N-Q 1 form.htm Unassociated Document

United States
Securities and Exchange Commission
Washington, D.C.  20549

Form N-Q
Quarterly Schedule of Portfolio Holdings of Registered Management Investment Companies




811-4539

(Investment Company Act File Number)



Federated Adjustable Rate Securities Fund

(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:  8/31/10


Date of Reporting Period:  Quarter ended 5/31/10







Item 1.                      Schedule of Investments

Federated Adjustable Rate Securities Fund

Portfolio of Investments

May 31, 2010 (unaudited)

Principal
Amount
or Shares		Value
Adjustable Rate Mortgages – 36.7%
Federal Home Loan Mortgage Corp. ARM – 7.6%
$316,9002.500%, 4/1/2035329,433
6,464,6762.587%, 7/1/20306,629,994
1,129,8052.626%, 1/1/20351,179,492
578,9322.692%, 4/1/2027585,896
2,182,0522.730%, 4/1/20362,295,400
2,501,0012.836%, 4/1/20342,612,816
6,019,7472.994%, 11/1/20346,307,753
6,641,7273.017%, 5/1/20356,931,552
4,543,8493.266%, 2/1/20364,782,479
14,398,2583.702%, 12/1/203914,910,361
9,215,8224.385%, 5/1/20359,464,797
143,1254.567%, 9/1/2020148,941
2,719,5584.711%, 4/1/20382,869,982
6,825,1915.910%, 7/1/20367,155,407
TOTAL66,204,303
Federal National Mortgage Association ARM – 28.9%
10,807,7181.621%, 3/1/204410,771,998
4,199,0951.670%, 7/1/20424,180,447
62,0661.850%, 10/1/202863,491
5,787,5792.323%, 10/1/20335,926,907
2,257,4422.328%, 5/1/20352,329,201
11,900,3212.370%, 12/1/2034 - 5/1/203512,335,227
2,295,1912.421%, 11/1/20352,333,126
259,0042.500%, 2/1/2019266,401
9,119,8392.590%, 2/1/2033 - 12/1/20339,519,558
504,1282.639%, 5/1/2018518,439
1,350,6662.654%, 12/1/20401,406,227
12,244,4312.680%, 6/1/2033 - 6/1/203512,822,847
5,727,2312.694%, 6/1/20345,987,803
178,4932.730%, 2/1/2020183,000
14,726,2982.740%, 7/1/2034 - 7/1/203515,346,916
185,0012.757%, 10/1/2016189,460
3,228,8622.791%, 2/1/20363,378,329
13,061,5912.800%, 10/1/203413,506,783
115,6992.845%, 10/1/2033120,379
479,9162.864%, 7/1/2027501,449
3,117,2682.925%, 5/1/20363,289,690
5,215,5882.927%, 1/1/20365,494,166
11,947,1223.071%, 5/1/203912,395,767
5,606,3273.101%, 7/1/20355,819,424
33,483,8693.270%, 8/1/203934,730,809
16,732,8603.428%, 1/1/203917,468,428
18,425,2263.553%, 1/1/204018,977,282
5,276,9543.800%, 7/1/20395,464,634
15,044,8263.907%, 11/1/203915,613,912
1
Principal
Amount
or Shares		Value
$5,570,5664.065%, 7/1/20365,765,146
557,8604.280%, 4/1/2034586,501
1,811,9524.489%, 5/1/20381,896,635
6,446,9784.726%, 10/1/20356,717,142
2,180,3784.812%, 12/1/20342,282,677
15,049,5674.968%, 12/1/203915,766,468
TOTAL253,956,669
Government National Mortgage Association ARM – 0.2%
288,9553.125%, 11/20/2023 - 10/20/2029298,562
38,3873.250%, 1/20/203040,037
1,060,2253.375%, 1/20/2022 - 3/20/20231,098,074
440,0453.625%, 7/20/2023 - 9/20/2023454,745
90,3894.375%, 5/20/202994,262
TOTAL1,985,680
TOTAL ADJUSTABLE RATE MORTGAGES
(IDENTIFIED COST $317,785,479)		322,146,652
Collateralized Mortgage Obligations – 42.2%
Federal Home Loan Mortgage Corp. REMIC – 12.8%
2,973,993REMIC 3001 EA, 0.687%, 3/15/20352,955,150
2,788,362REMIC 3174 FL, 0.687%, 6/15/20362,783,967
3,634,383REMIC 3380 FP, 0.687%, 11/15/20363,619,257
3,583,830REMIC 3179 FP, 0.717%, 7/15/20363,562,868
3,891,690REMIC 2819 F, 0.737%, 6/15/20343,883,547
16,763,798REMIC 3317 F, 0.737%, 7/15/203616,640,772
2,828,054REMIC 3301 MF, 0.737%, 4/15/20372,776,888
1,740,331REMIC 3221 FW, 0.757%, 9/15/20361,738,701
2,116,528REMIC 3213 GF, 0.767%, 9/15/20362,105,758
4,000,980REMIC 3085 UF, 0.787%, 12/15/20353,984,773
495,292REMIC 2774 FQ, 0.887%, 4/15/2031496,295
2,062,527REMIC 2475 FD, 0.887%, 6/15/20312,078,393
1,957,019REMIC 2380 FL, 0.937%, 11/15/20311,979,272
8,572,963REMIC 3593 CF, 0.937%, 2/15/20368,577,164
21,953,966REMIC 3611 FH, 1.087%, 7/15/203422,840,094
9,286,009REMIC 3550 GF, 1.087%, 7/15/20399,362,117
7,841,550REMIC MS 1128 F, 1.247%, 7/15/20377,967,841
784,462REMIC 2448 FA, 1.337%, 1/15/2032799,331
829,984REMIC 2452 FC, 1.337%, 1/15/2032845,715
2,664,999REMIC 2480 NF, 1.337%, 1/15/20322,713,907
3,388,723REMIC 2475 F, 1.337%, 2/15/20323,455,062
2,803,299REMIC 2434 FA, 1.337%, 3/15/20322,855,542
881,036REMIC 2470 EF, 1.337%, 3/15/2032897,455
867,522REMIC 2498 AF, 1.337%, 3/15/2032883,689
2,700,338REMIC 2459 FP, 1.337%, 6/15/20322,754,465
TOTAL112,558,023
Federal National Mortgage Association REMIC – 29.4%
6,573,016REMIC 2007-16 PF, 0.533%, 3/25/20376,499,389
14,560,555REMIC 2006-49 PF, 0.593%, 4/25/203614,470,396
7,016,475REMIC 2005-29 FE, 0.643%, 4/25/20356,954,242
8,451,212REMIC 2005-67 FJ, 0.643%, 8/25/20358,369,007
11,779,869REMIC 2007-75 EF, 0.643%, 1/25/203611,764,481
2
Principal
Amount
or Shares		Value
$1,540,531REMIC 2006-11 FB, 0.643%, 3/25/20361,527,592
21,381,577REMIC 2006-72 TE, 0.643%, 8/25/203621,231,326
1,187,979REMIC 2004-27 FM, 0.663%, 7/25/20221,188,766
2,205,927REMIC 2006-20 PF, 0.663%, 11/25/20302,191,179
1,844,011REMIC 2005-67 FM, 0.693%, 8/25/20351,816,352
8,938,421REMIC 2006-65 DF, 0.693%, 7/25/20368,884,099
1,553,476REMIC 2006-81 FA, 0.693%, 9/25/20361,544,195
3,337,363REMIC 2006-8 NF, 0.713%, 3/25/20363,310,523
1,357,033REMIC 2007-15 AF, 0.713%, 3/25/20371,340,340
10,129,486REMIC 2004-28 PF, 0.743%, 3/25/203410,120,717
3,283,465REMIC 2006-76 QF, 0.743%, 8/25/20363,267,060
9,940,199REMIC 2006-103 FB, 0.743%, 10/25/20369,911,194
1,242,934REMIC 2003-90 FL, 0.793%, 3/25/20311,246,017
1,037,023REMIC 2001-57 FA, 0.793%, 6/25/20311,035,995
2,562,554REMIC 2007-88 FY, 0.803%, 9/25/20372,561,607
1,594,391REMIC 2002-52 FG, 0.843%, 9/25/20321,603,999
7,649,555REMIC 2007-84 FN, 0.843%, 8/25/20377,615,000
25,575,301REMIC 2010-39 EF, 0.863%, 4/30/204025,479,460
811,334REMIC 2002-77 FG, 0.888%, 12/18/2032815,355
2,749,689REMIC 2001-32 FA, 0.893%, 7/25/20312,775,056
1,937,345REMIC 2007-102 FA, 0.913%, 11/25/20371,935,115
991,038REMIC 2001-71 FS, 0.943%, 11/25/20311,000,090
832,466REMIC 2001-62 FC, 0.993%, 11/25/2031842,165
1,383,632REMIC 2002-8 FA, 1.088%, 3/18/20321,405,612
11,961,280REMIC 200966 FA, 1.093%, 9/25/203912,002,599
17,061,900REMIC 2009-87 FX, 1.093%, 11/25/203917,203,904
12,966,260REMIC 2009-106 FN, 1.093%, 1/25/204013,107,181
5,549,107REMIC 2009-78 UF, 1.113%, 10/25/20395,600,157
19,657,788REMIC 2009-87 HF, 1.193%, 11/25/203919,849,503
4,414,150REMIC 2002-7 FG, 1.243%, 1/25/20324,484,379
2,146,138REMIC 2002-77 FA, 1.338%, 12/18/20322,187,715
6,635,718REMIC 2002-58 FG, 1.343%, 8/25/20326,606,122
1,078,304REMIC 2002-60 FH, 1.343%, 8/25/20321,099,204
12,179,312REMIC 2008-69 FB, 1.343%, 6/25/203712,309,873
965,381REMIC 1995-17 B, 2.390%, 2/25/2025967,998
TOTAL258,124,964
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $366,104,330)		370,682,987
FDIC-Guaranteed Debt – 3.1%
12,000,0001General Electric Capital Corp. Floating Rate Note, 0.324%, 8/9/201011,989,853
14,950,0001General Electric Capital Corp. Floating Rate Note, 0.271%, 6/21/201014,978,231
TOTAL FDIC-GUARANTEED DEBT
(IDENTIFIED COST $26,942,011)		26,968,084
GOVERNMENT AGENCY – 2.3%
20,000,0001Federal Home Loan Mortgage Corp. Floating Rate Note, 0.198%, 6/2/2010
(IDENTIFIED COST $19,979,832)		19,999,959
Mortgage-Backed Securities – 12.7%
63,056,838Federal Home Loan Mortgage Corp., 4.500%, 5/1/2023 - 6/1/204065,790,361
12,674,647Federal Home Loan Mortgage Corp., 5.000%, 3/1/2023 - 4/1/203913,395,326
9,961,343Federal Home Loan Mortgage Corp., 5.500%, 8/1/2023 - 10/1/203710,676,064
3
Principal
Amount
or Shares		Value
$8,946,677Federal National Mortgage Association, 4.500%, 4/1/20249,374,459
11,217,513Federal National Mortgage Association, 5.000%, 1/1/2024 - 3/1/203911,786,778
736,289Federal National Mortgage Association, 5.500%, 9/1/2037783,106
36,559Government National Mortgage Association, 8.500%, 1/15/203040,980
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $110,071,068)		111,847,074
MUTUAL FUND – 5.6%
49,266,5302,3Government Obligations Fund, Institutional Shares, 0.05%
(AT NET ASSET VALUE)		49,266,530
TOTAL INVESTMENTS — 102.6%
(IDENTIFIED COST $890,149,250)4		900,911,286
OTHER ASSETS AND LIABILITIES - NET — (2.6)%5(22,361,540)
TOTAL NET ASSETS — 100%$878,549,746
1Floating rate note with current rate and next reset date shown.
2Affiliated company.
37-Day net yield.
4At May 31, 2010, the cost for federal tax purposes was $890,149,250. The net unrealized appreciation of investments for federal tax purposes was $10,762,036. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $11,198,269 and net unrealized depreciation from investments for those securities having an excess of cost over value of $436,233.
5Assets, other than investments in securities, less liabilities.

Note: The categories of investments are shown as a percentage of total net assets at May 31, 2010.

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 Board of Trustees (the “Trustees”).
  • Fixed-income securities acquired with remaining maturities of 60 days or less are valued at their cost (adjusted for the accretion of any discount or amortization of any premium).
  • Shares of other mutual funds are valued based upon their reported NAVs.

If the Fund cannot obtain a price or price evaluation from a pricing service for an investment, the Fund may attempt to value the investment based upon the mean of bid and asked quotations or fair value the investment based on price evaluations, from one or more dealers. If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could purchase or sell an investment at the price used to calculate the Fund's NAV.

Fair Valuation and Significant Events Procedures

The Trustees have authorized the use of pricing services to provide evaluations of the current fair value of certain investments for purposes of calculating the NAV. Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers, and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for other types of fixed-income securities and OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Trustees.

The Trustees also have adopted procedures requiring an investment to be priced at its fair value whenever the Adviser determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:

  • With respect to price evaluations of fixed-income securities determined before the close of regular trading on the NYSE, actions by the Federal Reserve Open Market Committee and other significant trends in U.S. fixed-income markets;
  • Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; and
  • Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry.
4
The Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Fund will determine the fair value of the investment using another method approved by the 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.)

Level 3 — significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of May 31, 2010, in valuing the Fund's assets carried at fair value:

Valuation Inputs
Level 1 - 
Quoted
Prices and
Investments in
Mutual Funds		Level 2 - 
Other
Significant
Observable
Inputs		Level 3 - 
Significant
Unobservable
Inputs		Total
Debt Securities:
Adjustable Rate Mortgages$ — $322,146,652$ — $322,146,652
Collateralized Mortgage Obligations — 370,682,987 — 370,682,987
FDIC-Guaranteed Debt  — 26,968,084 — 26,968,084
Government Agency  — 19,999,959 — 19,999,959
Mortgage-Backed Securities — 111,847,074 — 111,847,074
Mutual Fund49,266,530 —  — 49,266,530
TOTAL SECURITIES$49,266,530$851,644,756$ — $900,911,286

The following acronyms are used throughout this portfolio:

ARM — Adjustable Rate Mortgage
REMIC — Real Estate Mortgage Investment Conduit

5
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 Adjustable Rate Securities Fund
   
By
/S/ Richard A. Novak
 
Richard A. Novak
 
Principal Financial Officer
Date
July 21, 2010
   
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
   
By
/S/ J. Christopher Donahue
 
J. Christopher Donahue
 
Principal Executive Officer
Date
July 21, 2010
   
   
By
/S/ Richard A. Novak
 
Richard A. Novak
 
Principal Financial Officer
Date
July 21, 2010