United States

Securities and Exchange Commission

Washington, D.C. 20549

 

Form N-CSR

Certified Shareholder Report of Registered Management Investment Companies

 

 

 

 

811-23730

 

(Investment Company Act File Number)

 

Federated Hermes ETF Trust

_______________________________________________________________

 

(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: 02/29/24

 

 

Date of Reporting Period: 02/29/24

 

 

 

 

 

 

 

 

 

  Item 1. Reports to Stockholders

 

 

 

Annual Shareholder Report
February 29, 2024
NYSE Arca | FHYS

Federated Hermes Short Duration High Yield ETF
Fund Established 2021

A Portfolio of Federated Hermes ETF Trust
Dear Valued Shareholder,
We are pleased to present the Annual Shareholder Report for your fund covering the period from March 1, 2023 through February 29, 2024. 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, FederatedHermes.com/us 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

CONTENTS

Management’s Discussion of Fund Performance (unaudited)
The total return of the Federated Hermes Short Duration High Yield ETF (the “Fund”), based on net asset value (NAV) for the 12-month reporting period ended February 29, 2024, was 9.64%. The 9.64% total return for the Fund during the reporting period consisted of 7.21% of dividends and reinvestments and 2.43% of appreciation in the NAV of the Fund. The total return based on the market price of the Fund’s shares was 9.52% for the same period.1 The total return for the ICE BofA 0-3 Year Duration-to-Worst US High Yield Constrained Index (IBA0-3HY),2,3 the Fund’s broad-based securities market index, was 9.87% during the same period. The total return for the ICE BofA 0-5BB/B Constrained Index (IBA0-5CI),4 the Fund’s secondary Index, was 9.62% during the same period.The Fund’s total return during the reporting period reflected actual cash flows, transaction costs and expenses which were not reflected in the total return of the IBA0-3HY.
During the reporting period, the primary components of the Fund’s investment strategy which affected performance relative to the IBA0-3HY were: (1) allocation of Fund assets among asset classes; (2) the allocation of Fund assets among industry sectors and (3) the selection of individual securities.
MARKET OVERVIEW
The major factors influencing markets during the reporting period were the economy and the movement of interest rates. From the beginning of the period, the economy proved resilient despite a number of indicators signaling potential weakness on the horizon. The labor market continued to show strength throughout the fiscal year with solid job creation and low levels of unemployment. Corporate earnings also held up well. A regional banking crisis early in the period was quickly forgotten. The resilient economy forced the Federal Reserve (the “Fed”) to push short rates higher early in the period and signal that a regime of higher for longer interest rates may be called for in the fight against inflation. As a result, the Fed raised interest rates three times early in the fiscal year. However, interest rates peaked in October driven by investors’ increasing conviction that the Fed’s cycle of raising rates had come to an end on the back of falling inflation. This was supported by dovish Fed commentary that suggested a pivot was drawing near while signaling three interest rate cuts in 2024. For example, the 5-year U.S. Treasury’s yield began the fiscal year at 4.18%, peaked near 5% in mid-October and then declined to end the period at 4.25%. With no recession and the market betting on a soft landing in 2024, risk assets rallied and credit spreads ended the year tighter. The overall impact of these factors can be illustrated by the change in credit spreads between the Credit Suisse High Yield Bond Index5 and U.S. Treasury securities with similar maturities which began the reporting period at 436 basis points and ended the period at 341 basis points.
Annual Shareholder Report
1

Within the IBA0-3HY, major industry sectors that substantially outperformed during the reporting period included: Retail, Services, Healthcare, Telecommunications and Energy. Major industry sectors that substantially underperformed during the reporting period included: Transportation, Technology, Real Estate, Capital Goods and Consumer Goods.
Allocation Among ASset Classes
The Fund’s allocation among asset classes which were not represented in the IBA0-3HY positively impacted returns. The Fund’s allocation in leveraged bank loans6 positively impacted returns as leveraged loans benefitted from high coupon rates as the Secured Overnight Financing Rate remained higher than normal given the aggressive Fed actions and the inverted Treasury yield curve.7 For example, the Credit Suisse Leveraged Loan Index8 returned 11.37% during the period versus the 9.87% return for the IBA0-3HY. The Fund was negatively impacted by its holdings in higher quality asset-backed securities which generally underperformed lower quality assets in the IBA0-3HY.
Industry SECTOR Allocation
The Fund’s allocation among industry sectors negatively impacted returns driven by the Fund’s underweight positions in the outperforming Retail, Healthcare, Energy, Leisure and Telecommunication industry sectors. The Fund’s cash position also negatively impacted returns. The Fund was positively impacted by its underweight positions in the underperforming Media and Real Estate sectors and its overweight position in the outperforming Insurance sector.
Security Selection
The Fund was positively impacted by security selection. This was especially true in the Technology, Capital Goods and Insurance industry sectors. Specific high-yield issuers held by the Fund that positively impacted performance relative to the IBA0-3HY included: NFP Corp, Ardonagh Midco 2 PLC, Tap Rock Resources, Interface and Lummus Technology. The Fund was negatively impacted by security selection in the Healthcare, Services, Energy and Leisure industry sectors. Specific high-yield issuers held by the Fund that negatively impacted performance relative to the IBA0-3HY included: Global Medical Response, Tennessee Merger Sub, Enviva Inc, iHeartCommunications and Ardagh Packaging.
1
This assumes all dividends were reinvested into new shares of the Fund.
2
Please see the footnotes to the line graph below for definitions of, and further information about, the IBA0-3HY.
3
High-yield, lower-rated securities generally entail greater market, credit and liquidity risks than investment-grade securities and may include higher volatility and a higher risk of default.
4
Please see the footnotes to the line graph below for definitions of, and further information about, the IBA0-5CI.
Annual Shareholder Report
2

5
Credit Suisse High Yield Bond Index serves as a benchmark to evaluate the performance of low-quality bonds. Low-quality is defined as those bonds in the range from “BB” to “CCC” and defaults. The index is unmanaged, and it is not possible to invest directly in an index.
6
In addition to the risks generally associated with debt instruments, such as credit, market, interest rate, liquidity and derivatives risks, bank loans are also subject to the risk that the value of the collateral securing a loan may decline, be insufficient to meet the obligations of the borrower, or be difficult to liquidate.
7
The yield curve is a graph showing the comparative yields of securities in a particular class according to maturity. Securities on the long end of the yield curve have longer maturities.
8
The Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market. 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.
Annual Shareholder Report
3

FUND PERFORMANCE AND GROWTH OF A $10,000 INVESTMENT
The graph below illustrates the hypothetical investment of $10,0001 in the Federated Hermes Short Duration High Yield ETF (the “Fund”) from December 16, 2021 to February 29, 2024, compared to the ICE BofA 0-3 Year Duration-to-Worst US High Yield Constrained Index (IBA0-3HY)2 and the ICE BofA 0-5 Year BB/B Constrained Index (IBA 0-5CI)3. The Average Annual Total Returns table below shows returns averaged over the stated periods.
Growth of a $10,000 Investment
Growth of $10,000 as of February 29, 2024
Average Annual Total Returns for the Period Ended 2/29/2024
 
1 Year
Since
Inception
Market Price
9.52%
2.26%
NAV
9.64%
2.18%
IBA0-3HY
9.87%
8.11%
IBA 0-5CI
9.62%
6.93%
Annual Shareholder Report
4

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. 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 FederatedHermes.com/us 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. 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 IBA0-3HY has been adjusted to reflect reinvestment of dividends on securities in the index and the average.
2
Prior to March 1, 2024, the Fund also compared its performance to the IBA0-3HY. Effective March 1, 2024, the Fund’s benchmark index changed from the IBA0-3HY to the IBA0-5CI. The Adviser believes that the IBA0-5CI is more reflective of the types of securities in which the Fund invests. The IBA0-3HY tracks the performance of short-term U.S. dollar-denominated below investment-grade corporate debt publicly issued in the U.S. domestic market. Qualifying securities must have a duration-to-worst less than three years, a remaining to final maturity of at least one month, at least 18 months to final maturity at point of issuance, a below investment-grade rating (based on an average of Moody’s, S&P and Fitch), a fixed coupon schedule and a minimum amount outstanding of $250 million. The IBA0-3HY 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
The IBA0-5CI tracks the performance of short-term US dollar denominated below investment grade corporate debt publicly issued and settled in the US domestic market. Qualifying securities must have less than five years remaining term to final maturity, at least 18 months to final maturity at point of issuance, be rated BB1 through B3, inclusive, based on an average of Moody’s S&P and Fitch, have a fixed coupon schedule and a minimum amount outstanding of $250 million. 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.
Annual Shareholder Report
5

Portfolio of Investments Summary Table (unaudited)
At February 29, 2024, the Fund’s index classification1 was as follows:
Index Classification
Percentage of
Total Net Assets
Technology
10.1%
Gaming
6.7%
Automotive
5.9%
Midstream
5.6%
Health Care
5.6%
Insurance - P&C
5.5%
Independent Energy
5.3%
Packaging
4.5%
Oil Field Services
3.7%
Consumer Cyclical Services
3.6%
Chemicals
3.6%
Other2
35.0%
Bank Loan Core Fund
1.7%
Cash Equivalents3
4.6%
Other Assets and Liabilities - Net4
(1.4)%
Total
100%
1
Index classifications are based upon, and individual portfolio securities are assigned to, the
classifications and sub-classifications of the Bloomberg US Corporate High Yield 2% Issuer
Capped Index (BHY2%ICI). Individual portfolio securities that are not included in the BHY2%ICI
are assigned to an index classification by the Fund’s Adviser.
2
For purposes of this table, index classifications which constitute less than 3.5% of the Fund’s
total net assets have been aggregated under the designation “Other.”
3
Cash Equivalents include any investments in money market mutual funds and/or overnight
repurchase agreements.
4
Assets, other than investments in securities, less liabilities. See Statement of Assets and
Liabilities.
Annual Shareholder Report
6

Portfolio of Investments
February 29, 2024
Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—   70.6%
 
 
 
Aerospace/Defense—   1.3%
 
$  200,000
 
TransDigm, Inc., 144A, 6.375%, 3/1/2029
$   200,904
  150,000
 
TransDigm, Inc., Sr. Sub., Series WI, 5.500%, 11/15/2027
   144,835
 
 
TOTAL
345,739
 
 
Airlines—   1.5%
 
  262,500
 
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A,
5.500%, 4/20/2026
   260,094
  140,000
 
Mileage Plus Holdings LLC, 144A, 6.500%, 6/20/2027
   140,034
 
 
TOTAL
400,128
 
 
Automotive—   5.2%
 
  100,000
 
Adient Global Holdings Ltd., Sec. Fac. Bond, 144A, 7.000%, 4/15/2028
   101,950
  150,000
 
Clarios Global LP, Sec. Fac. Bond, 144A, 6.750%, 5/15/2028
   151,816
  100,000
 
Dornoch Debt Merger Sub, Inc., Sr. Unsecd. Note, 144A,
6.625%, 10/15/2029
    89,761
  350,000
 
Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.063%, 11/1/2024
   345,181
  250,000
 
Ford Motor Credit Co. LLC, Sr. Unsecd. Note, Series GMTN,
4.389%, 1/8/2026
   243,095
  200,000
 
IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.000%, 5/15/2027
   196,285
   33,000
 
KAR Auction Services, Inc., Sr. Unsecd. Note, 144A, 5.125%, 6/1/2025
    32,566
  250,000
 
Panther BF Aggregator 2 LP, Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027
   251,295
 
 
TOTAL
1,411,949
 
 
Banking—   0.6%
 
  150,000
 
Ally Financial, Inc., Sr. Sub. Note, 5.750%, 11/20/2025
   149,252
 
 
Building Materials—   2.0%
 
  200,000
 
Interface, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/1/2028
   187,573
  100,000
 
Srs Distribution, Inc., Sr. Unsecd. Note, 144A, 6.125%, 7/1/2029
    93,250
  180,000
 
Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027
   173,303
  100,000
 
White Cap Parent LLC, Sr. Sub. Secd. Note, 144A, 8.250%, 3/15/2026
    99,047
 
 
TOTAL
553,173
 
 
Cable Satellite—   3.3%
 
  150,000
 
CCO Holdings LLC/Cap Corp., Sr. Sub. Secd. Note, 144A, 5.500%, 5/1/2026
   147,380
  200,000
 
CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2027
   179,415
  200,000
 
Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.000%, 8/1/2027
   190,526
  200,000
 
Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028
   187,500
  200,000
 
Ziggo Finance B.V., Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027
   195,450
 
 
TOTAL
900,271
 
 
Chemicals—   2.7%
 
  150,000
 
Axalta Coat/Dutch Holding B.V., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2027
   144,818
Annual Shareholder Report
7

Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—   continued
 
 
 
Chemicals—   continued
 
$  200,000
 
Cheever Escrow Issuer, Sec. Fac. Bond, 144A, 7.125%, 10/1/2027
$   199,017
  200,000
 
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., Sr. Unsecd. Note, 144A,
9.000%, 7/1/2028
   196,814
  200,000
 
SPCM S.A., Sr. Unsecd. Note, 144A, 3.125%, 3/15/2027
   185,480
 
 
TOTAL
726,129
 
 
Construction Machinery—   0.7%
 
  200,000
 
United Rentals, Inc., Sr. Unsecd. Note, 5.500%, 5/15/2027
   198,668
 
 
Consumer Cyclical Services—   2.4%
 
   42,000
 
Allied Universal Holdco LLC, Sec. Fac. Bond, 144A, 6.625%, 7/15/2026
    41,873
  100,000
 
Garda World Security Corp., Sec. Fac. Bond, 144A, 4.625%, 2/15/2027
    95,515
  175,000
 
Garda World Security Corp., Sr. Unsecd. Note, 144A, 9.500%, 11/1/2027
   175,664
  150,000
 
Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027
   143,073
  200,000
 
The Brink’s Co., Sr. Unsecd. Note, 144A, 5.500%, 7/15/2025
   198,899
 
 
TOTAL
655,024
 
 
Consumer Products—   2.1%
 
   25,000
 
Acushnet Co., Sr. Unsecd. Note, 144A, 7.375%, 10/15/2028
    25,781
  250,000
 
BCPE Empire Holdings, Inc., Sr. Unsecd. Note, 144A, 7.625%, 5/1/2027
   239,577
  150,000
 
Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 5.500%, 6/1/2028
   146,439
  150,000
 
Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 6.500%, 12/31/2027
   148,742
 
 
TOTAL
560,539
 
 
Diversified Manufacturing—   2.9%
 
  250,000
 
Gates Global LLC, Sr. Unsecd. Note, 144A, 6.250%, 1/15/2026
   249,148
  200,000
 
WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 6.375%, 3/15/2029
   200,019
  350,000
 
WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.125%, 6/15/2025
   352,091
 
 
TOTAL
801,258
 
 
Finance Companies—   1.9%
 
  100,000
1
American Express Co., Sr. Unsecd. Note, 6.275% (SOFR +0.930%), 3/4/2025
   100,564
  175,000
 
Navient Corp., Sr. Unsecd. Note, 6.750%, 6/15/2026
   175,710
  150,000
 
United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A,
5.500%, 11/15/2025
   147,427
  100,000
 
United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A,
5.750%, 6/15/2027
    97,007
 
 
TOTAL
520,708
 
 
Food & Beverage—   1.7%
 
  250,000
 
Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 4/1/2025
   248,405
  100,000
 
Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 5.500%, 10/15/2027
    97,933
  100,000
 
US Foods, Inc., Sr. Unsecd. Note, 144A, 6.875%, 9/15/2028
   101,750
 
 
TOTAL
448,088
 
 
Gaming—   4.1%
 
  100,000
 
Affinity Gaming LLC, 144A, 6.875%, 12/15/2027
    92,241
Annual Shareholder Report
8

Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—   continued
 
 
 
Gaming—   continued
 
$  250,000
 
Boyd Gaming Corp., Sr. Unsecd. Note, 4.750%, 12/1/2027
$   240,149
  200,000
 
Churchill Downs, Inc., Sr. Unsecd. Note, 144A, 5.500%, 4/1/2027
   196,425
  150,000
 
Mohegan Tribal Gaming Authority, 144A, 8.000%, 2/1/2026
   141,375
  200,000
 
Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2027
   191,183
  250,000
 
VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A,
5.625%, 5/1/2024
   249,720
 
 
TOTAL
1,111,093
 
 
Health Care—   1.8%
 
  150,000
 
Ardent Health Services, Sr. Unsecd. Note, 144A, 5.750%, 7/15/2029
   135,108
  125,000
 
CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A,
5.625%, 3/15/2027
   114,366
  250,000
 
Tenet Healthcare Corp., Term Loan - 2nd Lien, 144A, 6.250%, 2/1/2027
   249,407
 
 
TOTAL
498,881
 
 
Independent Energy—   5.3%
 
  100,000
 
Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note,
144A, 7.000%, 11/1/2026
    99,932
  100,000
 
Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note,
144A, 8.250%, 12/31/2028
   101,538
  150,000
 
Callon Petroleum Corp., Sr. Unsecd. Note, Series WI, 6.375%, 7/1/2026
   150,252
  125,000
 
Chesapeake Energy Corp., Sr. Unsecd. Note, 144A, 5.500%, 2/1/2026
   123,906
  100,000
 
Civitas Resources, Inc., Unsecd. Note, 144A, 8.375%, 7/1/2028
   104,642
  150,000
 
Crownrock LP/Crownrock F, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2025
   149,258
  150,000
 
Permian Resources Operating LLC, Sr. Unsecd. Note, 144A,
5.375%, 1/15/2026
   147,554
  250,000
 
Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025
   246,544
   75,000
 
Sitio Royalties Operating Partnership LP / Sitio Finance Corp., Sr. Unsecd.
Note, 144A, 7.875%, 11/1/2028
    76,658
  250,000
 
SM Energy Co., Sr. Unsecd. Note, 6.750%, 9/15/2026
   248,603
 
 
TOTAL
1,448,887
 
 
Industrial - Other—   0.9%
 
  100,000
 
Hillenbrand, Inc., Sr. Unsecd. Note, 6.250%, 2/15/2029
   100,014
  150,000
 
Madison Iaq LLC, Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029
   133,926
 
 
TOTAL
233,940
 
 
Insurance - P&C—   3.2%
 
  125,000
 
AmWINS Group, Inc., Sec. Fac. Bond, 144A, 6.375%, 2/15/2029
   125,081
  282,890
 
Ardonagh Midco 2 PLC, Sr. Unsecd. Note, 144A, 11.500% / 12.750%
PIK, 1/15/2027
   291,023
  200,000
 
GTCR AP Finance, Inc., Sr. Unsecd. Note, 144A, 8.000%, 5/15/2027
   200,338
  260,000
 
NFP Corp., Sr. Unsecd. Note, 144A, 6.875%, 8/15/2028
   264,061
 
 
TOTAL
880,503
Annual Shareholder Report
9

Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—   continued
 
 
 
Leisure—   2.6%
 
$  175,000
 
Carnival Corp., Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027
$   172,808
  200,000
 
NCL Corp. Ltd., Sr. Unsecd. Note, 144A, 5.875%, 3/15/2026
   195,350
  200,000
 
Royal Caribbean Cruises, Ltd., Sr. Unsecd. Note, 144A, 5.500%, 8/31/2026
   197,712
  151,000
 
Six Flags Theme Parks, Sec. Fac. Bond, 144A, 7.000%, 7/1/2025
   151,351
 
 
TOTAL
717,221
 
 
Lodging—   0.8%
 
  200,000
 
Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A,
5.375%, 5/1/2025
   199,036
   25,000
 
RHP Hotel Property/RHP Finance Corp., Sr. Unsecd. Note, 144A,
7.250%, 7/15/2028
    25,605
 
 
TOTAL
224,641
 
 
Media Entertainment—   2.3%
 
  150,000
 
Gray Escrow, Inc., Sr. Unsecd. Note, 144A, 7.000%, 5/15/2027
   135,555
  200,000
 
iHeartCommunications, Inc., 144A, 5.250%, 8/15/2027
   148,250
  125,000
 
Outfront Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd.
Note, 144A, 5.000%, 8/15/2027
   120,254
  150,000
 
Scripps Escrow, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027
   121,759
  100,000
 
Univision Communications, Inc., Sec. Fac. Bond, 144A, 8.000%, 8/15/2028
   100,534
 
 
TOTAL
626,352
 
 
Midstream—   5.6%
 
  125,000
 
AmeriGas Partners LP, Sr. Unsecd. Note, 5.500%, 5/20/2025
   122,687
  250,000
 
Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027
   244,609
  300,000
 
EQM Midstream Partners LP, Sr. Unsecd. Note, 144A, 6.000%, 7/1/2025
   299,589
  125,000
 
EQM Midstream Partners LP, Sr. Unsecd. Note, 144A, 6.375%, 4/1/2029
   125,359
  250,000
 
Hess Midstream Operations LP, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2026
   246,463
  250,000
 
Solaris Midstream Holdings LLC, Sr. Unsecd. Note, 144A, 7.625%, 4/1/2026
   249,810
  250,000
 
Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027
   246,250
 
 
TOTAL
1,534,767
 
 
Oil Field Services—   3.2%
 
  175,000
 
Archrock Partners LP / Archrock Partners Finance Corp., Sr. Unsecd. Note,
144A, 6.875%, 4/1/2027
   174,119
   50,000
 
Kodiak Gas Services LLC, Sr. Unsecd. Note, 144A, 7.250%, 2/15/2029
    50,904
  300,000
 
Nabors Industries, Inc., Sr. Unsecd. Note, 144A, 7.375%, 5/15/2027
   298,896
  228,000
 
Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026
   227,707
  110,000
 
USA Compression Partners LP, Sr. Unsecd. Note, Series WI,
6.875%, 4/1/2026
   109,850
 
 
TOTAL
861,476
 
 
Packaging—   3.0%
 
  225,000
 
Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A,
5.250%, 8/15/2027
   163,137
  200,000
 
Bway Holding Co., 144A, 7.875%, 8/15/2026
   202,663
Annual Shareholder Report
10

Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—   continued
 
 
 
Packaging—   continued
 
$  150,000
 
Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A,
6.625%, 5/13/2027
$   149,668
  150,000
 
Sealed Air Corp., Sr. Unsecd. Note, 144A, 5.500%, 9/15/2025
   149,715
  150,000
 
Trivium Packaging Finance B.V., Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027
   146,220
 
 
TOTAL
811,403
 
 
Paper—   0.5%
 
  150,000
 
Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A,
4.750%, 7/15/2027
   145,087
 
 
Pharmaceuticals—   0.5%
 
  225,000
 
Bausch Health Cos, Inc., Sec. Fac. Bond, 144A, 6.125%, 2/1/2027
   143,985
 
 
Retailers—   1.1%
 
  150,000
 
Academy Ltd., Sec. Fac. Bond, 144A, 6.000%, 11/15/2027
   148,487
  150,000
 
William Carter Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2027
   147,161
 
 
TOTAL
295,648
 
 
Technology—   5.1%
 
  250,000
 
Boxer Parent Co., Inc., 144A, 7.125%, 10/2/2025
   250,247
   75,000
 
Coherent Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029
    69,938
  200,000
 
Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A,
6.000%, 10/15/2026
   189,935
  175,000
 
Entegris, Inc., Sr. Unsecd. Note, 144A, 4.375%, 4/15/2028
   163,524
   32,340
 
Goto Group, Inc., 144A, 5.500%, 5/1/2028
    27,853
   44,660
 
Goto Group, Inc., 144A, 5.500%, 5/1/2028
    26,349
  175,000
 
Iron Mountain, Inc., Sr. Unsecd. Note, 144A, 4.875%, 9/15/2027
   167,841
   75,000
 
NCR Atleos Escrow Corp., 144A, 9.500%, 4/1/2029
    79,335
  100,000
 
Open Text Corp. - OLD, 144A, 6.900%, 12/1/2027
   103,230
  125,000
 
Science Applications International Corp., Sr. Unsecd. Note, 144A,
4.875%, 4/1/2028
   118,369
  200,000
 
SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027
   194,760
 
 
TOTAL
1,391,381
 
 
Transportation Services—   0.9%
 
  250,000
 
Watco Cos LLC/Finance Co., Sr. Unsecd. Note, 144A, 6.500%, 6/15/2027
   243,049
 
 
Utility - Electric—   1.4%
 
  150,000
 
Calpine Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028
   142,596
   75,000
 
NextEra Energy Operating Partners LP, Sr. Unsecd. Note, 144A,
7.250%, 1/15/2029
    76,237
  150,000
 
NRG Energy, Inc., Sr. Unsecd. Note, 6.625%, 1/15/2027
   149,977
 
 
TOTAL
368,810
 
 
TOTAL CORPORATE BONDS
(IDENTIFIED COST $19,324,948)
19,208,050
Annual Shareholder Report
11

Principal
Amount
or Shares
 
 
Value
 
1
FLOATING RATE LOANS—   23.2%
 
 
 
Airlines—   0.7%
 
$  187,500
 
SkyMiles IP Ltd., 2020 Skymiles Term Loan B1st Lien, 9.068% (SOFR CME
+3.750%), 10/20/2027
$   192,613
 
 
Automotive—   0.4%
 
  100,000
 
DexKo Global, Inc., 2023 Incremental Term Loan1st Lien, 9.598% (SOFR
CME +4.250%), 10/4/2028
   100,042
 
 
Building Materials—   1.2%
 
  100,000
2
Foundation Building Materials Holding Co., LLC, 2024 Term Loan B21st
Lien, TBD, 1/29/2031
    99,875
  125,000
 
GYP Holdings III Corp., 2024 Term Loan1st Lien, 7.576% (SOFR CME
+2.250%), 5/12/2030
   125,000
   99,750
 
Tecta America Corp., 2023 Term Loan B1st Lien, 9.691% (SOFR CME
+4.250%), 4/10/2028
    99,719
 
 
TOTAL
324,594
 
 
Chemicals—   0.9%
 
   86,789
 
Axalta Coating Systems U.S. Holdings, Inc., 2023 USD Term Loan B41st
Lien, 7.848% (SOFR CME +2.500%), 12/20/2029
    86,818
  149,251
 
Koppers, Inc., First Lien Term Loan B1st Lien, 8.930% (SOFR CME
+3.500%), 4/10/2030
   149,718
 
 
TOTAL
236,536
 
 
Consumer Cyclical Services—   1.2%
 
  199,500
 
Allied Universal Holdco, LLC, 2023 Term Loan B1st Lien, 10.076% (SOFR
CME +4.750%), 5/12/2028
   199,500
  125,000
 
Dun & Bradstreet Corp. (The), 2024 Term Loan B1st Lien, 8.074% (SOFR
CME +2.750%), 1/18/2029
   124,656
 
 
TOTAL
324,156
 
 
Consumer Products—   0.4%
 
  100,000
2
Fleet Midco I Ltd., 2024 Term Loan B1st Lien, TBD, 1/23/2031
    99,875
 
 
Diversified Manufacturing—   0.2%
 
   55,755
 
Emrld Borrower LP, Term Loan B1st Lien, 7.790% (SOFR CME
+2.500%), 5/31/2030
    55,601
 
 
Finance Companies—   0.3%
 
   97,071
 
Nexus Buyer, LLC, Term Loan B1st Lien, 9.176% (SOFR CME
+3.750%), 11/9/2026
    95,372
 
 
Gaming—   2.6%
 
   49,625
 
Caesars Entertainment, Inc., Term Loan B1st Lien, 8.663% (SOFR CME
+3.250%), 2/6/2030
    49,632
  250,000
 
Caesars Entertainment, Inc., 2024 Term Loan B11st Lien, 8.040% (SOFR
CME +2.750%), 2/6/2031
   249,480
   68,477
 
Century Casinos, Inc., 2022 Term Loan1st Lien, 11.428% (SOFR CME
+6.000%), 4/2/2029
    67,194
  246,250
 
Great Canadian Gaming Corp., 2021 Term Loan1st Lien, 9.633% (SOFR
CME +4.000%), 11/1/2026
   246,065
Annual Shareholder Report
12

Principal
Amount
or Shares
 
 
Value
 
1
FLOATING RATE LOANS—   continued
 
 
 
Gaming—   continued
 
$  100,000
 
Ontario Gaming GTA LP, Term Loan B1st Lien, 9.598% (SOFR CME
+4.250%), 8/1/2030
$    99,866
 
 
TOTAL
712,237
 
 
Health Care—   3.8%
 
  174,557
 
Athenahealth Group, Inc., 2022 Term Loan B1st Lien, 8.576% (SOFR CME
+3.250%), 2/15/2029
   172,893
  121,582
 
Curium BidCo S.a.r.l., 2023 USD Term Loan B1st Lien, 9.848% (SOFR CME
+4.500%), 7/31/2029
   121,430
   96,858
 
Gainwell Acquisition Corp., Term Loan B1st Lien, 9.448% (SOFR CME
+4.000%), 10/1/2027
    92,015
  149,610
 
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B1st Lien,
7.426% (SOFR CME +2.000%), 11/15/2027
   146,581
  199,492
 
Medline Borrower, LP, USD Term Loan B1st Lien, 8.441% (SOFR CME
+3.000%), 10/23/2028
   199,502
  150,000
 
MH Sub I, LLC, 2021 2nd Lien Term Loan2nd Lien, 11.576% (SOFR CME
+6.250%), 2/23/2029
   144,063
  148,864
 
Parexel International Corp., 2021 1st Lien Term Loan1st Lien, 8.691%
(SOFR CME +3.250%), 11/15/2028
   148,678
 
 
TOTAL
1,025,162
 
 
Industrial - Other—   1.0%
 
   97,122
 
Filtration Group Corp., 2021 Incremental Term Loan1st Lien, 8.941%
(SOFR CME +3.500%), 10/21/2028
    97,079
   97,491
 
Fluid-Flow Products, Inc., Term Loan1st Lien, 9.191% (SOFR CME
+3.750%), 3/31/2028
    97,247
   87,141
 
SPX Flow, Inc., 2022 Term Loan1st Lien, 9.926% (SOFR CME
+4.500%), 4/5/2029
    87,250
 
 
TOTAL
281,576
 
 
Insurance - P&C—   2.3%
 
   99,499
 
Asurion, LLC, 2023 Term Loan B111st Lien, 9.676% (SOFR CME
+4.250%), 8/19/2028
    98,846
  100,000
 
Hub International Ltd., 2024 Term Loan B1st Lien, 8.574% (SOFR CME
+3.250%), 6/20/2030
    99,875
  100,000
 
Jones DesLauriers Insurance Management, Inc., 2024 Term Loan B1st Lien,
8.805% (SOFR CME +3.500%), 3/15/2030
   100,042
  243,035
 
Sedgwick Claims Management Services, Inc., 2023 Term Loan B1st Lien,
9.076% (SOFR CME +3.750%), 2/24/2028
   243,230
   98,752
 
USI, Inc., 2023 Term Loan B1st Lien, 8.348% (SOFR CME
+3.000%), 11/22/2029
    98,629
 
 
TOTAL
640,622
 
 
Leisure—   0.4%
 
   99,500
 
Carnival Corp., 2023 Term Loan B1st Lien, 8.318% (SOFR CME
+3.000%), 8/8/2027
    99,521
Annual Shareholder Report
13

Principal
Amount
or Shares
 
 
Value
 
1
FLOATING RATE LOANS—   continued
 
 
 
Media Entertainment—   0.8%
 
$  120,288
 
Emerald Expositions Holding, Inc., 2017 Term Loan B1st Lien, 10.426%
(SOFR CME +5.000%), 5/22/2026
$   120,679
   98,500
 
Univision Communications, Inc., 2022 First Lien Term Loan B1st Lien,
9.598% (SOFR CME +4.250%), 6/24/2029
    98,500
 
 
TOTAL
219,179
 
 
Oil Field Services—   0.5%
 
  123,752
 
ChampionX Corp., 2022 Term Loan B21st Lien, 8.176% (SOFR CME
+2.750%), 6/7/2029
   123,969
 
 
Packaging—   1.5%
 
  206,485
 
Charter NEX US, Inc., 2021 Term Loan1st Lien, 8.826% (SOFR CME
+3.500%), 12/1/2027
   206,343
  197,877
 
Clydesdale Acquisition Holdings, Inc., Term Loan B1st Lien, 9.101% (SOFR
CME +3.675%), 4/13/2029
   197,588
 
 
TOTAL
403,931
 
 
Technology—   5.0%
 
  150,000
 
Camelot U.S. Acquisition, LLC, 2024 Term Loan B1st Lien, 8.076% (SOFR
CME +2.750%), 1/25/2031
   149,438
  148,875
 
Central Parent, Inc., 2023 Term Loan B1st Lien, 9.348% (SOFR CME
+4.000%), 7/6/2029
   149,161
  200,000
2
Cloud Software Group, Inc., 2022 USD Term Loan B1st Lien,
TBD, 3/30/2029
   198,084
   97,854
 
Greeneden U.S. Holdings II, LLC, 2020 USD Term Loan B41st Lien, 9.441%
(SOFR CME +4.000%), 12/1/2027
    98,119
  125,000
 
Marcel LUX IV S.a.r.l., 2023 USD Term Loan B1st Lien, 9.820% (SOFR CME
+4.500%), 11/11/2030
   125,039
  149,620
 
McAfee, LLC, 2022 USD Term Loan B1st Lien, 9.178% (SOFR CME
+3.750%), 3/1/2029
   148,685
   92,027
 
Open Text Corp., 2023 Term Loan B1st Lien, 8.176% (SOFR CME
+2.750%), 1/31/2030
    92,084
   99,750
 
Quartz Acquireco, LLC, Term Loan B1st Lien, 8.826% (SOFR CME
+3.500%), 6/28/2030
    99,625
   99,750
 
Renaissance Holding Corp., 2023 Refi Term Loan1st Lien, 9.576% (SOFR
CME +4.250%), 4/5/2030
    99,407
   65,517
 
UKG, Inc., 2021 2nd Lien Term Loan2nd Lien, 10.680% (SOFR CME
+5.250%), 5/3/2027
    66,091
  146,818
 
VS Buyer, LLC, Term Loan B1st Lien, 8.676% (SOFR CME
+3.250%), 2/28/2027
   146,512
 
 
TOTAL
1,372,245
 
 
TOTAL FLOATING RATE LOANS
(IDENTIFIED COST $6,235,357)
6,307,231
 
 
ASSET-BACKED SECURITIES—   1.3%
 
 
 
Automotive—   0.3%
 
   78,975
 
Volkswagen Auto Lease Trust 2022-A, Class A3, 3.440%, 7/21/2025
    78,565
Annual Shareholder Report
14

Principal
Amount
or Shares