NPORT-EX 2 poi_fhtotalreturngovtbondfd.htm POI - FEDERATED HERMES TOTAL RETURN GOVERNMENT BOND FUND EDGAR HTML
Federated Hermes Total Return Government Bond Fund
(formerly, Federated Total Return Government Bond Fund)
Portfolio of Investments
November 30, 2020 (unaudited)  
Principal
Amount
or Shares
 
 
Value
          
 
U.S. TREASURIES—45.5%
 
 
 
U.S. Treasury Bonds—17.4%
 
$ 2,000,000
 
1.125%, 5/15/2040
$1,923,256  
 5,500,000
 
1.250%, 5/15/2050
5,069,639  
 8,500,000
 
2.000%, 2/15/2050
9,374,075  
 1,250,000
 
2.250%, 8/15/2046
1,445,666  
 3,750,000
 
2.375%, 11/15/2049
4,471,437  
 7,250,000
 
2.500%, 2/15/2045
8,753,577  
 1,500,000
 
2.750%, 11/15/2042
1,881,650  
 2,000,000
 
2.750%, 8/15/2047
2,541,441  
 2,500,000
 
2.750%, 11/15/2047
3,181,259  
 5,475,000
 
2.875%, 5/15/2049
7,166,727  
 1,000,000
 
3.000%, 2/15/2049
1,337,552  
 1,000,000
 
3.125%, 2/15/2043
1,328,979  
12,750,000
 
3.625%, 8/15/2043
18,232,365 
 9,250,000
 
3.750%, 8/15/2041
13,308,665 
 1,800,000
 
3.750%, 11/15/2043
2,623,224  
   900,000
 
5.375%, 2/15/2031
1,302,227  
 
 
TOTAL
83,941,739
 
 
U.S. Treasury Notes—28.1%
 
16,000,000
 
0.250%, 4/15/2023
16,030,883 
 3,500,000
 
0.250%, 5/31/2025
3,488,401  
 8,000,000
 
0.250%, 6/30/2025
7,969,119  
 2,000,000
 
0.375%, 3/31/2022
2,006,349  
10,000,000
 
0.375%, 9/30/2027
9,848,423  
 2,500,000
 
1.125%, 9/30/2021
2,520,810  
 6,000,000
 
1.500%, 2/28/2023
6,178,781  
 5,500,000
 
1.500%, 3/31/2023
5,670,099  
 7,000,000
 
1.750%, 12/31/2024
7,415,538  
 5,000,000
 
1.875%, 1/31/2022
5,101,275  
 4,500,000
 
2.000%, 12/31/2021
4,590,875  
 6,000,000
 
2.000%, 6/30/2024
6,377,174  
 5,000,000
 
2.000%, 2/15/2025
5,355,217  
 5,000,000
 
2.000%, 8/15/2025
5,387,257  
12,000,000
 
2.125%, 12/31/2022
12,489,772 
 1,250,000
 
2.250%, 8/15/2027
1,387,803  
 6,000,000
 
2.750%, 4/30/2023
6,372,168  
   500,000
 
2.750%, 7/31/2023
534,168    
 5,000,000
 
2.750%, 6/30/2025
5,549,574  
 3,000,000
 
2.875%, 10/15/2021
3,071,831  
 7,000,000
 
2.875%, 9/30/2023
7,530,810  
 8,000,000
 
2.875%, 10/31/2023
8,624,048  
 2,000,000
 
2.875%, 5/31/2025
2,227,860  
 
 
TOTAL
135,728,235
 
 
TOTAL U.S. TREASURIES
(IDENTIFIED COST $202,373,140)
219,669,974
1
Principal
Amount
or Shares
 
 
Value
 
 
GOVERNMENT AGENCIES—22.1%
 
 
 
Federal Farm Credit System—1.1%
 
$ 5,000,000
 
0.375%, 4/8/2022
$5,013,730  
   249,000
 
5.800%, 11/10/2021
262,266    
 
 
TOTAL
5,275,996
 
 
Federal Home Loan Bank System—4.0%
 
14,880,000
 
0.500%, 4/14/2025
14,935,238 
 3,805,000
 
2.375%, 3/13/2026
4,165,296  
 
 
TOTAL
19,100,534
 
 
Federal Home Loan Mortgage Corporation—4.5%
 
 3,000,000
 
0.125%, 7/25/2022
2,997,248  
 6,000,000
 
0.375%, 7/21/2025
5,976,976  
 2,250,000
 
6.250%, 7/15/2032
3,487,443  
 6,070,000
1
6.750%, 9/15/2029
9,039,486  
 
 
TOTAL
21,501,153
 
 
Federal National Mortgage Association—12.0%
 
16,000,000
1
0.625%, 4/22/2025
16,181,550 
15,000,000
 
0.750%, 10/8/2027
14,968,781 
 6,000,000
 
1.625%, 1/7/2025
6,299,346  
 6,500,000
 
1.875%, 9/24/2026
6,974,730  
 9,000,000
 
6.625%, 11/15/2030
13,650,863 
 
 
TOTAL
58,075,270
 
 
Tennessee Valley Authority Bonds—0.5%
 
 1,750,000
 
4.875%, 1/15/2048
2,660,650  
 
 
TOTAL GOVERNMENT AGENCIES
(IDENTIFIED COST $104,779,506)
106,613,603
 
 
MORTGAGE-BACKED SECURITIES—18.2%
 
 
 
Federal Home Loan Mortgage Corporation—5.8%
 
 4,809,080
 
1.500%, 8/1/2035
4,933,278  
 2,084,948
 
2.500%, 11/1/2047
2,192,643  
 1,648,773
 
2.500%, 10/1/2049
1,728,270  
 2,162,680
 
2.500%, 11/1/2049
2,266,956  
 1,707,574
 
3.000%, 12/1/2049
1,782,394  
 2,165,050
 
3.500%, 1/1/2047
2,299,993  
 3,714,068
 
3.500%, 12/1/2047
3,928,147  
 2,824,568
 
4.000%, 3/1/2046
3,075,261  
   583,666
 
4.000%, 11/1/2047
625,620    
 1,144,011
 
4.000%, 4/1/2048
1,225,885  
 3,603,765
 
4.000%, 7/1/2048
3,857,171  
 
 
TOTAL
27,915,618
 
 
Federal National Mortgage Association—5.4%
 
 2,475,319
 
2.000%, 10/1/2050
2,572,044  
 2,663,360
 
2.500%, 11/1/2049
2,806,759  
 2,480,304
 
2.500%, 10/1/2050
2,608,809  
 5,051,246
 
3.000%, 7/1/2046
5,400,434  
 1,329,652
 
3.500%, 10/1/2047
1,447,430  
 3,737,731
 
3.500%, 3/1/2048
4,069,978  
 3,372,524
 
3.500%, 4/1/2048
3,565,863  
   699,860
 
4.000%, 2/1/2048
749,728    
 1,417,375
 
4.000%, 2/1/2048
1,521,470  
 1,045,511
 
4.000%, 2/1/2048
1,120,662  
    43,741
 
5.000%, 1/1/2035
50,086     
2
Principal
Amount
or Shares
 
 
Value
 
 
MORTGAGE-BACKED SECURITIES—continued
 
 
 
Federal National Mortgage Association—continued
 
$     7,028
 
5.500%, 2/1/2023
$7,150      
    36,601
 
5.500%, 6/1/2025
40,915     
    37,453
 
6.000%, 2/1/2026
42,116     
    36,314
 
6.000%, 4/1/2026
40,836     
    37,878
 
6.000%, 7/1/2034
44,516     
 
 
TOTAL
26,088,796
 
 
Government Agency—0.0%
 
     7,961
 
FDIC Trust 2013-R2, Class A, 1.250%, 3/25/2033
7,918      
 
 
Government National Mortgage Association—0.1%
 
    14,158
 
5.000%, 3/15/2023
14,708     
    46,809
 
5.500%, 2/15/2023
48,648     
    23,969
 
6.000%, 1/20/2029
26,699     
    19,154
 
6.000%, 3/15/2032
21,856     
    17,535
 
6.500%, 10/15/2031
20,293     
       261
 
7.500%, 10/15/2026
293        
    10,452
 
7.500%, 10/15/2027
11,847     
 
 
TOTAL
144,344
 
2
Uniform Mortgage-Backed Securities, TBA—6.9%
 
 7,000,000
 
2.000%, 12/1/2050
7,271,415  
 3,000,000
 
2.500%, 12/1/2035
3,118,592  
22,000,000
 
2.500%, 12/1/2050
23,050,148 
 
 
TOTAL
33,440,155
 
 
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $84,416,545)
87,596,831
 
 
COMMERCIAL MORTGAGE-BACKED SECURITIES—8.0%
 
 
 
Agency Commercial Mortgage-Backed Securities—8.0%
 
 2,732,055
 
FHLMC REMIC, Series K100, Class A1, 2.297%, 6/25/2029
2,916,830  
 6,199,826
 
FHLMC REMIC, Series K104, Class A1, 1.938%, 10/25/2029
6,507,272  
 1,000,000
 
FHLMC REMIC, Series K104, Class A2, 2.253%, 1/25/2030
1,091,415  
 5,961,099
 
FHLMC REMIC, Series K106, Class A1, 1.783%, 5/25/2029
6,210,845  
 2,900,000
 
FHLMC REMIC, Series K107, Class A2, 1.639%, 1/25/2030
3,020,070  
 5,250,000
 
FHLMC REMIC, Series K737, Class A2, 2.525%, 10/25/2026
5,728,190  
 5,000,000
 
FHLMC REMIC, Series KC03, Class A2, 3.499%, 1/25/2026
5,427,753  
   399,620
 
FNMA REMIC, Series 2012-M13, Class A2, 2.377%, 5/25/2022
408,946    
 6,979,838
 
FNMA REMIC, Series 2020-M14, Class A2, 1.784%, 5/25/2030
7,221,107  
 
 
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $37,068,819)
38,532,428
 
 
COLLATERALIZED MORTGAGE OBLIGATIONS—7.4%
 
 
 
Federal Home Loan Mortgage Corporation—1.5%
 
    37,548
3
REMIC, Series 2411, Class FJ, 0.490% (1-month USLIBOR +0.350%), 12/15/2029
37,646     
   126,973
3
REMIC, Series 2458, Class FB, 1.140% (1-month USLIBOR +1.000%), 1/15/2032
129,857    
    19,035
3
REMIC, Series 2534, Class FI, 1.040% (1-month USLIBOR +0.900%), 2/15/2032
19,416     
   284,097
 
REMIC, Series 2601, Class DA, 4.000%, 4/15/2023
288,729    
   492,350
3
REMIC, Series 3322, Class FB, 0.530% (1-month USLIBOR +0.390%), 5/15/2037
495,704    
 3,128,987
3
REMIC, Series 4927, Class FG, 0.650% (1-month USLIBOR +0.500%), 11/25/2049
3,156,195  
 3,127,727
3
REMIC, Series 4937, Class MF, 0.600% (1-month USLIBOR +0.450%), 12/25/2049
3,148,563  
 
 
TOTAL
7,276,110
 
 
Federal National Mortgage Association—5.2%
 
   175,622
3
REMIC, Series 1999-51, Class F, 0.636% (1-month USLIBOR +0.500%), 9/17/2029
176,073    
   148,919
3
REMIC, Series 2006-58, Class FP, 0.450% (1-month USLIBOR +0.300%), 7/25/2036
149,493    
   255,074
3
REMIC, Series 2006-85, Class PF, 0.530% (1-month USLIBOR +0.380%), 9/25/2036
256,836    
3
Principal
Amount
or Shares
 
 
Value
 
 
COLLATERALIZED MORTGAGE OBLIGATIONS—continued
 
 
 
Federal National Mortgage Association—continued
 
$   304,909
3
REMIC, Series 2007-46, Class FA, 0.520% (1-month USLIBOR +0.370%), 5/25/2037
$306,135    
 2,320,028
3
REMIC, Series 2016-83, Class FA, 0.650% (1-month USLIBOR +0.500%), 11/25/2046
2,337,322  
 3,178,166
3
REMIC, Series 2018-71, Class FA, 0.450% (1-month USLIBOR +0.300%), 9/25/2048
3,188,121  
 1,300,434
3
REMIC, Series 2019-31, Class FB, 0.600% (1-month USLIBOR +0.450%), 7/25/2049
1,308,200  
 1,129,361
3
REMIC, Series 2019-57, Class FE, 0.600% (1-month USLIBOR +0.450%), 10/25/2049
1,138,071  
 2,291,613
3
REMIC, Series 2019-59, Class FA, 0.600% (1-month USLIBOR +0.450%), 10/25/2049
2,305,871  
13,627,654
3
REMIC, Series 2020-36, Class FH, 0.600% (1-month USLIBOR +0.450%), 6/25/2050
13,729,489 
    99,384
3
REMIC, Series 370, Class F21, 0.450% (1-month USLIBOR +0.300%), 6/25/2036
99,758     
 
 
TOTAL
24,995,369
 
 
Government National Mortgage Association—0.7%
 
 1,453,899
 
REMIC, Series 2015-47, Class AE, 2.900%, 11/16/2055
1,519,937  
 1,757,299
 
REMIC, Series 2016-11, Class A, 2.500%, 8/16/2054
1,834,934  
 
 
TOTAL
3,354,871
 
 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $35,213,258)
35,626,350
 
 
ADJUSTABLE RATE MORTGAGE—0.0%
 
 
 
Federal Home Loan Mortgage Corporation ARM—0.0%
 
    15,640
3
2.465%, 7/1/2035
(IDENTIFIED COST $15,490)
16,332     
 
 
INVESTMENT COMPANY—9.2%
 
44,634,885
 
Federated Hermes Government Obligations Fund, Premier Shares, 0.01%4
(IDENTIFIED COST $44,634,885)
44,634,885 
 
 
TOTAL INVESTMENT IN SECURITIES—110.4%
(IDENTIFIED COST $508,501,643)
532,690,403
 
 
OTHER ASSETS AND LIABILITIES - NET—(10.4)%5
(50,041,499)
 
 
TOTAL NET ASSETS—100%
$482,648,904
Affiliated fund holdings are investment companies which are managed by the Adviser or an affiliate of the Adviser. Transactions with the affiliated fund holdings during the period ended November 30, 2020, were as follows:  
 
Federated Hermes Government
Obligations Fund,
Premier Shares*
Value as of 2/29/2020
$7,274,217
Purchases at Cost
$335,160,444
Proceeds from Sales
$(311,540,901)
Change in Unrealized Appreciation/Depreciation
N/A
Net Realized Gain/(Loss)
N/A
Value as of 11/30/2020
$30,893,760
Shares Held as of 11/30/2020
44,634,885
Dividend Income
$42,538
 
*
All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions.
 
1
All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. As of November 30, 2020, securities subject to this type of arrangement
and related collateral were as follows:
 
Market Value of
Securities Loaned
Collateral
Received
$17,559,504
$18,056,250
4
 
2
All or a portion of the To Be Announced Securities (TBAs) are subject to dollar-roll transactions.
3
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.
4
7-day net yield.
5
Assets, other than investments in securities, less liabilities. A significant portion of this balance represents loans to unaffiliated qualified brokers for securities
lending. The Fund receives cash from the broker as collateral for the securities and reinvests the collateral in certain short-term securities such as repurchase
agreements or money market mutual funds.
Note: The categories of investments are shown as a percentage of total net assets at November 30, 2020.
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 the Fund’s Board of Trustees (the “Trustees”).
■ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs.
■ 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 asked quotations.
■ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees.
■ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, 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 Fund’s valuation policies and procedures, or if information furnished by a pricing service, in the opinion of the 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
The Trustees have ultimate responsibility for determining the fair value of investments for which market quotations are not readily available. The Trustees have appointed a Valuation Committee comprised of officers of the Fund, Federated Investment Management Company (the “Adviser”), and certain of the Adviser’s affiliated companies to assist in determining fair value and in overseeing the calculation of the NAV. The Trustees have also authorized the use of pricing services recommended by the Valuation Committee 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 Trustees. The Trustees periodically review and approve the fair valuations made by the Valuation Committee and 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 asked 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 Trustees.
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.
5
The following is a summary of the inputs used, as of November 30, 2020, 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
$—
$219,669,974
$—
$219,669,974
Government Agencies
—
106,613,603
—
106,613,603
Mortgage-Backed Securities
—
87,596,831
—
87,596,831
Commercial Mortgage-Backed Securities
—
38,532,428
—
38,532,428
Collateralized Mortgage Obligations
—
35,626,350
—
35,626,350
Adjustable Rate Mortgages
—
16,332
—
16,332
Investment Company
44,634,885
—
—
44,634,885
TOTAL SECURITIES
$44,634,885
$488,055,518
$—
$532,690,403
 
The following acronym(s) are used throughout this portfolio:
 
ARM
—Adjustable Rate Mortgage
FDIC
—Federal Deposit Insurance Corporation
FHLMC
—Federal Home Loan Mortgage Corporation
FNMA
—Federal National Mortgage Association
LIBOR
—London Interbank Offered Rate
REMIC
—Real Estate Mortgage Investment Conduit
6