N-Q/A 1 dnqa.htm AMENDMENT TO FORM N-Q Amendment to Form N-Q

 

 

United States

Securities and Exchange Commission

Washington, D.C. 20549

 

 

Amended

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

4000 Ericsson Drive

Warrendale, PA 15086-7561

(Address of Principal Executive Offices)

(412) 288-1900

(Registrant’s Telephone Number)

John W. McGonigle, Esquire

Federated Investors Tower

1001 Liberty Avenue

Pittsburgh, Pennsylvania 15222-3779

(Name and Address of Agent for Service)

(Notices should be sent to the Agent for Service)

Date of Fiscal Year End: 8/31/10

Date of Reporting Period: Quarter ended 11/30/09

 

 

 


Item 1. Schedule of Investments


Federated Duration Plus Core Fund

Portfolio of Investments

November 30, 2009 (unaudited)

Principal
Amount
or Shares
Value
Asset-Backed Securities – 27.9%
$110,000 Bank of America Credit Card Trust Series 2008-A5, Class A5, 1.439%, 12/16/2013 $110,359
87,000 Bank One Issuance Trust 2004-A7, Class A, 0.359%, 5/15/2014 86,321
100,000 MBNA Credit Card Master Note Trust Series 2004-A2, Class A2, 0.389%, 7/15/2013 99,293
TOTAL ASSET-BACKED SECURITIES
(IDENTIFIED COST $291,025)
295,973
Collateralized Mortgage Obligations – 21.2%
Federal Home Loan Mortgage Corporation – 1.1%
11,679 0.589%, 12/15/2016, REMIC 2551 CF 11,694
Federal National Mortgage Association – 20.1%
87,852 0.736%, 6/25/2032, REMIC 2002-36 FS 87,703
125,865 0.636%, 1/25/2030, REMIC 2003-123 NF 125,935
TOTAL 213,638
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $223,530)
225,332
FDIC GUARANTEED DEBT – 16.4%
Consumer Cyclical — Retailers – 2.3%
25,000 CVS Caremark Corp., Floating Rate Note, 0.661%, 6/1/2010 25,016
Financial Institutional — Banking – 4.7%
50,000 J.P. Morgan Chase & Co., Floating Rate Note, 0.383%, 5/16/2011 49,901
Financial Institution — Finance Noncaptive – 4.7%
50,000 General Electric Capital Corp., Floating Rate Note, 0.332%, 1/26/2011 49,600
Financial Institution — Insurance — Health – 4.7%
50,000 UnitedHealth Group, Inc., Floating Rate Note, 0.472%, 6/21/2010 49,938
TOTAL FDIC GUARANTEED DEBT
(IDENTIFIED COST $172,088)
174,455
U.S. Treasury – 2.1%
U.S. Treasury Notes – 2.1%
21,761 U.S. Treasury Inflation Protected Note, 2.375%, 4/15/2011
(IDENTIFIED COST $22,464)
22,546
Mutual Funds – 31.3%;1
10,157 Federated Project and Trade Finance Core Fund 100,759
15,148 High Yield Bond Portfolio 93,160
138,359 2 Prime Value Obligations Fund, Institutional Shares, 0.22% 138,359
TOTAL MUTUAL FUNDS
(IDENTIFIED COST $324,822)
332,278
TOTAL INVESTMENTS — 98.9%
(IDENTIFIED COST $1,033,929)3
1,050,584
OTHER ASSETS AND LIABILITIES - NET — 1.1%4 11,797
TOTAL NET ASSETS — 100% $1,062,381

At November 30, 2009, the Fund had outstanding futures contracts as follows:
Description Number of
Contracts
Notional Value Expiration Date Unrealized
Appreciation
5U.S.Treasury Notes 10-Year Long Futures 8 $959,500 March 2010 $ 14,686

Unrealized Appreciation on Futures Contracts is included in “Other Assets and Liabilities — Net.”

1 Affiliated companies.
2 7-Day net yield.
3 At November 30, 2009, the cost of investments for federal tax purposes was $1,033,929. The net unrealized appreciation of investments for federal tax purposes excluding any unrealized appreciation resulting from futures contracts was $16,655. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $16,655.
4 Assets, other than investments in securities, less liabilities.
5 Non-income producing securities.

Note: The categories of investments are shown as a percentage of total net assets at November 30, 2009.

Investment Valuation

In calculating its net asset value (NAV), the Fund generally values investments as follows:

  • Fixed-income securities acquired with remaining maturities greater than 60 days are fair valued using price evaluations provided by a pricing service approved by the Board of Trustees (the “Trustees”).
  • Fixed-income securities acquired with remaining maturities of 60 days or less are valued at their cost (adjusted for the accretion of any discount or amortization of any premium).
  • Shares of other mutual funds are valued based upon their reported NAVs.
  • Derivative contracts listed on exchanges are valued at their reported settlement or closing price.
  • Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees.

If the Fund cannot obtain a price or price evaluation from a pricing service for an investment, the Fund may attempt to value the investment based upon the mean of bid and asked quotations or fair value the investment based on price evaluations, from one or more dealers. If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could purchase or sell an investment at the price used to calculate the Fund's NAV.

Fair Valuation and Significant Events Procedures

The Trustees have authorized the use of pricing services to provide evaluations of the current fair value of certain investments for purposes of calculating the NAV.

Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers, and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for other types of fixed-income securities and OTC derivative contracts.

In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Trustees.

The Trustees also have adopted procedures requiring an investment to be priced at its fair value whenever the Adviser determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:

  • With respect to price evaluations of fixed-income securities determined before the close of regular trading on the NYSE, actions by the Federal Reserve Open Market Committee and other significant trends in U.S. fixed-income markets;
  • Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; and
  • Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry.

The Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Fund will determine the fair value of the investment using another method approved by the Trustees.

1

Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:

Level 1 — quoted prices in active markets for identical securities

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 — significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of November 30, 2009, in valuing the Fund's assets carried at fair value:

Valuation Inputs
Level 1 - 
Quoted
Prices and
Investments in
Mutual Funds
Level 2 - 
Other
Significant
Observable
Inputs
Level 3 - 
Significant
Unobservable
Inputs
Total
Debt Securities:
Asset-Backed Securities $ —  $295,973 $ —  $295,973
Collateral Mortgage Obligations  —  225,332  —  225,332
FDIC Guaranteed Debt  —  174,455  —  174,455
U.S. Treasury  —  22,546  —  22,546
Mutual Funds 332,278  —   —  332,278
TOTAL SECURITIES $332,278 $718,306 $ —  $1,050,584
OTHER FINANCIAL INSTRUMENTS* $14,686 $ —  $ —  $14,686
* Other financial instruments include futures contracts.

The following acronym is used throughout this portfolio:

REMIC — Real Estate Mortgage Investment Conduit

2


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 A. NOVAK        

  Richard A. Novak
  Principal Financial Officer

Date June 22, 2010

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        

  John B. Fisher
  Principal Executive Officer
Date June 22, 2010
By  

/S/    RICHARD A. NOVAK        

  Richard A. Novak
  Principal Financial Officer
Date June 22, 2010