N-Q 1 fctnqform.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: 12/31/05 Date of Reporting Period: Quarter ended 9/30/05 Item 1. Schedule of Investments FEDERATED MORTGAGE CORE PORTFOLIO PORTFOLIO OF INVESTMENTS September 30, 2005 (unaudited)
Principal Amount Value MORTGAGE-BACKED SECURITIES--96.7% Federal Home Loan Mortgage Corporation--44.7% $ 50,201,113 4.500%, 1/1/2019 - 9/1/2020 $ 49,206,737 99,631,270 (1) 5.000%, 7/1/2019 - 10/1/2035 98,212,964 219,179,604 (1) 5.500%, 4/1/2014 - 10/1/2035 219,551,215 43,207,933 (1) 6.000%, 5/1/2014 - 10/1/2035 44,051,719 13,371,550 6.500%, 7/1/2014 - 11/1/2032 13,781,798 2,690,877 7.000%, 12/1/2011 - 4/1/2032 2,814,166 1,462,607 7.500%, 12/1/2022 - 7/1/2031 1,554,080 1,156,750 8.000%, 11/1/2009 - 3/1/2031 1,240,739 40,763 8.500%, 9/1/2025 43,932 83,521 9.000%, 5/1/2017 91,588 3,274 9.500%, 4/1/2021 3,662 TOTAL 430,552,600 Federal National Mortgage Association--47.3% 41,682,071 4.500%, 9/1/2010 - 7/1/2020 40,865,992 143,304,136 5.000%, 4/1/2018 - 11/1/2034 141,757,199 137,329,304 (1) 5.500%, 2/1/2009 - 10/1/2035 138,044,262 97,750,376 6.000%, 7/1/2006 - 9/1/2035 99,538,231 19,763,814 6.500%, 5/1/2006 - 11/1/2032 20,393,893 11,810,374 7.000%, 2/1/2008 - 8/1/2032 12,372,113 2,531,149 7.500%, 6/1/2011 - 6/1/2033 2,675,590 670,356 8.000%, 7/1/2023 - 3/1/2031 722,148 4,193 8.500%, 3/1/2030 4,443 40,972 9.000%, 11/1/2021 - 6/1/2025 44,487 TOTAL 456,418,358 Government National Mortgage Association--4.7% 15,830,353 5.000%, 12/20/2032 - 6/20/2034 15,683,889 7,321,819 5.500%, 5/20/2035 7,381,022 10,228,698 6.000%, 10/15/2028 - 1/15/2033 10,509,574 3,455,572 6.500%, 10/15/2028 - 2/15/2032 3,607,484 3,370,017 7.000%, 11/15/2027 - 2/15/2032 3,556,521 1,264,879 7.500%, 6/20/2007 - 1/15/2031 1,349,619 1,619,783 8.000%, 2/15/2010 - 11/15/2030 1,735,002 749,631 8.500%, 3/15/2022 - 11/15/2030 806,761 33,791 9.000%, 10/15/2016 - 6/15/2025 36,584 4,787 9.500%, 10/15/2020 5,261 403,367 12.000%, 4/15/2015 - 6/15/2015 472,641 TOTAL 45,144,358 TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $931,102,877) 932,115,316 REPURCHASE AGREEMENTS--4.5% 35,114,000 Interest in $1,500,000,000 joint repurchase agreement 3.90%, dated 9/30/2005 under which Bank of America N.A. will repurchase a U.S. Government Agency security with a maturity of 9/1/2035 for $1,500,487,500 on 10/3/2005. The market value of the underlying security at the end of the period was $1,530,000,001 35,114,000 8,000,000 (2)(,3) Interest in $16,000,000 joint repurchase agreement 3.69%, dated 9/14/2005 under which Credit Suisse First Boston Corp. will repurchase a U.S. Treasury security and U.S. Government Agency securities with various maturities to 3/1/2035 for $16,047,560 on 10/13/2005. The market value of the underlying securities at the end of the period was $16,818,937 8,000,000 TOTAL REPURCHASE AGREEMENTS (AT AMORTIZED COST) 43,114,000 TOTAL INVESTMENTS - 101.2% ================================================ (IDENTIFIED COST $974,216,877)(4) 975,229,316 OTHER ASSETS AND LIABILITIES - NET - (1.2)% (11,490,795) TOTAL NET ASSETS - 100% $ 963,738,521 1 All or a portion of these securities may be subject to dollar roll transactions. ====================================================================== Information regarding dollar roll transactions for the Fund for the six months ended September 30, 2005 was as follows: ---------------------------------------------------------------------- Maximum amount outstanding during the period $149,297,327 Average amount outstanding during the period(1) $64,286,001 Average shares outstanding during the period 91,996,929 Average debt per share outstanding during the period $0.70 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 September 30, 2005. 2 Although the repurchase date is more than seven days after the date of purchase, the fund has the right to terminate the repurchase agreement at any time with seven-days' notice. 3 Security held as collateral for dollar roll transactions. 4 The cost of investments for federal tax purposes was $974,216,877. The net unrealized appreciation for federal tax purposes was $1,012,439. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $6,007,291 and net unrealized depreciation from investments for those securities having an excess of cost over value of $4,994,852.
-------------------------------------------------------------------------------- Note: The categories of investments are shown as a percentage of total net assets at September 30, 2005. Investment Valuation For mortgage-backed securities, prices furnished by the independent pricing service are based on the aggregate investment value of the projected cash flows to be generated by the security. For other fixed income securities, prices furnished by an independent pricing service are intended to be indicative of the mean between the bid and asked prices currently offered to institutional investors for the securities. 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 accordance with procedures established by and under general supervision of the Board of Trustees. HIGH-YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS September 30, 2005 (unaudited)
Principal Amount or Shares Value CORPORATE BONDS--94.2% Aerospace / Defense--1.7% $ 2,800,000 Alliant Techsystems, Inc., Sr. Sub. Note, 8.50%, 5/15/2011 $ 2,961,000 1,775,000 Argo Tech Corp., Sr. Note, 9.25%, 6/1/2011 1,890,375 500,000 (4) Condor Systems, Inc., Sr. Sub. Note, Series B, 11.875%, 5/1/2009 350 1,050,000 K&F Acquisition, Inc., Sr. Sub. Note, 7.75%, 11/15/2014 1,065,750 875,000 L-3 Communications Holdings, Inc., Sr. Sub. Note, 5.875%, 1/15/2015 850,938 1,125,000 L-3 Communications Corp., Sr. Sub. Note, 6.125%, 1/15/2014 1,119,375 3,400,000 L-3 Communications Corp., Sr. Sub. Note, 6.125%, 7/15/2013 3,400,000 1,625,000 (1,2) L-3 Communications Holdings, Inc., Sr. Sub. Note, 6.375%, 10/15/2015 1,645,313 525,000 Standard Aero Holdings, Inc., Sr. Sub. Note, Series WI, 8.25%, 9/1/2014 510,563 2,175,000 TransDigm, Inc., Sr. Sub. Note, 8.375%, 7/15/2011 2,289,188 TOTAL 15,732,852 Automotive--4.6% 2,775,000 Advanced Accessory Systems LLC, Sr. Note, 10.75%, 6/15/2011 2,393,438 3,450,000 Cooper-Standard Automotive, Inc., Sr. Sub. Note, 8.375%, 12/15/2014 2,915,250 3,725,000 Ford Motor Co., Unsecd. Note, 7.45%, 7/16/2031 2,924,125 6,150,000 General Motors Acceptance Corp., 6.875%, 9/15/2011 5,600,719 8,100,000 General Motors Acceptance Corp., 8.00%, 11/1/2031 7,090,343 2,175,000 General Motors Corp., Note, 7.125%, 7/15/2013 1,865,063 5,275,000 General Motors Corp., Note, 8.375%, 7/15/2033 4,140,875 2,875,000 Stanadyne Corp., Sr. Sub. Note, 10.00%, 8/15/2014 2,860,625 1,675,000 (3) Stanadyne Holdings, Inc., Sr. Disc. Note, 0/12.000%, 2/15/2015 912,875 2,300,000 Stoneridge, Inc., Company Guarantee, 11.50%, 5/1/2012 2,449,500 775,000 TRW Automotive, Inc., Sr. Note, 9.375%, 2/15/2013 844,750 3,566,000 TRW Automotive, Inc., Sr. Sub. Note, 11.00%, 2/15/2013 4,038,495 2,850,000 Tenneco Automotive, Inc., Sr. Sub. Note, 8.625%, 11/15/2014 2,885,625 2,725,000 United Components, Inc., Sr. Sub. Note, 9.375%, 6/15/2013 2,725,000 TOTAL 43,646,683 Building Materials--3.1% 2,900,000 (3) AMH Holdings, Inc., Sr. Disc. Note, 0/11.25%, 3/1/2014 1,464,500 1,950,000 Associated Materials, Inc., Company Guarantee, 9.75%, 4/15/2012 1,896,375 2,875,000 (1,2) Builders Firstsource, Inc., Floating Rate Note - Sr. Secured Note, 8.04%, 2/15/2012 2,918,125 2,425,000 Collins & Aikman Floorcoverings, Inc., Company Guarantee, 9.75%, 2/15/2010 2,352,250 3,400,000 ERICO International Corp., Sr. Sub. Note, 8.875%, 3/1/2012 3,553,000 1,225,000 (1,2) Goodman Global Holdings, Inc., Floating Rate Note, 6.41%, 6/15/2012 1,203,563 3,100,000 (1,2) Goodman Global Holdings, Inc., Sr. Sub. Note, 7.875%, 12/15/2012 2,821,000 1,600,000 Legrand SA, Sr. Note, 10.50%, 2/15/2013 1,840,000 1,125,000 Norcraft Cos. LLC, Sr. Sub. Note, Series WI, 9.00%, 11/1/2011 1,170,000 6,250,000 (3) Norcraft Holdings LP, Sr. Disc. Note, 0/9.75%, 9/1/2012 4,406,250 1,550,000 Nortek Holdings, Inc., Sr. Sub. Note, 8.50%, 9/1/2014 1,433,750 3,125,000 (3) Nortek Holdings, Inc., Sr. Disc. Note, 0/10.75%, 3/1/2014 1,765,625 575,000 (1,2) Texas Industries, Inc., Sr. Note, 7.25%, 7/15/2013 600,875 2,050,000 U.S. Concrete, Inc., Sr. Sub. Note, 8.375%, 4/1/2014 2,070,500 TOTAL 29,495,813 Chemicals--5.9% 1,550,000 (1,2) Aventine Renewable Energy Holdings, Inc., Floating Rate Note - Sr. Secured Note, 9.87%, 12/15/2011 1,619,750 3,750,000 (1,2) Borden U.S. Finance Corp., Sr. Secd. Note, 9.00%, 7/15/2014 3,825,000 2,425,000 Compass Minerals Group, Inc., Sr. Sub. Note, 10.00%, 8/15/2011 2,643,250 3,950,000 (3) Compass Minerals International, Inc., Sr. Disc. Note, 0/12.00%, 6/1/2013 3,318,000 2,050,000 (3) Compass Minerals International, Inc., Sr. Disc. Note, 0/12.75%, 12/15/2012 1,814,250 4,984,000 (3) Crystal US Holdings, Sr. Disc. Note, 0/12.50%, 10/1/2014 3,513,720 2,697,000 Crystal US Holdings, Sr. Sub. Note, 9.625%, 6/15/2014 3,013,897 3,450,000 Equistar Chemicals LP, Sr. Note, 10.125%, 9/1/2008 3,726,000 1,275,000 Huntsman Advanced Materials, Inc., Sr. Secd. Note, 11.00%, 7/15/2010 1,434,375 3,583,000 Huntsman ICI Chemicals LLC, Sr. Sub. Note, 10.125%, 7/1/2009 3,703,926 3,225,000 (1,2) Invista, Unit, 9.25%, 5/1/2012 3,531,375 1,750,000 Koppers, Inc., Sr. Secd. Note, 9.875%, 10/15/2013 1,942,500 2,300,000 Lyondell Chemical Co., Sr. Secd. Note, 9.50%, 12/15/2008 2,420,750 5,675,000 Lyondell Chemical Co., Sr. Sub. Note, 10.875%, 5/1/2009 5,873,625 1,660,000 (3) Nalco Co., Sr. Disc. Note, 0/9.00%, 2/1/2014 1,232,550 950,000 Nalco Co., Sr. Note, 7.75%, 11/15/2011 976,125 2,250,000 Nalco Co., Sr. Sub. Note, 8.875%, 11/15/2013 2,320,313 2,700,000 (1,2) Nell AF SARL, Sr. Note, 8.375%, 8/15/2015 2,652,750 1,450,000 (1,2) PQ Corp., Sr. Sub. Note, 7.50%, 2/15/2013 1,413,750 2,500,000 Polypore, Inc., Sr. Sub. Note, 8.75%, 5/15/2012 2,212,500 925,000 Union Carbide Corp., Deb., 7.50%, 6/1/2025 991,941 1,300,000 Union Carbide Corp., Sr. Deb., 7.875%, 4/1/2023 1,431,435 TOTAL 55,611,782 Construction Machinery--0.8% 3,575,000 Case New Holland, Sr. Note, 9.25%, 8/1/2011 3,798,437 1,775,000 (4) 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 576,187 1,025,000 NationsRent, Inc., Company Guarantee, 9.50%, 5/1/2015 1,071,125 1,750,000 NationsRent Cos., Inc., Sr. Secd. Note, 9.50%, 10/15/2010 1,916,250 TOTAL 7,361,999 Consumer Products--4.2% 3,250,000 (1,2,)(3)AAC Group Holding Corp., Sr. Disc. Note, 0/10.25%, 10/1/2012 2,356,250 2,475,000 Alltrista Corp., Unsecd. Note, 9.75%, 5/1/2012 2,648,250 1,025,000 American Achievement Corp., Sr. Sub. Note, 8.25%, 4/1/2012 1,040,375 3,350,000 Ames True Temper, Inc., Sr. Sub. Note, 10.00%, 7/15/2012 2,629,750 1,500,000 Church and Dwight, Inc., Sr. Sub. Note, 6.00%, 12/15/2012 1,470,000 325,000 (4) Diamond Brands Operating Corp., Sr. Sub. Note, 10.125%, 4/15/2008 0 925,000 (4) Diamond Brands, Inc., Sr. Disc. Deb., 12.875%, 4/15/2009 0 6,275,000 (3) Jostens Holding Corp., Discount Bond, 0/10.25%, 12/1/2013 4,549,375 3,250,000 Jostens IH Corp., Sr. Sub. Note, 7.625%, 10/1/2012 3,298,750 500,000 K2, Inc., Sr. Note, 7.375%, 7/1/2014 502,500 1,500,000 Leiner Health Products, Unsecd. Note, 11.00%, 6/1/2012 1,290,000 3,450,000 Playtex Products, Inc., Company Guarantee, 9.375%, 6/1/2011 3,618,188 1,800,000 Sealy Mattress Co., Sr. Sub. Note, 8.25%, 6/15/2014 1,818,000 3,300,000 (1,2,3) Simmons Co., Sr. Disc. Note, 0/10.00%, 12/15/2014 1,765,500 1,475,000 Simmons Co., Sr. Sub. Note, 7.875%, 1/15/2014 1,364,375 4,775,000 Spectrum Brands, Inc., Sr. Sub. Note, 7.375%, 2/1/2015 4,321,375 1,630,000 Tempur World, Sr. Sub. Note, 10.25%, 8/15/2010 1,784,850 4,100,000 True Temper Sports, Inc., Sr. Sub. Note, 8.375%, 9/15/2011 3,833,500 1,370,000 WH Holdings Ltd., Sr. Note, 9.50%, 4/1/2011 1,483,025 TOTAL 39,774,063 Energy--1.6% 3,350,000 Compton Petroleum Corp., Sr. Note, 9.90%, 5/15/2009 3,601,250 750,000 (1,2) Grant Prideco, Inc., Sr. Unsecd. Note, 6.125%, 8/15/2015 761,250 925,000 Lone Star Technologies, Inc., Company Guarantee, Series B, 9.00%, 6/1/2011 985,125 2,250,000 Petroleum Helicopters, Inc., Company Guarantee, Series B, 9.375%, 5/1/2009 2,401,875 1,000,000 (1,2) Pogo Producing Co., Sr. Sub. Note, 6.625%, 3/15/2015 1,020,000 975,000 (1,2) Pogo Producing Co., Sr. Sub. Note, 6.875%, 10/1/2017 993,281 600,000 Range Resources Corp., Sr. Sub. Note, 6.375%, 3/15/2015 607,500 1,150,000 Range Resources Corp., Sr. Sub. Note, 7.375%, 7/15/2013 1,224,750 3,775,000 Swift Energy Co., Sr. Sub. Note, 9.375%, 5/1/2012 4,095,875 TOTAL 15,690,906 Entertainment--2.5% 2,500,000 AMC Entertainment, Inc., Sr. Sub. Note, 8.00%, 3/1/2014 2,212,500 2,125,000 AMC Entertainment, Inc., Sr. Sub. Note, 9.875%, 2/1/2012 2,055,937 1,875,000 Cinemark USA, Sr. Sub. Note, 9.00%, 2/1/2013 1,945,312 7,275,000 (3) Cinemark, Inc., Sr. Disc. Note, 0/9.75%, 3/15/2014 5,128,875 2,575,000 Intrawest Corp., Sr. Note, 7.50%, 10/15/2013 2,649,031 4,000,000 Loews Cineplex Entertainment Corp., Sr. Sub. Note, 9.00%, 8/1/2014 3,910,000 4,525,000 Universal City Development Partners Ltd., Sr. Note, 11.75%, 4/1/2010 5,135,875 1,000,000 Universal City Florida Holding Co., Floating Rate Note, 8.44313%, 5/1/2010 1,042,500 TOTAL 24,080,030 Environmental--1.0% 2,875,000 Allied Waste North America, Inc., Company Guarantee, Series B, 8.50%, 12/1/2008 3,011,562 2,533,000 Allied Waste North America, Inc., Company Guarantee, Series B, 9.25%, 9/1/2012 2,754,637 1,500,000 Browning-Ferris Industries, Inc., Deb., 9.25%, 5/1/2021 1,537,500 2,275,000 (1,2) Clean Harbors, Inc., Sr. Secd. Note, 11.25%, 7/15/2012 2,559,375 TOTAL 9,863,074 Financial Institutions--0.3% 2,725,000 (1,2) American Real Estate Partners LP Finance, Sr. Note, 7.125%, 2/15/2013 2,738,625 Food & Beverage--6.2% 6,000,000 (3) ASG Consolidated LLC, Sr. Disc. Note, 0/11.50%, 11/1/2011 4,620,000 1,144,000 Agrilink Foods, Inc., Company Guarantee, 11.875%, 11/1/2008 1,175,460 2,925,000 American Seafoods Group LLC, Company Guarantee, 10.125%, 4/15/2010 3,129,750 2,000,000 B&G Foods Holdings Corp., Sr. Note, 8.00%, 10/1/2011 2,035,000 2,300,000 Constellation Brands, Inc., Company Guarantee, Series B, 8.00%, 2/15/2008 2,426,500 1,000,000 Constellation Brands, Inc., Sr. Sub. Note, 8.125%, 1/15/2012 1,061,250 3,525,000 Cott Beverages, Inc., Company Guarantee, 8.00%, 12/15/2011 3,630,750 3,375,000 (1,2) Del Monte Corp., Sr. Sub. Note, 6.75%, 2/15/2015 3,408,750 1,750,000 Del Monte Corp., Sr. Sub. Note, 8.625%, 12/15/2012 1,890,000 4,200,000 Dole Food, Inc., Sr. Note, 8.625%, 5/1/2009 4,410,000 1,425,000 Eagle Family Foods, Inc., Sr. Sub. Note, 8.75%, 1/15/2008 1,118,625 1,365,000 Gold Kist, Inc., Sr. Note, 10.25%, 3/15/2014 1,549,275 2,825,000 Michael Foods, Inc., Sr. Sub. Note, 8.00%, 11/15/2013 2,899,156 2,375,000 National Beef Packaging Co. LLC, Sr. Note, 10.50%, 8/1/2011 2,475,938 3,125,000 Pierre Foods, Inc., Sr. Sub. Note, 9.875%, 7/15/2012 3,234,375 1,525,000 Pilgrim's Pride Corp., Sr. Note, 9.625%, 9/15/2011 1,647,000 1,675,000 Pilgrim's Pride Corp., Sr. Sub. Note, 9.25%, 11/15/2013 1,850,875 4,300,000 (3) Reddy Ice Group, Inc., Sr. Disc. Note, 0/10.50%, 11/1/2012 3,332,500 2,950,000 Smithfield Foods, Inc., Note, 7.75%, 5/15/2013 3,112,250 3,400,000 Smithfield Foods, Inc., Sr. Note, Series B, 8.00%, 10/15/2009 3,612,500 1,700,000 Swift & Co., Sr. Note, 10.125%, 10/1/2009 1,838,125 1,625,000 Swift & Co., Sr. Sub. Note, 12.50%, 1/1/2010 1,779,375 2,950,000 (3) UAP Holding Corp., Sr. Disc. Note, 0/10.75%, 7/15/2012 2,522,250 TOTAL 58,759,704 Gaming--4.9% 2,450,000 155 East Tropicana LLC, Sr. Secd. Note, 8.75%, 4/1/2012 2,388,750 2,875,000 Boyd Gaming Corp., Sr. Sub. Note, 8.75%, 4/15/2012 3,112,187 600,000 (1,2) CCM Merger, Inc., Note, 8.00%, 8/1/2013 608,250 1,075,000 Herbst Gaming, Inc., Sr. Sub. Note, 7.00%, 11/15/2014 1,079,031 1,375,000 Isle of Capri Casinos, Inc., Company Guarantee, 9.00%, 3/15/2012 1,464,375 1,975,000 (1,2) Kerzner International Ltd., Sr. Sub. Note, 6.75%, 10/1/2015 1,923,156 1,000,000 MGM Mirage, Sr. Note, 5.875%, 2/27/2014 955,000 2,000,000 MGM Mirage, Sr. Note, 6.00%, 10/1/2009 1,985,000 2,000,000 (1,2) MGM Mirage, Sr. Note, 6.625%, 7/15/2015 1,987,500 4,000,000 MGM Mirage, Sr. Note, 8.50%, 9/15/2010 4,370,000 525,000 MGM Mirage, Sr. Sub. Note, 9.75%, 6/1/2007 561,750 3,025,000 MTR Gaming Group, Inc., Company Guarantee, Series B, 9.75%, 4/1/2010 3,282,125 1,350,000 Magna Entertainment Corp., Conv. Note, 7.25%, 12/15/2009 1,421,388 1,375,000 Majestic Star Casino LLC, Company Guarantee, 9.50%, 10/15/2010 1,368,125 58,000 Mandalay Resort Group, Sr. Sub. Note, 9.375%, 2/15/2010 64,235 6,100,000 Mandalay Resort Group, Sr. Sub. Note, 10.25%, 8/1/2007 6,588,000 4,225,000 Park Place Entertainment Corp., Sr. Sub. Note, 7.875%, 3/15/2010 4,615,813 3,150,000 Park Place Entertainment Corp., Sr. Sub. Note, 8.125%, 5/15/2011 3,524,062 1,075,000 Penn National Gaming, Inc., Company Guarantee, 8.875%, 3/15/2010 1,139,500 575,000 Penn National Gaming, Inc., Sr. Sub. Note, 6.75%, 3/1/2015 566,375 700,000 (1,2) San Pasqual Casino Development Group, Inc., Sr. Note, 8.00%, 9/15/2013 707,875 600,000 Station Casinos, Inc., Sr. Note, 6.00%, 4/1/2012 602,250 2,525,000 Station Casinos, Inc., Sr. Sub. Note, 6.50%, 2/1/2014 2,537,625 TOTAL 46,852,372 Healthcare--6.2% 1,200,000 (1,2) AMR Holding Co./Emcare Holding Co., Sr. Sub. Note, 10.00%, 2/15/2015 1,302,000 4,650,000 AmeriPath, Inc., Company Guarantee, 10.50%, 4/1/2013 4,859,250 1,450,000 Bio Rad Laboratories, Inc., Sr. Sub. Note, 6.125%, 12/15/2014 1,413,750 8,200,000 (3) CDRV Investors, Inc., Sr. Disc. Note, 0/9.625%, 1/1/2015 4,715,000 3,350,000 Concentra Operating Corp., Sr. Sub. Note, 9.50%, 8/15/2010 3,525,875 1,000,000 DaVita, Inc., Sr. Sub. Note, 7.25%, 3/15/2015 1,018,750 3,000,000 (1,2) Fisher Scientific International, Inc., Sr. Sub. Note, 6.125%, 7/1/2015 3,022,500 1,600,000 Fisher Scientific International, Inc., Sr. Sub. Note, 6.75%, 8/15/2014 1,684,000 6,800,000 HCA, Inc., Note, 8.75%, 9/1/2010 7,543,920 450,000 HCA, Inc., Sr. Note, 6.375%, 1/15/2015 447,458 2,350,000 HCA, Inc., Sr. Note, 7.50%, 11/6/2033 2,356,326 4,850,000 HCA, Inc., Sr. Note, 7.875%, 2/1/2011 5,222,621 1,491,172 Magellan Health Services, Inc., Sr. Note, Series A, 9.375%, 11/15/2008 1,575,050 3,525,000 Medical Device Manufacturing, Inc., Sr. Sub. Note, 10.00%, 7/15/2012 3,842,250 2,300,000 (1,2) National Mentor, Inc., Sr. Sub. Note, 9.625%, 12/1/2012 2,415,000 1,275,000 (1,2) Psychiatric Solutions, Inc., Sr. Sub. Note, 7.75%, 7/15/2015 1,322,813 2,125,000 Sybron Dental Specialties, Inc., Company Guarantee, 8.125%, 6/15/2012 2,284,375 2,100,000 Tenet Healthcare Corp., Note, 9.875%, 7/1/2014 2,205,000 2,050,000 (1,2) Tenet Healthcare Corp., Sr. Note, 9.25%, 2/1/2015 2,080,750 1,025,000 VWR International, Inc., Sr. Sub. Note, 8.00%, 4/15/2014 1,003,219 1,650,000 Vanguard Health Holdings II, Sr. Sub. Note, 9.00%, 10/1/2014 1,765,500 450,000 (1,2) Ventas Realty LP, Sr. Note, 7.125%, 6/1/2015 468,000 2,475,000 Ventas Realty LP, Sr. Note, 6.625%, 10/15/2014 2,499,750 TOTAL 58,573,157 Industrial - Other--6.4% 3,650,000 ALH Finance LLC/ALH Finance Corp., Sr. Sub. Note, 8.50%, 1/15/2013 3,467,500 3,450,000 Aearo Co. I, Sr. Sub. Note, 8.25%, 4/15/2012 3,467,250 1,925,000 (1,2) American Tire Distributors, Inc., Sr. Note, 10.75%, 4/1/2013 1,761,375 3,900,000 (1,2) Amsted Industries, Inc., Sr. Note, 10.25%, 10/15/2011 4,270,500 3,675,000 Brand Services, Inc., Company Guarantee, 12.00%, 10/15/2012 3,913,875 1,975,000 Coleman Cable, Inc., Sr. Note, 9.875%, 10/1/2012 1,750,343 2,200,000 Da-Lite Screen Co., Inc., Sr. Note, 9.50%, 5/15/2011 2,332,000 2,850,000 Hawk Corp., Sr. Note, 8.75%, 11/1/2014 2,892,750 2,129,000 Interline Brands, Inc., Sr. Sub. Note, 11.50%, 5/15/2011 2,395,125 4,650,000 (1,2) Knowledge Learning Corp., Sr. Sub. Note, 7.75%, 2/1/2015 4,580,250 2,475,000 Mueller Group, Inc., Sr. Sub. Note, 10.00%, 5/1/2012 2,635,875 2,166,422 NSP Holdings LLC, Sr. Note, 11.75%, 1/1/2012 2,198,918 3,545,000 (1,2) Neenah Corp., Sr. Secd. Note, 11.00%, 9/30/2010 3,934,950 2,303,900 (1,2) Neenah Corp., Sr. Sub. Note, 13.00%, 9/30/2013 2,338,459 4,200,000 Norcross Safety Products, Sr. Sub. Note, Series B, 9.875%, 8/15/2011 4,525,500 1,975,000 (1,2) Panolam Industries International, Inc., Sr. Sub. Note, 10.75%, 10/1/2013 1,960,188 3,525,000 Rexnord Corp., Company Guarantee, 10.125%, 12/15/2012 3,877,500 475,000 (1,2) Safety Products Holdings, Inc., Sr. Note, 11.75%, 1/1/2012 482,125 2,875,000 Sensus Metering Systems, Inc., Sr. Sub. Note, 8.625%, 12/15/2013 2,659,375 3,525,000 Superior Essex Communications LLC, Sr. Note, 9.00%, 4/15/2012 3,577,875 1,350,000 Valmont Industries, Inc., Sr. Sub. Note, 6.875%, 5/1/2014 1,383,750 TOTAL 60,405,483 Lodging--1.7% 2,000,000 Gaylord Entertainment Co., Sr. Note, 6.75%, 11/15/2014 1,945,000 487,000 HMH Properties, Inc., Sr. Note, Series B, 7.875%, 8/1/2008 495,523 3,100,000 Host Marriott LP, Unsecd. Note, 7.125%, 11/1/2013 3,181,375 1,900,000 Lodgenet Entertainment, Sr. Sub. Note, 9.50%, 6/15/2013 2,090,000 1,925,000 Royal Caribbean Cruises Ltd., Sr. Note, 8.00%, 5/15/2010 2,093,438 2,700,000 Starwood Hotels & Resorts Worldwide, Inc., Company Guarantee, 7.875%, 5/1/2012 2,956,500 2,975,000 Starwood Hotels & Resorts Worldwide, Inc., Note, 7.375%, 5/1/2007 3,082,844 TOTAL 15,844,680 Media - Cable--3.2% 1,150,000 CSC Holdings, Inc., Sr. Deb., 8.125%, 8/15/2009 1,164,375 1,775,000 (1,2) CSC Holdings, Inc., Sr. Note, 7.00%, 4/15/2012 1,686,250 2,910,000 CSC Holdings, Inc., Sr. Note, 7.875%, 12/15/2007 3,004,575 1,650,000 Cablevision Systems Corp., Sr. Note, Series WI, 8.00%, 4/15/2012 1,608,750 4,950,000 Charter Communications Holdings Capital Corp., Sr. Disc. Note, 9.92%, 4/1/2011 3,601,125 5,900,000 Charter Communications Holdings II, Sr. Note, 10.25%, 9/15/2010 6,077,000 4,000,000 (1,2) Iesy Repository Gmbh, Sr. Note, 10.375%, 2/15/2015 4,250,000 6,225,000 (1,2) Kabel Deutschland GMBH, Sr. Note, 10.625%, 7/1/2014 6,909,750 1,400,000 Rogers Cablesystems Ltd., Sr. Sub. Gtd. Note, 11.00%, 12/1/2015 1,489,250 700,000 (1,2) Videotron Ltee, Sr. Note, 6.375%, 12/15/2015 698,250 TOTAL 30,489,325 Media - Non-Cable--9.5% 2,500,000 Advanstar Communications, Company Guarantee, Series B, 12.00%, 2/15/2011 2,681,250 1,700,000 Advanstar Communications, Sr. Secd. Note, 10.75%, 8/15/2010 1,908,250 2,100,000 (3) Advanstar, Inc., Company Guarantee, Series B, 0/15.00%, 10/15/2011 2,184,000 2,788,938 Affinity Group Holding, Inc., Sr. Note, 10.875%, 2/15/2012 2,607,657 1,700,000 Affinity Group, Inc., Sr. Sub. Note, 9.00%, 2/15/2012 1,708,500 1,200,000 American Media Operations, Inc., Company Guarantee, Series B, 10.25%, 5/1/2009 1,173,000 1,850,000 American Media Operations, Inc., Sr. Sub. Note, 8.875%, 1/15/2011 1,646,500 3,200,000 CBD Media Holdings, Sr. Note, 9.25%, 7/15/2012 3,272,000 675,000 CBD Media LLC, Sr. Sub. Note, 8.625%, 6/1/2011 700,312 600,000 (1,2) DIRECTV Holdings LLC, Sr. Note, 6.375%, 6/15/2015 598,500 2,974,000 DIRECTV Holdings LLC, Sr. Note, 8.375%, 3/15/2013 3,260,248 2,421,000 Dex Media East LLC, Company Guarantee, 12.125%, 11/15/2012 2,844,675 6,739,000 Dex Media West LLC, Sr. Sub. Note, Series B, 9.875%, 8/15/2013 7,471,866 4,125,000 (3) Dex Media, Inc., Discount Bond, 0/9.00%, 11/15/2013 3,269,063 6,100,000 Echostar DBS Corp., Sr. Note, 6.625%, 10/1/2014 6,069,500 1,500,000 Emmis Communications, Corp., Floating Rate Note - Sr. Note, 9.745%, 6/15/2012 1,518,750 4,525,000 (3) Houghton Mifflin Co., Sr. Disc. Note, 0/11.50%, 10/15/2013 3,439,000 2,625,000 (1,2) Intelsat Bermuda Ltd., Floating Rate Note - Sr. Note, 8.695%, 1/15/2012 2,684,063 1,775,000 (1,2) Intelsat Bermuda Ltd., Sr. Note, 8.625%, 1/15/2015 1,819,375 1,400,000 (1,2) Lamar Media Corp., Sr. Sub. Note, 6.625%, 8/15/2015 1,431,500 1,825,000 Lamar Media Corp., Sr. Sub. Note, 7.25%, 1/1/2013 1,916,250 1,000,000 (1,2) Lin Television Corp., Sr. Sub. Note, 6.50%, 5/15/2013 952,500 2,600,000 (3) NBC Acqusition Corp., Sr. Disc. Note, 0/11.00%, 3/15/2013 1,930,500 1,300,000 Nebraska Book Co., Inc., Sr. Sub. Note, 8.625%, 3/15/2012 1,228,500 1,570,000 PanAmSat Corp., Sr. Note, 9.00%, 8/15/2014 1,664,200 7,500,000 (3) PanAmSat Holding Corp., Discount Bond, 0/10.375%, 11/1/2014 5,212,500 3,600,000 R. H. Donnelly Finance Corp., Sr. Sub. Note, 10.875%, 12/15/2012 4,059,000 4,075,000 (1,2) Rainbow National Services LLC, Sr. Sub. Note, 10.375%, 9/1/2014 4,625,125 2,300,000 Readers Digest Association, Inc., Sr. Note, Series 144A, 6.50%, 3/1/2011 2,346,000 1,875,000 Sinclair Broadcast Group, Inc., Company Guarantee, 8.75%, 12/15/2011 1,978,125 4,600,000 Vertis, Inc., Sr. Note, Series B, 10.875%, 6/15/2009 4,542,500 675,000 Vertis, Inc., Sr. Secd. 2nd Priority Note, 9.75%, 4/1/2009 700,313 4,425,000 (1,2) WDAC Subsidiary Corp., Sr. Note, 8.375%, 12/1/2014 4,303,313 1,365,000 Yell Finance BV, Sr. Note, 10.75%, 8/1/2011 1,501,500 413,537 Ziff Davis Media, Inc., Company Guarantee, Series, 12.00%, 8/12/2009 426,460 TOTAL 89,674,795 Metals & Mining--1.3% 1,300,000 Aleris International, Inc., Sr. Note, 9.00%, 11/15/2014 1,378,000 3,350,000 Aleris International, Inc., Sr. Secd. Note, 10.375%, 10/15/2010 3,710,125 2,450,000 (1,2) Novelis, Inc., Sr. Note, 7.25%, 2/15/2015 2,327,500 2,000,000 (4) Republic Technologies International, Inc., Company Guarantee, 13.75%, 7/15/2009 0 1,825,000 Ryerson Tull, Inc., Sr. Note, 9.125%, 7/15/2006 1,866,063 2,456,000 United States Steel Corp., Sr. Note, 9.75%, 5/15/2010 2,707,740 TOTAL 11,989,428 Packaging--1.6% 3,450,000 Berry Plastics Corp., Company Guarantee, 10.75%, 7/15/2012 3,726,000 1,575,000 Graham Packaging Co., Sub. Note, 8.50%, 10/15/2012 1,575,000 2,400,000 Greif Brothers Corp., Sr. Sub. Note, 8.875%, 8/1/2012 2,586,000 1,100,000 Huntsman Packaging Corp., Company Guarantee, 13.00%, 6/1/2010 528,000 2,600,000 Owens-Brockway Glass Container, Inc., Company Guarantee, 8.25%, 5/15/2013 2,717,000 3,425,000 Owens-Illinois, Inc., Sr. Note, 8.10%, 5/15/2007 3,527,750 520,679 (1)(,4) Russell Stanley Holdings, Inc., Sr. Sub. Note, 9.00%, 11/30/2008 243,678 TOTAL 14,903,428 Paper--3.9% 2,900,000 Abitibi-Consolidated, Inc., Sr. Note, 8.375%, 4/1/2015 2,863,750 1,025,000 Boise Cascade LLC, Floating Rate Note - Sr. Note, 6.47375%, 10/15/2012 1,022,437 1,450,000 Boise Cascade LLC, Sr. Sub. Note, 7.125%, 10/15/2014 1,381,125 6,150,000 Georgia-Pacific Corp., Sr. Note, 8.125%, 5/15/2011 6,826,500 5,600,000 Georgia-Pacific Corp., Sr. Note, 9.375%, 2/1/2013 6,272,000 3,850,000 Graphic Packaging International Corp., Sr. Sub. Note, 9.50%, 8/15/2013 3,638,250 3,000,000 Jefferson Smurfit Corp., Company Guarantee, 8.25%, 10/1/2012 2,835,000 3,550,000 MDP Acquisitions PLC, 9.625%, 10/1/2012 3,585,500 3,100,000 Mercer International, Inc., 9.25%, 2/15/2013 2,650,500 3,125,000 NewPage Corp., Sr. Sub. Note, 12.00%, 5/1/2013 2,734,375 1,500,000 Stone Container Corp., Sr. Note, 9.75%, 2/1/2011 1,530,000 2,625,000 Tembec Industries, Inc., 8.50%, 2/1/2011 1,725,938 TOTAL 37,065,375 Restaurants--0.3% 2,875,000 Landry's Seafood Restaurants, Inc., Sr. Note, Series B, 7.50%, 12/15/2014 2,745,625 Retailers--2.3% 3,350,000 Couche-Tard Financing Corp., Sr. Sub. Note, 7.50%, 12/15/2013 3,467,250 2,406,000 FTD, Inc., Sr. Sub. Note, 7.75%, 2/15/2014 2,424,045 1,100,000 General Nutrition Center, Sr. Sub. Note, 8.50%, 12/1/2010 943,250 2,150,000 Hines Nurseries, Inc., Company Guarantee, 10.25%, 10/1/2011 2,193,000 6,176,000 Penney (J.C.) Co., Inc., Note, 9.00%, 8/1/2012 7,303,120 1,375,000 Rite Aid Corp., Sr. Secd. Note, 8.125%, 5/1/2010 1,409,375 2,150,000 Rite Aid Corp., Sr. Secd. Note, 9.50%, 2/15/2011 2,289,750 1,775,000 United Auto Group, Inc., Company Guarantee, 9.625%, 3/15/2012 1,854,875 TOTAL 21,884,665 Services--1.1% 1,007,000 CB Richard Ellis Services, Sr. Note, 9.75%, 5/15/2010 1,115,252 3,450,000 Global Cash Access LLC, Sr. Sub. Note, 8.75%, 3/15/2012 3,726,000 2,450,000 (1,2) HydroChem Industrial Services, Sr. Sub. Note, 9.25%, 2/15/2013 2,293,813 1,875,000 (1,2) Insurance Automotive Auctions, Inc., Sr. Unsecd. Note, 11.00%, 4/1/2013 1,934,934 1,300,000 The Brickman Group Ltd., Sr. Sub. Note, Series B, 11.75%, 12/15/2009 1,462,500 TOTAL 10,532,499 Technology--3.7% 675,000 (1,2) Activant Solutions, Inc., Floating Rate Note, 9.50438%, 4/1/2010 691,875 2,350,000 Activant Solutions, Inc., Sr. Note, 10.50%, 6/15/2011 2,467,500 2,100,000 Danka Business Systems PLC, Sr. Note, 11.00%, 6/15/2010 1,974,000 1,850,000 Freescale Semiconductor, Inc., Sr. Note, 7.125%, 7/15/2014 1,979,500 1,250,000 MagnaChip Semiconductor S.A., Sr. Sub. Note, Series WI, 8.00%, 12/15/2014 1,156,250 3,300,000 Seagate Technology HDD Holdings, Sr. Note, 8.00%, 5/15/2009 3,481,500 1,950,000 (1,2) Smart Modular Technologies, Inc., Sr. Note, 9.00438%, 4/1/2012 1,998,750 3,700,000 (1,2) SunGard Data Systems, Inc., Sr. Note, 9.125%, 8/15/2013 3,852,625 2,975,000 (1,2) SunGard Data Systems, Inc., Sr. Sub. Note, 10.25%, 8/15/2015 3,027,063 2,075,000 Telex Communications, Inc., Sr. Secd. Note, 11.50%, 10/15/2008 2,225,438 4,250,000 UGS Corp., Sr. Sub. Note, 10.00%, 6/1/2012 4,675,000 2,275,000 Unisys Corp., Sr. Note, 6.875%, 3/15/2010 2,206,750 4,925,000 Xerox Corp., Sr. Note, 9.75%, 1/15/2009 5,540,625 TOTAL 35,276,876 Textile--0.5% 800,000 GFSI, Inc., Sr. Sub. Note, 9.625%, 3/1/2007 732,000 1,550,000 Phillips Van Heusen Corp., Sr. Note, 8.125%, 5/1/2013 1,635,250 2,100,000 Warnaco Group, Inc., Sr. Note, 8.875%, 6/15/2013 2,278,500 TOTAL 4,645,750 Tobacco--0.4% 3,350,000 (1,2) Commonwealth Brands, Inc., Sr. Sub. Secd. Note, 10.625%, 9/1/2008 3,534,250 Transportation--0.5% 1,025,000 (4) AmeriTruck Distribution Corp., Sr. Sub. Note, 12.25%, 11/15/2005 0 4,650,000 Stena AB, Sr. Note, 9.625%, 12/1/2012 5,068,500 1,050,000 (4) The Holt Group, Inc., Company Guarantee, 9.75%, 1/15/2006 0 TOTAL 5,068,500 Utility - Electric--3.4% 4,200,000 Edison Mission Holding Co., Sr. Note, 9.875%, 4/15/2011 4,998,000 1,119,985 (1,2) FPL Energy National Wind, Note, 6.125%, 3/25/2019 1,107,918 1,875,000 NRG Energy, Inc., Sr. Secd. Note, 8.00%, 12/15/2013 2,006,250 350,000 Nevada Power Co., 6.50%, 4/15/2012 364,875 625,000 Nevada Power Co., Mtg. Note, Series L, 5.875%, 1/15/2015 619,160 3,477,000 Nevada Power Co., Second Mortgage Notes, 9.00%, 8/15/2013 3,879,035 875,000 Northwestern Corp., Note, 5.875%, 11/1/2014 888,332 4,225,000 PSEG Energy Holdings, Sr. Note, 10.00%, 10/1/2009 4,710,875 1,025,000 Reliant Energy, Inc., Sr. Secd. Note, 6.75%, 12/15/2014 1,012,188 1,850,000 Reliant Resources, Inc., Sr. Secd. Note, 9.25%, 7/15/2010 2,016,500 2,950,000 Reliant Resources, Inc., Sr. Secd. Note, 9.50%, 7/15/2013 3,274,500 2,000,000 (1,2) Sierra Pacific Resources, Sr. Note, 6.75%, 8/15/2017 2,015,000 850,000 (1,2) TECO Energy, Inc., Sr. Note, 6.75%, 5/1/2015 894,625 4,675,000 (1,2) Texas Genco LLC, Sr. Note, 6.875%, 12/15/2014 4,780,188 TOTAL 32,567,446 Utility - Natural Gas--4.5% 750,000 ANR Pipeline Co., Sr. Note, 8.875%, 3/15/2010 814,431 2,150,000 (1,2) AmeriGas Partners LP, Sr. Unsecd. Note, 7.25%, 5/20/2015 2,257,500 800,000 El Paso Corp., 6.75%, 5/15/2009 796,000 2,500,000 El Paso Corp., Note, 6.95%, 12/15/2007 2,546,875 1,800,000 El Paso Corp., Sr. Note, 7.80%, 8/1/2031 1,813,500 5,125,000 El Paso Corp., Sr. Note, 8.05%, 10/15/2030 5,227,500 4,250,000 El Paso Production Holding Co., Company Guarantee, 7.75%, 6/1/2013 4,462,500 2,900,000 (1,2) Holly Energy Partners LP, Sr. Note, 6.25%, 3/1/2015 2,885,500 1,500,000 (1,2) Inergy LP, Sr. Note, 6.875%, 12/15/2014 1,440,000 725,000 (1,2) Pacific Energy Partners LP, Sr. Note, 6.25%, 9/15/2015 730,438 2,250,000 Pacific Energy Partners LP, Sr. Note, 7.125%, 6/15/2014 2,345,625 1,750,000 Semco Energy, Inc., Sr. Note, 7.125%, 5/15/2008 1,791,629 1,100,000 Tennessee Gas Pipeline, Sr. Deb., 7.50%, 4/1/2017 1,190,972 2,225,000 Tennessee Gas Pipeline, Bond, 8.375%, 6/15/2032 2,552,932 2,275,000 Transcontinental Gas Pipe Corp., Sr. Note, 8.875%, 7/15/2012 2,664,594 3,425,000 Williams Cos., Inc., Note, 7.875%, 9/1/2021 3,784,625 4,775,000 Williams Cos., Inc., Note, 7.625%, 7/15/2019 5,192,813 TOTAL 42,497,434 Wireless Communications--2.1% 1,500,000 (3) Inmarsat Finance PLC, Sr. Disc. Note, 0/10.375%, 11/15/2012 1,237,500 358,000 Inmarsat Finance PLC, Sr. Note, 7.625%, 6/30/2012 370,530 1,425,000 New Skies Satellites NV, Sr. Sub. Note, 9.125%, 11/1/2012 1,482,000 5,850,000 Nextel Communications, Inc., Sr. Note, Series D, 7.375%, 8/1/2015 6,288,750 3,200,000 Rogers Wireless, Inc., 6.375%, 3/1/2014 3,232,000 1,200,000 Rogers Wireless, Inc., Floating Rate Note - Sr. Secured Note, 6.995%, 12/15/2010 1,257,000 550,000 Rogers Wireless, Inc., Sr. Secd. Note, 7.50%, 3/15/2015 595,375 2,250,000 Rogers Wireless, Inc., Sr. Sub. Note, 8.00%, 12/15/2012 2,387,813 2,725,000 US Unwired, Inc., Sr. Secd. Note, 10.00%, 6/15/2012 3,147,375 TOTAL 19,998,343 Wireline Communications--4.8% 8,025,000 AT&T Corp., Sr. Note, 9.75%, 11/15/2031 10,201,781 2,204,000 Alaska Communications Systems Holdings, Inc., Sr. Note, 9.875%, 8/15/2011 2,418,890 3,275,000 Cincinnati Bell, Inc., Company Guarantee, 7.25%, 7/15/2013 3,496,062 2,750,000 Citizens Communications Co., 9.00%, 8/15/2031 2,801,562 1,025,000 Citizens Communications Co., Unsecd. Note, 9.25%, 5/15/2011 1,130,062 3,875,000 MCI, Inc., Sr. Note, 8.735%, 5/1/2014 4,330,313 10,350,000 Qwest Corp., Note, 8.875%, 3/15/2012 11,359,125 6,750,000 Qwest Services Corp., Sr. Sub. Note, 13.50%, 12/15/2010 7,762,500 2,400,000 Valor Telecommunications Enterprises, Sr. Note, 7.75%, 2/15/2015 2,340,000 TOTAL 45,840,295 TOTAL CORPORATE BONDS (IDENTIFIED COST $878,771,602) 893,145,257 COMMON STOCKS & WARRANTS--0.4% Chemicals--0.0% 704 (4) General Chemical Industrial Products, Inc. 224,526 302 (4) General Chemical Industrial Products, Inc., Warrants 0 407 (4) General Chemical Industrial Products, Inc., Warrants 50,264 TOTAL 274,790 Consumer Products--0.1% 1,003 (1,4) Sleepmaster LLC 565,441 Food & Beverage--0.1% 80,670 B&G Foods, Inc. 1,020,475 Industrial - Other--0.1% 458,151 (1,4) ACP Holdings Corp., Warrants 904,848 Media - Cable--0.1% 11,970 (4) NTL, Inc. 799,596 Media - Non-Cable--0.0% 1,000 (1,4) Advanstar, Inc., Warrants 10 1,800 (4) XM Satellite Radio, Inc., Warrants 145,800 19,800 (4) Ziff Davis Media, Inc., Warrants 1,980 TOTAL 147,790 Metals & Mining--0.0% 2,000 (1,4) Republic Technologies International, Inc., Warrants 0 57,533 (4) Royal Oak Mines, Inc. 201 TOTAL 201 Other--0.0% 171 (1,4) CVC Claims Litigation LLC 0 Packaging--0.0% 1,000 (1,4) Pliant Corp., Warrants 1 57,000 (1,4) Russell Stanley Holdings, Inc. 0 TOTAL 1 Paper--0.0% 1,600 (1,4) MDP Acquisitions PLC, Warrants 32,800 Wireline Communications--0.0% 17,646 (4) Viatel Holding (Bermuda) Ltd. 52 TOTAL COMMON STOCKS & WARRANTS (IDENTIFIED COST $12,397,667) 3,745,994 PREFERRED STOCKS--0.7% Media - Non-Cable--0.4% 38,300 Primedia, Inc., Exchangeable Pfd. Stock, Series G, $8.63 Annual Dividend 3,868,300 108 Ziff Davis Media, Inc., PIK Pfd., Series E-1 65,070 TOTAL 3,933,370 Retailers--0.3% 3,125 General Nutrition Centers Holding Co., Exchangeable Pfd. Stock, Series A 2,320,312 TOTAL PREFERRED STOCKS (IDENTIFIED COST $6,922,625) 6,253,682 REPURCHASE AGREEMENTS--1.7% $ 15,740,000 Interest in 1,500,000,000 joint repurchase agreement 3.90%, dated 9/30/2005 under which Bank of America N.A. will repurchase a U.S. Government Agency security with a maturity of 9/1/2035 for 1,500,487,500 on 10/3/2005. The market value of the underlying security at the end of the period was 1,530,000,001. (AT AMORTIZED COST) 15,740,000 TOTAL INVESTMENTS - 97.0% (IDENTIFIED COST $913,831,894)(5) 918,884,933 OTHER ASSETS AND LIABILITIES - NET - 3.0% 28,814,390 TOTAL NET ASSETS - 100% $ 947,699,323 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, 2005, these securities amounted to $140,477,606 which represents 14.8% of total net assets. 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 (the "Trustees"). At September 30, 2005, these securities amounted to $138,730,828 which represents 14.6% of total net assets. 3 Denotes a zero coupon bond with effective rate at time of purchase. 4 Non-income producing security. 5 The cost of investments for federal tax purposes was $915,997,125. The net unrealized appreciation of investments for federal tax purposes was $2,887,808. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $40,846,623 and net unrealized depreciation from investments for those securities having an excess of cost over value of $37,958,815.
================================================================================ Note: The categories of investments are shown as a percentage of total net assets at September 30, 2005. Investment Valuation The Fund generally values fixed income and short-term securities according to prices furnished by an independent pricing service, except that securities with remaining maturities of less than 60 days at the time of purchase may be valued at amortized cost. Prices furnished by an independent pricing service are intended to be indicative of the mean between the bid and asked prices currently offered to institutional investors for the securities. Listed equity securities are valued at the last sale price or official closing price reported on a national securities exchange. If unavailable, the security is generally valued at the mean between the last closing bid and asked prices. Securities for which no quotations are readily available are valued at fair value as determined in accordance with procedures established by and under general supervision of the Trustees. Restricted Securities Additional information on restricted securities, excluding securities purchased under Rule 144A that have been deemed liquid by the Trustees, held at September 30, 2005 is as follows: Security Acquisition Date Acquisition Cost ------------------------------------- ------------------ ----------------- ------------------------------------- ------------------ ----------------- Russell Stanley Holdings, Inc., Sr. 2/5/1999-5/15/2005 $2,969,265 Sub. Note, 9.00%, 11/30/2008 The following acronyms are used throughout this portfolio: GTD --Guaranteed 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 Richard J. Thomas, Principal Financial Officer (insert name and title) Date November 22, 2005 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 November 23, 2005 By /S/ Richard J. Thomas Richard J. Thomas, Principal Financial Officer Date November 22, 2005