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, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
Federated Investors Tower
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End:12/31/19
Date of Reporting Period:Six months ended 06/30/19
Item 1. | Reports to Stockholders |
Share Class | Primary | Service |
Portfolio Composition | Percentage of Total Net Assets |
Domestic Fixed-Income Securities | 41.9% |
Domestic Equity Securities | 38.2% |
International Fixed-Income Securities | 3.3% |
Federated High Income Bond Fund II, Class P | 2.8% |
Federated Project and Trade Finance Core Fund | 2.6% |
Emerging Markets Core Fund | 1.8% |
International Equity Securities | 1.4% |
Federated Bank Loan Core Fund | 1.1% |
Cash Equivalents2 | 1.0% |
Federated U.S. Government Securities Fund: 2-5 Years, Institutional Shares3 | 0.0% |
Other Security Types4 | 0.1% |
Derivative Contracts5 | 0.7% |
Repurchase Agreement | 3.0% |
Other Assets and Liabilities—Net6 | 2.1% |
TOTAL | 100.0% |
Sector Composition of Equity Holdings | Percentage of Equity Securities |
Financials | 23.3% |
Health Care | 14.0% |
Energy | 9.2% |
Consumer Staples | 8.2% |
Industrials | 8.1% |
Information Technology | 8.0% |
Communication Services | 7.9% |
Utilities | 6.5% |
Consumer Discretionary | 5.4% |
Real Estate | 5.1% |
Materials | 4.3% |
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, affiliated investment companies (other than an affiliated money market mutual fund) in which the Fund invested greater than 10% of its net assets are 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. Affiliated investment companies (other than an affiliated money market mutual fund) in which the Fund invested less than 10% of its net assets are listed individually in the table. |
2 | Cash Equivalents include any investments in money market mutual funds. |
3 | Represents less than 0.1%. |
4 | Other Security Types consist of purchased options. |
5 | 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. |
6 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
7 | Sector classifications are based upon, and individual portfolio securities are assigned to, the classifications of the Global Industry Classification Standard (GICS) except that the Co-Advisers assign a classification to securities not classified by the GICS and to securities for which the Co-Advisers do not have access to the classification made by the GICS. |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—39.6% | |||
Communication Services—3.1% | |||
110,196 | AT&T, Inc. | $3,692,668 | |
64,380 | CenturyLink, Inc. | 757,109 | |
921 | 1 | Charter Communications, Inc. | 363,961 |
88,399 | Comcast Corp., Class A | 3,737,510 | |
44 | 1 | DISH Network Corp., Class A | 1,690 |
24,252 | 1 | Discovery, Inc. | 689,969 |
7,427 | Fox Corp., Class A | 272,125 | |
3,526 | Fox Corp., Class B | 128,805 | |
5,222 | 1 | Liberty Sirius Group, Class A | 197,444 |
11,670 | 1 | Liberty Sirius Group, Class C | 443,226 |
63,800 | News Corp., Inc. | 890,648 | |
4,319 | 1 | Take-Two Interactive Software, Inc. | 490,336 |
14,641 | Telephone and Data System, Inc. | 445,086 | |
103,362 | Verizon Communications, Inc. | 5,905,071 | |
8,888 | Viacom, Inc., Class A | 303,081 | |
266 | Viacom, Inc., Class B | 7,945 | |
24,037 | Walt Disney Co. | 3,356,527 | |
37,645 | 1 | Zynga, Inc. | 230,764 |
TOTAL | 21,913,965 | ||
Consumer Discretionary—2.1% | |||
2,122 | Advance Auto Parts, Inc. | 327,085 | |
1,461 | 1 | AutoZone, Inc. | 1,606,326 |
522 | Best Buy Co., Inc. | 36,399 | |
812 | 1 | Bright Horizons Family Solutions, Inc. | 122,507 |
248 | Carnival Corp. | 11,544 | |
2,325 | Darden Restaurants, Inc. | 283,022 | |
24,587 | Dick's Sporting Goods, Inc. | 851,448 | |
21,059 | Extended Stay America, Inc. | 355,687 | |
8,547 | Foot Locker, Inc. | 358,290 | |
114,684 | Ford Motor Co. | 1,173,217 | |
57,131 | Gentex Corp. | 1,405,994 | |
1,766 | Home Depot, Inc. | 367,275 | |
7,919 | Kohl's Corp. | 376,549 | |
459 | 1 | Kontoor Brands, Inc. | 12,861 |
8,281 | Las Vegas Sands Corp. | 489,324 | |
20,293 | McDonald's Corp. | 4,214,044 | |
31,548 | Newell Brands, Inc. | 486,470 | |
3,007 | 1 | Norwegian Cruise Line Holdings Ltd. | 161,265 |
36,072 | Pulte Group, Inc. | 1,140,597 | |
8,930 | Tapestry, Inc. | 283,349 | |
2,771 | Target Corp. | 239,996 | |
5,322 | 1 | Under Armour, Inc. | 118,148 |
3,216 | V.F. Corp. | 280,918 | |
90 | Yum China Holding, Inc. | 4,158 | |
1,843 | Yum! Brands, Inc. | 203,965 | |
TOTAL | 14,910,438 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Consumer Staples—3.3% | |||
18,804 | Colgate-Palmolive Co. | $1,347,683 | |
9,130 | 1 | Herbalife Ltd. | 390,399 |
9,905 | Hershey Foods Corp. | 1,327,567 | |
1,932 | Lamb Weston Holdings, Inc. | 122,412 | |
1,633 | McCormick & Co., Inc. | 253,131 | |
57,138 | Mondelez International, Inc. | 3,079,738 | |
6,383 | PepsiCo, Inc. | 837,003 | |
48,315 | Philip Morris International, Inc. | 3,794,177 | |
52,260 | Procter & Gamble Co. | 5,730,309 | |
15,211 | The Coca-Cola Co. | 774,544 | |
1,050 | 1 | TreeHouse Foods, Inc. | 56,805 |
7,539 | Walgreens Boots Alliance, Inc. | 412,157 | |
43,216 | WalMart, Inc. | 4,774,936 | |
TOTAL | 22,900,861 | ||
Energy—3.7% | |||
11,623 | Anadarko Petroleum Corp. | 820,119 | |
32,115 | Cabot Oil & Gas Corp., Class A | 737,360 | |
39,504 | Chevron Corp. | 4,915,878 | |
44,855 | ConocoPhillips | 2,736,155 | |
11,241 | Devon Energy Corp. | 320,593 | |
12,575 | EOG Resources, Inc. | 1,171,487 | |
87,522 | Exxon Mobil Corp. | 6,706,811 | |
7,554 | Hess Corp. | 480,208 | |
49,254 | Kinder Morgan, Inc. | 1,028,423 | |
16,561 | Marathon Oil Corp. | 235,332 | |
10,829 | Marathon Petroleum Corp. | 605,125 | |
1,986 | ONEOK, Inc. | 136,657 | |
33,614 | Occidental Petroleum Corp. | 1,690,112 | |
10,537 | Phillips 66 | 985,631 | |
3,199 | Pioneer Natural Resources, Inc. | 492,198 | |
23,449 | Schlumberger Ltd. | 931,863 | |
13,348 | Valero Energy Corp. | 1,142,722 | |
10,784 | 1 | WPX Energy, Inc. | 124,124 |
9,393 | Williams Cos., Inc. | 263,380 | |
TOTAL | 25,524,178 | ||
Financials—9.2% | |||
29,486 | AXA Equitable Holdings, Inc. | 616,257 | |
6,779 | Aflac, Inc. | 371,557 | |
13,505 | Allstate Corp. | 1,373,323 | |
55,729 | Ally Financial, Inc. | 1,727,042 | |
4,741 | Ameriprise Financial, Inc. | 688,204 | |
11,585 | 1 | Athene Holding Ltd. | 498,850 |
223,904 | Bank of America Corp. | 6,493,216 | |
32,427 | 1 | Berkshire Hathaway, Inc. | 6,912,464 |
5,164 | 1 | Brighthouse Financial, Inc. | 189,467 |
13,644 | CIT Group Holdings, Inc. | 716,856 | |
31,334 | CNA Financial Corp. | 1,474,891 | |
7,500 | Capital One Financial Corp. | 680,550 | |
72,158 | Chimera Investment Corp. | 1,361,621 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Financials—continued | |||
137 | Chubb Ltd. | $20,179 | |
63,713 | Citigroup, Inc. | 4,461,821 | |
46,887 | Citizens Financial Group, Inc. | 1,657,924 | |
9,686 | Comerica, Inc. | 703,591 | |
17,813 | Discover Financial Services | 1,382,111 | |
32,569 | E*Trade Group, Inc. | 1,452,577 | |
6,367 | Goldman Sachs Group, Inc. | 1,302,688 | |
20,614 | Huntington Bancshares, Inc. | 284,886 | |
73,235 | JPMorgan Chase & Co. | 8,187,673 | |
16,268 | KeyCorp | 288,757 | |
11,585 | Lazard Ltd., Class A | 398,408 | |
23,139 | Lincoln National Corp. | 1,491,309 | |
33,038 | Loews Corp. | 1,806,188 | |
46,417 | MetLife, Inc. | 2,305,532 | |
38,870 | Morgan Stanley | 1,702,895 | |
28,719 | Navient Corp. | 392,014 | |
92,661 | New York Community Bancorp, Inc. | 924,757 | |
30,223 | OneMain Holdings, Inc. | 1,021,840 | |
12,088 | PNC Financial Services Group | 1,659,441 | |
13,815 | Prudential Financial, Inc. | 1,395,315 | |
84,138 | Regions Financial Corp. | 1,257,022 | |
3,141 | Reinsurance Group of America | 490,090 | |
30,333 | Synchrony Financial | 1,051,645 | |
5,082 | U.S. Bancorp | 266,297 | |
40,448 | Unum Group | 1,357,030 | |
90,600 | Wells Fargo & Co. | 4,287,192 | |
TOTAL | 64,653,480 | ||
Health Care—5.5% | |||
39,808 | Abbott Laboratories | 3,347,853 | |
11,285 | Allergan PLC | 1,889,448 | |
4,657 | Amgen, Inc. | 858,192 | |
3,258 | Anthem, Inc. | 919,440 | |
21,588 | Baxter International, Inc. | 1,768,057 | |
3,551 | 1 | Biogen, Inc. | 830,472 |
16,545 | Bristol-Myers Squibb Co. | 750,316 | |
27,060 | CVS Health Corp. | 1,474,499 | |
11,239 | Cardinal Health, Inc. | 529,357 | |
276 | Cooper Cos., Inc. | 92,982 | |
3,969 | Danaher Corp. | 567,249 | |
2,615 | 1 | DaVita HealthCare Partners, Inc. | 147,120 |
4,810 | Dentsply Sirona, Inc. | 280,712 | |
14,816 | Eli Lilly & Co. | 1,641,465 | |
8,380 | Gilead Sciences, Inc. | 566,153 | |
9,369 | HCA Healthcare, Inc. | 1,266,408 | |
2,021 | Hill-Rom Holdings, Inc. | 211,437 | |
36,442 | 1 | Hologic, Inc. | 1,749,945 |
45,894 | Johnson & Johnson | 6,392,116 | |
12,837 | McKesson Corp. | 1,725,164 | |
22,511 | Medtronic PLC | 2,192,346 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
22,455 | Merck & Co., Inc. | $1,882,852 | |
5,690 | 1 | Mylan NV | 108,338 |
93,636 | Pfizer, Inc. | 4,056,311 | |
7,537 | Thermo Fisher Scientific, Inc. | 2,213,466 | |
3,696 | Universal Health Services, Inc., Class B | 481,921 | |
3,432 | West Pharmaceutical Services, Inc. | 429,515 | |
3,326 | Zimmer Biomet Holdings, Inc. | 391,603 | |
TOTAL | 38,764,737 | ||
Industrials—3.2% | |||
9,854 | 3M Co. | 1,708,092 | |
34,913 | ADT, Inc. | 213,668 | |
7,128 | Ametek, Inc. | 647,508 | |
18,684 | CSX Corp. | 1,445,581 | |
2,960 | Caterpillar, Inc. | 403,418 | |
4,813 | Cummins, Inc. | 824,660 | |
17,992 | Delta Air Lines, Inc. | 1,021,046 | |
7,826 | Dover Corp. | 784,165 | |
2,898 | Eaton Corp. PLC | 241,346 | |
23,942 | Emerson Electric Co. | 1,597,410 | |
152,914 | General Electric Co. | 1,605,597 | |
34,293 | 1 | HD Supply, Inc. | 1,381,322 |
14,085 | Honeywell International, Inc. | 2,459,100 | |
3,248 | Hubbell, Inc. | 423,539 | |
5,453 | 1 | IHS Markit Ltd. | 347,465 |
6,627 | Ingersoll-Rand PLC, Class A | 839,442 | |
2,413 | Lennox International, Inc. | 663,575 | |
9,223 | Masco Corp. | 361,911 | |
1,776 | Norfolk Southern Corp. | 354,010 | |
2,577 | Parker-Hannifin Corp. | 438,116 | |
1,042 | Pentair PLC | 38,762 | |
60 | Republic Services, Inc. | 5,198 | |
14,783 | Southwest Airlines Co. | 750,681 | |
2,845 | 1 | Teledyne Technologies, Inc. | 779,160 |
519 | Union Pacific Corp. | 87,768 | |
12,235 | 1 | United Continental Holdings, Inc. | 1,071,174 |
6,910 | United Technologies Corp. | 899,682 | |
10,833 | Waste Management, Inc. | 1,249,803 | |
TOTAL | 22,643,199 | ||
Information Technology—3.2% | |||
370 | 1 | Aspen Technology, Inc. | 45,984 |
2,929 | 1 | Autodesk, Inc. | 477,134 |
1,414 | Broadcom, Inc. | 407,034 | |
29,636 | Cisco Systems, Inc. | 1,621,978 | |
14,069 | 1 | Dell Technologies, Inc. | 714,705 |
1,955 | Hewlett-Packard Co. | 40,644 | |
5,022 | IBM Corp. | 692,534 | |
123,404 | Intel Corp. | 5,907,349 | |
8,225 | 1 | Keysight Technologies, Inc. | 738,687 |
8,702 | Marvell Technology Group Ltd. | 207,717 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Information Technology—continued | |||
12,550 | 1 | Micron Technology, Inc. | $484,305 |
11,662 | Microsoft Corp. | 1,562,242 | |
10,230 | Motorola, Inc. | 1,705,648 | |
9,063 | NXP Semiconductors NV | 884,639 | |
13,409 | National Instruments Corp. | 563,044 | |
34,098 | 1 | Nuance Communications, Inc. | 544,545 |
29,093 | Oracle Corp. | 1,657,428 | |
3,731 | 1 | Qorvo, Inc. | 248,522 |
21,896 | Qualcomm, Inc. | 1,665,629 | |
1,322 | Sabre Corp. | 29,348 | |
57,204 | Symantec Corp. | 1,244,759 | |
7,481 | Western Digital Corp. | 355,722 | |
9,058 | Xerox Corp. | 320,744 | |
TOTAL | 22,120,341 | ||
Materials—1.7% | |||
6,777 | Air Products & Chemicals, Inc. | 1,534,109 | |
8,909 | Ball Corp. | 623,541 | |
21,529 | 1 | Berry Global Group, Inc. | 1,132,210 |
16,089 | CF Industries Holdings, Inc. | 751,517 | |
14,761 | Celanese Corp. | 1,591,236 | |
9,696 | Corteva, Inc. | 286,711 | |
9,696 | Dow, Inc. | 478,110 | |
9,696 | DuPont de Nemours, Inc. | 727,879 | |
846 | Freeport-McMoRan, Inc. | 9,822 | |
22,579 | Huntsman Corp. | 461,515 | |
2,878 | Linde PLC | 577,902 | |
2,907 | LyondellBasell Investment LLC | 250,380 | |
33,066 | Mosaic Co./The | 827,642 | |
28,014 | Newmont Goldcorp Corp. | 1,077,698 | |
3,391 | RPM International, Inc. | 207,224 | |
65,324 | Valvoline, Inc. | 1,275,778 | |
6,626 | WestRock Co. | 241,650 | |
TOTAL | 12,054,924 | ||
Real Estate—2.0% | |||
30,990 | Apartment Investment & Management Co., Class A | 1,553,219 | |
894 | Avalonbay Communities, Inc. | 181,643 | |
71,108 | Brookfield Property REIT, Inc. | 1,343,230 | |
6,263 | 1 | CBRE Group, Inc. | 321,292 |
45,675 | 1 | Equity Commonwealth | 1,485,351 |
41,287 | HCP, Inc. | 1,320,358 | |
45,655 | Host Marriott Corp. | 831,834 | |
12,359 | Lamar Advertising Co. | 997,495 | |
74,248 | Medical PPTYS Trust, Inc. | 1,294,885 | |
1,602 | Retail Properties of America, Inc. | 18,840 | |
103,006 | SITE Centers Corp. | 1,363,799 | |
8,125 | Simon Property Group, Inc. | 1,298,050 | |
21,477 | Spirit Realty Capital, Inc. | 916,209 | |
10,487 | VEREIT, Inc. | 94,488 |
Shares, Principal Amount or Contracts | Value | ||
COMMON STOCKS—continued | |||
Real Estate—continued | |||
39,878 | Weingarten Realty Investors | $1,093,455 | |
TOTAL | 14,114,148 | ||
Utilities—2.6% | |||
100,034 | AES Corp. | 1,676,570 | |
7,207 | Ameren Corp. | 541,318 | |
26,646 | American Electric Power Co., Inc. | 2,345,114 | |
14,176 | CenterPoint Energy, Inc. | 405,859 | |
6,206 | DTE Energy Co. | 793,623 | |
16,560 | Dominion Energy, Inc. | 1,280,419 | |
48,744 | Exelon Corp. | 2,336,787 | |
35,940 | NRG Energy, Inc. | 1,262,213 | |
6,184 | NextEra Energy, Inc. | 1,266,854 | |
36,923 | OGE Energy Corp. | 1,571,443 | |
10,984 | 1 | P G & E Corp. | 251,753 |
16,929 | Pinnacle West Capital Corp. | 1,592,850 | |
28,799 | UGI Corp. | 1,538,155 | |
52,142 | Vistra Energy Corp. | 1,180,495 | |
TOTAL | 18,043,453 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $248,912,299) | 277,643,724 | ||
ADJUSTABLE RATE MORTGAGE—0.0% | |||
$6,984 | 2 | Federal National Mortgage Association ARM, 4.587%, 9/1/2037 (IDENTIFIED COST $7,034) | 7,337 |
ASSET-BACKED SECURITY—0.0% | |||
42,000 | PFS Financing Corp. 2016-BA, Class A, 1.870%, 10/15/2021 (IDENTIFIED COST $41,999) | 41,921 | |
COLLATERALIZED MORTGAGE OBLIGATIONS—1.2% | |||
1,335,000 | Banc of America Commercial Mortgage Trust 2016-UBS10, Class A4, 3.170%, 7/15/2049 | 1,379,057 | |
340,000 | Bank 2018-BN12, Class A4, 4.255%, 5/15/2061 | 380,027 | |
1,000,000 | 2 | Bank 2018-BN15, Class A4, 4.407% (12-month USLIBOR +0.000%), 11/15/2061 | 1,133,586 |
85,000 | Bank 2017-BN8, Class A4, 3.488%, 11/15/2050 | 89,874 | |
2,000,000 | Benchmark Mortgage Trust 2018-B1, Class A5, 3.666%, 1/15/2051 | 2,140,212 | |
1,195,000 | CD Commercial Mortgage Trust 2016-CD1, Class A4, 2.724%, 8/10/2049 | 1,202,382 | |
50,000 | Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048 | 51,917 | |
875,000 | Deutsche Bank Commercial Mortgage Trust 2016-C3, Class A5, 2.890%, 8/10/2049 | 890,875 | |
100,000 | JPMDB Commercial Mortgage Securities Trust 2016-C4, Class A3, 3.141%, 12/15/2049 | 103,218 | |
590,000 | UBS-Barclays Commercial Mortgage Trust 2013-C6, Class B, 3.875%, 4/10/2046 | 611,532 | |
105,000 | WF-RBS Commercial Mortgage Trust 2014-C25, Class B, 4.236%, 11/15/2047 | 110,158 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $7,904,913) | 8,092,838 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—0.1% | |||
790,000 | FREMF Mortgage Trust 2015-K49 REMIC, Class B, 3.847%, 10/25/2048 | 815,198 | |
143,807 | Federal Home Loan Mortgage Corp. REMIC, Series K504, Class A2, 2.566%, 9/25/2020 | 143,788 | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $891,614) | 958,986 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—19.4% | |||
Basic Industry - Chemicals—0.2% | |||
$200,000 | Albemarle Corp., 4.150%, 12/1/2024 | $211,391 | |
200,000 | Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044 | 214,779 | |
600,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | 634,097 | |
TOTAL | 1,060,267 | ||
Basic Industry - Metals & Mining—0.2% | |||
156,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 158,381 | |
650,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 682,674 | |
150,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.300%, 8/1/2032 | 153,078 | |
55,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.550%, 4/15/2026 | 57,156 | |
TOTAL | 1,051,289 | ||
Basic Industry - Paper—0.1% | |||
350,000 | International Paper Co., Sr. Unsecd. Note, 4.400%, 8/15/2047 | 341,517 | |
161,000 | International Paper Co., Sr. Unsecd. Note, 4.750%, 2/15/2022 | 170,025 | |
TOTAL | 511,542 | ||
Capital Goods - Aerospace & Defense—0.4% | |||
750,000 | Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027 | 775,221 | |
400,000 | Embraer Netherlands BV, Sr. Unsecd. Note, 5.050%, 6/15/2025 | 432,750 | |
50,000 | Embraer Overseas Ltd., Sr. Unsecd. Note, 144A, 5.696%, 9/16/2023 | 54,938 | |
160,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 162,864 | |
400,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 2.900%, 3/1/2025 | 411,555 | |
585,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 3.250%, 1/15/2028 | 600,767 | |
500,000 | Textron, Inc., Sr. Unsecd. Note, 3.650%, 3/15/2027 | 512,363 | |
20,000 | Textron, Inc., Sr. Unsecd. Note, 4.000%, 3/15/2026 | 21,020 | |
25,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 26,521 | |
TOTAL | 2,997,999 | ||
Capital Goods - Building Materials—0.1% | |||
110,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 111,315 | |
490,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 483,294 | |
40,000 | Masco Corp., Sr. Unsecd. Note, 4.375%, 4/1/2026 | 41,977 | |
165,000 | Masco Corp., Sr. Unsecd. Note, 4.500%, 5/15/2047 | 156,267 | |
TOTAL | 792,853 | ||
Capital Goods - Construction Machinery—0.2% | |||
770,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 769,107 | |
450,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 478,320 | |
TOTAL | 1,247,427 | ||
Capital Goods - Diversified Manufacturing—0.6% | |||
600,000 | Hutchison Whampoa International Ltd., Sr. Unsecd. Note, 144A, 4.625%, 1/13/2022 | 630,619 | |
750,000 | Lennox International, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2023 | 753,326 | |
700,000 | Parker-Hannifin Corp., Sr. Unsecd. Note, 3.250%, 3/1/2027 | 723,040 | |
500,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.800%, 12/15/2021 | 503,309 | |
800,000 | Siemens Financieringsmat, Sr. Unsecd. Note, 144A, 3.400%, 3/16/2027 | 836,593 | |
800,000 | Valmont Industries, Inc., 5.250%, 10/1/2054 | 796,666 | |
TOTAL | 4,243,553 | ||
Capital Goods - Packaging—0.1% | |||
600,000 | Packaging Corp. of America, Sr. Unsecd. Note, 3.650%, 9/15/2024 | 621,871 | |
360,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 4.000%, 3/15/2028 | 373,960 | |
TOTAL | 995,831 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Communications - Cable & Satellite—0.5% | |||
$400,000 | CCO Safari II LLC, 4.908%, 7/23/2025 | $434,362 | |
250,000 | CCO Safari II LLC, 6.484%, 10/23/2045 | 294,713 | |
1,600,000 | Comcast Corp., Sr. Unsecd. Note, 3.150%, 2/15/2028 | 1,643,115 | |
350,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 364,351 | |
600,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 647,460 | |
300,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 314,846 | |
TOTAL | 3,698,847 | ||
Communications - Media & Entertainment—0.4% | |||
600,000 | British Sky Broadcasting Group PLC, 144A, 3.750%, 9/16/2024 | 637,672 | |
600,000 | Discovery Communications LLC, Sr. Unsecd. Note, 3.950%, 3/20/2028 | 618,921 | |
250,000 | Discovery Communications LLC, Sr. Unsecd. Note, 4.900%, 3/11/2026 | 273,936 | |
135,000 | Fox Corp, Sr. Unsecd. Note, 144A, 4.709%, 1/25/2029 | 150,726 | |
180,000 | Fox Corp, Sr. Unsecd. Note, 144A, 5.576%, 1/25/2049 | 219,725 | |
500,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 5/13/2045 | 507,006 | |
100,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.600%, 4/15/2026 | 102,342 | |
600,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 3.625%, 5/1/2022 | 619,940 | |
TOTAL | 3,130,268 | ||
Communications - Telecom Wireless—0.3% | |||
300,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 330,346 | |
350,000 | Bell Canada, Sr. Unsecd. Note, 4.464%, 4/1/2048 | 383,406 | |
450,000 | Crown Castle International Corp., Sr. Unsecd. Note, 3.800%, 2/15/2028 | 467,530 | |
500,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 532,994 | |
280,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | 310,044 | |
TOTAL | 2,024,320 | ||
Communications - Telecom Wirelines—0.6% | |||
800,000 | AT&T, Inc., Sr. Unsecd. Note, 3.200%, 3/1/2022 | 817,273 | |
800,000 | AT&T, Inc., Sr. Unsecd. Note, 4.800%, 6/15/2044 | 845,334 | |
800,000 | Deutsche Telekom International Finance BV, Sr. Unsecd. Note, 144A, 3.600%, 1/19/2027 | 820,517 | |
580,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.213%, 3/8/2047 | 639,715 | |
350,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 365,506 | |
534,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.672%, 3/15/2055 | 604,949 | |
125,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 5.150%, 9/15/2023 | 139,616 | |
TOTAL | 4,232,910 | ||
Consumer Cyclical - Automotive—0.6% | |||
150,000 | American Honda Finance Corp., Unsecd. Deb., Series MTN, 2.250%, 8/15/2019 | 149,899 | |
200,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 2.850%, 1/6/2022 | 201,075 | |
500,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 3.350%, 2/22/2023 | 511,986 | |
200,000 | Fiat Chrysler Automobiles NV, Sr. Unsecd. Note, 5.250%, 4/15/2023 | 211,754 | |
350,000 | General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045 | 336,992 | |
400,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.000%, 10/6/2026 | 403,675 | |
600,000 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 2.650%, 7/13/2022 | 598,358 | |
720,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series GMTN, 2.700%, 1/11/2023 | 732,328 | |
200,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/12/2021 | 206,436 | |
600,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.250%, 11/13/2023 | 631,772 | |
TOTAL | 3,984,275 | ||
Consumer Cyclical - Retailers—0.5% | |||
589,000 | Advance Auto Parts, Inc., 4.500%, 12/1/2023 | 632,137 | |
310,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 326,997 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Retailers—continued | |||
$550,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | $585,861 | |
540,000 | Dollar General Corp., Sr. Unsecd. Note, 3.875%, 4/15/2027 | 561,146 | |
600,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | 622,770 | |
500,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.800%, 9/14/2027 | 507,375 | |
40,000 | O'Reilly Automotive, Inc., Sr. Unsecd. Note, 3.550%, 3/15/2026 | 41,261 | |
TOTAL | 3,277,547 | ||
Consumer Cyclical - Services—0.6% | |||
800,000 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 3.600%, 11/28/2024 | 834,649 | |
400,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 420,645 | |
400,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.875%, 8/22/2037 | 441,580 | |
800,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 852,184 | |
400,000 | Expedia Group, Inc., Sr. Unsecd. Note, 3.800%, 2/15/2028 | 407,331 | |
400,000 | IHS Markit Ltd., Sr. Unsecd. Note, 4.750%, 8/1/2028 | 437,468 | |
480,000 | Visa, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2027 | 489,751 | |
200,000 | Visa, Inc., Sr. Unsecd. Note, 2.800%, 12/14/2022 | 204,849 | |
30,000 | Visa, Inc., Sr. Unsecd. Note, 3.150%, 12/14/2025 | 31,478 | |
TOTAL | 4,119,935 | ||
Consumer Non-Cyclical - Food/Beverage—1.3% | |||
900,000 | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 1,001,848 | |
165,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 2/1/2046 | 182,886 | |
835,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.439%, 10/6/2048 | 877,734 | |
485,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028 | 541,866 | |
200,000 | Danone SA, Sr. Unsecd. Note, 144A, 2.589%, 11/2/2023 | 201,149 | |
600,000 | Danone SA, Sr. Unsecd. Note, 144A, 2.947%, 11/2/2026 | 599,119 | |
500,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 500,875 | |
200,000 | General Mills, Inc., Sr. Unsecd. Note, 3.700%, 10/17/2023 | 209,733 | |
150,000 | General Mills, Inc., Sr. Unsecd. Note, 4.550%, 4/17/2038 | 159,836 | |
280,000 | General Mills, Inc., Sr. Unsecd. Note, 4.700%, 4/17/2048 | 302,221 | |
500,000 | Grupo Bimbo S.A.B. de CV, 144A, 4.875%, 6/27/2044 | 526,043 | |
200,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | 206,744 | |
690,000 | Heineken NV, Sr. Unsecd. Note, 144A, 3.500%, 1/29/2028 | 717,213 | |
220,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 235,839 | |
500,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.950%, 7/15/2025 | 520,537 | |
140,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 133,107 | |
650,000 | Molson Coors Brewing Co., Sr. Unsecd. Note, 2.100%, 7/15/2021 | 646,288 | |
800,000 | PepsiCo, Inc., Sr. Unsecd. Note, 3.000%, 10/15/2027 | 833,768 | |
495,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.550%, 6/2/2027 | 513,223 | |
400,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 4.550%, 6/2/2047 | 418,556 | |
TOTAL | 9,328,585 | ||
Consumer Non-Cyclical - Health Care—0.1% | |||
200,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 3.875%, 7/15/2023 | 209,243 | |
392,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.700%, 6/6/2027 | 409,795 | |
200,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.669%, 6/6/2047 | 224,176 | |
79,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044 | 88,004 | |
10,000 | Stryker Corp., Sr. Unsecd. Note, 3.500%, 3/15/2026 | 10,468 | |
TOTAL | 941,686 | ||
Consumer Non-Cyclical - Pharmaceuticals—0.6% | |||
283,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 306,105 | |
190,000 | AstraZeneca PLC, Sr. Unsecd. Note, 2.375%, 6/12/2022 | 191,333 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Pharmaceuticals—continued | |||
$600,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027 | $613,679 | |
600,000 | Bayer US Finance LLC, Sr. Unsecd. Note, 144A, 3.375%, 10/8/2024 | 602,956 | |
150,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 3.400%, 7/26/2029 | 157,019 | |
110,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 4.250%, 10/26/2049 | 121,255 | |
500,000 | Celgene Corp., Sr. Unsecd. Note, 3.900%, 2/20/2028 | 535,999 | |
500,000 | Eli Lilly & Co., Sr. Unsecd. Note, 3.375%, 3/15/2029 | 532,729 | |
700,000 | Merck & Co., Inc., Sr. Unsecd. Note, 3.400%, 3/7/2029 | 745,841 | |
200,000 | Teva Pharmaceutical Finance Netherlands III BV, Sr. Unsecd. Note, 3.150%, 10/1/2026 | 156,000 | |
TOTAL | 3,962,916 | ||
Consumer Non-Cyclical - Products—0.1% | |||
70,000 | Newell Rubbermaid, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2026 | 69,603 | |
600,000 | Reckitt Benckiser Treasury Services PLC, Sr. Unsecd. Note, 144A, 3.000%, 6/26/2027 | 605,227 | |
TOTAL | 674,830 | ||
Consumer Non-Cyclical - Supermarkets—0.1% | |||
600,000 | Kroger Co., Sr. Unsecd. Note, 2.650%, 10/15/2026 | 578,600 | |
200,000 | Kroger Co., Sr. Unsecd. Note, 4.450%, 2/1/2047 | 195,398 | |
TOTAL | 773,998 | ||
Consumer Non-Cyclical - Tobacco—0.2% | |||
125,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.800%, 2/14/2029 | 134,937 | |
400,000 | Altria Group, Inc., Sr. Unsecd. Note, 5.950%, 2/14/2049 | 455,531 | |
350,000 | Bat Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047 | 324,840 | |
280,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 328,553 | |
TOTAL | 1,243,861 | ||
Energy - Independent—0.6% | |||
400,000 | Anadarko Petroleum Corp., Sr. Unsecd. Note, 3.450%, 7/15/2024 | 409,383 | |
300,000 | Anadarko Petroleum Corp., Sr. Unsecd. Note, 5.550%, 3/15/2026 | 337,304 | |
700,000 | Apache Corp., Sr. Unsecd. Note, 4.375%, 10/15/2028 | 731,786 | |
100,000 | Canadian Natural Resources Ltd., 3.900%, 2/1/2025 | 104,422 | |
550,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 3.800%, 4/15/2024 | 575,177 | |
250,000 | Cimarex Energy Co., Sr. Unsecd. Note, 3.900%, 5/15/2027 | 257,020 | |
430,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 456,746 | |
300,000 | EOG Resources, Inc., Sr. Unsecd. Note, 4.150%, 1/15/2026 | 326,817 | |
700,000 | Marathon Oil Corp., Sr. Unsecd. Note, 3.850%, 6/1/2025 | 725,928 | |
TOTAL | 3,924,583 | ||
Energy - Integrated—0.5% | |||
600,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 2.520%, 9/19/2022 | 604,781 | |
110,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.119%, 5/4/2026 | 112,145 | |
300,000 | BP Capital Markets PLC, Sr. Unsecd. Note, 3.062%, 3/17/2022 | 306,935 | |
300,000 | Husky Energy, Inc., 4.000%, 4/15/2024 | 315,912 | |
290,000 | Husky Energy, Inc., Sr. Unsecd. Note, 4.400%, 4/15/2029 | 307,746 | |
500,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 4.625%, 9/21/2023 | 490,000 | |
75,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | 82,356 | |
500,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.125%, 5/11/2035 | 556,180 | |
500,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 3.600%, 12/1/2024 | 521,835 | |
TOTAL | 3,297,890 | ||
Energy - Midstream—0.6% | |||
115,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 120,071 | |
225,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.050%, 3/15/2025 | 234,653 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Energy - Midstream—continued | |||
$40,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | $42,960 | |
875,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 10Y, 4.950%, 6/15/2028 | 957,032 | |
70,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.950%, 2/15/2027 | 75,028 | |
450,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.250%, 2/15/2048 | 466,285 | |
200,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 241,820 | |
450,000 | Kinder Morgan, Inc., 5.050%, 2/15/2046 | 491,319 | |
240,000 | MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027 | 251,344 | |
335,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 354,324 | |
120,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 122,630 | |
490,000 | Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045 | 516,848 | |
TOTAL | 3,874,314 | ||
Energy - Refining—0.2% | |||
600,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 3.625%, 9/15/2024 | 622,448 | |
220,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 246,376 | |
600,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.900%, 3/15/2045 | 661,382 | |
TOTAL | 1,530,206 | ||
Financial Institution - Banking—3.3% | |||
600,000 | American Express Credit Corp., Sr. Unsecd. Note, Series MTN, 3.300%, 5/3/2027 | 629,895 | |
400,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 418,995 | |
495,000 | BB&T Corp., Sr. Unsecd. Note, Series MTN, 2.750%, 4/1/2022 | 501,022 | |
250,000 | BB&T Corp., Sr. Unsecd. Note, Series MTN, 3.750%, 12/6/2023 | 263,915 | |
1,850,000 | Bank of America Corp., Sr. Unsecd. Note, 3.419%, 12/20/2028 | 1,906,686 | |
250,000 | Bank of America Corp., Sr. Unsecd. Note, 3.705%, 4/24/2028 | 262,774 | |
50,000 | 2 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.968% (3-month USLIBOR +0.650%), 10/1/2021 | 50,141 |
1,200,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.124%, 1/20/2023 | 1,219,446 | |
150,000 | Bank of America Corp., Sub. Note, 6.500%, 9/15/2037 | 186,685 | |
50,000 | Bank of America Corp., Sub. Note, Series L, 3.950%, 4/21/2025 | 52,436 | |
300,000 | Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025 | 315,593 | |
800,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.200%, 8/16/2023 | 796,073 | |
200,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.661%, 5/16/2023 | 201,686 | |
500,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.050%, 3/9/2022 | 507,816 | |
125,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 131,330 | |
580,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.352%, 4/24/2025 | 599,275 | |
570,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 590,344 | |
900,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.668%, 7/24/2028 | 939,581 | |
250,000 | Citizens Bank NA, Sr. Unsecd. Note, Series BKNT, 3.750%, 2/18/2026 | 263,238 | |
30,000 | Comerica, Inc., 3.800%, 7/22/2026 | 31,248 | |
350,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 362,652 | |
800,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028 | 862,500 | |
1,300,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.876%, 10/31/2022 | 1,310,682 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 6.250%, 2/1/2041 | 671,029 | |
1,400,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.900%, 5/25/2026 | 1,466,245 | |
1,850,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.509%, 1/23/2029 | 1,927,342 | |
650,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 4.500%, 1/24/2022 | 684,945 | |
850,000 | JPMorgan Chase & Co., Sub. Note, 3.375%, 5/1/2023 | 874,198 | |
210,000 | M&T Bank Corp., Sr. Unsecd. Note, 3.550%, 7/26/2023 | 220,206 | |
500,000 | Manufacturers & Traders Trust Co., Sr. Unsecd. Note, Series BKNT, 2.500%, 5/18/2022 | 502,923 | |
950,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.772%, 1/24/2029 | 1,001,703 | |
250,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 6.250%, 8/9/2026 | 300,099 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$275,000 | Morgan Stanley, Sub. Note, Series MTN, 4.100%, 5/22/2023 | $289,568 | |
400,000 | PNC Bank N.A., Sr. Unsecd. Note, Series BKNT, 3.250%, 1/22/2028 | 417,603 | |
250,000 | Regions Financial Corp., Sr. Unsecd. Note, 3.200%, 2/8/2021 | 252,741 | |
600,000 | SunTrust Bank, Inc., Sr. Unsecd. Note, Series BKNT, 3.000%, 2/2/2023 | 612,230 | |
60,000 | SunTrust Bank, Inc., Sr. Unsecd. Note, 2.900%, 3/3/2021 | 60,531 | |
300,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 303,453 | |
50,000 | 2 | Wells Fargo & Co., Sr. Unsecd. Note, 3.812% (3-month USLIBOR +1.230%), 10/31/2023 | 50,974 |
1,300,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 1,358,983 | |
TOTAL | 23,398,786 | ||
Financial Institution - Broker/Asset Mgr/Exchange—0.1% | |||
40,000 | Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026 | 41,737 | |
165,000 | Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028 | 181,108 | |
200,000 | TD Ameritrade Holding Corp., Sr. Unsecd. Note, 3.300%, 4/1/2027 | 206,443 | |
TOTAL | 429,288 | ||
Financial Institution - Finance Companies—0.3% | |||
750,000 | Discover Bank, Sr. Unsecd. Note, Series BKNT, 4.650%, 9/13/2028 | 820,822 | |
1,100,000 | GE Capital International Funding, Inc., Sr. Unsecd. Note, 4.418%, 11/15/2035 | 1,086,590 | |
TOTAL | 1,907,412 | ||
Financial Institution - Insurance - Health—0.3% | |||
600,000 | Halfmoon Parent, Inc., Sec. Fac. Bond, 144A, 4.125%, 11/15/2025 | 637,717 | |
350,000 | Halfmoon Parent, Inc., Sr. Unsecd. Note, 144A, 3.750%, 7/15/2023 | 364,449 | |
800,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 2.950%, 10/15/2027 | 813,926 | |
TOTAL | 1,816,092 | ||
Financial Institution - Insurance - Life—0.7% | |||
500,000 | AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029 | 522,349 | |
800,000 | Aflac, Inc., Sr. Unsecd. Note, 3.625%, 6/15/2023 | 839,447 | |
800,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 847,757 | |
400,000 | American International Group, Inc., Sr. Unsecd. Note, 4.875%, 6/1/2022 | 428,887 | |
450,000 | Lincoln National Corp., Sr. Unsecd. Note, 3.625%, 12/12/2026 | 468,819 | |
350,000 | Lincoln National Corp., Sr. Unsecd. Note, 4.200%, 3/15/2022 | 366,364 | |
150,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077 | 175,279 | |
500,000 | MetLife, Inc., Sr. Unsecd. Note, 4.050%, 3/1/2045 | 537,402 | |
170,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 166,739 | |
700,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 4.600%, 5/15/2044 | 806,234 | |
TOTAL | 5,159,277 | ||
Financial Institution - Insurance - P&C—0.4% | |||
700,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.450%, 8/15/2027 | 710,777 | |
30,000 | Chubb INA Holdings, Inc., 3.350%, 5/3/2026 | 31,463 | |
490,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 4.400%, 3/15/2048 | 534,407 | |
640,000 | Liberty Mutual Group, Inc., 144A, 4.850%, 8/1/2044 | 702,847 | |
500,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 818,198 | |
TOTAL | 2,797,692 | ||
Financial Institution - REIT - Apartment—0.3% | |||
750,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 779,994 | |
750,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | 795,520 | |
200,000 | UDR, Inc., Series MTN, 3.750%, 7/1/2024 | 208,986 | |
550,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 563,757 | |
TOTAL | 2,348,257 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Healthcare—0.3% | |||
$300,000 | Health Care REIT, Inc., Sr. Unsecd. Note, 4.950%, 1/15/2021 | $309,581 | |
750,000 | Healthcare Trust of America, Sr. Unsecd. Note, 3.750%, 7/1/2027 | 773,348 | |
600,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 605,173 | |
450,000 | Welltower, Inc., Sr. Unsecd. Note, 4.250%, 4/1/2026 | 479,769 | |
TOTAL | 2,167,871 | ||
Financial Institution - REIT - Office—0.2% | |||
350,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.900%, 6/15/2023 | 367,215 | |
400,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2028 | 420,833 | |
750,000 | Boston Properties LP, Sr. Unsecd. Note, 3.650%, 2/1/2026 | 780,568 | |
TOTAL | 1,568,616 | ||
Financial Institution - REIT - Other—0.3% | |||
820,000 | Liberty Property LP, Sr. Unsecd. Note, 3.750%, 4/1/2025 | 852,317 | |
650,000 | ProLogis LP, Sr. Unsecd. Note, 4.250%, 8/15/2023 | 695,069 | |
295,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | 299,088 | |
250,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 263,966 | |
TOTAL | 2,110,440 | ||
Financial Institution - REIT - Retail—0.3% | |||
740,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.800%, 4/1/2027 | 769,691 | |
700,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 748,403 | |
750,000 | Tanger Properties LP, Sr. Unsecd. Note, 3.125%, 9/1/2026 | 715,653 | |
TOTAL | 2,233,747 | ||
Technology—1.1% | |||
600,000 | Apple, Inc., Sr. Unsecd. Note, 2.400%, 5/3/2023 | 606,038 | |
350,000 | Apple, Inc., Sr. Unsecd. Note, 2.500%, 2/9/2022 | 354,054 | |
900,000 | Apple, Inc., Sr. Unsecd. Note, 2.900%, 9/12/2027 | 921,354 | |
75,000 | Autodesk, Inc., Sr. Unsecd. Note, 4.375%, 6/15/2025 | 79,768 | |
600,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/15/2024 | 603,575 | |
350,000 | Cisco Systems, Inc., 3.625%, 3/4/2024 | 373,530 | |
270,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, 144A, 4.420%, 6/15/2021 | 278,148 | |
260,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, 144A, 6.020%, 6/15/2026 | 286,948 | |
725,000 | Equifax, Inc., Sr. Unsecd. Note, 2.300%, 6/1/2021 | 720,840 | |
200,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 216,887 | |
145,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.750%, 5/21/2029 | 154,087 | |
185,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 190,102 | |
380,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023 | 400,320 | |
245,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 261,016 | |
200,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.640%, 2/6/2024 | 208,589 | |
200,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.975%, 2/6/2026 | 211,119 | |
600,000 | Microsoft Corp., Sr. Unsecd. Note, 3.125%, 11/3/2025 | 631,761 | |
245,000 | Microsoft Corp., Sr. Unsecd. Note, 4.000%, 2/12/2055 | 275,440 | |
600,000 | Oracle Corp., Sr. Unsecd. Note, 3.250%, 11/15/2027 | 628,529 | |
20,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 21,984 | |
200,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 215,164 | |
25,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 5.500%, 6/15/2045 | 29,339 | |
TOTAL | 7,668,592 | ||
Transportation - Railroads—0.1% | |||
175,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 3.000%, 4/1/2025 | 180,135 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Transportation - Railroads—continued | |||
$750,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.125%, 6/1/2026 | $735,754 | |
TOTAL | 915,889 | ||
Transportation - Services—0.3% | |||
400,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 3.300%, 10/15/2022 | 410,765 | |
280,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 4.500%, 2/15/2045 | 295,898 | |
500,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 2.700%, 3/14/2023 | 499,964 | |
250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.375%, 2/1/2022 | 254,879 | |
500,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.400%, 3/1/2023 | 513,864 | |
250,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.450%, 11/15/2021 | 255,467 | |
TOTAL | 2,230,837 | ||
Utility - Electric—1.3% | |||
600,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 3.200%, 11/13/2027 | 612,502 | |
400,000 | Avangrid, Inc., Sr. Unsecd. Note, 3.800%, 6/1/2029 | 419,169 | |
300,000 | Berkshire Hathaway Energy Co., Sr. Unsecd. Note, 3.750%, 11/15/2023 | 316,713 | |
165,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 166,341 | |
205,000 | Dominion Energy, Inc., Sr. Unsecd. Note, 4.250%, 6/1/2028 | 223,204 | |
900,000 | Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026 | 889,773 | |
200,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 206,185 | |
375,000 | Electricite de France SA, Jr. Sub. Note, 144A, 5.625%, 7/22/2067 | 385,581 | |
400,000 | Emera US Finance LP, Sr. Unsecd. Note, 3.550%, 6/15/2026 | 409,594 | |
400,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 431,479 | |
470,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.625%, 9/14/2025 | 504,647 | |
200,000 | Enel Finance International SA, Company Guarantee, 144A, 6.000%, 10/7/2039 | 237,353 | |
70,000 | EverSource Energy, Sr. Unsecd. Note, 3.350%, 3/15/2026 | 71,565 | |
500,000 | EverSource Energy, Sr. Unsecd. Note, Series N, 3.800%, 12/1/2023 | 527,693 | |
320,000 | Exelon Corp., Sr. Unsecd. Note, 3.400%, 4/15/2026 | 328,702 | |
50,000 | Exelon Generation Co. LLC, Sr. Unsecd. Note, 4.250%, 6/15/2022 | 52,355 | |
160,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 175,038 | |
93,000 | Fortis, Inc. / Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 92,358 | |
20,000 | Indiana Michigan Power Co., Sr. Unsecd. Note, Series K, 4.550%, 3/15/2046 | 22,495 | |
490,000 | Kansas City Power And Light Co., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 536,712 | |
200,000 | Mississippi Power Co., Sr. Unsecd. Note, 3.950%, 3/30/2028 | 210,085 | |
50,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 51,040 | |
110,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 2.950%, 2/7/2024 | 112,859 | |
25,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.700%, 9/15/2019 | 25,000 | |
700,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.625%, 6/15/2023 | 727,840 | |
65,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 69,541 | |
300,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 3.100%, 5/15/2026 | 299,542 | |
1,000,000 | Southern Co., Sr. Unsecd. Note, 3.250%, 7/1/2026 | 1,016,019 | |
140,000 | Virginia Electric & Power Co., Sr. Unsecd. Note, Series A, 3.500%, 3/15/2027 | 147,571 | |
TOTAL | 9,268,956 | ||
Utility - Natural Gas—0.4% | |||
200,000 | Atmos Energy Corp., Sr. Unsecd. Note, 3.000%, 6/15/2027 | 203,538 | |
700,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | 818,061 | |
750,000 | Sempra Energy, Sr. Unsecd. Note, 3.400%, 2/1/2028 | 748,459 | |
120,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 125,890 |
Shares, Principal Amount or Contracts | Value | ||
CORPORATE BONDS—continued | |||
Utility - Natural Gas—continued | |||
$690,000 | TransCanada PipeLines Ltd., Sr. Secd. Note, 5.100%, 3/15/2049 | $799,763 | |
TOTAL | 2,695,711 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $128,586,815) | 135,639,195 | ||
MORTGAGE-BACKED SECURITIES—0.0% | |||
31,679 | Federal National Mortgage Association, Pool AO8829, 3.500%, 7/1/2042 | 32,784 | |
7,132 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 8,093 | |
4,150 | Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031 | 4,755 | |
11,725 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 13,338 | |
14,091 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 16,084 | |
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $70,400) | 75,054 | ||
PURCHASED PUT OPTIONS—0.1% | |||
7,200 | SPDR S&P 500 ETF Trust, Notional Amount $210,960,000, Exercise Price $275.00, Expiration Date: 7/19/2019 | 342,000 | |
7,500 | SPDR S&P 500 ETF Trust, Notional Amount $219,750,000, Exercise Price $275.00, Expiration Date: 7/5/2019 | 71,250 | |
2,400 | SPDR S&P 500 ETF Trust, Notional Amount $70,320,000, Exercise Price $245.00, Expiration Date: 12/20/2019 | 530,400 | |
TOTAL PURCHASED PUT OPTIONS (IDENTIFIED COST $1,787,550) | 943,650 | ||
U.S. TREASURIES—12.4% | |||
$10,600,000 | United States Treasury Bond, 2.750%, 8/15/2047 | 11,052,597 | |
20,000 | United States Treasury Bond, 2.750%, 11/15/2047 | 20,854 | |
1,000 | United States Treasury Bond, 3.000%, 11/15/2044 | 1,092 | |
3,000,000 | United States Treasury Bond, 3.000%, 2/15/2049 | 3,291,289 | |
2,000,000 | United States Treasury Bond, 3.125%, 5/15/2048 | 2,241,734 | |
2,400,000 | United States Treasury Note, 1.625%, 2/15/2026 | 2,364,750 | |
7,000,000 | United States Treasury Note, 1.875%, 12/31/2019 | 6,991,633 | |
8,250,000 | United States Treasury Note, 1.875%, 1/31/2022 | 8,276,291 | |
1,000,000 | United States Treasury Note, 2.000%, 10/31/2022 | 1,008,547 | |
2,650,000 | United States Treasury Note, 2.000%, 11/15/2026 | 2,670,041 | |
2,020,000 | United States Treasury Note, 2.125%, 5/31/2021 | 2,033,288 | |
2,300,000 | United States Treasury Note, 2.125%, 11/30/2024 | 2,339,226 | |
50,000 | United States Treasury Note, 2.250%, 11/15/2027 | 51,163 | |
5,700,000 | United States Treasury Note, 2.500%, 6/30/2020 | 5,729,123 | |
2,000,000 | United States Treasury Note, 2.500%, 1/31/2021 | 2,020,625 | |
11,500,000 | United States Treasury Note, 2.500%, 2/28/2021 | 11,627,091 | |
3,500,000 | United States Treasury Note, 2.500%, 2/15/2022 | 3,567,840 | |
4,000,000 | United States Treasury Note, 2.625%, 7/15/2021 | 4,068,157 | |
3,000,000 | United States Treasury Note, 2.750%, 6/30/2025 | 3,157,219 | |
40,000 | United States Treasury Note, 2.875%, 5/31/2025 | 42,350 | |
1,200,000 | United States Treasury Note, 2.875%, 5/15/2028 | 1,288,048 | |
2,000,000 | United States Treasury Note, 3.125%, 11/15/2028 | 2,192,842 | |
10,700,000 | United States Treasury Note, 3.625%, 2/15/2021 | 11,005,161 | |
3,273 | U.S. Treasury Inflation-Protected Note, 0.125%, 4/15/2020 | 3,239 | |
10,783 | U.S. Treasury Inflation-Protected Note, 1.000%, 2/15/2046 | 11,314 | |
TOTAL U.S. TREASURIES (IDENTIFIED COST $83,653,982) | 87,055,514 |
Shares, Principal Amount or Contracts | Value | ||
FOREIGN GOVERNMENTS/AGENCIES—0.2% | |||
Sovereign—0.2% | |||
$600,000 | Colombia, Government of, Sr. Unsecd. Note, 4.500%, 3/15/2029 | $655,200 | |
600,000 | Mexico, Government of, 3.750%, 1/11/2028 | 611,250 | |
200,000 | Poland, Government of, 4.000%, 1/22/2024 | 215,194 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $1,434,800) | 1,481,644 | ||
INVESTMENT COMPANIES—20.9% | |||
1,271,043 | Emerging Markets Core Fund | 12,608,748 | |
767,345 | Federated Bank Loan Core Fund | 7,543,003 | |
3,177,700 | Federated High Income Bond Fund II, Class P | 19,924,176 | |
8,953,718 | Federated Mortgage Core Portfolio | 88,104,584 | |
1,995,694 | Federated Project and Trade Finance Core Fund | 18,001,162 | |
1,024 | Federated U.S. Gov't Securities Fund 2-5 Years, Institutional Shares | 11,183 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $142,738,388) | 146,192,856 | ||
REPURCHASE AGREEMENT—3.0% | |||
$20,726,000 | Interest in $590,000,000 joint repurchase agreement 2.51%, dated 6/28/2019 under which Bank of America, N.A. will repurchase securities provided as collateral for $590,123,408 on 7/1/2019. 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 6/20/2044 and the market value of those underlying securities was $601,925,877. (IDENTIFIED COST $20,726,000) | 20,726,000 | |
TOTAL INVESTMENT IN SECURITIES—96.9% (IDENTIFIED COST $636,755,794)3 | 678,858,719 | ||
OTHER ASSETS AND LIABILITIES - NET—3.1%4 | 21,659,162 | ||
TOTAL NET ASSETS—100% | $700,517,881 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
1S&P 500 Index Long Futures | 405 | $298,100,250 | September 2019 | $5,271,776 |
1United States Treasury Notes 2-Year Long Futures | 150 | $32,276,953 | September 2019 | $250,444 |
1United States Treasury Notes 5-Year Long Futures | 200 | $23,631,250 | September 2019 | $410,487 |
1United States Treasury Notes 10-Year Ultra Short Futures | 80 | $11,050,000 | September 2019 | $(360,893) |
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS | $5,571,814 |
Description | Contracts | Notional Amount | Expiration Date | Exercise Price | Value |
1SPDR S&P 500 ETF Trust (Put Option) | 2,400 | $70,320,000 | December 2019 | $220.00 | $(217,200) |
1SPDR S&P 500 ETF Trust (Put Option) | 7,200 | $210,960,000 | July 2019 | $265.00 | $(147,600) |
1SPDR S&P 500 ETF Trust (Put Option) | 7,500 | $219,750,000 | July 2019 | $265.00 | $(26,250) |
(PREMIUMS RECEIVED $694,704) | $(391,050) |
Affiliates | Balance of Shares Held 12/31/2018 | Purchases/ Additions | Sales/ Reductions | Balance of Shares Held 6/30/2019 | Value | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Dividend Income |
Emerging Markets Core Fund | 1,696,947 | 182,941 | (608,845) | 1,271,043 | $12,608,748 | $1,188,093 | $(133,654) | $423,412 |
Federated Bank Loan Core Fund | 769,550 | 23,150 | (25,355) | 767,345 | $7,543,003 | $160,282 | $(6,592) | $228,498 |
Federated High Income Bond Fund II, Class P | 3,835,070 | 573,802 | (1,231,172) | 3,177,700 | $19,924,176 | $827,552 | $(4,412) | $1,522,163 |
Federated Mortgage Core Portfolio | 11,473,149 | 169,527 | (2,688,958) | 8,953,718 | $88,104,584 | $2,200,810 | $113,925 | $1,647,939 |
Federated Project and Trade Finance Core Fund | 2,226,116 | 46,005 | (276,427) | 1,995,694 | $18,001,162 | $123,329 | $(206,218) | $416,157 |
Federated U.S. Government Securities Fund: 2-5 Years, Institutional Shares | 1,012 | 12 | — | 1,024 | $11,183 | $275 | $— | $104 |
TOTAL OF AFFILIATED TRANSACTIONS | 20,001,844 | 995,437 | (4,830,757) | 16,166,524 | $146,192,856 | $4,500,341 | $(236,951) | $4,238,273 |
1 | Non-income-producing security. |
2 | Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above. |
3 | The cost of investments for federal tax purposes amounts to $636,645,229. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | $267,653,430 | $— | $— | $267,653,430 |
International | 9,990,294 | — | — | 9,990,294 |
Debt Securities: | ||||
Adjustable Rate Mortgage | — | 7,337 | — | 7,337 |
Asset-Backed Security | — | 41,921 | — | 41,921 |
Collateralized Mortgage Obligations | — | 8,092,838 | — | 8,092,838 |
Commercial Mortgage-Backed Securities | — | 958,986 | — | 958,986 |
Corporate Bonds | — | 135,639,195 | — | 135,639,195 |
Mortgage-Backed Securities | — | 75,054 | — | 75,054 |
U.S. Treasuries | — | 87,055,514 | — | 87,055,514 |
Foreign Governments/Agencies | — | 1,481,644 | — | 1,481,644 |
Purchased Put Options | 943,650 | — | — | 943,650 |
Investment Companies1 | 128,191,694 | — | — | 146,192,856 |
Repurchase Agreement | — | 20,726,000 | — | 20,726,000 |
TOTAL SECURITIES | $406,779,068 | $254,078,489 | $— | $678,858,719 |
Other Financial Instruments | ||||
Assets | ||||
Futures Contracts | $5,932,707 | $— | $— | $5,932,707 |
Written Options Contracts | — | — | — | — |
Liabilities | ||||
Futures Contracts | (360,893) | — | — | (360,893) |
Written Options Contracts | (391,050) | — | — | (391,050) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $5,180,764 | $— | $— | $5,180,764 |
1 | As permitted by U.S. generally accepted accounting principles (GAAP), the Investment Company valued at $18,001,162 is measured at fair value using the net asset value (NAV) per share practical expedient and has not been categorized in the chart above but is included in the Total column. The amount included herein is intended to permit reconciliation of the fair value classifications to the amounts presented on the Statement of Assets and Liabilities. The price of shares redeemed of Federated Project and Trade Finance Core Fund may be determined as of the closing NAV of the fund up to twenty-four days after receipt of a shareholder redemption request. |
ARM | —Adjustable Rate Mortgage |
BKNT | —Bank Notes |
ETF | —Exchange-Traded Fund |
FREMF | —Freddie Mac Multifamily K-Deals |
GMTN | —Global Medium Term Note |
LIBOR | —London Interbank Offered Rate |
MTN | —Medium Term Note |
REIT | —Real Estate Investment Trust |
REMIC | —Real Estate Mortgage Investment Conduit |
SPDR | —Standard & Poor's Depositary Receipt |
Six Months Ended (unaudited) 6/30/2019 | Year Ended December 31 | |||||
2018 | 2017 | 2016 | 2015 | 2014 | ||
Net Asset Value, Beginning of Period | $9.60 | $10.80 | $9.52 | $9.29 | $10.54 | $11.30 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.13 | 0.23 | 0.29 | 0.34 | 0.44 | 0.54 |
Net realized and unrealized gain (loss) | 1.05 | (1.13) | 1.39 | 0.34 | (1.20) | (0.12) |
TOTAL FROM INVESTMENT OPERATIONS | 1.18 | (0.90) | 1.68 | 0.68 | (0.76) | 0.42 |
Less Distributions: | ||||||
Distributions from net investment income | (0.22) | (0.30) | (0.40) | (0.45) | (0.44) | (0.38) |
Distributions from net realized gain | — | — | — | — | (0.05) | (0.80) |
TOTAL DISTRIBUTIONS | (0.22) | (0.30) | (0.40) | (0.45) | (0.49) | (1.18) |
Net Asset Value, End of Period | $10.56 | $9.60 | $10.80 | $9.52 | $9.29 | $10.54 |
Total Return2 | 12.35% | (8.49)% | 18.11% | 7.69% | (7.64)% | 4.01% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.90%4 | 0.89% | 0.83% | 0.79%3 | 0.75%3 | 0.76% |
Net investment income | 2.57%4 | 2.26% | 2.91% | 3.72% | 4.38% | 4.99% |
Expense waiver/reimbursement5 | 0.02%4 | 0.03% | 0.09% | 0.14% | 0.16% | 0.15% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $656,366 | $632,957 | $621,804 | $563,745 | $631,701 | $652,011 |
Portfolio turnover | 19% | 96% | 71% | 90% | 97% | 54% |
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. Total returns for periods of less than one year are not annualized. |
3 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratios are 0.79% and 0.75% for the years ended December 31, 2016 and 2015, respectively, after taking into account these expense reductions. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Six Months Ended (unaudited) 6/30/2019 | Period Ended 12/31/20181 | |
Net Asset Value, Beginning of Period | $9.59 | $10.08 |
Income From Investment Operations: | ||
Net investment income (loss)2 | 0.12 | 0.13 |
Net realized and unrealized gain (loss) | 1.05 | (0.62) |
TOTAL FROM INVESTMENT OPERATIONS | 1.17 | (0.49) |
Less Distributions: | ||
Distributions from net investment income | (0.21) | — |
Net Asset Value, End of Period | $10.55 | $9.59 |
Total Return3 | 12.25% | (4.86)% |
Ratios to Average Net Assets: | ||
Net expenses4 | 1.15% | 1.15% |
Net investment income4 | 2.32% | 1.91% |
Expense waiver/reimbursement4 | 0.02% | 0.02% |
Supplemental Data: | ||
Net assets, end of period (000 omitted) | $44,152 | $44,037 |
Portfolio turnover | 19% | 96%5 |
1 | Reflects operations for the period from April 26, 2018 (date of initial investment) to December 31, 2018. |
2 | Per share numbers have been calculated using the average shares method. |
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. Total returns for periods of less than one year are not annualized. |
4 | Computed on an annualized basis. |
5 | Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended December 31, 2018. |
Assets: | ||
Investment in securities, at value including $146,192,856 of investment in affiliated holdings (identified cost $636,755,794) | $678,858,719 | |
Cash | 876 | |
Restricted cash (Note 2) | 12,811,300 | |
Income receivable | 2,500,859 | |
Income receivable from affiliated holdings | 410,278 | |
Receivable for investments sold | 10,863,271 | |
Receivable for shares sold | 10,467 | |
Receivable for daily variation margin on futures contracts | 1,023,764 | |
TOTAL ASSETS | 706,479,534 | |
Liabilities: | ||
Payable for investments purchased | $5,074,776 | |
Payable for shares redeemed | 354,712 | |
Written options outstanding (premium $694,704), at value | 391,050 | |
Payable for investment adviser fee (Note 5) | 42,011 | |
Payable for administrative fees (Note 5) | 5,576 | |
Payable for distribution services fee (Note 5) | 8,948 | |
Payable for portfolio accounting fees | 53,495 | |
Accrued expenses (Note 5) | 31,085 | |
TOTAL LIABILITIES | 5,961,653 | |
Net assets for 66,335,625 shares outstanding | $700,517,881 | |
Net Assets Consist of: | ||
Paid-in capital | $695,071,155 | |
Total distributable earnings | 5,446,726 | |
TOTAL NET ASSETS | $700,517,881 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
Net asset value per share ($656,366,177 ÷ 62,151,155 shares outstanding), no par value, unlimited shares authorized | $10.56 | |
Service Shares: | ||
Net asset value per share ($44,151,704 ÷ 4,184,470 shares outstanding), no par value, unlimited shares authorized | $10.55 |
Investment Income: | |||
Dividends (including $4,238,273 received from affiliated holdings* and net of foreign taxes withheld of $473) | $7,846,091 | ||
Interest | 4,170,993 | ||
TOTAL INCOME | 12,017,084 | ||
Expenses: | |||
Investment adviser fee (Note 5) | $2,599,642 | ||
Administrative fee (Note 5) | 338,054 | ||
Custodian fees | 30,223 | ||
Transfer agent fee | 26,778 | ||
Directors'/Trustees' fees (Note 5) | 3,216 | ||
Auditing fees | 17,143 | ||
Legal fees | 8,747 | ||
Portfolio accounting fees | 93,097 | ||
Distribution services fee (Note 5) | 55,265 | ||
Printing and postage | 55,878 | ||
Miscellaneous (Note 5) | 16,311 | ||
TOTAL EXPENSES | 3,244,354 | ||
Reimbursement: | |||
Reimbursement of investment adviser fee (Note 5) | (65,428) | ||
Net expenses | 3,178,926 | ||
Net investment income | 8,838,158 | ||
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Written Options and Foreign Currency Transactions: | |||
Net realized loss on investments (including net realized loss of $(236,951) on sale of investments in affiliated holdings*) | (6,463,135) | ||
Net realized loss on foreign currency transactions | (1,011) | ||
Net realized gain on futures contracts | 12,576,142 | ||
Net realized gain on written options | 1,686,722 | ||
Net change in unrealized depreciation of investments (including net change in unrealized depreciation of $4,500,341 on investments in affiliated fund holdings*) | 58,068,663 | ||
Net change in unrealized appreciation/depreciation of translation of assets and liabilities in foreign currency | 1,556 | ||
Net change in unrealized depreciation of futures contracts | 6,710,105 | ||
Net change in unrealized appreciation of written options | 117,657 | ||
Net realized and unrealized gain on investments, futures contracts, written options and foreign currency transactions | 72,696,699 | ||
Change in net assets resulting from operations | $81,534,857 |
* | See information listed after the Fund's Portfolio of Investments. |
Six Months Ended (unaudited) 6/30/2019 | Year Ended 12/31/2018 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $8,838,158 | $14,685,775 |
Net realized gain (loss) | 7,798,718 | (22,815,479) |
Net change in unrealized appreciation/depreciation | 64,897,981 | (56,815,881) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 81,534,857 | (64,945,585) |
Distributions to Shareholders: | ||
Primary Shares | (13,858,559) | (17,245,330) |
Service Shares | (900,138) | — |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (14,758,697) | (17,245,330) |
Share Transactions: | ||
Proceeds from sale of shares | 15,580,490 | 60,468,298 |
Proceeds from shares issued in connection with the tax-free transfer of assets from Federated Managed Tail Risk Fund II | — | 181,846,189 |
Net asset value of shares issued to shareholders in payment of distributions declared | 14,758,695 | 17,245,330 |
Cost of shares redeemed | (73,592,084) | (122,178,476) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (43,252,899) | 137,381,341 |
Change in net assets | 23,523,261 | 55,190,426 |
Net Assets: | ||
Beginning of period | 676,994,620 | 621,804,194 |
End of period | $700,517,881 | $676,994,620 |
Shares of the Fund Issued | Federated Managed Tail Risk Fund II Net Assets Received | Unrealized Appreciation1 | Net Assets of the Fund Immediately Prior to Combination | Net Assets of the Fund Immediately After Combination |
17,252,819 | $181,846,189 | $1,990,708 | $599,415,157 | $781,261,346 |
1 | Unrealized Appreciation is included in the Net Assets Received amount shown above. |
Net investment income* | $16,332,897 |
Net realized and unrealized loss on investments | $(82,276,859) |
Net decrease in net assets resulting from operations | $(65,943,962) |
* | Net investment income includes $133,000 of pro forma additional expenses. |
■ | 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 are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
■ | 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 | ||||
Asset | Liability | |||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||||
Interest rate contracts | Receivable for daily variation margin on futures contracts | $300,038* | $— | |
Equity contracts | Receivable for daily variation margin on futures contracts | $5,271,776* | $ — | |
Equity contracts | $— | Written option contracts outstanding, at value | $391,050 | |
Equity contracts | Purchased options, Investment in securities at value | $943,650 | $— | |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $6,515,464 | $391,050 |
* | Includes net cumulative appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day's variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||
Futures Contracts | Purchased Option Contracts1 | Written Option Contracts | Total | |
Interest rate contracts | $(354,279) | $— | $— | $(354,279) |
Equity contracts | $12,930,421 | $(4,329,387) | $1,686,722 | $10,287,756 |
TOTAL | $12,576,142 | $(4,329,387) | $1,686,722 | $$9,933,477 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||
Futures Contracts | Purchased Option Contracts2 | Written Option Contracts | Total | |
Interest rate contracts | $604,264 | $— | $— | $604,264 |
Equity contracts | $6,105,841 | $(248,475) | $117,657 | $5,975,023 |
TOTAL | $6,710,105 | $ (248,475) | $117,657 | $6,579,287 |
1 | The net realized loss on Purchased Option Contracts is found within the Net realized loss on investments on the Statement of Operations. |
2 | The net change in unrealized depreciation of Purchased Option Contracts is found within the Net change in unrealized depreciation of investments on the Statement of Operations. |
Six Months Ended 6/30/2019 | Year Ended 12/31/2018 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,480,227 | $14,989,794 | 5,736,527 | $59,498,677 |
Proceeds from shares issued in connection with the tax-free transfer of assets from Federated Managed Tail Risk Fund II | — | — | 12,384,634 | 130,535,314 |
Shares issued to shareholders in payment of distributions declared | 1,369,423 | 13,858,559 | 1,677,561 | 17,245,330 |
Shares redeemed | (6,658,476) | (67,941,344) | (11,423,916) | (118,377,677) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (3,808,826) | $(39,092,991) | 8,374,806 | $88,901,644 |
Six Months Ended 6/30/2019 | Period Ended 12/31/20181 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 58,491 | $590,696 | 95,335 | $969,621 |
Proceeds from shares issued in connection with the tax-free transfer of assets from Federated Managed Tail Risk Fund II | — | — | 4,868,185 | 51,310,875 |
Shares issued to shareholders in payment of distributions declared | 88,946 | 900,136 | – | – |
Shares redeemed | (554,995) | (5,650,740) | (371,492) | (3,800,799) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (407,558) | $(4,159,908) | 4,592,028 | $48,479,697 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (4,216,384) | $(43,252,899) | 12,966,834 | $137,381,341 |
1 | Reflects operations for the period from April 26, 2018 (date of initial investment) to December 31, 2018. |
Short-Term | Long-Term | Total |
$ 38,344,065 | $ 20,385,767 | $ 58,729,832 |
Administrative Fee | Average Daily Net Assetsof the Investment Complex |
0.100% | on assets up to $50 billion |
0.125% | on assets over $50 billion |
Percentage of Average Daily Net Assets of Class | |
Service Shares | 0.25% |
Distribution Services Fees Incurred | |
Service Shares | $55,265 |
Purchases | $103,124,777 |
Sales | $169,473,056 |
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,123.50 | $4.74 |
Service Shares | $1,000 | $1,122.50 | $6.05 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,020.30 | $4.51 |
Service Shares | $1,000 | $1,019.10 | $5.76 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Primary Shares | 0.90% |
Service Shares | 1.15% |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916744
2019 ©Federated Investors, Inc.
Type of Investments | Percentage of Total Net Assets |
U.S. Government Agency Mortgage-Backed Securities | 54.5% |
U.S. Treasury Securities | 28.3% |
U.S. Government Agency Securities | 8.5% |
U.S. Government Agency Commercial Mortgage-Backed Securities | 3.5% |
Repurchase Agreements | 2.6% |
Non-Agency Mortgage-Backed Securities | 1.8% |
Asset-Backed Securities | 0.4% |
Other Assets and Liabilities—Net2 | 0.4% |
TOTAL | 100.0% |
1 | See the Fund's Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests. |
2 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount | Value | ||
U.S. TREASURIES—28.3% | |||
U.S. Treasury Bonds—5.1% | |||
$500,000 | 2.250%, 8/15/2046 | $472,074 | |
1,500,000 | 2.750%, 8/15/2042 | 1,572,724 | |
1,200,000 | 2.875%, 8/15/2045 | 1,281,826 | |
775,000 | 2.875%, 5/15/2049 | 830,522 | |
650,000 | 3.125%, 8/15/2044 | 724,740 | |
1,000,000 | 4.375%, 11/15/2039 | 1,328,883 | |
TOTAL | 6,210,769 | ||
U.S. Treasury Notes—23.2% | |||
525,000 | 1.375%, 9/30/2023 | 517,129 | |
3,000,000 | 1.750%, 5/15/2022 | 3,001,175 | |
2,000,000 | 2.000%, 2/15/2023 | 2,018,938 | |
1,000,000 | 2.000%, 5/31/2024 | 1,011,820 | |
1,350,000 | 2.250%, 11/15/2027 | 1,381,392 | |
3,000,000 | 2.375%, 1/31/2023 | 3,066,797 | |
3,000,000 | 2.500%, 1/15/2022 | 3,055,926 | |
1,800,000 | 2.500%, 3/31/2023 | 1,850,189 | |
1,000,000 | 2.500%, 2/28/2026 | 1,040,016 | |
8,250,000 | 2.750%, 8/15/2021 | 8,418,652 | |
2,500,000 | 2.750%, 7/31/2023 | 2,599,199 | |
TOTAL | 27,961,233 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $32,900,087) | 34,172,002 | ||
ASSET-BACKED SECURITIES—0.4% | |||
Other—0.4% | |||
177,800 | Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 | 179,474 | |
170,604 | Sofi Consumer Loan Program Trust 2016-2, Class A, 3.090%, 10/27/2025 | 171,075 | |
130,192 | Sofi Consumer Loan Program Trust 2016-3, Class A, 3.050%, 12/26/2025 | 130,808 | |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $478,547) | 481,357 | ||
GOVERNMENT AGENCIES—8.5% | |||
Federal Farm Credit System—1.0% | |||
1,000,000 | 5.750%, 12/7/2028 | 1,280,859 | |
Federal Home Loan Bank System—3.9% | |||
3,150,000 | 2.625%, 5/28/2020 | 3,168,187 | |
1,100,000 | 7.125%, 2/15/2030 | 1,559,967 | |
TOTAL | 4,728,154 | ||
Federal Home Loan Mortgage Corporation—0.1% | |||
72,000 | 6.750%, 9/15/2029 | 101,676 | |
Tennessee Valley Authority Bonds—3.5% | |||
1,700,000 | 2.875%, 2/1/2027 | 1,778,528 | |
2,000,000 | 4.650%, 6/15/2035 | 2,434,309 | |
TOTAL | 4,212,837 | ||
TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST $8,980,888) | 10,323,526 | ||
MORTGAGE-BACKED SECURITIES—53.5% | |||
Federal Home Loan Mortgage Corporation—21.8% | |||
679,521 | 3.000%, 11/1/2045 | 691,989 | |
1,978,952 | 3.000%, 10/1/2046 | 2,007,840 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$774,179 | 3.000%, 10/1/2046 | $789,109 | |
141,407 | 3.000%, 11/1/2046 | 143,471 | |
1,628,410 | 3.500%, 7/1/2042 | 1,691,830 | |
1,385,488 | 3.500%, 9/1/2043 | 1,437,283 | |
360,789 | 3.500%, 5/1/2046 | 375,291 | |
1,070,485 | 3.500%, 7/1/2046 | 1,113,514 | |
2,951,340 | 3.500%, 11/1/2047 | 3,039,538 | |
2,422,379 | 4.000%, 12/1/2041 | 2,555,102 | |
270,454 | 4.000%, 1/1/2042 | 285,272 | |
1,814,695 | 4.000%, 3/1/2046 | 1,892,006 | |
746,803 | 4.000%, 11/1/2047 | 776,752 | |
355,301 | 4.000%, 12/1/2047 | 371,104 | |
459,539 | 4.000%, 4/1/2048 | 477,537 | |
2,379,708 | 4.000%, 7/1/2048 | 2,475,327 | |
22,335 | 4.500%, 10/1/2020 | 22,520 | |
394,305 | 4.500%, 8/1/2040 | 423,369 | |
848,152 | 4.500%, 12/1/2040 | 910,670 | |
1,223,875 | 4.500%, 4/1/2041 | 1,309,499 | |
278 | 5.000%, 7/1/2019 | 278 | |
20,724 | 5.000%, 2/1/2021 | 21,010 | |
415,576 | 5.000%, 1/1/2034 | 451,183 | |
126,402 | 5.000%, 5/1/2034 | 137,327 | |
107,863 | 5.000%, 4/1/2036 | 117,810 | |
29,483 | 5.000%, 5/1/2036 | 32,200 | |
22,978 | 5.000%, 6/1/2036 | 25,099 | |
210,891 | 5.000%, 6/1/2040 | 228,553 | |
7,414 | 5.500%, 12/1/2020 | 7,530 | |
709,669 | 5.500%, 5/1/2034 | 787,438 | |
14,181 | 5.500%, 12/1/2035 | 15,802 | |
157,123 | 5.500%, 2/1/2036 | 175,366 | |
56,911 | 5.500%, 5/1/2036 | 63,464 | |
11,225 | 5.500%, 5/1/2036 | 12,549 | |
15,384 | 5.500%, 5/1/2036 | 17,178 | |
5,642 | 5.500%, 6/1/2036 | 6,315 | |
3,146 | 5.500%, 6/1/2036 | 3,521 | |
115,793 | 5.500%, 11/1/2037 | 129,640 | |
212,967 | 5.500%, 1/1/2038 | 238,481 | |
227,810 | 5.500%, 3/1/2040 | 249,032 | |
5,514 | 6.000%, 1/1/2032 | 6,164 | |
6,201 | 6.000%, 1/1/2032 | 7,003 | |
31,605 | 6.000%, 2/1/2032 | 35,515 | |
132,146 | 6.000%, 4/1/2036 | 150,816 | |
35,452 | 6.000%, 5/1/2036 | 40,599 | |
231,675 | 6.000%, 6/1/2037 | 266,575 | |
28,115 | 6.000%, 7/1/2037 | 32,260 | |
18,647 | 6.500%, 6/1/2022 | 19,455 | |
1,228 | 6.500%, 5/1/2024 | 1,321 | |
9,152 | 6.500%, 3/1/2029 | 10,242 | |
3,384 | 6.500%, 6/1/2029 | 3,771 | |
3,508 | 6.500%, 7/1/2029 | 3,932 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal Home Loan Mortgage Corporation—continued | |||
$599 | 6.500%, 9/1/2029 | $667 | |
2,459 | 7.000%, 12/1/2029 | 2,807 | |
1,066 | 7.000%, 6/1/2030 | 1,206 | |
221 | 7.000%, 11/1/2030 | 253 | |
185,330 | 7.000%, 4/1/2032 | 215,967 | |
18,597 | 7.500%, 12/1/2030 | 21,586 | |
12,237 | 7.500%, 1/1/2031 | 14,170 | |
3,610 | 8.500%, 5/1/2030 | 4,207 | |
1,034 | 9.000%, 2/1/2025 | 1,136 | |
983 | 9.000%, 5/1/2025 | 1,091 | |
TOTAL | 26,349,542 | ||
Federal National Mortgage Association—21.3% | |||
1,401,998 | 3.000%, 10/1/2046 | 1,422,464 | |
2,043,736 | 3.000%, 11/1/2046 | 2,073,570 | |
282,716 | 3.000%, 11/1/2046 | 287,284 | |
178,063 | 3.000%, 1/1/2047 | 180,440 | |
1,374,875 | 3.000%, 1/1/2047 | 1,393,226 | |
78,526 | 3.000%, 2/1/2047 | 80,065 | |
942,374 | 3.000%, 2/1/2048 | 955,247 | |
491,116 | 3.000%, 2/1/2048 | 497,825 | |
2,963,128 | 3.500%, 9/1/2042 | 3,081,309 | |
1,823,155 | 3.500%, 8/1/2046 | 1,880,202 | |
1,542,550 | 3.500%, 9/1/2046 | 1,590,094 | |
2,446,808 | 3.500%, 12/1/2046 | 2,522,222 | |
1,669,580 | 3.500%, 12/1/2047 | 1,719,474 | |
884,529 | 3.500%, 1/1/2048 | 918,426 | |
450,077 | 4.000%, 2/1/2041 | 474,174 | |
1,191,390 | 4.000%, 12/1/2041 | 1,255,177 | |
947,602 | 4.000%, 4/1/2042 | 999,818 | |
763,346 | 4.000%, 2/1/2048 | 796,821 | |
451,869 | 4.000%, 2/1/2048 | 470,131 | |
850,956 | 4.000%, 2/1/2048 | 888,539 | |
5 | 4.500%, 12/1/2019 | 5 | |
389,704 | 4.500%, 10/1/2041 | 415,750 | |
315,114 | 5.000%, 7/1/2034 | 342,448 | |
38,967 | 5.000%, 11/1/2035 | 42,540 | |
26,282 | 5.500%, 11/1/2021 | 27,019 | |
141,093 | 5.500%, 9/1/2034 | 157,040 | |
73,325 | 5.500%, 1/1/2036 | 81,891 | |
94,529 | 5.500%, 4/1/2036 | 105,487 | |
22,967 | 6.000%, 8/1/2021 | 23,653 | |
4,052 | 6.000%, 7/1/2029 | 4,467 | |
2,318 | 6.000%, 5/1/2031 | 2,594 | |
10,583 | 6.000%, 5/1/2036 | 12,086 | |
203,036 | 6.000%, 7/1/2036 | 232,979 | |
6,528 | 6.000%, 7/1/2036 | 7,474 | |
56,412 | 6.000%, 9/1/2037 | 64,768 | |
88,342 | 6.000%, 11/1/2037 | 101,473 | |
48,517 | 6.000%, 12/1/2037 | 53,198 | |
136,135 | 6.000%, 3/1/2038 | 156,228 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—continued | |||
$1,896 | 6.500%, 6/1/2029 | $2,135 | |
2,400 | 6.500%, 6/1/2029 | 2,706 | |
682 | 6.500%, 6/1/2029 | 770 | |
285 | 6.500%, 7/1/2029 | 320 | |
471 | 6.500%, 7/1/2029 | 489 | |
243 | 6.500%, 7/1/2029 | 273 | |
3,625 | 6.500%, 7/1/2029 | 4,091 | |
28 | 6.500%, 7/1/2029 | 31 | |
330 | 6.500%, 7/1/2029 | 371 | |
260 | 6.500%, 8/1/2029 | 287 | |
4,379 | 6.500%, 9/1/2030 | 4,950 | |
28,885 | 6.500%, 6/1/2031 | 32,712 | |
23,248 | 6.500%, 4/1/2032 | 26,230 | |
1,992 | 7.000%, 2/1/2024 | 2,141 | |
3,692 | 7.000%, 10/1/2029 | 4,193 | |
13,432 | 7.000%, 10/1/2029 | 15,415 | |
4,439 | 7.000%, 11/1/2030 | 5,134 | |
98,429 | 7.000%, 4/1/2031 | 114,125 | |
90,283 | 7.000%, 4/1/2032 | 105,183 | |
2,144 | 7.500%, 8/1/2028 | 2,428 | |
264 | 7.500%, 9/1/2028 | 301 | |
3,840 | 7.500%, 2/1/2030 | 4,440 | |
1,831 | 8.000%, 7/1/2030 | 2,135 | |
TOTAL | 25,648,468 | ||
Government Agency—0.3% | |||
418,073 | FDIC Trust 2013-R2, Class A, 1.250%, 3/25/2033 | 414,534 | |
Government National Mortgage Association—10.1% | |||
2,860,214 | 3.000%, 11/20/2047 | 2,924,009 | |
3,957,648 | 3.500%, 1/20/2048 | 4,101,359 | |
1,246,453 | 3.500%, 2/20/2048 | 1,292,883 | |
613,266 | 4.500%, 6/20/2039 | 651,688 | |
547,634 | 4.500%, 10/15/2039 | 589,832 | |
708,780 | 4.500%, 8/20/2040 | 752,219 | |
348,888 | 5.000%, 7/15/2034 | 380,234 | |
24,889 | 6.000%, 4/15/2032 | 27,975 | |
47,815 | 6.000%, 5/15/2032 | 54,090 | |
79,640 | 6.000%, 4/15/2036 | 90,976 | |
232,524 | 6.000%, 5/15/2036 | 265,241 | |
214,028 | 6.000%, 5/15/2036 | 244,319 | |
44,305 | 6.000%, 7/20/2036 | 50,472 | |
42,474 | 6.000%, 5/20/2037 | 48,511 | |
242,589 | 6.000%, 7/20/2038 | 276,482 | |
5,319 | 6.500%, 12/15/2023 | 5,648 | |
9,635 | 6.500%, 5/15/2024 | 10,280 | |
2,880 | 6.500%, 6/15/2029 | 3,238 | |
4,997 | 6.500%, 6/15/2031 | 5,639 | |
5,497 | 6.500%, 7/20/2031 | 6,247 | |
5,186 | 6.500%, 8/20/2031 | 5,890 | |
25,653 | 6.500%, 10/15/2031 | 29,336 | |
55,402 | 6.500%, 12/15/2031 | 62,961 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Government National Mortgage Association—continued | |||
$7,305 | 6.500%, 4/15/2032 | $8,306 | |
208,923 | 6.500%, 5/15/2032 | 239,753 | |
27,993 | 6.500%, 5/15/2032 | 31,891 | |
1,710 | 7.500%, 10/15/2029 | 1,964 | |
397 | 7.500%, 10/15/2029 | 457 | |
4,999 | 7.500%, 3/20/2030 | 5,746 | |
1,037 | 8.000%, 4/15/2030 | 1,205 | |
TOTAL | 12,168,851 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $61,440,237) | 64,581,395 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—2.8% | |||
Government National Mortgage Association—1.0% | |||
1,189,791 | Government National Mortgage Association REMIC, Series 2015-47, Class AE, 2.900%, 11/16/2055 | 1,205,708 | |
Non-Agency Mortgage-Backed Securities—1.8% | |||
120,478 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 79,965 | |
296,193 | Credit Suisse Mortgage Trust 2014-WIN2, Class A2, 3.500%, 10/25/2044 | 301,810 | |
664,657 | Credit Suisse Mortgage Trust 2015-WIN1, Class A6, 3.500%, 12/25/2044 | 676,850 | |
1,133,028 | Sequoia Mortgage Trust 2014-4, Class A5, 3.500%, 11/25/2044 | 1,154,505 | |
TOTAL | 2,213,130 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $3,528,817) | 3,418,838 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—3.5% | |||
Agency Commercial Mortgage-Backed Securities—3.5% | |||
1,455,000 | FHLMC REMIC, Series K064, Class A2, 3.224%, 3/25/2027 | 1,536,778 | |
2,500,000 | FHLMC REMIC, Series KC03, Class A2, 3.499%, 1/25/2026 | 2,652,585 | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $3,991,623) | 4,189,363 | ||
REPURCHASE AGREEMENT—2.6% | |||
3,100,000 | Interest in $590,000,000 joint repurchase agreement 2.51%, dated 6/28/2019 under which Bank of America, N.A. will repurchase securities provided as collateral for $590,123,408 on 7/1/2019. 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 6/20/2044 and the market value of those underlying securities was $601,925,877. (IDENTIFIED COST $3,100,000) | 3,100,000 | |
TOTAL INVESTMENT IN SECURITIES—99.6% (IDENTIFIED COST $114,420,199)1 | 120,266,481 | ||
OTHER ASSETS AND LIABILITIES - NET—0.4%2 | 494,578 | ||
TOTAL NET ASSETS—100% | $120,761,059 |
1 | The cost of investments for federal tax purposes amounts to $114,322,373. |
2 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabiities. |
FDIC | —Federal Deposit Insurance Corporation |
FHLMC | —Federal Home Loan Mortgage Corporation |
REMIC | —Real Estate Mortgage Investment Conduit |
Six Months Ended (unaudited) 6/30/2019 | Year Ended December 31, | |||||
2018 | 2017 | 2016 | 2015 | 2014 | ||
Net Asset Value, Beginning of Period | $10.52 | $10.73 | $10.78 | $10.88 | $11.12 | $10.95 |
Income From Investment Operations: | ||||||
Net investment income1 | 0.14 | 0.24 | 0.23 | 0.23 | 0.25 | 0.27 |
Net realized and unrealized gain (loss) | 0.30 | (0.20) | (0.03) | (0.06) | (0.19) | 0.23 |
TOTAL FROM INVESTMENT OPERATIONS | 0.44 | 0.04 | 0.20 | 0.17 | 0.06 | 0.50 |
Less Distributions: | ||||||
Distributions from net investment income | (0.26) | (0.25) | (0.25) | (0.27) | (0.30) | (0.33) |
Net Asset Value, End of Period | $10.70 | $10.52 | $10.73 | $10.78 | $10.88 | $11.12 |
Total Return2 | 4.24% | 0.45% | 1.92% | 1.61% | 0.52% | 4.62% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.77%3 | 0.78% | 0.78% | 0.76% | 0.76% | 0.76% |
Net investment income | 2.60%3 | 2.28% | 2.13% | 2.12% | 2.25% | 2.45% |
Expense waiver/reimbursement4 | 0.10%3 | 0.08% | 0.07% | 0.06% | 0.03% | 0.04% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $120,761 | $120,654 | $132,958 | $152,795 | $168,742 | $187,012 |
Portfolio turnover | 30% | 64% | 24% | 53% | 34% | 51% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 30% | 64% | 24% | 41% | 27% | 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. Total returns for periods of less than one year are not annualized. |
3 | Computed on an annualized basis. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in securities, at value (identified cost $114,420,199) | $120,266,481 | |
Cash | 13,012 | |
Income receivable | 547,242 | |
Receivable for shares sold | 1,785 | |
Prepaid expenses | 7,131 | |
TOTAL ASSETS | 120,835,651 | |
Liabilities: | ||
Payable for shares redeemed | $36,423 | |
Payable for investment adviser fee (Note 5) | 5,127 | |
Payable for administrative fees (Note 5) | 788 | |
Payable for portfolio accounting fees | 32,254 | |
TOTAL LIABILITIES | 74,592 | |
Net assets for 11,283,186 shares outstanding | $120,761,059 | |
Net Assets Consist of: | ||
Paid-in capital | $116,120,700 | |
Total distributable earnings (loss) | 4,640,359 | |
TOTAL NET ASSETS | $120,761,059 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | ||
$120,761,059 ÷ 11,283,186 shares outstanding, no par value, unlimited shares authorized | $10.70 |
Investment Income: | ||
Interest | $1,988,897 | |
Net income on securities loaned | 13 | |
TOTAL INCOME | 1,988,910 | |
Expenses: | ||
Investment adviser fee (Note 5) | $354,096 | |
Administrative fee (Note 5) | 48,432 | |
Custodian fees | 8,267 | |
Transfer agent fee | 5,794 | |
Directors'/Trustees' fees (Note 5) | 1,019 | |
Auditing fees | 13,018 | |
Legal fees | 5,103 | |
Portfolio accounting fees | 48,496 | |
Printing and postage | 19,447 | |
Miscellaneous (Note 5) | 11,154 | |
TOTAL EXPENSES | 514,826 | |
Waiver: | ||
Waiver of investment adviser fee (Note 5) | (59,426) | |
Net expenses | 455,400 | |
Net investment income | 1,533,510 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized loss on investments | (807,570) | |
Net change in unrealized appreciation of investments | 4,299,522 | |
Net realized and unrealized gain on investments | 3,491,952 | |
Change in net assets resulting from operations | $5,025,462 |
Six Months Ended (unaudited) 6/30/2019 | Year Ended 12/31/2018 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $1,533,510 | $2,850,913 |
Net realized loss | (807,570) | (1,264,848) |
Net change in unrealized appreciation/depreciation | 4,299,522 | (1,271,303) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 5,025,462 | 314,762 |
Distributions to Shareholders | (2,868,385) | (3,072,484) |
Share Transactions: | ||
Proceeds from sale of shares | 6,223,952 | 12,071,536 |
Net asset value of shares issued to shareholders in payment of distributions declared | 2,868,385 | 3,072,484 |
Cost of shares redeemed | (11,142,079) | (24,690,505) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (2,049,742) | (9,546,485) |
Change in net assets | 107,335 | (12,304,207) |
Net Assets: | ||
Beginning of period | 120,653,724 | 132,957,931 |
End of period | $120,761,059 | $120,653,724 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”). |
■ | 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. |
Six Months Ended 6/30/2019 | Year Ended 12/31/2018 | |
Shares sold | 590,532 | 1,157,893 |
Shares issued to shareholders in payment of distributions declared | 275,806 | 298,589 |
Shares redeemed | (1,057,578) | (2,377,228) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (191,240) | (920,746) |
Short-Term | Long-Term | Total |
$687,679 | $1,303,147 | $1,990,826 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Purchases | $5,183,436 |
Sales | $2,978,866 |
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period1 | |
Actual | $1,000 | $1,042.40 | $3.90 |
Hypothetical (assuming a 5% return before expenses) | $1,000 | $1,021.00 | $3.86 |
1 | Expenses are equal to the Fund's annualized net expense ratio of 0.77%, multiplied by the average account value over the period, multiplied by 181/365 (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. |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
2019 ©Federated Investors, Inc.
Share Class | Primary | Service |
Index Classification | Percentage of Total Net Assets |
Health Care | 10.3% |
Cable Satellite | 8.8% |
Technology | 7.8% |
Midstream | 6.3% |
Packaging | 6.2% |
Independent Energy | 5.2% |
Media Entertainment | 4.9% |
Pharmaceuticals | 4.2% |
Gaming | 3.8% |
Wireless Communications | 3.8% |
Other2 | 33.9% |
Cash Equivalents3 | 4.6% |
Other Assets and Liabilities—Net4 | 0.2% |
TOTAL | 100.0% |
1 | Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (BBHY2%ICI). Individual portfolio securities that are not included in the BBHY2%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—95.1% | |||
Aerospace/Defense—1.3% | |||
$200,000 | TransDigm UK Holdings PLC, Sr. Sub., Series WI, 6.875%, 5/15/2026 | $202,875 | |
500,000 | TransDigm, Inc., Sec. Fac. Bond, 144A, 6.250%, 3/15/2026 | 524,375 | |
100,000 | TransDigm, Inc., Sr. Sub. Note, 144A, 7.500%, 3/15/2027 | 104,625 | |
575,000 | TransDigm, Inc., Sr. Sub. Note, 6.000%, 7/15/2022 | 582,187 | |
200,000 | TransDigm, Inc., Sr. Sub. Note, 6.375%, 6/15/2026 | 203,250 | |
475,000 | TransDigm, Inc., Sr. Sub. Note, 6.500%, 7/15/2024 | 482,719 | |
TOTAL | 2,100,031 | ||
Automotive—3.0% | |||
625,000 | Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026 | 498,437 | |
725,000 | American Axle & Manufacturing, Inc., Sr. Unsecd. Note, Series WI, 6.500%, 4/1/2027 | 725,906 | |
600,000 | Dana Financing Lux Sarl, 144A, 6.500%, 6/1/2026 | 633,750 | |
50,000 | Dana Financing Lux Sarl, Sr. Unsecd. Note, 144A, 5.750%, 4/15/2025 | 51,563 | |
275,000 | Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 4.875%, 3/15/2027 | 262,281 | |
275,000 | Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 5.000%, 5/31/2026 | 271,906 | |
325,000 | IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029 | 325,813 | |
375,000 | J.B. Poindexter & Co., Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/15/2026 | 384,375 | |
100,000 | Panther BF Aggregator 2 LP, Sec. Fac. Bond, 144A, 6.250%, 5/15/2026 | 104,125 | |
900,000 | Panther BF Aggregator 2 LP, Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027 | 929,250 | |
600,000 | Schaeffler Verwaltung Zw, 144A, 4.750%, 9/15/2026 | 587,250 | |
TOTAL | 4,774,656 | ||
Banking—0.4% | |||
575,000 | Ally Financial, Inc., Sr. Sub. Note, 5.750%, 11/20/2025 | 638,193 | |
Building Materials—2.0% | |||
75,000 | American Builders & Contractors Supply Co., Inc., Sr. Unsecd. Note, 144A, 5.750%, 12/15/2023 | 77,906 | |
600,000 | American Builders & Contractors Supply Co., Inc., Sr. Unsecd. Note, 144A, 5.875%, 5/15/2026 | 627,750 | |
375,000 | Building Materials Corp. of America, Sr. Unsecd. Note, 144A, 6.000%, 10/15/2025 | 399,844 | |
625,000 | CD&R Waterworks Merger Subsidiary LLC, Sr. Unsecd. Note, 144A, 6.125%, 8/15/2025 | 634,375 | |
180,000 | Masonite International Corp., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2023 | 186,075 | |
125,000 | Masonite International Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/15/2026 | 129,063 | |
525,000 | Pisces Midco, Inc., Sec. Fac. Bond, 144A, 8.000%, 4/15/2026 | 513,187 | |
600,000 | Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027 | 609,000 | |
TOTAL | 3,177,200 | ||
Cable Satellite—8.8% | |||
325,000 | CCO Holdings LLC/Cap Corp., 144A, 5.750%, 2/15/2026 | 341,656 | |
775,000 | CCO Holdings LLC/Cap Corp., 5.750%, 9/1/2023 | 794,127 | |
650,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 665,405 | |
275,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029 | 284,625 | |
500,000 | CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.875%, 5/1/2027 | 528,750 | |
375,000 | CSC Holdings LLC, 144A, 5.375%, 7/15/2023 | 386,250 | |
325,000 | CSC Holdings LLC, 144A, 5.500%, 5/15/2026 | 341,640 | |
400,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.125%, 12/15/2021 | 401,000 | |
225,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.500%, 2/1/2029 | 245,953 | |
450,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.625%, 10/15/2025 | 482,625 | |
275,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 7.500%, 4/1/2028 | 303,270 | |
225,000 | CSC Holdings LLC, Sr. Unsecd. Note, 144A, 7.750%, 7/15/2025 | 243,990 | |
450,000 | CSC Holdings, Inc., Sr. Unsecd. Note, 5.250%, 6/1/2024 | 468,563 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Cable Satellite—continued | |||
$450,000 | Cablevision Systems Corp., Sr. Unsecd. Note, 5.875%, 9/15/2022 | $477,563 | |
700,000 | Charter Communications Holdings II, 5.750%, 1/15/2024 | 717,412 | |
950,000 | DISH DBS Corp., Sr. Unsecd. Note, 5.875%, 11/15/2024 | 902,500 | |
200,000 | DISH DBS Corp., Sr. Unsecd. Note, 7.750%, 7/1/2026 | 196,500 | |
500,000 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 8.500%, 10/15/2024 | 497,500 | |
475,000 | Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.500%, 8/1/2023 | 435,813 | |
400,000 | Sirius XM Radio, Inc., 144A, 6.000%, 7/15/2024 | 412,600 | |
300,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.625%, 7/15/2024 | 307,734 | |
100,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.000%, 8/1/2027 | 102,115 | |
600,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.375%, 4/15/2025 | 621,000 | |
300,000 | Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029 | 308,310 | |
850,000 | Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028 | 867,000 | |
275,000 | Unitymedia KabelBW Gmbh, 144A, 6.125%, 1/15/2025 | 287,444 | |
475,000 | Virgin Media Secured Finance PLC, 144A, 5.250%, 1/15/2026 | 488,518 | |
200,000 | Virgin Media Secured Finance PLC, 144A, 5.500%, 8/15/2026 | 207,750 | |
200,000 | Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 5.500%, 5/15/2029 | 203,250 | |
200,000 | Virgin Media, Inc., Sr. Unsecd. Note, 144A, 5.750%, 1/15/2025 | 207,748 | |
200,000 | Virgin Media, Inc., Sr. Unsecd. Note, 144A, 6.000%, 10/15/2024 | 208,000 | |
700,000 | Ziggo Finance BV, Sec. Fac. Bond, 144A, 5.500%, 1/15/2027 | 715,547 | |
300,000 | Ziggo Finance BV, Sr. Unsecd. Note, 144A, 5.875%, 1/15/2025 | 304,626 | |
200,000 | Ziggo Finance BV, Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027 | 201,500 | |
TOTAL | 14,158,284 | ||
Chemicals—2.5% | |||
200,000 | Alpha 2 BV, Sr. Unsecd. Note, 144A, 8.750%, 6/1/2023 | 197,500 | |
625,000 | Alpha 3 BV, Sr. Unsecd. Note, 144A, 6.250%, 2/1/2025 | 618,750 | |
675,000 | Compass Minerals International, Inc., 144A, 4.875%, 7/15/2024 | 645,469 | |
400,000 | Element Solutions, Inc., Sr. Unsecd. Note, 144A, 5.875%, 12/1/2025 | 418,500 | |
625,000 | 1,2 | Hexion U.S. Finance Corp., 6.625%, 4/15/2020 | 487,500 |
150,000 | Hexion, Inc., Sr. Unsecd. Note, 144A, 7.875%, 7/15/2027 | 151,125 | |
700,000 | Koppers, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | 659,750 | |
250,000 | PQ Corp., Sr. Unsecd. Note, 144A, 5.750%, 12/15/2025 | 254,063 | |
575,000 | Starfruit Finco BV, Sr. Unsecd. Note, 144A, 8.000%, 10/1/2026 | 593,687 | |
TOTAL | 4,026,344 | ||
Construction Machinery—0.7% | |||
50,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 5.250%, 1/15/2030 | 51,500 | |
100,000 | United Rentals North America, Inc., Sr. Unsecd. Note, 6.500%, 12/15/2026 | 108,500 | |
525,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.500%, 5/15/2027 | 553,875 | |
450,000 | United Rentals, Inc., Sr. Unsecd. Note, 5.875%, 9/15/2026 | 480,937 | |
TOTAL | 1,194,812 | ||
Consumer Cyclical Services—0.8% | |||
125,000 | Allied Universal Holdco LLC, Sec. Fac. Bond, 144A, 6.625%, 7/15/2026 | 127,344 | |
625,000 | Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027 | 626,562 | |
525,000 | GW Honos Security Corp., Sr. Unsecd. Note, 144A, 8.750%, 5/15/2025 | 521,063 | |
TOTAL | 1,274,969 | ||
Consumer Products—1.5% | |||
50,000 | Energizer Holdings, Inc., Sec. Fac. Bond, 144A, 6.375%, 7/15/2026 | 51,500 | |
125,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 6/15/2025 | 126,875 | |
450,000 | Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 7.750%, 1/15/2027 | 488,174 | |
425,000 | First Quality Finance Co., Inc., 144A, 4.625%, 5/15/2021 | 425,531 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Consumer Products—continued | |||
$650,000 | Prestige Brands Holdings, Inc., 144A, 5.375%, 12/15/2021 | $655,687 | |
700,000 | Prestige Brands, Inc., Sr. Unsecd. Note, 144A, 6.375%, 3/1/2024 | 735,875 | |
TOTAL | 2,483,642 | ||
Diversified Manufacturing—1.4% | |||
125,000 | Amsted Industries, Inc., Sr. Unsecd. Note, 144A, 5.625%, 7/1/2027 | 130,625 | |
75,000 | CFX Escrow Corp., Sr. Unsecd. Note, 144A, 6.375%, 2/15/2026 | 80,531 | |
784,000 | Gates Global LLC, 144A, 6.000%, 7/15/2022 | 785,470 | |
100,000 | Stevens Holding Company, Inc., Sr. Unsecd. Note, 144A, 6.125%, 10/1/2026 | 105,750 | |
375,000 | Titan Acquisition Ltd., Sr. Unsecd. Note, 144A, 7.750%, 4/15/2026 | 338,438 | |
550,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2021 | 556,187 | |
175,000 | WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 6/15/2024 | 180,250 | |
TOTAL | 2,177,251 | ||
Environmental—0.3% | |||
400,000 | Tervita Escrow Corp., 144A, 7.625%, 12/1/2021 | 408,884 | |
Finance Companies—2.0% | |||
875,000 | Navient Corp., Sr. Unsecd. Note, 5.875%, 10/25/2024 | 889,218 | |
100,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/25/2025 | 103,750 | |
100,000 | Navient Corp., Sr. Unsecd. Note, 6.750%, 6/15/2026 | 104,000 | |
100,000 | Park Aerospace Holdings Ltd., Sr. Unsecd. Note, 144A, 4.500%, 3/15/2023 | 103,706 | |
725,000 | Park Aerospace Holdings Ltd., Sr. Unsecd. Note, 144A, 5.500%, 2/15/2024 | 782,442 | |
900,000 | Quicken Loans, Inc., 144A, 5.750%, 5/1/2025 | 931,212 | |
225,000 | Quicken Loans, Inc., Sr. Unsecd. Note, 144A, 5.250%, 1/15/2028 | 224,719 | |
TOTAL | 3,139,047 | ||
Food & Beverage—2.6% | |||
625,000 | Anna Merger Subsidiary, Inc., 144A, 7.750%, 10/1/2022 | 106,250 | |
425,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 4/1/2025 | 432,438 | |
400,000 | Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028 | 412,500 | |
125,000 | Aramark Services, Inc., Sr. Unsecd. Note, 5.125%, 1/15/2024 | 128,750 | |
575,000 | B&G Foods, Inc., Sr. Unsecd. Note, 5.250%, 4/1/2025 | 582,906 | |
250,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2025 | 259,063 | |
150,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/15/2029 | 150,938 | |
200,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2028 | 206,250 | |
1,125,000 | Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 1,167,187 | |
650,000 | U.S. Foodservice, Inc., Sr. Unsecd. Note, 144A, 5.875%, 6/15/2024 | 670,312 | |
TOTAL | 4,116,594 | ||
Gaming—3.8% | |||
200,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 6.375%, 4/1/2026 | 212,326 | |
400,000 | Boyd Gaming Corp., Sr. Unsecd. Note, 6.875%, 5/15/2023 | 414,500 | |
100,000 | Boyd Gaming Corp., Sr. Unsecd. Note, Series WI, 6.000%, 8/15/2026 | 105,500 | |
650,000 | CRC Escrow Issuer LLC, Sr. Unsecd. Note, 144A, 5.250%, 10/15/2025 | 651,625 | |
550,000 | Eldorado Resorts, Inc., Sr. Unsecd. Note, 6.000%, 4/1/2025 | 580,937 | |
100,000 | MGM Growth Properties LLC, Sr. Unsecd. Note, 5.625%, 5/1/2024 | 108,125 | |
625,000 | MGM Resorts International, 6.000%, 3/15/2023 | 678,906 | |
100,000 | MGM Resorts International, Sr. Unsecd. Note, 4.625%, 9/1/2026 | 101,000 | |
325,000 | MGM Resorts International, Sr. Unsecd. Note, 5.750%, 6/15/2025 | 355,056 | |
450,000 | Mohegan Tribal Gaming Authority, Sr. Unsecd. Note, 144A, 7.875%, 10/15/2024 | 442,688 | |
275,000 | Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2027 | 272,250 | |
600,000 | Rivers Pittsburgh LP, 144A, 6.125%, 8/15/2021 | 610,500 | |
750,000 | Star Group Holdings BV, Sr. Unsecd. Note, 144A, 7.000%, 7/15/2026 | 795,000 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Gaming—continued | |||
$525,000 | Station Casinos, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2025 | $527,625 | |
300,000 | Sugarhouse HSP Gaming Finance Corp., Sec. Fac. Bond, 144A, 5.875%, 5/15/2025 | 296,250 | |
TOTAL | 6,152,288 | ||
Health Care—10.3% | |||
175,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 5.625%, 2/15/2023 | 178,719 | |
625,000 | Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 6.500%, 3/1/2024 | 654,687 | |
700,000 | Air Medical Group Holdings, Inc., Sr. Unsecd. Note, 144A, 6.375%, 5/15/2023 | 630,000 | |
950,000 | Avantor, Inc., Sr. Unsecd. Note, 144A, 9.000%, 10/1/2025 | 1,061,625 | |
325,000 | CHS/Community Health Systems, Inc., 6.250%, 3/31/2023 | 314,031 | |
200,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.000%, 3/15/2026 | 192,706 | |
150,000 | CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.625%, 1/15/2024 | 150,842 | |
400,000 | CHS/Community Health Systems, Inc., Sr. Unsecd. Note, 6.875%, 2/1/2022 | 272,000 | |
100,000 | Charles River Laboratories International, Inc., Sr. Unsecd. Note, 144A, 5.500%, 4/1/2026 | 105,480 | |
625,000 | Enterprise Merger Sub, Inc., Sr. Unsecd. Note, 144A, 8.750%, 10/15/2026 | 435,938 | |
200,000 | HCA, Inc., 5.875%, 5/1/2023 | 217,976 | |
475,000 | HCA, Inc., 5.875%, 2/15/2026 | 526,062 | |
750,000 | HCA, Inc., Sr. Unsecd. Note, 5.375%, 2/1/2025 | 811,406 | |
175,000 | HCA, Inc., Sr. Unsecd. Note, 5.375%, 9/1/2026 | 189,000 | |
275,000 | HCA, Inc., Sr. Unsecd. Note, 5.625%, 9/1/2028 | 298,375 | |
250,000 | HCA, Inc., Sr. Unsecd. Note, 5.875%, 2/1/2029 | 274,375 | |
525,000 | IMS Health, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/15/2026 | 546,000 | |
200,000 | Iqvia, Inc., Sr. Unsecd. Note, 144A, 5.000%, 5/15/2027 | 207,000 | |
550,000 | LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 9.750%, 12/1/2026 | 577,500 | |
200,000 | MEDNAX, Inc., Sr. Unsecd. Note, 144A, 5.250%, 12/1/2023 | 198,000 | |
250,000 | MEDNAX, Inc., Sr. Unsecd. Note, 144A, 6.250%, 1/15/2027 | 246,563 | |
1,025,000 | MPH Acquisition Holdings LLC, 144A, 7.125%, 6/1/2024 | 966,267 | |
1,200,000 | Ortho-Clinical Diagnostics, Inc., 144A, 6.625%, 5/15/2022 | 1,152,000 | |
500,000 | Polaris Intermediate Corp., Sr. Unsecd. Note, 144A, 8.500%, 12/1/2022 | 443,750 | |
925,000 | SteriGenics—Nordion Holdings LLC, Sr. Unsecd. Note, 144A, 6.500%, 5/15/2023 | 938,875 | |
575,000 | SteriGenics Nordion Topc, Sr. Unsecd. Note, 144A, 8.125%, 11/1/2021 | 575,000 | |
500,000 | Surgery Center Holdings, Inc., Sr. Unsecd. Note, 144A, 6.750%, 7/1/2025 | 435,000 | |
1,225,000 | Team Health Holdings, Inc., Sr. Unsecd. Note, 144A, 6.375%, 2/1/2025 | 943,250 | |
50,000 | Teleflex, Inc., Sr. Unsecd. Note, 4.625%, 11/15/2027 | 51,625 | |
450,000 | Teleflex, Inc., Sr. Unsecd. Note, 5.250%, 6/15/2024 | 462,797 | |
500,000 | Tenet Healthcare Corp., 5.125%, 5/1/2025 | 503,750 | |
275,000 | Tenet Healthcare Corp., Sr. Secd. Note, 4.625%, 7/15/2024 | 279,469 | |
650,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 6.750%, 6/15/2023 | 654,875 | |
125,000 | Tenet Healthcare Corp., Sr. Unsecd. Note, 7.000%, 8/1/2025 | 125,000 | |
75,000 | Vizient, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/15/2027 | 79,410 | |
850,000 | West Street Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.375%, 9/1/2025 | 790,500 | |
TOTAL | 16,489,853 | ||
Health Insurance—0.2% | |||
250,000 | Centene Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2026 | 263,438 | |
Independent Energy—5.2% | |||
325,000 | Antero Resources Corp., Sr. Unsecd. Note, 5.000%, 3/1/2025 | 301,437 | |
50,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 7.000%, 11/1/2026 | 45,875 | |
175,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsecd. Note, 144A, 10.000%, 4/1/2022 | 186,139 | |
250,000 | Berry Petroleum Co., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2026 | 243,750 | |
469,000 | Callon Petroleum Corp., Sr. Unsecd. Note, 6.125%, 10/1/2024 | 476,035 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Independent Energy—continued | |||
$75,000 | Callon Petroleum Corp., Sr. Unsecd. Note, Series WI, 6.375%, 7/1/2026 | $75,844 | |
75,000 | Carrizo Oil & Gas, Inc., 6.250%, 4/15/2023 | 72,656 | |
400,000 | Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 8.250%, 7/15/2025 | 396,000 | |
250,000 | Centennial Resource Production, LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 253,750 | |
825,000 | Chesapeake Energy Corp., Sr. Unsecd. Note, Series WI, 8.000%, 6/15/2027 | 725,488 | |
600,000 | Crownrock LP/Crownrock F, 144A, 5.625%, 10/15/2025 | 602,250 | |
375,000 | EP Energy LLC/Everest Acquisition Finance, Inc., Sec. Fac. Bond, 144A, 8.000%, 11/29/2024 | 258,750 | |
225,000 | Endeavor Energy Resources LP, Sr. Unsecd. Note, 144A, 5.750%, 1/30/2028 | 237,937 | |
250,000 | Gulfport Energy Corp., Sr. Unsecd. Note, 6.000%, 10/15/2024 | 194,375 | |
325,000 | Gulfport Energy Corp., Sr. Unsecd. Note, 6.375%, 5/15/2025 | 253,094 | |
200,000 | Jagged Peak Energy, Inc., Sr. Unsecd. Note, Series WI, 5.875%, 5/1/2026 | 198,000 | |
75,000 | Laredo Petroleum, 5.625%, 1/15/2022 | 69,938 | |
225,000 | Laredo Petroleum, Sr. Unsecd. Note, 6.250%, 3/15/2023 | 210,443 | |
500,000 | Oasis Petroleum, Inc., Sr. Unsecd. Note, 144A, 6.250%, 5/1/2026 | 486,250 | |
175,000 | PDC Energy, Inc., Sr. Unsecd. Note, 6.125%, 9/15/2024 | 175,438 | |
225,000 | PDC Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 5/15/2026 | 221,625 | |
100,000 | Parsley Energy LLC/Parsley Finance Corp., 144A, 6.250%, 6/1/2024 | 104,250 | |
125,000 | Parsley Energy LLC/Parsley Finance Corp., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2025 | 128,750 | |
200,000 | Parsley Energy LLC/Parsley Finance Corp., Sr. Unsecd. Note, 144A, 5.625%, 10/15/2027 | 210,000 | |
200,000 | QEP Resources, Inc., Sr. Unsecd. Note, 5.250%, 5/1/2023 | 193,500 | |
175,000 | QEP Resources, Inc., Sr. Unsecd. Note, 5.625%, 3/1/2026 | 165,375 | |
475,000 | Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 | 419,187 | |
200,000 | SM Energy Co., Sr. Unsecd. Note, 5.000%, 1/15/2024 | 184,500 | |
150,000 | SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 | 137,250 | |
25,000 | SM Energy Co., Sr. Unsecd. Note, 6.625%, 1/15/2027 | 23,250 | |
100,000 | SM Energy Co., Sr. Unsecd. Note, 6.750%, 9/15/2026 | 94,250 | |
350,000 | SRC Energy, Inc., Sr. Unsecd. Note, Series WI, 6.250%, 12/1/2025 | 320,250 | |
225,000 | Southwestern Energy Co., Sr. Unsecd. Note, 7.750%, 10/1/2027 | 216,563 | |
125,000 | Ultra Resources, Inc., Sr. Unsecd. Note, 144A, 6.875%, 4/15/2022 | 16,250 | |
375,000 | Ultra Resources, Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/15/2025 | 35,625 | |
350,000 | Whiting Petroleum Corp., Sr. Unsecd. Note, 6.250%, 4/1/2023 | 350,875 | |
150,000 | Whiting Petroleum Corp., Sr. Unsecd. Note, Series WI, 6.625%, 1/15/2026 | 145,406 | |
TOTAL | 8,430,355 | ||
Industrial - Other—0.8% | |||
200,000 | Anixter, Inc., Sr. Unsecd. Note, 144A, 6.000%, 12/1/2025 | 217,500 | |
475,000 | Hillman Group, Inc., Unsecd. Note, 144A, 6.375%, 7/15/2022 | 422,750 | |
100,000 | IAA Spinco Inc., Sr. Unsecd. Note, 144A, 5.500%, 6/15/2027 | 104,250 | |
325,000 | KAR Auction Services, Inc., Sr. Unsecd. Note, 144A, 5.125%, 6/1/2025 | 332,312 | |
200,000 | Resideo Funding, Inc, Sr. Unsecd. Note, 144A, 6.125%, 11/1/2026 | 208,500 | |
TOTAL | 1,285,312 | ||
Insurance - P&C—3.3% | |||
175,000 | Acrisure LLC, Sec. Fac. Bond, 144A, 8.125%, 2/15/2024 | 181,016 | |
550,000 | Acrisure LLC, Sr. Unsecd. Note, 144A, 7.000%, 11/15/2025 | 499,125 | |
500,000 | AmWINS Group, Inc., Sr. Unsecd. Note, 144A, 7.750%, 7/1/2026 | 520,000 | |
650,000 | AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2025 | 649,187 | |
75,000 | GTCR AP Finance, Inc., Sr. Unsecd. Note, 144A, 8.000%, 5/15/2027 | 75,563 | |
1,600,000 | Hub International Ltd., Sr. Unsecd. Note, 144A, 7.000%, 5/1/2026 | 1,626,000 | |
400,000 | Kirs Midco 3 PLC, Sec. Fac. Bond, 144A, 8.625%, 7/15/2023 | 378,000 | |
700,000 | NFP Corp., Sr. Unsecd. Note, 144A, 6.875%, 7/15/2025 | 695,415 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Insurance - P&C—continued | |||
$700,000 | USIS Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.875%, 5/1/2025 | $694,750 | |
TOTAL | 5,319,056 | ||
Leisure—0.7% | |||
750,000 | Six Flags Entertainment Corp., Sr. Unsecd. Note, 144A, 5.500%, 4/15/2027 | 781,875 | |
325,000 | Voc Escrow Ltd., 144A, 5.000%, 2/15/2028 | 331,094 | |
TOTAL | 1,112,969 | ||
Lodging—0.5% | |||
175,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 4.875%, 1/15/2030 | 180,979 | |
375,000 | Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, Series WI, 5.125%, 5/1/2026 | 392,344 | |
175,000 | Wyndham Hotels & Resorts, Inc., Sr. Unsecd. Note, 144A, 5.375%, 4/15/2026 | 183,969 | |
TOTAL | 757,292 | ||
Media Entertainment—4.9% | |||
125,000 | AMC Networks, Inc., Sr. Unsecd. Note, 4.750%, 8/1/2025 | 127,344 | |
525,000 | AMC Networks, Inc., Sr. Unsecd. Note, 5.000%, 4/1/2024 | 540,094 | |
475,000 | CBS Radio, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/1/2024 | 502,906 | |
275,000 | Clear Channel Worldwide, Series A, 6.500%, 11/15/2022 | 282,563 | |
250,000 | Clear Channel Worldwide, Series B, 6.500%, 11/15/2022 | 255,625 | |
50,000 | Cumulus Media News Holdings, Inc., 144A, 6.750%, 7/1/2026 | 50,000 | |
150,000 | Entercom Media Corp., 144A, 6.500%, 5/1/2027 | 156,375 | |
600,000 | Gannett Co., Inc., 6.375%, 10/15/2023 | 620,250 | |
75,000 | Gray Escrow, Inc., Sr. Unsecd. Note, 144A, 7.000%, 5/15/2027 | 81,563 | |
375,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.125%, 10/15/2024 | 382,969 | |
325,000 | Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2026 | 338,000 | |
44,753 | iHeartCommunications, Inc., 6.375%, 5/1/2026 | 47,718 | |
750,000 | 1,2,3 | iHeartCommunications, Inc., Escrow, 9.000%, 3/1/2021 | 75 |
631,114 | iHeartCommunications, Inc., Sr. Unsecd. Note, 8.375%, 5/1/2027 | 664,260 | |
225,000 | Lin Television Corp., Sr. Unsecd. Note, 5.875%, 11/15/2022 | 230,625 | |
325,000 | Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027 | 342,030 | |
825,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 8/1/2024 | 856,729 | |
150,000 | Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027 | 154,125 | |
175,000 | Nielsen Finance LLC/Nielsen Finance Co., 144A, 5.000%, 4/15/2022 | 175,656 | |
325,000 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2025 | 320,937 | |
200,000 | Sinclair Television Group, 144A, 5.625%, 8/1/2024 | 205,000 | |
75,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.125%, 2/15/2027 | 73,875 | |
800,000 | Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.875%, 3/15/2026 | 820,760 | |
675,000 | Tribune Media Co., Sr. Unsecd. Note, 5.875%, 7/15/2022 | 690,120 | |
TOTAL | 7,919,599 | ||
Metals & Mining—1.5% | |||
375,000 | Coeur Mining, Inc., Sr. Unsecd. Note, 5.875%, 6/1/2024 | 367,031 | |
550,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 3.875%, 3/15/2023 | 551,375 | |
575,000 | Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.400%, 11/14/2034 | 550,562 | |
175,000 | HudBay Minerals, Inc., Sr. Unsecd. Note, 144A, 7.250%, 1/15/2023 | 180,906 | |
325,000 | HudBay Minerals, Inc., Sr. Unsecd. Note, 144A, 7.625%, 1/15/2025 | 337,188 | |
225,000 | Steel Dynamics, Inc., Sr. Unsecd. Note, 5.500%, 10/1/2024 | 233,719 | |
175,000 | Teck Resources Ltd., Sr. Unsecd. Note, 6.000%, 8/15/2040 | 190,585 | |
TOTAL | 2,411,366 | ||
Midstream—6.3% | |||
200,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.500%, 5/20/2025 | 211,500 | |
175,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.750%, 5/20/2027 | 184,625 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Midstream—continued | |||
$425,000 | AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026 | $452,625 | |
175,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027 | 175,437 | |
300,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028 | 297,375 | |
550,000 | Antero Midstream Partners LP, Sr. Unsecd. Note, 5.375%, 9/15/2024 | 549,312 | |
500,000 | Atlas Pipeline Partners LP, 5.875%, 8/1/2023 | 501,925 | |
575,000 | CNX Midstream Partners LP/CNX Midstream Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 3/15/2026 | 549,125 | |
600,000 | Cheniere Corpus Christi Holdings LLC, Sr. Secd. Note, 5.875%, 3/31/2025 | 669,750 | |
250,000 | Cheniere Energy Partners, LP, Series WI, 5.250%, 10/1/2025 | 259,375 | |
425,000 | Cheniere Energy Partners, LP, Sr. Unsecd. Note, 144A, 5.625%, 10/1/2026 | 449,437 | |
300,000 | Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsecd. Note, 6.750%, 6/15/2023 | 264,750 | |
550,000 | Ferrellgas, L.P., Sr. Unsecd. Note, 6.750%, 1/15/2022 | 489,500 | |
800,000 | Holly Energy Partners LP, 144A, 6.000%, 8/1/2024 | 836,000 | |
700,000 | NuStar Logistics LP, Sr. Unsecd. Note, 5.625%, 4/28/2027 | 707,875 | |
100,000 | NuStar Logistics LP, Sr. Unsecd. Note, 6.000%, 6/1/2026 | 103,750 | |
425,000 | Suburban Propane Partners LP, 5.500%, 6/1/2024 | 429,250 | |
450,000 | Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027 | 453,375 | |
500,000 | Summit Midstream Holdings LLC, 5.500%, 8/15/2022 | 482,500 | |
475,000 | Summit Midstream Holdings LLC, Sr. Unsecd. Note, 5.750%, 4/15/2025 | 418,000 | |
50,000 | Sunoco LP/Finance Corp., Sr. Unsecd. Note, Series WI, 4.875%, 1/15/2023 | 51,188 | |
150,000 | Sunoco LP/Finance Corp., Sr. Unsecd. Note, Series WI, 5.500%, 2/15/2026 | 156,563 | |
275,000 | Sunoco LP/Finance Corp., Sr. Unsecd. Note, Series WI, 5.875%, 3/15/2028 | 285,656 | |
25,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 7/15/2027 | 27,313 | |
275,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.375%, 2/1/2027 | 286,000 | |
475,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.875%, 4/15/2026 | 505,281 | |
177,000 | Tesoro Logistics LP, Sr. Unsecd. Note, 6.250%, 10/15/2022 | 181,867 | |
175,000 | TransMontaigne Partners LP/TLP Finance Corp., Sr. Unsecd. Note, 6.125%, 2/15/2026 | 169,313 | |
TOTAL | 10,148,667 | ||
Oil Field Services—1.6% | |||
75,000 | Apergy Corp., Sr. Unsecd. Note, Series WI, 6.375%, 5/1/2026 | 75,938 | |
350,000 | Archrock Partners LP/Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027 | 367,535 | |
150,000 | Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026 | 145,875 | |
300,000 | Precision Drilling Corp., Sr. Unsecd. Note, 7.750%, 12/15/2023 | 307,410 | |
200,000 | Sesi LLC, 7.125%, 12/15/2021 | 141,500 | |
725,000 | Sesi LLC, Sr. Unsecd. Note, Series WI, 7.750%, 9/15/2024 | 473,062 | |
350,000 | Shelf Drilling Holdings Ltd., Sr. Unsecd. Note, 144A, 8.250%, 2/15/2025 | 324,800 | |
175,000 | USA Compression Partners LP, Sr. Unsecd. Note, 144A, 6.875%, 9/1/2027 | 184,644 | |
525,000 | USA Compression Partners LP, Sr. Unsecd. Note, Series WI, 6.875%, 4/1/2026 | 557,760 | |
TOTAL | 2,578,524 | ||
Packaging—6.2% | |||
525,000 | ARD Finance SA, Sec. Fac. Bond, 7.125%, 9/15/2023 | 539,438 | |
475,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 6.000%, 2/15/2025 | 492,813 | |
775,000 | Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 7.250%, 5/15/2024 | 819,562 | |
350,000 | Berry Global Escrow Corp., 144A, 4.875%, 7/15/2026 | 358,313 | |
225,000 | Berry Global Escrow Corp., 144A, 5.625%, 7/15/2027 | 234,563 | |
675,000 | Berry Plastics Corp., 5.500%, 5/15/2022 | 685,125 | |
150,000 | Berry Plastics Corp., 6.000%, 10/15/2022 | 153,375 | |
425,000 | Bway Holding Co., Sec. Fac. Bond, 144A, 5.500%, 4/15/2024 | 426,859 | |
1,025,000 | Bway Holding Co., Sr. Unsecd. Note, 144A, 7.250%, 4/15/2025 | 991,687 | |
175,000 | Crown Americas LLC/Crown Americas Capital Corp VI, Sr. Unsecd. Note, 4.750%, 2/1/2026 | 180,250 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Packaging—continued | |||
$1,075,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, 144A, 6.875%, 1/15/2025 | $978,250 | |
575,000 | Flex Acquisition Co., Inc., Sr. Unsecd. Note, 144A, 7.875%, 7/15/2026 | 531,875 | |
750,000 | Multi-Color Corp., 144A, 6.125%, 12/1/2022 | 775,312 | |
425,000 | Owens-Brockway Glass Container, Inc., 144A, 5.375%, 1/15/2025 | 444,656 | |
150,000 | Owens-Brockway Glass Container, Inc., 144A, 5.875%, 8/15/2023 | 162,345 | |
125,000 | Owens-Brockway Glass Container, Inc., 144A, 6.375%, 8/15/2025 | 136,875 | |
650,000 | Reynolds Group Issuer, Inc./LLC/LU, 144A, 7.000%, 7/15/2024 | 673,332 | |
581,465 | Reynolds Group Issuer, Inc./LLC/LU, 5.750%, 10/15/2020 | 583,645 | |
300,000 | Sealed Air Corp., Sr. Unsecd. Note, 144A, 5.500%, 9/15/2025 | 320,250 | |
500,000 | Trident Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.625%, 11/1/2025 | 468,750 | |
TOTAL | 9,957,275 | ||
Paper—0.5% | |||
750,000 | Clearwater Paper Corp., Sr. Unsecd. Note, 144A, 5.375%, 2/1/2025 | 684,375 | |
125,000 | Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 4.750%, 7/15/2027 | 128,594 | |
TOTAL | 812,969 | ||
Pharmaceuticals—4.2% | |||
200,000 | Bausch Health Cos, Inc., Sec. Fac. Bond, 144A, 5.500%, 11/1/2025 | 209,250 | |
200,000 | Bausch Health Cos, Inc., Sec. Fac. Bond, 144A, 5.750%, 8/15/2027 | 210,696 | |
60,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2023 | 60,705 | |
160,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 5.875%, 5/15/2023 | 162,459 | |
925,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 6.125%, 4/15/2025 | 945,812 | |
250,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/30/2029 | 260,625 | |
625,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 8.500%, 1/31/2027 | 688,763 | |
375,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 9.000%, 12/15/2025 | 420,394 | |
50,000 | Bausch Health Cos, Inc., Sr. Unsecd. Note, 144A, 9.250%, 4/1/2026 | 56,065 | |
200,000 | Eagle Holding Co. II LLC, Sr. Unsecd. Note, 144A, 7.625%, 5/15/2022 | 201,500 | |
275,000 | Eagle Holding Co. II LLC, Unsecd. Note, 144A, 7.750%, 5/15/2022 | 277,750 | |
444,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., Sr. Unsecd. Note, 144A, 6.000%, 7/15/2023 | 321,900 | |
675,000 | Endo Finance LLC/Endo Finco, Inc., Sr. Unsecd. Note, 144A, 6.000%, 2/1/2025 | 455,625 | |
1,325,000 | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Sr. Unsecd. Note, 144A, 6.375%, 8/1/2023 | 1,374,687 | |
925,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2025 | 624,375 | |
575,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2023 | 437,000 | |
TOTAL | 6,707,606 | ||
Refining—0.4% | |||
675,000 | CVR Refining LLC/Coffeyville Finance, Inc., 6.500%, 11/1/2022 | 689,006 | |
Restaurants—1.2% | |||
1,050,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 5.000%, 10/15/2025 | 1,060,815 | |
125,000 | 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Sr. Secd. Note, 144A, 4.250%, 5/15/2024 | 126,719 | |
75,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Sr. Unsecd. Note, 144A, 4.750%, 6/1/2027 | 77,062 | |
125,000 | Performance Food Group, Inc., 144A, 5.500%, 6/1/2024 | 128,125 | |
500,000 | Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 5.250%, 6/1/2026 | 525,620 | |
TOTAL | 1,918,341 | ||
Retailers—1.3% | |||
150,000 | Hanesbrands, Inc., Sr. Unsecd. Note, 144A, 4.625%, 5/15/2024 | 156,480 | |
250,000 | Hanesbrands, Inc., Sr. Unsecd. Note, 144A, 4.875%, 5/15/2026 | 260,598 | |
375,000 | Michaels Stores, Inc., 144A, 5.875%, 12/15/2020 | 375,759 | |
300,000 | Michaels Stores, Inc., Sr. Unsecd. Note, 144A, 8.000%, 7/15/2027 | 299,742 | |
525,000 | Party City Holdings, Inc., Sr. Unsecd. Note, 144A, 6.125%, 8/15/2023 | 530,250 | |
375,000 | Party City Holdings, Inc., Sr. Unsecd. Note, 144A, 6.625%, 8/1/2026 | 364,687 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Retailers—continued | |||
$50,000 | William Carter Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2027 | $52,563 | |
TOTAL | 2,040,079 | ||
Supermarkets—0.9% | |||
225,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 7.500%, 3/15/2026 | 241,313 | |
600,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 5.750%, 3/15/2025 | 607,500 | |
550,000 | Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 6.625%, 6/15/2024 | 572,687 | |
TOTAL | 1,421,500 | ||
Technology—7.8% | |||
650,000 | Banff Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.750%, 9/1/2026 | 567,125 | |
375,000 | CDW LLC/CDW Finance, Sr. Unsecd. Note, 5.500%, 12/1/2024 | 402,750 | |
775,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Unsecd. Note, 144A, 7.125%, 6/15/2024 | 818,190 | |
275,000 | Ensemble S Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 9.000%, 9/30/2023 | 284,969 | |
125,000 | Financial & Risk US Holdings, Inc., 144A, 6.250%, 5/15/2026 | 128,875 | |
825,000 | Financial & Risk US Holdings, Inc., Sr. Unsecd. Note, 144A, 8.250%, 11/15/2026 | 850,575 | |
100,000 | First Data Corp., 144A, 5.000%, 1/15/2024 | 102,513 | |
250,000 | First Data Corp., 144A, 5.375%, 8/15/2023 | 254,813 | |
775,000 | First Data Corp., 144A, 5.750%, 1/15/2024 | 798,250 | |
250,000 | Gartner, Inc., Sr. Unsecd. Note, 144A, 5.125%, 4/1/2025 | 258,477 | |
125,000 | Go Daddy Operating Co. LLC/GD Finance Co. Inc., Sr. Unsecd. Note, 144A, 5.250%, 12/1/2027 | 129,844 | |
725,000 | Inception Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 8.625%, 11/15/2024 | 668,812 | |
950,000 | Infor US, Inc., 6.500%, 5/15/2022 | 970,282 | |
675,000 | Italics Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 7.125%, 7/15/2023 | 688,615 | |
675,000 | JDA Escrow LLC/JDA Bond Finance, Inc., 144A, 7.375%, 10/15/2024 | 705,375 | |
400,000 | NCR Corp., 6.375%, 12/15/2023 | 413,500 | |
175,000 | NCR Corp., Sr. Unsecd. Note, 5.875%, 12/15/2021 | 177,930 | |
450,000 | Nuance Communications, Inc., Sr. Unsecd. Note, 5.625%, 12/15/2026 | 470,385 | |
375,000 | Riverbed Technology, Inc., Sr. Unsecd. Note, 144A, 8.875%, 3/1/2023 | 252,188 | |
475,000 | SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027 | 493,703 | |
200,000 | Sensata Technologies UK Financing Co. PLC, Sr. Unsecd. Note, 144A, 6.250%, 2/15/2026 | 213,500 | |
200,000 | Star Merger Sub, Inc., 144A, 6.875%, 8/15/2026 | 212,000 | |
725,000 | Star Merger Sub, Inc., Sr. Unsecd. Note, 144A, 10.250%, 2/15/2027 | 772,125 | |
375,000 | TTM Technologies, Inc., Sr. Unsecd. Note, 144A, 5.625%, 10/1/2025 | 367,597 | |
1,075,000 | Tempo Acquisition LLC, Sr. Unsecd. Note, 144A, 6.750%, 6/1/2025 | 1,112,625 | |
400,000 | Western Digital Corp., Sr. Unsecd. Note, 4.750%, 2/15/2026 | 393,420 | |
TOTAL | 12,508,438 | ||
Utility - Electric—2.4% | |||
150,000 | Calpine Corp., 144A, 5.250%, 6/1/2026 | 153,188 | |
550,000 | Calpine Corp., 5.750%, 1/15/2025 | 547,937 | |
825,000 | Enviva Partners LP/Enviva Partners Finance Corp., Sr. Unsecd. Note, 8.500%, 11/1/2021 | 861,094 | |
225,000 | NRG Energy, Inc., Sr. Unsecd. Note, 144A, 5.250%, 6/15/2029 | 240,187 | |
375,000 | NRG Energy, Inc., Sr. Unsecd. Note, 7.250%, 5/15/2026 | 414,375 | |
50,000 | NRG Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 1/15/2028 | 53,813 | |
50,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.250%, 1/31/2023 | 50,313 | |
750,000 | TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028 | 755,625 | |
150,000 | Vistra Energy Corp., Sr. Unsecd. Note, 5.875%, 6/1/2023 | 153,937 | |
300,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.000%, 7/31/2027 | 311,053 | |
175,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026 | 185,281 | |
200,000 | Vistra Operations Co., LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027 | 212,500 | |
TOTAL | 3,939,303 |
Principal Amount or Shares | Value | ||
CORPORATE BONDS—continued | |||
Wireless Communications—3.8% | |||
$250,000 | Altice France SA, 144A, 8.125%, 2/1/2027 | $263,125 | |
650,000 | Altice Luxembourg SA, Sr. Unsecd. Note, 144A, 7.625%, 2/15/2025 | 613,844 | |
1,175,000 | Numericable-SFR SAS, 144A, 7.375%, 5/1/2026 | 1,207,312 | |
500,000 | Sprint Capital Corp., Company Guarantee, 6.875%, 11/15/2028 | 518,750 | |
775,000 | Sprint Corp., 7.125%, 6/15/2024 | 823,670 | |
750,000 | Sprint Corp., 7.875%, 9/15/2023 | 817,500 | |
400,000 | Sprint Corp., Sr. Unsecd. Note, 7.625%, 2/15/2025 | 426,500 | |
200,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 4.500%, 2/1/2026 | 205,500 | |
250,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2028 | 258,513 | |
275,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.000%, 3/1/2023 | 281,875 | |
300,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2025 | 312,300 | |
325,000 | T-Mobile USA, Inc., Sr. Unsecd. Note, 6.500%, 1/15/2026 | 352,157 | |
TOTAL | 6,081,046 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $153,885,965) | 152,614,189 | ||
COMMON STOCK—0.1% | |||
Media Entertainment—0.1% | |||
7,915 | 2 | iHeartMedia, Inc. (IDENTIFIED COST $191,921) | 119,121 |
REPURCHASE AGREEMENT—4.6% | |||
7,383,000 | Interest in $590,000,000 joint repurchase agreement 2.51%, dated 6/28/2019 under which Bank of America, N.A. will repurchase securities provided as collateral for $590,123,408 on 7/1/2019. 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 6/20/2044 and the market value of those underlying securities was $601,925,877. (IDENTIFIED COST $7,383,000) | 7,383,000 | |
TOTAL INVESTMENT IN SECURITIES—99.8% (IDENTIFIED COST $161,460,886)4 | 160,116,310 | ||
OTHER ASSETS AND LIABILITIES - NET—0.2%5 | 389,984 | ||
TOTAL NET ASSETS—100% | $160,506,294 |
1 | Issuer in default. |
2 | Non-income-producing security. |
3 | Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund's Board of Trustees (the “Trustees”). |
4 | The cost of investments for federal tax purposes amounts to $161,606,275. |
5 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Price | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $152,614,114 | $75 | $152,614,189 |
Equity Securities: | ||||
Common Stock | ||||
Domestic | 119,121 | — | — | 119,121 |
Repurchase Agreement | — | 7,383,000 | — | 7,383,000 |
TOTAL SECURITIES | $119,121 | $159,997,114 | $75 | $160,116,310 |
Six Months Ended (unaudited) 6/30/2019 | Year Ended December 31, | |||||
2018 | 2017 | 2016 | 2015 | 2014 | ||
Net Asset Value, Beginning of Period | $6.07 | $6.82 | $6.84 | $6.36 | $6.91 | $7.15 |
Income From Investment Operations: | ||||||
Net investment income1 | 0.17 | 0.34 | 0.36 | 0.37 | 0.37 | 0.39 |
Net realized and unrealized gain (loss) | 0.43 | (0.55) | 0.09 | 0.53 | (0.53) | (0.20) |
TOTAL FROM INVESTMENT OPERATIONS | 0.60 | (0.21) | 0.45 | 0.90 | (0.16) | 0.19 |
Less Distributions: | ||||||
Distributions from net investment income | (0.40) | (0.54) | (0.47) | (0.42) | (0.39) | (0.43) |
Net Asset Value, End of Period | $6.27 | $6.07 | $6.82 | $6.84 | $6.36 | $6.91 |
Total Return2 | 9.98% | (3.29)% | 6.94% | 14.82% | (2.57)% | 2.69% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.81%3 | 0.81% | 0.78% | 0.72% | 0.77% | 0.77% |
Net investment income | 5.52%3 | 5.27% | 5.26% | 5.74% | 5.55% | 5.60% |
Expense waiver/reimbursement4 | 0.02%3 | 0.01% | 0.00%5 | 0.06% | —% | —% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $112,532 | $106,628 | $192,194 | $190,070 | $267,448 | $287,649 |
Portfolio turnover | 14% | 18% | 32% | 26% | 33% | 33% |
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. Total returns for periods of less than one year are not annualized. |
3 | Computed on an annualized basis. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
5 | Represents less than 0.01%. |
Six Months Ended (unaudited) 6/30/2019 | Year Ended December 31, | |||||
2018 | 2017 | 2016 | 2015 | 2014 | ||
Net Asset Value, Beginning of Period | $6.04 | $6.78 | $6.81 | $6.33 | $6.87 | $7.11 |
Income From Investment Operations: | ||||||
Net investment income1 | 0.16 | 0.32 | 0.34 | 0.35 | 0.35 | 0.38 |
Net realized and unrealized gain (loss) | 0.43 | (0.54) | 0.09 | 0.53 | (0.52) | (0.21) |
TOTAL FROM INVESTMENT OPERATIONS | 0.59 | (0.22) | 0.43 | 0.88 | (0.17) | 0.17 |
Less Distributions: | ||||||
Distributions from net investment income | (0.38) | (0.52) | (0.46) | (0.40) | (0.37) | (0.41) |
Net Asset Value, End of Period | $6.25 | $6.04 | $6.78 | $6.81 | $6.33 | $6.87 |
Total Return2 | 9.91% | (3.43)% | 6.56% | 14.53% | (2.72)% | 2.42% |
Ratios to Average Net Assets: | ||||||
Net expenses | 1.06%3 | 1.06% | 1.03% | 0.96% | 1.01% | 1.02% |
Net investment income | 5.27%3 | 5.03% | 5.01% | 5.48% | 5.29% | 5.35% |
Expense waiver/reimbursement4 | 0.02%3 | 0.01% | 0.00%5 | 0.08% | —% | —% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $47,974 | $43,012 | $50,284 | $49,183 | $44,179 | $57,999 |
Portfolio turnover | 14% | 18% | 32% | 26% | 33% | 33% |
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. Total returns for periods of less than one year are not annualized. |
3 | Computed on an annualized basis. |
4 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
5 | Represents less than 0.01%. |
Assets: | ||
Investment in securities, at value (identified cost $161,460,886) | $160,116,310 | |
Cash | 236 | |
Income receivable | 2,506,868 | |
Receivable for investments sold | 247,326 | |
Receivable for shares sold | 71,764 | |
TOTAL ASSETS | 162,942,504 | |
Liabilities: | ||
Payable for investments purchased | $1,791,506 | |
Payable for shares redeemed | 604,398 | |
Payable for investment adviser fee (Note 5) | 7,750 | |
Payable for administrative fees (Note 5) | 1,049 | |
Payable for distribution services fee (Note 5) | 9,667 | |
Accrued expenses (Note 5) | 21,840 | |
TOTAL LIABILITIES | 2,436,210 | |
Net assets for 25,615,490 shares outstanding | $160,506,294 | |
Net Assets Consist of: | ||
Paid-in capital | $169,892,887 | |
Total distributable earnings (loss) | (9,386,593) | |
TOTAL NET ASSETS | $160,506,294 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
Net asset value per share ($112,532,017 ÷ 17,937,570 shares outstanding), no par value, unlimited shares authorized | $6.27 | |
Service Shares: | ||
Net asset value per share ($47,974,277 ÷ 7,677,920 shares outstanding), no par value, unlimited shares authorized | $6.25 |
Investment Income: | ||
Interest | $4,952,331 | |
Expenses: | ||
Investment adviser fee (Note 5) | $469,528 | |
Administrative fee (Note 5) | 63,158 | |
Custodian fees | 7,475 | |
Transfer agent fee | 8,359 | |
Directors'/Trustees' fees (Note 5) | 1,154 | |
Auditing fees | 16,870 | |
Legal fees | 5,368 | |
Portfolio accounting fees | 42,099 | |
Distribution services fee (Note 5) | 57,021 | |
Printing and postage | 26,478 | |
Miscellaneous (Note 5) | 11,361 | |
TOTAL EXPENSES | 708,871 | |
Waiver of investment adviser fee (Note 5) | (19,350) | |
Net expenses | 689,521 | |
Net investment income | 4,262,810 | |
Realized and Unrealized Gain (Loss) on Investments: | ||
Net realized gain on investments | 13,890 | |
Net change in unrealized depreciation of investments | 10,663,821 | |
Net realized and unrealized gain on investments | 10,677,711 | |
Change in net assets resulting from operations | $14,940,521 |
Six Months Ended (unaudited) 6/30/2019 | Year Ended 12/31/2018 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $4,262,810 | $9,093,387 |
Net realized gain | 13,890 | 590,091 |
Net change in unrealized appreciation/depreciation | 10,663,821 | (15,517,633) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 14,940,521 | (5,834,155) |
Distributions to Shareholders: | ||
Primary Shares | (6,917,851) | (9,160,767) |
Service Shares | (2,697,708) | (3,793,391) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (9,615,559) | (12,954,158) |
Share Transactions: | ||
Proceeds from sale of shares | 23,096,008 | 32,243,150 |
Net asset value of shares issued to shareholders in payment of distributions declared | 9,615,553 | 12,954,150 |
Cost of shares redeemed | (27,169,951) | (119,247,711) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 5,541,610 | (74,050,411) |
Change in net assets | 10,866,572 | (92,838,724) |
Net Assets: | ||
Beginning of period | 149,639,722 | 242,478,446 |
End of period | $160,506,294 | $149,639,722 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | 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. |
Six Months Ended 6/30/2019 | Year Ended 12/31/2018 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,919,958 | $12,017,728 | 3,543,782 | $22,656,876 |
Shares issued to shareholders in payment of distributions declared | 1,132,218 | 6,917,851 | 1,477,543 | 9,160,767 |
Shares redeemed | (2,678,808) | (16,779,752) | (15,649,947) | (103,973,265) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | 373,368 | 2,155,827 | (10,628,622) | (72,155,622) |
Six Months Ended 6/30/2019 | Year Ended 12/31/2018 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 1,785,719 | $11,078,280 | 1,496,206 | $9,586,274 |
Shares issued to shareholders in payment of distributions declared | 442,972 | 2,697,702 | 613,816 | 3,793,383 |
Shares redeemed | (1,671,703) | (10,390,199) | (2,402,438) | (15,274,446) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 556,988 | $3,385,783 | (292,416) | $(1,894,789) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 930,356 | 5,541,610 | (10,921,038) | (74,050,411) |
Short-Term | Long-Term | Total |
$223,291 | $11,808,898 | $12,032,189 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Distribution Services Fees Incurred | |
Service Shares | $57,021 |
Purchases | $21,828,024 |
Sales | $24,409,732 |
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,099.80 | $4.22 |
Service Shares | $1,000 | $1,099.10 | $5.52 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,020.80 | $4.06 |
Service Shares | $1,000 | $1,019.50 | $5.31 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (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 | 0.81% |
Service Shares | 1.06% |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916843
2019 ©Federated Investors, Inc.
Share Class | Primary | Service |
Sector Composition | Percentage of Total Net Assets |
Health Care | 29.7% |
Information Technology | 18.9% |
Industrials | 9.3% |
Consumer Discretionary | 6.6% |
Materials | 4.7% |
Financials | 3.3% |
Real Estate | 2.7% |
Communication Services | 1.9% |
Energy | 0.8% |
Consumer Staples | 0.1% |
Securities Lending Collateral2 | 1.8% |
Cash Equivalents3 | 22.3% |
Other Assets and Liabilities—Net4 | (2.1)% |
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 cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds, other money market instruments and/or repurchase agreements. |
3 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those representing cash collateral for securities lending. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Shares or Principal Amount | Value | ||
COMMON STOCKS—77.9% | |||
Communication Services—1.9% | |||
972,501 | BT Group PLC | $2,430,868 | |
25,879 | JC Decaux SA | 783,949 | |
1,337 | 1 | Spotify Technology SA | 195,496 |
TOTAL | 3,410,313 | ||
Consumer Discretionary—6.6% | |||
3,500 | 1 | Alibaba Group Holding Ltd., ADR | 593,075 |
680 | 1 | Amazon.com, Inc. | 1,287,668 |
5,000 | 1,2 | Canada Goose Holdings, Inc. | 193,650 |
3,387 | 1 | Etsy, Inc. | 207,860 |
22,200 | 1 | Floor & Decor Holdings, Inc. | 930,180 |
10,000 | 1 | GreenTree Hospitality Group Ltd., ADR | 130,000 |
14,600 | 1 | GrubHub, Inc. | 1,138,654 |
8,100 | Hilton Worldwide Holdings, Inc. | 791,694 | |
1,600 | Home Depot, Inc. | 332,752 | |
15,400 | Las Vegas Sands Corp. | 909,986 | |
15,500 | 1,2 | Levi Strauss & Co. | 323,640 |
19,800 | 1,2 | Luckin Coffee, Inc., ADR | 385,902 |
24,200 | Moncler S.p.A | 1,034,670 | |
771,467 | NagaCorp Ltd. | 946,126 | |
3,310 | 1 | Planet Fitness, Inc. | 239,776 |
2,750 | 1 | Takeaway.com Holding BV | 258,097 |
8,000 | 1 | The RealReal, Inc. | 231,200 |
3,981 | Vail Resorts, Inc. | 888,480 | |
13,450 | Wingstop, Inc. | 1,274,388 | |
TOTAL | 12,097,798 | ||
Consumer Staples—0.1% | |||
1,008 | 1,2 | Beyond Meat, Inc. | 161,965 |
Energy—0.8% | |||
24,701 | 1 | New Fortress Energy LLC | 289,249 |
3,400 | Pioneer Natural Resources, Inc. | 523,124 | |
32,000 | 1 | Rattler Midstream Partners LP | 620,480 |
TOTAL | 1,432,853 | ||
Financials—3.3% | |||
9,400 | 1 | ARYA Sciences Acquisition Corp. | 100,486 |
4,200 | BlackRock, Inc. | 1,971,060 | |
165,233 | FinecoBank Banca Fineco SPA | 1,843,166 | |
19,200 | Hamilton Lane, Inc. | 1,095,552 | |
2,600 | Kemper Corp. | 224,354 | |
55,000 | 1 | Qudian, Inc., ADR | 412,500 |
39,200 | Two Harbors Investment Co. | 496,664 | |
TOTAL | 6,143,782 | ||
Health Care—29.6% | |||
13,400 | Abbott Laboratories | 1,126,940 | |
27,000 | 1 | Albireo Pharma, Inc. | 870,480 |
15,462 | 1,3 | Alector, Inc. | 264,959 |
16,433 | 1 | Alector, Inc. | 312,227 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Health Care—continued | |||
1,800 | 1 | Align Technology, Inc. | $492,660 |
27,324 | 1,2 | Amarin Corporation PLC., ADR | 529,812 |
22,700 | 1 | Amphastar Pharmaceuticals, Inc. | 479,197 |
19,100 | 1 | AnaptysBio, Inc. | 1,077,622 |
49,400 | 1 | Argenx SE | 6,956,552 |
17,101 | 1 | Atara Biotherapeutics, Inc. | 343,901 |
332 | 1 | BioNano Genomics, Inc. | 815 |
23,000 | 1 | Boston Scientific Corp. | 988,540 |
16,663 | 1,2 | CRISPR Therapeutics AG | 784,827 |
86,414 | 1 | Calithera Biosciences, Inc. | 337,015 |
44,400 | 1 | Catabasis Pharmaceuticals, Inc. | 358,308 |
270,092 | 1 | Corcept Therapeutics, Inc. | 3,011,526 |
11,300 | Danaher Corp. | 1,614,996 | |
9,494 | 1 | Dexcom, Inc. | 1,422,581 |
81,762 | 1 | Dynavax Technologies Corp. | 326,231 |
7,200 | 1 | Editas Medicine, Inc. | 178,128 |
2,500 | 1 | Edwards Lifesciences Corp. | 461,850 |
5,400 | 1,2 | GW Pharmaceuticals PLC, ADR | 930,906 |
13,300 | 1 | Galapagos NV | 1,715,506 |
24,200 | 1 | Galapagos NV, ADR | 3,120,106 |
7,249 | 1 | Genmab A/S | 1,334,647 |
15,300 | 1 | Glaukos Corp. | 1,153,620 |
12,679 | 1 | Gossamer Bio, Inc. | 281,220 |
2,700 | 1 | IDEXX Laboratories, Inc. | 743,391 |
6,729 | 1 | Illumina, Inc. | 2,477,281 |
11,200 | 1 | Insulet Corp. | 1,337,056 |
1,836 | 1 | iRhythm Technologies, Inc. | 145,191 |
164,287 | 1 | Minerva Neurosciences, Inc. | 924,936 |
4,100 | 1 | Penumbra, Inc. | 656,000 |
13,400 | 1 | Repligen Corp. | 1,151,730 |
17,200 | 1 | Rhythm Pharmaceuticals, Inc. | 378,400 |
139,400 | 1 | Scynexis, Inc. | 182,614 |
4,300 | Stryker Corp. | 883,994 | |
32,100 | 1 | Tandem Diabetes Care, Inc. | 2,071,092 |
8,000 | 1 | Teladoc, Inc. | 531,280 |
8,100 | 1 | Twist Bioscience Corp. | 234,981 |
33,700 | 1 | Ultragenyx Pharmaceutical, Inc. | 2,139,950 |
32,400 | 1 | UniQure N.V. | 2,532,060 |
33,200 | 1 | Veeva Systems, Inc. | 5,382,052 |
14,400 | 1 | Vericel Corp | 272,016 |
20,900 | 1 | Zai Lab Ltd., ADR | 728,783 |
20,382 | 1,2 | Zogenix, Inc. | 973,852 |
TOTAL | 54,221,831 | ||
Industrials—9.3% | |||
36,900 | Air Lease Corp. | 1,525,446 | |
52,400 | 1 | Azul S.A., ADR | 1,752,256 |
4,030 | 1 | CoStar Group, Inc. | 2,232,862 |
21,400 | Heico Corp. | 2,863,534 | |
16,200 | 1 | IHS Markit Ltd. | 1,032,264 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Industrials—continued | |||
1,341 | 1,2 | Lyft, Inc. | $88,117 |
24,700 | 1 | Mercury Systems, Inc. | 1,737,645 |
6,755 | 1 | Parsons Corp. | 248,989 |
8,300 | Roper Technologies, Inc. | 3,039,958 | |
9,629 | 1 | Trex Co., Inc. | 690,399 |
23,112 | 1 | Upwork, Inc. | 371,641 |
9,400 | Verisk Analytics, Inc. | 1,376,724 | |
TOTAL | 16,959,835 | ||
Information Technology—18.9% | |||
1,575 | 1 | Adobe, Inc. | 464,074 |
58,300 | 1 | Advanced Micro Devices, Inc. | 1,770,571 |
6,410 | 1 | Ansys, Inc. | 1,312,896 |
1,300 | 1 | Avalara, Inc. | 93,860 |
4,700 | Broadcom, Inc. | 1,352,942 | |
16,500 | 1 | Coupa Software, Inc. | 2,089,065 |
2,000 | 1 | DocuSign, Inc. | 99,420 |
9,855 | 1 | Dropbox, Inc. | 246,868 |
2,655 | 1 | Everbridge, Inc. | 237,410 |
132,692 | 1 | Evry AS | 542,733 |
55,000 | 1 | GDS Holdings Ltd., ADR | 2,066,350 |
16,200 | 1 | GoDaddy, Inc. | 1,136,430 |
2,700 | 1 | Guidewire Software, Inc. | 273,726 |
38,400 | Marvell Technology Group Ltd. | 916,608 | |
52,872 | 1 | Nexi SpA | 545,035 |
1,950 | 1 | Okta, Inc. | 240,845 |
45,900 | 1 | PagSeguro Digital Ltd. | 1,788,723 |
15,444 | 1 | Q2 Holdings, Inc. | 1,179,304 |
32,100 | 1 | Radware Ltd. | 793,833 |
15,900 | 1 | Rapid7, Inc. | 919,656 |
9,400 | 1 | RealPage, Inc. | 553,190 |
2,840 | 1 | Salesforce.com, Inc. | 430,913 |
15,400 | 1 | ServiceNow, Inc. | 4,228,378 |
7,950 | 1 | Shopify, Inc. | 2,386,192 |
21,900 | 1 | Splunk, Inc. | 2,753,925 |
7,000 | 1 | Tyler Technologies, Inc. | 1,512,140 |
16,400 | 1 | Workday, Inc. | 3,371,512 |
10,030 | 1 | Worldpay, Inc. | 1,229,177 |
TOTAL | 34,535,776 | ||
Materials—4.7% | |||
24,300 | Agnico Eagle Mines Ltd. | 1,245,132 | |
115,400 | 1 | B2Gold Corp. | 350,725 |
53,000 | Barrick Gold Corp. | 835,810 | |
21,376 | 1 | Endeavour Financial Corp. | 348,500 |
92,700 | 1 | Kinross Gold Corp. | 359,676 |
9,300 | Kirkland Lake Gold Ltd. | 399,156 | |
18,100 | Newcrest Mining Ltd. | 406,808 | |
24,668 | Newmont Goldcorp Corp. | 948,978 | |
112,800 | Oceana Gold Corp. | 308,368 | |
33,200 | Osisko Gold Royalties Ltd. | 346,608 |
Shares or Principal Amount | Value | ||
COMMON STOCKS—continued | |||
Materials—continued | |||
40,200 | 1 | Pretium Resources, Inc. | $402,402 |
3,700 | Sherwin-Williams Co. | 1,695,673 | |
5,000 | Vulcan Materials Co. | 686,550 | |
147,800 | Yamana Gold, Inc. | 372,456 | |
TOTAL | 8,706,842 | ||
Real Estate—2.7% | |||
13,428 | Americold Realty Trust | 435,336 | |
8,038 | 1 | CBRE Group, Inc. | 412,349 |
6,700 | Crown Castle International Corp. | 873,345 | |
33,376 | JBG Smith Properties | 1,313,012 | |
6,700 | Lamar Advertising Co. | 540,757 | |
14,500 | MGM Growth Properties LLC | 444,425 | |
10,500 | Ryman Hospitality Properties | 851,445 | |
TOTAL | 4,870,669 | ||
TOTAL COMMON STOCKS (IDENTIFIED COST $73,323,777) | 142,541,664 | ||
WARRANTS—0.1% | |||
Health Care—0.1% | |||
21,500 | 1 | Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 6/22/2022 | 76,652 |
11,450 | 1 | Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 2/28/2024 | 57,925 |
42,500 | 1 | ContraFect Corp., Warrants, Expiration Date 7/27/2021 | 4,505 |
87,500 | 1 | ContraFect Corp., Warrants, Expiration Date 7/25/2022 | 10,360 |
25,200 | 1 | Scynexis, Inc., Warrants, Expiration Date 3/8/2019 | 14,747 |
21,060 | 1 | Scynexis, Inc., Warrants, Expiration Date 6/24/2021 | 5,328 |
TOTAL WARRANTS (IDENTIFIED COST $1,300) | 169,517 | ||
REPURCHASE AGREEMENTS—24.1% | |||
$40,826,000 | Interest in $590,000,000 joint repurchase agreement 2.51%, dated 6/28/2019 under which Bank of America, N.A. will repurchase securities provided as collateral for $590,123,408 on 7/1/2019. 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 6/20/2044 and the market value of those underlying securities was $601,925,877. | 40,826,000 | |
3,261,246 | Interest in $590,000,000 joint repurchase agreement 2.51%, dated 6/28/2019 under which Bank of America, N.A. will repurchase securities provided as collateral for $590,123,408 on 7/1/2019. 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 6/20/2044 and the market value of those underlying securities was $601,925,877. | 3,261,246 | |
TOTAL REPURCHASE AGREEMENTS (AT COST $44,087,246) | 44,087,246 | ||
TOTAL INVESTMENT IN SECURITIES—102.1% (IDENTIFIED COST $117,412,323)4 | 186,798,427 | ||
OTHER ASSETS AND LIABILITIES - NET—(2.1)%5 | (3,874,515) | ||
TOTAL NET ASSETS—100% | $182,923,912 |
Balance of Shares Held 12/31/2018 | Purchases/ Additions** | Sales/ Reductions** | Balance of Shares Held 6/30/2019 | Value | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss)** | Dividend Income** | |
Energy | ||||||||
New Fortress Energy LLC | — | 24,701 | — | 24,701 | $289,249 | $(56,540) | $— | $— |
Financials | ||||||||
ARYA Sciences Acquisition Corp. | 9,400 | — | — | 9,400 | $100,486 | $4,230 | $— | $— |
Health Care | ||||||||
Albireo Pharma, Inc. | 11,780 | 15,220 | — | 27,000 | $870,480 | $68,369 | $— | $— |
Argenx SE | 49,400 | —- | — | 49,400 | $6,956,552 | $1,412,970 | $— | $— |
Calithera Biosciences, Inc. | 63,581 | 22,833 | — | 86,414 | $337,015 | $(9,277) | $— | $— |
Catabasis Pharmaceuticals, Inc. | 21,500 | 22,900 | — | 44,400 | $358,308 | $149,853 | $— | $— |
Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 6/22/2022 | 215,000 | — | (193,500) | 21,500 | $76,652 | $42,961 | $— | $— |
Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 2/28/2024 | — | 11,450 | — | 11,450 | $57,925 | $57,926 | $— | $— |
ContraFect Corp., Warrants, Expiration Date 7/27/2021* | 42,500 | — | — | 42,500 | $4,505 | $(14,182) | $— | $— |
ContraFect Corp., Warrants, Expiration Date 7/25/2022* | 87,500 | — | — | 87,500 | $10,360 | $(24,561) | $— | $— |
Corcept Therapeutics, Inc. | 302,381 | — | (32,289) | 270,092 | $3,011,526 | $(579,895) | $(60,503) | $— |
Dynavax Technologies Corp. | 63,400 | 18,362 | — | 81,762 | $326,231 | $(325,613) | $— | $— |
Minerva Neurosciences, Inc. | 162,987 | 1,300 | — | 164,287 | $924,936 | $(182,607) | $— | $— |
Scynexis, Inc. | 139,400 | — | — | 139,400 | $182,614 | $115,465 | $— | $— |
Scynexis, Inc., Warrants, Expiration Date 3/8/2019 | 25,200 | — | — | 25,200 | $14,747 | $12,998 | $— | $— |
Scynexis, Inc., Warrants, Expiration Date 6/24/2021 | 21,060 | — | — | 21,060 | $5,328 | $5,096 | $— | $— |
Affiliated issuer no longer held at period end | 15,315 | — | (15,315) | — | $— | $(918,915) | $— | $— |
TOTAL OF AFFILIATED TRANSACTIONS | 1,230,404 | 116,766 | (241,104) | 1,106,066 | $13,526,914 | $(241,722) | $(60,503) | $— |
* | At June 30, 2019, the Fund no longer has ownership of at least 5% of the voting shares. |
** | A portion of the amount shown was recorded when the Fund no longer had ownership of at least 5% of the voting shares. |
1 | Non-income-producing security. |
2 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
3 | Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund's Board of Trustees (the “Trustees”). |
4 | Also represents cost for federal tax purposes. |
5 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Equity Securities: | ||||
Common Stocks | ||||
Domestic | $99,380,7401 | $— | $264,959 | $99,645,699 |
International | 24,097,808 | 18,798,157 | — | 42,895,965 |
Debt Securities: | ||||
Warrants | — | 169,517 | — | 169,517 |
Repurchase Agreements | — | 44,087,246 | — | 44,087,246 |
TOTAL SECURITIES | $123,478,548 | $63,054,920 | $264,959 | $186,798,427 |
1 | Includes $1,569 transferred from Level 3 to Level 1 because observable market data was obtained for a security. This transfer represents the value of the security at the beginning of the period. |
ADR | —American Depositary Receipt |
Six Months Ended (unaudited) 6/30/2019 | Year Ended December 31, | |||||
2018 | 2017 | 2016 | 2015 | 2014 | ||
Net Asset Value, Beginning of Period | $18.55 | $19.16 | $16.70 | $17.42 | $18.92 | $19.22 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | (0.05) | (0.11) | (0.14) | (0.11) | (0.15) | (0.15) |
Net realized and unrealized gain (loss) | 4.87 | 0.95 | 4.54 | 0.56 | 1.44 | 1.91 |
TOTAL FROM INVESTMENT OPERATIONS | 4.82 | 0.84 | 4.40 | 0.45 | 1.29 | 1.76 |
Less Distributions: | ||||||
Distributions from net realized gain | (1.97) | (1.45) | (1.94) | (1.17) | (2.79) | (2.06) |
Net Asset Value, End of Period | $21.40 | $18.55 | $19.16 | $16.70 | $17.42 | $18.92 |
Total Return2 | 26.55% | 3.84% | 28.33% | 3.66% | 6.37% | 9.71% |
Ratios to Average Net Assets: | ||||||
Net expenses | 1.51%3 | 1.52% | 1.54% | 1.54%4 | 1.53%4 | 1.53%4 |
Net investment loss | (0.51)%3 | (0.53)% | (0.77)% | (0.67)% | (0.84)% | (0.83)% |
Expense waiver/reimbursement5 | —%3 | —% | —% | 0.03% | 0.00%6 | 0.09% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $56,806 | $46,160 | $47,985 | $42,122 | $46,450 | $49,425 |
Portfolio turnover | 17% | 41% | 44% | 59% | 60% | 51% |
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. Total returns for periods of less than one year are not annualized. |
3 | Computed on an annualized basis. |
4 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratios are 1.54%, 1.53% and 1.53% for the year ended December 31, 2016, 2015 and 2014, respectively, after taking into account these expense reductions. |
5 | This expense decrease is reflected in both the net expense and the net investment income (loss) ratios shown above. |
6 | Represents less than 0.01%. |
Six Months Ended (unaudited) 6/30/2019 | Year Ended December 31, | |||||
2018 | 2017 | 2016 | 2015 | 2014 | ||
Net Asset Value, Beginning of Period | $17.57 | $18.26 | $16.04 | $16.82 | $18.39 | $18.78 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | (0.07) | (0.15) | (0.17) | (0.14) | (0.19) | (0.19) |
Net realized and unrealized gain (loss) | 4.61 | 0.91 | 4.33 | 0.53 | 1.41 | 1.86 |
TOTAL FROM INVESTMENT OPERATIONS | 4.54 | 0.76 | 4.16 | 0.39 | 1.22 | 1.67 |
Less Distributions: | ||||||
Distributions from net realized gain | (1.97) | (1.45) | (1.94) | (1.17) | (2.79) | (2.06) |
Net Asset Value, End of Period | $20.14 | $17.57 | $18.26 | $16.04 | $16.82 | $18.39 |
Total Return2 | 26.43% | 3.58% | 27.97% | 3.42% | 6.15% | 9.43% |
Ratios to Average Net Assets: | ||||||
Net expenses | 1.76%3 | 1.77% | 1.79% | 1.79%4 | 1.78%4 | 1.78%4 |
Net investment income (loss) | (0.76)%3 | (0.77)% | (1.02)% | (0.92)% | (1.07)% | (1.08)% |
Expense waiver/reimbursement5 | —%3 | —% | —% | 0.03% | 0.00%6 | 0.09% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $126,118 | $105,132 | $96,037 | $78,870 | $91,458 | $69,369 |
Portfolio turnover | 17% | 41% | 44% | 59% | 60% | 51% |
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. Total returns for periods of less than one year are not annualized. |
3 | Computed on an annualized basis. |
4 | The net expense ratio is calculated without reduction for expense offset arrangements. The net expense ratios are 1.79%, 1.78% and 1.78% for the year ended December 31, 2016, 2015 and 2014, respectively, after taking into account these expense reductions. |
5 | This expense decrease is reflected in both the net expense and the net investment income (loss) ratios shown above. |
6 | Represents less than 0.01%. |
Assets: | ||
Investment in repurchase agreements | $44,087,246 | |
Investment in securities | 142,711,181 | |
Investment in securities, at value including $3,259,388 of securities loaned and including $13,512,049 of investments in affiliated companies (identified cost $117,412,323) | $186,798,427 | |
Cash | 9,915 | |
Cash denominated in foreign currencies (identified cost $1,078) | 1,090 | |
Restricted cash (Note 2) | 12 | |
Income receivable | 97,637 | |
Receivable for investments sold | 1,971,557 | |
Receivable for shares sold | 293,656 | |
TOTAL ASSETS | 189,172,294 | |
Liabilities: | ||
Payable for investments purchased | $2,865,613 | |
Payable for shares redeemed | 28,900 | |
Payable for collateral due to broker for securities lending | 3,261,246 | |
Payable for investment adviser fee (Note 5) | 19,322 | |
Payable for administrative fees (Note 5) | 1,180 | |
Payable for distribution services fee (Note 5) | 25,089 | |
Accrued expenses (Note 5) | 47,032 | |
TOTAL LIABILITIES | 6,248,382 | |
Net assets for 8,917,905 shares outstanding | $182,923,912 | |
Net Assets Consist of: | ||
Paid-in capital | $103,936,127 | |
Total distributable earnings (loss) | 78,987,785 | |
TOTAL NET ASSETS | $182,923,912 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
Net asset value per share ($56,805,636 ÷ 2,654,716 shares outstanding), no par value, unlimited shares authorized | $21.40 | |
Service Shares: | ||
Net asset value per share ($126,118,276 ÷ 6,263,189 shares outstanding), no par value, unlimited shares authorized | $20.14 |
Investment Income: | ||
Dividends (including $23,027 of net foreign taxes withheld) | $400,746 | |
Interest | 425,150 | |
Net income on securities loaned | 20,241 | |
TOTAL INCOME | 846,137 | |
Expenses: | ||
Investment adviser fee (Note 5) | $1,105,231 | |
Administrative fee (Note 5) | 68,095 | |
Custodian fees | 12,028 | |
Transfer agent fee | 7,886 | |
Directors'/Trustees' fees (Note 5) | 1,186 | |
Auditing fees | 17,143 | |
Legal fees | 5,285 | |
Portfolio accounting fees | 32,820 | |
Distribution services fee (Note 5) | 147,204 | |
Printing and postage | 17,333 | |
Miscellaneous (Note 5) | 15,192 | |
TOTAL EXPENSES | 1,429,403 | |
Net investment income (loss) | (583,266) | |
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions: | ||
Net realized gain on investments (including net realized loss of $(60,503) on sales of investments in affiliated companies*) | 10,380,542 | |
Net realized loss on foreign currency transactions | (180) | |
Net realized gain on futures contracts | 24,897 | |
Net change in unrealized appreciation of investments (including net change in unrealized appreciation of $(241,722) on investments in affiliated companies*) | 29,203,183 | |
Net change in unrealized appreciation/depreciation of translation of assets and liabilities in foreign currency | 751 | |
Net realized and unrealized gain on investments, futures contracts and foreign currency transactions | 39,609,193 | |
Change in net assets resulting from operations | $39,025,927 |
* | See information listed after the Fund's Portfolio of Investments. |
Six Months Ended (unaudited) 6/30/2019 | Year Ended 12/31/2018 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income (loss) | $(583,266) | $(1,157,191) |
Net realized gain | 10,405,259 | 16,859,405 |
Net change in unrealized appreciation/depreciation | 29,203,934 | (11,055,635) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 39,025,927 | 4,646,579 |
Distributions to Shareholders: | ||
Primary Shares | (4,810,725) | (3,543,669) |
Service Shares | (11,433,059) | (7,812,619) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (16,243,784) | (11,356,288) |
Share Transactions: | ||
Proceeds from sale of shares | 20,451,088 | 53,258,598 |
Net asset value of shares issued to shareholders in payment of distributions declared | 16,243,770 | 11,356,277 |
Cost of shares redeemed | (27,845,024) | (50,635,284) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 8,849,834 | 13,979,591 |
Change in net assets | 31,631,977 | 7,269,882 |
Net Assets: | ||
Beginning of period | 151,291,935 | 144,022,053 |
End of period | $182,923,912 | $151,291,935 |
■ | 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 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. |
■ | 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. |
Market Value of Securities Loaned | Market Value of Collateral |
$3,259,388 | $3,261,246 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |
Futures Contracts | |
Equity contracts | $24,897 |
Six Months Ended 6/30/2019 | Year Ended 12/31/2018 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 138,684 | $2,861,438 | 246,431 | $5,031,315 |
Shares issued to shareholders in payment of distributions declared | 236,865 | 4,810,723 | 176,918 | 3,543,667 |
Shares redeemed | (209,830) | (4,315,704) | (439,023) | (8,907,467) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | 165,719 | $3,356,457 | (15,674) | $(332,485) |
Six Months Ended 6/30/2019 | Year Ended 12/31/2018 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 905,101 | $17,589,650 | 2,502,643 | $48,227,283 |
Shares issued to shareholders in payment of distributions declared | 597,650 | 11,433,047 | 410,758 | 7,812,610 |
Shares redeemed | (1,223,408) | (23,529,320) | (2,189,022) | (41,727,817) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | 279,343 | $5,493,377 | 724,379 | $14,312,076 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 445,062 | $8,849,834 | 708,705 | $13,979,591 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Percentage of Average Daily Net Assets of Class | |
Primary Shares | 0.25% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | |
Service Shares | $147,204 |
Purchases | $23,605,357 |
Sales | $42,520,215 |
Country | Percentage of Net Assets |
United States | 76.6% |
Netherland | 5.3% |
Canada | 3.6% |
Belgium | 2.6% |
China | 2.4% |
Brazil | 2.1% |
Italy | 1.9% |
United Kingdom | 1.8% |
Other1 | 3.7% |
1 | Countries representing less than 1.0% have been aggregated under the designation “Other.” |
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,265.50 | $8.48 |
Service Shares | $1,000 | $1,264.30 | $9.88 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,017.30 | $7.55 |
Service Shares | $1,000 | $1,016.10 | $8.80 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (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 | 1.51% |
Service Shares | 1.76% |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916777
2019 ©Federated Investors, Inc.
Share Class | Primary | Service |
Security Type | Percentage of Total Net Assets |
U.S. Government Agency Securities | 45.7% |
U.S. Treasury Securities | 11.8% |
Repurchase Agreements | 42.5% |
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 | 59.7% |
8-30 Days | 18.7% |
31-90 Days | 7.7% |
91-180 Days | 9.5% |
181 Days or more | 4.4% |
Other Assets and Liabilities—Net2,3 | 0.0% |
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 | 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. |
Principal Amount | Value | ||
GOVERNMENT AGENCIES—45.7% | |||
$1,000,000 | 1 | Federal Farm Credit System Discount Notes, 2.400%—2.680%, 8/23/2019 - 12/12/2019 | $990,638 |
500,000 | 2 | Federal Farm Credit System Floating Rate Notes, 2.294% (1-month USLIBOR -0.110%), 7/27/2019 | 500,000 |
500,000 | 2 | Federal Farm Credit System Floating Rate Notes, 2.324%—2.331% (1-month USLIBOR -0.080%), 7/13/2019 - 7/27/2019 | 499,990 |
750,000 | 2 | Federal Farm Credit System Floating Rate Notes, 2.348%—2.363% (1-month USLIBOR -0.065%), 7/12/2019 - 7/29/2019 | 749,979 |
300,000 | 2 | Federal Farm Credit System Floating Rate Notes, 2.370% (1-month USLIBOR -0.060%), 7/4/2019 | 299,997 |
500,000 | 2 | Federal Farm Credit System Floating Rate Notes, 2.372% (1-month USLIBOR -0.010%), 7/20/2019 | 500,000 |
250,000 | 2 | Federal Farm Credit System Floating Rate Notes, 2.381% (1-month USLIBOR -0.030%), 7/9/2019 | 250,000 |
500,000 | 2 | Federal Farm Credit System Floating Rate Notes, 2.396% (1-month USLIBOR -0.015%), 7/8/2019 | 500,000 |
250,000 | 2 | Federal Farm Credit System Floating Rate Notes, 2.409% (1-month USLIBOR +0.005%), 7/27/2019 | 249,991 |
500,000 | 2 | Federal Farm Credit System Floating Rate Notes, 2.410% (1-month USLIBOR +0.000%), 7/13/2019 | 500,000 |
400,000 | 2 | Federal Farm Credit System Floating Rate Notes, 2.431% (1-month USLIBOR +0.000%), 7/4/2019 | 399,988 |
200,000 | 2 | Federal Farm Credit System Floating Rate Notes, 2.505% (Effective Fed Funds +0.125%), 7/1/2019 | 199,983 |
250,000 | 2 | Federal Farm Credit System Floating Rate Notes, 2.540% (Secured Overnight Financing Rate +0.120%), 7/1/2019 | 250,000 |
700,000 | Federal Farm Credit System Notes, 2.470%, 7/2/2019 | 699,868 | |
5,750,000 | 1 | Federal Home Loan Bank System Discount Notes, 2.375%—2.455%, 7/5/2019 - 11/13/2019 | 5,722,988 |
400,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.171%—2.279% (3-month USLIBOR -0.140%), 9/19/2019 - 9/26/2019 | 400,034 |
600,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.269% (1-month USLIBOR -0.125%), 7/16/2019 | 600,000 |
400,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.280% (3-month USLIBOR -0.245%), 8/16/2019 | 399,954 |
1,800,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.284%—2.298% (3-month USLIBOR -0.300%), 7/3/2019 - 7/10/2019 | 1,800,000 |
1,200,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.285% (1-month USLIBOR -0.105%), 7/19/2019 | 1,200,000 |
2,200,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.290%—2.317% (3-month USLIBOR -0.275%), 7/22/2019 - 8/7/2019 | 2,200,000 |
600,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.306% (3-month USLIBOR -0.295%), 7/16/2019 | 600,000 |
200,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.312% (1-month USLIBOR -0.070%), 7/18/2019 | 200,000 |
1,400,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.317% (3-month USLIBOR -0.265%), 7/29/2019 | 1,400,000 |
500,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.321% (1-month USLIBOR -0.080%), 7/26/2019 | 500,000 |
750,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.322%—2.352% (1-month USLIBOR -0.060%), 7/11/2019 - 7/18/2019 | 750,000 |
1,000,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.326% (1-month USLIBOR -0.085%), 7/9/2019 | 1,000,000 |
750,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.328%—2.358% (1-month USLIBOR -0.055%), 7/12/2019 - 7/20/2019 | 750,000 |
750,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.340%—2.380% (1-month USLIBOR -0.050%), 7/5/2019 - 7/19/2019 | 750,000 |
200,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.346% (1-month USLIBOR -0.065%), 7/8/2019 | 200,000 |
500,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.357% (1-month USLIBOR -0.025%), 7/20/2019 | 500,000 |
500,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.364% (1-month USLIBOR -0.040%), 7/27/2019 | 500,000 |
300,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.394% (1-month USLIBOR +0.000%), 7/16/2019 | 300,000 |
1,250,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.440% (Secured Overnight Financing Rate +0.020%), 7/1/2019 | 1,250,000 |
250,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.441% (3-month USLIBOR -0.150%), 7/22/2019 | 250,000 |
500,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.445% (Secured Overnight Financing Rate +0.025%), 7/1/2019 | 500,000 |
1,000,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.450% (Secured Overnight Financing Rate +0.030%), 7/1/2019 | 1,000,000 |
500,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.455% (Secured Overnight Financing Rate +0.035%), 7/1/2019 | 500,000 |
250,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.525% (Secured Overnight Financing Rate +0.105%), 7/1/2019 | 250,000 |
300,000 | 2 | Federal Home Loan Bank System Floating Rate Notes, 2.535% (Secured Overnight Financing Rate +0.115%), 7/1/2019 | 299,998 |
1,900,000 | Federal Home Loan Bank System, 2.400%—2.580%, 8/19/2019 - 6/17/2020 | 1,899,987 | |
1,200,000 | 1 | Federal Home Loan Mortgage Corp. Discount Notes, 2.460%, 9/3/2019 | 1,194,752 |
1,200,000 | Federal Home Loan Mortgage Corp., 2.460%—2.520%, 4/8/2020 - 6/3/2020 | 1,200,000 | |
2,000,000 | 2 | Federal National Mortgage Association Floating Rate Notes, 2.580% (Secured Overnight Financing Rate +0.160%), 7/1/2019 | 2,000,000 |
900,000 | Federal National Mortgage Association, 1.000%, 8/28/2019 - 10/24/2019 | 896,877 | |
TOTAL GOVERNMENT AGENCIES | 37,605,024 |
Principal Amount | Value | ||
U.S. TREASURIES—11.8% | |||
U.S. Treasury Bills—3.3% | |||
$750,000 | 1 | United States Treasury Bills, 2.130%, 12/19/2019 | $742,412 |
750,000 | 1 | United States Treasury Bills, 2.136%, 12/12/2019 | 742,702 |
500,000 | 1 | United States Treasury Bills, 2.390%, 10/17/2019 | 496,415 |
750,000 | 1 | United States Treasury Bills, 2.465%—2.468%, 2/27/2020 | 737,619 |
TOTAL | 2,719,148 | ||
U.S. Treasury Notes—8.5% | |||
200,000 | 2 | United States Treasury Floating Rate Notes, 2.129% (91-day T-Bill +0.033%), 7/2/2019 | 200,013 |
1,200,000 | 2 | United States Treasury Floating Rate Notes, 2.141% (91-day T-Bill +0.045%), 7/2/2019 | 1,198,989 |
2,700,000 | 2 | United States Treasury Floating Rate Notes, 2.211% (91-day T-Bill +0.115%), 7/2/2019 | 2,698,347 |
200,000 | United States Treasury Notes, 1.375%, 3/31/2020 | 198,256 | |
1,000,000 | United States Treasury Notes, 1.500%, 10/31/2019 | 996,415 | |
250,000 | United States Treasury Notes, 1.875%, 12/31/2019 | 249,185 | |
950,000 | United States Treasury Notes, 3.375%, 11/15/2019 | 952,985 | |
500,000 | United States Treasury Notes, 3.625%, 8/15/2019 | 500,614 | |
TOTAL | 6,994,804 | ||
TOTAL U.S. TREASURIES | 9,713,952 | ||
REPURCHASE AGREEMENTS—42.5% | |||
10,000,000 | Interest in $450,000,000 joint repurchase agreement 2.56%, dated 6/28/2019 under which J.P. Morgan Securities LLC will repurchase securities provided as collateral for $450,096,000 on 7/1/2019. 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 10/16/2058 and the market value of those underlying securities was $463,500,000. | 10,000,000 | |
20,000,000 | Interest in $100,000,000 joint repurchase agreement 2.54%, dated 6/28/2019 under which Pershing LLC will repurchase securities provided as collateral for $100,021,167 on 7/1/2019. 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 11/20/2048 and the market value of those underlying securities was $102,083,052. | 20,000,000 | |
4,905,000 | Interest in $3,000,000,000 joint repurchase agreement 2.52%, dated 6/28/2019 under which Sumitomo Mitsui Banking Corp. will repurchase securities provided as collateral for $3,000,630,000 on 7/1/2019. 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 11/20/2048 and the market value of those underlying securities was $3,060,642,600. | 4,905,000 | |
TOTAL REPURCHASE AGREEMENTS | 34,905,000 | ||
TOTAL INVESTMENT IN SECURITIES—100.0% (AT AMORTIZED COST)3 | 82,223,976 | ||
OTHER ASSETS AND LIABILITIES - NET—0.0%4 | 28,122 | ||
TOTAL NET ASSETS—100% | $82,252,098 |
1 | Discount rate(s) at time of purchase. |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | Also represents cost for federal tax purposes. |
4 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
LIBOR | —London Interbank Offered Rate |
Six Months Ended (unaudited) 6/30/2019 | Year Ended December 31, | Period Ended 12/31/20161 | ||
2018 | 2017 | |||
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 |
Income From Investment Operations: | ||||
Net investment income | 0.013 | 0.015 | 0.002 | 0.0002 |
Net realized gain | (0.003) | 0.0002 | 0.004 | — |
TOTAL FROM INVESTMENT OPERATIONS | 0.010 | 0.015 | 0.006 | 0.0002 |
Less Distributions: | ||||
Distributions from net investment income | (0.010) | (0.015) | (0.006) | (0.000)2 |
TOTAL DISTRIBUTIONS | (0.010) | (0.015) | (0.006) | (0.000)2 |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return3 | 1.04% | 1.50% | 0.56% | 0.06% |
Ratios to Average Net Assets: | ||||
Net expenses | 0.38%4 | 0.38% | 0.38% | —% |
Net investment income | 2.68%4 | 0.84% | 0.17% | 0.02%4 |
Expense waiver/reimbursement | —% | —% | —% | —% |
Supplemental Data: | ||||
Net assets, end of period (000 omitted) | $05 | $05 | $05 | $05 |
1 | Reflects operations for the period from April 29, 2016 (date of initial investment) to December 31, 2016. |
2 | Represents less than $0.001. |
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. Total returns for periods of less than one year are not annualized. |
4 | Computed on an annualized basis. |
5 | Represents less than $1,000. |
Six Months Ended (unaudited) 10/31/2017 | Year Ended December 31, | ||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Income From Investment Operations: | |||||||
Net investment income | 0.009 | 0.012 | 0.003 | 0.0001 | — | — | |
Net realized gain (loss) | — | (0.000)1 | 0.0001 | (0.000)1 | 0.0001 | 0.0001 | |
TOTAL FROM INVESTMENT OPERATIONS | 0.009 | 0.012 | 0.003 | (0.000)1 | 0.0001 | 0.0001 | |
Less Distributions: | |||||||
Distributions from net investment income | (0.009) | (0.012) | (0.003) | (0.000)1 | — | — | |
Distributions from net realized gain | — | — | — | — | (0.000)1 | — | |
TOTAL DISTRIBUTIONS | (0.009) | (0.012) | (0.003) | (0.000)1 | (0.000)1 | (0.000) | |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Total Return2 | 0.91% | 1.25% | 0.31% | 0.00% | 0.00% | 0.00% | |
Ratios to Average Net Assets: | |||||||
Net expenses | 0.63%3 | 0.63% | 0.63% | 0.49% | 0.34% | 0.26% | |
Net investment income | 1.84%3 | 1.26% | 0.30% | 0.00%4 | 0.00% | 0.00% | |
Expense waiver/reimbursement5 | 0.06%3 | 0.11% | 0.07% | 0.19% | 0.40% | 0.42% | |
Supplemental Data: | |||||||
Net assets, end of period (000 omitted) | $82,252 | $130,261 | $93,719 | $112,214 | $139,170 | $132,678 |
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. Total returns for periods of less than one year are not annualized. |
3 | Computed on an annualized basis. |
4 | Represents less than 0.01%. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in repurchase agreements | $34,905,000 | |
Investment in securities | 47,318,976 | |
Investment in securities, at amortized cost and fair value | $82,223,976 | |
Cash | 60 | |
Income receivable | 121,482 | |
Receivable for shares sold | 4,612 | |
Other receivables | 351 | |
TOTAL ASSETS | 82,350,481 | |
Liabilities: | ||
Payable for shares redeemed | $52,557 | |
Payable for investment adviser fee (Note 5) | 582 | |
Payable for administrative fees (Note 5) | 536 | |
Payable for portfolio accounting fees | 26,215 | |
Payable for other service fees (Note 2 and 5) | 18,493 | |
TOTAL LIABILITIES | 98,383 | |
Net assets for 82,253,788 shares outstanding | $82,252,098 | |
Net Assets Consist of: | ||
Paid-in capital | $82,253,338 | |
Total distributable earnings (loss) | (1,240) | |
TOTAL NET ASSETS | $82,252,098 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
$100 ÷ 100 shares outstanding, no par value, unlimited shares authorized | $1.00 | |
Service Shares: | ||
$82,251,998 ÷ 82,253,688 shares outstanding, no par value, unlimited shares authorized | $1.00 |
Investment Income: | ||
Interest | $1,329,171 | |
Expenses: | ||
Investment adviser fee (Note 5) | $107,529 | |
Administrative fee (Note 5) | 43,018 | |
Custodian fees | 4,940 | |
Transfer agent fee | 2,659 | |
Directors'/Trustees' fees (Note 5) | 990 | |
Auditing fees | 10,582 | |
Legal fees | 5,565 | |
Portfolio accounting fees | 39,319 | |
Other service fees (Notes 2 and 5) | 133,708 | |
Printing and postage | 22,733 | |
Miscellaneous (Note 5) | 2,736 | |
TOTAL EXPENSES | 373,779 | |
Waiver: | ||
Waiver of investment adviser fee (Note 5) | (33,131) | |
Net expenses | 340,648 | |
Net investment income | 988,523 | |
Change in net assets resulting from operations | $988,523 |
Six Months Ended (unaudited) 6/30/2019 | Year Ended 12/31/2018 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $988,523 | $1,211,133 |
Net realized gain (loss) | — | (332) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 988,523 | 1,210,801 |
Distributions to Shareholders: | ||
Primary Shares | (2) | (1) |
Service Shares | (988,516) | (1,211,130) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (988,518) | (1,211,131) |
Share Transactions: | ||
Proceeds from sale of shares | 14,729,710 | 75,281,929 |
Net asset value of shares issued to shareholders in payment of distributions declared | 988,514 | 1,211,130 |
Cost of shares redeemed | (63,727,666) | (39,950,260) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (48,009,442) | 36,542,799 |
Change in net assets | (48,009,437) | 36,542,469 |
Net Assets: | ||
Beginning of period | 130,261,535 | 93,719,066 |
End of period | $82,252,098 | $130,261,535 |
Other Service Fees Incurred | |
Service Shares | $133,708 |
Six Months Ended 6/30/2019 | Year Ended 12/31/2018 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | — | $— | — | $— |
Shares issued to shareholders in payment of distributions declared | — | — | — | — |
Shares redeemed | — | — | — | — |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | — | $— | — | $— |
Six Months Ended 6/30/2019 | Year Ended 12/31/2018 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 14,729,709 | $14,729,710 | 75,281,929 | $75,281,929 |
Shares issued to shareholders in payment of distributions declared | 988,514 | 988,514 | 1,211,130 | 1,211,130 |
Shares redeemed | (63,727,666) | (63,727,666) | (39,950,260) | (39,950,260) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (48,009,443) | $(48,009,442) | 36,542,799 | $36,542,799 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (48,009,443) | $ (48,009,442) | 36,542,799 | $36,542,799 |
Short-Term | Long-Term | Total |
$776 | $498 | $1,274 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Percentage of Average Daily Net Assets of Class | |
Primary Shares | 0.25% |
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2018 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,010.40 | $1.89 |
Service Shares | $1,000 | $1,009.10 | $3.14 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,022.90 | $1.91 |
Service Shares | $1,000 | $1,021.70 | $3.16 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (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 | 0.38% |
Service Shares | 0.63% |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916504
2019 ©Federated Investors, Inc.
Share Class | Primary | Service |
Security Type | Percentage of Total Net Assets |
Corporate Debt Securities | 98.3% |
Foreign Government Debt Securities | 0.1% |
Mortgage-Backed Securities2 | 0.1% |
Collateralized Mortgage Obligation3 | 0.0% |
Derivative Contracts3,4 | (0.0)% |
Cash Equivalents5 | 0.7% |
Other Assets and Liabilities—Net6 | 0.8% |
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, Mortgage-Backed Securities include mortgage-backed securities guaranteed by Government-Sponsored Enterprises. |
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 | 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—98.3% | |||
Basic Industry - Chemicals—0.6% | |||
$640,000 | FMC Corp., Sr. Unsecd. Note, 3.950%, 2/1/2022 | $659,855 | |
500,000 | RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029 | 528,414 | |
TOTAL | 1,188,269 | ||
Basic Industry - Metals & Mining—1.5% | |||
230,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 233,511 | |
650,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 5.200%, 7/15/2021 | 667,452 | |
470,000 | Newcrest Finance Property Ltd., Sr. Unsecd. Note, 144A, 4.200%, 10/1/2022 | 491,006 | |
1,000,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 1,050,267 | |
320,000 | Southern Copper Corp., Sr. Unsecd. Note, 3.500%, 11/8/2022 | 326,626 | |
TOTAL | 2,768,862 | ||
Capital Goods - Aerospace & Defense—2.5% | |||
600,000 | Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027 | 620,177 | |
270,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 2.850%, 12/15/2020 | 271,086 | |
280,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 292,750 | |
519,000 | Embraer Overseas Ltd., Sr. Unsecd. Note, 144A, 5.696%, 9/16/2023 | 570,251 | |
410,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | 417,339 | |
270,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 2.500%, 11/23/2020 | 271,117 | |
300,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 2.550%, 10/15/2022 | 301,742 | |
500,000 | Northrop Grumman Corp., Sr. Unsecd. Note, 2.930%, 1/15/2025 | 510,190 | |
320,000 | Rockwell Collins, Inc., Sr. Unsecd. Note, 3.100%, 11/15/2021 | 324,371 | |
910,000 | 1 | Textron Financial Corp., Jr. Sub. Note, 144A, 4.253% (3-month USLIBOR +1.735%), 2/15/2042 | 711,497 |
295,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 312,951 | |
TOTAL | 4,603,471 | ||
Capital Goods - Building Materials—0.8% | |||
800,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 809,562 | |
300,000 | Masco Corp., Sr. Unsecd. Note, 3.500%, 11/15/2027 | 294,988 | |
80,000 | Masco Corp., Sr. Unsecd. Note, 7.125%, 3/15/2020 | 82,313 | |
275,000 | Masco Corp., Unsecd. Note, 4.450%, 4/1/2025 | 292,919 | |
TOTAL | 1,479,782 | ||
Capital Goods - Construction Machinery—0.8% | |||
500,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 4.375%, 4/5/2022 | 519,910 | |
595,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 594,309 | |
310,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | 329,510 | |
TOTAL | 1,443,729 | ||
Capital Goods - Diversified Manufacturing—2.4% | |||
750,000 | CK Hutchison Holdings Ltd., Sr. Unsecd. Note, 144A, 2.750%, 3/29/2023 | 754,209 | |
430,000 | General Electric Capital Corp., Sr. Unsecd. Note, Series GMTN, 4.625%, 1/7/2021 | 442,600 | |
600,000 | General Electric Capital Corp., Sub. Note, 5.300%, 2/11/2021 | 622,523 | |
1,000,000 | Lennox International, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2023 | 1,004,435 | |
650,000 | Parker-Hannifin Corp., Sr. Unsecd. Note, 3.250%, 3/1/2027 | 671,394 | |
875,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.800%, 12/15/2026 | 914,120 | |
TOTAL | 4,409,281 | ||
Capital Goods - Packaging—0.3% | |||
500,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 3.750%, 3/15/2025 | 520,360 | |
Communications - Cable & Satellite—3.0% | |||
940,000 | CCO Safari II LLC, 3.579%, 7/23/2020 | 948,477 | |
567,000 | CCO Safari II LLC, 4.464%, 7/23/2022 | 595,821 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Communications - Cable & Satellite—continued | |||
$1,000,000 | CCO Safari II LLC, 4.908%, 7/23/2025 | $1,085,905 | |
600,000 | Comcast Corp., Sr. Unsecd. Note, 1.625%, 1/15/2022 | 592,598 | |
730,000 | Comcast Corp., Sr. Unsecd. Note, 2.750%, 3/1/2023 | 740,973 | |
300,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 312,301 | |
750,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 809,325 | |
400,000 | Time Warner Cable, Inc., Sr. Unsecd. Note, 8.375%, 3/15/2023 | 474,117 | |
TOTAL | 5,559,517 | ||
Communications - Media & Entertainment—1.4% | |||
300,000 | British Sky Broadcasting Group PLC, 144A, 3.750%, 9/16/2024 | 318,836 | |
750,000 | CBS Corp., 3.700%, 8/15/2024 | 776,553 | |
250,000 | Discovery Communications LLC, Sr. Unsecd. Note, 2.950%, 3/20/2023 | 252,388 | |
250,000 | Discovery Communications LLC, Sr. Unsecd. Note, 3.950%, 3/20/2028 | 257,884 | |
400,000 | Fox Corp., Sr. Unsecd. Note, 144A, 4.709%, 1/25/2029 | 446,597 | |
500,000 | S&P Global, Inc., Sr. Unsecd. Note, 3.300%, 8/14/2020 | 505,251 | |
TOTAL | 2,557,509 | ||
Communications - Telecom Wireless—0.9% | |||
600,000 | American Tower Corp., Sr. Unsecd. Note, 3.500%, 1/31/2023 | 619,604 | |
300,000 | Crown Castle International Corp., 3.150%, 7/15/2023 | 305,899 | |
360,000 | Crown Castle International Corp., Sr. Unsecd. Note, 2.250%, 9/1/2021 | 358,406 | |
395,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 421,065 | |
TOTAL | 1,704,974 | ||
Communications - Telecom Wirelines—1.9% | |||
450,000 | AT&T, Inc., Sr. Unsecd. Note, 3.400%, 5/15/2025 | 462,729 | |
750,000 | AT&T, Inc., Sr. Unsecd. Note, 4.250%, 3/1/2027 | 803,503 | |
450,000 | Telefonica Emisiones SAU, Company Guarantee, 5.462%, 2/16/2021 | 471,422 | |
250,000 | Telefonica SA, Company Guarantee, 7.045%, 6/20/2036 | 328,071 | |
600,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.150%, 3/15/2024 | 647,461 | |
735,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 5.150%, 9/15/2023 | 820,941 | |
TOTAL | 3,534,127 | ||
Consumer Cyclical - Automotive—2.7% | |||
500,000 | Daimler Finance NA LLC, Sr. Unsecd. Note, 144A, 3.250%, 8/1/2024 | 510,651 | |
200,000 | Fiat Chrysler Automobiles NV, Sr. Unsecd. Note, 5.250%, 4/15/2023 | 211,754 | |
250,000 | Ford Motor Co., Sr. Unsecd. Note, 4.346%, 12/8/2026 | 252,213 | |
250,000 | Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.336%, 3/18/2021 | 251,149 | |
920,000 | General Motors Co., Sr. Unsecd. Note, 4.000%, 4/1/2025 | 937,372 | |
500,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 3.200%, 7/6/2021 | 504,418 | |
300,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.000%, 10/6/2026 | 302,757 | |
1,025,000 | Nissan Motor Acceptance Corp., Sr. Unsecd. Note, 144A, 2.650%, 7/13/2022 | 1,022,195 | |
650,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/12/2021 | 670,918 | |
300,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.250%, 11/13/2023 | 315,886 | |
TOTAL | 4,979,313 | ||
Consumer Cyclical - Leisure—0.4% | |||
658,683 | Football Trust V, Pass Thru Cert., 5.350%, 10/5/2020 | 682,822 | |
Consumer Cyclical - Lodging—0.2% | |||
450,000 | Choice Hotels International, Inc., Company Guarantee, 5.700%, 8/28/2020 | 465,187 | |
Consumer Cyclical - Retailers—2.7% | |||
600,000 | CVS Health Corp., Sr. Unsecd. Note, 2.800%, 7/20/2020 | 601,617 | |
250,000 | CVS Health Corp., Sr. Unsecd. Note, 3.350%, 3/9/2021 | 253,467 | |
580,000 | CVS Health Corp., Sr. Unsecd. Note, 3.700%, 3/9/2023 | 599,164 | |
1,290,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 1,360,730 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Cyclical - Retailers—continued | |||
$600,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | $622,770 | |
500,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 4.000%, 5/15/2025 | 521,337 | |
500,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.125%, 9/15/2026 | 489,551 | |
560,000 | WalMart, Inc., Sr. Unsecd. Note, 3.400%, 6/26/2023 | 588,418 | |
TOTAL | 5,037,054 | ||
Consumer Cyclical - Services—2.4% | |||
500,000 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 3.400%, 12/6/2027 | 508,189 | |
500,000 | Amazon.com, Inc., Sr. Unsecd. Note, 2.400%, 2/22/2023 | 505,009 | |
170,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 178,774 | |
750,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 798,922 | |
350,000 | Expedia, Inc., Company Guarantee, 5.950%, 8/15/2020 | 362,657 | |
325,000 | IHS Markit Ltd., Sr. Unsecd. Note, 4.125%, 8/1/2023 | 338,276 | |
135,000 | IHS Markit Ltd., Sr. Unsecd. Note, Series 5YR, 3.625%, 5/1/2024 | 139,307 | |
1,000,000 | Visa, Inc., Sr. Unsecd. Note, 2.800%, 12/14/2022 | 1,024,245 | |
530,000 | Visa, Inc., Sr. Unsecd. Note, 3.150%, 12/14/2025 | 556,113 | |
TOTAL | 4,411,492 | ||
Consumer Non-Cyclical - Food/Beverage—7.7% | |||
750,000 | Anheuser-Busch InBev Finance, Inc., 2.650%, 2/1/2021 | 754,164 | |
449,000 | Anheuser-Busch InBev Finance, Inc., Sr. Unsecd. Note, 3.300%, 2/1/2023 | 463,525 | |
750,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029 | 850,254 | |
800,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 3.875%, 11/26/2023 | 840,038 | |
1,000,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028 | 1,117,249 | |
750,000 | Danone SA, Sr. Unsecd. Note, 144A, 2.077%, 11/2/2021 | 745,136 | |
340,000 | Danone SA, Sr. Unsecd. Note, 144A, 2.947%, 11/2/2026 | 339,500 | |
380,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 380,665 | |
330,000 | General Mills, Inc., Sr. Unsecd. Note, 3.700%, 10/17/2023 | 346,059 | |
500,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | 516,859 | |
660,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 4.500%, 1/25/2022 | 683,491 | |
1,050,000 | Kerry Group Financial Services, Sr. Unsecd. Note, 144A, 3.200%, 4/9/2023 | 1,059,819 | |
700,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.057%, 5/25/2023 | 735,119 | |
450,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 482,398 | |
900,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.000%, 6/1/2026 | 876,214 | |
1,000,000 | McCormick & Co., Inc., Sr. Unsecd. Note, 3.150%, 8/15/2024 | 1,021,414 | |
600,000 | Mead Johnson Nutrition Co., Sr. Unsecd. Note, 3.000%, 11/15/2020 | 605,502 | |
750,000 | PepsiCo, Inc., 2.750%, 3/5/2022 | 763,991 | |
250,000 | PepsiCo, Inc., Sr. Unsecd. Note, 2.000%, 4/15/2021 | 249,951 | |
380,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 2.650%, 10/3/2021 | 374,574 | |
240,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.350%, 2/1/2022 | 239,477 | |
60,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027 | 61,129 | |
370,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.900%, 9/28/2023 | 389,993 | |
500,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 4.500%, 6/15/2022 | 528,204 | |
TOTAL | 14,424,725 | ||
Consumer Non-Cyclical - Health Care—1.8% | |||
420,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 3.200%, 10/1/2022 | 427,091 | |
940,000 | Agilent Technologies, Inc., Sr. Unsecd. Note, 3.875%, 7/15/2023 | 983,440 | |
500,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 2.894%, 6/6/2022 | 506,559 | |
740,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 776,335 | |
250,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 2.950%, 9/19/2026 | 251,883 | |
500,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 3.000%, 4/15/2023 | 512,876 | |
TOTAL | 3,458,184 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Consumer Non-Cyclical - Pharmaceuticals—3.8% | |||
$300,000 | Abbott Laboratories, Sr. Unsecd. Note, 2.900%, 11/30/2021 | $304,993 | |
210,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.400%, 11/30/2023 | 219,105 | |
453,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 489,984 | |
300,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.600%, 5/14/2025 | 310,560 | |
67,000 | Actavis Funding SCS, Sr. Unsecd. Note, 4.750%, 3/15/2045 | 68,861 | |
600,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027 | 613,679 | |
1,000,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 3.875%, 12/15/2023 | 1,036,782 | |
200,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.250%, 12/15/2025 | 211,659 | |
180,000 | Biogen Idec, Inc., Sr. Unsecd. Note, 2.900%, 9/15/2020 | 180,911 | |
320,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 144A, 3.400%, 7/26/2029 | 334,974 | |
500,000 | Celgene Corp., Sr. Unsecd. Note, 2.875%, 8/15/2020 | 502,581 | |
340,000 | Celgene Corp., Sr. Unsecd. Note, 3.875%, 8/15/2025 | 364,495 | |
200,000 | Celgene Corp., Sr. Unsecd. Note, 5.000%, 8/15/2045 | 237,426 | |
310,000 | Eli Lilly & Co., Sr. Unsecd. Note, 3.375%, 3/15/2029 | 330,292 | |
220,000 | Gilead Sciences, Inc., Sr. Unsecd. Note, 3.650%, 3/1/2026 | 232,881 | |
500,000 | Merck & Co., Inc., Sr. Unsecd. Note, 3.400%, 3/7/2029 | 532,744 | |
900,000 | Teva Pharmaceutical Finance Netherlands III BV, Sr. Unsecd. Note, 2.200%, 7/21/2021 | 857,250 | |
300,000 | Teva Pharmaceutical Finance Netherlands III BV, Sr. Unsecd. Note, 3.150%, 10/1/2026 | 234,000 | |
TOTAL | 7,063,177 | ||
Consumer Non-Cyclical - Products—1.0% | |||
575,000 | Church and Dwight, Inc., Sr. Unsecd. Note, 2.450%, 8/1/2022 | 576,195 | |
1,250,000 | Reckitt Benckiser Treasury Services PLC, Sr. Unsecd. Note, 144A, 2.375%, 6/24/2022 | 1,248,420 | |
TOTAL | 1,824,615 | ||
Consumer Non-Cyclical - Supermarkets—0.4% | |||
610,000 | Kroger Co., Bond, 6.900%, 4/15/2038 | 773,311 | |
Consumer Non-Cyclical - Tobacco—1.0% | |||
800,000 | Altria Group, Inc., Sr. Unsecd. Note, 4.400%, 2/14/2026 | 855,846 | |
290,000 | BAT International Finance PLC, Sr. Unsecd. Note, 144A, 3.950%, 6/15/2025 | 300,256 | |
300,000 | Reynolds American, Inc., Sr. Unsecd. Note, 4.450%, 6/12/2025 | 318,196 | |
360,000 | Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041 | 422,425 | |
TOTAL | 1,896,723 | ||
Energy - Independent—1.9% | |||
1,000,000 | Anadarko Petroleum Corp., Sr. Unsecd. Note, 3.450%, 7/15/2024 | 1,023,458 | |
94,000 | Apache Corp., Sr. Unsecd. Note, 3.250%, 4/15/2022 | 95,553 | |
500,000 | Apache Corp., Sr. Unsecd. Note, 4.375%, 10/15/2028 | 522,705 | |
420,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.950%, 1/15/2023 | 424,294 | |
500,000 | Cimarex Energy Co., Sr. Unsecd. Note, 3.900%, 5/15/2027 | 514,040 | |
250,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 6/1/2024 | 265,271 | |
215,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 228,373 | |
475,000 | Marathon Oil Corp., Sr. Unsecd. Note, 3.850%, 6/1/2025 | 492,594 | |
TOTAL | 3,566,288 | ||
Energy - Integrated—2.8% | |||
700,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 2.750%, 5/10/2023 | 707,903 | |
500,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.796%, 9/21/2025 | 533,695 | |
500,000 | BP Capital Markets PLC, Sr. Unsecd. Note, 3.994%, 9/26/2023 | 532,043 | |
530,000 | CNPC Hong Kong Overseas Capital Ltd., Company Guarantee, 144A, 5.950%, 4/28/2041 | 701,402 | |
585,000 | Husky Energy, Inc., 4.000%, 4/15/2024 | 616,029 | |
240,000 | Husky Energy, Inc., Sr. Unsecd. Note, 4.400%, 4/15/2029 | 254,686 | |
800,000 | Petroleos Mexicanos, Company Guarantee, 5.500%, 1/21/2021 | 810,800 | |
175,000 | Petroleos Mexicanos, Sr. Unsecd. Note, 4.875%, 1/18/2024 | 172,113 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Energy - Integrated—continued | |||
$525,000 | Shell International Finance B.V., Sr. Unsecd. Note, 1.875%, 5/10/2021 | $522,780 | |
325,000 | Shell International Finance B.V., Sr. Unsecd. Note, 2.875%, 5/10/2026 | 332,493 | |
TOTAL | 5,183,944 | ||
Energy - Midstream—3.4% | |||
500,000 | Andeavor Logistics LP, Sr. Unsecd. Note, 3.500%, 12/1/2022 | 512,046 | |
500,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 522,049 | |
565,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 606,817 | |
470,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 5Y, 4.200%, 9/15/2023 | 492,873 | |
280,000 | Florida Gas Transmission Co. LLC, Sr. Unsecd. Note, 144A, 5.450%, 7/15/2020 | 287,322 | |
900,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 5.300%, 9/15/2020 | 930,087 | |
350,000 | MPLX LP, Sr. Unsecd. Note, 3.375%, 3/15/2023 | 358,158 | |
395,000 | MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027 | 413,671 | |
345,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.000%, 7/13/2027 | 358,724 | |
600,000 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 613,149 | |
540,000 | Texas Eastern Transmission LP, Sr. Unsecd. Note, 144A, 2.800%, 10/15/2022 | 539,294 | |
300,000 | Williams Partners LP, Sr. Unsecd. Note, 3.900%, 1/15/2025 | 314,672 | |
380,000 | Williams Partners LP, Sr. Unsecd. Note, 4.125%, 11/15/2020 | 386,931 | |
TOTAL | 6,335,793 | ||
Energy - Oil Field Services—0.3% | |||
300,000 | Schlumberger Holdings Corp., Sr. Unsecd. Note, 144A, 3.000%, 12/21/2020 | 302,494 | |
300,000 | Schlumberger Holdings Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/21/2025 | 317,616 | |
TOTAL | 620,110 | ||
Energy - Refining—0.4% | |||
215,000 | Valero Energy Corp., 7.500%, 4/15/2032 | 292,847 | |
335,000 | Valero Energy Corp., Sr. Unsecd. Note, 6.625%, 6/15/2037 | 423,992 | |
TOTAL | 716,839 | ||
Financial Institution - Banking—22.0% | |||
750,000 | American Express Co., Sr. Unsecd. Note, 3.000%, 10/30/2024 | 768,944 | |
500,000 | American Express Credit Corp., Sr. Unsecd. Note, Series MTN, 2.700%, 3/3/2022 | 505,698 | |
800,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 837,989 | |
245,000 | BB&T Corp., Sr. Unsecd. Note, Series MTN, 2.750%, 4/1/2022 | 247,980 | |
250,000 | Bank of America Corp., Sr. Unsecd. Note, 2.738%, 1/23/2022 | 251,129 | |
1,250,000 | Bank of America Corp., Sr. Unsecd. Note, 3.705%, 4/24/2028 | 1,313,872 | |
1,450,000 | Bank of America Corp., Sr. Unsecd. Note, Series GMTN, 2.816%, 7/21/2023 | 1,464,761 | |
500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.248%, 10/21/2027 | 512,497 | |
500,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 4.271%, 7/23/2029 | 546,265 | |
300,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.661%, 5/16/2023 | 302,530 | |
550,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.250%, 9/11/2024 | 570,586 | |
600,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.050%, 3/9/2022 | 609,379 | |
350,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.200%, 1/30/2023 | 358,950 | |
500,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 528,700 | |
750,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.876%, 7/24/2023 | 759,619 | |
730,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026 | 756,054 | |
500,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.700%, 1/12/2026 | 526,580 | |
500,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.075%, 4/23/2029 | 537,194 | |
150,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.500%, 1/14/2022 | 157,691 | |
500,000 | Citizens Bank N.A., Sr. Unsecd. Note, Series BKNT, 3.750%, 2/18/2026 | 526,476 | |
660,000 | Citizens Financial Group, Inc., Sub. Note, 144A, 4.150%, 9/28/2022 | 682,396 | |
480,000 | City National Corp., Sr. Unsecd. Note, 5.250%, 9/15/2020 | 496,927 | |
300,000 | Comerica, Inc., 3.800%, 7/22/2026 | 312,480 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Banking—continued | |||
$500,000 | Compass Bank, Birmingham, Sr. Unsecd. Note, Series BKNT, 3.500%, 6/11/2021 | $509,586 | |
500,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 518,074 | |
385,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.650%, 1/25/2024 | 404,806 | |
630,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.350%, 11/15/2021 | 629,048 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.000%, 4/26/2022 | 504,409 | |
1,250,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.500%, 11/16/2026 | 1,281,652 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 4.223%, 5/1/2029 | 536,366 | |
500,000 | Goldman Sachs Group, Inc., Sub. Note, 4.250%, 10/21/2025 | 530,650 | |
500,000 | HSBC Bank USA, N.A., Sub. Note, Series BKNT, 4.875%, 8/24/2020 | 513,844 | |
841,000 | HSBC USA, Inc., Sr. Unsecd. Note, 2.750%, 8/7/2020 | 845,036 | |
1,000,000 | HSBC USA, Inc., Sr. Unsecd. Note, 3.500%, 6/23/2024 | 1,042,304 | |
250,000 | Huntington National Bank, Sr. Unsecd. Note, Series BKNT, 3.125%, 4/1/2022 | 254,908 | |
1,000,000 | JPMorgan Chase & Co., 3.250%, 9/23/2022 | 1,027,339 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.782%, 2/1/2028 | 530,249 | |
500,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 4.452%, 12/5/2029 | 556,516 | |
1,000,000 | JPMorgan Chase & Co., Sub. Note, 3.375%, 5/1/2023 | 1,028,468 | |
1,000,000 | JPMorgan Chase & Co., Sub. Note, 3.875%, 9/10/2024 | 1,051,519 | |
500,000 | JPMorgan Chase Bank, N.A., Sr. Unsecd. Note, Series BKNT, 3.086%, 4/26/2021 | 502,690 | |
408,000 | MUFG Americas Holdings Corp., Sr. Unsecd. Note, 3.000%, 2/10/2025 | 413,317 | |
250,000 | MUFG Americas Holdings Corp., Sr. Unsecd. Note, 3.500%, 6/18/2022 | 257,848 | |
250,000 | MUFG Union Bank, N.A., Sr. Unsecd. Note, Series BKNT, 3.150%, 4/1/2022 | 255,627 | |
1,940,000 | 1 | Manufacturers & Traders Trust Co., Sub. Note, Series BKNT, 3.160% (3-month USLIBOR +0.640%), 12/1/2021 | 1,935,665 |
750,000 | Morgan Stanley, Sec. Fac. Bond, 2.750%, 5/19/2022 | 758,078 | |
1,000,000 | Morgan Stanley, Sr. Unsecd. Note, 3.625%, 1/20/2027 | 1,051,288 | |
970,000 | Morgan Stanley, Sr. Unsecd. Note, 5.750%, 1/25/2021 | 1,018,917 | |
500,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.125%, 1/23/2023 | 511,451 | |
250,000 | Morgan Stanley, Sub. Note, 5.000%, 11/24/2025 | 276,819 | |
1,000,000 | Morgan Stanley, Sub. Note, Series MTN, 4.100%, 5/22/2023 | 1,052,976 | |
500,000 | PNC Bank N.A., Sr. Unsecd. Note, Series BKNT, 2.500%, 1/22/2021 | 501,727 | |
640,000 | Regions Financial Corp., Sr. Unsecd. Note, 3.200%, 2/8/2021 | 647,018 | |
230,000 | Regions Financial Corp., Sr. Unsecd. Note, 3.800%, 8/14/2023 | 240,700 | |
250,000 | State Street Corp., Sr. Unsecd. Note, 2.653%, 5/15/2023 | 252,747 | |
700,000 | State Street Corp., Sr. Unsecd. Note, 3.300%, 12/16/2024 | 732,913 | |
500,000 | SunTrust Bank, Inc., Sr. Unsecd. Note, Series BKNT, 3.000%, 2/2/2023 | 510,191 | |
200,000 | SunTrust Bank, Inc., Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 203,746 | |
600,000 | U.S. Bank, N.A., Sr. Unsecd. Note, Series BKNT, 3.450%, 11/16/2021 | 616,141 | |
750,000 | US Bancorp, Sub. Note, Series MTN, 3.600%, 9/11/2024 | 787,729 | |
500,000 | Wells Fargo & Co., Series MTN, 3.500%, 3/8/2022 | 514,479 | |
620,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 627,136 | |
1,500,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.069%, 1/24/2023 | 1,523,544 | |
500,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 522,686 | |
TOTAL | 41,054,904 | ||
Financial Institution - Broker/Asset Mgr/Exchange—1.4% | |||
170,000 | Cantor Fitzgerald LP, Bond, 7.875%, 10/15/2019 | 172,199 | |
370,000 | Eaton Vance Corp., Sr. Unsecd. Note, 3.625%, 6/15/2023 | 385,198 | |
220,000 | Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026 | 229,555 | |
200,000 | Jefferies Group LLC, Sr. Unsecd. Note, 6.500%, 1/20/2043 | 217,328 | |
245,000 | Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028 | 268,918 | |
193,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 5.625%, 4/1/2024 | 218,400 | |
390,000 | Stifel Financial Corp., 4.250%, 7/18/2024 | 409,397 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - Broker/Asset Mgr/Exchange—continued | |||
$190,000 | Stifel Financial Corp., Sr. Unsecd. Note, 3.500%, 12/1/2020 | $192,110 | |
500,000 | TD Ameritrade Holding Corp., Sr. Unsecd. Note, 3.625%, 4/1/2025 | 525,681 | |
TOTAL | 2,618,786 | ||
Financial Institution - Finance Companies—2.1% | |||
500,000 | Discover Financial Services, Sr. Unsecd. Note, 3.850%, 11/21/2022 | 521,556 | |
500,000 | Discover Financial Services, Sr. Unsecd. Note, 3.950%, 11/6/2024 | 526,071 | |
250,000 | Discover Financial Services, Sr. Unsecd. Note, 4.100%, 2/9/2027 | 260,531 | |
1,966,000 | GE Capital International Funding Co., Sr. Unsecd. Note, 2.342%, 11/15/2020 | 1,956,927 | |
600,000 | GE Capital International Funding, Inc., Sr. Unsecd. Note, 4.418%, 11/15/2035 | 592,686 | |
TOTAL | 3,857,771 | ||
Financial Institution - Insurance - Health—1.2% | |||
300,000 | Halfmoon Parent, Inc., Sr. Unsecd. Note, 144A, 3.750%, 7/15/2023 | 312,384 | |
650,000 | Halfmoon Parent, Inc., Sr. Unsecd. Note, 144A, 4.375%, 10/15/2028 | 701,620 | |
750,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 2.700%, 7/15/2020 | 753,168 | |
405,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 3.750%, 7/15/2025 | 433,109 | |
TOTAL | 2,200,281 | ||
Financial Institution - Insurance - Life—1.1% | |||
350,000 | AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029 | 365,644 | |
200,000 | AIG Global Funding, Sec. Fac. Bond, 144A, 2.300%, 7/1/2022 | 200,048 | |
800,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 847,756 | |
290,000 | Lincoln National Corp., Sr. Unsecd. Note, 4.200%, 3/15/2022 | 303,559 | |
172,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 8.875%, 6/1/2039 | 282,254 | |
TOTAL | 1,999,261 | ||
Financial Institution - Insurance - P&C—0.9% | |||
200,000 | Berkshire Hathaway, Inc., Sr. Unsecd. Note, 2.200%, 3/15/2021 | 200,548 | |
250,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.450%, 8/15/2027 | 253,849 | |
95,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029 | 99,938 | |
250,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 2.700%, 3/13/2023 | 254,119 | |
300,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 3.350%, 5/15/2024 | 315,877 | |
300,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 490,919 | |
TOTAL | 1,615,250 | ||
Financial Institution - REIT - Apartment—1.2% | |||
395,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 410,797 | |
500,000 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.750%, 6/15/2024 | 520,468 | |
550,000 | Post Apartment Homes LP, Sr. Unsecd. Note, 3.375%, 12/1/2022 | 563,893 | |
300,000 | UDR, Inc., Company Guarantee, Series 0001, 4.625%, 1/10/2022 | 313,885 | |
500,000 | UDR, Inc., Sr. Unsecd. Note, Series MTN, 2.950%, 9/1/2026 | 497,323 | |
TOTAL | 2,306,366 | ||
Financial Institution - REIT - Healthcare—0.7% | |||
500,000 | Healthcare Trust of America, 3.700%, 4/15/2023 | 511,313 | |
710,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | 733,343 | |
TOTAL | 1,244,656 | ||
Financial Institution - REIT - Office—0.9% | |||
640,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.000%, 1/15/2024 | 677,101 | |
450,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2022 | 474,426 | |
480,000 | Boston Properties LP, Sr. Unsecd. Note, 3.200%, 1/15/2025 | 490,075 | |
TOTAL | 1,641,602 | ||
Financial Institution - REIT - Other—0.6% | |||
320,000 | Liberty Property LP, Sr. Unsecd. Note, 4.375%, 2/1/2029 | 346,477 | |
300,000 | ProLogis LP, Sr. Unsecd. Note, 4.250%, 8/15/2023 | 320,801 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Financial Institution - REIT - Other—continued | |||
$450,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | $475,140 | |
TOTAL | 1,142,418 | ||
Financial Institution - REIT - Retail—0.5% | |||
396,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.200%, 5/1/2021 | 400,752 | |
100,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.400%, 11/1/2022 | 102,871 | |
450,000 | Regency Centers Corp., Sr. Unsecd. Note, 3.750%, 11/15/2022 | 467,171 | |
TOTAL | 970,794 | ||
Sovereign—0.5% | |||
320,000 | Corp Andina De Fomento, Sr. Unsecd. Note, 4.375%, 6/15/2022 | 337,511 | |
510,000 | Inter-American Development Bank, Series MTN, 6.750%, 7/15/2027 | 666,229 | |
TOTAL | 1,003,740 | ||
Technology—6.9% | |||
500,000 | Adobe, Inc., Sr. Unsecd. Note, 3.250%, 2/1/2025 | 521,500 | |
650,000 | Apple, Inc., Sr. Unsecd. Note, 2.400%, 5/3/2023 | 656,541 | |
900,000 | Apple, Inc., Sr. Unsecd. Note, 3.200%, 5/13/2025 | 941,024 | |
125,000 | Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044 | 143,909 | |
340,000 | Automatic Data Processing, Inc., 3.375%, 9/15/2025 | 360,045 | |
230,000 | Broadcom Corp., Sr. Unsecd. Note, Series WI, 3.625%, 1/15/2024 | 232,492 | |
280,000 | Broadcom Corp., Sr. Unsecd. Note, Series WI, 3.875%, 1/15/2027 | 274,762 | |
700,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/15/2024 | 704,171 | |
700,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, 144A, 6.020%, 6/15/2026 | 772,551 | |
345,000 | Equifax, Inc., Sr. Unsecd. Note, 2.300%, 6/1/2021 | 343,021 | |
80,000 | Equifax, Inc., Sr. Unsecd. Note, Series 5Y, 3.950%, 6/15/2023 | 83,433 | |
83,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.875%, 6/5/2024 | 87,758 | |
600,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 5.000%, 10/15/2025 | 673,689 | |
230,000 | Fiserv, Inc., Sr. Unsecd. Note, 2.750%, 7/1/2024 | 231,787 | |
500,000 | Fiserv, Inc., Sr. Unsecd. Note, 4.200%, 10/1/2028 | 542,217 | |
670,000 | Ingram Micro, Inc., Sr. Unsecd. Note, 5.000%, 8/10/2022 | 676,429 | |
500,000 | Intel Corp., Sr. Unsecd. Note, 3.700%, 7/29/2025 | 536,213 | |
460,000 | Keysight Technologies, Inc., 4.550%, 10/30/2024 | 492,372 | |
310,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 330,265 | |
500,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.640%, 2/6/2024 | 521,472 | |
500,000 | Microsoft Corp., Sr. Unsecd. Note, 1.550%, 8/8/2021 | 495,769 | |
750,000 | Microsoft Corp., Sr. Unsecd. Note, 2.400%, 8/8/2026 | 753,876 | |
190,000 | Molex Electronics Technologies LLC, Unsecd. Note, 144A, 3.900%, 4/15/2025 | 196,318 | |
750,000 | Oracle Corp., Sr. Unsecd. Note, 3.400%, 7/8/2024 | 786,168 | |
310,000 | Qualcomm, Inc., Sr. Unsecd. Note, 2.600%, 1/30/2023 | 310,730 | |
350,000 | Total System Services, Inc., Sr. Unsecd. Note, 3.800%, 4/1/2021 | 356,504 | |
260,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | 278,739 | |
195,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 9/12/2022 | 204,842 | |
350,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 376,536 | |
TOTAL | 12,885,133 | ||
Transportation - Railroads—1.1% | |||
9,542 | Burlington Northern Santa Fe Corp., Pass Thru Cert., Series 99-2, 7.570%, 1/2/2021 | 9,893 | |
1,100,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 3.450%, 9/15/2021 | 1,126,819 | |
850,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2023 | 863,252 | |
TOTAL | 1,999,964 | ||
Transportation - Services—0.9% | |||
250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.375%, 2/1/2022 | 254,879 | |
300,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.450%, 7/1/2024 | 309,208 |
Principal Amount | Value | ||
CORPORATE BONDS—continued | |||
Transportation - Services—continued | |||
$250,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 4.450%, 1/29/2026 | $268,157 | |
125,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.250%, 9/1/2021 | 124,606 | |
280,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.800%, 3/1/2022 | 282,587 | |
150,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.450%, 11/15/2021 | 153,280 | |
250,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.500%, 6/1/2021 | 255,065 | |
TOTAL | 1,647,782 | ||
Utility - Electric—5.8% | |||
310,000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025 | 324,285 | |
420,000 | Ameren Corp., Sr. Unsecd. Note, 2.700%, 11/15/2020 | 421,420 | |
380,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series F, 2.950%, 12/15/2022 | 385,936 | |
500,000 | Berkshire Hathaway Energy Co., 3.500%, 2/1/2025 | 527,672 | |
210,000 | Consolidated Edison Co., Sr. Unsecd. Note, 2.000%, 5/15/2021 | 208,896 | |
360,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 362,927 | |
250,000 | Duke Energy Corp., Sr. Unsecd. Note, 1.800%, 9/1/2021 | 247,353 | |
500,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 515,464 | |
1,000,000 | Electricite de France SA, Jr. Sub. Note, 144A, 5.625%, 7/22/2067 | 1,028,215 | |
180,000 | Emera US Finance LP, Sr. Unsecd. Note, 2.700%, 6/15/2021 | 180,627 | |
470,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 2.875%, 5/25/2022 | 473,746 | |
380,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.625%, 9/14/2025 | 408,012 | |
270,000 | Fortis, Inc./Canada, Sr. Unsecd. Note, 2.100%, 10/4/2021 | 267,695 | |
240,000 | Fortis, Inc./Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 238,343 | |
235,000 | Great Plains Energy, Inc., Note, 4.850%, 6/1/2021 | 243,409 | |
600,000 | National Rural Utilities Cooperative Finance Corp., Sec. Fac. Bond, 2.400%, 4/25/2022 | 604,189 | |
140,000 | National Rural Utilities Cooperative Finance Corp., Sr. Unsecd. Note, 2.950%, 2/7/2024 | 143,639 | |
375,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.900%, 4/1/2022 | 381,526 | |
300,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.550%, 5/1/2027 | 313,326 | |
110,000 | NiSource Finance Corp., Sr. Unsecd. Note, 2.650%, 11/17/2022 | 110,722 | |
500,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.490%, 5/15/2027 | 517,417 | |
590,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 4.200%, 6/15/2022 | 617,201 | |
425,000 | PSEG Power LLC, Sr. Unsecd. Note, 4.150%, 9/15/2021 | 436,699 | |
250,000 | Public Service Enterprises Group, Inc., Sr. Unsecd. Note, 2.000%, 11/15/2021 | 247,675 | |
250,000 | Southern Co., Sr. Unsecd. Note, 3.250%, 7/1/2026 | 254,005 | |
800,000 | UIL Holdings Corp., Sr. Unsecd. Note, 4.625%, 10/1/2020 | 819,512 | |
120,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 3.100%, 3/8/2022 | 122,207 | |
450,000 | Wisconsin Energy Corp., Sr. Unsecd. Note, 3.550%, 6/15/2025 | 472,654 | |
TOTAL | 10,874,772 | ||
Utility - Natural Gas—1.3% | |||
250,000 | Atmos Energy Corp., Sr. Unsecd. Note, 3.000%, 6/15/2027 | 254,422 | |
1,000,000 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 4.200%, 9/15/2021 | 1,031,021 | |
600,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.750%, 3/1/2023 | 613,727 | |
250,000 | Sempra Energy, Sr. Unsecd. Note, 2.900%, 2/1/2023 | 252,175 | |
300,000 | Southeast Supply Header LLC, Sr. Unsecd. Note, 144A, 4.250%, 6/15/2024 | 310,641 | |
TOTAL | 2,461,986 | ||
Utility - Natural Gas Distributor—0.2% | |||
450,000 | Southern Co. Gas Capital, Sr. Unsecd. Note, 2.450%, 10/1/2023 | 448,934 | |
TOTAL CORPORATE BONDS (IDENTIFIED COST $176,970,390) | 183,183,858 | ||
MORTGAGE-BACKED SECURITIES—0.1% | |||
Federal Home Loan Mortgage Corporation—0.0% | |||
747 | Federal Home Loan Mortgage Corp., Pool C01051, 8.000%, 9/1/2030 | 868 |
Principal Amount | Value | ||
MORTGAGE-BACKED SECURITIES—continued | |||
Federal National Mortgage Association—0.0% | |||
$6 | Federal National Mortgage Association, Pool 50276, 9.500%, 2/1/2020 | $6 | |
Government National Mortgage Association—0.1% | |||
1,891 | Government National Mortgage Association, Pool 1512, 7.500%, 12/20/2023 | 2,027 | |
2,340 | Government National Mortgage Association, Pool 2630, 6.500%, 8/20/2028 | 2,608 | |
3,277 | Government National Mortgage Association, Pool 2631, 7.000%, 8/20/2028 | 3,684 | |
4,666 | Government National Mortgage Association, Pool 2658, 6.500%, 10/20/2028 | 5,207 | |
7,309 | Government National Mortgage Association, Pool 2701, 6.500%, 1/20/2029 | 8,158 | |
4,754 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 5,395 | |
1,142 | Government National Mortgage Association, Pool 3039, 6.500%, 2/20/2031 | 1,292 | |
3,320 | Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031 | 3,804 | |
11,725 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 13,338 | |
8,413 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 9,604 | |
18,090 | Government National Mortgage Association, Pool 3261, 6.500%, 7/20/2032 | 20,687 | |
866 | Government National Mortgage Association, Pool 493514, 8.000%, 9/15/2030 | 935 | |
4,681 | Government National Mortgage Association, Pool 516688, 8.000%, 8/15/2029 | 5,415 | |
TOTAL | 82,154 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $73,295) | 83,028 | ||
FOREIGN GOVERNMENTS/AGENCY—0.1% | |||
Sovereign—0.1% | |||
225,000 | Colombia, Government of, Sr. Unsecd. Note, 4.375%, 7/12/2021 (IDENTIFIED COST $224,784) | 232,596 | |
COLLATERALIZED MORTGAGE OBLIGATION—0.0% | |||
Commercial Mortgage—0.0% | |||
61,090 | TIAA Seasoned Commercial Mortgage Trust 2007-C4, Class AJ, 5.482%, 8/15/2039 (IDENTIFIED COST $60,614) | 61,316 | |
REPURCHASE AGREEMENT—0.7% | |||
1,347,000 | Interest in $590,000,000 joint repurchase agreement 2.51%, dated 6/28/2019 under which Bank of America, N.A. will repurchase securities provided as collateral for $590,123,408 on 7/1/2019. 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 6/20/2044 and the market value of those underlying securities was $601,925,877. (IDENTIFIED COST $1,347,000) | 1,347,000 | |
TOTAL INVESTMENT IN SECURITIES—99.2% (IDENTIFIED COST $178,676,083)2 | 184,907,798 | ||
OTHER ASSETS AND LIABILITIES - NET—0.8%3 | 1,489,427 | ||
TOTAL NET ASSETS—100% | $186,397,225 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
4U.S. Treasury Note 10-Year Long Futures | 55 | $7,038,281 | September 2019 | $194,525 |
4U.S. Treasury Long Bond Short Futures | 23 | $3,578,656 | September 2019 | $(161,911) |
4U.S. Treasury Bond Ultra Short Futures | 11 | $1,953,188 | September 2019 | $(106,587) |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(73,973) |
1 | Floating/variable note with current rate and current maturity or next reset date shown. |
2 | Also represents cost for federal tax purposes. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
4 | Non-income-producing security. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $183,183,858 | $— | $183,183,858 |
Mortgage-Backed Securities | — | 83,028 | — | 83,028 |
Foreign Governments/Agency | — | 232,596 | — | 232,596 |
Collateralized Mortgage Obligation | — | 61,316 | — | 61,316 |
Repurchase Agreement | — | 1,347,000 | — | 1,347,000 |
TOTAL SECURITIES | $— | $184,907,798 | — | $184,907,798 |
Other Financial Instruments:1 | ||||
Assets | $194,525 | $— | $— | $194,525 |
Liabilities | (268,498) | — | — | (268,498) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(73,973) | $— | $— | $(73,973) |
1 | Other financial instruments are futures contracts. |
BKNT | —Bank Notes |
GMTN | —Global Medium Term Note |
LIBOR | —London Interbank Offered Rate |
MTN | —Medium Term Note |
REIT | —Real Estate Investment Trust |
Six Months Ended (unaudited) 6/30/2019 | Year Ended December 31, | |||||
2018 | 2017 | 2016 | 2015 | 2014 | ||
Net Asset Value, Beginning of Period | $10.65 | $11.05 | $10.98 | $10.97 | $11.42 | $11.43 |
Income From Investment Operations: | ||||||
Net investment income1 | 0.16 | 0.30 | 0.31 | 0.34 | 0.37 | 0.40 |
Net realized and unrealized gain (loss) | 0.54 | (0.37) | 0.12 | 0.07 | (0.39) | 0.03 |
TOTAL FROM INVESTMENT OPERATIONS | 0.70 | (0.07) | 0.43 | 0.41 | (0.02) | 0.43 |
Less Distributions: | ||||||
Distributions from net investment income | (0.33) | (0.33) | (0.36) | (0.40) | (0.43) | (0.44) |
Distributions from net realized gain | (0.00)2 | — | — | — | — | — |
TOTAL DISTRIBUTIONS | (0.33) | (0.33) | (0.36) | (0.40) | (0.43) | (0.44) |
Net Asset Value, End of Period | $11.02 | $10.65 | $11.05 | $10.98 | $10.97 | $11.42 |
Total Return3 | 6.64% | (0.59)% | 4.04% | 3.82% | (0.24)% | 3.79% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.74%4 | 0.74% | 0.74% | 0.73% | 0.73% | 0.73% |
Net investment income | 2.90%4 | 2.83% | 2.81% | 3.10% | 3.30% | 3.53% |
Expense waiver/reimbursement5 | 0.09%4 | 0.08% | 0.06% | 0.07% | 0.05% | 0.04% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $167,107 | $162,812 | $185,026 | $188,831 | $198,990 | $220,355 |
Portfolio turnover | 13% | 19% | 27% | 26% | 17% | 18% |
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. Total returns for periods of less than one year are not annualized. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Six Months Ended (unaudited) 6/30/2019 | Year Ended December 31, | |||||
2018 | 2017 | 2016 | 2015 | 2014 | ||
Net Asset Value, Beginning of Period | $10.62 | $11.01 | $10.94 | $10.93 | $11.37 | $11.38 |
Income From Investment Operations: | ||||||
Net investment income (loss)1 | 0.14 | 0.27 | 0.28 | 0.31 | 0.34 | 0.38 |
Net realized and unrealized gain (loss) | 0.55 | (0.36) | 0.12 | 0.07 | (0.38) | 0.01 |
TOTAL FROM INVESTMENT OPERATIONS | 0.69 | (0.09) | 0.40 | 0.38 | (0.04) | 0.39 |
Less Distributions: | ||||||
Distributions from net investment income | (0.30) | (0.30) | (0.33) | (0.37) | (0.40) | (0.40) |
Distributions from net realized gain | (0.00)2 | — | — | — | — | — |
TOTAL DISTRIBUTIONS | (0.30) | (0.30) | (0.33) | (0.37) | (0.40) | (0.40) |
Net Asset Value, End of Period | $11.01 | $10.62 | $11.01 | $10.94 | $10.93 | $11.37 |
Total Return3 | 6.56% | (0.78)% | 3.75% | 3.53% | (0.44)% | 3.51% |
Ratios to Average Net Assets: | ||||||
Net expenses | 0.99%4 | 0.99% | 0.99% | 0.98% | 0.98% | 0.98% |
Net investment income | 2.65%4 | 2.58% | 2.56% | 2.86% | 3.04% | 3.29% |
Expense waiver/reimbursement5 | 0.09%4 | 0.07% | 0.06% | 0.07% | 0.05% | 0.04% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $19,290 | $19,344 | $22,596 | $23,920 | $27,977 | $33,857 |
Portfolio turnover | 13% | 19% | 27% | 26% | 17% | 18% |
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. Total returns for periods of less than one year are not annualized. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. |
Assets: | ||
Investment in securities, at value (identified cost $178,676,083) | $184,907,798 | |
Cash | 226 | |
Restricted cash (Note 2) | 52,725 | |
Income receivable | 1,731,777 | |
Receivable for shares sold | 5,167 | |
Receivable for daily variation margin on futures contracts | 6,705 | |
TOTAL ASSETS | 186,704,398 | |
Liabilities: | ||
Payable for investments purchased | $199,942 | |
Payable for shares redeemed | 44,528 | |
Payable for investment adviser fee (Note 5) | 8,027 | |
Payable for administrative fees (Note 5) | 1,215 | |
Payable for auditing fees | 13,305 | |
Payable for portfolio accounting fees | 30,206 | |
Payable for distribution services fee (Note 5) | 3,946 | |
Accrued expenses (Note 5) | 6,004 | |
TOTAL LIABILITIES | 307,173 | |
Net assets for 16,912,954 shares outstanding | $186,397,225 | |
Net Assets Consist of: | ||
Paid-in capital | $177,481,957 | |
Total distributable earnings (loss) | 8,915,268 | |
TOTAL NET ASSETS | $186,397,225 | |
Net Asset Value, Offering Price and Redemption Proceeds Per Share | ||
Primary Shares: | ||
Net asset value per share ($167,107,467 ÷ 15,160,492 shares outstanding), no par value, unlimited shares authorized | $11.02 | |
Service Shares: | ||
Net asset value per share ($19,289,758 ÷ 1,752,462 shares outstanding), no par value, unlimited shares authorized | $11.01 |
Investment Income: | ||
Interest | $3,309,283 | |
Expenses: | ||
Investment adviser fee (Note 5) | $545,112 | |
Administrative fee (Note 5) | 74,742 | |
Custodian fees | 5,686 | |
Transfer agent fee | 8,679 | |
Directors'/Trustees' fees (Note 5) | 1,248 | |
Auditing fees | 13,305 | |
Legal fees | 5,074 | |
Portfolio accounting fees | 44,936 | |
Distribution services fee (Note 5) | 23,830 | |
Printing and postage | 36,303 | |
Miscellaneous (Note 5) | 12,984 | |
TOTAL EXPENSES | 771,899 | |
Waiver: | ||
Waiver of investment adviser fee (Note 5) | (77,313) | |
Net expenses | 694,586 | |
Net investment income | 2,614,697 | |
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||
Net realized gain on investments | 157,190 | |
Net realized gain on futures contracts | 43,230 | |
Net change in unrealized depreciation of investments | 9,155,084 | |
Net change in unrealized appreciation of futures contracts | (129,733) | |
Net realized and unrealized gain on investments and futures contracts | 9,225,771 | |
Change in net assets resulting from operations | $11,840,468 |
Six Months Ended (unaudited) 6/30/2019 | Year Ended 12/31/2018 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $2,614,697 | $5,349,919 |
Net realized gain (loss) | 200,420 | (92,357) |
Net change in unrealized appreciation/depreciation | 9,025,351 | (6,611,129) |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 11,840,468 | (1,353,567) |
Distributions to Shareholders: | ||
Primary Shares | (4,859,559) | (5,280,660) |
Service Shares | (520,306) | (603,797) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (5,379,865) | (5,884,457) |
Share Transactions: | ||
Proceeds from sale of shares | 4,313,518 | 10,374,695 |
Net asset value of shares issued to shareholders in payment of distributions declared | 5,379,862 | 5,884,454 |
Cost of shares redeemed | (11,913,127) | (34,487,264) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (2,219,747) | (18,228,115) |
Change in net assets | 4,240,856 | (25,466,139) |
Net Assets: | ||
Beginning of period | 182,156,369 | 207,622,508 |
End of period | $186,397,225 | $182,156,369 |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by Fund's Board of Trustees (the “Trustees”). |
■ | 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. |
Fair Value of Derivative Instruments | ||
Assets | ||
Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||
Interest Rate Contracts | Receivable for daily variation margin on futures contracts | $(73,973)* |
* | Includes cumulative net 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 Contracts | |
Interest rate contracts | $43,230 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |
Futures Contracts | |
Interest rate contracts | $(129,733) |
Six Months Ended 6/30/2019 | Year Ended 12/31/2018 | |||
Primary Shares: | Shares | Amount | Shares | Amount |
Shares sold | 382,576 | $4,130,212 | 926,837 | $9,908,467 |
Shares issued to shareholders in payment of distributions declared | 456,297 | 4,859,559 | 501,964 | 5,280,660 |
Shares redeemed | (969,068) | (10,454,658) | (2,887,517) | (30,973,082) |
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS | (130,195) | $(1,464,887) | (1,458,716) | $(15,783,955) |
Six Months Ended 6/30/2019 | Year Ended 12/31/2018 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 17,089 | $183,306 | 43,477 | $466,228 |
Shares issued to shareholders in payment of distributions declared | 48,901 | 520,303 | 57,450 | 603,794 |
Shares redeemed | (135,424) | (1,458,469) | (330,799) | (3,514,182) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (69,434) | $(754,860) | (229,872) | $(2,444,160) |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | (199,629) | $(2,219,747) | (1,688,588) | $(18,228,115) |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Percentage of Average Daily Net Assets of Class | |
Primary Shares | 0.25% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | |
Service Shares | $23,830 |
Purchases | $24,218,080 |
Sales | $28,455,082 |
Beginning Account Value 1/1/2019 | Ending Account Value 6/30/2019 | Expenses Paid During Period1 | |
Actual: | |||
Primary Shares | $1,000 | $1,066.40 | $3.79 |
Service Shares | $1,000 | $1,065.60 | $5.07 |
Hypothetical (assuming a 5% return before expenses): | |||
Primary Shares | $1,000 | $1,021.10 | $3.71 |
Service Shares | $1,000 | $1,019.90 | $4.96 |
1 | Expenses are equal to the Fund's annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (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 | 0.74% |
Service Shares | 0.99% |
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 313916785
2019 ©Federated Investors, Inc.
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | 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.
RegistrantFederated Insurance Series
By/S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
DateAugust 23, 2019
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
DateAugust 23, 2019
By/S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
DateAugust 23, 2019