N-Q 1 form.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 (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: 12/31/07 Date of Reporting Period: Quarter ended 9/30/07 ITEM 1. SCHEDULE OF INVESTMENTS FEDERATED INFLATION-PROTECTED SECURITIES CORE FUND PORTFOLIO OF INVESTMENTS September 30, 2007 (unaudited) PRINCIPAL VALUE AMOUNT OR SHARES
U.S. TREASURY--99.9% TREASURY SECURITIES--99.9% $ 103,291 U.S. Treasury Inflation Protected Bond, 2.375%, 1/15/2027 $ 104,728 297,766 U.S. Treasury Inflation Protected Bond, 3.875%, 4/15/2029 378,077 364,670 U.S. Treasury Inflation Protected Bond, 2.375%, 1/15/2025 368,441 216,664 U.S. Treasury Inflation Protected Note, 4.250%, 1/15/2010 226,947 107,961 U.S. Treasury Inflation Protected Note, 3.875%, 1/15/2009 110,179 236,739 U.S. Treasury Inflation Protected Note, 2.000%, 1/15/2014 233,523 272,867 U.S. Treasury Inflation Protected Note, 2.000%, 1/15/2016 267,039 115,851 U.S. Treasury Inflation Protected Note, 3.000%, 7/15/2012 120,612 379,937 1 U.S. Treasury Inflation Protected Note, 1.875%, 7/15/2013 377,332 247,394 U.S. Treasury Inflation Protected Note, 0.875%, 4/15/2010 239,190 760,339 U.S. Treasury Inflation Protected Note, 1.875%, 7/15/2015 740,430 TOTAL U.S. TREASURY (IDENTIFIED COST $3,128,997) 3,166,498 MUTUAL FUND-2.0% 61,884 2 Government Obligations Fund, Institutional Shares, 4.88%3 61,884 (AT NET ASSET VALUE) TOTAL INVESTMENTS - 101.9% 3,228,382 (IDENTIFIED COST $3,190,881)4 OTHER ASSETS AND LIABILITIES -NET - (1.9)% (58,757) TOTAL NET ASSETS -100% $ 3,169,625
1 Pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding futures contracts. 2 Affiliated company. 3 7-Day net yield. 4 At September 30, 2007, the cost of investments for federal tax purposes was $3,190,881. The net unrealized appreciation of investments for federal tax purposes excluding any unrealized appreciation resulting from futures contracts was $37,501. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $38,220 and net unrealized depreciation from investment for those securities having an excess of cost over value of $719.
At September 30, 2007, the Fund had the following outstanding futures contracts: DESCRIPTION NUMBER OF NOTIONAL EXPIRATION DATE UNREALIZED CONTRACES VALUE APPRECIATION/ (DEPRECIATION) 5 U.S. Treasury Notes 5 Year Long Futures 1 $107,031 December 2007 $ 746 5 U.S. Treasury Notes 2 Year Long Futures 6 $1,242,281 December 2007 $ 6,635 5 U.S. Treasury Bond Short Futures 2 $222,688 December 2007 $ (273) NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS $ 7,108 5 Non-income producing security.
Note: The categories of investments are shown as a percentage of total net assets at September 30, 2007. INVESTMENT VALUATION Market values of the Fund's portfolio securities are determined as follows: {circle}for fixed-income securities, according to prices as furnished by an independent pricing service, except that fixed-income securities with remaining maturities of less than 60 days at the time of purchase are valued at amortized cost; {circle}for investments in other open-end registered investment companies, based on net asset value; {circle}futures contracts and options are generally valued at market values established by the exchanges on which they are traded at the close of trading on such exchanges. Options traded in the over-the-counter market are generally valued according to the mean between the last bid and the last asked price for the option as provided by an investment dealer or other financial institution that deals in the option. The Board of Trustees (the "Trustees") may determine in good faith that another method of valuing such investments is necessary to appraise their fair market value; {circle}prices for total return swaps are based upon a valuation model determined by management incorporating underlying reference indexes, interest rates, yield curves and other market data or factors. Prices for credit default swaps are furnished by an independent pricing service and are based upon a valuation model incorporating default probabilities, recovery rates, and other market data or factors. Prices for interest rate swaps are furnished by an independent pricing service and are based upon a valuation model incorporating interest rates, yield curves and other market data or factors; {circle}for mortgage-backed securities, based on the aggregate investment value of the projected cash flows to be generated by the security, as furnished by an independent pricing service; and {circle}for all other securities at fair value as determined in accordance with procedures established by and under the general supervision of the Trustees. Prices for fixed-income securities, including Treasury Inflation Protected Securities, furnished by a pricing service may be based on a valuation matrix which incorporates both dealer-supplied valuations and electronic data processing techniques. Such prices (other than prices of mortgage-backed securities) are generally intended to be indicative of the bid prices currently offered to institutional investors for the securities, except that prices for corporate fixed-income and asset-backed securities traded in the United States are generally intended to be indicative of the mean between such bid prices and asked prices. The Trustees have approved the use of such pricing services. A number of pricing services are available, and the Fund may use various pricing services or discontinue the use of any pricing service. Prices provided by independent pricing services may be determined without relying exclusively on quoted prices and may consider institutional trading in similar groups of securities, yield, quality, stability, risk, coupon rate, maturity, type of issue, trading characteristics, and other market data or factors. From time to time, when prices cannot be obtained from an independent pricing service, securities may be valued based on quotes from broker-dealers or other financial institutions that trade the securities. FEDERATED MORTGAGE CORE PORTFOLIO PORTFOLIO OF INVESTMENTS September 30, 2007 (unaudited) PRINCIPAL VALUE AMOUNT
ADJUSTABLE RATE MORTGAGES--7.5% FEDERAL HOME LOAN MORTGAGE CORPORATION--2.5% $ 8,449,877 ARM, 5.771%, 1/1/2037 $ 8,505,025 19,943,392 ARM, 5.806%, 5/1/2037 20,090,365 13,874,940 ARM, 5.889%, 2/1/2037 13,937,329 TOTAL 42,532,719 FEDERAL NATIONAL MORTGAGE ASSOCIATION--5.0% 16,738,886 ARM, 5.127%, 4/1/2036 16,823,643 1,785,286 ARM, 5.293%, 1/1/2037 1,795,349 3,387,456 ARM, 5.365%, 1/1/2037 3,408,067 10,377,033 ARM, 5.550%, 8/1/2036 10,465,679 13,063,993 ARM, 5.572%, 2/1/2047 13,151,502 5,295,892 ARM, 5.603%, 2/1/2037 5,339,506 14,831,159 ARM, 5.730%, 2/1/2037 14,986,285 9,403,685 ARM, 5.945%, 10/1/2036 9,533,141 12,088,550 ARM, 5.978%, 7/1/2036 12,239,771 TOTAL 87,742,943 TOTAL ADJUSTABLE RATE MORTGAGES (IDENTIFIED COST $130,102,538) 130,275,662 COLLATERALIZED MORTGAGE OBLIGATIONS--23.0% FEDERAL HOME LOAN MORTGAGE CORPORATION-6.9% 22,130,669 REMIC 3144 FB, 6.103%, 4/15/2036 22,032,721 18,198,565 REMIC 3160 FD, 6.083%, 5/15/2036 18,044,934 13,285,775 REMIC 3175 FE, 6.063%, 6/15/2036 13,169,565 30,601,279 REMIC 3179 FP, 6.133%, 7/15/2036 30,614,848 5,428,141 REMIC 3206 FE, 6.153%, 8/15/2036 5,405,739 18,514,000 REMIC 3260 PF, 6.053%, 1/15/2037 18,490,941 13,168,031 REMIC 3296 YF, 6.153%, 3/15/2037 12,965,224 TOTAL 120,723,972 FEDERAL NATIONAL MORTGAGE ASSOCIATION--5.7% 3,440,767 REMIC 2005-63 FC, 5.381%, 10/25/2031 3,400,867 4,654,901 REMIC 2006-43 FL, 5.531%, 6/25/2036 4,645,520 12,463,679 REMIC 2006-58 FP, 5.431%, 7/25/2036 12,383,846 21,314,337 REMIC 2006-81 FB, 5.481%, 9/25/2036 21,215,747 18,885,949 REMIC 2006-85 PF, 5.511%, 9/25/2036 18,807,948 17,387,848 REMIC 2006-104 FY, 5.471%, 11/25/2036 17,263,005 22,477,950 REMIC 2006-115 EF, 5.491%, 12/25/2036 22,341,439 TOTAL 100,058,372 NON-AGENCY MORTGAGE--10.4% 14,934,520 Bank of America Mortgage Securities 2007-3, Class 1A1, 6.000%, 9/25/2037 14,765,759 15,794,861 Citicorp Mortgage Securities, Inc. 2007-4, Class 2A1, 5.500%, 5/25/2022 15,630,496 7,602,954 Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 7,357,307 15,958,366 Countrywide Home Loans 2007-14, Class A18, 6.000%, 9/25/2037 16,022,958 15,841,293 Countrywide Home Loans 2007-17, Class 3A1, 6.750%, 8/25/2037 16,012,814 16,400,000 Countrywide Home Loans 2007-18, Class 2A1, 6.500%, 9/25/2037 16,430,750 10,211,967 Credit Suisse Mortgage Capital Certificate 2007-4, Class 4A2, 5.500%, 6/25/2037 10,105,831 14,877,179 Indymac IMJA Mortgage Loan Trust 2007-A2, Class 2A1, 6.500%, 10/25/2037 14,946,923 14,989,103 Lehman Mortgage Trust 2007-8, Class 2A2, 6.500%, 9/25/2037 15,048,268 17,000,000 Lehman Mortgage Trust 2007-9, Class 1A1, 6.000%, 10/25/2037 16,766,250 7,522,176 Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 5.236%, 8/25/2035 7,349,699 15,376,909 Structured Asset Securities Corp. 2005-17, Class 5A1, 5.500%, 10/25/2035 14,881,194 15,815,106 Wells Fargo Mortgage Backed Securities Trust 2007-11, Class A96, 6.000%, 8/25/2037 15,636,516 TOTAL 180,954,765 TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS 401,737,109 (IDENTIFIED COST $401,857,328) MORTGAGE--BACKED SECURITIES--78.5% FEDERAL HOME LOAN MORTGAGE CORPORATION--46.1% 72,706,813 1 4.500%, 6/1/2019 - 3/1/2036 69,507,642 230,680,538 5.000%, 7/1/2019 - 6/1/2036 221,594,927 284,359,934 2 5.500%, 3/1/2021 - 10/1/2037 279,580,134 174,221,328 2 6.000%, 5/1/2014 - 10/1/2037 175,234,163 48,409,251 2 6.500%, 7/1/2014 - 10/1/2037 49,296,082 6,709,582 7.000%, 12/1/2011 - 9/1/2037 6,939,872 943,426 7.500%, 12/1/2022 - 7/1/2031 1,004,221 821,327 8.000%, 11/1/2009 - 3/1/2031 861,375 22,801 8.500%, 9/1/2025 24,877 44,562 9.000%, 5/1/2017 47,985 2,187 9.500%, 4/1/2021 2,468 TOTAL 804,093,746 FEDERAL NATIONAL MORTGAGE ASSOCIATION--29.7% 19,571,735 4.500%, 12/1/2019 - 10/1/2035 18,576,125 86,512,122 2 5.000%, 7/1/2034 - 10/1/2037 82,679,968 206,095,410 5.500%, 2/1/2009 - 5/1/2036 202,321,847 149,812,180 2 6.000%, 12/1/2013 - 10/1/2037 150,211,835 32,986,690 6.500%, 2/1/2009 - 12/1/2036 33,661,761 27,337,399 2 7.000%, 7/1/2010 - 10/1/2037 28,276,887 1,370,445 7.500%, 6/1/2011 - 6/1/2033 1,442,135 458,174 8.000%, 7/1/2023 - 3/1/2031 488,487 21,609 9.000%, 11/1/2021 - 6/1/2025 23,409 TOTAL 517,682,454 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--2.7% 20,000,002 5.500%, 6/15/2037 - 7/15/2037 19,734,932 20,516,817 6.000%, 10/15/2028 - 6/15/2037 20,659,627 2,030,373 6.500%, 10/15/2028 - 2/15/2032 2,091,575 1,782,701 7.000%, 11/15/2027 - 2/15/2032 1,856,845 695,919 7.500%, 4/15/2029 - 1/15/2031 733,096 997,529 8.000%, 2/15/2010 - 11/15/2030 1,051,168 134,864 8.500%, 3/15/2022 - 11/15/2030 147,293 2,185 9.500%, 10/15/2020 2,486 271,285 12.000%, 4/15/2015 - 6/15/2015 314,470 TOTAL 46,591,492 TOTAL MORTGAGE--BACKED SECURITIES 1,368,367,692 (IDENTIFIED COST $1,356,468,520) REPURCHASE AGREEMENTS--7.0% 54,264,000 3 Interest in $83,201,000 joint repurchase agreement 5.10%, dated 9/13/2007 under which Credit 54,264,000 Suisse First Boston Corp. will repurchase U.S. Government Agency securities with various maturities to 8/25/2037 for $83,531,031 on 10/11/2007. The market value of the underlying securities at the end of the period was $85,697,253 (segregated pending settlement of dollar- roll transactions). 67,751,000 Interest in $1,600,000,000 joint repurchase agreement 5.10%, dated 9/28/2007 under which 67,751,000 Deutsche Bank Securities, Inc. will repurchase U.S. Government Agency securities with various maturities to 1/25/2038 for $1,600,680,000 on 10/1/2007. The market value of the underlying securities at the end of the period was $1,638,545,162. TOTAL REPURCHASE AGREEMENTS (AT COST) 122,015,000 TOTAL INVESTMENTS-116.0% 2,022,395,463 (IDENTIFIED COST $2,010,443,386)4 OTHER ASSETS AND LIABILITIES-NET- (16.0)% (278,586,513) TOTAL NET ASSETS-100% $ 1,743,808,950
1 Pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding futures contracts. 2 All or a portion of these securities may be subject to dollar-roll transactions. 3 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. 4 At September 30, 2007, the cost of investments for federal tax purposes was $2,010,443,386. The net unrealized appreciation of investments for federal tax purposes excluding any unrealized appreciation resulting from futures contracts was $11,952,077. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $15,430,834 and net unrealized depreciation from investments for those securities having an excess of cost over value of $3,478,757.
At September 30, 2007, the Fund had the following outstanding futures contracts: DESCRIPTION NUMBER OF NOTIONAL VALUE EXPIRATION DATE UNREALIZED CONNERS APPRECIATION 5U.S. Treasury Notes 2 Year Long Futures 708 $146,589,188 December 2007 $373,592 5U.S. Treasury Bond Short Futures 235 $26,165,781 December 2007 $ 23,026 NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS $396,618 5 Non-income producing security.
Note: The categories of investments are shown as a percentage of total net assets at September 30, 2007. INVESTMENT VALUATION Market values of the Fund's portfolio securities are determined as follows: {circle}for mortgage-backed securities, based on the aggregate investment value of the projected cash flows to be generated by the security, as furnished by an independent pricing service; {circle}for other fixed-income securities, according to prices as furnished by an independent pricing service, except that fixed-income securities with remaining maturities of less than 60 days at the time of purchase are valued at amortized cost; {circle}for investments in other open-end registered investment companies, based on net asset value (NAV); {circle}futures contracts and options are generally valued at market values established by the exchanges on which they are traded at the close of trading on such exchanges. Options traded in the over-the-counter market are generally valued according to the mean between the last bid and the last asked price for the option as provided by an investment dealer or other financial institution that deals in the option. The Board of Trustees (the "Trustees") may determine in good faith that another method of valuing such investments is necessary to appraise their fair market value; {circle}prices for total return swaps are based upon a valuation model determined by management incorporating underlying reference indexes, interest rates, yield curves and other market data or factors; prices for credit default swaps are furnished by an independent pricing service and are based upon a valuation model incorporating default probabilities, recovery rates and other market data or factors; prices for interest rate swaps are furnished by an independent pricing service and are based upon a valuation model incorporating interest rates, yield curves and other market data or factors; and {circle}for all other securities at fair value as determined in accordance with procedures established by and under the general supervision of the Trustees. Prices for fixed-income securities furnished by a pricing service may be based on a valuation matrix which incorporates both dealer-supplied valuations and electronic data processing techniques. Such prices (other than prices of mortgage-backed securities) are generally intended to be indicative of the bid prices currently offered to institutional investors for the securities, except that prices for asset-backed securities traded in the United States are generally intended to be indicative of the mean between such bid prices and asked prices. The Trustees have approved the use of such pricing services. A number of pricing services are available, and the Fund may use various pricing services or discontinue the use of any pricing service. Prices provided by independent pricing services may be determined without relying exclusively on quoted prices and may consider institutional trading in similar groups of securities, yield, quality, stability, risk, coupon rate, maturity, type of issue, trading characteristics, and other market data or factors. From time to time, when prices cannot be obtained from an independent pricing service, securities may be valued based on quotes from broker-dealers or other financial institutions that trade the securities. The following acronyms are used throughout this portfolio: ARM --Adjustable Rate Mortgage REMIC --Real Estate Mortgage Investment Conduit HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS September 30, 2007 (unaudited)
PRINCIPAL VALUE AMOUNT OR SHARES CORPORATE BONDS--97.0% AEROSPACE / DEFENSE--2.7% $ 3,150,000 Alliant Techsystems, Inc., Sr. Sub. Note, 6.75%, 4/1/2016 $ 3,126,375 2,825,000 DRS Technologies, Inc., Sr. Note, 6.625%, 2/1/2016 2,803,812 2,475,000 1,2 Hawker Beechcraft Acquisition Co. LLC/Hawker Beechcraft Notes, Sr. Note, Series 144A, 8.875%, 2,499,750 4/1/2015 975,000 1,2 Hawker Beechcraft Acquisition Co. LLC/Hawker Beechcraft Notes, Sr. Sub. Note, Series 144A, 999,375 9.75%, 4/1/2017 1,125,000 L-3 Communications Corp., Sr. Sub. Note, 6.125%, 1/15/2014 1,108,125 4,575,000 L-3 Communications Corp., Sr. Sub. Note, 6.125%, 7/15/2013 4,517,812 2,275,000 L-3 Communications Holdings, Inc., Sr. Sub. Note, 5.875%, 1/15/2015 2,195,375 1,625,000 L-3 Communications Holdings, Inc., Sr. Sub. Note, Series B, 6.375%, 10/15/2015 1,604,687 3,275,000 1,2 TransDigm, Inc., Sr. Sub. Note, 7.75%, 7/15/2014 3,324,125 TOTAL 22,179,436 AUTOMOTIVE--3.5% 1,500,000 Cooper-Standard Automotive, Inc., Sr. Sub. Note, 8.375%, 12/15/2014 1,312,500 3,950,000 Ford Motor Co., Unsecd. Note, 7.45%, 7/16/2031 3,120,500 3,675,000 Ford Motor Credit Co., Floating Rate Note - Sr. Note, 8.11%, 1/13/2012 3,475,639 3,725,000 Ford Motor Credit Co., Note, 7.25%, 10/25/2011 3,493,730 1,125,000 Ford Motor Credit Co., Sr. Note, 9.875%, 8/10/2011 1,140,280 3,175,000 Ford Motor Credit Co., Sr. Unsecd. Note, 8.00%, 12/15/2016 2,974,915 8,725,000 General Motors Corp., Deb., 7.40%, 9/1/2025 7,067,250 1,850,000 General Motors Corp., Note, 8.375%, 7/15/2033 1,630,312 1,000,000 Tenneco Automotive, Inc., Sr. Sub. Note, 8.625%, 11/15/2014 1,012,500 3,375,000 United Components, Inc., Sr. Sub. Note, 9.375%, 6/15/2013 3,442,500 TOTAL 28,670,126 BUILDING MATERIALS--1.1% 878,000 Goodman Global Holdings, Inc., Floating Rate Note, Series B, 8.36%, 6/15/2012 871,415 825,000 Goodman Global Holdings, Inc., Sr. Sub. Note, 7.875%, 12/15/2012 814,687 725,000 Norcraft Cos. LLC, Sr. Sub. Note, Series WI, 9.00%, 11/1/2011 732,250 1,500,000 Norcraft Holdings LP, Sr. Disc. Note, 0/9.75%, 9/1/2012 1,350,000 925,000 Nortek Holdings, Inc., Sr. Disc. Note, 0/10.75%, 3/1/2014 573,500 1,275,000 Nortek Holdings, Inc., Sr. Sub. Note, 8.50%, 9/1/2014 1,112,437 2,775,000 1,2 Panolam Industries International, Inc., Sr. Sub. Note, 10.75%, 10/1/2013 2,650,125 950,000 Texas Industries, Inc., Sr. Note, 7.25%, 7/15/2013 952,375 TOTAL 9,056,789 CHEMICALS--5.3% 2,475,000 Chemtura Corp., Sr. Note, 6.875%, 6/1/2016 2,363,625 3,950,000 Compass Minerals International, Inc., Sr. Disc. Note, 0/12.00%, 6/1/2013 3,999,375 2,050,000 Compass Minerals International, Inc., Sr. Disc. Note, 0/12.75%, 12/15/2012 2,142,250 771,000 Equistar Chemicals LP, Sr. Note, 10.125%, 9/1/2008 799,912 1,400,000 Equistar Chemicals LP, Sr. Note, 8.75%, 2/15/2009 1,454,250 3,750,000 Equistar Chemicals LP, Sr. Unsecd. Note, 8.25%, 9/15/2016 4,246,875 3,500,000 Hexion U.S. Finance Corp., Sr. Secd. Note, 9.75%, 11/15/2014 3,867,500 2,450,000 1,2 Invista, Unit, 9.25%, 5/1/2012 2,584,750 2,025,000 Koppers Holdings, Inc., Sr. Disc. Note, 0/9.875%, 11/15/2014 1,741,500 1,969,000 Koppers, Inc., Sr. Secd. Note, 9.875%, 10/15/2013 2,092,062 725,000 1,2 Mosaic Co./The, Sr. Note, 7.375%, 12/1/2014 764,875 3,250,000 1,2 Mosaic Co./The, Sr. Note, 7.625%, 12/1/2016 3,481,562 1,400,000 Nalco Co., Sr. Disc. Note, 0/9.00%, 2/1/2014 1,225,000 950,000 Nalco Co., Sr. Note, 7.75%, 11/15/2011 973,750 3,050,000 Nalco Co., Sr. Sub. Note, 8.875%, 11/15/2013 3,217,750 2,775,000 1,2 Nell AF SARL, Sr. Note, 8.375%, 8/15/2015 2,546,062 3,275,000 Terra Capital, Inc., Company Guarantee, Series B, 7.00%, 2/1/2017 3,209,500 925,000 Union Carbide Corp., Deb., 7.50%, 6/1/2025 978,182 1,100,000 Union Carbide Corp., Sr. Deb., 7.875%, 4/1/2023 1,194,880 TOTAL 42,883,660 CONSTRUCTION MACHINERY--0.0% 1,775,000 3,4 Clark Material Handling Corp., Sr. Note, 10.75%, 11/15/2006 0 CONSUMER PRODUCTS--4.4% 3,525,000 AAC Group Holding Corp., Sr. Disc. Note, 0/10.25%, 10/1/2012 3,154,875 830,212 AAC Group Holding Corp., Sr. PIK Deb., Series WI, 12.75%, 10/1/2012 817,759 2,106,000 American Achievement Corp., Sr. Sub. Note, 8.25%, 4/1/2012 2,106,000 2,675,000 American Greetings Corp., Sr. Note, 7.375%, 6/1/2016 2,608,125 2,475,000 Church and Dwight, Inc., Sr. Sub. Note, 6.00%, 12/15/2012 2,394,562 4,400,000 Jarden Corp., Sr. Sub. Note, 7.50%, 5/1/2017 4,279,000 5,125,000 Jostens Holding Corp., Discount Bond, 0/10.25%, 12/1/2013 4,791,875 5,000,000 Jostens IH Corp., Sr. Sub. Note, 7.625%, 10/1/2012 5,112,500 4,125,000 Sealy Mattress Co., Sr. Sub. Note, 8.25%, 6/15/2014 4,176,562 3,375,000 True Temper Sports, Inc., Sr. Sub. Note, 8.375%, 9/15/2011 1,873,125 4,325,000 Visant Holding Corp., Sr. Note, 8.75%, 12/1/2013 4,443,937 TOTAL 35,758,320 ENERGY--4.1% 3,250,000 Basic Energy Services, Inc., Company Guarantee, 7.125%, 4/15/2016 3,176,875 1,300,000 Chesapeake Energy Corp., Company Guarantee, 6.875%, 11/15/2020 1,278,875 3,750,000 Chesapeake Energy Corp., Sr. Note, 6.875%, 1/15/2016 3,768,750 1,325,000 Chesapeake Energy Corp., Sr. Note, 7.50%, 9/15/2013 1,368,062 1,650,000 Cie Generale de Geophysique, Company Guarantee, 7.50%, 5/15/2015 1,707,750 850,000 Cie Generale de Geophysique, Sr. Unsecd. Note, 7.75%, 5/15/2017 879,750 2,100,000 Cimarex Energy Co., Sr. Note, 7.125%, 5/1/2017 2,094,750 1,550,000 1,2 Complete Production Services, Inc., Sr. Note, 8.00%, 12/15/2016 1,540,312 2,900,000 1,2 Forest Oil Corp., Sr. Note, 7.25%, 6/15/2019 2,914,500 1,575,000 1,2 Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Note, 7.75%, 11/1/2015 1,547,437 1,650,000 1,2 Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Note, 9.00%, 6/1/2016 1,691,250 700,000 1,2 Petroplus Finance LTD, Company Guarantee, 6.75%, 5/1/2014 675,500 2,400,000 1,2 Petroplus Finance LTD, Company Guarantee, 7.00%, 5/1/2017 2,292,000 2,800,000 Pioneer Natural Resources, Inc., Bond, 6.875%, 5/1/2018 2,642,710 1,200,000 Plains Exploration & Production Co., Sr. Note, 7.00%, 3/15/2017 1,128,000 2,025,000 Plains Exploration & Production Co., Sr. Note, 7.75%, 6/15/2015 1,994,625 1,625,000 Range Resources Corp., Sr. Sub. Note, 6.375%, 3/15/2015 1,592,500 1,150,000 Range Resources Corp., Sr. Sub. Note, 7.375%, 7/15/2013 1,173,000 TOTAL 33,466,646 ENTERTAINMENT--1.2% 1,750,000 AMC Entertainment, Inc., Sr. Sub. Note, 8.00%, 3/1/2014 1,675,625 3,525,000 Cinemark, Inc., Sr. Disc. Note, 0/9.75%, 3/15/2014 3,348,750 1,850,000 1,2 Hard Rock Park Operations LLC, Sr. Secd. Note, 10.07%, 4/1/2012 1,785,250 1,500,000 Universal City Development Partners Ltd., Sr. Note, 11.75%, 4/1/2010 1,571,250 1,700,000 Universal City Florida Holding Co., Floating Rate Note, 10.10625%, 5/1/2010 1,725,500 TOTAL 10,106,375 ENVIRONMENTAL--1.1% 3,100,000 Allied Waste North America, Inc., Note, Series B, 7.125%, 5/15/2016 3,185,250 3,850,000 Allied Waste North America, Inc., Sr. Secd. Note, 6.875%, 6/1/2017 3,888,500 1,500,000 Browning-Ferris Industries, Inc., Deb., 9.25%, 5/1/2021 1,635,000 TOTAL 8,708,750 FINANCIAL INSTITUTIONS--1.7% 2,025,000 American Real Estate Partners LP Finance, Sr. Note, 7.125%, 2/15/2013 1,938,937 3,600,000 General Motors Acceptance Corp., 6.875%, 9/15/2011 3,428,802 6,350,000 General Motors Acceptance Corp., 8.00%, 11/1/2031 6,246,254 2,300,000 iPayment Holdings, Inc., Sr. Sub. Note, Series WI, 9.75%, 5/15/2014 2,208,000 TOTAL 13,821,993 FOOD & BEVERAGE--7.1% 4,950,000 ASG Consolidated LLC, Sr. Disc. Note, 0/11.50%, 11/1/2011 4,628,250 2,250,000 Aramark Corp., Floating Rate Note - Sr. Note, 8.86%, 2/1/2015 2,283,750 4,200,000 1,2 Aramark Corp., Sr. Note, 8.50%, 2/1/2015 4,305,000 4,125,000 B&G Foods Holdings Corp., Sr. Note, 8.00%, 10/1/2011 4,104,375 2,300,000 Constellation Brands, Inc., Company Guarantee, Series B, 8.00%, 2/15/2008 2,311,500 2,050,000 1,2 Constellation Brands, Inc., Sr. Note, 7.25%, 5/15/2017 2,060,250 775,000 Constellation Brands, Inc., Sr. Note, 7.25%, 9/1/2016 778,875 3,525,000 Cott Beverages, Inc., Company Guarantee, 8.00%, 12/15/2011 3,489,750 4,625,000 Dean Foods Co., Company Guarantee, 7.00%, 6/1/2016 4,416,875 3,650,000 Del Monte Corp., Sr. Sub. Note, 6.75%, 2/15/2015 3,522,250 3,325,000 1,2 Eurofresh, Inc., Sr. Note, 11.50%, 1/15/2013 2,876,125 3,975,000 Michael Foods, Inc., Sr. Sub. Note, 8.00%, 11/15/2013 3,994,875 2,575,000 Pierre Foods, Inc., Sr. Sub. Note, 9.875%, 7/15/2012 2,381,875 4,075,000 Pilgrim's Pride Corp., Sr. Sub. Note, 8.375%, 5/1/2017 4,176,875 1,975,000 1,2 Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., Sr. Note, 9.25%, 4/1/2015 1,891,062 2,475,000 1,2 Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., Sr. Sub. Note, 10.625%, 4/1/2017 2,332,687 4,300,000 Reddy Ice Group, Inc., Sr. Disc. Note, 0/10.50%, 11/1/2012 4,063,500 3,500,000 Smithfield Foods, Inc., Sr. Note, 7.75%, 7/1/2017 3,605,000 TOTAL 57,222,874 GAMING--5.5% 3,150,000 1,2 Fontainebleu Las Vegas Holdings LLC/Fontainebleu Las Vegas, Second Mortgage Notes, 10.25%, 2,968,875 6/15/2015 1,775,000 Global Cash Access LLC, Sr. Sub. Note, 8.75%, 3/15/2012 1,846,000 2,425,000 1,2 Great Canadian Gaming Corp., Sr. Sub. Note, 7.25%, 2/15/2015 2,437,125 2,575,000 Herbst Gaming, Inc., Sr. Sub. Note, 7.00%, 11/15/2014 2,124,375 2,700,000 Jacobs Entertainment, Inc., Sr. Note, 9.75%, 6/15/2014 2,700,000 6,225,000 MGM Mirage, Sr. Note, 5.875%, 2/27/2014 5,765,906 1,250,000 MGM Mirage, Sr. Note, 7.50%, 6/1/2016 1,248,437 4,000,000 MGM Mirage, Sr. Note, 8.50%, 9/15/2010 4,200,000 3,025,000 MTR Gaming Group, Inc., Company Guarantee, Series B, 9.75%, 4/1/2010 3,123,312 800,000 MTR Gaming Group, Inc., Sr. Sub. Note, Series B, 9.00%, 6/1/2012 796,000 1,725,000 Park Place Entertainment Corp., Sr. Sub. Note, 7.875%, 3/15/2010 1,768,125 3,050,000 Penn National Gaming, Inc., Sr. Sub. Note, 6.75%, 3/1/2015 3,126,250 2,350,000 1,2 San Pasqual Casino Development Group, Inc., Sr. Note, 8.00%, 9/15/2013 2,385,250 2,950,000 1,2 Shingle Springs Tribal Gaming, Sr. Note, 9.375%, 6/15/2015 2,994,250 525,000 Station Casinos, Inc., Sr. Note, 7.75%, 8/15/2016 522,375 2,000,000 1,2 Tunica-Biloxi Gaming Authority, Sr. Unsecd. Note, 9.00%, 11/15/2015 1,995,000 4,275,000 Wynn Las Vegas LLC, 1st Mtg. Note, 6.625%, 12/1/2014 4,210,875 TOTAL 44,212,155 HEALTH CARE--8.5% 1,850,000 AMR Holding Co./Emcare Holding Co., Sr. Sub. Note, 10.00%, 2/15/2015 1,970,250 2,375,000 Accellent, Inc., Sr. Sub., 10.50%, 12/1/2013 2,208,750 2,000,000 1,2 Advanced Medical Optics, Inc., Company Guarantee, 7.50%, 5/1/2017 1,850,000 3,550,000 Bio Rad Laboratories, Inc., Sr. Sub. Note, 6.125%, 12/15/2014 3,390,250 2,775,000 CRC Health Corp., Sr. Sub. Note, 10.75%, 2/1/2016 2,927,625 2,500,000 Fisher Scientific International, Inc., Sr. Sub. Note, 6.125%, 7/1/2015 2,422,632 2,350,000 HCA, Inc., Sr. Note, 7.50%, 11/6/2033 1,903,500 7,900,000 1,2 HCA, Inc., Sr. Secd. 2nd Priority Note, 9.25%, 11/15/2016 8,413,500 8,125,000 1,2 HCA, Inc., Sr. Secd. 2nd Priority Note, 9.625%, 11/15/2016 8,693,750 3,825,000 National Mentor Holdings, Inc., Sr. Sub. Note, 11.25%, 7/1/2014 4,054,500 3,750,000 Omnicare, Inc., Sr. Sub. Note, 6.875%, 12/15/2015 3,487,500 850,000 1,2 Psychiatric Solutions, Inc., Sr. Sub. Deb., 7.75%, 7/15/2015 864,875 1,925,000 Psychiatric Solutions, Inc., Sr. Sub. Note, 7.75%, 7/15/2015 1,958,687 2,625,000 1,2 United Surgical Partners International, Inc., 9.25%, 5/1/2017 2,638,125 500,000 1,2 United Surgical Partners International, Inc., Sr. Sub. Note, 8.875%, 5/1/2017 507,500 2,075,000 1,2 Universal Hospital Services, Inc., Floating Rate Note - Sr. Secured Note, 8.759375%, 6/1/2015 2,075,000 525,000 1,2 Universal Hospital Services, Inc., Sr. Secd. Note, 8.50%, 6/1/2015 522,375 3,425,000 Vanguard Health Holdings II, Sr. Sub. Note, 9.00%, 10/1/2014 3,339,375 3,400,000 1,2 Varietal Distribution, Unsecd. Note, Series 144A, 10.25%, 7/15/2015 3,298,000 1,525,000 Ventas Realty LP, Sr. Note, 6.50%, 6/1/2016 1,509,750 4,850,000 Ventas Realty LP, Sr. Note, 6.625%, 10/15/2014 4,862,125 2,275,000 Ventas Realty LP, Sr. Note, 7.125%, 6/1/2015 2,331,875 3,625,000 1,2 Viant Holdings, Inc., Company Guarantee, 10.125%, 7/15/2017 3,389,375 TOTAL 68,619,319 INDUSTRIAL - OTHER--6.7% 4,350,000 ALH Finance LLC/ALH Finance Corp., Sr. Sub. Note, 8.50%, 1/15/2013 4,197,750 2,500,000 American Tire Distributors, Inc., Sr. Note, 10.75%, 4/1/2013 2,487,500 3,125,000 1,2 Baker & Taylor Acquisition Corp., Sr. Secd. Note, 11.50%, 7/1/2013 3,082,031 3,200,000 Baldor Electric Co., Sr. Note, 8.625%, 2/15/2017 3,360,000 1,950,000 1,2 Belden CDT, Inc., Sr. Sub. Note, 7.00%, 3/15/2017 1,940,250 700,000 Da-Lite Screen Co., Inc., Sr. Note, 9.50%, 5/15/2011 736,750 750,000 1,2 ESCO Corp., Floating Rate Note - Sr. Note, 9.56938%, 12/15/2013 727,500 1,350,000 1,2 ESCO Corp., Sr. Note, 8.625%, 12/15/2013 1,336,500 4,625,000 Education Management LLC, Sr. Sub. Note, 10.25%, 6/1/2016 4,810,000 1,850,000 1,2 General Cable Corp., Floating Rate Note - Sr. Note, 7.735%, 4/1/2015 1,803,750 2,225,000 1,2 General Cable Corp., Sr. Note, 7.125%, 4/1/2017 2,191,625 2,025,000 Hawk Corp., Sr. Note, 8.75%, 11/1/2014 2,060,438 2,350,000 Interline Brands, Inc., Sr. Sub. Note, 8.125%, 6/15/2014 2,332,375 4,975,000 1,2 Knowledge Learning Corp., Sr. Sub. Note, 7.75%, 2/1/2015 4,850,625 775,000 1,2 Mueller Water Products, Inc., Sr. Sub. Note, 7.375%, 6/1/2017 724,625 3,300,000 Norcross Safety Products, Sr. Sub. Note, Series B, 9.875%, 8/15/2011 3,407,250 1,900,000 1,2 Rental Service Corp., Sr. Note, 9.50%, 12/1/2014 1,824,000 3,319,030 Safety Products Holdings, Inc., Sr. Note, Series B, 11.75%, 1/1/2012 3,551,362 1,725,000 Sensus Metering Systems, Inc., Sr. Sub. Note, 8.625%, 12/15/2013 1,681,875 2,425,000 Stanadyne Corp., Sr. Sub. Note, 10.00%, 8/15/2014 2,449,250 1,675,000 Stanadyne Holdings, Inc., Sr. Disc. Note, 2/15/2015 1,356,750 1,575,000 Superior Essex Communications LLC, Sr. Note, 9.00%, 4/15/2012 1,563,187 1,700,000 Valmont Industries, Inc., Sr. Sub. Note, 6.875%, 5/1/2014 1,704,250 TOTAL 54,179,643 LODGING--1.0% 1,000,000 Host Hotels & Resorts LP, Sr. Note, 6.875%, 11/1/2014 1,002,500 1,150,000 Host Marriott LP, Note, Series Q, 6.75%, 6/1/2016 1,144,250 3,125,000 Host Marriott LP, Unsecd. Note, 7.125%, 11/1/2013 3,164,063 2,650,000 Royal Caribbean Cruises Ltd., Sr. Note, 7.25%, 6/15/2016 2,624,189 TOTAL 7,935,002 MEDIA - CABLE--1.6% 625,000 Charter Communications Holdings II, Company Guarantee, 10.25%, 10/1/2013 654,688 6,600,000 Charter Communications Holdings II, Sr. Note, 10.25%, 9/15/2010 6,781,500 3,650,000 Kabel Deutschland GMBH, Company Guarantee, 10.625%, 7/1/2014 3,923,750 1,950,000 Videotron Ltee, Sr. Note, 6.375%, 12/15/2015 1,842,750 TOTAL 13,202,688 MEDIA - NON-CABLE--9.8% 3,269,068 Affinity Group Holding, Inc., Sr. Note, 10.875%, 2/15/2012 3,383,485 900,000 Affinity Group, Inc., Sr. Sub. Note, 9.00%, 2/15/2012 922,500 3,200,000 CBD Media Holdings, Sr. Note, 9.25%, 7/15/2012 3,453,088 1,000,000 CBD Media LLC, Sr. Sub. Note, 8.625%, 6/1/2011 1,045,630 1,450,000 DIRECTV Holdings LLC, Sr. Note, 6.375%, 6/15/2015 1,382,937 2,974,000 DIRECTV Holdings LLC, Sr. Note, 8.375%, 3/15/2013 3,104,112 4,725,000 Echostar DBS Corp., Sr. Note, 6.625%, 10/1/2014 4,760,437 4,050,000 Idearc, Inc., Company Guarantee, 8.00%, 11/15/2016 4,060,125 5,550,000 Intelsat Bermuda Ltd., Sr. Note, 11.25%, 6/15/2016 5,973,188 4,125,000 1,2 Intelsat Bermuda Ltd., Sr. Note, 8.886%, 1/15/2015 4,186,875 4,675,000 Intelsat Intermediate Holding Co. Ltd., Sr. Disc. Note, 0/9.25%, 2/1/2015 3,868,563 1,775,000 Intelsat Subsidiary Holding Co. Ltd., Sr. Note, 8.625%, 1/15/2015 1,819,375 1,475,000 Lamar Media Corp., Sr. Sub. Note, 6.625%, 8/15/2015 1,430,750 600,000 Lamar Media Corp., Sr. Sub. Note, 6.625%, 8/15/2015 582,000 1,825,000 Lamar Media Corp., Sr. Sub. Note, 7.25%, 1/1/2013 1,843,250 1,775,000 1,2 Local TV Finance LLC/Local TV Finance Corp., Sr. Unsecd. Note, 9.25%, 6/15/2015 1,677,375 2,625,000 1,2 Medimedia USA, Inc., Sr. Sub. Note, 11.375%, 11/15/2014 2,716,875 1,375,000 Quebecor Media, Inc., Sr. Note, 7.75%, 3/15/2016 1,318,281 2,450,000 Quebecor Media, Inc., Sr. Unsecd. Note, Series WI, 7.75%, 3/15/2016 2,348,938 1,900,000 R. H. Donnelly Finance Corp., Sr. Sub. Note, 10.875%, 12/15/2012 2,028,250 2,600,000 R.H. Donnelly Corp, Sr. Disc. Note, Series A-2, 6.875%, 1/15/2013 2,470,000 1,850,000 R.H. Donnelly Corp, Sr. Note, 8.875%, 10/15/2017 1,887,000 2,700,000 R.H. Donnelly Corp, Sr. Note, Series A-3, 8.875%, 1/15/2016 2,764,125 5,264,000 R.H. Donnelly Corp, Sr. Sub. Note, Series B, 9.875%, 8/15/2013 5,625,900 1,183,000 1,2 Rainbow National Services LLC, Sr. Sub. Note, 10.375%, 9/1/2014 1,304,258 2,875,000 1,2 Readers Digest Association, Inc., Sr. Sub. Note, 9.00%, 2/15/2017 2,601,875 3,550,000 Southern Graphics Systems, Inc., Sr. Sub. Note, Series WI, 12.00%, 12/15/2013 3,674,250 2,075,000 1,2 Univision Television Group, Inc., Sr. Note, 9.75%, 3/15/2015 2,033,500 4,775,000 1,2 WDAC Subsidiary Corp., Sr. Note, 8.375%, 12/1/2014 4,798,875 TOTAL 79,065,817 METALS & MINING--1.2% 1,825,000 1,2 Aleris International, Inc., Sr. Note, 9.00%, 12/15/2014 1,697,250 2,325,000 1,2 Aleris International, Inc., Sr. Sub. Note, 10.00%, 12/15/2016 2,069,250 3,350,000 Freeport-McMoRan Copper & Gold, Inc., Sr. Note, 8.375%, 4/1/2017 3,668,250 2,025,000 Novelis, Inc., Company Guarantee, 7.25%, 2/15/2015 1,964,250 2,000,000 3 Republic Technologies International, Inc., Company Guarantee, 13.75%, 7/15/2009 0 TOTAL 9,399,000 PACKAGING--2.4% 3,925,000 Ball Corp., Sr. Note, 6.625%, 3/15/2018 3,866,125 1,075,000 Ball Corp., Sr. Note, 6.875%, 12/15/2012 1,093,813 3,250,000 Berry Plastics Corp., Sr. Secd. Note, 8.875%, 9/15/2014 3,339,375 5,625,000 Crown Americas LLC, Sr. Note, 7.75%, 11/15/2015 5,835,938 1,475,000 Owens-Brockway Glass Container, Inc., Company Guarantee, 8.25%, 5/15/2013 1,534,000 2,600,000 Owens-Brockway Glass Container, Inc., Sr. Note, 6.75%, 12/1/2014 2,577,250 1,225,000 1,2 Plastipak Holdings, Sr. Note, 8.50%, 12/15/2015 1,274,000 520,679 1,3 Russell Stanley Holdings, Inc., Sr. Sub. Note, 9.00%, 11/30/2008 24,160 TOTAL 19,544,661 PAPER--1.0% 4,050,000 Graphic Packaging International Corp., Sr. Sub. Note, 9.50%, 8/15/2013 4,181,625 3,800,000 NewPage Corp., Sr. Sub. Note, 12.00%, 5/1/2013 4,094,500 TOTAL 8,276,125 RESTAURANTS--0.5% 2,500,000 Dave & Buster's, Inc., Sr. Note, 11.25%, 3/15/2014 2,537,500 1,750,000 1,2 Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, Sr. Secd. Note, 1,717,188 8.19438%, 3/15/2014 TOTAL 4,254,688 RETAILERS--3.4% 575,000 AutoNation, Inc., Company Guarantee, 7.00%, 4/15/2014 552,000 2,200,000 AutoNation, Inc., Floating Rate Note - Sr. Note, 7.36%, 4/15/2013 2,112,000 4,075,000 1,2 Claire's Stores, Inc., Sr. Sub. Note, 10.50%, 6/1/2017 3,158,125 4,275,000 Couche-Tard Financing Corp., Sr. Sub. Note, 7.50%, 12/15/2013 4,371,188 2,406,000 FTD, Inc., Sr. Sub. Note, 7.75%, 2/15/2014 2,297,730 3,225,000 1,2 General Nutrition Center, Floating Rate Note - Sr. Note, 10.00938%, 3/15/2014 3,112,125 3,500,000 NBC Acquisition Corp., Sr. Disc. Note, 0/11.00%, 3/15/2013 3,176,250 2,850,000 Nebraska Book Co., Inc., Sr. Sub. Note, 8.625%, 3/15/2012 2,857,125 4,000,000 The Yankee Candle Co., Inc., Sr. Sub. Note, 9.75%, 2/15/2017 3,800,000 2,075,000 United Auto Group, Inc., Sr. Sub. Note, 7.75%, 12/15/2016 1,997,188 TOTAL 27,433,731 SERVICES--0.8% 4,550,000 West Corp., Company Guarantee, 11.00%, 10/15/2016 4,800,250 1,750,000 West Corp., Sr. Note, 9.50%, 10/15/2014 1,815,625 TOTAL 6,615,875 TECHNOLOGY--5.5% 3,425,000 Activant Solutions, Inc., Sr. Sub. Note, 9.50%, 5/1/2016 3,022,563 1,175,000 1,2 CHR Intermediate Holding Corp., Floating Rate Note - Sr. Note, 12.87125%, 6/1/2013 1,201,438 3,175,000 1,2 Compucom System, Inc., 12.50%, 10/1/2015 3,040,063 2,050,000 1,2 Compucom System, Inc., Sr. Note, 12.00%, 11/1/2014 2,593,250 1,550,000 Deluxe Corp., 5.125%, 10/1/2014 1,340,750 2,000,000 1,2 Deluxe Corp., Sr. Unsecd. Note, 7.375%, 6/1/2015 1,985,000 2,775,000 Freescale Semiconductor, Inc., Sr. Note, 8.875%, 12/15/2014 2,691,750 1,375,000 MagnaChip Semiconductor S.A., Sr. Sub. Note, 8.00%, 12/15/2014 955,625 3,200,000 1,2 Open Solutions, Inc., Sr. Sub. Note, 9.75%, 2/1/2015 3,096,000 3,125,000 SERENA Software, Inc., Sr. Sub. Note, 10.375%, 3/15/2016 3,234,375 3,325,000 SS&C Technologies, Inc., Sr. Sub. Note, 11.75%, 12/1/2013 3,541,125 3,000,000 Seagate Technology HDD Holdings, Sr. Note, 6.80%, 10/1/2016 2,947,500 1,268,000 Smart Modular Technologies, Inc., Sr. Secd. Note, 10.86%, 4/1/2012 1,334,570 3,700,000 SunGard Data Systems, Inc., Sr. Note, Series WI, 9.125%, 8/15/2013 3,866,500 4,975,000 SunGard Data Systems, Inc., Sr. Sub. Note, Series WI, 10.25%, 8/15/2015 5,223,750 2,900,000 Xerox Corp., Sr. Note, 9.75%, 1/15/2009 3,046,134 1,625,000 Xerox Corp., Sr. Unsecd. Note, 6.40%, 3/15/2016 1,647,549 TOTAL 44,767,942 TEXTILE--0.3% 2,100,000 Warnaco Group, Inc., Sr. Note, 8.875%, 6/15/2013 2,210,250 TOBACCO--0.5% 3,825,000 Reynolds American, Inc., Sr. Secd. Note, 7.75%, 6/1/2018 4,091,220 TRANSPORTATION--1.7% 1,025,000 3,4 AmeriTruck Distribution Corp., Sr. Sub. Note, 12.25%, 11/15/2005 0 3,775,000 1,2 CEVA Group PLC, Sr. Note, 10.00%, 9/1/2014 3,793,875 1,900,000 Hertz Corp., Sr. Note, 8.875%, 1/1/2014 1,966,500 4,025,000 Hertz Corp., Sr. Sub. Note, 10.50%, 1/1/2016 4,367,125 950,000 Stena AB, Sr. Note, 7.00%, 12/1/2016 950,000 2,225,000 Stena AB, Sr. Note, 7.50%, 11/1/2013 2,247,250 1,050,000 3,4 The Holt Group, Inc., Company Guarantee, 9.75%, 1/15/2006 0 TOTAL 13,324,750 UTILITY - ELECTRIC--4.7% 950,000 CMS Energy Corp., Sr. Note, 6.875%, 12/15/2015 960,640 4,650,000 1,2 Dynegy Holdings, Inc., Sr. Note, 7.75%, 6/1/2019 4,469,813 2,550,000 1,2 Edison Mission Energy, Sr. Note, 7.00%, 5/15/2017 2,524,500 5,475,000 Edison Mission Energy, Sr. Note, 7.75%, 6/15/2016 5,694,000 964,781 1,2 FPL Energy National Wind, Note, 6.125%, 3/25/2019 971,868 4,050,000 1,2 Intergen NV, Sr. Secd. Note, 9.00%, 6/30/2017 4,272,750 2,300,000 NRG Energy, Inc., Sr. Note, 7.25%, 2/1/2014 2,311,500 1,225,000 NRG Energy, Inc., Sr. Note, 7.375%, 1/15/2017 1,228,063 3,750,000 NRG Energy, Inc., Sr. Note, 7.375%, 2/1/2016 3,768,750 350,000 Nevada Power Co., Mtg. Note, 6.50%, 4/15/2012 361,749 625,000 Nevada Power Co., Mtg. Note, Series L, 5.875%, 1/15/2015 613,404 875,000 Northwestern Corp., Note, 5.875%, 11/1/2014 854,167 3,600,000 PSEG Energy Holdings, Sr. Note, 10.00%, 10/1/2009 3,876,034 3,325,000 Sierra Pacific Resources, Sr. Note, Series WI, 6.75%, 8/15/2017 3,287,132 850,000 TECO Energy, Inc., Sr. Note, 6.75%, 5/1/2015 874,137 2,000,000 TXU Corp., Sr. Note, Series P, 5.55%, 11/15/2014 1,622,840 TOTAL 37,691,347 UTILITY - NATURAL GAS--5.0% 2,050,000 AmeriGas Partners LP, Sr. Note, 7.125%, 5/20/2016 2,003,875 2,175,000 AmeriGas Partners LP, Sr. Unsecd. Note, 7.25%, 5/20/2015 2,153,250 1,300,000 El Paso Corp., Sr. Note, 7.80%, 8/1/2031 1,326,512 1,775,000 El Paso Corp., Sr. Note, 8.05%, 10/15/2030 1,833,421 4,175,000 Holly Energy Partners LP, Sr. Note, 6.25%, 3/1/2015 3,903,625 4,150,000 Inergy LP, Sr. Note, 6.875%, 12/15/2014 4,025,500 725,000 Pacific Energy Partners LP, Sr. Note, 6.25%, 9/15/2015 699,587 2,250,000 Pacific Energy Partners LP, Sr. Note, 7.125%, 6/15/2014 2,308,806 1,657,000 1,2 Regency Energy Partners LP, Sr. Unsecd. Note, 8.375%, 12/15/2013 1,743,993 1,750,000 Semco Energy, Inc., Sr. Note, 7.125%, 5/15/2008 1,763,458 1,975,000 Southern Star Central Corp., Sr. Note, 6.75%, 3/1/2016 1,898,469 4,050,000 Tennessee Gas Pipeline, Bond, 8.375%, 6/15/2032 4,780,280 1,100,000 Tennessee Gas Pipeline, Sr. Deb., 7.50%, 4/1/2017 1,192,144 2,275,000 Transcontinental Gas Pipe Corp., Sr. Note, 8.875%, 7/15/2012 2,542,313 250,000 Transcontinental Gas Pipe Corp., Sr. Unsecd. Note, 6.40%, 4/15/2016 252,500 4,125,000 Williams Cos., Inc., Note, 7.625%, 7/15/2019 4,439,531 3,425,000 Williams Cos., Inc., Note, 7.875%, 9/1/2021 3,741,813 TOTAL 40,609,077 WIRELESS COMMUNICATIONS--2.5% 1,400,000 Centennial Cellular Corp., Floating Rate Note - Sr. Note, 11.11%, 1/1/2013 1,449,000 2,275,000 Centennial Communications Corp., Sr. Note, 10.00%, 1/1/2013 2,417,188 925,000 1,2 Digicel Ltd., Sr. Note, 8.875%, 1/15/2015 871,813 1,790,299 1,2 Digicel Ltd., Sr. Note, 9.125%, 1/15/2015 1,669,454 1,475,000 1,2 Digicel Ltd., Sr. Note, 9.25%, 9/1/2012 1,522,938 1,250,000 1,2 MetroPCS Wireless, Inc., Sr. Note, 9.25%, 11/1/2014 1,281,250 2,525,000 1,2 MetroPCS Wireless, Inc., Sr. Note, 9.25%, 11/1/2014 2,588,125 3,200,000 Rogers Wireless, Inc., 6.375%, 3/1/2014 3,236,438 2,250,000 Rogers Wireless, Inc., Sr. Sub. Note, 8.00%, 12/15/2012 2,356,358 2,725,000 US Unwired, Inc., Sr. Secd. Note, 10.00%, 6/15/2012 2,925,617 TOTAL 20,318,181 WIRELINE COMMUNICATIONS--2.2% 2,750,000 Citizens Communications Co., 9.00%, 8/15/2031 2,805,000 9,950,000 Qwest Corp., Note, 8.875%, 3/15/2012 10,907,688 2,025,000 Valor Telecommunications Enterprises, Sr. Note, 7.75%, 2/15/2015 2,124,014 1,750,000 Windstream Corp., Sr. Note, 8.625%, 8/1/2016 1,874,688 TOTAL 17,711,390 TOTAL CORPORATE BONDS (IDENTIFIED COST $784,774,449) 785,337,830 COMMON STOCKS & WARRANTS--0.5% CHEMICALS--0.3% 704 3 General Chemical Industrial Products, Inc. 1,453,401 407 3 General Chemical Industrial Products, Inc., Warrants 760,707 302 3 General Chemical Industrial Products, Inc., Warrants 509,918 TOTAL 2,724,026 CONSUMER PRODUCTS--0.0% 1,003 1,3 Sleepmaster LLC 10 INDUSTRIAL - OTHER--0.1% 458,151 1,3 ACP Holdings Corp., Warrants 607,050 MEDIA - CABLE--0.1% 29,925 Virgin Media, Inc. 726,280 MEDIA - NON-CABLE--0.0% 1,800 3 XM Satellite Radio, Inc., Warrants 5,400 19,800 3 Ziff Davis Media, Inc., Warrants 198 TOTAL 5,598 METALS & MINING--0.0% 2,000 1,3 Republic Technologies International, Inc., Warrants 0 57,533 1,3 Royal Oak Mines, Inc. 892 TOTAL 892 OTHER--0.0% 171 1,3 CVC Claims Litigation LLC 0 PACKAGING--0.0% 5 1,3 Pliant Corp. 0 57,000 1,3 Russell Stanley Holdings, Inc. 0 TOTAL 0 TOTAL COMMON STOCKS & WARRANTS (IDENTIFIED COST $5,907,111) 4,063,856 PREFERRED STOCK--0.0% MEDIA - NON-CABLE--0.0% 108 3 Ziff Davis Media, Inc., PIK Pfd., Series E-1 (IDENTIFIED COST $0) 1,620 MUTUAL FUND--0.9% 7,194,488 5,6 Prime Value Obligations Fund, Institutional Shares, 5.27% 7,194,488 (AT NET ASSET VALUE) TOTAL INVESTMENTS-98.4% 796,597,794 (IDENTIFIED COST $797,876,048)7 OTHER ASSETS AND LIABILITIES - NET-1.6% 13,197,765 TOTAL NET ASSETS-100% $ 809,795,559
1 Denotes a restricted security that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933; or (b) is subject to a contractual restriction on public sales. At September 30, 2007, these restricted securities amounted to $178,881,716, which represented 22.1% of total net assets. 2 Denotes a restricted security that may be resold without restriction to "qualified institutional buyers" as defined in Rule 144A under the Securities Act of 1933 and that the Fund has determined to be liquid under criteria established by the Fund's Board of Trustees (the "Trustees"). At September 30, 2007, these liquid restricted securities amounted to $178,249,604, which represented 22.0% of total net assets. 3 Non-income producing security. 4 Principal amount and interest were not paid upon final maturity. 5 Affiliated company. 6 7-Day net yield. 7 At September 30, 2007, the cost of investments for federal tax purposes was $798,370,767. The net unrealized depreciation of investments for federal tax purposes was $1,772,973. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $21,883,446 and net unrealized depreciation from investments for those securities having an excess of cost over value of $23,656,419. Note: The categories of investments are shown as a percentage of total net assets at September 30, 2007. INVESTMENT VALUATION Market values of the Fund's portfolio securities are determined as follows: {circle}for fixed-income securities, according to prices as furnished by an independent pricing service, except that fixed-income securities with remaining maturities of less than 60 days at the time of purchase are valued at amortized cost; {circle}for investments in other open-end registered investment companies, based on net asset value (NAV); {circle}for equity securities, according to the last sale price or official closing price reported in the market in which they are primarily traded (either a national securities exchange or the over-the-counter market), if available; {circle}in the absence of recorded sales for equity securities, according to the mean between the last closing bid and asked prices; {circle}futures contracts and options are generally valued at market values established by the exchanges on which they are traded at the close of trading on such exchanges. Options traded in the over-the-counter market are generally valued according to the mean between the last bid and the last asked price for the option as provided by an investment dealer or other financial institution that deals in the option. The Trustees may determine in good faith that another method of valuing such investments is necessary to appraise their fair market value; {circle}prices for total return swaps are based upon a valuation model determined by management incorporating underlying reference indexes, interest rates, yield curves and other market data or factors; prices for credit default swaps are furnished by an independent pricing service and are based upon a valuation model incorporating default probabilities, recovery rates and other market data or factors; prices for interest rate swaps are furnished by an independent pricing service and are based upon a valuation model incorporating interest rates, yield curves and other market data or factors; and {circle}for all other securities at fair value as determined in accordance with procedures established by and under the general supervision of the Trustees. Prices for fixed-income securities furnished by a pricing service may be based on a valuation matrix which incorporates both dealer-supplied valuations and electronic data processing techniques. Such prices are generally intended to be indicative of the bid prices currently offered to institutional investors for the securities, except that prices for corporate fixed-income and asset-backed securities traded in the United States are generally intended to be indicative of the mean between such bid prices and asked prices. The Trustees have approved the use of such pricing services. A number of pricing services are available, and the Fund may use various pricing services or discontinue the use of any pricing service. Prices provided by independent pricing services may be determined without relying exclusively on quoted prices and may consider institutional trading in similar groups of securities, yield, quality, stability, risk, coupon rate, maturity, type of issue, trading characteristics, and other market data or factors. From time to time, when prices cannot be obtained from an independent pricing service, securities may be valued based on quotes from broker-dealers or other financial institutions that trade the securities. Trading in foreign securities may be completed at times which vary from the closing of the New York Stock Exchange (NYSE). In computing its NAV, the Fund values foreign securities using the latest closing price on the exchange on which they are traded immediately prior to the closing of the NYSE. Certain foreign currency exchange rates are generally determined at the latest rate prior to the closing of the NYSE. Foreign securities quoted in foreign currencies are translated into U.S. dollars at current rates. Events that affect these values and exchange rates may occur between the times at which they are determined and the closing of the NYSE. If such events materially affect the value of portfolio securities, these securities may be valued at their fair value as determined in good faith by the Trustees, although the actual calculation is done by others under the direction of Fund management. An event is considered material if there is both an affirmative expectation that the security's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. 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, 2007, is as follows:
SECURITY ACQUISITION DATE ACQUISITION COST ACP Holdings Corp., Warrants 9/24/2003 $0 CVC Claims Litigation LLC 5/20/1998 $332,875 Pliant Corp. 7/18/2006 $0 Republic Technologies International, Inc., Warrants 8/06/1999 $0 Royal Oak Mines, Inc. 7/31/98 - 2/24/1999 $6,392 Russell Stanley Holdings, Inc. 11/09/2001 $0 Russell Stanley Holdings, Inc., Sr. Sub. Note, 9.00%, 11/30/2008 2/5/1999 - 5/15/2005 $2,684,423 Sleepmaster LLC 12/23/2004 $0
The following acronym is 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 A. NOVAK RICHARD A. NOVAK PRINCIPAL FINANCIAL OFFICER DATE NOVEMBER 21, 2007 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 21, 2007 BY /S/ RICHARD A. NOVAK RICHARD A. NOVAK PRINCIPAL FINANCIAL OFFICER DATE NOVEMBER 21, 2007 -1-