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: 08/31/17

 

 

Date of Reporting Period: Quarter ended 11/30/16

 

 

 

 

 

 

 

Item 1. Schedule of Investments

 

 

 

 

Federated Adjustable Rate Securities Fund
Portfolio of Investments
November 30, 2016 (unaudited)
Principal
Amount 		    Value
    ADJUSTABLE RATE MORTGAGES—51.4%  
    Federal Home Loan Mortgage Corporation ARM—15.4%  
$5,591   2.345%, 9/1/2020 $5,636
7,177,919   2.524%, 7/1/2034 7,416,527
3,382,823   2.552%, 7/1/2038 3,515,531
3,865,826   2.658%, 1/1/2035 4,083,461
1,603,577   2.662%, 2/1/2036 1,683,974
2,672,528   2.668%, 12/1/2034 2,812,843
4,307,443   2.726%, 11/1/2036 4,530,775
2,372,439   2.746%, 4/1/2034 2,502,627
2,349,305   2.789%, 11/1/2034 2,484,397
3,721,097   2.860%, 10/1/2033 3,902,914
2,602,806   2.883%, 8/1/2035 2,756,025
4,546,769   2.897%, 7/1/2036 4,768,029
2,760,817   2.898%, 5/1/2035 2,896,116
3,931,351   2.932%, 2/1/2035 4,154,526
2,613,579   2.958%, 4/1/2037 2,770,336
3,658,681   3.063%, 7/1/2035 3,876,611
    TOTAL 54,160,328
    Federal National Mortgage Association ARM—35.8%  
3,308,802   1.723%, 3/1/2044 3,316,448
1,779,443   1.773%, 7/1/2042 1,785,014
746,014   2.142%, 7/1/2036 771,747
1,587,820   2.289%, 12/1/2034 1,661,988
3,869,023   2.366%, 9/1/2033 - 5/1/2039 4,009,974
580,742   2.387%, 5/1/2035 604,834
38,057   2.425%, 2/1/2019 38,480
4,010,048   2.430%, 8/1/2034 4,142,813
439,708   2.435%, 11/1/2035 453,647
2,457,204   2.462%, 8/1/2034 2,541,604
450,299   2.493%, 5/1/2038 467,409
364,318   2.495%, 12/1/2034 381,421
450,335   2.499%, 12/1/2033 474,633
1,877,432   2.504%, 10/1/2033 1,932,531
2,599,268   2.544%, 10/1/2034 2,681,860
6,971   2.545%, 2/1/2020 7,036
1,914,061   2.551%, 6/1/2034 1,983,555
2,532,661   2.566%, 2/1/2042 2,683,641
91,166   2.595%, 10/1/2033 95,556
663,733   2.602%, 10/1/2035 696,175
741,180   2.618%, 1/1/2035 780,539
1,229,288   2.623%, 5/1/2035 1,280,037
4,884,260   2.636%, 1/1/2039 5,131,398
2,495,605   2.639%, 2/1/2033 2,628,803
3,564,210   2.651%, 10/1/2037 3,704,586
1,899,950   2.660%, 7/1/2035 2,000,915
7,876,058   2.705%, 8/1/2039 8,272,216
4,774,031   2.710%, 11/1/2039 - 1/1/2040 5,027,132
1
Principal
Amount 		    Value
    ADJUSTABLE RATE MORTGAGES—continued  
    Federal National Mortgage Association ARM—continued  
$3,593,192   2.712%, 5/1/2036 $3,780,484
3,933,587   2.718%, 7/1/2034 4,147,196
779,596   2.727%, 7/1/2035 812,084
1,129,319   2.731%, 7/1/2034 1,190,856
58,145   2.738%, 5/1/2018 58,579
2,189,325   2.747%, 7/1/2035 2,307,378
359,543   2.752%, 12/1/2040 378,442
5,656,783   2.753%, 5/1/2035 5,961,508
112,150   2.764%, 4/1/2034 117,266
944,318   2.766%, 6/1/2035 997,332
1,130,499   2.773%, 10/1/2035 1,195,208
635,124   2.774%, 12/1/2040 676,220
1,879,465   2.782%, 10/1/2035 1,982,860
154,113   2.798%, 2/1/2036 161,314
1,043,812   2.803%, 6/1/2033 1,099,631
983,408   2.808%, 1/1/2035 1,026,858
413,025   2.810%, 2/1/2036 433,771
5,405,012   2.833%, 3/1/2039 5,663,339
1,276,231   2.862%, 5/1/2035 1,341,050
1,283,196   2.920%, 6/1/2034 1,345,216
772,993   2.933%, 7/1/2039 815,326
2,512,042   2.935%, 12/1/2039 2,638,175
2,032,743   2.947%, 1/1/2036 2,157,960
1,342,086   2.960%, 7/1/2035 1,408,724
2,919,700   2.973%, 7/1/2035 3,087,092
821,425   2.990%, 5/1/2036 868,705
1,291,044   3.000%, 11/1/2040 1,374,189
4,197,160   3.001%, 1/1/2044 4,354,854
185,252   3.006%, 7/1/2027 194,377
1,624,699   3.045%, 10/1/2037 1,722,491
12,308,940   3.270%, 8/1/2035 13,022,446
    TOTAL 125,876,923
    Government National Mortgage Association ARM—0.2%  
469,129   2.000%, 1/20/2022 - 1/20/2030 477,193
200,404   2.125%, 7/20/2023 - 5/20/2029 204,293
    TOTAL 681,486
    TOTAL ADJUSTABLE RATE MORTGAGES
(IDENTIFIED COST $179,467,437) 		180,718,737
    ASSET-BACKED SECURITIES—8.4%  
    Auto Receivables—3.3%  
2,004,393   AmeriCredit Automobile Receivables Trust 2016-1, Class A2B, 1.285%, 6/10/2019 2,009,101
2,109,018   Fifth Third Auto Trust 2015-1, Class A2B, 1.088%, 5/15/2018 2,110,982
3,425,000   Ford Credit Floorplan Master O 2014-1, Class A2, 0.938%, 2/15/2019 3,425,883
4,112,776 1,2 Hyundai Auto Lease Securitization Trust 2016-A, Class A2B, 1.088%, 7/16/2018 4,118,425
    TOTAL 11,664,391
    Credit Card—3.1%  
5,718,000   Capital One Multi-Asset Execution Trust 2004-B3, Class B3, 1.268%, 1/18/2022 5,734,781
5,000,000   Chase Issuance Trust 2016-A6, Class A6, 1.100%, 1/15/2020 4,992,258
    TOTAL 10,727,039
2
Principal
Amount 		    Value
    ASSET-BACKED SECURITIES—continued  
    Other—2.0%  
$2,984,651 1,2 SLM Student Loan Trust 2013-B, Class A1, 1.188%, 7/15/2022 $2,981,919
1,617,276 1,2 SMB Private Education Loan Trust 2016-B, Class A1, 1.188%, 11/15/2023 1,618,991
2,537,238 1,2 Sofi Professional Loan Program LLC, Class A1, 2.342%, 8/25/2036 2,591,793
    TOTAL 7,192,703
    TOTAL ASSET-BACKED SECURITIES
(IDENTIFIED COST $29,489,026) 		29,584,133
    COLLATERALIZED MORTGAGE OBLIGATIONS—31.6%  
    Federal Home Loan Mortgage Corporation—7.6%  
3,760,443   REMIC 4149 F, 0.788%, 1/15/2033 3,724,866
1,371,187   REMIC 3012 EF, 0.838%, 8/15/2035 1,364,299
7,817,878   REMIC 3284 BF, 0.838%, 3/15/2037 7,807,460
1,759,627   REMIC 3284 AF, 0.848%, 3/15/2037 1,749,888
34,952   REMIC 3001 EA, 0.888%, 3/15/2035 34,979
351,681   REMIC 3155 PF, 0.888%, 5/15/2036 350,948
244,934   REMIC 3174 FL, 0.888%, 6/15/2036 244,264
1,253,906   REMIC 3380 FP, 0.888%, 11/15/2036 1,250,062
373,456   REMIC 3179 FP, 0.918%, 7/15/2036 372,830
1,024,745   REMIC 2819 F, 0.938%, 6/15/2034 1,024,893
294,692   REMIC 3221 FW, 0.958%, 9/15/2036 294,594
340,748   REMIC 3213 GF, 0.968%, 9/15/2036 340,729
494,941   REMIC 3085 UF, 0.988%, 12/15/2035 495,622
1,038,361   REMIC 3156 HF, 1.023%, 8/15/2035 1,040,642
394,931   REMIC 2475 FD, 1.088%, 6/15/2031 398,156
388,667   REMIC 2380 FL, 1.138%, 11/15/2031 393,016
710,465   REMIC 3593 CF, 1.138%, 2/15/2036 714,897
1,227,745   REMIC 3550 GF, 1.288%, 7/15/2039 1,243,446
1,482,007   REMIC 3556 FA, 1.448%, 7/15/2037 1,500,747
140,144   REMIC 2448 FA, 1.538%, 1/15/2032 142,727
148,277   REMIC 2452 FC, 1.538%, 1/15/2032 151,010
339,421   REMIC 2480 NF, 1.538%, 1/15/2032 345,752
503,541   REMIC 2475 F, 1.538%, 2/15/2032 513,067
355,540   REMIC 2434 FA, 1.538%, 3/15/2032 362,268
111,741   REMIC 2470 EF, 1.538%, 3/15/2032 113,856
110,027   REMIC 2498 AF, 1.538%, 3/15/2032 112,109
479,697   REMIC 2459 FP, 1.538%, 6/15/2032 488,595
    TOTAL 26,575,722
    Federal National Mortgage Association—20.0%  
541,171   REMIC 2007-16 PF, 0.774%, 3/25/2037 536,057
5,632,588   REMIC 2006-W1 2AF1, 0.804%, 2/25/2046 5,555,427
2,932,488   REMIC 2006-49 PF, 0.834%, 4/25/2036 2,923,487
657,359   REMIC 2007-20 F, 0.844%, 3/25/2037 651,606
436,378   REMIC 2006-11 FB, 0.884%, 3/25/2036 434,510
8,686,566   REMIC 2012-141 PF, 0.884%, 10/25/2041 8,652,244
660,465   REMIC 2006-20 PF, 0.904%, 11/25/2030 660,865
604,206   REMIC 2007-67 FB, 0.904%, 7/25/2037 600,548
380,583   REMIC 2005-67 FM, 0.934%, 8/25/2035 380,891
2,108,632   REMIC 2008-52 FD, 0.934%, 6/25/2036 2,101,158
1,649,025   REMIC 2006-65 DF, 0.934%, 7/25/2036 1,644,036
247,400   REMIC 2006 81 FA, 0.934%, 9/25/2036 246,894
3,867,793   REMIC 2012-60 EF, 0.934%, 4/25/2042 3,851,215
3
Principal
Amount 		    Value
    COLLATERALIZED MORTGAGE OBLIGATIONS—continued  
    Federal National Mortgage Association—continued  
$616,432   REMIC 2006-8 NF, 0.954%, 3/25/2036 $614,475
939,726   REMIC 2012 99 FB, 0.964%, 9/25/2042 932,522
2,100,744   REMIC 2004-28 PF, 0.984%, 3/25/2034 2,109,063
619,074   REMIC 2006-76 QF, 0.984%, 8/25/2036 618,271
1,746,701   REMIC 2006-103 FB, 0.984%, 10/25/2036 1,750,234
6,050,078   REMIC 2012-130 DF, 0.984%, 12/25/2042 5,956,912
155,508   REMIC 2001-57 FA, 1.034%, 6/25/2031 155,229
3,858,705   REMIC 2007-71 WF, 1.034%, 7/25/2037 3,858,077
581,447   REMIC 2007-88 FY, 1.044%, 9/25/2037 582,683
297,666   REMIC 2002-52 FG, 1.084%, 9/25/2032 299,453
656,984   REMIC 2007-84 FN, 1.084%, 8/25/2037 657,965
1,338,233   REMIC 2010-39 EF, 1.104%, 6/25/2037 1,341,835
119,460   REMIC 2002-77 FG, 1.105%, 12/18/2032 120,357
455,143   REMIC 2001-32 FA, 1.134%, 7/25/2031 459,444
889,229   REMIC 2007-88 FW, 1.134%, 9/25/2037 888,508
6,164,405   REMIC 2011-4 PF, 1.134%, 2/25/2041 6,212,149
224,839   REMIC 2007-102 FA, 1.154%, 11/25/2037 225,463
159,160   REMIC 2001-71 FS, 1.184%, 11/25/2031 160,671
124,833   REMIC 2001-62 FC, 1.234%, 11/25/2031 126,234
249,410   REMIC 2002-8 FA, 1.305%, 3/18/2032 253,189
2,551,990   REMIC 2009-87 FX, 1.334%, 11/25/2039 2,585,113
3,930,733   REMIC 2009-106 FN, 1.334%, 1/25/2040 3,981,280
1,321,159   REMIC 2009-78 UF, 1.354%, 10/25/2039 1,338,644
3,074,829   REMIC 2009-87 HF, 1.434%, 11/25/2039 3,120,190
593,443   REMIC 2002-7 FG, 1.484%, 1/25/2032 602,054
302,649   REMIC 2002-77 FA, 1.555%, 12/18/2032 308,370
935,770   REMIC 2002-58 FG, 1.584%, 8/25/2032 953,038
152,063   REMIC 2002-60 FH, 1.584%, 8/25/2032 154,869
991,796   REMIC 2008-69 FB, 1.584%, 6/25/2037 1,014,307
590,556   REMIC 2008-75 DF, 1.834%, 9/25/2038 605,394
100,124   REMIC 1995-17 B, 2.356%, 2/25/2025 101,347
    TOTAL 70,326,278
    Government National Mortgage Association—3.0%  
6,302,549   REMIC 2012-H24 FC, 0.931%, 10/20/2062 6,244,283
4,242,083   REMIC 2013-H15 FA, 1.071%, 6/20/2063 4,228,342
    TOTAL 10,472,625
    Non-Agency Mortgage-Backed Securities—1.0%  
3,758,757   Sequoia Mortgage Trust 2013-1, Class 1A1, 1.450%, 2/25/2043 3,646,527
    TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $110,781,013) 		111,021,152
    COMMERCIAL MORTGAGE-BACKED SECURITIES—5.5%  
    Agency Commercial Mortgage-Backed Securities—4.6%  
1,265,888   FHLMC REMIC KF03 A, 0.871%, 1/25/2021 1,264,072
3,867,244   FHLMC REMIC KF08 A, 0.831%, 1/25/2022 3,848,900
5,789,322   FHLMC REMIC KGRP A, 0.972%, 4/25/2020 5,789,321
5,401,243   FHLMC REMIC KS02 A, 0.972%, 8/25/2023 5,396,318
    TOTAL 16,298,611
    Non-Agency Commercial Mortgage-Backed Securities—0.9%  
3,140,000 1,2 Cosmopolitan Hotel Trust 2016-CSMO, Class A, 1.936%, 11/15/2033 3,145,862
    TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $19,468,956) 		19,444,473
4
Principal
Amount 		    Value
    MORTGAGE-BACKED SECURITIES—0.9%  
    Federal National Mortgage Association—0.9%  
$2,782,841   3.000%, 8/1/2023 $2,870,784
333,638   5.000%, 1/1/2024 356,871
    TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $3,219,099) 		3,227,655
    INVESTMENT COMPANY—1.8%  
6,109,829 3 Federated Government Obligations Fund, Premier Shares, 0.31%4
(IDENTIFIED COST $6,109,829) 		6,109,829
    TOTAL INVESTMENTS—99.6%
(IDENTIFIED COST $348,535,360)5 		350,105,979
    OTHER ASSETS AND LIABILITIES - NET—0.4%6 1,507,686
    TOTAL NET ASSETS—100% $351,613,665
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 November 30, 2016, these restricted securities amounted to $14,456,990, which represented 4.1% 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 November 30, 2016, these liquid restricted securities amounted to $14,456,990, which represented 4.1% of total net assets.
3 Affiliated holding.
  Transactions involving the affiliated holding during the period ended November 30, 2016, were as follows:
    
  Federated Government
Obligations Fund,
Premier Shares
Balance of Shares Held 8/31/2016 —
Purchases/Additions 22,422,960
Sales/Reductions (16,313,131)
Balance of Shares Held 11/30/2016 6,109,829
Value $6,109,829
Dividend Income $2,725
4 7-day net yield.
5 At November 30, 2016, the cost of investments for federal tax purposes was $348,535,360. The net unrealized appreciation of investments for federal tax purposes was $1,570,619. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $2,708,989 and net unrealized depreciation from investments for those securities having an excess of cost over value of $1,138,370.
6 Assets, other than investments in securities, less liabilities.
Note: The categories of investments are shown as a percentage of total net assets at November 30, 2016.
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 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.
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.
The following is a summary of the inputs used, as of November 30, 2016, 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:        
Adjustable Rate Mortgages $— $180,718,737 $— $180,718,737
Asset-backed Securities — 29,584,133 — 29,584,133
Collateralized Mortgage Obligations — 111,021,152 — 111,021,152
Commercial Mortgage-backed Securities — 19,444,473 — 19,444,473
Mortgage-backed Securities — 3,227,655 — 3,227,655
Investment Company 6,109,829 — — 6,109,829
TOTAL SECURITIES $6,109,829 $343,996,150 $— $350,105,979
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 January 25, 2017

 

 

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 January 25, 2017

 

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date January 25, 2017