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Previous: LASERSIGHT INC /DE, S-8, EX-23.2, 2000-07-31 |
Next: AAMES FINANCIAL CORP/DE, 8-K, 2000-07-31 |
Federated Investors
World-Class Investment Manager
Richard B. Fisher
President
Federated Limited Term Fund
Dear Shareholder:
Federated Limited Term Fund, was created in 1991, and I am pleased to present its ninth Semi-Annual Report. The fund's assets totaled $116.5 million on May 31, 2000. This short-term bond fund holds securities with maturities between money market funds (i.e., 40-60 days) and government issues (i.e., 1-3 years). As a result, shareholders can generally expect a higher level of income potential than money market fund instruments, and a lower level of income potential than longer term government bond funds.1
This report covers the first half of the fund's fiscal year, which is the six-month period from December 1, 1999 through May 31, 2000. It begins with an interview with the fund's portfolio manager, Randall S. Bauer, Vice President, who co-manages the fund with Robert E. Cauley, Vice President, both of Federated Investment Management Company. Following their discussion are three additional items of shareholder interest. First is a series of graphs showing the fund's long-term investment performance. Second is a complete listing of the fund's holdings, and third is the publication of the fund's financial statements.
In a difficult environment for bonds, the fund continued to produce a strong income stream and positive total return for investors based on net asset value. Individual share class total return performance for the six-month reporting period, including income distributions, follows.2
|
|
|
Total |
|
Income |
|
Net Asset Value Change |
|
Class A Shares |
|
1.83% |
|
$0.311 |
|
$9.45 to $9.31 = (1.48%) |
|
Class F Shares |
|
1.88% |
|
$0.316 |
|
$9.45 to $9.31 = (1.48%) |
1 Unlike money market funds, the net asset value of this fund will fluctuate.
2 Performance quoted is based on net asset value, represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns for the reporting period, based on offering price (i.e., less any applicable sales charge), for Class A and F Shares were 0.76% and (0.16%), respectively.
Thank you for choosing Federated Limited Term Fund as a conservative way to pursue income through a diversified, high-quality portfolio of short-term securities. Remember, reinvesting your monthly dividends is a convenient way to build your account--and helps to build your account through the benefit of compounding.
As always, we welcome your comments and suggestions.
Sincerely,
Richard B. Fisher
Richard B. Fisher
President
July 15, 2000
Randall S. Bauer
Vice President
Federated Investment Management Company
Robert E. Cauley
Vice President
Federated Investment Management Company
The first half of fiscal 2000 was characterized by uncertainty if nothing else. The "Y2K malaise," which had caused credit markets to perform poorly beginning in the first half of calendar 1999, had pretty much run its course by the beginning of the fund's fiscal year in December. As investors slowly began to realize there would be no great dislocation attributable to Y2K, credit markets actually began to rally. Investors who had stayed on the sidelines tried to invest without success, since issuers had already completed their funding requirements through year-end. Credit spreads tightened versus Treasury issues, and this phenomenon lasted until approximately mid-February 2000. At that point, however, spreads once again began to widen. A combination of equity market volatility, Treasury buybacks, and investor uncertainty as to how to best deal with an economy in uncharted growth waters seemed to be the culprit. Though better news on the employment and inflation fronts of late has helped interest rates to fall somewhat, there is still no real consensus regarding the direction of the market as the fund moves into the middle of the year 2000.
For the six-month reporting period ended May 31, 2000, the Merrill Lynch 1-3 Year Corporate Index returned 1.87%, compared with a return on the Merrill Lynch 1-3 Year Treasury Index of 2.08%. The Merrill Lynch 0-3 Year Mortgage Index returned 2.21%, and the Merrill Lynch 0-3 Year Asset Backed Index returned 2.45%.1
The fund outperformed its peer group, the Lipper Short Investment Grade Debt Funds Average, which produced an average return for the period of 1.65%.2 The fund's Class A Shares delivered a total return of 1.83%, based on net asset value, and monthly dividends totaling $0.311 per share. The fund's Class F Shares produced a total return of 1.88%, based on net asset value, and paid monthly dividends totaling $0.316 per share. The net asset value of both share classes decreased a modest $0.14 per share over the reporting period.3
The 30-day SEC yields for Class A and F Shares were 6.70% and 6.80%, respectively, on May 31, 2000.4
1 Merrill Lynch 1-3 Year Corporate Index is an unmanaged index tracking short-term domestic investment-grade corporate bonds with maturities between 1 and 2.99 years. Merrill Lynch 1-3 Year Treasury Index is an unmanaged index tracking short-term U.S. government securities with maturities between 1 and 2.99 years. Merrill Lynch 0-3 Year Mortgage Index is an unmanaged index tracking generic coupon mortgages with at least $150 million par amount outstanding. Merrill Lynch 0-3 Year Asset-Backed Index is an unmanaged index tracking fixed rate U.S. asset-backed securities with maturities between 1 and 2.99 years. Investments cannot be made in an index.
2 Lipper figures represent the average of the total returns reported by all of the mutual funds designated by Lipper Analytical Services, Inc. as falling into the category indicated. Lipper figures do not take sales charges into account.
3 Past performance and is no guarantee of future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns for the period, based on offering price (i.e., less any applicable sales charge), for Class A Shares and F Shares were 0.76% and (0.16%), respectively.
4 The 30-day SEC net yield is calculated by dividing the investment income per share for the prior 30 days by the maximum offering price per share on that date. The figure is compounded and annualized.
With regard to sector allocation, asset-backed securities (ABS) continue to receive the largest amount of fund exposure (51.2% of the portfolio), followed by corporate issues. Mortgage-backed securities (MBS) are being de-emphasized in favor of like-duration ABS, which are perceived to have better convexity characteristics. MBS currently account for less than 26% of fund exposure. Treasury issues currently account for only a fraction of total fund exposure, as it is believed credit spreads in general have some room to tighten.
The sector under most scrutiny in this regard is the ABS segment, which because of its high percentage of consumer debt-related content, might be particularly vulnerable if there is any considerable cooling of the economy. Though such a scenario is not currently envisioned by fund management, at this late stage of the economic expansion, some degree of prudence is probably warranted.
As of May 31, 2000, the quality breakdown of the fund was as follows:
|
Name |
|
Percentage of |
|
AAA |
|
36% |
|
AA |
|
7% |
|
A |
|
11% |
|
BBB |
|
35% |
|
BB or lower |
|
11% |
The general credit quality of the portfolio has been upgraded somewhat, as the percentage of the portfolio rated "BBB+" and below has been reduced from over 46% at the beginning of the reporting period under review to just over 39% currently.
The top five holdings were:
|
Name |
|
Percentage |
|
PNC Mortgage Securities Corp. 1997-2, Class B1, 7.50%, due 3/25/2027 |
|
3.8% |
|
Bridgestone/Firestone Master Trust 1996-1, Class B, 6.49%, due 7/1/2003 |
|
2.6% |
|
Salomon Brothers Mortgage Securities VII 1999-3, Class M3, due 5/25/2029 |
|
2.6% |
|
Chase Manhattan Corp., Sub. Note, 5.25%, due 12/5/2009 |
|
2.5% |
|
Headlands Mortgage Securities Inc. 1997-1, Class B3, 7.75%, due 3/25/2027 |
|
2.3% |
|
TOTAL |
|
13.8% |
Federated's outlook on bonds has become more positive, recommending that investors add to the overall fixed-income position within a diversified portfolio. There is a growing belief that the Federal Reserve Board's interest rate hikes to date are having the desired effect of slowing the economy to a more sustainable pace without excessive inflation. In addition, the relative value of the mortgage and corporate bond sectors has also increased given the significant outperformance of pure U.S. Treasury issues so far in the year 2000. Thus, it is anticipated that returns are poised to improve for most bond sectors going forward.
If you had made an initial investment of $9,000 in the Class A Shares of Federated Limited Term Fund on 1/14/92, reinvested your dividends and capital gains, and did not redeem any shares, your account would have been worth $13,680 on 5/31/00. You would have earned a 5.12%1 average annual total return for the investment life span.
One key to investing wisely is to reinvest all distributions in fund shares. This increases the number of shares on which you can earn future dividends, and you gain the benefit of compounding.
As of 6/30/00, the Class A Shares' 1-year, 5-year, and since inception (1/14/92) average annual total returns were 2.04%, 4.88%, and 5.20%, respectively. Class F Shares' 1-year, 5-year, and since inception (9/1/93) average annual total returns were 1.19%, 4.99%, and 4.70%, respectively.2
[Graphic Representation Omitted - See Appendix]
1 Total return represents the change in the value of an investment after reinvesting all income and capital gains, and takes into account the 1.00% sales charge applicable to an initial investment in Class A Shares. Data quoted represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost.
2 The total returns stated take into account all applicable sales charges. The maximum sales charges and contingent deferred sales charges for the fund are as follows: Class A Shares, 1.00% sales charge; Class F Shares, 1.00% sales charge and 1.00% contingent deferred sales charge.
$1,000 initial investment and subsequent investments of $1,000 each year for eight years (reinvesting all dividends and capital gains) grew to $11,025.
With this approach, the key is consistency.
If you had started investing $1,000 annually in the Class A Shares of Federated Limited Term Fund on 1/14/92, reinvested your dividends and capital gains, and did not redeem any shares, you would have invested only $9,000, but your account would have reached a total value of $11,0251 by 5/31/00. You would have earned an average annual total return of 4.63%.
A practical investment plan helps you pursue income from short-term bonds. Through systematic investing, you buy shares on a regular basis and reinvest all earnings. An investment plan works for you when you invest only $1,000 annually. You can take it one step at a time. Put time, money, and compounding to work.
[Graphic Representation Omitted - See Appendix]
1 This chart assumes that the subsequent annual investments are made on the last day of each anniversary month. No method of investing can guarantee a profit or protect against loss in down markets.
While most investors focus on planned financial goals, Phil and Kate Porter also invest to help with life's unplanned expenses. On 1/14/92 they invested $10,000 in Federated Limited Term Fund to start an emergency reserve account. By 5/31/00, their account had grown to $15,200, achieving an average annual total return of 5.12%.
Over time, they may draw on the accumulated income to pay for everything from major car repairs to household plumbing emergencies.
With Federated Limited Term Fund, they can take comfort in the fact that they have a reserve to help with whatever unforeseen expenses lie ahead.
[Graphic Representation Omitted - See Appendix]
This hypothetical scenario is provided for illustrative purposes only and does not represent the result obtained by any particular shareholder. Past performance is no guarantee of future results.
MAY 31, 2000 (UNAUDITED)
|
Principal |
|
|
|
|
Value |
|
|
|
|
|
ADJUSTABLE RATE MORTGAGES--1.0% |
|
|
|
|
|
|
|
Government Agency--1.0% |
|
|
|
|
$ |
504,571 |
1 |
FHLMC, ARM 6.883%, 12/1/2018 |
|
$ |
514,057 |
|
|
475,875 |
1 |
FHLMC, ARM 7.093%, 9/1/2019 |
|
|
486,288 |
|
|
157,507 |
1 |
FNMA, ARM 7.625%, 12/1/2020 |
|
|
160,495 |
|
|
68,053 |
1 |
FNMA, ARM 8.025%, 11/1/2017 |
|
|
69,233 |
|
|
||||||
|
|
|
|
TOTAL ADJUSTABLE RATE MORTGAGES (IDENTIFIED COST $1,229,096) |
|
|
1,230,073 |
|
|
||||||
|
|
|
|
ASSET-BACKED SECURITIES--51.2% |
|
|
|
|
|
|
|
Automobile--9.7% |
|
|
|
|
|
266,284 |
|
AFG Receivables Trust 1997-A, Class C, 7.20%, 10/15/2002 |
|
|
266,779 |
|
|
364,792 |
|
AFG Receivables Trust 1997-B, Class C, 7.00%, 2/15/2003 |
|
|
365,197 |
|
|
2,000,000 |
|
BMW Vehicle Owner Trust 1999-A, Class A3, 6.41%, 4/25/2003 |
|
|
1,981,640 |
|
|
1,700,000 |
|
Capital Auto Receivables Asset Trust 2000-1, Class A4, 7.00%, 1/17/2005 |
|
|
1,689,673 |
|
|
948,821 |
|
Mellon Auto Grantor Trust 2000-1, Class B, 7.43%, 10/15/2006 |
|
|
947,497 |
|
|
969,819 |
2 |
Paragon Auto Receivables Owner Trust 1998-A, Class B, 7.47%, 11/15/2004 |
|
|
947,496 |
|
|
841,378 |
2 |
Paragon Auto Receivables Owner Trust 1998-B, Class B, 7.03%, 3/15/2005 |
|
|
815,883 |
|
|
604,135 |
|
Paragon Auto Receivables Owner Trust 1999-A, Class A, 5.95%, 11/15/2005 |
|
|
592,394 |
|
|
1,950,000 |
2 |
Team Fleet Financing Corp. Series 1997-1, Class B, 7.80%, 5/15/2003 |
|
|
1,885,710 |
|
|
1,850,000 |
|
Yamaha Motor Master Trust 1995-1, Class A, 6.20%, 5/15/2003 |
|
|
1,848,687 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
11,340,956 |
|
|
||||||
|
|
|
|
Credit Card--9.1% |
|
|
|
|
|
1,382,966 |
2 |
Banco Nacional de Mexico S.A., Credit Card Merchant Voucher Receivables Master Trust Series 1996-A, Class A1, 6.25%, 12/1/2003 |
|
|
1,336,723 |
|
|
3,000,000 |
|
Bridgestone/Firestone Master Trust 1996-1, Class B, 6.49%, 7/1/2003 |
|
|
2,997,630 |
|
|
2,000,000 |
|
Fingerhut Master Trust 1998-2, Class A, 6.23%, 2/15/2007 |
|
|
1,944,460 |
|
|
1,250,000 |
|
MBNA Master Credit Card Trust II 1997-F, Class A, 6.60%, 11/15/2004 |
|
|
1,232,538 |
|
|
1,000,000 |
|
MBNA Master Credit Card Trust II 2000-A, Class A, 7.35%, 7/16/2007 |
|
|
1,002,990 |
|
|
2,000,000 |
|
Providian Master Trust 1999-2, Class A, 6.60%, 4/16/2007 |
|
|
1,966,060 |
|
|
116,667 |
|
Spiegel Master Trust 1994-B, Class A, 8.15%, 6/15/2004 |
|
|
116,805 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
10,597,206 |
|
|
||||||
|
Principal |
|
|
|
|
Value |
|
|
|
|
|
ASSET-BACKED SECURITIES--continued |
|
|
|
|
|
|
|
Home Equity Loan--17.3% |
|
|
|
|
$ |
1,500,000 |
2 |
125 Home Loan Owner Trust 1998-1A, Class B2, 12.16%, 2/15/2029 |
|
$ |
1,263,750 |
|
|
1,000,000 |
|
Chase Funding Mortgage Loan 1999-1, Class IIB, 8.895%, 6/25/2028 |
|
|
1,019,530 |
|
|
2,000,000 |
|
Cityscape Home Equity Loan Trust 1997-1, Class M1, 7.58%, 3/25/2018 |
|
|
1,937,770 |
|
|
1,500,000 |
|
ContiMortgage Home Equity Loan Trust 1997-5, Class B, 7.62%, 1/15/2029 |
|
|
1,295,156 |
|
|
924,000 |
|
Countrywide Asset-Backed Certificates 1999-1, Class BF, 8.84%, 1/25/2029 |
|
|
924,952 |
|
|
300,000 |
|
EQCC Home Equity Loan Trust 1995-4, Class A4, 6.95%, 3/15/2012 |
|
|
299,412 |
|
|
91,465 |
|
Green Tree Home Equity Loan Trust 1999-A, Class B2A, 7.44%, 2/15/2029 |
|
|
91,576 |
|
|
942,642 |
|
Green Tree Home Improvement Loan Trust 1995-C, Class B1, 7.20%, 7/15/2020 |
|
|
931,500 |
|
|
2,200,000 |
|
Green Tree Home Impovement Loan Trust 1996-F, Class HI2, 7.70%, 11/15/2027 |
|
|
2,034,890 |
|
|
2,000,000 |
|
Green Tree Home Improvement Loan Trust 1997-C, Class B2, 7.59%, 8/15/2028 |
|
|
1,300,000 |
|
|
539,305 |
|
Headlands Home Equity Loan Trust 1998-2, Class A3, 6.67%, 12/15/2024 |
|
|
517,733 |
|
|
1,096,720 |
|
Independent National Mortgage Corp. Home Equity 1997-A, Class BF, 7.39%, 10/25/2028 |
|
|
1,039,999 |
|
|
1,000,000 |
|
Merrill Lynch Mortgage Investors, Inc. 1993-C, Class A4, 6.50%, 3/15/2018 |
|
|
1,003,701 |
|
|
2,113,420 |
2 |
Merrill Lynch Mortgage Investors, Inc. 1998-FF3, Class BB, 5.50%, 11/20/2029 |
|
|
1,964,160 |
|
|
558,456 |
|
NC Finance Trust 1999-1, Class D, 8.75%, 1/25/2029 |
|
|
530,533 |
|
|
2,749,000 |
2 |
Saxon Asset Securities Trust 1998-1, Class BF2, 8.00%, 12/25/2027 |
|
|
2,433,360 |
|
|
1,000,000 |
|
Saxon Asset Securities Trust 1999-1, Class BV1, 9.36%, 2/25/2029 |
|
|
1,017,070 |
|
|
434,385 |
|
Saxon Asset Securities Trust 1999-2, Class BV1, 8.305%, 9/25/2001 |
|
|
433,316 |
|
|
140,639 |
|
The Money Store Home Equity Trust 1992-B, Class A, 6.90%, 7/15/2007 |
|
|
138,029 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
20,176,437 |
|
|
||||||
|
|
|
|
Manufactured Housing--5.5% |
|
|
|
|
|
750,000 |
|
Green Tree Financial Corp. 1995-3, Class B1, 7.85%, 8/15/2025 |
|
|
708,630 |
|
|
1,250,000 |
|
Green Tree Financial Corp. 1996-2, Class B1, 7.55%, 4/15/2027 |
|
|
1,165,575 |
|
|
2,250,000 |
|
Green Tree Financial Corp. 1997-3, Class B1, 7.51%, 7/15/2028 |
|
|
1,982,160 |
|
|
2,000,000 |
|
Merit Securities Corp., Series 12, Class 1, 7.98%, 7/28/2033 |
|
|
1,761,250 |
|
|
245,462 |
|
Oakwood Mortgage Investors, Inc. 1995-B, Class A2, 6.45%, 1/15/2021 |
|
|
243,076 |
|
|
500,000 |
|
Vanderbilt Mortgage Finance 1999-A, Class 2B2, 9.02625%, 6/7/2016 |
|
|
492,350 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
6,353,041 |
|
|
||||||
|
|
|
|
Marine Receivables--1.3% |
|
|
|
|
|
625,934 |
|
CBNJ Boat Loan Trust 1994-1, Class A, 6.89%, 5/18/2012 |
|
|
622,009 |
|
|
864,011 |
|
NationsCredit Grantor Trust 1997-1, Class A, 6.75%, 8/15/2013 |
|
|
862,490 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
1,484,499 |
|
|
||||||
|
Principal |
|
|
|
|
Value |
|
|
|
|
|
ASSET-BACKED SECURITIES--continued |
|
|
|
|
|
|
|
Other--8.3% |
|
|
|
|
$ |
211,516 |
|
Advanta Equipment Receivables 1998-1, Class C, 6.49%, 12/15/2006 |
|
$ |
210,751 |
|
|
417,771 |
1, 2 |
Bosque Asset Corp., Class 1, 7.66%, 6/5/2002 |
|
|
413,593 |
|
|
1,224,086 |
|
Case Equipment Loan Trust 1999-A, Class B, 5.96%, 8/15/2005 |
|
|
1,192,951 |
|
|
325,000 |
|
Centerior Energy Receivables Master Trust 1996-1, Class A, 7.20%, 4/15/2002 |
|
|
325,926 |
|
|
131,588 |
|
Copelco Capital Funding Trust 1998-A, Class A3, 5.78%, 8/15/2001 |
|
|
131,293 |
|
|
3,430,516 |
2 |
FMAC Loan Receivables Trust 1997-A, Class A-X, 2.77%, 4/15/2019 |
|
|
366,636 |
|
|
3,000,000 |
|
Salomon Brothers Mortgage Sec. VII 1999-3, Class M3, 9.395%, 5/25/2029 |
|
|
3,000,000 |
|
|
1,926,000 |
|
Salomon Brothers Mortgage Sec. VII 1999-NC2, Class M3, 9.86%, 4/25/2029 |
|
|
1,926,000 |
|
|
2,120,000 |
|
Salomon Brothers Mortgage Sec. VII 1999-NC3, Class M3, 9.71%, 7/25/2029 |
|
|
2,120,000 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
9,687,150 |
|
|
||||||
|
|
|
|
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $62,463,561) |
|
|
59,639,289 |
|
|
||||||
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS--25.9% |
|
|
|
|
|
|
|
Commercial Mortgage--1.8% |
|
|
|
|
|
3,799,141 |
|
First Union Lehman Brothers Commercial Mortgage Trust Series 1997-C1, IO, 0.99%, 4/18/2027 |
|
|
211,137 |
|
|
1,900,000 |
1, 2 |
K Mart CMBS Financing, Inc. Series 1997-1, Class D, 7.29%, 3/1/2007 |
|
|
1,891,555 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
2,102,692 |
|
|
||||||
|
|
|
|
Government Agency--0.3% |
|
|
|
|
|
353,480 |
|
FHLMC, Series 1686, Class PK, 5.00%, 4/15/2023 |
|
|
349,871 |
|
|
||||||
|
|
|
|
Whole Loan--23.8% |
|
|
|
|
|
863,767 |
|
Bayview Financial Acquisition Trust 1998-1, Class MI3, 8.21%, 5/25/2029 |
|
|
730,963 |
|
|
950,132 |
|
Bear Stearns Mortgage Securities, Inc. 1996-8, Class B3, 8.00%, 11/25/2027 |
|
|
932,830 |
|
|
1,130,179 |
|
CMSI 1992-18, Class A-1, 7.268%, 11/25/2022 |
|
|
1,146,393 |
|
|
289,757 |
2 |
GE Capital Mortgage Services, Inc. 1994-3, Class B4, 6.50%, 1/25/2024 |
|
|
185,444 |
|
|
654,000 |
|
GE Capital Mortgage Services, Inc. 1998-3, Class A4, 6.25%, 1/25/2028 |
|
|
628,769 |
|
|
386,894 |
|
GE Capital Mortgage Services, Inc. 1998-11, Class 1A13, 6.75%, 6/25/2028 |
|
|
380,156 |
|
|
2,778,145 |
|
Headlands Mortgage Securities, Inc. 1997-1, Class B3, 7.75%, 3/25/2027 |
|
|
2,630,773 |
|
|
2,680,000 |
|
Homeside Mortgage Securities, Inc. 1998-1, Class A2, 6.75%, 2/25/2028 |
|
|
2,411,411 |
|
|
1,535,000 |
|
Mellon Residential Funding Corp. 1998-TBC1, Class B3, 6.59%, 10/25/2028 |
|
|
1,435,943 |
|
|
535,000 |
2 |
Mellon Residential Funding Corp. 1998-TBC1, Class B4, 6.59%, 10/25/2028 |
|
|
398,241 |
|
|
973,728 |
|
Norwest Asset Securities Corp. 1997-10, Class A4, 7.00%, 8/25/2027 |
|
|
929,501 |
|
|
1,014,847 |
|
Norwest Asset Securities Corp. 1998-6, Class A9, 6.90%, 4/25/2028 |
|
|
930,379 |
|
|
4,664,696 |
|
PNC Mortgage Securities Corp. 1997-2, Class B1, 7.50%, 3/25/2027 |
|
|
4,453,526 |
|
|
1,009,507 |
|
Resecuritization Mortgage Trust 1998-A, Class B3, 7.84%, 10/26/2023 |
|
|
851,141 |
|
|
2,000,000 |
|
Residential Accredit Loans, Inc. 1997-QS12, Class A6, 7.25%, 11/25/2027 |
|
|
1,920,600 |
|
Principal |
|
|
|
|
Value |
|
|
|
||||||
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS--continued |
|
|
|
|
|
|
|
Whole Loan--continued |
|
|
|
|
$ |
1,000,000 |
|
Residential Asset Securitization Trust 1997-A7, Class A5, 7.50%, 9/25/2027 |
|
$ |
998,620 |
|
|
2,500,000 |
|
Residential Funding Mortgage Securities I, Inc. 1996-S1, Class A11, 7.10%, 1/25/2026 |
|
|
2,389,525 |
|
|
2,250,000 |
|
Residential Funding Mortgage Securities I, Inc. 1997-S17, Class A14, 7.00%, 11/25/2027 |
|
|
2,090,374 |
|
|
484,187 |
|
Residential Funding Mortgage Securities I, Inc. 1996-S25, Class M3, 7.75%, 12/25/2026 |
|
|
474,687 |
|
|
1,308,050 |
2 |
SMFC Trust Asset-Backed Certificates, Series 1997-A, Class B1-4, 7.41%, 1/28/2025 |
|
|
1,076,689 |
|
|
860,210 |
|
Structured Asset Securities Corp. 1999-ALS2, Class A2, 6.75%, 7/25/2029 |
|
|
806,664 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
27,802,629 |
|
|
||||||
|
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $31,997,278) |
|
|
30,255,192 |
|
|
||||||
|
|
|
|
CORPORATE BONDS--16.0% |
|
|
|
|
|
|
|
Banking--4.2% |
|
|
|
|
|
3,000,000 |
|
Chase Manhattan Corp., Sub. Note, 5.25%, 12/5/2009 |
|
|
2,901,021 |
|
|
1,000,000 |
|
Mercantile Bancorporation, Inc., 6.80%, 6/15/2001 |
|
|
992,270 |
|
|
1,000,000 |
|
Wells Fargo and Co., Note, 6.50%, 9/3/2002 |
|
|
976,080 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
4,869,371 |
|
|
||||||
|
|
|
|
Financial Intermediaries--1.9% |
|
|
|
|
|
2,000,000 |
|
Olympic Financial Ltd., Sr. Note, 11.50%, 3/15/2007 |
|
|
2,211,480 |
|
|
||||||
|
|
|
|
Food & Drug Retailers--1.2% |
|
|
|
|
|
1,500,000 |
|
Great Atlantic & Pacific Tea Co., Inc., Global Bond Deb., 7.70%, 1/15/2004 |
|
|
1,405,935 |
|
|
||||||
|
|
|
|
Forest Products--0.9% |
|
|
|
|
|
1,000,000 |
|
Quno Corp., Sr. Note, 9.125%, 5/15/2005 |
|
|
1,027,020 |
|
|
||||||
|
|
|
|
Insurance--2.4% |
|
|
|
|
|
2,000,000 |
|
GEICO Corp., Deb., 9.15%, 9/15/2021 |
|
|
2,108,340 |
|
|
750,000 |
|
HSB Group, Inc., Company Guarantee, 7.19%, 7/15/2027 |
|
|
689,543 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
2,797,883 |
|
|
||||||
|
|
|
|
Retailers--1.2% |
|
|
|
|
|
1,450,000 |
|
Shopko Stores, Inc., 8.50%, 3/15/2002 |
|
|
1,458,990 |
|
|
||||||
|
|
|
|
Supranational--1.7% |
|
|
|
|
|
2,000,000 |
|
Corp Andina De Fomento, Bond, 7.375%, 7/21/2000 |
|
|
2,001,020 |
|
|
||||||
|
|
|
|
Technology Services--1.4% |
|
|
|
|
|
1,500,000 |
|
Unisys Corp., Sr. Note, 11.75%, 10/15/2004 |
|
|
1,608,750 |
|
|
||||||
|
Principal |
|
|
|
|
Value |
|
|
|
||||||
|
|
|
|
CORPORATE BONDS--continued |
|
|
|
|
|
|
|
Utilities--1.1% |
|
|
|
|
$ |
1,250,000 |
2 |
Camuzzi Gas, Bond, 9.25%, 12/15/2001 |
|
$ |
1,240,625 |
|
|
||||||
|
|
|
|
TOTAL CORPORATE BONDS (IDENTIFIED COST $19,066,504) |
|
|
18,621,074 |
|
|
||||||
|
|
|
|
MORTGAGE BACKED SECURITIES--1.3% |
|
|
|
|
|
|
|
Government Agency--1.3% |
|
|
|
|
|
819,645 |
|
FHLMC, 6.00%, 4/1/2003 |
|
|
791,728 |
|
|
704,126 |
|
GNMA, 8.50%, 8/15/2026 |
|
|
717,110 |
|
|
||||||
|
|
|
|
TOTAL MORTGAGE BACKED SECURITIES (IDENTIFIED COST $1,521,497) |
|
|
1,508,838 |
|
|
||||||
|
|
|
|
MUTUAL FUNDS--1.6% |
|
|
|
|
|
229,791 |
3 |
High Yield Bond Portfolio (identified cost $2,173,279) |
|
|
1,831,437 |
|
|
||||||
|
|
|
|
U.S. TREASURY OBLIGATION--0.7% |
|
|
|
|
|
|
|
U.S. Treasury Note |
|
|
|
|
$ |
800,000 |
|
7.50%, 11/15/2001 (identified cost $831,157) |
|
|
807,656 |
|
|
||||||
|
|
|
|
REPURCHASE AGREEMENT--2.4%4 |
|
|
|
|
|
2,770,000 |
|
Paribas Corp., 6.58%, dated 5/31/2000, due 6/1/2000 (at amortized cost) |
|
|
2,770,000 |
|
|
||||||
|
|
|
|
TOTAL INVESTMENTS (IDENTIFIED COST $122,052,372)5 |
|
$ |
116,663,559 |
|
|
||||||
1 Denotes variable rate securities which show current rate and next demand date.
2 Denotes a restricted security which is subject to restrictions on resale under federal securities laws. At May 31, 2000, these securities amounted to $16,219,865 which represents 13.9% of net assets.
3 Pursuant to an exemptive order, the Fund may invest in Federated Core Trust (the "Trust") which is also managed by Federated Investment Management Company, the Fund's adviser. The Trust is an open-end management investment company under the Investment Company Act of 1940 available only to registered investment companies and other institutional investors. High Yield Bond Portfolio and Federated Mortgage Core Portfolio (the "Portfolios") are two series of the Trust. Federated receives no fees on behalf of the Portfolios. Income distributions from the Portfolios are declared daily and paid monthly. Income distributions earned by the Fund are recorded as dividend income in the accompanying financial statements.
4 The repurchase agreement is fully collateralized by U.S. government and/or agency obligations based on market prices at the date of the portfolio. The investment in the repurchase agreement is through participation in a joint account with other Federated funds.
5 The cost of investments for federal tax purposes amounts to $122,052,372. The net unrealized depreciation of investments on a federal tax basis amounts to $5,388,813 which is comprised of $68,217 appreciation and $5,457,030 depreciation at May 31, 2000.
Note: The categories of investments are shown as a percentage of net assets ($116,562,675) at May 31, 2000.
The following acronyms are used throughout this portfolio:
|
ARM |
--Adjustable Rate Mortgage |
|
FHLMC |
--Federal Home Loan Mortgage Corporation |
|
FNMA |
--Federal National Mortgage Association |
|
GNMA |
--Government National Mortgage Association |
|
IO |
--Interest Only |
See Notes which are an integral part of the Financial Statements
MAY 31, 2000 (UNAUDITED)
|
Assets: |
|
|
|
|
|
|
|
|
Total investments in securities, at value (identified and tax cost $122,052,372) |
|
|
|
|
$ |
116,663,559 |
|
|
Income receivable |
|
|
|
|
|
1,073,930 |
|
|
Receivable for shares sold |
|
|
|
|
|
82,716 |
|
|
Prepaid expense |
|
|
|
|
|
87,956 |
|
|
|
|||||||
|
TOTAL ASSETS |
|
|
|
|
|
117,908,161 |
|
|
|
|||||||
|
Liabilities: |
|
|
|
|
|
|
|
|
Payable for investments purchased |
|
$ |
17,390 |
|
|
|
|
|
Payable for shares redeemed |
|
|
608,010 |
|
|
|
|
|
Income distribution payable |
|
|
665,698 |
|
|
|
|
|
Accrued expenses |
|
|
54,388 |
|
|
|
|
|
|
|||||||
|
TOTAL LIABILITIES |
|
|
|
|
|
1,345,486 |
|
|
|
|||||||
|
Net assets for 12,523,736 shares outstanding |
|
|
|
|
$ |
116,562,675 |
|
|
|
|||||||
|
Net Assets Consist of: |
|
|
|
|
|
|
|
|
Paid in capital |
|
|
|
|
$ |
135,797,751 |
|
|
Net unrealized depreciation of investments |
|
|
|
|
|
(5,388,813 |
) |
|
Accumulated net realized loss on investments |
|
|
|
|
|
(14,202,965 |
) |
|
Undistributed net investment income |
|
|
|
|
|
356,702 |
|
|
|
|||||||
|
TOTAL NET ASSETS |
|
|
|
|
$ |
116,562,675 |
|
|
|
|||||||
|
Net Asset Value, Offering Price and Redemption Proceeds Per Share |
|
|
|
|
|
|
|
|
Class A Shares: |
|
|
|
|
|
|
|
|
$108,184,010 ÷ 11,623,518 shares outstanding |
|
|
|
|
|
$9.31 |
|
|
|
|||||||
|
Offering Price Per Share (100/99.00 of $9.31)1 |
|
|
|
|
|
$9.40 |
|
|
|
|||||||
|
Redemption Proceeds Per Share |
|
|
|
|
|
$9.31 |
|
|
|
|||||||
|
Class F Shares: |
|
|
|
|
|
|
|
|
$8,378,665 ÷ 900,218 shares outstanding |
|
|
|
|
|
$9.31 |
|
|
|
|||||||
|
Offering Price Per Share (100/99.00 of $9.31)1 |
|
|
|
|
|
$9.40 |
|
|
|
|||||||
|
Redemption Proceeds Per Share (99/100 of $9.31)2 |
|
|
|
|
|
$9.22 |
|
|
|
|||||||
1 See "What Do Shares Cost?" in the Prospectus.
2 See "Sales Charge When You Redeem" in the Prospectus.
See Notes which are an integral part of the Financial Statements
SIX MONTHS ENDED MAY 31, 2000 (UNAUDITED)
|
Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends |
|
|
|
|
|
|
|
|
$ |
176,456 |
|
|
Interest |
|
|
|
|
|
|
|
|
|
5,205,820 |
|
|
|
|||||||||||
|
TOTAL INCOME |
|
|
|
|
|
|
|
|
|
5,382,276 |
|
|
|
|||||||||||
|
Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
Investment adviser fee |
|
|
|
|
$ |
261,723 |
|
|
|
|
|
|
Administrative personnel and services fee |
|
|
|
|
|
60,318 |
|
|
|
|
|
|
Custodian fees |
|
|
|
|
|
8,441 |
|
|
|
|
|
|
Transfer and dividend disbursing agent fees and expenses |
|
|
|
|
|
53,111 |
|
|
|
|
|
|
Directors'/Trustees' fees |
|
|
|
|
|
1,769 |
|
|
|
|
|
|
Auditing fees |
|
|
|
|
|
5,056 |
|
|
|
|
|
|
Legal fees |
|
|
|
|
|
1,701 |
|
|
|
|
|
|
Portfolio accounting fees |
|
|
|
|
|
28,794 |
|
|
|
|
|
|
Distribution services fee--Class A Shares |
|
|
|
|
|
304,411 |
|
|
|
|
|
|
Distribution services fee--Class F Shares |
|
|
|
|
|
6,823 |
|
|
|
|
|
|
Shareholder services fee--Class A Shares |
|
|
|
|
|
152,206 |
|
|
|
|
|
|
Shareholder services fee--Class F Shares |
|
|
|
|
|
11,371 |
|
|
|
|
|
|
Share registration costs |
|
|
|
|
|
13,578 |
|
|
|
|
|
|
Printing and postage |
|
|
|
|
|
28,665 |
|
|
|
|
|
|
Insurance premiums |
|
|
|
|
|
2,082 |
|
|
|
|
|
|
Taxes |
|
|
|
|
|
4,522 |
|
|
|
|
|
|
Miscellaneous |
|
|
|
|
|
1,577 |
|
|
|
|
|
|
|
|||||||||||
|
TOTAL EXPENSES |
|
|
|
|
|
946,148 |
|
|
|
|
|
|
|
|||||||||||
|
Waivers: |
|
|
|
|
|
|
|
|
|
|
|
|
Waiver of investment adviser fee |
$ |
(16,508 |
) |
|
|
|
|
|
|
|
|
|
Waiver of distribution services fee--Class A Shares |
|
(182,647 |
) |
|
|
|
|
|
|
|
|
|
Waiver of distribution services fee--Class F Shares |
|
(910 |
) |
|
|
|
|
|
|
|
|
|
Waiver of shareholder services fee--Class F Shares |
|
(1,365 |
) |
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
TOTAL WAIVERS |
|
|
|
|
|
(201,430 |
) |
|
|
|
|
|
|
|||||||||||
|
Net expenses |
|
|
|
|
|
|
|
|
|
744,718 |
|
|
|
|||||||||||
|
Net investment income |
|
|
|
|
|
|
|
|
|
4,637,558 |
|
|
|
|||||||||||
|
Realized and Unrealized Loss on Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
Net realized loss on investments |
|
|
|
|
|
|
|
|
|
(368,863 |
) |
|
Net change in unrealized depreciation of investments |
|
|
|
|
|
|
|
|
|
(1,883,721 |
) |
|
|
|||||||||||
|
Net realized and unrealized loss on investments |
|
|
|
|
|
|
|
|
|
(2,252,584 |
) |
|
|
|||||||||||
|
Change in net assets resulting from operations |
|
|
|
|
|
|
|
|
$ |
2,384,974 |
|
|
|
|||||||||||
See Notes which are an integral part of the Financial Statements
|
|
|
Six Months |
|
|
Year Ended |
|
||
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
|
|
|
Operations: |
|
|
|
|
|
|
|
|
|
Net investment income |
|
$ |
4,637,558 |
|
|
$ |
8,918,373 |
|
|
Net realized loss on investments ($(368,863) and ($3,092,726), respectively, as computed for federal tax purposes) |
|
|
(368,863 |
) |
|
|
(3,085,078 |
) |
|
Net change in unrealized depreciation |
|
|
(1,883,721 |
) |
|
|
(2,933,257 |
) |
|
|
||||||||
|
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
2,384,974 |
|
|
|
2,900,038 |
|
|
|
||||||||
|
Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
Distributions from net investment income |
|
|
|
|
|
|
|
|
|
Class A Shares |
|
|
(4,034,636 |
) |
|
|
(8,142,077 |
) |
|
Class F Shares |
|
|
(305,841 |
) |
|
|
(807,850 |
) |
|
|
||||||||
|
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS |
|
|
(4,340,477 |
) |
|
|
(8,949,927 |
) |
|
|
||||||||
|
Share Transactions: |
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares |
|
|
46,301,393 |
|
|
|
163,459,402 |
|
|
Net asset value of shares issued to shareholders in payment of distributions declared |
|
|
2,652,177 |
|
|
|
6,532,660 |
|
|
Cost of shares redeemed |
|
|
(79,407,704 |
) |
|
|
(129,540,668 |
) |
|
|
||||||||
|
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS |
|
|
(30,454,134 |
) |
|
|
40,451,394 |
|
|
|
||||||||
|
Change in net assets |
|
|
(32,409,637 |
) |
|
|
34,401,505 |
|
|
|
||||||||
|
Net Assets: |
|
|
|
|
|
|
|
|
|
Beginning of period |
|
|
148,972,312 |
|
|
|
114,570,807 |
|
|
|
||||||||
|
End of period (including undistributed net investment income of $356,702 and $59,621, respectively) |
|
$ |
116,562,675 |
|
|
$ |
148,972,312 |
|
|
|
||||||||
See Notes which are an integral part of the Financial Statements
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
|
|
|
Six Months |
|
|
Year Ended November 30, |
|||||||||||||
|
|
|
2000 |
|
|
1999 |
|
|
1998 |
|
|
1997 |
|
|
1996 |
|
|
1995 |
|
|
Net Asset Value, Beginning of Period |
|
$ 9.45 |
|
|
$ 9.82 |
|
|
$ 9.95 |
|
|
$ 9.91 |
|
|
$ 9.97 |
|
|
$ 9.48 |
|
|
Income From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
0.33 |
|
|
0.57 |
|
|
0.60 |
|
|
0.59 |
|
|
0.59 |
|
|
0.55 |
|
|
Net realized and unrealized gain (loss) on investments |
|
(0.16 |
) |
|
(0.35 |
) |
|
(0.13 |
) |
|
0.04 |
|
|
(0.06 |
) |
|
0.49 |
|
|
|
||||||||||||||||||
|
TOTAL FROM INVESTMENT OPERATIONS |
|
0.17 |
|
|
0.22 |
|
|
0.47 |
|
|
0.63 |
|
|
0.53 |
|
|
1.04 |
|
|
|
||||||||||||||||||
|
Less Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions from net investment income |
|
(0.31 |
) |
|
(0.59 |
) |
|
(0.60 |
) |
|
(0.59 |
) |
|
(0.59 |
) |
|
(0.55 |
) |
|
|
||||||||||||||||||
|
Net Asset Value, End of Period |
|
$ 9.31 |
|
|
$ 9.45 |
|
|
$ 9.82 |
|
|
$ 9.95 |
|
|
$ 9.91 |
|
|
$ 9.97 |
|
|
|
||||||||||||||||||
|
Total Return1 |
|
1.83 |
% |
|
2.31 |
% |
|
4.81 |
% |
|
6.52 |
% |
|
5.54 |
% |
|
11.29 |
% |
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Expenses |
|
1.15 |
%2 |
|
1.10 |
% |
|
1.10 |
% |
|
1.10 |
% |
|
1.10 |
% |
|
1.10 |
% |
|
|
||||||||||||||||||
|
Net investment income |
|
7.08 |
%2 |
|
5.98 |
% |
|
6.02 |
% |
|
5.90 |
% |
|
6.04 |
% |
|
6.13 |
% |
|
|
||||||||||||||||||
|
Expense waiver/reimbursement3 |
|
0.33 |
%2 |
|
0.37 |
% |
|
0.47 |
% |
|
0.49 |
% |
|
0.56 |
% |
|
0.43 |
% |
|
|
||||||||||||||||||
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Net assets, end of period (000 omitted) |
|
$108,184 |
|
$139,452 |
|
$101,213 |
|
$94,952 |
|
$116,174 |
|
$138,451 |
|
|||||
|
|
||||||||||||||||||
|
Portfolio turnover |
|
12 |
% |
|
29 |
% |
|
93 |
% |
|
62 |
% |
|
104 |
% |
|
63 |
% |
|
|
||||||||||||||||||
1 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.
2 Computed on an annualized basis.
3 This voluntary expense decrease is reflected in both the expense and the net investment income ratios shown above.
See Notes which are an integral part of the Financial Statements
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
|
|
|
Six Months |
|
|
Year Ended November 30, |
|||||||||||||
|
|
|
2000 |
|
|
1999 |
|
|
1998 |
|
|
1997 |
|
|
1996 |
|
|
1995 |
|
|
Net Asset Value, Beginning of Period |
|
$ 9.45 |
|
|
$ 9.82 |
|
|
$ 9.95 |
|
|
$ 9.91 |
|
|
$ 9.97 |
|
|
$ 9.48 |
|
|
Income From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
0.35 |
|
|
0.57 |
|
|
0.61 |
|
|
0.60 |
|
|
0.66 |
|
|
0.61 |
|
|
Net realized and unrealized gain (loss) on investments |
|
(0.17 |
) |
|
(0.34 |
) |
|
(0.13 |
) |
|
0.04 |
|
|
(0.12 |
) |
|
0.44 |
|
|
|
||||||||||||||||||
|
TOTAL FROM INVESTMENT OPERATIONS |
|
0.18 |
|
|
0.23 |
|
|
0.48 |
|
|
0.64 |
|
|
0.54 |
|
|
1.05 |
|
|
|
||||||||||||||||||
|
Less Distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions from net investment income |
|
(0.32 |
) |
|
(0.60 |
) |
|
(0.61 |
) |
|
(0.60 |
) |
|
(0.60 |
) |
|
(0.56 |
) |
|
|
||||||||||||||||||
|
Net Asset Value, End of Period |
|
$ 9.31 |
|
|
$ 9.45 |
|
|
$ 9.82 |
|
|
$ 9.95 |
|
|
$ 9.91 |
|
|
$ 9.97 |
|
|
|
||||||||||||||||||
|
Total Return1 |
|
1.88 |
% |
|
2.42 |
% |
|
4.91 |
% |
|
6.63 |
% |
|
5.64 |
% |
|
11.39 |
% |
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Expenses |
|
1.05 |
%2 |
|
1.00 |
% |
|
1.00 |
% |
|
1.00 |
% |
|
1.00 |
% |
|
1.00 |
% |
|
|
||||||||||||||||||
|
Net investment income |
|
7.18 |
%2 |
|
6.00 |
% |
|
6.09 |
% |
|
6.00 |
% |
|
6.14 |
% |
|
6.22 |
% |
|
|
||||||||||||||||||
|
Expense waiver/reimbursement3 |
|
0.08 |
%2 |
|
0.12 |
% |
|
0.22 |
% |
|
0.24 |
% |
|
0.31 |
% |
|
0.18 |
% |
|
|
||||||||||||||||||
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Net assets, end of period (000 omitted) |
|
$8,379 |
|
$9,520 |
|
$13,358 |
|
$8,807 |
|
$8,938 |
|
$10,183 |
|
|||||
|
|
||||||||||||||||||
|
Portfolio turnover |
|
12 |
% |
|
29 |
% |
|
93 |
% |
|
62 |
% |
|
104 |
% |
|
63 |
% |
|
|
||||||||||||||||||
1 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.
2 Computed on an annualized basis.
3 This voluntary expense decrease is reflected in both the expense and the net investment income ratios shown above.
See Notes which are an integral part of the Financial Statements
MAY 31, 2000 (UNAUDITED)
Federated Fixed Income Securities, Inc. (formerly Fixed Income Securities, Inc.) (the "Corporation") is registered under the Investment Company Act of 1940, as amended (the "Act") as an open-end, management investment company. The Corporation consists of three portfolios. The financial statements included herein are only those of Federated Limited Term Fund (the "Fund"), a diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder's interest is limited to the portfolio in which shares are held. The Fund offers two classes of shares: Class A Shares and Class F Shares. The investment objective of the Fund is to seek a high level of current income consistent with minimum fluctuation in principal value through compilation of a portfolio, the weighted average duration which will at all times be limited to three years.
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles.
U.S. government securities, listed corporate bonds, (other fixed-income and asset backed securities), and unlisted securities and private placement securities are generally valued at the mean of the latest bid and asked price as furnished by an independent pricing service. Short-term securities are valued at the prices provided by an independent pricing service. However, short-term securities with remaining maturities of 60 days or less at the time of purchase may be valued at amortized cost, which approximates fair market value. Investments in other open-ended registered investment companies are valued at net asset value.
Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund may invest in Federated Core Trust (the "Core Trust") which is managed by Federated Investment Management Company, the Fund's Adviser (or an affiliate of the Fund's Adviser). The Core Trust is and open-end management company registered under the Investment Company Act of 1940, available to to only registered investment companies and other institutional investors. The investment objective of High Yield Portfolio, a series of Core Trust, is to seek high current income by investing in a diversified portfolio of fixed income securities. Federated receives no advisory or administrative fees on behalf of Core Trust. Income distributions from the Core Trust are declared and paid annually, and are recorded by the fund as capital gains received.
It is the policy of the Fund to require the custodian bank to take possession, to have legally segregated in the Federal Reserve Book Entry System, or to have segregated within the custodian bank's vault, all securities held as collateral under repurchase agreement transactions. Additionally, procedures have been established by the Fund to monitor, on a daily basis, the market value of each repurchase agreement's collateral to ensure that the value of collateral at least equals the repurchase price to be paid under the repurchase agreement.
The Fund will only enter into repurchase agreements with banks and other recognized financial institutions, such as broker/dealers, which are deemed by the Fund's adviser to be creditworthy pursuant to the guidelines and/or standards reviewed or established by the Board of Directors (the "Directors"). Risks may arise from the potential inability of counterparties to honor the terms of the repurchase agreement. Accordingly, the Fund could receive less than the repurchase price on the sale of collateral securities. The Fund, along with the other affiliated investment companies, may utilize a joint trading account for the purpose of entering into one or more repurchase agreements.
Interest income and expenses are accrued daily. Bond premium and discount, if applicable, are amortized as required by the Internal Revenue Code, as amended (the "Code"). Dividend income and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at fair value. The Fund offers multiple classes of shares, which differ in their respective distribution and service fees. All shareholders bear the common expenses of the Fund based on average daily net assets of each class, without distinction between share classes. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share dividend rates are generally due to differences in separate class expense.
It is the Fund's policy to comply with the provisions of the Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal tax is necessary.
At May 31, 2000, the Fund, for federal tax purposes, had a capital loss carryforward of $13,823,671, which will reduce the Fund's taxable income arising from future net realized gain on investments, if any, to the extent permitted by the Code, and thus will reduce the amount of the distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal tax. Pursuant to the Code, such capital loss carryforward will expire as follows:
|
Expiration Year |
|
Expiration Amount |
|
2002 |
|
$8,964,278 |
|
|
||
|
2003 |
|
1,407,407 |
|
|
||
|
2004 |
|
97,949 |
|
|
||
|
2005 |
|
261,311 |
|
|
||
|
2007 |
|
3,092,726 |
|
|
||
The Fund may engage in when-issued or delayed delivery transactions. The Fund records when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on theses transactions due to changes in market conditions or failure of counterparties to perform under the contract.
Restricted securities are securities that may only be resold upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale, at the issuer's expense either upon demand by the Fund or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid under criteria established by the Directors. The Fund will not incur any registration costs upon such resales. The Fund's restricted securities are valued at the price provided by dealers in the secondary market or, if no market prices are available, at the fair value as determined by the Fund's pricing committee.
Additional information on each restricted security held at May 31, 2000 is as follows:
|
Security |
|
Acquisition Date |
|
Acquisition Cost |
|
125 Home Loan Owner Trust 1998-1A, 12.16%, 2/15/2029 |
|
7/30/1998 |
|
$ 1,499,532 |
|
|
||||
|
Banco National de Mexico SA, 6.25%, 12/1/2003 |
|
1/9/1997 |
|
1,296,891 |
|
|
||||
|
Bosque Asset Corp., Class 1, 7.66%, 6/5/2002 |
|
6/19/1997 |
|
412,825 |
|
|
||||
|
Camuzzi Gas, Bond, 9.25%, 12/15/2001 |
|
3/24/1998 |
|
1,306,888 |
|
|
||||
|
FMAC Loan Receivables Trust 1997-A, 2.77%, 4/15/2019 |
|
6/16/1997 |
|
481,984 |
|
|
||||
|
GE Capital Mortgage Services, Inc., 1994-3, 6.50%, 1/25/2024 |
|
7/10/1997 |
|
198,254 |
|
|
||||
|
K Mart CMBS Financing, Inc. Series 1997-1, 7.29%, 3/1/2007 |
|
2/27/1997 |
|
1,900,000 |
|
|
||||
|
Mellon Residential Funding Corp. 1998-TBC1, 6.59%, 10/25/2028 |
|
12/16/1998 |
|
462,532 |
|
|
||||
|
Merrill Lynch Mortgage Investors, Inc. 1993-FF3, 5.50%, 11/20/2029 |
|
5/11/1999 |
|
1,964,570 |
|
|
||||
|
Paragon Auto Receivables Owner Trust 1998-A, 7.47%, 11/15/2004 |
|
5/14/1998 |
|
922,363 |
|
|
||||
|
Paragon Auto Receivables Owner Trust 1998-B, 7.03%, 3/15/2005 |
|
9/9/1998 |
|
808,624 |
|
|
||||
|
Saxon Asset Securities Trust 1998-1, 8.00%, 12/25//2027 |
|
3/5/1998 |
|
1,372,640 |
|
|
||||
|
SMFC Trust Asset-Backed Certificates Series 1997-A, 7.41%, 1/28/2025 |
|
2/4/1998 |
|
1,190,362 |
|
|
||||
|
Team Fleet Financing Corp. Series 1997-1, 7.80%, 5/15/2003 |
|
4/24/1997 |
|
1,946,344 |
|
|
||||
The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ from those estimated.
Investment transactions are accounted for a trade date basis.
At May 31, 2000, par value shares ($0.001 per share) authorized were as follows:
|
Share Class Name |
|
Number of Par |
|
Class A Shares |
|
1,000,000,000 |
|
Class F Shares |
|
1,000,000,000 |
|
TOTAL |
|
2,000,000,000 |
Transactions in capital stock were as follows:
|
|
|
Six Months Ended |
|
Year Ended |
||||||||||
|
Class A Shares: |
|
Shares |
|
|
|
Amount |
|
|
Shares |
|
|
|
Amount |
|
|
Shares sold |
|
4,887,979 |
|
|
$ |
45,888,517 |
|
|
16,591,622 |
|
|
$ |
160,553,694 |
|
|
Shares issued to shareholders in payment of distributions declared |
|
267,166 |
|
|
|
2,508,026 |
|
|
619,730 |
|
|
|
5,967,134 |
|
|
Shares redeemed |
|
(8,288,979 |
) |
|
|
(77,846,169 |
) |
|
(12,757,200 |
) |
|
|
(122,750,761 |
) |
|
|
||||||||||||||
|
NET CHANGE RESULTING FROM CLASS A SHARE TRANSACTIONS |
|
(3,133,834 |
) |
|
$ |
(29,449,626 |
) |
|
4,454,152 |
|
|
$ |
43,770,067 |
|
|
|
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended |
|
Year Ended |
||||||||||
|
Class F Shares: |
|
Shares |
|
|
|
Amount |
|
|
Shares |
|
|
|
Amount |
|
|
Shares sold |
|
43,804 |
|
|
$ |
412,876 |
|
|
300,562 |
|
|
$ |
2,905,708 |
|
|
Shares issued to shareholders in payment of distributions declared |
|
15,356 |
|
|
|
144,151 |
|
|
58,565 |
|
|
|
565,526 |
|
|
Shares redeemed |
|
(166,392 |
) |
|
|
(1,561,535 |
) |
|
(712,506 |
) |
|
|
(6,789,907 |
) |
|
|
||||||||||||||
|
NET CHANGE RESULTING FROM CLASS F SHARE TRANSACTIONS |
|
(107,232 |
) |
|
$ |
(1,004,508 |
) |
|
(353,379 |
) |
|
$ |
(3,318,673 |
) |
|
|
||||||||||||||
|
NET CHANGE RESULTING FROM SHARE TRANSACTIONS |
|
(3,241,066 |
) |
|
$ |
(30,454,134 |
) |
|
4,100,773 |
|
|
$ |
40,451,394 |
|
|
|
||||||||||||||
Federated Investment Management Company, the Fund's investment adviser (the "Adviser"), receives for its services an annual investment Adviser fee equal to 0.40% of the Fund's average daily net assets. The Adviser may voluntarily choose to waive any portion of its fee and/or reimburse certain operating expenses of the Fund. The Adviser can modify or terminate this voluntary waiver and/or reimbursement at any time at its sole discretion.
Federated Services Company ("FServ"), under the Administrative Services Agreement, provides the Fund with administrative personnel and services. The fee paid to FServ is based on a scale that ranges from 0.15% to 0.075% of the average aggregate daily net assets of all funds advised by subsidiaries of Federated Investors, Inc., subject to a $125,000 minimum per portfolio and $30,000 per each additional class.
The Fund has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Act. Under the terms of the Plan, the Fund will compensate Federated Securities Corp. ("FSC"), the principal distributor, of the Fund to finance activities intended to result in the sale of the Fund's Class A Shares and Class F Shares. The Plan provides that the Fund may incur distribution expenses according to the following schedule annually, to compensate FSC.
|
Share Class Name |
|
Percentage of |
|
Class A Shares |
|
0.50% |
|
Class F Shares |
|
0.15% |
The distributor may voluntarily choose to waive any portion of its fee. The distributor can modify or terminate this voluntary waiver at any time at its sole discretion.
Under the terms of a Shareholder Services Agreement with Federated Shareholder Services Company ("FSSC"), the Fund will pay FSSC up to 0.25% of average daily net assets of the Fund shares for the period. The fee paid to FSSC is used to finance certain services for shareholders and to maintain shareholder accounts. FSSC may voluntarily choose to waive any portion of its fee. FSSC can modify or terminate this voluntary waiver at any time at its sole discretion.
FServ, through its subsidiary FSSC, serves as transfer and dividend disbursing agent for the Fund. The fee paid to FSSC is based on the size, type, and number of accounts and transactions made by shareholders.
FServ maintains the Fund's accounting records for which it receives a fee. The fee is based on the level of the Fund's average daily net assets for the period, plus out-of-pocket expenses.
Certain of the Officers and Directors of the Corporation are Officers and Directors or Trustees of the above companies.
Purchases and sales of investments, excluding short-term securities (and in-kind contributions), for the period ended May 31, 2000, were as follows:
|
Purchases |
|
$15,564,754 |
|
|
||
|
Sales |
|
$31,974,306 |
|
|
||
Chairman
President
Chief Investment Officer
Executive Vice President
Executive Vice President
Executive Vice President and Secretary
Treasurer
Assistant Secretary
Mutual funds are not bank deposits or obligations, are not guaranteed by any bank, and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.
This report is authorized for distribution to prospective investors only when preceded or accompanied by the fund's prospectus which contains facts concerning its objective and policies, management fees, expenses and other information.
Federated
World-Class Investment Manager
SEMI-ANNUAL REPORT
AS OF MAY 31, 2000
Established 1991
Federated
Federated Limited Term Fund
Federated Investors Funds
5800
Corporate Drive
Pittsburgh, PA
15237-7000
1-800-341-7400
www.federatedinvestors.com
Federated
Securities Corp., Distributor
Cusip 31417P106
Cusip 31417P205
3070201 (7/00)
Federated is a registered mark of Federated Investors, Inc. 2000 ©Federated Investors, Inc.
Federated Investors
World-Class Investment Manager
Richard B. Fisher
President
Federated Limited Term Municipal Fund
Dear Shareholder:
Federated Limited Term Municipal Fund was created in 1993, and I am pleased to present its seventh Semi-Annual Report. The fund's total net assets are $85 million and are invested in 85 tax-free issues. These tax-free bonds have an average maturity of under three years and, on average, hold an "A" rating.
This report covers the first half of the fund's fiscal year, which is the six-month reporting period from December 1, 1999 through May 31, 2000. It begins with an interview by the fund's portfolio manager, Jeff A. Kozemchak, Senior Vice President of Federated Investment Management Company. Following his discussion are three additional items of shareholder interest. First is a series of graphs showing the fund's long-term investment performance. Second is a complete listing of the fund's holdings, and third is the publication of the fund's financial statements.
The fund pursues attractive tax-free income1 through a portfolio of short-term municipal bonds, and its yield is targeted between the rates of tax-free money market fund instruments and longer term municipal bonds. As a result, the fund has the potential to offer more income than money market instruments, but less income than long-term, tax-free municipal bonds.2
1 Income may be subject to the federal alternative minimum tax and state and local taxes.
2 Unlike the fund whose share price fluctuates, money market funds seek to maintain a stable $1.00 share value.
During the reporting period, which was marked by rising rates, the fund performed relatively well. Income distributions accounted for the fund's total return performance, which was less than the 1.14% average return for funds in its peer group, the Lipper Short-Term Municipal Debt Funds Average.3 Individual share class total return performance for the six-month reporting period, including income distributions, follows.4
|
|
|
Total Return |
|
Income Distributions |
|
Net Asset Value Change |
|
Class A Shares |
|
0.82% |
|
$0.197 |
|
$9.60 to $9.48 = (1.25%) |
|
Class F Shares |
|
0.94% |
|
$0.209 |
|
$9.60 to $9.48 = (1.25%) |
As of May 31, 2000, the fund's broadly diversified portfolio owned 85 municipal securities, which included bonds issued for hospitals, single-family housing authorities, electricity revenue and resource recovery bonds.
Thank you for choosing Federated Limited Term Municipal Fund as a relatively conservative way to pursue tax-free income from short-term municipal issues. Remember, reinvesting your monthly dividends and adding to your account on a regular basis are two convenient ways to gain the benefit of compounding.5
As always, we welcome your comments and suggestions.
Sincerely,
Richard B. Fisher
Richard B. Fisher
President
July 15, 2000
3 Lipper figures represent the average of the total returns reported by all of the mutual funds designated by Lipper Analytical Services, Inc. as falling into the category indicated. These figures do not take sales charges into account.
4 Performance quoted is based on net asset value, represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns for the period, based on offering price (i.e., less any applicable sales charge), for Class A and F Shares were (0.22%) and (0.04%), respectively.
5 Systematic investing does not ensure a profit or protect against loss in declining markets.
Jeff A. Kozemchak, CFA
Senior Vice President
Federated Investment Management Company
Continued strong economic growth in the face of a series of Federal Reserve Board (the "Fed") interest rate increases characterized the reporting period. Gross Domestic Product (GDP) growth in the third and fourth quarters of 1999 was 5.7% and 7.3%, respectively. This robust growth continued into the first quarter of 2000, with preliminary GDP reported as 5.4%. This marked the first time in 15 years that real GDP growth for three consecutive quarters has averaged over 6%. Clearly, this rate of growth exceeds widely accepted measures of the non-inflationary potential of the economy. The consumer continued to drive economic activity. Retail sales were strong and ended the reporting period with a 10.3% year-over-year increase. Labor markets remained tight. The average monthly increase in non-farm payrolls during the reporting period was $278,000, and the unemployment rate ended the reporting period at 4.1%, near the 29-year low set in January 2000.
Benign inflation measures through much of the reporting period served to offset the strong economic growth. Surging energy prices resulted in increases in the Producer Price Index (PPI), particularly in the first quarter of 2000. However, the core PPI rate was flat to negative for much of the reporting period. Additionally, productivity gains continued to be a factor in dampening the impact of tightness in the labor markets and creeping wage pressures. However, as the reporting period ended and first quarter inflation data emerged, signs of inflationary pressures appeared to be building. The Personal Consumption Expenditure Price Index, a measure watched closely by the Fed, rose at a 3.2% rate in the first quarter of 2000. This was the largest increase since 1994. The Employment Cost Index, a closely watched measure of wage and benefit costs, increased by 4.1%. This was the largest increase since 1991. In addition, the core Consumer Price Index increased by 0.4% in April 2000, well above the 0.2% expected. However, in late May 2000, some signs of moderation in manufacturing, housing, and employment soothed the market.
During the reporting period, interest rates generally rose along the short-term part of the yield curve, as the market built in expectations that the Fed would need to tighten monetary policy. In fact, the Fed did incrementally increase the federal funds target rate by 25 basis points each in February 2000 and March 2000, and by 50 basis points in May 2000. The target rate ended the reporting period at 6.50%. Short-term market interest rates, in turn, reflected the robust economic conditions and expectations regarding Fed policy.
Interest rates in the short-term municipal market reflected the Fed's actions to raise the target rate over 100 basis points. Over the reporting period, short-term municipal yields rose over 80 basis points (0.80%) for one-year bonds to 4.90%, and 70 basis points (0.70%) for three-year bonds to 5.20%.
Total returns reflected the difficult and rising interest rate environment and bond prices declined over the reporting period. Investors in the fund's Class A Shares received a total return of 0.82% and investors in the fund's Class F Shares received a total return of 0.94% based on net asset value.1 These results fell slightly short of the 1.14% average return for the funds in its peer group, the Lipper Short-Term Municipal Debt Funds Average. On a taxable equivalent basis, the total returns for the Class A Shares and Class F Shares were 2.18% and 2.38%, respectively, which were only marginally below the returns of taxable money market funds over the six-month reporting period.
1 Performance quoted is based on net asset value, represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns for the period, based on offering price (i.e., less any applicable sales charge), for Class A and F Shares were (0.22%) and (0.04%), respectively.
For the six-month reporting period, the fund's tax-exempt income totaled $0.197 per share for the Class A Shares and $0.209 per share for the Class F Shares. These income levels correspond to annualized tax-exempt distribution rates of 4.17% and 4.42% for investors in the Class A and F Shares, respectively.
Also, as of May 31, 2000, the fund posted 30-day SEC yields of 4.36% for the Class A Shares and 4.61% for the Class F Shares.2
The Fed has raised interest rates six times over the past year, totaling 175 basis points. Typically, there is a 6- to 12-month lag effect of monetary policy changes (i.e., interest rate increases) on the economy. While some signs of slowing have recently appeared, it is too early to say if these are part of a fundamental slowdown or just a brief statistical pause in economic growth. We expect the Fed to remain rather vigilant and possibly tighten further if the economy shows signs of re-acceleration later in the summer or inflationary surprises appear. Accordingly, we will continue to position the fund for higher interest rates over the latter half of the year and will keep the average maturity on the shorter end of its target range. We will continue to watch, with great interest, market developments in order to best serve our municipal clients.
2 The 30-day SEC yield is calculated by dividing the net investment income per share for the prior 30 days by the maximum offering price per share on that date. The figure is compounded and annualized The 30-day SEC yield based on offering price (i.e., less any applicable sales charge), for Class A Shares was 4.31%.
If you made an initial investment of $8,000 in the Class A Shares of Federated Limited Term Municipal Fund on 9/1/93, reinvested your dividends and capital gains, and did not redeem any shares, your account would have been worth $9,984 on 5/31/00. You would have earned a 3.34%1 average annual total return for the investment life span.
One key to investing wisely is to reinvest all distributions in fund shares. This increases the number of shares on which you can earn future dividends, and you gain the benefit of compounding.
As of 6/30/00, the Class A Shares' 1-year, 5-year, and since inception (9/1/93) average annual total returns were 1.08%, 3.43%, and 3.39%, respectively. Class F Shares' 1-year, 5-year, and since inception (9/1/93) average annual total returns were 1.40%, 3.90% and 3.78%, respectively.2
[Graphic Representation Omitted - See Appendix]
1 Total return represents the change in the value of an investment after reinvesting all income and capital gains, and takes into account the 1.00% sales charge applicable to an initial investment in Class A Shares. Data quoted represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost.
2 The total returns stated take into account all applicable sales charges. The maximum sales charges and contingent deferred sales charges for the fund are as follows: Class A Shares, 1.00% sales charge; Class F Shares, 1.00% contingent deferred sales charge.
$1,000 initial investment and subsequent investments of $1,000 each year for seven years (reinvesting all dividends and capital gains) grew to $7,836.
With this approach, the key is consistency.
If you had started investing $1,000 annually in the Class A Shares of Federated Limited Term Municipal Fund on 9/1/93, reinvested your dividends and capital gains and did not redeem any shares, you would have invested only $7,000, but your account would have reached a total value of $7,8361 by 5/31/00. You would have earned an average annual total return of 3.06%.
A practical investment plan helps you pursue income by investing in short-term municipal bonds. Through systematic investing, you buy shares on a regular basis and reinvest all earnings. An investment plan works for you when you invest only $1,000 annually. You can take it one step at a time. Put time, money and compounding to work.
[Graphic Representation Omitted - See Appendix]
1 This chart assumes that the subsequent annual investments are made on the last day of each anniversary month. No method of investing can guarantee a profit or protect against loss in down markets.
MAY 31, 2000 (UNAUDITED)
|
Principal |
|
|
|
Credit |
1 |
Value |
||
|
|
|
|
LONG-TERM MUNICIPALS--93.2%2 |
|
|
|
|
|
|
|
|
|
Alabama--2.0% |
|
|
|
|
|
|
$ |
1,236,722 |
3 |
Birmingham, AL, Fire Equipment Lease Obligation No. 1, 5.60%, 11/5/2004 |
|
NR |
|
$ |
1,210,516 |
|
|
515,000 |
|
Mobile, AL, GO Warrants, 4.95%, 8/15/2000 |
|
NR |
|
|
515,314 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
1,725,830 |
|
|
||||||||
|
|
|
|
Alaska--2.7% |
|
|
|
|
|
|
|
80,000 |
|
Alaska Industrial Development and Export Authority, Power Revenue Bonds, First Series, 4.75% (Snettisham Hydroelectric Project), 1/1/2002 |
|
AAA |
|
|
79,666 |
|
|
75,000 |
|
Alaska Industrial Development and Export Authority, Power Revenue Bonds, First Series, 4.75% (Snettisham Hydroelectric Project), 1/1/2003 |
|
AAA |
|
|
74,271 |
|
|
1,065,000 |
|
Alaska Industrial Development and Export Authority, Power Revenue Bonds, First Series, 4.75% (Snettisham Hydroelectric Project)/ (AMBAC INS), 1/1/2002 |
|
AAA |
|
|
1,057,044 |
|
|
1,070,000 |
|
Alaska Industrial Development and Export Authority, Power Revenue Bonds, First Series, 5.35% (Snettisham Hydroelectric Project)/ (AMBAC INS), 1/1/2003 |
|
AAA |
|
|
1,052,259 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
2,263,240 |
|
|
||||||||
|
|
|
|
California--2.9% |
|
|
|
|
|
|
|
380,000 |
|
Delta Counties, CA, Home Mortgage Finance Authority, SFM Revenue Bonds, Series 1998A, 4.85% (MBIA INS), 12/1/2008 |
|
AAA |
|
|
366,229 |
|
|
1,000,000 |
|
Sacramento County, CA, HDA, Multifamily Housing Revenue Bonds, Series I, 4.80% TOBs (Rancho Natomas Apartments)/(Dai-Ichi Kangyo Bank Ltd., Tokyo LOC), Mandatory Tender 12/15/2000 |
|
A3 |
|
|
999,180 |
|
|
1,160,000 |
|
West Sacramento, CA, Limited Obligation Refunding Improvement Bonds, 4.80% (West Sacramento Reassessment District of 1998)/(Original Issue Yield: 4.90%), 9/2/2002 |
|
NR |
|
|
1,138,818 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
2,504,227 |
|
|
||||||||
|
|
|
|
Colorado--5.8% |
|
|
|
|
|
|
|
375,000 |
|
Colorado HFA, SFM Revenue Bond, Series C-1, 7.65%, 12/1/2025 |
|
Aa2 |
|
|
393,697 |
|
|
660,000 |
|
Colorado HFA, Single Family Program Senior Bonds, Series 1998A-3, 4.60%, 11/1/2016 |
|
Aa2 |
|
|
658,621 |
|
|
1,385,000 |
|
Colorado HFA, Single Family Program Senior Bonds, Series 1998C-1, 4.70%, 5/1/2020 |
|
Aa2 |
|
|
1,368,186 |
|
Principal |
|
|
|
Credit |
1 |
Value |
||
|
|
|
|
LONG-TERM MUNICIPALS--continued2 |
|
|
|
|
|
|
|
|
|
Colorado--continued |
|
|
|
|
|
|
$ |
495,000 |
|
Colorado HFA, Single Family Program Senior Bonds, Series 1999 A-3, 4.25%, 10/1/2005 |
|
Aa2 |
|
$ |
483,684 |
|
|
2,000,000 |
|
Denver, CO, City & County Airport Authority, Airport System Revenue Bonds, Series 1996C, 5.05%, 11/15/2000 |
|
BBB+ |
|
|
2,001,320 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
4,905,508 |
|
|
||||||||
|
|
|
|
Florida--1.7% |
|
|
|
|
|
|
|
1,425,000 |
|
Pinellas County, FL, HFA, SFM Revenue Bonds, Series C, 6.45% (GNMA COL), 3/1/2029 |
|
Aaa |
|
|
1,448,512 |
|
|
||||||||
|
|
|
|
Hawaii--1.2% |
|
|
|
|
|
|
|
1,025,000 |
|
Hawaii State Department of Budget & Finance, Special Purpose Revenue Bonds, 4.65% (G.N. Wilcox Memorial Hospital), 7/1/2003 |
|
BBB+ |
|
|
990,088 |
|
|
||||||||
|
|
|
|
Idaho--3.6% |
|
|
|
|
|
|
|
390,000 |
|
Idaho Health Facilities Authority, Hospital Revenue Bonds, Series 1998, 4.50% (Idaho Elks Rehabilitation Hospital)/(Original Issue Yield: 4.55%), 7/15/2002 |
|
BBB |
|
|
381,291 |
|
|
225,000 |
|
Idaho Health Facilities Authority, Hospital Revenue Bonds, Series 1998, 4.70% (Idaho Elks Rehabilitation Hospital)/(Original Issue Yield: 4.75%), 7/15/2004 |
|
BBB |
|
|
214,285 |
|
|
750,000 |
|
Idaho Health Facilities Authority, Improvement Refunding Revenue Bonds, 4.30% (Bannock Regional Medical Center)/(Original Issue Yield: 4.40%), 5/1/2002 |
|
BBB+ |
|
|
733,500 |
|
|
1,770,000 |
|
Idaho Housing Agency, SFM Bonds, Series B-2, 4.65%, 7/1/2028 |
|
Aaa |
|
|
1,708,050 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
3,037,126 |
|
|
||||||||
|
|
|
|
Illinois--10.0% |
|
|
|
|
|
|
|
1,730,000 |
|
Broadview, IL, Tax Increment Financing Revenue Bonds, 4.60%, 7/1/2004 |
|
NR |
|
|
1,667,547 |
|
|
890,000 |
|
Chicago, IL, Collateralized SFM Revenue Bonds, Series 1997B, 5.10% (GNMA Collateralized Home Mortgage Program COL), 9/1/2007 |
|
Aaa |
|
|
880,165 |
|
|
1,550,000 |
|
Chicago, IL, Collateralized SFM Revenue Bonds, Series A-1, 4.85% (GNMA Collateralized Home Mortgage Program COL), 3/1/2015 |
|
Aaa |
|
|
1,507,391 |
|
|
760,000 |
|
Illinois Development Finance Authority, Series 1995, Revenue Bonds, 5.80% (Catholic Charities Housing Development Corp.), 1/1/2007 |
|
NR |
|
|
742,125 |
|
|
435,000 |
|
Illinois Development Finance Authority, Mortgage Revenue Refunding Bonds, Series 1997A, 5.20% (MBIA INS), 7/1/2008 |
|
Aaa |
|
|
429,619 |
|
|
2,000,000 |
|
Illinois Development Finance Authority, Solid Waste Disposal Revenue Bonds, 7.125% (Waste Management, Inc.), 1/1/2001 |
|
BBB |
|
|
2,004,840 |
|
Principal |
|
|
|
Credit |
1 |
Value |
||
|
|
|
|
LONG-TERM MUNICIPALS--continued2 |
|
|
|
|
|
|
|
|
|
Illinois--continued |
|
|
|
|
|
|
$ |
615,000 |
|
Illinois Health Facilities Authority, Refunding Revenue Bonds, Series 1996B, 5.00% (Sarah Bush Lincoln Health Center)/(Original Issue Yield: 5.10%), 2/15/2001 |
|
A- |
|
$ |
613,985 |
|
|
670,000 |
|
Illinois Health Facilities Authority, Refunding Revenue Bonds, Series 1996B, 5.125% (Sarah Bush Lincoln Health Center)/(Original Issue Yield: 5.25%), 2/15/2002 |
|
A- |
|
|
662,429 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
8,508,101 |
|
|
||||||||
|
|
|
|
Indiana--4.2% |
|
|
|
|
|
|
|
630,000 |
|
Indiana Health Facility Financing Authority, Hospital Refunding Revenue Bonds, Series 1996, 5.625% (Hancock Memorial Hospital and Health Services), 8/15/2000 |
|
BBB+ |
|
|
630,164 |
|
|
685,000 |
|
Indiana Health Facility Financing Authority, Hospital Refunding Revenue Bonds, Series 1996, 5.625% (Hancock Memorial Hospital and Health Services), 8/15/2001 |
|
BBB+ |
|
|
684,116 |
|
|
725,000 |
|
Indiana Health Facility Financing Authority, Hospital Refunding Revenue Bonds, Series 1996, 5.625% (Hancock Memorial Hospital and Health Services), 8/15/2002 |
|
BBB+ |
|
|
721,600 |
|
|
1,355,000 |
|
Indiana Health Facility Financing Authority, Hospital Revenue Refunding Bonds, 4.50% (Floyd Memorial Hospital, IN)/(Original Issue Yield: 4.53%), 2/15/2005 |
|
A |
|
|
1,303,998 |
|
|
225,000 |
|
Marion County, IN Hospital Authority, Hospital Facility Revenue Refunding Bonds, 6.50% (Methodist Hospital of Indiana)/(Original Issue Yield: 7.374%), 9/1/2008 |
|
AAA |
|
|
230,036 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
3,569,914 |
|
|
||||||||
|
|
|
|
Kansas--2.8% |
|
|
|
|
|
|
|
335,000 |
|
Newton, KS, Hospital Revenue Refunding Bonds, Series 1998, 4.65% (Newton Healthcare Corp.)/(Original Issue Yield: 4.70%), 11/15/2001 |
|
BBB- |
|
|
330,514 |
|
|
370,000 |
|
Newton, KS, Hospital Revenue Refunding Bonds, Series 1998, 4.80% (Newton Healthcare Corp.)/(Original Issue Yield: 4.90%), 11/15/2003 |
|
BBB- |
|
|
356,417 |
|
|
780,000 |
|
Sedgwick & Shawnee Counties, KS, SFM Revenue Bonds, Series 1997A-1, 5.10% (GNMA Collateralized Home Mortgage Program COL), 12/1/2014 |
|
Aaa |
|
|
767,528 |
|
|
955,000 |
|
Sedgwick & Shawnee Counties, KS, SFM Revenue Bonds, Mortgage-Backed Securities Program, Series 1998 A-1, 5.00% (GNMA Collateralized Home Mortgage Program COL), 6/1/2013 |
|
Aaa |
|
|
921,890 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
2,376,349 |
|
|
||||||||
|
Principal |
|
|
|
Credit |
1 |
Value |
||
|
|
|
|
LONG-TERM MUNICIPALS--continued2 |
|
|
|
|
|
|
|
|
|
Louisiana--5.2% |
|
|
|
|
|
|
$ |
1,500,000 |
|
Louisiana State Offshore Term Authority, Deepwater Port Refunding Revenue Bonds, First Stage Series 1992B, 6.00% (Loop, Inc.), 9/1/2001 |
|
A |
|
$ |
1,516,260 |
|
|
1,000,000 |
|
St. Charles Parish, LA, PCR Refunding Bonds, Series 1999-C, 5.35% TOBs (Entergy Louisiana, Inc.), Mandatory Tender 10/1/2003 |
|
BBB- |
|
|
974,050 |
|
|
2,000,000 |
|
St. Charles Parish, LA, PCR Refunding Revenue Bonds, Series 1999A, 4.85% TOBs (Entergy Louisiana, Inc.), Mandatory Tender 6/1/2002 |
|
BBB- |
|
|
1,962,020 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
4,452,330 |
|
|
||||||||
|
|
|
|
Massachusetts--4.5% |
|
|
|
|
|
|
|
2,000,000 |
|
Massachusetts HEFA, Revenue Bonds, Series 1999A, 5.25% (Caritas Christi Obligated Group), 7/1/2004 |
|
BBB |
|
|
1,915,480 |
|
|
1,000,000 |
|
Massachusetts IFA, Resource Recovery Revenue Refunding Bonds, Series 1998A, 4.60% (Ogden Haverhill), 12/1/2002 |
|
BBB |
|
|
973,410 |
|
|
1,000,000 |
|
Massachusetts IFA, Resource Recovery Revenue Refunding Bonds, Series 1998A, 4.70% (Ogden Haverhill), 12/1/2003 |
|
BBB |
|
|
964,410 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
3,853,300 |
|
|
||||||||
|
|
|
|
Minnesota--1.6% |
|
|
|
|
|
|
|
1,500,000 |
|
Maplewood, MN, Health Care Facility Revenue Bonds, Series 1996, 5.95% (Healtheast, MN), 11/15/2006 |
|
BBB- |
|
|
1,401,540 |
|
|
||||||||
|
|
|
|
Missouri--2.7% |
|
|
|
|
|
|
|
1,000,000 |
|
Kansas City, MO, IDA, PCR Bonds, 6.05% (General Motors Corp.), 4/1/2006 |
|
A |
|
|
1,004,350 |
|
|
450,000 |
|
West Plains, MO, IDA, Hospital Revenue Bonds, 4.70% (Ozarks Medical Center)/(Original Issue Yield: 4.80%), 11/15/2002 |
|
BB+ |
|
|
435,434 |
|
|
440,000 |
|
West Plains, MO, IDA, Hospital Revenue Bonds, 4.85% (Ozarks Medical Center)/(Original Issue Yield: 4.95%), 11/15/2003 |
|
BB+ |
|
|
419,338 |
|
|
425,000 |
|
West Plains, MO, IDA, Hospital Revenue Bonds, 5.05% (Ozarks Medical Center)/(Original Issue Yield: 5.125%), 11/15/2005 |
|
BB+ |
|
|
394,515 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
2,253,637 |
|
|
||||||||
|
|
|
|
Nebraska--0.9% |
|
|
|
|
|
|
|
788,203 |
3 |
Energy America, NE, Gas Supply Revenue Bonds, Series 1998B, 5.10% (Nebraska Public Gas Agency), 10/15/2005 |
|
NR |
|
|
750,937 |
|
|
||||||||
|
|
|
|
New Hampshire--2.2% |
|
|
|
|
|
|
|
2,000,000 |
|
New Hampshire Business Finance Authority, PCR Refunding Bonds, 4.55% TOBs (United Illuminating Co.), Mandatory Tender 2/1/2004 |
|
BBB+ |
|
|
1,892,080 |
|
|
||||||||
|
Principal |
|
|
|
Credit |
1 |
Value |
||
|
|
|
|
LONG-TERM MUNICIPALS--continued2 |
|
|
|
|
|
|
|
|
|
New York--3.3% |
|
|
|
|
|
|
$ |
1,800,000 |
|
New York City, NY, UT GO Bonds, Series B, 7.50% (Original Issue Yield: 7.60%), 2/1/2001 |
|
A- |
|
$ |
1,831,932 |
|
|
990,000 |
|
New York State Mortgage Agency, Homeowner Mortgage Revenue Bonds, Series 71, 4.75%, 10/1/2021 |
|
Aa1 |
|
|
977,001 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
2,808,933 |
|
|
||||||||
|
|
|
|
North Carolina--4.0% |
|
|
|
|
|
|
|
1,000,000 |
|
North Carolina Eastern Municipal Power Agency, Refunding Revenue Bonds, Series B, 5.375% (Original Issue Yield: 5.50%), 1/1/2001 |
|
BBB |
|
|
1,001,120 |
|
|
2,440,000 |
|
North Carolina HFA, SFM Revenue Bonds, Series 1997TT, 4.90%, 9/1/2024 |
|
AA |
|
|
2,413,526 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
3,414,646 |
|
|
||||||||
|
|
|
|
North Dakota--3.9% |
|
|
|
|
|
|
|
2,470,000 |
|
North Dakota State HFA, Housing Finance Program Bonds, Series 1997C, 4.70%, 1/1/2022 |
|
Aa3 |
|
|
2,428,776 |
|
|
900,000 |
|
North Dakota State HFA, Housing Finance Program Bonds, Series 1998A, 4.60%, 1/1/2023 |
|
Aa3 |
|
|
877,248 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
3,306,024 |
|
|
||||||||
|
|
|
|
Ohio--6.9% |
|
|
|
|
|
|
|
500,000 |
|
Franklin County, OH, Health Care Facilities, Revenue Refunding Bonds, 4.60% (Ohio Presbyterian Retirement Services)/(Original Issue Yield: 4.70%), 7/1/2001 |
|
NR |
|
|
494,125 |
|
|
315,000 |
|
Franklin County, OH, Health Care Facilities, Revenue Refunding Bonds, 4.80% (Ohio Presbyterian Retirement Services)/(Original Issue Yield: 4.90%), 7/1/2003 |
|
NR |
|
|
303,991 |
|
|
460,000 |
|
Franklin County, OH, Health Care Facilities, Revenue Refunding Bonds, 5.00% (Ohio Presbyterian Retirement Services), 7/1/2004 |
|
NR |
|
|
439,180 |
|
|
3,000,000 |
|
Hamilton County, OH, Local Cooling Facilities Revenue Bonds, Series 1998, 4.90% TOBs (Trigen-Cinergy Solutions of Cincinnati LLC)/(Cinergy Corp. GTD), Mandatory Tender 6/1/2004 |
|
BBB+ |
|
|
2,880,570 |
|
|
795,000 |
|
Ohio Enterprise Bond Fund, Series 1995-3, State Economic Development Revenue Bonds, 5.60% (Smith Steelite), 12/1/2003 |
|
A- |
|
|
798,625 |
|
|
975,000 |
|
Ohio HFA, Residential Mortgage Revenue Bonds, Series 1998A-1, 4.90% (GNMA Collateralized Home Mortgage Program COL), 9/1/2025 |
|
AAA |
|
|
952,146 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
5,868,637 |
|
|
||||||||
|
Principal |
|
|
|
Credit |
1 |
Value |
||
|
|
|
|
LONG-TERM MUNICIPALS--continued2 |
|
|
|
|
|
|
|
|
|
Pennsylvania--9.5% |
|
|
|
|
|
|
$ |
615,000 |
|
Clarion County, PA, Hospital Authority, Revenue Refunding Bonds, Series 1997, 4.75% (Clarion County Hospital)/(Original Issue Yield: 4.85%), 7/1/2001 |
|
BBB- |
|
$ |
608,610 |
|
|
850,000 |
|
Clarion County, PA, Hospital Authority, Revenue Refunding Bonds, Series 1997, 5.00% (Clarion County Hospital), 7/1/2002 |
|
BBB- |
|
|
834,624 |
|
|
830,000 |
|
Grove City Area Hospital Authority, Hospital Revenue Bonds, Series 1998, 4.50% (United Community Hospital)/(Original Issue Yield: 4.60%), 7/1/2003 |
|
BBB |
|
|
797,323 |
|
|
505,000 |
|
Hazleton, PA, Health Services Authority, Hospital Revenue Bonds, Series 1996, 5.40% (Hazleton-St. Joseph Medical Center), 7/1/2001 |
|
BBB+ |
|
|
503,364 |
|
|
195,000 |
|
Jeannette Health Services Authority, PA, Hospital Revenue Bonds, Series A of 1996, 4.85% (Jeannette District Memorial Hospital)/ (Original Issue Yield: 4.95%), 11/1/2000 |
|
BBB+ |
|
|
194,598 |
|
|
155,000 |
|
Jeannette Health Services Authority, PA, Hospital Revenue Bonds, Series A of 1996, 5.05% (Jeannette District Memorial Hospital)/ (Original Issue Yield: 5.15%), 11/1/2001 |
|
BBB+ |
|
|
153,648 |
|
|
220,000 |
|
Jeannette Health Services Authority, PA, Hospital Revenue Bonds, Series A of 1996, 5.15% (Jeannette District Memorial Hospital)/(Original Issue Yield: 5.30%), 11/1/2002 |
|
BBB+ |
|
|
216,691 |
|
|
2,000,000 |
|
Montgomery County, PA, IDA, PCR Refunding Bonds, Series 1999B, 5.30% TOBs (Peco Energy Co.), Mandatory Tender 10/1/2004 |
|
BBB+ |
|
|
1,950,060 |
|
|
1,200,000 |
|
Pennsylvania EDFA, Resource Recovery Refunding Revenue Bonds, Series B, 6.75% (Northampton Generating), 1/1/2007 |
|
BBB- |
|
|
1,203,060 |
|
|
595,000 |
|
Philadelphia, PA, Hospitals & Higher Education Facilities Authority, Hospital Revenue Bonds, Series 1997, 5.00% (Jeanes Hospital), 7/1/2000 |
|
BBB+ |
|
|
594,697 |
|
|
620,000 |
|
Philadelphia, PA Hospitals & Higher Education Facilities Authority, Hospital Revenue Bonds, Series 1997, 5.20% (Jeanes Hospital), 7/1/2001 |
|
BBB+ |
|
|
616,051 |
|
|
435,000 |
|
Philadelphia, PA, IDA, Revenue Bonds, 4.55% (Franklin Institute), 6/15/2003 |
|
Baa2 |
|
|
419,266 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
8,091,992 |
|
|
||||||||
|
|
|
|
Rhode Island--4.7% |
|
|
|
|
|
|
|
3,885,000 |
|
Rhode Island State Student Loan Authority, Student Loan Revenue Refunding Bond, Series B, 6.75% (Original Issue Yield: 6.80%), 12/1/2001 |
|
A |
|
|
3,955,979 |
|
|
||||||||
|
|
|
|
South Carolina--1.2% |
|
|
|
|
|
|
|
1,000,000 |
|
South Carolina Job Development Authority, Hospital Facilities Improvement Revenue Bonds, Series 2000A, 5.75% (Palmetto Health Alliance), 12/15/2001 |
|
BBB |
|
|
997,240 |
|
|
||||||||
|
Principal |
|
|
|
Credit |
1 |
Value |
||
|
|
|
|
LONG-TERM MUNICIPALS--continued2 |
|
|
|
|
|
|
|
|
|
Tennessee--2.5% |
|
|
|
|
|
|
$ |
585,000 |
|
Montgomery County, TN, HEFA Board, Hospital Revenue Refunding Bonds, 4.50% (Clarksville Regional Hospital)/(Original Issue Yield: 4.60%), 1/1/2003 |
|
BBB |
|
$ |
567,310 |
|
|
915,000 |
|
Montgomery County, TN, HEFA Board, Hospital Revenue Refunding Bonds, 4.55% (Clarksville Regional Hospital)/(Original Issue Yield: 4.65%), 1/1/2004 |
|
BBB |
|
|
871,666 |
|
|
730,000 |
|
Montgomery County, TN, HEFA Board, Hospital Revenue Refunding Bonds, 4.65% (Clarksville Regional Hospital)/(Original Issue Yield: 4.75%), 1/1/2005 |
|
BBB |
|
|
686,967 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
2,125,943 |
|
|
||||||||
|
|
|
|
Texas--3.2% |
|
|
|
|
|
|
|
500,000 |
|
Bell County, TX, HFDC, Retirement Facility Revenue Bonds, Series 1998A, 4.40% (Buckner Retirement Services, Inc. Obligated Group Project)/(Original Issue Yield: 4.50%), 11/15/2002 |
|
A- |
|
|
483,295 |
|
|
1,270,000 |
|
Bell County, TX, HFDC, Retirement Facility Revenue Bonds, Series 1998A, 5.00% (Buckner Retirement Services, Inc. Obligated Group Project), 11/15/2004 |
|
A- |
|
|
1,234,440 |
|
|
1,000,000 |
3 |
Greenville, TX, Industrial Development Corp., Airport Revenue Refunding Bonds, Series 1996, 5.15% (Raytheon/E-Systems, Inc.), 8/1/2000 |
|
NR |
|
|
1,000,190 |
|
|
||||||||
|
|
|
|
TOTAL |
|
|
|
|
2,717,925 |
|
|
||||||||
|
|
|
|
TOTAL LONG-TERM MUNICIPALS (IDENTIFIED COST $80,961,818) |
|
|
|
|
79,220,038 |
|
|
||||||||
|
|
|
|
SHORT-TERM MUNICIPALS--6.8%2 |
|
|
|
|
|
|
|
|
|
Alabama--1.2% |
|
|
|
|
|
|
|
1,000,000 |
|
Mobile, AL, IDB, Series 1994 A, 5.75% TOBs (International Paper Co.), Optional Tender 12/1/2000 |
|
BBB+ |
|
|
1,000,000 |
|
|
||||||||
|
|
|
|
Indiana--1.2% |
|
|
|
|
|
|
|
1,000,000 |
|
Portage, IN, Revenue Bonds, Series 1998B, Weekly VRDNs (American Iron Oxide Co. Project)/(Bank of Tokyo-Mitsubishi Ltd. LOC) |
|
NR |
|
|
1,000,000 |
|
|
||||||||
|
|
|
|
New York--4.4% |
|
|
|
|
|
|
|
3,800,000 |
|
New York City, NY, IDA, IDRBs, Daily VRDNs (Nippon Cargo Airlines Co.)/(Industrial Bank of Japan Ltd., Tokyo LOC) |
|
BBB+ |
|
|
3,800,000 |
|
|
||||||||
|
|
|
|
TOTAL SHORT-TERM MUNICIPALS (AT AMORTIZED COST) |
|
|
|
|
5,800,000 |
|
|
||||||||
|
|
|
|
TOTAL INVESTMENTS (IDENTIFIED COST $86,761,818)4 |
|
|
|
$ |
85,020,038 |
|
|
||||||||
1 Please refer to the Appendix of the Statement of Additional Information for an explanation of the credit ratings. Current credit ratings are unaudited.
2 At May 31, 2000, 47.9% of the total investments at market value were subject to alternative minimum tax.
3 Denotes a restricted security which is subject to restrictions on resale under federal securities laws. At May 31, 2000, these securities amounted to $2,961,643 which represents 3.5% of net assets.
4 The cost of investments for federal tax purposes amounts to $86,761,818. The net unrealized depreciation of investments on a federal tax basis amounts to $1,741,780 which is comprised of $16,235 appreciation and $1,758,015 depreciation at May 31, 2000.
Note: The categories of investments are shown as a percentage of net assets ($85,013,271) at May 31, 2000.
The following acronyms are used throughout this portfolio:
|
AMBAC |
--American Municipal Bond Assurance Corporation |
|
COL |
--Collateralized |
|
EDFA |
--Economic Development Financing Authority |
|
GNMA |
--Government National Mortgage Association |
|
GO |
--General Obligation |
|
GTD |
--Guaranteed |
|
HDA |
--Hospital Development Authority |
|
HEFA |
--Health and Education Facilities Authority |
|
HFA |
--Housing Finance Authority |
|
HFDC |
--Health Facility Development Corporation |
|
IDA |
--Industrial Development Authority |
|
IDB |
--Industrial Development Bond |
|
IDRBs |
--Industrial Development Revenue Bonds |
|
IFA |
--Industrial Finance Authority |
|
INS |
--Insured |
|
LOC |
--Letter of Credit |
|
MBIA |
--Municipal Bond Investors Assurance |
|
PCR |
--Pollution Control Revenue |
|
SFM |
--Single Family Mortgage |
|
TOBs |
--Tender Option Bonds |
|
UT |
--Unlimited Tax |
|
VRDNs |
--Variable Rate Demand Notes |
See Notes which are an integral part of the Financial Statements
MAY 31, 2000 (UNAUDITED)
|
Assets: |
|
|
|
|
|
|
|
|
Total investments in securities, at value (identified and tax cost $86,761,818) |
|
|
|
|
$ |
85,020,038 |
|
|
Cash |
|
|
|
|
|
47,959 |
|
|
Income receivable |
|
|
|
|
|
1,463,704 |
|
|
Receivable for investments sold |
|
|
|
|
|
360,000 |
|
|
|
|||||||
|
TOTAL ASSETS |
|
|
|
|
|
86,891,701 |
|
|
|
|||||||
|
Liabilities: |
|
|
|
|
|
|
|
|
Payable for investments purchased |
|
$ |
1,000,000 |
|
|
|
|
|
Payable for shares redeemed |
|
|
559,988 |
|
|
|
|
|
Payable for daily variation margin |
|
|
15,000 |
|
|
|
|
|
Income distribution payable |
|
|
302,028 |
|
|
|
|
|
Accrued expenses |
|
|
1,414 |
|
|
|
|
|
|
|||||||
|
TOTAL LIABILITIES |
|
|
|
|
|
1,878,430 |
|
|
|
|||||||
|
Net assets for 8,968,895 shares outstanding |
|
|
|
|
$ |
85,013,271 |
|
|
|
|||||||
|
Net Assets Consist of: |
|
|
|
|
|
|
|
|
Paid in capital |
|
|
|
|
$ |
91,708,695 |
|
|
Net unrealized depreciation of investments and futures contracts |
|
|
|
|
|
(1,778,089 |
) |
|
Accumulated net realized loss on investments and futures contracts |
|
|
|
|
|
(4,997,335 |
) |
|
Undistributed net investment income |
|
|
|
|
|
80,000 |
|
|
|
|||||||
|
TOTAL NET ASSETS |
|
|
|
|
$ |
85,013,271 |
|
|
|
|||||||
|
Net Asset Value, Offering Price and Redemption Proceeds Per Share |
|
|
|
|
|
|
|
|
Class A Shares: |
|
|
|
|
|
|
|
|
Net Asset Value Per Share ($69,542,852 ÷ 7,336,724 shares outstanding) |
|
|
|
|
|
$9.48 |
|
|
|
|||||||
|
Offering Price Per Share (100/99.00 of $9.48)1 |
|
|
|
|
|
$9.58 |
|
|
|
|||||||
|
Redemption Proceeds Per Share |
|
|
|
|
|
$9.48 |
|
|
|
|||||||
|
Class F Shares: |
|
|
|
|
|
|
|
|
Net Asset Value Per Share ($15,470,419 ÷ 1,632,171 shares outstanding) |
|
|
|
|
|
$9.48 |
|
|
|
|||||||
|
Offering Price Per Share |
|
|
|
|
|
$9.48 |
|
|
|
|||||||
|
Redemption Proceeds Per Share (99.00/100 of $9.48)1 |
|
|
|
|
|
$9.39 |
|
|
|
|||||||
1 See "What Do Shares Cost?" in the Prospectus.
See Notes which are an integral part of the Financial Statements
SIX MONTHS ENDED MAY 31, 2000 (UNAUDITED)
|
Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest |
|
|
|
|
|
|
|
|
|
$ |
2,563,960 |
|
|
|
||||||||||||
|
Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment adviser fee |
|
|
|
|
|
$ |
202,027 |
|
|
|
|
|
|
Administrative personnel and services fee |
|
|
|
|
|
|
59,791 |
|
|
|
|
|
|
Custodian fees |
|
|
|
|
|
|
5,463 |
|
|
|
|
|
|
Transfer and dividend disbursing agent fees and expenses |
|
|
|
|
|
|
25,672 |
|
|
|
|
|
|
Directors'/Trustees' fees |
|
|
|
|
|
|
1,813 |
|
|
|
|
|
|
Auditing fees |
|
|
|
|
|
|
4,636 |
|
|
|
|
|
|
Legal fees |
|
|
|
|
|
|
1,953 |
|
|
|
|
|
|
Portfolio accounting fees |
|
|
|
|
|
|
26,581 |
|
|
|
|
|
|
Distribution services fee--Class A Shares |
|
|
|
|
|
|
103,348 |
|
|
|
|
|
|
Distribution services fee--Class F Shares |
|
|
|
|
|
|
13,751 |
|
|
|
|
|
|
Shareholder services fee--Class A Shares |
|
|
|
|
|
|
103,348 |
|
|
|
|
|
|
Shareholder services fee--Class F Shares |
|
|
|
|
|
|
22,919 |
|
|
|
|
|
|
Share registration costs |
|
|
|
|
|
|
15,384 |
|
|
|
|
|
|
Printing and postage |
|
|
|
|
|
|
14,937 |
|
|
|
|
|
|
Insurance premiums |
|
|
|
|
|
|
535 |
|
|
|
|
|
|
Taxes |
|
|
|
|
|
|
3,788 |
|
|
|
|
|
|
Miscellaneous |
|
|
|
|
|
|
681 |
|
|
|
|
|
|
|
||||||||||||
|
TOTAL EXPENSES |
|
|
|
|
|
|
606,627 |
|
|
|
|
|
|
|
||||||||||||
|
Waivers: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Waiver of investment adviser fee |
|
$ |
(149,322 |
) |
|
|
|
|
|
|
|
|
|
Waiver of distribution services fee--Class F Shares |
|
|
(13,751 |
) |
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
TOTAL WAIVERS |
|
|
|
|
|
|
(163,073 |
) |
|
|
|
|
|
|
||||||||||||
|
Net expenses |
|
|
|
|
|
|
|
|
|
|
443,554 |
|
|
|
||||||||||||
|
Net investment income |
|
|
|
|
|
|
|
|
|
|
2,120,406 |
|
|
|
||||||||||||
|
Realized and Unrealized Loss on Investments and Futures Contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized loss on investments and futures contracts |
|
|
|
|
|
|
|
|
|
|
(683,011 |
) |
|
Net change in unrealized depreciation of investments and futures contracts |
|
|
|
|
|
|
|
|
|
|
(671,646 |
) |
|
|
||||||||||||
|
Net realized and unrealized loss on investments and futures contracts |
|
|
|
|
|
|
|
|
|
|
(1,354,657 |
) |
|
|
||||||||||||
|
Change in net assets resulting from operations |
|
|
|
|
|
|
|
|
|
$ |
765,749 |
|
|
|
||||||||||||
See Notes which are an integral part of the Financial Statements
|
|
|
Six Months |
|
|
Year Ended |
|
||
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
|
|
|
Operations: |
|
|
|
|
|
|
|
|
|
Net investment income |
|
$ |
2,120,406 |
|
|
$ |
5,176,816 |
|
|
Net realized loss on investments and futures contracts ($(683,011) and $(2,004,917), respectively, as computed for federal tax purposes) |
|
|
(683,011 |
) |
|
|
(2,004,917 |
) |
|
Net change in unrealized depreciation on investments and futures contracts |
|
|
(671,646 |
) |
|
|
(1,597,928 |
) |
|
|
||||||||
|
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
765,749 |
|
|
|
1,573,971 |
|
|
|
||||||||
|
Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
Distributions from net investment income |
|
|
|
|
|
|
|
|
|
Class A Shares |
|
|
(1,717,774 |
) |
|
|
(3,798,878 |
) |
|
Class F Shares |
|
|
(402,632 |
) |
|
|
(1,377,938 |
) |
|
|
||||||||
|
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS |
|
|
(2,120,406 |
) |
|
|
(5,176,816 |
) |
|
|
||||||||
|
Share Transactions: |
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares |
|
|
57,621,961 |
|
|
|
121,512,143 |
|
|
Net asset value of shares issued to shareholders in payment of distributions declared |
|
|
1,377,370 |
|
|
|
4,242,585 |
|
|
Cost of shares redeemed |
|
|
(98,249,834 |
) |
|
|
(97,671,342 |
) |
|
|
||||||||
|
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS |
|
|
(39,250,503 |
) |
|
|
28,083,386 |
|
|
|
||||||||
|
Change in net assets |
|
|
(40,605,160 |
) |
|
|
24,480,541 |
|
|
|
||||||||
|
Net Assets: |
|
|
|
|
|
|
|
|
|
Beginning of period |
|
|
125,618,431 |
|
|
|
101,137,890 |
|
|
|
||||||||
|
End of period |
|
$ |
85,013,271 |
|
|
$ |
125,618,431 |
|
|
|
||||||||
See Notes which are an integral part of the Financial Statements
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
|
|
|
Six Months |
|
|
Year Ended November 30, |
|
||||||||||||
|
|
|
2000 |
|
|
1999 |
|
|
1998 |
|
|
1997 |
|
|
1996 |
|
|
1995 |
|
|
Net Asset Value, Beginning of Period |
|
$ 9.60 |
|
|
$ 9.86 |
|
|
$ 9.78 |
|
|
$ 9.76 |
|
|
$ 9.85 |
|
|
$ 9.49 |
|
|
Income From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
0.20 |
|
|
0.39 |
|
|
0.40 |
|
|
0.41 |
|
|
0.40 |
|
|
0.46 |
|
|
Net realized and unrealized gain (loss) on investments and futures contracts |
|
(0.12 |
) |
|
(0.26 |
) |
|
0.08 |
|
|
0.02 |
|
|
(0.08 |
) |
|
0.36 |
|
|
|
||||||||||||||||||
|
TOTAL FROM INVESTMENT OPERATIONS |
|
0.08 |
|
|
0.13 |
|
|
0.48 |
|
|
0.43 |
|
|
0.32 |
|
|
0.82 |
|
|
|
||||||||||||||||||
|
Less Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions from net investment income |
|
(0.20 |
) |
|
(0.39 |
) |
|
(0.40 |
) |
|
(0.41 |
) |
|
(0.40 |
) |
|
(0.46 |
) |
|
Distributions in excess of net investment income |
|
-- |
|
|
-- |
|
|
-- |
|
|
-- |
|
|
(0.01 |
)1 |
|
-- |
|
|
|
||||||||||||||||||
|
TOTAL DISTRIBUTIONS |
|
(0.20 |
) |
|
(0.39 |
) |
|
(0.40 |
) |
|
(0.41 |
) |
|
(0.41 |
) |
|
(0.46 |
) |
|
|
||||||||||||||||||
|
Net Asset Value, End of Period |
|
$ 9.48 |
|
|
$ 9.60 |
|
|
$ 9.86 |
|
|
$ 9.78 |
|
|
$ 9.76 |
|
|
$ 9.85 |
|
|
|
||||||||||||||||||
|
Total Return2 |
|
0.82 |
% |
|
1.29 |
% |
|
4.95 |
% |
|
4.45 |
% |
|
3.34 |
% |
|
8.67 |
% |
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Expenses |
|
0.92 |
%3 |
|
0.90 |
% |
|
0.90 |
% |
|
0.90 |
% |
|
0.81 |
% |
|
0.68 |
% |
|
|
||||||||||||||||||
|
Net investment income |
|
4.16 |
%3 |
|
3.94 |
% |
|
4.08 |
% |
|
4.17 |
% |
|
4.14 |
% |
|
4.72 |
% |
|
|
||||||||||||||||||
|
Expense waiver/reimbursement4 |
|
0.30 |
%3 |
|
0.31 |
% |
|
0.50 |
% |
|
0.48 |
% |
|
0.54 |
% |
|
1.03 |
% |
|
|
||||||||||||||||||
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Net assets, end of period (000 omitted) |
|
$69,543 |
|
$97,612 |
|
$72,174 |
|
$52,921 |
|
$73,570 |
|
$65,179 |
|
|||||
|
|
||||||||||||||||||
|
Portfolio turnover |
|
4 |
% |
|
25 |
% |
|
25 |
% |
|
33 |
% |
|
49 |
% |
|
47 |
% |
|
|
||||||||||||||||||
1 Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These distributions did not represent a return of capital for federal income tax purposes.
2 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.
3 Computed on an annualized basis.
4 This voluntary expense decrease is reflected in both the expense and the net investment income ratios shown above.
See Notes which are an integral part of the Financial Statements
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
|
|
|
Six Months |
|
|
Year Ended November 30, |
|
||||||||||||
|
|
|
2000 |
|
|
1999 |
|
|
1998 |
|
|
1997 |
|
|
1996 |
|
|
1995 |
|
|
Net Asset Value, Beginning of Period |
|
$ 9.60 |
|
|
$ 9.86 |
|
|
$ 9.78 |
|
|
$ 9.76 |
|
|
$ 9.85 |
|
|
$ 9.49 |
|
|
Income From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
0.21 |
|
|
0.41 |
|
|
0.42 |
|
|
0.43 |
|
|
0.43 |
|
|
0.47 |
|
|
Net realized and unrealized gain (loss) on investments and futures contracts |
|
(0.12 |
) |
|
(0.26 |
) |
|
0.08 |
|
|
0.02 |
|
|
(0.08 |
) |
|
0.36 |
|
|
|
||||||||||||||||||
|
TOTAL FROM INVESTMENT OPERATIONS |
|
0.09 |
|
|
0.15 |
|
|
0.50 |
|
|
0.45 |
|
|
0.35 |
|
|
0.83 |
|
|
|
||||||||||||||||||
|
Less Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions from net investment income |
|
(0.21 |
) |
|
(0.41 |
) |
|
(0.42 |
) |
|
(0.43 |
) |
|
(0.43 |
) |
|
(0.47 |
) |
|
Distributions in excess of net investment income |
|
-- |
|
|
-- |
|
|
-- |
|
|
-- |
|
|
(0.01 |
)1 |
|
-- |
|
|
|
||||||||||||||||||
|
TOTAL DISTRIBUTIONS |
|
(0.21 |
) |
|
(0.41 |
) |
|
(0.42 |
) |
|
(0.43 |
) |
|
(0.44 |
) |
|
(0.47 |
) |
|
|
||||||||||||||||||
|
Net Asset Value, End of Period |
|
$ 9.48 |
|
|
$ 9.60 |
|
|
$ 9.86 |
|
|
$ 9.78 |
|
|
$ 9.76 |
|
|
$ 9.85 |
|
|
|
||||||||||||||||||
|
Total Return2 |
|
0.94 |
% |
|
1.54 |
% |
|
5.21 |
% |
|
4.71 |
% |
|
3.60 |
% |
|
8.86 |
% |
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Expenses |
|
0.67 |
%3 |
|
0.65 |
% |
|
0.65 |
% |
|
0.65 |
% |
|
0.56 |
% |
|
0.49 |
% |
|
|
||||||||||||||||||
|
Net investment income |
|
4.39 |
%3 |
|
4.18 |
% |
|
4.28 |
% |
|
4.42 |
% |
|
4.40 |
% |
|
4.91 |
% |
|
|
||||||||||||||||||
|
Expense waiver/reimbursement4 |
|
0.45 |
%3 |
|
0.46 |
% |
|
0.65 |
% |
|
0.63 |
% |
|
0.69 |
% |
|
1.12 |
% |
|
|
||||||||||||||||||
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Net assets, end of period (000 omitted) |
|
$15,470 |
|
$28,006 |
|
$28,964 |
|
$20,298 |
|
$26,300 |
|
$26,442 |
|
|||||
|
|
||||||||||||||||||
|
Portfolio turnover |
|
4 |
% |
|
25 |
% |
|
25 |
% |
|
33 |
% |
|
49 |
% |
|
47 |
% |
|
|
||||||||||||||||||
1 Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These distributions do not represent a return of capital for federal income tax purposes.
2 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.
3 Computed on an annualized basis.
4 This voluntary expense decrease is reflected in both the expense and the net investment income ratios shown above.
See Notes which are an integral part of the Financial Statements
MAY 31, 2000 (UNAUDITED)
Federated Fixed Income Securities, Inc., (formerly, Fixed Income Securities, Inc.), (the "Corporation") is registered under the Investment Company Act of 1940, as amended (the "Act") as an open-end, management investment company. The Corporation consists of three portfolios. The financial statements included herein are only those of Federated Limited Term Municipal Fund (the "Fund"), a diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder's interest is limited to the portfolio in which shares are held. The Fund offers two classes of shares: Class A Shares and Class F Shares. The investment objective of the fund is to provide a high level of current income which is exempt from federal income tax (federal regular income tax does not include the federal alternative minimum tax) consistent with the preservation of principal.
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles.
Municipal bonds are valued by an independent pricing service, taking into consideration yield, liquidity, risk, credit quality, coupon, maturity, type of issue, and any other factors or market data the pricing service deems relevant. Short-term securities are valued at the prices provided by an independent pricing service. However, short-term securities with remaining maturities of 60 days or less at the time of purchase may be valued at amortized cost, which approximates fair market value.
Interest income and expenses are accrued daily. Bond premium and discount, if applicable, are amortized as required by the Internal Revenue Code, as amended (the "Code"). Dividend income and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at fair value. The Fund offers multiple classes of shares, which differ in their respective distribution and service fees. All shareholders bear the common expenses of the Fund based on average daily net assets of each class, without distinction between share classes. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share dividend rates are generally due to differences in separate class expenses.
It is the Fund's policy to comply with the provisions of the Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal tax is necessary.
At November 30, 1999, the Fund, for federal tax purposes, had a capital loss carryforward of $4,314,324, which will reduce the Fund's taxable income arising from future net realized gain on investments, if any, to the extent permitted by the Code, and thus will reduce the amount of the distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal tax. Pursuant to the Code, such capital loss carryforward will expire as follows:
|
Expiration Year |
|
Expiration Amount |
|
2002 |
|
$1,870,398 |
|
|
||
|
2003 |
|
439,009 |
|
|
||
|
2007 |
|
2,004,917 |
|
|
||
The Fund may engage in when-issued or delayed delivery transactions. The Fund records when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
The Fund sells bond futures contracts to manage interest rate risk. Upon entering into a bond futures contract with a broker, the Fund is required to deposit in a segregated account a specified amount of cash or U.S. government securities. Futures contracts are valued daily and unrealized gains or losses are recorded in a "variation margin" account. Daily, the Fund receives from or pays to the broker a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Fund recognizes a realized gain or loss.
For the period ended May 31, 2000, the Fund had realized gains on futures contracts of $31,444.
Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities.
At May 31, 2000, the Fund had outstanding futures contracts as set forth below:
|
Expiration Date |
|
Contract to |
|
Position |
|
Unrealized |
|
September 2000 |
|
30 2-Year U.S. Treasury Notes Futures |
|
Short |
|
$(11,475) |
|
|
||||||
|
September 2000 |
|
30 5-Year U.S. Treasury Notes Futures |
|
Short |
|
(24,834) |
|
|
||||||
|
|
|
|
|
|
|
$(36,309) |
|
|
||||||
Restricted securities are securities that may only be resold upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale, at the issuer's expense either upon demand by the Fund or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid under criteria established by the Board of Directors (the "Directors"). The Fund will not incur any registration costs upon such resales. The Fund's restricted securities are valued at the price provided by dealers in the secondary market or, if no market prices are available, at the fair value as determined by the Fund's pricing committee.
Additional information on each restricted security held at May 31, 2000 is as follows:
|
Security |
|
Acquisition |
|
Acquisition |
|
Birmingham, AL, 5.60%, 11/05/2004 |
|
11/09/1999 |
|
$1,236,722 |
|
|
||||
|
Energy America NE, 5.10%, 10/15/2005 |
|
3/18/1998 |
|
785,737 |
|
|
||||
|
Greenville, TX Industrial Development Corp, 5.15%, 8/01/2000 |
|
8/08/1996 |
|
1,000,000 |
|
|
||||
The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ from those estimated.
Investment transactions are accounted for on a trade date basis.
At May 31, 2000, par value shares ($0.001 per share) authorized were as follows:
|
Class Name |
|
Shares of Par |
|
Class A Shares |
|
1,000,000,000 |
|
Class F Shares |
|
1,000,000,000 |
|
TOTAL |
|
2,000,000,000 |
Transactions in capital stock were as follows:
|
|
|
Six Months Ended |
|
|
Year Ended |
|
||||||||
|
Class A Shares: |
|
Shares |
|
|
Amount |
|
|
Shares |
|
|
Amount |
|
||
|
Shares sold |
|
5,917,786 |
|
|
$ |
56,296,311 |
|
|
10,438,881 |
|
|
$ |
102,014,792 |
|
|
Shares issued to shareholders in payment of distributions declared |
|
126,370 |
|
|
|
1,202,884 |
|
|
322,441 |
|
|
|
3,137,186 |
|
|
Shares redeemed |
|
(8,873,129 |
) |
|
|
(84,471,198 |
) |
|
(7,917,855 |
) |
|
|
(76,977,707 |
) |
|
|
||||||||||||||
|
NET CHANGE RESULTING FROM CLASS A SHARE TRANSACTIONS |
|
(2,828,973 |
) |
|
$ |
(26,972,003 |
) |
|
2,843,467 |
|
|
$ |
28,174,271 |
|
|
|
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended |
|
|
Year Ended |
|
||||||||
|
Class F Shares: |
|
Shares |
|
|
Amount |
|
|
Shares |
|
|
Amount |
|
||
|
Shares sold |
|
138,533 |
|
|
$ |
1,325,650 |
|
|
1,981,302 |
|
|
$ |
19,497,351 |
|
|
Shares issued to shareholders in payment of distributions declared |
|
18,329 |
|
|
|
174,486 |
|
|
113,371 |
|
|
|
1,105,399 |
|
|
Shares redeemed |
|
(1,441,255 |
) |
|
|
(13,778,636 |
) |
|
(2,116,729 |
) |
|
|
(20,693,635 |
) |
|
|
||||||||||||||
|
NET CHANGE RESULTING FROM CLASS F SHARE TRANSACTIONS |
|
(1,284,393 |
) |
|
$ |
(12,278,500 |
) |
|
(22,056 |
) |
|
$ |
(90,885 |
) |
|
|
||||||||||||||
|
NET CHANGE RESULTING FROM SHARE TRANSACTIONS |
|
(4,113,366 |
) |
|
$ |
(39,250,503 |
) |
|
2,821,411 |
|
|
$ |
28,083,386 |
|
|
|
||||||||||||||
Federated Investment Management Company, the Fund's investment adviser (the "Adviser"), receives for its services an annual investment Adviser fee equal to 0.40% of the Fund's average daily net assets. The Adviser may voluntarily choose to waive any portion of its fee and/or reimburse certain operating expenses of the Fund. The Adviser can modify or terminate its voluntary waiver and/or reimbursement at any time at its sole discretion.
Federated Services Company ("FServ"), under the Administrative Services Agreement, provides the Fund with administrative personnel and services. The fee paid to FServ is based on a scale that ranges from 0.15% to 0.075% of the average aggregate daily net assets of all funds advised by subsidiaries of Federated Investors, Inc., subject to a $125,000 minimum per portfolio and $30,000 per each additional class.
The Fund has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Act. Under the terms of the Plan, the Fund will compensate Federated Securities Corp. ("FSC"), the principal distributor, from the net assets of the Fund to finance activities intended to result in the sale of the Fund's Class A and Class F Shares. The Plan provides that the Fund may incur distribution expenses according to the following schedule annually, to compensate FSC.
|
Share Class Name |
|
Percentage of Average |
|
Class A Shares |
|
0.25% |
|
Class F Shares |
|
0.15% |
The distributor may voluntarily choose to waive any portion of its fee. The distributor can modify or terminate this voluntary waiver at any time at its sole discretion.
Under the terms of a Shareholder Services Agreement with Federated Shareholder Services Company ("FSSC"), the Fund will pay FSSC up to 0.25% of average daily net assets of the Fund shares for the period. The fee paid to FSSC is used to finance certain services for shareholders and to maintain shareholder accounts. FSSC may voluntarily choose to waive any portion of its fee. FSSC can modify or terminate this voluntary waiver at any time at its sole discretion.
FServ, through its subsidiary FSSC, serves as transfer and dividend disbursing agent for the Fund. The fee paid to FSSC is based on the size, type, and number of accounts and transactions made by shareholders.
FServ maintains the Fund's accounting records for which it receives a fee. The fee is based on the level of the Fund's average daily net assets for the period, plus out-of-pocket expenses.
During the period ended May 31, 2000, the Fund engaged in purchase and sale transactions with funds that have a common investment adviser (or affiliated investment advisers), common Directors/Trustees, and/or common Officers. These purchase and sale transactions complied with Rule 17a-7 under the Act and amounted to $71,965,000 and $81,240,172, respectively.
Certain of the Officers and Directors of the Corporation are Officers and Directors or Trustees of the above companies.
Purchases and sales of investments, excluding short-term securities (and in-kind contributions), for the period ended May 31, 2000, were as follows:
|
Purchases |
|
$ |
3,296,235 |
|
|
|||
|
Sales |
|
$ |
36,621,642 |
|
|
|||
Chairman
President
Chief Investment Officer
Executive Vice President
Executive Vice President
Executive Vice President and Secretary
Treasurer
Assistant Secretary
Mutual funds are not bank deposits or obligations, are not guaranteed by any bank, and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.
This report is authorized for distribution to prospective investors only when preceded or accompanied by the fund's prospectus which contains facts concerning its objective and policies, management fees, expenses and other information.
Federated
World-Class Investment Manager
SEMI-ANNUAL REPORT
AS OF MAY 31, 2000
Established 1993
Federated
Federated Limited Term Municipal Fund
Federated Investors
Funds
5800 Corporate Drive
Pittsburgh, PA
15237-7000
1-800-341-7400
www.federatedinvestors.com
Federated
Securities Corp., Distributor
Cusip 31417P304
Cusip 31417P403
G00278-01 (7/00)
Federated is a registered mark of Federated Investors, Inc. 2000 ©Federated Investors, Inc.
Federated Investors
World-Class Investment Manager
Richard B. Fisher
President
Federated Strategic Income Fund
Dear Shareholder:
Federated Strategic Income Fund was created in 1994, and I am pleased to present its sixth Semi-Annual Report. This $869 million net asset bond fund seeks generous monthly income from three distinct bond markets--domestic high-yield bonds, U.S. corporate and government bonds, and international corporate and government bonds.1 This report covers the first half of the fund's fiscal year which is the six-month period from December 1, 1999 through May 31, 2000. The fund's portfolio manager, Joseph M. Balestrino, Senior Vice President of Federated Investment Management Company, presents his thoughts on these three bond markets, the fund's weightings, and outlook for income opportunities for shareholders. Following his discussion are three additional items of shareholder interest. First is a series of graphs showing the fund's long-term investment performance. Second is a complete listing of the fund's bond selections, and third is the publication of the fund's financial statements.
This income fund holds a strategic combination of hundreds of bonds selected by an investment management team consisting of experts in three key bond market sectors. These bond sectors historically have little correlation with one another, and shareholders are diversified in holdings around the world, including the U.S. markets. However, in the past 12 months, Alan Greenspan, chairman of the Federal Reserve Board (the "Fed"), raised interest rates six times. Six times he reminded bond and equity investors of his fear of inflation in this country. In the Ides of March 2000, his message came across loud and clear. As a result, the stock markets fell, and bond holders hoped for just one more interest rate increase. Some visible sectors of the U.S. economy have slowed, and this scenario should bode well for bond prices sooner or later.
1 Securities rated below investment grade generally entail greater market, credit and liquidity risks than investment grade securities. International investing involves special risks including currency risk, increased volatility of foreign securities, and differences in auditing and other financial standards.
Individual share class total return performance for the six-month reporting period of the fund follows.1
|
|
|
Total Return |
|
Income |
|
Net Asset Value Change |
|
Class A Shares |
|
(1.54%) |
|
$0.406 |
|
$9.19 to $8.65 = (5.88%) |
|
Class B Shares |
|
(2.02%) |
|
$0.372 |
|
$9.19 to $8.64 = (5.98%) |
|
Class C Shares |
|
(2.02%) |
|
$0.372 |
|
$9.19 to $8.64 = (5.98%) |
|
Class F Shares |
|
(1.55%) |
|
$0.406 |
|
$9.18 to $8.64 = (5.88%) |
Thank you for your support of this diversified approach to income generation. Remember, reinvesting your monthly dividends and investing on a systematic basis are convenient ways to build your account--and to help your money grow through the benefit of compounding.2
As always, we welcome your comments and suggestions.
Sincerely,
Richard B. Fisher
Richard B. Fisher
President
July 15, 2000
1 Performance quoted is based on net asset value, represents past performance, and is no guarantee of future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns for the reporting period, based on offering price (i.e., less any applicable sale charge), for Class A, B, C, and F Shares were (5.94%), (7.20%), (2.96%), and (3.43%), respectively.
2 Systematic investing does not assure a profit or protect against loss in declining markets.
Joseph M. Balestrino
Senior Vice President
Federated Investment Management Company
Shareholders' Note: This fund is co-managed by a team of portfolio managers, in addition to lead manager Joseph M. Balestrino, who are experts in key bond market sectors: U.S. government--Kathy Foody-Malus, Vice President, Federated Investment Management Company; high-yield corporate bonds--Mark E. Durbiano, Senior Vice President, Federated Investment Management Company; and international bonds--Robert Kowit, Vice President, Federated Global Investment Management Corp.
In domestic bond sectors, the corporate bond market over the six-month reporting period experienced the negative effects of both rising interest rates and general stock market volatility. In addition, the U.S. Treasury announced and executed upon its plan to repurchase high-coupon, long-term maturity treasury bonds. In this environment, pure treasury securities outperformed most other fixed income sectors, including both high-quality and high-yield corporate securities. The result: a very modest positive return in the high-quality bond arena and a negative return in the high-yield corporate bond arena.
In international bond markets, the market influences were very similar. Many central banks around the globe were raising interest rates to avoid potentially mounting inflation problems, and international stock markets were generally experiencing increased volatility along with price declines. As a result, many international fixed-income markets delivered negative total returns over the fund's six-month reporting period.
The fund's returns were negative reflecting a generally weak bond market environment. Class A Shares posted a total return for the six-month reporting period ended May 31, 2000 of (1.54%) based on net asset value. Income generated by the fund contributed to the total return. The fund's Class B, C, and F Shares had total returns of (2.02%), (2.02%), and (1.55%), respectively, based on net asset value.1
The fund's six monthly income dividends totaled $0.406 per share for Class A Shares, $0.372 for Class B Shares, $0.372 per share for Class C Shares, and $0.406 per share for Class F Shares.
The yields at the end of the reporting period were very attractive. As of May 31, 2000, the fund's Class A Shares achieved a 9.17% 30-day SEC yield, Class B Shares had an 8.41% 30-day SEC yield, Class C Shares earned a 8.40% 30-day SEC yield, and Class F Shares had a 9.17% 30-day SEC yield at NAV.2
1 Past performance is no guarantee of future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total returns for the reporting period, based on offering price (i.e., less any applicable sale charge), for Class A, B, C and F Shares were (5.94%), (7.20%), (2.96%), and (3.43%), respectively.
2 The 30-day SEC yields were 8.74% and 9.07% for Class A Shares and Class F Shares, respectively, based on offering price.
The fund's sector allocation was 19.6% in domestic high-quality, 45.5% in domestic high-yield, and 34.0% in international bonds issues. Over the reporting period, the sector allocation has gradually been shifted toward more high yield exposure and slightly less international exposure, given the weak performance and very strong performance, respectively, in these two markets.
In the United States, Federated's outlook on bonds has become more positive, recommending that investors add to their overall fixed-income positions within a diversified portfolio. There is a growing belief that the Fed's interest rate hikes to date are having the desired effect of slowing the economy to a more sustainable pace without excessive inflation. In addition, the relative value of the mortgage backed and corporate bond sectors has also increased given the significant outperformance of pure U.S. treasuries thus far in the year 2000. Thus, it is anticipated that returns are poised to improve for most domestic bond sectors going forward.
Internationally, fund management is generally of a neutral to slightly positive opinion. Global economic growth appears to be sustainable, which should particularly benefit the emerging debt markets. On the other hand, rising rates in the more developed markets, such as Europe, could have the effect of reducing bond values. Consequently, the fund has been marginally decreasing its allocation to the international bond markets.
If you had made an initial investment of $7,000 in the Class A Shares of Federated Strategic Income Fund on 5/4/94, reinvested dividends and capital gains, and did not redeem any shares, your account would have been worth $9,887 on 5/31/00. You would have earned a 5.85%1 average annual total return for the investment life span.
One key to investing wisely is to reinvest all distributions in fund shares. This increases the number of shares on which you can earn future dividends, and you gain the benefit of compounding.
As of 6/30/2000, the Class A Shares' 1-year, 5-year, and since inception (5/4/94) average annual total returns were (1.89%), 5.81%, and 6.23%, respectively. Class B Shares' 1-year and since inception (7/27/95) average annual total returns were (3.23%) and 5.75%, respectively. Class C Shares' 1-year, 5-year, and since inception (5/2/94) average annual total returns were 1.00%, 6.00%, and 6.23%, respectively. Class F Shares' 1-year, 5-year, and since inception (5/10/94) average annual total returns were 0.91%, 6.53%, and 6.73%, respectively.2
[Graphic Representation Omitted - See Appendix]
1 Total return represents the change in the value of an investment after reinvesting all income and capital gains, and takes into account the 4.50% sales charge applicable to an initial investment in Class A Shares. Past performance is no guarantee of future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost.
2 The total returns stated take into account all applicable sales charges. The maximum sales charges and contingent deferred sales charges for the fund are as follows: Class A Shares, 4.50% sales charge; Class B Shares, 5.50% contingent deferred sales charge; Class C Shares, 1.00% contingent deferred sales charge; Class F Shares, 1.00% sales charge and 1.00% contingent deferred sales charge.
$1,000 initial investment and subsequent investments of $1,000 each year for six years (reinvesting all dividends and capital gains) grew to $7,776.
With this approach, the key is consistency.
If you had started investing $1,000 annually in the Class A Shares of Federated Strategic Income Fund on 5/4/94, reinvested your dividends and capital gains and did not redeem any shares, you would have invested only $7,000, but your account would have reached a total value of $7,776 by 5/31/00. You would have earned an average annual total return of 3.47%.
A practical investment plan in the fund helps you pursue income through a highly diversified portfolio invested in U.S. corporate securities, U.S. government securities and non-U.S. corporate securities. Through systematic investing, you buy shares on a regular basis and reinvest all earnings. An investment plan works for you when you invest only $1,000 annually. You can take it one step at a time. Put time, money and compounding to work.
[Graphic Representation Omitted - See Appendix]
1 This chart assumes that the subsequent annual investments are made on the last day of each anniversary month. No method of investing can guarantee a profit or protect against loss in down markets.
Jim and Leslie Weber are a two-income couple who, like many others, want to be able to afford their present lifestyle and still have something extra for those special times when they might need it.
They decided a diversified income fund was right for them. The fund's exposure to U.S. government securities, high-yield U.S. corporate securities, and international securities gives them a relatively stable income stream. They invested $100,000 in the Class A Shares of Federated Strategic Income Fund on May 4, 1994, and have allowed the dividends and capital gains to reinvest.
By May 31, 2000, they were pleased to see that their original investment had grown to $142,323 for an average annual total return of 5.98%.
The couple is fictional, but the figures are real.
[Graphic Representation Omitted - See Appendix]
This hypothetical scenario is provided for illustrative purposes only and does not represent the results obtained by any particular shareholder. Past performance is no guarantee of future results.
MAY 31, 2000 (UNAUDITED)
|
Principal |
|
|
|
Value in |
||
|
|
|
|
U.S. CORPORATE BONDS--11.8% |
|
|
|
|
|
|
|
Automotive--0.5% |
|
|
|
|
$ |
2,820,000 |
|
Arvin Industries, Inc., Company Guarantees, 9.50%, 2/1/2027 |
|
$ |
2,597,361 |
|
|
775,000 |
|
General Motors Corp., Note, 9.45%, 11/01/2011 |
|
|
839,317 |
|
|
1,000,000 |
|
Hertz Corp., MTN, 9.05%, 6/22/2000 |
|
|
1,002,180 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
4,438,858 |
|
|
||||||
|
|
|
|
Banking--0.7% |
|
|
|
|
|
2,200,000 |
|
Barclays North America, Deb., 9.75%, 5/15/2021 |
|
|
2,343,638 |
|
|
1,000,000 |
1, 2 |
Den Danske Bank, Note, 7.40% 6/15/2010 |
|
|
976,130 |
|
|
1,000,000 |
|
FirstBank Puerto Rico, Sub. Note, 7.625%, 12/15/2005 |
|
|
915,230 |
|
|
1,250,000 |
|
National Bank of Canada, Sub. Note, 8.125%, 8/15/2004 |
|
|
1,267,638 |
|
|
1,000,000 |
1, 2 |
Swedbank, Sub., Note, 11/29/2049 |
|
|
917,322 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
6,419,958 |
|
|
||||||
|
|
|
|
Cable Television--0.6% |
|
|
|
|
|
2,500,000 |
|
CF Cable TV, Inc., Note, 9.125%, 7/15/2007 |
|
|
2,609,275 |
|
|
2,000,000 |
|
Continental Cablevision, Sr. Deb., 9.50%, 8/1/2013 |
|
|
2,150,040 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
4,759,315 |
|
|
||||||
|
|
|
|
Chemicals & Plastics--0.2% |
|
|
|
|
|
1,450,000 |
1, 2 |
Fertinitro Finance, Company Guarantee, 8.29%, 4/01/2020 |
|
|
878,445 |
|
|
1,250,000 |
1, 2 |
Reliance Industries Ltd., Bond, 8.25%, 1/15/2027 |
|
|
1,184,775 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
2,063,220 |
|
|
||||||
|
|
|
|
Consumer Products--0.1% |
|
|
|
|
|
1,000,000 |
|
International Speedway Corp., Company Guarantee, 7.875%, 10/15/2004 |
|
|
966,350 |
|
|
||||||
|
|
|
|
Ecological Services & Equipment--0.3% |
|
|
|
|
|
2,700,000 |
|
WMX Technologies, Inc., Deb., 8.75%, 5/1/2018 |
|
|
2,359,719 |
|
|
||||||
|
|
|
|
Education--0.2% |
|
|
|
|
|
2,000,000 |
|
Boston University, MTN, 7.625%, 7/15/2097 |
|
|
1,750,520 |
|
|
||||||
|
|
|
|
Electronics--0.3% |
|
|
|
|
|
3,000,000 |
|
Anixter International, Inc., Company Guarantee, 8.00%, 9/15/2003 |
|
|
2,857,770 |
|
|
||||||
|
|
|
|
Finance - Automotive--0.2% |
|
|
|
|
|
1,620,000 |
|
General Motors Acceptance Corp., Note, 9.00%, 10/15/2002 |
|
|
1,669,637 |
|
|
||||||
|
Principal |
|
|
|
Value in |
||
|
|
|
|
U.S. CORPORATE BONDS--continued |
|
|
|
|
|
|
|
Financial Intermediaries--1.1% |
|
|
|
|
$ |
1,500,000 |
|
Capital One Financial Corp., Note, 7.125%, 8/01/2008 |
|
$ |
1,330,650 |
|
|
2,000,000 |
|
Green Tree Financial Corp., Sub. Bond, 1993-4, Class B2, 8.55%, 01/15/2019 |
|
|
1,648,140 |
|
|
80,421 |
|
Green Tree Home Equity Loan Trust 1999-A, Class B2A, 7.44%, 02/15/2029 |
|
|
80,519 |
|
|
1,000,000 |
|
Lehman Brothers Holdings, Inc., Note, 8.50%, 5/1/2007 |
|
|
1,001,550 |
|
|
1,000,000 |
|
Lehman Brothers, Inc., Sr. Sub. Note, 7.375%, 1/15/2007 |
|
|
935,950 |
|
|
1,175,000 |
|
Olympic Financial Ltd., Sr. Note, 11.50%, 3/15/2007 |
|
|
1,299,245 |
|
|
2,013,000 |
|
Olympic Financial Ltd., Unit, 11.50%, 3/15/2007 |
|
|
2,258,586 |
|
|
1,300,000 |
1, 2 |
Pemex Finance Ltd., Series 2000; Class A1, 9.03%, 2/15/2011 |
|
|
1,273,454 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
9,828,094 |
|
|
||||||
|
|
|
|
Forest Products--0.6% |
|
|
|
|
|
1,250,000 |
|
Donohue Forest Products, Company Guarantee, 7.625%, 5/15/2007 |
|
|
1,225,725 |
|
|
250,000 |
|
Pope & Talbot, Inc., Deb., 8.375%, 6/1/2013 |
|
|
222,198 |
|
|
3,380,000 |
|
Quno Corp., Sr. Note, 9.125%, 5/15/2005 |
|
|
3,471,328 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
4,919,251 |
|
|
||||||
|
|
|
|
Health Care--0.2% |
|
|
|
|
|
850,000 |
|
Tenet Healthcare Corp., Sr. Note, 8.00%, 1/15/2005 |
|
|
799,000 |
|
|
500,000 |
|
Tenet Healthcare Corp., Sr. Sub. Note, 8.125%, 12/01/2008 |
|
|
452,500 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
1,251,500 |
|
|
||||||
|
|
|
|
Home Products & Furnishings--0.1% |
|
|
|
|
|
600,000 |
|
Whirlpool Corp., Unsecd. Note, 9.50%, 6/15/2000 |
|
|
601,356 |
|
|
||||||
|
|
|
|
Insurance--1.3% |
|
|
|
|
|
500,000 |
|
AFC Capital Trust I, Bond, 8.207%, 2/3/2027 |
|
|
445,120 |
|
|
1,500,000 |
|
CNA Financial Corp., Bond, 6.95%, 1/15/2018 |
|
|
1,176,495 |
|
|
1,000,000 |
|
Conseco Finance, Unsecd. Note, 8.796%, 4/01/2027 |
|
|
355,000 |
|
|
2,000,000 |
|
Conseco, Inc., Sr. Sub. Note, 10.25%, 6/01/2002 |
|
|
1,390,000 |
|
|
750,000 |
|
Delphi Funding LLC, Notes, 9.31%, 3/25/2027 |
|
|
671,858 |
|
|
3,164,000 |
|
Delphi Financial Group, Inc., Sr. Note, 8.00%, 10/1/2003 |
|
|
3,057,943 |
|
|
2,000,000 |
1, 2 |
Life Re Capital Trust I, Company Guarantee, 8.72%, 6/15/2027 |
|
|
1,903,020 |
|
|
625,000 |
|
Provident Cos., Inc., Bond, 7.405%, 3/15/2038 |
|
|
484,181 |
|
|
500,000 |
1, 2 |
USF&G Capital Company Guarantee, 8.312%, 7/1/2046 |
|
|
464,375 |
|
|
500,000 |
|
USF&G Capital II, Company Guarantee, 8.47%, 1/10/2027 |
|
|
458,915 |
|
|
1,000,000 |
1, 2 |
Union Central Life Insurance Co., Note, 8.20%, 11/1/2026 |
|
|
936,810 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
11,343,717 |
|
|
||||||
|
Principal |
|
|
|
Value in |
||
|
|
|
|
U.S. CORPORATE BONDS--continued |
|
|
|
|
|
|
|
Leisure & Entertainment--0.5% |
|
|
|
|
$ |
2,850,000 |
|
Paramount Communications, Inc., Sr. Deb., 8.25%, 8/01/2022 |
|
$ |
2,684,358 |
|
|
1,175,000 |
|
Viacom, Inc., Sr. Sub. Note, 10.25%, 9/15/2001 |
|
|
1,208,758 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
3,893,116 |
|
|
||||||
|
|
|
|
Metals & Mining--1.0% |
|
|
|
|
|
1,000,000 |
|
Barrick Gold Corp., Deb., 7.50%, 5/1/2007 |
|
|
983,190 |
|
|
1,950,000 |
|
Inco Ltd., Note, 9.60%, 6/15/2022 |
|
|
1,942,805 |
|
|
2,300,000 |
1, 2 |
Normandy Finance Ltd., Company Guarantee, 7.50%, 7/15/2005 |
|
|
2,081,569 |
|
|
3,000,000 |
|
Placer Dome, Inc., Bond, 8.50%, 12/31/2045 |
|
|
2,523,732 |
|
|
1,125,000 |
|
Santa Fe Pacific Gold, Note, 8.375%, 7/01/2005 |
|
|
1,093,916 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
8,625,212 |
|
|
||||||
|
|
|
|
Oil & Gas--0.6% |
|
|
|
|
|
1,250,000 |
|
Husky Oil Ltd., Sr. Note, 7.125%, 11/15/2006 |
|
|
1,153,938 |
|
|
1,750,000 |
|
Sun Co., Inc., Deb., 9.00%, 11/1/2024 |
|
|
1,817,148 |
|
|
2,530,000 |
|
Veritas DGC, Inc., Sr. Note, 9.75%, 10/15/2003 |
|
|
2,542,650 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
5,513,736 |
|
|
||||||
|
|
|
|
Printing & Publishing--0.2% |
|
|
|
|
|
880,000 |
|
News America Holdings, Inc., Company Guarantee, 8.00%, 10/17/2016 |
|
|
789,571 |
|
|
1,000,000 |
|
News America Holdings, Inc., Note, 8.15%, 10/17/2036 |
|
|
877,520 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
1,667,091 |
|
|
||||||
|
|
|
|
Real Estate--0.3% |
|
|
|
|
|
500,000 |
|
Storage USA, Notes, 8.20%, 6/1/2017 |
|
|
450,450 |
|
|
2,100,000 |
|
Storage USA, Deb., 7.50%, 12/1/2027 |
|
|
1,704,381 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
2,154,831 |
|
|
||||||
|
|
|
|
Retailers--1.6% |
|
|
|
|
|
3,500,000 |
|
Dayton-Hudson Corp., Deb., 10.00%, 12/01/2000 |
|
|
3,552,080 |
|
|
1,000,000 |
|
Federated Department Stores, Sr. Note, 10%, 2/15/2001 |
|
|
1,015,400 |
|
|
3,174,365 |
|
K Mart Corp., Pass Thru Cert., 8.54%, 1/2/2015 |
|
|
2,887,276 |
|
|
2,000,000 |
|
May Department Stores Co., Deb., 9.875%, 6/15/2021 |
|
|
2,123,240 |
|
|
1,100,000 |
|
Sears, Roebuck & Co., MTN, 10.00%, 2/03/2012 |
|
|
1,207,613 |
|
|
1,000,000 |
|
Shopko Stores, Inc., Sr. Note, 8.50%, 3/15/2002 |
|
|
1,006,200 |
|
|
2,300,000 |
|
Shopko Stores, Inc., Sr. Note, 9.25%, 3/15/2022 |
|
|
2,327,485 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
14,119,294 |
|
|
||||||
|
|
|
|
Technology Services--0.4% |
|
|
|
|
|
3,440,000 |
|
Unisys Corp., Sr. Note, 11.75%, 10/15/2004 |
|
|
3,689,400 |
|
|
||||||
|
Principal |
|
|
|
Value in |
||
|
|
|
|
U.S. CORPORATE BONDS--continued |
|
|
|
|
|
|
|
Telecommunications & Cellular--0.4% |
|
|
|
|
$ |
1,000,000 |
|
LCI International, Inc., Sr. Note, 7.25%, 6/15/2007 |
|
$ |
936,260 |
|
|
1,750,000 |
|
MetroNet Communications, Sr. Note, 12.00%, 8/15/2007 |
|
|
1,986,250 |
|
|
625,000 |
|
MetroNet Escrow Corp., Sr. Note, 10.625%, 11/01/2008 |
|
|
705,469 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
3,627,979 |
|
|
||||||
|
|
|
|
Utilities--0.4% |
|
|
|
|
|
1,750,000 |
1, 2 |
Edison Mission Holding Co., Sr. Secd. Note, 8.734%, 10/01/2026 |
|
|
1,594,040 |
|
|
550,000 |
1, 2 |
Israel Electric Corp., Ltd., Sr. Note, 7.875%, 12/15/2026 |
|
|
489,478 |
|
|
600,000 |
1, 2 |
Israel Electric Corp., Ltd., Sr. Secd. Note, 7.75%, 3/01/2009 |
|
|
566,880 |
|
|
500,000 |
|
Puget Sound Energy, Inc., MTN, 7.02%, 12/1/2027 |
|
|
432,670 |
|
|
1,000,000 |
1, 2 |
Tenaga Nasional, Deb., 7.50%, 1/15/2096 |
|
|
738,500 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
3,821,568 |
|
|
||||||
|
|
|
|
TOTAL CORPORATE BONDS (IDENTIFIED COST $113,146,900) |
|
|
102,341,492 |
|
|
||||||
|
|
|
|
INTERNATIONAL BONDS--34.0% |
|
|
|
|
|
|
|
ARGENTINE PESO--0.1% |
|
|
|
|
|
|
|
Telecommunications & Cellular--0.1% |
|
|
|
|
|
1,000,000 |
1, 2 |
CIA International Telecommunications, Note, 10.375%, 8/01/2004 |
|
|
830,108 |
|
|
||||||
|
|
|
|
AUSTRALIAN DOLLAR--0.2% |
|
|
|
|
|
|
|
Sovereign--0.2% |
|
|
|
|
|
2,000,000 |
|
Australia, Government of, 8.75%, 8/15/2008 |
|
|
1,321,396 |
|
|
||||||
|
|
|
|
State/Provincial--0.0% |
|
|
|
|
|
550,000 |
|
Victoria, State of, Local Government Guarantee, 10.25%, 11/15/2006 |
|
|
372,934 |
|
|
||||||
|
|
|
|
TOTAL AUSTRALIAN DOLLAR |
|
|
1,694,330 |
|
|
||||||
|
|
|
|
BRITISH POUND--0.4% |
|
|
|
|
|
|
|
Air Transportation--0.1% |
|
|
|
|
|
600,000 |
|
British Airways, Note, 10.875%, 6/15/2008 |
|
|
1,084,612 |
|
|
||||||
|
|
|
|
Sovereign--0.3% |
|
|
|
|
|
1,300,000 |
|
United Kingdom, Government of, Foreign Government Guarantee, 11.75%, 1/22/2007 |
|
|
2,208,601 |
|
|
||||||
|
|
|
|
TOTAL BRITISH POUND |
|
|
3,293,213 |
|
|
||||||
|
|
|
|
CANADIAN DOLLAR--1.1% |
|
|
|
|
|
|
|
Forest Products--0.4% |
|
|
|
|
|
3,750,000 |
|
Avenor, Inc., Deb., 10.85%, 11/30/2014 |
|
|
2,876,127 |
|
|
||||||
|
Foreign |
|
|
|
Value in |
||
|
|
|
|
INTERNATIONAL BONDS--continued |
|
|
|
|
|
|
|
CANADIAN DOLLAR--continued |
|
|
|
|
|
|
|
Telecommunications & Cellular--0.7% |
|
|
|
|
|
7,180,000 |
|
Clearnet Communications, Inc., Sr. Disc. Note, 0/11.75%, 8/13/2007 |
|
$ |
3,307,430 |
|
|
6,800,000 |
|
Microcell Telecommunications, Sr. Disc. Note, 11.75%, 10/15/2007 |
|
|
2,996,195 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
6,303,625 |
|
|
||||||
|
|
|
|
TOTAL CANADIAN DOLLAR |
|
|
9,179,752 |
|
|
||||||
|
|
|
|
DANISH KRONE--0.1% |
|
|
|
|
|
|
|
Sovereign--0.1% |
|
|
|
|
|
5,250,000 |
|
Denmark, Government of, Bond, 8.00%, 3/15/2006 |
|
|
727,018 |
|
|
||||||
|
|
|
|
EURO--4.9% |
|
|
|
|
|
|
|
Banking--0.3% |
|
|
|
|
|
3,000,000 |
1, 2 |
Dresdner Funding Trust, 5.79%, 6/30/2011 |
|
|
2,518,965 |
|
|
||||||
|
|
|
|
Sovereign--3.0% |
|
|
|
|
|
1,000,000 |
|
Austria, Government of, Bond, 6.25%, 7/15/2027 |
|
|
996,437 |
|
|
2,250,000 |
|
Austria, Government of, Bond, 5.625%, 7/15/2007 |
|
|
2,120,506 |
|
|
3,476,784 |
|
Germany, Government of, Deb., 6.25%, 1/04/2024 |
|
|
3,542,082 |
|
|
476,308 |
|
Ireland, Government of, Deb., 4.00%, 4/18/2010 |
|
|
396,120 |
|
|
2,704,542 |
|
Ireland, Government of, Deb., 9.00%, 9/01/2006 |
|
|
2,992,293 |
|
|
387,342 |
|
Italy, Government of, 10.00%, 8/01/2003 |
|
|
409,939 |
|
|
335,696 |
|
Italy, Government of, 7.75%, 11/01/2006 |
|
|
351,177 |
|
|
4,699,749 |
|
Italy, Government of, Bond, 10.50%, 9/01/2005 |
|
|
5,381,257 |
|
|
1,420,254 |
|
Italy, Government of, Deb., 12.00%, 1/01/2003 |
|
|
1,533,055 |
|
|
1,247,895 |
|
Netherlands, Government of, Bond, 8.500%, 6/01/2006 |
|
|
1,351,081 |
|
|
1,361,340 |
|
Netherlands, Government of, Bond, 7.50%, 4/15/2010 |
|
|
1,473,272 |
|
|
2,949,571 |
|
Netherlands, Government of, Bond, 9.00%, 1/15/2001 |
|
|
2,818,395 |
|
|
680,670 |
|
Netherlands, Government of, Bond, 8.25%, 2/15/2007 |
|
|
737,271 |
|
|
863,137 |
|
Spain, Government of, Deb., 10.10%, 2/28/2001 |
|
|
834,725 |
|
|
757,275 |
|
Spain, Government of, Foreign Government Guarantee, 8.00%, 5/30/2004 |
|
|
772,182 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
25,709,792 |
|
|
||||||
|
|
|
|
Telecommunications & Cellular--1.6% |
|
|
|
|
|
3,000,000 |
|
Enitel ASA, 12.50%, 4/15/2010 |
|
|
2,798,850 |
|
|
2,500,000 |
1, 2 |
Jazztel PLC, Sr. Note, Series 144A, 13.25%, 12/15/2009 |
|
|
2,145,785 |
|
|
4,000,000 |
1, 2 |
Level 3 Communications, Inc., Series 144A, 10.75%, 3/15/2008 |
|
|
3,377,278 |
|
Foreign |
|
|
|
Value in |
||
|
|
|
|
INTERNATIONAL BONDS--continued |
|
|
|
|
|
|
|
EURO--continued |
|
|
|
|
|
|
|
Telecommunications & Cellular--continued |
|
|
|
|
|
2,500,000 |
1, 2 |
PTC International Finance, Company Guarantee, Series 144A, 11.25%, 12/01/2009 |
|
$ |
2,461,821 |
|
|
4,000,000 |
1, 2 |
Viatel, Inc., Sr. Note, Series 144A, 12.75%, 4/15/2008 |
|
|
3,470,573 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
14,254,307 |
|
|
||||||
|
|
|
|
TOTAL EURO |
|
|
42,483,064 |
|
|
||||||
|
|
|
|
HUNGARIAN FORINT--0.8% |
|
|
|
|
|
|
|
Sovereign--0.6% |
|
|
|
|
|
250,000,000 |
|
Hungary, Government of, Bond, 9.50%, 1/12/2002 |
|
|
889,549 |
|
|
580,000,000 |
|
Hungary, Government of, Bond, 14.00%, 12/12/2002 |
|
|
2,257,812 |
|
|
450,000,000 |
|
Hungary, Government of, Bond, 13.00%, 7/24/2003 |
|
|
1,747,706 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
4,895,067 |
|
|
||||||
|
|
|
|
Supranational--0.2% |
|
|
|
|
|
400,000,000 |
|
European Investment Bank, Series 3, 11.75%, 6/25/2004 |
|
|
1,538,260 |
|
|
||||||
|
|
|
|
TOTAL HUNGARIAN FORINT |
|
|
6,433,327 |
|
|
||||||
|
|
|
|
INDONESIAN RUPIAH--0.0% |
|
|
|
|
|
|
|
Financial Intermediaries--0.0% |
|
|
|
|
|
1,000,000,000 |
3 |
Polysindo International Finance Co., 13.00%, 6/15/2001 |
|
|
13,910 |
|
|
||||||
|
|
|
|
NEW ZEALAND DOLLAR--0.3% |
|
|
|
|
|
|
|
Financial Intermediaries--0.0% |
|
|
|
|
|
840,000 |
|
Brierley Investment Ltd., Bond, 9.00%, 3/15/2002 |
|
|
384,022 |
|
|
||||||
|
|
|
|
Sovereign--0.3% |
|
|
|
|
|
3,520,000 |
|
New Zealand, Government of, Bond, 5.50%, 4/15/2003 |
|
|
1,543,322 |
|
|
2,300,000 |
|
New Zealand, Government of, Deb., 8.00%, 11/15/2006 |
|
|
1,104,764 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
2,648,086 |
|
|
||||||
|
|
|
|
TOTAL NEW ZEALAND DOLLAR |
|
|
3,032,108 |
|
|
||||||
|
|
|
|
NORWEGIAN KRONE--0.1% |
|
|
|
|
|
|
|
Sovereign--0.1% |
|
|
|
|
|
3,000,000 |
|
Norway, Government of, Bond, 7.00%, 5/31/2001 |
|
|
336,780 |
|
|
8,000,000 |
|
Norway, Government of, Bond, 9.50%, 10/31/2002 |
|
|
951,039 |
|
|
||||||
|
|
|
|
TOTAL NORWEGIAN KRONE |
|
|
1,287,819 |
|
|
||||||
|
|
|
|
POLISH ZLOTY--1.0% |
|
|
|
|
|
|
|
Sovereign--1.0% |
|
|
|
|
|
4,500,000 |
|
Poland, Government of, 10.00%, 6/12/2004 |
|
|
867,748 |
|
|
17,750,000 |
|
Poland, Government of, Bond, 12.00%, 10/12/2003 |
|
|
3,630,774 |
|
Foreign |
|
|
|
Value in |
||
|
|
|
|
INTERNATIONAL BONDS--continued |
|
|
|
|
|
|
|
POLISH ZLOTY--continued |
|
|
|
|
|
|
|
Sovereign--continued |
|
|
|
|
|
7,870,000 |
|
Poland, Government of, Bond, 12.00%, 2/12/2002 |
|
$ |
1,639,359 |
|
|
4,500,000 |
|
Poland, Government of, Bond, 12.00%, 2/12/2003 |
|
|
920,990 |
|
|
1,500,000 |
|
Poland, Government of, Bond, 12.00%, 6/12/2001 |
|
|
321,672 |
|
|
6,000,000 |
|
Poland, Government of, Bond, 12.00%, 6/12/2002 |
|
|
1,240,956 |
|
|
||||||
|
|
|
|
TOTAL POLISH ZLOTY |
|
|
8,621,499 |
|
|
||||||
|
|
|
|
SOUTH AFRICAN RAND--0.7% |
|
|
|
|
|
|
|
Government Agency--0.3% |
|
|
|
|
|
11,000,000 |
|
Lesotho Water Authority, Foreign Government Guarantee, 13.00%, 9/15/2010 |
|
|
1,406,447 |
|
|
10,000,000 |
|
Telkom SA Ltd., 10.00%, 3/31/2008 |
|
|
1,124,153 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
2,530,600 |
|
|
||||||
|
|
|
|
Sovereign--0.4% |
|
|
|
|
|
10,000,000 |
|
South Africa, Government of, 12.00%, 2/28/2005 |
|
|
1,343,698 |
|
|
15,000,000 |
|
South Africa, Government of, 13.50%, 9/15/2015 |
|
|
2,036,304 |
|
|
2,500,000 |
|
South Africa, Government of, Bond, 12.50%, 1/15/2002 |
|
|
359,062 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
3,739,064 |
|
|
||||||
|
|
|
|
TOTAL SOUTH AFRICAN RAND |
|
|
6,269,664 |
|
|
||||||
|
|
|
|
U.S. DOLLAR--24.3% |
|
|
|
|
|
|
|
Agency--0.4% |
|
|
|
|
$ |
2,000,000 |
|
Quebec, Province of, 11.00%, 6/15/2015 |
|
|
2,084,480 |
|
|
1,500,000 |
|
Quebec, Province of, Deb., 9.125%, 8/22/2001 |
|
|
1,531,365 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
3,615,845 |
|
|
||||||
|
|
|
|
Banking--0.9% |
|
|
|
|
|
3,000,000 |
|
Bancomext Trust, Bank Guarantee, 11.25%, 5/30/2006 |
|
|
3,183,000 |
|
|
5,000,000 |
|
China Development Bank, 8.25%, 5/15/2009 |
|
|
4,876,700 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
8,059,700 |
|
|
||||||
|
|
|
|
Broadcast Radio & TV--0.2% |
|
|
|
|
|
2,000,000 |
|
Globo Communicacoes Part, Sr. Note, 10.625%, 12/05/2008 |
|
|
1,651,104 |
|
|
||||||
|
|
|
|
Building & Development--0.7% |
|
|
|
|
|
5,000,000 |
|
Cemex SA, Bond, 12.75%, 7/15/2006 |
|
|
5,640,795 |
|
|
1,000,000 |
|
Corporacion GEO, SA de CV, Note, 10.00%, 5/23/2002 |
|
|
880,000 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
6,520,795 |
|
|
||||||
|
Principal |
|
|
|
Value in |
||
|
|
|
|
INTERNATIONAL BONDS--continued |
|
|
|
|
|
|
|
U.S. DOLLAR--continued |
|
|
|
|
|
|
|
Cable & Wireless Television--0.1% |
|
|
|
|
$ |
1,250,000 |
1, 2 |
Imasac, SA, 11%, 5/02/2005 |
|
$ |
775,000 |
|
|
||||||
|
|
|
|
Consumer Products--0.1% |
|
|
|
|
|
1,500,000 |
|
Mastellone Hermanos SA, Bond, 11.75%, 4/01/2008 |
|
|
1,035,000 |
|
|
||||||
|
|
|
|
Container & Glass Products--0.4% |
|
|
|
|
|
4,750,000 |
|
Vicap, SA, Sr. Note, Series EXCH, 11.375%, 5/15/2007 |
|
|
4,025,625 |
|
|
||||||
|
|
|
|
Finance--0.1% |
|
|
|
|
|
1,000,000 |
|
Pera Financial, Services Bond, Series REG S, 9.375%, 10/15/2002 |
|
|
951,250 |
|
|
||||||
|
|
|
|
Food & Drug Retailers--0.4% |
|
|
|
|
|
3,500,000 |
1, 2 |
Premier International Foods, PLC, 12%, 9/01/2009 |
|
|
3,342,500 |
|
|
||||||
|
|
|
|
Industrial Products & Equipment--0.1% |
|
|
|
|
|
1,000,000 |
|
TM Group Holdings, Sr. Note, 11.00%, 5/15/2008 |
|
|
805,000 |
|
|
||||||
|
|
|
|
Metals & Mining--0.2% |
|
|
|
|
|
2,000,000 |
1 |
Codelco, Inc, Unsecd. Note, 7.375%, 5/01/2009 |
|
|
1,812,640 |
|
|
||||||
|
|
|
|
Oil & Gas--0.4% |
|
|
|
|
|
3,800,000 |
|
Perez Companc, SA, Series REGS, 9.00%, 5/01/2006 |
|
|
3,372,500 |
|
|
||||||
|
|
|
|
Sovereign--11.9% |
|
|
|
|
|
3,850,000 |
|
Argentina, Government of, Discount Bond, 3/31/2023 |
|
|
3,195,500 |
|
|
5,000,000 |
|
Brazil, Government of, C Bond, 7.00%, 4/15/2012 |
|
|
3,562,500 |
|
|
12,335,313 |
|
Brazil, Government of, C Bond, 8.00%, 4/15/2014 |
|
|
8,634,719 |
|
|
8,751,000 |
|
Brazil, Government of, 14.50%, 10/15/2009 |
|
|
8,969,775 |
|
|
14,220,000 |
|
Bulgaria, Government of, 7.062%, 7/28/2024 |
|
|
10,743,708 |
|
|
3,750,000 |
|
Jordan, Government of, 12/23/2023 |
|
|
2,330,715 |
|
|
3,100,000 |
|
Mexico, Government of, 10.375%, 2/17/2009 |
|
|
3,134,875 |
|
|
7,000,000 |
|
Mexico, Government of, 11.375%, 9/15/2016 |
|
|
7,516,250 |
|
|
3,000,000 |
|
Mexico, Government of, 8.625%, 3/12/2008 |
|
|
2,790,000 |
|
|
4,000,000 |
|
Mexico, Government of, Foreign Government Guarantee, Series D, 12/31/2019 |
|
|
3,910,000 |
|
|
3,931,579 |
|
Morocco R&CA, Foreign Government Guarantee, 2.03%, 1/1/2009 |
|
|
3,469,619 |
|
|
6,500,000 |
|
Panama, Government of, Bond, 8.875%, 9/30/2027 |
|
|
4,988,750 |
|
|
3,000,000 |
|
Panama-Irb, Deb., Series 18YR, 7/17/2014 |
|
|
2,280,000 |
|
Principal |
|
|
|
Value in |
||
|
|
|
|
INTERNATIONAL BONDS--continued |
|
|
|
|
|
|
|
U.S. DOLLAR--continued |
|
|
|
|
|
|
|
Sovereign--continued |
|
|
|
|
$ |
2,500,000 |
|
Peru, Gov Brady Flirb, Series 20 YR, 3/07/2017 |
|
$ |
1,390,625 |
|
|
2,000,000 |
|
Peru, Government of, Brady, Bond, Series 20 YR, 3/07/2017 |
|
|
1,245,000 |
|
|
9,300,000 |
|
Russia, Government of, Series REGS, 10.00%, 6/26/2007 |
|
|
6,393,750 |
|
|
8,300,000 |
|
South Africa, Government, Sr. Unsub., 9.125%, 5/19/2009 |
|
|
7,834,370 |
|
|
10,000,000 |
|
Turkey, Government of, Sr. Unsub., 11.875%, 1/15/2030 |
|
|
10,450,000 |
|
|
10,000,000 |
|
Turkey, Government of, Sr. Unsub., 12.375%, 6/15/2009 |
|
|
10,393,900 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
103,234,056 |
|
|
||||||
|
|
|
|
Sovereign Government--5.1% |
|
|
|
|
|
15,000,000 |
|
Brazil, Government of, Bond, 12.25%, 3/06/2030 |
|
|
13,237,500 |
|
|
15,000,000 |
|
Brazil, Government of, Bond, 12.75%, 1/15/2020 |
|
|
13,800,000 |
|
|
2,750,000 |
|
El Salvador, Government, Note, Series REGS, 9.50%, 8/15/2006 |
|
|
2,777,500 |
|
|
10,000,000 |
1, 2 |
Kazakhstan, Government of, Bond, Series 144A, 11.125%, 5/11/2007 |
|
|
10,175,000 |
|
|
4,000,000 |
|
Qatar, Government of, Series REGS, 9.50%, 5/21/2009 |
|
|
4,020,000 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
44,010,000 |
|
|
||||||
|
|
|
|
Surface Transportation--0.2% |
|
|
|
|
|
1,700,000 |
|
Kowloon-Canton Railway, Note, 8.00%, 3/15/2010 |
|
|
1,656,837 |
|
|
||||||
|
|
|
|
Technology Services--0.5% |
|
|
|
|
|
4,500,000 |
1, 2 |
Hyundai Semicon, 8.625%, Series 144A, 5/15/2007 |
|
|
3,964,635 |
|
|
||||||
|
|
|
|
Telecommunications & Cellular--2.1% |
|
|
|
|
|
4,000,000 |
|
Alestra, SA, 12.625%, 5/15/2009 |
|
|
3,520,000 |
|
|
5,000,000 |
|
Maxcom Telecomunicacione, 13.75%, 4/01/2007 |
|
|
4,262,500 |
|
|
5,600,000 |
|
Netia Holdings, BV, Series B, 11.25%, 11/01/2007 |
|
|
3,836,000 |
|
|
3,000,000 |
|
Nuevo Grupo Iusacell SA de CV, 14.25%, Series REGS, 12/01/2006 |
|
|
2,985,000 |
|
|
3,500,000 |
|
Tricom, SA, Sr. Note, 11.375%, 9/1/2004 |
|
|
3,342,500 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
17,946,000 |
|
|
||||||
|
|
|
|
Utilities--0.5% |
|
|
|
|
|
4,500,000 |
|
Empresa Nacional Electricidad SA, Bond, 8.50%, 4/01/2009 |
|
|
4,222,170 |
|
|
||||||
|
|
|
|
TOTAL U.S. DOLLAR |
|
|
211,000,657 |
|
|
||||||
|
|
|
|
TOTAL INTERNATIONAL BONDS (IDENTIFIED COST $321,393,141) |
|
|
294,866,469 |
|
|
||||||
|
|
|
|
ASSET-BACKED SECURITIES--0.4% |
|
|
|
|
|
|
|
Structured Product--0.4% |
|
|
|
|
|
2,500,000 |
1, 2 |
125 Home Loan Owner Trust 1998-1A, Class B1, 9.26%, 2/15/2029 |
|
|
2,173,438 |
|
|
1,000,000 |
|
New Century Home Equity Loan Trust 1997-NC5, Class M2, 7.24%, 10/25/2028 |
|
|
933,281 |
|
Principal |
|
|
|
Value in |
||
|
|
|
|
ASSET-BACKED SECURITIES--continued |
|
|
|
|
|
|
|
Structured Product--continued |
|
|
|
|
$ |
460,232 |
1 |
SMFC Trust Asset-Backed Certificates, Series 1997-A, Class 4, 7.7191%, 01/28/2025 |
|
$ |
378,828 |
|
|
||||||
|
|
|
|
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $3,913,586) |
|
|
3,485,547 |
|
|
||||||
|
|
|
|
U.S. GOVERNMENT AGENCIES--0.1% |
|
|
|
|
|
|
|
Long-Term Government Obligations--0.1% |
|
|
|
|
|
629,391 |
|
Government National Mortgage Association, 11.00%, 9/15/2015 (identified cost $707,278) |
|
|
683,279 |
|
|
||||||
|
|
|
|
U.S. TREASURY BONDS--6.8% |
|
|
|
|
|
|
|
U.S. Treasury Bonds--6.8% |
|
|
|
|
|
6,500,000 |
|
United States Treasury Bond, 10.750%, 2/15/2003 |
|
|
7,128,225 |
|
|
9,500,000 |
|
United States Treasury Bond, 10.750%, 8/15/2005 |
|
|
11,184,160 |
|
|
10,550,000 |
|
United States Treasury Bond, 11.625%, 11/15/2004 |
|
|
12,536,776 |
|
|
3,800,000 |
|
United States Treasury Bond, 11.875%, 11/15/2003 |
|
|
4,394,130 |
|
|
10,910,000 |
|
United States Treasury Bond, 12.375%, 5/15/2004 |
|
|
13,021,303 |
|
|
10,000,000 |
|
United States Treasury Bond, 14.250%, 2/15/2002 |
|
|
11,182,600 |
|
|
||||||
|
|
|
|
TOTAL U.S. TREASURY BONDS (IDENTIFIED COST $66,004,450) |
|
|
59,447,194 |
|
|
||||||
|
|
|
|
MUNICIPALS--0.3% |
|
|
|
|
|
|
|
Municipal Services--0.2% |
|
|
|
|
|
750,000 |
|
Atlanta & Fulton County, GA, Recreation Authority, Taxable Revenue Bonds, Series 1997, 7.00%, Bonds (Downtown Arena Project) 12/01/2028 |
|
|
649,365 |
|
|
250,000 |
|
McKeesport, PA, Taxable GO, Series B 1997, 7.30%, Bonds (MBIA INS) 03/01/2020 |
|
|
227,748 |
|
|
1,000,000 |
|
Minneapolis/St. Paul, MN Airport Commission, UT GO Taxable Revenue Bonds, Series 9, 8.950%, Bonds (Minneapolis/St. Paul, MN) 01/01/2022 |
|
|
1,040,040 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
1,917,153 |
|
|
||||||
|
|
|
|
Real Estate--0.1% |
|
|
|
|
|
900,000 |
|
North Central, TX, Housing Finance Corp., Housing Revenue Bonds, |
|
|
897,615 |
|
|
||||||
|
|
|
|
TOTAL MUNICIPALS (IDENTIFIED COST $2,994,929) |
|
|
2,814,768 |
|
|
||||||
|
|
|
|
MUTUAL FUNDS--45.1% |
|
|
|
|
|
2,918,425 |
4 |
Federated Mortgage Core Portfolio |
|
|
27,462,377 |
|
|
15,303,708 |
5 |
Prime Value Obligations Fund, Class IS |
|
|
15,303,708 |
|
|
3,500,000 |
1, 2 |
Regional Diversified Fund, 9.25%, 3/15/2030 |
|
|
3,455,813 |
|
|
43,344,260 |
4 |
The High Yield Bond Portfolio |
|
|
345,453,753 |
|
|
||||||
|
|
|
|
TOTAL MUTUAL FUNDS (IDENTIFIED COST $466,406,084) |
|
|
391,675,651 |
|
|
||||||
|
Shares |
|
|
|
Value in |
||
|
|
|
|
COMMON STOCKS--0.0%3 |
|
|
|
|
|
|
|
Sovereign--0.0% |
|
|
|
|
|
250 |
3 |
Nigeria, Government of, Warrants |
|
$ |
3 |
|
|
7,500 |
3 |
Venezuela, Government of, Warrants |
|
|
0 |
|
|
||||||
|
|
|
|
TOTAL COMMON STOCKS (IDENTIFIED COST $0) |
|
|
3 |
|
|
||||||
|
|
|
|
PREFERRED STOCKS--0.6% |
|
|
|
|
|
|
|
Financial Intermediaries--0.2% |
|
|
|
|
|
40,000 |
|
Lehman Brothers Holdings, Pfd. 5.67% |
|
|
1,510,000 |
|
|
||||||
|
|
|
|
Real Estate--0.2% |
|
|
|
|
|
2,000 |
|
Highwoods Properties, Inc., REIT Perpetual Pfd. Stock, Series A, $86.25 |
|
|
1,308,840 |
|
|
9,900 |
|
Prologis Trust, Cumulative Pfd. |
|
|
432,816 |
|
|
||||||
|
|
|
|
TOTAL |
|
|
1,741,656 |
|
|
||||||
|
|
|
|
Telecommunications & Cellular--0.2% |
|
|
|
|
|
63,800 |
|
TCI Communications, Pfd., $2.50 |
|
|
1,646,838 |
|
|
||||||
|
|
|
|
TOTAL PREFERRED STOCKS (IDENTIFIED COST $5,857,461) |
|
|
4,898,494 |
|
|
||||||
|
|
|
|
TOTAL INVESTMENTS (IDENTIFIED COST $980,423,829)6 |
|
$ |
860,212,897 |
|
|
||||||
1 Denotes a restricted security which is subject to restrictions on resale under federal securities laws. At May 31, 2000, these securities amounted to $54,887,182 which represents 6.3% of net assets. Included in these amounts securities which have been deemed liquid amounted to $52,695,714 which represents 6.1% of net assets.
2 Denotes a restricted security that has been deemed liquid by criteria approved by the fund's Board of Directors.
3 Non-income producing security
4 Pursuant to an exemptive order, the fund may invest in Federated Core Trust (the "Trust") which is also managed by Federated Investment Management Company, the fund's adviser. The Trust is an open-end management investment company under the Investment Company Act of 1940 available only to registered investment companies and other institutional investors. High Yield Bond Portfolio and Federated Mortgage Core Portfolio (the "Portfolios") are two series of the Trust. Federated receives no fees on behalf of the Portfolios. Income distributions from the Portfolios are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and recorded by the fund as capital gains received.
5 Pursuant to an exemptive order, the fund may invest in Prime Value Obligations Fund which is managed by Federated Investment Management Company, the fund's adviser. The adviser has agreed to reimburse certain investment adviser fees as a result of these transactions.
6 The cost of investments for federal tax purposes amounts to $983,285,079. The net unrealized depreciation of investments on a federal tax basis amounts to $(121,745,682) which is comprised of $3,262,756 appreciation and $125,008,438 depreciation at May 31, 2000.
Note: The categories of investments are shown as a percentage of net assets ($868,675,348) at May 31, 2000.
The following acronyms are used throughout this portfolio:
|
GO |
--General Obligation |
|
REIT |
--Real Estate Investment Trust |
|
UT |
--Unlimited Tax |
|
MTN |
--Medium Term Note |
|
DEB |
--Debenture |
See Notes which are an integral part of the Financial Statements
MAY 31, 2000 (UNAUDITED)
|
Assets: |
|
|
|
|
|
|
|
|
Total investments in securities, at value (identified and tax cost $980,423,829) |
|
|
|
|
$ |
860,212,897 |
|
|
Cash |
|
|
|
|
|
11 |
|
|
Cash denominated in foreign currencies (identified cost $160,604) |
|
|
|
|
|
161,233 |
|
|
Income receivable |
|
|
|
|
|
16,515,873 |
|
|
Receivable for investments sold |
|
|
|
|
|
4,937,491 |
|
|
Receivable for shares sold |
|
|
|
|
|
1,399,807 |
|
|
|
|||||||
|
TOTAL ASSETS |
|
|
|
|
|
883,227,312 |
|
|
|
|||||||
|
Liabilities: |
|
|
|
|
|
|
|
|
Payable for investments purchased |
|
$ |
10,127,666 |
|
|
|
|
|
Payable for shares redeemed |
|
|
674,681 |
|
|
|
|
|
Income distribution payable |
|
|
3,340,130 |
|
|
|
|
|
Payable for taxes withheld |
|
|
64,273 |
|
|
|
|
|
Net payable for foreign currency exchange contracts |
|
|
112 |
|
|
|
|
|
Accrued expenses |
|
|
345,102 |
|
|
|
|
|
|
|||||||
|
TOTAL LIABILITIES |
|
|
|
|
|
14,551,964 |
|
|
|
|||||||
|
Net assets for 100,521,978 shares outstanding |
|
|
|
|
$ |
868,675,348 |
|
|
|
|||||||
|
Net Assets Consist of: |
|
|
|
|
|
|
|
|
Paid in capital |
|
|
|
|
$ |
1,025,704,179 |
|
|
Net unrealized depreciation of investments and translation of assets and liabilities in foreign currency |
|
|
|
|
|
(120,339,621 |
) |
|
Accumulated net realized loss on investments and foreign currency transactions |
|
|
|
|
|
(33,605,026 |
) |
|
Distributions in excess of net investment income |
|
|
|
|
|
(3,084,184 |
) |
|
|
|||||||
|
TOTAL NET ASSETS |
|
|
|
|
$ |
868,675,348 |
|
|
|
|||||||
|
Net Asset Value, Offering Price and Redemption Proceeds Per Share |
|
|
|
|
|
|
|
|
Class A Shares: |
|
|
|
|
|
|
|
|
Net Asset Value Per Share ($136,188,939 ÷ 15,753,492 shares outstanding) |
|
|
|
|
|
$8.65 |
|
|
|
|||||||
|
Offering Price Per Share (100/95.50 of $8.65)1 |
|
|
|
|
|
$9.06 |
|
|
|
|||||||
|
Redemption Proceeds Per Share |
|
|
|
|
|
$8.65 |
|
|
|
|||||||
|
Class B Shares: |
|
|
|
|
|
|
|
|
Net Asset Value Per Share ($643,630,671 ÷ 74,483,261 shares outstanding) |
|
|
|
|
|
$8.64 |
|
|
|
|||||||
|
Offering Price Per Share |
|
|
|
|
|
$8.64 |
|
|
|
|||||||
|
Redemption Proceeds Per Share (94.50/100 of $8.64)2 |
|
|
|
|
|
$8.16 |
|
|
|
|||||||
|
Class C Shares: |
|
|
|
|
|
|
|
|
Net Asset Value Per Share ($58,113,134 ÷ 6,726,139 shares outstanding) |
|
|
|
|
|
$8.64 |
|
|
|
|||||||
|
Offering Price Per Share |
|
|
|
|
|
$8.64 |
|
|
|
|||||||
|
Redemption Proceeds Per Share (99.00/100 of $8.64)2 |
|
|
|
|
|
$8.55 |
|
|
|
|||||||
|
Class F Shares: |
|
|
|
|
|
|
|
|
Net Asset Value Per Share ($30,742,604 ÷ 3,559,086 shares outstanding) |
|
|
|
|
|
$8.64 |
|
|
|
|||||||
|
Offering Price Per Share (100/99.00 of $8.64)1 |
|
|
|
|
|
$8.73 |
|
|
|
|||||||
|
Redemption Proceeds Per Share (99.00/100 of $8.64)2 |
|
|
|
|
|
$8.55 |
|
|
|
|||||||
1 See "What Do Shares Cost?" in the Prospectus.
See Notes which are an integral part of the Financial Statements
SIX MONTHS ENDED MAY 31, 2000 (UNAUDITED)
|
Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends |
|
|
|
|
|
|
|
|
|
$ |
21,513,322 |
|
|
Interest (net of foreign taxes withheld of $57,573) |
|
|
|
|
|
|
|
|
|
|
26,766,806 |
|
|
|
||||||||||||
|
TOTAL INCOME |
|
|
|
|
|
|
|
|
|
|
48,280,128 |
|
|
|
||||||||||||
|
Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment adviser fee |
|
|
|
|
|
$ |
3,986,936 |
|
|
|
|
|
|
Administrative personnel and services fee |
|
|
|
|
|
|
353,209 |
|
|
|
|
|
|
Custodian fees |
|
|
|
|
|
|
103,929 |
|
|
|
|
|
|
Transfer and dividend disbursing agent fees and expenses |
|
|
|
|
|
|
390,853 |
|
|
|
|
|
|
Directors'/Trustees' fees |
|
|
|
|
|
|
4,667 |
|
|
|
|
|
|
Auditing fees |
|
|
|
|
|
|
7,778 |
|
|
|
|
|
|
Legal fees |
|
|
|
|
|
|
63,131 |
|
|
|
|
|
|
Portfolio accounting fees |
|
|
|
|
|
|
86,990 |
|
|
|
|
|
|
Distribution services fee--Class B Shares |
|
|
|
|
|
|
2,611,675 |
|
|
|
|
|
|
Distribution services fee--Class C Shares |
|
|
|
|
|
|
243,200 |
|
|
|
|
|
|
Distribution services fee--Class F Shares |
|
|
|
|
|
|
81,387 |
|
|
|
|
|
|
Shareholder services fee--Class A Shares |
|
|
|
|
|
|
180,310 |
|
|
|
|
|
|
Shareholder services fee--Class B Shares |
|
|
|
|
|
|
870,559 |
|
|
|
|
|
|
Shareholder services fee--Class C Shares |
|
|
|
|
|
|
81,066 |
|
|
|
|
|
|
Shareholder services fee--Class F Shares |
|
|
|
|
|
|
40,694 |
|
|
|
|
|
|
Share registration costs |
|
|
|
|
|
|
41,120 |
|
|
|
|
|
|
Printing and postage |
|
|
|
|
|
|
127,653 |
|
|
|
|
|
|
Insurance premiums |
|
|
|
|
|
|
1,407 |
|
|
|
|
|
|
Taxes |
|
|
|
|
|
|
43,344 |
|
|
|
|
|
|
Miscellaneous |
|
|
|
|
|
|
11,358 |
|
|
|
|
|
|
|
||||||||||||
|
TOTAL EXPENSES |
|
|
|
|
|
|
9,331,266 |
|
|
|
|
|
|
|
||||||||||||
|
Waivers: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Waiver of investment adviser fee |
|
$ |
(891,227 |
) |
|
|
|
|
|
|
|
|
|
Waiver of distribution services fee--Class F Shares |
|
|
(81,387 |
) |
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
TOTAL WAIVERS |
|
|
|
|
|
|
(972,614 |
) |
|
|
|
|
|
|
||||||||||||
|
Net expenses |
|
|
|
|
|
|
|
|
|
|
8,358,652 |
|
|
|
||||||||||||
|
Net investment income |
|
|
|
|
|
|
|
|
|
|
39,921,476 |
|
|
|
||||||||||||
|
Realized and Unrealized Loss on Investments and |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized loss on investments and foreign currency transactions (net of foreign taxes withheld of $312,984) |
|
|
|
|
|
|
|
|
|
|
(16,720,951 |
) |
|
Net change in unrealized depreciation of investments and translation of assets and liabilities in foreign currency |
|
|
|
|
|
|
|
|
|
|
(39,595,415 |
) |
|
|
||||||||||||
|
Net realized and unrealized loss on investments and foreign currency transactions |
|
|
|
|
|
|
|
|
|
|
(56,266,366 |
) |
|
|
||||||||||||
|
Change in net assets resulting from operations |
|
|
|
|
|
|
|
|
|
$ |
(16,394,890 |
) |
|
|
||||||||||||
See Notes which are an integral part of the Financial Statements
|
|
|
Six Months |
|
|
Year Ended |
|
||
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
|
|
|
Operations: |
|
|
|
|
|
|
|
|
|
Net investment income |
|
$ |
39,921,476 |
|
|
$ |
82,819,074 |
|
|
Net realized loss on investments and foreign currency transactions ($(15,186,201) and $(17,152,593), respectively, as computed for federal tax purposes) |
|
|
(16,720,951 |
) |
|
|
(20,108,590 |
) |
|
Net change in unrealized depreciation of investments and translation of assets and liabilities in foreign currency |
|
|
(39,595,415 |
) |
|
|
(46,807,179 |
) |
|
|
||||||||
|
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
(16,394,890 |
) |
|
|
15,903,305 |
|
|
|
||||||||
|
Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
Distributions from net investment income |
|
|
|
|
|
|
|
|
|
Class A Shares |
|
|
(6,444,821 |
) |
|
|
(12,758,527 |
) |
|
Class B Shares |
|
|
(28,570,843 |
) |
|
|
(58,087,441 |
) |
|
Class C Shares |
|
|
(2,656,366 |
) |
|
|
(5,781,200 |
) |
|
Class F Shares |
|
|
(1,458,716 |
) |
|
|
(3,034,312 |
) |
|
|
||||||||
|
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS |
|
|
(39,130,746 |
) |
|
|
(79,661,480 |
) |
|
|
||||||||
|
Share Transactions: |
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares |
|
|
88,561,850 |
|
|
|
334,730,494 |
|
|
Net asset value of shares issued to shareholders in payment of distributions declared |
|
|
19,792,919 |
|
|
|
38,367,991 |
|
|
Cost of shares redeemed |
|
|
(170,592,493 |
) |
|
|
(263,103,742 |
) |
|
|
||||||||
|
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS |
|
|
(62,237,724 |
) |
|
|
109,994,743 |
|
|
|
||||||||
|
Change in net assets |
|
|
(117,763,360 |
) |
|
|
46,236,568 |
|
|
|
||||||||
|
Net Assets: |
|
|
|
|
|
|
|
|
|
Beginning of period |
|
|
986,438,708 |
|
|
|
940,202,140 |
|
|
|
||||||||
|
End of period |
|
$ |
868,675,348 |
|
|
$ |
986,438,708 |
|
|
|
||||||||
See Notes which are an integral part of the Financial Statements
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
|
|
|
Six Months |
|
|
Year Ended November 30, |
|||||||||||||
|
|
|
2000 |
|
|
1999 |
|
|
1998 |
|
|
1997 |
|
|
1996 |
|
|
1995 |
|
|
Net Asset Value, Beginning of Period |
|
$ 9.19 |
|
|
$ 9.79 |
|
|
$10.41 |
|
|
$10.47 |
|
|
$10.14 |
|
|
$ 9.54 |
|
|
Income From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
0.42 |
|
|
0.87 |
|
|
0.83 |
|
|
0.87 |
1 |
|
0.91 |
|
|
0.82 |
|
|
Net realized and unrealized gain (loss) on investments and foreign currency transactions |
|
(0.55 |
) |
|
(0.65 |
) |
|
(0.54 |
) |
|
(0.03 |
) |
|
0.42 |
|
|
0.61 |
|
|
|
||||||||||||||||||
|
TOTAL FROM |
|
(0.13 |
) |
|
0.22 |
|
|
0.29 |
|
|
0.84 |
|
|
1.33 |
|
|
1.43 |
|
|
|
||||||||||||||||||
|
Less Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions from net investment income |
|
(0.41 |
) |
|
(0.82 |
) |
|
(0.81 |
) |
|
(0.87 |
) |
|
(0.89 |
) |
|
(0.83 |
) |
|
Distributions in excess of net investment income2 |
|
-- |
|
|
-- |
|
|
(0.07 |
) |
|
-- |
|
|
(0.03 |
) |
|
-- |
|
|
Distributions from net realized gain on investments and foreign currency transactions |
|
-- |
|
|
-- |
|
|
(0.03 |
) |
|
(0.03 |
) |
|
(0.08 |
) |
|
-- |
|
|
|
||||||||||||||||||
|
TOTAL DISTRIBUTIONS |
|
(0.41 |
) |
|
(0.82 |
) |
|
(0.91 |
) |
|
(0.90 |
) |
|
(1.00 |
) |
|
(0.83 |
) |
|
|
||||||||||||||||||
|
Net Asset Value, End of Period |
|
$ 8.65 |
|
|
$ 9.19 |
|
|
$ 9.79 |
|
|
$10.41 |
|
|
$10.47 |
|
|
$10.14 |
|
|
|
||||||||||||||||||
|
Total Return3 |
|
(1.54 |
%) |
|
2.30 |
% |
|
2.94 |
% |
|
8.33 |
% |
|
13.89 |
% |
|
15.64 |
% |
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Expenses |
|
1.18 |
%4 |
|
1.16 |
% |
|
1.13 |
% |
|
1.10 |
% |
|
1.05 |
% |
|
0.25 |
% |
|
|
||||||||||||||||||
|
Net investment income |
|
9.20 |
%4 |
|
8.93 |
% |
|
8.12 |
% |
|
8.40 |
% |
|
8.54 |
% |
|
8.68 |
% |
|
|
||||||||||||||||||
|
Expense waiver/reimbursement5 |
|
0.19 |
%4 |
|
0.21 |
% |
|
0.24 |
% |
|
0.36 |
% |
|
0.98 |
% |
|
5.69 |
% |
|
|
||||||||||||||||||
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Net assets, end of period (000 omitted) |
|
$136,189 |
|
$148,365 |
|
$141,065 |
|
$58,270 |
|
$28,021 |
|
$5,089 |
|
|||||
|
|
||||||||||||||||||
|
Portfolio turnover |
|
27 |
% |
|
51 |
% |
|
93 |
% |
|
40 |
% |
|
47 |
% |
|
158 |
% |
|
|
||||||||||||||||||
1 Per share information is based on average shares outstanding.
2 Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These distributions do not represent a return of capital for federal income tax purposes.
3 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.
4 Computed on an annualized basis.
5 This voluntary expense decrease is reflected in both the expense and net investment income ratios shown above.
See Notes which are an integral part of the Financial Statements
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
|
|
|
Six Months |
|
|
Year Ended November 30, |
|||||||||||||
|
|
|
2000 |
|
|
1999 |
|
|
1998 |
|
|
1997 |
|
|
1996 |
|
|
1995 |
1 |
|
Net Asset Value, Beginning of Period |
|
$ 9.19 |
|
|
$ 9.79 |
|
|
$10.40 |
|
|
$10.47 |
|
|
$10.14 |
|
|
$10.00 |
|
|
Income From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
0.38 |
|
|
0.80 |
|
|
0.75 |
|
|
0.79 |
2 |
|
0.83 |
|
|
0.25 |
|
|
Net realized and unrealized gain (loss) on investments and foreign currency transactions |
|
(0.56 |
) |
|
(0.65 |
) |
|
(0.53 |
) |
|
(0.04 |
) |
|
0.42 |
|
|
0.13 |
|
|
|
||||||||||||||||||
|
TOTAL FROM |
|
(0.18 |
) |
|
0.15 |
|
|
0.22 |
|
|
0.75 |
|
|
1.25 |
|
|
0.38 |
|
|
|
||||||||||||||||||
|
Less Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions from net investment income |
|
(0.37 |
) |
|
(0.75 |
) |
|
(0.73 |
) |
|
(0.79 |
) |
|
(0.83 |
) |
|
(0.24 |
) |
|
Distributions in excess of net investment income3 |
|
-- |
|
|
-- |
|
|
(0.07 |
) |
|
-- |
|
|
(0.01 |
) |
|
-- |
|
|
Distributions from net realized gain on investments and foreign currency transactions |
|
-- |
|
|
-- |
|
|
(0.03 |
) |
|
(0.03 |
) |
|
(0.08 |
) |
|
-- |
|
|
|
||||||||||||||||||
|
TOTAL DISTRIBUTIONS |
|
(0.37 |
) |
|
(0.75 |
) |
|
(0.83 |
) |
|
(0.82 |
) |
|
(0.92 |
) |
|
(0.24 |
) |
|
|
||||||||||||||||||
|
Net Asset Value, End of Period |
|
$ 8.64 |
|
|
$ 9.19 |
|
|
$ 9.79 |
|
|
$10.40 |
|
|
$10.47 |
|
|
$10.14 |
|
|
|
||||||||||||||||||
|
Total Return4 |
|
(2.02 |
%) |
|
1.54 |
% |
|
2.17 |
% |
|
7.53 |
% |
|
13.03 |
% |
|
5.13 |
% |
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Expenses |
|
1.93 |
%5 |
|
1.91 |
% |
|
1.88 |
% |
|
1.85 |
% |
|
1.80 |
% |
|
1.00 |
%5 |
|
|
||||||||||||||||||
|
Net investment income |
|
8.41 |
%5 |
|
8.18 |
% |
|
7.37 |
% |
|
7.67 |
% |
|
7.80 |
% |
|
7.95 |
%5 |
|
|
||||||||||||||||||
|
Expense waiver/reimbursement6 |
|
0.19 |
%5 |
|
0.21 |
% |
|
0.24 |
% |
|
0.37 |
% |
|
0.98 |
% |
|
5.69 |
%5 |
|
|
||||||||||||||||||
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Net assets, end of period (000 omitted) |
|
$643,631 |
|
$733,508 |
|
$689,687 |
|
$304,746 |
|
$120,020 |
|
$5,193 |
|
|||||
|
|
||||||||||||||||||
|
Portfolio turnover |
|
27 |
% |
|
51 |
% |
|
93 |
% |
|
40 |
% |
|
47 |
% |
|
158 |
% |
|
|
||||||||||||||||||
1 Reflects operations for the period from July 27, 1995 (date of initial public investment) to November 30, 1995.
2 Per share information is based on average shares outstanding.
3 Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These distributions do not represent a return of capital for federal income tax purposes.
4 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.
5 Computed on an annualized basis.
6 This voluntary expense decrease is reflected in both the expense and net investment income ratios shown above.
See Notes which are an integral part of the Financial Statements
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
|
|
|
Six Months |
|
|
Year Ended November 30, |
|||||||||||||
|
|
|
2000 |
|
|
1999 |
|
|
1998 |
|
|
1997 |
|
|
1996 |
|
|
1995 |
|
|
Net Asset Value, Beginning of Period |
|
$ 9.19 |
|
|
$ 9.79 |
|
|
$10.41 |
|
|
$10.47 |
|
|
$10.14 |
|
|
$ 9.54 |
|
|
Income From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
0.38 |
|
|
0.80 |
|
|
0.75 |
|
|
0.79 |
1 |
|
0.82 |
|
|
0.74 |
|
|
Net realized and unrealized gain (loss) on investments and foreign currency transactions |
|
(0.56 |
) |
|
(0.65 |
) |
|
(0.54 |
) |
|
(0.03 |
) |
|
0.43 |
|
|
0.61 |
|
|
|
||||||||||||||||||
|
TOTAL FROM |
|
(0.18 |
) |
|
0.15 |
|
|
0.21 |
|
|
0.76 |
|
|
1.25 |
|
|
1.35 |
|
|
|
||||||||||||||||||
|
Less Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions from net investment income |
|
(0.37 |
) |
|
(0.75 |
) |
|
(0.73 |
) |
|
(0.79 |
) |
|
(0.80 |
) |
|
(0.75 |
) |
|
Distributions in excess of net investment income2 |
|
-- |
|
|
-- |
|
|
(0.07 |
) |
|
-- |
|
|
(0.04 |
) |
|
-- |
|
|
Distributions from net realized gain on investments and foreign currency transactions |
|
-- |
|
|
-- |
|
|
(0.03 |
) |
|
(0.03 |
) |
|
(0.08 |
) |
|
-- |
|
|
|
||||||||||||||||||
|
TOTAL DISTRIBUTIONS |
|
(0.37 |
) |
|
(0.75 |
) |
|
(0.83 |
) |
|
(0.82 |
) |
|
(0.92 |
) |
|
(0.75 |
) |
|
|
||||||||||||||||||
|
Net Asset Value, End of Period |
|
$ 8.64 |
|
|
$ 9.19 |
|
|
$ 9.79 |
|
|
$10.41 |
|
|
$10.47 |
|
|
$10.14 |
|
|
|
||||||||||||||||||
|
Total Return3 |
|
(2.02 |
%) |
|
1.54 |
% |
|
2.18 |
% |
|
7.53 |
% |
|
13.05 |
% |
|
14.79 |
% |
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Expenses |
|
1.93 |
%4 |
|
1.91 |
% |
|
1.88 |
% |
|
1.86 |
% |
|
1.80 |
% |
|
1.00 |
% |
|
|
||||||||||||||||||
|
Net investment income |
|
8.41 |
%4 |
|
8.18 |
% |
|
7.37 |
% |
|
7.69 |
% |
|
7.70 |
% |
|
7.93 |
% |
|
|
||||||||||||||||||
|
Expense waiver/reimbursement5 |
|
0.19 |
%4 |
|
0.21 |
% |
|
0.24 |
% |
|
0.37 |
% |
|
0.98 |
% |
|
5.69 |
% |
|
|
||||||||||||||||||
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Net assets, end of period (000 omitted) |
|
$58,113 |
|
$70,531 |
|
$73,509 |
|
$29,267 |
|
$10,481 |
|
$2,323 |
|
|||||
|
|
||||||||||||||||||
|
Portfolio turnover |
|
27 |
% |
|
51 |
% |
|
93 |
% |
|
40 |
% |
|
47 |
% |
|
158 |
% |
|
|
||||||||||||||||||
1 Per share information is based on average shares outstanding.
2 Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These distributions do not represent a return of capital for federal income tax purposes.
3 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.
4 Computed on an annualized basis.
5 This voluntary expense decrease is reflected in both the expense and net investment income ratios shown above.
See Notes which are an integral part of the Financial Statements
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
|
|
|
Six Months |
|
|
Year Ended November 30, |
|||||||||||||
|
|
|
2000 |
|
|
1999 |
|
|
1998 |
|
|
1997 |
|
|
1996 |
|
|
1995 |
|
|
Net Asset Value, Beginning of Period |
|
$ 9.18 |
|
|
$ 9.79 |
|
|
$10.41 |
|
|
$10.47 |
|
|
$10.14 |
|
|
$ 9.54 |
|
|
Income From Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
0.42 |
|
|
0.87 |
|
|
0.82 |
|
|
0.87 |
1 |
|
0.95 |
|
|
0.77 |
|
|
Net realized and unrealized gain (loss) on investments and foreign currency transactions |
|
(0.55 |
) |
|
(0.66 |
) |
|
(0.53 |
) |
|
(0.03 |
) |
|
0.37 |
|
|
0.61 |
|
|
|
||||||||||||||||||
|
TOTAL FROM |
|
(0.13 |
) |
|
0.21 |
|
|
0.29 |
|
|
0.84 |
|
|
1.32 |
|
|
1.38 |
|
|
|
||||||||||||||||||
|
Less Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions from net investment income |
|
(0.41 |
) |
|
(0.82 |
) |
|
(0.81 |
) |
|
(0.87 |
) |
|
(0.91 |
) |
|
(0.78 |
) |
|
Distributions in excess of net investment income2 |
|
-- |
|
|
-- |
|
|
(0.07 |
) |
|
-- |
|
|
-- |
|
|
-- |
|
|
Distributions from net realized gain on investments and foreign currency transactions |
|
-- |
|
|
-- |
|
|
(0.03 |
) |
|
(0.03 |
) |
|
(0.08 |
) |
|
-- |
|
|
|
||||||||||||||||||
|
TOTAL DISTRIBUTIONS |
|
(0.41 |
) |
|
(0.82 |
) |
|
(0.91 |
) |
|
(0.90 |
) |
|
(0.99 |
) |
|
(0.78 |
) |
|
|
||||||||||||||||||
|
Net Asset Value, End of Period |
|
$ 8.64 |
|
|
$ 9.18 |
|
|
$ 9.79 |
|
|
$10.41 |
|
|
$10.47 |
|
|
$10.14 |
|
|
|
||||||||||||||||||
|
Total Return3 |
|
(1.55 |
%) |
|
2.20 |
% |
|
2.94 |
% |
|
8.33% |
|
|
13.83% |
|
|
15.07 |
% |
|
|
||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Expenses |
|
1.18 |
%4 |
|
1.16 |
% |
|
1.13 |
% |
|
1.10% |
|
|
1.07% |
|
|
0.75 |
% |
|
|
||||||||||||||||||
|
Net investment income |
|
9.15 |
%4 |
|
8.92 |
% |
|
8.12 |
% |
|
8.38% |
|
|
8.48% |
|
|
8.19 |
% |
|
|
||||||||||||||||||
|
Expense waiver/reimbursement5 |
|
0.69 |
%4 |
|
0.71 |
% |
|
0.74 |
% |
|
0.86 |
% |
|
1.46 |
% |
|
5.69 |
% |
|
|
||||||||||||||||||
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Net assets, end of period (000 omitted) |
|
$30,743 |
|
$34,034 |
|
$35,941 |
|
$29,762 |
|
$17,367 |
|
$3,691 |
|
|||||
|
|
||||||||||||||||||
|
Portfolio turnover |
|
27 |
% |
|
51 |
% |
|
93 |
% |
|
40% |
|
|
47% |
|
|
158 |
% |
|
|
||||||||||||||||||
1 Per share information is based on average shares outstanding.
2 Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These distributions do not represent a return of capital for federal income tax purposes.
3 Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable.
4 Computed on an annualized basis.
5 This voluntary expense decrease is reflected in both the expense and net investment income ratios shown above.
See Notes which are an integral part of the Financial Statements
MAY 31, 2000 (UNAUDITED)
Federated Fixed Income Securities, Inc. (formerly, Fixed Income Securities, Inc.), (the "Corporation") is registered under the Investment Company Act of 1940, as amended (the "Act") as an open-end, management investment company. The Corporation consists of three portfolios. The financial statements included herein are only those of Federated Strategic Income Fund (the "Fund"), a diversified portfolio. The financial statements of the other portfolios are presented separately. The assets of each portfolio are segregated and a shareholder's interest is limited to the portfolio in which shares are held. The Fund offers four classes of shares: Class A Shares, Class B Shares, Class C Shares and Class F Shares. The investment objective of the Fund is to seek a high level of current income.
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles.
U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities, and unlisted securities and private placement securities are generally valued at the mean of the latest bid and asked price as furnished by an independent pricing service. Listed equity securities are valued at the last sale price reported on a national securities exchange. Short-term securities are valued at the prices provided by an independent pricing service. However, short-term securities with remaining maturities of 60 days or less at the time of purchase may be valued at amortized cost, which approximates fair market value. Investments in other open-end regulated investment companies are valued at net asset value. With respect to valuation of foreign securities, trading in foreign cities may be completed at times which vary from the closing of the New York Stock Exchange. Therefore, foreign securities are valued at the latest closing price on the exchange on which they are traded prior to the closing of the New York Stock Exchange. Foreign securities quoted in foreign currencies are translated into U.S. dollars at the foreign exchange rate in effect at noon, eastern time, on the day the value of the foreign security is determined. Investments in other open-ended regulated investment companies are valued at net asset value.
It is the policy of the Fund to require the custodian bank to take possession, to have legally segregated in the Federal Reserve Book Entry System, or to have segregated within the custodian bank's vault, all securities held as collateral under repurchase agreement transactions. Additionally, procedures have been established by the Fund to monitor, on a daily basis, the market value of each repurchase agreement's collateral to ensure that the value of collateral at least equals the repurchase price to be paid under the repurchase agreement.
The Fund will only enter into repurchase agreements with banks and other recognized financial institutions, such as broker/dealers, which are deemed by the Fund's adviser to be creditworthy pursuant to the guidelines and/or standards reviewed or established by the Board of Directors (the "Directors"). Risks may arise from the potential inability of counterparties to honor the terms of the repurchase agreement. Accordingly, the Fund could receive less than the repurchase price on the sale of collateral securities. The Fund, along with other affiliated investment companies, may utilize a joint trading account for the purpose of entering into one or more repurchase agreements.
Interest income and expenses are accrued daily. Bond premium and discount, if applicable, are amortized as required by the Internal Revenue Code, as amended (the "Code"). Dividend income and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at fair value. The Fund offers multiple classes of shares, which differ in their respective distribution and service fees. All shareholders bear the common expenses of the Fund based on average daily net assets of each class, without distinction between share classes. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share dividend rates are generally due to differences in separate class expenses.
It is the Fund's policy to comply with the provisions of the Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal tax is necessary.
Withholding taxes on foreign interest and dividends have been provided for in accordance with the applicable country's tax rules and rates.
The Fund may engage in when-issued or delayed delivery transactions. The Fund records when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure to perform under the contract.
The Fund may enter into foreign currency commitments for the delayed delivery of securities or foreign currency exchange transactions. The Fund may enter into foreign currency contract transactions to protect assets against adverse changes in foreign currency exchange rates or exchange control regulations. Purchased contracts are used to acquire exposure to foreign currencies; whereas, contracts to sell are used to hedge the securities against currency fluctuations. Risks may arise upon entering these transactions from the potential inability of counterparts to meet the terms of their commitments and from unanticipated movements in security prices or foreign exchange rates. The foreign currency transactions are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purpose as unrealized until the settlement date.
At May 31, 2000, the Fund had outstanding foreign currency commitments as set forth below:
|
Settlement Date |
|
Contracts to |
|
In Exchange |
|
Contracts at |
|
Unrealized |
|
June 2, 2000 |
|
864,872 Argentine Peso |
|
$864,872 |
|
$864,984 |
|
$(112) |
|
|
||||||||
The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies ("FC") are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities, income and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of portfolio securities; sales and maturities of short-term securities; sales of FCs; currency gains or losses realized between the trade and settlement dates on securities transactions; the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books; and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities at fiscal year end, resulting from changes in the exchange rate.
The Fund enters into dollar roll transactions, with respect to mortgage securities issued by GNMA, FNMA and FHLMC, in which the Fund sells mortgage securities to financial institutions and simultaneously agrees to accept substantially similar (same type, coupon and maturity) securities at a later date at an agreed upon price. Dollar roll transactions involve "to be announced" securities and are treated as short-term financing arrangements which will not exceed 12 months. The Fund will use the proceeds generated from the transactions to invest in short-term investments, which may enhance the Fund's current yield and total return. For the six months ended May 31, 2000, the Fund had no open dollar roll transactions.
Restricted securities are securities that may only be resold upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale, at the issuer's expense either upon demand by the Fund or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid under criteria established by the Board. The Fund will not incur any registration costs upon such resales. The Fund's restricted securities are valued at the price provided by dealers in the secondary market or, if no market prices are available, at the fair value as determined by the Fund's pricing committee.
Additional information on each restricted security held at May 31, 2000 is as follows:
|
Security |
|
Acquisition Date |
|
Acquisition Cost |
|
Codelco, Inc., 5/01/2009 |
|
7/15/1999 |
|
$1,899,200 |
|
|
||||
|
SMFC Trust, 1/28/2025 |
|
4/7/1998 |
|
433,580 |
|
|
||||
The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ from those estimated.
Investment transactions are accounted for a trade date basis.
At May 31, 2000, par value shares ($0.001 per share) authorized were as follows:
|
Class Name |
|
Number of |
|
Class A Shares |
|
1,000,000,000 |
|
Class B Shares |
|
1,000,000,000 |
|
Class C Shares |
|
1,000,000,000 |
|
Class F Shares |
|
1,000,000,000 |
|
TOTAL |
|
4,000,000,000 |
Transactions in capital stock were as follows:
|
|
|
Six Months Ended |
|
|
Year Ended |
|
||||||||
|
Class A Shares: |
|
Shares |
|
|
|
Amount |
|
|
Shares |
|
|
|
Amount |
|
|
Shares sold |
|
3,042,478 |
|
|
$ |
27,488,774 |
|
|
6,047,374 |
|
|
$ |
57,593,290 |
|
|
Shares issued to shareholders in payment of distributions declared |
|
437,395 |
|
|
|
3,937,342 |
|
|
724,163 |
|
|
|
6,834,586 |
|
|
Shares redeemed |
|
(3,872,701 |
) |
|
|
(35,001,995 |
) |
|
(5,030,285 |
) |
|
|
(47,586,193 |
) |
|
|
||||||||||||||
|
NET CHANGE RESULTING FROM CLASS A |
|
(392,828 |
) |
|
$ |
(3,575,879 |
) |
|
1,741,252 |
|
|
$ |
16,841,683 |
|
|
|
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended |
|
|
Year Ended |
|
||||||||
|
Class B Shares: |
|
Shares |
|
|
|
Amount |
|
|
Shares |
|
|
|
Amount |
|
|
Shares sold |
|
5,719,388 |
|
|
$ |
51,681,152 |
|
|
25,824,756 |
|
|
$ |
246,170,127 |
|
|
Shares issued to shareholders in payment of distributions declared |
|
1,524,562 |
|
|
|
13,705,256 |
|
|
2,866,192 |
|
|
|
27,083,802 |
|
|
Shares redeemed |
|
(12,607,011 |
) |
|
|
(114,031,474 |
) |
|
(19,289,144 |
) |
|
|
(182,145,967 |
) |
|
|
||||||||||||||
|
NET CHANGE RESULTING FROM CLASS B |
|
(5,363,061 |
) |
|
$ |
(48,645,066 |
) |
|
9,401,804 |
|
|
$ |
91,107,962 |
|
|
|
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended |
|
|
Year Ended |
|
||||||||
|
Class C Shares: |
|
Shares |
|
|
|
Amount |
|
|
Shares |
|
|
|
Amount |
|
|
Shares sold |
|
794,493 |
|
|
$ |
7,187,690 |
|
|
2,667,898 |
|
|
$ |
25,361,983 |
|
|
Shares issued to shareholders in payment of distributions declared |
|
174,900 |
|
|
|
1,574,187 |
|
|
341,241 |
|
|
|
3,225,106 |
|
|
Shares redeemed |
|
(1,922,077 |
) |
|
|
(17,427,842 |
) |
|
(2,839,859 |
) |
|
|
(26,893,430 |
) |
|
|
||||||||||||||
|
NET CHANGE RESULTING FROM CLASS C |
|
(952,684 |
) |
|
$ |
(8,665,965 |
) |
|
169,280 |
|
|
$ |
1,693,659 |
|
|
|
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended |
|
|
Year Ended |
|
||||||||
|
Class F Shares: |
|
Shares |
|
|
|
Amount |
|
|
Shares |
|
|
|
Amount |
|
|
Shares sold |
|
244,191 |
|
|
$ |
2,204,234 |
|
|
587,348 |
|
|
$ |
5,605,094 |
|
|
Shares issued to shareholders in payment of distributions declared |
|
64,085 |
|
|
|
576,134 |
|
|
129,305 |
|
|
|
1,224,497 |
|
|
Shares redeemed |
|
(455,454 |
) |
|
|
(4,131,182 |
) |
|
(682,936 |
) |
|
|
(6,478,152 |
) |
|
|
||||||||||||||
|
NET CHANGE RESULTING FROM CLASS F |
|
(147,178 |
) |
|
$ |
(1,350,814 |
) |
|
33,717 |
|
|
$ |
351,439 |
|
|
|
||||||||||||||
|
NET CHANGE RESULTING FROM |
|
(6,855,751 |
) |
|
$ |
(62,237,724 |
) |
|
11,346,053 |
|
|
$ |
109,994,743 |
|
|
|
||||||||||||||
Federated Investment Management Company, the Fund's investment adviser (the "Adviser"), receives for its services an annual investment adviser fee equal to 0.85% of the Fund's average daily net assets. The Adviser may voluntarily choose to waive any portion of its fee and/or reimburse certain operating expenses of the Fund. The Adviser can modify or terminate this voluntary waiver and/or reimbursement at any time at its sole discretion.
Under the terms of a sub-adviser agreement between the Adviser and the Federated Global Investment Management Corp., Federated Global Investment Management Corp. receives an allocable portion of the Fund's adviser fee. Such allocation is based on the amount of foreign securities which Federated Global Investment Management Corp., manages for the Fund. This fee is paid by the Adviser out of its resources and is not an incremental Fund expense.
Federated Services Company ("FServ"), under the Administrative Services Agreement, provides the Fund with administrative personnel and services. The fee paid to FServ is based on on a scale that ranges from 0.15% to 0.075% of the average aggregate daily net assets of all funds advised by subsidiaries of Federated Investors, Inc., subject to a $125,000 minimum per portfolio and $30,000 per additional class.
The Fund has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the Act. Under the terms of the Plan, the Fund will compensate Federated Securities Corp., ("FSC"), the principal distributor, from the net assets of the Fund to finance activities intended to result in the sale of the Fund's Class B Shares, Class C Shares, and Class F Shares. The Plan provides that the Fund may incur distribution expenses according to the following schedule annually, to compensate FSC.
|
Share Class Name |
|
Percentage of |
|
Class B Shares |
|
0.75% |
|
Class C Shares |
|
0.75% |
|
Class F Shares |
|
0.50% |
The distributor may voluntarily choose to waive any portion of its fee. The distributor can modify or terminate this voluntary waiver at any time at its sole discretion.
Under the terms of a Shareholder Services Agreement with Federated Shareholder Services Company ("FSSC"), the Fund will pay FSSC up to 0.25% of average daily net assets of the Fund's shares for the period. The fee paid to FSSC is used to finance certain services for shareholders and to maintain shareholder accounts. FSSC may choose to waive any portion of its fee. FSSC can modify or terminate this voluntary waiver at any time at its sole discretion.
FServ, through its subsidiary FSSC, serves as transfer and dividend disbursing agent for the Fund. The fee paid to FSSC is based on the size, type, and number of accounts and transactions made by shareholders.
FServ maintains the Fund's accounting records for which it receives a fee. The fee is based on the level of the Fund's average daily net assets for the period, plus out-of-pocket expenses.
Certain of the Officers and Directors of the Corporation are Officers and Directors or Trustees of the above companies.
Purchases and sales of investments, excluding short-term securities (and in-kind contributions), for the six months ended May 31, 2000, were as follows:
|
Purchases |
|
$ |
242,517,686 |
|
|
|||
|
Sales |
|
$ |
325,197,279 |
|
|
|||
The Fund invests in securities of non-U.S. issuers. Although the Fund maintains a diversified investment portfolio, the political or economic developments within a particular country or region may have an adverse effect on the ability of domiciled issuers to meet their obligations. Additionally, political or economic developments may have an affect on the liquidity and volatility of portfolio securities and currency holdings.
Chairman
President
Chief Investment Officer
Executive Vice President
Executive Vice President
Executive Vice President and Secretary
Treasurer
Assistant Secretary
Mutual funds are not bank deposits or obligations, are not guaranteed by any bank, and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.
This report is authorized for distribution to prospective investors only when preceded or accompanied by the fund's prospectus which contains facts concerning its objective and policies, management fees, expenses and other information.
Federated
World-Class Investment Manager
SEMI-ANNUAL REPORT
AS OF MAY 31, 2000
Established 1994
Federated
Federated Strategic Income Fund
Federated Investors
Funds
5800 Corporate Drive
Pittsburgh, PA
15237-7000
1-800-341-7400
www.federatedinvestors.com
Federated
Securities Corp., Distributor
Cusip 31417P502
Cusip 31417P601
Cusip 31417P700
Cusip 31417P809
G00324-01 (7/00)
Federated is a registered mark of Federated Investors, Inc. 2000 ©Federated Investors, Inc.
FEDERATED LIMITED TERM FUND
A.1. The graphic presentation here displayed consists of a boxed legend in the
upper left quadrant indicating the components of the corresponding mountain
chart. The color coded mountain chart is a visual representation of the
narrative text above it. The "x" axis reflects computation periods from
1/14/1992 to 5/31/2000. The "y" axis is measured in increments of $3,000
ranging from $0 to $15,000 and indicates that the ending value of
hypothetical initial investment of $9,000 in the Fund's Class A Shares,
assuming the reinvestment of capital gains and dividends, would have grown
to $13,680 on 5/31/2000.
A.2. The graphic presentation here displayed consists of a boxed legend in the
upper left quadrant indicating the components of the corresponding mountain
chart. The color-coded mountain chart is a visual representation of the
narrative text beneath it. The "x" axis reflects computation periods from
1/14/1992 to 5/31/2000. The "y" axis is measured in increments of $2,000
ranging from $0 to $12,000 and indicates that the ending value of a
hypothetical initial investment of $1,000 and subsequent monthly
investments of $1,000 over 7 years in the Fund's Class A Shares would have
grown to $11,025 on 5/31/2000.
A.3. The graphic presentation here displayed consists of a boxed legend in the
upper left quadrant indicating the components of the corresponding mountain
chart. The color coded mountain chart is a visual representation of the
narrative text above it. The "x" axis reflects computation periods from
1/14/1992 to 5/31/2000. The "y" axis is measured in increments of $5,000
ranging from $0 to $20,000 and indicates that the ending value of
hypothetical initial investment of $10,000 in the Fund's Class A Shares,
assuming the reinvestment of capital gains and dividends, would have grown
to $15,200 on 5/31/2000.
FEDERATED LIMITED TERM MUNICIPAL FUND
A.1. The graphic presentation here displayed consists of a boxed legend in the
upper left quadrant indicating the components of the corresponding mountain
chart. The color coded mountain chart is a visual representation of the
narrative text above it. The "x" axis reflects computation periods from
9/1/1993 to 5/31/2000. The "y" axis is measured in increments of $2,400
ranging from $0 to $12,000 and indicates that the ending value of
hypothetical initial investment of $8,000 in the Fund's Class A Shares,
assuming the reinvestment of capital gains and dividends, would have grown
to $9,984 on 5/31/2000.
A.2. The graphic presentation here displayed consists of a boxed legend in the
upper left quadrant indicating the components of the corresponding mountain
chart. The color-coded mountain chart is a visual representation of the
narrative text beneath it. The "x" axis reflects computation periods from
9/1/1993 to 5/31/2000. The "y" axis is measured in increments of $1,000
ranging from $0 to $9,000 and indicates that the ending value of a
hypothetical initial investment of $1,000 and subsequent monthly
investments of $1,000 over 7 years in the Fund's Class A Shares would have
grown to $7,836 on 5/31/2000.
FEDERATED STRATEGIC INCOME FUND
A.1. The graphic presentation here displayed consists of a boxed legend in the
upper left quadrant indicating the components of the corresponding mountain
chart. The color coded mountain chart is a visual representation of the
narrative text above it. The "x" axis reflects computation periods from
5/4/1994 to 5/31/2000. The "y" axis is measured in increments of $2,000
ranging from $0 to $12,000 and indicates that the ending value of
hypothetical initial investment of $7,000 in the Fund's Class A Shares,
assuming the reinvestment of capital gains and dividends, would have grown
to $9,887 on 5/31/2000.
A.2. The graphic presentation here displayed consists of a boxed legend in the
upper left quadrant indicating the components of the corresponding mountain
chart. The color-coded mountain chart is a visual representation of the
narrative text beneath it. The "x" axis reflects computation periods from
5/4/1994 to 5/31/2000. The "y" axis is measured in increments of $1,000
ranging from $0 to $8,000 and indicates that the ending value of a
hypothetical initial investment of $1,000 and subsequent monthly
investments of $1,000 over 6 years in the Fund's Class A Shares would have
grown to $7,776 on 5/31/2000.
A.3. The graphic presentation here displayed consists of a boxed legend in the
upper left quadrant indicating the components of the corresponding mountain
chart. The color coded mountain chart is a visual representation of the
narrative text above it. The "x" axis reflects computation periods from
5/4/1994 to 5/31/2000. The "y" axis is measured in increments of $30,000
ranging from $0 to $180,000 and indicates that the ending value of
hypothetical initial investment of $100,000 in the Fund's Class A Shares,
assuming the reinvestment of capital gains and dividends, would have grown
to $142,323 on 5/31/2000.
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