N-CSR 1 form907ftrgbf.htm EDGAR HTML

United States

Securities and Exchange Commission

Washington, D.C. 20549

 

Form N-CSR

Certified Shareholder Report of Registered Management Investment Companies

 

 

 

 

811-7309

 

(Investment Company Act File Number)

 

Federated Hermes Total Return Government Bond Fund

_______________________________________________________________

 

(Exact Name of Registrant as Specified in Charter)

 

 

 

Federated Hermes Funds

4000 Ericsson Drive

Warrendale, Pennsylvania 15086-7561

(Address of Principal Executive Offices)

 

 

(412) 288-1900

(Registrant's Telephone Number)

 

 

Peter J. Germain, Esquire

1001 Liberty Avenue

Pittsburgh, Pennsylvania 15222-3779

(Name and Address of Agent for Service)

(Notices should be sent to the Agent for Service)

 

 

 

 

 

 

Date of Fiscal Year End: 02/28/23

 

 

Date of Reporting Period: 02/28/23

 

 

 

 

 

 

 

 

 

Item 1.Reports to Stockholders

 

Annual Shareholder Report
February 28, 2023
Share Class | Ticker
Institutional | FTRGX
Service | FTGSX
R6 | FTGLX
 

Federated Hermes Total Return Government Bond Fund
Fund Established 1995

Dear Valued Shareholder,
We are pleased to present the Annual Shareholder Report for your fund covering the period from March 1, 2022 through February 28, 2023. This report includes Management’s Discussion of Fund Performance, a complete listing of your fund’s holdings, performance information and financial statements along with other important fund information.
As a global leader in active, responsible investment management, Federated Hermes is guided by our conviction that responsible investing is the best way to create wealth over the long term. The company provides capabilities across a wide range of asset classes to investors around the world.
In addition, FederatedInvestors.com offers quick and easy access to valuable resources that include timely fund updates, economic and market insights from our investment strategists and financial planning tools. You can also access many of those insights by following us on Twitter (@FederatedHermes) and LinkedIn.
Thank you for investing with us. We hope you find this information useful and look forward to keeping you informed.
Sincerely,
J. Christopher Donahue, President

Not FDIC Insured ▪ May Lose Value ▪ No Bank Guarantee

Management’s Discussion of Fund Performance (unaudited)
The total return of Federated Hermes Total Return Government Bond Fund (the “Fund”), based on net asset value for the 12-month reporting period ended February 28, 2023, was -9.77% for the Institutional Shares, -10.08% for the Service Shares and -9.76% for the Class R6 Shares. The -9.76% total return of the Class R6 Shares consisted of 2.40% in taxable dividends and -12.16% of price depreciation in the net asset value of the shares. The Bloomberg U.S. Government Bond Index (BGB),1 the Fund’s broad-based securities market index, returned -9.96% for the same period. The total return of the Lipper Intermediate U.S. Government Funds Average (LIUSGFA),2 a peer group average for the Fund, was -9.10% for the same period. The Fund’s and the LIUSGFA’s total returns for the most recently completed fiscal year reflected actual cash flows, transaction costs and expenses not reflected in the total return of the BGB.
During the reporting period, the most significant factors affecting the Fund’s performance were: (a) duration;3 (b) security selection; and (c) sector allocation.
The following discussion will focus on the performance of the Fund’s Class R6 Shares relative to the BGB.
MARKET OVERVIEW
Citing elevated inflation which resulted from pandemic-induced supply and demand imbalances and the Russian invasion of Ukraine, as well as low unemployment, the Federal Reserve (the “Fed”) aggressively tightened monetary policy during the fiscal year. The federal funds target rate was increased eight times following Federal Open Market Committee meetings from a range of 0.0% to 0.25% at period outset to a range of 4.5% to 4.75% as monetary policy became more restrictive at a historically rapid pace. Additionally, quantitative easing policy purchases of securities reached a conclusion, and the Fed’s portfolio of agency debt, mortgage-backed securities (MBS)4 and Treasury securities declined as securities matured and policy evolved to quantitative tightening. These steps were taken to combat inflation which reached its highest level in 40 years. Market yields spiked in response to Fed actions.
Treasury yields increased across the maturity spectrum and government securitized assets including MBS and agency debt underperformed as lower demand produced wider yield spreads and negative excess returns. The mortgage sector suffered from a lack of demand as commercial bank buying decreased, and the Fed ceased portfolio purchases and allowed portfolio holdings to decline as quantitative easing evolved to quantitative tightening. As
Annual Shareholder Report
1

Treasury yields and mortgage rates increased, mortgage refinance activity collapsed because the average rate on outstanding mortgages was well below the available market rate for 30-year fixed rate mortgages. As a result, MBS average lives extended.
During the reporting period, the 2- and 10-year U.S. Treasury yields increased 339 and 210 basis points to yield 4.82% and 3.92%, respectively. 5
DURATION
The Fund decreased effective duration relative to the BGB to reduce the anticipated impact of higher market yields. The lower portfolio sensitivity to interest rates proved beneficial as Treasury yields climbed. Interest rate strategy made a positive contribution to Fund performance during the reporting period. During the reporting period, the Fund invested in Treasury futures contracts for duration and yield curve purposes. The impact was small, totaling -9 basis points for the fiscal year.
Security selection
Security selection in longer-maturity Treasury bonds acted as a slight drag on Fund performance.
Sector ALLOCATION
Allocations to MBS and agency debt, which posted negative excess returns, acted as a drag on Fund performance.
1
Please see the footnotes to the line graph under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the BGB.
2
Please see the footnotes to the line graph under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the Lipper peer group.
3
Duration is a measure of a security’s price sensitivity to changes in interest rates. Securities with longer durations are more sensitive to changes in interest rates than other securities of shorter durations.
4
The value of some mortgage-backed securities may be particularly sensitive to changes in prevailing interest rates and although the securities are generally supported by some form of government or private insurance, there is no assurance that private guarantors or insurers will meet their obligations.
5
Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices.
Annual Shareholder Report
2

FUND PERFORMANCE AND GROWTH OF A $10,000 INVESTMENT
The graph below illustrates the hypothetical investment of $10,0001 in the Federated Hermes Total Return Government Bond Fund (the “Fund”) from February 28, 2013 to February 28, 2023, compared to the Bloomberg U.S. Government Bond Index (BGB)1,2 and the Lipper Intermediate U.S. Government Funds Average (LIUSGFA).1,3 The Average Annual Total Return table below shows returns for each class averaged over the stated periods.
Growth of a $10,000 INVESTMENT
Growth of $10,000 as of February 28, 2023
The Fund offers multiple share classes whose performance may be greater than or less than its other share class(es) due to differences in sales charges and expenses. See the Average Annual Total Return table below for the returns of additional classes not shown in the line graph above.
Average Annual Total Returns for the Period Ended 2/28/2023
 
1 Year
5 Years
10 Years
Institutional Shares
-9.77%
0.30%
0.54%
Service Shares
-10.08%
-0.04%
0.20%
R6 Shares4
-9.76%
0.31%
0.49%
BGB
-9.96%
0.37%
0.64%
LIUSGFA
-9.10%
0.07%
0.33%
Annual Shareholder Report
3

Performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. For current to the most recent month-end performance and after-tax returns, visit FederatedInvestors.com or call 1-800-341-7400. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Mutual funds are not obligations of or guaranteed by any bank and are not federally insured.
1
The Fund’s performance assumes the reinvestment of all dividends and distributions. The BGB and the LIUSGFA have been adjusted to reflect reinvestment of dividends on securities in the index and average.
2
The BGB is a market value weighted index of U.S. government and government agency securities (other than mortgage securities) with maturities of one year or more. The index is not adjusted to reflect sales charges, expenses or other fees that the Securities and Exchange Commission requires to be reflected in the Fund’s performance. The index is unmanaged, and unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index.
3
Lipper figures represent the average of the total returns reported by all funds designated by Lipper, Inc., as falling into the respective category and is not adjusted to reflect any sales charges. The Lipper figures in the Growth of a $10,000 Investment line graph are based on historical return information published by Lipper and reflect the return of the funds comprising the category in the year of publication. Because the funds designated by Lipper as falling into the category can change over time, the Lipper figures in the line graph may not match the Lipper figures in the Average Annual Total Returns table, which reflect the return of the funds that currently comprise the category.
4
The Fund’s R6 Shares commenced operations on June 29, 2016. For the period prior to the commencement of operations of the R6 Shares, the performance information shown is for Institutional Shares adjusted to reflect the expenses of R6 Shares for each year for which the Fund’s R6 expenses would have exceeded the actual expenses paid by the Fund’s Institutional Shares.
Annual Shareholder Report
4

Portfolio of Investments Summary Table (unaudited)
At February 28, 2023, the Fund’s portfolio composition1 was as follows:
Type of Investments
Percentage of
Total Net Assets
U.S. Treasury Securities
59.6%
U.S. Government Agency Mortgage-Backed Securities2
36.8%
U.S. Government Agency Commercial Mortgage-Backed Securities
1.5%
U.S. Government Agency Securities
0.9%
Cash Equivalents3
0.9%
Derivative Contracts4,5
0.0%
Other Assets and Liabilities—Net6
0.3%
TOTAL
100%
1
See the Fund’s Prospectus and Statement of Additional Information for a description of the
principal types of securities in which the Fund invests.
2
For purposes of this table, Mortgage-Backed Securities may include mortgage-backed securities
guaranteed by Government Sponsored Entities and adjustable rate mortgage-backed securities.
3
Cash Equivalents include any investments in money market mutual funds and/or overnight
repurchase agreements.
4
Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as
applicable. Derivative contracts may consist of futures, forwards, options and swaps. The impact
of a derivative contract on the Fund’s performance may be larger than its unrealized
appreciation (depreciation) or value may indicate. In many cases, the notional value or amount of
a derivative contract may provide a better indication of the contract’s significance to the
portfolio. More complete information regarding the Fund’s direct investments in derivative
contracts, including unrealized appreciation (depreciation), value and notional values or amounts
of such contracts, can be found in the table at the end of the Portfolio of Investments included
in this Report.
5
Represents less than 0.1%.
6
Assets, other than investments in securities and derivative contracts, less liabilities. See
Statement of Assets and Liabilities.
Annual Shareholder Report
5

Portfolio of Investments
February 28, 2023
Principal
Amount
or Shares
 
 
Value
          
 
U.S. TREASURIES—   59.6%
 
 
 
U.S. Treasury Bonds—   12.4%
 
$ 4,000,000
 
1.875%, 11/15/2051
$  2,603,835
3,000,000
 
2.250%, 2/15/2052
  2,141,489
2,000,000
 
2.375%, 2/15/2042
  1,538,369
3,750,000
 
2.375%, 11/15/2049
  2,768,035
2,250,000
 
2.500%, 2/15/2045
  1,718,426
5,475,000
 
2.875%, 5/15/2049
  4,479,774
1,800,000
 
2.875%, 5/15/2052
  1,474,642
1,000,000
 
3.000%, 2/15/2049
    836,972
4,500,000
 
3.250%, 5/15/2042
  3,975,779
1,000,000
 
3.375%, 8/15/2042
    900,028
1,000,000
 
4.000%, 11/15/2052
  1,017,498
 
 
TOTAL
23,454,847
 
 
U.S. Treasury Notes—   47.2%
 
1,500,000
 
0.250%, 8/31/2025
  1,346,726
8,000,000
 
0.375%, 4/30/2025
  7,285,180
6,000,000
 
0.750%, 5/31/2026
  5,333,496
4,000,000
 
1.125%, 10/31/2026
  3,561,646
3,500,000
 
1.250%, 9/30/2028
  2,996,508
5,000,000
 
1.500%, 10/31/2024
  4,724,641
5,500,000
 
1.625%, 9/30/2026
  5,001,537
3,000,000
 
1.750%, 3/15/2025
  2,822,333
3,000,000
 
2.000%, 6/30/2024
  2,879,442
3,500,000
 
2.250%, 3/31/2026
  3,279,228
1,250,000
 
2.250%, 8/15/2027
  1,148,450
3,750,000
 
2.500%, 4/30/2024
  3,637,746
4,000,000
 
2.625%, 4/15/2025
  3,826,905
1,100,000
 
2.625%, 7/31/2029
  1,008,506
12,000,000
 
2.750%, 4/30/2027
11,290,524
1,000,000
 
2.750%, 5/31/2029
    924,833
5,500,000
 
2.875%, 4/30/2029
  5,125,902
3,000,000
 
3.125%, 8/31/2027
  2,861,970
4,000,000
 
3.250%, 8/31/2024
  3,896,119
3,000,000
 
3.250%, 6/30/2027
  2,877,445
5,500,000
 
3.250%, 6/30/2029
  5,233,373
2,000,000
 
3.500%, 1/31/2028
  1,938,434
2,000,000
 
3.500%, 1/31/2030
  1,930,278
Annual Shareholder Report
6

Principal
Amount
or Shares
 
 
Value
          
 
U.S. TREASURIES—   continued
 
 
 
U.S. Treasury Notes—   continued
 
$ 2,000,000
 
3.875%, 11/30/2027
$  1,970,607
2,000,000
 
3.875%, 11/30/2029
  1,974,039
 
 
TOTAL
88,875,868
 
 
TOTAL U.S. TREASURIES
(IDENTIFIED COST $121,908,986)
112,330,715
 
 
MORTGAGE-BACKED SECURITIES—   35.5%
 
 
 
Federal Home Loan Mortgage Corporation—   15.1%
 
   995,894
 
2.500%, 10/1/2049
    853,376
1,805,214
 
2.500%, 10/1/2051
  1,532,632
   614,727
 
3.000%, 12/1/2049
    548,070
7,071,011
 
3.000%, 1/1/2052
  6,226,381
   582,281
 
3.500%, 1/1/2047
    540,218
6,450,536
 
3.500%, 5/1/2052
  5,875,208
1,050,390
 
4.000%, 3/1/2046
  1,007,004
   202,184
 
4.000%, 11/1/2047
    193,327
   550,498
 
4.000%, 4/1/2048
    522,169
   887,317
 
4.000%, 7/1/2048
    845,952
1,915,206
 
4.500%, 7/1/2052
  1,854,625
1,691,960
 
5.000%, 9/1/2052
  1,666,953
3,865,917
 
5.000%, 10/1/2052
  3,810,470
2,969,588
 
5.500%, 9/1/2052
  2,977,650
 
 
TOTAL
28,454,035
 
 
Federal National Mortgage Association—   20.3%
 
4,735,359
 
2.000%, 2/1/2052
  3,877,032
1,727,118
 
2.000%, 3/1/2052
  1,414,062
1,453,059
 
2.500%, 11/1/2049
  1,242,846
4,745,677
 
2.500%, 4/1/2052
  4,045,037
2,883,151
 
3.000%, 7/1/2046
  2,578,403
2,303,934
 
3.000%, 5/1/2051
  2,050,509
5,304,477
 
3.000%, 5/1/2051
  4,676,246
   674,644
 
3.500%, 10/1/2047
    621,693
1,353,523
 
3.500%, 4/1/2048
  1,251,518
5,427,384
 
3.500%, 3/1/2052
  4,948,400
   223,996
 
4.000%, 2/1/2048
    213,904
   562,461
 
4.000%, 2/1/2048
    537,120
   459,106
 
4.000%, 2/1/2048
    438,995
    21,216
 
5.000%, 1/1/2035
     21,156
1,738,335
 
5.000%, 8/1/2052
  1,713,946
1,982,743
 
5.000%, 9/1/2052
  1,950,587
Annual Shareholder Report
7

Principal
Amount
or Shares
 
 
Value
 
 
MORTGAGE-BACKED SECURITIES—   continued
 
 
 
Federal National Mortgage Association—   continued
 
$    11,900
 
5.500%, 6/1/2025
$     11,886
3,663,216
 
5.500%, 11/1/2052
  3,659,539
    15,342
 
6.000%, 2/1/2026
     15,373
    13,786
 
6.000%, 4/1/2026
     13,814
    31,670
 
6.000%, 7/1/2034
     32,529
2,948,495
 
6.000%, 12/1/2052
  2,986,029
 
 
TOTAL
38,300,624
 
 
Government National Mortgage Association—   0.1%
 
       534
 
5.000%, 3/15/2023
        533
    12,884
 
6.000%, 1/20/2029
     13,017
     6,497
 
6.000%, 3/15/2032
      6,555
    13,369
 
6.500%, 10/15/2031
     13,766
        90
 
7.500%, 10/15/2026
         91
     7,074
 
7.500%, 10/15/2027
      7,264
 
 
TOTAL
41,226
 
 
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $69,531,046)
66,795,885
 
 
COMMERCIAL MORTGAGE-BACKED SECURITIES—   1.5%
 
 
 
Agency Commercial Mortgage-Backed Securities—   1.5%
 
1,076,000
 
FHLMC REMIC, Series K151, Class A2, 3.800%, 10/25/2032
  1,021,575
2,000,000
 
FHLMC REMIC, Series K750, Class A2, 3.000%, 9/25/2029
  1,824,334
 
 
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $2,806,490)
2,845,909
 
 
COLLATERALIZED MORTGAGE OBLIGATIONS—   1.3%
 
 
1
Federal Home Loan Mortgage Corporation—   0.2%
 
    20,695
 
REMIC, Series 2411, Class FJ, 4.938% (1-month USLIBOR
+0.350%), 12/15/2029
     20,581
    65,769
 
REMIC, Series 2458, Class FB, 5.588% (1-month USLIBOR
+1.000%), 1/15/2032
     66,448
    11,860
 
REMIC, Series 2534, Class FI, 5.488% (1-month USLIBOR
+0.900%), 2/15/2032
     11,944
   282,182
 
REMIC, Series 3322, Class FB, 4.978% (1-month USLIBOR
+0.390%), 5/15/2037
    278,472
 
 
TOTAL
377,445
 
1
Federal National Mortgage Association—   0.2%
 
    23,269
 
REMIC, Series 1999-51, Class F, 5.101% (1-month USLIBOR
+0.500%), 9/17/2029
     23,269
    56,821
 
REMIC, Series 370, Class F21, 4.917% (1-month USLIBOR
+0.300%), 6/25/2036
     56,155
    86,533
 
REMIC, Series 2006-58, Class FP, 4.917% (1-month USLIBOR
+0.300%), 7/25/2036
     85,556
Annual Shareholder Report
8

Principal
Amount
or Shares
 
 
Value
 
 
COLLATERALIZED MORTGAGE OBLIGATIONS—   continued
 
 
1
Federal National Mortgage Association—   continued
 
$   155,147
 
REMIC, Series 2006-85, Class PF, 4.997% (1-month USLIBOR
+0.380%), 9/25/2036
$    154,005
   123,070
 
REMIC, Series 2007-46, Class FA, 4.987% (1-month USLIBOR
+0.370%), 5/25/2037
    121,561
 
 
TOTAL
440,546
 
 
Government National Mortgage Association—   0.9%
 
   768,329
 
REMIC, Series 2015-47, Class AE, 2.900%, 11/16/2055
    715,549
1,094,212
 
REMIC, Series 2016-11, Class A, 2.500%, 8/16/2054
    926,981
 
 
TOTAL
1,642,530
 
 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $2,680,800)
2,460,521
 
 
GOVERNMENT AGENCY—   0.9%
 
 
 
Tennessee Valley Authority Bonds—   0.9%
 
1,750,000
 
4.875%, 1/15/2048
(IDENTIFIED COST $2,665,877)
  1,740,965
 
 
ADJUSTABLE RATE MORTGAGE—   0.0%
 
 
 
Federal Home Loan Mortgage Corporation ARM—   0.0%
 
    13,691
1
3.965%, 7/1/2035
(IDENTIFIED COST $13,559)
     13,830
 
 
INVESTMENT COMPANY—   0.9%
 
1,732,169
 
Federated Hermes Government Obligations Fund, Premier Shares,
4.44%2
(IDENTIFIED COST $1,732,169)
  1,732,169
 
 
TOTAL INVESTMENT IN SECURITIES—99.7%
(IDENTIFIED COST $201,338,927)3
187,919,994
 
 
OTHER ASSETS AND LIABILITIES - NET—0.3%4
558,027
 
 
TOTAL NET ASSETS—100%
$188,478,021
At February 28, 2023, the Fund had the following outstanding futures contracts:
Description
Number of
Contracts
Notional
Value
Expiration
Date
Value and
Unrealized
Appreciation
Long Futures:
 
 
 
 
United States Treasury Ultra Bond
Long Futures
6
$810,375
June 2023
$1,715
Short Futures:
 
 
 
 
United States Treasury Ultra Bond
Short Futures
12
$1,502,625
June 2023
$9,398
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS
$11,113
Net Unrealized Appreciation on Futures Contracts is included in “Other Assets and Liabilities—Net.”
Annual Shareholder Report
9

Transactions with affiliated investment companies, which are funds managed by the Adviser or an affiliate of the Adviser, during the period ended February 28, 2023, were as follows:
 
Federated Hermes Government
Obligations Fund,
Premier Shares*
Value as of 2/28/2022
$33,753,976
Purchases at Cost
$156,256,749
Proceeds from Sales
$(188,278,556)
Change in Unrealized Appreciation/Depreciation
$
Net Realized Gain/(Loss)
$
Value as of 2/28/2023
$1,732,169
Shares Held as of 2/28/2023
1,732,169
Dividend Income
$130,664
*
All or a portion of the balance/activity for the fund relates to cash collateral received on
securities lending transactions.
1
Floating/adjustable note with current rate and current maturity or next reset date shown.
Adjustable rate mortgage security coupons are based on the weighted average note rates of the
underlying mortgages less the guarantee and servicing fees. These securities do not indicate an
index and spread in their description above.
2
7-day net yield.
3
The cost of investments for federal tax purposes amounts to $201,734,689.
4
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 February 28, 2023.
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 Shareholder Report
10


The following is a summary of the inputs used, as of February 28, 2023, in valuing the Fund’s assets carried at fair value:
Valuation Inputs
 
Level 1—
Quoted
Prices
Level 2—
Other
Significant
Observable
Inputs
Level 3—
Significant
Unobservable
Inputs
Total
Debt Securities:
 
 
 
 
U.S. Treasuries
$
$112,330,715
$
$112,330,715
Mortgage-Backed Securities
66,795,885
66,795,885
Commercial Mortgage-Backed
Securities
2,845,909
2,845,909
Collateralized Mortgage Obligations
2,460,521
2,460,521
Government Agency
1,740,965
1,740,965
Adjustable Rate Mortgage
13,830
13,830
Investment Company
1,732,169
1,732,169
TOTAL SECURITIES
$1,732,169
$186,187,825
$
$187,919,994
Other Financial Instruments:1
 
 
 
 
Assets
$11,113
$
$
$11,113
TOTAL OTHER
FINANCIAL INSTRUMENTS
$11,113
$
$
$11,113
1
Other financial instruments are futures contracts.
The following acronym(s) are used throughout this portfolio:
 
ARM
—Adjustable Rate Mortgage
FHLMC
—Federal Home Loan Mortgage Corporation
LIBOR
—London Interbank Offered Rate
REMIC
—Real Estate Mortgage Investment Conduit
See Notes which are an integral part of the Financial Statements
Annual Shareholder Report
11

Financial HighlightsInstitutional Shares
(For a Share Outstanding Throughout Each Period)
 
Year Ended February 28 or 29,
 
2023
2022
2021
2020
2019
Net Asset Value, Beginning of Period
$10.94
$11.40
$11.49
$10.60
$10.52
Income From Investment Operations:
 
 
 
 
 
Net investment income (loss)
0.27
0.15
0.16
0.28
0.25
Net realized and unrealized gain (loss)
(1.33)
(0.45)
(0.06)
0.88
0.09
Total From Investment Operations
(1.06)
(0.30)
0.10
1.16
0.34
Less Distributions:
 
 
 
 
 
Distributions from net investment income
(0.27)
(0.16)
(0.19)
(0.27)
(0.26)
Distributions from net realized gain
(0.00)1
Total Distributions
(0.27)
(0.16)
(0.19)
(0.27)
(0.26)
Net Asset Value, End of Period
$9.61
$10.94
$11.40
$11.49
$10.60
Total Return2
(9.77)%
(2.67)%
0.81%
11.09%
3.23%
Ratios to Average Net Assets:
 
 
 
 
 
Net expenses3
0.32%
0.32%
0.32%
0.32%
0.32%
Net investment income
2.60%
1.35%
1.37%
2.50%
2.34%
Expense waiver/reimbursement4
0.21%
0.20%
0.21%
0.24%
0.24%
Supplemental Data:
 
 
 
 
 
Net assets, end of period (000 omitted)
$121,669
$194,192
$332,947
$206,860
$168,365
Portfolio turnover5
138%
88%
139%
56%
90%
Portfolio turnover (excluding purchases and sales from
dollar-roll transactions)5
121%
48%
42%
49%
90%
1
Represents less than $0.01.
2
Based on net asset value.
3
Amount does not reflect net expenses incurred by investment companies in which the Fund
may invest.
4
This expense decrease is reflected in both the net expense and the net investment income ratios
shown above. Amount does not reflect expense waiver/reimbursement recorded by investment
companies in which the Fund may invest.
5
Securities that mature are considered sales for purposes of this calculation.
See Notes which are an integral part of the Financial Statements
Annual Shareholder Report
12

Financial HighlightsService Shares
(For a Share Outstanding Throughout Each Period)
 
Year Ended February 28 or 29,
 
2023
2022
2021
2020
2019
Net Asset Value, Beginning of Period
$10.94
$11.40
$11.49
$10.60
$10.51
Income From Investment Operations:
 
 
 
 
 
Net investment income (loss)
0.23
0.11
0.15
0.24
0.21
Net realized and unrealized gain (loss)
(1.33)
(0.45)
(0.09)
0.88
0.10
Total From Investment Operations
(1.10)
(0.34)
0.06
1.12
0.31
Less Distributions:
 
 
 
 
 
Distributions from net investment income
(0.23)
(0.12)
(0.15)
(0.23)
(0.22)
Distributions from net realized gain
(0.00)1
Total Distributions
(0.23)
(0.12)
(0.15)
(0.23)
(0.22)
Net Asset Value, End of Period
$9.61
$10.94
$11.40
$11.49
$10.60
Total Return2
(10.08)%
(3.00)%
0.46%
10.71%
2.98%
Ratios to Average Net Assets:
 
 
 
 
 
Net expenses3
0.66%
0.66%
0.66%
0.66%
0.66%
Net investment income
2.20%
1.00%
1.27%
2.17%
2.01%
Expense waiver/reimbursement4
0.36%
0.34%
0.36%
0.38%
0.38%
Supplemental Data:
 
 
 
 
 
Net assets, end of period (000 omitted)
$15,964
$41,955
$49,006
$50,716
$50,706
Portfolio turnover5
138%
88%
139%
56%
90%
Portfolio turnover (excluding purchases and sales from dollar-
roll transactions)5
121%
48%
42%
49%
90%
1
Represents less than $0.01.
2
Based on net asset value.
3
Amount does not reflect net expenses incurred by investment companies in which the Fund
may invest.
4
This expense decrease is reflected in both the net expense and the net investment income ratios
shown above. Amount does not reflect expense waiver/reimbursement recorded by investment
companies in which the Fund may invest.
5
Securities that mature are considered sales for purposes of this calculation.
See Notes which are an integral part of the Financial Statements
Annual Shareholder Report
13

Financial HighlightsClass R6 Shares
(For a Share Outstanding Throughout Each Period)
 
Year Ended February 28 or 29,
 
2023
2022
2021
2020
2019
Net Asset Value, Beginning of Period
$10.94
$11.40
$11.49
$10.60
$10.51
Income From Investment Operations:
 
 
 
 
 
Net investment income (loss)
0.27
0.15
0.19
0.28
0.25
Net realized and unrealized gain (loss)
(1.33)
(0.45)
(0.09)
0.88
0.10
Total From Investment Operations
(1.06)
(0.30)
0.10
1.16
0.35
Less Distributions:
 
 
 
 
 
Distributions from net investment income
(0.27)
(0.16)
(0.19)
(0.27)
(0.26)
Distributions from net realized gain
(0.00)1
Total Distributions
(0.27)
(0.16)
(0.19)
(0.27)
(0.26)
Net Asset Value, End of Period
$9.61
$10.94
$11.40
$11.49
$10.60
Total Return2
(9.76)%
(2.66)%
0.82%
11.10%
3.34%
Ratios to Average Net Assets:
 
 
 
 
 
Net expenses3
0.31%
0.31%
0.31%
0.31%
0.31%
Net investment income
2.70%
1.34%
1.61%
2.52%
2.39%
Expense waiver/reimbursement4
0.18%
0.15%
0.17%
0.20%
0.21%
Supplemental Data:
 
 
 
 
 
Net assets, end of period (000 omitted)
$50,845
$39,150
$36,028
$30,658
$26,828
Portfolio turnover5
138%
88%
139%
56%
90%
Portfolio turnover (excluding purchases and sales from dollar-
roll transactions)5
121%
48%
42%
49%
90%
1
Represents less than $0.01.
2
Based on net asset value.
3
Amount does not reflect net expenses incurred by investment companies in which the Fund
may invest.
4
This expense decrease is reflected in both the net expense and the net investment income ratios
shown above. Amount does not reflect expense waiver/reimbursement recorded by investment
companies in which the Fund may invest.
5
Securities that mature are considered sales for purposes of this calculation.
See Notes which are an integral part of the Financial Statements
Annual Shareholder Report
14

Statement of Assets and Liabilities
February 28, 2023
Assets:
 
Investment in securities, at value including $1,732,169 of investments in affiliated
holdings*(identified cost $201,338,927, including $1,732,169 of identified cost in
affiliated holdings)
$187,919,994
Due from broker (Note2)
25,050
Income receivable
944,184
Income receivable from affiliated holdings
19,070
Receivable for shares sold
267,806
Receivable for variation margin on futures contracts
579
Total Assets
189,176,683
Liabilities:
 
Payable for shares redeemed
511,427
Bank overdraft
10,601
Income distribution payable
84,918
Payable for investment adviser fee (Note5)
271
Payable for administrative fee (Note5)
403
Payable for Directors’/Trustees’ fees (Note5)
400
Payable for custodian fees
21,484
Payable for portfolio accounting fees
33,693
Payable for distribution services fee (Note5)
440
Payable for other service fees (Notes 2 and5)
4,711
Accrued expenses (Note5)
30,314
Total Liabilities
698,662
Net assets for 19,607,179 shares outstanding
$188,478,021
Net Assets Consist of:
 
Paid-in capital
$222,185,026
Total distributable earnings (loss)
(33,707,005)
Total Net Assets
$188,478,021
Annual Shareholder Report
15

Statement of Assets and Liabilitiescontinued
Net Asset Value, Offering Price and Redemption Proceeds Per Share:
 
Institutional Shares:
 
Net asset value per share ($121,668,996 ÷ 12,655,811 shares outstanding), no par
value, unlimited shares authorized
$9.61
Service Shares:
 
Net asset value per share ($15,964,438 ÷ 1,661,716 shares outstanding), no par value,
unlimited shares authorized
$9.61
Class R6 Shares:
 
Net asset value per share ($50,844,587 ÷ 5,289,652 shares outstanding), no par value,
unlimited shares authorized
$9.61
*
See information listed after the Fund’s Portfolio of Investments.
See Notes which are an integral part of the Financial Statements
Annual Shareholder Report
16

Statement of Operations
Year Ended February 28, 2023
Investment Income:
 
Interest
$6,322,478
Dividends received from affiliated holdings*
112,305
Net income on securities loaned (includes $18,359 earned from an affiliated
holding*related to cash collateral balances) (Note 2)
6,176
TOTAL INCOME
6,440,959
Expenses:
 
Investment adviser fee (Note5)
549,336
Administrative fee (Note5)
172,897
Custodian fees
14,705
Transfer agent fees (Note 2)
126,927
Directors’/Trustees’ fees (Note5)
8,220
Auditing fees
30,699
Legal fees
9,379
Portfolio accounting fees
134,796
Distribution services fee (Note5)
79,764
Other service fees (Notes 2 and5)
75,613
Share registration costs
59,119
Printing and postage
25,675
Miscellaneous (Note5)
30,477
TOTAL EXPENSES
1,317,607
Waivers and Reimbursements:
 
Waiver/reimbursement of investment adviser fee (Note5)
(382,829)
Waiver/reimbursement of other operating expenses (Notes 2 and 5)
(116,441)
TOTAL WAIVERS AND REIMBURSEMENTS
(499,270)
Net expenses
818,337
Net investment income
5,622,622
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:
 
Net realized loss on investments
(17,032,931)
Net realized loss on futures contracts
(162,142)
Net change in unrealized appreciation of investments
(13,447,863)
Net change in unrealized appreciation of futures contracts
11,113
Net realized and unrealized gain (loss) on investments and futures contracts
(30,631,823)
Change in net assets resulting from operations
$(25,009,201)
*
See information listed after the Fund’s Portfolio of Investments.
See Notes which are an integral part of the Financial Statements
Annual Shareholder Report
17

Statement of Changes in Net Assets
Year Ended February 28
2023
2022
Increase (Decrease) in Net Assets
 
 
Operations:
 
 
Net investment income
$5,622,622
$4,282,450
Net realized gain (loss)
(17,195,073)
1,962,923
Net change in unrealized appreciation/depreciation
(13,436,750)
(14,479,691)
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS
(25,009,201)
(8,234,318)
Distributions to Shareholders:
 
 
Institutional Shares
(3,836,678)
(3,513,618)
Service Shares
(703,949)
(492,025)
Class R6 Shares
(1,096,506)
(536,027)
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS
TO SHAREHOLDERS
(5,637,133)
(4,541,670)
Share Transactions:
 
 
Proceeds from sale of shares
111,433,235
78,849,163
Net asset value of shares issued to shareholders in payment of
distributions declared
4,702,943
3,757,474
Cost of shares redeemed
(172,308,711)
(212,515,248)
CHANGE IN NET ASSETS RESULTING FROM
SHARE TRANSACTIONS
(56,172,533)
(129,908,611)
Change in net assets
(86,818,867)
(142,684,599)
Net Assets:
 
 
Beginning of period
275,296,888
417,981,487
End of period
$188,478,021
$275,296,888
See Notes which are an integral part of the Financial Statements
Annual Shareholder Report
18

Notes to Financial Statements
February 28, 2023
1. ORGANIZATION
Federated Hermes Total Return Government Bond Fund (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. The Trust consists of one portfolio of the same name (the “Fund”). The Fund offers three classes of shares: Institutional Shares, Service Shares and Class R6 Shares. All shares of the Fund have equal rights with respect to voting, except on class-specific matters. The investment objective of the Fund is to pursue total return consistent with current income.
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
Annual Shareholder Report
19

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 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
Annual Shareholder Report
20

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. 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. Investment income, realized and unrealized gains and losses, and certain fund-level expenses are allocated to each class based on relative average daily net assets, except that select classes will bear certain expenses unique to those classes. The detail of the total fund expense waivers and reimbursements of $499,270 is disclosed in various locations in this Note 2 and Note 5. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share dividend rates are generally due to differences in separate class expenses.
Transfer Agent Fees
For the year ended February 28, 2023, transfer agent fees for the Fund were as follows:
 
Transfer Agent
Fees Incurred
Transfer Agent
Fees Reimbursed
Institutional Shares
$97,107
$(55,976)
Service Shares
22,453
Class R6 Shares
7,367
TOTAL
$126,927
$(55,976)
Annual Shareholder Report
21

Other Service Fees
The Fund may pay other service fees up to 0.25% of the average daily net assets of the Fund’s Service Shares to financial intermediaries or to Federated Shareholder Services Company (FSSC) for providing services to shareholders and maintaining shareholder accounts. Subject to the terms described in the Expense Limitation note, FSSC may voluntarily reimburse the Fund for other service fees.
For the year ended February 28, 2023, other service fees for the Fund were as follows:
 
Other Service
Fees Incurred
Service Shares
$75,613
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 February 28, 2023, 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 February 28, 2023, tax years 2020 through 2023 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.
Annual Shareholder Report
22

Futures Contracts
The Fund purchases and sells financial futures contracts to manage duration and yield curve 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.
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 $971,394 and $235,471, respectively. This is based on amounts held as of each month-end throughout the fiscal period.
Securities Lending
The Fund participates in a securities lending program providing for the lending of government securities to qualified brokers. The term of the loans within the program is one year or less. The Fund normally receives cash collateral for securities loaned that may be invested in affiliated money market funds, other money market instruments and/or repurchase agreements. Investments in money market funds may include funds with a “floating” NAV that can impose redemption fees and liquidity gates, impose certain operational impediments to investing cash collateral, and, if the investee fund’s NAV decreases, result in the Fund recognizing losses and being required to cover the decrease in the value of the cash collateral. Collateral is maintained at a minimum level of 100% of the market value of investments loaned, plus interest, if applicable. In accordance with the Fund’s securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on the next business day. Earnings on collateral are allocated between the borrower of the security, the securities lending agent, as a fee for its services under the program and the Fund, according to agreed-upon rates. The Fund will not have the right to vote on securities while they are on loan. However, the Fund will attempt to terminate a loan in an effort to reacquire the securities in time to vote on matters that are deemed to be material by the Adviser. There can be no assurance that the Fund will have sufficient notice of such matters to be able to terminate the loan in time to vote thereon.
As of February 28, 2023, the Fund had no outstanding securities on loan.
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 Securities Act of 1933; or (b) are subject to contractual restrictions on public sales. In
Annual Shareholder Report
23

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
$11,113*
*
Includes cumulative appreciation of futures contracts as reported in the footnotes to the
Portfolio of Investments. Only the current day’s variation margin is reported within the Statement
of Assets and Liabilities.
The Effect of Derivative Instruments on the Statement of Operations for the Year Ended February 28, 2023
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
 
Futures
Contracts
Interest rate contracts
$(162,142)
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
 
Futures
Contracts
Interest rate contracts
$11,113
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 Shareholder Report
24

3. SHARES OF BENEFICIAL INTEREST
The following tables summarize share activity:
 
Year Ended
2/28/2023
Year Ended
2/28/2022
Institutional Shares:
Shares
Amount
Shares
Amount
Shares sold
7,914,157
$79,007,039
5,087,928
$57,394,915
Shares issued to shareholders in payment of
distributions declared
302,205
2,992,513
245,235
2,764,634
Shares redeemed
(13,309,404)
(133,833,263)
(16,794,085)
(189,546,255)
NET CHANGE RESULTING FROM
INSTITUTIONAL SHARE TRANSACTIONS
(5,093,042)
$(51,833,711)
(11,460,922)
$(129,386,706)
 
Year Ended
2/28/2023
Year Ended
2/28/2022
Service Shares:
Shares
Amount
Shares
Amount
Shares sold
275,749
$2,785,329
306,308
$3,451,497
Shares issued to shareholders in payment of
distributions declared
65,066
646,750
40,847
460,265
Shares redeemed
(2,514,412)
(24,808,997)
(811,879)
(9,164,105)
NET CHANGE RESULTING FROM SERVICE
SHARE TRANSACTIONS
(2,173,597)
$(21,376,918)
(464,724)
$(5,252,343)
 
Year Ended
2/28/2023
Year Ended
2/28/2022
Class R6 Shares:
Shares
Amount
Shares
Amount
Shares sold
2,970,444
$29,640,867
1,592,703
$18,002,751
Shares issued to shareholders in payment of
distributions declared
107,533
1,063,680
47,296
532,575
Shares redeemed
(1,367,104)