-----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, PO0FTadTC7TCBLI3mpRo+j41n9Y7sLuOqgI05rKAVH6tkShAHM2l7JFDF4aYrvsd VeJVU5Teh9IiBGAguYJpQQ== 0001056288-03-000551.txt : 20030904 0001056288-03-000551.hdr.sgml : 20030904 20030904104809 ACCESSION NUMBER: 0001056288-03-000551 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20030630 FILED AS OF DATE: 20030904 EFFECTIVENESS DATE: 20030904 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FEDERATED CORE TRUST/PA CENTRAL INDEX KEY: 0001034106 IRS NUMBER: 232934777 STATE OF INCORPORATION: MA FISCAL YEAR END: 1212 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-08519 FILM NUMBER: 03880560 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-CSRS 1 fctform.txt United States Securities and Exchange Commission Washington, D.C. 20549 Form N-CSR Certified Shareholder Report of Registered Management Investment Companies 811-8519 (Investment Company Act File Number) Federated Core Trust _______________________________________________________________ (Exact Name of Registrant as Specified in Charter) Federated Investors Funds 5800 Corporate Drive Pittsburgh, Pennsylvania 15237-7000 (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: 12/31/03 Date of Reporting Period: Six months ended 6/30/03 Item 1. Reports to Stockholders
HIGH YIELD BOND PORTFOLIO FINANCIAL HIGHLIGHTS (For a Share Outstanding Throughout Each Period) Six Months Ended (unaudited) June 30, Year Ended December 31, 2003 2002 2001 2000 1999 1998 1 Net Asset Value, Beginning of Period $6.11 $6.51 $7.14 $8.72 $9.30 $10.00 Income From Investment Operations: Net investment income 0.30 0.63 0.77 2 0.91 0.91 0.84 Net realized and unrealized gain (loss) on investments 0.56 (0.39) (0.61) 2 (1.57) (0.56) (0.65) Total from investment operations 0.86 0.24 0.16 (0.66) 0.35 0.19 Less Distributions: Distributions from net investment income (0.30) (0.64) (0.79) (0.92) (0.91) (0.84) Distributions from net realized gain on investments --- --- --- --- (0.02) (0.05) TOTAL DISTRIBUTIONS (0.30) (0.64) (0.79) (0.92) (0.93) (0.89) Net Asset Value, End of Period $6.67 $6.11 $6.51 $7.14 $8.72 $9.30 Total Return3 14.41% 3.90% 2.16% (8.04) % 3.83 % 1.96 % Ratios to Average Net Assets: Expenses 0.03% 0.03% 0.04% 0.04% 0.03% 0.04% Net investment income 9.47% 10.03% 11.13%2 11.38% 10.07% 9.60% Expense waiver/reimbursement5 0.08% 0.08% 0.08% 0.08% 0.08% 0.08% Supplemental Data: Net assets, end of period (000 omitted) $1,064,722 $797,496 $665,747 $532,820 $699,088 $561,806 Portfolio turnover 23% 39% 33% 16% 49% 55%
=========================================================================== 1 Reflects operations for the period from February 2, 1998 (date of initial investment) to December 31, 1998. 2 Effective January 1, 2001, the Fund adopted the provisions of the American Institute of Certified Public Accountants (AICPA) Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on debt securities. For the year ended December 31, 2001, this change had no effect on the net investment income per share or net realized loss per share, but increased the ratio of net investment income to average net assets from 10.98% to 11.13%. Per share, ratios and supplemental data for the periods prior to December 31, 2001 have not been restated to reflect this change in presentation. 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 the net investment income ratios shown above. See Notes which are an integral part of the Financial Statements
HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS June 30, 2003 (unaudited) Principal Value Amount Corporate Bonds--92.9% Aerospace & Defense--0.6% $2,800,000 Alliant Techsystems, Inc., Sr. Sub. Note, 8.50%, 5/15/2011 $ 3,115,000 1,537,000 Anteon Corp., Sr. Sub. Note, 12.00%, 5/15/2009 1,698,385 500,000 1,2 Condor Systems, Inc., Sr. Sub. Note, Series B, 11.875%, 137,500 5/1/2009 850,000 2,3 Esterline Technologies Corp., Sr. Sub. Note, 7.75%, 894,625 6/15/2013 Total 5,845,510 Automotive--4.4% 950,000 Accuride Corp., Sr. Sub. Note, Series B, 9.25%, 2/1/2008 874,000 1,375,000 2,3 Advanced Accessory Systems LLC, Sr. Note, 10.75%, 1,471,250 6/15/2011 4,700,000 American Axle & Manufacturing, Inc., Company Guarantee, 5,087,750 9.75%, 3/1/2009 1,625,000 Arvin Industries, Inc., Note, 6.75%, 3/15/2008 1,700,156 1,650,000 Arvin Industries, Inc., Note, 7.125%, 3/15/2009 1,742,812 2,550,000 ArvinMeritor, Inc., Note, 8.75%, 3/1/2012 2,875,125 2,675,000 General Motors Corp., Note, 7.125%, 7/15/2013 2,690,087 2,675,000 General Motors Corp., Note, 8.375%, 7/15/2033 2,640,920 2,900,000 Lear Corp., Company Guarantee, 7.96%, 5/15/2005 3,124,750 10,825,000 Lear Corp., Company Guarantee, 8.11%, 5/15/2009 12,529,937 3,975,000 Stoneridge, Inc., Company Guarantee, 11.50%, 5/1/2012 4,511,625 5,825,000 2,3 TRW Automotive, Inc., Sr. Sub. Note, 11.00%, 2/15/2013 6,436,625 1,575,000 2,3 United Components, Inc., Sr. Sub. Note, 9.375%, 6/15/2013 1,665,562 Total 47,350,599 Beverage & Tobacco--1.0% 2,300,000 Constellation Brands, Inc., Company Guarantee, Series B, 2,535,750 8.00%, 2/15/2008 1,000,000 Constellation Brands, Inc., Sr. Sub. Note, 8.125%, 1,085,000 1/15/2012 3,525,000 Cott Beverages, Inc., Company Guarantee, 8.00%, 3,829,031 12/15/2011 1,800,000 2,3 Dimon, Inc., Sr. Note, 7.75%, 6/1/2013 1,863,000 1,075,000 Dimon, Inc., Sr. Note, Series B, 9.625%, 10/15/2011 1,187,875 Total 10,500,656 Broadcast Radio & TV--2.8% 2,350,000 Lamar Media Corp., Sr. Sub. Note, 7.25%, 1/1/2013 2,514,500 2,500,000 Liberty Media Corp., Sr. Note, 7.75%, 7/15/2009 2,933,150 2,575,000 Lodgenet Entertainment, Sr. Sub. Note, 9.50%, 6/15/2013 2,678,000 1,500,000 2,3 Muzak LLC, Sr. Note, 10.00%, 2/15/2009 1,582,500 5,550,000 PanAmSat Corp., Sr. Note, 8.50%, 2/1/2012 6,077,250 4,425,000 Sinclair Broadcast Group, Inc., Company Guarantee, 4,889,625 8.75%, 12/15/2011 1,075,000 2,3 Sinclair Broadcast Group, Inc., Sr. Sub. Note, 8.00%, 1,158,312 3/15/2012 3,625,000 2,3 Vivendi Universal SA, Sr. Note, 9.25%, 4/15/2010 4,223,125 2,846,700 4 XM Satellite Radio, Inc., Sec. Fac. Bond, 0/14.00%, 2,063,857 12/31/2009 2,100,000 2,3 XM Satellite Radio, Inc., Sr. Secd. Note, 12.00%, 2,089,500 6/15/2010 Total 30,209,819 Building & Development--2.3% 1,375,000 American Builders & Contractors Supply Co. Inc., Sr. 1,436,875 Sub. Note, 10.625%, 5/15/2007 1,950,000 Associated Materials, Inc., Company Guarantee, 9.75%, 2,135,250 4/15/2012 2,250,000 Brand Services, Inc., Company Guarantee, 12.00%, 2,576,250 10/15/2012 2,425,000 Collins & Aikman Floorcoverings, Inc., Company 2,546,250 Guarantee, 9.75%, 2/15/2010 2,375,000 2,3 Interline Brands, Inc., Sr. Sub. Note, 11.50%, 5/15/2011 2,517,500 1,000,000 2,3 Jacuzzi Brands, Inc., Sr. Secd. Note, 9.625%, 7/1/2010 1,025,000 1,900,000 2,3 Legrand SA, Sr. Note, 10.50%, 2/15/2013 2,151,370 3,650,000 NCI Building System, Inc., Sr. Sub. Note, Series B, 3,905,500 9.25%, 5/1/2009 3,050,000 Nortek Holdings, Inc., Sr. Note, 9.125%, 9/1/2007 3,179,625 2,575,000 2,3 Shaw Group, Inc., Sr. Note, 10.75%, 3/15/2010 2,600,750 Total 24,074,370 Business Equipment & Services--1.9% 4,975,000 Buhrmann US, Inc., Company Guarantee, 12.25%, 11/1/2009 5,323,250 2,100,000 2,3 Danka Business Systems PLC, Sr. Note, 11.00%, 6/15/2010 2,073,750 1,075,000 Xerox CapEurope PLC, Company Guarantee, 5.875%, 5/15/2004 1,088,437 3,425,000 Xerox Corp., Sr. Note, 7.625%, 6/15/2013 3,459,250 7,625,000 2,3 Xerox Corp., Sr. Note, 9.75%, 1/15/2009 8,597,187 Total 20,541,874 Cable Television--4.3% 4,150,000 CSC Holdings, Inc., Sr. Deb., 8.125%, 8/15/2009 4,274,500 2,910,000 CSC Holdings, Inc., Sr. Note, 7.875%, 12/15/2007 2,982,750 5,500,000 CSC Holdings, Inc., Sr. Sub. Deb., 9.875%, 2/15/2013 5,637,500 2,575,000 4 Charter Communications Holdings Capital Corp., Discount 1,300,375 Bond, 0/11.75%, 5/15/2011 9,000,000 4 Charter Communications Holdings Capital Corp., Sr. Disc. 4,185,000 Note, 0/12.125%, 1/15/2012 4,250,000 4 Charter Communications Holdings Capital Corp., Sr. Disc. 2,231,250 Note, 0/13.50%, 1/15/2011 8,875,000 4 Charter Communications Holdings Capital Corp., Sr. Disc. 5,901,875 Note, 0/9.92%, 4/1/2011 3,950,000 2,3 DIRECTV Holdings LLC, Sr. Note, 8.375%, 3/15/2013 4,433,875 3,300,000 Echostar DBS Corp., Sr. Note, 10.375%, 10/1/2007 3,671,250 3,475,000 Echostar DBS Corp., Sr. Note, 9.375%, 2/1/2009 3,726,937 325,000 Lenfest Communications, Inc., Sr. Note, 8.375%, 11/1/2005 368,144 50,000 Lenfest Communications, Inc., Sr. Sub. Note, 10.50%, 59,500 6/15/2006 2,300,000 4 Quebecor Media Inc., Sr. Disc. Note, 0/13.75%, 7/15/2011 1,937,750 2,950,000 Quebecor Media Inc., Sr. Note, 11.125%, 7/15/2011 3,407,250 1,400,000 Rogers Cablesystems Ltd., Sr. Sub. Gtd. Note, 11.00%, 1,589,000 12/1/2015 Total 45,706,956 Cap. Goods - Diversified Manufacturing--1.6% 5,950,000 Tyco International Group, Company Guarantee, 6.375%, 6,329,312 2/15/2006 5,625,000 Tyco International Group, Note, 5.80%, 8/1/2006 5,913,281 4,000,000 Tyco International Group, Sr. Note, 6.375%, 6/15/2005 4,225,000 Total 16,467,593 Chemicals & Plastics--3.3% 2,425,000 Compass Minerals Group, Inc., Sr. Sub. Note, 10.00%, 2,728,125 8/15/2011 3,350,000 Equistar Chemicals LP, Sr. Note, 10.125%, 9/1/2008 3,458,875 2,100,000 FMC Corp., Sr. Secd. Note, 10.25%, 11/1/2009 2,383,500 1,600,000 Foamex LP, Company Guarantee, 10.75%, 4/1/2009 1,272,000 1,850,000 Foamex LP, Sr. Sub. Note, 13.50%, 8/15/2005 749,250 2,400,000 Foamex LP, Sr. Sub. Note, 9.875%, 6/15/2007 924,000 1,960,000 1 General Chemical Industrial Products, Inc., Sr. Sub. 519,400 Note, 10.625%, 5/1/2009 950,000 2,3 Huntsman Advanced Materials, Inc., Sr. Secd. Note, 985,625 11.00%, 7/15/2010 4,875,000 Huntsman ICI Chemicals LLC, Sr. Sub. Note, 10.125%, 4,753,125 7/1/2009 2,100,000 Lyondell Chemical Co., Sr. Secd. Note, 9.50%, 12/15/2008 2,026,500 3,100,000 Lyondell Chemical Co., Sr. Secd. Note, 9.875%, 5/1/2007 3,069,000 5,675,000 Lyondell Chemical Co., Sr. Sub. Note, 10.875%, 5/1/2009 5,419,625 625,000 2,3 Rhodia SA, Sr. Note, 7.625%, 6/1/2010 665,625 1,225,000 2,3 Rhodia SA, Sr. Sub. Note, 8.875%, 6/1/2011 1,274,000 2,500,000 2,3,4 Salt Holdings Corp., Sr. Disc. Note, 0/12.75%, 12/15/2012 1,737,500 4,575,000 2,3,4 Salt Holdings Corp., Sr. Sub. Disc. Note, 0/12.00%, 2,676,375 6/1/2013 2,500,000 Texas Petrochemicals Corp., Sr. Sub. Note, 11.125%, 712,500 7/1/2006 Total 35,355,025 Clothing & Textiles--1.6% 675,000 1,2 Dyersburg Corp., Sr. Sub. Note, 9.75%, 9/1/2007 3,442 3,050,000 GFSI, Inc., Sr. Sub. Note, 9.625%, 3/1/2007 2,607,750 2,900,000 Levi Strauss & Co., Sr. Note, 11.625%, 1/15/2008 2,508,500 2,150,000 Levi Strauss & Co., Sr. Note, 12.25%, 12/15/2012 1,800,625 1,450,000 2,3 Phillips Van Heusen Corp., Sr. Note, 8.125%, 5/1/2013 1,493,500 2,925,000 Russell Corp., Company Guarantee, 9.25%, 5/1/2010 3,217,500 2,550,000 2,3 Warnaco Group, Inc., Sr. Note, 8.875%, 6/15/2013 2,677,500 2,575,000 William Carter Co., Sr. Sub. Note, Series B, 10.875%, 2,919,406 8/15/2011 Total 17,228,223 Conglomerates--0.4% 5,025,000 Eagle Picher Industries, Inc., Sr. Sub. Note, 9.375%, 4,648,125 3/1/2008 Consumer Products--5.5% 3,350,000 Albecca, Inc., Company Guarantee, 10.75%, 8/15/2008 3,563,563 2,675,000 Alltrista Corp., Unsecd. Note, 9.75%, 5/1/2012 2,882,312 4,300,000 American Achievement Corp., Sr. Note, Series W.I., 4,719,250 11.625%, 1/1/2007 3,575,000 American Greetings Corp., Sr. Sub. Note, 11.75%, 4,138,062 7/15/2008 600,000 American Safety Razor Co., Sr. Note, 9.875%, 8/1/2005 583,500 2,350,000 Amscan Holdings, Inc., Sr. Sub. Note, 9.875%, 12/15/2007 2,361,750 2,600,000 Armkel Finance, Inc., Sr. Sub. Note, 9.50%, 8/15/2009 2,951,000 3,225,000 Chattem, Inc., Sr. Sub. Note, 8.875%, 4/1/2008 3,321,750 500,000 Commemorative Brands, Inc., Sr. Sub. Note, 11.00%, 485,000 1/15/2007 325,000 1 Diamond Brands Operating Corp., Sr. Sub. Note, 10.125%, 16,250 4/15/2008 925,000 1 Diamond Brands, Inc., Sr. Disc. Deb., 12.875%, 4/15/2009 92 1,700,000 ICON Health & Fitness, Inc., Company Guarantee, 11.25%, 1,819,000 4/1/2012 1,000,000 Jarden Corp., Sr. Sub. Note, 9.75%, 5/1/2012 1,085,000 3,425,000 Jostens, Inc., Sr. Sub. Note, 12.75%, 5/1/2010 4,092,875 2,150,000 2,3 Le-Nature's, Inc, Sr. Sub. Note, 9.00%, 6/15/2013 2,236,000 3,675,000 PCA International, Inc., Sr. Note, 11.875%, 8/1/2009 4,097,625 4,250,000 Playtex Products, Inc., Company Guarantee, 9.375%, 4,271,250 6/1/2011 1,075,000 2,3 Remington Arms Co., Inc., Sr. Note, 10.50%, 2/1/2011 1,107,250 2,050,000 Sealy Mattress Co., Company Guarantee, 10.875%, 2,080,750 12/15/2007 1,025,000 Sealy Mattress Co., Sr. Sub. Note, 9.875%, 12/15/2007 1,019,875 1,000,000 2,3 Sealy Mattress Co., Sr. Sub. Note, 9.875%, 12/15/2007 995,000 950,000 1,2 Sleepmaster LLC, Company Guarantee, Series B, 11.00%, 263,625 5/15/2009 2,970,000 True Temper Sports, Inc., Sr. Sub. Note, Series B, 3,177,900 10.875%, 12/1/2008 4,025,000 2,3 United Industries Corp., Sr. Sub. Note, Series B, 4,286,625 9.875%, 4/1/2009 425,000 2,3 United Industries Corp., Sr. Sub. Note, Series C, 452,625 9.875%, 4/1/2009 2,100,000 Volume Services America, Inc., Sr. Sub. Note, 11.25%, 2,100,000 3/1/2009 Total 58,107,929 Container & Glass Products--3.9% 2,225,000 Berry Plastics Corp., Company Guarantee, 10.75%, 2,469,750 7/15/2012 300,000 2,3 Graham Packaging Co., Sr. Sub. Note, 8.75%, 1/15/2008 298,500 1,950,000 Graham Packaging Co., Sr. Sub. Note, 8.75%, 1/15/2008 1,950,000 2,225,000 Graham Packaging Co., Sub. Note, 5.015%, 1/15/2008 2,035,875 1,400,000 Graham Packaging Holdings Co., Sr. Note, 10.75%, 1,449,000 1/15/2009 2,400,000 Greif Brothers Corp., Sr. Sub. Note, 8.875%, 8/1/2012 2,592,000 3,900,000 Huntsman Packaging Corp., Company Guarantee, 13.00%, 3,685,500 6/1/2010 1,800,000 2,3 Owens-Brockway Glass Container, Inc., Sr. Note, 8.25%, 1,881,000 5/15/2013 2,500,000 2,3 Owens-Brockway Glass Container, Inc., Sr. Secd. Note, 2,643,750 7.75%, 5/15/2011 2,550,000 Owens-Illinois, Inc., Sr. Note, 7.15%, 5/15/2005 2,613,750 3,625,000 Owens-Illinois, Inc., Sr. Note, 7.35%, 5/15/2008 3,661,250 5,250,000 Owens-Illinois, Inc., Sr. Note, 8.10%, 5/15/2007 5,407,500 2,525,000 Plastipak Holdings, Company Guarantee, 10.75%, 9/1/2011 2,739,625 650,000 2,3 Pliant Corp., Sr. Secd. Note, 11.125%, 9/1/2009 693,875 2,075,000 Pliant Corp., Sr. Sub. Note, 13.00%, 6/1/2010 1,960,875 435,780 2,3 Russell Stanley Holdings, Inc., Sr. Sub. Note, 9.00%, 175,401 11/30/2008 4,825,000 Tekni-Plex, Inc., Company Guarantee, Series B, 12.75%, 4,788,812 6/15/2010 825,000 2,3 Tekni-Plex, Inc., Sr. Sub. Note, 12.75%, 6/15/2010 818,812 Total 41,865,275 Ecological Services & Equipment--1.9% 8,500,000 Allied Waste North America, Inc., Company Guarantee, 8,840,000 7.875%, 1/1/2009 8,425,000 Allied Waste North America, Inc., Sr. Sub. Note, 10.00%, 9,014,750 8/1/2009 2,475,000 Synagro Technologies, Inc., Sr. Sub. Note, 9.50%, 2,660,625 4/1/2009 Total 20,515,375 Food & Drug Retailers--0.2% 750,000 Ahold Finance USA, Inc., Company Guarantee, 6.875%, 645,000 5/1/2029 1,175,000 Ahold Finance USA, Inc., Note, 8.25%, 7/15/2010 1,210,250 425,000 Community Distributors, Inc., Sr. Note, 10.25%, 345,312 10/15/2004 Total 2,200,562 Food Products--4.0% 4,575,000 Agrilink Foods, Inc., Company Guarantee, 11.875%, 4,975,313 11/1/2008 3,725,000 American Seafoods Group LLC, Company Guarantee, 10.125%, 4,227,875 4/15/2010 2,125,000 B&G Foods, Inc., Company Guarantee, Series D, 9.625%, 2,204,687 8/1/2007 3,525,000 Del Monte Corp., Company Guarantee, Series B, 9.25%, 3,859,875 5/15/2011 1,950,000 2,3 Del Monte Corp., Sr. Sub. Note, 8.625%, 12/15/2012 2,120,625 1,650,000 2,3 Dole Food, Inc., Sr. Note, 7.25%, 6/15/2010 1,658,250 2,400,000 Dole Food, Inc., Sr. Note, 8.625%, 5/1/2009 2,556,000 675,000 2,3 Dole Food, Inc., Sr. Note, 8.875%, 3/15/2011 718,875 2,550,000 Eagle Family Foods, Inc., Sr. Sub. Note, 8.75%, 1/15/2008 1,746,750 2,050,000 Land O'Lakes, Inc., Sr. Note, 8.75%, 11/15/2011 1,629,750 2,600,000 Michael Foods, Inc., Sr. Sub. Note, Series B, 11.75%, 3,003,000 4/1/2011 3,075,000 New World Pasta Co., Sr. Sub. Note, 9.25%, 2/15/2009 999,375 2,175,000 Pilgrim's Pride Corp., Sr. Note, 9.625%, 9/15/2011 2,305,500 2,950,000 2,3 Smithfield Foods, Inc., Note, 7.75%, 5/15/2013 3,149,125 2,450,000 Smithfield Foods, Inc., Sr. Note, Series B, 8.00%, 2,652,125 10/15/2009 1,600,000 Smithfield Foods, Inc., Sr. Sub. Note, 7.625%, 2/15/2008 1,660,000 1,425,000 2,3 Swift & Co., Sr. Note, 10.125%, 10/1/2009 1,489,125 1,200,000 2,3 Swift & Co., Sr. Sub. Note, 12.50%, 1/1/2010 1,242,000 Total 42,198,250 Food Services--0.8% 2,100,000 Advantica Restaurant Group, Sr. Note, 11.25%, 1/15/2008 1,685,250 2,050,000 Buffets, Inc., Sr. Sub. Note, 11.25%, 7/15/2010 2,029,500 4,200,000 Carrols Corp., Company Guarantee, 9.50%, 12/1/2008 4,126,500 1,050,000 2,3 Domino's, Inc., Sr. Sub. Note, 8.25%, 7/1/2011 1,089,375 Total 8,930,625 Forest Products--3.2% 4,225,000 Georgia-Pacific Corp., Note, 7.50%, 5/15/2006 4,341,187 6,150,000 Georgia-Pacific Corp., Sr. Note, 8.125%, 5/15/2011 6,365,250 5,600,000 2,3 Georgia-Pacific Corp., Sr. Note, 9.375%, 2/1/2013 6,188,000 2,000,000 Jefferson Smurfit Corp., Company Guarantee, 8.25%, 2,170,000 10/1/2012 3,050,000 MDP Acquisitions PLC, 9.625%, 10/1/2012 3,385,500 1,725,686 MDP Acquisitions PLC, Sub. Note, 15.50%, 10/1/2013 1,906,883 3,425,000 Riverwood International Corp., Company Guarantee, 3,613,375 10.625%, 8/1/2007 2,025,000 Riverwood International Corp., Sr. Sub. Note, 10.875%, 2,085,750 4/1/2008 3,675,000 Stone Container Corp., Sr. Note, 9.75%, 2/1/2011 4,024,125 Total 34,080,070 Gaming--6.9% 1,500,000 Boyd Gaming Corp., Sr. Sub. Note, 7.75%, 12/15/2012 1,597,500 2,875,000 Boyd Gaming Corp., Sr. Sub. Note, 8.75%, 4/15/2012 3,162,500 3,050,000 Coast Hotels & Casinos, Inc., Company Guarantee, 9.50%, 3,278,750 4/1/2009 9,025,000 Harrah's Operations, Inc., Company Guarantee, 7.875%, 9,837,250 12/15/2005 1,800,000 Isle of Capri Casinos, Inc., Company Guarantee, 9.00%, 1,953,000 3/15/2012 1,500,000 Isle of Capri Casinos, Inc., Sr. Sub. Note, 8.75%, 1,612,500 4/15/2009 5,100,000 MGM Grand, Inc., Sr. Note, 8.50%, 9/15/2010 6,005,250 650,000 MGM Grand, Inc., Sr. Sub. Note, 8.375%, 2/1/2011 737,750 5,300,000 MGM Grand, Inc., Sr. Sub. Note, 9.75%, 6/1/2007 6,028,750 2,000,000 2,3 MTR Gaming Group, Inc., Sr. Note, 9.75%, 4/1/2010 2,080,000 975,000 Mandalay Resort Group, Sr. Note, 9.50%, 8/1/2008 1,121,250 7,775,000 Mandalay Resort Group, Sr. Sub. Note, 10.25%, 8/1/2007 8,785,750 1,525,000 Mohegan Tribal Gaming Authority, Sr. Sub. Note, 8.00%, 1,650,813 4/1/2012 1,200,000 Mohegan Tribal Gaming Authority, Sr. Sub. Note, 8.375%, 1,302,000 7/1/2011 4,225,000 Park Place Entertainment Corp., Sr. Sub. Note, 7.875%, 4,536,594 3/15/2010 5,425,000 Park Place Entertainment Corp., Sr. Sub. Note, 8.125%, 5,940,375 5/15/2011 2,025,000 Penn National Gaming, Inc., Company Guarantee, 11.125%, 2,257,875 3/1/2008 1,775,000 Penn National Gaming, Inc., Company Guarantee, 8.875%, 1,899,250 3/15/2010 3,075,000 Sun International Hotels Ltd., Sr. Sub. Note, 8.875%, 3,351,750 8/15/2011 3,475,000 Venetian Casino/LV Sands, Company Guarantee, 11.00%, 3,944,125 6/15/2010 1,875,000 Wynn Las Vegas LLC, Second Mortgage Notes, 12.00%, 2,090,625 11/1/2010 Total 73,173,657 Healthcare--5.2% 3,425,000 Advanced Medical Optics, Inc., Sr. Sub. Note, 9.25%, 3,733,250 7/15/2010 925,000 Alaris Medical Systems, Company Guarantee, 9.75%, 963,156 12/1/2006 2,250,000 Alaris Medical Systems, Sr. Secd. Note, Series B, 2,756,250 11.625%, 12/1/2006 700,000 Alaris Medical Systems, Sr. Sub. Note, 7.25%, 7/1/2011 715,750 2,875,000 2,3 AmeriPath, Inc., Sr. Sub. Note, 10.50%, 4/1/2013 3,090,625 5,000,000 HCA - The Healthcare Corp., Note, 8.75%, 9/1/2010 5,926,400 2,950,000 HCA - The Healthcare Corp., Sr. Note, 6.91%, 6/15/2005 3,130,039 3,000,000 HCA - The Healthcare Corp., Sr. Note, 7.875%, 2/1/2011 3,330,360 1,850,000 Hanger Orthopedic Group, Inc., Company Guarantee, 2,053,500 10.375%, 2/15/2009 4,500,000 Hanger Orthopedic Group, Inc., Sr. Sub. Note, 11.25%, 4,950,000 6/15/2009 1,350,000 Hudson Respiratory Care, Inc., Sr. Sub. Note, 9.125%, 749,250 4/15/2008 5,250,000 Kinetic Concepts, Inc., Company Guarantee, 9.625%, 5,538,750 11/1/2007 2,400,000 2,3 Magellan Health Services, Inc., Sr. Note, 9.375%, 2,400,000 11/15/2007 4,475,000 Manor Care, Inc., Sr. Note, 8.00%, 3/1/2008 5,084,719 2,125,000 Sybron Dental Specialties, Inc., Company Guarantee, 2,273,750 8.125%, 6/15/2012 1,450,000 Tenet Healthcare Corp., Sr. Note, 5.375%, 11/15/2006 1,408,313 825,000 Tenet Healthcare Corp., Sr. Note, 6.375%, 12/1/2011 781,688 975,000 US Oncology, Inc., Company Guarantee, 9.625%, 2/1/2012 1,048,125 4,950,000 Vanguard Health Systems, Company Guarantee, 9.75%, 5,061,375 8/1/2011 Total 54,995,300 Hotels, Motels & Inns--3.4% 2,325,000 Courtyard by Marriott II LP, Sr. Note, 10.75%, 2/1/2008 2,336,625 950,000 Felcor Lodging LP, Company Guarantee, 9.50%, 9/15/2008 992,750 900,000 Felcor Lodging LP, Company Guarantee, 8.50%, 6/1/2011 911,250 4,025,000 Florida Panthers Holdings, Inc., Company Guarantee, 4,347,000 9.875%, 4/15/2009 5,050,000 HMH Properties, Inc., Sr. Note, Series B, 7.875%, 5,163,625 8/1/2008 3,175,000 HMH Properties, Inc., Sr. Note, Series C, 8.45%, 3,308,096 12/1/2008 2,700,000 Hilton Hotels Corp., Note, 7.625%, 5/15/2008 2,905,875 3,200,000 Hilton Hotels Corp., Sr. Note, 8.25%, 2/15/2011 3,592,000 1,050,000 MeriStar Hospitality Corp., Company Guarantee, 10.50%, 1,078,875 6/15/2009 875,000 MeriStar Hospitality Corp., Company Guarantee, 9.00%, 866,250 1/15/2008 475,000 MeriStar Hospitality Corp., Company Guarantee, 9.125%, 466,688 1/15/2011 2,525,000 RFS Partnership LP, Company Guarantee, 9.75%, 3/1/2012 2,569,188 2,700,000 Starwood Hotels & Resorts Worldwide, Inc., Company 2,970,000 Guarantee, 7.875%, 5/1/2012 2,975,000 Starwood Hotels & Resorts Worldwide, Inc., Note, 7.375%, 3,153,500 5/1/2007 1,325,000 Starwood Hotels & Resorts Worldwide, Inc., Unsecd. Note, 1,384,625 6.75%, 11/15/2005 Total 36,046,347 Industrial Products & Equipment--2.2% 1,600,000 Cabot Safety Acquisition Corp., Sr. Sub. Note, 12.50%, 1,640,000 7/15/2005 825,000 Continental Global Group, Inc., Sr. Note, 11.00%, 375,375 4/1/2007 3,225,000 Euramax International PLC, Sr. Sub. Note, 11.25%, 3,337,875 10/1/2006 625,000 2,3 Hexcel Corp., Sr. Secd. Note, 9.875%, 10/1/2008 684,375 4,025,000 Hexcel Corp., Sr. Sub. Note, Series B, 9.75%, 1/15/2009 4,025,000 4,150,000 MMI Products, Inc., Sr. Sub. Note, 11.25%, 4/15/2007 2,925,750 3,475,000 1 Neenah Corp., Sr. Sub. Note, 11.125%, 5/1/2007 1,615,875 650,000 1 Neenah Corp., Sr. Sub. Note, 11.125%, 5/1/2007 302,250 3,375,000 2,3 Rexnord Corp., Sr. Sub. Note, 10.125%, 12/15/2012 3,729,375 2,014,000 Unifrax Investment Corp., Sr. Note, 10.50%, 11/1/2003 2,024,070 1,700,000 WESCO Distribution, Inc., Company Guarantee, 9.125%, 1,598,000 6/1/2008 1,050,000 WESCO Distribution, Inc., Sr. Sub. Note, 9.125%, 6/1/2008 987,000 Total 23,244,945 Leisure & Entertainment--2.8% 1,875,000 AMC Entertainment, Inc., Sr. Sub. Note, 9.50%, 3/15/2009 1,926,563 3,075,000 AMC Entertainment, Inc., Sr. Sub. Note, 9.875%, 2/1/2012 3,336,375 3,050,000 2,3 AMF Bowling Worldwide, Inc., Sr. Sub. Note, 13.00%, 3,355,000 2/28/2008 775,000 2,3 Cinemark USA, Sr. Sub. Note, 9.00%, 2/1/2013 848,625 1,100,000 2,3 Cinemark USA, Sr. Sub. Note, 9.00%, 2/1/2013 1,204,500 3,250,000 Intrawest Corp., Company Guarantee, 10.50%, 2/1/2010 3,526,250 2,000,000 Premier Parks, Inc., Sr. Note, 9.75%, 6/15/2007 1,990,000 3,375,000 Regal Cinemas, Inc., Company Guarantee, Series B, 3,729,375 9.375%, 2/1/2012 1,925,000 Royal Caribbean Cruises Ltd., Sr. Note, 8.00%, 5/15/2010 1,997,188 2,450,000 2,3 Six Flags, Inc., Sr. Note, 9.75%, 4/15/2013 2,425,500 5,025,000 2,3 Universal City Development Partners Ltd., Sr. Note, 5,565,188 11.75%, 4/1/2010 Total 29,904,564 Machinery & Equipment--1.7% 3,050,000 AGCO Corp., Sr. Note, 9.50%, 5/1/2008 3,370,250 2,200,000 Briggs & Stratton Corp., Company Guarantee, 8.875%, 2,519,000 3/15/2011 1,775,000 1,2 Clark Material Handling Corp., Sr. Note, 10.75%, 178 11/15/2006 3,675,000 Columbus McKinnon Corp., Sr. Sub. Note, 8.50%, 4/1/2008 2,737,875 2,700,000 1,2 Simonds Industries, Inc., Sr. Sub. Note, 10.25%, 816,750 7/1/2008 6,025,000 United Rentals, Inc., Company Guarantee, Series B, 6,612,438 10.75%, 4/15/2008 1,825,000 United Rentals, Inc., Company Guarantee, Series B, 1,788,500 9.00%, 4/1/2009 Total 17,844,991 Oil & Gas--3.3% 3,225,000 2,3 CITGO Petroleum Corp., Sr. Note, 11.375%, 2/1/2011 3,628,125 3,350,000 Compton Petroleum Corp., Sr. Note, 9.90%, 5/15/2009 3,685,000 4,000,000 Continental Resources, Inc., Sr. Sub. Note, 10.25%, 4,060,000 8/1/2008 1,300,000 Dresser, Inc., Company Guarantee, 9.375%, 4/15/2011 1,352,000 2,450,000 2,3 El Paso Production Holding Co., Sr. Note, 7.75%, 6/1/2013 2,474,500 3,300,000 Lone Star Technologies, Inc., Company Guarantee, Series 3,448,500 B, 9.00%, 6/1/2011 1,625,000 Magnum Hunter Resources, Inc., Sr. Note, 9.60%, 3/15/2012 1,803,750 2,450,000 Petroleum Helicopters, Inc., Company Guarantee, Series 2,756,250 B, 9.375%, 5/1/2009 4,325,000 Pogo Producing Co., Sr. Sub. Note, Series B, 10.375%, 4,735,875 2/15/2009 3,300,000 Swift Energy Co., Sr. Sub. Note, 9.375%, 5/1/2012 3,580,500 3,250,000 Tesoro Petroleum Corp., Company Guarantee, Series B, 3,038,750 9.625%, 11/1/2008 625,000 2,3 Tesoro Petroleum Corp., Sr. Secd. Note, 8.00%, 4/15/2008 646,875 300,000 Tesoro Petroleum Corp., Sr. Sub. Note, 9.00%, 7/1/2008 276,000 Total 35,486,125 Printing & Publishing--4.0% 3,850,000 Advanstar Communications, Company Guarantee, Series B, 3,647,875 12.00%, 2/15/2011 1,000,000 4 Advanstar, Inc., Company Guarantee, Series B, 0/15.00%, 557,500 10/15/2011 1,575,000 2,3 American Color Graphics, Inc., Sr. Secd. 2nd Priority 1,575,000 Note, 10.00%, 6/15/2010 2,700,000 American Media Operations, Inc., Company Guarantee, 2,929,500 Series B, 10.25%, 5/1/2009 1,850,000 2,3 American Media Operations, Inc., Sr. Sub. Note, 8.875%, 2,007,250 1/15/2011 2,425,000 Block Communications, Inc., Company Guarantee, 9.25%, 2,631,125 4/15/2009 6,225,000 Dex Media East LLC, Company Guarantee, 12.125%, 7,438,875 11/15/2012 1,050,000 2,3 Moore North America Finance, Inc., Sr. Note, 7.875%, 1,102,500 1/15/2011 1,350,000 Primedia, Inc., Sr. Note, 8.875%, 5/15/2011 1,441,125 3,600,000 2,3 R. H. Donnelly Finance Corp., Sr. Sub. Note, 10.875%, 4,194,000 12/15/2012 2,100,000 Sun Media Corp., Company Guarantee, 7.625%, 2/15/2013 2,247,000 6,050,000 Vertis, Inc., Sr. Note, Series B, 10.875%, 6/15/2009 6,201,250 675,000 2,3 Vertis, Inc., Sr. Secd. 2nd Priority Note, 9.75%, 722,250 4/1/2009 4,125,000 4 Yell Finance BV, Sr. Disc. Note, 0/13.50%, 8/1/2011 3,506,250 2,100,000 Yell Finance BV, Sr. Note, 10.75%, 8/1/2011 2,436,000 364,412 Ziff Davis Media, Inc., Company Guarantee, Series , 174,918 12.00%, 8/12/2009 Total 42,812,418 Real Estate--0.1% 800,000 2,3 CBRE Escrow, Inc., Sr. Note, 9.75%, 5/15/2010 844,000 Retailers--1.9% 2,225,000 Michaels Stores, Inc., Sr. Note, 9.25%, 7/1/2009 2,475,313 1,850,000 Mothers Work, Inc., Sr. Note, 11.25%, 8/1/2010 2,025,750 1,800,000 Penney (J.C.) Co., Inc., Note, 7.60%, 4/1/2007 1,890,000 4,451,000 Penney (J.C.) Co., Inc., Note, 9.00%, 8/1/2012 4,829,335 2,250,000 Rite Aid Corp., Sr. Deb., 6.875%, 8/15/2013 1,957,500 1,500,000 2,3 Rite Aid Corp., Sr. Secd. Note, 8.125%, 5/1/2010 1,575,000 2,550,000 2,3 Rite Aid Corp., Sr. Secd. Note, 9.50%, 2/15/2011 2,773,125 2,600,000 United Auto Group, Inc., Company Guarantee, 9.625%, 2,769,000 3/15/2012 Total 20,295,023 Services--0.7% 1,000,000 Coinmach Corp., Sr. Note, 9.00%, 2/1/2010 1,090,000 2,750,000 SITEL Corp., Sr. Sub. Note, 9.25%, 3/15/2006 2,612,500 2,925,000 2,3 The Brickman Group Ltd., Sr. Sub. Note, 11.75%, 3,290,625 12/15/2009 Total 6,993,125 Steel--0.5% 376,471 Republic Engineered Products, Sr. Secd. Note, 10.00%, 94,118 8/16/2009 2,000,000 1 Republic Technologies International, Inc., Company 25,000 Guarantee, 13.75%, 7/15/2009 2,675,000 Ryerson Tull, Inc., Sr. Note, 9.125%, 7/15/2006 2,648,250 2,700,000 United States Steel Corp., Sr. Note, 9.75%, 5/15/2010 2,781,000 Total 5,548,368 Surface Transportation--0.9% 2,850,000 Allied Holdings, Inc., Sr. Note, 8.625%, 10/1/2007 2,579,250 1,025,000 1,2 AmeriTruck Distribution Corp., Sr. Sub. Note, 12.25%, 11/15/2005 0 1,675,000 Stena AB, Sr. Note, 8.75%, 6/15/2007 1,735,719 4,650,000 Stena AB, Sr. Note, 9.625%, 12/1/2012 5,126,625 1,050,000 1,2 The Holt Group, Inc., Company Guarantee, 9.75%, 32,813 1/15/2006 Total 9,474,407 Technology--1.7% 2,400,000 2,3 AMI Semiconductor, Inc., Sr. Sub. Note, 10.75%, 2/1/2013 2,700,000 1,300,000 2,3 Cooperative Computing, Inc., Sr. Note, 10.50%, 6/15/2011 1,352,000 5,025,000 Fairchild Semiconductor Corp., Sr. Sub. Note, 10.375%, 5,320,219 10/1/2007 3,725,000 Ingram Micro, Inc., Sr. Sub. Note, 9.875%, 8/15/2008 4,041,625 2,800,000 Seagate Technology HDD Holdings, Sr. Note, 8.00%, 3,024,000 5/15/2009 875,000 Unisys Corp., Sr. Note, 6.875%, 3/15/2010 914,375 750,000 2,3 Worldspan LP, Sr. Note, 9.625%, 6/15/2011 780,000 Total 18,132,219 Telecommunications & Cellular--7.3% 3,725,000 4 AirGate PCS, Inc., Sr. Sub. Note, 0/13.50%, 10/1/2009 1,769,375 7,575,000 4 Alamosa PCS Holdings, Inc., Sr. Disc. Note, 0/12.875%, 4,431,375 2/15/2010 2,350,000 Horizon PCS, Inc., Company Guarantee, 13.75%, 6/15/2011 434,750 5,425,000 NEXTEL Communications, Inc., Sr. Disc. Note, 10.65%, 5,642,000 9/15/2007 7,775,000 NEXTEL Communications, Inc., Sr. Disc. Note, 9.95%, 8,144,313 2/15/2008 7,625,000 NEXTEL Communications, Inc., Sr. Note, 9.375%, 11/15/2009 8,273,125 2,925,000 Nextel Partners, Inc., Sr. Note, 12.50%, 11/15/2009 3,334,500 1,200,000 2,3 Nextel Partners, Inc., Sr. Note, 8.125%, 7/1/2011 1,194,000 1,000,000 Qwest Communications International, Inc., Note, 6.125%, 1,005,000 11/15/2005 9,125,000 2,3 Qwest Communications International, Inc., Note, 8.875%, 10,220,000 3/15/2012 1,700,000 Qwest Communications International, Inc., Sr. Note, 1,581,000 Series B, 7.50%, 11/1/2008 15,175,000 2,3 Qwest Communications International, Inc., Sr. Sub. Note, 17,223,625 13.50%, 12/15/2010 3,525,000 Rogers Cantel Mobile, Inc., Sr. Sub. Note, 8.80%, 3,630,750 10/1/2007 2,950,000 4 TeleCorp PCS, Inc., Sr. Sub. Note, 0/11.625%, 4/15/2009 3,064,313 1,479,000 4 Tritel PCS, Inc., Company Guarantee, 0/12.75%, 5/15/2009 1,536,311 700,000 Triton PCS, Inc., Company Guarantee, 9.375%, 2/1/2011 724,500 3,000,000 2,3 Triton PCS, Inc., Sr. Note, 8.50%, 6/1/2013 3,240,000 1,900,000 4 VoiceStream Wireless Corp., Sr. Disc. Note, 0/11.875%, 1,973,055 11/15/2009 Total 77,421,992 Utilities--6.6% 750,000 2,3 ANR Pipeline Co., Sr. Note, 8.875%, 3/15/2010 825,000 550,000 CMS Energy Corp., Sr. Note, 7.50%, 1/15/2009 547,250 6,100,000 CMS Energy Corp., Sr. Note, 8.50%, 4/15/2011 6,374,500 1,250,000 CMS Energy Corp., Sr. Note, 8.90%, 7/15/2008 1,318,750 4,591,658 Caithness Coso Funding Corp., Sr. Secd. Note, Series B, 4,844,199 9.05%, 12/15/2009 2,250,000 Calpine Canada Energy Finance Corp., Company Guarantee, 1,771,875 8.50%, 5/1/2008 4,500,000 Calpine Corp., Note, 8.50%, 2/15/2011 3,397,500 800,000 El Paso Corp., 6.75%, 5/15/2009 732,000 4,725,000 El Paso Corp., Note, 6.95%, 12/15/2007 4,441,500 5,050,000 El Paso Corp., Sr. Note, 7.80%, 8/1/2031 4,317,750 5,125,000 El Paso Corp., Sr. Note, 8.05%, 10/15/2030 4,484,375 1,350,000 El Paso Energy Partners LP, Sr. Sub. Note, 8.50%, 1,454,625 6/1/2011 1,150,000 GulfTerra Energy Partners LP, Company Guarantee, 1,339,750 10.625%, 12/1/2012 4,550,000 2,3 Illinois Power Co., Mtg. Bond, 11.50%, 12/15/2010 5,221,125 1,500,000 2,3 P G & E Corp., Sr. Secd. Note, 6.875%, 7/15/2008 1,506,750 4,225,000 PSEG Energy Holdings, Sr. Note, 10.00%, 10/1/2009 4,805,938 2,700,000 PSEG Energy Holdings, Sr. Note, 8.625%, 2/15/2008 2,905,875 1,850,000 2,3 Reliant Resources, Inc., Sr. Secd. Note, 9.25%, 7/15/2010 1,891,625 2,175,000 2,3 Reliant Resources, Inc., Sr. Secd. Note, 9.50%, 7/15/2013 2,199,469 1,750,000 2,3 Semco Energy, Inc., Sr. Note, 7.125%, 5/15/2008 1,828,750 2,225,000 Tennessee Gas Pipeline, Bond, 8.375%, 6/15/2032 2,419,688 1,100,000 Tennessee Gas Pipeline, Sr. Deb., 7.50%, 4/1/2017 1,130,250 275,000 Transcontinental Gas Pipe Corp., Note, 7.00%, 8/15/2011 283,250 4,775,000 Williams Cos., Inc. (The), Note, 7.625%, 7/15/2019 4,655,625 3,250,000 Williams Cos., Inc. (The), Note, 7.875%, 9/1/2021 3,209,375 2,400,000 Williams Cos., Inc. (The), Sr. Note, 8.625%, 6/1/2010 2,520,000 Total 70,426,794 Total Corporate Bonds (identified cost $960,179,447) 988,471,111 Common Stocks--0.2% Broadcast Radio & TV--0.0% 1,800 1 XM Satellite Radio, Inc., Warrants 10,800 Cable Television--0.1% 35,159 1 NTL, Inc. 1,199,625 Consumer Products--0.0% 2,000 1 Jostens, Inc., Warrants 140,500 Container & Glass Products--0.0% 1,000 1 Pliant Corp., Warrants 1,125 57,000 1 Russell Stanley Holdings, Inc. 17,100 Total 18,225 Finance - Other--0.0% 171 1 CVC Claims Litigation LLC 0 Forest Products--0.0% 1,600 1 MDP Acquisitions PLC, Warrants 12,000 Leisure & Entertainment--0.0% 4,320 1 AMF Bowling Worldwide, Inc. 112,536 10,165 1 AMF Bowling Worldwide, Inc., Warrants 75,221 9,931 1 AMF Bowling Worldwide, Inc., Warrants 37,738 Total 225,495 Metal & Mining--0.0% 57,533 1 Royal Oak Mines, Inc. 173 Printing & Publishing--0.0% 1,000 1 Advanstar, Inc., Warrants 10 500 1 Medianews Group, Inc. 50,062 19,800 1 Ziff Davis Media, Inc., Warrants 198 Total 50,270 Steel--0.0% 2,000 1 Republic Technologies International, Inc., Warrants 20 Telecommunications & Cellular--0.1% 117,335 1 Call-Net Enterprises, Inc. 305,071 68,141 1 McLeodUSA, Inc., Warrants 27,938 15,348 1 Viatel Holding (Bermuda) Ltd. 11,895 Total 344,904 Total Common Stocks (identified cost $19,491,286) 2,002,012 Preferred Stocks--0.8% Broadcast Radio & TV--0.3% 30,300 Sinclair Capital, Cumulative Pfd., $11.625, Annual 3,178,470 Dividend Health Care--0.0% 6,134 River Holding Corp., Sr. Exchangeable PIK 61 Printing & Publishing--0.5% 39,650 Primedia, Inc., Exchangeable Pfd. Stock, Series G, 3,618,062 $8.624, Annual Dividend 17,450 Primedia, Inc., Pfd., $9.20, Annual Dividend 1,644,663 108 Ziff Davis Media, Inc., PIK Pfd., Series E-1 1 Total 5,262,726 Telecommunications & Cellular--0.0% 30,751 McLeodUSA, Inc., Conv. Pfd., Series A 222,637 Total Preferred Stocks (identified cost $15,819,393) 8,663,894 Repurchase Agreement--5.8% $61,967,000 Interest in $1,000,000,000 joint repurchase agreement 61,967,000 with Wachovia Securities, Inc., 1.25%, dated 6/30/2003, to be repurchased at $61,969,152 on 7/1/2003, collateralized by U.S. Government Agency Obligations with various maturities to 7/1/2033. --------------------------------------------------------- (AT AMORTIZED COST) Total Investments- 99.7% ========================================================= (identified cost $1,057,457,126) 5 $ 1,061,104,017 OTHER ASSETS AND LIABILITIES - NET--0.3% 3,618,026 NET ASSETS - 100% $ 1,064,722,043
1 Non-income producing security. 2 Denotes a restricted security which is subject to restrictions on resale under Federal Securities laws. At June 30, 2003, these securities amounted to $191,191,359 which represents18.0% of net assets. Included in these amounts are restricted securities which have been deemed liquid (amounting to $189,937,051 and representing 17.8% of net assets). 3 Denotes a restricted security that has been deemed liquid by criteria approved by the Fund's Board of Trustees. 4 Denotes a zero coupon bond with effective rate at time of purchase 5 The cost of investments for federal tax purposes amounts to $1,056,202,618. Note: The categories of investments are shown as a percentage of total net assets at June 30, 2003. The following acronyms are used throughout this portfolio: GTD --Guaranteed PIK --Payment in Kind See Notes which are an integral part of the Financial Statements
HIGH YIELD BOND PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES June 30, 2003 (unaudited) Assets: Total investments in securities, at value (identified cost $1,057,457,126) $ 1,061,104,017 Cash 368 Income receivable 20,593,215 Receivable for investments sold 2,074,580 Receivable for shares sold 200,000 Total assets 1,083,972,180 Liabilities: Payable for investments purchased $ 19,003,699 Payable for shares redeemed 116,000 Income distribution payable 121,191 Payable for transfer and dividend disbursing agent fees and expenses 2,054 Payable for portfolio accounting fees 4,168 Accrued expenses 3,025 Total liabilities 19,250,137 Net assets for 159,613,088 shares outstanding $ 1,064,722,043 Net Assets Consist of: Paid in capital $ 1,275,049,756 Net unrealized appreciation of investments 3,646,891 Accumulated net realized loss on investments (212,163,188) Distributions in excess of net investment income (1,811,416) Total Net Assets $ 1,064,722,043 Net Asset Value, Offering Price and Redemption Proceeds Per Share $1,064,722,043 / 159,613,088 shares outstanding $6.67
See Notes which are an integral part of the Financial Statements ===========================================================================
HIGH YIELD BOND PORTFOLIO STATEMENT OF OPERATIONS Six Months Ended June 30, 2003 (unaudited) Investment Income: Dividends $ 626,598 Interest 42,418,457 Total income 43,045,055 Expenses: Administrative personnel and services fee (Note 5) 362,629 Custodian fees 22,497 Transfer and dividend disbursing agent fees and expenses (Note 5) 10,327 Directors'/Trustees' fees 6,294 Auditing fees 7,919 Legal fees 10,032 Portfolio accounting fees (Note 5) 65,798 Insurance premiums 1,564 Miscellaneous 1,792 Total expenseS 488,852 Waiver of administrative personnel and services fee (Note 5) (362,629) Net expenses 126,223 Net investment income 42,918,832 Realized and Unrealized Gain (Loss) on Investments: Net realized loss on investments (21,295,894) Net change in unrealized appreciation/depreciation of investments 104,434,832 Net realized and unrealized gain on investments 83,138,938 Change in net assets resulting from operations $ 126,057,770
See Notes which are an integral part of the Financial Statements ===========================================================================
HIGH YIELD BOND PORTFOLIO STATEMENT OF CHANGES IN NET ASSETS Six Months Ended (unaudited) Year Ended 6/30/2003 12/31/2002 Increase (Decrease) in Net Assets Operations: Net investment income $ 42,918,832 $ 78,901,575 Net realized loss on investments (21,295,894) (97,325,493) Net change in unrealized appreciation/depreciation of investments 104,434,832 41,741,790 Change in net assets resulting from operations 126,057,770 23,317,872 Distributions to Shareholders: Distributions from net investment income (43,241,266) (79,992,687) Share Transactions: Proceeds from sale of shares 310,907,849 363,389,131 Net asset value of shares issued to shareholders in payment of distributions declared 42,645,238 79,983,723 Cost of shares redeemed (169,144,012) (254,948,136) Change in net assets resulting from share transactions 184,409,075 188,424,718 Change in net assets 267,225,579 131,749,903 Net Assets: Beginning of period 797,496,464 665,746,561 End of period (including distributions in excess of net investment income of $(1,811,416) and $(1,488,982), respectively) $ 1,064,722,043 $ 797,496,464
See Notes which are an integral part of the Financial Statements =========================================================================== High Yield Bond Portfolio Notes to Financial Statements June 30, 2003 (unaudited) - --------------------------------------------------------------------------- 1. ORGANIZATION Federated Core Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "Act"), as a diversified, open-end management investment company. The Trust consists of two diversified portfolios, High Yield Bond Portfolio (the "Fund") and Federated Mortgage Core Portfolio. The financial statements included herein are only those of 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, or insurance company separate accounts, common or commingled trust funds or similar organizations or entities that are "accredited investors" within the meaning of Regulation D of the 1933 Act. 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 ("GAAP") in the United States of America. Investment Valuation 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-end regulated investment companies are valued at net asset value. Securities for which no quotations are readily available are valued at fair value as determined in good faith using methods approved by the Board of Trustees (the "Trustees"). I. 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 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. II. Investment Income, Expenses and Distributions Interest income and expenses are accrued daily. 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. Premium and Discount Amortization/Paydown Gains and Losses All premiums and discount on fixed income securities are amortized/accreted. Gains and losses realized on principal payment of mortgage-backed securities (paydown gains and losses) are classified as part of investment income. Federal Taxes It is the Fund's policy to comply with the Subchapter M provision of the Internal Revenue Code (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. 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 contract. 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 in good faith using methods approved by the Trustees. Additional information on each restricted illiquid security held at June 30, 2003 is as follows: - --------------------------------------------------------------------------- - ------------------------------------------------------------------------- Acquisition Security Acquisition Date Cost - ------------------------------------------------------------------------- - ------------------------------------------------------------------------- AmeriTruck Distribution Corp., Sr. 11/10/1995-10/22/1997 $1,054,078 Sub. Note, 12.25%, 11/15/2005 - ------------------------------------------------------------------------- - ------------------------------------------------------------------------- Clark Material Handling Corp., Sr. 11/22/1996-11/12/1997 1,843,830 Note, 10.75%, 11/15/2006 - ------------------------------------------------------------------------- Condor Systems, Inc., Sr. Sub. Note, 4/8/1999 500,000 11.875%, 5/1/2009 - ------------------------------------------------------------------------- - ------------------------------------------------------------------------- Dyersburg Corp., Sr. Sub. Note, 9/3/1997-9/15/1997 683,438 9.75%, 9/1/2007 - ------------------------------------------------------------------------- - ------------------------------------------------------------------------- Simonds Industries, Inc., Sr. Sub. Note, 10.25%, 7/1/2008 6/15/2000-9/25/2001 1,692,000 - ------------------------------------------------------------------------- - ------------------------------------------------------------------------- Sleepmaster LLC, Company Guarantee, 11.00%, 5/15/2009 5/12/1999-5/18/2001 944,775 - ------------------------------------------------------------------------- - ------------------------------------------------------------------------- The Holt Group, Inc., Company 1/14/1998-3/13/1998 1,067,313 Guarantee, 9.75%, 1/15/2006 - ------------------------------------------------------------------------- III. Use of Estimates The preparation of financial statements in conformity with GAAP 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. IV. 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: Six Months Year Ended Ended 6/30/2003 12/31/2002 Shares sold 49,096,855 57,741,036 Shares issued to shareholders in payment of 6,656,166 12,855,850 distributions declared Shares redeemed (26,705,404) (42,261,982) NET CHANGE RESULTING FROM 29,047,617 28,334,904 SHARE TRANSACTIONS 4. FEDERAL TAX INFORMATION At June 30, 2003, the cost of investments for federal tax purposes was $1,056,202,618. The net unrealized appreciation of investments for federal tax purposes was $4,901,399. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $69,343,447 and net unrealized depreciation from investments for those securities having an excess of cost over value of $64,442,048. The difference between book-basis and tax-basis unrealized appreciation/depreciation is attributable primarily to the amortization/accretion tax elections on fixed income securities. At December 31, 2002, the Fund had a capital loss carryforward of $165,649,087 which will reduce the Fund's taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code and thus will reduce the amount of 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 - ------------------------------------- - ------------------------------------- 2007 $1,148,442 - ------------------------------------- - ------------------------------------- 2008 $14,429,102 - ------------------------------------- - ------------------------------------- 2009 $61,615,797 - ------------------------------------- - ------------------------------------- 2010 $88,455,746 - ------------------------------------- 5. 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 0.150% to 0.075% of the average aggregate net assets of all funds advised by affiliates of Federated Investors, Inc. FServ may voluntarily choose to waive any portion of its fee. FServ can terminate this voluntary waiver at any time at its own discretion. V. 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. FSSC may voluntarily choose to waive any portion of its fee. FSSC can terminate this voluntary waiver at any time at its own discretion. VI. 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. FServ may voluntarily choose to waive any portion of its fee. FServ can terminate this voluntary waiver at any time at its own discretion. VII. General Certain of the Officers and Trustees of the Trust are Officers and Directors or Trustees of the above companies. 6. INVESTMENT TRANSACTIONS Purchases and sales of investments, excluding long-term U.S. government securities and short-term obligations (and in-kind contributions), for the six months ended June 30, 2003, were as follows: Purchases $357,730,373 Sales $200,562,030
FEDERATED MORTGAGE CORE PORTFOLIO FINANCIAL HIGHLIGHTS (For a Share Outstanding Throughout Each Period) Year Ended December 31, Six Months Ended Period Ended (unaudited) December 31, ------------------------------------------------ ------------------------------------------------ June 30, 2003 2002 2001 2000 1999 1 - ----------------------------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of $10.32 $10.04 $9.89 $9.55 $10.00 Period Income From Investment Operations: Net investment income 0.25 0.61 0.66 0.68 0.55 Net realized and unrealized gain ----- (0.05) (loss) on investments 0.31 0.15 0.34 (0.45) TOTAL FROM INVESTMENT 0.20 OPERATIONS 0.92 0.81 1.02 0.10 Less Distributions: Distributions from net investment income (0.25) (0.61) (0.66) (0.68) (0.55) Distributions from net realized ----- --- gain on investments (0.03) --- --- --- TOTAL DISTRIBUTIONS (0.25) (0.64) (0.66) (0.68) (0.55) Net Asset Value, End of Period $10.27 $10.32 $10.04 $9.89 $9.55 Total Return2 1.98% 9.43 % 8.37 % 11.15 % 1.07 % Ratios to Average Net Assets: Expenses 0.03% 3 0.04 % 0.04 % 0.05 % 0.05 %3 Net investment income 4.90% 3 6.00 % 6.56 % 7.09 % 6.66 %3 Expense waiver/reimbursement 4 0.08% 3 0.08 % 0.08 % 0.08 % 0.08 %3 Supplemental Data: Net assets, end of period (000 $916,358 omitted) $601,217 $453,784 $371,659 $258,304 Portfolio turnover 5% 84% 93% 81% 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 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
FEDERATED MORTGAGE CORE PORTFOLIO PORTFOLIO OF INVESTMENTS June 30, 2003 (unaudited) Principal Value Amount Mortgage Backed Securities--98.3% Federal Home Loan Mortgage Corporation--20.9% $11,000,000 1 4.500%, 8/1/2018 $ 11,230,340 12,000,000 1 5.000%, 8/1/2018 12,390,000 92,324,602 5.500%, 9/1/2017 - 8/1/2033 95,398,169 25,353,930 6.000%, 5/1/2013 - 8/1/2033 26,327,533 27,211,859 6.500%, 7/1/2014 - 11/1/2032 28,357,471 6,816,015 7.000%, 12/1/2011 - 4/1/2032 7,153,861 5,327,993 7.500%, 12/1/2022 - 7/1/2031 5,666,676 4,195,119 8.000%, 5/1/2006 - 3/1/2031 4,517,546 74,393 8.500%, 9/1/2025 81,276 186,119 9.000%, 5/1/2017 206,126 12,753 9.500%, 4/1/2021 14,207 total Federal National Mortgage Association--61.4% 4,978,009 4.500%, 5/1/2018 5,080,655 73,487,714 5.000%, 4/1/2018 - 8/1/2033 75,684,227 101,613,600 5.500%, 2/1/2009 - 8/1/2033 105,284,246 162,890,516 6.000%, 7/1/2006 - 8/1/2033 169,482,386 134,988,110 6.500%, 5/1/2006 - 4/1/2033 140,947,010 49,350,910 7.000%, 2/1/2008 - 8/1/2033 52,042,569 10,704,776 7.500%, 6/1/2011 - 6/1/2033 11,401,185 2,403,376 8.000%, 7/1/2023 - 3/1/2031 2,600,473 19,120 8.500%, 3/1/2030 20,769 113,564 9.000%, 11/1/2021 - 6/1/2025 125,037 total Government National Mortgage Association--16.0% 10,000,000 5.000%, 6/20/2033 10,212,500 24,984,853 5.500%, 8/15/2033 26,007,733 32,747,489 6.000%, 10/15/2028 - 8/15/2033 34,310,186 30,207,930 6.500%, 10/15/2028 - 8/15/2032 31,725,284 26,143,628 7.000%, 11/15/2027 - 8/15/2033 27,641,768 7,216,454 7.500%, 6/20/2007 - 1/15/2031 7,678,652 4,915,249 8.000%, 2/15/2010 - 11/15/2030 5,305,612 2,202,599 8.500%, 3/15/2022 - 11/15/2030 2,390,344 87,441 9.000%, 10/15/2016 - 6/15/2025 96,411 54,607 9.500%, 10/15/2020 - 2/15/2025 60,514 820,691 12.000%, 4/15/2015 - 6/15/2015 934,715 total Total Mortgage Backed Securities (identified cost 900,375,481 $886,046,019) Repurchase Agreements-39.3% 131,000,000 2,3 Interest in $683,500,000 joint repurchase agreement with 131,000,000 Goldman Sachs & Co., 1.08%, dated 6/12/2003, to be repurchased at $131,125,760 on 7/14/2003, collateralized by U.S. Government Agency Obligations with various maturities to 6/1/2033. 33,000,000 2,3 Interest in $250,000,000 joint repurchase agreement with UBS 33,000,000 Warburg LLC, 0.95%, dated 6/19/2003, to be repurchased at $33,028,738 on 7/22/2003, collateralized by U.S. Government Agency Obligations with various maturities to 9/20/2029. 73,000,000 2,3 Interest in $492,000,000 joint repurchase agreement with UBS 73,000,000 Warburg LLC, 1.03%, dated 6/17/2003, to be repurchased at $73,062,658 on 7/17/2003, collateralized by U.S. Government Agency Obligations with various maturities to 4/20/2028. 123,225,000 Interest in $1,000,000,000 joint repurchase agreement with 123,225,000 Wachovia Securities, Inc., 1.25%, dated 6/30/2003, to be repurchased at $123,229,279 on 7/1/2003, collateralized by U.S. Government Agency Obligations with various maturities to 7/1/2033. Total Repurchase Agreements (AT AMORTIZED COST) 360,225,000 Total Investments- 137.6% ============================================================= (identified cost $1,246,271,019) 4 $ 1,260,600,481 OTHER ASSETS AND LIABILITIES - NET--(37.6)% (344,205,719) NET ASSETS - 100% $ 916,394,762
1 All or a portion of these securities may be subject to dollar roll transactions. 2 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 if the creditworthiness of the issuer is downgraded. 3 Security held as collateral for dollar roll transactions. 4 The cost of investments for federal tax purposes amounts to $1,246,271,019. Note: The categories of investments are shown as a percentage of total net assets at June 30, 2003. See Notes which are an integral part of the Financial Statements
FEDERATED MORTGAGE CORE PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES June 30, 2003 (unaudited) Assets: Investments in repurchase agreements $ 360,225,000 Investments in securities 900,375,481 Total investments in securities, at value (identified cost $1,246,271,019) $ 1,260,600,481 Cash 667 Income receivable 3,179,607 Receivable for investments sold 20,731,944 Receivable from adviser (Note 6) 36,719 Total assets 1,284,549,418 Liabilities: Payable for investments purchased $ 142,485,678 Payable for shares redeemed 790,000 Payable for dollar roll transactions 224,850,353 Payable for transfer and dividend disbursing agent fees and expenses 3,511 Payable for portfolio accounting fees 5,178 Accrued expenses 19,936 Total liabilities 368,154,656 Net assets for 89,218,482 shares outstanding $ 916,394,762 Net Assets Consist of: Paid in capital $ 900,199,311 Net unrealized appreciation of investments 14,329,462 Accumulated net realized gain on investments 1,864,714 Undistributed net investment income 1,275 Total Net Assets $ 762 Net Asset Value, Offering Price and Redemption Proceeds Per Share $916,394,762 / 89,218,482 shares outstanding $10.27
See Notes which are an integral part of the Financial Statements ===========================================================================
FEDERATED MORTGAGE CORE PORTFOLIO STATEMENT OF OPERATIONS Six Months Ended June 30, 2003 (unaudited) Investment Income: Interest (net of dollar roll expense of $2,648,401) $ 17,553,677 Expenses: Administrative personnel and services fee (Note 5) 285,199 Custodian fees 20,232 Transfer and dividend disbursing agent fees and expenses (Note 5) 7,962 Directors'/Trustees' fees 4,232 Auditing fees 7,163 Legal fees 4,298 Portfolio accounting fees (Note 5) 56,798 Insurance premiums 976 Miscellaneous 291 Total expenseS 387,151 Waiver of administrative personnel and services fee (Note 5) (285,199) Net expenses 101,952 Net investment income 17,451,725 Realized and Unrealized Gain (Loss) on Investments: Net realized gain on investments 1,391,987 Net change in unrealized appreciation of investments (4,977,588) Net increase due to voluntary contribution from adviser (Note 6) 36,719 Net realized and unrealized loss on investments (3,548,882) Change in net assets resulting from operations $ 13,902,843
See Notes which are an integral part of the Financial Statements ===========================================================================
FEDERATED MORTGAGE CORE PORTFOLIO STATEMENT OF CHANGES IN NET ASSETS Six Months Ended (unaudited) Year Ended 6/30/2003 12/31/2002 Increase (Decrease) in Net Assets Operations: Net investment income $ 17,451,725 $ 28,951,730 Net realized gain on investments 1,391,987 1,775,463 Net change in unrealized appreciation/depreciation of investments (4,977,588) 12,334,549 Net increase due to voluntary contribution from adviser (Note 6) 36,719 --- Change in net assets resulting from operations 13,902,843 43,061,742 Distributions to Shareholders: Distributions from net investment income (17,470,791) (28,985,744) Distributions from net realized gains --- (1,229,213) Change in net assets resulting from distributions to shareholders (17,470,791) (30,214,957) Share Transactions: Proceeds from sale of shares 331,500,000 229,200,412 Net asset value of shares issued to shareholders in payment of distributions declared 17,470,728 30,214,957 Cost of shares redeemed (30,225,323) (124,828,629) Change in net assets resulting from share transactions 318,745,405 134,586,740 Change in net assets 315,177,457 147,433,525 Net Assets: Beginning of period 601,217,305 453,783,780 End of period (including undistributed net investment income of $1,275 and $20,341, respectively) $ 916,394,762 $ 601,217,305 See Notes which are an integral part of the Financial Statements ===========================================================================
STATEMENT OF CASH FLOWS For the Six Months Ended June 30, 2003 Ended Increase (Decrease) in Cash (unaudited) Cash Flows From Operating Activities Change in net assets resulting from operations $13,902,843 Adjustments to reconcile change in net assets resulting from operations to net cash used in operating activities: Purchase of investment securities (1,785,541,770) Paydowns on investment securities 113,011,079 Realized loss on paydowns 1,045,871 Proceeds from sale of investment securities 1,365,231,140 Net sales of short-term investment securities (155,579,000) Increase in income receivable (864,639) Increase in payable for accrued expenses (14,049) Increase in receivable for investments sold (20,731,944) Increase in receivable for voluntary contribution from (36,719) advisor Increase in payable for investments purchased 94,684,607 Net realized gain on investments (1,391,987) Net unrealized appreciation on investments 4,977,588 - ------------------------------------------------------------------------------ NET CASH USED IN OPERATING ACTIVITIES (371,306,980) - ------------------------------------------------------------------------------ Cash Flows From Financing Activities: Cash received from dollar roll transactions, net 69,709,574 Proceeds from sale of shares 331,500,000 Cash distributions paid (63) Payment for shares redeemed (29,902,785) - ------------------------------------------------------------------------------- NET CASH PROVIDED BY FINANCING ACTIVITIES 371,306,726 - ------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- NET DECREASE IN CASH (254) - ------------------------------------------------------------------------------- Cash: Cash at beginning of period 921 -------------- Cash at end of period $ 667 ============== Non cash financing activities not included herein consist of reinvestment of distributions of $17,470,791. See Notes which are an integral part of the Financial Statements. Federated Mortgage Core Portfolio Notes to Financial Statements June 30, 2003 (unaudited) - --------------------------------------------------------------------------- 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, Federated Mortgage Core Portfolio (the "Fund") and 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'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, or insurance company separate accounts, common or commingled trust funds or similar organizations or entities that are "accredited investors" within the meaning of Regulation D of the 1933 Act. 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 ("GAAP") in the United States of America. Investment Valuation 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-end regulated investment companies are valued at net asset value. Securities for which no quotations are readily available are valued at fair value as determined in good faith using methods approved by the Board of Trustees (the "Trustees"). Statement of Cash Flows Information on financial transactions which have been settled through the receipt or disbursement of cash is presented in the Fund's Statement of Cash Flows. The cash amount shown in the Statement of Cash Flows is the amount reported as cash in the Fund's Statement of Assets and Liablities and represents cash on hand at its custodian bank account and does not include any short-term investments at June 30, 2003. VIII. IX. 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 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. X. Investment Income, Expenses and Distributions Interest income and expenses are accrued daily. Distributions to shareholders are recorded on the ex-dividend date. 1. Premium and Discount Amortization/Paydown Gains and Losses All premiums and discount on fixed income securities are amortized/accreted. Gains and losses realized on principal payment of mortgage-backed securities (paydown gains and losses) are classified as part of investment income. Federal Taxes It is the Fund's policy to comply with the Subchapter M provision of the Internal Revenue Code (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. 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 contract. XI. 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 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 Fund's current yield and total return. Information regarding dollar roll transactions for the Fund for the six months ended June 30, 2003, was as follows: - --------------------------------------------------------------------- Maximum amount outstanding during the period $238,263,693 - --------------------------------------------------------------------- - --------------------------------------------------------------------- Average amount outstanding during the period1 $198,648,758 - --------------------------------------------------------------------- - --------------------------------------------------------------------- Average monthly shares outstanding during the period 70,139,548 - --------------------------------------------------------------------- - --------------------------------------------------------------------- Average debt per shares outstanding during the 2.83 period - --------------------------------------------------------------------- - --------------------------------------------------------------------- 1 The average amount outstanding during the period was calculated by adding the borrowings at the end of the day and dividing the sum by the number of days in the six months ended June 30, 2003. XII. Use of Estimates The preparation of financial statements in conformity with GAAP 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. XIII. 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: Six Months Ended Year Ended 6/30/2003 12/31/2002 Shares sold 32,186,316 22,436,674 Shares issued to shareholders in payment of distributions declared 1,696,007 2,958,829 Shares redeemed (2,943,320) (12,328,217) NET CHANGE RESULTING FROM SHARE TRANSACTIONS 30,939,003 13,067,286 4. FEDERAL TAX INFORMATION At June 30, 2003, the cost of investments for federal tax purposes was $1,246,271,019. The net unrealized appreciation of investments for federal tax purposes was $14,329,462. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $15,588,117 and net unrealized depreciation from investments for those securities having an excess of cost over value of $1,258,655. 5. 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 0.150% to 0.075% of the average aggregate daily net assets of all funds advised by affiliates of Federated Investors, Inc. FServ may voluntarily choose to waive any portion of its fee. FServ can terminate this voluntary waiver at any time at its own discretion. XIV. 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. FSSC may voluntarily choose to waive any portion of its fee. FSSC can terminate this voluntary waiver at any time at its own discretion. XV. 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. FServ may voluntarily choose to waive any portion of its fee. FServ can terminate this voluntary waiver at any time at its own discretion. XVI. General Certain of the Officers and Trustees of the Trust are Officers and Directors or Trustees of the above companies. 6. OTHER On July 14, 2003, the Adviser made a voluntary contribution to the Fund of $36,719 for losses incurred due to investment transactions entered into inadvertently. Item 2. Code of Ethics Not Applicable Item 3. Audit Committee Financial Expert Not Applicable Item 4. Principal Accountant Fees and Services Not Applicable Item 5 Audit Committee of Listed Registrants Not Applicable Item 6 [Reserved] Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies Not Applicable Item 8. [Reserved] Item 9. Controls and Procedures (a) The registrant's President and Treasurer 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-CSR. (b) There were no changes in the registrant's internal control over financial reporting (as defined in rule 30a-3(d) under the Act), or the internal control over financial reporting of its service providers during the last fiscal half year (the registrant's second half year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 10. Exhibits SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Registrant Federated Core Trust By /S/ Richard J. Thomas, Principal Financial Officer Date August 27, 2003 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, Principal Executive Officer Date August 27, 2003 By /S/ Richard J. Thomas, Principal Financial Officer Date August 27, 2003 EX-99.CERT 3 fct302jcd.txt I, J. Christopher Donahue, certify that: 1. I have reviewed this report on Form N-CSR of Federated Core Trust on behalf of: Federated Mortgage Core Portfolio and High Yield Bond Portfolio ("registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: a. designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b. NA c. evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d. disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a. all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b. any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 27, 2003 /S/ J. Christopher Donahue President - Principal Executive Officer EX-99.CERT 4 fct302rjt.txt I, Richard J. Thomas, certify that: 1. I have reviewed this report on Form N-CSR of Federated Core Trust on behalf of: Federated Mortgage Core Portfolio and High Yield Bond Portfolio ("registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: a. designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b. NA c. evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d. disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a. all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b. any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 27, 2003 /S/ Richard J. Thomas Treasurer - Principal Financial Officer EX-99.906CERT 5 fct906.txt SECTION 906 CERTIFICATION Pursuant to 18 U.S.C.ss. 1350, the undersigned officers of Federated Core Trust on behalf of Federated Mortgage Core Portfolio and High Yield Bond Portfolio(the "Registrant"), hereby certify, to the best of our knowledge, that the Registrant's Report on Form N-CSR for the period ended June 30, 2003 (the "Report") fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities and Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Dated: August 27, 2003 /s/ J. Christopher Donahue Title: President, Principal Executive Officer Dated: August 27, 2003 /s/ Richard J. Thomas Title: Treasurer, Principal Financial Officer This certification is being furnished solely pursuant to 18 U.S.C.ss. 1350 and is not being filed as part of the Report or as a separate disclosure document. -----END PRIVACY-ENHANCED MESSAGE-----