Federated Strategic Income Fund
Portfolio of Investments
February 29, 2020 (unaudited)
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—7.1% | |||
Basic Industry - Chemicals—0.0% | |||
$135,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | $171,747 | |
Basic Industry - Metals & Mining—0.0% | |||
200,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | 273,728 | |
Capital Goods - Aerospace & Defense—0.1% | |||
105,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 110,268 | |
160,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 173,227 | |
200,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 2.900%, 3/1/2025 | 212,857 | |
185,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 3.250%, 1/15/2028 | 200,524 | |
35,000 | Otis Worldwide Corp., Sr. Unsecd. Note, 144A, 2.565%, 2/15/2030 | 36,018 | |
200,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 218,391 | |
TOTAL | 951,285 | ||
Capital Goods - Building Materials—0.0% | |||
20,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 21,397 | |
50,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 53,008 | |
90,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 98,579 | |
TOTAL | 172,984 | ||
Capital Goods - Construction Machinery—0.0% | |||
120,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 127,983 | |
Communications - Cable & Satellite—0.5% | |||
190,000 | Charter Communications Operating LLC, 5.375%, 5/1/2047 | 218,950 | |
2,335,000 | Comcast Corp., Sr. Unsecd. Note, 2.650%, 2/1/2030 | 2,451,380 | |
200,000 | Comcast Corp., Sr. Unsecd. Note, 3.150%, 2/15/2028 | 217,056 | |
30,000 | Comcast Corp., Sr. Unsecd. Note, 3.450%, 2/1/2050 | 33,165 | |
400,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 447,941 | |
TOTAL | 3,368,492 | ||
Communications - Media & Entertainment—0.1% | |||
65,000 | Fox Corp., Sr. Unsecd. Note, 144A, 4.709%, 1/25/2029 | 76,272 | |
100,000 | Fox Corp., Sr. Unsecd. Note, 144A, 5.576%, 1/25/2049 | 134,603 | |
300,000 | Walt Disney Co., Sr. Unsecd. Note, 3.000%, 9/15/2022 | 312,501 | |
TOTAL | 523,376 | ||
Communications - Telecom Wireless—0.1% | |||
250,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 280,550 | |
140,000 | Bell Canada, Sr. Unsecd. Note, 4.464%, 4/1/2048 | 174,840 | |
100,000 | Crown Castle International Corp., Sr. Unsecd. Note, 5.200%, 2/15/2049 | 127,343 | |
TOTAL | 582,733 | ||
Communications - Telecom Wirelines—0.1% | |||
150,000 | AT&T, Inc., Sr. Unsecd. Note, 4.250%, 3/1/2027 | 169,089 | |
200,000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | 260,843 | |
227,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.672%, 3/15/2055 | 301,946 | |
TOTAL | 731,878 | ||
Consumer Cyclical - Automotive—0.4% | |||
100,000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | 100,045 | |
60,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | 60,556 | |
3,000,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 3.000%, 2/10/2027 | 3,075,320 |
1
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Automotive—continued | |||
$120,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series GMTN, 2.700%, 1/11/2023 | $125,216 | |
TOTAL | 3,361,137 | ||
Consumer Cyclical - Retailers—0.5% | |||
2,830,000 | Alimentation Couche-Tard, Inc., 144A, 2.950%, 1/25/2030 | 2,916,257 | |
100,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 99,577 | |
175,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 215,690 | |
100,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | 106,146 | |
120,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 129,827 | |
TOTAL | 3,467,497 | ||
Consumer Cyclical - Services—0.1% | |||
250,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 274,125 | |
200,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 225,613 | |
100,000 | IHS Markit Ltd., Sr. Unsecd. Note, 4.750%, 8/1/2028 | 116,166 | |
80,000 | Visa, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2027 | 85,313 | |
TOTAL | 701,217 | ||
Consumer Non-Cyclical - Food/Beverage—0.5% | |||
200,000 | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 247,496 | |
2,210,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 2,325,665 | |
100,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 5.250%, 11/15/2048 | 130,894 | |
100,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 5.085%, 5/25/2048 | 127,634 | |
140,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 129,529 | |
125,000 | PepsiCo, Inc., 2.750%, 4/30/2025 | 132,498 | |
300,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 4.500%, 6/15/2022 | 318,082 | |
TOTAL | 3,411,798 | ||
Consumer Non-Cyclical - Health Care—0.3% | |||
2,285,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 3.000%, 9/23/2029 | 2,395,472 | |
45,000 | DH Europe Finance II S.a r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 46,792 | |
100,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 105,232 | |
TOTAL | 2,547,496 | ||
Consumer Non-Cyclical - Pharmaceuticals—0.5% | |||
90,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 3.200%, 11/21/2029 | 95,120 | |
95,000 | AbbVie, Inc., Sr. Unsecd. Note, 144A, 4.250%, 11/21/2049 | 107,567 | |
150,000 | Amgen, Inc., Sr. Unsecd. Note, 2.450%, 2/21/2030 | 152,695 | |
200,000 | AstraZeneca PLC, Sr. Unsecd. Note, 4.000%, 1/17/2029 | 229,825 | |
200,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.250%, 12/15/2025 | 224,020 | |
75,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 3.400%, 7/26/2029 | 84,083 | |
55,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 4.250%, 10/26/2049 | 70,853 | |
2,500,000 | Eli Lilly & Co., Sr. Unsecd. Note, 1.000%, 6/2/2022 | 2,830,108 | |
90,000 | Eli Lilly & Co., Sr. Unsecd. Note, 3.375%, 3/15/2029 | 101,124 | |
TOTAL | 3,895,395 | ||
Consumer Non-Cyclical - Supermarkets—0.0% | |||
150,000 | Kroger Co., Sr. Unsecd. Note, 4.450%, 2/1/2047 | 170,254 | |
Consumer Non-Cyclical - Tobacco—0.0% | |||
100,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 126,953 | |
Energy - Independent—0.4% | |||
150,000 | Apache Corp., Sr. Unsecd. Note, 4.250%, 1/15/2030 | 156,159 | |
175,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 181,788 | |
200,000 | EOG Resources, Inc., Sr. Unsecd. Note, 4.150%, 1/15/2026 | 223,746 |
2
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Energy - Independent—continued | |||
$2,010,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 2.900%, 8/15/2024 | $2,038,500 | |
170,000 | Occidental Petroleum Corp., Sr. Unsecd. Note, 5.550%, 3/15/2026 | 192,189 | |
TOTAL | 2,792,382 | ||
Energy - Integrated—0.0% | |||
70,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | 81,976 | |
Energy - Midstream—0.2% | |||
145,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 154,165 | |
300,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 327,058 | |
100,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.700%, 1/31/2051 | 100,129 | |
200,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 250,833 | |
100,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.550%, 7/15/2028 | 112,092 | |
115,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 122,621 | |
TOTAL | 1,066,898 | ||
Energy - Refining—0.0% | |||
105,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 4/1/2029 | 114,231 | |
Financial Institution - Banking—1.4% | |||
150,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 164,420 | |
300,000 | Bank of America Corp., Sr. Unsecd. Note, Series GMTN, 3.300%, 1/11/2023 | 313,792 | |
1,645,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.884%, 10/22/2030 | 1,723,077 | |
250,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 272,541 | |
200,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.661%, 5/16/2023 | 204,817 | |
65,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 69,635 | |
2,945,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.976%, 11/5/2030 | 3,100,349 | |
270,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 292,165 | |
270,000 | Citizens Financial Group, Inc., Sub. Note, 4.300%, 12/3/2025 | 301,581 | |
200,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 215,752 | |
55,000 | FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 55,601 | |
100,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 114,434 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.814%, 4/23/2029 | 551,114 | |
200,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.262%, 3/13/2023 | 205,697 | |
200,000 | Manufacturers & Traders Trust Co., Sr. Unsecd. Note, Series BKNT, 2.500%, 5/18/2022 | 204,428 | |
250,000 | Morgan Stanley, Sr. Unsecd. Note, 3.625%, 1/20/2027 | 274,579 | |
1,935,000 | PNC Bank National Association, Series BKNT, 2.700%, 10/22/2029 | 2,010,111 | |
157,066 | 1 | Regional Diversified Funding, 144A, 9.250%, 3/15/2030 | 117,799 |
200,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 216,296 | |
350,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 371,371 | |
150,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.879%, 10/30/2030 | 156,782 | |
TOTAL | 10,936,341 | ||
Financial Institution - Insurance - Life—0.1% | |||
200,000 | AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029 | 223,159 | |
200,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 218,527 | |
150,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 212,831 | |
180,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 202,321 | |
TOTAL | 856,838 | ||
Financial Institution - Insurance - P&C—0.0% | |||
45,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 6/15/2023 | 48,821 | |
Financial Institution - REIT - Apartment—0.1% | |||
195,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 215,155 |
3
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Apartment—continued | |||
$125,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | $132,848 | |
TOTAL | 348,003 | ||
Financial Institution - REIT - Healthcare—0.4% | |||
100,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 111,595 | |
2,485,000 | Welltower, Inc., Sr. Unsecd. Note, 2.700%, 2/15/2027 | 2,582,850 | |
TOTAL | 2,694,445 | ||
Financial Institution - REIT - Office—0.1% | |||
90,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 99,883 | |
50,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | 56,191 | |
175,000 | Boston Properties LP, Sr. Unsecd. Note, 4.500%, 12/1/2028 | 206,757 | |
TOTAL | 362,831 | ||
Financial Institution - REIT - Other—0.0% | |||
135,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 147,695 | |
Financial Institution - REIT - Retail—0.0% | |||
80,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 90,690 | |
Technology—0.2% | |||
100,000 | Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044 | 129,571 | |
85,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 88,029 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 234,363 | |
35,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.750%, 5/21/2029 | 39,499 | |
75,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 82,136 | |
350,000 | Ingram Micro, Inc., Sr. Unsecd. Note, 5.450%, 12/15/2024 | 362,456 | |
40,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029 | 42,311 | |
125,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 141,944 | |
80,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 91,748 | |
TOTAL | 1,212,057 | ||
Transportation - Railroads—0.0% | |||
65,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 66,710 | |
Transportation - Services—0.4% | |||
100,000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | 101,179 | |
2,500,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 2.700%, 11/1/2024 | 2,605,649 | |
200,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.950%, 3/10/2025 | 218,271 | |
140,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.800%, 3/1/2022 | 143,652 | |
TOTAL | 3,068,751 | ||
Utilities—0.2% | |||
1,550,000 | Dominion Energy, Inc., Jr. Sub. Note, 2.715%, 8/15/2021 | 1,575,193 | |
Utility - Electric—0.3% | |||
400,000 | Electricite de France SA, Jr. Sub. Note, 144A, 5.625%, 7/22/2068 | 421,278 | |
200,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.875%, 6/14/2029 | 231,480 | |
300,000 | Exelon Generation Co. LLC, Sr. Unsecd. Note, 4.250%, 6/15/2022 | 315,946 | |
40,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 50,318 | |
140,000 | Kansas City Power And Light Co., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 180,392 | |
110,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 2.950%, 2/7/2024 | 116,241 | |
105,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.150%, 4/1/2024 | 111,342 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 76,506 | |
300,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 4.200%, 6/15/2022 | 315,595 | |
250,000 | Southern Co., Sr. Unsecd. Note, 3.250%, 7/1/2026 | 268,776 |
4
Principal Amount, Shares or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—continued | |||
$140,000 | Virginia Electric & Power Co., Sr. Unsecd. Note, Series A, 3.500%, 3/15/2027 | $154,414 | |
TOTAL | 2,242,288 | ||
Utility - Natural Gas—0.2% | |||
1,410,000 | Dominion Energy Gas Holdings LLC, Sr. Unsecd. Note, Series B, 3.000%, 11/15/2029 | 1,477,224 | |
65,000 | Dominion Energy Gas Holdings LLC, Sr. Unsecd. Note, Series C, 3.900%, 11/15/2049 | 70,951 | |
120,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 145,231 | |
TOTAL | 1,693,406 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $50,801,438) | 53,985,509 | ||
ASSET-BACKED SECURITIES—1.2% | |||
Auto Receivables—0.8% | |||
1,875,000 | Drive Auto Receivables Trust 2020-1, Class C, 2.360%, 3/16/2026 | 1,906,586 | |
1,100,000 | Hyundai Auto Receivables Trust 2019-B, Class C, 2.400%, 6/15/2026 | 1,119,774 | |
3,295,000 | Santander Retail Auto Lease Trust 2020-A, Class D, 3.150%, 11/20/2024 | 3,300,354 | |
TOTAL | 6,326,714 | ||
Credit Card—0.2% | |||
750,000 | Master Credit Card Trust 2020-1A, Class B, 2.340%, 9/21/2024 | 763,199 | |
675,000 | Trillium Credit Card Trust II 2020-1A, Class B, 2.331%, 12/27/2024 | 681,076 | |
TOTAL | 1,444,275 | ||
Student Loans—0.2% | |||
1,400,000 | Social Professional Loan Program LLC 2020-A, Class A2FX, 2.540%, 5/15/2046 | 1,453,788 | |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $9,092,722) | 9,224,777 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—0.2% | |||
Agency Commercial Mortgage-Backed Securities—0.2% | |||
1,000,000 | FREMF Mortgage Trust 2013-K25 REMIC, Class B, 3.619%, 11/25/2045 | 1,047,300 | |
390,000 | FREMF Mortgage Trust 2015-K49 REMIC, Class B, 3.720%, 10/25/2048 | 418,192 | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $1,373,525) | 1,465,492 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—3.4% | |||
Commercial Mortgage—2.6% | |||
810,000 | Bank 2018-BN12, Class A4, 4.255%, 5/15/2061 | 948,249 | |
500,000 | 2 | Bank 2018-BN15, Class A4, 4.407% (12-month USLIBOR +0.000%), 11/15/2061 | 595,092 |
1,500,000 | Benchmark Mortgage Trust 2018-B4, Class A5, 4.121%, 7/15/2051 | 1,742,350 | |
675,000 | Benchmark Mortgage Trust 2019-B11, Class A5, 3.542%, 5/15/2052 | 761,347 | |
1,128,389 | Benchmark Mortgage Trust 2019-B12, Class A1, 2.256%, 8/15/2052 | 1,149,072 | |
5,400,000 | Benchmark Mortgage Trust 2019-B12, Class A5, 3.116%, 8/15/2052 | 5,919,970 | |
1,600,000 | Citigroup Commercial Mortgage Trust 2013-GC11, Class B, 3.732%, 4/10/2046 | 1,679,042 | |
2,100,000 | Commercial Mortgage Trust 2013-LC6, Class AM, 3.282%, 1/10/2046 | 2,185,266 | |
1,000,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | 1,072,581 | |
625,000 | Deutsche Bank Commercial Mortgage Trust 2016-C3, Class A5, 2.890%, 8/10/2049 | 668,680 | |
1,500,000 | JPMBB Commercial Mortgage Securities Trust 2015-C28, Class AS, 3.532%, 10/15/2048 | 1,601,187 | |
1,000,000 | Morgan Stanley Capital I 2012-C4, Class AS, 3.773%, 3/15/2045 | 1,036,907 | |
TOTAL | 19,359,743 | ||
Federal Home Loan Mortgage Corporation—0.1% | |||
800,000 | FHLMC REMIC, Series K070, Class A2, 3.303%, 11/25/2027 | 893,336 |
5
Principal Amount, Shares or Contracts | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—continued | |||
Non-Agency Mortgage—0.7% | |||
$5,000,000 | Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036 | $5,316,091 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $24,269,008) | 25,569,170 | ||
COMMON STOCKS—2.2% | |||
Auto Components—0.2% | |||
57,458 | 3 | American Axle & Manufacturing Holdings, Inc. | 363,709 |
50,081 | Goodyear Tire & Rubber Co. | 485,035 | |
5,575 | Lear Corp. | 619,940 | |
TOTAL | 1,468,684 | ||
Chemicals—0.1% | |||
19,475 | 3 | Koppers Holdings, Inc. | 425,723 |
Communications Equipment—0.1% | |||
10,425 | 3 | Lumentum Holdings, Inc. | 811,273 |
Containers & Packaging—0.3% | |||
3,200 | 3 | Crown Holdings, Inc. | 225,600 |
53,168 | Graphic Packaging Holding Co. | 718,831 | |
49,106 | O-I Glass, Inc. | 530,345 | |
22,198 | WestRock Co. | 738,084 | |
TOTAL | 2,212,860 | ||
Electronic Equipment Instruments & Components—0.1% | |||
54,765 | 3 | TTM Technologies, Inc. | 711,397 |
Equity Real Estate Investment Trusts (REITs)—0.1% | |||
17,830 | Gaming and Leisure Properties, Inc. | 796,466 | |
Gas Utilities—0.1% | |||
31,601 | Suburban Propane Partners LP | 618,432 | |
Hotels Restaurants & Leisure—0.2% | |||
27,275 | Boyd Gaming Corp. | 728,515 | |
34,300 | Red Rock Resorts, Inc. | 706,923 | |
16,730 | Six Flags Entertainment Corp. | 422,935 | |
TOTAL | 1,858,373 | ||
Independent Power and Renewable Electricity Producers—0.1% | |||
16,940 | NRG Energy, Inc. | 562,577 | |
20,995 | Vistra Energy Corp. | 403,734 | |
TOTAL | 966,311 | ||
Machinery—0.1% | |||
13,205 | Altra Holdings, Inc. | 397,735 | |
Media—0.3% | |||
26,080 | 3 | Altice USA, Inc. | 674,429 |
58,470 | Emerald Holding, Inc. | 401,104 | |
158,560 | Entercom Communication Corp. | 550,203 | |
27,745 | 3 | iHeartMedia, Inc. | 419,227 |
TOTAL | 2,044,963 | ||
Metals & Mining—0.1% | |||
10,530 | Compass Minerals International, Inc. | 574,411 | |
50,565 | Teck Resources Ltd. | 511,718 | |
TOTAL | 1,086,129 | ||
Oil Gas & Consumable Fuels—0.3% | |||
22,220 | Enviva Partners LP/Enviva Partners Finance Corp. | 841,471 |
6
Principal Amount, Shares or Contracts | Value | ||
COMMON STOCKS—continued | |||
Oil Gas & Consumable Fuels—continued | |||
40,039 | Parsley Energy, Inc. | $536,523 | |
24,805 | Sunoco LP | 670,479 | |
43,420 | 3 | WPX Energy, Inc. | 405,109 |
TOTAL | 2,453,582 | ||
Pharmaceuticals—0.0% | |||
5,607 | 3 | Mallinckrodt PLC | 23,998 |
Specialty Retail—0.0% | |||
72,432 | 3 | Party City Holdco, Inc. | 144,140 |
Technology Hardware Storage & Peripherals—0.1% | |||
13,500 | 3 | Dell Technologies, Inc. | 546,210 |
11,060 | 3 | NCR Corp. | 278,712 |
TOTAL | 824,922 | ||
Textiles Apparel & Luxury Goods—0.0% | |||
23,530 | Hanesbrands, Inc. | 311,537 | |
TOTAL COMMON STOCKS (IDENTIFIED COST $20,840,327) | 17,156,525 | ||
PREFERRED STOCK—0.0% | |||
Financial Institution - Broker/Asset Mgr/Exchange—0.0% | |||
40,000 | 1,3,4 | Lehman Brothers Holdings, Inc., Pfd., 5.670% (IDENTIFIED COST $3,400) | 400 |
U.S. TREASURIES—13.9% | |||
U.S. Treasury Bonds—1.8% | |||
12,000,000 | 5 | United States Treasury Bond, 2.375%, 11/15/2049 | 13,946,452 |
U.S. Treasury Notes—12.1% | |||
15,069,750 | U.S. Treasury Inflation-Protected Notes, 0.250%, 7/15/2029 | 15,846,409 | |
2,547,325 | U.S. Treasury Inflation-Protected Notes, 0.500%, 4/15/2024 | 2,632,583 | |
10,000,000 | United States Treasury Note, 1.500%, 9/30/2024 | 10,252,375 | |
20,000,000 | United States Treasury Note, 1.625%, 6/30/2021 | 20,154,382 | |
7,000,000 | United States Treasury Note, 1.625%, 11/15/2022 | 7,133,711 | |
35,000,000 | United States Treasury Note, 1.750%, 12/31/2024 | 36,332,702 | |
TOTAL | 92,352,162 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $102,408,086) | 106,298,614 | ||
PURCHASED CALL OPTIONS—0.0% | |||
16,950,000 | HSBC EUR CALL/USD PUT, Notional Amount $16,950,000, Exercise Price $1.13, Expiration Date 3/4/2020 | 1,779 | |
83 | Russell 2000 Index, Notional Amount $12,254,369, Exercise Price $1,675, Expiration Date 3/20/2020 | 13,695 | |
TOTAL PURCHASED CALL OPTIONS (IDENTIFIED COST $176,540) | 15,474 | ||
PURCHASED PUT OPTIONS—1.1% | |||
10,000,000 | Credit Agricole USD PUT/MXN CALL, Notional Amount $10,000,000, Exercise Price $18.50, Expiration Date 4/24/2020 | 12,480 | |
10,000 | iShares iBoxx High Yield Corporate Bond ETF, Notional Amount $86,040,000, Exercise Price $87.00, Expiration Date 3/20/2020 | 2,015,000 | |
16,200,000 | JPM EUR PUT/USD CALL, Notional Amount $16,200,000, Exercise Price $1.08, Expiration Date 5/14/2020 | 56,133 | |
15,000,000 | JPM USD PUT/ZAR CALL, Notional Amount $15,000,000, Exercise Price $14.00, Expiration Date 4/8/2020 | 3,510 | |
500 | Russell 2000 Index, Notional Amount $73,821,500, Exercise Price $1,600, Expiration Date 3/20/2020 | 6,225,000 | |
300 | United States Treasury Bond Futures, Notional Amount $51,075,000, Exercise Price $151.00, Expiration Date 3/27/2020 | 4,688 | |
300 | United States Treasury Bond Futures, Notional Amount $51,075,000, Exercise Price $160.00, Expiration Date 4/24/2020 | 107,812 | |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $2,606,281) | 8,424,623 | ||
INVESTMENT COMPANIES—74.4% | |||
16,116,042 | Emerging Markets Core Fund | 162,449,703 |
7
Principal Amount, Shares or Contracts | Value | ||
INVESTMENT COMPANIES—continued | |||
13,995,000 | Federated Government Obligations Fund, Premier Shares, 1.50%6 | $13,995,000 | |
13,025,296 | Federated Institutional Prime Value Obligations Fund, Institutional Shares, 1.68%6 | 13,030,506 | |
12,991,830 | Federated Mortgage Core Portfolio | 130,308,055 | |
1,687,070 | Federated Project and Trade Finance Core Fund | 15,014,927 | |
37,687,472 | High Yield Bond Portfolio | 232,154,830 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $567,694,629) | 566,953,021 | ||
TOTAL INVESTMENT IN SECURITIES—103.5% (IDENTIFIED COST $779,265,956) | 789,093,605 | ||
OTHER ASSETS AND LIABILITIES - NET—(3.5)%7 | (27,008,895) | ||
TOTAL NET ASSETS—100% | $762,084,710 |
At February 29, 2020, the Fund had the following outstanding foreign exchange contracts:
Settlement Date | Counterparty | Foreign Currency Units to Deliver/Receive | In Exchange For | Unrealized Appreciation (Depreciation) |
Contracts Purchased: | ||||
4/14/2020 | Bank of America N.A. | 148,390,000 ZAR | $10,000,000 | $(546,724) |
4/14/2020 | Bank of America N.A. | 227,535,000 ZAR | $15,000,000 | $(504,743) |
4/30/2020 | HSBC BANK USA | 14,586,450 CHF | $15,000,000 | $179,035 |
5/7/2020 | HSBC BANK USA | 27,008,000,000 COP | $8,000,000 | $(353,823) |
5/20/2020 | Morgan Stanley | 14,921,569 AUD | $10,000,000 | $(265,098) |
Contracts Sold: | ||||
4/30/2020 | HSBC BANK USA | 14,547,150 CHF | $15,000,000 | $(138,137) |
5/21/2020 | Barclays Bank PLC Wholesale | 776,230,000 JPY | $7,000,000 | $(225,146) |
NET UNREALIZED DEPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $(1,854,636) |
The average value at settlement date payable and receivable of foreign exchange contracts purchased and sold by the Fund throughout the period was $754,602 and $299,219, respectively. This is based on the contracts held as of each month-end throughout the three-month fiscal period.
At February 29, 2020, the Fund had the following outstanding futures contracts:
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
3CBOE VIX Volatility Index Long Futures | 800 | $15,860,000 | July 2020 | $(1,112,080) |
3United States Treasury Note 2-Year Long Futures | 10 | $2,183,281 | June 2020 | $12,946 |
3CBOE VIX Volatility Index Short Futures | 800 | $18,420,000 | April 2020 | $1,827,760 |
3United States Treasury Note 10-Year Short Futures | 78 | $10,510,500 | June 2020 | $(233,566) |
3United States Treasury Ultra Bond Short Futures | 4 | $830,000 | June 2020 | $(37,103) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $457,957 |
The average notional value of long and short futures contracts held by the Fund throughout the period was $23,645,791 and $15,373,109, respectively. This is based on the contracts held as of each month-end throughout the three-month fiscal period.
8
At February 29, 2020, the Fund had the following outstanding written options contracts:
Counterparty | Description | Notional Amount | Expiration Date | Exercise Price | Value |
Call Options: | |||||
Bank of America Merrill Lynch | AUD CALL/USD PUT | $10,000,000 | March 2020 | $0.68 | $(1,550) |
Bank of America Merrill Lynch | AUD CALL/USD PUT | $10,000,000 | May 2020 | $0.69 | $(15,630) |
Bank of America Merrill Lynch | USD CALL/CHF PUT | $10,000,000 | April 2020 | $0.99 | $(25,320) |
Barclays Bank PLC | NZD CALL/USD PUT | $15,000,000 | March 2020 | $0.63 | $(20,220) |
Barclays Bank PLC | NZD CALL/USD PUT | $22,500,000 | March 2020 | $0.07 | $(22) |
Credit Agricole | USD CALL/MXN PUT | $10,000,000 | June 2020 | $20.00 | $(255,000) |
HSBC | GBP CALL/USD PUT | $16,625,000 | March 2020 | $1.33 | $(17) |
HSBC | GBP CALL/USD PUT | $16,875,000 | March 2020 | $1.35 | $(17) |
JP Morgan | EUR CALL/USD PUT | $16,575,000 | May 2020 | $1.11 | $(227,674) |
JP Morgan | United States Treasury Bond Futures | $51,075,000 | March 2020 | $160.00 | $(3,112,500) |
Citigroup Global Markets | United States Treasury Bond Futures | $34,050,000 | April 2020 | $167.00 | $(1,025,000) |
JP Morgan | United States Treasury Note 10-Year Futures | $67,420,000 | March 2020 | $131.00 | $(1,906,250) |
Put Options: | |||||
Barclays Bank PLC | GBP PUT/USD CALL | $32,000,000 | March 2020 | $1.28 | $(184,224) |
Barclays Bank PLC | NZD PUT/USD CALL | $15,000,000 | April 2020 | $0.65 | $(588,945) |
JP Morgan | iShares iBoxx High Yield Corporate Bond ETF | $86,040,000 | March 2020 | $85.00 | $(1,255,000) |
JP Morgan | EUR PUT/USD CALL | $(22,100,000) | April 2020 | $1.11 | $(186,944) |
JP Morgan | USD PUT/CHF CALL | $15,000,000 | April 2020 | $0.97 | $(238,755) |
JP Morgan | USD PUT/MXN CALL | $15,000,000 | March 2020 | $18.65 | $(5,355) |
JP Morgan | Russell 2000 Index | $73,821,500 | March 2020 | $1,525.00 | $(3,825,000) |
(Premiums Received $4,917,782) | $(12,873,423 |
The average market value of written put and call options held by the Fund throughout the period was $(2,664,031) and $(3,132,864), respectively. This is based on amounts held as of each month-end throughout the three-month fiscal period.
The average market value of purchased put and call options held by the Fund throughout the period was $3,002,839 and $935,283, respectively. This is based on amounts held as of each month-end throughout the three-month fiscal period.
At February 29, 2020, the Fund had no outstanding swap contracts.
The average notional amount of swap contracts held by the Fund throughout the period was $6,250,000. This is based on amounts held as of each month-end throughout the three-month fiscal period.
Net Unrealized Appreciation/Depreciation on Foreign Exchange Contracts, Futures Contracts and the value of Written Options Contracts are included in “Other Assets and Liabilities—Net”.
9
Affiliated fund holdings are investment companies which are managed by the Adviser or an affiliate of the Adviser. Transactions with affiliated fund holdings during the period ended February 29, 2020, were as follows:
Affiliates | Balance of Share Held 11/30/2019 | Purchases/ Additions | Sales/ Reductions |
Emerging Markets Core Fund | 15,913,218 | 202,824 | — |
Federated Bank Loan Core Fund | 2,322,252 | — | (2,322,252) |
Federated Government Obligations Fund, Premier Shares* | 6,135,000 | 50,535,000 | (42,675,000) |
Federated Institutional Prime Value Obligations Fund, Institutional Shares | 11,381,428 | 107,518,042 | (105,874,174) |
Federated Mortgage Core Portfolio | 12,436,070 | 555,760 | — |
Federated Project and Trade Finance Core Fund | — | 1,687,070 | — |
High Yield Bond Portfolio | 36,693,781 | 993,691 | — |
TOTAL OF AFFILIATED TRANSACTIONS | 84,881,749 | 161,492,387 | (150,871,426) |
10
Balance of Shares Held 2/29/2020 | Value | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Dividend/ Interest Income |
16,116,042 | $162,449,703 | $2,219,797 | $— | $2,055,260 |
— | $— | $(69,444) | $208,803 | $39,171 |
13,995,000 | $13,995,000 | N/A | N/A | $18,367 |
13,025,296 | $13,030,506 | — | $736 | $90,082 |
12,991,830 | $130,308,055 | $1,939,687 | $— | $928,181 |
1,687,070 | $15,014,927 | $(67,195) | $— | $81,953 |
37,687,472 | $232,154,830 | $(3,114,367) | $— | $3,742,101 |
95,502,710 | $566,953,021 | $908,478 | $209,539 | $6,955,115 |
* | All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions. |
Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (SEC), the Fund invests in a portfolio of Federated Core Trust (“Core Trust”), which is managed by Federated Investment Management Company (the “Adviser”). Core Trust is an open-end management company, registered under the Investment Company Act of 1940, as amended (the “Act”), available only to registered investment companies and other institutional investors. The investment objective of High Yield Bond Portfolio (HYCORE), a portfolio of Core Trust, is to seek high current income. Income distributions from HYCORE are declared daily and paid monthly, and are recorded by the Fund as dividend income. Capital gain distributions, if any, from HYCORE are declared and paid annually, and are recorded by the Fund as capital gains. The investment objective of Emerging Markets Core Fund (EMCOR), a portfolio of Core Trust, is to achieve a total return on its assets. EMCOR's secondary objective is to achieve a high level of income. Distributions of net investment income from EMCOR are declared daily and paid monthly. Capital gain distributions, if any, from EMCOR are declared and paid annually, and are recorded by the Fund as capital gains. Federated Investors Inc. (“Federated”) receives no advisory or administrative fees from HYCORE and EMCOR. Copies of the HYCORE and EMCOR financial statements are available on the EDGAR Database on the SEC's website or upon request from the Fund.
1 | Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund's Board of Directors (the “Directors”). |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | Non-income-producing security. |
4 | Issuer in default. |
5 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
As of February 29, 2020, securities subject to this type of arrangement and related collateral were as follows:
Market Value of Securities Loaned | Collateral Received |
$13,946,452 | $13,995,000 |
6 | 7-day net yield. |
7 | Assets, other than investments in securities, less liabilities. |
Note: The categories of investments are shown as a percentage of total net assets at February 29, 2020.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Directors. |
■ | 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. |
■ | 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 Directors. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Directors, 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. |
11
If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Fund's valuation policies and procedures, or if information furnished by a pricing service, in the opinion of the valuation committee (“Valuation Committee”), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share.
Fair Valuation and Significant Events Procedures
The Directors have ultimate responsibility for determining the fair value of investments for which market quotations are not readily available. The Directors have appointed a Valuation Committee comprised of officers of the Fund, Federated Investment Management Company (the “Adviser”) and certain of the Adviser's affiliated companies to assist in determining fair value and in overseeing the calculation of the NAV. The Directors have also authorized the use of pricing services recommended by the Valuation Committee to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services' policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Directors. The Directors periodically review and approve the fair valuations made by the Valuation Committee and any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Directors.
The Directors also have adopted procedures requiring an investment to be priced at its fair value whenever the Adviser determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
■ | 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. |
The Directors have adopted procedures whereby the Valuation Committee uses a pricing service to provide factors to update the fair value of equity securities traded principally in foreign markets from the time of the close of their respective foreign stock exchanges to the pricing time of the Fund. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Fund will determine the fair value of the investment in accordance with the fair valuation procedures approved by the Directors. The Directors have ultimate responsibility for any fair valuations made in response to a significant event.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
12
The following is a summary of the inputs used, as of February 29, 2020, in valuing the Fund's assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $53,867,710 | $117,799 | $53,985,509 |
Asset-Backed Securities | — | 9,224,777 | — | 9,224,777 |
Commercial Mortgage-Backed Securities | — | 1,465,492 | — | 1,465,492 |
Collateralized Mortgage Obligations | — | 25,569,170 | — | 25,569,170 |
U.S. Treasuries | — | 106,298,614 | — | 106,298,614 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 16,644,807 | — | — | 16,644,807 |
International | 511,718 | — | — | 511,718 |
Preferred Stocks | ||||
Domestic | — | — | 4001 | 400 |
Purchased Call Options | 13,695 | 1,779 | — | 15,474 |
Purchased Put Options | 8,352,500 | 72,123 | — | 8,424,623 |
Investment Companies2 | 551,938,094 | — | — | 566,953,021 |
TOTAL SECURITIES | $577,460,814 | $196,499,665 | $118,199 | $789,093,605 |
Other Financial Instruments | ||||
Assets | ||||
Foreign Exchange Contracts | $— | $179,035 | $— | $179,035 |
Futures Contracts | 1,840,706 | — | — | 1,840,706 |
Written Option Contracts | — | — | — | — |
Liabilities | ||||
Foreign Exchange Contracts | $— | $(2,033,671) | $— | $(2,033,671) |
Futures Contracts | (1,382,749) | — | — | (1,382,749) |
Written Option Contracts | (11,123,750) | (1,749,673) | — | (12,873,423) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(10,665,793) | $(3,604,309) | $— | $(14,270,102) |
1 | Shares were exchanged in conjunction with a corporate action for shares of another security whose fair value is determined using valuation techniques utilizing unobservable market data due to observable market data being unavailable. |
2 | As permitted by U.S. generally accepted accounting principles, an Investment Company valued at $15,014,927 is measured at fair value using the NAV per share practical expedient and has not been categorized in the chart above but is included in the Total column. The price of shares redeemed of Federated Project and Trade Finance Core Fund may be determined as of the closing NAV of the fund up to twenty-four days after receipt of a shareholder redemption request. |
The following acronyms are used throughout this portfolio:
AUD | —Australian Dollar |
BKNT | —Bank Notes |
CHF | —Swiss Franc |
COP | —Colombian Peso |
ETF | —Exchange-Traded Fund |
EUR | —Euro Currency |
FHLMC | —Federal Home Loan Mortgage Corporation |
FREMF | —Freddie Mac Multifamily K-Deals |
GBP | —British Pound |
GMTN | —Global Medium Term Note |
JPY | —Japanese Yen |
LIBOR | —London Interbank Offered Rate |
LLC | —Limited Liability Company |
LP | —Limited Partnership |
MTN | —Medium Term Note |
MXN | —Mexican Peso |
NZD | —New Zealand Dollar |
13
REIT | —Real Estate Investment Trust |
REMIC | —Real Estate Mortgage Investment Conduit |
USD | —United States Dollar |
ZAR | —South African Rand |
14