United States

Securities and Exchange Commission

Washington, D.C. 20549

 

Form N-Q

Quarterly Schedule of Portfolio Holdings of Registered Management Investment Companies

 

 

 

 

811-6269

 

(Investment Company Act File Number)

 

 

Cash Trust Series II

 

___________________________________________

 

(Exact Name of Registrant as Specified in Charter)

 

 

 

Federated Investors Funds

4000 Ericsson Drive

Warrendale, PA 15086-7561

(Address of Principal Executive Offices)

 

 

(412) 288-1900

(Registrant's Telephone Number)

 

 

John W. McGonigle, Esquire

Federated Investors Tower

1001 Liberty Avenue

Pittsburgh, Pennsylvania 15222-3779

(Name and Address of Agent for Service)

(Notices should be sent to the Agent for Service)

 

 

 

 

 

 

Date of Fiscal Year End: 05/31/14

 

 

Date of Reporting Period: Quarter ended 08/31/13

 

 

 

 

 

 

 

Item 1. Schedule of Investments

 

Federated Treasury Cash Series II
Portfolio of Investments
August 31, 2013 (unaudited)
Principal
Amount 		    Value
    U.S. TREASURY—23.4%  
$1,000,000 1 United States Treasury Bills, 0.035%, 9/12/2013 $ 999,989
500,000 1 United States Treasury Bills, 0.075%, 2/20/2014 499,845
1,900,000   United States Treasury Notes, 0.125%—3.125%, 9/30/2013 1,903,957
1,100,000   United States Treasury Notes, 0.250%—2.750%, 10/31/2013 1,102,601
250,000   United States Treasury Notes, 0.250%, 1/31/2014 250,107
750,000   United States Treasury Notes, 0.250%—1.875%, 2/28/2014 754,519
1,300,000   United States Treasury Notes, 0.250%—1.875%, 4/30/2014 1,304,413
1,500,000   United States Treasury Notes, 0.500%, 10/15/2013 1,500,591
750,000   United States Treasury Notes, 0.500%—4.250%, 11/15/2013 752,386
500,000   United States Treasury Notes, 0.625%, 7/15/2014 501,903
500,000   United States Treasury Notes, 0.750%, 9/15/2013 500,109
1,000,000   United States Treasury Notes, 0.750%, 12/15/2013 1,001,831
1,500,000   United States Treasury Notes, 1.000%, 1/15/2014 1,504,894
350,000   United States Treasury Notes, 1.250%, 2/15/2014 351,752
500,000   United States Treasury Notes, 1.250%, 3/15/2014 502,854
175,000   United States Treasury Notes, 1.250%, 4/15/2014 176,151
250,000   United States Treasury Notes, 2.250%, 5/31/2014 253,906
750,000   United States Treasury Notes, 2.625%, 6/30/2014 765,273
    TOTAL U.S. TREASURY 14,627,081
    Repurchase Agreements—73.9%  
7,000,000   Interest in $250,000,000 joint repurchase agreement 0.04%, dated 8/30/2013 under which ABN Amro Bank N.V., Netherlands will repurchase securities provided as collateral for $250,001,111 on 9/3/2013. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Treasury securities with various maturities to 5/15/2041 and the market value of those underlying securities was $255,001,150. 7,000,000
1,000,000 2 Interest in $470,000,000 joint repurchase agreement 0.05%, dated 8/19/2013 under which BNP Paribas Securities Corp. will repurchase securities provided as collateral for $470,039,167 on 10/18/2013. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Treasury securities with various maturities to 2/15/2043 and the market value of those underlying securities was $479,410,061. 1,000,000
5,000,000   Interest in $1,500,000,000 joint repurchase agreement 0.04%, dated 8/30/2013 under which Bank of Nova Scotia will repurchase securities provided as collateral for $1,500,006,667 on 9/3/2013. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Treasury securities with various maturities to 8/15/2042 and the market value of those underlying securities was $1,530,006,820. 5,000,000
8,153,000   Interest in $4,000,000,000 joint repurchase agreement 0.04%, dated 8/30/2013 under which Credit Agricole CIB New York will repurchase securities provided as collateral for $4,000,017,778 on 9/3/2013. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Treasury securities with various maturities to 5/15/2043 and the market value of those underlying securities was $4,080,249,418. 8,153,000
2,000,000   Interest in $1,000,000,000 joint repurchase agreement 0.02%, dated 8/27/2013 under which Deutsche Bank Securities, Inc. will repurchase securities provided as collateral for $1,000,003,889 on 9/3/2013. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Treasury securities with various maturities to 2/15/2040 and the market value of those underlying securities was $1,020,004,015. 2,000,000
1,000,000   Interest in $1,000,000,000 joint repurchase agreement 0.04%, dated 8/29/2013 under which Deutsche Bank Securities, Inc. will repurchase securities provided as collateral for $1,000,007,778 on 9/5/2013. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Treasury securities with various maturities to 2/15/2042 and the market value of those underlying securities was $1,020,005,678. 1,000,000
5,000,000   Interest in $1,000,000,000 joint repurchase agreement 0.05%, dated 8/30/2013 under which Deutsche Bank Securities, Inc. will repurchase securities provided as collateral for $1,000,005,556 on 9/3/2013. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Treasury securities with various maturities to 2/15/2023 and the market value of those underlying securities was $1,020,005,722. 5,000,000
1,000,000 2 Interest in $640,000,000 joint repurchase agreement 0.05%, dated 8/19/2013 under which Goldman Sachs & Co. will repurchase a security provided as collateral for $640,031,111 on 9/23/2013. The security provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, was a U.S. Treasury security maturing on 4/15/2018 and the market value of that underlying security was $652,813,649. 1,000,000
1

Principal
Amount 		    Value
    Repurchase Agreements— continued  
$2,000,000 2 Interest in $1,190,000,000 joint repurchase agreement 0.06%, dated 8/13/2013 under which Goldman Sachs & Co. will repurchase securities provided as collateral for $1,190,067,433 on 9/17/2013. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Treasury securities with various maturities to 7/15/2021 and the market value of those underlying securities was $1,213,840,527. $ 2,000,000
5,000,000   Interest in $800,000,000 joint repurchase agreement 0.04%, dated 8/30/2013 under which Mitsubishi UFJ Securities (USA), Inc. will repurchase securities provided as collateral for $800,003,556 on 9/3/2013. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Treasury securities with various maturities to 11/15/2042 and the market value of those underlying securities was $816,003,687. 5,000,000
1,000,000 2 Interest in $600,000,000 joint repurchase agreement 0.04%, dated 8/16/2013 under which RBS Securities, Inc. will repurchase securities provided as collateral for $600,020,667 on 9/16/2013. The securities provided as collateral at the end of the period held with JPMorgan Chase & Co., tri-party agent, were U.S. Treasury securities with various maturities to 3/31/2018 and the market value of those underlying securities was $612,012,382. 1,000,000
7,000,000   Interest in $500,000,000 joint repurchase agreement 0.04%, dated 8/30/2013 under which RBS Securities, Inc. will repurchase securities provided as collateral for $500,002,222 on 9/3/2013. The securities provided as collateral at the end of the period held with JPMorgan Chase & Co., tri-party agent, were U.S. Treasury securities with various maturities to 4/30/2017 and the market value of those underlying securities was $510,002,752. 7,000,000
1,000,000   Interest in $500,000,000 joint repurchase agreement 0.03%, dated 8/27/2013 under which TD Securities (USA), LLC will repurchase securities provided as collateral for $500,002,917 on 9/3/2013. The securities provided as collateral at the end of the period held with The Bank of New York Mellon, tri-party agent, were U.S. Treasury securities with various maturities to 8/15/2043 and the market value of those underlying securities was $510,003,072. 1,000,000
    TOTAL REPURCHASE AGREEMENTS (AT COST) 46,153,000
    TOTAL INVESTMENTS—97.3%
(AT AMORTIZED COST) 3 		60,780,081
    OTHER ASSETS AND LIABILITIES - NET—2.7% 4 1,688,757
    TOTAL NET ASSETS—100% $ 62,468,838
1 Discount rate(s) at time of purchase.
2 Although the repurchase date is more than seven days after the date of purchase, the Fund has the right to terminate the repurchase agreement at any time with seven-days' notice.
3 Also represents cost for federal tax purposes.
4 Assets, other than investments in securities, less liabilities.
Note: The categories of investments are shown as a percentage of total net assets at August 31, 2013.
Investment Valuation
Securities are valued at amortized cost. Under the amortized cost valuation method, an investment is valued initially at its cost as determined in accordance with U.S. generally accepted accounting principles. The Fund then adjusts the amount of interest income accrued each day over the term of the investment to account for any difference between the initial cost of the investment and the amount payable at its maturity. If amortized cost is determined not to approximate fair value, the value of the portfolio securities will be determined under procedures established by and under the general supervision of the Board of Trustees (the “Trustees”).
The Trustees have appointed a Valuation Committee comprised of officers of the Fund, Federated Investment Management Company (“Adviser”) and certain of the Adviser's affiliated companies to determine fair value of securities and in overseeing the comparison of amortized cost to market-based value. The Trustees have also authorized the use of pricing services recommended by the Valuation Committee to provide fair value evaluations of the current value of certain investments for purposes of monitoring the relationship of market-based value and amortized cost. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services' policies, procedures and valuation methods (including key inputs and assumptions), and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Trustees. The Trustees periodically review and approve the fair valuations made by the Valuation Committee and any changes made to the procedures.
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.
As of August 31, 2013, all investments of the Fund are valued at amortized cost, which is considered a Level 2 input, in valuing the Fund's assets.
2

 

Item 2. Controls and Procedures

 

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-Q.

 

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant Cash Trust Series II

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date October 22, 2013

 

 

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 October 22, 2013

 

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date October 22, 2013

 

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