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)

 

 

Peter J. Germain, 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: 08/31/2019

 

 

Date of Reporting Period: Quarter ended 11/30/2018

 

 

 

 

 

 
 

 

 

Item 1.Schedule of Investments

 

 

 

Federated Adjustable Rate Securities Fund
Portfolio of Investments
November 30, 2018 (unaudited)
Principal
Amount
or Shares 		    Value
  1 ADJUSTABLE RATE MORTGAGES—47.0%  
    Federal Home Loan Mortgage Corporation ARM—16.0%  
$1,597,154   3.596%, 12/1/2034 $1,670,405
1,737,085   3.741%, 7/1/2038 1,790,223
3,627,034   3.805%, 7/1/2034 3,709,332
2,233,507   3.932%, 2/1/2035 2,336,247
1,252,791   4.123%, 4/1/2034 1,316,496
1,415,406   4.175%, 4/1/2037 1,474,130
1,238,807   4.210%, 5/1/2035 1,290,728
2,060,981   4.216%, 7/1/2036 2,120,441
1,976,000   4.234%, 10/1/2033 2,048,229
2,258,334   4.343%, 7/1/2035 2,366,346
615,868   4.391%, 2/1/2036 642,973
1,661,546   4.442%, 11/1/2034 1,752,356
1,635,009   4.444%, 8/1/2035 1,726,263
    TOTAL 24,244,169
    Federal National Mortgage Association ARM—30.7%  
263,467   2.935%, 7/1/2036 272,326
1,028,956   3.333%, 12/1/2034 1,076,949
259,680   3.430%, 12/1/2034 270,172
909   3.500%, 2/1/2019 908
365,704   3.567%, 12/1/2033 385,321
924,399   3.585%, 11/1/2039 974,646
1,701,260   3.624%, 1/1/2040 1,793,511
1,692,253   3.655%, 2/1/2042 1,785,037
243,251   3.766%, 5/1/2038 248,650
269,401   3.768%, 5/1/2035 277,410
233,321   3.810%, 2/1/2036 243,618
1,668,422   3.845%, 5/1/2039 1,713,210
243,726   3.854%, 11/1/2035 251,676
3,873,234   3.899%, 8/1/2039 4,048,267
550,455   3.904%, 9/1/2033 558,578
638,247   3.917%, 5/1/2035 661,007
98,478   3.990%, 2/1/2036 101,365
1,556,688   4.022%, 10/1/2034 1,597,067
680,383   4.039%, 1/1/2035 716,271
657,500   4.051%, 5/1/2035 678,533
1,248,044   4.065%, 8/1/2034 1,272,616
714,220   4.098%, 10/1/2037 729,776
1,052,494   4.100%, 6/1/2034 1,080,181
2,114,329   4.102%, 5/1/2036 2,218,598
1,367,725   4.103%, 7/1/2035 1,438,234
602,227   4.114%, 1/1/2035 625,325
56,084   4.130%, 4/1/2034 57,697
964,724   4.158%, 7/1/2035 1,001,053
1,441,540   4.160%, 10/1/2035 1,519,146
252,639   4.169%, 5/1/2036 265,381
1
Principal
Amount
or Shares 		    Value
  1 ADJUSTABLE RATE MORTGAGES—continued  
    Federal National Mortgage Association ARM—continued  
$657,775   4.181%, 6/1/2035 $694,114
2,640,581   4.205%, 7/1/2034 2,778,576
3,006,586   4.226%, 5/1/2035 3,142,704
363,140   4.227%, 7/1/2035 376,091
556,042   4.242%, 6/1/2033 576,631
782,950   4.262%, 10/1/2037 822,726
708,604   4.410%, 7/1/2034 745,925
766,954   4.433%, 7/1/2039 803,398
644,076   4.439%, 7/1/2035 672,529
429,571   4.443%, 10/1/2035 450,760
1,316,256   4.485%, 7/1/2035 1,378,836
4,782,035   4.574%, 8/1/2035 5,028,699
83,113   4.595%, 10/1/2033 84,712
516,139   4.665%, 10/1/2035 545,512
371,599   4.690%, 11/1/2040 391,432
74,615   4.986%, 7/1/2027 78,587
    TOTAL 46,433,761
    Government National Mortgage Association ARM—0.3%  
40,566   3.125%, 11/20/2023 41,025
37,835   3.125%, 10/20/2029 38,618
59,789   3.375%, 1/20/2022 60,085
56,255   3.375%, 2/20/2023 56,671
58,104   3.375%, 3/20/2023 58,544
16,010   3.375%, 1/20/2030 16,310
26,178   3.625%, 5/20/2029 26,625
40,377   3.750%, 7/20/2023 40,697
45,596   3.750%, 9/20/2023 45,973
    TOTAL 384,548
    TOTAL ADJUSTABLE RATE MORTGAGES
(IDENTIFIED COST $71,047,440) 		71,062,478
  1 ASSET-BACKED SECURITY—0.7%  
    Other—0.7%  
1,019,202   Sofi Professional Loan Program LLC, Class A1, 4.065%, (1-month USLIBOR +1.750%), 8/25/2036
(IDENTIFIED COST $1,010,051) 		1,040,331
    COLLATERALIZED MORTGAGE OBLIGATIONS—31.8%  
    Federal Home Loan Mortgage Corporation—10.2%  
249,086 1 REMIC 2380 FL, 2.907%, (1-month USLIBOR +0.600%), 11/15/2031 251,899
231,240 1 REMIC 2434 FA, 3.307%, (1-month USLIBOR +1.000%), 3/15/2032 236,673
95,995 1 REMIC 2448 FA, 3.307%, (1-month USLIBOR +1.000%), 1/15/2032 98,210
101,566 1 REMIC 2452 FC, 3.307%, (1-month USLIBOR +1.000%), 1/15/2032 103,910
305,467 1 REMIC 2459 FP, 3.307%, (1-month USLIBOR +1.000%), 6/15/2032 312,536
72,675 1 REMIC 2470 EF, 3.307%, (1-month USLIBOR +1.000%), 3/15/2032 74,383
334,791 1 REMIC 2475 F, 3.307%, (1-month USLIBOR +1.000%), 2/15/2032 342,635
280,183 1 REMIC 2475 FD, 2.857%, (1-month USLIBOR +0.550%), 6/15/2031 283,095
211,450 1 REMIC 2480 NF, 3.307%, (1-month USLIBOR +1.000%), 1/15/2032 216,395
71,561 1 REMIC 2498 AF, 3.307%, (1-month USLIBOR +1.000%), 3/15/2032 73,242
293,251 1 REMIC 3085 UF, 2.757%, (1-month USLIBOR +0.450%), 12/15/2035 295,140
655,446 1 REMIC 3156 HF, 2.792%, (1-month USLIBOR +0.485%), 8/15/2035 660,392
212,355 1 REMIC 3213 GF, 2.737%, (1-month USLIBOR +0.430%), 9/15/2036 213,367
1,216,336 1 REMIC 3284 AF, 2.617%, (1-month USLIBOR +0.310%), 3/15/2037 1,216,095
2
Principal
Amount
or Shares 		    Value
    COLLATERALIZED MORTGAGE OBLIGATIONS—continued  
    Federal Home Loan Mortgage Corporation—continued  
$5,404,455 1 REMIC 3284 BF, 2.607%, (1-month USLIBOR +0.300%), 3/15/2037 $5,424,444
705,213 1 REMIC 3380 FP, 2.657%, (1-month USLIBOR +0.350%), 11/15/2036 705,928
720,973 1 REMIC 3550 GF, 3.057%, (1-month USLIBOR +0.750%), 7/15/2039 733,849
989,365 1 REMIC 3556 FA, 3.217%, (1-month USLIBOR +0.910%), 7/15/2037 1,008,685
428,425 1 REMIC 3593 CF, 2.907%, (1-month USLIBOR +0.600%), 2/15/2036 433,712
2,695,941 1 REMIC 4149 F, 2.557%, (1-month USLIBOR +0.250%), 1/15/2033 2,687,518
    TOTAL 15,372,108
    Federal National Mortgage Association—19.8%  
45,494   REMIC 1995-17 B, 4.120%, 2/25/2025 45,836
284,257 1 REMIC 2001-32 FA, 2.865%, (1-month USLIBOR +0.550%), 7/25/2031 287,025
99,351 1 REMIC 2001-57 FA, 2.765%, (1-month USLIBOR +0.450%), 6/25/2031 99,848
79,754 1 REMIC 2001-62 FC, 2.965%, (1-month USLIBOR +0.650%), 11/25/2031 80,899
105,996 1 REMIC 2001-71 FS, 2.915%, (1-month USLIBOR +0.600%), 11/25/2031 107,370
208,589 1 REMIC 2002-52 FG, 2.815%, (1-month USLIBOR +0.500%), 9/25/2032 210,661
581,826 1 REMIC 2002-58 FG, 3.315%, (1-month USLIBOR +1.000%), 8/25/2032 595,747
94,547 1 REMIC 2002-60 FH, 3.315%, (1-month USLIBOR +1.000%), 8/25/2032 96,809
388,461 1 REMIC 2002-7 FG, 3.215%, (1-month USLIBOR +0.900%), 1/25/2032 395,958
188,175 1 REMIC 2002-77 FA, 3.303%, (1-month USLIBOR +1.000%), 12/18/2032 192,654
78,699 1 REMIC 2002-77 FG, 2.853%, (1-month USLIBOR +0.550%), 12/18/2032 79,614
170,095 1 REMIC 2002-8 FA, 3.053%, (1-month USLIBOR +0.750%), 3/18/2032 173,173
247,246 1 REMIC 2005-67 FM, 2.665%, (1-month USLIBOR +0.350%), 8/25/2035 247,646
1,146,931 1 REMIC 2006-103 FB, 2.715%, (1-month USLIBOR +0.400%), 10/25/2036 1,156,334
322,596 1 REMIC 2006-11 FB, 2.615%, (1-month USLIBOR +0.300%), 3/25/2036 323,260
1,084,408 1 REMIC 2006-65 DF, 2.665%, (1-month USLIBOR +0.350%), 7/25/2036 1,086,580
401,261 1 REMIC 2006-76 QF, 2.715%, (1-month USLIBOR +0.400%), 8/25/2036 403,341
3,800,411 1 REMIC 2006-W1 2AF1, 2.535%, (1-month USLIBOR +0.220%), 2/25/2046 3,769,519
131,831 1 REMIC 2007-102 FA, 2.885%, (1-month USLIBOR +0.570%), 11/25/2037 133,052
356,620 1 REMIC 2007-20 F, 2.575%, (1-month USLIBOR +0.260%), 3/25/2037 356,349
2,497,783 1 REMIC 2007-71 WF, 2.765%, (1-month USLIBOR +0.450%), 7/25/2037 2,513,767
428,716 1 REMIC 2007-88 FW, 2.865%, (1-month USLIBOR +0.550%), 9/25/2037 429,039
620,803 1 REMIC 2008-69 FB, 3.315%, (1-month USLIBOR +1.000%), 6/25/2037 637,567
152,200 1 REMIC 2008-75 DF, 3.565%, (1-month USLIBOR +1.250%), 9/25/2038 156,338
2,651,781 1 REMIC 2009-106 FN, 3.065%, (1-month USLIBOR +0.750%), 1/25/2040 2,698,207
923,311 1 REMIC 2009-78 UF, 3.085%, (1-month USLIBOR +0.770%), 10/25/2039 941,418
1,674,058 1 REMIC 2009-87 FX, 3.065%, (1-month USLIBOR +0.750%), 11/25/2039 1,702,434
1,907,020 1 REMIC 2009-87 HF, 3.165%, (1-month USLIBOR +0.850%), 11/25/2039 1,947,713
873,394 1 REMIC 2010-39 EF, 2.835%, (1-month USLIBOR +0.520%), 6/25/2037 880,992
3,856,558 1 REMIC 2011-4 PF, 2.865%, (1-month USLIBOR +0.550%), 2/25/2041 3,891,566
4,328,285 1 REMIC 2012-130 DF, 2.715%, (1-month USLIBOR +0.400%), 12/25/2042 4,342,168
    TOTAL 29,982,884
    Government National Mortgage Association—0.6%  
980,162 1 REMIC 2012-42 HF, 2.671%, (1-month USLIBOR +0.370%), 3/20/2042 986,557
    Non-Agency Mortgage-Backed Securities—1.2%  
1,949,683   Sequoia Mortgage Trust 2013-1, Class 1A1, 1.450%, 2/25/2043 1,796,466
    TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $47,818,433) 		48,138,015
  1 COMMERCIAL MORTGAGE-BACKED SECURITIES—2.8%  
    Agency Commercial Mortgage-Backed Securities—2.8%  
519,168   FHLMC REMIC KF03 A, 2.647% (1-month USLIBOR +0.340%), 1/25/2021 519,019
3
Principal
Amount
or Shares 		    Value
  1 COMMERCIAL MORTGAGE-BACKED SECURITIES—continued  
    Agency Commercial Mortgage-Backed Securities—continued  
$3,757,471   FHLMC REMIC KS02 A, 2.687% (1-month USLIBOR +0.380%), 8/25/2023 $3,756,083
    TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $4,276,639) 		4,275,102
    MORTGAGE-BACKED SECURITIES—9.6%  
    Federal Home Loan Mortgage Corporation—1.3%  
1,484,388   4.000%, 9/1/2047 1,495,463
510,648   4.000%, 11/1/2047 514,458
    TOTAL 2,009,921
    Federal National Mortgage Association—8.3%  
1,475,174   3.000%, 8/1/2023 1,471,131
2,687,267   3.500%, 12/1/2031 2,700,598
1,841,686   4.000%, 12/1/2047 1,861,038
522,378   4.000%, 2/1/2048 526,235
540,026   4.000%, 2/1/2048 544,013
3,730,342   4.000%, 3/1/2048 3,755,551
1,427,068   4.000%, 3/1/2048 1,436,712
185,095   5.000%, 1/1/2024 190,560
    TOTAL 12,485,838
    TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $14,496,165) 		14,495,759
    U.S. TREASURIES—5.2%  
    U.S. Treasury Notes—5.2%  
4,000,000   United States Treasury Notes, 0.875%, 9/15/2019 3,944,062
1,500,000   United States Treasury Notes, 2.250%, 2/29/2020 1,490,304
2,500,000   United States Treasury Notes, 2.625%, 8/31/2020 2,492,205
    TOTAL U.S. TREASURIES
(IDENTIFIED COST $7,942,341) 		7,926,571
    INVESTMENT COMPANY—2.3%  
3,434,086   Federated Government Obligations Fund, Premier Shares, 2.12%2
(AT AMORTIZED COST) 		3,434,086
    TOTAL INVESTMENT IN SECURITIES—99.4%
(IDENTIFIED COST $150,025,155) 		150,372,342
    OTHER ASSETS AND LIABILITIES - NET—0.6%3 980,619
    TOTAL NET ASSETS—100% $151,352,961
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 November 30, 2018, were as follows:
  Federated Government
Obligations Fund,
Premier Shares
Balance of Shares Held 8/31/2018 6,416,535
Purchases/Additions 19,140,588
Sales/Reductions (22,123,037)
Balance of Shares Held 11/30/2018 3,434,086
Value $3,434,086
Change in Unrealized Appreciation/Depreciation N/A
Net Realized Gain/(Loss) N/A
Dividend Income $14,148
1 Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above.
4
2 7-day net yield.
3 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, 2018.
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.
■ 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.
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.
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.
5
The following is a summary of the inputs used, as of November 30, 2018, 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 $— $71,062,478 $— $71,062,478
Asset-Backed Security — 1,040,331 — 1,040,331
Collateralized Mortgage Obligations — 48,138,015 — 48,138,015
Commercial Mortgage-Backed Securities — 4,275,102 — 4,275,102
Mortgage-Backed Securities — 14,495,759 — 14,495,759
U.S. Treasuries — 7,926,571 — 7,926,571
Investment Company 3,434,086 — — 3,434,086
TOTAL SECURITIES $3,434,086 $146,938,256 $— $150,372,342
The following acronyms are used throughout this portfolio:
ARM —Adjustable Rate Mortgage
FHLMC —Federal Home Loan Mortgage Corporation
LIBOR —London Interbank Offered Rate
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 23, 2019

 

 

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 23, 2019

 

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 
 

 

Date January 23, 2019