N-Q 1 form.htm

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

4000 Ericsson Drive

Warrendale, PA 15086-7561

(Address of Principal Executive Offices)

 

 

(412) 288-1900

(Registrant's Telephone Number)

 

 

John W. McGonigle, Esquire

Federated Investors Tower

1001 Liberty Avenue

Pittsburgh, Pennsylvania 15222-3779

(Name and Address of Agent for Service)

(Notices should be sent to the Agent for Service)

 

 

 

 

 

 

Date of Fiscal Year End: 12/31/14

 

 

Date of Reporting Period: Quarter ended 09/30/14

 

 

 

 

 

 

 

Item 1. Schedule of Investments

 

High Yield Bond Portfolio
Portfolio of Investments
September 30, 2014 (unaudited)
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—98.4%  
    Aerospace/Defense—0.9%  
$5,625,000   B/E Aerospace, Inc., Sr. Unsecd. Note, 5.25%, 4/1/2022 $6,089,063
3,175,000   TransDigm, Inc., 5.50%, 10/15/2020 3,095,625
1,000,000   TransDigm, Inc., 7.50%, 7/15/2021 1,072,500
7,450,000 1,2 TransDigm, Inc., Series 144A, 6.00%, 7/15/2022 7,366,187
4,175,000 1,2 TransDigm, Inc., Series 144A, 6.50%, 7/15/2024 4,164,563
    TOTAL 21,787,938
    Automotive—4.3%  
8,900,000   Affinia Group, Inc., Sr. Unsecd. Note, 7.75%, 5/1/2021 9,189,250
3,400,000 1,2 Allison Transmission, Inc., Sr. Unsecd. Note, Series 144A, 7.125%, 5/15/2019 3,578,500
4,125,000   American Axle & Manufacturing Holdings, Inc., Sr. Note, 6.625%, 10/15/2022 4,362,187
6,150,000   American Axle & Manufacturing Holdings, Inc., Sr. Note, 7.75%, 11/15/2019 6,918,750
400,000   American Axle & Manufacturing Holdings, Inc., Sr. Unsecd. Note, 5.125%, 2/15/2019 400,000
2,000,000   American Axle & Manufacturing Holdings, Inc., Sr. Unsecd. Note, 6.25%, 3/15/2021 2,090,000
3,925,000   Chrysler Group LLC, Note, 8.25%, 6/15/2021 4,297,875
2,250,000 3,4 Exide Technologies, Sr. Secd. Note, 8.625%, 2/1/2018 607,500
1,250,000   General Motors Financial Company, Inc., 3.50%, 7/10/2019 1,261,018
3,975,000   General Motors Financial Company, Inc., 4.375%, 9/25/2021 4,069,406
875,000   General Motors Financial Company, Inc., Series WI, 2.75%, 5/15/2016 883,203
825,000   General Motors Financial Company, Inc., Series WI, 4.25%, 5/15/2023 830,156
700,000   General Motors Financial Company, Inc., Sr. Note, 3.25%, 5/15/2018 708,750
1,725,000 1,2 IDQ Holdings, Inc., Sr. Secd. Note, Series 144A, 11.50%, 4/1/2017 1,878,094
6,850,000 1,2 International Automotive Components, Sr. Secd. Note, Series 144A, 9.125%, 6/1/2018 7,278,125
5,675,000 1,2 J.B. Poindexter, Inc., Series 144A, 9.00%, 4/1/2022 6,121,906
1,800,000 1,2 Jaguar Land Rover PLC, Series 144A, 5.625%, 2/1/2023 1,869,750
5,975,000 1,2 Jaguar Land Rover PLC, Sr. Unsecd. Note, Series 144A, 8.125%, 5/15/2021 6,565,031
2,725,000   Lear Corp., 5.375%, 3/15/2024 2,752,250
3,875,000   Lear Corp., Series WI, 4.75%, 1/15/2023 3,845,937
3,450,000 1,2 Schaeffler AG, Series 144A, 4.25%, 5/15/2021 3,329,250
4,125,000 1,2 Schaeffler AG, Series 144A, 6.875%, 8/15/2018 4,310,625
3,875,000 1,2 Schaeffler AG, Series 144A, 7.75%, 2/15/2017 4,233,438
7,175,000 1,2 Stackpole International, Sr. Secd. Note, 7.75%, 10/15/2021 7,264,687
4,350,000   Tenneco Automotive, Inc., Company Guarantee, 6.875%, 12/15/2020 4,611,000
425,000   Tenneco Automotive, Inc., Company Guarantee, 7.75%, 8/15/2018 443,488
1,875,000   Titan International, Inc., Series WI, 6.875%, 10/1/2020 1,846,875
12,700,000   UCI International, Inc., Company Guarantee, Series WI, 8.625%, 2/15/2019 12,315,190
    TOTAL 107,862,241
    Building Materials—3.3%  
4,290,000   Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 5.75%, 10/1/2021 4,397,250
5,450,000 1,2 American Builders & Contractors Supply Co. Inc., Series 144A, 5.625%, 4/15/2021 5,354,625
5,325,000   Anixter International, Inc., 5.125%, 10/1/2021 5,285,062
3,975,000   Anixter International, Inc., 5.625%, 5/1/2019 4,198,594
3,475,000 1,2 Building Materials Corp. of America, Bond, Series 144A, 6.75%, 5/1/2021 3,648,750
1,525,000 1,2 Building Materials Corp. of America, Sr. Note, Series 144A, 7.50%, 3/15/2020 1,601,250
4,825,000 1,2 CPG International, Inc., 8.00%, 10/1/2021 4,909,437
6,175,000 1,2 Masonite International Corp., Sr. Note, Series 144A, 8.25%, 4/15/2021 6,638,125
1

Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Building Materials—continued  
$3,725,000   Nortek, Inc., Sr. Unsecd. Note, Series WI, 10.00%, 12/1/2018 $3,939,188
10,300,000   Nortek, Inc., Sr. Unsecd. Note, Series WI, 8.50%, 4/15/2021 11,124,000
5,850,000   Ply Gem Industries, Inc., Series WI, 6.50%, 2/1/2022 5,579,437
3,925,000 1,2 RSI Home Products Incorporated, Series 144A, 6.875%, 3/1/2018 4,111,438
7,425,000 1,2 Rexel, Inc., Series 144A, 6.125%, 12/15/2019 7,712,719
6,400,000 1,2 Rexel, Inc., Sr. Note, Series 144A, 5.25%, 6/15/2020 6,460,000
5,900,000 1,2 Roofing Supply Group, Series 144A, 10.00%, 6/1/2020 6,254,000
1,350,000 1,2 USG Corp., Sr. Note, 5.875%, 11/1/2021 1,383,750
    TOTAL 82,597,625
    Cable Satellite—5.3%  
5,475,000   CCO Holdings LLC/Cap Corp., Series WI, 5.75%, 9/1/2023 5,468,156
4,150,000 1,2 Cequel Communications Holdings, Sr. Unsecd. Note, Series 144A, 5.125%, 12/15/2021 3,989,187
2,525,000 1,2 Cequel Communications Holdings, Sr. Unsecd. Note, Series 144A, 5.125%, 12/15/2021 2,430,313
6,175,000 1,2 Cequel Communications Holdings, Sr. Unsecd. Note, Series 144A, 6.375%, 9/15/2020 6,383,406
3,300,000   Charter Communications Holdings II, 5.125%, 2/15/2023 3,180,375
2,300,000   Charter Communications Holdings II, 5.75%, 1/15/2024 2,297,125
2,175,000   Charter Communications Holdings II, 6.625%, 1/31/2022 2,291,906
25,000   Charter Communications Holdings II, 7.375%, 6/1/2020 26,500
3,675,000   Charter Communications Holdings II, Company Guarantee, 7.25%, 10/30/2017 3,817,406
800,000   Charter Communications Holdings II, Company Guarantee, Series WI, 8.125%, 4/30/2020 847,000
2,775,000   Charter Communications Holdings II, Sr. Note, 7.00%, 1/15/2019 2,889,469
1,100,000   DISH DBS Corp., 5.00%, 3/15/2023 1,058,063
1,525,000   DISH DBS Corp., Series WI, 4.625%, 7/15/2017 1,559,313
14,150,000   DISH DBS Corp., Series WI, 5.875%, 7/15/2022 14,468,375
4,725,000 1,2 Inmarsat Finance PLC, Series 144A, 4.875%, 5/15/2022 4,630,500
5,050,000   Intelsat (Luxembourg) S.A., 7.75%, 6/1/2021 5,169,937
6,250,000   Intelsat (Luxembourg) S.A., Sr. Unsecd. Note, 8.125%, 6/1/2023 6,546,875
7,700,000   Intelsat Jackson Holdings S.A., 6.625%, 12/15/2022 7,854,000
5,300,000   Intelsat Jackson Holdings S.A., Company Guarantee, 8.50%, 11/1/2019 5,556,652
5,950,000   Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.50%, 8/1/2023 5,704,562
1,625,000   Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, Series WI, 7.25%, 4/1/2019 1,712,344
2,350,000   Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, Series WI, 7.50%, 4/1/2021 2,517,438
650,000 1,2 Numericable Group SA, Series 144A, 4.875%, 5/15/2019 644,313
5,900,000 1,2 Numericable Group SA, Series 144A, 6.00%, 5/15/2022 5,951,625
4,375,000 1,2 Numericable Group SA, Series 144A, 6.25%, 5/15/2024 4,369,531
1,275,000 1,2 Sirius XM Radio, Inc., 4.25%, 5/15/2020 1,224,000
6,225,000 1,2 Sirius XM Radio, Inc., 4.625%, 5/15/2023 5,820,375
3,200,000 1,2 Sirius XM Radio, Inc., 5.875%, 10/1/2020 3,248,000
1,200,000 1,2 Sirius XM Radio, Inc., Series 144A, 5.25%, 8/15/2022 1,257,000
7,800,000 1,2 Sirius XM Radio, Inc., Series 144A, 6.00%, 7/15/2024 7,936,500
5,000,000 1,2 Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, Series 144A, 5.50%, 1/15/2023 5,075,000
500,000 1,2 Virgin Media Secured Finance PLC, Series 144A, 5.375%, 4/15/2021 506,250
5,350,000 1,2 Virgin Media Secured Finance PLC, Series 144A, 6.375%, 4/15/2023 5,550,625
2,100,000 1,2 Virgin Media, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 10/15/2024 2,113,125
    TOTAL 134,095,246
    Chemicals—2.1%  
1,500,000   Ashland, Inc., 3.875%, 4/15/2018 1,511,250
3,450,000   Ashland, Inc., 4.75%, 8/15/2022 3,381,000
2,325,000   Celanese US Holdings LLC, 4.625%, 11/15/2022 2,290,125
2

Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Chemicals—continued  
$5,225,000 1,2 Compass Minerals International, Inc., Series 144A, 4.875%, 7/15/2024 $5,016,000
9,275,000 1,2 Dupont Performance Coatings, Series 144A, 7.375%, 5/1/2021 9,993,812
2,750,000   Eagle Spinco, Inc., Sr. Unsecd. Note, Series WI, 4.625%, 2/15/2021 2,653,750
850,000   Georgia Gulf Corp., Series WI, 4.875%, 5/15/2023 819,187
3,200,000   Hexion U.S. Finance Corp., 6.625%, 4/15/2020 3,232,000
8,200,000   Hexion U.S. Finance Corp., Sr. Secd. Note, 8.875%, 2/1/2018 8,374,250
1,875,000   Hexion U.S. Finance Corp., Sr. Secd. Note, Series WI, 9.00%, 11/15/2020 1,795,313
3,075,000   Huntsman International LLC, Company Guarantee, Series WI, 8.625%, 3/15/2020 3,255,656
1,425,000   Huntsman International LLC, Sr. Unsecd. Note, 4.875%, 11/15/2020 1,410,750
3,900,000   Omnova Solutions, Inc., Company Guarantee, 7.875%, 11/1/2018 3,978,000
1,775,000 1,2 WR Grace & Co.- Conn., Sr. Unsecd. Note, Series 144A, 5.125%, 10/1/2021 1,810,500
1,800,000 1,2 WR Grace & Co.- Conn., Sr. Unsecd. Note, Series 144A, 5.625%, 10/1/2024 1,856,250
    TOTAL 51,377,843
    Construction Machinery—0.8%  
6,875,000 1,2 Jurassic Holdings III, Series 144A, 6.875%, 2/15/2021 6,892,187
1,000,000   RSC Equipment Rental, Inc., Company Guarantee, Series WI, 8.25%, 2/1/2021 1,087,500
1,375,000   United Rentals, Inc., 5.75%, 11/15/2024 1,396,450
925,000   United Rentals, Inc., Series WI, 7.375%, 5/15/2020 987,438
1,175,000   United Rentals, Inc., Series WI, 7.625%, 4/15/2022 1,289,563
5,475,000   United Rentals, Inc., Sr. Sub. Note, 8.375%, 9/15/2020 5,913,000
1,450,000   United Rentals, Inc., Sr. Unsecd. Note, 6.125%, 6/15/2023 1,497,125
    TOTAL 19,063,263
    Consumer Cyclical Services—1.6%  
5,125,000 1,2 Garda World Security Corp., Series 144A, 7.25%, 11/15/2021 5,125,000
4,725,000 1,2 Garda World Security Corp., Series 144A, 7.25%, 11/15/2021 4,725,000
9,725,000 1,2 Hearthside Group Holdings LLC, Series 144A, 6.50%, 5/1/2022 9,506,187
4,150,000 1,2 Reliance Intermediate Holdings LP, Sr. Unsecd. Note, Series 144A, 9.50%, 12/15/2019 4,357,500
7,195,000   ServiceMaster Co., 7.00%, 8/15/2020 7,518,775
2,400,000   ServiceMaster Co., Sr. Unsecd. Note, 7.10%, 3/1/2018 2,484,000
1,775,000   ServiceMaster Co., Sr. Unsecd. Note, 7.45%, 8/15/2027 1,801,625
5,102,000   ServiceMaster Co., Sr. Unsecd. Note, 8.00%, 2/15/2020 5,420,875
    TOTAL 40,938,962
    Consumer Products—2.4%  
12,925,000 1,2 AOT Bedding Super Holdings LLC, Series 144A, 8.125%, 10/1/2020 13,700,500
5,025,000   FGI Operating Co. LLC/FGI Finance, Inc., 7.875%, 5/1/2020 4,924,500
5,075,000 1,2 First Quality Finance Co. Inc., 4.625%, 5/15/2021 4,757,812
5,525,000   Party City Holdings, Inc., Sr. Note, Series WI, 8.875%, 8/1/2020 5,994,625
10,800,000   Party City Holdings, Inc., Sr. Unsecd. Note, Series WI, 8.75%, 8/15/2019 10,908,000
3,350,000 1,2 Prestige Brands Holdings, Inc., 5.375%, 12/15/2021 3,165,750
3,975,000   Prestige Brands Holdings, Inc., Series WI, 8.125%, 2/1/2020 4,253,250
300,000   Spectrum Brands, Inc., Series WI, 6.375%, 11/15/2020 314,250
800,000   Spectrum Brands, Inc., Series WI, 6.625%, 11/15/2022 844,000
6,550,000   Spectrum Brands, Inc., Sr. Unsecd. Note, 6.75%, 3/15/2020 6,844,750
4,825,000   Springs Industries, Inc., 6.25%, 6/1/2021 4,752,625
    TOTAL 60,460,062
    Diversified Manufacturing—1.8%  
2,900,000 1,2 Apex Tool Group, Sr. Unsecd. Note, Series 144A, 7.00%, 2/1/2021 2,682,500
3,450,000   Dynacast International LLC, Series WI, 9.25%, 7/15/2019 3,708,750
8,775,000 1,2 Gardner Denver, Inc., Series 144A, 6.875%, 8/15/2021 8,840,812
3

Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Diversified Manufacturing—continued  
$8,950,000 1,2 Gates Global LLC, Series 144A, 6.00%, 7/15/2022 $8,457,750
9,200,000 1,2 Hamilton Sundstrand Corp., Series 144A, 7.75%, 12/15/2020 9,591,000
1,725,000 1,2 Milacron LLC, Series 144A, 7.75%, 2/15/2021 1,824,188
1,960,000 1,2 Milacron LLC, Series 144A, 8.375%, 5/15/2019 2,116,800
7,075,000   WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2021 7,057,312
1,600,000 1,2 Waterjet Holdings, Inc., Series 144A, 7.625%, 2/1/2020 1,660,000
    TOTAL 45,939,112
    Financial Institutions—4.7%  
5,500,000 1,2 Aercap Ireland Capital Ltd / Aercap Global Aviation Trust, Series 144A, 4.50%, 5/15/2021 5,341,875
4,050,000 1,2 Aercap Ireland Capital Ltd / Aercap Global Aviation Trust, Sr. Unsecd. Note, Series 144A, 5.00%, 10/1/2021 4,039,875
9,050,000   Ally Financial, Inc., Company Guarantee, 8.30%, 2/12/2015 9,253,625
5,550,000   Ally Financial, Inc., Company Guarantee, Series WI, 6.25%, 12/1/2017 5,966,250
1,700,000   Ally Financial, Inc., Sr. Unsecd. Note, 3.25%, 9/29/2017 1,692,563
4,700,000   Ally Financial, Inc., Sr. Unsecd. Note, 5.125%, 9/30/2024 4,617,750
2,775,000   Ally Financial, Inc., Sr. Unsecd. Note, 5.50%, 2/15/2017 2,892,938
2,750,000   Ally Financial, Inc., Sr. Unsecd. Note, 7.50%, 9/15/2020 3,176,250
1,075,000   Ally Financial, Inc., Sr. Unsecd. Note, 8.00%, 3/15/2020 1,255,063
5,125,000 1,2 CIT Group Holdings, Inc., Sr. 2nd Priority Note, Series 144A, 6.625%, 4/1/2018 5,515,781
2,075,000   CIT Group Holdings, Inc., Sr. Note, 4.25%, 8/15/2017 2,100,938
4,150,000   CIT Group Holdings, Inc., Sr. Unsecd. Note, 5.00%, 8/1/2023 4,129,250
9,425,000   CIT Group Holdings, Inc., Sr. Unsecd. Note, 5.25%, 3/15/2018 9,731,312
725,000   CIT Group Holdings, Inc., Sr. Unsecd. Note, 5.375%, 5/15/2020 751,281
6,225,000 1,2 Hockey Merger Sub 2, Inc., Sr. Unsecd. Note, Series 144A, 7.875%, 10/1/2021 6,403,969
6,050,000 1,2 Hub Holdings LLC/Hub Hol, Sr. Unsecd. Note, Series 144A, 8.125%, 7/15/2019 5,944,125
8,625,000   International Lease Finance Corp., 4.625%, 4/15/2021 8,576,484
9,375,000   International Lease Finance Corp., 5.875%, 8/15/2022 9,820,312
2,125,000   International Lease Finance Corp., Sr. Unsecd. Note, 6.25%, 5/15/2019 2,284,375
3,400,000 1,2 Neuberger Berman, Inc., Series 144A, 5.875%, 3/15/2022 3,629,500
2,825,000 1,2 Neuberger Berman, Inc., Sr. Note, Series 144A, 5.625%, 3/15/2020 2,952,125
11,425,000 1,2 Nuveen Investments, Inc., Sr. Unsecd. Note, Series 144A, 9.50%, 10/15/2020 13,310,125
4,075,000 1,2 Onex York Acquisition Corp., Series 144A, 8.50%, 10/1/2022 4,064,813
    TOTAL 117,450,579
    Food & Beverage—4.0%  
9,800,000 1,2 Anna Merger Sub, Inc., Series 144A, 7.75%, 10/1/2022 9,873,500
14,175,000   Aramark Corp., Sr. Unsecd. Note, 5.75%, 3/15/2020 14,600,250
2,875,000   B&G Foods, Inc., Sr. Note, 4.625%, 6/1/2021 2,745,625
2,100,000   Darling Ingredients, Inc., Sr. Unsecd. Note, Series WI, 5.375%, 1/15/2022 2,128,875
12,164,000   Del Monte Foods Co., Sr. Unsecd. Note, 7.625%, 2/15/2019 12,087,975
15,125,000   HJ Heinz Co., 4.25%, 10/15/2020 15,068,281
11,000,000   Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., Series WI, 4.875%, 5/1/2021 10,670,000
4,075,000 1,2 Shearer's Foods, Inc., Sr. Secd. Note, Series 144A, 9.00%, 11/1/2019 4,451,938
8,900,000   Smithfield Foods, Inc., 6.625%, 8/15/2022 9,434,000
875,000 1,2 Smithfield Foods, Inc., Sr. Note, 5.25%, 8/1/2018 879,375
2,225,000 1,2 Smithfield Foods, Inc., Sr. Note, 5.875%, 8/1/2021 2,258,375
700,000   TreeHouse Foods, Inc., 4.875%, 3/15/2022 691,250
12,200,000   U.S. Foodservice, Inc., Sr. Unsecd. Note, 8.50%, 6/30/2019 12,947,250
1,500,000   WhiteWave Foods Co., 5.375%, 10/1/2022 1,518,750
    TOTAL 99,355,444
4

Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Gaming—3.4%  
$4,400,000   Affinity Gaming LLC, Sr. Unsecd. Note, 9.00%, 5/15/2018 $4,290,000
2,925,000   Ameristar Casinos, Inc., Sr. Unsecd. Note, Series WI, 7.50%, 4/15/2021 3,056,625
3,525,000 1,2 Chester Downs & Marina, Series 144A, 9.25%, 2/1/2020 3,331,125
1,925,000 1,2 Churchill Downs, Inc., Sr. Unsecd. Note, Series 144A, 5.375%, 12/15/2021 1,934,625
4,875,000   GLP Capital LP / GLP Financing II, Inc., 4.875%, 11/1/2020 4,995,364
3,325,000   GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/2023 3,408,125
9,025,000   MGM Mirage, Inc., 7.75%, 3/15/2022 10,062,875
875,000   MGM Mirage, Inc., Sr. Note, 7.50%, 6/1/2016 936,250
6,400,000   MGM Mirage, Inc., Sr. Unsecd. Note, 6.75%, 10/1/2020 6,832,000
1,800,000   MGM Mirage, Inc., Sr. Unsecd. Note, 8.625%, 2/1/2019 2,038,680
7,650,000   Mohegan Tribal Gaming Authority, Series WI, 9.75%, 9/1/2021 7,812,562
9,125,000   Penn National Gaming, Inc., 5.875%, 11/1/2021 8,440,625
1,575,000   Pinnacle Entertainment, Inc., 7.75%, 4/1/2022 1,720,688
7,275,000   Pinnacle Entertainment, Inc., Series WI, 6.375%, 8/1/2021 7,638,750
4,718,000 1,2 Rivers Pittsburgh LP, Sr. Secd. Note, Series 144A, 9.50%, 6/15/2019 5,071,850
4,880,000 1,2 Seminole Tribe of Florida, Bond, Series 144A, 7.804%, 10/1/2020 5,294,800
8,025,000   Station Casinos, Inc., Sr. Note, 7.50%, 3/1/2021 8,406,187
    TOTAL 85,271,131
    Health Care—9.1%  
6,125,000 1,2 Amsurg Corp., Series 144A, 5.625%, 7/15/2022 6,094,375
9,150,000   Biomet, Inc., Sr. Note, 6.50%, 8/1/2020 9,721,875
7,375,000   Biomet, Inc., Sr. Sub., 6.50%, 10/1/2020 7,762,187
3,975,000 1,2 CHS/Community Health Systems, Inc., Series 144A, 5.125%, 8/1/2021 3,984,938
8,975,000 1,2 CHS/Community Health Systems, Inc., Sr. Unsecd. Note, Series 144A, 6.875%, 2/1/2022 9,401,312
1,175,000   Catamaran Corp, 4.75%, 3/15/2021 1,133,141
8,175,000   DJO Finance LLC, Company Guarantee, Series WI, 7.75%, 4/15/2018 8,256,750
1,125,000   DJO Finance LLC, Series WI, 9.875%, 4/15/2018 1,184,063
3,725,000   DaVita HealthCare Partners, Inc., 5.125%, 7/15/2024 3,666,797
5,550,000   DaVita HealthCare Partners, Inc., 5.75%, 8/15/2022 5,772,000
10,000,000 1,2 Envision Healthcare Holdings, Inc., Series 144A, 5.125%, 7/1/2022 9,875,000
9,575,000   HCA Holdings, Inc., Sr. Unsecd. Note, Series WI, 7.75%, 5/15/2021 10,257,219
7,250,000   HCA, Inc., 4.75%, 5/1/2023 7,105,000
6,025,000   HCA, Inc., 5.00%, 3/15/2024 5,942,156
4,000,000   HCA, Inc., Revolver—1st Lien, 5.875%, 3/15/2022 4,215,000
2,300,000   HCA, Inc., Series 1, 5.875%, 5/1/2023 2,357,500
9,500,000   HCA, Inc., Sr. Secd. Note, 6.50%, 2/15/2020 10,390,625
11,850,000   HCA, Inc., Sr. Unsecd. Note, 7.50%, 2/15/2022 13,360,875
5,100,000   Hologic, Inc., 6.25%, 8/1/2020 5,265,750
10,125,000   Iasis Healthcare, Sr. Unsecd. Note, 8.375%, 5/15/2019 10,631,250
5,800,000   LifePoint Hospitals, Inc., Sr. Unsecd. Note, 5.50%, 12/1/2021 5,901,500
13,225,000 1,2 MPH Acquisition Holdings LLC, Series 144A, 6.625%, 4/1/2022 13,390,312
2,050,000   Omnicare, Inc., Sr. Sub., 7.75%, 6/1/2020 2,178,125
17,300,000 1,2 Ortho-Clinical Diagnostics, Inc., Series 144A, 6.625%, 5/15/2022 15,786,250
2,975,000 1,2 Teleflex, Inc., Series 144A, 5.25%, 6/15/2024 2,922,938
10,425,000   Tenet Healthcare Corp., 8.125%, 4/1/2022 11,467,500
6,425,000   Tenet Healthcare Corp., Note, Series B, 4.375%, 10/1/2021 6,184,063
5,100,000   Tenet Healthcare Corp., Sr. Secd. Note, 4.50%, 4/1/2021 4,991,625
6,525,000   United Surgical Partners International, Inc., Series WI, 9.00%, 4/1/2020 7,063,312
5,325,000   Universal Hospital Service Holdco, Inc., Series WI, 7.625%, 8/15/2020 5,032,125
5

Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Health Care—continued  
$11,125,000   VWR Funding, Inc., Sr. Unsecd. Note, 7.25%, 9/15/2017 $11,625,625
5,000,000   Wolverine Healthcare, Sr. Note, 10.625%, 6/1/2020 5,300,000
    TOTAL 228,221,188
    Independent Energy—6.7%  
6,675,000   Antero Resources Corp., 6.00%, 12/1/2020 6,825,187
4,650,000 1,2 Antero Resources Corp., Series 144A, 5.125%, 12/1/2022 4,527,938
2,775,000   Antero Resources Finance Corp., 5.375%, 11/1/2021 2,771,531
6,475,000   Approach Resources, Inc., 7.00%, 6/15/2021 6,442,625
4,450,000   Athlon Holdings LP, 7.375%, 4/15/2021 4,861,625
2,450,000 1,2 Athlon Holdings LP, Series 144A, 6.00%, 5/1/2022 2,633,750
9,450,000   BreitBurn Energy Partners L.P., 7.875%, 4/15/2022 9,615,375
1,600,000 1,2 California Resources Corp., Series 144A, 5.50%, 9/15/2021 1,626,000
7,125,000 1,2 California Resources Corp., Series 144A, 6.00%, 11/15/2024 7,338,750
6,175,000   Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 7.50%, 9/15/2020 6,452,875
3,900,000   Chaparral Energy Inc., Series WI, 7.625%, 11/15/2022 4,017,000
6,125,000   Chaparral Energy, Inc., Company Guarantee, 9.875%, 10/1/2020 6,584,375
3,725,000   Chesapeake Energy Corp., 5.75%, 3/15/2023 3,986,868
3,575,000   Chesapeake Energy Corp., Sr. Unsecd. Note, 5.375%, 6/15/2021 3,677,781
3,275,000   Chesapeake Energy Corp., Sr. Unsecd. Note, 6.625%, 8/15/2020 3,628,700
2,325,000   Chesapeake Energy Corp., Sr. Unsecd. Note, 6.875%, 11/15/2020 2,604,000
1,800,000   Energy XXI Gulf Coast, Inc., 7.75%, 6/15/2019 1,800,000
4,725,000   Energy XXI Gulf Coast, Inc., 9.25%, 12/15/2017 4,925,813
1,550,000 1,2 Energy XXI Gulf Coast, Inc., Series 144A, 6.875%, 3/15/2024 1,460,875
4,550,000   Energy XXI Gulf Coast, Inc., Series WI, 7.50%, 12/15/2021 4,481,750
4,800,000 1,2 Gulfport Energy Corp., Series 144A, 7.75%, 11/1/2020 5,028,000
1,500,000   Kodiak Oil & Gas Corp., 5.50%, 1/15/2021 1,522,500
1,000,000   Kodiak Oil & Gas Corp., Sr. Unsecd. Note, 5.50%, 2/1/2022 1,010,000
1,200,000   Legacy Reserves, 6.625%, 12/1/2021 1,182,000
7,575,000 1,2 Legacy Reserves, Series 144A, 6.625%, 12/1/2021 7,461,375
2,025,000   Linn Energy LLC, 6.50%, 9/15/2021 1,984,500
2,300,000   Linn Energy LLC, Company Guarantee, 7.75%, 2/1/2021 2,328,750
2,025,000   Linn Energy LLC, Series WI, 6.50%, 5/15/2019 1,994,625
6,275,000   Linn Energy LLC, Sr. Unsecd. Note, 8.625%, 4/15/2020 6,518,156
1,925,000   Linn Energy LLC, Sr. Unsecd. Note, Series WI, 6.25%, 11/1/2019 1,888,906
5,750,000   Newfield Exploration Co., Sr. Unsecd. Note, 5.625%, 7/1/2024 6,195,625
8,175,000   Northern Oil and Gas, Inc., Sr. Note, 8.00%, 6/1/2020 8,338,500
2,550,000   Oasis Petroleum, Inc., 6.875%, 1/15/2023 2,696,625
1,300,000   Oasis Petroleum, Inc., 6.875%, 3/15/2022 1,378,000
4,525,000   Oasis Petroleum, Inc., Company Guarantee, 6.50%, 11/1/2021 4,739,938
1,550,000 1,2 RSP Permian, Inc., Sr. Unsecd. Note, Series 144A, 6.625%, 10/1/2022 1,561,625
1,200,000   Range Resources Corp., 5.00%, 8/15/2022 1,230,000
1,625,000   Range Resources Corp., Sr. Sub. Note, 5.00%, 3/15/2023 1,681,875
2,275,000   SM Energy Co., Sr. Unsecd. Note, Series WI, 5.00%, 1/15/2024 2,184,000
1,525,000   Sandridge Energy, Inc., 7.50%, 3/15/2021 1,494,500
1,550,000   Sandridge Energy, Inc., Series WI, 7.50%, 2/15/2023 1,513,188
7,575,000   Sandridge Energy, Inc., Series WI, 8.125%, 10/15/2022 7,603,406
6,200,000   W&T Offshore, Inc., Sr. Unsecd. Note, Series WI, 8.50%, 6/15/2019 6,448,000
    TOTAL 168,246,912
6

Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Industrial - Other—2.4%  
$6,275,000 1,2 Belden CDT, Inc., Series 144A, 5.50%, 9/1/2022 $6,384,812
5,175,000 1,2 Belden, Inc., Sr. Sub., Series 144A, 5.25%, 7/15/2024 4,980,938
4,300,000 1,2 Cleaver-Brooks, Inc., Series 144A, 8.75%, 12/15/2019 4,676,250
3,500,000   General Cable Corp., Sr. Unsecd. Note, 5.75%, 10/1/2022 3,272,500
7,125,000 1,2 Hillman Group, Inc., Unsecd. Note, Series 144A, 6.375%, 7/15/2022 6,929,062
7,600,000   Interline Brands, Inc., Sr. Unsecd. Note, 10.00%, 11/15/2018 7,961,000
2,100,000   Mastec, Inc., 4.875%, 3/15/2023 1,989,750
9,250,000 1,2 Mirror Bidco/Dematic, Series 144A, 7.75%, 12/15/2020 9,758,750
3,200,000   Mueller Water Products, Inc., Company Guarantee, 8.75%, 9/1/2020 3,456,000
3,998,000   Mueller Water Products, Inc., Sr. Sub. Note, Series WI, 7.375%, 6/1/2017 4,082,958
4,900,000 1,2 Unifrax Investment Corp., Series 144A, 7.50%, 2/15/2019 4,973,500
1,125,000 1,2 Unifrax Investment Corp., Series 144A, 7.50%, 2/15/2019 1,141,875
    TOTAL 59,607,395
    Leisure—0.9%  
3,050,000 1,2 Activision Blizzard, Inc., Sr. Note, Series 144A, 6.125%, 9/15/2023 3,248,250
1,575,000 1,2 Activision Blizzard, Inc., Sr. Unsecd. Note, Series 144A, 5.625%, 9/15/2021 1,641,938
3,400,000 1,2 Cedar Fair LP, Series 144A, 5.375%, 6/1/2024 3,302,250
1,075,000   Cedar Fair LP, Sr. Unsecd. Note, 5.25%, 3/15/2021 1,064,250
975,000   Cinemark USA, Inc., 5.125%, 12/15/2022 962,812
800,000   Cinemark USA, Inc., Company Guarantee, Series WI, 7.375%, 6/15/2021 860,000
2,475,000 1,3,4,5,6 Hard Rock Park Operations LLC, Sr. Secd. Note, Series 144A, 0.00%, 4/1/2012 0
1,600,000   Regal Cinemas, Inc., 5.75%, 2/1/2025 1,588,000
1,800,000   Regal Entertainment Group, Sr. Unsecd. Note, 5.75%, 3/15/2022 1,813,500
7,100,000 1,2 Six Flags Entertainment Corp., Sr. Note, Series 144A, 5.25%, 1/15/2021 6,922,500
    TOTAL 21,403,500
    Lodging—0.6%  
4,525,000   Choice Hotels International, Inc., 5.75%, 7/1/2022 4,841,750
5,175,000 1,2 Hilton Worldwide Finance LLC, Sr. Unsecd. Note, Series 144A, 5.625%, 10/15/2021 5,339,953
4,350,000   Royal Caribbean Cruises Ltd., Sr. Note, 5.25%, 11/15/2022 4,415,250
    TOTAL 14,596,953
    Media Entertainment—6.1%  
3,575,000   AMC Networks, Inc., Series WI, 7.75%, 7/15/2021 3,914,625
3,125,000   AMC Networks, Inc., Sr. Unsecd. Note, 4.75%, 12/15/2022 3,101,563
3,225,000 1,2 CBS Outdoor Americas Capital LLC / Corp., Series 144A, 5.625%, 2/15/2024 3,241,125
4,225,000 1,2 CBS Outdoor Americas Capital LLC / Corp., Series 144A, 5.875%, 3/15/2025 4,256,688
775,000 1,2 CBS Outdoor Americas Capital LLC / Corp., Sr. Unsecd. Note, Series 144A, 5.25%, 2/15/2022 775,969
2,225,000   Clear Channel Communications, Inc., 11.25%, 3/1/2021 2,377,969
10,100,000   Clear Channel Communications, Inc., Company Guarantee, 9.00%, 3/1/2021 10,087,375
2,350,000   Clear Channel Worldwide, 6.50%, 11/15/2022 2,391,125
1,150,000   Clear Channel Worldwide, 7.625%, 3/15/2020 1,190,250
2,350,000   Clear Channel Worldwide, Series B, 7.625%, 3/15/2020 2,449,875
10,500,000   Clear Channel Worldwide, Series WI, 6.50%, 11/15/2022 10,788,750
10,600,000   Crown Media Holdings, Inc., Company Guarantee, 10.50%, 7/15/2019 11,633,500
7,475,000   Cumulus Media, Inc., Sr. Unsecd. Note, Series WI, 7.75%, 5/1/2019 7,689,906
7,800,000 1,2 Emerald Expo Holdings, Inc., 9.00%, 6/15/2021 8,073,000
6,925,000   Entercom Radio LLC, Sr. Sub. Note, Series WI, 10.50%, 12/1/2019 7,617,500
725,000 1,2 Gannett Co., Inc., Sr. Unsecd. Note, Series 144A, 4.875%, 9/15/2021 703,250
1,800,000 1,2 Gannett Co., Inc., Sr. Unsecd. Note, Series 144A, 5.125%, 10/15/2019 1,822,500
725,000 1,2 Gannett Co., Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 9/15/2024 715,938
7

Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Media Entertainment—continued  
$6,550,000 1,2 Gannett Co., Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 10/15/2023 $6,828,375
6,950,000   Gray Television, Inc., 7.50%, 10/1/2020 7,141,125
2,175,000 1,2 Lamar Media Corp., Series 144A, 5.375%, 1/15/2024 2,191,313
3,750,000   Lamar Media Corp., Series WI, 5.00%, 5/1/2023 3,628,125
1,350,000   Lamar Media Corp., Series WI, 5.875%, 2/1/2022 1,397,250
6,125,000   Nielsen Finance LLC/Nielsen Finance Co., 4.50%, 10/1/2020 5,956,562
4,750,000 1,2 Nielsen Finance LLC/Nielsen Finance Co., Series 144A, 5.00%, 4/15/2022 4,702,500
3,900,000 1,2 Nielsen Finance LLC/Nielsen Finance Co., Series 144A, 5.50%, 10/1/2021 3,939,000
5,525,000 1,2 Radio One, Inc., Series 144A, 9.25%, 2/15/2020 5,538,812
5,900,000 1,2 Sinclair Television Group, Series 144A, 5.625%, 8/1/2024 5,708,250
9,575,000 1,2 Southern Graphics Systems, Inc., Series 144A, 8.375%, 10/15/2020 10,005,875
5,300,000 1,2 Time, Inc., Series 144A, 5.75%, 4/15/2022 5,088,000
7,650,000 1,2 Townsquare Radio LLC, Series 144A, 9.00%, 4/1/2019 8,281,125
    TOTAL 153,237,220
    Metals & Mining—0.6%  
1,825,000 3,4,5 Aleris International, Inc., Company Guarantee, 9.00%, 12/15/2014 183
2,325,000 3,4,5 Aleris International, Inc., Sr. Sub. Note, 10.00%, 12/15/2016 0
1,800,000 1,2 Steel Dynamics, Inc., Series 144A, 5.125%, 10/1/2021 1,827,000
3,125,000 1,2 Steel Dynamics, Inc., Series 144A, 5.50%, 10/1/2024 3,148,438
850,000   Steel Dynamics, Inc., Sr. Unsecd. Note, 5.25%, 4/15/2023 860,625
6,125,000 1,2 Wise Metals Group LLC, Sr. Secd. Note, Series 144A, 8.75%, 12/15/2018 6,569,062
3,525,000 1,2 Wise Metals Intermediate Holdings LLC/Wise Holdings Finance Corp., Series 144A, 9.75%, 6/15/2019 3,749,719
    TOTAL 16,155,027
    Midstream—4.7%  
6,075,000   Access Midstream Partners LP, Sr. Note, 4.875%, 5/15/2023 6,264,844
900,000   Access Midstream Partners LP, Sr. Unsecd. Note, 4.875%, 3/15/2024 923,625
2,725,000   Atlas Pipeline Partners LP, 4.75%, 11/15/2021 2,551,281
575,000   Atlas Pipeline Partners LP, 5.875%, 8/1/2023 564,938
3,800,000   Chesapeake Midstream Partners L. P., Sr. Unsecd. Note, 6.125%, 7/15/2022 4,085,000
1,650,000   Crestwood Midstream Partners LP, Sr. Unsecd. Note, Series WI, 6.125%, 3/1/2022 1,662,375
6,425,000   El Paso Corp., Sr. Unsecd. Note, 6.50%, 9/15/2020 7,260,250
1,575,000   El Paso Corp., Sr. Unsecd. Note, 7.25%, 6/1/2018 1,787,625
15,375,000   Energy Transfer Equity LP, 5.875%, 1/15/2024 15,797,812
1,375,000   Ferrellgas, L.P., Sr. Unsecd. Note, 6.50%, 5/1/2021 1,350,938
4,425,000   Ferrellgas, L.P., Sr. Unsecd. Note, 6.75%, 1/15/2022 4,336,500
4,850,000 1,2 Hiland Partners LP, Series 144A, 5.50%, 5/15/2022 4,728,750
3,000,000   Holly Energy Partners LP, Sr. Unsecd. Note, 6.50%, 3/1/2020 3,105,000
3,025,000   Inergy Midstream LP, Sr. Unsecd. Note, 6.00%, 12/15/2020 3,062,812
5,950,000 1,2 Kinder Morgan, Inc., Sr. Unsecd. Note, 5.625%, 11/15/2023 6,351,625
4,400,000   MarkWest Energy Partners LP, 5.50%, 2/15/2023 4,521,000
3,025,000   MarkWest Energy Partners LP, Sr. Unsecd. Note, 4.50%, 7/15/2023 2,949,375
850,000   Regency Energy Partners LP, 5.00%, 10/1/2022 840,438
1,600,000   Regency Energy Partners LP, 5.50%, 4/15/2023 1,632,000
1,675,000   Regency Energy Partners LP, Series WI, 4.50%, 11/1/2023 1,628,938
4,275,000   Regency Energy Partners LP, Sr. Note, 6.875%, 12/1/2018 4,451,344
6,100,000 1,2 Rose Rock Midstream LP, Series 144A, 5.625%, 7/15/2022 6,054,250
2,150,000 1,2 Sabine Pass LNG LP, Series 144A, 6.25%, 3/15/2022 2,265,562
7,950,000   Sabine Pass LNG LP, Series WI, 5.625%, 2/1/2021 8,208,375
1,675,000   Sabine Pass LNG LP, Series WI, 5.625%, 4/15/2023 1,700,125
8

Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Midstream—continued  
$4,550,000   Suburban Propane Partners LP, 5.50%, 6/1/2024 $4,356,625
4,201,000   Suburban Propane Partners LP, Series WI, 7.375%, 8/1/2021 4,474,065
3,325,000   Summit Midstream Holdings LLC, 5.50%, 8/15/2022 3,266,812
2,936,000   Tesoro Logistics LP, Sr. Unsecd. Note, 5.875%, 10/1/2020 3,053,440
3,275,000   Tesoro Logistics LP, Sr. Unsecd. Note, 6.125%, 10/15/2021 3,397,812
    TOTAL 116,633,536
    Oil Field Services—1.0%  
2,650,000   Basic Energy Services, Inc., Series WI, 7.75%, 10/15/2022 2,769,250
6,925,000 1,2 CGG SA, Sr. Unsecd. Note, Series 144A, 6.875%, 1/15/2022 6,180,563
2,950,000   Compagnie Generale de Geophysique Veritas, Sr. Unsecd. Note, 6.50%, 6/1/2021 2,610,750
7,900,000 1,2 FTS International, Inc., Series 144A, 6.25%, 5/1/2022 7,801,250
2,450,000 1,2 Light Tower Rentals, Inc., Series 144A, 8.125%, 8/1/2019 2,486,750
2,100,000   Sesi LLC, Series WI, 7.125%, 12/15/2021 2,331,000
    TOTAL 24,179,563
    Packaging—5.5%  
10,625,000 1,2 Ardagh Packaging Finance PLC, Company Guarantee, Series 144A, 9.125%, 10/15/2020 11,554,687
200,000 1,2 Ardagh Packaging Finance PLC, Series 144A, 3.234%, 12/15/2019 194,250
300,000 1,2 Ardagh Packaging Finance PLC, Series 144A, 6.25%, 1/31/2019 297,750
1,625,000 1,2 Ardagh Packaging Finance PLC, Series 144A, 6.75%, 1/31/2021 1,629,063
436,764 1,2 Ardagh Packaging Finance PLC, Series 144A, 7.00%, 11/15/2020 443,316
2,125,000 1,2 Ardagh Packaging Finance PLC, Sr. Unsecd. Note, 9.125%, 10/15/2020 2,300,313
1,350,000 1,2 Ardagh Packaging Finance PLC, Sr. Unsecd. Note, Series 144A, 6.00%, 6/30/2021 1,299,375
7,400,000   Ball Corp., 4.00%, 11/15/2023 6,919,000
450,000   Ball Corp., 5.00%, 3/15/2022 454,500
12,375,000   Berry Plastics Corp., 5.50%, 5/15/2022 11,926,406
2,150,000 1,2 Beverage Packaging Holdings II, Sr. Sub. Note, 6.00%, 6/15/2017 2,123,125
10,775,000 1,2 Bway Holding Co., Series 144A, 9.125%, 8/15/2021 10,882,750
3,875,000   Crown Americas LLC, 4.50%, 1/15/2023 3,681,250
1,000,000   Crown Americas LLC, Company Guarantee, 6.25%, 2/1/2021 1,055,000
3,575,000   Greif, Inc., Sr. Unsecd. Note, 7.75%, 8/1/2019 4,075,500
7,275,000 1,2 Multi Packaging Solutions, Inc., Series 144A, 8.50%, 8/15/2021 7,566,000
4,960,000 1,2 Packaging Dynamics Corp., Sr. Secd. Note, Series 144A, 8.75%, 2/1/2016 5,034,400
11,550,000   Reynolds Group Issuer, Inc./LLC/LU, Series WI, 5.75%, 10/15/2020 11,809,875
10,725,000   Reynolds Group, Series WI, 8.25%, 2/15/2021 11,395,312
5,975,000   Reynolds Group, Series WI, 9.00%, 4/15/2019 6,251,344
10,150,000   Reynolds Group, Series WI, 9.875%, 8/15/2019 10,974,688
1,675,000   Reynolds Group, Sr. Unsecd. Note, 7.95%, 12/15/2025 1,775,500
1,250,000 1,2 Sealed Air Corp., Series 144A, 5.25%, 4/1/2023 1,231,250
10,250,000 1,2 Sealed Air Corp., Sr. Unsecd. Note, Series 144A, 8.375%, 9/15/2021 11,428,750
12,500,000 1,2 Signode Industrial Group, Series 144A, 6.375%, 5/1/2022 12,031,250
    TOTAL 138,334,654
    Paper—0.5%  
2,150,000   Clearwater Paper Corp., Sr. Note, 4.50%, 2/1/2023 2,064,000
7,700,000 1,2 Clearwater Paper Corp., Sr. Unsecd. Note, Series 144A, 5.375%, 2/1/2025 7,623,000
1,800,000   Graphic Packaging International Corp., Sr. Note, 7.875%, 10/1/2018 1,878,930
1,700,000   Graphic Packaging International, Inc., 4.75%, 4/15/2021 1,704,250
    TOTAL 13,270,180
    Pharmaceuticals—1.6%  
5,675,000 1,2 Grifols Worldwide Operations Ltd., Series 144A, 5.25%, 4/1/2022 5,618,250
9

Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Pharmaceuticals—continued  
$9,300,000 1,2 Jaguar Holding Co., Series 144A, 9.375%, 10/15/2017 $9,416,250
7,775,000 1,2 Jaguar Holding Co., Sr. Note, 9.50%, 12/1/2019 8,367,844
12,625,000 1,2 Valeant Pharmaceuticals International, Inc., 7.50%, 7/15/2021 13,556,093
3,700,000 1,2 Valeant Pharmaceuticals International, Inc., Series 144A, 5.625%, 12/1/2021 3,695,375
    TOTAL 40,653,812
    Refining—0.3%  
1,400,000   CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/1/2022 1,435,000
5,000,000   Tesoro Petroleum Corp., 5.125%, 4/1/2024 4,856,250
    TOTAL 6,291,250
    Restaurants—1.5%  
8,900,000 1,2 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Term Loan—2nd Lien, Series 144A, 6.00%, 4/1/2022 8,888,875
10,790,000   DineEquity, Inc., Company Guarantee, Series WI, 9.50%, 10/30/2018 11,369,962
6,900,000   NPC INTL/OPER CO A&B, Inc., Series WI, 10.50%, 1/15/2020 7,227,750
10,450,000 1,2 Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, Series 144A, 5.875%, 5/15/2021 10,136,500
    TOTAL 37,623,087
    Retailers—3.8%  
9,500,000 1,2 Academy Finance Corp., Series 144A, 8.00%, 6/15/2018 9,500,000
7,000,000 1,2 Academy Finance Corp., Series 144A, 9.25%, 8/1/2019 7,437,500
3,525,000 1,2 Claire's Stores, Inc., Series 144A, 6.125%, 3/15/2020 3,260,625
3,600,000   Express, LLC, Company Guarantee, 8.75%, 3/1/2018 3,762,000
5,275,000 1,2 Jo-Ann Stores, Inc., Series 144A, 9.75%, 10/15/2019 4,932,125
10,125,000 1,2 Jo-Ann Stores, Inc., Sr. Unsecd. Note, Series 144A, 8.125%, 3/15/2019 9,669,375
1,350,000   Limited Brands, Inc., 5.625%, 10/15/2023 1,414,125
1,100,000   Limited Brands, Inc., Company Guarantee, 7.00%, 5/1/2020 1,226,500
775,000   Limited Brands, Inc., Sr. Unsecd. Note, 5.625%, 2/15/2022 811,813
7,725,000 1,2 Michaels Stores, Inc., Series 144A, 5.875%, 12/15/2020 7,705,687
4,161,000 1,2 Michaels Stores, Inc., Series 144A, 7.50%, 8/1/2018 4,254,622
3,125,000 1,2 Neiman-Marcus Group, Inc., Series 144A, 8.00%, 10/15/2021 3,265,625
6,200,000 1,2 Neiman-Marcus Group, Inc., Series 144A, 8.75%, 10/15/2021 6,556,500
9,500,000 1,2 PETCO Animal Supplies, Inc., Series 144A, 8.50%, 10/15/2017 9,666,250
9,175,000 1,2 PETCO Animal Supplies, Inc., Sr. Note, Series 144A, 9.25%, 12/1/2018 9,679,625
1,450,000   Phillips Van Heusen Corp., Sr. Note, 4.50%, 12/15/2022 1,424,625
725,000   Sally Hldgs. LLC/Sally Cap, Inc., 5.75%, 6/1/2022 743,125
6,175,000   Sally Hldgs. LLC/Sally Cap, Inc., Series WI, 6.875%, 11/15/2019 6,576,375
2,225,000   United Auto Group, Inc., Sr. Sub., 5.75%, 10/1/2022 2,269,500
2,050,000   Wolverine World Wide, Inc., Sr. Unsecd. Note, 6.125%, 10/15/2020 2,152,500
    TOTAL 96,308,497
    Technology—12.4%  
1,425,000 1,2 ACI Worldwide, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 8/15/2020 1,482,000
4,500,000   Advanced Micro Devices, Inc., Series WI, 7.00%, 7/1/2024 4,303,125
3,575,000   Advanced Micro Devices, Inc., Sr. Unsecd. Note, 7.50%, 8/15/2022 3,628,625
7,425,000 1,2 BMC Software, Inc., Series 144A, 8.125%, 7/15/2021 7,165,125
4,200,000 1,2 Blackboard, Inc., Sr. Unsecd. Note, Series 144A, 7.75%, 11/15/2019 4,179,000
7,875,000 1,2 Boxer Parent Co., Inc., Series 144A, 9.00%, 10/15/2019 7,284,375
2,775,000   CDW LLC/ CDW Finance, 6.00%, 8/15/2022 2,892,938
10,514,000   CDW LLC/ CDW Finance, Sr. Unsecd. Note, Series WI, 8.50%, 4/1/2019 11,197,410
3,825,000 1,2 CommScope, Inc., Series 144A, 5.50%, 6/15/2024 3,777,187
7,900,000 1,2 CommScope, Inc., Sr. Note, 6.625%, 6/1/2020 8,176,500
5,525,000 1,2 Compucom System, Inc., 7.00%, 5/1/2021 5,248,750
10

Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Technology—continued  
$7,800,000   CoreLogic, Inc., Sr. Unsecd. Note, Series WI, 7.25%, 6/1/2021 $8,229,000
3,150,000 1,2 DataTel, Inc., Series 144A, 9.625%, 12/1/2018 3,197,250
7,825,000 1,2 DataTel, Inc., Series 144A, 9.75%, 1/15/2019 8,451,000
5,150,000   Emdeon, Inc., 11.00%, 12/31/2019 5,748,687
6,100,000 1,2 Entegris, Inc., Series 144A, 6.00%, 4/1/2022 6,222,000
9,975,000   Epicor Software Corp., 8.625%, 5/1/2019 10,598,437
7,975,000 1,2 Epicor Software Corp., Series 144A, 9.00%, 6/15/2018 8,184,344
1,750,000 1,2 First Data Corp., Series 144A, 7.375%, 6/15/2019 1,844,063
2,015,000   First Data Corp., Series WI, 11.25%, 1/15/2021 2,299,619
8,900,000 1,2 First Data Corp., Sr. Secd. 2nd Priority Note, Series 144A, 8.25%, 1/15/2021 9,478,500
19,050,000 1,2 First Data Corp., Sr. Secd. 2nd Priority Note, Series 144A, 8.75%, 1/15/2022 20,288,250
2,500,000   Flextronics International Ltd., 4.625%, 2/15/2020 2,512,500
2,500,000   Flextronics International Ltd., 5.00%, 2/15/2023 2,506,250
2,025,000   Freescale Semiconductor, Inc., Company Guarantee, 10.75%, 8/1/2020 2,252,813
5,900,000 1,2 Freescale Semiconductor, Inc., Sr. Secd. Note, Series 144A, 6.00%, 1/15/2022 6,003,250
8,150,000   IAC Interactive Corp., 4.75%, 12/15/2022 7,864,750
1,225,000   IAC Interactive Corp., Series WI, 4.875%, 11/30/2018 1,243,375
7,200,000 1,2 Igloo Holdings Corp., Sr. Note, Series 144A, 8.25%, 12/15/2017 7,317,000
12,150,000 1,2 Infor Software Parent, Inc., Series 144A, 7.125%, 5/1/2021 12,089,250
8,400,000 1,2 Interactive Data Corp., Series 144A, 5.875%, 4/15/2019 8,337,000
4,350,000   Iron Mountain, Inc., Sr. Sub. Note, 7.75%, 10/1/2019 4,665,375
5,500,000   Lawson Software, Inc., Series WI, 11.50%, 7/15/2018 6,132,500
4,900,000   Lawson Software, Inc., Series WI, 9.375%, 4/1/2019 5,310,375
7,425,000   Lender Processing Services, 5.75%, 4/15/2023 7,796,250
6,275,000   MagnaChip Semiconductor S.A., Sr. Unsecd. Note, 6.625%, 7/15/2021 5,804,375
4,300,000   NCR Corp., 6.375%, 12/15/2023 4,525,750
4,025,000   NCR Corp., Sr. Unsecd. Note, 4.625%, 2/15/2021 3,964,625
3,375,000   NCR Corp., Sr. Unsecd. Note, 5.00%, 7/15/2022 3,315,937
1,425,000   NCR Corp., Sr. Unsecd. Note, 5.875%, 12/15/2021 1,464,188
3,000,000 1,2 NXP BV/NXP Funding LLC, Series 144A, 3.75%, 6/1/2018 2,962,500
1,625,000 1,2 NXP BV/NXP Funding LLC, Series 144A, 5.75%, 2/15/2021 1,657,500
1,350,000 1,2 NXP BV/NXP Funding LLC, Series 144A, 5.75%, 3/15/2023 1,370,250
9,025,000 1,2 Nuance Communications, Inc., 5.375%, 8/15/2020 8,878,344
5,500,000   Seagate HDD Cayman, 4.75%, 6/1/2023 5,568,750
6,025,000 1,2 Seagate Technology HDD Holdings, Series 144A, 4.75%, 1/1/2025 6,025,000
5,225,000 1,2 Solera Holdings, Inc., 6.00%, 6/15/2021 5,381,750
1,725,000 1,2 Solera Holdings, Inc., Series 144A, 6.125%, 11/1/2023 1,776,750
6,650,000   SunGard Data Systems, Inc., 6.625%, 11/1/2019 6,683,250
1,850,000   SunGard Data Systems, Inc., Sr. Unsecd. Note, 7.625%, 11/15/2020 1,942,500
12,800,000   Syniverse Holdings, Inc., Company Guarantee, 9.125%, 1/15/2019 13,472,000
4,650,000   TransUnion Holding Co., Inc., 8.125%, 6/15/2018 4,824,375
8,125,000   TransUnion Holding Co., Inc., Sr. Unsecd. Note, 9.625%, 6/15/2018 8,389,062
2,900,000   Verisign, Inc., 4.625%, 5/1/2023 2,813,000
3,125,000 1,2 Zebra Technologies Corp., Series 144A, 7.25%, 10/15/2022 3,125,000
    TOTAL 311,851,779
    Transportation Services—0.5%  
5,050,000   HDTFS, Inc., Series WI, 6.25%, 10/15/2022 5,138,375
3,600,000   Hertz Corp., Company Guarantee, 6.75%, 4/15/2019 3,735,000
1,300,000   Hertz Corp., Company Guarantee, 7.50%, 10/15/2018 1,348,750
11

Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Transportation Services—continued  
$1,850,000   Hertz Corp., Series WI, 5.875%, 10/15/2020 $1,887,000
    TOTAL 12,109,125
    Utility - Electric—1.3%  
9,400,000   Calpine Corp., 5.75%, 1/15/2025 9,129,750
2,025,000 1,2 Calpine Corp., Series 144A, 5.875%, 1/15/2024 2,106,000
1,325,000 1,2 Calpine Corp., Term Loan—1st Lien, Series 144A, 6.00%, 1/15/2022 1,401,187
96,387 1 FPL Energy National Wind, Note, Series 144A, 6.125%, 3/25/2019 95,570
1,675,000   NRG Energy, Inc., Company Guarantee, 8.25%, 9/1/2020 1,802,719
9,050,000   NRG Energy, Inc., Company Guarantee, Series WI, 7.625%, 1/15/2018 9,977,625
1,175,000 1,2 NRG Energy, Inc., Series 144A, 6.25%, 5/1/2024 1,183,813
1,700,000   NRG Energy, Inc., Sr. Unsecd. Note, 6.625%, 3/15/2023 1,763,750
1,775,000   NRG Energy, Inc., Sr. Unsecd. Note, 7.875%, 5/15/2021 1,917,000
2,150,000 1,2 NRG Yield Operating LLC, Series 144A, 5.375%, 8/15/2024 2,166,125
    TOTAL 31,543,539
    Wireless Communications—3.8%  
6,875,000 1,2 Altice SA, Series 144A, 7.75%, 5/15/2022 7,115,625
6,250,000 1,2 Digicel Ltd., Series 144A, 6.00%, 4/15/2021 6,203,125
2,000,000 1,2 Digicel Ltd., Sr. Note, Series 144A, 8.25%, 9/1/2017 2,047,600
1,100,000 1,2 Digicel Ltd., Sr. Unsecd. Note, Series 144A, 7.00%, 2/15/2020 1,138,500
10,275,000 1,2 Digicel Ltd., Sr. Unsecd. Note, Series 144A, 8.25%, 9/30/2020 10,635,652
2,725,000   MetroPCS Wireless, Inc., 6.125%, 1/15/2022 2,748,844
3,425,000   MetroPCS Wireless, Inc., 6.50%, 1/15/2024 3,476,375
1,650,000   MetroPCS Wireless, Inc., 6.731%, 4/28/2022 1,693,313
6,450,000   MetroPCS Wireless, Inc., Sr. Note, 6.625%, 11/15/2020 6,651,562
325,000   MetroPCS Wireless, Inc., Sr. Note, 6.633%, 4/28/2021 334,344
300,000   MetroPCS Wireless, Inc., Sr. Note, 6.836%, 4/28/2023 309,375
5,500,000   MetroPCS Wireless, Inc., Sr. Note, 7.875%, 9/1/2018 5,719,312
10,725,000   Sprint Capital Corp., Company Guarantee, 6.875%, 11/15/2028 10,296,000
11,050,000   Sprint Capital Corp., Company Guarantee, 6.90%, 5/1/2019 11,671,562
1,525,000 1,2 Sprint Capital Corp., GTD Note, Series 144A, 9.00%, 11/15/2018 1,767,094
5,975,000 1,2 Sprint Corp., Series 144A, 7.875%, 9/15/2023 6,363,375
2,650,000 1,2 Sprint Corp., Sr. Unsecd. Note, Series 144A, 7.125%, 6/15/2024 2,679,813
3,425,000 1,2 Sprint Nextel Corp., Series 144A, 7.00%, 3/1/2020 3,771,781
3,900,000   Sprint Nextel Corp., Sr. Unsecd. Note, 6.00%, 11/15/2022 3,797,625
3,550,000   T-Mobile USA, Inc., 6.625%, 4/1/2023 3,647,625
1,625,000   T-Mobile USA, Inc., Sr. Unsecd. Note, 6.00%, 3/1/2023 1,629,063
2,275,000   T-Mobile USA, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2025 2,275,000
    TOTAL 95,972,565
    Wireline Communications—0.5%  
2,275,000   Level 3 Financing, Inc., 7.00%, 6/1/2020 2,408,656
2,025,000   Level 3 Financing, Inc., 8.875%, 6/1/2019 2,171,812
1,225,000 1,2 Level 3 Financing, Inc., Series 144A, 6.125%, 1/15/2021 1,266,344
4,350,000   Level 3 Financing, Inc., Series WI, 8.625%, 7/15/2020 4,730,625
2,625,000   Level 3 Financing, Inc., Sr. Unsecd. Note, Series WI, 8.125%, 7/1/2019 2,808,750
    TOTAL 13,386,187
    TOTAL CORPORATE BONDS
(IDENTIFIED COST $2,437,756,505) 		2,465,825,415
    COMMON STOCKS—0.0%  
    Independent Energy—0.0%  
53,011 1,3,5 Lone Pine Resources Canada Ltd. 0
12

Principal
Amount
or Shares 		    Value
    COMMON STOCKS—continued  
    Independent Energy—continued  
53,011 3,5 Lone Pine Resources, Inc. $99,660
425,000 1,3,5 Lone Pine Resources, Inc., Escrow Shares 0
    TOTAL COMMON STOCKS
(IDENTIFIED COST $420,960) 		99,660
    WARRANTS—0.1%  
    Automotive—0.1%  
49,113 3 General Motors Co., Warrants, Expiration Date 7/10/2016 1,099,149
49,113 3 General Motors Co., Warrants, Expiration Date 7/10/2019 709,683
    TOTAL WARRANTS
(IDENTIFIED COST $5,175,902) 		1,808,832
    INVESTMENT COMPANY—1.7%  
42,807,990 7,8 Federated Prime Value Obligations Fund, Institutional Shares, 0.06%
(AT NET ASSET VALUE) 		42,807,990
    TOTAL INVESTMENTS—100.2%
(IDENTIFIED COST $2,486,161,357)9 		2,510,541,897
    OTHER ASSETS AND LIABILITIES - NET—(0.2)%10 (3,900,325)
    TOTAL NET ASSETS—100% $2,506,641,572
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, 2014, these restricted securities amounted to $1,054,059,471, which represented 42.1% 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, 2014, these liquid restricted securities amounted to $1,053,963,901, which represented 42.0% of total net assets.
Additional information on restricted securities, excluding securities purchased under Rule 144A that have been deemed liquid by the Trustees, if applicable, held at September 30, 2014, is as follows:
Security Acquisition Date Cost Market Value
FPL Energy National Wind, Note, Series 144A, 6.125%, 3/25/2019 2/16/2005–5/27/2009 $88,005 $95,570
Hard Rock Park Operations LLC, Sr. Secd. Note, Series 144A, 0.00%, 4/1/2012 3/23/2006–1/2/2008 $2,334,293 $0
Lone Pine Resources Canada Ltd. 1/30/2014 $0 $0
Lone Pine Resources, Inc., Escrow Shares 1/30/2014 $0 $0
3 Non-income-producing security.
4 Issuer in default.
5 Market quotations and price evaluations are not available. Fair value determined in accordance with procedures established by and under the general supervision of the Trustees.
6 Principal amount and interest were not paid upon final maturity.
7 Affiliated holding.
8 7-day net yield.
9 At September 30, 2014, the cost of investments for federal tax purposes was $2,490,978,877. The net unrealized appreciation of investments for federal tax purposes was $19,563,020. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $58,300,721 and net unrealized depreciation from investments for those securities having an excess of cost over value of $38,737,701.
10 Assets, other than investments in securities, less liabilities.
Note: The categories of investments are shown as a percentage of total net assets at September 30, 2014.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■ Fixed-income securities acquired with remaining maturities greater than 60 days are fair valued using price evaluations provided by a pricing service approved by the Trustees.
■ Fixed-income securities and repurchase agreements acquired with remaining maturities of 60 days or less are valued at their amortized cost (adjusted for the accretion of any discount or amortization of any premium), unless the issuer's creditworthiness is impaired or other factors indicate that amortized cost is not an accurate estimate of the investment's fair value, in which case it would be valued in the same manner as a longer-term security.
13

■ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs.
■ Equity securities listed on an exchange or traded through a regulated market system are valued at their last reported sale price or official closing price in their principal exchange or market.
■ Derivative contracts listed on exchanges are valued at their reported settlement or closing price.
■ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees.
■ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered such as: the purchase price of the security, information obtained by contacting the issuer, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded and public trading in similar securities of the issuer or comparable issuers.
If the Fund cannot obtain a price or price evaluation from a pricing service for an investment, the Fund may attempt to value the investment based upon the mean of bid and asked quotations or fair value the investment based on price evaluations from one or more dealers. If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, or if the Fund cannot obtain price evaluation from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Fund's valuation policies and procedures, the Fund uses the fair value of the investment determined in accordance with the procedure described below. There can be no assurance that the Fund could purchase or sell an investment at the price used to calculate the Fund's NAV.
Fair Valuation and Significant Events Procedures
The Trustees have appointed a Valuation Committee comprised of officers of the Fund, Federated Investment Management Company (“Adviser”) and certain on the Adviser's affiliated companies to determine fair value of securities and in overseeing the calculation of the NAV. The Trustees have also authorized the use of pricing services recommended by the Valuation Committee to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services' policies, procedures and valuation methods (including key inputs and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Trustees. The Trustees periodically review and approve the fair valuations made by the Valuation Committee and any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for other types of fixed-income securities and OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Trustees.
The Trustees also have adopted procedures requiring an investment to be priced at its fair value whenever the Adviser determines that a significant event affecting the value of the investment has occurred between the time as of which the price of the investment would otherwise be determined and the time as of which the NAV is computed. An event is considered significant if there is both an affirmative expectation that the investment's value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Examples of significant events that may occur after the close of the principal market on which a security is traded, or after the time of a price evaluation provided by a pricing service or a dealer, include:
■ With respect to securities traded in foreign markets, significant trends in U.S. equity markets or in the trading of foreign securities index futures contracts;
■ Political or other developments affecting the economy or markets in which an issuer conducts its operations or its securities are traded; and
■ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry.
The Trustees have approved the use of a pricing service to determine the fair value of equity securities traded principally in foreign markets when the Adviser determines that there has been a significant trend in the U.S. equity markets or in index futures trading. For other significant events, the Fund may seek to obtain more current quotations or price evaluations from alternative pricing sources. If a reliable alternative pricing source is not available, the Fund will determine the fair value of the investment using another method approved by the Trustees.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities, including investment companies with daily net asset values, if applicable.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
14

The following is a summary of the inputs used, as of September 30, 2014, in valuing the Fund's assets carried at fair value:
Valuation Inputs        
  Level 1—
Quoted
Prices and
Investments in
Investment
Companies 		Level 2—
Other
Significant
Observable
Inputs 		Level 3—
Significant
Unobservable
Inputs 		Total
Debt Securities:        
Corporate Bonds $— $2,465,825,232 $183 $2,465,825,415
Equity Securities:        
Common Stock        
 International — — 99,660 99,660
Warrants 1,808,832 — — 1,808,832
Investment Company 42,807,990 — — 42,807,990
TOTAL SECURITIES $44,616,822 $2,465,825,232 $99,843 $2,510,541,897
The following acronym is used throughout this portfolio:
GTD —Guaranteed
15
Federated Mortgage Core Portfolio
Portfolio of Investments
September 30, 2014 (unaudited)
Principal
Amount 		    Value
    ASSET-BACKED SECURITIES—1.0%  
    Auto Receivables—0.4%  
$6,650,000 1,2 Hyundai Floorplan Master Owner Trust 2013-1A, Class B, 0.804%, 5/15/2018 $6,658,076
    Home Equity Loan—0.6%  
11,300,000 1,2 Invitation Homes Trust 2014-SFR1, Class C, 2.254%, 6/17/2031 11,225,798
    TOTAL ASSET-BACKED SECURITIES
(IDENTIFIED COST $17,950,000) 		17,883,874
    ADJUSTABLE RATE MORTGAGE—1.1%  
    Federal National Mortgage Association ARM—1.1%  
19,583,125   3.043%, 1/1/2044
(IDENTIFIED COST $20,143,080) 		20,086,470
    COMMERCIAL MORTGAGE-BACKED SECURITIES—3.8%  
    Agency Commercial Mortgage-Backed Securities—1.8%  
13,188,616   FNMA 2013-M1 ASQ2, 1.074%, 11/25/2016 13,193,733
12,475,000 1,2 FREMF Mortgage Trust 2013-K712, 3.367%, 5/25/2045 12,503,953
7,000,000 1,2 FREMF Mortgage Trust 2014-K714, 3.856%, 1/25/2047 7,152,901
    TOTAL 32,850,587
    Non-Agency Commercial Mortgage-Backed Securities—2.0%  
22,300,000 1,2 UBS-Barclays Commercial Mortgage Trust 2013-C6, Class A3FL, 0.946%, 4/10/2046 22,112,075
12,500,000 1,2 Wells Fargo Commercial Mortgage Trust 2013-LC12, Class A3FL, 1.204%, 7/15/2046 12,610,219
    TOTAL 34,722,294
    TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $67,654,750) 		67,572,881
    COLLATERALIZED MORTGAGE OBLIGATIONS—14.2%  
    Government National Mortgage Association—3.3%  
37,837,771   REMIC 2013-H16 FA, 0.696%, 7/20/2063 38,007,095
21,331,492   REMIC 2013-H20 FA, 0.756%, 8/20/2063 21,486,274
    TOTAL 59,493,369
    Non-Agency Mortgage-Backed Securities—10.9%  
1,144,471   Chase Mortgage Finance Corp. 2004-S3, Class 1A1, 5.000%, 3/25/2034 1,127,574
2,385,428   Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 2,384,151
4,237,620   Countrywide Home Loans 2007-14, Class A18, 6.000%, 9/25/2037 3,924,452
1,208,143   Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 1,015,745
10,222,183 1,2 Credit Suisse Mortgage Trust 2012-CIM2, Class A1, 3.000%, 6/25/2042 10,050,485
25,596,175 1,2 Credit Suisse Mortgage Trust 2013-IVR3, Class A2, 3.000%, 5/25/2043 24,455,110
23,326,845 1,2 Credit Suisse Mortgage Trust 2013-TH1, Class A1, 2.130%, 2/25/2043 21,246,865
3,111,761   Lehman Mortgage Trust 2007-9, Class 1A1, 6.000%, 10/25/2037 2,907,264
1,779,700   Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 2.686%, 8/25/2035 1,631,479
1,386,766   Sequoia Mortgage Trust 2011-1, Class A1, 4.125%, 2/25/2041 1,411,452
5,124,972   Sequoia Mortgage Trust 2011-2, Class A1, 3.900%, 9/25/2041 5,181,807
8,133,144   Sequoia Mortgage Trust 2012-1, Class 2A1, 3.474%, 1/25/2042 8,130,741
20,166,330   Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 18,070,803
20,842,978   Sequoia Mortgage Trust 2013-1, Class 2A1, 1.855%, 2/25/2043 18,699,165
30,725,433   Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 27,689,729
20,057,898   Sequoia Mortgage Trust 2013-6, Class A2, 3.000%, 5/25/2043 19,223,353
9,559,225 1,2 Sequoia Mortgage Trust 2014-1, Class 2A5, 4.000%, 4/25/2044 9,781,885
12,150,000 1 Springleaf Mortgage Loan Trust 2012-3A, Class M1, 2.660%, 12/25/2059 11,824,602
1

Principal
Amount 		    Value
    COLLATERALIZED MORTGAGE OBLIGATIONS—continued  
    Non-Agency Mortgage-Backed Securities—continued  
$6,077,306   Structured Asset Securities Corp. 2005-17, Class 5A1, 5.500%, 10/25/2035 $5,354,077
    TOTAL 194,110,739
    TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $266,712,063) 		253,604,108
    MORTGAGE-BACKED SECURITIES—77.4%  
    Federal Home Loan Mortgage Corporation—18.6%  
9,080,812   2.500%, 8/1/2028 9,154,239
75,337,602   3.500%, 6/1/2026 - 9/1/2043 77,256,408
66,347,910   4.000%, 2/1/2020 - 1/1/2042 70,182,960
85,031,198   4.500%, 6/1/2019 - 9/1/2041 91,693,922
50,887,809   5.000%, 7/1/2019 - 5/1/2041 56,001,699
19,170,287   5.500%, 3/1/2021 - 5/1/2040 21,273,922
1,769,985   6.000%, 7/1/2029 - 9/1/2037 1,995,978
2,965,743   6.500%, 9/1/2016 - 4/1/2038 3,341,137
717,513   7.000%, 10/1/2020 - 9/1/2037 826,980
240,528   7.500%, 8/1/2029 - 5/1/2031 284,898
315,925   8.000%, 3/1/2030 - 3/1/2031 382,419
7,150   8.500%, 9/1/2025 8,518
232   9.500%, 4/1/2021 256
    TOTAL 332,403,336
    Federal National Mortgage Association—50.3%  
7,267,137   2.500%, 8/1/2028 7,323,627
178,707,024 3 3.000%, 10/1/2029 - 10/1/2044 177,308,552
224,254,285 3 3.500%, 11/1/2025 - 10/1/2044 230,587,977
204,625,054   4.000%, 12/1/2025 - 5/1/2044 216,581,043
130,713,596   4.500%, 12/1/2019 - 6/1/2044 141,516,445
46,909,967 3 5.000%, 5/1/2023 - 10/1/2044 51,758,466
47,232,319 3 5.500%, 4/1/2016 - 10/1/2044 52,711,599
13,059,247   6.000%, 5/1/2016 - 2/1/2039 14,760,883
3,781,751   6.500%, 12/1/2014 - 10/1/2038 4,285,703
2,788,203   7.000%, 3/1/2015 - 6/1/2037 3,206,662
343,465   7.500%, 4/1/2015 - 6/1/2033 406,365
56,398   8.000%, 7/1/2023 - 3/1/2031 67,435
2,516   9.000%, 11/1/2021 - 6/1/2025 2,883
    TOTAL 900,517,640
    Government National Mortgage Association—8.5%  
24,485,983   3.500%, 12/15/2040 - 8/15/2043 25,344,624
31,179,426   4.000%, 9/15/2040 - 10/15/2041 33,221,854
46,462,550   4.500%, 1/15/2039 - 11/15/2043 50,542,632
29,910,018   5.000%, 1/15/2039 - 7/15/2040 33,299,492
4,616,202   5.500%, 12/15/2038 - 2/15/2039 5,142,486
1,525,422   6.000%, 10/15/2028 - 6/15/2037 1,727,364
349,348   6.500%, 10/15/2028 - 2/15/2032 402,853
658,769   7.000%, 11/15/2027 - 12/15/2031 771,480
187,514   7.500%, 7/15/2029 - 1/15/2031 222,688
312,527   8.000%, 1/15/2022 - 11/15/2030 375,178
21,435   8.500%, 3/15/2022 - 9/15/2029 24,503
1,335   9.500%, 10/15/2020 1,559
2

Principal
Amount 		    Value
    MORTGAGE-BACKED SECURITIES—continued  
    Government National Mortgage Association—continued  
$5,229   12.000%, 4/15/2015 - 6/15/2015 $5,329
    TOTAL 151,082,042
    TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $1,347,672,762) 		1,384,003,018
    REPURCHASE AGREEMENTS—14.4%  
108,777,000 4 Interest in $850,000,000 joint repurchase agreement 0.01%, dated 9/30/2014 under which Bank of America, N.A. will repurchase securities provided as collateral for $850,000,236 on 10/1/2014. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 7/25/2041 and the market value of those underlying securities was $873,724,547. 108,777,000
150,022,000 4,5 Interest in $300,000,000 joint repurchase agreement 0.07%, dated 9/11/2014 under which RBC Capital Markets, LLC will repurchase securities provided as collateral for $300,019,250 on 10/14/2014. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to 7/20/2064 and the market value of those underlying securities was $307,921,472. 150,022,000
    TOTAL REPURCHASE AGREEMENTS (AT COST) 258,799,000
    TOTAL INVESTMENTS—111.9%
(IDENTIFIED COST $1,978,931,655)6 		2,001,949,351
    OTHER ASSETS AND LIABILITIES - NET—(11.9)%7 (213,163,389)
    TOTAL NET ASSETS—100% $1,788,785,962
At September 30, 2014, the Fund had the following outstanding futures contracts:
Description Number of
Contracts 		Notional
Value 		Expiration
Date 		Unrealized
Appreciation
(Depreciation)
8U.S. Treasury Long Bond Short Futures 125 $17,238,281 December 2014 $(222,938)
8U.S. Treasury Notes 2-Year Short Futures 480 $105,045,000 December 2014 $6,689
8U.S. Treasury Notes 5-Year Short Futures 120 $14,190,938 December 2014 $37,230
8U.S. Treasury Notes 10-Year Short Futures 320 $39,885,000 December 2014 $251,780
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS $72,761
The average notional value of long and short futures contracts held by the Fund throughout the period was $641,563 and $83,440,991, respectively. This is based on the contracts held as of each month-end throughout the nine-month fiscal period.
Net Unrealized Appreciation on Futures Contracts is included in “Other Assets and Liabilities—Net.”
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, 2014, these restricted securities amounted to $149,621,969, which represented 8.4% 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, 2014, these liquid restricted securities amounted to $137,797,367, which represented 7.7% of total net assets.
Additional information on restricted securities, excluding securities purchased under Rule 144A that have been deemed liquid by the Trustees, if applicable, held at September 30, 2014, is as follows:
Security Acquisition Date Cost Market Value
Springleaf Mortgage Loan Trust 2012-3A, Class M1, 2.660%, 12/25/2059 10/18/2012 $12,144,992 $ 11,824,602
3 All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions.
4 All or a portion of these securities are segregated pending settlement of dollar-roll transactions.
5 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.
6 At September 30, 2014, the cost of investments for federal tax purposes was $1,978,931,655. The net unrealized appreciation of investments for federal tax purposes excluding any unrealized appreciation resulting from futures contracts was $23,017,696. This consists of net unrealized appreciation/depreciation from investments for those securities having an excess of value over cost of $37,875,795 and net unrealized depreciation from investments for those securities having an excess of cost over value of $14,858,099.
7 Assets, other than investments in securities, less liabilities. A significant portion of this balance is the result of dollar-roll transactions as of September 30, 2014.
8 Non-income-producing security.
Note: The categories of investments are shown as a percentage of total net assets at September 30, 2014.
3

Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■ Fixed-income securities acquired with remaining maturities greater than 60 days are fair valued using price evaluations provided by a pricing service approved by the Trustees.
■ Fixed-income securities and repurchase agreements acquired with remaining maturities of 60 days or less are valued at their amortized cost (adjusted for the accretion of any discount or amortization of any premium), unless the issuer's creditworthiness is impaired or other factors indicate that amortized cost is not an accurate estimate of the investment's fair value, in which case it would be valued in the same manner as a longer-term security.
■ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs.
■ Derivative contracts listed on exchanges are valued at their reported settlement or closing price.
■ Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees.
■ For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered such as: the purchase price of the security, information obtained by contacting the issuer, analysis of the issuer's financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded and public trading in similar securities of the issuer or comparable issuers.
If the Fund cannot obtain a price or price evaluation from a pricing service for an investment, the Fund may attempt to value the investment based upon the mean of bid and asked quotations or fair value the investment based on price evaluations from one or more dealers. If any price, quotation, price evaluation or other pricing source is not readily available when the NAV is calculated, or if the Fund cannot obtain price evaluations from a pricing service or from more than one dealer for an investment within a reasonable period of time as set forth in the Fund's valuation policies and procedures, the Fund uses the fair value of the investment determined in accordance with the procedures described below. There can be no assurance that the Fund could purchase or sell an investment at the price used to calculate the Fund's NAV.
Fair Valuation Procedures
The Trustees have appointed a Valuation Committee comprised of officers of the Fund, Federated Investment Management Company (“Adviser”) and certain of the Adviser's affiliated companies to determine fair value of securities and in overseeing the calculation of the NAV. The Trustees have also authorized the use of pricing services recommended by the Valuation Committee to provide fair value evaluations of the current value of certain investments for purposes of calculating the NAV. The Valuation Committee employs various methods for reviewing third-party pricing-service evaluations including periodic reviews of third-party pricing services' policies, procedures and valuation methods (including key inputs and assumptions), transactional back-testing, comparisons of evaluations of different pricing services, and review of price challenges by the Adviser based on recent market activity. In the event that market quotations and price evaluations are not available for an investment, the Valuation Committee determines the fair value of the investment in accordance with procedures adopted by the Trustees. The Trustees periodically review and approve the fair valuations made by the Valuation Committee and any changes made to the procedures.
Factors considered by pricing services in evaluating an investment include the yields or prices of investments of comparable quality, coupon, maturity, call rights and other potential prepayments, terms and type, reported transactions, indications as to values from dealers and general market conditions. Some pricing services provide a single price evaluation reflecting the bid-side of the market for an investment (a “bid” evaluation). Other pricing services offer both bid evaluations and price evaluations indicative of a price between the prices bid and asked for the investment (a “mid” evaluation). The Fund normally uses bid evaluations for U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for other types of fixed-income securities and OTC derivative contracts. In the event that market quotations and price evaluations are not available for an investment, the fair value of the investment is determined in accordance with procedures adopted by the Trustees.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities, including investment companies with daily net asset values, if applicable.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Also includes securities valued at amortized cost.
Level 3—significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
4

The following is a summary of the inputs used, as of September 30, 2014, in valuing the Fund's assets carried at fair value:
Valuation Inputs
  Level 1—
Quoted
Prices and
Investments in
Investment
Companies 		Level 2—
Other
Significant
Observable
Inputs 		Level 3—
Significant
Unobservable
Inputs 		Total
Debt Securities:        
Asset-Backed Securities $— $17,883,874 $— $17,883,874
Adjustable Rate Mortgage — 20,086,470   20,086,470
Commercial Mortgage-Backed Securities — 67,572,881 — 67,572,881
Collateralized Mortgage Obligations — 253,604,108 — 253,604,108
Mortgage-Backed Securities — 1,384,003,018 — 1,384,003,018
Repurchase Agreements — 258,799,000 — 258,799,000
TOTAL SECURITIES $— $2,001,949,351 $— $2,001,949,351
OTHER FINANCIAL INSTRUMENTS* $72,761 $— $— $72,761
* Other financial instruments include futures contracts.
The following acronym is used throughout this portfolio:
FNMA —Federal National Mortgage Association
REMIC —Real Estate Mortgage Investment Conduit
5

 

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/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date November 19, 2014

 

 

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 20, 2014

 

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date November 19, 2014