United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-3375
(Investment Company Act File Number)
Federated GNMA Trust
______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
John W. McGonigle, 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: 01/31/15
Date of Reporting Period: Six months ended 07/31/14
Item 1. Reports to Stockholders
![](https://capedge.com/proxy/N-CSRS/0001318148-14-001532/fedregcovsmall.gif)
Share Class | Ticker |
Institutional | FGMAX |
Service | FGSSX |
Type of Investment | Percentage of Total Net Assets |
GNMA Mortgage-Backed Securities | 104.6% |
Repurchase Agreement—Collateral2 | 6.0% |
Derivative Contracts3 | 0.1% |
Other Assets and Liabilities—Net4 | (10.7)% |
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 | Includes repurchase agreement purchased with cash collateral or proceeds received in dollar-roll transactions, as well as cash covering when-issued and delayed-delivery transactions. |
3 | 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. |
4 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—97.6% | |||
1 | Government National Mortgage Association—97.6% | ||
$55,233,706 | 2 | 3.000%, 9/15/2042 - 8/20/2044 | $55,332,707 |
72,791,381 | 3.500%, 12/15/2040 - 10/15/2042 | 75,059,255 | |
39,773,854 | 4.000%, 8/15/2041 - 3/15/2043 | 42,340,196 | |
48,783,151 | 4.500%, 7/20/2039 - 2/15/2042 | 53,142,441 | |
35,439,569 | 5.000%, 10/15/2033 - 10/15/2041 | 39,217,394 | |
23,268,466 | 5.500%, 7/20/2033 - 7/20/2035 | 25,991,682 | |
12,111,774 | 6.000%, 8/15/2031 - 12/20/2038 | 13,642,646 | |
432,787 | 6.500%, 5/15/2027 - 1/20/2032 | 498,706 | |
2,240,618 | 7.000%, 6/15/2027 - 1/15/2033 | 2,623,849 | |
2,743,278 | 7.500%, 11/15/2027 - 5/15/2032 | 3,248,765 | |
1,137,540 | 8.000%, 11/15/2027 - 8/15/2032 | 1,363,078 | |
2,003 | 8.500%, 3/15/2030 | 2,087 | |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $307,162,365) | 312,462,806 | ||
COLLATERALIZED MORTGAGE OBLIGATION—7.0% | |||
Government National Mortgage Association—7.0% | |||
22,489,845 | 3 | REMIC 2013-H15 FA, 0.691%, 6/20/2063 (IDENTIFIED COST $22,490,386) | 22,543,169 |
REPURCHASE AGREEMENT—6.0% | |||
19,200,000 | 3 | Interest in $895,000,000 joint repurchase agreement 0.08%, dated 7/31/2014 under which Bank of America, N.A. will repurchase securities provided as collateral for $895,001,989 on 8/1/2014. 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 with various maturities to 7/25/2041 and the market value of those underlying securities was $921,036,179. (AT COST) | 19,200,000 |
TOTAL INVESTMENTS—110.6% (IDENTIFIED COST $348,852,751)4 | 354,205,975 | ||
OTHER ASSETS AND LIABILITIES - NET—(10.6)%5 | (33,983,340) | ||
TOTAL NET ASSETS—100% | $320,222,635 |
Description | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation) |
6United States Treasury Notes 2-Year Long Futures | 210 | $46,078,594 | September 2014 | $(61,162) |
6United States Treasury Notes 5-Year Short Futures | 150 | $17,825,391 | September 2014 | $114,506 |
6United States Treasury Notes 10-Year Short Futures | 445 | $55,451,172 | September 2014 | $221,499 |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $274,843 |
1 | Because of monthly principal payments, the average lives of the Government National Mortgage Association Modified Pass-Through Securities (based upon Federal Housing Authority/Veterans Administration historical experience) are less than the stated maturities. |
2 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
3 | All or a portion of these securities are segregated pending settlement of dollar-roll transactions. |
4 | The cost of investments for federal tax purposes amounts to $347,734,511. |
5 | Assets, other than investment in securities, less liabilities. See Statement of Assets and Liabilities. A significant portion of this balance is the result of dollar-roll transactions as of July 31, 2014. |
6 | Non-income-producing security. |
Valuation Inputs | ||||
Level 1— Quoted Prices and Investments in Investment Companies | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Mortgage-Backed Securities | $— | $312,462,806 | $— | $312,462,806 |
Collateralized Mortgage Obligations | — | 22,543,169 | — | 22,543,169 |
Repurchase Agreement | — | 19,200,000 | — | 19,200,000 |
TOTAL SECURITIES | $— | $354,205,975 | $— | $354,205,975 |
OTHER FINANCIAL INSTRUMENTS* | $274,843 | $— | $— | $274,843 |
* | Other financial instruments include futures contracts. |
REMIC | —Real Estate Mortgage Investment Conduit |
Six Months Ended (unaudited) 7/31/2014 | Year Ended January 31, | |||||
2014 | 2013 | 2012 | 2011 | 2010 | ||
Net Asset Value, Beginning of Period | $11.05 | $11.36 | $11.55 | $11.27 | $11.24 | $11.02 |
Income From Investment Operations: | ||||||
Net investment income | 0.13 | 0.211 | 0.271 | 0.361 | 0.421 | 0.491 |
Net realized and unrealized gain (loss) on investments and futures contracts | 0.02 | (0.26) | (0.15) | 0.33 | 0.08 | 0.24 |
TOTAL FROM INVESTMENT OPERATIONS | 0.15 | (0.05) | 0.12 | 0.69 | 0.50 | 0.73 |
Less Distributions: | ||||||
Distributions from net investment income | (0.15) | (0.26) | (0.31) | (0.41) | (0.47) | (0.51) |
Net Asset Value, End of Period | $11.05 | $11.05 | $11.36 | $11.55 | $11.27 | $11.24 |
Total Return2 | 1.40% | (0.45)% | 1.06% | 6.26% | 4.49% | 6.77% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.67%3 | 0.67% | 0.67% | 0.66% | 0.68% | 0.65% |
Net investment income | 2.41%3 | 1.92% | 2.38% | 3.11% | 3.72% | 4.39% |
Expense waiver/reimbursement5 | 0.03%3 | 0.01% | 0.00%4 | 0.00%4 | 0.00%4 | 0.00%4 |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $281,925 | $326,994 | $435,289 | $447,739 | $432,317 | $393,046 |
Portfolio turnover | 62% | 265% | 257% | 181% | 173% | 81% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 5% | 114% | 133% | 29% | 68% | 39% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | Computed on an annualized basis. |
4 | Represents less than 0.01%. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Six Months Ended (unaudited) 7/31/2014 | Year Ended January 31, | |||||
2014 | 2013 | 2012 | 2011 | 2010 | ||
Net Asset Value, Beginning of Period | $11.05 | $11.37 | $11.55 | $11.27 | $11.24 | $11.02 |
Income From Investment Operations: | ||||||
Net investment income | 0.13 | 0.201 | 0.251 | 0.341 | 0.411 | 0.471 |
Net realized and unrealized gain (loss) on investments and futures contracts | 0.02 | (0.28) | (0.14) | 0.34 | 0.07 | 0.24 |
TOTAL FROM INVESTMENT OPERATIONS | 0.15 | (0.08) | 0.11 | 0.68 | 0.48 | 0.71 |
Less Distributions: | ||||||
Distributions from net investment income | (0.15) | (0.24) | (0.29) | (0.40) | (0.45) | (0.49) |
Net Asset Value, End of Period | $11.05 | $11.05 | $11.37 | $11.55 | $11.27 | $11.24 |
Total Return2 | 1.32% | (0.70)% | 0.99% | 6.09% | 4.32% | 6.58% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.83%3 | 0.83% | 0.83% | 0.82% | 0.84% | 0.83% |
Net investment income | 2.25%3 | 1.76% | 2.21% | 2.96% | 3.57% | 4.19% |
Expense waiver/reimbursement5 | 0.07%3 | 0.05% | 0.02% | 0.00%4 | 0.01% | 0.07% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $38,297 | $40,178 | $58,819 | $54,080 | $57,165 | $84,946 |
Portfolio turnover | 62% | 265% | 257% | 181% | 173% | 81% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 5% | 114% | 133% | 29% | 68% | 39% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | Computed on an annualized basis. |
4 | Represents less than 0.01%. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Total investment in securities, at value (identified cost $348,852,751) | $354,205,975 | |
Cash | 95 | |
Restricted cash (Note 2) | 645,250 | |
Income receivable | 991,896 | |
Receivable for shares sold | 114,691 | |
Receivable for daily variation margin | 39,141 | |
TOTAL ASSETS | 355,997,048 | |
Liabilities: | ||
Payable for investments purchased | $35,058,333 | |
Payable for shares redeemed | 501,204 | |
Income distribution payable | 119,359 | |
Payable to adviser (Note 5) | 763 | |
Payable for Directors'/Trustees' fees (Note 5) | 142 | |
Payable for other service fees (Notes 2 and 5) | 21,258 | |
Accrued expenses (Note 5) | 73,354 | |
TOTAL LIABILITIES | 35,774,413 | |
Net assets for 28,984,864 shares outstanding | $320,222,635 | |
Net Assets Consist of: | ||
Paid-in capital | $326,426,676 | |
Net unrealized appreciation of investments and futures contracts | 5,628,067 | |
Accumulated net realized loss on investments and futures contracts | (11,268,073) | |
Distributions in excess of net investment income | (564,035) | |
TOTAL NET ASSETS | $320,222,635 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Institutional Shares: | ||
$281,925,179 ÷ 25,518,578 shares outstanding, no par value, unlimited shares authorized | $11.05 | |
Service Shares: | ||
$38,297,456 ÷ 3,466,286 shares outstanding, no par value, unlimited shares authorized | $11.05 |
Investment Income: | ||
Interest | $5,070,019 | |
Expenses: | ||
Investment adviser fee (Note 5) | $658,147 | |
Administrative fee (Note 5) | 128,557 | |
Custodian fees | 17,545 | |
Transfer agent fee | 136,829 | |
Directors'/Trustees' fees (Note 5) | 4,787 | |
Auditing fees | 13,117 | |
Legal fees | 6,015 | |
Portfolio accounting fees | 74,058 | |
Other service fees (Notes 2 and 5) | 117,018 | |
Share registration costs | 20,499 | |
Printing and postage | 14,663 | |
Miscellaneous (Note 5) | 1,749 | |
TOTAL EXPENSES | 1,192,984 | |
Reimbursement of other operating expenses (Notes 2 and 5) | (51,466) | |
Net expenses | 1,141,518 | |
Net investment income | 3,928,501 | |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||
Net realized gain on investments | 841,878 | |
Net realized loss on futures contracts | (1,634,794) | |
Net change in unrealized appreciation of investments | 92,061 | |
Net change in unrealized depreciation of futures contracts | 1,088,329 | |
Net realized and unrealized gain on investments and futures contracts | 387,474 | |
Change in net assets resulting from operations | $4,315,975 |
Six Months Ended (unaudited) 7/31/2014 | Year Ended 1/31/2014 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $3,928,501 | $8,085,140 |
Net realized loss on investments and futures contracts | (792,916) | (5,850,489) |
Net change in unrealized appreciation/depreciation of investments and futures contracts | 1,180,390 | (5,982,304) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 4,315,975 | (3,747,653) |
Distributions to Shareholders: | ||
Distributions from net investment income | ||
Institutional Shares | (4,072,657) | (8,612,366) |
Service Shares | (513,624) | (1,014,055) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (4,586,281) | (9,626,421) |
Share Transactions: | ||
Proceeds from sale of shares | 11,547,220 | 39,206,761 |
Net asset value of shares issued to shareholders in payment of distributions declared | 3,759,104 | 7,137,647 |
Cost of shares redeemed | (61,985,360) | (159,906,106) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (46,679,036) | (113,561,698) |
Change in net assets | (46,949,342) | (126,935,772) |
Net Assets: | ||
Beginning of period | 367,171,977 | 494,107,749 |
End of period (including undistributed (distributions in excess of) net investment income of $(564,035) and $93,745, respectively) | $320,222,635 | $367,171,977 |
■ | Fixed-income securities acquired with remaining maturities greater than 60 days are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Fixed-income securities and repurchase agreements acquired with remaining maturities of 60 days or less are valued at their amortized cost (adjusted for the accretion of any discount or amortization of any premium), unless the issuer's creditworthiness is impaired or other factors indicate that amortized cost is not an accurate estimate of the investment's fair value, in which case it would be valued in the same manner as a longer-term security. |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price. |
■ | Over-the-counter (OTC) derivative contracts 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. |
■ | 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 purchase price of the security, information obtained by contacting the issuer, 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 and public trading in similar securities of the issuer or comparable issuers. |
Other Service Fees Incurred | Other Service Fees Reimbursed | |
Institutional Shares | $68,964 | $(38,408) |
Service Shares | 48,054 | (13,058) |
TOTAL | $117,018 | $(51,466) |
Asset | ||
Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||
Interest rate contracts | $274,843* |
* | 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 | |
Interest rate contracts | $(1,634,794) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures | |
Interest rate contracts | $1,088,329 |
Six Months Ended 7/31/2014 | Year Ended 1/31/2014 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 981,740 | $10,862,231 | 3,274,277 | $36,756,438 |
Shares issued to shareholders in payment of distributions declared | 298,048 | 3,296,952 | 564,463 | 6,254,168 |
Shares redeemed | (5,347,984) | (58,978,017) | (12,553,569) | (139,440,366) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | (4,068,196) | $(44,818,834) | (8,714,829) | $(96,429,760) |
Six Months Ended 7/31/2014 | Year Ended 1/31/2014 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 61,972 | $684,989 | 219,774 | $2,450,323 |
Shares issued to shareholders in payment of distributions declared | 41,773 | 462,152 | 79,720 | 883,479 |
Shares redeemed | (272,546) | (3,007,343) | (1,839,808) | (20,465,740) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (168,801) | $(1,860,202) | (1,540,314) | $(17,131,938) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (4,236,997) | $(46,679,036) | (10,255,143) | $(113,561,698) |
Expiration Year | Short-Term | Long-Term | Total |
No Expiration | $7,959,363 | $442,290 | $8,401,653 |
2016 | $3,757,491 | NA | $3,757,491 |
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 | $— |
Sales | $12,785,444 |
Beginning Account Value 2/1/2014 | Ending Account Value 7/31/2014 | Expenses Paid During Period1 | |
Actual: | |||
Institutional Shares | $1,000 | $1,014.00 | $3.35 |
Service Shares | $1,000 | $1,013.20 | $4.14 |
Hypothetical (assuming a 5% return before expenses): | |||
Institutional Shares | $1,000 | $1,021.47 | $3.36 |
Service Shares | $1,000 | $1,020.68 | $4.16 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Institutional Shares | 0.67% |
Service Shares | 0.83% |
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Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 314184201
2014 ©Federated Investors, Inc.
Item 2. Code of Ethics
Not Applicable
Item 3. Audit Committee Financial Expert
Not Applicable
Item 4. Principal Accountant Fees and Services
Not Applicable
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. 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 GNMA Trust
By /S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
Date September 22, 2014
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 September 22, 2014
By /S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
Date September 22, 2014