N-Q 1 form.htm Federated Investors, Inc.

United States

Securities and Exchange Commission

Washington, D.C. 20549

 

Form N-Q

Quarterly Schedule of Portfolio Holdings of Registered Management Investment Companies

 

 

 

 

811-3387

 

(Investment Company Act File Number)

 

 

Federated U.S. Government Securities Fund: 2-5 Years

 

___________________________________________

 

(Exact Name of Registrant as Specified in Charter)

 

 

 

Federated Investors Funds

4000 Ericsson Drive

Warrendale, PA 15086-7561

(Address of Principal Executive Offices)

 

 

(412) 288-1900

(Registrant's Telephone Number)

 

 

John W. McGonigle, Esquire

Federated Investors Tower

1001 Liberty Avenue

Pittsburgh, Pennsylvania 15222-3779

(Name and Address of Agent for Service)

(Notices should be sent to the Agent for Service)

 

 

 

 

 

 

Date of Fiscal Year End: 01/31/15

 

 

Date of Reporting Period: Quarter ended 04/30/14

 

 

 

 

 

 

 

Item 1. Schedule of Investments

 

Federated U.S. Government Securities Fund: 2-5 Years
Portfolio of Investments
April 30, 2014 (unaudited)
Principal
Amount
or Shares 		    Value
    U.S. TREASURY—82.1%  
    U.S. Treasury Notes—82.1%  
$10,000,000   0.625%, 8/31/2017 $9,860,938
61,000,000   0.750%, 3/15/2017 60,885,625
15,000,000   0.750%, 12/31/2017 14,757,861
69,500,000   1.375%, 9/30/2018 69,115,172
13,430,000 1 1.500%, 12/31/2018 13,372,949
34,000,000   1.500%, 1/31/2019 33,815,723
9,000,000   1.625%, 3/31/2019 8,983,477
29,500,000   2.000%, 1/31/2016 30,370,188
24,300,000   2.125%, 12/31/2015 25,043,002
76,000,000   2.250%, 7/31/2018 78,574,652
10,000,000   2.750%, 2/15/2024 10,084,375
24,200,000   3.250%, 7/31/2016 25,673,935
2,127,060   U.S. Treasury Inflation-Protected Note, 0.125%, 4/15/2016 2,187,714
56,845,800   U.S. Treasury Inflation-Protected Note, 0.125%, 4/15/2017 58,627,228
    TOTAL U.S. TREASURY
(IDENTIFIED COST $436,805,527) 		441,352,839
    GOVERNMENT AGENCIES—13.0%  
    Federal Home Loan Bank System—2.8%  
15,000,000   0.875%, 5/24/2017 14,973,222
    Federal Home Loan Mortgage Corporation—2.8%  
15,000,000   0.875%, 10/14/2016 15,082,923
    Federal National Mortgage Association—7.4%  
15,000,000   0.750%, 4/20/2017 14,945,799
25,000,000   0.875%, 8/28/2017 24,841,050
    TOTAL 39,786,849
    TOTAL GOVERNMENT AGENCIES
(IDENTIFIED COST $69,400,843) 		69,842,994
    PURCHASED CALL OPTION—0.0%  
400,000   United States Treasury Note 10-Year Future, 5/24/2014, Options Contract
(IDENTIFIED COST $75,900) 		137,500
    PURCHASED PUT OPTION—0.0%  
400,000   United States Treasury Note 10-Year Future, 5/24/2014, Options Contract
(IDENTIFIED COST $138,400) 		137,500
    REPURCHASE AGREEMENT- 0.7%  
3,444,000   Interest in $1,245,000,000 joint repurchase agreement 0.06%, dated 4/30/2014 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,245,002,075 on 5/1/2014. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Government Agency securities with various maturities to 11/1/2043 and the market value of those underlying securities was $1,271,760,401. (AT COST) 3,444,000
    TOTAL INVESTMENTS—95.8%
(IDENTIFIED COST $509,864,670)2 		514,914,833
    OTHER ASSETS AND LIABILITIES - NET—4.2%3 22,325,473
    TOTAL NET ASSETS—100% $537,240,306
At April 30, 2014, the Fund had the following outstanding futures contracts:
Description Number of
Contracts 		Notional
Value 		Expiration
Date 		Unrealized
Depreciation
4United States Treasury Note 2-Year Short Futures 300 $65,962,500 June 2014 (56,925)
1

The average notional value of long and short futures contracts held by the Fund throughout the period was $108,093,750 and $50,912,109, respectively. This is based on the contracts held as of each month-end throughout the three-month fiscal period.
Unrealized Depreciation on Futures Contracts is included in “Other Assets and Liabilities — Net.”
The average notional amount of written options held by the Fund throughout the period was $110,156. This is based on amounts held as of each month-end throughout the three-month fiscal period.
The average notional amount of purchased options held by the Fund throughout the period was $141,992. This is based on amounts held as of each month-end throughout the three-month fiscal period.
1 Pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding futures contracts.
2 At April 30, 2014, the cost of investments for federal tax purposes was $509,864,670. The net unrealized appreciation of investments for federal tax purposes excluding any unrealized depreciation resulting from futures contracts was $5,050,163. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $5,141,172 and net unrealized depreciation from investments for those securities having an excess of cost over value of $91,009.
3 Assets, other than investments in securities, less liabilities.
4 Non-income-producing security.
Note: The categories of investments are shown as a percentage of total net assets at April 30, 2014.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■ Fixed-income securities acquired with remaining maturities greater than 60 days are fair valued using price evaluations provided by a pricing service approved by the Fund's Board of Trustees (the “Trustees”).
■ Fixed-income securities and repurchase agreements acquired with remaining maturities of 60 days or less are valued at their amortized cost (adjusted for the accretion of any discount or amortization of any premium), unless the issuer's creditworthiness is impaired or other factors indicate that amortized cost is not an accurate estimate of the investment's fair value, in which case it would be valued in the same manner as a longer-term security.
■ Derivative contracts listed on exchanges are valued at their reported settlement or closing price.
■ 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 purchase price of the security, information obtained by contacting the issuer, 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 and public trading in similar securities of the issuer or comparable issuers.
If the Fund cannot obtain a price or price evaluation from a pricing service for an investment, the Fund may attempt to value the investment based upon the mean of bid and asked quotations or fair value the investment based on price evaluations, from one or more dealers. If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, or 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, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could purchase or sell an investment at the price used to calculate the Fund's NAV.
Fair Valuation and Significant Events Procedures
The Trustees have appointed a Valuation Committee comprised of officers of the Fund, Federated Investment Mangament Company (“Adviser”) and certain of the Adviser's affiliated companies to determine fair value of securities 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 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.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for other types of fixed-income securities and OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the 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, including investment companies with daily net asset values, if applicable.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
2

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 April 30, 2014, in valuing the Fund's assets carried at fair value:
Valuation Inputs
  Level 1 –
Quoted
Prices and
Investments in
Investment
Companies 		Level 2 –
Other
Significant
Observable Inputs 		Level 3 –
Significant
Unobservable
nputs 		Total
Debt Securities:        
U.S. Treasury $— $441,352,839 $— $441,352,839
Government Agencies — 69,842,994 — 69,842,994
Purchased Call Options 137,500 — — 137,500
Purchased Put Options 137,500 — — 137,500
Repurchase Agreement — 3,444,000 — 3,444,000
TOTAL SECURITIES $275,000 $514,639,833 $— $514,914,833
OTHER FINANCIAL INSTRUMENTS* $(56,925) $— $— $(56,925)
* Other financial instruments include futures contracts.
3

 

Item 2. Controls and Procedures

 

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-Q.

 

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant Federated U.S. Government Securities Fund: 2-5 Years

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date June 23, 2014

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By /S/ J. Christopher Donahue

 

J. Christopher Donahue

Principal Executive Officer

 

Date June 23, 2014

 

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date June 23, 2014