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)
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: 02/28/18
Date of Reporting Period: Six months ended 08/31/17
Item 1. | Reports to Stockholders |
Share Class | Ticker | Institutional | FTRGX | Service | FTGSX | R6 | FTGLX |
Type of Investment | Percentage of Total Net Assets |
U.S. Government Agency Commercial Mortgage-Backed Securities | 55.2% |
U.S. Treasury Securities | 36.7% |
U.S. Government Agency Mortgage-Backed Securities2 | 3.1% |
Collateralized Mortgage Obligations | 2.5% |
U.S. Government Agency Securities | 0.9% |
Cash Equivalents3 | 1.6% |
Other Assets and Liabilities—Net4 | 0.0%5 |
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 | For purposes of this table, Mortgage-Backed Securities include mortgage-backed securities guaranteed by Government Sponsored Entities (GSEs) and adjustable rate mortgage-backed securities. |
3 | Cash Equivalents include any investment in money market mutual funds. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
5 | Represents less than 0.1%. |
Principal Amount or Shares | Value | ||
U.S. TREASURY—36.7% | |||
U.S. Treasury Bonds—13.8% | |||
$2,250,000 | 2.250%, 8/15/2046 | $2,030,937 | |
7,250,000 | 2.500%, 2/15/2045 | 6,936,071 | |
6,500,000 | 2.750%, 8/15/2042 | 6,585,001 | |
2,500,000 | 3.000%, 5/15/2045 | 2,638,898 | |
2,750,000 | 3.000%, 11/15/2045 | 2,900,619 | |
2,000,000 | 3.125%, 2/15/2043 | 2,162,364 | |
15,250,000 | 3.625%, 8/15/2043 | 17,931,597 | |
TOTAL | 41,185,487 | ||
U.S. Treasury Notes—22.9% | |||
6,000,000 | 1.250%, 3/31/2021 | 5,939,531 | |
2,000,000 | 1.375%, 2/29/2020 | 1,999,844 | |
16,000,000 | 1.375%, 4/30/2020 | 15,992,499 | |
14,500,000 | 1.375%, 10/31/2020 | 14,452,988 | |
7,000,000 | 1.750%, 11/30/2021 | 7,031,719 | |
2,025,000 | 2.000%, 8/15/2025 | 2,020,313 | |
6,000,000 | 2.125%, 7/31/2024 | 6,071,016 | |
6,000,000 | 2.250%, 2/15/2027 | 6,066,839 | |
5,500,000 | 2.375%, 5/15/2027 | 5,619,038 | |
2,000,000 | 2.625%, 11/15/2020 | 2,071,016 | |
750,000 | 2.750%, 2/15/2024 | 788,936 | |
TOTAL | 68,053,739 | ||
TOTAL U.S. TREASURY (IDENTIFIED COST $104,795,677) | 109,239,226 | ||
ADJUSTABLE RATE MORTGAGES—0.0% | |||
Federal Home Loan Mortgage Corporation ARM—0.0% | |||
17,910 | 1 | 2.965%, 7/1/2035 | 18,888 |
76,159 | 1 | 3.275%, 11/1/2035 | 80,470 |
TOTAL ADJUSTABLE RATE MORTGAGES (IDENTIFIED COST $93,673) | 99,358 | ||
GOVERNMENT AGENCIES—0.9% | |||
Federal Farm Credit System—0.5% | |||
1,000,000 | 5.375%, 11/10/2020 | 1,117,695 | |
249,000 | 5.800%, 11/10/2021 | 290,035 | |
TOTAL | 1,407,730 |
Principal Amount or Shares | Value | ||
GOVERNMENT AGENCIES—continued | |||
Federal Home Loan Bank System—0.4% | |||
$1,000,000 | 4.125%, 3/13/2020 | $1,065,722 | |
Federal Home Loan Mortgage Corporation—0.0% | |||
70,000 | 6.750%, 9/15/2029 | 100,450 | |
TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST $2,373,289) | 2,573,902 | ||
MORTGAGE-BACKED SECURITIES—3.1% | |||
Federal Home Loan Mortgage Corporation—0.1% | |||
21,216 | 4.500%, 11/1/2018 | 21,595 | |
102,058 | 5.500%, 11/1/2020 | 106,408 | |
TOTAL | 128,003 | ||
Federal National Mortgage Association—0.2% | |||
82 | 5.000%, 10/1/2017 | 82 | |
69,932 | 5.000%, 6/1/2020 | 72,354 | |
84,579 | 5.000%, 1/1/2035 | 92,978 | |
75,382 | 5.500%, 2/1/2023 | 79,417 | |
97,950 | 5.500%, 6/1/2025 | 108,269 | |
100,696 | 6.000%, 2/1/2026 | 113,119 | |
85,772 | 6.000%, 4/1/2026 | 96,354 | |
65,603 | 6.000%, 7/1/2034 | 75,259 | |
21,088 | 6.000%, 1/1/2037 | 24,083 | |
TOTAL | 661,915 | ||
Government National Mortgage Association—0.4% | |||
512,331 | 4.000%, 5/15/2025 | 540,647 | |
178,179 | 5.000%, 3/15/2023 | 188,421 | |
170,122 | 5.500%, 2/15/2023 | 181,357 | |
108,895 | 5.500%, 5/15/2038 | 123,860 | |
48,334 | 6.000%, 1/20/2029 | 54,549 | |
24,450 | 6.000%, 3/15/2032 | 28,407 | |
35,740 | 6.500%, 10/15/2031 | 41,763 | |
511 | 7.500%, 10/15/2026 | 596 | |
17,299 | 7.500%, 10/15/2027 | 20,353 | |
TOTAL | 1,179,953 | ||
Government Agency—2.4% | |||
7,078,139 | FDIC Trust 2013-R1, Class A, 1.150%, 3/25/2033 | 7,029,357 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government Agency—continued | |||
$161,456 | FDIC Trust 2013-R2, Class A, 1.250%, 3/25/2033 | $160,439 | |
TOTAL | 7,189,796 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $9,091,571) | 9,159,667 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—55.2% | |||
Agency Commercial Mortgage-Backed Securities—55.2% | |||
464,260 | 1 | FHLMC REMIC KF02 A1, 1.612% (1-month USLIBOR +0.380%), 7/25/2020 | 464,221 |
5,058,874 | 1 | FHLMC REMIC KS02 A, 1.612% (1-month USLIBOR +0.380%), 8/25/2023 | 5,060,412 |
7,690,787 | FHLMC REMIC KJ03 A1, 1.669%, 1/25/2021 | 7,657,576 | |
3,975,662 | FHLMC REMIC K017 A1, 1.891%, 12/25/2020 | 3,982,466 | |
2,446,939 | FHLMC REMIC K714 A1, 2.075%, 12/25/2019 | 2,455,395 | |
10,122,111 | FHLMC REMIC K720 A1, 2.316%, 11/25/2021 | 10,261,870 | |
8,000,000 | FHLMC REMIC KJ08 A2, 2.356%, 8/25/2022 | 8,046,928 | |
9,389,991 | FHLMC REMIC K053 A1, 2.548%, 2/25/2025 | 9,574,484 | |
9,325,000 | FHLMC REMIC K504 A2, 2.566%, 9/25/2020 | 9,505,201 | |
4,091,940 | FHLMC REMIC K721 A1, 2.610%, 1/25/2022 | 4,169,992 | |
7,000,000 | FHLMC REMIC KSMC A2, 2.615%, 1/25/2023 | 7,147,757 | |
9,400,000 | FHLMC REMIC K027 A2, 2.637%, 1/25/2023 | 9,642,038 | |
12,188,006 | FHLMC REMIC K703 A2, 2.699%, 5/25/2018 | 12,247,572 | |
1,500,000 | FHLMC REMIC K720 A2, 2.716%, 6/25/2022 | 1,546,463 | |
4,650,000 | FHLMC REMIC K054 A2, 2.745%, 1/25/2026 | 4,730,960 | |
7,811,027 | FHLMC REMIC K050 A1, 2.802%, 1/25/2025 | 8,021,157 | |
1,089,871 | FHLMC REMIC K011 A1, 2.917%, 8/25/2020 | 1,106,102 | |
6,000,000 | FHLMC REMIC K049 A2, 3.010%, 7/25/2025 | 6,243,175 | |
9,130,964 | FHLMC REMIC K702 A2, 3.154%, 2/25/2018 | 9,170,155 | |
1,000,000 | FHLMC REMIC K031 A2, 3.300%, 4/25/2023 | 1,059,497 | |
2,000,000 | FHLMC REMIC K003 A4, 5.053%, 1/25/2019 | 2,065,394 | |
6,441,810 | FNMA REMIC 2012-M1 A1, 1.811%, 10/25/2021 | 6,444,222 | |
8,000,000 | FNMA REMIC 2016-M2 AV2, 2.152%, 1/25/2023 | 7,985,246 | |
650,000 | FNMA REMIC 2012-M13 A2, 2.377%, 5/25/2022 | 659,544 | |
9,000,000 | FNMA REMIC 2016-M5 A2, 2.469%, 4/25/2026 | 8,907,082 | |
4,000,000 | FNMA REMIC 2015-M4 AV2, 2.509%, 7/25/2022 | 4,080,184 | |
11,655,788 | FNMA REMIC 2011-M7 A2, 2.578%, 9/25/2018 | 11,708,207 | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $164,890,531) | 163,943,300 |
Principal Amount or Shares | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—2.5% | |||
Federal Home Loan Mortgage Corporation—1.2% | |||
$66,758 | 1 | REMIC 2411 FJ, 1.577% (1-month USLIBOR +0.350%), 12/15/2029 | $66,984 |
214,490 | 1 | REMIC 2458 FB, 2.227% (1-month USLIBOR +1.000%), 1/15/2032 | 218,586 |
31,219 | 1 | REMIC 2534 FI, 2.127% (1-month USLIBOR +0.900%), 2/15/2032 | 31,753 |
2,744 | REMIC 2555 B, 4.250%, 1/15/2018 | 2,754 | |
1,951,875 | REMIC 2601 DA, 4.000%, 4/15/2023 | 2,016,320 | |
1,283,054 | 1 | REMIC 3322 FB, 1.617% (1-month USLIBOR +0.390%), 5/15/2037 | 1,284,477 |
TOTAL | 3,620,874 | ||
Federal National Mortgage Association—1.3% | |||
44 | REMIC 1988-16 B, 9.500%, 6/25/2018 | 44 | |
278 | REMIC 1989-35 G, 9.500%, 7/25/2019 | 290 | |
507,320 | 1 | REMIC 1999-51 F, 1.728% (1-month USLIBOR +0.500%), 9/17/2029 | 509,903 |
3,289 | REMIC 2003-16 CB, 4.000%, 2/25/2033 | 3,301 | |
262,661 | 1 | REMIC 2006-58 FP, 1.534% (1-month USLIBOR +0.300%), 7/25/2036 | 262,874 |
505,821 | 1 | REMIC 2006-85 PF, 1.614% (1-month USLIBOR +0.380%), 9/25/2036 | 507,693 |
635,817 | 1 | REMIC 2007-46 FA, 1.604% (1-month USLIBOR +0.370%), 5/25/2037 | 636,297 |
699,487 | REMIC 2008-17 PA, 4.500%, 10/25/2037 | 720,035 | |
1,013,508 | REMIC 2009-14 PB, 3.500%, 3/25/2024 | 1,032,146 | |
186,655 | 1 | REMIC 370 F21, 1.534% (1-month USLIBOR +0.300%), 6/25/2036 | 186,442 |
TOTAL | 3,859,025 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $7,539,131) | 7,479,899 | ||
INVESTMENT COMPANY—1.6% | |||
4,699,296 | 2 | Federated Government Obligations Fund, Premier Shares, 0.91%3 (IDENTIFIED COST $4,699,296) | 4,699,296 |
TOTAL INVESTMENT IN SECURITIES—100.0% (IDENTIFIED COST $293,483,168)4 | 297,194,648 | ||
OTHER ASSETS AND LIABILITIES - NET—0.0%5 | 17,434 | ||
TOTAL NET ASSETS—100% | $297,212,082 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation |
6United States Treasury Note 10-Year Long Futures | 72 | $9,142,875 | December 2017 | $26,832 |
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 | Affiliated holding. |
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 August 31, 2017, were as follows: | |
Federated Government Obligations Fund, Premier Shares | |
Balance of Shares Held 2/28/2017 | 8,703,448 |
Purchases/Additions | 127,217,892 |
Sales/Reductions | (131,222,044) |
Balance of Shares Held 8/31/2017 | 4,699,296 |
Value | $4,699,296 |
Change in Unrealized Appreciation/Depreciation | $— |
Net Realized Gain/(Loss) | $— |
Dividend Income | $28,618 |
3 | 7-day net yield. |
4 | Also represents cost for federal tax purposes. |
5 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
6 | Non-income producing security. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
U.S. Treasuries | $— | $109,239,226 | $— | $109,239,226 |
Adjustable Rate Mortgages | — | 99,358 | — | 99,358 |
Government Agencies | — | 2,573,902 | — | 2,573,902 |
Mortgage-Backed Securities | — | 9,159,667 | — | 9,159,667 |
Commercial Mortgage-Backed Securities | — | 163,943,300 | — | 163,943,300 |
Collateralized Mortgage Obligations | — | 7,479,899 | — | 7,479,899 |
Investment Company | 4,699,296 | — | — | 4,699,296 |
TOTAL SECURITIES | $4,699,296 | $292,495,352 | $— | $297,194,648 |
Other Financial Instruments1 | ||||
Assets | $26,832 | $— | $— | $26,832 |
Liabilities | — | — | — | — |
TOTAL OTHER FINANCIAL INSTRUMENTS | $26,832 | $— | $— | $26,832 |
1 | Other financial instruments are futures contracts. |
ARM | —Adjustable Rate Mortgage |
FDIC | —Federal Deposit Insurance Corporation |
FHLMC | —Federal Home Loan Mortgage Corporation |
FNMA | —Federal National Mortgage Association |
LIBOR | —London Interbank Offered Rate |
REMIC | —Real Estate Mortgage Investment Conduit |
Six Months Ended (unaudited) 8/31/2017 | Year Ended February 28 or 29, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | ||
Net Asset Value, Beginning of Period | $10.77 | $11.10 | $11.20 | $11.04 | $11.51 | $11.80 |
Income From Investment Operations: | ||||||
Net investment income | 0.12 | 0.22 | 0.20 | 0.20 | 0.20 | 0.24 |
Net realized and unrealized gain (loss) on investments and futures contracts | 0.14 | (0.29) | 0.04 | 0.18 | (0.32) | 0.04 |
TOTAL FROM INVESTMENT OPERATIONS | 0.26 | (0.07) | 0.24 | 0.38 | (0.12) | 0.28 |
Less Distributions: | ||||||
Distributions from net investment income | (0.11) | (0.21) | (0.21) | (0.20) | (0.20) | (0.24) |
Distributions from net realized gain on investments and futures contracts | — | (0.05) | (0.13) | (0.02) | (0.15) | (0.33) |
TOTAL DISTRIBUTIONS | (0.11) | (0.26) | (0.34) | (0.22) | (0.35) | (0.57) |
Net Asset Value, End of Period | $10.92 | $10.77 | $11.10 | $11.20 | $11.04 | $11.51 |
Total Return1 | 2.39% | (0.64)% | 2.18% | 3.50% | (1.02)% | 2.40% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.32%2 | 0.32% | 0.31% | 0.31% | 0.31% | 0.31% |
Net investment income | 2.01%2 | 1.96% | 1.81% | 1.84% | 1.77% | 1.95% |
Expense waiver/reimbursement3 | 0.21%2 | 0.19% | 0.18% | 0.19% | 0.18% | 0.16% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $209,692 | $434,673 | $521,834 | $509,697 | $542,747 | $864,400 |
Portfolio turnover | 17% | 33% | 82% | 58% | 49% | 89% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 17% | 33% | 58% | 54% | 44% | 40% |
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) 8/31/2017 | Year Ended February 28 or 29, | |||||
2017 | 2016 | 2015 | 2014 | 2013 | ||
Net Asset Value, Beginning of Period | $10.77 | $11.10 | $11.20 | $11.04 | $11.51 | $11.80 |
Income From Investment Operations: | ||||||
Net investment income | 0.09 | 0.18 | 0.16 | 0.17 | 0.16 | 0.20 |
Net realized and unrealized gain (loss) on investments and futures contracts | 0.15 | (0.28) | 0.04 | 0.18 | (0.32) | 0.04 |
TOTAL FROM INVESTMENT OPERATIONS | 0.24 | (0.10) | 0.20 | 0.35 | (0.16) | 0.24 |
Less Distributions: | ||||||
Distributions from net investment income | (0.09) | (0.18) | (0.17) | (0.17) | (0.16) | (0.20) |
Distributions from net realized gain on investments and futures contracts | — | (0.05) | (0.13) | (0.02) | (0.15) | (0.33) |
TOTAL DISTRIBUTIONS | (0.09) | (0.23) | (0.30) | (0.19) | (0.31) | (0.53) |
Net Asset Value, End of Period | $10.92 | $10.77 | $11.10 | $11.20 | $11.04 | $11.51 |
Total Return1 | 2.22% | (0.98)% | 1.84% | 3.15% | (1.36)% | 2.05% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.66%2 | 0.66% | 0.65% | 0.65% | 0.65% | 0.65% |
Net investment income | 1.68%2 | 1.62% | 1.47% | 1.49% | 1.42% | 1.61% |
Expense waiver/reimbursement3 | 0.35%2 | 0.34% | 0.34% | 0.34% | 0.33% | 0.32% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $63,730 | $79,661 | $118,253 | $133,013 | $138,193 | $278,256 |
Portfolio turnover | 17% | 33% | 82% | 58% | 49% | 89% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 17% | 33% | 58% | 54% | 44% | 40% |
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) 8/31/2017 | Period Ended 2/28/20171 | |
Net Asset Value, Beginning of Period | $10.77 | $11.27 |
Income From Investment Operations: | ||
Net investment income | 0.11 | 0.14 |
Net realized and unrealized gain (loss) on investments and futures contracts | 0.15 | (0.45) |
TOTAL FROM INVESTMENT OPERATIONS | 0.26 | (0.31) |
Less Distributions: | ||
Distributions from net investment income | (0.11) | (0.15) |
Distributions from net realized gain on investments and futures contracts | — | (0.04) |
TOTAL DISTRIBUTIONS | (0.11) | (0.19) |
Net Asset Value, End of Period | $10.92 | $10.77 |
Total Return2 | 2.40% | (2.80)% |
Ratios to Average Net Assets: | ||
Net expenses | 0.31%3 | 0.31%3 |
Net investment income | 2.02%3 | 2.03%3 |
Expense waiver/reimbursement4 | 0.17%3 | 0.15%3 |
Supplemental Data: | ||
Net assets, end of period (000 omitted) | $23,790 | $25,377 |
Portfolio turnover | 17% | 33%5 |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 17% | 33%5 |
1 | Reflects operations for the period from June 29, 2016 (date of initial investment) to February 28, 2017. |
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 February 28, 2017. |
Assets: | ||
Investment in securities, at value including $4,699,296 of investment in an affiliated holding (identified cost $293,483,168) | $297,194,648 | |
Restricted cash (Note 2) | 82,800 | |
Income receivable | 765,697 | |
Receivable for shares sold | 35,755 | |
TOTAL ASSETS | 298,078,900 | |
Liabilities: | ||
Payable for shares redeemed | $531,599 | |
Payable for daily variation margin on futures contracts | 70,403 | |
Income distribution payable | 134,175 | |
Payable to adviser (Note 5) | 670 | |
Payable for administrative fees (Note 5) | 642 | |
Payable for transfer agent fee | 78,056 | |
Payable for distribution services fee (Note 5) | 3,774 | |
Payable for other service fees (Notes 2 and 5) | 15,338 | |
Accrued expenses (Note 5) | 32,161 | |
TOTAL LIABILITIES | 866,818 | |
Net assets for 27,210,514 shares outstanding | $297,212,082 | |
Net Assets Consist of: | ||
Paid-in capital | $292,205,352 | |
Net unrealized appreciation of investments and futures contracts | 3,738,312 | |
Accumulated net realized gain on investments and futures contracts | 1,102,557 | |
Undistributed net investment income | 165,861 | |
TOTAL NET ASSETS | $297,212,082 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Institutional Shares: | ||
Net asset value per share ($209,692,366 ÷ 19,197,129 shares outstanding), no par value, unlimited shares authorized | $10.92 | |
Service Shares: | ||
Net asset value per share ($63,729,998 ÷ 5,835,097 shares outstanding), no par value, unlimited shares authorized | $10.92 | |
Class R6 Shares: | ||
Net asset value per share ($23,789,718 ÷ 2,178,288 shares outstanding), no par value, unlimited shares authorized | $10.92 |
Investment Income: | |||
Interest (including $28,618 received from an affiliated holding and income on securities loaned of $86,241) | $5,407,119 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $696,399 | ||
Administrative fee (Note 5) | 182,787 | ||
Custodian fees | 12,023 | ||
Transfer agent fee (Note 2) | 153,845 | ||
Directors'/Trustees' fees (Note 5) | 7,062 | ||
Auditing fees | 14,821 | ||
Legal fees | 4,994 | ||
Portfolio accounting fees | 85,089 | ||
Distribution services fee (Note 5) | 91,503 | ||
Other service fees (Notes 2 and 5) | 86,475 | ||
Share registration costs | 31,721 | ||
Printing and postage | 15,362 | ||
Miscellaneous (Note 5) | 15,547 | ||
TOTAL EXPENSES | 1,397,628 | ||
Waivers and Reimbursements: | |||
Waiver/reimbursement of investment adviser fee (Note 5) | $(387,821) | ||
Waiver/reimbursement of other operating expenses (Notes 2 and 5) | (148,189) | ||
TOTAL WAIVERS AND REIMBURSEMENTS | (536,010) | ||
Net expenses | 861,618 | ||
Net investment income | 4,545,501 | ||
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |||
Net realized gain on investments | 4,715,544 | ||
Net realized gain on futures contracts | 129,038 | ||
Net change in unrealized appreciation of investments | (389,982) | ||
Net change in unrealized appreciation of futures contracts | 26,832 | ||
Net realized and unrealized gain on investments and futures contracts | 4,481,432 | ||
Change in net assets resulting from operations | $9,026,933 |
Six Months Ended (unaudited) 8/31/2017 | Year Ended 2/28/2017 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $4,545,501 | $11,553,119 |
Net realized gain on investments and futures contracts | 4,844,582 | 1,789,077 |
Net change in unrealized appreciation/depreciation of investments and futures contracts | (363,150) | (17,244,345) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 9,026,933 | (3,902,149) |
Distributions to Shareholders: | ||
Distributions from net investment income | ||
Institutional Shares | (3,512,145) | (9,592,935) |
Service Shares | (588,471) | (1,649,764) |
Class R6 Shares | (298,918) | (105,877) |
Distributions from net realized gain on investments and futures contracts | ||
Institutional Shares | — | (2,054,103) |
Service Shares | — | (409,372) |
Class R6 Shares | — | (71,052) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (4,399,534) | (13,883,103) |
Share Transactions: | ||
Proceeds from sale of shares | 55,460,910 | 112,182,565 |
Net asset value of shares issued to shareholders in payment of distributions declared | 3,473,288 | 11,824,123 |
Cost of shares redeemed | (306,061,053) | (206,596,797) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (247,126,855) | (82,590,109) |
Change in net assets | (242,499,456) | (100,375,361) |
Net Assets: | ||
Beginning of period | 539,711,538 | 640,086,899 |
End of period (including undistributed net investment income of $165,861 and $19,894, respectively) | $297,212,082 | $539,711,538 |
■ | 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. |
Transfer Agent Fees Incurred | Transfer Agent Fees Reimbursed | |
Institutional Shares | $129,882 | $(83,035) |
Service Shares | 21,432 | — |
Class R6 Shares | 2,531 | — |
TOTAL | $153,845 | $(83,035) |
Other Service Fees Incurred | |
Service Shares | $86,475 |
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 on futures contracts | $(26,832)* |
* | Includes cumulative appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day's variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $129,038 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $26,832 |
Six Months Ended 8/31/2017 | Year Ended 2/28/2017 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 2,143,916 | $23,180,466 | 5,943,344 | $65,807,311 |
Shares issued to shareholders in payment of distributions declared | 243,954 | 2,639,576 | 884,089 | 9,714,776 |
Shares redeemed | (23,559,019) | (253,914,571) | (13,463,045) | (147,688,264) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | (21,171,149) | $(228,094,529) | (6,635,612) | $(72,166,177) |
Six Months Ended 8/31/2017 | Year Ended 2/28/2017 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 727,296 | $7,874,778 | 1,728,221 | $19,151,876 |
Shares issued to shareholders in payment of distributions declared | 50,021 | 541,645 | 175,797 | 1,932,824 |
Shares redeemed | (2,340,055) | (25,337,514) | (5,157,359) | (57,017,318) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (1,562,738) | $(16,921,091) | (3,253,341) | $(35,932,618) |
Six Months Ended 8/31/2017 | Period Ended 2/28/20171 | ||||
Class R6 Shares: | Shares | Amount | Shares | Amount | |
Shares sold | 2,264,289 | $24,405,666 | 2,515,516 | $27,223,378 | |
Shares issued to shareholders in payment of distributions declared | 26,978 | 292,067 | 16,402 | 176,523 | |
Shares redeemed | (2,469,138) | (26,808,968) | (175,759) | (1,891,215) | |
NET CHANGE RESULTING FROM CLASS R6 SHARE TRANSACTIONS | (177,871) | $(2,111,235) | 2,356,159 | $25,508,686 | |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (22,911,758) | $(247,126,855) | (7,532,794) | $(82,590,109) |
1 | Reflects operations for the period from June 29, 2016 (date of initial investment) to February 28, 2017. |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.150% | on the first $5 billion |
0.125% | on the next $5 billion |
0.100% | on the next $10 billion |
0.075% | on assets in excess of $20 billion |
Distribution Services Fees Incurred | Distribution Services Fees Waived | |
Service Shares | $91,503 | $(65,154) |
Purchases | $0 |
Sales | $94,985,038 |
Administrative Services Fee Rate | Average Daily Net Assets of the Investment Complex |
0.100 of 1% | on assets up to $50 billion |
0.075 of 1% | on assets over $50 billion |
Beginning Account Value 3/1/2017 | Ending Account Value 8/31/2017 | Expenses Paid During Period1 | |
Actual: | |||
Institutional Shares | $1,000 | $1,023.90 | $1.63 |
Service Shares | $1,000 | $1,022.20 | $3.36 |
Class R6 Shares | $1,000 | $1,024.00 | $1.58 |
Hypothetical (assuming a 5% return before expenses): | |||
Institutional Shares | $1,000 | $1,023.60 | $1.63 |
Service Shares | $1,000 | $1,021.90 | $3.36 |
Class R6 Shares | $1,000 | $1,023.60 | $1.58 |
1 | Expenses are equal to the Fund'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 | 0.32% |
Service Shares | 0.66% |
Class R6 Shares | 0.31% |
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31429A204
CUSIP 31429A303
2017 ©Federated Investors, Inc.
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Exhibits |
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant Federated Total Return Government Bond Fund
By /S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
Date October 23, 2017
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, 2017
By /S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
Date October 23, 2017