United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-21822
(Investment Company Act File Number)
Federated Managed Pool Series
_______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Investors Funds
4000 Ericsson Drive
Warrendale, Pennsylvania 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
Federated Investors Tower
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: 12/31/17
Date of Reporting Period: 12/31/17
Item 1. | Reports to Stockholders |
Ticker FCSPX |
1 | Please see the footnotes to the line graphs below for definitions of, and further information about the BBUSC. |
2 | Please see the footnotes to the line graphs below for definitions of, and further information about the BBUSC-Baa. |
3 | Duration is a measure of a security's price sensitivity to changes in interest rates. Securities with longer durations are more sensitive to changes in interest rates than securities of shorter durations. |
4 | 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. |
5 | Investment-grade securities are securities that are rated at least “BBB- (minus)” or unrated securities of a comparable quality. Noninvestment-grade securities are securities that are not rated at least “BBB- (minus)” or unrated securities of a comparable quality. Credit ratings are an indication of the risk that a security will default. They do not protect a security from credit risk. Lower-rated bonds typically offer higher yields to help compensate investors for the increased risk associated with them. Among these risks are lower credit-worthiness, greater price volatility, more risk to principal and income than with higher-rated securities and increased possibilities of default. |
6 | 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. |
Federated Corporate Bond Strategy Portfolio | NA | BBUSC | BBUSC-Baa | |
F | NA | I | I | |
12/31/2007 | 10,000 | 10,000 | 10,000 | |
12/31/2008 | 9,125 | 9,692 | 9,133 | |
12/31/2009 | 11,482 | 11,247 | 11,617 | |
12/31/2010 | 12,580 | 12,200 | 12,783 | |
12/31/2011 | 13,475 | 13,219 | 13,995 | |
12/31/2012 | 15,097 | 14,457 | 15,579 | |
12/31/2013 | 14,942 | 14,166 | 15,258 | |
12/31/2014 | 16,149 | 15,232 | 16,530 | |
12/31/2015 | 15,713 | 15,115 | 16,079 | |
12/31/2016 | 17,066 | 15,966 | 17,347 | |
12/31/2017 | 18,433 | 16,952 | 18,638 |
1 Year | 5 Years | 10 Years | |
Fund | 8.01% | 4.07% | 6.31% |
BBUSC | 6.18% | 3.24% | 5.42% |
BBUSC-Baa | 7.45% | 3.65% | 6.42% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBUSC and BBUSC-Baa have been adjusted to reflect reinvestment of dividends on securities in an index. |
2 | The BBUSC 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. |
3 | The BBUSC-Baa is a component of the BBUSC 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. |
Security Type | Percentage of Total Net Assets |
Corporate Debt Securities | 95.5% |
Foreign Government Debt Securities | 2.3% |
Derivative Contracts2,3 | 0.0% |
Cash Equivalents4 | 1.5% |
Other Assets and Liabilities—Net5 | 0.7% |
TOTAL | 100.0% |
1 | See the Fund's Prospectus and Statement of Additional Information for a description of these security types. |
2 | Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts may consist of futures, forwards, options and swaps. The impact of a derivative contract on the Fund's performance may be larger than its unrealized appreciation (depreciation) or value may indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract's significance to the portfolio. More complete information regarding the Fund's direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report. |
3 | Represents less than 0.1%. |
4 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
5 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—95.5% | |||
Basic Industry - Chemicals—0.7% | |||
$90,000 | Albemarle Corp., 4.15%, 12/1/2024 | $95,482 | |
90,000 | Albemarle Corp., Sr. Unsecd. Note, 5.45%, 12/1/2044 | 106,507 | |
85,000 | Incitec Pivot Finance LLC, Company Guarantee, Series 144A, 6.00%, 12/10/2019 | 90,071 | |
300,000 | RPM International, Inc., Sr. Unsecd. Note, 5.25%, 6/1/2045 | 346,602 | |
TOTAL | 638,662 | ||
Basic Industry - Metals & Mining—2.3% | |||
235,000 | Anglogold Ashanti Holdings PLC, Sr. Note, 6.50%, 4/15/2040 | 248,406 | |
40,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.45%, 3/1/2023 | 40,820 | |
150,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 5.20%, 7/15/2021 | 156,567 | |
130,000 | Gerdau S.A., Company Guarantee, Series 144A, 5.75%, 1/30/2021 | 139,100 | |
250,000 | Gold Fields Orogen Holding BVI Ltd., Company Guarantee, Series 144A, 4.875%, 10/7/2020 | 255,625 | |
280,000 | Newcrest Finance Property Ltd., Sr. Unsecd. Note, Series 144A, 4.20%, 10/1/2022 | 291,897 | |
225,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.50%, 4/15/2023 | 237,405 | |
250,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.75%, 4/16/2040 | 325,813 | |
170,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.30%, 8/1/2032 | 171,088 | |
105,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.55%, 4/15/2026 | 108,957 | |
TOTAL | 1,975,678 | ||
Basic Industry - Paper—1.2% | |||
150,000 | International Paper Co., Sr. Unsecd. Note, 3.00%, 2/15/2027 | 145,677 | |
300,000 | International Paper Co., Sr. Unsecd. Note, 4.40%, 8/15/2047 | 314,504 | |
150,000 | Weyerhaeuser Co., Sr. Unsecd. Note, 3.25%, 3/15/2023 | 152,929 | |
140,000 | Weyerhaeuser Co., Sr. Unsecd. Note, 4.70%, 3/15/2021 | 148,769 | |
100,000 | Weyerhaeuser Co., Sr. Unsecd. Note, 7.375%, 10/1/2019 | 108,404 | |
100,000 | Weyerhaeuser Co., Sr. Unsecd. Note, 7.375%, 3/15/2032 | 138,413 | |
TOTAL | 1,008,696 | ||
Capital Goods - Aerospace & Defense—3.4% | |||
150,000 | Arconic, Inc., Sr. Unsecd. Note, 5.40%, 4/15/2021 | 159,712 | |
230,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, Series 144A, 3.85%, 12/15/2025 | 238,861 | |
360,000 | Embraer Netherlands BV, Sr. Unsecd. Note, 5.05%, 6/15/2025 | 383,400 | |
100,000 | Embraer SA, Sr. Unsecd. Note, 5.15%, 6/15/2022 | 107,250 | |
170,000 | Hexcel Corp., Sr. Unsecd. Note, 3.95%, 2/15/2027 | 173,583 | |
240,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, Series 144A, 3.483%, 12/1/2027 | 239,700 | |
360,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 3.55%, 1/15/2026 | 374,357 | |
740,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 3.25%, 1/15/2028 | 742,427 | |
136,000 | 1 | Textron Financial Corp., Jr. Sub. Note, Series 144A, 3.151%, (3-month USLIBOR +1.735%), 2/15/2042 | 120,360 |
300,000 | Textron, Inc., Sr. Unsecd. Note, 3.875%, 3/1/2025 | 311,382 | |
50,000 | Textron, Inc., Sr. Unsecd. Note, 4.30%, 3/1/2024 | 52,934 | |
TOTAL | 2,903,966 | ||
Capital Goods - Building Materials—0.6% | |||
125,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.20%, 10/1/2024 | 123,844 | |
220,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.55%, 10/1/2027 | 218,088 | |
170,000 | Masco Corp., Sr. Unsecd. Note, 4.50%, 5/15/2047 | 173,521 | |
4,000 | Masco Corp., Sr. Unsecd. Note, 7.125%, 3/15/2020 | 4,382 | |
TOTAL | 519,835 | ||
Capital Goods - Construction Machinery—0.4% | |||
120,000 | AGCO Corp., Sr. Unsecd. Note, 5.875%, 12/1/2021 | 129,638 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Capital Goods - Construction Machinery—continued | |||
$180,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.85%, 11/15/2027 | $179,808 | |
TOTAL | 309,446 | ||
Capital Goods - Diversified Manufacturing—0.9% | |||
140,000 | Lennox International, Inc., Sr. Unsecd. Note, 3.00%, 11/15/2023 | 138,403 | |
60,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.85%, 12/15/2025 | 62,032 | |
275,000 | Valmont Industries, Inc., 5.25%, 10/1/2054 | 285,449 | |
67,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 6.625%, 4/20/2020 | 72,930 | |
240,000 | Wabtec Corp., Sr. Unsecd. Note, 3.45%, 11/15/2026 | 235,088 | |
TOTAL | 793,902 | ||
Capital Goods - Packaging—0.9% | |||
180,000 | Packaging Corp. of America, Sr. Unsecd. Note, 3.65%, 9/15/2024 | 184,791 | |
65,000 | Packaging Corp. of America, Sr. Unsecd. Note, 3.90%, 6/15/2022 | 67,761 | |
80,000 | Packaging Corp. of America, Sr. Unsecd. Note, 4.50%, 11/1/2023 | 86,156 | |
220,000 | Sonoco Products Co., Sr. Unsecd. Note, 5.75%, 11/1/2040 | 265,072 | |
120,000 | WestRock Co., Sr. Unsecd. Note, 4.00%, 3/1/2023 | 124,472 | |
40,000 | WestRock Co., Sr. Unsecd. Note, 4.45%, 3/1/2019 | 40,899 | |
TOTAL | 769,151 | ||
Communications - Cable & Satellite—2.1% | |||
190,000 | CCO Safari II LLC, 6.484%, 10/23/2045 | 222,121 | |
380,000 | Charter Communications Operating LLC, 5.375%, 5/1/2047 | 390,752 | |
300,000 | Charter Communications, Inc., 4.20%, 3/15/2028 | 297,563 | |
165,000 | Cox Communications, Inc., Sr. Unsecd. Note, Series 144A, 3.35%, 9/15/2026 | 161,502 | |
300,000 | Time Warner Cable, Inc., Company Guarantee, 5.00%, 2/1/2020 | 313,220 | |
300,000 | Time Warner Cable, Inc., Company Guarantee, 5.50%, 9/1/2041 | 313,492 | |
50,000 | Time Warner Cable, Inc., Company Guarantee, 8.75%, 2/14/2019 | 53,322 | |
TOTAL | 1,751,972 | ||
Communications - Media & Entertainment—5.1% | |||
100,000 | 21st Century Fox America, Inc., 6.75%, 1/9/2038 | 136,833 | |
200,000 | 21st Century Fox America, Inc., Sr. Unsecd. Note, 3.70%, 10/15/2025 | 209,006 | |
300,000 | 21st Century Fox America, Inc., Sr. Unsecd. Note, 3.70%, 9/15/2024 | 312,402 | |
450,000 | British Sky Broadcasting Group PLC, Series 144A, 3.75%, 9/16/2024 | 469,923 | |
200,000 | CBS Corp., 3.70%, 8/15/2024 | 206,044 | |
200,000 | CBS Corp., 4.90%, 8/15/2044 | 210,804 | |
190,000 | CBS Corp., Sr. Unsecd. Note, Series 144A, 3.70%, 6/1/2028 | 187,716 | |
400,000 | Discovery Communications LLC, Sr. Unsecd. Note, 3.95%, 3/20/2028 | 398,570 | |
370,000 | Discovery Communications LLC, Sr. Unsecd. Note, 4.90%, 3/11/2026 | 395,273 | |
250,000 | Grupo Televisa S.A., 6.625%, 3/18/2025 | 296,460 | |
250,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.00%, 5/13/2045 | 256,709 | |
70,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 4.00%, 3/15/2022 | 72,412 | |
305,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.625%, 5/1/2022 | 315,146 | |
200,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.65%, 11/1/2024 | 205,490 | |
100,000 | S&P Global, Inc., Sr. Note, 4.00%, 6/15/2025 | 105,182 | |
230,000 | S&P Global, Inc., Sr. Note, 4.40%, 2/15/2026 | 249,562 | |
280,000 | WPP Finance 2010, Sr. Unsecd. Note, 5.125%, 9/7/2042 | 302,650 | |
TOTAL | 4,330,182 | ||
Communications - Telecom Wireless—1.6% | |||
100,000 | American Tower Corp., Sr. Unsecd. Note, 4.40%, 2/15/2026 | 105,308 | |
200,000 | American Tower Corp., Sr. Unsecd. Note, 5.00%, 2/15/2024 | 219,321 | |
400,000 | Crown Castle International Corp., Sr. Unsecd. Note, 4.45%, 2/15/2026 | 420,550 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Communications - Telecom Wireless—continued | |||
$300,000 | TELUS Corp., Sr. Unsecd. Note, 2.80%, 2/16/2027 | $284,503 | |
330,000 | Telefonaktiebolaget LM Ericsson, Sr. Unsecd. Note, 4.125%, 5/15/2022 | 332,606 | |
TOTAL | 1,362,288 | ||
Communications - Telecom Wirelines—9.9% | |||
300,000 | AT&T, Inc., Sr. Unsecd. Note, 3.90%, 8/14/2027 | 302,507 | |
750,000 | AT&T, Inc., Sr. Unsecd. Note, 4.25%, 3/1/2027 | 765,767 | |
1,290,000 | AT&T, Inc., Sr. Unsecd. Note, 4.80%, 6/15/2044 | 1,279,598 | |
800,000 | AT&T, Inc., Sr. Unsecd. Note, 5.30%, 8/14/2058 | 805,219 | |
400,000 | AT&T, Inc., Sr. Unsecd. Note, 5.45%, 3/1/2047 | 428,748 | |
245,000 | AT&T, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2041 | 289,729 | |
225,000 | Telefonica Emisiones SAU, Company Guarantee, 5.462%, 2/16/2021 | 243,539 | |
180,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.213%, 3/8/2047 | 204,902 | |
40,000 | Telefonica SA, Company Guarantee, 7.045%, 6/20/2036 | 53,784 | |
750,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 3/16/2027 | 783,312 | |
390,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 361,419 | |
300,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.15%, 3/15/2024 | 315,892 | |
360,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.522%, 9/15/2048 | 355,606 | |
534,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 5.012%, 4/15/2049 | 561,806 | |
1,500,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 5.15%, 9/15/2023 | 1,670,791 | |
TOTAL | 8,422,619 | ||
Consumer Cyclical - Automotive—2.0% | |||
200,000 | Ford Motor Co., Sr. Unsecd. Note, 4.75%, 1/15/2043 | 203,404 | |
200,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.336%, 3/18/2021 | 203,262 | |
470,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.25%, 9/20/2022 | 493,299 | |
200,000 | General Motors Co., Sr. Unsecd. Note, 4.00%, 4/1/2025 | 205,664 | |
455,000 | General Motors Co., Sr. Unsecd. Note, 5.20%, 4/1/2045 | 482,161 | |
110,000 | General Motors Co., Sr. Unsecd. Note, 6.75%, 4/1/2046 | 138,877 | |
TOTAL | 1,726,667 | ||
Consumer Cyclical - Retailers—2.2% | |||
100,000 | Advance Auto Parts, Inc., 4.50%, 12/1/2023 | 105,252 | |
80,000 | Advance Auto Parts, Inc., Company Guarantee, 4.50%, 1/15/2022 | 83,900 | |
130,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.50%, 10/1/2025 | 136,237 | |
55,000 | AutoZone, Inc., Sr. Unsecd. Note, 3.125%, 4/21/2026 | 53,653 | |
50,000 | CVS Health Corp., Sr. Unsecd. Note, 3.875%, 7/20/2025 | 51,563 | |
520,000 | CVS Health Corp., Sr. Unsecd. Note, 5.125%, 7/20/2045 | 597,758 | |
70,000 | Dollar General Corp., Sr. Unsecd. Note, 3.875%, 4/15/2027 | 73,122 | |
310,000 | Dollar General Corp., Sr. Unsecd. Note, 4.15%, 11/1/2025 | 328,606 | |
335,000 | O'Reilly Automotive, Inc., Company Guarantee, 4.875%, 1/14/2021 | 355,945 | |
120,000 | Under Armour, Inc., Sr. Unsecd. Note, 3.25%, 6/15/2026 | 105,226 | |
TOTAL | 1,891,262 | ||
Consumer Non-Cyclical - Food/Beverage—4.7% | |||
125,000 | Bacardi Ltd., Sr. Unsecd. Note, Series 144A, 2.75%, 7/15/2026 | 120,305 | |
290,000 | Danone SA, Sr. Unsecd. Note, Series 144A, 2.947%, 11/2/2026 | 282,838 | |
210,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.50%, 10/1/2026 | 206,283 | |
200,000 | Grupo Bimbo SAB de CV, Sr. Unsecd. Note, Series 144A, 3.875%, 6/27/2024 | 206,804 | |
300,000 | Grupo Bimbo SAB de CV, Sr. Unsecd. Note, Series 144A, 4.50%, 1/25/2022 | 316,975 | |
150,000 | Heineken NV, Sr. Unsecd. Note, Series 144A, 4.35%, 3/29/2047 | 165,534 | |
250,000 | Kerry Group Financial Services, Sr. Unsecd. Note, Series 144A, 3.20%, 4/9/2023 | 252,027 | |
475,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.00%, 6/1/2026 | 457,800 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Food/Beverage—continued | |||
$330,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | $327,907 | |
250,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 3.40%, 8/15/2027 | 253,705 | |
250,000 | Mead Johnson Nutrition Co., Sr. Unsecd. Note, 4.60%, 6/1/2044 | 279,141 | |
280,000 | Mondelez International Holdings Netherlands BV, Sr. Unsecd. Note, Series 144A, 2.00%, 10/28/2021 | 272,620 | |
140,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, Series 144A, 2.65%, 10/3/2021 | 138,203 | |
300,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, Series 144A, 4.25%, 2/1/2027 | 308,340 | |
200,000 | Tyson Foods, Inc., 3.95%, 8/15/2024 | 210,587 | |
185,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.55%, 6/2/2027 | 189,748 | |
TOTAL | 3,988,817 | ||
Consumer Non-Cyclical - Health Care—1.6% | |||
120,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 3.20%, 10/1/2022 | 121,130 | |
50,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 3.875%, 7/15/2023 | 51,840 | |
55,000 | Becton, Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 56,402 | |
300,000 | Becton, Dickinson & Co., Sr. Unsecd. Note, 4.669%, 6/6/2047 | 325,845 | |
260,000 | Becton, Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 285,173 | |
40,000 | Laboratory Corp. of America Holdings, Sr. Unsecd. Note, 3.75%, 8/23/2022 | 41,521 | |
250,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 2.95%, 9/19/2026 | 243,322 | |
250,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 4.10%, 8/15/2047 | 258,406 | |
TOTAL | 1,383,639 | ||
Consumer Non-Cyclical - Pharmaceuticals—3.3% | |||
400,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.75%, 11/30/2026 | 411,392 | |
400,000 | Abbott Laboratories, Sr. Unsecd. Note, 4.90%, 11/30/2046 | 460,042 | |
100,000 | Celgene Corp., Sr. Unsecd. Note, 3.875%, 8/15/2025 | 103,650 | |
375,000 | Celgene Corp., Sr. Unsecd. Note, 5.00%, 8/15/2045 | 426,760 | |
190,000 | Shire Acquisitions Investments Ireland DAC, Sr. Unsecd. Note, 2.40%, 9/23/2021 | 187,155 | |
520,000 | Shire Acquisitions Investments Ireland DAC, Sr. Unsecd. Note, 3.20%, 9/23/2026 | 509,249 | |
600,000 | Teva Pharmaceutical Finance III BV, Sr. Unsecd. Note, 3.15%, 10/1/2026 | 496,167 | |
300,000 | Teva Pharmaceutical Finance III BV, Sr. Unsecd. Note, 4.10%, 10/1/2046 | 229,116 | |
TOTAL | 2,823,531 | ||
Consumer Non-Cyclical - Products—0.5% | |||
400,000 | Hasbro, Inc., Sr. Unsecd. Note, 5.10%, 5/15/2044 | 421,000 | |
Consumer Non-Cyclical - Supermarkets—0.5% | |||
300,000 | Kroger Co., Bond, 6.90%, 4/15/2038 | 388,729 | |
Consumer Non-Cyclical - Tobacco—1.2% | |||
200,000 | Bat Capital Corp., Sr. Unsecd. Note, Series 144A, 4.54%, 8/15/2047 | 211,255 | |
300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 5.85%, 8/15/2045 | 375,722 | |
300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.00%, 8/4/2041 | 406,997 | |
TOTAL | 993,974 | ||
Energy - Independent—2.7% | |||
400,000 | Anadarko Petroleum Corp., Sr. Unsecd. Note, 3.45%, 7/15/2024 | 398,838 | |
180,000 | Anadarko Petroleum Corp., Sr. Unsecd. Note, 5.55%, 3/15/2026 | 202,238 | |
590,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 3.80%, 4/15/2024 | 608,299 | |
140,000 | Cimarex Energy Co., Sr. Unsecd. Note, 3.90%, 5/15/2027 | 143,386 | |
400,000 | EOG Resources, Inc., Sr. Unsecd. Note, 4.15%, 1/15/2026 | 426,325 | |
500,000 | Marathon Oil Corp., Sr. Unsecd. Note, 3.85%, 6/1/2025 | 509,665 | |
TOTAL | 2,288,751 | ||
Energy - Integrated—2.7% | |||
245,000 | Husky Energy, Inc., Sr. Unsecd. Note, 3.95%, 4/15/2022 | 253,689 | |
100,000 | Petro-Canada, Bond, 5.35%, 7/15/2033 | 118,269 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Energy - Integrated—continued | |||
$550,000 | Petroleos Mexicanos, 6.50%, 6/2/2041 | $567,050 | |
1,140,000 | Petroleos Mexicanos, Company Guarantee, 6.00%, 3/5/2020 | 1,210,965 | |
130,000 | Petroleos Mexicanos, Sr. Unsecd. Note, Series 144A, 6.50%, 3/13/2027 | 142,252 | |
TOTAL | 2,292,225 | ||
Energy - Midstream—6.0% | |||
80,000 | Andeavor Logistics LP, Sr. Unsecd. Note, 4.25%, 12/1/2027 | 80,822 | |
100,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 4.50%, 6/1/2025 | 106,613 | |
100,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 5.80%, 6/1/2045 | 125,182 | |
600,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.90%, 2/1/2024 | 635,188 | |
250,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 5.30%, 4/15/2047 | 249,146 | |
250,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 6.125%, 12/15/2045 | 272,207 | |
250,000 | Enterprise Products Operating LLC, 3.90%, 2/15/2024 | 260,791 | |
500,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.85%, 3/15/2044 | 549,668 | |
40,000 | Florida Gas Transmission Co. LLC, Sr. Unsecd. Note, Series 144A, 5.45%, 7/15/2020 | 42,685 | |
495,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 576,810 | |
395,000 | MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027 | 405,216 | |
500,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.95%, 7/13/2047 | 521,772 | |
290,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.90%, 5/25/2027 | 291,924 | |
200,000 | Texas Eastern Transmission LP, Sr. Unsecd. Note, Series 144A, 2.80%, 10/15/2022 | 198,915 | |
790,000 | Williams Partners LP, Sr. Unsecd. Note, 3.90%, 1/15/2025 | 806,169 | |
TOTAL | 5,123,108 | ||
Energy - Oil Field Services—0.7% | |||
35,000 | Nabors Industries, Inc., Company Guarantee, 5.00%, 9/15/2020 | 35,088 | |
100,000 | Nabors Industries, Inc., Sr. Unsecd. Note, 4.625%, 9/15/2021 | 95,750 | |
200,000 | Nabors Industries, Inc., Sr. Unsecd. Note, 5.10%, 9/15/2023 | 188,000 | |
11,000 | Noble Holding International Ltd., Company Guarantee, 4.90%, 8/1/2020 | 10,615 | |
150,000 | Weatherford International Ltd., 7.00%, 3/15/2038 | 126,750 | |
165,000 | Weatherford International Ltd., Sr. Unsecd. Note, 5.95%, 4/15/2042 | 129,525 | |
TOTAL | 585,728 | ||
Energy - Refining—1.0% | |||
300,000 | HollyFrontier Corp., Sr. Unsecd. Note, 5.875%, 4/1/2026 | 334,251 | |
150,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 6.50%, 3/1/2041 | 188,483 | |
190,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 218,283 | |
100,000 | Valero Energy Corp., Sr. Unsecd. Note, 3.65%, 3/15/2025 | 102,824 | |
TOTAL | 843,841 | ||
Financial Institution - Banking—14.9% | |||
210,000 | Associated Banc-Corp., Sub. Note, 4.25%, 1/15/2025 | 216,497 | |
1,600,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, 3.705%, (3-month USLIBOR +1.512%), 4/24/2028 | 1,643,690 |
600,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, Series GMTN, 3.593%, (3-month USLIBOR +1.370%), 7/21/2028 | 610,428 |
750,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.248%, 10/21/2027 | 744,942 | |
200,000 | Bank of America Corp., Sub. Note, Series L, 3.95%, 4/21/2025 | 206,972 | |
800,000 | Bank of America Corp., Sub. Note, Series MTN, 4.00%, 1/22/2025 | 832,868 | |
520,000 | Capital One Financial Corp., Sr. Sub. Note, 4.20%, 10/29/2025 | 535,739 | |
180,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 185,856 | |
250,000 | Citigroup, Inc., 5.50%, 9/13/2025 | 282,018 | |
400,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.75%, 4/25/2022 | 399,544 | |
250,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 2.876%, (3-month USLIBOR +0.950%), 7/24/2023 | 248,979 |
480,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.40%, 5/1/2026 | 483,610 | |
500,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 3.668%, (3-month USLIBOR +1.390%), 7/24/2028 | 507,736 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$350,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.70%, 1/12/2026 | $360,860 | |
400,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 3.887%, (3-month USLIBOR +1.563%), 1/10/2028 | 414,389 |
750,000 | Citigroup, Inc., Sub. Note, 3.875%, 3/26/2025 | 768,765 | |
180,000 | Citizens Financial Group, Inc., Sub. Note, 4.30%, 12/3/2025 | 189,067 | |
150,000 | Citizens Financial Group, Inc., Sub. Note, 4.35%, 8/1/2025 | 156,234 | |
250,000 | Citizens Financial Group, Inc., Sub. Note, Series 144A, 4.15%, 9/28/2022 | 259,509 | |
200,000 | Comerica, Inc., 3.80%, 7/22/2026 | 203,214 | |
250,000 | Compass Bank, Birmingham, Sr. Unsecd. Note, Series BKNT, 2.75%, 9/29/2019 | 250,766 | |
200,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 200,904 | |
155,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 2.875%, 7/27/2020 | 156,722 | |
400,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.905%, (3-month USLIBOR +0.990%), 7/24/2023 | 397,576 |
300,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.50%, 11/16/2026 | 301,990 | |
200,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.691%, (3-month USLIBOR +1.510%), 6/5/2028 | 203,074 |
400,000 | Goldman Sachs Group, Inc., Sub. Note, 4.25%, 10/21/2025 | 418,366 | |
40,000 | Huntington Bancshares, Inc., Sub. Note, 7.00%, 12/15/2020 | 44,757 | |
450,000 | Morgan Stanley, Sub. Note, 5.00%, 11/24/2025 | 493,099 | |
175,000 | Morgan Stanley, Sub. Note, Series MTN, 4.10%, 5/22/2023 | 182,515 | |
410,000 | Regions Financial Corp., Sr. Unsecd. Note, 3.20%, 2/8/2021 | 417,421 | |
200,000 | SunTrust Bank, Sub. Note, 3.30%, 5/15/2026 | 198,385 | |
150,000 | SunTrust Banks, Inc., Sr. Unsecd. Note, 2.90%, 3/3/2021 | 151,777 | |
50,000 | Wilmington Trust Corp., Sub. Note, 8.50%, 4/2/2018 | 50,795 | |
TOTAL | 12,719,064 | ||
Financial Institution - Broker/Asset Mgr/Exchange—1.2% | |||
190,000 | Cantor Fitzgerald LP, Bond, 7.875%, 10/15/2019 | 205,729 | |
180,000 | Jefferies Group LLC, Sr. Unsecd. Note, 5.125%, 1/20/2023 | 195,276 | |
70,000 | Jefferies Group LLC, Sr. Unsecd. Note, 6.875%, 4/15/2021 | 78,360 | |
300,000 | Stifel Financial Corp., 4.25%, 7/18/2024 | 307,668 | |
200,000 | TIAA Asset Management Finance Co. LLC, Sr. Unsecd. Note, Series 144A, 4.125%, 11/1/2024 | 211,340 | |
TOTAL | 998,373 | ||
Financial Institution - Finance Companies—0.7% | |||
300,000 | Discover Bank, Sub. Note, Series BKNT, 8.70%, 11/18/2019 | 329,980 | |
200,000 | Discover Financial Services, Sr. Unsecd. Note, 4.10%, 2/9/2027 | 205,189 | |
70,000 | Macquarie Group Ltd., Sr. Unsecd. Note, Series 144A, 6.00%, 1/14/2020 | 74,608 | |
TOTAL | 609,777 | ||
Financial Institution - Insurance - Life—1.9% | |||
75,000 | AXA-UAP, Sub. Note, 8.60%, 12/15/2030 | 108,094 | |
300,000 | American International Group, Inc., 4.50%, 7/16/2044 | 324,117 | |
255,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 269,745 | |
100,000 | American International Group, Inc., Sr. Unsecd. Note, 4.375%, 1/15/2055 | 102,217 | |
110,000 | Lincoln National Corp., Sr. Note, 7.00%, 6/15/2040 | 152,011 | |
200,000 | Lincoln National Corp., Sr. Unsecd. Note, 6.25%, 2/15/2020 | 215,463 | |
100,000 | MetLife, Inc., Jr. Sub. Note, 10.75%, 8/1/2039 | 167,500 | |
50,000 | Penn Mutual Life Insurance Co., Sr. Note, Series 144A, 7.625%, 6/15/2040 | 69,934 | |
250,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 3.10%, 11/15/2026 | 247,316 | |
TOTAL | 1,656,397 | ||
Financial Institution - Insurance - P&C—1.9% | |||
500,000 | CNA Financial Corp., Sr. Unsecd. Note, 5.875%, 8/15/2020 | 541,131 | |
120,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 5.125%, 4/15/2022 | 131,064 | |
120,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 6.625%, 4/15/2042 | 163,025 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Insurance - P&C—continued | |||
$60,000 | Liberty Mutual Group, Inc., Company Guarantee, Series 144A, 5.00%, 6/1/2021 | $64,215 | |
310,000 | Liberty Mutual Group, Inc., Series 144A, 4.95%, 5/1/2022 | 334,790 | |
55,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, Series 144A, 4.25%, 6/15/2023 | 58,017 | |
195,000 | Nationwide Mutual Insurance Co., Sub. Note, Series 144A, 9.375%, 8/15/2039 | 332,409 | |
TOTAL | 1,624,651 | ||
Financial Institution - REIT - Apartment—1.1% | |||
160,000 | Mid-America Apartment Communities LP, 4.00%, 11/15/2025 | 165,959 | |
150,000 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.75%, 6/15/2024 | 154,354 | |
100,000 | Post Apartment Homes LP, Sr. Unsecd. Note, 3.375%, 12/1/2022 | 101,471 | |
70,000 | UDR, Inc., Company Guarantee, Series 0001, 4.625%, 1/10/2022 | 74,299 | |
250,000 | UDR, Inc., Series MTN, 3.75%, 7/1/2024 | 257,449 | |
200,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.50%, 1/15/2028 | 199,979 | |
TOTAL | 953,511 | ||
Financial Institution - REIT - Healthcare—1.2% | |||
100,000 | Health Care REIT, Inc., Sr. Unsecd. Note, 4.95%, 1/15/2021 | 106,321 | |
400,000 | Healthcare Trust of America, 3.70%, 4/15/2023 | 409,368 | |
300,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.95%, 1/15/2028 | 297,033 | |
200,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.30%, 3/15/2027 | 203,815 | |
TOTAL | 1,016,537 | ||
Financial Institution - REIT - Office—0.4% | |||
100,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.90%, 6/15/2023 | 103,455 | |
90,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.95%, 1/15/2027 | 92,083 | |
100,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.95%, 1/15/2028 | 102,286 | |
60,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.60%, 4/1/2022 | 63,764 | |
TOTAL | 361,588 | ||
Financial Institution - REIT - Other—0.4% | |||
300,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.60%, 4/1/2024 | 313,747 | |
Financial Institution - REIT - Retail—0.9% | |||
140,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.80%, 10/1/2026 | 132,367 | |
80,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.40%, 11/1/2022 | 81,661 | |
290,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.80%, 4/1/2027 | 293,370 | |
200,000 | Tanger Properties LP, Sr. Unsecd. Note, 3.125%, 9/1/2026 | 190,680 | |
45,000 | Tanger Properties LP, Sr. Unsecd. Note, 3.875%, 12/1/2023 | 45,919 | |
TOTAL | 743,997 | ||
Technology—3.8% | |||
67,000 | BMC Software, Inc., 7.25%, 6/1/2018 | 68,172 | |
60,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, Series 144A, 4.42%, 6/15/2021 | 62,564 | |
840,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, Series 144A, 6.02%, 6/15/2026 | 927,491 | |
190,000 | Equifax, Inc., Sr. Unsecd. Note, 2.30%, 6/1/2021 | 185,592 | |
550,000 | Hewlett Packard Enterprise Co., Sr. Unsecd. Note, 3.60%, 10/15/2020 | 561,870 | |
100,000 | Ingram Micro, Inc., Sr. Unsecd. Note, 5.00%, 8/10/2022 | 98,128 | |
70,000 | Ingram Micro, Inc., Sr. Unsecd. Note, 5.45%, 12/15/2024 | 69,608 | |
450,000 | Keysight Technologies, Inc., 4.55%, 10/30/2024 | 477,988 | |
350,000 | Molex Electronics Technologies LLC, Unsecd. Note, Series 144A, 3.90%, 4/15/2025 | 357,344 | |
80,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.80%, 4/1/2026 | 86,675 | |
220,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 9/12/2022 | 229,892 | |
75,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.875%, 1/15/2019 | 76,814 | |
TOTAL | 3,202,138 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Transportation - Railroads—0.8% | |||
$100,000 | Canadian Pacific Railway Co., 7.125%, 10/15/2031 | $137,106 | |
200,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 4.45%, 3/15/2023 | 213,534 | |
305,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.00%, 5/15/2023 | 302,684 | |
TOTAL | 653,324 | ||
Transportation - Services—0.9% | |||
330,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, Series 144A, 5.625%, 3/15/2042 | 390,730 | |
400,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, Series 144A, 3.30%, 4/1/2021 | 407,670 | |
TOTAL | 798,400 | ||
Utility - Electric—6.0% | |||
130,000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.85%, 10/1/2025 | 135,943 | |
80,000 | Ameren Corp., Sr. Unsecd. Note, 3.65%, 2/15/2026 | 82,102 | |
95,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series F, 2.95%, 12/15/2022 | 96,444 | |
200,000 | Appalachian Power Co., Sr. Unsecd. Note, 7.00%, 4/1/2038 | 285,413 | |
225,000 | Cleveland Electric Illuminating Co., Sr. Unsecd. Note, 5.95%, 12/15/2036 | 281,028 | |
240,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.65%, 9/1/2026 | 230,336 | |
300,000 | EDP Finance BV, Sr. Unsecd. Note, Series 144A, 3.625%, 7/15/2024 | 302,374 | |
300,000 | 1 | Electricite de France SA, Jr. Sub. Note, Series 144A, 5.625%, 7/22/2066 | 310,875 |
390,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.75%, 6/15/2046 | 428,310 | |
200,000 | Enel Finance International NV, Sr. Unsecd. Note, Series 144A, 4.75%, 5/25/2047 | 217,242 | |
100,000 | Exelon Corp., Sr. Unsecd. Note, 3.95%, 6/15/2025 | 104,352 | |
390,000 | Fortis, Inc., Sr. Unsecd. Note, 3.055%, 10/4/2026 | 377,173 | |
240,000 | Kansas City Power and Light Co., Sr. Unsecd. Note, 3.65%, 8/15/2025 | 245,992 | |
290,000 | 1 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.25%, (3-month USLIBOR +3.630%), 4/20/2046 | 311,976 |
200,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.55%, 5/1/2027 | 204,065 | |
300,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.95%, 3/30/2048 | 308,372 | |
100,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 109,969 | |
250,000 | Northeast Utilities, Sr. Unsecd. Note, Series H, 3.15%, 1/15/2025 | 251,268 | |
200,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 3.95%, 3/15/2024 | 209,474 | |
200,000 | PPL WEM Holdings PLC, Sr. Unsecd. Note, Series 144A, 5.375%, 5/1/2021 | 214,479 | |
30,000 | Progress Energy, Inc., 7.05%, 3/15/2019 | 31,677 | |
80,000 | TECO Finance, Inc., Company Guarantee, 5.15%, 3/15/2020 | 84,237 | |
250,000 | UIL Holdings Corp., Sr. Unsecd. Note, 4.625%, 10/1/2020 | 261,936 | |
TOTAL | 5,085,037 | ||
Utility - Natural Gas—1.2% | |||
80,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.50%, 9/15/2040 | 87,809 | |
200,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.75%, 3/1/2023 | 202,829 | |
130,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.95%, 9/15/2027 | 129,704 | |
90,000 | National Fuel Gas Co., Sr. Unsecd. Note, 4.90%, 12/1/2021 | 94,851 | |
200,000 | Sempra Energy, Sr. Unsecd. Note, 3.55%, 6/15/2024 | 205,212 | |
250,000 | Southern Natural Gas, Sr. Unsecd. Note, Series 144A, 4.80%, 3/15/2047 | 275,794 | |
TOTAL | 996,199 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $77,774,271) | 81,270,409 | ||
FOREIGN GOVERNMENTS/AGENCIES—2.3% | |||
Sovereign—2.3% | |||
850,000 | Colombia, Government of, Sr. Unsecd. Note, 4.375%, 7/12/2021 | 896,325 | |
200,000 | Mexico, Government of, 4.75%, 3/8/2044 | 202,200 | |
206,000 | Mexico, Government of, 6.75%, 9/27/2034 | 267,800 | |
300,000 | Mexico, Government of, Sr. Unsecd. Note, 3.60%, 1/30/2025 | 304,050 |
Principal Amount or Shares | Value | ||
FOREIGN GOVERNMENTS/AGENCIES—continued | |||
Sovereign—continued | |||
190,000 | Peru, Government of, 6.55%, 3/14/2037 | $256,975 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $1,797,773) | 1,927,350 | ||
REPURCHASE AGREEMENT—1.5% | |||
Finance - Banking—1.5% | |||
$1,241,000 | Interest in $950,000,000 joint repurchase agreement 1.42%, dated 12/29/2017 under which Bank of America, N.A. will repurchase securities provided as collateral for $950,149,889 on 1/2/2018. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities maturing on 7/20/2046 and the market value of those underlying securities was $969,152,887. (AT COST) | 1,241,000 | |
TOTAL INVESTMENT IN SECURITIES—99.3% (IDENTIFIED COST $80,813,044)2 | 84,438,759 | ||
OTHER ASSETS AND LIABILITIES-NET—0.7%3 | 613,469 | ||
TOTAL NET ASSETS—100% | $85,052,228 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
4U.S. Treasury Notes 5-Year Long Futures | 15 | $1,742,461 | March 2018 | $(8,121) |
4U.S. Treasury Notes 10-Year Short Futures | 80 | $9,923,750 | March 2018 | $62,427 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $54,306 |
1 | Floating/variable note with current rate and current maturity or next reset date shown. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
2 | Also represents cost for federal tax purposes. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
4 | Non-income-producing security. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $81,270,409 | $— | $81,270,409 |
Foreign Governments/Agencies | — | 1,927,350 | — | 1,927,350 |
Repurchase Agreement | — | 1,241,000 | — | 1,241,000 |
TOTAL SECURITIES | $— | $84,438,759 | $— | $84,438,759 |
Other Financial Instruments | ||||
Assets | ||||
Futures | $62,427 | $— | $— | $62,427 |
Liabilities | ||||
Futures | (8,121) | — | — | (8,121) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $54,306 | $— | $— | $54,306 |
BKNT | —Bank Notes |
GMTN | —Global Medium Term Note |
LIBOR | —London Interbank Offered Rate |
MTN | —Medium Term Note |
REIT | —Real Estate Investment Trust |
Year Ended December 31 | 2017 | 2016 | 2015 | 2014 | 2013 |
Net Asset Value, Beginning of Period | $10.71 | $10.29 | $11.05 | $10.70 | $11.41 |
Income From Investment Operations: | |||||
Net investment income | 0.45 | 0.46 | 0.47 | 0.49 | 0.50 |
Net realized and unrealized gain (loss) on investments and futures contracts | 0.39 | 0.42 | (0.76) | 0.37 | (0.62) |
TOTAL FROM INVESTMENT OPERATIONS | 0.84 | 0.88 | (0.29) | 0.86 | (0.12) |
Less Distributions: | |||||
Distributions from net investment income | (0.45) | (0.46) | (0.47) | (0.49) | (0.50) |
Distributions from net realized gain on investments and futures contracts | — | — | — | (0.02) | (0.09) |
TOTAL DISTRIBUTIONS | (0.45) | (0.46) | (0.47) | (0.51) | (0.59) |
Net Asset Value, End of Period | $11.10 | $10.71 | $10.29 | $11.05 | $10.70 |
Total Return1 | 8.01% | 8.61% | (2.71)% | 8.08% | (1.02)% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 4.14% | 4.28% | 4.39% | 4.39% | 4.57% |
Expense waiver/reimbursement3 | 0.29% | 0.33% | 0.34% | 0.37% | 0.41% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $85,052 | $78,255 | $72,610 | $67,937 | $49,635 |
Portfolio turnover | 22% | 25% | 26% | 11% | 31% |
1 | Based on net asset value. |
2 | The Adviser has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses, incurred by the Fund. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in securities at value (identified cost $80,813,044) | $84,438,759 | |
Cash | 921 | |
Restricted cash (Note 2) | 76,969 | |
Income receivable | 931,541 | |
Receivable for shares sold | 409 | |
TOTAL ASSETS | 85,448,599 | |
Liabilities: | ||
Payable for shares redeemed | $77 | |
Payable for daily variation margin on futures contracts | 14,814 | |
Income distribution payable | 284,895 | |
Payable to adviser (Note 5) | 3,972 | |
Payable for administrative fees (Note 5) | 560 | |
Payable for auditing fees | 30,430 | |
Payable for portfolio accounting fees | 46,527 | |
Accrued expenses (Note 5) | 15,096 | |
TOTAL LIABILITIES | 396,371 | |
Net assets for 7,664,212 shares outstanding | $85,052,228 | |
Net Assets Consist of: | ||
Paid-in capital | $81,208,141 | |
Net unrealized appreciation of investments and futures contracts | 3,680,021 | |
Accumulated net realized gain on investments and futures contracts | 157,023 | |
Undistributed net investment income | 7,043 | |
TOTAL NET ASSETS | $85,052,228 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$85,052,228 ÷ 7,664,212 shares outstanding, no par value, unlimited shares authorized | $11.10 |
Investment Income: | ||
Interest | $3,467,163 | |
Expenses: | ||
Administrative fee (Note 5) | $66,359 | |
Custodian fees | 6,709 | |
Transfer agent fee | 8,814 | |
Directors'/Trustees' fees (Note 5) | 2,102 | |
Auditing fees | 30,430 | |
Legal fees | 8,640 | |
Portfolio accounting fees | 51,557 | |
Share registration costs | 21,469 | |
Printing and postage | 16,864 | |
Commitment fee (Note 7) | 15,490 | |
Miscellaneous (Note 5) | 11,691 | |
TOTAL EXPENSES | 240,125 | |
Reimbursement: | ||
Reimbursement of other operating expenses (Note 5) | $(240,125) | |
Net expenses | — | |
Net investment income | 3,467,163 | |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||
Net realized gain on investments | 843,408 | |
Net realized loss on futures contracts | (97,492) | |
Net change in unrealized appreciation of investments | 2,140,294 | |
Net change in unrealized appreciation of futures contracts | 32,534 | |
Net realized and unrealized gain on investments and futures contracts | 2,918,744 | |
Change in net assets resulting from operations | $6,385,907 |
Year Ended December 31 | 2017 | 2016 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $3,467,163 | $3,320,333 |
Net realized gain on investments and futures contracts | 745,916 | 321,739 |
Net change in unrealized appreciation/depreciation of investments and futures contracts | 2,172,828 | 2,686,865 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 6,385,907 | 6,328,937 |
Distributions to Shareholders: | ||
Distributions from net investment income | (3,469,545) | (3,319,859) |
Share Transactions: | ||
Proceeds from sale of shares | 16,626,012 | 11,616,324 |
Net asset value of shares issued to shareholders in payment of distributions declared | 48,429 | 27,765 |
Cost of shares redeemed | (12,793,855) | (9,007,829) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 3,880,586 | 2,636,260 |
Change in net assets | 6,796,948 | 5,645,338 |
Net Assets: | ||
Beginning of period | 78,255,280 | 72,609,942 |
End of period (including undistributed net investment income of $7,043 and $9,425, respectively) | $85,052,228 | $78,255,280 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
■ | With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts; |
■ | Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; |
■ | Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry. |
Liability | ||
Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||
Interest rate contracts | Payable for daily variation margin on futures contracts | $(54,306)* |
* | Includes cumulative appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day's variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(97,492) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $32,534 |
Year Ended December 31 | 2017 | 2016 |
Shares sold | 1,519,886 | 1,081,151 |
Shares issued to shareholders in payment of distributions declared | 4,407 | 2,562 |
Shares redeemed | (1,166,331) | (833,479) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 357,962 | 250,234 |
2017 | 2016 | |
Ordinary income | $3,469,545 | $3,319,859 |
Undistributed ordinary income | $7,043 |
Net unrealized appreciation | $3,625,715 |
Undistributed long-term capital gains | $211,329 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.150% | on the first $5 billion |
0.125% | on the next $5 billion |
0.100% | on the next $10 billion |
0.075% | on assets in excess of $20 billion |
Purchases | $23,169,765 |
Sales | $18,097,997 |
February 22, 2018
Beginning Account Value 7/1/2017 | Ending Account Value 12/31/2017 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,030.90 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,025.20 | $0.00 |
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 reflect the one-half-year period). The Adviser has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses, incurred by the Fund. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 President and Trustee Indefinite Term Began serving: October 2005 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of the Funds in the Federated Fund Family; President, Chief Executive Officer and Director, Federated Investors, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
John B. Fisher* Birth Date: May 16, 1956 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of certain of the Funds in the Federated Fund Family; Vice President, Federated Investors, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President of some of the Funds in the Federated Fund Complex and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; President and CEO of Passport Research, Ltd.; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
* | Reasons for “interested” status: J. Christopher Donahue and John B. Fisher are interested due to their beneficial ownership of shares of Federated Investors, Inc. and due to positions they hold with Federated and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, Current Chair of the Compensation Committee, KLX Corp. Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO, The Collins Group, Inc. (a private equity firm). Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee of the Federated Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Chair of the Audit Committee, Governance Committee, Publix Super Markets, Inc.; Director, Member of the Audit Committee and Technology Committee of Equifax, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough is an Executive Committee member of the United States Golf Association, he serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama and is on the Business School Board of Visitors for Wake Forest University. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Fund Family; Dean of the Duquesne University School of Law; Professor and Adjunct Professor of Law, Duquesne University School of Law; formerly, Interim Dean of the Duquesne University School of Law; Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously served as: Associate General Secretary, Diocese of Pittsburgh; a member of the Superior Court of Pennsylvania; and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green also currently holds the positions on either a public or not for profit Board of Directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Director, Saint Vincent College; Member, Pennsylvania State Board of Education (public); and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.), where she currently serves as a member of the Compensation, Nominating and Corporate Governance Committee (Chair) and the Health, Safety and Environmental Committee. Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Regent, St. Vincent Seminary; and Director and Chair, Cardinal Wuerl North Catholic High School, Inc. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 2005 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant. Other Directorships Held: None. Qualifications: Mr. Mansfield has served as a Marine Corps officer and in several banking, business management, educational roles and directorship positions throughout his long career. He remains active as a Management Consultant. |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CNX Resources Corporation (formerly known as CONSOL Energy Inc.) Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CNX Resources Corporation (formerly known as CONSOL Energy Inc.); and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: November 2005 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Investors, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: October 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Investors, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Investors, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Investors, Inc. |
Richard B. Fisher Birth Date: May 17, 1923 VICE CHAIRMAN Officer since: October 2005 | Principal Occupations: Vice Chairman or Vice President of some of the Funds in the Federated Fund Family; Vice Chairman, Federated Investors, Inc.; Chairman, Federated Securities Corp. Previous Positions: President and Director or Trustee of some of the Funds in the Federated Fund Family; Executive Vice President, Federated Investors, Inc.; Director and Chief Executive Officer, Federated Securities Corp. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Fund Family; Vice President and Chief Compliance Officer of Federated Investors, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Investors, Inc. Prior to joining Federated, Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: September 2006 | Principal Occupations: Robert J. Ostrowski joined Federated in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated's taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
2018 ©Federated Investors, Inc.
Ticker FHYSX |
1 | Please see the footnotes to the line graphs below for definitions of, and further information about, the BBHY2%ICI. |
2 | 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. |
3 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.* |
4 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
5 | Credit Suisse High Yield Bond Index serves as a benchmark to evaluate the performance of low-quality bonds. Low-quality is defined as those bonds in the range from “BB” to “CCC” and defaults.* |
* | The index is unmanaged, and it is not possible to invest directly in an index. |
Federated High-Yield Strategy Portfolio | NA | BBHY2%ICI | |
F | NA | I | |
12/24/2008 | 10,000 | 10,000 | |
12/31/2008 | 10,448 | 10,501 | |
12/31/2009 | 15,901 | 16,672 | |
12/31/2010 | 18,285 | 19,163 | |
12/31/2011 | 19,399 | 20,113 | |
12/31/2012 | 22,393 | 23,286 | |
12/31/2013 | 24,145 | 25,018 | |
12/31/2014 | 24,996 | 25,633 | |
12/31/2015 | 24,555 | 24,497 | |
12/31/2016 | 28,448 | 28,693 | |
12/31/2017 | 30,581 | 30,846 |
1 Year | 5 Years | Start of Performance* | |
Fund | 7.50% | 6.43% | 13.19% |
BBHY2%ICI | 7.50% | 5.78% | 13.31% |
* | The Fund's start of performance date was December 24, 2008. |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBHY2%ICI has been adjusted to reflect reinvestment of dividends on securities in the index. |
2 | The BBHY2%ICI is an issuer-constrained version of the Bloomberg Barclays 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 BBHY2%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. |
Index Classification | Percentage of Total Net Assets2 |
Health Care | 10.3% |
Technology | 9.6% |
Cable Satellite | 8.2% |
Packaging | 6.4% |
Independent Energy | 5.9% |
Media Entertainment | 5.6% |
Midstream | 5.4% |
Wireless Communications | 4.2% |
Gaming | 3.9% |
Pharmaceuticals | 3.9% |
Metals & Mining | 2.5% |
Other3 | 29.8% |
Cash Equivalents4 | 4.0% |
Other Assets and Liabilities—Net5 | 0.3% |
TOTAL | 100.0% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (BBHY2%ICI). Individual portfolio securities that are not included in the BBHY2%ICI are assigned to an index classification by the Fund's Adviser. |
2 | As of the date specified above, the Fund owned shares of an affiliated investment company. For purposes of this table, the affiliated investment company is not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata 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 the table will differ from those presented on the Portfolio of Investments. |
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 “Other.” |
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. |
Principal Amount or Shares | Value | ||
INVESTMENT COMPANY—100.2% | |||
Diversified—100.2% | |||
6,541,012 | 1 | High Yield Bond Portfolio (IDENTIFIED COST $42,816,259) | $41,862,475 |
REPURCHASE AGREEMENT—0.8% | |||
$311,000 | Interest in $950,000,000 joint repurchase agreement 1.42%, dated 12/29/2017 under which Bank of America, N.A. will repurchase securities provided as collateral for $950,149,889 on 1/2/2018. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities maturing on 7/20/2046 and the market value of those underlying securities was $969,152,887. (IDENTIFIED COST $311,000) | 311,000 | |
TOTAL INVESTMENT IN SECURITIES—101.0% (IDENTIFIED COST $43,127,259)2 | 42,173,475 | ||
OTHER ASSETS AND LIABILITIES - NET—(1.0)%3 | (404,803) | ||
TOTAL NET ASSETS—100% | $41,768,672 |
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 with this Report. |
High Yield Bond Portfolio | |
Balance of Shares Held 12/31/2016 | 6,039,739 |
Purchases/Additions | 1,485,599 |
Sales/Reductions | (984,326) |
Balance of Shares Held 12/31/2017 | 6,541,012 |
Value | $41,862,475 |
Change in Unrealized Appreciation/Depreciation | $620,841 |
Net Realized Gain/(Loss) | $(160,827) |
Dividend Income | $2,501,289 |
2 | The cost of investments for federal tax purposes amounts to $43,309,739. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Year Ended December 31 | 2017 | 2016 | 2015 | 2014 | 2013 |
Net Asset Value, Beginning of Period | $13.15 | $12.13 | $13.35 | $13.92 | $14.05 |
Income From Investment Operations: | |||||
Net investment income | 0.80 | 0.83 | 0.86 | 0.93 | 1.06 |
Net realized and unrealized gain (loss) on investments | 0.16 | 1.04 | (1.06) | (0.44) | 0.001 |
TOTAL FROM INVESTMENT OPERATIONS | 0.96 | 1.87 | (0.20) | 0.49 | 1.06 |
Less Distributions: | |||||
Distributions from net investment income | (0.80) | (0.83) | (0.87) | (0.92) | (1.06) |
Distributions from net realized gain on investments | (0.02) | (0.02) | (0.15) | (0.14) | (0.13) |
TOTAL DISTRIBUTIONS | (0.82) | (0.85) | (1.02) | (1.06) | (1.19) |
Net Asset Value, End of Period | $13.29 | $13.15 | $12.13 | $13.35 | $13.92 |
Total Return2 | 7.50% | 15.85% | (1.76)% | 3.52% | 7.83% |
Ratios to Average Net Assets: | |||||
Net expenses3 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 6.02% | 6.52% | 6.57% | 6.76% | 7.41% |
Expense waiver/reimbursement4 | 0.41% | 0.46% | 0.49% | 0.61% | 0.77% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $41,769 | $38,324 | $35,258 | $29,735 | $22,695 |
Portfolio turnover | 15% | 20% | 25% | 24% | 20% |
1 | Represents less than $0.01. |
2 | Based on net asset value. |
3 | The Adviser has contractually agreed to reimburse all expenses of the Fund, excluding extraordinary expenses. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in securities, at value including $41,862,475 of investment in an affiliated holding (identified cost $43,127,259) | $42,173,475 | |
Cash | 952 | |
Income receivable | 207,462 | |
Receivable for investments sold | 100,000 | |
Receivable for shares sold | 1,018 | |
TOTAL ASSETS | 42,482,907 | |
Liabilities: | ||
Payable for investments purchased | $207,425 | |
Payable for shares redeemed | 243,348 | |
Income distribution payable | 202,316 | |
Payable to adviser (Note 5) | 343 | |
Payable for administrative fees (Note 5) | 277 | |
Payable for auditing fees | 27,740 | |
Accrued expenses (Note 5) | 32,786 | |
TOTAL LIABILITIES | 714,235 | |
Net assets for 3,143,325 shares outstanding | $41,768,672 | |
Net Assets Consist of: | ||
Paid-in capital | $42,967,353 | |
Net unrealized depreciation of investments | (953,784) | |
Accumulated net realized loss on investments | (245,455) | |
Undistributed net investment income | 558 | |
TOTAL NET ASSETS | $41,768,672 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$41,768,672 ÷ 3,143,325 shares outstanding, no par value, unlimited shares authorized | $13.29 |
Investment Income: | ||
Dividends received from an affiliated holding (see footnotes to Portfolio of Investments) | $2,501,289 | |
Interest | 2,310 | |
TOTAL INCOME | 2,503,599 | |
Expenses: | ||
Administrative fee (Note 5) | $32,955 | |
Custodian fees | 4,867 | |
Transfer agent fee | 5,275 | |
Directors'/Trustees' fees (Note 5) | 1,742 | |
Auditing fees | 27,740 | |
Legal fees | 8,584 | |
Portfolio accounting fees | 44,151 | |
Share registration costs | 21,440 | |
Printing and postage | 17,919 | |
Miscellaneous (Note 5) | 5,074 | |
TOTAL EXPENSES | 169,747 | |
Reimbursement of other operating expenses (Notes 2 and 5) | (169,747) | |
Net expenses | — | |
Net investment income | 2,503,599 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized loss on investments in an affiliated holding | (160,827) | |
Net change in unrealized depreciation on investments in an affiliated holding | 620,841 | |
Net realized and unrealized gain on investments | 460,014 | |
Change in net assets resulting from operations | $2,963,613 |
Year Ended December 31 | 2017 | 2016 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $2,503,599 | $2,326,294 |
Net realized gain (loss) on investments | (160,827) | 43,157 |
Net change in unrealized appreciation/depreciation of investments | 620,841 | 2,855,051 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 2,963,613 | 5,224,502 |
Distributions to Shareholders: | ||
Distributions from net investment income | (2,504,204) | (2,334,649) |
Distributions from net realized gain on investments | (74,298) | (50,471) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (2,578,502) | (2,385,120) |
Share Transactions: | ||
Proceeds from sale of shares | 11,092,990 | 6,965,406 |
Net asset value of shares issued to shareholders in payment of distributions declared | 47,635 | 28,234 |
Cost of shares redeemed | (8,081,287) | (6,766,576) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 3,059,338 | 227,064 |
Change in net assets | 3,444,449 | 3,066,446 |
Net Assets: | ||
Beginning of period | 38,324,223 | 35,257,777 |
End of period (including undistributed net investment income of $558 and $1,163, respectively) | $41,768,672 | $38,324,223 |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | 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. |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
■ | With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts; |
■ | Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; |
■ | Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry. |
Year Ended December 31 | 2017 | 2016 |
Shares sold | 830,483 | 547,775 |
Shares issued to shareholders in payment of distributions declared | 3,559 | 2,204 |
Shares redeemed | (605,966) | (540,700) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 228,076 | 9,279 |
2017 | 2016 | |
Ordinary income1 | $2,534,311 | $2,385,120 |
Long-term capital gains | $44,191 | $— |
1 | For tax purposes, short-term capital gain distributions are considered ordinary income distributions. |
Undistributed ordinary income | $558 |
Net unrealized depreciation | $(1,136,264) |
Capital loss deferrals | $(62,975) |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.150% | on the first $5 billion |
0.125% | on the next $5 billion |
0.100% | on the next $10 billion |
0.075% | on assets in excess of $20 billion |
Purchases | $9,544,313 |
Sales | $6,313,000 |
February 22, 2018
Beginning Account Value 7/1/2017 | Ending Account Value 12/31/2017 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,022.60 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,025.20 | $0.00 |
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 reflect the one-half-year period). The Adviser has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses incurred by the Fund. |
High Yield Bond Portfolio
1 | Please see the footnotes to the line graphs below for definitions of, and further information about, the BBHY2%ICI. |
2 | 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. |
3 | The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.* |
4 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
5 | Credit Suisse High Yield Bond Index serves as a benchmark to evaluate the performance of low-quality bonds. Low-quality is defined as those bonds in the range from “BB” to “CCC” and defaults.* |
* | The index is unmanaged, and it is not possible to invest directly in an index. |
High Yield Bond Portfolio | NA | BBHY2%ICI | |
F | NA | I | |
12/31/2007 | 10,000 | 10,000 | |
12/31/2008 | 7,647 | 7,412 | |
12/31/2009 | 11,608 | 11,767 | |
12/31/2010 | 13,356 | 13,525 | |
12/31/2011 | 14,162 | 14,196 | |
12/31/2012 | 16,349 | 16,435 | |
12/31/2013 | 17,624 | 17,658 | |
12/31/2014 | 18,247 | 18,092 | |
12/31/2015 | 17,917 | 17,290 | |
12/31/2016 | 20,767 | 20,252 | |
12/31/2017 | 22,335 | 21,771 |
1 Year | 5 Years | 10 Years | |
Fund | 7.55% | 6.44% | 8.37% |
BBHY2%ICI | 7.50% | 5.78% | 8.09% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBHY2%ICI has been adjusted to reflect reinvestment of dividends on securities in the index. |
2 | The BBHY2%ICI is an issuer-constrained version of the Bloomberg Barclays 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 BBHY2%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. |
Index Classification | Percentage of Total Net Assets |
Health Care | 10.3% |
Technology | 9.6% |
Cable Satellite | 8.2% |
Packaging | 6.4% |
Independent Energy | 5.9% |
Media Entertainment | 5.6% |
Midstream | 5.4% |
Wireless Communications | 4.2% |
Gaming | 3.9% |
Pharmaceuticals | 3.9% |
Metals & Mining | 2.5% |
Other2 | 29.8% |
Cash Equivalents3 | 3.2% |
Other Assets and Liabilities—Net4 | 1.1% |
TOTAL | 100.0% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (BBHY2%ICI). Individual portfolio securities that are not included in the BBHY2%ICI are assigned to an index classification by the Fund's Adviser. |
2 | 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 “Other.” |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—95.7% | |||
Aerospace/Defense—1.1% | |||
$3,750,000 | Engility Corp., Sr. Unsecd. Note, 8.875%, 9/1/2024 | $4,021,875 | |
2,950,000 | TransDigm, Inc., 5.50%, 10/15/2020 | 2,990,563 | |
8,850,000 | TransDigm, Inc., Sr. Sub. Note, 6.00%, 7/15/2022 | 9,071,250 | |
4,475,000 | TransDigm, Inc., Sr. Sub. Note, 6.50%, 7/15/2024 | 4,598,062 | |
1,625,000 | TransDigm, Inc., Sr. Sub. Note, 6.50%, 5/15/2025 | 1,665,625 | |
1,075,000 | TransDigm, Inc., Sr. Sub., 6.375%, 6/15/2026 | 1,092,469 | |
TOTAL | 23,439,844 | ||
Automotive—2.2% | |||
4,825,000 | Adient Global Holdings Ltd., Sr. Unsecd. Note, Series 144A, 4.875%, 8/15/2026 | 4,981,812 | |
2,050,000 | Allison Transmission, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 10/1/2024 | 2,119,187 | |
6,125,000 | American Axle & Manufacturing, Inc., Sr. Unsecd. Note, Series 144A, 6.50%, 4/1/2027 | 6,500,156 | |
4,350,000 | BCD Acquisition, Inc., Series 144A, 9.625%, 9/15/2023 | 4,795,875 | |
5,000,000 | Dana Financing Lux Sarl, Series 144A, 6.50%, 6/1/2026 | 5,431,250 | |
1,250,000 | Dana Financing Lux Sarl, Sr. Unsecd. Note, Series 144A, 5.75%, 4/15/2025 | 1,320,312 | |
2,400,000 | Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 4.875%, 3/15/2027 | 2,463,000 | |
2,600,000 | Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 5.00%, 5/31/2026 | 2,690,610 | |
1,000,000 | Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 5.125%, 11/15/2023 | 1,045,890 | |
2,025,000 | J.B. Poindexter & Co., Inc., Sr. Unsecd. Note, Series 144A, 9.00%, 4/1/2022 | 2,106,000 | |
825,000 | Schaeffler Verwaltung Zw, Series 144A, 4.50%, 9/15/2023 | 843,051 | |
6,350,000 | Schaeffler Verwaltung Zw, Series 144A, 4.75%, 9/15/2026 | 6,461,125 | |
2,416,000 | TI Group Auto Systems LLC, Sr. Unsecd. Note, Series 144A, 8.75%, 7/15/2023 | 2,603,240 | |
575,000 | Tenneco, Inc., Sr. Unsecd. Note, 5.00%, 7/15/2026 | 590,813 | |
675,000 | Tenneco, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2024 | 710,438 | |
967,000 | ZF North America Capital, Inc., Series 144A, 4.75%, 4/29/2025 | 1,027,438 | |
TOTAL | 45,690,197 | ||
Banking—0.8% | |||
7,775,000 | Ally Financial, Inc., Sr. Sub. Note, 5.75%, 11/20/2025 | 8,503,906 | |
2,550,000 | Ally Financial, Inc., Sr. Unsecd. Note, 4.625%, 3/30/2025 | 2,687,063 | |
4,700,000 | Ally Financial, Inc., Sr. Unsecd. Note, 5.125%, 9/30/2024 | 5,093,625 | |
TOTAL | 16,284,594 | ||
Building Materials—2.0% | |||
2,331,000 | American Builders & Contractors Supply Co., Inc., Series 144A, 5.625%, 4/15/2021 | 2,383,447 | |
900,000 | American Builders & Contractors Supply Co., Inc., Sr. Unsecd. Note, Series 144A, 5.75%, 12/15/2023 | 949,500 | |
2,125,000 | Beacon Roofing Supply, Inc., 6.375%, 10/1/2023 | 2,271,094 | |
2,200,000 | Beacon Roofing Supply, Inc., Sr. Unsecd. Note, Series 144A, 4.875%, 11/1/2025 | 2,219,250 | |
3,150,000 | Building Materials Corp. of America, Sr. Unsecd. Note, Series 144A, 6.00%, 10/15/2025 | 3,378,375 | |
2,275,000 | CD&R Waterworks Merger Sub LLC, Sr. Unsecd. Note, Series 144A, 6.125%, 8/15/2025 | 2,314,812 | |
1,800,000 | HD Supply, Inc., Sr. Unsecd. Note, Series 144A, 5.75%, 4/15/2024 | 1,917,000 | |
725,000 | Jeld-Wen, Inc., Sr. Unsecd. Note, Series 144A, 4.625%, 12/15/2025 | 732,250 | |
675,000 | Jeld-Wen, Inc., Sr. Unsecd. Note, Series 144A, 4.875%, 12/15/2027 | 683,438 | |
1,800,000 | Masonite International Corp., Sr. Unsecd. Note, Series 144A, 5.625%, 3/15/2023 | 1,890,540 | |
2,375,000 | NCI Building System, Inc., Sr. Unsecd. Note, Series 144A, 8.25%, 1/15/2023 | 2,520,469 | |
2,500,000 | Ply Gem Industries, Inc., 6.50%, 2/1/2022 | 2,593,750 | |
6,200,000 | RSI Home Products, Inc., Series 144A, 6.50%, 3/15/2023 | 6,525,500 | |
7,850,000 | Standard Industries, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 2/15/2027 | 8,046,250 | |
1,425,000 | USG Corp., Sr. Unsecd. Note, Series 144A, 4.875%, 6/1/2027 | 1,480,646 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Building Materials—continued | |||
$1,625,000 | USG Corp., Sr. Unsecd. Note, Series 144A, 5.50%, 3/1/2025 | $1,732,656 | |
TOTAL | 41,638,977 | ||
Cable Satellite—8.2% | |||
2,175,000 | Altice US Finance I Corp., Series 144A, 5.50%, 5/15/2026 | 2,221,219 | |
5,900,000 | Altice US Finance I Corp., Sr. Unsecd. Note, Series 144A, 7.75%, 7/15/2025 | 6,342,500 | |
3,175,000 | CCO Holdings LLC/Cap Corp., 5.25%, 9/30/2022 | 3,260,328 | |
5,475,000 | CCO Holdings LLC/Cap Corp., 5.75%, 9/1/2023 | 5,625,562 | |
4,450,000 | CCO Holdings LLC/Cap Corp., Series 144A, 5.375%, 5/1/2025 | 4,596,049 | |
2,125,000 | CCO Holdings LLC/Cap Corp., Series 144A, 5.75%, 2/15/2026 | 2,212,656 | |
1,100,000 | CCO Holdings LLC/Cap Corp., Sr. Sub. Secd. Note, Series 144A, 5.50%, 5/1/2026 | 1,130,250 | |
5,850,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, Series 144A, 5.00%, 2/1/2028 | 5,718,375 | |
1,600,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, Series 144A, 5.125%, 5/1/2027 | 1,580,000 | |
4,950,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, Series 144A, 5.875%, 5/1/2027 | 5,098,500 | |
1,925,000 | CSC Holdings, Inc., Sr. Unsecd. Note, 5.25%, 6/1/2024 | 1,891,313 | |
4,150,000 | CSC Holdings, Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 4/15/2027 | 4,243,375 | |
5,150,000 | Cablevision Systems Corp., Sr. Unsecd. Note, 5.875%, 9/15/2022 | 5,085,625 | |
4,675,000 | Cequel Communications Holdings, Sr. Unsecd. Note, Series 144A, 5.125%, 12/15/2021 | 4,698,375 | |
2,525,000 | Cequel Communications Holdings, Sr. Unsecd. Note, Series 144A, 5.125%, 12/15/2021 | 2,537,625 | |
1,300,000 | Charter Communications Holdings II, 5.125%, 2/15/2023 | 1,332,500 | |
2,300,000 | Charter Communications Holdings II, 5.75%, 1/15/2024 | 2,374,750 | |
2,425,000 | DISH DBS Corp., 5.00%, 3/15/2023 | 2,312,844 | |
6,800,000 | DISH DBS Corp., 5.875%, 7/15/2022 | 6,859,500 | |
5,800,000 | DISH DBS Corp., Sr. Unsecd. Note, 5.875%, 11/15/2024 | 5,662,250 | |
975,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.75%, 7/1/2026 | 1,028,625 | |
275,000 | Intelsat Jackson Holdings S.A., 7.25%, 10/15/2020 | 259,875 | |
3,375,000 | Intelsat Jackson Holdings S.A., Series 144A, 8.00%, 2/15/2024 | 3,560,625 | |
8,075,000 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.50%, 8/1/2023 | 6,621,500 | |
7,075,000 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 7.50%, 4/1/2021 | 6,473,625 | |
1,975,000 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, Series 144A, 9.75%, 7/15/2025 | 1,905,875 | |
4,000,000 | Neptune Finco Corp., Sr. Unsecd. Note, Series 144A, 10.125%, 1/15/2023 | 4,515,000 | |
4,550,000 | Neptune Finco Corp., Sr. Unsecd. Note, Series 144A, 6.625%, 10/15/2025 | 4,936,659 | |
4,525,000 | Sirius XM Radio, Inc., Series 144A, 4.625%, 5/15/2023 | 4,632,469 | |
6,950,000 | Sirius XM Radio, Inc., Series 144A, 6.00%, 7/15/2024 | 7,367,000 | |
3,250,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, Series 144A, 5.375%, 4/15/2025 | 3,392,187 | |
2,775,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, Series 144A, 5.375%, 7/15/2026 | 2,882,531 | |
8,600,000 | Telenet Finance Luxembourg, Sec. Fac. Bond, Series 144A, 5.50%, 3/1/2028 | 8,600,000 | |
8,075,000 | Unitymedia KabelBW Gmbh, Series 144A, 6.125%, 1/15/2025 | 8,559,500 | |
7,725,000 | Virgin Media Secured Finance PLC, Series 144A, 5.25%, 1/15/2026 | 7,831,219 | |
4,275,000 | Virgin Media Secured Finance PLC, Series 144A, 6.375%, 4/15/2023 | 4,429,969 | |
1,250,000 | Virgin Media, Inc., Sr. Unsecd. Note, Series 144A, 5.75%, 1/15/2025 | 1,279,688 | |
2,575,000 | Virgin Media, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 10/15/2024 | 2,652,250 | |
6,525,000 | Ziggo Finance BV, Sec. Fac. Bond, Series 144A, 5.50%, 1/15/2027 | 6,533,156 | |
2,475,000 | Ziggo Finance BV, Sr. Unsecd. Note, Series 144A, 5.875%, 1/15/2025 | 2,450,250 | |
2,625,000 | Ziggo Finance BV, Sr. Unsecd. Note, Series 144A, 6.00%, 1/15/2027 | 2,565,937 | |
TOTAL | 167,261,536 | ||
Chemicals—2.0% | |||
5,375,000 | Alpha 3 BV, Sr. Unsecd. Note, Series 144A, 6.25%, 2/1/2025 | 5,536,250 | |
5,225,000 | Compass Minerals International, Inc., Series 144A, 4.875%, 7/15/2024 | 5,172,750 | |
7,175,000 | Hexion U.S. Finance Corp., 6.625%, 4/15/2020 | 6,475,437 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Chemicals—continued | |||
$2,075,000 | Koppers, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 2/15/2025 | $2,204,687 | |
1,175,000 | PQ Corp., Series 144A, 6.75%, 11/15/2022 | 1,258,719 | |
875,000 | PQ Corp., Sr. Unsecd. Note, Series 144A, 5.75%, 12/15/2025 | 892,500 | |
1,075,000 | Platform Specialty Products Corp., Sr. Unsecd. Note, Series 144A, 5.875%, 12/1/2025 | 1,068,281 | |
15,100,000 | Platform Specialty Products Corp., Sr. Unsecd. Note, Series 144A, 6.50%, 2/1/2022 | 15,628,500 | |
1,550,000 | Versum Materials, Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 9/30/2024 | 1,662,375 | |
1,125,000 | WR Grace & Co.- Conn., Sr. Unsecd. Note, Series 144A, 5.625%, 10/1/2024 | 1,217,813 | |
TOTAL | 41,117,312 | ||
Construction Machinery—0.8% | |||
1,675,000 | Ritchie Bros. Auctioneers, Inc., Sr. Unsecd. Note, Series 144A, 5.375%, 1/15/2025 | 1,733,625 | |
5,575,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 4.875%, 1/15/2028 | 5,616,813 | |
2,400,000 | United Rentals, Inc., 4.625%, 7/15/2023 | 2,490,288 | |
1,600,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.50%, 5/15/2027 | 1,688,000 | |
3,000,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.50%, 7/15/2025 | 3,191,250 | |
575,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.875%, 9/15/2026 | 617,406 | |
TOTAL | 15,337,382 | ||
Consumer Cyclical Services—0.7% | |||
4,325,000 | GW Honos Security Corp., Sr. Unsecd. Note, Series 144A, 8.75%, 5/15/2025 | 4,660,187 | |
2,200,000 | Matthews International Corp., Sr. Unsecd. Note, Series 144A, 5.25%, 12/1/2025 | 2,227,500 | |
1,775,000 | ServiceMaster Co. LLC, Sr. Unsecd. Note, 7.10%, 3/1/2018 | 1,796,797 | |
1,775,000 | ServiceMaster Co. LLC, Sr. Unsecd. Note, 7.45%, 8/15/2027 | 1,930,313 | |
4,250,000 | ServiceMaster Co. LLC, Sr. Unsecd. Note, Series 144A, 5.125%, 11/15/2024 | 4,313,750 | |
TOTAL | 14,928,547 | ||
Consumer Products—1.6% | |||
3,025,000 | FGI Operating Co. LLC/FGI Finance, Inc., 7.875%, 5/1/2020 | 688,188 | |
10,025,000 | First Quality Finance Co., Inc., Series 144A, 4.625%, 5/15/2021 | 10,150,313 | |
350,000 | First Quality Finance Co., Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 7/1/2025 | 357,875 | |
7,525,000 | Prestige Brands Holdings, Inc., Series 144A, 5.375%, 12/15/2021 | 7,684,906 | |
4,300,000 | Prestige Brands, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 3/1/2024 | 4,477,375 | |
400,000 | Scotts Miracle-Gro Co., Sr. Unsecd. Note, 5.25%, 12/15/2026 | 420,000 | |
4,400,000 | Spectrum Brands, Inc., 5.75%, 7/15/2025 | 4,653,000 | |
1,675,000 | Spectrum Brands, Inc., 6.125%, 12/15/2024 | 1,781,781 | |
2,558,000 | Springs Industries, Inc., 6.25%, 6/1/2021 | 2,615,555 | |
TOTAL | 32,828,993 | ||
Diversified Manufacturing—1.5% | |||
5,825,000 | Entegris, Inc., Sr. Unsecd. Note, Series 144A, 4.625%, 2/10/2026 | 5,941,500 | |
10,625,000 | Gates Global LLC, Series 144A, 6.00%, 7/15/2022 | 10,917,187 | |
2,925,000 | JPW Industries Holding Corp., Sr. Secd. Note, Series 144A, 9.00%, 10/1/2024 | 3,063,938 | |
10,275,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2021 | 10,570,406 | |
550,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 6/15/2024 | 567,875 | |
TOTAL | 31,060,906 | ||
Environmental—0.4% | |||
5,025,000 | Tervita Escrow Corp., Series 144A, 7.625%, 12/1/2021 | 5,062,688 | |
2,350,000 | Wrangler Buyer Corp., Sr. Unsecd. Note, Series 144A, 6.00%, 10/1/2025 | 2,432,250 | |
TOTAL | 7,494,938 | ||
Finance Companies—2.1% | |||
750,000 | Navient Corp., Sr. Unsecd. Note, 5.50%, 1/25/2023 | 750,938 | |
8,025,000 | Navient Corp., Sr. Unsecd. Note, 5.875%, 10/25/2024 | 8,004,937 | |
700,000 | Navient Corp., Sr. Unsecd. Note, 6.50%, 6/15/2022 | 735,175 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Finance Companies—continued | |||
$850,000 | Navient Corp., Sr. Unsecd. Note, 6.75%, 6/25/2025 | $875,500 | |
3,775,000 | Navient Corp., Sr. Unsecd. Note, 7.25%, 9/25/2023 | 4,039,250 | |
1,275,000 | Navient Corp., Sr. Unsecd. Note, Series MTN, 6.125%, 3/25/2024 | 1,297,313 | |
1,350,000 | Park Aerospace Holdings Ltd., Sr. Unsecd. Note, Series 144A, 4.50%, 3/15/2023 | 1,292,625 | |
1,200,000 | Park Aerospace Holdings Ltd., Sr. Unsecd. Note, Series 144A, 5.25%, 8/15/2022 | 1,197,000 | |
12,600,000 | Park Aerospace Holdings Ltd., Sr. Unsecd. Note, Series 144A, 5.50%, 2/15/2024 | 12,537,000 | |
10,825,000 | Quicken Loans, Inc., Series 144A, 5.75%, 5/1/2025 | 11,258,108 | |
1,550,000 | Quicken Loans, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 1/15/2028 | 1,534,035 | |
TOTAL | 43,521,881 | ||
Food & Beverage—2.4% | |||
7,075,000 | Anna Merger Sub, Inc., Series 144A, 7.75%, 10/1/2022 | 5,200,125 | |
50,000 | Aramark Services, Inc., Sr. Unsecd. Note, 4.75%, 6/1/2026 | 50,875 | |
4,925,000 | Aramark Services, Inc., Sr. Unsecd. Note, 5.125%, 1/15/2024 | 5,181,100 | |
3,125,000 | Aramark Services, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 4/1/2025 | 3,308,750 | |
5,450,000 | Hearthside Group Holdings LLC, Series 144A, 6.50%, 5/1/2022 | 5,593,062 | |
3,450,000 | Lamb Weston Holdings, Inc., Sr. Unsub., Series 144A, 4.875%, 11/1/2026 | 3,613,875 | |
5,350,000 | Post Holdings, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 8/15/2026 | 5,276,437 | |
1,525,000 | Post Holdings, Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 3/1/2025 | 1,582,188 | |
2,325,000 | Post Holdings, Inc., Sr. Unsecd. Note, Series 144A, 5.625%, 1/15/2028 | 2,336,625 | |
9,250,000 | Post Holdings, Inc., Sr. Unsecd. Note, Series 144A, 5.75%, 3/1/2027 | 9,435,000 | |
6,875,000 | U.S. Foodservice, Inc., Sr. Unsecd. Note, Series 144A, 5.875%, 6/15/2024 | 7,253,125 | |
TOTAL | 48,831,162 | ||
Gaming—3.9% | |||
1,025,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 6.375%, 4/1/2026 | 1,107,000 | |
5,800,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 6.875%, 5/15/2023 | 6,169,750 | |
10,200,000 | CRC Escrow Issuer LLC, Sr. Unsecd. Note, Series 144A, 5.25%, 10/15/2025 | 10,330,560 | |
3,150,000 | Eldorado Resorts, Inc., Sr. Unsecd. Note, 6.00%, 4/1/2025 | 3,307,500 | |
1,375,000 | GLP Capital LP/GLP Financing II, Inc., Sr. Unsecd. Note, 5.375%, 4/15/2026 | 1,478,125 | |
675,000 | MGM Growth Properties LLC, Sr. Unsecd. Note, 5.625%, 5/1/2024 | 722,250 | |
3,850,000 | MGM Mirage, Inc., 7.75%, 3/15/2022 | 4,398,625 | |
3,200,000 | MGM Mirage, Inc., Sr. Unsecd. Note, 6.75%, 10/1/2020 | 3,464,000 | |
2,300,000 | MGM Resorts International, 6.00%, 3/15/2023 | 2,489,750 | |
1,575,000 | MGM Resorts International, Sr. Unsecd. Note, 4.625%, 9/1/2026 | 1,598,625 | |
5,700,000 | Mohegan Tribal Gaming Authority, Sr. Unsecd. Note, Series 144A, 7.875%, 10/15/2024 | 5,863,875 | |
2,375,000 | Penn National Gaming, Inc., Sr. Unsecd. Note, Series 144A, 5.625%, 1/15/2027 | 2,470,000 | |
5,800,000 | Pinnacle Entertainment, Inc., Sr. Unsecd. Note, 5.625%, 5/1/2024 | 6,235,000 | |
4,975,000 | Rivers Pittsburgh LP, Series 144A, 6.125%, 8/15/2021 | 4,950,125 | |
11,725,000 | Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, Series 144A, 5.875%, 5/15/2021 | 11,959,500 | |
2,385,000 | Seminole Tribe of Florida, Inc., Bond, Series 144A, 7.804%, 10/1/2020 | 2,420,775 | |
4,275,000 | Station Casinos, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 10/1/2025 | 4,307,062 | |
3,100,000 | Sugarhouse HSP Gaming Finance Corp., Sec. Fac. Bond, Series 144A, 5.875%, 5/15/2025 | 2,952,750 | |
2,250,000 | Wynn Las Vegas LLC, Sr. Unsecd. Note, Series 144A, 5.25%, 5/15/2027 | 2,283,750 | |
TOTAL | 78,509,022 | ||
Health Care—10.3% | |||
2,750,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 5.625%, 2/15/2023 | 2,805,000 | |
5,375,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 6.50%, 3/1/2024 | 5,616,875 | |
8,475,000 | Air Medical Group Holdings, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 5/15/2023 | 8,178,375 | |
3,125,000 | Amsurg Corp., Sr. Unsecd. Note, 5.625%, 7/15/2022 | 3,171,875 | |
2,100,000 | Avantor, Inc., Series 144A, 6.00%, 10/1/2024 | 2,097,375 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Health Care—continued | |||
$4,800,000 | Avantor, Inc., Sr. Unsecd. Note, Series 144A, 9.00%, 10/1/2025 | $4,740,000 | |
2,025,000 | CHS/Community Health Systems, Inc., 5.125%, 8/1/2021 | 1,832,625 | |
4,250,000 | CHS/Community Health Systems, Inc., 6.25%, 3/31/2023 | 3,846,250 | |
7,525,000 | CHS/Community Health Systems, Inc., Sr. Unsecd. Note, 6.875%, 2/1/2022 | 4,364,500 | |
1,950,000 | DaVita HealthCare Partners, Inc., 5.125%, 7/15/2024 | 1,973,156 | |
6,025,000 | Envision Healthcare Holdings, Inc., Series 144A, 5.125%, 7/1/2022 | 5,874,375 | |
1,925,000 | HCA, Inc., 4.50%, 2/15/2027 | 1,939,438 | |
5,100,000 | HCA, Inc., 4.75%, 5/1/2023 | 5,265,750 | |
6,025,000 | HCA, Inc., 5.00%, 3/15/2024 | 6,281,062 | |
1,325,000 | HCA, Inc., 5.25%, 6/15/2026 | 1,407,813 | |
1,925,000 | HCA, Inc., 5.875%, 2/15/2026 | 2,040,500 | |
2,300,000 | HCA, Inc., 5.875%, 5/1/2023 | 2,461,000 | |
6,675,000 | HCA, Inc., Sr. Secd. Note, 5.25%, 4/15/2025 | 7,075,500 | |
10,150,000 | HCA, Inc., Sr. Unsecd. Note, 5.375%, 2/1/2025 | 10,530,625 | |
3,600,000 | HCA, Inc., Sr. Unsecd. Note, 7.50%, 2/15/2022 | 4,059,000 | |
675,000 | Hologic, Inc., Sr. Unsecd. Note, Series 144A, 4.375%, 10/15/2025 | 686,813 | |
3,450,000 | IMS Health, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 10/15/2026 | 3,549,187 | |
1,325,000 | LifePoint Health, Inc., 5.875%, 12/1/2023 | 1,343,219 | |
850,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 5.375%, 5/1/2024 | 846,813 | |
1,200,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 5.50%, 12/1/2021 | 1,228,500 | |
700,000 | MEDNAX, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 12/1/2023 | 714,000 | |
13,525,000 | MPH Acquisition Holdings LLC, Series 144A, 7.125%, 6/1/2024 | 14,437,937 | |
4,325,000 | New Amethyst Corp., Sr. Unsecd. Note, Series 144A, 6.25%, 12/1/2024 | 4,476,375 | |
19,150,000 | Ortho-Clinical Diagnostics, Inc., Series 144A, 6.625%, 5/15/2022 | 19,341,500 | |
5,550,000 | Polaris Intermediate Corp., Sr. Unsecd. Note, Series 144A, 8.50%, 12/1/2022 | 5,772,000 | |
10,650,000 | SteriGenics—Nordion Holdings LLC, Sr. Unsecd. Note, Series 144A, 6.50%, 5/15/2023 | 11,129,250 | |
5,625,000 | SteriGenics Nordion Topc, Sr. Unsecd. Note, Series 144A, 8.125%, 11/1/2021 | 5,695,312 | |
6,275,000 | Surgery Center Holdings, Inc., Sr. Unsecd. Note, Series 144A, 6.75%, 7/1/2025 | 5,961,250 | |
12,325,000 | Team Health Holdings, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 2/1/2025 | 11,061,687 | |
1,100,000 | Teleflex, Inc., Sr. Unsecd. Note, 4.625%, 11/15/2027 | 1,113,530 | |
775,000 | Teleflex, Inc., Sr. Unsecd. Note, 4.875%, 6/1/2026 | 804,063 | |
3,225,000 | Teleflex, Inc., Sr. Unsecd. Note, 5.25%, 6/15/2024 | 3,378,187 | |
2,875,000 | Tenet Healthcare Corp., 8.125%, 4/1/2022 | 2,936,094 | |
1,125,000 | Tenet Healthcare Corp., Note, 4.375%, 10/1/2021 | 1,127,813 | |
4,625,000 | Tenet Healthcare Corp., Series 144A, 5.125%, 5/1/2025 | 4,526,719 | |
1,200,000 | Tenet Healthcare Corp., Series 144A, 7.50%, 1/1/2022 | 1,264,500 | |
1,450,000 | Tenet Healthcare Corp., Sr. Secd. Note, 4.50%, 4/1/2021 | 1,464,500 | |
2,250,000 | Tenet Healthcare Corp., Sr. Secd. Note, Series 144A, 4.625%, 7/15/2024 | 2,202,188 | |
5,575,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 6.75%, 6/15/2023 | 5,428,656 | |
2,675,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, Series 144A, 7.00%, 8/1/2025 | 2,524,531 | |
6,825,000 | Vizient, Inc., Sr. Unsecd. Note, Series 144A, 10.375%, 3/1/2024 | 7,695,187 | |
3,900,000 | West Street Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 9/1/2025 | 3,929,250 | |
TOTAL | 210,200,155 | ||
Independent Energy—5.9% | |||
3,650,000 | Antero Resources Corp., Sr. Unsecd. Note, 5.00%, 3/1/2025 | 3,741,250 | |
1,400,000 | Antero Resources Corp., Sr. Unsecd. Note, 5.625%, 6/1/2023 | 1,463,000 | |
2,025,000 | Antero Resources Finance Corp., 5.375%, 11/1/2021 | 2,083,219 | |
5,175,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, Series 144A, 10.00%, 4/1/2022 | 5,576,062 | |
3,962,000 | Callon Petroleum Corp., Sr. Unsecd. Note, 6.125%, 10/1/2024 | 4,100,670 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Independent Energy—continued | |||
$450,000 | Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023 | $469,125 | |
2,738,000 | Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 7.50%, 9/15/2020 | 2,792,760 | |
2,950,000 | Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 8.25%, 7/15/2025 | 3,256,062 | |
2,450,000 | Chesapeake Energy Corp., 5.75%, 3/15/2023 | 2,278,500 | |
1,908,000 | Chesapeake Energy Corp., Series 144A, 8.00%, 12/15/2022 | 2,065,410 | |
1,175,000 | Chesapeake Energy Corp., Sr. Unsecd. Note, 5.375%, 6/15/2021 | 1,139,750 | |
1,375,000 | Chesapeake Energy Corp., Sr. Unsecd. Note, Series 144A, 8.00%, 1/15/2025 | 1,390,469 | |
3,450,000 | Chesapeake Energy Corp., Sr. Unsecd. Note, Series 144A, 8.00%, 6/15/2027 | 3,320,625 | |
3,025,000 | Continental Resources, Inc., 4.50%, 4/15/2023 | 3,093,063 | |
6,375,000 | Crownrock LP/Crownrock F, Series 144A, 5.625%, 10/15/2025 | 6,422,812 | |
250,000 | Diamondback Energy, Inc., Sr. Unsecd. Note, 4.75%, 11/1/2024 | 252,188 | |
1,100,000 | Diamondback Energy, Inc., Sr. Unsecd. Note, 5.375%, 5/31/2025 | 1,137,125 | |
3,100,000 | EP Energy LLC/Everest Acquisition Finance, Inc., Sec. Fac. Bond, Series 144A, 8.00%, 11/29/2024 | 3,216,250 | |
325,000 | Endeavor Energy Resources LP, Sr. Unsecd. Note, Series 144A, 5.50%, 1/30/2026 | 331,500 | |
1,850,000 | Endeavor Energy Resources LP, Sr. Unsecd. Note, Series 144A, 5.75%, 1/30/2028 | 1,906,888 | |
2,475,000 | Gulfport Energy Corp., Sr. Unsecd. Note, 6.00%, 10/15/2024 | 2,487,375 | |
2,600,000 | Gulfport Energy Corp., Sr. Unsecd. Note, 6.375%, 5/15/2025 | 2,622,750 | |
1,225,000 | Gulfport Energy Corp., Sr. Unsecd. Note, 6.625%, 5/1/2023 | 1,255,625 | |
1,050,000 | Gulfport Energy Corp., Sr. Unsecd. Note, Series 144A, 6.375%, 1/15/2026 | 1,060,500 | |
1,650,000 | Laredo Petroleum, 5.625%, 1/15/2022 | 1,674,750 | |
1,400,000 | Laredo Petroleum, Sr. Unsecd. Note, 6.25%, 3/15/2023 | 1,456,420 | |
950,000 | Oasis Petroleum, Inc., 6.875%, 1/15/2023 | 974,938 | |
975,000 | Oasis Petroleum, Inc., 6.875%, 3/15/2022 | 1,003,031 | |
3,300,000 | Oasis Petroleum, Inc., Company Guarantee, 6.50%, 11/1/2021 | 3,378,375 | |
975,000 | PDC Energy, Inc., Sr. Unsecd. Note, 6.125%, 9/15/2024 | 1,014,000 | |
2,500,000 | PDC Energy, Inc., Sr. Unsecd. Note, Series 144A, 5.75%, 5/15/2026 | 2,565,625 | |
400,000 | Parsley Energy LLC/Parsley Finance Corp., Series 144A, 6.25%, 6/1/2024 | 423,000 | |
1,050,000 | Parsley Energy LLC/Parsley Finance Corp., Sr. Unsecd. Note, Series 144A, 5.25%, 8/15/2025 | 1,057,875 | |
1,275,000 | Parsley Energy LLC/Parsley Finance Corp., Sr. Unsecd. Note, Series 144A, 5.375%, 1/15/2025 | 1,294,125 | |
2,875,000 | Parsley Energy LLC/Parsley Finance Corp., Sr. Unsecd. Note, Series 144A, 5.625%, 10/15/2027 | 2,946,875 | |
2,250,000 | QEP Resources, Inc., Sr. Unsecd. Note, 5.25%, 5/1/2023 | 2,287,935 | |
1,400,000 | QEP Resources, Inc., Sr. Unsecd. Note, 5.625%, 3/1/2026 | 1,424,500 | |
800,000 | RSP Permian, Inc., Sr. Unsecd. Note, 5.25%, 1/15/2025 | 824,000 | |
2,375,000 | RSP Permian, Inc., Sr. Unsecd. Note, 6.625%, 10/1/2022 | 2,496,719 | |
2,900,000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | 2,813,000 | |
1,550,000 | Range Resources Corp., Sr. Unsecd. Note, 5.00%, 3/15/2023 | 1,550,000 | |
1,200,000 | Range Resources Corp., Sr. Unsecd. Note, 5.00%, 8/15/2022 | 1,200,000 | |
2,250,000 | SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 | 2,193,750 | |
1,025,000 | SM Energy Co., Sr. Unsecd. Note, 6.50%, 1/1/2023 | 1,050,625 | |
1,700,000 | SM Energy Co., Sr. Unsecd. Note, 6.75%, 9/15/2026 | 1,759,500 | |
4,475,000 | SRC Energy, Inc., Sr. Unsecd. Note, Series 144A, 6.25%, 12/1/2025 | 4,598,062 | |
2,675,000 | Southwestern Energy Co., Sr. Unsecd. Note, 4.10%, 3/15/2022 | 2,641,563 | |
725,000 | Southwestern Energy Co., Sr. Unsecd. Note, 7.50%, 4/1/2026 | 771,219 | |
4,475,000 | Southwestern Energy Co., Sr. Unsecd. Note, 7.75%, 10/1/2027 | 4,782,656 | |
875,000 | Ultra Resources, Inc., Sr. Unsecd. Note, Series 144A, 6.875%, 4/15/2022 | 880,469 | |
3,025,000 | Ultra Resources, Inc., Sr. Unsecd. Note, Series 144A, 7.125%, 4/15/2025 | 3,028,781 | |
2,200,000 | WPX Energy, Inc., Sr. Unsecd. Note, 5.25%, 9/15/2024 | 2,203,410 | |
1,375,000 | WPX Energy, Inc., Sr. Unsecd. Note, 6.00%, 1/15/2022 | 1,443,750 | |
252,000 | WPX Energy, Inc., Sr. Unsecd. Note, 7.50%, 8/1/2020 | 274,050 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Independent Energy—continued | |||
$1,050,000 | WPX Energy, Inc., Sr. Unsecd. Note, 8.25%, 8/1/2023 | $1,197,000 | |
3,625,000 | Whiting Petroleum Corp., Sr. Unsecd. Note, 6.25%, 4/1/2023 | 3,724,687 | |
1,425,000 | Whiting Petroleum Corp., Sr. Unsecd. Note, Series 144A, 6.625%, 1/15/2026 | 1,455,281 | |
TOTAL | 119,852,949 | ||
Industrial - Other—1.0% | |||
675,000 | Anixter, Inc., 5.50%, 3/1/2023 | 729,203 | |
5,550,000 | Belden, Inc., Sr. Sub., Series 144A, 5.25%, 7/15/2024 | 5,744,250 | |
9,225,000 | Hillman Group, Inc., Unsecd. Note, Series 144A, 6.375%, 7/15/2022 | 9,248,062 | |
3,775,000 | KAR Auction Services, Inc., Sr. Unsecd. Note, Series 144A, 5.125%, 6/1/2025 | 3,878,813 | |
TOTAL | 19,600,328 | ||
Insurance - P&C—2.4% | |||
4,800,000 | Acrisure LLC, Sr. Unsecd. Note, Series 144A, 7.00%, 11/15/2025 | 4,638,048 | |
6,400,000 | AssuredPartners, Inc., Sr. Unsecd. Note, Series 144A, 7.00%, 8/15/2025 | 6,384,000 | |
5,250,000 | Hub Holdlings LLC/Hub Hol, Sr. Unsecd. Note, Series 144A, 8.125%, 7/15/2019 | 5,263,125 | |
12,600,000 | Hub International Ltd., Sr. Unsecd. Note, Series 144A, 7.875%, 10/1/2021 | 13,135,500 | |
5,625,000 | Kirs Midco 3 PLC, Sec. Fac. Bond, Series 144A, 8.625%, 7/15/2023 | 5,850,000 | |
6,325,000 | NFP Corp., Sr. Unsecd. Note, Series 144A, 6.875%, 7/15/2025 | 6,388,250 | |
6,425,000 | USIS Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 6.875%, 5/1/2025 | 6,505,312 | |
TOTAL | 48,164,235 | ||
Leisure—1.1% | |||
1,450,000 | AMC Entertainment Holdings, Inc., Sr. Sub. Note, 5.875%, 11/15/2026 | 1,435,500 | |
775,000 | AMC Entertainment Holdings, Inc., Sr. Sub. Note, 6.125%, 5/15/2027 | 773,063 | |
1,550,000 | Cedar Fair LP, Sr. Unsecd. Note, 5.375%, 6/1/2024 | 1,627,500 | |
1,000,000 | Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp./Millennium Op, Sr. Unsecd. Note, Series 144A, 5.375%, 4/15/2027 | 1,052,500 | |
1,650,000 | Live Nation Entertainment, Inc., Sr. Unsecd. Note, Series 144A, 4.875%, 11/1/2024 | 1,695,375 | |
4,600,000 | Regal Cinemas, Inc., 5.75%, 2/1/2025 | 4,738,000 | |
2,300,000 | Six Flags Entertainment Corp., Sr. Unsecd. Note, Series 144A, 4.875%, 7/31/2024 | 2,340,250 | |
8,625,000 | Six Flags Entertainment Corp., Sr. Unsecd. Note, Series 144A, 5.50%, 4/15/2027 | 8,948,437 | |
TOTAL | 22,610,625 | ||
Lodging—0.2% | |||
1,925,000 | Hilton Domestic Operations, Sr. Unsecd. Note, 4.25%, 9/1/2024 | 1,949,062 | |
1,250,000 | Hilton Worldwide Finance LLC, Sr. Unsecd. Note, 4.625%, 4/1/2025 | 1,287,500 | |
1,175,000 | RHP Hotel Property/RHP Finance Corp., Sr. Unsecd. Note, 5.00%, 4/15/2023 | 1,207,313 | |
TOTAL | 4,443,875 | ||
Media Entertainment—5.6% | |||
4,300,000 | AMC Networks, Inc., Sr. Unsecd. Note, 4.75%, 8/1/2025 | 4,273,125 | |
3,800,000 | AMC Networks, Inc., Sr. Unsecd. Note, 5.00%, 4/1/2024 | 3,857,000 | |
4,025,000 | CBS Radio, Inc., Sr. Unsecd. Note, Series 144A, 7.25%, 11/1/2024 | 4,263,984 | |
6,350,000 | Clear Channel Communications, Inc., Company Guarantee, 9.00%, 3/1/2021 | 4,572,000 | |
950,000 | Clear Channel International BV, Sr. Unsecd. Note, Series 144A, 8.75%, 12/15/2020 | 985,625 | |
2,350,000 | Clear Channel Worldwide, Series A, 6.50%, 11/15/2022 | 2,385,250 | |
4,500,000 | Clear Channel Worldwide, Series B, 6.50%, 11/15/2022 | 4,595,625 | |
1,025,000 | E.W. Scripps Co., Sr. Unsecd. Note, Series 144A, 5.125%, 5/15/2025 | 1,022,438 | |
5,375,000 | EMI Music Publishing Group North America Holdings, Inc., Series 144A, 7.625%, 6/15/2024 | 5,925,937 | |
5,150,000 | Gannett Co., Inc., 6.375%, 10/15/2023 | 5,413,937 | |
725,000 | Gannett Co., Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 9/15/2024 | 763,063 | |
2,250,000 | Gray Television, Inc., Sr. Unsecd. Note, Series 144A, 5.125%, 10/15/2024 | 2,250,000 | |
4,675,000 | Gray Television, Inc., Sr. Unsecd. Note, Series 144A, 5.875%, 7/15/2026 | 4,803,562 | |
5,225,000 | Lin Television Corp., Sr. Unsecd. Note, 5.875%, 11/15/2022 | 5,460,125 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Media Entertainment—continued | |||
$1,025,000 | Match Group, Inc., Sr. Unsecd. Note, 6.375%, 6/1/2024 | $1,114,688 | |
3,850,000 | Match Group, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 12/15/2027 | 3,917,375 | |
4,425,000 | Nexstar Broadcasting, Inc., Sr. Unsecd. Note, Series 144A, 6.125%, 2/15/2022 | 4,602,000 | |
2,675,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, Series 144A, 5.625%, 8/1/2024 | 2,768,625 | |
10,725,000 | Nielsen Finance LLC/Nielsen Finance Co., Series 144A, 5.00%, 4/15/2022 | 11,060,156 | |
2,650,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, Series 144A, 5.00%, 2/1/2025 | 2,756,000 | |
3,600,000 | Outfront Americas Capital LLC/Outfront Media Capital Corp., Sr. Unsecd. Note, 5.875%, 3/15/2025 | 3,820,500 | |
5,625,000 | Sinclair Television Group, Series 144A, 5.625%, 8/1/2024 | 5,814,844 | |
975,000 | Sinclair Television Group, Sr. Unsecd. Note, Series 144A, 5.125%, 2/15/2027 | 971,344 | |
6,250,000 | Sinclair Television Group, Sr. Unsecd. Note, Series 144A, 5.875%, 3/15/2026 | 6,523,437 | |
7,850,000 | Tribune Media Co., Sr. Unsecd. Note, 5.875%, 7/15/2022 | 8,105,125 | |
4,775,000 | Urban One, Inc., Series 144A, 7.375%, 4/15/2022 | 4,786,938 | |
4,675,000 | Urban One, Inc., Series 144A, 9.25%, 2/15/2020 | 4,417,875 | |
1,300,000 | WMG Acquisition Corp., Sec. Fac. Bond, Series 144A, 4.875%, 11/1/2024 | 1,345,500 | |
750,000 | WMG Acquisition Corp., Series 144A, 5.00%, 8/1/2023 | 779,063 | |
TOTAL | 113,355,141 | ||
Metals & Mining—2.5% | |||
3,975,000 | Alliance Resource Operating Partners LP/Alliance Resource Finance Corp., Sr. Unsecd. Note, Series 144A, 7.50%, 5/1/2025 | 4,238,344 | |
4,375,000 | Coeur Mining, Inc., Sr. Unsecd. Note, 5.875%, 6/1/2024 | 4,336,719 | |
6,350,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 3.875%, 3/15/2023 | 6,350,000 | |
9,825,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.40%, 11/14/2034 | 10,046,062 | |
1,175,000 | HudBay Minerals, Inc., Sr. Unsecd. Note, Series 144A, 7.25%, 1/15/2023 | 1,251,375 | |
2,700,000 | HudBay Minerals, Inc., Sr. Unsecd. Note, Series 144A, 7.625%, 1/15/2025 | 2,970,000 | |
875,000 | Peabody Securities Finance Corp., Sec. Fac. Bond, Series 144A, 6.00%, 3/31/2022 | 911,094 | |
2,975,000 | Peabody Securities Finance Corp., Sec. Fac. Bond, Series 144A, 6.375%, 3/31/2025 | 3,105,156 | |
1,600,000 | Steel Dynamics, Inc., Sr. Unsecd. Note, 5.125%, 10/1/2021 | 1,644,000 | |
850,000 | Steel Dynamics, Inc., Sr. Unsecd. Note, 5.25%, 4/15/2023 | 879,750 | |
5,075,000 | Steel Dynamics, Inc., Sr. Unsecd. Note, 5.50%, 10/1/2024 | 5,404,875 | |
2,450,000 | Teck Resources Ltd., Sr. Unsecd. Note, 6.00%, 8/15/2040 | 2,737,875 | |
3,475,000 | Teck Resources Ltd., Sr. Unsecd. Note, 6.125%, 10/1/2035 | 3,909,375 | |
2,900,000 | Teck Resources Ltd., Sr. Unsecd. Note, Series 144A, 8.50%, 6/1/2024 | 3,284,250 | |
TOTAL | 51,068,875 | ||
Midstream—5.4% | |||
625,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.50%, 5/20/2025 | 634,375 | |
1,975,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.625%, 5/20/2024 | 2,063,875 | |
1,350,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.75%, 5/20/2027 | 1,370,250 | |
7,950,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026 | 8,228,250 | |
4,100,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 5.375%, 9/15/2024 | 4,243,500 | |
575,000 | Atlas Pipeline Partners LP, 5.875%, 8/1/2023 | 579,313 | |
1,650,000 | Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027 | 1,710,885 | |
3,800,000 | Cheniere Corpus Christi Holdings LLC, Sr. Secd. Note, 5.875%, 3/31/2025 | 4,125,375 | |
2,875,000 | Cheniere Corpus Christi Holdings LLC, Sr. Secd. Note, 7.00%, 6/30/2024 | 3,277,500 | |
7,350,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, Series 144A, 5.25%, 10/1/2025 | 7,497,000 | |
8,350,000 | Energy Transfer Equity LP, 5.875%, 1/15/2024 | 8,809,250 | |
4,175,000 | Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsecd. Note, 6.75%, 6/15/2023 | 3,851,437 | |
3,200,000 | Ferrellgas, L.P., Sr. Unsecd. Note, 6.50%, 5/1/2021 | 3,012,000 | |
6,250,000 | Ferrellgas, L.P., Sr. Unsecd. Note, 6.75%, 1/15/2022 | 5,812,500 | |
6,650,000 | Holly Energy Partners LP, Series 144A, 6.00%, 8/1/2024 | 6,965,875 | |
350,000 | NGPL PipeCo LLC, Sr. Unsecd. Note, Series 144A, 4.875%, 8/15/2027 | 364,438 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Midstream—continued | |||
$5,000,000 | NuStar Logistics, L.P., Sr. Unsecd. Note, 5.625%, 4/28/2027 | $5,100,000 | |
6,200,000 | Suburban Propane Partners LP, 5.50%, 6/1/2024 | 6,169,000 | |
1,275,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.75%, 3/1/2025 | 1,265,438 | |
4,075,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 | 4,003,687 | |
8,325,000 | Summit Midstream Holdings LLC, 5.50%, 8/15/2022 | 8,366,625 | |
3,075,000 | Summit Midstream Holdings LLC, Sr. Unsecd. Note, 5.75%, 4/15/2025 | 3,116,174 | |
1,275,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.25%, 5/1/2023 | 1,306,875 | |
3,350,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, Series 144A, 5.00%, 1/15/2028 | 3,354,187 | |
1,625,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, Series 144A, 5.125%, 2/1/2025 | 1,669,688 | |
4,450,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, Series 144A, 5.375%, 2/1/2027 | 4,583,500 | |
400,000 | Tesoro Logistics LP, Sr. Unsecd. Note, 5.50%, 10/15/2019 | 415,708 | |
186,000 | Tesoro Logistics LP, Sr. Unsecd. Note, 6.25%, 10/15/2022 | 197,573 | |
3,825,000 | Tesoro Logistics LP, Sr. Unsecd. Note, 6.375%, 5/1/2024 | 4,154,906 | |
2,675,000 | Williams Cos., Inc., Sr. Unsecd. Note, 4.55%, 6/24/2024 | 2,788,687 | |
TOTAL | 109,037,871 | ||
Oil Field Services—0.9% | |||
321,000 | Precision Drilling Corp., Sr. Unsecd. Note, 6.50%, 12/15/2021 | 328,624 | |
2,675,000 | Precision Drilling Corp., Sr. Unsecd. Note, 7.75%, 12/15/2023 | 2,822,125 | |
2,025,000 | Precision Drilling Corp., Sr. Unsecd. Note, Series 144A, 7.125%, 1/15/2026 | 2,070,563 | |
575,000 | Sesi LLC, 7.125%, 12/15/2021 | 590,094 | |
5,150,000 | Sesi LLC, Sr. Unsecd. Note, Series 144A, 7.75%, 9/15/2024 | 5,484,750 | |
3,025,000 | Weatherford International Ltd., 7.00%, 3/15/2038 | 2,556,125 | |
3,725,000 | Weatherford International Ltd., Sr. Unsecd. Note, 8.25%, 6/15/2023 | 3,771,562 | |
1,850,000 | Weatherford International, Inc., Sr. Unsecd. Note, 6.80%, 6/15/2037 | 1,544,750 | |
TOTAL | 19,168,593 | ||
Packaging—6.4% | |||
5,825,000 | ARD Finance SA, Sec. Fac. Bond, 7.125%, 9/15/2023 | 6,101,688 | |
1,625,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Series 144A, 4.625%, 5/15/2023 | 1,663,594 | |
3,150,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, Series 144A, 6.00%, 2/15/2025 | 3,323,250 | |
2,925,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, Series 144A, 6.00%, 6/30/2021 | 3,012,750 | |
10,375,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, Series 144A, 7.25%, 5/15/2024 | 11,334,687 | |
1,025,000 | Ball Corp., Sr. Unsecd. Note, 5.25%, 7/1/2025 | 1,118,531 | |
4,325,000 | Berry Plastics Corp., 5.125%, 7/15/2023 | 4,514,219 | |
9,325,000 | Berry Plastics Corp., 5.50%, 5/15/2022 | 9,616,406 | |
5,900,000 | Bway Holding Co., Sec. Fac. Bond, Series 144A, 5.50%, 4/15/2024 | 6,150,750 | |
11,950,000 | Bway Holding Co., Sr. Unsecd. Note, Series 144A, 7.25%, 4/15/2025 | 12,368,250 | |
11,750,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, Series 144A, 6.875%, 1/15/2025 | 12,190,331 | |
7,800,000 | Multi-Color Corp., Series 144A, 6.125%, 12/1/2022 | 8,180,250 | |
1,000,000 | Multi-Color Corp., Sr. Unsecd. Note, Series 144A, 4.875%, 11/1/2025 | 1,006,250 | |
4,625,000 | Owens-Brockway Glass Container, Inc., Series 144A, 5.375%, 1/15/2025 | 4,896,719 | |
2,800,000 | Owens-Brockway Glass Container, Inc., Series 144A, 6.375%, 8/15/2025 | 3,134,250 | |
11,023,600 | Reynolds Group Issuer, Inc./LLC/LU, 5.75%, 10/15/2020 | 11,202,734 | |
3,825,000 | Reynolds Group Issuer, Inc./LLC/LU, Series 144A, 7.00%, 7/15/2024 | 4,103,747 | |
1,675,000 | Reynolds Group, Sr. Unsecd. Note, 7.95%, 12/15/2025 | 1,905,313 | |
575,000 | Sealed Air Corp., Series 144A, 4.875%, 12/1/2022 | 609,500 | |
2,800,000 | Sealed Air Corp., Series 144A, 5.25%, 4/1/2023 | 2,996,000 | |
3,850,000 | Sealed Air Corp., Sr. Unsecd. Note, Series 144A, 5.50%, 9/15/2025 | 4,206,125 | |
12,050,000 | Signode Industrial Group, Series 144A, 6.375%, 5/1/2022 | 12,637,437 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Packaging—continued | |||
$4,275,000 | Trident Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 6.625%, 11/1/2025 | $4,275,000 | |
TOTAL | 130,547,781 | ||
Paper—0.4% | |||
1,400,000 | Clearwater Paper Corp., Sr. Note, 4.50%, 2/1/2023 | 1,391,250 | |
7,700,000 | Clearwater Paper Corp., Sr. Unsecd. Note, Series 144A, 5.375%, 2/1/2025 | 7,777,000 | |
TOTAL | 9,168,250 | ||
Pharmaceuticals—3.9% | |||
2,375,000 | Eagle Holding Co., Sr. Unsecd. Note, Series 144A, 7.625%, 5/15/2022 | 2,422,500 | |
4,975,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 7/15/2023 | 3,930,250 | |
7,350,000 | Endo Finance LLC/Endo Finco, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 2/1/2025 | 5,733,000 | |
16,050,000 | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Sr. Unsecd. Note, Series 144A, 6.375%, 8/1/2023 | 16,250,625 | |
5,825,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 4.75%, 4/15/2023 | 4,601,750 | |
5,775,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, Series 144A, 5.50%, 4/15/2025 | 4,735,500 | |
5,275,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, Series 144A, 5.625%, 10/15/2023 | 4,510,125 | |
1,750,000 | Valeant Pharmaceuticals International, Inc., Sec. Fac. Bond, Series 144A, 5.50%, 11/1/2025 | 1,789,375 | |
4,025,000 | Valeant Pharmaceuticals International, Inc., Series 144A, 5.625%, 12/1/2021 | 3,949,531 | |
2,100,000 | Valeant Pharmaceuticals International, Inc., Series 144A, 7.50%, 7/15/2021 | 2,144,625 | |
875,000 | Valeant Pharmaceuticals International, Inc., Sr. Secd. Note, Series 144A, 6.50%, 3/15/2022 | 920,938 | |
2,225,000 | Valeant Pharmaceuticals International, Inc., Sr. Secd. Note, Series 144A, 7.00%, 3/15/2024 | 2,386,312 | |
2,975,000 | Valeant Pharmaceuticals International, Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 3/1/2023 | 2,737,000 | |
12,225,000 | Valeant Pharmaceuticals International, Inc., Sr. Unsecd. Note, Series 144A, 6.125%, 4/15/2025 | 11,231,719 | |
1,500,000 | Valeant Pharmaceuticals International, Inc., Sr. Unsecd. Note, Series 144A, 7.25%, 7/15/2022 | 1,522,500 | |
2,775,000 | Valeant Pharmaceuticals International, Inc., Sr. Unsecd. Note, Series 144A, 9.00%, 12/15/2025 | 2,899,042 | |
8,300,000 | Vrx Escrow Corp, Series 144A, 5.875%, 5/15/2023 | 7,708,625 | |
TOTAL | 79,473,417 | ||
Refining—0.4% | |||
7,775,000 | CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/1/2022 | 8,047,125 | |
Restaurants—1.0% | |||
10,025,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Series 144A, 5.00%, 10/15/2025 | 10,150,313 | |
925,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Sr. Secd. Note, Series 144A, 4.25%, 5/15/2024 | 925,000 | |
525,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Sr. Unsecd. Note, Series 144A, 4.75%, 6/1/2027 | 538,125 | |
925,000 | Performance Food Group, Inc., Series 144A, 5.50%, 6/1/2024 | 957,375 | |
2,400,000 | Yum! Brands, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 6/1/2024 | 2,481,000 | |
4,825,000 | Yum! Brands, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 6/1/2026 | 5,090,375 | |
TOTAL | 20,142,188 | ||
Retailers—1.6% | |||
10,475,000 | Argos Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 7.125%, 3/15/2023 | 6,258,812 | |
3,125,000 | Hanesbrands, Inc., Sr. Unsecd. Note, Series 144A, 4.875%, 5/15/2026 | 3,218,750 | |
5,500,000 | Michaels Stores, Inc., Series 144A, 5.875%, 12/15/2020 | 5,582,500 | |
6,350,000 | Party City Holdings, Inc., Sr. Unsecd. Note, Series 144A, 6.125%, 8/15/2023 | 6,588,125 | |
2,350,000 | PetSmart, Inc., Sr. Unsecd. Note, Series 144A, 8.875%, 6/1/2025 | 1,427,625 | |
5,350,000 | Rite Aid Corp., Sr. Unsecd. Note, Series 144A, 6.125%, 4/1/2023 | 4,848,438 | |
5,100,000 | Sally Hldgs. LLC/Sally Capital, Inc., 5.625%, 12/1/2025 | 5,100,000 | |
TOTAL | 33,024,250 | ||
Supermarkets—0.5% | |||
5,900,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 5.75%, 3/15/2025 | 5,354,250 | |
4,250,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 6.625%, 6/15/2024 | 4,080,000 | |
TOTAL | 9,434,250 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—9.6% | |||
$9,475,000 | BMC Software, Inc., Series 144A, 8.125%, 7/15/2021 | $9,581,594 | |
900,000 | CDW LLC/CDW Finance, Sr. Unsecd. Note, 5.00%, 9/1/2025 | 936,000 | |
6,425,000 | CDW LLC/CDW Finance, Sr. Unsecd. Note, 5.50%, 12/1/2024 | 7,019,312 | |
5,700,000 | CommScope Technologies Finance LLC, Series 144A, 6.00%, 6/15/2025 | 6,084,750 | |
925,000 | CommScope, Inc., Series 144A, 5.50%, 6/15/2024 | 965,469 | |
1,125,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, Series 144A, 5.875%, 6/15/2021 | 1,170,000 | |
8,225,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Unsecd. Note, Series 144A, 7.125%, 6/15/2024 | 9,008,366 | |
8,225,000 | Ensemble S Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 9.00%, 9/30/2023 | 8,739,062 | |
1,900,000 | First Data Corp., Series 144A, 5.375%, 8/15/2023 | 1,982,460 | |
20,800,000 | First Data Corp., Series 144A, 5.75%, 1/15/2024 | 21,678,800 | |
2,575,000 | First Data Corp., Sr. Unsecd. Note, Series 144A, 7.00%, 12/1/2023 | 2,729,500 | |
2,325,000 | Gartner, Inc., Sr. Unsecd. Note, Series 144A, 5.125%, 4/1/2025 | 2,435,438 | |
9,825,000 | Inception Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 8.625%, 11/15/2024 | 10,512,750 | |
10,675,000 | Infor Software Parent, Inc., Series 144A, 7.125%, 5/1/2021 | 10,968,562 | |
11,300,000 | Infor US, Inc., 6.50%, 5/15/2022 | 11,752,000 | |
7,200,000 | Italics Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 7.125%, 7/15/2023 | 7,398,000 | |
7,025,000 | JDA Escrow LLC/JDA Bond Finance, Inc., Series 144A, 7.375%, 10/15/2024 | 7,376,250 | |
4,750,000 | MSCI, Inc., Series 144A, 5.75%, 8/15/2025 | 5,124,062 | |
2,075,000 | NCR Corp., 6.375%, 12/15/2023 | 2,178,750 | |
3,350,000 | NCR Corp., Sr. Unsecd. Note, 4.625%, 2/15/2021 | 3,387,687 | |
2,800,000 | NCR Corp., Sr. Unsecd. Note, 5.00%, 7/15/2022 | 2,863,000 | |
1,800,000 | NCR Corp., Sr. Unsecd. Note, 5.875%, 12/15/2021 | 1,851,750 | |
3,707,000 | Nuance Communications, Inc., Series 144A, 5.375%, 8/15/2020 | 3,767,239 | |
5,350,000 | Nuance Communications, Inc., Sr. Unsecd. Note, 5.625%, 12/15/2026 | 5,597,437 | |
1,750,000 | Nuance Communications, Inc., Sr. Unsecd. Note, 6.00%, 7/1/2024 | 1,885,625 | |
800,000 | Qorvo, Inc., Sr. Unsecd. Note, 7.00%, 12/1/2025 | 897,000 | |
6,800,000 | Riverbed Technology, Inc., Sr. Unsecd. Note, Series 144A, 8.875%, 3/1/2023 | 6,443,000 | |
3,950,000 | SS&C Technologies Holdings, Inc., 5.875%, 7/15/2023 | 4,187,000 | |
3,100,000 | Sabre GLBL, Inc., Series 144A, 5.375%, 4/15/2023 | 3,208,500 | |
1,275,000 | Sensata Technologies B.V., Series 144A, 5.625%, 11/1/2024 | 1,405,688 | |
1,025,000 | Sensata Technologies B.V., Sr. Unsecd. Note, Series 144A, 5.00%, 10/1/2025 | 1,089,063 | |
1,300,000 | Sensata Technologies UK Financing Co. PLC, Sr. Unsecd. Note, Series 144A, 6.25%, 2/15/2026 | 1,420,250 | |
8,975,000 | Solera LLC/Solera Finance, Inc., Series 144A, 10.50%, 3/1/2024 | 10,141,570 | |
2,575,000 | Symantec Corp., Sr. Unsecd. Note, Series 144A, 5.00%, 4/15/2025 | 2,684,437 | |
3,950,000 | TTM Technologies, Sr. Unsecd. Note, Series 144A, 5.625%, 10/1/2025 | 4,058,625 | |
9,175,000 | Tempo Acquisition LLC, Sr. Unsecd. Note, Series 144A, 6.75%, 6/1/2025 | 9,358,500 | |
825,000 | Vantiv LLC, Sr. Unsecd. Note, Series 144A, 4.375%, 11/15/2025 | 837,524 | |
750,000 | Verisign, Inc., 4.625%, 5/1/2023 | 773,438 | |
1,025,000 | Verisign, Inc., Sr. Unsecd. Note, 4.75%, 7/15/2027 | 1,053,188 | |
TOTAL | 194,551,646 | ||
Transportation Services—0.6% | |||
425,000 | Avis Budget Group, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 3/15/2025 | 422,344 | |
5,450,000 | Avis Budget Group, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 4/1/2024 | 5,696,885 | |
2,900,000 | HDTFS, Inc., 6.25%, 10/15/2022 | 2,813,000 | |
3,000,000 | Hertz Corp., Series 144A, 7.625%, 6/1/2022 | 3,150,000 | |
1,100,000 | Hertz Corp., Sr. Unsecd. Note, Series 144A, 5.50%, 10/15/2024 | 998,250 | |
TOTAL | 13,080,479 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—2.1% | |||
$9,800,000 | Calpine Corp., 5.75%, 1/15/2025 | $9,346,750 | |
500,000 | Calpine Corp., Bond, Series 144A, 6.00%, 1/15/2022 | 516,875 | |
900,000 | Calpine Corp., Series 144A, 5.25%, 6/1/2026 | 885,384 | |
2,025,000 | Calpine Corp., Series 144A, 5.875%, 1/15/2024 | 2,065,500 | |
6,675,000 | Enviva Partners LP/Enviva Partners Finance Corp., Sr. Unsecd. Note, 8.50%, 11/1/2021 | 7,133,906 | |
3,850,000 | NRG Energy, Inc., 6.25%, 5/1/2024 | 4,052,125 | |
6,075,000 | NRG Energy, Inc., Sr. Unsecd. Note, 6.625%, 1/15/2027 | 6,454,687 | |
2,550,000 | NRG Energy, Inc., Sr. Unsecd. Note, 7.25%, 5/15/2026 | 2,789,037 | |
950,000 | NRG Energy, Inc., Sr. Unsecd. Note, Series 144A, 5.75%, 1/15/2028 | 961,875 | |
425,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, Series 144A, 4.25%, 1/31/2023 | 422,344 | |
4,775,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, Series 144A, 5.00%, 1/31/2028 | 4,733,219 | |
2,675,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, Series 144A, 6.625%, 6/15/2025 | 2,925,781 | |
TOTAL | 42,287,483 | ||
Wireless Communications—4.2% | |||
1,900,000 | Altice Luxembourg SA, Series 144A, 7.75%, 5/15/2022 | 1,864,375 | |
7,875,000 | Altice Luxembourg SA, Sr. Unsecd. Note, Series 144A, 7.625%, 2/15/2025 | 7,569,844 | |
2,050,000 | Digicel Ltd., Sr. Unsecd. Note, Series 144A, 8.25%, 9/30/2020 | 2,021,915 | |
1,125,000 | Numericable Group SA, Series 144A, 6.00%, 5/15/2022 | 1,140,469 | |
2,075,000 | Numericable Group SA, Series 144A, 6.25%, 5/15/2024 | 2,087,969 | |
12,725,000 | Numericable-SFR SAS, Series 144A, 7.375%, 5/1/2026 | 13,154,469 | |
9,850,000 | Sprint Capital Corp., Company Guarantee, 6.875%, 11/15/2028 | 9,936,187 | |
8,875,000 | Sprint Corp., 7.125%, 6/15/2024 | 9,052,500 | |
8,075,000 | Sprint Corp., 7.875%, 9/15/2023 | 8,620,062 | |
2,850,000 | Sprint Corp., Sr. Unsecd. Note, 7.625%, 2/15/2025 | 2,992,500 | |
1,350,000 | Sprint Nextel Corp., Series 144A, 7.00%, 3/1/2020 | 1,447,875 | |
2,475,000 | Sprint Nextel Corp., Sr. Unsecd. Note, 6.00%, 11/15/2022 | 2,481,187 | |
4,075,000 | T-Mobile USA, Inc., 6.625%, 4/1/2023 | 4,258,375 | |
5,050,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.125%, 4/15/2025 | 5,258,312 | |
1,150,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 5.375%, 4/15/2027 | 1,229,063 | |
1,625,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.00%, 3/1/2023 | 1,705,438 | |
3,475,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2025 | 3,726,937 | |
4,050,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.50%, 1/15/2024 | 4,303,125 | |
1,900,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.50%, 1/15/2026 | 2,078,125 | |
TOTAL | 84,928,727 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $1,915,225,478) | 1,950,133,534 | ||
INVESTMENT COMPANY—3.2% | |||
64,459,132 | 1 | Federated Institutional Prime Value Obligations Fund, Institutional Shares, 1.44%2 (IDENTIFIED COST $64,470,695) | 64,452,686 |
TOTAL INVESTMENT IN SECURITIES—98.9% (IDENTIFIED COST $1,979,696,173)3 | 2,014,586,220 | ||
OTHER ASSETS AND LIABILITIES - NET—1.1%4 | 21,956,892 | ||
TOTAL NET ASSETS—100% | $2,036,543,112 |
1 | Affiliated holding. |
Federated Institutional Prime Value Obligations Fund, Institutional Shares | |
Balance of Shares Held 12/31/2016 | 31,814,396 |
Purchases/Additions | 481,226,820 |
Sales/Reductions | (448,582,084) |
Balance of Shares Held 12/31/2017 | 64,459,132 |
Value | $64,452,686 |
Change in Unrealized Appreciation/Depreciation | $(20,270) |
Net Realized Gain/(Loss) | $5,155 |
Dividend Income | $608,789 |
2 | 7-day net yield. |
3 | The cost of investments for federal tax purposes amounts to $1,980,185,976. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $1,950,133,534 | $— | $1,950,133,534 |
Investment Company | 64,452,686 | — | — | 64,452,686 |
TOTAL SECURITIES | $64,452,686 | $1,950,133,534 | $— | $2,014,586,220 |
MTN | —Medium Term Note |
Year Ended December 31 | 2017 | 2016 | 2015 | 2014 | 2013 |
Net Asset Value, Beginning of Period | $6.32 | $5.82 | $6.34 | $6.62 | $6.68 |
Income From Investment Operations: | |||||
Net investment income | 0.39 | 0.40 | 0.41 | 0.431 | 0.471 |
Net realized and unrealized gain (loss) on investments | 0.08 | 0.50 | (0.51) | (0.19) | 0.04 |
TOTAL FROM INVESTMENT OPERATIONS | 0.47 | 0.90 | (0.10) | 0.24 | 0.51 |
Less Distributions: | |||||
Distributions from net investment income | (0.39) | (0.40) | (0.41) | (0.45) | (0.50) |
Distributions from net realized gain on investments | — | — | (0.01) | (0.07) | (0.07) |
TOTAL DISTRIBUTIONS | (0.39) | (0.40) | (0.42) | (0.52) | (0.57) |
Net Asset Value, End of Period | $6.40 | $6.32 | $5.82 | $6.34 | $6.62 |
Total Return2 | 7.55% | 15.90% | (1.81)% | 3.53% | 7.80% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.02% | 0.02% | 0.02% | 0.01% | 0.00%3 |
Net investment income | 6.05% | 6.47% | 6.37% | 6.50% | 7.08% |
Expense waiver/reimbursement4 | 0.00%5 | 0.00%5 | —% | 0.01% | 0.02% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $2,036,543 | $2,121,645 | $2,379,520 | $2,691,244 | $2,425,364 |
Portfolio turnover | 28% | 25% | 33% | 29% | 30% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value |
3 | The Adviser reimbursed all operating expenses incurred by the Fund. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
5 | Represents less than 0.01%. |
Assets: | ||
Investment in securities, at value including $64,452,686 of investment in an affiliated holding (identified cost $1,979,696,173) | $2,014,586,220 | |
Income receivable | 31,720,935 | |
TOTAL ASSETS | 2,046,307,155 | |
Liabilities: | ||
Payable for shares redeemed | $400,000 | |
Bank overdraft | 7 | |
Income distribution payable | 9,183,065 | |
Accrued expenses (Note 5) | 180,971 | |
TOTAL LIABILITIES | 9,764,043 | |
Net assets for 318,313,749 shares outstanding | $2,036,543,112 | |
Net Assets Consist of: | ||
Paid-in capital | $2,067,514,633 | |
Net unrealized appreciation of investments | 34,890,047 | |
Accumulated net realized loss on investments | (67,154,228) | |
Undistributed net investment income | 1,292,660 | |
TOTAL NET ASSETS | $2,036,543,112 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$2,036,543,112 ÷ 318,313,749 shares outstanding, no par value, unlimited shares authorized | $6.40 |
Investment Income: | ||
Interest | $124,939,221 | |
Dividends received from an affiliated holding (see footnotes to Portfolio of Investments) | 608,789 | |
TOTAL INCOME | 125,548,010 | |
Expenses: | ||
Custodian fees | $71,912 | |
Transfer agent fee | 148,375 | |
Directors'/Trustees' fees (Note 5) | 20,326 | |
Auditing fees | 34,800 | |
Legal fees | 8,646 | |
Portfolio accounting fees | 176,914 | |
Share registration costs | 1,350 | |
Printing and postage | 16,019 | |
Insurance fees | 7,240 | |
Miscellaneous (Note 5) | 24,904 | |
TOTAL EXPENSES | 510,486 | |
Reimbursement of other operating expenses (Note 2) | (9,234) | |
Net expenses | 501,252 | |
Net investment income | 125,046,758 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized gain on investments (including net realized gain of $5,155 on sales of investments in affiliated holding) | 11,007,861 | |
Net change in unrealized appreciation of investments (including net change in unrealized appreciation of $(20,270) on investments in an affiliated holding) | 16,258,666 | |
Net realized and unrealized gain on investments | 27,266,527 | |
Change in net assets resulting from operations | $152,313,285 |
Year Ended December 31 | 2017 | 2016 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $125,046,758 | $143,819,409 |
Net realized gain (loss) on investments | 11,007,861 | (56,661,101) |
Net change in unrealized appreciation/depreciation of investments | 16,258,666 | 240,045,320 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 152,313,285 | 327,203,628 |
Distributions to Shareholders: | ||
Distributions from net investment income | (125,022,877) | (146,013,790) |
Share Transactions: | ||
Proceeds from sale of shares | 115,889,630 | 58,588,924 |
Net asset value of shares issued to shareholders in payment of distributions declared | 11,548,537 | 14,201,986 |
Cost of shares redeemed | (239,830,304) | (511,855,888) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (112,392,137) | (439,064,978) |
Change in net assets | (85,101,729) | (257,875,140) |
Net Assets: | ||
Beginning of period | 2,121,644,841 | 2,379,519,981 |
End of period (including undistributed net investment income of $1,292,660 and $287,027, respectively) | $2,036,543,112 | $2,121,644,841 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
■ | With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts; |
■ | Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; |
■ | Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry. |
Year Ended December 31 | 2017 | 2016 |
Shares sold | 18,074,556 | 9,480,240 |
Shares issued to shareholders in payment of distributions declared | 1,793,772 | 2,329,849 |
Shares redeemed | (37,408,198) | (84,799,397) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (17,539,870) | (72,989,308) |
Increase (Decrease) | ||
Paid-In Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) |
$(384) | $981,752 | $(981,368) |
2017 | 2016 | |
Ordinary income | $125,022,877 | $146,013,790 |
Undistributed ordinary income | $1,647,787 |
Unrealized appreciation (depreciation) | $34,400,244 |
Capital loss carryforwards | $(67,019,552) |
Short-Term | Long-Term | Total |
$— | $67,019,552 | $67,019,552 |
Purchases | $565,812,742 |
Sales | $711,278,357 |
February 22, 2018
Beginning Account Value 7/1/2017 | Ending Account Value 12/31/2017 | Expenses Paid During Period1 | |
Actual | $1,000.00 | $1,022.40 | $0.10 |
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,025.10 | $0.10 |
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 reflect the one-half-year period). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 President and Trustee Indefinite Term Began serving: October 2005 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of the Funds in the Federated Fund Family; President, Chief Executive Officer and Director, Federated Investors, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
John B. Fisher* Birth Date: May 16, 1956 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of certain of the Funds in the Federated Fund Family; Vice President, Federated Investors, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President of some of the Funds in the Federated Fund Complex and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; President and CEO of Passport Research, Ltd.; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
* | Reasons for “interested” status: J. Christopher Donahue and John B. Fisher are interested due to their beneficial ownership of shares of Federated Investors, Inc. and due to positions they hold with Federated and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, Current Chair of the Compensation Committee, KLX Corp. Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO, The Collins Group, Inc. (a private equity firm). Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee of the Federated Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Chair of the Audit Committee, Governance Committee, Publix Super Markets, Inc.; Director, Member of the Audit Committee and Technology Committee of Equifax, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough is an Executive Committee member of the United States Golf Association, he serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama and is on the Business School Board of Visitors for Wake Forest University. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Fund Family; Dean of the Duquesne University School of Law; Professor and Adjunct Professor of Law, Duquesne University School of Law; formerly, Interim Dean of the Duquesne University School of Law; Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously served as: Associate General Secretary, Diocese of Pittsburgh; a member of the Superior Court of Pennsylvania; and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green also currently holds the positions on either a public or not for profit Board of Directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Director, Saint Vincent College; Member, Pennsylvania State Board of Education (public); and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.), where she currently serves as a member of the Compensation, Nominating and Corporate Governance Committee (Chair) and the Health, Safety and Environmental Committee. Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Regent, St. Vincent Seminary; and Director and Chair, Cardinal Wuerl North Catholic High School, Inc. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 2005 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant. Other Directorships Held: None. Qualifications: Mr. Mansfield has served as a Marine Corps officer and in several banking, business management, educational roles and directorship positions throughout his long career. He remains active as a Management Consultant. |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CNX Resources Corporation (formerly known as CONSOL Energy Inc.) Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CNX Resources Corporation (formerly known as CONSOL Energy Inc.); and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: November 2005 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Investors, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: October 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Investors, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Investors, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Investors, Inc. |
Richard B. Fisher Birth Date: May 17, 1923 VICE CHAIRMAN Officer since: October 2005 | Principal Occupations: Vice Chairman or Vice President of some of the Funds in the Federated Fund Family; Vice Chairman, Federated Investors, Inc.; Chairman, Federated Securities Corp. Previous Positions: President and Director or Trustee of some of the Funds in the Federated Fund Family; Executive Vice President, Federated Investors, Inc.; Director and Chief Executive Officer, Federated Securities Corp. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Fund Family; Vice President and Chief Compliance Officer of Federated Investors, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Investors, Inc. Prior to joining Federated, Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: September 2006 | Principal Occupations: Robert J. Ostrowski joined Federated in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated's taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
2018 ©Federated Investors, Inc.
Ticker FMBPX |
1 | Please see the footnotes to the line graph under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the BBMBS. |
2 | 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. |
3 | Investment-grade securities are securities that are rated at least “BBB- (minus)” or unrated securities of a comparable quality. Noninvestment-grade securities are securities that are not rated at least “BBB- (minus)” or unrated securities of a comparable quality. Credit ratings are an indication of the risk that a security will default. They do not protect a security from credit risk. Lower-rated bonds typically offer higher yields to help compensate investors for the increased risk associated with them. Among these risks are lower credit-worthiness, greater price volatility, more risk to principal and income than with higher-rated securities and increased possibilities of default. |
4 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
Federated Mortgage Strategy Portfolio | BBMBS | |
F | I | |
12/31/2007 | 10,000 | 10,000 |
12/31/2008 | 10,517 | 10,834 |
12/31/2009 | 11,277 | 11,472 |
12/31/2010 | 11,858 | 12,088 |
12/31/2011 | 12,503 | 12,841 |
12/31/2012 | 12,895 | 13,174 |
12/31/2013 | 12,626 | 12,988 |
12/31/2014 | 13,365 | 13,777 |
12/31/2015 | 13,588 | 13,985 |
12/31/2016 | 13,900 | 14,219 |
12/31/2017 | 14,282 | 14,571 |
1 Year | 5 Years | 10 Years | |
Fund | 2.75% | 2.06% | 3.63% |
BBMBS | 2.47% | 2.04% | 3.84% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBMBS has been adjusted to reflect reinvestment of dividends on securities in the index. |
2 | The BBMBS 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. |
Type of Investment | Percentage of Total Net Assets2 |
U.S. Government Agency Mortgage-Backed Securities | 81.1% |
Asset-Backed Securities | 6.8% |
Non-Agency Mortgage-Backed Securities | 4.5% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 3.1% |
Cash Equivalents3 | 5.0% |
Other Assets and Liabilities—Net4 | (0.5)% |
TOTAL | 100.0% |
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 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 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 the table will differ from those presented on the Portfolio of Investments. |
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. |
Shares or Principal Amount | Value | ||
INVESTMENT COMPANY—99.7% | |||
8,443,514 | 1 | Federated Mortgage Core Portfolio (IDENTIFIED COST $83,244,072) | $82,746,435 |
REPURCHASE AGREEMENT—0.5% | |||
$382,000 | Interest in $950,000,000 joint repurchase agreement 1.42%, dated 12/29/2017 under which Bank of America, N.A. will repurchase securities provided as collateral for $950,149,889 on 1/2/2018. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities maturing on 7/20/2046 and the market value of those underlying securities was $969,152,887. (IDENTIFIED COST $382,000) | 382,000 | |
TOTAL INVESTMENT IN SECURITIES—100.2% (IDENTIFIED COST $83,626,072)2 | 83,128,435 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.2)%3 | (158,560) | ||
TOTAL NET ASSETS—100% | $82,969,875 |
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 with this Report. |
Federated Mortgage Core Portfolio | |
Balance of Shares Held 12/31/2016 | 8,512,317 |
Purchases/Additions | 1,625,904 |
Sales/Reductions | (1,694,707) |
Balance of Shares Held 12/31/2017 | 8,443,514 |
Value | $82,746,435 |
Change in Unrealized Appreciation/Depreciation | $245,200 |
Net Realized Gain/(Loss) | $(325,667) |
Dividend Income | $2,452,075 |
2 | The cost of investments for federal tax purposes amounts to $84,978,811. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Year Ended December 31 | 2017 | 2016 | 2015 | 2014 | 2013 |
Net Asset Value, Beginning of Period | $9.91 | $9.95 | $10.07 | $9.81 | $10.31 |
Income From Investment Operations: | |||||
Net investment income | 0.28 | 0.27 | 0.29 | 0.31 | 0.29 |
Net realized and unrealized gain (loss) on investments | (0.01) | (0.04) | (0.12) | 0.26 | (0.50) |
TOTAL FROM INVESTMENT OPERATIONS | 0.27 | 0.23 | 0.17 | 0.57 | (0.21) |
Less Distributions: | |||||
Distributions from net investment income | (0.28) | (0.27) | (0.29) | (0.31) | (0.29) |
Net Asset Value, End of Period | $9.90 | $9.91 | $9.95 | $10.07 | $9.81 |
Total Return1 | 2.75% | 2.30% | 1.67% | 5.85% | (2.09)% |
Ratios to Average Net Assets: | |||||
Net expenses2 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Net investment income | 2.82% | 2.67% | 2.86% | 3.07% | 2.86% |
Expense waiver/reimbursement3 | 0.26% | 0.26% | 0.27% | 0.33% | 0.33% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $82,970 | $83,685 | $78,397 | $68,304 | $51,429 |
Portfolio turnover | 18% | 9% | 20% | 16% | 37% |
1 | Based on net asset value. |
2 | The Adviser has contractually agreed to reimburse all operating expenses, excluding extraordinary expenses, incurred by the Fund. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in securities, at value including $82,746,435 of investment in an affiliated holding (identified cost $83,626,072) | $83,128,435 | |
Cash | 650 | |
Income receivable | 202,951 | |
Receivable for investments sold | 100,000 | |
Receivable for shares sold | 22 | |
TOTAL ASSETS | 83,432,058 | |
Liabilities: | ||
Payable for investments purchased | $202,905 | |
Payable for shares redeemed | 74 | |
Income distribution payable | 199,250 | |
Payable to adviser (Note 5) | 1,857 | |
Payable for administrative fees (Note 5) | 546 | |
Payable for auditing fees | 27,740 | |
Payable for portfolio accounting fees | 17,906 | |
Accrued expenses (Note 5) | 11,905 | |
TOTAL LIABILITIES | 462,183 | |
Net assets for 8,377,094 shares outstanding | $82,969,875 | |
Net Assets Consist of: | ||
Paid-in capital | $85,133,389 | |
Net unrealized depreciation of investments | (497,637) | |
Accumulated net realized loss on investments | (1,667,528) | |
Undistributed net investment income | 1,651 | |
TOTAL NET ASSETS | $82,969,875 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$82,969,875 ÷ 8,377,094 shares outstanding, no par value, unlimited shares authorized | $9.90 |
Investment Income: | ||
Dividends received from an affiliated holding (see footnotes to Portfolio of Investments) | $2,452,075 | |
Interest | 2,231 | |
TOTAL INCOME | 2,454,306 | |
Expenses: | ||
Administrative fee (Note 5) | $68,982 | |
Custodian fees | 6,587 | |
Transfer agent fee | 8,642 | |
Directors'/Trustees' fees (Note 5) | 2,141 | |
Auditing fees | 27,740 | |
Legal fees | 8,641 | |
Portfolio accounting fees | 44,280 | |
Share registration costs | 20,466 | |
Printing and postage | 16,310 | |
Commitment fee (Note 7) | 11,276 | |
Miscellaneous (Note 5) | 10,931 | |
TOTAL EXPENSES | 225,996 | |
Reimbursement of other operating expenses (Note 5) | (225,996) | |
Net investment income | 2,454,306 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized loss on investments in an affiliated holding | (325,667) | |
Net change in unrealized depreciation of investments in an affiliated fund holding | 245,200 | |
Net realized and unrealized loss on investments | (80,467) | |
Change in net assets resulting from operations | $2,373,839 |
Year Ended December 31 | 2017 | 2016 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $2,454,306 | $2,176,300 |
Net realized loss on investments | (325,667) | (83,902) |
Net change in unrealized appreciation/depreciation of investments | 245,200 | (323,338) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 2,373,839 | 1,769,060 |
Distributions to Shareholders: | ||
Distributions from net investment income | (2,454,228) | (2,175,973) |
Share Transactions: | ||
Proceeds from sale of shares | 20,068,381 | 14,019,047 |
Net asset value of shares issued to shareholders in payment of distributions declared | 38,594 | 21,247 |
Cost of shares redeemed | (20,742,138) | (8,345,084) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (635,163) | 5,695,210 |
Change in net assets | (715,552) | 5,288,297 |
Net Assets: | ||
Beginning of period | 83,685,427 | 78,397,130 |
End of period (including undistributed net investment income of $1,651 and $1,573, respectively) | $82,969,875 | $83,685,427 |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
Year Ended December 31 | 2017 | 2016 |
Shares sold | 2,020,856 | 1,390,838 |
Shares issued to shareholders in payment of distributions declared | 3,886 | 2,107 |
Shares redeemed | (2,088,738) | (827,967) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (63,996) | 564,978 |
2017 | 2016 | |
Ordinary income | $2,454,228 | $2,175,973 |
Undistributed ordinary income | $1,651 |
Net unrealized depreciation | $(1,850,376) |
Capital loss carryforwards | $(314,789) |
Short-Term | Long-Term | Total |
$— | $(314,789) | $(314,789) |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.150% | on the first $5 billion |
0.125% | on the next $5 billion |
0.100% | on the next $10 billion |
0.075% | on assets in excess of $20 billion |
Purchases | $15,981,075 |
Sales | $16,660,000 |
February 22, 2018
Beginning Account Value 7/1/2017 | Ending Account Value 12/31/2017 | Expenses Paid During Period1 | |
Actual | $1,000.00 | $1,011.30 | $0.00 |
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,025.20 | $0.00 |
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 reflect the one-half-year period). The Adviser has contractually agreed to reimburse all expenses, excluding extraordinary expenses incurred by the Fund. This agreement has no fixed term. |
1 | Please see the footnotes to the line graph under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the BBMBS. |
2 | 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. |
3 | Investment-grade securities are securities that are rated at least “BBB- (minus)” or unrated securities of a comparable quality. Noninvestment-grade securities are securities that are not rated at least “BBB- (minus)” or unrated securities of a comparable quality. Credit ratings are an indication of the risk that a security will default. They do not protect a security from credit risk. Lower-rated bonds typically offer higher yields to help compensate investors for the increased risk associated with them. Among these risks are lower credit-worthiness, greater price volatility, more risk to principal and income than with higher-rated securities and increased possibilities of default. |
4 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
Federated Mortgage Core Portfolio | NA | BBMBS | |
F | NA | I | |
12/31/2007 | 10,000 | 10,000 | |
12/31/2008 | 10,528 | 10,834 | |
12/31/2009 | 11,275 | 11,472 | |
12/31/2010 | 11,843 | 12,088 | |
12/31/2011 | 12,489 | 12,841 | |
12/31/2012 | 12,881 | 13,174 | |
12/31/2013 | 12,619 | 12,988 | |
12/31/2014 | 13,362 | 13,777 | |
12/31/2015 | 13,584 | 13,985 | |
12/31/2016 | 13,896 | 14,219 | |
12/31/2017 | 14,279 | 14,571 |
1 Year | 5 Years | 10 Years | |
Fund | 2.75% | 2.08% | 3.63% |
BBMBS | 2.47% | 2.04% | 3.84% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BBMBS has been adjusted to reflect reinvestment of dividends on securities in the index. |
2 | The BBMBS 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. |
Type of Investment | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 81.1% |
Asset-Backed Securities | 6.8% |
Non-Agency Mortgage-Backed Securities | 4.5% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 3.1% |
Cash Equivalents2 | 4.5% |
Other Assets and Liabilities—Net3,4 | (0.0)% |
TOTAL | 100.0% |
1 | See the Fund's Private Offering Memorandum for a description of the principal types of securities in which the Fund invests. |
2 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
4 | Represents less than 0.1%. |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—6.8% | |||
Auto Receivables—5.7% | |||
$12,960,000 | AmeriCredit Automobile Receivables Trust 2015-2, Class D, 3.000%, 6/8/2021 | $13,051,445 | |
15,500,000 | AmeriCredit Automobile Receivables Trust 2015-3, Class D, 3.340%, 8/8/2021 | 15,592,104 | |
13,322,000 | Capital Auto Receivables Asset Trust 2015-2, Class D, 3.160%, 11/20/2020 | 13,446,323 | |
7,400,000 | Capital Auto Receivables Asset Trust 2015-3, Class D, 3.340%, 3/22/2021 | 7,493,661 | |
19,940,000 | Santander Drive Auto Receivables Trust 2015-1, Class D, 3.240%, 4/15/2021 | 20,062,939 | |
18,140,000 | Santander Drive Auto Receivables Trust 2015-2, Class D, 3.020%, 4/15/2021 | 18,326,594 | |
14,580,000 | Santander Drive Auto Receivables Trust 2015-3, Class D, 3.490%, 5/17/2021 | 14,711,694 | |
TOTAL | 102,684,760 | ||
Other—1.0% | |||
5,131,099 | Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 | 5,165,709 | |
7,346,821 | Sofi Consumer Loan Program Trust 2016-2, Class A, 3.090%, 10/27/2025 | 7,388,146 | |
5,088,080 | Sofi Consumer Loan Program Trust 2016-3, Class A, 3.050%, 12/26/2025 | 5,116,117 | |
TOTAL | 17,669,972 | ||
Student Loans—0.1% | |||
2,046,997 | Social Professional Loan Program LLC 2014-A, Class A2, 3.020%, 10/25/2027 | 2,055,384 | |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $121,575,273) | 122,410,116 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—3.1% | |||
Agency Commercial Mortgage-Backed Securities—3.1% | |||
8,544,324 | FHLMC REMIC K050 A1, 2.802%, 1/25/2025 | 8,588,623 | |
21,897,385 | FHLMC REMIC K060 A1, 2.958%, 7/25/2026 | 22,228,425 | |
24,000,000 | FNMA REMIC 2015-M4 AV2, 2.509%, 7/25/2022 | 23,974,363 | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $55,288,473) | 54,791,411 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—4.5% | |||
Non-Agency Mortgage-Backed Securities—4.5% | |||
1,053,069 | Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 | 1,028,009 | |
571,040 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 435,116 | |
3,758,627 | Credit Suisse Mortgage Trust 2014-WIN2, Class A2, 3.500%, 10/25/2044 | 3,819,453 | |
8,821,323 | Credit Suisse Mortgage Trust 2015-WIN1, Class A6, 3.500%, 12/25/2044 | 8,943,154 | |
569,570 | Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 3.776%, 8/25/2035 | 555,136 | |
1,354,896 | Sequoia Mortgage Trust 2012-1, Class 2A1, 3.474%, 1/25/2042 | 1,376,239 | |
9,517,646 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | 9,035,123 | |
9,186,263 | Sequoia Mortgage Trust 2013-1, Class 2A1, 1.855%, 2/25/2043 | 8,721,856 | |
17,601,742 | Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 | 16,732,845 | |
12,621,826 | Sequoia Mortgage Trust 2013-6, Class A2, 3.000%, 5/25/2043 | 12,594,376 | |
3,617,393 | Sequoia Mortgage Trust 2014-1, Class 2A5, 4.000%, 4/25/2044 | 3,746,901 | |
13,574,915 | Sequoia Mortgage Trust 2014-4, Class A5, 3.500%, 11/25/2044 | 13,804,174 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $82,827,526) | 80,792,382 | ||
MORTGAGE-BACKED SECURITIES—81.1% | |||
Federal Home Loan Mortgage Corporation—32.7% | |||
30,318,436 | 2.500%, 1/1/2031 | 30,325,746 | |
7,023,686 | 3.000%, 1/1/2032 | 7,156,623 | |
44,188,160 | 3.000%, 10/1/2032 | 45,052,127 | |
1,826,245 | 3.000%, 6/1/2045 | 1,830,675 | |
42,076,198 | 3.000%, 12/1/2046 | 42,125,663 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$38,913,316 | 3.000%, 12/1/2046 | $38,959,063 | |
54,750,657 | 3.000%, 1/1/2047 | 54,797,912 | |
25,213,111 | 3.000%, 2/1/2047 | 25,234,872 | |
13,317,188 | 3.000%, 2/1/2047 | 13,328,682 | |
474,636 | 3.500%, 6/1/2026 | 490,855 | |
1,060,451 | 3.500%, 6/1/2026 | 1,096,689 | |
324,140 | 3.500%, 7/1/2026 | 335,217 | |
7,021,295 | 3.500%, 4/1/2042 | 7,260,539 | |
5,549,956 | 3.500%, 7/1/2042 | 5,739,066 | |
11,283,107 | 3.500%, 8/1/2042 | 11,653,464 | |
33,483,686 | 3.500%, 11/1/2045 | 34,499,049 | |
26,297,479 | 3.500%, 6/1/2046 | 27,020,965 | |
29,297,989 | 3.500%, 10/1/2046 | 30,168,113 | |
30,000,000 | 3.500%, 11/1/2047 | 30,831,207 | |
32,000,000 | 3.500%, 6/1/2047 | 32,882,871 | |
101,184 | 4.000%, 2/1/2020 | 104,050 | |
465,209 | 4.000%, 5/1/2024 | 483,125 | |
2,721,618 | 4.000%, 8/1/2025 | 2,834,443 | |
286,874 | 4.000%, 5/1/2026 | 299,484 | |
3,992,220 | 4.000%, 5/1/2026 | 4,167,700 | |
1,871,145 | 4.000%, 9/1/2040 | 1,972,636 | |
2,515,067 | 4.000%, 12/1/2040 | 2,651,484 | |
17,198,386 | 4.000%, 12/1/2041 | 18,125,852 | |
2,153,193 | 4.000%, 1/1/2042 | 2,269,309 | |
9,908,903 | 4.000%, 8/1/2045 | 10,365,852 | |
19,528,602 | 4.000%, 7/1/2045 | 20,447,472 | |
17,927,604 | 4.000%, 10/1/2045 | 18,754,335 | |
194,299 | 4.500%, 6/1/2019 | 196,842 | |
57,863 | 4.500%, 3/1/2021 | 59,319 | |
721,652 | 4.500%, 9/1/2021 | 741,806 | |
330,590 | 4.500%, 7/1/2024 | 345,911 | |
352,004 | 4.500%, 8/1/2024 | 368,628 | |
1,163,718 | 4.500%, 9/1/2024 | 1,219,676 | |
855,983 | 4.500%, 9/1/2024 | 897,124 | |
462,513 | 4.500%, 6/1/2025 | 483,331 | |
1,626,961 | 4.500%, 11/1/2039 | 1,746,518 | |
4,582,941 | 4.500%, 5/1/2040 | 4,918,283 | |
450,736 | 4.500%, 6/1/2040 | 483,577 | |
1,439,581 | 4.500%, 8/1/2040 | 1,544,468 | |
2,933,201 | 4.500%, 8/1/2040 | 3,146,912 | |
954,940 | 4.500%, 7/1/2040 | 1,024,516 | |
451,203 | 4.500%, 7/1/2041 | 493,524 | |
1,938,236 | 4.500%, 7/1/2041 | 2,078,243 | |
866,032 | 4.500%, 7/1/2041 | 928,590 | |
8,431,291 | 4.500%, 9/1/2040 | 9,045,591 | |
41,232 | 5.000%, 7/1/2019 | 41,783 | |
297,515 | 5.000%, 7/1/2020 | 304,332 | |
38,882 | 5.000%, 10/1/2021 | 40,338 | |
127,584 | 5.000%, 11/1/2021 | 132,549 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$149,098 | 5.000%, 12/1/2021 | $155,107 | |
237,792 | 5.000%, 6/1/2023 | 249,253 | |
176,389 | 5.000%, 7/1/2023 | 185,096 | |
356,251 | 5.000%, 7/1/2023 | 374,064 | |
184,361 | 5.000%, 7/1/2025 | 193,038 | |
2,373,390 | 5.000%, 1/1/2034 | 2,573,821 | |
724,809 | 5.000%, 5/1/2034 | 786,138 | |
3,194 | 5.000%, 11/1/2035 | 3,466 | |
203,715 | 5.000%, 4/1/2036 | 221,405 | |
1,009 | 5.000%, 4/1/2036 | 1,097 | |
11,483 | 5.000%, 4/1/2036 | 12,461 | |
1,014,437 | 5.000%, 4/1/2036 | 1,102,030 | |
89,033 | 5.000%, 5/1/2036 | 97,288 | |
162,969 | 5.000%, 6/1/2036 | 177,049 | |
282,513 | 5.000%, 6/1/2036 | 306,544 | |
987,375 | 5.000%, 12/1/2037 | 1,074,362 | |
141,883 | 5.000%, 2/1/2038 | 154,294 | |
170,916 | 5.000%, 5/1/2038 | 185,867 | |
77,427 | 5.000%, 6/1/2038 | 84,151 | |
165,778 | 5.000%, 9/1/2038 | 180,279 | |
486,962 | 5.000%, 9/1/2038 | 529,559 | |
157,739 | 5.000%, 6/1/2039 | 171,316 | |
4,927,600 | 5.000%, 10/1/2039 | 5,350,941 | |
142,186 | 5.000%, 2/1/2039 | 154,535 | |
54,470 | 5.000%, 3/1/2039 | 59,158 | |
403,843 | 5.000%, 2/1/2040 | 438,160 | |
2,094,168 | 5.000%, 4/1/2040 | 2,272,120 | |
942,786 | 5.000%, 8/1/2040 | 1,022,015 | |
2,503,303 | 5.000%, 5/1/2041 | 2,709,762 | |
66,428 | 5.500%, 3/1/2021 | 68,988 | |
360,056 | 5.500%, 4/1/2021 | 373,591 | |
27,274 | 5.500%, 1/1/2022 | 28,555 | |
218,855 | 5.500%, 1/1/2022 | 229,122 | |
74,468 | 5.500%, 1/1/2022 | 77,909 | |
304,305 | 5.500%, 2/1/2022 | 318,348 | |
1,863,486 | 5.500%, 5/1/2034 | 2,062,171 | |
44,795 | 5.500%, 3/1/2036 | 49,800 | |
153,106 | 5.500%, 3/1/2036 | 170,033 | |
119,122 | 5.500%, 3/1/2036 | 132,409 | |
140,887 | 5.500%, 3/1/2036 | 156,303 | |
186,883 | 5.500%, 6/1/2036 | 207,258 | |
138,212 | 5.500%, 6/1/2036 | 153,396 | |
346,949 | 5.500%, 6/1/2036 | 384,596 | |
132,189 | 5.500%, 6/1/2036 | 146,335 | |
112,018 | 5.500%, 9/1/2037 | 124,367 | |
456,014 | 5.500%, 9/1/2037 | 505,812 | |
189,163 | 5.500%, 12/1/2037 | 209,958 | |
35,502 | 5.500%, 3/1/2038 | 39,416 | |
597,511 | 5.500%, 5/1/2038 | 663,007 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$779,679 | 5.500%, 9/1/2038 | $865,144 | |
251,970 | 5.500%, 9/1/2039 | 279,432 | |
449,546 | 5.500%, 5/1/2040 | 498,964 | |
13,665 | 6.000%, 7/1/2029 | 15,437 | |
55,847 | 6.000%, 2/1/2032 | 62,987 | |
82,416 | 6.000%, 5/1/2036 | 93,070 | |
123,862 | 6.000%, 8/1/2037 | 139,573 | |
525,658 | 6.000%, 9/1/2037 | 592,111 | |
25,220 | 6.500%, 3/1/2022 | 27,730 | |
18,568 | 6.500%, 6/1/2029 | 21,171 | |
12,181 | 6.500%, 6/1/2029 | 13,885 | |
6,145 | 6.500%, 7/1/2029 | 6,926 | |
368,285 | 6.500%, 11/1/2036 | 420,658 | |
910,441 | 6.500%, 10/1/2037 | 1,037,525 | |
4,812 | 6.500%, 4/1/2038 | 5,482 | |
3,526 | 6.500%, 4/1/2038 | 4,018 | |
671 | 7.000%, 10/1/2020 | 701 | |
45,799 | 7.000%, 4/1/2032 | 51,036 | |
271,371 | 7.000%, 4/1/2032 | 315,875 | |
74,088 | 7.000%, 9/1/2037 | 86,232 | |
26,167 | 7.500%, 8/1/2029 | 30,433 | |
37,346 | 7.500%, 10/1/2029 | 43,278 | |
17,272 | 7.500%, 11/1/2029 | 20,028 | |
20,302 | 7.500%, 4/1/2031 | 23,067 | |
17,276 | 7.500%, 5/1/2031 | 20,189 | |
4,673 | 8.000%, 3/1/2030 | 5,529 | |
39,802 | 8.000%, 1/1/2031 | 47,503 | |
65,935 | 8.000%, 2/1/2031 | 77,736 | |
64,269 | 8.000%, 3/1/2031 | 76,451 | |
890 | 8.500%, 9/1/2025 | 1,013 | |
3,674 | 8.500%, 9/1/2025 | 4,220 | |
TOTAL | 585,320,155 | ||
Federal National Mortgage Association—33.4% | |||
22,710,670 | 2.500%, 7/1/2031 | 22,694,854 | |
18,298,206 | 2.500%, 1/1/2032 | 18,285,463 | |
3,309,855 | 3.000%, 10/1/2027 | 3,381,551 | |
10,580,898 | 3.000%, 10/1/2029 | 10,796,869 | |
3,575,691 | 3.000%, 12/1/2029 | 3,648,676 | |
7,425,734 | 3.000%, 8/1/2043 | 7,468,981 | |
6,098,505 | 3.000%, 9/1/2043 | 6,134,023 | |
7,819,353 | 3.000%, 12/1/2046 | 7,828,240 | |
13,846,704 | 3.000%, 12/1/2046 | 13,862,441 | |
31,096,350 | 3.000%, 1/1/2047 | 31,121,974 | |
12,777,896 | 3.000%, 4/1/2047 | 12,788,425 | |
785,879 | 3.500%, 11/1/2025 | 812,795 | |
473,738 | 3.500%, 11/1/2025 | 489,964 | |
746,677 | 3.500%, 12/1/2025 | 772,250 | |
895,848 | 3.500%, 1/1/2026 | 926,530 | |
275,868 | 3.500%, 1/1/2026 | 285,317 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$3,508,859 | 3.500%, 12/1/2040 | $3,623,760 | |
11,220,969 | 3.500%, 5/1/2042 | 11,591,917 | |
17,720,813 | 3.500%, 8/1/2042 | 18,331,557 | |
9,617,440 | 3.500%, 9/1/2042 | 9,932,372 | |
7,661,783 | 3.500%, 9/1/2042 | 7,950,984 | |
34,848,406 | 3.500%, 12/1/2042 | 36,201,911 | |
6,288,990 | 3.500%, 12/1/2042 | 6,514,583 | |
9,313,413 | 3.500%, 3/1/2043 | 9,678,054 | |
6,349,962 | 3.500%, 4/1/2043 | 6,598,578 | |
6,753,002 | 3.500%, 5/1/2043 | 6,972,025 | |
3,591,892 | 3.500%, 6/1/2043 | 3,717,931 | |
5,336,481 | 3.500%, 7/1/2044 | 5,537,079 | |
9,055,479 | 3.500%, 7/1/2044 | 9,395,873 | |
32,724,010 | 3.500%, 11/1/2045 | 33,708,669 | |
13,940,201 | 3.500%, 6/1/2046 | 14,322,630 | |
38,177,205 | 3.500%, 2/1/2047 | 39,227,521 | |
693,896 | 4.000%, 12/1/2025 | 723,990 | |
727,223 | 4.000%, 7/1/2026 | 760,581 | |
3,848,082 | 4.000%, 2/1/2041 | 4,056,802 | |
2,482,836 | 4.000%, 12/1/2041 | 2,620,609 | |
10,268,380 | 4.000%, 12/1/2041 | 10,825,337 | |
10,142,948 | 4.000%, 2/1/2042 | 10,832,567 | |
4,077,049 | 4.000%, 3/1/2042 | 4,303,285 | |
8,150,743 | 4.000%, 4/1/2042 | 8,592,839 | |
11,345,831 | 4.000%, 7/1/2042 | 11,975,411 | |
13,927,935 | 4.000%, 5/1/2043 | 14,724,736 | |
11,414,542 | 4.000%, 1/1/2044 | 12,031,883 | |
17,029,254 | 4.000%, 5/1/2044 | 17,990,172 | |
12,958,592 | 4.000%, 5/1/2044 | 13,691,838 | |
5,633,155 | 4.000%, 9/1/2045 | 5,898,209 | |
16,734,448 | 4.000%, 11/1/2045 | 17,521,846 | |
9,137,651 | 4.000%, 5/1/2046 | 9,567,600 | |
178,867 | 4.500%, 12/1/2019 | 181,265 | |
288,816 | 4.500%, 2/1/2039 | 310,164 | |
1,569,751 | 4.500%, 5/1/2040 | 1,685,287 | |
5,429,177 | 4.500%, 10/1/2040 | 5,827,077 | |
532,834 | 4.500%, 11/1/2040 | 571,885 | |
7,807,119 | 4.500%, 3/1/2041 | 8,374,417 | |
5,803,367 | 4.500%, 4/1/2041 | 6,225,064 | |
3,079,570 | 4.500%, 6/1/2041 | 3,302,382 | |
6,388,916 | 4.500%, 9/1/2041 | 6,843,179 | |
2,060,377 | 4.500%, 12/1/2041 | 2,212,024 | |
3,463,356 | 4.500%, 12/1/2041 | 3,718,265 | |
3,803,765 | 4.500%, 1/1/2042 | 4,074,219 | |
9,574,580 | 4.500%, 6/1/2044 | 10,213,460 | |
1,023,989 | 5.000%, 5/1/2023 | 1,073,790 | |
182,381 | 5.000%, 8/1/2023 | 191,252 | |
722,021 | 5.000%, 11/1/2023 | 758,864 | |
3,234,936 | 5.000%, 2/1/2036 | 3,506,982 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$1,840,962 | 5.000%, 1/1/2040 | $1,992,175 | |
1,896,384 | 5.000%, 7/1/2040 | 2,050,639 | |
781,735 | 5.000%, 7/1/2041 | 844,346 | |
1,796,137 | 5.000%, 10/1/2041 | 1,939,993 | |
39,639 | 5.500%, 1/1/2032 | 43,877 | |
81,693 | 5.500%, 1/1/2032 | 90,401 | |
671,185 | 5.500%, 9/1/2034 | 743,952 | |
2,005,764 | 5.500%, 12/1/2034 | 2,220,874 | |
88,000 | 5.500%, 4/1/2035 | 97,432 | |
444,031 | 5.500%, 8/1/2035 | 492,390 | |
718,185 | 5.500%, 11/1/2035 | 795,443 | |
493,696 | 5.500%, 1/1/2036 | 547,133 | |
174,202 | 5.500%, 3/1/2036 | 192,988 | |
576,290 | 5.500%, 5/1/2036 | 638,397 | |
757,632 | 5.500%, 4/1/2036 | 838,972 | |
1,105,713 | 5.500%, 4/1/2036 | 1,225,137 | |
237,121 | 5.500%, 9/1/2036 | 262,806 | |
752,333 | 5.500%, 8/1/2037 | 833,948 | |
276,106 | 5.500%, 7/1/2038 | 306,382 | |
1,036,659 | 5.500%, 4/1/2041 | 1,146,446 | |
20,317 | 6.000%, 1/1/2029 | 22,612 | |
3,313 | 6.000%, 1/1/2029 | 3,518 | |
25,790 | 6.000%, 2/1/2029 | 28,718 | |
9,454 | 6.000%, 2/1/2029 | 10,535 | |
5,501 | 6.000%, 4/1/2029 | 6,174 | |
28,407 | 6.000%, 5/1/2029 | 31,829 | |
15,845 | 6.000%, 5/1/2029 | 17,662 | |
957,389 | 6.000%, 7/1/2034 | 1,083,565 | |
523,707 | 6.000%, 11/1/2034 | 592,428 | |
228,638 | 6.000%, 7/1/2036 | 258,320 | |
87,778 | 6.000%, 7/1/2036 | 99,107 | |
328,172 | 6.000%, 10/1/2037 | 369,523 | |
274,021 | 6.000%, 6/1/2038 | 308,362 | |
1,407,835 | 6.000%, 7/1/2038 | 1,587,437 | |
85,323 | 6.000%, 9/1/2038 | 96,499 | |
76,300 | 6.000%, 10/1/2038 | 86,015 | |
540,548 | 6.000%, 2/1/2039 | 610,332 | |
3,344 | 6.500%, 4/1/2019 | 3,410 | |
42,161 | 6.500%, 9/1/2028 | 46,705 | |
6,669 | 6.500%, 8/1/2029 | 7,547 | |
7,025 | 6.500%, 6/1/2031 | 7,927 | |
25,591 | 6.500%, 6/1/2031 | 29,003 | |
5,821 | 6.500%, 6/1/2031 | 6,571 | |
6,407 | 6.500%, 6/1/2031 | 7,243 | |
34,133 | 6.500%, 12/1/2031 | 38,893 | |
37,123 | 6.500%, 12/1/2031 | 42,344 | |
12,346 | 6.500%, 1/1/2032 | 14,163 | |
75,665 | 6.500%, 3/1/2032 | 86,503 | |
253,465 | 6.500%, 4/1/2032 | 290,059 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$95,268 | 6.500%, 5/1/2032 | $109,489 | |
59,894 | 6.500%, 11/1/2035 | 67,943 | |
437,923 | 6.500%, 7/1/2036 | 499,468 | |
15,115 | 6.500%, 8/1/2036 | 17,263 | |
27,669 | 6.500%, 9/1/2036 | 31,563 | |
146,787 | 6.500%, 12/1/2036 | 167,198 | |
133,847 | 6.500%, 9/1/2037 | 152,486 | |
8,840 | 6.500%, 12/1/2037 | 10,076 | |
151,247 | 6.500%, 10/1/2038 | 172,314 | |
1,796 | 7.000%, 7/1/2023 | 1,955 | |
46,993 | 7.000%, 2/1/2024 | 51,036 | |
1,538 | 7.000%, 5/1/2024 | 1,696 | |
2,901 | 7.000%, 7/1/2024 | 3,223 | |
1,564 | 7.000%, 7/1/2025 | 1,755 | |
23,063 | 7.000%, 9/1/2031 | 26,702 | |
6,723 | 7.000%, 9/1/2031 | 7,812 | |
142,873 | 7.000%, 11/1/2031 | 166,153 | |
13,077 | 7.000%, 12/1/2031 | 15,007 | |
267,327 | 7.000%, 1/1/2032 | 310,106 | |
31,894 | 7.000%, 2/1/2032 | 37,040 | |
57,060 | 7.000%, 3/1/2032 | 66,184 | |
303,933 | 7.000%, 3/1/2032 | 350,473 | |
42,497 | 7.000%, 4/1/2032 | 49,219 | |
6,240 | 7.000%, 4/1/2032 | 7,267 | |
133,723 | 7.000%, 4/1/2032 | 155,764 | |
31,884 | 7.000%, 6/1/2032 | 37,118 | |
457,705 | 7.000%, 6/1/2037 | 531,969 | |
1,118 | 7.500%, 1/1/2030 | 1,305 | |
16,268 | 7.500%, 9/1/2030 | 18,974 | |
19,509 | 7.500%, 5/1/2031 | 22,915 | |
6,498 | 7.500%, 6/1/2031 | 7,575 | |
65,777 | 7.500%, 8/1/2031 | 77,195 | |
51,855 | 7.500%, 1/1/2032 | 60,055 | |
5,518 | 7.500%, 6/1/2033 | 6,399 | |
496 | 8.000%, 7/1/2023 | 542 | |
5,947 | 8.000%, 10/1/2026 | 6,906 | |
6,580 | 8.000%, 8/1/2027 | 7,409 | |
3,834 | 8.000%, 11/1/2029 | 4,542 | |
20 | 9.000%, 11/1/2021 | 20 | |
793 | 9.000%, 6/1/2025 | 915 | |
TOTAL | 596,150,844 | ||
Government National Mortgage Association—15.0% | |||
14,737,593 | 3.000%, 11/20/2045 | 14,895,779 | |
55,557,160 | 3.000%, 12/20/2046 | 56,118,759 | |
7,038,566 | 3.500%, 12/15/2040 | 7,306,268 | |
2,316,745 | 3.500%, 8/15/2043 | 2,404,860 | |
1,982,880 | 3.500%, 8/15/2043 | 2,058,296 | |
27,652,110 | 3.500%, 5/20/2046 | 28,617,406 | |
64,460,154 | 3.500%, 6/20/2046 | 66,710,368 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$2,441,754 | 4.000%, 9/15/2040 | $2,581,062 | |
5,770,857 | 4.000%, 10/15/2040 | 6,100,099 | |
2,635,561 | 4.000%, 1/15/2041 | 2,785,926 | |
3,772,620 | 4.000%, 10/15/2041 | 3,976,660 | |
7,477,278 | 4.000%, 12/20/2046 | 7,801,653 | |
12,477,769 | 4.000%, 5/20/2047 | 13,019,070 | |
15,668,932 | 4.000%, 8/20/2047 | 16,380,499 | |
641,061 | 4.500%, 1/15/2039 | 684,318 | |
588,334 | 4.500%, 6/15/2039 | 632,372 | |
2,076,474 | 4.500%, 10/15/2039 | 2,231,902 | |
647,964 | 4.500%, 1/15/2040 | 696,466 | |
375,956 | 4.500%, 6/15/2040 | 404,097 | |
716,616 | 4.500%, 9/15/2040 | 772,720 | |
679,956 | 4.500%, 2/15/2041 | 730,639 | |
1,844,603 | 4.500%, 3/15/2041 | 1,982,675 | |
193,598 | 4.500%, 5/15/2041 | 206,563 | |
6,446,126 | 4.500%, 6/20/2041 | 6,863,459 | |
977,115 | 4.500%, 9/15/2041 | 1,042,551 | |
1,452,640 | 4.500%, 9/20/2041 | 1,546,686 | |
1,046,354 | 4.500%, 10/15/2043 | 1,116,426 | |
465,953 | 4.500%, 11/15/2043 | 497,157 | |
807,447 | 5.000%, 1/15/2039 | 882,809 | |
808,143 | 5.000%, 5/15/2039 | 883,571 | |
1,187,548 | 5.000%, 8/20/2039 | 1,294,211 | |
6,006,038 | 5.000%, 5/15/2040 | 6,520,857 | |
2,597,806 | 5.000%, 6/15/2040 | 2,820,482 | |
1,657,531 | 5.000%, 7/15/2040 | 1,799,610 | |
333,032 | 5.500%, 12/15/2038 | 375,821 | |
255,429 | 5.500%, 12/20/2038 | 281,292 | |
490,477 | 5.500%, 1/15/2039 | 541,386 | |
533,955 | 5.500%, 2/15/2039 | 589,377 | |
13,057 | 6.000%, 10/15/2028 | 14,695 | |
14,144 | 6.000%, 3/15/2029 | 15,927 | |
13,131 | 6.000%, 6/15/2029 | 14,717 | |
205,335 | 6.000%, 2/15/2036 | 234,463 | |
211,682 | 6.000%, 4/15/2036 | 242,152 | |
265,469 | 6.000%, 6/15/2037 | 302,659 | |
22,307 | 6.500%, 10/15/2028 | 25,509 | |
9,073 | 6.500%, 10/15/2028 | 10,113 | |
12,138 | 6.500%, 11/15/2028 | 13,745 | |
22,837 | 6.500%, 12/15/2028 | 25,878 | |
8,804 | 6.500%, 2/15/2029 | 10,039 | |
16,793 | 6.500%, 3/15/2029 | 19,159 | |
31,817 | 6.500%, 9/15/2031 | 36,874 | |
69,291 | 6.500%, 2/15/2032 | 80,113 | |
27,222 | 7.000%, 11/15/2027 | 31,235 | |
17,325 | 7.000%, 12/15/2027 | 19,997 | |
16,629 | 7.000%, 6/15/2028 | 18,679 | |
26,577 | 7.000%, 11/15/2028 | 30,282 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$10,156 | 7.000%, 1/15/2029 | $11,741 | |
9,245 | 7.000%, 5/15/2029 | 10,752 | |
4,885 | 7.000%, 10/15/2029 | 5,675 | |
26,824 | 7.000%, 5/15/2030 | 31,214 | |
17,794 | 7.000%, 11/15/2030 | 20,735 | |
22,818 | 7.000%, 12/15/2030 | 26,361 | |
34,520 | 7.000%, 6/15/2031 | 39,730 | |
17,447 | 7.000%, 8/15/2031 | 20,321 | |
84,279 | 7.000%, 10/15/2031 | 98,752 | |
12,607 | 7.000%, 12/15/2031 | 14,822 | |
1,068 | 7.500%, 7/15/2029 | 1,105 | |
21,762 | 7.500%, 8/15/2029 | 25,305 | |
51,087 | 7.500%, 10/15/2029 | 59,723 | |
60,996 | 7.500%, 6/15/2030 | 71,804 | |
9,773 | 7.500%, 10/15/2030 | 11,475 | |
8,142 | 7.500%, 1/15/2031 | 9,626 | |
12,214 | 8.000%, 1/15/2022 | 13,210 | |
4,688 | 8.000%, 6/15/2022 | 5,125 | |
197 | 8.000%, 7/15/2025 | 207 | |
4,643 | 8.000%, 8/15/2029 | 5,558 | |
3,020 | 8.000%, 10/15/2029 | 3,630 | |
10,831 | 8.000%, 11/15/2029 | 13,027 | |
11,521 | 8.000%, 1/15/2030 | 13,711 | |
8,350 | 8.000%, 10/15/2030 | 10,002 | |
87,350 | 8.000%, 11/15/2030 | 105,722 | |
4,720 | 8.500%, 5/15/2029 | 5,663 | |
688 | 9.500%, 10/15/2020 | 739 | |
TOTAL | 267,936,123 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $1,440,071,041) | 1,449,407,122 | ||
INVESTMENT COMPANY—4.5% | |||
80,524,558 | 1 | Federated Government Obligations Fund, Premier Shares, 1.18%2 (AT COST) | 80,524,558 |
TOTAL INVESTMENT IN SECURITIES-100.0% (IDENTIFIED COST $1,780,286,871)3 | 1,787,925,589 | ||
OTHER ASSETS AND LIABILITIES-NET—0.0%4 | (507,251) | ||
TOTAL NET ASSETS—100% | $1,787,418,338 |
1 | Affiliated holding. |
Federated Government Obligations Fund, Premier Shares | |
Balance of Shares Held 12/31/2016 | 107,203,788 |
Purchases/Additions | 746,187,820 |
Sales/Reductions | (772,867,050) |
Balance of Shares Held 12/31/2017 | 80,524,558 |
Value | $80,524,558 |
Change in Unrealized Appreciation/Depreciation | $NA |
Net Realized Gain/(Loss) | $NA |
Dividend Income | $1,195,558 |
2 | 7-day net yield. |
3 | The cost of investments for federal tax purposes amounts to $1,777,604,289. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Asset-Backed Securities | $— | $122,410,116 | $— | $122,410,116 |
Commercial Mortgage-Backed Securities | — | 54,791,411 | — | 54,791,411 |
Collateralized Mortgage Obligations | — | 80,792,382 | — | 80,792,382 |
Mortgage-Backed Securities | — | 1,449,407,122 | — | 1,449,407,122 |
Investment Company | 80,524,558 | — | — | 80,524,558 |
TOTAL SECURITIES | $80,524,558 | $1,707,401,031 | $— | $1,787,925,589 |
FHLMC | —Federal Home Loan Mortgage Corporation |
FNMA | —Federal National Mortgage Association |
REMIC | —Real Estate Mortgage Investment Conduit |
Year Ended December 31 | 2017 | 2016 | 2015 | 2014 | 2013 |
Net Asset Value, Beginning of Period | $9.81 | $9.85 | $9.97 | $9.71 | $10.20 |
Income From Investment Operations: | |||||
Net investment income | 0.271 | 0.231 | 0.231 | 0.271 | 0.241 |
Net realized and unrealized gain (loss) on investments and futures contracts | 0.002 | (0.00)2 | (0.07) | 0.29 | (0.45) |
TOTAL FROM INVESTMENT OPERATIONS | 0.27 | 0.23 | 0.16 | 0.56 | (0.21) |
Less Distributions: | |||||
Distributions from net investment income | (0.28) | (0.27) | (0.28) | (0.30) | (0.28) |
Net Asset Value, End of Period | $9.80 | $9.81 | $9.85 | $9.97 | $9.71 |
Total Return3 | 2.75% | 2.30% | 1.66% | 5.89% | (2.04)% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.03% | 0.03% | 0.03% | 0.02% | 0.00%4 |
Net investment income | 2.71% | 2.34% | 2.31% | 2.74% | 2.41% |
Expense waiver/reimbursement5 | 0.00%6 | 0.00%6 | 0.00% | 0.01% | 0.03% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $1,787,418 | $2,147,397 | $1,900,395 | $1,864,143 | $1,399,693 |
Portfolio turnover | 88% | 258% | 307% | 179% | 200% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 46% | 42% | 46% | 40% | 67% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Represents less than $0.01. |
3 | Based on net asset value. |
4 | The Adviser had voluntarily agreed to reimburse all operating expenses incurred by the Fund. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
6 | Represents less than 0.01%. |
Assets: | ||
Investment in securities, at value including $80,524,558 of investment in an affiliated holding (identified cost $1,780,286,871) | $1,787,925,589 | |
Income receivable | 4,720,003 | |
TOTAL ASSETS | 1,792,645,592 | |
Liabilities: | ||
Payable for shares redeemed | $980,000 | |
Income distribution payable | 4,013,018 | |
Accrued expenses (Note 5) | 234,236 | |
TOTAL LIABILITIES | 5,227,254 | |
Net assets for 182,457,319 shares outstanding | $1,787,418,338 | |
Net Assets Consist of: | ||
Paid-in capital | $1,810,052,310 | |
Net unrealized appreciation of investments | 7,638,718 | |
Accumulated net realized loss on investments | (30,531,162) | |
Undistributed net investment income | 258,472 | |
TOTAL NET ASSETS | $1,787,418,338 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$1,787,418,338 ÷ 182,457,319 shares outstanding, no par value, unlimited shares authorized | $9.80 |
Investment Income: | ||
Interest | $51,943,676 | |
Dividends received from affiliated holding (see footnotes to Portfolio of Investments) | 1,195,558 | |
TOTAL INCOME | 53,139,234 | |
Expenses: | ||
Custodian fees | $89,393 | |
Transfer agent fee | 138,447 | |
Directors'/Trustees' fees (Note 5) | 20,220 | |
Auditing fees | 31,881 | |
Legal fees | 8,590 | |
Portfolio accounting fees | 238,738 | |
Share registration costs | 1,050 | |
Printing and postage | 15,219 | |
Miscellaneous (Note 5) | 28,903 | |
TOTAL EXPENSES | 572,441 | |
Reimbursement of other operating expenses (Note 2) | $(4,814) | |
Net expenses | 567,627 | |
Net investment income | 52,571,607 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized loss on investments | (819,475) | |
Net change in unrealized appreciation of investments | 1,537,084 | |
Net realized and unrealized gain on investments | 717,609 | |
Change in net assets resulting from operations | $53,289,216 |
Year Ended December 31 | 2017 | 2016 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $52,571,607 | $49,696,048 |
Net realized gain (loss) on investments and futures contracts | (819,475) | 4,602,512 |
Net change in unrealized appreciation/depreciation of investments and futures contracts | 1,537,084 | (6,440,447) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 53,289,216 | 47,858,113 |
Distributions to Shareholders: | ||
Distributions from net investment income | (54,723,938) | (56,860,660) |
Share Transactions: | ||
Proceeds from sale of shares | 170,575,250 | 753,528,450 |
Net asset value of shares issued to shareholders in payment of distributions declared | 4,857,161 | 5,153,184 |
Cost of shares redeemed | (533,976,592) | (502,677,127) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (358,544,181) | 256,004,507 |
Change in net assets | (359,978,903) | 247,001,960 |
Net Assets: | ||
Beginning of period | 2,147,397,241 | 1,900,395,281 |
End of period (including undistributed net investment income of $258,472 and $483,589, respectively) | $1,787,418,338 | $2,147,397,241 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
Year Ended December 31 | 2017 | 2016 |
Shares sold | 17,381,790 | 75,595,853 |
Shares issued to shareholders in payment of distributions declared | 494,089 | 516,123 |
Shares redeemed | (54,347,672) | (50,184,154) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (36,471,793) | 25,927,822 |
Increase (Decrease) | ||
Paid-In Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) |
$(11,277,608) | $1,927,214 | $9,350,394 |
2017 | 2016 | |
Ordinary income | $54,723,938 | $56,860,660 |
Undistributed ordinary income | $258,472 |
Net unrealized appreciation | $10,321,300 |
Capital loss carryforwards | $(33,213,744) |
Short-Term | Long-Term | Total |
$28,178,450 | $5,035,294 | $33,213,744 |
Purchases | $20,346,317 |
Sales | $244,644,687 |
February 22, 2018
Beginning Account Value 7/1/2017 | Ending Account Value 12/31/2017 | Expenses Paid During Period1 | |
Actual | $1,000.00 | $1,011.30 | $0.15 |
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,025.00 | $0.15 |
1 | Expenses are equal to the Fund's annualized net expense ratio of 0.03%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
J. Christopher Donahue* Birth Date: April 11, 1949 President and Trustee Indefinite Term Began serving: October 2005 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of the Funds in the Federated Fund Family; President, Chief Executive Officer and Director, Federated Investors, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman and Trustee, Federated Equity Management Company of Pennsylvania; Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd; Chairman, Passport Research, Ltd. |
John B. Fisher* Birth Date: May 16, 1956 Trustee Indefinite Term Began serving: May 2016 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of certain of the Funds in the Federated Fund Family; Vice President, Federated Investors, Inc.; President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President of some of the Funds in the Federated Fund Complex and Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; President and CEO of Passport Research, Ltd.; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc. and President, Technology, Federated Services Company. |
* | Reasons for “interested” status: J. Christopher Donahue and John B. Fisher are interested due to their beneficial ownership of shares of Federated Investors, Inc. and due to positions they hold with Federated and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; formerly, Chairman and CEO, The Collins Group, Inc. (a private equity firm) (Retired). Other Directorships Held: Director, Current Chair of the Compensation Committee, KLX Corp. Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins previously served as Chairman and CEO, The Collins Group, Inc. (a private equity firm). Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director and Audit Committee Member, Bank of America Corp.; Director, FleetBoston Financial Corp.; and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
G. Thomas Hough Birth Date: February 28, 1955 Trustee Indefinite Term Began serving: August 2015 | Principal Occupations: Director or Trustee of the Federated Fund Family; formerly, Vice Chair, Ernst & Young LLP (public accounting firm) (Retired). Other Directorships Held: Director, Chair of the Audit Committee, Governance Committee, Publix Super Markets, Inc.; Director, Member of the Audit Committee and Technology Committee of Equifax, Inc. Qualifications: Mr. Hough has served in accounting, business management and directorship positions throughout his career. Mr. Hough most recently held the position of Americas Vice Chair of Assurance with Ernst & Young LLP (public accounting firm). Mr. Hough is an Executive Committee member of the United States Golf Association, he serves on the President's Cabinet and Business School Board of Visitors for the University of Alabama and is on the Business School Board of Visitors for Wake Forest University. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Fund Family; Dean of the Duquesne University School of Law; Professor and Adjunct Professor of Law, Duquesne University School of Law; formerly, Interim Dean of the Duquesne University School of Law; Associate General Secretary and Director, Office of Church Relations, Diocese of Pittsburgh. Other Directorships Held: Director, CNX Resources Corporation (formerly known as CONSOL Energy Inc.). Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously served as: Associate General Secretary, Diocese of Pittsburgh; a member of the Superior Court of Pennsylvania; and as a Professor of Law, Duquesne University School of Law. Judge Lally-Green also currently holds the positions on either a public or not for profit Board of Directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Director, Saint Vincent College; Member, Pennsylvania State Board of Education (public); and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.), where she currently serves as a member of the Compensation, Nominating and Corporate Governance Committee (Chair) and the Health, Safety and Environmental Committee. Judge Lally-Green has held the positions of: Director, Auberle; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; Director and Chair, Catholic High Schools of the Diocese of Pittsburgh, Inc.; Director, Pennsylvania Bar Institute; Regent, St. Vincent Seminary; and Director and Chair, Cardinal Wuerl North Catholic High School, Inc. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 2005 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant. Other Directorships Held: None. Qualifications: Mr. Mansfield has served as a Marine Corps officer and in several banking, business management, educational roles and directorship positions throughout his long career. He remains active as a Management Consultant. |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: August 2006 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant; formerly, Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh and Executive Vice President and Chief Legal Officer, CNX Resources Corporation (formerly known as CONSOL Energy Inc.) Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey most recently held the positions of Senior Vice Chancellor and Chief Legal Officer, University of Pittsburgh. Mr. Richey previously served as Chairman of the Board, Epilepsy Foundation of Western Pennsylvania and Chairman of the Board, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CNX Resources Corporation (formerly known as CONSOL Energy Inc.); and Board Member, Ethics Counsel and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: November 2005 | Principal Occupations: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Investors, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: October 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer, Secretary and Executive Vice President of the Federated Fund Family. He is General Counsel, Chief Legal Officer, Secretary and Executive Vice President, Federated Investors, Inc.; Trustee and Senior Vice President, Federated Investors Management Company; Trustee and President, Federated Administrative Services; Director and President, Federated Administrative Services, Inc.; Director and Vice President, Federated Securities Corp.; Director and Secretary, Federated Private Asset Management, Inc.; Secretary, Federated Shareholder Services Company; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Investors, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Investors, Inc. |
Richard B. Fisher Birth Date: May 17, 1923 VICE CHAIRMAN Officer since: October 2005 | Principal Occupations: Vice Chairman or Vice President of some of the Funds in the Federated Fund Family; Vice Chairman, Federated Investors, Inc.; Chairman, Federated Securities Corp. Previous Positions: President and Director or Trustee of some of the Funds in the Federated Fund Family; Executive Vice President, Federated Investors, Inc.; Director and Chief Executive Officer, Federated Securities Corp. |
Stephen Van Meter Birth Date: June 5, 1975 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: July 2015 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Fund Family; Vice President and Chief Compliance Officer of Federated Investors, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Van Meter joined Federated in October 2011. He holds FINRA licenses under Series 3, 7, 24 and 66. Previous Positions: Mr. Van Meter previously held the position of Compliance Operating Officer, Federated Investors, Inc. Prior to joining Federated, Mr. Van Meter served at the United States Securities and Exchange Commission in the positions of Senior Counsel, Office of Chief Counsel, Division of Investment Management and Senior Counsel, Division of Enforcement. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: September 2006 | Principal Occupations: Robert J. Ostrowski joined Federated in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated's taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Stephen F. Auth Birth Date: September 13, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: February 2015 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
2018 ©Federated Investors, Inc.
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: John T. Collins, 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 2017 - $145,420
Fiscal year ended 2016 - $166,860
(b) Audit-Related Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2017 - $0
Fiscal year ended 2016 - $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 2017 - $0
Fiscal year ended 2016 - $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 2017 - $0
Fiscal year ended 2016 - $0
Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $45,968 and $42,029 respectively. Fiscal year ended 2017- Service fee for analysis of potential Passive Foreign Investment Company holdings. Fiscal year ended 2016- Service fee 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 its responsibilities to pre-approve services performed by the independent auditor to management.
The Audit Committee has delegated pre-approval authority to its Chairman. The Chairman will report any 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 must approve 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, 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 Company’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 Company 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, 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 services other than audit, review or attest services the pre-approval requirement is waived if:
(1) | The aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues paid by the registrant, 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 investment adviser that provides ongoing services to the registrant to its accountant during the fiscal year in which the services are provided; |
(2) | Such services were not recognized by the registrant, 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 investment adviser that provides ongoing services to the registrant at the time of the engagement to be non-audit services; and |
(3) | Such services are promptly brought to the attention of the Audit Committee of the issuer 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 classified as All Other services that it believes are routine and recurring services, and would not impair the independence of the auditor.
The SEC’s rules and relevant guidance should be consulted to determine the precise definitions of prohibited non-audit services and the 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 both the independent auditor and the Principal Accounting Officer and/or Internal Auditor, and must include a joint statement as to whether, in their view, 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 registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:
4(b)
Fiscal year ended 2017 – 0%
Fiscal year ended 2016 - 0%
Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants 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 2017 – 0%
Fiscal year ended 2016 – 0%
Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants 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 2017 – 0%
Fiscal year ended 2016 – 0%
Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants 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 investment adviser, and certain entities controlling, controlled by or under common control with the investment adviser: |
Fiscal year ended 2017 - $908,833
Fiscal year ended 2016 - $301,937
(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 investment 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. |
In their respective required communications to the Audit Committee of the registrant’s Board, Ernst & Young LLP (“EY”) and KPMG LLP (“KPMG”) (as applicable, “EY/KPMG”), the registrant’s independent public accountants, informed the Audit Committee that EY/KPMG and/or covered person professionals within EY/KPMG maintain lending relationships with certain owners of greater than 10% of the shares of the registrant and/or certain investment companies within the “investment company complex” as defined under Rule 2-01(f)(14) of Regulation S-X, which are affiliates of the registrant. EY/KPMG has advised the Audit Committee that these lending relationships implicate Rule 2-01(c)(1)(ii)(A) of Regulation S-X (referred to as the “Loan Rule”). The Loan Rule prohibits an independent public accountant, or covered person professionals at such firm, from having a financial relationship (such as a loan) with a lender that is a record or beneficial owner of more than 10% of an audit client’s equity securities. For purposes of the Loan Rule, audit clients include the registrant, as well as all registered investment companies advised by advisory subsidiaries of Federated Investors, Inc., the Adviser (for which EY serves as independent public accountant), and their respective affiliates (collectively, the “Federated Fund Complex”).
EY/KPMG informed the Audit Committee that EY/KPMG believes that these lending relationships described above do not and will not impair EY/KPMG’s ability to exercise objective and impartial judgment in connection with financial statement audits of their respective funds of the registrant and a reasonable investor with knowledge of all relevant facts and circumstances would conclude that EY/KPMG has been and is capable of objective and impartial judgment on all issues encompassed within EY/KPMG’s audits.
On June 20, 2016, the Division of Investment Management of the Securities and Exchange Commission (“SEC”) issued a no-action letter to another mutual fund complex (see Fidelity Management & Research Company et al., No-Action Letter) related to similar Loan Rule matters as those described above (the “Letter”). In the Letter, the SEC Staff confirmed that it would not recommend enforcement action against an investment company that relied on the audit services performed by an independent public accountant where the Loan Rule was implicated in certain specified circumstances provided that: (1) the auditor has complied with PCAOB Rule 3526(b)(1) and 3526(b)(2); (2) the Loan Rule is implicated because of lending relationships; and (3) notwithstanding such lending relationships that implicate the Loan Rule, the auditor has concluded that it is objective and impartial with respect to the issues encompassed within its engagement as auditor of the funds. The circumstances described in the Letter are substantially similar to the circumstances that implicated the Loan Rule with respect to EY/KPMG and the registrant. On September 22, 2017, the SEC issued another no-action letter to Fidelity Management & Research Company et al extending the expiration of the Letter until the effectiveness of any amendments to the Loan Rule designed to address the concerns in the Letter (the “Letters”).
If it were to be determined that the relief available under the Letters was improperly relied upon, or that the independence requirements under the federal securities laws were not otherwise complied with regarding the registrant, for certain periods, any of the registrant’s filings with the SEC which contain financial statements of the registrant for such periods may not comply with applicable federal securities laws, the registrant’s ability to offer shares under its current registration statement may be impacted, and certain financial reporting and/or other covenants with, and representations and warranties to, the registrant’s lender under its committed line of credit may be impacted. Such events could have a material adverse effect on the registrant and the Federated Fund Complex.
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 second fiscal quarter of 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.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant Federated Managed Pool Series
By /S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
Date February 22, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /S/ J. Christopher Donahue
J. Christopher Donahue, Principal Executive Officer
Date February 22, 2018
By /S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
Date February 22, 2018