N-Q 1 fctform.txt United States Securities and Exchange Commission Washington, D.C. 20549 Form N-Q Quarterly Schedule of Portfolio Holdings 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: 12/31/04 Date of Reporting Period: Quarter ended 9/30/04 Item 1. Schedule of Investments Federated Mortgage Core Portfolio Portfolio of Investments September 30, 2004 (unaudited)
Principal Amount Value Mortgage-Backed Securities--99.7% federal Home Loan Mortgage Corporation--39.7% $ 58,860,676 4.500%, 8/1/2018 - 4/1/2034 $ 58,564,258 86,328,205 1 5.000%, 7/1/2019 - 10/1/2034 85,858,417 94,091,763 5.500%, 4/1/2014 - 6/1/2034 95,637,420 19,549,396 6.000%, 5/1/2014 - 2/1/2034 20,337,094 34,041,055 6.500%, 7/1/2014 - 9/1/2033 35,776,214 3,750,428 7.000%, 12/1/2011 - 4/1/2032 3,976,835 2,313,815 7.500%, 12/1/2022 - 7/1/2031 2,484,780 1,964,604 8.000%, 5/1/2006 - 3/1/2031 2,120,610 50,189 8.500%, 9/1/2025 54,869 89,458 9.000%, 5/1/2017 98,889 6,182 9.500%, 4/1/2021 6,928 Total 304,916,314 Federal National Mortgage Association -48.6% 16,965,219 4.500%, 9/1/2010 - 12/1/2018 17,006,189 97,304,622 5.000%, 4/1/2018 - 5/1/2034 98,112,549 100,831,719 5.500%, 2/1/2009 - 4/1/2034 103,007,256 92,851,831 6.000%, 7/1/2006 - 7/1/2034 96,356,609 33,180,554 6.500%, 5/1/2006 - 11/1/2032 34,884,022 17,800,248 7.000%, 2/1/2008 - 8/1/2032 18,881,562 3,845,952 7.500%, 6/1/2011 - 6/1/2033 4,115,050 991,131 8.000%, 7/1/2023 - 3/1/2031 1,076,150 4,317 8.500%, 3/1/2030 4,700 63,033 9.000%, 11/1/2021 - 6/1/2025 69,449 Total 373,513,536 Government National Mortgage Association -11.4% 18,790,752 5.000%, 12/20/2032 - 6/20/2034 18,699,541 26,894,641 5.500%, 4/15/2033 - 5/15/2034 27,382,210 15,157,093 6.000%, 10/15/2028 - 1/15/2033 15,744,114 12,019,781 6.500%, 10/15/2028 - 8/15/2032 12,691,386 5,426,622 7.000%, 11/15/2027 - 2/15/2032 5,785,486 3,107,133 7.500%, 6/20/2007 - 1/15/2031 3,347,637 2,188,311 8.000%, 2/15/2010 - 11/15/2030 2,382,541 881,073 8.500%, 3/15/2022 - 11/15/2030 964,684 36,380 9.000%, 10/15/2016 - 6/15/2025 40,328 7,271 9.500%, 10/15/2020 8,221 582,689 12.000%, 4/15/2015 - 6/15/2015 670,157 Total 87,716,305 Total Mortgage-Backed Securities (identified cost $753,582,470) 766,146,155 Repurchase Agreements--4.3% 10,000,000 2,3 Interest in $96,500,000 joint repurchase agreement with Goldman Sachs & Co., 1.730%, dated 9/15/2004, to be repurchased at $10,013,936 on 10/14/2004, collateralized by U.S Government Agency Obligations with various maturities to 4/1/2043, collateral market value $99,471,424 (At Amortized Cost) 10,000,000 23,336,000 Interest in $1,800,000,000 joint repurchase agreement with Wachovia Securities, Inc., 1.910%, dated 9/30/2004, to be repurchased at $23,337,238 on 10/1/2004, collateralized by U.S Government Agency Obligations with various maturities to 3/1/2034, collateral market value $1,836,004,918 (At Amortized Cost) 23,336,000 Total Repurchase Agreements 33,336,000 Total Investments -104.0% (identified cost $786,918,470)4 799,482,155 other assets and liabilities--net--(4.0)% (30,977,121) total net assets--100% $ 768,505,034
1 All or a portion of these securities are subject to dollar roll transactions. Information regarding dollar roll transactions for the Fund for the quarter ended September 30, 2004, was as follows: Maximum amount outstanding during the period $18,878,558 Average amount outstanding during the period1 $11,208,950 Average shares outstanding during the period 768,665,143 Average debt per shares outstanding during the period 1.34 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 quarter ended September 30, 2004. 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. 3 Security held as collateral for dollar roll transactions. 4 The cost of investments for federal tax purposes amounts to $786,918,470. The net unrealized appreciation of investments for federal tax purposes was $12,563,685. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $13,988,827 and net unrealized depreciation from investments for those securities having an excess of cost over value of $1,425,142. Note: The categories of investments are shown as a percentage of total net assets at September 30, 2004. High Yield Bond Portfolio Portfolio of Investments September 30, 2004 (unaudited)
Principal Amount or Shares Value Corporate Bonds--96.6% Aerospace / Defense--1.5% $ 2,800,000 Alliant Techsystems, Inc., Sr. Sub. Note, 8.50%, 5/15/2011 $ 3,066,000 1,550,000 1,2 Argo Tech Corp., Sr. Note, 9.25%, 6/1/2011 1,670,125 500,000 3 Condor Systems, Inc., Sr. Sub. Note, Series B, 11.875%, 5/1/2009 28,000 625,000 Hexcel Corp., Sr. Secd. Note, 9.875%, 10/1/2008 703,125 4,350,000 Hexcel Corp., Sr. Sub. Note, Series B, 9.75%, 1/15/2009 4,589,250 1,125,000 L-3 Communications Corp., Sr. Sub. Note, 6.125%, 1/15/2014 1,130,625 3,400,000 L-3 Communications Corp., Sr. Sub. Note, 6.125%, 7/15/2013 3,459,500 2,175,000 TransDigm, Inc., Sr. Sub. Note, 8.375%, 7/15/2011 2,338,125 Total 16,984,750 Automotive--3.0% 1,600,000 Accuride Corp., Sr. Sub. Note, Series B, 9.25%, 2/1/2008 1,644,000 4,400,000 Advanced Accessory Systems LLC, Sr. Note, 10.75%, 6/15/2011 4,158,000 4,475,000 General Motors Corp., Note, 7.125%, 7/15/2013 4,688,189 4,450,000 General Motors Corp., Note, 8.375%, 7/15/2033 4,746,014 2,775,000 1,2 Stanadyne Corp., Sr. Sub. Note, 10.00%, 8/15/2014 2,899,875 3,975,000 Stoneridge, Inc., Company Guarantee, 11.50%, 5/1/2012 4,521,562 4,741,000 TRW Automotive, Inc., Sr. Sub. Note, 11.00%, 2/15/2013 5,665,495 3,125,000 1,2 Transportation Technologies Industries, Inc., Sr. Sub. Note, 12.50%, 3/31/2010 3,222,656 2,725,000 United Components, Inc., Sr. Sub. Note, 9.375%, 6/15/2013 2,949,813 Total 34,495,604 Building Materials--2.8% 4,325,000 1,2,4 AMH Holdings, Inc., Sr. Disc. Note, 0/11.25%, 3/1/2014 3,168,062 1,950,000 Associated Materials, Inc., Company Guarantee, 9.75%, 4/15/2012 2,247,375 2,425,000 Collins & Aikman Floorcoverings, Inc., Company Guarantee, 9.75%, 2/15/2010 2,582,625 3,400,000 ERICO International Corp., Sr. Sub. Note, 8.875%, 3/1/2012 3,536,000 4,475,000 Euramax International PLC, Sr. Sub. Note, 8.50%, 8/15/2011 4,788,250 1,600,000 Legrand SA, Sr. Note, 10.50%, 2/15/2013 1,880,000 2,125,000 1,2 Norcraft Cos. LLC, Sr. Sub. Note, 9.00%, 11/1/2011 2,326,875 6,250,000 1,2,4 Norcraft Holdings LP, Sr. Disc. Note, 0/9.75%, 9/1/2012 4,562,500 1,550,000 1,2 Nortek Holdings, Inc., Sr. Sub. Note, 8.50%, 9/1/2014 1,631,375 2,900,000 1,2 Ply Gem Industries, Inc., Sr. Sub. Note, 9.00%, 2/15/2012 2,907,250 2,250,000 U.S. Concrete, Inc., Sr. Sub. Note, 8.375%, 4/1/2014 2,362,500 Total 31,992,812 Chemicals--5.8% 4,675,000 1,2 BCP Caylux Holding LUX SCA, Sr. Sub. Note, 9.625%, 6/15/2014 5,072,375 3,150,000 1,2 Borden U.S. Finance Corp., Sr. Secd. Note, 9.00%, 7/15/2014 3,323,250 2,425,000 Compass Minerals Group, Inc., Sr. Sub. Note, 10.00%, 8/15/2011 2,728,125 4,575,000 4 Compass Minerals International, Inc., Sr. Disc. Note, 0/12.00%, 6/1/2013 3,637,125 2,500,000 4 Compass Minerals International, Inc., Sr. Disc. Note, 0/12.75%, 12/15/2012 2,112,500 6,975,000 1,2,4 Crystal US Holdings, Sr. Disc. Note, 0/10.50%, 10/1/2014 4,202,437 3,850,000 Equistar Chemicals LP, Sr. Note, 10.125%, 9/1/2008 4,360,125 2,100,000 FMC Corp., Sr. Secd. Note, 10.25%, 11/1/2009 2,462,250 1,275,000 1,2 Huntsman Advanced Materials, Inc., Sr. Secd. Note, 11.00%, 7/15/2010 1,485,375 5,875,000 Huntsman ICI Chemicals LLC, Sr. Sub. Note, 10.125%, 7/1/2009 6,198,125 3,225,000 1,2 Invista, Unit, 9.25%, 5/1/2012 3,466,875 2,625,000 Koppers, Inc., Sr. Secd. Note, 9.875%, 10/15/2013 2,913,750 2,300,000 Lyondell Chemical Co., Sr. Secd. Note, 9.50%, 12/15/2008 2,521,375 2,790,000 Lyondell Chemical Co., Sr. Secd. Note, 9.875%, 5/1/2007 2,960,887 5,675,000 Lyondell Chemical Co., Sr. Sub. Note, 10.875%, 5/1/2009 6,043,875 2,500,000 1,2,4 Nalco Co., Sr. Disc. Note, 0/9.00%, 2/1/2014 1,787,500 950,000 Nalco Co., Sr. Note, 7.75%, 11/15/2011 1,011,750 2,250,000 Nalco Co., Sr. Sub. Note, 8.875%, 11/15/2013 2,430,000 625,000 Rhodia SA, Sr. Note, 7.625%, 6/1/2010 585,937 3,250,000 Rhodia SA, Sr. Sub. Note, 8.875%, 6/1/2011 2,843,750 725,000 Union Carbide Corp., Deb., 6.79%, 6/1/2025 735,875 925,000 Union Carbide Corp., Deb., 7.50%, 6/1/2025 888,000 350,000 Union Carbide Corp., Sr. Deb., 7.875%, 4/1/2023 343,000 3,250,000 Union Carbide Corp., Sr. Deb., 8.75%, 8/1/2022 3,274,375 Total 67,388,636 Construction Machinery--1.7% 3,750,000 AGCO Corp., Sr. Note, 9.50%, 5/1/2008 4,068,750 5,250,000 1,2 Case New Holland, Sr. Note, 9.25%, 8/1/2011 5,906,250 1,775,000 3 Clark Material Handling Corp., Sr. Note, 10.75%, 11/15/2006 0 525,000 Columbus McKinnon Corp., Sr. Secd. Note, 10.00%, 8/1/2010 580,125 4,250,000 Columbus McKinnon Corp., Sr. Sub. Note, 8.50%, 4/1/2008 4,165,000 3,350,000 NationsRent Cos., Inc., Sr. Secd. Note, 9.50%, 10/15/2010 3,651,500 1,950,000 United Rentals, Inc., Sr. Note, 6.50%, 2/15/2012 1,886,625 Total 20,258,250 Consumer Products--4.7% 4,725,000 Alltrista Corp., Unsecd. Note, 9.75%, 5/1/2012 5,244,750 1,025,000 1,2 American Achievement Corp., Sr. Sub. Note, 8.25%, 4/1/2012 1,081,375 3,425,000 1,2 Ames True Temper, Inc., Sr. Sub. Note, 10.00%, 7/15/2012 3,514,906 2,600,000 Armkel Finance, Inc., Sr. Sub. Note, 9.50%, 8/15/2009 2,847,000 2,075,000 Chattem, Inc., Sr. Sub. Note, 7.00%, 3/1/2014 2,121,687 325,000 3 Diamond Brands Operating Corp., Sr. Sub. Note, 10.125%, 4/15/2008 0 925,000 3 Diamond Brands, Inc., Sr. Disc. Deb., 12.875%, 4/15/2009 0 2,550,000 ICON Health & Fitness, Inc., Company Guarantee, 11.25%, 4/1/2012 2,741,250 5,600,000 4 Jostens Holding Corp., Discount Bond, 0/10.25%, 12/1/2013 3,878,000 4,250,000 1,2 Jostens IH Corp., 7.625%, 10/1/2012 4,292,500 3,425,000 Jostens, Inc., Sr. Sub. Note, 12.75%, 5/1/2010 3,850,693 500,000 1,2 K2, Inc., Sr. Note, 7.375%, 7/1/2014 532,500 2,525,000 1,2 Leiner Health Products, Unsecd. Note, 11.00%, 6/1/2012 2,695,437 4,250,000 Playtex Products, Inc., Company Guarantee, 9.375%, 6/1/2011 4,377,500 3,225,000 Sealy Mattress Co., Sr. Sub. Note, 8.25%, 6/15/2014 3,273,375 1,750,000 1,2 Simmons Co., Sr. Sub. Note, 7.875%, 1/15/2014 1,828,750 2,405,000 Tempur World, Sr. Sub. Note, 10.25%, 8/15/2010 2,747,713 2,425,000 True Temper Sports, Inc., Sr. Sub. Note, 8.375%, 9/15/2011 2,267,375 4,750,000 United Industries Corp., Sr. Sub. Note, Series D, 9.875%, 4/1/2009 4,987,500 2,200,000 WH Holdings Ltd., Sr. Note, 9.50%, 4/1/2011 2,392,500 Total 54,674,811 Diversified--0.4% 4,900,000 1,2 Dow Jones Credit Derivative Index High Yield, Pass Thru Cert., Series 3-2, 6.375%, 12/29/2009 5,004,125 Diversified Manufacturing--0.2% 2,500,000 1,2 Polypore, Inc., Sr. Sub. Note, 8.75%, 5/15/2012 2,606,250 ----------------------- ----------------------- Energy--1.7% 3,225,000 CITGO Petroleum Corp., Sr. Note, 11.375%, 2/1/2011 3,813,563 3,350,000 Compton Petroleum Corp., Sr. Note, 9.90%, 5/15/2009 3,735,250 1,500,000 Continental Resources, Inc., Sr. Sub. Note, 10.25%, 8/1/2008 1,560,000 925,000 Lone Star Technologies, Inc., Company Guarantee, Series B, 9.00%, 6/1/2011 994,375 1,056,000 Magnum Hunter Resources, Inc., Sr. Note, 9.60%, 3/15/2012 1,198,560 2,450,000 Petroleum Helicopters, Inc., Company Guarantee, Series B, 9.375%, 5/1/2009 2,646,000 1,150,000 Range Resources Corp., Sr. Sub. Note, 7.375%, 7/15/2013 1,213,250 3,775,000 Swift Energy Co., Sr. Sub. Note, 9.375%, 5/1/2012 4,246,875 Total 19,407,873 Entertainment--2.6% 2,500,000 1,2 AMC Entertainment, Inc., Sr. Sub. Note, 8.00%, 3/1/2014 2,362,500 3,075,000 AMC Entertainment, Inc., Sr. Sub. Note, 9.875%, 2/1/2012 3,198,000 1,875,000 Cinemark USA, Sr. Sub. Note, 9.00%, 2/1/2013 2,104,687 6,650,000 4 Cinemark, Inc., Sr. Disc. Note, 0/9.75%, 3/15/2014 4,605,125 3,950,000 Intrawest Corp., Company Guarantee, 10.50%, 2/1/2010 4,285,750 2,575,000 1,2 Intrawest Corp., Sr. Note, 7.50%, 10/15/2013 2,681,219 3,950,000 1,2 Loews Cineplex Entertainment Corp., Sr. Sub. Note, 9.00%, 8/1/2014 4,098,125 6,100,000 Universal City Development Partners Ltd., Sr. Note, 11.75%, 4/1/2010 7,137,000 Total 30,472,406 Environmental--1.8% 2,875,000 Allied Waste North America, Inc., Company Guarantee, Series B, 8.50%, 12/1/2008 3,133,750 3,800,000 Allied Waste North America, Inc., Company Guarantee, Series B, 9.25%, 9/1/2012 4,246,500 6,400,000 Allied Waste North America, Inc., Sr. Secd. Note, 6.125%, 2/15/2014 6,000,000 1,500,000 Browning-Ferris Industries, Inc., Deb., 9.25%, 5/1/2021 1,620,000 2,850,000 1,2 Clean Harbors, Inc., Sr. Secd. Note, 11.25%, 7/15/2012 3,021,000 2,475,000 Synagro Technologies, Inc., Sr. Sub. Note, 9.50%, 4/1/2009 2,660,625 Total 20,681,875 Financial Institutions--0.4% 2,675,000 Dollar Financial Group, Inc., Company Guarantee, 9.75%, 11/15/2011 2,848,875 1,275,000 1,2 Standard Aero Holdings, Inc., Sr. Sub. Note, 8.25%, 9/1/2014 1,326,000 ----------------------- ----------------------- Total 4,174,875 Food & Beverage--5.9% 1,144,000 Agrilink Foods, Inc., Company Guarantee, 11.875%, 11/1/2008 1,201,200 4,225,000 American Seafoods Group LLC, Company Guarantee, 10.125%, 4/15/2010 4,520,750 2,125,000 B&G Foods, Inc., Company Guarantee, Series D, 9.625%, 8/1/2007 2,180,250 2,300,000 Constellation Brands, Inc., Company Guarantee, Series B, 8.00%, 2/15/2008 2,544,375 1,000,000 Constellation Brands, Inc., Sr. Sub. Note, 8.125%, 1/15/2012 1,102,500 3,525,000 Cott Beverages, Inc., Company Guarantee, 8.00%, 12/15/2011 3,868,687 5,375,000 Del Monte Corp., Company Guarantee, Series B, 9.25%, 5/15/2011 5,939,375 1,950,000 Del Monte Corp., Sr. Sub. Note, 8.625%, 12/15/2012 2,179,125 1,650,000 Dole Food, Inc., Company Guarantee, 7.25%, 6/15/2010 1,711,875 4,200,000 Dole Food, Inc., Sr. Note, 8.625%, 5/1/2009 4,599,000 675,000 Dole Food, Inc., Sr. Note, 8.875%, 3/15/2011 737,437 2,550,000 Eagle Family Foods, Inc., Sr. Sub. Note, 8.75%, 1/15/2008 1,950,750 2,875,000 1,2 Gold Kist, Inc., Sr. Note, 10.25%, 3/15/2014 3,205,625 2,250,000 Michael Foods, Inc., Sr. Sub. Note, 8.00%, 11/15/2013 2,368,125 2,150,000 National Beef Packaging Co. LLC, Sr. Note, 10.50%, 8/1/2011 2,214,500 3,900,000 1,2 Pierre Foods, Inc., Sr. Sub. Note, 9.875%, 7/15/2012 4,036,500 1,525,000 Pilgrim's Pride Corp., Sr. Note, 9.625%, 9/15/2011 1,715,625 2,650,000 Pilgrim's Pride Corp., Sr. Sub. Note, 9.25%, 11/15/2013 2,928,250 2,700,000 Reddy Ice Group, Inc., Sr. Sub. Note, 8.875%, 8/1/2011 2,922,750 2,950,000 Smithfield Foods, Inc., Note, 7.75%, 5/15/2013 3,215,500 3,400,000 Smithfield Foods, Inc., Sr. Note, Series B, 8.00%, 10/15/2009 3,765,500 1,775,000 Smithfield Foods, Inc., Sr. Sub. Note, 7.625%, 2/15/2008 1,903,687 1,700,000 Swift & Co., Sr. Note, 10.125%, 10/1/2009 1,874,250 1,625,000 Swift & Co., Sr. Sub. Note, 12.50%, 1/1/2010 1,803,750 4,400,000 1,2,4 UAP Holding Corp., Sr. Disc. Note, 0/10.75%, 7/15/2012 3,388,000 950,000 1,2 United Agri Products, Inc., Sr. Note, 8.25%, 12/15/2011 1,030,750 Total 68,908,136 Gaming--6.4% 1,500,000 Boyd Gaming Corp., Sr. Sub. Note, 7.75%, 12/15/2012 1,616,250 2,875,000 Boyd Gaming Corp., Sr. Sub. Note, 8.75%, 4/15/2012 3,220,000 2,650,000 Harrah's Operations, Inc., Company Guarantee, 7.875%, 12/15/2005 2,805,687 2,250,000 Isle of Capri Casinos, Inc., Company Guarantee, 9.00%, 3/15/2012 2,508,750 1,550,000 Isle of Capri Casinos, Inc., Sr. Sub. Note, Series WI, 7.00%, 3/1/2014 1,565,500 1,500,000 MGM Grand, Inc., Sr. Note, 5.875%, 2/27/2014 1,451,250 2,000,000 MGM Grand, Inc., Sr. Note, 6.00%, 10/1/2009 2,037,500 5,100,000 MGM Grand, Inc., Sr. Note, 8.50%, 9/15/2010 5,820,375 1,850,000 MGM Grand, Inc., Sr. Sub. Note, 8.375%, 2/1/2011 2,051,187 3,525,000 MGM Grand, Inc., Sr. Sub. Note, 9.75%, 6/1/2007 3,934,781 3,375,000 MTR Gaming Group, Inc., Company Guarantee, Series B, 9.75%, 4/1/2010 3,695,625 2,125,000 Majestic Star Casino LLC, Company Guarantee, 9.50%, 10/15/2010 2,178,125 975,000 Mandalay Resort Group, Sr. Note, 9.50%, 8/1/2008 1,126,125 6,100,000 Mandalay Resort Group, Sr. Sub. Note, 10.25%, 8/1/2007 6,954,000 2,300,000 Mohegan Tribal Gaming Authority, Sr. Sub. Note, 6.375%, 7/15/2009 2,397,750 1,525,000 Mohegan Tribal Gaming Authority, Sr. Sub. Note, 8.00%, 4/1/2012 1,692,750 4,225,000 Park Place Entertainment Corp., Sr. Sub. Note, 7.875%, 3/15/2010 4,795,375 5,425,000 Park Place Entertainment Corp., Sr. Sub. Note, 8.125%, 5/15/2011 6,293,000 2,000,000 Penn National Gaming, Inc., Company Guarantee, 11.125%, 3/1/2008 2,170,000 1,775,000 Penn National Gaming, Inc., Company Guarantee, 8.875%, 3/15/2010 1,954,719 600,000 Station Casinos, Inc., Sr. Note, 6.00%, 4/1/2012 618,000 2,525,000 Station Casinos, Inc., Sr. Sub. Note, 6.50%, 2/1/2014 2,581,812 3,700,000 Sun International Hotels Ltd., Sr. Sub. Note, 8.875%, 8/15/2011 4,074,625 3,475,000 Venetian Casino/LV Sands, Company Guarantee, 11.00%, 6/15/2010 4,039,688 1,657,000 Wynn Las Vegas LLC, Second Mortgage Notes, 12.00%, 11/1/2010 2,079,535 Total 73,662,409 Healthcare--4.5% 4,450,000 AmeriPath, Inc., Company Guarantee, 10.50%, 4/1/2013 4,561,250 3,100,000 Ardent Health Services, Sr. Sub. Note, 10.00%, 8/15/2013 3,146,500 850,000 1,2 Concentra Operating Corp., Sr. Sub. Note, 9.125%, 6/1/2012 935,000 2,500,000 Concentra Operating Corp., Sr. Sub. Note, 9.50%, 8/15/2010 2,775,000 1,600,000 1,2 Fisher Scientific International, Inc., Sr. Sub. Note, 6.75%, 8/15/2014 1,688,000 3,750,000 Fisher Scientific International, Inc., Sr. Sub. Note, 8.00%, 9/1/2013 4,218,750 6,800,000 HCA - The Healthcare Corp., Note, 8.75%, 9/1/2010 7,980,269 4,850,000 HCA - The Healthcare Corp., Sr. Note, 7.875%, 2/1/2011 5,491,863 2,500,000 HCA Inc., Sr. Note, 6.75%, 7/15/2013 2,662,170 1,850,000 Hanger Orthopedic Group, Inc., Company Guarantee, 10.375%, 2/15/2009 1,711,250 2,241,172 Magellan Health Services, Inc., Sr. Note, Series A, 9.375%, 11/15/2008 2,437,274 1,849,000 Manor Care, Inc., Sr. Note, 8.00%, 3/1/2008 2,084,322 3,275,000 1,2 Medical Device Manufacturing, Inc., Sr. Sub. Note, 10.00%, 7/15/2012 3,487,875 2,125,000 Sybron Dental Specialties, Inc., Company Guarantee, 8.125%, 6/15/2012 2,310,938 2,100,000 1,2 Tenet Healthcare Corp., Note, 9.875%, 7/1/2014 2,205,000 1,025,000 1,2 VWR International, Inc., Sr. Sub. Note, 8.00%, 4/15/2014 1,089,063 2,825,000 1,2 Vanguard Health Holdings II, Sr. Sub. Note, 9.00%, 10/1/2014 2,846,188 Total 51,630,712 Industrial - Other--4.8% 2,250,000 Aearo Co. I, Sr. Sub. Note, 8.25%, 4/15/2012 2,306,250 4,200,000 1,2 Amsted Industries, Inc., Sr. Note, 10.25%, 10/15/2011 4,641,000 3,675,000 Brand Services, Inc., Company Guarantee, 12.00%, 10/15/2012 4,189,500 1,775,000 1,2 Coleman Cable, Inc., Sr. Note, 9.875%, 10/1/2012 1,812,719 6,150,000 Eagle Picher Industries, Inc., Sr. Note, 9.75%, 9/1/2013 6,303,750 1,600,000 Foamex LP, Company Guarantee, 10.75%, 4/1/2009 1,512,000 1,525,000 Foamex LP, Sr. Sub. Note, 9.875%, 6/15/2007 1,151,375 3,275,000 Interline Brands, Inc., Sr. Sub. Note, 11.50%, 5/15/2011 3,651,625 2,475,000 1,2 Mueller Group, Inc., Sr. Sub. Note, 10.00%, 5/1/2012 2,685,375 2,703,900 1,2 Neenah Corp., Sr. Sub. Note, 13.00%, 9/30/2013 2,798,536 3,545,000 1,2 Neenah Corp., Sr. Secd. Note, 11.00%, 9/30/2010 3,890,637 4,200,000 Norcross Safety Products, Sr. Sub. Note, Series B, 9.875%, 8/15/2011 4,578,000 3,525,000 Rexnord Corp., Company Guarantee, 10.125%, 12/15/2012 4,000,875 3,550,000 Sensus Metering Systems, Inc., Sr. Sub. Note, 8.625%, 12/15/2013 3,638,750 3,525,000 1,2 Superior Essex Communications LLC, Sr. Note, 9.00%, 4/15/2012 3,542,625 1,950,000 Thermadyne Holdings Corp., Sr. Secd. Note, 9.25%, 2/1/2014 1,906,125 1,350,000 1,2 Valmont Industries, Inc., Sr. Sub. Note, 6.875%, 5/1/2014 1,397,250 1,350,000 WESCO Distribution, Inc., Company Guarantee, 9.125%, 6/1/2008 1,398,938 725,000 WESCO Distribution, Inc., Sr. Sub. Note, 9.125%, 6/1/2008 751,281 Total 56,156,611 Lodging--2.3% 2,325,000 Courtyard by Marriott II LP, Sr. Note, 10.75%, 2/1/2008 2,348,250 1,093,000 HMH Properties, Inc., Sr. Note, Series B, 7.875%, 8/1/2008 1,129,889 2,700,000 Hilton Hotels Corp., Note, 7.625%, 5/15/2008 3,037,500 3,200,000 Hilton Hotels Corp., Sr. Note, 8.25%, 2/15/2011 3,796,000 3,100,000 Host Marriott LP, Unsecd. Note, 7.125%, 11/1/2013 3,270,500 1,300,000 ITT Corp., Unsecd. Note, 6.75%, 11/15/2005. 1,352,000 2,575,000 Lodgenet Entertainment, Sr. Sub. Note, 9.50%, 6/15/2013 2,819,625 1,925,000 Royal Caribbean Cruises Ltd., Sr. Note, 8.00%, 5/15/2010 2,177,656 2,700,000 Starwood Hotels & Resorts Worldwide, Inc., Company Guarantee, 7.875%, 5/1/2012 3,067,875 2,975,000 Starwood Hotels & Resorts Worldwide, Inc., Note, 7.375%, 5/1/2007 3,220,437 Total 26,219,732 Media - Cable--2.8% 4,150,000 CSC Holdings, Inc., Sr. Deb., 8.125%, 8/15/2009 4,430,125 1,775,000 1,2 CSC Holdings, Inc., Sr. Note, 6.75%, 4/15/2012 1,788,312 2,910,000 CSC Holdings, Inc., Sr. Note, 7.875%, 12/15/2007 3,102,787 3,550,000 1,2 Cablevision Systems Corp., Sr. Note, 8.00%, 4/15/2012 3,727,500 9,000,000 4 Charter Communications Holdings Capital Corp., Sr. Disc. Note, 0/12.125%, 1/15/2012 5,085,000 5,900,000 Charter Communications Holdings II, Sr. Note, 10.25%, 9/15/2010 6,054,875 6,475,000 1,2 Kabel Deutschland GMBH, Sr. Note, 10.625%, 7/1/2014 7,090,125 1,400,000 Rogers Cablesystems Ltd., Sr. Sub. Gtd. Note, 11.00%, 12/1/2015 1,575,000 Total 32,853,724 Media - Non-Cable--9.9% 4,150,000 Advanstar Communications, Company Guarantee, Series B, 12.00%, 2/15/2011 4,461,250 1,700,000 Advanstar Communications, Sr. Secd. Note, 10.75%, 8/15/2010 1,891,250 2,100,000 4 Advanstar, Inc., Company Guarantee, Series B, 0/15.00%, 10/15/2011 1,795,500 2,200,000 Affinity Group, Inc., Sr. Sub. Note, 9.00%, 2/15/2012 2,365,000 2,700,000 American Media Operations, Inc., Company Guarantee, Series B, 10.25%, 5/1/2009 2,855,250 1,850,000 American Media Operations, Inc., Sr. Sub. Note, 8.875%, 1/15/2011 1,928,625 3,175,000 Block Communications, Inc., Company Guarantee, 9.25%, 4/15/2009 3,373,437 1,275,000 1,2 Cadmus Communications Corp., Sr. Sub. Note, 8.375%, 6/15/2014 1,380,187 4,675,000 DIRECTV Holdings LLC, Sr. Note, 8.375%, 3/15/2013 5,341,187 4,371,000 Dex Media East LLC, Company Guarantee, 12.125%, 11/15/2012 5,463,750 6,739,000 Dex Media West LLC, Sr. Sub. Note, Series B, 9.875%, 8/15/2013 7,952,020 4,125,000 4 Dex Media, Inc., Discount Bond, 0/9.00%, 11/15/2013 3,042,187 3,800,000 Echostar DBS Corp., Sr. Note, 10.375%, 10/1/2007 4,006,644 1,000,000 Echostar DBS Corp., Sr. Note, 5.75%, 10/1/2008 1,010,000 6,100,000 1,2 Echostar DBS Corp., Sr. Note, 6.625%, 10/1/2014 6,092,375 1,025,000 1,2 Fisher Communications, Inc., Sr. Note, 8.625%, 9/15/2014 1,071,125 2,150,000 4 Houghton Mifflin Co., Sr. Disc. Note, 0/11.50%, 10/15/2013 1,311,500 2,350,000 Lamar Media Corp., Sr. Sub. Note, 7.25%, 1/1/2013 2,538,000 2,275,000 Liberty Group Ltd., Sr. Sub. Note, 9.375%, 2/1/2008 2,303,437 2,750,000 4 NBC Acqusition Corp., Sr. Disc. Note, 0/11.00%, 3/15/2013 1,883,750 2,050,000 Nebraska Book Co., Inc., Sr. Sub. Note, 8.625%, 3/15/2012 2,050,000 3,800,000 1,2 PanAmSat Corp., Sr. Note, 9.00%, 8/15/2014 3,971,000 6,200,000 1,2,4 PanAmSat Holding Corp., Sr. Disc. Note, 0/10.375%, 11/1/2014 3,650,250 1,350,000 Primedia, Inc., Sr. Note, 8.875%, 5/15/2011 1,356,750 2,300,000 4 Quebecor Media Inc., Sr. Disc. Note, 0/13.75%, 7/15/2011 2,231,000 2,950,000 Quebecor Media Inc., Sr. Note, 11.125%, 7/15/2011 3,422,000 3,600,000 1,2 R. H. Donnelly Finance Corp., Sr. Sub. Note, 10.875%, 12/15/2012 4,383,000 3,450,000 1,2 Rainbow National Services LLC, Sr. Sub. Note, 10.375%, 9/1/2014 3,631,125 1,100,000 Readers Digest Association, Inc., Sr. Note, Series 144A, 6.50%, 3/1/2011 1,138,500 4,425,000 Sinclair Broadcast Group, Inc., Company Guarantee, 8.75%, 12/15/2011 4,823,250 1,075,000 Sinclair Broadcast Group, Inc., Sr. Sub. Note, 8.00%, 3/15/2012 1,120,687 2,100,000 Sun Media Corp., Company Guarantee, 7.625%, 2/15/2013 2,257,500 8,075,000 Vertis, Inc., Sr. Note, Series B, 10.875%, 6/15/2009 8,721,000 675,000 Vertis, Inc., Sr. Secd. 2nd Priority Note, 9.75%, 4/1/2009 729,000 2,685,597 4 XM Satellite Radio, Inc., Sec. Fac. Bond, 0/14.00%, 12/31/2009 2,672,169 1,802,000 XM Satellite Radio, Inc., Sr. Secd. Note, 12.00%, 6/15/2010 2,117,350 2,681,000 4 Yell Finance BV, Sr. Disc. Note, 0/13.50%, 8/1/2011 2,640,785 1,365,000 Yell Finance BV, Sr. Note, 10.75%, 8/1/2011 1,590,225 413,537 Ziff Davis Media, Inc., Company Guarantee, Series , 12.00%, 8/12/2009 403,199 Total 114,975,264 Metals & Mining--1.5% 2,400,000 California Steel Industries, Inc., Sr. Note, 6.125%, 3/15/2014 2,352,000 975,000 Commonwealth Aluminum Corp., Sr. Sub. Note, 10.75%, 10/1/2006 982,312 3,425,000 Imco Recycling, Inc., Sr. Secd. Note, 10.375%, 10/15/2010 3,784,625 2,050,000 Ispat Inland ULC, Sr. Secd. Note, 9.75%, 4/1/2014 2,270,375 2,000,000 3 Republic Technologies International, Inc., Company Guarantee, 13.75%, 7/15/2009 0 2,675,000 Ryerson Tull, Inc., Sr. Note, 9.125%, 7/15/2006 2,835,500 2,881,000 United States Steel Corp., Sr. Note, 9.75%, 5/15/2010 3,313,150 2,275,000 1,2 Wise Metals Group LLC, Sr. Secd. Note, 10.25%, 5/15/2012 2,297,750 Total 17,835,712 Packaging--3.2% 3,775,000 Berry Plastics Corp., Company Guarantee, 10.75%, 7/15/2012 4,284,625 3,250,000 Graham Packaging Co., Sr. Sub. Note, 8.75%, 1/15/2008 3,359,687 2,225,000 Graham Packaging Co., Sub. Note, 5.485%, 1/15/2008 2,233,344 1,575,000 1,2 Graham Packaging Co., Sub. Note, 8.50%, 10/15/2012 1,614,375 2,400,000 Greif Brothers Corp., Sr. Sub. Note, 8.875%, 8/1/2012 2,688,000 3,400,000 Huntsman Packaging Corp., Company Guarantee, 13.00%, 6/1/2010 2,941,000 2,500,000 Owens-Brockway Glass Container, Inc., Company Guarantee, 7.75%, 5/15/2011 2,675,000 1,800,000 Owens-Brockway Glass Container, Inc., Company Guarantee, 8.25%, 5/15/2013 1,926,000 2,550,000 Owens-Illinois, Inc., Sr. Note, 7.15%, 5/15/2005 2,601,000 1,600,000 Owens-Illinois, Inc., Sr. Note, 7.35%, 5/15/2008 1,658,000 5,250,000 Owens-Illinois, Inc., Sr. Note, 8.10%, 5/15/2007 5,538,750 650,000 Pliant Corp., Sr. Secd. Note, 11.125%, 9/1/2009 679,250 1,550,000 Pliant Corp., Sr. Sub. Note, 13.00%, 6/1/2010 1,340,750 487,059 1,2,3 Russell Stanley Holdings, Inc., Sr. Sub. Note, 9.00%, 11/30/2008 0 3,550,000 Tekni-Plex, Inc., Company Guarantee, Series B, 12.75%, 6/15/2010 2,982,000 Total 36,521,781 Paper--3.7% 350,000 Boise Cascade Corp., Sr. Note, 6.50%, 11/1/2010 392,000 725,000 Boise Cascade Corp., Sr. Note, 7.00%, 11/1/2013 846,437 4,725,000 Georgia-Pacific Corp., Note, 7.50%, 5/15/2006 5,020,312 6,150,000 Georgia-Pacific Corp., Sr. Note, 8.125%, 5/15/2011 7,134,000 5,600,000 Georgia-Pacific Corp., Sr. Note, 9.375%, 2/1/2013 6,622,000 2,900,000 Graphic Packaging International Corp., Sr. Sub. Note, 9.50%, 8/15/2013 3,327,750 3,000,000 Jefferson Smurfit Corp., Company Guarantee, 8.25%, 10/1/2012 3,322,500 3,550,000 MDP Acquisitions PLC, 9.625%, 10/1/2012 4,029,250 3,303,141 MDP Acquisitions PLC, Sub. Note, 15.50%, 10/1/2013 3,848,159 1,550,000 Riverside Forest Products Ltd., Sr. Note, 7.875%, 3/1/2014 1,650,750 3,675,000 Stone Container Corp., Sr. Note, 9.75%, 2/1/2011 4,088,437 2,625,000 Tembec Industries, Inc., 8.50%, 2/1/2011 2,756,250 Total 43,037,845 Restaurants--0.4% 825,000 Buffets, Inc., Sr. Sub. Note, 11.25%, 7/15/2010 878,625 3,275,000 Carrols Corp., Company Guarantee, 9.50%, 12/1/2008 3,373,250 766,000 Domino's, Inc., Sr. Sub. Note, 8.25%, 7/1/2011 833,025 Total 5,084,900 Retailers--3.9% 425,000 Community Distributors, Inc., Sr. Note, 10.25%, 10/15/2004 394,187 3,350,000 Couche-Tard Financing Corp., Sr. Sub. Note, 7.50%, 12/15/2013 3,584,500 2,475,000 FTD, Inc., Sr. Sub. Note, 7.75%, 2/15/2014 2,481,187 1,725,000 1,2 Finlay Fine Jewelry Corp., Sr. Note, 8.375%, 6/1/2012 1,863,000 1,100,000 General Nutrition Center, Sr. Sub. Note, 8.50%, 12/1/2010 1,130,250 2,150,000 Hines Nurseries, Inc., Company Guarantee, 10.25%, 10/1/2011 2,289,750 5,125,000 1,2 Jean Coutu Group (PLC), Inc., Sr. Sub. Note, 8.50%, 8/1/2014 5,112,187 2,825,000 1,2 Lazy Days' R.V. Center, Inc., Sr. Note, 11.75%, 5/15/2012 2,980,375 2,225,000 Michaels Stores, Inc., Sr. Note, 9.25%, 7/1/2009 2,425,250 4,175,000 PCA International, Inc., Sr. Note, 11.875%, 8/1/2009 4,488,125 1,800,000 Penney (J.C.) Co., Inc., Note, 7.60%, 4/1/2007 1,973,250 6,176,000 Penney (J.C.) Co., Inc., Note, 9.00%, 8/1/2012 7,534,720 1,375,000 Rite Aid Corp., Sr. Deb., 6.875%, 8/15/2013 1,210,000 2,150,000 Rite Aid Corp., Sr. Secd. Note, 8.125%, 5/1/2010 2,268,250 2,550,000 Rite Aid Corp., Sr. Secd. Note, 9.50%, 2/15/2011 2,817,750 2,600,000 United Auto Group, Inc., Company Guarantee, 9.625%, 3/15/2012 2,879,500 Total 45,432,281 Services--1.1% 1,007,000 CB Richard Ellis Services, Sr. Note, 9.75%, 5/15/2010 1,145,462 3,450,000 1,2 Global Cash Access LLC, Sr. Sub. Note, 8.75%, 3/15/2012 3,674,250 1,025,000 1,2,4 Language Line, Inc., Sr. Disc. Note, 0/14.125%, 6/15/2013 553,500 1,025,000 1,2 Language Line, Inc., Sr. Sub. Note, 11.125%, 6/15/2012 1,055,750 2,750,000 SITEL Corp., Sr. Sub. Note, 9.25%, 3/15/2006 2,763,750 3,050,000 The Brickman Group Ltd., Sr. Sub. Note, Series B, 11.75%, 12/15/2009 3,538,000 Total 12,730,712 Technology--3.5% 1,560,000 AMI Semiconductor, Inc., Sr. Sub. Note, 10.75%, 2/1/2013 1,825,200 3,475,000 Activant Solutions, Inc., Sr. Note, 10.50%, 6/15/2011 3,596,625 2,200,000 Da-Lite Screen Co., Inc., Sr. Note, 9.50%, 5/15/2011 2,332,000 2,100,000 Danka Business Systems PLC, Sr. Note, 11.00%, 6/15/2010 2,215,500 2,475,000 1,2 Freescale Semiconductor, Inc., Sr. Note, 7.125%, 7/15/2014 2,586,375 3,875,000 Ingram Micro, Inc., Sr. Sub. Note, 9.875%, 8/15/2008 4,257,656 2,800,000 Seagate Technology HDD Holdings, Sr. Note, 8.00%, 5/15/2009 2,996,000 2,075,000 Telex Communications, Inc., Sr. Secd. Note, 11.50%, 10/15/2008 2,251,375 5,300,000 1,2 UGS Corp., Sr. Sub. Note, 10.00%, 6/1/2012 5,803,500 1,175,000 Unisys Corp., Sr. Note, 6.875%, 3/15/2010 1,230,813 4,050,000 Xerox Corp., Sr. Note, 7.625%, 6/15/2013 4,394,250 6,200,000 Xerox Corp., Sr. Note, 9.75%, 1/15/2009 7,254,000 Total 40,743,294 Textile--0.9% 2,650,000 GFSI, Inc., Sr. Sub. Note, 9.625%, 3/1/2007 2,577,125 1,550,000 Phillips Van Heusen Corp., Sr. Note, 8.125%, 5/1/2013 1,666,250 3,400,000 Warnaco Group, Inc., Sr. Note, 8.875%, 6/15/2013 3,799,500 2,145,000 William Carter Co., Sr. Sub. Note, Series B, 10.875%, 8/15/2011 2,418,487 Total 10,461,362 Tobacco--0.6% 3,225,000 1,2 Commonwealth Brands, Inc., Sr. Sub. Secd. Note, 10.625%, 9/1/2008 3,370,125 1,800,000 Dimon, Inc., Sr. Note, 7.75%, 6/1/2013 1,764,000 1,075,000 Dimon, Inc., Sr. Note, Series B, 9.625%, 10/15/2011 1,139,500 1,100,000 1,2 Standard Commercial Corp., Sr. Note, 8.00%, 4/15/2012 1,133,000 Total 7,406,625 Transportation--0.9% 2,300,000 Allied Holdings, Inc., Sr. Note, 8.625%, 10/1/2007 1,805,500 1,025,000 3 AmeriTruck Distribution Corp., Sr. Sub. Note, 12.25%, 11/15/2005 0 2,175,000 Petro Stopping Centers, Sr. Secd. Note, 9.00%, 2/15/2012 2,316,375 600,000 Stena AB, Sr. Note, 7.50%, 11/1/2013 603,750 4,650,000 Stena AB, Sr. Note, 9.625%, 12/1/2012 5,213,812 1,050,000 3 The Holt Group, Inc., Company Guarantee, 9.75%, 1/15/2006 0 Total 9,939,437 Utility - Electric--3.5% 3,850,000 CMS Energy Corp., Sr. Note, 8.50%, 4/15/2011 4,215,750 4,097,531 Caithness Coso Funding Corp., Sr. Secd. Note, Series B, 9.05%, 12/15/2009 4,527,771 2,250,000 Calpine Canada Energy Finance Corp., Company Guarantee, 8.50%, 5/1/2008 1,563,750 3,900,000 Calpine Corp., Note, 8.50%, 2/15/2011 2,515,500 5,025,000 Illinois Power Co., 1st Mtg. Bond, 11.50%, 12/15/2010 5,979,750 2,900,000 1,2 NRG Energy, Inc., Sr. Secd. Note, 8.00%, 12/15/2013 3,121,125 350,000 1,2 Nevada Power Co., 6.50%, 4/15/2012 363,125 5,350,000 Nevada Power Co., Second Mortgage Notes, 9.00%, 8/15/2013 6,179,250 4,225,000 PSEG Energy Holdings, Sr. Note, 10.00%, 10/1/2009 5,017,187 2,700,000 PSEG Energy Holdings, Sr. Note, 8.625%, 2/15/2008 2,990,250 1,850,000 Reliant Resources, Inc., Sr. Secd. Note, 9.25%, 7/15/2010 1,995,687 2,175,000 Reliant Resources, Inc., Sr. Secd. Note, 9.50%, 7/15/2013 2,373,469 Total 40,842,614 Utility - Natural Gas--3.9% 750,000 ANR Pipeline Co., Sr. Note, 8.875%, 3/15/2010 847,500 800,000 El Paso Corp., 6.75%, 5/15/2009 800,000 4,725,000 El Paso Corp., Note, 6.95%, 12/15/2007 4,772,250 8,150,000 El Paso Corp., Sr. Note, 7.80%, 8/1/2031 7,192,375 5,125,000 El Paso Corp., Sr. Note, 8.05%, 10/15/2030 4,599,687 4,250,000 El Paso Production Holding Co., Company Guarantee, 7.75%, 6/1/2013 4,281,875 2,000,000 Ferrellgas Escrow LLC, Sr. Note, 6.75%, 5/1/2014 2,050,000 2,250,000 1,2 Pacific Energy Partners LP, Sr. Note, 7.125%, 6/15/2014 2,446,875 1,750,000 Semco Energy, Inc., Sr. Note, 7.125%, 5/15/2008 1,855,000 2,225,000 Tennessee Gas Pipeline, Bond, 8.375%, 6/15/2032 2,391,875 1,100,000 Tennessee Gas Pipeline, Sr. Deb., 7.50%, 4/1/2017 1,146,750 275,000 Transcontinental Gas Pipe Corp., Note, 7.00%, 8/15/2011 304,563 2,700,000 Transcontinental Gas Pipe Corp., Sr. Note, 8.875%, 7/15/2012 3,297,375 4,775,000 Williams Cos., Inc., Note, 7.625%, 7/15/2019 5,252,500 3,425,000 Williams Cos., Inc., Note, 7.875%, 9/1/2021 3,818,875 Total 45,057,500 Wireless Communications--2.3% 2,925,000 American Cellular Corp., Sr. Note, Series B, 10.00%, 8/1/2011 2,383,875 550,000 1,2 Inmarsat Finance PLC, Sr. Note, 7.625%, 6/30/2012 548,625 7,675,000 NEXTEL Communications, Inc., Sr. Note, 7.375%, 8/1/2015 8,289,000 5,225,000 NEXTEL Communications, Inc., Sr. Note, 9.375%, 11/15/2009 5,558,094 2,000,000 Nextel Partners, Inc., Sr. Note, 12.50%, 11/15/2009 2,320,000 1,200,000 Nextel Partners, Inc., Sr. Note, 8.125%, 7/1/2011 1,278,000 3,200,000 Rogers Wireless, Inc., 6.375%, 3/1/2014 2,960,000 2,725,000 US Unwired, Inc., Sr. Secd. Note, 10.00%, 6/15/2012 2,840,813 Total 26,178,407 Wireline Communications--4.3% 8,075,000 AT&T Corp., Sr. Note, 8.75%, 11/15/2031 8,842,125 3,250,000 Alaska Communications Systems Holdings, Inc., Sr. Note, 9.875%, 8/15/2011 3,152,500 3,750,000 Cincinnati Bell, Inc., Company Guarantee, 7.25%, 7/15/2013 3,628,125 2,875,000 Cincinnati Bell, Inc., Sr. Sub. Note, 8.375%, 1/15/2014 2,637,813 2,200,000 Eircom Funding, Sr. Sub. Note, 8.25%, 8/15/2013 2,420,000 2,725,000 Primus Telecommunications Holding, Inc., Sr. Note, 8.00%, 1/15/2014 2,030,125 1,550,000 Qwest Capital Funding, Company Guarantee, 7.25%, 2/15/2011 1,391,125 1,000,000 Qwest Corp., Note, 6.125%, 11/15/2005 1,026,250 11,275,000 1,2 Qwest Corp., Note, 9.125%, 3/15/2012 12,458,875 10,575,000 1,2 Qwest Services Corp., Sr. Sub. Note, 14.00%, 12/15/2010 12,399,187 Total 49,986,125 Total Corporate Bonds (identified cost $1,063,280,779) 1,123,807,450 Common Stocks & warrants3--0.3% Chemicals--0.0% 703 General Chemical Industrial Products, Inc. 130,919 302 General Chemical Industrial Products, Inc., Warrants 0 407 General Chemical Industrial Products, Inc., Warrants 0 Total 130,919 Consumer Products--0.0% 1,003 1 Sleepmaster LLC 283,398 Diversified Manufacturing--0.1% 31,284 Simonds Industries, Inc. 593,768 Industrial - Other--0.1% 458,151 1,2 ACP Holdings Corp., Warrants 675,773 Media - Cable--0.1% 11,970 NTL, Inc. 742,978 Media - Non-Cable--0.0% 1,000 Advanstar, Inc., Warrants 20 1,800 XM Satellite Radio, Inc., Warrants 116,100 19,800 Ziff Davis Media, Inc., Warrants 9,900 Total 126,020 Metals & Mining--0.0% 2,000 Republic Technologies International, Inc., Warrants 20 57,533 Royal Oak Mines, Inc. 805 Total 825 Other--0.0% 170 1 CVC Claims Litigation LLC 0 Packaging--0.0% 1,000 Pliant Corp., Warrants 10 57,000 1,3 Russell Stanley Holdings, Inc. 0 Total 10 Paper--0.0% 1,600 1,2 MDP Acquisitions PLC, Warrants 66,400 Wireline Communications--0.0% 68,141 McLeodUSA, Inc., Warrants 7,495 17,646 Viatel Holding (Bermuda) Ltd. 10,588 Total 18,083 Total Common Stocks & warrants (identified cost $11,922,937) 2,638,174 Preferred Stocks--0.6% Media - Non-Cable--0.3% 39,650 Primedia, Inc., Exchangeable Pfd. Stock, Series G, $8.62, Annual Dividend 3,310,775 4,225 Primedia, Inc., Pfd., $9.20, Annual Dividend 367,575 108 Ziff Davis Media, Inc., PIK Pfd., Series E-1 56,430 Total 3,734,780 Retailers--0.3% 3,125 1,2 General Nutrition Centers Holding Co., Exchangeable Pfd. Stock, Series A 3,320,312 Wireline Communications--0.0% 30,751 McLeodUSA, Inc., Conv. Pfd., Series A 76,877 Total Preferred Stocks (identified cost $14,216,760) 7,131,969 Repurchase Agreement--2.1% $ 24,654,000 Interest in $1,800,000,000 joint repurchase agreement with Wachovia Securities, Inc., 1.910%, dated 9/30/2004, to be repurchased at $24,655,308 on 10/1/2004, collateralized by U.S. Government Agency Obligations with various maturities to 3/1/2034, collateral market value $1,836,004,918 (at amortized cost) 24,654,000 Total Investments---99.9% (identified cost $1,114,074,476)5 1,158,231,593 other assets and liabilities---net---0.1% 1,109,329 Total net assets---100% $ 1,159,340,922
1 Denotes a restricted security, including securities purchased under Rule 144A of the Securities Act of 1933. These securities, unless registered under the Act or exempted from registration, may only be sold to qualified institutional investors. At September 30, 2004, these securities amounted to $231,870,502 which represents 20.0% of total net assets. Additional information on restricted securities, excluding securities purchased under Rule 144A that have been deemed liquid by the Board of Trustees, for each security held at September 30, 2004 is as follows: Security Acquisition Date(s) Acquisition Cost CVC Claims Litigation LLC 3/26/1997-5/20/1998 $1,676,091 Russell Stanley Holdings, Inc 11/15/2001-8/15/2004 $2,935,635 Sleepmaster LLC 05/12/99-12/13/99 $926,114 2 Denotes a restricted security, including securities purchased under Rule 144A that have been deemed liquid by criteria approved by the Fund's Board of Trustees. At September 30, 2004, these securities amounted to $231,587,094 which represents 20.0% of total net assets. 3 Non-income producing security. 4 Denotes a Zero Coupon bond with effective rate at time of purchase. 5 The cost of investments for federal tax purposes amounts to $1,114,672,036. The net unrealized appreciation of investments for federal tax purposes was $43,559,557. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $427,563,561 and net unrealized depreciation from investments for those securities having an excess of cost over value of $$384,004,004. Note: The categories of investments are shown as a percentage of total net assets at September 30, 2004. The following acronyms are used throughout this portfolio: PIK --Payment in Kind Item 2. Controls and Procedures (a) The registrant's Principal Executive Officer and Principal Financial Officer have concluded that the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-Q. (b) There were no changes in the registrant's internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 3. Exhibits SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Registrant Federated Core Trust By /S/ Richard J. Thomas, Principal Financial Officer (insert name and title) Date November 24, 2004 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/ John B. Fisher, Principal Executive Officer Date November 24, 2004 By /S/ Richard J. Thomas, Principal Financial Officer Date November 24, 2004