Federated Total Return Government Bond Fund
Portfolio of Investments
November 30, 2019 (unaudited)
| Principal Amount or Shares | Value | ||
| U.S. TREASURIES—60.8% | |||
| U.S. Treasury Bonds—17.3% | |||
| $1,250,000 | 2.250%, 8/15/2046 | $1,259,262 | |
| 7,250,000 | 2.500%, 2/15/2045 | 7,660,742 | |
| 1,500,000 | 2.500%, 2/15/2046 | 1,586,339 | |
| 850,000 | 2.750%, 8/15/2042 | 936,031 | |
| 2,000,000 | 2.750%, 8/15/2047 | 2,224,963 | |
| 2,500,000 | 2.750%, 11/15/2047 | 2,782,762 | |
| 5,475,000 | 2.875%, 5/15/2049 | 6,269,725 | |
| 1,000,000 | 3.000%, 2/15/2049 | 1,171,169 | |
| 1,000,000 | 3.125%, 2/15/2043 | 1,170,282 | |
| 12,750,000 | 3.625%, 8/15/2043 | 16,132,892 | |
| 1,800,000 | 3.750%, 11/15/2043 | 2,323,324 | |
| 900,000 | 5.375%, 2/15/2031 | 1,225,453 | |
| TOTAL | 44,742,944 | ||
| U.S. Treasury Notes—43.5% | |||
| 4,500,000 | 1.125%, 2/28/2021 | 4,468,382 | |
| 4,500,000 | 1.125%, 9/30/2021 | 4,457,275 | |
| 6,000,000 | 1.500%, 2/28/2023 | 5,980,306 | |
| 5,500,000 | 1.500%, 3/31/2023 | 5,481,498 | |
| 5,000,000 | 1.875%, 1/31/2022 | 5,026,210 | |
| 4,500,000 | 2.000%, 12/31/2021 | 4,533,588 | |
| 12,000,000 | 2.000%, 6/30/2024 | 12,191,869 | |
| 6,500,000 | 2.125%, 8/15/2021 | 6,549,925 | |
| 12,000,000 | 2.125%, 12/31/2022 | 12,188,503 | |
| 1,250,000 | 2.250%, 8/15/2027 | 1,296,106 | |
| 6,000,000 | 2.375%, 1/31/2023 | 6,140,624 | |
| 4,000,000 | 2.500%, 3/31/2023 | 4,115,479 | |
| 8,000,000 | 2.500%, 5/15/2024 | 8,296,547 | |
| 4,000,000 | 2.625%, 2/15/2029 | 4,287,560 | |
| 6,000,000 | 2.750%, 4/30/2023 | 6,224,924 | |
| 500,000 | 2.750%, 7/31/2023 | 519,986 | |
| 3,000,000 | 2.875%, 10/15/2021 | 3,067,202 | |
| 7,000,000 | 2.875%, 9/30/2023 | 7,324,339 | |
| 8,000,000 | 2.875%, 10/31/2023 | 8,377,196 | |
| 2,000,000 | 2.875%, 5/31/2025 | 2,126,082 | |
| TOTAL | 112,653,601 | ||
| TOTAL U.S. TREASURIES (IDENTIFIED COST $146,324,692) | 157,396,545 | ||
| ADJUSTABLE RATE MORTGAGE—0.0% | |||
| Federal Home Loan Mortgage Corporation ARM—0.0% | |||
| 16,379 | 1 | 4.340%, 7/1/2035 (IDENTIFIED COST $16,221) | 17,184 |
| GOVERNMENT AGENCIES—8.2% | |||
| Federal Farm Credit System—0.5% | |||
| 1,000,000 | 5.375%, 11/10/2020 | 1,034,002 | |
| 249,000 | 5.800%, 11/10/2021 | 268,300 | |
| TOTAL | 1,302,302 |
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| Principal Amount or Shares | Value | ||
| GOVERNMENT AGENCIES—continued | |||
| Federal Home Loan Bank System—5.2% | |||
| $12,250,000 | 2.625%, 5/28/2020 | $12,310,702 | |
| 1,000,000 | 4.125%, 3/13/2020 | 1,007,089 | |
| TOTAL | 13,317,791 | ||
| Federal Home Loan Mortgage Corporation—0.0% | |||
| 70,000 | 6.750%, 9/15/2029 | 99,608 | |
| Federal National Mortgage Association—2.5% | |||
| 6,500,000 | 1.875%, 9/24/2026 | 6,511,949 | |
| TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST $20,586,262) | 21,231,650 | ||
| MORTGAGE-BACKED SECURITIES—22.9% | |||
| Federal Home Loan Mortgage Corporation—10.3% | |||
| 2,500,000 | 3.000%, 12/1/2049 | 2,537,539 | |
| 3,953,437 | 3.500%, 1/1/2047 | 4,087,845 | |
| 4,934,677 | 3.500%, 12/1/2047 | 5,107,070 | |
| 4,576,239 | 4.000%, 3/1/2046 | 4,821,314 | |
| 1,085,951 | 4.000%, 11/1/2047 | 1,135,625 | |
| 2,078,281 | 4.000%, 4/1/2048 | 2,172,046 | |
| 6,355,507 | 4.000%, 7/1/2048 | 6,628,342 | |
| 15,445 | 5.500%, 11/1/2020 | 15,630 | |
| TOTAL | 26,505,411 | ||
| Federal National Mortgage Association—9.0% | |||
| 5,729,627 | 3.000%, 7/1/2046 | 5,890,863 | |
| 2,264,384 | 3.500%, 10/1/2047 | 2,385,947 | |
| 4,337,376 | 3.500%, 3/1/2048 | 4,567,517 | |
| 5,334,888 | 3.500%, 4/1/2048 | 5,504,592 | |
| 1,146,506 | 4.000%, 2/1/2048 | 1,198,949 | |
| 2,042,103 | 4.000%, 2/1/2048 | 2,136,788 | |
| 1,278,743 | 4.000%, 2/1/2048 | 1,341,231 | |
| 6,767 | 5.000%, 6/1/2020 | 6,798 | |
| 52,142 | 5.000%, 1/1/2035 | 57,307 | |
| 20,534 | 5.500%, 2/1/2023 | 21,029 | |
| 52,441 | 5.500%, 6/1/2025 | 56,556 | |
| 53,574 | 6.000%, 2/1/2026 | 59,158 | |
| 48,279 | 6.000%, 4/1/2026 | 53,311 | |
| 40,284 | 6.000%, 7/1/2034 | 45,977 | |
| TOTAL | 23,326,023 | ||
| Government National Mortgage Association—0.1% | |||
| 19,693 | 5.000%, 3/15/2023 | 20,470 | |
| 86,676 | 5.500%, 2/15/2023 | 90,128 | |
| 30,852 | 6.000%, 1/20/2029 | 33,937 | |
| 20,965 | 6.000%, 3/15/2032 | 23,374 | |
| 25,155 | 6.500%, 10/15/2031 | 28,325 | |
| 300 | 7.500%, 10/15/2026 | 336 | |
| 11,758 | 7.500%, 10/15/2027 | 13,284 | |
| TOTAL | 209,854 | ||
| Government Agency—0.6% | |||
| 1,621,520 | FDIC Trust 2013-R1, Class A, 1.150%, 3/25/2033 | 1,614,144 | |
| 46,307 | FDIC Trust 2013-R2, Class A, 1.250%, 3/25/2033 | 46,059 | |
| TOTAL | 1,660,203 |
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| Principal Amount or Shares | Value | ||
| MORTGAGE-BACKED SECURITIES—continued | |||
| Uniform Mortgage-Backed Securities TBA—2.9% | |||
| $7,500,000 | 2 | 2.500%, 12/1/2049 | $7,425,586 |
| TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $56,998,912) | 59,127,077 | ||
| COMMERCIAL MORTGAGE-BACKED SECURITIES—2.3% | |||
| Agency Commercial Mortgage-Backed Securities—2.3% | |||
| 5,000,000 | FHLMC REMIC, Series KC03, Class A2, 3.499%, 1/25/2026 | 5,297,941 | |
| 559,499 | FNMA REMIC, Series 2012-M13, Class A2, 2.377%, 5/25/2022 | 563,520 | |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $5,591,146) | 5,861,461 | ||
| COLLATERALIZED MORTGAGE OBLIGATIONS—3.0% | |||
| Federal Home Loan Mortgage Corporation—0.6% | |||
| 43,439 | 1 | REMIC, Series 2411, Class FJ, 2.115% (1-month USLIBOR +0.350%), 12/15/2029 | 43,400 |
| 150,233 | 1 | REMIC, Series 2458, Class FB, 2.765% (1-month USLIBOR +1.000%), 1/15/2032 | 152,661 |
| 22,997 | 1 | REMIC, Series 2534, Class FI, 2.665% (1-month USLIBOR +0.900%), 2/15/2032 | 23,323 |
| 687,167 | REMIC, Series 2601, Class DA, 4.000%, 4/15/2023 | 696,277 | |
| 511,615 | 1 | REMIC, Series 3322, Class FB, 2.155% (1-month USLIBOR +0.390%), 5/15/2037 | 510,740 |
| TOTAL | 1,426,401 | ||
| Federal National Mortgage Association—0.5% | |||
| 270,142 | 1 | REMIC, Series 1999-51, Class F, 2.262% (1-month USLIBOR +0.500%), 9/17/2029 | 270,629 |
| 183,331 | 1 | REMIC, Series 2006-58, Class FP, 2.008% (1-month USLIBOR +0.300%), 7/25/2036 | 182,544 |
| 319,635 | 1 | REMIC, Series 2006-85, Class PF, 2.088% (1-month USLIBOR +0.380%), 9/25/2036 | 319,146 |
| 315,320 | 1 | REMIC, Series 2007-46, Class FA, 2.078% (1-month USLIBOR +0.370%), 5/25/2037 | 314,639 |
| 181,003 | REMIC, Series 2009-14, Class PB, 3.500%, 3/25/2024 | 181,450 | |
| 119,336 | 1 | REMIC, Series 370, Class F21, 2.008% (1-month USLIBOR +0.300%), 6/25/2036 | 118,809 |
| TOTAL | 1,387,217 | ||
| Government National Mortgage Association—1.9% | |||
| 2,390,509 | REMIC, Series 2015-47, Class AE, 2.900%, 11/16/2055 | 2,428,740 | |
| 2,513,697 | REMIC, Series 2016-11, Class A, 2.500%, 8/16/2054 | 2,491,860 | |
| TOTAL | 4,920,600 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $7,741,948) | 7,734,218 | ||
| INVESTMENT COMPANY—5.4% | |||
| 14,075,014 | Federated Institutional Prime Value Obligations Fund, Institutional Shares, 1.77%3 (IDENTIFIED COST $14,075,014) | 14,075,014 | |
| TOTAL INVESTMENT IN SECURITIES—102.6% (IDENTIFIED COST $251,334,195) | 265,443,149 | ||
| OTHER ASSETS AND LIABILITIES - NET—(2.6)%4 | (6,682,700) | ||
| TOTAL NET ASSETS—100% | $258,760,449 |
At November 30, 2019, the Fund had the following outstanding futures contracts:
| Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Depreciation |
| 5United States Treasury Note 2-Year Long Futures | 23 | $4,958,477 | March 2020 | $(2,749) |
| 5United States Treasury Note 10-Year Long Futures | 120 | $15,523,125 | March 2020 | $(34,700) |
| 5United States Treasury Note 10-Year Ultra Long Futures | 7 | $995,531 | March 2020 | $(4,228) |
| UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(41,677) | |||
The average notional value of long futures contracts held by the Fund throughout the period was $10,825,636. This is based on the contracts held as of each month-end throughout the nine-month fiscal period.
Net Unrealized Depreciation on Futures Contracts is included in “Other Assets and Liabilities—Net.”
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Affiliated fund holdings are investment companies which are managed by the Adviser or an affiliate of the Adviser. Transactions with affiliated fund holdings during the period ended November 30, 2019, were as follows:
| Federated Government Obligations Fund, Premier Shares | |
| Balance of Shares Held 2/28/2019 | 3,701,557 |
| Purchases/Additions | 71,239,308 |
| Sales/Reductions | (60,865,851) |
| Balance of Shares Held 11/30/2019 | 14,075,014 |
| Value | $14,075,014 |
| Change in Unrealized Appreciation/Depreciation | N/A |
| Net Realized Gain/(Loss) | N/A |
| Dividend Income | $70,917 |
| 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 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
| 3 | 7-day net yield. |
| 4 | Assets, other than investments in securities, less liabilities. |
| 5 | Non-income-producing security. |
Note: The categories of investments are shown as a percentage of total net assets at November 30, 2019.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
| ■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
| ■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
| ■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
| ■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
| ■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Fund's valuation policies and procedures, or if information furnished by a pricing service, in the opinion of the valuation committee (“Valuation Committee”), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share.
Fair Valuation Procedures
The Trustees have ultimate responsibility for determining the fair value of investments for which market quotations are not readily available. The Trustees have appointed a Valuation Committee comprised of officers of the Fund, Federated Investment Management Company (the “Adviser”), and certain of the Adviser's affiliated companies to assist in determining fair value and in overseeing the calculation of the NAV. The Trustees have also authorized the use of pricing services recommended by the Valuation Committee to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services' policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Trustees. The Trustees periodically review and approve the fair valuations made by the Valuation Committee and any changes made to the procedures.
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Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Trustees.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of November 30, 2019, in valuing the Fund's assets carried at fair value:
| Valuation Inputs | ||||
| Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
| Debt Securities: | ||||
| U.S. Treasuries | $— | $157,396,545 | $— | $157,396,545 |
| Adjustable Rate Mortgage | — | 17,184 | — | 17,184 |
| Government Agencies | — | 21,231,650 | — | 21,231,650 |
| Mortgage-Backed Securities | — | 59,127,077 | — | 59,127,077 |
| Commercial Mortgage-Backed Securities | — | 5,861,461 | — | 5,861,461 |
| Collateralized Mortgage Obligations | — | 7,734,218 | — | 7,734,218 |
| Investment Company | 14,075,014 | — | — | 14,075,014 |
| TOTAL SECURITIES | $14,075,014 | $251,368,135 | $— | $265,443,149 |
| Other Financial Instruments1 | ||||
| Assets | $— | $— | $— | $— |
| Liabilities | (41,677) | — | — | (41,677) |
| TOTAL OTHER FINANCIAL INSTRUMENTS | $(41,677) | $— | $— | $(41,677) |
| 1 | Other financial instruments are futures contracts. |
The following acronyms are used throughout this portfolio:
| ARM | —Adjustable Rate Mortgage |
| FHLMC | —Federal Home Loan Mortgage Corporation |
| FNMA | —Federal National Mortgage Association |
| LIBOR | —London Interbank Offered Rate |
| REMIC | —Real Estate Mortgage Investment Conduit |
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