-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, NmWizxGKReU8xk4R91PdH7+kYsPVd4IC0kEI2QyTElmrOsSX5HnXgWdCBWLzR6GI 22tuPEq1f3efL4aSRGuh9w== 0001034106-00-000001.txt : 20000302 0001034106-00-000001.hdr.sgml : 20000302 ACCESSION NUMBER: 0001034106-00-000001 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19991231 FILED AS OF DATE: 20000229 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FEDERATED CORE TRUST/PA CENTRAL INDEX KEY: 0001034106 STANDARD INDUSTRIAL CLASSIFICATION: [] IRS NUMBER: 232934777 STATE OF INCORPORATION: MA FISCAL YEAR END: 1212 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-08519 FILM NUMBER: 556524 BUSINESS ADDRESS: STREET 1: FEDERATED INVESTORS TOWER CITY: PITTSBURGH STATE: PA ZIP: 15222-3779 BUSINESS PHONE: 8003417400 MAIL ADDRESS: STREET 1: FEDERATED INVESTORS TOWER CITY: PITTSBURGH STATE: PA ZIP: 15222-3779 N-30D 1 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999 PRINCIPAL AMOUNT VALUE CORPORATE BONDS--93.7% AEROSPACE & DEFENSE--0.3% $1,850,000 Anteon Corp., Sr. Sub. Note, 12.00%, 5/15/2009 $1,729,750 500,000 (1) Condor Systems, Inc., Sr. Sub. Note, 377,500 11.875%, 5/1/2009 Total 2,107,250 AUTOMOBILE--3.6% 2,175,000 Accuride Corp., Sr. Sub. Note, Series B, 9.25%, 2,011,875 2/1/2008 1,701,000 Aftermarket Technology Co., Sr. Sub. Note, 1,713,757 12.00%, 8/1/2004 380,000 Aftermarket Technology Co., Sr. Sub. Note, Series D, 12.00%, 8/1/2004 382,850 3,000,000 American Axle & Manufacturing, Inc., Company Guarantee, 9.75%, 3/1/2009 3,037,500 4,650,000 Collins & Aikman Products Co., Sr. Sub. Note, 11.50%, 4/15/2006 4,626,750 1,700,000 HDA Parts System, Inc., Sr. Sub. Note, 12.00%, 1,555,500 8/1/2005 2,200,000 (1) J.L. French Automotive Castings, Inc., Sr. Sub. Note, Series B, 11.50%, 6/1/2009 2,260,500 5,075,000 (1) Lear Corp., Sr. Note, 8.11%, 5/15/2009 4,811,760 600,000 Lear Corp., Sub. Note, 9.50%, 7/15/2006 609,000 2,500,000 Motor Coach Industries International, Inc., Company Guarantee, 11.25%, 5/1/2009 2,575,000 1,975,000 Oxford Automotive, Inc., Company Guarantee, 10.125%, 6/15/2007 1,836,750 Total 25,421,242 BANKING--0.8% 6,500,000 GS Escrow Corp., Sr. Note, 7.125%, 8/1/2005 5,899,985 BEVERAGE & TOBACCO--0.4% 750,000 Canandaigua Brands, Inc., Sr. Sub. Note, 8.50%, 716,250 3/1/2009 1,350,000 Dimon, Inc., Sr. Note, 8.875%, 6/1/2006 1,181,250 850,000 National Wine & Spirits, Inc., Company Guarantee, 10.125%, 1/15/2009 867,000 Total 2,764,500 BROADCAST RADIO & TV--6.1% 4,175,000 (2) ACME Television, LLC, Sr. Disc. Note, 3,778,375 0/10.875%, 9/30/2004 239,300 AMFM, Inc., Deb., 12.625%, 10/31/2006 287,758 3,150,000 (2) Big City Radio, Inc., Company Guarantee, 0/11.25%, 3/15/2005 2,047,500 1,150,000 Capstar Broadcasting Partners, Inc., Sr. Sub. Note, 9.25%, 7/1/2007 1,190,250 1,850,000 Chancellor Media Corp., Company Guarantee, 10.50%, 1/15/2007 2,025,750 2,000,000 Chancellor Media Corp., Company Guarantee, 2,010,000 8.00%, 11/1/2008 2,375,000 Chancellor Media Corp., Company Guarantee, 2,481,875 9.00%, 10/1/2008 6,550,000 Chancellor Media Corp., Sr. Sub. Note, 8.125%, 6,590,937 12/15/2007 1,675,000 Chancellor Media Corp., Sr. Sub. Note, 8.75%, 1,700,125 6/15/2007 1,250,000 Chancellor Media Corp., Sr. Sub. Note, 9.375%, 1,287,500 10/1/2004 $2,150,000 Cumulus Media, Inc., Sr. Sub. Note, 10.375%, $2,257,500 7/1/2008 6,550,000 (2) Fox/Liberty Networks, LLC, Sr. Disc. Note, 0/9.75%, 8/15/2007 5,305,500 1,300,000 Fox/Liberty Networks, LLC, Sr. Note, 8.875%, 1,335,750 8/15/2007 550,000 Lamar Media Corp., Sr. Sub. Note, 8.625%, 541,750 9/15/2007 1,300,000 Lamar Media Corp., Sr. Sub. Note, 9.625%, 1,348,750 12/1/2006 2,900,000 Orion Network Systems, Sr. Note, 11.25%, 2,189,500 1/15/2007 1,575,000 Sinclair Broadcast Group, Inc., Sr. Sub. Note, 1,575,000 10.00%, 9/30/2005 5,250,000 Sinclair Broadcast Group, Inc., Sr. Sub. Note, 4,908,750 8.75%, 12/15/2007 Total 42,862,570 BUILDING & DEVELOPMENT--1.4% 1,375,000 American Builders & Contractors Supply Co., Inc., Sr. Sub. Note, 10.625%, 5/15/2007 1,271,875 500,000 Building Materials Corp. of America, Sr. Note, 8.00%, 10/15/2007 453,750 1,350,000 Building Materials Corp. of America, Sr. Note, 8.625%, 12/15/2006 1,289,250 3,225,000 (2) Falcon Building Products, Inc., Sr. Sub. Disc. Note, 0/10.50%, 6/15/2007 2,434,875 375,000 Falcon Building Products, Inc., Sr. Sub. Note, 365,625 9.50%, 6/15/2007 2,425,000 Formica Corp., Sr. Sub. Note, Series B, 10.875%, 2,231,000 3/1/2009 925,000 Juno Lighting, Inc., Company Guarantee, 11.875%, 864,875 7/1/2009 1,000,000 NCI Building System, Inc., Sr. Sub. Note, Series B, 9.25%, 5/1/2009 960,000 Total 9,871,250 BUSINESS EQUIPMENT & SERVICES--2.4% 1,800,000 Avis Rent A Car, Inc., Company Guarantee, 1,899,000 11.00%, 5/1/2009 2,750,000 (1) Buhrmann US, Inc., Sr. Sub. Note, 12.25%, 2,873,750 11/1/2009 2,375,000 Dialog Corp., Sr. Sub. Note, 11.00%, 11/15/2007 1,151,875 750,000 (2) Electronic Retailing Systems International, Inc., Sr. Disc. Note, 0/13.25%, 2/1/2004 168,750 2,225,000 Fisher Scientific International, Inc., Sr. Sub. Note, 9.00%, 2/1/2008 2,141,562 4,675,000 Fisher Scientific International, Inc., Sr. Sub. Note, 9.00%, 2/1/2008 4,499,687 5,325,000 U.S. Office Products Co., Sr. Sub. Note, 9.75%, 2,795,625 6/15/2008 951,000 United Stationers Supply Co., Sr. Sub. Note, 1,029,458 12.75%, 5/1/2005 Total CABLE TELEVISION--11.4% 8,979 (3) Australis Media Ltd., Sr. Disc. Note, 90 5/15/2003 525,000 (2)(3) Australis Media Ltd., Unit, 0/15.75%, 5,250 5/15/2003 900,000 CSC Holdings, Inc., Sr. Note, 7.875%, 12/15/2007 887,895 3,350,000 CSC Holdings, Inc., Sr. Sub. Deb., 9.875%, 3,542,625 2/15/2013 2,300,000 CSC Holdings, Inc., Sr. Sub. Note, 9.25%, 2,363,250 11/1/2005 475,000 CSC Holdings, Inc., Sr. Sub. Note, 9.875%, 502,312 5/15/2006 7,050,000 (2) Charter Communications Holdings Capital Corp., Sr. Disc. Note, 0/9.92%, 4/1/2011 4,168,312 4,675,000 (2) Diamond Cable Communications PLC, Sr. Disc. Note, 0/10.75%, 2/15/2007 3,856,875 1,925,000 (2) Diamond Cable Communications PLC, Sr. Disc. Note, 0/11.75%, 12/15/2005 1,828,750 1,425,000 (2) Diva Systems Corp., Sr. Disc. Note, 548,625 0/12.625%, 3/1/2008 7,525,000 Echostar DBS Corp., Sr. Note, 9.375%, 2/1/2009 7,619,062 $4,250,000 (2) International Cabletel, Inc., Sr. Defd. Cpn. Note, 0/11.50%, 2/1/2006 $3,910,000 1,000,000 Lenfest Communications, Inc., Sr. Note, 8.375%, 1,025,000 11/1/2005 2,350,000 Lenfest Communications, Inc., Sr. Sub. Note, 2,361,750 8.25%, 2/15/2008 2,475,000 NTL Communications Corp., Sr. Notes, 11.50%, 2,697,750 10/1/2008 5,600,000 (2) NTL Communications Corp., Sr. Notes, 3,962,000 0/12.375%, 10/1/2008 9,800,000 (2) NTL, Inc., Sr. Notes, 0/9.75%, 4/1/2008 6,909,000 2,500,000 Pegasus Communications Corp., Sr. Note, 9.625%, 2,537,500 10/15/2005 2,250,000 Pegasus Communications Corp., Sr. Note, 9.75%, 2,300,625 12/1/2006 825,000 Pegasus Media, Note, 12.50%, 7/1/2005 895,125 1,600,000 (2) RCN Corp., Sr. Disc. Note, 0/11.125%, 1,144,000 10/15/2007 2,750,000 (2) RCN Corp., Sr. Note, 0/11.00%, 7/1/2008 1,808,125 1,400,000 Rogers Cablesystems Ltd., Sr. Sub. Gtd. Note, 1,582,000 11.00%, 12/1/2015 8,475,000 (2) TeleWest PLC, Sr. Disc. Deb., 0/11.00%, 7,966,500 10/1/2007 1,000,000 (1)(2) TeleWest PLC, Sr. Disc. Note, 0/9.25%, 655,000 4/15/2009 750,000 TeleWest PLC, Sr. Note, 11.25%, 11/1/2008 823,125 3,350,000 (2) UIH Australia/Pacific, Sr. Disc. Note, 2,847,500 0/14.00%, 5/15/2006 3,900,000 (2) United International Holdings, Inc., Sr. Secd. Disc. Note, 0/10.75%, 2/15/2008 2,515,500 10,225,000 (2) United Pan-Europe Communications NV, Sr. Disc. Note, 0/12.50%, 8/1/2009 5,802,688 4,700,000 (1)(2) United Pan-Europe Communications NV, Sr. Disc. Note, 0/13.375%, 11/1/2009 2,655,500 Total CHEMICALS & PLASTICS--4.7% 600,000 Buckeye Cellulose Corp., Sr. Sub. Note, 8.50%, 589,500 12/15/2005 1,600,000 Buckeye Cellulose Corp., Sr. Sub. Note, 9.25%, 1,624,000 9/15/2008 400,000 Foamex L.P., Sr. Sub. Note, 13.50%, 8/15/2005 378,000 150,000 Foamex L.P., Sr. Sub. Note, 9.875%, 6/15/2007 126,750 950,000 General Chemical Industrial Products, Inc., Sr. Sub. Note, 10.625%, 5/1/2009 945,250 825,000 (1) Georgia Gulf Corp., Sr. Sub. Note, 10.375%, 865,219 11/1/2007 4,425,000 (1) Huntsman Corp., Sr. Sub. Note, 9.50%, 4,225,875 7/1/2007 2,200,000 (1) Huntsman ICI Chemicals LLC, Sr. Sub. Note, 10.125%, 7/1/2009 2,266,000 1,825,000 ISP Holding, Inc., Sr. Note, 9.00%, 10/15/2003 1,802,187 1,108,000 ISP Holding, Inc., Sr. Note, 9.75%, 2/15/2002 1,116,310 6,775,000 Lyondell Chemical Co., Sr. Sub. Note, Series B, 10.875%, 5/1/2009 7,181,500 3,650,000 Polymer Group, Inc., Sr. Sub. Note, 8.75%, 3,522,250 3/1/2008 3,550,000 Polymer Group, Inc., Sr. Sub. Note, 9.00%, 3,461,250 7/1/2007 1,700,000 (2) Sterling Chemicals Holdings, Inc., Sr. Disc. Note, 0/13.50%, 8/15/2008 501,500 2,575,000 Sterling Chemicals, Inc., Sr. Sub. Note, 11.75%, 1,944,125 8/15/2006 2,500,000 Texas Petrochemicals Corp., Sr. Sub. Note, 2,187,500 11.125%, 7/1/2006 Total 32,737,216 CLOTHING & TEXTILES--0.7% 1,000,000 Collins & Aikman Floorcoverings, Inc., Sr. Sub. Note, 10.00%, 1/15/2007 985,000 675,000 Dyersburg Corp., Sr. Sub. Note, 9.75%, 9/1/2007 273,375 2,350,000 GFSI, Inc., Sr. Sub. Note, 9.625%, 3/1/2007 1,468,750 $1,625,000 Glenoit Corp., Sr. Sub. Note, 11.00%, 4/15/2007 $414,375 2,075,000 Pillowtex Corp., Sr. Sub. Note, 10.00%, 964,875 11/15/2006 2,150,000 Pillowtex Corp., Sr. Sub. Note, 9.00%, 12/15/2007 935,250 Total 5,041,625 CONGLOMERATES--0.4% 3,350,000 Eagle Picher Industries, Inc., Sr. Sub. Note, 2,948,000 9.375%, 3/1/2008 CONSUMER PRODUCTS--3.9% 3,350,000 Albecca, Inc., Company Guarantee, 10.75%, 2,294,750 8/15/2008 975,000 American Safety Razor Co., Sr. Note, 9.875%, 956,719 8/1/2005 1,850,000 Amscan Holdings, Inc., Sr. Sub. Note, 9.875%, 1,572,500 12/15/2007 1,300,000 Boyds Collection, Ltd., Sr. Sub. Note, Series B, 1,222,000 9.00%, 5/15/2008 3,200,000 Chattem, Inc., Sr. Sub. Note, 8.875%, 4/1/2008 3,008,000 325,000 Diamond Brands Operating Corp., Sr. Sub. Note, 10.125%, 4/15/2008 251,875 925,000 (2) Diamond Brands, Inc., Sr. Disc. Deb., 189,625 0/12.875%, 4/15/2009 950,000 NBTY, Inc., Sr. Sub. Note, 8.625%, 9/15/2007 888,250 2,920,000 Playtex Family Products Corp., Sr. Sub. Note, 2,912,700 9.00%, 12/15/2003 1,000,000 Revlon Consumer Products Corp., Sr. Note, 740,000 8.125%, 2/1/2006 7,750,000 Revlon Consumer Products Corp., Sr. Sub. Note, 8.625%, 2/1/2008 3,991,250 1,100,000 (1) Scotts Co., Sr. Sub. Note, 8.625%, 1/15/2009 1,078,000 1,400,000 (2) Sealy Mattress Co., Company Guarantee, 0/10.875%, 12/15/2007 987,000 425,000 Sealy Mattress Co., Sr. Sub. Note, 9.875%, 422,875 12/15/2007 775,000 Simmons Co., Sr. Sub. Note, 10.25%, 3/15/2009 738,188 1,000,000 (1) Sleepmaster L.L.C., Sr. Sub. Note, 11.00%, 1,006,250 5/15/2009 1,725,000 True Temper Sports, Inc., Sr. Sub. Note, Series B, 10.875%, 12/1/2008 1,656,000 1,675,000 United Industries Corp., Sr. Sub. Note, Series B, 9.875%, 4/1/2009 1,541,000 2,100,000 Volume Services America, Inc., Sr. Sub. Note, 2,079,000 11.25%, 3/1/2009 Total 27,535,982 CONTAINER & GLASS PRODUCTS--0.7% 2,850,000 Russell Stanley Holdings, Inc., Sr. Sub. Note, 2,493,750 10.875%, 2/15/2009 2,100,000 Tekni-Plex, Inc., Sr. Sub. Note, 9.25%, 3/1/2008 2,142,000 Total 4,635,750 ECOLOGICAL SERVICES & EQUIPMENT--2.2% 10,500,000 Allied Waste North America, Inc., Company Guarantee, 7.875%, 1/1/2009 9,292,500 7,000,000 (1) Allied Waste North America, Inc., Sr. Sub. Note, 10.00%, 8/1/2009 6,265,000 Total 15,557,500 ELECTRONICS--1.5% 975,000 (1) Fairchild Semiconductor Corp., Sr. Sub. Note, 10.375%, 10/1/2007 999,375 2,000,000 (1) SCG Holding Corp. / Semiconductor Components Industries, LLC, Sr. Sub. Note, 2,135,000 12.00%, 8/1/2009 6,875,000 Telecommunications Techniques Co., LLC, Sr. Sub. Note, 9.75%, 5/15/2008 6,290,625 1,300,000 Viasystems, Inc., Sr. Sub. Note, 9.75%, 6/1/2007 721,500 Total 10,146,500 FARMING & AGRICULTURE--0.1% 600,000 (1) Royster-Clark, Inc., 1st Mtg. Note, 10.25%, 549,000 4/1/2009 FOOD & DRUG RETAILERS--0.1% $825,000 Community Distributors, Inc., Sr. Note, 10.25%, $705,375 10/15/2004 2,125,000 Jitney-Jungle Stores of America, Inc., Sr. Sub. Note, 10.375%, 9/15/2007 26,563 Total 731,938 FOOD PRODUCTS--1.7% 3,150,000 Agrilink Foods, Inc., Company Guarantee, 3,181,500 11.875%, 11/1/2008 1,325,000 Aurora Foods, Inc., Sr. Sub. Note, 9.875%, 1,348,187 2/15/2007 2,550,000 Eagle Family Foods, Inc., Sr. Sub. Note, 8.75%, 1,950,750 1/15/2008 2,725,000 International Home Foods, Inc., Sr. Sub. Note, 10.375%, 11/1/2006 2,840,812 2,975,000 (1) Triarc Consumer Products Group, LLC, Sr. Sub. Note, 10.25%, 2/15/2009 2,863,438 Total 12,184,687 FOOD SERVICES--1.2% 1,750,000 Advantica Restaurant Group, Sr. Note, 11.25%, 1,330,000 1/15/2008 1,100,000 AmeriServe Food Distribution, Inc., Sr. Note, 8.875%, 10/15/2006 643,500 5,875,000 AmeriServe Food Distribution, Inc., Sr. Sub. Note, 10.125%, 7/15/2007 2,026,875 2,000,000 Carrols Corp., Company Guarantee, 9.50%, 1,830,000 12/1/2008 2,700,000 Domino's, Inc., Company Guarantee, 10.375%, 2,612,250 1/15/2009 100,000 (2) Nebco Evans Holding Co., Sr. Disc. Note, 0/12.375%, 7/15/2007 11,500 Total 8,454,125 FOREST PRODUCTS--0.8% 600,000 Container Corp. of America, Sr. Note, 11.25%, 628,500 5/1/2004 1,200,000 Packaging Corp. of America, Sr. Sub. Note, 1,236,000 9.625%, 4/1/2009 1,250,000 S. D. Warren Co., Sr. Sub. Note, 12.00%, 1,314,063 12/15/2004 1,175,000 Stone Container Corp., Sr. Note, 11.50%, 1,220,531 10/1/2004 1,100,000 Stone Container Corp., Sr. Note, 12.58%, 8/1/2016 1,177,000 250,000 Stone Container Corp., Unit, 12.25%, 4/1/2002 251,875 Total 5,827,969 HEALTH CARE--4.0% 3,000,000 CONMED Corp., Sr. Sub. Note, 9.00%, 3/15/2008 2,820,000 1,650,000 Columbia/HCA Healthcare Corp., Sr. Note, 6.91%, 1,501,962 6/15/2005 2,925,000 Dade International, Inc., Sr. Sub. Note, 2,881,125 11.125%, 5/1/2006 1,200,000 Everest Healthcare Services Corp., Sr. Sub. Note, 9.75%, 5/1/2008 1,122,000 650,000 Genesis Health Ventures, Inc., Sr. Sub. Note, 269,750 9.25%, 10/1/2006 1,850,000 Genesis Health Ventures, Inc., Sr. Sub. Note, 749,250 9.875%, 1/15/2009 1,350,000 Hanger Orthopedic Group, Inc., Sr. Sub. Note, 11.25%, 6/15/2009 1,393,875 650,000 Hudson Respiratory Care, Inc., Sr. Sub. Note, 523,250 9.125%, 4/15/2008 3,550,000 Kinetic Concepts, Inc., Company Guarantee, 2,644,750 9.625%, 11/1/2007 500,000 Tenet Healthcare Corp., Sr. Note, 7.625%, 466,250 6/1/2008 1,800,000 Tenet Healthcare Corp., Sr. Note, 8.00%, 1,741,500 1/15/2005 8,850,000 Tenet Healthcare Corp., Sr. Sub. Note, 8.125%, 8,429,625 12/1/2008 2,400,000 Tenet Healthcare Corp., Sr. Sub. Note, 8.625%, 2,322,000 1/15/2007 700,000 (1) Unilab Corp., Sr. Sub. Note, 12.75%, 731,500 10/1/2009 Total 27,596,837 HOTELS, MOTELS, INNS & CASINOS--1.9% $975,000 Courtyard by Marriott II LP, Sr. Note, 10.75%, $962,812 2/1/2008 4,400,000 Florida Panthers Holdings, Inc., Company Guarantee, 9.875%, 4/15/2009 4,290,000 6,600,000 HMH Properties, Inc., Sr. Note, Series B, 5,973,000 7.875%, 8/1/2008 2,175,000 HMH Properties, Inc., Sr. Note, Series C, 8.45%, 2,033,625 12/1/2008 Total 13,259,437 INDUSTRIAL PRODUCTS & EQUIPMENT--3.6% 2,175,000 Amphenol Corp., Sr. Sub. Note, 9.875%, 5/15/2007 2,272,875 1,500,000 (1) Blount, Inc., Sr. Sub. Note, 13.00%, 8/1/2009 1,590,000 1,600,000 Cabot Safety Acquisition Corp., Sr. Sub. Note, 12.50%, 7/15/2005 1,640,000 1,650,000 Continental Global Group, Inc., Sr. Note, 866,250 11.00%, 4/1/2007 2,175,000 Euramax International Plc, Sr. Sub. Note, 2,240,250 11.25%, 10/1/2006 1,375,000 Hexcel Corporation, Sr. Sub. Note, Series B, 1,175,625 9.75%, 1/15/2009 1,600,000 ISG Resources, Inc., Sr. Sub. Note, 10.00%, 1,368,000 4/15/2008 750,000 International Utility Structures, Inc., Sr. Sub. Note, 10.75%, 2/1/2008 618,750 575,000 Johnstown America Industries, Inc., Sr. Sub. Note, 11.75%, 8/15/2005 587,937 1,600,000 Johnstown America Industries, Inc., Sr. Sub. Note, 11.75%, 8/15/2005 1,636,000 3,000,000 MMI Products, Inc., Sr. Sub. Note, 11.25%, 3,105,000 4/15/2007 1,975,000 Neenah Corp., Sr. Sub. Note, 11.125%, 5/1/2007 1,836,750 650,000 Neenah Corp., Sr. Sub. Note, 11.125%, 5/1/2007 604,500 1,200,000 Unifrax Investment Corp., Sr. Note, 10.50%, 1,212,000 11/1/2003 4,900,000 WESCO Distribution, Inc., Sr. Sub. Note, 9.125%, 4,630,500 6/1/2008 Total 25,384,437 LEISURE & ENTERTAINMENT--2.2% 3,392,000 (2) AMF Group, Inc., Sr. Sub. Disc. Note, 1,136,320 0/12.25%, 3/15/2006 8,975,000 (2) Premier Parks, Inc., Sr. Disc. Note, 6,237,625 0/10.00%, 4/1/2008 575,000 Premier Parks, Inc., Sr. Note, 9.25%, 4/1/2006 567,813 2,600,000 Premier Parks, Inc., Sr. Note, 9.75%, 6/15/2007 2,616,250 6,450,000 Regal Cinemas, Inc., Sr. Sub. Note, 9.50%, 5,031,000 6/1/2008 Total MACHINERY & EQUIPMENT--2.8% 1,147,000 Alvey Systems, Inc., Sr. Sub. Note, 11.375%, 1,198,615 1/31/2003 1,775,000 Clark Material Handling Corp., Sr. Note, 10.75%, 559,125 11/15/2006 1,425,000 Columbus McKinnon Corp., Sr. Sub. Note, 8.50%, 1,232,625 4/1/2008 2,075,000 Fairchild Corp., Sr. Sub. Note, 10.75%, 4/15/2009 1,774,125 1,050,000 National Equipment Services, Inc., Sr. Sub. Note, 10.00%, 11/30/2004 1,057,875 2,575,000 National Equipment Services, Inc., Sr. Sub. Note, Series C, 10.00%, 11/30/2004 2,594,313 2,800,000 NationsRent, Inc., Company Guarantee, 10.375%, 2,751,000 12/15/2008 3,600,000 United Rentals, Inc., Company Guarantee, 9.25%, 3,465,000 1/15/2009 3,525,000 United Rentals, Inc., Company Guarantee, Series B, 9.00%, 4/1/2009 3,331,125 1,525,000 WEC Co., Sr. Note, 12.00%, 7/15/2009 1,425,875 Total 19,389,678 METALS & MINING--0.7% $3,250,000 (1) AEI Holding Co., Inc., Sr. Note, 10.50%, $2,453,750 12/15/2005 3,300,000 (1) AEI Resources, Inc., Sr. Sub. Note, 11.50%, 2,161,500 12/15/2006 650,000 Murrin Murrin Holdings Pty Ltd., Sr. Secd. Note, 9.375%, 8/31/2007 591,500 Total 5,206,750 OIL & GAS--2.6% 675,000 Comstock Resources, Inc., Sr. Note, 11.25%, 695,250 5/1/2007 4,000,000 Continental Resources, Inc., Sr. Sub. Note, 3,540,000 10.25%, 8/1/2008 475,000 DI Industries, Inc., Sr. Note, 8.875%, 7/1/2007 439,375 900,000 Houston Exploration Co., Sr. Sub. Note, 8.625%, 864,000 1/1/2008 1,500,000 Pogo Producing Co., Sr. Sub. Note, Series B, 1,552,500 10.375%, 2/15/2009 2,225,000 Pride Petroleum Services, Inc., Sr. Note, 2,236,125 9.375%, 5/1/2007 4,450,000 R&B Falcon Corp., Sr. Note, 12.25%, 3/15/2006 4,939,500 1,050,000 RBF Finance Co., Company Guarantee, 11.375%, 1,134,000 3/15/2009 875,000 Triton Energy Corp., Sr. Note, 8.75%, 4/15/2002 881,563 600,000 (2) Universal Compression Holdings, Inc., Sr. Disc. Note, 0/11.375%, 2/15/2009 342,000 1,950,000 (2) Universal Compression Holdings, Inc., Sr. Disc. Note, 0/9.875%, 2/15/2008 1,211,438 Total 17,835,751 PRINTING & PUBLISHING--0.7% 1,875,000 Garden State Newspapers, Inc., Sr. Sub. Note, 1,771,875 8.75%, 10/1/2009 1,000,000 Hollinger International Publishing, Inc., Sr. Sub. Note, 9.25%, 2/1/2006 987,500 900,000 Hollinger International Publishing, Inc., Sr. Sub. Note, 9.25%, 3/15/2007 895,500 900,000 K-III Communications Corp., Company Guarantee, Series B, 8.50%, 2/1/2006 882,000 Total 4,536,875 REAL ESTATE--0.2% 1,156,000 Trizec Finance Ltd., Sr. Note, 10.875%, 1,213,800 10/15/2005 RETAILERS--0.1% 975,000 Leslie's Poolmart, Inc., Sr. Note, 10.375%, 833,625 7/15/2004 SERVICES--1.9% 1,300,000 Coinmach Corp., Sr. Note, 11.75%, 11/15/2005 1,345,500 7,700,000 (2) Crown Castle International Corp., Sr. Disc. Note, 0/10.375%, 5/15/2011 4,851,000 2,950,000 (2) Crown Castle International Corp., Sr. Disc. Note, 0/11.25%, 8/1/2011 1,858,500 2,750,000 SITEL Corp., Sr. Sub. Note, 9.25%, 3/15/2006 2,602,188 2,250,000 (1) URS Corp., Sr. Sub. Note, Series B, 12.25%, 2,368,125 5/1/2009 Total 13,025,313 STEEL--1.0% 2,900,000 Metals USA, Inc., Sr. Sub. Note, 8.625%, 2,740,500 2/15/2008 1,700,000 National Steel Corp., 1st Mtg. Bond, 9.875%, 1,755,250 3/1/2009 2,000,000 (1) Republic Technologies International, Inc., Unit, 13.75%, 7/15/2009 1,330,000 1,350,000 Ryerson Tull, Inc., Sr. Note, 9.125%, 7/15/2006 1,345,059 Total 7,170,809 SURFACE TRANSPORTATION--1.8% $1,850,000 Allied Holdings, Inc., Sr. Note, 8.625%, $1,646,500 10/1/2007 1,025,000 (3) AmeriTruck Distribution Corp., Sr. Sub. Note, 12.25%, 11/15/2005 56,375 2,075,000 Gearbulk Holding Ltd., Sr. Note, 11.25%, 2,142,437 12/1/2004 1,050,000 Holt Group, Inc., Company Guarantee, 9.75%, 687,750 1/15/2006 1,400,000 Railworks Corp., Company Guarantee, 11.50%, 1,424,500 4/15/2009 4,375,000 Stena AB, Sr. Note, 10.50%, 12/15/2005 4,025,000 2,275,000 Stena AB, Sr. Note, 8.75%, 6/15/2007 1,876,875 1,000,000 Stena Line AB, Sr. Note, 10.625%, 6/1/2008 605,000 Total 12,464,437 TELECOMMUNICATIONS & CELLULAR--24.8% 3,350,000 American Cellular Corp., Sr. Note, 10.50%, 3,710,125 5/15/2008 1,200,000 Arch Communications, Inc., Sr. Note, Series B, 954,000 12.75%, 7/1/2007 4,000,000 (2) Call-Net Enterprises, Inc., Sr. Disc. Note, 0/10.80%, 5/15/2009 1,940,000 6,250,000 (2) Call-Net Enterprises, Inc., Sr. Disc. Note, 3,109,375 0/8.94%, 8/15/2008 3,025,000 (2) Call-Net Enterprises, Inc., Sr. Disc. Note, 1,686,437 0/9.27%, 8/15/2007 2,550,000 Centennial Cellular Corp., Sr. Sub. Note, 2,747,625 10.75%, 12/15/2008 3,500,000 (2) Dolphin Telecom PLC, Sr. Disc. Note, 1,627,500 0/14.00%, 5/15/2009 1,550,000 (2) E.Spire Communications, Inc., Sr. Disc. Note, 0/12.75%, 4/1/2006 751,750 575,000 (2) E.Spire Communications, Inc., Sr. Disc. Note, 0/13.00%, 11/1/2005 313,375 12,200,000 (1) Global Crossing Holdings Ltd., Sr. Note, 12,123,750 9.50%, 11/15/2009 2,800,000 Hermes Europe Railtel B.V., Sr. Note, 10.375%, 2,779,000 1/15/2009 4,275,000 Hermes Europe Railtel B.V., Sr. Note, 11.50%, 4,413,937 8/15/2007 1,325,000 (2) ICG Holdings, Inc., Sr. Disc. Note, 1,027,975 0/12.50%, 5/1/2006 5,325,000 (2) Intermedia Communications, Inc., Sr. Disc. Note, 0/11.25%, 7/15/2007 3,967,125 3,575,000 (2) Intermedia Communications, Inc., Sr. Disc. Note, 0/12.50%, 5/15/2006 3,146,000 3,400,000 (2) Intermedia Communications, Inc., Sr. Disc. Note, Series B, 0/12.25%, 3/1/2009 2,057,000 3,100,000 Intermedia Communications, Inc., Sr. Note, 2,875,250 8.60%, 6/1/2008 575,000 Intermedia Communications, Inc., Sr. Note, 540,500 8.875%, 11/1/2007 10,500,000 (2) Level 3 Communications, Inc., Sr. Disc. Note, 0/10.50%, 12/1/2008 6,431,250 11,150,000 Level 3 Communications, Inc., Sr. Note, 9.125%, 10,606,437 5/1/2008 4,100,000 McLeod, Inc., Sr. Disc. Note, 0/10.50%, 3/1/2007 3,382,500 1,900,000 McLeod, Inc., Sr. Note, 8.125%, 2/15/2009 1,771,750 350,000 McLeod, Inc., Sr. Note, 8.375%, 3/15/2008 330,750 1,050,000 McLeod, Inc., Sr. Note, 9.25%, 7/15/2007 1,055,250 2,300,000 McLeod, Inc., Sr. Note, 9.50%, 11/1/2008 2,328,750 2,925,000 Metromedia Fiber Network, Inc., Sr. Note, 2,998,125 10.00%, 12/15/2009 5,675,000 (2) Millicom International Cellular S. A., Sr. Disc. Note, 0/13.50%, 6/1/2006 4,710,250 4,375,000 (2) NEXTEL Communications, Inc., Sr. Disc. Note, 0/10.65%, 9/15/2007 3,325,000 7,775,000 (2) NEXTEL Communications, Inc., Sr. Disc. Note, 0/9.95%, 2/15/2008 5,559,125 8,500,000 (1) NEXTEL Communications, Inc., Sr. Note, 8,393,750 9.375%, 11/15/2009 $5,400,000 (1)(2) NEXTLINK Communications, Inc., Sr. Disc. Note, 0/12.125%, 12/1/2009 $3,172,500 7,900,000 (2) NEXTLINK Communications, Inc., Sr. Disc. Note, 0/12.25%, 6/1/2009 4,898,000 4,100,000 (2) NEXTLINK Communications, Inc., Sr. Disc. Note, 0/9.45%, 4/15/2008 2,603,500 1,950,000 NEXTLINK Communications, Inc., Sr. Note, 10.75%, 2,032,875 6/1/2009 2,200,000 NEXTLINK Communications, Inc., Sr. Note, 9.00%, 2,106,500 3/15/2008 1,400,000 (2) Nextel International, Inc., Sr. Disc. Note, 0/12.125%, 4/15/2008 832,454 1,725,000 (2) Nextel Partners, Inc., Sr. Disc. Note, 1,164,375 0/14.00%, 2/1/2009 2,900,000 Paging Network, Inc., Sr. Sub. Note, 10.00%, 913,500 10/15/2008 500,000 Paging Network, Inc., Sr. Sub. Note, 10.125%, 157,500 8/1/2007 1,000,000 Pathnet, Inc., Unit, 12.25%, 4/15/2008 625,000 3,000,000 PsiNet, Inc., Sr. Note, 10.00%, 2/15/2005 2,985,000 3,000,000 PsiNet, Inc., Sr. Note, 11.00%, 8/1/2009 3,090,000 1,725,000 PsiNet, Inc., Sr. Note, 11.50%, 11/1/2008 1,811,250 175,000 (2) Qwest Communications International, Inc., Sr. Disc. Note, 0/8.29%, 2/1/2008 134,750 3,525,000 (2) Qwest Communications International, Inc., Sr. Disc. Note, 0/9.47%, 10/15/2007 2,855,250 5,125,000 Rogers Cantel Mobile, Inc., Sr. Sub. Note, 5,201,875 8.80%, 10/1/2007 575,000 (2) Telesystem International Wireless, Inc., Sr. Disc. Note, 0/10.50%, 11/1/2007 319,125 5,525,000 (2) Telesystem International Wireless, Inc., Sr. Disc. Note, 0/13.25%, 6/30/2007 3,563,625 3,700,000 (2) Teligent AB, Sr. Disc. Note, 0/11.50%, 2,238,500 3/1/2008 3,575,000 Teligent AB, Sr. Note, 11.50%, 12/1/2007 3,521,375 4,350,000 (2) Triton PCS, Inc., Sr. Disc. Note, 0/11.00%, 3,110,250 5/1/2008 3,100,000 (1)(2) US Unwired, Inc., Sr. Disc. Note, 1,813,500 0/13.375%, 11/1/2009 1,750,000 US Xchange, L.L.C., Sr. Note, 15.00%, 7/1/2008 1,684,375 1,000,000 USA Mobile Communications, Inc., Sr. Note, 821,250 9.50%, 2/1/2004 1,700,000 (1) Verio, Inc., Sr. Note, 10.625%, 11/15/2009 1,742,500 1,675,000 Verio, Inc., Sr. Note, 11.25%, 12/1/2008 1,767,125 750,000 Viatel, Inc., Sr. Note, 11.50%, 3/15/2009 765,000 4,100,000 (2) Viatel, Inc., Unit, 0/12.50%, 4/15/2008 2,603,500 1,825,000 Viatel, Inc., Unit, 11.25%, 4/15/2008 1,843,250 8,000,000 (1)(2) Voicestream Wireless Holding Corp., Sr. Disc. Note, 0/11.875%, 11/15/2009 4,860,000 625,000 (1) Voicestream Wireless Holding Corp., Sr. Note, 10.375%, 11/15/2009 646,875 2,750,000 Williams Communications Group, Inc., Sr. Note, 10.875%, 10/1/2009 2,894,375 3,750,000 (2) WinStar Communications, Inc., Sr. Sub. Defd. Deb., 0/11.00%, 3/15/2008 3,843,750 Total UTILITIES--1.0% $1,000,000 CMS Energy Corp., Sr. Note, 7.50%, 1/15/2009 $925,450 2,250,000 Caithness Coso Funding Corp., Sr. Secd. Note, Series B, 9.05%, 12/15/2009 2,250,000 1,700,000 El Paso Electric Co., 1st Mtg. Note, 9.40%, 1,801,031 5/1/2011 2,200,000 (2) Niagara Mohawk Power Corp., Sr. Disc. Note, Series H, 0/8.50%, 7/1/2010 1,648,064 Total 6,624,545 TOTAL CORPORATE BONDS (IDENTIFIED COST 654,976,197 $710,280,336) SHARES COMMON STOCKS--0.0% CABLE TELEVISION--0.0% 27 (1)(3) CS Wireless Systems, Inc. 4 METALS & MINING--0.0% 57,533 (3) Royal Oak Mines, Inc. 0 PRINTING & PUBLISHING--0.0% 500 (3) Affiliated Newspaper Investments, Inc. 80,000 TOTAL COMMON STOCKS (IDENTIFIED COST $16,023) 80,004 PREFERRED STOCKS--3.1% BANKING--0.1% 27,000 California Federal Preferred Capital Corp., REIT Perpetual Pfd. Stock, Series A, $2.28 609,188 BROADCAST RADIO & TV--0.8% 1,250 Benedek Communications Corp., Sr. Exchangeable 1,006,250 PIK 12,360 Capstar Broadcasting Partners, Inc., Sr. Pfd., 1,449,210 $12.00 1,060 Cumulus Media, Inc., Cumulative Sr. Red. Pfd. Stk., Series A, $3.44 1,192,763 16,550 Sinclair Broadcast Group, Inc., Cumulative Pfd., 1,688,100 $11.63 Total 5,336,323 CABLE TELEVISION--0.3% 1,825 Pegasus Communications Corp., Cumulative PIK Pfd., Series A, 12.75% 2,016,625 FOOD SERVICES--0.0% 6,362 Nebco Evans Holding Co., Exchangeable Pfd. Stock 34,991 FOREST PRODUCTS--0.1% 5,554 Packaging Corp. of America, Sr. Exchangeable PIK 610,940 HEALTH CARE--0.0% 4,148 River Holding Corp., Sr. Exchangeable PIK 259,972 INDUSTRIAL PRODUCTS & EQUIPMENT--0.1% 1,050 Fairfield Manufacturing Co., Inc., Cumulative Exchangeable Pfd. Stock 1,044,750 OIL & GAS--0.4% 2,903 R&B Falcon Corp., PIK Pfd., 13.875% 3,077,180 PRINTING & PUBLISHING--1.1% 22,750 Primedia, Inc., Cumulative Pfd., Series D, $10.00 2,246,563 39,650 Primedia, Inc., Exchangeable Pfd. Stock, Series 3,469,375 G, $2.16 17,450 Primedia, Inc., Pfd., $9.20 1,635,938 Total 6 TELECOMMUNICATIONS & CELLULAR--0.2% 527 NEXTEL Communications, Inc., Cumulative PIK Pfd., Series D, 13.00% $571,795 876 NEXTEL Communications, Inc., Exchangeable Pfd. Stock, Series E 890,235 Total 1,462,030 TOTAL PREFERRED STOCKS (IDENTIFIED COST 21,803,875 $22,462,506) WARRANTS--0.0% BUSINESS EQUIPMENT & SERVICES--0.0% 750 (3) Electronic Retailing Systems International, 750 Inc., Warrants CABLE TELEVISION--0.0% 600 (1)(3) Australis Holdings Property Ltd., Warrants 0 4,275 (3) Diva Systems Corp., Warrants 34,200 2,400 (3) UIH Australia/Pacific, Warrants 72,000 900 (3) Wireless One, Inc., Warrants 0 Total 106,200 CHEMICALS & PLASTICS--0.0% 875 (3) Sterling Chemicals Holdings, Inc., Warrants 14,000 OIL & GAS--0.0% 1,400 (1)(3) R&B Falcon Corp., Warrants 174,902 STEEL--0.0% 250 (3) Bar Technologies, Inc., Warrants 5,000 TELECOMMUNICATIONS & CELLULAR--0.0% 1,025 (1)(3) MetroNet Communications Corp., Warrants 87,125 1,000 (1)(3) Pathnet, Inc., Warrants 10,125 Total 97,250 TOTAL WARRANTS (IDENTIFIED COST $260,915) 398,102 PRINCIPAL AMOUNT - -------------- REPURCHASE AGREEMENT (4) --1.3% $8,835,000 Bank of America, 3.15%, dated 12/31/1999, due 1/3/2000 (AT AMORTIZED COST) 8,835,000 TOTAL INVESTMENTS (IDENTIFIED COST $686,093,178 $741,854,780)(5) (1) Denotes 144A securities which are exempt from registration under the Securities Act of 1933, as amended and may only be sold to dealers and other exempt investors. These securities have been determined to be liquid according to guidelines established by the Board of Trustees. At December 31, 1999, these securities amounted to $79,547,072 which represents 11.4% of total net assets. (2) Denotes a Zero Coupon bond with effective rate at time of purchase. (3) Non-income producing security. (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 $741,858,126. The net unrealized depreciation of investments on a federal tax basis amounts to $(55,764,948) which is comprised of $8,861,709 appreciation and $64,626,657 depreciation at December 31, 1999. Note: The categories of investments are shown as a percentage of net assets ($699,088,150) at December 31, 1999. The following acronyms are used throughout this portfolio: BIG --Bond Investors Guaranty GTD --Guaranty HDA --Hospital Development Authority LLC --Limited Liability Corporation LP --Limited Partnership PCs --Participation Certificates PIK --Payment in Kind PLC --Public Limited Company REIT --Real Estate Investment Trust See Notes which are an integral part of the Financial Statements HIGH YIELD BOND PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1999
ASSETS: Total Investments in securities, at value (identified cost $741,854,780 and tax cost of $741,858,126) 686,093,178 $ Cash 3,107 Income receivable 13,140,278 Prepaid expense 21,900 Total assets LIABILITIES: Payable for investments purchased $ 159,495 Accrued expenses 10,818 Total liabilities 170,313 Net Assets for 80,183,474 shares outstanding 699,088,150 $ NET ASSETS CONSIST OF: Paid in capital 757,084,398 $ Net unrealized depreciation of investments (55,761,6)2 Accumulated net realized loss on investments (2,549,66) Undistributed net investment income 315,019 Total Net Assets 699,088,150 $ NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PROCEEDS PER SHARE: $699,088,150 /80,183,474 shares outstanding $8.72 See Notes which are an integral part of the Financial Statements HIGH YIELD BOND PORTFOLIO STATEMENT OF OPERATIONS YEAR ENDED DECEMBER 31, 1999 INVESTMENT INCOME: Dividends 2,056,261 $ Interest 64,696,537 Total income EXPENSES: Administrative personnel and services fee $497,914 Custodian fees 22,624 Transfer and dividend disbursing agent fees and 14,769 expenses Directors'/Trustees' fees 9,400 Auditing fees 11,005 Legal fees 16,572 Portfolio accounting fees 113,017 Share registration costs 750 Printing and postage 1,829 Miscellaneous 3,594 Total expenses 691,474 Waivers Waiver of administrative personnel and (497,914) $ services fee Net expenses 193,560 Net investment income 66,559,238 REALIZED AND UNREALIZED GAIN (LOSS) ON Investments: Net realized loss on investments (2,548,935) Net change in unrealized depreciation of (41,732,)82 investments Net realized and unrealized loss on investments (44,281,617) Change in net assets resulting from operations $ 22,277,621 See Notes which are an integral part of the Financial Statements HIGH YIELD BOND PORTFOLIO STATEMENT OF CHANGES IN NET ASSETS Year Ended Period Ended December December 31, (1) 31, 1999 1998 INCREASE (DECREASE) IN NET ASSETS: OPERATIONS-- Net investment income 66,559,238 38,806,486 $ $ Net realized gain (loss) on investments ($(1,148,442) and $4,105,121, as computed (2,548,935 ) 4,134,201 for federal tax purposes, respectively) Net change in unrealized depreciation (41,732,682 ) (14,028,920) Change in net assets resulting from 22,277,621 28,911,767 operations DISTRIBUTIONS TO SHAREHOLDERS-- Distributions from net investment income (66,396,829 ) (38,806,486) Distributions from net realized gains (1,290,889 ) (2,691,432) Change in net assets resulting from distributions to (67,687,718 ) (41,497,918) shareholders SHARE TRANSACTIONS-- Proceeds from sale of shares 213,964,955 736,754,432 Net asset value of shares issued to shareholders in payment of distributions 67,702,178 41,468,846 declared Cost of shares redeemed (98,974,796 ) (203,831,217) Change in net assets resulting from 182,692,337 574,392,061 share transactions Change in net assets 137,282,240 561,805,910 NET ASSETS: Beginning of period 561,805,910 0 End of period (including undistributed net investment income of $315,019 and $29,810, 699,088,150 561,805,910 $ $ respectively) (1) Reflects operations for the period from February 2, 1998 (date of initial investment) to December 31, 1998. See Notes which are an integral part of the Financial Statements
HIGH YIELD BOND PORTFOLIO FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) YEAR PERIOD ENDED ENDED DECEMBER DECEMBER 31, 31, 1999 1998(1) NET ASSET VALUE, BEGINNING OF $9.30 $10.00 PERIOD INCOME FROM INVESTMENT OPERATIONS Net investment income 0.91 0.84 Net realized and unrealized (0.56 ) (0.65 ) loss on investments Total from investment 0.35 0.19 operations LESS DISTRIBUTIONS Distributions from net (0.91 ) (0.84 ) investment income Distributions from net realized gain on investments (0.02 ) (0.05 ) ------- ------ ------- ------ Total distributions (0.93 ) (0.89 ) NET ASSET VALUE, END OF PERIOD $8.72 $9.30 TOTAL RETURN (2) 3.83 % 1.96 % RATIOS TO AVERAGE NET ASSETS Expenses 0.03 % 0.04 % (4) Net investment income 10.07 % 9.60 % (4) Expense waivers (3) 0.08 % 0.08 % (4) SUPPLEMENTAL DATA Net assets, end of period $699,088 $561,806 (000 omitted) Portfolio turnover 49 % 55 % (1)Reflects operations for the period from February 2, 1998 (date of initial investment) to December 31, 1998. (2)Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. (3)This voluntary expense decrease is reflected in both the expense and net investment income ratios shown above. (4) Computed on an annualized basis. See Notes which are an integral part of the Financial Statements HIGH YIELD BOND PORTFOLIO NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999 1. ORGANIZATION Federated Core Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end management investment company. The Trust consists of two diversified portfolios, the High Yield Bond Portfolio (the "Fund") and the Federated Mortgage Core Portfolio. The financial statements included herein are only those for the Fund. The financial statements of the other portfolio are presented separately. The Fund's investment objective is to seek high current income by investing primarily in a professionally managed, diversified portfolio of fixed income securities. The Fund's portfolio of investments consists primarily of lower rated corporate debt obligations. These lower rated debt obligations may be more susceptible to real or perceived adverse economic conditions than investment grade bonds. These lower rated debt obligations are regarded as predominantly speculative with respect to each issuer's continuing ability to make interest and principal payments (i.e., the obligations are subject to the risk of default). Currently, the Fund is only available for purchase by other Federated Funds and their affiliates. 2. SIGNIFICANT ACCOUNTING POLICIES 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. INVESTMENT VALUATIONS - 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 sixty days or less at the time of purchase may be valued at amortized cost, which approximates fair market value. Investments in other open-ended regulated investment companies are valued at net asset value. REPURCHASE AGREEMENTS - 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 Trustees (the "Trustees"). 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. INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS - 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. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for market discount reclasses. The following reclassifications have been made to the financial statements. --------------------------------------------------- Increase (Decrease) --------------------------------------------------- --------------------------------------------------- Accumulated Net Realized Undistributed Net INVESTMENT GAIN/LOSS INCOME --- --- $(122,800) $122,800 Net investment income, net realized gains/losses, and net assets were not affected by this reclassification. FEDERAL TAXES - 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 December 31, 1999, the Fund, for federal tax purposes, had a capital loss carryforward of $1,148,442, which will reduce 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 in 2007. Additionally, the Fund's net capital losses of $1,397,877 attributable to security transactions incurred after October 31, 1999, were treated as arising on January 1, 2000, the first day of the Fund's next taxable year. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS - 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. RESTRICTED SECURITIES - 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 Trustees. 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. USE OF ESTIMATES - 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. OTHER - Investment transactions are accounted for on a trade date basis. 3. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares were as follows: YEAR ENDED PERIOD ENDED DECEMBER 31, DECEMBER 31, 1999 1998(1) ---- ------- Shares sold 23,276,427 76,779,274 Shares issued to shareholders in 7,494,091 4,340,172 payment of distributions declared Shares redeemed (10,972,164) (20,734,326) ------------ ------------ Net change resulting from share 19,798,354 60,385,120 ========== ========== transactions I. Reflects operations for the period from February 2, 1998 (date of initial investment) to December 31, 1998. 4. INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES INVESTMENT ADVISER FEE - Federated Investment Management Company, is the Fund's investment adviser (the "Adviser"), subject to direction of the Trustees. The Adviser provides investment adviser services at no fee. ADMINISTRATIVE FEE - Federated Services Company ("FServ"), a subsidiary of Federated Investors, Inc., provides administrative personnel and services (including certain legal and financial reporting services) necessary to operate the Fund. FServ, provides these services at an annual rate that ranges from 0.15% to 0.075% of the average aggregate daily net assets of all funds advised by affiliates of Federated Investors, Inc. Fserv also provides certain accounting and recordkeeping services with respect to the Fund's portfolio of investments for a fee based on Fund assets plus out-of-pocket expenses. Fserv may voluntarily waive all or a portion of the administrative fee paid by the Fund. Fserv may terminate this voluntary waiver at any time. TRANSFER AND DIVIDEND DISBURSING AGENT FEES AND EXPENSES - FServ, through its subsidiary, Federated Shareholder Services Company ("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. PORTFOLIO ACCOUNTING FEES - 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. GENERAL - Certain of the Officers and Trustees of the Trust are Officers and Directors or Trustees of the above companies. 5. INVESTMENT TRANSACTIONS Purchases and sales of investments, excluding short-term securities for the year ended December 31, 1999, were as follows: PURCHASES $ 498,637,174 ------------- ------------------------------------------------- SALES $ 307,549,041 ------------- ------------------------------------------------- Report of Ernst & Young LLP, Independent Auditors To the Board of Trustees of Federated Core Trust and Shareholders of High Yield Bond Portfolio: We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of the High Yield Bond Portfolio, ("the Fund") (one of the portfolios constituting Federated Core Trust), as of December 31, 1999, and the related statement of operations for the year then ended, the statement of changes in net assets and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 1999, by correspondence with the custodian and brokers or other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the High Yield Bond Portfolio of Federated Core Trust at December 31, 1999, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the periods indicated therein, in conformity with accounting principles generally accepted in the United States. [GRAPHIC OMITTED] Boston, Massachusetts February 16, 2000 FEDERATED MORTGAGE CORE PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 1999 PRINCIPAL AMOUNT VALUE AGENCY DEBENTURE--2.4% FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.4% $6,200,000 5.700%, 1/25/2000 $6,182,578 MORTGAGE BACKED SECURITIES--99.6% FEDERAL HOME LOAN MORTGAGE CORPORATION - 11.1% 20,167,225 6.500%, 4/1/2029 - 6/1/2029 19,048,447 4,241,580 7.000%, 12/1/2011 - 9/1/2029 4,125,336 2,923,125 7.500%, 12/1/2022 - 11/1/2029 2,900,075 2,104,455 8.000%, 5/1/2006 - 12/1/2029 2,130,599 253,766 8.500%, 9/1/2025 - 1/1/2026 260,809 259,590 9.000%, 5/1/2017 271,272 46,370 9.500%, 4/1/2021 49,065 Total 28,785,603 FEDERAL NATIONAL MORTGAGE ASSOCIATION - 61.9% 35,616,337 6.000%, 7/1/2006 - 6/1/2029 33,355,596 43,751,355 6.500%, 5/1/2006 - 10/1/2029 41,344,178 8,430,000 (3) 6.500%, 1/1/2014 8,185,024 39,563,778 7.000%, 7/1/2010 - 12/1/2029 38,330,458 10,770,000 (3) 7.000%, 1/1/2014 10,655,623 6,580,860 7.500%, 6/1/2011 - 10/1/2029 6,563,862 14,000,000 (3) 7.500%, 2/1/2029 13,846,840 4,511,225 8.000%, 7/1/2023 - 8/1/2027 4,554,443 2,500,000 (3) 8.000%, 1/1/2029 2,520,300 240,841 8.500%, 8/1/2023 - 2/1/2025 247,827 385,535 9.000%, 11/1/2021 - 6/1/2025 402,670 Total 160,006,821 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 26.6% 8,558,917 6.000%, 6/15/2028 - 6/15/2029 7,802,990 13,128,290 6.500%, 10/15/2028 - 5/15/2029 12,344,077 14,158,884 7.000%, 11/15/2027 - 12/15/2028 13,689,942 2,937,000 (3) 7.000%, 2/1/2029 2,836,966 10,116,849 7.500%, 6/20/2007 - 10/15/2029 10,009,091 5,702,941 8.000%, 2/15/2010 - 11/15/2029 5,781,727 6,457,500 (3) 8.000%, 2/1/2029 6,522,075 6,680,024 8.500%, 11/15/2021 - 11/15/2029 6,870,002 217,749 9.000%, 10/15/2016 - 6/15/2025 228,213 301,018 9.500%, 1/15/2019 - 12/15/2025 321,861 1,914,986 12.000%, 4/15/2015 - 6/15/2015 2,165,364 Total 68,572,308 TOTAL MORTGAGE BACKED SECURITIES (IDENTIFIED COST 263,547,310 $269,971,535) PRINCIPAL AMOUNT VALUE REPURCHASE AGREEMENTS (1)--15.4% $1,535,000 First Union Capital Markets, 3.250%, dated 12/31/1999, due 1/3/2000 $1,535,000 16,500,000 (2) Goldman Sachs Group, LP, 5.740%, dated 12/8/1999, due 1/19/2000 16,500,000 5,200,000 (2) Goldman Sachs Group, LP, 5.740%, dated 12/8/1999, due 1/24/2000 5,200,000 8,300,000 (2) Goldman Sachs Group, LP, 5.750%, dated 11/30/1999, due 1/24/2000 8,300,000 5,500,000 (2) Morgan Stanley Group, Inc., 5.650%, dated 11/26/1999, due 1/24/2000 5,500,000 2,850,000 (2) Morgan Stanley Group, Inc., 5.650%, dated 12/16/1999, due 1/25/2000 2,850,000 TOTAL REPURCHASE AGREEMENTS 39,885,000 TOTAL INVESTMENTS (IDENTIFIED COST $303,432,310 $309,856,534)(4) (1) Although final maturity falls beyond seven days, a liquidity feature is included in each transaction to permit termination of the repurchase agreement within seven days. (2) The repurchase agreements are fully collateralized by U.S. government and/or agency obligations based on market prices at the date of the portfolio. The investments in the repurchase agreements are through participation in joint accounts with other Federated Funds. (3) This represents a TBA security. All or a portion of these securities maybe subject to dollar roll transactions. (4) The cost of investments for federal tax purposes amounts to $309,889,878. The net unrealized depreciation of investments on a federal tax basis amounts to $6,457,568 which is comprised of $199,875 appreciation and $6,657,443 depreciation at December 31, 1999. Note: The categories of investments are shown as a percentage of net assets ($258,303,999) at December 31, 1999. The following acronym is used throughout this portfolio: LP --Limited Partnership TBA --To Be Announced See Notes which are an integral part of the Financial Statements
FEDERATED MORTGAGE CORE PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1999 ASSETS: Investments in repurchase agreements $ 39,885,000 Investments in securities 263,547,310 Total investments in securities, at value (identified cost $309,856,534 and tax cost of $309,889,878) $ 303,432,310 Cash 4,372 Income receivable 1,401,539 Receivable for investments sold 5,478,250 Total assets 310,316,471 LIABILITIES: Payable for investments purchased $ 15,440,321 Payable for dollar roll transactions 36,545,159 Accrued expenses 26,992 Total liabilities 52,012,472 Net Assets for 27,041,359 shares outstanding $ 258,303,999 NET ASSETS CONSIST OF: Paid in capital $ 268,962,995 Net unrealized depreciation of investments (6,424,22) Accumulated net realized loss on investments (4,277,47) Undistributed net investment income 42,707 Total Net Assets $ 258,303,999 NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PROCEEDS PER SHARE: $258,303,999 / 27,041,359 shares outstanding $9.55 See Notes which are an integral part of the Financial Statements FEDERATED MORTGAGE CORE PORTFOLIO STATEMENT OF OPERATIONS PERIOD ENDED DECEMBER 31, 1999 (1) INVESTMENT INCOME: Interest (net of dollar roll expense of $1,082,576) 14,518,228 $ EXPENSES: Administrative personnel and services fee $162,590 Custodian fees 22,152 Transfer and dividend disbursing agent fees and 13,801 expenses Auditing fees 13,047 Legal fees 6,246 Portfolio accounting fees 57,790 Insurance premiums 1,618 Miscellaneous 736 Total expenses 278,340 Waivers and reimbursements: Waiver of administrative personnel and services (162,950) $ fee Reimbursement of other operating expenses (9,368 ) Total Waivers and reimbursements (172,318) Net expenses 106,022 Net investment income 14,412,206 REALIZED AND UNREALIZED GAIN (LOSS) ON Investments: Net realized loss on investments (4,277,4)9 Net change in unrealized depreciation of (6,424,2)4 investments Net realized and unrealized loss on investments (10,701,)03 Change in net assets resulting from operations 3,710,503 $ I. Reflects operations for the period from February 22, 1999 (date of initial investment) to December 31, 1999. See Notes which are an integral part of the Financial Statements FEDERATED MORTGAGE CORE PORTFOLIO STATEMENT OF CHANGES IN NET ASSETS Period Ended December 31, 1999 (1) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income 14,412,206 $ Net realized loss on investments ($(4,071,741) as computed for federal tax (4,277,479 ) purposes) Net change in unrealized depreciation (6,424,224 ) Change in net assets resulting from 3,710,503 operations DISTRIBUTIONS TO SHAREHOLDERS: Distributions from net investment income (14,369,499) SHARE TRANSACTIONS: Proceeds from sale of shares 372,841,840 Net asset value of shares issued to shareholders in payment of distributions 14,361,250 declared Cost of shares redeemed (118,240,09) Change in net assets resulting from 268,962,995 share transactions Change in net assets 258,303,999 NET ASSETS: Beginning of period -- End of period (including undistributed net investment income of $42,707 at December 258,303,999 $ 31, 1999)
(1) Reflects operations for the period from February 22, 1999 (date of initial investment) to December 31, 1999. See Notes which are an integral part of the Financial Statements FEDERATED MORTGAGE CORE PORTFOLIO FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) PERIOD ENDED DECEMBER 31, 1999 (1) NET ASSET VALUE, BEGINNING OF PERIOD $10.00 INCOME FROM INVESTMENT OPERATIONS Net investment income 0.55 Net realized and unrealized loss on (0.45 ) investments Total from investment operations 0.10 LESS DISTRIBUTIONS Distributions from net investment (0.55 ) income NET ASSET VALUE, END OF PERIOD $9.55 TOTAL RETURN (2) 1.07 % RATIOS TO AVERAGE NET ASSETS Expenses 0.05 %(4) Net investment income 6.66 %(4) Expense waiver/reimbursement (3) 0.08 %(4) SUPPLEMENTAL DATA Net assets, end of period (000 $258,304 omitted) Portfolio turnover 153 % (1)Reflects operations for the period from February 22, 1999 (date of initial investment) to December 31, 1999. (2)Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. (3)This voluntary expense decrease is reflected in both the expense and the net investment income ratios shown above. (4) Computed on an annualized basis. See Notes which are an integral part of the Financial Statements FEDERATED MORTGAGE CORE PORTFOLIO NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999 ORGANIZATION 6. Federated Core Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end management investment company. The Trust consists of two diversified portfolios, the Federated Mortgage Core Portfolio (the "Fund") and the Federated High Yield Bond Portfolio. The financial statements included herein are only for the Fund. The financial statements of the other portfolio are presented separately. The Fund was created through the purchases of securities from other Federated Funds. The Fund's investment objective is to provide total return by investing in U.S. Treasury Bills, Notes, Bonds, Discount Notes and Mortgage Backed Securities issued or guaranteed by the U.S. Government. The Fund is an investment vehicle used by other Federated Funds that invest some portion of their assets in mortgage backed securities. Currently, the Fund is only available for purchase by other Federated Funds and their affiliates. SIGNIFICANT ACCOUNTING POLICIES 7. 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. INVESTMENT VALUATIONS 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 sixty days or less at the time of purchase may be valued at amortized cost, which approximates fair market value. Investments in other open-ended regulated investment companies are valued at net asset value. REPURCHASE AGREEMENTS 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 Trustees (the "Trustees"). 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 agreement. INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS 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. FEDERAL TAXES 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 provisions for federal tax is necessary. At December 31, 1999, the Fund, for federal tax purposes, had a capital loss carryforward of $4,071,741, which will reduce taxable income arising from future net realized gain on investment, 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 in 2007 of any liability for federal tax. Pursuant to the Code, such capital loss carry forward will expire in 2007. Additionally, the Fund's net capital losses of $172,394 attributable to security transactions incurred after October, 31, 1999 were treated as arising on January 1, 2000, the first day of the Fund's next taxable year. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS 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 contact. DOLLAR ROLL TRANSACTIONS The Fund may engage in dollar roll transactions, with respect to mortgage securities issued by GNMA, FNMA, and FHLMC, in which the Fund sells the 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 twelve months. The Fund will use the proceeds generated from the transactions to invest in short-term investments, which may enhance the current yield and total return. USE OF ESTIMATES 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. OTHER Investment transactions are accounted for on a trade date basis. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in shares were as follows: PERIOD ENDED DECEMBER 31, 1999 (1) Shares sold 37,597,363 Shares issued to shareholders in 1,475,968 payment of distribution declared Shares redeemed (12,031,972) ------------ Net change resulting from share 27,041,359 ========== transactions (1)Reflects operations for the period from February 22, 1999 (date of initial investment) to December 31, 1999. INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES INVESTMENT ADVISER FEE Federated Investment Management Company is the Fund's investment adviser (the "Adviser"). Subject to direction of the Trustees. The Adviser provides investment adviser services at no fee. The Adviser may voluntarily choose to reimburse certain operating expenses of the Fund. The Adviser can modify or terminate this voluntary reimbursement at any time at its sole discretion. ADMINISTRATIVE FEE Federated Services Company ("FServ"), a subsidiary of Federated Investors, Inc., provides administrative personnel and services (including certain legal and financial reporting services) necessary to operate the Fund. FServ, provides these services at an annual rate that ranges from 0.15% to 0.075% of the average aggregate daily net assets of all funds advised by affiliates of Federated Investors, Inc. FServ also provides certain accounting and recordkeeping services with respect to the Fund's portfolio of investments for a fee based on Fund assets plus out-of-pocket expenses. FServ will voluntarily waive all or a portion of the administrative fee paid by the Fund. FServ may terminate this voluntary waiver at any time. TRANSFER AND DIVIDEND DISBURSING AGENT FEES AND EXPENSES FServ, through its subsidiary, Federated Shareholder Services Company ("FSSC") serves as transfer and dividend disbursing agent for the Trust. The fee paid to FSSC is based on the size, type, and number of accounts and transactions made by shareholders. PORTFOLIO ACCOUNTING FEES 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. GENERAL Certain of the Officers and Trustees of the Trust are Officers and Directors or Trustees of the above companies. INVESTMENT TRANSACTIONS Purchases and sales of investments, excluding short-term securities, for the period ended December 31, 1999, were as follows: PURCHASES $397,077,687 ------------------------------------------------- SALES $387,320,715 ------------------------------------------------- Report of Ernst & Young LLP, Independent Auditors To the Board of Trustees of Federated Core Trust and Shareholders of Federated Mortgage Core Portfolio: We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of the Federated Mortgage Core Portfolio (the "Fund") (one of the portfolios constituting Federated Core Trust), as of December 31, 1999, and the related statement of operations, statement of changes in net assets, and financial highlights for the period from February 22, 1999 to December 31, 1999. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 1999, by correspondence with the custodian and brokers or other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Federated Mortgage Core Portfolio of Federated Core Trust at December 31, 1999, and the results of its operations, the changes in its net assets, and the financial highlights for the period from February 22, 1999 to December 31, 1999, in conformity with accounting principles generally accepted in the United States. [GRAPHIC OMITTED] Boston, Massachusetts February 16, 2000 -----END PRIVACY-ENHANCED MESSAGE-----