Shares | 4,092 | — |
Class C Shares | 32,056 | — |
Class R Shares | 94,096 | (845) |
Institutional Shares | 4,398,143 | (2,964,391) |
Service Shares | 127,109 | (69,393) |
Class R6 Shares | 182,683 | — |
TOTAL | $4,999,754 | $(3,059,045) |
Other Service Fees Incurred | |
Class A Shares | $497,429 |
Class B Shares | 8,311 |
Class C Shares | 116,929 |
Service Shares | 755,444 |
TOTAL | $1,378,113 |
Market Value of Securities Loaned | Collateral Received |
$150,765,581 | $153,089,653 |
Fair Value of Derivative Instruments | ||||
Assets | Liabilities | |||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||||
Interest rate contracts | $— | Payable for variation margin on futures contracts | $16,990,890* | |
Foreign exchange contracts | Unrealized appreciation on foreign exchange contracts | 711,037 | Unrealized depreciation on foreign exchange contracts | 3,147,708 |
Foreign exchange contracts | — | Written options outstanding, at value | 2,695 | |
Foreign exchange contracts | Purchased options, within Investment in securities at value | 42,018 | — | |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $753,055 | $20,141,293 |
* | Includes cumulative net depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
Credit Default Swaps | Futures Contracts | Foreign Exchange Contracts | Purchased Options Contracts1 | Written Options Contracts | Total | |
Interest rate contracts | $— | $17,981,372 | $— | $297,670 | $2,514,270 | $20,793,312 |
Foreign exchange contracts | — | — | (1,562,725) | (551,461) | 16,192,207 | 14,078,021 |
Credit contracts | (302) | — | — | — | — | (302) |
TOTAL | $(302) | $17,981,372 | $(1,562,725) | $(253,791) | $18,706,477 | $34,871,031 |
1 | The net realized gain on Purchased Options Contracts is found within the Net realized gain on investments on the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||
Futures Contracts | Foreign Exchange Contracts | Purchased Options Contracts2 | Written Options Contracts | Total | |
Interest rate contracts | $(19,714,368) | $— | $— | $— | $(19,714,368) |
Foreign exchange contracts | — | (3,125,875) | 529,963 | 92,133 | (2,503,779) |
TOTAL | $(19,714,368) | $(3,125,875) | $529,963 | $92,133 | $(22,218,147) |
2 | The net change in unrealized appreciation of Purchased Options is found within the Net change in unrealized appreciation of investments on the Statement of Operations. |
Year Ended 11/30/2021 | Year Ended 11/30/2020 | |||
Class A Shares: | Shares | Amount | Shares | Amount |
Shares sold | 4,102,934 | $46,875,269 | 5,183,650 | $59,315,319 |
Shares issued to shareholders in payment of distributions declared | 697,232 | 7,993,444 | 332,612 | 3,790,564 |
Shares redeemed | (4,629,571) | (52,701,460) | (3,892,878) | (44,125,968) |
NET CHANGE RESULTING FROM CLASS A SHARE TRANSACTIONS | 170,595 | $2,167,253 | 1,623,384 | $18,979,915 |
Year Ended 11/30/2021 | Year Ended 11/30/2020 | |||
Class B Shares: | Shares | Amount | Shares | Amount |
Shares sold | 14,525 | $164,885 | 75,277 | $854,414 |
Shares issued to shareholders in payment of distributions declared | 12,114 | 139,088 | 7,884 | 89,523 |
Shares redeemed | (162,458) | (1,859,245) | (291,676) | (3,303,875) |
NET CHANGE RESULTING FROM CLASS B SHARE TRANSACTIONS | (135,819) | $(1,555,272) | (208,515) | $(2,359,938) |
Year Ended 11/30/2021 | Year Ended 11/30/2020 | |||
Class C Shares: | Shares | Amount | Shares | Amount |
Shares sold | 798,957 | $9,155,021 | 1,904,538 | $21,735,385 |
Shares issued to shareholders in payment of distributions declared | 159,679 | 1,833,137 | 72,065 | 820,456 |
Shares redeemed | (1,771,859) | (20,170,605) | (1,861,214) | (21,172,076) |
NET CHANGE RESULTING FROM CLASS C SHARE TRANSACTIONS | (813,223) | $(9,182,447) | 115,389 | $1,383,765 |
Year Ended 11/30/2021 | Year Ended 11/30/2020 | |||
Class R Shares: | Shares | Amount | Shares | Amount |
Shares sold | 744,690 | $8,504,404 | 1,168,949 | $13,229,574 |
Shares issued to shareholders in payment of distributions declared | 130,414 | 1,495,931 | 68,171 | 776,161 |
Shares redeemed | (886,575) | (10,127,655) | (1,651,261) | (18,619,915) |
NET CHANGE RESULTING FROM CLASS R SHARE TRANSACTIONS | (11,471) | $(127,320) | (414,141) | $(4,614,180) |
Year Ended 11/30/2021 | Year Ended 11/30/2020 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 246,381,660 | $2,809,320,746 | 220,849,464 | $2,517,124,360 |
Shares issued to shareholders in payment of distributions declared | 26,498,276 | 303,505,034 | 13,049,463 | 148,848,093 |
Shares redeemed | (191,319,650) | (2,185,462,432) | (174,101,437) | (1,955,345,335) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | 81,560,286 | $927,363,348 | 59,797,490 | $710,627,118 |
Year Ended 11/30/2021 | Year Ended 11/30/2020 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 8,495,711 | $96,653,278 | 11,474,182 | $130,247,926 |
Shares issued to shareholders in payment of distributions declared | 1,016,511 | 11,661,360 | 694,751 | 7,901,958 |
Shares redeemed | (15,969,296) | (181,439,153) | (17,318,205) | (196,381,561) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (6,457,074) | $(73,124,515) | (5,149,272) | $(58,231,677) |
Year Ended 11/30/2021 | Year Ended 11/30/2020 | |||
Class R6 Shares: | Shares | Amount | Shares | Amount |
Shares sold | 81,149,852 | $926,926,846 | 62,023,908 | $702,800,489 |
Shares issued to shareholders in payment of distributions declared | 5,324,971 | 60,961,963 | 2,532,615 | 28,868,369 |
Shares redeemed | (27,769,253) | (316,443,542) | (36,074,399) | (407,662,593) |
NET CHANGE RESULTING FROM CLASS R6 SHARE TRANSACTIONS | 58,705,570 | $671,445,267 | 28,482,124 | $324,006,265 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 133,018,864 | $1,516,986,314 | 84,246,459 | $989,791,268 |
2021 | 2020 | |
Ordinary income1 | $333,005,542 | $252,418,681 |
Long-term capital gains | $162,065,102 | $— |
1 | For tax purposes, short-term capital gain distributions are considered ordinary income distributions. |
Undistributed ordinary income2 | $30,340,818 |
Net unrealized appreciation | $293,468,270 |
Undistributed long-term capital gains | $79,017,803 |
2 | For tax purposes, short-term capital gains are considered ordinary income in determining distributable earnings. |
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 | 0.25% |
Class B Shares | 0.75% |
Class C Shares | 0.75% |
Class R Shares | 0.50% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | Distribution Services Fees Waived | |
Class A Shares | $498,667 | $— |
Class B Shares | 24,935 | — |
Class C Shares | 352,211 | — |
Class R Shares | 181,838 | — |
Service Shares | 757,872 | (606,298) |
TOTAL | $1,815,523 | $(606,298) |
Purchases | $2,784,054,264 |
Sales | $2,190,650,401 |
January 28, 2022
Beginning Account Value 6/1/2021 | Ending Account Value 11/30/2021 | Expenses Paid During Period1 | |
Actual: | |||
Class A Shares | $1,000 | $1,007.10 | $4.63 |
Class B Shares | $1,000 | $1,004.30 | $7.44 |
Class C Shares | $1,000 | $1,004.60 | $7.14 |
Class R Shares | $1,000 | $1,006.20 | $5.58 |
Institutional Shares | $1,000 | $1,010.70 | $1.87 |
Service Shares | $1,000 | $1,008.30 | $3.37 |
Class R6 Shares | $1,000 | $1,009.90 | $1.81 |
Hypothetical (assuming a 5% return before expenses): | |||
Class A Shares | $1,000 | $1,020.46 | $4.66 |
Class B Shares | $1,000 | $1,017.65 | $7.49 |
Class C Shares | $1,000 | $1,017.95 | $7.18 |
Class R Shares | $1,000 | $1,019.50 | $5.62 |
Institutional Shares | $1,000 | $1,023.21 | $1.88 |
Service Shares | $1,000 | $1,021.71 | $3.40 |
Class R6 Shares | $1,000 | $1,023.26 | $1.83 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Class A Shares | 0.92% |
Class B Shares | 1.48% |
Class C Shares | 1.42% |
Class R Shares | 1.11% |
Institutional Shares | 0.37% |
Service Shares | 0.67% |
Class R6 Shares | 0.36% |
Federated Mortgage Core Portfolio
1 Year | 5 Years | 10 Years | |
Fund | 4.70% | 3.42% | 3.10% |
BBMBS | 3.87% | 3.05% | 3.01% |
Security Type | Percentage of Total Net Assets |
Mortgage-Backed Securities | 84.9% |
Asset-Backed Securities | 13.5% |
Collateralized Mortgage Obligations | 9.0% |
Commercial Mortgage-Backed Securities | 2.7% |
Cash Equivalents2 | 9.6% |
Other Assets and Liabilities—Net3 | (19.7)% |
TOTAL | 100% |
1 | See the Fund’s Private Offering Memorandum for a description of the principal 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, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— 84.9% | |||
Federal Home Loan Mortgage Corporation— 27.6% | |||
$ 38,937,276 | 1.500%, 10/1/2035 | $40,098,230 | |
2,444,910 | 2.500%, 10/1/2049 | 2,576,962 | |
24,699,410 | 2.500%, 8/1/2050 | 26,002,570 | |
2,429,756 | 3.000%, 4/1/2031 | 2,585,776 | |
2,516,521 | 3.000%, 1/1/2032 | 2,691,560 | |
3,394,741 | 3.000%, 3/1/2032 | 3,647,734 | |
4,006,308 | 3.000%, 3/1/2032 | 4,282,342 | |
3,498,797 | 3.000%, 6/1/2032 | 3,734,397 | |
4,611,530 | 3.000%, 6/1/2032 | 4,932,145 | |
11,521,139 | 3.000%, 11/1/2032 | 12,168,049 | |
1,732,651 | 3.000%, 12/1/2032 | 1,846,183 | |
6,504,225 | 3.000%, 1/1/2033 | 6,952,364 | |
22,698,390 | 3.000%, 2/1/2033 | 24,531,848 | |
2,938,558 | 3.000%, 7/1/2033 | 3,160,308 | |
20,555,174 | 3.000%, 1/1/2043 | 22,243,545 | |
4,726,300 | 3.000%, 11/1/2044 | 4,944,660 | |
957,340 | 3.000%, 6/1/2045 | 1,012,639 | |
6,721,801 | 3.000%, 10/1/2045 | 7,217,205 | |
877,065 | 3.000%, 5/1/2046 | 946,639 | |
15,556,591 | 3.000%, 6/1/2046 | 16,659,374 | |
7,199,890 | 3.000%, 6/1/2046 | 7,883,527 | |
8,531,895 | 3.000%, 7/1/2046 | 9,240,691 | |
2,683,989 | 3.000%, 9/1/2046 | 2,874,253 | |
7,103,208 | 3.000%, 10/1/2046 | 7,666,677 | |
7,696,487 | 3.000%, 10/1/2046 | 8,254,105 | |
9,201,093 | 3.000%, 10/1/2046 | 9,853,345 | |
6,466,094 | 3.000%, 11/1/2046 | 6,817,371 | |
3,723,824 | 3.000%, 11/1/2046 | 3,987,800 | |
8,400,518 | 3.000%, 12/1/2046 | 9,098,399 | |
13,247,515 | 3.000%, 1/1/2047 | 13,950,640 | |
12,783,242 | 3.000%, 5/1/2047 | 13,709,400 | |
262,202 | 3.500%, 6/1/2026 | 279,460 | |
426,854 | 3.500%, 6/1/2026 | 454,015 | |
144,323 | 3.500%, 7/1/2026 | 153,507 | |
6,676,626 | 3.500%, 7/1/2042 | 7,325,410 |
Principal Amount or Shares | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal Home Loan Mortgage Corporation— continued | |||
$ 6,195,679 | 3.500%, 9/1/2043 | $6,722,218 | |
3,392,448 | 3.500%, 5/1/2046 | 3,633,049 | |
27,078,565 | 3.500%, 7/1/2046 | 29,642,158 | |
27,035,314 | 3.500%, 11/1/2047 | 28,800,650 | |
13,245,941 | 3.500%, 11/1/2047 | 14,061,194 | |
3,115,233 | 3.500%, 12/1/2047 | 3,410,159 | |
21,768,824 | 3.500%, 12/1/2047 | 23,373,946 | |
11,404,334 | 3.500%, 2/1/2048 | 12,173,242 | |
18,774,160 | 3.500%, 2/1/2048 | 20,187,806 | |
144,273 | 4.000%, 5/1/2024 | 153,003 | |
998,722 | 4.000%, 8/1/2025 | 1,059,152 | |
111,119 | 4.000%, 5/1/2026 | 117,947 | |
1,635,125 | 4.000%, 5/1/2026 | 1,735,594 | |
1,489,523 | 4.000%, 12/1/2040 | 1,651,622 | |
8,199,490 | 4.000%, 12/1/2041 | 9,087,559 | |
1,144,122 | 4.000%, 1/1/2042 | 1,268,039 | |
15,500,345 | 4.000%, 6/1/2047 | 17,103,589 | |
15,080,286 | 4.000%, 10/1/2047 | 16,422,360 | |
8,148,755 | 4.000%, 11/1/2047 | 8,735,936 | |
9,457,659 | 4.000%, 12/1/2047 | 10,301,416 | |
5,771,506 | 4.000%, 2/1/2048 | 6,214,082 | |
14,184,548 | 4.000%, 4/1/2048 | 15,202,223 | |
7,806,415 | 4.000%, 5/1/2048 | 8,359,170 | |
6,960,155 | 4.000%, 6/1/2048 | 7,582,622 | |
121 | 4.500%, 3/1/2021 | 121 | |
16,208 | 4.500%, 9/1/2021 | 16,274 | |
105,143 | 4.500%, 7/1/2024 | 110,110 | |
122,429 | 4.500%, 8/1/2024 | 128,341 | |
258,613 | 4.500%, 9/1/2024 | 271,104 | |
141,378 | 4.500%, 9/1/2024 | 147,753 | |
150,417 | 4.500%, 6/1/2025 | 158,145 | |
803,234 | 4.500%, 11/1/2039 | 899,778 | |
2,282,506 | 4.500%, 5/1/2040 | 2,556,851 | |
240,719 | 4.500%, 6/1/2040 | 269,652 | |
384,312 | 4.500%, 7/1/2040 | 430,504 | |
696,752 | 4.500%, 8/1/2040 | 780,498 | |
1,363,379 | 4.500%, 8/1/2040 | 1,527,250 | |
4,231,352 | 4.500%, 9/1/2040 | 4,739,938 | |
886,281 | 4.500%, 7/1/2041 | 990,592 |
Principal Amount or Shares | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal Home Loan Mortgage Corporation— continued | |||
$ 414,037 | 4.500%, 7/1/2041 | $463,414 | |
466,549 | 4.500%, 7/1/2041 | 521,459 | |
8,695,031 | 4.500%, 2/1/2048 | 9,698,147 | |
8,802,482 | 4.500%, 5/1/2048 | 9,568,911 | |
4,803,321 | 4.500%, 10/1/2048 | 5,203,532 | |
4,262 | 5.000%, 10/1/2021 | 4,315 | |
13,890 | 5.000%, 11/1/2021 | 14,062 | |
18,596 | 5.000%, 12/1/2021 | 18,884 | |
57,700 | 5.000%, 6/1/2023 | 59,862 | |
91,684 | 5.000%, 7/1/2023 | 95,235 | |
46,096 | 5.000%, 7/1/2023 | 47,880 | |
41,405 | 5.000%, 7/1/2025 | 42,956 | |
1,277,091 | 5.000%, 1/1/2034 | 1,452,439 | |
419,817 | 5.000%, 5/1/2034 | 477,941 | |
1,737 | 5.000%, 11/1/2035 | 1,996 | |
524,482 | 5.000%, 4/1/2036 | 602,852 | |
597 | 5.000%, 4/1/2036 | 688 | |
9,807 | 5.000%, 4/1/2036 | 11,279 | |
133,062 | 5.000%, 4/1/2036 | 153,355 | |
79,700 | 5.000%, 5/1/2036 | 92,056 | |
87,930 | 5.000%, 6/1/2036 | 101,018 | |
165,481 | 5.000%, 6/1/2036 | 188,979 | |
508,276 | 5.000%, 12/1/2037 | 586,954 | |
73,902 | 5.000%, 5/1/2038 | 85,442 | |
41,552 | 5.000%, 6/1/2038 | 47,883 | |
89,018 | 5.000%, 9/1/2038 | 102,521 | |
83,312 | 5.000%, 2/1/2039 | 96,047 | |
83,811 | 5.000%, 6/1/2039 | 96,731 | |
2,597,431 | 5.000%, 10/1/2039 | 2,994,984 | |
230,515 | 5.000%, 2/1/2040 | 265,797 | |
435,020 | 5.000%, 8/1/2040 | 501,466 | |
606 | 5.500%, 3/1/2021 | 608 | |
3,627 | 5.500%, 4/1/2021 | 3,632 | |
13,457 | 5.500%, 1/1/2022 | 13,694 | |
35,218 | 5.500%, 1/1/2022 | 35,899 | |
2,000 | 5.500%, 1/1/2022 | 2,039 | |
44,687 | 5.500%, 2/1/2022 | 45,551 | |
1,083,202 | 5.500%, 5/1/2034 | 1,252,046 | |
62,381 | 5.500%, 3/1/2036 | 73,034 |
Principal Amount or Shares | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal Home Loan Mortgage Corporation— continued | |||
$ 106,251 | 5.500%, 3/1/2036 | $124,041 | |
26,672 | 5.500%, 3/1/2036 | 31,243 | |
104,797 | 5.500%, 3/1/2036 | 122,452 | |
252,361 | 5.500%, 6/1/2036 | 295,119 | |
112,946 | 5.500%, 6/1/2036 | 132,298 | |
67,820 | 5.500%, 6/1/2036 | 79,408 | |
84,893 | 5.500%, 9/1/2037 | 99,812 | |
275,811 | 5.500%, 9/1/2037 | 323,315 | |
119,679 | 5.500%, 12/1/2037 | 140,696 | |
19,040 | 5.500%, 3/1/2038 | 22,356 | |
11,039 | 6.000%, 7/1/2029 | 12,614 | |
29,289 | 6.000%, 2/1/2032 | 33,898 | |
27,782 | 6.000%, 5/1/2036 | 33,116 | |
58,682 | 6.000%, 8/1/2037 | 70,419 | |
239,141 | 6.000%, 9/1/2037 | 285,431 | |
5,421 | 6.500%, 3/1/2022 | 5,569 | |
8,521 | 6.500%, 6/1/2029 | 9,753 | |
5,076 | 6.500%, 6/1/2029 | 5,814 | |
3,743 | 6.500%, 7/1/2029 | 4,253 | |
206,342 | 6.500%, 11/1/2036 | 247,188 | |
489,103 | 6.500%, 10/1/2037 | 588,625 | |
2,681 | 6.500%, 4/1/2038 | 3,225 | |
2,254 | 6.500%, 4/1/2038 | 2,715 | |
8,180 | 7.000%, 4/1/2032 | 9,559 | |
122,438 | 7.000%, 4/1/2032 | 146,235 | |
53,388 | 7.000%, 9/1/2037 | 65,123 | |
20,966 | 7.500%, 8/1/2029 | 24,345 | |
20,569 | 7.500%, 10/1/2029 | 23,753 | |
11,108 | 7.500%, 11/1/2029 | 12,865 | |
13,191 | 7.500%, 4/1/2031 | 14,600 | |
13,314 | 7.500%, 5/1/2031 | 15,686 | |
2,803 | 8.000%, 3/1/2030 | 3,277 | |
34,043 | 8.000%, 1/1/2031 | 40,248 | |
47,255 | 8.000%, 2/1/2031 | 55,663 | |
52,842 | 8.000%, 3/1/2031 | 62,452 | |
1,171 | 8.500%, 9/1/2025 | 1,290 | |
337 | 8.500%, 9/1/2025 | 371 | |
TOTAL | 591,983,192 |
Principal Amount or Shares | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— 31.2% | |||
$ 13,496,469 | 2.000%, 9/1/2035 | $14,113,119 | |
5,887,565 | 2.000%, 9/1/2050 | 6,123,527 | |
24,753,106 | 2.000%, 9/1/2050 | 25,741,295 | |
24,625,759 | 2.000%, 10/1/2050 | 25,612,711 | |
3,296,904 | 2.500%, 2/1/2028 | 3,458,564 | |
18,245,063 | 2.500%, 11/1/2049 | 19,293,211 | |
5,387,084 | 2.500%, 12/1/2049 | 5,678,044 | |
2,229,620 | 3.000%, 2/1/2032 | 2,373,486 | |
4,344,856 | 3.000%, 8/1/2043 | 4,635,206 | |
2,849,754 | 3.000%, 9/1/2043 | 3,040,191 | |
11,075,866 | 3.000%, 8/1/2046 | 11,878,324 | |
3,971,257 | 3.000%, 9/1/2046 | 4,283,798 | |
5,553,684 | 3.000%, 10/1/2046 | 5,860,600 | |
2,156,092 | 3.000%, 10/1/2046 | 2,308,934 | |
6,127,518 | 3.000%, 11/1/2046 | 6,460,401 | |
3,644,939 | 3.000%, 11/1/2046 | 3,903,323 | |
4,992,269 | 3.000%, 11/1/2046 | 5,332,122 | |
2,152,866 | 3.000%, 1/1/2047 | 2,267,132 | |
47,373,048 | 3.000%, 1/1/2047 | 49,887,420 | |
1,157,993 | 3.000%, 2/1/2047 | 1,254,194 | |
8,740,443 | 3.000%, 3/1/2047 | 9,215,277 | |
13,853,474 | 3.000%, 3/1/2047 | 14,857,172 | |
1,643,737 | 3.000%, 4/1/2047 | 1,759,746 | |
9,408,524 | 3.000%, 12/1/2047 | 10,090,181 | |
13,801,056 | 3.000%, 12/1/2047 | 14,878,587 | |
4,988,464 | 3.000%, 2/1/2048 | 5,356,119 | |
1,129,438 | 3.000%, 2/1/2048 | 1,212,679 | |
5,578,653 | 3.000%, 11/1/2049 | 5,961,912 | |
2,103,363 | 3.000%, 11/1/2049 | 2,200,540 | |
25,746,353 | 3.000%, 12/1/2049 | 26,935,860 | |
25,838,441 | 3.000%, 12/1/2049 | 27,032,203 | |
183,283 | 3.500%, 11/1/2025 | 194,602 | |
295,019 | 3.500%, 11/1/2025 | 313,238 | |
336,412 | 3.500%, 12/1/2025 | 357,818 | |
349,254 | 3.500%, 1/1/2026 | 371,477 | |
105,901 | 3.500%, 1/1/2026 | 112,640 | |
24,424,038 | 3.500%, 4/1/2033 | 26,687,987 | |
10,782,458 | 3.500%, 9/1/2042 | 11,894,236 | |
17,560,018 | 3.500%, 7/1/2045 | 19,244,417 |
Principal Amount or Shares | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 8,254,591 | 3.500%, 8/1/2046 | $8,889,813 | |
10,305,543 | 3.500%, 8/1/2046 | 11,036,437 | |
14,533,090 | 3.500%, 9/1/2046 | 15,651,465 | |
7,420,531 | 3.500%, 11/1/2046 | 8,134,645 | |
7,188,259 | 3.500%, 2/1/2047 | 7,880,020 | |
16,331,333 | 3.500%, 11/1/2047 | 17,336,484 | |
15,477,289 | 3.500%, 12/1/2047 | 16,522,740 | |
9,141,180 | 3.500%, 4/1/2048 | 9,686,656 | |
268,786 | 4.000%, 12/1/2025 | 285,049 | |
271,681 | 4.000%, 7/1/2026 | 288,374 | |
2,086,878 | 4.000%, 2/1/2041 | 2,314,208 | |
5,313,755 | 4.000%, 12/1/2041 | 5,892,597 | |
2,148,259 | 4.000%, 3/1/2042 | 2,393,688 | |
4,084,182 | 4.000%, 4/1/2042 | 4,525,254 | |
1,635,652 | 4.000%, 3/1/2046 | 1,786,737 | |
2,653,817 | 4.000%, 7/1/2046 | 2,906,830 | |
2,618,409 | 4.000%, 9/1/2046 | 2,884,002 | |
4,446,991 | 4.000%, 11/1/2046 | 4,867,836 | |
17,778,031 | 4.000%, 6/1/2047 | 19,616,862 | |
6,558,585 | 4.000%, 10/1/2047 | 7,102,097 | |
8,984,758 | 4.000%, 10/1/2047 | 9,651,834 | |
6,620,780 | 4.000%, 11/1/2047 | 7,148,549 | |
8,860,937 | 4.000%, 12/1/2047 | 9,769,696 | |
5,374,947 | 4.000%, 1/1/2048 | 5,897,468 | |
9,878,147 | 4.000%, 2/1/2048 | 10,580,684 | |
8,793,637 | 4.000%, 2/1/2048 | 9,438,279 | |
15,221,512 | 4.000%, 2/1/2048 | 16,318,341 | |
3,140,596 | 4.000%, 2/1/2048 | 3,415,531 | |
6,416,666 | 4.000%, 2/1/2048 | 6,908,714 | |
2,799,709 | 4.000%, 3/1/2048 | 3,077,567 | |
2,553,373 | 4.000%, 3/1/2048 | 2,762,898 | |
7,830,212 | 4.000%, 5/1/2048 | 8,401,781 | |
2,288,507 | 4.000%, 6/1/2048 | 2,454,127 | |
8,335,808 | 4.000%, 6/1/2048 | 8,931,258 | |
4,932,585 | 4.000%, 7/1/2048 | 5,266,899 | |
156,776 | 4.500%, 2/1/2039 | 175,746 | |
847,936 | 4.500%, 5/1/2040 | 949,853 | |
2,333,194 | 4.500%, 10/1/2040 | 2,613,631 | |
287,363 | 4.500%, 11/1/2040 | 321,903 |
Principal Amount or Shares | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 3,008,914 | 4.500%, 4/1/2041 | $3,366,809 | |
1,543,477 | 4.500%, 6/1/2041 | 1,725,137 | |
312,501 | 5.000%, 5/1/2023 | 324,205 | |
51,757 | 5.000%, 8/1/2023 | 53,826 | |
286,022 | 5.000%, 11/1/2023 | 299,188 | |
1,752,116 | 5.000%, 2/1/2036 | 2,018,616 | |
1,030,651 | 5.000%, 7/1/2040 | 1,188,398 | |
1,396,530 | 5.000%, 10/1/2041 | 1,608,096 | |
32,404 | 5.500%, 1/1/2032 | 37,181 | |
24,447 | 5.500%, 1/1/2032 | 28,052 | |
357,849 | 5.500%, 9/1/2034 | 416,207 | |
1,098,275 | 5.500%, 12/1/2034 | 1,277,418 | |
34,567 | 5.500%, 4/1/2035 | 40,099 | |
384,980 | 5.500%, 11/1/2035 | 450,718 | |
273,451 | 5.500%, 1/1/2036 | 318,907 | |
89,312 | 5.500%, 3/1/2036 | 104,015 | |
406,784 | 5.500%, 4/1/2036 | 475,915 | |
590,564 | 5.500%, 4/1/2036 | 688,089 | |
209,469 | 5.500%, 5/1/2036 | 245,517 | |
127,842 | 5.500%, 9/1/2036 | 149,021 | |
410,326 | 5.500%, 8/1/2037 | 478,696 | |
152,178 | 5.500%, 7/1/2038 | 178,906 | |
581,689 | 5.500%, 4/1/2041 | 677,437 | |
10,546 | 6.000%, 1/1/2029 | 11,866 | |
234 | 6.000%, 1/1/2029 | 235 | |
13,682 | 6.000%, 2/1/2029 | 15,394 | |
5,483 | 6.000%, 2/1/2029 | 6,171 | |
4,403 | 6.000%, 4/1/2029 | 5,013 | |
14,393 | 6.000%, 5/1/2029 | 16,376 | |
7,907 | 6.000%, 5/1/2029 | 8,914 | |
577,620 | 6.000%, 7/1/2034 | 681,540 | |
313,766 | 6.000%, 11/1/2034 | 369,181 | |
158,801 | 6.000%, 7/1/2036 | 190,109 | |
37,753 | 6.000%, 7/1/2036 | 45,132 | |
166,233 | 6.000%, 10/1/2037 | 199,502 | |
130,060 | 6.000%, 6/1/2038 | 155,569 | |
811,649 | 6.000%, 7/1/2038 | 971,795 | |
50,280 | 6.000%, 9/1/2038 | 60,177 | |
40,510 | 6.000%, 10/1/2038 | 48,680 |
Principal Amount or Shares | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 310,918 | 6.000%, 2/1/2039 | $373,873 | |
26,047 | 6.500%, 9/1/2028 | 28,919 | |
3,602 | 6.500%, 8/1/2029 | 4,088 | |
4,999 | 6.500%, 6/1/2031 | 5,820 | |
13,932 | 6.500%, 6/1/2031 | 16,113 | |
2,069 | 6.500%, 6/1/2031 | 2,396 | |
5,186 | 6.500%, 6/1/2031 | 5,969 | |
31,808 | 6.500%, 12/1/2031 | 37,342 | |
2,985 | 6.500%, 1/1/2032 | 3,489 | |
43,526 | 6.500%, 3/1/2032 | 50,973 | |
157,403 | 6.500%, 4/1/2032 | 183,231 | |
48,606 | 6.500%, 5/1/2032 | 57,149 | |
240,651 | 6.500%, 7/1/2036 | 287,786 | |
11,140 | 6.500%, 8/1/2036 | 13,361 | |
13,850 | 6.500%, 9/1/2036 | 16,679 | |
74,566 | 6.500%, 12/1/2036 | 89,085 | |
100,461 | 6.500%, 9/1/2037 | 121,170 | |
6,200 | 6.500%, 12/1/2037 | 7,479 | |
68,604 | 6.500%, 10/1/2038 | 82,727 | |
501 | 7.000%, 7/1/2023 | 530 | |
12,443 | 7.000%, 2/1/2024 | 13,030 | |
636 | 7.000%, 5/1/2024 | 684 | |
1,727 | 7.000%, 7/1/2024 | 1,868 | |
1,026 | 7.000%, 7/1/2025 | 1,129 | |
12,384 | 7.000%, 9/1/2031 | 14,518 | |
5,771 | 7.000%, 9/1/2031 | 6,866 | |
88,366 | 7.000%, 11/1/2031 | 105,305 | |
6,216 | 7.000%, 12/1/2031 | 7,401 | |
58,692 | 7.000%, 1/1/2032 | 65,888 | |
27,284 | 7.000%, 2/1/2032 | 32,428 | |
35,400 | 7.000%, 3/1/2032 | 42,217 | |
210,759 | 7.000%, 3/1/2032 | 242,374 | |
5,411 | 7.000%, 4/1/2032 | 6,462 | |
22,850 | 7.000%, 4/1/2032 | 26,873 | |
115,864 | 7.000%, 4/1/2032 | 138,548 | |
13,190 | 7.000%, 6/1/2032 | 15,782 | |
239,432 | 7.000%, 6/1/2037 | 292,118 | |
906 | 7.500%, 1/1/2030 | 1,058 | |
9,295 | 7.500%, 9/1/2030 | 10,885 |
Principal Amount or Shares | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 6,723 | 7.500%, 5/1/2031 | $7,930 | |
2,925 | 7.500%, 6/1/2031 | 3,437 | |
36,573 | 7.500%, 8/1/2031 | 43,167 | |
41,180 | 7.500%, 1/1/2032 | 47,515 | |
3,497 | 7.500%, 6/1/2033 | 4,030 | |
93 | 8.000%, 7/1/2023 | 96 | |
4,394 | 8.000%, 10/1/2026 | 4,974 | |
2,138 | 8.000%, 11/1/2029 | 2,489 | |
371 | 9.000%, 6/1/2025 | 410 | |
TOTAL | 667,732,614 | ||
Government National Mortgage Association— 6.4% | |||
24,761,362 | 2.500%, 9/20/2050 | 26,239,331 | |
24,857,453 | 2.500%, 10/20/2050 | 26,341,157 | |
13,503,498 | 3.000%, 1/20/2047 | 14,207,858 | |
1,299,053 | 3.500%, 8/15/2043 | 1,401,510 | |
844,554 | 3.500%, 8/15/2043 | 911,165 | |
13,672,649 | 3.500%, 3/20/2047 | 14,912,753 | |
17,386,836 | 3.500%, 11/20/2047 | 18,972,781 | |
1,213,390 | 4.000%, 9/15/2040 | 1,346,612 | |
3,101,265 | 4.000%, 10/15/2040 | 3,436,468 | |
1,437,304 | 4.000%, 1/15/2041 | 1,595,110 | |
1,806,653 | 4.000%, 10/15/2041 | 2,001,422 | |
12,069,704 | 4.000%, 6/15/2048 | 12,906,965 | |
302,563 | 4.500%, 1/15/2039 | 340,913 | |
266,765 | 4.500%, 6/15/2039 | 303,029 | |
915,177 | 4.500%, 10/15/2039 | 1,042,143 | |
321,390 | 4.500%, 1/15/2040 | 365,978 | |
166,141 | 4.500%, 6/15/2040 | 188,879 | |
231,910 | 4.500%, 9/15/2040 | 262,852 | |
249,755 | 4.500%, 2/15/2041 | 282,453 | |
956,878 | 4.500%, 3/15/2041 | 1,087,835 | |
95,370 | 4.500%, 5/15/2041 | 107,856 | |
3,146,479 | 4.500%, 6/20/2041 | 3,508,318 | |
572,861 | 4.500%, 9/15/2041 | 647,861 | |
380,387 | 4.500%, 10/15/2043 | 426,265 | |
389,691 | 4.500%, 11/15/2043 | 436,691 | |
462,316 | 5.000%, 1/15/2039 | 532,174 | |
432,457 | 5.000%, 5/15/2039 | 498,267 | |
590,541 | 5.000%, 8/20/2039 | 677,278 |
Principal Amount or Shares | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Government National Mortgage Association— continued | |||
$ 183,682 | 5.500%, 12/15/2038 | $214,764 | |
133,134 | 5.500%, 12/20/2038 | 155,078 | |
199,305 | 5.500%, 1/15/2039 | 234,327 | |
268,840 | 5.500%, 2/15/2039 | 315,655 | |
7,717 | 6.000%, 10/15/2028 | 8,625 | |
7,166 | 6.000%, 3/15/2029 | 7,995 | |
80,295 | 6.000%, 2/15/2036 | 94,232 | |
127,113 | 6.000%, 4/15/2036 | 149,517 | |
142,570 | 6.000%, 6/15/2037 | 167,838 | |
11,611 | 6.500%, 10/15/2028 | 13,210 | |
6,004 | 6.500%, 10/15/2028 | 6,549 | |
7,322 | 6.500%, 11/15/2028 | 8,251 | |
10,870 | 6.500%, 12/15/2028 | 12,250 | |
3,632 | 6.500%, 2/15/2029 | 4,113 | |
12,899 | 6.500%, 3/15/2029 | 14,594 | |
27,068 | 6.500%, 9/15/2031 | 31,493 | |
58,123 | 6.500%, 2/15/2032 | 67,373 | |
15,940 | 7.000%, 11/15/2027 | 17,851 | |
8,237 | 7.000%, 6/15/2028 | 9,215 | |
16,142 | 7.000%, 11/15/2028 | 18,058 | |
7,959 | 7.000%, 1/15/2029 | 9,060 | |
7,481 | 7.000%, 5/15/2029 | 8,592 | |
2,114 | 7.000%, 10/15/2029 | 2,411 | |
21,690 | 7.000%, 5/15/2030 | 24,911 | |
14,773 | 7.000%, 11/15/2030 | 17,127 | |
12,191 | 7.000%, 12/15/2030 | 13,889 | |
14,290 | 7.000%, 8/15/2031 | 16,580 | |
60,843 | 7.000%, 10/15/2031 | 70,773 | |
10,875 | 7.000%, 12/15/2031 | 12,711 | |
11,116 | 7.500%, 8/15/2029 | 12,753 | |
41,461 | 7.500%, 10/15/2029 | 48,084 | |
4,261 | 7.500%, 10/15/2030 | 4,947 | |
6,932 | 7.500%, 1/15/2031 | 8,149 | |
1,576 | 8.000%, 1/15/2022 | 1,610 | |
1,231 | 8.000%, 6/15/2022 | 1,269 | |
819 | 8.000%, 8/15/2029 | 957 | |
2,504 | 8.000%, 10/15/2029 | 2,927 | |
8,985 | 8.000%, 11/15/2029 | 10,513 | |
8,928 | 8.000%, 1/15/2030 | 10,326 |
Principal Amount or Shares | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Government National Mortgage Association— continued | |||
$ 3,332 | 8.000%, 10/15/2030 | $3,888 | |
73,955 | 8.000%, 11/15/2030 | 87,206 | |
3,871 | 8.500%, 5/15/2029 | 4,557 | |
TOTAL | 136,906,152 | ||
1 | Uniform Mortgage-Backed Securities, TBA— 19.7% | ||
46,000,000 | 2.000%, 1/1/2036 | 48,108,985 | |
78,500,000 | 2.000%, 1/1/2051 | 81,602,838 | |
278,500,000 | 2.500%, 1/1/2051 | 293,675,966 | |
TOTAL | 423,387,789 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $1,722,497,397) | 1,820,009,747 | ||
ASSET-BACKED SECURITIES— 13.5% | |||
Auto Receivables— 2.9% | |||
6,268,000 | AmeriCredit Automobile Receivables Trust 2020-2, Class C, 1.480%, 2/18/2026 | 6,287,069 | |
3,880,000 | AmeriCredit Automobile Receivables Trust 2020-3, Class C, 1.060%, 8/18/2026 | 3,897,194 | |
11,095,000 | Santander Drive Auto Receivables Trust 2020-2, Class D, 2.220%, 9/15/2026 | 11,355,609 | |
23,062,000 | Santander Drive Auto Receivables Trust 2020-3, Class C, 1.120%, 1/15/2026 | 23,306,455 | |
6,335,000 | Santander Drive Auto Receivables Trust 2020-4, Class D, 1.480%, 1/15/2027 | 6,362,520 | |
10,025,000 | Tesla Auto Lease Trust 2020-A, Class A3, 0.680%, 12/20/2023 | 10,092,351 | |
TOTAL | 61,301,198 | ||
Credit Card— 6.4% | |||
12,895,000 | 2 | American Express Credit Account Master Trust 2018-9, Class A, 0.538% (1-month USLIBOR +0.380%), 4/15/2026 | 12,953,422 |
14,368,000 | 2 | Capital One Multi-Asset Execute 2017-A5, Class A5, 0.738% (1-month USLIBOR +0.580%), 7/15/2027 | 14,535,492 |
35,255,000 | 2 | Chase Issuance Trust 2018-A1, Class A1, 0.358% (1-month USLIBOR +0.200%), 4/17/2023 | 35,314,888 |
13,450,000 | 2 | Citibank Credit Card Issuance Trust 2018-A4, Class A4, 0.492% (1-month USLIBOR +0.340%), 6/7/2025 | 13,496,206 |
26,460,000 | 2 | Discover Card Execution Note Trust 2017-A5, Class A5, 0.758% (1-month USLIBOR +0.600%), 12/15/2026 | 26,759,786 |
22,500,000 | 2 | Discover Card Execution Note Trust 2017-A7, Class A7, 0.518% (1-month USLIBOR +0.360%), 4/15/2025 | 22,564,800 |
12,340,000 | 2 | Discover Card Execution Note Trust 2018-A2, Class A2, 0.488% (1-month USLIBOR +0.330%), 8/15/2025 | 12,402,869 |
TOTAL | 138,027,463 |
Principal Amount or Shares | Value in U.S. Dollars | ||
ASSET-BACKED SECURITIES— continued | |||
Other— 0.1% | |||
$ 866,021 | Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 | $875,654 | |
Student Loans— 4.1% | |||
10,472,048 | Navient Student Loan Trust 2020-FA, Class A, 1.220%, 7/15/2069 | 10,615,736 | |
22,116,179 | Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 | 22,341,041 | |
18,675,000 | Navient Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 | 18,864,103 | |
15,908,544 | 2 | SMB Private Education Loan Trust 2018-A, Class A2B, 0.958% (1-month USLIBOR +0.800%), 2/15/2036 | 15,957,529 |
20,424,717 | 2 | SMB Private Education Loan Trust 2020-BA, Class A1B, 1.249% (1-month USLIBOR +1.100%), 7/15/2053 | 20,547,968 |
TOTAL | 88,326,377 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $286,144,915) | 288,530,692 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS— 9.0% | |||
2 | Federal Home Loan Mortgage Corporation— 2.9% | ||
14,543,290 | FHLMC REMIC, Series 3284, Class AF, 0.468% (1-month USLIBOR +0.310%), 3/15/2037 | 14,589,868 | |
7,687,187 | FHLMC REMIC, Series 4273, Class PF, 0.558% (1-month USLIBOR +0.400%), 11/15/2043 | 7,749,341 | |
35,414,741 | FHLMC REMIC, Series 4856, Class FD, 0.458% (1-month USLIBOR +0.300%), 8/15/2040 | 35,563,649 | |
5,656,394 | FHLMC REMIC, Series 4901, Class GF, 0.598% (1-month USLIBOR +0.450%), 7/25/2049 | 5,689,892 | |
TOTAL | 63,592,750 | ||
2 | Federal National Mortgage Association— 5.1% | ||
14,145,483 | FNMA REMIC, Series 2017-90, Class WF, 0.498% (1-month USLIBOR +0.350%), 11/25/2047 | 14,190,459 | |
3,561,843 | FNMA REMIC, Series 2018-15, Class JF, 0.448% (1-month USLIBOR +0.300%), 3/25/2048 | 3,573,486 | |
28,587,238 | FNMA REMIC, Series 2019-27, Class FH, 0.598% (1-month USLIBOR +0.450%), 6/25/2049 | 28,791,094 | |
11,786,033 | FNMA REMIC, Series 2019-30, Class FB, 0.548% (1-month USLIBOR +0.400%), 7/25/2049 | 11,878,897 | |
6,753,029 | FNMA REMIC, Series 2019-33, Class FB, 0.598% (1-month USLIBOR +0.450%), 7/25/2049 | 6,795,542 | |
13,740,154 | FNMA REMIC, Series 2019-39, Class FA, 0.548% (1-month USLIBOR +0.400%), 8/25/2049 | 13,834,453 | |
8,856,734 | FNMA REMIC, Series 2019-47, Class FB, 0.548% (1-month USLIBOR +0.400%), 5/25/2040 | 8,921,305 | |
20,542,523 | FNMA REMIC, Series 2019-56, Class AF, 0.548% (1-month USLIBOR +0.400%), 10/25/2049 | 20,700,405 | |
TOTAL | 108,685,641 |
Principal Amount or Shares | Value in U.S. Dollars | ||
COLLATERALIZED MORTGAGE OBLIGATIONS— continued | |||
2 | Government National Mortgage Association— 0.2% | ||
$ 4,493,142 | GNMA REMIC, Series 2005-71, Class FA, 0.285% (1-month USLIBOR +0.140%), 9/16/2035 | $4,486,721 | |
Non-Agency Mortgage-Backed Securities— 0.8% | |||
642,512 | Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 | 551,735 | |
437,501 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 252,455 | |
123,957 | Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 3.151%, 8/25/2035 | 124,075 | |
4,003,275 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | 3,915,417 | |
3,727,683 | Sequoia Mortgage Trust 2013-1, Class 2A1, 1.855%, 2/25/2043 | 3,757,752 | |
8,183,602 | Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 | 8,290,564 | |
TOTAL | 16,891,998 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $192,621,125) | 193,657,110 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES— 2.7% | |||
Agency Commercial Mortgage-Backed Securities— 2.7% | |||
25,707,100 | FHLMC REMIC, Series K736, Class A1, 1.895%, 6/25/2025 | 26,419,482 | |
31,500,000 | 2 | FHLMC REMIC, Series KF90, Class AS, 0.462% (Secured Overnight Financing Rate +0.380%), 9/25/2030 | 31,500,000 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $57,335,635) | 57,919,482 | ||
INVESTMENT COMPANY— 9.6% | |||
204,435,825 | 3 | Federated Hermes Government Obligations Fund, Premier Shares, 0.01%4 (IDENTIFIED COST $204,435,825) | 204,435,825 |
TOTAL INVESTMENT IN SECURITIES—119.7% (IDENTIFIED COST $2,463,034,897)5 | 2,564,552,856 | ||
OTHER ASSETS AND LIABILITIES - NET—(19.7)%6 | (421,434,756) | ||
TOTAL NET ASSETS—100% | $2,143,118,100 |
Federated Hermes Government Obligations Fund, Premier Shares | |
Value as of 12/31/2019 | $121,153,079 |
Purchases at Cost | $2,340,888,918 |
Proceeds from Sales | $(2,257,606,172) |
Change in Unrealized Appreciation/Depreciation | N/A |
Net Realized Gain/(Loss) | N/A |
Value as of 12/31/2020 | $204,435,825 |
Shares Held as of 12/31/2020 | 204,435,825 |
Dividend Income | $765,479 |
1 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | All or a portion of these securities are segregated pending settlement of dollar-roll transactions. |
4 | 7-day net yield. |
5 | The cost of investments for federal tax purposes amounts to $2,460,000,240. |
6 | Assets, other than investment in securities, less liabilities. See Statement of Assets and Liabilities. A significant portion of this balance is the result of dollar-roll transactions as of December 31, 2020. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Mortgage-Backed Securities | $— | $1,820,009,747 | $— | $1,820,009,747 |
Asset-Backed Securities | — | 288,530,692 | — | 288,530,692 |
Collateralized Mortgage Obligations | — | 193,657,110 | — | 193,657,110 |
Commercial Mortgage-Backed Securities | — | 57,919,482 | — | 57,919,482 |
Investment Company | 204,435,825 | — | — | 204,435,825 |
TOTAL SECURITIES | $204,435,825 | $2,360,117,031 | $— | $2,564,552,856 |
The following acronym(s) are used throughout this portfolio: | ||
FHLMC | —Federal Home Loan Mortgage Corporation | |
FNMA | —Federal National Mortgage Association | |
GNMA | —Government National Mortgage Association | |
LIBOR | —London Interbank Offered Rate | |
REMIC | —Real Estate Mortgage Investment Conduit |
Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net Asset Value, Beginning of Period | $9.88 | $9.60 | $9.80 | $9.81 | $9.85 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.24 | 0.32 | 0.30 | 0.27 | 0.23 |
Net realized and unrealized gain (loss) | 0.22 | 0.28 | (0.20) | 0.002 | (0.00)2 |
TOTAL FROM INVESTMENT OPERATIONS | 0.46 | 0.60 | 0.10 | 0.27 | 0.23 |
Less Distributions: | |||||
Distributions from net investment income | (0.27) | (0.32) | (0.30) | (0.28) | (0.27) |
Net Asset Value, End of Period | $10.07 | $9.88 | $9.60 | $9.80 | $9.81 |
Total Return3 | 4.70% | 6.33% | 1.10% | 2.75% | 2.30% |
Ratios to Average Net Assets: | |||||
Net expenses4 | 0.02% | 0.03% | 0.03% | 0.03% | 0.03% |
Net investment income | 2.42% | 3.25% | 3.18% | 2.71% | 2.34% |
Expense waiver/reimbursement5 | —% | —% | —% | 0.00%6 | 0.00%6 |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $2,143,118 | $2,528,865 | $2,815,951 | $1,787,418 | $2,147,397 |
Portfolio turnover | 257% | 130% | 109% | 88% | 258% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 72% | 100% | 109% | 46% | 42% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Represents less than $0.01. |
3 | Based on net asset value. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
6 | Represents less than 0.01%. |
December 31, 2020
Assets: | |
Investment in securities, at value including $204,435,825 of investments in an affiliated holding* (identified cost $2,463,034,897) | $2,564,552,856 |
Income receivable | 4,166,531 |
Income receivable from an affiliated holding | 1,697 |
Total Assets | 2,568,721,084 |
Liabilities: | |
Payable for investments purchased | 421,122,087 |
Income distribution payable | 4,300,476 |
Payable for Directors’/Trustees’ fees (Note 5) | 120 |
Accrued expenses (Note 5) | 180,301 |
Total Liabilities | 425,602,984 |
Net assets for 212,847,474 shares outstanding | $2,143,118,100 |
Net Assets Consist of: | |
Paid-in capital | $2,068,404,881 |
Total distributable earnings (loss) | 74,713,219 |
Total Net Assets | $2,143,118,100 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$2,143,118,100 ÷ 212,847,474 shares outstanding, no par value, unlimited shares authorized | $10.07 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31, 2020
Investment Income: | |
Interest | $62,802,143 |
Dividends received from an affiliated holding* | 765,479 |
TOTAL INCOME | 63,567,622 |
Expenses: | |
Custodian fees | 115,945 |
Transfer agent fees | 172,847 |
Directors’/Trustees’ fees (Note 5) | 15,136 |
Auditing fees | 32,500 |
Legal fees | 8,352 |
Portfolio accounting fees | 250,544 |
Share registration costs | 1,430 |
Printing and postage | 16,016 |
Miscellaneous (Note 5) | 27,021 |
TOTAL EXPENSES | 639,791 |
Net investment income | 62,927,831 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized gain on investments | 39,055,732 |
Net change in unrealized appreciation of investments | 21,837,682 |
Net realized and unrealized gain (loss) on investments | 60,893,414 |
Change in net assets resulting from operations | $123,821,245 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2020 | 2019 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income (loss) | $62,927,831 | $84,239,892 |
Net realized gain (loss) | 39,055,732 | 11,228,822 |
Net change in unrealized appreciation/depreciation | 21,837,682 | 62,595,684 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 123,821,245 | 158,064,398 |
Distributions to Shareholders | (70,234,363) | (84,671,889) |
Share Transactions: | ||
Proceeds from sale of shares | 1,127,424,951 | 679,031,800 |
Net asset value of shares issued to shareholders in payment of distributions declared | 9,568,350 | 10,132,796 |
Cost of shares redeemed | (1,576,326,869) | (1,049,643,767) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (439,333,568) | (360,479,171) |
Change in net assets | (385,746,686) | (287,086,662) |
Net Assets: | ||
Beginning of period | 2,528,864,786 | 2,815,951,448 |
End of period | $2,143,118,100 | $2,528,864,786 |
Year Ended 12/31/2020 | Year Ended 12/31/2019 | |
Shares sold | 112,591,117 | 69,130,342 |
Shares issued to shareholders in payment of distributions declared | 949,096 | 1,033,755 |
Shares redeemed | (156,643,675) | (107,607,772) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (43,103,462) | (37,443,675) |
2020 | 2019 | |
Ordinary income | $70,234,363 | $84,671,889 |
Undistributed ordinary income | $132,210 |
Net unrealized appreciation | $104,552,616 |
Capital loss carryforwards | $(29,971,607) |
Short-Term | Long-Term | Total |
$16,157,875 | $13,813,732 | $29,971,607 |
Purchases | $491,346,261 |
Sales | $213,932,554 |
February 22, 2021
Beginning Account Value 7/1/2020 | Ending Account Value 12/31/2020 | Expenses Paid During Period1 | |
Actual | $1,000.00 | $1,007.90 | $0.10 |
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,025.04 | $0.10 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 0.02%, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half-year period). |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 President and Director Indefinite Term Began serving: March 1995 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
John B. Fisher* Birth Date: May 16, 1956 Director Indefinite Term Began serving: May 2016 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Vice President, Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President of some of the Funds in the Federated Hermes Fund Family and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; President and CEO of Passport Research, Ltd.; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Hermes, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Director Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, KLX Energy Services Holdings, Inc. (oilfield services); former Director of KLX Corp. (aerospace). Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Director Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Chair of the Audit Committee, Equifax, Inc.; Lead Director, Member of the Audit and Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of Governance and Compensation Committees, Publix Super Markets, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough serves on the President’s Cabinet and Business School Board of Visitors for the University of Alabama. Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as an Executive Committee member of the United States Golf Association. |
Maureen Lally-Green Birth Date: July 5, 1949 Director Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor Emerita of Law, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as a member of the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court’s Board of Continuing Judicial Education and the Supreme Court’s Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Director, St. Vincent College; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; and Director, Saint Francis University. |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Thomas M. O’Neill Birth Date: June 14, 1951 Director Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O’Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O’Neill serves as Director, Medicines for Humanity. Mr. O’Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); Director, The Golisano Children’s Museum of Naples, Florida; and Director, Midway Pacific (lumber). |
Madelyn A. Reilly Birth Date: February 2, 1956 Director Indefinite Term Began serving: November 2020 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal Affairs, General Counsel and Secretary to the Board of Directors, Duquesne University. Other Directorships Held: None. Qualifications: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary to the Board of Directors and Assistant General Counsel and Director of Risk Management, Duquesne University. Prior to her work at Duquesne University, Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, Health and Safety, PPG Industries. |
P. Jerome Richey Birth Date: February 23, 1949 Director Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; Management Consultant; Retired; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CONSOL Energy Inc. (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.). Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and CNX Gas Company; and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John S. Walsh Birth Date: November 28, 1957 Director Indefinite Term Began serving: March 1999 | Principal Occupations: Director or Trustee of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated Hermes, Inc. in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated Hermes, Inc. in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. Prior to joining Federated Hermes, Inc., Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated Hermes, Inc. in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes’ taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund’s Adviser in 2009 and served as a Senior Vice President of the Fund’s Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Annual Evaluation of Adequacy and Effectiveness
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31428Q812
CUSIP 31428Q796
CUSIP 31428Q770
CUSIP 31428Q101
CUSIP 31428Q507
CUSIP 31428Q739
Item 2. | Code of Ethics |
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the "Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers") that applies to the registrant's Principal Executive Officer and Principal Financial Officer; the registrant's Principal Financial Officer also serves as the Principal Accounting Officer.
(c) There was no amendment to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(d) There was no waiver granted, either actual or implicit, from a provision to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(e) Not Applicable
(f)(3) The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant at 1-800-341-7400, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.
Item 3. Audit Committee Financial Expert
The registrant's Board has determined that each of the following members of the Board's Audit Committee is an “audit committee financial expert,” and is "independent," for purposes of this Item: G. Thomas Hough and Thomas M. O'Neill.
Item 4. | Principal Accountant Fees and Services |
(a) Audit Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2021 – $101,960
Fiscal year ended 2020 - $100,060
(b) Audit-Related Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2021 - $0
Fiscal year ended 2020 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $1,648 respectively. Fiscal year ended 2020- Audit consent fee for N-14 merger document.
(c) Tax Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2021 - $0
Fiscal year ended 2020 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(d) All Other Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2021 - $0
Fiscal year ended 2020 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(e)(1) Audit Committee Policies regarding Pre-approval of Services.
The Audit Committee is required to pre-approve audit and non-audit services performed by the independent auditor in order to assure that the provision of such services do not impair the auditor’s independence. Unless a type of service to be provided by the independent auditor has received general pre-approval, it will require specific pre-approval by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
Certain services have the general pre-approval of the Audit Committee. The term of the general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee specifically provides for a different period. The Audit Committee will annually review the services that may be provided by the independent auditor without obtaining specific pre-approval from the Audit Committee and may grant general pre-approval for such services. The Audit Committee will revise the list of general pre-approved services from time to time, based on subsequent determinations. The Audit Committee will not delegate to management its responsibilities to pre-approve services performed by the independent auditor.
The Audit Committee has delegated pre-approval authority to its chairman (the “Chairman”) for services that do not exceed a specified dollar threshold. The Chairman or Chief Audit Executive will report any such pre-approval decisions to the Audit Committee at its next scheduled meeting. The Committee will designate another member with such pre-approval authority when the Chairman is unavailable.
AUDIT SERVICES
The annual audit services engagement terms and fees will be subject to the specific pre-approval of the Audit Committee. The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope, registered investment company (RIC) structure or other matters.
In addition to the annual audit services engagement specifically approved by the Audit Committee, the Audit Committee may grant general pre-approval for other audit services, which are those services that only the independent auditor reasonably can provide. The Audit Committee has pre-approved certain audit services; with limited exception, all other audit services must be specifically pre-approved by the Audit Committee.
AUDIT-RELATED SERVICES
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the RIC’s financial statements or that are traditionally performed by the independent auditor. The Audit Committee believes that the provision of audit-related services does not impair the independence of the auditor, and has pre-approved certain audit-related services; all other audit-related services must be specifically pre-approved by the Audit Committee.
TAX SERVICES
The Audit Committee believes that the independent auditor can provide tax services to the RIC such as tax compliance, tax planning and tax advice without impairing the auditor’s independence. However, the Audit Committee will not permit the retention of the independent auditor in connection with a transaction initially recommended by the independent auditor, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has pre-approved certain tax services; with limited exception, all tax services involving large and complex transactions must be specifically pre-approved by the Audit Committee.
ALL OTHER SERVICES
With respect to the provision of permissible services other than audit, review or attest services the pre-approval requirement is waived if:
(1) | With respect to such services rendered to the Funds, the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues paid by the audit client to its accountant during the fiscal year in which the services are provided; and, |
(2) | With respect to such services rendered to the Fund’s investment adviser ( the “Adviser”)and any entity controlling, controlled by to under common control with the Adviser such as affiliated non-U.S. and U.S. funds not under the Audit Committee’s purview and which do not fall within a category of service which has been determined by the Audit Committee not to have a direct impact on the operations or financial reporting of the RIC, the aggregate amount of all services provided constitutes no more than five percent of the total amount of revenues paid to the RIC’s auditor by the RIC, its Adviser and any entity controlling, controlled by, or under common control with the Adviser during the fiscal year in which the services are provided; and |
(3) | Such services were not recognized by the issuer or RIC at the time of the engagement to be non-audit services; and |
(4) | Such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee who are members of the Board of Directors to whom authority to grant such approvals has been delegated by the Audit Committee. |
The Audit Committee may grant general pre-approval to those permissible non-audit services which qualify for pre-approval and which it believes are routine and recurring services, and would not impair the independence of the auditor.
The Securities and Exchange Commission’s (the “SEC”) rules and relevant guidance should be consulted to determine the precise definitions of these services and applicability of exceptions to certain of the prohibitions.
PRE-APPROVAL FEE LEVELS
Pre-approval fee levels for all services to be provided by the independent auditor will be established annually by the Audit Committee. Any proposed services exceeding these levels will require specific pre-approval by the Audit Committee.
PROCEDURES
Requests or applications to provide services that require specific approval by the Audit Committee will be submitted to the Audit Committee by the Fund’s Principal Accounting Officer and/or the Chief Audit Executive of Federated Hermes, Inc., only after those individuals have determined that the request or application is consistent with the SEC’s rules on auditor independence.
(e)(2) Percentage of services identified in items 4(b) through 4(d) that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:
4(b)
Fiscal year ended 2021 – 0%
Fiscal year ended 2020 - 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(c)
Fiscal year ended 2021 – 0%
Fiscal year ended 2020 – 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(d)
Fiscal year ended 2021 – 0%
Fiscal year ended 2020 – 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
(f) | NA |
(g) | Non-Audit Fees billed to the registrant, the registrant’s Adviser, and certain entities controlling, controlled by or under common control with the Adviser: |
Fiscal year ended 2021 - $86,486
Fiscal year ended 2020 - $102,522
(h) | The registrant’s Audit Committee has considered that the provision of non-audit services that were rendered to the registrant’s Adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Exhibits |
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant Federated Hermes Total Return Series, Inc.
By /S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
Date January 28, 2022
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
Date January 28, 2022
By /S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
Date January 28, 2022