N-Q 1 form.htm

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: 08/31/16

 

 

Date of Reporting Period: Quarter ended 05/31/16

 

 

 

 

 

 

 

Item 1. Schedule of Investments

 

Federated Adjustable Rate Securities Fund
Portfolio of Investments
May 31, 2016 (unaudited)
Principal
Amount 		    Value
    ADJUSTABLE RATE MORTGAGES—52.1%  
    Federal Home Loan Mortgage Corporation ARM—17.3%  
$1,170,672   1.791%, 5/1/2035 $1,210,546
7,883,477   1.860%, 7/1/2034 8,159,596
3,389,090   1.953%, 7/1/2038 3,528,710
1,566,386   2.025%, 7/1/2030 1,600,533
1,628,774   2.130%, 2/1/2035 1,704,880
2,948,991   2.231%, 5/1/2035 3,098,936
103,211   2.250%, 4/1/2035 108,523
5,434,751   2.265%, 7/1/2036 5,711,472
1,341,995   2.275%, 7/1/2036 1,414,914
192,961   2.278%, 4/1/2027 198,591
4,396,167   2.290%, 11/1/2036 4,626,570
4,135,655   2.324%, 10/1/2033 4,345,461
7,286   2.345%, 9/1/2020 7,368
1,946,526   2.353%, 2/1/2036 2,048,570
11,597,478   2.375%, 4/1/2034 - 2/1/2035 12,252,126
996,139   2.377%, 4/1/2034 1,050,920
1,486,946   2.382%, 12/1/2039 1,572,308
1,209,757   2.390%, 4/1/2038 1,281,633
2,855,438   2.412%, 4/1/2037 3,015,833
3,090,502   2.415%, 12/1/2034 3,251,332
3,221,027   2.461%, 8/1/2035 3,413,780
2,642,828   2.464%, 11/1/2034 2,798,480
817,436   2.480%, 4/1/2036 854,383
3,914,212   2.493%, 7/1/2035 4,134,520
    TOTAL 71,389,985
    Federal National Mortgage Association ARM—34.6%  
3,659,996   1.315%, 3/1/2044 3,680,678
2,070,065   1.365%, 7/1/2042 2,081,580
1,218,730   1.780%, 9/1/2033 1,254,414
2,996,174   1.784%, 10/1/2034 3,097,405
2,103,234   1.808%, 10/1/2033 2,166,167
761,948   1.810%, 7/1/2036 788,573
553,768   1.860%, 5/1/2038 575,369
8,227,489   1.900%, 8/1/2034 - 10/1/2037 8,542,816
2,979,635   1.929%, 5/1/2039 3,099,479
2,970,052   1.930%, 8/1/2034 3,075,510
1,257,378   1.971%, 5/1/2035 1,310,548
2,096,932   1.975%, 6/1/2034 2,174,504
726,833   2.000%, 5/1/2035 757,480
958,733   2.040%, 7/1/2035 1,001,811
497,396   2.060%, 11/1/2035 513,900
149,226   2.120%, 4/1/2034 156,195
10,899,377   2.123%, 12/1/2034 - 8/1/2039 11,389,063
10,335   2.168%, 2/1/2020 10,444
1,154,109   2.180%, 1/1/2035 1,205,798
1,027,973   2.182%, 7/1/2039 1,086,647
1
Principal
Amount 		    Value
    ADJUSTABLE RATE MORTGAGES—continued  
    Federal National Mortgage Association ARM—continued  
$6,210,294   2.187%, 3/1/2039 $6,518,076
162,280   2.196%, 2/1/2036 170,034
1,370,016   2.200%, 6/1/2034 1,438,669
93,193   2.220%, 10/1/2033 97,854
1,127,439   2.224%, 10/1/2035 1,186,409
1,368,988   2.225%, 7/1/2035 1,439,663
1,473,398   2.257%, 5/1/2035 1,549,921
372,866   2.261%, 12/1/2034 390,186
5,452,371   2.290%, 1/1/2039 5,734,874
3,989,146   2.293%, 5/1/2036 4,202,083
2,033,935   2.297%, 7/1/2035 2,144,576
485,535   2.310%, 2/1/2036 510,202
84,939   2.316%, 5/1/2018 85,771
6,325,339   2.330%, 5/1/2035 6,672,992
6,685,404   2.336%, 7/1/2034 - 10/1/2035 7,057,329
4,409,592   2.340%, 2/1/2033 - 12/1/2033 4,646,346
1,272,711   2.345%, 7/1/2034 1,344,052
430,505   2.348%, 12/1/2040 453,632
3,396,224   2.350%, 6/1/2035 - 7/1/2035 3,584,249
756,742   2.357%, 1/1/2035 797,912
3,006,591   2.373%, 7/1/2035 3,170,396
46,884   2.375%, 2/1/2019 47,486
1,460,294   2.398%, 10/1/2035 1,546,351
2,659,498   2.411%, 12/1/2039 2,797,018
1,913,554   2.420%, 10/1/2037 2,021,672
2,084,074   2.547%, 1/1/2036 2,214,489
3,026,798   2.567%, 2/1/2042 3,203,584
658,024   2.590%, 12/1/2040 696,720
197,633   2.603%, 7/1/2027 207,189
13,919,256   2.605%, 8/1/2035 14,859,274
1,227,487   2.763%, 5/1/2036 1,278,649
1,309,122   2.903%, 11/1/2040 1,386,071
4,873,598   3.038%, 1/1/2044 5,111,522
3,442,651   3.158%, 1/1/2040 3,644,232
2,445,405   3.970%, 11/1/2039 2,588,703
    TOTAL 142,766,567
    Government National Mortgage Association ARM—0.2%  
631,449   1.625%, 1/20/2022 - 10/20/2029 642,995
90,021   1.875%, 9/20/2023 91,612
19,206   2.000%, 1/20/2030 19,746
    TOTAL 754,353
    TOTAL ADJUSTABLE RATE MORTGAGES
(IDENTIFIED COST $212,895,391) 		214,910,905
    ASSET-BACKED SECURITIES—6.3%  
    Auto Receivables—3.0%  
3,000,000   AmeriCredit Automobile Receivables Trust 2016-1, Class A2B, 1.187%, 6/10/2019 3,002,370
5,000,000   Fifth Third Auto Trust 2015-1, Class A2B, 0.984%, 5/15/2018 5,009,554
4,450,000 1,2 Hyundai Auto Lease Securitization Trust 2016-A, Class A2B, 0.984%, 7/16/2018 4,460,766
    TOTAL 12,472,690
2
Principal
Amount 		    Value
    ASSET-BACKED SECURITIES—continued  
    Credit Card—1.4%  
$5,718,000   Capital One Multi-Asset Execution Trust 2004-B3, Class B3, 1.164%, 1/18/2022 $5,704,076
    Other—1.9%  
4,740,515 1,2 SLM Student Loan Trust 2013-B, Class A1, 1.083%, 7/15/2022 4,733,856
2,958,826 1,2 Sofi Professional Loan Program LLC, Class A1, 2.196%, 8/25/2036 2,991,921
    TOTAL 7,725,777
    TOTAL ASSET-BACKED SECURITIES
(IDENTIFIED COST $25,843,794) 		25,902,543
    COLLATERALIZED MORTGAGE OBLIGATIONS—30.0%  
    Federal Home Loan Mortgage Corporation—7.1%  
4,166,286   REMIC 4149 F, 0.684%, 1/15/2033 4,140,923
1,482,979   REMIC 3012 EF, 0.734%, 8/15/2035 1,478,937
8,421,955   REMIC 3284 BF, 0.734%, 3/15/2037 8,429,875
1,954,255   REMIC 3284 AF, 0.744%, 3/15/2037 1,948,311
57,635   REMIC 3001 EA, 0.784%, 3/15/2035 57,706
394,201   REMIC 3155 PF, 0.784%, 5/15/2036 394,065
304,219   REMIC 3174 FL, 0.784%, 6/15/2036 303,986
1,452,285   REMIC 3380 FP, 0.784%, 11/15/2036 1,450,537
407,973   REMIC 3179 FP, 0.814%, 7/15/2036 407,993
1,145,452   REMIC 2819 F, 0.834%, 6/15/2034 1,146,877
321,442   REMIC 3221 FW, 0.854%, 9/15/2036 321,996
406,301   REMIC 3213 GF, 0.864%, 9/15/2036 407,099
521,968   REMIC 3085 UF, 0.884%, 12/15/2035 523,762
1,181,971   REMIC 3156 HF, 0.919%, 8/15/2035 1,186,676
443,466   REMIC 2475 FD, 0.984%, 6/15/2031 447,360
418,932   REMIC 2380 FL, 1.034%, 11/15/2031 423,776
835,635   REMIC 3593 CF, 1.034%, 2/15/2036 839,336
1,411,094   REMIC 3550 GF, 1.184%, 7/15/2039 1,430,868
1,634,792   REMIC 3556 FA, 1.344%, 7/15/2037 1,655,080
163,485   REMIC 2448 FA, 1.434%, 1/15/2032 166,510
172,972   REMIC 2452 FC, 1.434%, 1/15/2032 176,173
377,728   REMIC 2480 NF, 1.434%, 1/15/2032 384,831
575,357   REMIC 2475 F, 1.434%, 2/15/2032 586,336
384,646   REMIC 2434 FA, 1.434%, 3/15/2032 391,982
120,889   REMIC 2470 EF, 1.434%, 3/15/2032 123,194
119,034   REMIC 2498 AF, 1.434%, 3/15/2032 121,304
533,433   REMIC 2459 FP, 1.434%, 6/15/2032 543,435
    TOTAL 29,488,928
    Federal National Mortgage Association—19.1%  
606,435   REMIC 2007-16 PF, 0.636%, 3/25/2037 602,368
6,142,767   REMIC 2006-W1 2AF1, 0.666%, 2/25/2046 6,059,219
3,361,670   REMIC 2006-49 PF, 0.696%, 4/25/2036 3,355,293
723,858   REMIC 2007-20 F, 0.706%, 3/25/2037 718,760
480,862   REMIC 2006-11 FB, 0.746%, 3/25/2036 479,628
9,377,573   REMIC 2012-141 PF, 0.746%, 10/25/2041 9,353,147
729,104   REMIC 2006-20 PF, 0.766%, 11/25/2030 729,722
664,888   REMIC 2007-67 FB, 0.766%, 7/25/2037 662,395
428,920   REMIC 2005-67 FM, 0.796%, 8/25/2035 429,801
2,420,668   REMIC 2008-52 FD, 0.796%, 6/25/2036 2,417,638
1,850,480   REMIC 2006-65 DF, 0.796%, 7/25/2036 1,849,177
279,907   REMIC 2006-81 FA, 0.796%, 9/25/2036 279,927
3
Principal
Amount 		    Value
    COLLATERALIZED MORTGAGE OBLIGATIONS—continued  
    Federal National Mortgage Association—continued  
$4,938,613   REMIC 2012-60 EF, 0.796%, 4/25/2042 $4,931,816
696,905   REMIC 2006-8 NF, 0.816%, 3/25/2036 696,423
1,016,293   REMIC 2012-99 FB, 0.826%, 9/25/2042 1,012,912
2,281,639   REMIC 2004-28 PF, 0.846%, 3/25/2034 2,291,468
699,976   REMIC 2006-76 QF, 0.846%, 8/25/2036 700,664
1,923,266   REMIC 2006-103 FB, 0.846%, 10/25/2036 1,931,450
6,543,020   REMIC 2012-130 DF, 0.846%, 12/25/2042 6,482,646
169,967   REMIC 2001-57 FA, 0.896%, 6/25/2031 169,830
4,426,283   REMIC 2007-71 WF, 0.896%, 7/25/2037 4,436,313
645,943   REMIC 2007-88 FY, 0.906%, 9/25/2037 646,126
316,812   REMIC 2002-52 FG, 0.946%, 9/25/2032 319,055
767,446   REMIC 2007-84 FN, 0.946%, 8/25/2037 770,006
1,511,586   REMIC 2010-39 EF, 0.966%, 6/25/2037 1,518,590
130,602   REMIC 2002-77 FG, 0.986%, 12/18/2032 131,711
505,920   REMIC 2001-32 FA, 0.996%, 7/25/2031 510,932
1,018,092   REMIC 2007-88 FW, 0.996%, 9/25/2037 1,017,274
6,895,059   REMIC 2011-4 PF, 0.996%, 2/25/2041 6,958,143
245,140   REMIC 2007-102 FA, 1.016%, 11/25/2037 246,402
172,568   REMIC 2001-71 FS, 1.046%, 11/25/2031 174,353
136,441   REMIC 2001-62 FC, 1.096%, 11/25/2031 138,082
275,167   REMIC 2002-8 FA, 1.186%, 3/18/2032 279,513
2,841,700   REMIC 2009-87 FX, 1.196%, 11/25/2039 2,882,696
4,312,339   REMIC 2009-106 FN, 1.196%, 1/25/2040 4,376,069
1,452,861   REMIC 2009-78 UF, 1.216%, 10/25/2039 1,474,713
3,484,107   REMIC 2009-87 HF, 1.296%, 11/25/2039 3,541,513
669,285   REMIC 2002-7 FG, 1.346%, 1/25/2032 679,359
341,107   REMIC 2002-77 FA, 1.436%, 12/18/2032 347,636
1,054,681   REMIC 2002-58 FG, 1.446%, 8/25/2032 1,074,614
171,386   REMIC 2002-60 FH, 1.446%, 8/25/2032 174,625
1,155,293   REMIC 2008-69 FB, 1.446%, 6/25/2037 1,181,832
713,885   REMIC 2008-75 DF, 1.696%, 9/25/2038 732,168
116,903   REMIC 1995-17 B, 2.110%, 2/25/2025 118,409
    TOTAL 78,884,418
    Government National Mortgage Association—2.7%  
6,803,962   REMIC 2012-H24 FC, 0.837%, 10/20/2062 6,725,224
4,488,307   REMIC 2013-H15 FA, 0.977%, 6/20/2063 4,466,173
    TOTAL 11,191,397
    Non-Agency Mortgage-Backed Securities—1.1%  
4,644,719   Sequoia Mortgage Trust 2013-1, Class 1A1, 1.450%, 2/25/2043 4,469,001
    TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $123,642,205) 		124,033,744
    COMMERCIAL MORTGAGE-BACKED SECURITIES—7.7%  
    Agency Commercial Mortgage-Backed Securities—6.1%  
2,965,292   FHLMC REMIC KF03 A, 0.777%, 1/25/2021 2,963,025
6,777,124   FHLMC REMIC KGRP A, 0.817%, 4/25/2020 6,777,123
4,546,385   FHLMC REMIC KF08 A, 0.746%, 1/25/2022 4,488,801
7,280,806   FHLMC REMIC KS02 A, 0.817%, 8/25/2023 7,219,942
3,789,057 1,2 FREMF Mortgage Trust 2012-KF01 C, 4.687%, 10/25/2044 3,802,109
    TOTAL 25,251,000
4
Principal
Amount 		    Value
    COMMERCIAL MORTGAGE-BACKED SECURITIES—continued  
    Non-Agency Commercial Mortgage-Backed Securities—1.6%  
$6,400,000 1,2 Citigroup Commercial Mortgage Trust 2014-388G, Class A, 1.185%, 6/15/2033 $6,393,572
    TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $31,904,050) 		31,644,572
    MORTGAGE-BACKED SECURITIES—0.9%  
    Federal National Mortgage Association—0.9%  
3,307,713   3.000%, 8/1/2023 3,453,143
371,429   5.000%, 1/1/2024 400,643
    TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $3,800,233) 		3,853,786
    U.S. TREASURY—1.4%  
6,000,000   United States Treasury Notes, 0.875%, 5/31/2018
(IDENTIFIED COST $5,995,085) 		5,999,063
    REPURCHASE AGREEMENT—1.2%  
4,952,000   Interest in $855,000,000 joint repurchase agreement 0.30%, dated 5/31/2016 under which Bank of America, N.A. will repurchase securities provided as collateral for $855,007,125 on 6/1/2016. 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 maturing on 2/25/2044 and the market value of those underlying securities was $880,657,339.
(AT COST) 		4,952,000
    TOTAL INVESTMENTS—99.6%
(IDENTIFIED COST $409,032,758)3 		411,296,613
    OTHER ASSETS AND LIABILITIES - NET—0.4%4 1,466,457
    TOTAL NET ASSETS—100% $412,763,070
1 Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At May 31, 2016, these restricted securities amounted to $22,382,224, which represented 5.4% of total net assets.
2 Denotes a restricted security that may be resold without restriction to “qualified institutional buyers” as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund's Board of Trustees (the “Trustees”). At May 31, 2016, these liquid restricted securities amounted to $22,382,224, which represented 5.4% of total net assets.
3 At May 31, 2016, the cost of investments for federal tax purposes was $409,032,758. The net unrealized appreciation of investments for federal tax purposes was $2,263,855. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $3,535,809 and net unrealized depreciation from investments for those securities having an excess of cost over value of $1,271,954.
4 Assets, other than investments in securities, less liabilities.
Note: The categories of investments are shown as a percentage of total net assets at May 31, 2016.
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 Trustees.
■ Fixed-income securities and repurchase agreements acquired with remaining maturities of 60 days or less are valued at their cost (adjusted for the accretion of any discount or amortization of any premium), unless the issuer's creditworthiness is impaired or other factors indicate that amortized cost is not an accurate estimate of the investment's fair value, in which case it would be valued in the same manner as a longer-term security.
■ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs.
■ 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, 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 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.
5
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 (“Valuation Committee”) comprised of officers of the Fund, Federated Investment Management Company (“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.
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.
As of May 31, 2016, all investments of the Fund utilized Level 2 inputs in valuing the Fund's assets carried at fair value.
The following acronyms are used throughout this portfolio:
ARM —Adjustable Rate Mortgage
FHLMC —Federal Home Loan Mortgage Corporation
REMIC —Real Estate Mortgage Investment Conduit
6

 

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/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date July 26, 2016

 

 

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 26, 2016

 

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date July 26, 2016