United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-7309
(Investment Company Act File Number)
Federated Hermes Total Return Government Bond Fund
______________________________________________________________
(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: 02/29/24
Date of Reporting Period: Six months ended 08/31/23
Item 1. | Reports to Stockholders |
![](https://capedge.com/proxy/N-CSRS/0001623632-23-001376/imga5297f521.gif)
Share Class | Ticker | Institutional | FTRGX | Service | FTGSX | R6 | FTGLX |
Federated Hermes Total Return Government Bond Fund
Dear Valued Shareholder,
![](https://capedge.com/proxy/N-CSRS/0001623632-23-001376/donahuechrissigsmall.jpg)
Type of Investments | Percentage of Total Net Assets |
U.S. Treasury Securities | 58.2% |
U.S. Government Agency Mortgage-Backed Securities2 | 36.1% |
U.S. Government Agency Securities | 3.6% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 1.3% |
Cash Equivalents3 | 4.2% |
Derivative Contracts4,5 | 0.0% |
Other Assets and Liabilities—Net6 | (3.4)% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of the principal types of securities in which the Fund invests. |
2 | For purposes of this table, Mortgage-Backed Securities may include mortgage-backed securities guaranteed by Government Sponsored Entities and adjustable rate mortgage-backed securities. |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
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 | Represents less than 0.1%. |
6 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
U.S. TREASURIES— 58.2% | |||
U.S. Treasury Bonds— 14.3% | |||
$ 2,200,000 | 2.500%, 2/15/2046 | $ 1,598,415 | |
6,700,000 | 2.750%, 8/15/2042 | 5,268,398 | |
9,000,000 | 3.375%, 11/15/2048 | 7,648,594 | |
3,000,000 | 3.375%, 8/15/2042 | 2,602,326 | |
1,950,000 | 3.375%, 5/15/2044 | 1,672,125 | |
1,000,000 | 3.500%, 2/15/2039 | 919,180 | |
4,500,000 | 3.625%, 2/15/2053 | 4,052,812 | |
2,600,000 | 3.625%, 5/15/2053 | 2,344,875 | |
1,500,000 | 3.875%, 5/15/2043 | 1,395,234 | |
1,000,000 | 4.000%, 11/15/2052 | 964,908 | |
2,000,000 | 4.125%, 8/15/2053 | 1,973,125 | |
TOTAL | 30,439,992 | ||
U.S. Treasury Notes— 43.9% | |||
1,500,000 | 0.250%, 8/31/2025 | 1,369,172 | |
8,500,000 | 0.500%, 3/31/2025 | 7,916,392 | |
1,500,000 | 0.750%, 5/31/2026 | 1,352,468 | |
4,000,000 | 1.125%, 10/31/2026 | 3,605,325 | |
3,500,000 | 1.250%, 9/30/2028 | 3,019,598 | |
1,500,000 | 2.000%, 6/30/2024 | 1,458,692 | |
3,500,000 | 2.250%, 3/31/2026 | 3,299,197 | |
2,100,000 | 2.250%, 11/15/2027 | 1,930,659 | |
7,500,000 | 2.375%, 5/15/2027 | 6,977,920 | |
1,000,000 | 2.375%, 3/31/2029 | 906,440 | |
12,000,000 | 2.750%, 4/30/2027 | 11,325,140 | |
6,750,000 | 2.750%, 5/31/2029 | 6,232,750 | |
4,000,000 | 3.375%, 5/15/2033 | 3,768,125 | |
3,000,000 | 3.500%, 1/31/2028 | 2,900,510 | |
2,000,000 | 3.500%, 1/31/2030 | 1,918,009 | |
2,000,000 | 3.500%, 4/30/2030 | 1,917,500 | |
1,500,000 | 3.625%, 3/31/2030 | 1,448,906 | |
4,000,000 | 3.750%, 4/15/2026 | 3,913,594 | |
1,250,000 | 3.750%, 6/30/2030 | 1,216,211 | |
2,000,000 | 3.875%, 11/30/2027 | 1,962,861 | |
2,000,000 | 3.875%, 11/30/2029 | 1,959,209 | |
500,000 | 3.875%, 8/15/2033 | 491,094 | |
4,000,000 | 4.000%, 12/15/2025 | 3,934,678 |
Principal Amount or Shares | Value | ||
U.S. TREASURIES— continued | |||
U.S. Treasury Notes— continued | |||
$ 2,000,000 | 4.000%, 6/30/2028 | $ 1,976,094 | |
3,000,000 | 4.375%, 8/15/2026 | 2,986,406 | |
5,000,000 | 4.625%, 6/30/2025 | 4,972,266 | |
8,800,000 | 4.750%, 7/31/2025 | 8,776,281 | |
TOTAL | 93,535,497 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $126,984,324) | 123,975,489 | ||
MORTGAGE-BACKED SECURITIES— 35.0% | |||
Federal Home Loan Mortgage Corporation— 8.3% | |||
1,248,002 | 2.500%, 1/1/2052 | 1,044,875 | |
587,471 | 3.000%, 12/1/2049 | 511,169 | |
4,167,531 | 3.000%, 3/1/2052 | 3,590,755 | |
569,079 | 3.500%, 1/1/2047 | 517,488 | |
5,621,267 | 3.500%, 2/1/2052 | 5,050,615 | |
509,093 | 4.000%, 5/1/2052 | 470,412 | |
3,662,218 | 5.000%, 10/1/2052 | 3,557,434 | |
2,839,902 | 5.500%, 9/1/2052 | 2,815,875 | |
TOTAL | 17,558,623 | ||
Federal National Mortgage Association— 20.3% | |||
4,600,458 | 2.000%, 2/1/2052 | 3,692,366 | |
1,664,807 | 2.000%, 3/1/2052 | 1,333,067 | |
1,745,099 | 2.500%, 1/1/2052 | 1,450,702 | |
2,341,051 | 2.500%, 2/1/2052 | 1,968,065 | |
4,590,635 | 2.500%, 4/1/2052 | 3,831,262 | |
2,798,925 | 3.000%, 7/1/2046 | 2,447,203 | |
5,127,434 | 3.000%, 5/1/2051 | 4,420,614 | |
6,514,163 | 3.000%, 2/1/2052 | 5,628,904 | |
2,214,098 | 3.000%, 6/1/2052 | 1,923,413 | |
661,314 | 3.500%, 1/1/2048 | 600,947 | |
6,259,567 | 3.500%, 12/1/2051 | 5,596,731 | |
1,469,330 | 4.000%, 4/1/2053 | 1,357,116 | |
2,828,522 | 4.500%, 2/1/2053 | 2,684,609 | |
20,444 | 5.000%, 1/1/2035 | 20,298 | |
7,851 | 5.500%, 6/1/2025 | 7,787 | |
3,460,848 | 5.500%, 11/1/2052 | 3,418,915 | |
10,704 | 6.000%, 4/1/2026 | 10,658 | |
29,526 | 6.000%, 7/1/2034 | 30,165 | |
2,795,731 | 6.000%, 12/1/2052 | 2,807,656 | |
TOTAL | 43,230,478 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Government National Mortgage Association— 0.0% | |||
$ 11,284 | 6.000%, 1/20/2029 | $ 11,335 | |
5,796 | 6.000%, 3/15/2032 | 5,816 | |
12,476 | 6.500%, 10/15/2031 | 12,727 | |
77 | 7.500%, 10/15/2026 | 78 | |
6,155 | 7.500%, 10/15/2027 | 6,271 | |
TOTAL | 36,227 | ||
1 | Uniform Mortgage-Backed Securities, TBA— 6.4% | ||
3,500,000 | 5.000%, 9/20/2053 | 3,405,842 | |
3,500,000 | 5.500%, 9/20/2053 | 3,465,547 | |
6,800,000 | 6.000%, 9/20/2053 | 6,821,484 | |
TOTAL | 13,692,873 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $75,747,951) | 74,518,201 | ||
GOVERNMENT AGENCIES— 3.6% | |||
Federal Home Loan Bank System— 2.8% | |||
6,000,000 | 5.000%, 2/28/2025 | 5,998,724 | |
Tennessee Valley Authority Bonds— 0.8% | |||
1,750,000 | 4.875%, 1/15/2048 | 1,704,747 | |
TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST $8,645,654) | 7,703,471 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS— 2.4% | |||
Agency Commercial Mortgage-Backed Securities— 1.3% | |||
1,076,000 | FHLMC REMIC, Series K151, Class A2, 3.800%, 10/25/2032 | 992,492 | |
2,000,000 | FHLMC REMIC, Series K750, Class A2, 3.000%, 9/25/2029 | 1,812,798 | |
TOTAL | 2,805,290 | ||
2 | Federal Home Loan Mortgage Corporation— 0.2% | ||
19,159 | REMIC, Series 2411, Class FJ, 5.652% (30-DAY AVERAGE SOFR +0.350%), 12/15/2029 | 18,935 | |
61,437 | REMIC, Series 2458, Class FB, 6.302% (30-DAY AVERAGE SOFR +1.000%), 1/15/2032 | 61,521 | |
10,758 | REMIC, Series 2534, Class FI, 6.202% (30-DAY AVERAGE SOFR +0.900%), 2/15/2032 | 10,742 | |
275,282 | REMIC, Series 3322, Class FB, 5.692% (30-DAY AVERAGE SOFR +0.390%), 5/15/2037 | 268,158 | |
TOTAL | 359,356 | ||
2 | Federal National Mortgage Association— 0.2% | ||
52,793 | REMIC, Series 370, Class F21, 5.702% (30-DAY AVERAGE SOFR +0.300%), 6/25/2036 | 51,578 | |
11,393 | REMIC, Series 1999-51, Class F, 5.682% (30-DAY AVERAGE SOFR +0.500%), 9/17/2029 | 11,377 |
Principal Amount or Shares | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS— continued | |||
2 | Federal National Mortgage Association— continued | ||
$ 82,299 | REMIC, Series 2006-58, Class FP, 5.702% (30-DAY AVERAGE SOFR +0.300%), 7/25/2036 | $ 80,490 | |
143,074 | REMIC, Series 2006-85, Class PF, 5.782% (30-DAY AVERAGE SOFR +0.494%), 9/25/2036 | 140,504 | |
117,407 | REMIC, Series 2007-46, Class FA, 5.772% (30-DAY AVERAGE SOFR +0.370%), 5/25/2037 | 112,631 | |
TOTAL | 396,580 | ||
Government National Mortgage Association— 0.7% | |||
753,764 | REMIC, Series 2015-47, Class AE, 2.900%, 11/16/2055 | 696,935 | |
1,082,459 | REMIC, Series 2016-11, Class A, 2.500%, 8/16/2054 | 878,590 | |
TOTAL | 1,575,525 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $5,409,477) | 5,136,751 | ||
ADJUSTABLE RATE MORTGAGE— 0.0% | |||
Federal Home Loan Mortgage Corporation ARM— 0.0% | |||
13,278 | 2 | 5.965%, 7/1/2035 (IDENTIFIED COST $13,150) | 13,372 |
INVESTMENT COMPANY— 4.2% | |||
8,855,791 | Federated Hermes Government Obligations Fund, Premier Shares, 5.23%3 (IDENTIFIED COST $8,855,791) | 8,855,791 | |
TOTAL INVESTMENT IN SECURITIES—103.4% (IDENTIFIED COST $225,656,347)4 | 220,203,075 | ||
OTHER ASSETS AND LIABILITIES - NET—(3.4)%5 | (7,297,820) | ||
TOTAL NET ASSETS—100% | $212,905,255 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
United States Treasury Notes 2-Year Long Futures | 26 | $5,298,922 | December 2023 | $16,995 |
United States Treasury Notes 5-Year Long Futures | 43 | $4,597,641 | December 2023 | $32,153 |
United States Treasury Notes 10-Year Long Futures | 64 | $7,106,000 | December 2023 | $61,104 |
Short Futures: | ||||
United States Treasury Notes Short Futures | 11 | $1,338,563 | December 2023 | $(15,838) |
United States Treasury Notes 10-Year Ultra Short Futures | 21 | $2,438,297 | December 2023 | $(25,791) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $68,623 |
Federated Hermes Government Obligations Fund, Premier Shares* | |
Value as of 2/28/2023 | $1,732,169 |
Purchases at Cost | $66,679,388 |
Proceeds from Sales | $(59,555,766) |
Change in Unrealized Appreciation/Depreciation | $— |
Net Realized Gain/(Loss) | $— |
Value as of 8/31/2023 | $8,855,791 |
Shares Held as of 8/31/2023 | 8,855,791 |
Dividend Income | $78,421 |
* | All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions. |
1 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
2 | Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above. |
3 | 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. |
The following is a summary of the inputs used, as of August 31, 2023, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
U.S. Treasuries | $— | $123,975,489 | $— | $123,975,489 |
Mortgage-Backed Securities | — | 74,518,201 | — | 74,518,201 |
Government Agencies | — | 7,703,471 | — | 7,703,471 |
Collateralized Mortgage Obligations | — | 5,136,751 | — | 5,136,751 |
Adjustable Rate Mortgage | — | 13,372 | — | 13,372 |
Investment Company | 8,855,791 | — | — | 8,855,791 |
TOTAL SECURITIES | $8,855,791 | $211,347,284 | $— | $220,203,075 |
Other Financial Instruments:1 | ||||
Assets | $110,252 | $— | $— | $110,252 |
Liabilities | (41,629) | — | — | (41,629) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $68,623 | $— | $— | $68,623 |
1 | Other financial instruments are futures contracts. |
The following acronym(s) are used throughout this portfolio: | ||
ARM | —Adjustable Rate Mortgage | |
FHLMC | —Federal Home Loan Mortgage Corporation | |
REMIC | —Real Estate Mortgage Investment Conduit | |
SOFR | —Secured Overnight Financing Rate |
Six Months Ended (unaudited) 8/31/2023 | Year Ended February 28 or 29, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $9.61 | $10.94 | $11.40 | $11.49 | $10.60 | $10.52 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.17 | 0.27 | 0.15 | 0.16 | 0.28 | 0.25 |
Net realized and unrealized gain (loss) | (0.15) | (1.33) | (0.45) | (0.06) | 0.88 | 0.09 |
Total From Investment Operations | 0.02 | (1.06) | (0.30) | 0.10 | 1.16 | 0.34 |
Less Distributions: | ||||||
Distributions from net investment income | (0.17) | (0.27) | (0.16) | (0.19) | (0.27) | (0.26) |
Distributions from net realized gain | — | — | — | (0.00)1 | — | — |
Total Distributions | (0.17) | (0.27) | (0.16) | (0.19) | (0.27) | (0.26) |
Net Asset Value, End of Period | $9.46 | $9.61 | $10.94 | $11.40 | $11.49 | $10.60 |
Total Return2 | 0.20% | (9.77)% | (2.67)% | 0.81% | 11.09% | 3.23% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.32%4 | 0.32% | 0.32% | 0.32% | 0.32% | 0.32% |
Net investment income | 3.55%4 | 2.60% | 1.35% | 1.37% | 2.50% | 2.34% |
Expense waiver/reimbursement5 | 0.25%4 | 0.21% | 0.20% | 0.21% | 0.24% | 0.24% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $129,962 | $121,669 | $194,192 | $332,947 | $206,860 | $168,365 |
Portfolio turnover6 | 67% | 138% | 88% | 139% | 56% | 90% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions)6 | 65% | 121% | 48% | 42% | 49% | 90% |
1 | Represents less than $0.01. |
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) 8/31/2023 | Year Ended February 28 or 29, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $9.61 | $10.94 | $11.40 | $11.49 | $10.60 | $10.51 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.16 | 0.23 | 0.11 | 0.15 | 0.24 | 0.21 |
Net realized and unrealized gain (loss) | (0.16) | (1.33) | (0.45) | (0.09) | 0.88 | 0.10 |
Total From Investment Operations | — | (1.10) | (0.34) | 0.06 | 1.12 | 0.31 |
Less Distributions: | ||||||
Distributions from net investment income | (0.16) | (0.23) | (0.12) | (0.15) | (0.23) | (0.22) |
Distributions from net realized gain | — | — | — | (0.00)1 | — | — |
Total Distributions | (0.16) | (0.23) | (0.12) | (0.15) | (0.23) | (0.22) |
Net Asset Value, End of Period | $9.45 | $9.61 | $10.94 | $11.40 | $11.49 | $10.60 |
Total Return2 | (0.07)% | (10.08)% | (3.00)% | 0.46% | 10.71% | 2.98% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.66%4 | 0.66% | 0.66% | 0.66% | 0.66% | 0.66% |
Net investment income | 3.21%4 | 2.20% | 1.00% | 1.27% | 2.17% | 2.01% |
Expense waiver/reimbursement5 | 0.36%4 | 0.36% | 0.34% | 0.36% | 0.38% | 0.38% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $15,126 | $15,964 | $41,955 | $49,006 | $50,716 | $50,706 |
Portfolio turnover6 | 67% | 138% | 88% | 139% | 56% | 90% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions)6 | 65% | 121% | 48% | 42% | 49% | 90% |
1 | Represents less than $0.01. |
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) 8/31/2023 | Year Ended February 28 or 29, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net Asset Value, Beginning of Period | $9.61 | $10.94 | $11.40 | $11.49 | $10.60 | $10.51 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.17 | 0.27 | 0.15 | 0.19 | 0.28 | 0.25 |
Net realized and unrealized gain (loss) | (0.15) | (1.33) | (0.45) | (0.09) | 0.88 | 0.10 |
Total From Investment Operations | 0.02 | (1.06) | (0.30) | 0.10 | 1.16 | 0.35 |
Less Distributions: | ||||||
Distributions from net investment income | (0.17) | (0.27) | (0.16) | (0.19) | (0.27) | (0.26) |
Distributions from net realized gain | — | — | — | (0.00)1 | — | — |
Total Distributions | (0.17) | (0.27) | (0.16) | (0.19) | (0.27) | (0.26) |
Net Asset Value, End of Period | $9.46 | $9.61 | $10.94 | $11.40 | $11.49 | $10.60 |
Total Return2 | 0.21% | (9.76)% | (2.66)% | 0.82% | 11.10% | 3.34% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.31%4 | 0.31% | 0.31% | 0.31% | 0.31% | 0.31% |
Net investment income | 3.57%4 | 2.70% | 1.34% | 1.61% | 2.52% | 2.39% |
Expense waiver/reimbursement5 | 0.20%4 | 0.18% | 0.15% | 0.17% | 0.20% | 0.21% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $67,817 | $50,845 | $39,150 | $36,028 | $30,658 | $26,828 |
Portfolio turnover6 | 67% | 138% | 88% | 139% | 56% | 90% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions)6 | 65% | 121% | 48% | 42% | 49% | 90% |
1 | Represents less than $0.01. |
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. |
August 31, 2023 (unaudited)
Assets: | |
Investment in securities, at value including $8,855,791 of investments in affiliated holdings* (identified cost $225,656,347, including $8,855,791 of identified cost in affiliated holdings) | $220,203,075 |
Due from broker (Note 2) | 78,000 |
Income receivable | 1,143,554 |
Income receivable from affiliated holdings | 22,879 |
Receivable for investments sold | 8,734,110 |
Receivable for shares sold | 58,515 |
Receivable for variation margin on futures contracts | 47,753 |
Total Assets | 230,287,886 |
Liabilities: | |
Payable for investments purchased | 16,545,456 |
Payable for shares redeemed | 606,359 |
Income distribution payable | 174,090 |
Payable for investment adviser fee (Note 5) | 428 |
Payable for administrative fee (Note 5) | 453 |
Payable for distribution services fee (Note 5) | 1,264 |
Payable for other service fees (Notes 2 and 5) | 3,902 |
Accrued expenses (Note 5) | 50,679 |
Total Liabilities | 17,382,631 |
Net assets for 22,509,717 shares outstanding | $212,905,255 |
Net Assets Consist of: | |
Paid-in capital | $249,501,143 |
Total distributable earnings (loss) | (36,595,888) |
Total Net Assets | $212,905,255 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Institutional Shares: | |
Net asset value per share ($129,962,426 ÷ 13,738,559 shares outstanding), no par value, unlimited shares authorized | $9.46 |
Service Shares: | |
Net asset value per share ($15,125,942 ÷ 1,600,081 shares outstanding), no par value, unlimited shares authorized | $9.45 |
Class R6 Shares: | |
Net asset value per share ($67,816,887 ÷ 7,171,077 shares outstanding), no par value, unlimited shares authorized | $9.46 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended August 31, 2023 (unaudited)
Investment Income: | |
Interest | $3,573,045 |
Dividends received from affiliated holdings* | 78,421 |
TOTAL INCOME | 3,651,466 |
Expenses: | |
Investment adviser fee (Note 5) | 234,796 |
Administrative fee (Note 5) | 73,832 |
Custodian fees | 6,950 |
Transfer agent fees (Note 2) | 53,509 |
Directors’/Trustees’ fees (Note 5) | 4,021 |
Auditing fees | 16,598 |
Legal fees | 5,738 |
Portfolio accounting fees | 64,809 |
Distribution services fee (Note 5) | 19,807 |
Other service fees (Notes 2 and 5) | 17,312 |
Share registration costs | 31,373 |
Printing and postage | 12,522 |
Miscellaneous (Note 5) | 16,321 |
TOTAL EXPENSES | 557,588 |
Waivers and Reimbursements: | |
Waiver/reimbursement of investment adviser fee (Note 5) | (190,529) |
Waiver/reimbursement of other operating expenses (Notes 2 and 5) | (37,744) |
TOTAL WAIVERS AND REIMBURSEMENTS | (228,273) |
Net expenses | 329,315 |
Net investment income | 3,322,151 |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net realized loss on investments | (10,520,850) |
Net realized loss on futures contracts | (411,951) |
Net change in unrealized depreciation of investments | 7,965,661 |
Net change in unrealized appreciation of futures contracts | 57,510 |
Net realized and unrealized gain (loss) on investments and futures contracts | (2,909,630) |
Change in net assets resulting from operations | $412,521 |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 8/31/2023 | Year Ended 2/28/2023 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $3,322,151 | $5,622,622 |
Net realized gain (loss) | (10,932,801) | (17,195,073) |
Net change in unrealized appreciation/depreciation | 8,023,171 | (13,436,750) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 412,521 | (25,009,201) |
Distributions to Shareholders: | ||
Institutional Shares | (2,065,317) | (3,836,678) |
Service Shares | (253,364) | (703,949) |
Class R6 Shares | (982,723) | (1,096,506) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (3,301,404) | (5,637,133) |
Share Transactions: | ||
Proceeds from sale of shares | 59,340,132 | 111,433,235 |
Net asset value of shares issued to shareholders in payment of distributions declared | 2,563,507 | 4,702,943 |
Cost of shares redeemed | (34,587,522) | (172,308,711) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 27,316,117 | (56,172,533) |
Change in net assets | 24,427,234 | (86,818,867) |
Net Assets: | ||
Beginning of period | 188,478,021 | 275,296,888 |
End of period | $212,905,255 | $188,478,021 |
Transfer Agent Fees Incurred | Transfer Agent Fees Reimbursed | |
Institutional Shares | $43,345 | $(25,482) |
Service Shares | 4,506 | — |
Class R6 Shares | 5,658 | — |
TOTAL | $53,509 | $(25,482) |
Other Service Fees Incurred | |
Service Shares | $17,312 |
Fair Value of Derivative Instruments | ||
Assets | ||
Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||
Interest rate contracts | Receivable for variation margin on futures contracts | $68,623* |
* | 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 | $(411,951) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $57,510 |
Six Months Ended 8/31/2023 | Year Ended 2/28/2023 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 3,460,640 | $32,820,627 | 7,914,157 | $79,007,039 |
Shares issued to shareholders in payment of distributions declared | 167,749 | 1,620,223 | 302,205 | 2,992,513 |
Shares redeemed | (2,545,641) | (24,647,680) | (13,309,404) | (133,833,263) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | 1,082,748 | $9,793,170 | (5,093,042) | $(51,833,711) |
Six Months Ended 8/31/2023 | Year Ended 2/28/2023 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 108,182 | $1,043,890 | 275,749 | $2,785,329 |
Shares issued to shareholders in payment of distributions declared | 23,657 | 228,333 | 65,066 | 646,750 |
Shares redeemed | (193,474) | (1,864,905) | (2,514,412) | (24,808,997) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (61,635) | $(592,682) | (2,173,597) | $(21,376,918) |
Six Months Ended 8/31/2023 | Year Ended 2/28/2023 | |||
Class R6 Shares: | Shares | Amount | Shares | Amount |
Shares sold | 2,642,448 | $25,475,615 | 2,970,444 | $29,640,867 |
Shares issued to shareholders in payment of distributions declared | 74,052 | 714,951 | 107,533 | 1,063,680 |
Shares redeemed | (835,075) | (8,074,937) | (1,367,104) | (13,666,451) |
NET CHANGE RESULTING FROM CLASS R6 SHARE TRANSACTIONS | 1,881,425 | $18,115,629 | 1,710,873 | $17,038,096 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 2,902,538 | $27,316,117 | (5,555,766) | $(56,172,533) |
Short-Term | Long-Term | Total |
$15,936,503 | $4,013,855 | $19,950,358 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Distribution Services Fees Incurred | Distribution Services Fees Waived | |
Service Shares | $19,807 | $(12,262) |
Beginning Account Value 3/1/2023 | Ending Account Value 8/31/2023 | Expenses Paid During Period1 | |
Actual: | |||
Institutional Shares | $1,000 | $1,002.00 | $1.61 |
Service Shares | $1,000 | $999.30 | $3.33 |
Class R6 Shares | $1,000 | $1,002.10 | $1.56 |
Hypothetical (assuming a 5% return before expenses): | |||
Institutional Shares | $1,000 | $1,023.59 | $1.63 |
Service Shares | $1,000 | $1,021.88 | $3.36 |
Class R6 Shares | $1,000 | $1,023.64 | $1.58 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Institutional Shares | 0.32% |
Service Shares | 0.66% |
Class R6 Shares | 0.31% |
Annual Evaluation of Adequacy and Effectiveness
IMPORTANT NOTICE ABOUT FUND DOCUMENT DELIVERY
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Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31429A204
CUSIP 31429A303
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 Government Bond Fund
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date October 24, 2023
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 October 24, 2023
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date October 24, 2023