United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-7115
(Investment Company Act File Number)
Federated Total Return Series, Inc.
_______________________________________________________________
(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:09/30/19
Date of Reporting Period:09/30/19
Item 1. | Reports to Stockholders |
Share Class | Ticker | Institutional | FGFIX | Service | FGFSX |
Donahue
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 BMBS. |
2 | 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 LUSMFA. |
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 | The S&P 500 Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index is unmanaged, and it is not possible to invest directly in an index. |
5 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
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. |
7 | 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. |
Federated Mortgage Fund - | Institutional Shares | Service Shares | NA | BMBS | LUSMFA |
F | F | NA | I | I | |
9/30/2009 | 10,000 | 10,000 | 10,000 | 10,000 | |
9/30/2010 | 10,569 | 10,538 | 10,571 | 10,776 | |
9/30/2011 | 11,033 | 10,968 | 11,159 | 11,337 | |
9/30/2012 | 11,485 | 11,384 | 11,572 | 11,913 | |
9/30/2013 | 11,304 | 11,171 | 11,433 | 11,813 | |
9/30/2014 | 11,695 | 11,522 | 11,866 | 12,276 | |
9/30/2015 | 12,099 | 11,885 | 12,273 | 12,625 | |
9/30/2016 | 12,587 | 12,315 | 12,716 | 13,035 | |
9/30/2017 | 12,612 | 12,315 | 12,755 | 13,096 | |
9/30/2018 | 12,500 | 12,169 | 12,637 | 12,957 | |
9/30/2019 | 13,392 | 12,999 | 13,623 | 13,959 |
1 Year | 5 Years | 10 Years | |
Institutional Shares | 7.14% | 2.75% | 2.96% |
Service Shares | 6.82% | 2.44% | 2.66% |
BMBS | 7.80% | 2.80% | 3.14% |
LUSMFA | 7.58% | 2.66% | 3.36% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BMBS and the LUSMFA have been adjusted to reflect reinvestment of dividends on securities in the index and average. |
2 | The BMBS tracks agency mortgage backed pass-through securities (both fixed-rate and hybrid ARM) guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC). The BMBS returns do not reflect sales charges, expenses or other fees that the Securities Exchange Commission requires to be reflected in the Fund's performance. This index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
3 | Lipper figures represent the average of the total returns reported by all funds designated by Lipper, Inc., as falling into the respective category and is not adjusted to reflect any sales charges. The Lipper figures in the Growth of $10,000 line graph are based on historical return information published by Lipper and reflect the return of the funds comprising the category in the year of publication. Because the funds designated by Lipper as falling into the category can change over time, the Lipper figures in the line graph may not match the Lipper figures in the Average Annual Total Returns table, which reflect the return of the funds that currently comprise the category. |
Type of Investments | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 86.4% |
Collateralized Mortgage Obligations | 18.8% |
Non-Agency Mortgage-Backed Securities | 4.6% |
Asset-Backed Securities | 0.4% |
U.S. Government Agency Adjustable Rate Mortgages | 0.3% |
Cash Equivalents2 | 21.7% |
Other Assets and Liabilities—Net3 | (32.2)% |
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 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
3 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—86.4% | |||
Federal Home Loan Mortgage Corporation—28.3% | |||
$5,194,734 | 3.500%, 7/1/2042 | $5,456,348 | |
3,444,890 | 3.500%, 10/1/2046 | 3,595,773 | |
3,185,916 | 4.000%, 12/1/2041 | 3,403,503 | |
1,224,487 | 4.000%, 3/1/2048 | 1,277,886 | |
58,472 | 5.500%, 10/1/2021 | 59,858 | |
7,674 | 6.000%, 7/1/2021 | 7,848 | |
48,891 | 7.500%, 1/1/2027 | 54,833 | |
602 | 7.500%, 9/1/2030 | 700 | |
1,650 | 7.500%, 1/1/2031 | 1,840 | |
2,703 | 7.500%, 1/1/2031 | 3,139 | |
2,476 | 7.500%, 1/1/2031 | 2,868 | |
70,275 | 7.500%, 2/1/2031 | 82,076 | |
30,052 | 7.500%, 2/1/2031 | 34,811 | |
TOTAL | 13,981,483 | ||
Federal National Mortgage Association—25.5% | |||
4,885,194 | 3.000%, 10/1/2046 | 5,007,693 | |
512 | 3.500%, 8/1/2020 | 513 | |
4,843,350 | 4.000%, 8/1/2048 | 5,039,428 | |
1 | 4.500%, 12/1/2019 | 1 | |
2,004,013 | 4.500%, 1/1/2042 | 2,158,336 | |
29,409 | 5.000%, 4/1/2036 | 32,417 | |
182,604 | 5.500%, 11/1/2035 | 204,080 | |
71,405 | 6.000%, 2/1/2026 | 78,972 | |
2,995 | 6.000%, 5/1/2036 | 3,427 | |
506 | 6.500%, 7/1/2029 | 572 | |
1,176 | 6.500%, 5/1/2030 | 1,322 | |
4,150 | 6.500%, 2/1/2031 | 4,711 | |
399 | 6.500%, 4/1/2031 | 451 | |
4,814 | 6.500%, 4/1/2031 | 5,469 | |
7,117 | 6.500%, 5/1/2031 | 8,081 | |
6,249 | 6.500%, 6/1/2031 | 7,099 | |
7,709 | 6.500%, 7/1/2031 | 8,816 | |
1,875 | 6.500%, 8/1/2031 | 2,107 | |
3,151 | 7.000%, 4/1/2029 | 3,603 | |
2,218 | 7.000%, 4/1/2029 | 2,526 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$5,382 | 7.000%, 5/1/2029 | $6,135 | |
3,588 | 7.000%, 2/1/2030 | 4,097 | |
2,860 | 8.000%, 12/1/2026 | 3,219 | |
TOTAL | 12,583,075 | ||
Government National Mortgage Association—0.4% | |||
20,562 | 5.000%, 1/15/2023 | 21,039 | |
46,384 | 5.000%, 7/15/2023 | 48,134 | |
6,625 | 7.000%, 10/15/2028 | 7,484 | |
2,980 | 7.000%, 12/15/2028 | 3,322 | |
4,120 | 7.000%, 2/15/2029 | 4,569 | |
2,575 | 7.000%, 6/15/2029 | 2,925 | |
4,863 | 8.000%, 10/15/2030 | 5,620 | |
78,014 | 8.000%, 11/15/2030 | 90,193 | |
TOTAL | 183,286 | ||
Uniform Mortgage-Backed Securities, TBA—32.2% | |||
8,000,000 | 1 | 3.000%, 10/1/2049 | 8,120,653 |
7,600,000 | 1 | 3.500%, 10/1/2049 | 7,795,855 |
TOTAL | 15,916,508 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $41,731,470) | 42,664,352 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—23.4% | |||
Federal Home Loan Mortgage Corporation—18.7% | |||
3,001,455 | 2 | REMIC, Series 3114, Class PF, 2.427% (1-month USLIBOR +0.400%), 2/15/2036 | 2,999,174 |
6,214,931 | 2 | REMIC, Series 3910, Class FB, 2.527% (1-month USLIBOR +0.500%), 8/15/2041 | 6,241,069 |
TOTAL | 9,240,243 | ||
Federal National Mortgage Association—0.1% | |||
37,514 | REMIC, Series 1999-13, Class PH, 6.000%, 4/25/2029 | 40,987 | |
Non-Agency Mortgage-Backed Securities—4.6% | |||
120,264 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 79,334 | |
829,563 | Credit Suisse Mortgage Trust 2014-WIN2, Class A2, 3.500%, 10/25/2044 | 844,280 | |
7,418 | 3 | Lehman Structured Securities Corp. Mortgage 2002-GE1, Class A, 0.000%, 7/26/2024 | 4,918 |
1,346,621 | Sequoia Mortgage Trust 2014-4, Class A5, 3.500%, 11/25/2044 | 1,369,370 | |
TOTAL | 2,297,902 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $11,588,423) | 11,579,132 |
Principal Amount | Value | ||
2 | ADJUSTABLE RATE MORTGAGES—0.3% | ||
Federal Home Loan Mortgage Corporation ARM—0.0% | |||
$16,494 | 4.340%, 7/1/2035 | $17,318 | |
Federal National Mortgage Association ARM—0.3% | |||
61,970 | 4.097%, 7/1/2034 | 64,706 | |
51,046 | 5.050%, 2/1/2036 | 53,743 | |
TOTAL | 118,449 | ||
TOTAL ADJUSTABLE RATE MORTGAGES (IDENTIFIED COST $129,330) | 135,767 | ||
ASSET-BACKED SECURITY—0.4% | |||
Other—0.4% | |||
181,811 | Sierra Receivables Funding Co. LLC 2015-1A, Class A, 2.400%, 3/22/2032 (IDENTIFIED COST $181,765) | 182,121 | |
INVESTMENT COMPANY—21.7% | |||
10,735,789 | Federated Government Obligations Fund, Premier Shares, 1.89%4 (IDENTIFIED COST $10,735,789) | 10,735,789 | |
TOTAL INVESTMENT IN SECURITIES—132.2% (IDENTIFIED COST $64,366,777)5 | 65,297,161 | ||
OTHER ASSETS AND LIABILITIES - NET—(32.2)%6 | (15,916,263) | ||
TOTAL NET ASSETS—100% | $49,380,898 |
Federated Government Obligations Fund, Premier Shares | |
Balance of Shares Held 9/30/2018 | 8,480,527 |
Purchases/Additions | 83,248,458 |
Sales/Reductions | (80,993,196) |
Balance of Shares Held 9/30/2019 | 10,735,789 |
Value | $10,735,789 |
Change in Unrealized Appreciation/Depreciation | N/A |
Net Realized Gain/(Loss) | N/A |
Dividend Income | $104,186 |
1 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
2 | Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above. |
3 | Non-income-producing security. |
4 | 7-day net yield. |
5 | The cost of investments for federal tax purposes amounts to $63,859,259. |
6 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. A significant portion of this balance is a result of dollar-roll transactions as of September 30, 2019. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Mortgage-Backed Securities | $— | $42,664,352 | $— | $42,664,352 |
Collateralized Mortgage Obligations | — | 11,579,132 | — | 11,579,132 |
Adjustable Rate Mortgages | — | 135,767 | — | 135,767 |
Asset-Backed Security | — | 182,121 | — | 182,121 |
Investment Company | 10,735,789 | — | — | 10,735,789 |
TOTAL SECURITIES | $10,735,789 | $54,561,372 | $— | $65,297,161 |
ARM | —Adjustable Rate Mortgage |
LIBOR | —London Interbank Offered Rate |
REMIC | —Real Estate Mortgage Investment Conduit |
Year Ended September 30 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $9.25 | $9.59 | $9.82 | $9.71 | $9.65 |
Income From Investment Operations: | |||||
Net investment income | 0.26 | 0.25 | 0.21 | 0.28 | 0.27 |
Net realized and unrealized gain (loss) | 0.39 | (0.33) | (0.19) | 0.11 | 0.06 |
TOTAL FROM INVESTMENT OPERATIONS | 0.65 | (0.08) | 0.02 | 0.39 | 0.33 |
Less Distributions: | |||||
Distributions from net investment income | (0.27) | (0.26) | (0.25) | (0.28) | (0.27) |
Net Asset Value, End of Period | $9.63 | $9.25 | $9.59 | $9.82 | $9.71 |
Total Return1 | 7.14% | (0.89)% | 0.20% | 4.04% | 3.46% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.50% | 0.51% | 0.50% | 0.49% | 0.49% |
Net investment income | 2.75% | 2.63% | 2.21% | 2.52% | 2.71% |
Expense waiver/reimbursement2 | 0.48% | 0.24% | 0.20% | 0.18% | 0.16% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $44,841 | $90,789 | $121,240 | $150,636 | $132,127 |
Portfolio turnover | 391%3 | 72% | 277% | 248% | 71% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 186% | 18% | 63% | 57% | 62% |
1 | Based on net asset value. |
2 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
3 | The portfolio turnover rate was higher from the prior year as a result of significant client activity and asset reduction. |
Year Ended September 30 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $9.25 | $9.59 | $9.81 | $9.71 | $9.65 |
Income From Investment Operations: | |||||
Net investment income | 0.23 | 0.22 | 0.18 | 0.25 | 0.24 |
Net realized and unrealized gain (loss) | 0.39 | (0.33) | (0.18) | 0.10 | 0.06 |
TOTAL FROM INVESTMENT OPERATIONS | 0.62 | (0.11) | — | 0.35 | 0.30 |
Less Distributions: | |||||
Distributions from net investment income | (0.24) | (0.23) | (0.22) | (0.25) | (0.24) |
Net Asset Value, End of Period | $9.63 | $9.25 | $9.59 | $9.81 | $9.71 |
Total Return1 | 6.82% | (1.19)% | 0.00%2 | 3.62% | 3.15% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.80% | 0.81% | 0.81% | 0.79% | 0.79% |
Net investment income | 2.46% | 2.33% | 1.91% | 2.25% | 2.38% |
Expense waiver/reimbursement3 | 0.69% | 0.44% | 0.40% | 0.38% | 0.34% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $4,540 | $7,143 | $11,269 | $15,236 | $17,893 |
Portfolio turnover | 391%4 | 72% | 277% | 248% | 71% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 186% | 18% | 63% | 57% | 62% |
1 | Based on net asset value. |
2 | Represents less than 0.01%. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
4 | The portfolio turnover rate was higher from the prior year as a result of significant client activity and asset reduction. |
Assets: | ||
Investment in securities, at value including $10,735,789 of investment in an affiliated holding (identified cost $64,366,777) | $65,297,161 | |
Income receivable | 110,499 | |
Income receivable from an affiliated holding | 15,341 | |
Receivable for shares sold | 2,962 | |
TOTAL ASSETS | 65,425,963 | |
Liabilities: | ||
Payable for investments purchased | $15,954,775 | |
Payable for shares redeemed | 23,853 | |
Income distribution payable | 31,382 | |
Payable for investment adviser fee (Note 5) | 1,584 | |
Payable for administrative fees (Note 5) | 107 | |
Payable for distribution services fee (Note 5) | 189 | |
Payable for other service fees (Notes 2 and 5) | 944 | |
Accrued expenses (Note 5) | 32,231 | |
TOTAL LIABILITIES | 16,045,065 | |
Net assets for 5,125,972 shares outstanding | $49,380,898 | |
Net Assets Consist of: | ||
Paid-in capital | $51,070,103 | |
Total distributable earnings (loss) | (1,689,205) | |
TOTAL NET ASSETS | $49,380,898 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Institutional Shares: | ||
Net asset value per share ($44,841,363 ÷ 4,654,588 shares outstanding), no par value, 1,000,000,000 shares authorized | $9.63 | |
Service Shares: | ||
Net asset value per share ($4,539,535 ÷ 471,384 shares outstanding), no par value, 1,000,000,000 shares authorized | $9.63 |
Investment Income: | |||
Interest | $1,757,388 | ||
Dividends received from an affiliated holding* | 104,186 | ||
TOTAL INCOME | $1,861,574 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $228,771 | ||
Administrative fee (Note 5) | 47,263 | ||
Custodian fees | 13,617 | ||
Transfer agent fee | 32,018 | ||
Directors'/Trustees' fees (Note 5) | 2,902 | ||
Auditing fees | 34,030 | ||
Legal fees | 11,587 | ||
Portfolio accounting fees | 109,325 | ||
Distribution services fee (Note 5) | 13,306 | ||
Other service fees (Notes 2 and 5) | 13,237 | ||
Share registration costs | 42,863 | ||
Printing and postage | 19,844 | ||
Taxes | 100 | ||
Miscellaneous (Note 5) | 22,760 | ||
TOTAL EXPENSES | 591,623 | ||
Waivers and Reimbursements: | |||
Waiver/reimbursement of investment adviser fee (Note 5) | $(222,345) | ||
Waiver/reimbursement of other operating expenses (Notes 2 and 5) | (65,857) | ||
TOTAL WAIVERS AND REIMBURSEMENTS | (288,202) | ||
Net expenses | 303,421 | ||
Net investment income | 1,558,153 | ||
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |||
Net realized loss on investments | (1,083,678) | ||
Net realized loss on futures contracts | (208,648) | ||
Net change in unrealized depreciation of investments | 3,163,981 | ||
Net realized and unrealized gain on investments and futures contracts | 1,871,655 | ||
Change in net assets resulting from operations | $3,429,808 |
* | See information listed after the Fund's Portfolio of Investments |
Year Ended September 30 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $1,558,153 | $3,112,352 |
Net realized loss | (1,292,326) | (24,368) |
Net change in unrealized appreciation/depreciation | 3,163,981 | (4,307,439) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 3,429,808 | (1,219,455) |
Distributions to Shareholders: | ||
Institutional Shares | (1,493,391) | (2,982,632) |
Service Shares | (137,238) | (225,763) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (1,630,629) | (3,208,395) |
Share Transactions: | ||
Proceeds from sale of shares | 15,883,707 | 22,413,466 |
Net asset value of shares issued to shareholders in payment of distributions declared | 966,948 | 2,035,405 |
Cost of shares redeemed | (67,201,018) | (54,597,511) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (50,350,363) | (30,148,640) |
Change in net assets | (48,551,184) | (34,576,490) |
Net Assets: | ||
Beginning of period | 97,932,082 | 132,508,572 |
End of period | $49,380,898 | $97,932,082 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Directors (the “Directors”). |
■ | 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. |
■ | 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 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. |
Other Service Fees Incurred | |
Service Shares | $13,237 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(208,648) |
Year Ended September 30 | 2019 | 2018 | ||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,668,175 | $15,698,065 | 2,270,384 | $21,348,683 |
Shares issued to shareholders in payment of distributions declared | 92,825 | 876,794 | 198,968 | 1,868,985 |
Shares redeemed | (6,920,526) | (64,118,464) | (5,293,250) | (49,607,171) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | (5,159,526) | $(47,543,605) | (2,823,898) | $(26,389,503) |
Year Ended September 30 | 2019 | 2018 | ||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 19,725 | $185,642 | 112,612 | $1,064,783 |
Shares issued to shareholders in payment of distributions declared | 9,555 | 90,154 | 17,712 | 166,420 |
Shares redeemed | (330,293) | (3,082,554) | (533,140) | (4,990,340) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (301,013) | $(2,806,758) | (402,816) | $(3,759,137) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (5,460,539) | $(50,350,363) | (3,226,714) | $(30,148,640) |
2019 | 2018 | |
Ordinary income | $1,630,629 | $3,208,395 |
Undistributed ordinary income | $14,311 |
Net unrealized appreciation | $1,437,902 |
Capital loss carryforwards | $(3,141,418) |
Short-Term | Long-Term | Total |
$1,573,095 | $1,568,323 | $3,141,418 |
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 |
Distribution Services Fees Incurred | Distribution Services Fees Waived | |
Service Shares | $13,306 | $(10,589) |
Purchases | $15,232,087 |
Sales | $7,825,758 |
November 21, 2019
Beginning Account Value 4/1/2019 | Ending Account Value 9/30/2019 | Expenses Paid During Period1 | |
Actual: | |||
Institutional Shares | $1,000 | $1,028.40 | $2.542 |
Service Shares | $1,000 | $1,026.90 | $4.063 |
Hypothetical (assuming a 5% return before expenses): | |||
Institutional Shares | $1,000 | $1,022.60 | $2.542 |
Service Shares | $1,000 | $1,021.10 | $4.053 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Institutional Shares | 0.50% |
Service Shares | 0.80% |
2 | Actual and Hypothetical expenses paid during the period utilizing the Fund's Service Shares current Fee Limit of 0.33% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 183/365 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $1.68 and $1.67, respectively. |
3 | Actual and Hypothetical expenses paid during the period utilizing the Fund's Service Shares current Fee Limit of 0.63% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 183/365 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $3.20 and $3.19, respectively. |
Name Birth Date Positions Held with Corporation 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 Director Indefinite Term Began serving: March 1995 | 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. |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
John B. Fisher* Birth Date: May 16, 1956 Director 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 Corporation 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 Director 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, Chairman of the Compensation Committee, KLX Energy Services Holdings, Inc. (oilfield services); former Director of KLX Corp. (aerospace). 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 of The Collins Group, Inc. (a private equity firm) and as a Director of KLX Corp. 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). |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Director 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, Member of Governance and Compensation Committees, Publix Super Markets, Inc.; Director, Chair of the Audit Committee, Equifax, Inc.; Director, Member of the Audit Committee, Haverty Furniture Companies, 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 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. Mr. Hough previously served as an Executive Committee member of the United States Golf Association. |
Maureen Lally-Green Birth Date: July 5, 1949 Director Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Fund Family; Adjunct Professor of Law, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, 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 held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as 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 not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.). 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; Director, St. Vincent College; and Director and Chair, North Catholic High School, Inc. |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Director Indefinite Term Began serving: April 1999 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant and Author. 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 and Author. |
Thomas M. O'Neill Birth Date: June 14, 1951 Director 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 Director Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant; Retired; 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). |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John S. Walsh Birth Date: November 28, 1957 Director Indefinite Term Began serving: April 1999 | 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 Positions Held with Corporation 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. |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 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. |
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: May 2004 | 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. |
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31428Q804
2019 ©Federated Investors, Inc.
Share Class | Ticker | A | FULAX | Institutional | FULIX | Service | FULBX | R6 | FULLX |
Donahue
1 | The Fund's R6 class commenced operations on May 29, 2019. For the periods prior to the commencement of operations of the Fund's R6 class, the performance information shown is for the Fund's Institutional Shares (IS) class. The performance of the IS class has not been adjusted to reflect the expenses applicable to the R6 class since the R6 class has a lower expense ratio than the expense ratio of the IS class. |
2 | Please see the footnote to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the BSTGCI. |
3 | Please see the footnote to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the BOAML1T. |
4 | Please see the footnote to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the LUSOFA. |
5 | 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. |
6 | Duration is a measure of a security's price sensitivity to changes in interest rates. Securities with longer durations are more sensitive to changes in interest rates than securities with shorter durations. Bond prices are sensitive to changes in interest rates and a rise in interest rates can cause a decline in their price. The fund is not a “money market” mutual fund. Some money market mutual funds attempt to maintain a stable net asset value through compliance with relevant Securities and Exchange Commission (SEC) rules. The fund is not governed by those rules, and its shares will fluctuate in value. |
7 | The Bloomberg Barclays 1-3 Year U.S. Credit Index includes investment grade U.S. credit securities that have a remaining maturity of greater than or equal to one year and less than three years and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed-rate and non-convertible. The index is market capitalization weighted.* |
8 | The Bloomberg Barclays Asset-Backed Securities (ABS) Index is the ABS component of the Bloomberg Barclays U.S. Aggregate Index. The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.* |
9 | 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. |
10 | Because subordinated debts are only repayable after senior debts have been paid, they are more risky for the lender of the money than senior debts. The debts may be secured or unsecured. Subordinated loans typically have a lower credit rating, and, therefore, a higher yield than senior debt. |
* | The index is unmanaged, and it is not possible to invest directly in an index. |
Federated Ultrashort Bond Fund - | Institutional Shares | Class A Shares | Service Shares | BSTGCI | BOAML1T | LUSOFA |
F | F | F | I | I | I | |
9/30/2009 | 10,000 | 9,800 | 10,000 | 10,000 | 10,000 | 10,000 |
9/30/2010 | 10,405 | 10,147 | 10,359 | 10,079 | 10,091 | 10,214 |
9/30/2011 | 10,533 | 10,215 | 10,439 | 10,114 | 10,146 | 10,255 |
9/30/2012 | 10,830 | 10,446 | 10,685 | 10,153 | 10,173 | 10,431 |
9/30/2013 | 10,889 | 10,456 | 10,707 | 10,183 | 10,204 | 10,453 |
9/30/2014 | 11,042 | 10,545 | 10,809 | 10,205 | 10,231 | 10,526 |
9/30/2015 | 11,079 | 10,511 | 10,784 | 10,232 | 10,257 | 10,519 |
9/30/2016 | 11,243 | 10,620 | 10,895 | 10,298 | 10,312 | 10,612 |
9/30/2017 | 11,434 | 10,730 | 11,030 | 10,390 | 10,374 | 10,737 |
9/30/2018 | 11,644 | 10,879 | 11,195 | 10,555 | 10,486 | 10,894 |
9/30/2019 | 12,035 | 11,182 | 11,506 | 10,848 | 10,815 | 11,165 |
■ | Total returns shown for Class A Shares include the maximum sales charge of 2.00% ($10,000 investment minus $200 sales charge = $9,800). |
1 Year | 5 Years | 10 Years | |
Class A Shares | 0.69% | 0.77% | 1.12% |
Institutional Shares | 3.36% | 1.74% | 1.87% |
Service Shares | 2.78% | 1.26% | 1.41% |
Class R6 Shares5 | 3.36% | 1.74% | 1.87% |
BSTGCI | 2.78% | 1.23% | 0.82% |
BOAML1T | 3.13% | 1.12% | 0.79% |
LUSOFA | 2.74% | 1.30% | 1.10% |
1 | Represents a hypothetical investment of $10,000 in the Fund's Class A Shares after deducting the maximum sales charge of 2.00% ($10,000 investment minus $200 sales charge = $9,800). The Fund's performance assumes the reinvestment of all dividends and distributions. |
2 | The BSTGCI represents securities that have fallen out of the U.S. Government/Corporate Index because of the standard minimum one year maturity constraint. Sectors include treasuries, agencies, industrials, utilities and financial institutions. The BSTGCI is not adjusted to reflect sales charges, 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 BOAML1T is comprised of a single issue purchased at the beginning of the month and held for a full month. The BOAML1T is not adjusted to reflect sales charges, expenses or other fees that the SEC requires to be reflected in the Fund's performance. The BOAML1T has been adjusted to reflect reinvestment of dividends on securities in the index. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
4 | Lipper figures represent the average of the total returns reported by all funds designated by Lipper, Inc., as falling into the respective category and is not adjusted to reflect any sales charges. The Lipper figures in the Growth of $10,000 line graph are based on historical return information published by Lipper and reflect the return of the funds comprising the category in the year of publication. Because the funds designated by Lipper as falling into the category can change over time, the Lipper figures in the line graph may not match the Lipper figures in the Average Annual Total Returns table, which reflect the returns of the funds that currently comprise the category. |
5 | The Fund's R6 class commenced operations on May 29, 2019. For the periods prior to the commencement of operations of the Fund's R6 class, the performance information shown is for the Fund's Institutional Shares (IS) class. The performance of the IS class has not been adjusted to reflect the expenses applicable to the R6 class since the R6 class has a lower expense ratio than the expense ratio of the IS class. |
Security Type | Percentage of Total Net Assets2 |
Asset-Backed Securities | 55.0% |
Corporate Debt Securities | 29.4% |
Collateralized Mortgage Obligations | 4.4% |
Commercial Mortgage-Backed Securities | 3.3% |
Commercial Paper | 0.6% |
Municipal Bond | 0.3% |
Certificate of Deposit | 0.1% |
Mortgage-Backed Security3,4 | 0.0% |
Adjustable Rate Securities4 | 0.0% |
Derivative Contracts4,5 | 0.0% |
High Yield Bond Portfolio | 1.8% |
Federated Bank Loan Core Fund | 1.3% |
Federated Mortgage Core Portfolio | 0.2% |
Federated Project and Trade Finance Core Fund | 0.2% |
Cash Equivalents6 | 3.8% |
Other Assets and Liabilities—Net7 | (0.4)% |
TOTAL | 100.0% |
1 | See the Fund's Prospectus and Statement of Additional Information for a description of these security types. |
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) in which the Fund invested less than 10% of its net assets is listed individually in the table. |
3 | For purposes of this table, Mortgage-Backed Securities may include mortgage-backed securities guaranteed by Government Sponsored Entities and adjustable rate mortgage-backed securities. |
4 | Represents less than 0.1%. |
5 | 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. |
6 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
7 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
1 | ADJUSTABLE RATE MORTGAGES—0.0% | ||
Federal National Mortgage Association—0.0% | |||
$809,331 | FNMA ARM, 2.394%, 8/1/2033 | $808,876 | |
48,233 | FNMA ARM, 3.070%, 4/1/2030 | 48,506 | |
777,261 | FNMA ARM, 3.089%, 7/1/2034 | 779,759 | |
134,738 | FNMA ARM, 3.883%, 5/1/2040 | 136,360 | |
TOTAL ADJUSTABLE RATE MORTGAGES (IDENTIFIED COST $1,792,789) | 1,773,501 | ||
ASSET-BACKED SECURITIES—55.0% | |||
Auto Receivables—24.3% | |||
974,809 | ARI Fleet Lease Trust 2017-A, Class A2, 1.910%, 4/15/2026 | 973,222 | |
3,505,000 | ARI Fleet Lease Trust 2017-A, Class A3, 2.280%, 4/15/2026 | 3,509,722 | |
6,285,991 | ARI Fleet Lease Trust 2018-A, Class A2, 2.550%, 10/15/2026 | 6,297,704 | |
6,100,000 | ARI Fleet Lease Trust 2019-A, Class A2A, 2.410%, 11/15/2027 | 6,137,663 | |
20,000,000 | 1 | Ally Master Owner Trust 2018-3, Class A, 2.347% (1-month USLIBOR +0.320%), 7/15/2022 | 20,012,989 |
12,000,000 | AmeriCredit Automobile Receivables Trust 2016-1, Class D, 3.590%, 2/8/2022 | 12,124,455 | |
15,000,000 | AmeriCredit Automobile Receivables Trust 2017-2, Class D, 3.420%, 4/18/2023 | 15,296,690 | |
13,000,000 | AmeriCredit Automobile Receivables Trust 2017-3, Class D, 3.180%, 7/18/2023 | 13,206,297 | |
1,808,892 | 1 | AmeriCredit Automobile Receivables Trust 2018-1, Class A2B, 2.270% (1-month USLIBOR +0.230%), 7/19/2021 | 1,808,784 |
3,690,000 | AmeriCredit Automobile Receivables Trust 2018-1, Class A3, 3.070%, 12/19/2022 | 3,718,232 | |
10,200,000 | 1 | BMW Floorplan Master Owner Trust 2018-1, Class A2, 2.347% (1-month USLIBOR +0.320%), 5/15/2023 | 10,206,630 |
4,350,000 | BMW Vehicle Lease Trust 2017-2, Class A4, 2.190%, 3/22/2021 | 4,351,954 | |
7,300,000 | BMW Vehicle Lease Trust 2019-1, Class A4, 2.920%, 8/22/2022 | 7,407,290 | |
20,000,000 | BMW Vehicle Owner Trust 2018-A, Class A3, 2.350%, 4/25/2022 | 20,043,719 | |
5,000,000 | California Republic Auto Receivables Trust 2016-2, Class B, 2.520%, 5/16/2022 | 5,011,076 | |
2,400,000 | California Republic Auto Receivables Trust 2016-2, Class C, 3.510%, 3/15/2023 | 2,407,794 | |
4,842,334 | Canadian Pacer Auto Receivable 2017-1A, Class A3, 2.050%, 3/19/2021 | 4,840,507 | |
2,435,000 | Canadian Pacer Auto Receivable 2017-1A, Class A4, 2.286%, 1/19/2022 | 2,437,119 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Auto Receivables—continued | |||
$3,000,000 | Canadian Pacer Auto Receivable 2018-1A, Class A3, 3.000%, 11/19/2021 | $3,016,039 | |
6,100,000 | Canadian Pacer Auto Receivable 2018-1A, Class B, 3.470%, 2/19/2023 | 6,200,705 | |
7,000,000 | Capital One Prime Auto Receivables Trust 2019-1, Class A4, 2.560%, 10/15/2024 | 7,160,501 | |
794,702 | 1 | Chesapeake Funding II LLC 2017-2A, Class A2, 2.477% (1-month USLIBOR +0.450%), 5/15/2029 | 794,559 |
4,766,824 | 1 | Chesapeake Funding II LLC 2017-4A, Class A2, 2.367% (1-month USLIBOR +0.340%), 11/15/2029 | 4,763,470 |
4,000,000 | Chesapeake Funding II LLC 2017-4A, Class B, 2.590%, 11/15/2029 | 4,021,822 | |
3,660,000 | Chesapeake Funding II LLC 2017-4A, Class C, 2.760%, 11/15/2029 | 3,674,299 | |
2,750,000 | Chesapeake Funding II LLC 2017-4A, Class D, 3.260%, 11/15/2029 | 2,783,975 | |
8,208,968 | 1 | Chesapeake Funding II LLC 2018-1A, Class A2, 2.477% (1-month USLIBOR +0.450%), 4/15/2030 | 8,218,024 |
12,078,181 | 1 | Chesapeake Funding II LLC 2018-2A, Class A2, 2.397% (1-month USLIBOR +0.370%), 8/15/2030 | 12,070,244 |
5,525,000 | Chesapeake Funding II LLC 2018-2A, Class B, 3.520%, 8/15/2030 | 5,739,674 | |
7,000,000 | Chesapeake Funding II LLC 2018-2A, Class C, 3.720%, 8/15/2030 | 7,310,724 | |
4,000,000 | Chesapeake Funding II LLC 2018-2A, Class D, 4.060%, 8/15/2030 | 4,181,700 | |
6,200,000 | Chesapeake Funding II LLC 2019-1A, Class B, 3.110%, 4/15/2031 | 6,419,358 | |
3,800,000 | Chesapeake Funding II LLC 2019-1A, Class C, 3.360%, 4/15/2031 | 3,938,116 | |
4,000,000 | Chesapeake Funding II LLC 2019-1A, Class D, 3.800%, 4/15/2031 | 4,148,107 | |
3,222,653 | 1 | Chesapeake Funding LLC 2017-3A, Class A2, 2.367% (1-month USLIBOR +0.340%), 8/15/2029 | 3,222,575 |
3,900,000 | Chesapeake Funding LLC 2017-3A, Class B, 2.570%, 8/15/2029 | 3,914,503 | |
2,300,000 | Chesapeake Funding LLC 2017-3A, Class C, 2.780%, 8/15/2029 | 2,314,869 | |
2,000,000 | Chesapeake Funding LLC 2017-3A, Class D, 3.380%, 8/15/2029 | 2,019,546 | |
1,024,525 | Drive Auto Receivables Trust 2016-CA, Class C, 3.020%, 11/15/2021 | 1,025,240 | |
1,362,850 | Drive Auto Receivables Trust 2017-3, Class C, 2.800%, 7/15/2022 | 1,364,190 | |
2,429,069 | Drive Auto Receivables Trust 2017-AA, Class C, 2.980%, 1/18/2022 | 2,431,432 | |
8,253,355 | Drive Auto Receivables Trust 2018-3, Class B, 3.370%, 9/15/2022 | 8,268,637 | |
25,350,000 | Drive Auto Receivables Trust 2019-1, Class A3, 3.180%, 10/17/2022 | 25,461,833 | |
9,500,000 | Drive Auto Receivables Trust 2019-2, Class B, 3.170%, 11/15/2023 | 9,629,687 | |
5,000,000 | Drive Auto Receivables Trust 2019-4, Class A3, 2.160%, 5/15/2023 | 4,988,475 | |
12,282,967 | Enterprise Fleet Financing LLC 2018-2 A2, Class A2, 3.140%, 2/20/2024 | 12,383,457 | |
9,458,191 | Enterprise Fleet Financing LLC 2018-1, Class A2, 2.870%, 10/20/2023 | 9,502,783 | |
7,950,000 | Enterprise Fleet Financing LLC 2019-1, Class A2, 2.980%, 10/22/2024 | 8,040,620 | |
8,475,000 | Enterprise Fleet Financing LLC 2019-2, Class A2, 2.290%, 2/20/2025 | 8,501,940 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Auto Receivables—continued | |||
$2,000,000 | Enterprise Fleet Financing LLC 2019-2, Class A3, 2.380%, 2/20/2025 | $2,018,728 | |
15,000,000 | Ford Credit Auto Lease Trust 2018-B, Class B, 3.490%, 3/15/2022 | 15,233,536 | |
10,000,000 | Ford Credit Auto Lease Trust 2019-A, Class B, 3.250%, 7/15/2022 | 10,159,658 | |
6,600,000 | Ford Credit Auto Owner Trust 2019-B, Class B, 2.400%, 11/15/2024 | 6,643,886 | |
5,000,000 | Ford Credit Auto Owner Trust 2019-B, Class C, 2.580%, 12/15/2025 | 5,048,751 | |
14,100,000 | Ford Credit Floorplan Master Owner Trust 2019-1, Class B, 3.040%, 3/15/2024 | 14,358,387 | |
1,250,000 | GM Financial Automobile Leasing Trust 2017-2, Class A4, 2.180%, 6/21/2021 | 1,249,720 | |
7,300,000 | GM Financial Automobile Leasing Trust 2017-3, Class C, 2.730%, 9/20/2021 | 7,302,963 | |
6,550,000 | GM Financial Automobile Leasing Trust 2019-3, Class A4, 2.030%, 7/20/2023 | 6,544,080 | |
3,000,000 | GM Financial Consumer Automobile Receivables Trust 2017-1A, Class B, 2.300%, 6/16/2023 | 3,001,566 | |
3,744,504 | GM Financial Consumer Automobile Receivables Trust 2017-3A, Class A3, 1.970%, 5/16/2022 | 3,743,864 | |
812,743 | 1 | GM Financial Consumer Automobile Receivables Trust 2018-1, Class A2B, 2.117% (1-month USLIBOR +0.090%), 1/19/2021 | 812,712 |
4,250,000 | GM Financial Securitized Term 2018-1, Class B, 2.570%, 7/17/2023 | 4,306,118 | |
2,965,890 | 1 | GM Financial Securitized Term 2018-3, Class A2B, 2.137% (1-month USLIBOR +0.110%), 7/16/2021 | 2,966,061 |
3,275,000 | GM Financial Securitized Term 2018-4, Class C, 3.620%, 6/17/2024 | 3,404,094 | |
10,607,871 | GM Financial Securitized Term 2019-1, Class A2, 2.990%, 3/16/2022 | 10,640,658 | |
9,000,000 | GM Financial Securitized Term 2019-3, Class C, 2.620%, 1/16/2025 | 9,092,728 | |
8,200,000 | GMF Floorplan Owner Revolving Trust 2017-1, Class C, 2.970%, 1/18/2022 | 8,212,252 | |
3,340,000 | General Motors 2019-1, Class C, 3.060%, 4/15/2024 | 3,393,934 | |
2,000,000 | Harley-Davidson Motorcycle Trust 2016-A, Class B, 2.710%, 3/15/2024 | 1,994,249 | |
11,800,000 | Harley-Davidson Motorcycle Trust 2019-A, Class A3, 2.340%, 2/15/2024 | 11,865,365 | |
7,700,000 | Honda Auto Receivables Owner Trust 2018-2, Class A3, 3.010%, 5/18/2022 | 7,790,151 | |
6,500,000 | Honda Auto Receivables Owner Trust 2019-1, Class A4, 2.900%, 6/18/2024 | 6,656,977 | |
5,000,000 | Honda Auto Receivables Owner Trust 2019-2, Class A3, 2.520%, 6/21/2023 | 5,057,278 | |
14,000,000 | Honda Auto Receivables Owner Trust 2019-3, Class A2, 1.900%, 4/15/2022 | 13,991,521 | |
8,000,000 | Huntington Auto Trust 2016-1, Class D, 2.960%, 8/15/2023 | 7,991,758 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Auto Receivables—continued | |||
$17,000,000 | Hyundai Auto Lease Securitization Trust 2017-A, Class B, 2.390%, 5/17/2021 | $16,999,097 | |
6,000,000 | Hyundai Auto Lease Securitization Trust 2017-B, Class A4, 2.130%, 3/15/2021 | 5,999,044 | |
6,800,000 | Hyundai Auto Lease Securitization Trust 2017-C, Class B, 2.460%, 7/15/2022 | 6,803,685 | |
12,000,000 | Hyundai Auto Lease Securitization Trust 2018-B, Class A3, 3.040%, 10/15/2021 | 12,088,064 | |
10,000,000 | Hyundai Auto Lease Securitization Trust 2019-A, Class B, 3.250%, 10/16/2023 | 10,174,574 | |
9,500,000 | Hyundai Auto Receivables Trust 2017-B, Class C, 2.440%, 5/15/2024 | 9,547,780 | |
16,000,000 | Hyundai Auto Receivables Trust 2019-A, Class C, 3.030%, 11/17/2025 | 16,440,119 | |
7,000,000 | Mercedes-Benz Auto Lease Trust 2018-A, Class A4, 2.510%, 10/16/2023 | 7,015,353 | |
6,250,000 | Mercedes-Benz Auto Lease Trust 2019-A, Class A3, 3.100%, 11/15/2021 | 6,317,571 | |
4,300,000 | Mercedes-Benz Auto Lease Trust 2019-A, Class A4, 3.250%, 10/15/2024 | 4,374,230 | |
16,200,000 | 1 | Mercedes-Benz Master Owner Trust 2018-AA, Class A, 2.287% (1-month USLIBOR +0.260%), 5/16/2022 | 16,204,491 |
4,650,000 | 1 | Motor PLC 2017-1A, Class A1, 2.548% (1-month USLIBOR +0.530%), 9/25/2024 | 4,648,840 |
12,700,000 | 1 | Navistar Financial Dealer Note Master Trust 2018-1, Class A, 2.648% (1-month USLIBOR +0.630%), 9/25/2023 | 12,714,304 |
6,650,000 | 1 | Navistar Financial Dealer Note Master Trust 2019-1, Class A, 2.658% (1-month USLIBOR +0.640%), 5/25/2024 | 6,666,682 |
2,300,000 | 1 | Navistar Financial Dealer Note Master Trust 2019-1, Class C, 2.968% (1-month USLIBOR +0.950%), 5/25/2024 | 2,303,693 |
10,000,000 | 1 | Nextgear Floorplan Master Owner Trust 2017-1A, Class A1, 2.877% (1-month USLIBOR +0.850%), 4/18/2022 | 10,018,046 |
5,000,000 | 1 | Nextgear Floorplan Master Owner Trust 2017-2A, Class A1, 2.707% (1-month USLIBOR +0.680%), 10/17/2022 | 5,015,330 |
7,000,000 | Nextgear Floorplan Master Owner Trust 2017-2A, Class B, 3.020%, 10/17/2022 | 7,044,532 | |
15,500,000 | 1 | Nextgear Floorplan Master Owner Trust 2018-1A, Class A1, 2.667% (1-month USLIBOR +0.640%), 2/15/2023 | 15,541,287 |
4,000,000 | 1 | Nextgear Floorplan Master Owner Trust 2018-2A, Class A1, 2.627% (1-month USLIBOR +0.600%), 10/15/2023 | 4,003,552 |
33,000,000 | Nextgear Floorplan Master Owner Trust 2019-1A, Class B, 3.460%, 2/15/2024 | 33,754,139 | |
3,400,000 | Nissan Auto Lease Trust 2017-B, Class A4, 2.170%, 12/15/2021 | 3,399,633 | |
1,998,314 | Santander Drive Auto Receivables Trust 2015-3, Class D, 3.490%, 5/17/2021 | 2,001,084 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Auto Receivables—continued | |||
$6,000,000 | Santander Drive Auto Receivables Trust 2017-3, Class C, 2.760%, 12/15/2022 | $6,020,698 | |
9,300,000 | Santander Drive Auto Receivables Trust 2019-2, Class C, 2.900%, 10/15/2024 | 9,454,821 | |
15,500,000 | Santander Drive Auto Receivables Trust 2019-3, Class D, 3.280%, 10/15/2025 | 15,532,825 | |
12,000,000 | Santander Retail Auto Lease Trust 2019-A, Class D, 3.660%, 5/20/2024 | 12,237,230 | |
15,000,000 | Santander Retail Auto Lease Trust 2019-B, Class C, 2.770%, 8/21/2023 | 15,124,348 | |
1,540,524 | Securitized Term Auto Receivables Trust 2016-1A, Class A4, 1.794%, 2/25/2021 | 1,539,197 | |
7,500,000 | Securitized Term Auto Receivables Trust 2017-1A, Class A4, 2.209%, 6/25/2021 | 7,497,445 | |
4,252,676 | Securitized Term Auto Receivables Trust 2017-2A, Class A3, 2.040%, 4/26/2021 | 4,250,474 | |
7,213,953 | 1 | Securitized Term Auto Receivables Trust 2018-2A, Class A2B, 2.228% (1-month USLIBOR +0.210%), 2/25/2021 | 7,209,735 |
6,500,000 | Securitized Term Auto Receivables Trust 2019-1A, Class A3, 2.986%, 2/27/2023 | 6,589,121 | |
22,000,000 | Securitized Term Auto Receivables Trust 2019-1A, Class A4, 3.141%, 11/27/2023 | 22,524,417 | |
10,450,000 | �� | Toyota Auto Loan Extended Note 2019-1A, Class A, 2.560%, 11/25/2031 | 10,701,465 |
2,800,000 | Toyota Auto Receivables Owner Trust 2019-A, Class A2A, 2.830%, 10/15/2021 | 2,810,041 | |
7,000,000 | Toyota Auto Receivables Owner Trust 2019-C, Class A3, 1.910%, 9/15/2023 | 6,992,941 | |
2,250,000 | World Omni Auto Receivables Trust 2017-B, Class B, 2.370%, 5/15/2024 | 2,265,007 | |
5,534,942 | World Omni Auto Receivables Trust 2018-C, Class A2, 2.800%, 1/18/2022 | 5,549,216 | |
6,143,640 | World Omni Auto Receivables Trust 2019-A, Class A2, 3.020%, 4/15/2022 | 6,173,052 | |
12,750,000 | World Omni Automobile Lease Securitization Trust 2018-A, Class B, 3.060%, 5/15/2023 | 12,820,490 | |
6,500,000 | World Omni Automobile Lease Securitization Trust 2018-B, Class B, 3.430%, 3/15/2024 | 6,627,156 | |
5,000,000 | World Omni Automobile Lease Securitization Trust 2019-A, Class B, 3.240%, 7/15/2024 | 5,105,087 | |
6,000,000 | World Omni Automobile Lease Securitization Trust 2019-B, Class B, 2.130%, 2/18/2025 | 6,004,835 | |
TOTAL | 892,888,677 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Credit Card—17.3% | |||
$8,200,000 | 1 | American Express Credit Account Master Trust 2017-2, Class A, 2.477% (1-month USLIBOR +0.450%), 9/16/2024 | $8,244,504 |
6,679,000 | 1 | American Express Credit Account Master Trust 2017-5, Class B, 2.607% (1-month USLIBOR +0.580%), 2/18/2025 | 6,689,663 |
10,546,000 | 1 | American Express Credit Account Master Trust 2017-8, Class B, 2.287% (1-month USLIBOR +0.260%), 5/16/2022 | 10,546,141 |
12,000,000 | 1 | American Express Credit Account Master Trust 2018-3, Class A, 2.347% (1-month USLIBOR +0.320%), 10/15/2025 | 11,995,858 |
10,000,000 | 1 | American Express Credit Account Master Trust 2018-5, Class B, 2.577% (1-month USLIBOR +0.550%), 12/15/2025 | 10,013,526 |
16,613,000 | 1 | American Express Credit Account Master Trust 2018-7, Class B, 2.597% (1-month USLIBOR +0.570%), 2/17/2026 | 16,643,137 |
16,286,000 | American Express Credit Account Master Trust 2018-8, Class B, 3.350%, 4/15/2024 | 16,668,096 | |
18,679,000 | 1 | American Express Credit Account Master Trust 2018-9, Class B, 2.617% (1-month USLIBOR +0.590%), 4/15/2026 | 18,708,084 |
4,500,000 | Bank of America Credit Card Trust 2017-A1, Class A1, 1.950%, 8/15/2022 | 4,497,385 | |
8,500,000 | Bank of America Credit Card Trust 2018-A3, Class A3, 3.100%, 12/15/2023 | 8,686,437 | |
16,000,000 | Bank of America Credit Card Trust 2019-A1, Class A1, 1.740%, 1/15/2025 | 15,950,559 | |
2,600,000 | 1 | Barclays Dryrock Issuance Trust 2017-1, Class A, 2.357% (1-month USLIBOR +0.330%), 3/15/2023 | 2,602,665 |
13,425,000 | 1 | Barclays Dryrock Issuance Trust 2017-2, Class A, 2.327% (1-month USLIBOR +0.300%), 5/15/2023 | 13,436,729 |
15,000,000 | 1 | Barclays Dryrock Issuance Trust 2018-1, Class A, 2.357% (1-month USLIBOR +0.330%), 7/15/2024 | 15,005,719 |
15,000,000 | 1 | Capital One Multi-Asset Execution Trust 2016-A7, Class A7, 2.537% (1-month USLIBOR +0.510%), 9/16/2024 | 15,089,794 |
10,000,000 | Capital One Multi-Asset Execution Trust 2019-A2, Class A2, 1.720%, 8/15/2024 | 9,968,789 | |
11,000,000 | 1 | Cards II Trust 2017-2A, Class A, 2.287% (1-month USLIBOR +0.260%), 10/17/2022 | 11,000,467 |
20,300,000 | 1 | Cards II Trust 2018-1A, Class A, 2.377% (1-month USLIBOR +0.350%), 4/17/2023 | 20,317,722 |
16,500,000 | 1 | Cards II Trust 2019-1A, Class A, 2.417% (1-month USLIBOR +0.390%), 5/15/2024 | 16,480,106 |
15,000,000 | 1 | Chase Issuance Trust 2017-A1, Class A, 2.327% (1-month USLIBOR +0.300%), 1/15/2022 | 15,009,127 |
20,000,000 | 1 | Chase Issuance Trust 2018-A1, Class A1, 2.227% (1-month USLIBOR +0.200%), 4/17/2023 | 20,018,283 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Credit Card—continued | |||
$10,000,000 | 1 | Citibank Credit Card Issuance Trust 2016-A3, Class A3, 2.532% (1-month USLIBOR +0.490%), 12/7/2023 | $10,060,799 |
10,000,000 | 1 | Citibank Credit Card Issuance Trust 2017-A4, Class A4, 2.262% (1-month USLIBOR +0.220%), 4/7/2022 | 10,003,458 |
18,000,000 | 1 | Citibank Credit Card Issuance Trust 2018-A4, Class A4, 2.382% (1-month USLIBOR +0.340%), 6/7/2025 | 17,999,820 |
6,250,000 | 1 | Discover Card Execution Note Trust 2017-A1, Class A1, 2.517% (1-month USLIBOR +0.490%), 7/15/2024 | 6,286,814 |
14,700,000 | 1 | Discover Card Execution Note Trust 2017-A7, Class A7, 2.387% (1-month USLIBOR +0.360%), 4/15/2025 | 14,730,924 |
6,250,000 | 1 | Discover Card Execution Note Trust 2018-A6, Class A6, 2.417% (1-month USLIBOR +0.390%), 3/15/2026 | 6,235,623 |
15,000,000 | 1 | Evergreen Credit Card Trust Series 2017-1, Class A, 2.287% (1-month USLIBOR +0.260%), 10/15/2021 | 15,000,052 |
17,000,000 | 1 | Evergreen Credit Card Trust Series 2018-2, Class A, 2.377% (1-month USLIBOR +0.350%), 7/15/2022 | 17,025,992 |
14,000,000 | 1 | Evergreen Credit Card Trust Series 2019-1, Class A, 2.507% (1-month USLIBOR +0.480%), 1/15/2023 | 14,043,937 |
5,000,000 | Evergreen Credit Card Trust Series 2019-1, Class B, 3.590%, 1/15/2023 | 5,063,287 | |
4,740,000 | Evergreen Credit Card Trust Series 2019-1, Class C, 3.980%, 1/15/2023 | 4,799,492 | |
4,100,000 | Evergreen Credit Card Trust Series 2019-2, Class B, 2.270%, 9/15/2024 | 4,102,230 | |
11,800,000 | 1 | First National Master Note Trust 2017-2, Class A, 2.467% (1-month USLIBOR +0.440%), 10/16/2023 | 11,813,441 |
5,000,000 | 1 | First National Master Note Trust 2018-1, Class A, 2.487% (1-month USLIBOR +0.460%), 10/15/2024 | 4,999,466 |
3,000,000 | Golden Credit Card Trust 2017-2A, Class A, 1.980%, 4/15/2022 | 2,997,482 | |
21,500,000 | 1 | Golden Credit Card Trust 2017-4A, Class A, 2.547% (1-month USLIBOR +0.520%), 7/15/2024 | 21,525,410 |
4,750,000 | Golden Credit Card Trust 2018-1A, Class A, 2.620%, 1/15/2023 | 4,788,573 | |
22,040,000 | 1 | Gracechurch Card PLC 2018-1A, Class A, 2.427% (1-month USLIBOR +0.400%), 7/15/2022 | 22,018,676 |
3,250,000 | Master Credit Card Trust 2017-1A, Class B, 2.560%, 7/21/2021 | 3,249,947 | |
12,500,000 | Master Credit Card Trust 2017-1A, Class C, 3.060%, 7/21/2021 | 12,504,769 | |
2,700,000 | 1 | Master Credit Card Trust 2018-1A, Class A, 2.535% (1-month USLIBOR +0.490%), 7/21/2024 | 2,697,468 |
7,648,000 | Master Credit Card Trust 2018-1A, Class B, 3.245%, 7/21/2024 | 7,869,059 | |
9,500,000 | 1 | Master Credit Card Trust 2018-3A, Class A, 2.385% (1-month USLIBOR +0.340%), 1/21/2022 | 9,501,489 |
15,000,000 | 1 | Master Credit Card Trust 2019-1A, Class A, 2.525% (1-month USLIBOR +0.480%), 7/21/2022 | 15,027,524 |
18,500,000 | 1 | Master Credit Card Trust 2019-2A, Class A, 2.436% (1-month USLIBOR +0.390%), 1/23/2023 | 18,503,892 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Credit Card—continued | |||
$15,000,000 | 1 | Penarth Master Issuer 2018-1A, Class A1, 2.420% (1-month USLIBOR +0.380%), 3/18/2022 | $15,000,142 |
16,000,000 | 1 | Penarth Master Issuer 2018-2A, Class A1, 2.490% (1-month USLIBOR +0.450%), 9/18/2022 | 15,999,584 |
11,000,000 | 1 | Penarth Master Issuer 2019-1A, Class A1, 2.580% (1-month USLIBOR +0.540%), 7/18/2023 | 11,007,529 |
16,000,000 | 1 | Trillium Credit Card Trust II 2018-1A, Class A, 2.295% (1-month USLIBOR +0.250%), 2/27/2023 | 16,002,285 |
17,000,000 | 1 | Trillium Credit Card Trust II 2018-2A, Class A, 2.395% (1-month USLIBOR +0.350%), 9/26/2023 | 17,010,927 |
15,000,000 | Trillium Credit Card Trust II 2019-2A, Class B, 3.522%, 1/26/2024 | 15,172,543 | |
14,457,000 | Trillium Credit Card Trust II 2019-2A, Class C, 3.915%, 1/26/2024 | 14,622,344 | |
TOTAL | 635,237,769 | ||
Equipment Lease—4.9% | |||
3,135,000 | CLI Funding LLC 2013-1A, Class Note, 2.830%, 3/18/2028 | 3,144,919 | |
3,600,000 | CNH Equipment Trust 2019-B, Class B, 2.870%, 11/16/2026 | 3,687,792 | |
5,072,863 | DLL Securitization Trust 2018-1, Class A2, 2.810%, 11/17/2020 | 5,074,625 | |
24,000,000 | DLL Securitization Trust 2019-MA2, Class A3, 2.340%, 9/20/2023 | 24,086,093 | |
13,251,000 | DLL Securitization Trust 2019-MA2, Class A4, 2.390%, 4/20/2027 | 13,339,097 | |
5,656,000 | Dell Equipment Finance Trust 2017-1, Class D, 3.440%, 4/24/2023 | 5,675,231 | |
4,575,000 | Dell Equipment Finance Trust 2017-2, Class C, 2.730%, 10/24/2022 | 4,591,798 | |
3,250,000 | Dell Equipment Finance Trust 2017-2, Class D, 3.270%, 10/23/2023 | 3,260,373 | |
4,500,000 | Dell Equipment Finance Trust 2018-2, Class D, 3.970%, 10/22/2024 | 4,602,150 | |
8,000,000 | Dell Equipment Finance Trust 2019-1, Class D, 3.450%, 3/24/2025 | 8,143,988 | |
6,316,000 | Great America Leasing Receivables 2017-1, Class B, 2.590%, 1/20/2023 | 6,339,096 | |
2,850,000 | Great America Leasing Receivables 2017-1, Class C, 2.890%, 1/22/2024 | 2,862,872 | |
2,155,995 | Great America Leasing Receivables 2018-1, Class A2, 2.350%, 5/15/2020 | 2,155,865 | |
3,200,000 | Great America Leasing Receivables 2018-1, Class B, 2.990%, 6/17/2024 | 3,252,023 | |
6,500,000 | Great America Leasing Receivables 2019-1, Class A2, 2.970%, 6/15/2021 | 6,526,806 | |
7,500,000 | Great America Leasing Receivables 2019-1, Class B, 3.370%, 2/18/2025 | 7,780,593 | |
8,000,000 | Kubota Credit Owner Trust 2019-1A, Class A2, 2.490%, 6/15/2022 | 8,039,339 | |
2,082,779 | MMAF Equipment Finance LLC 2018-A, Class A2, 2.920%, 7/12/2021 | 2,087,258 | |
7,750,000 | MMAF Equipment Finance LLC 2019-A, Class A2, 2.840%, 1/10/2022 | 7,806,741 | |
9,000,000 | Volvo Financial Equipment LLC 2016-1A, Class C, 2.440%, 2/15/2023 | 8,993,387 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Equipment Lease—continued | |||
$1,750,000 | Volvo Financial Equipment LLC 2019-1A, Class A2, 2.900%, 11/15/2021 | $1,757,309 | |
4,770,000 | Volvo Financial Equipment LLC 2019-1A, Class C, 3.480%, 4/15/2026 | 4,917,531 | |
4,250,000 | Volvo Financial Equipment LLC, Series 2017-1A, Class B, 2.400%, 1/18/2022 | 4,253,022 | |
5,000,000 | Volvo Financial Equipment LLC, Series 2017-1A, Class C, 2.600%, 4/15/2024 | 4,999,690 | |
11,750,000 | 1 | Volvo Financial Equipment Master Series 2017- A, Class A, 2.527% (1-month USLIBOR +0.500%), 11/15/2022 | 11,784,790 |
22,000,000 | 1 | Volvo Financial Equipment Master Series 2018- A, Class A, 2.547% (1-month USLIBOR +0.520%), 7/17/2023 | 22,075,443 |
TOTAL | 181,237,831 | ||
Home Equity Loan—0.0% | |||
28,887 | 1 | Countrywide Asset Backed Certificates 2004-4, Class A, 2.758% (1-month USLIBOR +0.740%), 8/25/2034 | 25,497 |
109,416 | 2 | NC Finance Trust 1999-1, Class D, 8.750%, 1/25/2029 | 3,918 |
2,532,132 | 2 | Washington Mutual Asset-Backed Certificates NIM Notes 2007-WM1, Class N1, 6.750%, 1/25/2047 | 0 |
TOTAL | 29,415 | ||
Manufactured Housing—0.0% | |||
9,917 | Indymac Manufactured Housing Contract 1997-1, Class A3, 6.610%, 2/25/2028 | 10,110 | |
Other—8.3% | |||
3,765,478 | 1 | Mississippi Higher Education Assistance Corp. 2014-1, Class A1, 2.698% (1-month USLIBOR +0.680%), 10/25/2035 | 3,763,864 |
655,498 | 1 | Navient Student Loan Trust 2017-3A, Class A1, 2.318% (1-month USLIBOR +0.300%), 7/26/2066 | 655,648 |
5,986,477 | Navient Student Loan Trust 2018-A, Class A1, 2.530%, 2/18/2042 | 6,007,582 | |
1,760,482 | 1 | Navient Student Loan Trust 2018-BA, Class A1, 2.377% (1-month USLIBOR +0.350%), 12/15/2059 | 1,759,880 |
6,900,367 | 1 | Navient Student Loan Trust 2019-BA, Class A1, 2.427% (1-month USLIBOR +0.400%), 12/15/2059 | 6,904,539 |
9,000,000 | 1 | Navient Student Loan Trust 2019-D, Class A2B, 3.077% (1-month USLIBOR +1.050%), 12/15/2059 | 9,012,105 |
11,045,228 | Navient Student Loan Trust 2019-EA, Class A1, 2.390%, 5/15/2068 | 11,094,243 | |
877,689 | 1 | Nelnet Student Loan Trust 2018-1A, Class A1, 2.338% (1-month USLIBOR +0.320%), 5/25/2066 | 877,712 |
6,835,267 | 1 | New Hampshire Higher Education Loan Co. 2012-1, Class A, 2.518% (1-month USLIBOR +0.500%), 10/25/2028 | 6,794,119 |
8,325,000 | PFS Financing Corp. 2016-BA, Class A, 1.870%, 10/15/2021 | 8,323,468 | |
10,000,000 | PFS Financing Corp. 2016-BA, Class B, 2.280%, 10/15/2021 | 9,996,455 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Other—continued | |||
$12,350,000 | 1 | PFS Financing Corp. 2017-BA, Class A1, 2.627% (1-month USLIBOR +0.600%), 7/15/2022 | $12,371,072 |
8,000,000 | PFS Financing Corp. 2017-BA, Class B, 2.570%, 7/15/2022 | 7,980,344 | |
4,000,000 | 1 | PFS Financing Corp. 2017-C, Class A, 2.497% (1-month USLIBOR +0.470%), 10/15/2021 | 3,998,789 |
6,450,000 | 1 | PFS Financing Corp. 2017-C, Class B, 2.827% (1-month USLIBOR +0.800%), 10/15/2021 | 6,445,582 |
8,000,000 | PFS Financing Corp. 2017-D, Class B, 2.740%, 10/17/2022 | 7,996,807 | |
21,650,000 | 1 | PFS Financing Corp. 2018-A, Class A, 2.427% (1-month USLIBOR +0.400%), 2/17/2022 | 21,661,418 |
4,000,000 | 1 | PFS Financing Corp. 2018-A, Class B, 2.627% (1-month USLIBOR +0.600%), 2/17/2022 | 3,999,770 |
4,000,000 | PFS Financing Corp. 2018-B, Class B, 3.080%, 2/15/2023 | 4,032,487 | |
8,000,000 | 1 | PFS Financing Corp. 2018-E, Class B, 2.707% (1-month USLIBOR +0.680%), 10/17/2022 | 7,999,612 |
8,000,000 | 1 | PFS Financing Corp. 2019-A, Class A1, 2.577% (1-month USLIBOR +0.550%), 4/15/2024 | 8,017,226 |
6,500,000 | PFS Financing Corp. 2019-A, Class B, 3.130%, 4/15/2024 | 6,634,837 | |
6,614,370 | Public Service New Hampshire 2018-1, Class A1, 3.094%, 2/1/2026 | 6,781,749 | |
805,349 | 1 | SLM Student Loan Trust 2010-A, Class 2A, 5.277% (1-month USLIBOR +3.250%), 5/16/2044 | 807,814 |
740,087 | 1 | SLM Student Loan Trust 2011-1, Class A1, 2.538% (1-month USLIBOR +0.520%), 3/25/2026 | 740,746 |
2,197,095 | 1 | SLM Student Loan Trust 2011-2, Class A1, 2.618% (1-month USLIBOR +0.600%), 11/25/2027 | 2,203,613 |
12,000,000 | SLM Student Loan Trust 2013-B, Class B, 3.000%, 5/16/2044 | 12,064,375 | |
59,039 | 1 | SLMA 2013-B A2B, Class A2B, 3.127% (1-month USLIBOR +1.100%), 6/17/2030 | 59,051 |
3,465,586 | 1 | SMB Private Education Loan Trust 2018-A, Class A1, 2.377% (1-month USLIBOR +0.350%), 3/16/2026 | 3,467,398 |
2,011,080 | 1 | SMB Private Education Loan Trust 2018-C, Class A1, 2.327% (1-month USLIBOR +0.300%), 9/15/2025 | 2,011,946 |
1,438,900 | Sierra Receivables Funding Co. LLC 2015-1A, Class A, 2.400%, 3/22/2032 | 1,441,355 | |
498,666 | 1 | Social Professional Loan Program LLC 2014-B, Class A1, 3.268% (1-month USLIBOR +1.250%), 8/25/2032 | 499,363 |
1,092,135 | 1 | Social Professional Loan Program LLC 2015-A, Class A1, 3.218% (1-month USLIBOR +1.200%), 3/25/2033 | 1,094,203 |
1,074,379 | 1 | Social Professional Loan Program LLC 2016-D, Class A1, 2.968% (1-month USLIBOR +0.950%), 1/25/2039 | 1,081,631 |
1,641,748 | 1 | Social Professional Loan Program LLC 2016-E, Class A1, 2.868% (1-month USLIBOR +0.850%), 7/25/2039 | 1,647,071 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Other—continued | |||
$2,753,780 | 1 | Social Professional Loan Program LLC 2017-A, Class A1, 2.718% (1-month USLIBOR +0.700%), 3/26/2040 | $2,761,831 |
2,057,257 | 1 | Social Professional Loan Program LLC 2017-C, Class A1, 2.618% (1-month USLIBOR +0.600%), 7/25/2040 | 2,055,336 |
145,479 | Social Professional Loan Program LLC 2017-D, Class A1FX, 1.720%, 9/25/2040 | 145,365 | |
2,594,107 | 1 | Social Professional Loan Program LLC 2017-E, Class A1, 2.518% (1-month USLIBOR +0.500%), 11/26/2040 | 2,596,044 |
2,268,198 | Social Professional Loan Program LLC 2017-F, Class A1FX, 2.050%, 1/25/2041 | 2,265,792 | |
1,990,602 | 1 | Social Professional Loan Program LLC 2018-A, Class A1, 2.368% (1-month USLIBOR +0.350%), 2/25/2042 | 1,992,388 |
9,746,849 | Social Professional Loan Program LLC 2018-C, Class A1FX, 3.080%, 1/25/2048 | 9,840,376 | |
8,111,947 | Social Professional Loan Program LLC 2019-A, Class A1FX, 3.180%, 6/15/2048 | 8,118,072 | |
5,501,979 | Social Professional Loan Program LLC 2019-B, Class A1FX, 2.780%, 8/17/2048 | 5,542,734 | |
2,152,725 | Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 | 2,174,938 | |
928,187 | Sofi Consumer Loan Program Trust 2016-2, Class A, 3.090%, 10/27/2025 | 930,659 | |
768,470 | Sofi Consumer Loan Program Trust 2016-3, Class A, 3.050%, 12/26/2025 | 770,857 | |
3,140,187 | Sofi Consumer Loan Program Trust 2017-1, Class A, 3.280%, 1/26/2026 | 3,162,673 | |
2,384,151 | Sofi Consumer Loan Program Trust 2017-3, Class A, 2.770%, 5/25/2026 | 2,392,171 | |
1,122,555 | Sofi Consumer Loan Program Trust 2018-1, Class A1, 2.550%, 2/25/2027 | 1,122,152 | |
3,734,756 | Sofi Consumer Loan Program Trust 2018-3, Class A1, 3.200%, 8/25/2027 | 3,744,376 | |
10,951,449 | Sofi Consumer Loan Program Trust 2019-3, Class A, 2.900%, 5/25/2028 | 11,028,040 | |
4,376,687 | 1 | State Board of Regents of the State of Utah 2016-1, Class A, 2.768% (1-month USLIBOR +0.750%), 9/25/2056 | 4,376,900 |
21,300,000 | 1 | Verizon Owner Trust 2018-1A, Class A1B, 2.304% (1-month USLIBOR +0.260%), 9/20/2022 | 21,312,370 |
6,000,000 | Verizon Owner Trust 2018-1A, Class C, 3.550%, 4/20/2023 | 6,180,407 | |
3,500,000 | Verizon Owner Trust 2019-A, Class C, 2.600%, 12/20/2023 | 3,544,872 | |
9,400,000 | Verizon Owner Trust 2019-A, Class C, 3.220%, 9/20/2023 | 9,669,732 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES—continued | |||
Other—continued | |||
$11,000,000 | Verizon Owner Trust 2019-B, Class A1A, 2.330%, 12/20/2023 | $11,088,249 | |
TOTAL | 307,044,208 | ||
Rate Reduction Bond—0.1% | |||
2,172,505 | Atlantic City Electric Transition Funding 2002-1, Class A4, 5.550%, 10/20/2023 | 2,256,787 | |
Technology—0.1% | |||
2,750,000 | HPEFS Equipment Trust 2019-1, Class D, 2.720%, 9/20/2029 | 2,756,551 | |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $2,011,193,744) | 2,021,461,348 | ||
CORPORATE BONDS—29.4% | |||
Capital Goods - Aerospace & Defense—0.3% | |||
7,380,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 2.080%, 10/15/2020 | 7,383,679 | |
2,335,000 | Textron, Inc., Sr. Unsecd. Note, 3.900%, 9/17/2029 | 2,505,915 | |
TOTAL | 9,889,594 | ||
Capital Goods - Construction Machinery—0.1% | |||
3,000,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 4.375%, 11/6/2020 | 3,060,600 | |
Capital Goods - Diversified Manufacturing—1.0% | |||
15,000,000 | 3M Co., Sr. Unsecd. Note, 1.750%, 2/14/2023 | 14,961,326 | |
6,000,000 | Pentair Finance SARL, Sr. Unsecd. Note, 2.650%, 12/1/2019 | 6,000,508 | |
7,135,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.350%, 9/15/2024 | 7,145,322 | |
7,020,000 | 1 | Tyco Electronics Group SA, Sr. Unsecd. Note, 2.576% (3-month USLIBOR +0.450%), 6/5/2020 | 7,025,546 |
TOTAL | 35,132,702 | ||
Communications - Cable & Satellite—0.7% | |||
5,500,000 | 1 | Comcast Corp., Sr. Unsecd. Note, 2.538% (3-month USLIBOR +0.440%), 10/1/2021 | 5,518,679 |
20,830,000 | 1 | Comcast Corp., Sr. Unsecd. Note, 2.933% (3-month USLIBOR +0.630%), 4/15/2024 | 20,973,344 |
TOTAL | 26,492,023 | ||
Communications - Media & Entertainment—0.3% | |||
2,610,000 | Fox Corp., Sr. Unsecd. Note, 144A, 3.666%, 1/25/2022 | 2,695,803 | |
9,675,000 | 1 | Walt Disney Co., Sr. Unsecd. Note, 2.362% (3-month USLIBOR +0.250%), 9/1/2021 | 9,691,237 |
TOTAL | 12,387,040 | ||
Communications - Telecom Wireless—0.5% | |||
19,500,000 | 1 | Vodafone Group PLC, Sr. Unsecd. Note, 3.312% (3-month USLIBOR +0.990%), 1/16/2024 | 19,680,693 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Communications - Telecom Wirelines—0.6% | |||
$16,000,000 | 1 | AT&T, Inc., Sr. Unsecd. Note, 3.311% (3-month USLIBOR +1.180%), 6/12/2024 | $16,303,781 |
4,170,000 | 1 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.118% (3-month USLIBOR +1.000%), 3/16/2022 | 4,234,226 |
TOTAL | 20,538,007 | ||
Consumer Cyclical - Automotive—3.0% | |||
3,180,000 | 1 | American Honda Finance Corp., Sr. Unsecd. Note, 2.378% (3-month USLIBOR +0.260%), 6/16/2020 | 3,184,400 |
10,000,000 | 1 | American Honda Finance Corp., Sr. Unsecd. Note, Series GMTN, 2.391% (3-month USLIBOR +0.210%), 2/12/2021 | 10,000,329 |
100,000 | American Honda Finance Corp., Sr. Unsecd. Note, Series MTN, 1.950%, 7/20/2020 | 99,958 | |
7,000,000 | 1 | American Honda Finance Corp., Sr. Unsecd. Note, Series MTN, 2.424% (3-month USLIBOR +0.290%), 12/10/2021 | 6,992,935 |
8,000,000 | 1 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 2.599% (3-month USLIBOR +0.450%), 2/22/2021 | 8,001,090 |
4,000,000 | 1 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 2.816% (3-month USLIBOR +0.530%), 5/5/2020 | 4,006,370 |
9,000,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 3.400%, 2/22/2022 | 9,210,562 | |
15,000,000 | 1 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.311% (3-month USLIBOR +1.000%), 1/9/2020 | 15,002,296 |
3,570,000 | 1 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.374% (3-month USLIBOR +1.270%), 3/28/2022 | 3,522,338 |
4,000,000 | 1 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 3.233% (3-month USLIBOR +0.930%), 4/13/2020 | 4,010,135 |
9,090,000 | 1 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 3.853% (3-month USLIBOR +1.550%), 1/14/2022 | 9,158,866 |
4,000,000 | 1 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 2.794% (3-month USLIBOR +0.690%), 9/28/2022 | 3,994,542 |
10,000,000 | 1 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 3.193% (3-month USLIBOR +0.890%), 1/13/2022 | 10,047,098 |
5,000,000 | 1 | Toyota Motor Credit Corp., Sr. Unsecd. Note, 2.730% (3-month USLIBOR +0.390%), 1/11/2023 | 4,977,191 |
4,000,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series GMTN, 3.050%, 1/8/2021 | 4,061,075 | |
7,000,000 | 1 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series MTN, 2.739% (3-month USLIBOR +0.440%), 10/18/2019 | 7,002,274 |
5,000,000 | 1 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series MTN, 3.030% (3-month USLIBOR +0.690%), 1/11/2022 | 5,048,800 |
2,000,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 2.500%, 9/24/2021 | 2,005,843 | |
TOTAL | 110,326,102 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Retailers—1.5% | |||
$3,570,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 2.700%, 7/26/2022 | $3,598,075 | |
4,000,000 | CVS Health Corp., Sr. Unsecd. Note, 2.125%, 6/1/2021 | 3,997,279 | |
13,055,000 | 1 | CVS Health Corp., Sr. Unsecd. Note, 2.822% (3-month USLIBOR +0.720%), 3/9/2021 | 13,121,652 |
13,390,000 | 1 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.003% (3-month USLIBOR +0.700%), 4/17/2020 | 13,392,494 |
5,000,000 | 1 | Home Depot, Inc., Sr. Unsecd. Note, 2.276% (3-month USLIBOR +0.150%), 6/5/2020 | 5,003,244 |
17,000,000 | 1 | Home Depot, Inc., Sr. Unsecd. Note, 2.447% (3-month USLIBOR +0.310%), 3/1/2022 | 17,027,889 |
TOTAL | 56,140,633 | ||
Consumer Cyclical - Services—0.2% | |||
8,500,000 | Amazon.com, Inc., Sr. Unsecd. Note, 1.900%, 8/21/2020 | 8,506,856 | |
Consumer Non-Cyclical - Food/Beverage—1.4% | |||
3,500,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 3.875%, 11/26/2023 | 3,704,489 | |
5,745,000 | 1 | Constellation Brands, Inc., Sr. Unsecd. Note, 2.858% (3-month USLIBOR +0.700%), 11/15/2021 | 5,745,081 |
9,700,000 | Danone SA, Sr. Unsecd. Note, 144A, 1.691%, 10/30/2019 | 9,695,534 | |
6,950,000 | 1 | General Mills, Inc., Sr. Unsecd. Note, 3.313% (3-month USLIBOR +1.010%), 10/17/2023 | 7,004,799 |
6,180,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 3.551%, 5/25/2021 | 6,318,429 | |
1,500,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.375%, 6/15/2021 | 1,519,850 | |
6,000,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 2.700%, 8/15/2022 | 6,081,054 | |
4,120,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 2.700%, 1/31/2020 | 4,117,909 | |
6,820,000 | 1 | Tyson Foods, Inc., Sr. Unsecd. Note, 2.601% (3-month USLIBOR +0.450%), 8/21/2020 | 6,821,099 |
TOTAL | 51,008,244 | ||
Consumer Non-Cyclical - Health Care—0.4% | |||
4,298,000 | 1 | Becton Dickinson & Co., Sr. Unsecd. Note, 2.979% (3-month USLIBOR +0.875%), 12/29/2020 | 4,299,514 |
10,500,000 | 1 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.142% (3-month USLIBOR +1.030%), 6/6/2022 | 10,547,098 |
TOTAL | 14,846,612 | ||
Consumer Non-Cyclical - Pharmaceuticals—1.2% | |||
9,000,000 | Abbott Laboratories, Sr. Unsecd. Note, 2.900%, 11/30/2021 | 9,165,394 | |
6,500,000 | 1 | AstraZeneca PLC, Sr. Unsecd. Note, 2.754% (3-month USLIBOR +0.620%), 6/10/2022 | 6,500,349 |
2,000,000 | 1 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 2.736% (3-month USLIBOR +0.630%), 6/25/2021 | 1,998,294 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Pharmaceuticals—continued | |||
$9,100,000 | 1 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 3.128% (3-month USLIBOR +1.010%), 12/15/2023 | $9,111,809 |
4,615,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 2.900%, 7/26/2024 | 4,765,228 | |
3,430,000 | Eli Lilly & Co., Sr. Unsecd. Note, 2.350%, 5/15/2022 | 3,474,058 | |
4,000,000 | Gilead Sciences, Inc., Sr. Unsecd. Note, 2.350%, 2/1/2020 | 4,004,908 | |
4,735,000 | Merck & Co., Inc., Sr. Unsecd. Note, 2.900%, 3/7/2024 | 4,923,325 | |
TOTAL | 43,943,365 | ||
Consumer Non-Cyclical - Tobacco—0.3% | |||
10,000,000 | 1 | Bat Capital Corp., Sr. Unsecd. Note, Series WI, 3.038% (3-month USLIBOR +0.880%), 8/15/2022 | 10,061,291 |
Energy - Independent—0.4% | |||
13,300,000 | 1 | Occidental Petroleum Corp., Sr. Unsecd. Note, 3.637% (3-month USLIBOR +1.450%), 8/15/2022 | 13,389,502 |
Energy - Integrated—0.7% | |||
2,780,000 | 1 | BP Capital Markets PLC, Sr. Unsecd. Note, 2.988% (3-month USLIBOR +0.870%), 9/16/2021 | 2,810,980 |
10,000,000 | 1 | Chevron Corp., Unsecd. Note, 2.688% (3-month USLIBOR +0.530%), 11/15/2021 | 10,079,327 |
13,700,000 | Exxon Mobil Corp., Sr. Unsecd. Note, 1.902%, 8/16/2022 | 13,773,814 | |
TOTAL | 26,664,121 | ||
Energy - Midstream—0.5% | |||
1,445,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 1,536,309 | |
10,800,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.500%, 2/1/2022 | 11,155,848 | |
5,000,000 | 1 | MPLX LP, Sr. Unsecd. Note, 3.026% (3-month USLIBOR +0.900%), 9/9/2021 | 5,017,297 |
TOTAL | 17,709,454 | ||
Energy - Refining—0.2% | |||
6,175,000 | 1 | Phillips 66, Sr. Unsecd. Note, 2.732% (3-month USLIBOR +0.600%), 2/26/2021 | 6,175,322 |
Financial Institution - Banking—9.1% | |||
10,000,000 | 1 | American Express Co., 2.782% (3-month USLIBOR +0.650%), 2/27/2023 | 10,023,562 |
5,050,000 | Associated Banc-Corp., Sr. Unsecd. Note, 2.750%, 11/15/2019 | 5,050,428 | |
4,200,000 | Associated Banc-Corp., Sr. Unsecd. Note, Series BKNT, 3.500%, 8/13/2021 | 4,279,103 | |
4,000,000 | 1 | Aust & NZ Banking Group, Unsecd. Note, 144A, 2.583% (3-month USLIBOR +0.460%), 5/17/2021 | 4,017,937 |
12,855,000 | BB&T Corp., Sr. Unsecd. Note, Series MTN, 3.050%, 6/20/2022 | 13,168,009 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$10,000,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, 3.282% (3-month USLIBOR +1.000%), 4/24/2023 | $10,083,395 |
5,000,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, Series FRN, 2.639% (3-month USLIBOR +0.380%), 1/23/2022 | 5,000,347 |
5,000,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, Series GMTN, 2.937% (3-month USLIBOR +0.660%), 7/21/2021 | 5,014,410 |
7,000,000 | 1 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.457% (3-month USLIBOR +1.180%), 10/21/2022 | 7,093,365 |
8,000,000 | 1 | Bank of Montreal, Sr. Unsecd. Note, Series MTN, 2.558% (3-month USLIBOR +0.440%), 6/15/2020 | 8,019,815 |
5,000,000 | 1 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.315% (3-month USLIBOR +1.050%), 10/30/2023 | 5,087,543 |
3,000,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.450%, 4/30/2021 | 3,055,060 | |
7,690,000 | 1 | Capital One NA, Sr. Unsecd. Note, Series BKNT, 3.415% (3-month USLIBOR +1.150%), 1/30/2023 | 7,748,029 |
5,000,000 | 1 | Citibank NA, Sr. Unsecd. Note, Series BKNT, 2.531% (3-month USLIBOR +0.350%), 2/12/2021 | 5,006,759 |
5,000,000 | 1 | Citibank NA, Sr. Unsecd. Note, Series BKNT, 2.573% (3-month USLIBOR +0.320%), 5/1/2020 | 5,006,245 |
6,665,000 | Citibank NA, Sr. Unsecd. Note, Series BKNT, 3.165%, 2/19/2022 | 6,755,992 | |
5,000,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 3.127% (3-month USLIBOR +0.790%), 1/10/2020 | 5,006,388 |
5,000,000 | 1 | Citigroup, Inc., Sr. Unsecd. Note, 3.172% (3-month USLIBOR +1.070%), 12/8/2021 | 5,062,396 |
3,890,000 | Citizens Bank N.A., Sr. Unsecd. Note, Series BKNT, 3.250%, 2/14/2022 | 3,986,072 | |
10,000,000 | 1 | Citizens Bank, N.A., Providence, Sr. Unsecd. Note, Series BKNT, 3.054% (3-month USLIBOR +0.950%), 3/29/2023 | 10,066,219 |
10,000,000 | 1 | Commonwealth Bank of Australia, Sr. Unsecd. Note, 144A, 2.942% (3-month USLIBOR +0.830%), 9/6/2021 | 10,098,869 |
8,320,000 | 1 | Compass Bank, Birmingham, Sr. Unsecd. Note, Series BKNT, 2.868% (3-month USLIBOR +0.730%), 6/11/2021 | 8,321,650 |
5,250,000 | 1 | Fifth Third Bank, Sr. Unsecd. Note, Series BKNT, 2.706% (3-month USLIBOR +0.440%), 7/26/2021 | 5,260,949 |
3,000,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.897% (3-month USLIBOR +0.750%), 2/23/2023 | 2,999,302 |
5,760,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.376% (3-month USLIBOR +1.110%), 4/26/2022 | 5,810,734 |
3,750,000 | 1 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.419% (3-month USLIBOR +1.160%), 4/23/2020 | 3,766,751 |
10,000,000 | 1 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.123% (3-month USLIBOR +1.000%), 5/18/2024 | 10,045,152 |
2,800,000 | Huntington National Bank, Sr. Unsecd. Note, Series BKNT, 3.125%, 4/1/2022 | 2,868,263 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$6,000,000 | JPMorgan Chase & Co., 3.250%, 9/23/2022 | $6,205,296 | |
6,000,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.989% (3-month USLIBOR +0.730%), 4/23/2024 | 5,989,029 |
5,000,000 | 1 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.512% (3-month USLIBOR +1.230%), 10/24/2023 | 5,082,520 |
3,000,000 | 1 | JPMorgan Chase Bank, N.A., Sr. Unsecd. Note, Series BKNT, 2.543% (3-month USLIBOR +0.290%), 2/1/2021 | 3,001,174 |
6,825,000 | MUFG Union Bank, N.A., Sr. Unsecd. Note, Series BKNT, 3.150%, 4/1/2022 | 6,995,568 | |
7,000,000 | 1 | Manufacturers & Traders Trust Co., Sr. Unsecd. Note, Series BKNT, 2.733% (3-month USLIBOR +0.610%), 5/18/2022 | 7,011,310 |
6,500,000 | 1 | Manufacturers & Traders Trust Co., Sub. Note, Series BKNT, 2.777% (3-month USLIBOR +0.640%), 12/1/2021 | 6,497,745 |
7,000,000 | 1 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.731% (3-month USLIBOR +0.550%), 2/10/2021 | 7,006,678 |
2,145,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 2.720%, 7/22/2025 | 2,171,210 | |
1,250,000 | PNC Bank National Association, Sec. Fac. Bond, Series BKNT, 2.000%, 5/19/2020 | 1,249,701 | |
3,300,000 | PNC Bank National Association, Sr. Unsecd. Note, Series BKNT, 2.232%, 7/22/2022 | 3,304,073 | |
3,000,000 | 1 | PNC Bank National Association, Sr. Unsecd. Note, Series BKNT, 2.527% (3-month USLIBOR +0.250%), 1/22/2021 | 3,002,431 |
6,665,000 | 1 | PNC Bank National Association, Sr. Unsecd. Note, Series BKNT, 2.755% (3-month USLIBOR +0.500%), 7/27/2022 | 6,682,334 |
5,000,000 | 1 | Regions Bank, Alabama, Sr. Unsecd. Note, Series BKNT, 3.035% (3-month USLIBOR +0.500%), 8/13/2021 | 5,003,057 |
2,730,000 | State Street Corp., Sr. Unsecd. Note, 1.950%, 5/19/2021 | 2,731,023 | |
10,000,000 | 1 | SunTrust Bank, Sr. Unsecd. Note, Series BKNT, 2.785% (3-month USLIBOR +0.530%), 1/31/2020 | 10,011,967 |
7,000,000 | 1 | SunTrust Bank, Sr. Unsecd. Note, Series BKNT, 2.855% (3-month USLIBOR +0.590%), 8/2/2022 | 7,016,296 |
10,000,000 | 1 | The Bank of New York Mellon Corp., Sr. Unsecd. Note, Series BKNT, 2.432% (3-month USLIBOR +0.300%), 12/4/2020 | 10,003,128 |
15,750,000 | 1 | Toronto Dominion Bank, Sr. Unsecd. Note, Series MTN, 2.568% (3-month USLIBOR +0.430%), 6/11/2021 | 15,811,371 |
9,580,000 | 1 | U.S. Bank N.A., Cincinnati, Sr. Unsecd. Note, Series BKNT, 2.399% (3-month USLIBOR +0.140%), 10/23/2020 | 9,564,636 |
6,000,000 | 1 | U.S. Bank N.A., Cincinnati, Sr. Unsecd. Note, Series BKNT, 2.441% (3-month USLIBOR +0.290%), 5/21/2021 | 6,004,802 |
5,100,000 | 1 | Wells Fargo & Co., Sr. Unsecd. Note, 3.485% (3-month USLIBOR +1.230%), 10/31/2023 | 5,179,696 |
5,000,000 | Wells Fargo Bank, N.A., Sr. Unsecd. Note, Series BKNT, 2.082%, 9/9/2022 | 4,989,491 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$15,000,000 | 1 | Wells Fargo Bank, N.A., Sr. Unsecd. Note, Series BKNT, 2.613% (3-month USLIBOR +0.310%), 1/15/2021 | $15,023,844 |
TOTAL | 333,241,124 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.3% | |||
10,000,000 | 1 | TD Ameritrade Holding Corp., Sr. Unsecd. Note, 2.683% (3-month USLIBOR +0.430%), 11/1/2021 | 10,035,928 |
Financial Institution - Finance Companies—0.2% | |||
2,120,000 | AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, Sr. Unsecd. Note, 4.450%, 12/16/2021 | 2,205,060 | |
3,430,000 | AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, Sr. Unsecd. Note, 4.875%, 1/16/2024 | 3,706,355 | |
TOTAL | 5,911,415 | ||
Financial Institution - Insurance - Health—0.7% | |||
14,690,000 | 1 | CIGNA Corp., Sr. Unsecd. Note, Series WI, 2.789% (3-month USLIBOR +0.650%), 9/17/2021 | 14,690,594 |
10,590,000 | 1 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 2.373% (3-month USLIBOR +0.070%), 10/15/2020 | 10,577,845 |
TOTAL | 25,268,439 | ||
Financial Institution - Insurance - Life—1.7% | |||
7,620,000 | 1 | MET Life Global Funding I, Sec. Fac. Bond, 144A, 2.390% (Secured Overnight Financing Rate +0.570%), 9/7/2020 | 7,641,347 |
4,765,000 | MET Life Global Funding I, Sec. Fac. Bond, 144A, 3.375%, 1/11/2022 | 4,903,838 | |
6,665,000 | Mass Mutual Global Funding II, Sec. Fac. Bond, 144A, 1.950%, 9/22/2020 | 6,663,702 | |
2,915,000 | Met Life Glob Funding I, Sec. Fac. Bond, 144A, 2.400%, 6/17/2022 | 2,940,778 | |
10,000,000 | 1 | New York Life Global Funding, Sec. Fac. Bond, 144A, 2.581% (3-month USLIBOR +0.270%), 4/9/2020 | 10,011,320 |
6,085,000 | 1 | New York Life Global Funding, Sec. Fac. Bond, 144A, 2.672% (3-month USLIBOR +0.390%), 10/24/2019 | 6,086,358 |
11,250,000 | New York Life Global Funding, Sec. Fac. Bond, 144A, 2.950%, 1/28/2021 | 11,395,650 | |
13,390,000 | 1 | New York Life Global Funding, Sr. Secd. Note, 144A, 2.559% (3-month USLIBOR +0.320%), 8/6/2021 | 13,425,490 |
TOTAL | 63,068,483 | ||
Financial Institution - REIT - Office—0.0% | |||
1,165,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.000%, 1/15/2024 | 1,243,950 | |
Technology—1.3% | |||
6,535,000 | 3 | Apple, Inc., Sr. Unsecd. Note, 1.700%, 9/11/2022 | 6,527,848 |
5,000,000 | 1 | Apple, Inc., Sr. Unsecd. Note, 2.251% (3-month USLIBOR +0.070%), 5/11/2020 | 5,001,299 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$4,935,000 | Broadcom Corp., Sr. Unsecd. Note, Series WI, 3.000%, 1/15/2022 | $4,984,581 | |
5,835,000 | Dell International LLC / EMC Corp., 144A, 4.000%, 7/15/2024 | 6,107,297 | |
4,615,000 | Fiserv, Inc., Sr. Unsecd. Note, 2.750%, 7/1/2024 | 4,699,047 | |
11,250,000 | 1 | IBM Credit Corp., Sr. Unsecd. Note, 2.594% (3-month USLIBOR +0.470%), 11/30/2020 | 11,310,824 |
3,500,000 | Keysight Technologies, Inc., 3.300%, 10/30/2019 | 3,500,724 | |
5,000,000 | 1 | Qualcomm, Inc., Sr. Unsecd. Note, 2.995% (3-month USLIBOR +0.730%), 1/30/2023 | 5,029,111 |
TOTAL | 47,160,731 | ||
Transportation - Services—0.3% | |||
3,200,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.450%, 7/1/2024 | 3,329,756 | |
3,280,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.650%, 7/29/2021 | 3,356,857 | |
4,825,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.500%, 6/1/2021 | 4,930,602 | |
TOTAL | 11,617,215 | ||
Utility - Electric—2.0% | |||
1,500,000 | AEP Texas, Inc., Sr. Unsecd. Note, Series WI, 2.400%, 10/1/2022 | 1,507,116 | |
5,000,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 2.150%, 11/13/2020 | 5,003,672 | |
7,000,000 | 1 | Consolidated Edison Co., Sr. Unsecd. Note, Series C, 2.506% (3-month USLIBOR +0.400%), 6/25/2021 | 7,025,692 |
6,015,000 | Dominion Energy, Inc., Jr. Sub. Note, 2.715%, 8/15/2021 | 6,057,026 | |
388,750 | Duke Energy Florida LLC, Sr. Unsecd. Note, 2.100%, 12/15/2019 | 388,665 | |
10,000,000 | 1 | Duke Energy Progress LLC, 2.282% (3-month USLIBOR +0.180%), 9/8/2020 | 10,007,882 |
5,590,000 | 1 | Florida Power & Light Co., Sr. Unsecd. Note, 2.639% (3-month USLIBOR +0.400%), 5/6/2022 | 5,591,612 |
2,980,000 | 1 | Mississippi Power Co., Sr. Unsecd. Note, 2.749% (3-month USLIBOR +0.650%), 3/27/2020 | 2,981,208 |
4,900,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, Series MTN, 1.500%, 11/1/2019 | 4,886,773 | |
3,790,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, Series MTN, 2.900%, 3/15/2021 | 3,838,463 | |
8,300,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, Series H, 3.342%, 9/1/2020 | 8,394,798 | |
5,515,000 | Public Service Enterprises Group, Inc., Sr. Unsecd. Note, 1.600%, 11/15/2019 | 5,510,355 | |
2,935,000 | Public Service Enterprises Group, Inc., Sr. Unsecd. Note, 2.875%, 6/15/2024 | 3,015,159 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Utility - Electric—continued | |||
$10,290,000 | Wisconsin Public Service, Sr. Unsecd. Note, 3.350%, 11/21/2021 | $10,580,831 | |
TOTAL | 74,789,252 | ||
Utility - Natural Gas—0.5% | |||
9,635,000 | 1 | Sempra Energy, Sr. Unsecd. Note, 2.803% (3-month USLIBOR +0.500%), 1/15/2021 | 9,627,239 |
10,000,000 | 1 | TransCanada PipeLines Ltd., Sr. Unsecd. Note, 2.433% (3-month USLIBOR +0.275%), 11/15/2019 | 10,002,539 |
TOTAL | 19,629,778 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $1,069,965,867) | 1,077,918,476 | ||
MUNICIPAL BOND—0.3% | |||
Municipal Services—0.3% | |||
11,000,000 | 1 | Mississippi State, Taxable UT GO Bonds (Series 2017C) FRNs, 2.467% (1-month USLIBOR +0.400%), Mandatory Tender 11/1/2020 (IDENTIFIED COST $11,000,000) | 11,020,790 |
MORTGAGE-BACKED SECURITY—0.0% | |||
Federal National Mortgage Association—0.0% | |||
378,488 | Federal National Mortgage Association, Pool 728568, 6.500%, 10/1/2033 (IDENTIFIED COST $400,133) | 438,770 | |
COMMERCIAL MORTGAGE-BACKED SECURITIES—3.3% | |||
Commercial Mortgage—3.3% | |||
20,000,000 | 1 | BHMS Mortgage Trust 2018-ATLS, Class A, 3.277% (1-month USLIBOR +1.250%), 7/15/2035 | 20,000,130 |
25,000,000 | 1 | Cosmopolitan Hotel Trust 2017-CSMO, Class B, 3.427% (1-month USLIBOR +1.400%), 11/15/2036 | 25,000,030 |
11,000,000 | 1 | DBWF Mortgage Trust 2018-GLKS, Class A, 3.087% (1-month USLIBOR +1.030%), 11/19/2035 | 11,003,716 |
15,000,000 | 1 | DBWF Mortgage Trust 2018-GLKS, Class B, 3.407% (1-month USLIBOR +1.350%), 11/19/2035 | 15,051,387 |
21,400,000 | 1 | GS Mortgage Securities Trust 2014-GC24, Class B, 3.227% (1-month USLIBOR +1.200%), 11/15/2035 | 21,406,694 |
7,000,000 | 1 | GS Mortgage Securities Trust 2018-FBLU, Class A, 2.977% (1-month USLIBOR +0.950%), 11/15/2035 | 6,999,998 |
14,980,663 | 1 | UBS-Barclays Commercial Mortgage Trust 2013-C6, Class A3FL, 2.828% (1-month USLIBOR +0.790%), 4/10/2046 | 15,001,195 |
5,000,000 | 1 | WF-RBS Commercial Mortgage Trust 2012-C7, Class AFL, 3.224% (1-month USLIBOR +1.200%), 6/15/2045 | 5,033,111 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $119,104,855) | 119,496,261 |
Principal Amount or Shares | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—4.4% | |||
Equipment Lease—0.2% | |||
$4,000,000 | CNH Equipment Trust 2019-A, Class A2, 2.960%, 5/16/2022 | $4,018,203 | |
1,500,000 | CNH Equipment Trust 2019-A, Class B, 3.340%, 7/15/2026 | 1,553,599 | |
TOTAL | 5,571,802 | ||
Federal Home Loan Mortgage Corporation—0.3% | |||
89,462 | 1 | Federal Home Loan Mortgage Corp. REMIC 3191 FE, 2.427% (1-month USLIBOR +0.400%), 7/15/2036 | 89,472 |
1,761,160 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 2819, Class F, 2.427% (1-month USLIBOR +0.400%), 6/15/2034 | 1,767,410 |
392,232 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3071, Class TF, 2.327% (1-month USLIBOR +0.300%), 4/15/2035 | 391,437 |
1,096,766 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3084, Class XF, 2.547% (1-month USLIBOR +0.520%), 12/15/2035 | 1,103,567 |
317,260 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3152, Class WF, 2.487% (1-month USLIBOR +0.460%), 2/15/2034 | 318,256 |
1,246,568 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3153, Class EF, 2.437% (1-month USLIBOR +0.410%), 5/15/2036 | 1,248,051 |
503,857 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3153, Class FJ, 2.575% (1-month USLIBOR +0.380%), 5/15/2036 | 503,819 |
278,171 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3156, Class HF, 2.512% (1-month USLIBOR +0.485%), 8/15/2035 | 279,265 |
435,242 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3211, Class FN, 2.327% (1-month USLIBOR +0.300%), 9/15/2036 | 433,777 |
446,375 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3317, Class F, 2.427% (1-month USLIBOR +0.400%), 7/15/2036 | 446,194 |
155,765 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3320, Class FM, 2.427% (1-month USLIBOR +0.400%), 7/15/2036 | 155,935 |
133,357 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3339, Class AF, 2.477% (1-month USLIBOR +0.450%), 7/15/2037 | 133,559 |
1,759,931 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3382, Class FG, 2.627% (1-month USLIBOR +0.600%), 11/15/2037 | 1,774,897 |
1,458,061 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3387, Class PF, 2.447% (1-month USLIBOR +0.420%), 11/15/2037 | 1,460,213 |
172,942 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3542, Class NF, 2.777% (1-month USLIBOR +0.750%), 7/15/2036 | 175,029 |
526,822 | 1 | Federal Home Loan Mortgage Corp. REMIC, Series 3556, Class FA, 2.937% (1-month USLIBOR +0.910%), 7/15/2037 | 534,121 |
TOTAL | 10,815,002 | ||
Federal National Mortgage Association—0.2% | |||
24,148 | 1 | Federal National Mortgage Association REMIC 2009-63 FB, 2.518% (1-month USLIBOR +0.500%), 8/25/2039 | 24,207 |
163,847 | 1 | Federal National Mortgage Association REMIC, Series 2002-77, Class FA, 3.040% (1-month USLIBOR +1.000%), 12/18/2032 | 166,877 |
Principal Amount or Shares | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—continued | |||
Federal National Mortgage Association—continued | |||
$507,784 | 1 | Federal National Mortgage Association REMIC, Series 2006-119, Class CF, 2.318% (1-month USLIBOR +0.300%), 12/25/2036 | $506,295 |
398,164 | 1 | Federal National Mortgage Association REMIC, Series 2006-44, Class FK, 2.448% (1-month USLIBOR +0.430%), 6/25/2036 | 398,880 |
1,745,021 | 1 | Federal National Mortgage Association REMIC, Series 2006-61, Class FQ, 2.418% (1-month USLIBOR +0.400%), 7/25/2036 | 1,745,619 |
414,419 | 1 | Federal National Mortgage Association REMIC, Series 2006-79, Class DF, 2.368% (1-month USLIBOR +0.350%), 8/25/2036 | 413,876 |
1,090,502 | 1 | Federal National Mortgage Association REMIC, Series 2006-81, Class FB, 2.368% (1-month USLIBOR +0.350%), 9/25/2036 | 1,089,636 |
954,993 | 1 | Federal National Mortgage Association REMIC, Series 2006-W1, Class 2AF1, 2.238% (1-month USLIBOR +0.220%), 2/25/2046 | 947,422 |
651,128 | 1 | Federal National Mortgage Association REMIC, Series 2007-88, Class FY, 2.478% (1-month USLIBOR +0.460%), 9/25/2037 | 651,887 |
328,192 | 1 | Federal National Mortgage Association REMIC, Series 2007-97, Class FE, 2.468% (1-month USLIBOR +0.450%), 7/25/2037 | 329,038 |
187,100 | 1 | Federal National Mortgage Association REMIC, Series 2008-69, Class FB, 3.018% (1-month USLIBOR +1.000%), 6/25/2037 | 191,810 |
42,741 | 1 | Federal National Mortgage Association REMIC, Series 2009-42, Class FG, 2.818% (1-month USLIBOR +0.800%), 5/25/2039 | 42,873 |
458,045 | 1 | Federal National Mortgage Association REMIC, Series 2009-69, Class F, 2.868% (1-month USLIBOR +0.850%), 4/25/2037 | 465,803 |
TOTAL | 6,974,223 | ||
Government Agency—0.0% | |||
812,082 | FDIC Trust 2013-R1, Class A, 1.150%, 3/25/2033 | 807,565 | |
382,266 | 1 | NCUA Guaranteed Notes 2011-R1, Class 1A, 2.507% (1-month USLIBOR +0.450%), 1/8/2020 | 382,483 |
TOTAL | 1,190,048 | ||
Government National Mortgage Association—0.6% | |||
8,858,412 | 1 | Government National Mortgage Association REMIC, Series 2012-H31, Class FA, 2.578% (1-month USLIBOR +0.350%), 11/20/2062 | 8,833,750 |
6,248,302 | 1 | Government National Mortgage Association REMIC, Series 2013-H16, Class FA, 2.768% (1-month USLIBOR +0.540%), 7/20/2063 | 6,256,289 |
7,422,480 | 1 | Government National Mortgage Association REMIC, Series 2013-H17, Class FA, 2.778% (1-month USLIBOR +0.550%), 7/20/2063 | 7,432,936 |
TOTAL | 22,522,975 | ||
Non-Agency Mortgage—3.1% | |||
208,296 | 1 | Countrywide Alternative Loan Trust 2005-51, Class 3AB3, 3.144% (1-month USLIBOR +1.100%), 11/20/2035 | 111,543 |
124,462 | 1 | Gosforth Funding PLC 2016-1A, Class A1A, 2.858% (3-month USLIBOR +0.700%), 2/15/2058 | 124,495 |
Principal Amount or Shares | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—continued | |||
Non-Agency Mortgage—continued | |||
$5,817,462 | 1 | Gosforth Funding PLC 2017-1A, Class A1A, 2.634% (3-month USLIBOR +0.470%), 12/19/2059 | $5,814,198 |
10,287,182 | 1 | Gosforth Funding PLC 2018-1A, Class A1, 2.582% (3-month USLIBOR +0.450%), 8/25/2060 | 10,272,287 |
11,745,000 | 1 | Holmes Master Issuer PLC 2018-1A, Class A2, 2.663% (3-month USLIBOR +0.360%), 10/15/2054 | 11,738,658 |
20,173,988 | 1 | Holmes Master Issuer PLC 2018-2A, Class A2, 2.723% (3-month USLIBOR +0.420%), 10/15/2054 | 20,162,166 |
161,532 | 1 | Impac CMB Trust 2004-7, Class 1A2, 2.938% (1-month USLIBOR +0.920%), 11/25/2034 | 159,051 |
264,535 | 1 | Impac CMB Trust 2004-9, Class 1A2, 2.898% (1-month USLIBOR +0.880%), 1/25/2035 | 254,211 |
10,240,000 | 1 | Lanark Master Issuer PLC 2018-1A, Class 1A, 2.569% (3-month USLIBOR +0.420%), 12/22/2069 | 10,240,061 |
7,600,000 | 1 | Lanark Master Issuer PLC 2018-2A, Class 1A, 2.569% (3-month USLIBOR +0.420%), 12/22/2069 | 7,595,212 |
415,870 | 1 | Mellon Residential Funding Corp. 2001-TBC1, Class A1, 2.727% (1-month USLIBOR +0.700%), 11/15/2031 | 409,781 |
7,000,000 | 1 | Permanent Master Issuer PLC 2018-1A, Class 1A1, 2.683% (3-month USLIBOR +0.380%), 7/15/2058 | 7,002,233 |
686,626 | Sequoia Mortgage Trust 2012-4, Class A3, 2.069%, 9/25/2042 | 674,289 | |
2,062,152 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | 2,021,754 | |
2,728,407 | Sequoia Mortgage Trust 2013-1, Class 1A1, 1.450%, 2/25/2043 | 2,678,165 | |
14,560,000 | 1 | Silverstone Master Issuer 2015-1A, Class 2A2, 2.827% (3-month USLIBOR +0.550%), 1/21/2070 | 14,568,678 |
18,500,000 | 1 | Silverstone Master Issuer 2018-1A, Class 1A, 2.667% (3-month USLIBOR +0.390%), 1/21/2070 | 18,452,917 |
483,304 | 1 | Washington Mutual 2006-AR1, Class 2A1B, 3.516% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +1.070%), 1/25/2046 | 472,701 |
737,330 | 1 | Washington Mutual 2006-AR15, Class 1A, 3.286% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +0.840%), 11/25/2046 | 653,490 |
415,154 | 1 | Washington Mutual 2006-AR17, Class 1A, 3.302% (Fed Reserve 12Mo Cumulative Avg 1 Yr CMT +0.820%), 12/25/2046 | 394,331 |
84,308 | Wells Fargo Mortgage Backed Securities Trust 2004-I, Class 1A1, 4.849%, 7/25/2034 | 83,488 | |
TOTAL | 113,883,709 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $161,149,582) | 160,957,759 |
Principal Amount or Shares | Value | ||
CERTIFICATE OF DEPOSIT—0.1% | |||
Financial Institution - Banking—0.1% | |||
$2,000,000 | China Construction Bank Corp., 2.240%, 2/21/2020 (IDENTIFIED COST $2,000,000) | $1,999,868 | |
4 | COMMERCIAL PAPER—0.6% | ||
Consumer Cyclical - Automotive—0.6% | |||
21,000,000 | Ford Motor Credit Co. LLC, 4.232%, 1/3/2020 (IDENTIFIED COST $20,777,377) | 20,848,546 | |
INVESTMENT COMPANIES—7.3% | |||
4,963,460 | Federated Bank Loan Core Fund | 48,641,912 | |
5,508,000 | Federated Government Obligations Fund, Premier Shares, 1.89%5 | 5,508,000 | |
131,857,644 | Federated Institutional Prime Value Obligations Fund, Institutional Shares, 2.06%5 | 131,884,015 | |
894,507 | Federated Mortgage Core Portfolio | 8,846,674 | |
845,200 | Federated Project and Trade Finance Core Fund | 7,606,804 | |
10,719,066 | High Yield Bond Portfolio | 67,315,731 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $272,769,913) | 269,803,136 | ||
TOTAL INVESTMENT IN SECURITIES—100.4% (IDENTIFIED COST $3,670,154,260)6 | 3,685,718,455 | ||
OTHER ASSETS AND LIABILITIES - NET—(0.4)%7 | (12,896,097) | ||
TOTAL NET ASSETS—100% | $3,672,822,358 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Depreciation |
8United States Treasury Note 2-Year Long Futures | 300 | $64,650,000 | December 2019 | $(199,920) |
8United States Treasury Note 5-Year Long Futures | 400 | $47,659,375 | December 2019 | $(304,061) |
8United States Treasury Note 10-Year Long Futures | 100 | $13,031,250 | December 2019 | $(130,703) |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(634,684) |
Balance of Shares Held 9/30/2018 | Purchases/ Additions | Sales/ Reductions | |
Federated Bank Loan Core Fund | 11,500,220 | 1,121,040 | (7,657,800) |
Federated Government Obligations Fund* | — | 10,027,640 | (4,519,640) |
Federated Institutional Prime Value Obligations Fund, Institutional Shares | 183,343,828 | 1,705,920,413 | (1,757,406,597) |
Federated Mortgage Core Portfolio | 864,667 | 29,840 | — |
Federated Project and Trade Finance Core Fund | 807,085 | 38,115 | — |
High Yield Bond Portfolio | 2,115,956 | 8,603,110 | — |
TOTAL OF AFFILIATED TRANSACTIONS | 198,631,756 | 1,725,740,158 | (1,769,584,037) |
Balance of Shares Held 9/30/2019 | Value | Change in Unrealized Appreciation/ (Depreciation) | Net Realized Gain/(Loss) | Dividend Income |
4,963,460 | $48,641,912 | $(1,160,250) | $(2,036,272) | $3,816,060 |
5,508,000 | $5,508,000 | N/A | N/A | $— |
131,857,644 | $131,884,015 | $(8,322) | $37,930 | $3,275,171 |
894,507 | $8,846,674 | $351,371 | $— | $289,597 |
845,200 | $7,606,804 | $(65,913) | $— | $344,406 |
10,719,066 | $67,315,731 | $356,715 | $— | $2,134,799 |
154,787,877 | $269,803,136 | $(526,399) | $(1,998,342) | $9,860,033 |
* | All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions. |
1 | Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above. |
2 | 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 the Fund's Board of Directors (the “Directors). |
3 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
4 | Each issue shows the rate of discount at the time of purchase for discount issues, or the coupon for interest bearing issues. |
5 | 7-day net yield. |
6 | The cost of investments for federal tax purposes amounts to $3,670,176,554. |
7 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
8 | Non-income-producing security. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Adjustable Rate Mortgages | $— | $1,773,501 | $— | $1,773,501 |
Asset-Backed Securities | — | 2,021,457,430 | 3,918 | 2,021,461,348 |
Corporate Bonds | — | 1,077,918,476 | — | 1,077,918,476 |
Municipal Bond | — | 11,020,790 | — | 11,020,790 |
Mortgage-Backed Security | — | 438,770 | — | 438,770 |
Commercial Mortgage-Backed Securities | — | 119,496,261 | — | 119,496,261 |
Collateralized Mortgage Obligations | — | 160,957,759 | — | 160,957,759 |
Certificate of Deposit | — | 1,999,868 | — | 1,999,868 |
Commercial Paper | — | 20,848,546 | — | 20,848,546 |
Investment Companies1 | 262,196,332 | — | — | 269,803,136 |
TOTAL SECURITIES | $262,196,332 | $3,415,911,401 | $3,918 | $3,685,718,455 |
Other Financial Instruments2 | ||||
Assets | $— | $— | $— | $— |
Liabilities | (634,684) | — | — | (634,684) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(634,684) | $— | $— | $(634,684) |
1 | As permitted by U.S. generally accepted accounting principles (GAAP), the Investment Company valued at $7,606,804 is measured at fair value using the net asset value (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. |
2 | Other financial instruments are futures contracts. |
ARM | —Adjustable Rate Mortgage |
BKNT | —Bank Notes |
CMT | —Constant Maturity Treasury |
FDIC | —Federal Deposit Insurance Corporation |
FNMA | —Federal National Mortgage Association |
FRN(s) | —Floating Rate Note(s) |
GMTN | —Global Medium Term Note |
GO | —General Obligation |
LIBOR | —London Interbank Offered Rate |
MTN | —Medium Term Note |
NIM | —Net Interest Margin |
REIT | —Real Estate Investment Trust |
REMIC | —Real Estate Mortgage Investment Conduit |
UT | —Unlimited Tax |
Year Ended September 30 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $9.10 | $9.12 | $9.12 | $9.09 | $9.17 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.19 | 0.15 | 0.09 | 0.06 | 0.05 |
Net realized and unrealized gain (loss) | 0.06 | (0.02) | 0.001 | 0.03 | (0.08) |
TOTAL FROM INVESTMENT OPERATIONS | 0.25 | 0.13 | 0.09 | 0.09 | (0.03) |
Less Distributions: | |||||
Distributions from net investment income | (0.19) | (0.15) | (0.09) | (0.06) | (0.05) |
Net Asset Value, End of Period | $9.16 | $9.10 | $9.12 | $9.12 | $9.09 |
Total Return2 | 2.79% | 1.39% | 1.04% | 1.03% | (0.32)% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.91% | 0.91% | 0.92% | 0.91% | 0.91% |
Net investment income | 2.10% | 1.60% | 1.02% | 0.68% | 0.50% |
Expense waiver/reimbursement3 | 0.09% | 0.12% | 0.13% | 0.18% | 0.19% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $318,992 | $281,543 | $269,004 | $270,412 | $312,778 |
Portfolio turnover | 36% | 32% | 33% | 30% | 21% |
1 | Represents less than $0.01. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Year Ended September 30 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $9.09 | $9.12 | $9.11 | $9.09 | $9.16 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.24 | 0.20 | 0.14 | 0.11 | 0.10 |
Net realized and unrealized gain (loss) | 0.06 | (0.03) | 0.01 | 0.02 | (0.07) |
TOTAL FROM INVESTMENT OPERATIONS | 0.30 | 0.17 | 0.15 | 0.13 | 0.03 |
Less Distributions: | |||||
Distributions from net investment income | (0.24) | (0.20) | (0.14) | (0.11) | (0.10) |
Net Asset Value, End of Period | $9.15 | $9.09 | $9.12 | $9.11 | $9.09 |
Total Return1 | 3.36% | 1.83% | 1.70% | 1.48% | 0.33% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.36% | 0.37% | 0.37% | 0.36% | 0.36% |
Net investment income | 2.65% | 2.17% | 1.58% | 1.23% | 1.05% |
Expense waiver/reimbursement2 | 0.08% | 0.12% | 0.13% | 0.18% | 0.19% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $3,248,715 | $3,237,960 | $2,629,099 | $2,283,604 | $2,354,930 |
Portfolio turnover | 36% | 32% | 33% | 30% | 21% |
1 | Based on net asset value. |
2 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Year Ended September 30 | 2019 | 2018 | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $9.10 | $9.12 | $9.11 | $9.09 | $9.17 |
Income From Investment Operations: | |||||
Net investment income (loss) | 0.21 | 0.16 | 0.10 | 0.05 | 0.05 |
Net realized and unrealized gain (loss) | 0.04 | (0.03) | 0.01 | 0.04 | (0.07) |
TOTAL FROM INVESTMENT OPERATIONS | 0.25 | 0.13 | 0.11 | 0.09 | (0.02) |
Less Distributions: | |||||
Distributions from net investment income | (0.20) | (0.15) | (0.10) | (0.07) | (0.06) |
Net Asset Value, End of Period | $9.15 | $9.10 | $9.12 | $9.11 | $9.09 |
Total Return1 | 2.78% | 1.49% | 1.25% | 1.02% | (0.23)% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.81% | 0.82% | 0.82% | 0.81% | 0.81% |
Net investment income | 2.20% | 1.72% | 1.09% | 0.76% | 0.60% |
Expense waiver/reimbursement2 | 0.13% | 0.15% | 0.16% | 0.22% | 0.23% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $74,205 | $53,156 | $33,431 | $58,362 | $146,733 |
Portfolio turnover | 36% | 32% | 33% | 30% | 21% |
1 | Based on net asset value. |
2 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Period Ended September 30 | 20191 |
Net Asset Value, Beginning of Period | $9.12 |
Income From Investment Operations: | |
Net investment income (loss) | 0.08 |
Net realized and unrealized gain (loss) | 0.03 |
TOTAL FROM INVESTMENT OPERATIONS | 0.11 |
Less Distributions: | |
Distributions from net investment income | (0.08) |
Net Asset Value, End of Period | $9.15 |
Total Return2 | 1.23% |
Ratios to Average Net Assets: | |
Net expenses | 0.35%3 |
Net investment income | 2.65%3 |
Expense waiver/reimbursement4 | 0.06%3 |
Supplemental Data: | |
Net assets, end of period (000 omitted) | $30,911 |
Portfolio turnover | 36%5 |
1 | Reflects operations for the period from May 29, 2019 (date of initial investment) to September 30, 2019. |
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 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
5 | Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended September 30, 2019. |
Assets: | ||
Investment in securities, at value including $5,394,090 of securities loaned and including $269,803,136 of investment in affiliated holdings (identified cost $3,670,154,260) | $3,685,718,455 | |
Cash | 85,670 | |
Restricted cash (Note 2) | 642,000 | |
Income receivable | 7,945,572 | |
Income receivable from affiliated holdings | 807,245 | |
Receivable for shares sold | 6,834,280 | |
TOTAL ASSETS | 3,702,033,222 | |
Liabilities: | ||
Payable for investments purchased | $615,024 | |
Payable for shares redeemed | 20,470,354 | |
Payable for daily variation margin on futures contracts | 26,891 | |
Payable for collateral due to broker for securities lending | 5,508,000 | |
Income distribution payable | 2,037,535 | |
Payable for investment adviser fee (Note 5) | 24,544 | |
Payable for administrative fees (Note 5) | 7,967 | |
Payable for distribution services fee (Note 5) | 86,765 | |
Payable for other service fees (Notes 2 and 5) | 74,154 | |
Accrued expenses (Note 5) | 359,630 | |
TOTAL LIABILITIES | 29,210,864 | |
Net assets for 401,202,932 shares outstanding | $3,672,822,358 | |
Net Assets Consist of: | ||
Paid-in capital | $3,672,800,960 | |
Total distributable earnings (loss) | 21,398 | |
TOTAL NET ASSETS | $3,672,822,358 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Class A Shares: | ||
Net asset value per share ($318,991,906 ÷ 34,833,197 shares outstanding), $0.001 par value, 2,000,000,000 shares authorized | $9.16 | |
Offering price per share (100/98.00 of $9.16) | $9.35 | |
Redemption proceeds per share | $9.16 | |
Institutional Shares: | ||
Net asset value per share ($3,248,715,148 ÷ 354,885,037 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $9.15 | |
Offering price per share | $9.15 | |
Redemption proceeds per share | $9.15 | |
Service Shares: | ||
Net asset value per share ($74,204,540 ÷ 8,106,651 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $9.15 | |
Offering price per share | $9.15 | |
Redemption proceeds per share | $9.15 | |
Class R6 Shares: | ||
Net asset value per share ($30,910,764 ÷ 3,378,047 shares outstanding), $0.001 par value, 500,000,000 shares authorized | $9.15 | |
Offering price per share | $9.15 | |
Redemption proceeds per share | $9.15 |
Investment Income: | |||
Interest | $100,869,497 | ||
Dividends (including $9,860,033 received from affiliated holdings* and net of foreign taxes withheld of $2,160) | 9,857,873 | ||
TOTAL INCOME | 110,727,370 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $11,011,141 | ||
Administrative fee (Note 5) | 2,931,326 | ||
Custodian fees | 129,691 | ||
Transfer agent fee (Note 2) | 1,774,999 | ||
Directors'/Trustees' fees (Note 5) | 28,348 | ||
Auditing fees | 39,880 | ||
Legal fees | 11,588 | ||
Portfolio accounting fees | 225,409 | ||
Distribution services fee (Note 5) | 970,211 | ||
Other service fees (Notes 2 and 5) | 825,581 | ||
Share registration costs | 187,742 | ||
Printing and postage | 63,988 | ||
Miscellaneous (Note 5) | 40,312 | ||
TOTAL EXPENSES | 18,240,216 | ||
Waivers and Reimbursements: | |||
Waiver/reimbursement of investment adviser fee (Note 5) | $(2,669,517) | ||
Waiver/reimbursement of other operating expenses (Notes 2 and 5) | (402,886) | ||
TOTAL WAIVERS AND REIMBURSEMENTS | (3,072,403) | ||
Net expenses | 15,167,813 | ||
Net investment income | 95,559,557 |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |||
Net realized loss on investments (including net realized loss of $(1,998,342) on sales of investments in affiliated holdings*) | $(1,503,719) | ||
Net realized gain on futures contracts | 4,767,223 | ||
Net change in unrealized depreciation of investments (including net change in unrealized depreciation of $(526,399) on investments in affiliated holdings*) | 22,796,366 | ||
Net change in unrealized appreciation of futures contracts | (1,257,358) | ||
Net realized and unrealized gain on investments and futures contracts | 24,802,512 | ||
Change in net assets resulting from operations | $120,362,069 |
* | See information listed after the Fund's Portfolio of Investments. |
Year Ended September 30 | 2019 | 2018 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $95,559,557 | $67,719,280 |
Net realized gain | 3,263,504 | 1,554,185 |
Net change in unrealized appreciation/depreciation | 21,539,008 | (10,820,574) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 120,362,069 | 58,452,891 |
Distributions to Shareholders (Note 2): | ||
Class A Shares | (6,009,912) | (4,431,152) |
Institutional Shares | (88,194,148) | (62,381,601) |
Service Shares | (952,712) | (701,484) |
Class R6 Shares1 | (200,968) | — |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (95,357,740) | (67,514,237) |
Share Transactions: | ||
Proceeds from sale of shares | 2,899,039,514 | 2,933,106,093 |
Net asset value of shares issued to shareholders in payment of distributions declared | 67,767,188 | 49,974,296 |
Cost of shares redeemed | (2,891,647,776) | (2,332,893,926) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 75,158,926 | 650,186,463 |
Change in net assets | 100,163,255 | 641,125,117 |
Net Assets: | ||
Beginning of period | 3,572,659,103 | 2,931,533,986 |
End of period | $3,672,822,358 | $3,572,659,103 |
1 | The Fund's R6 Class commenced operations on May 29, 2019. |
■ | 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. |
■ | 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. |
■ | 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. |
■ | 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. |
■ | 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. |
Transfer Agent Fees Incurred | Transfer Agent Fees Reimbursed | |
Class A Shares | $150,372 | $(42,378) |
Institutional Shares | 1,601,452 | (334,175) |
Service Shares | 22,371 | (5,637) |
Class R6 Shares | 804 | — |
TOTAL | $1,774,999 | $(382,190) |
Other Service Fees Incurred | |
Class A Shares | $717,909 |
Service Shares | 107,672 |
TOTAL | $825,581 |
Market Value of Securities Loaned | Collateral Received |
$5,394,090 | $5,508,000 |
Fair Value of Derivative Instruments | ||
Liabilities | ||
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 | $634,684* |
* | Includes cumulative net depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day's variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $4,767,223 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(1,257,358) |
Year Ended September 30 | 2019 | 2018 | ||
Class A Shares: | Shares | Amount | Shares | Amount |
Shares sold | 25,702,990 | $234,135,027 | 26,617,804 | $242,279,461 |
Shares issued to shareholders in payment of distributions declared | 637,625 | 5,809,905 | 474,551 | 4,318,195 |
Shares redeemed | (22,457,502) | (204,406,344) | (25,627,099) | (233,203,863) |
NET CHANGE RESULTING FROM CLASS A SHARE TRANSACTIONS | 3,883,113 | $35,538,588 | 1,465,256 | $13,393,793 |
Year Ended September 30 | 2019 | 2018 | ||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 269,029,670 | $2,446,829,982 | 285,503,143 | $2,597,491,687 |
Shares issued to shareholders in payment of distributions declared | 6,701,168 | 61,027,305 | 4,948,573 | 45,019,666 |
Shares redeemed | (276,948,831) | (2,519,871,294) | (222,639,230) | (2,025,553,083) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | (1,217,993) | $(12,014,007) | 67,812,486 | $616,958,270 |
Year Ended September 30 | 2019 | 2018 | ||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 18,847,096 | $171,807,649 | 10,256,423 | $93,334,945 |
Shares issued to shareholders in payment of distributions declared | 100,895 | 919,080 | 69,932 | 636,435 |
Shares redeemed | (16,682,435) | (151,963,746) | (8,149,704) | (74,136,980) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 2,265,556 | $20,762,983 | 2,176,651 | $19,834,400 |
Year Ended September 30 | 20191 | 2018 | ||
Class R6 Shares: | Shares | Amount | Shares | Amount |
Shares sold | 5,062,175 | $46,266,856 | — | $— |
Shares issued to shareholders in payment of distributions declared | 1,191 | 10,898 | — | — |
Shares redeemed | (1,685,318) | (15,406,392) | — | — |
NET CHANGE RESULTING FROM CLASS R6 SHARES TRANSACTIONS | 3,378,048 | $30,871,362 | — | $— |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 8,308,724 | $75,158,926 | 71,454,393 | $650,186,463 |
1 | Reflects operations for the period from May 29, 2019 (date of initial investment) to September 30, 2019 |
2019 | 2018 | |
Ordinary income | $95,357,740 | $67,514,237 |
Undistributed ordinary income | $579,338 |
Net unrealized appreciation | $15,541,901 |
Capital loss carryforwards | $(16,099,841) |
Short-Term | Long-Term | Total |
$5,790,620 | $10,309,221 | $16,099,841 |
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 |
Percentage of Average Daily Net Assets of Class | |
Class A Shares | 0.30% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | Distribution Services Fees Waived | |
Class A Shares | $861,490 | $— |
Service Shares | 108,721 | (20,696) |
TOTAL | $970,211 | $(20,696) |
Purchases | $1,379,810,944 |
Sales | $1,259,490,846 |
November 21, 2019
Beginning Account Value 4/1/2019 | Ending Account Value 9/30/2019 | Expenses Paid During Period1 | |
Actual: | |||
Class A Shares | $1,000 | $1,017.20 | $4.602 |
Institutional Shares | $1,000 | $1,018.90 | $1.82 |
Service Shares | $1,000 | $1,015.50 | $4.093 |
Class R6 Shares | $1,000 | $1,012.30 | $1.214 |
Hypothetical (assuming a 5% return before expenses): | |||
Class A Shares | $1,000 | $1,020.50 | $4.612 |
Institutional Shares | $1,000 | $1,023.30 | $1.83 |
Service Shares | $1,000 | $1,021.00 | $4.103 |
Class R6 Shares | $1,000 | $1,023.30 | $1.784 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Class A Shares | 0.91% |
Institutional Shares | 0.36% |
Service Shares | 0.81% |
Class R6 Shares | 0.35% |
2 | Actual and Hypothetical expenses paid during the period utilizing the Fund's Class A Shares current Fee Limit of 0.51% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 183/365 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $2.58 and $2.59, respectively. |
3 | Actual and Hypothetical expenses paid during the period utilizing the Fund's Service Shares current Fee Limit of 0.46% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 183/365 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $2.32 and $2.33, respectively. |
4 | “Actual” expense information for the Fund's Class R6 Shares is for the period from May 29, 2019 (date of initial investment) to September 30, 2019. Actual expenses are equal to the Fund's annualized net expense ratio of 0.35%, multiplied by 125/365 (to reflect the period from initial investment to September 30, 2019). “Hypothetical” expense information for Class R6 Shares is presented on the basis of the full one-half year period to enable comparison to other funds. It is based on assuming the same net expense ratio and average account value over the period, but it is multiplied by 183/365 (to reflect the full half-year period). |
Name Birth Date Positions Held with Corporation 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 Director Indefinite Term Began serving: March 1995 | 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. |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
John B. Fisher* Birth Date: May 16, 1956 Director 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 Corporation 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 Director 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, Chairman of the Compensation Committee, KLX Energy Services Holdings, Inc. (oilfield services); former Director of KLX Corp. (aerospace). 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 of The Collins Group, Inc. (a private equity firm) and as a Director of KLX Corp. 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). |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
G. Thomas Hough Birth Date: February 28, 1955 Director 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, Member of Governance and Compensation Committees, Publix Super Markets, Inc.; Director, Chair of the Audit Committee, Equifax, Inc.; Director, Member of the Audit Committee, Haverty Furniture Companies, 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 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. Mr. Hough previously served as an Executive Committee member of the United States Golf Association. |
Maureen Lally-Green Birth Date: July 5, 1949 Director Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Fund Family; Adjunct Professor of Law, Duquesne University School of Law; formerly, Dean of the Duquesne University School of Law and Professor of Law and Interim Dean of the Duquesne University School of Law; formerly, 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 held the position of Dean of the School of Law of Duquesne University (as well as Interim Dean). Judge Lally-Green previously served as 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 not for profit or for profit boards of directors as follows: Director and Chair, UPMC Mercy Hospital; Director and Vice Chair, Our Campaign for the Church Alive!, Inc.; Regent, Saint Vincent Seminary; Member, Pennsylvania State Board of Education (public); and Director CNX Resources Corporation (formerly known as CONSOL Energy Inc.). 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; Director, St. Vincent College; and Director and Chair, North Catholic High School, Inc. |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Director Indefinite Term Began serving: March 1999 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant and Author. 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 and Author. |
Thomas M. O'Neill Birth Date: June 14, 1951 Director Indefinite Term Began serving: October 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 Director Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant; Retired; 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). |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John S. Walsh Birth Date: November 28, 1957 Director Indefinite Term Began serving: March 1999 | 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 Positions Held with Corporation 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. |
Name Birth Date Positions Held with Corporation Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER, SECRETARY and EXECUTIVE VICE PRESIDENT Officer since: January 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. |
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: May 2004 | 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. |
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31428Q747
CUSIP 31428Q754
CUSIP 31428Q713
2019 ©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 2019 - $101,560
Fiscal year ended 2018 - $103,030
(b) Audit-Related Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2019 - $4,690
Fiscal year ended 2018 - $0
Fiscal year ended 2019- Audit consent for N-1A filing.
Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $673 and $0 respectively. Fiscal year ended 2019- Audit consent for N-14 merger document.
(c) Tax Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2019 - $0
Fiscal year ended 2018 - $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 2019 - $0
Fiscal year ended 2018 - $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.
(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 2019 – 0%
Fiscal year ended 2018 - 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, % and 0% respectively.
4(c)
Fiscal year ended 2019 – 0%
Fiscal year ended 2018 – 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, % and 0% respectively.
4(d)
Fiscal year ended 2019 – 0%
Fiscal year ended 2018 – 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, % 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 2019- $605,437
Fiscal year ended 2018- $1,158,151
(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. |
The registrant’s management and Audit Committee continue to believe that the registrant’s registered public accounting firms, Ernst & Young LLP (“EY”) and KPMG LLP (“KPMG”) (as applicable, “EY/KPMG”), have the ability to exercise objective and impartial judgment on all issues encompassed within their audit services. EY/KPMG is required to make a determination that it satisfies certain independence requirements under the federal securities laws. Like other registrants, there is a risk that activities or relationships of EY/KPMG, or its partners or employees, can prevent a determination from being made that it satisfies such independence requirements with respect to the registrant, which could render it ineligible to serve as the registrant’s independent public accountant.
In their respective required communications to the Audit Committee of the registrant’s Board, EY/KPMG 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 extended the expiration of the Letter until the effectiveness of any amendments to the Loan Rule designed to address the concerns in the Letter. On June 18, 2019, the SEC adopted amendments to the Loan Rule, which, refocus the analysis that must be conducted to determine whether an auditor is independent when the auditor has a lending relationship with certain shareholders of an audit client at any time during an audit or professional engagement period.
Additionally, on July 18, 2018, EY informed the registrant that Rule 2-01(c)(1)(i)(A) of Regulation S-X (“Investment Rule”) also has been implicated since July 2, 2018. The Investment Rule prohibits public accounting firms, or covered person professionals and their immediate family members, from having certain direct financial investments in their audit clients and affiliated entities. EY informed the registrant that a pension trust of a non-US affiliated entity of EY had previously made, and as of July 18, 2018 maintained, an investment in a fund (“Hermes Fund”) managed by Hermes Alternative Investment Management Limited (“HAIML”), which is a wholly owned subsidiary of Hermes Fund Managers Limited (“HFML”). The pension trust’s investment in the Hermes Fund involves the Investment Rule because an indirect wholly owned subsidiary of Federated Investors, Inc. (an affiliate of the registrant’s adviser), acquired a 60% majority interest in HFML on July 2, 2018, effective July 1, 2018 (“Hermes Acquisition”). The pension trust first invested in the Hermes Fund in 2007, well prior to the Hermes Acquisition. The pension trust’s investment represented less than 3.3% of the Hermes Fund’s assets as of July 18, 2018. EY subsequently informed the registrant that EY’s affiliated entity’s pension trust had submitted an irrevocable redemption notice to redeem its investment in the Hermes Fund. Pursuant to the redemption terms of the Hermes Fund, the pension trust’s redemption would not be effected until December 26, 2018 at the earliest. The redemption notice could not be revoked by the pension trust. The redemption notice would only be revoked by HAIML, as the adviser for Hermes Fund, if, and to the extent, the pension trust successfully sold its interest in the Hermes Fund in a secondary market transaction. EY also informed the registrant that the pension trust simultaneously submitted a request to HAIML to conduct a secondary market auction for the pension trust’s interests in the Hermes Fund. In addition, the only voting rights shareholders of the Hermes Fund had under the Hermes Fund’s governing documents relate to key appointments, including the election of the non-executive members of the Hermes Fund’s committee, the appointment of the Hermes Fund’s trustee and the adoption of the Hermes Fund’s financial statements. The next meeting of the Hermes Fund at which shareholders can vote on the election of members to the Hermes Fund’s committee is not until June 2019, and the size of the pension trust’s investment in the Hermes Fund would not allow it to unilaterally elect a committee member or the trustee. EY does not audit the Hermes Fund and the Hermes Fund’s assets and operations are not consolidated in the registrant’s financial statements that are subject to audit by EY. Finally, no member of EY’s audit team that provides audit services to the registrant is a beneficiary of EY’s affiliated entity’s pension trust. Management reviewed this matter with the registrant’s Audit Committee, and, based on that review, as well as a letter from EY to the registrant dated July 26, 2018, in which EY indicated that it had determined that this matter does not impair EY’s ability to exercise objective and impartial judgment in connection with the audit of the financial statements for the registrant and the belief that a reasonable investor with knowledge of all relevant facts and circumstances would conclude that EY has been and is capable of exercising objective and impartial judgment on all issues encompassed within EY’s audit, the registrant’s management and Audit Committee made a determination that such matter does not impair EY’s ability to exercise objective and impartial judgment in connection with the audit of the financial statements for the registrant. On August 29, 2018, EY informed the registrant that EY’s affiliated entity’s pension trust sold its entire interest in the Hermes Fund, effective as of August 28, 2018.
If it were to be determined that, with respect to the Loan Rule, the relief available under the Letter was improperly relied upon, or that the independence requirements under the federal securities laws were not complied with regarding the registrant, for certain periods, and/or given the implication of the Investment Rule for certain periods, any of the registrant’s filings with the SEC which contain financial statements of the registrant for such periods may be determined not to be consistent with or comply with applicable federal securities laws, the registrant’s ability to offer shares under its current registration statement may be impacted, andcertain 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 eventscould 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 registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual 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.
RegistrantFederated Total Return Series, Inc.
By/S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
DateNovember 21, 2019
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
DateNovember 21, 2019
By/S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
DateNovember 21, 2019