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, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 09/30/22
Date of Reporting Period: Six months ended 03/31/22
Item 1. | Reports to Stockholders |
Share Class | Ticker | A* | FGFSX | Institutional | FGFIX | R6 | FGFMX |
Federated Hermes Core Bond Fund
A Portfolio of Federated Hermes Total Return Series, Inc.
Security Type | Percentage of Total Net Assets2 |
Corporate Debt Securities | 34.0% |
U.S. Government Agency Mortgage-Backed Securities | 23.0% |
Agency Risk Transfer Securities | 11.2% |
U.S. Treasury Securities | 9.3% |
Non-Agency Commercial Mortgage-Backed Security | 7.3% |
U.S. Government Agency Security | 6.8% |
Asset-Backed Securities | 1.8% |
Collateralized Mortgage Obligations | 0.8% |
Non-Agency Mortgage-Backed Securities | 0.7% |
Foreign Governments/Agencies | 0.7% |
U.S. Government Agency Adjustable Rate Mortgages | 0.6% |
U.S. Government Agency Commercial Mortgage-Backed Security | 0.2% |
Cash Equivalents3 | 4.6% |
Derivative Contracts4 | (2.6)% |
Repurchase Agreement | 0.5% |
Other Assets and Liabilities—Net5 | 1.1% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests. |
2 | 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. |
3 | Cash Equivalents include any investments in money market mutual funds. |
4 | Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts may consist of futures, forwards, options and swaps. The impact of a derivative contract on the Fund’s performance may be larger than its unrealized appreciation (depreciation) or value may indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract’s significance to the portfolio. More complete information regarding the Fund’s direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report. |
5 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
AGENCY RISK TRANSFER SECURITIES— 11.2% | |||
$ 111,505 | 1 | FHLMC - STACR, Series 2015-DNA, Class M3, 4.357% (1-month USLIBOR +3.900%), 12/25/2027 | $ 111,885 |
881,089 | 1 | FHLMC - STACR, Series 2017-DNA3, Class M2, 2.957% (1-month USLIBOR +2.500%), 3/25/2030 | 886,607 |
491,426 | 1 | FNMA - CAS 2016-C04, Class 1M2, 4.707% (1-month USLIBOR +4.250%), 1/25/2029 | 502,953 |
TOTAL AGENCY RISK TRANSFER SECURITIES (IDENTIFIED COST $1,547,489) | 1,501,445 | ||
U.S. TREASURIES— 9.3% | |||
U.S. Treasury Bonds— 6.6% | |||
415,000 | 1.750%, 8/15/2041 | 360,285 | |
540,000 | 2.375%, 11/15/2049 | 529,151 | |
TOTAL | 889,436 | ||
U.S. Treasury Notes— 2.7% | |||
400,000 | 1.250%, 8/15/2031 | 363,641 | |
TOTAL U.S. TREASURIES (IDENTIFIED COST $1,351,268) | 1,253,077 | ||
COMMERCIAL MORTGAGE-BACKED SECURITY— 7.3% | |||
Non-Agency Commercial Mortgage-Backed Security— 7.3% | |||
1,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 (IDENTIFIED COST $1,029,990) | 976,067 | |
GOVERNMENT AGENCY— 6.8% | |||
Federal Farm Credit System— 6.8% | |||
1,000,000 | 0.700%, 1/27/2027 (IDENTIFIED COST $1,000,000) | 910,816 | |
MORTGAGE-BACKED SECURITIES— 3.0% | |||
Federal Home Loan Mortgage Corporation— 0.7% | |||
14,888 | 7.500%, 1/1/2027 | 16,030 | |
1,832 | 7.500%, 1/1/2031 | 2,043 | |
708 | 7.500%, 1/1/2031 | 775 | |
1,309 | 7.500%, 1/1/2031 | 1,455 | |
12,636 | 7.500%, 2/1/2031 | 14,098 | |
58,850 | 7.500%, 2/1/2031 | 65,952 | |
TOTAL | 100,353 | ||
Federal National Mortgage Association— 1.7% | |||
16,966 | 5.000%, 4/1/2036 | 18,084 | |
124,495 | 5.500%, 11/1/2035 | 134,885 | |
28,099 | 6.000%, 2/1/2026 | 30,168 | |
1,906 | 6.000%, 5/1/2036 | 2,105 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 402 | 6.500%, 7/1/2029 | $ 436 | |
725 | 6.500%, 5/1/2030 | 784 | |
3,405 | 6.500%, 2/1/2031 | 3,722 | |
2,890 | 6.500%, 4/1/2031 | 3,163 | |
198 | 6.500%, 4/1/2031 | 218 | |
3,756 | 6.500%, 5/1/2031 | 4,109 | |
3,688 | 6.500%, 6/1/2031 | 4,036 | |
6,392 | 6.500%, 7/1/2031 | 7,033 | |
795 | 6.500%, 8/1/2031 | 860 | |
2,514 | 7.000%, 4/1/2029 | 2,771 | |
774 | 7.000%, 4/1/2029 | 853 | |
4,019 | 7.000%, 5/1/2029 | 4,398 | |
1,914 | 7.000%, 2/1/2030 | 2,117 | |
1,958 | 8.000%, 12/1/2026 | 2,109 | |
TOTAL | 221,851 | ||
Government National Mortgage Association— 0.6% | |||
10,486 | 5.000%, 7/15/2023 | 10,658 | |
5,132 | 7.000%, 10/15/2028 | 5,542 | |
1,012 | 7.000%, 12/15/2028 | 1,094 | |
2,842 | 7.000%, 2/15/2029 | 3,025 | |
1,185 | 7.000%, 6/15/2029 | 1,288 | |
3,975 | 8.000%, 10/15/2030 | 4,388 | |
55,384 | 8.000%, 11/15/2030 | 61,504 | |
TOTAL | 87,499 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $376,528) | 409,703 | ||
ASSET-BACKED SECURITIES— 1.1% | |||
Auto Receivables— 0.4% | |||
50,000 | CarMax Auto Owner Trust 2021-1, Class D, 1.280%, 7/15/2027 | 47,261 | |
Single Family Rental Security— 0.7% | |||
100,000 | Progress Residential Trust 2022-SFR1, Class E1, 3.930%, 2/17/2041 | 96,459 | |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $148,946) | 143,720 | ||
1 | ADJUSTABLE RATE MORTGAGES— 0.6% | ||
Federal Home Loan Mortgage Corporation ARM— 0.1% | |||
14,475 | 1.965%, 7/1/2035 | 14,912 | |
Federal National Mortgage Association ARM— 0.5% | |||
19,702 | 1.995%, 7/1/2034 | 20,345 |
Principal Amount or Shares | Value | ||
1 | ADJUSTABLE RATE MORTGAGES— continued | ||
Federal National Mortgage Association ARM— continued | |||
$ 45,678 | 2.550%, 2/1/2036 | $ 47,509 | |
TOTAL | 67,854 | ||
TOTAL ADJUSTABLE RATE MORTGAGES (IDENTIFIED COST $79,854) | 82,766 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS— 0.3% | |||
Federal National Mortgage Association— 0.1% | |||
19,794 | REMIC, Series 1999-13, Class PH, 6.000%, 4/25/2029 | 20,938 | |
Non-Agency Mortgage-Backed Securities— 0.2% | |||
73,939 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 25,526 | |
3,796 | 2 | Lehman Structured Securities Corp. Mortgage 2002-GE1, Class A, 0.000%, 7/26/2024 | 1,172 |
TOTAL | 26,698 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $96,045) | 47,636 | ||
INVESTMENT COMPANIES— 61.0% | |||
437,214 | Federated Hermes Corporate Bond Strategy Portfolio | 4,761,263 | |
270,175 | Federated Hermes Government Obligations Fund, Premier Shares, 0.19%3 | 270,175 | |
341,666 | Mortgage Core Fund | 3,156,993 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $8,785,448) | 8,188,431 | ||
TOTAL INVESTMENT IN SECURITIES—100.6% (IDENTIFIED COST $14,415,568)4 | 13,513,661 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.6)%5 | (85,787) | ||
TOTAL NET ASSETS—100% | $13,427,874 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
2United States Treasury Notes 2-Year Long Futures | 5 | $1,059,609 | June 2022 | $(13,721) |
2United States Treasury Notes 10-Year Long Futures | 5 | $614,375 | June 2022 | $238 |
Short Futures: | ||||
2United States Treasury Notes 10-Year Ultra Short Futures | 2 | $270,937 | June 2022 | $8,152 |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(5,331) |
Credit Default Swap | |||||||||
Counterparty | Reference Entity | Buy/ Sell | Pay/ Receive Fixed Rate | Expiration Date | Implied Credit Spread at 03/31/20226 | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) |
OTC Swap: | |||||||||
GOLDMAN SACHS AND CO. | CMBX.NA. BBB-.11 | Sell | 3.000% | 11/18/2054 | 1.50% | $1,000,000 | $(79,945) | $(54,097) | $(25,848) |
TOTAL CREDIT DEFAULT SWAPS | $(79,945) | $(54,097) | $(25,848) |
Federated Hermes Corporate Bond Strategy Portfolio | Federated Hermes Government Obligations Fund, Premier Shares | Mortgage Core Fund | Total of Affiliated Transactions | |
Value as of 9/30/2021 | $6,228,970 | $1,155,308 | $0 | $7,384,278 |
Purchases at Cost | $750,000 | $5,676,927 | $3,510,148 | $9,937,075 |
Proceeds from Sales | $(1,600,000) | $(6,562,060) | $(250,000) | $(8,412,060) |
Change in Unrealized Appreciation/Depreciation | $(500,474) | N/A | $(98,790) | $(599,264) |
Net Realized Gain/(Loss) | $(117,233) | N/A | $(4,365) | $(121,598) |
Value as of 3/31/2022 | $4,761,263 | $270,175 | $3,156,993 | $8,188,431 |
Shares Held as of 3/31/2022 | 437,214 | 270,175 | 341,666 | 1,049,055 |
Dividend Income | $101,137 | $176 | $10,153 | $111,466 |
Gain Distributions Received | $40,548 | $— | $— | $40,548 |
1 | Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above. |
2 | Non-income-producing security. |
3 | 7-day net yield. |
4 | Also represents cost of investments for federal tax purposes. |
5 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
6 | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements serve as an indicator of the current status of the payment/ performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
The following is a summary of the inputs used, as of March 31, 2022, 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: | ||||
Agency Risk Transfer Securities | $— | $1,501,445 | $— | $1,501,445 |
U.S. Treasury Securities | — | 1,253,077 | — | 1,253,077 |
Commercial Mortgage-Backed Security | — | 976,067 | — | 976,067 |
Government Agency | — | 910,816 | — | 910,816 |
Mortgage-Backed Securities | — | 409,703 | — | 409,703 |
Asset-Backed Securities | — | 143,720 | — | 143,720 |
Adjustable Rate Mortgages | — | 82,766 | — | 82,766 |
Collateralized Mortgage Obligations | — | 47,636 | — | 47,636 |
Investment Companies | 8,188,431 | — | — | 8,188,431 |
TOTAL SECURITIES | $8,188,431 | $5,325,230 | $— | $13,513,661 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $8,390 | $— | $— | $8,390 |
Liabilities | ||||
Futures Contracts | (13,721) | — | — | (13,721) |
Swap Contracts | — | (79,945) | — | (79,945) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(5,331) | $(79,945) | $— | $(85,276) |
The following acronym(s) are used throughout this portfolio: | ||
ARM | —Adjustable Rate Mortgage | |
CAS | —Connecticut Avenue Securities | |
FHLMC | —Federal Home Loan Mortgage Corporation | |
FNMA | —Federal National Mortgage Association | |
LIBOR | —London Interbank Offered Rate | |
REMIC | —Real Estate Mortgage Investment Conduit | |
STACR | —Structured Agency Credit Risk |
Six Months Ended (unaudited) 3/31/2022 | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $9.87 | $9.77 | $9.63 | $9.25 | $9.59 | $9.81 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.062 | 0.122 | 0.172 | 0.23 | 0.22 | 0.18 |
Net realized and unrealized gain (loss) | (0.66) | 0.17 | 0.20 | 0.39 | (0.33) | (0.18) |
Total From Investment Operations | (0.60) | 0.29 | 0.37 | 0.62 | (0.11) | — |
Less Distributions: | ||||||
Distributions from net investment income | (0.15) | (0.19) | (0.23) | (0.24) | (0.23) | (0.22) |
Net Asset Value, End of Period | $9.12 | $9.87 | $9.77 | $9.63 | $9.25 | $9.59 |
Total Return3 | (6.18)% | 2.94% | 3.89% | 6.82% | (1.19)% | 0.00%4 |
Ratios to Average Net Assets: | ||||||
Net expenses5 | 0.58%6 | 0.62% | 0.66% | 0.80% | 0.81% | 0.81% |
Net investment income | 1.49%6 | 1.24% | 1.75% | 2.46% | 2.33% | 1.91% |
Expense waiver/reimbursement7 | 1.69%6 | 1.47% | 1.11% | 0.69% | 0.44% | 0.40% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $2,056 | $2,521 | $4,534 | $4,540 | $7,143 | $11,269 |
Portfolio turnover8 | 84% | 216% | 333% | 391%9 | 72% | 277% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 35% | 82% | 203% | 186% | 18% | 63% |
1 | The Fund’s former Service Shares have been re-designated as Class A Shares, effective May 27, 2021. |
2 | Per share number has been calculated using the average shares method. |
3 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
4 | Represents less than 0.01%. |
5 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
6 | Computed on an annualized basis. |
7 | 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. |
8 | Securities that mature are considered sales for purposes of this calculation. |
9 | The portfolio turnover rate was higher from the prior year as a result of significant client activity and asset reduction. |
Six Months Ended (unaudited) 3/31/2022 | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $9.88 | $9.78 | $9.63 | $9.25 | $9.59 | $9.82 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.041 | 0.151 | 0.211 | 0.26 | 0.25 | 0.21 |
Net realized and unrealized gain (loss) | (0.63) | 0.16 | 0.20 | 0.39 | (0.33) | (0.19) |
Total From Investment Operations | (0.59) | 0.31 | 0.41 | 0.65 | (0.08) | 0.02 |
Less Distributions: | ||||||
Distributions from net investment income | (0.16) | (0.21) | (0.26) | (0.27) | (0.26) | (0.25) |
Net Asset Value, End of Period | $9.13 | $9.88 | $9.78 | $9.63 | $9.25 | $9.59 |
Total Return2 | (6.05)% | 3.23% | 4.30% | 7.14% | (0.89)% | 0.20% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.33%4 | 0.33% | 0.37% | 0.50% | 0.51% | 0.50% |
Net investment income | 1.75%4 | 1.53% | 2.15% | 2.75% | 2.63% | 2.21% |
Expense waiver/reimbursement5 | 1.67%4 | 1.34% | 0.84% | 0.48% | 0.24% | 0.20% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $11,372 | $17,173 | $22,347 | $44,841 | $90,789 | $121,240 |
Portfolio turnover6 | 84% | 216% | 333% | 391%7 | 72% | 277% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 35% | 82% | 203% | 186% | 18% | 63% |
1 | Per share number has been calculated using the average shares method. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
6 | Securities that mature are considered sales for purposes of this calculation. |
7 | The portfolio turnover rate was higher from the prior year as a result of significant client activity and asset reduction. |
Period Ended (unaudited) 3/31/20221 | |
Net Asset Value, Beginning of Period | $9.85 |
Income From Investment Operations: | |
Net investment income (loss) | 0.16 |
Net realized and unrealized (loss) | (0.73) |
Total From Investment Operations | (0.57) |
Less Distributions: | |
Distributions from net investment income | (0.16) |
Net Asset Value, End of Period | $9.12 |
Total Return2 | (6.16)% |
Ratios to Average Net Assets: | |
Net expenses3 | 0.30% |
Net investment income | 0.30% |
Expense waiver/reimbursement4 | 0.54% |
Supplemental Data: | |
Net assets, end of period (000 omitted) | $05 |
Portfolio turnover6 | 84% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 35% |
1 | Reflects operations for the period from November 26, 2021 (date of initial investment) to March 31, 2022. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
5 | Represents less than $1,000. |
6 | Securities that mature are considered sales for purposes of this calculation. |
March 31, 2022 (unaudited)
Assets: | |
Investment in securities, at value including $8,188,431 of investment in affiliated holdings* (identified cost $14,415,568) | $13,513,661 |
Cash | 2,335 |
Income receivable | 36,749 |
Receivable for investments sold | 76 |
Receivable for variation margin on futures contracts | 1,264 |
Receivable for periodic payments from swap contracts | 582 |
Prepaid expenses | 37,241 |
Total Assets | 13,591,908 |
Liabilities: | |
Payable for investments purchased | 5,662 |
Payable for shares redeemed | 11,091 |
Swaps, at value (premium received $54,097) | 79,945 |
Income distribution payable | 11,916 |
Payable to adviser (Note 5) | 2,509 |
Payable for administrative fee (Note 5) | 29 |
Payable for custodian fees | 4,073 |
Payable for portfolio accounting fees | 43,147 |
Payable for other service fees (Notes 2 and 5) | 452 |
Accrued expenses (Note 5) | 5,210 |
Total Liabilities | 164,034 |
Net assets for 1,470,617 shares outstanding | $13,427,874 |
Net Assets Consist of: | |
Paid-in capital | $16,433,906 |
Total distributable earnings (loss) | (3,006,032) |
Total Net Assets | $13,427,874 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Class A Shares:1 | |
Net asset value per share ($2,055,736 ÷ 225,299 shares outstanding), $0.001 par value, 500,000,000 shares authorized | $9.12 |
Offering price per share (100/95.50 of $9.12) | $9.55 |
Redemption proceeds per share | $9.12 |
Institutional Shares: | |
Net asset value per share ($11,372,045 ÷ 1,245,308 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $9.13 |
Offering price per share | $9.13 |
Redemption proceeds per share | $9.13 |
Class R6 Shares:2 | |
Net asset value per share ($93 ÷ 10 shares outstanding), $0.001 par value, 500,000,000 shares authorized | $9.12 |
Offering price per share | $9.12 |
Redemption proceeds per share | $9.12 |
* | See information listed after the Fund’s Portfolio of Investments. |
1 | The Fund’s former Service Shares have been re-designated as Class A Shares, effective May 27, 2021. |
2 | Actual net asset value per share presented differs from calculated net asset value per share due to rounding. |
Six Months Ended March 31, 2022 (unaudited)
Investment Income: | |
Dividends received from affiliated holdings* | $111,466 |
Interest | 69,816 |
TOTAL INCOME | 181,282 |
Expenses: | |
Investment adviser fee (Note 5) | 30,550 |
Administrative fee (Note 5) | 7,287 |
Custodian fees | 4,342 |
Transfer agent fees (Note 2) | 9,040 |
Directors’/Trustees’ fees (Note 5) | 1,218 |
Auditing fees | 16,969 |
Legal fees | 4,643 |
Portfolio accounting fees | 52,704 |
Other service fees (Notes 2 and 5) | 2,793 |
Share registration costs | 35,432 |
Printing and postage | 9,957 |
Miscellaneous (Note 5) | 1,112 |
TOTAL EXPENSES | 176,047 |
Waivers and Reimbursements: | |
Waiver/reimbursement of investment adviser fee (Note 5) | (30,550) |
Waivers/reimbursements of other operating expenses (Notes 2 and 5) | (115,774) |
TOTAL WAIVERS AND REIMBURSEMENTS | (146,324) |
Net expenses | 29,723 |
Net investment income | 151,559 |
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts and Swap Contracts: | |
Net realized loss on investments (including net realized loss of $(121,598) on sales of investments in affiliated holdings*) | $(440,400) |
Net realized gain on futures contracts | 26,742 |
Net realized gain on swap contracts | 10,613 |
Realized gain distribution from affiliated investment company shares | 40,548 |
Net change in unrealized depreciation of investments (including net change in unrealized appreciation of $(599,264) on investments in affiliated holdings*) | (795,976) |
Net change in unrealized depreciation of futures contracts | 3,952 |
Net change in unrealized appreciation of swap contracts | (25,848) |
Net realized and unrealized gain (loss) on investments, futures contracts and swap contracts | (1,180,369) |
Change in net assets resulting from operations | $(1,028,810) |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 3/31/2022 | Year Ended 9/30/2021 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $151,559 | $350,315 |
Net realized gain (loss) | (362,497) | 1,226,935 |
Net change in unrealized appreciation/depreciation | (817,872) | (760,438) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (1,028,810) | 816,812 |
Distributions to Shareholders: | ||
Class A Shares | (33,858) | (69,841)1 |
Institutional Shares | (252,933) | (433,386) |
Class R6 Shares2 | (1) | — |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (286,792) | (503,227) |
Share Transactions: | ||
Proceeds from sale of shares | 433,468 | 2,410,257 |
Net asset value of shares issued to shareholders in payment of distributions declared | 205,975 | 374,062 |
Cost of shares redeemed | (5,589,023) | (10,285,290) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (4,949,580) | (7,500,971) |
Change in net assets | (6,265,182) | (7,187,386) |
Net Assets: | ||
Beginning of period | 19,693,056 | 26,880,442 |
End of period | $13,427,874 | $19,693,056 |
1 | The Fund’s former Service Shares have been re-designated as Class A Shares, effective May 27, 2021. |
2 | The Fund’s R6 Class commenced operations on November 26, 2021. |
Transfer Agent Fees Incurred | Transfer Agent Fees Reimbursed | |
Class A Shares | $1,169 | $(350) |
Institutional Shares | 7,871 | (2,376) |
Class R6 Shares | — | — |
TOTAL | $9,040 | $(2,726) |
Other Service Fees Incurred | |
Class A Shares | $2,793 |
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 | Receivable for variation margin on futures contracts | $(5,331)* | $— | |
Credit contracts | — | Swaps, at fair value | 79,945 | |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $(5,331) | $79,945 |
* | 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 | Total | |
Interest rate contracts | $— | $26,742 | $26,742 |
Credit contracts | 10,613 | — | 10,613 |
TOTAL | $10,613 | $26,742 | $37,355 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||
Credit Default Swaps | Futures Contracts | Total | |
Interest rate contracts | $— | $3,952 | $3,952 |
Credit contracts | (25,848) | — | (25,848) |
TOTAL | $(25,848) | $3,952 | $(21,896) |
Six Months Ended 3/31/2022 | Year Ended 9/30/20211 | |||
Class A Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,922 | $18,599 | 41,472 | $411,797 |
Shares issued to shareholders in payment of distributions declared | 2,183 | 21,007 | 4,350 | 43,159 |
Shares redeemed | (34,079) | (333,298) | (254,477) | (2,522,533) |
NET CHANGE RESULTING FROM CLASS A SHARE TRANSACTIONS | (29,974) | $(293,692) | (208,655) | $(2,067,577) |
Six Months Ended 3/31/2022 | Year Ended 9/30/2021 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 42,475 | $414,769 | 200,476 | $1,998,460 |
Shares issued to shareholders in payment of distributions declared | 19,176 | 184,968 | 33,348 | 330,903 |
Shares redeemed | (554,395) | (5,255,725) | (781,278) | (7,762,757) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | (492,744) | $(4,655,988) | (547,454) | $(5,433,394) |
Six Months Ended 3/31/20222 | Year Ended 9/30/2021 | |||
Class R6 Shares: | Shares | Amount | Shares | Amount |
Shares sold | 10 | $100 | — | $— |
Shares issued to shareholders in payment of distributions declared | — | — | — | — |
Shares redeemed | — | — | — | — |
NET CHANGE RESULTING FROM CLASS R6 SHARE TRANSACTIONS | 10 | $100 | — | $— |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (522,708) | $(4,949,580) | (756,109) | $(7,500,971) |
1 | The Fund’s former Service Shares have been re-designated as Class A Shares, effective May 27, 2021. |
2 | Reflects operations for the period from November 26, 2021 (date of initial investment) to March 31, 2022. |
Short-Term | Long-Term | Total |
$1,765,997 | $— | $1,765,997 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Purchases | $4,359,112 |
Sales | $1,850,000 |
Beginning Account Value 10/1/2021 | Ending Account Value 3/31/2022 | Expenses Paid During Period1 | |
Actual: | |||
Class A Shares | $1,000 | $938.20 | $2.80 |
Institutional Shares | $1,000 | $939.50 | $1.60 |
Class R6 Shares | $1,000 | $938.40 | $1.002 |
Hypothetical (assuming a 5% return before expenses): | |||
Class A Shares | $1,000 | $1,022.04 | $2.92 |
Institutional Shares | $1,000 | $1,023.29 | $1.66 |
Class R6 Shares | $1,000 | $1,023.44 | $1.512 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Class A Shares | 0.58% |
Institutional Shares | 0.33% |
Class R6 Shares | 0.30% |
2 | “Actual” expense information for the Fund’s Class R6 Shares is for the period from November 26, 2021 (date of initial investment) to March 31, 2022. Actual expenses are equal to the Fund’s annualized net expense ratio of 0.30%, multiplied by 126/365 (to reflect the period from initial investment to March 31, 2022). “Hypothetical” expense information for Class R6 Shares is presented on the basis of the full one-half year period to enable comparison to other funds. It is based on assuming the same net expense ratio and average account value over the period, but it is multiplied by 182/365 (to reflect the full half-year period). |
Annual Evaluation of Adequacy and Effectiveness
IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31428Q887
CUSIP 31423F100
Share Class | Ticker | A | FULAX | Institutional | FULIX | Service | FULBX | R6 | FULLX |
Federated Hermes Ultrashort Bond Fund
A Portfolio of Federated Hermes Total Return Series, Inc.
Security Type | Percentage of Total Net Assets2 |
Asset-Backed Securities | 43.6% |
Corporate Bonds | 39.4% |
Collateralized Mortgage Obligations | 7.9% |
Commercial Mortgage-Backed Securities | 1.8% |
Non-Agency Mortgage-Backed Securities | 0.7% |
Adjustable Rate Mortgages3 | 0.0% |
Mortgage-Backed Securities3,4 | 0.0% |
Derivative Contracts5 | 0.2% |
Bank Loan Core Fund | 4.5% |
Federated Hermes Conservative Microshort Fund | 0.7% |
Securities Lending Collateral6 | 0.1% |
Cash Equivalents7 | 1.3% |
Other Assets and Liabilities—Net8 | (0.2)% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests. |
2 | 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 less than 10% of its net assets, are listed individually in the table. |
3 | Represents less than 0.1%. |
4 | For purposes of this table, Mortgage-Backed Securities include mortgage-backed securities guaranteed by Government Sponsored Entities and adjustable rate mortgage-backed securities. |
5 | Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts may consist of futures, forwards, options and swaps. The impact of a derivative contract on the Fund’s performance may be larger than its unrealized appreciation (depreciation) or value may indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract’s significance to the portfolio. More complete information regarding the Fund’s direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report. |
6 | 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. |
7 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
8 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— 43.6% | |||
Auto Receivables— 23.4% | |||
$ 2,590,000 | AmeriCredit Automobile Receivables Trust 2019-3, Class D, 2.580%, 9/18/2025 | $ 2,573,365 | |
2,000,000 | AmeriCredit Automobile Receivables Trust 2020-2, Class C, 1.480%, 2/18/2026 | 1,968,989 | |
5,320,000 | AmeriCredit Automobile Receivables Trust 2020-2, Class D, 2.130%, 3/18/2026 | 5,200,825 | |
6,000,000 | AmeriCredit Automobile Receivables Trust 2020-3, Class C, 1.060%, 8/18/2026 | 5,771,647 | |
17,825,000 | AmeriCredit Automobile Receivables Trust 2020-3, Class D, 1.490%, 9/18/2026 | 17,041,966 | |
27,000,000 | AmeriCredit Automobile Receivables Trust 2021-1, Class D, 1.210%, 12/18/2026 | 25,712,216 | |
15,500,000 | AmeriCredit Automobile Receivables Trust 2021-2, Class C, 1.010%, 1/19/2027 | 14,589,625 | |
63,000,000 | BMW Vehicle Lease Trust 2021-2, Class A3, 0.330%, 12/26/2024 | 61,260,425 | |
1,709,378 | Canadian Pacer Auto Receivable 2020-1A, Class A3, 1.830%, 7/19/2024 | 1,707,923 | |
18,002,000 | Canadian Pacer Auto Receivable 2021-1A, Class B, 1.120%, 12/21/2026 | 16,884,822 | |
7,000,000 | Capital One Prime Auto Receivables Trust 2019-1, Class A4, 2.560%, 10/15/2024 | 7,026,508 | |
9,500,000 | CarMax Auto Owner Trust 2021-1, Class B, 0.740%, 10/15/2026 | 8,978,953 | |
800,000 | CarMax Auto Owner Trust 2021-1, Class C, 0.940%, 12/15/2026 | 750,950 | |
1,750,000 | CarMax Auto Owner Trust 2021-1, Class D, 1.280%, 7/15/2027 | 1,654,126 | |
7,000,000 | CarMax Auto Owner Trust 2021-3, Class B, 1.000%, 3/15/2027 | 6,595,025 | |
12,075,000 | CarMax Auto Owner Trust 2021-3, Class C, 1.250%, 5/17/2027 | 11,453,232 | |
5,600,000 | CarMax Auto Owner Trust 2021-3, Class D, 1.500%, 1/18/2028 | 5,254,013 | |
18,080,488 | Carvana Auto Receivables Trust 2021-N3, Class A1, 0.350%, 6/12/2028 | 17,819,731 | |
1,581,778 | Carvana Auto Receivables Trust 2021-N3, Class N, 2.530%, 6/12/2028 | 1,580,463 | |
72,575 | Carvana Auto Receivables Trust 2021-P1, Class N, 2.160%, 12/10/2027 | 72,561 | |
2,481,979 | Carvana Auto Receivables Trust 2021-P2, Class N, 1.880%, 5/10/2028 | 2,480,007 | |
4,659,712 | Carvana Auto Receivables Trust 2021-P3, Class N, 1.990%, 9/11/2028 | 4,653,391 | |
5,533,521 | Carvana Auto Receivables Trust 2021-P4, Class N, 2.150%, 9/11/2028 | 5,521,159 | |
19,618,250 | Chase Auto Credit Linked Notes 2020-2, Class B, 0.840%, 2/25/2028 | 19,404,200 | |
1,669,598 | Chase Auto Credit Linked Notes 2020-2, Class C, 1.139%, 2/25/2028 | 1,653,565 | |
2,778,688 | Chase Auto Credit Linked Notes 2020-2, Class D, 1.487%, 2/25/2028 | 2,756,522 | |
4,726,316 | Chase Auto Credit Linked Notes 2021-1, Class D, 1.174%, 9/25/2028 | 4,654,123 | |
3,465,965 | Chase Auto Credit Linked Notes 2021-1, Class E, 2.365%, 9/25/2028 | 3,427,005 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Auto Receivables— continued | |||
$ 11,982,629 | Chase Auto Credit Linked Notes 2021-2, Class B, 0.889%, 12/26/2028 | $ 11,748,809 | |
6,009,749 | Chase Auto Credit Linked Notes 2021-2, Class C, 0.969%, 12/26/2028 | 5,897,039 | |
5,346,096 | Chase Auto Credit Linked Notes 2021-2, Class D, 1.138%, 12/26/2028 | 5,244,633 | |
2,949,570 | Chase Auto Credit Linked Notes 2021-2, Class E, 2.280%, 12/26/2028 | 2,907,707 | |
16,664,042 | Chase Auto Credit Linked Notes 2021-3, Class B, 0.760%, 2/26/2029 | 16,216,511 | |
4,355,375 | Chase Auto Credit Linked Notes 2021-3, Class C, 0.860%, 2/26/2029 | 4,229,514 | |
1,969,387 | Chase Auto Credit Linked Notes 2021-3, Class E, 2.102%, 2/26/2029 | 1,927,461 | |
2,569,606 | Daimler Trucks Retail Trust 2020-1, Class A3, 1.220%, 9/15/2023 | 2,569,716 | |
322,578 | Drive Auto Receivables Trust 2019-4, Class C, 2.510%, 11/17/2025 | 323,041 | |
4,044,378 | Drive Auto Receivables Trust 2020-1, Class C, 2.360%, 3/16/2026 | 4,053,181 | |
8,600,000 | Drive Auto Receivables Trust 2020-1, Class D, 2.700%, 5/17/2027 | 8,578,698 | |
11,185,000 | Drive Auto Receivables Trust 2021-1, Class C, 1.020%, 6/15/2027 | 11,027,526 | |
2,773,109 | Drive Auto Receivables Trust 2021-2, Class A2, 0.360%, 5/15/2024 | 2,767,111 | |
42,000,000 | Drive Auto Receivables Trust 2021-2, Class B, 0.580%, 12/15/2025 | 40,974,318 | |
47,000,000 | Drive Auto Receivables Trust 2021-2, Class C, 0.870%, 10/15/2027 | 44,960,273 | |
35,800,000 | Enterprise Fleet Financing LLC 2021-3, Class A2, 0.770%, 8/20/2027 | 34,679,220 | |
7,000,000 | Ford Credit Auto Lease Trust 2020-A, Class B, 2.050%, 6/15/2023 | 7,010,501 | |
11,500,000 | Ford Credit Auto Lease Trust 2020-B, Class B, 1.000%, 11/15/2023 | 11,443,929 | |
6,750,000 | Ford Credit Auto Lease Trust 2020-B, Class C, 1.700%, 2/15/2025 | 6,732,899 | |
15,000,000 | Ford Credit Auto Lease Trust 2021-A, Class B, 0.470%, 5/15/2024 | 14,674,971 | |
5,000,000 | Ford Credit Auto Lease Trust 2021-A, Class C, 0.780%, 9/15/2025 | 4,871,022 | |
6,600,000 | Ford Credit Auto Owner Trust 2019-B, Class B, 2.400%, 11/15/2024 | 6,612,434 | |
5,000,000 | Ford Credit Auto Owner Trust 2019-B, Class C, 2.580%, 12/15/2025 | 5,007,196 | |
5,850,000 | Ford Credit Auto Owner Trust 2019-C, Class C, 2.250%, 5/15/2026 | 5,819,339 | |
5,000,000 | Ford Credit Auto Owner Trust 2020-C, Class B, 0.790%, 8/15/2026 | 4,736,495 | |
4,280,000 | Ford Credit Auto Owner Trust 2020-C, Class C, 1.040%, 5/15/2028 | 4,107,528 | |
2,565,000 | Ford Credit Auto Owner Trust 2021-A, Class C, 0.830%, 8/15/2028 | 2,422,086 | |
4,200,000 | Ford Credit Auto Owner Trust 2022-A, Class A2, 0.730%, 9/15/2024 | 4,161,375 | |
5,000,000 | 1 | Ford Credit Floorplan Master Owner Trust 2019-3, Class A2, 0.996% (1-month USLIBOR +0.600%), 9/15/2024 | 5,004,180 |
14,000,000 | Ford Credit Floorplan Master Owner Trust 2020-1, Class B, 0.980%, 9/15/2025 | 13,615,271 | |
14,500,000 | Ford Credit Floorplan Master Owner Trust 2020-1, Class C, 1.420%, 9/15/2025 | 14,058,281 | |
17,500,000 | Ford Credit Floorplan Master Owner Trust 2020-1, Class D, 2.120%, 9/15/2025 | 17,101,885 | |
3,340,000 | General Motors 2019-1, Class C, 3.060%, 4/15/2024 | 3,341,700 | |
2,450,000 | General Motors 2020-1, Class B, 1.030%, 8/15/2025 | 2,318,610 | |
1,440,000 | General Motors 2020-1, Class C, 1.480%, 8/15/2025 | 1,402,435 | |
13,000,000 | General Motors 2020-2, Class A, 0.690%, 10/15/2025 | 12,598,111 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Auto Receivables— continued | |||
$ 5,750,000 | General Motors 2020-2, Class B, 0.960%, 10/15/2025 | $ 5,583,855 | |
4,000,000 | General Motors 2020-2, Class C, 1.310%, 10/15/2025 | 3,889,742 | |
7,000,000 | GM Financial Automobile Leasing Trust 2020-1, Class D, 2.280%, 6/20/2024 | 7,000,530 | |
3,000,000 | GM Financial Automobile Leasing Trust 2020-2, Class C, 2.560%, 7/22/2024 | 3,014,107 | |
7,840,000 | GM Financial Automobile Leasing Trust 2020-2, Class D, 3.210%, 12/20/2024 | 7,873,578 | |
9,000,000 | GM Financial Automobile Leasing Trust 2020-3, Class D, 1.710%, 2/20/2025 | 8,912,038 | |
9,640,000 | GM Financial Automobile Leasing Trust 2021-1, Class C, 0.700%, 2/20/2025 | 9,349,751 | |
10,000,000 | GM Financial Automobile Leasing Trust 2021-1, Class D, 1.010%, 7/21/2025 | 9,735,764 | |
8,000,000 | GM Financial Automobile Leasing Trust 2021-2, Class C, 1.010%, 5/20/2025 | 7,760,917 | |
22,750,000 | GM Financial Automobile Leasing Trust 2021-3, Class C, 1.030%, 7/21/2025 | 21,810,373 | |
3,275,000 | GM Financial Securitized Term 2018-4, Class C, 3.620%, 6/17/2024 | 3,303,034 | |
9,000,000 | GM Financial Securitized Term 2019-3, Class C, 2.620%, 1/16/2025 | 9,007,460 | |
3,350,000 | GM Financial Securitized Term 2020-3, Class B, 0.810%, 1/16/2026 | 3,251,885 | |
2,000,000 | GM Financial Securitized Term 2020-3, Class D, 1.910%, 9/16/2027 | 1,961,077 | |
8,400,000 | GM Financial Securitized Term 2021-1, Class A3, 0.350%, 10/16/2025 | 8,236,860 | |
1,675,000 | GM Financial Securitized Term 2021-1, Class B, 0.750%, 5/17/2027 | 1,605,146 | |
1,375,000 | GM Financial Securitized Term 2021-1, Class C, 1.040%, 5/17/2027 | 1,314,353 | |
4,250,000 | GM Financial Securitized Term 2021-3, Class B, 0.970%, 8/16/2027 | 3,976,268 | |
1,569,599 | Harley-Davidson Motorcycle Trust 2019-A, Class A3, 2.340%, 2/15/2024 | 1,571,095 | |
5,560,000 | Harley-Davidson Motorcycle Trust 2019-A, Class A4, 2.390%, 11/15/2026 | 5,587,453 | |
6,500,000 | Honda Auto Receivables Owner Trust 2019-1, Class A4, 2.900%, 6/18/2024 | 6,525,307 | |
1,103,272 | Honda Auto Receivables Owner Trust 2019-2, Class A3, 2.520%, 6/21/2023 | 1,106,240 | |
4,375,000 | Hyundai Auto Lease Securitization Trust 2020-A, Class B, 2.120%, 5/15/2024 | 4,383,651 | |
6,100,000 | Hyundai Auto Lease Securitization Trust 2020-B, Class B, 0.810%, 10/15/2024 | 6,022,555 | |
30,000,000 | Hyundai Auto Lease Securitization Trust 2021-A, Class A3, 0.330%, 1/16/2024 | 29,710,362 | |
5,150,000 | Hyundai Auto Lease Securitization Trust 2021-A, Class B, 0.610%, 10/15/2025 | 5,042,519 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Auto Receivables— continued | |||
$ 20,050,000 | Hyundai Auto Lease Securitization Trust 2021-B, Class B, 0.620%, 3/16/2026 | $ 19,381,411 | |
34,000,000 | Hyundai Auto Lease Securitization Trust 2021-C, Class B, 0.760%, 2/17/2026 | 32,653,926 | |
16,000,000 | Hyundai Auto Receivables Trust 2019-A, Class C, 3.030%, 11/17/2025 | 16,091,761 | |
2,750,000 | Hyundai Auto Receivables Trust 2019-B, Class B, 2.210%, 4/15/2025 | 2,744,247 | |
4,900,000 | Hyundai Auto Receivables Trust 2019-B, Class C, 2.400%, 6/15/2026 | 4,901,565 | |
4,125,000 | Hyundai Auto Receivables Trust 2020-B, Class B, 0.940%, 12/15/2025 | 3,985,507 | |
6,353,000 | Hyundai Auto Receivables Trust 2020-B, Class C, 1.600%, 12/15/2026 | 6,144,236 | |
6,375,000 | Hyundai Auto Receivables Trust 2020-C, Class C, 1.080%, 12/15/2027 | 6,039,300 | |
9,330,000 | Hyundai Auto Receivables Trust 2021-B, Class B, 0.910%, 2/16/2027 | 8,760,710 | |
5,000,000 | Hyundai Auto Receivables Trust 2021-B, Class C, 1.120%, 2/15/2028 | 4,656,565 | |
8,601,485 | Mercedes-Benz Auto Lease Trust 2019-B, Class A4, 2.050%, 8/15/2025 | 8,604,062 | |
11,500,000 | Mercedes-Benz Auto Lease Trust 2020-B, Class A4, 0.500%, 6/15/2026 | 11,339,069 | |
18,000,000 | NextGear Floorplan Master Owner Trust 2019-2A, Class B, 2.300%, 10/15/2024 | 18,027,179 | |
4,000,000 | NextGear Floorplan Master Owner Trust 2020-1A, Class B, 1.790%, 2/15/2025 | 3,977,720 | |
20,000,000 | NextGear Floorplan Master Owner Trust 2021-1A, Class A, 0.850%, 7/15/2026 | 19,101,077 | |
7,650,000 | 1 | NextGear Floorplan Master Owner Trust 2022-1A, Class A1, 1.099% (30-DAY AVERAGE SOFR +1.050%), 3/15/2027 | 7,655,355 |
2,727,382 | Nissan Auto Receivables Owner 2020-B, Class A3, 0.550%, 7/15/2024 | 2,710,063 | |
8,613,202 | Santander Bank Auto Credit-Linked Notes 2021-1A, Class B, 2.695%, 12/15/2031 | 8,461,972 | |
3,205,958 | Santander Consumer Auto Receivable 2021-AA, Class A2, 0.230%, 11/15/2023 | 3,202,985 | |
1,500,000 | Santander Consumer Auto Receivable 2021-AA, Class D, 1.570%, 1/15/2027 | 1,420,873 | |
1,750,000 | Santander Consumer Auto Receivable 2021-AA, Class E, 3.280%, 3/15/2027 | 1,685,753 | |
4,150,000 | Santander Consumer Auto Receivables Trust 2020-B, Class B, 0.770%, 12/15/2025 | 4,089,444 | |
2,000,000 | Santander Consumer Auto Receivables Trust 2020-B, Class C, 1.290%, 4/15/2026 | 1,964,856 | |
3,050,000 | Santander Consumer Auto Receivables Trust 2020-B, Class D, 2.140%, 12/15/2026 | 3,006,064 | |
2,051,087 | Santander Drive Auto Receivables Trust 2019-2, Class C, 2.900%, 10/15/2024 | 2,053,482 | |
17,550,000 | Santander Drive Auto Receivables Trust 2019-3, Class D, 2.680%, 10/15/2025 | 17,611,208 | |
10,000,000 | Santander Drive Auto Receivables Trust 2020-2, Class D, 2.220%, 9/15/2026 | 9,935,027 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Auto Receivables— continued | |||
$ 32,125,000 | Santander Drive Auto Receivables Trust 2020-3, Class C, 1.120%, 1/15/2026 | $ 31,878,566 | |
4,100,000 | Santander Drive Auto Receivables Trust 2020-3, Class D, 1.640%, 11/16/2026 | 4,008,321 | |
15,244,000 | Santander Drive Auto Receivables Trust 2020-4, Class D, 1.480%, 1/15/2027 | 14,843,523 | |
10,206,216 | Santander Drive Auto Receivables Trust 2021-1, Class A3, 0.320%, 9/16/2024 | 10,192,642 | |
55,000,000 | Santander Drive Auto Receivables Trust 2021-1, Class D, 1.130%, 11/16/2026 | 53,501,236 | |
41,680,000 | Santander Drive Auto Receivables Trust 2021-3, Class B, 0.600%, 12/15/2025 | 40,988,558 | |
33,000,000 | Santander Drive Auto Receivables Trust 2021-3, Class C, 0.950%, 9/15/2027 | 32,105,215 | |
34,000,000 | Santander Drive Auto Receivables Trust 2021-3, Class D, 1.330%, 9/15/2027 | 32,470,945 | |
11,000,000 | Santander Drive Auto Receivables Trust 2021-4, Class C, 1.260%, 2/16/2027 | 10,510,959 | |
985,000 | Santander Retail Auto Lease Trust 2019-B, Class B, 2.580%, 8/21/2023 | 986,274 | |
15,600,000 | Santander Retail Auto Lease Trust 2019-B, Class C, 2.770%, 8/21/2023 | 15,624,669 | |
5,260,000 | Santander Retail Auto Lease Trust 2020-A, Class D, 2.520%, 11/20/2024 | 5,239,547 | |
5,750,000 | Santander Retail Auto Lease Trust 2020-B, Class C, 1.180%, 12/20/2024 | 5,524,307 | |
20,000,000 | Santander Retail Auto Lease Trust 2020-B, Class D, 1.980%, 10/20/2025 | 19,472,130 | |
15,000,000 | Santander Retail Auto Lease Trust 2021-A, Class B, 0.920%, 3/20/2026 | 14,438,462 | |
40,000,000 | Santander Retail Auto Lease Trust 2021-A, Class D, 1.380%, 3/22/2027 | 38,265,962 | |
25,500,000 | Santander Retail Auto Lease Trust 2021-B, Class C, 1.100%, 6/20/2025 | 24,437,766 | |
55,825,000 | Santander Retail Auto Lease Trust 2021-B, Class D, 1.410%, 11/20/2025 | 52,873,030 | |
52,000,000 | Santander Retail Auto Lease Trust 2021-C, Class D, 1.390%, 8/20/2026 | 49,891,348 | |
21,573,482 | Securitized Term Auto Receivables Trust 2019-1A, Class A4, 3.141%, 11/27/2023 | 21,673,246 | |
16,760,000 | Tesla Auto Lease Trust 2019-A, Class A4, 2.200%, 11/21/2022 | 16,804,804 | |
20,670,000 | Tesla Auto Lease Trust 2020-A, Class B, 1.180%, 1/22/2024 | 20,515,059 | |
4,650,000 | Tesla Auto Lease Trust 2020-A, Class D, 2.330%, 2/20/2024 | 4,624,587 | |
23,000,000 | Tesla Auto Lease Trust 2021-A, Class C, 1.180%, 3/20/2025 | 22,323,173 | |
18,150,000 | Tesla Auto Lease Trust 2021-A, Class D, 1.340%, 3/20/2025 | 17,590,854 | |
10,000,000 | Tesla Auto Lease Trust 2021-A, Class E, 2.640%, 3/20/2025 | 9,818,833 | |
17,350,000 | Tesla Auto Lease Trust 2021-B, Class B, 0.910%, 9/22/2025 | 16,562,261 | |
16,000,000 | Tesla Auto Lease Trust 2021-B, Class C, 1.120%, 9/22/2025 | 15,288,064 | |
6,000,000 | Tesla Auto Lease Trust 2021-B, Class D, 1.320%, 9/22/2025 | 5,716,851 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Auto Receivables— continued | |||
$ 1,230,325 | Toyota Auto Receivables Owner 2019-B, Class A3, 2.570%, 8/15/2023 | $ 1,233,767 | |
2,182,650 | Toyota Auto Receivables Owner Trust 2019-C, Class A3, 1.910%, 9/15/2023 | 2,185,495 | |
8,596,346 | Toyota Auto Receivables Owner Trust 2020-C, Class A3, 0.440%, 10/15/2024 | 8,506,261 | |
34,600,000 | Volkswagen Auto Lease Trust 2020-A, Class A3, 0.390%, 1/22/2024 | 34,312,106 | |
12,000,000 | Volkswagen Auto Lease Trust 2020-A, Class A4, 0.450%, 7/21/2025 | 11,801,731 | |
865,097 | World Omni Auto Receivables Trust 2019-A, Class A3, 3.040%, 5/15/2024 | 868,613 | |
1,593,000 | World Omni Auto Receivables Trust 2019-A, Class D, 2.590%, 12/15/2025 | 1,589,237 | |
13,500,000 | World Omni Auto Receivables Trust 2019-C, Class B, 2.200%, 12/15/2025 | 13,489,479 | |
8,100,000 | World Omni Auto Receivables Trust 2019-C, Class C, 2.400%, 6/15/2026 | 8,046,960 | |
1,400,000 | World Omni Auto Receivables Trust 2020-A, Class C, 1.640%, 8/17/2026 | 1,373,604 | |
1,007,341 | World Omni Auto Receivables Trust 2020-C, Class A2, 0.350%, 12/15/2023 | 1,006,797 | |
5,000,000 | World Omni Auto Receivables Trust 2020-C, Class B, 0.870%, 10/15/2026 | 4,777,718 | |
2,650,000 | World Omni Auto Receivables Trust 2020-C, Class C, 1.390%, 5/17/2027 | 2,556,067 | |
6,430,000 | World Omni Auto Receivables Trust 2021-A, Class B, 0.640%, 12/15/2026 | 6,064,130 | |
1,685,000 | World Omni Auto Receivables Trust 2021-A, Class C, 0.890%, 8/16/2027 | 1,588,290 | |
5,000,000 | World Omni Auto Receivables Trust 2021-B, Class B, 1.040%, 6/15/2027 | 4,701,363 | |
4,500,000 | World Omni Auto Receivables Trust 2021-B, Class C, 1.290%, 12/15/2027 | 4,254,723 | |
19,282,065 | World Omni Auto Receivables Trust 2021-C, Class A2, 0.220%, 9/16/2024 | 19,165,351 | |
5,000,000 | World Omni Auto Receivables Trust 2021-C, Class B, 0.840%, 9/15/2027 | 4,666,771 | |
3,000,000 | World Omni Auto Receivables Trust 2021-C, Class C, 1.060%, 4/17/2028 | 2,802,688 | |
6,000,000 | World Omni Automobile Lease Securitization Trust 2019-B, Class B, 2.130%, 2/18/2025 | 6,001,843 | |
10,645,000 | World Omni Automobile Lease Securitization Trust 2020-A, Class B, 1.930%, 6/16/2025 | 10,647,296 | |
5,700,000 | World Omni Automobile Lease Securitization Trust 2020-B, Class B, 0.700%, 2/17/2026 | 5,575,877 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Auto Receivables— continued | |||
$ 5,760,000 | World Omni Automobile Lease Securitization Trust 2021-A, Class B, 0.750%, 11/16/2026 | $ 5,527,360 | |
4,695,709 | World Omni Select Auto Trust 2019-A, Class A3, 2.000%, 8/15/2024 | 4,698,195 | |
5,000,000 | World Omni Select Auto Trust 2019-A, Class C, 2.380%, 12/15/2025 | 4,996,286 | |
85,162 | World Omni Select Auto Trust 2020-A, Class A2, 0.470%, 6/17/2024 | 85,140 | |
9,250,000 | World Omni Select Auto Trust 2020-A, Class B, 0.840%, 6/15/2026 | 9,133,236 | |
7,750,000 | World Omni Select Auto Trust 2020-A, Class C, 1.250%, 10/15/2026 | 7,612,251 | |
9,000,000 | World Omni Select Auto Trust 2020-A, Class D, 1.700%, 10/15/2026 | 8,766,538 | |
9,250,000 | World Omni Select Auto Trust 2021-A, Class B, 0.850%, 8/16/2027 | 8,755,705 | |
3,500,000 | World Omni Select Auto Trust 2021-A, Class C, 1.090%, 11/15/2027 | 3,281,344 | |
5,000,000 | World Omni Select Auto Trust 2021-A, Class D, 1.440%, 11/15/2027 | 4,607,526 | |
TOTAL | 1,834,184,620 | ||
Credit Card— 5.2% | |||
6,679,000 | 1 | American Express Credit Account Master Trust 2017-5, Class B, 0.976% (1-month USLIBOR +0.580%), 2/18/2025 | 6,685,645 |
12,000,000 | 1 | American Express Credit Account Master Trust 2018-3, Class A, 0.716% (1-month USLIBOR +0.320%), 10/15/2025 | 12,014,436 |
11,537,000 | 1 | American Express Credit Account Master Trust 2018-5, Class A, 0.736% (1-month USLIBOR +0.340%), 12/15/2025 | 11,562,587 |
10,000,000 | 1 | American Express Credit Account Master Trust 2018-5, Class B, 0.946% (1-month USLIBOR +0.550%), 12/15/2025 | 10,017,457 |
3,600,000 | 1 | American Express Credit Account Master Trust 2018-7, Class A, 0.756% (1-month USLIBOR +0.360%), 2/17/2026 | 3,608,665 |
16,613,000 | 1 | American Express Credit Account Master Trust 2018-7, Class B, 0.966% (1-month USLIBOR +0.570%), 2/17/2026 | 16,648,644 |
18,679,000 | 1 | American Express Credit Account Master Trust 2018-9, Class B, 0.986% (1-month USLIBOR +0.590%), 4/15/2026 | 18,743,108 |
4,202,000 | American Express Credit Account Master Trust 2019-2, Class B, 2.860%, 11/15/2024 | 4,203,798 | |
4,700,000 | 1 | Capital One Multi-Asset Execution Trust 2018-A2, Class A2, 0.746% (1-month USLIBOR +0.350%), 3/16/2026 | 4,706,999 |
30,000,000 | Cards II Trust 2021-1A, Class A, 0.602%, 4/15/2027 | 28,646,987 | |
14,000,000 | Cards II Trust 2021-1A, Class B, 0.931%, 4/15/2027 | 13,393,347 | |
6,118,000 | Cards II Trust 2021-1A, Class C, 1.200%, 4/15/2027 | 5,855,099 | |
10,800,000 | 1 | Citibank Credit Card Issuance Trust 2018-A2, Class A2, 0.778% (1-month USLIBOR +0.330%), 1/20/2025 | 10,814,651 |
20,250,000 | 1 | Citibank Credit Card Issuance Trust 2018-A4, Class A4, 0.629% (1-month USLIBOR +0.340%), 6/7/2025 | 20,287,632 |
14,700,000 | 1 | Discover Card Execution Note Trust 2017-A7, Class A7, 0.756% (1-month USLIBOR +0.360%), 4/15/2025 | 14,711,874 |
14,655,000 | 1 | Discover Card Execution Note Trust 2018-A2, Class A2, 0.727% (1-month USLIBOR +0.330%), 8/15/2025 | 14,669,862 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Credit Card— continued | |||
$ 6,250,000 | 1 | Discover Card Execution Note Trust 2018-A6, Class A6, 0.786% (1-month USLIBOR +0.390%), 3/15/2026 | $ 6,265,253 |
4,500,000 | Discover Card Execution Note Trust 2019-A3, Class A, 1.890%, 10/15/2024 | 4,510,248 | |
4,100,000 | Evergreen Credit Card Trust Series 2019-2, Class B, 2.270%, 9/15/2024 | 4,110,832 | |
6,750,000 | Evergreen Credit Card Trust Series 2021-1, Class C, 1.420%, 10/15/2026 | 6,433,621 | |
21,500,000 | 1 | Golden Credit Card Trust 2017-4A, Class A, 0.916% (1-month USLIBOR +0.520%), 7/15/2024 | 21,511,855 |
8,000,000 | Golden Credit Card Trust 2021-1A, Class B, 1.440%, 8/15/2028 | 7,425,249 | |
4,250,000 | Golden Credit Card Trust 2021-1A, Class C, 1.740%, 8/15/2028 | 3,960,243 | |
15,000,000 | 1 | Golden Credit Card Trust 2022-2A, Class A, 0.471% (30-DAY AVERAGE SOFR +0.250%), 1/15/2026 | 14,934,921 |
17,658,000 | Golden Credit Card Trust 2022-2A, Class B, 1.730%, 1/15/2026 | 17,344,845 | |
7,626,000 | Golden Credit Card Trust 2022-2A, Class C, 2.030%, 1/15/2026 | 7,491,700 | |
23,995,000 | 1 | Master Credit Card Trust 2018-1A, Class A, 0.938% (1-month USLIBOR +0.490%), 7/21/2024 | 24,034,441 |
7,648,000 | Master Credit Card Trust 2018-1A, Class B, 3.245%, 7/21/2024 | 7,720,794 | |
4,237,000 | Master Credit Card Trust 2018-1A, Class C, 3.737%, 7/21/2024 | 4,273,829 | |
9,000,000 | Master Credit Card Trust 2021-1A, Class C, 1.060%, 11/21/2025 | 8,572,899 | |
3,000,000 | Master Credit Card Trust 2022-1A, Class B, 1.970%, 7/21/2026 | 2,909,609 | |
2,000,000 | Master Credit Card Trust 2022-1A, Class C, 2.270%, 7/21/2026 | 1,940,205 | |
50,000,000 | 1 | Trillium Credit Card Trust II 2021-2A, Class A, 0.326% (30-DAY AVERAGE SOFR +0.220%), 10/26/2026 | 49,984,030 |
10,000,000 | Trillium Credit Card Trust II 2021-2A, Class B, 1.084%, 10/26/2026 | 9,738,303 | |
8,044,000 | Trillium Credit Card Trust II 2021-2A, Class C, 1.333%, 10/26/2026 | 7,828,200 | |
TOTAL | 407,561,868 | ||
Equipment Lease— 4.9% | |||
1,500,000 | CNH Equipment Trust 2019-A, Class B, 3.340%, 7/15/2026 | 1,514,721 | |
3,600,000 | CNH Equipment Trust 2019-B, Class B, 2.870%, 11/16/2026 | 3,618,691 | |
3,220,081 | CNH Equipment Trust 2020-A, Class A3, 1.160%, 6/16/2025 | 3,197,742 | |
2,200,000 | CNH Equipment Trust 2020-A, Class B, 2.300%, 10/15/2027 | 2,175,829 | |
10,050,000 | CNH Equipment Trust 2021-A, Class B, 0.970%, 6/15/2028 | 9,510,340 | |
6,000,000 | Dell Equipment Finance Trust 2019-2, Class D, 2.480%, 4/22/2025 | 6,008,729 | |
5,000,000 | Dell Equipment Finance Trust 2020-1, Class D, 5.920%, 3/23/2026 | 5,086,494 | |
4,834,000 | Dell Equipment Finance Trust 2020-2, Class B, 0.920%, 11/22/2023 | 4,745,648 | |
2,350,000 | Dell Equipment Finance Trust 2020-2, Class C, 1.370%, 1/22/2024 | 2,318,623 | |
3,380,000 | Dell Equipment Finance Trust 2020-2, Class D, 1.920%, 3/23/2026 | 3,351,017 | |
12,280,000 | Dell Equipment Finance Trust 2021-1, Class B, 0.710%, 5/22/2026 | 11,936,099 | |
17,617,000 | Dell Equipment Finance Trust 2021-1, Class C, 0.810%, 5/22/2026 | 17,134,151 | |
22,518,000 | Dell Equipment Finance Trust 2021-1, Class D, 1.030%, 11/23/2026 | 21,936,975 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Equipment Lease— continued | |||
$ 13,000,000 | Dell Equipment Finance Trust 2021-2, Class B, 0.810%, 12/22/2026 | $ 12,461,240 | |
10,500,000 | Dell Equipment Finance Trust 2021-2, Class C, 0.940%, 12/22/2026 | 10,065,739 | |
9,000,000 | Dell Equipment Finance Trust 2021-2, Class D, 1.210%, 6/22/2027 | 8,621,154 | |
1,768,884 | DLL Securitization Trust 2019-DA1, Class A4, 2.920%, 4/20/2027 | 1,778,134 | |
2,598,434 | DLL Securitization Trust 2019-MA2, Class A3, 2.340%, 9/20/2023 | 2,600,579 | |
13,251,000 | DLL Securitization Trust 2019-MA2, Class A4, 2.390%, 4/20/2027 | 13,283,452 | |
31,650,000 | DLLMT LLC 2021-1A, Class A2, 0.600%, 3/20/2024 | 31,323,641 | |
7,500,000 | Great America Leasing Receivables 2019-1, Class B, 3.370%, 2/18/2025 | 7,550,811 | |
10,800,000 | Great America Leasing Receivables 2020-1, Class B, 2.000%, 2/16/2026 | 10,674,294 | |
18,177,786 | Great America Leasing Receivables 2021-1, Class A2, 0.270%, 6/15/2023 | 18,097,934 | |
2,610,000 | Great America Leasing Receivables 2021-1, Class B, 0.720%, 12/15/2026 | 2,450,653 | |
2,750,000 | HPEFS Equipment Trust 2019-1, Class D, 2.720%, 9/20/2029 | 2,760,775 | |
11,650,000 | HPEFS Equipment Trust 2020-1A, Class C, 2.030%, 2/20/2030 | 11,609,671 | |
2,750,000 | HPEFS Equipment Trust 2020-1A, Class D, 2.260%, 2/20/2030 | 2,745,302 | |
1,600,831 | HPEFS Equipment Trust 2020-2A, Class A3, 0.690%, 7/22/2030 | 1,598,368 | |
8,000,000 | HPEFS Equipment Trust 2020-2A, Class D, 2.790%, 7/22/2030 | 8,034,003 | |
25,000,000 | HPEFS Equipment Trust 2021-1A, Class B, 0.570%, 3/20/2031 | 24,277,029 | |
19,640,000 | HPEFS Equipment Trust 2021-1A, Class C, 0.750%, 3/20/2031 | 19,130,894 | |
21,250,000 | HPEFS Equipment Trust 2021-1A, Class D, 1.030%, 3/20/2031 | 20,467,505 | |
15,600,000 | HPEFS Equipment Trust 2021-2A, Class C, 0.880%, 9/20/2028 | 15,025,148 | |
11,200,000 | HPEFS Equipment Trust 2021-2A, Class D, 1.290%, 3/20/2029 | 10,679,939 | |
14,400,000 | HPEFS Equipment Trust 2022-1A, Class D, 2.400%, 11/20/2029 | 13,805,888 | |
1,406,499 | Kubota Credit Owner Trust 2020-1A, Class A3, 1.960%, 3/15/2024 | 1,404,833 | |
1,299,955 | Kubota Credit Owner Trust 2020-2A, Class A2, 0.410%, 6/15/2023 | 1,298,767 | |
5,497,405 | MMAF Equipment Finance LLC 2020-A, Class A2, 0.740%, 4/9/2024 | 5,461,520 | |
12,014,309 | MMAF Equipment Finance LLC 2020-BA, Class A2, 0.380%, 8/14/2023 | 11,950,545 | |
3,679,000 | Transportation Finance Equipment Trust 2019-1, Class B, 2.060%, 5/23/2024 | 3,670,266 | |
2,500,000 | Transportation Finance Equipment Trust 2019-1, Class C, 2.190%, 8/23/2024 | 2,475,906 | |
3,000,000 | Transportation Finance Equipment Trust 2019-1, Class D, 2.570%, 1/25/2027 | 2,968,601 | |
4,770,000 | Volvo Financial Equipment LLC 2019-1A, Class C, 3.480%, 4/15/2026 | 4,797,210 | |
4,200,000 | Volvo Financial Equipment LLC 2019-2A, Class B, 2.280%, 11/15/2024 | 4,186,721 | |
1,464,000 | Volvo Financial Equipment LLC 2019-2A, Class C, 2.500%, 5/17/2027 | 1,454,234 | |
3,383,269 | Volvo Financial Equipment LLC 2020-1A, Class A2, 0.370%, 4/17/2023 | 3,381,327 | |
TOTAL | 384,627,142 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Home Equity Loan— 0.0% | |||
$ 28,887 | 1 | Countrywide Asset Backed Certificates 2004-4, Class A, 1.196% (1-month USLIBOR +0.740%), 8/25/2034 | $ 27,717 |
109,416 | 2 | NC Finance Trust 1999-1, Class D, 8.750%, 1/25/2029 | 0 |
2,532,132 | 2 | Washington Mutual Asset-Backed Certificates NIM Notes 2007-WM1, Class N1, 6.750%, 1/25/2047 | 0 |
TOTAL | 27,717 | ||
Manufactured Housing— 0.0% | |||
4,102 | Indymac Manufactured Housing Contract 1997-1, Class A3, 6.610%, 2/25/2028 | 4,122 | |
Other— 6.2% | |||
966,792 | ARI Fleet Lease Trust 2019-A, Class A2A, 2.410%, 11/15/2027 | 969,248 | |
2,750,000 | ARI Fleet Lease Trust 2021-A, Class B, 1.130%, 3/15/2030 | 2,622,795 | |
2,546,000 | ARI Fleet Lease Trust 2021-A, Class C, 1.450%, 3/15/2030 | 2,434,486 | |
6,200,000 | Chesapeake Funding II LLC 2019-1A, Class B, 3.110%, 4/15/2031 | 6,201,020 | |
3,800,000 | Chesapeake Funding II LLC 2019-1A, Class C, 3.360%, 4/15/2031 | 3,818,383 | |
4,000,000 | Chesapeake Funding II LLC 2019-1A, Class D, 3.800%, 4/15/2031 | 4,026,937 | |
6,187,776 | Chesapeake Funding II LLC 2020-1A, Class A1, 0.870%, 8/15/2032 | 6,141,297 | |
1,840,000 | Chesapeake Funding II LLC 2020-1A, Class B, 1.240%, 8/15/2032 | 1,807,074 | |
4,838,000 | Chesapeake Funding II LLC 2020-1A, Class C, 2.140%, 8/15/2032 | 4,767,370 | |
1,350,000 | Chesapeake Funding II LLC 2020-1A, Class D, 2.830%, 8/15/2032 | 1,316,225 | |
5,300,000 | Chesapeake Funding II LLC 2021-1A, Class B, 0.990%, 4/15/2033 | 5,062,594 | |
2,000,000 | Chesapeake Funding II LLC 2021-1A, Class C, 1.230%, 4/15/2033 | 1,909,696 | |
2,550,000 | Chesapeake Funding II LLC 2021-1A, Class D, 1.520%, 4/15/2033 | 2,429,421 | |
20,633,622 | DLLAD LLC 2021-1A, Class A2, 0.350%, 9/20/2024 | 20,375,549 | |
19,000,000 | DLLAD LLC 2021-1A, Class A3, 0.640%, 9/21/2026 | 17,863,313 | |
288,841 | Enterprise Fleet Financing LLC 2019-1, Class A2, 2.980%, 10/20/2024 | 289,104 | |
2,053,720 | Enterprise Fleet Financing LLC 2019-2, Class A2, 2.290%, 2/20/2025 | 2,057,304 | |
2,000,000 | Enterprise Fleet Financing LLC 2019-2, Class A3, 2.380%, 2/20/2025 | 2,002,534 | |
2,084,859 | Enterprise Fleet Financing LLC 2019-3, Class A2, 2.060%, 5/20/2025 | 2,085,921 | |
2,258,047 | Enterprise Fleet Financing LLC 2020-1, Class A2, 1.780%, 12/22/2025 | 2,256,974 | |
38,000,000 | Enterprise Fleet Financing LLC 2021-2, Class A2, 0.480%, 5/20/2027 | 36,799,804 | |
9,800,000 | 1 | Navistar Financial Dealer Note Master Trust 2020-1, Class A, 1.406% (1-month USLIBOR +0.950%), 7/25/2025 | 9,805,767 |
5,500,000 | 1 | Navistar Financial Dealer Note Master Trust 2020-1, Class B, 1.806% (1-month USLIBOR +1.350%), 7/25/2025 | 5,511,553 |
3,250,000 | 1 | Navistar Financial Dealer Note Master Trust 2020-1, Class D, 3.356% (1-month USLIBOR +2.900%), 7/25/2025 | 3,254,588 |
11,000,000 | 1 | PFS Financing Corp. 2019-A, Class A1, 0.946% (1-month USLIBOR +0.550%), 4/15/2024 | 11,029,478 |
10,750,000 | PFS Financing Corp. 2019-A, Class B, 3.130%, 4/15/2024 | 10,777,754 | |
2,000,000 | PFS Financing Corp. 2019-C, Class B, 2.420%, 10/15/2024 | 2,010,717 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Other— continued | |||
$ 10,000,000 | PFS Financing Corp. 2020-B, Class A, 1.210%, 6/15/2024 | $ 10,016,936 | |
19,296,000 | PFS Financing Corp. 2020-E, Class A, 1.000%, 10/15/2025 | 18,871,826 | |
4,000,000 | PFS Financing Corp. 2020-E, Class B, 1.570%, 10/15/2025 | 3,926,553 | |
2,900,000 | PFS Financing Corp. 2020-F, Class B, 1.420%, 8/15/2024 | 2,902,736 | |
7,500,000 | PFS Financing Corp. 2020-G, Class A, 0.970%, 2/15/2026 | 7,200,070 | |
4,915,000 | PFS Financing Corp. 2020-G, Class B, 1.570%, 2/15/2026 | 4,787,311 | |
35,410,000 | PFS Financing Corp. 2021-A, Class A, 0.710%, 4/15/2026 | 33,640,534 | |
10,875,000 | PFS Financing Corp. 2021-A, Class B, 0.960%, 4/15/2026 | 10,409,245 | |
38,000,000 | PFS Financing Corp. 2021-B, Class A, 0.775%, 8/15/2026 | 35,811,869 | |
4,500,000 | PFS Financing Corp. 2021-B, Class B, 1.095%, 8/15/2026 | 4,285,976 | |
6,000,000 | 1 | PFS Financing Corp. 2022-B, Class B, 0.898% (30-DAY AVERAGE SOFR +0.850%), 2/17/2026 | 6,015,190 |
2,722,013 | Public Service New Hampshire 2018-1, Class A1, 3.094%, 2/1/2026 | 2,743,704 | |
4,037,665 | Sierra Receivables Funding Co. 2020-2A, Class A, 1.330%, 7/20/2037 | 3,947,359 | |
299,856 | Sofi Consumer Loan Program Trust 2020-1, Class A, 2.020%, 1/25/2029 | 300,479 | |
5,000,000 | Sofi Consumer Loan Program Trust 2020-1, Class B, 2.250%, 1/25/2029 | 5,011,642 | |
16,242,120 | Sofi Consumer Loan Program Trust 2021-1, Class A, 0.490%, 9/25/2030 | 16,033,243 | |
10,000,000 | Verizon Master Trust 2021-2, Class C, 1.380%, 4/20/2028 | 9,487,215 | |
11,650,000 | Verizon Master Trust 2022-1, Class B, 1.270%, 1/20/2027 | 11,470,626 | |
6,050,000 | Verizon Master Trust 2022-1, Class C, 1.390%, 1/20/2027 | 5,960,693 | |
3,500,000 | Verizon Owner Trust 2019-A, Class C, 2.600%, 12/20/2023 | 3,523,988 | |
9,400,000 | Verizon Owner Trust 2019-A, Class C, 3.220%, 9/20/2023 | 9,474,412 | |
3,034,854 | Verizon Owner Trust 2019-B, Class A1A, 2.330%, 12/20/2023 | 3,046,180 | |
1,158,763 | 1 | Verizon Owner Trust 2019-B, Class A1B, 0.898% (1-month USLIBOR +0.450%), 12/20/2023 | 1,162,463 |
3,511,638 | Verizon Owner Trust 2019-C, Class A1A, 1.940%, 4/22/2024 | 3,523,825 | |
17,600,000 | Verizon Owner Trust 2019-C, Class C, 2.160%, 4/22/2024 | 17,642,860 | |
21,641,810 | 1 | Verizon Owner Trust 2020-A, Class A1B, 0.718% (1-month USLIBOR +0.270%), 7/22/2024 | 21,710,666 |
10,000,000 | Verizon Owner Trust 2020-A, Class C, 2.060%, 7/22/2024 | 9,973,908 | |
17,000,000 | Verizon Owner Trust 2020-B, Class C, 0.830%, 2/20/2025 | 16,494,464 | |
27,000,000 | Verizon Owner Trust 2020-C, Class B, 0.670%, 4/21/2025 | 26,161,696 | |
9,000,000 | Verizon Owner Trust 2020-C, Class C, 0.770%, 4/21/2025 | 8,700,790 | |
TOTAL | 483,865,365 | ||
Student Loans— 3.9% | |||
2,661,417 | 1 | Mississippi Higher Education Assistance Corp. 2014-1, Class A1, 1.136% (1-month USLIBOR +0.680%), 10/25/2035 | 2,617,900 |
7,013,873 | 1 | Navient Student Loan Trust 2019-D, Class A2B, 1.446% (1-month USLIBOR +1.050%), 12/15/2059 | 6,964,743 |
662,914 | 1 | Navient Student Loan Trust 2020-CA, Class A1, 1.146% (1-month USLIBOR +0.750%), 11/15/2068 | 662,985 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Student Loans— continued | |||
$ 12,857,437 | Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 | $ 12,429,825 | |
11,035,755 | Navient Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 | 10,696,069 | |
21,441,443 | Navient Student Loan Trust 2021-A, Class A, 0.840%, 5/15/2069 | 20,506,419 | |
59,466,867 | Navient Student Loan Trust 2021-BA, Class A, 0.940%, 7/15/2069 | 56,338,735 | |
44,364,759 | Navient Student Loan Trust 2021-CA, Class A, 1.060%, 10/15/2069 | 42,189,532 | |
48,376,677 | Navient Student Loan Trust 2021-FA, Class A, 1.110%, 2/18/2070 | 45,058,951 | |
9,560,248 | 1 | Nelnet Student Loan Trust 2021-CA, Class AFL, 1.188% (1-month USLIBOR +0.740%), 4/20/2062 | 9,449,596 |
56,342,748 | 1 | Nelnet Student Loan Trust 2021-DA, Class AFL, 1.138% (1-month USLIBOR +0.690%), 4/20/2062 | 56,062,423 |
12,597,545 | 1 | SMB Private Education Loan Trust 2021-D, Class A1B, 0.996% (1-month USLIBOR +0.600%), 3/17/2053 | 12,413,500 |
32,764,764 | 1 | SMB Private Education Loan Trust 2021-E, Class A1B, 1.026% (1-month USLIBOR +0.630%), 2/15/2051 | 32,627,965 |
304,443 | 1 | Social Professional Loan Program LLC 2016-D, Class A1, 1.406% (1-month USLIBOR +0.950%), 1/25/2039 | 301,407 |
176,555 | 1 | Social Professional Loan Program LLC 2016-E, Class A1, 1.306% (1-month USLIBOR +0.850%), 7/25/2039 | 176,518 |
626,258 | 1 | Social Professional Loan Program LLC 2017-A, Class A1, 1.156% (1-month USLIBOR +0.700%), 3/26/2040 | 625,842 |
450,719 | 1 | Social Professional Loan Program LLC 2017-C, Class A1, 1.056% (1-month USLIBOR +0.600%), 7/25/2040 | 450,315 |
374,740 | 1 | Social Professional Loan Program LLC 2018-A, Class A1, 0.806% (1-month USLIBOR +0.350%), 2/25/2042 | 374,084 |
TOTAL | 309,946,809 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $3,507,595,006) | 3,420,217,643 | ||
CORPORATE BONDS— 39.4% | |||
Capital Goods - Aerospace & Defense— 1.2% | |||
5,000,000 | Boeing Co., Sr. Unsecd. Note, 1.167%, 2/4/2023 | 4,962,383 | |
17,075,000 | Boeing Co., Sr. Unsecd. Note, 1.950%, 2/1/2024 | 16,704,841 | |
5,000,000 | Boeing Co., Sr. Unsecd. Note, 4.508%, 5/1/2023 | 5,087,498 | |
19,835,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 144A, 0.670%, 8/16/2023 | 19,256,590 | |
14,500,000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 2.950%, 5/15/2023 | 14,548,792 | |
37,000,000 | Teledyne Technologies, Inc., Sr. Unsecd. Note, 0.650%, 4/1/2023 | 36,388,703 | |
TOTAL | 96,948,807 | ||
Capital Goods - Construction Machinery— 0.6% | |||
9,610,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.950%, 7/2/2023 | 9,515,065 | |
20,000,000 | 1 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 0.215% (Secured Overnight Financing Rate +0.120%), 7/10/2023 | 19,929,627 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS— continued | |||
Capital Goods - Construction Machinery— continued | |||
$ 7,895,000 | 1,3 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 0.296% (Secured Overnight Financing Rate +0.200%), 10/11/2024 | $ 7,873,997 |
8,865,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 0.400%, 10/10/2023 | 8,636,104 | |
4,360,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 0.700%, 7/5/2023 | 4,281,886 | |
TOTAL | 50,236,679 | ||
Capital Goods - Diversified Manufacturing— 0.5% | |||
2,000,000 | Honeywell International, Inc., Sr. Unsecd. Note, 0.483%, 8/19/2022 | 1,994,448 | |
2,015,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 1,943,120 | |
1,545,000 | Lennox International, Inc., Sr. Unsecd. Note, 1.350%, 8/1/2025 | 1,448,299 | |
3,830,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 0.450%, 8/15/2022 | 3,814,136 | |
7,135,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.350%, 9/15/2024 | 7,028,028 | |
20,000,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.650%, 9/15/2023 | 20,287,301 | |
TOTAL | 36,515,332 | ||
1 | Communications - Cable & Satellite— 0.5% | ||
35,830,000 | Comcast Corp., Sr. Unsecd. Note, 0.871% (3-month USLIBOR +0.630%), 4/15/2024 | 36,281,848 | |
Communications - Telecom Wireless— 0.6% | |||
19,530,000 | American Tower Corp., Sr. Unsecd. Note, 0.600%, 1/15/2024 | 18,730,109 | |
30,800,000 | 1 | Vodafone Group PLC, Sr. Unsecd. Note, 1.231% (3-month USLIBOR +0.990%), 1/16/2024 | 31,047,236 |
TOTAL | 49,777,345 | ||
1 | Communications - Telecom Wirelines— 0.3% | ||
25,000,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 1.070% (Secured Overnight Financing Rate +0.790%), 3/20/2026 | 24,994,711 | |
Consumer Cyclical - Automotive— 3.5% | |||
10,000,000 | 1 | American Honda Finance Corp., Sr. Unsecd. Note, Series MTN, 0.518% (3-month USLIBOR +0.280%), 1/12/2024 | 9,996,141 |
13,635,000 | American Honda Finance Corp., Sr. Unsecd. Note, Series MTN, 0.750%, 8/9/2024 | 13,000,799 | |
5,000,000 | American Honda Finance Corp., Sr. Unsecd. Note, Series MTN, 0.875%, 7/7/2023 | 4,917,090 | |
14,285,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 0.750%, 3/1/2024 | 13,716,792 | |
20,000,000 | 1 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 1.023% (Secured Overnight Financing Rate +0.750%), 12/13/2024 | 19,846,600 |
3,510,000 | General Motors Co., Sr. Unsecd. Note, 5.400%, 10/2/2023 | 3,633,249 | |
20,000,000 | 1 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 0.739% (Secured Overnight Financing Rate +0.620%), 10/15/2024 | 19,689,450 |
10,000,000 | 1 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 1.009% (Secured Overnight Financing Rate +0.760%), 3/8/2024 | 9,934,273 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS— continued | |||
Consumer Cyclical - Automotive— continued | |||
$ 10,000,000 | 1 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 1.266% (Secured Overnight Financing Rate +1.040%), 2/26/2027 | $ 9,887,902 |
10,500,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 1.700%, 8/18/2023 | 10,391,914 | |
12,000,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 1.000%, 9/17/2024 | 11,296,727 | |
14,980,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 1.250%, 9/18/2023 | 14,579,949 | |
8,895,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | 8,870,024 | |
4,850,000 | Metalsa Sa De Cv, 144A, 4.900%, 4/24/2023 | 4,898,621 | |
20,000,000 | 1 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 1.250% (3-month USLIBOR +0.640%), 3/8/2024 | 19,901,300 |
4,000,000 | 1 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 1.655% (3-month USLIBOR +0.690%), 9/28/2022 | 3,992,439 |
9,810,000 | Stellantis N.V., Sr. Unsecd. Note, 5.250%, 4/15/2023 | 10,025,379 | |
5,000,000 | 1 | Toyota Motor Credit Corp., Sr. Unsecd. Note, 0.626% (3-month USLIBOR +0.390%), 1/11/2023 | 4,998,664 |
10,000,000 | 1 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series MTN, 0.416% (Secured Overnight Financing Rate +0.320%), 4/6/2023 | 10,006,726 |
10,000,000 | 1 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series MTN, 0.433% (Secured Overnight Financing Rate +0.330%), 1/11/2024 | 9,965,396 |
10,000,000 | 1 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series MTN, 0.434% (Secured Overnight Financing Rate +0.320%), 1/13/2025 | 9,914,579 |
15,000,000 | 1 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series MTN, 0.630% (Secured Overnight Financing Rate +0.350%), 6/13/2023 | 14,973,799 |
30,000,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 0.750%, 11/23/2022 | 29,750,719 | |
8,570,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 2.900%, 5/13/2022 | 8,581,382 | |
TOTAL | 276,769,914 | ||
1 | Consumer Cyclical - Leisure— 0.1% | ||
5,000,000 | Magallanes, Inc., Sr. Unsecd. Note, 144A, 2.046% (Secured Overnight Financing Rate +1.780%), 3/15/2024 | 5,047,169 | |
Consumer Cyclical - Services— 0.3% | |||
14,950,000 | Amazon.com, Inc., Sr. Unsecd. Note, 0.250%, 5/12/2023 | 14,729,258 | |
10,000,000 | Amazon.com, Inc., Sr. Unsecd. Note, 0.400%, 6/3/2023 | 9,840,381 | |
TOTAL | 24,569,639 | ||
Consumer Non-Cyclical - Food/Beverage— 1.3% | |||
32,655,000 | Coca-Cola European Partners PLC, Sr. Unsecd. Note, 144A, 0.500%, 5/5/2023 | 31,955,582 | |
19,090,000 | Conagra Brands, Inc., Sr. Unsecd. Note, 0.500%, 8/11/2023 | 18,489,112 | |
6,950,000 | 1 | General Mills, Inc., Sr. Unsecd. Note, 1.249% (3-month USLIBOR +1.010%), 10/17/2023 | 7,036,477 |
3,315,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 0.697%, 9/15/2022 | 3,299,908 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS— continued | |||
Consumer Non-Cyclical - Food/Beverage— continued | |||
$ 16,755,000 | JDE Peet’s B.V., Sr. Unsecd. Note, 144A, 0.800%, 9/24/2024 | $ 15,736,560 | |
6,900,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 0.750%, 3/15/2024 | 6,650,469 | |
5,028,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.057%, 5/25/2023 | 5,118,235 | |
6,000,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 2.700%, 8/15/2022 | 6,018,755 | |
8,660,000 | PepsiCo, Inc., Sr. Unsecd. Note, 0.400%, 10/7/2023 | 8,461,451 | |
TOTAL | 102,766,549 | ||
Consumer Non-Cyclical - Health Care— 1.2% | |||
5,802,000 | 1 | Becton Dickinson & Co., Sr. Unsecd. Note, 1.613% (3-month USLIBOR +1.030%), 6/6/2022 | 5,806,500 |
12,495,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, Series 3YR, 2.050%, 11/15/2022 | 12,516,715 | |
15,000,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 0.550%, 9/15/2023 | 14,575,535 | |
27,235,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 0.850%, 9/15/2024 | 25,860,447 | |
8,145,000 | Stryker Corp., Sr. Unsecd. Note, 0.600%, 12/1/2023 | 7,904,496 | |
26,600,000 | 1 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 0.649% (Secured Overnight Financing Rate +0.530%), 10/18/2024 | 26,564,995 |
TOTAL | 93,228,688 | ||
Consumer Non-Cyclical - Pharmaceuticals— 0.8% | |||
13,635,000 | 1 | AbbVie, Inc., Sr. Unsecd. Note, Series WI, 1.129% (3-month USLIBOR +0.650%), 11/21/2022 | 13,669,019 |
4,700,000 | AstraZeneca PLC, Sr. Unsecd. Note, 0.700%, 4/8/2026 | 4,301,311 | |
6,500,000 | 1 | AstraZeneca PLC, Sr. Unsecd. Note, 1.323% (3-month USLIBOR +0.620%), 6/10/2022 | 6,500,773 |
9,100,000 | 1 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 1.836% (3-month USLIBOR +1.010%), 12/15/2023 | 9,145,024 |
6,330,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 0.537%, 11/13/2023 | 6,156,822 | |
500,000 | 1 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 0.838% (3-month USLIBOR +0.380%), 5/16/2022 | 500,049 |
4,615,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 2.900%, 7/26/2024 | 4,651,649 | |
3,430,000 | Eli Lilly & Co., Sr. Unsecd. Note, 2.350%, 5/15/2022 | 3,435,411 | |
4,735,000 | Merck & Co., Inc., Sr. Unsecd. Note, 2.900%, 3/7/2024 | 4,794,395 | |
12,085,000 | Royalty Pharma PLC, Sr. Unsecd. Note, Series WI, 0.750%, 9/2/2023 | 11,739,269 | |
TOTAL | 64,893,722 | ||
Consumer Non-Cyclical - Products— 0.1% | |||
6,545,000 | Unilever Capital Corp., Sr. Unsecd. Note, 0.375%, 9/14/2023 | 6,381,419 | |
1 | Consumer Non-Cyclical - Tobacco— 0.1% | ||
10,000,000 | BAT Capital Corp., Sr. Unsecd. Note, Series WI, 1.386% (3-month USLIBOR +0.880%), 8/15/2022 | 10,011,967 | |
Energy - Integrated— 0.7% | |||
15,000,000 | 1 | Chevron U.S.A., Inc., Sr. Unsecd. Note, 0.577% (3-month USLIBOR +0.200%), 8/11/2023 | 14,974,323 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS— continued | |||
Energy - Integrated— continued | |||
$ 14,155,000 | Exxon Mobil Corp., Sr. Unsecd. Note, 1.902%, 8/16/2022 | $ 14,192,594 | |
4,931,000 | Petroleos Mexicanos, Sr. Unsecd. Note, Series EMTN, 1.875%, 4/21/2022 | 5,455,081 | |
18,060,000 | Shell International Finance B.V., Sr. Unsecd. Note, 0.375%, 9/15/2023 | 17,600,798 | |
2,345,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 2.800%, 5/15/2023 | 2,349,806 | |
TOTAL | 54,572,602 | ||
Energy - Refining— 0.3% | |||
8,000,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.700%, 5/1/2025 | 8,322,441 | |
10,000,000 | Phillips 66, Sr. Unsecd. Note, 3.700%, 4/6/2023 | 10,144,649 | |
2,500,000 | Valero Energy Corp., Sr. Unsecd. Note, 1.200%, 3/15/2024 | 2,414,291 | |
TOTAL | 20,881,381 | ||
Financial Institution - Banking— 15.3% | |||
10,000,000 | 1 | American Express Co., 1.157% (3-month USLIBOR +0.650%), 2/27/2023 | 10,023,390 |
21,550,000 | American Express Co., Sr. Unsecd. Note, 0.819% (Secured Overnight Financing Rate +0.650%), 11/4/2026 | 21,261,472 | |
6,380,000 | ANZ New Zealand National (Int’l) Ltd., Sr. Unsecd. Note, 144A, 0.805% (Secured Overnight Financing Rate +0.600%), 2/18/2025 | 6,372,433 | |
2,655,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 2,709,377 | |
430,000 | Australia & New Zealand Banking Group Ltd., Sr. Unsecd. Note, Series MTN, 2.050%, 11/21/2022 | 431,041 | |
13,500,000 | 1 | Australia & New Zealand Banking Group, Melbourne, Sr. Unsecd. Note, 144A, 0.969% (3-month USLIBOR +0.490%), 11/21/2022 | 13,522,860 |
36,000,000 | 1 | Banco Santander, S.A., 1.796% (3-month USLIBOR +1.560%), 4/11/2022 | 36,007,259 |
15,000,000 | Bank of America Corp., Sr. Unsecd. Note, 1.114%, 7/22/2027 | 14,946,923 | |
25,000,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, 1.258% (3-month USLIBOR +1.000%), 4/24/2023 | 25,006,778 |
5,000,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 0.878% (Secured Overnight Financing Rate +0.730%), 10/24/2024 | 5,004,826 | |
6,500,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 0.909% (3-month BSBY +0.430%), 5/28/2024 | 6,486,825 |
50,000,000 | Bank of Montreal, Sr. Unsecd. Note, 0.599% (Secured Overnight Financing Rate +0.350%), 12/8/2023 | 49,770,149 | |
10,000,000 | Bank of Montreal, Sr. Unsecd. Note, Series MTN, 0.886% (Secured Overnight Financing Rate +0.620%), 9/15/2026 | 9,918,368 | |
2,060,000 | Bank of Montreal, Sr. Unsecd. Note, Series MTN, 2.050%, 11/1/2022 | 2,066,905 | |
10,000,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series J, 0.339% (Secured Overnight Financing Rate +0.200%), 10/25/2024 | 9,941,897 | |
25,000,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 0.350%, 12/7/2023 | 24,183,016 | |
10,000,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 0.404%, 4/26/2024 | 9,968,027 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 5,000,000 | 1 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 1.349% (3-month USLIBOR +1.050%), 10/30/2023 | $ 5,022,881 |
25,000,000 | Bank of New Zealand (BNZ), Sr. Unsecd. Note, 144A, 0.860%, 1/27/2027 | 24,818,831 | |
15,000,000 | Bank of Nova Scotia, Sr. Unsecd. Note, 0.816% (Secured Overnight Financing Rate +0.550%), 9/15/2023 | 14,981,360 | |
20,000,000 | Bank of Nova Scotia, Sr. Unsecd. Note, 0.876% (Secured Overnight Financing Rate +0.610%), 9/15/2026 | 19,723,030 | |
10,000,000 | Bank of Nova Scotia, Sr. Unsecd. Note, 1.950%, 2/1/2023 | 10,006,839 | |
25,985,000 | Barclays Bank PLC, Sub. Note, 7.625%, 11/21/2022 | 26,643,455 | |
3,280,000 | Barclays PLC, Sr. Unsecd. Note, 1.007%, 12/10/2024 | 3,150,983 | |
15,000,000 | 1 | Barclays PLC, Sr. Unsecd. Note, 1.838% (3-month USLIBOR +1.380%), 5/16/2024 | 15,075,194 |
20,000,000 | BPCE SA, Sub., 144A, 5.700%, 10/22/2023 | 20,696,997 | |
25,000,000 | 1 | Canadian Imperial Bank of Commerce, Sr. Unsecd. Note, 0.541% (Secured Overnight Financing Rate +0.420%), 10/18/2024 | 24,736,124 |
10,000,000 | 1 | Canadian Imperial Bank of Commerce, Sr. Unsecd. Note, 0.663% (Secured Overnight Financing Rate +0.400%), 12/14/2023 | 9,941,996 |
5,000,000 | Canadian Imperial Bank of Commerce, Sr. Unsecd. Note, 0.950%, 6/23/2023 | 4,908,542 | |
10,870,000 | 1 | Canadian Imperial Bank of Commerce, Sr. Unsecd. Note, 1.072% (SOFR +0.800%), 3/17/2023 | 10,894,449 |
7,695,000 | Citigroup, Inc., Sr. Unsecd. Note, 0.833%, 1/25/2026 | 7,574,565 | |
10,000,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 0.837% (Secured Overnight Financing Rate +0.669%), 5/1/2025 | 9,909,690 |
15,000,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 1.030% (Secured Overnight Financing Rate +0.770%), 6/9/2027 | 14,731,862 |
5,000,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 1.208% (3-month USLIBOR +0.950%), 7/24/2023 | 5,008,742 |
8,000,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 1.489% (Secured Overnight Financing Rate +1.280%), 2/24/2028 | 8,030,817 |
10,000,000 | 1 | Citizens Bank, N.A., Providence, Sr. Unsecd. Note, Series BKNT, 1.932% (3-month USLIBOR +0.950%), 3/29/2023 | 10,047,031 |
25,975,000 | 1 | Commonwealth Bank of Australia, Sr. Unsecd. Note, 144A, 0.450% (Secured Overnight Financing Rate +0.400%), 7/7/2025 | 25,734,600 |
12,000,000 | 1 | Credit Suisse AG of New York, Sr. Unsecd. Note, 0.551% (Secured Overnight Financing Rate +0.390%), 2/2/2024 | 11,908,788 |
25,000,000 | 1 | Credit Suisse AG of New York, Sr. Unsecd. Note, Series FRN, 0.560% (Secured Overnight Financing Rate +0.380%), 8/9/2023 | 24,915,887 |
10,000,000 | 1 | DNB Bank ASA, Sr. Pfd., 144A, 1.100% (90-DAY AVERAGE SOFR +0.830%), 3/28/2025 | 10,022,887 |
19,150,000 | FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 19,044,732 | |
10,000,000 | Goldman Sachs Group, Inc., 4.000%, 3/3/2024 | 10,208,950 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 12,275,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.054% (Secured Overnight Financing Rate +0.920%), 10/21/2027 | $ 12,073,290 |
20,495,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.213% (3-month USLIBOR +0.750%), 2/23/2023 | 20,536,989 |
9,375,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.340% (Secured Overnight Financing Rate +1.120%), 2/24/2028 | 9,373,936 |
15,000,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, Series FRN, 0.741% (Secured Overnight Financing Rate +0.540%), 11/17/2023 | 14,928,101 |
10,000,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, Series FRN, 1.045% (Secured Overnight Financing Rate +0.790%), 12/9/2026 | 9,827,844 |
5,000,000 | 1 | HSBC Holdings PLC, Sr. Unsecd. Note, 1.488% (3-month USLIBOR +1.000%), 5/18/2024 | 5,017,729 |
2,855,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 1.645%, 4/18/2026 | 2,689,276 | |
6,000,000 | JPMorgan Chase & Co., 3.250%, 9/23/2022 | 6,053,130 | |
2,470,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 0.563%, 2/16/2025 | 2,362,126 | |
8,000,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 0.765% (Secured Overnight Financing Rate +0.535%), 6/1/2025 | 7,926,427 |
10,000,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 0.853% (Secured Overnight Financing Rate +0.580%), 3/16/2024 | 9,972,004 |
20,000,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 0.858% (Secured Overnight Financing Rate +0.600%), 12/10/2025 | 19,704,275 |
6,000,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 0.988% (3-month USLIBOR +0.730%), 4/23/2024 | 6,017,063 |
12,500,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.045% (Secured Overnight Financing Rate +0.765%), 9/22/2027 | 12,174,854 |
5,000,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.488% (3-month USLIBOR +1.230%), 10/24/2023 | 5,025,071 |
5,000,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.514% (Secured Overnight Financing Rate +1.455%), 6/1/2024 | 4,933,751 |
7,380,000 | 1 | Lloyds Banking Group PLC, Sr. Unsecd. Note, 1.326% (Prime +1.100%), 6/15/2023 | 7,362,360 |
7,000,000 | 1 | Manufacturers & Traders Trust Co., Sr. Unsecd. Note, Series BKNT, 1.098% (3-month USLIBOR +0.610%), 5/18/2022 | 7,002,489 |
9,000,000 | Mitsubishi UFJ Financial Group, Inc., Sr. Unsecd. Note, 0.848%, 9/15/2024 | 8,727,047 | |
8,570,000 | 1 | Morgan Stanley, Sr. Unsecd. Note, 0.840% (Secured Overnight Financing Rate +0.625%), 1/24/2025 | 8,535,117 |
11,970,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 0.791%, 1/22/2025 | 11,498,310 | |
1,795,000 | Morgan Stanley, Sr. Unsecd. Note, Series I, 0.864%, 10/21/2025 | 1,691,838 | |
20,000,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 0.529%, 1/25/2024 | 19,682,560 | |
4,635,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 0.560%, 11/10/2023 | 4,582,594 | |
2,145,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 2.720%, 7/22/2025 | 2,124,605 | |
7,355,000 | 1 | MUFG Union Bank, N.A., Sr. Unsecd. Note, Series BKNT, 0.970% (Secured Overnight Financing Rate +0.710%), 12/9/2022 | 7,369,321 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 30,000,000 | 1 | National Australia Bank Ltd., Sr. Unsecd. Note, 144A, 1.212% (3-month USLIBOR +0.410%), 12/13/2022 | $ 30,025,557 |
16,000,000 | 1 | National Bank of Canada, Montreal, Sr. Unsecd. Note, 0.663% (Secured Overnight Financing Rate +0.490%), 8/6/2024 | 15,889,472 |
22,500,000 | National Bank of Canada, Montreal, Sr. Unsecd. Note, Series MTN, 2.100%, 2/1/2023 | 22,504,428 | |
2,000,000 | 1 | NatWest Markets PLC, Sr. Unsecd. Note, 144A, 0.720% (Secured Overnight Financing Rate +0.530%), 8/12/2024 | 1,974,436 |
9,000,000 | 1 | NatWest Markets PLC, Sr. Unsecd. Note, 144A, 1.040% (Secured Overnight Financing Rate +0.760%), 9/29/2026 | 8,776,946 |
6,665,000 | 1 | PNC Bank National Association, Sr. Unsecd. Note, Series BKNT, 0.767% (3-month USLIBOR +0.500%), 7/27/2022 | 6,667,807 |
20,000,000 | 1 | Royal Bank of Canada, Sr. Unsecd. Note, 0.515% (Secured Overnight Financing Rate +0.360%), 7/29/2024 | 19,881,361 |
5,000,000 | 1 | Royal Bank of Canada, Sr. Unsecd. Note, 0.869% (3-month USLIBOR +0.660%), 10/5/2023 | 5,030,333 |
10,000,000 | 1 | Royal Bank of Canada, Sr. Unsecd. Note, Series GMTN, 0.421% (Secured Overnight Financing Rate +0.300%), 1/19/2024 | 9,939,591 |
25,000,000 | 1 | Royal Bank of Canada, Sr. Unsecd. Note, Series GMTN, 0.572% (Secured Overnight Financing Rate +0.400%), 8/5/2022 | 25,005,587 |
5,000,000 | 1 | Royal Bank of Canada, Sr. Unsecd. Note, Series GMTN, 0.601% (3-month USLIBOR +0.360%), 1/17/2023 | 5,006,586 |
12,750,000 | 1 | Standard Chartered PLC, Sr. Unsecd. Note, 144A, 0.991% (5-year Constant Maturity Treasury +0.780%), 1/12/2025 | 12,188,710 |
1,825,000 | Sumitomo Mitsui Financial Group, Inc., Sr. Unsecd. Note, 0.508%, 1/12/2024 | 1,756,057 | |
15,000,000 | 1 | Toronto Dominion Bank, Sr. Unsecd. Note, Series MTN, 0.336% (Secured Overnight Financing Rate +0.240%), 1/6/2023 | 14,977,015 |
5,000,000 | Toronto Dominion Bank, Sr. Unsecd. Note, Series MTN, 0.450%, 9/11/2023 | 4,864,120 | |
6,000,000 | 1 | Truist Bank, Sr. Unsecd. Note, Series BKNT, 0.985% (Secured Overnight Financing Rate +0.730%), 3/9/2023 | 6,010,699 |
47,000,000 | 1 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 0.655% (Secured Overnight Financing Rate +0.400%), 6/9/2025 | 46,732,508 |
12,855,000 | Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 3.050%, 6/20/2022 | 12,885,591 | |
10,000,000 | 1 | U.S. Bank N.A., Cincinnati, Sr. Unsecd. Note, 1.042% (3-month USLIBOR +0.400%), 12/9/2022 | 10,001,594 |
38,000,000 | 1 | U.S. Bank N.A., Cincinnati, Sr. Unsecd. Note, Series BKNT, 0.665% (3-month BSBY +0.170%), 6/2/2023 | 37,903,100 |
35,000,000 | 1 | UBS AG London, Sr. Unsecd. Note, 144A, 0.540% (Secured Overnight Financing Rate +0.360%), 2/9/2024 | 34,769,569 |
10,000,000 | 1 | UBS AG London, Sr. Unsecd. Note, 144A, 0.630% (Secured Overnight Financing Rate +0.450%), 8/9/2024 | 9,949,448 |
6,866,000 | UBS AG Stamford, CT, Sub., 7.625%, 8/17/2022 | 6,969,947 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 30,300,000 | 1 | Westpac Banking Corp., Sr. Unsecd. Note, 0.806% (3-month USLIBOR +0.570%), 1/11/2023 | $ 30,377,883 |
TOTAL | 1,202,641,230 | ||
Financial Institution - Finance Companies— 1.0% | |||
30,000,000 | AerCap Ireland Capital Ltd / AerCap Global Aviation Trust, Sr. Unsecd. Note, 1.150%, 10/29/2023 | 28,733,599 | |
3,430,000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 4.875%, 1/16/2024 | 3,477,841 | |
34,975,000 | Air Lease Corp., Sr. Unsecd. Note, Series MTN, 0.700%, 2/15/2024 | 33,434,527 | |
11,000,000 | 1,3 | Air Lease Corp., Sr. Unsecd. Note, Series MTN, 1.176% (3-month USLIBOR +0.350%), 12/15/2022 | 10,996,094 |
TOTAL | 76,642,061 | ||
Financial Institution - Insurance - Health— 0.5% | |||
25,000,000 | Anthem, Inc., Sr. Unsecd. Note, 0.450%, 3/15/2023 | 24,599,464 | |
11,035,000 | CIGNA Corp., Sr. Unsecd. Note, 0.613%, 3/15/2024 | 10,590,085 | |
TOTAL | 35,189,549 | ||
Financial Institution - Insurance - Life— 2.7% | |||
5,090,000 | AIG Global Funding, Sr. Note, 144A, 0.650%, 6/17/2024 | 4,845,157 | |
15,000,000 | AIG Global Funding, Sr. Secd. Note, 144A, 0.450%, 12/8/2023 | 14,403,392 | |
6,820,000 | AIG Global Funding, Sr. Secd. Note, 144A, 0.800%, 7/7/2023 | 6,671,653 | |
25,000,000 | 1 | Mass Mutual Global Funding II, Sec. Fac. Bond, 144A, 0.404% (Secured Overnight Financing Rate +0.270%), 10/21/2024 | 24,786,852 |
6,000,000 | Mass Mutual Global Funding II, Sec. Fac. Bond, 144A, 2.750%, 6/22/2024 | 5,994,619 | |
6,475,000 | Mass Mutual Global Funding II, Sr. Secd. Note, 144A, 0.850%, 6/9/2023 | 6,362,936 | |
12,000,000 | 1 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 0.418% (Secured Overnight Financing Rate +0.320%), 1/7/2024 | 11,942,157 |
4,375,000 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 0.550%, 6/7/2024 | 4,142,847 | |
10,000,000 | 1 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 0.579% (Secured Overnight Financing Rate +0.300%), 9/27/2024 | 9,899,226 |
7,000,000 | 1 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 0.684% (Secured Overnight Financing Rate +0.570%), 1/13/2023 | 7,005,998 |
5,555,000 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 0.900%, 6/8/2023 | 5,459,741 | |
2,915,000 | Met Life Global Funding I, Sec. Fac. Bond, 144A, 2.400%, 6/17/2022 | 2,923,340 | |
4,765,000 | Met Life Global Funding I, Sr. Secd. Note, 144A, 2.650%, 4/8/2022 | 4,765,361 | |
5,000,000 | 1 | New York Life Global Funding, Sec. Fac. Bond, 144A, 0.381% (Secured Overnight Financing Rate +0.220%), 2/2/2023 | 4,995,653 |
20,000,000 | 1 | New York Life Global Funding, Sec. Fac. Bond, 144A, 0.446% (Secured Overnight Financing Rate +0.330%), 1/14/2025 | 19,830,674 |
5,000,000 | 1 | New York Life Global Funding, Sec. Fac. Bond, 144A, 0.494% (Secured Overnight Financing Rate +0.360%), 10/21/2023 | 4,995,307 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS— continued | |||
Financial Institution - Insurance - Life— continued | |||
$ 20,000,000 | 1 | Pacific Life Global Funding II, Sec. Fac. Bond, 144A, 0.550% (Secured Overnight Financing Rate +0.400%), 1/27/2025 | $ 19,824,636 |
16,000,000 | Pacific Life Global Funding II, Term Loan - 2nd Lien, 144A, 0.500%, 9/23/2023 | 15,542,494 | |
22,815,000 | Principal Life Global Funding II, Sec. Fac. Bond, 144A, 0.500%, 1/8/2024 | 21,923,506 | |
8,000,000 | 1 | Principal Life Global Funding II, Sec. Fac. Bond, 144A, 0.557% (Secured Overnight Financing Rate +0.450%), 4/12/2024 | 7,988,029 |
9,000,000 | 1 | Principal Life Global Funding II, Sec. Fac. Bond, 144A, 0.603% (Secured Overnight Financing Rate +0.380%), 8/23/2024 | 8,908,611 |
TOTAL | 213,212,189 | ||
Technology— 1.3% | |||
15,000,000 | Apple, Inc., Sr. Unsecd. Note, 0.750%, 5/11/2023 | 14,815,763 | |
6,535,000 | Apple, Inc., Sr. Unsecd. Note, 1.700%, 9/11/2022 | 6,547,641 | |
10,000,000 | Broadcom, Inc., Sr. Unsecd. Note, 2.250%, 11/15/2023 | 9,914,959 | |
5,835,000 | Dell International LLC / EMC Corp., 4.000%, 7/15/2024 | 5,965,555 | |
10,590,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 0.375%, 3/1/2023 | 10,404,976 | |
4,615,000 | Fiserv, Inc., Sr. Unsecd. Note, 2.750%, 7/1/2024 | 4,604,394 | |
5,000,000 | 1 | Qualcomm, Inc., Sr. Unsecd. Note, 1.029% (3-month USLIBOR +0.730%), 1/30/2023 | 5,027,322 |
8,015,000 | Skyworks Solutions, Inc., Sr. Unsecd. Note, 0.900%, 6/1/2023 | 7,839,494 | |
14,750,000 | VMware, Inc., Sr. Unsecd. Note, 0.600%, 8/15/2023 | 14,341,719 | |
25,000,000 | VMware, Inc., Sr. Unsecd. Note, 1.000%, 8/15/2024 | 23,857,893 | |
TOTAL | 103,319,716 | ||
Transportation - Airlines— 0.2% | |||
15,525,000 | Southwest Airlines Co., Sr. Unsecd. Note, 4.750%, 5/4/2023 | 15,857,664 | |
Transportation - Railroads— 0.1% | |||
7,730,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 1.350%, 12/2/2024 | 7,418,858 | |
Transportation - Services— 0.1% | |||
3,200,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.450%, 7/1/2024 | 3,209,022 | |
Utility - Electric— 4.6% | |||
1,500,000 | AEP Texas, Inc., Sr. Unsecd. Note, Series WI, 2.400%, 10/1/2022 | 1,502,511 | |
8,795,000 | American Electric Power Co., Inc., Jr. Sub. Note, 2.031%, 3/15/2024 | 8,648,709 | |
12,060,000 | 1 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series A, 0.797% (3-month USLIBOR +0.480%), 11/1/2023 | 12,047,634 |
31,575,000 | Black Hills Corp., Sr. Unsecd. Note, 1.037%, 8/23/2024 | 30,168,752 | |
17,440,000 | 1 | CenterPoint Energy Resources Corp., Sr. Unsecd. Note, 1.004% (3-month USLIBOR +0.500%), 3/2/2023 | 17,389,928 |
9,375,000 | CenterPoint Energy, Inc., Sr. Unsecd. Note, 0.841%, 5/13/2024 | 9,304,943 | |
20,000,000 | Dominion Energy, Inc., Sr. Unsecd. Note, 144A, 2.450%, 1/15/2023 | 20,016,153 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS— continued | |||
Utility - Electric— continued | |||
$ 16,885,000 | 1 | Dominion Energy, Inc., Sr. Unsecd. Note, Series D, 1.356% (3-month USLIBOR +0.530%), 9/15/2023 | $ 16,860,475 |
7,660,000 | Emera US Finance LP, Sr. Unsecd. Note, 0.833%, 6/15/2024 | 7,256,578 | |
6,935,000 | EverSource Energy, Sr. Unsecd. Note, Series Q, 0.800%, 8/15/2025 | 6,388,784 | |
47,010,000 | 1 | EverSource Energy, Sr. Unsecd. Note, Series T, 0.443% (Secured Overnight Financing Rate +0.250%), 8/15/2023 | 46,894,519 |
15,295,000 | 1 | Mississippi Power Co., Sr. Unsecd. Note, Series A, 0.579% (Secured Overnight Financing Rate +0.300%), 6/28/2024 | 15,163,232 |
25,790,000 | 1 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, Series D, 0.449% (Secured Overnight Financing Rate +0.330%), 10/18/2024 | 25,491,615 |
30,000,000 | 1 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 0.564% (Secured Overnight Financing Rate +0.400%), 11/3/2023 | 29,883,689 |
20,015,000 | 1 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 0.749% (3-month USLIBOR +0.270%), 2/22/2023 | 19,949,052 |
8,570,000 | 1 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 0.770% (Secured Overnight Financing Rate +0.540%), 3/1/2023 | 8,562,335 |
19,160,000 | OGE Energy Corp., Sr. Unsecd. Note, 0.703%, 5/26/2023 | 18,778,031 | |
14,970,000 | 1 | PPL Electric Utilities Corp., 0.609% (Secured Overnight Financing Rate +0.330%), 6/24/2024 | 14,879,158 |
17,855,000 | 1 | PPL Electric Utilities Corp., Term Loan - 1st Lien, 1.215% (3-month USLIBOR +0.250%), 9/28/2023 | 17,771,930 |
2,935,000 | Public Service Enterprises Group, Inc., Sr. Unsecd. Note, 2.875%, 6/15/2024 | 2,910,151 | |
10,000,000 | Southern Co., Sr. Unsecd. Note, Series 21-A, 0.600%, 2/26/2024 | 9,618,859 | |
10,000,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 0.550%, 9/15/2023 | 9,718,037 | |
8,575,000 | Xcel Energy, Inc., Sr. Unsecd. Note, 0.500%, 10/15/2023 | 8,309,753 | |
TOTAL | 357,514,828 | ||
Utility - Natural Gas— 1.4% | |||
18,950,000 | 1 | Atmos Energy Corp., Sr. Unsecd. Note, 1.022% (3-month USLIBOR +0.380%), 3/9/2023 | 18,927,887 |
8,935,000 | 1 | Enbridge, Inc., Sr. Unsecd. Note, 0.601% (Secured Overnight Financing Rate +0.400%), 2/17/2023 | 8,927,708 |
25,000,000 | Enbridge, Inc., Sr. Unsecd. Note, 4.000%, 10/1/2023 | 25,399,879 | |
4,965,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 5,263,228 | |
24,875,000 | 1 | ONE Gas, Inc., Sr. Unsecd. Note, 1.355% (3-month USLIBOR +0.610%), 3/11/2023 | 24,848,543 |
4,565,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 0.625%, 4/28/2023 | 4,477,094 | |
25,000,000 | TransCanada PipeLines Ltd., Sr. Unsecd. Note, 1.000%, 10/12/2024 | 23,773,431 | |
TOTAL | 111,617,770 | ||
Utility - Natural Gas Distributor— 0.1% | |||
9,575,000 | 1 | Southern California Gas Co., Sr. Unsecd. Note, 1.152% (3-month USLIBOR +0.350%), 9/14/2023 | 9,558,431 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS— continued | |||
Utility - Natural Gas Distributor— continued | |||
$ 1,000,000 | The East Ohio Gas Company, Sr. Unsecd. Note, 144A, 1.300%, 6/15/2025 | $ 944,872 | |
TOTAL | 10,503,303 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $3,131,731,771) | 3,091,003,962 | ||
1 | COLLATERALIZED MORTGAGE OBLIGATIONS— 7.9% | ||
Federal Home Loan Mortgage Corporation— 6.0% | |||
58,403 | Federal Home Loan Mortgage Corp., Class FE, 0.796% (1-month USLIBOR +0.400%), 7/15/2036 | 58,564 | |
1,250,929 | Federal Home Loan Mortgage Corp. REMIC, Series 2736, Class FB, 0.780% (1-month USLIBOR +0.550%), 12/15/2033 | 1,253,768 | |
1,039,715 | Federal Home Loan Mortgage Corp. REMIC, Series 2819, Class F, 0.796% (1-month USLIBOR +0.400%), 6/15/2034 | 1,041,280 | |
137,378 | Federal Home Loan Mortgage Corp. REMIC, Series 3071, Class TF, 0.696% (1-month USLIBOR +0.300%), 4/15/2035 | 137,515 | |
689,001 | Federal Home Loan Mortgage Corp. REMIC, Series 3084, Class XF, 0.916% (1-month USLIBOR +0.520%), 12/15/2035 | 695,855 | |
180,017 | Federal Home Loan Mortgage Corp. REMIC, Series 3152, Class WF, 0.856% (1-month USLIBOR +0.460%), 2/15/2034 | 181,330 | |
728,978 | Federal Home Loan Mortgage Corp. REMIC, Series 3153, Class EF, 0.520% (1-month USLIBOR +0.410%), 5/15/2036 | 731,216 | |
299,363 | Federal Home Loan Mortgage Corp. REMIC, Series 3153, Class FJ, 0.469% (1-month USLIBOR +0.380%), 5/15/2036 | 300,592 | |
151,567 | Federal Home Loan Mortgage Corp. REMIC, Series 3156, Class HF, 0.881% (1-month USLIBOR +0.485%), 8/15/2035 | 152,931 | |
163,142 | Federal Home Loan Mortgage Corp. REMIC, Series 3211, Class FN, 0.696% (1-month USLIBOR +0.300%), 9/15/2036 | 163,631 | |
236,822 | Federal Home Loan Mortgage Corp. REMIC, Series 3317, Class F, 0.796% (1-month USLIBOR +0.400%), 7/15/2036 | 238,278 | |
74,633 | Federal Home Loan Mortgage Corp. REMIC, Series 3320, Class FM, 0.796% (1-month USLIBOR +0.400%), 7/15/2036 | 75,267 | |
47,311 | Federal Home Loan Mortgage Corp. REMIC, Series 3339, Class AF, 0.846% (1-month USLIBOR +0.450%), 7/15/2037 | 47,557 | |
1,066,256 | Federal Home Loan Mortgage Corp. REMIC, Series 3382, Class FG, 0.996% (1-month USLIBOR +0.600%), 11/15/2037 | 1,081,493 | |
875,258 | Federal Home Loan Mortgage Corp. REMIC, Series 3387, Class PF, 0.816% (1-month USLIBOR +0.420%), 11/15/2037 | 880,183 | |
91,753 | Federal Home Loan Mortgage Corp. REMIC, Series 3542, Class NF, 1.146% (1-month USLIBOR +0.750%), 7/15/2036 | 93,622 | |
313,016 | Federal Home Loan Mortgage Corp. REMIC, Series 3556, Class FA, 1.306% (1-month USLIBOR +0.910%), 7/15/2037 | 320,173 | |
12,502,482 | Federal Home Loan Mortgage Corp. REMIC, Series 3843, Class F, 0.726% (1-month USLIBOR +0.330%), 4/15/2041 | 12,555,236 |
Principal Amount or Shares | Value | ||
1 | COLLATERALIZED MORTGAGE OBLIGATIONS— continued | ||
Federal Home Loan Mortgage Corporation— continued | |||
$ 4,967,039 | Federal Home Loan Mortgage Corp. REMIC, Series 3843, Class FB, 0.726% (1-month USLIBOR +0.330%), 4/15/2041 | $ 4,983,918 | |
1,249,717 | Federal Home Loan Mortgage Corp. REMIC, Series 4238, Class FT, 0.746% (1-month USLIBOR +0.350%), 8/15/2043 | 1,253,346 | |
1,333,672 | Federal Home Loan Mortgage Corp. REMIC, Series 4604, Class FB, 0.796% (1-month USLIBOR +0.400%), 8/15/2046 | 1,345,576 | |
2,236,842 | Federal Home Loan Mortgage Corp. REMIC, Series 4703, Class FA, 0.477% (1-month USLIBOR +0.350%), 7/15/2047 | 2,232,978 | |
17,760,285 | Federal Home Loan Mortgage Corp. REMIC, Series 4901, Class BF, 0.856% (1-month USLIBOR +0.400%), 7/25/2049 | 17,843,952 | |
5,445,946 | Federal Home Loan Mortgage Corp. REMIC, Series 4916, Class FA, 0.856% (1-month USLIBOR +0.400%), 9/25/2049 | 5,473,794 | |
24,274,933 | Federal Home Loan Mortgage Corp. REMIC, Series 4920, Class FA, 0.906% (1-month USLIBOR +0.450%), 10/25/2049 | 24,436,369 | |
21,024,389 | Federal Home Loan Mortgage Corp. REMIC, Series 4988, Class KF, 0.806% (1-month USLIBOR +0.350%), 7/25/2050 | 21,086,165 | |
32,917,217 | Federal Home Loan Mortgage Corp. REMIC, Series 4993, Class F, 0.906% (1-month USLIBOR +0.450%), 7/25/2050 | 33,111,570 | |
24,718,307 | Federal Home Loan Mortgage Corp. REMIC, Series 5031, Class FB, 0.399% (Secured Overnight Financing Rate +0.300%), 4/25/2041 | 24,754,057 | |
8,252,950 | Federal Home Loan Mortgage Corp. REMIC, Series 5057, Class FH, 0.349% (Secured Overnight Financing Rate +0.250%), 12/25/2050 | 8,257,503 | |
25,000,000 | Federal Home Loan Mortgage Corp. REMIC, Series K-F121, Class AS, 0.230% (30-DAY AVERAGE SOFR +0.180%), 8/25/2028 | 24,948,320 | |
10,652,881 | Federal Home Loan Mortgage Corp. REMIC, Series KF79, Class AL, 0.711% (1-month USLIBOR +0.470%), 5/25/2030 | 10,695,223 | |
2,382,921 | Federal Home Loan Mortgage Corp. REMIC, Series KF87, Class AL, 0.591% (1-month USLIBOR +0.350%), 8/25/2030 | 2,373,996 | |
21,460,077 | Federal Home Loan Mortgage Corp. REMIC, Series KF90, Class AL, 0.571% (1-month USLIBOR +0.330%), 9/25/2030 | 21,648,686 | |
20,659,746 | Federal Home Loan Mortgage Corp. REMIC, Series KF92, Class AL, 0.571% (1-month USLIBOR +0.330%), 10/25/2030 | 20,705,234 | |
18,957,397 | Federal Home Loan Mortgage Corp. REMIC, Series KF93, Class AL, 0.521% (1-month USLIBOR +0.280%), 10/25/2027 | 18,949,731 | |
31,150,886 | Federal Home Loan Mortgage Corp. REMIC, Series KF94, Class AL, 0.541% (1-month USLIBOR +0.300%), 11/25/2030 | 31,159,633 | |
50,836,033 | Federal Home Loan Mortgage Corp. REMIC, Series KF95, Class AL, 0.501% (1-month USLIBOR +0.260%), 11/25/2030 | 50,782,813 | |
29,341,519 | Federal Home Loan Mortgage Corp. REMIC, Series KF96, Class AL, 0.501% (1-month USLIBOR +0.260%), 12/25/2030 | 29,310,358 | |
55,726,442 | Federal Home Loan Mortgage Corp. REMIC, Series KF97, Class AS, 0.300% (30-DAY AVERAGE SOFR +0.250%), 12/25/2030 | 55,649,395 | |
29,984,198 | Federal Home Loan Mortgage Corp. REMIC, Series KF98, Class AL, 0.411% (1-month USLIBOR +0.170%), 12/25/2030 | 29,933,291 |
Principal Amount or Shares | Value | ||
1 | COLLATERALIZED MORTGAGE OBLIGATIONS— continued | ||
Federal Home Loan Mortgage Corporation— continued | |||
$ 13,700,328 | JP Morgan Mortgage Trust 2021-1, Class A11, 0.699% (30-DAY AVERAGE SOFR +0.650%), 6/25/2051 | $ 13,444,540 | |
TOTAL | 474,388,939 | ||
Federal National Mortgage Association— 1.0% | |||
18,304 | Federal National Mortgage Association, Class FB, 0.956% (1-month USLIBOR +0.500%), 8/25/2039 | 18,467 | |
92,304 | Federal National Mortgage Association REMIC, Series 2002-77, Class FA, 1.467% (1-month USLIBOR +1.000%), 12/18/2032 | 94,324 | |
214,873 | Federal National Mortgage Association REMIC, Series 2006-44, Class FK, 0.886% (1-month USLIBOR +0.430%), 6/25/2036 | 216,158 | |
1,103,727 | Federal National Mortgage Association REMIC, Series 2006-61, Class FQ, 0.856% (1-month USLIBOR +0.400%), 7/25/2036 | 1,109,571 | |
231,557 | Federal National Mortgage Association REMIC, Series 2006-79, Class DF, 0.806% (1-month USLIBOR +0.350%), 8/25/2036 | 232,454 | |
713,294 | Federal National Mortgage Association REMIC, Series 2006-81, Class FB, 0.806% (1-month USLIBOR +0.350%), 9/25/2036 | 716,141 | |
295,700 | Federal National Mortgage Association REMIC, Series 2006-119, Class CF, 0.756% (1-month USLIBOR +0.300%), 12/25/2036 | 296,387 | |
578,348 | Federal National Mortgage Association REMIC, Series 2006-W1, Class 2AF1, 0.676% (1-month USLIBOR +0.220%), 2/25/2046 | 571,009 | |
3,689,987 | Federal National Mortgage Association REMIC, Series 2007-22, Class FQ, 0.686% (1-month USLIBOR +0.230%), 3/25/2037 | 3,685,816 | |
378,220 | Federal National Mortgage Association REMIC, Series 2007-88, Class FY, 0.916% (1-month USLIBOR +0.460%), 9/25/2037 | 382,208 | |
203,904 | Federal National Mortgage Association REMIC, Series 2007-97, Class FE, 0.906% (1-month USLIBOR +0.450%), 7/25/2037 | 205,586 | |
101,119 | Federal National Mortgage Association REMIC, Series 2008-69, Class FB, 1.456% (1-month USLIBOR +1.000%), 6/25/2037 | 104,057 | |
254,928 | Federal National Mortgage Association REMIC, Series 2009-69, Class F, 1.306% (1-month USLIBOR +0.850%), 4/25/2037 | 260,831 | |
6,995,167 | Federal National Mortgage Association REMIC, Series 2010-111, Class FM, 0.856% (1-month USLIBOR +0.400%), 10/25/2040 | 7,029,446 | |
11,276,558 | Federal National Mortgage Association REMIC, Series 2016-24, Class FG, 0.806% (1-month USLIBOR +0.350%), 5/25/2046 | 11,310,714 | |
2,312,132 | Federal National Mortgage Association REMIC, Series 2017-24, Class FB, 0.806% (1-month USLIBOR +0.350%), 4/25/2047 | 2,312,347 | |
23,356,043 | Federal National Mortgage Association REMIC, Series 2018-85, Class FE, 0.756% (1-month USLIBOR +0.300%), 12/25/2048 | 23,387,721 | |
1,806,349 | Federal National Mortgage Association REMIC, Series 2019-31, Class FA, 0.856% (1-month USLIBOR +0.400%), 7/25/2049 | 1,815,684 | |
8,301,779 | Federal National Mortgage Association REMIC, Series 2020-47, Class FH, 0.856% (1-month USLIBOR +0.400%), 7/25/2050 | 8,301,948 |
Principal Amount or Shares | Value | ||
1 | COLLATERALIZED MORTGAGE OBLIGATIONS— continued | ||
Federal National Mortgage Association— continued | |||
$ 13,111,519 | Federal National Mortgage Association REMIC, Series 2020-68, Class FB, 0.756% (1-month USLIBOR +0.300%), 10/25/2060 | $ 13,106,671 | |
TOTAL | 75,157,540 | ||
Government National Mortgage Association— 0.9% | |||
6,266,579 | Government National Mortgage Association REMIC, Series 2005-41, Class FC, 0.748% (1-month USLIBOR +0.300%), 5/20/2035 | 6,270,299 | |
3,641,342 | Government National Mortgage Association REMIC, Series 2005-84, Class FA, 0.648% (1-month USLIBOR +0.200%), 11/20/2035 | 3,633,687 | |
3,075,370 | Government National Mortgage Association REMIC, Series 2007-21, Class F, 0.730% (1-month USLIBOR +0.300%), 4/16/2037 | 3,078,988 | |
4,350,485 | Government National Mortgage Association REMIC, Series 2012-H31, Class FA, 0.456% (1-month USLIBOR +0.350%), 11/20/2062 | 4,327,477 | |
1,796,514 | Government National Mortgage Association REMIC, Series 2013-26, Class GF, 0.748% (1-month USLIBOR +0.300%), 2/20/2043 | 1,798,010 | |
2,707,135 | Government National Mortgage Association REMIC, Series 2013-H16, Class FA, 0.646% (1-month USLIBOR +0.540%), 7/20/2063 | 2,701,862 | |
3,169,410 | Government National Mortgage Association REMIC, Series 2013-H17, Class FA, 0.656% (1-month USLIBOR +0.550%), 7/20/2063 | 3,164,178 | |
4,337,734 | Government National Mortgage Association REMIC, Series 2015-111, Class HF, 0.748% (1-month USLIBOR +0.300%), 8/20/2045 | 4,321,054 | |
3,959,740 | Government National Mortgage Association REMIC, Series 2017-133, Class FB, 0.680% (1-month USLIBOR +0.250%), 9/16/2047 | 3,949,118 | |
23,894,687 | Government National Mortgage Association REMIC, Series 2018-115, Class DF, 0.451% (1-month USLIBOR +0.300%), 8/20/2048 | 23,877,083 | |
13,064,375 | Government National Mortgage Association REMIC, Series 2020-83, Class FA, 0.848% (1-month USLIBOR +0.400%), 6/20/2039 | 13,148,226 | |
TOTAL | 70,269,982 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $620,835,447) | 619,816,461 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES— 1.8% | |||
Commercial Mortgage— 1.8% | |||
20,000,000 | 1 | BHMS Mortgage Trust 2018-ATLS, Class A, 1.646% (1-month USLIBOR +1.250%), 7/15/2035 | 19,775,034 |
30,000,000 | 1 | Cosmopolitan Hotel Trust 2017-CSMO, Class B, 1.796% (1-month USLIBOR +1.400%), 11/15/2036 | 29,850,000 |
14,053,523 | 1 | DBWF Mortgage Trust 2018-GLKS, Class A, 1.479% (1-month USLIBOR +1.030%), 12/19/2030 | 13,912,998 |
25,000,000 | 1 | DBWF Mortgage Trust 2018-GLKS, Class B, 1.799% (1-month USLIBOR +1.350%), 12/19/2030 | 24,718,785 |
38,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | 37,090,546 | |
14,051,428 | 1 | UBS-Barclays Commercial Mortgage Trust 2013-C6, Class A3FL, 1.141% (1-month USLIBOR +0.790%), 4/10/2046 | 13,994,237 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $141,248,582) | 139,341,600 |
Principal Amount or Shares | Value | ||
NON-AGENCY MORTGAGE-BACKED SECURITIES— 0.7% | |||
Non-Agency Mortgage— 0.7% | |||
$ 24,999,833 | BRASS PLC, Class A1, 0.669%, 4/16/2069 | $ 24,363,588 | |
119,020 | 1 | Countrywide Alternative Loan Trust 2005-51, Class 3AB3, 1.546% (1-month USLIBOR +1.100%), 11/20/2035 | 86,780 |
6,015,056 | 1 | Gosforth Funding PLC 2018-1A, Class A1, 0.947% (3-month USLIBOR +0.450%), 8/25/2060 | 6,015,531 |
70,171 | 1 | Impac CMB Trust 2004-7, Class 1A2, 1.376% (1-month USLIBOR +0.920%), 11/25/2034 | 68,499 |
126,831 | 1 | Impac CMB Trust 2004-9, Class 1A2, 1.336% (1-month USLIBOR +0.880%), 1/25/2035 | 123,154 |
9,100,000 | Lanark Master Issuer PLC 2020-1A, Class 1A, 2.277%, 12/22/2069 | 9,078,788 | |
197,543 | 1 | Mellon Residential Funding Corp. 2001-TBC1, Class A1, 1.096% (1-month USLIBOR +0.700%), 11/15/2031 | 193,086 |
567,980 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | ��� 565,323 | |
14,000,000 | 1 | Silverstone Master Issuer 2018-1A, Class 1A, 0.645% (3-month USLIBOR +0.390%), 1/21/2070 | 14,000,266 |
236,883 | 1 | Washington Mutual 2006-AR1, Class 2A1B, 1.211% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +1.070%), 1/25/2046 | 231,285 |
392,801 | 1 | Washington Mutual 2006-AR15, Class 1A, 0.981% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +0.840%), 11/25/2046 | 383,875 |
231,684 | 1 | Washington Mutual 2006-AR17, Class 1A, 0.924% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +0.820%), 12/25/2046 | 218,919 |
TOTAL NON-AGENCY MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $56,054,046) | 55,329,094 | ||
1 | ADJUSTABLE RATE MORTGAGES— 0.0% | ||
Federal National Mortgage Association— 0.0% | |||
471,814 | FNMA ARM, 1.475%, 8/1/2033 | 479,460 | |
53,895 | FNMA ARM, 1.487%, 5/1/2040 | 54,982 | |
29,176 | FNMA ARM, 2.441%, 4/1/2030 | 30,156 | |
407,334 | FNMA ARM, 2.445%, 7/1/2034 | 422,648 | |
TOTAL ADJUSTABLE RATE MORTGAGES (IDENTIFIED COST $974,679) | 987,246 | ||
MORTGAGE-BACKED SECURITY— 0.0% | |||
Federal National Mortgage Association— 0.0% | |||
334,166 | Federal National Mortgage Association, Pool 728568, 6.500%, 10/1/2033 (IDENTIFIED COST $353,276) | 374,609 | |
INVESTMENT COMPANIES— 6.6% | |||
37,358,740 | Bank Loan Core Fund | 353,787,263 | |
4,995,005 | Federated Hermes Conservative Microshort Fund | 49,750,250 | |
4,765,700 | Federated Hermes Government Obligations Fund, Premier Shares, 0.19%4 | 4,765,700 |
Principal Amount or Shares | Value | ||
INVESTMENT COMPANIES— continued | |||
103,670,978 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 0.34%4 | $ 103,629,510 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $519,532,909) | 511,932,723 | ||
TOTAL INVESTMENT IN SECURITIES—100.0% (IDENTIFIED COST $7,978,325,716)5 | 7,839,003,338 | ||
OTHER ASSETS AND LIABILITIES - NET—0.0%6 | 1,230,342 | ||
TOTAL NET ASSETS—100% | $7,840,233,680 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation |
Short Futures: | ||||
7United States Treasury Notes 2-Year Short Futures | 3,500 | $741,726,566 | June 2022 | $10,273,543 |
7United States Treasury Notes 5-Year Short Futures | 1,000 | $114,687,500 | June 2022 | $3,075,875 |
7United States Treasury Notes 10-Year Short Futures | 300 | $36,862,500 | June 2022 | $1,119,638 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $14,469,056 |
Settlement Date | Counterparty | Foreign Currency Units to Deliver/Receive | In Exchange For | Net Unrealized Appreciation | |
Contracts Sold: | |||||
4/21/2022 | HSBC Bank USA | 5,023,456 | EUR | $6,104,147 | $544,218 |
NET UNREALIZED APPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $544,218 |
Affiliates | Value as of 9/30/2021 | Purchases at Cost | Proceeds from Sales |
Bank Loan Core Fund | $285,749,679 | $119,346,544 | $(43,000,000) |
Federated Hermes Conservative Microshort Fund | $50,000,000 | $— | $— |
Federated Hermes Government Obligations Fund, Premier Shares* | $12,188,530 | $40,329,203 | $(47,752,033) |
Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares | $811,254,944 | $1,578,646,774 | $(2,286,093,005) |
High Yield Bond Core Fund | $109,929,673 | $993,524 | $(109,721,906) |
TOTAL OF AFFILIATED TRANSACTIONS | $1,269,122,826 | $1,739,316,045 | $(2,486,566,944) |
Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 3/31/2022 | Shares Held as of 3/31/2022 | Dividend Income | Gain Distributions Received |
$(9,916,573) | $1,607,613 | $353,787,263 | 37,358,740 | $8,846,543 | $— |
$(249,750) | $— | $49,750,250 | 4,995,005 | $85,957 | $— |
N/A | N/A | $4,765,700 | 4,765,700 | $1,101 | $— |
$152,675 | $(331,878) | $103,629,510 | 103,670,978 | $27,745 | $62,897 |
$(3,964,556) | $2,763,265 | $— | — | $1,125,495 | $— |
$(13,978,204) | $4,039,000 | $511,932,723 | 150,790,423 | $10,086,841 | $62,897 |
* | All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions. |
1 | Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above. |
2 | Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Directors”). |
3 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
4 | 7-day net yield. |
5 | Also represents cost of investments for federal tax purposes. |
6 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
7 | Non-income-producing security. |
The following is a summary of the inputs used, as of March 31, 2022, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Asset-Backed Securities | $— | $3,420,217,643 | $0 | $3,420,217,643 |
Corporate Bonds | — | 3,091,003,962 | — | 3,091,003,962 |
Collateralized Mortgage Obligations | — | 619,816,461 | — | 619,816,461 |
Commercial Mortgage-Backed Securities | — | 139,341,600 | — | 139,341,600 |
Non-Agency Mortgage-Backed Securities | — | 55,329,094 | — | 55,329,094 |
Adjustable Rate Mortgages | — | 987,246 | — | 987,246 |
Mortgage-Backed Security | — | 374,609 | — | 374,609 |
Investment Companies | 511,932,723 | — | — | 511,932,723 |
TOTAL SECURITIES | $511,932,723 | $7,327,070,615 | $0 | $7,839,003,338 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $14,469,056 | $— | $— | $14,469,056 |
Foreign Exchange Contracts | — | 544,218 | — | 544,218 |
TOTAL OTHER FINANCIAL INSTRUMENTS | $14,469,056 | $544,218 | $— | $15,013,274 |
The following acronym(s) are used throughout this portfolio: | ||
ARM | —Adjustable Rate Mortgage | |
BKNT | —Bank Notes | |
BSBY | —Bloomberg Short-Term Bank Yield Index | |
CMT | —Constant Maturity Treasury | |
EMTN | —Euro Medium Term Loan | |
EUR | —Euro Currency | |
FNMA | —Federal National Mortgage Association | |
GMTN | —Global Medium Term Note | |
LIBOR | —London Interbank Offered Rate | |
MTN | —Medium Term Note | |
NIM | —Net Interest Margin | |
REMIC | —Real Estate Mortgage Investment Conduit | |
SOFR | —Secured Overnight Financing Rate |
Six Months Ended (unaudited) 3/31/2022 | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $9.22 | $9.19 | $9.16 | $9.10 | $9.12 | $9.12 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.03 | 0.06 | 0.151 | 0.19 | 0.15 | 0.09 |
Net realized and unrealized gain (loss) | (0.15) | 0.04 | 0.03 | 0.06 | (0.02) | 0.002 |
Total From Investment Operations | (0.12) | 0.10 | 0.18 | 0.25 | 0.13 | 0.09 |
Less Distributions: | ||||||
Distributions from net investment income | (0.03) | (0.07) | (0.15) | (0.19) | (0.15) | (0.09) |
Net Asset Value, End of Period | $9.07 | $9.22 | $9.19 | $9.16 | $9.10 | $9.12 |
Total Return3 | (1.32)% | 1.07% | 2.03% | 2.79% | 1.39% | 1.04% |
Ratios to Average Net Assets: | ||||||
Net expenses4 | 0.51%5 | 0.51% | 0.56% | 0.91% | 0.91% | 0.92% |
Net investment income | 0.61%5 | 0.69% | 1.65% | 2.10% | 1.60% | 1.02% |
Expense waiver/reimbursement6 | 0.09%5 | 0.10% | 0.09% | 0.09% | 0.12% | 0.13% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $1,236,518 | $1,604,459 | $664,369 | $318,992 | $281,543 | $269,004 |
Portfolio turnover7 | 12% | 26% | 47% | 36% | 32% | 33% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Represents less than $0.01. |
3 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
7 | Securities that mature are considered sales for purposes of this calculation. |
Six Months Ended (unaudited) 3/31/2022 | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $9.22 | $9.19 | $9.15 | $9.09 | $9.12 | $9.11 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.04 | 0.08 | 0.171 | 0.24 | 0.20 | 0.14 |
Net realized and unrealized gain (loss) | (0.15) | 0.03 | 0.04 | 0.06 | (0.03) | 0.01 |
Total From Investment Operations | (0.11) | 0.11 | 0.21 | 0.30 | 0.17 | 0.15 |
Less Distributions: | ||||||
Distributions from net investment income | (0.04) | (0.08) | (0.17) | (0.24) | (0.20) | (0.14) |
Net Asset Value, End of Period | $9.07 | $9.22 | $9.19 | $9.15 | $9.09 | $9.12 |
Total Return2 | (1.25)% | 1.22% | 2.36% | 3.36% | 1.83% | 1.70% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.36%4 | 0.36% | 0.36% | 0.36% | 0.37% | 0.37% |
Net investment income | 0.76%4 | 0.85% | 1.91% | 2.65% | 2.17% | 1.58% |
Expense waiver/reimbursement5 | 0.07%4 | 0.08% | 0.09% | 0.08% | 0.12% | 0.13% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $5,711,406 | $6,845,790 | $3,669,765 | $3,248,715 | $3,237,960 | $2,629,099 |
Portfolio turnover6 | 12% | 26% | 47% | 36% | 32% | 33% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
6 | Securities that mature are considered sales for purposes of this calculation. |
Six Months Ended (unaudited) 3/31/2022 | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $9.22 | $9.19 | $9.15 | $9.10 | $9.12 | $9.11 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.03 | 0.06 | 0.161 | 0.21 | 0.16 | 0.10 |
Net realized and unrealized gain (loss) | (0.15) | 0.04 | 0.04 | 0.04 | (0.03) | 0.01 |
Total From Investment Operations | (0.12) | 0.10 | 0.20 | 0.25 | 0.13 | 0.11 |
Less Distributions: | ||||||
Distributions from net investment income | (0.03) | (0.07) | (0.16) | (0.20) | (0.15) | (0.10) |
Net Asset Value, End of Period | $9.07 | $9.22 | $9.19 | $9.15 | $9.10 | $9.12 |
Total Return2 | (1.29)% | 1.12% | 2.20% | 2.78% | 1.49% | 1.25% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.46%4 | 0.46% | 0.56% | 0.81% | 0.82% | 0.82% |
Net investment income | 0.67%4 | 0.76% | 1.80% | 2.20% | 1.72% | 1.09% |
Expense waiver/reimbursement5 | 0.07%4 | 0.09% | 0.10% | 0.13% | 0.15% | 0.16% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $15,513 | $16,322 | $17,458 | $74,205 | $53,156 | $33,431 |
Portfolio turnover6 | 12% | 26% | 47% | 36% | 32% | 33% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
6 | Securities that mature are considered sales for purposes of this calculation. |
Six Months Ended (unaudited) 3/31/2022 | Year Ended September 30, | Period Ended 9/30/20191 | ||
2021 | 2020 | |||
Net Asset Value, Beginning of Period | $9.22 | $9.19 | $9.15 | $9.12 |
Income From Investment Operations: | ||||
Net investment income (loss) | 0.04 | 0.08 | 0.162 | 0.08 |
Net realized and unrealized gain (loss) | (0.16) | 0.03 | 0.05 | 0.03 |
Total From Investment Operations | (0.12) | 0.11 | 0.21 | 0.11 |
Less Distributions: | ||||
Distributions from net investment income | (0.04) | (0.08) | (0.17) | (0.08) |
Net Asset Value, End of Period | $9.06 | $9.22 | $9.19 | $9.15 |
Total Return3 | (1.35)% | 1.23% | 2.37% | 1.23% |
Ratios to Average Net Assets: | ||||
Net expenses4 | 0.35%5 | 0.35% | 0.35% | 0.35%5 |
Net investment income | 0.78%5 | 0.85% | 1.70% | 2.65%5 |
Expense waiver/reimbursement6 | 0.04%5 | 0.05% | 0.06% | 0.06%5 |
Supplemental Data: | ||||
Net assets, end of period (000 omitted) | $876,796 | $805,078 | $313,440 | $30,911 |
Portfolio turnover7 | 12% | 26% | 47% | 36%8 |
1 | Reflects operations for the period from May 29, 2019 (date of initial investment) to September 30, 2019. |
2 | Per share numbers have been calculated using the average shares method. |
3 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | Computed on an annualized basis. |
6 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
7 | Securities that mature are considered sales for purposes of this calculation. |
8 | Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended September 30, 2019. |
March 31, 2022 (unaudited)
Assets: | |
Investment in securities, at value including $4,659,691 of securities loaned and $511,932,723 of investment in affiliated holdings* (identified cost $7,978,325,716) | $7,839,003,338 |
Cash | 4,632,888 |
Due from broker (Note 2) | 4,470,000 |
Income receivable | 9,881,651 |
Income receivable from affiliated holdings | 1,684,966 |
Receivable for investments sold | 50,673 |
Receivable for shares sold | 11,806,003 |
Unrealized appreciation on foreign exchange contracts | 544,218 |
Total Assets | 7,872,073,737 |
Liabilities: | |
Payable for investments purchased | 1,615,574 |
Payable for shares redeemed | 22,381,496 |
Payable for variation margin on futures contracts | 544,816 |
Payable for collateral due to broker for securities lending (Note 2) | 4,765,700 |
Income distribution payable | 1,514,608 |
Payable for investment adviser fee (Note 5) | 54,686 |
Payable for administrative fee (Note 5) | 16,803 |
Payable for other service fees (Notes 2 and 5) | 161,486 |
Accrued expenses (Note 5) | 784,888 |
Total Liabilities | 31,840,057 |
Net assets for 864,723,107 shares outstanding | $7,840,233,680 |
Net Assets Consist of: | |
Paid-in capital | $7,973,696,631 |
Total distributable earnings (loss) | (133,462,951) |
Total Net Assets | $7,840,233,680 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Class A Shares: | |
Net asset value per share ($1,236,518,166 ÷ 136,319,200 shares outstanding), $0.001 par value, 2,000,000,000 shares authorized | $9.07 |
Institutional Shares: | |
Net asset value per share ($5,711,406,491 ÷ 629,968,722 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $9.07 |
Service Shares: | |
Net asset value per share ($15,512,960 ÷ 1,710,470 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $9.07 |
Class R6 Shares: | |
Net asset value per share ($876,796,063 ÷ 96,724,715 shares outstanding), $0.001 par value, 500,000,000 shares authorized | $9.06 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended March 31, 2022 (unaudited)
Investment Income: | |
Interest | $39,928,882 |
Dividends (including $10,085,740 received from affiliated holdings*) | 10,148,636 |
Net income on securities loaned (includes $1,101 earned from affiliated holdings related to cash collateral balances) (Note 2) | 10,956 |
TOTAL INCOME | 50,088,474 |
Expenses: | |
Investment adviser fee (Note 5) | 13,313,981 |
Administrative fee (Note 5) | 3,476,118 |
Custodian fees | 125,540 |
Transfer agent fees (Note 2) | 1,879,522 |
Directors’/Trustees’ fees (Note 5) | 23,919 |
Auditing fees | 17,529 |
Legal fees | 4,594 |
Portfolio accounting fees | 122,939 |
Other service fees (Notes 2 and 5) | 1,147,208 |
Share registration costs | 190,544 |
Printing and postage | 42,497 |
Taxes | 100 |
Miscellaneous (Note 5) | 20,311 |
TOTAL EXPENSES | 20,364,802 |
Waiver and Reimbursements: | |
Waiver/reimbursement of investment adviser fee (Note 5) | (1,893,523) |
Reimbursement of other operating expenses (Notes 2 and 5) | (1,172,603) |
TOTAL WAIVER AND REIMBURSEMENTS | (3,066,126) |
Net expenses | 17,298,676 |
Net investment income | 32,789,798 |
Realized and Unrealized Gain (Loss) on Investments, Foreign Currency Transactions and Futures Contracts: | |
Net realized loss on investments (including net realized gain of $4,039,000 on sales of investments in affiliated holdings*) | $(1,352,650) |
Net realized gain on futures contracts | 28,650,996 |
Realized gain distribution from affiliated investment company shares | 62,897 |
Net change in unrealized appreciation of investments (including net change in unrealized appreciation of $(13,978,204) on investments in affiliated holdings*) | (186,315,278) |
Net change in unrealized appreciation of translation of assets and liabilities in foreign currency | (3,408) |
Net change in unrealized appreciation of foreign exchange contracts | 284,037 |
Net change in unrealized appreciation of futures contracts | 13,100,282 |
Net realized and unrealized gain (loss) on investments, foreign currency transactions, foreign exchange contracts and futures contracts | (145,573,124) |
Change in net assets resulting from operations | $(112,783,326) |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 3/31/2022 | Year Ended 9/30/2021 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $32,789,798 | $59,296,705 |
Net realized gain (loss) | 27,361,243 | 1,751,388 |
Net change in unrealized appreciation/depreciation | (172,934,367) | 17,322,326 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (112,783,326) | 78,370,419 |
Distributions to Shareholders: | ||
Class A Shares | (4,710,931) | (8,051,351) |
Institutional Shares | (25,043,819) | (48,074,615) |
Service Shares | (54,070) | (150,422) |
Class R6 Shares | (3,303,686) | (3,823,635) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (33,112,506) | (60,100,023) |
Share Transactions: | ||
Proceeds from sale of shares | 3,051,335,544 | 10,538,613,489 |
Net asset value of shares issued to shareholders in payment of distributions declared | 24,575,937 | 44,642,606 |
Cost of shares redeemed | (4,361,429,856) | (5,994,911,288) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (1,285,518,375) | 4,588,344,807 |
Change in net assets | (1,431,414,207) | 4,606,615,203 |
Net Assets: | ||
Beginning of period | 9,271,647,887 | 4,665,032,684 |
End of period | $7,840,233,680 | $9,271,647,887 |
Transfer Agent Fees Incurred | Transfer Agent Fees Reimbursed | |
Class A Shares | $486,340 | $(358,392) |
Institutional Shares | 1,360,268 | (812,023) |
Service Shares | 3,704 | (2,188) |
Class R6 Shares | 29,210 | — |
TOTAL | $1,879,522 | $(1,172,603) |
Other Service Fees Incurred | |
Class A Shares | $1,139,338 |
Service Shares | 7,870 |
TOTAL | $1,147,208 |
Market Value of Securities Loaned | Collateral Received |
$4,659,691 | $4,765,700 |
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 | $(14,469,056)* | |
Foreign exchange contracts | Unrealized appreciation on foreign exchange contracts | 544,218 | — | |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $544,218 | $(14,469,056) |
* | Includes cumulative appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $28,650,996 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||
Futures Contracts | Foreign Exchange Contracts | Total | |
Interest rate contracts | $13,100,282 | $— | $13,100,282 |
Foreign exchange contracts | — | 284,037 | 284,037 |
TOTAL | $13,100,282 | $284,037 | $13,384,319 |
Six Months Ended 3/31/2022 | Year Ended 9/30/2021 | |||
Class A Shares: | Shares | Amount | Shares | Amount |
Shares sold | 48,738,067 | $447,688,051 | 201,827,152 | $1,861,651,488 |
Shares issued to shareholders in payment of distributions declared | 508,383 | 4,652,266 | 858,231 | 7,915,352 |
Shares redeemed | (86,854,369) | (795,332,886) | (101,040,251) | (932,117,246) |
NET CHANGE RESULTING FROM CLASS A SHARE TRANSACTIONS | (37,607,919) | $(342,992,569) | 101,645,132 | $937,449,594 |
Six Months Ended 3/31/2022 | Year Ended 9/30/2021 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 241,494,363 | $2,213,653,029 | 855,553,995 | $7,886,479,001 |
Shares issued to shareholders in payment of distributions declared | 1,942,211 | 17,769,258 | 3,627,678 | 33,444,917 |
Shares redeemed | (355,925,898) | (3,259,301,994) | (516,136,185) | (4,758,535,990) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | (112,489,324) | $(1,027,879,707) | 343,045,488 | $3,161,387,928 |
Six Months Ended 3/31/2022 | Year Ended 9/30/2021 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 123,933 | $1,135,959 | 2,114,981 | $19,500,270 |
Shares issued to shareholders in payment of distributions declared | 5,714 | 52,256 | 15,877 | 146,377 |
Shares redeemed | (188,726) | (1,727,790) | (2,261,222) | (20,848,185) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (59,079) | $(539,575) | (130,364) | $(1,201,538) |
Six Months Ended 3/31/2022 | Year Ended 9/30/2021 | |||
Class R6 Shares: | Shares | Amount | Shares | Amount |
Shares sold | 42,496,180 | $388,858,505 | 83,611,976 | $770,982,730 |
Shares issued to shareholders in payment of distributions declared | 229,939 | 2,102,157 | 340,174 | 3,135,960 |
Shares redeemed | (33,329,887) | (305,067,186) | (30,745,078) | (283,409,867) |
NET CHANGE RESULTING FROM CLASS R6 SHARES TRANSACTIONS | 9,396,232 | $85,893,476 | 53,207,072 | $490,708,823 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (140,760,090) | $(1,285,518,375) | 497,767,328 | $4,588,344,807 |
Short-Term | Long-Term | Total |
$16,964,426 | $18,143,857 | $35,108,283 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Purchases | $1,029,951,170 |
Sales | $1,452,687,992 |
Beginning Account Value 10/1/2021 | Ending Account Value 3/31/2022 | Expenses Paid During Period1 | |
Actual: | |||
Class A Shares | $1,000 | $986.80 | $2.53 |
Institutional Shares | $1,000 | $987.50 | $1.78 |
Service Shares | $1,000 | $987.10 | $2.28 |
Class R6 Shares | $1,000 | $986.50 | $1.73 |
Hypothetical (assuming a 5% return before expenses): | |||
Class A Shares | $1,000 | $1,022.39 | $2.57 |
Institutional Shares | $1,000 | $1,023.14 | $1.82 |
Service Shares | $1,000 | $1,022.64 | $2.32 |
Class R6 Shares | $1,000 | $1,023.19 | $1.77 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Class A Shares | 0.51% |
Institutional Shares | 0.36% |
Service Shares | 0.46% |
Class R6 Shares | 0.35% |
Annual Evaluation of Adequacy and Effectiveness
IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31428Q747
CUSIP 31428Q754
CUSIP 31428Q713
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 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 May 23, 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 May 23, 2022
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date May 23, 2022