United States
Securities and Exchange Commission
Washington, D.C. 20549
Form
Certified Shareholder Report of Registered Management Investment Companies
811-8519
(Investment Company Act File Number)
(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: 2024-12-31
Date of Reporting Period:
| Item 1. | Reports to Stockholders |
| Item 2. | Code of Ethics |
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.
(c) There was no amendment to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(d) There was no waiver granted, either actual or implicit, from a provision to the registrant’s code of ethics described in Item 2(a) above during the period covered by the report.
(e) Not Applicable
(f)(3) The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant at 1-800-341-7400, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.
| Item 3. | Audit Committee Financial Expert |
The registrant’s Board has determined that each of the following members of the Board’s Audit Committee is an “audit committee financial expert,” and is “independent,” for purposes of this Item 3: John G. Carson, Thomas M. O’Neill and John S. Walsh.
| Item 4. | Principal Accountant Fees and Services |
(a) Audit Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2024 – $162,637
Fiscal year ended 2023 - $156,382
(b) Audit-Related Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2024 - $0
Fiscal year ended 2023 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $1,625 and $0 respectively. Fiscal year ended 2024- Travel expenses for attendance at Board meeting.
(c) Tax Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2024 - $0
Fiscal year ended 2023 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(d) All Other Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2024 - $0
Fiscal year ended 2023 - $0
Amount requiring approval of the registrant’s Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $28,965 respectively. Fiscal year ended 2023- Service fees for analysis of potential Passive Foreign Investment Company holdings.
(e)(1) Audit Committee Policies regarding Pre-approval of Services.
The Audit Committee is required to pre-approve audit and non-audit services performed by the independent auditor in order to assure that the provision of such services do not impair the auditor’s independence. The Audit Committee is required to pre-concur with independence conclusions made by the independent auditor regarding non-audit services to be provided by the independent auditor to the Funds, the Funds Board of Directors, or any entity that is controlled directly or indirectly by the Funds. Unless a type of service to be provided by the independent auditor has received general pre-approval, it will require specific pre-approval(and pre-concurrence for non-audit services) by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
Certain services have the general pre-approval of the Audit Committee. The term of the general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee specifically provides for a different period. The Audit Committee will annually review the services that may be provided by the independent auditor without obtaining specific pre-approval from the Audit Committee and may grant general pre-approval for such services. The Audit Committee will revise the list of general pre-approved services from time to time, based on subsequent determinations. The Audit Committee will not delegate to management its responsibilities to pre-approve services performed by the independent auditor.
The Audit Committee has delegated pre-approval/pre-concurrence authority to its chairman (the “Chairman”) for services that do not exceed a specified dollar threshold. The Chairman or Chief Audit Executive will report any such pre-approval/pre-concurrence decisions to the Audit Committee at its next scheduled meeting. The Committee will designate another member with such pre-approval/pre-concurrence authority when the Chairman is unavailable.
AUDIT SERVICES
The annual audit services engagement terms and fees will be subject to the specific pre-approval of the Audit Committee. The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope, registered investment company (RIC) structure or other matters.
In addition to the annual audit services engagement specifically approved by the Audit Committee, the Audit Committee may grant general pre-approval for other audit services, which are those services that only the independent auditor reasonably can provide. The Audit Committee has pre-approved certain audit services; with limited exception, all other audit services must be specifically pre-approved by the Audit Committee.
AUDIT-RELATED SERVICES
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the RIC’s financial statements or that are traditionally performed by the independent auditor. The Audit Committee believes that the provision of audit-related services does not impair the independence of the auditor, and has pre-approved certain audit-related services; all other audit-related services must be specifically pre-approved by the Audit Committee.
TAX SERVICES
The Audit Committee believes that the independent auditor can provide tax services to the RIC such as tax compliance, tax planning and tax advice without impairing the auditor’s independence. However, the Audit Committee will not permit the retention of the independent auditor in connection with a transaction initially recommended by the independent auditor, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has pre-approved/pre-concurred certain tax services; with limited exception, all tax services involving large and complex transactions must be specifically pre-approved/pre-concurred by the Audit Committee.
ALL OTHER SERVICES
With respect to the provision of permissible services other than audit, review or attest services the pre-approval/pre-concurrence requirement is waived if:
(1) With respect to such services rendered to the Funds, the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues paid by the audit client to its accountant during the fiscal year in which the services are provided; and,
(2) With respect to such services rendered to the Fund’s investment adviser ( the “Adviser”)and any entity controlling, controlled by to under common control with the Adviser such as affiliated non-U.S. and U.S. funds not under the Audit Committee’s purview and which do not fall within a category of service which has been determined by the Audit Committee not to have a direct impact on the operations or financial reporting of the RIC, the aggregate amount of all services provided constitutes no more than five percent of the total amount of revenues paid to the RIC’s auditor by the RIC, its Adviser and any entity controlling, controlled by, or under common control with the Adviser during the fiscal year in which the services are provided; and
(3) Such services were not recognized by the issuer or RIC at the time of the engagement to be non-audit services; and
(4) Such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee who are members of the Board of Directors to whom authority to grant such approvals has been delegated by the Audit Committee.
The Audit Committee may grant general pre-approval/pre-concurrence to those permissible non-audit services which qualify for pre-approval and which it believes are routine and recurring services, and would not impair the independence of the auditor.
The Securities and Exchange Commission’s (the “SEC”) rules and relevant guidance should be consulted to determine the precise definitions of these services and applicability of exceptions to certain of the prohibitions.
PRE-APPROVAL FEE LEVELS
Pre-approval fee levels for all services to be provided by the independent auditor will be established annually by the Audit Committee. Any proposed services exceeding these levels will require specific pre-approval by the Audit Committee.
PROCEDURES
Requests or applications to provide services that require specific approval/concurrence by the Audit Committee will be submitted to the Audit Committee by the Fund’s Principal Accounting Officer and/or the Chief Audit Executive of Federated Hermes, Inc., only after those individuals have determined that the request or application is consistent with the SEC’s rules on auditor independence.
(e)(2) Percentage of services identified in items 4(b) through 4(d) that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:
4(b)
Fiscal year ended 2024 – 0%
Fiscal year ended 2023 - 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(c)
Fiscal year ended 2024 – 0%
Fiscal year ended 2023 – 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(d)
Fiscal year ended 2024 – 0%
Fiscal year ended 2023 – 0%
Percentage of services provided to the registrant’s Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
(f) NA
(g) Non-Audit Fees billed to the registrant, the registrant’s Adviser, and certain entities controlling, controlled by or under common control with the Adviser:
Fiscal year ended 2024 - $218,008
Fiscal year ended 2023 - $193,176
(h) The registrant’s Audit Committee has considered that the provision of non-audit services that were rendered to the registrant’s Adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
| Item 5. | Audit Committee of Listed Registrants |
Not Applicable
| Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Financial Statements filed under Item 7 of this form.
(b) Not Applicable
| Item 7. | Financial Statements and Financial Highlights for Open-End Management Companies |
Annual Financial Statements
and Additional Information
and Additional Information
December 31, 2024
High Yield Bond Core Fund
A Portfolio of Federated Hermes Core Trust
Not FDIC Insured ▪ May
Lose Value ▪ No Bank Guarantee
CONTENTS
Portfolio
of Investments
December 31, 2024
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
CORPORATE
BONDS—95.2% |
|
|
|
|
Aerospace/Defense—1.7%
|
|
|
$ 725,000
|
|
Goat
Holdco, LLC, 144A, 6.750%, 2/1/2032 |
$ 718,718
|
|
2,525,000
|
|
TransDigm,
Inc., 144A, 6.375%, 3/1/2029 |
2,533,766
|
|
4,250,000
|
|
TransDigm,
Inc., 1st Priority Sr. Secd. Note, 144A, 6.625%, 3/1/2032 |
4,293,672
|
|
425,000
|
|
TransDigm,
Inc., Sec. Fac. Bond, 144A, 6.000%, 1/15/2033 |
416,861
|
|
1,825,000
|
|
TransDigm,
Inc., Sec. Fac. Bond, 144A, 6.750%, 8/15/2028 |
1,843,202
|
|
4,525,000
|
|
TransDigm,
Inc., Sec. Fac. Bond, 144A, 6.875%, 12/15/2030 |
4,595,521
|
|
1,100,000
|
|
TransDigm,
Inc., Sr. Sub., Series WI, 5.500%, 11/15/2027 |
1,081,800
|
|
|
|
TOTAL
|
15,483,540
|
|
|
|
Airlines—0.2%
|
|
|
1,487,500
|
|
American
Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A, 5.500%, 4/20/2026 |
1,483,867
|
|
|
|
Automotive—5.7%
|
|
|
3,800,000
|
|
Adient
Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026 |
3,746,848
|
|
825,000
|
|
Adient
Global Holdings Ltd., Sr. Unsecd. Note, 144A, 8.250%, 4/15/2031 |
844,028
|
|
450,000
|
|
Adient
Global Holdings Ltd., Term Loan - 1st Lien, 144A, 7.000%, 4/15/2028 |
455,690
|
|
8,025,000
|
|
Clarios
Global LP / Clarios US Finance Co., Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027 |
8,052,253
|
|
1,325,000
|
|
Clarios
Global LP, Sec. Fac. Bond, 144A, 6.750%, 5/15/2028 |
1,350,174
|
|
4,050,000
|
|
Dornoch
Debt Merger Sub., Inc., Sr. Unsecd. Note, 144A, 6.625%, 10/15/2029 |
3,284,890
|
|
6,825,000
|
|
Ford
Motor Credit Co. LLC, Sr. Unsecd. Note, 3.375%, 11/13/2025 |
6,720,976
|
|
3,700,000
|
|
Ford
Motor Credit Co. LLC, Sr. Unsecd. Note, 4.000%, 11/13/2030 |
3,335,490
|
|
2,000,000
|
|
Ford
Motor Credit Co. LLC, Sr. Unsecd. Note, 4.125%, 8/17/2027 |
1,934,730
|
|
3,725,000
|
|
Ford
Motor Credit Co. LLC, Sr. Unsecd. Note, 5.113%, 5/3/2029 |
3,631,550
|
|
3,175,000
|
|
Ford
Motor Credit Co. LLC, Sr. Unsecd. Note, 5.125%, 6/16/2025 |
3,173,907
|
|
3,525,000
|
|
Ford
Motor Credit Co. LLC, Sr. Unsecd. Note, Series GMTN, 4.389%, 1/8/2026 |
3,498,843
|
|
1,675,000
|
|
IHO
Verwaltungs GmbH, 144A, 8.000%, 11/15/2032 |
1,688,425
|
|
3,950,000
|
|
IHO
Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029 |
3,818,611
|
|
1,575,000
|
|
JB
Poindexter & Co., Inc., Sr. Unsecd. Note, 144A, 8.750%, 12/15/2031 |
1,659,856
|
|
3,875,000
|
|
Real
Hero Merger Sub 2, Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/1/2029 |
3,335,083
|
|
400,000
|
|
ZF
North America Capital, Inc., Sr. Unsecd. Note, 144A, 6.750%, 4/23/2030 |
385,092
|
|
1,500,000
|
|
ZF
North America Capital, Inc., Sr. Unsecd. Note, 144A, 6.875%, 4/14/2028 |
1,496,994
|
|
600,000
|
|
ZF
North America Capital, Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/14/2030 |
589,613
|
|
|
|
TOTAL
|
53,003,053
|
|
|
|
Banking—0.2%
|
|
|
1,875,000
|
|
Ally
Financial, Inc., Sr. Sub. Note, 5.750%, 11/20/2025 |
1,885,540
|
|
|
|
Building
Materials—3.9% |
|
|
325,000
|
|
ABC
Supply Co., Inc., 144A, 4.000%, 1/15/2028 |
311,678
|
|
3,100,000
|
|
ABC
Supply Co., Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/15/2029 |
2,814,799
|
|
475,000
|
|
Beacon
Roofing Supply, Inc., Sr. Note, 144A, 6.500%, 8/1/2030 |
482,367
|
|
1,175,000
|
|
Camelot
Return Merger SU, Sec. Fac. Bond, 144A, 8.750%, 8/1/2028 |
1,127,223
|
|
3,775,000
|
|
Cp
Atlas Buyer, Inc., Sr. Unsecd. Note, 144A, 7.000%, 12/1/2028 |
3,324,262
|
|
4,750,000
|
|
Foundation
Building Materials, Inc., Sr. Unsecd. Note, 144A, 6.000%, 3/1/2029 |
4,193,223
|
|
4,275,000
|
|
Gyp
Holdings III Corp., Sr. Unsecd. Note, 144A, 4.625%, 5/1/2029 |
4,035,842
|
|
2,950,000
|
|
Interface,
Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/1/2028 |
2,900,540
|
|
600,000
|
|
Masterbrand,
Inc., 144A, 7.000%, 7/15/2032 |
604,885
|
|
675,000
|
|
Miter
Brands Acquisition Holdco, Inc./MIWD Borrower LLC, Sec. Fac. Bond, 144A, 6.750%, 4/1/2032 |
678,585
|
|
2,250,000
|
|
MIWD
Holdco II LLC/ MIWD Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 2/1/2030 |
2,130,917
|
|
2,050,000
|
|
Patrick
Industries, Inc., Sec. Fac. Bond, 144A, 6.375%, 11/1/2032 |
1,985,944
|
|
2,475,000
|
|
Standard
Industries, Inc., Sr. Unsecd. Note, 144A, 4.375%, 7/15/2030 |
2,269,549
|
|
1,200,000
|
|
Standard
Industries, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2028 |
1,149,415
|
|
3,425,000
|
|
Standard
Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027 |
3,354,542
|
|
925,000
|
|
Standard
Industries, Inc., Sr. Unsecd. Note, 144A, 6.500%, 8/15/2032 |
927,277
|
|
3,575,000
|
|
White
Cap Buyer LLC, Sr. Unsecd. Note, 144A, 6.875%, 10/15/2028 |
3,553,598
|
|
|
|
TOTAL
|
35,844,646
|
Annual
Financial Statements and Additional Information
1
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
CORPORATE
BONDS—continued |
|
|
|
|
Cable
Satellite—6.7% |
|
|
$ 2,300,000
|
|
CCO
Holdings LLC/Cap Corp., Sr. Sub. Secd. Note, 144A, 5.500%, 5/1/2026 |
$ 2,295,371
|
|
5,275,000
|
|
CCO
Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2031 |
4,603,732
|
|
1,675,000
|
|
CCO
Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2034 |
1,360,845
|
|
1,500,000
|
|
CCO
Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 8/15/2030 |
1,348,179
|
|
1,825,000
|
|
CCO
Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 6/1/2033 |
1,537,595
|
|
1,650,000
|
|
CCO
Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 |
1,591,819
|
|
600,000
|
|
CCO
Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.125%, 5/1/2027 |
590,079
|
|
2,625,000
|
|
CCO
Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029 |
2,512,863
|
|
3,000,000
|
|
CCO
Holdings LLC/Cap Corp., Sr. Unsecd. Note, 4.500%, 5/1/2032 |
2,583,953
|
|
1,550,000
|
|
CSC
Holdings LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2031 |
1,094,451
|
|
3,800,000
|
|
CSC
Holdings LLC, Sr. Unsecd. Note, 144A, 4.125%, 12/1/2030 |
2,743,861
|
|
3,800,000
|
|
CSC
Holdings LLC, Sr. Unsecd. Note, 144A, 4.500%, 11/15/2031 |
2,740,811
|
|
1,375,000
|
|
CSC
Holdings LLC, Sr. Unsecd. Note, 144A, 4.625%, 12/1/2030 |
719,988
|
|
1,950,000
|
|
CSC
Holdings LLC, Sr. Unsecd. Note, 144A, 5.000%, 11/15/2031 |
1,017,679
|
|
1,000,000
|
|
CSC
Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2030 |
570,017
|
|
450,000
|
|
CSC
Holdings LLC, Sr. Unsecd. Note, 144A, 6.500%, 2/1/2029 |
379,487
|
|
650,000
|
|
DISH
DBS Corp., Sr. Unsecd. Note, 7.375%, 7/1/2028 |
465,978
|
|
3,700,000
|
|
DISH
DBS Corp., Sr. Unsecd. Note, Series WI, 5.125%, 6/1/2029 |
2,385,166
|
|
2,900,000
|
|
Doyla
Holdco 18 Designated Activity Co., Sr. Unsecd. Note, 144A, 5.000%, 7/15/2028 |
2,749,355
|
|
4,175,000
|
|
Sirius
XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2031 |
3,498,771
|
|
2,725,000
|
|
Sirius
XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2030 |
2,381,480
|
|
600,000
|
|
Sirius
XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.000%, 8/1/2027 |
584,050
|
|
1,675,000
|
|
Sirius
XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029 |
1,607,906
|
|
4,425,000
|
|
Sunrise
FinCo I B.V., Sr. Note, 144A, 4.875%, 7/15/2031 |
4,019,095
|
|
5,600,000
|
|
Telenet
Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028 |
5,452,790
|
|
725,000
|
|
Virgin
Media Finance PLC, Sr. Unsecd. Note, 144A, 5.000%, 7/15/2030 |
614,553
|
|
950,000
|
|
Virgin
Media Secured Finance PLC, Sec. Fac. Bond, 144A, 4.500%, 8/15/2030 |
821,592
|
|
925,000
|
|
Virgin
Media Secured Finance PLC, Sec. Fac. Bond, 144A, 5.500%, 5/15/2029 |
868,645
|
|
1,000,000
|
|
Vmed
O2 UK Financing I PLC, Sec. Fac. Bond, 144A, 4.250%, 1/31/2031 |
854,756
|
|
2,425,000
|
|
Vmed
O2 UK Financing I PLC, Sr. Note, 144A, 4.750%, 7/15/2031 |
2,088,090
|
|
1,200,000
|
|
Ziggo
B.V., Sec. Fac. Bond, 144A, 4.875%, 1/15/2030 |
1,104,767
|
|
1,575,000
|
|
Ziggo
Bond Co. B.V., Sr. Unsecd. Note, 144A, 5.125%, 2/28/2030 |
1,421,236
|
|
3,750,000
|
|
Ziggo
Finance B.V., Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027 |
3,722,842
|
|
|
|
TOTAL
|
62,331,802
|
|
|
|
Chemicals—2.8%
|
|
|
3,575,000
|
|
Axalta
Coating Systems LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2029 |
3,248,554
|
|
675,000
|
|
Cheever
Escrow Issuer, Sec. Fac. Bond, 144A, 7.125%, 10/1/2027 |
687,639
|
|
2,275,000
|
|
Element
Solutions, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2028 |
2,159,787
|
|
2,775,000
|
|
H.B.
Fuller Co., Sr. Unsecd. Note, 4.250%, 10/15/2028 |
2,622,099
|
|
3,800,000
|
|
Herens
Holdco S.a.r.l., Sec. Fac. Bond, 144A, 4.750%, 5/15/2028 |
3,510,642
|
|
2,225,000
|
|
Illuminate
Buyer LLC/Illuminate Holdings IV, Inc., Sr. Unsecd. Note, 144A, 9.000%, 7/1/2028 |
2,255,029
|
|
650,000
|
|
Olympus
Water US Holding Corp., Sec. Fac. Bond, 144A, 7.250%, 6/15/2031 |
663,055
|
|
1,675,000
|
|
Olympus
Water US Holding Corp., Sec. Fac. Bond, 144A, 9.750%, 11/15/2028 |
1,779,296
|
|
5,675,000
|
|
Olympus
Water US Holding Corp., Sr. Unsecd. Note, 144A, 6.250%, 10/1/2029 |
5,427,192
|
|
1,350,000
|
|
SNF
Group SACA, Sr. Unsecd. Note, 144A, 3.375%, 3/15/2030 |
1,184,345
|
|
750,000
|
|
WR
Grace Holdings LLC, Sec. Fac. Bond, 144A, 7.375%, 3/1/2031 |
769,397
|
|
2,100,000
|
|
WR
Grace Holdings LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 |
1,933,749
|
|
|
|
TOTAL
|
26,240,784
|
|
|
|
Construction
Machinery—0.7% |
|
|
2,025,000
|
|
H&E
Equipment Services, Inc., Sr. Unsecd. Note, 144A, 3.875%, 12/15/2028 |
1,852,960
|
|
625,000
|
|
United
Rentals North America, Inc., Sr. Unsecd. Note, 3.750%, 1/15/2032 |
547,931
|
|
1,225,000
|
|
United
Rentals North America, Inc., Sr. Unsecd. Note, 3.875%, 2/15/2031 |
1,095,329
|
|
1,100,000
|
|
United
Rentals North America, Inc., Sr. Unsecd. Note, 4.875%, 1/15/2028 |
1,071,425
|
|
1,100,000
|
|
United
Rentals North America, Inc., Sr. Unsecd. Note, 144A, 6.125%, 3/15/2034 |
1,092,772
|
|
825,000
|
|
United
Rentals North America, Inc., Term Loan - 1st Lien, 144A, 6.000%, 12/15/2029 |
832,931
|
|
|
|
TOTAL
|
6,493,348
|
Annual
Financial Statements and Additional Information
2
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
CORPORATE
BONDS—continued |
|
|
|
|
Consumer
Cyclical Services—3.9% |
|
|
$ 1,200,000
|
|
Allied
Universal Holdco LLC, Sec. Fac. Bond, 144A, 7.875%, 2/15/2031 |
$ 1,227,996
|
|
6,800,000
|
|
Allied
Universal Holdco LLC, Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 |
6,203,176
|
|
2,800,000
|
|
Allied
Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027 |
2,822,277
|
|
2,575,000
|
|
Cars.com,
Inc., Sr. Unsecd. Note, 144A, 6.375%, 11/1/2028 |
2,562,810
|
|
3,225,000
|
|
Dun
& Bradstreet Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 |
3,074,325
|
|
1,125,000
|
|
Garda
World Security Corp., Sec. Fac. Bond, 144A, 7.750%, 2/15/2028 |
1,161,874
|
|
6,875,000
|
|
Garda
World Security Corp., Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 |
6,525,230
|
|
1,025,000
|
|
Garda
World Security Corp., Sr. Unsecd. Note, 144A, 8.375%, 11/15/2032 |
1,044,567
|
|
2,125,000
|
|
Go
Daddy Operating Co. LLC / GD Finance Co., Inc., Sr. Unsecd. Note, 144A, 5.250%, 12/1/2027 |
2,089,202
|
|
1,575,000
|
|
Match
Group Holdings II LLC, Sr. Unsecd. Note, 144A, 3.625%, 10/1/2031 |
1,349,658
|
|
1,775,000
|
|
Match
Group Holdings II LLC, Sr. Unsecd. Note, 144A, 4.125%, 8/1/2030 |
1,579,469
|
|
1,700,000
|
|
Match
Group Holdings II LLC, Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 |
1,645,607
|
|
2,425,000
|
|
Raven
Acquisition Holdings LLC, Sr. Secd. Note, 144A, 6.875%, 11/15/2031 |
2,406,736
|
|
1,425,000
|
|
The
Brink’s Co., Sr. Unsecd. Note, 144A, 6.500%, 6/15/2029 |
1,445,327
|
|
1,425,000
|
|
The
Brink’s Co., Sr. Unsecd. Note, 144A, 6.750%, 6/15/2032 |
1,437,118
|
|
|
|
TOTAL
|
36,575,372
|
|
|
|
Consumer
Products—1.7% |
|
|
6,500,000
|
|
BCPE
Empire Holdings, Inc., Sr. Unsecd. Note, 144A, 7.625%, 5/1/2027 |
6,484,423
|
|
950,000
|
|
Champ
Acquisition Corp., Sr. Secd. Note, 144A, 8.375%, 12/1/2031 |
971,450
|
|
1,450,000
|
|
Edgewell
Personal Care Co., Sr. Unsecd. Note, 144A, 4.125%, 4/1/2029 |
1,338,507
|
|
300,000
|
|
Edgewell
Personal Care Co., Sr. Unsecd. Note, 144A, 5.500%, 6/1/2028 |
293,898
|
|
5,275,000
|
|
Energizer
Holdings, Inc., Sr. Unsecd. Note, 144A, 4.375%, 3/31/2029 |
4,904,473
|
|
1,075,000
|
|
Energizer
Holdings, Inc., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2028 |
1,025,351
|
|
650,000
|
|
Energizer
Holdings, Inc., Sr. Unsecd. Note, 144A, 6.500%, 12/31/2027 |
652,902
|
|
|
|
TOTAL
|
15,671,004
|
|
|
|
Diversified
Manufacturing—1.4% |
|
|
5,750,000
|
|
Emrld
Borrower LP / Emerald Co-Issuer, Inc., Sec. Fac. Bond, 144A, 6.625%, 12/15/2030 |
5,764,855
|
|
225,000
|
|
Emrld
Borrower LP, Sec. Fac. Bond, 144A, 6.750%, 7/15/2031 |
226,920
|
|
1,625,000
|
|
Gates
Corp., Sr. Unsecd. Note, 144A, 6.875%, 7/1/2029 |
1,655,010
|
|
875,000
|
|
WESCO
Distribution, Inc., Sr. Unsecd. Note, 144A, 6.375%, 3/15/2029 |
887,788
|
|
1,025,000
|
|
WESCO
Distribution, Inc., Sr. Unsecd. Note, 144A, 6.625%, 3/15/2032 |
1,043,065
|
|
2,900,000
|
|
WESCO
Distribution, Inc., Sr. Unsecd. Note, 144A, 7.250%, 6/15/2028 |
2,951,067
|
|
|
|
TOTAL
|
12,528,705
|
|
|
|
Finance
Companies—2.8% |
|
|
4,825,000
|
|
Boost
Newco Borrower LLC, 144A, 7.500%, 1/15/2031 |
5,062,171
|
|
225,000
|
|
Macquarie
Airfinance Holdings Ltd., Sr. Unsecd. Note, 144A, 6.400%, 3/26/2029 |
231,681
|
|
225,000
|
|
Macquarie
Airfinance Holdings Ltd., Sr. Unsecd. Note, 144A, 6.500%, 3/26/2031 |
233,166
|
|
1,425,000
|
|
Macquarie
Airfinance Holdings Ltd., Sr. Unsecd. Note, 144A, 8.125%, 3/30/2029 |
1,511,794
|
|
900,000
|
|
Navient
Corp., Sr. Unsecd. Note, 4.875%, 3/15/2028 |
859,410
|
|
575,000
|
|
Navient
Corp., Sr. Unsecd. Note, 5.000%, 3/15/2027 |
564,008
|
|
2,700,000
|
|
Navient
Corp., Sr. Unsecd. Note, 5.500%, 3/15/2029 |
2,551,674
|
|
575,000
|
|
Navient
Corp., Sr. Unsecd. Note, 6.750%, 6/25/2025 |
575,977
|
|
600,000
|
|
Rocket
Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.625%, 3/1/2029 |
543,790
|
|
5,250,000
|
|
Rocket
Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.875%, 3/1/2031 |
4,577,590
|
|
2,275,000
|
|
Rocket
Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 4.000%, 10/15/2033 |
1,896,871
|
|
2,650,000
|
|
United
Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.500%, 11/15/2025 |
2,638,855
|
|
2,475,000
|
|
United
Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2029 |
2,386,429
|
|
900,000
|
|
United
Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.750%, 6/15/2027 |
889,667
|
|
1,525,000
|
|
UWM
Holdings LLC, Sr. Unsecd. Note, 144A, 6.625%, 2/1/2030 |
1,517,035
|
|
|
|
TOTAL
|
26,040,118
|
|
|
|
Food
& Beverage—1.8% |
|
|
2,650,000
|
|
Bellring
Brands, Inc., Sr. Unsecd. Note, 144A, 7.000%, 3/15/2030 |
2,718,590
|
|
2,500,000
|
|
Performance
Food Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 8/1/2029 |
2,322,382
|
|
1,925,000
|
|
Performance
Food Group, Inc., Sr. Unsecd. Note, 144A, 5.500%, 10/15/2027 |
1,910,721
|
|
175,000
|
|
Performance
Food Group, Inc., Sr. Unsecd. Note, 144A, 6.125%, 9/15/2032 |
175,211
|
|
1,800,000
|
|
Post
Holdings, Inc., 144A, 6.375%, 3/1/2033 |
1,766,453
|
Annual
Financial Statements and Additional Information
3
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
CORPORATE
BONDS—continued |
|
|
|
|
Food
& Beverage—continued |
|
|
$ 1,125,000
|
|
Post
Holdings, Inc., Sec. Fac. Bond, 144A, 6.250%, 2/15/2032 |
$ 1,117,954
|
|
1,475,000
|
|
Post
Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/15/2029 |
1,428,853
|
|
575,000
|
|
Post
Holdings, Inc., Sr. Unsecd. Note, 144A, 6.250%, 10/15/2034 |
561,568
|
|
1,425,000
|
|
US
Foods, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/1/2030 |
1,341,421
|
|
1,900,000
|
|
US
Foods, Inc., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2029 |
1,821,500
|
|
350,000
|
|
US
Foods, Inc., Sr. Unsecd. Note, 144A, 5.750%, 4/15/2033 |
341,003
|
|
1,100,000
|
|
US
Foods, Inc., Sr. Unsecd. Note, 144A, 6.875%, 9/15/2028 |
1,126,923
|
|
|
|
TOTAL
|
16,632,579
|
|
|
|
Gaming—5.2%
|
|
|
1,950,000
|
|
Affinity
Gaming LLC, 144A, 6.875%, 12/15/2027 |
1,465,592
|
|
1,025,000
|
|
Boyd
Gaming Corp., Sr. Unsecd. Note, 4.750%, 12/1/2027 |
992,885
|
|
1,900,000
|
|
Boyd
Gaming Corp., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2031 |
1,759,093
|
|
825,000
|
|
Caesars
Entertainment Corp., 144A, 6.000%, 10/15/2032 |
796,214
|
|
2,475,000
|
|
Caesars
Entertainment Corp., Sec. Fac. Bond, 144A, 7.000%, 2/15/2030 |
2,522,717
|
|
2,675,000
|
|
Caesars
Entertainment Corp., Sr. Secd. Note, 144A, 6.500%, 2/15/2032 |
2,689,254
|
|
1,050,000
|
|
Caesars
Entertainment Corp., Sr. Unsecd. Note, 144A, 4.625%, 10/15/2029 |
983,916
|
|
775,000
|
|
Churchill
Downs, Inc., Sr. Unsecd. Note, 144A, 5.500%, 4/1/2027 |
767,302
|
|
3,175,000
|
|
Churchill
Downs, Inc., Sr. Unsecd. Note, 144A, 6.750%, 5/1/2031 |
3,213,310
|
|
263,000
|
|
Colt
Merger Sub, Inc., Sr. Unsecd. Note, 144A, 8.125%, 7/1/2027 |
265,845
|
|
3,425,000
|
|
Light
& Wonder International, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/15/2029 |
3,499,346
|
|
250,000
|
|
Light
& Wonder International, Inc., Sr. Unsecd. Note, 144A, 7.500%, 9/1/2031 |
257,678
|
|
1,350,000
|
|
MGM
Resorts International, Sr. Unsecd. Note, 6.125%, 9/15/2029 |
1,349,344
|
|
2,775,000
|
|
MGM
Resorts International, Sr. Unsecd. Note, 6.500%, 4/15/2032 |
2,767,877
|
|
2,300,000
|
|
Midwest
Gaming Borrower LLC, Sr. Note, 144A, 4.875%, 5/1/2029 |
2,169,937
|
|
4,400,000
|
|
Mohegan
Tribal Gaming Authority, 144A, 8.000%, 2/1/2026 |
4,382,265
|
|
2,750,000
|
|
Ontario
Gaming GTA LP, Sec. Fac. Bond, 144A, 8.000%, 8/1/2030 |
2,840,695
|
|
1,775,000
|
|
Penn
Entertainment, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2029 |
1,593,454
|
|
3,800,000
|
|
Scientific
Games Holdings Corp., Sr. Unsecd. Note, 144A, 6.625%, 3/1/2030 |
3,639,615
|
|
975,000
|
|
Station
Casinos, Inc., 144A, 6.625%, 3/15/2032 |
969,838
|
|
3,425,000
|
|
Station
Casinos, Inc., Sr. Unsecd. Note, 144A, 4.500%, 2/15/2028 |
3,252,357
|
|
650,000
|
|
VICI
Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.500%, 9/1/2026 |
644,656
|
|
1,525,000
|
|
VICI
Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/15/2025 |
1,521,208
|
|
2,025,000
|
|
Wynn
Resorts Finance LLC / Wynn Resorts Capital Corp., 144A, 7.125%, 2/15/2031 |
2,110,283
|
|
1,425,000
|
|
Wynn
Resorts Finance LLC / Wynn Resorts Capital Corp., Sr. Unsecd. Note, 144A, 6.250%, 3/15/2033 |
1,404,517
|
|
|
|
TOTAL
|
47,859,198
|
|
|
|
Health
Care—4.4% |
|
|
2,400,000
|
|
Ardent
Health Services, Sr. Unsecd. Note, 144A, 5.750%, 7/15/2029 |
2,333,480
|
|
2,150,000
|
|
Avantor
Funding, Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/1/2029 |
1,967,462
|
|
1,500,000
|
|
Avantor
Funding, Inc., Sr. Unsecd. Note, 144A, 4.625%, 7/15/2028 |
1,433,016
|
|
1,225,000
|
|
CHS/Community
Health Systems, Inc., 144A, 6.125%, 4/1/2030 |
841,740
|
|
2,375,000
|
|
CHS/Community
Health Systems, Inc., 144A, 6.875%, 4/15/2029 |
1,796,650
|
|
3,175,000
|
|
CHS/Community
Health Systems, Inc., Sec. Fac. Bond, 144A, 5.625%, 3/15/2027 |
3,050,643
|
|
650,000
|
|
CHS/Community
Health Systems, Inc., Sec. Fac. Bond, 144A, 6.000%, 1/15/2029 |
582,719
|
|
925,000
|
|
Concentra
Escrow Issuer Corp., Sr. Unsecd. Note, 144A, 6.875%, 7/15/2032 |
945,544
|
|
900,000
|
|
Embecta
Corp., Sec. Fac. Bond, 144A, 5.000%, 2/15/2030 |
829,816
|
|
625,000
|
|
Embecta
Corp., Sr. Note, 144A, 6.750%, 2/15/2030 |
595,624
|
|
1,125,000
|
|
Iqvia,
Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/15/2026 |
1,110,820
|
|
1,700,000
|
|
Iqvia,
Inc., Sr. Unsecd. Note, 144A, 6.500%, 5/15/2030 |
1,731,537
|
|
900,000
|
|
LifePoint
Health, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2029 |
790,046
|
|
1,000,000
|
|
Medline
Borrower LP, Sec. Fac. Bond, 144A, 3.875%, 4/1/2029 |
926,907
|
|
8,650,000
|
|
Medline
Borrower LP, Sr. Unsecd. Note, 144A, 5.250%, 10/1/2029 |
8,356,021
|
|
1,600,000
|
|
Medline
Borrower LP/Medline Co-Issuer, Inc., 144A, 6.250%, 4/1/2029 |
1,618,870
|
|
400,000
|
|
Neogen
Food Safety Corp., Sr. Unsecd. Note, 144A, 8.625%, 7/20/2030 |
431,012
|
|
1,725,000
|
|
Select
Medical Corp., 144A, 6.250%, 12/1/2032 |
1,662,652
|
|
1,125,000
|
|
Tenet
Healthcare Corp., 4.250%, 6/1/2029 |
1,057,178
|
|
1,550,000
|
|
Tenet
Healthcare Corp., 5.125%, 11/1/2027 |
1,519,377
|
Annual
Financial Statements and Additional Information
4
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
CORPORATE
BONDS—continued |
|
|
|
|
Health
Care—continued |
|
|
$ 2,500,000
|
|
Tenet
Healthcare Corp., 144A, 6.250%, 2/1/2027 |
$ 2,499,992
|
|
1,800,000
|
|
Tenet
Healthcare Corp., Sec. Fac. Bond, 144A, 6.750%, 5/15/2031 |
1,819,838
|
|
3,250,000
|
|
Tenet
Healthcare Corp., Sr. Unsecd. Note, 6.125%, 10/1/2028 |
3,246,880
|
|
|
|
TOTAL
|
41,147,824
|
|
|
|
Health
Insurance—0.3% |
|
|
1,950,000
|
|
Centene
Corp., Sr. Unsecd. Note, Series WI, 4.625%, 12/15/2029 |
1,845,763
|
|
700,000
|
|
Molina
Healthcare, Inc., Sr. Secd. Note, 144A, 6.250%, 1/15/2033 |
692,476
|
|
|
|
TOTAL
|
2,538,239
|
|
|
|
Independent
Energy—3.1% |
|
|
1,850,000
|
|
Aethon
United LP BR/Aethon United Finance, 144A, 7.500%, 10/1/2029 |
1,893,749
|
|
1,000,000
|
|
Antero
Resources Corp., Sr. Unsecd. Note, 144A, 5.375%, 3/1/2030 |
966,945
|
|
300,000
|
|
Ascent
Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 |
292,457
|
|
425,000
|
|
Ascent
Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 6.625%, 10/15/2032 |
422,858
|
|
1,900,000
|
|
Ascent
Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 8.250%, 12/31/2028 |
1,941,087
|
|
650,000
|
|
Ascent
Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 9.000%, 11/1/2027 |
789,029
|
|
625,000
|
|
Civitas
Resources, Inc., Sr. Unsecd. Note, 144A, 8.625%, 11/1/2030 |
655,097
|
|
350,000
|
|
Civitas
Resources, Inc., Sr. Unsecd. Note, 144A, 8.750%, 7/1/2031 |
365,324
|
|
2,175,000
|
|
Civitas
Resources, Inc., Unsecd. Note, 144A, 8.375%, 7/1/2028 |
2,261,605
|
|
3,050,000
|
|
Comstock
Resources, Inc., Sr. Unsecd. Note, 144A, 6.750%, 3/1/2029 |
2,976,289
|
|
600,000
|
|
Comstock
Resources, Inc., Sr. Unsecd. Note, 144A, 6.750%, 3/1/2029 |
583,869
|
|
3,175,000
|
1,2
|
Expand
Energy Corp., Sr. Unsecd. Note, 7.000%, 10/1/2099 |
13,494
|
|
375,000
|
|
Matador
Resources Co., Sr. Unsecd. Note, 144A, 6.250%, 4/15/2033 |
364,358
|
|
2,075,000
|
|
Matador
Resources Co., Sr. Unsecd. Note, 144A, 6.500%, 4/15/2032 |
2,055,033
|
|
1,371,000
|
|
Occidental
Petroleum Corp., Sr. Unsecd. Note, 5.875%, 9/1/2025 |
1,376,146
|
|
500,000
|
|
Occidental
Petroleum Corp., Sr. Unsecd. Note, 7.150%, 5/15/2028 |
524,792
|
|
1,275,000
|
|
Permian
Resources Operating LLC, Sr. Sub. Secd. Note, 144A, 6.250%, 2/1/2033 |
1,259,585
|
|
800,000
|
|
Permian
Resources Operating LLC, Sr. Unsecd. Note, 144A, 7.000%, 1/15/2032 |
812,872
|
|
575,000
|
|
Range
Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 |
573,845
|
|
2,300,000
|
|
Range
Resources Corp., Sr. Unsecd. Note, 8.250%, 1/15/2029 |
2,369,759
|
|
2,000,000
|
|
Rockcliff
Energy II LLC, Sr. Unsecd. Note, 144A, 5.500%, 10/15/2029 |
1,869,445
|
|
1,200,000
|
|
Sitio
Royalties Operating Partnership LP / Sitio Finance Corp., Sr. Unsecd. Note, 144A, 7.875%, 11/1/2028 |
1,239,943
|
|
1,800,000
|
|
SM
Energy Co., Sr. Unsecd. Note, 144A, 6.750%, 8/1/2029 |
1,783,525
|
|
975,000
|
|
SM
Energy Co., Sr. Unsecd. Note, 144A, 7.000%, 8/1/2032 |
962,225
|
|
|
|
TOTAL
|
28,353,331
|
|
|
|
Industrial
- Other—1.4% |
|
|
2,325,000
|
|
Hillenbrand,
Inc., Sr. Unsecd. Note, 6.250%, 2/15/2029 |
2,326,396
|
|
6,875,000
|
|
Madison
Iaq LLC, Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 |
6,499,175
|
|
4,025,000
|
|
SPX
Flow, Inc., Sr. Unsecd. Note, 144A, 8.750%, 4/1/2030 |
4,129,086
|
|
|
|
TOTAL
|
12,954,657
|
|
|
|
Insurance
- P&C—8.3% |
|
|
3,025,000
|
|
Acrisure
LLC, Sec. Fac. Bond, 144A, 7.500%, 11/6/2030 |
3,118,064
|
|
875,000
|
|
Alliant
Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 144A, 5.875%, 11/1/2029 |
844,897
|
|
2,175,000
|
|
Alliant
Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 144A, 7.375%, 10/1/2032 |
2,197,733
|
|
2,950,000
|
|
Alliant
Holdings Intermediate LLC / Alliant Holdings Co-Issuer, Sec. Fac. Bond, 144A, 7.000%, 1/15/2031 |
2,964,753
|
|
300,000
|
|
Alliant
Holdings Intermediate LLC / Alliant Holdings Co-Issuer, Sr. Unsecd. Note, 144A, 6.500%, 10/1/2031 |
297,412
|
|
225,000
|
|
Alliant
Holdings Intermediate LLC / Alliant Holdings Co-Issuer, Sr. Unsecd. Note, 144A, 6.750%, 10/15/2027 |
223,367
|
|
1,450,000
|
|
AmWINS
Group, Inc., Sec. Fac. Bond, 144A, 6.375%, 2/15/2029 |
1,459,798
|
|
4,125,000
|
|
AmWINS
Group, Inc., Sr. Unsecd. Note, 144A, 4.875%, 6/30/2029 |
3,892,444
|
|
975,000
|
|
Ardonagh
Finco Ltd., Sec. Fac. Bond, 144A, 7.750%, 2/15/2031 |
1,005,060
|
|
7,525,000
|
|
Ardonagh
Group Finance Ltd., Sr. Unsecd. Note, 144A, 8.875%, 2/15/2032 |
7,826,437
|
|
4,350,000
|
|
AssuredPartners,
Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2029 |
4,402,948
|
|
1,900,000
|
|
AssuredPartners,
Inc., Sr. Unsecd. Note, 144A, 7.500%, 2/15/2032 |
2,046,583
|
|
2,975,000
|
|
Baldwin
Insurance Group Holdings LLC/Baldwin Insurance Group Holdings Finance, 144A, 7.125%, 5/15/2031 |
3,039,608
|
|
7,225,000
|
|
Broadstreet
Partners, Inc., Sr. Unsecd. Note, 144A, 5.875%, 4/15/2029 |
7,026,976
|
|
4,075,000
|
|
Hub
International Ltd., Sec. Fac. Bond, 144A, 7.250%, 6/15/2030 |
4,180,217
|
|
8,125,000
|
|
Hub
International Ltd., Sr. Unsecd. Note, 144A, 5.625%, 12/1/2029 |
7,887,603
|
Annual
Financial Statements and Additional Information
5
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
CORPORATE
BONDS—continued |
|
|
|
|
Insurance
- P&C—continued |
|
|
$ 3,700,000
|
|
Hub
International Ltd., Sr. Unsecd. Note, 144A, 7.375%, 1/31/2032 |
$ 3,760,228
|
|
2,475,000
|
|
Jones
Deslauriers Insurance Management, Inc., Sec. Fac. Bond, 144A, 8.500%, 3/15/2030 |
2,615,597
|
|
2,850,000
|
|
Jones
Deslauriers Insurance Management, Inc., Sr. Unsecd. Note, 144A, 10.500%, 12/15/2030 |
3,086,137
|
|
5,900,000
|
|
Panther
Escrow Issuer, Sec. Fac. Bond, 144A, 7.125%, 6/1/2031 |
5,965,398
|
|
1,550,000
|
|
Ryan
Specialty LLC, Sec. Fac. Bond, 144A, 4.375%, 2/1/2030 |
1,457,078
|
|
1,800,000
|
|
Ryan
Specialty LLC, Sec. Fac. Bond, 144A, 5.875%, 8/1/2032 |
1,782,185
|
|
5,950,000
|
|
USI,
Inc./NY, Sr. Unsecd. Note, 144A, 7.500%, 1/15/2032 |
6,160,969
|
|
|
|
TOTAL
|
77,241,492
|
|
|
|
Leisure—2.2%
|
|
|
425,000
|
|
Carnival
Corp., Sr. Secd. Note, 144A, 7.000%, 8/15/2029 |
442,419
|
|
1,925,000
|
|
Carnival
Corp., Sr. Unsecd. Note, 144A, 6.000%, 5/1/2029 |
1,921,919
|
|
300,000
|
|
Carnival
Corp., Sr. Unsecd. Note, 144A, 7.625%, 3/1/2026 |
300,667
|
|
850,000
|
|
NCL
Corp. Ltd., Sr. Secd. Note, 144A, 8.125%, 1/15/2029 |
896,277
|
|
1,750,000
|
|
NCL
Corp. Ltd., Sr. Unsecd. Note, 144A, 5.875%, 3/15/2026 |
1,748,911
|
|
1,100,000
|
|
NCL
Corp. Ltd., Sr. Unsecd. Note, 144A, 7.750%, 2/15/2029 |
1,155,928
|
|
950,000
|
|
NCL
Finance Ltd., Sr. Unsecd. Note, 144A, 6.125%, 3/15/2028 |
953,761
|
|
1,700,000
|
|
Royal
Caribbean Cruises, Ltd., 144A, 6.000%, 2/1/2033 |
1,697,187
|
|
450,000
|
|
Royal
Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 4.250%, 7/1/2026 |
441,843
|
|
900,000
|
|
Royal
Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 5.375%, 7/15/2027 |
895,048
|
|
825,000
|
|
Royal
Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 5.500%, 8/31/2026 |
824,791
|
|
850,000
|
|
Royal
Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 5.625%, 9/30/2031 |
836,663
|
|
1,050,000
|
|
Royal
Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 6.250%, 3/15/2032 |
1,063,388
|
|
3,625,000
|
|
Six
Flags Entertainment Corp., Sr. Unsecd. Note, 144A, 7.250%, 5/15/2031 |
3,706,211
|
|
3,875,000
|
|
United
Parks & Resorts, Inc., Sr. Unsecd. Note, 144A, 5.250%, 8/15/2029 |
3,701,149
|
|
|
|
TOTAL
|
20,586,162
|
|
|
|
Lodging—1.1%
|
|
|
1,000,000
|
|
Hilton
Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2032 |
869,417
|
|
2,325,000
|
|
Hilton
Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.750%, 5/1/2028 |
2,326,157
|
|
1,725,000
|
|
Hilton
Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.875%, 3/15/2033 |
1,698,588
|
|
775,000
|
|
RHP
Hotel Property/RHP Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 4/1/2032 |
779,544
|
|
1,550,000
|
|
RHP
Hotel Property/RHP Finance Corp., Sr. Unsecd. Note, 144A, 7.250%, 7/15/2028 |
1,599,349
|
|
1,725,000
|
|
Wyndham
Hotels & Resorts, Inc., Sr. Unsecd. Note, 144A, 4.375%, 8/15/2028 |
1,646,579
|
|
950,000
|
|
XHR
LP, Sr. Unsecd. Note, 144A, 6.625%, 5/15/2030 |
954,306
|
|
|
|
TOTAL
|
9,873,940
|
|
|
|
Media
Entertainment—2.4% |
|
|
1,900,000
|
|
CMG
Media, Corp., 144A, 8.875%, 6/18/2029 |
1,430,187
|
|
404,000
|
|
Cumulus
Media News Holdings, Inc., 144A, 8.000%, 7/1/2029 |
151,643
|
|
1,300,000
|
|
Gray
Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 11/15/2031 |
694,757
|
|
1,500,000
|
|
Nexstar
Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027 |
1,464,661
|
|
300,000
|
|
Outfront
Media Capital LLC / Outfront Media Capital Corp., 144A, 7.375%, 2/15/2031 |
313,835
|
|
500,000
|
|
Outfront
Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2029 |
465,484
|
|
2,175,000
|
|
Outfront
Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2030 |
2,011,556
|
|
625,000
|
|
Outfront
Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 5.000%, 8/15/2027 |
608,711
|
|
450,000
|
|
Scripps
Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2031 |
228,876
|
|
725,000
|
|
Scripps
Escrow, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027 |
586,474
|
|
725,000
|
|
Sinclair
Television Group, Sec. Fac. Bond, 144A, 4.125%, 12/1/2030 |
535,050
|
|
2,425,000
|
|
Sinclair
Television Group, Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 |
1,639,906
|
|
7,075,000
|
|
Stagwell
Global LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 |
6,744,522
|
|
1,275,000
|
|
Tegna,
Inc., Sr. Unsecd. Note, 144A, 5.000%, 9/15/2029 |
1,193,869
|
|
2,750,000
|
|
Univision
Communications, Inc., Sec. Fac. Bond, 144A, 7.375%, 6/30/2030 |
2,634,309
|
|
1,825,000
|
|
Univision
Communications, Inc., Sec. Fac. Bond, 144A, 8.000%, 8/15/2028 |
1,860,270
|
|
|
|
TOTAL
|
22,564,110
|
|
|
|
Metals
& Mining—1.0% |
|
|
825,000
|
|
Cleveland-Cliffs,
Inc., Sr. Unsecd. Note, 144A, 4.875%, 3/1/2031 |
741,177
|
|
2,150,000
|
|
Cleveland-Cliffs,
Inc., Sr. Unsecd. Note, 144A, 6.750%, 4/15/2030 |
2,105,052
|
|
525,000
|
|
Cleveland-Cliffs,
Inc., Sr. Unsecd. Note, 144A, 6.875%, 11/1/2029 |
519,971
|
Annual
Financial Statements and Additional Information
6
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
CORPORATE
BONDS—continued |
|
|
|
|
Metals
& Mining—continued |
|
|
$ 1,900,000
|
|
Cleveland-Cliffs,
Inc., Sr. Unsecd. Note, 144A, 7.000%, 3/15/2032 |
$ 1,868,385
|
|
925,000
|
|
Cleveland-Cliffs,
Inc., Sr. Unsecd. Note, 144A, 7.375%, 5/1/2033 |
909,633
|
|
3,000,000
|
|
Coeur
Mining, Inc., Sr. Unsecd. Note, 144A, 5.125%, 2/15/2029 |
2,876,343
|
|
|
|
TOTAL
|
9,020,561
|
|
|
|
Midstream—4.6%
|
|
|
3,425,000
|
|
Antero
Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 |
3,411,380
|
|
2,075,000
|
|
Antero
Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 |
2,060,081
|
|
2,600,000
|
|
Antero
Midstream Partners LP, Sr. Unsecd. Note, 144A, 6.625%, 2/1/2032 |
2,620,730
|
|
550,000
|
|
Blue
Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unsecd. Note, 144A, 7.000%, 7/15/2029 |
562,313
|
|
1,475,000
|
|
Blue
Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unsecd. Note, 144A, 7.250%, 7/15/2032 |
1,516,749
|
|
1,750,000
|
|
Cheniere
Energy Partners, LP, Sr. Unsecd. Note, Series WI, 4.500%, 10/1/2029 |
1,695,503
|
|
3,275,000
|
|
CNX
Midstream Partners LP, Sr. Unsecd. Note, 144A, 4.750%, 4/15/2030 |
2,999,898
|
|
2,875,000
|
|
DT
Midstream, Inc., Sr. Unsecd. Note, 144A, 4.375%, 6/15/2031 |
2,625,281
|
|
2,149,000
|
|
EQM
Midstream Partners, LP, Sr. Unsecd. Note, 144A, 4.500%, 1/15/2029 |
2,048,946
|
|
1,150,000
|
|
EQM
Midstream Partners, LP, Sr. Unsecd. Note, 144A, 6.375%, 4/1/2029 |
1,154,628
|
|
2,625,000
|
|
EQM
Midstream Partners, LP, Sr. Unsecd. Note, 144A, 6.500%, 7/1/2027 |
2,660,839
|
|
950,000
|
|
EQM
Midstream Partners, LP, Sr. Unsecd. Note, 144A, 7.500%, 6/1/2027 |
969,434
|
|
325,000
|
|
EQM
Midstream Partners, LP, Sr. Unsecd. Note, 144A, 7.500%, 6/1/2030 |
347,018
|
|
1,750,000
|
|
Hess
Midstream Operations LP, Sr. Unsecd. Note, 144A, 5.125%, 6/15/2028 |
1,703,391
|
|
1,050,000
|
|
Hess
Midstream Operations LP, Sr. Unsecd. Note, 144A, 6.500%, 6/1/2029 |
1,061,153
|
|
1,725,000
|
|
HF
Sinclair Corp., Sr. Unsecd. Note, 5.000%, 2/1/2028 |
1,704,614
|
|
2,375,000
|
|
Northriver
Midstream Fin, 144A, 6.750%, 7/15/2032 |
2,391,343
|
|
2,600,000
|
|
Solaris
Midstream Holdings LLC, Sr. Unsecd. Note, 144A, 7.625%, 4/1/2026 |
2,614,776
|
|
1,325,000
|
|
Suburban
Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 |
1,319,493
|
|
2,800,000
|
|
Suburban
Propane Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 6/1/2031 |
2,508,326
|
|
2,050,000
|
|
Targa
Resources Partners LP / Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.000%, 1/15/2028 |
2,029,063
|
|
1,050,000
|
|
Targa
Resources Partners LP / Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 |
1,053,974
|
|
1,400,000
|
|
Western
Midstream Operating, LP, Sr. Unsecd. Note, 4.650%, 7/1/2026 |
1,395,387
|
|
|
|
TOTAL
|
42,454,320
|
|
|
|
Oil
Field Services—2.0% |
|
|
4,250,000
|
|
Archrock
Partners LP / Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.250%, 4/1/2028 |
4,230,000
|
|
2,100,000
|
|
Archrock
Partners LP / Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 |
2,112,874
|
|
2,750,000
|
|
Kodiak
Gas Services LLC, Sr. Unsecd. Note, 144A, 7.250%, 2/15/2029 |
2,807,728
|
|
1,300,000
|
|
Nabors
Industries Ltd., Sr. Unsecd. Note, 144A, 7.500%, 1/15/2028 |
1,205,018
|
|
325,000
|
|
Nabors
Industries, Inc., Sec. Fac. Bond, 144A, 9.125%, 1/31/2030 |
330,812
|
|
375,000
|
|
Nabors
Industries, Inc., Sr. Unsecd. Note, 144A, 7.375%, 5/15/2027 |
374,906
|
|
575,000
|
|
Nabors
Industries, Inc., Sr. Unsecd. Note, 144A, 8.875%, 8/15/2031 |
534,512
|
|
1,376,000
|
|
Precision
Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026 |
1,381,666
|
|
2,075,000
|
|
USA
Compression Partners LP, Sr. Unsecd. Note, 6.875%, 9/1/2027 |
2,083,246
|
|
3,100,000
|
|
USA
Compression Partners LP, Sr. Unsecd. Note, 144A, 7.125%, 3/15/2029 |
3,157,668
|
|
|
|
TOTAL
|
18,218,430
|
|
|
|
Packaging—4.1%
|
|
|
3,687,491
|
|
ARD
Finance SA, Sec. Fac. Bond, 144A, 7.250% PIK, 6/30/2027 |
534,705
|
|
3,175,000
|
|
Ardagh
Metal Packaging, Sr. Unsecd. Note, 144A, 4.000%, 9/1/2029 |
2,730,954
|
|
5,750,000
|
|
Ardagh
Packaging Finance PLC/Ardagh Holdings, Sec. Fac. Bond, 144A, 5.250%, 8/15/2027 |
3,292,941
|
|
2,550,000
|
|
Ball
Corp., Sr. Unsecd. Note, 6.000%, 6/15/2029 |
2,571,671
|
|
800,000
|
|
Ball
Corp., Sr. Unsecd. Note, 6.875%, 3/15/2028 |
818,916
|
|
559,000
|
|
Berry
Global Escrow Corp., 144A, 4.875%, 7/15/2026 |
557,196
|
|
975,000
|
|
Clydesdale
Acquisition Holdings, Inc., Sec. Fac. Bond, 144A, 6.875%, 1/15/2030 |
982,816
|
|
7,325,000
|
|
Clydesdale
Acquisition Holdings, Inc., Sr. Unsecd. Note, 144A, 8.750%, 4/15/2030 |
7,438,933
|
|
2,500,000
|
|
Mauser
Packaging Solutions Holding Co., 144A, 9.250%, 4/15/2027 |
2,540,415
|
|
1,525,000
|
|
Mauser
Packaging Solutions Holding Co., Sec. Fac. Bond, 144A, 7.875%, 4/15/2027 |
1,557,726
|
|
2,275,000
|
|
OI
European Group B.V., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2030 |
2,029,954
|
|
2,147,000
|
|
Owens-Brockway
Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.625%, 5/13/2027 |
2,147,759
|
|
450,000
|
|
Owens-Brockway
Glass Container, Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/15/2031 |
438,512
|
|
1,500,000
|
|
Sealed
Air Corp., 144A, 6.500%, 7/15/2032 |
1,504,116
|
Annual
Financial Statements and Additional Information
7
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
CORPORATE
BONDS—continued |
|
|
|
|
Packaging—continued
|
|
|
$ 1,300,000
|
|
Sealed
Air Corp., Sr. Unsecd. Note, 144A, 6.125%, 2/1/2028 |
$ 1,305,372
|
|
1,200,000
|
|
Sealed
Air Corp., Sr. Unsecd. Note, 144A, 7.250%, 2/15/2031 |
1,238,460
|
|
6,625,000
|
|
Trivium
Packaging Finance B.V., Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027 |
6,622,308
|
|
|
|
TOTAL
|
38,312,754
|
|
|
|
Paper—0.5%
|
|
|
2,550,000
|
|
Clearwater
Paper Corp., Sr. Unsecd. Note, 144A, 4.750%, 8/15/2028 |
2,411,038
|
|
2,875,000
|
|
Graphic
Packaging International, LLC, Sr. Unsecd. Note, 144A, 3.500%, 3/1/2029 |
2,636,518
|
|
|
|
TOTAL
|
5,047,556
|
|
|
|
Pharmaceuticals—1.4%
|
|
|
1,425,000
|
|
Bausch
Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2029 |
848,624
|
|
3,450,000
|
|
Bausch
Health Cos., Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/15/2029 |
2,143,313
|
|
5,050,000
|
|
Grifols
Escrow Issuer S.A., Sr. Unsecd. Note, 144A, 4.750%, 10/15/2028 |
4,646,220
|
|
1,500,000
|
|
Jazz
Securities Designated Activity Co., Sec. Fac. Bond, 144A, 4.375%, 1/15/2029 |
1,418,599
|
|
575,000
|
|
Organon
& Co./Organon Foreign Debt Co-Issuer B.V., Sec. Fac. Bond, 144A, 6.750%, 5/15/2034 |
571,392
|
|
450,000
|
|
Organon
& Co./Organon Foreign Debt Co-Issuer B.V., Sr. Unsecd. Note, 144A, 7.875%, 5/15/2034 |
460,624
|
|
3,450,000
|
|
Organon
Finance 1 LLC, Sr. Unsecd. Note, 144A, 5.125%, 4/30/2031 |
3,104,240
|
|
|
|
TOTAL
|
13,193,012
|
|
|
|
Restaurant—1.4%
|
|
|
9,275,000
|
|
1011778
BC Unltd. Liability Co./New Red Finance, Inc., 144A, 4.000%, 10/15/2030 |
8,303,377
|
|
825,000
|
|
1011778
BC Unltd. Liability Co./New Red Finance, Inc., 144A, 6.125%, 6/15/2029 |
828,703
|
|
850,000
|
|
1011778
BC Unltd. Liability Co./New Red Finance, Inc., Term Loan - 1st Lien, 144A, 5.625%, 9/15/2029 |
838,331
|
|
1,425,000
|
|
Yum!
Brands, Inc., Sr. Unsecd. Note, 4.625%, 1/31/2032 |
1,318,192
|
|
1,425,000
|
|
Yum!
Brands, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 |
1,364,014
|
|
|
|
TOTAL
|
12,652,617
|
|
|
|
Retailers—1.8%
|
|
|
2,575,000
|
|
Academy
Ltd., Sec. Fac. Bond, 144A, 6.000%, 11/15/2027 |
2,563,492
|
|
900,000
|
|
Asbury
Automotive Group, Inc., Sr. Unsecd. Note, 4.750%, 3/1/2030 |
842,585
|
|
1,450,000
|
|
Asbury
Automotive Group, Inc., Sr. Unsecd. Note, 144A, 4.625%, 11/15/2029 |
1,351,427
|
|
1,625,000
|
|
Asbury
Automotive Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2032 |
1,484,137
|
|
675,000
|
|
BELRON
UK Finance PLC, 144A, 5.750%, 10/15/2029 |
668,627
|
|
1,475,000
|
|
Gap
(The), Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/1/2029 |
1,325,957
|
|
575,000
|
|
Gap
(The), Inc., Sr. Unsecd. Note, 144A, 3.875%, 10/1/2031 |
497,771
|
|
475,000
|
|
Group
1 Automotive, Inc., Sr. Unsecd. Note, 144A, 6.375%, 1/15/2030 |
477,136
|
|
1,075,000
|
|
Kontoor
Brands, Inc., Sr. Unsecd. Note, 144A, 4.125%, 11/15/2029 |
990,900
|
|
3,825,000
|
|
LCM
Investments Holdings II, LLC, Sr. Unsecd. Note, 144A, 8.250%, 8/1/2031 |
3,972,243
|
|
1,525,000
|
|
Velocity
Vehicle Group, Sr. Unsecd. Note, 144A, 8.000%, 6/1/2029 |
1,587,616
|
|
825,000
|
|
William
Carter Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2027 |
818,739
|
|
|
|
TOTAL
|
16,580,630
|
|
|
|
Supermarkets—0.5%
|
|
|
3,350,000
|
|
Albertsons
Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 3.500%, 3/15/2029 |
3,052,203
|
|
275,000
|
|
Albertsons
Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 5.875%, 2/15/2028 |
274,092
|
|
1,250,000
|
|
Albertsons
Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 6.500%, 2/15/2028 |
1,267,566
|
|
400,000
|
|
Albertsons
Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 7.500%, 3/15/2026 |
401,919
|
|
|
|
TOTAL
|
4,995,780
|
|
|
|
Technology—12.7%
|
|
|
1,850,000
|
|
Amentum
Escrow Corp., Sr. Unsecd. Note, 144A, 7.250%, 8/1/2032 |
1,866,128
|
|
7,475,000
|
|
AthenaHealth
Group, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2030 |
7,111,237
|
|
2,325,000
|
|
Capstone
Borrower, Inc., Sec. Fac. Bond, 144A, 8.000%, 6/15/2030 |
2,409,572
|
|
1,675,000
|
|
Centerfield
Media Parent, Sr. Note, 144A, 6.625%, 8/1/2026 |
1,309,013
|
|
1,250,000
|
|
Central
Parent LLC / CDK Global II LLC / CDK Financing Co., 144A, 8.000%, 6/15/2029 |
1,274,244
|
|
3,200,000
|
|
Central
Parent, Inc./Central Merger Sub, Inc., 144A, 7.250%, 6/15/2029 |
3,166,157
|
|
5,550,000
|
|
Clarivate
Science Holdings Corp., Sr. Unsecd. Note, 144A, 4.875%, 7/1/2029 |
5,179,822
|
|
4,025,000
|
|
Cloud
Software Group, Inc., Sec. Fac. Bond, 144A, 6.500%, 3/31/2029 |
3,955,721
|
|
1,150,000
|
|
Cloud
Software Group, Inc., Sec. Fac. Bond, 144A, 8.250%, 6/30/2032 |
1,186,795
|
|
4,600,000
|
|
Cloud
Software Group, Inc., Sec. Fac. Bond, 144A, 9.000%, 9/30/2029 |
4,676,101
|
|
4,050,000
|
|
Coherent
Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 |
3,868,712
|
Annual
Financial Statements and Additional Information
8
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
CORPORATE
BONDS—continued |
|
|
|
|
Technology—continued
|
|
|
$ 2,075,000
|
|
Consensus
Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.000%, 10/15/2026 |
$ 2,059,526
|
|
3,000,000
|
|
Consensus
Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.500%, 10/15/2028 |
2,978,315
|
|
4,000,000
|
|
Elastic
N.V., Sr. Unsecd. Note, 144A, 4.125%, 7/15/2029 |
3,712,086
|
|
675,000
|
|
Ellucian
Holdings, Inc., Sec. Fac. Bond, 144A, 6.500%, 12/1/2029 |
676,974
|
|
875,000
|
|
Entegris
Escrow Corp., Sec. Fac. Bond, 144A, 4.750%, 4/15/2029 |
838,580
|
|
4,400,000
|
|
Entegris
Escrow Corp., Sr. Unsecd. Note, 144A, 5.950%, 6/15/2030 |
4,368,123
|
|
300,000
|
|
Entegris,
Inc., Sr. Unsecd. Note, 144A, 4.375%, 4/15/2028 |
286,921
|
|
2,200,000
|
|
Fortress
Intermediate 3, Inc., Sec. Fac. Bond, 144A, 7.500%, 6/1/2031 |
2,246,026
|
|
1,026,795
|
|
Goto
Group, Inc., 144A, 5.500%, 5/1/2028 |
877,910
|
|
1,417,955
|
|
Goto
Group, Inc., 144A, 5.500%, 5/1/2028 |
581,362
|
|
4,000,000
|
|
HealthEquity,
Inc., Sr. Unsecd. Note, 144A, 4.500%, 10/1/2029 |
3,754,418
|
|
1,000,000
|
|
Helios
Software Holdings, Sec. Fac. Bond, 144A, 4.625%, 5/1/2028 |
923,556
|
|
1,350,000
|
|
Insight
Enterprises, Inc., Sr. Unsecd. Note, 144A, 6.625%, 5/15/2032 |
1,359,326
|
|
1,050,000
|
|
Iron
Mountain, Inc., 144A, 6.250%, 1/15/2033 |
1,046,500
|
|
4,600,000
|
|
Iron
Mountain, Inc., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2029 |
4,703,555
|
|
8,450,000
|
|
McAfee
Corp., Sr. Unsecd. Note, 144A, 7.375%, 2/15/2030 |
8,217,553
|
|
1,275,000
|
|
NCR
Atleos Escrow Corp., 144A, 9.500%, 4/1/2029 |
1,382,412
|
|
900,000
|
|
NCR
Voyix Corp., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2028 |
866,430
|
|
1,575,000
|
|
NCR
Voyix Corp., Sr. Unsecd. Note, 144A, 5.125%, 4/15/2029 |
1,508,464
|
|
1,300,000
|
|
Open
Text, Inc., 144A, 6.900%, 12/1/2027 |
1,344,561
|
|
3,100,000
|
|
Open
Text, Inc., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2028 |
2,922,903
|
|
875,000
|
|
Rocket
Software, Inc., Sec. Fac. Bond, 144A, 9.000%, 11/28/2028 |
908,059
|
|
5,400,000
|
|
Rocket
Software, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2029 |
5,091,124
|
|
2,025,000
|
|
Science
Applications International Corp., Sr. Unsecd. Note, 144A, 4.875%, 4/1/2028 |
1,950,234
|
|
100,000
|
|
Seagate
HDD Cayman, Sr. Unsecd. Note, 8.250%, 12/15/2029 |
106,641
|
|
825,000
|
|
Seagate
HDD Cayman, Sr. Unsecd. Note, 8.500%, 7/15/2031 |
882,972
|
|
2,941,000
|
|
Seagate
HDD Cayman, Sr. Unsecd. Note, 9.625%, 12/1/2032 |
3,318,342
|
|
1,525,000
|
|
Sensata
Technologies B.V., Sr. Unsecd. Note, 144A, 5.875%, 9/1/2030 |
1,493,570
|
|
900,000
|
|
Sensata
Technologies, Inc., Sr. Unsecd. Note, 144A, 6.625%, 7/15/2032 |
903,147
|
|
5,425,000
|
|
SS&C
Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027 |
5,377,621
|
|
750,000
|
|
SS&C
Technologies, Inc., Sr. Unsecd. Note, 144A, 6.500%, 6/1/2032 |
757,285
|
|
2,075,000
|
|
Synaptics,
Inc., Sr. Unsecd. Note, 144A, 4.000%, 6/15/2029 |
1,893,019
|
|
2,825,000
|
|
TTM
Technologies, Inc., Sr. Unsecd. Note, 144A, 4.000%, 3/1/2029 |
2,624,071
|
|
5,675,000
|
|
UKG,
Inc., Sec. Fac. Bond, 144A, 6.875%, 2/1/2031 |
5,763,573
|
|
1,750,000
|
|
Viavi
Solutions, Inc., Sr. Unsecd. Note, 144A, 3.750%, 10/1/2029 |
1,586,845
|
|
700,000
|
|
Zebra
Technologies Corp., Sr. Unsecd. Note, 144A, 6.500%, 6/1/2032 |
710,721
|
|
1,500,000
|
|
ZipRecruiter,
Inc., Sr. Unsecd. Note, 144A, 5.000%, 1/15/2030 |
1,352,877
|
|
|
|
TOTAL
|
117,379,104
|
|
|
|
Transportation
Services—0.4% |
|
|
1,825,000
|
|
Stena
International S.A., Sr. Secd. Note, 144A, 7.250%, 1/15/2031 |
1,870,539
|
|
1,525,000
|
|
Watco
Cos LLC/Finance Co., Sr. Unsecd. Note, 144A, 7.125%, 8/1/2032 |
1,573,417
|
|
|
|
TOTAL
|
3,443,956
|
|
|
|
Utility
- Electric—2.9% |
|
|
400,000
|
|
Calpine
Corp., Sr. Secd. Note, 144A, 3.750%, 3/1/2031 |
357,798
|
|
2,800,000
|
|
Calpine
Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2031 |
2,635,064
|
|
3,000,000
|
|
Calpine
Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028 |
2,911,849
|
|
1,300,000
|
|
NextEra
Energy Operating Partners LP, Sr. Unsecd. Note, 144A, 4.500%, 9/15/2027 |
1,245,728
|
|
2,500,000
|
|
NextEra
Energy Operating Partners LP, Sr. Unsecd. Note, 144A, 7.250%, 1/15/2029 |
2,559,815
|
|
925,000
|
|
NRG
Energy, Inc., Sr. Unsecd. Note, 144A, 3.375%, 2/15/2029 |
840,074
|
|
1,000,000
|
|
NRG
Energy, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2031 |
875,152
|
|
187,000
|
|
NRG
Energy, Inc., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2032 |
163,445
|
|
1,400,000
|
|
NRG
Energy, Inc., Sr. Unsecd. Note, 144A, 5.750%, 7/15/2029 |
1,367,967
|
|
675,000
|
|
NRG
Energy, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/1/2033 |
656,114
|
|
825,000
|
|
NRG
Energy, Inc., Sr. Unsecd. Note, 144A, 6.250%, 11/1/2034 |
809,849
|
|
2,025,000
|
|
TerraForm
Power Operating LLC, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 |
1,873,577
|
|
2,400,000
|
|
TerraForm
Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028 |
2,314,194
|
Annual
Financial Statements and Additional Information
9
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
CORPORATE
BONDS—continued |
|
|
|
|
Utility
- Electric—continued |
|
|
$ 1,525,000
|
|
TransAlta
Corp., Sr. Unsecd. Note, 7.750%, 11/15/2029 |
$ 1,591,563
|
|
3,475,000
|
|
Vistra
Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026 |
3,466,905
|
|
400,000
|
|
Vistra
Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027 |
399,600
|
|
825,000
|
|
Vistra
Operations Co., LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/15/2032 |
845,515
|
|
2,300,000
|
|
Vistra
Operations Co., LLC, Sr. Unsecd. Note, 144A, 7.750%, 10/15/2031 |
2,414,990
|
|
|
|
TOTAL
|
27,329,199
|
|
|
|
TOTAL
CORPORATE BONDS
(IDENTIFIED
COST $921,533,211) |
881,961,230
|
|
|
|
COMMON
STOCK—0.0% |
|
|
|
|
Media
Entertainment—0.0% |
|
|
7,882
|
2,3
|
Audacy
Capital Corp.
(IDENTIFIED
COST $5,372,443) |
170,724
|
|
|
|
WARRANTS—0.0%
|
|
|
|
|
Media
Entertainment—0.0% |
|
|
9,554
|
2,3
|
Audacy
Capital Corp., Warrants 9/30/2028 |
96
|
|
1,592
|
2,3
|
Audacy
Capital Corp., Warrants 9/30/2028 |
16
|
|
|
|
TOTAL
WARRANTS
(IDENTIFIED
COST $3,226) |
112
|
|
|
|
INVESTMENT
COMPANY—3.7% |
|
|
34,129,461
|
|
Federated
Hermes Government Obligations Fund, Premier Shares, 4.40%4
(IDENTIFIED
COST $34,129,461) |
34,129,461
|
|
|
|
TOTAL
INVESTMENT IN SECURITIES—98.9%
(IDENTIFIED
COST $961,038,341)5
|
916,261,527
|
|
|
|
OTHER
ASSETS AND LIABILITIES - NET—1.1%6
|
9,939,463
|
|
|
|
TOTAL
NET ASSETS—100% |
$926,200,990
|
Transactions with affiliated investment
companies, which are funds managed by the Adviser or an affiliate of the Adviser, during the period
ended December 31, 2024, were as follows:
|
|
Federated
Hermes
Institutional
Prime
Value
Obligations
Fund,
Institutional
Shares |
Federated
Hermes
Government
Obligations
Fund,
Premier
Shares |
Total
of
Affiliated
Transactions
|
|
Value
as of 12/31/2023 |
$32,017,578
|
$—
|
$32,017,578
|
|
Purchases
at Cost |
$120,104,675
|
$150,026,450
|
$270,131,125
|
|
Proceeds
from Sales |
$(152,101,748)
|
$(115,896,989)
|
$(267,998,737)
|
|
Change
in Unrealized Appreciation/Depreciation |
$(4,295)
|
$—
|
$(4,295)
|
|
Net
Realized Gain/(Loss) |
$(16,210)
|
$—
|
$(16,210)
|
|
Value
as of 12/31/2024 |
$—
|
$34,129,461
|
$34,129,461
|
|
Shares
Held as of 12/31/2024 |
—
|
34,129,461
|
34,129,461
|
|
Dividend
Income |
$615,356
|
$905,608
|
$1,520,964
|
|
1
|
Issuer
in default. |
|
2
|
Non-income-producing
security. |
|
3
|
Market
quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures
established
by
and under the general supervision of the Fund’s Adviser acting through its Valuation Committee (“Valuation Committee”).
|
|
4
|
7-day
net yield. |
|
5
|
The
cost of investments for federal tax purposes amounts to $966,495,764. |
|
6
|
Assets,
other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Note: The categories of investments are
shown as a percentage of total net assets at December 31, 2024.
Various inputs are used in determining the
value of the Fund’s investments. These inputs are summarized in the three broad levels listed
below:
Level 1—quoted prices in active
markets for identical securities.
Level 2—other significant observable
inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk,
etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable
inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing
securities are not an indication of the risk associated with investing in those securities.
Annual
Financial Statements and Additional Information
10
The following is a summary of the inputs used, as of December 31, 2024, in valuing the Fund’s assets carried at fair value:
|
Valuation
Inputs | ||||
|
|
Level
1—
Quoted
Prices
|
Level
2—
Other
Significant
Observable
Inputs
|
Level
3—
Significant
Unobservable
Inputs
|
Total
|
|
Debt
Securities: |
|
|
|
|
|
Corporate
Bonds |
$—
|
$881,961,230
|
$—
|
$881,961,230
|
|
Equity
Security: |
|
|
|
|
|
Common
Stock |
|
|
|
|
|
Domestic
|
—
|
—
|
170,724
|
170,724
|
|
Warrants
|
—
|
—
|
112
|
112
|
|
Investment
Company |
34,129,461
|
—
|
—
|
34,129,461
|
|
TOTAL
SECURITIES |
$34,129,461
|
$881,961,230
|
$170,836
|
$916,261,527
|
|
The
following acronym(s) are used throughout this portfolio: |
| |
|
GMTN
|
—Global
Medium Term Note | |
|
PIK
|
—Payment
in Kind | |
See Notes which are an integral part of
the Financial Statements
Annual
Financial Statements and Additional Information
11
Financial
Highlights
(For a Share Outstanding Throughout Each
Period)
|
|
Year Ended December 31,
| ||||
|
|
2024
|
2023
|
2022
|
2021
|
2020
|
|
Net Asset
Value, Beginning of Period |
$5.59
|
$5.22
|
$6.34
|
$6.35
|
$6.36
|
|
Income
From Investment Operations: |
|
|
|
|
|
|
Net
investment income (loss)1
|
0.33
|
0.34
|
0.33
|
0.33
|
0.35
|
|
Net
realized and unrealized gain (loss) |
0.05
|
0.39
|
(1.08)
|
0.01
|
0.01
|
|
TOTAL
FROM INVESTMENT OPERATIONS |
0.38
|
0.73
|
(0.75)
|
0.34
|
0.36
|
|
Less Distributions:
|
|
|
|
|
|
|
Distributions
from net investment income |
(0.36)
|
(0.36)
|
(0.37)
|
(0.35)
|
(0.37)
|
|
Net
Asset Value, End of Period |
$5.61
|
$5.59
|
$5.22
|
$6.34
|
$6.35
|
|
Total
Return2
|
6.97%
|
14.43%
|
(11.96)%
|
5.42%
|
6.09%
|
|
Ratios
to Average Net Assets: |
|
|
|
|
|
|
Net
expenses3
|
0.04%
|
0.04%
|
0.04%
|
0.02%
|
0.03%
|
|
Net
investment income |
5.92%
|
6.34%
|
5.77%
|
5.16%
|
5.70%
|
|
Expense
waiver/reimbursement |
—%
|
—%
|
—%
|
—%
|
—%
|
|
Supplemental
Data: |
|
|
|
|
|
|
Net
assets, end of period (000 omitted) |
$926,201
|
$845,567
|
$745,111
|
$2,494,249
|
$2,212,263
|
|
Portfolio
turnover4
|
22%
|
16%
|
13%
|
34%
|
38%
|
|
1
|
Per
share numbers have been calculated using the average shares method. |
|
2
|
Based
on net asset value. |
|
3
|
Amount
does not reflect net expenses incurred by investment companies in which the Fund may invest. |
|
4
|
Securities
that mature are considered sales for purposes of this calculation. |
See Notes which are an integral part of
the Financial Statements
Annual
Financial Statements and Additional Information
12
Statement
of Assets and Liabilities
December 31, 2024
|
Assets:
|
|
|
Investment
in securities, at value including $34,129,461 of investments in affiliated holdings* (identified
cost $961,038,341, including
$34,129,461
of identified cost in affiliated holdings) |
$916,261,527
|
|
Cash
|
100,547
|
|
Income
receivable |
14,692,655
|
|
Income
receivable from affiliated holdings |
115,744
|
|
Total
Assets |
931,170,473
|
|
Liabilities:
|
|
|
Income
distribution payable |
4,856,119
|
|
Accrued
expenses (Note 5)
|
113,364
|
|
Total
Liabilities |
4,969,483
|
|
Net
assets for 165,032,894 shares outstanding |
$926,200,990
|
|
Net Assets
Consist of: |
|
|
Paid-in
capital |
$1,171,097,934
|
|
Total
distributable earnings (loss) |
(244,896,944)
|
|
Total
Net Assets |
$926,200,990
|
|
Net Asset
Value, Offering Price and Redemption Proceeds Per Share: |
|
|
$926,200,990
÷ 165,032,894 shares outstanding, no par value, unlimited shares authorized |
$5.61
|
|
*
|
See
information listed after the Fund’s Portfolio of Investments. |
See Notes which are an integral part of
the Financial Statements
Annual
Financial Statements and Additional Information
13
Statement
of Operations
Year Ended December
31, 2024
|
Investment
Income: |
|
|
Interest
|
$52,374,127
|
|
Dividends
(including $1,520,964 received from affiliated holdings*) |
1,917,619
|
|
TOTAL
INCOME |
54,291,746
|
|
Expenses:
|
|
|
Administrative
fee (Note 5)
|
6,990
|
|
Custodian
fees |
37,067
|
|
Transfer
agent fees |
56,389
|
|
Directors’/Trustees’
fees (Note 5)
|
5,148
|
|
Auditing
fees |
40,649
|
|
Legal
fees |
10,859
|
|
Portfolio
accounting fees |
154,704
|
|
Share
registration costs |
100
|
|
Printing
and postage |
19,437
|
|
Commitment
fee (Note 7) |
5,406
|
|
Miscellaneous
(Note 5)
|
14,619
|
|
TOTAL
EXPENSES |
351,368
|
|
Net
investment income |
53,940,378
|
|
Realized
and Unrealized Gain (Loss) on Investments: |
|
|
Net
realized loss on investments (including net realized loss of $(16,210) on sales of investments in affiliated holdings*) |
(22,585,852)
|
|
Net
change in unrealized depreciation of investments (including net change in unrealized appreciation of $(4,295) on investments in affiliated
holdings*)
|
31,704,239
|
|
Net
realized and unrealized gain (loss) on investments |
9,118,387
|
|
Change
in net assets resulting from operations |
$63,058,765
|
|
*
|
See
information listed after the Fund’s Portfolio of Investments. |
See Notes which are an integral part of
the Financial Statements
Annual
Financial Statements and Additional Information
14
Statement
of Changes in Net Assets
|
Year
Ended December 31 |
2024
|
2023
|
|
Increase
(Decrease) in Net Assets |
|
|
|
Operations:
|
|
|
|
Net
investment income |
$53,940,378
|
$50,343,766
|
|
Net
realized gain (loss) |
(22,585,852)
|
(25,508,183)
|
|
Net
change in unrealized appreciation/depreciation |
31,704,239
|
82,616,504
|
|
CHANGE
IN NET ASSETS RESULTING FROM OPERATIONS |
63,058,765
|
107,452,087
|
|
Distributions
to Shareholders |
(58,325,229)
|
(52,999,823)
|
|
Share Transactions:
|
|
|
|
Proceeds
from sale of shares |
135,240,200
|
135,520,135
|
|
Net
asset value of shares issued to shareholders in payment of distributions declared |
9,085,405
|
3,222,946
|
|
Cost
of shares redeemed |
(68,425,507)
|
(92,738,571)
|
|
CHANGE
IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS |
75,900,098
|
46,004,510
|
|
Change
in net assets |
80,633,634
|
100,456,774
|
|
Net Assets:
|
|
|
|
Beginning
of period |
845,567,356
|
745,110,582
|
|
End
of period |
$926,200,990
|
$845,567,356
|
See Notes which are an integral part of
the Financial Statements
Annual
Financial Statements and Additional Information
15
Notes to
Financial Statements
December 31, 2024
1. ORGANIZATION
Federated Hermes Core Trust (the “Trust”)
is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end
management investment company. The Trust consists of four portfolios. The financial statements included herein are only those
of High Yield Bond Core Fund (the “Fund”), a diversified portfolio. The financial statements of the other portfolios are presented
separately. The assets of each portfolio are segregated and a
shareholder’s interest is limited to the portfolio in which shares are held. Each
portfolio pays its own expenses. The investment objective of the Fund is to seek high current income.
The Fund’s portfolio
consists primarily of lower rated corporate debt obligations. These lower rated debt obligations may be more susceptible
to real or perceived adverse economic conditions than investment-grade bonds. These lower rated debt obligations are regarded
as predominately speculative with respect to each issuer’s continuing ability to make interest and principal payments (i.e., the
obligations are subject to the risk of default). Currently, shares
of the Fund are being offered for investment only to investment companies,
insurance company separate accounts, common or commingled trust funds or similar organizations or parties that are “accredited
investors” within the meaning of Regulation D of the Securities Act of 1933, as amended (the “1933 Act”).
2. SIGNIFICANT
ACCOUNTING POLICIES
The following is a summary of significant
accounting policies consistently followed by the Fund in the preparation of its financial statements.
These policies are in conformity with U.S. generally accepted accounting principles (GAAP).
Investment Valuation
In
calculating its net asset value (NAV), the Fund generally values investments as follows:
■
Fixed-income
securities are fair valued using price evaluations provided by a pricing service approved by Federated Investment Management
Company (the “Adviser”).
■
Shares
of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs, or NAV per share
practical expedient, as applicable.
■
Derivative
contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean
of closing bid and ask quotations.
■
Over-the-counter
(OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the
Adviser.
■
For
securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, certain
factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer
or dealers, analysis of the issuer’s financial statements or other available documents, fundamental analytical data, the nature
and duration of restrictions on disposition, the movement of the
market in which the security is normally traded, public trading in similar securities
or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited
to industry changes and relevant government actions.
If any price, quotation, price evaluation
or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain
price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth
in the Adviser’s valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion
of the Adviser’s valuation committee (“Valuation Committee”),
is deemed not representative of the fair value of such security, the Fund uses the
fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund
could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines
its NAV per share, and the actual value obtained could be materially different.
Fair Valuation and Significant Events Procedures
Pursuant
to Rule 2a-5 under the Act, the Fund’s Board of Trustees (the “Trustees”) has designated the Adviser as the Fund’s
valuation designee to perform any fair value determinations for
securities and other assets held by the Fund. The Adviser is subject to the Trustees’
oversight and certain reporting and other requirements intended to provide the Trustees the information needed to oversee the
Adviser’s fair value determinations.
The Adviser, acting through
its Valuation Committee, is responsible for determining the fair value of investments for which market quotations
are not readily available. The Valuation Committee is comprised of officers of the Adviser and certain of the Adviser’s affiliated
companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is also authorized to use
pricing services to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The
Valuation Committee employs various methods for reviewing third-party
pricing-service evaluations including periodic reviews of third-party
pricing services’ policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional
back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on
recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee
determines the fair value of the investment in accordance with procedures adopted by the Adviser. The Trustees periodically review
the fair valuations made by the Valuation Committee. The Trustees have also approved the Adviser’s fair valuation and significant
events procedures as part of the Fund’s compliance program
and will review any changes made to the procedures.
Factors considered by
pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon,
maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers
and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an
investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price
between
Annual
Financial Statements and Additional Information
16
the prices bid and
ask for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities,
mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income
securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment,
the fair value of the investment is determined in accordance with procedures adopted by the Adviser.
The Adviser has also
adopted procedures requiring an investment to be priced at its fair value whenever the Valuation Committee determines
that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment
would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both
an affirmative expectation that the investment’s value will change in response to the event and a reasonable basis for quantifying
the resulting change in value. Examples of significant events
that may occur after the close of the principal market on which a security is traded,
or after the time of a price evaluation provided by a pricing service or a dealer, include:
■
With
respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities
index futures contracts;
■
Political
or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are
traded;
■
Announcements
concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer’s
operations or regulatory changes or market developments affecting the issuer’s industry.
The Adviser has adopted procedures whereby
the Valuation Committee uses a pricing service to provide factors to update the fair value of
equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the
pricing time of the Fund. For other significant events, the Fund
may seek to obtain more current quotations or price evaluations from alternative
pricing sources. If a reliable alternative pricing source is not available, the Valuation Committee will determine the fair value of the
investment in accordance with the fair valuation procedures approved by the Adviser. The Trustees periodically review fair valuations
made in response to significant events.
Investment Income, Gains and Losses, Expenses and Distributions
Investment
transactions are accounted for on a trade-date basis. Realized gains and losses from investment transactions are recorded on an
identified-cost basis. Interest income and expenses are accrued daily. Dividend income and distributions to shareholders are recorded
on the ex-dividend date. Foreign dividends are recorded on the
ex-dividend date or when the Fund is informed of the ex-dividend date. Distributions
of net investment income, if any, are declared daily and paid monthly. In addition, distributions of capital gains, if any, are declared
and paid at least annually. Non-cash dividends included in dividend income, if any, are recorded at fair value. Amortization/accretion
of premium and discount is included in investment income.
Federal Taxes
It
is the Fund’s policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986 (the “Code”) and
to distribute to shareholders each year substantially all of its
income. Accordingly, no provision for federal income tax is necessary. As of and during the year
ended December 31, 2024, the Fund did not have a liability for any uncertain tax positions. The Fund recognizes interest and penalties,
if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2024, tax years 2021
through 2024 remain subject to examination by the Fund’s major tax jurisdictions, which include the United States of America and
the Commonwealth of Massachusetts.
When-Issued and Delayed-Delivery Transactions
The
Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued securities on the trade date and maintains
security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased
on a when-issued or delayed-delivery basis are marked to market daily and begin earning interest on the settlement date. Losses
may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the
contract.
Restricted Securities
The
Fund may purchase securities which are considered restricted. Restricted securities are securities that either: (a) cannot be offered
for public sale without first being registered, or being able
to take advantage of an exemption from registration, under the 1933 Act; or (b)
are subject to contractual restrictions on public sales. In some cases, when a security cannot be offered for public sale without first
being registered, the issuer of the restricted security has agreed
to register such securities for resale, at the issuer’s expense, either upon demand
by the Fund or in connection with another registered offering of the securities. Many such restricted securities may be resold in the
secondary market in transactions exempt from registration. Restricted securities may be determined to be liquid under criteria established
by the Trustees. The Fund will not incur any registration costs upon such resales. The Fund’s restricted securities, like other
securities, are priced in accordance with procedures established
by and under the general supervision of the Adviser.
Other
The
preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the
amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ materially from
those estimated. The Fund applies investment company accounting
and reporting guidance.
Annual
Financial Statements and Additional Information
17
3. SHARES
OF BENEFICIAL INTEREST
The following table summarizes share activity:
|
|
Year
Ended
12/31/2024
|
Year
Ended
12/31/2023
|
|
Shares
sold |
24,253,646
|
25,323,647
|
|
Shares
issued to shareholders in payment of distributions declared |
1,624,973
|
600,019
|
|
Shares
redeemed |
(12,230,602)
|
(17,409,623)
|
|
NET
CHANGE RESULTING FROM FUND SHARE TRANSACTIONS |
13,648,017
|
8,514,043
|
4. FEDERAL
TAX INFORMATION
The tax character of distributions as reported
on the Statement of Changes in Net Assets for the years ended December 31, 2024 and 2023,
was as follows:
|
|
2024
|
2023
|
|
Ordinary
income |
$58,325,229
|
$52,999,823
|
As of December 31, 2024, the components
of distributable earnings on a tax-basis were as follows:
|
Undistributed
ordinary income |
$657,956
|
|
Net
unrealized depreciation |
$(50,234,237)
|
|
Capital
loss carryforwards |
$(195,320,663)
|
|
TOTAL
|
$(244,896,944)
|
At December 31, 2024, the cost of investments
for federal tax purposes was $966,495,764. The net unrealized depreciation of investments
for federal tax purposes was $50,234,237. This consists of unrealized appreciation from investments for those securities having
an excess of value over cost of $9,090,940 and unrealized depreciation from investments for those securities having an excess of cost
over value of $59,325,177. The difference between book-basis and tax-basis net unrealized depreciation is attributable to differing treatments
for wash sales, defaulted securities and discount accretion/premium amortization on debt securities.
As of December 31, 2024,
the Fund had a capital loss carryforward of $195,320,663 which will reduce the Fund’s taxable income arising
from future net realized gains on investments, if any, to the extent permitted by the Code, thereby reducing the amount of distributions
to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. Pursuant to the
Code, these net capital losses retain their character as either short-term or long-term and do not expire.
The following schedule summarizes the Fund’s
capital loss carryforwards:
|
Short-Term
|
Long-Term
|
Total
|
|
$27,458,444
|
$167,862,219
|
$195,320,663
|
The Fund used capital loss carryforwards
of $511,264 to offset capital gains realized during the year ended December 31, 2024.
5. INVESTMENT
ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Adviser Fee
The
Adviser, subject to the direction of the Trustees, provides investment adviser services at no fee, because all investors in the Fund are
other Federated Hermes Funds, insurance company separate accounts,
common or commingled trust funds or similar organizations or entities
that are “accredited investors” within the meaning of Regulation D of the 1933 Act. The Fund pays operating expenses associated
with the operation and maintenance of the Fund (excluding fees and expenses that may be charged by the Adviser and its affiliates).
Although not contractually obligated to do so, the Adviser intends to voluntarily reimburse operating expenses (excluding extraordinary
expenses and proxy-related expenses paid by the Fund, if any) such that the Fund will only bear such expenses in an amount
of up to 0.15% of the Fund’s average daily net assets. The Adviser can modify or terminate this voluntary reimbursement at any time
at its sole discretion.
Administrative Fee
Federated
Administrative Services (FAS), under the Administrative Services Agreement, provides the Fund with administrative personnel and
services. FAS does not charge the Fund a fee but is entitled to certain out-of-pocket expenses.
Directors’/Trustees’ and Miscellaneous Fees
Certain
Officers and Trustees of the Fund are Officers and Directors or Trustees of certain of the above companies. To efficiently facilitate
payment, Independent Directors’/Trustees’ fees and
certain expenses related to conducting meetings of the Directors/Trustees and other
miscellaneous expenses are paid by an affiliate of the Adviser which in due course are reimbursed by the Fund. These expenses related
to conducting meetings of the Directors/Trustees and other miscellaneous expenses may be included in Accrued and Miscellaneous
Expenses on the Statement of Assets and Liabilities and Statement of Operations, respectively.
Annual
Financial Statements and Additional Information
18
Affiliated Shares of Beneficial
Interest
As
of December 31, 2024, a majority of the shares of beneficial interest outstanding are owned by other affiliated investment companies.
6. INVESTMENT
TRANSACTIONS
Purchases and sales of investments, excluding
long-term U.S. government securities and short-term obligations, for the year ended December
31, 2024, were as follows:
|
Purchases
|
$266,529,927
|
|
Sales
|
$194,238,269
|
7. LINE
OF CREDIT
The Fund participates with certain other
Federated Hermes Funds, on a several basis, in an up to $500,000,000 unsecured, 364-day, committed,
revolving line of credit (LOC) agreement dated June 18, 2024. The LOC was made available to temporarily finance the repurchase
or redemption of shares of the Fund, failed trades, payment of dividends, settlement of trades and for other short-term, temporary
or emergency general business purposes. The Fund cannot borrow under the LOC if an inter-fund loan is outstanding. The Fund’s
ability to borrow under the LOC also is subject to the limitations of the Act and various conditions precedent that must be satisfied
before the Fund can borrow. Loans under the LOC are charged interest at a fluctuating rate per annum equal to (a) the highest, on
any day, of (i) the federal funds effective rate, (ii) the published secured overnight financing rate plus an assigned percentage, and
(iii) 0.0%, plus (b) a margin. Any fund eligible to borrow under
the LOC pays its pro rata share of a commitment fee based on the amount of
the lenders’ commitment that has not been utilized, quarterly in arrears and at maturity. As of December 31, 2024, the Fund had
no outstanding loans. During the year ended December 31, 2024,
the Fund did not utilize the LOC.
8. Interfund
Lending
Pursuant to an Exemptive Order issued by
the Securities and Exchange Commission, the Fund, along with other funds advised by subsidiaries
of Federated Hermes, Inc., may participate in an interfund lending program. This program provides an alternative credit facility
allowing the Fund to borrow from other participating affiliated funds. As of December 31, 2024, there were no outstanding loans. During
the year ended December 31, 2024, the program was not utilized.
9. OPERATING
SEGMENTS
In this reporting period, the Fund adopted
FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to
Reportable Segment Disclosures. Adoption of the new standard impacted financial statement disclosures only and did not affect the Fund’s
financial position or the results of its operations. An operating segment is defined as a component of a public entity that engages in
business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the
public entity’s chief operating decision maker (CODM) to
make decisions about resources to be allocated to the segment and assess its performance,
and has discrete financial information available. A management committee of the Adviser acts as the CODM. The Fund represents
a single operating segment, as the CODM monitors the operating results of the Fund as a whole and the strategic asset allocation
is determined based on the investment objective of the Fund and executed by the Fund’s portfolio management team. The financial
information in the form of the Fund’s portfolio composition, total returns, expense ratios and changes in net assets (i.e., changes
in net assets resulting from operations, subscriptions and redemptions)
which is reviewed by the CODM to assess the Fund’s performance
in comparison to the Fund’s benchmarks and to make resource allocation decisions for the Fund’s single segment is consistent
with the information presented in these financial statements. Segment assets are reflected on the accompanying Statement of Assets
and Liabilities as “total assets” and significant segment expenses are listed on the accompanying Statement of Operations.
10. INDEMNIFICATIONS
Under the Fund’s organizational documents,
its Officers and Directors/Trustees are indemnified against certain liabilities arising out of the
performance of their duties to the Fund (other than liabilities arising out of their willful misfeasance, bad faith, gross negligence
or reckless disregard of their duties to the Fund). In addition,
in the normal course of business, the Fund provides certain indemnifications under
arrangements with third parties. Typically, obligations to indemnify a third party arise in the context of an arrangement entered into
by the Fund under which the Fund agrees to indemnify such third party for certain liabilities arising out of actions taken pursuant to
the arrangement, provided the third party’s actions are
not deemed to have breached an agreed-upon standard of care (such as willful misfeasance,
bad faith, gross negligence or reckless disregard of their duties under the contract). The Fund’s maximum exposure under these
arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet arisen. The Fund
does not anticipate any material claims or losses pursuant to these arrangements at this time, and accordingly expects the risk of loss
to be remote.
11. FEDERAL
TAX INFORMATION (UNAUDITED)
For the fiscal year ended December 31, 2024,
86.7% of dividends paid by the Fund are interest related dividends, as provided by the American
Jobs Creation Act of 2004. 99.3% of total ordinary income distributions qualified as business interest income for purposes of 163(j)
and the regulations thereunder.
Annual
Financial Statements and Additional Information
19
Report of
Independent Registered Public Accounting Firm
TO THE SHAREHOLDERS AND BOARD
OF TRUSTEES OF HIGH YIELD BOND CORE FUND:
Opinion on the Financial Statements
We have audited the accompanying
statement of assets and liabilities of High Yield Bond Core Fund (the “Fund”) (one of the
portfolios constituting Federated Hermes Core Trust (the “Trust”)) including the portfolio of investments, as of December
31, 2024, and the related statement of operations for the year then ended, the statement of changes in net assets for
each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended
and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present
fairly, in all material respects, the financial position of the Fund (one of the portfolios constituting Federated Hermes
Core Trust) at December 31, 2024, the results of its operations for the year then ended, the changes in its net assets
for each of the two years in the period then ended and its financial highlights for each of the five years in the period then
ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are
the responsibility of the Trust’s management. Our responsibility is to express an opinion on the
Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting
Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance
with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission
and in accordance with the relevant ethical requirements relating to our audits.
We conducted our audits in accordance
with the auditing standards of the PCAOB and in accordance with auditing standards
generally accepted in the United States of America. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error
or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over
financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting,
but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial
reporting. Accordingly, we express no such opinion.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due
to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation
of securities owned as of December 31, 2024, by correspondence with the custodian, brokers, and others; when
replies were not received from brokers or others, we performed other auditing procedures. Our audits also included evaluating
the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation
of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor
of one or more Federated Hermes investment companies since 1979.
Boston, Massachusetts
February 24, 2025
February 24, 2025
Annual
Financial Statements and Additional Information
20
Shareholder
Meeting Results (unaudited)
At a Special Meeting held on
October 25, 2024, shareholders of the Federated Hermes Core Trust (the “Trust”) elected Trustees
of the Trust. Shareholders of the Trust elected new individuals to serve as Trustees effective January 1, 2025, who
will serve on the Board with current Trustees Messrs. J. Christopher Donahue, John B. Fisher, John G. Carson, G.
Thomas Hough, Thomas M. O’Neill, John S. Walsh and Ms. Madelyn A. Reilly. Under the Trust’s Director Service Policy,
Trustees Judge Maureen Lally-Green and Mr. P. Jerome Richey retired from the Board on December 31, 2024. The
number of votes cast for, against or withheld, as well as the number of abstentions and broker non-votes with respect to
the election of each nominee for office, is included below.
|
Trustee:
|
Voted
For |
Withheld
Authority |
Abstained
|
Broker
Non-Voting |
|
J.
Christopher Donahue |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
John
B. Fisher |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
John
G. Carson |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
G.
Thomas Hough |
966,480,352.584
|
46,842,079.926
|
0
|
N/A
|
|
Karen
L. Larrimer |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
Max
F. Miller |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
Frank
J. Nasta |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
Thomas
M. O’Neill |
966,480,352.584
|
46,842,079.926
|
0
|
N/A
|
|
Madelyn
A. Reilly |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
John
S. Walsh |
966,480,352.584
|
46,842,079.926
|
0
|
N/A
|
Annual
Financial Statements and Additional Information
21
Evaluation
and Approval of Advisory Contract–May
2024
High Yield Bond Core Fund (the
“Fund”)
At its meetings in May 2024 (the
“May Meetings”), the Fund’s Board of Trustees (the “Board”), including those Trustees who
are not “interested persons” of the Fund, as defined in the Investment Company Act of 1940 (the “Independent Trustees”),
reviewed and unanimously approved the continuation of the investment advisory contract between the Fund and
Federated Investment Management Company (the “Adviser”) (the “Contract”) for an additional one-year term. The
Board’s determination to approve the continuation
of the Contract reflects the exercise of its business judgment after considering
all of the information and factors believed to be relevant and appropriate on whether to approve the continuation
of the existing arrangement. The information, factors and conclusions that formed the basis for the Board’s approval
are summarized below.
The Board
considered that the Fund is distinctive in that it is designed for the efficient management of a particular asset class
and is made available for investment only to other funds (each, a “Federated Hermes Fund” and, collectively the “Federated
Hermes Funds”) advised by the Adviser or its affiliates (collectively, “Federated Hermes”) and a limited number
of other accredited investors.
In addition,
the Board considered that the Adviser does not charge an investment advisory fee for its services, although Federated
Hermes may receive compensation for managing assets invested in the Fund.
Information Received
and Review Process
At the request
of the Independent Trustees, the Fund’s Chief Compliance Officer (the “CCO”) furnished to the Board in advance
of its May Meetings an independent written evaluation of the Fund’s management fee (the “CCO Fee Evaluation Report”).
The Board considered the CCO Fee Evaluation Report, along with other information, in evaluating the reasonableness
of the Fund’s management fee and in determining to approve the continuation of the Contract.
In addition
to the extensive materials that comprise and accompany the CCO Fee Evaluation Report, the Board considered
information specifically prepared in connection with the approval of the continuation of the Contract that was presented
at the May Meetings. In this regard, in the months preceding the May Meetings, the Board requested and reviewed
written responses and supporting materials prepared by Federated Hermes in response to requests posed to Federated
Hermes by independent legal counsel on behalf of the Independent Trustees encompassing a wide variety of topics,
including those summarized below. The Board also considered such additional matters as the Independent Trustees deemed
reasonably necessary to evaluate the Contract, which included detailed information about the Fund and Federated Hermes
furnished to the Board at its meetings throughout the year and in between regularly scheduled meetings on particular
matters as the need arose.
The Board’s
consideration of the Contract included review of materials and information covering the following matters, among
others: (1) copies of the Contracts; (2) the nature, quality and extent of the advisory and other services provided to the
Fund by Federated Hermes; (3) Federated Hermes’ business and operations; (4) the Adviser’s investment philosophy, personnel
and processes; (5) the Fund’s investment objectives and strategies; (6) the Fund’s short-term and long-term performance
- in absolute terms (both on a gross basis and net of expenses) and relative to its benchmark index; (7) the Fund’s
fees and expenses, including the advisory fee and the overall expense structure of the Fund, with due regard for contractual
or voluntary expense limitations (if any); (8) the financial condition of Federated Hermes; (9) the Adviser’s profitability
with respect to managing the Fund; (10) distribution and sales activity for the Fund; and (11) the use and allocation
of brokerage commissions derived from trading the Fund’s portfolio securities (if any).
The Board
also considered judicial decisions concerning allegedly excessive investment advisory fees charged to other registered
funds in evaluating the Contract. Using these judicial decisions as a guide, the Board considered several factors they
deemed relevant to an adviser’s fiduciary duty with respect to its receipt of compensation from a fund, including: (1)
the nature and quality of the services provided by the adviser to the fund and its shareholders, including the performance
of the fund, its benchmark and comparable funds; (2) the adviser’s cost of providing the services and the profitability
to the adviser of providing advisory services to the fund; (3) the extent to which the adviser may realize “economies
of scale” as the fund grows larger and, if such economies of scale exist, whether they have been appropriately shared
with the fund and its shareholders or the family of funds; (4) any “fall-out” benefits that accrue to the adviser because
of its relationship with the fund, including research services received from brokers that execute fund trades and any
fees paid to affiliates of the adviser for services rendered to the fund; (5) comparative fees and expenses, including a comparison
of management fees paid to the adviser with those paid by similar funds managed by the same adviser or other advisers
as well as management fees charged to institutional and other advisory clients of the same adviser for what might be
viewed as like services; and (6) the extent of care, conscientiousness and independence with which the fund’s board members
perform their duties and their expertise, including whether they are fully informed about all facts the board deems
relevant to its consideration of the adviser’s services and fees. The Board considered that the Securities and Exchange
Commission (“SEC”) disclosure requirements regarding the basis for a fund board’s approval of the fund’s
Annual
Financial Statements and Additional Information
22
investment
advisory contract generally align with the factors listed above. The Board was guided by these factors in its evaluation
of the Contract to the extent it considered them to be appropriate and relevant, as discussed further below. The Board
considered and weighed these factors in light of its substantial accumulated experience in governing the Fund and working
with Federated Hermes on matters relating to the oversight of the other Federated Hermes Funds.
In determining
to approve the continuation of the Contract, the members of the Board reviewed and evaluated information
and factors they believed to be relevant and appropriate through the exercise of their reasonable business judgment.
While individual members of the Board may have weighed certain factors differently, the Board’s determination
to approve the continuation of the Contract was based on a comprehensive consideration of all information provided
to the Board throughout the year and specifically with respect to the continuation of the Contract. The Board recognized
that its evaluation process is evolutionary and that the factors considered and emphasis placed on relevant factors
may change in recognition of changing circumstances in the registered fund marketplace. The Independent Trustees
were assisted throughout the evaluation process by independent legal counsel. In connection with their deliberations
at the May Meetings, the Independent Trustees met separately in executive session with their independent legal
counsel and without management present to review the relevant materials and consider their responsibilities under applicable
laws. In addition, senior management representatives of Federated Hermes also met with the Independent Trustees
and their independent legal counsel to discuss the materials and presentations furnished to the Board at the May Meetings.
The Board considered the approval of the Contract for the Fund as part of its consideration of agreements for funds
across the family of Federated Hermes Funds, but its approvals were made on a fund-by-fund basis.
Nature, Extent and
Quality of Services
The Board
considered the nature, extent and quality of the services provided to the Fund by the Adviser and the resources
of Federated Hermes dedicated to the Fund. In this regard, the Board evaluated, among other things, the terms of the
Contract and the full range of services provided to the Fund by Federated Hermes. The Board considered the Adviser’s personnel,
investment philosophy and process, investment research capabilities and resources, trade operations capabilities,
experience and performance track record. The Board reviewed the qualifications, backgrounds and responsibilities
of the portfolio management team primarily responsible for the day-to-day management of the Fund and evaluated
Federated Hermes’ ability and experience in attracting and retaining qualified personnel to service the Fund. The Board
considered the trading operations by the Adviser, including the execution of portfolio transactions and the selection of
brokers for those transactions. The Board also considered the Adviser’s ability to deliver competitive investment performance
for the Fund when compared to the Fund’s benchmark index, which was deemed by the Board to be a useful indicator
of how the Adviser is executing the Fund’s investment program.
In addition,
the Board considered the financial resources and overall reputation of Federated Hermes and its willingness to
consider and make investments in personnel, infrastructure, technology, cybersecurity, business continuity planning and operational
enhancements that are designed to benefit the Federated Hermes Funds. The Board noted the benefits of the previous
significant acquisition of Hermes Fund Managers Limited by Federated Hermes, which has deepened Federated Hermes’
investment management expertise and capabilities and expanded its access to analytical resources related to environmental,
social and governance (“ESG”) factors and issuer engagement on ESG matters where appropriate. The Board
considered Federated Hermes’ oversight of the securities lending program for the Federated Hermes Funds that engage
in securities lending and noted the income earned by the Federated Hermes Funds that participate in such program. In
addition, the Board considered the quality of Federated Hermes’ communications with the Board and responsiveness to Board
inquiries and requests made from time to time with respect to the Federated Hermes Funds. The Board also considered
that Federated Hermes is responsible for providing the Federated Hermes Funds’ officers.
The Board
received and evaluated information regarding Federated Hermes’ regulatory and compliance environment. The
Board considered Federated Hermes’ compliance program and compliance history and reports from the CCO about Federated
Hermes’ compliance with applicable laws and regulations, including responses to regulatory developments and any
compliance or other issues raised by regulatory agencies. The Board also noted Federated Hermes’ support of the Federated
Hermes Funds’ compliance control structure and the compliance-related resources devoted by Federated Hermes
in support of the Fund’s obligations pursuant to Rule 38a-1 under the Investment Company Act of 1940, including Federated
Hermes’ commitment to respond to rulemaking and other regulatory initiatives of the SEC. The Board considered
Federated Hermes’ approach to internal audits and risk management with respect to the Federated Hermes Funds
and its day-to-day oversight of the Federated Hermes Funds’ compliance with their investment objectives and policies
as well as with applicable laws and regulations, noting that regulatory and other developments had over time led, and
continue to lead, to an increase in the scope of Federated Hermes’ oversight in this regard.
In addition,
the Board noted Federated Hermes’ commitment to maintaining high quality systems and expending substantial
resources to prepare for and respond to ongoing changes due to the market, regulatory and control environments
in which the Fund and its service providers operate.
Annual
Financial Statements and Additional Information
23
The
Board considered Federated Hermes’ efforts to provide shareholders in the Federated Hermes Funds with a comprehensive
array of funds with different investment objectives, policies and strategies. The Board considered the expenses
that Federated Hermes had incurred, as well as the entrepreneurial and other risks assumed by Federated Hermes, in
sponsoring and providing on-going services to new funds to expand these opportunities for shareholders. The Board noted
the benefits to shareholders of being part of the family of Federated Hermes Funds, which include the general right to
exchange investments between the same class of shares without the incurrence of additional sales charges.
Based on
these considerations, the Board concluded that it was satisfied with the nature, extent and quality of the services
provided by the Adviser to the Fund.
Fund Investment Performance
The Board
considered the investment performance of the Fund. In evaluating the Fund’s investment performance, the Board
considered performance results in light of the Fund’s investment objective, strategies and risks. The Board considered
detailed investment reports on, and the Adviser’s analysis of, the Fund’s performance over different time periods
that were provided to the Board throughout the year and in connection with the May Meetings.
For the
one-year, three-year and five-year periods ended December 31, 2023, the Fund outperformed its benchmark
index.
Based on
these considerations, the Board concluded that it had continued confidence in the Adviser’s overall capabilities
to manage the Fund.
Fund Expenses
The Board
considered that the Adviser does not charge an investment advisory fee to this Fund for its services. Because the
Adviser does not charge the Fund an investment advisory fee, the Board noted that it did not consider fee comparisons to
other registered funds or other types of clients of Federated Hermes to be relevant to its evaluation. The Board also considered
the overall expense structure of the Fund, with due regard for contractual or voluntary expense limitations.
In the case
of the Fund, the Board noted that Federated Hermes does not manage any other types of clients that are comparable
to the Fund.
Profitability
The Board
received and considered profitability information furnished by Federated Hermes. The Board considered that the
Adviser does not charge an investment advisory fee to the Fund and noted, therefore, that the Adviser does not profit from
providing advisory services to the Fund under the Contract.
The Board
also reviewed information compiled by Federated Hermes comparing its profitability information to other publicly-held
fund management companies, including information regarding profitability trends over time. The Board recognized
that profitability comparisons among fund management companies are difficult because of the variation in the type
of comparative information that is publicly available, and the profitability of any fund management company is affected
by numerous factors. The Board considered the CCO’s conclusion that, based on such profitability information, Federated
Hermes’ profit margins did not appear to be excessive. The Board also considered the CCO’s view that Federated
Hermes appeared financially sound, with the resources necessary to fulfill its obligations under its contracts with
the Federated Hermes Funds.
Economies of Scale
Because
of the distinctive nature of the Fund as primarily an internal product with an advisory fee of zero, the Board noted
that it did not consider the assessment of whether economies of scale would be realized if the Fund were to grow to a
sufficient size to be particularly relevant to its evaluation.
Other Benefits
The Board
considered information regarding the compensation and other ancillary (or “fall-out”) benefits that Federated Hermes
derived from its relationships with the Federated Hermes Funds.
The Board
noted that an affiliate of the Adviser is entitled to reimbursement for certain out-of-pocket expense incurred in
providing administrative services to the Fund.
In connection
with the Board’s governance of other Federated Hermes Funds, the Board noted that, in addition to receiving
advisory fees under the Federated Hermes Funds’ investment advisory contracts, Federated Hermes’ affiliates also
receive fees for providing other services to the Federated Hermes Funds under separate service contracts including for serving
as the Federated Hermes Funds’ administrator and distributor. In this regard, the Board considered that certain of Federated
Hermes’ affiliates provide distribution and shareholder services to the Federated Hermes Funds, for which they may
be compensated through distribution and servicing fees paid pursuant to Rule 12b-1 plans or otherwise. The Board also
received and considered information detailing the benefits, if any, that Federated Hermes may derive from its receipt of
research services from brokers who execute portfolio trades for the Federated Hermes Funds.
Annual
Financial Statements and Additional Information
24
Conclusions
The Board
considered: (i) the CCO’s conclusion that his observations and the information accompanying the CCO Fee Evaluation
Report show that the management fee for the Fund is reasonable; and (ii) the CCO’s recommendation that the Board
approve the management fee. The Board noted that, under these circumstances, no changes were recommended to, and
no objection was raised to the continuation of, the Contract by the CCO. The CCO also recognized that the Board’s evaluation
of the Federated Hermes Funds’ advisory and sub-advisory arrangements is a continuing and ongoing process that
is informed by the information that the Board requests and receives from management throughout the course of the year
and, in this regard, the CCO noted certain items, and management has committed to reviewing certain items, for future
reporting to the Board as the Board continues its ongoing oversight of the Federated Hermes Funds.
On the basis
of the information and factors summarized above, among other information and factors deemed relevant by the
Board, and the evaluation thereof, the Board, including the Independent Trustees, unanimously voted to approve the continuation
of the Contract. The Board based its determination to approve the Contract on the totality of the circumstances
and relevant factors and with a view of past and future long-term considerations. Not all of the factors and considerations
identified above were necessarily deemed to be relevant to the Fund, nor did the Board consider any one of them
to be determinative.
Annual
Financial Statements and Additional Information
25
Mutual funds are not
bank deposits or obligations, are not guaranteed by any bank and are not insured or guaranteed by the
U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other government agency.
Investment in mutual funds involves investment risk, including the possible loss of principal.
This information is authorized
for distribution to prospective investors only when preceded or accompanied by the Fund’s Private
Offering Memorandum, which contains facts concerning its objective and policies, management fees, expenses and other
information.
High Yield Bond Core Fund
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
Contact us at
FederatedHermes.com/us
or call 1-800-341-7400.
or call 1-800-341-7400.
Federated Securities Corp., Placement Agent
CUSIP 31409N101
30175 (2/25)
©
2025 Federated Hermes, Inc.
Annual Financial Statements
and Additional Information
and Additional Information
December 31, 2024
Mortgage Core Fund
A Portfolio of Federated Hermes Core Trust
Not FDIC Insured ▪ May
Lose Value ▪ No Bank Guarantee
CONTENTS
Portfolio
of Investments
December 31, 2024
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
MORTGAGE-BACKED
SECURITIES—92.8% |
|
|
|
|
Federal
Home Loan Mortgage Corporation—28.6% |
|
|
$ 26,795,485
|
|
2.000%,
4/1/2036 |
$ 23,835,192
|
|
12,375,229
|
|
2.000%,
5/1/2036 |
10,992,578
|
|
30,463,433
|
|
2.000%,
11/1/2036 |
27,050,316
|
|
43,635,282
|
|
2.000%,
5/1/2050 |
34,224,434
|
|
6,767,107
|
|
2.000%,
8/1/2050 |
5,301,297
|
|
7,539,860
|
|
2.000%,
8/1/2050 |
5,942,008
|
|
42,066,414
|
|
2.000%,
9/1/2050 |
33,085,945
|
|
4,282,491
|
|
2.000%,
12/1/2050 |
3,330,780
|
|
21,353,146
|
|
2.000%,
12/1/2050 |
16,701,190
|
|
21,268,932
|
|
2.000%,
1/1/2051 |
16,635,323
|
|
62,673,435
|
|
2.000%,
3/1/2051 |
49,097,862
|
|
38,455,101
|
|
2.000%,
4/1/2051 |
30,017,260
|
|
20,151,379
|
|
2.000%,
5/1/2051 |
15,729,751
|
|
25,877,770
|
|
2.000%,
5/1/2051 |
20,199,654
|
|
84,443,469
|
|
2.000%,
1/1/2052 |
65,914,833
|
|
44,380,104
|
|
2.000%,
1/1/2052 |
35,127,602
|
|
21,053,525
|
|
2.000%,
1/1/2052 |
16,407,631
|
|
36,068,533
|
|
2.500%,
12/1/2035 |
32,968,161
|
|
20,537,263
|
|
2.500%,
4/1/2037 |
18,791,179
|
|
16,990,295
|
|
2.500%,
5/1/2050 |
13,849,815
|
|
6,883,026
|
|
2.500%,
8/1/2050 |
5,698,959
|
|
5,946,192
|
|
2.500%,
9/1/2050 |
4,897,271
|
|
60,401,842
|
|
2.500%,
10/1/2051 |
49,652,453
|
|
12,647,679
|
|
2.500%,
10/1/2051 |
10,341,506
|
|
39,470,106
|
|
2.500%,
11/1/2051 |
32,655,509
|
|
27,731,192
|
|
2.500%,
12/1/2051 |
22,579,372
|
|
14,006,453
|
|
2.500%,
12/1/2051 |
11,575,079
|
|
40,179,436
|
|
2.500%,
12/1/2051 |
33,003,807
|
|
31,576,538
|
|
2.500%,
12/1/2051 |
25,720,208
|
|
63,607,489
|
|
2.500%,
1/1/2052 |
52,546,013
|
|
12,631,023
|
|
2.500%,
3/1/2052 |
10,462,092
|
|
9,134,763
|
|
2.500%,
4/1/2052 |
7,503,389
|
|
16,500,692
|
|
2.500%,
4/1/2052 |
13,548,684
|
|
22,681,363
|
|
2.500%,
5/1/2052 |
18,722,851
|
|
10,239,040
|
|
2.500%,
5/1/2052 |
8,410,454
|
|
14,849,669
|
|
2.500%,
5/1/2052 |
12,234,797
|
|
33,209,166
|
|
2.500%,
5/1/2052 |
27,153,820
|
|
395,380
|
|
3.000%,
6/1/2045 |
343,628
|
|
527,304
|
|
3.000%,
5/1/2046 |
460,427
|
|
1,624,389
|
|
3.000%,
9/1/2046 |
1,392,481
|
|
10,650,400
|
|
3.000%,
10/1/2050 |
9,086,617
|
|
9,406,015
|
|
3.000%,
11/1/2050 |
8,024,943
|
|
7,314,549
|
|
3.000%,
11/1/2051 |
6,293,138
|
|
24,716,272
|
|
3.000%,
1/1/2052 |
21,048,598
|
|
25,632,912
|
|
3.000%,
2/1/2052 |
21,853,247
|
|
34,334,150
|
|
3.000%,
6/1/2052 |
29,346,562
|
|
27,243,222
|
|
3.000%,
8/1/2052 |
23,362,327
|
Annual
Financial Statements and Additional Information
1
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
MORTGAGE-BACKED
SECURITIES—continued
|
|
|
|
|
Federal
Home Loan Mortgage Corporation—continued |
|
|
$ 18,596,457
|
|
3.000%,
9/1/2052 |
$ 15,865,965
|
|
11,213
|
|
3.500%,
6/1/2026 |
11,128
|
|
40,537
|
|
3.500%,
6/1/2026 |
40,232
|
|
18,133
|
|
3.500%,
7/1/2026 |
17,976
|
|
23,851,219
|
|
3.500%,
12/1/2047 |
21,459,421
|
|
6,963,617
|
|
3.500%,
5/1/2051 |
6,156,500
|
|
23,155,323
|
|
3.500%,
2/1/2052 |
20,616,228
|
|
3,344,697
|
|
3.500%,
3/1/2052 |
3,004,065
|
|
7,191,288
|
|
3.500%,
5/1/2052 |
6,357,221
|
|
67,110,363
|
|
3.500%,
5/1/2052 |
59,410,590
|
|
18,385,182
|
|
3.500%,
6/1/2052 |
16,499,864
|
|
5,480,008
|
|
3.500%,
7/1/2052 |
4,902,645
|
|
10,863
|
|
4.000%,
5/1/2026 |
10,799
|
|
155,326
|
|
4.000%,
5/1/2026 |
154,402
|
|
570,542
|
|
4.000%,
12/1/2040 |
539,984
|
|
9,083,640
|
|
4.000%,
4/1/2052 |
8,406,072
|
|
3,553,164
|
|
4.000%,
4/1/2052 |
3,292,568
|
|
13,805,259
|
|
4.000%,
5/1/2052 |
12,659,014
|
|
27,431,750
|
|
4.000%,
6/1/2052 |
25,076,951
|
|
21,128,637
|
|
4.000%,
7/1/2052 |
19,346,274
|
|
1,656,262
|
|
4.000%,
7/1/2052 |
1,527,413
|
|
15,122,345
|
|
4.000%,
8/1/2052 |
13,832,481
|
|
62,580,231
|
|
4.000%,
9/1/2052 |
57,281,550
|
|
13,414,743
|
|
4.000%,
10/1/2052 |
12,283,106
|
|
52,577,441
|
|
4.000%,
10/1/2052 |
48,174,990
|
|
1,047
|
|
4.500%,
6/1/2025 |
1,044
|
|
26,972,139
|
|
4.500%,
10/1/2037 |
26,412,041
|
|
337,230
|
|
4.500%,
11/1/2039 |
328,148
|
|
98,975
|
|
4.500%,
6/1/2040 |
96,223
|
|
135,767
|
|
4.500%,
7/1/2040 |
131,972
|
|
569,812
|
|
4.500%,
8/1/2040 |
553,947
|
|
341,260
|
|
4.500%,
7/1/2041 |
331,845
|
|
356,439
|
|
4.500%,
7/1/2041 |
346,029
|
|
228,329
|
|
4.500%,
7/1/2041 |
221,677
|
|
1,397,248
|
|
4.500%,
10/1/2048 |
1,332,034
|
|
9,271,510
|
|
4.500%,
5/1/2052 |
8,793,580
|
|
8,413,252
|
|
4.500%,
9/1/2052 |
7,952,221
|
|
5,657,957
|
|
4.500%,
10/1/2052 |
5,347,911
|
|
17,269,087
|
|
4.500%,
12/1/2052 |
16,274,203
|
|
27,308,775
|
|
4.500%,
1/1/2053 |
25,718,429
|
|
27,266,382
|
|
4.500%,
2/1/2053 |
25,678,505
|
|
13,647,128
|
|
4.500%,
3/1/2053 |
12,839,583
|
|
559,680
|
|
5.000%,
1/1/2034 |
560,136
|
|
190,495
|
|
5.000%,
5/1/2034 |
190,659
|
|
682
|
|
5.000%,
11/1/2035 |
682
|
|
233,867
|
|
5.000%,
4/1/2036 |
233,895
|
|
306
|
|
5.000%,
4/1/2036 |
306
|
|
4,338
|
|
5.000%,
4/1/2036 |
4,340
|
|
54,382
|
|
5.000%,
4/1/2036 |
54,385
|
|
64,737
|
|
5.000%,
5/1/2036 |
64,719
|
Annual
Financial Statements and Additional Information
2
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
MORTGAGE-BACKED
SECURITIES—continued
|
|
|
|
|
Federal
Home Loan Mortgage Corporation—continued |
|
|
$ 39,388
|
|
5.000%,
6/1/2036 |
$ 39,392
|
|
83,853
|
|
5.000%,
6/1/2036 |
83,863
|
|
232,102
|
|
5.000%,
12/1/2037 |
232,058
|
|
34,037
|
|
5.000%,
5/1/2038 |
34,030
|
|
22,728
|
|
5.000%,
6/1/2038 |
22,706
|
|
41,624
|
|
5.000%,
9/1/2038 |
41,583
|
|
38,851
|
|
5.000%,
2/1/2039 |
38,811
|
|
34,523
|
|
5.000%,
6/1/2039 |
34,484
|
|
1,134,245
|
|
5.000%,
10/1/2039 |
1,132,634
|
|
103,966
|
|
5.000%,
2/1/2040 |
103,716
|
|
182,576
|
|
5.000%,
8/1/2040 |
182,065
|
|
30,967,095
|
|
5.000%,
10/1/2052 |
29,962,637
|
|
18,315,289
|
|
5.000%,
3/1/2053 |
17,744,103
|
|
9,840,192
|
|
5.000%,
5/1/2053 |
9,528,393
|
|
15,108,550
|
|
5.000%,
10/1/2054 |
14,593,933
|
|
27,561,236
|
|
5.000%,
11/1/2054 |
26,622,465
|
|
467,240
|
|
5.500%,
5/1/2034 |
476,850
|
|
19,506
|
|
5.500%,
3/1/2036 |
19,961
|
|
29,669
|
|
5.500%,
3/1/2036 |
30,361
|
|
10,093
|
|
5.500%,
3/1/2036 |
10,328
|
|
58,040
|
|
5.500%,
3/1/2036 |
59,368
|
|
145,795
|
|
5.500%,
6/1/2036 |
149,179
|
|
72,545
|
|
5.500%,
6/1/2036 |
74,223
|
|
25,060
|
|
5.500%,
6/1/2036 |
25,628
|
|
55,152
|
|
5.500%,
9/1/2037 |
56,322
|
|
110,368
|
|
5.500%,
9/1/2037 |
112,950
|
|
75,214
|
|
5.500%,
12/1/2037 |
76,816
|
|
9,177
|
|
5.500%,
3/1/2038 |
9,397
|
|
9,044,838
|
|
5.500%,
5/1/2038 |
9,116,874
|
|
4,225,643
|
|
5.500%,
9/1/2052 |
4,198,578
|
|
25,387,707
|
|
5.500%,
12/1/2052 |
25,117,990
|
|
21,435,690
|
|
5.500%,
3/1/2053 |
21,181,164
|
|
13,947,077
|
|
5.500%,
9/1/2053 |
13,772,754
|
|
23,967,821
|
|
5.500%,
4/1/2054 |
23,741,651
|
|
19,785,511
|
|
5.500%,
5/1/2054 |
19,541,738
|
|
8,400,441
|
|
5.500%,
5/1/2054 |
8,303,636
|
|
2,866
|
|
6.000%,
7/1/2029 |
2,887
|
|
10,336
|
|
6.000%,
2/1/2032 |
10,597
|
|
9,766
|
|
6.000%,
5/1/2036 |
10,100
|
|
20,854
|
|
6.000%,
8/1/2037 |
21,627
|
|
168,427
|
|
6.000%,
9/1/2037 |
174,600
|
|
21,269,384
|
|
6.000%,
11/1/2053 |
21,384,720
|
|
2,824
|
|
6.500%,
6/1/2029 |
2,889
|
|
1,058
|
|
6.500%,
7/1/2029 |
1,084
|
|
97,581
|
|
6.500%,
11/1/2036 |
102,196
|
|
1,107
|
|
6.500%,
4/1/2038 |
1,162
|
|
971
|
|
6.500%,
4/1/2038 |
1,020
|
|
27,451,142
|
|
6.500%,
10/1/2053 |
28,052,945
|
|
22,828,077
|
|
6.500%,
11/1/2053 |
23,328,531
|
|
5,078
|
|
7.000%,
4/1/2032 |
5,263
|
Annual
Financial Statements and Additional Information
3
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
MORTGAGE-BACKED
SECURITIES—continued
|
|
|
|
|
Federal
Home Loan Mortgage Corporation—continued |
|
|
$ 88,842
|
|
7.000%,
4/1/2032 |
$ 93,127
|
|
6,966
|
|
7.000%,
9/1/2037 |
7,413
|
|
6,796
|
|
7.500%,
10/1/2029 |
7,073
|
|
4,217
|
|
7.500%,
11/1/2029 |
4,394
|
|
8,585
|
|
7.500%,
5/1/2031 |
9,053
|
|
987
|
|
8.000%,
3/1/2030 |
1,016
|
|
17,515
|
|
8.000%,
1/1/2031 |
18,008
|
|
20,935
|
|
8.000%,
2/1/2031 |
21,694
|
|
10,534
|
|
8.000%,
3/1/2031 |
10,896
|
|
152
|
|
8.500%,
9/1/2025 |
153
|
|
6
|
|
8.500%,
9/1/2025 |
6
|
|
|
|
TOTAL
|
1,733,262,091
|
|
|
|
Federal
National Mortgage Association—45.8% |
|
|
25,019,686
|
|
2.000%,
8/1/2035 |
22,318,128
|
|
4,709,473
|
|
2.000%,
4/1/2036 |
4,192,126
|
|
24,800,006
|
|
2.000%,
5/1/2036 |
22,029,169
|
|
22,552,038
|
|
2.000%,
1/1/2037 |
20,053,502
|
|
8,326,448
|
|
2.000%,
2/1/2037 |
7,406,565
|
|
17,855,348
|
|
2.000%,
5/1/2050 |
13,987,735
|
|
39,140,648
|
|
2.000%,
7/1/2050 |
30,662,467
|
|
35,640,355
|
|
2.000%,
10/1/2050 |
27,875,815
|
|
33,703,248
|
|
2.000%,
11/1/2050 |
26,360,722
|
|
292,181,187
|
|
2.000%,
5/1/2051 |
228,527,148
|
|
35,877,808
|
|
2.000%,
5/1/2051 |
28,397,891
|
|
41,018,083
|
|
2.000%,
8/1/2051 |
32,017,871
|
|
20,877,736
|
|
2.000%,
10/1/2051 |
16,322,828
|
|
28,086,781
|
|
2.000%,
10/1/2051 |
21,888,854
|
|
36,096,641
|
|
2.000%,
10/1/2051 |
28,131,174
|
|
10,176,576
|
|
2.000%,
12/1/2051 |
7,997,689
|
|
5,534,913
|
|
2.000%,
12/1/2051 |
4,379,247
|
|
27,232,832
|
|
2.000%,
12/1/2051 |
21,189,305
|
|
6,790,467
|
|
2.000%,
1/1/2052 |
5,328,085
|
|
36,775,562
|
|
2.000%,
1/1/2052 |
28,706,247
|
|
109,728,173
|
|
2.000%,
2/1/2052 |
85,891,582
|
|
67,145,255
|
|
2.000%,
2/1/2052 |
52,412,203
|
|
22,706,737
|
|
2.000%,
2/1/2052 |
17,724,411
|
|
32,091,229
|
|
2.000%,
2/1/2052 |
25,290,436
|
|
18,128,968
|
|
2.000%,
3/1/2052 |
14,241,744
|
|
13,315,806
|
|
2.000%,
3/1/2052 |
10,527,202
|
|
11,166,148
|
|
2.000%,
3/1/2052 |
8,827,727
|
|
15,844,141
|
|
2.000%,
3/1/2052 |
12,323,049
|
|
94,192,373
|
|
2.000%,
3/1/2052 |
73,524,626
|
|
23,416,299
|
|
2.000%,
4/1/2052 |
18,219,740
|
|
46,947,312
|
|
2.000%,
4/1/2052 |
36,631,433
|
|
30,775,475
|
|
2.500%,
9/1/2036 |
27,976,206
|
|
1,960,800
|
|
2.500%,
12/1/2036 |
1,797,768
|
|
28,028,193
|
|
2.500%,
12/1/2036 |
25,583,916
|
|
3,208,579
|
|
2.500%,
5/1/2037 |
2,931,774
|
|
7,958,397
|
|
2.500%,
6/1/2050 |
6,589,337
|
|
2,814,095
|
|
2.500%,
7/1/2050 |
2,317,682
|
Annual
Financial Statements and Additional Information
4
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
MORTGAGE-BACKED
SECURITIES—continued
|
|
|
|
|
Federal
National Mortgage Association—continued |
|
|
$ 13,522,619
|
|
2.500%,
9/1/2050 |
$ 11,137,201
|
|
30,779,416
|
|
2.500%,
9/1/2050 |
25,263,295
|
|
32,151,289
|
|
2.500%,
10/1/2050 |
26,208,458
|
|
12,015,299
|
|
2.500%,
11/1/2050 |
9,794,396
|
|
24,925,581
|
|
2.500%,
11/1/2050 |
20,294,979
|
|
13,322,589
|
|
2.500%,
12/1/2050 |
10,847,557
|
|
19,436,106
|
|
2.500%,
2/1/2051 |
15,825,323
|
|
37,136,770
|
|
2.500%,
9/1/2051 |
30,539,344
|
|
68,951,130
|
|
2.500%,
10/1/2051 |
56,701,817
|
|
59,507,074
|
|
2.500%,
10/1/2051 |
48,898,325
|
|
60,203,887
|
|
2.500%,
10/1/2051 |
49,358,031
|
|
28,377,725
|
|
2.500%,
10/1/2051 |
23,203,342
|
|
30,653,493
|
|
2.500%,
11/1/2051 |
24,949,197
|
|
47,111,971
|
|
2.500%,
12/1/2051 |
38,359,646
|
|
7,054,338
|
|
2.500%,
1/1/2052 |
5,787,893
|
|
57,306,405
|
|
2.500%,
1/1/2052 |
47,018,352
|
|
16,225,103
|
|
2.500%,
1/1/2052 |
13,276,765
|
|
20,957,973
|
|
2.500%,
1/1/2052 |
17,300,239
|
|
4,897,860
|
|
2.500%,
2/1/2052 |
4,035,398
|
|
37,109,931
|
|
2.500%,
2/1/2052 |
30,737,614
|
|
18,387,412
|
|
2.500%,
2/1/2052 |
15,149,580
|
|
2,275,253
|
|
2.500%,
2/1/2052 |
1,856,829
|
|
34,876,004
|
|
2.500%,
3/1/2052 |
28,462,234
|
|
58,382,453
|
|
2.500%,
4/1/2052 |
48,156,644
|
|
2,088,934
|
|
2.500%,
5/1/2052 |
1,702,164
|
|
28,349,268
|
|
2.500%,
5/1/2052 |
23,304,102
|
|
726,335
|
|
3.000%,
2/1/2032 |
696,497
|
|
2,084,950
|
|
3.000%,
8/1/2043 |
1,841,201
|
|
1,467,586
|
|
3.000%,
9/1/2043 |
1,296,098
|
|
3,032,085
|
|
3.000%,
11/1/2046 |
2,628,579
|
|
599,577
|
|
3.000%,
2/1/2047 |
524,096
|
|
26,711,843
|
|
3.000%,
2/1/2048 |
23,148,721
|
|
1,106,205
|
|
3.000%,
11/1/2049 |
951,734
|
|
31,468,266
|
|
3.000%,
7/1/2050 |
26,955,997
|
|
10,873,810
|
|
3.000%,
1/1/2051 |
9,277,224
|
|
110,142,225
|
|
3.000%,
5/1/2051 |
93,901,358
|
|
36,423,283
|
|
3.000%,
7/1/2051 |
31,007,009
|
|
30,641,079
|
|
3.000%,
7/1/2051 |
26,103,791
|
|
14,609,450
|
|
3.000%,
12/1/2051 |
12,514,585
|
|
30,602,136
|
|
3.000%,
12/1/2051 |
26,175,810
|
|
5,383,383
|
|
3.000%,
1/1/2052 |
4,656,876
|
|
17,486,291
|
|
3.000%,
2/1/2052 |
15,093,667
|
|
13,538,811
|
|
3.000%,
2/1/2052 |
11,534,002
|
|
9,828,814
|
|
3.000%,
2/1/2052 |
8,345,426
|
|
9,175,921
|
|
3.000%,
3/1/2052 |
7,799,959
|
|
19,882,070
|
|
3.000%,
4/1/2052 |
17,130,569
|
|
5,475,003
|
|
3.000%,
4/1/2052 |
4,696,780
|
|
23,119,213
|
|
3.000%,
4/1/2052 |
19,789,674
|
|
11,033,672
|
|
3.000%,
5/1/2052 |
9,410,166
|
|
4,484,582
|
|
3.000%,
5/1/2052 |
3,812,103
|
Annual
Financial Statements and Additional Information
5
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
MORTGAGE-BACKED
SECURITIES—continued
|
|
|
|
|
Federal
National Mortgage Association—continued |
|
|
$ 24,747,032
|
|
3.000%,
6/1/2052 |
$ 21,252,662
|
|
45,514,736
|
|
3.000%,
6/1/2052 |
38,974,105
|
|
17,905,854
|
|
3.000%,
6/1/2052 |
15,216,330
|
|
22,130,226
|
|
3.000%,
12/1/2052 |
18,790,971
|
|
20,761,945
|
|
3.000%,
6/1/2053 |
17,622,664
|
|
13,625
|
|
3.500%,
11/1/2025 |
13,536
|
|
20,513
|
|
3.500%,
11/1/2025 |
20,379
|
|
26,080
|
|
3.500%,
12/1/2025 |
25,900
|
|
28,105
|
|
3.500%,
1/1/2026 |
27,902
|
|
7,638
|
|
3.500%,
1/1/2026 |
7,586
|
|
8,201,832
|
|
3.500%,
9/1/2037 |
7,763,650
|
|
14,902,832
|
|
3.500%,
2/1/2050 |
13,347,834
|
|
11,543,669
|
|
3.500%,
6/1/2051 |
10,205,701
|
|
42,138,791
|
|
3.500%,
3/1/2052 |
37,883,489
|
|
14,260,909
|
|
3.500%,
5/1/2052 |
12,624,712
|
|
19,030,134
|
|
3.500%,
5/1/2052 |
16,882,432
|
|
41,726,932
|
|
3.500%,
6/1/2052 |
37,069,873
|
|
16,026,007
|
|
3.500%,
6/1/2052 |
14,297,474
|
|
34,849,345
|
|
3.500%,
7/1/2052 |
31,057,893
|
|
9,327,683
|
|
3.500%,
1/1/2053 |
8,312,873
|
|
17,136
|
|
4.000%,
12/1/2025 |
17,049
|
|
40,813
|
|
4.000%,
7/1/2026 |
40,560
|
|
22,633,360
|
|
4.000%,
11/1/2037 |
21,740,637
|
|
5,905,547
|
|
4.000%,
10/1/2051 |
5,400,448
|
|
23,621,926
|
|
4.000%,
7/1/2052 |
21,660,607
|
|
19,839,461
|
|
4.000%,
7/1/2052 |
18,296,046
|
|
17,441,727
|
|
4.000%,
9/1/2052 |
16,063,043
|
|
24,310,653
|
|
4.000%,
4/1/2053 |
22,244,668
|
|
36,045,990
|
|
4.000%,
5/1/2053 |
33,151,671
|
|
72,666
|
|
4.500%,
2/1/2039 |
70,820
|
|
423,588
|
|
4.500%,
5/1/2040 |
411,725
|
|
115,160
|
|
4.500%,
11/1/2040 |
111,900
|
|
1,269,859
|
|
4.500%,
4/1/2041 |
1,233,229
|
|
604,890
|
|
4.500%,
6/1/2041 |
587,425
|
|
7,390,934
|
|
4.500%,
8/1/2052 |
6,985,924
|
|
5,102,121
|
|
4.500%,
8/1/2052 |
4,801,488
|
|
15,664,702
|
|
4.500%,
10/1/2052 |
14,845,466
|
|
24,038,990
|
|
4.500%,
11/1/2052 |
22,684,136
|
|
4,334,002
|
|
4.500%,
11/1/2052 |
4,091,089
|
|
19,652,278
|
|
4.500%,
2/1/2053 |
18,563,086
|
|
22,013,712
|
|
4.500%,
7/1/2053 |
20,757,526
|
|
764,062
|
|
5.000%,
2/1/2036 |
764,173
|
|
445,741
|
|
5.000%,
7/1/2040 |
444,590
|
|
473,054
|
|
5.000%,
10/1/2041 |
471,326
|
|
34,087,270
|
|
5.000%,
8/1/2052 |
33,034,867
|
|
14,295,446
|
|
5.000%,
11/1/2052 |
13,856,326
|
|
22,823,654
|
|
5.000%,
2/1/2053 |
22,036,979
|
|
18,353,374
|
|
5.000%,
4/1/2054 |
17,756,625
|
|
7,266,856
|
|
5.000%,
12/1/2054 |
7,019,338
|
|
18,941
|
|
5.500%,
1/1/2032 |
19,290
|
Annual
Financial Statements and Additional Information
6
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
MORTGAGE-BACKED
SECURITIES—continued
|
|
|
|
|
Federal
National Mortgage Association—continued |
|
|
$ 11,239
|
|
5.500%,
1/1/2032 |
$ 11,446
|
|
189,170
|
|
5.500%,
9/1/2034 |
193,276
|
|
496,243
|
|
5.500%,
12/1/2034 |
507,078
|
|
14,985
|
|
5.500%,
4/1/2035 |
15,299
|
|
77,251
|
|
5.500%,
1/1/2036 |
78,977
|
|
39,314
|
|
5.500%,
3/1/2036 |
40,192
|
|
159,022
|
|
5.500%,
4/1/2036 |
162,740
|
|
261,073
|
|
5.500%,
4/1/2036 |
266,903
|
|
171,562
|
|
5.500%,
5/1/2036 |
175,581
|
|
54,705
|
|
5.500%,
9/1/2036 |
55,931
|
|
180,188
|
|
5.500%,
8/1/2037 |
184,213
|
|
110,601
|
|
5.500%,
7/1/2038 |
112,954
|
|
323,684
|
|
5.500%,
4/1/2041 |
330,301
|
|
9,305,355
|
|
5.500%,
9/1/2052 |
9,241,391
|
|
7,441,669
|
|
5.500%,
11/1/2052 |
7,367,261
|
|
23,134,171
|
|
5.500%,
4/1/2053 |
22,989,607
|
|
2,901
|
|
6.000%,
1/1/2029 |
2,948
|
|
3,804
|
|
6.000%,
2/1/2029 |
3,865
|
|
1,183
|
|
6.000%,
2/1/2029 |
1,196
|
|
2,548
|
|
6.000%,
4/1/2029 |
2,595
|
|
3,928
|
|
6.000%,
5/1/2029 |
4,000
|
|
2,477
|
|
6.000%,
5/1/2029 |
2,517
|
|
261,304
|
|
6.000%,
7/1/2034 |
269,813
|
|
158,390
|
|
6.000%,
11/1/2034 |
163,518
|
|
67,218
|
|
6.000%,
7/1/2036 |
69,667
|
|
16,136
|
|
6.000%,
7/1/2036 |
16,741
|
|
61,683
|
|
6.000%,
10/1/2037 |
63,982
|
|
9,864
|
|
6.000%,
6/1/2038 |
10,247
|
|
436,883
|
|
6.000%,
7/1/2038 |
453,360
|
|
41,328
|
|
6.000%,
9/1/2038 |
42,899
|
|
27,322
|
|
6.000%,
10/1/2038 |
28,368
|
|
263,792
|
|
6.000%,
2/1/2039 |
274,005
|
|
5,084,442
|
|
6.000%,
10/1/2053 |
5,112,171
|
|
41,539,808
|
|
6.000%,
12/1/2053 |
41,765,061
|
|
34,547,357
|
|
6.000%,
7/1/2054 |
34,727,677
|
|
5,937
|
|
6.500%,
9/1/2028 |
5,997
|
|
1,330
|
|
6.500%,
8/1/2029 |
1,360
|
|
3,350
|
|
6.500%,
6/1/2031 |
3,457
|
|
8,812
|
|
6.500%,
6/1/2031 |
9,072
|
|
1,334
|
|
6.500%,
6/1/2031 |
1,373
|
|
1,685
|
|
6.500%,
1/1/2032 |
1,732
|
|
17,577
|
|
6.500%,
3/1/2032 |
18,208
|
|
72,204
|
|
6.500%,
4/1/2032 |
74,824
|
|
11,959
|
|
6.500%,
5/1/2032 |
12,400
|
|
107,498
|
|
6.500%,
7/1/2036 |
112,530
|
|
2,177
|
|
6.500%,
8/1/2036 |
2,265
|
|
11,671
|
|
6.500%,
9/1/2036 |
12,247
|
|
16,082
|
|
6.500%,
12/1/2036 |
16,823
|
|
52,914
|
|
6.500%,
9/1/2037 |
55,598
|
|
172
|
|
6.500%,
12/1/2037 |
180
|
Annual
Financial Statements and Additional Information
7
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
MORTGAGE-BACKED
SECURITIES—continued
|
|
|
|
|
Federal
National Mortgage Association—continued |
|
|
$ 22,919
|
|
6.500%,
10/1/2038 |
$ 24,082
|
|
12,753,349
|
|
6.500%,
10/1/2053 |
13,032,937
|
|
5,346
|
|
7.000%,
9/1/2031 |
5,561
|
|
2,103
|
|
7.000%,
9/1/2031 |
2,179
|
|
63,471
|
|
7.000%,
11/1/2031 |
66,476
|
|
4,461
|
|
7.000%,
12/1/2031 |
4,669
|
|
19,321
|
|
7.000%,
2/1/2032 |
20,204
|
|
20,234
|
|
7.000%,
3/1/2032 |
21,192
|
|
31,535
|
|
7.000%,
3/1/2032 |
32,680
|
|
3,959
|
|
7.000%,
4/1/2032 |
4,150
|
|
9,266
|
|
7.000%,
4/1/2032 |
9,647
|
|
85,150
|
|
7.000%,
4/1/2032 |
89,358
|
|
97,388
|
|
7.000%,
6/1/2037 |
103,848
|
|
3,677
|
|
7.500%,
9/1/2030 |
3,846
|
|
4,395
|
|
7.500%,
5/1/2031 |
4,612
|
|
1,116
|
|
7.500%,
6/1/2031 |
1,178
|
|
13,606
|
|
7.500%,
8/1/2031 |
14,350
|
|
22,258
|
|
7.500%,
1/1/2032 |
23,028
|
|
387
|
|
7.500%,
6/1/2033 |
404
|
|
353
|
|
8.000%,
11/1/2029 |
364
|
|
1
|
|
9.000%,
6/1/2025 |
1
|
|
|
|
TOTAL
|
2,777,144,686
|
|
|
|
Government
National Mortgage Association—6.9% |
|
|
4,985,772
|
|
3.000%,
1/20/2047 |
4,378,326
|
|
35,778,321
|
|
3.000%,
9/20/2050 |
30,927,289
|
|
41,357,878
|
|
3.000%,
5/20/2052 |
35,856,962
|
|
590,620
|
|
3.500%,
8/15/2043 |
538,003
|
|
370,054
|
|
3.500%,
8/15/2043 |
337,262
|
|
6,642,447
|
|
3.500%,
3/20/2047 |
6,013,309
|
|
7,977,406
|
|
3.500%,
11/20/2047 |
7,206,870
|
|
16,295,921
|
|
3.500%,
5/20/2052 |
14,513,110
|
|
26,460,787
|
|
3.500%,
11/20/2052 |
23,638,271
|
|
514,360
|
|
4.000%,
9/15/2040 |
487,712
|
|
1,424,394
|
|
4.000%,
10/15/2040 |
1,353,071
|
|
673,309
|
|
4.000%,
1/15/2041 |
638,313
|
|
881,059
|
|
4.000%,
10/15/2041 |
834,535
|
|
2,823,273
|
|
4.000%,
6/15/2048 |
2,616,908
|
|
126,380
|
|
4.500%,
1/15/2039 |
123,239
|
|
87,051
|
|
4.500%,
6/15/2039 |
84,624
|
|
401,036
|
|
4.500%,
10/15/2039 |
389,343
|
|
151,192
|
|
4.500%,
1/15/2040 |
146,818
|
|
85,970
|
|
4.500%,
6/15/2040 |
83,406
|
|
60,312
|
|
4.500%,
9/15/2040 |
58,427
|
|
77,230
|
|
4.500%,
2/15/2041 |
74,910
|
|
444,316
|
|
4.500%,
3/15/2041 |
431,115
|
|
40,570
|
|
4.500%,
5/15/2041 |
39,281
|
|
1,471,437
|
|
4.500%,
6/20/2041 |
1,432,694
|
|
284,715
|
|
4.500%,
9/15/2041 |
275,641
|
|
284,788
|
|
4.500%,
10/15/2043 |
274,444
|
|
13,594,853
|
|
4.500%,
11/20/2053 |
12,849,213
|
Annual
Financial Statements and Additional Information
8
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
MORTGAGE-BACKED
SECURITIES—continued
|
|
|
|
|
Government
National Mortgage Association—continued |
|
|
$ 35,029,430
|
|
4.500%,
12/20/2053 |
$ 33,108,164
|
|
238,334
|
|
5.000%,
1/15/2039 |
236,653
|
|
197,318
|
|
5.000%,
5/15/2039 |
195,835
|
|
270,914
|
|
5.000%,
8/20/2039 |
270,768
|
|
68,368,596
|
|
5.000%,
9/20/2053 |
66,367,878
|
|
88,829
|
|
5.500%,
12/15/2038 |
89,369
|
|
65,445
|
|
5.500%,
12/20/2038 |
66,463
|
|
123,590
|
|
5.500%,
1/15/2039 |
124,326
|
|
133,208
|
|
5.500%,
2/15/2039 |
134,002
|
|
25,921,849
|
|
5.500%,
7/20/2053 |
25,720,615
|
|
38,899,913
|
|
5.500%,
8/20/2053 |
38,597,929
|
|
34,299,303
|
|
5.500%,
9/20/2053 |
34,033,034
|
|
3,274
|
|
6.000%,
10/15/2028 |
3,309
|
|
3,103
|
|
6.000%,
3/15/2029 |
3,143
|
|
45,567
|
|
6.000%,
2/15/2036 |
46,607
|
|
51,541
|
|
6.000%,
4/15/2036 |
52,724
|
|
38,897
|
|
6.000%,
6/15/2037 |
39,774
|
|
37,169,661
|
|
6.000%,
6/20/2053 |
37,474,675
|
|
34,691,402
|
|
6.000%,
9/20/2054 |
34,932,715
|
|
6,368
|
|
6.500%,
10/15/2028 |
6,478
|
|
2,263
|
|
6.500%,
11/15/2028 |
2,301
|
|
2,460
|
|
6.500%,
12/15/2028 |
2,502
|
|
1,517
|
|
6.500%,
2/15/2029 |
1,543
|
|
16,792
|
|
6.500%,
9/15/2031 |
17,099
|
|
39,539
|
|
6.500%,
2/15/2032 |
40,315
|
|
4,132
|
|
7.000%,
11/15/2027 |
4,175
|
|
3,233
|
|
7.000%,
6/15/2028 |
3,278
|
|
3,826
|
|
7.000%,
1/15/2029 |
3,877
|
|
4,421
|
|
7.000%,
5/15/2029 |
4,495
|
|
61
|
|
7.000%,
10/15/2029 |
61
|
|
12,385
|
|
7.000%,
5/15/2030 |
12,593
|
|
9,522
|
|
7.000%,
11/15/2030 |
9,703
|
|
4,393
|
|
7.000%,
12/15/2030 |
4,464
|
|
6,550
|
|
7.000%,
8/15/2031 |
6,683
|
|
28,168
|
|
7.000%,
10/15/2031 |
28,783
|
|
7,871
|
|
7.000%,
12/15/2031 |
8,055
|
|
5,316
|
|
7.500%,
8/15/2029 |
5,476
|
|
24,052
|
|
7.500%,
10/15/2029 |
24,745
|
|
964
|
|
7.500%,
10/15/2030 |
994
|
|
4,484
|
|
7.500%,
1/15/2031 |
4,639
|
|
1,577
|
|
8.000%,
10/15/2029 |
1,615
|
|
5,452
|
|
8.000%,
11/15/2029 |
5,581
|
|
4,291
|
|
8.000%,
1/15/2030 |
4,389
|
|
2,044
|
|
8.000%,
10/15/2030 |
2,092
|
|
29,331
|
|
8.000%,
11/15/2030 |
30,114
|
|
2,203
|
|
8.500%,
5/15/2029 |
2,265
|
|
|
|
TOTAL
|
417,339,394
|
|
|
1
|
Uniform
Mortgage-Backed Securities, TBA—11.5% |
|
|
83,000,000
|
|
2.500%,
1/1/2055 |
67,502,331
|
|
30,000,000
|
|
3.000%,
1/1/2055 |
25,448,433
|
Annual
Financial Statements and Additional Information
9
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
MORTGAGE-BACKED
SECURITIES—continued
|
|
|
|
1
|
Uniform
Mortgage-Backed Securities, TBA—continued |
|
|
$ 97,500,000
|
|
3.500%,
1/1/2055 |
$ 86,150,376
|
|
50,000,000
|
|
3.500%,
1/20/2055 |
44,648,160
|
|
24,000,000
|
|
4.000%,
1/1/2055 |
21,914,998
|
|
50,000,000
|
|
4.000%,
1/20/2055 |
46,011,400
|
|
15,000,000
|
|
4.500%,
1/1/2055 |
14,097,654
|
|
50,000,000
|
|
4.500%,
1/20/2055 |
47,241,865
|
|
85,000,000
|
|
5.000%,
1/1/2055 |
81,975,190
|
|
185,000,000
|
|
5.500%,
1/1/2055 |
182,449,016
|
|
65,000,000
|
|
6.000%,
1/1/2055 |
65,289,452
|
|
19,250,000
|
|
6.000%,
1/20/2055 |
19,368,809
|
|
|
|
TOTAL
|
702,097,684
|
|
|
|
TOTAL
MORTGAGE-BACKED SECURITIES
(IDENTIFIED
COST $5,731,308,336) |
5,629,843,855
|
|
|
|
COLLATERALIZED
MORTGAGE OBLIGATIONS—9.7% |
|
|
|
2
|
Federal
Home Loan Mortgage Corporation—2.9% |
|
|
9,303,065
|
|
REMIC,
Series 4661, Class GF, 5.162% (30-DAY AVERAGE SOFR +0.564%), 2/15/2047 |
9,169,424
|
|
13,740,348
|
|
REMIC,
Series 4944, Class F, 5.133% (30-DAY AVERAGE SOFR +0.564%), 1/25/2050 |
13,593,280
|
|
12,553,558
|
|
REMIC,
Series 5342, Class FB, 5.133% (30-DAY AVERAGE SOFR +0.564%), 11/25/2049 |
12,326,897
|
|
18,938,314
|
|
REMIC,
Series 5393, Class HF, 6.274% (30-DAY AVERAGE SOFR +0.000%), 3/25/2054 |
18,966,407
|
|
8,688,250
|
|
REMIC,
Series 5396, Class FQ, 6.318% (30-DAY AVERAGE SOFR +0.000%), 4/25/2054 |
8,619,348
|
|
41,539,287
|
|
REMIC,
Series 5400, Class FA, 6.068% (30-DAY AVERAGE SOFR +0.000%), 4/25/2054 |
40,977,643
|
|
43,727,905
|
|
REMIC,
Series 5428, Class JF, 5.668% (30-DAY AVERAGE SOFR +1.100%), 7/25/2054 |
43,683,233
|
|
28,903,073
|
|
REMIC,
Series 5457, Class GF, 5.668% (30-DAY AVERAGE SOFR +1.100%), 10/25/2054 |
28,669,484
|
|
|
|
TOTAL
|
176,005,716
|
|
|
2
|
Federal
National Mortgage Association—3.9% |
|
|
2,385,035
|
|
REMIC,
Series 2017-30, Class FA, 5.033% (30-DAY AVERAGE SOFR +0.464%), 5/25/2047 |
2,344,732
|
|
6,829,879
|
|
REMIC,
Series 2019-34, Class FC, 5.083% (30-DAY AVERAGE SOFR +0.514%), 7/25/2049 |
6,746,752
|
|
11,331,634
|
|
REMIC,
Series 2019-66, Class FA, 5.879% (30-DAY AVERAGE SOFR +0.564%), 11/25/2059 |
11,132,930
|
|
40,907,066
|
|
REMIC,
Series 2023-42, Class FA, 4.983% (30-DAY AVERAGE SOFR +0.414%), 10/25/2048 |
40,013,635
|
|
20,567,740
|
|
REMIC,
Series 2024-13, Class FA, 5.568% (30-DAY AVERAGE SOFR +1.000%), 10/25/2053 |
20,596,977
|
|
42,290,571
|
|
REMIC,
Series 2024-15, Class FA, 6.500% (30-DAY AVERAGE SOFR +0.000%), 4/25/2054 |
42,349,761
|
|
43,136,382
|
|
REMIC,
Series 2024-15, Class FB, 6.121% (30-DAY AVERAGE SOFR +0.000%), 4/25/2054 |
42,572,965
|
|
29,993,034
|
|
REMIC,
Series 2024-22, Class FA, 5.468% (30-DAY AVERAGE SOFR +0.900%), 5/25/2054 |
29,904,930
|
|
12,970,261
|
|
REMIC,
Series 2024-25, Class FA, 5.668% (30-DAY AVERAGE SOFR +1.100%), 5/25/2054 |
12,935,710
|
|
31,080,611
|
|
REMIC,
Series 2024-40, Class FC, 5.468% (30-DAY AVERAGE SOFR +0.900%), 5/25/2054 |
30,774,181
|
|
|
|
TOTAL
|
239,372,573
|
|
|
2
|
Government
National Mortgage Association—1.8% |
|
|
6,384,150
|
|
REMIC,
Series 2022-175, Class FA, 5.504% (30-DAY AVERAGE SOFR +0.000%), 10/20/2052 |
6,296,620
|
|
27,283,662
|
|
REMIC,
Series 2023-35, Class FH, 5.154% (30-DAY AVERAGE SOFR +0.550%), 2/20/2053 |
26,759,622
|
|
4,698,327
|
|
REMIC,
Series 2023-111, Class FD, 5.604% (30-DAY AVERAGE SOFR +1.000%), 8/20/2053 |
4,715,058
|
|
37,915,294
|
|
REMIC,
Series 2023-117, Class F, 5.554% (30-DAY AVERAGE SOFR +0.950%), 5/20/2053 |
37,634,356
|
|
12,804,646
|
|
REMIC,
Series 2024-113, Class FJ, 5.154% (30-DAY AVERAGE SOFR +0.550%), 9/20/2053 |
12,662,888
|
|
18,624,437
|
|
REMIC,
Series 2024-59, Class MF, 5.704% (30-DAY AVERAGE SOFR +1.100%), 4/20/2054 |
18,587,924
|
|
|
|
TOTAL
|
106,656,468
|
|
|
|
Non-Agency
Mortgage-Backed Securities—1.1% |
|
|
418,651
|
|
Countrywide
Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 |
238,351
|
|
33,023,795
|
|
GS
Mortgage-Backed Securities Trust 2023-PJ1, Class A4, 3.500%, 2/25/2053 |
28,712,641
|
|
27,254,184
|
|
JP
Morgan Mortgage Trust 2022-3, Class A2, 3.000%, 8/25/2052 |
22,801,957
|
|
5,884,608
|
|
JP
Morgan Mortgage Trust 2022-4, Class A3, 3.000%, 10/25/2052 |
4,923,302
|
|
5,209,513
|
|
JP
Morgan Mortgage Trust 2022-6, Class A3, 3.000%, 11/25/2052 |
4,358,490
|
Annual
Financial Statements and Additional Information
10
|
Principal
Amount
or
Shares |
|
|
Value
|
|
|
|
COLLATERALIZED
MORTGAGE OBLIGATIONS—continued
|
|
|
|
|
Non-Agency
Mortgage-Backed Securities—continued |
|
|
$ 100,196
|
|
Residential
Funding Mortgage Securities I 2005-SA3, Class 3A, 5.766%, 8/25/2035 |
$ 93,715
|
|
1,382,694
|
|
Sequoia
Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 |
1,161,306
|
|
2,484,680
|
|
Sequoia
Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 |
2,060,237
|
|
|
|
TOTAL
|
64,349,999
|
|
|
|
TOTAL
COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED
COST $588,520,276) |
586,384,756
|
|
|
|
ASSET-BACKED
SECURITIES—2.0% |
|
|
|
|
Auto
Receivables—0.3% |
|
|
20,562,000
|
|
Ford
Credit Auto Owner Trust/Ford Credit 2023-1, Class B, 5.290%, 8/15/2035 |
20,306,418
|
|
|
|
Single
Family Rental Securities—1.3% |
|
|
14,523,336
|
|
Home
Partners of America Trust 2022-1, Class B, 4.330%, 4/17/2039 |
14,144,061
|
|
16,726,000
|
|
Progress
Residential Trust 2022-SFR1, Class E1, 3.930%, 2/17/2041 |
15,321,188
|
|
14,000,000
|
|
Progress
Residential Trust 2022-SFR2, Class D, 3.945%, 4/17/2027 |
13,408,987
|
|
14,808,453
|
|
Progress
Residential Trust 2022-SFR4, Class B, 4.788%, 5/17/2041 |
14,495,183
|
|
3,600,000
|
|
Progress
Residential Trust 2023-SFR2, Class D, 4.500%, 10/17/2040 |
3,395,852
|
|
5,650,000
|
|
Progress
Residential Trust 2023-SFR2, Class E1, 4.750%, 10/17/2040 |
5,260,362
|
|
13,400,000
|
|
Progress
Residential Trust 2024-SFR1, Class D, 3.750%, 2/17/2041 |
12,301,149
|
|
|
|
TOTAL
|
78,326,782
|
|
|
|
Student
Loans—0.4% |
|
|
2,515,561
|
|
Navient
Student Loan Trust 2020-FA, Class A, 1.220%, 7/15/2069 |
2,325,420
|
|
5,258,889
|
|
Navient
Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 |
4,814,152
|
|
3,751,512
|
|
Navient
Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 |
3,500,041
|
|
3,687,621
|
2
|
SMB
Private Education Loan Trust 2018-A, Class A2B, 5.311% (CME Term SOFR 1 Month +0.914%), 2/15/2036 |
3,689,599
|
|
6,723,364
|
2
|
SMB
Private Education Loan Trust 2020-BA, Class A1B, 5.611% (CME Term SOFR 1 Month +1.214%), 7/15/2053 |
6,746,625
|
|
|
|
TOTAL
|
21,075,837
|
|
|
|
TOTAL
ASSET-BACKED SECURITIES
(IDENTIFIED
COST $121,995,341) |
119,709,037
|
|
|
2
|
AGENCY
RISK TRANSFER SECURITIES—0.2% |
|
|
2,254,131
|
|
FHLMC
- STACR 2023-DNA1, Series 2023-DNA, Class M1A, 6.660% (30-DAY AVERAGE SOFR +2.100%), 3/25/2043 |
2,286,056
|
|
10,400,000
|
|
FNMA
- CAS 2023-R05, Series 2023-R05, Class 1M2, 7.660% (30-DAY AVERAGE SOFR +3.100%), 6/25/2043 |
10,960,657
|
|
|
|
TOTAL
AGENCY RISK TRANSFER SECURITIES
(IDENTIFIED
COST $12,654,130) |
13,246,713
|
|
|
|
INVESTMENT
COMPANY—6.8% |
|
|
411,777,353
|
|
Federated
Hermes Government Obligations Fund, Premier Shares, 4.40%3
(IDENTIFIED
COST $411,777,353) |
411,777,353
|
|
|
|
TOTAL
INVESTMENT IN SECURITIES—111.5%
(IDENTIFIED
COST $6,866,255,436)4
|
6,760,961,714
|
|
|
|
OTHER
ASSETS AND LIABILITIES - NET—(11.5)%5
|
(698,382,759)
|
|
|
|
TOTAL
NET ASSETS—100% |
$6,062,578,955
|
Annual
Financial Statements and Additional Information
11
At December 31, 2024,
the Fund had the following outstanding futures contracts:
|
Description
|
Number
of
Contracts
|
Notional
Value
|
Expiration
Date
|
Value
and
Unrealized
Appreciation
(Depreciation)
|
|
Long
Futures: |
|
|
|
|
|
United
States Treasury Notes 2-Year Long Futures |
1,058
|
$217,534,720
|
March
2025 |
$130,940
|
|
United
States Treasury Notes 5-Year Long Futures |
266
|
$28,277,047
|
March
2025 |
$(118,953)
|
|
Short
Futures: |
|
|
|
|
|
United
States Treasury Notes Long Bond Short Futures |
489
|
$55,669,594
|
March
2025 |
$1,328,988
|
|
United
States Treasury Notes 10-Year Ultra Short Futures |
621
|
$69,125,062
|
March
2025 |
$852,478
|
|
United
States Treasury Notes Ultra Bond Short Futures |
359
|
$42,687,344
|
March
2025 |
$1,366,548
|
|
NET
UNREALIZED APPRECIATION ON FUTURES CONTRACTS |
$3,560,001
| |||
Net Unrealized Appreciation on Futures Contracts
is included in “Other Assets and Liabilities—Net.”
Transactions with affiliated investment
companies, which are funds managed by the Adviser or an affiliate of the Adviser, during the period
ended December 31, 2024, were as follows:
|
|
Federated
Hermes
Government
Obligations
Fund,
Premier
Shares |
|
Value
as of 12/31/2023 |
$119,161,249
|
|
Purchases
at Cost |
$3,000,882,274
|
|
Proceeds
from Sales |
$(2,708,266,170)
|
|
Change
in Unrealized Appreciation/Depreciation |
$—
|
|
Net
Realized Gain/(Loss) |
$—
|
|
Value
as of 12/31/2024 |
$411,777,353
|
|
Shares
Held as of 12/31/2024 |
411,777,353
|
|
Dividend
Income |
$13,203,261
|
|
1
|
All
or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
|
2
|
Floating/variable
note with current rate and current maturity or next reset date shown. |
|
3
|
7-day
net yield. |
|
4
|
The
cost of investments for federal tax purposes amounts to $6,857,470,802. |
|
5
|
Assets,
other than investments in securities, less liabilities. See Statement of Assets and Liabilities. A significant portion of this balance
is the result of dollar-roll
transactions
as of December 31, 2024. |
Note: The categories of investments are
shown as a percentage of total net assets at December 31, 2024.
Various inputs are used in determining the
value of the Fund’s investments. These inputs are summarized in the three broad levels listed
below:
Level 1—quoted prices in active markets
for identical securities.
Level 2—other significant observable
inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk,
etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs
(including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing
securities are not an indication of the risk associated with investing in those securities.
Annual
Financial Statements and Additional Information
12
The following is a summary of the inputs used, as of December 31, 2024, in valuing the Fund’s assets carried at fair value:
|
Valuation
Inputs | ||||
|
|
Level
1—
Quoted
Prices
|
Level
2—
Other
Significant
Observable
Inputs
|
Level
3—
Significant
Unobservable
Inputs
|
Total
|
|
Debt
Securities: |
|
|
|
|
|
Mortgage-Backed
Securities |
$—
|
$5,629,843,855
|
$—
|
$5,629,843,855
|
|
Collateralized
Mortgage Obligations |
—
|
586,384,756
|
—
|
586,384,756
|
|
Asset-Backed
Securities |
—
|
119,709,037
|
—
|
119,709,037
|
|
Agency
Risk Transfer Securities |
—
|
13,246,713
|
—
|
13,246,713
|
|
Investment
Company |
411,777,353
|
—
|
—
|
411,777,353
|
|
TOTAL
SECURITIES |
$411,777,353
|
$6,349,184,361
|
$—
|
$6,760,961,714
|
|
Other
Financial Instruments:1
|
|
|
|
|
|
Assets
|
$3,678,954
|
$—
|
$—
|
$3,678,954
|
|
Liabilities
|
(118,953)
|
—
|
—
|
(118,953)
|
|
TOTAL
OTHER FINANCIAL INSTRUMENTS |
$3,560,001
|
$—
|
$—
|
$3,560,001
|
|
1
|
Other
financial instruments are futures contracts. |
|
The
following acronym(s) are used throughout this portfolio: |
| |
|
CAS
|
—Connecticut
Avenue Securities | |
|
FHLMC
|
—Federal
Home Loan Mortgage Corporation | |
|
FNMA
|
—Federal
National Mortgage Association | |
|
REMIC
|
—Real
Estate Mortgage Investment Conduit | |
|
SOFR
|
—Secured
Overnight Financing Rate | |
|
STACR
|
—Structured
Agency Credit Risk | |
See Notes which are an integral part of
the Financial Statements
Annual
Financial Statements and Additional Information
13
Financial
Highlights
(For a Share Outstanding Throughout Each
Period)
|
|
Year Ended December 31,
| ||||
|
|
2024
|
2023
|
2022
|
2021
|
2020
|
|
Net Asset
Value, Beginning of Period |
$8.45
|
$8.38
|
$9.76
|
$10.07
|
$9.88
|
|
Income
From Investment Operations: |
|
|
|
|
|
|
Net
investment income (loss)1
|
0.39
|
0.35
|
0.25
|
0.17
|
0.24
|
|
Net
realized and unrealized gain (loss) |
(0.28)
|
0.07
|
(1.37)
|
(0.26)
|
0.22
|
|
TOTAL
FROM INVESTMENT OPERATIONS |
0.11
|
0.42
|
(1.12)
|
(0.09)
|
0.46
|
|
Less Distributions:
|
|
|
|
|
|
|
Distributions
from net investment income |
(0.38)
|
(0.35)
|
(0.26)
|
(0.22)
|
(0.27)
|
|
Net
Asset Value, End of Period |
$8.18
|
$8.45
|
$8.38
|
$9.76
|
$10.07
|
|
Total
Return2
|
1.39%
|
5.19%
|
(11.57)%
|
(0.89)%
|
4.70%
|
|
Ratios
to Average Net Assets: |
|
|
|
|
|
|
Net
expenses3
|
0.02%
|
0.02%
|
0.02%
|
0.02%
|
0.02%
|
|
Net
investment income |
4.66%
|
4.27%
|
2.78%
|
1.72%
|
2.42%
|
|
Expense
waiver/reimbursement |
—%
|
—%
|
—%
|
—%
|
—%
|
|
Supplemental
Data: |
|
|
|
|
|
|
Net
assets, end of period (000 omitted) |
$6,062,579
|
$5,517,185
|
$3,184,276
|
$3,204,459
|
$2,143,118
|
|
Portfolio
turnover4
|
113%
|
53%
|
204%
|
351%
|
257%
|
|
Portfolio
turnover (excluding purchases and sales from dollar-roll transactions)4
|
26%
|
31%
|
123%
|
65%
|
72%
|
|
1
|
Per
share numbers have been calculated using the average shares method. |
|
2
|
Based
on net asset value. |
|
3
|
Amount
does not reflect net expenses incurred by investment companies in which the Fund may invest. |
|
4
|
Securities
that mature are considered sales for purposes of this calculation. |
See Notes which are an integral part of
the Financial Statements
Annual
Financial Statements and Additional Information
14
Statement
of Assets and Liabilities
December 31, 2024
|
Assets:
|
|
|
Investment
in securities, at value including $411,777,353 of investments in affiliated holdings* (identified
cost $6,866,255,436, including
$411,777,353
of identified cost in affiliated holdings) |
$6,760,961,714
|
|
Cash
|
1,349,666
|
|
Due
from broker (Note 2)
|
17,804,406
|
|
Income
receivable |
17,335,976
|
|
Income
receivable from affiliated holdings |
1,597,410
|
|
Receivable
for variation margin on futures contracts |
393,119
|
|
Total
Assets |
6,799,442,291
|
|
Liabilities:
|
|
|
Payable
for investments purchased |
716,555,344
|
|
Income
distribution payable |
19,991,323
|
|
Payable
for Directors’/Trustees’ fees (Note 5)
|
193
|
|
Accrued
expenses (Note 5)
|
316,476
|
|
Total
Liabilities |
736,863,336
|
|
Net
assets for 741,109,630 shares outstanding |
$6,062,578,955
|
|
Net Assets
Consist of: |
|
|
Paid-in
capital |
$6,660,241,241
|
|
Total
distributable earnings (loss) |
(597,662,286)
|
|
Total
Net Assets |
$6,062,578,955
|
|
Net Asset
Value, Offering Price and Redemption Proceeds Per Share: |
|
|
$6,062,578,955
÷ 741,109,630 shares outstanding, no par value, unlimited shares authorized |
$8.18
|
|
*
|
See
information listed after the Fund’s Portfolio of Investments. |
See Notes which are an integral part of
the Financial Statements
Annual
Financial Statements and Additional Information
15
Statement
of Operations
Year Ended December
31, 2024
|
Investment
Income: |
|
|
Interest
|
$262,649,904
|
|
Dividends
received from affiliated holdings* |
13,203,261
|
|
TOTAL
INCOME |
275,853,165
|
|
Expenses:
|
|
|
Administrative
fee (Note 5)
|
8,507
|
|
Custodian
fees |
213,434
|
|
Transfer
agent fees |
360,116
|
|
Directors’/Trustees’
fees (Note 5)
|
24,872
|
|
Auditing
fees |
37,438
|
|
Legal
fees |
10,859
|
|
Portfolio
accounting fees |
260,649
|
|
Share
registration costs |
100
|
|
Printing
and postage |
20,269
|
|
Miscellaneous
(Note 5)
|
38,997
|
|
TOTAL
EXPENSES |
975,241
|
|
Net
investment income |
274,877,924
|
|
Realized
and Unrealized Gain (Loss) on Investments and Futures Contracts: |
|
|
Net
realized loss on investments |
(49,768,272)
|
|
Net
realized gain on futures contracts |
1,702,291
|
|
Net
change in unrealized appreciation of investments |
(131,605,919)
|
|
Net
change in unrealized appreciation of futures contracts |
(3,800,125)
|
|
Net
realized and unrealized gain (loss) on investments and futures contracts |
(183,472,025)
|
|
Change
in net assets resulting from operations |
$91,405,899
|
|
*
|
See
information listed after the Fund’s Portfolio of Investments. |
See Notes which are an integral part of
the Financial Statements
Annual
Financial Statements and Additional Information
16
Statement
of Changes in Net Assets
|
Year
Ended December 31 |
2024
|
2023
|
|
Increase
(Decrease) in Net Assets |
|
|
|
Operations:
|
|
|
|
Net
investment income |
$274,877,924
|
$199,901,443
|
|
Net
realized gain (loss) |
(48,065,981)
|
(88,955,272)
|
|
Net
change in unrealized appreciation/depreciation |
(135,406,044)
|
159,353,077
|
|
CHANGE
IN NET ASSETS RESULTING FROM OPERATIONS |
91,405,899
|
270,299,248
|
|
Distributions
to Shareholders |
(272,825,103)
|
(199,751,824)
|
|
Share Transactions:
|
|
|
|
Proceeds
from sale of shares |
1,567,456,321
|
2,726,863,581
|
|
Net
asset value of shares issued to shareholders in payment of distributions declared |
68,503,553
|
35,191,234
|
|
Cost
of shares redeemed |
(909,147,105)
|
(499,692,942)
|
|
CHANGE
IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS |
726,812,769
|
2,262,361,873
|
|
Change
in net assets |
545,393,565
|
2,332,909,297
|
|
Net Assets:
|
|
|
|
Beginning
of period |
5,517,185,390
|
3,184,276,093
|
|
End
of period |
$6,062,578,955
|
$5,517,185,390
|
See Notes which are an integral part of
the Financial Statements
Annual
Financial Statements and Additional Information
17
Notes to
Financial Statements
December 31, 2024
1. ORGANIZATION
Federated Hermes Core Trust (the “Trust”)
is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end
management investment company. The Trust consists of four portfolios. The financial statements included herein are only those
of Mortgage Core Fund (the “Fund”), a diversified portfolio. The financial statements of the other portfolios are presented
separately. The assets of each portfolio are segregated and a
shareholder’s interest is limited to the portfolio in which shares are held. Each
portfolio pays its own expenses. The investment objective of the Fund is to provide total return. The Fund is an investment vehicle used
by other Federated Hermes funds that invest some of their assets in mortgage-backed securities. Currently, shares of the Fund are being
offered for investment only to investment companies, insurance company separate accounts, common or commingled trust funds or
similar organizations or parties that are “accredited investors” within the meaning of Regulation D of the Securities Act
of 1933, as amended (the “1933 Act”).
2. SIGNIFICANT
ACCOUNTING POLICIES
The following is a summary of significant
accounting policies consistently followed by the Fund in the preparation of its financial statements.
These policies are in conformity with U.S. generally accepted accounting principles (GAAP).
Investment Valuation
In
calculating its net asset value (NAV), the Fund generally values investments as follows:
■
Fixed-income
securities are fair valued using price evaluations provided by a pricing service approved by Federated Investment Management
Company (the “Adviser”).
■
Shares
of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs, or NAV per share
practical expedient, as applicable.
■
Derivative
contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean
of closing bid and ask quotations.
■
Over-the-counter
(OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the
Adviser.
■
For
securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, certain
factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer
or dealers, analysis of the issuer’s financial statements or other available documents, fundamental analytical data, the nature
and duration of restrictions on disposition, the movement of the
market in which the security is normally traded, public trading in similar securities
or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited
to industry changes and relevant government actions.
If any price, quotation, price evaluation
or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain
price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth
in the Adviser’s valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion
of the Adviser’s valuation committee (“Valuation Committee”),
is deemed not representative of the fair value of such security, the Fund uses the
fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund
could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines
its NAV per share, and the actual value obtained could be materially different.
Fair Valuation Procedures
Pursuant
to Rule 2a-5 under the Act, the Fund’s Board of Trustees (the “Trustees”) has designated the Adviser as the Fund’s
valuation designee to perform any fair value determinations for
securities and other assets held by the Fund. The Adviser is subject to the Trustees’
oversight and certain reporting and other requirements intended to provide the Trustees the information needed to oversee the
Adviser’s fair value determinations.
The Adviser, acting through
its Valuation Committee, is responsible for determining the fair value of investments for which market quotations
are not readily available. The Valuation Committee is comprised of officers of the Adviser and certain of the Adviser’s affiliated
companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is also authorized to use
pricing services to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The
Valuation Committee employs various methods for reviewing third-party
pricing-service evaluations including periodic reviews of third-party
pricing services’ policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional
back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on
recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee
determines the fair value of the investment in accordance with procedures adopted by the Adviser. The Trustees periodically review
the fair valuations made by the Valuation Committee. The Trustees have also approved the Adviser’s fair valuation and significant
events procedures as part of the Fund’s compliance program
and will review any changes made to the procedures.
Factors considered by
pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon,
maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers
and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an
investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price
between
Annual
Financial Statements and Additional Information
18
the prices bid and
ask for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities,
mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income
securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment,
the fair value of the investment is determined in accordance with procedures adopted by the Adviser.
Repurchase Agreements
The
Fund may invest in repurchase agreements for short-term liquidity purposes. It is the policy of the Fund to require the other party to
a repurchase agreement to transfer to the Fund’s custodian
or sub-custodian eligible securities or cash with a market value (after transaction
costs) at least equal to the repurchase price to be paid under the repurchase agreement. The eligible securities are transferred
to accounts with the custodian or sub-custodian in which the Fund holds a “securities entitlement” and exercises “control”
as those terms are defined in the Uniform Commercial Code. The
Fund has established procedures for monitoring the market value of the transferred
securities and requiring the transfer of additional eligible securities if necessary to equal at least the repurchase price. These procedures
also allow the other party to require securities to be transferred from the account to the extent that their market value exceeds
the repurchase price or in exchange for other eligible securities of equivalent market value.
The insolvency of the
other party or other failure to repurchase the securities may delay the disposition of the underlying securities or cause
the Fund to receive less than the full repurchase price. Under the terms of the repurchase agreement, any amounts received by the Fund
in excess of the repurchase price and related transaction costs must be remitted to the other party.
The Fund may enter into
repurchase agreements in which eligible securities are transferred into joint trading accounts maintained by the
custodian or sub-custodian for investment companies and other clients advised by the Fund’s Adviser and its affiliates. The Fund
will participate on a pro rata basis with the other investment
companies and clients in its share of the securities transferred under such repurchase
agreements and in its share of proceeds from any repurchase or other disposition of such securities.
Investment Income, Gains and Losses, Expenses and Distributions
Investment
transactions are accounted for on a trade-date basis. Realized gains and losses from investment transactions are recorded on an
identified-cost basis. Interest income and expenses are accrued daily. Dividend income and distributions to shareholders are recorded
on the ex-dividend date. Distributions of net investment income,
if any, are declared daily and paid monthly. In addition, distributions of capital
gains, if any, are declared and paid at least annually. Non-cash dividends included in dividend income, if any, are recorded at fair value.
Amortization/accretion of premium and discount is included in investment income. Gains and losses realized on principal payment of
mortgage-backed securities (paydown gains and losses) are classified as part of investment income.
Federal Taxes
It
is the Fund’s policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986 (the “Code”) and
to distribute to shareholders each year substantially all of its
income. Accordingly, no provision for federal income tax is necessary. As of and during the year
ended December 31, 2024, the Fund did not have a liability for any uncertain tax positions. The Fund recognizes interest and penalties,
if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2024, tax years 2021
through 2024 remain subject to examination by the Fund’s major tax jurisdictions, which include the United States of America and
the Commonwealth of Massachusetts.
When-Issued and Delayed-Delivery Transactions
The
Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued securities on the trade date and maintains
security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased
on a when-issued or delayed-delivery basis are marked to market daily and begin earning interest on the settlement date. Losses
may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the
contract.
The Fund may transact
in To Be Announced Securities (TBAs). As with other delayed-delivery transactions, a seller agrees to issue TBAs
at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any
security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Fund records TBAs on the trade
date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked
to market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages
received may be less favorable than those anticipated by the Fund.
Dollar-Roll Transactions
The
Fund engages in dollar-roll transactions in which the Fund sells mortgage-backed securities with a commitment to buy similar (same type,
coupon and maturity), but not identical mortgage-backed securities on a future date. Both securities involved are TBA mortgage-backed
securities. The Fund treats dollar-roll transactions as purchases and sales. Dollar-rolls are subject to interest rate risks and credit
risks.
Futures Contracts
The
Fund purchases and sells financial futures contracts to manage duration and sector/asset class risks. Upon entering into a financial futures
contract with a broker, the Fund is required to deposit with a broker, either U.S. government securities or a specified amount of cash,
which is shown as due from broker in the Statement of Assets and Liabilities. Futures contracts are valued daily and unrealized gains
or losses are recorded in a “variation margin” account. The Fund receives from or pays to the broker a specified amount of
cash based upon changes in the variation margin account. When
a contract is closed, the Fund recognizes a realized gain or loss. Futures contracts
have market risks, including the risk that the change in the value of the contract may not correlate with the changes in the value
of the underlying securities. There is minimal counterparty risk to the Fund since futures contracts are exchange traded and the exchange’s
clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default.
Annual
Financial Statements and Additional Information
19
Futures
contracts outstanding at period end are listed after the Fund’s Portfolio of Investments.
The average notional
value of long and short futures contracts held by the Fund throughout the period was $367,542,337 and $101,209,826,
respectively. This is based on amounts held as of each month-end throughout the fiscal period.
Restricted Securities
The
Fund may purchase securities which are considered restricted. Restricted securities are securities that either: (a) cannot be offered
for public sale without first being registered, or being able
to take advantage of an exemption from registration, under the 1933 Act; or (b)
are subject to contractual restrictions on public sales. In some cases, when a security cannot be offered for public sale without first
being registered, the issuer of the restricted security has agreed
to register such securities for resale, at the issuer’s expense, either upon demand
by the Fund or in connection with another registered offering of the securities. Many such restricted securities may be resold in the
secondary market in transactions exempt from registration. Restricted securities may be determined to be liquid under criteria established
by the Trustees. The Fund will not incur any registration costs upon such resales. The Fund’s restricted securities, like other
securities, are priced in accordance with procedures established
by and under the general supervision of the Adviser.
Additional Disclosure Related to Derivative Instruments
|
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 |
$3,560,001*
|
|
*
|
Includes
cumulative net appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s
variation margin is
reported
within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement
of Operations for the Year Ended December 31, 2024
|
Amount
of Realized Gain or (Loss) on Derivatives Recognized in Income | |
|
|
Futures
Contracts
|
|
Interest
rate contracts |
$1,702,291
|
|
Change
in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
|
|
Futures
Contracts
|
|
Interest
rate contracts |
$(3,800,125)
|
Other
The
preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the
amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ materially from
those estimated. The Fund applies investment company accounting
and reporting guidance.
3. SHARES
OF BENEFICIAL INTEREST
The following table summarizes share activity:
|
|
Year
Ended
12/31/2024
|
Year
Ended
12/31/2023
|
|
Shares
sold |
188,979,745
|
328,676,656
|
|
Shares
issued to shareholders in payment of distributions declared |
8,281,587
|
4,270,767
|
|
Shares
redeemed |
(108,969,292)
|
(59,994,883)
|
|
NET
CHANGE RESULTING FROM FUND SHARE TRANSACTIONS |
88,292,040
|
272,952,540
|
Annual
Financial Statements and Additional Information
20
4. FEDERAL
TAX INFORMATION
The tax character of distributions as reported
on the Statement of Changes in Net Assets for the years ended December 31, 2024 and 2023,
was as follows:
|
|
2024
|
2023
|
|
Ordinary
income |
$272,825,103
|
$199,751,824
|
As of December 31, 2024, the components
of distributable earnings on a tax-basis were as follows:
|
Undistributed
ordinary income |
$459,611
|
|
Net
unrealized depreciation |
$(96,509,088)
|
|
Capital
loss carryforwards |
$(501,612,809)
|
|
TOTAL
|
$(597,662,286)
|
At December 31, 2024, the cost of investments
for federal tax purposes was $6,857,470,802. The net unrealized depreciation of investments
for federal tax purposes was $96,509,088. This consists of unrealized appreciation from investments for those securities having
an excess of value over cost of $25,186,240 and unrealized depreciation from investments for those securities having an excess of cost
over value of $121,695,328. The amounts presented are inclusive of derivative contracts. The difference between book-basis and tax-basis
net unrealized depreciation is attributable to differing treatments for dollar-roll transactions and mark-to-market on futures
contracts.
As of December 31, 2024,
the Fund had a capital loss carryforward of $501,612,809 which will reduce the Fund’s taxable income arising
from future net realized gains on investments, if any, to the extent permitted by the Code, thereby reducing the amount of distributions
to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. Pursuant to the
Code, these net capital losses retain their character as either short-term or long-term and do not expire.
The following schedule summarizes the Fund’s
capital loss carryforwards:
|
Short-Term
|
Long-Term
|
Total
|
|
$291,226,978
|
$210,385,831
|
$501,612,809
|
5. INVESTMENT
ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Adviser Fee
The
Adviser, subject to the direction of the Trustees, provides investment adviser services at no fee, because all investors in the Fund are
other Federated Hermes Funds, insurance company separate accounts,
common or commingled trust funds or similar organizations or entities
that are “accredited investors” within the meaning of Regulation D of the 1933 Act. The Fund pays operating expenses associated
with the operation and maintenance of the Fund (excluding fees and expenses that may be charged by the Adviser and its affiliates).
Although not contractually obligated to do so, the Adviser intends to voluntarily reimburse operating expenses (excluding extraordinary
expenses and proxy-related expenses paid by the Fund, if any) such that the Fund will only bear such expenses in an amount
of up to 0.15% of the Fund’s average daily net assets. The Adviser can modify or terminate this voluntary reimbursement at any time
at its sole discretion.
Administrative Fee
Federated
Administrative Services (FAS), under the Administrative Services Agreement, provides the Fund with administrative personnel and
services. FAS does not charge the Fund a fee but is entitled to reimbursement for certain out-of-pocket expenses.
Directors’/Trustees’ and Miscellaneous Fees
Certain
Officers and Trustees of the Fund are Officers and Directors or Trustees of certain of the above companies. To efficiently facilitate
payment, Independent Directors’/Trustees’ fees and
certain expenses related to conducting meetings of the Directors/Trustees and other
miscellaneous expenses are paid by an affiliate of the Adviser which in due course are reimbursed by the Fund. These expenses related
to conducting meetings of the Directors/Trustees and other miscellaneous expenses may be included in Accrued and Miscellaneous
Expenses on the Statement of Assets and Liabilities and Statement of Operations, respectively.
Affiliated Shares of Beneficial Interest
As
of December 31, 2024, a majority of the shares of beneficial interest outstanding are owned by other affiliated investment companies.
6. INVESTMENT
TRANSACTIONS
Purchases and sales of investments, excluding
long-term U.S. government securities and short-term obligations, for the year ended December
31, 2024, were as follows:
|
Purchases
|
$11,942,432
|
|
Sales
|
$230,508,557
|
Annual
Financial Statements and Additional Information
21
7. CREDIT
RISK
The Fund may place its cash on deposit with
financial institutions in the United States, which are insured by the Federal Deposit Insurance
Company (“FDIC”) up to $250,000. The Fund’s credit risk in the event of failure of these financial institutions is represented
by the difference between the FDIC limit and the total amounts
on deposit. The Fund from time to time may have amounts on deposit in excess
of the insured limits.
8. LINE
OF CREDIT
The Fund participates with certain other
Federated Hermes Funds, on a several basis, in an up to $500,000,000 unsecured, 364-day, committed,
revolving line of credit (LOC) agreement dated June 18, 2024. The LOC was made available to temporarily finance the repurchase
or redemption of shares of the Fund, failed trades, payment of dividends, settlement of trades and for other short-term, temporary
or emergency general business purposes. The Fund cannot borrow under the LOC if an inter-fund loan is outstanding. The Fund’s
ability to borrow under the LOC also is subject to the limitations of the Act and various conditions precedent that must be satisfied
before the Fund can borrow. Loans under the LOC are charged interest at a fluctuating rate per annum equal to (a) the highest, on
any day, of (i) the federal funds effective rate, (ii) the published secured overnight financing rate plus an assigned percentage, and
(iii) 0.0%, plus (b) a margin. Any fund eligible to borrow under
the LOC pays its pro rata share of a commitment fee based on the amount of
the lenders’ commitment that has not been utilized, quarterly in arrears and at maturity. As of December 31, 2024, the Fund had
no outstanding loans. During the year ended December 31, 2024,
the Fund did not utilize the LOC.
9. INTERFUND
LENDING
Pursuant to an Exemptive Order issued by
the Securities and Exchange Commission, the Fund, along with other funds advised by subsidiaries
of Federated Hermes, Inc., may participate in an interfund lending program. This program provides an alternative credit facility
allowing the Fund to borrow from other participating affiliated funds. As of December 31, 2024, there were no outstanding loans. During
the year ended December 31, 2024, the program was not utilized.
10. OPERATING
SEGMENTS
In this reporting period, the Fund adopted
FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to
Reportable Segment Disclosures. Adoption of the new standard impacted financial statement disclosures only and did not affect the Fund’s
financial position or the results of its operations. An operating segment is defined as a component of a public entity that engages in
business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the
public entity’s chief operating decision maker (CODM) to
make decisions about resources to be allocated to the segment and assess its performance,
and has discrete financial information available. A management committee of the Adviser acts as the CODM. The Fund represents
a single operating segment, as the CODM monitors the operating results of the Fund as a whole and the strategic asset allocation
is determined based on the investment objective of the Fund and executed by the Fund’s portfolio management team. The financial
information in the form of the Fund’s portfolio composition, total returns, expense ratios and changes in net assets (i.e., changes
in net assets resulting from operations, subscriptions and redemptions)
which is reviewed by the CODM to assess the Fund’s performance
in comparison to the Fund’s benchmarks and to make resource allocation decisions for the Fund’s single segment is consistent
with the information presented in these financial statements. Segment assets are reflected on the accompanying Statement of Assets
and Liabilities as “total assets” and significant segment expenses are listed on the accompanying Statement of Operations.
11. INDEMNIFICATIONS
Under the Fund’s organizational documents,
its Officers and Directors/Trustees are indemnified against certain liabilities arising out of the
performance of their duties to the Fund (other than liabilities arising out of their willful misfeasance, bad faith, gross negligence
or reckless disregard of their duties to the Fund). In addition,
in the normal course of business, the Fund provides certain indemnifications under
arrangements with third parties. Typically, obligations to indemnify a third party arise in the context of an arrangement entered into
by the Fund under which the Fund agrees to indemnify such third party for certain liabilities arising out of actions taken pursuant to
the arrangement, provided the third party’s actions are
not deemed to have breached an agreed-upon standard of care (such as willful misfeasance,
bad faith, gross negligence or reckless disregard of their duties under the contract). The Fund’s maximum exposure under these
arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet arisen. The Fund
does not anticipate any material claims or losses pursuant to these arrangements at this time, and accordingly expects the risk of loss
to be remote.
12. FEDERAL
TAX INFORMATION (UNAUDITED)
100% of total ordinary income distributions
qualified as business interest income for purposes of 163(j) and the regulations thereunder.
Annual
Financial Statements and Additional Information
22
Report of
Independent Registered Public Accounting Firm
TO THE SHAREHOLDERS AND THE
BOARD OF TRUSTEES OF mortgage core Fund:
Opinion on the Financial Statements
We have audited the accompanying
statement of assets and liabilities of Mortgage Core Fund (the “Fund”) (one of the portfolios
constituting Federated Hermes Core Trust (the “Trust”)), including the portfolio of investments, as of December
31, 2024, and the related statement of operations for the year then ended, the statement of changes in net assets for
each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended
and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present
fairly, in all material respects, the financial position of the Fund (one of the portfolios constituting Federated Hermes
Core Trust) at December 31, 2024, the results of its operations for the year then ended, the changes in its net assets
for each of the two years in the period then ended and its financial highlights for each of the five years in the period then
ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are
the responsibility of the Trust’s management. Our responsibility is to express an opinion on the
Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting
Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance
with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission
and in accordance with the relevant ethical requirements relating to our audits.
We conducted our audits in accordance
with the auditing standards of the PCAOB and in accordance with auditing standards
generally accepted in the United States of America. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error
or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over
financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting,
but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial
reporting. Accordingly, we express no such opinion.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due
to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation
of securities owned as of December 31, 2024, by correspondence with the custodian, brokers, and others; when
replies were not received from brokers or others, we performed other auditing procedures. Our audits also included evaluating
the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation
of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor
of one or more Federated Hermes investment companies since 1979.
Boston, Massachusetts
February 24, 2025
February 24, 2025
Annual
Financial Statements and Additional Information
23
Shareholder
Meeting Results (unaudited)
At a Special Meeting held on
October 25, 2024, shareholders of the Federated Hermes Core Trust (the “Trust”) elected Trustees
of the Trust. Shareholders of the Trust elected new individuals to serve as Trustees effective January 1, 2025, who
will serve on the Board with current Trustees Messrs. J. Christopher Donahue, John B. Fisher, John G. Carson, G.
Thomas Hough, Thomas M. O’Neill, John S. Walsh and Ms. Madelyn A. Reilly. Under the Trust’s Director Service Policy,
Trustees Judge Maureen Lally-Green and Mr. P. Jerome Richey retired from the Board on December 31, 2024. The
number of votes cast for, against or withheld, as well as the number of abstentions and broker non-votes with respect to
the election of each nominee for office, is included below.
|
Trustee:
|
Voted
For |
Withheld
Authority |
Abstained
|
Broker
Non-Voting |
|
J.
Christopher Donahue |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
John
B. Fisher |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
John
G. Carson |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
G.
Thomas Hough |
966,480,352.584
|
46,842,079.926
|
0
|
N/A
|
|
Karen
L. Larrimer |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
Max
F. Miller |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
Frank
J. Nasta |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
Thomas
M. O’Neill |
966,480,352.584
|
46,842,079.926
|
0
|
N/A
|
|
Madelyn
A. Reilly |
1,013,322,432.510
|
0.000
|
0
|
N/A
|
|
John
S. Walsh |
966,480,352.584
|
46,842,079.926
|
0
|
N/A
|
Annual
Financial Statements and Additional Information
24
Evaluation
and Approval of Advisory Contract–May
2024
Mortgage Core Fund (the “Fund”)
At its meetings in May 2024 (the
“May Meetings”), the Fund’s Board of Trustees (the “Board”), including those Trustees who
are not “interested persons” of the Fund, as defined in the Investment Company Act of 1940 (the “Independent Trustees”),
reviewed and unanimously approved the continuation of the investment advisory contract between the Fund and
Federated Investment Management Company (the “Adviser”) (the “Contract”) for an additional one-year term. The
Board’s determination to approve the continuation
of the Contract reflects the exercise of its business judgment after considering
all of the information and factors believed to be relevant and appropriate on whether to approve the continuation
of the existing arrangement. The information, factors and conclusions that formed the basis for the Board’s approval
are summarized below.
The Board
considered that the Fund is distinctive in that it is designed for the efficient management of a particular asset class
and is made available for investment only to other funds (each, a “Federated Hermes Fund” and, collectively the “Federated
Hermes Funds”) advised by the Adviser or its affiliates (collectively, “Federated Hermes”) and a limited number
of other accredited investors.
In addition,
the Board considered that the Adviser does not charge an investment advisory fee for its services, although Federated
Hermes may receive compensation for managing assets invested in the Fund.
Information Received
and Review Process
At the request
of the Independent Trustees, the Fund’s Chief Compliance Officer (the “CCO”) furnished to the Board in advance
of its May Meetings an independent written evaluation of the Fund’s management fee (the “CCO Fee Evaluation Report”).
The Board considered the CCO Fee Evaluation Report, along with other information, in evaluating the reasonableness
of the Fund’s management fee and in determining to approve the continuation of the Contract.
In addition
to the extensive materials that comprise and accompany the CCO Fee Evaluation Report, the Board considered
information specifically prepared in connection with the approval of the continuation of the Contract that was presented
at the May Meetings. In this regard, in the months preceding the May Meetings, the Board requested and reviewed
written responses and supporting materials prepared by Federated Hermes in response to requests posed to Federated
Hermes by independent legal counsel on behalf of the Independent Trustees encompassing a wide variety of topics,
including those summarized below. The Board also considered such additional matters as the Independent Trustees deemed
reasonably necessary to evaluate the Contract, which included detailed information about the Fund and Federated Hermes
furnished to the Board at its meetings throughout the year and in between regularly scheduled meetings on particular
matters as the need arose.
The Board’s
consideration of the Contract included review of materials and information covering the following matters, among
others: (1) copies of the Contracts; (2) the nature, quality and extent of the advisory and other services provided to the
Fund by Federated Hermes; (3) Federated Hermes’ business and operations; (4) the Adviser’s investment philosophy, personnel
and processes; (5) the Fund’s investment objectives and strategies; (6) the Fund’s short-term and long-term performance
- in absolute terms (both on a gross basis and net of expenses) and relative to its benchmark index; (7) the Fund’s
fees and expenses, including the advisory fee and the overall expense structure of the Fund, with due regard for contractual
or voluntary expense limitations (if any); (8) the financial condition of Federated Hermes; (9) the Adviser’s profitability
with respect to managing the Fund; (10) distribution and sales activity for the Fund; and (11) the use and allocation
of brokerage commissions derived from trading the Fund’s portfolio securities (if any).
The Board
also considered judicial decisions concerning allegedly excessive investment advisory fees charged to other registered
funds in evaluating the Contract. Using these judicial decisions as a guide, the Board considered several factors they
deemed relevant to an adviser’s fiduciary duty with respect to its receipt of compensation from a fund, including: (1)
the nature and quality of the services provided by the adviser to the fund and its shareholders, including the performance
of the fund, its benchmark and comparable funds; (2) the adviser’s cost of providing the services and the profitability
to the adviser of providing advisory services to the fund; (3) the extent to which the adviser may realize “economies
of scale” as the fund grows larger and, if such economies of scale exist, whether they have been appropriately shared
with the fund and its shareholders or the family of funds; (4) any “fall-out” benefits that accrue to the adviser because
of its relationship with the fund, including research services received from brokers that execute fund trades and any
fees paid to affiliates of the adviser for services rendered to the fund; (5) comparative fees and expenses, including a comparison
of management fees paid to the adviser with those paid by similar funds managed by the same adviser or other advisers
as well as management fees charged to institutional and other advisory clients of the same adviser for what might be
viewed as like services; and (6) the extent of care, conscientiousness and independence with which the fund’s board members
perform their duties and their expertise, including whether they are fully informed about all facts the board deems
relevant to its consideration of the adviser’s services and fees. The Board considered that the Securities and Exchange
Commission (“SEC”) disclosure requirements regarding the basis for a fund board’s approval of the fund’s
Annual
Financial Statements and Additional Information
25
investment
advisory contract generally align with the factors listed above. The Board was guided by these factors in its evaluation
of the Contract to the extent it considered them to be appropriate and relevant, as discussed further below. The Board
considered and weighed these factors in light of its substantial accumulated experience in governing the Fund and working
with Federated Hermes on matters relating to the oversight of the other Federated Hermes Funds.
In determining
to approve the continuation of the Contract, the members of the Board reviewed and evaluated information
and factors they believed to be relevant and appropriate through the exercise of their reasonable business judgment.
While individual members of the Board may have weighed certain factors differently, the Board’s determination
to approve the continuation of the Contract was based on a comprehensive consideration of all information provided
to the Board throughout the year and specifically with respect to the continuation of the Contract. The Board recognized
that its evaluation process is evolutionary and that the factors considered and emphasis placed on relevant factors
may change in recognition of changing circumstances in the registered fund marketplace. The Independent Trustees
were assisted throughout the evaluation process by independent legal counsel. In connection with their deliberations
at the May Meetings, the Independent Trustees met separately in executive session with their independent legal
counsel and without management present to review the relevant materials and consider their responsibilities under applicable
laws. In addition, senior management representatives of Federated Hermes also met with the Independent Trustees
and their independent legal counsel to discuss the materials and presentations furnished to the Board at the May Meetings.
The Board considered the approval of the Contract for the Fund as part of its consideration of agreements for funds
across the family of Federated Hermes Funds, but its approvals were made on a fund-by-fund basis.
Nature, Extent and
Quality of Services
The Board
considered the nature, extent and quality of the services provided to the Fund by the Adviser and the resources
of Federated Hermes dedicated to the Fund. In this regard, the Board evaluated, among other things, the terms of the
Contract and the full range of services provided to the Fund by Federated Hermes. The Board considered the Adviser’s personnel,
investment philosophy and process, investment research capabilities and resources, trade operations capabilities,
experience and performance track record. The Board reviewed the qualifications, backgrounds and responsibilities
of the portfolio management team primarily responsible for the day-to-day management of the Fund and evaluated
Federated Hermes’ ability and experience in attracting and retaining qualified personnel to service the Fund. The Board
considered the trading operations by the Adviser, including the execution of portfolio transactions and the selection of
brokers for those transactions. The Board also considered the Adviser’s ability to deliver competitive investment performance
for the Fund when compared to the Fund’s benchmark index, which was deemed by the Board to be a useful indicator
of how the Adviser is executing the Fund’s investment program.
In addition,
the Board considered the financial resources and overall reputation of Federated Hermes and its willingness to
consider and make investments in personnel, infrastructure, technology, cybersecurity, business continuity planning and operational
enhancements that are designed to benefit the Federated Hermes Funds. The Board noted the benefits of the previous
significant acquisition of Hermes Fund Managers Limited by Federated Hermes, which has deepened Federated Hermes’
investment management expertise and capabilities and expanded its access to analytical resources related to environmental,
social and governance (“ESG”) factors and issuer engagement on ESG matters where appropriate. The Board
considered Federated Hermes’ oversight of the securities lending program for the Federated Hermes Funds that engage
in securities lending and noted the income earned by the Federated Hermes Funds that participate in such program. In
addition, the Board considered the quality of Federated Hermes’ communications with the Board and responsiveness to Board
inquiries and requests made from time to time with respect to the Federated Hermes Funds. The Board also considered
that Federated Hermes is responsible for providing the Federated Hermes Funds’ officers.
The Board
received and evaluated information regarding Federated Hermes’ regulatory and compliance environment. The
Board considered Federated Hermes’ compliance program and compliance history and reports from the CCO about Federated
Hermes’ compliance with applicable laws and regulations, including responses to regulatory developments and any
compliance or other issues raised by regulatory agencies. The Board also noted Federated Hermes’ support of the Federated
Hermes Funds’ compliance control structure and the compliance-related resources devoted by Federated Hermes
in support of the Fund’s obligations pursuant to Rule 38a-1 under the Investment Company Act of 1940, including Federated
Hermes’ commitment to respond to rulemaking and other regulatory initiatives of the SEC. The Board considered
Federated Hermes’ approach to internal audits and risk management with respect to the Federated Hermes Funds
and its day-to-day oversight of the Federated Hermes Funds’ compliance with their investment objectives and policies
as well as with applicable laws and regulations, noting that regulatory and other developments had over time led, and
continue to lead, to an increase in the scope of Federated Hermes’ oversight in this regard.
In addition,
the Board noted Federated Hermes’ commitment to maintaining high quality systems and expending substantial
resources to prepare for and respond to ongoing changes due to the market, regulatory and control environments
in which the Fund and its service providers operate.
Annual
Financial Statements and Additional Information
26
The
Board considered Federated Hermes’ efforts to provide shareholders in the Federated Hermes Funds with a comprehensive
array of funds with different investment objectives, policies and strategies. The Board considered the expenses
that Federated Hermes had incurred, as well as the entrepreneurial and other risks assumed by Federated Hermes, in
sponsoring and providing on-going services to new funds to expand these opportunities for shareholders. The Board noted
the benefits to shareholders of being part of the family of Federated Hermes Funds, which include the general right to
exchange investments between the same class of shares without the incurrence of additional sales charges.
Based on
these considerations, the Board concluded that it was satisfied with the nature, extent and quality of the services
provided by the Adviser to the Fund.
Fund Investment Performance
The Board
considered the investment performance of the Fund. In evaluating the Fund’s investment performance, the Board
considered performance results in light of the Fund’s investment objective, strategies and risks. The Board considered
detailed investment reports on, and the Adviser’s analysis of, the Fund’s performance over different time periods
that were provided to the Board throughout the year and in connection with the May Meetings.
For the
one-year, three-year and five-year periods ended December 31, 2023, the Fund outperformed its benchmark
index.
Based on
these considerations, the Board concluded that it had continued confidence in the Adviser’s overall capabilities
to manage the Fund.
Fund Expenses
The Board
considered that the Adviser does not charge an investment advisory fee to this Fund for its services. Because the
Adviser does not charge the Fund an investment advisory fee, the Board noted that it did not consider fee comparisons to
other registered funds or other types of clients of Federated Hermes to be relevant to its evaluation. The Board also considered
the overall expense structure of the Fund, with due regard for contractual or voluntary expense limitations.
In the case
of the Fund, the Board noted that Federated Hermes does not manage any other types of clients that are comparable
to the Fund.
Profitability
The Board
received and considered profitability information furnished by Federated Hermes. The Board considered that the
Adviser does not charge an investment advisory fee to the Fund and noted, therefore, that the Adviser does not profit from
providing advisory services to the Fund under the Contract.
The Board
also reviewed information compiled by Federated Hermes comparing its profitability information to other publicly-held
fund management companies, including information regarding profitability trends over time. The Board recognized
that profitability comparisons among fund management companies are difficult because of the variation in the type
of comparative information that is publicly available, and the profitability of any fund management company is affected
by numerous factors. The Board considered the CCO’s conclusion that, based on such profitability information, Federated
Hermes’ profit margins did not appear to be excessive. The Board also considered the CCO’s view that Federated
Hermes appeared financially sound, with the resources necessary to fulfill its obligations under its contracts with
the Federated Hermes Funds.
Economies of Scale
Because
of the distinctive nature of the Fund as primarily an internal product with an advisory fee of zero, the Board noted
that it did not consider the assessment of whether economies of scale would be realized if the Fund were to grow to a
sufficient size to be particularly relevant to its evaluation.
Other Benefits
The Board
considered information regarding the compensation and other ancillary (or “fall-out”) benefits that Federated Hermes
derived from its relationships with the Federated Hermes Funds.
The Board
noted that an affiliate of the Adviser is entitled to reimbursement for certain out-of-pocket expense incurred in
providing administrative services to the Fund.
In connection
with the Board’s governance of other Federated Hermes Funds, the Board noted that, in addition to receiving
advisory fees under the Federated Hermes Funds’ investment advisory contracts, Federated Hermes’ affiliates also
receive fees for providing other services to the Federated Hermes Funds under separate service contracts including for serving
as the Federated Hermes Funds’ administrator and distributor. In this regard, the Board considered that certain of Federated
Hermes’ affiliates provide distribution and shareholder services to the Federated Hermes Funds, for which they may
be compensated through distribution and servicing fees paid pursuant to Rule 12b-1 plans or otherwise. The Board also
received and considered information detailing the benefits, if any, that Federated Hermes may derive from its receipt of
research services from brokers who execute portfolio trades for the Federated Hermes Funds.
Annual
Financial Statements and Additional Information
27
Conclusions
The Board
considered: (i) the CCO’s conclusion that his observations and the information accompanying the CCO Fee Evaluation
Report show that the management fee for the Fund is reasonable; and (ii) the CCO’s recommendation that the Board
approve the management fee. The Board noted that, under these circumstances, no changes were recommended to, and
no objection was raised to the continuation of, the Contract by the CCO. The CCO also recognized that the Board’s evaluation
of the Federated Hermes Funds’ advisory and sub-advisory arrangements is a continuing and ongoing process that
is informed by the information that the Board requests and receives from management throughout the course of the year
and, in this regard, the CCO noted certain items, and management has committed to reviewing certain items, for future
reporting to the Board as the Board continues its ongoing oversight of the Federated Hermes Funds.
On the basis
of the information and factors summarized above, among other information and factors deemed relevant by the
Board, and the evaluation thereof, the Board, including the Independent Trustees, unanimously voted to approve the continuation
of the Contract. The Board based its determination to approve the Contract on the totality of the circumstances
and relevant factors and with a view of past and future long-term considerations. Not all of the factors and considerations
identified above were necessarily deemed to be relevant to the Fund, nor did the Board consider any one of them
to be determinative.
Annual
Financial Statements and Additional Information
28
Mutual funds are not
bank deposits or obligations, are not guaranteed by any bank and are not insured or guaranteed by the
U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other government agency.
Investment in mutual funds involves investment risk, including the possible loss of principal.
This information is authorized
for distribution to prospective investors only when preceded or accompanied by the Fund’s Private
Offering Memorandum, which contains facts concerning its objective and policies, management fees, expenses and other
information.
Mortgage Core Fund
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
Contact us at
FederatedHermes.com/us
or call 1-800-341-7400.
or call 1-800-341-7400.
Federated Securities Corp., Placement Agent
CUSIP 31409N200
30129 (2/25)
©
2025 Federated Hermes, Inc.
| Item 8. | Changes in and Disagreements with Accountants for Open-End Management Investment Companies |
High Yield Bond Core Fund: Not Applicable.
Mortgage Core Fund: Not Applicable.
| Item 9. | Proxy Disclosures for Open-End Management Investment Companies. |
High Yield Bond Core Fund: The Fund’s report on its most recent meeting of shareholders is filed under Item 7 of this form.
Mortgage Core Fund: The Fund’s report on its most recent meeting of shareholders is filed under Item 7 of this form.
| Item 10. | Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies. |
High Yield Bond Core Fund: The Fund’s disclosure of remuneration items is included as part of the Financial Statements filed under Item 7 of this form.
Mortgage Core Fund: The Fund’s disclosure of remuneration items is included as part of the Financial Statements filed under Item 7 of this form.
| Item 11. | Statement Regarding Basis for Approval of Investment Advisory Contract. |
High Yield Bond Core Fund: The Fund’s Evaluation and Approval of Advisory Contract summary by fund appear in the Financial Statements filed under Item 7 of this form.
Mortgage Core Fund: The Fund’s Evaluation and Approval of Advisory Contract summary by fund appear in the Financial Statements filed under Item 7 of this form.
| Item 12. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
| Item 13. | Portfolio Managers of Closed-End Management Investment Companies. |
Not Applicable
| Item 14. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not Applicable
| Item 15. | Submission of Matters to a Vote of Security Holders. |
No Changes to Report
| Item 16. | Controls and Procedures. |
(a) The registrant’s Principal Executive Officer and Principal Financial Officer 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 as of a date 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 17. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not Applicable
| Item 18. | Recovery of Erroneously Awarded Compensation |
(a) Not Applicable
(b) Not Applicable
| Item 19. | Exhibits |
(a)(1) Not Applicable.
(a)(2) Not Applicable.
(a)(3) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(4) Not Applicable.
(a)(5) 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 Core Trust
By: /s/ Jeremy D. Boughton
Jeremy D. Boughton, Principal Financial Officer
Date: February 24, 2025
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/ John B. Fisher
John B. Fisher, President - Principal Executive Officer
Date: February 24, 2025
By: /s/ Jeremy D. Boughton
Jeremy D. Boughton, Principal Financial Officer
Date: February 24, 2025