N-Q 1 fct12722form.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: 12/31/16

 

 

Date of Reporting Period: Quarter ended 03/31/16

 

 

 

 

 

 

 

Item 1. Schedule of Investments

High Yield Bond Portfolio
Portfolio of Investments
March 31, 2016 (unaudited)
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—97.5%  
    Aerospace/Defense—0.9%  
$3,175,000   TransDigm, Inc., 5.50%, 10/15/2020 $3,200,400
1,000,000   TransDigm, Inc., 7.50%, 7/15/2021 1,052,500
8,850,000   TransDigm, Inc., Sr. Sub. Note, 6.00%, 7/15/2022 8,861,063
4,475,000   TransDigm, Inc., Sr. Sub. Note, 6.50%, 7/15/2024 4,462,470
1,625,000   TransDigm, Inc., Sr. Sub. Note, 6.50%, 5/15/2025 1,594,531
    TOTAL 19,170,964
    Automotive—4.1%  
8,900,000   Affinia Group, Inc., Sr. Unsecd. Note, 7.75%, 5/1/2021 9,211,500
4,125,000   American Axle & Manufacturing Holdings, Inc., Sr. Note, 6.625%, 10/15/2022 4,300,312
4,025,000   American Axle & Manufacturing Holdings, Inc., Sr. Note, 7.75%, 11/15/2019 4,427,500
1,050,000   American Axle & Manufacturing Holdings, Inc., Sr. Unsecd. Note, 6.25%, 3/15/2021 1,088,063
11,475,000 1,2 Gates Global LLC, Series 144A, 6.00%, 7/15/2022 9,868,500
3,825,000   Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 5.125%, 11/15/2023 3,930,187
7,350,000 1,2 International Automotive Components, Sr. Secd. Note, Series 144A, 9.125%, 6/1/2018 6,651,750
5,675,000 1,2 J.B. Poindexter, Inc., Series 144A, 9.00%, 4/1/2022 5,972,937
5,525,000   Lear Corp., 5.25%, 1/15/2025 5,773,625
2,725,000   Lear Corp., 5.375%, 3/15/2024 2,854,438
7,525,000   MPG Holdco I, Inc., Sr. Unsecd. Note, 7.375%, 10/15/2022 7,487,375
4,175,000 1,2 Omega US Sub LLC, Sr. Unsecd. Note, Series 144A, 8.75%, 7/15/2023 4,028,875
2,575,000 1,2 Schaeffler AG, Series 144A, 4.25%, 5/15/2021 2,632,938
750,000 1,2 Schaeffler AG, Series 144A, 6.25%, 11/15/2019 787,500
8,825,000 1,2 Schaeffler AG, Series 144A, 6.75%, 11/15/2022 9,641,312
2,525,000 1,2 Schaeffler AG, Series 144A, 6.875%, 8/15/2018 2,607,063
2,725,000 1,2 Schaeffler Finance BV, Series 144A, 4.75%, 5/15/2023 2,752,250
850,000   Tenneco, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2024 877,625
8,525,000 3,4 UCI International, Inc., Company Guarantee, 8.625%, 2/15/2019 1,683,688
5,350,000 1,2 ZF North America Capital, Inc., Series 144A, 4.75%, 4/29/2025 5,343,312
    TOTAL 91,920,750
    Building Materials—2.6%  
1,325,000   Allegion PLC, Sr. Unsecd. Note, 5.875%, 9/15/2023 1,397,875
4,290,000   Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 5.75%, 10/1/2021 4,515,225
6,975,000 1,2 American Builders & Contractors Supply Co. Inc., Series 144A, 5.625%, 4/15/2021 7,219,125
900,000 1,2 American Builders & Contractors Supply Co. Inc., Sr. Unsecd. Note, Series 144A, 5.75%, 12/15/2023 938,250
2,300,000 1,2 Beacon Roofing Supply, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 10/1/2023 2,449,500
2,975,000 1,2 Building Materials Corp. of America, Sr. Unsecd. Note, Series 144A, 6.00%, 10/15/2025 3,160,938
2,300,000 1,2 HD Supply, Inc., Series 144A, 5.25%, 12/15/2021 2,423,625
1,800,000 1,2 HD Supply, Inc., Series 144A, 5.75%, 4/15/2024 1,854,000
2,025,000   HD Supply, Inc., Sr. Unsecd. Note, 7.50%, 7/15/2020 2,159,156
1,675,000 1,2 Masonite International Corp., Sr. Unsecd. Note, Series 144A, 5.625%, 3/15/2023 1,758,750
5,700,000 1,2 NCI Building System, Inc., Sr. Unsecd. Note, Series 144A, 8.25%, 1/15/2023 6,027,750
9,250,000   Nortek, Inc., Sr. Unsecd. Note, 8.50%, 4/15/2021 9,643,125
9,200,000 1,2 RSI Home Products, Inc., Series 144A, 6.50%, 3/15/2023 9,637,000
1,175,000 1,2 USG Corp., Sr. Note, Series 144A, 5.875%, 11/1/2021 1,233,750
2,100,000 1,2 USG Corp., Sr. Unsecd. Note, Series 144A, 5.50%, 3/1/2025 2,191,875
    TOTAL 56,609,944
1
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Cable Satellite—6.4%  
$5,100,000 1,2 Altice US Finance I Corp., Sr. Unsecd. Note, Series 144A, 7.75%, 7/15/2025 $5,049,000
2,200,000   CCO Holdings LLC/Cap Corp., 5.25%, 9/30/2022 2,271,500
5,475,000   CCO Holdings LLC/Cap Corp., 5.75%, 9/1/2023 5,694,000
4,450,000 1,2 CCO Holdings LLC/Cap Corp., Series 144A, 5.375%, 5/1/2025 4,539,000
4,050,000 1,2 CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, Series 144A, 5.875%, 5/1/2027 4,141,125
2,125,000 1,2 CCOH Safari LLC, Sr. Unsecd. Note, Series 144A, 5.75%, 2/15/2026 2,204,688
4,675,000 1,2 Cequel Communications Holdings, Sr. Unsecd. Note, Series 144A, 5.125%, 12/15/2021 4,382,812
2,525,000 1,2 Cequel Communications Holdings, Sr. Unsecd. Note, Series 144A, 5.125%, 12/15/2021 2,360,875
3,175,000   Charter Communications Holdings II, 5.125%, 2/15/2023 3,246,437
2,300,000   Charter Communications Holdings II, 5.75%, 1/15/2024 2,400,625
2,150,000   Charter Communications Holdings II, 6.625%, 1/31/2022 2,270,267
2,125,000   DISH DBS Corp., 5.00%, 3/15/2023 1,896,563
12,050,000   DISH DBS Corp., 5.875%, 7/15/2022 11,447,500
1,675,000   DISH DBS Corp., Sr. Unsecd. Note, 5.875%, 11/15/2024 1,541,000
5,050,000   Intelsat (Luxembourg) S.A., 7.75%, 6/1/2021 1,527,625
6,250,000   Intelsat (Luxembourg) S.A., Sr. Unsecd. Note, 8.125%, 6/1/2023 1,898,438
8,300,000   Intelsat Jackson Holdings S.A., 6.625%, 12/15/2022 4,482,000
2,450,000 1,2 Intelsat Jackson Holdings S.A., Series 144A, 8.00%, 2/15/2024 2,529,625
9,650,000   Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.50%, 8/1/2023 5,862,375
2,350,000   Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 7.50%, 4/1/2021 1,504,000
4,550,000 1,2 Neptune Finco Corp., Sr. Unsecd. Note, Series 144A, 10.125%, 1/15/2023 4,879,875
11,375,000 1,2 Neptune Finco Corp., Sr. Unsecd. Note, Series 144A, 10.875%, 10/15/2025 12,455,625
4,550,000 1,2 Neptune Finco Corp., Sr. Unsecd. Note, Series 144A, 6.625%, 10/15/2025 4,930,607
6,700,000 1,2 Sirius XM Radio, Inc., Series 144A, 4.625%, 5/15/2023 6,649,750
6,950,000 1,2 Sirius XM Radio, Inc., Series 144A, 6.00%, 7/15/2024 7,312,707
3,250,000 1,2 Sirius XM Radio, Inc., Sr. Unsecd. Note, Series 144A, 5.375%, 4/15/2025 3,315,000
1,950,000 1,2 Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, Series 144A, 5.00%, 1/15/2025 1,954,875
2,550,000 1,2 Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, Series 144A, 5.50%, 1/15/2023 2,623,312
8,075,000 1,2 Unitymedia KabelBW GmbH, Series 144A, 6.125%, 1/15/2025 8,443,422
7,725,000 1,2 Virgin Media Secured Finance PLC, Series 144A, 5.25%, 1/15/2026 7,763,625
4,275,000 1,2 Virgin Media Secured Finance PLC, Series 144A, 6.375%, 4/15/2023 4,467,375
800,000 1,2 Virgin Media, Inc., Sr. Unsecd. Note, Series 144A, 5.75%, 1/15/2025 812,000
2,100,000 1,2 Virgin Media, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 10/15/2024 2,165,625
2,475,000 1,2 Ziggo Finance BV, Sr. Unsecd. Note, Series 144A, 5.875%, 1/15/2025 2,434,781
    TOTAL 141,458,034
    Chemicals—2.6%  
4,675,000   Ashland, Inc., 4.75%, 8/15/2022 4,768,500
4,450,000   Celanese US Holdings LLC, 4.625%, 11/15/2022 4,498,950
5,225,000 1,2 Compass Minerals International, Inc., Series 144A, 4.875%, 7/15/2024 5,094,375
5,875,000 1,2 Dupont Performance Coatings, Series 144A, 7.375%, 5/1/2021 6,242,187
4,175,000 1,2 Eco Services Operations LLC, Sr. Unsecd. Note, Series 144A, 8.50%, 11/1/2022 3,861,875
3,200,000   Hexion U.S. Finance Corp., 6.625%, 4/15/2020 2,672,000
8,200,000   Hexion U.S. Finance Corp., Sr. Secd. Note, 8.875%, 2/1/2018 5,658,000
1,550,000   Huntsman International LLC, Sr. Unsecd. Note, 4.875%, 11/15/2020 1,542,250
8,075,000 1,2 Huntsman International LLC, Sr. Unsecd. Note, Series 144A, 5.125%, 11/15/2022 7,873,125
14,050,000 1,2 Platform Specialty Products Corp., Sr. Unsecd. Note, Series 144A, 6.50%, 2/1/2022 11,924,937
1,775,000 1,2 WR Grace & Co.- Conn., Sr. Unsecd. Note, Series 144A, 5.125%, 10/1/2021 1,850,438
2,375,000 1,2 WR Grace & Co.- Conn., Sr. Unsecd. Note, Series 144A, 5.625%, 10/1/2024 2,484,844
    TOTAL 58,471,481
2
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Construction Machinery—0.5%  
$462,000   RSC Equipment Rental, Inc., Company Guarantee, 8.25%, 2/1/2021 $485,100
2,600,000   United Rentals, Inc., 4.625%, 7/15/2023 2,593,500
1,375,000   United Rentals, Inc., 5.75%, 11/15/2024 1,381,875
925,000   United Rentals, Inc., 7.375%, 5/15/2020 968,359
5,575,000   United Rentals, Inc., Sr. Unsecd. Note, 5.50%, 7/15/2025 5,526,219
    TOTAL 10,955,053
    Consumer Cyclical Services—1.3%  
6,425,000 1,2 Garda World Security Corp., Series 144A, 7.25%, 11/15/2021 4,979,375
4,725,000 1,2 Garda World Security Corp., Series 144A, 7.25%, 11/15/2021 3,661,875
11,775,000 1,2 Hearthside Group Holdings LLC, Series 144A, 6.50%, 5/1/2022 10,067,625
2,875,000   IHS, Inc., Sr. Unsecd. Note, 5.00%, 11/1/2022 2,993,594
2,575,000 1,2 Manitowoc Foodservice, Inc., Sr. Note, Series 144A, 9.50%, 2/15/2024 2,819,625
2,400,000   ServiceMaster Co., Sr. Unsecd. Note, 7.10%, 3/1/2018 2,460,000
1,775,000   ServiceMaster Co., Sr. Unsecd. Note, 7.45%, 8/15/2027 1,757,250
    TOTAL 28,739,344
    Consumer Products—3.0%  
14,775,000 1,2 AOT Bedding Super Holdings LLC, Series 144A, 8.125%, 10/1/2020 15,403,085
7,550,000   FGI Operating Co. LLC/FGI Finance, Inc., 7.875%, 5/1/2020 4,567,750
10,025,000 1,2 First Quality Finance Co. Inc., Series 144A, 4.625%, 5/15/2021 9,724,250
8,150,000 1,2 Party City Holdings, Inc., Sr. Unsecd. Note, Series 144A, 6.125%, 8/15/2023 8,435,250
7,975,000 1,2 Prestige Brands Holdings, Inc., Series 144A, 5.375%, 12/15/2021 8,114,562
3,250,000 1,2 Prestige Brands, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 3/1/2024 3,404,375
4,400,000   Spectrum Brands, Inc., 5.75%, 7/15/2025 4,697,000
2,550,000   Spectrum Brands, Inc., 6.125%, 12/15/2024 2,734,875
5,675,000   Springs Industries, Inc., 6.25%, 6/1/2021 5,731,750
4,125,000 1,2 Vista Outdoor, Inc., Sr. Unsecd. Note, Series 144A, 5.875%, 10/1/2023 4,341,563
    TOTAL 67,154,460
    Diversified Manufacturing—1.8%  
2,875,000 1,2 EnerSys, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 4/30/2023 2,788,750
9,350,000 1,2 Entegris, Inc., Series 144A, 6.00%, 4/1/2022 9,525,312
8,875,000 1,2 Gardner Denver, Inc., Series 144A, 6.875%, 8/15/2021 7,299,688
6,575,000 1,2 Hamilton Sundstrand Corp., Series 144A, 7.75%, 12/15/2020 5,227,125
5,100,000 1,2 Milacron LLC, Series 144A, 7.75%, 2/15/2021 4,717,500
10,275,000   WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2021 10,429,125
    TOTAL 39,987,500
    Financial Institutions—4.3%  
3,875,000   AerCap Ireland Capital Ltd/AerCap Global Aviation Trust, Sr. Unsecd. Note, 4.50%, 5/15/2021 3,974,277
1,450,000   AerCap Ireland Capital Ltd/AerCap Global Aviation Trust, Sr. Unsecd. Note, 4.625%, 7/1/2022 1,484,438
4,050,000   AerCap Ireland Capital Ltd/AerCap Global Aviation Trust, Sr. Unsecd. Note, 5.00%, 10/1/2021 4,201,875
3,600,000   Ally Financial, Inc., Company Guarantee, 6.25%, 12/1/2017 3,762,000
4,225,000   Ally Financial, Inc., Sr. Sub. Note, 5.75%, 11/20/2025 4,151,062
1,375,000   Ally Financial, Inc., Sr. Unsecd. Note, 3.25%, 9/29/2017 1,371,563
5,400,000   Ally Financial, Inc., Sr. Unsecd. Note, 3.75%, 11/18/2019 5,359,500
4,800,000   Ally Financial, Inc., Sr. Unsecd. Note, 4.125%, 2/13/2022 4,734,000
2,550,000   Ally Financial, Inc., Sr. Unsecd. Note, 4.625%, 3/30/2025 2,527,688
1,800,000   Ally Financial, Inc., Sr. Unsecd. Note, 4.625%, 5/19/2022 1,813,500
4,700,000   Ally Financial, Inc., Sr. Unsecd. Note, 5.125%, 9/30/2024 4,829,250
5,125,000 1,2 CIT Group Holdings, Inc., Sr. 2nd Priority Note, Series 144A, 6.625%, 4/1/2018 5,400,469
2,050,000   CIT Group, Inc., Sr. Unsecd. Note, 5.00%, 8/1/2023 2,065,375
3
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Financial Institutions—continued  
$12,275,000 1,2 Hockey Merger Sub 2, Inc., Sr. Unsecd. Note, Series 144A, 7.875%, 10/1/2021 $12,121,562
6,050,000 1,2 Hub Holdlings LLC/Hub Hol, Sr. Unsecd. Note, Series 144A, 8.125%, 7/15/2019 5,626,500
725,000 1,2 Hub International Ltd., Series 144A, 9.25%, 2/15/2021 754,000
6,875,000   International Lease Finance Corp., 4.625%, 4/15/2021 7,064,062
7,275,000   International Lease Finance Corp., 5.875%, 8/15/2022 7,920,656
750,000   Navient Corp., Sr. Unsecd. Note, 5.50%, 1/25/2023 641,250
2,650,000   Navient Corp., Sr. Unsecd. Note, 5.875%, 10/25/2024 2,280,643
13,325,000 1,2 Quicken Loans, Inc., Series 144A, 5.75%, 5/1/2025 12,991,875
    TOTAL 95,075,545
    Food & Beverage—3.4%  
15,775,000 1,2 Anna Merger Sub, Inc., Series 144A, 7.75%, 10/1/2022 14,670,750
8,050,000   Aramark Corp., Sr. Unsecd. Note, 5.75%, 3/15/2020 8,306,594
1,725,000   Aramark Services, Inc., Sr. Unsecd. Note, Series WI, 5.125%, 1/15/2024 1,822,031
1,775,000   Constellation Brands, Inc., Sr. Unsecd. Note, 4.75%, 11/15/2024 1,859,312
11,000,000   Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.875%, 5/1/2021 11,165,000
650,000 1,2 Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., Sr. Unsecd. Note, Series 144A, 5.875%, 1/15/2024 680,875
3,200,000 1,2 Post Holdings, Inc., Sr. Unsecd. Note, Series 144A, 7.75%, 3/15/2024 3,528,000
8,000,000 1,2 Post Holdings, Inc., Sr. Unsecd. Note, Series 144A, 8.00%, 7/15/2025 8,980,000
4,700,000   Smithfield Foods, Inc., 6.625%, 8/15/2022 5,017,250
1,175,000 1,2 Smithfield Foods, Inc., Sr. Note, Series 144A, 5.875%, 8/1/2021 1,222,000
1,350,000 1,2 TreeHouse Foods, Inc., Series 144A, 6.00%, 2/15/2024 1,437,750
16,675,000   U.S. Foodservice, Inc., Sr. Unsecd. Note, 8.50%, 6/30/2019 17,196,094
    TOTAL 75,885,656
    Gaming—4.2%  
3,100,000   Affinity Gaming LLC, Sr. Unsecd. Note, 9.00%, 5/15/2018 3,162,000
1,025,000 1,2 Boyd Gaming Corp., Series 144A, 6.375%, 4/1/2026 1,068,563
6,800,000   Boyd Gaming Corp., Sr. Unsecd. Note, 6.875%, 5/15/2023 7,276,000
5,025,000 1,2 Chester Downs & Marina, Series 144A, 9.25%, 2/1/2020 3,668,250
3,325,000   GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/1/2023 3,341,625
9,025,000   MGM Mirage, Inc., 7.75%, 3/15/2022 10,130,562
4,375,000   MGM Mirage, Inc., Sr. Unsecd. Note, 6.75%, 10/1/2020 4,755,625
2,850,000   MGM Resorts International, 6.00%, 3/15/2023 2,955,094
7,250,000   Mohegan Tribal Gaming Authority, 9.75%, 9/1/2021 7,467,500
10,250,000   Penn National Gaming, Inc., 5.875%, 11/1/2021 10,250,000
7,275,000   Pinnacle Entertainment, Inc., 6.375%, 8/1/2021 7,720,594
2,075,000   Pinnacle Entertainment, Inc., 7.75%, 4/1/2022 2,287,687
4,194,000 1,2 Rivers Pittsburgh LP, Sr. Secd. Note, Series 144A, 9.50%, 6/15/2019 4,340,790
12,325,000 1,2 Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, Series 144A, 5.875%, 5/15/2021 12,417,437
3,730,000 1,2 Seminole Tribe of Florida, Bond, Series 144A, 7.804%, 10/1/2020 3,860,550
8,275,000   Station Casinos, Inc., Sr. Note, 7.50%, 3/1/2021 8,771,500
    TOTAL 93,473,777
    Health Care—10.5%  
1,275,000 1,2 Acadia Healthcare Co., Inc., Sr. Unsecd. Note, Series 144A, 6.50%, 3/1/2024 1,329,188
8,475,000 1,2 Air Medical Group Holdings, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 5/15/2023 7,987,687
9,325,000   Amsurg Corp., Sr. Unsecd. Note, 5.625%, 7/15/2022 9,639,719
13,600,000   CHS/Community Health Systems, Inc., Sr. Unsecd. Note, 6.875%, 2/1/2022 12,342,000
5,425,000   CHS/Community Health Systems, Inc., Term Loan—1st Lien, 5.125%, 8/1/2021 5,519,937
2,200,000   DaVita HealthCare Partners, Inc., 5.00%, 5/1/2025 2,183,500
3,725,000   DaVita HealthCare Partners, Inc., 5.125%, 7/15/2024 3,769,234
4
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Health Care—continued  
$5,150,000   Emdeon, Inc., 11.00%, 12/31/2019 $5,465,438
3,175,000 1,2 Emdeon, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 2/15/2021 3,103,563
10,225,000 1,2 Envision Healthcare Holdings, Inc., Series 144A, 5.125%, 7/1/2022 10,429,500
7,250,000   HCA, Inc., 4.75%, 5/1/2023 7,395,000
6,025,000   HCA, Inc., 5.00%, 3/15/2024 6,179,391
2,250,000   HCA, Inc., 5.25%, 6/15/2026 2,311,875
2,300,000   HCA, Inc., 5.875%, 5/1/2023 2,426,500
10,150,000   HCA, Inc., Sr. Unsecd. Note, 5.375%, 2/1/2025 10,273,728
10,650,000   HCA, Inc., Sr. Unsecd. Note, 7.50%, 2/15/2022 12,104,449
8,200,000   HCA, Inc., Term Loan—1st Lien, 5.25%, 4/15/2025 8,466,500
3,700,000 1,2 Hill-Rom Holdings, Inc., Sr. Unsecd. Note, Series 144A, 5.75%, 9/1/2023 3,848,000
8,775,000   Iasis Healthcare, Sr. Unsecd. Note, 8.375%, 5/15/2019 8,698,219
1,700,000   LifePoint Health, Inc., 5.875%, 12/1/2023 1,784,660
5,650,000   LifePoint Health, Inc., Sr. Unsecd. Note, 5.50%, 12/1/2021 5,918,375
1,425,000 1,2 MEDNAX, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 12/1/2023 1,485,563
14,650,000 1,2 MPH Acquisition Holdings LLC, Series 144A, 6.625%, 4/1/2022 15,272,625
18,800,000 1,2 Ortho-Clinical Diagnostics, Inc., Series 144A, 6.625%, 5/15/2022 14,241,000
10,650,000 1,2 Sterigenics-Nordion Holdings LLC, Sr. Unsecd. Note, Series 144A, 6.50%, 5/15/2023 10,650,000
7,525,000 1,2 Surgical Care Affiliates, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 4/1/2023 7,619,062
3,950,000 1,2 Team Health, Inc., Sr. Unsecd. Note, Series 144A, 7.25%, 12/15/2023 4,236,375
3,225,000   Teleflex, Inc., Sr. Unsecd. Note, 5.25%, 6/15/2024 3,317,719
12,050,000   Tenet Healthcare Corp., 8.125%, 4/1/2022 12,422,465
6,850,000   Tenet Healthcare Corp., Note, 4.375%, 10/1/2021 6,901,375
5,100,000   Tenet Healthcare Corp., Sr. Secd. Note, 4.50%, 4/1/2021 5,151,000
4,625,000   Tenet Healthcare Corp., Sr. Unsecd. Note, 6.75%, 6/15/2023 4,451,563
5,800,000 1,2 Vizient, Inc., Sr. Unsecd. Note, Series 144A, 10.375%, 3/1/2024 6,220,500
8,025,000   Wolverine Healthcare, Sr. Note, 10.625%, 6/1/2020 8,598,787
    TOTAL 231,744,497
    Independent Energy—4.5%  
5,725,000   Antero Resources Corp., 6.00%, 12/1/2020 5,467,375
3,125,000   Antero Resources Corp., Sr. Unsecd. Note, 5.125%, 12/1/2022 2,843,750
1,475,000   Antero Resources Corp., Sr. Unsecd. Note, 5.625%, 6/1/2023 1,364,375
2,675,000   Antero Resources Finance Corp., 5.375%, 11/1/2021 2,467,687
2,100,000   Approach Resources, Inc., 7.00%, 6/15/2021 1,008,000
2,525,000   BreitBurn Energy Partners L.P., 7.875%, 4/15/2022 265,125
9,050,000   California Resources Corp., Sr. Unsecd. Note, 6.00%, 11/15/2024 2,058,875
450,000   Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023 398,813
8,600,000   Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 7.50%, 9/15/2020 8,062,500
2,250,000   Chaparral Energy, Inc., 7.625%, 11/15/2022 435,938
1,075,000   Chaparral Energy, Inc., Company Guarantee, 9.875%, 10/1/2020 206,938
3,100,000   Chesapeake Energy Corp., 5.75%, 3/15/2023 1,069,500
3,575,000   Chesapeake Energy Corp., Sr. Unsecd. Note, 5.375%, 6/15/2021 1,287,000
2,350,000   Chesapeake Energy Corp., Sr. Unsecd. Note, 6.625%, 8/15/2020 928,250
3,025,000   Continental Resources, Inc., 4.50%, 4/15/2023 2,544,781
775,000 1,2 Crownrock LP/Crownrock F, Series 144A, 7.125%, 4/15/2021 745,938
2,025,000 1,2 Crownrock LP/Crownrock F, Unsecd. Note, Series 144A, 7.75%, 2/15/2023 1,969,312
2,350,000   EP Energy LLC/Everest Acquisition Finance, Inc., Sr. Unsecd. Note, 6.375%, 6/15/2023 1,092,750
1,350,000   EP Energy LLC/Everest Acquisition Finance, Inc., Sr. Unsecd. Note, 7.75%, 9/1/2022 634,500
3,625,000   EP Energy/EP Finance, Inc., 9.375%, 5/1/2020 1,846,484
5
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Independent Energy—continued  
$750,000   Gulfport Energy Corp., Sr. Unsecd. Note, 6.625%, 5/1/2023 $701,250
6,525,000   Gulfport Energy Corp., Sr. Unsecd. Note, 7.75%, 11/1/2020 6,557,625
3,825,000 1,2 Halcon Resources Corp., Series 144A, 8.625%, 2/1/2020 2,730,094
2,850,000   Laredo Petroleum, 5.625%, 1/15/2022 2,394,000
1,400,000   Laredo Petroleum, Sr. Unsecd. Note, 6.25%, 3/15/2023 1,179,500
1,975,000   Laredo Petroleum, Sr. Unsecd. Note, 7.375%, 5/1/2022 1,720,719
8,575,000   Legacy Reserves, 6.625%, 12/1/2021 1,672,125
2,025,000   Linn Energy LLC, 6.50%, 9/15/2021 243,000
1,925,000   Linn Energy LLC, Sr. Unsecd. Note, 6.25%, 11/1/2019 221,375
3,525,000   Linn Energy LLC, Sr. Unsecd. Note, 8.625%, 4/15/2020 415,351
3,775,000   Newfield Exploration Co., Sr. Unsecd. Note, 5.625%, 7/1/2024 3,557,937
925,000   Northern Oil and Gas, Inc., 8.00%, 6/1/2020 559,625
7,600,000   Northern Oil and Gas, Inc., Sr. Note, 8.00%, 6/1/2020 4,845,000
2,550,000   Oasis Petroleum, Inc., 6.875%, 1/15/2023 1,893,375
1,350,000   Oasis Petroleum, Inc., 6.875%, 3/15/2022 1,005,750
4,525,000   Oasis Petroleum, Inc., Company Guarantee, 6.50%, 11/1/2021 3,371,125
1,175,000   PDC Energy, Inc., 7.75%, 10/15/2022 1,177,937
4,600,000   RSP Permian, Inc., Sr. Unsecd. Note, 6.625%, 10/1/2022 4,577,000
1,200,000   Range Resources Corp., 5.00%, 8/15/2022 1,041,000
1,625,000   Range Resources Corp., Sr. Sub. Note, 5.00%, 3/15/2023 1,385,312
5,053,000 1,2 Range Resources Corp., Sr. Unsecd. Note, Series 144A, 4.875%, 5/15/2025 4,446,640
6,175,000   Rice Energy, Inc., Sr. Unsecd. Note, 6.25%, 5/1/2022 5,403,125
775,000   Rice Energy, Inc., Sr. Unsecd. Note, 7.25%, 5/1/2023 682,000
2,875,000   SM Energy Co., Sr. Unsecd. Note, 5.00%, 1/15/2024 1,990,937
2,475,000   SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 1,731,733
1,175,000   SM Energy Co., Sr. Unsecd. Note, 6.50%, 1/1/2023 840,125
1,550,000   Sandridge Energy, Inc., 7.50%, 2/15/2023 78,469
7,575,000   Sandridge Energy, Inc., 8.125%, 10/15/2022 440,297
1,525,000   W&T Offshore, Inc., Sr. Unsecd. Note, 8.50%, 6/15/2019 190,625
1,275,000   Whiting Petroleum Corp., Sr. Unsecd. Note, 5.75%, 3/15/2021 854,250
8,600,000   Whiting Petroleum Corp., Sr. Unsecd. Note, 6.25%, 4/1/2023 5,783,500
    TOTAL 100,388,692
    Industrial - Other—2.0%  
5,725,000   Anixter International, Inc., 5.125%, 10/1/2021 5,782,250
1,050,000 1,2 Anixter, Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 3/1/2023 1,065,750
5,550,000 1,2 Belden, Inc., Sr. Sub., Series 144A, 5.25%, 7/15/2024 5,328,000
6,725,000 1,2 Belden, Inc., Sr. Sub., Series 144A, 5.50%, 9/1/2022 6,792,250
5,775,000 1,2 Cleaver-Brooks, Inc., Series 144A, 8.75%, 12/15/2019 5,486,250
7,825,000 1,2 Hillman Group, Inc., Unsecd. Note, Series 144A, 6.375%, 7/15/2022 6,573,000
9,400,000 1,2 Mirror Bidco/Dematic, Series 144A, 7.75%, 12/15/2020 9,329,500
7,075,000 1,2 Unifrax Investment Corp., Series 144A, 7.50%, 2/15/2019 4,404,187
    TOTAL 44,761,187
    Leisure—0.7%  
2,600,000   Cedar Fair LP, Sr. Unsecd. Note, 5.375%, 6/1/2024 2,710,500
1,600,000   Cinemark USA, Inc., 5.125%, 12/15/2022 1,646,000
800,000   Cinemark USA, Inc., Company Guarantee, 7.375%, 6/15/2021 837,000
2,475,000 1,3,4,5,6 Hard Rock Park Operations LLC, Sr. Secd. Note, Series 144A, 7.40%, 4/1/2012 0
4,600,000   Regal Cinemas, Inc., 5.75%, 2/1/2025 4,646,000
1,800,000   Regal Entertainment Group, Sr. Unsecd. Note, 5.75%, 3/15/2022 1,872,000
6
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Leisure—continued  
$4,075,000 1,2 Six Flags Entertainment Corp., Sr. Note, Series 144A, 5.25%, 1/15/2021 $4,207,438
    TOTAL 15,918,938
    Lodging—0.1%  
1,175,000   RHP Hotel Property/RHP Finance Corp., Sr. Unsecd. Note, 5.00%, 4/15/2023 1,207,313
    Media Entertainment—7.0%  
3,800,000   AMC Networks, Inc., Sr. Unsecd. Note, 5.00%, 4/1/2024 3,823,750
1,800,000   CBS Outdoor Americas Capital LLC/Corp., Sr. Unsecd. Note, 5.25%, 2/15/2022 1,851,750
3,225,000   CBS Outdoor Americas Capital LLC/Corp., Sr. Unsecd. Note, 5.625%, 2/15/2024 3,370,125
4,225,000   CBS Outdoor Americas Capital LLC/Corp., Sr. Unsecd. Note, 5.875%, 3/15/2025 4,420,406
8,525,000   Clear Channel Communications, Inc., Company Guarantee, 9.00%, 3/1/2021 5,967,500
1,500,000 1,2 Clear Channel International BV, Sr. Unsecd. Note, Series 144A, 8.75%, 12/15/2020 1,556,250
2,350,000   Clear Channel Worldwide, Series A, 6.50%, 11/15/2022 2,256,000
11,550,000   Clear Channel Worldwide, Series B, 6.50%, 11/15/2022 11,550,000
3,725,000   Cumulus Media, Inc., Sr. Unsecd. Note, 7.75%, 5/1/2019 1,434,125
8,775,000 1,2 Emerald Expo Holdings, Inc., Series 144A, 9.00%, 6/15/2021 8,424,000
6,200,000   Entercom Radio LLC, Sr. Sub. Note, 10.50%, 12/1/2019 6,463,500
6,650,000   Gannett Co., Inc., 6.375%, 10/15/2023 7,173,687
725,000 1,2 Gannett Co., Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 9/15/2024 749,469
8,675,000   Gray Television, Inc., 7.50%, 10/1/2020 9,195,500
2,950,000   Lamar Media Corp., 5.00%, 5/1/2023 3,084,579
825,000 1,2 Lamar Media Corp., Sr. Secd. Note, Series 144A, 5.75%, 2/1/2026 868,313
2,525,000   Lamar Media Corp., Sr. Unsecd. Note, 5.375%, 1/15/2024 2,645,695
5,225,000   Lin Television Corp., Sr. Unsecd. Note, 5.875%, 11/15/2022 5,316,438
125,000   Lin Television Corp., Sr. Unsecd. Note, 6.375%, 1/15/2021 130,781
8,150,000 1,2 Match Group, Inc., Sr. Unsecd. Note, Series 144A, 6.75%, 12/15/2022 8,302,812
6,025,000 1,2 Nexstar Broadcasting, Inc., Sr. Unsecd. Note, Series 144A, 6.125%, 2/15/2022 6,009,938
10,725,000 1,2 Nielsen Finance LLC/Nielsen Finance Co., Series 144A, 5.00%, 4/15/2022 11,046,750
2,000,000 1,2 Nielsen Finance LLC/Nielsen Finance Co., Series 144A, 5.50%, 10/1/2021 2,090,000
5,800,000 1,2 Radio One, Inc., Series 144A, 7.375%, 4/15/2022 5,241,750
5,825,000 1,2 Radio One, Inc., Series 144A, 9.25%, 2/15/2020 4,019,250
11,875,000 1,2 Sinclair Television Group, Series 144A, 5.625%, 8/1/2024 11,993,750
500,000   Sinclair Television Group, Sr. Unsecd. Note, 6.125%, 10/1/2022 526,250
10,575,000 1,2 Southern Graphics Systems, Inc., Series 144A, 8.375%, 10/15/2020 10,601,437
6,125,000 1,2 Townsquare Media, Inc., Sr. Unsecd. Note, Series 144A, 6.50%, 4/1/2023 5,895,313
8,525,000 1,2 Tribune Media Co., Sr. Unsecd. Note, Series 144A, 5.875%, 7/15/2022 8,333,187
    TOTAL 154,342,305
    Metals & Mining—1.0%  
9,200,000   ArcelorMittal SA, 6.125%, 6/1/2025 8,556,000
6,375,000   Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.40%, 11/14/2034 3,936,563
1,800,000   Steel Dynamics, Inc., Sr. Unsecd. Note, 5.125%, 10/1/2021 1,827,000
850,000   Steel Dynamics, Inc., Sr. Unsecd. Note, 5.25%, 4/15/2023 856,375
5,825,000   Steel Dynamics, Inc., Sr. Unsecd. Note, 5.50%, 10/1/2024 5,912,375
3,525,000 1,2 Wise Metals Intermediate Holdings LLC/Wise Holdings Finance Corp., Series 144A, 9.75%, 6/15/2019 1,621,500
    TOTAL 22,709,813
    Midstream—6.0%  
5,750,000   Access Midstream Partners LP, Sr. Note, 4.875%, 5/15/2023 5,001,459
900,000   Access Midstream Partners LP, Sr. Unsecd. Note, 4.875%, 3/15/2024 786,892
600,000   AmeriGas Partners LP, 6.50%, 5/20/2021 612,000
575,000   Atlas Pipeline Partners LP, 5.875%, 8/1/2023 523,250
7
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Midstream—continued  
$4,000,000 1,2 Blue Racer Midstream LLC/Blue Racer Finance Corp., Sr. Unsecd. Note, Series 144A, 6.125%, 11/15/2022 $3,350,000
2,575,000   Chesapeake Midstream Partners L.P., Sr. Unsecd. Note, 6.125%, 7/15/2022 2,394,683
1,950,000   Crestwood Midstream Partners LP, Sr. Unsecd. Note, 6.125%, 3/1/2022 1,472,250
6,325,000 1,2 Crestwood Midstream Partners LP, Sr. Unsecd. Note, Series 144A, 6.25%, 4/1/2023 4,727,937
12,700,000   Energy Transfer Equity LP, 5.875%, 1/15/2024 10,922,000
4,175,000 1,2 Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsecd. Note, Series 144A, 6.75%, 6/15/2023 3,684,438
3,275,000   Ferrellgas, L.P., Sr. Unsecd. Note, 6.50%, 5/1/2021 2,922,938
6,250,000   Ferrellgas, L.P., Sr. Unsecd. Note, 6.75%, 1/15/2022 5,578,125
5,125,000 1,2 Hiland Partners LP, Series 144A, 5.50%, 5/15/2022 5,147,837
4,550,000   Holly Energy Partners LP, Sr. Unsecd. Note, 6.50%, 3/1/2020 4,527,250
3,025,000   Inergy Midstream LP, Sr. Unsecd. Note, 6.00%, 12/15/2020 2,397,313
3,825,000 1,2 Kinder Morgan, Inc., Sr. Unsecd. Note, Series 144A, 5.625%, 11/15/2023 3,887,833
3,025,000 1,2 MPLX LP, Series 144A, 4.50%, 7/15/2023 2,781,091
3,950,000 1,2 MPLX LP, Series 144A, 4.875%, 12/1/2024 3,649,642
1,900,000 1,2 MPLX LP, Series 144A, 4.875%, 6/1/2025 1,736,300
4,400,000 1,2 MPLX LP, Series 144A, 5.50%, 2/15/2023 4,266,548
1,675,000   Regency Energy Partners LP, 4.50%, 11/1/2023 1,480,735
850,000   Regency Energy Partners LP, 5.00%, 10/1/2022 800,325
1,600,000   Regency Energy Partners LP, 5.50%, 4/15/2023 1,430,285
4,475,000   Rose Rock Midstream LP/Rose Rock Finance Corp., Sr. Unsecd. Note, 5.625%, 11/15/2023 2,931,125
8,425,000   Rose Rock Midstream LP/Rose Rock Finance Corp., Sr. Unsecd. Note, 5.625%, 7/15/2022 5,707,937
7,825,000   Sabine Pass LNG LP, 5.625%, 2/1/2021 7,560,906
6,125,000   Sabine Pass LNG LP, 5.625%, 3/1/2025 5,864,687
1,675,000   Sabine Pass LNG LP, 5.625%, 4/15/2023 1,603,813
2,400,000   Sabine Pass LNG LP, 6.25%, 3/15/2022 2,364,000
6,200,000   Suburban Propane Partners LP, 5.50%, 6/1/2024 6,014,000
4,401,000   Suburban Propane Partners LP, 7.375%, 8/1/2021 4,500,023
1,275,000   Suburban Propane Partners LP, Sr. Unsecd. Note, 5.75%, 3/1/2025 1,224,000
6,250,000   Summit Midstream Holdings LLC, 5.50%, 8/15/2022 4,468,750
650,000   Summit Midstream Holdings LLC, Sr. Unsecd. Note, 7.50%, 7/1/2021 513,500
1,450,000   Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 4.25%, 11/15/2023 1,283,250
3,525,000   Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.25%, 5/1/2023 3,278,250
3,636,000   Tesoro Logistics LP, Sr. Unsecd. Note, 5.875%, 10/1/2020 3,622,365
3,275,000   Tesoro Logistics LP, Sr. Unsecd. Note, 6.125%, 10/15/2021 3,291,375
400,000 1,2 Tesoro Logistics LP, Sr. Unsecd. Note, Series 144A, 5.50%, 10/15/2019 399,000
500,000 1,2 Tesoro Logistics LP, Sr. Unsecd. Note, Series 144A, 6.25%, 10/15/2022 500,000
5,150,000   Western Refining Logistics LP / WNRL Finance Corp., Sr. Unsecd. Note, 7.50%, 2/15/2023 4,609,250
    TOTAL 133,817,362
    Oil Field Services—0.1%  
3,250,000   CGG SA, Sr. Unsecd. Note, 6.875%, 1/15/2022 1,283,750
    Packaging—6.2%  
10,625,000 1,2 Ardagh Packaging Finance PLC, Company Guarantee, Series 144A, 9.125%, 10/15/2020 11,023,437
300,000 1,2 Ardagh Packaging Finance PLC, Series 144A, 6.25%, 1/31/2019 298,313
2,450,000 1,2 Ardagh Packaging Finance PLC, Series 144A, 6.75%, 1/31/2021 2,376,500
436,765 1,2 Ardagh Packaging Finance PLC, Series 144A, 7.00%, 11/15/2020 418,202
3,625,000 1,2 Ardagh Packaging Finance PLC, Sr. Unsecd. Note, Series 144A, 6.00%, 6/30/2021 3,461,875
2,125,000 1,2 Ardagh Packaging Finance PLC, Sr. Unsecd. Note, Series 144A, 9.125%, 10/15/2020 2,190,078
5,375,000   Ball Corp., 4.00%, 11/15/2023 5,314,531
6,075,000   Ball Corp., Sr. Unsecd. Note, 5.25%, 7/1/2025 6,401,531
8
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Packaging—continued  
$5,375,000   Berry Plastics Corp., 5.125%, 7/15/2023 $5,455,625
11,425,000   Berry Plastics Corp., 5.50%, 5/15/2022 11,753,469
1,550,000 1,2 Berry Plastics Corp., Series 144A, 6.00%, 10/15/2022 1,631,375
11,575,000 1,2 Bway Holding Co., Series 144A, 9.125%, 8/15/2021 10,388,562
2,600,000   Crown Americas LLC, 4.50%, 1/15/2023 2,665,000
7,275,000 1,2 Multi Packaging Solutions, Inc., Series 144A, 8.50%, 8/15/2021 7,547,813
8,375,000 1,2 Multi-Color Corp., Series 144A, 6.125%, 12/1/2022 8,542,500
4,625,000 1,2 Owens-Brockway Glass Container, Inc., Series 144A, 5.375%, 1/15/2025 4,642,344
3,250,000 1,2 Owens-Brockway Glass Container, Inc., Series 144A, 5.875%, 8/15/2023 3,392,187
3,750,000 1,2 Owens-Brockway Glass Container, Inc., Series 144A, 6.375%, 8/15/2025 3,949,219
11,375,000   Reynolds Group Issuer, Inc./LLC/LU, 5.75%, 10/15/2020 11,702,031
7,800,000   Reynolds Group, 8.25%, 2/15/2021 8,009,820
1,800,000   Reynolds Group, 9.875%, 8/15/2019 1,864,125
1,675,000   Reynolds Group, Sr. Unsecd. Note, 7.95%, 12/15/2025 1,549,375
2,975,000 1,2 Sealed Air Corp., Series 144A, 4.875%, 12/1/2022 3,105,156
2,800,000 1,2 Sealed Air Corp., Series 144A, 5.25%, 4/1/2023 2,975,000
4,575,000 1,2 Sealed Air Corp., Sr. Unsecd. Note, Series 144A, 5.50%, 9/15/2025 4,809,469
12,500,000 1,2 Signode Industrial Group, Series 144A, 6.375%, 5/1/2022 11,421,875
    TOTAL 136,889,412
    Paper—0.4%  
2,150,000   Clearwater Paper Corp., Sr. Note, 4.50%, 2/1/2023 2,061,313
7,700,000 1,2 Clearwater Paper Corp., Sr. Unsecd. Note, Series 144A, 5.375%, 2/1/2025 7,536,375
    TOTAL 9,597,688
    Pharmaceuticals—3.2%  
1,925,000 1,2 AMAG Pharmaceutical, Inc., Sr. Unsecd. Note, Series 144A, 7.875%, 9/1/2023 1,708,438
1,150,000 1,2 ENDO Finance LLC/ENDO Finco, Inc., Sr. Unsecd. Note, Series 144A, 5.375%, 1/15/2023 1,101,125
7,075,000 1,2 ENDO Finance LLC/ENDO Finco, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 2/1/2025 6,668,187
5,825,000 1,2 ENDO Finance LLC/ENDO Finco, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 7/15/2023 5,511,906
7,200,000   Grifols Worldwide Operations Ltd., Sr. Unsecd. Note, 5.25%, 4/1/2022 7,434,000
15,900,000 1,2 Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Sr. Unsecd. Note, Series 144A, 6.375%, 8/1/2023 16,365,870
1,250,000 1,2 Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Series 144A, 4.875%, 4/15/2020 1,177,500
5,825,000   Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 4.75%, 4/15/2023 4,805,625
3,750,000 1,2 Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, Series 144A, 5.50%, 4/15/2025 3,328,125
3,000,000 1,2 Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, Series 144A, 5.625%, 10/15/2023 2,737,500
4,025,000 1,2 Valeant Pharmaceuticals International, Inc., Series 144A, 5.625%, 12/1/2021 3,189,813
5,750,000 1,2 Valeant Pharmaceuticals International, Inc., Series 144A, 7.50%, 7/15/2021 4,819,190
2,200,000 1,2 Valeant Pharmaceuticals International, Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 3/1/2023 1,732,500
7,300,000 1,2 Vrx Escrow Corp., Series 144A, 5.875%, 5/15/2023 5,757,875
5,150,000 1,2 Vrx Escrow Corp., Series 144A, 6.125%, 4/15/2025 3,978,375
    TOTAL 70,316,029
    Refining—0.4%  
4,025,000   CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/1/2022 3,562,125
6,300,000   Tesoro Petroleum Corp., 5.125%, 4/1/2024 6,221,250
    TOTAL 9,783,375
    Restaurants—1.0%  
1,550,000 1,2 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Series 144A, 4.625%, 1/15/2022 1,581,000
13,525,000 1,2 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Series 144A, 6.00%, 4/1/2022 14,099,813
5,600,000   NPC INTL/OPER CO A&B, Inc., 10.50%, 1/15/2020 5,810,000
    TOTAL 21,490,813
9
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Retailers—1.9%  
$12,300,000 1,2 Argos Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 7.125%, 3/15/2023 $13,068,750
3,420,000 1,2 Jo-Ann Stores, Inc., Series 144A, 9.75%, 10/15/2019 2,753,100
900,000 1,2 Jo-Ann Stores, Inc., Sr. Unsecd. Note, Series 144A, 8.125%, 3/15/2019 832,500
1,350,000   Limited Brands, Inc., 5.625%, 10/15/2023 1,488,375
775,000   Limited Brands, Inc., Sr. Unsecd. Note, 5.625%, 2/15/2022 846,238
8,025,000 1,2 Michaels Stores, Inc., Series 144A, 5.875%, 12/15/2020 8,426,250
5,725,000 1,2 Neiman-Marcus Group, Inc., Series 144A, 8.75%, 10/15/2021 4,440,424
7,500,000 1,2 Rite Aid Corp., Sr. Unsecd. Note, Series 144A, 6.125%, 4/1/2023 7,978,125
1,150,000   Sally Hldgs. LLC/Sally Capital, Inc., 5.625%, 12/1/2025 1,230,500
    TOTAL 41,064,262
    Technology—10.0%  
4,025,000   Advanced Micro Devices, Inc., 7.00%, 7/1/2024 2,656,500
2,700,000   Advanced Micro Devices, Inc., Sr. Unsecd. Note, 7.50%, 8/15/2022 1,863,000
13,900,000 1,2 BMC Software, Inc., Series 144A, 8.125%, 7/15/2021 10,077,500
4,900,000 1,2 Blackboard, Inc., Sr. Unsecd. Note, Series 144A, 7.75%, 11/15/2019 3,981,250
9,275,000 1,2 Blue Coat Systems, Inc., Sr. Unsecd. Note, Series 144A, 8.375%, 6/1/2023 9,604,262
2,500,000   CDW LLC/CDW Finance, 6.00%, 8/15/2022 2,651,550
1,475,000   CDW LLC/CDW Finance, Sr. Unsecd. Note, 5.00%, 9/1/2023 1,500,813
7,050,000   CDW LLC/CDW Finance, Sr. Unsecd. Note, 5.50%, 12/1/2024 7,296,750
5,700,000 1,2 CommScope Technologies Finance LLC, Series 144A, 6.00%, 6/15/2025 5,814,000
4,950,000 1,2 CommScope, Inc., Series 144A, 5.50%, 6/15/2024 5,018,062
8,225,000 1,2 Ensemble S Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 9.00%, 9/30/2023 8,091,344
3,450,000 1,2 First Data Corp., Series 144A, 5.375%, 8/15/2023 3,549,188
24,000,000 1,2 First Data Corp., Series 144A, 5.75%, 1/15/2024 24,087,600
2,500,000 1,2 First Data Corp., Sr. Unsecd. Note, Series 144A, 7.00%, 12/1/2023 2,534,375
14,650,000 1,2 Infor Software Parent, Inc., Series 144A, 7.125%, 5/1/2021 11,024,125
14,700,000   Infor US, Inc., 6.50%, 5/15/2022 13,450,500
1,975,000   Iron Mountain, Inc., 5.75%, 8/15/2024 2,034,250
1,775,000 1,2 Iron Mountain, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 10/1/2020 1,878,838
10,050,000 1,2 Italics Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 7.125%, 7/15/2023 9,748,500
4,750,000 1,2 MSCI, Inc., Series 144A, 5.75%, 8/15/2025 5,023,125
975,000   Micron Technology, Inc., Sr. Unsecd. Note, 5.50%, 2/1/2025 795,234
2,050,000 1,2 Micron Technology, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 1/15/2024 1,660,500
4,850,000 1,2 Micron Technology, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 8/1/2023 3,989,125
4,150,000 1,2 Microsemi Corp., Sr. Unsecd. Note, Series 144A, 9.125%, 4/15/2023 4,575,375
4,100,000   NCR Corp., 6.375%, 12/15/2023 4,243,500
4,025,000   NCR Corp., Sr. Unsecd. Note, 4.625%, 2/15/2021 4,019,969
4,250,000   NCR Corp., Sr. Unsecd. Note, 5.00%, 7/15/2022 4,228,750
1,800,000   NCR Corp., Sr. Unsecd. Note, 5.875%, 12/15/2021 1,847,250
8,650,000 1,2 Nuance Communications, Inc., Series 144A, 5.375%, 8/15/2020 8,817,594
5,925,000 1,2 Qorvo, Inc., Sr. Unsecd. Note, Series 144A, 7.00%, 12/1/2025 6,221,250
5,300,000 1,2 SS&C Technologies Holdings, Inc., Sr. Unsecd. Note, Series 144A, 5.875%, 7/15/2023 5,530,221
1,150,000 1,2 Sabre GLBL, Inc., Series 144A, 5.25%, 11/15/2023 1,175,760
5,325,000 1,2 Sabre GLBL, Inc., Series 144A, 5.375%, 4/15/2023 5,491,406
1,300,000   Seagate HDD Cayman, 4.75%, 6/1/2023 1,078,775
1,200,000   Seagate HDD Cayman, Sr. Unsecd. Note, 4.75%, 1/1/2025 939,209
2,625,000 1,2 Sensata Technologies B.V., Series 144A, 5.625%, 11/1/2024 2,739,844
4,125,000 1,2 Sensata Technologies B.V., Sr. Unsecd. Note, Series 144A, 5.00%, 10/1/2025 4,176,562
1,300,000 1,2 Sensata Technologies UK Financing Co. PLC, Sr. Unsecd. Note, Series 144A, 6.25%, 2/15/2026 1,391,000
10
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Technology—continued  
$6,425,000 1,2 Solera LLC/Solera Finance, Inc., Series 144A, 10.50%, 3/1/2024 $6,473,187
8,800,000   Syniverse Holdings, Inc., Company Guarantee, 9.125%, 1/15/2019 4,092,000
4,675,000   Verisign, Inc., 4.625%, 5/1/2023 4,745,125
800,000   Verisign, Inc., Sr. Unsecd. Note, 5.25%, 4/1/2025 810,000
8,875,000   Zebra Technologies Corp., Sr. Note, 7.25%, 10/15/2022 9,673,750
    TOTAL 220,600,918
    Transportation Services—0.8%  
1,425,000   Avis Budget Group, Inc., Sr. Unsecd. Note, 5.50%, 4/1/2023 1,387,594
2,800,000 1,2 Avis Budget Group, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 4/1/2024 2,814,000
5,925,000   HDTFS, Inc., 6.25%, 10/15/2022 5,954,625
4,575,000   Hertz Corp., 5.875%, 10/15/2020 4,677,937
2,100,000   Hertz Corp., Company Guarantee, 6.75%, 4/15/2019 2,135,679
    TOTAL 16,969,835
    Utility - Electric—1.3%  
9,800,000   Calpine Corp., 5.75%, 1/15/2025 9,444,750
500,000 1,2 Calpine Corp., Bond, Series 144A, 6.00%, 1/15/2022 529,063
2,025,000 1,2 Calpine Corp., Series 144A, 5.875%, 1/15/2024 2,136,375
66,038 1 FPL Energy National Wind, Note, Series 144A, 6.125%, 3/25/2019 66,534
3,125,000   NRG Energy, Inc., 6.25%, 5/1/2024 2,882,812
3,200,000   NRG Energy, Inc., Company Guarantee, 7.625%, 1/15/2018 3,416,000
1,675,000   NRG Energy, Inc., Company Guarantee, 8.25%, 9/1/2020 1,695,938
2,625,000   NRG Energy, Inc., Sr. Unsecd. Note, 6.625%, 3/15/2023 2,461,751
5,150,000 1,2 TerraForm Power Operating LLC, Sr. Unsecd. Note, Series 144A, 5.875%, 2/1/2023 4,197,250
2,675,000 1,2 TerraForm Power Operating LLC, Sr. Unsecd. Note, Series 144A, 6.125%, 6/15/2025 2,099,875
    TOTAL 28,930,348
    Wireless Communications—4.6%  
8,025,000 1,2 Altice SA, Series 144A, 7.75%, 5/15/2022 7,937,367
6,575,000 1,2 Altice SA, Sr. Unsecd. Note, Series 144A, 7.625%, 2/15/2025 6,312,000
3,700,000 1,2 Digicel Ltd., Series 144A, 6.00%, 4/15/2021 3,330,000
10,100,000 1,2 Digicel Ltd., Sr. Unsecd. Note, Series 144A, 8.25%, 9/30/2020 8,723,875
5,375,000   MetroPCS Wireless, Inc., 6.731%, 4/28/2022 5,642,675
6,450,000   MetroPCS Wireless, Inc., Sr. Note, 6.625%, 11/15/2020 6,691,875
325,000   MetroPCS Wireless, Inc., Sr. Note, 6.633%, 4/28/2021 341,250
5,775,000 1,2 Numericable Group SA, Series 144A, 6.00%, 5/15/2022 5,659,500
4,375,000 1,2 Numericable Group SA, Series 144A, 6.25%, 5/15/2024 4,263,438
15,725,000   Sprint Capital Corp., Company Guarantee, 6.875%, 11/15/2028 11,557,875
1,525,000 1,2 Sprint Capital Corp., GTD Note, Series 144A, 9.00%, 11/15/2018 1,605,063
5,575,000   Sprint Corp., 7.125%, 6/15/2024 4,167,313
10,000,000   Sprint Corp., 7.875%, 9/15/2023 7,675,000
3,425,000 1,2 Sprint Nextel Corp., Series 144A, 7.00%, 3/1/2020 3,442,125
3,900,000   Sprint Nextel Corp., Sr. Unsecd. Note, 6.00%, 11/15/2022 2,871,375
1,100,000   T-Mobile USA, Inc., 6.25%, 4/1/2021 1,160,280
4,075,000   T-Mobile USA, Inc., 6.625%, 4/1/2023 4,309,312
1,625,000   T-Mobile USA, Inc., Sr. Unsecd. Note, 6.00%, 3/1/2023 1,673,750
4,475,000   T-Mobile USA, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2025 4,598,062
5,475,000   T-Mobile USA, Inc., Sr. Unsecd. Note, 6.50%, 1/15/2024 5,721,375
4,575,000   T-Mobile USA, Inc., Sr. Unsecd. Note, 6.50%, 1/15/2026 4,775,156
    TOTAL 102,458,666
11
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Wireline Communications—0.7%  
$3,350,000   Level 3 Communications, Inc., Sr. Unsecd. Note, 5.75%, 12/1/2022 $3,467,250
2,275,000   Level 3 Financing, Inc., 7.00%, 6/1/2020 2,373,963
500,000 1,2 Level 3 Financing, Inc., Series 144A, 5.25%, 3/15/2026 505,000
6,350,000   Level 3 Financing, Inc., Sr. Unsecd. Note, 5.375%, 5/1/2025 6,453,187
1,225,000   Level 3 Financing, Inc., Sr. Unsecd. Note, 6.125%, 1/15/2021 1,286,250
1,750,000 1,2 Level 3 Financing, Inc., Sr. Unsecd. Note, Series 144A, 5.375%, 1/15/2024 1,776,250
    TOTAL 15,861,900
    TOTAL CORPORATE BONDS
(IDENTIFIED COST $2,314,782,445) 		2,159,039,611
    COMMON STOCKS—0.0%  
    Independent Energy—0.0%  
53,011 1,3,5 Lone Pine Resources Canada Ltd. 0
53,011 3,5 Lone Pine Resources, Inc. 71,565
425,000 1,3,5 Lone Pine Resources, Inc., Escrow Shares 0
    TOTAL COMMON STOCKS
(IDENTIFIED COST $420,961) 		71,565
    INVESTMENT COMPANY—1.0%  
22,838,191 7 Federated Institutional Prime Value Obligations Fund, Institutional Shares, 0.45%8
(AT NET ASSET VALUE) 		22,838,191
    TOTAL INVESTMENTS—98.5%
(IDENTIFIED COST $2,338,041,597)9 		2,181,949,367
    OTHER ASSETS AND LIABILITIES - NET—1.5%10 33,516,078
    TOTAL NET ASSETS—100% $2,215,465,445
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 March 31, 2016, these restricted securities amounted to $1,086,631,937, which represented 49.0% 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 March 31, 2016, these liquid restricted securities amounted to $1,086,565,403, which represented 49.0% 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 March 31, 2016, 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 $60,295 $66,534
Hard Rock Park Operations LLC, Sr. Secd. Note, Series 144A, 7.40%, 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 March 31, 2016, the cost of investments for federal tax purposes was $2,343,046,734. The net unrealized depreciation of investments for federal tax purposes was $161,097,367. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $37,421,672 and net unrealized depreciation from investments for those securities having an excess of cost over value of $198,519,039.
10 Assets, other than investments in securities, less liabilities.
Note: The categories of investments are shown as a percentage of total net assets at March 31, 2016.
12
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 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.
■ 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, except that options are valued at the mean of closing bid and asked quotations.
■ 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 last traded or purchase price of the security, information obtained by contacting the issuer or dealers, 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, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.
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 obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share.
Fair Valuation and Significant Events Procedures
The Trustees have ultimate responsibility for determining the fair value of investments for which market quotations are not readily available. The Trustees have appointed a valuation committee (“Valuation Committee”) comprised of officers of the Fund, Federated Investment Management Company (“Adviser”) and certain of the Adviser's affiliated companies to assist in determining fair value 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, methods, models 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 any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any 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 principally 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;
■ Announcements concerning matters such as acquisitions, recapitalizations, litigation developments, or a natural disaster affecting the issuer's operations or regulatory changes or market developments affecting the issuer's industry.
The Trustees have adopted procedures whereby the Valuation Committee uses 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 in accordance with the fair valuation procedures approved by the Trustees. The Trustees have ultimate responsibility for any fair valuations made in response to a significant event.
13
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). 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.
The following is a summary of the inputs used, as of March 31, 2016, in valuing the Fund's assets carried at fair value:
Valuation Inputs        
  Level 1—
Quoted
Prices 		Level 2—
Other
Significant
Observable
Inputs 		Level 3—
Significant
Unobservable
Inputs 		Total
Debt Securities:        
Corporate Bonds $— $2,159,039,611 $0 $2,159,039,611
Equity Securities:        
Common Stocks        
 International — — 71,565 71,565
Investment Company 22,838,191 — — 22,838,191
TOTAL SECURITIES $22,838,191 $2,159,039,611 $71,565 $2,181,949,367
The following acronym is used throughout this portfolio:
GTD—Guaranteed
14
Federated Mortgage Core Portfolio
Portfolio of Investments
March 31, 2016 (unaudited)
Principal
Amount 		    Value
    ADJUSTABLE RATE MORTGAGE—0.7%  
    Federal National Mortgage Association ARM—0.7%  
$14,754,460   3.038%, 1/1/2044
(IDENTIFIED COST $15,176,345) 		$15,454,986
    AGENCY RISK TRANSFER SECURITIES—1.3%  
    Structured Product (Abs)—1.3%  
12,000,000   Connecticut Avenue Securities Floating Rate Note, 3.433%, 7/25/2024 10,945,061
15,671,000   Structured Agency Credit Risk Debt Note Floating Rate Note, 2.083%, 4/25/2024 15,442,059
    TOTAL AGENCY RISK TRANSFER SECURITIES
(IDENTIFIED COST $26,464,263) 		26,387,120
    ASSET-BACKED SECURITIES—5.7%  
    Auto Receivables—4.9%  
12,000,000   AmeriCredit Automobile Receivables Trust 2014-4, Class D, 3.070%, 11/9/2020 11,923,338
12,960,000   AmeriCredit Automobile Receivables Trust 2015-2, Class D, 3.000%, 6/8/2021 12,869,547
7,000,000   AmeriCredit Automobile Receivables Trust 2015-3, Class D, 3.610%, 8/8/2021 7,006,387
13,322,000   Capital Auto Receivables Asset Trust 2015-2, Class D, 3.160%, 11/20/2020 13,094,907
7,400,000   Capital Auto Receivables Asset Trust 2015-3, Class D, 3.650%, 3/22/2021 7,331,618
19,940,000   Santander Drive Auto Receivables Trust 2015-1, Class D, 3.240%, 4/15/2021 20,113,982
18,140,000   Santander Drive Auto Receivables Trust 2015-2, Class D, 3.020%, 4/15/2021 18,020,892
14,580,000   Santander Drive Auto Receivables Trust 2015-3, Class D, 3.490%, 5/17/2021 14,705,351
    TOTAL 105,066,022
    Single Family Rental Securities—0.5%  
11,300,000 1,2 Invitation Homes Trust 2014-SFR1, Class C, 2.541%, 6/17/2031 10,960,012
    Student Loans—0.3%  
4,926,097 1,2 Social Professional Loan Program LLC 2014-A, Class A2, 3.020%, 10/25/2027 4,972,140
    TOTAL ASSET-BACKED SECURITIES
(IDENTIFIED COST $121,541,953) 		120,998,174
    COMMERCIAL MORTGAGE-BACKED SECURITIES—9.4%  
    Agency Commercial Mortgage-Backed Securities—7.7%  
17,843,233   FHLMC REMIC K050 A1, 2.802%, 1/25/2025 18,732,252
16,295,000   FHLMC REMIC K050 A2, 3.334%, 8/25/2025 17,636,967
20,250,000   FHLMC REMIC K720 A2, 2.716%, 6/25/2022 21,285,591
24,000,000   FNMA REMIC 2015-M4 AV2, 2.509%, 7/25/2022 24,548,887
16,403,000 1,2 FREMF Mortgage Trust 2010-K6, 5.533%, 12/25/2046 17,888,101
18,950,000 1,2 FREMF Mortgage Trust 2011-K12, 4.492%, 1/25/2046 19,920,731
11,000,000 1,2 FREMF Mortgage Trust 2013-K24, 3.502%, 11/25/2045 10,935,470
12,475,000 1,2 FREMF Mortgage Trust 2013-K712, 3.369%, 5/25/2045 12,511,512
7,000,000 1,2 FREMF Mortgage Trust 2014-K714, 3.849%, 1/25/2047 7,109,738
14,180,000 1,2 FREMF Mortgage Trust 2014-K717, 3.630%, 11/25/2047 14,175,742
    TOTAL 164,744,991
    Non-Agency Commercial Mortgage-Backed Securities—1.7%  
22,300,000 1,2 UBS-Barclays Commercial Mortgage Trust 2013-C6, Class A3FL, 1.232%, 4/10/2046 22,263,899
12,500,000 1,2 Wells Fargo Commercial Mortgage Trust 2013-LC12, Class A3FL, 1.491%, 7/15/2046 12,458,616
    TOTAL 34,722,515
    TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $197,080,881) 		199,467,506
    COLLATERALIZED MORTGAGE OBLIGATIONS—9.0%  
    Government National Mortgage Association—0.8%  
17,526,212   REMIC 2013-H20 FA, 1.025%, 8/20/2063 17,403,755
1
Principal
Amount 		    Value
    COLLATERALIZED MORTGAGE OBLIGATIONS—continued  
    Non-Agency Mortgage-Backed Securities—8.2%  
$1,653,645   Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 $1,595,281
2,823,317   Countrywide Home Loans 2007-14, Class A18, 6.000%, 9/25/2037 2,579,682
836,070   Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 664,463
4,942,542 1,2 Credit Suisse Mortgage Trust 2012-CIM2, Class A1, 3.000%, 6/25/2042 4,933,242
21,967,309 1,2 Credit Suisse Mortgage Trust 2013-IVR3, Class A2, 3.000%, 5/25/2043 22,118,835
17,739,378 1,2 Credit Suisse Mortgage Trust 2013-TH1, Class A1, 2.130%, 2/25/2043 17,001,301
6,540,020 1,2 Credit Suisse Mortgage Trust 2014-WIN2, Class A2, 3.500%, 10/25/2044 6,764,665
13,570,094 1,2 Credit Suisse Mortgage Trust 2015-WIN1, Class A6, 3.500%, 12/25/2044 14,003,573
2,410,030   Lehman Mortgage Trust 2007-9, Class 1A1, 6.000%, 10/25/2037 2,211,137
1,078,565   Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 2.950%, 8/25/2035 993,476
4,985,656   Sequoia Mortgage Trust 2012-1, Class 2A1, 3.474%, 1/25/2042 5,077,948
14,792,378   Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 13,958,314
14,007,244   Sequoia Mortgage Trust 2013-1, Class 2A1, 1.855%, 2/25/2043 13,131,250
24,532,543   Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 23,238,518
16,581,437   Sequoia Mortgage Trust 2013-6, Class A2, 3.000%, 5/25/2043 16,768,854
6,456,504 1,2 Sequoia Mortgage Trust 2014-1, Class 2A5, 4.000%, 4/25/2044 6,646,990
19,230,311 1,2 Sequoia Mortgage Trust 2014-4, Class A5, 3.500%, 11/25/2044 19,856,125
4,075,006   Structured Asset Securities Corp. 2005-17, Class 5A1, 5.500%, 10/25/2035 3,310,032
    TOTAL 174,853,686
    TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $196,665,690) 		192,257,441
    MORTGAGE-BACKED SECURITIES—71.4%  
    Federal Home Loan Mortgage Corporation—21.5%  
74,494,900   2.500%, 1/1/2031 76,547,182
65,569,706   3.000%, 3/1/2045 - 4/1/2046 67,192,590
94,079,246 3 3.500%, 6/1/2026 - 4/1/2046 98,740,837
106,179,239 3 4.000%, 2/1/2020 - 4/1/2046 113,422,713
44,331,210   4.500%, 6/1/2019 - 7/1/2041 48,100,182
32,378,677   5.000%, 7/1/2019 - 5/1/2041 35,643,038
11,977,675   5.500%, 3/1/2021 - 5/1/2040 13,386,331
1,366,359   6.000%, 7/1/2029 - 9/1/2037 1,558,751
2,092,919   6.500%, 9/1/2016 - 4/1/2038 2,446,284
598,326   7.000%, 10/1/2020 - 9/1/2037 710,293
207,303   7.500%, 8/1/2029 - 5/1/2031 249,006
248,801   8.000%, 3/1/2030 - 3/1/2031 306,093
5,702   8.500%, 9/1/2025 6,859
34   9.500%, 4/1/2021 35
    TOTAL 458,310,194
    Federal National Mortgage Association—32.1%  
23,328,848 3 2.500%, 1/1/2030 - 4/1/2031 23,979,545
93,363,897 3 3.000%, 10/1/2027 - 3/1/2046 96,609,132
213,806,114   3.500%, 11/1/2025 - 11/1/2045 225,731,232
164,750,833   4.000%, 12/1/2025 - 5/1/2044 177,406,710
96,675,704   4.500%, 12/1/2019 - 6/1/2044 105,675,296
18,932,405   5.000%, 5/1/2023 - 10/1/2041 20,915,387
15,173,622   5.500%, 7/1/2016 - 4/1/2041 17,096,855
9,341,433   6.000%, 6/1/2016 - 2/1/2039 10,783,091
2,456,393   6.500%, 11/1/2016 - 10/1/2038 2,875,676
2,232,647   7.000%, 7/1/2023 - 6/1/2037 2,648,110
206,289   7.500%, 1/1/2030 - 6/1/2033 248,378
2
Principal
Amount 		    Value
    MORTGAGE-BACKED SECURITIES—continued  
    Federal National Mortgage Association—continued  
$28,136   8.000%, 7/1/2023 - 3/1/2030 $33,529
1,538   9.000%, 11/1/2021 - 6/1/2025 1,793
    TOTAL 684,004,734
    Government National Mortgage Association—17.8%  
34,778,380 3 3.000%, 11/20/2045 - 4/20/2046 36,057,639
221,818,117 3 3.500%, 12/15/2040 - 4/20/2046 234,515,813
44,492,397   4.000%, 9/15/2040 - 12/20/2044 47,685,233
30,464,660   4.500%, 1/15/2039 - 11/15/2043 33,057,807
20,171,647   5.000%, 1/15/2039 - 7/15/2040 22,493,880
3,037,542   5.500%, 12/15/2038 - 2/15/2039 3,401,704
1,088,583   6.000%, 10/15/2028 - 6/15/2037 1,254,947
264,779   6.500%, 10/15/2028 - 2/15/2032 312,731
481,428   7.000%, 11/15/2027 - 12/15/2031 578,260
173,403   7.500%, 7/15/2029 - 1/15/2031 210,630
259,135   8.000%, 1/15/2022 - 11/15/2030 319,362
11,240   8.500%, 3/15/2022 - 5/15/2029 13,161
1,062   9.500%, 10/15/2020 1,203
    TOTAL 379,902,370
    TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $1,481,068,486) 		1,522,217,298
    REPURCHASE AGREEMENTS—18.3%  
241,172,000 4 Interest in $550,000,000 joint repurchase agreement 0.31%, dated 3/31/2016 under which Bank of America, N.A. will repurchase securities provided as collateral for $550,004,736 on 4/1/2016. 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 maturing on 2/25/2044 and the market value of those underlying securities was $566,504,878. 241,172,000
149,610,000 4 Interest in $1,000,000,000 joint repurchase agreement 0.30%, dated 3/31/2016 under which Credit Agricole CIB New York will repurchase securities provided as collateral for $1,000,008,333 on 4/1/2016. The securities provided as collateral at the end of the period held with BNY Mellon as tri-party agent, were U.S. Treasury securities with various maturities to 2/15/2046 and the market value of those underlying securities was $1,020,008,548. 149,610,000
    TOTAL REPURCHASE AGREEMENTS
(AT COST) 		390,782,000
    TOTAL INVESTMENTS—115.8%
(IDENTIFIED COST $2,428,779,618)5 		2,467,564,525
    OTHER ASSETS AND LIABILITIES - NET—(15.8)%6 (335,835,393)
    TOTAL NET ASSETS—100% $2,131,729,132
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 March 31, 2016, these restricted securities amounted to $224,520,692, which represented 10.5% 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 March 31, 2016, these liquid restricted securities amounted to $224,520,692, which represented 10.5% of total net assets.
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 At March 31, 2016, the cost of investments for federal tax purposes was $2,428,779,618. The net unrealized appreciation of investments for federal tax purposes was $38,784,907. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $45,423,243 and net unrealized depreciation from investments for those securities having an excess of cost over value of $6,638,336.
6 Assets, other than investments in securities, less liabilities. A significant portion of this balance is the result of dollar-roll transactions as of March 31, 2016
The average notional value of short futures contracts held by the Fund throughout the period was $4,721,484. This is based on amounts held as of each month-end throughout the three-month fiscal period.
Note: The categories of investments are shown as a percentage of total net assets at March 31, 2016.
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 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, except that options are valued at the mean of closing bid and asked quotations.
■ 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 last traded or purchase price of the security, information obtained by contacting the issuer or dealers, 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 public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions.
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 obtain the fair value assigned to an investment if it sold the investment at approximately the time at which the Fund determines its NAV per share.
Fair Valuation Procedures
The Trustees have ultimate responsibility for determining the fair value of investments for which market quotations are not readily available. The Trustees have appointed a valuation committee (“Valuation Committee”) comprised of officers of the Fund, Federated Investment Management Company (“Adviser”) and certain of the Adviser's affiliated companies to assist in determining fair value 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, methods, models 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 any U.S. Treasury and Agency securities, mortgage-backed securities and municipal securities. The Fund normally uses mid evaluations for any other types of fixed-income securities and any 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.
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.
As of March 31, 2016, all investments of the Fund utilized Level 2 inputs in valuing the Fund's assets carried at fair value.
The following acronym is used throughout this portfolio:
REMIC —Real Estate Mortgage Investment Conduit
FHLMC —Federal Home Loan Mortgage Corporation
FNMA —Federal National Mortgage Association
4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 May 23, 2016

 

 

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/ J. Christopher Donahue

 

J. Christopher Donahue

Principal Executive Officer

 

Date May 23, 2016

 

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date May 23, 2016