United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-8042
(Investment Company Act File Number)
Federated Insurance Series
_______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Investors Funds
4000 Ericsson Drive
Warrendale, Pennsylvania 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: 12/31/14
Date of Reporting Period: 12/31/14
Item 1. Reports to Stockholders
Share Class |
Primary |
Service |
1 | Please see the footnotes to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the S&P 500. |
2 | Please see the footnotes to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the BAB. |
3 | Please see the footnotes to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the Blended Index. The Blended Index is being used for comparison purposes because, although it is not the Fund's broad-based securities market index, the Fund's Adviser believes it more closely reflects the market sectors in which the Fund invests. |
4 | The MSCI Emerging Markets Index captures large- and mid-cap representation across 23 EM countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country. The index is unmanaged, and it is not possible to invest directly in an index. |
5 | The MSCI ACWI ex USA captures large- and mid-cap representation across 22 of 23 Developed Markets (DM) countries (excluding the U.S.) and 23 EM countries. The index covers approximately 85% of the global equity opportunity set outside the U.S. The index is unmanaged, and it is not possible to invest directly in an index. |
6 | The Barclays U.S. TIPS Index represents a market index made up of U.S. TIPS. The index is unmanaged, and it is not possible to invest directly in an index. |
7 | The DBIQ Optimum Yield Diversified Commodity Index is based on 14 commodities drawn from the energy, precious metals, industrial metals and agriculture sectors. The index is unmanaged, and it is not possible to invest directly in an index. |
8 | International investing involves special risks including currency risk, increased volatility, political risks and differences in auditing and other financial standards. Prices of emerging markets securities can be significantly more volatile than the prices of securities in developed countries and currency risk and political risks are accentuated in emerging markets. |
9 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
10 | Diversification does not assure a profit nor protect against loss. |
11 | The respective benchmark for Federated Equity Income Fund is the Russell 1000® Value Index which measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower expected growth values. The respective benchmark for Federated InterContinental Fund is the MSCI All Country World ex USA Index is discussed above in footnote 3. The indexes are unmanaged, and it is not possible to invest directly in an index. |
12 | The Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values. The index is unmanaged, and it is not possible to invest directly in an index. |
Federated Managed Tail Risk Fund II - | Primary Shares | Service Shares | S&P 500 | Blended Index |
F | F | I | I | |
12/31/2004 | 10,000 | 10,000 | 10,000 | 10,000 |
12/31/2005 | 10,191 | 10,170 | 10,491 | 10,400 |
12/31/2006 | 11,844 | 11,774 | 12,148 | 11,557 |
12/31/2007 | 13,014 | 12,910 | 12,816 | 12,276 |
12/31/2008 | 9,192 | 9,080 | 8,074 | 9,567 |
12/31/2009 | 10,431 | 10,284 | 10,211 | 11,327 |
12/31/2010 | 11,795 | 11,622 | 11,749 | 12,701 |
12/31/2011 | 11,171 | 10,982 | 11,997 | 13,296 |
12/31/2012 | 12,307 | 12,083 | 13,917 | 14,800 |
12/31/2013 | 14,332 | 14,030 | 18,425 | 17,398 |
12/31/2014 | 14,193 | 13,843 | 20,947 | 19,246 |
1 Year | 5 Years | 10 Years | |
Primary Shares | -0.97% | 6.35% | 3.56% |
Service Shares | -1.33% | 6.12% | 3.31% |
S&P 500 | 13.69% | 15.45% | 7.67% |
Blended Index | 10.62% | 11.18% | 6.77% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The S&P 500 has been adjusted to reflect reinvestment of dividends on securities in the index. |
2 | The S&P 500 is a capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The Barclays U.S. Aggregate Bond index measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities and commercial mortgage-backed securities. The indexes are not adjusted to reflect sales loads, expenses or other fees that the Securities and Exchange Commission (SEC) requires to be reflected in the Fund's performance. The indexes are unmanaged and, unlike the Fund, are not affected by cash flows. It is not possible to invest directly in an index. |
Sector | Percentage of Total Net Assets |
Securities Sold Short | (2.7)% |
Derivative Contracts—Short (notional value)2 | (1.6)% |
Domestic Equity Securities | 39.7% |
International Equity Securities | 21.1% |
U.S. Treasury Securities | 7.7% |
Trade Finance Agreements | 6.0% |
Domestic Fixed-Income Securities | 4.6% |
Floating Rate Loan | 2.8% |
U.S. Government Agency Mortgage-Backed Securities | 1.9% |
International Fixed-Income Securities | 1.7% |
Non-Agency Mortgage-Backed Securities | 0.3% |
Asset-Backed Securities | 0.2% |
Foreign Governments/Agencies | 0.2% |
U.S. Government Agency Securities3 | 0.0% |
Adjustment for Derivative Contracts (notional value)2 | 1.6% |
Derivative Contracts4 | 0.1% |
Other Security Types5 | 4.9% |
Cash Equivalents6 | 9.6% |
Other Assets and Liabilities—Net7 | 1.9% |
TOTAL | 100.0% |
1 | See the Fund's Prospectus for a description of the principal types of securities in which the Fund invests. As of the date specified above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, the affiliated investment company (other than an affiliated money market mutual fund) is not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata portion of each security and each other asset and liability owned by the affiliated investment company. Accordingly, the percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. |
2 | Represents the notional value of S&P 500 futures contracts held by the Federated Prudent Bear Fund. |
3 | Represents less than 0.1%. |
4 | 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. |
5 | Other Security Types consist of exchange-traded funds, purchased swaptions and purchased options. |
6 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
7 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Shares or Principal Amount | Value | ||
INVESTMENT COMPANIES—84.8%1 | |||
15,758 | Emerging Markets Fixed Income Core Fund | $541,334 | |
619,287 | Federated Bank Loan Core Fund | 6,192,869 | |
882,546 | Federated Clover Small Value Fund, Institutional Shares | 21,984,223 | |
3,134,669 | Federated Equity Income Fund, Inc., Institutional Shares | 74,761,868 | |
442,409 | Federated InterContinental Fund, Institutional Shares | 21,324,110 | |
985,728 | Federated Intermediate Corporate Bond Fund, Institutional Shares | 9,364,419 | |
42,805 | Federated International Leaders Fund, Class R6 | 1,368,909 | |
3,157,059 | Federated International Strategic Value Dividend Fund, Institutional Shares | 12,438,813 | |
505,336 | Federated Mortgage Core Portfolio | 5,038,201 | |
1,790,243 | Federated Project and Trade Finance Core Fund | 16,917,794 | |
5,406,092 | Federated Prudent Bear Fund, Institutional Shares | 12,325,891 | |
503,544 | Federated Strategic Value Dividend Fund, Institutional Shares | 2,975,946 | |
956 | Federated U.S. Gov't Securities Fund: 2-5 Years, Institutional Shares | 10,550 | |
289,963 | High Yield Bond Portfolio | 1,838,368 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $191,947,031) | 187,083,295 | ||
CORPORATE BONDS—0.6% | |||
$25,000 | Advance Auto Parts, Inc., 4.500%, 12/01/2023 | 26,538 | |
60,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.000%, 01/31/2024 | 62,674 | |
150,000 | American Honda Finance Co, Unsecd. Deb., Series MTN, 2.250%, 08/15/2019 | 150,581 | |
60,000 | Atmos Energy Corp., Sr. Unsecd. Note, 4.125%, 10/15/2044 | 62,465 | |
20,000 | BB&T Corp., Sr. Unsecd. Note, Series MTN, 2.250%, 02/01/2019 | 20,060 | |
100,000 | Becton, Dickinson and Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 108,139 | |
100,000 | Canadian Natural Resources Ltd., 3.900%, 02/01/2025 | 98,780 | |
22,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 03/01/2023 | 22,442 | |
30,000 | Comerica, Inc., 3.800%, 07/22/2026 | 30,283 | |
50,000 | 2,3 | Embraer Overseas Ltd., Sr. Unsecd. Note, Series 144A, 5.696%, 09/16/2023 | 53,550 |
40,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 02/01/2024 | 41,990 | |
50,000 | Exelon Generation Co. LLC, Sr. Unsecd. Note, 4.250%, 06/15/2022 | 52,042 | |
40,000 | 2,3 | Liberty Mutual Group, Inc., 4.850%, Series 144A, 8/01/2044 | 40,819 |
15,000 | Mondelez International, Inc., Sr. Unsecd. Note, 4.000%, 02/01/2024 | 15,723 | |
25,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.700%, 09/15/2019 | 25,285 | |
50,000 | ProLogis LP, Sr. Unsecd. Note, 3.350%, 02/01/2021 | 50,738 | |
100,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 4.600%, 05/15/2044 | 105,825 | |
25,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 03/01/2024 | 26,170 | |
125,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 5.150%, 09/15/2023 | 138,127 | |
25,000 | Viacom, Inc., Sr. Unsecd. Note, 3.875%, 04/01/2024 | 25,143 | |
90,000 | Williams Partners LP, 4.900%, 01/15/2045 | 84,611 | |
55,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.550%, 04/15/2026 | 58,342 | |
TOTAL CORPORATE BONDS (IDENTIFIED COST $1,200,042) | 1,300,327 | ||
ASSET-BACKED SECURITIES—0.1% | |||
150,000 | American Express Credit Account Master Trust 2014-1, A, 0.521%, 12/15/2021 | 149,486 | |
125,000 | Capital One Multi Asset Execution Trust 2014-A4, A, 0.516%, 06/15/2022 | 125,062 | |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $275,000) | 274,548 |
Shares or Principal Amount | Value | ||
COLLATERALIZED MORTGAGE OBLIGATION—0.0% | |||
$105,000 | WF-RBS Commercial Mortgage Trust 2014-C25 B, 4.236%, 11/15/2047 (IDENTIFIED COST $108,148) | $109,926 | |
EXCHANGE-TRADED FUNDS—4.9% | |||
87,302 | iShares Dow Jones U.S. Real Estate Index Fund | 6,708,286 | |
222,237 | 4 | PowerShares DB Commodity Index Tracking Fund | 4,100,272 |
TOTAL EXCHANGE-TRADED FUNDS (IDENTIFIED COST $12,253,844) | 10,808,558 | ||
U.S. TREASURY—4.2% | |||
744,066 | U.S. Treasury Inflation-Protected Bond, Series TIPS of, 1.375%, 02/15/2044 | 848,468 | |
1,552,813 | U.S. Treasury Inflation-Protected Bond, Series TIPS of, 1.750%, 01/15/2028 | 1,763,089 | |
988,148 | U.S. Treasury Inflation-Protected Note, Series A-2024, 0.625%, 01/15/2024 | 996,550 | |
880,920 | U.S. Treasury Inflation-Protected Note, Series D-2018, 1.375%, 07/15/2018 | 923,337 | |
1,646,266 | U.S. Treasury Inflation-Protected Note, Series D-2020, 1.250%, 07/15/2020 | 1,732,459 | |
610,018 | U.S. Treasury Inflation-Protected Note, Series D-2024, 0.125%, 07/15/2024 | 589,859 | |
1,278,003 | U.S. Treasury Inflation-Protected Note, Series W-2016, 0.125%, 04/15/2016 | 1,273,942 | |
506,685 | U.S. Treasury Inflation-Protected Note, Series X-2019, 0.125%, 04/15/2019 | 502,021 | |
30,000 | United States Treasury Bond, 3.000%, 11/15/2044 | 31,521 | |
214,000 | United States Treasury Bond, 3.125%, 08/15/2044 | 230,245 | |
234,000 | United States Treasury Bond, 3.375%, 05/15/2044 | 263,494 | |
TOTAL U.S. TREASURY (IDENTIFIED COST $9,186,683) | 9,154,985 | ||
REPURCHASE AGREEMENT—5.3% | |||
11,638,000 | Interest in $750,000,000 joint repurchase agreement 0.08%, dated 12/31/2014 under which Bank of America, N.A. will repurchase securities provided as collateral for $750,003,333 on 1/2/2015. The securities provided as collateral at the end of the period held with BNY Mellon as 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 $771,487,729. (AT COST) | 11,638,000 | |
TOTAL INVESTMENTS—99.9% (IDENTIFIED COST $226,608,748)5 | 220,369,639 | ||
OTHER ASSETS AND LIABILITIES - NET—0.1%6 | 229,328 | ||
TOTAL NET ASSETS—100% | $220,598,967 |
Description | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation) |
4United States Long Bond Long Futures | 3 | $433,688 | March 2015 | $12,379 |
4United States Ultra Bond Long Futures | 2 | $330,375 | March 2015 | $6,839 |
4United States Treasury Notes 2-Year Long Futures | 22 | $4,809,063 | March 2015 | $(2,330) |
4United States Treasury Notes 5-Year Short Futures | 11 | $1,308,227 | March 2015 | $61 |
4United States Treasury Notes 10-Year Short Futures | 13 | $1,648,359 | March 2015 | $(8,826) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $8,123 |
1 | Affiliated holdings. |
2 | Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At December 31, 2014, these restricted securities amounted to $94,369, which represented 0.0% of total net assets. |
3 | Denotes a restricted security that may be resold without restriction to “qualified institutional buyers” as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund's Board of Trustees (the “Trustees”). At December 31, 2014, these liquid restricted securities amounted to $94,369, which represented 0.0% of total net assets. |
4 | Non-income-producing security. |
5 | The cost of investments for federal tax purposes amounts to $227,039,672. |
6 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices and Investments in Certain Investment Companies | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Investment Companies1 | $156,554,729 | $30,528,5662 | $— | $187,083,295 |
Debt Securities: | ||||
Corporate Bonds | — | 1,300,327 | — | 1,300,327 |
Asset-Backed Securities | — | 274,548 | — | 274,548 |
Collateralized Mortgage Obligation | — | 109,926 | — | 109,926 |
Exchange-Traded Funds | 10,808,558 | — | — | 10,808,558 |
U.S. Treasury | — | 9,154,985 | — | 9,154,985 |
Repurchase Agreement | — | 11,638,000 | — | 11,638,000 |
TOTAL SECURITIES | $167,363,287 | $53,006,352 | $— | $220,369,639 |
OTHER FINANCIAL INSTRUMENTS3 | $8,123 | $— | $— | $8,123 |
1 | Emerging Markets Fixed Income Core Fund, Federated Bank Loan Core Fund, Federated Mortgage Core Portfolio, Federated Project and Trade Finance Core Fund and High Yield Bond Portfolio are affiliated holdings offered only to registered investment companies and other accredited investors. Investments in these funds are deemed Level 2 due to the fact that the net asset value (the NAV) is not publicly available and, with respect to Federated Project and Trade Finance Core Fund, due to the fact that the price of shares redeemed may be determined as of the closing NAV of the fund up to twenty-four days after receipt of a shareholder redemption request. |
2 | Includes $7,350,240 of affiliated investment company holdings transferred from Level 1 to Level 2 because the Co-Advisers determined that these investments more appropriately meet the definition of Level 2. Transfers shown represent the value of the investments at the beginning of the period. |
3 | Other financial instruments include futures contracts. |
MTN | —Medium Term Note |
TIPS | —Treasury Inflation Protected Notes |
Year Ended December 31 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $7.06 | $6.25 | $6.02 | $6.40 | $5.72 |
Income From Investment Operations: | |||||
Net investment income | 0.081 | 0.111 | 0.07 | 0.04 | 0.04 |
Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions | (0.13) | 0.91 | 0.54 | (0.38) | 0.70 |
TOTAL FROM INVESTMENT OPERATIONS | (0.05) | 1.02 | 0.61 | (0.34) | 0.74 |
Less Distributions: | |||||
Distributions from net investment income | (0.12) | (0.07) | (0.03) | (0.04) | (0.06) |
Distributions from net realized gain on investments, futures contracts and foreign currency transactions | (1.34) | (0.14) | (0.35) | — | — |
TOTAL DISTRIBUTIONS | (1.46) | (0.21) | (0.38) | (0.04) | (0.06) |
Net Asset Value, End of Period | $5.55 | $7.06 | $6.25 | $6.02 | $6.40 |
Total Return2 | (0.97)% | 16.45% | 10.17% | (5.29)% | 13.07% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.30% | 0.50% | 1.04%3 | 1.13%3 | 1.18%3 |
Net investment income | 1.41% | 1.62% | 0.99% | 0.86% | 0.67% |
Expense waiver/reimbursement4 | 0.61% | 0.53% | 0.01% | 0.03% | 0.17% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $153,165 | $169,658 | $165,598 | $176,315 | $72,320 |
Portfolio turnover | 39% | 137% | 103% | 229% | 260% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratios are 1.04%, 1.13% and 1.18% for the years ended December 31, 2012, 2011 and 2010, respectively, after taking into account these expense reductions. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Year Ended December 31 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $7.07 | $6.26 | $6.02 | $6.40 | $5.71 |
Income From Investment Operations: | |||||
Net investment income | 0.081 | 0.141 | 0.06 | 0.04 | 0.02 |
Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions | (0.16) | 0.86 | 0.55 | (0.39) | 0.72 |
TOTAL FROM INVESTMENT OPERATIONS | (0.08) | 1.00 | 0.61 | (0.35) | 0.74 |
Less Distributions: | |||||
Distributions from net investment income | (0.11) | (0.05) | (0.02) | (0.03) | (0.05) |
Distributions from net realized gain on investments, futures contracts and foreign currency transactions | (1.34) | (0.14) | (0.35) | — | — |
TOTAL DISTRIBUTIONS | (1.45) | (0.19) | (0.37) | (0.03) | (0.05) |
Net Asset Value, End of Period | $5.54 | $7.07 | $6.26 | $6.02 | $6.40 |
Total Return2 | (1.33)% | 16.11% | 10.03% | (5.51)% | 13.01% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.54% | 0.75% | 1.29%3 | 1.40%3 | 1.43%3 |
Net investment income | 1.46% | 2.01% | 0.73% | 0.42% | 0.45% |
Expense waiver/reimbursement4 | 0.63% | 0.54% | 0.01% | 0.03% | 0.18% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $67,434 | $10,101 | $4,146 | $4,781 | $7,296 |
Portfolio turnover | 39% | 137% | 103% | 229% | 260% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratios are 1.29%, 1.40% and 1.43% for the years ended December 31, 2012, 2011 and 2010, respectively, after taking into account these expense reductions. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Total investment in securities, at value including $187,083,295 of investment in affiliated holdings (Note 5) (identified cost $226,608,748) | $220,369,639 | |
Cash | 747 | |
Cash denominated in foreign currencies (identified cost $57) | 50 | |
Restricted cash (Note 2) | 8,475 | |
Income receivable | 53,311 | |
Income receivable from affiliated holdings | 180,000 | |
Receivable for shares sold | 210,456 | |
TOTAL ASSETS | 220,822,678 | |
Liabilities: | ||
Payable for shares redeemed | $158,781 | |
Payable for daily variation margin | 2,000 | |
Payable to adviser (Note 5) | 1,337 | |
Payable for auditing fees | 25,500 | |
Payable for portfolio accounting fees | 11,674 | |
Payable for distribution services fee (Note 5) | 13,816 | |
Accrued expenses (Note 5) | 10,603 | |
TOTAL LIABILITIES | 223,711 | |
Net assets for 39,782,220 shares outstanding | $220,598,967 | |
Net Assets Consist of: | ||
Paid-in capital | $231,850,751 | |
Net unrealized depreciation of investments, futures contracts and translation of assets and liabilities in foreign currency | (6,230,993) | |
Accumulated net realized loss on investments and futures contracts | (8,579,824) | |
Undistributed net investment income | 3,559,033 | |
TOTAL NET ASSETS | $220,598,967 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
$153,164,768 ÷ 27,609,466 shares outstanding, no par value, unlimited shares authorized | $5.55 | |
Service Shares: | ||
$67,434,199 ÷ 12,172,754 shares outstanding, no par value, unlimited shares authorized | $5.54 |
Investment Income: | ||
Dividends (including $3,260,579 received from affiliated holdings (Note 5)) | $3,357,638 | |
Interest | 238,973 | |
Investment income allocated from affiliated partnership (Note 5) | 32,148 | |
TOTAL INCOME | 3,628,759 | |
Expenses: | ||
Investment adviser fee (Note 5) | $1,535,869 | |
Administrative fee (Note 5) | 160,133 | |
Custodian fees | 15,566 | |
Transfer agent fee | 21,753 | |
Directors'/Trustees' fees (Note 5) | 1,786 | |
Auditing fees | 26,000 | |
Legal fees | 13,320 | |
Portfolio accounting fees | 68,641 | |
Distribution services fee (Note 5) | 104,147 | |
Printing and postage | 16,597 | |
Miscellaneous (Note 5) | 8,500 | |
TOTAL EXPENSES | 1,972,312 | |
Waiver/reimbursement of investment adviser fee (Note 5) | (1,255,984) | |
Net expenses | 716,328 | |
Net investment income | 2,912,431 | |
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions: | ||
Net realized gain on investments (including realized gain of $841,708 on sales of investments in affiliated holdings (Note 5)) | 1,063,712 | |
Net realized loss on futures contracts | (4,167,442) | |
Net realized loss on investments, swap contracts and foreign currency transactions allocated from affiliated partnership (Note 5) | (6,210) | |
Realized gain distribution from affiliated investment company shares (Note 5) | 6,698,993 | |
Net change in unrealized appreciation of investments and translation of assets and liabilities in foreign currency | (9,284,929) | |
Net change in unrealized depreciation of futures contracts | 19,622 | |
Net realized and unrealized loss on investments, futures contracts and foreign currency transactions | (5,676,254) | |
Change in net assets resulting from operations | $(2,763,823) |
Year Ended December 31 | 2014 | 2013 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $2,912,431 | $2,873,115 |
Net realized gain on investments including allocation from partnership and futures contracts | 3,589,053 | 41,377,608 |
Net change in unrealized appreciation/depreciation of investments, futures contracts and translation of assets and liabilities in foreign currency | (9,265,307) | (17,408,858) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (2,763,823) | 26,841,865 |
Distributions to Shareholders: | ||
Distributions from net investment income | ||
Primary Shares | (2,874,468) | (1,738,489) |
Service Shares | (430,562) | (32,245) |
Distributions from net realized gain on investments and futures contracts | ||
Primary Shares | (31,489,099) | (3,555,556) |
Service Shares | (4,843,857) | (90,122) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (39,637,986) | (5,416,412) |
Share Transactions: | ||
Proceeds from sale of shares | 69,343,629 | 9,092,687 |
Net asset value of shares issued to shareholders in payment of distributions declared | 39,637,985 | 5,416,412 |
Cost of shares redeemed | (25,739,698) | (25,919,266) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 83,241,916 | (11,410,167) |
Change in net assets | 40,840,107 | 10,015,286 |
Net Assets: | ||
Beginning of period | 179,758,860 | 169,743,574 |
End of period (including undistributed net investment income of $3,559,033 and $3,303,165, respectively) | $220,598,967 | $179,758,860 |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market. |
■ | 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 Trustees. |
■ | Fixed-income securities and repurchase agreements 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), unless the issuer's creditworthiness is impaired or other factors indicate that amortized cost is not an accurate estimate of the investment's fair value, in which case it would be valued in the same manner as a longer-term security. |
■ | 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. |
■ | With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts; |
■ | Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; |
■ | 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. |
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 | $(8,123)* |
* | 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 | |
Interest rate contracts | $(4,167,442) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures | |
Interest rate contracts | $19,622 |
Year Ended December 31 | 2014 | 2013 | ||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 468,344 | $2,888,259 | 349,190 | $2,368,858 |
Shares issued to shareholders in payment of distributions declared | 6,125,413 | 34,363,567 | 800,915 | 5,294,045 |
Shares redeemed | (3,001,009) | (17,816,310) | (3,617,118) | (24,434,809) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | 3,592,748 | $19,435,516 | (2,467,013) | $(16,771,906) |
Year Ended December 31 | 2014 | 2013 | ||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 11,171,053 | $66,455,370 | 965,815 | $6,723,829 |
Shares issued to shareholders in payment of distributions declared | 940,181 | 5,274,418 | 18,457 | 122,367 |
Shares redeemed | (1,367,365) | (7,923,388) | (218,021) | (1,484,457) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 10,743,869 | $63,806,400 | 766,251 | $5,361,739 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 14,336,617 | $83,241,916 | (1,700,762) | $(11,410,167) |
Increase (Decrease) | ||
Paid-In Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) |
$(189) | $648,467 | $(648,278) |
2014 | 2013 | |
Ordinary income1 | $17,575,480 | $1,770,734 |
Long-term capital gains | $22,062,506 | $3,645,678 |
1 | For tax purposes, short-term capital gain distributions are considered ordinary income distributions. |
Undistributed ordinary income | $3,559,903 |
Undistributed long-term capital gains | $307,308 |
Net unrealized depreciation | $(6,670,040) |
Capital loss carryforwards and deferrals | $(8,448,955) |
Expiration Year | Short-Term | Long-Term | Total |
2016 | $6,189,290 | NA | $6,189,290 |
2017 | $2,259,665 | NA | $2,259,665 |
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 |
Share Class Name | Percentage of Average Daily Net Assets of Class |
Primary Shares | 0.25% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | |
Service Shares | $104,147 |
Balance of Shares Held 12/31/2013 | Purchases/ Additions | Sales/ Reductions | Balance of Shares Held 12/31/2014 | Value | Dividend Income/ Allocated Investment Income | Realized Gain Distribution/ Allocated Net Realized Gain (Loss) | |
Emerging Markets Fixed Income Core Fund | 22,938 | 11,613 | (18,793) | 15,758 | $541,334 | $32,148 | $(6,210) |
Federated Bank Loan Core Fund | — | 737,961 | (118,674) | 619,287 | $6,192,869 | $193,490 | $— |
Federated Clover Small Value Fund, Institutional Shares | 767,853 | 271,556 | (156,863) | 882,546 | $21,984,223 | $152,416 | $2,170,515 |
Federated Equity Income Fund, Inc., Institutional Shares | 2,596,500 | 757,968 | (219,799) | 3,134,699 | $74,761,868 | $1,343,193 | $4,376,625 |
Federated Inflation-Protected Securities Core Fund | 918,379 | 24,150 | (942,529) | — | $— | $— | $— |
Federated InterContinental Fund, Institutional Shares | 605,828 | 223,769 | (387,188) | 442,409 | $21,324,110 | $199,526 | $— |
Federated Intermediate Corporate Bond Fund, Institutional Shares | 663,449 | 609,695 | (287,416) | 985,728 | $9,364,419 | $315,682 | $11,244 |
Federated International Leaders Fund, Class R6 | — | 42,805 | — | 42,805 | $1,368,909 | $15,216 | $— |
Federated International Strategic Value Dividend Fund, Institutional Shares | — | 3,157,059 | — | 3,157,059 | $12,438,813 | $80,737 | $50,984 |
Federated Mortgage Core Portfolio | 357,898 | 351,119 | (203,681) | 505,336 | $5,038,201 | $139,765 | $— |
Federated Project and Trade Finance Core Fund | 1,618,369 | 199,700 | (27,826) | 1,790,243 | $16,917,794 | $665,603 | $(6,825) |
Federated Prudent Bear Fund, Institutional Shares | 3,599,066 | 2,887,835 | (1,080,809) | 5,406,092 | $12,325,891 | $— | $— |
Federated Strategic Value Dividend Fund, Institutional Shares | — | 503,544 | — | 503,544 | $2,975,946 | $24,103 | $77,312 |
Federated U.S. Gov't Securities Fund: 2-5 Years, Institutional Shares | 178,067 | 825 | (177,936) | 956 | $10,550 | $10,744 | $— |
High Yield Bond Portfolio | 281,058 | 161,025 | (152,120) | 289,963 | $1,838,368 | $120,104 | $19,138 |
TOTAL OF AFFILIATED TRANSACTIONS | 11,609,405 | 9,940,624 | (3,773,634) | 17,776,395 | $187,083,295 | $3,292,727 | $6,692,783 |
Purchases | $91,737,571 |
Sales | $51,583,433 |
February 13, 2015
Beginning Account Value 7/1/2014 | Ending Account Value 12/31/2014 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $953.60 | $1.33 |
Service Shares | $1,000 | $951.90 | $2.61 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,023.84 | $1.38 |
Service Shares | $1,000 | $1,022.53 | $2.70 |
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 expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 0.27% |
Service Shares | 0.53% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
John F. Donahue* Birth Date: July 28, 1924 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and Director, Federated Investors, Inc.; Chairman of the Federated Fund Family's Executive Committee. Previous Positions: Chairman of the Federated Fund Family; Trustee, Federated Investment Management Company; Chairman and Director, Federated Investment Counseling. |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of the Funds in the Federated Fund Family; President, Chief Executive Officer and Director, Federated Investors, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman, Federated Equity Management Company of Pennsylvania and Passport Research, Ltd. (investment advisory subsidiary of Federated); Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd. |
* | Family relationships and reasons for “interested” status: John F. Donahue is the father of J. Christopher Donahue; both are “interested” due to their beneficial ownership of shares of Federated Investors, Inc. and the positions they hold with Federated and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and CEO, The Collins Group, Inc. (a private equity firm). Other Directorships Held: Director, KLX Corp. Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director, Sterling Suffolk Downs, Inc. (racecourse); Director and Audit Committee Member, Bank of America Corp. and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Fund Family; Associate General Secretary and Director, Office for Church Relations, Diocese of Pittsburgh; Adjunct Professor of Law, Duquesne University School of Law. Other Directorships Held: Director, CONSOL Energy Inc. Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously served as Professor of Law, Duquesne University School of Law and was a member of the Superior Court of Pennsylvania. Judge Lally-Green also holds the positions of: Member, Pennsylvania State Board of Education; Director, Saint Vincent College; Director and Chair, UPMC Mercy Hospital; Regent, St. Vincent Seminary; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Our Campaign for the Church Alive!, Inc.; Director, Pennsylvania Bar Institute; and Director, Catholic High Schools of the Diocese of Pittsburgh, Inc. Judge Lally-Green has held the positions of: Director, Auberle; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; and Director Cardinal Wuerl Catholic High School. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Peter E. Madden Birth Date: March 16, 1942 Trustee Indefinite Term Began serving: October 1993 | Principal Occupation: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Fund Family; Retired. Other Directorships Held: None. Qualifications: Mr. Madden has served in several business management, mutual fund services and directorship positions throughout his career. Mr. Madden previously served as President, Chief Operating Officer and Director, State Street Bank and Trust Company (custodian bank) and State Street Corporation (financial services). He was Director, VISA USA and VISA International and Chairman and Director, Massachusetts Bankers Association. Mr. Madden served as Director, Depository Trust Corporation and Director, The Boston Stock Exchange. Mr. Madden also served as a Representative to the Commonwealth of Massachusetts General Court. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 1999 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant. Other Directorships Held: None. Qualifications: Mr. Mansfield has served in several banking, business management and educational roles and directorship positions throughout his career. Mr. Mansfield previously served as Chief Executive Officer, PBTC International Bank; Partner, Arthur Young & Company (now Ernst & Young LLP); Chief Financial Officer of Retail Banking Sector, Chase Manhattan Bank; Senior Vice President, HSBC Bank USA (formerly, Marine Midland Bank); Vice President, Citibank; Assistant Professor of Banking and Finance, Frank G. Zarb School of Business, Hofstra University; Executive Vice President DVC Group, Inc. (marketing, communications and technology). |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: October 2006 | Principal Occupations: Director or Trustee, Vice Chair of the Audit Committee of the Federated Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; General Counsel, University of Pittsburgh. Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey serves as Board Member, Epilepsy Foundation of Western Pennsylvania and Board member, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
John W. McGonigle Birth Date: October 26, 1938 EXECUTIVE VICE PRESIDENT AND SECRETARY Officer since: September 1993 | Principal Occupations: Executive Vice President and Secretary of the Federated Fund Family; Vice Chairman, Executive Vice President, Secretary and Director, Federated Investors, Inc. Previous Positions: Trustee, Federated Investment Management Company and Federated Investment Counseling; Director, Federated Global Investment Management Corp., Federated Services Company and Federated Securities Corp. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Investors, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer of the Federated Fund Family. He is General Counsel and Vice President, Federated Investors, Inc.; President, Federated Administrative Services and Federated Administrative Services, Inc.; Vice President, Federated Securities Corp.; Secretary, Federated Private Asset Management, Inc.; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Investors, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Investors, Inc. |
Richard B. Fisher Birth Date: May 17, 1923 Vice President Officer since: September 1993 | Principal Occupations: Vice Chairman or Vice President of some of the Funds in the Federated Fund Family; Vice Chairman, Federated Investors, Inc.; Chairman, Federated Securities Corp. Previous Positions: President and Director or Trustee of some of the Funds in the Federated Fund Family; Executive Vice President, Federated Investors, Inc.; Director and Chief Executive Officer, Federated Securities Corp. |
John B. Fisher Birth Date: May 16, 1956 President Officer since: November 2004 | Principal Occupations: President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Family; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc.; President, Technology, Federated Services Company. |
Brian P. Bouda Birth Date: February 28, 1947 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: August 2004 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Fund Family; Vice President and Chief Compliance Officer of Federated Investors, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Bouda joined Federated in 1999 and is a member of the American Bar Association and the State Bar Association of Wisconsin. Previous Positions: Served in Senior Management positions with a large regional banking organization. |
Stephen F. Auth Birth Date: September 3, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated's taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated's money market products in 2004. She joined Federated in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916819
2015 ©Federated Investors, Inc.
1 | Please see the footnotes to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the Blended Index. |
2 | There are no guarantees that dividend-paying stocks will continue to pay dividends. In addition, dividend-paying stocks may not experience the same capital appreciation potential as non-dividend-paying stocks. High-yield, lower-rated securities generally entail greater market, credit and liquidity risks than investment-grade securities and may include higher volatility and higher risk of default. |
3 | Please see the footnotes to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the S&P 500 Index. |
4 | The Fund's use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities or other traditional instruments. |
5 | Bond prices are sensitive to changes in interest rates and a rise in interest rates can cause a decline in their prices. |
6 | International investing involves special risks including currency risk, increased volatility, political risks and differences in auditing and other financial standards. Prices of emerging markets securities can be significantly more volatile than the prices of securities in developed countries and currency risk and political risks are accentuated in emerging markets. |
7 | The value of some mortgage-backed securities may be particularly sensitive to changes in the prevailing interest rates, and although the securities are generally supported by some form of government or private insurance, there is no assurance that private guarantors or insurers will meet their obligations. |
8 | Duration is a measure of a security's price sensitivity to changes in interest rates. Securities with longer durations are more sensitive to changes in interest rates than securities of shorter durations. |
9 | Investment-grade securities are securities that are rated at least “BBB- (minus)” or unrated securities of a comparable quality. Noninvestment-grade securities are securities that are not rated at least “BBB- (minus)” or unrated securities of a comparable quality. Credit ratings are an indication of the risk that a security will default. They do not protect a security from credit risk. Lower-rated bonds typically offer higher yields to help compensate investors for the increased risk associated with them. Among these risks are lower credit-worthiness, greater price volatility, more risk to principal and income than with higher-rated securities and increased possibilities of default. |
Federated Managed Volatility Fund II | S&P 500 | R1000V | Blended Index | |
F | I | I | I | |
12/31/2004 | 10,000 | 10,000 | 10,000 | 10,000 |
12/31/2005 | 10,628 | 10,491 | 10,705 | 10,579 |
12/31/2006 | 12,291 | 12,148 | 13,087 | 12,078 |
12/31/2007 | 12,787 | 12,816 | 13,064 | 12,441 |
12/31/2008 | 10,181 | 8,074 | 8,250 | 9,636 |
12/31/2009 | 13,060 | 10,211 | 9,875 | 12,304 |
12/31/2010 | 14,638 | 11,749 | 11,406 | 13,878 |
12/31/2011 | 15,337 | 11,997 | 11,450 | 14,400 |
12/31/2012 | 17,415 | 13,917 | 13,455 | 16,454 |
12/31/2013 | 21,201 | 18,425 | 17,832 | 18,560 |
12/31/2014 | 22,051 | 20,947 | 20,231 | 19,986 |
1 Year | 5 Years | 10 Years | |
Fund | 4.01% | 11.04% | 8.23% |
S&P 500 | 13.69% | 15.45% | 7.67% |
R1000V | 13.45% | 15.42% | 7.30% |
Blended Index | 7.69% | 10.19% | 7.17% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The S&P 500, R1000V and the Blended Index have been adjusted to reflect reinvestment of dividends on securities in the indexes. |
2 | The S&P 500 is a capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. |
3 | The S&P 500, R1000V and the Blended Index are not adjusted to reflect sales charges, expenses or other fees that the Securities and Exchange Commission requires to be reflected in the Fund's performance. The indexes are unmanaged and, unlike the Fund, are not affected by cash flows. It is not possible to invest directly in an index. |
4 | The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower expected growth values. The R1000V is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. The R1000V is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics. The BEMAI tracks total returns for external-currency-denominated debt instruments of the emerging markets. The BHY2%ICI is an issuer-constrained version of the Barclays U.S. Corporate High-Yield Index that measures the market of USD-denominated, noninvestment-grade, fixed-rate, taxable corporate bonds. The index follows the same rules as the uncapped index but limits the exposure of each issuer to 2% of the total market value and redistributes any excess market value index-wide on a pro-rata basis. The BMB covers agency mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC). |
Portfolio Composition | Percentage of Total Net Assets |
Domestic Fixed-Income Securities | 31.8% |
Domestic Equity Securities | 30.4% |
International Fixed-Income Securities | 21.7% |
International Equity Securities | 8.4% |
U.S. Treasury Securities | 0.1% |
Derivative Contracts2 | (0.2)% |
Cash Equivalents3 | 5.8% |
Other Assets and Liabilities—Net4 | 2.0% |
TOTAL | 100.0% |
Sector Composition of Equity Holdings | Percentage of Equity Securities |
Utilities | 13.6% |
Information Technology | 13.5% |
Financials | 12.5% |
Energy | 11.1% |
Industrials | 10.2% |
Health Care | 9.0% |
Telecommunication Services | 8.2% |
Consumer Staples | 7.8% |
Materials | 7.4% |
Consumer Discretionary | 6.7% |
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. As of the date specified above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, the affiliated investment company (other than an affiliated money market mutual fund) is not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata portion of each security and each other asset and liability owned by the affiliated investment company. Accordingly, the percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. |
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 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
5 | Sector classifications are based upon, and individual portfolio securities are assigned to, the classifications of the Global Industry Classification Standard (GICS) except that the Adviser assigns a classification to securities not classified by the GICS and to securities for which the Adviser does not have access to the classification made by the GICS. |
Principal Amount or Shares | Value | ||
COMMON STOCKS—23.1% | |||
Consumer Discretionary—1.9% | |||
171,604 | Corus Entertainment, Inc., Class B | $3,389,836 | |
9,755 | Garmin Ltd. | 515,357 | |
232,886 | Regal Entertainment Group | 4,974,445 | |
62,672 | Six Flags Entertainment Corp. | 2,704,297 | |
10,253 | Tupperware Brands Corp. | 645,939 | |
TOTAL | 12,229,874 | ||
Consumer Staples—2.5% | |||
67,751 | Altria Group, Inc. | 3,338,092 | |
20,157 | Kellogg Co. | 1,319,074 | |
75,362 | Koninklijke Ahold NV, ADR | 1,339,484 | |
60,160 | Lorillard, Inc. | 3,786,470 | |
38,013 | Philip Morris International, Inc. | 3,096,159 | |
56,408 | Reynolds American, Inc. | 3,625,342 | |
TOTAL | 16,504,621 | ||
Energy—3.0% | |||
64,640 | BP PLC, ADR | 2,464,077 | |
104,635 | Crescent Point Energy Corp. | 2,423,591 | |
102,617 | HollyFrontier Corp. | 3,846,085 | |
16,943 | Kinder Morgan, Inc. | 716,858 | |
74,862 | Royal Dutch Shell PLC | 5,012,011 | |
100,173 | Total SA, ADR | 5,128,858 | |
TOTAL | 19,591,480 | ||
Financials—4.0% | |||
288,705 | Ares Capital Corp. | 4,505,242 | |
4,669 | Bank of Hawaii Corp. | 276,918 | |
48,721 | Bank of Montreal | 3,446,036 | |
12,906 | Cincinnati Financial Corp. | 668,918 | |
223,029 | Hospitality Properties Trust | 6,913,899 | |
32,591 | Mercury General Corp. | 1,846,932 | |
156,900 | Old Republic International Corp. | 2,295,447 | |
31,626 | Royal Bank of Canada, Montreal | 2,184,408 | |
112,165 | Sun Life Financial Services of Canada | 4,044,670 | |
TOTAL | 26,182,470 | ||
Health Care—2.9% | |||
11,146 | AbbVie Inc. | 729,394 | |
100,078 | GlaxoSmithKline PLC, ADR | 4,277,334 | |
39,871 | Lilly (Eli) & Co. | 2,750,700 | |
76,236 | Merck & Co., Inc. | 4,329,443 | |
198,776 | PDL BioPharma, Inc. | 1,532,563 | |
168,573 | Pfizer, Inc. | 5,251,049 | |
TOTAL | 18,870,483 | ||
Industrials—1.5% | |||
45,305 | BAE Systems PLC, ADR | 1,320,867 | |
152,453 | Donnelley (R.R.) & Sons Co. | 2,561,973 | |
22,405 | Lockheed Martin Corp. | 4,314,531 |
Principal Amount or Shares | Value | ||
COMMON STOCKS—continued | |||
Industrials—continued | |||
11,419 | Siemens AG | $1,295,031 | |
TOTAL | 9,492,402 | ||
Information Technology—1.6% | |||
85,308 | CA, Inc. | 2,597,629 | |
24,424 | Cisco Systems, Inc. | 679,354 | |
37,110 | Intel Corp. | 1,346,722 | |
38,804 | KLA-Tencor Corp. | 2,728,697 | |
11,660 | Lexmark International, Inc. | 481,208 | |
27,830 | Microsoft Corp. | 1,292,703 | |
23,369 | Seagate Technology | 1,554,038 | |
TOTAL | 10,680,351 | ||
Materials—0.6% | |||
70,754 | Freeport-McMoRan, Inc. | 1,652,814 | |
30,424 | LyondellBasell Industries NV, Class - A | 2,415,361 | |
TOTAL | 4,068,175 | ||
Telecommunication Services—3.2% | |||
216,449 | AT&T, Inc. | 7,270,522 | |
54,325 | BCE, Inc. | 2,491,344 | |
150,305 | CenturyLink, Inc. | 5,949,072 | |
27,252 | Consolidated Communications Holdings, Inc. | 758,423 | |
577,575 | Frontier Communications Corp. | 3,852,425 | |
11,238 | Verizon Communications | 525,714 | |
TOTAL | 20,847,500 | ||
Utilities—1.9% | |||
10,465 | Consolidated Edison Co. | 690,795 | |
24,202 | Entergy Corp. | 2,117,191 | |
18,067 | FirstEnergy Corp. | 704,432 | |
80,617 | National Grid PLC, ADR | 5,696,397 | |
239,202 | Northland Power, Inc. | 3,148,045 | |
TOTAL | 12,356,860 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $138,626,018) | 150,824,216 | ||
PREFERRED STOCKS—15.7% | |||
Consumer Discretionary—0.7% | |||
395,000 | 1,2 | SPLS, Issued by JPMorgan Chase & Co., ELN, 14.00%, 01/27/2015 | 4,736,050 |
Consumer Staples—0.5% | |||
35,600 | Post Holdings, Inc., Conv., Pfd., 5.25%, 06/1/2017 | 3,155,762 | |
Energy—1.3% | |||
55,444 | 3 | SLB, Issued by Barclays Bank PLC, ELN, 10.00%, 06/22/2015 | 4,703,869 |
75,000 | 1,2,3 | VLO, Issued by JPMorgan Chase & Co., ELN, 0.00%, 02/6/2015 | 3,758,250 |
TOTAL | 8,462,119 | ||
Financials—0.9% | |||
750 | Bank of America, Series L, Pfd., 7.25%, 12/31/2049, Annual Dividend $72.50 | 872,228 | |
18,300 | New York Community Cap Trust V, Conv. Pfd., 6.00%, 11/01/2051, Annual Dividend $3.00 | 910,425 | |
3,100 | Wells Fargo Co., Series L, Pfd., 7.50%, 12/31/2049, Annual Dividend $75.00 | 3,758,734 | |
TOTAL | 5,541,387 | ||
Health Care—0.6% | |||
34,188 | 1,2,3 | CELG, Issued by Royal Bank of Canada, ELN, 10.00%, 06/24/2015 | 3,820,167 |
Principal Amount or Shares | Value | ||
PREFERRED STOCKS—continued | |||
Industrials—2.5% | |||
103,000 | 1,2,3 | DAL, Issued By JPMorgan Chase & Co., ELN, 13.19%, 05/19/2015 | $4,752,420 |
40,026 | Stanley Black & Decker, I, Conv. Pfd., 6.25%, 11/17/2016, Annual Dividend $6.25 | 4,712,661 | |
112,351 | United Technologies Corp, Conv. Pfd., 7.50%, 08/1/2015, Annual Dividend $3.75 | 6,890,487 | |
TOTAL | 16,355,568 | ||
Information Technology—3.6% | |||
45,000 | 1,2,3 | AAPL, Issued by Barclays Bank PLC, ELN, 9.50%, 05/29/2015 | 5,023,800 |
450,000 | 3 | BRCD, Issued by Credit Suisse AG, ELN, 0.00%, 04/29/2015 | 4,970,250 |
57,405 | 3 | LRCX, Issued by Barclays Bank PLC, ELN, 10.00%, 06/22/2015 | 4,517,773 |
134,000 | 1,2,3 | MU, Issued by Bank of America Corp., ELN, 0.00%, 05/28/2015 | 4,570,740 |
47,000 | 3 | SNDK, Issued by Credit Suisse AG, ELN, 0.00%, 01/30/2015 | 4,495,315 |
TOTAL | 23,577,878 | ||
Materials—2.2% | |||
101,000 | Alcoa, Inc., Conv. Pfd, 5.375%, 10/01/2017, Annual Dividend $3.02 | 5,095,450 | |
153,005 | ArcelorMittal, Conv. Bond, Pfd., Series MTUS, 6.00%, 01/15/2016, Annual Dividend $1.50 | 2,646,987 | |
200,000 | 3 | NEM, Issued by Credit Suisse AG, ELN, 0.00%, 05/26/2015 | 3,772,000 |
107,000 | 3 | X, Issued by Barclays Bank PLC, ELN, 16.50%, 05/4/2015 | 3,022,750 |
TOTAL | 14,537,187 | ||
Utilities—3.4% | |||
67,765 | AES Trust III, Conv. Pfd., 6.75%, 10/15/2029, Annual Dividend $3.38 | 3,448,561 | |
100,626 | Dominion Resources, Inc., Conv. Pfd., 6.375%, 07/1/2017, Annual Dividend $3.19 | 5,233,558 | |
57,866 | Dynegy, Inc., Conv. Pfd., 5.375%, 11/01/2017, Annual Dividend $6.57 | 5,902,332 | |
69,627 | Exelon Corp., Conv. Pfd., 6.50%, 06/01/2017, Annual Dividend $3.25 | 3,655,418 | |
11,695 | Laclede Group, Inc./The, Conv. Pfd., 6.75%, 04/1/2017, Annual Dividend $4.13 | 657,376 | |
45,000 | NextEra Energy, Inc., Conv. Pfd., 5.889%, 09/1/2015, Annual Dividend $2.94 | 3,012,300 | |
TOTAL | 21,909,545 | ||
TOTAL PREFERRED STOCKS (IDENTIFIED COST $101,522,298) | 102,095,663 | ||
ADJUSTABLE RATE MORTGAGE—0.0% | |||
$16,749 | Federal National Mortgage Association, 2.311%, 09/1/2037 (IDENTIFIED COST $16,870) | 17,915 | |
ASSET-BACKED SECURITY—0.0% | |||
225,000 | Santander Drive Auto Receivables Trust 2013-1, Class D, 2.270%, 01/15/2019 (IDENTIFIED COST $224,972) | 226,104 | |
COLLATERALIZED MORTGAGE OBLIGATIONS—1.4% | |||
1,000,000 | Citigroup Commercial Mortgage Trust 2013-GC11, Class B, 3.732%, 04/10/2046 | 1,014,592 | |
370,000 | Commercial Mortgage Pass-Through Certificates 2012-CR1, Class AM, 3.912%, 05/15/2045 | 392,176 | |
585,000 | Commercial Mortgage Pass-Through Certificates 2012-CR1, Class B, 4.612%, 05/15/2045 | 632,592 | |
55,000 | Commercial Mortgage Pass-Through Certificates 2012-LC4, Class B, 4.934%, 12/10/2044 | 60,568 | |
1,050,000 | 1,2 | Commercial Mortgage Trust 2013-CR8, Class B, 3.969%, 06/10/2046 | 1,087,183 |
620,000 | Commercial Mortgage Trust 2014-LC17, Class B, 4.490%, 10/10/2047 | 664,472 | |
572,058 | Federal National Mortgage Association REMIC 2006-117, Class GF, 0.520%, 12/25/2036 | 573,286 | |
518,946 | Federal National Mortgage Association REMIC 2012-1, Class F, 0.620%, 02/25/2042 | 521,540 | |
525,000 | GS Mortgage Securities Corp. II 2012-GCJ7, Class AS, 4.085%, 05/10/2045 | 560,498 | |
630,000 | GS Mortgage Securities Corp. II 2012-GCJ7, Class B, 4.740%, 05/10/2045 | 688,550 | |
980,000 | GS Mortgage Securities Trust 2014-GC24, Class B, 4.507%, 09/10/2047 | 1,049,328 | |
590,000 | 1,2 | UBS-Barclays Commercial Mortgage Trust 2013-C6, Class B, 3.875%, 04/10/2046 | 606,411 |
1,000,000 | UBS-Citigroup Commercial Mortgage Trust 2011-C1, Class A3, 3.595%, 01/10/2045 | 1,049,919 | |
495,000 | WF-RBS Commercial Mortgage Trust 2014-C25, Class B, 4.236%, 11/15/2047 | 518,221 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $9,236,124) | 9,419,336 |
Principal Amount or Shares | Value | ||
COMMERCIAL MORTGAGE-BACKED SECURITY—0.2% | |||
Agency Commercial Mortgage-Backed Security—0.2% | |||
$1,050,000 | 1,2 | FREMF Mortgage Trust 2013-K25, B, 3.618%, 11/25/2045 (IDENTIFIED COST $1,061,233) | $1,057,227 |
CORPORATE BONDS—17.8% | |||
Aerospace/Defense—0.1% | |||
450,000 | 1,2 | Embraer Overseas Ltd., Sr. Unsecd. Note, Series 144A, 5.696%, 09/16/2023 | 481,950 |
Agency—0.1% | |||
540,000 | Export-Import Bank, Series EMTN, 4.000%, 08/07/2017 | 563,803 | |
Automotive—0.2% | |||
900,000 | 1,2 | Metalsa, Series 144A, 4.900%, 04/24/2023 | 810,000 |
700,000 | 1,2 | NEMAK SA, Series 144A, 5.500%, 02/28/2023 | 715,750 |
TOTAL | 1,525,750 | ||
Banking—3.6% | |||
300,000 | ADCB Finance Cayman, Ltd., Series EMTN, 4.500%, 03/06/2023 | 303,000 | |
510,000 | 1,2 | BBVA Bancomer SA Mexico, Jr. Sub. Note, Series 144A, 5.350%, 11/12/2029 | 506,175 |
300,000 | BBVA Paraguay SA, Series REGS, 9.750%, 02/11/2016 | 313,131 | |
550,000 | 1,2 | Banco ABC Brasil SA, Sub. Note, Series 144A, 7.875%, 04/08/2020 | 569,244 |
1,000,000 | Banco Bradesco (Cayman), Sub., Series REGS, 5.750%, 03/01/2022 | 1,025,000 | |
325,000 | Banco Btg Pactual/Cayman, Series REGS, 5.750%, 09/28/2022 | 295,360 | |
500,000 | Banco Davivienda SA, Series REGS, 5.875%, 07/09/2022 | 501,250 | |
300,000 | Banco Daycoval SA, Series REGS, 5.750%, 03/19/2019 | 299,250 | |
100,000 | Banco de Credito del Peru, Jr. Sub. Note, Series REGS, 9.750%, 11/06/2069 | 122,000 | |
200,000 | Banco de Credito del Peru, Series REGS, 6.125%, 04/24/2027 | 212,000 | |
500,000 | Banco Do Brasil (Cayman), Jr. Sub. Note, Series REGS, 9.250%, 10/29/2049 | 481,250 | |
500,000 | Banco Internacional del Peru, Sr. Unsecd. Note, Series REGS, 5.750%, 10/07/2020 | 547,500 | |
100,000 | Banco Pan SA, Series REGS, 8.500%, 04/23/2020 | 103,059 | |
400,000 | 1,2 | Banco Reservas Rep Domin, Series 144A, 7.000%, 02/01/2023 | 398,664 |
510,000 | 1,2 | Bank of China Ltd., Series 144A, 5.000%, 11/13/2024 | 526,311 |
350,000 | BBVA Banco Continental, Series REGS, 5.000%, 08/26/2022 | 365,540 | |
460,000 | Burgan Finance No.1 Ltd., Series REGS, 7.875%, 09/29/2020 | 530,840 | |
450,000 | 1,2 | Caixa Economica Federal, Sub. Note, Series 144A, 7.250%, 07/23/2024 | 430,875 |
675,000 | Corpbanca, 3.125%, 01/15/2018 | 672,223 | |
900,000 | 1,2 | Corpbanca, Series 144A, 3.875%, 09/22/2019 | 904,179 |
500,000 | Emirates NBD Tier 1 Ltd., 5.750%, 05/29/2049 | 489,200 | |
950,000 | 1,2 | Export Credit Bank of Turkey, Series 144A, 5.000%, 09/23/2021 | 966,986 |
500,000 | 1,2 | Finansbank AS, Series 144A, 5.150%, 11/01/2017 | 514,150 |
450,000 | 1,2 | Finansbank AS, Series 144A, 6.250%, 04/30/2019 | 468,090 |
400,000 | 1,2 | Global Bank Corp., Sr. Unsecd. Note, Series 144A, 5.125%, 10/30/2019 | 408,000 |
250,000 | ICICI Bank Ltd., Series REGS, 5.750%, 11/16/2020 | 278,129 | |
750,000 | 1,2 | Industrial & Commercial Bank of China Ltd., Series 144A, 6.000%, 12/31/2049 | 760,313 |
275,000 | Itau Unibanco Holding SA, Sub., Series REGS, 5.500%, 08/06/2022 | 277,750 | |
500,000 | Itau Unibanco Holding SA, Sub., Series REGS, 6.200%, 12/21/2021 | 527,190 | |
630,000 | 1,2 | RSHB Capital SA, Series 144A, 5.100%, 07/25/2018 | 524,475 |
500,000 | Sibur Securities Ltd., Series REGS, 3.914%, 01/31/2018 | 412,500 | |
300,000 | 1,2 | Turkiye Garanti Bankasi A.S., Series 144A, 5.250%, 09/13/2022 | 309,306 |
635,000 | 1,2 | Turkiye Is Bankasi (Isbank), Series 144A, 5.000%, 06/25/2021 | 646,430 |
500,000 | 1,2 | Turkiye Vakiflar Bankasi T.A.O., Series 144A, 3.750%, 04/15/2018 | 496,200 |
200,000 | 1,2 | Turkiye Vakiflar Bankasi T.A.O., Series 144A, 5.000%, 10/31/2018 | 204,713 |
4,000,000 | VTB BANK, Series REGS, 6.250%, 06/30/2035 | 3,930,000 | |
1,940,000 | 1,2 | VTB Capital SA, Series 144A, 6.950%, 10/17/2022 | 1,445,300 |
230,000 | Vnesheconombank (VEB), Series REGS, 5.942%, 11/21/2023 | 179,975 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Banking—continued | |||
$200,000 | Vnesheconombank (VEB), Series REGS, 6.025%, 07/05/2022 | $153,060 | |
720,000 | Vnesheconombank (VEB), Sr. Unsecd. Note, Series REGS, 6.902%, 07/09/2020 | 579,766 | |
400,000 | Vnesheconombank, Bank Guarantee, Series REGS, 6.800%, 11/22/2025 | 318,000 | |
200,000 | 1,2 | Vnesheconombank, Sr. Unsecd. Note, Series 144A, 5.375%, 02/13/2017 | 180,500 |
200,000 | 1,2 | Yapi ve Kredi Bankasi A.S., Series 144A, 5.250%, 12/03/2018 | 207,280 |
360,000 | 1,2 | Zenith Bank Ltd., Series 144A, 6.250%, 04/22/2019 | 330,768 |
TOTAL | 23,714,932 | ||
Basic Industry - Chemicals—0.1% | |||
400,000 | Albemarle Corp., 4.150%, 12/01/2024 | 407,207 | |
400,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/01/2044 | 432,049 | |
TOTAL | 839,256 | ||
Beverage & Tobacco—0.2% | |||
500,000 | Ajecorp BV, Series REGS, 6.500%, 05/14/2022 | 423,750 | |
300,000 | 1,2 | Corp Lindley SA, Series 144A, 4.625%, 04/12/2023 | 291,750 |
325,000 | 1,2 | Corp Lindley SA, Series 144A, 6.750%, 11/23/2021 | 349,375 |
TOTAL | 1,064,875 | ||
Broadcast Radio & TV—0.2% | |||
125,000 | Grupo Televisa S.A., 6.625%, 03/18/2025 | 154,285 | |
680,000 | Grupo Televisa S.A., Sr. Note, 8.500%, 03/11/2032 | 945,556 | |
450,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 05/13/2045 | 456,493 | |
TOTAL | 1,556,334 | ||
Building & Development—0.1% | |||
470,000 | 1,2 | Odebrecht SA, Series 144A, 5.250%, 06/27/2029 | 415,715 |
Building Materials—0.2% | |||
775,000 | Cemex SA de C.V., Series REGS, 5.257%, 09/30/2015 | 786,726 | |
200,000 | 1,2 | Cemex SA de C.V.,Series 144A, 6.500%, 12/10/2019 | 205,400 |
500,000 | 1,2 | Rearden G Holdings EINS GmbH, Company Guarantee, Series 144A, 7.875%, 03/30/2020 | 495,000 |
TOTAL | 1,487,126 | ||
Chemicals—0.3% | |||
600,000 | Alfa S.A., Series REGS, 5.250%, 03/25/2024 | 625,500 | |
1,096,000 | Ashland, Inc., Conv. Bond, Series UNIT, 6.500%, 06/30/2029 | 1,020,705 | |
TOTAL | 1,646,205 | ||
Chemicals & Plastics—0.3% | |||
400,000 | ALPEK SA DE CV, Series REGS, 4.500%, 11/20/2022 | 404,000 | |
200,000 | 1,2 | Elementia SA, Series 144A, 5.500%, 01/15/2025 | 192,500 |
475,000 | 1,2 | Groupe Office Cherifien des Phosphates SA, Series 144A, 6.875%, 04/25/2044 | 513,047 |
900,000 | 1,2 | Groupe Office Cherifien des Phosphates SA, Sr. Unsecd. Note, Series 144A, 5.625%, 04/25/2024 | 948,375 |
200,000 | Nitrogenmuvek ZRT, Series REGS, 7.875%, 05/21/2020 | 199,750 | |
TOTAL | 2,257,672 | ||
Communications - Cable & Satellite—0.5% | |||
1,400,000 | DIRECTV Holdings LLC, Sr. Unsecd. Note, 5.150%, 03/15/2042 | 1,452,056 | |
1,500,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 09/01/2041 | 1,749,373 | |
TOTAL | 3,201,429 | ||
Communications - Media & Entertainment—0.7% | |||
1,400,000 | Time Warner, Inc., Company Guarantee, 6.250%, 03/29/2041 | 1,744,620 | |
1,400,000 | Viacom, Inc., Sr. Unsecd. Note, 5.850%, 09/01/2043 | 1,562,544 | |
1,400,000 | WPP Finance 2010, Sr. Unsecd. Note, 5.125%, 09/07/2042 | 1,502,708 | |
TOTAL | 4,809,872 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Communications - Telecom Wirelines—0.1% | |||
$700,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 6.550%, 09/15/2043 | $898,117 | |
Communications Equipment—0.2% | |||
2,296,000 | Liberty Media Group, Conv. Bond, 3.500%, 01/15/2031 | 1,234,559 | |
Conglomerates—0.1% | |||
400,000 | Hutch Whampoa Int. 12 Ltd., Series REGS, 6.000%, 05/29/2049 | 427,396 | |
Consumer Cyclical - Services—0.1% | |||
370,000 | 1,2 | Alibaba Group Holding Ltd, Sr. Unsecd. Note, Series 144A, 3.125%, 11/28/2021 | 366,114 |
Consumer Non-Cyclical - Food/Beverage—0.2% | |||
924,000 | ConAgra Foods, Inc., Sr. Unsecd. Note, 4.650%, 01/25/2043 | 968,149 | |
Consumer Non-Cyclical - Tobacco—0.1% | |||
680,000 | Lorillard Tobacco Co., Sr. Unsecd. Note, 7.000%, 08/04/2041 | 861,517 | |
Consumer Products—0.2% | |||
180,000 | Fomento Economico Mexicano, SA de C.V., 2.875%, 05/10/2023 | 168,788 | |
550,000 | Fomento Economico Mexicano, SA de C.V., 4.375%, 05/10/2043 | 516,704 | |
400,000 | 1,2 | InRetail Consumer, Sr. Unsecd. Note, Series 144A, 5.250%, 10/10/2021 | 408,000 |
TOTAL | 1,093,492 | ||
Department Stores—0.3% | |||
1,900,000 | 1,2 | Saci Falabella, Series 144A, 4.375%, 01/27/2025 | 1,866,047 |
Energy - Independent—0.4% | |||
103,000 | Petroleos Mexicanos, 3.500%, 07/18/2018 | 104,545 | |
150,000 | Petroleos Mexicanos, 6.500%, 06/02/2041 | 172,875 | |
200,000 | Petroleos Mexicanos, Company Guarantee, 5.500%, 01/21/2021 | 217,500 | |
450,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 4.875%, 01/18/2024 | 468,675 | |
1,050,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 6.375%, 01/23/2045 | 1,194,375 | |
TOTAL | 2,157,970 | ||
Energy - Integrated—0.1% | |||
620,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 637,095 | |
Energy - Midstream—0.2% | |||
1,400,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 03/01/2041 | 1,564,402 | |
Energy - Oil Field Services—0.2% | |||
1,400,000 | Weatherford International Ltd., 7.000%, 03/15/2038 | 1,350,059 | |
Farming & Agriculture—0.1% | |||
1,000,000 | 1,2 | Kazagro Natl Mgmt Hldng., Series 144A, 4.625%, 05/24/2023 | 835,000 |
Finance—0.3% | |||
300,000 | Gruposura Finance, Company Guarantee, Series REGS, 5.700%, 05/18/2021 | 318,000 | |
600,000 | 1,2 | Mubadala GE Capital, Ltd., Sr. Unsecd. Note, Series 144A, 3.000%, 11/10/2019 | 596,928 |
700,000 | Sukuk Funding No3 Ltd., 4.348%, 12/03/2018 | 731,617 | |
TOTAL | 1,646,545 | ||
Financial Institution - Banking—0.8% | |||
150,000 | Bank of America Corp., Sub. Note, 6.500%, 09/15/2037 | 180,993 | |
1,500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 6.250%, 02/01/2041 | 1,902,993 | |
850,000 | JPMorgan Chase & Co., Sub. Note, 3.375%, 05/01/2023 | 841,824 | |
650,000 | Merrill Lynch & Co., Inc., Sub. Note, 7.750%, 05/14/2038 | 920,915 | |
400,000 | Morgan Stanley, Sr. Unsecd. Note, 2.500%, 01/24/2019 | 400,746 | |
450,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 6.250%, 08/09/2026 | 543,685 | |
475,000 | Morgan Stanley, Sub. Note, Series MTN, 4.100%, 05/22/2023 | 481,417 | |
TOTAL | 5,272,573 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.1% | |||
500,000 | Jefferies Group LLC, Sr. Unsecd. Note, 6.500%, 01/20/2043 | 511,698 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Broker/Asset Mgr/Exchange—continued | |||
$400,000 | Jefferies Group, Inc., Sr. Unsecd. Note, 6.250%, 01/15/2036 | $395,110 | |
TOTAL | 906,808 | ||
Financial Institution - Finance Companies—0.0% | |||
100,000 | HSBC Finance Capital Trust IX, Note, 5.911%, 11/30/2035 | 101,500 | |
Financial Institution - Insurance - P&C—0.3% | |||
800,000 | 1,2 | Liberty Mutual Group, Inc., Series 144A, 4.850%, 08/01/2044 | 816,388 |
500,000 | 1,2 | Nationwide Mutual Insurance Co., Sub. Note, Series 144A, 9.375%, 08/15/2039 | 797,147 |
TOTAL | 1,613,535 | ||
Financial Intermediaries—0.5% | |||
400,000 | ADIB Capital Invest 1 Ltd, 6.375%, 10/29/2049 | 417,000 | |
150,000 | 1,2 | Banco Santander, S.A., Series 144A, 4.125%, 11/09/2022 | 148,905 |
350,000 | Banco Santander, S.A., Series REGS, 4.125%, 11/09/2022 | 347,445 | |
450,000 | 1,2 | Cimpor Financial Operati, Series 144A, 5.750%, 07/17/2024 | 395,955 |
300,000 | Financiera Independencia S.A.B. de C.V, Sr. Unsecd. Note, Series REGS, 7.500%, 06/03/2019 | 296,250 | |
200,000 | 1,2 | Investcorp SA, Series 144A, 8.250%, 11/01/2017 | 215,860 |
300,000 | 1,2 | Trust F/1401, Series 144A, 5.250%, 12/15/2024 | 309,780 |
1,000,000 | Trust F/1401, Series REGS, 5.250%, 12/15/2024 | 1,032,600 | |
TOTAL | 3,163,795 | ||
Food Products—0.5% | |||
200,000 | Cosan Luxembourg SA, Series REGS, 5.000%, 03/14/2023 | 178,500 | |
730,000 | 1,2 | Gruma SAB de CV, Sr. Unsecd. Note, Series 144A, 4.875%, 12/01/2024 | 757,375 |
520,000 | 1,2 | Grupo Bimbo SAB de CV, Sr. Unsecd. Note, Series 144A, 4.500%, 01/25/2022 | 549,539 |
300,000 | JBS Finance II Ltd., Sr. Unsecd. Note, Series REGS, 8.250%, 1/29/2018 | 309,750 | |
700,000 | JBS Investments GmbH, Series REGS, 7.750%, 10/28/2020 | 728,350 | |
1,000,000 | Minerva Luxembourg SA, Sr. Unsecd. Note, Series REGS, 7.750%, 01/31/2023 | 982,500 | |
TOTAL | 3,506,014 | ||
Forest Products—0.0% | |||
200,000 | 1,2 | Klabin Finance SA, Series 144A, 5.250%, 07/16/2024 | 193,500 |
Government Agency—0.1% | |||
500,000 | Banco Nacional de Desenvolvimento Economico e Social, Sr. Unsecd. Note, Series REGS, 5.500%, 07/12/2020 | 515,575 | |
Metals & Mining—1.3% | |||
650,000 | Abja Investment Co., 5.95%, 07/31/2024 | 649,756 | |
611,000 | Anglogold Ashanti Holdings PLC, Sr. Unsecd. Note, 5.125%, 08/01/2022 | 558,397 | |
1,100,000 | Anglogold Ashanti Holdings PLC, Sr. Unsecd. Note, 8.500%, 07/30/2020 | 1,159,125 | |
1,000,000 | China Hongqiao Group, Series REGS, 7.625%, 06/26/2017 | 1,004,177 | |
200,000 | 1,2 | Codelco, Inc., Series 144A, 3.000%, 07/17/2022 | 192,614 |
200,000 | Codelco, Inc., Series REGS, 3.000%, 07/17/2022 | 192,613 | |
600,000 | Evraz Group SA, Sr. Unsecd. Note, Series REGS, 6.500%, 04/22/2020 | 462,468 | |
670,000 | GTL Trade Finance, Inc., Sr. Unsecd. Note, Series REGS, 5.893%, 04/29/2024 | 648,225 | |
450,000 | Metinvest BV, Sr. Unsecd. Note, Series REGS, 8.75%, 02/14/2018 | 254,250 | |
600,000 | Nord Gold NV, Series REGS, 6.375%, 05/07/2018 | 507,780 | |
550,000 | OAO TMK, Series REGS, 6.750%, 04/03/2020 | 316,250 | |
1,800,000 | 1,2 | Polyus Gold International, Ltd., Series 144A, 5.625%, 04/29/2020 | 1,566,000 |
300,000 | 1,2 | Samarco Mineracao SA, Sr. Unsecd. Note, Series 144A, 5.375%, 09/26/2024 | 278,850 |
250,000 | 1,2 | Tupy SA, Series 144A, 6.625%, 07/17/2024 | 241,250 |
610,000 | Vale Overseas Ltd., 6.875%, 11/21/2036 | 646,106 | |
TOTAL | 8,677,861 | ||
Oil & Gas—2.0% | |||
400,000 | 1,2 | Afren PLC, Series 144A, 6.625%, 12/09/2020 | 228,000 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Oil & Gas—continued | |||
$200,000 | Afren PLC, Series REGS, 11.500%, 02/01/2016 | $170,000 | |
500,000 | 1,2 | Alliance Oil Co. Ltd., Series 144A, 7.000%, 05/04/2020 | 230,000 |
1,000,000 | CNOOC Finance 2014 ULC, 4.250%, 04/30/2024 | 1,036,667 | |
300,000 | Empresa Nacional del Petroleo, Note, Series REGS, 5.250%, 08/10/2020 | 317,393 | |
900,000 | 1,2 | Gazprom Neft, Series 144A, 6.000%, 11/27/2023 | 720,000 |
300,000 | 1,2 | KazMunaiGaz Finance Sub BV, Company Guarantee, Series 144A, 6.375%, 04/09/2021 | 304,875 |
200,000 | KazMunaiGaz Finance Sub BV, Company Guarantee, Series REGS, 11.750%, 01/23/2015 | 200,660 | |
500,000 | KazMunaiGaz Finance Sub BV, Series REGS, 6.375%, 04/09/2021 | 508,125 | |
600,000 | 1,2 | Kazmunaygas National Co., Series 144A, 4.400%, 04/30/2023 | 534,600 |
225,000 | Mie Holdings Corp., Series EMTN, 6.875%, 02/06/2018 | 182,813 | |
481,200 | Odbrcht Offshore Drillin, Series REGS, 6.625%, 10/01/2022 | 433,080 | |
150,000 | PEMEX, Company Guarantee, 8.000%, 05/03/2019 | 178,125 | |
1,030,000 | 1,2 | PTT Exploration and Production, Series 144A, 4.875%, 12/29/2049 | 1,017,228 |
1,250,000 | 1,2 | Pacific Rubiales, Series 144A, 5.625%, 01/19/2025 | 962,500 |
351,000 | Pertamina PT, Note, Series REGS, 5.250%, 05/23/2021 | 363,285 | |
290,000 | 1,2 | Pertamina PT, Series 144A, 4.300%, 05/20/2023 | 278,400 |
1,900,000 | Petrobras Global Finance BV, Sr. Unsecd. Note, 4.375%, 05/20/2023 | 1,638,902 | |
62,500 | Petroleum Co. of Trinidad and Tobago Ltd., Sr. Unsecd. Note, Series REGS, 6.000%, 05/08/2022 | 63,750 | |
600,000 | 1,2 | Petroliam Nasional Berhd, Series 144A, 7.750%, 08/15/2015 | 624,688 |
500,000 | 1,2 | Puma International Financing SA, Series 144A, 6.750%, 02/01/2021 | 487,000 |
318,540 | QGOG Atlantic & Alaskan Rigs Ltd., Series REGS, 5.250%, 07/30/2018 | 301,020 | |
235,000 | 1,2 | Sinopec Group Oversea 2013, Series 144A, 4.375%, 10/17/2023 | 246,899 |
300,000 | 1,2 | Thai Oil PCL, Series 144A, 4.875%, 01/23/2043 | 292,423 |
300,000 | Thai Oil PCL, Series REGS, 4.875%, 01/23/2043 | 292,424 | |
300,000 | 1,2 | Transport de Gas Peru, Series 144A, 4.250%, 04/30/2028 | 291,000 |
1,300,000 | Tupras Turkiye Petrol Ra, Series REGS, 4.125%, 05/02/2018 | 1,299,350 | |
150,000 | 1,2 | YPF Sociedad Anonima, Series 144A, 8.750%, 04/04/2024 | 152,813 |
140,000 | YPF Sociedad Anonima, Series REGS, 8.750%, 04/04/2024 | 142,625 | |
TOTAL | 13,498,645 | ||
Real Estate—0.2% | |||
550,000 | China Overseas Finance Cayman V Ltd., Sr. Unsecd. Note, 3.950%, 11/15/2022 | 534,597 | |
600,000 | 1,2 | Country Garden Holdings Co., Series 144A, 11.125%, 02/23/2018 | 639,000 |
200,000 | 1,2 | Qatari Diar Finance QSC, Foreign Gov't. Guarantee, Series 144A, 5.000%, 07/21/2020 | 220,000 |
TOTAL | 1,393,597 | ||
Software & Services—0.0% | |||
235,000 | 1,2 | SixSigma Networks Mexico, Sr. Unsecd. Note, Series 144A, 8.25%, 11/07/2021 | 238,995 |
Sovereign—0.2% | |||
400,000 | 1,2 | Georgia, Government of, Series 144A, 7.750%, 07/05/2017 | 414,000 |
700,000 | 1,2 | Qatar, Government of, Series 144A, 6.40%, 01/20/2040 | 887,250 |
TOTAL | 1,301,250 | ||
State/Provincial—0.4% | |||
1,700,000 | Provincia De Buenos Aires, Series REGS, 10.875%, 01/26/2021 | 1,547,000 | |
900,000 | Provincia De Buenos Aires, Series REGS, 9.375%, 09/14/2018 | 801,000 | |
TOTAL | 2,348,000 | ||
Technology Services—0.1% | |||
400,000 | 1,2 | Samsung Electron America, Series 144A, 1.750%, 04/10/2017 | 401,458 |
Telecommunications & Cellular—0.6% | |||
400,000 | America Movil S.A.B. de C.V., 3.125%, 07/16/2022 | 395,656 | |
275,000 | 1,2 | Bharti Airtel International Netherlands BV, Series 144A, 5.350%, 05/20/2024 | 299,134 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Telecommunications & Cellular—continued | |||
$270,000 | Bharti Airtel International Netherlands BV, Series REGs, 5.125%, 03/11/2023 | $289,516 | |
200,000 | Colombia Telecomunicaciones SA ESP, Sr. Unsecd. Note, Series REGS, 5.375%, 09/27/2022 | 195,500 | |
450,000 | 1,2 | Digicel Ltd., Series 144A, 6.000%, 04/15/2021 | 421,875 |
200,000 | MTS International Funding Ltd., Series REGS, 8.625%, 06/22/2020 | 197,000 | |
365,000 | 1,2 | MTS International Funding Ltd., Sr. Unsecd. Note, Series 144A, 8.625%, 06/22/2020 | 359,525 |
200,000 | Ooredoo International Finance Ltd., Series REGS, 3.375%, 10/14/2016 | 205,724 | |
400,000 | 1,2 | Qtel International Finance Ltd., Series 144A, 3.250%, 02/21/2023 | 386,500 |
775,000 | Sistema JSFC, Series REGS, 6.950%, 05/17/2019 | 546,375 | |
675,000 | 1,2 | Vimpelcom, Series 144A, 5.950%, 02/13/2023 | 519,413 |
TOTAL | 3,816,218 | ||
Transportation—0.2% | |||
300,000 | 1,2 | DP World Ltd., Series 144A, 6.850%, 07/02/2037 | 339,834 |
540,000 | 1,2 | Global Liman Isletmeleri, Sr. Unsecd. Note, Series 144A, 8.125%, 11/14/2021 | 479,925 |
500,000 | 1,2 | Topaz Marine SA, Series 144A, 8.625%, 11/01/2018 | 461,900 |
TOTAL | 1,281,659 | ||
Utilities—1.1% | |||
200,000 | 1,2 | Abu Dhabi National Energy Co. PJSC, Series 144A, 3.625%, 01/12/2023 | 201,750 |
200,000 | 1,2 | ContourGlobal Power Holdings SA, Series 144A, 7.125%, 06/01/2019 | 201,000 |
675,000 | 1,2 | Electricite de France SA, Jr. Sub. Note, Series 144A, 5.625%, 12/29/2049 | 711,450 |
1,200,000 | Empresa de Energia de Bogota SA, Sr. Unsecd. Note, Series REGS, 6.125%, 11/10/2021 | 1,278,240 | |
330,000 | 1,2 | Empresa Electrica Angamo, Series 144A, 4.875%, 05/25/2029 | 325,462 |
800,000 | 1,2 | Enel Finance International SA, Company Guarantee, Series 144A, 6.000%, 10/07/2039 | 943,217 |
200,000 | Hrvatska Electroprivreda, Series REGS, 6.000%, 11/09/2017 | 209,600 | |
650,000 | Inkia Energy Ltd., Series REGS, 8.375%, 04/04/2021 | 695,500 | |
490,000 | Israel Electric Corp. Ltd., Series REGS, 7.250%, 01/15/2019 | 548,212 | |
200,000 | Majapahit Holding BV, Series REGS, 7.875%, 06/29/2037 | 236,000 | |
670,000 | 1,2 | PT Perusahaan Gas Negara, Series 144A, 5.125%, 05/16/2024 | 693,785 |
450,000 | Power Sector Assets & Liabilities Management Corp., Company Guarantee, Series REGS, 7.390%, 12/02/2024 | 588,600 | |
250,000 | Power Sector Assets & Liabilities Management Corp., Series REGS, 7.250%, 05/27/2019 | 299,687 | |
TOTAL | 6,932,503 | ||
Utility - Diversified—0.2% | |||
690,000 | 1,2 | EDP Finance BV, Series 144A, 4.125%, 01/15/2020 | 694,985 |
500,000 | Kuwait Energy Co., Sr. Unsecd. Note, Series REGS, 9.500%, 8/04/2019 | 458,250 | |
TOTAL | 1,153,235 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $117,729,732) | 115,788,102 | ||
FOREIGN GOVERNMENTS/AGENCIES—5.4% | |||
Banking—0.2% | |||
1,365,000 | African Export-Import Bank, Series EMTN, 5.750%, 07/27/2016 | 1,416,187 | |
Sovereign—5.2% | |||
300,000 | 1,2 | Armenia, Government of, Sr. Unsecd. Note, Series 144A, 6.000%, 09/30/2020 | 291,000 |
400,000 | 1,2 | Bahrain, Government of, Series 144A, 6.125%, 08/01/2023 | 439,500 |
450,000 | Bahrain, Government of, Series REGS, 5.500%, 03/31/2020 | 481,500 | |
610,000 | 1,2 | Bahrain, Government of, Sr. Unsecd. Note, Series 144A, 6.000%, 9/19/2044 | 577,975 |
2,500,000 | Brazil, Government of, 5.875%, 01/15/2019 | 2,787,500 | |
250,000 | Chile, Government of, 3.625%, 10/30/2042 | 226,875 | |
300,000 | Colombia, Government of, Sr. Unsecd. Note, 4.375%, 07/12/2021 | 317,250 | |
800,000 | 1,2 | Croatia, Government of, Series 144A, 6.000%, 01/26/2024 | 862,000 |
1,200,000 | Croatia, Government of, Series REGS, 6.000%, 01/26/2024 | 1,293,000 | |
700,000 | Croatia, Government of, Sr. Unsecd. Note, Series REGS, 6.250%, 04/27/2017 | 742,469 |
Principal Amount or Shares | Value | ||
FOREIGN GOVERNMENTS/AGENCIES—continued | |||
Sovereign—continued | |||
$250,000 | 1,2 | Dominican Republic, Government of, Series 144A, 5.875%, 04/18/2024 | $255,000 |
500,000 | Dubai, Government of, Series EMTN, 5.250%, 01/30/2043 | 458,750 | |
1,060,000 | Egypt, Government of, Note, Series REGS, 6.875%, 04/30/2040 | 1,089,150 | |
205,000 | El Salvador, Government , Sr. Unsecd. Note, Series REGS, 5.875%, 01/30/2025 | 199,363 | |
855,000 | 1,2 | El Salvador, Government of, Series 144A, 6.375%, 01/18/2027 | 857,137 |
470,000 | 1,2 | Federal Rep of Ethiopia, Series 144A, 6.625%, 12/11/2024 | 458,250 |
156,000 | Hungary, Government of, 4.125%, 02/19/2018 | 161,784 | |
350,000 | Hungary, Government of, 5.750%, 11/22/2023 | 387,625 | |
1,766,000 | Hungary, Government of, 6.375%, 3/29/2021 | 2,018,761 | |
335,000 | Hungary, Government of, Unsecd. Note, 6.250%, 01/29/2020 | 376,456 | |
480,000 | 1,2 | Indonesia, Government of, Series 144A, 3.375%, 04/15/2023 | 453,600 |
800,000 | Indonesia, Government of, Series REGS, 5.375%, 10/17/2023 | 872,000 | |
800,000 | Indonesia, Government of, Series REGS, 5.875%, 03/13/2020 | 886,000 | |
1,000,000 | 1,2 | Indonesia, Government of, Unsecd. Note, Series 144A, 4.350%, 09/10/2024 | 1,002,500 |
400,000 | 1,2 | Kenya, Government of, Series 144A, 5.875%, 06/24/2019 | 405,000 |
1,455,000 | 1,2 | Kenya, Government of, Series 144A, 6.875%, 06/24/2024 | 1,524,113 |
300,000 | 1,2 | Kingdom of Morocco, Series 144A, 4.250%, 12/11/2022 | 303,750 |
630,000 | Mexico, Government of, Sr. Unsecd. Note, Series EMTN, 5.950%, 03/19/2019 | 712,845 | |
200,000 | 1,2 | Mongolia International B, Series 144A, 4.125%, 01/05/2018 | 184,000 |
200,000 | 1,2 | Pakistan, Government of, Series 144A, 7.250%, 04/15/2019 | 202,900 |
400,000 | 1,2 | Pakistan, Government of, Unsecd. Note, Series 144A, 6.75%, 12/03/2019 | 396,000 |
500,000 | 1,2 | Paraguay, Government of, Series 144A, 6.100%, 08/11/2044 | 532,500 |
450,000 | Peru, Government of, Bond, 7.350%, 07/21/2025 | 597,375 | |
600,000 | Philippines, Government of, 6.375%, 01/15/2032 | 786,000 | |
350,000 | Philippines, Government of, Sr. Unsecd. Note, 6.375%, 10/23/2034 | 469,000 | |
200,000 | Qatar, Govenrment of, Series REGS, 3.125%, 01/20/2017 | 208,000 | |
200,000 | Republic of Ghana, Series REGS, 7.875%, 08/07/2023 | 185,000 | |
745,000 | Republic of Ghana, Unsecd. Note, Series REGS, 8.500%, 10/04/2017 | 743,406 | |
600,000 | 1,2 | Republic of Ivory Coast, Series 144A, 5.375%, 07/23/2024 | 573,120 |
600,000 | Republic of Poland, Sr. Unsecd. Note, 6.375%, 07/15/2019 | 702,000 | |
90,000 | 1,2 | Romania, Government of, Series 144A, 4.875%, 01/22/2024 | 98,100 |
300,000 | 1,2 | Serbia, Government of, Series 144A, 5.875%, 12/03/2018 | 312,750 |
600,000 | 1,2 | Serbia, Government of, Series 144A, 7.250%, 09/28/2021 | 672,048 |
300,000 | 1,2 | Sri Lanka, Government of, Series 144A, 6.000%, 01/14/2019 | 312,000 |
400,000 | 1,2 | Sri Lanka, Government of, Sr. Unsecd. Note, Series 144A, 6.250%, 10/04/2020 | 416,500 |
1,700,000 | Turkey, Government of, 7.000%, 09/26/2016 | 1,840,250 | |
1,150,000 | Turkey, Government of, Note, 7.375%, 2/05/2025 | 1,431,037 | |
500,000 | United Mexican States, Note, 5.125%, 01/15/2020 | 551,250 | |
1,000,000 | United Mexican States, Sr. Unsecd. Note, 3.625%, 03/15/2022 | 1,021,500 | |
2,650,000 | Venezuela, Government of, Series REGS, 7.000%, 03/31/2038 | 1,083,850 | |
TOTAL | 33,759,739 | ||
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $35,009,427) | 35,175,926 | ||
MORTGAGE-BACKED SECURITIES—3.3% | |||
Federal Home Loan Mortgage Corporation—1.5% | |||
685,439 | Federal Home Loan Mortgage Corp. Pool A95704, 3.500%, 30 Year, 12/01/2040 | 715,074 | |
691,643 | Federal Home Loan Mortgage Corp. Pool G08554, 3.500%, 30 Year, 10/01/2043 | 720,032 | |
1,992,923 | Federal Home Loan Mortgage Corp. Pool G08563, 4.000%, 30 Year, 01/01/2044 | 2,125,710 | |
1,514,134 | Federal Home Loan Mortgage Corp. Pool G08567, 4.000%, 30 Year, 01/01/2044 | 1,615,019 | |
2,000,000 | Federal Home Loan Mortgage Corp. Pool G08608, 3.000%, 30 Year, 09/01/2044 | 2,023,153 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$17,016 | Federal Home Loan Mortgage Corp. Pool J07260, 4.500%, 15 Year, 03/01/2023 | $18,319 | |
1,306,517 | Federal Home Loan Mortgage Corp. Pool Q19607, 4.000%, 30 Year, 07/01/2043 | 1,393,570 | |
318,415 | Federal Home Loan Mortgage Corp. Pool Q20332, 3.500%, 30 Year, 07/01/2043 | 331,584 | |
574,303 | Federal Home Loan Mortgage Corp. Pool Q21934, 4.000%, 30 Year, 09/01/2043 | 612,569 | |
TOTAL | 9,555,030 | ||
Federal National Mortgage Association—1.8% | |||
496,220 | Federal National Mortgage Association Pool AB9557, 3.000%, 30 Year, 06/01/2043 | 502,817 | |
1,689,809 | Federal National Mortgage Association Pool AH2899, 4.500%, 30 Year, 01/01/2041 | 1,852,979 | |
76,824 | Federal National Mortgage Association Pool AO8829, 3.500%, 30 Year, 07/01/2042 | 80,248 | |
933,745 | Federal National Mortgage Association Pool AP0456, 2.500%, 15 Year, 07/01/2027 | 954,171 | |
430,972 | Federal National Mortgage Association Pool AQ2962, 2.500%, 15 Year, 12/01/2027 | 440,399 | |
1,937,395 | Federal National Mortgage Association Pool AS2979, 3.000%, 15 Year, 08/01/2029 | 2,018,675 | |
1,830,066 | Federal National Mortgage Association Pool AW2446, 3.500%, 30 Year, 05/01/2044 | 1,910,489 | |
1,974,819 | Federal National Mortgage Association Pool AX0833, 3.500%, 30 Year, 09/01/2044 | 2,063,146 | |
995,622 | Federal National Mortgage Association Pool AX6463, 3.000%, 15 Year, 12/01/2029 | 1,036,303 | |
942,660 | Federal National Mortgage Association Pool MA1964, 3.500%, 15 Year, 07/01/2029 | 997,379 | |
TOTAL | 11,856,606 | ||
Government National Mortgage Association—0.0% | |||
15,927 | Government National Mortgage Association Pool 2796, 7.000%, 08/20/2029 | 18,632 | |
8,244 | Government National Mortgage Association Pool 3040, 7.000%, 02/20/2031 | 9,658 | |
22,012 | Government National Mortgage Association Pool 3188, 6.500%, 01/20/2032 | 25,503 | |
31,161 | Government National Mortgage Association Pool 3239, 6.500%, 05/20/2032 | 36,152 | |
TOTAL | 89,945 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $21,221,788) | 21,501,581 | ||
U.S. TREASURY—0.1% | |||
632,130 | 4 | U.S. Treasury Inflation-Protected Note, Series D-2021, 0.625%, 07/15/2021 (IDENTIFIED COST $693,041) | 642,106 |
INVESTMENT COMPANY—26.2% | |||
24,725,686 | 5 | Federated High Income Bond Fund II, Primary Shares (IDENTIFIED COST $169,358,341) | 170,854,488 |
REPURCHASE AGREEMENT—5.4% | |||
35,228,000 | Interest in $750,000,000 joint repurchase agreement 0.08%, dated 12/31/2014 under which Bank of America, N.A. will repurchase securities provided as collateral for $750,003,333 on 01/2/2015. The securities provided as collateral at the end of the period held with BNY Mellon as 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 $771,487,729. (AT COST) | 35,228,000 | |
TOTAL INVESTMENTS—98.6% (IDENTIFIED COST $629,927,844)6 | 642,830,664 | ||
OTHER ASSETS AND LIABILITIES - NET—1.4%7 | 9,179,908 | ||
TOTAL NET ASSETS—100% | $652,010,572 |
Description | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation) |
3S&P 500 Long Futures | 134 | $68,755,400 | March 2015 | $(33,840) |
3United States Treasury Note 2-Year Long Futures | 120 | $26,231,250 | March 2015 | $(26,520) |
3United States Treasury Note 10-Year Long Futures | 105 | $13,313,672 | March 2015 | $43,916 |
3United States Treasury Bond Long Short Futures | 46 | $6,649,875 | March 2015 | $(198,838) |
3United States Treasury Bond Ultra Short Futures | 85 | $14,040,938 | March 2015 | $(688,824) |
3United States Treasury Note 5-Year Short Futures | 338 | $40,198,235 | March 2015 | $(10,102) |
3United States Treasury Note 10-Year Short Futures | 186 | $23,584,219 | March 2015 | $(138,920) |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(1,053,128) |
1 | Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At December 31, 2014, these restricted securities amounted to $83,504,948, which represented 12.8% of total net assets. |
2 | Denotes a restricted security that may be resold without restriction to “qualified institutional buyers” as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund's Board of Trustees (the “Trustees”). At December 31, 2014, these liquid restricted securities amounted to $83,504,948, which represented 12.8% of total net assets. |
3 | Non-income-producing security. |
4 | Pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding futures contracts. |
5 | Affiliated holding. |
6 | The cost of investments for federal tax purposes amounts to $631,701,324. |
7 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices and Investments in Investment Companies | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | $98,677,471 | $— | $— | $98,677,471 |
International | 50,851,714 | 1,295,031 | — | 52,146,745 |
Preferred Stocks | ||||
Domestic | 44,149,530 | 55,299,146 | — | 99,448,676 |
International | — | 2,646,987 | — | 2,646,987 |
Debt Securities: | ||||
Adjustable Rate Mortgage | — | 17,915 | — | 17,915 |
Asset-Backed Security | — | 226,104 | — | 226,104 |
Collateralized Mortgage Obligations | — | 9,419,336 | — | 9,419,336 |
Commercial Mortgage-Backed Security | — | 1,057,227 | — | 1,057,227 |
Corporate Bonds | — | 115,788,102 | — | 115,788,102 |
Foreign Governments/Agencies | — | 35,175,926 | — | 35,175,926 |
Mortgage-Backed Securities | — | 21,501,581 | — | 21,501,581 |
U.S. Treasury | — | 642,106 | — | 642,106 |
Investment Company | 170,854,488 | — | — | 170,854,488 |
Repurchase Agreement | — | 35,228,000 | — | 35,228,000 |
TOTAL SECURITIES | $364,533,203 | $278,297,461 | $— | $642,830,664 |
OTHER FINANCIAL INSTRUMENTS* | $(1,053,128) | $— | $— | $(1,053,128) |
* | Other financial instruments include futures contracts. |
ADR | —American Depositary Receipt |
MTN | —Medium Term Note |
REMIC | —Real Estate Mortgage Investment Conduit |
Year Ended December 31 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $11.30 | $9.56 | $9.22 | $9.15 | $8.67 |
Income From Investment Operations: | |||||
Net investment income1 | 0.54 | 0.50 | 0.44 | 0.43 | 0.39 |
Net realized and unrealized gain (loss) on investments, written options, futures contracts, swap contracts and foreign currency transactions | (0.12) | 1.54 | 0.77 | 0.002 | 0.61 |
TOTAL FROM INVESTMENT OPERATIONS | 0.42 | 2.04 | 1.21 | 0.43 | 1.00 |
Less Distributions: | |||||
Distributions from net investment income | (0.38) | (0.30) | (0.29) | (0.36) | (0.52) |
Distributions from net realized gain on investments, futures contracts, swap contracts and foreign currency transactions | (0.80) | — | (0.58) | — | — |
TOTAL DISTRIBUTIONS | (1.18) | (0.30) | (0.87) | (0.36) | (0.52) |
Net Asset Value, End of Period | $10.54 | $11.30 | $9.56 | $9.22 | $9.15 |
Total Return3 | 4.01% | 21.74% | 13.55% | 4.77% | 12.08% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.76% | 0.82% | 0.82% | 1.02%4 | 1.13%4 |
Net investment income | 4.99% | 4.80% | 4.75% | 4.74% | 4.50% |
Expense waiver/reimbursement5 | 0.15% | 0.16% | 0.16% | 0.16% | 0.33% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $652,011 | $451,067 | $235,409 | $122,494 | $54,450 |
Portfolio turnover | 54% | 52% | 27% | 114% | 96% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 54% | 52% | 27% | 113% | 96% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Represents less than $0.01. |
3 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
4 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratios are 1.02% and 1.11% for the years ended December 31, 2011 and 2010, respectively, after taking into account these expense reductions. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Total investment in securities, at value including $170,854,488 of investment in an affiliated holding (Note 5) (identified cost $629,927,844) | $642,830,664 | |
Cash | 1,093,165 | |
Cash denominated in foreign currencies (identified cost $954,537) | 914,466 | |
Restricted cash (Note 2) | 3,737,780 | |
Income receivable | 3,378,172 | |
Receivable for shares sold | 2,675,863 | |
TOTAL ASSETS | 654,630,110 | |
Liabilities: | ||
Payable for investments purchased | $1,080,229 | |
Payable for shares redeemed | 500,398 | |
Payable for daily variation margin | 966,237 | |
Accrued expenses (Note 5) | 72,674 | |
TOTAL LIABILITIES | 2,619,538 | |
Net assets for 61,887,741 shares outstanding | $652,010,572 | |
Net Assets Consist of: | ||
Paid-in capital | $612,056,154 | |
Net unrealized appreciation of investments, futures contracts and translation of assets and liabilities in foreign currency | 11,809,487 | |
Accumulated net realized loss on investments, futures contracts and foreign currency transactions | (245,412) | |
Undistributed net investment income | 28,390,343 | |
TOTAL NET ASSETS | $652,010,572 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$652,010,572 ÷ 61,887,741 shares outstanding, no par value, unlimited shares authorized | $10.54 |
Investment Income: | |||
Dividends (including $6,687,387 received from an affiliated holding (Note 5) and net of foreign taxes withheld of $396,547) | $24,248,981 | ||
Interest | 7,891,446 | ||
TOTAL INCOME | 32,140,427 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $4,189,068 | ||
Administrative fee (Note 5) | 561,786 | ||
Custodian fees | 57,919 | ||
Transfer agent fee | 49,071 | ||
Directors'/Trustees' fees (Note 5) | 4,120 | ||
Auditing fees | 29,500 | ||
Legal fees | 17,733 | ||
Portfolio accounting fees | 160,364 | ||
Printing and postage | 16,675 | ||
Miscellaneous (Note 5) | 10,669 | ||
TOTAL EXPENSES | 5,096,905 | ||
Reimbursement of investment adviser fee (Note 5) | (833,165) | ||
Net expenses | 4,263,740 | ||
Net investment income | 27,876,687 | ||
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions: | |||
Net realized loss on investments (including realized loss of $121,610 on sales of investments in an affiliated holding (Note 5)) and foreign currency transactions | (1,650,866) | ||
Net realized gain on futures contracts | 13,933,890 | ||
Net change in unrealized appreciation of investments and translation of assets and liabilities in foreign currency | (15,723,979) | ||
Net change in unrealized appreciation of futures contracts | (6,919,017) | ||
Net realized and unrealized loss on investments, futures contracts and foreign currency transactions | (10,359,972) | ||
Change in net assets resulting from operations | $17,516,715 |
Year Ended December 31 | 2014 | 2013 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $27,876,687 | $15,891,871 |
Net realized gain on investments, futures contracts and foreign currency transactions | 12,283,024 | 30,725,134 |
Net change in unrealized appreciation/depreciation of investments, futures contracts and translation of assets and liabilities in foreign currency | (22,642,996) | 19,826,536 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 17,516,715 | 66,443,541 |
Distributions to Shareholders: | ||
Distributions from net investment income | (16,297,881) | (8,231,272) |
Distributions from net realized gain on investments | (34,307,764) | — |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (50,605,645) | (8,231,272) |
Share Transactions: | ||
Proceeds from sale of shares | 262,897,715 | 210,993,255 |
Net asset value of shares issued to shareholders in payment of distributions declared | 50,605,645 | 8,231,272 |
Cost of shares redeemed | (79,470,869) | (61,778,711) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 234,032,491 | 157,445,816 |
Change in net assets | 200,943,561 | 215,658,085 |
Net Assets: | ||
Beginning of period | 451,067,011 | 235,408,926 |
End of period (including undistributed net investment income of $28,390,343 and $16,210,603, respectively) | $652,010,572 | $451,067,011 |
■ | Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market. |
■ | 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 Trustees. |
■ | Fixed-income securities and repurchase agreements 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), unless the issuer's creditworthiness is impaired or other factors indicate that amortized cost is not an accurate estimate of the investment's fair value, in which case it would be valued in the same manner as a longer-term security. |
■ | 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. |
■ | With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts; |
■ | Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; |
■ | Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry. |
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 | $1,053,128* |
* | 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 | Forward Currency Contracts | Purchased Option Contracts | Total | |
Interest rate contracts | $(3,403,570) | $— | $— | $(3,403,570) |
Equity contracts | 17,337,460 | — | 121,284 | 17,458,744 |
Foreign exchange contracts | — | 2,373 | — | 2,373 |
TOTAL | $13,933,890 | $2,373 | $121,284 | $14,057,547 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||
Futures | Forward Currency Contracts | Total | |
Interest rate contracts | $(1,124,354) | $— | $(1,124,354) |
Equity contracts | (5,794,663) | — | (5,794,663) |
Foreign exchange contracts | — | (1,566) | (1,566) |
TOTAL | $(6,919,017) | $(1,566) | $(6,920,583) |
Year End December 31 | 2014 | 2013 |
Shares sold | 24,348,355 | 20,421,198 |
Shares issued to shareholders in payment of distributions declared | 4,966,207 | 827,263 |
Shares redeemed | (7,353,587) | (5,947,464) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | 21,960,975 | 15,300,997 |
Increase (Decrease) | ||
Paid-In Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) |
$(13) | $600,934 | $(600,921) |
2014 | 2013 | |
Ordinary income1 | $27,561,268 | $8,231,272 |
Long-term capital gains | $23,044,377 | $— |
1 | For tax purposes, short-term capital gain distributions are considered ordinary income distributions. |
Undistributed ordinary income | $28,590,345 |
Undistributed long-term capital gains | $3,066,670 |
Net unrealized appreciation | $11,089,135 |
Capital loss carryforwards | $(2,791,732) |
Expiration Year | Short-Term | Long-Term | Total |
2016 | $1,610,350 | NA | $1,610,350 |
2017 | $1,181,382 | NA | $1,181,382 |
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 |
Federated High Income Bond Fund II, Primary Shares | |
Balance of Shares Held 12/31/2013 | 15,649,980 |
Purchases/Additions | 9,614,572 |
Sales/Reductions | (538,866) |
Balance of Shares Held 12/31/2014 | 24,725,686 |
Value | $170,854,488 |
Dividend Income | $6,687,387 |
Purchases | $463,349,131 |
Sales | $256,749,264 |
Country | Percentage of Total Net Assets |
United States | 39.1% |
Canada | 3.5% |
United Kingdom | 3.2% |
Mexico | 2.3% |
Brazil | 1.9% |
Russia | 1.4% |
Turkey | 1.4% |
Netherlands | 1.2% |
Other1 | 13.0% |
1 | Countries representing less than 1.0% have been aggregated under the designation “Other”. |
February 13, 2015
Beginning Account Value 7/1/2014 | Ending Account Value 12/31/2014 | Expenses Paid During Period1 | |
Actual | $1,000 | $955.60 | $3.75 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,021.37 | $3.87 |
1 | Expenses are equal to the Fund's annualized net expense ratio of 0.76%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
John F. Donahue* Birth Date: July 28, 1924 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and Director, Federated Investors, Inc.; Chairman of the Federated Fund Family's Executive Committee. Previous Positions: Chairman of the Federated Fund Family; Trustee, Federated Investment Management Company; Chairman and Director, Federated Investment Counseling. |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of the Funds in the Federated Fund Family; President, Chief Executive Officer and Director, Federated Investors, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman, Federated Equity Management Company of Pennsylvania and Passport Research, Ltd. (investment advisory subsidiary of Federated); Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd. |
* | Family relationships and reasons for “interested” status: John F. Donahue is the father of J. Christopher Donahue; both are “interested” due to their beneficial ownership of shares of Federated Investors, Inc. and the positions they hold with Federated and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and CEO, The Collins Group, Inc. (a private equity firm). Other Directorships Held: Director, KLX Corp. Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director, Sterling Suffolk Downs, Inc. (racecourse); Director and Audit Committee Member, Bank of America Corp. and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Fund Family; Associate General Secretary and Director, Office for Church Relations, Diocese of Pittsburgh; Adjunct Professor of Law, Duquesne University School of Law. Other Directorships Held: Director, CONSOL Energy Inc. Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously served as Professor of Law, Duquesne University School of Law and was a member of the Superior Court of Pennsylvania. Judge Lally-Green also holds the positions of: Member, Pennsylvania State Board of Education; Director, Saint Vincent College; Director and Chair, UPMC Mercy Hospital; Regent, St. Vincent Seminary; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Our Campaign for the Church Alive!, Inc.; Director, Pennsylvania Bar Institute; and Director, Catholic High Schools of the Diocese of Pittsburgh, Inc. Judge Lally-Green has held the positions of: Director, Auberle; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; and Director Cardinal Wuerl Catholic High School. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Peter E. Madden Birth Date: March 16, 1942 Trustee Indefinite Term Began serving: October 1993 | Principal Occupation: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Fund Family; Retired. Other Directorships Held: None. Qualifications: Mr. Madden has served in several business management, mutual fund services and directorship positions throughout his career. Mr. Madden previously served as President, Chief Operating Officer and Director, State Street Bank and Trust Company (custodian bank) and State Street Corporation (financial services). He was Director, VISA USA and VISA International and Chairman and Director, Massachusetts Bankers Association. Mr. Madden served as Director, Depository Trust Corporation and Director, The Boston Stock Exchange. Mr. Madden also served as a Representative to the Commonwealth of Massachusetts General Court. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 1999 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant. Other Directorships Held: None. Qualifications: Mr. Mansfield has served in several banking, business management and educational roles and directorship positions throughout his career. Mr. Mansfield previously served as Chief Executive Officer, PBTC International Bank; Partner, Arthur Young & Company (now Ernst & Young LLP); Chief Financial Officer of Retail Banking Sector, Chase Manhattan Bank; Senior Vice President, HSBC Bank USA (formerly, Marine Midland Bank); Vice President, Citibank; Assistant Professor of Banking and Finance, Frank G. Zarb School of Business, Hofstra University; Executive Vice President DVC Group, Inc. (marketing, communications and technology). |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: October 2006 | Principal Occupations: Director or Trustee, Vice Chair of the Audit Committee of the Federated Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; General Counsel, University of Pittsburgh. Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey serves as Board Member, Epilepsy Foundation of Western Pennsylvania and Board member, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
John W. McGonigle Birth Date: October 26, 1938 EXECUTIVE VICE PRESIDENT AND SECRETARY Officer since: September 1993 | Principal Occupations: Executive Vice President and Secretary of the Federated Fund Family; Vice Chairman, Executive Vice President, Secretary and Director, Federated Investors, Inc. Previous Positions: Trustee, Federated Investment Management Company and Federated Investment Counseling; Director, Federated Global Investment Management Corp., Federated Services Company and Federated Securities Corp. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Investors, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer of the Federated Fund Family. He is General Counsel and Vice President, Federated Investors, Inc.; President, Federated Administrative Services and Federated Administrative Services, Inc.; Vice President, Federated Securities Corp.; Secretary, Federated Private Asset Management, Inc.; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Investors, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Investors, Inc. |
Richard B. Fisher Birth Date: May 17, 1923 Vice President Officer since: September 1993 | Principal Occupations: Vice Chairman or Vice President of some of the Funds in the Federated Fund Family; Vice Chairman, Federated Investors, Inc.; Chairman, Federated Securities Corp. Previous Positions: President and Director or Trustee of some of the Funds in the Federated Fund Family; Executive Vice President, Federated Investors, Inc.; Director and Chief Executive Officer, Federated Securities Corp. |
John B. Fisher Birth Date: May 16, 1956 President Officer since: November 2004 | Principal Occupations: President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Family; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc.; President, Technology, Federated Services Company. |
Brian P. Bouda Birth Date: February 28, 1947 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: August 2004 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Fund Family; Vice President and Chief Compliance Officer of Federated Investors, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Bouda joined Federated in 1999 and is a member of the American Bar Association and the State Bar Association of Wisconsin. Previous Positions: Served in Senior Management positions with a large regional banking organization. |
Stephen F. Auth Birth Date: September 3, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated's taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated's money market products in 2004. She joined Federated in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
2015 ©Federated Investors, Inc.
Share Class |
Primary |
Service |
1 | Please see the footnotes to the line graphs below for definitions of, and further information about, the BHY2%ICI. |
2 | Please see the footnotes to the line graphs below for definitions of, and further information about, the LVHCYFA. |
3 | High-yield, lower-rated securities generally entail greater market, credit and liquidity risks than investment-grade securities and may include higher volatility and a higher risk of default. |
4 | The Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid ARM pass-through), asset-backed securities and commercial mortgage-backed securities. The index is unmanaged, and it is not possible to invest directly in an index. |
5 | Credit Suisse High Yield Bond Index serves as a benchmark to evaluate the performance of low-quality bonds. Low-quality is defined as those bonds in the range from “BB” to “CCC” and defaults. The index is unmanaged, and it is not possible to invest directly in an index. |
6 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
Federated High Income Bond Fund II - | Primary Shares | Service Shares | BHY2%ICI | LVHCYFA |
F | F | I | I | |
12/31/2004 | 10,000 | 10,000 | 10,000 | 10,000 |
12/31/2005 | 10,266 | 10,227 | 10,276 | 10,301 |
12/31/2006 | 11,375 | 11,308 | 11,381 | 11,336 |
12/31/2007 | 11,765 | 11,668 | 11,639 | 11,634 |
12/31/2008 | 8,707 | 8,623 | 8,627 | 8,798 |
12/31/2009 | 13,308 | 13,148 | 13,696 | 12,733 |
12/31/2010 | 15,268 | 15,039 | 15,742 | 14,484 |
12/31/2011 | 16,057 | 15,780 | 16,522 | 14,992 |
12/31/2012 | 18,417 | 18,037 | 19,129 | 17,103 |
12/31/2013 | 19,704 | 19,251 | 20,552 | 18,215 |
12/31/2014 | 20,235 | 19,717 | 21,057 | 18,505 |
1 Year | 5 Years | 10 Years | |
Primary Shares | 2.69% | 8.74% | 7.30% |
Service Shares | 2.42% | 8.44% | 7.02% |
BHY2%ICI | 2.46% | 8.98% | 7.73% |
LVHCYFA | 1.59% | 7.91% | 6.47% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BHY2%ICI and the LVHCYFA have been adjusted to reflect reinvestment of dividends on securities in the index and average. |
2 | The BHY2%ICI is an issuer-constrained version of the Barclays U.S. Corporate High-Yield Index that measures the market of USD-denominated, noninvestment-grade, fixed-rate, taxable corporate bonds. The index follows the same rules as the uncapped index but limits the exposure of each issuer to 2% of the total market value and redistributes any excess market value index-wide on a pro-rata basis. The BHY2%ICI is not adjusted to reflect sales charges, expenses or other fees that the Securities and Exchange Commission (SEC) requires to be reflected in the Fund's performance. The index is unmanaged and unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
3 | Lipper figures represent the average of the total returns reported by all mutual funds designated by Lipper, Inc., as falling into the respective category and is not adjusted to reflect any sales charges. These total returns are reported net of expenses and other fees that the SEC requires to be reflected in a mutual fund's performance. |
Index Classification | Percentage of Total Net Assets |
Technology | 12.4% |
Health Care | 8.9% |
Media Entertainment | 6.7% |
Cable Satellite | 6.0% |
Packaging | 5.9% |
Independent Energy | 5.8% |
Automotive | 4.9% |
Midstream | 4.9% |
Food & Beverage | 3.9% |
Financial Institutions | 3.7% |
Wireless Communications | 3.6% |
Retailers | 3.5% |
Other2 | 26.9% |
Cash Equivalents3 | 1.4% |
Other Assets and Liabilities—Net4 | 1.5% |
TOTAL | 100.0% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Barclays U.S. Corporate High Yield 2% Issuer Capped Index (BHY2%ICI). Individual portfolio securities that are not included in the BHY2%ICI are assigned to an index classification by the Fund's Adviser. |
2 | For purposes of this table, index classifications which constitute less than 3.5% of the Fund's total net assets have been aggregated under the designation “Other.” |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—97.0% | |||
Aerospace/Defense—0.9% | |||
$750,000 | 1,2 | KLX, Inc., Sr. Unsecd. Note, Series 144A, 5.875%, 12/1/2022 | $759,375 |
525,000 | TransDigm, Inc., 5.50%, 10/15/2020 | 515,813 | |
500,000 | TransDigm, Inc., 7.50%, 7/15/2021 | 535,000 | |
825,000 | TransDigm, Inc., Sr. Sub. Note, 6.00%, 7/15/2022 | 827,062 | |
400,000 | TransDigm, Inc., Sr. Sub. Note, 6.50%, 7/15/2024 | 404,000 | |
TOTAL | 3,041,250 | ||
Automotive—4.8% | |||
1,275,000 | Affinia Group, Inc., Sr. Unsecd. Note, 7.75%, 5/1/2021 | 1,319,625 | |
875,000 | American Axle & Manufacturing Holdings, Inc., Sr. Note, 6.625%, 10/15/2022 | 931,875 | |
475,000 | American Axle & Manufacturing Holdings, Inc., Sr. Note, 7.75%, 11/15/2019 | 534,375 | |
250,000 | American Axle & Manufacturing Holdings, Inc., Sr. Unsecd. Note, 5.125%, 2/15/2019 | 256,250 | |
275,000 | American Axle & Manufacturing Holdings, Inc., Sr. Unsecd. Note, 6.25%, 3/15/2021 | 290,125 | |
250,000 | 3,4 | Exide Technologies, Sr. Secd. Note, 8.625%, 2/1/2018 | 13,438 |
1,500,000 | General Motors Co., Sr. Unsecd. Note, 4.00%, 4/1/2025 | 1,507,500 | |
100,000 | General Motors Financial Company, Inc., 4.25%, 5/15/2023 | 102,239 | |
250,000 | General Motors Financial Company, Inc., 4.375%, 9/25/2021 | 261,250 | |
900,000 | 1,2 | International Automotive Components, Sr. Secd. Note, Series 144A, 9.125%, 6/1/2018 | 945,000 |
800,000 | 1,2 | J.B. Poindexter, Inc., Series 144A, 9.00%, 4/1/2022 | 868,000 |
300,000 | 1,2 | Jaguar Land Rover PLC, Series 144A, 5.625%, 2/1/2023 | 316,875 |
825,000 | Lear Corp., 4.75%, 1/15/2023 | 827,062 | |
625,000 | Lear Corp., 5.25%, 1/15/2025 | 635,938 | |
250,000 | Lear Corp., 5.375%, 3/15/2024 | 256,875 | |
1,275,000 | 1,2 | MPG Holdco I, Inc., Series 144A, 7.375%, 10/15/2022 | 1,319,625 |
350,000 | 1,2 | Schaeffler AG, Series 144A, 4.25%, 5/15/2021 | 343,000 |
400,000 | 1,2 | Schaeffler AG, Series 144A, 4.75%, 5/15/2021 | 402,000 |
650,000 | 1,2 | Schaeffler AG, Series 144A, 6.75%, 11/15/2022 | 682,500 |
900,000 | 1,2 | Schaeffler AG, Series 144A, 6.875%, 8/15/2018 | 942,750 |
1,075,000 | 1,2 | Stackpole International, Sr. Secd. Note, Series 144A, 7.75%, 10/15/2021 | 1,080,375 |
725,000 | Tenneco, Inc., Company Guarantee, 6.875%, 12/15/2020 | 770,312 | |
550,000 | Tenneco, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2024 | 566,500 | |
1,525,000 | UCI International, Inc., Company Guarantee, 8.625%, 2/15/2019 | 1,464,000 | |
TOTAL | 16,637,489 | ||
Building Materials—2.5% | |||
450,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 5.75%, 10/1/2021 | 478,125 | |
1,075,000 | 1,2 | American Builders & Contractors Supply Co., Inc., Series 144A, 5.625%, 4/15/2021 | 1,083,062 |
575,000 | Anixter International, Inc., 5.125%, 10/1/2021 | 577,875 | |
450,000 | Anixter International, Inc., 5.625%, 5/1/2019 | 477,000 | |
725,000 | 1,2 | CPG International, Inc., Series 144A, 8.00%, 10/1/2021 | 743,125 |
250,000 | 1,2 | HD Supply, Inc., Series 144A, 5.25%, 12/15/2021 | 255,000 |
800,000 | 1,2 | Masonite International Corp., Sr. Note, Series 144A, 8.25%, 4/15/2021 | 858,000 |
400,000 | Nortek, Inc., Sr. Unsecd. Note, 10.00%, 12/1/2018 | 421,000 | |
1,400,000 | Nortek, Inc., Sr. Unsecd. Note, 8.50%, 4/15/2021 | 1,505,000 | |
650,000 | 1,2 | RSI Home Products Incorporated, Series 144A, 6.875%, 3/1/2018 | 682,500 |
700,000 | 1,2 | Rexel, Inc., Sr. Note, Series 144A, 5.25%, 6/15/2020 | 708,750 |
625,000 | 1,2 | Roofing Supply Group, Series 144A, 10.00%, 6/1/2020 | 626,188 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Building Materials—continued | |||
$350,000 | 1,2 | USG Corp., Sr. Note, Series 144A, 5.875%, 11/1/2021 | $355,250 |
TOTAL | 8,770,875 | ||
Cable Satellite—6.0% | |||
600,000 | CCO Holdings LLC/Cap Corp., 5.75%, 9/1/2023 | 609,750 | |
1,000,000 | CCOH Safari LLC, Sr. Unsecd. Note, 5.50%, 12/1/2022 | 1,017,500 | |
600,000 | CCOH Safari LLC, Sr. Unsecd. Note, 5.75%, 12/1/2024 | 608,250 | |
450,000 | 1,2 | Cequel Communications Holdings, Sr. Unsecd. Note, Series 144A, 5.125%, 12/15/2021 | 438,750 |
1,225,000 | 1,2 | Cequel Communications Holdings, Sr. Unsecd. Note, Series 144A, 5.125%, 12/15/2021 | 1,194,375 |
350,000 | 1,2 | Cequel Communications Holdings, Sr. Unsecd. Note, Series 144A, 6.375%, 9/15/2020 | 364,000 |
625,000 | Charter Communications Holdings II, 5.125%, 2/15/2023 | 613,281 | |
575,000 | Charter Communications Holdings II, 5.75%, 1/15/2024 | 582,187 | |
225,000 | Charter Communications Holdings II, 6.625%, 1/31/2022 | 239,906 | |
2,050,000 | DISH DBS Corp., 5.875%, 7/15/2022 | 2,106,375 | |
450,000 | 1,2 | DISH DBS Corp., Sr. Unsecd. Note, Series 144A, 5.875%, 11/15/2024 | 453,375 |
650,000 | 1,2 | Inmarsat Finance PLC, Series 144A, 4.875%, 5/15/2022 | 645,125 |
675,000 | Intelsat (Luxembourg) S. A., 7.75%, 6/1/2021 | 679,219 | |
775,000 | Intelsat (Luxembourg) S. A., Sr. Unsecd. Note, 8.125%, 6/1/2023 | 794,375 | |
1,150,000 | Intelsat Jackson Holdings S.A., 6.625%, 12/15/2022 | 1,187,375 | |
1,800,000 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.50%, 8/1/2023 | 1,795,770 | |
200,000 | 1,2 | Numericable Group SA, Series 144A, 4.875%, 5/15/2019 | 199,000 |
1,125,000 | 1,2 | Numericable Group SA, Series 144A, 6.00%, 5/15/2022 | 1,132,594 |
425,000 | 1,2 | Numericable Group SA, Series 144A, 6.25%, 5/15/2024 | 428,719 |
150,000 | 1,2 | Sirius XM Radio, Inc., Series 144A, 4.25%, 5/15/2020 | 148,125 |
1,425,000 | 1,2 | Sirius XM Radio, Inc., Series 144A, 4.625%, 5/15/2023 | 1,339,500 |
800,000 | 1,2 | Sirius XM Radio, Inc., Series 144A, 5.875%, 10/1/2020 | 826,000 |
400,000 | 1,2 | Sirius XM Radio, Inc., Series 144A, 6.00%, 7/15/2024 | 411,000 |
550,000 | 1,2 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, Series 144A, 5.00%, 1/15/2025 | 552,750 |
950,000 | 1,2 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, Series 144A, 5.50%, 1/15/2023 | 997,500 |
275,000 | 1,2 | Unitymedia KabelBW Gmbh, Series 144A, 6.125%, 1/15/2025 | 284,625 |
900,000 | 1,2 | Virgin Media Secured Finance PLC, Series 144A, 6.375%, 4/15/2023 | 947,250 |
TOTAL | 20,596,676 | ||
Chemicals—2.3% | |||
850,000 | Ashland, Inc., 4.75%, 8/15/2022 | 854,250 | |
325,000 | Celanese US Holdings LLC, 4.625%, 11/15/2022 | 323,375 | |
675,000 | 1,2 | Compass Minerals International, Inc., Series 144A, 4.875%, 7/15/2024 | 658,125 |
1,150,000 | 1,2 | Dupont Performance Coatings, Series 144A, 7.375%, 5/1/2021 | 1,224,750 |
600,000 | Eagle Spinco, Inc., Sr. Unsecd. Note, 4.625%, 2/15/2021 | 570,750 | |
525,000 | 1,2 | Eco Services Operations LLC, Sr. Unsecd. Note, Series 144A, 8.50%, 11/1/2022 | 535,500 |
100,000 | Georgia Gulf Corp., 4.875%, 5/15/2023 | 94,750 | |
625,000 | Hexion U.S. Finance Corp., 6.625%, 4/15/2020 | 615,625 | |
775,000 | Hexion U.S. Finance Corp., Sr. Secd. Note, 8.875%, 2/1/2018 | 691,687 | |
700,000 | Huntsman International LLC, Sr. Unsecd. Note, 4.875%, 11/15/2020 | 698,250 | |
725,000 | 1,2 | Huntsman International LLC, Sr. Unsecd. Note, Series 144A, 5.125%, 11/15/2022 | 715,937 |
360,000 | Omnova Solutions, Inc., Company Guarantee, 7.875%, 11/1/2018 | 364,500 | |
250,000 | 1,2 | WR Grace & Co.- Conn., Sr. Unsecd. Note, Series 144A, 5.125%, 10/1/2021 | 256,875 |
250,000 | 1,2 | WR Grace & Co.- Conn., Sr. Unsecd. Note, Series 144A, 5.625%, 10/1/2024 | 261,563 |
TOTAL | 7,865,937 | ||
Construction Machinery—0.8% | |||
1,100,000 | 1,2 | Jurassic Holdings III, Series 144A, 6.875%, 2/15/2021 | 1,028,500 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Construction Machinery—continued | |||
$175,000 | United Rentals, Inc., 5.75%, 11/15/2024 | $180,688 | |
1,150,000 | United Rentals, Inc., Sr. Sub. Note, 8.375%, 9/15/2020 | 1,239,125 | |
175,000 | United Rentals, Inc., Sr. Unsecd. Note, 6.125%, 6/15/2023 | 184,625 | |
TOTAL | 2,632,938 | ||
Consumer Cyclical Services—1.8% | |||
650,000 | 1,2 | Garda World Security Corp., Series 144A, 7.25%, 11/15/2021 | 646,750 |
825,000 | 1,2 | Garda World Security Corp., Series 144A, 7.25%, 11/15/2021 | 820,875 |
1,450,000 | 1,2 | Hearthside Group Holdings LLC, Series 144A, 6.50%, 5/1/2022 | 1,421,000 |
950,000 | 1,2 | IHS, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 11/1/2022 | 945,250 |
1,184,000 | ServiceMaster Co., 7.00%, 8/15/2020 | 1,231,360 | |
275,000 | ServiceMaster Co., Sr. Unsecd. Note, 7.10%, 3/1/2018 | 281,875 | |
250,000 | ServiceMaster Co., Sr. Unsecd. Note, 7.45%, 8/15/2027 | 240,000 | |
650,000 | ServiceMaster Co., Sr. Unsecd. Note, 8.00%, 2/15/2020 | 687,375 | |
TOTAL | 6,274,485 | ||
Consumer Products—2.8% | |||
1,875,000 | 1,2 | AOT Bedding Super Holdings LLC, Series 144A, 8.125%, 10/1/2020 | 1,992,187 |
825,000 | FGI Operating Co. LLC/FGI Finance, Inc., 7.875%, 5/1/2020 | 746,625 | |
900,000 | 1,2 | First Quality Finance Co., Inc., Series 144A, 4.625%, 5/15/2021 | 828,000 |
875,000 | Party City Holdings, Inc., Sr. Note, 8.875%, 8/1/2020 | 938,438 | |
1,550,000 | Party City Holdings, Inc., Sr. Unsecd. Note, 8.75%, 8/15/2019 | 1,565,500 | |
225,000 | Prestige Brands Holdings, Inc., 8.125%, 2/1/2020 | 240,750 | |
1,075,000 | 1,2 | Prestige Brands Holdings, Inc., Series 144A, 5.375%, 12/15/2021 | 1,061,563 |
300,000 | 1,2 | Spectrum Brands, Inc., Series 144A, 6.125%, 12/15/2024 | 306,000 |
1,125,000 | Spectrum Brands, Inc., Sr. Unsecd. Note, 6.75%, 3/15/2020 | 1,178,437 | |
775,000 | Springs Industries, Inc., 6.25%, 6/1/2021 | 775,000 | |
TOTAL | 9,632,500 | ||
Diversified Manufacturing—1.8% | |||
425,000 | 1,2 | Apex Tool Group, Sr. Unsecd. Note, Series 144A, 7.00%, 2/1/2021 | 365,500 |
300,000 | Dynacast International LLC, 9.25%, 7/15/2019 | 323,250 | |
1,225,000 | 1,2 | Gardner Denver, Inc., Series 144A, 6.875%, 8/15/2021 | 1,182,125 |
1,350,000 | 1,2 | Gates Global LLC, Series 144A, 6.00%, 7/15/2022 | 1,299,645 |
1,150,000 | 1,2 | Hamilton Sundstrand Corp., Series 144A, 7.75%, 12/15/2020 | 1,092,500 |
250,000 | 1,2 | Milacron LLC, Series 144A, 7.75%, 2/15/2021 | 256,250 |
240,000 | 1,2 | Milacron LLC, Series 144A, 8.375%, 5/15/2019 | 255,600 |
1,100,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2021 | 1,115,125 | |
225,000 | 1,2 | Waterjet Holdings, Inc., Series 144A, 7.625%, 2/1/2020 | 232,312 |
TOTAL | 6,122,307 | ||
Financial Institutions—3.7% | |||
800,000 | 1,2 | Aercap Ireland Capital Ltd/AerCap Global Aviation Trust, Series 144A, 4.50%, 5/15/2021 | 811,000 |
200,000 | 1,2 | Aercap Ireland Capital Ltd/AerCap Global Aviation Trust, Sr. Unsecd. Note, Series 144A, 5.00%, 10/1/2021 | 207,500 |
1,300,000 | Ally Financial, Inc., Sr. Unsecd. Note, 3.75%, 11/18/2019 | 1,283,750 | |
625,000 | Ally Financial, Inc., Sr. Unsecd. Note, 5.125%, 9/30/2024 | 635,937 | |
402,000 | Ally Financial, Inc., Sr. Unsecd. Note, 8.00%, 3/15/2020 | 475,365 | |
475,000 | 1,2 | CIT Group Holdings, Inc., Sr. 2nd Priority Note, Series 144A, 6.625%, 4/1/2018 | 517,156 |
550,000 | CIT Group Holdings, Inc., Sr. Note, 4.25%, 8/15/2017 | 562,375 | |
750,000 | CIT Group Holdings, Inc., Sr. Unsecd. Note, 5.00%, 8/1/2023 | 772,500 | |
850,000 | CIT Group Holdings, Inc., Sr. Unsecd. Note, 5.25%, 3/15/2018 | 888,250 | |
150,000 | CIT Group Holdings, Inc., Sr. Unsecd. Note, 5.375%, 5/15/2020 | 159,098 | |
1,375,000 | 1,2 | Hockey Merger Sub 2, Inc., Sr. Unsecd. Note, Series 144A, 7.875%, 10/1/2021 | 1,371,562 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Financial Institutions—continued | |||
$750,000 | 1,2 | Hub Holdings LLC/Hub Hol, Sr. Unsecd. Note, Series 144A, 8.125%, 7/15/2019 | $746,250 |
1,050,000 | International Lease Finance Corp., 4.625%, 4/15/2021 | 1,070,344 | |
1,600,000 | International Lease Finance Corp., 5.875%, 8/15/2022 | 1,740,000 | |
150,000 | International Lease Finance Corp., Sr. Unsecd. Note, 5.75%, 5/15/2016 | 155,906 | |
575,000 | 1,2 | Neuberger Berman, Inc., Series 144A, 5.875%, 3/15/2022 | 608,063 |
725,000 | 1,2 | Onex York Acquisition Corp., Series 144A, 8.50%, 10/1/2022 | 727,719 |
TOTAL | 12,732,775 | ||
Food & Beverage—3.9% | |||
1,725,000 | 1,2 | Anna Merger Sub, Inc., Series 144A, 7.75%, 10/1/2022 | 1,750,875 |
1,575,000 | Aramark Corp., Sr. Unsecd. Note, 5.75%, 3/15/2020 | 1,634,062 | |
725,000 | B&G Foods, Inc., Sr. Note, 4.625%, 6/1/2021 | 710,391 | |
1,815,000 | Del Monte Foods Co., Sr. Unsecd. Note, 7.625%, 2/15/2019 | 1,787,775 | |
2,125,000 | H.J. Heinz Co., 4.25%, 10/15/2020 | 2,151,562 | |
1,625,000 | Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.875%, 5/1/2021 | 1,588,438 | |
575,000 | 1,2 | Shearer's Foods, Inc., Sr. Secd. Note, Series 144A, 9.00%, 11/1/2019 | 629,625 |
1,025,000 | Smithfield Foods, Inc., 6.625%, 8/15/2022 | 1,076,250 | |
350,000 | 1,2 | Smithfield Foods, Inc., Sr. Note, Series 144A, 5.25%, 8/1/2018 | 357,000 |
75,000 | 1,2 | Smithfield Foods, Inc., Sr. Note, Series 144A, 5.875%, 8/1/2021 | 76,688 |
100,000 | TreeHouse Foods, Inc., 4.875%, 3/15/2022 | 101,500 | |
1,275,000 | U.S. Foodservice, Inc., Sr. Unsecd. Note, 8.50%, 6/30/2019 | 1,352,775 | |
200,000 | WhiteWave Foods Co., 5.375%, 10/1/2022 | 206,500 | |
TOTAL | 13,423,441 | ||
Gaming—3.4% | |||
625,000 | Affinity Gaming LLC, Sr. Unsecd. Note, 9.00%, 5/15/2018 | 603,125 | |
450,000 | Ameristar Casinos, Inc., Sr. Unsecd. Note, 7.50%, 4/15/2021 | 471,371 | |
500,000 | 1,2 | Chester Downs & Marina, Series 144A, 9.25%, 2/1/2020 | 375,000 |
300,000 | Churchill Downs, Inc., 5.375%, 12/15/2021 | 301,500 | |
625,000 | GLP Capital LP / GLP Financing II, Inc., 4.875%, 11/1/2020 | 635,938 | |
450,000 | GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/2023 | 468,000 | |
1,050,000 | MGM Mirage, Inc., 7.75%, 3/15/2022 | 1,165,500 | |
725,000 | MGM Mirage, Inc., Sr. Unsecd. Note, 6.75%, 10/1/2020 | 763,062 | |
375,000 | MGM Mirage, Inc., Sr. Unsecd. Note, 8.625%, 2/1/2019 | 427,031 | |
675,000 | MGM Resorts International, 6.00%, 3/15/2023 | 681,750 | |
875,000 | Mohegan Tribal Gaming Authority, 9.75%, 9/1/2021 | 896,875 | |
1,425,000 | Penn National Gaming, Inc., 5.875%, 11/1/2021 | 1,332,375 | |
775,000 | Pinnacle Entertainment, Inc., 6.375%, 8/1/2021 | 802,125 | |
425,000 | Pinnacle Entertainment, Inc., 7.75%, 4/1/2022 | 444,125 | |
646,000 | 1,2 | Rivers Pittsburgh LP, Sr. Secd. Note, Series 144A, 9.50%, 6/15/2019 | 687,990 |
565,000 | 1,2 | Seminole Tribe of Florida, Bond, Series 144A, 7.804%, 10/1/2020 | 601,725 |
1,175,000 | Station Casinos, Inc., Sr. Note, 7.50%, 3/1/2021 | 1,210,250 | |
TOTAL | 11,867,742 | ||
Health Care—8.9% | |||
1,075,000 | 1,2 | Amsurg Corp., Series 144A, 5.625%, 7/15/2022 | 1,107,250 |
1,075,000 | Biomet, Inc., Sr. Note, 6.50%, 8/1/2020 | 1,152,937 | |
1,425,000 | CHS/Community Health Systems, Inc., Sr. Unsecd. Note, 6.875%, 2/1/2022 | 1,516,734 | |
725,000 | CHS/Community Health Systems, Inc., Term Loan—1st Lien, 5.125%, 8/1/2021 | 755,813 | |
300,000 | Catamaran Corp., 4.75%, 3/15/2021 | 300,750 | |
275,000 | DJO Finance LLC, 9.875%, 4/15/2018 | 280,500 | |
1,150,000 | DJO Finance LLC, Company Guarantee, 7.75%, 4/15/2018 | 1,121,250 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Health Care—continued | |||
$750,000 | DaVita HealthCare Partners, Inc., 5.125%, 7/15/2024 | $766,406 | |
650,000 | DaVita HealthCare Partners, Inc., 5.75%, 8/15/2022 | 691,438 | |
1,475,000 | 1,2 | Envision Healthcare Holdings, Inc., Series 144A, 5.125%, 7/1/2022 | 1,467,625 |
600,000 | HCA, Inc., 4.75%, 5/1/2023 | 612,000 | |
1,675,000 | HCA, Inc., 5.00%, 3/15/2024 | 1,725,250 | |
675,000 | HCA, Inc., Bond, 5.875%, 3/15/2022 | 740,813 | |
475,000 | HCA, Inc., Sr. Secd. Note, 6.50%, 2/15/2020 | 533,425 | |
1,050,000 | HCA, Inc., Sr. Unsecd. Note, 7.50%, 2/15/2022 | 1,202,250 | |
725,000 | HCA, Inc., Term Loan—1st Lien, 5.25%, 4/15/2025 | 758,531 | |
550,000 | Hologic, Inc., 6.25%, 8/1/2020 | 574,750 | |
1,350,000 | Iasis Healthcare, Sr. Unsecd. Note, 8.375%, 5/15/2019 | 1,420,875 | |
775,000 | LifePoint Hospitals, Inc., Sr. Unsecd. Note, 5.50%, 12/1/2021 | 796,312 | |
1,800,000 | 1,2 | MPH Acquisition Holdings LLC, Series 144A, 6.625%, 4/1/2022 | 1,845,000 |
775,000 | Omnicare, Inc., Sr. Unsecd. Note, 4.75%, 12/1/2022 | 788,563 | |
500,000 | Omnicare, Inc., Sr. Unsecd. Note, 5.00%, 12/1/2024 | 515,000 | |
2,550,000 | 1,2 | Ortho-Clinical Diagnostics, Inc., Series 144A, 6.625%, 5/15/2022 | 2,295,000 |
675,000 | 1,2 | Teleflex, Inc., Series 144A, 5.25%, 6/15/2024 | 676,688 |
1,250,000 | Tenet Healthcare Corp., 8.125%, 4/1/2022 | 1,400,000 | |
1,050,000 | Tenet Healthcare Corp., Note, Series B, 4.375%, 10/1/2021 | 1,047,375 | |
900,000 | Tenet Healthcare Corp., Sr. Secd. Note, 4.50%, 4/1/2021 | 905,625 | |
100,000 | 1,2 | Truven Health Analytics, Inc., Sr. Unsecd. Note, Series 144A, 10.625%, 6/1/2020 | 98,000 |
775,000 | United Surgical Partners International, Inc., 9.00%, 4/1/2020 | 836,031 | |
700,000 | Universal Hospital Service Holdco, Inc., 7.625%, 8/15/2020 | 605,500 | |
1,450,000 | VWR Funding, Inc., Sr. Unsecd. Note, 7.25%, 9/15/2017 | 1,520,687 | |
650,000 | Wolverine Healthcare, Sr. Note, 10.625%, 6/1/2020 | 637,000 | |
TOTAL | 30,695,378 | ||
Independent Energy—5.8% | |||
875,000 | Antero Resources Corp., 6.00%, 12/1/2020 | 877,187 | |
875,000 | 1,2 | Antero Resources Corp., Series 144A, 5.125%, 12/1/2022 | 829,063 |
450,000 | Antero Resources Finance Corp., 5.375%, 11/1/2021 | 437,063 | |
1,025,000 | Approach Resources, Inc., 7.00%, 6/15/2021 | 763,625 | |
1,400,000 | BreitBurn Energy Partners L.P., 7.875%, 4/15/2022 | 1,088,500 | |
200,000 | 1,2 | California Resources Corp., Series 144A, 5.50%, 9/15/2021 | 172,000 |
1,000,000 | 1,2 | California Resources Corp., Series 144A, 6.00%, 11/15/2024 | 850,000 |
825,000 | Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 7.50%, 9/15/2020 | 796,125 | |
350,000 | 1,2 | Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, Series 144A, 7.50%, 9/15/2020 | 337,750 |
575,000 | Chaparral Energy, Inc., 7.625%, 11/15/2022 | 382,375 | |
875,000 | Chaparral Energy, Inc., Company Guarantee, 9.875%, 10/1/2020 | 599,375 | |
75,000 | Chesapeake Energy Corp., 5.75%, 3/15/2023 | 77,625 | |
75,000 | Chesapeake Energy Corp., Sr. Unsecd. Note, 5.375%, 6/15/2021 | 75,328 | |
1,350,000 | Chesapeake Energy Corp., Sr. Unsecd. Note, 6.875%, 11/15/2020 | 1,458,000 | |
350,000 | EP Energy/EP Finance, Inc., 9.375%, 5/1/2020 | 355,250 | |
700,000 | Energy XXI Gulf Coast, Inc., 7.50%, 12/15/2021 | 381,500 | |
450,000 | Energy XXI Gulf Coast, Inc., 9.25%, 12/15/2017 | 299,250 | |
300,000 | 1,2 | Energy XXI Gulf Coast, Inc., Series 144A, 6.875%, 3/15/2024 | 162,750 |
975,000 | 1,2 | Gulfport Energy Corp., Series 144A, 7.75%, 11/1/2020 | 957,937 |
425,000 | Kodiak Oil & Gas Corp., 5.50%, 1/15/2021 | 428,188 | |
75,000 | Kodiak Oil & Gas Corp., Sr. Unsecd. Note, 5.50%, 2/1/2022 | 75,563 | |
325,000 | Laredo Petroleum, Inc., 5.625%, 1/15/2022 | 286,000 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Independent Energy—continued | |||
$300,000 | Legacy Reserves, 6.625%, 12/1/2021 | $247,500 | |
1,000,000 | 1,2 | Legacy Reserves, Series 144A, 6.625%, 12/1/2021 | 825,000 |
550,000 | Linn Energy LLC, 6.50%, 5/15/2019 | 473,000 | |
325,000 | Linn Energy LLC, 6.50%, 9/15/2021 | 264,875 | |
350,000 | Linn Energy LLC, Company Guarantee, 7.75%, 2/1/2021 | 296,625 | |
375,000 | Linn Energy LLC, Sr. Unsecd. Note, 6.25%, 11/1/2019 | 320,625 | |
250,000 | Linn Energy LLC, Sr. Unsecd. Note, 8.625%, 4/15/2020 | 218,750 | |
750,000 | Newfield Exploration Co., Sr. Unsecd. Note, 5.625%, 7/1/2024 | 745,781 | |
1,225,000 | Northern Oil and Gas, Inc., Sr. Note, 8.00%, 6/1/2020 | 934,062 | |
250,000 | Oasis Petroleum, Inc., 6.875%, 1/15/2023 | 228,750 | |
50,000 | Oasis Petroleum, Inc., 6.875%, 3/15/2022 | 45,750 | |
650,000 | Oasis Petroleum, Inc., Company Guarantee, 6.50%, 11/1/2021 | 594,750 | |
200,000 | 1,2 | RSP Permian, Inc., Sr. Unsecd. Note, Series 144A, 6.625%, 10/1/2022 | 187,000 |
150,000 | Range Resources Corp., 5.00%, 8/15/2022 | 150,750 | |
300,000 | Range Resources Corp., Sr. Sub. Note, 5.00%, 3/15/2023 | 301,500 | |
850,000 | 1,2 | Rice Energy, Inc., Sr. Unsecd. Note, Series 144A, 6.25%, 5/1/2022 | 794,750 |
275,000 | SM Energy Co., Sr. Unsecd. Note, 5.00%, 1/15/2024 | 239,250 | |
175,000 | Sandridge Energy, Inc., 7.50%, 2/15/2023 | 112,875 | |
600,000 | Sandridge Energy, Inc., 7.50%, 3/15/2021 | 387,000 | |
550,000 | Sandridge Energy, Inc., 8.125%, 10/15/2022 | 349,250 | |
775,000 | W&T Offshore, Inc., Sr. Unsecd. Note, 8.50%, 6/15/2019 | 511,500 | |
TOTAL | 19,919,797 | ||
Industrial - Other—2.0% | |||
925,000 | 1,2 | Belden CDT, Inc., Series 144A, 5.50%, 9/1/2022 | 922,688 |
900,000 | 1,2 | Belden, Inc., Sr. Sub., Series 144A, 5.25%, 7/15/2024 | 868,500 |
750,000 | 1,2 | Cleaver-Brooks, Inc., Series 144A, 8.75%, 12/15/2019 | 793,125 |
175,000 | General Cable Corp., Sr. Unsecd. Note, 5.75%, 10/1/2022 | 128,625 | |
1,075,000 | 1,2 | Hillman Group, Inc., Unsecd. Note, Series 144A, 6.375%, 7/15/2022 | 1,037,375 |
742,000 | Interline Brands, Inc., Sr. Unsecd. Note, 10.00%, 11/15/2018 | 779,100 | |
300,000 | Mastec, Inc., 4.875%, 3/15/2023 | 283,500 | |
1,275,000 | 1,2 | Mirror Bidco/Dematic, Series 144A, 7.75%, 12/15/2020 | 1,341,937 |
125,000 | 1,2 | Unifrax Investment Corp., Series 144A, 7.50%, 2/15/2019 | 123,750 |
725,000 | 1,2 | Unifrax Investment Corp., Series 144A, 7.50%, 2/15/2019 | 717,750 |
TOTAL | 6,996,350 | ||
Leisure—1.1% | |||
400,000 | 1,2 | Activision Blizzard, Inc., Sr. Note, Series 144A, 6.125%, 9/15/2023 | 432,000 |
175,000 | 1,2 | Activision Blizzard, Inc., Sr. Unsecd. Note, Series 144A, 5.625%, 9/15/2021 | 184,187 |
650,000 | 1,2 | Cedar Fair LP, Series 144A, 5.375%, 6/1/2024 | 647,562 |
225,000 | Cedar Fair LP, Sr. Unsecd. Note, 5.25%, 3/15/2021 | 227,250 | |
175,000 | Cinemark USA, Inc., 5.125%, 12/15/2022 | 171,938 | |
775,000 | 1,3,4,5,6 | Hard Rock Park Operations LLC, Sr. Secd. Note, Series 144A, 0.00%, 4/1/2012 | 0 |
500,000 | 1,2 | NCL Corp. Ltd., Series 144A, 5.25%, 11/15/2019 | 506,250 |
275,000 | Regal Cinemas, Inc., 5.75%, 2/1/2025 | 254,375 | |
425,000 | Regal Entertainment Group, Sr. Unsecd. Note, 5.75%, 3/15/2022 | 408,000 | |
1,100,000 | 1,2 | Six Flags Entertainment Corp., Sr. Note, Series 144A, 5.25%, 1/15/2021 | 1,105,500 |
TOTAL | 3,937,062 | ||
Lodging—0.4% | |||
675,000 | Choice Hotels International, Inc., 5.75%, 7/1/2022 | 727,313 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Lodging—continued | |||
$600,000 | Hilton Worldwide Finance LLC, Sr. Unsecd. Note, 5.625%, 10/15/2021 | $630,000 | |
TOTAL | 1,357,313 | ||
Media Entertainment—6.7% | |||
475,000 | AMC Networks, Inc., 7.75%, 7/15/2021 | 510,625 | |
450,000 | AMC Networks, Inc., Sr. Unsecd. Note, 4.75%, 12/15/2022 | 438,750 | |
675,000 | 1,2 | CBS Outdoor Americas Capital LLC/Corp., Series 144A, 5.625%, 2/15/2024 | 680,062 |
275,000 | 1,2 | CBS Outdoor Americas Capital LLC/Corp., Series 144A, 5.875%, 3/15/2025 | 277,750 |
100,000 | 1,2 | CBS Outdoor Americas Capital LLC/Corp., Sr. Unsecd. Note, Series 144A, 5.25%, 2/15/2022 | 101,000 |
225,000 | Clear Channel Communications, Inc., 11.25%, 3/1/2021 | 231,469 | |
1,325,000 | Clear Channel Communications, Inc., Company Guarantee, 9.00%, 3/1/2021 | 1,303,469 | |
275,000 | Clear Channel Worldwide, 6.50%, 11/15/2022 | 281,188 | |
150,000 | Clear Channel Worldwide, 7.625%, 3/15/2020 | 156,375 | |
1,575,000 | Clear Channel Worldwide, Series B, 6.50%, 11/15/2022 | 1,630,125 | |
325,000 | Clear Channel Worldwide, Series B, 7.625%, 3/15/2020 | 343,688 | |
1,225,000 | Crown Media Holdings, Inc., Company Guarantee, 10.50%, 7/15/2019 | 1,338,312 | |
1,200,000 | Cumulus Media, Inc., Sr. Unsecd. Note, 7.75%, 5/1/2019 | 1,216,500 | |
1,250,000 | 1,2 | Emerald Expo Holdings, Inc., Series 144A, 9.00%, 6/15/2021 | 1,281,250 |
825,000 | Entercom Radio LLC, Sr. Sub. Note, 10.50%, 12/1/2019 | 899,250 | |
250,000 | Gannett Co., Inc., 5.125%, 10/15/2019 | 256,875 | |
950,000 | Gannett Co., Inc., 6.375%, 10/15/2023 | 1,011,750 | |
100,000 | 1,2 | Gannett Co., Inc., Sr. Unsecd. Note, Series 144A, 4.875%, 9/15/2021 | 99,500 |
100,000 | 1,2 | Gannett Co., Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 9/15/2024 | 100,500 |
1,350,000 | Gray Television, Inc., 7.50%, 10/1/2020 | 1,397,250 | |
325,000 | Lamar Media Corp., 5.00%, 5/1/2023 | 323,375 | |
425,000 | Lamar Media Corp., 5.875%, 2/1/2022 | 443,063 | |
200,000 | Lamar Media Corp., Sr. Unsecd. Note, 5.375%, 1/15/2024 | 207,000 | |
1,100,000 | 1,2 | Media General Finance Sub, Inc., Sr. Unsecd. Note, Series 144A, 5.875%, 11/15/2022 | 1,091,750 |
875,000 | 1,2 | Multi-Color Corp., Series 144A, 6.125%, 12/1/2022 | 877,187 |
725,000 | Nielsen Finance LLC/Nielsen Finance Co., 4.50%, 10/1/2020 | 732,250 | |
550,000 | 1,2 | Nielsen Finance LLC/Nielsen Finance Co., Series 144A, 5.00%, 4/15/2022 | 555,500 |
1,000,000 | 1,2 | Nielsen Finance LLC/Nielsen Finance Co., Series 144A, 5.50%, 10/1/2021 | 1,025,000 |
775,000 | 1,2 | Radio One, Inc., Series 144A, 9.25%, 2/15/2020 | 678,125 |
1,275,000 | 1,2 | Sinclair Television Group, Series 144A, 5.625%, 8/1/2024 | 1,239,937 |
1,350,000 | 1,2 | Southern Graphics Systems, Inc., Series 144A, 8.375%, 10/15/2020 | 1,360,125 |
750,000 | 1,2 | Time, Inc., Series 144A, 5.75%, 4/15/2022 | 727,500 |
450,000 | 1,2 | Townsquare Radio LLC, Series 144A, 9.00%, 4/1/2019 | 481,500 |
TOTAL | 23,298,000 | ||
Metals & Mining—0.5% | |||
750,000 | 3,4,5 | Aleris International, Inc., Company Guarantee, 9.00%, 12/15/2099 | 75 |
625,000 | 3,4,5 | Aleris International, Inc., Sr. Sub. Note, 10.00%, 12/15/2016 | 0 |
250,000 | 1,2 | Steel Dynamics, Inc., Series 144A, 5.125%, 10/1/2021 | 254,688 |
450,000 | 1,2 | Steel Dynamics, Inc., Series 144A, 5.50%, 10/1/2024 | 462,375 |
100,000 | Steel Dynamics, Inc., Sr. Unsecd. Note, 5.25%, 4/15/2023 | 102,000 | |
475,000 | 1,2 | Wise Metals Group LLC, Sr. Secd. Note, Series 144A, 8.75%, 12/15/2018 | 501,125 |
500,000 | 1,2 | Wise Metals Intermediate Holdings LLC/Wise Holdings Finance Corp., Series 144A, 9.75%, 6/15/2019 | 533,125 |
TOTAL | 1,853,388 | ||
Midstream—4.9% | |||
725,000 | Access Midstream Partners LP, Sr. Note, 4.875%, 5/15/2023 | 739,500 | |
125,000 | Access Midstream Partners LP, Sr. Unsecd. Note, 4.875%, 3/15/2024 | 127,188 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Midstream—continued | |||
$600,000 | Atlas Pipeline Partners LP, 4.75%, 11/15/2021 | $573,000 | |
500,000 | Atlas Pipeline Partners LP, 5.875%, 8/1/2023 | 497,500 | |
500,000 | 1,2 | Blue Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unsecd. Note, Series 144A, 6.125%, 11/15/2022 | 483,750 |
375,000 | Chesapeake Midstream Partners L. P., Sr. Unsecd. Note, 6.125%, 7/15/2022 | 400,312 | |
275,000 | Crestwood Midstream Partners LP, Sr. Unsecd. Note, 6.125%, 3/1/2022 | 264,000 | |
2,350,000 | Energy Transfer Equity LP, 5.875%, 1/15/2024 | 2,397,000 | |
500,000 | Ferrellgas, LP, Sr. Unsecd. Note, 6.50%, 5/1/2021 | 490,000 | |
825,000 | Ferrellgas, LP, Sr. Unsecd. Note, 6.75%, 1/15/2022 | 810,562 | |
750,000 | 1,2 | Hiland Partners LP, Series 144A, 5.50%, 5/15/2022 | 661,875 |
400,000 | Holly Energy Partners LP, Sr. Unsecd. Note, 6.50%, 3/1/2020 | 398,000 | |
1,250,000 | 1,2 | Kinder Morgan, Inc., Sr. Unsecd. Note, Series 144A, 5.625%, 11/15/2023 | 1,340,325 |
275,000 | MarkWest Energy Partners LP, 4.875%, 12/1/2024 | 270,188 | |
350,000 | MarkWest Energy Partners LP, Company Guarantee, 6.75%, 11/1/2020 | 365,750 | |
425,000 | MarkWest Energy Partners LP, Sr. Unsecd. Note, 4.50%, 7/15/2023 | 411,187 | |
341,000 | MarkWest Energy Partners LP, Sr. Unsecd. Note, 6.25%, 6/15/2022 | 354,640 | |
250,000 | Regency Energy Partners LP, 4.50%, 11/1/2023 | 230,625 | |
475,000 | Regency Energy Partners LP, 5.00%, 10/1/2022 | 451,250 | |
200,000 | Regency Energy Partners LP, 5.50%, 4/15/2023 | 194,000 | |
875,000 | Rose Rock Midstream LP, Sr. Unsecd. Note, 5.625%, 7/15/2022 | 822,500 | |
1,050,000 | Sabine Pass LNG LP, 5.625%, 2/1/2021 | 1,036,875 | |
225,000 | Sabine Pass LNG LP, 5.625%, 4/15/2023 | 221,063 | |
300,000 | Sabine Pass LNG LP, 6.25%, 3/15/2022 | 305,625 | |
550,000 | Suburban Propane Partners LP, 5.50%, 6/1/2024 | 532,125 | |
698,000 | Suburban Propane Partners LP, 7.375%, 8/1/2021 | 734,645 | |
700,000 | Summit Midstream Holdings LLC, 5.50%, 8/15/2022 | 668,500 | |
470,000 | Tesoro Logistics LP, Sr. Unsecd. Note, 5.875%, 10/1/2020 | 473,525 | |
325,000 | Tesoro Logistics LP, Sr. Unsecd. Note, 6.125%, 10/15/2021 | 325,812 | |
50,000 | 1,2 | Tesoro Logistics LP, Sr. Unsecd. Note, Series 144A, 5.50%, 10/15/2019 | 49,750 |
150,000 | 1,2 | Tesoro Logistics LP, Sr. Unsecd. Note, Series 144A, 6.25%, 10/15/2022 | 150,375 |
TOTAL | 16,781,447 | ||
Oil Field Services—0.5% | |||
1,075,000 | Cgg SA, Sr. Unsecd. Note, 6.875%, 1/15/2022 | 827,750 | |
1,175,000 | 1,2 | FTS International, Inc., Series 144A, 6.25%, 5/1/2022 | 875,375 |
225,000 | 1,2 | Light Tower Rentals, Inc., Series 144A, 8.125%, 8/1/2019 | 176,063 |
TOTAL | 1,879,188 | ||
Packaging—5.9% | |||
1,100,000 | 1,2 | Ardagh Packaging Finance PLC, Company Guarantee, Series 144A, 9.125%, 10/15/2020 | 1,177,000 |
400,000 | 1,2 | Ardagh Packaging Finance PLC, Series 144A, 3.241%, 12/15/2019 | 387,500 |
575,000 | 1,2 | Ardagh Packaging Finance PLC, Series 144A, 6.75%, 1/31/2021 | 573,562 |
70,588 | 1,2 | Ardagh Packaging Finance PLC, Series 144A, 7.00%, 11/15/2020 | 71,647 |
200,000 | 1,2 | Ardagh Packaging Finance PLC, Sr. Unsecd. Note, Series 144A, 6.00%, 6/30/2021 | 191,500 |
400,000 | 1,2 | Ardagh Packaging Finance PLC, Sr. Unsecd. Note, Series 144A, 9.125%, 10/15/2020 | 426,000 |
850,000 | Ball Corp., 4.00%, 11/15/2023 | 824,500 | |
500,000 | Ball Corp., 5.00%, 3/15/2022 | 517,500 | |
1,950,000 | Berry Plastics Corp., 5.50%, 5/15/2022 | 1,981,687 | |
100,000 | 1,2 | Beverage Packaging Holdings II, Sr. Note, Series 144A, 5.625%, 12/15/2016 | 98,250 |
325,000 | 1,2 | Beverage Packaging Holdings II, Sr. Sub. Note, Series 144A, 6.00%, 6/15/2017 | 317,688 |
1,250,000 | 1,2 | Bway Holding Co., Series 144A, 9.125%, 8/15/2021 | 1,256,250 |
1,350,000 | Crown Americas LLC, 4.50%, 1/15/2023 | 1,316,250 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Packaging—continued | |||
$200,000 | Crown Americas LLC, Company Guarantee, 6.25%, 2/1/2021 | $211,500 | |
675,000 | Greif, Inc., Sr. Unsecd. Note, 7.75%, 8/1/2019 | 766,125 | |
950,000 | 1,2 | Multi Packaging Solutions, Inc., Series 144A, 8.50%, 8/15/2021 | 907,250 |
150,000 | 1,2 | Owens-Brockway Glass Container, Inc., Series 144A, 5.00%, 1/15/2022 | 153,188 |
575,000 | 1,2 | Owens-Brockway Glass Container, Inc., Series 144A, 5.375%, 1/15/2025 | 581,469 |
1,250,000 | Reynolds Group Issuer, Inc./LLC/LU, 5.75%, 10/15/2020 | 1,287,500 | |
1,700,000 | Reynolds Group, 8.25%, 2/15/2021 | 1,751,000 | |
625,000 | Reynolds Group, 9.00%, 4/15/2019 | 650,000 | |
1,400,000 | Reynolds Group, 9.875%, 8/15/2019 | 1,491,000 | |
300,000 | Reynolds Group, Sr. Unsecd. Note, 7.95%, 12/15/2025 | 303,000 | |
450,000 | 1,2 | Sealed Air Corp., Series 144A, 4.875%, 12/1/2022 | 447,750 |
600,000 | 1,2 | Sealed Air Corp., Series 144A, 5.25%, 4/1/2023 | 615,000 |
425,000 | 1,2 | Sealed Air Corp., Sr. Unsecd. Note, Series 144A, 5.125%, 12/1/2024 | 430,312 |
1,750,000 | 1,2 | Signode Industrial Group, Series 144A, 6.375%, 5/1/2022 | 1,715,000 |
TOTAL | 20,449,428 | ||
Paper—0.6% | |||
775,000 | Clearwater Paper Corp., Sr. Note, 4.50%, 2/1/2023 | 759,500 | |
625,000 | 1,2 | Clearwater Paper Corp., Sr. Unsecd. Note, Series 144A, 5.375%, 2/1/2025 | 617,187 |
325,000 | Graphic Packaging International, Inc., 4.75%, 4/15/2021 | 329,063 | |
275,000 | Graphic Packaging International, Inc., Sr. Unsecd. Note, 4.875%, 11/15/2022 | 277,063 | |
TOTAL | 1,982,813 | ||
Pharmaceuticals—1.7% | |||
875,000 | 1,2 | Grifols Worldwide Operations Ltd., Series 144A, 5.25%, 4/1/2022 | 897,050 |
1,725,000 | 1,2 | Jaguar Holding Co., Series 144A, 9.375%, 10/15/2017 | 1,767,262 |
975,000 | 1,2 | Jaguar Holding Co., Sr. Note, Series 144A, 9.50%, 12/1/2019 | 1,049,344 |
450,000 | 1,2 | Valeant Pharmaceuticals International, Inc., Series 144A, 5.625%, 12/1/2021 | 454,500 |
1,625,000 | 1,2 | Valeant Pharmaceuticals International, Inc., Series 144A, 7.50%, 7/15/2021 | 1,761,094 |
TOTAL | 5,929,250 | ||
Refining—0.3% | |||
325,000 | CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/1/2022 | 310,375 | |
850,000 | Tesoro Petroleum Corp., 5.125%, 4/1/2024 | 844,688 | |
TOTAL | 1,155,063 | ||
Restaurants—1.1% | |||
1,350,000 | 1,2 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 2nd Lien, Series 144A, 6.00%, 4/1/2022 | 1,390,500 |
850,000 | NPC INTL/OPER CO. A&B, Inc., 10.50%, 1/15/2020 | 886,125 | |
1,650,000 | 1,2 | Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, Series 144A, 5.875%, 5/15/2021 | 1,641,750 |
TOTAL | 3,918,375 | ||
Retailers—3.5% | |||
1,550,000 | 1,2 | Academy Finance Corp., Series 144A, 8.00%, 6/15/2018 | 1,538,375 |
850,000 | 1,2 | Academy Finance Corp., Series 144A, 9.25%, 8/1/2019 | 896,750 |
750,000 | 1,2 | Jo-Ann Stores, Inc., Series 144A, 9.75%, 10/15/2019 | 641,250 |
1,275,000 | 1,2 | Jo-Ann Stores, Inc., Sr. Unsecd. Note, Series 144A, 8.125%, 3/15/2019 | 1,192,125 |
625,000 | Limited Brands, Inc., 5.625%, 10/15/2023 | 678,125 | |
625,000 | Limited Brands, Inc., Sr. Unsecd. Note, 5.625%, 2/15/2022 | 675,000 | |
1,300,000 | 1,2 | Michaels Stores, Inc., Series 144A, 5.875%, 12/15/2020 | 1,319,500 |
294,000 | 1,2 | Michaels Stores, Inc., Series 144A, 7.50%, 8/1/2018 | 300,615 |
275,000 | 1,2 | Neiman-Marcus Group, Inc., Series 144A, 8.00%, 10/15/2021 | 292,188 |
1,075,000 | 1,2 | Neiman-Marcus Group, Inc., Series 144A, 8.75%, 10/15/2021 | 1,144,875 |
1,175,000 | 1,2 | PETCO Animal Supplies, Inc., Series 144A, 8.50%, 10/15/2017 | 1,195,562 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Retailers—continued | |||
$1,150,000 | 1,2 | PETCO Animal Supplies, Inc., Sr. Note, Series 144A, 9.25%, 12/1/2018 | $1,207,500 |
475,000 | Phillips Van Heusen Corp., Sr. Note, 4.50%, 12/15/2022 | 471,437 | |
325,000 | Sally Hldgs. LLC/Sally Cap, Inc., Sr. Note, 5.50%, 11/1/2023 | 340,438 | |
250,000 | Wolverine World Wide, Inc., Sr. Unsecd. Note, 6.125%, 10/15/2020 | 263,750 | |
TOTAL | 12,157,490 | ||
Technology—12.4% | |||
175,000 | 1,2 | ACI Worldwide, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 8/15/2020 | 183,531 |
650,000 | Advanced Micro Devices, Inc., 7.00%, 7/1/2024 | 554,125 | |
500,000 | Advanced Micro Devices, Inc., Sr. Unsecd. Note, 7.50%, 8/15/2022 | 452,500 | |
975,000 | 1,2 | BMC Software, Inc., Series 144A, 8.125%, 7/15/2021 | 921,375 |
750,000 | 1,2 | Blackboard, Inc., Sr. Unsecd. Note, Series 144A, 7.75%, 11/15/2019 | 755,625 |
1,100,000 | 1,2 | Boxer Parent Co., Inc., Series 144A, 9.00%, 10/15/2019 | 940,500 |
200,000 | CDW LLC/CDW Finance, 6.00%, 8/15/2022 | 207,500 | |
850,000 | CDW LLC/CDW Finance, Sr. Unsecd. Note, 5.50%, 12/1/2024 | 853,187 | |
624,000 | CDW LLC/CDW Finance, Sr. Unsecd. Note, 8.50%, 4/1/2019 | 660,660 | |
625,000 | 1,2 | CommScope, Inc., Series 144A, 5.50%, 6/15/2024 | 618,750 |
1,000,000 | 1,2 | CommScope, Inc., Sr. Note, Series 144A, 6.625%, 6/1/2020 | 1,035,000 |
750,000 | 1,2 | Compucom System, Inc., Series 144A, 7.00%, 5/1/2021 | 648,750 |
950,000 | CoreLogic, Inc., Sr. Unsecd. Note, 7.25%, 6/1/2021 | 1,002,250 | |
400,000 | 1,2 | DataTel, Inc., Series 144A, 9.625%, 12/1/2018 | 403,500 |
1,325,000 | 1,2 | DataTel, Inc., Series 144A, 9.75%, 1/15/2019 | 1,419,406 |
750,000 | Emdeon, Inc., 11.00%, 12/31/2019 | 818,438 | |
1,050,000 | 1,2 | Entegris, Inc., Series 144A, 6.00%, 4/1/2022 | 1,068,375 |
1,350,000 | Epicor Software Corp., 8.625%, 5/1/2019 | 1,424,250 | |
925,000 | 1,2 | Epicor Software Corp., Series 144A, 9.00%, 6/15/2018 | 950,437 |
244,000 | First Data Corp., 11.25%, 1/15/2021 | 277,550 | |
275,000 | 1,2 | First Data Corp., Sr. Secd. 2nd Priority Note, Series 144A, 8.25%, 1/15/2021 | 295,625 |
2,775,000 | 1,2 | First Data Corp., Sr. Secd. 2nd Priority Note, Series 144A, 8.75%, 1/15/2022 | 2,997,000 |
325,000 | Flextronics International Ltd., 4.625%, 2/15/2020 | 331,500 | |
300,000 | Flextronics International Ltd., 5.00%, 2/15/2023 | 307,500 | |
175,000 | Freescale Semiconductor, Inc., Company Guarantee, 10.75%, 8/1/2020 | 191,625 | |
900,000 | 1,2 | Freescale Semiconductor, Inc., Sr. Secd. Note, Series 144A, 6.00%, 1/15/2022 | 942,750 |
1,225,000 | IAC Interactive Corp., 4.75%, 12/15/2022 | 1,197,437 | |
250,000 | IAC Interactive Corp., 4.875%, 11/30/2018 | 255,625 | |
1,700,000 | 1,2 | Igloo Holdings Corp., Sr. Note, Series 144A, 8.25%, 12/15/2017 | 1,719,125 |
2,075,000 | 1,2 | Infor Software Parent, Inc., Series 144A, 7.125%, 5/1/2021 | 2,043,875 |
775,000 | 1,2 | Interactive Data Corp., Series 144A, 5.875%, 4/15/2019 | 773,063 |
300,000 | Iron Mountain, Inc., 5.75%, 8/15/2024 | 303,375 | |
450,000 | Iron Mountain, Inc., Sr. Sub. Note, 7.75%, 10/1/2019 | 483,750 | |
1,000,000 | Lawson Software, Inc., 9.375%, 4/1/2019 | 1,073,750 | |
250,000 | 1,2 | MSCI, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 11/15/2024 | 259,375 |
925,000 | MagnaChip Semiconductor S.A., Sr. Unsecd. Note, 6.625%, 7/15/2021 | 844,063 | |
600,000 | NCR Corp., 6.375%, 12/15/2023 | 627,000 | |
500,000 | NCR Corp., Sr. Unsecd. Note, 4.625%, 2/15/2021 | 487,500 | |
675,000 | NCR Corp., Sr. Unsecd. Note, 5.00%, 7/15/2022 | 661,500 | |
175,000 | NCR Corp., Sr. Unsecd. Note, 5.875%, 12/15/2021 | 180,688 | |
350,000 | 1,2 | NXP BV/NXP Funding LLC, Series 144A, 3.75%, 6/1/2018 | 351,750 |
225,000 | 1,2 | NXP BV/NXP Funding LLC, Series 144A, 5.75%, 2/15/2021 | 237,375 |
200,000 | 1,2 | NXP BV/NXP Funding LLC, Series 144A, 5.75%, 3/15/2023 | 211,000 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Technology—continued | |||
$1,275,000 | 1,2 | Nuance Communications, Inc., Series 144A, 5.375%, 8/15/2020 | $1,284,562 |
375,000 | 1,2 | Sensata Technologies B.V., Series 144A, 5.625%, 11/1/2024 | 389,766 |
1,675,000 | 1,2 | Solera Holdings, Inc., Series 144A, 6.00%, 6/15/2021 | 1,733,625 |
475,000 | 1,2 | Solera Holdings, Inc., Series 144A, 6.125%, 11/1/2023 | 492,813 |
1,700,000 | SunGard Data Systems, Inc., 6.625%, 11/1/2019 | 1,725,500 | |
1,500,000 | Syniverse Holdings, Inc., Company Guarantee, 9.125%, 1/15/2019 | 1,571,250 | |
625,000 | TransUnion Holding Co., Inc., 8.125%, 6/15/2018 | 642,188 | |
1,100,000 | TransUnion Holding Co., Inc., Sr. Unsecd. Note, 9.625%, 6/15/2018 | 1,127,142 | |
725,000 | Verisign, Inc., 4.625%, 5/1/2023 | 714,125 | |
1,025,000 | 1,2 | Zebra Technologies Corp., Sr. Unsecd. Note, Series 144A, 7.25%, 10/15/2022 | 1,078,812 |
TOTAL | 42,731,743 | ||
Transportation Services—0.5% | |||
1,250,000 | HDTFS, Inc., 6.25%, 10/15/2022 | 1,268,750 | |
150,000 | Hertz Corp., 5.875%, 10/15/2020 | 151,875 | |
425,000 | Hertz Corp., Company Guarantee, 6.75%, 4/15/2019 | 439,875 | |
TOTAL | 1,860,500 | ||
Utility - Electric—1.2% | |||
1,450,000 | Calpine Corp., 5.75%, 1/15/2025 | 1,469,937 | |
175,000 | 1,2 | Calpine Corp., Bond, Series 144A, 6.00%, 1/15/2022 | 187,250 |
425,000 | 1,2 | Calpine Corp., Series 144A, 5.875%, 1/15/2024 | 454,750 |
19,494 | 1 | FPL Energy National Wind, Note, Series 144A, 6.125%, 3/25/2019 | 19,689 |
800,000 | NRG Energy, Inc., Company Guarantee, 8.25%, 9/1/2020 | 858,000 | |
650,000 | 1,2 | NRG Energy, Inc., Series 144A, 6.25%, 5/1/2024 | 664,625 |
450,000 | NRG Energy, Inc., Sr. Unsecd. Note, 7.875%, 5/15/2021 | 487,125 | |
TOTAL | 4,141,376 | ||
Wireless Communications—3.6% | |||
1,050,000 | 1,2 | Altice SA, Series 144A, 7.75%, 5/15/2022 | 1,054,594 |
275,000 | 1,2 | Digicel Ltd., Series 144A, 6.00%, 4/15/2021 | 257,813 |
425,000 | 1,2 | Digicel Ltd., Sr. Note, Series 144A, 8.25%, 9/1/2017 | 432,437 |
200,000 | 1,2 | Digicel Ltd., Sr. Unsecd. Note, Series 144A, 7.00%, 2/15/2020 | 198,800 |
1,575,000 | 1,2 | Digicel Ltd., Sr. Unsecd. Note, Series 144A, 8.25%, 9/30/2020 | 1,535,625 |
225,000 | MetroPCS Wireless, Inc., 6.125%, 1/15/2022 | 229,219 | |
775,000 | MetroPCS Wireless, Inc., 6.50%, 1/15/2024 | 796,312 | |
50,000 | MetroPCS Wireless, Inc., 6.731%, 4/28/2022 | 51,688 | |
1,025,000 | MetroPCS Wireless, Inc., Sr. Note, 6.625%, 11/15/2020 | 1,046,781 | |
75,000 | MetroPCS Wireless, Inc., Sr. Note, 6.633%, 4/28/2021 | 77,250 | |
800,000 | MetroPCS Wireless, Inc., Sr. Note, 6.836%, 4/28/2023 | 829,000 | |
1,175,000 | Sprint Capital Corp., Company Guarantee, 6.875%, 11/15/2028 | 1,039,875 | |
1,250,000 | Sprint Capital Corp., Company Guarantee, 6.90%, 5/1/2019 | 1,281,250 | |
325,000 | Sprint Corp., 7.125%, 6/15/2024 | 303,875 | |
1,075,000 | Sprint Corp., 7.875%, 9/15/2023 | 1,066,615 | |
300,000 | 1,2 | Sprint Nextel Corp., Series 144A, 7.00%, 3/1/2020 | 325,500 |
975,000 | Sprint Nextel Corp., Sr. Unsecd. Note, 6.00%, 11/15/2022 | 900,656 | |
375,000 | T-Mobile USA, Inc., 6.625%, 4/1/2023 | 385,875 | |
275,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.00%, 3/1/2023 | 276,375 | |
375,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2025 | 381,937 | |
TOTAL | 12,471,477 | ||
Wireline Communications—0.7% | |||
225,000 | 1,2 | Level 3 Communications, Inc., Series 144A, 5.75%, 12/1/2022 | 227,532 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Wireline Communications—continued | |||
$425,000 | Level 3 Financing, Inc., 7.00%, 6/1/2020 | $449,969 | |
600,000 | Level 3 Financing, Inc., 8.625%, 7/15/2020 | 650,250 | |
300,000 | Level 3 Financing, Inc., 8.875%, 6/1/2019 | 319,560 | |
150,000 | Level 3 Financing, Inc., Sr. Unsecd. Note, 6.125%, 1/15/2021 | 156,000 | |
475,000 | Level 3 Financing, Inc., Sr. Unsecd. Note, 8.125%, 7/1/2019 | 507,062 | |
TOTAL | 2,310,373 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $340,543,336) | 335,424,226 | ||
COMMON STOCKS—0.1% | |||
Automotive—0.1% | |||
10,207 | General Motors Co. | 356,326 | |
Independent Energy—0.0% | |||
6,236 | 1,3,5 | Lone Pine Resources Canada Ltd. | 0 |
6,236 | 3,5 | Lone Pine Resources, Inc. | 5,800 |
50,000 | 1,3,5 | Lone Pine Resources, Inc., Escrow Shares | 0 |
TOTAL | 5,800 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $967,985) | 362,126 | ||
WARRANTS—0.0% | |||
Automotive—0.0% | |||
467 | 3 | General Motors Co., Warrants, Expiration Date 7/10/2016 | 11,796 |
467 | 3 | General Motors Co., Warrants, Expiration Date 7/10/2019 | 8,000 |
TOTAL WARRANTS (IDENTIFIED COST $7,175) | 19,796 | ||
REPURCHASE AGREEMENT—1.4% | |||
4,780,000 | Interest in $750,000,000 joint repurchase agreement 0.08%, dated 12/31/2014 under which Bank of America, N.A. will repurchase securities provided as collateral for $750,003,333 on 1/2/2015. The securities provided as collateral at the end of the period held with BNY Mellon as 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 $771,487,729. (AT COST) | 4,780,000 | |
TOTAL INVESTMENTS—98.5% (IDENTIFIED COST $346,298,496)7 | 340,586,148 | ||
OTHER ASSETS AND LIABILITIES - NET—1.5%8 | 5,062,210 | ||
TOTAL NET ASSETS—100% | $345,648,358 |
1 | Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At December 31, 2014, these restricted securities amounted to $145,312,145, which represented 42.0% of total net assets. |
2 | Denotes a restricted security that may be resold without restriction to “qualified institutional buyers” as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund's Board of Trustees (the “Trustees”). At December 31, 2014, these liquid restricted securities amounted to $145,292,456, which represented 42.0% of total net assets. |
3 | Non-income-producing security. |
4 | Issuer in default. |
5 | Market quotations and price evaluations are not available. Fair value determined in accordance with procedures established by and under the general supervision of the Trustees. |
6 | Principal amount and interest were not paid upon final maturity. |
7 | The cost of investments for federal tax purposes amounts to $346,946,722. |
8 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices and Investments in Investment Companies | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $335,424,151 | $75 | $335,424,226 |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | 356,326 | — | 0 | 356,326 |
International | — | — | 5,800 | 5,800 |
Warrants | 19,796 | — | — | 19,796 |
Repurchase Agreement | — | 4,780,000 | — | 4,780,000 |
TOTAL SECURITIES | $376,122 | $340,204,151 | $5,875 | $340,586,148 |
Year Ended December 31 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $7.15 | $7.17 | $6.76 | $7.03 | $6.67 |
Income From Investment Operations: | |||||
Net investment income1 | 0.39 | 0.44 | 0.49 | 0.53 | 0.56 |
Net realized and unrealized gain (loss) on investments | (0.20) | 0.04 | 0.46 | (0.18) | 0.36 |
TOTAL FROM INVESTMENT OPERATIONS | 0.19 | 0.48 | 0.95 | 0.35 | 0.92 |
Less Distributions: | |||||
Distributions from net investment income | (0.43) | (0.50) | (0.54) | (0.62) | (0.56) |
Net Asset Value, End of Period | $6.91 | $7.15 | $7.17 | $6.76 | $7.03 |
Total Return2 | 2.69% | 6.99% | 14.70% | 5.17% | 14.73% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.77% | 0.79% | 0.77% | 0.79% | 0.78% |
Net investment income | 5.60% | 6.21% | 7.14% | 7.77% | 8.41% |
Expense waiver/reimbursement3 | — | — | 0.00%4 | 0.00%4 | 0.00%4 |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $287,649 | $246,994 | $205,500 | $157,842 | $164,640 |
Portfolio turnover | 33% | 32% | 33% | 38% | 45% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
4 | Represents less than $0.01. |
Year Ended December 31 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $7.11 | $7.13 | $6.73 | $7.00 | $6.65 |
Income From Investment Operations: | |||||
Net investment income1 | 0.38 | 0.42 | 0.47 | 0.51 | 0.54 |
Net realized and unrealized gain (loss) on investments | (0.21) | 0.04 | 0.45 | (0.18) | 0.36 |
TOTAL FROM INVESTMENT OPERATIONS | 0.17 | 0.46 | 0.92 | 0.33 | 0.90 |
Less Distributions: | |||||
Distributions from net investment income | (0.41) | (0.48) | (0.52) | (0.60) | (0.55) |
Net Asset Value, End of Period | $6.87 | $7.11 | $7.13 | $6.73 | $7.00 |
Total Return2 | 2.42% | 6.73% | 14.31% | 4.92% | 14.38% |
Ratios to Average Net Assets: | |||||
Net expenses | 1.02% | 1.04% | 1.02% | 1.04% | 1.03% |
Net investment income | 5.35% | 5.97% | 6.88% | 7.50% | 8.16% |
Expense waiver/reimbursement3 | — | — | 0.00%4 | 0.00%4 | 0.00%4 |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $57,999 | $64,085 | $76,202 | $71,867 | $84,800 |
Portfolio turnover | 33% | 32% | 33% | 38% | 45% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
4 | Represents less than 0.01%. |
Assets: | ||
Total investment in securities, at value (identified cost $346,298,496) | $340,586,148 | |
Cash | 54,992 | |
Income receivable | 5,691,766 | |
Receivable for investments sold | 3,656 | |
Receivable for shares sold | 19,429 | |
TOTAL ASSETS | 346,355,991 | |
Liabilities: | ||
Payable for investments purchased | $330,170 | |
Payable for shares redeemed | 326,800 | |
Payable for portfolio accounting fees | 23,335 | |
Payable for distribution services fee (Note 5) | 12,417 | |
Accrued expenses (Note 5) | 14,911 | |
TOTAL LIABILITIES | 707,633 | |
Net assets for 50,068,195 shares outstanding | $345,648,358 | |
Net Assets Consist of: | ||
Paid-in capital | $351,231,971 | |
Net unrealized depreciation of investments | (5,712,348) | |
Accumulated net realized loss on investments | (19,331,750) | |
Undistributed net investment income | 19,460,485 | |
TOTAL NET ASSETS | $345,648,358 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
$287,649,416 ÷ 41,630,541 shares outstanding, no par value, unlimited shares authorized | $6.91 | |
Service Shares: | ||
$57,998,942 ÷ 8,437,654 shares outstanding, no par value, unlimited shares authorized | $6.87 |
Investment Income: | ||
Interest | $21,449,904 | |
Dividends | 33,248 | |
TOTAL INCOME | 21,483,152 | |
Expenses: | ||
Investment adviser fee (Note 5) | $2,021,175 | |
Administrative fee (Note 5) | 263,412 | |
Custodian fees | 19,342 | |
Transfer agent fee | 33,109 | |
Directors'/Trustees' fees (Note 5) | 2,537 | |
Auditing fees | 28,500 | |
Legal fees | 12,863 | |
Portfolio accounting fees | 142,387 | |
Distribution services fee (Note 5) | 161,983 | |
Printing and postage | 71,220 | |
Miscellaneous (Note 5) | 8,738 | |
TOTAL EXPENSES | 2,765,266 | |
Net expenses | 2,765,266 | |
Net investment income | 18,717,886 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized gain on investments | 4,877,916 | |
Net change in unrealized appreciation of investments | (16,062,110) | |
Net realized and unrealized loss on investments | (11,184,194) | |
Change in net assets resulting from operations | $7,533,692 |
Year Ended December 31 | 2014 | 2013 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $18,717,886 | $18,080,407 |
Net realized gain on investments | 4,877,916 | 3,091,203 |
Net change in unrealized appreciation/depreciation of investments | (16,062,110) | (1,045,615) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 7,533,692 | 20,125,995 |
Distributions to Shareholders: | ||
Distributions from net investment income | ||
Primary Shares | (14,916,828) | (14,976,047) |
Service Shares | (3,728,834) | (4,865,579) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (18,645,662) | (19,841,626) |
Share Transactions: | ||
Proceeds from sale of shares | 143,957,405 | 103,609,223 |
Net asset value of shares issued to shareholders in payment of distributions declared | 11,958,275 | 14,708,195 |
Cost of shares redeemed | (110,233,943) | (89,224,996) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 45,681,737 | 29,092,422 |
Change in net assets | 34,569,767 | 29,376,791 |
Net Assets: | ||
Beginning of period | 311,078,591 | 281,701,800 |
End of period (including undistributed net investment income of $19,460,485 and $18,636,880, respectively) | $345,648,358 | $311,078,591 |
■ | 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 Trustees. |
■ | Fixed-income securities and repurchase agreements 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), unless the issuer's creditworthiness is impaired or other factors indicate that amortized cost is not an accurate estimate of the investment's fair value, in which case it would be valued in the same manner as a longer-term security. |
■ | Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market. |
■ | 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. |
■ | With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts; |
■ | Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; |
■ | Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry. |
Security | Acquisition Date | Cost | Market Value |
FPL Energy National Wind, Note, Series 144A, 6.125%, 3/25/2019 | 2/16/2005 | $19,494 | $19,689 |
Hard Rock Park Operations LLC, Sr. Secd. Note, Series 144A, 0.00%, 4/1/2012 | 3/23/2006 | $737,477 | $0 |
Lone Pine Resources Canada Ltd. | 1/30/2014 | $0 | $0 |
Lone Pine Resources, Inc., Escrow Shares | 1/30/2014 | $0 | $0 |
Year Ended December 31 | 2014 | 2013 | ||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 16,865,839 | $118,315,427 | 12,538,091 | $87,761,358 |
Shares issued to shareholders in payment of distributions declared | 1,194,404 | 8,229,441 | 1,434,784 | 9,842,617 |
Shares redeemed | (10,995,390) | (76,950,842) | (8,074,582) | (56,488,125) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | 7,064,853 | $49,594,026 | 5,898,293 | $41,115,850 |
Year Ended December 31 | 2014 | 2013 | ||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 3,674,963 | $25,641,978 | 2,286,348 | $15,847,865 |
Shares issued to shareholders in payment of distributions declared | 542,770 | 3,728,834 | 711,342 | 4,865,578 |
Shares redeemed | (4,795,305) | (33,283,101) | (4,667,931) | (32,736,871) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (577,572) | $(3,912,289) | (1,670,241) | $(12,023,428) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 6,487,281 | $45,681,737 | 4,228,052 | $29,092,422 |
Increase (Decrease) | ||
Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) | |
$751,381 | $(751,381) |
2014 | 2013 | |
Ordinary income | $18,645,662 | $19,841,626 |
Undistributed ordinary income | $19,474,934 |
Net unrealized depreciation | $(6,360,574) |
Capital loss carryforwards | $(18,697,973) |
Expiration Year | Short-Term | Long-Term | Total |
2017 | $9,764,569 | NA | $9,764,569 |
2018 | $8,933,404 | NA | $8,933,404 |
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 | |
Service Shares | $161,983 |
Purchases | $156,575,417 |
Sales | $108,158,491 |
February 13, 2015
Beginning Account Value 7/1/2014 | Ending Account Value 12/31/2014 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $981.50 | $3.85 |
Service Shares | $1,000 | $980.00 | $5.09 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,021.32 | $3.92 |
Service Shares | $1,000 | $1,020.06 | $5.19 |
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 expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 0.77% |
Service Shares | 1.02% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
John F. Donahue* Birth Date: July 28, 1924 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and Director, Federated Investors, Inc.; Chairman of the Federated Fund Family's Executive Committee. Previous Positions: Chairman of the Federated Fund Family; Trustee, Federated Investment Management Company; Chairman and Director, Federated Investment Counseling. |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of the Funds in the Federated Fund Family; President, Chief Executive Officer and Director, Federated Investors, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman, Federated Equity Management Company of Pennsylvania and Passport Research, Ltd. (investment advisory subsidiary of Federated); Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd. |
* | Family relationships and reasons for “interested” status: John F. Donahue is the father of J. Christopher Donahue; both are “interested” due to their beneficial ownership of shares of Federated Investors, Inc. and the positions they hold with Federated and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and CEO, The Collins Group, Inc. (a private equity firm). Other Directorships Held: Director, KLX Corp. Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director, Sterling Suffolk Downs, Inc. (racecourse); Director and Audit Committee Member, Bank of America Corp. and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Fund Family; Associate General Secretary and Director, Office for Church Relations, Diocese of Pittsburgh; Adjunct Professor of Law, Duquesne University School of Law. Other Directorships Held: Director, CONSOL Energy Inc. Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously served as Professor of Law, Duquesne University School of Law and was a member of the Superior Court of Pennsylvania. Judge Lally-Green also holds the positions of: Member, Pennsylvania State Board of Education; Director, Saint Vincent College; Director and Chair, UPMC Mercy Hospital; Regent, St. Vincent Seminary; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Our Campaign for the Church Alive!, Inc.; Director, Pennsylvania Bar Institute; and Director, Catholic High Schools of the Diocese of Pittsburgh, Inc. Judge Lally-Green has held the positions of: Director, Auberle; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; and Director Cardinal Wuerl Catholic High School. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Peter E. Madden Birth Date: March 16, 1942 Trustee Indefinite Term Began serving: October 1993 | Principal Occupation: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Fund Family; Retired. Other Directorships Held: None. Qualifications: Mr. Madden has served in several business management, mutual fund services and directorship positions throughout his career. Mr. Madden previously served as President, Chief Operating Officer and Director, State Street Bank and Trust Company (custodian bank) and State Street Corporation (financial services). He was Director, VISA USA and VISA International and Chairman and Director, Massachusetts Bankers Association. Mr. Madden served as Director, Depository Trust Corporation and Director, The Boston Stock Exchange. Mr. Madden also served as a Representative to the Commonwealth of Massachusetts General Court. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 1999 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant. Other Directorships Held: None. Qualifications: Mr. Mansfield has served in several banking, business management and educational roles and directorship positions throughout his career. Mr. Mansfield previously served as Chief Executive Officer, PBTC International Bank; Partner, Arthur Young & Company (now Ernst & Young LLP); Chief Financial Officer of Retail Banking Sector, Chase Manhattan Bank; Senior Vice President, HSBC Bank USA (formerly, Marine Midland Bank); Vice President, Citibank; Assistant Professor of Banking and Finance, Frank G. Zarb School of Business, Hofstra University; Executive Vice President DVC Group, Inc. (marketing, communications and technology). |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: October 2006 | Principal Occupations: Director or Trustee, Vice Chair of the Audit Committee of the Federated Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; General Counsel, University of Pittsburgh. Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey serves as Board Member, Epilepsy Foundation of Western Pennsylvania and Board member, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
John W. McGonigle Birth Date: October 26, 1938 EXECUTIVE VICE PRESIDENT AND SECRETARY Officer since: September 1993 | Principal Occupations: Executive Vice President and Secretary of the Federated Fund Family; Vice Chairman, Executive Vice President, Secretary and Director, Federated Investors, Inc. Previous Positions: Trustee, Federated Investment Management Company and Federated Investment Counseling; Director, Federated Global Investment Management Corp., Federated Services Company and Federated Securities Corp. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Investors, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer of the Federated Fund Family. He is General Counsel and Vice President, Federated Investors, Inc.; President, Federated Administrative Services and Federated Administrative Services, Inc.; Vice President, Federated Securities Corp.; Secretary, Federated Private Asset Management, Inc.; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Investors, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Investors, Inc. |
Richard B. Fisher Birth Date: May 17, 1923 VICE PRESIDENT Officer since: September 1993 | Principal Occupations: Vice Chairman or Vice President of some of the Funds in the Federated Fund Family; Vice Chairman, Federated Investors, Inc.; Chairman, Federated Securities Corp. Previous Positions: President and Director or Trustee of some of the Funds in the Federated Fund Family; Executive Vice President, Federated Investors, Inc.; Director and Chief Executive Officer, Federated Securities Corp. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Family; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc.; President, Technology, Federated Services Company. |
Brian P. Bouda Birth Date: February 28, 1947 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: August 2004 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Fund Family; Vice President and Chief Compliance Officer of Federated Investors, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Bouda joined Federated in 1999 and is a member of the American Bar Association and the State Bar Association of Wisconsin. Previous Positions: Served in Senior Management positions with a large regional banking organization. |
Stephen F. Auth Birth Date: September 3, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated's taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated's money market products in 2004. She joined Federated in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916843
2015 ©Federated Investors, Inc.
Share Class |
Primary |
Service |
1 | Please see the footnotes to the line graphs below for definitions of, and further information about, the RMCGI. |
2 | Please see the footnotes to the line graphs below for definitions of, and further information about, the MVMCGFA. |
3 | The S&P 500 Index is an unmanaged, capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index is unmanaged, and it is not possible to invest directly in an index. |
4 | The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set. The index is unmanaged, and it is not possible to invest directly in an index. |
5 | International investing involves special risks including currency risk, increased volatility, political risks and differences in auditing and other financial standards. |
6 | The U.S. Dollar Index indicates the general international value of the U.S. dollar by averaging the exchange rates between the U.S. dollar and six major world currencies. The index is unmanaged, and it is not possible to invest directly in an index. |
Federated Kaufmann Fund II - | Primary Shares | Service Shares | RMCGI | MVMCGFA |
F | F | I | I | |
12/31/2004 | 10,000 | 10,000 | 10,000 | 10,000 |
12/31/2005 | 11,124 | 11,088 | 11,210 | 11,029 |
12/31/2006 | 12,779 | 12,706 | 12,404 | 12,021 |
12/31/2007 | 15,467 | 15,327 | 13,822 | 13,884 |
12/31/2008 | 9,003 | 8,904 | 7,695 | 7,653 |
12/31/2009 | 11,658 | 11,495 | 11,258 | 10,858 |
12/31/2010 | 13,756 | 13,535 | 14,228 | 13,724 |
12/31/2011 | 11,929 | 11,710 | 13,993 | 13,057 |
12/31/2012 | 13,992 | 13,702 | 16,205 | 14,876 |
12/31/2013 | 19,606 | 19,138 | 21,997 | 20,183 |
12/31/2014 | 21,510 | 20,943 | 24,615 | 21,681 |
1 Year | 5 Years | 10 Years | |
Primary Shares | 9.71% | 13.03% | 7.96% |
Service Shares | 9.43% | 12.75% | 7.67% |
RMCGI | 11.90% | 16.94% | 9.43% |
MVMCGFA | 7.42% | 14.83% | 8.05% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The RMCGI and MVMCGFA have been adjusted to reflect reinvestment of dividends on securities in the index and average. |
2 | The RMCGI measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values. The RMCGI is constructed to provide a comprehensive and unbiased barometer of the mid-cap growth market. The RMCGI is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap growth market. The RMCGI is not adjusted to reflect sales charges, expenses or other fees that the Securities and Exchange Commission requires to be reflected in the Fund's performance. The index is unmanaged and unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
3 | Morningstar figures represent the average of the total returns reported by all the mutual funds designated by Morningstar as falling into the respective category indicated. They do not reflect sales charges. |
Sector Composition | Percentage of Total Net Assets |
Health Care | 35.5% |
Information Technology | 19.5% |
Financials | 9.9% |
Consumer Discretionary | 9.5% |
Industrials | 8.8% |
Materials | 6.7% |
Consumer Staples | 1.9% |
Energy | 1.4% |
Utilities | 0.5% |
Telecommunication Services | 0.3% |
Derivative Contracts2,3 | (0.0)% |
Securities Lending Collateral4 | 2.7% |
Cash Equivalents5 | 5.9% |
Other Assets and Liabilities—Net6 | (2.6)% |
TOTAL | 100.0% |
1 | Except for Securities Lending Collateral, Cash Equivalents and Other Assets and Liabilities, sector classifications are based upon, and individual portfolio securities are assigned to, the classifications of the Global Industry Classification Standard (GICS), except that the Adviser assigns a classification to securities not classified by the GICS and to securities for which the Adviser does not have access to the classification made by the GICS. |
2 | Represents less than 0.1%. |
3 | 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. |
4 | Cash collateral received from lending portfolio securities which is invested in short-term investments such as repurchase agreements or money market mutual funds. |
5 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those representing securities lending collateral. |
6 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Shares or Principal Amount | Value | ||
COMMON STOCKS—93.6% | |||
Consumer Discretionary—9.5% | |||
3,100 | 1 | Amazon.com, Inc. | $962,085 |
12,559 | Bloomin Brands, Inc. | 310,961 | |
45,400 | 1 | Cnova NV | 359,114 |
22,700 | 1,5 | Five Below, Inc. | 926,841 |
36,646 | 1 | Hilton Worldwide Holdings, Inc. | 956,094 |
20,200 | 1 | LKQ Corp. | 568,024 |
49,600 | 1 | La Quinta Holdings, Inc. | 1,094,176 |
4,879 | Las Vegas Sands Corp. | 283,763 | |
3,200 | 1 | Metaldyne Performance Group, Inc. | 55,552 |
590,000 | NagaCorp Limited | 480,791 | |
20,000 | 1 | One Group Hospitality, Inc./The | 95,100 |
419 | 1 | Priceline.com, Inc. | 477,748 |
568,700 | Samsonite International SA | 1,683,504 | |
17,800 | Starbucks Corp. | 1,460,490 | |
5,400 | Whirlpool Corp. | 1,046,196 | |
26,450 | 1 | Yoox SpA | 583,531 |
TOTAL | 11,343,970 | ||
Consumer Staples—1.9% | |||
17,800 | 1 | Hain Celestial Group, Inc. | 1,037,562 |
36,600 | 1 | Sprouts Farmers Market, Inc. | 1,243,668 |
TOTAL | 2,281,230 | ||
Energy—1.4% | |||
13,326 | 1 | Antero Resources Corp. | 540,769 |
3,300 | 1 | Cheniere Energy, Inc. | 232,320 |
41,934 | 1,5 | FMSA Holdings, Inc. | 290,183 |
31,600 | 1 | Memorial Resource Development Corp. | 569,748 |
TOTAL | 1,633,020 | ||
Financials—9.9% | |||
62,900 | American International Group, Inc. | 3,523,029 | |
13,115 | Artisan Partners Asset Management, Inc. | 662,701 | |
5,000 | BlackRock, Inc. | 1,787,800 | |
16,732 | 1 | CBRE Group, Inc. | 573,071 |
10,104 | 1 | Crown Castle International Corp. | 795,185 |
65,000 | EverBank Financial Corp. | 1,238,900 | |
7,000 | Housing Development Finance Corp. Ltd. | 124,905 | |
20,900 | JPMorgan Chase & Co. | 1,307,922 | |
8,300 | Ryman Hospitality Properties | 437,742 | |
23,100 | Wells Fargo & Co. | 1,266,342 | |
TOTAL | 11,717,597 | ||
Health Care—35.1% | |||
3,100 | 1 | Agios Pharmaceuticals, Inc. | 347,324 |
60,700 | 1 | Alkermes, Inc. | 3,554,592 |
8,600 | 1 | Amsurg Corp. | 470,678 |
75,930 | 1,4 | BioDelivery Sciences International, Inc. | 912,679 |
6,322 | 1 | Biogen Idec, Inc. | 2,146,003 |
1,885 | 1 | Celgene Corp. | 210,856 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
244,838 | 1,4 | Corcept Therapeutics, Inc. | $734,514 |
73,715 | 1,4 | Dexcom, Inc. | 4,058,011 |
251,400 | 1,4 | Dyax Corp. | 3,534,684 |
37,200 | 1,4 | Dynavax Technologies Corp. | 627,192 |
23,100 | 1,4 | Egalet Corp. | 131,439 |
48,727 | 1,4 | ExamWorks Group, Inc. | 2,026,556 |
10,600 | 1,5 | GW Pharmaceuticals PLC, ADR | 717,408 |
11,568 | 1 | Galapagos NV | 216,931 |
18,900 | 1 | Gilead Sciences, Inc. | 1,781,514 |
4,248 | 1 | IDEXX Laboratories, Inc. | 629,851 |
18,900 | 1 | Illumina, Inc. | 3,488,562 |
32,800 | 1 | Insulet Corp. | 1,510,768 |
9,500 | Medtronic, Inc. | 685,900 | |
97,200 | 1 | Nektar Therapeutics | 1,506,600 |
27,300 | 1 | NuVasive, Inc. | 1,287,468 |
6,170 | 1 | Otonomy, Inc. | 205,646 |
8,365 | 1,6 | Otonomy, Inc. | 250,925 |
9,761 | 1 | Pharmacyclics, Inc. | 1,193,380 |
41,900 | 1,4 | Premier, Inc. | 1,404,907 |
248,090 | 1,4 | Progenics Pharmaceuticals, Inc. | 1,875,560 |
178,172 | 1,4,5 | Protalix Biotherapeutics, Inc. | 327,836 |
2,900 | 1 | Puma Biotechnology, Inc. | 548,883 |
3,732 | 1 | Receptos, Inc. | 457,207 |
10,700 | 1 | Repligen Corp. | 211,860 |
4,200 | 1 | SAGE Therapeutics, Inc. | 153,720 |
10,200 | 1 | Salix Pharmaceuticals Ltd. | 1,172,388 |
8,100 | 1,5 | Seattle Genetics, Inc. | 260,253 |
8,900 | Shire Ltd. | 629,704 | |
3,100 | Shire Ltd., ADR | 658,874 | |
71,007 | 1,4 | Threshold Pharmaceuticals, Inc., Class THL | 225,802 |
4,700 | 1 | Ultragenyx Pharmaceutical, Inc. | 206,236 |
27,300 | 1 | Veeva Systems, Inc. | 720,993 |
470,424 | 1,4 | Zogenix, Inc. | 644,481 |
TOTAL | 41,728,185 | ||
Industrials—8.8% | |||
31,800 | Air Lease Corp. | 1,091,058 | |
21,804 | Allison Transmission Holdings, Inc. | 739,156 | |
6,600 | Danaher Corp. | 565,686 | |
14,800 | 1 | Hexcel Corp. | 614,052 |
16,779 | KAR Auction Services, Inc. | 581,392 | |
7,200 | 5 | MSC Industrial Direct Co. | 585,000 |
3,700 | 1 | Middleby Corp. | 366,670 |
10,919 | 1,5 | Now, Inc. | 280,946 |
3,500 | Precision Castparts Corp. | 843,080 | |
42,552 | 1 | RPX Corp. | 586,366 |
1,100 | Roper Industries, Inc. | 171,985 | |
6,300 | Safran SA | 387,758 | |
15,900 | 1 | Spirit Airlines, Inc. | 1,201,722 |
4,200 | 1 | Teledyne Technologies, Inc. | 431,508 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Industrials—continued | |||
8,700 | 1 | Verisk Analytics, Inc. | $557,235 |
16,400 | Wabtec Corp. | 1,424,996 | |
TOTAL | 10,428,610 | ||
Information Technology—19.5% | |||
11,981 | 1 | Alibaba Group Holding Ltd., ADR | 1,245,305 |
26,900 | Amadeus IT Holding SA | 1,068,931 | |
15,100 | Avago Technologies Ltd. | 1,518,909 | |
10,500 | 1,5 | Benefitfocus, Inc. | 344,820 |
33,687 | 1,4,5 | ChannelAdvisor Corp. | 726,966 |
7,500 | 1 | Check Point Software Technologies Ltd. | 589,275 |
7,278 | 1 | CoStar Group, Inc. | 1,336,459 |
12,727 | 1 | Cvent, Inc. | 354,320 |
11,100 | 1 | Demandware, Inc. | 638,694 |
6,700 | FLIR Systems, Inc. | 216,477 | |
23,800 | 1 | Fleetmatics Group PLC | 844,662 |
8,600 | 1 | GrubHub, Inc. | 312,352 |
7,000 | 1 | LendingClub Corp. | 177,100 |
1,600 | 1 | LinkedIn Corp. | 367,536 |
34,200 | 1 | Microsemi Corp. | 970,596 |
6,324 | 1,5 | Mobileye NV | 256,501 |
27,400 | 1 | NIC, Inc. | 492,926 |
27,400 | 1 | NXP Semiconductors NV | 2,093,360 |
5,511 | 1 | NetSuite, Inc. | 601,636 |
31,300 | 1 | RADWARE Ltd. | 689,226 |
16,220 | 1 | Salesforce.com, Inc. | 962,008 |
17,327 | 1 | ServiceNow, Inc. | 1,175,637 |
64,200 | 1,4 | Textura Corp. | 1,827,774 |
17,060 | 1 | Triquint Semiconductor, Inc. | 470,003 |
14,200 | 1 | Tyler Technologies, Inc. | 1,554,048 |
31,300 | 1 | Vantiv, Inc. | 1,061,696 |
14,367 | 1 | Workday, Inc. | 1,172,491 |
1,038 | 1 | Zillow, Inc. | 109,914 |
TOTAL | 23,179,622 | ||
Materials—6.7% | |||
6,000 | 1 | Caesar Stone SDOT Yam Ltd. | 358,920 |
7,131 | Eagle Materials, Inc. | 542,170 | |
22,500 | LyondellBasell Investment LLC | 1,786,275 | |
17,900 | Martin Marietta Materials | 1,974,728 | |
4,700 | Sherwin-Williams Co. | 1,236,288 | |
25,330 | US Silica Holdings, Inc. | 650,728 | |
4,525 | Valspar Corp. | 391,322 | |
15,700 | Westlake Chemical Corp. | 959,113 | |
TOTAL | 7,899,544 | ||
Telecommunication Services—0.3% | |||
10,300 | 1 | Zayo Group Holdings, Inc. | 314,871 |
Utilities—0.5% | |||
15,700 | ITC Holdings Corp. | 634,751 | |
TOTAL COMMON STOCKS (IDENTIFIED COST $69,923,410) | 111,161,400 |
Shares or Principal Amount | Value | ||
WARRANTS—0.3% | |||
Health Care—0.3% | |||
5,034 | 1 | Alexza Pharmaceuticals, Inc., Warrants | $52 |
59,342 | 1,6 | BioNano Genomics, Inc., Warrants | 200,000 |
17,387 | 1,4 | Corcept Therapeutics, Inc., Warrants | 4,832 |
71,998 | 1,4 | Dynavax Technologies Corp., Warrants | 30,628 |
128,250 | 1,4 | Zogenix, Inc., Warrants | 134,701 |
TOTAL WARRANTS (IDENTIFIED COST $211,803) | 370,213 | ||
CORPORATE BONDS—0.1% | |||
Health Care—0.1% | |||
$95,000 | 2,3,4 | Protalix Biotherapeutics, Inc., Conv. Bond, Series 144A, 4.50%, 9/15/2018 (IDENTIFIED COST $95,000) | 72,004 |
PREFERRED STOCK—0.0% | |||
Health Care—0.0% | |||
142,420 | 1,2,6 | BioNano Genomics, Inc., Pfd., Series C (IDENTIFIED COST $59) | 60 |
REPURCHASE AGREEMENTS—8.6% | |||
$6,997,000 | Interest in $750,000,000 joint repurchase agreement 0.08%, dated 12/31/2014 under which Bank of America, N.A. will repurchase securities provided as collateral for $750,003,333 on 1/2/2015. The securities provided as collateral at the end of the period held with BNY Mellon as 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 $771,487,729. | 6,997,000 | |
3,240,000 | Interest in $750,000,000 joint repurchase agreement 0.08%, dated 12/31/2014 under which Bank of America, N.A. will repurchase securities provided as collateral for $750,003,333 on 1/2/2015. The securities provided as collateral at the end of the period held with BNY Mellon as 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 $771,487,729 (purchased with proceeds from securities lending collateral). | 3,240,000 | |
TOTAL REPURCHASE AGREEMENTS (AT COST) | 10,237,000 | ||
TOTAL INVESTMENTS—102.6% (IDENTIFIED COST $80,467,272)7 | 121,840,677 | ||
OTHER ASSETS AND LIABILITIES - NET—(2.6)%8 | (3,047,217) | ||
TOTAL NET ASSETS—100% | $118,793,460 |
Settlement Date | Foreign Currency Units to Deliver/Receive | In Exchange For | Unrealized Depreciation |
Contracts Sold: | |||
1/2/2015 | 320,159 Hong Kong Dollar | $41,274 | $(12) |
1/5/2015 | 260,991 Hong Kong Dollar | $33,645 | $(11) |
UNREALIZED DEPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $(23) |
1 | Non-income-producing security. |
2 | Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At December 31, 2014, these restricted securities amounted to $72,064, which represented 0.1% of total net assets. |
3 | Denotes a restricted security that may be resold without restriction to “qualified institutional buyers” as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund's Board of Trustees (the “Trustees”). At December 31, 2014, these liquid restricted securities amounted to $72,004, which represented 0.1% of total net assets. |
4 | Affiliated companies. |
5 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
6 | Market quotations and price evaluations are not available. Fair value determined in accordance with procedures established by and under the general supervision of the Trustees. |
7 | The cost of investments for federal tax purposes amounts to $81,072,943. |
8 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
The following is a summary of the inputs used, as of December 31, 2014, in valuing the Fund's assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices and Investments in Investment Companies | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | $91,062,000 | $— | $250,925 | $91,312,925 |
International | 14,672,420 | 5,176,0551 | — | 19,848,475 |
Warrants | — | 170,213 | 200,000 | 370,213 |
Preferred Stock | — | — | 60 | 60 |
Debt Securities: | ||||
Corporate Bonds | — | 72,004 | — | 72,004 |
Repurchase Agreements | — | 10,237,000 | — | 10,237,000 |
TOTAL SECURITIES | $105,734,420 | $15,655,272 | $450,985 | $121,840,677 |
OTHER FINANCIAL INSTRUMENTS2 | $(23) | $— | $— | $(23) |
1 | Includes $6,229,574 of common stock securities transferred from Level 1 to Level 2 because securities ceased trading during the period and fair values were obtained using valuation techniques utilizing observable market data. These transfers represent the value of the securities at the beginning of the period. |
2 | Other financial instruments include foreign exchange contracts. |
ADR | —American Depositary Receipt |
Year Ended December 31 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $19.22 | $15.06 | $12.84 | $14.96 | $12.69 |
Income From Investment Operations: | |||||
Net investment income (loss) | (0.15)1 | (0.12)1 | (0.05)1 | (0.09)1 | 0.091 |
Net realized and unrealized gain (loss) on investments, futures contracts, written options and foreign currency transactions | 1.91 | 5.76 | 2.27 | (1.88) | 2.19 |
TOTAL FROM INVESTMENT OPERATIONS | 1.76 | 5.64 | 2.22 | (1.97) | 2.28 |
Less Distributions: | |||||
Distributions from net investment income | — | — | — | (0.15) | (0.01) |
Distributions from net realized gain on investments, futures contracts, written options and foreign currency transactions | (2.06) | (1.48) | — | — | — |
TOTAL DISTRIBUTIONS | (2.06) | (1.48) | — | (0.15) | (0.01) |
Net Asset Value, End of Period | $18.92 | $19.22 | $15.06 | $12.84 | $14.96 |
Total Return2 | 9.71% | 40.12% | 17.29% | (13.28)% | 17.99% |
Ratios to Average Net Assets: | |||||
Net expenses | 1.53%3 | 1.53%3 | 1.53%3 | 1.53%3 | 1.53%3 |
Net investment income (loss) | (0.83)% | (0.75)% | (0.34)% | (0.65)% | 0.67% |
Expense waiver/reimbursement4 | 0.09% | 0.25% | 0.34% | 0.29% | 0.24% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $49,425 | $53,392 | $43,192 | $43,025 | $62,352 |
Portfolio turnover | 51% | 71% | 65% | 63% | 58% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratios are 1.53%, 1.53%, 1.53%, 1.53% and 1.53% for the years ended December 31, 2014, 2013, 2012, 2011 and 2010, respectively, after taking into account these expense reductions. |
4 | This expense decrease is reflected in both the net expense and the net investment income (loss) ratios shown above. |
Year Ended December 31 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $18.78 | $14.79 | $12.64 | $14.73 | $12.51 |
Income From Investment Operations: | |||||
Net investment income (loss) | (0.19)1 | (0.16)1 | (0.09)1 | (0.13)1 | 0.061 |
Net realized and unrealized gain (loss) on investments, futures contracts, written options and foreign currency transactions | 1.86 | 5.63 | 2.24 | (1.84) | 2.16 |
TOTAL FROM INVESTMENT OPERATIONS | 1.67 | 5.47 | 2.15 | (1.97) | 2.22 |
Less Distributions: | |||||
Distributions from net investment income | — | — | — | (0.12) | — |
Distributions from net realized gain on investments, futures contracts, written options and foreign currency transactions | (2.06) | (1.48) | — | — | — |
TOTAL DISTRIBUTIONS | (2.06) | (1.48) | — | (0.12) | — |
Net Asset Value, End of Period | $18.39 | $18.78 | $14.79 | $12.64 | $14.73 |
Total Return2 | 9.43% | 39.67% | 17.01% | (13.49)% | 17.75% |
Ratios to Average Net Assets: | |||||
Net expenses | 1.78%3 | 1.78%3 | 1.78%3 | 1.78%3 | 1.78%3 |
Net investment income (loss) | (1.08)% | (1.00)% | (0.65)% | (0.90)% | 0.47% |
Expense waiver/reimbursement4 | 0.09% | 0.25% | 0.34% | 0.29% | 0.24% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $69,369 | $70,159 | $51,992 | $97,552 | $120,887 |
Portfolio turnover | 51% | 71% | 65% | 63% | 58% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratios are 1.78%, 1.78%, 1.78%, 1.78% and 1.78% for the years ended December 31, 2014, 2013, 2012, 2011 and 2010, respectively, after taking into account these expense reductions. |
4 | This expense decrease is reflected in both the net expense and the net investment income (loss) ratios shown above. |
Assets: | ||
Total investment in securities, at value including $3,173,325 of securities loaned and $19,300,566 of investment in affiliated companies (Note 5) (identified cost $80,467,272) | $121,840,677 | |
Cash | 721 | |
Cash denominated in foreign currencies (identified cost $(40,377)) | 38,850 | |
Income receivable | 19,451 | |
Receivable for investments sold | 192,312 | |
Receivable for shares sold | 256,852 | |
TOTAL ASSETS | 122,348,863 | |
Liabilities: | ||
Payable for investments purchased | $103,591 | |
Payable for shares redeemed | 140,619 | |
Unrealized depreciation on foreign exchange contracts | 23 | |
Payable for collateral due to broker for securities lending | 3,240,000 | |
Payable for distribution services fee (Note 5) | 14,548 | |
Accrued expenses (Note 5) | 56,622 | |
TOTAL LIABILITIES | 3,555,403 | |
Net assets for 6,384,408 shares outstanding | $118,793,460 | |
Net Assets Consist of: | ||
Paid-in capital | $60,981,009 | |
Net unrealized appreciation of investments and translation of assets and liabilities in foreign currency | 41,371,881 | |
Accumulated net realized gain on investments, futures contracts and foreign currency transactions | 16,440,570 | |
TOTAL NET ASSETS | $118,793,460 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
$49,424,594 ÷ 2,612,887 shares outstanding, no par value, unlimited shares authorized | $18.92 | |
Service Shares: | ||
$69,368,866 ÷ 3,771,521 shares outstanding, no par value, unlimited shares authorized | $18.39 |
Investment Income: | |||
Dividends (net of foreign taxes withheld of $9,481) | $774,687 | ||
Interest (including income on securities loaned of $52,888) | 63,864 | ||
TOTAL INCOME | 838,551 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $1,627,245 | ||
Administrative fee (Note 5) | 93,446 | ||
Custodian fees | 35,899 | ||
Transfer agent fee | 14,719 | ||
Directors'/Trustees' fees (Note 5) | 1,456 | ||
Auditing fees | 29,500 | ||
Legal fees | 13,684 | ||
Portfolio accounting fees | 65,242 | ||
Distribution services fee (Note 5) | 172,268 | ||
Printing and postage | 40,578 | ||
Miscellaneous (Note 5) | 17,605 | ||
TOTAL EXPENSES | 2,111,642 | ||
Waiver and Reduction: | |||
Waiver of investment adviser fee (Note 5) | $(105,001) | ||
Fees paid indirectly from directed brokerage arrangements (Note 6) | (1,298) | ||
TOTAL WAIVER AND REDUCTION | (106,299) | ||
Net expenses | 2,005,343 | ||
Net investment income (loss) | (1,166,792) | ||
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions: | |||
Net realized gain/loss on investments and foreign currency transactions | 19,246,427 | ||
Net realized loss on futures contracts | (103,596) | ||
Net change in unrealized appreciation of investments and translation of assets and liabilities in foreign currency | (7,277,414) | ||
Net change in unrealized depreciation of futures contracts | 39,969 | ||
Net realized and unrealized gain on investments, futures contracts and foreign currency transactions | 11,905,386 | ||
Change in net assets resulting from operations | $10,738,594 |
Year Ended December 31 | 2014 | 2013 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income (loss) | $(1,166,792) | $(948,755) |
Net realized gain on investments, futures contracts and foreign currency transactions | 19,142,831 | 14,905,860 |
Net change in unrealized appreciation/depreciation of investments, futures contracts and translation of assets and liabilities in foreign currency | (7,237,445) | 22,053,177 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 10,738,594 | 36,010,282 |
Distributions to Shareholders: | ||
Distributions from net realized gain on investments, futures contracts and foreign currency transactions | ||
Primary Shares | (5,574,595) | (4,141,962) |
Service Shares | (7,703,657) | (5,031,611) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (13,278,252) | (9,173,573) |
Share Transactions: | ||
Proceeds from sale of shares | 23,466,662 | 18,239,672 |
Net asset value of shares issued to shareholders in payment of distributions declared | 13,278,250 | 9,173,572 |
Cost of shares redeemed | (38,962,837) | (25,882,282) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (2,217,925) | 1,530,962 |
Change in net assets | (4,757,583) | 28,367,671 |
Net Assets: | ||
Beginning of period | 123,551,043 | 95,183,372 |
End of period | $118,793,460 | $123,551,043 |
■ | Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market. |
■ | 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 Trustees. |
■ | Fixed-income securities and repurchase agreements 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), unless the issuer's creditworthiness is impaired or other factors indicate that amortized cost is not an accurate estimate of the investment's fair value, in which case it would be valued in the same manner as a longer-term security. |
■ | 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. |
■ | With respect to securities traded in principally foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts; |
■ | Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; |
■ | Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or 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 |
$3,173,325 | $3,240,000 |
Security | Acquisition Date | Cost | Market Value |
BioNano Genomics, Inc., Pfd., Series C | 11/12/2014 | $60 | $60 |
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 | ||
Foreign exchange contracts | Unrealized depreciation on foreign exchange contracts | $23 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||
Futures | Forward Currency Contracts | Total | |
Foreign exchange contracts | $— | $975 | $975 |
Equity contracts | (103,596) | — | (103,596) |
TOTAL | $(103,596) | $975 | $(102,621) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||
Futures | Forward Currency Contracts | Total | |
Foreign exchange contracts | $— | $(75) | $(75) |
Equity contracts | 39,969 | — | 39,969 |
TOTAL | $39,969 | $(75) | $39,894 |
Year Ended December 31 | 2014 | 2013 | ||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 160,666 | $2,966,100 | 173,664 | $2,880,113 |
Shares issued to shareholders in payment of distributions declared | 309,356 | 5,574,593 | 273,758 | 4,141,961 |
Shares redeemed | (635,426) | (11,557,224) | (536,222) | (8,839,932) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (165,404) | $(3,016,531) | (88,800) | $(1,817,858) |
Year Ended December 31 | 2014 | 2013 | ||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,128,203 | $20,500,562 | 925,144 | $15,359,559 |
Shares issued to shareholders in payment of distributions declared | 438,705 | 7,703,657 | 339,515 | 5,031,611 |
Shares redeemed | (1,530,492) | (27,405,613) | (1,045,276) | (17,042,350) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 36,416 | $798,606 | 219,383 | $3,348,820 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (128,988) | $(2,217,925) | 130,583 | $1,530,962 |
Increase (Decrease) | ||
Paid-In Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) |
$(373) | $1,166,792 | $(1,166,419) |
2014 | 2013 | |
Long-term capital gains | $13,278,252 | $9,173,573 |
Undistributed ordinary income | $169,238 |
Undistributed long-term capital gains | $17,095,984 |
Net unrealized appreciation | $40,766,210 |
Capital loss carryforwards | $(218,981) |
Expiration Year | Short-Term | Long-Term | Total |
2016 | $218,981 | NA | $218,981 |
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 |
Share Class Name | Percentage of Average Daily Net Assets of Class |
Primary Shares | 0.25% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | |
Service Shares | $172,268 |
Affiliates | Balance of Shares Held 12/31/2013 | Purchases/ Additions | Sales/ Reductions | Balance of Shares Held 12/31/2014 | Value | Dividend Income |
BioDelivery Sciences International, Inc. | — | 94,800 | (18,870) | 75,930 | $912,679 | $— |
ChannelAdvisor Corp. | 8,200 | 25,487 | — | 33,687 | $726,966 | |
Corcept Therapeutics, Inc. | 198,000 | 46,838 | — | 244,838 | $734,514 | — |
Corcept Therapeutics, Inc., Warrants | 17,387 | — | — | 17,387 | $4,832 | — |
Dexcom, Inc. | 102,457 | 876 | (29,618) | 73,715 | $4,058,011 | — |
Dyax Corp. | 328,478 | 15,000 | (92,078) | 251,400 | $3,534,684 | — |
Dynavax Technologies Corp. | — | 409,200 | (372,000) | 37,200 | $627,192 | |
Dynavax Technologies Corp., Warrants | 71,998 | — | — | 71,998 | $30,628 | |
Egalet Corp. | — | 23,100 | — | 23,100 | $131,439 | — |
ExamWorks Group, Inc. | 64,900 | — | (16,173) | 48,727 | $2,026,556 | — |
Premier, Inc. | 29,192 | 12,708 | — | 41,900 | $1,404,907 | — |
Progenics Pharmaceuticals, Inc. | 173,000 | 75,090 | — | 248,090 | $1,875,560 | — |
Protalix Biotherapeutics, Inc. | 156,000 | 22,172 | — | 178,172 | $327,836 | — |
Protalix Biotherapeutics, Inc., Conv.Bond, Series 144A 4.50%, 9/15/2018 | 95,000 | — | — | 95,000 | $72,004 | — |
Textura Corp. | 40,300 | 25,635 | (1,735) | 64,200 | $1,827,774 | — |
Threshold Pharmaceuticals, Inc., Class THL | 39,000 | 32,007 | — | 71,007 | $225,802 | — |
Zogenix, Inc. | 417,213 | 90,663 | (37,452) | 470,424 | $644,481 | — |
Zogenix, Inc., Warrants | 128,250 | — | — | 128,250 | $134,701 | — |
TOTAL OF AFFILIATED COMPANIES | 1,869,375 | 873,576 | (567,926) | 2,175,025 | $19,300,566 | $— |
Purchases | $58,883,644 |
Sales | $80,019,129 |
Country | Percentage of Net Assets |
United States | 77.2% |
Netherlands Antilles | 3.8% |
Ireland | 3.7% |
United Kingdom | 1.7% |
Israel | 1.4% |
Luxembourg | 1.4% |
Singapore | 1.3% |
China | 1.1% |
Spain | 0.9% |
Italy | 0.5% |
Cayman Islands | 0.4% |
France | 0.3% |
Belgium | 0.2% |
India | 0.1% |
February 13, 2015
Beginning Account Value 7/1/2014 | Ending Account Value 12/31/2014 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,047.00 | $7.89 |
Service Shares | $1,000 | $1,045.50 | $9.18 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,017.49 | $7.78 |
Service Shares | $1,000 | $1,016.23 | $9.05 |
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 expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 1.53% |
Service Shares | 1.78% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
John F. Donahue* Birth Date: July 28, 1924 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and Director, Federated Investors, Inc.; Chairman of the Federated Fund Family's Executive Committee. Previous Positions: Chairman of the Federated Fund Family; Trustee, Federated Investment Management Company; Chairman and Director, Federated Investment Counseling. |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of the Funds in the Federated Fund Family; President, Chief Executive Officer and Director, Federated Investors, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman, Federated Equity Management Company of Pennsylvania and Passport Research, Ltd. (investment advisory subsidiary of Federated); Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd. |
* | Family relationships and reasons for “interested” status: John F. Donahue is the father of J. Christopher Donahue; both are “interested” due to their beneficial ownership of shares of Federated Investors, Inc. and the positions they hold with Federated and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and CEO, The Collins Group, Inc. (a private equity firm). Other Directorships Held: Director, KLX Corp. Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director, Sterling Suffolk Downs, Inc. (racecourse); Director and Audit Committee Member, Bank of America Corp. and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Fund Family; Associate General Secretary and Director, Office for Church Relations, Diocese of Pittsburgh; Adjunct Professor of Law, Duquesne University School of Law. Other Directorships Held: Director, CONSOL Energy Inc. Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously served as Professor of Law, Duquesne University School of Law and was a member of the Superior Court of Pennsylvania. Judge Lally-Green also holds the positions of: Member, Pennsylvania State Board of Education; Director, Saint Vincent College; Director and Chair, UPMC Mercy Hospital; Regent, St. Vincent Seminary; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Our Campaign for the Church Alive!, Inc.; Director, Pennsylvania Bar Institute; and Director, Catholic High Schools of the Diocese of Pittsburgh, Inc. Judge Lally-Green has held the positions of: Director, Auberle; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; and Director Cardinal Wuerl Catholic High School. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Peter E. Madden Birth Date: March 16, 1942 Trustee Indefinite Term Began serving: October 1993 | Principal Occupation: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Fund Family; Retired. Other Directorships Held: None. Qualifications: Mr. Madden has served in several business management, mutual fund services and directorship positions throughout his career. Mr. Madden previously served as President, Chief Operating Officer and Director, State Street Bank and Trust Company (custodian bank) and State Street Corporation (financial services). He was Director, VISA USA and VISA International and Chairman and Director, Massachusetts Bankers Association. Mr. Madden served as Director, Depository Trust Corporation and Director, The Boston Stock Exchange. Mr. Madden also served as a Representative to the Commonwealth of Massachusetts General Court. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 1999 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant. Other Directorships Held: None. Qualifications: Mr. Mansfield has served in several banking, business management and educational roles and directorship positions throughout his career. Mr. Mansfield previously served as Chief Executive Officer, PBTC International Bank; Partner, Arthur Young & Company (now Ernst & Young LLP); Chief Financial Officer of Retail Banking Sector, Chase Manhattan Bank; Senior Vice President, HSBC Bank USA (formerly, Marine Midland Bank); Vice President, Citibank; Assistant Professor of Banking and Finance, Frank G. Zarb School of Business, Hofstra University; Executive Vice President DVC Group, Inc. (marketing, communications and technology). |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: October 2006 | Principal Occupations: Director or Trustee, Vice Chair of the Audit Committee of the Federated Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; General Counsel, University of Pittsburgh. Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey serves as Board Member, Epilepsy Foundation of Western Pennsylvania and Board member, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
John W. McGonigle Birth Date: October 26, 1938 EXECUTIVE VICE PRESIDENT AND SECRETARY Officer since: September 1993 | Principal Occupations: Executive Vice President and Secretary of the Federated Fund Family; Vice Chairman, Executive Vice President, Secretary and Director, Federated Investors, Inc. Previous Positions: Trustee, Federated Investment Management Company and Federated Investment Counseling; Director, Federated Global Investment Management Corp., Federated Services Company and Federated Securities Corp. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Investors, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer of the Federated Fund Family. He is General Counsel and Vice President, Federated Investors, Inc.; President, Federated Administrative Services and Federated Administrative Services, Inc.; Vice President, Federated Securities Corp.; Secretary, Federated Private Asset Management, Inc.; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Investors, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Investors, Inc. |
Richard B. Fisher Birth Date: May 17, 1923 VICE PRESIDENT Officer since: September 1993 | Principal Occupations: Vice Chairman or Vice President of some of the Funds in the Federated Fund Family; Vice Chairman, Federated Investors, Inc.; Chairman, Federated Securities Corp. Previous Positions: President and Director or Trustee of some of the Funds in the Federated Fund Family; Executive Vice President, Federated Investors, Inc.; Director and Chief Executive Officer, Federated Securities Corp. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Family; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc.; President, Technology, Federated Services Company. |
Brian P. Bouda Birth Date: February 28, 1947 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: August 2004 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Fund Family; Vice President and Chief Compliance Officer of Federated Investors, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Bouda joined Federated in 1999 and is a member of the American Bar Association and the State Bar Association of Wisconsin. Previous Positions: Served in Senior Management positions with a large regional banking organization. |
Stephen F. Auth Birth Date: September 3, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated's taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated's money market products in 2004. She joined Federated in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916777
2015 ©Federated Investors, Inc.
May Lose Value
Security Type | Percentage of Total Net Assets |
Commercial Paper and Notes | 37.1% |
Repurchase Agreements and Other Repurchase Agreements | 32.6% |
Bank Instruments | 24.7% |
Variable Rate Demand Instruments | 5.6% |
Other Assets and Liabilities—Net2,3 | 0.0% |
TOTAL | 100.0% |
Securities With an Effective Maturity of: | Percentage of Total Net Assets |
1-7 Days | 38.8%5 |
8-30 Days | 25.2% |
31-90 Days | 28.0% |
91-180 Days | 3.9% |
181 Days or more | 4.1% |
Other Assets and Liabilities—Net2,3 | 0.0% |
TOTAL | 100.0% |
1 | Commercial Paper and Notes include any fixed-rate security that is not a bank instrument. A variable rate instrument is any security which has an interest rate that resets periodically. See the Fund's Prospectus for descriptions of commercial paper, repurchase agreements and bank instruments. |
2 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
3 | Represents less than 0.1%. |
4 | Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940, which regulates money market mutual funds. |
5 | Overnight securities comprised 22.8% of the Fund's portfolio. |
Principal Amount | Value | ||
ASSET-BACKED SECURITIES—2.0% | |||
Finance - Automotive—1.8% | |||
$1,096,931 | 1,2 | Enterprise Fleet Financing LLC 2014-2, Class A1, 0.250%, 8/20/2015 | $1,096,931 |
1,353,172 | 1,2 | Westlake Automobile Receivables Trust 2014-2, Class A1, 0.350%, 10/15/2015 | 1,353,172 |
TOTAL | 2,450,103 | ||
Finance - Equipment—0.2% | |||
205,652 | 1,2 | GE Equipment Small Ticket LLC Series 2014-1, Class A1, 0.250%, 4/24/2015 | 205,652 |
TOTAL ASSET-BACKED SECURITIES | 2,655,755 | ||
BANK NOTE—1.5% | |||
Finance - Banking—1.5% | |||
2,000,000 | Bank of America N.A., 0.200%, 2/17/2015 | 2,000,000 | |
CERTIFICATES OF DEPOSIT—24.7% | |||
Finance - Banking—24.7% | |||
3,000,000 | BNP Paribas SA, 0.220%, 1/15/2015 | 3,000,000 | |
3,000,000 | 3 | Bank of Montreal, 0.227%, 1/6/2015 | 3,000,000 |
3,000,000 | Bank of Nova Scotia, Toronto, 0.250%, 2/11/2015 | 3,000,000 | |
1,000,000 | Bank of Nova Scotia, Toronto, 0.280%, 6/12/2015 | 999,980 | |
3,000,000 | Bank of Tokyo-Mitsubishi UFJ Ltd., 0.200%, 2/2/2015 | 3,000,000 | |
2,000,000 | 3 | Canadian Imperial Bank of Commerce, 0.347%, 1/26/2015 | 2,000,000 |
3,000,000 | DZ Bank AG Deutsche Zentral-Genossenschaftbank, 0.250%, 3/23/2015 | 3,000,000 | |
1,000,000 | Natixis, 0.220%, 2/4/2015 | 1,000,000 | |
900,000 | 3 | Natixis, 0.272%, 1/12/2015 | 900,000 |
2,000,000 | 3 | Royal Bank of Canada, Montreal, 0.250%, 1/27/2015 | 2,000,000 |
1,000,000 | 3 | Royal Bank of Canada, Montreal, 0.281%, 1/9/2015 | 1,000,000 |
2,000,000 | 3 | State Street Bank and Trust Co., 0.281%, 1/2/2015 | 2,000,000 |
3,900,000 | Sumitomo Mitsui Banking Corp., 0.220%, 1/20/2015 - 3/17/2015 | 3,900,000 | |
2,000,000 | 3 | Toronto Dominion Bank, 0.252%, 1/20/2015 | 2,000,000 |
2,000,000 | Toronto Dominion Bank, 0.350%, 9/10/2015 | 2,000,000 | |
TOTAL CERTIFICATES OF DEPOSIT | 32,799,980 | ||
COMMERCIAL PAPER—25.6%4 | |||
Chemicals—0.4% | |||
585,000 | PPG Industries, Inc., 0.430%, 1/20/2015 | 584,867 | |
Container\Packaging—0.5% | |||
670,000 | 1,2 | Bemis Co., Inc., 0.480%, 1/16/2015 | 669,866 |
Finance - Banking—9.3% | |||
2,000,000 | 1,2 | ASB Finance Ltd., 0.220%, 4/27/2015 | 1,998,582 |
1,000,000 | 1,2 | J.P. Morgan Securities LLC, 0.331%, 7/17/2015 | 998,194 |
900,000 | 1,2 | LMA-Americas LLC, 0.230%, 1/21/2015 | 899,885 |
6,500,000 | 1,2 | Nationwide Building Society, 0.200%—0.250%, 2/6/2015 - 3/23/2015 | 6,497,786 |
2,000,000 | 1,2 | Nordea Bank AB, 0.220%, 3/25/2015 | 1,998,986 |
TOTAL | 12,393,433 | ||
Finance - Commercial—5.1% | |||
3,000,000 | 1,2 | Atlantic Asset Securitization LLC, 0.200%—0.210%, 1/14/2015 - 2/17/2015 | 2,999,402 |
750,000 | 1,2 | CIESCO, LLC, 0.240%, 2/17/2015 | 749,765 |
3,000,000 | 1,2 | Versailles Commercial Paper LLC, 0.230%, 1/5/2015 | 2,999,923 |
TOTAL | 6,749,090 | ||
Finance - Retail—8.3% | |||
4,000,000 | American Express Credit Corp., 0.280%, 2/9/2015 | 3,998,787 | |
2,000,000 | 1,2 | CAFCO, LLC, 0.240%, 5/5/2015 | 1,998,347 |
Principal Amount | Value | ||
COMMERCIAL PAPER—continued4 | |||
Finance - Retail—continued | |||
$5,000,000 | 1,2 | Salisbury Receivables Company LLC, 0.220%, 2/24/2015 | $4,998,350 |
TOTAL | 10,995,484 | ||
Food & Beverage—0.2% | |||
250,000 | 1,2 | Agrium, Inc., 0.350%, 1/5/2015 | 249,990 |
Oil & Oil Finance—0.9% | |||
492,000 | 1,2 | Devon Energy Corp., 0.480%, 1/26/2015 | 491,836 |
683,000 | Motiva Enterprises LLC, 0.390%, 1/8/2015 | 682,948 | |
TOTAL | 1,174,784 | ||
Retail—0.5% | |||
655,000 | 1,2 | CVS Health Corp., 0.500%, 1/20/2015 | 654,827 |
Utility Gas—0.4% | |||
500,000 | 1,2 | Northeast Utilities, 0.320%, 1/5/2015 | 499,982 |
TOTAL COMMERCIAL PAPER | 33,972,323 | ||
CORPORATE BONDS—8.0% | |||
Finance - Banking—7.2% | |||
3,500,000 | Bank of America Corp., 5.000%, 1/15/2015 | 3,506,024 | |
5,138,000 | Citigroup, Inc., 6.010%, 1/15/2015 | 5,148,595 | |
900,000 | 3 | JPMorgan Chase & Co., 0.681%, 1/23/2015 | 900,956 |
TOTAL | 9,555,575 | ||
Insurance—0.8% | |||
1,000,000 | 1,2 | Metropolitan Life Global Funding I, 2.000%, 1/9/2015 | 1,000,361 |
TOTAL CORPORATE BONDS | 10,555,936 | ||
NOTES - VARIABLE—5.6%3 | |||
Aerospace/Auto—3.0% | |||
2,000,000 | BMW US Capital LLC, (GTD by Bayerische Motoren Werke AG), 0.348%, 1/20/2015 | 2,000,000 | |
2,000,000 | Toyota Motor Credit Corp., (Toyota Motor Corp. SA), 0.238%, 3/10/2015 | 2,000,000 | |
TOTAL | 4,000,000 | ||
Finance - Banking—2.6% | |||
3,225,000 | Connecticut HEFA, Series D Griffin Hospital, (Wells Fargo Bank, N.A. LOC), 0.160%, 1/2/2015 | 3,225,000 | |
210,000 | Lancaster, PA IDA, Snavely's Mill, Inc., Series 2003—B, (Fulton Bank, N.A. LOC), 1.150%, 1/2/2015 | 210,000 | |
TOTAL | 3,435,000 | ||
TOTAL NOTES—VARIABLE | 7,435,000 | ||
OTHER REPURCHASE AGREEMENTS—19.5% | |||
Finance - Banking—19.5% | |||
2,900,000 | BNP Paribas Securities Corp., 0.355%—0.436%, 1/2/2015 - 2/3/2015, interest in a $475,000,000 collateralized loan agreement, dated 10/30/2014-12/31/14/2014, in which asset-backed securities, corporate bonds, collateralized mortgage obligations and U.S. Government Agency securities with a market value of $484,623,406 have been received as collateral and held with BNY Mellon as tri-party agent. | 2,900,000 | |
3,500,000 | Citigroup Global Markets, Inc., 0.558%, 1/2/2015, interest in a $120,000,000 collateralized loan agreement, dated 12/31/2014, in which asset-backed securities and collateralized mortgage obligations with a market value of $122,403,740 have been received as collateral and held with BNY Mellon as tri-party agent. | 3,500,000 | |
2,000,000 | Credit Suisse Securities (USA) LLC, 0.558%, 1/23/2015, interest in a $25,000,000 collateralized loan agreement, dated 11/26/2014, in which collateralized mortgage obligations with a market value of $25,516,171 have been received as collateral and held with JPMorgan Chase as tri-party agent. | 2,000,000 | |
5,000,000 | JPMorgan Securities LLC, 0.314%, 1/2/2015, interest in a $250,000,000 collateralized loan agreement, dated 10/01/2014, in which asset-backed securities with a market value of $255,199,878 have been received as collateral and held with JPMorgan Chase as tri-party agent. | 5,000,000 | |
420,000 | Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.355%, 1/2/2015, interest in a $205,000,000 collateralized loan agreement, dated 12/31/2014, in which collateralized mortgage obligations, corporate bonds and medium-term notes with a market value of $209,104,066 have been received as collateral and held with BNY Mellon as tri-party agent. | 420,000 | |
3,000,000 | Mitsubishi UFJ Securities (USA), Inc., 0.253%, 1/2/2015, interest in a $200,000,000 collateralized loan agreement, dated 11/24/2014, in which American depositary receipts, asset-backed securities, corporate bonds, common stock, exchange-traded funds, municipal bonds and medium-term notes with a market value of $204,055,276 have been received as collateral and held with JPMorgan Chase as tri-party agent. | 3,000,000 |
Principal Amount | Value | ||
OTHER REPURCHASE AGREEMENTS—continued | |||
Finance - Banking—continued | |||
$4,000,000 | Mizuho Securities USA, Inc., 0.456%—1.156%, 1/7/2015 - 3/16/2015, interest in a $237,000,000 collateralized loan agreement, dated 12/15/2014 -12/24/2014, in which an asset-backed security and U.S. Government Agency securities with a market value of $241,826,460 have been received as collateral and held with BNY Mellon as tri-party agent. | $4,000,000 | |
2,000,000 | RBC Capital Markets, LLC, 0.304%, 2/17/2015, interest in a $300,000,000 collateralized loan agreement, dated 12/22/2014, in which common stocks with a market value of $306,031,009 have been received as collateral and held with BNY Mellon as tri-party agent. | 2,000,000 | |
3,000,000 | Wells Fargo Securities LLC, 0.456%, 1/20/2015, interest in a $200,000,000 collateralized loan agreement, dated 10/21/2014, in which asset-backed securities, collateralized mortgage obligations, corporate bonds and a medium-term note with a market value of $204,186,150 have been received as collateral and held with BNY Mellon as tri-party agent. | 3,000,000 | |
TOTAL OTHER REPURCHASE AGREEMENTS | 25,820,000 | ||
REPURCHASE AGREEMENTS—13.1% | |||
10,000,000 | Interest in $750,000,000 joint repurchase agreement 0.11%, dated 12/31/2014 under which ABN Amro Bank N.V., NL will repurchase securities provided as collateral for $750,004,583 on 1/2/2015. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 6/20/2044 and the market value of those underlying securities was $765,006,528. | 10,000,000 | |
7,391,000 | Interest in $3,000,000,000 joint repurchase agreement 0.08%, dated 12/31/2014 under which Natixis Financial Products LLC will repurchase securities provided as collateral for $3,000,013,333 on 1/2/2015. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency and U.S. Treasury securities with various maturities to 8/25/2051 and the market value of those underlying securities was $3,065,662,810. | 7,391,000 | |
TOTAL REPURCHASE AGREEMENTS (AT COST) | 17,391,000 | ||
TOTAL INVESTMENTS—100.0% (AT AMORTIZED COST)5 | 132,629,994 | ||
OTHER ASSETS AND LIABILITIES - NET—0.0%6 | 47,708 | ||
TOTAL NET ASSETS—100% | $132,677,702 |
1 | Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At December 31, 2014, these restricted securities amounted to $32,361,837, which represented 24.4% of total net assets. |
2 | Denotes a restricted security that may be resold without restriction to “qualified institutional buyers” as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund's Board of Trustees (the “Trustees”). At December 31, 2014, these liquid restricted securities amounted to $32,361,837, which represented 24.4% of total net assets. |
3 | Denotes a variable rate security with current rate and next reset date shown. |
4 | Discount rate at time of purchase. |
5 | Also represents cost of investments for federal tax purposes. |
6 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
GTD | —Guaranteed |
HEFA | —Health and Education Facilities Authority |
IDA | —Industrial Development Authority |
LOC | —Letter of Credit |
Year Ended December 31 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Income From Investment Operations: | |||||
Net investment income | — | — | — | — | 0.0001 |
Net realized and unrealized gain (loss) on investments | 0.0001 | 0.0001 | 0.0001 | (0.000)1 | (0.000)1 |
TOTAL FROM INVESTMENT OPERATIONS | 0.0001 | 0.0001 | 0.000 | (0.000) | (0.000) |
Less Distributions: | |||||
Distributions from net investment income | — | — | — | — | (0.000)1 |
Distributions from net realized gain on investments | — | — | — | — | (0.000)1 |
TOTAL DISTRIBUTIONS | — | — | — | — | (0.000)1 |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00%3 |
Ratios to Average Net Assets: | |||||
Net expenses | 0.26% | 0.27% | 0.40% | 0.36% | 0.41% |
Net investment income | 0.00% | 0.00% | 0.00% | 0.00% | 0.00%3 |
Expense waiver/reimbursement4 | 0.42% | 0.41% | 0.26% | 0.32% | 0.24% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $132,678 | $154,973 | $174,541 | $204,124 | $213,825 |
1 | Represents less than $0.001. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | Represents less than 0.01%. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in repurchase agreements and other repurchase agreements | $43,211,000 | |
Investment in securities | 89,418,994 | |
Total investment in securities, at amortized cost and fair value | $132,629,994 | |
Cash | 1,016,170 | |
Income receivable | 135,499 | |
Receivable for shares sold | 8,386 | |
TOTAL ASSETS | 133,790,049 | |
Liabilities: | ||
Payable for investments purchased | 1,014,576 | |
Payable for shares redeemed | 70,019 | |
Payable to adviser (Note 5) | 1,167 | |
Accrued expenses (Note 5) | 26,585 | |
TOTAL LIABILITIES | 1,112,347 | |
Net assets for 132,678,336 shares outstanding | $132,677,702 | |
Net Assets Consist of: | ||
Paid-in capital | $132,677,885 | |
Accumulated net realized loss on investments | (183) | |
TOTAL NET ASSETS | $132,677,702 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$132,677,702 ÷ 132,678,336 shares outstanding, no par value, unlimited shares authorized | $1.00 |
Investment Income: | ||
Interest | $378,059 | |
Expenses: | ||
Investment adviser fee (Note 5) | $730,054 | |
Administrative fee (Note 5) | 114,164 | |
Custodian fees | 16,645 | |
Transfer agent fee | 4,004 | |
Directors'/Trustees' fees (Note 5) | 1,705 | |
Auditing fees | 21,999 | |
Legal fees | 12,900 | |
Portfolio accounting fees | 46,284 | |
Printing and postage | 41,909 | |
Miscellaneous (Note 5) | 5,547 | |
TOTAL EXPENSES | 995,211 | |
Waiver of investment adviser fee (Note 5) | (617,152) | |
Net expenses | 378,059 | |
Net investment income | — | |
Net realized gain on investments | 282 | |
Change in net assets resulting from operations | $282 |
Year Ended December 31 | 2014 | 2013 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $— | $— |
Net realized gain on investments | 282 | 482 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 282 | 482 |
Share Transactions: | ||
Proceeds from sale of shares | 82,602,288 | 111,170,875 |
Cost of shares redeemed | (104,898,328) | (130,738,603) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (22,296,040) | (19,567,728) |
Change in net assets | (22,295,758) | (19,567,246) |
Net Assets: | ||
Beginning of period | 154,973,460 | 174,540,706 |
End of period | $132,677,702 | $154,973,460 |
Year Ended December 31 | 2014 | 2013 |
Shares sold | 82,602,288 | 111,170,875 |
Shares redeemed | (104,898,328) | (130,738,603) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (22,296,040) | (19,567,728) |
Capital loss carryforwards | $(183) |
Expiration Year | Short-Term | Long-Term | Total |
2018 | $183 | NA | $183 |
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 |
February 13, 2015
Beginning Account Value 7/1/2014 | Ending Account Value 12/31/2014 | Expenses Paid During Period1,2 | |
Actual | $1,000 | $1,000.00 | $1.31 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,023.89 | $1.33 |
1 | Expenses are equal to the Fund's annualized net expense ratio of 0.26%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. |
2 | Actual and Hypothetical expenses paid during the period, utilizing the Fund's current Fee Limit of 0.67% (as reflected in the Notes to Financial Statements, Note 5 under Expense Limitation), multiplied by the average account value over the period, multiplied by 184/365 (to reflect expenses paid as if they had been in effect throughout the most recent one-half-year period) would be $3.38 and $3.41, respectively. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
John F. Donahue* Birth Date: July 28, 1924 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and Director, Federated Investors, Inc.; Chairman of the Federated Fund Family's Executive Committee. Previous Positions: Chairman of the Federated Fund Family; Trustee, Federated Investment Management Company; Chairman and Director, Federated Investment Counseling. |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of the Funds in the Federated Fund Family; President, Chief Executive Officer and Director, Federated Investors, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman, Federated Equity Management Company of Pennsylvania and Passport Research, Ltd. (investment advisory subsidiary of Federated); Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd. |
* | Family relationships and reasons for “interested” status: John F. Donahue is the father of J. Christopher Donahue; both are “interested” due to their beneficial ownership of shares of Federated Investors, Inc. and the positions they hold with Federated and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and CEO, The Collins Group, Inc. (a private equity firm). Other Directorships Held: Director, KLX Corp. Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director, Sterling Suffolk Downs, Inc. (racecourse); Director and Audit Committee Member, Bank of America Corp. and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Fund Family; Associate General Secretary and Director, Office for Church Relations, Diocese of Pittsburgh; Adjunct Professor of Law, Duquesne University School of Law. Other Directorships Held: Director, CONSOL Energy Inc. Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously served as Professor of Law, Duquesne University School of Law and was a member of the Superior Court of Pennsylvania. Judge Lally-Green also holds the positions of: Member, Pennsylvania State Board of Education; Director, Saint Vincent College; Director and Chair, UPMC Mercy Hospital; Regent, St. Vincent Seminary; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Our Campaign for the Church Alive!, Inc.; Director, Pennsylvania Bar Institute; and Director, Catholic High Schools of the Diocese of Pittsburgh, Inc. Judge Lally-Green has held the positions of: Director, Auberle; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; and Director Cardinal Wuerl Catholic High School. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Peter E. Madden Birth Date: March 16, 1942 Trustee Indefinite Term Began serving: October 1993 | Principal Occupation: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Fund Family; Retired. Other Directorships Held: None. Qualifications: Mr. Madden has served in several business management, mutual fund services and directorship positions throughout his career. Mr. Madden previously served as President, Chief Operating Officer and Director, State Street Bank and Trust Company (custodian bank) and State Street Corporation (financial services). He was Director, VISA USA and VISA International and Chairman and Director, Massachusetts Bankers Association. Mr. Madden served as Director, Depository Trust Corporation and Director, The Boston Stock Exchange. Mr. Madden also served as a Representative to the Commonwealth of Massachusetts General Court. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 1999 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant. Other Directorships Held: None. Qualifications: Mr. Mansfield has served in several banking, business management and educational roles and directorship positions throughout his career. Mr. Mansfield previously served as Chief Executive Officer, PBTC International Bank; Partner, Arthur Young & Company (now Ernst & Young LLP); Chief Financial Officer of Retail Banking Sector, Chase Manhattan Bank; Senior Vice President, HSBC Bank USA (formerly, Marine Midland Bank); Vice President, Citibank; Assistant Professor of Banking and Finance, Frank G. Zarb School of Business, Hofstra University; Executive Vice President DVC Group, Inc. (marketing, communications and technology). |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: October 2006 | Principal Occupations: Director or Trustee, Vice Chair of the Audit Committee of the Federated Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; General Counsel, University of Pittsburgh. Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey serves as Board Member, Epilepsy Foundation of Western Pennsylvania and Board member, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
John W. McGonigle Birth Date: October 26, 1938 EXECUTIVE VICE PRESIDENT AND SECRETARY Officer since: September 1993 | Principal Occupations: Executive Vice President and Secretary of the Federated Fund Family; Vice Chairman, Executive Vice President, Secretary and Director, Federated Investors, Inc. Previous Positions: Trustee, Federated Investment Management Company and Federated Investment Counseling; Director, Federated Global Investment Management Corp., Federated Services Company and Federated Securities Corp. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Investors, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer of the Federated Fund Family. He is General Counsel and Vice President, Federated Investors, Inc.; President, Federated Administrative Services and Federated Administrative Services, Inc.; Vice President, Federated Securities Corp.; Secretary, Federated Private Asset Management, Inc.; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Investors, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Investors, Inc. |
Richard B. Fisher Birth Date: May 17, 1923 VICE PRESIDENT Officer since: September 1993 | Principal Occupations: Vice Chairman or Vice President of some of the Funds in the Federated Fund Family; Vice Chairman, Federated Investors, Inc.; Chairman, Federated Securities Corp. Previous Positions: President and Director or Trustee of some of the Funds in the Federated Fund Family; Executive Vice President, Federated Investors, Inc.; Director and Chief Executive Officer, Federated Securities Corp. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Family; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc.; President, Technology, Federated Services Company. |
Brian P. Bouda Birth Date: February 28, 1947 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: August 2004 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Fund Family; Vice President and Chief Compliance Officer of Federated Investors, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Bouda joined Federated in 1999 and is a member of the American Bar Association and the State Bar Association of Wisconsin. Previous Positions: Served in Senior Management positions with a large regional banking organization. |
Stephen F. Auth Birth Date: September 3, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated's taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated's money market products in 2004. She joined Federated in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
2015 ©Federated Investors, Inc.
Share Class |
Primary |
Service |
1 | Please see the footnotes to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the BICI. |
2 | Duration measures the price sensitivity of a fixed-income security to changes in interest rates. Securities with longer durations are more sensitive to changes in interest rates than securities of shorter durations. |
3 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
4 | Investment-grade securities are securities that are rated at least “BBB- (minus)” or unrated securities of a comparable quality. Noninvestment-grade securities are securities that are not rated at least “BBB- (minus)” or unrated securities of a comparable quality. Credit ratings are an indication of the risk that a security will default. They do not protect a security from credit risk. Lower-rated bonds typically offer higher yields to help compensate investors for the increased risk associated with them. Among these risks are lower credit-worthiness, greater price volatility, more risk to principal and income than with higher-rated securities and increased possibilities of default. |
Federated Quality Bond Fund II - | Primary Shares | Service Shares | BICI |
F | F | I | |
12/31/2004 | 10,000 | 10,000 | 10,000 |
12/31/2005 | 10,130 | 10,099 | 10,142 |
12/31/2006 | 10,551 | 10,495 | 10,598 |
12/31/2007 | 11,119 | 11,034 | 11,192 |
12/31/2008 | 10,308 | 10,201 | 10,883 |
12/31/2009 | 12,415 | 12,256 | 12,616 |
12/31/2010 | 13,470 | 13,272 | 13,594 |
12/31/2011 | 13,776 | 13,536 | 14,324 |
12/31/2012 | 15,116 | 14,814 | 15,485 |
12/31/2013 | 15,272 | 14,925 | 15,458 |
12/31/2014 | 15,852 | 15,450 | 16,101 |
1 Year | 5 Years | 10 Years | |
Primary Shares | 3.79% | 5.01% | 4.71% |
Service Shares | 3.51% | 4.74% | 4.45% |
BICI | 4.16% | 5.00% | 4.88% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BICI has been adjusted to reflect reinvestment of dividends on securities in the index. |
2 | The Barclays U.S. Intermediate Credit Bond Index is an unmanaged index that consists of dollar-denominated, investment-grade, publicly issued securities with a maturity of between one and ten years, a minimum amount outstanding of $250 million and that are issued by both corporate issuers and non-corporate issuers (supranationals, sovereigns, foreign agencies and foreign local governments). The index is not adjusted to reflect sales loads, expenses or other fees that the Securities and Exchange Commission requires to be reflected in the Fund's performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
Security Type | Percentage of Total Net Assets |
Corporate Debt Securities | 95.6% |
Collateralized Mortgage Obligation | 0.6% |
Municipal Bond | 0.2% |
U.S. Treasury and Agency Securities2 | 0.2% |
Foreign Government Debt Security | 0.1% |
Mortgage-Backed Securities3 | 0.1% |
Derivative Contracts4 | (0.4)% |
Cash Equivalents5 | 2.0% |
Other Assets and Liabilities—Net6 | 1.6% |
TOTAL | 100.0% |
1 | See the Fund's Prospectus and Statement of Additional Information for a description of these security types. |
2 | For purposes of this table, U.S. Treasury and Agency Securities do not include mortgage-backed securities guaranteed by Government Sponsored Entities (GSEs). |
3 | For purposes of this table, Mortgage-Backed Securities include mortgage-backed securities guaranteed by GSEs. |
4 | 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. |
5 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
6 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount | Value | ||
CORPORATE BONDS—95.6% | |||
Basic Industry - Chemicals—2.0% | |||
$570,000 | Albemarle Corp., 4.15%, 12/1/2024 | $580,270 | |
640,000 | FMC Corp., Sr. Unsecd. Note, 3.95%, 2/1/2022 | 666,067 | |
410,000 | 1,2 | Incitec Pivot Finance LLC, Company Guarantee, Series 144A, 4.00%, 12/7/2015 | 419,555 |
800,000 | 1,2 | Incitec Pivot Finance LLC, Company Guarantee, Series 144A, 6.00%, 12/10/2019 | 890,550 |
1,290,000 | RPM International, Inc., 6.50%, 2/15/2018 | 1,442,487 | |
900,000 | RPM International, Inc., Sr. Unsecd. Note, 6.125%, 10/15/2019 | 1,023,944 | |
114,000 | Rohm & Haas Co., 6.00%, 9/15/2017 | 126,170 | |
TOTAL | 5,149,043 | ||
Basic Industry - Metals & Mining—5.4% | |||
1,000,000 | Alcoa, Inc., 5.87%, 2/23/2022 | 1,107,736 | |
750,000 | Allegheny Technologies, Inc., Sr. Note, 9.375%, 6/1/2019 | 873,382 | |
750,000 | 1,2 | Anglo American Capital PLC, Company Guarantee, Series 144A, 2.625%, 4/3/2017 | 759,506 |
100,000 | 1,2 | Anglo American Capital PLC, Company Guarantee, Series 144A, 4.45%, 9/27/2020 | 104,037 |
630,000 | Anglogold Ashanti Holdings PLC, Sr. Note, 6.50%, 4/15/2040 | 556,384 | |
1,000,000 | Anglogold Ashanti Holdings PLC, Sr. Unsecd. Note, 5.125%, 8/1/2022 | 913,906 | |
660,000 | ArcelorMittal SA, Sr. Unsecd. Note, 5.00%, 2/25/2017 | 688,050 | |
300,000 | ArcelorMittal SA, Sr. Unsecd. Note, 5.75%, 8/5/2020 | 312,375 | |
80,000 | ArcelorMittal SA, Sr. Unsecd. Note, 7.25%, 3/1/2041 | 81,200 | |
230,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.45%, 3/1/2023 | 234,625 | |
850,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 5.20%, 7/15/2021 | 904,019 | |
1,020,000 | 1,2 | Gerdau S.A., Company Guarantee, Series 144A, 5.75%, 1/30/2021 | 1,040,910 |
700,000 | 1,2 | Gold Fields Orogen Holding BVI Ltd., Company Guarantee, Series 144A, 4.875%, 10/7/2020 | 591,500 |
280,000 | 1,2 | Hyundai Steel Co., Sr. Unsecd. Note, Series 144A, 4.625%, 4/21/2016 | 289,934 |
470,000 | 1,2 | Newcrest Finance Property Ltd., Sr. Unsecd. Note, Series 144A, 4.20%, 10/1/2022 | 424,743 |
1,200,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.50%, 4/15/2023 | 1,178,075 | |
435,000 | Rio Tinto Finance USA Ltd., Company Guarantee, 6.50%, 7/15/2018 | 498,408 | |
1,570,000 | Southern Copper Corp., Sr. Unsecd. Note, 3.50%, 11/8/2022 | 1,496,783 | |
1,430,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 6.50%, 4/15/2020 | 1,626,260 | |
TOTAL | 13,681,833 | ||
Basic Industry - Paper—0.6% | |||
460,000 | Plum Creek Timberlands LP, Sr. Unsecd. Note, 4.70%, 3/15/2021 | 499,567 | |
200,000 | Westvaco Corp., 7.65%, 3/15/2027 | 218,838 | |
700,000 | Westvaco Corp., Sr. Deb., 7.50%, 6/15/2027 | 762,369 | |
TOTAL | 1,480,774 | ||
Capital Goods - Aerospace & Defense—0.8% | |||
1,619,000 | 1,2 | Embraer Overseas Ltd., Sr. Unsecd. Note, Series 144A, 5.696%, 9/16/2023 | 1,733,949 |
320,000 | Rockwell Collins, Inc., Sr. Unsecd. Note, 3.10%, 11/15/2021 | 328,834 | |
TOTAL | 2,062,783 | ||
Capital Goods - Building Materials—0.5% | |||
620,000 | Masco Corp., Sr. Unsecd. Note, 7.125%, 3/15/2020 | 719,200 | |
195,000 | Valmont Industries, Inc., 5.25%, 10/1/2054 | 197,573 | |
341,000 | Valmont Industries, Inc., Sr. Unsecd. Note, 6.625%, 4/20/2020 | 400,663 | |
TOTAL | 1,317,436 | ||
Capital Goods - Construction Machinery—0.4% | |||
1,010,000 | AGCO Corp., Sr. Unsecd. Note, 5.875%, 12/1/2021 | 1,133,817 | |
Capital Goods - Diversified Manufacturing—1.9% | |||
450,000 | ABB Finance USA, Inc., Sr. Unsecd. Note, 2.875%, 5/8/2022 | 452,994 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Capital Goods - Diversified Manufacturing—continued | |||
$1,045,000 | Harsco Corp., 5.75%, 5/15/2018 | $1,102,475 | |
800,000 | 1,2 | Hutchison Whampoa International 14 Ltd., Unsecd. Note, Series 144A, 1.625%, 10/31/2017 | 793,954 |
1,190,000 | Pentair Ltd., Company Guarantee, 5.00%, 5/15/2021 | 1,325,453 | |
910,000 | 1,2 | Textron Financial Corp., Jr. Sub. Note, Series 144A 6.00%, 2/15/2067 | 828,100 |
295,000 | Textron, Inc., Sr. Unsecd. Note, 4.30%, 3/1/2024 | 308,802 | |
TOTAL | 4,811,778 | ||
Capital Goods - Packaging—0.2% | |||
470,000 | Packaging Corp. of America, Sr. Unsecd. Note, 3.90%, 6/15/2022 | 482,807 | |
Communications - Cable & Satellite—2.9% | |||
1,090,000 | DIRECTV Holdings LLC, Company Guarantee, 5.00%, 3/1/2021 | 1,190,227 | |
1,890,000 | NBC Universal, Inc., Sr. Unsecd. Note, 5.15%, 4/30/2020 | 2,147,299 | |
2,000,000 | Time Warner Cable, Inc., Company Guarantee, 5.00%, 2/1/2020 | 2,206,456 | |
600,000 | Time Warner Cable, Inc., Company Guarantee, 5.50%, 9/1/2041 | 699,749 | |
800,000 | Time Warner Cable, Inc., Sr. Unsecd. Note, 8.375%, 3/15/2023 | 1,078,407 | |
TOTAL | 7,322,138 | ||
Communications - Media & Entertainment—2.1% | |||
200,000 | 21st Century Fox America, Inc., Sr. Unsecd. Note, 4.00%, 10/1/2023 | 212,748 | |
300,000 | 1,2 | British Sky Broadcasting Group PLC, Series 144A, 3.75%, 9/16/2024 | 302,447 |
750,000 | CBS Corp., 3.70%, 8/15/2024 | 749,447 | |
420,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.00%, 5/13/2045 | 426,060 | |
1,679,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 2.25%, 11/15/2017 | 1,683,463 | |
595,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.625%, 5/1/2022 | 611,803 | |
250,000 | Viacom, Inc., 2.50%, 9/1/2018 | 252,430 | |
900,000 | WPP Finance 2010, Sr. Unsecd. Note, 5.125%, 9/7/2042 | 966,027 | |
TOTAL | 5,204,425 | ||
Communications - Telecom Wireless—3.1% | |||
780,000 | America Movil S.A.B. de C.V., 3.125%, 7/16/2022 | 771,529 | |
1,000,000 | American Tower Corp., Sr. Unsecd. Note, 4.50%, 1/15/2018 | 1,062,740 | |
4,300,000 | 1,2 | Crown Castle Towers LLC, Sr. Secd. Note, Series 144A, 5.495%, 1/15/2017 | 4,558,385 |
720,000 | 1,2 | SBA Tower Trust, Series 144A, 5.101%, 4/17/2017 | 758,400 |
620,000 | Telefonaktiebolaget LM Ericsson, Sr. Unsecd. Note, 4.125%, 5/15/2022 | 649,542 | |
TOTAL | 7,800,596 | ||
Communications - Telecom Wirelines—2.2% | |||
1,000,000 | CenturyLink, Inc., Sr. Note, Series Q, 6.15%, 9/15/2019 | 1,085,000 | |
750,000 | Rogers Communications, Inc., Company Guarantee, 6.80%, 8/15/2018 | 866,311 | |
730,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 3.192%, 4/27/2018 | 751,339 | |
250,000 | Telefonica SA, Company Guarantee, 7.045%, 6/20/2036 | 329,890 | |
600,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.15%, 3/15/2024 | 621,614 | |
1,735,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 5.15%, 9/15/2023 | 1,917,199 | |
TOTAL | 5,571,353 | ||
Consumer Cyclical - Automotive—3.9% | |||
700,000 | 1,2 | Daimler Finance NA LLC, Company Guarantee, Series 144A, 1.875%, 1/11/2018 | 702,946 |
1,300,000 | 1,2 | Daimler Finance NA LLC, Company Guarantee, Series 144A, 2.95%, 1/11/2017 | 1,341,627 |
1,650,000 | Ford Motor Credit Co., Sr. Unsecd. Note, 2.375%, 1/16/2018 | 1,660,768 | |
850,000 | Ford Motor Credit Co., Sr. Unsecd. Note, 3.00%, 6/12/2017 | 872,673 | |
420,000 | General Motors Co., Sr. Unsecd. Note, 4.00%, 4/1/2025 | 422,100 | |
460,000 | 1,2 | Harley-Davidson Financial Services, Inc., Sr. Unsecd. Note, Series 144A, 2.70%, 3/15/2017 | 471,870 |
900,000 | 1,2 | Hyundai Capital America, Sr. Unsecd. Note, Series 144A, 2.875%, 8/9/2018 | 918,957 |
1,600,000 | 1,2 | RCI Banque SA, Sr. Unsecd. Note, Series 144A, 3.50%, 4/3/2018 | 1,658,069 |
740,000 | 1,2 | RCI Banque SA, Sr. Unsecd. Note, Series 144A, 4.60%, 4/12/2016 | 769,314 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Automotive—continued | |||
$1,000,000 | 1,2 | Volkswagen International Finance NV, Company Guarantee, Series 144A, 2.375%, 3/22/2017 | $1,020,008 |
TOTAL | 9,838,332 | ||
Consumer Cyclical - Leisure—0.4% | |||
1,000,000 | 1 | Football Trust V, Pass Thru Cert., Series 144A, 5.35%, 10/5/2020 | 1,111,178 |
Consumer Cyclical - Lodging—0.3% | |||
450,000 | Choice Hotels International, Inc., Company Guarantee, 5.70%, 8/28/2020 | 487,125 | |
275,000 | Hyatt Hotels Corp., Sr. Unsecd. Note, 3.375%, 7/15/2023 | 270,145 | |
TOTAL | 757,270 | ||
Consumer Cyclical - Retailers—0.6% | |||
1,100,000 | Advance Auto Parts, Inc., 4.50%, 12/1/2023 | 1,167,685 | |
450,000 | Bed Bath & Beyond, Inc., 5.165%, 8/1/2044 | 470,469 | |
TOTAL | 1,638,154 | ||
Consumer Cyclical - Services—0.9% | |||
325,000 | 1,2 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, Series 144A, 2.50%, 11/28/2019 | 320,984 |
325,000 | 1,2 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, Series 144A, 3.60%, 11/28/2024 | 323,015 |
250,000 | Boston University, Series MTNA, 7.625%, 7/15/2097 | 326,970 | |
350,000 | Expedia, Inc., 4.50%, 8/15/2024 | 354,105 | |
350,000 | Expedia, Inc., Company Guarantee, 5.95%, 8/15/2020 | 391,587 | |
370,000 | University of Southern California, Sr. Unsecd. Note, 5.25%, 10/1/2111 | 504,214 | |
TOTAL | 2,220,875 | ||
Consumer Non-Cyclical - Food/Beverage—3.4% | |||
900,000 | Coca-Cola Femsa S.A.B de C.V., Sr. Unsecd. Note, 4.625%, 2/15/2020 | 986,139 | |
1,020,000 | ConAgra Foods, Inc., Sr. Unsecd. Note, 3.20%, 1/25/2023 | 1,000,864 | |
500,000 | 1,2 | Grupo Bimbo SAB de CV, Sr. Unsecd. Note, Series 144A, 3.875%, 6/27/2024 | 503,215 |
660,000 | 1,2 | Grupo Bimbo SAB de CV, Sr. Unsecd. Note, Series 144A, 4.50%, 1/25/2022 | 697,491 |
2,050,000 | 1,2 | Kerry Group Financial Services, Sr. Unsecd. Note, Series 144A, 3.20%, 4/9/2023 | 2,009,203 |
1,000,000 | Mondelez International, Inc., Sr. Unsecd. Note, 4.00%, 2/1/2024 | 1,048,212 | |
1,000,000 | PepsiCo, Inc., 2.25%, 1/7/2019 | 1,012,373 | |
250,000 | Sysco Corp., Sr. Unsecd. Note, 3.50%, 10/2/2024 | 258,188 | |
600,000 | Tyson Foods, Inc., 3.95%, 8/15/2024 | 621,444 | |
475,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 4.50%, 6/15/2022 | 515,070 | |
TOTAL | 8,652,199 | ||
Consumer Non-Cyclical - Health Care—0.6% | |||
590,000 | 1,2 | Bayer US Finance LLC, Unsecd. Note, Series 144A, 2.375%, 10/8/2019 | 593,004 |
490,000 | Becton, Dickinson and Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 505,311 | |
425,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 3.30%, 2/15/2022 | 426,373 | |
TOTAL | 1,524,688 | ||
Consumer Non-Cyclical - Pharmaceuticals—0.3% | |||
300,000 | Dentsply International, Inc., Sr. Unsecd. Note, 2.75%, 8/15/2016 | 306,751 | |
330,000 | Gilead Sciences, Inc., Sr. Unsecd. Note, 3.50%, 2/1/2025 | 339,414 | |
TOTAL | 646,165 | ||
Consumer Non-Cyclical - Supermarkets—0.3% | |||
610,000 | Kroger Co., Bond, 6.90%, 4/15/2038 | 814,373 | |
Consumer Non-Cyclical - Tobacco—0.3% | |||
400,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.00%, 1/31/2024 | 417,826 | |
360,000 | Lorillard Tobacco Co., Sr. Unsecd. Note, 7.00%, 8/4/2041 | 456,097 | |
TOTAL | 873,923 | ||
Energy - Independent—1.2% | |||
600,000 | Anadarko Petroleum Corp., Sr. Unsecd. Note, 3.45%, 7/15/2024 | 586,921 | |
232,000 | Apache Corp., Sr. Unsecd. Note, 3.25%, 4/15/2022 | 228,312 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Energy - Independent—continued | |||
$1,000,000 | Petroleos Mexicanos, 6.50%, 6/2/2041 | $1,152,500 | |
800,000 | Petroleos Mexicanos, Company Guarantee, 5.50%, 1/21/2021 | 870,000 | |
175,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 4.875%, 1/18/2024 | 182,262 | |
TOTAL | 3,019,995 | ||
Energy - Integrated—2.6% | |||
1,300,000 | BP Capital Markets PLC, 1.375%, 5/10/2018 | 1,278,073 | |
1,000,000 | BP Capital Markets PLC, Sr. Unsecd. Note, 3.994%, 9/26/2023 | 1,030,826 | |
530,000 | 1,2 | CNPC Hong Kong Overseas Capital Ltd., Company Guarantee, Series 144A, 5.95%, 4/28/2041 | 662,488 |
585,000 | Husky Energy, Inc., 4.00%, 4/15/2024 | 575,668 | |
1,250,000 | Husky Oil Ltd., Deb., 7.55%, 11/15/2016 | 1,375,700 | |
975,000 | Petrobras Global Finance BV, Sr. Unsecd. Note, 4.375%, 5/20/2023 | 841,015 | |
1,000,000 | Petrobras International Finance Co., Sr. Unsecd. Note, 5.375%, 1/27/2021 | 931,570 | |
TOTAL | 6,695,340 | ||
Energy - Midstream—2.2% | |||
565,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.90%, 2/1/2024 | 593,107 | |
460,000 | Enterprise Products Operating LLC, 3.90%, 2/15/2024 | 469,378 | |
280,000 | 1,2 | Florida Gas Transmission Co. LLC, Sr. Unsecd. Note, Series 144A, 5.45%, 7/15/2020 | 309,278 |
1,600,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 5.30%, 9/15/2020 | 1,725,064 | |
540,000 | 1,2 | Texas Eastern Transmission LP, Sr. Unsecd. Note, Series 144A, 2.80%, 10/15/2022 | 512,718 |
1,110,000 | Williams Partners LP, 5.25%, 3/15/2020 | 1,206,311 | |
360,000 | Williams Partners LP, Sr. Unsecd. Note, 3.90%, 1/15/2025 | 346,695 | |
380,000 | Williams Partners LP, Sr. Unsecd. Note, 4.125%, 11/15/2020 | 389,814 | |
TOTAL | 5,552,365 | ||
Energy - Oil Field Services—0.6% | |||
450,000 | Noble Holding International Ltd., Company Guarantee, 4.90%, 8/1/2020 | 422,154 | |
1,000,000 | Weatherford International Ltd., 6.00%, 3/15/2018 | 1,068,286 | |
TOTAL | 1,490,440 | ||
Energy - Refining—0.6% | |||
275,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 3.625%, 9/15/2024 | 270,046 | |
215,000 | Valero Energy Corp., 7.50%, 4/15/2032 | 270,879 | |
240,000 | Valero Energy Corp., 9.375%, 3/15/2019 | 299,580 | |
635,000 | Valero Energy Corp., Sr. Unsecd. Note, 6.625%, 6/15/2037 | 752,064 | |
TOTAL | 1,592,569 | ||
Financial Institution - Banking—18.5% | |||
500,000 | American Express Credit Corp., Series MTN, 1.55%, 9/22/2017 | 501,346 | |
1,180,000 | Associated Banc-Corp., Sr. Unsecd. Note, 5.125%, 3/28/2016 | 1,232,419 | |
450,000 | Associated Banc-Corp., Sub., 4.25%, 1/15/2025 | 452,140 | |
725,000 | BB&T Corp., Series MTN, 2.45%, 1/15/2020 | 723,921 | |
500,000 | BB&T Corp., Sr. Unsecd. Note, Series MTN, 2.25%, 2/1/2019 | 501,500 | |
1,000,000 | Bank of America Corp., Series L, 2.65%, 4/1/2019 | 1,008,339 | |
1,000,000 | Bank of America Corp., Sr. Unsecd. Note, 2.00%, 1/11/2018 | 999,967 | |
825,000 | Bank of America Corp., Sr. Unsecd. Note, 5.75%, 12/1/2017 | 912,222 | |
975,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 1.70%, 8/25/2017 | 975,916 | |
1,500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 5.00%, 5/13/2021 | 1,676,079 | |
600,000 | Bank of Montreal, Sr. Unsecd. Note, Series MTN, 1.45%, 4/9/2018 | 593,069 | |
700,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.30%, 9/11/2019 | 703,924 | |
550,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.25%, 9/11/2024 | 551,399 | |
700,000 | Capital One Bank, Sr. Unsecd. Note, 2.40%, 9/5/2019 | 697,347 | |
620,000 | Capital One Bank, Sr. Unsecd. Note, Series BKNT, 2.15%, 11/21/2018 | 617,333 | |
340,000 | Capital One Financial Corp., Sr. Unsecd. Note, 2.45%, 4/24/2019 | 339,565 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$1,000,000 | Citigroup, Inc., Sr. Note, 5.375%, 8/9/2020 | $1,137,945 | |
640,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.45%, 1/10/2017 | 676,895 | |
150,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.50%, 1/14/2022 | 164,162 | |
735,000 | Citigroup, Inc., Sr. Unsecd. Note, 6.875%, 3/5/2038 | 1,004,719 | |
910,000 | 1,2 | Citizens Financial Group, Inc., Sub. Note, Series 144A, 4.15%, 9/28/2022 | 932,952 |
480,000 | City National Corp., Sr. Unsecd. Note, 5.25%, 9/15/2020 | 535,165 | |
1,000,000 | Comerica Bank, Sub. Note, 5.20%, 8/22/2017 | 1,087,646 | |
200,000 | Comerica, Inc., Sr. Unsecd. Note, 2.125%, 5/23/2019 | 198,869 | |
400,000 | Compass Bank, Birmingham, Sr. Unsecd. Note, 2.75%, 9/29/2019 | 400,843 | |
1,000,000 | Fifth Third Bancorp, Sub., 5.45%, 1/15/2017 | 1,073,690 | |
1,900,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 6.25%, 2/1/2041 | 2,410,458 | |
1,840,000 | HSBC USA, Inc., Sr. Unsecd. Note, 1.625%, 1/16/2018 | 1,834,263 | |
600,000 | Huntington National Bank, Sr. Unsecd. Note, 2.20%, 4/1/2019 | 596,951 | |
250,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.35%, 1/28/2019 | 251,874 | |
1,000,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 4.50%, 1/24/2022 | 1,093,411 | |
2,000,000 | JPMorgan Chase & Co., Sub. Note, 3.375%, 5/1/2023 | 1,980,762 | |
410,000 | MUFG Union Bank, N.A., Sr. Unsecd. Note, 2.25%, 5/6/2019 | 409,049 | |
250,000 | MUFG Union Bank, N.A., Sr. Unsecd. Note, 2.625%, 9/26/2018 | 253,906 | |
2,440,000 | Manufacturers & Traders Trust Co., Sub. Note, Series BKNT, 5.629%, 12/1/2021 | 2,552,679 | |
600,000 | Morgan Stanley, Sr. Unsecd. Note, 4.75%, 3/22/2017 | 639,490 | |
970,000 | Morgan Stanley, Sr. Unsecd. Note, 5.75%, 1/25/2021 | 1,114,958 | |
500,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 5.50%, 7/24/2020 | 564,796 | |
2,010,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 6.625%, 4/1/2018 | 2,291,153 | |
1,000,000 | Morgan Stanley, Sub. Note, Series MTN, 4.10%, 5/22/2023 | 1,013,509 | |
2,110,000 | Murray Street Investment Trust I, Sr. Unsecd. Note, 4.647%, 3/9/2017 | 2,228,168 | |
400,000 | PNC Funding Corp., Sub. Note, 5.625%, 2/1/2017 | 431,930 | |
1,500,000 | 1,2 | PNC Preferred Funding LLC, Jr. Sub. Note, Series 144A, 1.891%, 3/29/2049 | 1,417,500 |
1,400,000 | 1,2 | Santander US Debt SA Unipersonal, Bank Guarantee, Series 144A, 3.781%, 10/7/2015 | 1,429,904 |
700,000 | State Street Corp., Sr. Unsecd. Note, 3.30%, 12/16/2024 | 711,962 | |
530,000 | SunTrust Banks, Inc., Sr. Unsecd. Note, 2.50%, 5/1/2019 | 534,015 | |
1,175,000 | Westpac Banking Corp., Sr. Unsecd. Note, 4.875%, 11/19/2019 | 1,312,456 | |
1,900,000 | Wilmington Trust Corp., Sub. Note, 8.50%, 4/2/2018 | 2,233,034 | |
TOTAL | 47,005,600 | ||
Financial Institution - Broker/Asset Mgr/Exchange—2.2% | |||
500,000 | 1,2 | CME Group Index Services LLC, Company Guarantee, Series 144A, 4.40%, 3/15/2018 | 541,447 |
170,000 | 1,2 | Cantor Fitzgerald LP, Bond, Series 144A, 7.875%, 10/15/2019 | 186,575 |
370,000 | Eaton Vance Corp., Sr. Unsecd. Note, 3.625%, 6/15/2023 | 378,275 | |
96,000 | Eaton Vance Corp., Sr. Unsecd. Note, 6.50%, 10/2/2017 | 107,787 | |
350,000 | Franklin Resources, Inc., Sr. Unsecd. Note, 4.625%, 5/20/2020 | 388,648 | |
800,000 | Janus Capital Group, Inc., Sr. Note, 6.70%, 6/15/2017 | 885,699 | |
400,000 | Jefferies Group LLC, Sr. Unsecd. Note, 6.50%, 1/20/2043 | 409,358 | |
835,000 | Jefferies Group LLC, Sr. Unsecd. Note, 6.875%, 4/15/2021 | 953,370 | |
90,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.25%, 4/15/2016 | 93,360 | |
193,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 5.625%, 4/1/2024 | 220,227 | |
240,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 8.60%, 8/15/2019 | 298,563 | |
190,000 | Stifel Financial Corp., 4.25%, 7/18/2024 | 191,498 | |
500,000 | TD Ameritrade Holding Corp., Sr. Unsecd. Note, 3.625%, 4/1/2025 | 507,814 | |
450,000 | 1,2 | TIAA Asset Management Finance Co. LLC, Sr. Unsecd. Note, Series 144A, 2.95%, 11/1/2019 | 451,374 |
TOTAL | 5,613,995 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Finance Companies—3.7% | |||
$1,560,000 | Discover Bank, Sr. Unsecd. Note, 2.00%, 2/21/2018 | $1,557,108 | |
463,000 | Discover Bank, Sub., Series BKNT, 8.70%, 11/18/2019 | 573,151 | |
1,487,000 | Discover Financial Services, Sr. Unsecd. Note, 3.85%, 11/21/2022 | 1,515,435 | |
1,500,000 | General Electric Capital Corp., Sr. Unsecd. Note, Series GMTN, 4.625%, 1/7/2021 | 1,674,096 | |
400,000 | HSBC Finance Capital Trust IX, Note, 5.911%, 11/30/2035 | 406,000 | |
1,300,000 | HSBC Finance Corp., Sr. Sub. Note, 6.676%, 1/15/2021 | 1,544,349 | |
1,000,000 | 1,2 | Lukoil International Finance BV, Series 144A, 6.356%, 6/7/2017 | 950,590 |
960,000 | 1,2 | Macquarie Group Ltd., Sr. Unsecd. Note, Series 144A, 6.00%, 1/14/2020 | 1,088,560 |
TOTAL | 9,309,289 | ||
Financial Institution - Insurance - Life—5.8% | |||
910,000 | 1,2 | AXA Equitable Life Insurance Co., Sub., Series 144A, 7.70%, 12/1/2015 | 961,336 |
580,000 | Aflac, Inc., Sr. Unsecd. Note, 6.90%, 12/17/2039 | 785,180 | |
1,790,000 | Aflac, Inc., Sr. Unsecd. Note, 8.50%, 5/15/2019 | 2,239,107 | |
800,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 853,233 | |
1,000,000 | American International Group, Inc., Sr. Unsecd. Note, 6.40%, 12/15/2020 | 1,193,978 | |
500,000 | Lincoln National Corp., Sr. Secd. Note, 8.75%, 7/1/2019 | 625,364 | |
290,000 | Lincoln National Corp., Sr. Unsecd. Note, 4.20%, 3/15/2022 | 308,509 | |
1,270,000 | 1,2 | Massachusetts Mutual Life Insurance Co., Sub. Note, Series 144A, 8.875%, 6/1/2039 | 2,055,710 |
2,300,000 | MetLife, Inc., Sr. Unsecd. Note, 4.75%, 2/8/2021 | 2,574,171 | |
500,000 | 1,2 | New York Life Global Funding, Series 144A, 1.45%, 12/15/2017 | 498,950 |
350,000 | 1,2 | Penn Mutual Life Insurance Co., Sr. Note, Series 144A, 7.625%, 6/15/2040 | 513,754 |
310,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 3.30%, 9/15/2022 | 310,433 | |
400,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 4.60%, 5/15/2044 | 423,299 | |
1,000,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 6.10%, 6/15/2017 | 1,104,891 | |
250,000 | 1 | Union Central Life Insurance Co., Note, Series 144A, 8.20%, 11/1/2026 | 337,720 |
TOTAL | 14,785,635 | ||
Financial Institution - Insurance - P&C—2.6% | |||
300,000 | ACE INA Holdings, Inc., Sr. Unsecd. Note, 3.35%, 5/15/2024 | 303,756 | |
330,000 | CNA Financial Corp., 6.50%, 8/15/2016 | 357,165 | |
660,000 | CNA Financial Corp., Sr. Unsecd. Note, 5.75%, 8/15/2021 | 753,225 | |
680,000 | CNA Financial Corp., Sr. Unsecd. Note, 5.875%, 8/15/2020 | 777,185 | |
1,180,000 | Horace Mann Educators Corp., Sr. Note, 6.85%, 4/15/2016 | 1,262,738 | |
500,000 | 1,2 | Liberty Mutual Group, Inc., Series 144A, 4.85%, 8/1/2044 | 510,243 |
1,000,000 | 1,2 | Nationwide Mutual Insurance Co., Sub. Note, Series 144A, 9.375%, 8/15/2039 | 1,594,294 |
1,050,000 | 1,2 | ZFS Finance USA Trust II, Jr. Sub. Note, Series 144A, 6.45%, 12/15/2065 | 1,111,604 |
TOTAL | 6,670,210 | ||
Financial Institution - REIT - Apartment—0.6% | |||
650,000 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.75%, 6/15/2024 | 653,587 | |
550,000 | Post Apartment Homes LP, Sr. Unsecd. Note, 3.375%, 12/1/2022 | 542,888 | |
300,000 | UDR, Inc., Company Guarantee, 4.625%, 1/10/2022 | 324,322 | |
TOTAL | 1,520,797 | ||
Financial Institution - REIT - Healthcare—0.6% | |||
960,000 | Health Care REIT, Inc., Sr. Unsecd. Note, 6.125%, 4/15/2020 | 1,104,812 | |
500,000 | Healthcare Trust of America, 3.70%, 4/15/2023 | 495,446 | |
TOTAL | 1,600,258 | ||
Financial Institution - REIT - Office—1.7% | |||
450,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.60%, 4/1/2022 | 479,364 | |
680,000 | Boston Properties LP, Sr. Unsecd. Note, 3.80%, 2/1/2024 | 700,121 | |
1,200,000 | Boston Properties LP, Sr. Unsecd. Note, 5.875%, 10/15/2019 | 1,375,962 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Office—continued | |||
$1,700,000 | HRPT Properties Trust, Sr. Unsecd. Note, 6.25%, 6/15/2017 | $1,833,122 | |
TOTAL | 4,388,569 | ||
Financial Institution - REIT - Other—0.8% | |||
163,000 | ProLogis, Inc., Sr. Unsecd. Note, 6.875%, 3/15/2020 | 191,665 | |
750,000 | ProLogis LP, Sr. Unsecd. Note, 3.35%, 2/1/2021 | 761,071 | |
600,000 | ProLogis LP, Sr. Unsecd. Note, 4.25%, 8/15/2023 | 635,098 | |
450,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.60%, 4/1/2024 | 473,370 | |
TOTAL | 2,061,204 | ||
Financial Institution - REIT - Retail—0.8% | |||
890,000 | Equity One, Inc., Bond, 6.00%, 9/15/2017 | 977,143 | |
470,000 | Regency Centers LP, Company Guarantee, 4.80%, 4/15/2021 | 512,457 | |
500,000 | Simon Property Group LP, 6.125%, 5/30/2018 | 569,489 | |
TOTAL | 2,059,089 | ||
Municipal Services—1.2% | |||
895,000 | 1,2 | Army Hawaii Family Housing, Series 144A, 5.524%, 6/15/2050 | 1,003,492 |
1,795,000 | 1,2 | Camp Pendleton & Quantico Housing LLC, Series 144A, 5.572%, 10/1/2050 | 1,971,018 |
TOTAL | 2,974,510 | ||
Sovereign—1.0% | |||
560,000 | Corp Andina De Fomento, Sr. Unsecd. Note, 3.75%, 1/15/2016 | 574,403 | |
320,000 | Corp Andina De Fomento, Sr. Unsecd. Note, 4.375%, 6/15/2022 | 345,052 | |
510,000 | Inter-American Development Bank, Series MTN, 6.75%, 7/15/2027 | 723,075 | |
900,000 | 1,2 | Qatar, Government of, Series 144A, 5.25%, 1/20/2020 | 1,010,250 |
TOTAL | 2,652,780 | ||
Technology—4.9% | |||
420,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 3.20%, 10/1/2022 | 410,149 | |
940,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 3.875%, 7/15/2023 | 935,682 | |
400,000 | Apple, Inc., Sr. Unsecd. Note, 1.00%, 5/3/2018 | 393,868 | |
250,000 | Apple, Inc., Sr. Unsecd. Note, 2.40%, 5/3/2023 | 243,272 | |
125,000 | Apple, Inc., Sr. Unsecd. Note, 4.45%, 5/6/2044 | 138,097 | |
1,200,000 | BMC Software, Inc., 7.25%, 6/1/2018 | 1,167,000 | |
430,000 | Corning, Inc., Unsecd. Note, 4.75%, 3/15/2042 | 460,784 | |
915,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.50%, 4/15/2023 | 911,135 | |
305,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.875%, 6/5/2024 | 308,672 | |
1,370,000 | Fiserv, Inc., Sr. Note, 6.80%, 11/20/2017 | 1,552,493 | |
2,000,000 | Hewlett-Packard Co., Sr. Unsecd. Note, 3.30%, 12/9/2016 | 2,067,024 | |
670,000 | Ingram Micro, Inc., Sr. Unsecd. Note, 5.00%, 8/10/2022 | 712,756 | |
460,000 | 1,2 | Keysight Technologies, Inc., Sr. Unsecd. Note, Series 144A, 4.55%, 10/30/2024 | 461,087 |
750,000 | Oracle Corp., Sr. Unsecd. Note, 2.80%, 7/8/2021 | 760,452 | |
750,000 | Oracle Corp., Sr. Unsecd. Note, 3.40%, 7/8/2024 | 767,464 | |
285,000 | SAIC, Inc., Company Guarantee, 5.95%, 12/1/2040 | 261,619 | |
195,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 9/12/2022 | 201,296 | |
670,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.875%, 1/15/2019 | 719,925 | |
TOTAL | 12,472,775 | ||
Transportation - Airlines—1.1% | |||
171,433 | Continental Airlines, Inc., Equip. Trust, Series 991A, 6.545%, 2/2/2019 | 188,250 | |
2,310,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.125%, 3/1/2017 | 2,475,946 | |
TOTAL | 2,664,196 | ||
Transportation - Railroads—1.5% | |||
101,756 | Burlington Northern Santa Fe Corp., Pass Thru Cert., Series 99-2, 7.57%, 1/2/2021 | 114,717 | |
1,100,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 3.45%, 9/15/2021 | 1,149,502 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Transportation - Railroads—continued | |||
$1,250,000 | Kansas City Southern de Mexico SA de CV, Sr. Unsecd. Note, 3.00%, 5/15/2023 | $1,217,515 | |
750,000 | Union Pacific Corp., 2.95%, 1/15/2023 | 759,195 | |
300,000 | Union Pacific Corp., Sr. Unsecd. Note, 3.646%, 2/15/2024 | 318,124 | |
150,000 | Union Pacific Corp., Sr. Unsecd. Note, 3.75%, 3/15/2024 | 160,726 | |
TOTAL | 3,719,779 | ||
Transportation - Services—1.9% | |||
1,695,000 | 1,2 | Enterprise Rent-A-Car USA Finance Co., Series 144A, 6.375%, 10/15/2017 | 1,904,509 |
530,000 | 1,2 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, Series 144A, 5.625%, 3/15/2042 | 623,365 |
1,120,000 | 1,2 | Penske Truck Leasing Co. LP & PTL Finance Corp., Series 144A, 3.75%, 5/11/2017 | 1,171,252 |
425,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.45%, 11/15/2018 | 425,443 | |
625,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.50%, 6/1/2017 | 651,322 | |
TOTAL | 4,775,891 | ||
Utility - Electric—4.8% | |||
880,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series F, 2.95%, 12/15/2022 | 864,739 | |
1,219,303 | Bruce Mansfield Unit 1 2, Pass Thru Cert., 6.85%, 6/1/2034 | 1,323,261 | |
1,000,000 | 1,2 | Electricite de France SA, Jr. Sub. Note, Series 144A, 5.625%, 12/29/2049 | 1,054,000 |
1,975,000 | Entergy Louisiana LLC, 1st Mtg. Bond, 5.40%, 11/1/2024 | 2,311,526 | |
550,000 | Exelon Generation Co. LLC, Sr. Unsecd. Note, 4.25%, 6/15/2022 | 572,459 | |
500,000 | Exelon Generation Co. LLC, Sr. Unsecd. Note, 5.75%, 10/1/2041 | 566,115 | |
220,000 | FirstEnergy Solutions Corp., Company Guarantee, 6.05%, 8/15/2021 | 243,948 | |
235,000 | Great Plains Energy, Inc., Note, 4.85%, 6/1/2021 | 257,654 | |
664,978 | 1,2 | Great River Energy, 1st Mtg. Note, Series 144A, 5.829%, 7/1/2017 | 707,774 |
900,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.40%, 9/15/2019 | 900,138 | |
366,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.70%, 9/15/2019 | 370,171 | |
1,090,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 4.20%, 6/15/2022 | 1,156,547 | |
235,000 | PSEG Power LLC, Sr. Unsecd. Note, 2.45%, 11/15/2018 | 235,590 | |
425,000 | PSEG Power LLC, Sr. Unsecd. Note, 4.15%, 9/15/2021 | 448,375 | |
230,000 | TECO Finance, Inc., Company Guarantee, 5.15%, 3/15/2020 | 257,119 | |
800,000 | UIL Holdings Corp., Sr. Unsecd. Note, 4.625%, 10/1/2020 | 851,906 | |
81,305 | Waterford 3 Funding Corp., 8.09%, 1/2/2017 | 81,352 | |
TOTAL | 12,202,674 | ||
Utility - Natural Gas—1.6% | |||
1,000,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 4.20%, 9/15/2021 | 1,046,025 | |
1,600,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.75%, 3/1/2023 | 1,621,059 | |
1,200,000 | Sempra Energy, Sr. Unsecd. Note, 3.55%, 6/15/2024 | 1,213,559 | |
300,000 | 1,2 | Southeast Supply Header LLC, Sr. Unsecd. Note, Series 144A, 4.25%, 6/15/2024 | 304,598 |
TOTAL | 4,185,241 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $230,722,134) | 243,109,141 | ||
MORTGAGE-BACKED SECURITIES—0.1% | |||
Federal Home Loan Mortgage Corporation—0.0% | |||
1,633 | Federal Home Loan Mortgage Corp., Pool C01051, 8.00%, 9/1/2030 | 1,967 | |
Federal National Mortgage Association—0.0% | |||
123 | Federal National Mortgage Association, Pool 50276, 9.50%, 2/1/2020 | 140 | |
Government National Mortgage Association—0.1% | |||
4,068 | Government National Mortgage Association, Pool 1512, 7.50%, 12/20/2023 | 4,693 | |
5,462 | Government National Mortgage Association, Pool 2630, 6.50%, 8/20/2028 | 6,291 | |
7,050 | Government National Mortgage Association, Pool 2631, 7.00%, 8/20/2028 | 8,211 | |
10,445 | Government National Mortgage Association, Pool 2658, 6.50%, 10/20/2028 | 12,036 | |
14,845 | Government National Mortgage Association, Pool 2701, 6.50%, 1/20/2029 | 17,105 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$1,243 | Government National Mortgage Association, Pool 276337, 10.00%, 8/15/2019 | $1,411 | |
10,618 | Government National Mortgage Association, Pool 2796, 7.00%, 8/20/2029 | 12,421 | |
3,065 | Government National Mortgage Association, Pool 3039, 6.50%, 2/20/2031 | 3,555 | |
6,595 | Government National Mortgage Association, Pool 3040, 7.00%, 2/20/2031 | 7,726 | |
22,012 | Government National Mortgage Association, Pool 3188, 6.50%, 1/20/2032 | 25,503 | |
18,606 | Government National Mortgage Association, Pool 3239, 6.50%, 5/20/2032 | 21,586 | |
37,863 | Government National Mortgage Association, Pool 3261, 6.50%, 7/20/2032 | 43,788 | |
1,679 | Government National Mortgage Association, Pool 493514, 8.00%, 9/15/2030 | 1,966 | |
5,859 | Government National Mortgage Association, Pool 516688, 8.00%, 8/15/2029 | 7,071 | |
TOTAL | 173,363 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $151,327) | 175,470 | ||
MUNICIPAL BOND—0.2% | |||
Municipal Services—0.2% | |||
410,000 | Chicago, IL, Taxable Project and Refunding Series 2012B GO Bonds, 5.432% Bonds, 1/1/2042 (IDENTIFIED COST $410,000) | 383,539 | |
COLLATERALIZED MORTGAGE OBLIGATION—0.6% | |||
Commercial Mortgage—0.6% | |||
1,500,000 | TIAA Seasoned Commercial Mortgage Trust 2007-C4, Class AJ, 5.5596%, 8/15/2039 (IDENTIFIED COST $1,488,320) | 1,540,198 | |
FOREIGN GOVERNMENT/AGENCY—0.1% | |||
Sovereign—0.1% | |||
225,000 | Colombia, Government of, Sr. Unsecd. Note, 4.375%, 7/12/2021 (IDENTIFIED COST $224,367) | 237,937 | |
U.S. TREASURY—0.2% | |||
U.S. Treasury Note—0.2% | |||
600,000 | United States Treasury Note, 1.50%, 8/31/2018 (IDENTIFIED COST $601,338) | 602,758 | |
REPURCHASE AGREEMENT—2.0% | |||
5,167,000 | Interest in $750,000,000 joint repurchase agreement 0.08%, dated 12/31/2014 under which Bank of America, N.A. will repurchase securities provided as collateral for $750,003,333 on 1/2/2015. The securities provided as collateral at the end of the period held with BNY Mellon as 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 $771,487,729. (AT COST) | 5,167,000 | |
TOTAL INVESTMENTS—98.8% (IDENTIFIED COST $238,764,486)3 | 251,216,043 | ||
OTHER ASSETS AND LIABILITIES - NET—1.2%4 | 2,995,722 | ||
TOTAL NET ASSETS—100% | $254,211,765 |
Description | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation) |
5U.S. Treasury Note 5-Year Long Futures | 288 | $34,251,750 | March 2015 | $92,324 |
5U.S. Treasury Long Bond Short Futures | 275 | $39,754,688 | March 2015 | $(1,188,704) |
5U.S. Treasury Note 2-Year Short Futures | 100 | $21,859,375 | March 2015 | $11,277 |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(1,085,103) |
1 | Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At December 31, 2014, these restricted securities amounted to $52,215,193, which represented 20.5% of total net assets. |
2 | Denotes a restricted security that may be resold without restriction to “qualified institutional buyers” as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund's Board of Trustees (the “Trustees”). At December 31, 2014, these liquid restricted securities amounted to $50,766,295, which represented 20.0% of total net assets. |
3 | The cost of investments for federal tax purposes amounts to $238,764,716. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
5 | Non-income-producing security. |
Valuation Inputs | ||||
Level 1— Quoted Prices and Investments in Investment Companies | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $243,109,141 | $— | $243,109,141 |
Mortgage-Backed Securities | — | 175,470 | — | 175,470 |
Municipal Bond | — | 383,539 | — | 383,539 |
Collateralized Mortgage Obligation | — | 1,540,198 | — | 1,540,198 |
Foreign Government/Agency | — | 237,937 | — | 237,937 |
U.S. Treasury | — | 602,758 | — | 602,758 |
Repurchase Agreement | — | 5,167,000 | — | 5,167,000 |
TOTAL SECURITIES | $— | $251,216,043 | $— | $251,216,043 |
OTHER FINANCIAL INSTRUMENTS* | $(1,085,103) | $— | $— | $(1,085,103) |
* | Other financial instruments include futures contracts. |
GO | —General Obligation |
MTN | —Medium Term Note |
REIT | —Real Estate Investment Trust |
Year Ended December 31 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $11.43 | $11.80 | $11.21 | $11.55 | $11.20 |
Income From Investment Operations: | |||||
Net investment income1 | 0.40 | 0.41 | 0.44 | 0.50 | 0.52 |
Net realized and unrealized gain (loss) on investments and futures contracts | 0.03 | (0.29) | 0.62 | (0.24) | 0.40 |
TOTAL FROM INVESTMENT OPERATIONS | 0.43 | 0.12 | 1.06 | 0.26 | 0.92 |
Less Distributions: | |||||
Distributions from net investment income | (0.44) | (0.49) | (0.47) | (0.60) | (0.57) |
Net Asset Value, End of Period | $11.42 | $11.43 | $11.80 | $11.21 | $11.55 |
Total Return2 | 3.79% | 1.04% | 9.72% | 2.27% | 8.50% |
Ratios to Average Net Assets: | |||||
Net expenses3 | 0.73% | 0.73% | 0.73% | 0.70% | 0.70% |
Net investment income | 3.53% | 3.55% | 3.86% | 4.44% | 4.61% |
Expense waiver/reimbursement | 0.04% | 0.06% | 0.03% | 0.06% | 0.05% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $220,355 | $230,647 | $255,527 | $265,952 | $214,644 |
Portfolio turnover | 18% | 23% | 37% | 35% | 26% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Year Ended December 31 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $11.38 | $11.75 | $11.16 | $11.50 | $11.15 |
Income From Investment Operations: | |||||
Net investment income1 | 0.38 | 0.38 | 0.41 | 0.48 | 0.49 |
Net realized and unrealized gain (loss) on investments and futures contracts | 0.01 | (0.29) | 0.62 | (0.25) | 0.40 |
TOTAL FROM INVESTMENT OPERATIONS | 0.39 | 0.09 | 1.03 | 0.23 | 0.89 |
Less Distributions: | |||||
Distributions from net investment income | (0.40) | (0.46) | (0.44) | (0.57) | (0.54) |
Net Asset Value, End of Period | $11.37 | $11.38 | $11.75 | $11.16 | $11.50 |
Total Return2 | 3.51% | 0.75% | 9.45% | 1.99% | 8.28% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.98% | 0.98% | 0.98% | 0.95% | 0.95% |
Net investment income | 3.29% | 3.29% | 3.62% | 4.21% | 4.36% |
Expense waiver/reimbursement3 | 0.04% | 0.06% | 0.03% | 0.06% | 0.05% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $33,857 | $38,536 | $47,074 | $52,191 | $63,962 |
Portfolio turnover | 18% | 23% | 37% | 35% | 26% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Total investment in securities, at value (identified cost $238,764,486) | $251,216,043 | |
Cash | 734 | |
Restricted cash (Note 2) | 555,216 | |
Income receivable | 2,676,835 | |
Receivable for shares sold | 104,387 | |
TOTAL ASSETS | 254,553,215 | |
Liabilities: | ||
Payable for shares redeemed | $231,005 | |
Payable for daily variation margin | 37,031 | |
Payable for Directors'/Trustees' fees (Note 5) | 104 | |
Payable for auditing fees | 22,500 | |
Payable for portfolio accounting fees | 18,189 | |
Payable for distribution services fee (Note 5) | 7,274 | |
Payable for printing and postage | 16,577 | |
Accrued expenses (Note 5) | 8,770 | |
TOTAL LIABILITIES | 341,450 | |
Net assets for 22,277,151 shares outstanding | $254,211,765 | |
Net Assets Consist of: | ||
Paid-in capital | $237,282,857 | |
Net unrealized appreciation of investments and futures contracts | 11,366,454 | |
Accumulated net realized loss on investments and futures contracts | (3,702,022) | |
Undistributed net investment income | 9,264,476 | |
TOTAL NET ASSETS | $254,211,765 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
$220,354,856 ÷ 19,300,289 shares outstanding, no par value, unlimited shares authorized | $11.42 | |
Service Shares: | ||
$33,856,909 ÷ 2,976,862 shares outstanding, no par value, unlimited shares authorized | $11.37 |
Investment Income: | ||
Interest | $11,303,577 | |
Expenses: | ||
Investment adviser fee (Note 5) | $1,588,481 | |
Administrative fee (Note 5) | 207,008 | |
Custodian fees | 14,165 | |
Transfer agent fee | 26,454 | |
Directors'/Trustees' fees (Note 5) | 2,344 | |
Auditing fees | 22,500 | |
Legal fees | 12,864 | |
Portfolio accounting fees | 111,903 | |
Distribution services fee (Note 5) | 91,707 | |
Printing and postage | 61,453 | |
Miscellaneous (Note 5) | 9,081 | |
TOTAL EXPENSES | 2,147,960 | |
Waiver of investment adviser fee (Note 5) | (110,628) | |
Net expenses | 2,037,332 | |
Net investment income | 9,266,245 | |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||
Net realized gain on investments | 3,983,846 | |
Net realized loss on futures contracts | (6,057,420) | |
Net change in unrealized appreciation of investments | 3,903,184 | |
Net change in unrealized appreciation of futures contracts | (1,154,835) | |
Net realized and unrealized gain on investments and futures contracts | 674,775 | |
Change in net assets resulting from operations | $9,941,020 |
Year Ended December 31 | 2014 | 2013 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $9,266,245 | $9,952,356 |
Net realized gain (loss) on investments and futures contracts | (2,073,574) | 6,788,291 |
Net change in unrealized appreciation/depreciation of investments and futures contracts | 2,748,349 | (14,161,848) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 9,941,020 | 2,578,799 |
Distributions to Shareholders: | ||
Distributions from net investment income | ||
Primary Shares | (8,630,882) | (10,282,335) |
Service Shares | (1,321,729) | (1,734,793) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (9,952,611) | (12,017,128) |
Share Transactions: | ||
Proceeds from sale of shares | 17,000,776 | 18,658,426 |
Net asset value of shares issued to shareholders in payment of distributions declared | 9,952,611 | 12,017,128 |
Cost of shares redeemed | (41,913,330) | (54,655,532) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (14,959,943) | (23,979,978) |
Change in net assets | (14,971,534) | (33,418,307) |
Net Assets: | ||
Beginning of period | 269,183,299 | 302,601,606 |
End of period (including undistributed net investment income of $9,264,476 and $9,950,842, respectively) | $254,211,765 | $269,183,299 |
■ | 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 Trustees. |
■ | Fixed-income securities and repurchase agreements 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), unless the issuer's creditworthiness is impaired or other factors indicate that amortized cost is not an accurate estimate of the investment's fair value, in which case it would be valued in the same manner as a longer-term security. |
■ | 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. |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | 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. |
■ | With respect to securities traded principally in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts; |
■ | Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; |
■ | Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry. |
Security | Acquisition Date | Cost | Market Value |
Football Trust V, Pass Thru Cert., Series 144A, 5.35%, 10/5/2020 | 3/24/2010 | $1,000,000 | $1,111,178 |
Union Central Life Insurance Co., Note, Series 144A, 8.20%, 11/1/2026 | 5/14/1999 – 9/29/1999 | $248,411 | $337,720 |
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 | $1,085,103* |
* | 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 | $(6,057,420) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures | |
Interest rate contracts | $(1,154,835) |
Year Ended December 31 | 2014 | 2013 | ||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,374,350 | $15,753,134 | 1,534,716 | $17,581,313 |
Shares issued to shareholders in payment of distributions declared | 770,614 | 8,630,882 | 900,380 | 10,282,335 |
Shares redeemed | (3,026,001) | (34,660,458) | (3,902,619) | (44,745,518) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (881,037) | $(10,276,442) | (1,467,523) | $(16,881,870) |
Year Ended December 31 | 2014 | 2013 | ||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 108,783 | $1,247,642 | 95,171 | $1,077,113 |
Shares issued to shareholders in payment of distributions declared | 118,223 | 1,321,729 | 152,308 | 1,734,793 |
Shares redeemed | (635,688) | (7,252,872) | (867,085) | (9,910,014) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (408,682) | $(4,683,501) | (619,606) | $(7,098,108) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (1,289,719) | $(14,959,943) | (2,087,129) | $(23,979,978) |
Increase (Decrease) | |
Paid-In Capital | Accumulated Net Realized Gain (Loss) |
$(116) | $116 |
2014 | 2013 | |
Ordinary income | $9,952,611 | $12,017,128 |
Undistributed ordinary income | $9,264,476 |
Net unrealized appreciation | $12,451,327 |
Capital loss carryforwards | $(4,786,895) |
Expiration Year | Short-Term | Long-Term | Total |
No Expiration | $2,842,658 | $385,633 | $3,228,291 |
2017 | $1,558,604 | NA | $1,558,604 |
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 |
Share Class Name | Percentage of Average Daily Net Assets of Class |
Primary Shares | 0.25% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | |
Service Shares | $91,707 |
Purchases | $47,276,949 |
Sales | $69,570,218 |
February 13, 2015
Beginning Account Value 7/1/2014 | Ending Account Value 12/31/2014 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $996.50 | $3.67 |
Service Shares | $1,000 | $994.80 | $4.93 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,021.53 | $3.72 |
Service Shares | $1,000 | $1,020.27 | $4.99 |
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 expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The annualized net expense ratios are as follows: |
Primary Shares | 0.73% |
Service Shares | 0.98% |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
John F. Donahue* Birth Date: July 28, 1924 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and Director, Federated Investors, Inc.; Chairman of the Federated Fund Family's Executive Committee. Previous Positions: Chairman of the Federated Fund Family; Trustee, Federated Investment Management Company; Chairman and Director, Federated Investment Counseling. |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of the Funds in the Federated Fund Family; President, Chief Executive Officer and Director, Federated Investors, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman, Federated Equity Management Company of Pennsylvania and Passport Research, Ltd. (investment advisory subsidiary of Federated); Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd. |
* | Family relationships and reasons for “interested” status: John F. Donahue is the father of J. Christopher Donahue; both are “interested” due to their beneficial ownership of shares of Federated Investors, Inc. and the positions they hold with Federated and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and CEO, The Collins Group, Inc. (a private equity firm). Other Directorships Held: Director, KLX Corp. Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director, Sterling Suffolk Downs, Inc. (racecourse); Director and Audit Committee Member, Bank of America Corp. and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Fund Family; Associate General Secretary and Director, Office for Church Relations, Diocese of Pittsburgh; Adjunct Professor of Law, Duquesne University School of Law. Other Directorships Held: Director, CONSOL Energy Inc. Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously served as Professor of Law, Duquesne University School of Law and was a member of the Superior Court of Pennsylvania. Judge Lally-Green also holds the positions of: Member, Pennsylvania State Board of Education; Director, Saint Vincent College; Director and Chair, UPMC Mercy Hospital; Regent, St. Vincent Seminary; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Our Campaign for the Church Alive!, Inc.; Director, Pennsylvania Bar Institute; and Director, Catholic High Schools of the Diocese of Pittsburgh, Inc. Judge Lally-Green has held the positions of: Director, Auberle; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; and Director Cardinal Wuerl Catholic High School. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Peter E. Madden Birth Date: March 16, 1942 Trustee Indefinite Term Began serving: October 1993 | Principal Occupation: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Fund Family; Retired. Other Directorships Held: None. Qualifications: Mr. Madden has served in several business management, mutual fund services and directorship positions throughout his career. Mr. Madden previously served as President, Chief Operating Officer and Director, State Street Bank and Trust Company (custodian bank) and State Street Corporation (financial services). He was Director, VISA USA and VISA International and Chairman and Director, Massachusetts Bankers Association. Mr. Madden served as Director, Depository Trust Corporation and Director, The Boston Stock Exchange. Mr. Madden also served as a Representative to the Commonwealth of Massachusetts General Court. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 1999 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant. Other Directorships Held: None. Qualifications: Mr. Mansfield has served in several banking, business management and educational roles and directorship positions throughout his career. Mr. Mansfield previously served as Chief Executive Officer, PBTC International Bank; Partner, Arthur Young & Company (now Ernst & Young LLP); Chief Financial Officer of Retail Banking Sector, Chase Manhattan Bank; Senior Vice President, HSBC Bank USA (formerly, Marine Midland Bank); Vice President, Citibank; Assistant Professor of Banking and Finance, Frank G. Zarb School of Business, Hofstra University; Executive Vice President DVC Group, Inc. (marketing, communications and technology). |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: October 2006 | Principal Occupations: Director or Trustee, Vice Chair of the Audit Committee of the Federated Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; General Counsel, University of Pittsburgh. Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey serves as Board Member, Epilepsy Foundation of Western Pennsylvania and Board member, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
John W. McGonigle Birth Date: October 26, 1938 EXECUTIVE VICE PRESIDENT AND SECRETARY Officer since: September 1993 | Principal Occupations: Executive Vice President and Secretary of the Federated Fund Family; Vice Chairman, Executive Vice President, Secretary and Director, Federated Investors, Inc. Previous Positions: Trustee, Federated Investment Management Company and Federated Investment Counseling; Director, Federated Global Investment Management Corp., Federated Services Company and Federated Securities Corp. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Investors, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer of the Federated Fund Family. He is General Counsel and Vice President, Federated Investors, Inc.; President, Federated Administrative Services and Federated Administrative Services, Inc.; Vice President, Federated Securities Corp.; Secretary, Federated Private Asset Management, Inc.; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Investors, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Investors, Inc. |
Richard B. Fisher Birth Date: May 17, 1923 VICE PRESIDENT Officer since: September 1993 | Principal Occupations: Vice Chairman or Vice President of some of the Funds in the Federated Fund Family; Vice Chairman, Federated Investors, Inc.; Chairman, Federated Securities Corp. Previous Positions: President and Director or Trustee of some of the Funds in the Federated Fund Family; Executive Vice President, Federated Investors, Inc.; Director and Chief Executive Officer, Federated Securities Corp. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Family; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc.; President, Technology, Federated Services Company. |
Brian P. Bouda Birth Date: February 28, 1947 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: August 2004 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Fund Family; Vice President and Chief Compliance Officer of Federated Investors, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Bouda joined Federated in 1999 and is a member of the American Bar Association and the State Bar Association of Wisconsin. Previous Positions: Served in Senior Management positions with a large regional banking organization. |
Stephen F. Auth Birth Date: September 3, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated's taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated's money market products in 2004. She joined Federated in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916785
2015 ©Federated Investors, Inc.
1 | The Barclays Mortgage-Backed Securities Index and Barclays Government Index returned 6.08% and 4.92%, respectively. The Blended Index is being used for comparison purposes because, although it is not the Fund's broad-based securities market index, the Fund's Adviser believes it more closely reflects the market sectors in which the Fund invests. Please see the footnotes to the line graph under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the Blended Index. |
2 | Duration measures the price sensitivity of a fixed-income security to changes in interest rates. Securities with longer durations are more sensitive to changes in interest rates than securities of shorter durations. |
3 | Bond prices are sensitive to changes in interest rates, and a rise in interest rates can cause a decline in their prices. |
4 | The value of some mortgage-backed securities may be particularly sensitive to changes in prevailing interest rates, and although the securities are generally supported by some form of government or private insurance, there is no assurance that private guarantors or insurers will meet their obligations. |
5 | The Fund's use of derivative instruments involves risks different from, or possibly greater than the risks associated with investing directly in securities and other traditional instruments. |
Federated Fund for U.S. Government Securities II | BMBS | BGI | Blended Index | |
F | I | I | I | |
12/31/2004 | 10,000 | 10,000 | 10,000 | 10,000 |
12/31/2005 | 10,203 | 10,261 | 10,265 | 10,263 |
12/31/2006 | 10,625 | 10,797 | 10,622 | 10,739 |
12/31/2007 | 11,293 | 11,543 | 11,542 | 11,543 |
12/31/2008 | 11,776 | 12,505 | 12,972 | 12,659 |
12/31/2009 | 12,389 | 13,242 | 12,686 | 13,060 |
12/31/2010 | 13,030 | 13,952 | 13,387 | 13,768 |
12/31/2011 | 13,782 | 14,822 | 14,594 | 14,753 |
12/31/2012 | 14,192 | 15,206 | 14,889 | 15,108 |
12/31/2013 | 13,901 | 14,991 | 14,503 | 14,835 |
12/31/2014 | 14,544 | 15,903 | 15,216 | 15,681 |
1 Year | 5 Years | 10 Years | |
Fund | 4.62% | 3.26% | 3.82% |
BMBS | 6.08% | 3.73% | 4.75% |
BGI | 4.92% | 3.70% | 4.29% |
Blended Index | 5.70% | 3.73% | 4.60% |
1 | The Fund's performance assumes the reinvestment of all dividends and distributions. The BMBS, BGI and Blended Index have been adjusted to reflect reinvestment of dividends on securities in the indexes. |
2 | The BMBS covers agency mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC). The index is not adjusted to reflect sales loads, expenses or other fees that the Securities and Exchange Commission (SEC) requires to be reflected in the Fund's performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
3 | The BGI is a market value weighted index of U.S. government and government agency securities (other than mortgage securities) with maturities of one year or more. The index is not adjusted to reflect sales loads, expenses or other fees that the SEC requires to be reflected in the Fund's performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index. |
Type of Investments | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 48.8% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 15.8% |
U.S. Treasury Securities | 15.5% |
Non-Agency Commercial Mortgage-Backed Securities | 7.4% |
Non-Agency Mortgage-Backed Securities | 7.0% |
U.S. Government Agency Securities | 3.7% |
Derivative Contracts2,3 | (0.0)% |
Repurchase Agreements—Collateral4 | 3.2% |
Repurchase Agreements | 1.7% |
Other Assets and Liabilities—Net5 | (3.1)% |
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 | Represents less than 0.1%. |
3 | 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. |
4 | Includes repurchase agreements purchased with cash collateral or proceeds received in securities lending. |
5 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount | Value | ||
U.S. TREASURY—15.5% | |||
U.S. Treasury Bonds—3.0% | |||
$2,000,000 | 2.750%, 8/15/2042 | $1,999,896 | |
1,250,000 | 3.000%, 11/15/2044 | 1,313,379 | |
1,500,000 | 3.375%, 5/15/2044 | 1,689,062 | |
370,000 | 7.500%, 11/15/2024 | 546,704 | |
TOTAL | 5,549,041 | ||
U.S. Treasury Notes—12.5% | |||
5,000,000 | 0.500%, 8/31/2016 | 4,996,679 | |
2,000,000 | 0.875%, 7/31/2019 | 1,938,021 | |
2,000,000 | 1 | 1.500%, 8/31/2018 | 2,009,193 |
3,500,000 | 2.000%, 2/15/2023 | 3,484,050 | |
1,500,000 | 2.250%, 11/15/2024 | 1,510,664 | |
2,000,000 | 2.375%, 8/15/2024 | 2,036,328 | |
1,500,000 | 2.750%, 2/15/2024 | 1,577,793 | |
5,500,000 | 2 | 3.125%, 5/15/2021 | 5,900,397 |
TOTAL | 23,453,125 | ||
TOTAL U.S. TREASURY (IDENTIFIED COST $28,090,701) | 29,002,166 | ||
GOVERNMENT AGENCIES—3.7% | |||
Federal Farm Credit System—0.7% | |||
1,000,000 | 5.750%, 12/7/2028 | 1,290,682 | |
Federal Home Loan Bank System—0.8% | |||
1,100,000 | 7.125%, 2/15/2030 | 1,608,890 | |
Federal Home Loan Mortgage Corporation—0.9% | |||
1,500,000 | 5.625%, 11/23/2035 | 1,570,556 | |
72,000 | 6.750%, 9/15/2029 | 105,804 | |
TOTAL | 1,676,360 | ||
Tennessee Valley Authority Bonds—1.3% | |||
2,000,000 | Tennessee Valley Authority, 4.650%, 6/15/2035 | 2,412,287 | |
TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST $5,627,082) | 6,988,219 | ||
MORTGAGE-BACKED SECURITIES—47.6% | |||
Federal Home Loan Mortgage Corporation—18.7% | |||
2,682,036 | 3.000%, 8/1/2043 | 2,714,762 | |
6,011,978 | 3.500%, 4/1/2042 - 9/1/2043 | 6,264,101 | |
5,943,813 | 4.000%, 12/1/2041 - 1/1/2042 | 6,345,418 | |
7,262,091 | 4.500%, 6/1/2019 - 4/1/2041 | 7,856,474 | |
3,708,729 | 5.000%, 7/1/2019 - 6/1/2040 | 4,060,301 | |
4,563,790 | 5.500%, 12/1/2020 - 3/1/2040 | 5,118,008 | |
1,423,723 | 6.000%, 4/1/2016 - 7/1/2037 | 1,607,688 | |
240,988 | 6.500%, 6/1/2022 - 5/1/2031 | 275,230 | |
609,731 | 7.000%, 12/1/2029 - 4/1/2032 | 712,479 | |
74,442 | 7.500%, 12/1/2030 - 1/1/2031 | 88,905 | |
9,933 | 8.500%, 5/1/2030 | 12,121 | |
3,460 | 9.000%, 2/1/2025 - 5/1/2025 | 4,142 | |
TOTAL | 35,059,629 | ||
Federal National Mortgage Association—18.4% | |||
7,557,663 | 3.500%, 8/1/2042 - 9/1/2042 | 7,897,991 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$10,121,959 | 4.000%, 2/1/2041 - 4/1/2042 | $10,830,062 | |
8,046,610 | 4.500%, 12/1/2019 - 2/1/2042 | 8,756,018 | |
1,897,437 | 5.000%, 7/1/2034 - 7/1/2040 | 2,098,733 | |
1,452,245 | 5.500%, 11/1/2021 - 4/1/2036 | 1,627,622 | |
2,230,441 | 6.000%, 4/1/2016 - 3/1/2038 | 2,507,264 | |
197,264 | 6.500%, 6/1/2029 - 11/1/2035 | 228,378 | |
300,499 | 7.000%, 3/1/2015 - 4/1/2032 | 351,565 | |
13,359 | 7.500%, 8/1/2028 - 2/1/2030 | 15,813 | |
14,090 | 8.000%, 7/1/2030 | 17,047 | |
TOTAL | 34,330,493 | ||
Government National Mortgage Association—10.5% | |||
7,399,209 | 3.500%, 6/15/2042 | 7,779,833 | |
5,885,906 | 4.500%, 6/20/2039 - 8/20/2040 | 6,472,289 | |
919,633 | 5.000%, 7/15/2034 | 1,018,507 | |
679,375 | 5.500%, 5/20/2035 | 760,009 | |
2,428,304 | 6.000%, 4/15/2032 - 7/20/2038 | 2,762,671 | |
683,286 | 6.500%, 12/15/2023 - 5/15/2032 | 793,325 | |
28,321 | 7.500%, 10/15/2029 - 3/20/2030 | 33,731 | |
2,600 | 8.000%, 4/15/2030 | 3,114 | |
1,035 | 9.500%, 11/15/2016 | 1,042 | |
TOTAL | 19,624,521 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $84,131,921) | 89,014,643 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—8.2% | |||
Government Agency—1.2% | |||
2,416,461 | 3,4 | FDIC Trust 2013-R2, Class A, 1.250%, 3/25/2033 | 2,332,528 |
Non-Agency Mortgage-Backed Securities—7.0% | |||
994,212 | Countrywide Alternative Loan Trust 2003-J3, Class 1A3, 5.250%, 11/25/2033 | 998,812 | |
960,793 | Countrywide Home Loans 2007-14, Class A18, 6.000%, 9/25/2037 | 885,524 | |
288,062 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 238,340 | |
911,674 | 3,4 | Credit Suisse Mortgage Trust 2012-CIM2, Class A1, 3.000%, 6/25/2042 | 900,901 |
2,369,047 | 3,4 | Credit Suisse Mortgage Trust 2013-IVR3, Class A2, 3.000%, 5/25/2043 | 2,339,743 |
982,030 | 3,4 | Credit Suisse Mortgage Trust 2014-WIN2, Class A2, 3.500%, 10/25/2044 | 993,449 |
313,063 | First Horizon Alternative Mortgage Securities 2005-FA7, Class 2A1, 5.000%, 9/25/2020 | 307,981 | |
46,946 | Sequoia Mortgage Trust 2010-H1, Class A1, 2.106%, 2/25/2040 | 46,244 | |
164,859 | Sequoia Mortgage Trust 2011-1, Class A1, 4.125%, 2/25/2041 | 169,041 | |
552,410 | Sequoia Mortgage Trust 2011-2, Class A1, 3.900%, 9/25/2041 | 558,631 | |
708,767 | Sequoia Mortgage Trust 2012-1, Class 2A1, 3.474%, 1/25/2042 | 708,079 | |
1,241,796 | 3,4 | Sequoia Mortgage Trust 2014-1, Class 2A5, 4.000%, 4/25/2044 | 1,279,773 |
2,388,053 | 3,4 | Sequoia Mortgage Trust 2014-4, Class A5, 3.500%, 11/25/2044 | 2,409,346 |
1,385,005 | Structured Asset Securities Corp. 2005-17, Class 5A1, 5.500%, 10/25/2035 | 1,207,111 | |
TOTAL | 13,042,975 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $15,746,155) | 15,375,503 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—23.2% | |||
Agency Commercial Mortgage-Backed Securities—15.8% | |||
2,000,000 | FHLMC REMIC K704 A2, 2.412%, 8/25/2018 | 2,048,927 | |
4,000,000 | FHLMC REMIC K703 A2, 2.699%, 5/25/2018 | 4,135,328 | |
2,574,043 | FHLMC REMIC K010 A1, 3.320%, 7/25/2020 | 2,694,055 | |
3,242,736 | FNMA REMIC 2013-M1 ASQ2, 1.074%, 11/25/2016 | 3,243,785 | |
2,596,072 | FNMA REMIC 2011-M7 A1, 2.049%, 9/25/2018 | 2,633,140 |
Principal Amount | Value | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—continued | |||
Agency Commercial Mortgage-Backed Securities—continued | |||
$6,000,000 | FNMA REMIC 2011-M7 A2, 2.578%, 9/25/2018 | $6,178,051 | |
2,500,000 | 3,4 | FREMF Mortgage Trust 2013-K25, 3.618%, 11/25/2045 | 2,517,207 |
2,750,000 | 3,4 | FREMF Mortgage Trust 2013-K502, 2.727%, 3/25/2045 | 2,755,236 |
1,410,000 | 3,4 | FREMF Mortgage Trust 2014-K717, 3.630%, 11/25/2047 | 1,416,101 |
1,963,457 | NCUA Guaranteed Notes 2010-C1, 1.600%, 10/29/2020 | 1,971,819 | |
TOTAL | 29,593,649 | ||
Non-Agency Commercial Mortgage-Backed Securities—7.4% | |||
2,397,151 | 3,4 | Commercial Mortgage Pass-Through Certificates 2010-C1, Class A1, 3.156%, 7/10/2046 | 2,421,117 |
3,380,000 | Commercial Mortgage Pass-Through Certificates 2012-LC4, Class A2, 2.256%, 12/10/2044 | 3,440,866 | |
2,141,908 | 3,4 | DBUBS Mortgage Trust 2011-LC2A, Class A2, 3.386%, 7/10/2044 | 2,200,718 |
2,230,837 | 3,4 | GS Mortgage Securities Corp. 2010-C2, Class A1, 3.849%, 12/10/2043 | 2,288,396 |
1,791,513 | 3,4 | JP Morgan Chase Commercial Mortgage Securities 2010-C2, Class A1, 2.749%, 11/15/2043 | 1,812,396 |
1,500,000 | 3,4 | WF-RBS Commercial Mortgage Trust 2011-C3, Class A2, 3.240%, 3/15/2044 | 1,537,896 |
TOTAL | 13,701,389 | ||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $42,888,647) | 43,295,038 | ||
REPURCHASE AGREEMENTS—4.9% | |||
3,080,000 | Interest in $750,000,000 joint repurchase agreement 0.08%, dated 12/31/2014 under which Bank of America, N.A. will repurchase securities provided as collateral for $750,003,333 on 1/2/2015. The securities provided as collateral at the end of the period held with BNY Mellon as 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 $771,487,729. | 3,080,000 | |
6,036,000 | Interest in $750,000,000 joint repurchase agreement 0.08%, dated 12/31/2014 under which Bank of America, N.A. will repurchase securities provided as collateral for $750,003,333 on 1/2/2015. The securities provided as collateral at the end of the period held with BNY Mellon as 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 $771,487,729 (purchased with proceeds from securities lending collateral). | 6,036,000 | |
TOTAL REPURCHASE AGREEMENTS (AT COST) | 9,116,000 | ||
TOTAL INVESTMENTS—103.1% (IDENTIFIED COST $185,600,506)5 | 192,791,569 | ||
OTHER ASSETS AND LIABILITIES - NET—(3.1)%6 | (5,780,055) | ||
TOTAL NET ASSETS—100% | $187,011,514 |
Description | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation) |
7U.S. Treasury Long Bond Short Futures | 7 | $1,011,938 | March 2015 | $(30,258) |
7U.S. Treasury Note 2-Year Short Futures | 45 | $9,836,719 | March 2015 | $5,074 |
7U.S. Treasury Note 5-Year Short Futures | 17 | $2,021,805 | March 2015 | $(2,163) |
7U.S. Treasury Note 10-Year Short Futures | 40 | $5,071,875 | March 2015 | $(34,465) |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(61,812) |
1 | Pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding short futures contracts. |
2 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
3 | Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At December 31, 2014, these restricted securities amounted to $27,204,807, which represented 14.5% of total net assets. |
4 | Denotes a restricted security that may be resold without restriction to “qualified institutional buyers” as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund's Board of Trustees (the “Trustees”). At December 31, 2014, these liquid restricted securities amounted to $27,204,807, which represented 14.5% of total net assets. |
5 | The cost of investments for federal tax purposes amounts to $185,235,092. |
6 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
7 | Non-income-producing security. |
Valuation Inputs | ||||
Level 1— Quoted Prices and Investments in Investment Companies | Level 2— Other Significant Observable | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
U.S. Treasury | $— | $29,002,166 | $— | $29,002,166 |
Government Agencies | — | 6,988,219 | — | 6,988,219 |
Mortgage-Backed Securities | — | 89,014,643 | — | 89,014,643 |
Collateralized Mortgage Obligations | — | 15,375,503 | — | 15,375,503 |
Commercial Mortgage-Backed Securities | — | 43,295,038 | — | 43,295,038 |
Repurchase Agreements | — | 9,116,000 | — | 9,116,000 |
TOTAL SECURITIES | $— | $192,791,569 | $— | $192,791,569 |
OTHER FINANCIAL INSTRUMENTS1 | $(61,812) | $— | $— | $(61,812) |
1 | Other financial instruments include futures contracts. |
FDIC | —Federal Deposit Insurance Corporation |
FHLMC | —Federal Home Loan Mortgage Corporation |
FNMA | —Federal National Mortgage Association |
REMIC | —Real Estate Mortgage Investment Conduit |
Year Ended December 31 | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $10.95 | $11.55 | $11.66 | $11.50 | $11.45 |
Income From Investment Operations: | |||||
Net investment income | 0.271 | 0.261 | 0.301 | 0.351 | 0.371 |
Net realized and unrealized gain (loss) on investments and futures contracts | 0.23 | (0.49) | 0.03 | 0.29 | 0.20 |
TOTAL FROM INVESTMENT OPERATIONS | 0.50 | (0.23) | 0.33 | 0.64 | 0.57 |
Less Distributions: | |||||
Distributions from net investment income | (0.33) | (0.37) | (0.44) | (0.48) | (0.52) |
Net Asset Value, End of Period | $11.12 | $10.95 | $11.55 | $11.66 | $11.50 |
Total Return2 | 4.62% | (2.05)% | 2.98% | 5.78% | 5.17% |
Ratios to Average Net Assets: | |||||
Net expenses | 0.76% | 0.76% | 0.76% | 0.74% | 0.74% |
Net investment income | 2.45% | 2.34% | 2.60% | 3.10% | 3.25% |
Expense waiver/reimbursement3 | 0.04% | 0.03% | 0.01% | 0.02% | 0.01% |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $187,012 | $201,117 | $246,569 | $281,306 | $306,894 |
Portfolio turnover | 51% | 94% | 127% | 157% | 138% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 26% | 38% | 31% | 51% | 41% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts of insurance companies or in connection with any variable annuity or variable life insurance contract. |
3 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Total investment in securities, at value including $5,900,397 of securities loaned (identified cost $185,600,506) | $192,791,569 | |
Income receivable | 638,010 | |
Receivable for shares sold | 4,475 | |
TOTAL ASSETS | 193,434,054 | |
Liabilities: | ||
Payable for shares redeemed | $72,115 | |
Bank overdraft | 254,778 | |
Payable for variation margin | 15,484 | |
Payable for collateral due to broker for securities lending | 6,036,000 | |
Payable for Directors'/Trustees' fees (Note 5) | 167 | |
Accrued expenses (Note 5) | 43,996 | |
TOTAL LIABILITIES | 6,422,540 | |
Net assets for 16,810,556 shares outstanding | $187,011,514 | |
Net Assets Consist of: | ||
Paid-in capital | $175,758,397 | |
Net unrealized appreciation of investments and futures contracts | 7,129,251 | |
Accumulated net realized loss on investments and futures contracts | (889,644) | |
Undistributed net investment income | 5,013,510 | |
TOTAL NET ASSETS | $187,011,514 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$187,011,514 ÷ 16,810,556 shares outstanding, no par value, unlimited shares authorized | $11.12 |
Investment Income: | |||
Interest (including income on securities loaned of $2,878) | $6,241,192 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $1,163,805 | ||
Administrative fee (Note 5) | 151,665 | ||
Custodian fees | 24,759 | ||
Transfer agent fee | 18,694 | ||
Directors'/Trustees' fees (Note 5) | 1,970 | ||
Auditing fees | 22,000 | ||
Legal fees | 12,864 | ||
Portfolio accounting fees | 99,979 | ||
Printing and postage | 56,398 | ||
Miscellaneous (Note 5) | 5,943 | ||
TOTAL EXPENSES | 1,558,077 | ||
Waiver of investment adviser fee (Note 5) | $(74,419) | ||
Net expenses | 1,483,658 | ||
Net investment income | 4,757,534 | ||
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |||
Net realized gain on investments | 803,084 | ||
Net realized loss on futures contracts | (365,035) | ||
Net change in unrealized appreciation of investments | 3,806,956 | ||
Net change in unrealized depreciation of futures contracts | (61,812) | ||
Net realized and unrealized gain on investments and futures contracts | 4,183,193 | ||
Change in net assets resulting from operations | $8,940,727 |
Year Ended December 31 | 2014 | 2013 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $4,757,534 | $5,217,570 |
Net realized gain (loss) on investments and futures contracts | 438,049 | (594,652) |
Net change in unrealized appreciation/depreciation of investments and futures contracts | 3,745,144 | (9,423,848) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 8,940,727 | (4,800,930) |
Distributions to Shareholders: | ||
Distributions from net investment income | (5,762,197) | (7,602,159) |
Share Transactions: | ||
Proceeds from sale of shares | 20,359,676 | 11,793,872 |
Net asset value of shares issued to shareholders in payment of distributions declared | 5,762,197 | 7,602,159 |
Cost of shares redeemed | (43,405,571) | (52,445,510) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (17,283,698) | (33,049,479) |
Change in net assets | (14,105,168) | (45,452,568) |
Net Assets: | ||
Beginning of period | 201,116,682 | 246,569,250 |
End of period (including undistributed net investment income of $5,013,510 and $5,760,659, respectively) | $187,011,514 | $201,116,682 |
■ | 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 Trustees. |
■ | Fixed-income securities and repurchase agreements 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), unless the issuer's creditworthiness is impaired or other factors indicate that amortized cost is not an accurate estimate of the investment's fair value, in which case it would be valued in the same manner as a longer-term security. |
■ | 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. |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | 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. |
Market Value of Securities Loaned | Market Value of Collateral |
$5,900,397 | $6,036,000 |
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 | $61,812* |
* | 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 | $(365,035) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures | |
Interest rate contracts | $(61,812) |
Year Ended December 31 | 2014 | 2013 |
Shares sold | 1,852,120 | 1,058,608 |
Shares issued to shareholders in payment of distributions declared | 535,023 | 681,197 |
Shares redeemed | (3,948,603) | (4,718,128) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (1,561,460) | (2,978,323) |
Increase (Decrease) | |
Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) |
$257,514 | $(257,514) |
2014 | 2013 | |
Ordinary income | $5,762,197 | $7,602,159 |
Undistributed ordinary income | $5,013,510 |
Net unrealized appreciation | $7,556,479 |
Capital loss carryforwards and deferrals | $(1,316,872) |
Expiration Year | Short-Term | Long-Term | Total |
No Expiration | $826,078 | $— | $826,078 |
2017 | $98,280 | NA | $98,280 |
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 |
Purchases | $6,294,194 |
Sales | $13,618,969 |
February 13, 2015
Beginning Account Value 7/1/2014 | Ending Account Value 12/31/2014 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,014.60 | $3.86 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,021.37 | $3.87 |
1 | Expenses are equal to the Fund's annualized net expense ratio of 0.76%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company under the variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held and Previous Position(s) |
John F. Donahue* Birth Date: July 28, 1924 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and Director, Federated Investors, Inc.; Chairman of the Federated Fund Family's Executive Committee. Previous Positions: Chairman of the Federated Fund Family; Trustee, Federated Investment Management Company; Chairman and Director, Federated Investment Counseling. |
J. Christopher Donahue* Birth Date: April 11, 1949 Trustee Indefinite Term Began serving: October 1993 | Principal Occupations: Principal Executive Officer and President of certain of the Funds in the Federated Fund Family; Director or Trustee of the Funds in the Federated Fund Family; President, Chief Executive Officer and Director, Federated Investors, Inc.; Chairman and Trustee, Federated Investment Management Company; Trustee, Federated Investment Counseling; Chairman and Director, Federated Global Investment Management Corp.; Chairman, Federated Equity Management Company of Pennsylvania and Passport Research, Ltd. (investment advisory subsidiary of Federated); Trustee, Federated Shareholder Services Company; Director, Federated Services Company. Previous Positions: President, Federated Investment Counseling; President and Chief Executive Officer, Federated Investment Management Company, Federated Global Investment Management Corp. and Passport Research, Ltd. |
* | Family relationships and reasons for “interested” status: John F. Donahue is the father of J. Christopher Donahue; both are “interested” due to their beneficial ownership of shares of Federated Investors, Inc. and the positions they hold with Federated and its subsidiaries. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
John T. Collins Birth Date: January 24, 1947 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; Chairman and CEO, The Collins Group, Inc. (a private equity firm). Other Directorships Held: Director, KLX Corp. Qualifications: Mr. Collins has served in several business and financial management roles and directorship positions throughout his career. Mr. Collins serves as Chairman Emeriti, Bentley University. Mr. Collins previously served as Director, Sterling Suffolk Downs, Inc. (racecourse); Director and Audit Committee Member, Bank of America Corp. and Director, Beth Israel Deaconess Medical Center (Harvard University Affiliate Hospital). |
Maureen Lally-Green Birth Date: July 5, 1949 Trustee Indefinite Term Began serving: August 2009 | Principal Occupations: Director or Trustee of the Federated Fund Family; Associate General Secretary and Director, Office for Church Relations, Diocese of Pittsburgh; Adjunct Professor of Law, Duquesne University School of Law. Other Directorships Held: Director, CONSOL Energy Inc. Qualifications: Judge Lally-Green has served in various legal and business roles and directorship positions throughout her career. Judge Lally-Green previously served as Professor of Law, Duquesne University School of Law and was a member of the Superior Court of Pennsylvania. Judge Lally-Green also holds the positions of: Member, Pennsylvania State Board of Education; Director, Saint Vincent College; Director and Chair, UPMC Mercy Hospital; Regent, St. Vincent Seminary; Director, Epilepsy Foundation of Western and Central Pennsylvania; Director, Our Campaign for the Church Alive!, Inc.; Director, Pennsylvania Bar Institute; and Director, Catholic High Schools of the Diocese of Pittsburgh, Inc. Judge Lally-Green has held the positions of: Director, Auberle; Director, Ireland Institute of Pittsburgh; Director, Saint Thomas More Society; and Director Cardinal Wuerl Catholic High School. |
Name Birth Date Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years, Other Directorships Held, Previous Position(s) and Qualifications |
Peter E. Madden Birth Date: March 16, 1942 Trustee Indefinite Term Began serving: October 1993 | Principal Occupation: Director or Trustee, and Chair of the Board of Directors or Trustees, of the Federated Fund Family; Retired. Other Directorships Held: None. Qualifications: Mr. Madden has served in several business management, mutual fund services and directorship positions throughout his career. Mr. Madden previously served as President, Chief Operating Officer and Director, State Street Bank and Trust Company (custodian bank) and State Street Corporation (financial services). He was Director, VISA USA and VISA International and Chairman and Director, Massachusetts Bankers Association. Mr. Madden served as Director, Depository Trust Corporation and Director, The Boston Stock Exchange. Mr. Madden also served as a Representative to the Commonwealth of Massachusetts General Court. |
Charles F. Mansfield, Jr. Birth Date: April 10, 1945 Trustee Indefinite Term Began serving: November 1999 | Principal Occupations: Director or Trustee of the Federated Fund Family; Management Consultant. Other Directorships Held: None. Qualifications: Mr. Mansfield has served in several banking, business management and educational roles and directorship positions throughout his career. Mr. Mansfield previously served as Chief Executive Officer, PBTC International Bank; Partner, Arthur Young & Company (now Ernst & Young LLP); Chief Financial Officer of Retail Banking Sector, Chase Manhattan Bank; Senior Vice President, HSBC Bank USA (formerly, Marine Midland Bank); Vice President, Citibank; Assistant Professor of Banking and Finance, Frank G. Zarb School of Business, Hofstra University; Executive Vice President DVC Group, Inc. (marketing, communications and technology). |
Thomas M. O'Neill Birth Date: June 14, 1951 Trustee Indefinite Term Began serving: October 2006 | Principal Occupations: Director or Trustee, Vice Chair of the Audit Committee of the Federated Fund Family; Sole Proprietor, Navigator Management Company (investment and strategic consulting). Other Directorships Held: None. Qualifications: Mr. O'Neill has served in several business, mutual fund and financial management roles and directorship positions throughout his career. Mr. O'Neill serves as Director, Medicines for Humanity and Director, The Golisano Children's Museum of Naples, Florida. Mr. O'Neill previously served as Chief Executive Officer and President, Managing Director and Chief Investment Officer, Fleet Investment Advisors; President and Chief Executive Officer, Aeltus Investment Management, Inc.; General Partner, Hellman, Jordan Management Co., Boston, MA; Chief Investment Officer, The Putnam Companies, Boston, MA; Credit Analyst and Lending Officer, Fleet Bank; Director and Consultant, EZE Castle Software (investment order management software); and Director, Midway Pacific (lumber). |
P. Jerome Richey Birth Date: February 23, 1949 Trustee Indefinite Term Began serving: October 2013 | Principal Occupations: Director or Trustee of the Federated Fund Family; General Counsel, University of Pittsburgh. Other Directorships Held: None. Qualifications: Mr. Richey has served in several business and legal management roles and directorship positions throughout his career. Mr. Richey serves as Board Member, Epilepsy Foundation of Western Pennsylvania and Board member, World Affairs Council of Pittsburgh. Mr. Richey previously served as Chief Legal Officer and Executive Vice President, CONSOL Energy Inc. and Shareholder, Buchanan Ingersoll & Rooney PC (a law firm). |
John S. Walsh Birth Date: November 28, 1957 Trustee Indefinite Term Began serving: January 1999 | Principal Occupations: Director or Trustee, Chair of the Audit Committee of the Federated Fund Family; President and Director, Heat Wagon, Inc. (manufacturer of construction temporary heaters); President and Director, Manufacturers Products, Inc. (distributor of portable construction heaters); President, Portable Heater Parts, a division of Manufacturers Products, Inc. Other Directorships Held: None. Qualifications: Mr. Walsh has served in several business management roles and directorship positions throughout his career. Mr. Walsh previously served as Vice President, Walsh & Kelly, Inc. (paving contractors). |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
John W. McGonigle Birth Date: October 26, 1938 EXECUTIVE VICE PRESIDENT AND SECRETARY Officer since: September 1993 | Principal Occupations: Executive Vice President and Secretary of the Federated Fund Family; Vice Chairman, Executive Vice President, Secretary and Director, Federated Investors, Inc. Previous Positions: Trustee, Federated Investment Management Company and Federated Investment Counseling; Director, Federated Global Investment Management Corp., Federated Services Company and Federated Securities Corp. |
Name Birth Date Address Positions Held with Trust Date Service Began | Principal Occupation(s) for Past Five Years and Previous Position(s) |
Lori A. Hensler Birth Date: January 6, 1967 TREASURER Officer since: April 2013 | Principal Occupations: Principal Financial Officer and Treasurer of the Federated Fund Family; Senior Vice President, Federated Administrative Services; Financial and Operations Principal for Federated Securities Corp. and Edgewood Services, Inc.; and Assistant Treasurer, Federated Investors Trust Company. Ms. Hensler has received the Certified Public Accountant designation. Previous Positions: Controller of Federated Investors, Inc.; Senior Vice President and Assistant Treasurer, Federated Investors Management Company; Treasurer, Federated Investors Trust Company; Assistant Treasurer, Federated Administrative Services, Federated Administrative Services, Inc., Federated Securities Corp., Edgewood Services, Inc., Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company, Passport Research, Ltd., and Federated MDTA, LLC; Financial and Operations Principal for Federated Securities Corp., Edgewood Services, Inc. and Southpointe Distribution Services, Inc. |
Peter J. Germain Birth Date: September 3, 1959 CHIEF LEGAL OFFICER Officer since: January 2005 | Principal Occupations: Mr. Germain is Chief Legal Officer of the Federated Fund Family. He is General Counsel and Vice President, Federated Investors, Inc.; President, Federated Administrative Services and Federated Administrative Services, Inc.; Vice President, Federated Securities Corp.; Secretary, Federated Private Asset Management, Inc.; and Secretary, Retirement Plan Service Company of America. Mr. Germain joined Federated in 1984 and is a member of the Pennsylvania Bar Association. Previous Positions: Deputy General Counsel, Special Counsel, Managing Director of Mutual Fund Services, Federated Investors, Inc.; Senior Vice President, Federated Services Company; and Senior Corporate Counsel, Federated Investors, Inc. |
Richard B. Fisher Birth Date: May 17, 1923 VICE PRESIDENT Officer since: September 1993 | Principal Occupations: Vice Chairman or Vice President of some of the Funds in the Federated Fund Family; Vice Chairman, Federated Investors, Inc.; Chairman, Federated Securities Corp. Previous Positions: President and Director or Trustee of some of the Funds in the Federated Fund Family; Executive Vice President, Federated Investors, Inc.; Director and Chief Executive Officer, Federated Securities Corp. |
John B. Fisher Birth Date: May 16, 1956 PRESIDENT Officer since: November 2004 | Principal Occupations: President, Director/Trustee and CEO, Federated Advisory Services Company, Federated Equity Management Company of Pennsylvania, Federated Global Investment Management Corp., Federated Investment Counseling, Federated Investment Management Company; President and CEO of Passport Research, Ltd.; President of some of the Funds in the Federated Fund Family; Director, Federated Investors Trust Company. Previous Positions: President and Director of the Institutional Sales Division of Federated Securities Corp.; President and Director of Federated Investment Counseling; Director, Edgewood Securities Corp.; Director, Federated Services Company; Director, Federated Investors, Inc.; Chairman and Director, Southpointe Distribution Services, Inc.; President, Technology, Federated Services Company. |
Brian P. Bouda Birth Date: February 28, 1947 CHIEF COMPLIANCE OFFICER AND SENIOR VICE PRESIDENT Officer since: August 2004 | Principal Occupations: Senior Vice President and Chief Compliance Officer of the Federated Fund Family; Vice President and Chief Compliance Officer of Federated Investors, Inc. and Chief Compliance Officer of certain of its subsidiaries. Mr. Bouda joined Federated in 1999 and is a member of the American Bar Association and the State Bar Association of Wisconsin. Previous Positions: Served in Senior Management positions with a large regional banking organization. |
Stephen F. Auth Birth Date: September 3, 1956 101 Park Avenue 41st Floor New York, NY 10178 CHIEF INVESTMENT OFFICER Officer since: November 2002 | Principal Occupations: Stephen F. Auth is Chief Investment Officer of various Funds in the Federated Fund Family; Executive Vice President, Federated Investment Counseling, Federated Global Investment Management Corp. and Federated Equity Management Company of Pennsylvania. Previous Positions: Executive Vice President, Federated Investment Management Company and Passport Research, Ltd. (investment advisory subsidiary of Federated); Senior Vice President, Global Portfolio Management Services Division; Senior Vice President, Federated Investment Management Company and Passport Research, Ltd.; Senior Managing Director and Portfolio Manager, Prudential Investments. |
Robert J. Ostrowski Birth Date: April 26, 1963 Chief Investment Officer Officer since: May 2004 | Principal Occupations: Robert J. Ostrowski joined Federated in 1987 as an Investment Analyst and became a Portfolio Manager in 1990. He was named Chief Investment Officer of Federated's taxable fixed-income products in 2004 and also serves as a Senior Portfolio Manager. Mr. Ostrowski became an Executive Vice President of the Fund's Adviser in 2009 and served as a Senior Vice President of the Fund's Adviser from 1997 to 2009. Mr. Ostrowski has received the Chartered Financial Analyst designation. He received his M.S. in Industrial Administration from Carnegie Mellon University. |
Deborah A. Cunningham Birth Date: September 15, 1959 Chief Investment Officer Officer since: June 2012 | Principal Occupations: Deborah A. Cunningham was named Chief Investment Officer of Federated's money market products in 2004. She joined Federated in 1981 and has been a Senior Portfolio Manager since 1997 and an Executive Vice President of the Fund's Adviser since 2009. Ms. Cunningham has received the Chartered Financial Analyst designation and holds an M.S.B.A. in Finance from Robert Morris College. |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
2015 ©Federated Investors, Inc.
Item 2. Code of Ethics
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics (the "Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers") that applies to the registrant's Principal Executive Officer and Principal Financial Officer; the registrant's Principal Financial Officer also serves as the Principal Accounting Officer.
(c) Not Applicable
(d) Not Applicable
(e) Not Applicable
(f)(3) The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant at 1-800-341-7400, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.
Item 3. Audit Committee Financial Expert
The registrant's Board has determined that each of the following members of the Board's Audit Committee is an “audit committee financial expert,” and is "independent," for purposes of this Item: John T. Collins, Thomas M. O'Neill and John S. Walsh.
Item 4. Principal Accountant Fees and Services
(a) Audit Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2014 - $185,550
Fiscal year ended 2013 - $178,500
(b) Audit-Related Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2014 - $0
Fiscal year ended 2013 - $0
Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(c) Tax Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2014 - $0
Fiscal year ended 2013 - $0
Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(d) All Other Fees billed to the registrant for the two most recent fiscal years:
Fiscal year ended 2014 - $0
Fiscal year ended 2013 - $0
Amount requiring approval of the registrant’s audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, $0 and $0 respectively.
(e)(1) Audit Committee Policies regarding Pre-approval of Services.
The Audit Committee is required to pre-approve audit and non-audit services performed by the independent auditor in order to assure that the provision of such services do not impair the auditor’s independence. Unless a type of service to be provided by the independent auditor has received general pre-approval, it will require specific pre-approval by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
Certain services have the general pre-approval of the Audit Committee. The term of the general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee specifically provides for a different period. The Audit Committee will annually review the services that may be provided by the independent auditor without obtaining specific pre-approval from the Audit Committee and may grant general pre-approval for such services. The Audit Committee will revise the list of general pre-approved services from time to time, based on subsequent determinations. The Audit Committee will not delegate its responsibilities to pre-approve services performed by the independent auditor to management.
The Audit Committee has delegated pre-approval authority to its Chairman. The Chairman will report any pre-approval decisions to the Audit Committee at its next scheduled meeting. The Committee will designate another member with such pre-approval authority when the Chairman is unavailable.
AUDIT SERVICES
The annual Audit services engagement terms and fees will be subject to the specific pre-approval of the Audit Committee. The Audit Committee must approve any changes in terms, conditions and fees resulting from changes in audit scope, registered investment company (RIC) structure or other matters.
In addition to the annual Audit services engagement specifically approved by the Audit Committee, the Audit Committee may grant general pre-approval for other Audit Services, which are those services that only the independent auditor reasonably can provide. The Audit Committee has pre-approved certain Audit services, all other Audit services must be specifically pre-approved by the Audit Committee.
AUDIT-RELATED SERVICES
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the Company’s financial statements or that are traditionally performed by the independent auditor. The Audit Committee believes that the provision of Audit-related services does not impair the independence of the auditor, and has pre-approved certain Audit-related services, all other Audit-related services must be specifically pre-approved by the Audit Committee.
TAX SERVICES
The Audit Committee believes that the independent auditor can provide Tax services to the Company such as tax compliance, tax planning and tax advice without impairing the auditor’s independence. However, the Audit Committee will not permit the retention of the independent auditor in connection with a transaction initially recommended by the independent auditor, the purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. The Audit Committee has pre-approved certain Tax services, all Tax services involving large and complex transactions must be specifically pre-approved by the Audit Committee.
ALL OTHER SERVICES
With respect to the provision of services other than audit, review or attest services the pre-approval requirement is waived if:
(1) | The aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues paid by the registrant, the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant to its accountant during the fiscal year in which the services are provided; |
(2) | Such services were not recognized by the registrant, the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant at the time of the engagement to be non-audit services; and |
(3) | Such services are promptly brought to the attention of the Audit Committee of the issuer and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee who are members of the board of directors to whom authority to grant such approvals has been delegated by the Audit Committee. |
The Audit Committee may grant general pre-approval to those permissible non-audit services classified as All Other services that it believes are routine and recurring services, and would not impair the independence of the auditor.
The SEC’s rules and relevant guidance should be consulted to determine the precise definitions of prohibited non-audit services and the applicability of exceptions to certain of the prohibitions.
PRE-APPROVAL FEE LEVELS
Pre-approval fee levels for all services to be provided by the independent auditor will be established annually by the Audit Committee. Any proposed services exceeding these levels will require specific pre-approval by the Audit Committee.
PROCEDURES
Requests or applications to provide services that require specific approval by the Audit Committee will be submitted to the Audit Committee by both the independent auditor and the Principal Accounting Officer and/or Internal Auditor, and must include a joint statement as to whether, in their view, the request or application is consistent with the SEC’s rules on auditor independence.
(e)(2) Percentage of services identified in items 4(b) through 4(d) that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:
4(b)
Fiscal year ended 2014 – 0%
Fiscal year ended 2013 - 0%
Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(c)
Fiscal year ended 2014 – 0%
Fiscal year ended 2013 – 0%
Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
4(d)
Fiscal year ended 2014 – 0%
Fiscal year ended 2013 – 0%
Percentage of services provided to the registrants investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were approved by the registrants audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X, 0% and 0% respectively.
(f) | NA |
(g) | Non-Audit Fees billed to the registrant, the registrant’s investment adviser, and certain entities controlling, controlled by or under common control with the investment adviser: |
Fiscal year ended 2014 - $22,860
Fiscal year ended 2013 - $10,400
(h) The registrant’s Audit Committee has considered that the provision of non-audit services that were rendered to the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
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 Insurance Series
By /S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
Date February 11, 2015
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/ John B. Fisher
John B. Fisher, Principal Executive Officer
Date February 11, 2015
By /S/ Lori A. Hensler
Lori A. Hensler, Principal Financial Officer
Date February 11, 2015