NPORT-EX 2 poi_fedmortgagecoreportfolio.htm POI - FEDERATED MORTGAGE CORE PORTFOLIO
Federated Mortgage Core Portfolio
Portfolio of Investments
March 31, 2020 (unaudited)
Principal
Amount
or Shares 		    Value
  1 AGENCY RISK TRANSFER SECURITIES—0.2%  
$1,511,159   Fannie Mae—CAS 2018-C03, Series 2018-C03, Class 1M1, 1.626% (1-month USLIBOR +0.680%), 10/25/2030 $1,496,384
1,325,619   Freddie Mac—STACR 2016-DNA4, Series 2016-DNA, Class M2, 2.246% (1-month USLIBOR +1.300%), 3/25/2029 1,304,387
2,827,279   Freddie Mac—STACR 2018-DNA1, Series 2018-DNA, Class M1, 1.396% (1-month USLIBOR +0.450%), 7/25/2030 2,803,197
    TOTAL AGENCY RISK TRANSFER SECURITIES
(IDENTIFIED COST $5,609,721) 		5,603,968
    ASSET-BACKED SECURITIES—3.2%  
  1 Credit Card—3.1%  
12,895,000   American Express Credit Account Master Trust 2018-9, Class A, 1.084% (1-month USLIBOR +0.380%), 4/15/2026 12,524,256
14,368,000   Capital One Multi-Asset Execut 2017-A5, Class A5, 1.284% (1-month USLIBOR +0.580%), 7/15/2027 13,077,326
35,255,000   Chase Issuance Trust 2018-A1, Class A1, 0.904% (1-month USLIBOR +0.200%), 4/17/2023 34,990,598
26,460,000   Discover Card Execution Note T 2017-A5, Class A5, 1.304% (1-month USLIBOR +0.600%), 12/15/2026 24,537,014
12,340,000   Discover Card Execution Note Trust 2018-A2, Class A2, 1.034% (1-month USLIBOR +0.330%), 8/15/2025 12,086,694
    TOTAL 97,215,888
    Other—0.1%  
1,570,439   Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 1,570,072
534,122   Sofi Consumer Loan Program Trust 2016-3, Class A, 3.050%, 12/26/2025 526,990
    TOTAL 2,097,062
    TOTAL ASSET-BACKED SECURITIES
(IDENTIFIED COST $103,132,031) 		99,312,950
    COMMERCIAL MORTGAGE-BACKED SECURITIES—3.8%  
    Agency Commercial Mortgage-Backed Securities—3.8%  
23,760,000   FHLMC REMIC, Series K727, Class A2, 2.946%, 7/25/2024 25,112,139
25,775,588   FHLMC REMIC, Series K736, Class A1, 1.895%, 6/25/2025 26,227,914
34,750,000   FHLMC REMIC, Series K737, Class A2, 2.530%, 10/25/2026 36,860,357
28,000,000   FHLMC REMIC, Series KC03, Class A2, 3.499%, 1/25/2026 30,718,307
    TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $114,896,428) 		118,918,717
    COLLATERALIZED MORTGAGE OBLIGATIONS—6.7%  
  1 Federal Home Loan Mortgage Corporation—2.9%  
9,211,473   FHLMC REMIC, Series 4273, Class PF, 2.076% (1-month USLIBOR +0.400%), 11/15/2043 9,096,858
42,522,420   FHLMC REMIC, Series 4856, Class FD, 1.004% (1-month USLIBOR +0.300%), 8/15/2040 41,836,653
7,576,475   FHLMC REMIC, Series 4901, Class GF, 1.154% (1-month USLIBOR +0.450%), 7/25/2049 7,471,195
34,254,145   FHLMC REMIC, Series 4937, Class MF, 1.154% (1-month USLIBOR +0.450%), 12/25/2049 33,834,857
    TOTAL 92,239,563
  1 Federal National Mortgage Association—3.0%  
18,944,269   FNMA REMIC, Series 2017-90, Class WF, 1.296% (1-month USLIBOR +0.350%), 11/25/2047 18,588,100
15,028,450   FNMA REMIC, Series 2019-30, Class FB, 1.346% (1-month USLIBOR +0.400%), 7/25/2049 14,808,114
8,392,982   FNMA REMIC, Series 2019-33, Class FB, 1.396% (1-month USLIBOR +0.450%), 7/25/2049 8,264,666
17,277,501   FNMA REMIC, Series 2019-39, Class FA, 1.346% (1-month USLIBOR +0.400%), 8/25/2049 16,984,531
10,798,028   FNMA REMIC, Series 2019-47, Class FB, 1.346% (1-month USLIBOR +0.400%), 5/25/2040 10,633,136
24,553,136   FNMA REMIC, Series 2019-56, Class AF, 1.346% (1-month USLIBOR +0.400%), 10/25/2049 24,258,785
    TOTAL 93,537,332
    Non-Agency Mortgage-Backed Securities—0.8%  
720,811   Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 621,055
452,086   Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 254,988
220,984   Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 4.288%, 8/25/2035 205,839
6,244,342   Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 5,939,718
1
Principal
Amount
or Shares 		    Value
    COLLATERALIZED MORTGAGE OBLIGATIONS—continued  
    Non-Agency Mortgage-Backed Securities—continued  
$6,332,464   Sequoia Mortgage Trust 2013-1, Class 2A1, 1.855%, 2/25/2043 $6,025,078
12,561,475   Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 11,954,234
    TOTAL 25,000,912
    TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $214,128,645) 		210,777,807
    MORTGAGE-BACKED SECURITIES—89.7%  
    Federal Home Loan Mortgage Corporation—24.6%  
8,714,606   2.500%, 9/1/2034 9,073,817
2,919,650   2.500%, 10/1/2049 3,028,105
2,833,501   3.000%, 4/1/2031 2,977,423
3,057,356   3.000%, 1/1/2032 3,232,521
4,166,660   3.000%, 3/1/2032 4,414,755
4,802,419   3.000%, 3/1/2032 5,061,356
4,234,136   3.000%, 6/1/2032 4,447,877
5,511,775   3.000%, 6/1/2032 5,812,404
14,103,781   3.000%, 11/1/2032 14,836,902
2,263,806   3.000%, 12/1/2032 2,389,120
8,066,417   3.000%, 1/1/2033 8,528,062
26,468,452   3.000%, 2/1/2033 28,151,991
3,605,171   3.000%, 7/1/2033 3,822,087
24,237,176   3.000%, 1/1/2043 25,682,619
7,243,088   3.000%, 11/1/2044 7,598,089
1,399,979   3.000%, 6/1/2045 1,481,720
9,228,410   3.000%, 10/1/2045 9,767,233
1,062,712   3.000%, 5/1/2046 1,123,765
20,556,111   3.000%, 6/1/2046 21,692,090
8,001,793   3.000%, 6/1/2046 8,501,504
9,985,584   3.000%, 7/1/2046 10,581,099
3,051,655   3.000%, 9/1/2046 3,213,621
9,487,304   3.000%, 10/1/2046 10,002,701
10,258,809   3.000%, 10/1/2046 10,803,295
8,568,784   3.000%, 10/1/2046 9,061,060
3,791,016   3.000%, 11/1/2046 3,991,039
8,202,080   3.000%, 11/1/2046 8,622,025
9,892,904   3.000%, 12/1/2046 10,464,342
18,707,529   3.000%, 1/1/2047 19,665,353
16,159,340   3.000%, 5/1/2047 17,042,244
300,673   3.500%, 6/1/2026 316,595
581,945   3.500%, 6/1/2026 612,762
188,130   3.500%, 7/1/2026 198,092
8,897,801   3.500%, 7/1/2042 9,532,889
7,928,375   3.500%, 9/1/2043 8,491,793
5,179,012   3.500%, 5/1/2046 5,519,537
31,978,129   3.500%, 7/1/2046 34,180,652
21,268,482   3.500%, 11/1/2047 22,527,329
63,538,874   3.500%, 11/1/2047 67,379,062
3,755,438   3.500%, 12/1/2047 4,014,098
29,980,431   3.500%, 12/1/2047 31,900,144
27,306,704   3.500%, 12/1/2047 28,922,944
17,594,118   3.500%, 2/1/2048 18,679,471
2
Principal
Amount
or Shares 		    Value
    MORTGAGE-BACKED SECURITIES—continued  
    Federal Home Loan Mortgage Corporation—continued  
$24,873,566   3.500%, 2/1/2048 $26,497,367
210,988   4.000%, 5/1/2024 222,055
1,344,845   4.000%, 8/1/2025 1,416,652
152,316   4.000%, 5/1/2026 160,449
2,173,763   4.000%, 5/1/2026 2,289,830
1,945,240   4.000%, 12/1/2040 2,113,638
11,825,868   4.000%, 12/1/2041 12,834,846
1,672,059   4.000%, 1/1/2042 1,814,718
20,657,372   4.000%, 6/1/2047 22,332,701
21,089,501   4.000%, 10/1/2047 22,693,770
14,884,004   4.000%, 11/1/2047 15,912,036
12,720,617   4.000%, 12/1/2047 13,688,270
8,268,482   4.000%, 2/1/2048 8,876,791
24,902,871   4.000%, 4/1/2048 26,615,120
14,285,365   4.000%, 5/1/2048 15,258,657
8,841,219   4.000%, 6/1/2048 9,554,105
6,229   4.500%, 3/1/2021 6,271
111,688   4.500%, 9/1/2021 113,004
148,747   4.500%, 7/1/2024 155,636
160,692   4.500%, 8/1/2024 168,266
374,732   4.500%, 9/1/2024 391,792
426,014   4.500%, 9/1/2024 446,085
222,728   4.500%, 6/1/2025 233,576
1,089,364   4.500%, 11/1/2039 1,195,581
3,086,779   4.500%, 5/1/2040 3,386,786
311,989   4.500%, 6/1/2040 342,311
577,204   4.500%, 7/1/2040 633,303
1,889,552   4.500%, 8/1/2040 2,072,609
955,318   4.500%, 8/1/2040 1,047,868
5,706,703   4.500%, 9/1/2040 6,259,559
1,130,070   4.500%, 7/1/2041 1,238,136
423,793   4.500%, 7/1/2041 464,875
604,535   4.500%, 7/1/2041 662,346
10,236,797   4.500%, 2/1/2048 11,183,736
14,003,591   4.500%, 5/1/2048 15,102,046
10,651,235   4.500%, 8/1/2048 11,601,560
7,776,093   4.500%, 10/1/2048 8,366,617
1,006   5.000%, 7/1/2020 1,007
9,751   5.000%, 10/1/2021 9,948
47,818   5.000%, 11/1/2021 48,781
40,861   5.000%, 12/1/2021 41,780
92,357   5.000%, 6/1/2023 96,011
177,914   5.000%, 7/1/2023 184,781
74,493   5.000%, 7/1/2023 77,546
67,128   5.000%, 7/1/2025 69,718
1,502,273   5.000%, 1/1/2034 1,662,139
509,013   5.000%, 5/1/2034 563,896
2,212   5.000%, 11/1/2035 2,464
648,915   5.000%, 4/1/2036 722,880
3
Principal
Amount
or Shares 		    Value
    MORTGAGE-BACKED SECURITIES—continued  
    Federal Home Loan Mortgage Corporation—continued  
$760   5.000%, 4/1/2036 $848
10,234   5.000%, 4/1/2036 11,382
137,476   5.000%, 4/1/2036 153,445
82,173   5.000%, 5/1/2036 91,812
186,157   5.000%, 6/1/2036 206,567
106,062   5.000%, 6/1/2036 118,140
635,607   5.000%, 12/1/2037 710,149
90,453   5.000%, 5/1/2038 101,177
47,091   5.000%, 6/1/2038 52,790
108,028   5.000%, 9/1/2038 121,052
97,567   5.000%, 2/1/2039 109,427
51,226   5.000%, 3/1/2039 56,846
112,045   5.000%, 6/1/2039 124,337
3,291,260   5.000%, 10/1/2039 3,652,347
272,928   5.000%, 2/1/2040 302,359
561,082   5.000%, 8/1/2040 620,886
9,272   5.500%, 3/1/2021 9,407
52,879   5.500%, 4/1/2021 53,568
31,269   5.500%, 1/1/2022 32,120
71,242   5.500%, 1/1/2022 73,180
3,472   5.500%, 1/1/2022 3,571
95,356   5.500%, 2/1/2022 97,950
1,274,973   5.500%, 5/1/2034 1,442,334
102,377   5.500%, 3/1/2036 116,599
123,367   5.500%, 3/1/2036 140,277
41,577   5.500%, 3/1/2036 47,374
109,056   5.500%, 3/1/2036 123,552
262,502   5.500%, 6/1/2036 298,683
116,697   5.500%, 6/1/2036 132,972
76,311   5.500%, 6/1/2036 86,463
93,332   5.500%, 9/1/2037 106,379
322,001   5.500%, 9/1/2037 366,281
133,848   5.500%, 12/1/2037 152,755
22,539   5.500%, 3/1/2038 25,674
11,786   6.000%, 7/1/2029 13,316
34,799   6.000%, 2/1/2032 39,729
49,828   6.000%, 5/1/2036 58,092
67,738   6.000%, 8/1/2037 79,250
247,293   6.000%, 9/1/2037 288,480
9,146   6.500%, 3/1/2022 9,480
9,200   6.500%, 6/1/2029 10,441
10,446   6.500%, 6/1/2029 11,869
4,115   6.500%, 7/1/2029 4,636
239,562   6.500%, 11/1/2036 281,354
567,608   6.500%, 10/1/2037 669,953
2,859   6.500%, 4/1/2038 3,369
2,456   6.500%, 4/1/2038 2,901
63   7.000%, 10/1/2020 64
8,667   7.000%, 4/1/2032 9,972
4
Principal
Amount
or Shares 		    Value
    MORTGAGE-BACKED SECURITIES—continued  
    Federal Home Loan Mortgage Corporation—continued  
$168,241   7.000%, 4/1/2032 $196,485
54,947   7.000%, 9/1/2037 64,800
22,346   7.500%, 8/1/2029 25,863
23,535   7.500%, 10/1/2029 27,113
12,461   7.500%, 11/1/2029 14,392
15,210   7.500%, 4/1/2031 16,946
14,395   7.500%, 5/1/2031 16,741
3,396   8.000%, 3/1/2030 3,943
35,622   8.000%, 1/1/2031 41,849
52,231   8.000%, 2/1/2031 60,981
55,339   8.000%, 3/1/2031 64,988
1,503   8.500%, 9/1/2025 1,657
395   8.500%, 9/1/2025 437
    TOTAL 769,941,310
    Federal National Mortgage Association—34.3%  
3,893,865   2.500%, 2/1/2028 4,056,802
23,146,898   2.500%, 6/1/2034 24,043,132
6,487,401   2.500%, 9/1/2034 6,754,807
3,835,535   2.500%, 9/1/2034 3,984,045
38,828,293   2.500%, 12/1/2034 40,331,701
20,675,155   2.500%, 11/1/2049 21,481,928
8,385,403   2.500%, 12/1/2049 8,696,890
9,879,512   2.500%, 12/1/2049 10,246,501
2,754,210   3.000%, 2/1/2032 2,904,777
5,346,213   3.000%, 8/1/2043 5,661,706
4,123,566   3.000%, 9/1/2043 4,366,908
13,605,619   3.000%, 8/1/2046 14,344,743
4,974,896   3.000%, 9/1/2046 5,259,149
8,146,104   3.000%, 10/1/2046 8,570,821
2,541,856   3.000%, 10/1/2046 2,676,765
4,672,534   3.000%, 11/1/2046 4,920,528
5,460,637   3.000%, 11/1/2046 5,743,634
8,578,557   3.000%, 11/1/2046 9,017,778
2,909,362   3.000%, 1/1/2047 3,058,321
66,071,214   3.000%, 1/1/2047 69,454,054
1,345,992   3.000%, 2/1/2047 1,423,740
12,558,067   3.000%, 3/1/2047 13,201,039
16,579,300   3.000%, 3/1/2047 17,479,968
1,889,316   3.000%, 4/1/2047 1,989,001
11,572,661   3.000%, 12/1/2047 12,201,345
16,277,625   3.000%, 12/1/2047 17,207,686
5,429,760   3.000%, 2/1/2048 5,717,943
1,157,037   3.000%, 2/1/2048 1,218,447
35,159,696   3.000%, 4/1/2049 36,882,957
6,227,954   3.000%, 11/1/2049 6,538,650
2,481,933   3.000%, 11/1/2049 2,603,578
46,125,994   3.000%, 12/1/2049 48,386,740
29,741,109   3.000%, 12/1/2049 31,198,792
408,950   3.500%, 11/1/2025 430,607
5
Principal
Amount
or Shares 		    Value
    MORTGAGE-BACKED SECURITIES—continued  
    Federal National Mortgage Association—continued  
$247,662   3.500%, 11/1/2025 $260,777
401,597   3.500%, 12/1/2025 422,864
474,821   3.500%, 1/1/2026 499,965
140,308   3.500%, 1/1/2026 147,738
28,273,119   3.500%, 4/1/2033 30,185,612
13,055,755   3.500%, 9/1/2042 13,987,621
20,820,336   3.500%, 7/1/2045 22,273,874
15,371,129   3.500%, 8/1/2046 16,367,384
11,334,571   3.500%, 8/1/2046 12,075,224
19,450,182   3.500%, 9/1/2046 20,701,698
8,221,766   3.500%, 11/1/2046 8,788,048
8,089,312   3.500%, 2/1/2047 8,643,943
23,622,640   3.500%, 11/1/2047 25,020,826
23,838,863   3.500%, 12/1/2047 25,309,445
13,667,418   3.500%, 12/1/2047 14,493,455
21,706,229   3.500%, 12/1/2047 23,045,251
15,880,274   3.500%, 4/1/2048 16,810,277
18,060,929   3.500%, 9/1/2049 19,107,351
361,388   4.000%, 12/1/2025 380,684
360,958   4.000%, 7/1/2026 380,570
2,704,912   4.000%, 2/1/2041 2,939,075
7,116,514   4.000%, 12/1/2041 7,732,587
2,701,942   4.000%, 3/1/2042 2,950,202
5,646,602   4.000%, 4/1/2042 6,128,368
9,231,370   4.000%, 10/1/2045 10,009,612
2,144,411   4.000%, 3/1/2046 2,309,278
3,247,053   4.000%, 7/1/2046 3,506,637
3,164,050   4.000%, 9/1/2046 3,418,778
5,414,987   4.000%, 11/1/2046 5,841,202
23,234,306   4.000%, 6/1/2047 25,118,627
11,495,735   4.000%, 10/1/2047 12,311,295
8,968,770   4.000%, 10/1/2047 9,629,720
9,031,133   4.000%, 11/1/2047 9,696,679
11,615,637   4.000%, 12/1/2047 12,557,674
13,256,623   4.000%, 12/1/2047 14,226,108
6,305,056   4.000%, 1/1/2048 6,836,104
4,148,371   4.000%, 2/1/2048 4,519,161
8,679,702   4.000%, 2/1/2048 9,319,349
12,028,986   4.000%, 2/1/2048 12,882,378
15,414,890   4.000%, 2/1/2048 16,479,590
19,334,678   4.000%, 2/1/2048 20,670,116
41,660,781   4.000%, 3/1/2048 44,525,255
4,142,226   4.000%, 3/1/2048 4,512,467
3,566,395   4.000%, 3/1/2048 3,835,014
10,544,461   4.000%, 4/1/2048 11,305,714
10,114,215   4.000%, 5/1/2048 10,825,443
13,261,289   4.000%, 6/1/2048 14,164,808
2,729,300   4.000%, 6/1/2048 2,921,223
9,655,673   4.000%, 7/1/2048 10,306,896
6
Principal
Amount
or Shares 		    Value
    MORTGAGE-BACKED SECURITIES—continued  
    Federal National Mortgage Association—continued  
$5,996,785   4.000%, 11/1/2048 $6,405,734
188,375   4.500%, 2/1/2039 206,886
1,121,244   4.500%, 5/1/2040 1,230,219
3,520,501   4.500%, 10/1/2040 3,861,561
358,391   4.500%, 11/1/2040 393,111
4,051,776   4.500%, 4/1/2041 4,441,773
2,050,348   4.500%, 6/1/2041 2,246,419
4,220,416   4.500%, 9/1/2041 4,624,008
9,358,196   4.500%, 5/1/2048 10,092,261
8,005,814   4.500%, 9/1/2048 8,607,779
469,596   5.000%, 5/1/2023 488,173
85,288   5.000%, 8/1/2023 88,867
355,379   5.000%, 11/1/2023 372,309
2,125,556   5.000%, 2/1/2036 2,366,392
1,268,985   5.000%, 7/1/2040 1,404,241
1,467,981   5.000%, 10/1/2041 1,616,190
32,376   5.500%, 1/1/2032 36,514
42,896   5.500%, 1/1/2032 48,378
380,632   5.500%, 9/1/2034 432,508
1,330,313   5.500%, 12/1/2034 1,511,110
43,551   5.500%, 4/1/2035 49,338
454,823   5.500%, 11/1/2035 515,754
298,390   5.500%, 1/1/2036 338,954
108,484   5.500%, 3/1/2036 123,074
706,455   5.500%, 4/1/2036 801,949
477,003   5.500%, 4/1/2036 540,673
215,531   5.500%, 5/1/2036 245,221
150,134   5.500%, 9/1/2036 170,483
487,658   5.500%, 8/1/2037 554,074
172,579   5.500%, 7/1/2038 196,996
857,741   5.500%, 4/1/2041 968,603
1,078   6.000%, 1/1/2029 1,101
12,735   6.000%, 1/1/2029 14,187
15,924   6.000%, 2/1/2029 17,754
5,970   6.000%, 2/1/2029 6,662
4,698   6.000%, 4/1/2029 5,293
15,591   6.000%, 5/1/2029 17,541
9,636   6.000%, 5/1/2029 10,760
671,736   6.000%, 7/1/2034 776,373
341,681   6.000%, 11/1/2034 394,038
47,477   6.000%, 7/1/2036 55,377
187,372   6.000%, 7/1/2036 218,832
220,775   6.000%, 10/1/2037 258,410
186,156   6.000%, 6/1/2038 217,446
950,324   6.000%, 7/1/2038 1,114,673
79,733   6.000%, 9/1/2038 93,608
41,457   6.000%, 10/1/2038 48,537
432,547   6.000%, 2/1/2039 506,905
28,826   6.500%, 9/1/2028 31,470
7
Principal
Amount
or Shares 		    Value
    MORTGAGE-BACKED SECURITIES—continued  
    Federal National Mortgage Association—continued  
$4,092   6.500%, 8/1/2029 $4,610
5,517   6.500%, 6/1/2031 6,285
4,855   6.500%, 6/1/2031 5,507
14,743   6.500%, 6/1/2031 16,864
5,260   6.500%, 6/1/2031 6,029
33,239   6.500%, 12/1/2031 38,341
3,191   6.500%, 1/1/2032 3,678
46,175   6.500%, 3/1/2032 53,242
184,723   6.500%, 4/1/2032 211,345
58,711   6.500%, 5/1/2032 67,805
276,726   6.500%, 7/1/2036 324,547
11,463   6.500%, 8/1/2036 13,477
14,188   6.500%, 9/1/2036 16,736
83,577   6.500%, 12/1/2036 98,013
116,025   6.500%, 9/1/2037 137,163
6,349   6.500%, 12/1/2037 7,508
83,735   6.500%, 10/1/2038 99,030
699   7.000%, 7/1/2023 743
18,914   7.000%, 2/1/2024 19,989
802   7.000%, 5/1/2024 864
2,046   7.000%, 7/1/2024 2,219
1,172   7.000%, 7/1/2025 1,289
6,030   7.000%, 9/1/2031 7,021
14,723   7.000%, 9/1/2031 16,971
92,284   7.000%, 11/1/2031 107,597
10,599   7.000%, 12/1/2031 12,141
70,401   7.000%, 1/1/2032 79,222
28,533   7.000%, 2/1/2032 33,203
36,940   7.000%, 3/1/2032 43,094
258,562   7.000%, 3/1/2032 294,789
120,698   7.000%, 4/1/2032 141,088
27,423   7.000%, 4/1/2032 31,639
5,636   7.000%, 4/1/2032 6,584
28,727   7.000%, 6/1/2032 33,550
267,057   7.000%, 6/1/2037 315,021
962   7.500%, 1/1/2030 1,118
10,295   7.500%, 9/1/2030 11,987
14,423   7.500%, 5/1/2031 16,863
3,955   7.500%, 6/1/2031 4,615
38,550   7.500%, 8/1/2031 44,960
44,103   7.500%, 1/1/2032 50,775
3,754   7.500%, 6/1/2033 4,317
187   8.000%, 7/1/2023 195
4,820   8.000%, 10/1/2026 5,456
2,329   8.000%, 11/1/2029 2,696
433   9.000%, 6/1/2025 481
    TOTAL 1,073,606,636
    Government National Mortgage Association—7.1%  
19,695,545   3.000%, 1/20/2047 20,905,186
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Principal
Amount
or Shares 		    Value
    MORTGAGE-BACKED SECURITIES—continued  
    Government National Mortgage Association—continued  
$1,227,668   3.500%, 8/15/2043 $1,322,815
1,611,181   3.500%, 8/15/2043 1,736,051
16,158,888   3.500%, 3/20/2047 17,242,776
19,573,724   3.500%, 11/20/2047 20,886,669
45,853,903   3.500%, 9/20/2049 48,413,069
28,486,568   3.500%, 10/20/2049 30,087,567
26,568,627   3.500%, 11/20/2049 28,078,440
1,567,621   4.000%, 9/15/2040 1,716,846
3,895,318   4.000%, 10/15/2040 4,236,470
1,815,818   4.000%, 1/15/2041 1,988,669
2,525,721   4.000%, 10/15/2041 2,765,360
6,845,195   4.000%, 5/20/2047 7,320,238
18,810,855   4.000%, 6/15/2048 20,213,524
411,424   4.500%, 1/15/2039 451,943
345,522   4.500%, 6/15/2039 386,454
1,370,642   4.500%, 10/15/2039 1,533,012
411,183   4.500%, 1/15/2040 459,636
227,642   4.500%, 6/15/2040 254,467
345,000   4.500%, 9/15/2040 385,655
461,583   4.500%, 2/15/2041 515,831
1,215,274   4.500%, 3/15/2041 1,358,479
126,604   4.500%, 5/15/2041 141,483
4,189,770   4.500%, 6/20/2041 4,574,138
673,955   4.500%, 9/15/2041 753,162
490,360   4.500%, 10/15/2043 546,611
396,393   4.500%, 11/15/2043 441,617
569,770   5.000%, 1/15/2039 638,712
542,419   5.000%, 5/15/2039 608,052
764,989   5.000%, 8/20/2039 841,192
224,915   5.500%, 12/15/2038 253,923
162,133   5.500%, 12/20/2038 182,677
313,115   5.500%, 1/15/2039 355,784
336,524   5.500%, 2/15/2039 382,382
8,558   6.000%, 10/15/2028 9,431
10,702   6.000%, 3/15/2029 11,794
104,671   6.000%, 2/15/2036 119,853
182,610   6.000%, 4/15/2036 209,041
162,286   6.000%, 6/15/2037 186,153
18,889   6.500%, 10/15/2028 21,186
6,830   6.500%, 10/15/2028 7,430
8,415   6.500%, 11/15/2028 9,366
12,932   6.500%, 12/15/2028 14,404
5,544   6.500%, 2/15/2029 6,218
13,946   6.500%, 3/15/2029 15,589
28,453   6.500%, 9/15/2031 32,578
61,045   6.500%, 2/15/2032 69,656
17,667   7.000%, 11/15/2027 19,725
14,377   7.000%, 12/15/2027 16,160
9,671   7.000%, 6/15/2028 10,739
9
Principal
Amount
or Shares 		    Value
    MORTGAGE-BACKED SECURITIES—continued  
    Government National Mortgage Association—continued  
$18,530   7.000%, 11/15/2028 $20,671
8,556   7.000%, 1/15/2029 9,677
7,960   7.000%, 5/15/2029 9,068
2,342   7.000%, 10/15/2029 2,658
23,078   7.000%, 5/15/2030 26,290
15,589   7.000%, 11/15/2030 17,829
15,186   7.000%, 12/15/2030 17,189
29,080   7.000%, 6/15/2031 32,867
15,147   7.000%, 8/15/2031 17,324
63,742   7.000%, 10/15/2031 73,378
11,345   7.000%, 12/15/2031 13,112
18,092   7.500%, 8/15/2029 20,749
44,088   7.500%, 10/15/2029 50,838
53,743   7.500%, 6/15/2030 62,291
4,607   7.500%, 10/15/2030 5,321
7,262   7.500%, 1/15/2031 8,463
3,263   8.000%, 1/15/2022 3,390
2,179   8.000%, 6/15/2022 2,276
4,020   8.000%, 8/15/2029 4,642
2,645   8.000%, 10/15/2029 3,067
9,490   8.000%, 11/15/2029 11,010
9,654   8.000%, 1/15/2030 11,089
3,525   8.000%, 10/15/2030 4,082
77,612   8.000%, 11/15/2030 90,105
4,105   8.500%, 5/15/2029 4,799
100   9.500%, 10/15/2020 100
    TOTAL 223,260,498
  2 Uniform Mortgage-Backed Securities, TBA—23.7%  
25,000,000   2.000%, 4/1/2035 25,691,985
50,000,000   2.500%, 4/1/2035 51,903,790
115,000,000   2.500%, 4/1/2050 119,208,138
205,000,000   3.000%, 4/1/2050 214,974,521
225,000,000   3.500%, 4/1/2050 237,979,057
40,000,000   2.500%, 4/20/2050 41,818,336
50,000,000   3.000%, 4/20/2050 52,883,340
    TOTAL 744,459,167
    TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $2,671,531,452) 		2,811,267,611
    INVESTMENT COMPANY—19.9%  
624,146,055 3 Federated Government Obligations Fund, Premier Shares, 0.37%4
(IDENTIFIED COST $624,146,055) 		624,146,055
    TOTAL INVESTMENT IN SECURITIES—123.5%
(IDENTIFIED COST $3,733,444,332) 		3,870,027,108
    OTHER ASSETS AND LIABILITIES - NET—(23.5)%5 (736,482,467)
    TOTAL NET ASSETS—100% $3,133,544,641
10
Affiliated fund holdings are investment companies which are managed by the Adviser or an affiliate of the Adviser. Transactions with affiliated fund holdings during the period ended March 31, 2020, were as follows:
  Federated Government
Obligations Fund,
Premier Shares
Balance of Shares Held 12/31/2019 121,153,079
Purchases/Additions 940,863,295
Sales/Reductions (437,870,319)
Balance of Shares Held 3/31/2020 624,146,055
Value $624,146,055
Change in Unrealized Appreciation/Depreciation N/A
Net Realized Gain/(Loss) N/A
Dividend Income $557,088
1 Floating/variable note with current rate and current maturity or next reset date shown.
2 All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions.
3 All or a portion of this security is segregated pending settlement of when issued and delayed delivery transactions.
4 7-day net yield.
5 Assets, other than investments in securities, less liabilities.
Note: The categories of investments are shown as a percentage of total net assets at March 31, 2020.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■ 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.
If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Fund's valuation policies and procedures, or if information furnished by a pricing service, in the opinion of the valuation committee (“Valuation Committee”), is deemed not representative of the fair value of such security, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share, and the actual value obtained could be materially different.
Fair Valuation Procedures
The Trustees have ultimate responsibility for determining the fair value of investments for which market quotations are not readily available. The Trustees have appointed a Valuation Committee comprised of officers of the Fund, Federated Investment Management Company (the “Adviser”) and certain of the Adviser's affiliated companies to assist in determining fair value and in overseeing the calculation of the NAV. The Trustees have also authorized the use of pricing services recommended by the Valuation Committee to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing- service evaluations including periodic reviews of third-party pricing services' policies, procedures and valuation methods (including key inputs, methods, models and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Trustees. The Trustees periodically review and approve the fair valuations made by the Valuation Committee and any changes made to the procedures.
11
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Trustees.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of March 31, 2020, in valuing the Fund's assets carried at fair value:
Valuation Inputs        
  Level 1—
Quoted
Prices 		Level 2—
Other
Significant
Observable
Inputs 		Level 3—
Significant
Unobservable
Inputs 		Total
Debt Securities:        
Agency Risk Transfer Securities $— $5,603,968 $— $5,603,968
Asset-Backed Securities — 99,312,950 — 99,312,950
Commercial Mortgage-Backed Securities — 118,918,717 — 118,918,717
Collateralized Mortgage Obligations — 210,777,807 — 210,777,807
Mortgage-Backed Securities — 2,811,267,611 — 2,811,267,611
Investment Company 624,146,055 — — 624,146,055
TOTAL SECURITIES $624,146,055 $3,245,881,053 $— $3,870,027,108
The following acronyms are used throughout this portfolio:
FHLMC —Federal Home Loan Mortgage Corporation
FNMA —Federal National Mortgage Association
LIBOR —London Interbank Offered Rate
REMIC —Real Estate Mortgage Investment Conduit
12