Securities and Exchange Commission
Washington, D.C. 20549
Quarterly Schedule of Portfolio Holdings of Registered Management Investment Companies
(Investment Company Act File Number)
Federated Enhanced Treasury Income Fund
(Exact Name of Registrant as Specified in Charter)
Federated Investors Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(Registrant's Telephone Number)
John W. McGonigle, Esquire
Federated Investors Tower
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 11/30/2012
Date of Reporting Period: Quarter ended 02/29/2012
Item 1. Schedule of Investments
|U.S. TREASURY 82.3%|
|$7,500,000||U.S. Treasury Inflation-Protected Note, 0.625%, 7/15/2021||8,255,573|
|5,000,000||United States Treasury Bond, 4.375%, 11/15/2039||6,280,078|
|4,500,000||United States Treasury Bond, 4.375%, 5/15/2041||5,663,320|
|10,000,000||United States Treasury Bond, 5.250%, 11/15/2028||13,509,375|
|5,200,000||United States Treasury Bond, 7.500%, 11/15/2024||8,206,250|
|17,200,000||1||United States Treasury Note, 1.500%, 7/31/2016||17,758,489|
|5,000,000||United States Treasury Note, 2.000%, 2/15/2022||5,009,375|
|20,000,000||United States Treasury Note, 2.125%, 11/30/2014||20,929,654|
|7,500,000||United States Treasury Note, 2.625%, 8/15/2020||8,054,297|
|17,500,000||United States Treasury Note, 2.750%, 10/31/2013||18,215,304|
|3,500,000||United States Treasury Note, 2.750%, 2/15/2019||3,823,203|
|11,675,000||United States Treasury Note, 3.500%, 5/15/2020||13,369,699|
TOTAL U.S. TREASURY
(IDENTIFIED COST $121,764,119)
|MORTGAGE-BACKED SECURITY 10.0%|
Federal Home Loan Mortgage Corp., 4.000%, 10/1/2041
(IDENTIFIED COST $15,432,455)
|REPURCHASE AGREEMENT 6.8%|
|10,599,000||Interest in $750,000,000 joint repurchase agreement 0.20% dated 2/29/2012 under which Citigroup Global Markets, Inc. will repurchase securities provided as collateral for $750,004,167 on 3/1/2012. The securities provided as collateral at the end of the period were U.S. Government Agency securities with various maturities to 6/25/2041 and the market value of those underlying securities was $772,504,292. (AT COST)||10,599,000|
TOTAL INVESTMENTS — 99.1%
(IDENTIFIED COST $147,795,574)2
|OTHER ASSETS AND LIABILITIES - NET — 0.9%3||1,345,416|
|TOTAL NET ASSETS — 100%||$156,729,711|
At February 29, 2012, the Fund had the following open futures contracts:
|4 U.S. Treasury Notes, 2-Year Long Futures||250||$55,058,594||June 2012||$(750)|
|4 U.S. Treasury 30-Year Bonds Short Futures||45||$6,374,532||June 2012||$(70,096)|
|4 U.S. Treasury Notes, 10-Year Short Futures||974||$127,548,344||June 2012||$(588,844)|
|4 U.S. Treasury Notes, 5-Year Short Futures||150||$18,475,781||June 2012||$(35,278)|
|UNREALIZED DEPRECIATION ON FUTURES CONTRACTS||$(694,968)|
The average notional value of long and short futures contracts held by the Fund throughout the period was $55,126,953 and $150,613,051, respectively. This is based on amounts held as of each month-end throughout the period.
At February 29, 2012, the Fund had the following outstanding written call option contracts:
|4 U.S. Treasury Notes 5-Year Short Calls on Futures, 3/23/2012||March 2012||$123||131||$(33,773)|
|4 U.S. Treasury Notes 10-Year Short Calls on Futures. 3/23/2012||March 2012||$132||245||$(111,016)|
|4 U.S. Treasury 30-Year Bonds Short Calls on Futures, 3/23/2012||March 2012||$142||200||$(265,625)|
|4 U.S. Treasury 30-Year Bonds Short Calls on Futures, 3/23/2012||March 2012||$143||200||$(181,250)|
|(PREMIUMS RECEIVED $805,065)||$(591,664)|
The average value of premiums received on written options held by the Fund throughout the period was $953,562. This is based on amounts held as of each month-end throughout the period.
Unrealized Depreciation on Futures Contracts and Value of Written Call Option Contracts is included in “Other Assets and Liabilities — Net.”
|1||All or a portion of this security is pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding futures and written call option contracts.|
|2||At February 29, 2012, the cost of investments for federal tax purposes was $147,795,574. The net unrealized appreciation of investments for federal tax purposes excluding any unrealized depreciation resulting from futures contracts and written call option contracts was $7,588,721. This consists entirely of net unrealized appreciation from investments for those securities having an excess of value over cost.|
|3||Assets, other than investments in securities, less liabilities.|
|4||Non-income producing security.|
Note: The categories of investments are shown as a percentage of total net assets at February 29, 2012.
In calculating its net asset value (NAV), the Fund generally values investments as follows:
If the Fund cannot obtain a price or price evaluation from a pricing service for an investment, the Fund may attempt to value the investment based upon the mean of bid and asked quotations or fair value the investment based on price evaluations, from one or more dealers. If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could purchase or sell an investment at the price used to calculate the Fund's NAV.
Fair Valuation and Significant Events Procedures
The Trustees have authorized the use of pricing services to provide evaluations of the current fair value of certain investments for purposes of calculating the NAV. Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers, and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for other types of fixed-income securities and OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Trustees.
The Trustees also have adopted procedures requiring an investment to be priced at its fair value whenever the Adviser determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
The Trustees have approved the use of a pricing service to determine the fair value of equity securities traded principally in foreign markets when the Adviser determines that there has been a significant trend in the U.S. equity markets or in index futures trading. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Fund will determine the fair value of the investment using another method approved by the Trustees.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:Level 1 — quoted prices in active markets for identical securities, including investment companies with daily net asset values, if applicable. Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost. Level 3 — significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of February 29, 2012, in valuing the Fund's assets carried at fair value:
Level 1 —
Level 2 —
Level 3 —
|U.S. Treasury||$ —||$129,074,617||$ —||$129,074,617|
|TOTAL SECURITIES||$ —||$155,384,295||$ —||$155,384,295|
|OTHER FINANCIAL INSTRUMENTS*||$(1,286,632)||$ —||$ —||$(1,286,632)|
|*||Other financial instruments include futures contracts and written call option contracts.|
Item 2. Controls and Procedures
(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-Q.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant Federated Enhanced Treasury Income Fund
By /S/ Richard A. Novak_
Richard A. Novak
Principal Financial Officer
Date April 23, 2012
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /S/ J. Christopher Donahue
J. Christopher Donahue
Principal Executive Officer
Date April 23, 2012
By /S/ Richard A. Novak
Richard A. Novak
Principal Financial Officer
Date April 23, 2012