United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-7309
(Investment Company Act File Number)
Federated Total Return Government Bond Fund
______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
John W. McGonigle, Esquire
Federated Investors Tower
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 02/28/2013
Date of Reporting Period: Six months ended 08/31/2012
Item 1. Reports to Stockholders
![](https://capedge.com/proxy/N-CSRS/0001318148-12-001747/fedregcovsmall.jpg)
Share Class | Ticker |
Institutional | FTRGX |
Service* | FTGSX |
Type of Investment | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 45.1% |
U.S. Government Agency Securities | 28.2% |
U.S. Treasury Securities | 25.2% |
Derivative Contracts2,3 | (0.0)% |
Repurchase Agreements—Collateral4 | 9.4% |
Repurchase Agreements—Cash | 1.5% |
Other Assets and Liabilities—Net5 | (9.4)% |
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 | Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative Contracts may consist of futures, forwards, options and swaps. The impact of a derivative contract on the Fund's performance may be larger than its unrealized appreciation (depreciation) or value may indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract's significance to the portfolio. More complete information regarding the Fund's direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report. |
3 | Represents less than 0.1%. |
4 | Includes repurchase agreements purchased with cash collateral or proceeds received in securities lending and/or dollar-roll transactions, as well as cash held to cover payments on derivative contracts, when-issued and delayed delivery transactions. |
5 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount | Value | ||
U.S. Treasury—25.2% | |||
U.S. Treasury Bonds—11.6% | |||
$2,200,000 | 11.250%, 2/15/2015 | $2,788,947 | |
2,050,000 | 8.750%, 5/15/2017 | 2,828,883 | |
1,800,000 | 7.250%, 8/15/2022 | 2,765,936 | |
4,000,000 | 7.125%, 2/15/2023 | 6,156,212 | |
3,300,000 | 6.250%, 8/15/2023 - 5/15/2030 | 5,162,569 | |
7,700,000 | 7.625%, 2/15/2025 | 12,712,869 | |
1,400,000 | 6.625%, 2/15/2027 | 2,211,956 | |
1,500,000 | 6.125%, 11/15/2027 | 2,293,594 | |
800,000 | 5.500%, 8/15/2028 | 1,165,238 | |
11,000,000 | 5.250%, 2/15/2029 | 15,706,453 | |
18,000,000 | 3.500%, 2/15/2039 | 21,274,312 | |
37,500,000 | 4.375%, 11/15/2039 - 5/15/2041 | 51,094,015 | |
3,000,000 | 4.750%, 2/15/2041 | 4,324,687 | |
10,000,000 | 3.750%, 8/15/2041 | 12,316,563 | |
5,000,000 | 3.125%, 2/15/2042 | 5,488,672 | |
4,000,000 | 3.000%, 5/15/2042 | 4,283,062 | |
TOTAL | 152,573,968 | ||
U.S. Treasury Notes—13.6% | |||
21,100,000 | 1 | 4.250%, 8/15/2013 - 8/15/2015 | 22,629,535 |
24,000,000 | 2 | 1.250%, 2/15/2014 - 4/15/2014 | 24,363,437 |
47,000,000 | 1.000%, 5/15/2014 - 3/31/2017 | 47,876,942 | |
10,000,000 | 2.375%, 8/31/2014 | 10,423,984 | |
11,500,000 | 2.625%, 6/30/2014 - 12/31/2014 | 12,025,541 | |
22,000,000 | 0.375%, 3/15/2015 | 22,073,931 | |
12,000,000 | 0.250%, 8/15/2015 | 11,985,000 | |
2,000,000 | 2.000%, 4/30/2016 | 2,117,516 | |
18,380,000 | 5.125%, 5/15/2016 | 21,572,090 | |
5,000,000 | 1.500%, 3/31/2019 | 5,186,239 | |
TOTAL | 180,254,215 | ||
TOTAL U.S. TREASURY (IDENTIFIED COST $294,597,317) | 332,828,183 |
Principal Amount | Value | ||
GOVERNMENT AGENCIES—28.2% | |||
Federal Farm Credit System—2.7% | |||
$500,000 | 5.550%, 7/23/2014 | $549,288 | |
20,000,000 | 2 | 1.625%, 11/19/2014 | 20,590,508 |
1,000,000 | 4.300%, 12/15/2014 | 1,091,140 | |
1,000,000 | 5.200%, 1/7/2015 | 1,114,543 | |
1,000,000 | 5.570%, 11/23/2016 | 1,208,874 | |
4,300,000 | 3.875%, 1/12/2021 | 5,082,015 | |
249,000 | 5.800%, 11/10/2021 | 332,962 | |
5,000,000 | 5.410%, 4/17/2036 | 6,757,213 | |
TOTAL | 36,726,543 | ||
Federal Home Loan Bank System—7.0% | |||
1,000,000 | 2.375%, 5/13/2013 | 1,014,625 | |
27,000,000 | 3.625%, 10/18/2013 - 3/12/2021 | 29,680,719 | |
1,000,000 | 2.750%, 12/12/2014 | 1,057,089 | |
1,000,000 | 2.875%, 6/12/2015 | 1,066,910 | |
16,100,000 | 4.750%, 9/11/2015 - 12/16/2016 | 18,287,041 | |
23,000,000 | 3.125%, 3/11/2016 | 25,093,741 | |
14,000,000 | 5.375%, 5/18/2016 | 16,517,938 | |
TOTAL | 92,718,063 | ||
Federal Home Loan Mortgage Corporation—8.2% | |||
8,000,000 | 3.500%, 5/29/2013 | 8,195,246 | |
18,000,000 | 2 | 4.750%, 1/19/2016 | 20,609,660 |
14,000,000 | 5.250%, 4/18/2016 | 16,385,764 | |
7,000,000 | 2.500%, 5/27/2016 | 7,512,251 | |
10,000,000 | 2 | 1.750%, 5/30/2019 | 10,374,701 |
15,042,000 | 3.974%, 1/25/2021 | 17,288,204 | |
23,000,000 | 2.375%, 1/13/2022 | 24,221,224 | |
70,000 | 6.750%, 9/15/2029 | 108,395 | |
3,000,000 | 5.625%, 11/23/2035 | 3,396,327 | |
TOTAL | 108,091,772 | ||
Federal National Mortgage Association—6.6% | |||
6,000,000 | 2 | 2.875%, 12/11/2013 | 6,200,848 |
42,000,000 | 0.875%, 8/28/2014 | 42,492,538 | |
8,000,000 | 2 | 0.750%, 12/19/2014 | 8,086,344 |
30,000,000 | 1.250%, 9/28/2016 | 30,793,497 | |
TOTAL | 87,573,227 |
Principal Amount | Value | ||
GOVERNMENT AGENCIES—continued | |||
Tennessee Valley Authority Bonds—3.7% | |||
$37,550,000 | 2 | 5.500%, 7/18/2017 | $45,993,689 |
2,000,000 | 5.250%, 9/15/2039 | 2,653,374 | |
TOTAL | 48,647,063 | ||
TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST $351,540,621) | 373,756,668 | ||
Mortgage-Backed Securities—17.1% | |||
Federal Home Loan Mortgage Corporation—0.1% | |||
982,364 | 4.000%, 9/1/2040 | 1,049,864 | |
Federal National Mortgage Association—17.0% | |||
20,000,000 | 3 | 2.500%, 9/1/2027 | 20,774,080 |
39,736,783 | 3 | 3.000%, 6/1/2027 - 9/1/2027 | 42,068,080 |
129,229,857 | 3 | 3.500%, 9/1/2025 - 9/1/2042 | 137,379,080 |
22,757,690 | 4.000%, 10/1/2040 - 2/1/2042 | 24,534,885 | |
TOTAL | 224,756,125 | ||
Government National Mortgage Association—0.0% | |||
122,058 | 6.500%, 10/15/2031 | 139,990 | |
29,526 | 7.500%, 10/15/2026 - 10/15/2027 | 34,501 | |
TOTAL | 174,491 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $221,844,568) | 225,980,480 | ||
Collateralized Mortgage Obligations—28.0% | |||
Federal Home Loan Mortgage Corporation—18.3% | |||
7,764,296 | REMIC K007 A1, 3.342%, 12/25/2019 | 8,441,937 | |
20,580,761 | REMIC K010 A1, 3.320%, 7/25/2020 | 22,411,121 | |
21,016,961 | REMIC K011 A1, 2.917%, 8/25/2020 | 22,640,008 | |
18,607,397 | REMIC K014 A1, 2.724%, 10/25/2020 | 19,920,584 | |
11,000,000 | REMIC K015 A2, 3.230%, 7/25/2021 | 12,018,185 | |
13,420,923 | REMIC K017 A1, 1.891%, 12/25/2020 | 13,833,489 | |
17,000,000 | REMIC K018 A2, 2.835%, 1/25/2022 | 17,961,778 | |
20,000,000 | REMIC K702 A2, 3.154%, 2/25/2018 | 21,852,480 | |
20,500,000 | REMIC K703 A2, 2.699%, 5/25/2018 | 21,956,490 | |
20,700,000 | REMIC K704 A2, 2.412%, 8/25/2018 | 21,843,431 | |
15,000,000 | REMIC K705 A2, 2.303%, 9/25/2018 | 15,735,216 | |
23,000,000 | REMIC K707 A2, 2.220%, 12/25/2018 | 24,011,464 | |
10,621,514 | REMIC 2601 DA, 4.000%, 4/15/2023 | 11,227,410 | |
7,431,317 | REMIC 3322 FB, 0.630%, 5/15/2037 | 7,445,354 | |
TOTAL | 241,298,947 |
Principal Amount | Value | ||
Collateralized Mortgage Obligations—continued | |||
Federal National Mortgage Association—9.7% | |||
$9,007 | REMIC 1988-16 B, 9.500%, 6/25/2018 | $10,205 | |
4,637 | REMIC 1989-35 G, 9.500%, 7/25/2019 | 5,392 | |
10,000,000 | REMIC 2005-87 PE, 5.000%, 12/25/2033 | 10,624,922 | |
7,441,108 | REMIC 2007-46 FA, 0.606%, 5/25/2037 | 7,457,392 | |
3,203,748 | REMIC 2008-17 PA, 4.500%, 10/25/2037 | 3,401,309 | |
6,985,861 | REMIC 2009-14 PB, 3.500%, 3/25/2024 | 7,365,840 | |
3,963,644 | REMIC 2009-14 PC, 4.000%, 3/25/2024 | 4,222,266 | |
17,498,721 | REMIC 2010-M6 A1, 2.210%, 9/25/2020 | 18,286,529 | |
16,057,509 | REMIC 2011-M7 A1, 2.049%, 9/25/2018 | 16,702,672 | |
31,000,000 | REMIC 2011-M7 A2, 2.578%, 9/25/2018 | 32,788,340 | |
26,934,238 | REMIC 2012-M1 A1, 1.811%, 10/25/2021 | 27,659,684 | |
TOTAL | 128,524,551 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $355,050,481) | 369,823,498 | ||
Repurchase Agreements—10.9% | |||
41,770,000 | 4,5 | Interest in $140,938,000 joint repurchase agreement 0.19%, dated 8/16/2012 under which BNP Paribas Securities Corp. will repurchase securities provided as collateral for $140,962,547 on 9/18/2012. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Government Agency securities with various maturities to 7/1/2042 and the market value of those underlying securities was $143,771,176. | 41,770,000 |
19,828,000 | Interest in $4,105,000,000 joint repurchase agreement 0.20%, dated 8/31/2012 under which Bank of America, N.A. will repurchase securities provided as collateral for $4,105,091,222 on 9/4/2012. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Government Agency securities with various maturities to 4/25/2040 and the market value of those underlying securities was $4,221,332,947. | 19,828,000 | |
66,297,000 | Interest in $4,105,000,000 joint repurchase agreement 0.20%, dated 8/31/2012 under which Bank of America, N.A. will repurchase securities provided as collateral for $4,105,091,222 on 9/4/2012. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Government Agency securities with various maturities to 4/25/2040 and the market value of those underlying securities was $4,221,332,947 (purchased with proceeds from securities lending collateral). | 66,297,000 |
Principal Amount | Value | ||
Repurchase Agreements—continued | |||
$15,861,000 | 4,5 | Interest in $285,315,000 joint repurchase agreement 0.18%, dated 8/13/2012 under which Barclays Capital, Inc. will repurchase securities provided as collateral for $285,359,224 on 9/13/2012. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Government Agency securities with various maturities to 7/20/2042 and the market value of those underlying securities was $291,747,788. | $15,861,000 |
TOTAL REPURCHASE AGREEMENTS (AT COST) | 143,756,000 | ||
TOTAL INVESTMENTS—109.4% (IDENTIFIED COST $1,366,788,987)6 | 1,446,144,829 | ||
OTHER ASSETS AND LIABILITIES - NET— (9.4)%7 | (123,885,299) | ||
TOTAL NET ASSETS—100% | $1,322,259,530 |
Description | Number of Contracts | Notional Value | Expiration Date | Unrealized Depreciation |
8United States Treasury Bond 30-Year Short Futures | 200 | $30,281,250 | December 2012 | $(332,566) |
8United States Treasury Note 10-Year Short Futures | 135 | $18,052,031 | December 2012 | $(133,194) |
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(465,760) |
Liabilities—Net.”
1 | Pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding futures contracts. |
2 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
3 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
4 | All or a portion of these securities are segregated pending settlement of dollar-roll transactions. |
5 | Although the repurchase date is more than seven days after the date of purchase, the Fund has the right to terminate the repurchase agreement at any time with seven-days' notice. |
6 | The cost of investments for federal tax purposes amounts to $1,365,439,460. |
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 and Investments in Mutual Funds | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
U.S. Treasury | $— | $332,828,183 | $— | $332,828,183 |
Government Agencies | — | 373,756,668 | — | 373,756,668 |
Mortgage-Backed Securities | — | 225,980,480 | — | 225,980,480 |
Collateralized Mortgage Obligations | — | 369,823,498 | — | 369,823,498 |
Repurchase Agreements | — | 143,756,000 | — | 143,756,000 |
TOTAL SECURITIES | $— | $1,446,144,829 | $— | $1,446,144,829 |
OTHER FINANCIAL INSTRUMENTS* | $(465,760) | $— | $— | $(465,760) |
* | Other financial instruments include futures contracts. |
REMIC | —Real Estate Mortgage Investment Conduit |
Six Months Ended (unaudited) 8/31/2012 | Year Ended February 28 or 29, | |||||
2012 | 2011 | 2010 | 2009 | 2008 | ||
Net Asset Value, Beginning of Period | $11.80 | $11.27 | $11.32 | $11.36 | $11.20 | $10.67 |
Income From Investment Operations: | ||||||
Net investment income | 0.12 | 0.27 | 0.30 | 0.40 | 0.50 | 0.53 |
Net realized and unrealized gain (loss) on investments and futures contracts | 0.21 | 0.63 | 0.05 | (0.02) | 0.16 | 0.53 |
TOTAL FROM INVESTMENT OPERATIONS | 0.33 | 0.90 | 0.35 | 0.38 | 0.66 | 1.06 |
Less Distributions: | ||||||
Distributions from net investment income | (0.13) | (0.27) | (0.30) | (0.39) | (0.50) | (0.53) |
Distributions from net realized gain on investments and futures contracts | (0.13) | (0.10) | (0.10) | (0.03) | — | — |
TOTAL DISTRIBUTIONS | (0.26) | (0.37) | (0.40) | (0.42) | (0.50) | (0.53) |
Net Asset Value, End of Period | $11.87 | $11.80 | $11.27 | $11.32 | $11.36 | $11.20 |
Total Return1 | 2.76% | 8.08% | 3.11% | 3.40% | 6.07% | 10.28% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.31%2 | 0.28% | 0.28% | 0.26% | 0.26% | 0.26% |
Net investment income | 1.99%2 | 2.22% | 2.60% | 3.42% | 4.43% | 4.95% |
Expense waiver/reimbursement3 | 0.15%2 | 0.17% | 0.17% | 0.22% | 0.38% | 0.39% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $806,448 | $691,854 | $672,907 | $647,680 | $464,550 | $458,053 |
Portfolio turnover | 54% | 152% | 68% | 75% | 47% | 77% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 24% | 103% | 68% | 71% | 42% | 55% |
1 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
2 | Computed on an annualized basis. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Six Months Ended (unaudited) 8/31/2012 | Year Ended February 28 or 29, | |||||
2012 | 2011 | 2010 | 2009 | 2008 | ||
Net Asset Value, Beginning of Period | $11.80 | $11.27 | $11.32 | $11.36 | $11.20 | $10.67 |
Income From Investment Operations: | ||||||
Net investment income | 0.10 | 0.23 | 0.26 | 0.36 | 0.46 | 0.50 |
Net realized and unrealized gain (loss) on investments and futures contracts | 0.21 | 0.63 | 0.06 | (0.02) | 0.16 | 0.53 |
TOTAL FROM INVESTMENT OPERATIONS | 0.31 | 0.86 | 0.32 | 0.34 | 0.62 | 1.03 |
Less Distributions: | ||||||
Distributions from net investment income | (0.11) | (0.23) | (0.27) | (0.35) | (0.46) | (0.50) |
Distributions from net realized gain on investments | (0.13) | (0.10) | (0.10) | (0.03) | — | — |
TOTAL DISTRIBUTIONS | (0.24) | (0.33) | (0.37) | (0.38) | (0.46) | (0.50) |
Net Asset Value, End of Period | $11.87 | $11.80 | $11.27 | $11.32 | $11.36 | $11.20 |
Total Return1 | 2.59% | 7.71% | 2.76% | 3.05% | 5.71% | 9.92% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.64%2 | 0.62% | 0.62% | 0.60% | 0.60% | 0.60% |
Net investment income | 1.64%2 | 1.74% | 2.26% | 3.10% | 4.06% | 4.62% |
Expense waiver/reimbursement3 | 0.31%2 | 0.33% | 0.32% | 0.37% | 0.51% | 0.51% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $515,812 | $622,581 | $158,495 | $173,789 | $144,068 | $112,299 |
Portfolio turnover | 54% | 152% | 68% | 75% | 47% | 77% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 24% | 103% | 68% | 71% | 42% | 55% |
1 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
2 | Computed on an annualized basis. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in repurchase agreements | $143,756,000 | |
Investment in securities | 1,302,388,829 | |
Total investment in securities, at value including $64,620,210 of securities loaned (identified cost $1,366,788,987) | $1,446,144,829 | |
Cash | 528 | |
Income receivable | 5,533,656 | |
Receivable for investments sold | 14,369,758 | |
Receivable for shares sold | 2,414,029 | |
TOTAL ASSETS | 1,468,462,800 | |
Liabilities: | ||
Payable for investments purchased | 74,874,603 | |
Payable for shares redeemed | 4,377,310 | |
Payable for daily variation margin | 265,547 | |
Payable for collateral due to broker for securities lending | 66,297,000 | |
Income distribution payable | 180,491 | |
Payable for Directors'/Trustees' fees | 330 | |
Payable for distribution services fee (Note 5) | 37,967 | |
Payable for shareholder services fee (Note 5) | 104,344 | |
Accrued expenses | 65,678 | |
TOTAL LIABILITIES | 146,203,270 | |
Net assets for 111,420,131 shares outstanding | $1,322,259,530 | |
Net Assets Consist of: | ||
Paid-in capital | $1,230,398,887 | |
Net unrealized appreciation of investments and futures contracts | 78,890,082 | |
Accumulated net realized gain on investments and futures contracts | 13,701,371 | |
Distributions in excess of net investment income | (730,810) | |
TOTAL NET ASSETS | $1,322,259,530 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Institutional Shares: | ||
Net asset value per share ($806,447,761 ÷ 67,955,135 shares outstanding), no par value, unlimited shares authorized | $11.87 | |
Service Shares: | ||
Net asset value per share ($515,811,769 ÷ 43,464,996 shares outstanding), no par value, unlimited shares authorized | $11.87 |
Investment Income: | |||
Interest (including income on securities loaned of $25,813) | $14,706,145 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $1,921,852 | ||
Administrative fee (Note 5) | 499,694 | ||
Custodian fees | 25,059 | ||
Transfer and dividend disbursing agent fees and expenses | 306,990 | ||
Directors'/Trustees' fees | 8,784 | ||
Auditing fees | 12,325 | ||
Legal fees | 4,035 | ||
Portfolio accounting fees | 94,591 | ||
Distribution services fee (Note 5) | 662,097 | ||
Shareholder services fee (Note 5) | 662,097 | ||
Share registration costs | 21,466 | ||
Printing and postage | 11,537 | ||
Insurance premiums | 3,615 | ||
Miscellaneous | 5,855 | ||
TOTAL EXPENSES | 4,239,997 | ||
Waivers (Note 5): | |||
Waiver of investment adviser fee | $(948,272) | ||
Waiver of administrative fee | (12,184) | ||
Waiver of distribution services fee | (423,742) | ||
TOTAL WAIVERS | (1,384,198) | ||
Net expenses | 2,855,799 | ||
Net investment income | 11,850,346 | ||
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |||
Net realized gain on investments | 15,855,989 | ||
Net realized loss on futures contracts | (2,849,611) | ||
Net change in unrealized appreciation of investments | 8,218,035 | ||
Net change in unrealized depreciation of futures contracts | (363,507) | ||
Net realized and unrealized gain on investments and futures contracts | 20,860,906 | ||
Change in net assets resulting from operations | $32,711,252 |
Six Months Ended (unaudited) 8/31/2012 | Year Ended 2/29/2012 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $11,850,346 | $26,077,932 |
Net realized gain on investments and futures contracts | 13,006,378 | 28,680,015 |
Net change in unrealized appreciation/depreciation of investments and futures contracts | 7,854,528 | 42,301,731 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 32,711,252 | 97,059,678 |
Distributions to Shareholders: | ||
Distributions from net investment income | ||
Institutional Shares | (7,947,010) | (15,580,594) |
Service Shares | (4,694,503) | (12,437,432) |
Distributions from net realized gain on investments and futures contracts | ||
Institutional Shares | (7,930,931) | (5,341,649) |
Service Shares | (5,734,498) | (7,594,168) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (26,306,942) | (40,953,843) |
Share Transactions: | ||
Proceeds from sale of shares | 386,953,728 | 1,129,287,448 |
Proceeds from shares issued in connection with the tax-free transfer of assets from Federated U.S. Government Bond Fund | 36,852,332 | — |
Net asset value of shares issued to shareholders in payment of distributions declared | 22,276,072 | 33,916,463 |
Cost of shares redeemed | (444,662,128) | (736,276,168) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 1,420,004 | 426,927,743 |
Change in net assets | 7,824,314 | 483,033,578 |
Net Assets: | ||
Beginning of period | 1,314,435,216 | 831,401,638 |
End of period (including undistributed (distributions in excess of) net investment income of $(730,810) and $60,357, respectively) | $1,322,259,530 | $1,314,435,216 |
Net investment income* | $12,259,267 |
Net realized and unrealized gain on investments | $21,994,278 |
Net increase in net assets resulting from operations | $34,253,545 |
* | Net investment income includes $111,985 of pro forma additional expenses. |
Shares of the Trust Issued | U.S. Government Bond Fund Net Assets Received | Unrealized Appreciation1 | Net Assets of the Trust Immediately Prior to Combination | Net Assets of the Trust Immediately After Combination |
3,123,021 | $36,852,332 | $4,899,803 | $1,279,826,160 | $1,316,678,492 |
1 | Unrealized Appreciation is included in the U.S Government Bond Fund Net Assets Received amount shown above. |
■ | Fixed-income securities acquired with remaining maturities greater than 60 days are fair valued using price evaluations provided by a pricing service approved by the Trust's Board of Trustees (the “Trustees”). |
■ | Fixed-income securities acquired with remaining maturities of 60 days or less are valued at their cost (adjusted for the accretion of any discount or amortization of any premium), which approximates market value. |
■ | Shares of other mutual funds are valued based upon their reported NAVs. |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered such as: the purchase price of the security, information obtained by contacting the issuer, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded and public trading in similar securities of the issuer or comparable issuers. |
■ | Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; and |
■ | Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry. |
Market Value of Securities Loaned | Market Value of Collateral |
$64,620,210 | $66,297,000 |
Fair Value of Derivative Instruments | ||
Liability | ||
Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||
Interest rate contracts | Payable for daily variation margin | $465,760* |
* | Includes cumulative 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 | |
Interest rate contracts | $(2,849,611) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures | |
Interest rate contracts | $(363,507) |
Six Months Ended 8/31/2012 | Year Ended 2/29/2012 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 15,209,785 | $179,573,817 | 14,314,892 | $167,047,530 |
Shares issued to shareholders in payment of distributions declared | 1,008,127 | 11,910,414 | 1,202,825 | 14,013,979 |
Shares redeemed | (6,897,014) | (81,452,841) | (16,580,749) | (191,488,574) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | 9,320,898 | $110,031,390 | (1,063,032) | $(10,427,065) |
Six Months Ended 8/31/2012 | Year Ended 2/29/2012 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 17,623,199 | $207,379,911 | 83,309,863 | $962,239,918 |
Proceeds from shares issued in connection with the tax-free transfer of assets from Federated U.S. Government Bond Fund | 3,123,021 | 36,852,332 | — | — |
Shares issued to shareholders in payment of distributions declared | 877,708 | 10,365,658 | 1,696,057 | 19,902,484 |
Shares redeemed | (30,923,870) | (363,209,287) | (46,301,793) | (544,787,594) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (9,299,942) | $(108,611,386) | 38,704,127 | $437,354,808 |
NET CHANGE RESULTING FROM TOTAL TRUST SHARE TRANSACTIONS | 20,956 | $1,420,004 | 37,641,095 | $426,927,743 |
Administrative Fee | Average Aggregate Daily Net Assets of the Federated Funds |
0.150% | on the first $5 billion |
0.125% | on the next $5 billion |
0.100% | on the next $10 billion |
0.075% | on assets in excess of $20 billion |
Distribution Services Fees Incurred | Distribution Services Fees Waived | |
Service Shares | $662,097 | $(423,742) |
Service Fees Incurred | |
Service Shares | $662,097 |
Purchases | $71,676,304 |
Sales | $55,847,968 |
Beginning Account Value 3/1/2012 | Ending Account Value 8/31/2012 | Expenses Paid During Period1 | |
Actual: | |||
Institutional Shares | $1,000 | $1,027.60 | $1.58 |
Service Shares | $1,000 | $1,025.90 | $3.27 |
Hypothetical (assuming a 5% return before expenses): | |||
Institutional Shares | $1,000 | $1,023.64 | $1.58 |
Service Shares | $1,000 | $1,021.98 | $3.26 |
1 | Expenses are equal to the Trust's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Institutional Shares | 0.31% |
Service Shares | 0.64% |
![](https://capedge.com/proxy/N-CSRS/0001318148-12-001747/fedlogok.jpg)
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31429A204
2012 ©Federated Investors, Inc.
Item 2. Code of Ethics
Not Applicable
Item 3. Audit Committee Financial Expert
Not Applicable
Item 4. Principal Accountant Fees and Services
Not Applicable
Item 5. Audit Committee of Listed Registrants
Not Applicable
Item 6. Schedule of Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not Applicable |
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not Applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not Applicable |
Item 10. Submission of Matters to a Vote of Security Holders
Not Applicable
Item 11. Controls and Procedures
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant Federated Total Return Government Bond Fund
By /S/ Richard A. Novak
Richard A. Novak
Principal Financial Officer
Date October 23, 2012
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /S/ J. Christopher Donahue
J. Christopher Donahue
Principal Executive Officer
Date October 23, 2012
By /S/ Richard A. Novak
Richard A. Novak
Principal Financial Officer
Date October 23, 2012