United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-Q
Quarterly Schedule of Portfolio Holdings of Registered Management Investment Companies
811-6307
(Investment Company Act File Number)
Federated Intermediate Government Fund, Inc.
___________________________________________
(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: Quarter ended 05/31/2012
Item 1. Schedule of Investments
Federated Intermediate Government Fund, Inc.
Principal Amount |
Value |
GOVERNMENT AGENCIES 43.1% |
Federal Home Loan Bank System 20.4% |
$2,500,000 | 3.625%, 5/29/2013 | 2,584,741 |
2,500,000 | 1 | 5.000%, 11/17/2017 | 3,034,440 |
TOTAL | 5,619,181 |
Federal Home Loan Mortgage Corporation 17.0% |
2,000,000 | 3.750%, 3/27/2019 | 2,314,116 |
2,250,000 | 4.500%, 7/15/2013 | 2,358,189 |
TOTAL | 4,672,305 |
Federal National Mortgage Association 5.7% |
1,500,000 | 1.625%, 10/26/2015 | 1,550,101 |
TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST $11,186,034) |
11,841,587 |
Mortgage-Backed Securities 21.5% |
Federal Home Loan Mortgage Corporation 7.9% |
2,050,104 | 4.500%, 11/1/2017 - 11/1/2026 | 2,180,540 |
1,511 | 6.500%, 12/1/2015 | 1,618 |
TOTAL | 2,182,158 |
Federal National Mortgage Association 13.6% |
1,771,125 | 3.500%, 2/1/2026 | 1,869,852 |
1,760,167 | 4.000%, 6/1/2026 | 1,868,258 |
TOTAL | 3,738,110 |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $5,878,887) |
5,920,268 |
Collateralized Mortgage Obligations 29.3% |
Federal Home Loan Mortgage Corporation 4.3% |
167,583 | REMIC 2411 FJ, 0.589%, 12/15/2029 | 166,711 |
882,742 | REMIC 2458 FB, 1.239%, 1/15/2032 | 894,700 |
126,702 | REMIC 2534 FI, 1.139%, 2/15/2032 | 128,100 |
TOTAL | 1,189,511 |
Federal National Mortgage Association 25.0% |
112,587 | REMIC 1993-220 FA, 0.850%, 11/25/2013 | 112,857 |
1,623,926 | REMIC 1999-51 F, 0.739%, 9/17/2029 | 1,625,933 |
818,000 | REMIC 2003-76 CA, 3.750%, 7/25/2033 | 849,399 |
1,408,387 | REMIC 2006-58 FP, 0.539%, 7/25/2036 | 1,406,424 |
1,642,342 | REMIC 2006-85 PF, 0.619%, 9/25/2036 | 1,640,468 |
1,246,589 | REMIC 370 F21, 0.539%, 6/1/2036 | 1,244,630 |
TOTAL | 6,879,711 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $8,051,577) |
8,069,222 |
U.S. Treasury 1.8% |
U.S. Treasury Notes 1.8% |
500,000 |
United States Treasury Notes, 1.750%, 5/15/2022 (IDENTIFIED COST $501,071) |
508,242 |
Repurchase Agreements 8.4% |
1,040,000 | Interest in $4,190,000,000 joint repurchase agreement 0.21%, dated 5/31/2012 under which Bank of America, N.A. will repurchase securities provided as collateral for $4,190,024,442 on 6/1/2012. 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 7/25/2041 and the market value of those underlying securities was $4,299,453,202. | 1,040,000 |
Principal Amount |
Value |
$1,262,000 | Interest in $4,190,000,000 joint repurchase agreement 0.21%, dated 5/31/2012 under which Bank of America, N.A. will repurchase securities provided as collateral for $4,190,024,442 on 6/1/2012. 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 7/25/2041 and the market value of those underlying securities was $4,299,453,202 (purchased with proceeds from securities lending collateral). | 1,262,000 |
TOTAL REPURCHASE AGREEMENTS (AT COST) | 2,302,000 |
TOTAL INVESTMENTS — 104.1% (IDENTIFIED COST $27,919,569)2 |
28,641,319 |
OTHER ASSETS AND LIABILITIES - NET — (4.1)%3 | (1,137,170) |
TOTAL NET ASSETS — 100% | $27,504,149 |
At May 31, 2012, the Fund had the following outstanding futures contracts:
Description |
Number of Contracts |
Notional Value |
Expiration Date |
Unrealized Appreciation (Depreciation) |
4 United States Treasury Bond 30-Year Long Futures | 4 | $598,875 | September 2012 | $14,085 |
4 United States Treasury Notes 5- Year Long Futures | 40 | $4,967,500 | September 2012 | $21,902 |
4 United States Treasury Notes 2-Year Long Futures | 45 | $9,918,281 | September 2012 | $9,112 |
4 United States Treasury Notes 10-Year Short Futures | 20 | $2,678,750 | September 2012 | $(32,701) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $12,398 |
The average notional value of long and short futures contracts held by the Fund throughout the period was $13,529,949 and $1,982,187, respectively. This is based on amounts held as of each month-end throughout the period.
Net Unrealized Appreciation on Futures Contracts is included in “Other Assets and Liabilities — Net.”
1 | All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. |
As of May 31, 2012, securities subject to this type of arrangement and related collateral were as follows: |
Market Value of Securities on loan |
Market Value of Collateral |
$1,213,776 | $1,262,000 |
2 | At May 31, 2012, the cost of investments for federal tax purposes was $27,919,569. The net unrealized appreciation of investments for federal tax purposes excluding any unrealized appreciation/depreciation resulting from futures contracts was $721,750. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $746,890 and net unrealized depreciation from investments for those securities having an excess of cost over value of $25,140. |
3 | Assets, other than investments in securities, less liabilities. |
4 | Non-income producing security. |
Note: The categories of investments are shown as a percentage of total net assets at May 31, 2012.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
If the Fund cannot obtain a price or price evaluation from a pricing service for an investment, the Fund may attempt to value the investment based upon the mean of bid and asked quotations or fair value the investment based on price evaluations, from one or more dealers. If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, 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 purchase or sell an investment at the price used to calculate the Fund's NAV.
The Directors have authorized the use of pricing services to provide evaluations of the current fair value of certain investments for purposes of calculating the NAV. 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 U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for other types of fixed-income securities and 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 Directors.
The Directors also have adopted procedures requiring an investment to be priced at its fair value whenever the Adviser determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
The Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Fund will determine the fair value of the investment using another method approved by the Directors.
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, including investment companies with daily net asset values, if applicable. 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 May 31, 2012, in valuing the Fund's assets carried at fair value:
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: | ||||
Government Agencies | $ — | $11,841,587 | $ — | $11,841,587 |
Mortgage-Backed Securities | — | 5,920,268 | — | 5,920,268 |
Collateralized Mortgage Obligations | — | 8,069,222 | — | 8,069,222 |
U.S. Treasury | — | 508,242 | — | 508,242 |
Repurchase Agreements | — | 2,302,000 | — | 2,302,000 |
TOTAL SECURITIES | $ — | $28,641,319 | $ — | $28,641,319 |
OTHER FINANCIAL INSTRUTMENTS* | $12,398 | $ — | $ — | $12,398 |
* | Other financial instruments include futures contracts. |
The following acronym is used throughout this portfolio:
REMIC | — Real Estate Mortgage Investment Conduit |
Item 2. Controls and Procedures
(a) The registrant’s Principal Executive Officer and Principal Financial Officer 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-Q.
(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 last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits
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 Intermediate Government Fund, Inc.
By /S/ Richard A. Novak_
Richard A. Novak
Principal Financial Officer
Date July 19, 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 July 19, 2012
By /S/ Richard A. Novak
Richard A. Novak
Principal Financial Officer
Date July 19, 2012
N-Q Item 3- Exhibits: Certifications
I, J. Christopher Donahue, certify that:
A. | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
Date: July 19, 2012
/S/ J. Christopher Donahue
J. Christopher Donahue
President - Principal Executive Officer
N-Q Item 3- Exhibits: Certifications
I, Richard A. Novak, certify that:
A. | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
Date: July 19, 2012
/S/ Richard A. Novak
Richard A. Novak
Treasurer - Principal Financial Officer