Principal Amount or Shares | Value | ||
U.S. TREASURIES—42.4% | |||
$5,000,000 | 0.500%, 3/15/2023 | $5,043,209 | |
5,000,000 | 1.375%, 1/31/2022 | 5,099,418 | |
11,000,000 | 1 | 1.375%, 2/15/2023 | 11,352,730 |
5,000,000 | 1.500%, 1/15/2023 | 5,171,536 | |
8,000,000 | 1.500%, 3/31/2023 | 8,295,848 | |
5,000,000 | 1.625%, 12/31/2021 | 5,113,648 | |
4,000,000 | 1.625%, 12/15/2022 | 4,146,068 | |
5,000,000 | 1.750%, 2/28/2022 | 5,136,497 | |
5,000,000 | 1.750%, 6/15/2022 | 5,160,627 | |
5,000,000 | 1.875%, 1/31/2022 | 5,140,558 | |
5,000,000 | 1.875%, 9/30/2022 | 5,196,149 | |
5,000,000 | 2.000%, 11/15/2021 | 5,132,636 | |
6,000,000 | 2.250%, 4/15/2022 | 6,231,784 | |
3,000,000 | 2.875%, 11/15/2021 | 3,117,195 | |
TOTAL U.S. TREASURIES (IDENTIFIED COST $77,121,251) | 79,337,903 | ||
GOVERNMENT AGENCIES—42.6% | |||
Federal Farm Credit System—3.7% | |||
2,000,000 | 0.875%, 4/8/2024 | 2,005,460 | |
5,000,000 | 1.840%, 9/9/2022 | 5,013,676 | |
TOTAL | 7,019,136 | ||
Federal Home Loan Bank System—19.7% | |||
5,000,000 | 0.600%, 7/27/2022 | 5,000,496 | |
5,000,000 | 1.375%, 2/17/2023 | 5,147,972 | |
6,000,000 | 1.700%, 1/24/2024 | 6,120,084 | |
3,000,000 | 1.800%, 11/4/2022 | 3,018,788 | |
5,000,000 | 2.125%, 6/10/2022 | 5,189,676 | |
6,780,000 | 2.250%, 12/8/2023 | 7,229,723 | |
5,000,000 | 3.000%, 10/12/2021 | 5,191,938 | |
TOTAL | 36,898,677 | ||
Federal Home Loan Mortgage Corporation—8.9% | |||
5,000,000 | 0.375%, 4/20/2023 | 5,011,737 | |
5,000,000 | 0.375%, 5/5/2023 | 5,008,505 | |
2,000,000 | 1.200%, 4/6/2022 | 2,002,022 | |
4,625,000 | 2.400%, 6/10/2022 | 4,627,594 | |
TOTAL | 16,649,858 | ||
Federal National Mortgage Association—10.3% | |||
2,000,000 | 0.250%, 5/22/2023 | 1,995,105 | |
3,000,000 | 0.450%, 6/1/2023 | 2,998,808 | |
5,000,000 | 2.375%, 1/19/2023 | 5,283,395 | |
5,000,000 | 2.625%, 1/11/2022 | 5,194,751 | |
3,750,000 | 2.750%, 6/22/2021 | 3,850,152 | |
TOTAL | 19,322,211 | ||
TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST $79,017,446) | 79,889,882 |
Principal Amount or Shares | Value | ||
2 | COLLATERALIZED MORTGAGE OBLIGATIONS—14.2% | ||
Federal Home Loan Mortgage Corporation—5.3% | |||
$2,677,986 | REMIC, Series 4057, Class FN, 0.533% (1-month USLIBOR +0.350%), 12/15/2041 | $2,664,119 | |
3,066,122 | REMIC, Series 4856, Class FD, 0.483% (1-month USLIBOR +0.300%), 8/15/2040 | 3,054,933 | |
4,157,053 | REMIC, Series 4875, Class F, 0.633% (1-month USLIBOR +0.450%), 4/15/2049 | 4,162,715 | |
TOTAL | 9,881,767 | ||
Federal National Mortgage Association—8.9% | |||
3,285,459 | REMIC, Series 2010-35, Class FG, 0.768% (1-month USLIBOR +0.600%), 4/25/2040 | 3,306,794 | |
3,069,650 | REMIC, Series 2012-103, Class NF, 0.568% (1-month USLIBOR +0.400%), 9/25/2042 | 3,067,906 | |
3,400,758 | REMIC, Series 2016-103, Class LF, 0.668% (1-month USLIBOR +0.500%), 1/25/2047 | 3,400,085 | |
4,479,202 | REMIC, Series 2016-8, Class FA, 0.618% (1-month USLIBOR +0.450%), 3/25/2046 | 4,464,327 | |
1,344,949 | REMIC, Series 2018-4, Class FM, 0.468% (1-month USLIBOR +0.300%), 2/25/2048 | 1,340,092 | |
1,168,023 | REMIC, Series 2018-64, Class FE, 0.468% (1-month USLIBOR +0.300%), 9/25/2048 | 1,162,011 | |
TOTAL | 16,741,215 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $26,601,224) | 26,622,982 | ||
INVESTMENT COMPANY—2.0% | |||
3,750,463 | Federated Government Obligations Fund, Premier Shares, 0.13%3 (IDENTIFIED COST $3,750,463) | 3,750,463 | |
TOTAL INVESTMENT IN SECURITIES—101.2% (IDENTIFIED COST $186,490,384) | 189,601,230 | ||
OTHER ASSETS AND LIABILITIES - NET—(1.2)%4 | (2,160,301) | ||
TOTAL NET ASSETS—100% | $187,440,929 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation | |
Long Futures: | |||||
5United States Treasury Note 2-Year Long Futures | 135 | $29,813,906 | September 2020 | $9,137 |
Federated Government Obligations Fund, Premier Shares | |
Balance of Shares Held 2/29/2020 | 2,027,215 |
Purchases/Additions | 56,114,234 |
Sales/Reductions | (54,390,986) |
Balance of Shares Held 5/31/2020 | 3,750,463 |
Value | $3,750,463 |
Change in Unrealized Appreciation/Depreciation | N/A |
Net Realized Gain/(Loss) | N/A |
Dividend Income | $4,520 |
1 | Pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding long futures contracts. |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | 7-day net yield. |
4 | Assets, other than investments in securities, less liabilities. |
5 | Non-income-producing security. |
■ | 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. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
U.S. Treasuries | $— | $79,337,903 | — | $79,337,903 |
Government Agencies | — | 79,889,882 | — | 79,889,882 |
Collateralized Mortgage Obligations | — | 26,622,982 | — | 26,622,982 |
Investment Company | 3,750,463 | — | — | 3,750,463 |
TOTAL SECURITIES | $3,750,463 | $185,850,767 | $— | $189,601,230 |
Other Financial Instruments1 | ||||
Assets | $9,137 | $— | $— | $9,137 |
Liabilities | — | — | — | — |
TOTAL OTHER FINANCIAL INSTRUMENTS | $9,137 | $— | $— | $9,137 |
1 | Other financial instruments are futures contracts. |
LIBOR | —London Interbank Offered Rate |
REMIC | —Real Estate Mortgage Investment Conduit |