# EDGAR Filing Document

**Accession Number:** 0001340579
**File Stem:** 0001623632-23-000317
**Filing Date:** 2023-2
**Character Count:** 612676
**Document Hash:** a21b36c053b2d062142ae0a0af9fdfc4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001623632-23-000317.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001623632-23-000317

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 15

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**EFFECTIVENESS DATE**: 20230223

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Federated Hermes Managed Pool Series
- **CENTRAL INDEX KEY:** 0001340579
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1130

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21822
- **FILM NUMBER:** 23657193

**BUSINESS ADDRESS:**
- **STREET 1:** 4000 ERICSSON DRIVE
- **CITY:** WARRENDALE
- **STATE:** PA
- **ZIP:** 15086-7561
- **BUSINESS PHONE:** 1-800-341-7400

**MAIL ADDRESS:**
- **STREET 1:** 4000 ERICSSON DRIVE
- **CITY:** WARRENDALE
- **STATE:** PA
- **ZIP:** 15086-7561

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Federated Managed Pool Series
- **DATE OF NAME CHANGE:** 20051004

## Series and Classes Contracts Data

### Federated Hermes Corporate Bond Strategy Portfolio (Series ID: S000010899)

| Class ID   | Class Name                                         | Ticker Symbol   |
|:---|:---|:---|
| C000030208 | Federated Hermes Corporate Bond Strategy Portfolio | FCSPX           |

### Federated Hermes High Yield Strategy Portfolio (Series ID: S000010900)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000030209 | Federated Hermes High Yield Strategy Portfolio | FHYSX           |

### Federated Hermes Mortgage Strategy Portfolio (Series ID: S000010902)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000030211 | Federated Hermes Mortgage Strategy Portfolio | FMBPX           |

**United States**

**Securities and Exchange Commission**

**Washington, D.C. 20549**

**Form N-CSR**

**Certified Shareholder Report of Registered Management Investment Companies**

<u>811-21822</u>

(Investment Company Act File Number)

**Federated Hermes Managed Pool Series**

_______________________________________________________________

(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: <u>12/31/22</u>

Date of Reporting Period: <u>12/31/22</u>

**Item 1.** **Reports to Stockholders**

**Annual Shareholder Report**

***December 31, 2022***

![](img3e6b4ac81.gif)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**Ticker** FCSPX<br>

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Federated Hermes Corporate Bond Strategy Portfolio

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A Portfolio of Federated Hermes Managed Pool Series

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**Not FDIC Insured ▪ May Lose Value ▪ No Bank Guarantee**

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**CONTENTS** 

---

| | |
|:---|:---|
| [Management's Discussion of Fund Performance](#xx_6bfd0b0c-4b45-4b9d-a74a-97554161ec77_1) | &nbsp;&nbsp; [1](#xx_6bfd0b0c-4b45-4b9d-a74a-97554161ec77_1)  |
| [Portfolio of Investments Summary Table](#xx_78540144-76b0-4821-a139-5d9c043c0af7_1) | &nbsp;&nbsp; [4](#xx_78540144-76b0-4821-a139-5d9c043c0af7_1)  |
| [Portfolio of Investments](#xx_78540144-76b0-4821-a139-5d9c043c0af7_2) | &nbsp;&nbsp; [5](#xx_78540144-76b0-4821-a139-5d9c043c0af7_2)  |
| [Financial Highlights](#xx_cd3b261e-cbf9-4d62-9dcc-c8caed32c274_1) | [17](#xx_cd3b261e-cbf9-4d62-9dcc-c8caed32c274_1)  |
| [Statement of Assets and Liabilities](#xx_3662c941-fe6e-4e14-ab44-c859a18a25a0_1) | [18](#xx_3662c941-fe6e-4e14-ab44-c859a18a25a0_1)  |
| [Statement of Operations](#xx_3662c941-fe6e-4e14-ab44-c859a18a25a0_2) | [19](#xx_3662c941-fe6e-4e14-ab44-c859a18a25a0_2)  |
| [Statement of Changes in Net Assets](#xx_3662c941-fe6e-4e14-ab44-c859a18a25a0_3) | [20](#xx_3662c941-fe6e-4e14-ab44-c859a18a25a0_3)  |
| [Notes to Financial Statements](#xx_c13a4bf0-974d-4b64-baa7-822f4a949bd0_1) | [21](#xx_c13a4bf0-974d-4b64-baa7-822f4a949bd0_1)  |
| [Report of Independent Registered Public Accounting Firm](#xx_2e4b7d5a-1d0b-4594-986c-95c75d96f35c_1) | [27](#xx_2e4b7d5a-1d0b-4594-986c-95c75d96f35c_1)  |
| [Shareholder Expense Example](#xx_9517ebab-ae8b-47e3-a253-3795b754e7a6_1) | [28](#xx_9517ebab-ae8b-47e3-a253-3795b754e7a6_1)  |
| [Board of Trustees and Trust Officers](#xx_317dd1ff-8403-4f44-b96c-89e5229731df_1) | [29](#xx_317dd1ff-8403-4f44-b96c-89e5229731df_1)  |
| [Evaluation and Approval of Advisory Contract](#xx_11a3da23-54c6-46b6-8f1f-7b4c1b94bd07_1) | [32](#xx_11a3da23-54c6-46b6-8f1f-7b4c1b94bd07_1)  |
| [Liquidity Risk Management Program](#xx_5b73e234-593b-4625-9ae3-a4a3de3e0278_1)[–](#xx_5b73e234-593b-4625-9ae3-a4a3de3e0278_1)<br> [Annual Evaluation of Adequacy and Effectiveness](#xx_5b73e234-593b-4625-9ae3-a4a3de3e0278_1)<br>| [36](#xx_5b73e234-593b-4625-9ae3-a4a3de3e0278_1)  |
| [Voting Proxies on Fund Portfolio Securities](#xx_9ead9f38-1a6d-4a37-8eb1-cbaa0720d81c_1) | [37](#xx_9ead9f38-1a6d-4a37-8eb1-cbaa0720d81c_1)  |
| [Quarterly Portfolio Schedule](#xx_9ead9f38-1a6d-4a37-8eb1-cbaa0720d81c_1) | [37](#xx_9ead9f38-1a6d-4a37-8eb1-cbaa0720d81c_1) |

---

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Management's Discussion of Fund Performance

The total return of the Federated Hermes Corporate Bond Strategy Portfolio (the "Fund"), based on net asset value for the 12-month reporting period ended December 31, 2022, was -15.44%. The total return of the Bloomberg US Credit Index (BUSC),<sup>1</sup> the Fund's broad-based securities market index, was -15.26%, and the total return of the Baa component of the BUSC (BUSC-Baa),<sup>2</sup> the benchmark against which the Fund is managed, was -15.94% for the same period. The Fund's total return for the most recently completed fiscal year reflected actual cash flows, transaction costs and expenses, which were not reflected in the total return of the indexes.

During the reporting period, the most significant factors affecting the Fund's performance relative to the BUSC-Baa were: (1) duration,<sup>3</sup> which is the sensitivity of the change in price of the portfolio to changes in interest rates; (2) selection of securities with different maturities (referred to as "yield curve" strategy); (3) individual security selection; and (4) the allocation of the portfolio among securities of similar types of issuers (referred to as "sectors").

The following discussion will focus on the Fund's performance relative to the BUSC-Baa.

**Market Overview**

The year 2022 was the worst performing total return year in the history of both the BUSC and the BUSC-Baa. The 2022 total return for the BUSC-Baa was -15.94%, worse than the previous record low of -14.40% in 1974. The early 1970's was also a period of high inflation with the Consumer Price Index ending 1974 at 12.40%. Significantly higher U.S. Treasury rates across the yield curve and wider credit spreads drove the negative returns in 2022. Despite the Consumer Price Index ending 2021 at a decades high of 6.80%, the U.S. Federal Reserve (the "Fed") was slow to recognize the persistence of inflation in the U.S. economy. Once the Fed acknowledged the increase in inflation was no longer transitory, it accelerated the taper of its asset purchase program to end in March and began an aggressive federal funds target rate hiking cycle. Specifically, the Fed initially raised the federal funds target rate by 25 basis points in March, but quickly accelerated rate hikes to include four successive 75 basis point hikes. In 2022, the upper bound of the federal funds target rate increased by 425 basis points to end the year at 4.50%. In addition, the Fed began reducing the size of its balance sheet by $47.5 billion a month in June and increased the monthly reduction cap to $95 billion in September. The Fed was not the only central bank fighting inflation in 2022, and higher global rates also put upward pressure on U.S. rates.

Against this backdrop of higher inflation and tighter monetary policy, U.S. Treasury rates were up materially across the yield curve. The yield-to-maturity on the Bloomberg US Treasury Index<sup>4</sup> began the year at 1.23% and ended the year at 4.18%. The U.S. Treasury curve "bear flattened" in 2022 with short-term rates up more than longer-term rates and also ended the year "inverted" with short-term rates higher than longer-term rates. The increase in U.S. Treasury rates led to negative total returns for all major U.S. fixed-income markets in 2022. The total return of the Bloomberg US Treasury Index in 2022 was -12.46%.

The negative 2022 total return on the BUSC-Baa was due primarily to higher Treasury rates and wider credit spreads. The Option Adjusted Spread (OAS) volatility in the year was correlated with volatility in U.S. interest rates. The OAS of the BUSC-Baa began the year at 115 basis points, peaked at almost 200 basis points in the middle of October and then rallied in the fourth quarter to end the year at 159 basis points.

**Duration**

During a year in which interest rates increased materially across all maturities, duration was the key driver of the Fund's outperformance during the reporting period. The Fund's duration during the year averaged 97% of its benchmark, resulting in the largest positive contribution to performance. During the fiscal year, the Fund used U.S. Treasury futures contracts<sup>5</sup> to help manage the duration of the Fund. These positions had a positive impact on the Fund's performance for the period.

**Yield Curve**

The U.S. Treasury curve "bear flattened" in 2022 with short-term rates up more than longer-term rates and also ended the year "inverted" with short-term rates higher than longer-term rates. As a result, the Fund's bias for longer maturity bonds was a positive contributor to performance relative to the BUSC-Baa.

**Security selection**

In total, individual security selection varied widely in terms of relative contribution to the Fund and combined to have a negative impact on the relative performance of the Fund for the year. Some of the best performing bonds for the Fund in 2022 were from issuers such as General Motors Co., Broadcom Inc., AbbVie Inc., CVS Health Corp. and Williams Co. The worst performing selections were from issuers such as General Electric Co., Canadian Natural Resources Ltd., Suncor Energy Inc., Marathon Oil Corp. and the Government of Mexico.

Annual Shareholder Report

**1**

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**sector ALLOCATION**

Sector allocation was a slightly negative contributor to the Fund's performance for the year. Overweight positions in the Automobile and Media sectors and an underweight position to the Sovereign sector were negative contributors to Fund's performance. These negative contributors were partially offset by the positive contribution from the Fund's higher than normal allocation to cash during the year.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Please see the footnotes to the line graph below for definitions of, and further information about, the BUSC.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Please see the footnotes to the line graph below for definitions of, and further information about, the BUSC-Baa.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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 securities of shorter durations.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The Bloomberg US Treasury Index measures U.S. dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury with one year or more to maturity. The index is unmanaged, and it is not possible to invest directly in an index.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The Fund's use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional instruments.*

Annual Shareholder Report

**2**

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**FUND PERFORMANCE AND GROWTH OF A $10,000 INVESTMENT**

The graph below illustrates the hypothetical investment of $10,000<sup>1</sup> in the Federated Hermes Corporate Bond Strategy Portfolio (the "Fund") from December 31, 2012 to December 31, 2022, compared to the Bloomberg US Credit Index (BUSC)<sup>2</sup> and the Baa component of the Bloomberg US Credit Index (BUSC-Baa).<sup>3</sup> The Average Annual Total Return table below shows returns averaged over the stated periods.

**Growth of a $10,000 Investment**

**Growth of $10,000 as of December 31, 2022** <br> ![](fcpar36217.jpg)

**Average Annual Total Returns for the Period Ended 12/31/2022** 

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| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Years** | **10 Years** |
| **Fund** | -15.44% | 1.31% | 2.68% |
| BUSC | -15.26% | 0.42% | 1.82% |
| BUSC-Baa | -15.94% | 0.70% | 2.17% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**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.** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The Fund's performance assumes the reinvestment of all dividends and distributions. The BUSC and BUSC-Baa have been adjusted to reflect reinvestment of dividends on securities in an index.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The BUSC is composed of all publicly issued, fixed-rate, nonconvertible, investment-grade corporate debt and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities. Issues are rated at least "Baa" by Moody's Investors Service or "BBB" by Standard & Poor's, if unrated by Moody's. The index is not adjusted to reflect sales loads, expenses or other fees that the Securities and Exchange Commission (SEC) 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.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The BUSC-Baa is a component of the BUSC comprised of corporate bonds or securities represented by the following sectors: industrial, utility and finance, including both U.S. and non-U.S. corporations and non-corporate bonds or securities represented by the following sectors: sovereign, supranational, foreign agencies and foreign local governments. The index is not adjusted to reflect sales loads, expenses or other fees that the SEC 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**

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Portfolio of Investments Summary Table (unaudited)

At December 31, 2022, the Fund's portfolio composition<sup>1</sup> was as follows:

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| | |
|:---|:---|
| **Security Type** | **Percentage of** <br>**Total Net Assets**<br>|
| Corporate Bonds | 95.3% |
| Foreign Government/Agency | &nbsp;&nbsp; 1.8% |
| Cash Equivalents<sup>2</sup> <br>| &nbsp;&nbsp; 2.0% |
| Securities Lending Collateral<sup>3</sup> <br>| &nbsp;&nbsp; 1.1% |
| Derivative Contracts<sup>4,5</sup> <br>| &nbsp;&nbsp; 0.0% |
| Other Assets and Liabilities—Net<sup>6</sup> <br>| (0.2)% |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | **100%** |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

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| | |
|:---|:---|
| 1 | *See the Fund's Prospectus and Statement of Additional Information for a description of these security types.* |
| 2 | *Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements.* |
| 3 | *Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts may consist of futures, forwards,* <br> *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* <br> *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* <br> *complete information regarding the Fund's direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values* <br> *or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report.*<br>|
| 4 | *Represents less than 0.1%.* |
| 5 | *Represents cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds, other money market instruments and/or* <br> *repurchase agreements.*<br>|
| 6 | *Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities.* |

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Annual Shareholder Report

**4**

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Portfolio of Investments

December 31, 2022

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| | | |
|:---|:---|:---|
| **Principal** <br>**Amount** <br>**or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—95.3% |  |
|  | **Basic Industry - Chemicals—0.4%** |  |
| $90000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | $81776 |
| &nbsp;&nbsp; 200000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | &nbsp;&nbsp; 185579 |
| &nbsp;&nbsp; 300000 | RPM International, Inc., Sr. Unsecd. Note, 5.250%, 6/1/2045 | &nbsp;&nbsp; 259753 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 527108 |
|  | **Basic Industry - Metals & Mining—1.8%** |  |
| &nbsp;&nbsp; 600000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031 | &nbsp;&nbsp; 491351 |
| &nbsp;&nbsp; 400000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 3.625%, 9/11/2024 | &nbsp;&nbsp; 387288 |
| &nbsp;&nbsp; 235000 | AngloGold Ashanti Holdings PLC, Sr. Note, 6.500%, 4/15/2040 | &nbsp;&nbsp; 225705 |
| &nbsp;&nbsp; 400000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | &nbsp;&nbsp; 352900 |
| &nbsp;&nbsp; 350000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 2.625%, 9/23/2031 | &nbsp;&nbsp; 279688 |
| &nbsp;&nbsp; 200000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051 | &nbsp;&nbsp; 130569 |
| &nbsp;&nbsp; 225000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | &nbsp;&nbsp; 224963 |
| &nbsp;&nbsp; 250000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | &nbsp;&nbsp; 279660 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 2372124 |
|  | **Basic Industry - Paper—0.1%** |  |
| &nbsp;&nbsp; 100000 | Weyerhaeuser Co., Sr. Unsecd. Note, 7.375%, 3/15/2032 | &nbsp;&nbsp; 110851 |
|  | **Capital Goods - Aerospace & Defense—4.4%** |  |
| &nbsp;&nbsp; 230000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | &nbsp;&nbsp; 221998 |
| &nbsp;&nbsp; 500000 | BAE Systems PLC, Sr. Unsecd. Note, 144A, 3.000%, 9/15/2050 | &nbsp;&nbsp; 325784 |
| &nbsp;&nbsp; 360000 | Boeing Co., Sr. Unsecd. Note, 2.196%, 2/4/2026 | &nbsp;&nbsp; 327481 |
| &nbsp;&nbsp; 300000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | &nbsp;&nbsp; 271225 |
| &nbsp;&nbsp; 995000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | &nbsp;&nbsp; 844871 |
| &nbsp;&nbsp; 425000 | Boeing Co., Sr. Unsecd. Note, 3.250%, 2/1/2035 | &nbsp;&nbsp; 324488 |
| &nbsp;&nbsp; 745000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | &nbsp;&nbsp; 503548 |
| &nbsp;&nbsp; 175000 | Boeing Co., Sr. Unsecd. Note, 5.705%, 5/1/2040 | &nbsp;&nbsp; 167624 |
| &nbsp;&nbsp; 360000 | Embraer Netherlands BV, Sr. Unsecd. Note, 5.050%, 6/15/2025 | &nbsp;&nbsp; 350003 |
| &nbsp;&nbsp; 170000 | Hexcel Corp., Sr. Unsecd. Note, 4.200%, 2/15/2027 | &nbsp;&nbsp; 157240 |
| &nbsp;&nbsp; 740000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | &nbsp;&nbsp; 672856 |
| &nbsp;&nbsp; 125000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025 | &nbsp;&nbsp; 120166 |
| &nbsp;&nbsp; 350000 | Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030 | &nbsp;&nbsp; 316424 |
| &nbsp;&nbsp; 600000 | Raytheon Technologies Corp., Sr. Unsecd. Note, 4.125%, 11/16/2028 | &nbsp;&nbsp; 575495 |
| &nbsp;&nbsp; 350000 | Raytheon Technologies Corp., Sr. Unsecd. Note, 4.150%, 5/15/2045 | &nbsp;&nbsp; 293514 |
| &nbsp;&nbsp; 136000<br><sup>1</sup> <br>| Textron Financial Corp., Jr. Sub. Note, 144A, 6.341% (3-month USLIBOR +1.735%), 2/15/2042 | &nbsp;&nbsp; 97580 |
| &nbsp;&nbsp; 370000 | Textron, Inc., Sr. Unsecd. Note, 2.450%, 3/15/2031 | &nbsp;&nbsp; 297074 |
| &nbsp;&nbsp; 50000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | &nbsp;&nbsp; 49343 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 5916714 |
|  | **Capital Goods - Building Materials—0.8%** |  |
| &nbsp;&nbsp; 100000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | &nbsp;&nbsp; 86381 |
| &nbsp;&nbsp; 125000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | &nbsp;&nbsp; 120287 |
| &nbsp;&nbsp; 620000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | &nbsp;&nbsp; 560591 |
| &nbsp;&nbsp; 235000 | Carrier Global Corp., Sr. Unsecd. Note, 2.700%, 2/15/2031 | &nbsp;&nbsp; 194524 |
| &nbsp;&nbsp; 170000 | Masco Corp., Sr. Unsecd. Note, 4.500%, 5/15/2047 | &nbsp;&nbsp; 133681 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 1095464 |
|  | **Capital Goods - Construction Machinery—1.2%** |  |
| &nbsp;&nbsp; 450000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.450%, 7/15/2026 | &nbsp;&nbsp; 397183 |
| &nbsp;&nbsp; 445000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | &nbsp;&nbsp; 417566 |

---

Annual Shareholder Report

**5**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Capital Goods - Construction Machinery—continued** |  |
| $895000 | Weir Group PLC/The, Sr. Unsecd. Note, 144A, 2.200%, 5/13/2026 | $794773 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 1609522 |
|  | **Capital Goods - Diversified Manufacturing—1.6%** |  |
| &nbsp;&nbsp; 155000 | Otis Worldwide Corp., Sr. Unsecd. Note, Series WI, 2.565%, 2/15/2030 | &nbsp;&nbsp; 130575 |
| &nbsp;&nbsp; 300000 | Roper Technologies, Inc., Sr. Unsecd. Note, 1.400%, 9/15/2027 | &nbsp;&nbsp; 254257 |
| &nbsp;&nbsp; 110000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.950%, 9/15/2029 | &nbsp;&nbsp; 95902 |
| &nbsp;&nbsp; 60000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.850%, 12/15/2025 | &nbsp;&nbsp; 58276 |
| &nbsp;&nbsp; 245000 | Roper Technologies, Inc., Sr. Unsecd. Note, 4.200%, 9/15/2028 | &nbsp;&nbsp; 237126 |
| &nbsp;&nbsp; 80000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044 | &nbsp;&nbsp; 69122 |
| &nbsp;&nbsp; 390000 | Valmont Industries, Inc., Sr. Unsecd. Note, 5.250%, 10/1/2054 | &nbsp;&nbsp; 331053 |
| &nbsp;&nbsp; 335000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 1.800%, 4/1/2026 | &nbsp;&nbsp; 283785 |
| &nbsp;&nbsp; 500000 | Vontier Corp., Sr. Unsecd. Note, Series WI, 2.950%, 4/1/2031 | &nbsp;&nbsp; 362026 |
| &nbsp;&nbsp; 160000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | &nbsp;&nbsp; 150781 |
| &nbsp;&nbsp; 285000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | &nbsp;&nbsp; 231884 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 2204787 |
|  | **Capital Goods - Packaging—0.4%** |  |
| &nbsp;&nbsp; 180000 | Packaging Corp., of America, Sr. Unsecd. Note, 3.650%, 9/15/2024 | &nbsp;&nbsp; 175484 |
| &nbsp;&nbsp; 220000 | Sonoco Products Co., Sr. Unsecd. Note, 5.750%, 11/1/2040 | &nbsp;&nbsp; 211775 |
| &nbsp;&nbsp; 150000 | WestRock Co., Sr. Unsecd. Note, Series WI, 4.000%, 3/15/2028 | &nbsp;&nbsp; 139852 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 527111 |
|  | **Communications - Cable & Satellite—2.0%** |  |
| &nbsp;&nbsp; 440000 | CCO Safari II LLC, 6.484%, 10/23/2045 | &nbsp;&nbsp; 398650 |
| &nbsp;&nbsp; 600000 | Charter Communications, Inc., 4.200%, 3/15/2028 | &nbsp;&nbsp; 552520 |
| &nbsp;&nbsp; 380000 | Charter Communications Operating LLC, 5.375%, 5/1/2047 | &nbsp;&nbsp; 299592 |
| &nbsp;&nbsp; 250000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061 | &nbsp;&nbsp; 145471 |
| &nbsp;&nbsp; 500000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 4.800%, 3/1/2050 | &nbsp;&nbsp; 364944 |
| &nbsp;&nbsp; 865000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Term Loan - 1st Lien, <br> 3.900%, 6/1/2052<br>| &nbsp;&nbsp; 546275 |
| &nbsp;&nbsp; 165000 | Cox Communications, Inc., Sr. Unsecd. Note, 144A, 3.350%, 9/15/2026 | &nbsp;&nbsp; 154488 |
| &nbsp;&nbsp; 300000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | &nbsp;&nbsp; 250088 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 2712028 |
|  | **Communications - Media & Entertainment—3.4%** |  |
| &nbsp;&nbsp; 500000 | Discovery Communications LLC, Sr. Unsecd. Note, 4.650%, 5/15/2050 | &nbsp;&nbsp; 345712 |
| &nbsp;&nbsp; 135000 | Fox Corp., Sr. Unsecd. Note, Series WI, 4.709%, 1/25/2029 | &nbsp;&nbsp; 130730 |
| &nbsp;&nbsp; 375000 | Fox Corp., Sr. Unsecd. Note, Series WI, 5.576%, 1/25/2049 | &nbsp;&nbsp; 336384 |
| &nbsp;&nbsp; 950000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 5/13/2045 | &nbsp;&nbsp; 812609 |
| &nbsp;&nbsp; 167000 | Grupo Televisa S.A., Sr. Unsecd. Note, 6.625%, 3/18/2025 | &nbsp;&nbsp; 169797 |
| &nbsp;&nbsp; 300000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 2.400%, 3/1/2031 | &nbsp;&nbsp; 237501 |
| &nbsp;&nbsp; 495000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 3.375%, 3/1/2041 | &nbsp;&nbsp; 349114 |
| &nbsp;&nbsp; 850000 | Netflix, Inc., Sr. Unsecd. Note, 4.875%, 4/15/2028 | &nbsp;&nbsp; 822661 |
| &nbsp;&nbsp; 300000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.450%, 4/30/2030 | &nbsp;&nbsp; 249142 |
| &nbsp;&nbsp; 300000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.600%, 8/1/2031 | &nbsp;&nbsp; 246233 |
| &nbsp;&nbsp; 200000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.650%, 11/1/2024 | &nbsp;&nbsp; 196225 |
| &nbsp;&nbsp; 190000 | Paramount Global, Sr. Unsecd. Note, 3.700%, 6/1/2028 | &nbsp;&nbsp; 169807 |
| &nbsp;&nbsp; 475000 | Paramount Global, Sr. Unsecd. Note, 4.200%, 5/19/2032 | &nbsp;&nbsp; 389976 |
| &nbsp;&nbsp; 200000 | Paramount Global, Sr. Unsecd. Note, 4.900%, 8/15/2044 | &nbsp;&nbsp; 146823 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 4602714 |
|  | **Communications - Telecom Wireless—4.1%** |  |
| &nbsp;&nbsp; 450000 | American Tower Corp., Sr. Unsecd. Note, 1.450%, 9/15/2026 | &nbsp;&nbsp; 393221 |
| &nbsp;&nbsp; 300000 | American Tower Corp., Sr. Unsecd. Note, 2.100%, 6/15/2030 | &nbsp;&nbsp; 238126 |

---

Annual Shareholder Report

**6**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Communications - Telecom Wireless—continued** |  |
| $300000 | American Tower Corp., Sr. Unsecd. Note, 3.100%, 6/15/2050 | $190010 |
| &nbsp;&nbsp; 250000 | American Tower Corp., Sr. Unsecd. Note, 3.800%, 8/15/2029 | &nbsp;&nbsp; 227335 |
| &nbsp;&nbsp; 100000<br><sup>2</sup> <br>| American Tower Corp., Sr. Unsecd. Note, 4.400%, 2/15/2026 | &nbsp;&nbsp; 97560 |
| &nbsp;&nbsp; 200000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | &nbsp;&nbsp; 199352 |
| &nbsp;&nbsp; 280000 | Bell Canada, Sr. Unsecd. Note, 4.464%, 4/1/2048 | &nbsp;&nbsp; 239884 |
| &nbsp;&nbsp; 300000 | Crown Castle Inc., Sr. Unsecd. Note, 2.250%, 1/15/2031 | &nbsp;&nbsp; 241385 |
| &nbsp;&nbsp; 400000 | Crown Castle International Corp., Sr. Unsecd. Note, 4.450%, 2/15/2026 | &nbsp;&nbsp; 391369 |
| &nbsp;&nbsp; 200000 | Crown Castle International Corp., Sr. Unsecd. Note, 5.200%, 2/15/2049 | &nbsp;&nbsp; 180805 |
| &nbsp;&nbsp; 300000 | TELUS Corp., Sr. Unsecd. Note, 2.800%, 2/16/2027 | &nbsp;&nbsp; 277579 |
| &nbsp;&nbsp; 500000 | T-Mobile USA, Inc., Series WI, 2.700%, 3/15/2032 | &nbsp;&nbsp; 405300 |
| &nbsp;&nbsp; 600000 | T-Mobile USA, Inc., Series WI, 3.875%, 4/15/2030 | &nbsp;&nbsp; 544896 |
| &nbsp;&nbsp; 415000 | T-Mobile USA, Inc., Sec. Fac. Bond, 4.500%, 4/15/2050 | &nbsp;&nbsp; 343241 |
| &nbsp;&nbsp; 550000 | T-Mobile USA, Inc., Series WI, 3.000%, 2/15/2041 | &nbsp;&nbsp; 390177 |
| &nbsp;&nbsp; 180000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.650%, 1/15/2053 | &nbsp;&nbsp; 175253 |
| &nbsp;&nbsp; 230000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | &nbsp;&nbsp; 226551 |
| &nbsp;&nbsp; 350000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.250%, 9/17/2050 | &nbsp;&nbsp; 268513 |
| &nbsp;&nbsp; 580000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | &nbsp;&nbsp; 513642 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 5544199 |
|  | **Communications - Telecom Wirelines—6.7%** |  |
| &nbsp;&nbsp; 400000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | &nbsp;&nbsp; 360941 |
| &nbsp;&nbsp; 877000 | AT&T, Inc., Sr. Unsecd. Note, 2.550%, 12/1/2033 | &nbsp;&nbsp; 676553 |
| &nbsp;&nbsp; 350000 | AT&T, Inc., Sr. Unsecd. Note, 2.750%, 6/1/2031 | &nbsp;&nbsp; 290932 |
| &nbsp;&nbsp; 300000 | AT&T, Inc., Sr. Unsecd. Note, 3.500%, 6/1/2041 | &nbsp;&nbsp; 224891 |
| &nbsp;&nbsp; 1000000 | AT&T, Inc., Sr. Unsecd. Note, 3.650%, 6/1/2051 | &nbsp;&nbsp; 708831 |
| &nbsp;&nbsp; 255000 | AT&T, Inc., Sr. Unsecd. Note, 3.850%, 6/1/2060 | &nbsp;&nbsp; 178117 |
| &nbsp;&nbsp; 500000 | AT&T, Inc., Sr. Unsecd. Note, 4.300%, 2/15/2030 | &nbsp;&nbsp; 471982 |
| &nbsp;&nbsp; 500000 | AT&T, Inc., Sr. Unsecd. Note, 4.350%, 3/1/2029 | &nbsp;&nbsp; 476539 |
| &nbsp;&nbsp; 400000 | AT&T, Inc., Sr. Unsecd. Note, 5.450%, 3/1/2047 | &nbsp;&nbsp; 376675 |
| &nbsp;&nbsp; 245000 | AT&T, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2041 | &nbsp;&nbsp; 256235 |
| &nbsp;&nbsp; 545000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | &nbsp;&nbsp; 484218 |
| &nbsp;&nbsp; 815000 | Rogers Communications, Inc., Sr. Unsecd. Note, 144A, 4.500%, 3/15/2042 | &nbsp;&nbsp; 667603 |
| &nbsp;&nbsp; 40000 | Telefonica SA, Company Guarantee, 7.045%, 6/20/2036 | &nbsp;&nbsp; 41159 |
| &nbsp;&nbsp; 680000 | Verizon Communications, Inc., Sr. Unsecd. Note, 1.450%, 3/20/2026 | &nbsp;&nbsp; 611235 |
| &nbsp;&nbsp; 400000 | Verizon Communications, Inc., Sr. Unsecd. Note, 2.550%, 3/21/2031 | &nbsp;&nbsp; 329931 |
| &nbsp;&nbsp; 1785000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041 | &nbsp;&nbsp; 1349207 |
| &nbsp;&nbsp; 30000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.000%, 3/22/2050 | &nbsp;&nbsp; 23618 |
| &nbsp;&nbsp; 390000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | &nbsp;&nbsp; 311639 |
| &nbsp;&nbsp; 750000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 3/16/2027 | &nbsp;&nbsp; 731618 |
| &nbsp;&nbsp; 500000 | Verizon Communications, Inc., Sr. Unsecd. Note, Series WI, 1.680%, 10/30/2030 | &nbsp;&nbsp; 390893 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 8962817 |
|  | **Consumer Cyclical - Automotive—5.1%** |  |
| &nbsp;&nbsp; 650000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.000%, 12/14/2026 | &nbsp;&nbsp; 573596 |
| &nbsp;&nbsp; 175000 | Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028 | &nbsp;&nbsp; 147386 |
| &nbsp;&nbsp; 200000 | General Motors Co., Sr. Unsecd. Note, 4.000%, 4/1/2025 | &nbsp;&nbsp; 195249 |
| &nbsp;&nbsp; 455000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | &nbsp;&nbsp; 371672 |
| &nbsp;&nbsp; 110000 | General Motors Co., Sr. Unsecd. Note, 6.750%, 4/1/2046 | &nbsp;&nbsp; 105961 |
| &nbsp;&nbsp; 750000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 1.500%, 6/10/2026 | &nbsp;&nbsp; 652219 |
| &nbsp;&nbsp; 750000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028 | &nbsp;&nbsp; 632070 |
| &nbsp;&nbsp; 50000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.700%, 8/20/2027 | &nbsp;&nbsp; 43785 |
| &nbsp;&nbsp; 400000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 3.950%, 4/13/2024 | &nbsp;&nbsp; 392319 |

---

Annual Shareholder Report

**7**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Consumer Cyclical - Automotive—continued** |  |
| $250000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.300%, 7/13/2025 | $242355 |
| &nbsp;&nbsp; 300000 | General Motors Financial Co., Inc., Unsecd. Note, 3.500%, 11/7/2024 | &nbsp;&nbsp; 289106 |
| &nbsp;&nbsp; 600000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 1.000%, 9/17/2024 | &nbsp;&nbsp; 554726 |
| &nbsp;&nbsp; 380000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.000%, 6/15/2028 | &nbsp;&nbsp; 310176 |
| &nbsp;&nbsp; 235000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | &nbsp;&nbsp; 234480 |
| &nbsp;&nbsp; 1200000 | Nissan Motor Acceptance Company LLC., Sr. Unsecd. Note, 144A, 1.850%, 9/16/2026 | &nbsp;&nbsp; 1003254 |
| &nbsp;&nbsp; 400000 | Stellantis Finance US, Inc., Sr. Unsecd. Note, 144A, 1.711%, 1/29/2027 | &nbsp;&nbsp; 343775 |
| &nbsp;&nbsp; 400000 | Stellantis Finance US, Inc., Sr. Unsecd. Note, 144A, 2.691%, 9/15/2031 | &nbsp;&nbsp; 306148 |
| &nbsp;&nbsp; 470000 | Stellantis N.V., Sr. Unsecd. Note, 5.250%, 4/15/2023 | &nbsp;&nbsp; 470423 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 6868700 |
|  | **Consumer Cyclical - Leisure—0.6%** |  |
| &nbsp;&nbsp; 500000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 144A, 4.279%, 3/15/2032 | &nbsp;&nbsp; 413134 |
| &nbsp;&nbsp; 510000 | Warnermedia Holdings, Inc., Sr. Unsecd. Note, 144A, 5.050%, 3/15/2042 | &nbsp;&nbsp; 391998 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 805132 |
|  | **Consumer Cyclical - Retailers—3.3%** |  |
| &nbsp;&nbsp; 150000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, 1.750%, 10/1/2027 | &nbsp;&nbsp; 126155 |
| &nbsp;&nbsp; 675000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | &nbsp;&nbsp; 593134 |
| &nbsp;&nbsp; 600000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | &nbsp;&nbsp; 424383 |
| &nbsp;&nbsp; 130000 | AutoNation, Inc., Sr. Unsecd. Note, 4.500%, 10/1/2025 | &nbsp;&nbsp; 126586 |
| &nbsp;&nbsp; 185000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | &nbsp;&nbsp; 165477 |
| &nbsp;&nbsp; 55000 | AutoZone, Inc., Sr. Unsecd. Note, 3.125%, 4/21/2026 | &nbsp;&nbsp; 52014 |
| &nbsp;&nbsp; 345000<br><sup>2</sup> <br>| AutoZone, Inc., Sr. Unsecd. Note, 4.000%, 4/15/2030 | &nbsp;&nbsp; 320278 |
| &nbsp;&nbsp; 400000 | CVS Health Corp., Sr. Unsecd. Note, 2.875%, 6/1/2026 | &nbsp;&nbsp; 373888 |
| &nbsp;&nbsp; 50000 | CVS Health Corp., Sr. Unsecd. Note, 3.875%, 7/20/2025 | &nbsp;&nbsp; 48840 |
| &nbsp;&nbsp; 880000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | &nbsp;&nbsp; 794319 |
| &nbsp;&nbsp; 520000 | CVS Health Corp., Sr. Unsecd. Note, 5.125%, 7/20/2045 | &nbsp;&nbsp; 476472 |
| &nbsp;&nbsp; 300000 | Dollar General Corp., Sr. Unsecd. Note, 4.125%, 5/1/2028 | &nbsp;&nbsp; 286193 |
| &nbsp;&nbsp; 610000<br><sup>2</sup> <br>| O'Reilly Automotive, Inc., Sr. Unsecd. Note, 1.750%, 3/15/2031 | &nbsp;&nbsp; 474954 |
| &nbsp;&nbsp; 160000 | O'Reilly Automotive, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2030 | &nbsp;&nbsp; 151398 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 4414091 |
|  | **Consumer Non-Cyclical - Food/Beverage—6.7%** |  |
| &nbsp;&nbsp; 1000000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | &nbsp;&nbsp; 914116 |
| &nbsp;&nbsp; 100000 | Anheuser-Busch InBev Finance, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | &nbsp;&nbsp; 91412 |
| &nbsp;&nbsp; 300000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.350%, 6/1/2040 | &nbsp;&nbsp; 264914 |
| &nbsp;&nbsp; 500000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.439%, 10/6/2048 | &nbsp;&nbsp; 429577 |
| &nbsp;&nbsp; 500000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029 | &nbsp;&nbsp; 494618 |
| &nbsp;&nbsp; 125000 | Bacardi Ltd., Sr. Unsecd. Note, 144A, 2.750%, 7/15/2026 | &nbsp;&nbsp; 113117 |
| &nbsp;&nbsp; 650000 | Coca-Cola European Partners PLC, Sr. Unsecd. Note, 144A, 1.500%, 1/15/2027 | &nbsp;&nbsp; 563067 |
| &nbsp;&nbsp; 710000 | Conagra Brands, Inc., Sr. Unsecd. Note, 1.375%, 11/1/2027 | &nbsp;&nbsp; 592594 |
| &nbsp;&nbsp; 250000 | Constellation Brands, Inc., Sr. Unsecd. Note, 5.250%, 11/15/2048 | &nbsp;&nbsp; 235737 |
| &nbsp;&nbsp; 135000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | &nbsp;&nbsp; 109017 |
| &nbsp;&nbsp; 210000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | &nbsp;&nbsp; 196855 |
| &nbsp;&nbsp; 445000 | General Mills, Inc., Sr. Unsecd. Note, 3.000%, 2/1/2051 | &nbsp;&nbsp; 306398 |
| &nbsp;&nbsp; 200000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | &nbsp;&nbsp; 195981 |
| &nbsp;&nbsp; 150000 | Heineken NV, Sr. Unsecd. Note, 144A, 4.350%, 3/29/2047 | &nbsp;&nbsp; 121147 |
| &nbsp;&nbsp; 110000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.832%, 10/15/2027 | &nbsp;&nbsp; 92491 |
| &nbsp;&nbsp; 300000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 2.300%, 11/1/2030 | &nbsp;&nbsp; 238700 |
| &nbsp;&nbsp; 255000 | JDE Peet's B.V., Sr. Unsecd. Note, 144A, 0.800%, 9/24/2024 | &nbsp;&nbsp; 233065 |
| &nbsp;&nbsp; 250000 | Kerry Group Financial Services, Sr. Unsecd. Note, 144A, 3.200%, 4/9/2023 | &nbsp;&nbsp; 247643 |
| &nbsp;&nbsp; 53000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | &nbsp;&nbsp; 52448 |

---

Annual Shareholder Report

**8**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Consumer Non-Cyclical - Food/Beverage—continued** |  |
| $750000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | $612893 |
| &nbsp;&nbsp; 190000<br><sup>2</sup> <br>| McCormick & Co., Inc., Sr. Unsecd. Note, 1.850%, 2/15/2031 | &nbsp;&nbsp; 147338 |
| &nbsp;&nbsp; 250000 | McCormick & Co., Inc., Sr. Unsecd. Note, 3.400%, 8/15/2027 | &nbsp;&nbsp; 233276 |
| &nbsp;&nbsp; 500000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 2.625%, 9/13/2031 | &nbsp;&nbsp; 358842 |
| &nbsp;&nbsp; 300000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | &nbsp;&nbsp; 229050 |
| &nbsp;&nbsp; 300000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027 | &nbsp;&nbsp; 276691 |
| &nbsp;&nbsp; 350000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 2.375%, 3/15/2030 | &nbsp;&nbsp; 290708 |
| &nbsp;&nbsp; 300000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 3.500%, 3/15/2025 | &nbsp;&nbsp; 290490 |
| &nbsp;&nbsp; 400000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | &nbsp;&nbsp; 330178 |
| &nbsp;&nbsp; 200000 | Tyson Foods, Inc., 3.950%, 8/15/2024 | &nbsp;&nbsp; 196904 |
| &nbsp;&nbsp; 585000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.550%, 6/2/2027 | &nbsp;&nbsp; 549241 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 9008508 |
|  | **Consumer Non-Cyclical - Health Care—1.9%** |  |
| &nbsp;&nbsp; 350000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.600%, 5/27/2030 | &nbsp;&nbsp; 298138 |
| &nbsp;&nbsp; 220000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 3.000%, 9/23/2029 | &nbsp;&nbsp; 192064 |
| &nbsp;&nbsp; 55000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | &nbsp;&nbsp; 53674 |
| &nbsp;&nbsp; 300000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.669%, 6/6/2047 | &nbsp;&nbsp; 265511 |
| &nbsp;&nbsp; 179000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | &nbsp;&nbsp; 160863 |
| &nbsp;&nbsp; 295000 | Danaher Corp., Sr. Unsecd. Note, 2.600%, 10/1/2050 | &nbsp;&nbsp; 189484 |
| &nbsp;&nbsp; 145000 | GE Healthcare Holding LLC, Sr. Unsecd. Note, 144A, 6.377%, 11/22/2052 | &nbsp;&nbsp; 154888 |
| &nbsp;&nbsp; 1500000 | HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051 | &nbsp;&nbsp; 968416 |
| &nbsp;&nbsp; 335000 | PerkinElmer, Inc., Sr. Unsecd. Note, 0.850%, 9/15/2024 | &nbsp;&nbsp; 310652 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 2593690 |
|  | **Consumer Non-Cyclical - Pharmaceuticals—2.4%** |  |
| &nbsp;&nbsp; 955000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | &nbsp;&nbsp; 863082 |
| &nbsp;&nbsp; 750000 | Amgen, Inc., Sr. Unsecd. Note, 2.450%, 2/21/2030 | &nbsp;&nbsp; 632762 |
| &nbsp;&nbsp; 185000 | AstraZeneca PLC, Sr. Unsecd. Note, 1.375%, 8/6/2030 | &nbsp;&nbsp; 146583 |
| &nbsp;&nbsp; 300000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.625%, 6/25/2038 | &nbsp;&nbsp; 262173 |
| &nbsp;&nbsp; 300000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.875%, 6/25/2048 | &nbsp;&nbsp; 260150 |
| &nbsp;&nbsp; 600000 | Biogen, Inc., Sr. Unsecd. Note, 3.150%, 5/1/2050 | &nbsp;&nbsp; 392590 |
| &nbsp;&nbsp; 375000 | Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 2.050%, 3/31/2030 | &nbsp;&nbsp; 306930 |
| &nbsp;&nbsp; 500000 | Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 3.025%, 7/9/2040 | &nbsp;&nbsp; 368867 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 3233137 |
|  | **Consumer Non-Cyclical - Supermarkets—0.4%** |  |
| &nbsp;&nbsp; 300000 | Kroger Co., Bond, 6.900%, 4/15/2038 | &nbsp;&nbsp; 329929 |
| &nbsp;&nbsp; 250000 | Kroger Co., Sr. Unsecd. Note, 3.950%, 1/15/2050 | &nbsp;&nbsp; 195285 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 525214 |
|  | **Consumer Non-Cyclical - Tobacco—1.8%** |  |
| &nbsp;&nbsp; 500000 | Altria Group, Inc., Sr. Unsecd. Note, 3.700%, 2/4/2051 | &nbsp;&nbsp; 315035 |
| &nbsp;&nbsp; 650000 | Altria Group, Inc., Sr. Unsecd. Note, 3.875%, 9/16/2046 | &nbsp;&nbsp; 437042 |
| &nbsp;&nbsp; 200000 | Altria Group, Inc., Sr. Unsecd. Note, 4.800%, 2/14/2029 | &nbsp;&nbsp; 192323 |
| &nbsp;&nbsp; 325000 | BAT Capital Corp., Sr. Unsecd. Note, 2.259%, 3/25/2028 | &nbsp;&nbsp; 270264 |
| &nbsp;&nbsp; 500000 | BAT Capital Corp., Sr. Unsecd. Note, Series WI, 3.557%, 8/15/2027 | &nbsp;&nbsp; 457575 |
| &nbsp;&nbsp; 200000 | BAT Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047 | &nbsp;&nbsp; 142067 |
| &nbsp;&nbsp; 300000 | Reynolds American, Inc., Sr. Unsecd. Note, 5.850%, 8/15/2045 | &nbsp;&nbsp; 256778 |
| &nbsp;&nbsp; 300000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | &nbsp;&nbsp; 297904 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 2368988 |
|  | **Energy - Independent—2.1%** |  |
| &nbsp;&nbsp; 250000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.050%, 7/15/2025 | &nbsp;&nbsp; 232819 |
| &nbsp;&nbsp; 590000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 3.800%, 4/15/2024 | &nbsp;&nbsp; 578469 |

---

Annual Shareholder Report

**9**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Energy - Independent—continued** |  |
| $390000 | Coterra Energy, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 5/15/2027 | $364750 |
| &nbsp;&nbsp; 175000 | Coterra Energy, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 3/15/2029 | &nbsp;&nbsp; 165729 |
| &nbsp;&nbsp; 190000 | Diamondback Energy, Inc., Sr. Unsecd. Note, 6.250%, 3/15/2033 | &nbsp;&nbsp; 193437 |
| &nbsp;&nbsp; 685000 | Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041 | &nbsp;&nbsp; 650511 |
| &nbsp;&nbsp; 200000 | Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027 | &nbsp;&nbsp; 191316 |
| &nbsp;&nbsp; 500000 | Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2031 | &nbsp;&nbsp; 396379 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 2773410 |
|  | **Energy - Integrated—1.1%** |  |
| &nbsp;&nbsp; 605000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 3.750%, 2/15/2052 | &nbsp;&nbsp; 427543 |
| &nbsp;&nbsp; 300000 | Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027 | &nbsp;&nbsp; 287193 |
| &nbsp;&nbsp; 240000 | Husky Energy, Inc., Sr. Unsecd. Note, 4.400%, 4/15/2029 | &nbsp;&nbsp; 222190 |
| &nbsp;&nbsp; 100000 | Petro-Canada, Bond, 5.350%, 7/15/2033 | &nbsp;&nbsp; 94090 |
| &nbsp;&nbsp; 130000 | Petroleos Mexicanos, Sr. Unsecd. Note, 6.500%, 3/13/2027 | &nbsp;&nbsp; 118861 |
| &nbsp;&nbsp; 500000 | Suncor Energy, Inc., Sr. Unsecd. Note, 3.750%, 3/4/2051 | &nbsp;&nbsp; 361476 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 1511353 |
|  | **Energy - Midstream—5.7%** |  |
| &nbsp;&nbsp; 130000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.400%, 2/15/2031 | &nbsp;&nbsp; 109048 |
| &nbsp;&nbsp; 165000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.600%, 9/1/2032 | &nbsp;&nbsp; 136990 |
| &nbsp;&nbsp; 400000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | &nbsp;&nbsp; 377344 |
| &nbsp;&nbsp; 100000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2025 | &nbsp;&nbsp; 98567 |
| &nbsp;&nbsp; 100000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 5.800%, 6/1/2045 | &nbsp;&nbsp; 96954 |
| &nbsp;&nbsp; 50000 | Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2029 | &nbsp;&nbsp; 43273 |
| &nbsp;&nbsp; 65000 | Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.900%, 11/15/2049 | &nbsp;&nbsp; 46210 |
| &nbsp;&nbsp; 725000 | Energy Transfer Operating, Sr. Unsecd. Note, 5.000%, 5/15/2050 | &nbsp;&nbsp; 582457 |
| &nbsp;&nbsp; 250000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 5.300%, 4/15/2047 | &nbsp;&nbsp; 209224 |
| &nbsp;&nbsp; 250000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 6.125%, 12/15/2045 | &nbsp;&nbsp; 232454 |
| &nbsp;&nbsp; 550000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.700%, 1/31/2051 | &nbsp;&nbsp; 399031 |
| &nbsp;&nbsp; 200000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.250%, 2/15/2048 | &nbsp;&nbsp; 161430 |
| &nbsp;&nbsp; 500000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.850%, 3/15/2044 | &nbsp;&nbsp; 443141 |
| &nbsp;&nbsp; 400000 | Kinder Morgan Energy Partners LP, 4.250%, 9/1/2024 | &nbsp;&nbsp; 393453 |
| &nbsp;&nbsp; 495000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | &nbsp;&nbsp; 491806 |
| &nbsp;&nbsp; 300000 | Kinder Morgan, Inc., 5.050%, 2/15/2046 | &nbsp;&nbsp; 255782 |
| &nbsp;&nbsp; 300000 | Kinder Morgan, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2028 | &nbsp;&nbsp; 287925 |
| &nbsp;&nbsp; 350000 | MPLX LP, Sr. Unsecd. Note, 2.650%, 8/15/2030 | &nbsp;&nbsp; 284429 |
| &nbsp;&nbsp; 395000 | MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027 | &nbsp;&nbsp; 373667 |
| &nbsp;&nbsp; 200000 | MPLX LP, Sr. Unsecd. Note, 4.900%, 4/15/2058 | &nbsp;&nbsp; 157646 |
| &nbsp;&nbsp; 500000 | MPLX LP, Sr. Unsecd. Note, 4.950%, 3/14/2052 | &nbsp;&nbsp; 410801 |
| &nbsp;&nbsp; 80000 | MPLX LP, Sr. Unsecd. Note, Series WI, 4.250%, 12/1/2027 | &nbsp;&nbsp; 75731 |
| &nbsp;&nbsp; 400000 | ONEOK, Inc., Sr. Unsecd. Note, 3.100%, 3/15/2030 | &nbsp;&nbsp; 336079 |
| &nbsp;&nbsp; 500000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | &nbsp;&nbsp; 404998 |
| &nbsp;&nbsp; 180000 | Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033 | &nbsp;&nbsp; 155378 |
| &nbsp;&nbsp; 290000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | &nbsp;&nbsp; 273727 |
| &nbsp;&nbsp; 290000 | Williams Partners LP, Sr. Unsecd. Note, 3.900%, 1/15/2025 | &nbsp;&nbsp; 282637 |
| &nbsp;&nbsp; 650000 | Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045 | &nbsp;&nbsp; 555851 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 7676033 |
|  | **Energy - Refining—1.5%** |  |
| &nbsp;&nbsp; 200000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 3.625%, 9/15/2024 | &nbsp;&nbsp; 194756 |
| &nbsp;&nbsp; 225000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044 | &nbsp;&nbsp; 188865 |
| &nbsp;&nbsp; 150000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 6.500%, 3/1/2041 | &nbsp;&nbsp; 154762 |
| &nbsp;&nbsp; 245000 | Phillips 66, Sr. Unsecd. Note, 1.300%, 2/15/2026 | &nbsp;&nbsp; 219760 |

---

Annual Shareholder Report

**10**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Energy - Refining—continued** |  |
| $565000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | $519023 |
| &nbsp;&nbsp; 400000 | Valero Energy Corp., Sr. Unsecd. Note, 2.800%, 12/1/2031 | &nbsp;&nbsp; 327053 |
| &nbsp;&nbsp; 140000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 4/1/2029 | &nbsp;&nbsp; 132042 |
| &nbsp;&nbsp; 400000 | Valero Energy Corp., Sr. Unsecd. Note, 4.900%, 3/15/2045 | &nbsp;&nbsp; 357039 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 2093300 |
|  | **Financial Institution - Banking—7.4%** |  |
| &nbsp;&nbsp; 410000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | &nbsp;&nbsp; 399070 |
| &nbsp;&nbsp; 400000 | Bank of America Corp., Sr. Unsecd. Note, 2.299%, 7/21/2032 | &nbsp;&nbsp; 309004 |
| &nbsp;&nbsp; 200000 | Bank of America Corp., Sub. Note, Series L, 3.950%, 4/21/2025 | &nbsp;&nbsp; 194817 |
| &nbsp;&nbsp; 575000 | Bank of America Corp., Sub. Note, Series L, 4.183%, 11/25/2027 | &nbsp;&nbsp; 546378 |
| &nbsp;&nbsp; 800000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | &nbsp;&nbsp; 783642 |
| &nbsp;&nbsp; 500000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.750%, 3/9/2027 | &nbsp;&nbsp; 475861 |
| &nbsp;&nbsp; 255000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | &nbsp;&nbsp; 251912 |
| &nbsp;&nbsp; 480000 | Citigroup, Inc., 4.125%, 7/25/2028 | &nbsp;&nbsp; 447667 |
| &nbsp;&nbsp; 250000 | Citigroup, Inc., 5.500%, 9/13/2025 | &nbsp;&nbsp; 251790 |
| &nbsp;&nbsp; 750000 | Citigroup, Inc., Sub. Note, 3.875%, 3/26/2025 | &nbsp;&nbsp; 729840 |
| &nbsp;&nbsp; 450000 | Citigroup, Inc., Sub. Note, 4.450%, 9/29/2027 | &nbsp;&nbsp; 429786 |
| &nbsp;&nbsp; 580000 | Citizens Financial Group, Inc., Sub. Note, 2.638%, 9/30/2032 | &nbsp;&nbsp; 432200 |
| &nbsp;&nbsp; 200000<br><sup>2</sup> <br>| Comerica, Inc., 3.800%, 7/22/2026 | &nbsp;&nbsp; 191217 |
| &nbsp;&nbsp; 200000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | &nbsp;&nbsp; 194685 |
| &nbsp;&nbsp; 120000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.650%, 1/25/2024 | &nbsp;&nbsp; 118236 |
| &nbsp;&nbsp; 200000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | &nbsp;&nbsp; 191902 |
| &nbsp;&nbsp; 245000 | FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | &nbsp;&nbsp; 243784 |
| &nbsp;&nbsp; 370000 | FNB Corp. (PA), Sr. Unsecd. Note, 5.150%, 8/25/2025 | &nbsp;&nbsp; 365966 |
| &nbsp;&nbsp; 500000 | Goldman Sachs Group, Inc., 5.950%, 1/15/2027 | &nbsp;&nbsp; 513965 |
| &nbsp;&nbsp; 400000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, Series DMTN, 2.383%, 7/21/2032 | &nbsp;&nbsp; 311329 |
| &nbsp;&nbsp; 900000 | Goldman Sachs Group, Inc., Sub. Note, 4.250%, 10/21/2025 | &nbsp;&nbsp; 879306 |
| &nbsp;&nbsp; 750000 | Huntington National Bank, Sr. Unsecd. Note, 4.552%, 5/17/2028 | &nbsp;&nbsp; 724831 |
| &nbsp;&nbsp; 400000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.239%, 7/21/2032 | &nbsp;&nbsp; 307836 |
| &nbsp;&nbsp; 450000 | Morgan Stanley, Sub. Note, 5.000%, 11/24/2025 | &nbsp;&nbsp; 449142 |
| &nbsp;&nbsp; 200000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | &nbsp;&nbsp; 187321 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 9931487 |
|  | **Financial Institution - Broker/Asset Mgr/Exchange—0.8%** |  |
| &nbsp;&nbsp; 575000<br><sup>2</sup> <br>| Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | &nbsp;&nbsp; 433885 |
| &nbsp;&nbsp; 200000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | &nbsp;&nbsp; 193054 |
| &nbsp;&nbsp; 200000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.000%, 5/15/2030 | &nbsp;&nbsp; 173908 |
| &nbsp;&nbsp; 300000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.250%, 7/18/2024 | &nbsp;&nbsp; 294104 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 1094951 |
|  | **Financial Institution - Finance Companies—2.0%** |  |
| &nbsp;&nbsp; 500000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 2.450%, 10/29/2026 | &nbsp;&nbsp; 437869 |
| &nbsp;&nbsp; 525000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.000%, 10/29/2028 | &nbsp;&nbsp; 440783 |
| &nbsp;&nbsp; 1300000 | AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.400%, 10/29/2033 | &nbsp;&nbsp; 989180 |
| &nbsp;&nbsp; 505000 | Air Lease Corp., Sr. Unsecd. Note, 2.200%, 1/15/2027 | &nbsp;&nbsp; 440777 |
| &nbsp;&nbsp; 500000 | Air Lease Corp., Sr. Unsecd. Note, 2.875%, 1/15/2032 | &nbsp;&nbsp; 398484 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 2707093 |
|  | **Financial Institution - Insurance - Health—0.4%** |  |
| &nbsp;&nbsp; 271000 | CIGNA Corp., Sr. Unsecd. Note, 3.750%, 7/15/2023 | &nbsp;&nbsp; 269270 |
| &nbsp;&nbsp; 250000 | CIGNA Corp., Sr. Unsecd. Note, 4.900%, 12/15/2048 | &nbsp;&nbsp; 226571 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 495841 |

---

Annual Shareholder Report

**11**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Financial Institution - Insurance - Life—0.7%** |  |
| $255000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | $252380 |
| &nbsp;&nbsp; 110000 | Lincoln National Corp., Sr. Note, 7.000%, 6/15/2040 | &nbsp;&nbsp; 115176 |
| &nbsp;&nbsp; 400000 | Lincoln National Corp., Sr. Unsecd. Note, 3.050%, 1/15/2030 | &nbsp;&nbsp; 331376 |
| &nbsp;&nbsp; 100000 | MetLife, Inc., Jr. Sub. Note, 10.750%, 8/1/2039 | &nbsp;&nbsp; 133091 |
| &nbsp;&nbsp; 50000 | Penn Mutual Life Insurance Co., Sr. Note, 144A, 7.625%, 6/15/2040 | &nbsp;&nbsp; 54158 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 886181 |
|  | **Financial Institution - Insurance - P&C—0.7%** |  |
| &nbsp;&nbsp; 500000 | CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029 | &nbsp;&nbsp; 456152 |
| &nbsp;&nbsp; 120000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 6.625%, 4/15/2042 | &nbsp;&nbsp; 124304 |
| &nbsp;&nbsp; 412000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.569%, 2/1/2029 | &nbsp;&nbsp; 385940 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 966396 |
|  | **Financial Institution - REIT - Apartment—0.5%** |  |
| &nbsp;&nbsp; 160000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | &nbsp;&nbsp; 155613 |
| &nbsp;&nbsp; 150000 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.750%, 6/15/2024 | &nbsp;&nbsp; 146971 |
| &nbsp;&nbsp; 160000 | Mid-America Apartment Communities LP, Sr. Unsub. Note, 1.700%, 2/15/2031 | &nbsp;&nbsp; 125129 |
| &nbsp;&nbsp; 80000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | &nbsp;&nbsp; 60838 |
| &nbsp;&nbsp; 200000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | &nbsp;&nbsp; 182098 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 670649 |
|  | **Financial Institution - REIT - Healthcare—1.1%** |  |
| &nbsp;&nbsp; 375000<br><sup>2</sup> <br>| Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | &nbsp;&nbsp; 284752 |
| &nbsp;&nbsp; 245000 | Healthcare Trust of America, Sr. Unsecd. Note, 3.100%, 2/15/2030 | &nbsp;&nbsp; 205109 |
| &nbsp;&nbsp; 300000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | &nbsp;&nbsp; 274545 |
| &nbsp;&nbsp; 325000 | Welltower, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2031 | &nbsp;&nbsp; 259171 |
| &nbsp;&nbsp; 500000 | Welltower, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | &nbsp;&nbsp; 459977 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 1483554 |
|  | **Financial Institution - REIT - Office—1.1%** |  |
| &nbsp;&nbsp; 65000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 1.875%, 2/1/2033 | &nbsp;&nbsp; 48509 |
| &nbsp;&nbsp; 90000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | &nbsp;&nbsp; 86133 |
| &nbsp;&nbsp; 100000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | &nbsp;&nbsp; 94065 |
| &nbsp;&nbsp; 250000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.900%, 12/15/2030 | &nbsp;&nbsp; 244215 |
| &nbsp;&nbsp; 500000 | Boston Properties LP, Sr. Unsecd. Note, 2.900%, 3/15/2030 | &nbsp;&nbsp; 409774 |
| &nbsp;&nbsp; 840000<br><sup>2</sup> <br>| Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032 | &nbsp;&nbsp; 590006 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 1472702 |
|  | **Financial Institution - REIT - Other—0.4%** |  |
| &nbsp;&nbsp; 160000 | ProLogis LP, Sr. Unsecd. Note, 4.375%, 2/1/2029 | &nbsp;&nbsp; 152940 |
| &nbsp;&nbsp; 175000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | &nbsp;&nbsp; 157611 |
| &nbsp;&nbsp; 300000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | &nbsp;&nbsp; 297294 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 607845 |
|  | **Financial Institution - REIT - Retail—0.9%** |  |
| &nbsp;&nbsp; 140000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.800%, 10/1/2026 | &nbsp;&nbsp; 128494 |
| &nbsp;&nbsp; 290000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.800%, 4/1/2027 | &nbsp;&nbsp; 271322 |
| &nbsp;&nbsp; 300000 | Regency Centers LP, Sr. Unsecd. Note, 3.700%, 6/15/2030 | &nbsp;&nbsp; 262389 |
| &nbsp;&nbsp; 170000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | &nbsp;&nbsp; 158129 |
| &nbsp;&nbsp; 460000<br><sup>2</sup> <br>| Tanger Properties LP, Sr. Unsecd. Note, 3.125%, 9/1/2026 | &nbsp;&nbsp; 418371 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 1238705 |
|  | **Technology—8.4%** |  |
| &nbsp;&nbsp; 1070000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | &nbsp;&nbsp; 997164 |
| &nbsp;&nbsp; 190000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | &nbsp;&nbsp; 170734 |
| &nbsp;&nbsp; 300000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 2.600%, 2/15/2033 | &nbsp;&nbsp; 225978 |
| &nbsp;&nbsp; 310000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.137%, 11/15/2035 | &nbsp;&nbsp; 228880 |

---

Annual Shareholder Report

**12**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Technology—continued** |  |
| $10000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036 | $7214 |
| &nbsp;&nbsp; 450000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.469%, 4/15/2034 | &nbsp;&nbsp; 360316 |
| &nbsp;&nbsp; 70000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2051 | &nbsp;&nbsp; 48628 |
| &nbsp;&nbsp; 900000 | CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026 | &nbsp;&nbsp; 800724 |
| &nbsp;&nbsp; 250000 | Dell International LLC / EMC Corp., Sr. Unsecd. Note, 4.000%, 7/15/2024 | &nbsp;&nbsp; 245844 |
| &nbsp;&nbsp; 1000000 | Dell International LLC / EMC Corp., Sr. Unsecd. Note, 5.300%, 10/1/2029 | &nbsp;&nbsp; 980286 |
| &nbsp;&nbsp; 500000 | Equifax, Inc., Sr. Unsecd. Note, 2.350%, 9/15/2031 | &nbsp;&nbsp; 389204 |
| &nbsp;&nbsp; 205000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | &nbsp;&nbsp; 195553 |
| &nbsp;&nbsp; 200000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | &nbsp;&nbsp; 184910 |
| &nbsp;&nbsp; 135000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.100%, 3/1/2041 | &nbsp;&nbsp; 93467 |
| &nbsp;&nbsp; 250000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 4.700%, 7/15/2027 | &nbsp;&nbsp; 244309 |
| &nbsp;&nbsp; 60000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 5.625%, 7/15/2052 | &nbsp;&nbsp; 55361 |
| &nbsp;&nbsp; 375000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | &nbsp;&nbsp; 338645 |
| &nbsp;&nbsp; 285000 | Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023 | &nbsp;&nbsp; 282048 |
| &nbsp;&nbsp; 450000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 4.550%, 10/30/2024 | &nbsp;&nbsp; 443427 |
| &nbsp;&nbsp; 155000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | &nbsp;&nbsp; 147927 |
| &nbsp;&nbsp; 765000 | Micron Technology, Inc., Sr. Unsecd. Note, 3.366%, 11/1/2041 | &nbsp;&nbsp; 513766 |
| &nbsp;&nbsp; 200000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.975%, 2/6/2026 | &nbsp;&nbsp; 196972 |
| &nbsp;&nbsp; 350000 | Molex Electronics Technologies LLC, Unsecd. Note, 144A, 3.900%, 4/15/2025 | &nbsp;&nbsp; 333231 |
| &nbsp;&nbsp; 850000 | Oracle Corp., Sr. Unsecd. Note, 1.650%, 3/25/2026 | &nbsp;&nbsp; 761914 |
| &nbsp;&nbsp; 1600000 | Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050 | &nbsp;&nbsp; 1083920 |
| &nbsp;&nbsp; 1000000 | Oracle Corp., Sr. Unsecd. Note, 3.650%, 3/25/2041 | &nbsp;&nbsp; 741960 |
| &nbsp;&nbsp; 200000 | Oracle Corp., Sr. Unsecd. Note, 6.250%, 11/9/2032 | &nbsp;&nbsp; 209956 |
| &nbsp;&nbsp; 85000 | Skyworks Solutions, Inc., Sr. Unsecd. Note, 1.800%, 6/1/2026 | &nbsp;&nbsp; 74811 |
| &nbsp;&nbsp; 75000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | &nbsp;&nbsp; 69924 |
| &nbsp;&nbsp; 80000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | &nbsp;&nbsp; 77935 |
| &nbsp;&nbsp; 150000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | &nbsp;&nbsp; 140735 |
| &nbsp;&nbsp; 160000 | VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026 | &nbsp;&nbsp; 139683 |
| &nbsp;&nbsp; 730000 | VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031 | &nbsp;&nbsp; 555717 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 11341143 |
|  | **Technology Services—1.0%** |  |
| &nbsp;&nbsp; 150000 | Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026 | &nbsp;&nbsp; 131475 |
| &nbsp;&nbsp; 710000 | Global Payments, Inc., Sr. Unsecd. Note, 1.200%, 3/1/2026 | &nbsp;&nbsp; 619658 |
| &nbsp;&nbsp; 500000 | Global Payments, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2027 | &nbsp;&nbsp; 436861 |
| &nbsp;&nbsp; 85000 | Global Payments, Inc., Sr. Unsecd. Note, 3.200%, 8/15/2029 | &nbsp;&nbsp; 72429 |
| &nbsp;&nbsp; 95000<br><sup>2</sup> <br>| Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | &nbsp;&nbsp; 77607 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 1338030 |
|  | **Transportation - Airlines—0.4%** |  |
| &nbsp;&nbsp; 100000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.125%, 6/15/2027 | &nbsp;&nbsp; 98898 |
| &nbsp;&nbsp; 495000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | &nbsp;&nbsp; 497276 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 596174 |
|  | **Transportation - Railroads—0.8%** |  |
| &nbsp;&nbsp; 100000 | Canadian Pacific Railway Co., 7.125%, 10/15/2031 | &nbsp;&nbsp; 111288 |
| &nbsp;&nbsp; 225000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 1.750%, 12/2/2026 | &nbsp;&nbsp; 200816 |
| &nbsp;&nbsp; 105000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.050%, 3/5/2030 | &nbsp;&nbsp; 86280 |
| &nbsp;&nbsp; 195000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 3.000%, 12/2/2041 | &nbsp;&nbsp; 147838 |
| &nbsp;&nbsp; 305000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2023 | &nbsp;&nbsp; 302358 |
| &nbsp;&nbsp; 200000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 4.700%, 5/1/2048 | &nbsp;&nbsp; 173289 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 1021869 |

---

Annual Shareholder Report

**13**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Transportation - Services—2.3%** |  |
| $330000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2042 | $313657 |
| &nbsp;&nbsp; 250000 | FedEx Corp., Sr. Unsecd. Note, 3.250%, 5/15/2041 | &nbsp;&nbsp; 178938 |
| &nbsp;&nbsp; 550000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | &nbsp;&nbsp; 419626 |
| &nbsp;&nbsp; 725000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 1.650%, 7/15/2026 | &nbsp;&nbsp; 621620 |
| &nbsp;&nbsp; 315000 | GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 2.650%, 7/15/2031 | &nbsp;&nbsp; 233309 |
| &nbsp;&nbsp; 300000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 1.700%, 6/15/2026 | &nbsp;&nbsp; 262794 |
| &nbsp;&nbsp; 400000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.950%, 3/10/2025 | &nbsp;&nbsp; 385630 |
| &nbsp;&nbsp; 260000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 1.750%, 9/1/2026 | &nbsp;&nbsp; 228866 |
| &nbsp;&nbsp; 220000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.900%, 12/1/2026 | &nbsp;&nbsp; 200874 |
| &nbsp;&nbsp; 200000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.400%, 3/1/2023 | &nbsp;&nbsp; 199441 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 3044755 |
|  | **Utility - Electric—5.6%** |  |
| &nbsp;&nbsp; 130000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025 | &nbsp;&nbsp; 124998 |
| &nbsp;&nbsp; 385000 | AEP Texas, Inc., Sr. Unsecd. Note, 4.700%, 5/15/2032 | &nbsp;&nbsp; 369955 |
| &nbsp;&nbsp; 500000 | Ameren Corp., Sr. Unsecd. Note, 1.750%, 3/15/2028 | &nbsp;&nbsp; 423126 |
| &nbsp;&nbsp; 185000 | Ameren Corp., Sr. Unsecd. Note, 1.950%, 3/15/2027 | &nbsp;&nbsp; 163025 |
| &nbsp;&nbsp; 80000 | Ameren Corp., Sr. Unsecd. Note, 3.650%, 2/15/2026 | &nbsp;&nbsp; 76493 |
| &nbsp;&nbsp; 270000 | American Electric Power Co., Inc., Jr. Sub. Note, 2.031%, 3/15/2024 | &nbsp;&nbsp; 260456 |
| &nbsp;&nbsp; 200000 | Appalachian Power Co., Sr. Unsecd. Note, 7.000%, 4/1/2038 | &nbsp;&nbsp; 223930 |
| &nbsp;&nbsp; 170000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | &nbsp;&nbsp; 136865 |
| &nbsp;&nbsp; 645000<br><sup>2</sup> <br>| CenterPoint Energy, Inc., Sr. Unsecd. Note, 2.650%, 6/1/2031 | &nbsp;&nbsp; 534175 |
| &nbsp;&nbsp; 195000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | &nbsp;&nbsp; 188019 |
| &nbsp;&nbsp; 130000 | Dominion Energy, Inc., Sr. Unsecd. Note, 4.250%, 6/1/2028 | &nbsp;&nbsp; 123958 |
| &nbsp;&nbsp; 120000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series A, 1.450%, 4/15/2026 | &nbsp;&nbsp; 106971 |
| &nbsp;&nbsp; 240000 | Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026 | &nbsp;&nbsp; 221984 |
| &nbsp;&nbsp; 500000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 1.710%, 1/24/2028 | &nbsp;&nbsp; 413471 |
| &nbsp;&nbsp; 300000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | &nbsp;&nbsp; 289653 |
| &nbsp;&nbsp; 740000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | &nbsp;&nbsp; 573973 |
| &nbsp;&nbsp; 300000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 2.250%, 7/12/2031 | &nbsp;&nbsp; 218958 |
| &nbsp;&nbsp; 100000 | Exelon Corp., Sr. Unsecd. Note, 3.950%, 6/15/2025 | &nbsp;&nbsp; 97753 |
| &nbsp;&nbsp; 95000 | Exelon Corp., Sr. Unsecd. Note, 4.700%, 4/15/2050 | &nbsp;&nbsp; 83251 |
| &nbsp;&nbsp; 90000 | Exelon Corp., Sr. Unsecd. Note, 144A, 4.100%, 3/15/2052 | &nbsp;&nbsp; 72394 |
| &nbsp;&nbsp; 180000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | &nbsp;&nbsp; 146497 |
| &nbsp;&nbsp; 242000 | Fortis, Inc./Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | &nbsp;&nbsp; 224803 |
| &nbsp;&nbsp; 290000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | &nbsp;&nbsp; 261382 |
| &nbsp;&nbsp; 200000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.550%, 5/1/2027 | &nbsp;&nbsp; 188735 |
| &nbsp;&nbsp; 300000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.950%, 3/30/2048 | &nbsp;&nbsp; 234112 |
| &nbsp;&nbsp; 100000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | &nbsp;&nbsp; 84101 |
| &nbsp;&nbsp; 250000<br><sup>2</sup> <br>| Northeast Utilities, Sr. Unsecd. Note, Series H, 3.150%, 1/15/2025 | &nbsp;&nbsp; 240463 |
| &nbsp;&nbsp; 230000 | Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028 | &nbsp;&nbsp; 196108 |
| &nbsp;&nbsp; 1175000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | &nbsp;&nbsp; 1072187 |
| &nbsp;&nbsp; 285000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 2.200%, 12/15/2028 | &nbsp;&nbsp; 241815 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 7593611 |
|  | **Utility - Natural Gas—1.3%** |  |
| &nbsp;&nbsp; 300000 | Enbridge Energy Partners LP, 5.875%, 10/15/2025 | &nbsp;&nbsp; 304979 |
| &nbsp;&nbsp; 80000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | &nbsp;&nbsp; 75153 |
| &nbsp;&nbsp; 300000 | Enbridge, Inc., Sr. Unsecd. Note, 3.125%, 11/15/2029 | &nbsp;&nbsp; 262215 |
| &nbsp;&nbsp; 195000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | &nbsp;&nbsp; 153258 |
| &nbsp;&nbsp; 130000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.950%, 9/15/2027 | &nbsp;&nbsp; 120205 |
| &nbsp;&nbsp; 200000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | &nbsp;&nbsp; 199199 |

---

Annual Shareholder Report

**14**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Utility - Natural Gas—continued** |  |
| $260000 | Sempra Energy, Sr. Unsecd. Note, 3.700%, 4/1/2029 | $237525 |
| &nbsp;&nbsp; 250000<br><sup>2</sup> <br>| Sempra Energy, Sr. Unsecd. Note, 4.000%, 2/1/2048 | &nbsp;&nbsp; 195990 |
| &nbsp;&nbsp; 250000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | &nbsp;&nbsp; 204029 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 1752553 |
|  | **Utility - Natural Gas Distributor—0.0%** |  |
| &nbsp;&nbsp; 110000 | The East Ohio Gas Company, Sr. Unsecd. Note, 144A, 3.000%, 6/15/2050 | &nbsp;&nbsp; 70054 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL CORPORATE BONDS <br>(IDENTIFIED COST $150,980,195)<br>| &nbsp;&nbsp; 128370588 |
|  | FOREIGN GOVERNMENTS/AGENCIES—1.8% |  |
|  | **Sovereign—1.8%** |  |
| &nbsp;&nbsp; 700000 | Mexico, Government of, 3.750%, 1/11/2028 | &nbsp;&nbsp; 660646 |
| &nbsp;&nbsp; 200000 | Mexico, Government of, Series MTN, 4.750%, 3/8/2044 | &nbsp;&nbsp; 161315 |
| &nbsp;&nbsp; 206000 | Mexico, Government of, Series MTNA, 6.750%, 9/27/2034 | &nbsp;&nbsp; 215076 |
| &nbsp;&nbsp; 800000 | Mexico, Government of, Sr. Unsecd. Note, 3.250%, 4/16/2030 | &nbsp;&nbsp; 696919 |
| &nbsp;&nbsp; 250000 | Mexico, Government of, Sr. Unsecd. Note, 4.500%, 4/22/2029 | &nbsp;&nbsp; 238399 |
| &nbsp;&nbsp; 300000 | Mexico, Government of, Sr. Unsecd. Note, 4.500%, 1/31/2050 | &nbsp;&nbsp; 227753 |
| &nbsp;&nbsp; 190000 | Peru, Government of, 6.550%, 3/14/2037 | &nbsp;&nbsp; 200066 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL FOREIGN GOVERNMENTS/AGENCIES <br>(IDENTIFIED COST $2,711,935)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2400174 |
|  | REPURCHASE AGREEMENT—2.0% |  |
| &nbsp;&nbsp; 2704000 | Interest in $1,350,000,000 joint repurchase agreement 4.30%, dated 12/30/2022 under which Bank of Montreal will repurchase <br> securities provided as collateral for $1,350,645,000 on 1/3/2023. The securities provided as collateral at the end of the period <br> held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 5/20/2072 and the <br> market value of those underlying securities was $1,379,047,631. <br>(IDENTIFIED COST $2,704,000)<br>| &nbsp;&nbsp; 2704000 |
|  | INVESTMENT COMPANY—1.1% |  |
| &nbsp;&nbsp; 1397565 | Federated Hermes Government Obligations Fund, Premier Shares, 4.15%<sup>3</sup> <br>(IDENTIFIED COST $1,397,565)<br>| &nbsp;&nbsp; 1397565 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL INVESTMENT IN SECURITIES—100.2% <br>(IDENTIFIED COST $157,793,695)<sup>4</sup> <br>| &nbsp;&nbsp; 134872327 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; OTHER ASSETS AND LIABILITIES - NET—(0.2)%<sup>5</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (212606) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL NET ASSETS—100% | $134659721 |

---

At December 31, 2022, the Fund had the following outstanding futures contracts:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Number of** <br>**Contracts**<br>| &nbsp;&nbsp; **Notional** <br>**Value**<br>| &nbsp;&nbsp;&nbsp; **Expiration** <br>**Date**<br>| &nbsp;&nbsp; **Value and** <br>**Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>|
| **Long Futures:** |  |  |  |  |
| United States Treasury Notes 10-Year Ultra Long Futures | 25 | $2957031 | March 2023 | $(4335) |
| United States Treasury Ultra Bond Long Futures | 12 | $1611750 | March 2023 | $(7155) |
| **Short Futures:** |  |  |  |  |
| United States Treasury Notes 5-Year Short Futures | 50 | $5396484 | March 2023 | $5835 |
| United States Treasury Notes 10-Year Short Futures | 25 | $2807422 | March 2023 | $6582 |
| &nbsp;&nbsp;&nbsp;&nbsp; NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | &nbsp;&nbsp;&nbsp;&nbsp; NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | &nbsp;&nbsp;&nbsp;&nbsp; NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | &nbsp;&nbsp;&nbsp;&nbsp; NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $927 |

---

Net Unrealized Depreciation on Futures Contracts is included in "Other Assets and Liabilities—Net."

Annual Shareholder Report

**15**

------

Affiliated fund holdings are investment companies which are managed by the Adviser or an affiliate of the Adviser. Transactions with affiliated fund holdings during the period ended December 31, 2022, were as follows:

---

| | |
|:---|:---|
|  | **Federated Hermes** <br>**Government** <br>**Obligations Fund,** <br>**Premier Shares\***<br>|
| Value as of 12/31/2021 | $2340755 |
| Purchases at Cost | $18168080 |
| Proceeds from Sales | $(19111270) |
| Change in Unrealized Appreciation/Depreciation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A |
| Net Realized Gain/(Loss) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A |
| Value as of 12/31/2022 | $1397565 |
| Shares Held as of 12/31/2022 | &nbsp;&nbsp;&nbsp;&nbsp; 1397565 |
| Dividend Income | $14563 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Floating/variable note with current rate and current maturity or next reset date shown.* |
| 2 | *All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers.* |
| 3 | *7-day net yield.* |
| 4 | *Also represents cost for federal tax purposes.* |
| 5 | *Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.* |

---

Note: The categories of investments are shown as a percentage of total net assets at December 31, 2022.

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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>The following is a summary of the inputs used, as of December 31, 2022, in valuing the Fund's assets carried at fair value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** |
|  | **Level 1—** <br>**Quoted** <br>**Prices**<br>| **Level 2—** <br>**Other** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3—** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>| **Total** |
| **Debt Securities:** |  |  |  |  |
| Corporate Bonds | $— | $128370588 | $— | $128370588 |
| Foreign Governments/Agencies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2400174 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2400174 |
| **Investment Company** | &nbsp;&nbsp; 1397565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1397565 |
| **Repurchase Agreement** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2704000 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2704000 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL SECURITIES | $1397565 | $133474762 | $— | $134872327 |
| **Other Financial Instruments:**<sup>1</sup> <br>|  |  |  |  |
| Assets | $12417 | $— | $— | $12417 |
| Liabilities | &nbsp;&nbsp;&nbsp;&nbsp; (11490) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (11490) |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL OTHER FINANCIAL INSTRUMENTS | $927 | $— | $— | $927 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

1 *Other financial instruments are futures contracts.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| The following acronym(s) are used throughout this portfolio: | The following acronym(s) are used throughout this portfolio: |
| BKNT | —Bank Notes |
| GMTN | —Global Medium Term Note |
| LIBOR | —London Interbank Offered Rate |
| MTN | —Medium Term Note |
| REIT | —Real Estate Investment Trust |

---

See Notes which are an integral part of the Financial Statements

Annual Shareholder Report

**16**

------

Financial Highlights

(For a Share Outstanding Throughout Each Period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
|  | **2022** | **2021** | **2020** | **2019** | **2018** |
| **Net Asset Value, Beginning of Period** | **$11.86** | **$12.38** | **$11.48** | **$10.26** | **$11.10** |
| **Income From Investment Operations:** |  |  |  |  |  |
| Net investment income (loss) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.45 | &nbsp;&nbsp;&nbsp;&nbsp; 0.46 |
| Net realized and unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp; (2.20) | &nbsp;&nbsp;&nbsp;&nbsp; (0.44) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.91 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.22 | &nbsp;&nbsp;&nbsp; (0.77) |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL FROM INVESTMENT OPERATIONS | &nbsp;&nbsp;&nbsp;&nbsp; (1.82) | &nbsp;&nbsp;&nbsp;&nbsp; (0.06) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.67 | &nbsp;&nbsp;&nbsp; (0.31) |
| **Less Distributions:** |  |  |  |  |  |
| Distributions from net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.38) | &nbsp;&nbsp;&nbsp;&nbsp; (0.38) | &nbsp;&nbsp;&nbsp;&nbsp; (0.43) | &nbsp;&nbsp;&nbsp;&nbsp; (0.45) | &nbsp;&nbsp;&nbsp; (0.46) |
| Distributions from net realized gain | &nbsp;&nbsp;&nbsp;&nbsp; (0.03) | &nbsp;&nbsp;&nbsp;&nbsp; (0.08) | &nbsp;&nbsp;&nbsp;&nbsp; (0.01) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL DISTRIBUTIONS | &nbsp;&nbsp;&nbsp;&nbsp; (0.41) | &nbsp;&nbsp;&nbsp;&nbsp; (0.46) | &nbsp;&nbsp;&nbsp;&nbsp; (0.44) | &nbsp;&nbsp;&nbsp;&nbsp; (0.45) | &nbsp;&nbsp;&nbsp; (0.53) |
| **Net Asset Value, End of Period** | **$9.63** | **$11.86** | **$12.38** | **$11.48** | **$10.26** |
| **Total Return**<sup>1</sup> <br>| &nbsp;&nbsp;&nbsp; (15.44)% | &nbsp;&nbsp;&nbsp;&nbsp; (0.41)% | &nbsp;&nbsp;&nbsp;&nbsp; 11.88% | &nbsp;&nbsp;&nbsp;&nbsp; 16.56% | &nbsp;&nbsp;&nbsp; (2.82)% |
| **Ratios to Average Net Assets:** |  |  |  |  |  |
| Net expenses<sup>2,3</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00% | &nbsp;&nbsp;&nbsp;&nbsp; 0.00% |
| Net investment income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.69% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.19% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.64% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.11% | &nbsp;&nbsp;&nbsp;&nbsp; 4.30% |
| Expense waiver/reimbursement<sup>4</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.24% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.23% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.27% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.30% | &nbsp;&nbsp;&nbsp;&nbsp; 0.32% |
| **Supplemental Data:** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $134660 | $182389 | $143775 | $105126 | $85243 |
| Portfolio turnover<sup>5</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Based on net asset value.* |
| 2 | *Federated Investment Management Company (the "Adviser") has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses,* <br> *incurred by the Fund.*<br>|
| 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/*<br> *reimbursement recorded by investment companies in which the Fund may invest.*<br>|
| 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

**17**

------

Statement of Assets and Liabilities <br>December 31, 2022

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Assets:** |  |
| Investment in securities, at value including $1,352,954 of securities loaned and $1,397,565 of investments in affiliated holdings\* (identified <br> cost $157,793,695)<br>| $134872327 |
| Due from broker (Note 2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68500 |
| Income receivable | &nbsp;&nbsp;&nbsp;&nbsp; 1476021 |
| Receivable for shares sold | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280368 |
| Receivable for variation margin on futures contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets | &nbsp;&nbsp; 136697462 |
| **Liabilities:** |  |
| Payable for shares redeemed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117574 |
| Payable to bank | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |
| Payable for collateral due to broker for securities lending (Note 2) | &nbsp;&nbsp;&nbsp;&nbsp; 1397565 |
| Income distribution payable | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 453466 |
| Payable for administrative fee (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 580 |
| Accrued expenses (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68436 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities | &nbsp;&nbsp;&nbsp;&nbsp; 2037741 |
| Net assets for 13,977,519 shares outstanding | $134659721 |
| **Net Assets Consist of:** |  |
| Paid-in capital | $158835439 |
| Total distributable earnings (loss) | &nbsp;&nbsp; (24175718) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Net Assets | $134659721 |
| **Net Asset Value, Offering Price and Redemption Proceeds Per Share:** |  |
| $134,659,721 ÷ 13,977,519 shares outstanding, no par value, unlimited shares authorized | $9.63 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *See information listed after the Fund's Portfolio of Investments.*

See Notes which are an integral part of the Financial Statements

Annual Shareholder Report

**18**

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Statement of Operations <br>Year Ended December 31, 2022

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Investment Income:** |  |
| Interest | $5602884 |
| Net income on securities loaned (includes $14,563 earned from affiliated holdings related to cash collateral balances\*) (Note 2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2592 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL INCOME | &nbsp;&nbsp;&nbsp;&nbsp; 5605476 |
| **Expenses:** |  |
| Administrative fee (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123589 |
| Custodian fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13982 |
| Transfer agent fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15048 |
| Directors'/Trustees' fees (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2363 |
| Auditing fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30400 |
| Legal fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9202 |
| Portfolio accounting fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85444 |
| Share registration costs | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32516 |
| Printing and postage | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20412 |
| LOC commitment fee (Note 7) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9724 |
| Miscellaneous (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17216 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL EXPENSES | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 359896 |
| Reimbursement of other operating expenses (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (359896) |
| Net expenses | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Net investment income | &nbsp;&nbsp;&nbsp;&nbsp; 5605476 |
| **Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:** |  |
| Net realized loss on investments | &nbsp;&nbsp;&nbsp; (1603165) |
| Net realized gain on futures contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244119 |
| Net change in unrealized appreciation of investments | &nbsp;&nbsp; (32235504) |
| Net change in unrealized depreciation of futures contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42791 |
| Net realized and unrealized gain (loss) on investments and futures contracts | &nbsp;&nbsp; (33551759) |
| Change in net assets resulting from operations | $(27946283) |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *See information listed after the Fund's Portfolio of Investments.*

See Notes which are an integral part of the Financial Statements

Annual Shareholder Report

**19**

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Statement of Changes in Net Assets

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Year Ended December 31** | **2022** | **2021** |
| **Increase (Decrease) in Net Assets** |  |  |
| **Operations:** |  |  |
| Net investment income | $5605476 | $5188274 |
| Net realized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp; (1359046) | &nbsp;&nbsp;&nbsp;&nbsp; 1679729 |
| Net change in unrealized appreciation/depreciation | &nbsp;&nbsp; (32192713) | &nbsp;&nbsp;&nbsp;&nbsp; (7311549) |
| &nbsp;&nbsp;&nbsp;&nbsp; CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | &nbsp;&nbsp; (27946283) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (443546) |
| **Distributions to Shareholders** | &nbsp;&nbsp;&nbsp;&nbsp; (6080541) | &nbsp;&nbsp;&nbsp;&nbsp; (6409622) |
| **Share Transactions:** |  |  |
| Proceeds from sale of shares | &nbsp;&nbsp;&nbsp; 75765885 | &nbsp;&nbsp;&nbsp; 69323561 |
| Net asset value of shares issued to shareholders in payment of distributions declared | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212329 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 234075 |
| Cost of shares redeemed | &nbsp;&nbsp; (89681142) | &nbsp;&nbsp; (24090384) |
| &nbsp;&nbsp;&nbsp;&nbsp; CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | &nbsp;&nbsp; (13702928) | &nbsp;&nbsp;&nbsp; 45467252 |
| Change in net assets | &nbsp;&nbsp; (47729752) | &nbsp;&nbsp;&nbsp; 38614084 |
| **Net Assets:** |  |  |
| Beginning of period | &nbsp;&nbsp; 182389473 | &nbsp;&nbsp; 143775389 |
| End of period | $134659721 | $182389473 |

---

See Notes which are an integral part of the Financial Statements

Annual Shareholder Report

**20**

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Notes to Financial Statements

December 31, 2022

**1. ORGANIZATION** 

Federated Hermes Managed Pool Series (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end management investment company. The Trust consists of five portfolios. The financial statements included herein are only those of Federated Hermes Corporate Bond Strategy Portfolio (the "Fund"), a diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder's interest is limited to the portfolio in which shares are held. Each portfolio pays its own expenses. The investment objective of the Fund is to provide total return.

**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:

◾ <br>

Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Adviser.

◾ <br>

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.

◾ <br>

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.

◾ <br>

Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Adviser.

◾ <br>

For securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.

If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Adviser's valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion of the Adviser's valuation committee ("Valuation Committee"), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.

**Fair Valuation and Significant Events Procedures** 

Pursuant to Rule 2a-5 under the Act, the Fund's Board of Trustees (the "Trustees") has designated the Adviser as the Fund's valuation designee to perform any fair value determinations for securities and other assets held by the Fund. The Adviser is subject to the Trustees' oversight and certain reporting and other requirements intended to provide the Trustees the information needed to oversee the Adviser's fair value determinations.

The Adviser, acting through its Valuation Committee, is responsible for determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of the Adviser and certain of the Adviser's affiliated companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is also authorized to use pricing services to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services' policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Adviser. The Trustees periodically review the fair valuations made by the Valuation Committee. The Trustees have also approved the Adviser's fair valuation and significant events procedures as part of the Fund's compliance program and will review any changes made to the procedures.

Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a "bid" evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between 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.

Annual Shareholder Report

**21**

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The Adviser has also adopted procedures requiring an investment to be priced at its fair value whenever the Valuation Committee determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:

◾ <br>

With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;

◾ <br>

Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;

◾ <br>

Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry.

The Adviser has adopted procedures whereby the Valuation Committee uses a pricing service to provide factors to update the fair value of equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the pricing time of the Fund. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Valuation Committee will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Adviser. The Trustees periodically review fair valuations made in response to significant events.

**Repurchase Agreements** 

The Fund may invest in repurchase agreements for short-term liquidity purposes. It is the policy of the Fund to require the other party to a repurchase agreement to transfer to the Fund's custodian or sub-custodian eligible securities or cash with a market value (after transaction costs) at least equal to the repurchase price to be paid under the repurchase agreement. The eligible securities are transferred to accounts with the custodian or sub-custodian in which the Fund holds a "securities entitlement" and exercises "control" as those terms are defined in the Uniform Commercial Code. The Fund has established procedures for monitoring the market value of the transferred securities and requiring the transfer of additional eligible securities if necessary to equal at least the repurchase price. These procedures also allow the other party to require securities to be transferred from the account to the extent that their market value exceeds the repurchase price or in exchange for other eligible securities of equivalent market value.

The insolvency of the other party or other failure to repurchase the securities may delay the disposition of the underlying securities or cause the Fund to receive less than the full repurchase price. Under the terms of the repurchase agreement, any amounts received by the Fund in excess of the repurchase price and related transaction costs must be remitted to the other party.

The Fund may enter into repurchase agreements in which eligible securities are transferred into joint trading accounts maintained by the custodian or sub-custodian for investment companies and other clients advised by the 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.

Repurchase agreements are subject to Master Netting Agreements (MNA) which are agreements between the Fund and its counterparties that provide for the net settlement of all transactions and collateral with the Fund, through a single payment, in the event of default or termination. Amounts presented on the Portfolio of Investments and Statement of Assets and Liabilities are not net settlement amounts but gross. As indicated above, the cash or securities to be repurchased, as shown on the Portfolio of Investments, exceeds the repurchase price to be paid under the agreement reducing the net settlement amount to zero.

**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. The detail of the total fund expense reimbursement of $359,896 is disclosed in Note 5.

**Federal Taxes** 

It is the Fund's policy to comply with the Subchapter M provision of the Internal Revenue Code of 1986 (the "Code") and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal income tax is necessary. As of and during the year ended December 31, 2022, the Fund did not have a liability for any uncertain tax positions. The Fund recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2022, tax years 2019 through 2022 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.

**Futures Contracts** 

The Fund purchases and sells financial futures contracts to manage duration risk and yield curve risk. 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

Annual Shareholder Report

**22**

------

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 $4,463,549 and $10,215,715, 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 corporate bonds and 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.

Securities lending transactions are subject to MNA. Amounts presented on the Portfolio of Investments and Statement of Assets and Liabilities are not net settlement amounts but gross. As indicated below, the cash collateral received by the Fund exceeds the market value of the securities loaned reducing the net settlement amount to zero. The chart below identifies the amount of collateral received as well as the market value of securities on loan. Additionally, the securities lending agreement executed by the Fund includes an indemnification clause. This clause stipulates that the borrower will reimburse the Fund for any losses as a result of any failure of the borrower to return equivalent securities to the Fund.

As of December 31, 2022, securities subject to this type of arrangement and related collateral were as follows:

---

| | |
|:---|:---|
| **Fair Value of** <br>**Securities Loaned**<br>| **Collateral** <br>**Received**<br>|
| $1352954 | $1397565 |

---

**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 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** | **Fair Value of Derivative Instruments** | **Fair Value of Derivative Instruments** |
|  | **Assets** | **Assets** |
|  | &nbsp;&nbsp; **Statement of** <br>**Assets and** <br>**Liabilities** <br>**Location**<br>| **Fair** <br>**Value**<br>|
| Derivatives not accounted for as hedging <br>instruments under ASC Topic 815<br>|  |  |
| Interest rate contracts | &nbsp;&nbsp; Receivable for variation <br>margin on futures contracts<br>| $927\* |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *Includes net 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 December 31, 2022** 

---

| | |
|:---|:---|
| **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** | **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** |
|  | **Futures** <br>**Contracts**<br>|
| Interest rate contracts | $244119 |

---

Annual Shareholder Report

**23**

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income** | **Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income** |
|  | **Futures** <br>**Contracts**<br>|
| Interest rate contracts | $42791 |

---

**Other** 

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ materially from those estimated. The Fund applies investment company accounting and reporting guidance.

**3. SHARES OF BENEFICIAL INTEREST** 

The following table summarizes share activity:

---

| | | |
|:---|:---|:---|
|  | **Year Ended** <br>**12/31/2022**<br>| **Year Ended** <br>**12/31/2021**<br>|
| Shares sold | 7507894 | 5764232 |
| Shares issued to shareholders in payment of distributions declared | &nbsp;&nbsp;&nbsp;&nbsp; 20908 | &nbsp;&nbsp;&nbsp;&nbsp; 19554 |
| Shares redeemed | (8931278) | (2013606) |
| &nbsp;&nbsp;&nbsp;&nbsp; NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (1402476) | 3770180 |

---

**4. FEDERAL TAX INFORMATION** 

The tax character of distributions as reported on the Statement of Changes in Net Assets for the years ended December 31, 2022 and 2021, was as follows:

---

| | | |
|:---|:---|:---|
|  | **2022** | **2021** |
| Ordinary income<sup>1</sup> <br>| $5609864 | $5265107 |
| Long-term capital gains | $470677 | $1144515 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

1 *For tax purposes, short-term capital gain distributions are considered ordinary income distributions.*

As of December 31, 2022, the components of distributable earnings on a tax-basis were as follows:

---

| | |
|:---|:---|
| Undistributed ordinary income<sup>1</sup> <br>| $61905 |
| Net unrealized depreciation | $(22921368) |
| Capital loss carryforwards | $(1316255) |
| TOTAL | $(24175718) |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

1 *For tax purposes, short-term capital gains are considered ordinary income in determining distributable earnings.*

At December 31, 2022, the cost of investments for federal tax purposes was $157,793,695. The net unrealized depreciation of investments for federal tax purposes was $22,921,368. This consists of unrealized appreciation from investments for those securities having an excess of value over cost of $118,577 and unrealized depreciation from investments for those securities having an excess of cost over value of $23,039,945. The amounts presented are inclusive of derivative contracts. The difference between book-basis and tax-basis net unrealized appreciation is attributable to differing treatments for mark-to-market on futures contracts.

As of December 31, 2022, the Fund had a capital loss carryforward of $1,316,255 which will reduce the Fund's taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code, thereby reducing the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. Pursuant to the Code, these net capital losses retain their character as either short-term or long-term and do not expire.

The following schedule summarizes the Fund's capital loss carryforwards:

---

| | | |
|:---|:---|:---|
| **Short-Term** | **Long-Term** | **Total** |
| $440790 | $875465 | $1316255 |

---

**5. INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES** 

**Investment Adviser Fee** 

The Adviser provides investment adviser services at no fee because all eligible investors are: (1) in separately managed or wrap fee programs, who often pay a single aggregate fee to the wrap program sponsor for all costs and expenses of the wrap-fee programs; or (2) in certain other separately managed accounts and discretionary investment accounts; or (3) to the extent permitted under applicable law, other Federated Hermes funds. The Adviser has contractually agreed to reimburse all expenses of the Fund, excluding extraordinary expenses. Acquired fund fees and expenses are not direct obligations of the Fund and are not contractual reimbursements under the investment advisory contract. For the year ended December 31, 2022, the Adviser reimbursed $359,896 of operating expenses.

Annual Shareholder Report

**24**

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**Administrative Fee** 

Federated Administrative Services (FAS), under the Administrative Services Agreement, provides the Fund with administrative personnel and services. For purposes of determining the appropriate rate breakpoint, "Investment Complex" is defined as all of the Federated Hermes Funds subject to a fee under the Administrative Services Agreement. The fee paid to FAS is based on the average daily net assets of the Investment Complex as specified below:

---

| | |
|:---|:---|
| **Administrative Fee** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Average Daily Net Assets** <br>**of the Investment Complex**<br>|
| 0.100% | on assets up to $50 billion |
| 0.075% | on assets over $50 billion |

---

FAS may voluntarily choose to waive any portion of its fee. For the year ended December 31, 2022, the annualized fee paid to FAS was 0.081% of average daily net assets of the Fund.

In addition, FAS may charge certain out-of-pocket expenses to the Fund. For the year ended December 31, 2022, the Fund's Adviser reimbursed the Fund for any fee paid to FAS.

**Directors'/Trustees' and Miscellaneous Fees** 

Certain Officers and Trustees of the Fund are Officers and Directors or Trustees of certain of the above companies. To efficiently facilitate payment, Independent Directors'/Trustees' fees and certain expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses are paid by an affiliate of the Adviser which in due course are reimbursed by the Fund. These expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses may be included in Accrued and Miscellaneous Expenses on the Statement of Assets and Liabilities and Statement of Operations, respectively.

**6. INVESTMENT TRANSACTIONS** 

Purchases and sales of investments, excluding long-term U.S. government securities and short-term obligations, for the year ended December 31, 2022, were as follows:

---

| | |
|:---|:---|
| Purchases | $10845680 |
| Sales | $21730250 |

---

**7. LINE OF CREDIT** 

The Fund participates with certain other Federated Hermes Funds, on a several basis, in an up to $500,000,000 unsecured, 364-day, committed, revolving line of credit (LOC) agreement dated June 22, 2022. The LOC was made available to temporarily finance the repurchase or redemption of shares of the Fund, failed trades, payment of dividends, settlement of trades and for other short-term, temporary or emergency general business purposes. The Fund cannot borrow under the LOC if an inter-fund loan is outstanding. The Fund's ability to borrow under the LOC also is subject to the limitations of the Act and various conditions precedent that must be satisfied before the Fund can borrow. Loans under the LOC are charged interest at a fluctuating rate per annum equal to (a) the highest, on any day, of (i) the federal funds effective rate, (ii) the published secured overnight financing rate plus an assigned percentage, and (iii) 0.0%, plus (b) a margin. Any fund eligible to borrow under the LOC pays its pro rata share of a commitment fee based on the amount of the lenders' commitment that has not been utilized, quarterly in arrears and at maturity. As of December 31, 2022, the Fund had no outstanding loans. During the year ended December 31, 2022, the Fund did not utilize the LOC.

**8. INTERFUND LENDING** 

Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other funds advised by subsidiaries of Federated Hermes, Inc., may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from other participating affiliated funds. As of December 31, 2022, there were no outstanding loans. During the year ended December 31, 2022, the program was not utilized.

**9. INDEMNIFICATIONS** 

Under the Fund's organizational documents, its Officers and Directors/Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund (other than liabilities arising out of their willful misfeasance, bad faith, gross negligence or reckless disregard of their duties to the Fund). In addition, in the normal course of business, the Fund provides certain indemnifications under arrangements with third parties. Typically, obligations to indemnify a third party arise in the context of an arrangement entered into by the Fund under which the Fund agrees to indemnify such third party for certain liabilities arising out of actions taken pursuant to the arrangement, provided the third party's actions are not deemed to have breached an agreed-upon standard of care (such as willful misfeasance, bad faith, gross negligence or reckless disregard of their duties under the contract). The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet arisen. The Fund does not anticipate any material claims or losses pursuant to these arrangements at this time, and accordingly expects the risk of loss to be remote.

**10. OTHER MATTERS** 

An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread globally. As of the date of the issuance of these financial statements, this coronavirus has resulted in, and may continue to result in, closed borders, enhanced health screenings, disruptions to healthcare service preparation and delivery, quarantines, cancellations, and disruptions to supply chains, workflow operations and consumer activity, as well as general concern and uncertainty. The impact of this coronavirus has resulted in substantial economic volatility. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks. The impact of this outbreak, and other epidemics and pandemics that

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may arise in the future, could continue to negatively affect the worldwide economy, as well as the economies of individual countries, individual companies (including certain Fund service providers and issuers of the Fund's investments) and the markets in general in significant and unforeseen ways. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic, including significant fiscal and monetary policy changes, that may affect the instruments in which the Fund invests or the issuers of such investments. Any such impact could adversely affect the Fund's performance.

**11. Recent Accounting Pronouncements** 

In December 2022, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2022-06 "Reference Rate Reform (Topic 848)". ASU No. 2022-06 updates and clarifies ASU No. 2020-04, which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of LIBOR and other interbank-offered reference rates. The temporary relief provided by ASU No. 2022-06 is effective immediately for certain reference rate-related contract modifications that occur through December 31, 2024. Management does not expect ASU No. 2022-06 to have a material impact on the financial statements.

**12. FEDERAL TAX INFORMATION (UNAUDITED)** 

For the year ended December 31, 2022, the amount of long-term capital gains designated by the Fund was $470,677.

For the fiscal year ended December 31, 2022, 83.92% of dividends paid by the Fund are interest-related dividends, as provided by the American Jobs Creation Act of 2004.

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Report of Independent Registered Public Accounting Firm

**TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF FEDERATED HERMES CORPORATE BOND STRATEGY PORTFOLIO:**

**Opinion on the Financial Statements**

We have audited the accompanying statement of assets and liabilities of Federated Hermes Corporate Bond Strategy Portfolio (the "Fund") (one of the portfolios constituting Federated Hermes Managed Pool Series (the "Trust")), including the portfolio of investments, as of December 31, 2022, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the portfolios constituting Federated Hermes Managed Pool Series) at December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

**Basis for Opinion**

These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust's internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian, brokers, and others; when replies were not received from brokers or others, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. <br> ![](ernstyoungsig.jpg)

We have served as the auditor of one or more Federated Hermes investment companies since 1979.

Boston, Massachusetts <br>February 22, 2023

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Shareholder Expense Example (unaudited)

As a shareholder of the Fund, you incur ongoing costs, including to the extent applicable, management fees, distribution (12b-1) fees and/or other service fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2022 to December 31, 2022.

**ACTUAL EXPENSES** 

The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to *estimate* the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled "Expenses Paid During Period" to estimate the expenses attributable to your investment during this period.

**HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES** 

The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an *assumed* rate of return of 5% per year before expenses, which is not the Fund's actual return. Thus, you should *not* use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are required to be provided to enable you to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative *total* costs of owning different funds.

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| | | | |
|:---|:---|:---|:---|
|  | **Beginning** <br>**Account Value** <br>**7/1/2022**<br>| **Ending** <br>**Account Value** <br>**12/31/2022**<br>| **Expenses Paid** <br>**During Period**<sup>1</sup> <br>|
| **Actual** | $1000 | $989.50 | $0.00 |
| **Hypothetical (assuming a 5% return before expenses)** | $1000 | $1025.21 | $0.00 |

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| | |
|:---|:---|
| 1 | *Expenses are equal to the Fund's annualized net expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 184/365 (to* <br> *reflect the one-half-year period). The Adviser has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses, incurred by* <br> *the Fund.*<br>|

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Board of Trustees and Trust Officers

The Board of Trustees is responsible for managing the Trust's business affairs and for exercising all the Trust's powers except those reserved for the shareholders. The following tables give information about each Trustee and the senior officers of the Fund. Where required, the tables separately list Trustees who are "interested persons" of the Fund (i.e., "Interested" Trustees) and those who are not (i.e., "Independent" Trustees). Unless otherwise noted, the address of each person listed is 1001 Liberty Avenue, Pittsburgh, PA 15222-3779. The address of all Independent Trustees listed is 4000 Ericsson Drive, Warrendale, PA 15086-7561; Attention: Mutual Fund Board. As of December 31, 2022, the Trust comprised five portfolio(s), and the Federated Hermes Fund Family consisted of 33 investment companies (comprising 102 portfolios). Unless otherwise noted, each Officer is elected annually. Unless otherwise noted, each Trustee oversees all portfolios in the Federated Hermes Fund Family and serves for an indefinite term. The Fund's Statement of Additional Information includes additional information about Trust Trustees and is available, without charge and upon request, by calling 1-800-341-7400, Option #4.

**Interested Trustees Background** 

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years,**<br> **Other Directorships Held and Previous Position(s)**<br>|
| **J. Christopher Donahue\***<br> Birth Date: April 11, 1949<br> President and Trustee<br> Indefinite Term<br> Began serving: October 2005<br>| &nbsp;&nbsp; **Principal Occupations**: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund <br> Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and <br> Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated <br> Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, <br> Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, <br> Federated Services Company.<br> **Previous Positions**: President, Federated Investment Counseling; President and Chief Executive Officer, Federated <br> Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, <br> Passport Research, Ltd.<br>|
| **John B. Fisher\***<br> Birth Date: May 16, 1956<br> Trustee<br> Indefinite Term<br> Began serving: May 2016<br>| &nbsp;&nbsp; **Principal Occupations**: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund <br> Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Director and Vice President, <br> Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity <br> Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, <br> Federated Investment Management Company, and Federated MDTA LLC; Director, Federated Investors Trust Company.<br> **Previous Positions**: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and <br> CEO of Passport Research, Ltd.; Director and President, Technology, Federated Services Company.<br>|

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\*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Reasons for "interested" status: J. Christopher Donahue and John B. Fisher are interested due to their beneficial ownership of shares of Federated Hermes, Inc. and due to positions they hold with Federated Hermes, Inc. and its subsidiaries.*

**INDEPENDENT Trustees Background** 

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years,**<br> **Other Directorships Held, Previous Position(s) and Qualifications**<br>|
| **John T. Collins**<br> Birth Date: January 24, 1947<br> Trustee<br> Indefinite Term<br> Began serving: October 2013<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund <br> Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired).<br> **Other Directorships Held**: Director, KLX Energy Services Holdings, Inc. (oilfield services); former Director of <br> KLX Corp. (aerospace).<br> **Qualifications**: Mr. Collins has served in several business and financial management roles and directorship positions <br> throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) <br> and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as <br> Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth <br> Israel Deaconess Medical Center (Harvard University Affiliate Hospital). <br>|

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years,**<br> **Other Directorships Held, Previous Position(s) and Qualifications**<br>|
| **G. Thomas Hough**<br> Birth Date: February 28, 1955<br> Trustee<br> Indefinite Term<br> Began serving: August 2015<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, <br> Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). <br> **Other Directorships Held**: Director, Chair of the Audit Committee, Equifax, Inc.; Lead Director, Member of the Audit and <br> Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of <br> Governance and Compensation Committees, Publix Super Markets, Inc.<br> **Qualifications**: Mr. Hough has served in accounting, business management and directorship positions throughout his career. <br> Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting <br> firm). Mr. Hough serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama. <br> Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as <br> an Executive Committee member of the United States Golf Association. <br>|
| **Maureen Lally-Green**<br> Birth Date: July 5, 1949<br> Trustee<br> Indefinite Term<br> Began serving: August 2009<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor Emerita of Law, <br> Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and <br> Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church <br> Relations, Diocese of Pittsburgh.<br> **Other Directorships Held**: Director, CNX Resources Corporation (natural gas).<br> **Qualifications**: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her <br> career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as <br> Interim Dean). Judge Lally-Green previously served as Associate General Secretary of the Diocese of Pittsburgh, a member of <br> the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was <br> appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court's Board of Continuing Judicial Education <br> and the Supreme Court's Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions <br> on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Regent, Saint Vincent <br> Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX <br> Resources Corporation (natural gas). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy <br> Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More <br> Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; <br> Director, St. Vincent College; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for <br> the Church Alive!, Inc.; and Director and Vice Chair, Saint Francis University.<br>|
| **Thomas M. O'Neill**<br> Birth Date: June 14, 1951<br> Trustee<br> Indefinite Term<br> Began serving: August 2006<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management <br> Company (investment and strategic consulting).<br> **Other Directorships Held**: None.<br> **Qualifications**: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship <br> positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity. Mr. O'Neill previously served as Chief <br> Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and <br> Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, <br> MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director <br> and Consultant, EZE Castle Software (investment order management software); Director, Midway Pacific (lumber); and <br> Director, The Golisano Children's Museum of Naples, Florida.<br>|
| **Madelyn A. Reilly**<br> Birth Date: February 2, 1956<br> Trustee<br> Indefinite Term<br> Began serving: <br> November 2020<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal <br> Affairs, General Counsel and Secretary of Board of Directors, Duquesne University (Retired).<br> **Other Directorships Held**: None.<br> **Qualifications**: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly <br> previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors and Director <br> of Risk Management and Associate General Counsel, Duquesne University. Prior to her work at Duquesne University, <br> Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, <br> Health and Safety, PPG Industries. Ms. Reilly currently serves as a member of the Board of Directors of UPMC <br> Mercy Hospital.<br>|
| **P. Jerome Richey**<br> Birth Date: February 23, 1949<br> Trustee<br> Indefinite Term<br> Began serving: October 2013<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; Retired; formerly, Senior Vice Chancellor <br> and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CONSOL Energy Inc. <br> (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.).<br> **Other Directorships Held**: None.<br> **Qualifications**: Mr. Richey has served in several business and legal management roles and directorship positions throughout <br> his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of <br> Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and <br> Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive <br> Vice President, CONSOL Energy Inc. and CNX Gas Company; and Board Member, Ethics Counsel and Shareholder, Buchanan <br> Ingersoll & Rooney PC (a law firm). <br>|

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years,**<br> **Other Directorships Held, Previous Position(s) and Qualifications**<br>|
| **John S. Walsh**<br> Birth Date:<br> November 28, 1957<br> Trustee<br> Indefinite Term<br> Began serving: <br> November 2005<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. <br> (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of <br> portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. <br> **Other Directorships Held**: None.<br> **Qualifications**: Mr. Walsh has served in several business management roles and directorship positions throughout his career. <br> Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors).<br>|

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**OFFICERS** 

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Address**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years**<br> **and Previous Position(s)**<br>|
| **Lori A. Hensler**<br> Birth Date: January 6, 1967<br> TREASURER<br> Officer since: April 2013<br>| &nbsp;&nbsp; **Principal Occupations**: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, <br> Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp.; and Assistant Treasurer, <br> Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation.<br> **Previous Positions**: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors <br> Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative <br> Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory <br> Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management <br> Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and <br> Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and <br> Southpointe Distribution Services, Inc.<br>|
| **Peter J. Germain**<br> Birth Date:<br> September 3, 1959<br> CHIEF LEGAL OFFICER, <br> SECRETARY and EXECUTIVE <br> VICE PRESIDENT<br> Officer since: October 2005<br>| &nbsp;&nbsp; **Principal Occupations**: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes <br> Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; <br> Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated <br> Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, <br> Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated <br> Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated <br> Hermes, Inc. in 1984 and is a member of the Pennsylvania Bar Association.<br> **Previous Positions**: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated <br> Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc.<br>|
| **Stephen Van Meter**<br> Birth Date: June 5, 1975<br> CHIEF COMPLIANCE OFFICER <br> AND SENIOR VICE PRESIDENT<br> Officer since: July 2015<br>| &nbsp;&nbsp; **Principal Occupations**: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice <br> President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. <br> Mr. Van Meter joined Federated Hermes, Inc. in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. <br> **Previous Positions**: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. <br> Prior to joining Federated Hermes, Inc., Mr. Van Meter served at the United States Securities and Exchange Commission in <br> the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division <br> of Enforcement.<br>|
| **Robert J. Ostrowski**<br> Birth Date: April 26, 1963<br> Chief Investment Officer<br> Officer since: September 2006<br>| &nbsp;&nbsp; **Principal Occupations**: Robert J. Ostrowski joined Federated Hermes, Inc. in 1987 as an Investment Analyst and became a <br> Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes' taxable fixed-income products in <br> 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser <br> in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the <br> Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University.<br>|
| **Stephen F. Auth**<br> Birth Date: <br> September 13, 1956<br> 101 Park Avenue<br> 41<sup>st</sup> Floor<br> New York, NY 10178<br> CHIEF INVESTMENT OFFICER<br> Officer since: February 2015<br>| &nbsp;&nbsp; **Principal Occupations**: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; <br> Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated <br> Equity Management Company of Pennsylvania.<br> **Previous Positions**: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. <br> (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior <br> Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and <br> Portfolio Manager, Prudential Investments.<br>|

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Evaluation and Approval of Advisory Contract–May 2022

**Federated Hermes Corporate Bond Strategy Portfolio (the "Fund")**

At its meetings in May 2022 (the "May Meetings"), the Fund's Board of Trustees (the "Board"), including those Trustees who are not "interested persons" of the Fund, as defined in the Investment Company Act of 1940 (the "Independent Trustees"), reviewed and unanimously approved the continuation of the investment advisory contract between the Fund and Federated Investment Management Company (the "Adviser") (the "Contract") for an additional one-year term. The Board's determination to approve the continuation of the Contract reflects the exercise of its business judgment after considering all of the information and factors believed to be relevant and appropriate on whether to approve the continuation of the existing arrangement. The information, factors and conclusions that formed the basis for the Board's approval are summarized below.

The Board considered that the Fund is distinctive in that it is used to implement particular investment strategies that are offered to investors in certain separately managed or wrap fee accounts or programs, or certain other discretionary investment accounts, and may also be offered to other funds (each, a "Federated Hermes Fund" and, collectively the "Federated Hermes Funds") advised by the Adviser or its affiliates (collectively, "Federated Hermes").

In addition, the Board considered that the Adviser does not charge an investment advisory fee for its services, although Federated Hermes may receive compensation for managing assets invested in the Fund.

***<u>Information Received and Review Process</u>***

At the request of the Independent Trustees, the Fund's Chief Compliance Officer (the "CCO") furnished to the Board in advance of its May Meetings an independent written evaluation presenting on the topics discussed below. The Board considered the CCO's independent written evaluation (the "CCO Fee Evaluation Report"), along with other information, in evaluating the reasonableness of the Fund's management fee and in determining to approve the continuation of the Contract. The CCO, in preparing the CCO Fee Evaluation Report, has the authority to retain consultants, experts or staff as reasonably necessary to assist in the performance of his duties, reports directly to the Board, and can be terminated only with the approval of a majority of the Independent Trustees. At the request of the Independent Trustees, the CCO Fee Evaluation Report followed the same general approach and covered the same topics as that of the report that had previously been delivered by the CCO in his capacity as "Senior Officer" prior to the elimination of the Senior Officer position in December 2017.

In addition to the extensive materials that comprise and accompany the CCO Fee Evaluation Report, the Board considered information specifically prepared in connection with the approval of the continuation of the Contract that was presented at the May Meetings. In this regard, in the months preceding the May Meetings, the Board requested and reviewed written responses and supporting materials prepared by Federated Hermes in response to requests posed to Federated Hermes by independent legal counsel on behalf of the Independent Trustees encompassing a wide variety of topics, including those summarized below. The Board also considered such additional matters as the Independent Trustees deemed reasonably necessary to evaluate the Contract, which included detailed information about the Fund and Federated Hermes furnished to the Board at its meetings throughout the year and in between regularly scheduled meetings on particular matters as the need arose.

The Board's consideration of the Contract included review of materials and information covering the following matters, among others: the nature, quality and extent of the advisory and other services provided to the Fund by the Advisers and their affiliates; Federated Hermes' business and operations; the Adviser's investment philosophy, personnel and processes; the Fund's investment objectives and strategies; the Fund's short-term and long-term performance (in absolute terms, both on a gross basis and net of expenses, and relative to the Fund's particular investment program and a group of its peer funds and/or its benchmark, as appropriate); the Fund's fees and expenses, including the advisory fee and the overall expense structure of the Fund, with due regard for contractual or voluntary expense limitations (if any); the financial condition of Federated Hermes; the Adviser's profitability with respect to the Fund; distribution and sales activity for the Fund; and the use and allocation of brokerage commissions derived from trading the Fund's portfolio securities (if any).

The Board also considered judicial decisions concerning allegedly excessive investment advisory fees charged to other registered funds in determining to approve the Contract. Using these judicial decisions as a guide, the Board observed that the following factors may be relevant to an adviser's fiduciary duty with respect to its receipt of compensation from a fund: (1) the nature and quality of the services provided by the adviser to the fund and its shareholders, including the performance of the fund, its benchmark and comparable funds; (2) the adviser's cost of providing the services and the profitability to the adviser of providing advisory services to the fund; (3) the extent to which the adviser may realize "economies of scale" as the fund grows larger and, if such economies of scale exist, whether they have been appropriately shared with the fund and its shareholders or the family of funds; (4) any "fall-out" benefits that accrue to the adviser because of its relationship with the fund, including research services received from brokers that execute fund trades and any fees paid to affiliates of the adviser for services rendered to the fund); (5) comparative fee and expense structures,

Annual Shareholder Report

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including a comparison of management fees paid to the adviser with those paid by similar funds both internally and externally as well as management fees charged to institutional and other advisory clients of the adviser for what might be viewed as like services; and (6) the extent of care, conscientiousness and independence with which the fund's board members perform their duties and their expertise,(including whether they are fully informed about all facts the board deems relevant to its consideration of the adviser's services and fees. The Board noted that the Securities and Exchange Commission ("SEC") disclosure requirements regarding the basis for a fund board's approval of the fund's investment advisory contract generally align with the factors listed above. The Board was guided by these factors in its review of the Contract to the extent it considered them to be appropriate and relevant, as discussed further below. The Board considered and weighed these factors in light of its substantial accumulated experience in governing the Fund and working with Federated Hermes on matters relating to the oversight of the other Federated Hermes Funds.

In determining to approve the continuation of the Contract, the members of the Board reviewed and evaluated information and factors they believed to be relevant and appropriate through the exercise of their reasonable business judgment. While individual members of the Board may have weighed certain factors differently, the Board's determination to approve the continuation of the Contract was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically with respect to the continuation of the Contract. The Board recognized that its evaluation process is evolutionary and that the factors considered and emphasis placed on relevant factors may change in recognition of changing circumstances in the registered fund marketplace. The Independent Trustees were assisted throughout the evaluation process by independent legal counsel. In connection with their deliberations at the May Meetings, the Independent Trustees met separately in executive session with their independent legal counsel and without management present to review the relevant materials and consider their responsibilities under applicable laws. In addition, senior management representatives of Federated Hermes also met with the Independent Trustees and their independent legal counsel to discuss the materials and presentations furnished to the Board at the May Meetings. The Board considered the approval of the Contract for the Fund as part of its consideration of agreements for funds across the family of Federated Hermes Funds, but its approvals were made on a fund-by-fund basis.

***<u>Nature, Extent and Quality of Services</u>***

The Board considered the nature, extent and quality of the services provided to the Fund by the Adviser and the resources of Federated Hermes dedicated to the Fund. In this regard, the Board evaluated, among other things, the terms of the Contract and the range of services provided to the Fund by Federated Hermes. The Board considered the Adviser's personnel, investment philosophy and process, investment research capabilities and resources, trade operations capabilities, experience and performance track record. The Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Fund and Federated Hermes' ability and experience in attracting and retaining qualified personnel to service the Fund. The Board also considered the Adviser's ability to deliver competitive investment performance for the Fund when compared to the Fund's benchmark index, which was deemed by the Board to be a useful indicator of how the Adviser is executing the Fund's investment program.

In addition, the Board considered the financial resources and overall reputation of Federated Hermes and its willingness to consider and make investments in personnel, infrastructure, technology, cybersecurity, business continuity planning and operational enhancements that are designed to benefit the Federated Hermes Funds. The Board noted the significant acquisition of Hermes Fund Managers Limited by Federated Hermes, which has deepened the organization's investment management expertise and capabilities and expanded the investment process for all of the Federated Hermes Funds to have access to analytical resources related to environmental, social and governance ("ESG") factors and issuer engagement on ESG matters. The Board considered Federated Hermes' oversight of the securities lending program for the Federated Hermes Funds that engage in securities lending and noted the income earned by the Federated Hermes Funds that participate in such program. In addition, the Board considered the quality of Federated Hermes' communications with the Board and responsiveness to Board inquiries and requests made from time to time with respect to the Fund and other Federated Hermes Funds. In this regard, the Board took into account Federated Hermes' communications with the Board in light of the pandemic. The Board also considered that Federated Hermes is responsible for providing the Federated Hermes Funds' officers.

The Board received and evaluated information regarding Federated Hermes' regulatory and compliance environment. The Board considered Federated Hermes' compliance program and compliance history and reports from the CCO about Federated Hermes' compliance with applicable laws and regulations, including responses to regulatory developments and any compliance or other issues raised by regulatory agencies. The Board also noted Federated Hermes' support of the Federated Hermes Funds' compliance control structure and the compliance-related resources devoted by Federated Hermes in support of the Fund's obligations pursuant to Rule 38a-1 under the Investment Company Act of 1940, including Federated Hermes' commitment to respond to rulemaking and other regulatory initiatives of the SEC. The Board considered Federated Hermes' approach to internal audits and risk management with respect to the Federated Hermes

Annual Shareholder Report

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Funds and its day-to-day oversight of the Federated Hermes Funds' compliance with their investment objectives and policies as well as with applicable laws and regulations, noting that regulatory and other developments had over time led to an increase in the scope of Federated Hermes' oversight in this regard, including in connection with the designation of the Federated Hermes Funds' investment advisers as the administrators of the Federated Hermes Funds' liquidity risk management program.

The Board also considered the implementation of Federated Hermes' business continuity plans and recognized steps taken by Federated Hermes to continue to provide the same nature, extent and quality of services to the Federated Hermes Funds during the pandemic. In addition, the Board noted Federated Hermes' commitment to maintaining high quality systems and expending substantial resources to prepare for and respond to ongoing changes due to the market, regulatory and control environments in which the Fund and its service providers operate, including changes associated with the pandemic.

The Board considered Federated Hermes' efforts to provide shareholders in the Federated Hermes Funds with a comprehensive array of funds with different investment objectives, policies and strategies. The Board considered the expenses that Federated Hermes had incurred, as well as the entrepreneurial and other risks assumed by Federated Hermes, in sponsoring and providing on-going services to new funds to expand these opportunities for shareholders. The Board noted the benefits to shareholders of being part of the family of Federated Hermes Funds, which include the general right to exchange investments between the same class of shares without the incurrence of additional sales charges.

Based on these considerations, the Board concluded that it was satisfied with the nature, extent and quality of the services provided by the Adviser to the Fund.

***<u>Fund Investment Performance</u>***

The Board considered the investment performance of the Fund. In evaluating the Fund's investment performance, the Board considered performance results in light of the Fund's investment objective, strategies and risks. The Board considered detailed investment reports on, and the Adviser's analysis of, the Fund's performance over different time periods that were provided to the Board throughout the year and in connection with the May Meetings.

For the periods ended December 31, 2021, the Fund outperformed its benchmark index for the three-year and five-year periods, and the Fund underperformed its benchmark index for the one-year period. The Board discussed the Fund's performance with the Adviser and recognized the efforts being taken by the Adviser in the context of other factors considered relevant by the Board. Although the Board considered information comparing the Fund's performance to that of the benchmark index, the Board concluded that, in light of the recent changes to the Fund, additional time is required to evaluate the Adviser's performance in managing the Fund under its new mandate.

Based on these considerations, the Board concluded that it had continued confidence in the Adviser's overall capabilities to manage the Fund.

***<u>Fund Expenses</u>***

The Board considered that the Adviser does not charge an investment advisory fee to this Fund for its services and has agreed to reimburse the Fund's expenses so that total operating expenses are zero. Because the Adviser does not charge the Fund an investment advisory fee and the Fund's total operating expenses will remain at zero due to reimbursement of expenses, the Board noted that it did not consider fee comparisons to other registered funds or other types of clients of Federated Hermes to be relevant to its evaluation.

***<u>Profitability</u>***

The Board received and considered profitability information furnished by Federated Hermes, as requested by the CCO. The Board considered that the Adviser does not charge an investment advisory fee to the Fund and noted, therefore, that the Adviser does not profit from providing advisory services to the Fund under the Contract.

The Board also reviewed information compiled by Federated Hermes comparing its profitability information to other publicly held fund management companies, including information regarding profitability trends over time. The Board considered the CCO's conclusion that, based on such profitability information, Federated Hermes' profit margins did not appear to be excessive. The Board also considered the CCO's view that Federated Hermes appeared financially sound, with the resources necessary to fulfill its obligations under its contracts with the Federated Hermes Funds.

***<u>Economies of Scale</u>***

Because of the distinctive nature of the Fund as primarily an internal product with an advisory fee of zero, the Board noted that it did not consider the assessment of whether economies of scale would be realized if the Fund were to grow to a sufficient size to be particularly relevant to its evaluation.

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***<u>Other Benefits</u>***

The Board considered information regarding the compensation and other ancillary (or "fall-out") benefits that Federated Hermes derived from its relationships with the Federated Hermes Funds.

The Board noted that, although an affiliate of the Adviser charges the Fund an administrative services fee and also the affiliate is entitled to reimbursement for certain out-of-pocket expenses incurred in providing administrative services to the Fund, Federated Hermes reimburses all such fees and expenses to the Fund.

In connection with the Board's governance of other Federated Hermes Funds, the Board noted that, in addition to receiving advisory fees under the Federated Hermes Funds' investment advisory contracts, Federated Hermes' affiliates also receive fees for providing other services to the Federated Hermes Funds under separate contracts (e.g., for serving as the Federated Hermes Funds' administrator and distributor). In this regard, the Board considered that certain of Federated Hermes' affiliates provide distribution and shareholder services to the Federated Hermes Funds, for which they may be compensated through distribution and servicing fees paid pursuant to Rule 12b-1 plans or otherwise. The Board also received and considered information detailing any indirect benefit that Federated Hermes may derive from its receipt of research services from brokers who execute portfolio trades for the Federated Hermes Funds.

***<u>Conclusions</u>***

The Board considered: (i) the CCO's conclusion that his observations and the information accompanying the CCO Fee Evaluation Report show that the management fee for the Fund is reasonable; and (ii) the CCO's recommendation that the Board approve the management fee. The Board noted that, under these circumstances, no changes were recommended to, and no objection was raised to the continuation of, the Contract by the CCO. The CCO also recognized that the Board's evaluation of the Federated Hermes Funds' advisory and sub-advisory arrangements is a continuing and ongoing process that is informed by the information that the Board requests and receives from management throughout the course of the year and, in this regard, the CCO noted certain items for future reporting to the Board or further consideration by management as the Board continues its ongoing oversight of the Federated Hermes Funds.

On the basis of the information and factors summarized above, among other information and factors deemed relevant by the Board, and the evaluation thereof, the Board, including the Independent Trustees, unanimously voted to approve the continuation of the Contract. The Board based its determination to approve the Contract on the totality of the circumstances and relevant factors and with a view of past and future long-term considerations. Not all of the factors and considerations identified above were necessarily deemed to be relevant to the Fund, nor did the Board consider any one of them to be determinative. With respect to the factors that were deemed to be relevant, the Board's determination to approve the continuation of the Contract reflects its view that Federated Hermes' performance and actions provided a satisfactory basis to support the determination to approve the continuation of the existing arrangement.

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Liquidity Risk Management Program– <br>Annual Evaluation of Adequacy and Effectiveness

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), Federated Hermes Managed Pool Series (the "Trust") has adopted and implemented a liquidity risk management program (the "Program") for Federated Hermes Corporate Bond Strategy Portfolio (the "Fund" and, collectively with the other non-money market open-end funds advised by Federated Hermes, the "Federated Hermes Funds"). The Program seeks to assess and manage the Fund's liquidity risk. "Liquidity risk" is defined under the Liquidity Rule as the risk that the Fund is unable to meet redemption requests without significantly diluting remaining investors' interests in the Fund. The Board of Trustees of the Trust (the "Board") has approved the designation of each Federated Hermes Fund's investment adviser as the administrator for the Program (the "Administrator") with respect to that Fund. The Administrator, in turn, has delegated day-to-day responsibility for the administration of the Program to multiple Liquidity Risk Management Committees, which are comprised of representatives from certain divisions within Federated Hermes.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence the Fund's liquidity risk; (2) the periodic classification (no less frequently than monthly) of the Fund's investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of "illiquid investments" (as defined under the Liquidity Rule); (4) to the extent a Fund does not invest primarily in "highly liquid investments" (as defined under the Liquidity Rule), the determination of a minimum percentage of the Fund's assets that generally will be invested in highly liquid investments (an "HLIM"); (5) if a Fund has established an HLIM, the periodic review (no less frequently than annually) of the HLIM and the adoption of policies and procedures for responding to a shortfall of the Fund's highly liquid investments below its HLIM; and (6) periodic reporting to the Board.

At its meetings in May 2022, the Board received and reviewed a written report (the "Report") from the Federated Hermes Funds' Chief Compliance Officer and Chief Risk Officer, on behalf of the Administrator, concerning the operation of the Program for the period from April 1, 2021 through March 31, 2022 (the "Period"). The Report addressed the operation of the Program and assessed its adequacy and effectiveness, including, where applicable, the operation of any HLIM established for a Federated Hermes Fund and each Federated Hermes Fund's access to other available funding sources such as the Federated Hermes Funds' interfund lending facility, redemptions in-kind, reverse repurchase agreement transactions, redemptions delayed beyond the normal T+1 settlement, but within seven days of the redemption request, and committed lines of credit. There were no material changes to the Program during the Period. The Report summarized the operation of the Program and the information and factors considered by the Administrator in assessing whether the Program has been adequately and effectively implemented with respect to the Federated Hermes Funds. Such information and factors included, among other things:

◾ confirmation that it was not necessary for the Fund to utilize, and the Fund did not utilize, alternative funding sources during the Period;

◾ the periodic classifications of the Fund's investments into one of four liquidity categories and the methodologies and inputs used to classify the investments, including the Fund's reasonably anticipated trade size;

◾ the analysis received from a third-party liquidity assessment vendor that is taken into account in the process of determining the liquidity classifications of the Fund's investments and the results of an evaluation of the services performed by the vendor in support of this process;

◾ the fact that the Fund invested primarily in highly liquid investments during the Period and, therefore, was not required to establish, and has not established, an HLIM and the procedures for monitoring the status of the Fund as investing primarily in highly liquid investments;

◾ the fact that the Fund invested no more than 15% of its assets in illiquid investments during the Period and the procedures for monitoring this limit;

◾ the fact that there were no liquidity events during the Period, that materially affected the Fund's liquidity risk;

◾ the impact on liquidity and management of liquidity risk caused by extended non-U.S. market closures and confirmation that there were no issues for any of the affected Federated Hermes Funds in meeting shareholder redemptions at any time during these temporary non-U.S. market closures;

◾ circumstances during the Period under which the Administrator convened meetings of the Liquidity Risk Management Committees more frequently than normal to conduct enhanced liquidity risk monitoring, including prior to the Russian invasion of Ukraine.

Based on this review, the Administrator concluded that the Program is operating effectively to assess and manage the Fund's liquidity risk, and that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Fund's liquidity developments.

Annual Shareholder Report

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Voting Proxies on Fund Portfolio Securities

A description of the policies and procedures that the Fund uses to determine how to vote proxies, if any, relating to securities held in the Fund's portfolio, as well as a report on "Form N-PX" of how the Fund voted any such proxies during the most recent 12-month period ended June 30, are available, without charge and upon request, by calling 1-800-341-7400, Option #4. A report on "Form N-PX" of how the Fund voted any such proxies during the most recent 12-month period ended June 30 is available via the Proxy Voting Record Report (Form N-PX) link associated with the Fund at FederatedInvestors.com/FundInformation. Select a product name, then click "Documents" and click on "Proxy Voting Record Report." Form N-PX filings are also available at the SEC's website at sec.gov.

Quarterly Portfolio Schedule

Each fiscal quarter, the Fund will file with the SEC a complete schedule of its monthly portfolio holdings on "Form N-PORT." The Fund's holdings as of the end of the third month of every fiscal quarter, as reported on Form N-PORT, will be publicly available on the SEC's website at sec.gov within 60 days of the end of the fiscal quarter upon filing. You may also access this information at FederatedInvestors.com. Select a product name, then click "Documents" and select "Form N-PORT."

Annual Shareholder Report

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*Mutual funds are not bank deposits or obligations, are not guaranteed by any bank and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.*

This Report is authorized for distribution to prospective investors only when preceded or accompanied by the Fund's Prospectus, which contains facts concerning its objective and policies, management fees, expenses and other information. <br> ![](edelivery.jpg)

![](fhilogok11p.jpg)

Federated Hermes Corporate Bond Strategy Portfolio <br>Federated Hermes Funds <br>4000 Ericsson Drive <br>Warrendale, PA 15086-7561

Contact us at **FederatedInvestors.com** <br>or call 1-800-341-7400.

Federated Securities Corp., Distributor

*CUSIP 31421P100*

*36217 (2/23)*© 2023 Federated Hermes, Inc.

![](fscbug_small.jpg)

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**Annual Shareholder Report**

***December 31, 2022***

![](imgca84e92f1.gif)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**Ticker** FHYSX<br>

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Federated Hermes High Yield Strategy Portfolio

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A Portfolio of Federated Hermes Managed Pool Series

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**Not FDIC Insured ▪ May Lose Value ▪ No Bank Guarantee**

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**CONTENTS** 

---

| | |
|:---|:---|
| [Federated Hermes High Yield Strategy Portfolio](#xx_0d22a083-0500-422b-be35-461c0e12cbd0_1) | &nbsp;&nbsp; [1](#xx_0d22a083-0500-422b-be35-461c0e12cbd0_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Management's Discussion of Fund Performance](#xx_0d22a083-0500-422b-be35-461c0e12cbd0_1) | &nbsp;&nbsp; [1](#xx_0d22a083-0500-422b-be35-461c0e12cbd0_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Portfolio of Investments Summary Table](#xx_f215d765-45f5-4fde-932f-271902003e39_1) | &nbsp;&nbsp; [4](#xx_f215d765-45f5-4fde-932f-271902003e39_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Portfolio of Investments](#xx_f215d765-45f5-4fde-932f-271902003e39_2) | &nbsp;&nbsp; [5](#xx_f215d765-45f5-4fde-932f-271902003e39_2)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Financial Highlights](#xx_a78e2422-a198-41b2-bfe9-047ab20a7708_1) | &nbsp;&nbsp; [7](#xx_a78e2422-a198-41b2-bfe9-047ab20a7708_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statement of Assets and Liabilities](#xx_2294fdf5-c774-4fad-8bc1-623a61ce97dc_1) | &nbsp;&nbsp; [8](#xx_2294fdf5-c774-4fad-8bc1-623a61ce97dc_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statement of Operations](#xx_2294fdf5-c774-4fad-8bc1-623a61ce97dc_2) | &nbsp;&nbsp; [9](#xx_2294fdf5-c774-4fad-8bc1-623a61ce97dc_2)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statement of Changes in Net Assets](#xx_2294fdf5-c774-4fad-8bc1-623a61ce97dc_3) | [10](#xx_2294fdf5-c774-4fad-8bc1-623a61ce97dc_3)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Notes to Financial Statements](#xx_b98c3fe4-c117-4124-93ef-7abf96c85eca_1) | [11](#xx_b98c3fe4-c117-4124-93ef-7abf96c85eca_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Report of Independent Registered Public Accounting Firm](#xx_71fb0fc6-e3c2-4f2f-b818-aa8450938ba2_1) | [15](#xx_71fb0fc6-e3c2-4f2f-b818-aa8450938ba2_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Shareholder Expense Example](#xx_0429d3cb-4c1c-472f-a917-9e52ce657de3_1) | [16](#xx_0429d3cb-4c1c-472f-a917-9e52ce657de3_1)  |
| [High Yield Bond Portfolio](#xx_8edfa5f4-cbd8-437e-84cd-6dc53b8f2589_1) | [17](#xx_8edfa5f4-cbd8-437e-84cd-6dc53b8f2589_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Management's Discussion of Fund Performance](#xx_eb279f0e-5fed-4318-ba30-6d53bbf5c543_1) | [18](#xx_eb279f0e-5fed-4318-ba30-6d53bbf5c543_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Portfolio of Investments Summary Table](#xx_5706595e-7990-44ab-84a4-f1740bb9059c_1) | [21](#xx_5706595e-7990-44ab-84a4-f1740bb9059c_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Portfolio of Investments](#xx_5706595e-7990-44ab-84a4-f1740bb9059c_2) | [22](#xx_5706595e-7990-44ab-84a4-f1740bb9059c_2)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Financial Highlights](#xx_17445920-1670-48b1-848b-ec0b3557231b_1) | [32](#xx_17445920-1670-48b1-848b-ec0b3557231b_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statement of Assets and Liabilities](#xx_4a445843-ffc7-4142-9b67-2dc832b46be0_1) | [33](#xx_4a445843-ffc7-4142-9b67-2dc832b46be0_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statement of Operations](#xx_4a445843-ffc7-4142-9b67-2dc832b46be0_2) | [34](#xx_4a445843-ffc7-4142-9b67-2dc832b46be0_2)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statement of Changes in Net Assets](#xx_4a445843-ffc7-4142-9b67-2dc832b46be0_3) | [35](#xx_4a445843-ffc7-4142-9b67-2dc832b46be0_3)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Notes to Financial Statements](#xx_a361b999-f029-4437-b7ad-27a172d2a762_1) | [36](#xx_a361b999-f029-4437-b7ad-27a172d2a762_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Report of Independent Registered Public Accounting Firm](#xx_8b89da8b-9227-4ef7-ae69-d420e02f5ec4_1) | [41](#xx_8b89da8b-9227-4ef7-ae69-d420e02f5ec4_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Shareholder Expense Example](#xx_c9f92a96-262c-4cc3-83bb-9a350ad727f0_1) | [42](#xx_c9f92a96-262c-4cc3-83bb-9a350ad727f0_1)  |
| [Board of Trustee and Trust Officers](#xx_ea8ac322-8c1f-4488-87a5-30abc5852c91_1) | [43](#xx_ea8ac322-8c1f-4488-87a5-30abc5852c91_1)  |
| [Evaluation and Approval of Advisory Contract](#xx_598798b5-7f4d-4db1-ab6c-3a7514af25bb_1) | [46](#xx_598798b5-7f4d-4db1-ab6c-3a7514af25bb_1)  |
| [Liquidity Risk Management Program](#xx_87c3be93-d247-403b-80a0-c5244a6130c1_1)[–](#xx_87c3be93-d247-403b-80a0-c5244a6130c1_1)<br> [Annual Evaluation of Adequacy and Effectiveness](#xx_87c3be93-d247-403b-80a0-c5244a6130c1_1)<br>| [50](#xx_87c3be93-d247-403b-80a0-c5244a6130c1_1)  |
| [Voting Proxies on Fund Portfolio Securities](#xx_52ac44a4-f7a6-4687-bd87-befbc3ca2782_1) | [51](#xx_52ac44a4-f7a6-4687-bd87-befbc3ca2782_1)  |
| [Quarterly Portfolio Schedule](#xx_52ac44a4-f7a6-4687-bd87-befbc3ca2782_1) | [51](#xx_52ac44a4-f7a6-4687-bd87-befbc3ca2782_1) |

---

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Management's Discussion of Fund Performance (unaudited)

The total return of the Federated Hermes High Yield Strategy Portfolio (the "Fund"), based on net asset value for the 12-month reporting period ended December 31, 2022, was -11.63%. The total return of the Fund's shares consisted of 5.70% current income and -17.33% of depreciation in the net asset value of the Fund's shares. The total return of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (BHY2%ICI),<sup>1</sup> a broad-based securities market index, was -11.18% during the same period. The Fund's total return for the most recently completed fiscal year reflected actual cash flows, transaction costs and expenses which were not reflected in the total return of the BHY2%ICI.

During the reporting period, the most significant factors affecting the Fund's performance relative to the BHY2%ICI were: (1) the allocation among industry sectors, (2) the selection of individual securities and (3) the duration<sup>2</sup> of the portfolio's holdings. The Fund pursues its investment objective by investing primarily in High Yield Bond Core Fund (the "Underlying Fund"), a portfolio of Federated Hermes Core Trust. As such, the discussion of significant factors below primarily reflects the performance of the Fund's investment in the Underlying Fund relative to the BHY2%ICI.

**MARKET OVERVIEW**

The major factors influencing markets during the period under review were concerns about the economy and inflation. Economic growth started the year slowly as the lingering impact of the pandemic, the outbreak of war in Ukraine, supply chain issues and surging prices, especially for energy and food, caused major distortions. Global central banks, including the Federal Reserve, responded to the surge in prices by aggressively raising short-term interest rates. Longer-term rates also rose although less than short-term rates which resulted in an inverted yield curve. This raised further concerns about the economy. However, the second half of the year saw economic growth surprise to the upside as a robust job market, rising wages, declining pandemic-related concerns and normalizing supply chains provided support. Corporate earnings also proved resilient as companies were able to aggressively raise prices to offset surging input costs and rising wages while demand was supported by the strong jobs market and the benefits of the reopening from the pandemic. Default rates and credit spreads for high-yield securities both climbed modestly higher. The overall impact of these factors can be illustrated by the change in credit spreads between the Credit Suisse High Yield Bond Index<sup>3</sup> and Treasury securities with similar maturities which began the period at 355 basis points, peaked in early July at 606 basis points before declining to end the fiscal year at 499 basis points. Within the high-yield market,<sup>4</sup> major industry sectors that substantially outperformed the overall BHY2%ICI during the reporting period included: Oil Field Services, Aerospace and Defense, Gaming, Independent Energy and Metals & Mining. Major industry sectors that substantially underperformed the overall BHY2%ICI during the reporting fiscal year included: Pharmaceuticals, Retail, Wireless Telecommunications, Media & Entertainment and Cable & Satellite. From a quality perspective, the B-rated sector led the way during the reporting period with a total return of -10.26% followed by the BB-rated sector at -10.77%. The CCC-rated sector, perhaps reflecting some economic concerns, lagged with a return of -16.29%.

**Sector Allocation**

The Fund was positively impacted by its sector allocation relative to the BHY2%ICI. The Fund was positively impacted by its overweight position to the strong performing Insurance–Property and Casualty (P&C) and Oil Field Services industry sectors. The Fund was also positively impacted by its underweight position to the poor performing Retail, Wireline Telecommunications and Wireless Telecommunications sectors. The Fund was also positively impacted by its cash holdings. The Fund was negatively impacted by its overweight position to the poor performing Pharmaceuticals, Media & Entertainment and Cable & Satellite sectors. It was also negatively impacted by its underweight allocations to the Refining, Other Industrials, Airline and Metal & Mining sectors.

Annual Shareholder Report

**1**

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**Security Selection**

The Fund's security selection had a negative impact on performance relative to the BHY2%ICI. Security selection in Technology, Pharmaceuticals, Media & Entertainment, Healthcare, Chemicals, Cable & Satellite, Gaming, Diversified Manufacturing, Building Materials, Finance Companies, Midstream, Restaurants and Consumer Cyclical Services negatively impacted performance. Specific high-yield issuers held by the Fund that negatively impacted performance relative to the BHY2%ICI included: Audacy, Inc., CSC Holdings LLC, Rackspace Technology, Inc., Mallinckrodt International and Polar US Barrower. The Fund was positively impacted by security selection in Insurance–P&C, Retail, Independent Energy, Wireless Telecommunications, Oil Field Services and Consumer Products. Specific high-yield issuers held by the Fund that positively impacted performance relative to the BHY2%ICI included: Hub International Limited, Clarios Global LP, USIS Merger Subsidiary, Inc., Flex Acquisition and Gates Global LLC. The Fund also benefitted from its equity position in Superior Energy Services, Inc.

**DURATION**

The Fund began the reporting period with a duration shorter than the BHY2%ICI. Given the substantial increase in the general interest rate<sup>5</sup> level during the period as well as the increase in credit spreads, the shorter duration had a positive impact early in the period. At the end of the fiscal year, the Fund's duration was modestly greater than the BHY2%ICI.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Please see the footnotes to the line graph below for definitions of, and further information about, the BHY2%ICI.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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 securities with shorter durations.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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.\**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices.*

\*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The index is unmanaged, and it is not possible to invest directly in an index.*

Annual Shareholder Report

**2**

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**FUND PERFORMANCE AND GROWTH OF A $10,000 INVESTMENT**

The graph below illustrates the hypothetical investment of $10,000<sup>1</sup> in the Federated Hermes High Yield Strategy Portfolio (the "Fund") from December 31, 2012 to December 31, 2022, compared to the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (BHY2%ICI).<sup>2</sup> The Average Annual Total Return table below shows returns averaged over the stated periods.

**Growth of a $10,000 Investment**

**Growth of $10,000 as of December 31, 2022** <br> ![](fhyspar40004.jpg)

**Average Annual Total Returns for the Period Ended 12/31/2022** 

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Years** | **10 Years** |
| **Fund** | -11.63% | 2.15% | 4.27% |
| BHY2%ICI | -11.18% | 2.30% | 4.03% |

---

**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, 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.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The Fund's performance assumes the reinvestment of all dividends and distributions. The BHY2%ICI has been adjusted to reflect reinvestment of dividends on securities in the index.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The BHY2%ICI is an issuer-constrained version of the Bloomberg U.S. Corporate High Yield Index that measures the market of USD-denominated, noninvestment-grade, fixed-rate, taxable corporate bonds. The index follows the same rules as the uncapped index but limits the exposure of each issuer to 2% of the total market value and redistributes any excess market value index-wide on a pro rata basis. The BHY2%ICI 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**

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Portfolio of Investments Summary Table (unaudited)

At December 31, 2022, the Fund's index classification<sup>1</sup> was as follows:

---

| | |
|:---|:---|
| **Index Classification** | **Percentage of** <br>**Total Net Assets**<sup>2</sup> <br>|
| Technology | &nbsp;&nbsp; 8.7% |
| Cable Satellite | &nbsp;&nbsp; 7.7% |
| Midstream | &nbsp;&nbsp; 6.4% |
| Insurance - P&C | &nbsp;&nbsp; 6.2% |
| Media Entertainment | &nbsp;&nbsp; 6.1% |
| Healthcare | &nbsp;&nbsp; 4.9% |
| Automotive | &nbsp;&nbsp; 4.7% |
| Packaging | &nbsp;&nbsp; 4.5% |
| Independent Energy | &nbsp;&nbsp; 4.5% |
| Building Materials | &nbsp;&nbsp; 4.4% |
| Gaming | &nbsp;&nbsp; 3.9% |
| Chemicals | &nbsp;&nbsp; 3.4% |
| Other<sup>3</sup> <br>| 22.9% |
| Cash Equivalents<sup>4</sup> <br>| 11.3% |
| Other Assets and Liabilities—Net<sup>5</sup> <br>| &nbsp;&nbsp; 0.4% |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | **100%** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg U.S. Corporate* <br> *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* <br> *Fund's Adviser.*<br>|
| 2 | *As of the date specified above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, the affiliated investment* <br> *company (other than an affiliated money market mutual fund) is not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata* <br> *portion of each security and each other asset and liability owned by the affiliated investment company. Accordingly, the percentages of total net assets shown in* <br> *the table will differ from those presented on the Portfolio of Investments.*<br>|
| 3 | *For purposes of this table, index classifications which constitute less than 2.5% of the Fund's total net assets have been aggregated under the designation* <br> *"Other."*<br>|
| 4 | *Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements.* |
| 5 | *Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.* |

---

Annual Shareholder Report

**4**

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Portfolio of Investments

December 31, 2022

---

| | | |
|:---|:---|:---|
| **Shares or** <br>**Principal** <br>**Amount**<br>|  | **Value** |
|  | INVESTMENT COMPANY—91.6% |  |
| &nbsp;&nbsp; 2788498<br><sup>1</sup> <br>| High Yield Bond Core Fund <br>(IDENTIFIED COST $16,031,494)<br>| $14555962 |
|  | REPURCHASE AGREEMENT—9.2% |  |
| $1456000 | Interest in $1,350,000,000 joint repurchase agreement 4.30%, dated 12/30/2022 under which Bank of Montreal will repurchase <br> securities provided as collateral for $1,350,645,000 on 1/3/2023. The securities provided as collateral at the end of the period <br> held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 5/20/2072 and the <br> market value of those underlying securities was $1,379,047,631. <br>(IDENTIFIED COST $1,456,000)<br>| $1456000 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL INVESTMENT IN SECURITIES—100.8% <br>(IDENTIFIED COST $17,487,494)<sup>2</sup> <br>| &nbsp;&nbsp; 16011962 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; OTHER ASSETS AND LIABILITIES - NET—(0.8)%<sup>3</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; (122527) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL NET ASSETS—100% | $15889435 |

---

Affiliated fund holdings are investment companies which are managed by Federated Investment Management Company (the "Adviser") or an affiliate of the Adviser. Transactions with affiliated fund holdings during the period ended December 31, 2022, were as follows:

---

| | |
|:---|:---|
|  | **High Yield** <br>**Bond Core Fund**<br>|
| Value as of 12/31/2021 | $124807376 |
| Purchases at Cost | $7917272 |
| Proceeds from Sales | $(108900000) |
| Change in Unrealized Appreciation/Depreciation | $(3603391) |
| Net Realized Gain/(Loss) | $(5665295) |
| Value as of 12/31/2022 | $14555962 |
| Shares Held as of 12/31/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2788498 |
| Dividend Income | $2267098 |

---

The Fund invests in High Yield Bond Core Fund (HYCORE), a portfolio of Federated Hermes Core Trust ("Core Trust") which is managed by the Adviser. Core Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the "Act"), available only to registered investment companies and other institutional investors. The investment objective of HYCORE is to seek high current income. Federated Hermes, Inc. ("Federated Hermes") receives no advisory or administrative fees from HYCORE. Income distributions from HYCORE are declared daily and paid monthly. All income distributions are recorded by the Fund as dividend income. Capital gain distributions of HYCORE, if any, are declared and paid annually, and are recorded by the Fund as capital gains received. At December 31, 2022, HYCORE represents 91.6% of the Fund's net assets. Therefore, the performance of the Fund is directly affected by the performance of HYCORE. To illustrate the security holdings, financial condition, results of operations and changes in net assets of HYCORE, its financial statements are included within this report. The financial statements of HYCORE should be read in conjunction with the Fund's financial statements. The valuation of securities held by HYCORE is discussed in the notes to its financial statements.

---

| | |
|:---|:---|
| 1 | *Due to this affiliated holding representing greater than 75% of the Fund's total net assets, a copy of the affiliated holding's most recent Annual Report is included* <br> *with this Report.*<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 2 | *The cost of investments for federal tax purposes amounts to $17,941,903.* |
| 3 | *Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.* |

---

Note: The categories of investments are shown as a percentage of total net assets at December 31, 2022.

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

**5**

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>The following is a summary of the inputs used, as of December 31, 2022, in valuing the Fund's assets carried at fair value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** |
|  | **Level 1—** <br>**Quoted** <br>**Prices**<br>| **Level 2—** <br>**Other** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3—** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>| **Total** |
| **Investment Company** | $14555962 | $— | $— | $14555962 |
| **Repurchase Agreement** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 1456000 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1456000 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL SECURITIES | $14555962 | $1456000 | $— | $16011962 |

---

See Notes which are an integral part of the Financial Statements

Annual Shareholder Report

**6**

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Financial Highlights

(For a Share Outstanding Throughout Each Period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
|  | **2022** | **2021** | **2020** | **2019** | **2018** |
| **Net Asset Value, Beginning of Period** | **$13.16** | **$13.18** | **$13.20** | **$12.21** | **$13.29** |
| **Income From Investment Operations:** |  |  |  |  |  |
| Net investment income (loss) | &nbsp;&nbsp;&nbsp;&nbsp; 0.76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.71 | &nbsp;&nbsp;&nbsp;&nbsp; 0.75 | &nbsp;&nbsp;&nbsp;&nbsp; 0.82 | &nbsp;&nbsp;&nbsp;&nbsp; 0.81 |
| Net realized and unrealized gain (loss) | &nbsp;&nbsp;&nbsp; (2.27) | &nbsp;&nbsp;&nbsp;&nbsp; (0.01) | &nbsp;&nbsp;&nbsp; (0.01) | &nbsp;&nbsp;&nbsp;&nbsp; 0.99 | &nbsp;&nbsp;&nbsp; (1.08) |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL FROM INVESTMENT OPERATIONS | &nbsp;&nbsp;&nbsp; (1.51) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.70 | &nbsp;&nbsp;&nbsp;&nbsp; 0.74 | &nbsp;&nbsp;&nbsp;&nbsp; 1.81 | &nbsp;&nbsp;&nbsp; (0.27) |
| **Less Distributions:** |  |  |  |  |  |
| Distributions from net investment income | &nbsp;&nbsp;&nbsp; (0.77) | &nbsp;&nbsp;&nbsp;&nbsp; (0.72) | &nbsp;&nbsp;&nbsp; (0.76) | &nbsp;&nbsp;&nbsp; (0.82) | &nbsp;&nbsp;&nbsp; (0.81) |
| **Net Asset Value, End of Period** | **$10.88** | **$13.16** | **$13.18** | **$13.20** | **$12.21** |
| **Total Return**<sup>1</sup> <br>| &nbsp;&nbsp; (11.63)% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40% | &nbsp;&nbsp;&nbsp;&nbsp; 6.04% | &nbsp;&nbsp;&nbsp; 15.10% | &nbsp;&nbsp;&nbsp; (2.19)% |
| **Ratios to Average Net Assets:** |  |  |  |  |  |
| Net expenses<sup>2</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.00% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00% | &nbsp;&nbsp;&nbsp;&nbsp; 0.00% | &nbsp;&nbsp;&nbsp;&nbsp; 0.00% | &nbsp;&nbsp;&nbsp;&nbsp; 0.00% |
| Net investment income | &nbsp;&nbsp;&nbsp;&nbsp; 6.24% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.42% | &nbsp;&nbsp;&nbsp;&nbsp; 5.93% | &nbsp;&nbsp;&nbsp;&nbsp; 6.30% | &nbsp;&nbsp;&nbsp;&nbsp; 6.26% |
| Expense waiver/reimbursement<sup>3</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.55% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.25% | &nbsp;&nbsp;&nbsp;&nbsp; 0.45% | &nbsp;&nbsp;&nbsp;&nbsp; 0.41% | &nbsp;&nbsp;&nbsp;&nbsp; 0.45% |
| **Supplemental Data:** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $15889 | $125419 | $95707 | $44776 | $42319 |
| Portfolio turnover<sup>4</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Based on net asset value.* |
| 2 | *The Adviser has contractually agreed to reimburse all expenses of the Fund, excluding extraordinary expenses. Amount does not reflect net expenses incurred by* <br> *investment companies in which the Fund may invest.*<br>|
| 3 | *This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/*<br> *reimbursement recorded by investment companies in which the Fund may invest.*<br>|
| 4 | *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

**7**

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Statement of Assets and Liabilities <br>December 31, 2022

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Assets:** |  |
| Investment in securities, at value including $14,555,962 of investments in affiliated holdings\* (identified cost $17,487,494) | $16011962 |
| Cash | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342 |
| Income receivable from affiliated holdings | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84394 |
| Receivable for shares sold | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23796 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets | &nbsp;&nbsp; 16120494 |
| **Liabilities:** |  |
| Payable for investments purchased | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84046 |
| Payable for shares redeemed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5516 |
| Income distribution payable | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84699 |
| Payable to adviser (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1697 |
| Payable for administrative fee (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 |
| Payable for auditing fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26900 |
| Payable for legal fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4158 |
| Payable for portfolio accounting fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13724 |
| Accrued expenses (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10251 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 231059 |
| Net assets for 1,459,949 shares outstanding | $15889435 |
| **Net Assets Consist of:** |  |
| Paid-in capital | $24879864 |
| Total distributable earnings (loss) | &nbsp;&nbsp; (8990429) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Net Assets | $15889435 |
| **Net Asset Value, Offering Price and Redemption Proceeds Per Share:** |  |
| $15,889,435 ÷ 1,459,949 shares outstanding, no par value, unlimited shares authorized | $10.88 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *See information listed after the Fund's Portfolio of Investments.*

See Notes which are an integral part of the Financial Statements

Annual Shareholder Report

**8**

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Statement of Operations <br>Year Ended December 31, 2022

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Investment Income:** |  |
| Dividends received from affiliated holdings\* | $2267098 |
| Interest | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9606 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL INCOME | &nbsp;&nbsp; 2276704 |
| **Expenses:** |  |
| Administrative fee (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28556 |
| Custodian fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3807 |
| Transfer agent fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6058 |
| Directors'/Trustees' fees (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1835 |
| Auditing fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26901 |
| Legal fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9201 |
| Portfolio accounting fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54725 |
| Share registration costs | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31066 |
| Printing and postage | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19961 |
| Commitment fee | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10983 |
| Miscellaneous (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7233 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL EXPENSES | &nbsp;&nbsp;&nbsp;&nbsp; 200326 |
| **Waivers and Reimbursement:** |  |
| Waivers/reimbursement of other operating expenses (Notes 2 and 5) | &nbsp;&nbsp;&nbsp;&nbsp; (200326) |
| Net expenses | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Net investment income | &nbsp;&nbsp; 2276704 |
| **Realized and Unrealized Gain (Loss) on Investments:** |  |
| Net realized loss on investments in an affiliated holding\* | &nbsp;&nbsp; (5665295) |
| Net change in unrealized appreciation of investments in an affiliated holding\* | &nbsp;&nbsp; (3603391) |
| Net realized and unrealized gain (loss) on investments | &nbsp;&nbsp; (9268686) |
| Change in net assets resulting from operations | $(6991982) |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *See information listed after the Fund's Portfolio of Investments.*

See Notes which are an integral part of the Financial Statements

Annual Shareholder Report

**9**

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Statement of Changes in Net Assets

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Year Ended December 31** | **2022** | **2021** |
| **Increase (Decrease) in Net Assets** |  |  |
| **Operations:** |  |  |
| Net investment income | $2276704 | $6035890 |
| Net realized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp; (5665295) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (34687) |
| Net change in unrealized appreciation/depreciation | &nbsp;&nbsp;&nbsp;&nbsp; (3603391) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (252020) |
| &nbsp;&nbsp;&nbsp;&nbsp; CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | &nbsp;&nbsp;&nbsp;&nbsp; (6991982) | &nbsp;&nbsp;&nbsp;&nbsp; 5749183 |
| **Distributions to Shareholders** | &nbsp;&nbsp;&nbsp;&nbsp; (2276985) | &nbsp;&nbsp;&nbsp;&nbsp; (6035472) |
| **Share Transactions:** |  |  |
| Proceeds from sale of shares | &nbsp;&nbsp;&nbsp;&nbsp; 13195555 | &nbsp;&nbsp;&nbsp; 42889213 |
| Net asset value of shares issued to shareholders in payment of distributions declared | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101793 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212775 |
| Cost of shares redeemed | &nbsp;&nbsp; (113557902) | &nbsp;&nbsp; (13103471) |
| &nbsp;&nbsp;&nbsp;&nbsp; CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | &nbsp;&nbsp; (100260554) | &nbsp;&nbsp;&nbsp; 29998517 |
| Change in net assets | &nbsp;&nbsp; (109529521) | &nbsp;&nbsp;&nbsp; 29712228 |
| **Net Assets:** |  |  |
| Beginning of period | &nbsp;&nbsp; 125418956 | &nbsp;&nbsp;&nbsp; 95706728 |
| End of period | $15889435 | $125418956 |

---

See Notes which are an integral part of the Financial Statements

Annual Shareholder Report

**10**

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Notes to Financial Statements

December 31, 2022

**1. ORGANIZATION** 

Federated Hermes Managed Pool Series (the "Trust") is registered under the Act, as an open-end management investment company. The Trust consists of five portfolios. The financial statements included herein are only those of Federated Hermes High Yield Strategy Portfolio (the "Fund"), a non-diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder's interest is limited to the portfolio in which shares are held. Each portfolio pays its own expenses. The investment objective of the Fund is to seek high current income by investing primarily in a high-yield bond mutual fund and in a portfolio of fixed-income securities.

**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:

◾ <br>

Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by Federated Investment Management Company (the "Adviser").

◾ <br>

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.

◾ <br>

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.

◾ <br>

Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Adviser.

◾ <br>

For securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.

If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Adviser's valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion of the Adviser's valuation committee ("Valuation Committee"), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.

**Fair Valuation and Significant Events Procedures** 

Pursuant to Rule 2a-5 under the Act, the Fund's Board of Trustees (the "Trustees") have 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.

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The Adviser has also adopted procedures requiring an investment to be priced at its fair value whenever the Valuation Committee determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:

◾ <br>

With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;

◾ <br>

Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;

◾ <br>

Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry.

The Adviser has adopted procedures whereby the Valuation Committee uses a pricing service to provide factors to update the fair value of equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the pricing time of the Fund. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Valuation Committee will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Adviser. The Trustees periodically review fair valuations made in response to significant events.

**Repurchase Agreements** 

The Fund may invest in repurchase agreements for short-term liquidity purposes. It is the policy of the Fund to require the other party to a repurchase agreement to transfer to the Fund's custodian or sub-custodian eligible securities or cash with a market value (after transaction costs) at least equal to the repurchase price to be paid under the repurchase agreement. The eligible securities are transferred to accounts with the custodian or sub-custodian in which the Fund holds a "securities entitlement" and exercises "control" as those terms are defined in the Uniform Commercial Code. The Fund has established procedures for monitoring the market value of the transferred securities and requiring the transfer of additional eligible securities if necessary to equal at least the repurchase price. These procedures also allow the other party to require securities to be transferred from the account to the extent that their market value exceeds the repurchase price or in exchange for other eligible securities of equivalent market value.

The insolvency of the other party or other failure to repurchase the securities may delay the disposition of the underlying securities or cause the Fund to receive less than the full repurchase price. Under the terms of the repurchase agreement, any amounts received by the Fund in excess of the repurchase price and related transaction costs must be remitted to the other party.

The Fund may enter into repurchase agreements in which eligible securities are transferred into joint trading accounts maintained by the custodian or sub-custodian for investment companies and other clients advised by the Fund's Adviser and its affiliates. The Fund will participate on a pro rata basis with the other investment companies and clients in its share of the securities transferred under such repurchase agreements and in its share of proceeds from any repurchase or other disposition of such securities.

Repurchase agreements are subject to Master Netting Agreements which are agreements between the Fund and its counterparties that provide for the net settlement of all transactions and collateral with the Fund, through a single payment, in the event of default or termination. Amounts presented on the Portfolio of Investments and Statement of Assets and Liabilities are not net settlement amounts but gross. As indicated above, the cash or securities to be repurchased, as shown on the Portfolio of Investments, exceeds the repurchase price to be paid under the agreement reducing the net settlement amount to zero.

**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. Amortization/accretion of premium and discount is included in investment income. The detail of the total fund expense reimbursement of $200,326 is disclosed in Note 5.

**Federal Taxes** 

It is the Fund's policy to comply with the Subchapter M provision of the Internal Revenue Code (the "Code") and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal income tax is necessary. As of and during the year ended December 31, 2022, the Fund did not have a liability for any uncertain tax positions. The Fund recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2022, tax years 2019 through 2022 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.

**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.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**3. SHARES OF BENEFICIAL INTEREST** 

The following table summarizes share activity:

---

| | | |
|:---|:---|:---|
|  | **Year Ended** <br>**12/31/2022**<br>| **Year Ended** <br>**12/31/2021**<br>|
| Shares sold | 1102776 | 3246928 |
| Shares issued to shareholders in payment of distributions declared | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8523 | &nbsp;&nbsp;&nbsp;&nbsp; 16143 |
| Shares redeemed | (9181840) | &nbsp;&nbsp; (993919) |
| &nbsp;&nbsp;&nbsp;&nbsp; NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (8070541) | 2269152 |

---

**4. FEDERAL TAX INFORMATION** 

The tax character of distributions as reported on the Statement of Changes in Net Assets for the years ended December 31, 2022 and 2021, was as follows:

---

| | | |
|:---|:---|:---|
|  | **2022** | **2021** |
| Ordinary income | $2276985 | $6035472 |

---

As of December 31, 2022, the components of distributable earnings on a tax-basis were as follows:

---

| | |
|:---|:---|
| Undistributed ordinary income | $1188 |
| Net unrealized depreciation | $(1929941) |
| Capital loss carryforwards | $(7061676) |
| TOTAL | $(8990429) |

---

At December 31, 2022, the cost of investments for federal tax purposes was $17,941,903. The net unrealized depreciation of investments for federal tax purposes was $1,929,941. This consists entirely of unrealized depreciation from investments for those securities having an excess of cost over value of $1,929,941. The difference between book-basis and tax-basis net unrealized depreciation is attributable to differing treatments for deferral of losses on wash sales.

As of December 31, 2022, the Fund had a capital loss carryforward of $7,061,676 which will reduce the Fund's taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code of 1986, thereby reducing the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. Pursuant to the Code, these net capital losses retain their character as either short-term or long-term and do not expire.

The following schedule summarizes the Fund's capital loss carryforwards:

---

| | | |
|:---|:---|:---|
| **Short-Term** | **Long-Term** | **Total** |
| $1183168 | $5878508 | $7061676 |

---

**5. INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES** 

**Investment Adviser Fee** 

The Adviser provides investment adviser services at no fee because all eligible investors are: (1) in separately managed or wrap fee programs, who often pay a single aggregate fee to the wrap program sponsor for all costs and expenses of the wrap fee programs; or (2) in certain other separately managed accounts and discretionary investment accounts. The Adviser has contractually agreed to reimburse all expenses of the Fund, excluding extraordinary expenses. Acquired fund fees and expenses are not direct obligations of the Fund and are not contractual reimbursements under the investment advisory contract.

For the year ended December 31, 2022, the Adviser reimbursed $200,326 of other operating expenses.

**Administrative Fee** 

Federated Administrative Services (FAS), under the Administrative Services Agreement, provides the Fund with administrative personnel and services. For purposes of determining the appropriate rate breakpoint, "Investment Complex" is defined as all of the Federated Hermes Funds subject to a fee under the Administrative Services Agreement. The fee paid to FAS is based on the average daily net assets of the Investment Complex as specified below:

---

| | |
|:---|:---|
| **Administrative Fee** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Average Daily Net Assets** <br>**of the Investment Complex**<br>|
| 0.100% | on assets up to $50 billion |
| 0.075% | on assets over $50 billion |

---

For the year ended December 31, 2022, the annualized fee paid to FAS was 0.078% of average daily net assets of the Fund. For the year ended December 31, 2022, the Fund's Adviser reimbursed the Fund for any fee paid to FAS.

In addition, FAS may charge certain out-of-pocket expenses to the Fund.

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**Directors'/Trustees' and Miscellaneous Fees** 

Certain Officers and Trustees of the Fund are Officers and Directors or Trustees of certain of the above companies. To efficiently facilitate payment, Independent Directors'/Trustees' fees and certain expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses are paid by an affiliate of the Adviser which in due course are reimbursed by the Fund. These expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses may be included in Accrued and Miscellaneous Expenses on the Statement of Assets and Liabilities and Statement of Operations, respectively.

**6. INVESTMENT TRANSACTIONS** 

Purchases and sales of investments, excluding long-term U.S. government securities and short-term obligations, for the year ended December 31, 2022, were as follows:

---

| | |
|:---|:---|
| Purchases | $7917270 |
| Sales | $108900000 |

---

**7. LINE OF CREDIT** 

The Fund participates with certain other Federated Hermes Funds, on a several basis, in an up to $500,000,000 unsecured, 364-day, committed, revolving line of credit (LOC) agreement dated June 22, 2022. The LOC was made available to temporarily finance the repurchase or redemption of shares of the Fund, failed trades, payment of dividends, settlement of trades and for other short-term, temporary or emergency general business purposes. The Fund cannot borrow under the LOC if an inter-fund loan is outstanding. The Fund's ability to borrow under the LOC also is subject to the limitations of the Act and various conditions precedent that must be satisfied before the Fund can borrow. Loans under the LOC are charged interest at a fluctuating rate per annum equal to (a) the highest, on any day, of (i) the federal funds effective rate, (ii) the published secured overnight financing rate plus an assigned percentage, and (iii) 0.0%, plus (b) a margin. Any fund eligible to borrow under the LOC pays its pro rata share of a commitment fee based on the amount of the lenders' commitment that has not been utilized, quarterly in arrears and at maturity. As of December 31, 2022, the Fund had no outstanding loans. During the year ended December 31, 2022, the Fund did not utilize the LOC.

**8. Interfund Lending** 

Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other funds advised by subsidiaries of Federated Hermes, Inc., may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from other participating affiliated funds. As of December 31, 2022, there were no outstanding loans. During the year ended December 31, 2022, the program was not utilized.

**9. INDEMNIFICATIONS** 

Under the Fund's organizational documents, its Officers and Directors/Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund (other than liabilities arising out of their willful misfeasance, bad faith, gross negligence or reckless disregard of their duties to the Fund). In addition, in the normal course of business, the Fund provides certain indemnifications under arrangements with third parties. Typically, obligations to indemnify a third party arise in the context of an arrangement entered into by the Fund under which the Fund agrees to indemnify such third party for certain liabilities arising out of actions taken pursuant to the arrangement, provided the third party's actions are not deemed to have breached an agreed-upon standard of care (such as willful misfeasance, bad faith, gross negligence or reckless disregard of their duties under the contract). The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet arisen. The Fund does not anticipate any material claims or losses pursuant to these arrangements at this time, and accordingly expects the risk of loss to be remote.

**10. OTHER MATTERS** 

An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread globally. As of the date of the issuance of these financial statements, this coronavirus has resulted in, and may continue to result in, closed borders, enhanced health screenings, disruptions to healthcare service preparation and delivery, quarantines, cancellations, and disruptions to supply chains, workflow operations and consumer activity, as well as general concern and uncertainty. The impact of this coronavirus has resulted in substantial economic volatility. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks. The impact of this outbreak, and other epidemics and pandemics that may arise in the future, could continue to negatively affect the worldwide economy, as well as the economies of individual countries, individual companies (including certain Fund service providers and issuers of the Fund's investments) and the markets in general in significant and unforeseen ways. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic, including significant fiscal and monetary policy changes, that may affect the instruments in which the Fund invests or the issuers of such investments. Any such impact could adversely affect the Fund's performance.

**11. FEDERAL TAX INFORMATION (UNAUDITED)** 

For the fiscal year ended December 31, 2022, 84.22% of dividends paid by the Fund are interest-related dividends, as provided by the American Jobs Creation Act of 2004.

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Report of Independent Registered Public Accounting Firm

**TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FEDERATED HERMES HIGH YIELD STRATEGY PORTFOLIO:**

**Opinion on the Financial Statements**

We have audited the accompanying statement of assets and liabilities of Federated Hermes High Yield Strategy Portfolio (the "Fund") (one of the portfolios constituting Federated Hermes Managed Pool Series (the "Trust")), including the portfolio of investments, as of December 31, 2022, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the portfolios constituting Federated Hermes Managed Pool Series) at December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

**Basis for Opinion**

These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust's internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian, brokers, and others; when replies were not received from brokers or others, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. <br> ![](ernstyoungsig.jpg)

We have served as the auditor of one or more Federated Hermes investment companies since 1979.

Boston, Massachusetts <br>February 22, 2023

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Shareholder Expense Example (unaudited)

As a shareholder of the Fund, you incur ongoing costs, including to the extent applicable, management fees, distribution (12b-1) fees and/or other service fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2022 to December 31, 2022.

**ACTUAL EXPENSES** 

The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to *estimate* the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled "Expenses Paid During Period" to estimate the expenses attributable to your investment during this period.

**HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES** 

The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an *assumed* rate of return of 5% per year before expenses, which is not the Fund's actual return. Thus, you should *not* use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are required to be provided to enable you to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative *total* costs of owning different funds.

---

| | | | |
|:---|:---|:---|:---|
|  | **Beginning** <br>**Account Value** <br>**7/1/2022**<br>| **Ending** <br>**Account Value** <br>**12/31/2022**<br>| **Expenses Paid** <br>**During Period**<sup>1</sup> <br>|
| **Actual** | $1000 | $1027.20 | $0.00 |
| **Hypothetical (assuming a 5% return before expenses)** | $1000 | $1025.21 | $0.00 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Expenses are equal to the Fund's annualized net expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 184/365 (to* <br> *reflect the one-half-year period). The Adviser has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses incurred by the* <br> *Fund. This agreement has no fixed term.*<br>|

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High Yield Bond Core Fund

**Financial Statements and Notes to Financial Statements**

Federated Hermes High Yield Strategy Portfolio invests primarily in High Yield Bond Core Fund. Therefore, the High Yield Bond Core Fund financial statements and notes to financial statements are included on pages 18 through 42.

High Yield Bond Core Fund

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Management's Discussion of Fund Performance (unaudited)

The total return of the High Yield Bond Core Fund (the "Fund"), based on net asset value for the 12-month reporting period ended December 31, 2022, was -11.96%. The total return of the Fund's shares consisted of 5.71% current income and -17.67% of depreciation in the net asset value of the Fund's shares. The total return of the Bloomberg US Corporate High Yield 2% Issuer Capped Index (BHY2%ICI),<sup>1</sup> a broad-based securities market index, was -11.18% during the same period. The Fund's total return for the most recently completed fiscal year reflected actual cash flows, transaction costs and expenses which were not reflected in the total return of the BHY2%ICI.

During the reporting period, the most significant factors affecting the Fund's performance relative to the BHY2%ICI were: (1) the allocation among industry sectors, (2) the selection of individual securities and (3) the duration of the portfolio's holdings. The following discussion will focus on the Fund's performance relative to the BHY2%ICI.

**MARKET OVERVIEW**

The major factors influencing markets during the period under review were concerns about the economy and inflation. Economic growth started the year slowly as the lingering impact of the pandemic, the outbreak of war in Ukraine, supply chain issues and surging prices, especially for energy and food, caused major distortions. Global central banks, including the Federal Reserve, responded to the surge in prices by aggressively raising short-term interest rates. Longer-term rates also rose although less than short-term rates which resulted in an inverted yield curve.<sup>2</sup> This raised further concerns about the economy. However, the second half of the year saw economic growth surprise to the upside as a robust job market, rising wages, declining pandemic-related concerns and normalizing supply chains provided support. Corporate earnings also proved resilient as companies were able to aggressively raise prices to offset surging input costs and rising wages, while demand was supported by the strong jobs market and from the benefits of the reopening from the pandemic. Default rates and credit spreads for high-yield securities both climbed modestly higher. The overall impact of these factors can be illustrated by the change in credit spreads between the Credit Suisse High Yield Bond Index<sup>3</sup> and Treasury securities with similar maturities which began the period at 355 basis points, peaked in early July at 606 basis points before declining to end the fiscal year at 499 basis points.

Within the high-yield<sup>4</sup> market, major industry sectors that substantially outperformed the overall BHY2%ICI during the reporting period included: Oil Field Services, Aerospace and Defense, Gaming, Independent Energy and Metals & Mining. Major industry sectors that substantially underperformed the overall BHY2%ICI during the fiscal year included: Pharmaceuticals, Retail, Wireless Telecommunications, Media & Entertainment and Cable & Satellite. From a quality perspective, the B-rated sector led the way with a total return of -10.26% followed by the BB-rated sector at -10.77%. The CCC-rated sector, perhaps reflecting some economic concerns, lagged with a return of -16.29%.

**Sector Allocation**

The Fund was positively impacted by its sector allocation relative to the BHY2%ICI. The Fund was positively impacted by its overweight allocation to the strong performing Insurance–Property and Casualty (P&C) and Oil Field Services industry sectors. The Fund was also positively impacted by its underweight allocations to the poor performing Retail, Wireline Telecommunications and Wireless Telecommunications sectors. In addition, the Fund was positively impacted by its cash holdings. The Fund was negatively impacted by its overweight allocations to the poor performing Pharmaceuticals, Media & Entertainment and Cable & Satellite sectors. It was also negatively impacted by its underweight allocations to the Refining, Other Industrials, Airline and Metal & Mining sectors.

**Security Selection**

The Fund's security selection had a negative impact on performance relative to the BHY2%ICI. Security selection in Technology, Pharmaceuticals, Media & Entertainment, Healthcare, Chemicals, Cable & Satellite, Gaming, Diversified Manufacturing, Building Materials, Finance Companies, Midstream, Restaurants and Consumer Cyclical Services sectors negatively impacted performance. Specific high-yield issuers held by the Fund that negatively impacted performance relative to the BHY2%ICI included: Audacy, Inc., CSC Holdings LLC, Rackspace Technology, Mallinckrodt International and Polar US Barrower. The Fund was positively impacted by security selection in Insurance - P&C, Retail, Independent Energy, Wireless Telecommunications, Oil Field Services, and Consumer Products sectors. Specific high-yield issuers held by the Fund that positively impacted performance relative to the BHY2%ICI included: Hub International Limited, Clarios Global LP, USIS Merger Subsidiary, Inc., Flex Acquisition and Gates Global LLC. The Fund also benefitted from its equity position in Superior Energy Services, Inc.

High Yield Bond Core Fund

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**DURATION**

The Fund began the reporting period with a duration shorter than the BHY2%ICI. Given the substantial increase in the general interest rate<sup>5</sup> level during the period as well as the increase in credit spreads, the shorter duration had a positive impact early in the period. At the end of the fiscal year, the Fund's duration<sup>6</sup> was modestly greater than the BHY2%ICI.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Please see the footnotes to the line graphs below for definitions of, and further information about, the BHY2%ICI.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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.\**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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 securities of shorter durations.*

\*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The index is unmanaged, and it is not possible to invest directly in an index.*

High Yield Bond Core Fund

Annual Shareholder Report

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**FUND PERFORMANCE AND GROWTH OF A $10,000 INVESTMENT**

The graph below illustrates the hypothetical investment of $10,000<sup>1</sup> in the High Yield Bond Core Fund (the "Fund") from December 31, 2012 to December 31, 2022, compared to the Bloomberg US Corporate High Yield 2% Issuer Capped Index (BHY2%ICI).<sup>2</sup> The Average Annual Total Return table below shows returns averaged over the stated periods.

**Growth of a $10,000 Investment**

**Growth of $10,000 as of December 31, 2022** <br> ![](hycorear30175.jpg)

**Average Annual Total Returns for the Period Ended 12/31/2022** 

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Years** | **10 Years** |
| **Fund** | -11.96% | 2.10% | 4.25% |
| BHY2%ICI | -11.18% | 2.30% | 4.03% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**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, 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.** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The Fund's performance assumes the reinvestment of all dividends and distributions. The BHY2%ICI has been adjusted to reflect reinvestment of dividends on securities in the index.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The BHY2%ICI is an issuer-constrained version of the Bloomberg US Corporate High Yield Index that measures the market of USD-denominated, noninvestment-grade, fixed-rate, taxable corporate bonds. The index follows the same rules as the uncapped index but limits the exposure of each issuer to 2% of the total market value and redistributes any excess market value index-wide on a pro rata basis. The BHY2%ICI 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.*

High Yield Bond Core Fund

Annual Shareholder Report

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Portfolio of Investments Summary Table (unaudited)

At December 31, 2022, the Fund's index classification<sup>1</sup> was as follows:

---

| | |
|:---|:---|
| **Index Classification** | **Percentage of** <br>**Total Net Assets**<br>|
| Technology | &nbsp;&nbsp; 9.5% |
| Cable Satellite | &nbsp;&nbsp; 8.4% |
| Midstream | &nbsp;&nbsp; 7.0% |
| Insurance - P&C | &nbsp;&nbsp; 6.8% |
| Media Entertainment | &nbsp;&nbsp; 6.7% |
| Health Care | &nbsp;&nbsp; 5.4% |
| Automotive | &nbsp;&nbsp; 5.1% |
| Packaging | &nbsp;&nbsp; 4.9% |
| Independent Energy | &nbsp;&nbsp; 4.9% |
| Building Materials | &nbsp;&nbsp; 4.8% |
| Gaming | &nbsp;&nbsp; 4.3% |
| Chemicals | &nbsp;&nbsp; 3.7% |
| Other<sup>2</sup> <br>| 24.9% |
| Cash Equivalents<sup>3</sup> <br>| &nbsp;&nbsp; 2.4% |
| Other Assets and Liabilities - Net<sup>4</sup> <br>| &nbsp;&nbsp; 1.2% |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | **100%** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg US Corporate* <br> *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* <br> *Fund's Adviser.*<br>|
| 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* <br> *"Other."*<br>|
| 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.* |

---

High Yield Bond Core Fund

Annual Shareholder Report

**21**

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Portfolio of Investments

December 31, 2022

---

| | | |
|:---|:---|:---|
| **Principal** <br>**Amount** <br>**or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—95.4% |  |
|  | **Aerospace/Defense—1.5%** |  |
| $3800000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.250%, 3/15/2026 | $3755882 |
| &nbsp;&nbsp; 4800000 | TransDigm, Inc., Sr. Sub., 6.875%, 5/15/2026 | &nbsp;&nbsp; 4694705 |
| &nbsp;&nbsp; 2600000 | TransDigm, Inc., Sr. Sub., Series WI, 7.500%, 3/15/2027 | &nbsp;&nbsp; 2576567 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 11027154 |
|  | **Automotive—5.1%** |  |
| &nbsp;&nbsp; 3075000 | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026 | &nbsp;&nbsp; 2867253 |
| &nbsp;&nbsp; 5400000 | Dornoch Debt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 6.625%, 10/15/2029 | &nbsp;&nbsp; 3795153 |
| &nbsp;&nbsp; 6825000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.375%, 11/13/2025 | &nbsp;&nbsp; 6181968 |
| &nbsp;&nbsp; 3700000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.000%, 11/13/2030 | &nbsp;&nbsp; 3044378 |
| &nbsp;&nbsp; 2000000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.125%, 8/17/2027 | &nbsp;&nbsp; 1794590 |
| &nbsp;&nbsp; 3725000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.113%, 5/3/2029 | &nbsp;&nbsp; 3381555 |
| &nbsp;&nbsp; 1800000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, Series GMTN, 4.389%, 1/8/2026 | &nbsp;&nbsp; 1680759 |
| &nbsp;&nbsp; 400000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.000%, 5/15/2027 | &nbsp;&nbsp; 351810 |
| &nbsp;&nbsp; 1600000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029 | &nbsp;&nbsp; 1354920 |
| &nbsp;&nbsp; 8025000 | Panther BF Aggregator 2 LP, Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027 | &nbsp;&nbsp; 7852916 |
| &nbsp;&nbsp; 4300000 | Real Hero Merger Sub 2, Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/1/2029 | &nbsp;&nbsp; 2953240 |
| &nbsp;&nbsp; 3575000 | Schaeffler Verwaltung ZW, 144A, 4.750%, 9/15/2026 | &nbsp;&nbsp; 3099324 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 38357866 |
|  | **Building Materials—4.8%** |  |
| &nbsp;&nbsp; 2500000 | Abc Supply Co., Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/15/2029 | &nbsp;&nbsp; 2046812 |
| &nbsp;&nbsp; 1250000 | Camelot Return Merger SU, Sec. Fac. Bond, 144A, 8.750%, 8/1/2028 | &nbsp;&nbsp; 1148656 |
| &nbsp;&nbsp; 1300000 | Cornerstone Building Brands, Sr. Unsecd. Note, 144A, 6.125%, 1/15/2029 | &nbsp;&nbsp; 917631 |
| &nbsp;&nbsp; 4150000 | Cp Atlas Buyer, Inc., Sr. Unsecd. Note, 144A, 7.000%, 12/1/2028 | &nbsp;&nbsp; 3087619 |
| &nbsp;&nbsp; 5125000 | Foundation Building Materials, Inc., Sr. Unsecd. Note, 144A, 6.000%, 3/1/2029 | &nbsp;&nbsp; 3860272 |
| &nbsp;&nbsp; 4275000 | Gyp Holdings III Corp., Sr. Unsecd. Note, 144A, 4.625%, 5/1/2029 | &nbsp;&nbsp; 3495957 |
| &nbsp;&nbsp; 2950000 | Interface, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/1/2028 | &nbsp;&nbsp; 2439758 |
| &nbsp;&nbsp; 1950000 | MIWD Holdco II LLC/MIWD Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 2/1/2030 | &nbsp;&nbsp; 1555028 |
| &nbsp;&nbsp; 4175000 | SRS Distribution, Inc., Sr. Unsecd. Note, 144A, 6.000%, 12/1/2029 | &nbsp;&nbsp; 3328114 |
| &nbsp;&nbsp; 2850000 | SRS Distribution, Inc., Sr. Unsecd. Note, 144A, 6.125%, 7/1/2029 | &nbsp;&nbsp; 2307987 |
| &nbsp;&nbsp; 2850000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 4.375%, 7/15/2030 | &nbsp;&nbsp; 2328477 |
| &nbsp;&nbsp; 1200000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2028 | &nbsp;&nbsp; 1081620 |
| &nbsp;&nbsp; 3425000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027 | &nbsp;&nbsp; 3165447 |
| &nbsp;&nbsp; 3575000 | White Cap Buyer LLC, Sr. Unsecd. Note, 144A, 6.875%, 10/15/2028 | &nbsp;&nbsp; 3098252 |
| &nbsp;&nbsp; 2150000 | White Cap Parent LLC, Sr. Sub. Secd. Note, 144A, 8.250%, 3/15/2026 | &nbsp;&nbsp; 1861341 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 35722971 |
|  | **Cable Satellite—8.4%** |  |
| &nbsp;&nbsp; 2300000 | CCO Holdings LLC/Cap Corp., Sr. Sub. Secd. Note, 144A, 5.500%, 5/1/2026 | &nbsp;&nbsp; 2230380 |
| &nbsp;&nbsp; 3000000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 4.500%, 5/1/2032 | &nbsp;&nbsp; 2393775 |
| &nbsp;&nbsp; 1300000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.000%, 3/1/2023 | &nbsp;&nbsp; 1295148 |
| &nbsp;&nbsp; 3225000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2031 | &nbsp;&nbsp; 2594190 |
| &nbsp;&nbsp; 1675000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2034 | &nbsp;&nbsp; 1239500 |
| &nbsp;&nbsp; 1500000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 8/15/2030 | &nbsp;&nbsp; 1242615 |
| &nbsp;&nbsp; 2150000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 6/1/2033 | &nbsp;&nbsp; 1653877 |
| &nbsp;&nbsp; 1650000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | &nbsp;&nbsp; 1501822 |
| &nbsp;&nbsp; 650000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029 | &nbsp;&nbsp; 589241 |
| &nbsp;&nbsp; 1550000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2031 | &nbsp;&nbsp; 1013344 |
| &nbsp;&nbsp; 3800000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.125%, 12/1/2030 | &nbsp;&nbsp; 2690533 |

---

High Yield Bond Core Fund

Annual Shareholder Report

**22**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Cable Satellite—continued** |  |
| $3800000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.500%, 11/15/2031 | $2643618 |
| &nbsp;&nbsp; 4225000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.625%, 12/1/2030 | &nbsp;&nbsp; 2344195 |
| &nbsp;&nbsp; 2275000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.000%, 11/15/2031 | &nbsp;&nbsp; 1274000 |
| &nbsp;&nbsp; 4500000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2030 | &nbsp;&nbsp; 2547878 |
| &nbsp;&nbsp; 950000 | DIRECTV Holdings LLC, Sec. Fac. Bond, 144A, 5.875%, 8/15/2027 | &nbsp;&nbsp; 851732 |
| &nbsp;&nbsp; 2000000 | DISH DBS Corp., Sr. Unsecd. Note, 7.375%, 7/1/2028 | &nbsp;&nbsp; 1418250 |
| &nbsp;&nbsp; 5900000 | DISH DBS Corp., Sr. Unsecd. Note, Series WI, 5.125%, 6/1/2029 | &nbsp;&nbsp; 3817211 |
| &nbsp;&nbsp; 1000000 | DISH Network Corp., Sec. Fac. Bond, 144A, 11.750%, 11/15/2027 | &nbsp;&nbsp; 1031150 |
| &nbsp;&nbsp; 3000000 | Doyla Holdco 18 Designated Activity Co., Sr. Unsecd. Note, 144A, 5.000%, 7/15/2028 | &nbsp;&nbsp; 2626927 |
| &nbsp;&nbsp; 2650000<br><sup>1,2,3</sup> <br>| Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.500%, 8/1/2023 | &nbsp;&nbsp; 0 |
| &nbsp;&nbsp; 2475000<br><sup>1,2,3</sup> <br>| Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 8.500%, 10/15/2024 | &nbsp;&nbsp; 0 |
| &nbsp;&nbsp; 1975000<br><sup>1,2,3</sup> <br>| Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 9.750%, 7/15/2025 | &nbsp;&nbsp; 0 |
| &nbsp;&nbsp; 4175000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2031 | &nbsp;&nbsp; 3265243 |
| &nbsp;&nbsp; 2725000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2030 | &nbsp;&nbsp; 2254842 |
| &nbsp;&nbsp; 1000000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029 | &nbsp;&nbsp; 915035 |
| &nbsp;&nbsp; 5000000 | Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028 | &nbsp;&nbsp; 4550000 |
| &nbsp;&nbsp; 5525000 | UPC Broadband Finco BV, Sr. Note, 144A, 4.875%, 7/15/2031 | &nbsp;&nbsp; 4606800 |
| &nbsp;&nbsp; 725000 | Virgin Media Finance PLC, Sr. Unsecd. Note, 144A, 5.000%, 7/15/2030 | &nbsp;&nbsp; 582679 |
| &nbsp;&nbsp; 625000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 5.500%, 5/15/2029 | &nbsp;&nbsp; 561291 |
| &nbsp;&nbsp; 1000000 | Vmed O2 UK Financing I PLC, Sec. Fac. Bond, 144A, 4.250%, 1/31/2031 | &nbsp;&nbsp; 811770 |
| &nbsp;&nbsp; 2425000 | Vmed O2 UK Financing I PLC, Sr. Note, 144A, 4.750%, 7/15/2031 | &nbsp;&nbsp; 1974690 |
| &nbsp;&nbsp; 6175000 | Ziggo Finance BV, Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027 | &nbsp;&nbsp; 5755100 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 62276836 |
|  | **Chemicals—3.7%** |  |
| &nbsp;&nbsp; 3575000 | Axalta Coating Systems LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2029 | &nbsp;&nbsp; 2954345 |
| &nbsp;&nbsp; 225000 | Cheever Escrow Issuer, Sec. Fac. Bond, 144A, 7.125%, 10/1/2027 | &nbsp;&nbsp; 215729 |
| &nbsp;&nbsp; 5100000 | Diamond BC BV, Sr. Unsecd. Note, 144A, 4.625%, 10/1/2029 | &nbsp;&nbsp; 4099380 |
| &nbsp;&nbsp; 2275000 | Element Solutions, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2028 | &nbsp;&nbsp; 1937390 |
| &nbsp;&nbsp; 2775000 | H.B. Fuller Co., Sr. Unsecd. Note, 4.250%, 10/15/2028 | &nbsp;&nbsp; 2465352 |
| &nbsp;&nbsp; 4700000 | Herens Holdco S.a.r.l., Sec. Fac. Bond, 144A, 4.750%, 5/15/2028 | &nbsp;&nbsp; 3518913 |
| &nbsp;&nbsp; 5225000 | Koppers, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | &nbsp;&nbsp; 4972005 |
| &nbsp;&nbsp; 5675000 | Olympus Water US Holding Corp., Sr. Unsecd. Note, 144A, 6.250%, 10/1/2029 | &nbsp;&nbsp; 4315873 |
| &nbsp;&nbsp; 3950000 | Polar US Borrower LLC, Sr. Unsecd. Note, 144A, 6.750%, 5/15/2026 | &nbsp;&nbsp; 1470486 |
| &nbsp;&nbsp; 1875000 | WR Grace Holdings LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 | &nbsp;&nbsp; 1518319 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 27467792 |
|  | **Construction Machinery—0.6%** |  |
| &nbsp;&nbsp; 2525000 | H&E Equipment Services, Inc., Sr. Unsecd. Note, 144A, 3.875%, 12/15/2028 | &nbsp;&nbsp; 2155201 |
| &nbsp;&nbsp; 1225000 | United Rentals, Inc., Sr. Unsecd. Note, 3.875%, 2/15/2031 | &nbsp;&nbsp; 1029668 |
| &nbsp;&nbsp; 625000 | United Rentals North America, Inc., Sr. Unsecd. Note, 3.750%, 1/15/2032 | &nbsp;&nbsp; 510706 |
| &nbsp;&nbsp; 1100000 | United Rentals North America, Inc., Sr. Unsecd. Note, 4.875%, 1/15/2028 | &nbsp;&nbsp; 1044841 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 4740416 |
|  | **Consumer Cyclical Services—2.2%** |  |
| &nbsp;&nbsp; 6800000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | &nbsp;&nbsp; 4944006 |
| &nbsp;&nbsp; 3500000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027 | &nbsp;&nbsp; 3052525 |
| &nbsp;&nbsp; 6875000 | Garda World Security Corp., Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029 | &nbsp;&nbsp; 5595208 |
| &nbsp;&nbsp; 2828000 | GW B-CR Security Corp., Sr. Unsecd. Note, 144A, 9.500%, 11/1/2027 | &nbsp;&nbsp; 2727892 |
| &nbsp;&nbsp; 1500000 | Signal Parent, Inc., Sr. Unsecd. Note, 144A, 6.125%, 4/1/2029 | &nbsp;&nbsp; 459375 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 16779006 |
|  | **Consumer Products—1.7%** |  |
| &nbsp;&nbsp; 6850000 | BCPE Empire Holdings, Inc., Sr. Unsecd. Note, 144A, 7.625%, 5/1/2027 | &nbsp;&nbsp; 6151506 |

---

High Yield Bond Core Fund

Annual Shareholder Report

**23**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Consumer Products—continued** |  |
| $1450000 | Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 4.125%, 4/1/2029 | $1238189 |
| &nbsp;&nbsp; 5275000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.375%, 3/31/2029 | &nbsp;&nbsp; 4481941 |
| &nbsp;&nbsp; 650000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2028 | &nbsp;&nbsp; 564332 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 12435968 |
|  | **Diversified Manufacturing—1.2%** |  |
| &nbsp;&nbsp; 5875000 | Gates Global LLC, Sr. Unsecd. Note, 144A, 6.250%, 1/15/2026 | &nbsp;&nbsp; 5678481 |
| &nbsp;&nbsp; 2900000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.250%, 6/15/2028 | &nbsp;&nbsp; 2944135 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 8622616 |
|  | **Finance Companies—2.2%** |  |
| &nbsp;&nbsp; 900000 | Navient Corp., Sr. Unsecd. Note, 4.875%, 3/15/2028 | &nbsp;&nbsp; 741454 |
| &nbsp;&nbsp; 4950000 | Navient Corp., Sr. Unsecd. Note, 5.500%, 3/15/2029 | &nbsp;&nbsp; 4046478 |
| &nbsp;&nbsp; 250000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/25/2025 | &nbsp;&nbsp; 240414 |
| &nbsp;&nbsp; 5250000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.875%, 3/1/2031 | &nbsp;&nbsp; 4019665 |
| &nbsp;&nbsp; 2275000 | Rocket Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 4.000%, 10/15/2033 | &nbsp;&nbsp; 1702394 |
| &nbsp;&nbsp; 2775000 | United Shore Financial Services, Sr. Unsecd. Note, 144A, 5.500%, 11/15/2025 | &nbsp;&nbsp; 2503272 |
| &nbsp;&nbsp; 3000000 | United Wholesale Mortgage LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2029 | &nbsp;&nbsp; 2390850 |
| &nbsp;&nbsp; 1275000 | United Wholesale Mortgage LLC, Sr. Unsecd. Note, 144A, 5.750%, 6/15/2027 | &nbsp;&nbsp; 1099447 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 16743974 |
|  | **Food & Beverage—1.5%** |  |
| &nbsp;&nbsp; 2650000 | Bellring Brands, Inc., Sr. Unsecd. Note, 144A, 7.000%, 3/15/2030 | &nbsp;&nbsp; 2553341 |
| &nbsp;&nbsp; 2500000 | Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 8/1/2029 | &nbsp;&nbsp; 2169500 |
| &nbsp;&nbsp; 2500000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2028 | &nbsp;&nbsp; 2357013 |
| &nbsp;&nbsp; 951000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | &nbsp;&nbsp; 921082 |
| &nbsp;&nbsp; 1425000 | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/1/2030 | &nbsp;&nbsp; 1256692 |
| &nbsp;&nbsp; 1900000 | US Foods, Inc., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2029 | &nbsp;&nbsp; 1689290 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 10946918 |
|  | **Gaming—4.3%** |  |
| &nbsp;&nbsp; 2625000 | Affinity Gaming LLC, 144A, 6.875%, 12/15/2027 | &nbsp;&nbsp; 2228859 |
| &nbsp;&nbsp; 1025000 | Boyd Gaming Corp., Sr. Unsecd. Note, 4.750%, 12/1/2027 | &nbsp;&nbsp; 956161 |
| &nbsp;&nbsp; 1000000 | Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2031 | &nbsp;&nbsp; 871180 |
| &nbsp;&nbsp; 2950000 | Caesars Entertainment Corp., Sr. Unsecd. Note, 144A, 4.625%, 10/15/2029 | &nbsp;&nbsp; 2406005 |
| &nbsp;&nbsp; 2250000 | Colt Merger Sub, Inc., Sr. Secd. Note, 144A, 5.750%, 7/1/2025 | &nbsp;&nbsp; 2205824 |
| &nbsp;&nbsp; 875000 | Colt Merger Sub, Inc., Sr. Secd. Note, 144A, 6.250%, 7/1/2025 | &nbsp;&nbsp; 851992 |
| &nbsp;&nbsp; 775000 | Colt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 8.125%, 7/1/2027 | &nbsp;&nbsp; 763073 |
| &nbsp;&nbsp; 2300000 | Midwest Gaming Borrower LLC, 144A, 4.875%, 5/1/2029 | &nbsp;&nbsp; 1959978 |
| &nbsp;&nbsp; 4550000 | Mohegan Tribal Gaming Authority, 144A, 8.000%, 2/1/2026 | &nbsp;&nbsp; 4263441 |
| &nbsp;&nbsp; 3050000 | Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2029 | &nbsp;&nbsp; 2413476 |
| &nbsp;&nbsp; 1250000 | Raptor Acquisition Corp./Raptor Co-Issuer LLC, Sec. Fac. Bond, 144A, 4.875%, 11/1/2026 | &nbsp;&nbsp; 1112275 |
| &nbsp;&nbsp; 3800000 | Scientific Games Holdings Corp., Sr. Unsecd. Note, 144A, 6.625%, 3/1/2030 | &nbsp;&nbsp; 3214800 |
| &nbsp;&nbsp; 1000000 | Scientific Games International, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/15/2029 | &nbsp;&nbsp; 961800 |
| &nbsp;&nbsp; 2725000 | Scientific Games International, Inc., Sr. Unsecd. Note, 144A, 8.625%, 7/1/2025 | &nbsp;&nbsp; 2784738 |
| &nbsp;&nbsp; 3425000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 4.500%, 2/15/2028 | &nbsp;&nbsp; 2982941 |
| &nbsp;&nbsp; 650000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.500%, 9/1/2026 | &nbsp;&nbsp; 612604 |
| &nbsp;&nbsp; 1525000 | VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/15/2025 | &nbsp;&nbsp; 1464076 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 32053223 |
|  | **Health Care—5.4%** |  |
| &nbsp;&nbsp; 2225000 | AdaptHealth LLC, Sr. Unsecd. Note, 144A, 4.625%, 8/1/2029 | &nbsp;&nbsp; 1865774 |
| &nbsp;&nbsp; 1375000 | AdaptHealth LLC, Sr. Unsecd. Note, 144A, 5.125%, 3/1/2030 | &nbsp;&nbsp; 1172311 |
| &nbsp;&nbsp; 2400000 | Ardent Health Services, Sr. Unsecd. Note, 144A, 5.750%, 7/15/2029 | &nbsp;&nbsp; 1885080 |
| &nbsp;&nbsp; 1500000 | Avantor Funding, Inc., Sec. Fac. Bond, 144A, 4.625%, 7/15/2028 | &nbsp;&nbsp; 1366080 |

---

High Yield Bond Core Fund

Annual Shareholder Report

**24**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Health Care—continued** |  |
| $2150000 | Avantor Funding, Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/1/2029 | $1808204 |
| &nbsp;&nbsp; 3450000 | CHS/Community Health Systems, Inc., 144A, 6.125%, 4/1/2030 | &nbsp;&nbsp; 1714833 |
| &nbsp;&nbsp; 3300000 | CHS/Community Health Systems, Inc., 2nd Lien, 144A, 6.875%, 4/15/2029 | &nbsp;&nbsp; 1702249 |
| &nbsp;&nbsp; 2400000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.000%, 3/15/2026 | &nbsp;&nbsp; 2190000 |
| &nbsp;&nbsp; 1350000 | Embecta Corp., Sec. Fac. Bond, 144A, 5.000%, 2/15/2030 | &nbsp;&nbsp; 1144422 |
| &nbsp;&nbsp; 2100000 | Embecta Corp., Sr. Note, 144A, 6.750%, 2/15/2030 | &nbsp;&nbsp; 1910024 |
| &nbsp;&nbsp; 400000 | Garden Spinco Corp., Sr. Unsecd. Note, 144A, 8.625%, 7/20/2030 | &nbsp;&nbsp; 424578 |
| &nbsp;&nbsp; 2625000 | Global Medical Response, Inc., Sec. Fac. Bond, 144A, 6.500%, 10/1/2025 | &nbsp;&nbsp; 1882886 |
| &nbsp;&nbsp; 4425000 | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2029 | &nbsp;&nbsp; 2506497 |
| &nbsp;&nbsp; 1300000 | MEDNAX, Inc., Sr. Unsecd. Note, 144A, 5.375%, 2/15/2030 | &nbsp;&nbsp; 1131538 |
| &nbsp;&nbsp; 9300000 | Mozart Debt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2029 | &nbsp;&nbsp; 7403311 |
| &nbsp;&nbsp; 2100000 | MPH Acquisition Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 11/1/2028 | &nbsp;&nbsp; 1401146 |
| &nbsp;&nbsp; 800000 | Team Health Holdings, Inc., Sr. Unsecd. Note, 144A, 6.375%, 2/1/2025 | &nbsp;&nbsp; 462256 |
| &nbsp;&nbsp; 1125000 | Tenet Healthcare Corp., 144A, 4.250%, 6/1/2029 | &nbsp;&nbsp; 976663 |
| &nbsp;&nbsp; 1550000 | Tenet Healthcare Corp., 144A, 5.125%, 11/1/2027 | &nbsp;&nbsp; 1445018 |
| &nbsp;&nbsp; 1500000 | Tenet Healthcare Corp., 144A, 6.250%, 2/1/2027 | &nbsp;&nbsp; 1443810 |
| &nbsp;&nbsp; 650000 | Tenet Healthcare Corp., Sr. Secd. Note, 4.625%, 7/15/2024 | &nbsp;&nbsp; 634866 |
| &nbsp;&nbsp; 3950000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 144A, 6.125%, 10/1/2028 | &nbsp;&nbsp; 3544849 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 40016395 |
|  | **Health Insurance—0.3%** |  |
| &nbsp;&nbsp; 2600000 | Centene Corp., Sr. Unsecd. Note, Series WI, 4.625%, 12/15/2029 | &nbsp;&nbsp; 2381836 |
|  | **Independent Energy—4.6%** |  |
| &nbsp;&nbsp; 1125000 | Antero Resources Corp., Sr. Unsecd. Note, 144A, 5.375%, 3/1/2030 | &nbsp;&nbsp; 1044517 |
| &nbsp;&nbsp; 1400000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 8.250%, 12/31/2028 | &nbsp;&nbsp; 1374106 |
| &nbsp;&nbsp; 949000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 9.000%, 11/1/2027 | &nbsp;&nbsp; 1172817 |
| &nbsp;&nbsp; 1075000 | Berry Petroleum Co., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2026 | &nbsp;&nbsp; 989017 |
| &nbsp;&nbsp; 1400000 | Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 8.250%, 7/15/2025 | &nbsp;&nbsp; 1401764 |
| &nbsp;&nbsp; 3175000<br><sup>1,3</sup> <br>| Chesapeake Energy Corp., Sr. Unsecd. Note, 7.000%, 10/1/2024 | &nbsp;&nbsp; 71438 |
| &nbsp;&nbsp; 3375000 | Comstock Resources, Inc., Sr. Unsecd. Note, 144A, 6.750%, 3/1/2029 | &nbsp;&nbsp; 3052046 |
| &nbsp;&nbsp; 2650000 | Crownrock LP/ Crownrock F, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2025 | &nbsp;&nbsp; 2562643 |
| &nbsp;&nbsp; 1950000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 5.875%, 9/1/2025 | &nbsp;&nbsp; 1946117 |
| &nbsp;&nbsp; 2375000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.125%, 1/1/2031 | &nbsp;&nbsp; 2401397 |
| &nbsp;&nbsp; 1925000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 6.625%, 9/1/2030 | &nbsp;&nbsp; 1993597 |
| &nbsp;&nbsp; 500000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 7.150%, 5/15/2028 | &nbsp;&nbsp; 519215 |
| &nbsp;&nbsp; 2000000 | PDC Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 5/15/2026 | &nbsp;&nbsp; 1912400 |
| &nbsp;&nbsp; 3225000 | Permian Resources Operating LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | &nbsp;&nbsp; 3047296 |
| &nbsp;&nbsp; 575000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | &nbsp;&nbsp; 547132 |
| &nbsp;&nbsp; 1000000 | Range Resources Corp., Sr. Unsecd. Note, 8.250%, 1/15/2029 | &nbsp;&nbsp; 1031790 |
| &nbsp;&nbsp; 2025000 | Rockcliff Energy II LLC, Sr. Unsecd. Note, 144A, 5.500%, 10/15/2029 | &nbsp;&nbsp; 1855356 |
| &nbsp;&nbsp; 2750000 | SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 | &nbsp;&nbsp; 2644237 |
| &nbsp;&nbsp; 2525000 | Southwestern Energy Co., Sr. Unsecd. Note, 8.375%, 9/15/2028 | &nbsp;&nbsp; 2607582 |
| &nbsp;&nbsp; 2075000 | Tap Rock Resources LLC., Sr. Unsecd. Note, 144A, 7.000%, 10/1/2026 | &nbsp;&nbsp; 1932551 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 34107018 |
|  | **Industrial - Other—1.6%** |  |
| &nbsp;&nbsp; 7550000 | Madison Iaq LLC, Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029 | &nbsp;&nbsp; 5188955 |
| &nbsp;&nbsp; 3675000 | Redwood Star Merger Sub, Sr. Unsecd. Note, 144A, 8.750%, 4/1/2030 | &nbsp;&nbsp; 2903103 |
| &nbsp;&nbsp; 4729000 | Vertical Holdco GmbH, Sr. Unsecd. Note, 144A, 7.625%, 7/15/2028 | &nbsp;&nbsp; 3868977 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 11961035 |
|  | **Insurance - P&C—6.8%** |  |
| &nbsp;&nbsp; 3325000 | AmWINS Group, Inc., Sr. Unsecd. Note, 144A, 4.875%, 6/30/2029 | &nbsp;&nbsp; 2824410 |

---

High Yield Bond Core Fund

Annual Shareholder Report

**25**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Insurance - P&C—continued** |  |
| $4821420 | Ardonagh Midco 2 PLC, Sr. Unsecd. Note, 144A, 11.500% / 12.750% PIK, 1/15/2027 | $4604456 |
| &nbsp;&nbsp; 4350000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2029 | &nbsp;&nbsp; 3585877 |
| &nbsp;&nbsp; 4225000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2025 | &nbsp;&nbsp; 4092601 |
| &nbsp;&nbsp; 7225000 | Broadstreet Partners, Inc., Sr. Unsecd. Note, 144A, 5.875%, 4/15/2029 | &nbsp;&nbsp; 6158455 |
| &nbsp;&nbsp; 8125000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 5.625%, 12/1/2029 | &nbsp;&nbsp; 7106795 |
| &nbsp;&nbsp; 6200000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 7.000%, 5/1/2026 | &nbsp;&nbsp; 6082324 |
| &nbsp;&nbsp; 1900000 | Jones Deslauriers Insurance Management, Inc., Sr. Unsecd. Note, 144A, 10.500%, 12/15/2030 | &nbsp;&nbsp; 1873693 |
| &nbsp;&nbsp; 225000 | NFP Corp., Sec. Fac. Bond, 144A, 7.500%, 10/1/2030 | &nbsp;&nbsp; 212979 |
| &nbsp;&nbsp; 8500000 | NFP Corp., Sr. Unsecd. Note, 144A, 6.875%, 8/15/2028 | &nbsp;&nbsp; 7025071 |
| &nbsp;&nbsp; 975000 | Ryan Specialty Group, Sec. Fac. Bond, 144A, 4.375%, 2/1/2030 | &nbsp;&nbsp; 845467 |
| &nbsp;&nbsp; 6450000 | USIS Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.875%, 5/1/2025 | &nbsp;&nbsp; 6223763 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 50635891 |
|  | **Leisure—0.3%** |  |
| &nbsp;&nbsp; 2625000 | SeaWorld Parks & Entertainment, Inc., Sr. Unsecd. Note, 144A, 5.250%, 8/15/2029 | &nbsp;&nbsp; 2288997 |
|  | **Lodging—0.4%** |  |
| &nbsp;&nbsp; 1000000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2032 | &nbsp;&nbsp; 802580 |
| &nbsp;&nbsp; 2325000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.750%, 5/1/2028 | &nbsp;&nbsp; 2259354 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 3061934 |
|  | **Media Entertainment—6.6%** |  |
| &nbsp;&nbsp; 5275000 | Audacy Capital Corp., 144A, 6.500%, 5/1/2027 | &nbsp;&nbsp; 1000792 |
| &nbsp;&nbsp; 1725000 | Cumulus Media News Holdings, Inc., 144A, 6.750%, 7/1/2026 | &nbsp;&nbsp; 1451726 |
| &nbsp;&nbsp; 1875000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 144A, 5.375%, 8/15/2026 | &nbsp;&nbsp; 222656 |
| &nbsp;&nbsp; 2150000 | Diamond Sports Group LLC/Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 6.625%, 8/15/2027 | &nbsp;&nbsp; 24188 |
| &nbsp;&nbsp; 1300000 | Gray Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 11/15/2031 | &nbsp;&nbsp; 939166 |
| &nbsp;&nbsp; 975000 | Gray Escrow, Inc., Sr. Unsecd. Note, 144A, 7.000%, 5/15/2027 | &nbsp;&nbsp; 866185 |
| &nbsp;&nbsp; 3350000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2026 | &nbsp;&nbsp; 2989875 |
| &nbsp;&nbsp; 1275000 | iHeartCommunications, Inc., 144A, 4.750%, 1/15/2028 | &nbsp;&nbsp; 1040298 |
| &nbsp;&nbsp; 5711766 | iHeartCommunications, Inc., Sr. Unsecd. Note, 8.375%, 5/1/2027 | &nbsp;&nbsp; 4869209 |
| &nbsp;&nbsp; 1575000 | Match Group Holdings II LLC, Sr. Unsecd. Note, 144A, 3.625%, 10/1/2031 | &nbsp;&nbsp; 1209858 |
| &nbsp;&nbsp; 1775000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 4.125%, 8/1/2030 | &nbsp;&nbsp; 1452203 |
| &nbsp;&nbsp; 750000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | &nbsp;&nbsp; 691290 |
| &nbsp;&nbsp; 6300000 | Midas Opco Holdings LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029 | &nbsp;&nbsp; 5206667 |
| &nbsp;&nbsp; 1575000 | Nexstar Broadcasting, Inc., Sr. Unsecd. Note, 144A, 4.750%, 11/1/2028 | &nbsp;&nbsp; 1364753 |
| &nbsp;&nbsp; 3650000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027 | &nbsp;&nbsp; 3355764 |
| &nbsp;&nbsp; 1450000 | Outfront Media Capital LLC/Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2030 | &nbsp;&nbsp; 1201946 |
| &nbsp;&nbsp; 2000000 | ROBLOX Corp., Sr. Unsecd. Note, 144A, 3.875%, 5/1/2030 | &nbsp;&nbsp; 1579000 |
| &nbsp;&nbsp; 875000 | Scripps Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2031 | &nbsp;&nbsp; 702458 |
| &nbsp;&nbsp; 725000 | Scripps Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027 | &nbsp;&nbsp; 648208 |
| &nbsp;&nbsp; 725000 | Sinclair Television Group, Sec. Fac. Bond, 144A, 4.125%, 12/1/2030 | &nbsp;&nbsp; 544498 |
| &nbsp;&nbsp; 1000000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.125%, 2/15/2027 | &nbsp;&nbsp; 817192 |
| &nbsp;&nbsp; 4025000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | &nbsp;&nbsp; 2820982 |
| &nbsp;&nbsp; 1400000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2028 | &nbsp;&nbsp; 1331526 |
| &nbsp;&nbsp; 4425000 | Tegna, Inc., Sr. Unsecd. Note, 144A, 5.000%, 9/15/2029 | &nbsp;&nbsp; 4208418 |
| &nbsp;&nbsp; 6100000 | Terrier Media Buyer, Inc., Sr. Unsecd. Note, 144A, 8.875%, 12/15/2027 | &nbsp;&nbsp; 4601108 |
| &nbsp;&nbsp; 1800000 | Univision Communications, Inc., Sec. Fac. Bond, 144A, 7.375%, 6/30/2030 | &nbsp;&nbsp; 1722438 |
| &nbsp;&nbsp; 2500000 | Urban One, Inc., Sec. Fac. Bond, 144A, 7.375%, 2/1/2028 | &nbsp;&nbsp; 2116400 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 48978804 |
|  | **Metals & Mining—0.5%** |  |
| &nbsp;&nbsp; 1325000 | Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 4.875%, 3/1/2031 | &nbsp;&nbsp; 1171878 |

---

High Yield Bond Core Fund

Annual Shareholder Report

**26**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Metals & Mining—continued** |  |
| $3000000 | Coeur Mining, Inc., Sr. Unsecd. Note, 144A, 5.125%, 2/15/2029 | $2345180 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 3517058 |
|  | **Midstream—7.0%** |  |
| &nbsp;&nbsp; 2150000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.500%, 5/20/2025 | &nbsp;&nbsp; 2069106 |
| &nbsp;&nbsp; 1700000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026 | &nbsp;&nbsp; 1617141 |
| &nbsp;&nbsp; 3000000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | &nbsp;&nbsp; 2841232 |
| &nbsp;&nbsp; 2075000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | &nbsp;&nbsp; 1928360 |
| &nbsp;&nbsp; 2675000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 7.875%, 5/15/2026 | &nbsp;&nbsp; 2711651 |
| &nbsp;&nbsp; 1400000 | Cheniere Energy Partners LP, Sr. Unsecd. Note, 4.000%, 3/1/2031 | &nbsp;&nbsp; 1193794 |
| &nbsp;&nbsp; 2600000 | Cheniere Energy Partners LP, Sr. Unsecd. Note, Series WI, 4.500%, 10/1/2029 | &nbsp;&nbsp; 2343839 |
| &nbsp;&nbsp; 3275000 | CNX Midstream Partners LP, Sr. Unsecd. Note, 144A, 4.750%, 4/15/2030 | &nbsp;&nbsp; 2691935 |
| &nbsp;&nbsp; 2875000 | DT Midstream, Inc., Sr. Unsecd. Note, 144A, 4.375%, 6/15/2031 | &nbsp;&nbsp; 2415719 |
| &nbsp;&nbsp; 2325000 | EQM Midstream Partners LP, Sr. Unsecd. Note, 144A, 4.500%, 1/15/2029 | &nbsp;&nbsp; 1956248 |
| &nbsp;&nbsp; 2625000 | EQM Midstream Partners LP, Sr. Unsecd. Note, 144A, 6.500%, 7/1/2027 | &nbsp;&nbsp; 2513437 |
| &nbsp;&nbsp; 1900000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 5.500%, 7/15/2028 | &nbsp;&nbsp; 1702311 |
| &nbsp;&nbsp; 2425000 | EQT Midstream Partners LP, Sr. Unsecd. Note, 6.500%, 7/15/2048 | &nbsp;&nbsp; 1822084 |
| &nbsp;&nbsp; 1750000 | Hess Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.125%, 6/15/2028 | &nbsp;&nbsp; 1621317 |
| &nbsp;&nbsp; 1725000 | Holly Energy Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | &nbsp;&nbsp; 1573590 |
| &nbsp;&nbsp; 3100000 | Oasis Midstream Partners, Sr. Unsecd. Note, 144A, 8.000%, 4/1/2029 | &nbsp;&nbsp; 3089306 |
| &nbsp;&nbsp; 2600000 | Solaris Midstream Holdings LLC, Sr. Unsecd. Note, 144A, 7.625%, 4/1/2026 | &nbsp;&nbsp; 2589210 |
| &nbsp;&nbsp; 1325000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 | &nbsp;&nbsp; 1267635 |
| &nbsp;&nbsp; 2000000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 6/1/2031 | &nbsp;&nbsp; 1702515 |
| &nbsp;&nbsp; 1700000 | Summit Midstream Holdings LLC, Sr. Unsecd. Note, 5.750%, 4/15/2025 | &nbsp;&nbsp; 1446235 |
| &nbsp;&nbsp; 2300000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.000%, 1/15/2028 | &nbsp;&nbsp; 2197854 |
| &nbsp;&nbsp; 1500000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030 | &nbsp;&nbsp; 1413607 |
| &nbsp;&nbsp; 1850000 | TransMontaigne Partners LP/TLP Finance Corp., Sr. Unsecd. Note, 6.125%, 2/15/2026 | &nbsp;&nbsp; 1604338 |
| &nbsp;&nbsp; 1325000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.500%, 3/1/2028 | &nbsp;&nbsp; 1222896 |
| &nbsp;&nbsp; 1875000 | Western Gas Partners LP, Sr. Unsecd. Note, 4.650%, 7/1/2026 | &nbsp;&nbsp; 1782712 |
| &nbsp;&nbsp; 3500000 | Western Gas Partners LP, Sr. Unsecd. Note, 5.300%, 3/1/2048 | &nbsp;&nbsp; 2884007 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 52202079 |
|  | **Oil Field Services—2.1%** |  |
| &nbsp;&nbsp; 3450000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.250%, 4/1/2028 | &nbsp;&nbsp; 3162398 |
| &nbsp;&nbsp; 2100000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | &nbsp;&nbsp; 2008113 |
| &nbsp;&nbsp; 1725000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.250%, 1/15/2026 | &nbsp;&nbsp; 1628364 |
| &nbsp;&nbsp; 900000 | Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.500%, 1/15/2028 | &nbsp;&nbsp; 824828 |
| &nbsp;&nbsp; 2575000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026 | &nbsp;&nbsp; 2495381 |
| &nbsp;&nbsp; 1800000 | USA Compression Partners LP, Sr. Unsecd. Note, 6.875%, 9/1/2027 | &nbsp;&nbsp; 1685889 |
| &nbsp;&nbsp; 3766000 | USA Compression Partners LP, Sr. Unsecd. Note, Series WI, 6.875%, 4/1/2026 | &nbsp;&nbsp; 3618731 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 15423704 |
|  | **Packaging—4.9%** |  |
| &nbsp;&nbsp; 4858496 | ARD Finance SA, Sec. Fac. Bond, 144A, 6.500%, 6/30/2027 | &nbsp;&nbsp; 3386918 |
| &nbsp;&nbsp; 1700000 | Ardagh Metal Packaging, Sr. Unsecd. Note, 144A, 4.000%, 9/1/2029 | &nbsp;&nbsp; 1350484 |
| &nbsp;&nbsp; 8250000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sec. Fac. Bond, 144A, 5.250%, 8/15/2027 | &nbsp;&nbsp; 6181908 |
| &nbsp;&nbsp; 800000 | Ball Corp., Sr. Unsecd. Note, 6.875%, 3/15/2028 | &nbsp;&nbsp; 822776 |
| &nbsp;&nbsp; 1200000 | Berry Global Escrow Corp., 144A, 4.875%, 7/15/2026 | &nbsp;&nbsp; 1158061 |
| &nbsp;&nbsp; 2825000 | Bway Holding Co., Sr. Unsecd. Note, 144A, 7.250%, 4/15/2025 | &nbsp;&nbsp; 2618144 |
| &nbsp;&nbsp; 7625000 | Clydesdale Acquisition Holdings, Inc., Sr. Unsecd. Note, 144A, 8.750%, 4/15/2030 | &nbsp;&nbsp; 6541080 |
| &nbsp;&nbsp; 2275000 | OI European Group BV, Sr. Unsecd. Note, 144A, 4.750%, 2/15/2030 | &nbsp;&nbsp; 1995505 |
| &nbsp;&nbsp; 2000000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2025 | &nbsp;&nbsp; 1921901 |
| &nbsp;&nbsp; 1647000 | Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.625%, 5/13/2027 | &nbsp;&nbsp; 1600484 |

---

High Yield Bond Core Fund

Annual Shareholder Report

**27**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Packaging—continued** |  |
| $3550000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.625%, 11/1/2025 | $3101089 |
| &nbsp;&nbsp; 800000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.250%, 8/1/2024 | &nbsp;&nbsp; 765889 |
| &nbsp;&nbsp; 5425000 | Trivium Packaging Finance BV, Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027 | &nbsp;&nbsp; 4986144 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 36430383 |
|  | **Paper—0.3%** |  |
| &nbsp;&nbsp; 2875000 | Graphic Packaging International LLC, Sr. Unsecd. Note, 144A, 3.500%, 3/1/2029 | &nbsp;&nbsp; 2460936 |
|  | **Pharmaceuticals—2.1%** |  |
| &nbsp;&nbsp; 1800000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2029 | &nbsp;&nbsp; 865058 |
| &nbsp;&nbsp; 1450000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.250%, 1/30/2030 | &nbsp;&nbsp; 697878 |
| &nbsp;&nbsp; 7600000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/15/2029 | &nbsp;&nbsp; 3671275 |
| &nbsp;&nbsp; 1000000 | Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/30/2029 | &nbsp;&nbsp; 484425 |
| &nbsp;&nbsp; 2150000 | Catalent Pharma Solutions, Inc., Sr. Unsecd. Note, 144A, 3.500%, 4/1/2030 | &nbsp;&nbsp; 1700360 |
| &nbsp;&nbsp; 2800000 | Grifols Escrow Issuer SA, 144A, 4.750%, 10/15/2028 | &nbsp;&nbsp; 2421020 |
| &nbsp;&nbsp; 2700000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 144A, 10.000%, 6/15/2029 | &nbsp;&nbsp; 1464723 |
| &nbsp;&nbsp; 2425000 | Organon Finance 1 LLC, Sr. Unsecd. Note, 144A, 5.125%, 4/30/2031 | &nbsp;&nbsp; 2104015 |
| &nbsp;&nbsp; 2525000 | Syneos Health, Inc., Sr. Unsecd. Note, 144A, 3.625%, 1/15/2029 | &nbsp;&nbsp; 2014167 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 15422921 |
|  | **Restaurant—1.4%** |  |
| &nbsp;&nbsp; 9275000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 2nd Lien, 144A, 4.000%, 10/15/2030 | &nbsp;&nbsp; 7530326 |
| &nbsp;&nbsp; 1425000 | Yum! Brands, Inc., Sr. Unsecd. Note, 4.625%, 1/31/2032 | &nbsp;&nbsp; 1262339 |
| &nbsp;&nbsp; 1425000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030 | &nbsp;&nbsp; 1309831 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 10102496 |
|  | **Retailers—0.8%** |  |
| &nbsp;&nbsp; 1825000 | Academy Ltd., Sec. Fac. Bond, 144A, 6.000%, 11/15/2027 | &nbsp;&nbsp; 1749820 |
| &nbsp;&nbsp; 1450000 | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 4.625%, 11/15/2029 | &nbsp;&nbsp; 1223539 |
| &nbsp;&nbsp; 1625000 | Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2032 | &nbsp;&nbsp; 1339000 |
| &nbsp;&nbsp; 1475000 | Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/1/2029 | &nbsp;&nbsp; 1042427 |
| &nbsp;&nbsp; 1400000 | Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.875%, 10/1/2031 | &nbsp;&nbsp; 978719 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 6333505 |
|  | **Supermarkets—0.6%** |  |
| &nbsp;&nbsp; 4625000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 3.500%, 3/15/2029 | &nbsp;&nbsp; 3890504 |
| &nbsp;&nbsp; 275000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 5.875%, 2/15/2028 | &nbsp;&nbsp; 261910 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp; 4152414 |
|  | **Technology—9.5%** |  |
| &nbsp;&nbsp; 1625000 | Boxer Parent Co., Inc., 144A, 9.125%, 3/1/2026 | &nbsp;&nbsp; 1535617 |
| &nbsp;&nbsp; 3000000 | Cars.com, Inc., Sr. Unsecd. Note, 144A, 6.375%, 11/1/2028 | &nbsp;&nbsp; 2668463 |
| &nbsp;&nbsp; 2425000 | Centerfield Media Parent, Sr. Note, 144A, 6.625%, 8/1/2026 | &nbsp;&nbsp; 1555155 |
| &nbsp;&nbsp; 2050000 | Central Parent, Inc./Central Merger Sub, Inc., 144A, 7.250%, 6/15/2029 | &nbsp;&nbsp; 2007764 |
| &nbsp;&nbsp; 5550000 | Clarivate Science Holdings Corp., Sr. Unsecd. Note, 144A, 4.875%, 7/1/2029 | &nbsp;&nbsp; 4726657 |
| &nbsp;&nbsp; 4050000 | Coherent Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 | &nbsp;&nbsp; 3498106 |
| &nbsp;&nbsp; 1725000 | Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.000%, 10/15/2026 | &nbsp;&nbsp; 1620647 |
| &nbsp;&nbsp; 3000000 | Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.500%, 10/15/2028 | &nbsp;&nbsp; 2763206 |
| &nbsp;&nbsp; 700000 | Dun & Bradstreet Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029 | &nbsp;&nbsp; 599944 |
| &nbsp;&nbsp; 4000000 | Elastic N.V., Sr. Unsecd. Note, 144A, 4.125%, 7/15/2029 | &nbsp;&nbsp; 3235900 |
| &nbsp;&nbsp; 1775000 | Entegris Escrow Corp., Sr. Unsecd. Note, 144A, 5.950%, 6/15/2030 | &nbsp;&nbsp; 1639212 |
| &nbsp;&nbsp; 4000000 | HealthEquity, Inc., Sr. Unsecd. Note, 144A, 4.500%, 10/1/2029 | &nbsp;&nbsp; 3500600 |
| &nbsp;&nbsp; 2275000 | Helios Software Holdings, Sec. Fac. Bond, 144A, 4.625%, 5/1/2028 | &nbsp;&nbsp; 1737986 |
| &nbsp;&nbsp; 5125000 | Logan Merger Sub, Inc., Sr. Secd. Note, 144A, 5.500%, 9/1/2027 | &nbsp;&nbsp; 2764435 |
| &nbsp;&nbsp; 7375000 | McAfee Corp., Sr. Unsecd. Note, 144A, 7.375%, 2/15/2030 | &nbsp;&nbsp; 5942892 |
| &nbsp;&nbsp; 7875000 | Minerva Merger Sub, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2030 | &nbsp;&nbsp; 5818106 |

---

High Yield Bond Core Fund

Annual Shareholder Report

**28**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | CORPORATE BONDS—continued |  |
|  | **Technology—continued** |  |
| $925000 | NCR Corp., 144A, 5.125%, 4/15/2029 | $775250 |
| &nbsp;&nbsp; 400000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2028 | &nbsp;&nbsp; 341666 |
| &nbsp;&nbsp; 1300000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2030 | &nbsp;&nbsp; 1074626 |
| &nbsp;&nbsp; 975000 | NCR Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/1/2027 | &nbsp;&nbsp; 934513 |
| &nbsp;&nbsp; 1775000 | NCR Corp., Sr. Unsecd. Note, 144A, 6.125%, 9/1/2029 | &nbsp;&nbsp; 1662571 |
| &nbsp;&nbsp; 300000 | Open Text Corp., 144A, 6.900%, 12/1/2027 | &nbsp;&nbsp; 300390 |
| &nbsp;&nbsp; 1375000 | Open Text Corp., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2028 | &nbsp;&nbsp; 1182294 |
| &nbsp;&nbsp; 1800000 | Picard Midco, Inc., Sec. Fac. Bond, 144A, 6.500%, 3/31/2029 | &nbsp;&nbsp; 1519319 |
| &nbsp;&nbsp; 6725000 | Rackspace Technology, Inc., Sr. Unsecd. Note, 144A, 5.375%, 12/1/2028 | &nbsp;&nbsp; 2942030 |
| &nbsp;&nbsp; 6700000 | Rocket Software, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2029 | &nbsp;&nbsp; 5290496 |
| &nbsp;&nbsp; 2691000 | Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 9.625%, 12/1/2032 | &nbsp;&nbsp; 2955108 |
| &nbsp;&nbsp; 1525000 | Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 5.875%, 9/1/2030 | &nbsp;&nbsp; 1447485 |
| &nbsp;&nbsp; 2250000 | SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027 | &nbsp;&nbsp; 2111459 |
| &nbsp;&nbsp; 2825000 | TTM Technologies, Inc., Sr. Unsecd. Note, 144A, 4.000%, 3/1/2029 | &nbsp;&nbsp; 2426647 |
| &nbsp;&nbsp; 825000 | Veritas US, Inc./Veritas Bermuda Ltd., Sr. Secd. Note, 144A, 7.500%, 9/1/2025 | &nbsp;&nbsp; 569967 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 71148511 |
|  | **Transportation Services—0.4%** |  |
| &nbsp;&nbsp; 3275000 | Watco Cos. LLC/Finance Co., Sr. Unsecd. Note, 144A, 6.500%, 6/15/2027 | &nbsp;&nbsp; 3116425 |
|  | **Utility - Electric—2.5%** |  |
| &nbsp;&nbsp; 650000 | Calpine Corp., Sr. Secd. Note, 144A, 3.750%, 3/1/2031 | &nbsp;&nbsp; 524196 |
| &nbsp;&nbsp; 1850000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2031 | &nbsp;&nbsp; 1554942 |
| &nbsp;&nbsp; 3000000 | Calpine Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028 | &nbsp;&nbsp; 2682983 |
| &nbsp;&nbsp; 3600000 | Enviva Partners LP/Enviva Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 1/15/2026 | &nbsp;&nbsp; 3396312 |
| &nbsp;&nbsp; 1081000 | NRG Energy, Inc., Sr. Unsecd. Note, 6.625%, 1/15/2027 | &nbsp;&nbsp; 1073628 |
| &nbsp;&nbsp; 925000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.375%, 2/15/2029 | &nbsp;&nbsp; 747363 |
| &nbsp;&nbsp; 1000000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2031 | &nbsp;&nbsp; 762023 |
| &nbsp;&nbsp; 2075000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2032 | &nbsp;&nbsp; 1562423 |
| &nbsp;&nbsp; 450000 | NRG Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 1/15/2028 | &nbsp;&nbsp; 423135 |
| &nbsp;&nbsp; 2400000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028 | &nbsp;&nbsp; 2164104 |
| &nbsp;&nbsp; 125000 | TransAlta Corp., Sr. Unsecd. Note, 7.750%, 11/15/2029 | &nbsp;&nbsp; 127828 |
| &nbsp;&nbsp; 3475000 | Vistra Operations Co. LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026 | &nbsp;&nbsp; 3353539 |
| &nbsp;&nbsp; 400000 | Vistra Operations Co. LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027 | &nbsp;&nbsp; 380345 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp; 18752821 |
|  | **Wireless Communications—0.1%** |  |
| &nbsp;&nbsp; 500000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 2.875%, 2/15/2031 | &nbsp;&nbsp; 413839 |
| &nbsp;&nbsp; 550000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 3.375%, 4/15/2029 | &nbsp;&nbsp; 485482 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 899321 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL CORPORATE BONDS <br>(IDENTIFIED COST $865,289,041)<br>| &nbsp;&nbsp; 710569224 |
|  | COMMON STOCKS—0.7% |  |
|  | **Cable Satellite—0.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7064<br><sup>2,3</sup> <br>| Intelsat Jackson Holdings S.A. | &nbsp;&nbsp; 45916 |
|  | **Independent Energy—0.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3150<br><sup>2,3</sup> <br>| Ultra Resources, Inc. | &nbsp;&nbsp; 0 |
|  | **Media Entertainment—0.1%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67010<br><sup>3</sup> <br>| iHeartMedia, Inc. | &nbsp;&nbsp; 410771 |
|  | **Oil Field Services—0.5%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66218<br><sup>2,3</sup> <br>| Superior Energy Services, Inc. | &nbsp;&nbsp; 3973080 |

---

High Yield Bond Core Fund

Annual Shareholder Report

**29**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | COMMON STOCKS—continued |  |
|  | **Pharmaceuticals—0.1%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142608<br><sup>3</sup> <br>| Mallinckrodt PLC | $1105212 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS <br>(IDENTIFIED COST $10,032,078)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5534979 |
|  | FLOATING RATE LOAN—0.3% |  |
|  | **Independent Energy—0.3%** |  |
| $1976000<br><sup>4</sup> <br>| Ascent Resources Utica Holdings, LLC, 2020 Fixed 2nd Lien Term Loan, 12.941% (3-month USLIBOR + 9.000%), 11/1/2025 <br>(IDENTIFIED COST $1,976,000)<br>| &nbsp;&nbsp; 2094560 |
|  | INVESTMENT COMPANY—2.4% |  |
| &nbsp;&nbsp; 17614978 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 4.36%<sup>5</sup> <br>(IDENTIFIED COST $17,610,656)<br>| &nbsp;&nbsp; 17611455 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL INVESTMENT IN SECURITIES—98.8% <br>(IDENTIFIED COST $894,907,775)<sup>6</sup> <br>| &nbsp;&nbsp; 735810218 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; OTHER ASSETS AND LIABILITIES - NET—1.2%<sup>7</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 9300364 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL NET ASSETS—100% | $745110582 |

---

Affiliated fund holdings are investment companies which are managed by the Adviser or an affiliate of the Adviser. Transactions with affiliated fund holdings during the period ended December 31, 2022, were as follows:

---

| | |
|:---|:---|
|  | **Federated Hermes** <br>**Institutional** <br>**Prime Value** <br>**Obligations Fund,** <br>**Institutional Shares**<br>|
| Value as of 12/31/2021 | $15264347 |
| Purchases at Cost | $550135401 |
| Proceeds from Sales | $(547774983) |
| Change in Unrealized Appreciation/Depreciation | $5905 |
| Net Realized Gain/(Loss) | $(19215) |
| Value as of 12/31/2022 | $17611455 |
| Shares Held as of 12/31/2022 | &nbsp;&nbsp;&nbsp;&nbsp; 17614978 |
| Dividend Income | $269808 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Issuer in default.* |
| 2 | *Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established* <br> *by and under the general supervision of the Fund's Adviser acting through its Valuation Committee.*<br>|
| 3 | *Non-income-producing security.* |
| 4 | *Floating/variable note with current rate and current maturity or next reset date shown.* |
| 5 | *7-day net yield.* |
| 6 | *The cost of investments for federal tax purposes amounts to $901,217,759.* |
| 7 | *Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.* |

---

Note: The categories of investments are shown as a percentage of total net assets at December 31, 2022.

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.

High Yield Bond Core Fund

Annual Shareholder Report

**30**

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>The following is a summary of the inputs used, as of December 31, 2022, in valuing the Fund's assets carried at fair value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** |
|  | **Level 1—** <br>**Quoted** <br>**Prices**<br>| **Level 2—** <br>**Other** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3—** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>| **Total** |
| **Debt Securities:** |  |  |  |  |
| Corporate Bonds | $— | $710569224 | $0 | $710569224 |
| Floating Rate Loan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2094560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2094560 |
| **Equity Securities:** |  |  |  |  |
| Common Stocks | &nbsp;&nbsp;&nbsp; 1515983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 4018996 | &nbsp;&nbsp;&nbsp;&nbsp; 5534979 |
| **Investment Company** | &nbsp;&nbsp; 17611455 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 17611455 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL SECURITIES | $19127438 | $712663784 | $4018996 | $735810218 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| The following acronym(s) are used throughout this portfolio: | The following acronym(s) are used throughout this portfolio: |
| GMTN | —Global Medium Term Note |
| LIBOR | —London Interbank Offered Rate |
| PIK | —Payment in Kind |

---

See Notes which are an integral part of the Financial Statements

High Yield Bond Core Fund

Annual Shareholder Report

**31**

------

Financial Highlights

(For a Share Outstanding Throughout Each Period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
|  | **2022** | **2021** | **2020** | **2019** | **2018** |
| **Net Asset Value, Beginning of Period** | **$6.34** | **$6.35** | **$6.36** | **$5.88** | **$6.40** |
| **Income From Investment Operations:** |  |  |  |  |  |
| Net investment income (loss) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38 |
| Net realized and unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp; (1.08) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.01 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.01 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.51) |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL FROM INVESTMENT OPERATIONS | &nbsp;&nbsp;&nbsp;&nbsp; (0.75) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.13) |
| **Less Distributions:** |  |  |  |  |  |
| Distributions from net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.37) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.35) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.37) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.39) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.39) |
| **Net Asset Value, End of Period** | **$5.22** | **$6.34** | **$6.35** | **$6.36** | **$5.88** |
| **Total Return**<sup>1</sup> <br>| &nbsp;&nbsp;&nbsp; (11.96)% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.42% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.09% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15.18% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2.16)% |
| **Ratios to Average Net Assets:** |  |  |  |  |  |
| Net expenses<sup>2</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.04% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.02% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.03% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.03% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.03% |
| Net investment income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.77% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.16% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.16% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.14% |
| Expense waiver/reimbursement | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —% |
| **Supplemental Data:** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $745111 | $2494249 | $2212263 | $1866222 | $1712174 |
| Portfolio turnover<sup>3</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Based on net asset value.* |
| 2 | *Amount does not reflect net expenses incurred by investment companies in which the Fund may invest.* |
| 3 | *Securities that mature are considered sales for purposes of this calculation.* |

---

See Notes which are an integral part of the Financial Statements

High Yield Bond Core Fund

Annual Shareholder Report

**32**

------

Statement of Assets and Liabilities <br>December 31, 2022

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Assets:** |  |
| Investment in securities, at value including $17,611,455 of investments in an affiliated holding\* (identified cost $894,907,775) | $735810218 |
| Income receivable | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13524770 |
| Income receivable from an affiliated holding | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50445 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets | &nbsp;&nbsp;&nbsp;&nbsp; 749385433 |
| **Liabilities:** |  |
| Income distribution payable | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4191382 |
| Accrued expenses (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83469 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4274851 |
| Net assets for 142,870,834 shares outstanding | $745110582 |
| **Net Assets Consist of:** |  |
| Paid-in capital | $1049193326 |
| Total distributable earnings (loss) | &nbsp;&nbsp;&nbsp; (304082744) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Net Assets | $745110582 |
| **Net Asset Value, Offering Price and Redemption Proceeds Per Share:** |  |
| $745,110,582 ÷ 142,870,834 shares outstanding, no par value, unlimited shares authorized | $5.22 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *See information listed after the Fund's Portfolio of Investments.*

See Notes which are an integral part of the Financial Statements

High Yield Bond Core Fund

Annual Shareholder Report

**33**

------

Statement of Operations <br>Year Ended December 31, 2022

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Investment Income:** |  |
| Interest | $70889790 |
| Dividends (including $269,808 received from an affiliated holding\*) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 270421 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL INCOME | &nbsp;&nbsp;&nbsp;&nbsp; 71160211 |
| **Expenses:** |  |
| Administrative fee (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4311 |
| Custodian fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65062 |
| Transfer agent fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79781 |
| Directors'/Trustees' fees (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12815 |
| Auditing fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36000 |
| Legal fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9322 |
| Portfolio accounting fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 179860 |
| Share registration costs | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 199 |
| Printing and postage | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19789 |
| Commitment fee (Note 7) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10101 |
| Miscellaneous (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21695 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL EXPENSES | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 438935 |
| Net investment income | &nbsp;&nbsp;&nbsp;&nbsp; 70721276 |
| **Realized and Unrealized Gain (Loss) on Investments:** |  |
| Net realized loss on investments (including net realized loss of $(19215) on sales of investments in an affiliated holding\*) | &nbsp;&nbsp;&nbsp; (75289254) |
| Net change in unrealized appreciation of investments (including net change in unrealized depreciation of $5,905 on investments in an <br> affiliated holding\*)<br>| &nbsp;&nbsp; (199057584) |
| Net realized and unrealized gain (loss) on investments | &nbsp;&nbsp; (274346838) |
| Change in net assets resulting from operations | $(203625562) |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *See information listed after the Fund's Portfolio of Investments.*

See Notes which are an integral part of the Financial Statements

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Statement of Changes in Net Assets

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Year Ended December 31** | **2022** | **2021** |
| **Increase (Decrease) in Net Assets** |  |  |
| **Operations:** |  |  |
| Net investment income | $70721276 | $127044351 |
| Net realized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (75289254) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19030311 |
| Net change in unrealized appreciation/depreciation | &nbsp;&nbsp;&nbsp;&nbsp; (199057584) | &nbsp;&nbsp;&nbsp;&nbsp; (15581232) |
| &nbsp;&nbsp;&nbsp;&nbsp; CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | &nbsp;&nbsp;&nbsp;&nbsp; (203625562) | &nbsp;&nbsp;&nbsp;&nbsp; 130493430 |
| **Distributions to Shareholders** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (79474824) | &nbsp;&nbsp;&nbsp; (133937444) |
| **Share Transactions:** |  |  |
| Proceeds from sale of shares | &nbsp;&nbsp;&nbsp;&nbsp; 107543200 | &nbsp;&nbsp;&nbsp;&nbsp; 706985450 |
| Net asset value of shares issued to shareholders in payment of distributions declared | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5651526 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22419254 |
| Cost of shares redeemed | &nbsp;&nbsp; (1579232583) | &nbsp;&nbsp;&nbsp; (443975198) |
| &nbsp;&nbsp;&nbsp;&nbsp; CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | &nbsp;&nbsp; (1466037857) | &nbsp;&nbsp;&nbsp;&nbsp; 285429506 |
| Change in net assets | &nbsp;&nbsp; (1749138243) | &nbsp;&nbsp;&nbsp;&nbsp; 281985492 |
| **Net Assets:** |  |  |
| Beginning of period | &nbsp;&nbsp; 2494248825 | &nbsp;&nbsp; 2212263333 |
| End of period | $745110582 | $2494248825 |

---

See Notes which are an integral part of the Financial Statements

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Notes to Financial Statements

December 31, 2022

**1. ORGANIZATION** 

Federated Hermes Core Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end management investment company. The Trust consists of four portfolios. The financial statements included herein are only those of High Yield Bond Core Fund (the "Fund"), a diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder's interest is limited to the portfolio in which shares are held. Each portfolio pays its own expenses. The investment objective of the Fund is to seek high current income.

The Fund's portfolio consists primarily of lower rated corporate debt obligations. These lower rated debt obligations may be more susceptible to real or perceived adverse economic conditions than investment grade bonds. These lower rated debt obligations are regarded as predominately speculative with respect to each issuer's continuing ability to make interest and principal payments (i.e., the obligations are subject to the risk of default). Currently, shares of the Fund are being offered for investment only to investment companies, insurance company separate accounts, common or commingled trust funds or similar organizations or parties that are "accredited investors" within the meaning of Regulation D of the Securities Act of 1933, as amended (the "1933 Act").

**2. SIGNIFICANT ACCOUNTING POLICIES** 

The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles (GAAP).

**Investment Valuation** 

In calculating its net asset value (NAV), the Fund generally values investments as follows:

◾ <br>

Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by Federated Investment Management Company (the "Adviser").

◾ <br>

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.

◾ <br>

Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market.

◾ <br>

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.

◾ <br>

Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Adviser.

◾ <br>

For securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.

If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Adviser's valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion of the Adviser's valuation committee ("Valuation Committee"), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.

**Fair Valuation and Significant Events Procedures** 

Pursuant to Rule 2a-5 under the Act, the Fund's Board of Trustees (the "Trustees") has designated the Adviser as the Fund's valuation designee to perform any fair value determinations for securities and other assets held by the Fund. The Adviser is subject to the Trustees' oversight and certain reporting and other requirements intended to provide the Trustees the information needed to oversee the Adviser's fair value determinations.

The Adviser, acting through its Valuation Committee, is responsible for determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of the Adviser and certain of the Adviser's affiliated companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is also authorized to use pricing services to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services' policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Adviser. The Trustees periodically review the fair valuations made by the Valuation Committee. The Trustees have also approved the Adviser's fair valuation and significant events procedures as part of the Fund's compliance program and will review any changes made to the procedures.

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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.

The Adviser has also adopted procedures requiring an investment to be priced at its fair value whenever the Valuation Committee determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:

◾ <br>

With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;

◾ <br>

Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded;

◾ <br>

Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry.

The Adviser has adopted procedures whereby the Valuation Committee uses a pricing service to provide factors to update the fair value of equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the pricing time of the Fund. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Valuation Committee will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Adviser. The Trustees periodically review fair valuations made in response to significant events.

**Repurchase Agreements** 

The Fund may invest in repurchase agreements for short-term liquidity purposes. It is the policy of the Fund to require the other party to a repurchase agreement to transfer to the Fund's custodian or sub-custodian eligible securities or cash with a market value (after transaction costs) at least equal to the repurchase price to be paid under the repurchase agreement. The eligible securities are transferred to accounts with the custodian or sub-custodian in which the Fund holds a "securities entitlement" and exercises "control" as those terms are defined in the Uniform Commercial Code. The Fund has established procedures for monitoring the market value of the transferred securities and requiring the transfer of additional eligible securities if necessary to equal at least the repurchase price. These procedures also allow the other party to require securities to be transferred from the account to the extent that their market value exceeds the repurchase price or in exchange for other eligible securities of equivalent market value.

The insolvency of the other party or other failure to repurchase the securities may delay the disposition of the underlying securities or cause the Fund to receive less than the full repurchase price. Under the terms of the repurchase agreement, any amounts received by the Fund in excess of the repurchase price and related transaction costs must be remitted to the other party.

The Fund may enter into repurchase agreements in which eligible securities are transferred into joint trading accounts maintained by the custodian or sub-custodian for investment companies and other clients advised by the Fund's Adviser and its affiliates. The Fund will participate on a pro rata basis with the other investment companies and clients in its share of the securities transferred under such repurchase agreements and in its share of proceeds from any repurchase or other disposition of such securities.

**Investment Income, Gains and Losses, Expenses and Distributions** 

Investment transactions are accounted for on a trade-date basis. Realized gains and losses from investment transactions are recorded on an identified-cost basis. Interest income and expenses are accrued daily. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Foreign dividends are recorded on the ex-dividend date or when the Fund is informed of the ex-dividend date. Distributions of net investment income, if any, are declared daily and paid monthly. Non-cash dividends included in dividend income, if any, are recorded at fair value. Amortization/accretion of premium and discount is included in investment income.

**Federal Taxes** 

It is the Fund's policy to comply with the Subchapter M provision of the Internal Revenue Code (the "Code") and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal income tax is necessary. As of and during the year ended December 31, 2022, the Fund did not have a liability for any uncertain tax positions. The Fund recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2022, tax years 2019 through 2022 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.

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**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 some cases, when a security cannot be offered for public sale without first being registered, the issuer of the restricted security has agreed to register such securities for resale, at the issuer's expense, either upon demand by the Fund or in connection with another registered offering of the securities. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. Restricted securities may be determined to be liquid under criteria established by the Trustees. The Fund will not incur any registration costs upon such resales. The Fund's restricted securities, like other securities, are priced in accordance with procedures established by and under the general supervision of the Adviser.

**Other** 

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ materially from those estimated. The Fund applies investment company accounting and reporting guidance.

**3. SHARES OF BENEFICIAL INTEREST** 

The following table summarizes share activity:

---

| | | |
|:---|:---|:---|
|  | **Year Ended** <br>**12/31/2022**<br>| **Year Ended** <br>**12/31/2021**<br>|
| Shares sold | &nbsp;&nbsp; 18064404 | 111369520 |
| Shares issued to shareholders in payment of distributions declared | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 969803 | &nbsp;&nbsp;&nbsp; 3530925 |
| Shares redeemed | (269530125) | (70088967) |
| &nbsp;&nbsp;&nbsp;&nbsp; NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (250495918) | &nbsp;&nbsp; 44811478 |

---

**4. FEDERAL TAX INFORMATION** 

The tax character of distributions as reported on the Statement of Changes in Net Assets for the years ended December 31, 2022 and 2021, was as follows:

---

| | | |
|:---|:---|:---|
|  | **2022** | **2021** |
| Ordinary income | $79474824 | $133937444 |

---

As of December 31, 2022, the components of distributable earnings on a tax-basis were as follows:

---

| | |
|:---|:---|
| Undistributed ordinary income | $1148870 |
| Net unrealized depreciation | $(165407541) |
| Capital loss carryforwards | $(139824073) |
| TOTAL | $(304082744) |

---

At December 31, 2022, the cost of investments for federal tax purposes was $901,217,759. The net unrealized depreciation of investments for federal tax purposes was $165,407,541. This consists of unrealized appreciation from investments for those securities having an excess of value over cost of $7,705,315 and unrealized depreciation from investments for those securities having an excess of cost over value of $173,112,856. The difference between book-basis and tax-basis net unrealized depreciation is attributable to differing treatments for wash sales, defaulted securities and discount accretion/premium amortization on debt securities.

As of December 31, 2022, the Fund had a capital loss carryforward of $139,824,073 which will reduce the Fund's taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code of 1986, thereby reducing the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. Pursuant to the Code, these net capital losses retain their character as either short-term or long-term and do not expire.

The following schedule summarizes the Fund's capital loss carryforwards:

---

| | | |
|:---|:---|:---|
| **Short-Term** | **Long-Term** | **Total** |
| $28650339 | $111173734 | $139824073 |

---

**5. INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES** 

**Investment Adviser Fee** 

The Adviser, subject to the direction of the Trustees, provides investment adviser services at no fee, because all investors in the Fund are other Federated Hermes Funds, insurance company separate accounts, common or commingled trust funds or similar organizations or entities that are "accredited investors" within the meaning of Regulation D of the 1933 Act. The Fund pays operating expenses associated with the operation and maintenance of the Fund (excluding fees and expenses that may be charged by the Adviser and its

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affiliates). Although not contractually obligated to do so, the Adviser intends to initially voluntarily reimburse operating expenses (excluding extraordinary expenses and proxy-related expenses paid by the Fund, if any) such that the Fund will only bear such expenses in an amount of up to 0.15% of the Fund's average daily net assets. The Adviser can modify or terminate this voluntary reimbursement at any time at its sole discretion.

**Administrative Fee** 

Federated Administrative Services (FAS), under the Administrative Services Agreement, provides the Fund with administrative personnel and services. FAS does not charge the Fund a fee but is entitled to certain out-of-pocket expenses.

**Interfund Transactions** 

During the year ended December 31, 2022, the Fund engaged in purchase and sale transactions with funds that have a common investment adviser (or affiliated investment advisers), common Directors/Trustees and/or common Officers. These purchase and sale transactions complied with Rule 17a-7 under the Act and amounted to $4,963,432 and $19,268,938, respectively. Net realized loss recognized on these transactions was $810,228.

**Directors'/Trustees' and Miscellaneous Fees** 

Certain Officers and Trustees of the Fund are Officers and Directors or Trustees of certain of the above companies. To efficiently facilitate payment, Independent Directors'/Trustees' fees and certain expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses are paid by an affiliate of the Adviser which in due course are reimbursed by the Fund. These expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses may be included in Accrued and Miscellaneous Expenses on the Statement of Assets and Liabilities and Statement of Operations, respectively.

**Affiliated Shares of Beneficial Interest** 

As of December 31, 2022, a majority of the shares of beneficial interest outstanding are owned by other affiliated investment companies.

**6. INVESTMENT TRANSACTIONS** 

Purchases and sales of investments, excluding long-term U.S. government securities and short-term obligations, for the year ended December 31, 2022, were as follows:

---

| | |
|:---|:---|
| Purchases | $148373325 |
| Sales | $1598587508 |

---

**7. LINE OF CREDIT** 

The Fund participates with certain other Federated Hermes Funds, on a several basis, in an up to $500,000,000 unsecured, 364-day, committed, revolving line of credit (LOC) agreement dated June 22, 2022. The LOC was made available to temporarily finance the repurchase or redemption of shares of the Fund, failed trades, payment of dividends, settlement of trades and for other short-term, temporary or emergency general business purposes. The Fund cannot borrow under the LOC if an inter-fund loan is outstanding. The Fund's ability to borrow under the LOC also is subject to the limitations of the Act and various conditions precedent that must be satisfied before the Fund can borrow. Loans under the LOC are charged interest at a fluctuating rate per annum equal to (a) the highest, on any day, of (i) the federal funds effective rate, (ii) the published secured overnight financing rate plus an assigned percentage, and (iii) 0.0%, plus (b) a margin. Any fund eligible to borrow under the LOC pays its pro rata share of a commitment fee based on the amount of the lenders' commitment that has not been utilized, quarterly in arrears and at maturity. As of December 31, 2022, the Fund had no outstanding loans. During the year ended December 31, 2022, the Fund did not utilize the LOC.

**8. Interfund Lending** 

Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other funds advised by subsidiaries of Federated Hermes, Inc., may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from other participating affiliated funds. As of December 31, 2022, there were no outstanding loans. During the year ended December 31, 2022, the program was not utilized.

**9. INDEMNIFICATIONS** 

Under the Fund's organizational documents, its Officers and Directors/Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund (other than liabilities arising out of their willful misfeasance, bad faith, gross negligence or reckless disregard of their duties to the Fund). In addition, in the normal course of business, the Fund provides certain indemnifications under arrangements with third parties. Typically, obligations to indemnify a third party arise in the context of an arrangement entered into by the Fund under which the Fund agrees to indemnify such third party for certain liabilities arising out of actions taken pursuant to the arrangement, provided the third party's actions are not deemed to have breached an agreed-upon standard of care (such as willful misfeasance, bad faith, gross negligence or reckless disregard of their duties under the contract). The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet arisen. The Fund does not anticipate any material claims or losses pursuant to these arrangements at this time, and accordingly expects the risk of loss to be remote.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**10. OTHER MATTERS** 

An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread globally. As of the date of the issuance of these financial statements, this coronavirus has resulted in, and may continue to result in, closed borders, enhanced health screenings, disruptions to healthcare service preparation and delivery, quarantines, cancellations, and disruptions to supply chains, workflow operations and consumer activity, as well as general concern and uncertainty. The impact of this coronavirus has resulted in substantial economic volatility. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks. The impact of this outbreak, and other epidemics and pandemics that may arise in the future, could continue to negatively affect the worldwide economy, as well as the economies of individual countries, individual companies (including certain Fund service providers and issuers of the Fund's investments) and the markets in general in significant and unforeseen ways. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic, including significant fiscal and monetary policy changes, that may affect the instruments in which the Fund invests or the issuers of such investments. Any such impact could adversely affect the Fund's performance.

**11. Recent Accounting Pronouncements** 

In December 2022, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2022-06 "Reference Rate Reform (Topic 848)". ASU No. 2022-06 updates and clarifies ASU No. 2020-04, which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of LIBOR and other interbank-offered reference rates. The temporary relief provided by ASU No. 2022-06 is effective immediately for certain reference rate-related contract modifications that occur through December 31, 2024. Management does not expect ASU No. 2022-06 to have a material impact on the financial statements.

**12. FEDERAL TAX INFORMATION (UNAUDITED)** 

For the fiscal year ended December 31, 2022, 83.87% of dividends paid by the Fund are interest-related dividends, as provided by the American Jobs Creation Act of 2004.

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Report of Independent Registered Public Accounting Firm

**TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF HIGH YIELD BOND CORE FUND:**

**Opinion on the Financial Statements**

We have audited the accompanying statement of assets and liabilities of High Yield Bond Core Fund (the "Fund") (one of the portfolios constituting Federated Hermes Core Trust (the "Trust")), including the portfolio of investments, as of December 31, 2022, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the portfolios constituting Federated Hermes Core Trust) at December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

**Basis for Opinion**

These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust's internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian, brokers, and others; when replies were not received from brokers or others, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. <br> ![](ernstyoungsig.jpg)

We have served as the auditor of one or more Federated Hermes investment companies since 1979.

Boston, Massachusetts <br>February 22, 2023

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Shareholder Expense Example (unaudited)

As a shareholder of the Fund, you incur ongoing costs, including to the extent applicable, management fees, distribution (12b-1) fees and/or other service fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2022 to December 31, 2022.

**ACTUAL EXPENSES** 

The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to *estimate* the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled "Expenses Paid During Period" to estimate the expenses attributable to your investment during this period.

**HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES** 

The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an *assumed* rate of return of 5% per year before expenses, which is not the Fund's actual return. Thus, you should *not* use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are required to be provided to enable you to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative *total* costs of owning different funds.

---

| | | | |
|:---|:---|:---|:---|
|  | **Beginning** <br>**Account Value** <br>**7/1/2022**<br>| **Ending** <br>**Account Value** <br>**12/31/2022**<br>| **Expenses Paid** <br>**During Period**<sup>1</sup> <br>|
| **Actual** | $1000 | $1027.40 | $0.20 |
| **Hypothetical (assuming a 5% return before expenses)** | $1000 | $1025.00 | $0.20 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Expenses are equal to the Fund's annualized net expense ratio of 0.04%, multiplied by the average account value over the period, multiplied by 184/365 (to* <br> *reflect the one-half-year period).*<br>|

---

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Board of Trustee and Trust Officers

The Board of Trustee is responsible for managing the Trust's business affairs and for exercising all the Trust's powers except those reserved for the shareholders. The following tables give information about each Trustee and the senior officers of the Fund. Where required, the tables separately list Trustee who are "interested persons" of the Fund (i.e., "Interested" Trustee) and those who are not (i.e., "Independent" Trustee). Unless otherwise noted, the address of each person listed is 1001 Liberty Avenue, Pittsburgh, PA 15222-3779. The address of all Independent Trustee listed is 4000 Ericsson Drive, Warrendale, PA 15086-7561; Attention: Mutual Fund Board. As of December 31, 2022, the Trust comprised five portfolio(s), and the Federated Hermes Fund Family consisted of 33 investment companies (comprising 102 portfolios). Unless otherwise noted, each Officer is elected annually. Unless otherwise noted, each Trustee oversees all portfolios in the Federated Hermes Fund Family and serves for an indefinite term. The Fund's Statement of Additional Information includes additional information about Trust Trustee and is available, without charge and upon request, by calling 1-800-341-7400, Option #4.

**Interested Trustees Background** 

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years,**<br> **Other Directorships Held and Previous Position(s)**<br>|
| **J. Christopher Donahue\***<br> Birth Date: April 11, 1949<br> President and Trustee<br> Indefinite Term<br> Began serving: October 2005<br>| &nbsp;&nbsp; **Principal Occupations**: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund <br> Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and <br> Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated <br> Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, <br> Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, <br> Federated Services Company.<br> **Previous Positions**: President, Federated Investment Counseling; President and Chief Executive Officer, Federated <br> Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, <br> Passport Research, Ltd.<br>|
| **John B. Fisher\***<br> Birth Date: May 16, 1956<br> Trustee<br> Indefinite Term<br> Began serving: May 2016<br>| &nbsp;&nbsp; **Principal Occupations**: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund <br> Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Director and Vice President, <br> Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity <br> Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, <br> Federated Investment Management Company, and Federated MDTA LLC; Director, Federated Investors Trust Company.<br> **Previous Positions**: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and <br> CEO of Passport Research, Ltd.; Director and President, Technology, Federated Services Company.<br>|

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\*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Reasons for "interested" status: J. Christopher Donahue and John B. Fisher are interested due to their beneficial ownership of shares of Federated Hermes, Inc. and due to positions they hold with Federated Hermes, Inc. and its subsidiaries.*

**INDEPENDENT Trustees Background** 

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years,**<br> **Other Directorships Held, Previous Position(s) and Qualifications**<br>|
| **John T. Collins**<br> Birth Date: January 24, 1947<br> Trustee<br> Indefinite Term<br> Began serving: October 2013<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund <br> Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired).<br> **Other Directorships Held**: Director, KLX Energy Services Holdings, Inc. (oilfield services); former Director of <br> KLX Corp. (aerospace).<br> **Qualifications**: Mr. Collins has served in several business and financial management roles and directorship positions <br> throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) <br> and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as <br> Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth <br> Israel Deaconess Medical Center (Harvard University Affiliate Hospital). <br>|

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years,**<br> **Other Directorships Held, Previous Position(s) and Qualifications**<br>|
| **G. Thomas Hough**<br> Birth Date: February 28, 1955<br> Trustee<br> Indefinite Term<br> Began serving: August 2015<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, <br> Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). <br> **Other Directorships Held**: Director, Chair of the Audit Committee, Equifax, Inc.; Lead Director, Member of the Audit and <br> Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of <br> Governance and Compensation Committees, Publix Super Markets, Inc.<br> **Qualifications**: Mr. Hough has served in accounting, business management and directorship positions throughout his career. <br> Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting <br> firm). Mr. Hough serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama. <br> Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as <br> an Executive Committee member of the United States Golf Association. <br>|
| **Maureen Lally-Green**<br> Birth Date: July 5, 1949<br> Trustee<br> Indefinite Term<br> Began serving: August 2009<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor Emerita of Law, <br> Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and <br> Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church <br> Relations, Diocese of Pittsburgh.<br> **Other Directorships Held**: Director, CNX Resources Corporation (natural gas).<br> **Qualifications**: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her <br> career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as <br> Interim Dean). Judge Lally-Green previously served as Associate General Secretary of the Diocese of Pittsburgh, a member of <br> the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was <br> appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court's Board of Continuing Judicial Education <br> and the Supreme Court's Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions <br> on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Regent, Saint Vincent <br> Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX <br> Resources Corporation (natural gas). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy <br> Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More <br> Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; <br> Director, St. Vincent College; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for <br> the Church Alive!, Inc.; and Director and Vice Chair, Saint Francis University.<br>|
| **Thomas M. O'Neill**<br> Birth Date: June 14, 1951<br> Trustee<br> Indefinite Term<br> Began serving: August 2006<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management <br> Company (investment and strategic consulting).<br> **Other Directorships Held**: None.<br> **Qualifications**: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship <br> positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity. Mr. O'Neill previously served as Chief <br> Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and <br> Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, <br> MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director <br> and Consultant, EZE Castle Software (investment order management software); Director, Midway Pacific (lumber); and <br> Director, The Golisano Children's Museum of Naples, Florida.<br>|
| **Madelyn A. Reilly**<br> Birth Date: February 2, 1956<br> Trustee<br> Indefinite Term<br> Began serving: <br> November 2020<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal <br> Affairs, General Counsel and Secretary of Board of Directors, Duquesne University (Retired).<br> **Other Directorships Held**: None.<br> **Qualifications**: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly <br> previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors and Director <br> of Risk Management and Associate General Counsel, Duquesne University. Prior to her work at Duquesne University, <br> Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, <br> Health and Safety, PPG Industries. Ms. Reilly currently serves as a member of the Board of Directors of UPMC <br> Mercy Hospital.<br>|
| **P. Jerome Richey**<br> Birth Date: February 23, 1949<br> Trustee<br> Indefinite Term<br> Began serving: October 2013<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; Retired; formerly, Senior Vice Chancellor <br> and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CONSOL Energy Inc. <br> (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.).<br> **Other Directorships Held**: None.<br> **Qualifications**: Mr. Richey has served in several business and legal management roles and directorship positions throughout <br> his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of <br> Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and <br> Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive <br> Vice President, CONSOL Energy Inc. and CNX Gas Company; and Board Member, Ethics Counsel and Shareholder, Buchanan <br> Ingersoll & Rooney PC (a law firm). <br>|

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years,**<br> **Other Directorships Held, Previous Position(s) and Qualifications**<br>|
| **John S. Walsh**<br> Birth Date:<br> November 28, 1957<br> Trustee<br> Indefinite Term<br> Began serving: <br> November 2005<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. <br> (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of <br> portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. <br> **Other Directorships Held**: None.<br> **Qualifications**: Mr. Walsh has served in several business management roles and directorship positions throughout his career. <br> Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors).<br>|

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**OFFICERS** 

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Address**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years**<br> **and Previous Position(s)**<br>|
| **Lori A. Hensler**<br> Birth Date: January 6, 1967<br> TREASURER<br> Officer since: April 2013<br>| &nbsp;&nbsp; **Principal Occupations**: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, <br> Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp.; and Assistant Treasurer, <br> Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation.<br> **Previous Positions**: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors <br> Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative <br> Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory <br> Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management <br> Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and <br> Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and <br> Southpointe Distribution Services, Inc.<br>|
| **Peter J. Germain**<br> Birth Date:<br> September 3, 1959<br> CHIEF LEGAL OFFICER, <br> SECRETARY and EXECUTIVE <br> VICE PRESIDENT<br> Officer since: October 2005<br>| &nbsp;&nbsp; **Principal Occupations**: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes <br> Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; <br> Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated <br> Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, <br> Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated <br> Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated <br> Hermes, Inc. in 1984 and is a member of the Pennsylvania Bar Association.<br> **Previous Positions**: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated <br> Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc.<br>|
| **Stephen Van Meter**<br> Birth Date: June 5, 1975<br> CHIEF COMPLIANCE OFFICER <br> AND SENIOR VICE PRESIDENT<br> Officer since: July 2015<br>| &nbsp;&nbsp; **Principal Occupations**: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice <br> President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. <br> Mr. Van Meter joined Federated Hermes, Inc. in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. <br> **Previous Positions**: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. <br> Prior to joining Federated Hermes, Inc., Mr. Van Meter served at the United States Securities and Exchange Commission in <br> the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division <br> of Enforcement.<br>|
| **Robert J. Ostrowski**<br> Birth Date: April 26, 1963<br> Chief Investment Officer<br> Officer since: September 2006<br>| &nbsp;&nbsp; **Principal Occupations**: Robert J. Ostrowski joined Federated Hermes, Inc. in 1987 as an Investment Analyst and became a <br> Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes' taxable fixed-income products in <br> 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser <br> in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the <br> Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University.<br>|

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Evaluation and Approval of Advisory Contract–May 2022

**Federated Hermes High-Yield Strategy Portfolio (the "Fund")**

At its meetings in May 2022 (the "May Meetings"), the Fund's Board of Trustees (the "Board"), including those Trustees who are not "interested persons" of the Fund, as defined in the Investment Company Act of 1940 (the "Independent Trustees"), reviewed and unanimously approved the continuation of the investment advisory contract between the Fund and Federated Investment Management Company (the "Adviser") (the "Contract") for an additional one-year term. The Board's determination to approve the continuation of the Contract reflects the exercise of its business judgment after considering all of the information and factors believed to be relevant and appropriate on whether to approve the continuation of the existing arrangement. The information, factors and conclusions that formed the basis for the Board's approval are summarized below.

The Board considered that the Fund is distinctive in that it is used to implement particular investment strategies that are offered to investors in certain separately managed or wrap fee accounts or programs, or certain other discretionary investment accounts, and may also be offered to other funds (each, a "Federated Hermes Fund" and, collectively the "Federated Hermes Funds") advised by the Adviser or its affiliates (collectively, "Federated Hermes").

In addition, the Board considered that the Adviser does not charge an investment advisory fee for its services, although Federated Hermes may receive compensation for managing assets invested in the Fund.

***<u>Information Received and Review Process</u>***

At the request of the Independent Trustees, the Fund's Chief Compliance Officer (the "CCO") furnished to the Board in advance of its May Meetings an independent written evaluation presenting on the topics discussed below. The Board considered the CCO's independent written evaluation (the "CCO Fee Evaluation Report"), along with other information, in evaluating the reasonableness of the Fund's management fee and in determining to approve the continuation of the Contract. The CCO, in preparing the CCO Fee Evaluation Report, has the authority to retain consultants, experts or staff as reasonably necessary to assist in the performance of his duties, reports directly to the Board, and can be terminated only with the approval of a majority of the Independent Trustees. At the request of the Independent Trustees, the CCO Fee Evaluation Report followed the same general approach and covered the same topics as that of the report that had previously been delivered by the CCO in his capacity as "Senior Officer" prior to the elimination of the Senior Officer position in December 2017.

In addition to the extensive materials that comprise and accompany the CCO Fee Evaluation Report, the Board considered information specifically prepared in connection with the approval of the continuation of the Contract that was presented at the May Meetings. In this regard, in the months preceding the May Meetings, the Board requested and reviewed written responses and supporting materials prepared by Federated Hermes in response to requests posed to Federated Hermes by independent legal counsel on behalf of the Independent Trustees encompassing a wide variety of topics, including those summarized below. The Board also considered such additional matters as the Independent Trustees deemed reasonably necessary to evaluate the Contract, which included detailed information about the Fund and Federated Hermes furnished to the Board at its meetings throughout the year and in between regularly scheduled meetings on particular matters as the need arose.

The Board's consideration of the Contract included review of materials and information covering the following matters, among others: the nature, quality and extent of the advisory and other services provided to the Fund by the Advisers and their affiliates; Federated Hermes' business and operations; the Adviser's investment philosophy, personnel and processes; the Fund's investment objectives and strategies; the Fund's short-term and long-term performance (in absolute terms, both on a gross basis and net of expenses, and relative to the Fund's particular investment program and a group of its peer funds and/or its benchmark, as appropriate); the Fund's fees and expenses, including the advisory fee and the overall expense structure of the Fund, with due regard for contractual or voluntary expense limitations (if any); the financial condition of Federated Hermes; the Adviser's profitability with respect to the Fund; distribution and sales activity for the Fund; and the use and allocation of brokerage commissions derived from trading the Fund's portfolio securities (if any).

The Board also considered judicial decisions concerning allegedly excessive investment advisory fees charged to other registered funds in determining to approve the Contract. Using these judicial decisions as a guide, the Board observed that the following factors may be relevant to an adviser's fiduciary duty with respect to its receipt of compensation from a fund: (1) the nature and quality of the services provided by the adviser to the fund and its shareholders, including the performance of the fund, its benchmark and comparable funds; (2) the adviser's cost of providing the services and the profitability to the adviser of providing advisory services to the fund; (3) the extent to which the adviser may realize "economies of scale" as the fund grows larger and, if such economies of scale exist, whether they have been appropriately shared with the fund and its shareholders or the family of funds; (4) any "fall-out" benefits that accrue to the adviser because of its relationship with the fund, including research services received from brokers that execute fund trades and any fees paid to affiliates of the adviser for services rendered to the fund); (5) comparative fee and expense structures,

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including a comparison of management fees paid to the adviser with those paid by similar funds both internally and externally as well as management fees charged to institutional and other advisory clients of the adviser for what might be viewed as like services; and (6) the extent of care, conscientiousness and independence with which the fund's board members perform their duties and their expertise,(including whether they are fully informed about all facts the board deems relevant to its consideration of the adviser's services and fees. The Board noted that the Securities and Exchange Commission ("SEC") disclosure requirements regarding the basis for a fund board's approval of the fund's investment advisory contract generally align with the factors listed above. The Board was guided by these factors in its review of the Contract to the extent it considered them to be appropriate and relevant, as discussed further below. The Board considered and weighed these factors in light of its substantial accumulated experience in governing the Fund and working with Federated Hermes on matters relating to the oversight of the other Federated Hermes Funds.

In determining to approve the continuation of the Contract, the members of the Board reviewed and evaluated information and factors they believed to be relevant and appropriate through the exercise of their reasonable business judgment. While individual members of the Board may have weighed certain factors differently, the Board's determination to approve the continuation of the Contract was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically with respect to the continuation of the Contract. The Board recognized that its evaluation process is evolutionary and that the factors considered and emphasis placed on relevant factors may change in recognition of changing circumstances in the registered fund marketplace. The Independent Trustees were assisted throughout the evaluation process by independent legal counsel. In connection with their deliberations at the May Meetings, the Independent Trustees met separately in executive session with their independent legal counsel and without management present to review the relevant materials and consider their responsibilities under applicable laws. In addition, senior management representatives of Federated Hermes also met with the Independent Trustees and their independent legal counsel to discuss the materials and presentations furnished to the Board at the May Meetings. The Board considered the approval of the Contract for the Fund as part of its consideration of agreements for funds across the family of Federated Hermes Funds, but its approvals were made on a fund-by-fund basis.

***<u>Nature, Extent and Quality of Services</u>***

The Board considered the nature, extent and quality of the services provided to the Fund by the Adviser and the resources of Federated Hermes dedicated to the Fund. In this regard, the Board evaluated, among other things, the terms of the Contract and the range of services provided to the Fund by Federated Hermes. The Board considered the Adviser's personnel, investment philosophy and process, investment research capabilities and resources, trade operations capabilities, experience and performance track record. The Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Fund and Federated Hermes' ability and experience in attracting and retaining qualified personnel to service the Fund. The Board also considered the Adviser's ability to deliver competitive investment performance for the Fund when compared to the Fund's benchmark index, which was deemed by the Board to be a useful indicator of how the Adviser is executing the Fund's investment program.

In addition, the Board considered the financial resources and overall reputation of Federated Hermes and its willingness to consider and make investments in personnel, infrastructure, technology, cybersecurity, business continuity planning and operational enhancements that are designed to benefit the Federated Hermes Funds. The Board noted the significant acquisition of Hermes Fund Managers Limited by Federated Hermes, which has deepened the organization's investment management expertise and capabilities and expanded the investment process for all of the Federated Hermes Funds to have access to analytical resources related to environmental, social and governance ("ESG") factors and issuer engagement on ESG matters. The Board considered Federated Hermes' oversight of the securities lending program for the Federated Hermes Funds that engage in securities lending and noted the income earned by the Federated Hermes Funds that participate in such program. In addition, the Board considered the quality of Federated Hermes' communications with the Board and responsiveness to Board inquiries and requests made from time to time with respect to the Fund and other Federated Hermes Funds. In this regard, the Board took into account Federated Hermes' communications with the Board in light of the pandemic. The Board also considered that Federated Hermes is responsible for providing the Federated Hermes Funds' officers.

The Board received and evaluated information regarding Federated Hermes' regulatory and compliance environment. The Board considered Federated Hermes' compliance program and compliance history and reports from the CCO about Federated Hermes' compliance with applicable laws and regulations, including responses to regulatory developments and any compliance or other issues raised by regulatory agencies. The Board also noted Federated Hermes' support of the Federated Hermes Funds' compliance control structure and the compliance-related resources devoted by Federated Hermes in support of the Fund's obligations pursuant to Rule 38a-1 under the Investment Company Act of 1940, including Federated Hermes' commitment to respond to rulemaking and other regulatory initiatives of the SEC. The Board considered Federated Hermes' approach to internal audits and risk management with respect to the Federated Hermes

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Funds and its day-to-day oversight of the Federated Hermes Funds' compliance with their investment objectives and policies as well as with applicable laws and regulations, noting that regulatory and other developments had over time led to an increase in the scope of Federated Hermes' oversight in this regard, including in connection with the designation of the Federated Hermes Funds' investment advisers as the administrators of the Federated Hermes Funds' liquidity risk management program.

The Board also considered the implementation of Federated Hermes' business continuity plans and recognized steps taken by Federated Hermes to continue to provide the same nature, extent and quality of services to the Federated Hermes Funds during the pandemic. In addition, the Board noted Federated Hermes' commitment to maintaining high quality systems and expending substantial resources to prepare for and respond to ongoing changes due to the market, regulatory and control environments in which the Fund and its service providers operate, including changes associated with the pandemic.

The Board considered Federated Hermes' efforts to provide shareholders in the Federated Hermes Funds with a comprehensive array of funds with different investment objectives, policies and strategies. The Board considered the expenses that Federated Hermes had incurred, as well as the entrepreneurial and other risks assumed by Federated Hermes, in sponsoring and providing on-going services to new funds to expand these opportunities for shareholders. The Board noted the benefits to shareholders of being part of the family of Federated Hermes Funds, which include the general right to exchange investments between the same class of shares without the incurrence of additional sales charges.

Based on these considerations, the Board concluded that it was satisfied with the nature, extent and quality of the services provided by the Adviser to the Fund.

***<u>Fund Investment Performance</u>***

The Board considered the investment performance of the Fund. In evaluating the Fund's investment performance, the Board considered performance results in light of the Fund's investment objective, strategies and risks. The Board considered detailed investment reports on, and the Adviser's analysis of, the Fund's performance over different time periods that were provided to the Board throughout the year and in connection with the May Meetings.

For the periods ended December 31, 2021, the Fund outperformed its benchmark index for the one-year period, and the Fund underperformed its benchmark index for the three-year and five-year periods. The Board discussed the Fund's performance with the Adviser and recognized the efforts being taken by the Adviser in the context of other factors considered relevant by the Board.

Based on these considerations, the Board concluded that it had continued confidence in the Adviser's overall capabilities to manage the Fund.

***<u>Fund Expenses</u>***

The Board considered that the Adviser does not charge an investment advisory fee to this Fund for its services and has agreed to reimburse the Fund's expenses so that total operating expenses are zero. Because the Adviser does not charge the Fund an investment advisory fee and the Fund's total operating expenses will remain at zero due to reimbursement of expenses, the Board noted that it did not consider fee comparisons to other registered funds or other types of clients of Federated Hermes to be relevant to its evaluation.

***<u>Profitability</u>***

The Board received and considered profitability information furnished by Federated Hermes, as requested by the CCO. The Board considered that the Adviser does not charge an investment advisory fee to the Fund and noted, therefore, that the Adviser does not profit from providing advisory services to the Fund under the Contract.

The Board also reviewed information compiled by Federated Hermes comparing its profitability information to other publicly held fund management companies, including information regarding profitability trends over time. The Board considered the CCO's conclusion that, based on such profitability information, Federated Hermes' profit margins did not appear to be excessive. The Board also considered the CCO's view that Federated Hermes appeared financially sound, with the resources necessary to fulfill its obligations under its contracts with the Federated Hermes Funds.

***<u>Economies of Scale</u>***

Because of the distinctive nature of the Fund as primarily an internal product with an advisory fee of zero, the Board noted that it did not consider the assessment of whether economies of scale would be realized if the Fund were to grow to a sufficient size to be particularly relevant to its evaluation.

***<u>Other Benefits</u>***

The Board considered information regarding the compensation and other ancillary (or "fall-out") benefits that Federated Hermes derived from its relationships with the Federated Hermes Funds.

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The Board noted that, although an affiliate of the Adviser charges the Fund an administrative services fee and also the affiliate is entitled to reimbursement for certain out-of-pocket expenses incurred in providing administrative services to the Fund, Federated Hermes reimburses all such fees and expenses to the Fund.

In connection with the Board's governance of other Federated Hermes Funds, the Board noted that, in addition to receiving advisory fees under the Federated Hermes Funds' investment advisory contracts, Federated Hermes' affiliates also receive fees for providing other services to the Federated Hermes Funds under separate contracts (e.g., for serving as the Federated Hermes Funds' administrator and distributor). In this regard, the Board considered that certain of Federated Hermes' affiliates provide distribution and shareholder services to the Federated Hermes Funds, for which they may be compensated through distribution and servicing fees paid pursuant to Rule 12b-1 plans or otherwise. The Board also received and considered information detailing any indirect benefit that Federated Hermes may derive from its receipt of research services from brokers who execute portfolio trades for the Federated Hermes Funds.

***<u>Conclusions</u>***

The Board considered: (i) the CCO's conclusion that his observations and the information accompanying the CCO Fee Evaluation Report show that the management fee for the Fund is reasonable; and (ii) the CCO's recommendation that the Board approve the management fee. The Board noted that, under these circumstances, no changes were recommended to, and no objection was raised to the continuation of, the Contract by the CCO. The CCO also recognized that the Board's evaluation of the Federated Hermes Funds' advisory and sub-advisory arrangements is a continuing and ongoing process that is informed by the information that the Board requests and receives from management throughout the course of the year and, in this regard, the CCO noted certain items for future reporting to the Board or further consideration by management as the Board continues its ongoing oversight of the Federated Hermes Funds.

On the basis of the information and factors summarized above, among other information and factors deemed relevant by the Board, and the evaluation thereof, the Board, including the Independent Trustees, unanimously voted to approve the continuation of the Contract. The Board based its determination to approve the Contract on the totality of the circumstances and relevant factors and with a view of past and future long-term considerations. Not all of the factors and considerations identified above were necessarily deemed to be relevant to the Fund, nor did the Board consider any one of them to be determinative. With respect to the factors that were deemed to be relevant, the Board's determination to approve the continuation of the Contract reflects its view that Federated Hermes' performance and actions provided a satisfactory basis to support the determination to approve the continuation of the existing arrangement.

Annual Shareholder Report

**49**

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Liquidity Risk Management Program– <br>Annual Evaluation of Adequacy and Effectiveness

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), Federated Hermes Managed Pool Series (the "Trust") has adopted and implemented a liquidity risk management program (the "Program") for Federated Hermes High Yield Strategy Portfolio (the "Fund" and, collectively with the other non-money market open-end funds advised by Federated Hermes, the "Federated Hermes Funds"). The Program seeks to assess and manage the Fund's liquidity risk. "Liquidity risk" is defined under the Liquidity Rule as the risk that the Fund is unable to meet redemption requests without significantly diluting remaining investors' interests in the Fund. The Board of Trustee of the Trust (the "Board") has approved the designation of each Federated Hermes Fund's investment adviser as the administrator for the Program (the "Administrator") with respect to that Fund. The Administrator, in turn, has delegated day-to-day responsibility for the administration of the Program to multiple Liquidity Risk Management Committees, which are comprised of representatives from certain divisions within Federated Hermes.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence the Fund's liquidity risk; (2) the periodic classification (no less frequently than monthly) of the Fund's investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of "illiquid investments" (as defined under the Liquidity Rule); (4) to the extent a Fund does not invest primarily in "highly liquid investments" (as defined under the Liquidity Rule), the determination of a minimum percentage of the Fund's assets that generally will be invested in highly liquid investments (an "HLIM"); (5) if a Fund has established an HLIM, the periodic review (no less frequently than annually) of the HLIM and the adoption of policies and procedures for responding to a shortfall of the Fund's highly liquid investments below its HLIM; and (6) periodic reporting to the Board.

At its meetings in May 2022, the Board received and reviewed a written report (the "Report") from the Federated Hermes Funds' Chief Compliance Officer and Chief Risk Officer, on behalf of the Administrator, concerning the operation of the Program for the period from April 1, 2021 through March 31, 2022 (the "Period"). The Report addressed the operation of the Program and assessed its adequacy and effectiveness, including, where applicable, the operation of any HLIM established for a Federated Hermes Fund and each Federated Hermes Fund's access to other available funding sources such as the Federated Hermes Funds' interfund lending facility, redemptions in-kind, reverse repurchase agreement transactions, redemptions delayed beyond the normal T+1 settlement, but within seven days of the redemption request, and committed lines of credit. There were no material changes to the Program during the Period. The Report summarized the operation of the Program and the information and factors considered by the Administrator in assessing whether the Program has been adequately and effectively implemented with respect to the Federated Hermes Funds. Such information and factors included, among other things:

◾ confirmation that it was not necessary for the Fund to utilize, and the Fund did not utilize, alternative funding sources during the Period;

◾ the periodic classifications of the Fund's investments into one of four liquidity categories and the methodologies and inputs used to classify the investments, including the Fund's reasonably anticipated trade size;

◾ the analysis received from a third-party liquidity assessment vendor that is taken into account in the process of determining the liquidity classifications of the Fund's investments and the results of an evaluation of the services performed by the vendor in support of this process;

◾ the fact that the Fund invested primarily in highly liquid investments during the Period and, therefore, was not required to establish, and has not established, an HLIM and the procedures for monitoring the status of the Fund as investing primarily in highly liquid investments;

◾ the fact that the Fund invested no more than 15% of its assets in illiquid investments during the Period and the procedures for monitoring this limit;

◾ the fact that there were no liquidity events during the Period, that materially affected the Fund's liquidity risk;

◾ the impact on liquidity and management of liquidity risk caused by extended non-U.S. market closures and confirmation that there were no issues for any of the affected Federated Hermes Funds in meeting shareholder redemptions at any time during these temporary non-U.S. market closures;

◾ circumstances during the Period under which the Administrator convened meetings of the Liquidity Risk Management Committees more frequently than normal to conduct enhanced liquidity risk monitoring, including prior to the Russian invasion of Ukraine.

Based on this review, the Administrator concluded that the Program is operating effectively to assess and manage the Fund's liquidity risk, and that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Fund's liquidity developments.

Annual Shareholder Report

**50**

------

Voting Proxies on Fund Portfolio Securities

A description of the policies and procedures that the Fund uses to determine how to vote proxies, if any, relating to securities held in the Fund's portfolio, as well as a report on "Form N-PX" of how the Fund voted any such proxies during the most recent 12-month period ended June 30, are available, without charge and upon request, by calling 1-800-341-7400, Option #4. A report on "Form N-PX" of how the Fund voted any such proxies during the most recent 12-month period ended June 30 is available via the Proxy Voting Record Report (Form N-PX) link associated with the Fund at FederatedInvestors.com/FundInformation. Select a product name, then click "Documents" and click on "Proxy Voting Record Report." Form N-PX filings are also available at the SEC's website at sec.gov.

Quarterly Portfolio Schedule

Each fiscal quarter, the Fund will file with the SEC a complete schedule of its monthly portfolio holdings on "Form N-PORT." The Fund's holdings as of the end of the third month of every fiscal quarter, as reported on Form N-PORT, will be publicly available on the SEC's website at sec.gov within 60 days of the end of the fiscal quarter upon filing. You may also access this information at FederatedInvestors.com. Select a product name, then click "Documents" and select "Form N-PORT."

Annual Shareholder Report

**51**

------

*Mutual funds are not bank deposits or obligations, are not guaranteed by any bank and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.*

This Report is authorized for distribution to prospective investors only when preceded or accompanied by the Fund's Prospectus, which contains facts concerning its objective and policies, management fees, expenses and other information. <br> ![](edelivery.jpg)

![](fhilogok11p.jpg)

Federated Hermes High Yield Strategy Portfolio <br>Federated Hermes Funds <br>4000 Ericsson Drive <br>Warrendale, PA 15086-7561

Contact us at **FederatedInvestors.com** <br>or call 1-800-341-7400.

Federated Securities Corp., Distributor

*CUSIP 31421P209*

*40004 (2/23)*© 2023 Federated Hermes, Inc.

![](fscbug_small.jpg)

------

**Annual Shareholder Report**

***December 31, 2022***

![](imgdd341b1e1.gif)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**Ticker** FMBPX<br>

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Federated Hermes Mortgage Strategy Portfolio

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A Portfolio of Federated Hermes Managed Pool Series

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**Not FDIC Insured ▪ May Lose Value ▪ No Bank Guarantee**

------

**CONTENTS** 

---

| | |
|:---|:---|
| [Federated Hermes Mortgage Strategy Portfolio](#xx_1feca833-7d27-4f67-b22b-502ff9bf8b27_1) | &nbsp;&nbsp; [1](#xx_1feca833-7d27-4f67-b22b-502ff9bf8b27_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Management's Discussion of Fund Performance](#xx_1feca833-7d27-4f67-b22b-502ff9bf8b27_1) | &nbsp;&nbsp; [1](#xx_1feca833-7d27-4f67-b22b-502ff9bf8b27_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Portfolio of Investments Summary Table](#xx_038b7e51-4a09-472c-afd6-b9a62c3e883c_1) | &nbsp;&nbsp; [3](#xx_038b7e51-4a09-472c-afd6-b9a62c3e883c_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Portfolio of Investments](#xx_038b7e51-4a09-472c-afd6-b9a62c3e883c_2) | &nbsp;&nbsp; [4](#xx_038b7e51-4a09-472c-afd6-b9a62c3e883c_2)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Financial Highlights](#xx_732ae2c2-689b-4e09-8828-1f93dd432351_1) | &nbsp;&nbsp; [6](#xx_732ae2c2-689b-4e09-8828-1f93dd432351_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statement of Assets and Liabilities](#xx_f2bd2a36-2f1b-41d4-a527-28229e8fd0d7_1) | &nbsp;&nbsp; [7](#xx_f2bd2a36-2f1b-41d4-a527-28229e8fd0d7_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statement of Operations](#xx_f2bd2a36-2f1b-41d4-a527-28229e8fd0d7_2) | &nbsp;&nbsp; [8](#xx_f2bd2a36-2f1b-41d4-a527-28229e8fd0d7_2)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statement of Changes in Net Assets](#xx_f2bd2a36-2f1b-41d4-a527-28229e8fd0d7_3) | &nbsp;&nbsp; [9](#xx_f2bd2a36-2f1b-41d4-a527-28229e8fd0d7_3)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Notes to Financial Statements](#xx_91d6eb05-12d0-4b6e-a8ed-d60fe3938dbd_1) | [10](#xx_91d6eb05-12d0-4b6e-a8ed-d60fe3938dbd_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Report of Independent Registered Public Accounting Firm](#xx_b9dc867b-551d-448e-8f3d-24b50eb0f688_1) | [14](#xx_b9dc867b-551d-448e-8f3d-24b50eb0f688_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Shareholder Expense Example](#xx_150b3866-15dc-4aca-bf9c-5e9357fde4af_1) | [15](#xx_150b3866-15dc-4aca-bf9c-5e9357fde4af_1)  |
| [Mortgage Core Fund](#xx_58354746-690d-4187-a430-1141a77d63ca_1) | [16](#xx_58354746-690d-4187-a430-1141a77d63ca_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Management's Discussion of Fund Performance](#xx_a1f60726-bd2e-4204-bb4e-525080d26064_1) | [17](#xx_a1f60726-bd2e-4204-bb4e-525080d26064_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Portfolio of Investments Summary Table](#xx_a1d39060-7be6-43d8-9863-900a2950811b_1) | [19](#xx_a1d39060-7be6-43d8-9863-900a2950811b_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Portfolio of Investments](#xx_a1d39060-7be6-43d8-9863-900a2950811b_2) | [20](#xx_a1d39060-7be6-43d8-9863-900a2950811b_2)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Financial Highlights](#xx_0e8d9d9e-8ef2-47e5-b6b6-e326bc8d5a66_1) | [31](#xx_0e8d9d9e-8ef2-47e5-b6b6-e326bc8d5a66_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statement of Assets and Liabilities](#xx_7ea95ac5-1d1a-4c17-83f1-dd8499e94ae3_1) | [32](#xx_7ea95ac5-1d1a-4c17-83f1-dd8499e94ae3_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statement of Operations](#xx_7ea95ac5-1d1a-4c17-83f1-dd8499e94ae3_2) | [33](#xx_7ea95ac5-1d1a-4c17-83f1-dd8499e94ae3_2)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statement of Changes in Net Assets](#xx_7ea95ac5-1d1a-4c17-83f1-dd8499e94ae3_3) | [34](#xx_7ea95ac5-1d1a-4c17-83f1-dd8499e94ae3_3)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Notes to Financial Statements](#xx_f0659a94-ab81-43c5-88b6-fc531aaa01d7_1) | [35](#xx_f0659a94-ab81-43c5-88b6-fc531aaa01d7_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Report of Independent Registered Public Accounting Firm](#xx_f7f43d43-f8ac-49dd-930f-4f69823d7a89_1) | [40](#xx_f7f43d43-f8ac-49dd-930f-4f69823d7a89_1)  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Shareholder Expense Example](#xx_61296bbb-5dd2-488b-a5de-29584dcf8bf6_1) | [41](#xx_61296bbb-5dd2-488b-a5de-29584dcf8bf6_1)  |
| [Board of Trustees and Trust Officers](#xx_8a61338b-c266-4f9d-8b58-6352e67143a7_1) | [42](#xx_8a61338b-c266-4f9d-8b58-6352e67143a7_1)  |
| [Evaluation and Approval of Advisory Contract](#xx_c7af8700-bc9e-4124-9433-85ee8b219458_1) | [45](#xx_c7af8700-bc9e-4124-9433-85ee8b219458_1)  |
| [Liquidity Risk Management Program](#xx_12a490bb-c878-4e02-8ce7-0560e8763a9b_1)[–](#xx_12a490bb-c878-4e02-8ce7-0560e8763a9b_1)<br> [Annual Evaluation of Adequacy and Effectiveness](#xx_12a490bb-c878-4e02-8ce7-0560e8763a9b_1)<br>| [49](#xx_12a490bb-c878-4e02-8ce7-0560e8763a9b_1)  |
| [Voting Proxies on Fund Portfolio Securities](#xx_b79ad93a-204f-4f3b-a6db-2271e9e5d63d_1) | [50](#xx_b79ad93a-204f-4f3b-a6db-2271e9e5d63d_1)  |
| [Quarterly Portfolio Schedule](#xx_b79ad93a-204f-4f3b-a6db-2271e9e5d63d_1) | [50](#xx_b79ad93a-204f-4f3b-a6db-2271e9e5d63d_1) |

---

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Management's Discussion of Fund Performance (unaudited)

The total return of Federated Hermes Mortgage Strategy Portfolio (the "Fund"), based on net asset value for the 12-month reporting period ended December 31, 2022, was -11.54%. The Bloomberg US Mortgage Backed Securities Index (BMBS),<sup>1</sup> the Fund's broad-based securities market index, returned -11.81% during the same period. The Fund's total return for the most recently completed fiscal year reflected actual cash flows, transaction costs and expenses not reflected in the total return of the BMBS.

During the reporting period, the most significant factors affecting the Fund's performance were (a) interest rate strategy; (b) sector allocation; and (c) security selection.

The Fund pursues its investment objective by investing primarily in Mortgage Core Fund (the "Underlying Fund"), a portfolio of Federated Hermes Core Trust. As such, the discussion of significant factors below primarily reflects the performance of the Fund's investment in the Underlying Fund relative to the BMBS.

**MARKET OVERVIEW**

Citing elevated inflation which resulted from pandemic-induced supply/demand imbalances and the Russian invasion of Ukraine, as well as low unemployment, the Federal Reserve (the "Fed") aggressively tightened monetary policy. From extremely accommodative monetary policy at period outset, the Fed moved at a historically rapid pace with seven rate hikes to reduce inflationary pressures. Additionally, quantitative easing policy purchases of securities reached a conclusion, and the portfolio of agency debt, mortgage-backed securities<sup>2</sup> (MBS) and Treasury securities declined as securities matured. These steps were taken to combat inflation which reached the highest level in 40 years. Market yields spiked in response to Fed actions.

Treasury yields increased across the maturity spectrum and fixed-income investments outside of Treasury securities–the spread sectors–reeled, as slack demand produced wider yield spreads and negative excess returns. Virtually all spread sectors underperformed similar duration Treasury securities with corporate debt (both high-grade and high-yield), MBS (residential and commercial), asset-backed securities (ABS) and agency debt posting lackluster results. The mortgage sector suffered from a lack of demand as commercial bank buying decreased, and the Fed ceased portfolio purchases allowing portfolio holdings to decline as quantitative easing evolved to quantitative tightening. As Treasury yields and mortgage rates increased, mortgage refinance activity collapsed, and MBS average lives extended as homeowners' mortgage rates fell well below the available market rate for 30-year fixed mortgages.

During the reporting period, the 2- and 10-year U.S. Treasury yields increased 370 and 237 basis points to yield 4.43% and 3.88%, respectively.<sup>3</sup>

**Interest rate strategy**

The Fund decreased effective duration<sup>4</sup> relative to the benchmark 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 fiscal year.

**Sector ALLOCATION**

Allocations to conventional MBS, which include those issued by Fannie Mae and Freddie Mac as well as a cash position, were beneficial. Overall, sector allocation made a positive contribution to Fund performance.

**SECURITY SELECTION**

Security selection, notably in non-government-guaranteed mortgage securities proved detrimental. Additionally, securities offering varying degrees of prepayment protection underperformed as call protection value declined. Security selection acted as a drag on Fund performance.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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 BMBS.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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 securities of shorter durations.*

Annual Shareholder Report

**1**

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**FUND PERFORMANCE AND GROWTH OF A $10,000 INVESTMENT**

The graph below illustrates the hypothetical investment of $10,000<sup>1</sup> in the Federated Hermes Mortgage Strategy Portfolio (the "Fund") from December 31, 2012 to December 31, 2022, compared to the Bloomberg US Mortgage Backed Securities Index (BMBS).<sup>2</sup> The Average Annual Total Return table below shows returns averaged over the stated periods.

**Growth of a $10,000 Investment**

**Growth of $10,000 as of December 31, 2022** <br> ![](fmspar38011.jpg)

**Average Annual Total Returns for the Period Ended 12/31/2022** 

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| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Years** | **10 Years** |
| **Fund**  | -11.54% | -0.27% | 0.89% |
| BMBS | -11.81% | -0.53% | 0.74% |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**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, 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.** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The Fund's performance assumes the reinvestment of all dividends and distributions. The BMBS has been adjusted to reflect reinvestment of dividends on securities in the index.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The BMBS covers agency mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC). The index is not adjusted to reflect sales loads, 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

**2**

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Portfolio of Investments Summary Table (unaudited)

At December 31, 2022, the Fund's portfolio composition<sup>1</sup> was as follows:

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| | |
|:---|:---|
| **Portfolio Composition** | **Percentage of** <br>**Total Net Assets**<sup>2</sup> <br>|
| U.S. Government Agency Mortgage-Backed Securities | 89.7% |
| Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp; 4.4% |
| Asset-Backed Securities | &nbsp;&nbsp; 2.8% |
| Cash Equivalents<sup>3</sup> <br>| &nbsp;&nbsp; 3.7% |
| Other Assets and Liabilities—Net<sup>4</sup> <br>| (0.6)% |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | **100%** |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

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| | |
|:---|:---|
| 1 | *See the Fund's Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests.* |
| 2 | *As of the date specified above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, the affiliated investment* <br> *company (other than an affiliated money market mutual fund) is not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata* <br> *portion of each security and each other asset and liability owned by the affiliated investment company. Accordingly, the percentages of total net assets shown in* <br> *the table will differ from those presented on the Portfolio of Investments.*<br>|
| 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.* |

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Annual Shareholder Report

**3**

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Portfolio of Investments

December 31, 2022

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| | | |
|:---|:---|:---|
| **Shares or** <br>**Principal** <br>**Amount**<br>|  | **Value** |
|  | INVESTMENT COMPANY—99.7% |  |
| &nbsp;&nbsp; 35146538<br><sup>1</sup> <br>| Mortgage Core Fund <br>(IDENTIFIED COST $326,586,416)<br>| $294527987 |
|  | REPURCHASE AGREEMENT—0.4% |  |
| $1201000 | Interest in $1,350,000,000 joint repurchase agreement 4.30%, dated 12/30/2022 under which Bank of Montreal will <br> repurchase securities provided as collateral for $1,350,645,000 on 1/3/2023. The securities provided as collateral at the end <br> of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to <br> 5/20/2072 and the market value of those underlying securities was $1,379,047,631. <br>(IDENTIFIED COST $1,201,000)<br>| $1201000 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL INVESTMENT IN SECURITIES—100.1% <br>(IDENTIFIED COST $327,787,416)<sup>2</sup> <br>| &nbsp;&nbsp; 295728987 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; OTHER ASSETS AND LIABILITIES - NET—(0.1)%<sup>3</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (321780) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL NET ASSETS—100% | $295407207 |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

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| | |
|:---|:---|
| 1 | *Due to this affiliated holding representing greater than 75% of the Fund's total net assets, a copy of the affiliated holding's most recent Annual Report is included* <br> *with this Report.*<br>|

---

Affiliated fund holdings are investment companies which are managed by Federated Investment Management Company (the "Adviser") or an affiliate of the Adviser. Transactions with affiliated fund holdings during the period ended December 31, 2022, were as follows:

---

| | |
|:---|:---|
|  | **Mortgage** <br>**Core Fund**<br>|
| Value as of 12/31/2021 | $171391826 |
| Purchases at Cost | $183494741 |
| Proceeds from Sales | $(26350000) |
| Change in Unrealized Appreciation/Depreciation | $(31121729) |
| Net Realized Gain/(Loss) | $(2886851) |
| Value as of 12/31/2022 | $294527987 |
| Shares Held as of 12/31/2022 | &nbsp;&nbsp;&nbsp; 35146538 |
| Dividend Income | $7094741 |

---

*The Fund invests in the Mortgage Core Fund ("Mortgage Core"), a portfolio of Federated Hermes Core Trust ("Core Trust"), which is managed by the Adviser. Core Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the "Act"), available only to registered investment companies and other institutional investors. The investment objective of Mortgage Core is to provide total return. Federated Hermes, Inc. ("Federated Hermes") receives no advisory or administrative fees from Mortgage Core. Income distributions from Mortgage Core are declared daily and paid monthly. All income distributions are recorded by the Fund as dividend income. Capital gain distributions of Mortgage Core, if any, are declared and paid annually, and are recorded by the Fund as capital gains received. The performance of the Fund is directly affected by the performance of Mortgage Core. The financial statements of Mortgage Core are included within this report to illustrate the security holdings, financial condition, results of operations and changes in net assets of Mortgage Core in which the Fund invested 99.7% of its net assets at December 31, 2022. The financial statements of Mortgage Core should be read in conjunction with the Fund's financial statements. The valuation of securities held by Mortgage Core is discussed in the notes to its financial statements.* 

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| | |
|:---|:---|
| 2 | *The cost of investments for federal tax purposes amounts to $332,665,272.* |
| 3 | *Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.* |

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Note: The categories of investments are shown as a percentage of total net assets at December 31, 2022.

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

**4**

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>The following is a summary of the inputs used, as of December 31, 2022, in valuing the Fund's assets carried at fair value:

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| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** |
|  | **Level 1—** <br>**Quoted** <br>**Prices**<br>| **Level 2—** <br>**Other** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3—** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>| **Total** |
| **Investment Company** | $294527987 | $— | $— | $294527987 |
| **Repurchase Agreement** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 1201000 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1201000 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL SECURITIES | $294527987 | $1201000 | $— | $295728987 |

---

See Notes which are an integral part of the Financial Statements

Annual Shareholder Report

**5**

------

Financial Highlights

(For a Share Outstanding Throughout Each Period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
|  | **2022** | **2021** | **2020** | **2019** | **2018** |
| **Net Asset Value, Beginning of Period** | **$9.85** | **$10.18** | **$9.98** | **$9.70** | **$9.90** |
| **Income From Investment Operations:** |  |  |  |  |  |
| Net investment income (loss) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.32 | &nbsp;&nbsp;&nbsp;&nbsp; 0.30 |
| Net realized and unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp; (1.40) | &nbsp;&nbsp;&nbsp;&nbsp; (0.32) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.28 | &nbsp;&nbsp;&nbsp; (0.20) |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL FROM INVESTMENT OPERATIONS | &nbsp;&nbsp;&nbsp;&nbsp; (1.13) | &nbsp;&nbsp;&nbsp;&nbsp; (0.10) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.60 | &nbsp;&nbsp;&nbsp;&nbsp; 0.10 |
| **Less Distributions:** |  |  |  |  |  |
| Distributions from net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.26) | &nbsp;&nbsp;&nbsp;&nbsp; (0.22) | &nbsp;&nbsp;&nbsp;&nbsp; (0.27) | &nbsp;&nbsp;&nbsp;&nbsp; (0.32) | &nbsp;&nbsp;&nbsp; (0.30) |
| Distributions from net realized gain | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (0.01) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL DISTRIBUTIONS | &nbsp;&nbsp;&nbsp;&nbsp; (0.26) | &nbsp;&nbsp;&nbsp;&nbsp; (0.23) | &nbsp;&nbsp;&nbsp;&nbsp; (0.27) | &nbsp;&nbsp;&nbsp;&nbsp; (0.32) | &nbsp;&nbsp;&nbsp; (0.30) |
| **Net Asset Value, End of Period** | **$8.46** | **$9.85** | **$10.18** | **$9.98** | **$9.70** |
| **Total Return**<sup>1</sup> <br>| &nbsp;&nbsp;&nbsp; (11.54)% | &nbsp;&nbsp;&nbsp;&nbsp; (0.94)% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.77% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.29% | &nbsp;&nbsp;&nbsp;&nbsp; 1.12% |
| **Ratios to Average Net Assets:** |  |  |  |  |  |
| Net expenses<sup>2</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00% | &nbsp;&nbsp;&nbsp;&nbsp; 0.00% |
| Net investment income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.01% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.21% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.68% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.26% | &nbsp;&nbsp;&nbsp;&nbsp; 3.17% |
| Expense waiver/reimbursement<sup>3</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.17% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.21% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.23% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.24% | &nbsp;&nbsp;&nbsp;&nbsp; 0.27% |
| **Supplemental Data:** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $295407 | $171828 | $126578 | $120793 | $99486 |
| Portfolio turnover<sup>4</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Based on net asset value.* |
| 2 | *The Adviser has contractually agreed to reimburse all expenses, excluding extraordinary expenses, incurred by the Fund. Amount does not reflect net expenses* <br> *incurred by investment companies in which the Fund may invest.*<br>|
| 3 | *This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/*<br> *reimbursement recorded by investment companies in which the Fund may invest.*<br>|
| 4 | *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

**6**

------

Statement of Assets and Liabilities <br>December 31, 2022

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Assets:** |  |
| Investment in securities, at value including $294,527,987 of investments in an affiliated holding\* (identified cost $327,787,416) | $295728987 |
| Income receivable from an affiliated holding | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 951464 |
| Receivable for shares sold | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 823929 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets | &nbsp;&nbsp; 297504380 |
| **Liabilities:** |  |
| Payable for investments purchased | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 951464 |
| Payable for shares redeemed | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143643 |
| Bank overdraft | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262 |
| Income distribution payable | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 934749 |
| Payable to adviser (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2784 |
| Payable for administrative fee (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1270 |
| Accrued expenses (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63001 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities | &nbsp;&nbsp;&nbsp;&nbsp; 2097173 |
| Net assets for 34,901,217 shares outstanding | $295407207 |
| **Net Assets Consist of:** |  |
| Paid-in capital | $332486819 |
| Total distributable earnings (loss) | &nbsp;&nbsp; (37079612) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Net Assets | $295407207 |
| **Net Asset Value, Offering Price and Redemption Proceeds Per Share:** |  |
| $295,407,207 ÷ 34,901,217 shares outstanding, no par value, unlimited shares authorized | $8.46 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *See information listed after the Fund's Portfolio of Investments.*

See Notes which are an integral part of the Financial Statements

Annual Shareholder Report

**7**

------

Statement of Operations <br>Year Ended December 31, 2022

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Investment Income:** |  |
| Dividends received from an affiliated holding\* | $7094741 |
| Interest | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17763 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL INCOME | &nbsp;&nbsp;&nbsp;&nbsp; 7112504 |
| **Expenses:** |  |
| Administrative fee (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 184894 |
| Custodian fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9282 |
| Transfer agent fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17300 |
| Directors'/Trustees' fees (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2544 |
| Auditing fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26901 |
| Legal fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9201 |
| Portfolio accounting fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72038 |
| Share registration costs | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35783 |
| Printing and postage | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20877 |
| Commitment fee | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5434 |
| Miscellaneous (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17337 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL EXPENSES | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 401591 |
| Reimbursement of other operating expenses (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (401591) |
| Net expenses | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Net investment income | &nbsp;&nbsp;&nbsp;&nbsp; 7112504 |
| **Realized and Unrealized Gain (Loss) on Investments:** |  |
| Net realized loss on investments in an affiliated holding\* | &nbsp;&nbsp;&nbsp; (2886851) |
| Net change in unrealized depreciation of investments in an affiliated holding\* | &nbsp;&nbsp; (31121729) |
| Net realized and unrealized gain (loss) on investments | &nbsp;&nbsp; (34008580) |
| Change in net assets resulting from operations | $(26896076) |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *See information listed after the Fund's Portfolio of Investments.*

See Notes which are an integral part of the Financial Statements

Annual Shareholder Report

**8**

------

Statement of Changes in Net Assets

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Year Ended December 31** | **2022** | **2021** |
| **Increase (Decrease) in Net Assets** |  |  |
| **Operations:** |  |  |
| Net investment income | $7112504 | $3234269 |
| Net realized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp; (2886851) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (339412) |
| Net change in unrealized appreciation/depreciation | &nbsp;&nbsp; (31121729) | &nbsp;&nbsp;&nbsp;&nbsp; (4329758) |
| &nbsp;&nbsp;&nbsp;&nbsp; CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | &nbsp;&nbsp; (26896076) | &nbsp;&nbsp;&nbsp;&nbsp; (1434901) |
| **Distributions to Shareholders** | &nbsp;&nbsp;&nbsp;&nbsp; (7113868) | &nbsp;&nbsp;&nbsp;&nbsp; (3407523) |
| **Share Transactions:** |  |  |
| Proceeds from sale of shares | &nbsp;&nbsp; 213317582 | &nbsp;&nbsp;&nbsp; 85643473 |
| Net asset value of shares issued to shareholders in payment of distributions declared | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 207511 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108395 |
| Cost of shares redeemed | &nbsp;&nbsp; (55935840) | &nbsp;&nbsp; (35659363) |
| &nbsp;&nbsp;&nbsp;&nbsp; CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | &nbsp;&nbsp; 157589253 | &nbsp;&nbsp;&nbsp; 50092505 |
| Change in net assets | &nbsp;&nbsp; 123579309 | &nbsp;&nbsp;&nbsp; 45250081 |
| **Net Assets:** |  |  |
| Beginning of period | &nbsp;&nbsp; 171827898 | &nbsp;&nbsp; 126577817 |
| End of period | $295407207 | $171827898 |

---

See Notes which are an integral part of the Financial Statements

Annual Shareholder Report

**9**

------

Notes to Financial Statements

December 31, 2022

**1. ORGANIZATION** 

Federated Hermes Managed Pool Series (the "Trust") is registered under the Act, as an open-end management investment company. The Trust consists of five portfolios. The financial statements included herein are only those of Federated Hermes Mortgage Strategy Portfolio (the "Fund"), a non-diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder's interest is limited to the portfolio in which shares are held. Each portfolio pays its own expenses. The investment objective of the Fund is to provide total return by investing primarily in a mortgage-backed securities mutual fund and individual mortgage-backed securities, including collateralized mortgage obligations.

**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:

◾ <br>

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.

◾ <br>

Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by Federated Investment Management Company (the "Adviser").

◾ <br>

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.

◾ <br>

Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Adviser.

◾ <br>

For securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.

If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Adviser's valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion of the Adviser's valuation committee ("Valuation Committee"), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.

**Fair Valuation Procedures** 

Pursuant to Rule 2a-5 under the Act, the Fund's Board of Trustees (the "Trustees") have 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.

Annual Shareholder Report

**10**

------

**Repurchase Agreements** 

The Fund may invest in repurchase agreements for short-term liquidity purposes. It is the policy of the Fund to require the other party to a repurchase agreement to transfer to the Fund's custodian or sub-custodian eligible securities or cash with a market value (after transaction costs) at least equal to the repurchase price to be paid under the repurchase agreement. The eligible securities are transferred to accounts with the custodian or sub-custodian in which the Fund holds a "securities entitlement" and exercises "control" as those terms are defined in the Uniform Commercial Code. The Fund has established procedures for monitoring the market value of the transferred securities and requiring the transfer of additional eligible securities if necessary to equal at least the repurchase price. These procedures also allow the other party to require securities to be transferred from the account to the extent that their market value exceeds the repurchase price or in exchange for other eligible securities of equivalent market value.

The insolvency of the other party or other failure to repurchase the securities may delay the disposition of the underlying securities or cause the Fund to receive less than the full repurchase price. Under the terms of the repurchase agreement, any amounts received by the Fund in excess of the repurchase price and related transaction costs must be remitted to the other party.

The Fund may enter into repurchase agreements in which eligible securities are transferred into joint trading accounts maintained by the custodian or sub-custodian for investment companies and other clients advised by the Fund's Adviser and its affiliates. The Fund will participate on a pro rata basis with the other investment companies and clients in its share of the securities transferred under such repurchase agreements and in its share of proceeds from any repurchase or other disposition of such securities.

Repurchase agreements are subject to Master Netting Agreements which are agreements between the Fund and its counterparties that provide for the net settlement of all transactions and collateral with the Fund, through a single payment, in the event of default or termination. Amounts presented on the Portfolio of Investments and Statement of Assets and Liabilities are not net settlement amounts but gross. As indicated above, the cash or securities to be repurchased, as shown on the Portfolio of Investments, exceeds the repurchase price to be paid under the agreement reducing the net settlement amount to zero.

**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. The detail of the total fund expense reimbursement of $401,591 is disclosed in Note 5.

**Federal Taxes** 

It is the Fund's policy to comply with the Subchapter M provision of the Internal Revenue Code (the "Code") and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal income tax is necessary. As of and during the year ended December 31, 2022, the Fund did not have a liability for any uncertain tax positions. The Fund recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2022, tax years 2019 through 2022 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.

**Other** 

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ materially from those estimated. The Fund applies investment company accounting and reporting guidance.

**3. SHARES OF BENEFICIAL INTEREST** 

The following table summarizes share activity:

---

| | | |
|:---|:---|:---|
|  | **Year Ended** <br>**12/31/2022**<br>| **Year Ended** <br>**12/31/2021**<br>|
| Shares sold | 23685150 | 8563074 |
| Shares issued to shareholders in payment of distributions declared | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23589 | &nbsp;&nbsp;&nbsp;&nbsp; 10856 |
| Shares redeemed | (6251194) | (3570055) |
| &nbsp;&nbsp;&nbsp;&nbsp; NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 17457545 | 5003875 |

---

Annual Shareholder Report

**11**

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**4. FEDERAL TAX INFORMATION** 

The tax character of distributions as reported on the Statement of Changes in Net Assets for the years ended December 31, 2022 and 2021, was as follows:

---

| | | |
|:---|:---|:---|
|  | **2022** | **2021** |
| Ordinary income<sup>1</sup> <br>| $7113868 | $3407523 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

1 *For tax purposes, short-term capital gains distributions are considered ordinary income distributions.*

As of December 31, 2022, the components of distributable earnings on a tax-basis were as follows:

---

| | |
|:---|:---|
| Undistributed ordinary income | $3752 |
| Net unrealized depreciation | $(36936285) |
| Capital loss carryforwards | $(147079) |
| TOTAL | $(37079612) |

---

At December 31, 2022, the cost of investments for federal tax purposes was $332,665,272. The net unrealized depreciation of investments for federal tax purposes was $36,936,285. This consists entirely of unrealized depreciation from investments for those securities having an excess of cost over value of $36,936,285. The difference between book-basis and tax-basis net unrealized depreciation is attributable to differing treatments for the deferral of losses on wash sales.

As of December 31, 2022, the Fund had a capital loss carryforward of $147,079 which will reduce the Fund's taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code of 1986, thereby reducing the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. Pursuant to the Code, these net capital losses retain their character as either short-term or long-term and do not expire.

The following schedule summarizes the Fund's capital loss carryforwards:

---

| | | |
|:---|:---|:---|
| **Short-Term** | **Long-Term** | **Total** |
| $139841 | $7238 | $147079 |

---

**5. INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES** 

**Investment Adviser Fee** 

The Adviser provides investment adviser services at no fee because all eligible investors are: (1) in separately managed or wrap fee programs, who often pay a single aggregate fee to the wrap program sponsor for all costs and expenses of the wrap fee programs; or (2) in certain other separately managed accounts and discretionary investment accounts. The Adviser has contractually agreed to reimburse all expenses of the Fund, excluding extraordinary expenses. Acquired fund fees and expenses are not direct obligations of the Fund and are not contractual reimbursements under the investment advisory contract. For the year ended December 31, 2022, the Adviser reimbursed $401,591 of operating expenses.

**Administrative Fee** 

Federated Administrative Services (FAS), under the Administrative Services Agreement, provides the Fund with administrative personnel and services. For purposes of determining the appropriate rate breakpoint, "Investment Complex" is defined as all of the Federated Hermes Funds subject to a fee under the Administrative Services Agreement. The fee paid to FAS is based on the average daily net assets of the Investment Complex as specified below:

---

| | |
|:---|:---|
| **Administrative Fee** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Average Daily Net Assets** <br>**of the Investment Complex**<br>|
| 0.100% | on assets up to $50 billion |
| 0.075% | on assets over $50 billion |

---

For the year ended December 31, 2022, the annualized fee paid to FAS was 0.078% of average daily net assets of the Fund. For the year ended December 31, 2022, the Fund's Adviser reimbursed the Fund for any fee paid to FAS.

In addition, FAS may charge certain out-of-pocket expenses to the Fund.

**Directors'/Trustees' and Miscellaneous Fees** 

Certain Officers and Trustees of the Fund are Officers and Directors or Trustees of certain of the above companies. To efficiently facilitate payment, Independent Directors'/Trustees' fees and certain expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses are paid by an affiliate of the Adviser which in due course are reimbursed by the Fund. These expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses may be included in Accrued and Miscellaneous Expenses on the Statement of Assets and Liabilities and Statement of Operations, respectively.

Annual Shareholder Report

**12**

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**6. INVESTMENT TRANSACTIONS** 

Purchases and sales of investments, excluding long-term U.S. government securities and short-term obligations, for the year ended December 31, 2022, were as follows:

---

| | |
|:---|:---|
| Purchases | $183494741 |
| Sales | $26350000 |

---

**7. LINE OF CREDIT** 

The Fund participates with certain other Federated Hermes Funds, on a several basis, in an up to $500,000,000 unsecured, 364-day, committed, revolving line of credit (LOC) agreement dated June 22, 2022. The LOC was made available to temporarily finance the repurchase or redemption of shares of the Fund, failed trades, payment of dividends, settlement of trades and for other short-term, temporary or emergency general business purposes. The Fund cannot borrow under the LOC if an inter-fund loan is outstanding. The Fund's ability to borrow under the LOC also is subject to the limitations of the Act and various conditions precedent that must be satisfied before the Fund can borrow. Loans under the LOC are charged interest at a fluctuating rate per annum equal to (a) the highest, on any day, of (i) the federal funds effective rate, (ii) the published secured overnight financing rate plus an assigned percentage, and (iii) 0.0%, plus (b) a margin. Any fund eligible to borrow under the LOC pays its pro rata share of a commitment fee based on the amount of the lenders' commitment that has not been utilized, quarterly in arrears and at maturity. As of December 31, 2022, the Fund had no outstanding loans. During the year ended December 31, 2022, the Fund did not utilize the LOC.

**8. INTERFUND LENDING** 

Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other funds advised by subsidiaries of Federated Hermes, Inc., may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from other participating affiliated funds. As of December 31, 2022, there were no outstanding loans. During the year ended December 31, 2022, the program was not utilized.

**9. INDEMNIFICATIONS** 

Under the Fund's organizational documents, its Officers and Directors/Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund (other than liabilities arising out of their willful misfeasance, bad faith, gross negligence or reckless disregard of their duties to the Fund). In addition, in the normal course of business, the Fund provides certain indemnifications under arrangements with third parties. Typically, obligations to indemnify a third party arise in the context of an arrangement entered into by the Fund under which the Fund agrees to indemnify such third party for certain liabilities arising out of actions taken pursuant to the arrangement, provided the third party's actions are not deemed to have breached an agreed-upon standard of care (such as willful misfeasance, bad faith, gross negligence or reckless disregard of their duties under the contract). The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet arisen. The Fund does not anticipate any material claims or losses pursuant to these arrangements at this time, and accordingly expects the risk of loss to be remote.

**10. OTHER MATTERS** 

An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread globally. As of the date of the issuance of these financial statements, this coronavirus has resulted in, and may continue to result in, closed borders, enhanced health screenings, disruptions to healthcare service preparation and delivery, quarantines, cancellations, and disruptions to supply chains, workflow operations and consumer activity, as well as general concern and uncertainty. The impact of this coronavirus has resulted in substantial economic volatility. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks. The impact of this outbreak, and other epidemics and pandemics that may arise in the future, could continue to negatively affect the worldwide economy, as well as the economies of individual countries, individual companies (including certain Fund service providers and issuers of the Fund's investments) and the markets in general in significant and unforeseen ways. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic, including significant fiscal and monetary policy changes, that may affect the instruments in which the Fund invests or the issuers of such investments. Any such impact could adversely affect the Fund's performance.

**11. FEDERAL TAX INFORMATION (UNAUDITED)** 

For the fiscal year ended December 31, 2022, 100% of dividends paid by the Fund are interest-related dividends, as provided by the American Jobs Creation Act of 2004.

Annual Shareholder Report

**13**

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Report of Independent Registered Public Accounting Firm

**TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FEDERATED HERMES MORTGAGE STRATEGY PORTFOLIO:**

**Opinion on the Financial Statements**

We have audited the accompanying statement of assets and liabilities of Federated Hermes Mortgage Strategy Portfolio (the "Fund") (one of the portfolios constituting Federated Hermes Managed Pool Series (the "Trust")), including the portfolio of investments, as of December 31, 2022, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the portfolios constituting Federated Hermes Managed Pool Series) at December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

**Basis for Opinion**

These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust's internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian, brokers, and others; when replies were not received from brokers or others, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. <br> ![](ernstyoungsig.jpg)

We have served as the auditor of one or more Federated Hermes investment companies since 1979.

Boston, Massachusetts <br>February 22, 2023

Annual Shareholder Report

**14**

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Shareholder Expense Example (unaudited)

As a shareholder of the Fund, you incur ongoing costs, including to the extent applicable, management fees, distribution (12b-1) fees and/or other service fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2022 to December 31, 2022.

**ACTUAL EXPENSES** 

The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to *estimate* the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled "Expenses Paid During Period" to estimate the expenses attributable to your investment during this period.

**HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES** 

The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an *assumed* rate of return of 5% per year before expenses, which is not the Fund's actual return. Thus, you should *not* use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are required to be provided to enable you to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative *total* costs of owning different funds.

---

| | | | |
|:---|:---|:---|:---|
|  | **Beginning** <br>**Account Value** <br>**7/1/2022**<br>| **Ending** <br>**Account Value** <br>**12/31/2022**<br>| **Expenses Paid** <br>**During Period**<sup>1</sup> <br>|
| **Actual** | $1000 | $965.20 | $0.00 |
| **Hypothetical (assuming a 5% return before expenses)** | $1000 | $1025.21 | $0.00 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Expenses are equal to the Fund's annualized net expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 184/365 (to* <br> *reflect the one-half-year period). The Adviser has contractually agreed to reimburse all expenses, excluding extraordinary expenses, incurred by the Fund. This* <br> *agreement has no fixed term.*<br>|

---

Annual Shareholder Report

**15**

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Mortgage Core Fund

**Financial Statements and Notes to Financial Statements**

Federated Hermes Mortgage Strategy Portfolio invests primarily in Mortgage Core Fund. Therefore, the Mortgage Core Fund financial statements and notes to financial statements are included on pages 17 through 41.

Mortgage Core Fund

Annual Shareholder Report

**16**

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Management's Discussion of Fund Performance (unaudited)

The total return of the Mortgage Core Fund (the "Fund"), based on net asset value for the 12-month reporting period ended December 31, 2022, was -11.57%. The Bloomberg US Mortgage Backed Securities Index (BMBS),<sup>1</sup> the Fund's broad-based securities market index, returned -11.81% for the same period. The Fund's total return for the most recently completed fiscal year reflected actual cash flows, transaction costs and expenses not reflected in the total return of the BMBS.

During the reporting period, the most significant factors affecting the Fund's performance were (a) interest rate strategy; (b) sector allocation; and (c) security selection.

The following discussion will focus on the Fund's performance relative to the BMBS.

**MARKET OVERVIEW**

Citing elevated inflation which resulted from pandemic-induced supply/demand imbalances and the Russian invasion of Ukraine, as well as low unemployment, the Federal Reserve (the "Fed") aggressively tightened monetary policy during the reporting period. From extremely accommodative monetary policy at period outset, the Fed moved at a historically rapid pace with seven rate hikes to reduce inflationary pressures. Additionally, quantitative easing policy purchases of securities reached a conclusion, and the portfolio of agency debt, mortgage-backed securities (MBS)<sup>2</sup> and Treasury securities declined as securities matured. These steps were taken to combat inflation which reached the highest level in 40 years. Market yields spiked in response to Fed actions.

Treasury yields increased across the maturity spectrum and fixed-income investments outside of Treasury securities–the spread sectors–reeled, as slack demand produced wider yield spreads and negative excess returns. Virtually all spread sectors underperformed similar duration Treasury securities with corporate debt (both high-grade and high-yield), MBS (residential and commercial), asset-backed securities (ABS) and agency debt posting lackluster results. The mortgage sector suffered from a lack of demand as commercial bank buying decreased, and the Fed ceased portfolio purchases allowing portfolio holdings to decline as quantitative easing evolved to quantitative tightening. As Treasury yields and mortgage rates increased, mortgage refinance activity collapsed, and MBS average lives extended as homeowners' existing manimortgage rates fell well below the available market rate for 30-year fixed mortgages.

During the reporting period, the 2- and 10-year U.S. Treasury yields increased 370 and 237 basis points to yield 4.43% and 3.88%, respectively.<sup>3</sup>

**Interest rate strategy**

The Fund decreased effective duration,<sup>4</sup> relative to the BMBS, 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 period. During the reporting period, the Fund invested in Treasury futures contracts for duration and yield curve purposes. The impact to performance was minimal, totaling -3 basis points for the fiscal year.

**Sector ALLOCATION**

Allocations to conventional MBS, which include those issued by Fannie Mae and Freddie Mac as well as a cash position, were beneficial. Overall, sector allocation made a positive contribution to Fund performance.

**SECURITY SELECTION**

Security selection, notably in non-government-guaranteed mortgage securities, proved detrimental. Additionally, securities offering varying degrees of prepayment protection underperformed as call protection value declined. Security selection acted as a drag on Fund performance.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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 BMBS.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*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 securities of shorter durations.*

Mortgage Core Fund

Annual Shareholder Report

**17**

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**FUND PERFORMANCE AND GROWTH OF A $10,000 INVESTMENT**

The graph below illustrates the hypothetical investment of $10,000<sup>1</sup> in the Mortgage Core Fund (the "Fund") from December 31, 2012 to December 31, 2022, compared to the Bloomberg US Mortgage Backed Securities Index (BMBS).<sup>2</sup> The Average Annual Total Return table below shows returns averaged over the stated periods.

**Growth of a $10,000 Investment**

**Growth of $10,000 as of December 31, 2022** <br> ![](mbcorear30129.jpg)

**Average Annual Total Returns for the Period Ended 12/31/2022** 

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Years** | **10 Years** |
| **Fund** | -11.57% | -0.27% | 0.90% |
| BMBS | -11.81% | -0.53% | 0.74% |

---

**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, 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.** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The Fund's performance assumes the reinvestment of all dividends and distributions. The BMBS has been adjusted to reflect reinvestment of dividends on securities in the index.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The BMBS covers agency mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC). The index is not adjusted to reflect sales loads, 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.*

Mortgage Core Fund

Annual Shareholder Report

**18**

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Portfolio of Investments Summary Table (unaudited)

At December 31, 2022, the Fund's portfolio composition<sup>1</sup>was as follows:

---

| | |
|:---|:---|
| **Security Type** | **Percentage of** <br>**Total Net Assets**<br>|
| U.S. Government Agency Mortgage-Backed Securities | 90.0% |
| Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp; 4.4% |
| Asset-Backed Securities | &nbsp;&nbsp; 2.8% |
| Derivative Contracts<sup>2</sup> <br>| &nbsp;&nbsp; 0.0% |
| Cash Equivalents<sup>3</sup> <br>| &nbsp;&nbsp; 3.7% |
| Other Assets and Liabilities—Net<sup>4</sup> <br>| (0.9)% |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | **100%** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *See the Fund's Private Offering Memorandum for a description of the principal types of securities in which the Fund invests.* |
| 2 | *Represents less than 0.1%.* |
| 3 | *Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements.* |
| 4 | *Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities.* |

---

Mortgage Core Fund

Annual Shareholder Report

**19**

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Portfolio of Investments

December 31, 2022

---

| | | |
|:---|:---|:---|
| **Principal** <br>**Amount** <br>**or Shares**<br>|  | **Value** |
|  | MORTGAGE-BACKED SECURITIES—90.0% |  |
|  | **Federal Home Loan Mortgage Corporation—33.4%** |  |
| $5830291 | 2.000%, 5/1/2035 | $5224147 |
| &nbsp;&nbsp; 3067968 | 2.000%, 7/1/2035 | &nbsp;&nbsp; 2740379 |
| &nbsp;&nbsp; 18088964 | 2.000%, 11/1/2035 | &nbsp;&nbsp; 16163128 |
| &nbsp;&nbsp; 35877327 | 2.000%, 4/1/2036 | &nbsp;&nbsp; 32136140 |
| &nbsp;&nbsp; 15779375 | 2.000%, 11/1/2036 | &nbsp;&nbsp; 14099428 |
| &nbsp;&nbsp; 8815172 | 2.000%, 8/1/2050 | &nbsp;&nbsp; 7265467 |
| &nbsp;&nbsp; 10921265 | 2.000%, 9/1/2050 | &nbsp;&nbsp; 8984246 |
| &nbsp;&nbsp; 17494462 | 2.000%, 9/1/2050 | &nbsp;&nbsp; 14490012 |
| &nbsp;&nbsp; 29593363 | 2.000%, 11/1/2050 | &nbsp;&nbsp; 24344619 |
| &nbsp;&nbsp; 25436305 | 2.000%, 12/1/2050 | &nbsp;&nbsp; 20869224 |
| &nbsp;&nbsp; 3284258 | 2.000%, 3/1/2051 | &nbsp;&nbsp; 2698676 |
| &nbsp;&nbsp; 7074589 | 2.000%, 4/1/2051 | &nbsp;&nbsp; 5802138 |
| &nbsp;&nbsp; 44736223 | 2.000%, 4/1/2051 | &nbsp;&nbsp; 36759767 |
| &nbsp;&nbsp; 16218448 | 2.000%, 5/1/2051 | &nbsp;&nbsp; 13301363 |
| &nbsp;&nbsp; 35176482 | 2.000%, 1/1/2052 | &nbsp;&nbsp; 29003460 |
| &nbsp;&nbsp; 95658416 | 2.000%, 1/1/2052 | &nbsp;&nbsp; 78602549 |
| &nbsp;&nbsp; 1606498 | 2.500%, 10/1/2049 | &nbsp;&nbsp; 1379742 |
| &nbsp;&nbsp; 6690140 | 2.500%, 5/1/2050 | &nbsp;&nbsp; 5775103 |
| &nbsp;&nbsp; 8124960 | 2.500%, 9/1/2050 | &nbsp;&nbsp; 6952739 |
| &nbsp;&nbsp; 74164598 | 2.500%, 9/1/2051 | &nbsp;&nbsp; 63012630 |
| &nbsp;&nbsp; 72908933 | 2.500%, 10/1/2051 | &nbsp;&nbsp; 62036913 |
| &nbsp;&nbsp; 2807128 | 2.500%, 1/1/2052 | &nbsp;&nbsp; 2409150 |
| &nbsp;&nbsp; 13168505 | 2.500%, 2/1/2052 | &nbsp;&nbsp; 11219250 |
| &nbsp;&nbsp; 25964968 | 2.500%, 2/1/2052 | &nbsp;&nbsp; 22068787 |
| &nbsp;&nbsp; 11958302 | 2.500%, 2/1/2052 | &nbsp;&nbsp; 10188186 |
| &nbsp;&nbsp; 29832189 | 2.500%, 4/1/2052 | &nbsp;&nbsp; 25607420 |
| &nbsp;&nbsp; 1484970 | 3.000%, 4/1/2031 | &nbsp;&nbsp; 1415265 |
| &nbsp;&nbsp; 2310828 | 3.000%, 6/1/2032 | &nbsp;&nbsp; 2197302 |
| &nbsp;&nbsp; 2738841 | 3.000%, 6/1/2032 | &nbsp;&nbsp; 2604288 |
| &nbsp;&nbsp; 25422609 | 3.000%, 6/1/2033 | &nbsp;&nbsp; 24141874 |
| &nbsp;&nbsp; 1827904 | 3.000%, 7/1/2033 | &nbsp;&nbsp; 1738103 |
| &nbsp;&nbsp; 13540229 | 3.000%, 1/1/2043 | &nbsp;&nbsp; 12319749 |
| &nbsp;&nbsp; 472872 | 3.000%, 6/1/2045 | &nbsp;&nbsp; 426850 |
| &nbsp;&nbsp; 4483383 | 3.000%, 10/1/2045 | &nbsp;&nbsp; 4048440 |
| &nbsp;&nbsp; 641778 | 3.000%, 5/1/2046 | &nbsp;&nbsp; 579117 |
| &nbsp;&nbsp; 11802906 | 3.000%, 6/1/2046 | &nbsp;&nbsp; 10561981 |
| &nbsp;&nbsp; 4923578 | 3.000%, 6/1/2046 | &nbsp;&nbsp; 4458239 |
| &nbsp;&nbsp; 5542339 | 3.000%, 7/1/2046 | &nbsp;&nbsp; 5037572 |
| &nbsp;&nbsp; 1834468 | 3.000%, 9/1/2046 | &nbsp;&nbsp; 1639304 |
| &nbsp;&nbsp; 4471076 | 3.000%, 10/1/2046 | &nbsp;&nbsp; 4034532 |
| &nbsp;&nbsp; 4547714 | 3.000%, 10/1/2046 | &nbsp;&nbsp; 4098002 |
| &nbsp;&nbsp; 3524571 | 3.000%, 11/1/2046 | &nbsp;&nbsp; 3169427 |
| &nbsp;&nbsp; 2609136 | 3.000%, 11/1/2046 | &nbsp;&nbsp; 2331557 |
| &nbsp;&nbsp; 5360485 | 3.000%, 12/1/2046 | &nbsp;&nbsp; 4832076 |
| &nbsp;&nbsp; 7628467 | 3.000%, 5/1/2047 | &nbsp;&nbsp; 6874109 |
| &nbsp;&nbsp; 9686121 | 3.000%, 4/1/2052 | &nbsp;&nbsp; 8574670 |
| &nbsp;&nbsp; 38615739 | 3.000%, 6/1/2052 | &nbsp;&nbsp; 33955430 |

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Mortgage Core Fund

Annual Shareholder Report

**20**

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| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | MORTGAGE-BACKED SECURITIES—continued |  |
|  | **Federal Home Loan Mortgage Corporation—continued** |  |
| $117283 | 3.500%, 6/1/2026 | $114471 |
| &nbsp;&nbsp; 163951 | 3.500%, 6/1/2026 | &nbsp;&nbsp; 159875 |
| &nbsp;&nbsp; 58036 | 3.500%, 7/1/2026 | &nbsp;&nbsp; 56496 |
| &nbsp;&nbsp; 3991951 | 3.500%, 7/1/2042 | &nbsp;&nbsp; 3736585 |
| &nbsp;&nbsp; 3624293 | 3.500%, 9/1/2043 | &nbsp;&nbsp; 3389428 |
| &nbsp;&nbsp; 1547252 | 3.500%, 5/1/2046 | &nbsp;&nbsp; 1442558 |
| &nbsp;&nbsp; 17467814 | 3.500%, 7/1/2046 | &nbsp;&nbsp; 16209449 |
| &nbsp;&nbsp; 11006875 | 3.500%, 11/1/2047 | &nbsp;&nbsp; 10220829 |
| &nbsp;&nbsp; 5735905 | 3.500%, 11/1/2047 | &nbsp;&nbsp; 5315526 |
| &nbsp;&nbsp; 2185518 | 3.500%, 12/1/2047 | &nbsp;&nbsp; 2014415 |
| &nbsp;&nbsp; 11269586 | 3.500%, 12/1/2047 | &nbsp;&nbsp; 10507040 |
| &nbsp;&nbsp; 6010085 | 3.500%, 2/1/2048 | &nbsp;&nbsp; 5590271 |
| &nbsp;&nbsp; 8840792 | 3.500%, 2/1/2048 | &nbsp;&nbsp; 8253639 |
| &nbsp;&nbsp; 13295456 | 3.500%, 12/1/2049 | &nbsp;&nbsp; 12140620 |
| &nbsp;&nbsp; 8359202 | 3.500%, 5/1/2051 | &nbsp;&nbsp; 7639461 |
| &nbsp;&nbsp; 14727969 | 3.500%, 7/1/2051 | &nbsp;&nbsp; 13469072 |
| &nbsp;&nbsp; 64770456 | 3.500%, 4/1/2052 | &nbsp;&nbsp; 58925428 |
| &nbsp;&nbsp; 7949834 | 3.500%, 5/1/2052 | &nbsp;&nbsp; 7232423 |
| &nbsp;&nbsp; 35537 | 4.000%, 5/1/2024 | &nbsp;&nbsp; 35216 |
| &nbsp;&nbsp; 349313 | 4.000%, 8/1/2025 | &nbsp;&nbsp; 344475 |
| &nbsp;&nbsp; 50742 | 4.000%, 5/1/2026 | &nbsp;&nbsp; 49932 |
| &nbsp;&nbsp; 640187 | 4.000%, 5/1/2026 | &nbsp;&nbsp; 629977 |
| &nbsp;&nbsp; 690332 | 4.000%, 12/1/2040 | &nbsp;&nbsp; 668292 |
| &nbsp;&nbsp; 526632 | 4.000%, 1/1/2042 | &nbsp;&nbsp; 509296 |
| &nbsp;&nbsp; 3041946 | 4.000%, 11/1/2047 | &nbsp;&nbsp; 2912686 |
| &nbsp;&nbsp; 3055028 | 4.000%, 5/1/2048 | &nbsp;&nbsp; 2918530 |
| &nbsp;&nbsp; 31357332 | 4.000%, 6/1/2052 | &nbsp;&nbsp; 29495732 |
| &nbsp;&nbsp; 9712710 | 4.000%, 7/1/2052 | &nbsp;&nbsp; 9120916 |
| &nbsp;&nbsp; 16882873 | 4.000%, 8/1/2052 | &nbsp;&nbsp; 15854203 |
| &nbsp;&nbsp; 28028 | 4.500%, 7/1/2024 | &nbsp;&nbsp; 27827 |
| &nbsp;&nbsp; 29884 | 4.500%, 8/1/2024 | &nbsp;&nbsp; 29670 |
| &nbsp;&nbsp; 59134 | 4.500%, 9/1/2024 | &nbsp;&nbsp; 58712 |
| &nbsp;&nbsp; 33476 | 4.500%, 9/1/2024 | &nbsp;&nbsp; 33237 |
| &nbsp;&nbsp; 41400 | 4.500%, 6/1/2025 | &nbsp;&nbsp; 41084 |
| &nbsp;&nbsp; 37782312 | 4.500%, 10/1/2037 | &nbsp;&nbsp; 37554533 |
| &nbsp;&nbsp; 431103 | 4.500%, 11/1/2039 | &nbsp;&nbsp; 426962 |
| &nbsp;&nbsp; 1289777 | 4.500%, 5/1/2040 | &nbsp;&nbsp; 1277847 |
| &nbsp;&nbsp; 126896 | 4.500%, 6/1/2040 | &nbsp;&nbsp; 125729 |
| &nbsp;&nbsp; 186421 | 4.500%, 7/1/2040 | &nbsp;&nbsp; 184712 |
| &nbsp;&nbsp; 388185 | 4.500%, 8/1/2040 | &nbsp;&nbsp; 384542 |
| &nbsp;&nbsp; 705892 | 4.500%, 8/1/2040 | &nbsp;&nbsp; 699334 |
| &nbsp;&nbsp; 2191274 | 4.500%, 9/1/2040 | &nbsp;&nbsp; 2171188 |
| &nbsp;&nbsp; 430341 | 4.500%, 7/1/2041 | &nbsp;&nbsp; 426398 |
| &nbsp;&nbsp; 386687 | 4.500%, 7/1/2041 | &nbsp;&nbsp; 383135 |
| &nbsp;&nbsp; 274269 | 4.500%, 7/1/2041 | &nbsp;&nbsp; 271749 |
| &nbsp;&nbsp; 1766405 | 4.500%, 10/1/2048 | &nbsp;&nbsp; 1729563 |
| &nbsp;&nbsp; 9284035 | 4.500%, 7/1/2052 | &nbsp;&nbsp; 8993932 |
| &nbsp;&nbsp; 38767645 | 4.500%, 8/1/2052 | &nbsp;&nbsp; 37404815 |
| &nbsp;&nbsp; 3982 | 5.000%, 6/1/2023 | &nbsp;&nbsp; 3970 |
| &nbsp;&nbsp; 11903 | 5.000%, 7/1/2023 | &nbsp;&nbsp; 11867 |

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Mortgage Core Fund

Annual Shareholder Report

**21**

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| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | MORTGAGE-BACKED SECURITIES—continued |  |
|  | **Federal Home Loan Mortgage Corporation—continued** |  |
| $3786 | 5.000%, 7/1/2023 | $3775 |
| &nbsp;&nbsp; 3574 | 5.000%, 7/1/2025 | &nbsp;&nbsp; 3561 |
| &nbsp;&nbsp; 792193 | 5.000%, 1/1/2034 | &nbsp;&nbsp; 795336 |
| &nbsp;&nbsp; 273753 | 5.000%, 5/1/2034 | &nbsp;&nbsp; 274841 |
| &nbsp;&nbsp; 944 | 5.000%, 11/1/2035 | &nbsp;&nbsp; 950 |
| &nbsp;&nbsp; 305748 | 5.000%, 4/1/2036 | &nbsp;&nbsp; 307969 |
| &nbsp;&nbsp; 377 | 5.000%, 4/1/2036 | &nbsp;&nbsp; 380 |
| &nbsp;&nbsp; 5404 | 5.000%, 4/1/2036 | &nbsp;&nbsp; 5433 |
| &nbsp;&nbsp; 62012 | 5.000%, 4/1/2036 | &nbsp;&nbsp; 62479 |
| &nbsp;&nbsp; 72610 | 5.000%, 5/1/2036 | &nbsp;&nbsp; 73266 |
| &nbsp;&nbsp; 52732 | 5.000%, 6/1/2036 | &nbsp;&nbsp; 53108 |
| &nbsp;&nbsp; 117692 | 5.000%, 6/1/2036 | &nbsp;&nbsp; 118280 |
| &nbsp;&nbsp; 302317 | 5.000%, 12/1/2037 | &nbsp;&nbsp; 304966 |
| &nbsp;&nbsp; 50886 | 5.000%, 5/1/2038 | &nbsp;&nbsp; 51336 |
| &nbsp;&nbsp; 27506 | 5.000%, 6/1/2038 | &nbsp;&nbsp; 27747 |
| &nbsp;&nbsp; 53357 | 5.000%, 9/1/2038 | &nbsp;&nbsp; 53847 |
| &nbsp;&nbsp; 50174 | 5.000%, 2/1/2039 | &nbsp;&nbsp; 50643 |
| &nbsp;&nbsp; 48245 | 5.000%, 6/1/2039 | &nbsp;&nbsp; 48724 |
| &nbsp;&nbsp; 1442862 | 5.000%, 10/1/2039 | &nbsp;&nbsp; 1458007 |
| &nbsp;&nbsp; 127787 | 5.000%, 2/1/2040 | &nbsp;&nbsp; 129192 |
| &nbsp;&nbsp; 217831 | 5.000%, 8/1/2040 | &nbsp;&nbsp; 220385 |
| &nbsp;&nbsp; 37024669 | 5.000%, 10/1/2052 | &nbsp;&nbsp; 36594028 |
| &nbsp;&nbsp; 674562 | 5.500%, 5/1/2034 | &nbsp;&nbsp; 690253 |
| &nbsp;&nbsp; 21822 | 5.500%, 3/1/2036 | &nbsp;&nbsp; 22530 |
| &nbsp;&nbsp; 55209 | 5.500%, 3/1/2036 | &nbsp;&nbsp; 56856 |
| &nbsp;&nbsp; 11270 | 5.500%, 3/1/2036 | &nbsp;&nbsp; 11637 |
| &nbsp;&nbsp; 80881 | 5.500%, 3/1/2036 | &nbsp;&nbsp; 83044 |
| &nbsp;&nbsp; 165429 | 5.500%, 6/1/2036 | &nbsp;&nbsp; 170774 |
| &nbsp;&nbsp; 82346 | 5.500%, 6/1/2036 | &nbsp;&nbsp; 85024 |
| &nbsp;&nbsp; 31917 | 5.500%, 6/1/2036 | &nbsp;&nbsp; 32846 |
| &nbsp;&nbsp; 78584 | 5.500%, 9/1/2037 | &nbsp;&nbsp; 81177 |
| &nbsp;&nbsp; 133424 | 5.500%, 9/1/2037 | &nbsp;&nbsp; 137773 |
| &nbsp;&nbsp; 93182 | 5.500%, 12/1/2037 | &nbsp;&nbsp; 96237 |
| &nbsp;&nbsp; 11710 | 5.500%, 3/1/2038 | &nbsp;&nbsp; 12108 |
| &nbsp;&nbsp; 5038742 | 5.500%, 9/1/2052 | &nbsp;&nbsp; 5070068 |
| &nbsp;&nbsp; 30000892 | 5.500%, 12/1/2052 | &nbsp;&nbsp; 30095530 |
| &nbsp;&nbsp; 7550 | 6.000%, 7/1/2029 | &nbsp;&nbsp; 7680 |
| &nbsp;&nbsp; 17743 | 6.000%, 2/1/2032 | &nbsp;&nbsp; 18268 |
| &nbsp;&nbsp; 11212 | 6.000%, 5/1/2036 | &nbsp;&nbsp; 11666 |
| &nbsp;&nbsp; 31740 | 6.000%, 8/1/2037 | &nbsp;&nbsp; 33180 |
| &nbsp;&nbsp; 194765 | 6.000%, 9/1/2037 | &nbsp;&nbsp; 203128 |
| &nbsp;&nbsp; 4073 | 6.500%, 6/1/2029 | &nbsp;&nbsp; 4206 |
| &nbsp;&nbsp; 1488 | 6.500%, 7/1/2029 | &nbsp;&nbsp; 1537 |
| &nbsp;&nbsp; 128839 | 6.500%, 11/1/2036 | &nbsp;&nbsp; 137043 |
| &nbsp;&nbsp; 342487 | 6.500%, 10/1/2037 | &nbsp;&nbsp; 365819 |
| &nbsp;&nbsp; 1426 | 6.500%, 4/1/2038 | &nbsp;&nbsp; 1523 |
| &nbsp;&nbsp; 1173 | 6.500%, 4/1/2038 | &nbsp;&nbsp; 1254 |
| &nbsp;&nbsp; 6742 | 7.000%, 4/1/2032 | &nbsp;&nbsp; 7074 |
| &nbsp;&nbsp; 106872 | 7.000%, 4/1/2032 | &nbsp;&nbsp; 113722 |
| &nbsp;&nbsp; 23282 | 7.000%, 9/1/2037 | &nbsp;&nbsp; 25380 |

---

Mortgage Core Fund

Annual Shareholder Report

**22**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | MORTGAGE-BACKED SECURITIES—continued |  |
|  | **Federal Home Loan Mortgage Corporation—continued** |  |
| $10781 | 7.500%, 10/1/2029 | $11313 |
| &nbsp;&nbsp; 6253 | 7.500%, 11/1/2029 | &nbsp;&nbsp; 6574 |
| &nbsp;&nbsp; 7352 | 7.500%, 4/1/2031 | &nbsp;&nbsp; 7484 |
| &nbsp;&nbsp; 10611 | 7.500%, 5/1/2031 | &nbsp;&nbsp; 11312 |
| &nbsp;&nbsp; 1432 | 8.000%, 3/1/2030 | &nbsp;&nbsp; 1516 |
| &nbsp;&nbsp; 23837 | 8.000%, 1/1/2031 | &nbsp;&nbsp; 25173 |
| &nbsp;&nbsp; 25953 | 8.000%, 2/1/2031 | &nbsp;&nbsp; 27767 |
| &nbsp;&nbsp; 13338 | 8.000%, 3/1/2031 | &nbsp;&nbsp; 14229 |
| &nbsp;&nbsp; 513 | 8.500%, 9/1/2025 | &nbsp;&nbsp; 527 |
| &nbsp;&nbsp; 129 | 8.500%, 9/1/2025 | &nbsp;&nbsp; 132 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp; 1061691814 |
|  | **Federal National Mortgage Association—54.2%** |  |
| &nbsp;&nbsp; 7147266 | 2.000%, 12/1/2034 | &nbsp;&nbsp; 6419837 |
| &nbsp;&nbsp; 10384073 | 2.000%, 7/1/2035 | &nbsp;&nbsp; 9304496 |
| &nbsp;&nbsp; 6178413 | 2.000%, 4/1/2036 | &nbsp;&nbsp; 5526423 |
| &nbsp;&nbsp; 31615733 | 2.000%, 5/1/2036 | &nbsp;&nbsp; 28220134 |
| &nbsp;&nbsp; 39770302 | 2.000%, 7/1/2050 | &nbsp;&nbsp; 32716554 |
| &nbsp;&nbsp; 8254174 | 2.000%, 8/1/2050 | &nbsp;&nbsp; 6790196 |
| &nbsp;&nbsp; 11205848 | 2.000%, 10/1/2050 | &nbsp;&nbsp; 9218354 |
| &nbsp;&nbsp; 27099546 | 2.000%, 11/1/2050 | &nbsp;&nbsp; 22293111 |
| &nbsp;&nbsp; 12726948 | 2.000%, 3/1/2051 | &nbsp;&nbsp; 10485577 |
| &nbsp;&nbsp; 8745286 | 2.000%, 5/1/2051 | &nbsp;&nbsp; 7177806 |
| &nbsp;&nbsp; 331975753 | 2.000%, 5/1/2051 | &nbsp;&nbsp; 272784576 |
| &nbsp;&nbsp; 18949490 | 2.000%, 6/1/2051 | &nbsp;&nbsp; 15641863 |
| &nbsp;&nbsp; 17362971 | 2.000%, 7/1/2051 | &nbsp;&nbsp; 14272584 |
| &nbsp;&nbsp; 15649186 | 2.000%, 10/1/2051 | &nbsp;&nbsp; 12819818 |
| &nbsp;&nbsp; 126767793 | 2.000%, 2/1/2052 | &nbsp;&nbsp; 103610525 |
| &nbsp;&nbsp; 76035957 | 2.000%, 2/1/2052 | &nbsp;&nbsp; 62407485 |
| &nbsp;&nbsp; 5639563 | 2.500%, 9/1/2035 | &nbsp;&nbsp; 5187795 |
| &nbsp;&nbsp; 23460837 | 2.500%, 7/1/2036 | &nbsp;&nbsp; 21640112 |
| &nbsp;&nbsp; 9175016 | 2.500%, 11/1/2036 | &nbsp;&nbsp; 8434299 |
| &nbsp;&nbsp; 2651108 | 2.500%, 12/1/2036 | &nbsp;&nbsp; 2443706 |
| &nbsp;&nbsp; 2237583 | 2.500%, 12/1/2049 | &nbsp;&nbsp; 1921051 |
| &nbsp;&nbsp; 3361383 | 2.500%, 7/1/2050 | &nbsp;&nbsp; 2879574 |
| &nbsp;&nbsp; 7003292 | 2.500%, 9/1/2050 | &nbsp;&nbsp; 5995087 |
| &nbsp;&nbsp; 15941967 | 2.500%, 9/1/2050 | &nbsp;&nbsp; 13641955 |
| &nbsp;&nbsp; 36772583 | 2.500%, 10/1/2050 | &nbsp;&nbsp; 31375324 |
| &nbsp;&nbsp; 13884286 | 2.500%, 11/1/2050 | &nbsp;&nbsp; 11850773 |
| &nbsp;&nbsp; 17642906 | 2.500%, 2/1/2051 | &nbsp;&nbsp; 15034088 |
| &nbsp;&nbsp; 21754650 | 2.500%, 2/1/2051 | &nbsp;&nbsp; 18537838 |
| &nbsp;&nbsp; 17689085 | 2.500%, 4/1/2051 | &nbsp;&nbsp; 15059620 |
| &nbsp;&nbsp; 15748249 | 2.500%, 5/1/2051 | &nbsp;&nbsp; 13407287 |
| &nbsp;&nbsp; 15918494 | 2.500%, 6/1/2051 | &nbsp;&nbsp; 13604458 |
| &nbsp;&nbsp; 44709800 | 2.500%, 9/1/2051 | &nbsp;&nbsp; 38084688 |
| &nbsp;&nbsp; 17487460 | 2.500%, 10/1/2051 | &nbsp;&nbsp; 14852444 |
| &nbsp;&nbsp; 82391309 | 2.500%, 10/1/2051 | &nbsp;&nbsp; 70182540 |
| &nbsp;&nbsp; 24917585 | 2.500%, 1/1/2052 | &nbsp;&nbsp; 21244758 |
| &nbsp;&nbsp; 8317669 | 2.500%, 1/1/2052 | &nbsp;&nbsp; 7069559 |
| &nbsp;&nbsp; 67158053 | 2.500%, 1/1/2052 | &nbsp;&nbsp; 57080631 |
| &nbsp;&nbsp; 9148704 | 2.500%, 2/1/2052 | &nbsp;&nbsp; 7768745 |

---

Mortgage Core Fund

Annual Shareholder Report

**23**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | MORTGAGE-BACKED SECURITIES—continued |  |
|  | **Federal National Mortgage Association—continued** |  |
| $7132438 | 2.500%, 3/1/2052 | $6076666 |
| &nbsp;&nbsp; 33087303 | 2.500%, 5/1/2052 | &nbsp;&nbsp; 28184417 |
| &nbsp;&nbsp; 1137581 | 3.000%, 2/1/2032 | &nbsp;&nbsp; 1079703 |
| &nbsp;&nbsp; 2421181 | 3.000%, 8/1/2043 | &nbsp;&nbsp; 2196133 |
| &nbsp;&nbsp; 1676812 | 3.000%, 9/1/2043 | &nbsp;&nbsp; 1520953 |
| &nbsp;&nbsp; 6476044 | 3.000%, 8/1/2046 | &nbsp;&nbsp; 5835646 |
| &nbsp;&nbsp; 3074461 | 3.000%, 9/1/2046 | &nbsp;&nbsp; 2771397 |
| &nbsp;&nbsp; 2663537 | 3.000%, 10/1/2046 | &nbsp;&nbsp; 2395153 |
| &nbsp;&nbsp; 1441572 | 3.000%, 10/1/2046 | &nbsp;&nbsp; 1288207 |
| &nbsp;&nbsp; 2863330 | 3.000%, 11/1/2046 | &nbsp;&nbsp; 2574814 |
| &nbsp;&nbsp; 2657498 | 3.000%, 11/1/2046 | &nbsp;&nbsp; 2374774 |
| &nbsp;&nbsp; 3459043 | 3.000%, 11/1/2046 | &nbsp;&nbsp; 3111583 |
| &nbsp;&nbsp; 876457 | 3.000%, 1/1/2047 | &nbsp;&nbsp; 787595 |
| &nbsp;&nbsp; 14418928 | 3.000%, 1/1/2047 | &nbsp;&nbsp; 12966044 |
| &nbsp;&nbsp; 761348 | 3.000%, 2/1/2047 | &nbsp;&nbsp; 686298 |
| &nbsp;&nbsp; 4406276 | 3.000%, 3/1/2047 | &nbsp;&nbsp; 3962290 |
| &nbsp;&nbsp; 8739692 | 3.000%, 3/1/2047 | &nbsp;&nbsp; 7867254 |
| &nbsp;&nbsp; 1104707 | 3.000%, 4/1/2047 | &nbsp;&nbsp; 986490 |
| &nbsp;&nbsp; 5799604 | 3.000%, 12/1/2047 | &nbsp;&nbsp; 5226096 |
| &nbsp;&nbsp; 8995879 | 3.000%, 12/1/2047 | &nbsp;&nbsp; 8109112 |
| &nbsp;&nbsp; 3567120 | 3.000%, 2/1/2048 | &nbsp;&nbsp; 3173132 |
| &nbsp;&nbsp; 1068955 | 3.000%, 2/1/2048 | &nbsp;&nbsp; 951891 |
| &nbsp;&nbsp; 1227993 | 3.000%, 11/1/2049 | &nbsp;&nbsp; 1093129 |
| &nbsp;&nbsp; 2522791 | 3.000%, 5/1/2051 | &nbsp;&nbsp; 2244543 |
| &nbsp;&nbsp; 126210049 | 3.000%, 5/1/2051 | &nbsp;&nbsp; 111165837 |
| &nbsp;&nbsp; 44922885 | 3.000%, 12/1/2051 | &nbsp;&nbsp; 39561069 |
| &nbsp;&nbsp; 38298503 | 3.000%, 12/1/2051 | &nbsp;&nbsp; 33847030 |
| &nbsp;&nbsp; 20191062 | 3.000%, 4/1/2052 | &nbsp;&nbsp; 17867894 |
| &nbsp;&nbsp; 73562 | 3.500%, 11/1/2025 | &nbsp;&nbsp; 71867 |
| &nbsp;&nbsp; 110331 | 3.500%, 11/1/2025 | &nbsp;&nbsp; 107789 |
| &nbsp;&nbsp; 116841 | 3.500%, 12/1/2025 | &nbsp;&nbsp; 113988 |
| &nbsp;&nbsp; 130996 | 3.500%, 1/1/2026 | &nbsp;&nbsp; 127857 |
| &nbsp;&nbsp; 34939 | 3.500%, 1/1/2026 | &nbsp;&nbsp; 34102 |
| &nbsp;&nbsp; 6834464 | 3.500%, 9/1/2042 | &nbsp;&nbsp; 6391801 |
| &nbsp;&nbsp; 11043393 | 3.500%, 7/1/2045 | &nbsp;&nbsp; 10282348 |
| &nbsp;&nbsp; 4445556 | 3.500%, 8/1/2046 | &nbsp;&nbsp; 4109187 |
| &nbsp;&nbsp; 4190591 | 3.500%, 8/1/2046 | &nbsp;&nbsp; 3901800 |
| &nbsp;&nbsp; 7258066 | 3.500%, 9/1/2046 | &nbsp;&nbsp; 6780564 |
| &nbsp;&nbsp; 4620221 | 3.500%, 2/1/2047 | &nbsp;&nbsp; 4280165 |
| &nbsp;&nbsp; 7074931 | 3.500%, 11/1/2047 | &nbsp;&nbsp; 6556416 |
| &nbsp;&nbsp; 7328824 | 3.500%, 12/1/2047 | &nbsp;&nbsp; 6819184 |
| &nbsp;&nbsp; 3601031 | 3.500%, 4/1/2048 | &nbsp;&nbsp; 3332613 |
| &nbsp;&nbsp; 12830587 | 3.500%, 5/1/2051 | &nbsp;&nbsp; 11906283 |
| &nbsp;&nbsp; 14767875 | 3.500%, 7/1/2051 | &nbsp;&nbsp; 13533257 |
| &nbsp;&nbsp; 48150502 | 3.500%, 6/1/2052 | &nbsp;&nbsp; 43820342 |
| &nbsp;&nbsp; 90001 | 4.000%, 12/1/2025 | &nbsp;&nbsp; 88714 |
| &nbsp;&nbsp; 117455 | 4.000%, 7/1/2026 | &nbsp;&nbsp; 115515 |
| &nbsp;&nbsp; 29917218 | 4.000%, 11/1/2037 | &nbsp;&nbsp; 29193320 |
| &nbsp;&nbsp; 1072556 | 4.000%, 2/1/2041 | &nbsp;&nbsp; 1037887 |
| &nbsp;&nbsp; 794833 | 4.000%, 3/1/2046 | &nbsp;&nbsp; 766523 |

---

Mortgage Core Fund

Annual Shareholder Report

**24**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | MORTGAGE-BACKED SECURITIES—continued |  |
|  | **Federal National Mortgage Association—continued** |  |
| $1035134 | 4.000%, 7/1/2046 | $997683 |
| &nbsp;&nbsp; 2291230 | 4.000%, 11/1/2046 | &nbsp;&nbsp; 2203966 |
| &nbsp;&nbsp; 3287732 | 4.000%, 10/1/2047 | &nbsp;&nbsp; 3147412 |
| &nbsp;&nbsp; 5108417 | 4.000%, 10/1/2047 | &nbsp;&nbsp; 4891349 |
| &nbsp;&nbsp; 2734990 | 4.000%, 11/1/2047 | &nbsp;&nbsp; 2614501 |
| &nbsp;&nbsp; 2937864 | 4.000%, 1/1/2048 | &nbsp;&nbsp; 2821519 |
| &nbsp;&nbsp; 3348286 | 4.000%, 2/1/2048 | &nbsp;&nbsp; 3201825 |
| &nbsp;&nbsp; 3748467 | 4.000%, 2/1/2048 | &nbsp;&nbsp; 3584500 |
| &nbsp;&nbsp; 7305599 | 4.000%, 2/1/2048 | &nbsp;&nbsp; 6995167 |
| &nbsp;&nbsp; 1199640 | 4.000%, 2/1/2048 | &nbsp;&nbsp; 1142667 |
| &nbsp;&nbsp; 3174312 | 4.000%, 2/1/2048 | &nbsp;&nbsp; 3032981 |
| &nbsp;&nbsp; 1982294 | 4.000%, 3/1/2048 | &nbsp;&nbsp; 1888150 |
| &nbsp;&nbsp; 1205476 | 4.000%, 3/1/2048 | &nbsp;&nbsp; 1154064 |
| &nbsp;&nbsp; 2878166 | 4.000%, 5/1/2048 | &nbsp;&nbsp; 2746872 |
| &nbsp;&nbsp; 677854 | 4.000%, 6/1/2048 | &nbsp;&nbsp; 646932 |
| &nbsp;&nbsp; 2519405 | 4.000%, 6/1/2048 | &nbsp;&nbsp; 2404477 |
| &nbsp;&nbsp; 1392087 | 4.000%, 7/1/2048 | &nbsp;&nbsp; 1323255 |
| &nbsp;&nbsp; 14452674 | 4.000%, 4/1/2052 | &nbsp;&nbsp; 13617240 |
| &nbsp;&nbsp; 12738535 | 4.000%, 5/1/2052 | &nbsp;&nbsp; 11970340 |
| &nbsp;&nbsp; 35273888 | 4.000%, 7/1/2052 | &nbsp;&nbsp; 33135680 |
| &nbsp;&nbsp; 28681841 | 4.000%, 7/1/2052 | &nbsp;&nbsp; 26952188 |
| &nbsp;&nbsp; 16858380 | 4.000%, 9/1/2052 | &nbsp;&nbsp; 15831203 |
| &nbsp;&nbsp; 91895 | 4.500%, 2/1/2039 | &nbsp;&nbsp; 90955 |
| &nbsp;&nbsp; 486186 | 4.500%, 5/1/2040 | &nbsp;&nbsp; 481706 |
| &nbsp;&nbsp; 1215687 | 4.500%, 10/1/2040 | &nbsp;&nbsp; 1204541 |
| &nbsp;&nbsp; 147816 | 4.500%, 11/1/2040 | &nbsp;&nbsp; 146460 |
| &nbsp;&nbsp; 1600742 | 4.500%, 4/1/2041 | &nbsp;&nbsp; 1586057 |
| &nbsp;&nbsp; 794050 | 4.500%, 6/1/2041 | &nbsp;&nbsp; 786762 |
| &nbsp;&nbsp; 13000336 | 4.500%, 5/1/2052 | &nbsp;&nbsp; 12547388 |
| &nbsp;&nbsp; 6928268 | 4.500%, 6/1/2052 | &nbsp;&nbsp; 6684713 |
| &nbsp;&nbsp; 8163091 | 4.500%, 8/1/2052 | &nbsp;&nbsp; 7878679 |
| &nbsp;&nbsp; 17363 | 5.000%, 5/1/2023 | &nbsp;&nbsp; 17310 |
| &nbsp;&nbsp; 4703 | 5.000%, 8/1/2023 | &nbsp;&nbsp; 4688 |
| &nbsp;&nbsp; 45812 | 5.000%, 11/1/2023 | &nbsp;&nbsp; 45617 |
| &nbsp;&nbsp; 1031129 | 5.000%, 2/1/2036 | &nbsp;&nbsp; 1038327 |
| &nbsp;&nbsp; 567414 | 5.000%, 7/1/2040 | &nbsp;&nbsp; 573923 |
| &nbsp;&nbsp; 570834 | 5.000%, 10/1/2041 | &nbsp;&nbsp; 577843 |
| &nbsp;&nbsp; 42572829 | 5.000%, 8/1/2052 | &nbsp;&nbsp; 42037079 |
| &nbsp;&nbsp; 25164 | 5.500%, 1/1/2032 | &nbsp;&nbsp; 25679 |
| &nbsp;&nbsp; 16471 | 5.500%, 1/1/2032 | &nbsp;&nbsp; 16817 |
| &nbsp;&nbsp; 247244 | 5.500%, 9/1/2034 | &nbsp;&nbsp; 253613 |
| &nbsp;&nbsp; 681554 | 5.500%, 12/1/2034 | &nbsp;&nbsp; 699120 |
| &nbsp;&nbsp; 22083 | 5.500%, 4/1/2035 | &nbsp;&nbsp; 22637 |
| &nbsp;&nbsp; 292088 | 5.500%, 11/1/2035 | &nbsp;&nbsp; 300515 |
| &nbsp;&nbsp; 135926 | 5.500%, 1/1/2036 | &nbsp;&nbsp; 139898 |
| &nbsp;&nbsp; 50734 | 5.500%, 3/1/2036 | &nbsp;&nbsp; 52235 |
| &nbsp;&nbsp; 230897 | 5.500%, 4/1/2036 | &nbsp;&nbsp; 237577 |
| &nbsp;&nbsp; 351840 | 5.500%, 4/1/2036 | &nbsp;&nbsp; 362258 |
| &nbsp;&nbsp; 191599 | 5.500%, 5/1/2036 | &nbsp;&nbsp; 197864 |
| &nbsp;&nbsp; 73637 | 5.500%, 9/1/2036 | &nbsp;&nbsp; 75834 |

---

Mortgage Core Fund

Annual Shareholder Report

**25**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | MORTGAGE-BACKED SECURITIES—continued |  |
|  | **Federal National Mortgage Association—continued** |  |
| $244748 | 5.500%, 8/1/2037 | $252161 |
| &nbsp;&nbsp; 124337 | 5.500%, 7/1/2038 | &nbsp;&nbsp; 128419 |
| &nbsp;&nbsp; 349531 | 5.500%, 4/1/2041 | &nbsp;&nbsp; 361523 |
| &nbsp;&nbsp; 9818082 | 5.500%, 9/1/2052 | &nbsp;&nbsp; 9885871 |
| &nbsp;&nbsp; 8862705 | 5.500%, 11/1/2052 | &nbsp;&nbsp; 8890662 |
| &nbsp;&nbsp; 5799 | 6.000%, 1/1/2029 | &nbsp;&nbsp; 5899 |
| &nbsp;&nbsp; 7546 | 6.000%, 2/1/2029 | &nbsp;&nbsp; 7676 |
| &nbsp;&nbsp; 2513 | 6.000%, 2/1/2029 | &nbsp;&nbsp; 2548 |
| &nbsp;&nbsp; 3538 | 6.000%, 4/1/2029 | &nbsp;&nbsp; 3614 |
| &nbsp;&nbsp; 9076 | 6.000%, 5/1/2029 | &nbsp;&nbsp; 9271 |
| &nbsp;&nbsp; 4567 | 6.000%, 5/1/2029 | &nbsp;&nbsp; 4649 |
| &nbsp;&nbsp; 394791 | 6.000%, 7/1/2034 | &nbsp;&nbsp; 409706 |
| &nbsp;&nbsp; 212757 | 6.000%, 11/1/2034 | &nbsp;&nbsp; 220560 |
| &nbsp;&nbsp; 98917 | 6.000%, 7/1/2036 | &nbsp;&nbsp; 103345 |
| &nbsp;&nbsp; 26051 | 6.000%, 7/1/2036 | &nbsp;&nbsp; 27153 |
| &nbsp;&nbsp; 94847 | 6.000%, 10/1/2037 | &nbsp;&nbsp; 99224 |
| &nbsp;&nbsp; 39527 | 6.000%, 6/1/2038 | &nbsp;&nbsp; 41408 |
| &nbsp;&nbsp; 510714 | 6.000%, 7/1/2038 | &nbsp;&nbsp; 534479 |
| &nbsp;&nbsp; 46113 | 6.000%, 9/1/2038 | &nbsp;&nbsp; 48276 |
| &nbsp;&nbsp; 30584 | 6.000%, 10/1/2038 | &nbsp;&nbsp; 32082 |
| &nbsp;&nbsp; 289552 | 6.000%, 2/1/2039 | &nbsp;&nbsp; 303858 |
| &nbsp;&nbsp; 12823 | 6.500%, 9/1/2028 | &nbsp;&nbsp; 13046 |
| &nbsp;&nbsp; 2196 | 6.500%, 8/1/2029 | &nbsp;&nbsp; 2262 |
| &nbsp;&nbsp; 4232 | 6.500%, 6/1/2031 | &nbsp;&nbsp; 4412 |
| &nbsp;&nbsp; 11550 | 6.500%, 6/1/2031 | &nbsp;&nbsp; 12002 |
| &nbsp;&nbsp; 1726 | 6.500%, 6/1/2031 | &nbsp;&nbsp; 1794 |
| &nbsp;&nbsp; 1879 | 6.500%, 6/1/2031 | &nbsp;&nbsp; 1912 |
| &nbsp;&nbsp; 2380 | 6.500%, 1/1/2032 | &nbsp;&nbsp; 2478 |
| &nbsp;&nbsp; 35242 | 6.500%, 3/1/2032 | &nbsp;&nbsp; 36811 |
| &nbsp;&nbsp; 112949 | 6.500%, 4/1/2032 | &nbsp;&nbsp; 118164 |
| &nbsp;&nbsp; 14558 | 6.500%, 5/1/2032 | &nbsp;&nbsp; 15270 |
| &nbsp;&nbsp; 140914 | 6.500%, 7/1/2036 | &nbsp;&nbsp; 149733 |
| &nbsp;&nbsp; 3095 | 6.500%, 8/1/2036 | &nbsp;&nbsp; 3267 |
| &nbsp;&nbsp; 12850 | 6.500%, 9/1/2036 | &nbsp;&nbsp; 13724 |
| &nbsp;&nbsp; 23422 | 6.500%, 12/1/2036 | &nbsp;&nbsp; 24898 |
| &nbsp;&nbsp; 58267 | 6.500%, 9/1/2037 | &nbsp;&nbsp; 62359 |
| &nbsp;&nbsp; 193 | 6.500%, 12/1/2037 | &nbsp;&nbsp; 206 |
| &nbsp;&nbsp; 31289 | 6.500%, 10/1/2038 | &nbsp;&nbsp; 33453 |
| &nbsp;&nbsp; 40 | 7.000%, 7/1/2023 | &nbsp;&nbsp; 40 |
| &nbsp;&nbsp; 454 | 7.000%, 2/1/2024 | &nbsp;&nbsp; 454 |
| &nbsp;&nbsp; 171 | 7.000%, 5/1/2024 | &nbsp;&nbsp; 172 |
| &nbsp;&nbsp; 781 | 7.000%, 7/1/2024 | &nbsp;&nbsp; 787 |
| &nbsp;&nbsp; 577 | 7.000%, 7/1/2025 | &nbsp;&nbsp; 584 |
| &nbsp;&nbsp; 7725 | 7.000%, 9/1/2031 | &nbsp;&nbsp; 8135 |
| &nbsp;&nbsp; 5007 | 7.000%, 9/1/2031 | &nbsp;&nbsp; 5314 |
| &nbsp;&nbsp; 76816 | 7.000%, 11/1/2031 | &nbsp;&nbsp; 81622 |
| &nbsp;&nbsp; 5405 | 7.000%, 12/1/2031 | &nbsp;&nbsp; 5739 |
| &nbsp;&nbsp; 21382 | 7.000%, 1/1/2032 | &nbsp;&nbsp; 21594 |
| &nbsp;&nbsp; 23595 | 7.000%, 2/1/2032 | &nbsp;&nbsp; 25027 |
| &nbsp;&nbsp; 24438 | 7.000%, 3/1/2032 | &nbsp;&nbsp; 25968 |

---

Mortgage Core Fund

Annual Shareholder Report

**26**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | MORTGAGE-BACKED SECURITIES—continued |  |
|  | **Federal National Mortgage Association—continued** |  |
| $45741 | 7.000%, 3/1/2032 | $47592 |
| &nbsp;&nbsp; 4741 | 7.000%, 4/1/2032 | &nbsp;&nbsp; 5044 |
| &nbsp;&nbsp; 13915 | 7.000%, 4/1/2032 | &nbsp;&nbsp; 14675 |
| &nbsp;&nbsp; 101615 | 7.000%, 4/1/2032 | &nbsp;&nbsp; 108218 |
| &nbsp;&nbsp; 152494 | 7.000%, 6/1/2037 | &nbsp;&nbsp; 166098 |
| &nbsp;&nbsp; 735 | 7.500%, 1/1/2030 | &nbsp;&nbsp; 774 |
| &nbsp;&nbsp; 5755 | 7.500%, 9/1/2030 | &nbsp;&nbsp; 6078 |
| &nbsp;&nbsp; 5637 | 7.500%, 5/1/2031 | &nbsp;&nbsp; 5985 |
| &nbsp;&nbsp; 2317 | 7.500%, 6/1/2031 | &nbsp;&nbsp; 2465 |
| &nbsp;&nbsp; 21795 | 7.500%, 8/1/2031 | &nbsp;&nbsp; 23240 |
| &nbsp;&nbsp; 32483 | 7.500%, 1/1/2032 | &nbsp;&nbsp; 33980 |
| &nbsp;&nbsp; 2663 | 7.500%, 6/1/2033 | &nbsp;&nbsp; 2777 |
| &nbsp;&nbsp; 528 | 8.000%, 10/1/2026 | &nbsp;&nbsp; 530 |
| &nbsp;&nbsp; 1333 | 8.000%, 11/1/2029 | &nbsp;&nbsp; 1411 |
| &nbsp;&nbsp; 141 | 9.000%, 6/1/2025 | &nbsp;&nbsp; 144 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp; 1727115031 |
|  | **Government National Mortgage Association—2.4%** |  |
| &nbsp;&nbsp; 6101695 | 3.000%, 1/20/2047 | &nbsp;&nbsp; 5525163 |
| &nbsp;&nbsp; 44688912 | 3.000%, 9/20/2050 | &nbsp;&nbsp; 39851905 |
| &nbsp;&nbsp; 702235 | 3.500%, 8/15/2043 | &nbsp;&nbsp; 657663 |
| &nbsp;&nbsp; 455129 | 3.500%, 8/15/2043 | &nbsp;&nbsp; 426241 |
| &nbsp;&nbsp; 8402468 | 3.500%, 3/20/2047 | &nbsp;&nbsp; 7795448 |
| &nbsp;&nbsp; 10488328 | 3.500%, 11/20/2047 | &nbsp;&nbsp; 9724064 |
| &nbsp;&nbsp; 647404 | 4.000%, 9/15/2040 | &nbsp;&nbsp; 621404 |
| &nbsp;&nbsp; 1749591 | 4.000%, 10/15/2040 | &nbsp;&nbsp; 1681147 |
| &nbsp;&nbsp; 827897 | 4.000%, 1/15/2041 | &nbsp;&nbsp; 794766 |
| &nbsp;&nbsp; 1095551 | 4.000%, 10/15/2041 | &nbsp;&nbsp; 1051249 |
| &nbsp;&nbsp; 2991085 | 4.000%, 6/15/2048 | &nbsp;&nbsp; 2849002 |
| &nbsp;&nbsp; 174455 | 4.500%, 1/15/2039 | &nbsp;&nbsp; 171535 |
| &nbsp;&nbsp; 110554 | 4.500%, 6/15/2039 | &nbsp;&nbsp; 108785 |
| &nbsp;&nbsp; 488801 | 4.500%, 10/15/2039 | &nbsp;&nbsp; 481052 |
| &nbsp;&nbsp; 186219 | 4.500%, 1/15/2040 | &nbsp;&nbsp; 183256 |
| &nbsp;&nbsp; 108644 | 4.500%, 6/15/2040 | &nbsp;&nbsp; 106944 |
| &nbsp;&nbsp; 66063 | 4.500%, 9/15/2040 | &nbsp;&nbsp; 65019 |
| &nbsp;&nbsp; 97540 | 4.500%, 2/15/2041 | &nbsp;&nbsp; 96018 |
| &nbsp;&nbsp; 557491 | 4.500%, 3/15/2041 | &nbsp;&nbsp; 548754 |
| &nbsp;&nbsp; 48490 | 4.500%, 5/15/2041 | &nbsp;&nbsp; 47723 |
| &nbsp;&nbsp; 1819376 | 4.500%, 6/20/2041 | &nbsp;&nbsp; 1800788 |
| &nbsp;&nbsp; 348826 | 4.500%, 9/15/2041 | &nbsp;&nbsp; 344123 |
| &nbsp;&nbsp; 359386 | 4.500%, 10/15/2043 | &nbsp;&nbsp; 354091 |
| &nbsp;&nbsp; 320776 | 5.000%, 1/15/2039 | &nbsp;&nbsp; 321506 |
| &nbsp;&nbsp; 244757 | 5.000%, 5/15/2039 | &nbsp;&nbsp; 245431 |
| &nbsp;&nbsp; 339606 | 5.000%, 8/20/2039 | &nbsp;&nbsp; 342812 |
| &nbsp;&nbsp; 114866 | 5.500%, 12/15/2038 | &nbsp;&nbsp; 117778 |
| &nbsp;&nbsp; 82595 | 5.500%, 12/20/2038 | &nbsp;&nbsp; 84979 |
| &nbsp;&nbsp; 161648 | 5.500%, 1/15/2039 | &nbsp;&nbsp; 166138 |
| &nbsp;&nbsp; 162788 | 5.500%, 2/15/2039 | &nbsp;&nbsp; 167268 |
| &nbsp;&nbsp; 5558 | 6.000%, 10/15/2028 | &nbsp;&nbsp; 5653 |
| &nbsp;&nbsp; 4326 | 6.000%, 3/15/2029 | &nbsp;&nbsp; 4417 |
| &nbsp;&nbsp; 53975 | 6.000%, 2/15/2036 | &nbsp;&nbsp; 56144 |

---

Mortgage Core Fund

Annual Shareholder Report

**27**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | MORTGAGE-BACKED SECURITIES—continued |  |
|  | **Government National Mortgage Association—continued** |  |
| $93274 | 6.000%, 4/15/2036 | $97209 |
| &nbsp;&nbsp; 77758 | 6.000%, 6/15/2037 | &nbsp;&nbsp; 81018 |
| &nbsp;&nbsp; 9168 | 6.500%, 10/15/2028 | &nbsp;&nbsp; 9416 |
| &nbsp;&nbsp; 3570 | 6.500%, 10/15/2028 | &nbsp;&nbsp; 3603 |
| &nbsp;&nbsp; 4034 | 6.500%, 11/15/2028 | &nbsp;&nbsp; 4132 |
| &nbsp;&nbsp; 4206 | 6.500%, 12/15/2028 | &nbsp;&nbsp; 4303 |
| &nbsp;&nbsp; 2213 | 6.500%, 2/15/2029 | &nbsp;&nbsp; 2274 |
| &nbsp;&nbsp; 9008 | 6.500%, 3/15/2029 | &nbsp;&nbsp; 9217 |
| &nbsp;&nbsp; 21330 | 6.500%, 9/15/2031 | &nbsp;&nbsp; 22119 |
| &nbsp;&nbsp; 49385 | 6.500%, 2/15/2032 | &nbsp;&nbsp; 51337 |
| &nbsp;&nbsp; 7778 | 7.000%, 11/15/2027 | &nbsp;&nbsp; 7962 |
| &nbsp;&nbsp; 4967 | 7.000%, 6/15/2028 | &nbsp;&nbsp; 5114 |
| &nbsp;&nbsp; 9088 | 7.000%, 11/15/2028 | &nbsp;&nbsp; 9348 |
| &nbsp;&nbsp; 6138 | 7.000%, 1/15/2029 | &nbsp;&nbsp; 6325 |
| &nbsp;&nbsp; 6066 | 7.000%, 5/15/2029 | &nbsp;&nbsp; 6282 |
| &nbsp;&nbsp; 453 | 7.000%, 10/15/2029 | &nbsp;&nbsp; 459 |
| &nbsp;&nbsp; 17597 | 7.000%, 5/15/2030 | &nbsp;&nbsp; 18225 |
| &nbsp;&nbsp; 12332 | 7.000%, 11/15/2030 | &nbsp;&nbsp; 12833 |
| &nbsp;&nbsp; 7565 | 7.000%, 12/15/2030 | &nbsp;&nbsp; 7817 |
| &nbsp;&nbsp; 9135 | 7.000%, 8/15/2031 | &nbsp;&nbsp; 9511 |
| &nbsp;&nbsp; 34883 | 7.000%, 10/15/2031 | &nbsp;&nbsp; 36481 |
| &nbsp;&nbsp; 9485 | 7.000%, 12/15/2031 | &nbsp;&nbsp; 9951 |
| &nbsp;&nbsp; 7993 | 7.500%, 8/15/2029 | &nbsp;&nbsp; 8336 |
| &nbsp;&nbsp; 33639 | 7.500%, 10/15/2029 | &nbsp;&nbsp; 35156 |
| &nbsp;&nbsp; 1557 | 7.500%, 10/15/2030 | &nbsp;&nbsp; 1627 |
| &nbsp;&nbsp; 5948 | 7.500%, 1/15/2031 | &nbsp;&nbsp; 6286 |
| &nbsp;&nbsp; 677 | 8.000%, 8/15/2029 | &nbsp;&nbsp; 714 |
| &nbsp;&nbsp; 2080 | 8.000%, 10/15/2029 | &nbsp;&nbsp; 2194 |
| &nbsp;&nbsp; 7469 | 8.000%, 11/15/2029 | &nbsp;&nbsp; 7883 |
| &nbsp;&nbsp; 6826 | 8.000%, 1/15/2030 | &nbsp;&nbsp; 7165 |
| &nbsp;&nbsp; 2734 | 8.000%, 10/15/2030 | &nbsp;&nbsp; 2881 |
| &nbsp;&nbsp; 62986 | 8.000%, 11/15/2030 | &nbsp;&nbsp; 66821 |
| &nbsp;&nbsp; 3068 | 8.500%, 5/15/2029 | &nbsp;&nbsp; 3252 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77355517 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL MORTGAGE-BACKED SECURITIES <br>(IDENTIFIED COST $2,955,245,523)<br>| &nbsp;&nbsp; 2866162362 |
|  | COLLATERALIZED MORTGAGE OBLIGATIONS—4.4% |  |
|  | **Non-Agency Mortgage-Backed Securities—4.4%** |  |
| &nbsp;&nbsp; 460152 | Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 | &nbsp;&nbsp; 288713 |
| &nbsp;&nbsp; 221662 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | &nbsp;&nbsp; 23072 |
| &nbsp;&nbsp; 35944375 | GS Mortgage-Backed Securities 2022-PJ3, Class A4, 2.500%, 8/25/2052 | &nbsp;&nbsp; 28763925 |
| &nbsp;&nbsp; 37409743 | JP Morgan Mortgage Trust 2022-1, Class A2, 3.000%, 7/25/2052 | &nbsp;&nbsp; 31289740 |
| &nbsp;&nbsp; 37398256 | JP Morgan Mortgage Trust 2022-2, Class A3, 2.500%, 8/25/2052 | &nbsp;&nbsp; 29903997 |
| &nbsp;&nbsp; 42621064 | JP Morgan Mortgage Trust 2022-3, Class A3, 2.500%, 8/25/2052 | &nbsp;&nbsp; 34080204 |
| &nbsp;&nbsp; 138138 | Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 3.748%, 8/25/2035 | &nbsp;&nbsp; 122417 |
| &nbsp;&nbsp; 1784903 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | &nbsp;&nbsp; 1463865 |
| &nbsp;&nbsp; 3039115 | Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 | &nbsp;&nbsp; 2477958 |
| &nbsp;&nbsp; 14827125 | Sequoia Mortgage Trust 2021-3, Class A1, 2.500%, 5/25/2051 | &nbsp;&nbsp; 11930044 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS <br>(IDENTIFIED COST $165,958,227)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 140343935 |

---

Mortgage Core Fund

Annual Shareholder Report

**28**

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br> **or Shares**<br>|  | **Value** |
|  | ASSET-BACKED SECURITIES—2.8% |  |
|  | **Auto Receivables—0.0%** |  |
| $522911 | Tesla Auto Lease Trust 2020-A, Class A3, 0.680%, 12/20/2023 | $521179 |
|  | **Single Family Rental Securities—1.6%** |  |
| &nbsp;&nbsp; 14739416 | Home Partners of America Trust 2022-1, Class B, 4.330%, 4/17/2039 | &nbsp;&nbsp; 13509930 |
| &nbsp;&nbsp; 16726000 | Progress Residential Trust 2022-SFR1, Class E1, 3.930%, 2/17/2041 | &nbsp;&nbsp; 13082010 |
| &nbsp;&nbsp; 14000000 | Progress Residential Trust 2022-SFR2, Class D, 3.945%, 4/17/2027 | &nbsp;&nbsp; 12707729 |
| &nbsp;&nbsp; 14808453 | Progress Residential Trust 2022-SFR4, Class B, 4.788%, 5/17/2041 | &nbsp;&nbsp; 13310071 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52609740 |
|  | **Student Loans—1.2%** |  |
| &nbsp;&nbsp; 4237524 | Navient Student Loan Trust 2020-FA, Class A, 1.220%, 7/15/2069 | &nbsp;&nbsp; 3874486 |
| &nbsp;&nbsp; 8700256 | Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 | &nbsp;&nbsp; 7499444 |
| &nbsp;&nbsp; 7136133 | Navient Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 | &nbsp;&nbsp; 6340469 |
| &nbsp;&nbsp; 8998589<br><sup>1</sup> <br>| SMB Private Education Loan Trust 2018-A, Class A2B, 5.117% (1-month USLIBOR +0.800%), 2/15/2036 | &nbsp;&nbsp; 8755088 |
| &nbsp;&nbsp; 10985330<br><sup>1</sup> <br>| SMB Private Education Loan Trust 2020-BA, Class A1B, 5.417% (1-month USLIBOR +1.100%), 7/15/2053 | &nbsp;&nbsp; 10752745 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37222232 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL ASSET-BACKED SECURITIES <br>(IDENTIFIED COST $100,193,602)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90353151 |
|  | INVESTMENT COMPANY—3.7% |  |
| &nbsp;&nbsp; 117293489 | Federated Hermes Government Obligations Fund, Premier Shares, 4.15%<sup>2</sup> <br>(IDENTIFIED COST $117,293,489)<br>| &nbsp;&nbsp; 117293489 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL INVESTMENT IN SECURITIES—100.9% <br>(IDENTIFIED COST $3,338,690,841)<sup>3</sup> <br>| &nbsp;&nbsp; 3214152937 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; OTHER ASSETS AND LIABILITIES - NET—(0.9)%<sup>4</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; (29876844) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; TOTAL NET ASSETS—100% | $3184276093 |

---

At December 31, 2022, the Fund had the following outstanding futures contracts:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Number of** <br>**Contracts**<br>| &nbsp;&nbsp; **Notional** <br>**Value**<br>| &nbsp;&nbsp;&nbsp; **Expiration** <br>**Date**<br>| &nbsp;&nbsp; **Value and** <br>**Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>|
| **Long Futures:** |  |  |  |  |
| United States Treasury Notes 10-Year Ultra Long Futures | 300 | $35484375 | March 2023 | $(764768) |
| United States Treasury Notes 10-Year Long Futures | 250 | $28074219 | March 2023 | $(466025) |
| **Short Futures:** |  |  |  |  |
| United States Treasury Ultra Bond Short Futures | 100 | $13431250 | March 2023 | $87943 |
| &nbsp;&nbsp;&nbsp;&nbsp; NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | &nbsp;&nbsp;&nbsp;&nbsp; NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | &nbsp;&nbsp;&nbsp;&nbsp; NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | &nbsp;&nbsp;&nbsp;&nbsp; NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(1142850) |

---

Net Unrealized Depreciation on Futures Contracts is included in "Other Assets and Liabilities—Net."

Affiliated fund holdings are investment companies which are managed by the Adviser or an affiliate of the Adviser. Transactions with affiliated fund holdings during the period ended December 31, 2022, were as follows:

---

| | |
|:---|:---|
|  | **Federated Hermes** <br>**Government** <br>**Obligations Fund,** <br>**Premier Shares**<br>|
| Value as of 12/31/2021 | $1233856835 |
| Purchases at Cost | $2978910262 |
| Proceeds from Sales | $(4095473608) |
| Change in Unrealized Appreciation/Depreciation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A |
| Net Realized Gain/(Loss) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; N/A |
| Value as of 12/31/2022 | $117293489 |
| Shares Held as of 12/31/2022 | &nbsp;&nbsp;&nbsp;&nbsp; 117293489 |
| Dividend Income | $3373291 |

---

Mortgage Core Fund

Annual Shareholder Report

**29**

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Floating/variable note with current rate and current maturity or next reset date shown.* |
| 2 | *7-day net yield.* |
| 3 | *The cost of investments for federal tax purposes amounts to $3,338,473,621.* |
| 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 December 31, 2022.

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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>The following is a summary of the inputs used, as of December 31, 2022, in valuing the Fund's assets carried at fair value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** | **Valuation Inputs** |
|  | **Level 1—** <br>**Quoted** <br>**Prices**<br>| **Level 2—** <br>**Other** <br>**Significant** <br>**Observable** <br>**Inputs**<br>| **Level 3—** <br>**Significant** <br>**Unobservable** <br>**Inputs**<br>| **Total** |
| **Debt Securities:** |  |  |  |  |
| Mortgage-Backed Securities | $— | $2866162362 | $— | $2866162362 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 140343935 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 140343935 |
| Asset-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90353151 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90353151 |
| **Investment Company** | &nbsp;&nbsp; 117293489 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 117293489 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL SECURITIES | $117293489 | $3096859448 | $— | $3214152937 |
| **Other Financial Instruments:**<sup>1</sup> <br>|  |  |  |  |
| Assets | $87943 | $— | $— | $87943 |
| Liabilities | &nbsp;&nbsp;&nbsp;&nbsp; (1230793) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1230793) |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL OTHER FINANCIAL INSTRUMENTS | $(1142850) | $— | $— | $(1142850) |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

1 *Other financial instruments are futures contracts.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

The following acronym(s) are used throughout this portfolio: <br> LIBOR —London Interbank Offered Rate

See Notes which are an integral part of the Financial Statements

Mortgage Core Fund

Annual Shareholder Report

**30**

------

Financial Highlights

(For a Share Outstanding Throughout Each Period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
|  | **2022** | **2021** | **2020** | **2019** | **2018** |
| **Net Asset Value, Beginning of Period** | **$9.76** | **$10.07** | **$9.88** | **$9.60** | **$9.80** |
| **Income From Investment Operations:** |  |  |  |  |  |
| Net investment income (loss)<sup>1</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.30 |
| Net realized and unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1.37) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.26) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.20) |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL FROM INVESTMENT OPERATIONS | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1.12) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.09) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.10 |
| **Less Distributions:** |  |  |  |  |  |
| Distributions from net investment income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.26) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.22) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.27) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.32) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.30) |
| **Net Asset Value, End of Period** | **$8.38** | **$9.76** | **$10.07** | **$9.88** | **$9.60** |
| **Total Return**<sup>2</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (11.57)% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (0.89)% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.33% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.10% |
| **Ratios to Average Net Assets:** |  |  |  |  |  |
| Net expenses<sup>3</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.02% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.02% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.02% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.03% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.03% |
| Net investment income | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.78% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.72% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.42% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.18% |
| Expense waiver/reimbursement<sup>4</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —% |
| **Supplemental Data:** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $3184276 | $3204459 | $2143118 | $2528865 | $2815951 |
| Portfolio turnover<sup>5</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 351% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 257% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109% |
| Portfolio turnover (excluding purchases and sales from dollar-roll transactions)<sup>5</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| 1 | *Per share numbers have been calculated using the average shares method.* |
| 2 | *Based on net asset value.* |
| 3 | *Amount does not reflect net expenses incurred by investment companies in which the Fund may invest.* |
| 4 | *This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/*<br> *reimbursement recorded by investment companies in which the Fund may invest.*<br>|
| 5 | *Securities that mature are considered sales for purposes of this calculation.* |

---

See Notes which are an integral part of the Financial Statements

Mortgage Core Fund

Annual Shareholder Report

**31**

------

Statement of Assets and Liabilities <br>December 31, 2022

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Assets:** |  |
| Investment in securities, at value including $117,293,489 of investments in an affiliated holding\* (identified cost $3,338,690,841) | $3214152937 |
| Due from broker (Note 2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1027500 |
| Income receivable | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8295042 |
| Income receivable from an affiliated holding | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447907 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Assets | &nbsp;&nbsp; 3223923386 |
| **Liabilities:** |  |
| Payable for investments purchased | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29773895 |
| Payable for variation margin on futures contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3904 |
| Income distribution payable | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9713947 |
| Accrued expenses (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 155547 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Liabilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39647293 |
| Net assets for 379,865,050 shares outstanding | $3184276093 |
| **Net Assets Consist of:** |  |
| Paid-in capital | $3671066599 |
| Total distributable earnings (loss) | &nbsp;&nbsp;&nbsp; (486790506) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Net Assets | $3184276093 |
| **Net Asset Value, Offering Price and Redemption Proceeds Per Share:** |  |
| $3,184,276,093 ÷ 379,865,050 shares outstanding, no par value, unlimited shares authorized | $8.38 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *See information listed after the Fund's Portfolio of Investments.*

See Notes which are an integral part of the Financial Statements

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Annual Shareholder Report

**32**

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Statement of Operations <br>Year Ended December 31, 2022

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Investment Income:** |  |
| Interest | $94023824 |
| Dividends received from an affiliated holding\* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3373291 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL INCOME | &nbsp;&nbsp;&nbsp;&nbsp; 97397115 |
| **Expenses:** |  |
| Administrative fee (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4837 |
| Custodian fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146911 |
| Transfer agent fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212324 |
| Directors'/Trustees' fees (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21401 |
| Auditing fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32199 |
| Legal fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9422 |
| Portfolio accounting fees | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 257815 |
| Printing and postage | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19642 |
| Miscellaneous (Note 5) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29569 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOTAL EXPENSES | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 734120 |
| Net investment income | &nbsp;&nbsp;&nbsp;&nbsp; 96662995 |
| **Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:** |  |
| Net realized loss on investments | &nbsp;&nbsp; (306588703) |
| Net realized gain on futures contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| Net change in unrealized appreciation of investments | &nbsp;&nbsp; (167777609) |
| Net change in unrealized appreciation of futures contracts | &nbsp;&nbsp;&nbsp;&nbsp; (1142850) |
| Net realized and unrealized gain (loss) on investments and futures contracts | &nbsp;&nbsp; (475509110) |
| Change in net assets resulting from operations | $(378846115) |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *See information listed after the Fund's Portfolio of Investments.*

See Notes which are an integral part of the Financial Statements

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Statement of Changes in Net Assets

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Year Ended December 31** | **2022** | **2021** |
| **Increase (Decrease) in Net Assets** |  |  |
| **Operations:** |  |  |
| Net investment income | $96662995 | $43750066 |
| Net realized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp; (306588651) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (9894595) |
| Net change in unrealized appreciation/depreciation | &nbsp;&nbsp;&nbsp;&nbsp; (168920459) | &nbsp;&nbsp;&nbsp;&nbsp; (58278254) |
| &nbsp;&nbsp;&nbsp;&nbsp; CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | &nbsp;&nbsp;&nbsp;&nbsp; (378846115) | &nbsp;&nbsp;&nbsp;&nbsp; (24422783) |
| **Distributions to Shareholders** | &nbsp;&nbsp;&nbsp;&nbsp; (102200096) | &nbsp;&nbsp;&nbsp;&nbsp; (56034731) |
| **Share Transactions:** |  |  |
| Proceeds from sale of shares | &nbsp;&nbsp; 2040715935 | &nbsp;&nbsp; 1365048740 |
| Net asset value of shares issued to shareholders in payment of distributions declared | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13900330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8562706 |
| Cost of shares redeemed | &nbsp;&nbsp; (1593752933) | &nbsp;&nbsp;&nbsp; (231813060) |
| &nbsp;&nbsp;&nbsp;&nbsp; CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | &nbsp;&nbsp;&nbsp;&nbsp; 460863332 | &nbsp;&nbsp; 1141798386 |
| Change in net assets | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (20182879) | &nbsp;&nbsp; 1061340872 |
| **Net Assets:** |  |  |
| Beginning of period | &nbsp;&nbsp; 3204458972 | &nbsp;&nbsp; 2143118100 |
| End of period | $3184276093 | $3204458972 |

---

See Notes which are an integral part of the Financial Statements

Mortgage Core Fund

Annual Shareholder Report

**34**

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Notes to Financial Statements

December 31, 2022

**1. ORGANIZATION** 

Federated Hermes Core Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end management investment company. The Trust consists of four portfolios. The financial statements included herein are only those of Mortgage Core Fund (the "Fund"), a diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder's interest is limited to the portfolio in which shares are held. Each portfolio pays its own expenses. The investment objective of the Fund is to provide total return. The Fund is an investment vehicle used by other Federated Hermes funds that invest some of their assets in mortgage-backed securities. Currently, shares of the Fund are being offered for investment only to investment companies, insurance company separate accounts, common or commingled trust funds or similar organizations or parties that are "accredited investors" within the meaning of Regulation D of the Securities Act of 1933, as amended (the "1933 Act").

Prior to February 25, 2021, the name of the Fund was Federated Mortgage Core Portfolio.

**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:

◾ <br>

Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by Federated Investment Management Company (the "Adviser").

◾ <br>

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.

◾ <br>

Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market.

◾ <br>

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.

◾ <br>

Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Adviser.

◾ <br>

For securities that are fair valued in accordance with procedures established by and under the general supervision of the Adviser, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.

If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Adviser's valuation policies and procedures for the Fund, or if information furnished by a pricing service, in the opinion of the Adviser's valuation committee ("Valuation Committee"), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.

**Fair Valuation Procedures** 

Pursuant to Rule 2a-5 under the Act, the Fund's Board of Trustees (the "Trustees") have 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.

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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 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.

**Federal Taxes** 

It is the Fund's policy to comply with the Subchapter M provision of the Internal Revenue Code (the "Code") and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal income tax is necessary. As of and during the year ended December 31, 2022, the Fund did not have a liability for any uncertain tax positions. The Fund recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2022, tax years 2019 through 2022 remain subject to examination by the Fund's major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

**When-Issued and Delayed-Delivery Transactions** 

The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

The Fund may transact in To Be Announced Securities (TBAs). As with other delayed-delivery transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Fund records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked to market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Fund.

**Dollar-Roll Transactions** 

The Fund engages in dollar-roll transactions in which the Fund sells mortgage-backed securities with a commitment to buy similar (same type, coupon and maturity), but not identical mortgage-backed securities on a future date. Both securities involved are TBA mortgage-backed securities. The Fund treats dollar-roll transactions as purchases and sales. Dollar-rolls are subject to interest rate risks and credit risks.

**Futures Contracts** 

The Fund purchases and sells financial futures contracts to manage duration and sector/asset class risks. Upon entering into a financial futures contract with a broker, the Fund is required to deposit with a broker, either U.S. government securities or a specified amount of cash, which is shown as due from broker in the Statement of Assets and Liabilities. Futures contracts are valued daily and unrealized gains or losses are recorded in a "variation margin" account. The Fund receives from or pays to the broker a specified amount of cash

Mortgage Core Fund

Annual Shareholder Report

**36**

------

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 $4,889,123 and $1,033,173, respectively. This is based on amounts held as of each month-end throughout the fiscal period.

**Restricted Securities** 

The Fund may purchase securities which are considered restricted. Restricted securities are securities that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the 1933 Act; or (b) are subject to contractual restrictions on public sales. In some cases, when a security cannot be offered for public sale without first being registered, the issuer of the restricted security has agreed to register such securities for resale, at the issuer's expense, either upon demand by the Fund or in connection with another registered offering of the securities. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. Restricted securities may be determined to be liquid under criteria established by the Trustees. The Fund will not incur any registration costs upon such resales. The Fund's restricted securities, like other securities, are priced in accordance with procedures established by and under the general supervision of the Adviser.

**Additional Disclosure Related to Derivative Instruments** 

---

| | | |
|:---|:---|:---|
| **Fair Value of Derivative Instruments** | **Fair Value of Derivative Instruments** | **Fair Value of Derivative Instruments** |
|  | **Liabilities** | **Liabilities** |
|  | &nbsp;&nbsp; **Statement of** <br>**Assets and** <br>**Liabilities** <br>**Location**<br>| **Fair** <br>**Value**<br>|
| Derivatives not accounted for as hedging <br>instruments under ASC Topic 815<br>|  |  |
| Interest rate contracts | &nbsp;&nbsp; Payable for variation margin <br>on futures contracts<br>| $1,142,850\* |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* *Includes cumulative net depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day's variation margin is* *reported within the Statement of Assets and Liabilities.* 

**The Effect of Derivative Instruments on the Statement of Operations for the Year Ended December 31, 2022** 

---

| | |
|:---|:---|
| **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** | **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** |
|  | **Futures** <br>**Contracts**<br>|
| Interest rate contracts | $52 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income** | **Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income** |
|  | **Futures** <br>**Contracts**<br>|
| Interest rate contracts | $(1142850) |

---

**Other** 

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ materially from those estimated. The Fund applies investment company accounting and reporting guidance.

**3. SHARES OF BENEFICIAL INTEREST** 

The following table summarizes share activity:

---

| | | |
|:---|:---|:---|
|  | **Year Ended** <br>**12/31/2022**<br>| **Year Ended** <br>**12/31/2021**<br>|
| Shares sold | 229727001 | 137902805 |
| Shares issued to shareholders in payment of distributions declared | &nbsp;&nbsp;&nbsp;&nbsp; 1598040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 864504 |
| Shares redeemed | (179640289) | (23434485) |
| &nbsp;&nbsp;&nbsp;&nbsp; NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | &nbsp;&nbsp; 51684752 | 115332824 |

---

Mortgage Core Fund

Annual Shareholder Report

**37**

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**4. FEDERAL TAX INFORMATION** 

The tax character of distributions as reported on the Statement of Changes in Net Assets for the years ended December 31, 2022 and 2021, was as follows:

---

| | | |
|:---|:---|:---|
|  | **2022** | **2021** |
| Ordinary income | $102200096 | $56034731 |

---

As of December 31, 2022, the components of distributable earnings on a tax-basis were as follows:

---

| | |
|:---|:---|
| Undistributed ordinary income | $100877 |
| Net unrealized depreciation | $(124320684) |
| Capital loss carryforwards | $(362570699) |
| TOTAL | $(486790506) |

---

At December 31, 2022, the cost of investments for federal tax purposes was $3,338,473,621. The net unrealized depreciation of investments for federal tax purposes was $124,320,684. This consists of unrealized appreciation from investments for those securities having an excess of value over cost of $24,498,068 and unrealized depreciation from investments for those securities having an excess of cost over value of $148,818,752. The amounts presented are inclusive of derivative contracts. The difference between book-basis and tax-basis net unrealized depreciation is attributable to differing treatments for dollar-roll transactions, mark-to-market on futures contracts and principal loss adjustments.

As of December 31, 2022, the Fund had a capital loss carryforward of $362,570,699 which will reduce the Fund's taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code of 1986, thereby reducing the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. Pursuant to the Code, these net capital losses retain their character as either short-term or long-term and do not expire.

The following schedule summarizes the Fund's capital loss carryforwards:

---

| | | |
|:---|:---|:---|
| **Short-Term** | **Long-Term** | **Total** |
| $285947761 | $76622938 | $362570699 |

---

**5. INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES** 

**Investment Adviser Fee** 

The Adviser, subject to the direction of the Trustees, provides investment adviser services at no fee, because all investors in the Fund are other Federated Hermes Funds, insurance company separate accounts, common or commingled trust funds or similar organizations or entities that are "accredited investors" within the meaning of Regulation D of the 1933 Act. The Fund pays operating expenses associated with the operation and maintenance of the Fund (excluding fees and expenses that may be charged by the Adviser and its affiliates). Although not contractually obligated to do so, the Adviser intends to voluntarily reimburse operating expenses (excluding extraordinary expenses and proxy-related expenses paid by the Fund, if any) such that the Fund will only bear such expenses in an amount of up to 0.15% of the Fund's average daily net assets. The Adviser can modify or terminate this voluntary reimbursement at any time at its sole discretion.

**Administrative Fee** 

Federated Administrative Services (FAS), under the Administrative Services Agreement, provides the Fund with administrative personnel and services. FAS does not charge the Fund a fee but is entitled to reimbursement for certain out-of-pocket expenses.

**Directors'/Trustees' and Miscellaneous Fees** 

Certain Officers and Trustees of the Fund are Officers and Directors or Trustees of certain of the above companies. To efficiently facilitate payment, Independent Directors'/Trustees' fees and certain expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses are paid by an affiliate of the Adviser which in due course are reimbursed by the Fund. These expenses related to conducting meetings of the Directors/Trustees and other miscellaneous expenses may be included in Accrued and Miscellaneous Expenses on the Statement of Assets and Liabilities and Statement of Operations, respectively.

**Affiliated Shares of Beneficial Interest** 

As of December 31, 2022, a majority of the shares of beneficial interest outstanding are owned by other affiliated investment companies.

**6. INVESTMENT TRANSACTIONS** 

Purchases and sales of investments, excluding long-term U.S. government securities and short-term obligations, for the year ended December 31, 2022, were as follows:

---

| | |
|:---|:---|
| Purchases | $230629412 |
| Sales | $83749152 |

---

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Annual Shareholder Report

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**7. LINE OF CREDIT** 

The Fund participates with certain other Federated Hermes Funds, on a several basis, in an up to $500,000,000 unsecured, 364-day, committed, revolving line of credit (LOC) agreement dated June 22, 2022. The LOC was made available to temporarily finance the repurchase or redemption of shares of the Fund, failed trades, payment of dividends, settlement of trades and for other short-term, temporary or emergency general business purposes. The Fund cannot borrow under the LOC if an inter-fund loan is outstanding. The Fund's ability to borrow under the LOC also is subject to the limitations of the Act and various conditions precedent that must be satisfied before the Fund can borrow. Loans under the LOC are charged interest at a fluctuating rate per annum equal to (a) the highest, on any day, of (i) the federal funds effective rate, (ii) the published secured overnight financing rate plus an assigned percentage, and (iii) 0.0%, plus (b) a margin. Any fund eligible to borrow under the LOC pays its pro rata share of a commitment fee based on the amount of the lenders' commitment that has not been utilized, quarterly in arrears and at maturity. As of December 31, 2022, the Fund had no outstanding loans. During the year ended December 31, 2022, the Fund did not utilize the LOC.

**8. INTERFUND LENDING** 

Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other funds advised by subsidiaries of Federated Hermes, Inc., may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from other participating affiliated funds. As of December 31, 2022, there were no outstanding loans. During the year ended December 31, 2022, the program was not utilized.

**9. INDEMNIFICATIONS** 

Under the Fund's organizational documents, its Officers and Directors/Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund (other than liabilities arising out of their willful misfeasance, bad faith, gross negligence or reckless disregard of their duties to the Fund). In addition, in the normal course of business, the Fund provides certain indemnifications under arrangements with third parties. Typically, obligations to indemnify a third party arise in the context of an arrangement entered into by the Fund under which the Fund agrees to indemnify such third party for certain liabilities arising out of actions taken pursuant to the arrangement, provided the third party's actions are not deemed to have breached an agreed-upon standard of care (such as willful misfeasance, bad faith, gross negligence or reckless disregard of their duties under the contract). The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet arisen. The Fund does not anticipate any material claims or losses pursuant to these arrangements at this time, and accordingly expects the risk of loss to be remote.

**10. OTHER MATTERS** 

An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread globally. As of the date of the issuance of these financial statements, this coronavirus has resulted in, and may continue to result in, closed borders, enhanced health screenings, disruptions to healthcare service preparation and delivery, quarantines, cancellations, and disruptions to supply chains, workflow operations and consumer activity, as well as general concern and uncertainty. The impact of this coronavirus has resulted in substantial economic volatility. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks. The impact of this outbreak, and other epidemics and pandemics that may arise in the future, could continue to negatively affect the worldwide economy, as well as the economies of individual countries, individual companies (including certain Fund service providers and issuers of the Fund's investments) and the markets in general in significant and unforeseen ways. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic, including significant fiscal and monetary policy changes, that may affect the instruments in which the Fund invests or the issuers of such investments. Any such impact could adversely affect the Fund's performance.

**11. Recent Accounting Pronouncements** 

In December 2022, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2022-06 "Reference Rate Reform (Topic 848)". ASU No. 2022-06 updates and clarifies ASU No. 2020-04, which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of LIBOR and other interbank-offered reference rates. The temporary relief provided by ASU No. 2022-06 is effective immediately for certain reference rate-related contract modifications that occur through December 31, 2024. Management does not expect ASU No. 2022-06 to have a material impact on the financial statements.

Mortgage Core Fund

Annual Shareholder Report

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Report of Independent Registered Public Accounting Firm

**TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF MORTGAGE CORE FUND:**

**Opinion on the Financial Statements**

We have audited the accompanying statement of assets and liabilities of Mortgage Core Fund (the "Fund") (one of the portfolios constituting Federated Hermes Core Trust (the "Trust")), including the portfolio of investments, as of December 31, 2022, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the portfolios constituting Federated Hermes Core Trust) at December 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

**Basis for Opinion**

These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust's internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian, brokers, and others; when replies were not received from brokers or others, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. <br> ![](ernstyoungsig.jpg)

We have served as the auditor of one or more Federated Hermes investment companies since 1979.

Boston, Massachusetts <br>February 22, 2023

Mortgage Core Fund

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Shareholder Expense Example (unaudited)

As a shareholder of the Fund, you incur ongoing costs, including to the extent applicable, management fees, distribution (12b-1) fees and/or other service fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2022 to December 31, 2022.

**ACTUAL EXPENSES** 

The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to *estimate* the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled "Expenses Paid During Period" to estimate the expenses attributable to your investment during this period.

**HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES** 

The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an *assumed* rate of return of 5% per year before expenses, which is not the Fund's actual return. Thus, you should *not* use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are required to be provided to enable you to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative *total* costs of owning different funds.

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| | | | |
|:---|:---|:---|:---|
|  | **Beginning** <br>**Account Value** <br>**7/1/2022**<br>| **Ending** <br>**Account Value** <br>**12/31/2022**<br>| **Expenses Paid** <br>**During Period**<sup>1</sup> <br>|
| **Actual** | $1000 | $965.80 | $0.10 |
| **Hypothetical (assuming a 5% return before expenses)** | $1000 | $1025.10 | $0.10 |

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|:---|:---|
| 1 | *Expenses are equal to the Fund's annualized net expense ratio of 0.02%, multiplied by the average account value over the period, multiplied by 184/365 (to* <br> *reflect the one-half-year period).*<br>|

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Mortgage Core Fund

Annual Shareholder Report

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Board of Trustees and Trust Officers

The Board of Trustees is responsible for managing the Trust's business affairs and for exercising all the Trust's powers except those reserved for the shareholders. The following tables give information about each Trustee and the senior officers of the Fund. Where required, the tables separately list Trustees who are "interested persons" of the Fund (i.e., "Interested" Trustees) and those who are not (i.e., "Independent" Trustees). Unless otherwise noted, the address of each person listed is 1001 Liberty Avenue, Pittsburgh, PA 15222-3779. The address of all Independent Trustees listed is 4000 Ericsson Drive, Warrendale, PA 15086-7561; Attention: Mutual Fund Board. As of December 31, 2022, the Trust comprised five portfolio(s), and the Federated Hermes Fund Family consisted of 33 investment companies (comprising 102 portfolios). Unless otherwise noted, each Officer is elected annually. Unless otherwise noted, each Trustee oversees all portfolios in the Federated Hermes Fund Family and serves for an indefinite term. The Fund's Statement of Additional Information includes additional information about Trust Trustees and is available, without charge and upon request, by calling 1-800-341-7400, Option #4.

**Interested Trustees Background** 

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years,**<br> **Other Directorships Held and Previous Position(s)**<br>|
| **J. Christopher Donahue\***<br> Birth Date: April 11, 1949<br> President and Trustee<br> Indefinite Term<br> Began serving: October 2005<br>| &nbsp;&nbsp; **Principal Occupations**: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund <br> Family; Director or Trustee of the Funds in the Federated Hermes Fund Family; President, Chief Executive Officer and <br> Director, Federated Hermes, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated <br> Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, <br> Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, <br> Federated Services Company.<br> **Previous Positions**: President, Federated Investment Counseling; President and Chief Executive Officer, Federated <br> Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, <br> Passport Research, Ltd.<br>|
| **John B. Fisher\***<br> Birth Date: May 16, 1956<br> Trustee<br> Indefinite Term<br> Began serving: May 2016<br>| &nbsp;&nbsp; **Principal Occupations**: Principal Executive Officer and President of certain of the Funds in the Federated Hermes Fund <br> Family; Director or Trustee of certain of the Funds in the Federated Hermes Fund Family; Director and Vice President, <br> Federated Hermes, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity <br> Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, <br> Federated Investment Management Company, and Federated MDTA LLC; Director, Federated Investors Trust Company.<br> **Previous Positions**: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and <br> CEO of Passport Research, Ltd.; Director and President, Technology, Federated Services Company.<br>|

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\*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Reasons for "interested" status: J. Christopher Donahue and John B. Fisher are interested due to their beneficial ownership of shares of Federated Hermes, Inc. and due to positions they hold with Federated Hermes, Inc. and its subsidiaries.*

**INDEPENDENT Trustees Background** 

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years,**<br> **Other Directorships Held, Previous Position(s) and Qualifications**<br>|
| **John T. Collins**<br> Birth Date: January 24, 1947<br> Trustee<br> Indefinite Term<br> Began serving: October 2013<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Hermes Fund <br> Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired).<br> **Other Directorships Held**: Director, KLX Energy Services Holdings, Inc. (oilfield services); former Director of <br> KLX Corp. (aerospace).<br> **Qualifications**: Mr. Collins has served in several business and financial management roles and directorship positions <br> throughout his career. Mr. Collins previously served as Chairman and CEO of The Collins Group, Inc. (a private equity firm) <br> and as a Director of KLX Corp. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as <br> Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth <br> Israel Deaconess Medical Center (Harvard University Affiliate Hospital). <br>|

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years,**<br> **Other Directorships Held, Previous Position(s) and Qualifications**<br>|
| **G. Thomas Hough**<br> Birth Date: February 28, 1955<br> Trustee<br> Indefinite Term<br> Began serving: August 2015<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee, Chair of the Audit Committee of the Federated Hermes Fund Family; formerly, <br> Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). <br> **Other Directorships Held**: Director, Chair of the Audit Committee, Equifax, Inc.; Lead Director, Member of the Audit and <br> Nominating and Corporate Governance Committees, Haverty Furniture Companies, Inc.; formerly, Director, Member of <br> Governance and Compensation Committees, Publix Super Markets, Inc.<br> **Qualifications**: Mr. Hough has served in accounting, business management and directorship positions throughout his career. <br> Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting <br> firm). Mr. Hough serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama. <br> Mr. Hough previously served on the Business School Board of Visitors for Wake Forest University, and he previously served as <br> an Executive Committee member of the United States Golf Association. <br>|
| **Maureen Lally-Green**<br> Birth Date: July 5, 1949<br> Trustee<br> Indefinite Term<br> Began serving: August 2009<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; Adjunct Professor Emerita of Law, <br> Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and <br> Interim Dean of the Duquesne University School of Law; formerly, Associate General Secretary and Director, Office of Church <br> Relations, Diocese of Pittsburgh.<br> **Other Directorships Held**: Director, CNX Resources Corporation (natural gas).<br> **Qualifications**: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her <br> career. Judge Lally-Green previously held the position of Dean of the School of Law of Duquesne University (as well as <br> Interim Dean). Judge Lally-Green previously served as Associate General Secretary of the Diocese of Pittsburgh, a member of <br> the Superior Court of Pennsylvania and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green was <br> appointed by the Supreme Court of Pennsylvania to serve on the Supreme Court's Board of Continuing Judicial Education <br> and the Supreme Court's Appellate Court Procedural Rules Committee. Judge Lally-Green also currently holds the positions <br> on not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Regent, Saint Vincent <br> Seminary; Member, Pennsylvania State Board of Education (public); Director, Catholic Charities, Pittsburgh; and Director CNX <br> Resources Corporation (natural gas). Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy <br> Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More <br> Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; <br> Director, St. Vincent College; Director and Chair, North Catholic High School, Inc.; Director and Vice Chair, Our Campaign for <br> the Church Alive!, Inc.; and Director and Vice Chair, Saint Francis University.<br>|
| **Thomas M. O'Neill**<br> Birth Date: June 14, 1951<br> Trustee<br> Indefinite Term<br> Began serving: August 2006<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; Sole Proprietor, Navigator Management <br> Company (investment and strategic consulting).<br> **Other Directorships Held**: None.<br> **Qualifications**: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship <br> positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity. Mr. O'Neill previously served as Chief <br> Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and <br> Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, <br> MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director <br> and Consultant, EZE Castle Software (investment order management software); Director, Midway Pacific (lumber); and <br> Director, The Golisano Children's Museum of Naples, Florida.<br>|
| **Madelyn A. Reilly**<br> Birth Date: February 2, 1956<br> Trustee<br> Indefinite Term<br> Began serving: <br> November 2020<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; formerly, Senior Vice President for Legal <br> Affairs, General Counsel and Secretary of Board of Directors, Duquesne University (Retired).<br> **Other Directorships Held**: None.<br> **Qualifications**: Ms. Reilly has served in various business and legal management roles throughout her career. Ms. Reilly <br> previously served as Senior Vice President for Legal Affairs, General Counsel and Secretary of Board of Directors and Director <br> of Risk Management and Associate General Counsel, Duquesne University. Prior to her work at Duquesne University, <br> Ms. Reilly served as Assistant General Counsel of Compliance and Enterprise Risk as well as Senior Counsel of Environment, <br> Health and Safety, PPG Industries. Ms. Reilly currently serves as a member of the Board of Directors of UPMC <br> Mercy Hospital.<br>|
| **P. Jerome Richey**<br> Birth Date: February 23, 1949<br> Trustee<br> Indefinite Term<br> Began serving: October 2013<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; Retired; formerly, Senior Vice Chancellor <br> and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CONSOL Energy Inc. <br> (now split into two separate publicly traded companies known as CONSOL Energy Inc. and CNX Resources Corp.).<br> **Other Directorships Held**: None.<br> **Qualifications**: Mr. Richey has served in several business and legal management roles and directorship positions throughout <br> his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of <br> Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and <br> Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive <br> Vice President, CONSOL Energy Inc. and CNX Gas Company; and Board Member, Ethics Counsel and Shareholder, Buchanan <br> Ingersoll & Rooney PC (a law firm). <br>|

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years,**<br> **Other Directorships Held, Previous Position(s) and Qualifications**<br>|
| **John S. Walsh**<br> Birth Date:<br> November 28, 1957<br> Trustee<br> Indefinite Term<br> Began serving: November <br> 2005<br>| &nbsp;&nbsp; **Principal Occupations**: Director or Trustee of the Federated Hermes Fund Family; President and Director, Heat Wagon, Inc. <br> (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of <br> portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. <br> **Other Directorships Held**: None.<br> **Qualifications**: Mr. Walsh has served in several business management roles and directorship positions throughout his career. <br> Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors).<br>|

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**OFFICERS** 

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| | |
|:---|:---|
| **Name**<br> **Birth Date**<br> **Address**<br> **Positions Held with Trust**<br> **Date Service Began**<br>| &nbsp;&nbsp; **Principal Occupation(s) for Past Five Years**<br> **and Previous Position(s)**<br>|
| **Lori A. Hensler**<br> Birth Date: January 6, 1967<br> TREASURER<br> Officer since: April 2013<br>| &nbsp;&nbsp; **Principal Occupations**: Principal Financial Officer and Treasurer of the Federated Hermes Fund Family; Senior Vice President, <br> Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp.; and Assistant Treasurer, <br> Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation.<br> **Previous Positions**: Controller of Federated Hermes, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors <br> Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative <br> Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory <br> Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management <br> Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and <br> Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and <br> Southpointe Distribution Services, Inc.<br>|
| **Peter J. Germain**<br> Birth Date:<br> September 3, 1959<br> CHIEF LEGAL OFFICER, <br> SECRETARY and EXECUTIVE <br> VICE PRESIDENT<br> Officer since: October 2005<br>| &nbsp;&nbsp; **Principal Occupations**: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Hermes <br> Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Hermes, Inc.; <br> Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated <br> Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, <br> Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated <br> Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated <br> Hermes, Inc. in 1984 and is a member of the Pennsylvania Bar Association.<br> **Previous Positions**: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated <br> Hermes, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Hermes, Inc.<br>|
| **Stephen Van Meter**<br> Birth Date: June 5, 1975<br> CHIEF COMPLIANCE OFFICER <br> AND SENIOR VICE PRESIDENT<br> Officer since: July 2015<br>| &nbsp;&nbsp; **Principal Occupations**: Senior Vice President and Chief Compliance Officer of the Federated Hermes Fund Family; Vice <br> President and Chief Compliance Officer of Federated Hermes, Inc. and Chief Compliance Officer of certain of its subsidiaries. <br> Mr. Van Meter joined Federated Hermes, Inc. in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. <br> **Previous Positions**: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Hermes, Inc. <br> Prior to joining Federated Hermes, Inc., Mr. Van Meter served at the United States Securities and Exchange Commission in <br> the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division <br> of Enforcement.<br>|
| **Robert J. Ostrowski**<br> Birth Date: April 26, 1963<br> Chief Investment Officer<br> Officer since: September 2006<br>| &nbsp;&nbsp; **Principal Occupations**: Robert J. Ostrowski joined Federated Hermes, Inc. in 1987 as an Investment Analyst and became a <br> Portfolio Manager in 1990. He was named Chief Investment Officer of Federated Hermes' taxable fixed-income products in <br> 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser <br> in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the <br> Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University.<br>|
| **Stephen F. Auth**<br> Birth Date: <br> September 13, 1956<br> 101 Park Avenue<br> 41<sup>st</sup> Floor<br> New York, NY 10178<br> CHIEF INVESTMENT OFFICER<br> Officer since: February 2015<br>| &nbsp;&nbsp; **Principal Occupations**: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Hermes Fund Family; <br> Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated <br> Equity Management Company of Pennsylvania.<br> **Previous Positions**: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. <br> (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior <br> Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and <br> Portfolio Manager, Prudential Investments.<br>|

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Evaluation and Approval of Advisory Contract–May 2022

**Federated Hermes Mortgage Strategy Portfolio (the "Fund")**

At its meetings in May 2022 (the "May Meetings"), the Fund's Board of Trustees (the "Board"), including those Trustees who are not "interested persons" of the Fund, as defined in the Investment Company Act of 1940 (the "Independent Trustees"), reviewed and unanimously approved the continuation of the investment advisory contract between the Fund and Federated Investment Management Company (the "Adviser") (the "Contract") for an additional one-year term. The Board's determination to approve the continuation of the Contract reflects the exercise of its business judgment after considering all of the information and factors believed to be relevant and appropriate on whether to approve the continuation of the existing arrangement. The information, factors and conclusions that formed the basis for the Board's approval are summarized below.

The Board considered that the Fund is distinctive in that it is used to implement particular investment strategies that are offered to investors in certain separately managed or wrap fee accounts or programs, or certain other discretionary investment accounts, and may also be offered to other funds (each, a "Federated Hermes Fund" and, collectively the "Federated Hermes Funds") advised by the Adviser or its affiliates (collectively, "Federated Hermes").

In addition, the Board considered that the Adviser does not charge an investment advisory fee for its services, although Federated Hermes may receive compensation for managing assets invested in the Fund.

***<u>Information Received and Review Process</u>***

At the request of the Independent Trustees, the Fund's Chief Compliance Officer (the "CCO") furnished to the Board in advance of its May Meetings an independent written evaluation presenting on the topics discussed below. The Board considered the CCO's independent written evaluation (the "CCO Fee Evaluation Report"), along with other information, in evaluating the reasonableness of the Fund's management fee and in determining to approve the continuation of the Contract. The CCO, in preparing the CCO Fee Evaluation Report, has the authority to retain consultants, experts or staff as reasonably necessary to assist in the performance of his duties, reports directly to the Board, and can be terminated only with the approval of a majority of the Independent Trustees. At the request of the Independent Trustees, the CCO Fee Evaluation Report followed the same general approach and covered the same topics as that of the report that had previously been delivered by the CCO in his capacity as "Senior Officer" prior to the elimination of the Senior Officer position in December 2017.

In addition to the extensive materials that comprise and accompany the CCO Fee Evaluation Report, the Board considered information specifically prepared in connection with the approval of the continuation of the Contract that was presented at the May Meetings. In this regard, in the months preceding the May Meetings, the Board requested and reviewed written responses and supporting materials prepared by Federated Hermes in response to requests posed to Federated Hermes by independent legal counsel on behalf of the Independent Trustees encompassing a wide variety of topics, including those summarized below. The Board also considered such additional matters as the Independent Trustees deemed reasonably necessary to evaluate the Contract, which included detailed information about the Fund and Federated Hermes furnished to the Board at its meetings throughout the year and in between regularly scheduled meetings on particular matters as the need arose.

The Board's consideration of the Contract included review of materials and information covering the following matters, among others: the nature, quality and extent of the advisory and other services provided to the Fund by the Advisers and their affiliates; Federated Hermes' business and operations; the Adviser's investment philosophy, personnel and processes; the Fund's investment objectives and strategies; the Fund's short-term and long-term performance (in absolute terms, both on a gross basis and net of expenses, and relative to the Fund's particular investment program and a group of its peer funds and/or its benchmark, as appropriate); the Fund's fees and expenses, including the advisory fee and the overall expense structure of the Fund, with due regard for contractual or voluntary expense limitations (if any); the financial condition of Federated Hermes; the Adviser's profitability with respect to the Fund; distribution and sales activity for the Fund; and the use and allocation of brokerage commissions derived from trading the Fund's portfolio securities (if any).

The Board also considered judicial decisions concerning allegedly excessive investment advisory fees charged to other registered funds in determining to approve the Contract. Using these judicial decisions as a guide, the Board observed that the following factors may be relevant to an adviser's fiduciary duty with respect to its receipt of compensation from a fund: (1) the nature and quality of the services provided by the adviser to the fund and its shareholders, including the performance of the fund, its benchmark and comparable funds; (2) the adviser's cost of providing the services and the profitability to the adviser of providing advisory services to the fund; (3) the extent to which the adviser may realize "economies of scale" as the fund grows larger and, if such economies of scale exist, whether they have been appropriately shared with the fund and its shareholders or the family of funds; (4) any "fall-out" benefits that accrue to the adviser because of its relationship with the fund, including research services received from brokers that execute fund trades and any fees paid to affiliates of the adviser for services rendered to the fund); (5) comparative fee and expense structures,

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including a comparison of management fees paid to the adviser with those paid by similar funds both internally and externally as well as management fees charged to institutional and other advisory clients of the adviser for what might be viewed as like services; and (6) the extent of care, conscientiousness and independence with which the fund's board members perform their duties and their expertise,(including whether they are fully informed about all facts the board deems relevant to its consideration of the adviser's services and fees. The Board noted that the Securities and Exchange Commission ("SEC") disclosure requirements regarding the basis for a fund board's approval of the fund's investment advisory contract generally align with the factors listed above. The Board was guided by these factors in its review of the Contract to the extent it considered them to be appropriate and relevant, as discussed further below. The Board considered and weighed these factors in light of its substantial accumulated experience in governing the Fund and working with Federated Hermes on matters relating to the oversight of the other Federated Hermes Funds.

In determining to approve the continuation of the Contract, the members of the Board reviewed and evaluated information and factors they believed to be relevant and appropriate through the exercise of their reasonable business judgment. While individual members of the Board may have weighed certain factors differently, the Board's determination to approve the continuation of the Contract was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically with respect to the continuation of the Contract. The Board recognized that its evaluation process is evolutionary and that the factors considered and emphasis placed on relevant factors may change in recognition of changing circumstances in the registered fund marketplace. The Independent Trustees were assisted throughout the evaluation process by independent legal counsel. In connection with their deliberations at the May Meetings, the Independent Trustees met separately in executive session with their independent legal counsel and without management present to review the relevant materials and consider their responsibilities under applicable laws. In addition, senior management representatives of Federated Hermes also met with the Independent Trustees and their independent legal counsel to discuss the materials and presentations furnished to the Board at the May Meetings. The Board considered the approval of the Contract for the Fund as part of its consideration of agreements for funds across the family of Federated Hermes Funds, but its approvals were made on a fund-by-fund basis.

***<u>Nature, Extent and Quality of Services</u>***

The Board considered the nature, extent and quality of the services provided to the Fund by the Adviser and the resources of Federated Hermes dedicated to the Fund. In this regard, the Board evaluated, among other things, the terms of the Contract and the range of services provided to the Fund by Federated Hermes. The Board considered the Adviser's personnel, investment philosophy and process, investment research capabilities and resources, trade operations capabilities, experience and performance track record. The Board reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Fund and Federated Hermes' ability and experience in attracting and retaining qualified personnel to service the Fund. The Board also considered the Adviser's ability to deliver competitive investment performance for the Fund when compared to the Fund's benchmark index, which was deemed by the Board to be a useful indicator of how the Adviser is executing the Fund's investment program.

In addition, the Board considered the financial resources and overall reputation of Federated Hermes and its willingness to consider and make investments in personnel, infrastructure, technology, cybersecurity, business continuity planning and operational enhancements that are designed to benefit the Federated Hermes Funds. The Board noted the significant acquisition of Hermes Fund Managers Limited by Federated Hermes, which has deepened the organization's investment management expertise and capabilities and expanded the investment process for all of the Federated Hermes Funds to have access to analytical resources related to environmental, social and governance ("ESG") factors and issuer engagement on ESG matters. The Board considered Federated Hermes' oversight of the securities lending program for the Federated Hermes Funds that engage in securities lending and noted the income earned by the Federated Hermes Funds that participate in such program. In addition, the Board considered the quality of Federated Hermes' communications with the Board and responsiveness to Board inquiries and requests made from time to time with respect to the Fund and other Federated Hermes Funds. In this regard, the Board took into account Federated Hermes' communications with the Board in light of the pandemic. The Board also considered that Federated Hermes is responsible for providing the Federated Hermes Funds' officers.

The Board received and evaluated information regarding Federated Hermes' regulatory and compliance environment. The Board considered Federated Hermes' compliance program and compliance history and reports from the CCO about Federated Hermes' compliance with applicable laws and regulations, including responses to regulatory developments and any compliance or other issues raised by regulatory agencies. The Board also noted Federated Hermes' support of the Federated Hermes Funds' compliance control structure and the compliance-related resources devoted by Federated Hermes in support of the Fund's obligations pursuant to Rule 38a-1 under the Investment Company Act of 1940, including Federated Hermes' commitment to respond to rulemaking and other regulatory initiatives of the SEC. The Board considered Federated Hermes' approach to internal audits and risk management with respect to the Federated Hermes

Annual Shareholder Report

**46**

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Funds and its day-to-day oversight of the Federated Hermes Funds' compliance with their investment objectives and policies as well as with applicable laws and regulations, noting that regulatory and other developments had over time led to an increase in the scope of Federated Hermes' oversight in this regard, including in connection with the designation of the Federated Hermes Funds' investment advisers as the administrators of the Federated Hermes Funds' liquidity risk management program.

The Board also considered the implementation of Federated Hermes' business continuity plans and recognized steps taken by Federated Hermes to continue to provide the same nature, extent and quality of services to the Federated Hermes Funds during the pandemic. In addition, the Board noted Federated Hermes' commitment to maintaining high quality systems and expending substantial resources to prepare for and respond to ongoing changes due to the market, regulatory and control environments in which the Fund and its service providers operate, including changes associated with the pandemic.

The Board considered Federated Hermes' efforts to provide shareholders in the Federated Hermes Funds with a comprehensive array of funds with different investment objectives, policies and strategies. The Board considered the expenses that Federated Hermes had incurred, as well as the entrepreneurial and other risks assumed by Federated Hermes, in sponsoring and providing on-going services to new funds to expand these opportunities for shareholders. The Board noted the benefits to shareholders of being part of the family of Federated Hermes Funds, which include the general right to exchange investments between the same class of shares without the incurrence of additional sales charges.

Based on these considerations, the Board concluded that it was satisfied with the nature, extent and quality of the services provided by the Adviser to the Fund.

***<u>Fund Investment Performance</u>***

The Board considered the investment performance of the Fund. In evaluating the Fund's investment performance, the Board considered performance results in light of the Fund's investment objective, strategies and risks. The Board considered detailed investment reports on, and the Adviser's analysis of, the Fund's performance over different time periods that were provided to the Board throughout the year and in connection with the May Meetings.

For the one-year, three-year and five-year periods ended December 31, 2021, the Fund outperformed its benchmark index.

Based on these considerations, the Board concluded that it had continued confidence in the Adviser's overall capabilities to manage the Fund.

***<u>Fund Expenses</u>***

The Board considered that the Adviser does not charge an investment advisory fee to this Fund for its services and has agreed to reimburse the Fund's expenses so that total operating expenses are zero. Because the Adviser does not charge the Fund an investment advisory fee and the Fund's total operating expenses will remain at zero due to reimbursement of expenses, the Board noted that it did not consider fee comparisons to other registered funds or other types of clients of Federated Hermes to be relevant to its evaluation.

***<u>Profitability</u>***

The Board received and considered profitability information furnished by Federated Hermes, as requested by the CCO. The Board considered that the Adviser does not charge an investment advisory fee to the Fund and noted, therefore, that the Adviser does not profit from providing advisory services to the Fund under the Contract.

The Board also reviewed information compiled by Federated Hermes comparing its profitability information to other publicly held fund management companies, including information regarding profitability trends over time. The Board considered the CCO's conclusion that, based on such profitability information, Federated Hermes' profit margins did not appear to be excessive. The Board also considered the CCO's view that Federated Hermes appeared financially sound, with the resources necessary to fulfill its obligations under its contracts with the Federated Hermes Funds.

***<u>Economies of Scale</u>***

Because of the distinctive nature of the Fund as primarily an internal product with an advisory fee of zero, the Board noted that it did not consider the assessment of whether economies of scale would be realized if the Fund were to grow to a sufficient size to be particularly relevant to its evaluation.

***<u>Other Benefits</u>***

The Board considered information regarding the compensation and other ancillary (or "fall-out") benefits that Federated Hermes derived from its relationships with the Federated Hermes Funds.

The Board noted that, although an affiliate of the Adviser charges the Fund an administrative services fee and also the affiliate is entitled to reimbursement for certain out-of-pocket expenses incurred in providing administrative services to the Fund, Federated Hermes reimburses all such fees and expenses to the Fund.

Annual Shareholder Report

**47**

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In connection with the Board's governance of other Federated Hermes Funds, the Board noted that, in addition to receiving advisory fees under the Federated Hermes Funds' investment advisory contracts, Federated Hermes' affiliates also receive fees for providing other services to the Federated Hermes Funds under separate contracts (e.g., for serving as the Federated Hermes Funds' administrator and distributor). In this regard, the Board considered that certain of Federated Hermes' affiliates provide distribution and shareholder services to the Federated Hermes Funds, for which they may be compensated through distribution and servicing fees paid pursuant to Rule 12b-1 plans or otherwise. The Board also received and considered information detailing any indirect benefit that Federated Hermes may derive from its receipt of research services from brokers who execute portfolio trades for the Federated Hermes Funds.

***<u>Conclusions</u>***

The Board considered: (i) the CCO's conclusion that his observations and the information accompanying the CCO Fee Evaluation Report show that the management fee for the Fund is reasonable; and (ii) the CCO's recommendation that the Board approve the management fee. The Board noted that, under these circumstances, no changes were recommended to, and no objection was raised to the continuation of, the Contract by the CCO. The CCO also recognized that the Board's evaluation of the Federated Hermes Funds' advisory and sub-advisory arrangements is a continuing and ongoing process that is informed by the information that the Board requests and receives from management throughout the course of the year and, in this regard, the CCO noted certain items for future reporting to the Board or further consideration by management as the Board continues its ongoing oversight of the Federated Hermes Funds.

On the basis of the information and factors summarized above, among other information and factors deemed relevant by the Board, and the evaluation thereof, the Board, including the Independent Trustees, unanimously voted to approve the continuation of the Contract. The Board based its determination to approve the Contract on the totality of the circumstances and relevant factors and with a view of past and future long-term considerations. Not all of the factors and considerations identified above were necessarily deemed to be relevant to the Fund, nor did the Board consider any one of them to be determinative. With respect to the factors that were deemed to be relevant, the Board's determination to approve the continuation of the Contract reflects its view that Federated Hermes' performance and actions provided a satisfactory basis to support the determination to approve the continuation of the existing arrangement.

Annual Shareholder Report

**48**

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Liquidity Risk Management Program– <br>Annual Evaluation of Adequacy and Effectiveness

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "Liquidity Rule"), Federated Hermes Managed Pool Series (the "Trust") has adopted and implemented a liquidity risk management program (the "Program") for Federated Hermes Mortgage Strategy Portfolio (the "Fund" and, collectively with the other non-money market open-end funds advised by Federated Hermes, the "Federated Hermes Funds"). The Program seeks to assess and manage the Fund's liquidity risk. "Liquidity risk" is defined under the Liquidity Rule as the risk that the Fund is unable to meet redemption requests without significantly diluting remaining investors' interests in the Fund. The Board of Trustees of the Trust (the "Board") has approved the designation of each Federated Hermes Fund's investment adviser as the administrator for the Program (the "Administrator") with respect to that Fund. The Administrator, in turn, has delegated day-to-day responsibility for the administration of the Program to multiple Liquidity Risk Management Committees, which are comprised of representatives from certain divisions within Federated Hermes.

The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence the Fund's liquidity risk; (2) the periodic classification (no less frequently than monthly) of the Fund's investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of "illiquid investments" (as defined under the Liquidity Rule); (4) to the extent a Fund does not invest primarily in "highly liquid investments" (as defined under the Liquidity Rule), the determination of a minimum percentage of the Fund's assets that generally will be invested in highly liquid investments (an "HLIM"); (5) if a Fund has established an HLIM, the periodic review (no less frequently than annually) of the HLIM and the adoption of policies and procedures for responding to a shortfall of the Fund's highly liquid investments below its HLIM; and (6) periodic reporting to the Board.

At its meetings in May 2022, the Board received and reviewed a written report (the "Report") from the Federated Hermes Funds' Chief Compliance Officer and Chief Risk Officer, on behalf of the Administrator, concerning the operation of the Program for the period from April 1, 2021 through March 31, 2022 (the "Period"). The Report addressed the operation of the Program and assessed its adequacy and effectiveness, including, where applicable, the operation of any HLIM established for a Federated Hermes Fund and each Federated Hermes Fund's access to other available funding sources such as the Federated Hermes Funds' interfund lending facility, redemptions in-kind, reverse repurchase agreement transactions, redemptions delayed beyond the normal T+1 settlement, but within seven days of the redemption request, and committed lines of credit. There were no material changes to the Program during the Period. The Report summarized the operation of the Program and the information and factors considered by the Administrator in assessing whether the Program has been adequately and effectively implemented with respect to the Federated Hermes Funds. Such information and factors included, among other things:

◾ confirmation that it was not necessary for the Fund to utilize, and the Fund did not utilize, alternative funding sources during the Period;

◾ the periodic classifications of the Fund's investments into one of four liquidity categories and the methodologies and inputs used to classify the investments, including the Fund's reasonably anticipated trade size;

◾ the analysis received from a third-party liquidity assessment vendor that is taken into account in the process of determining the liquidity classifications of the Fund's investments and the results of an evaluation of the services performed by the vendor in support of this process;

◾ the fact that the Fund invested primarily in highly liquid investments during the Period and, therefore, was not required to establish, and has not established, an HLIM and the procedures for monitoring the status of the Fund as investing primarily in highly liquid investments;

◾ the fact that the Fund invested no more than 15% of its assets in illiquid investments during the Period and the procedures for monitoring this limit;

◾ the fact that there were no liquidity events during the Period, that materially affected the Fund's liquidity risk;

◾ the impact on liquidity and management of liquidity risk caused by extended non-U.S. market closures and confirmation that there were no issues for any of the affected Federated Hermes Funds in meeting shareholder redemptions at any time during these temporary non-U.S. market closures;

◾ circumstances during the Period under which the Administrator convened meetings of the Liquidity Risk Management Committees more frequently than normal to conduct enhanced liquidity risk monitoring, including prior to the Russian invasion of Ukraine.

Based on this review, the Administrator concluded that the Program is operating effectively to assess and manage the Fund's liquidity risk, and that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Fund's liquidity developments.

Annual Shareholder Report

**49**

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Voting Proxies on Fund Portfolio Securities

A description of the policies and procedures that the Fund uses to determine how to vote proxies, if any, relating to securities held in the Fund's portfolio, as well as a report on "Form N-PX" of how the Fund voted any such proxies during the most recent 12-month period ended June 30, are available, without charge and upon request, by calling 1-800-341-7400, Option #4. A report on "Form N-PX" of how the Fund voted any such proxies during the most recent 12-month period ended June 30 is available via the Proxy Voting Record Report (Form N-PX) link associated with the Fund at FederatedInvestors.com/FundInformation. Select a product name, then click "Documents" and click on "Proxy Voting Record Report." Form N-PX filings are also available at the SEC's website at sec.gov.

Quarterly Portfolio Schedule

Each fiscal quarter, the Fund will file with the SEC a complete schedule of its monthly portfolio holdings on "Form N-PORT." The Fund's holdings as of the end of the third month of every fiscal quarter, as reported on Form N-PORT, will be publicly available on the SEC's website at sec.gov within 60 days of the end of the fiscal quarter upon filing. You may also access this information at FederatedInvestors.com. Select a product name, then click "Documents" and select "Form N-PORT."

Annual Shareholder Report

**50**

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*Mutual funds are not bank deposits or obligations, are not guaranteed by any bank and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.*

This Report is authorized for distribution to prospective investors only when preceded or accompanied by the Fund's Prospectus, which contains facts concerning its objective and policies, management fees, expenses and other information. <br> ![](edelivery.jpg)

![](fhilogok11p.jpg)

Federated Hermes Mortgage Strategy Portfolio <br>Federated Hermes Funds <br>4000 Ericsson Drive <br>Warrendale, PA 15086-7561

Contact us at **FederatedInvestors.com** <br>or call 1-800-341-7400.

Federated Securities Corp., Distributor

*CUSIP 31421P407*

*38011 (2/23)*© 2023 Federated Hermes, Inc.

![](fscbug_small.jpg)

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**Item 2.** **Code of Ethics**

(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the "Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers") that applies to the registrant's Principal Executive Officer and Principal Financial Officer; the registrant's Principal Financial Officer also serves as the Principal Accounting Officer.

(c) There was no amendment to the registrant's code of ethics described in Item 2(a) above during the period covered by the report.

(d) There was no waiver granted, either actual or implicit, from a provision to the registrant's code of ethics described in Item 2(a) above during the period covered by the report.

(e) Not Applicable

(f)(3) The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant at 1-800-341-7400, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.

**Item 3. Audit Committee Financial Expert**

The registrant's Board has determined that each of the following members of the Board's Audit Committee is an "audit committee financial expert," and is "independent," for purposes of this Item: G. Thomas Hough and Thomas M. O'Neill.

**Item 4.** **Principal Accountant Fees and Services**

(a) Audit Fees billed to the registrant for the two most recent fiscal years:

Fiscal year ended 2022 – $157,941

Fiscal year ended 2021 - $143,100

(b) Audit-Related Fees billed to the registrant for the two most recent fiscal years:

Fiscal year ended 2022 - $0

Fiscal year ended 2021 - $0

Amount requiring approval of the registrant's Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.

(c) Tax Fees billed to the registrant for the two most recent fiscal years:

Fiscal year ended 2022 - $0

Fiscal year ended 2021 - $0

Amount requiring approval of the registrant's Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.

(d) All Other Fees billed to the registrant for the two most recent fiscal years:

Fiscal year ended 2022 - $0

Fiscal year ended 2021 - $0

Amount requiring approval of the registrant's Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $78,852 and $76,302 respectively. Fiscal year ended 2022- Service fees for analysis of potential Passive Foreign Investment Company holdings. Fiscal year ended 2021- Service fees for analysis of potential Passive Foreign Investment Company holdings.

(e)(1) Audit Committee Policies regarding Pre-approval of Services.

The Audit Committee is required to pre-approve audit and non-audit services performed by the independent auditor in order to assure that the provision of such services do not impair the auditor's independence. Unless a type of service to be provided by the independent auditor has received general pre-approval, it will require specific pre-approval by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.

Certain services have the general pre-approval of the Audit Committee. The term of the general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee specifically provides for a different period. The Audit Committee will annually review the services that may be provided by the independent auditor without obtaining specific pre-approval from the Audit Committee and may grant general pre-approval for such services. The Audit Committee will revise the list of general pre-approved services from time to time, based on subsequent determinations. The Audit Committee will not delegate to management its responsibilities to pre-approve services performed by the independent auditor.

The Audit Committee has delegated pre-approval authority to its chairman (the "Chairman") for services that do not exceed a specified dollar threshold. The Chairman or Chief Audit Executive will report any such pre-approval decisions to the Audit Committee at its next scheduled meeting. The Committee will designate another member with such pre-approval authority when the Chairman is unavailable.

AUDIT SERVICES

The annual audit services engagement terms and fees will be subject to the specific pre-approval of the Audit Committee. The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope, registered investment company (RIC) structure or other matters.

In addition to the annual audit services engagement specifically approved by the Audit Committee, the Audit Committee may grant general pre-approval for other audit services, which are those services that only the independent auditor reasonably can provide. The Audit Committee has pre-approved certain audit services; with limited exception, all other audit services must be specifically pre-approved by the Audit Committee.

AUDIT-RELATED SERVICES

Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the RIC's financial statements or that are traditionally performed by the independent auditor. The Audit Committee believes that the provision of audit-related services does not impair the independence of the auditor, and has pre-approved certain audit-related services; all other audit-related services must be specifically pre-approved by the Audit Committee.

TAX SERVICES

The Audit Committee believes that the independent auditor can provide tax services to the RIC such as tax compliance, tax planning and tax advice without impairing the auditor's independence. However, the Audit Committee will not permit the retention of the independent auditor in connection with a transaction initially recommended by the independent auditor, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has pre-approved certain tax services; with limited exception, all tax services involving large and complex transactions must be specifically pre-approved by the Audit Committee.

ALL OTHER SERVICES

With respect to the provision of permissible services other than audit, review or attest services the pre-approval requirement is waived if:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) With respect to such services rendered to the Funds, the
aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues paid by the audit
client to its accountant during the fiscal year in which the services are provided; and,

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) With respect to such services rendered to the Fund's
investment adviser (the "Adviser")and any entity controlling, controlled by to under common control with the Adviser such
as affiliated non-U.S. and U.S. funds not under the Audit Committee's purview and which do not fall within a category of service
which has been determined by the Audit Committee not to have a direct impact on the operations or financial reporting of the RIC, the
aggregate amount of all services provided constitutes no more than five percent of the total amount of revenues paid to the RIC's
auditor by the RIC, its Adviser and any entity controlling, controlled by, or under common control with the Adviser during the fiscal
year in which the services are provided; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3) Such services were not recognized by the issuer or RIC
at the time of the engagement to be non-audit services; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4) Such services are promptly brought to the attention of
the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee
who are members of the Board of Directors to whom authority to grant such approvals has been delegated by the Audit Committee.

The Audit Committee may grant general pre-approval to those permissible non-audit services which qualify for pre-approval and which it believes are routine and recurring services, and would not impair the independence of the auditor.

The Securities and Exchange Commission's (the "SEC") rules and relevant guidance should be consulted to determine the precise definitions of these services and applicability of exceptions to certain of the prohibitions.

PRE-APPROVAL FEE LEVELS

Pre-approval fee levels for all services to be provided by the independent auditor will be established annually by the Audit Committee. Any proposed services exceeding these levels will require specific pre-approval by the Audit Committee.

PROCEDURES

Requests or applications to provide services that require specific approval by the Audit Committee will be submitted to the Audit Committee by the Fund's Principal Accounting Officer and/or the Chief Audit Executive of Federated Hermes, Inc., only after those individuals have determined that the request or application is consistent with the SEC's rules on auditor independence.

(e)(2) Percentage of services identified in items 4(b) through 4(d) that were approved by the registrant's Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:

4(b)

Fiscal year ended 2022 – 0%

Fiscal year ended 2021 - 0%

Percentage of services provided to the registrant's Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant's Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.

4(c)

Fiscal year ended 2022 – 0%

Fiscal year ended 2021 – 0%

Percentage of services provided to the registrant's Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant's Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.

4(d)

Fiscal year ended 2022 – 0%

Fiscal year ended 2021 – 0%

Percentage of services provided to the registrant's Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant that were approved by the registrant's Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.

(f) NA

(g) Non-Audit Fees billed to the registrant, the registrant's
Adviser, and certain entities controlling, controlled by or under common control with the Adviser:

Fiscal year ended 2022 - $222,177

Fiscal year ended 2021 - $113,741

(h) The registrant's Audit Committee has considered that the provision of non-audit services that were rendered to the registrant's
Adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment
adviser), and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the registrant
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence.

**Item 5.** **Audit Committee of Listed Registrants**

Not Applicable

**Item 6.** **Schedule of Investments**

(a) The registrant's Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.

(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.

**Item 7.** **Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies**

Not Applicable

**Item 8.** **Portfolio Managers of Closed-End Management Investment Companies** 

Not Applicable

**Item 9.** **Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers**

Not Applicable

**Item 10.** **Submission of Matters to a Vote of Security Holders**

No Changes to Report

**Item 11.** **Controls and Procedures**

(a) The registrant's President and Treasurer have concluded that the

registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.

(b) There were no changes in the registrant's internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

**Item 12.** **Disclosure of Securities Lending Activities for Closed-End Management Investment Companies**

Not Applicable

**Item 13.** **Exhibits**

**(a)(1) Code of Ethics- Not Applicable to this Report.**

[(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.](cert302.htm)

(a)(3) Not Applicable.

[(b) Certifications pursuant to 18 U.S.C. Section 1350.](cert906.htm)

**SIGNATURES**

**Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.**

**Registrant <u>Federated Hermes Managed Pool Series</u>**

**By <u>/S/ Lori A. Hensler</u>** 

**Lori A. Hensler, Principal Financial Officer**

**Date <u>February 22, 2023</u>**

**Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.**

**By <u>/S/ J. Christopher Donahue</u>**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**J. Christopher Donahue, Principal Executive Officer**

**Date <u>February 22, 2023</u>**

**By <u>/S/ Lori A. Hensler</u>**

**Lori A. Hensler, Principal Financial Officer**

**Date <u>February 22, 2023</u>**

## Ex-99.Cert

N-CSR Item 13(a)(2) - Exhibits: Certifications

I, J. Christopher Donahue, certify that:

* I have reviewed this report on Form N-CSR of Federated Hermes Managed
Pool Series on behalf of: Federated Hermes Corporate Bond Strategy Portfolio, Federated Hermes High Yield Strategy Portfolio, Federated
Hermes Mortgage Strategy Portfolio ("registrant");

* Based on my knowledge, this report does not contain any untrue statement
of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by this report;

* Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the financial condition, results of operations, changes in
net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and
for, the periods presented in this report;

* The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940)
and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant
and have:

* designed such disclosure controls and procedures, or caused such disclosure
controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including
its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report
is being prepared;

* designed such internal control over financial reporting, or caused such
internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability
of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

* evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a
date within 90 days prior to the filing date of this report based on such evaluation; and

* disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over financial reporting; and

* The registrant's other certifying officers and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

* all significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability
to record, process, summarize, and report financial information; and

* any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control over financial reporting.

Date: February 22, 2023

/S/ J. Christopher Donahue

J. Christopher Donahue, President - Principal Executive Officer

N-CSR Item 13(a)(2) - Exhibits: Certifications

I, Lori A. Hensler, certify that:

* I have reviewed this report on Form N-CSR of Federated Hermes Managed
Pool Series on behalf of: Federated Hermes Corporate Bond Strategy Portfolio, Federated Hermes High Yield Strategy Portfolio, Federated
Hermes Mortgage Strategy Portfolio ("registrant");

* Based on my knowledge, this report does not contain any untrue statement
of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by this report;

* Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the financial condition, results of operations, changes in
net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and
for, the periods presented in this report;

* The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940)
and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant
and have:

* designed such disclosure controls and procedures, or caused such disclosure
controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including
its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report
is being prepared;

* designed such internal control over financial reporting, or caused such
internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability
of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

* evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a
date within 90 days prior to the filing date of this report based on such evaluation; and

* disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over financial reporting; and

* The registrant's other certifying officers and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

* all significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability
to record, process, summarize, and report financial information; and

* any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control over financial reporting.

Date: February 22, 2023

/S/ Lori A. Hensler

Lori A. Hensler, Treasurer - Principal Financial Officer

## Exhibit 99.906

N-CSR Item 13(b) - Exhibits: Certifications

 **SECTION 906 CERTIFICATION**

Pursuant to 18 U.S.C.§ 1350, the undersigned officers of **Federated Hermes Managed Pool Series** on behalf of **Federated Hermes Corporate Bond Strategy Portfolio, Federated Hermes High Yield Strategy Portfolio, Federated Hermes Mortgage Strategy Portfolio** (the "Registrant"), hereby certify, to the best of our knowledge, that the Registrant's Report on Form N-CSR for the period ended December 31, 2022 (the "Report") fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities and Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Dated: F<u>ebruary 22, 2023</u>

/s/ J. Christopher Donahue

J. Christopher Donahue

Title: President, Principal Executive Officer

Dated: F<u>ebruary 22, 2023</u>

/s/ Lori A. Hensler

Lori A. Hensler

Title: Treasurer, Principal Financial Officer

This certification is being furnished solely pursuant to 18 U.S.C.§ 1350 and is not being filed as part of the Report or as a separate disclosure document.