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: 12/31/16

 

 

Date of Reporting Period: Quarter ended 09/30/16

 

 

 

 

 

 

 

Item 1. Schedule of Investments

 

High Yield Bond Portfolio
Portfolio of Investments
September 30, 2016 (unaudited)
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—97.2%  
    Aerospace/Defense—1.1%  
$2,650,000 1,2 Engility Corp., Sr. Unsecd. Note, Series 144A, 8.875%, 9/1/2024 $2,693,062
2,950,000   TransDigm, Inc., 5.50%, 10/15/2020 3,040,344
1,000,000   TransDigm, Inc., 7.50%, 7/15/2021 1,060,625
8,850,000   TransDigm, Inc., Sr. Sub. Note, 6.00%, 7/15/2022 9,381,000
1,625,000   TransDigm, Inc., Sr. Sub. Note, 6.50%, 5/15/2025 1,702,188
4,475,000   TransDigm, Inc., Sr. Sub. Note, 6.50%, 7/15/2024 4,732,312
1,075,000 1,2 TransDigm, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 6/15/2026 1,120,688
    TOTAL 23,730,219
    Automotive—3.6%  
3,500,000 1,2 Adient Global Holdings Ltd., Sr. Unsecd. Note, Series 144A, 4.875%, 8/15/2026 3,508,750
2,550,000 1,2 Allison Transmission, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 10/1/2024 2,614,770
1,825,000   American Axle & Manufacturing Holdings, Inc., Sr. Note, 6.625%, 10/15/2022 1,936,781
1,050,000   American Axle & Manufacturing Holdings, Inc., Sr. Unsecd. Note, 6.25%, 3/15/2021 1,097,250
4,000,000 1,2 BCD Acquisition, Inc., Series 144A, 9.625%, 9/15/2023 4,200,000
4,750,000 1,2 Dana Financing Lux Sarl, Series 144A, 6.50%, 6/1/2026 4,989,875
10,525,000 1,2 Gates Global LLC, Series 144A, 6.00%, 7/15/2022 10,051,375
2,600,000   Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 5.00%, 5/31/2026 2,674,750
1,000,000   Goodyear Tire & Rubber Co., Sr. Unsecd. Note, 5.125%, 11/15/2023 1,045,000
6,850,000 1,2 International Automotive Components, Sr. Secd. Note, Series 144A, 9.125%, 6/1/2018 6,738,687
5,675,000 1,2 J.B. Poindexter & Co., Inc., Sr. Unsecd. Note, Series 144A, 9.00%, 4/1/2022 6,036,781
3,825,000   Lear Corp., 5.25%, 1/15/2025 4,169,250
7,375,000   MPG Holdco I, Inc., Sr. Unsecd. Note, 7.375%, 10/15/2022 7,596,250
1,525,000 1,2 Schaeffler AG, Series 144A, 4.25%, 5/15/2021 1,570,750
750,000 1,2 Schaeffler AG, Series 144A, 6.25%, 11/15/2019 779,063
4,647,758 1,2 Schaeffler AG, Series 144A, 6.75%, 11/15/2022 5,333,302
925,000 1,2 Schaeffler AG, Series 144A, 6.875%, 8/15/2018 943,593
1,750,000 1,2 Schaeffler Finance BV, Series 144A, 4.75%, 5/15/2023 1,820,000
1,050,000 1,2 Schaeffler Verwaltung Zw, Series 144A, 4.125%, 9/15/2021 1,063,125
825,000 1,2 Schaeffler Verwaltung Zw, Series 144A, 4.50%, 9/15/2023 834,793
2,225,000 1,2 Schaeffler Verwaltung Zw, Series 144A, 4.75%, 9/15/2026 2,241,688
4,175,000 1,2 TI Group Auto Systems LLC, Sr. Unsecd. Note, Series 144A, 8.75%, 7/15/2023 4,561,187
575,000   Tenneco, Inc., Sr. Unsecd. Note, 5.00%, 7/15/2026 584,344
850,000   Tenneco, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2024 896,750
3,625,000 1,2 ZF North America Capital, Inc., Series 144A, 4.75%, 4/29/2025 3,819,844
    TOTAL 81,107,958
    Building Materials—2.0%  
425,000   Allegion PLC, Sr. Unsecd. Note, 5.875%, 9/15/2023 460,063
4,290,000   Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 5.75%, 10/1/2021 4,488,412
5,825,000 1,2 American Builders & Contractors Supply Co., Inc., Series 144A, 5.625%, 4/15/2021 6,058,000
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   Beacon Roofing Supply, Inc., 6.375%, 10/1/2023 2,495,500
2,900,000 1,2 Building Materials Corp. of America, Sr. Unsecd. Note, Series 144A, 6.00%, 10/15/2025 3,117,500
2,075,000 1,2 HD Supply, Inc., Series 144A, 5.25%, 12/15/2021 2,202,094
1,800,000 1,2 HD Supply, Inc., Series 144A, 5.75%, 4/15/2024 1,894,500
2,025,000   HD Supply, Inc., Sr. Unsecd. Note, 7.50%, 7/15/2020 2,103,469
1
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Building Materials—continued  
$1,675,000 1,2 Masonite International Corp., Sr. Unsecd. Note, Series 144A, 5.625%, 3/15/2023 $1,775,500
5,150,000 1,2 NCI Building System, Inc., Sr. Unsecd. Note, Series 144A, 8.25%, 1/15/2023 5,626,375
2,075,000   Ply Gem Industries, Inc., 6.50%, 2/1/2022 2,145,031
9,200,000 1,2 RSI Home Products, Inc., Series 144A, 6.50%, 3/15/2023 9,752,000
850,000 1,2 USG Corp., Sr. Note, Series 144A, 5.875%, 11/1/2021 890,375
1,625,000 1,2 USG Corp., Sr. Unsecd. Note, Series 144A, 5.50%, 3/1/2025 1,748,906
    TOTAL 45,695,975
    Cable Satellite—7.1%  
2,175,000 1,2 Altice US Finance I Corp., Series 144A, 5.50%, 5/15/2026 2,251,125
5,900,000 1,2 Altice US Finance I Corp., Sr. Unsecd. Note, Series 144A, 7.75%, 7/15/2025 6,401,500
2,200,000   CCO Holdings LLC/Cap Corp., 5.25%, 9/30/2022 2,304,500
5,475,000   CCO Holdings LLC/Cap Corp., 5.75%, 9/1/2023 5,810,344
4,450,000 1,2 CCO Holdings LLC/Cap Corp., Series 144A, 5.375%, 5/1/2025 4,678,062
2,125,000 1,2 CCO Holdings LLC/Cap Corp., Series 144A, 5.75%, 2/15/2026 2,257,813
1,100,000 1,2 CCO Holdings LLC/Cap Corp., Sr. Sub. Secd. Note, Series 144A, 5.50%, 5/1/2026 1,155,000
4,050,000 1,2 CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, Series 144A, 5.875%, 5/1/2027 4,323,375
4,675,000 1,2 Cequel Communications Holdings, Sr. Unsecd. Note, Series 144A, 5.125%, 12/15/2021 4,698,375
2,525,000 1,2 Cequel Communications Holdings, Sr. Unsecd. Note, Series 144A, 5.125%, 12/15/2021 2,531,338
2,550,000   Charter Communications Holdings II, 5.125%, 2/15/2023 2,664,750
2,300,000   Charter Communications Holdings II, 5.75%, 1/15/2024 2,449,500
2,150,000   Charter Communications Holdings II, 6.625%, 1/31/2022 2,257,500
2,125,000   DISH DBS Corp., 5.00%, 3/15/2023 2,071,875
11,875,000   DISH DBS Corp., 5.875%, 7/15/2022 12,260,937
1,675,000   DISH DBS Corp., Sr. Unsecd. Note, 5.875%, 11/15/2024 1,660,344
975,000 1,2 DISH DBS Corp., Sr. Unsecd. Note, Series 144A, 7.75%, 7/1/2026 1,038,375
5,050,000   Intelsat (Luxembourg) S.A., 7.75%, 6/1/2021 1,704,375
6,250,000   Intelsat (Luxembourg) S.A., Sr. Unsecd. Note, 8.125%, 6/1/2023 2,140,625
275,000   Intelsat Jackson Holdings S.A., 7.25%, 10/15/2020 214,500
3,375,000 1,2 Intelsat Jackson Holdings S.A., Series 144A, 8.00%, 2/15/2024 3,400,312
9,650,000   Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.50%, 8/1/2023 6,730,875
4,050,000   Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 7.50%, 4/1/2021 3,078,000
4,550,000 1,2 Neptune Finco Corp., Sr. Unsecd. Note, Series 144A, 10.125%, 1/15/2023 5,260,937
9,150,000 1,2 Neptune Finco Corp., Sr. Unsecd. Note, Series 144A, 10.875%, 10/15/2025 10,728,375
4,550,000 1,2 Neptune Finco Corp., Sr. Unsecd. Note, Series 144A, 6.625%, 10/15/2025 4,948,125
4,525,000 1,2 Sirius XM Radio, Inc., Series 144A, 4.625%, 5/15/2023 4,541,969
6,950,000 1,2 Sirius XM Radio, Inc., Series 144A, 6.00%, 7/15/2024 7,427,812
3,250,000 1,2 Sirius XM Radio, Inc., Sr. Unsecd. Note, Series 144A, 5.375%, 4/15/2025 3,363,750
2,775,000 1,2 Sirius XM Radio, Inc., Sr. Unsecd. Note, Series 144A, 5.375%, 7/15/2026 2,858,250
1,950,000 1,2 Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, Series 144A, 5.00%, 1/15/2025 1,984,125
2,550,000 1,2 Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, Series 144A, 5.50%, 1/15/2023 2,648,813
8,075,000 1,2 Unitymedia KabelBW GmbH, Series 144A, 6.125%, 1/15/2025 8,509,031
7,725,000 1,2 Virgin Media Secured Finance PLC, Series 144A, 5.25%, 1/15/2026 7,879,500
4,275,000 1,2 Virgin Media Secured Finance PLC, Series 144A, 6.375%, 4/15/2023 4,510,125
1,250,000 1,2 Virgin Media, Inc., Sr. Unsecd. Note, Series 144A, 5.75%, 1/15/2025 1,270,313
2,575,000 1,2 Virgin Media, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 10/15/2024 2,674,807
6,525,000 1,2 Ziggo Finance BV, Sec. Fac. Bond, Series 144A, 5.50%, 1/15/2027 6,525,000
2,475,000 1,2 Ziggo Finance BV, Sr. Unsecd. Note, Series 144A, 5.875%, 1/15/2025 2,487,375
2,625,000 1,2 Ziggo Finance BV, Sr. Unsecd. Note, Series 144A, 6.00%, 1/15/2027 2,611,875
    TOTAL 158,313,582
2
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Chemicals—2.3%  
$4,225,000   Ashland, Inc., 4.75%, 8/15/2022 $4,409,844
1,825,000 1,2 Axalta Coating Systems LLC, Sr. Unsecd. Note, Series 144A, 4.875%, 8/15/2024 1,874,047
5,225,000 1,2 Compass Minerals International, Inc., Series 144A, 4.875%, 7/15/2024 4,963,750
4,175,000 1,2 Eco Services Operations LLC, Sr. Unsecd. Note, Series 144A, 8.50%, 11/1/2022 4,383,750
3,200,000   Hexion U.S. Finance Corp., 6.625%, 4/15/2020 2,824,000
5,825,000   Hexion U.S. Finance Corp., Sr. Secd. Note, 8.875%, 2/1/2018 5,592,000
8,075,000   Huntsman International LLC, Sr. Unsecd. Note, 5.125%, 11/15/2022 8,438,375
1,175,000 1,2 PQ Corp., Series 144A, 6.75%, 11/15/2022 1,248,437
725,000 1,2 Platform Specialty Products Corp., Sr. Unsecd. Note, Series 144A, 10.375%, 5/1/2021 784,813
14,775,000 1,2 Platform Specialty Products Corp., Sr. Unsecd. Note, Series 144A, 6.50%, 2/1/2022 14,442,562
2,375,000 1,2 WR Grace & Co., Conn., Sr. Unsecd. Note, Series 144A, 5.625%, 10/1/2024 2,597,656
    TOTAL 51,559,234
    Construction Machinery—0.3%  
1,825,000 1,2 Cloud Crane LLC, Series 144A, 10.125%, 8/1/2024 1,898,000
2,400,000   United Rentals, Inc., 4.625%, 7/15/2023 2,469,000
3,000,000   United Rentals, Inc., Sr. Unsecd. Note, 5.50%, 7/15/2025 3,086,250
    TOTAL 7,453,250
    Consumer Cyclical Services—1.1%  
3,550,000 1,2 Garda World Security Corp., Series 144A, 7.25%, 11/15/2021 3,292,625
6,425,000 1,2 Garda World Security Corp., Series 144A, 7.25%, 11/15/2021 5,959,188
11,775,000 1,2 Hearthside Group Holdings LLC, Series 144A, 6.50%, 5/1/2022 11,657,250
2,400,000   ServiceMaster Co., Sr. Unsecd. Note, 7.10%, 3/1/2018 2,487,000
1,775,000   ServiceMaster Co., Sr. Unsecd. Note, 7.45%, 8/15/2027 1,895,700
    TOTAL 25,291,763
    Consumer Products—3.0%  
12,525,000 1,2 AOT Bedding Super Holdings LLC, Series 144A, 8.125%, 10/1/2020 13,112,109
7,550,000   FGI Operating Co. LLC/FGI Finance, Inc., 7.875%, 5/1/2020 6,304,250
10,025,000 1,2 First Quality Finance Co., Inc., Series 144A, 4.625%, 5/15/2021 9,999,937
6,350,000 1,2 Party City Holdings, Inc., Sr. Unsecd. Note, Series 144A, 6.125%, 8/15/2023 6,802,437
7,525,000 1,2 Prestige Brands Holdings, Inc., Series 144A, 5.375%, 12/15/2021 7,826,000
3,250,000 1,2 Prestige Brands, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 3/1/2024 3,469,375
4,400,000   Spectrum Brands, Inc., 5.75%, 7/15/2025 4,774,000
2,550,000   Spectrum Brands, Inc., 6.125%, 12/15/2024 2,773,967
5,475,000   Springs Industries, Inc., 6.25%, 6/1/2021 5,694,000
1,875,000 1,2 Tempur Sealy International, Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 6/15/2026 1,935,938
925,000 1,2 Valvoline Finco Two LLC, Sr. Unsecd. Note, Series 144A, 5.50%, 7/15/2024 971,250
3,875,000 1,2 Vista Outdoor, Inc., Sr. Unsecd. Note, Series 144A, 5.875%, 10/1/2023 4,068,750
    TOTAL 67,732,013
    Diversified Manufacturing—1.6%  
1,275,000 1,2 EnerSys, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 4/30/2023 1,279,781
9,350,000 1,2 Entegris, Inc., Series 144A, 6.00%, 4/1/2022 9,712,312
4,675,000 1,2 Gardner Denver, Inc., Series 144A, 6.875%, 8/15/2021 4,406,188
6,475,000 1,2 Hamilton Sundstrand Corp., Series 144A, 7.75%, 12/15/2020 5,163,813
4,275,000 1,2 Milacron LLC, Series 144A, 7.75%, 2/15/2021 4,467,375
10,275,000   WESCO Distribution, Inc., Sr. Unsecd. Note, 5.375%, 12/15/2021 10,557,562
1,100,000 1,2 WESCO Distribution, Inc., Sr. Unsecd. Note, Series 144A, 5.375%, 6/15/2024 1,104,818
    TOTAL 36,691,849
    Financial Institutions—3.2%  
1,000,000   AerCap Ireland Capital Ltd/AerCap Global Aviation Trust, Sr. Unsecd. Note, 4.50%, 5/15/2021 1,048,750
3
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Financial Institutions—continued  
$1,550,000   AerCap Ireland Capital Ltd/AerCap Global Aviation Trust, Sr. Unsecd. Note, 5.00%, 10/1/2021 $1,658,500
2,150,000   Ally Financial, Inc., Company Guarantee, 6.25%, 12/1/2017 2,238,688
7,000,000   Ally Financial, Inc., Sr. Sub. Note, 5.75%, 11/20/2025 7,350,000
1,500,000   Ally Financial, Inc., Sr. Unsecd. Note, 4.125%, 2/13/2022 1,520,625
2,550,000   Ally Financial, Inc., Sr. Unsecd. Note, 4.625%, 3/30/2025 2,623,312
4,700,000   Ally Financial, Inc., Sr. Unsecd. Note, 5.125%, 9/30/2024 4,993,750
1,975,000   CIT Group, Inc., Sr. Unsecd. Note, 5.00%, 8/1/2023 2,095,969
6,050,000 1,2 Hub Holdings LLC/Hub Hol, Sr. Unsecd. Note, Series 144A, 8.125%, 7/15/2019 5,929,000
12,600,000 1,2 Hub International Ltd., Sr. Unsecd. Note, Series 144A, 7.875%, 10/1/2021 12,883,500
4,400,000   International Lease Finance Corp., 5.875%, 8/15/2022 4,889,500
750,000   Navient Corp., Sr. Unsecd. Note, 5.50%, 1/25/2023 690,938
6,850,000   Navient Corp., Sr. Unsecd. Note, 5.875%, 10/25/2024 6,267,750
1,125,000   Navient Corp., Sr. Unsecd. Note, 6.625%, 7/26/2021 1,136,250
2,475,000   Navient Corp., Sr. Unsecd. Note, 7.25%, 9/25/2023 2,473,465
12,825,000 1,2 Quicken Loans, Inc., Series 144A, 5.75%, 5/1/2025 12,792,937
    TOTAL 70,592,934
    Food & Beverage—2.3%  
13,125,000 1,2 Anna Merger Sub, Inc., Series 144A, 7.75%, 10/1/2022 10,860,937
4,925,000 1,2 Aramark Services, Inc., Sr. Unsecd. Note, Series 144A, 5.125%, 1/15/2024 5,134,312
925,000 1,2 Performance Food Group, Inc., Series 144A, 5.50%, 6/1/2024 957,375
3,550,000   Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.875%, 5/1/2021 3,660,938
650,000 1,2 Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., Sr. Unsecd. Note, Series 144A, 5.875%, 1/15/2024 697,125
4,375,000 1,2 Post Holdings, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 8/15/2026 4,364,063
425,000 1,2 Post Holdings, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 12/15/2022 450,500
3,200,000 1,2 Post Holdings, Inc., Sr. Unsecd. Note, Series 144A, 7.75%, 3/15/2024 3,600,000
8,000,000 1,2 Post Holdings, Inc., Sr. Unsecd. Note, Series 144A, 8.00%, 7/15/2025 9,195,000
4,700,000   Smithfield Foods, Inc., 6.625%, 8/15/2022 4,993,750
6,200,000 1,2 U.S. Foodservice, Inc., Sr. Unsecd. Note, Series 144A, 5.875%, 6/15/2024 6,479,000
    TOTAL 50,393,000
    Gaming—4.0%  
1,025,000 1,2 Boyd Gaming Corp., Series 144A, 6.375%, 4/1/2026 1,104,438
6,800,000   Boyd Gaming Corp., Sr. Unsecd. Note, 6.875%, 5/15/2023 7,414,788
5,850,000 1,2 Chester Downs & Marina, Series 144A, 9.25%, 2/1/2020 5,425,875
1,150,000   GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/1/2023 1,244,875
2,150,000   GLP Capital LP/GLP Financing II, Inc., Sr. Unsecd. Note, 5.375%, 4/15/2026 2,316,625
6,950,000   MGM Mirage, Inc., 7.75%, 3/15/2022 8,079,375
3,200,000   MGM Mirage, Inc., Sr. Unsecd. Note, 6.75%, 10/1/2020 3,600,000
2,850,000   MGM Resorts International, 6.00%, 3/15/2023 3,099,375
1,575,000   MGM Resorts International, Sr. Unsecd. Note, 4.625%, 9/1/2026 1,543,500
675,000 1,2 MGP Escrow Issuer LLC/MGP Escrow Co-Issuer, Inc., Series 144A, 5.625%, 5/1/2024 733,860
7,250,000   Mohegan Tribal Gaming Authority, 9.75%, 9/1/2021 7,839,062
4,450,000 1,2 Mohegan Tribal Gaming Authority, Sr. Unsecd. Note, 7.875%, 10/15/2024 4,466,688
9,925,000   Penn National Gaming, Inc., 5.875%, 11/1/2021 10,297,187
4,475,000 1,2 Pinnacle Entertainment, Inc., Series 144A, 5.625%, 5/1/2024 4,508,562
4,300,000 1,2 Rivers Pittsburgh LP, Series 144A, 6.125%, 8/15/2021 4,450,500
11,725,000 1,2 Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, Series 144A, 5.875%, 5/15/2021 11,900,875
3,730,000 1,2 Seminole Tribe of Florida, Bond, Series 144A, 7.804%, 10/1/2020 3,767,300
7,275,000   Station Casinos, Inc., Sr. Note, 7.50%, 3/1/2021 7,701,970
    TOTAL 89,494,855
4
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Health Care—9.8%  
$5,525,000   Acadia Healthcare Co., Inc., Sr. Unsecd. Note, 6.50%, 3/1/2024 $5,801,250
8,475,000 1,2 Air Medical Group Holdings, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 5/15/2023 8,241,937
9,325,000   Amsurg Corp., Sr. Unsecd. Note, 5.625%, 7/15/2022 9,569,781
14,375,000   CHS/Community Health Systems, Inc., Sr. Unsecd. Note, 6.875%, 2/1/2022 12,434,375
5,425,000   CHS/Community Health Systems, Inc., Term Loan—1st Lien, 5.125%, 8/1/2021 5,384,312
2,200,000   DaVita HealthCare Partners, Inc., 5.00%, 5/1/2025 2,213,750
3,725,000   DaVita HealthCare Partners, Inc., 5.125%, 7/15/2024 3,806,484
4,450,000   Emdeon, Inc., 11.00%, 12/31/2019 4,684,738
2,400,000 1,2 Emdeon, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 2/15/2021 2,538,000
10,225,000 1,2 Envision Healthcare Holdings, Inc., Series 144A, 5.125%, 7/1/2022 10,225,000
1,925,000   HCA, Inc., 4.50%, 2/15/2027 1,937,031
5,100,000   HCA, Inc., 4.75%, 5/1/2023 5,329,500
6,025,000   HCA, Inc., 5.00%, 3/15/2024 6,401,562
2,250,000   HCA, Inc., 5.25%, 6/15/2026 2,396,250
2,300,000   HCA, Inc., 5.875%, 5/1/2023 2,455,250
10,150,000   HCA, Inc., Sr. Unsecd. Note, 5.375%, 2/1/2025 10,492,562
8,475,000   HCA, Inc., Sr. Unsecd. Note, 7.50%, 2/15/2022 9,746,250
8,200,000   HCA, Inc., Term Loan—1st Lien, 5.25%, 4/15/2025 8,763,750
8,775,000   Iasis Healthcare, Sr. Unsecd. Note, 8.375%, 5/15/2019 7,985,250
1,700,000   LifePoint Health, Inc., 5.875%, 12/1/2023 1,763,750
3,900,000   LifePoint Health, Inc., Sr. Unsecd. Note, 5.50%, 12/1/2021 4,075,500
2,425,000 1,2 LifePoint Health, Inc., Sr. Unsecd. Note, Series 144A, 5.375%, 5/1/2024 2,431,063
1,425,000 1,2 MEDNAX, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 12/1/2023 1,501,594
6,900,000 1,2 MPH Acquisition Holdings LLC, Series 144A, 7.125%, 6/1/2024 7,434,750
19,575,000 1,2 Ortho-Clinical Diagnostics, Inc., Series 144A, 6.625%, 5/15/2022 17,323,875
10,650,000 1,2 Sterigenics-Nordion Holdings LLC, Sr. Unsecd. Note, Series 144A, 6.50%, 5/15/2023 11,102,625
7,525,000 1,2 Surgical Care Affiliates, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 4/1/2023 7,938,875
5,625,000 1,2 Team Health, Inc., Sr. Unsecd. Note, Series 144A, 7.25%, 12/15/2023 6,067,969
775,000   Teleflex, Inc., Sr. Unsecd. Note, 4.875%, 6/1/2026 804,063
3,225,000   Teleflex, Inc., Sr. Unsecd. Note, 5.25%, 6/15/2024 3,378,188
12,050,000   Tenet Healthcare Corp., 8.125%, 4/1/2022 12,110,250
4,725,000   Tenet Healthcare Corp., Note, 4.375%, 10/1/2021 4,725,000
4,050,000   Tenet Healthcare Corp., Sr. Secd. Note, 4.50%, 4/1/2021 4,095,563
5,950,000   Tenet Healthcare Corp., Sr. Unsecd. Note, 6.75%, 6/15/2023 5,548,375
6,475,000 1,2 Vizient, Inc., Sr. Unsecd. Note, Series 144A, 10.375%, 3/1/2024 7,446,250
    TOTAL 218,154,722
    Independent Energy—5.5%  
5,725,000   Antero Resources Corp., 6.00%, 12/1/2020 5,925,375
1,100,000   Antero Resources Corp., Sr. Unsecd. Note, 5.125%, 12/1/2022 1,113,750
1,400,000   Antero Resources Corp., Sr. Unsecd. Note, 5.625%, 6/1/2023 1,433,251
2,675,000   Antero Resources Finance Corp., 5.375%, 11/1/2021 2,721,812
1,250,000 1,2 Callon Petroleum Corp., Sr. Unsecd. Note, Series 144A, 6.125%, 10/1/2024 1,296,875
450,000   Carrizo Oil & Gas, Inc., 6.25%, 4/15/2023 447,750
8,600,000   Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 7.50%, 9/15/2020 8,922,500
3,100,000   Chesapeake Energy Corp., 5.75%, 3/15/2023 2,650,500
2,500,000 1,2 Chesapeake Energy Corp., Series 144A, 8.00%, 12/15/2022 2,537,500
2,825,000   Chesapeake Energy Corp., Sr. Unsecd. Note, 5.375%, 6/15/2021 2,471,875
4,925,000   Continental Resources, Inc., 4.50%, 4/15/2023 4,752,625
775,000 1,2 Crownrock LP/Crownrock F, Series 144A, 7.125%, 4/15/2021 813,750
5
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Independent Energy—continued  
$2,025,000 1,2 Crownrock LP/Crownrock F, Unsecd. Note, Series 144A, 7.75%, 2/15/2023 $2,181,938
2,350,000   EP Energy LLC/Everest Acquisition Finance, Inc., Sr. Unsecd. Note, 6.375%, 6/15/2023 1,410,000
1,350,000   EP Energy LLC/Everest Acquisition Finance, Inc., Sr. Unsecd. Note, 7.75%, 9/1/2022 810,000
750,000   Gulfport Energy Corp., Sr. Unsecd. Note, 6.625%, 5/1/2023 772,500
6,525,000   Gulfport Energy Corp., Sr. Unsecd. Note, 7.75%, 11/1/2020 6,802,312
3,825,000 1,2 Halcon Resources Corp., Series 144A, 8.625%, 2/1/2020 3,853,687
2,850,000   Laredo Petroleum, 5.625%, 1/15/2022 2,778,750
1,400,000   Laredo Petroleum, Sr. Unsecd. Note, 6.25%, 3/15/2023 1,379,000
1,975,000   Laredo Petroleum, Sr. Unsecd. Note, 7.375%, 5/1/2022 2,051,531
1,950,000   Legacy Reserves, 6.625%, 12/1/2021 1,023,750
1,675,000   Newfield Exploration Co., Sr. Unsecd. Note, 5.625%, 7/1/2024 1,725,250
925,000   Northern Oil and Gas, Inc., 8.00%, 6/1/2020 698,375
7,600,000   Northern Oil and Gas, Inc., Sr. Note, 8.00%, 6/1/2020 5,890,000
2,550,000   Oasis Petroleum, Inc., 6.875%, 1/15/2023 2,441,625
1,625,000   Oasis Petroleum, Inc., 6.875%, 3/15/2022 1,564,063
4,525,000   Oasis Petroleum, Inc., Company Guarantee, 6.50%, 11/1/2021 4,344,000
1,175,000   PDC Energy, Inc., 7.75%, 10/15/2022 1,260,188
850,000 1,2 PDC Energy, Inc., Sr. Unsecd. Note, Series 144A, 6.125%, 9/15/2024 886,125
875,000 1,2 Parsley Energy LLC/Parsley Finance Corp., Series 144A, 6.25%, 6/1/2024 907,813
1,650,000   QEP Resources, Inc., Sr. Unsecd. Note, 5.25%, 5/1/2023 1,633,500
1,300,000   QEP Resources, Inc., Sr. Unsecd. Note, 6.875%, 3/1/2021 1,365,000
3,325,000   RSP Permian, Inc., Sr. Unsecd. Note, 6.625%, 10/1/2022 3,499,562
2,900,000   Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025 2,798,500
1,550,000 1,2 Range Resources Corp., Sr. Unsecd. Note, Series 144A, 5.00%, 3/15/2023 1,522,875
1,200,000 1,2 Range Resources Corp., Sr. Unsecd. Note, Series 144A, 5.00%, 8/15/2022 1,200,000
5,975,000   Rice Energy, Inc., Sr. Unsecd. Note, 6.25%, 5/1/2022 6,199,062
775,000   Rice Energy, Inc., Sr. Unsecd. Note, 7.25%, 5/1/2023 833,125
2,875,000   SM Energy Co., Sr. Unsecd. Note, 5.00%, 1/15/2024 2,716,875
2,475,000   SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025 2,338,875
3,175,000   SM Energy Co., Sr. Unsecd. Note, 6.50%, 1/1/2023 3,222,625
775,000   SM Energy Co., Sr. Unsecd. Note, 6.75%, 9/15/2026 784,203
4,750,000   Southwestern Energy Co., Sr. Unsecd. Note, 4.10%, 3/15/2022 4,334,375
800,000   WPX Energy, Inc., Sr. Unsecd. Note, 5.25%, 9/15/2024 758,000
750,000   WPX Energy, Inc., Sr. Unsecd. Note, 6.00%, 1/15/2022 744,375
375,000   WPX Energy, Inc., Sr. Unsecd. Note, 7.50%, 8/1/2020 398,438
1,050,000   WPX Energy, Inc., Sr. Unsecd. Note, 8.25%, 8/1/2023 1,136,184
1,275,000   Whiting Petroleum Corp., Sr. Unsecd. Note, 5.75%, 3/15/2021 1,198,500
8,600,000   Whiting Petroleum Corp., Sr. Unsecd. Note, 6.25%, 4/1/2023 7,912,000
    TOTAL 122,464,544
    Industrial - Other—2.1%  
5,725,000   Anixter International, Inc., 5.125%, 10/1/2021 6,018,406
1,050,000   Anixter, Inc., 5.50%, 3/1/2023 1,103,813
5,550,000 1,2 Belden, Inc., Sr. Sub., Series 144A, 5.25%, 7/15/2024 5,661,000
6,275,000 1,2 Belden, Inc., Sr. Sub., Series 144A, 5.50%, 9/1/2022 6,573,062
4,375,000 1,2 Cleaver-Brooks, Inc., Series 144A, 8.75%, 12/15/2019 4,604,688
8,825,000 1,2 Hillman Group, Inc., Unsecd. Note, Series 144A, 6.375%, 7/15/2022 8,317,562
8,450,000 1,2 Mirror Bidco/Dematic, Series 144A, 7.75%, 12/15/2020 8,851,375
5,900,000 1,2 Unifrax Investment Corp., Series 144A, 7.50%, 2/15/2019 5,546,000
    TOTAL 46,675,906
6
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Leisure—0.4%  
$1,550,000   Cedar Fair LP, Sr. Unsecd. Note, 5.375%, 6/1/2024 $1,643,000
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 4,657,500
1,800,000   Regal Entertainment Group, Sr. Unsecd. Note, 5.75%, 3/15/2022 1,858,500
    TOTAL 8,159,000
    Lodging—0.2%  
2,725,000 1,2 Hilton Domestic Operations, Series 144A, 4.25%, 9/1/2024 2,793,125
1,175,000   RHP Hotel Property/RHP Finance Corp., Sr. Unsecd. Note, 5.00%, 4/15/2023 1,198,500
    TOTAL 3,991,625
    Media Entertainment—6.7%  
3,800,000   AMC Networks, Inc., Sr. Unsecd. Note, 5.00%, 4/1/2024 3,833,250
2,175,000   CBS Outdoor Americas Capital LLC/Corp., Sr. Unsecd. Note, 5.625%, 2/15/2024 2,270,156
3,600,000   CBS Outdoor Americas Capital LLC/Corp., Sr. Unsecd. Note, 5.875%, 3/15/2025 3,793,500
8,300,000   Clear Channel Communications, Inc., Company Guarantee, 9.00%, 3/1/2021 6,214,625
1,500,000 1,2 Clear Channel International BV, Sr. Unsecd. Note, Series 144A, 8.75%, 12/15/2020 1,612,500
2,350,000   Clear Channel Worldwide, Series A, 6.50%, 11/15/2022 2,379,375
6,075,000   Clear Channel Worldwide, Series B, 6.50%, 11/15/2022 6,355,969
3,725,000   Cumulus Media, Inc., Sr. Unsecd. Note, 7.75%, 5/1/2019 1,527,250
2,875,000 1,2 EMI Music Publishing Group North America Holdings, Inc., Series 144A, 7.625%, 6/15/2024 3,122,969
8,775,000 1,2 Emerald Expo Holdings, Inc., Series 144A, 9.00%, 6/15/2021 9,158,906
6,050,000   Entercom Radio LLC, Sr. Sub. Note, 10.50%, 12/1/2019 6,307,125
6,000,000   Gannett Co., Inc., 6.375%, 10/15/2023 6,472,500
725,000 1,2 Gannett Co., Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 9/15/2024 751,281
1,850,000 1,2 Gray Television, Inc., Sr. Unsecd. Note, Series 144A, 5.125%, 10/15/2024 1,819,938
3,325,000 1,2 Gray Television, Inc., Sr. Unsecd. Note, Series 144A, 5.875%, 7/15/2026 3,358,250
1,850,000   Lamar Media Corp., Sr. Unsecd. Note, 5.375%, 1/15/2024 1,956,375
825,000   Lamar Media Corp., Sr. Unsecd. Note, Series WI, 5.75%, 2/1/2026 892,031
5,225,000   Lin Television Corp., Sr. Unsecd. Note, 5.875%, 11/15/2022 5,499,312
125,000   Lin Television Corp., Sr. Unsecd. Note, 6.375%, 1/15/2021 129,844
2,150,000   Match Group, Inc., Sr. Unsecd. Note, 6.375%, 6/1/2024 2,340,813
7,125,000   Match Group, Inc., Sr. Unsecd. Note, 6.75%, 12/15/2022 7,605,937
2,150,000 1,2 McGraw Hill Global Education Holdings LLC, Sr. Unsecd. Note, Series 144A, 7.875%, 5/15/2024 2,330,063
6,025,000 1,2 Nexstar Broadcasting, Inc., Sr. Unsecd. Note, Series 144A, 6.125%, 2/15/2022 6,250,937
525,000 1,2 Nexstar Escrow Corp., Sr. Unsecd. Note, Series 144A, 5.625%, 8/1/2024 530,250
10,725,000 1,2 Nielsen Finance LLC/Nielsen Finance Co., Series 144A, 5.00%, 4/15/2022 11,113,781
5,800,000 1,2 Radio One, Inc., Series 144A, 7.375%, 4/15/2022 5,858,000
5,825,000 1,2 Radio One, Inc., Series 144A, 9.25%, 2/15/2020 5,460,938
11,875,000 1,2 Sinclair Television Group, Series 144A, 5.625%, 8/1/2024 12,171,875
975,000 1,2 Sinclair Television Group, Sr. Unsecd. Note, Series 144A, 5.125%, 2/15/2027 955,500
10,575,000 1,2 Southern Graphics Systems, Inc., Series 144A, 8.375%, 10/15/2020 10,786,500
6,125,000 1,2 Townsquare Media, Inc., Sr. Unsecd. Note, Series 144A, 6.50%, 4/1/2023 6,239,844
8,975,000   Tribune Media Co., Sr. Unsecd. Note, 5.875%, 7/15/2022 9,126,453
750,000 1,2 WMG Acquisition Corp., Series 144A, 5.00%, 8/1/2023 763,125
    TOTAL 148,989,172
    Metals & Mining—2.1%  
8,625,000   ArcelorMittal SA, 6.125%, 6/1/2025 9,444,375
6,350,000   Freeport-McMoRan, Inc., Sr. Unsecd. Note, 3.875%, 3/15/2023 5,778,500
10,725,000   Freeport-McMoRan, Inc., Sr. Unsecd. Note, 5.40%, 11/14/2034 8,955,375
1,600,000   Steel Dynamics, Inc., Sr. Unsecd. Note, 5.125%, 10/1/2021 1,670,000
7
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Metals & Mining—continued  
$850,000   Steel Dynamics, Inc., Sr. Unsecd. Note, 5.25%, 4/15/2023 $886,125
5,825,000   Steel Dynamics, Inc., Sr. Unsecd. Note, 5.50%, 10/1/2024 6,116,250
2,650,000   Teck Resources Ltd., Sr. Unsecd. Note, 6.00%, 8/15/2040 2,477,750
3,725,000   Teck Resources Ltd., Sr. Unsecd. Note, 6.125%, 10/1/2035 3,538,750
3,750,000 1,2 Teck Resources Ltd., Sr. Unsecd. Note, Series 144A, 8.50%, 6/1/2024 4,303,125
3,710,062 1,2 Wise Metals Intermediate Holdings LLC/Wise Holdings Finance Corp., Series 144A, 9.75%, 6/15/2019 3,580,210
    TOTAL 46,750,460
    Midstream—6.8%  
5,750,000   Access Midstream Partners LP, Sr. Note, 4.875%, 5/15/2023 5,824,198
900,000   Access Midstream Partners LP, Sr. Unsecd. Note, 4.875%, 3/15/2024 911,056
2,950,000   AmeriGas Partners LP, Sr. Unsecd. Note, 5.625%, 5/20/2024 3,134,375
7,950,000   AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026 8,446,875
2,650,000 1,2 Antero Midstream Partners LP, Sr. Unsecd. Note, Series 144A, 5.375%, 9/15/2024 2,689,750
575,000   Atlas Pipeline Partners LP, 5.875%, 8/1/2023 573,563
1,800,000 1,2 Cheniere Corpus Christi Holdings LLC, Series 144A, 7.00%, 6/30/2024 1,953,000
2,575,000   Chesapeake Midstream Partners L.P., Sr. Unsecd. Note, 6.125%, 7/15/2022 2,673,659
3,600,000   Crestwood Midstream Partners LP, Sr. Unsecd. Note, 6.25%, 4/1/2023 3,663,000
10,675,000   Energy Transfer Equity LP, 5.875%, 1/15/2024 11,128,687
4,175,000   Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsecd. Note, 6.75%, 6/15/2023 3,694,875
3,275,000   Ferrellgas, L.P., Sr. Unsecd. Note, 6.50%, 5/1/2021 3,013,000
6,250,000   Ferrellgas, L.P., Sr. Unsecd. Note, 6.75%, 1/15/2022 5,593,750
5,125,000 1,2 Hiland Partners LP, Series 144A, 5.50%, 5/15/2022 5,333,700
3,850,000 1,2 Holly Energy Partners LP, Series 144A, 6.00%, 8/1/2024 4,004,000
4,550,000   Holly Energy Partners LP, Sr. Unsecd. Note, 6.50%, 3/1/2020 4,714,937
1,650,000   Inergy Midstream LP, Sr. Unsecd. Note, 6.00%, 12/15/2020 1,670,625
1,300,000   MPLX LP, Sr. Unsecd. Note, Series WI, 4.50%, 7/15/2023 1,327,698
3,275,000   MPLX LP, Sr. Unsecd. Note, Series WI, 4.875%, 12/1/2024 3,394,682
1,900,000   MPLX LP, Sr. Unsecd. Note, Series WI, 4.875%, 6/1/2025 1,967,665
4,400,000   MPLX LP, Sr. Unsecd. Note, Series WI, 5.50%, 2/15/2023 4,549,631
1,675,000   Regency Energy Partners LP, 4.50%, 11/1/2023 1,689,504
1,600,000   Regency Energy Partners LP, 5.50%, 4/15/2023 1,653,626
3,525,000   Sabine Pass LNG LP, 5.625%, 2/1/2021 3,767,344
5,500,000   Sabine Pass LNG LP, 5.625%, 3/1/2025 5,933,125
1,675,000   Sabine Pass LNG LP, 5.625%, 4/15/2023 1,796,437
2,400,000   Sabine Pass LNG LP, 6.25%, 3/15/2022 2,640,000
3,600,000 1,2 Sabine Pass LNG LP, Sec. Fac. Bond, Series 144A, 5.00%, 3/15/2027 3,699,000
6,200,000   Suburban Propane Partners LP, 5.50%, 6/1/2024 6,324,000
4,401,000   Suburban Propane Partners LP, 7.375%, 8/1/2021 4,579,791
1,275,000   Suburban Propane Partners LP, Sr. Unsecd. Note, 5.75%, 3/1/2025 1,297,312
8,325,000   Summit Midstream Holdings LLC, 5.50%, 8/15/2022 7,971,187
1,250,000   Summit Midstream Holdings LLC, Sr. Unsecd. Note, 7.50%, 7/1/2021 1,300,000
1,275,000   Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.25%, 5/1/2023 1,297,313
2,200,000 1,2 Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, Series 144A, 5.125%, 2/1/2025 2,208,250
4,200,000 1,2 Targa Resources Partners LP/Targa Resources Partners Finance Corp., Sr. Unsecd. Note, Series 144A, 5.375%, 2/1/2027 4,236,750
400,000   Tesoro Logistics LP, Sr. Unsecd. Note, 5.50%, 10/15/2019 428,000
3,576,000   Tesoro Logistics LP, Sr. Unsecd. Note, 5.875%, 10/1/2020 3,687,750
3,450,000   Tesoro Logistics LP, Sr. Unsecd. Note, 6.125%, 10/15/2021 3,609,562
500,000   Tesoro Logistics LP, Sr. Unsecd. Note, 6.25%, 10/15/2022 536,250
4,175,000   Tesoro Logistics LP, Sr. Unsecd. Note, 6.375%, 5/1/2024 4,498,562
8
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Midstream—continued  
$5,475,000   Western Refining Logistics LP/WNRL Finance Corp., Sr. Unsecd. Note, 7.50%, 2/15/2023 $5,639,250
2,675,000   Williams Cos., Inc., Sr. Unsecd. Note, 4.55%, 6/24/2024 2,740,671
    TOTAL 151,796,410
    Oil Field Services—0.4%  
3,250,000   CGG SA, Sr. Unsecd. Note, 6.875%, 1/15/2022 1,673,750
3,025,000   Weatherford International Ltd., 7.00%, 3/15/2038 2,238,500
4,225,000   Weatherford International Ltd., Sr. Unsecd. Note, 8.25%, 6/15/2023 4,193,313
    TOTAL 8,105,563
    Packaging—5.8%  
4,850,000 1,2 ARD Finance SA, Series 144A, 7.125%, 9/15/2023 4,837,875
1,625,000 1,2 Ardagh Packaging Finance PLC, Series 144A, 4.625%, 5/15/2023 1,643,281
300,000 1,2 Ardagh Packaging Finance PLC, Series 144A, 6.25%, 1/31/2019 307,875
2,450,000 1,2 Ardagh Packaging Finance PLC, Series 144A, 6.75%, 1/31/2021 2,541,875
436,765 1,2 Ardagh Packaging Finance PLC, Series 144A, 7.00%, 11/15/2020 453,143
2,925,000 1,2 Ardagh Packaging Finance PLC, Sr. Unsecd. Note, Series 144A, 6.00%, 6/30/2021 3,034,688
10,325,000 1,2 Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, Series 144A, 7.25%, 5/15/2024 11,073,563
5,225,000   Ball Corp., Sr. Unsecd. Note, 5.25%, 7/1/2025 5,649,531
4,325,000   Berry Plastics Corp., 5.125%, 7/15/2023 4,419,609
11,350,000   Berry Plastics Corp., 5.50%, 5/15/2022 11,804,000
1,550,000   Berry Plastics Corp., Term Loan—2nd Lien, 6.00%, 10/15/2022 1,643,000
11,575,000 1,2 Bway Holding Co., Series 144A, 9.125%, 8/15/2021 12,153,750
1,750,000   Crown Americas LLC, 4.50%, 1/15/2023 1,830,938
7,275,000 1,2 Multi Packaging Solutions, Inc., Series 144A, 8.50%, 8/15/2021 7,775,156
8,375,000 1,2 Multi-Color Corp., Series 144A, 6.125%, 12/1/2022 8,835,625
4,625,000 1,2 Owens-Brockway Glass Container, Inc., Series 144A, 5.375%, 1/15/2025 4,821,563
1,050,000 1,2 Owens-Brockway Glass Container, Inc., Series 144A, 5.875%, 8/15/2023 1,129,406
3,700,000 1,2 Owens-Brockway Glass Container, Inc., Series 144A, 6.375%, 8/15/2025 4,081,563
11,375,000   Reynolds Group Issuer, Inc./LLC/LU, 5.75%, 10/15/2020 11,744,687
950,000 1,2 Reynolds Group Issuer, Inc./LLC/LU, Series 144A, 7.00%, 7/15/2024 1,020,656
6,125,000   Reynolds Group, 8.25%, 2/15/2021 6,391,064
373,000   Reynolds Group, 9.875%, 8/15/2019 384,656
1,675,000   Reynolds Group, Sr. Unsecd. Note, 7.95%, 12/15/2025 1,834,125
575,000 1,2 Sealed Air Corp., Series 144A, 4.875%, 12/1/2022 605,906
2,800,000 1,2 Sealed Air Corp., Series 144A, 5.25%, 4/1/2023 2,996,000
4,575,000 1,2 Sealed Air Corp., Sr. Unsecd. Note, Series 144A, 5.50%, 9/15/2025 4,918,125
12,050,000 1,2 Signode Industrial Group, Series 144A, 6.375%, 5/1/2022 12,260,875
    TOTAL 130,192,535
    Paper—0.4%  
1,900,000   Clearwater Paper Corp., Sr. Note, 4.50%, 2/1/2023 1,911,875
7,700,000 1,2 Clearwater Paper Corp., Sr. Unsecd. Note, Series 144A, 5.375%, 2/1/2025 7,834,750
    TOTAL 9,746,625
    Pharmaceuticals—3.6%  
4,975,000 1,2 ENDO Finance LLC/ENDO Finco, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 7/15/2023 4,552,125
7,075,000 1,2 ENDO Finance LLC/ENDO Finco, Inc., Sr. Unsecd. Note, Series 144A, 6.50%, 2/1/2025 6,287,906
7,200,000   Grifols Worldwide Operations Ltd., Sr. Unsecd. Note, 5.25%, 4/1/2022 7,488,000
3,450,000 1,2 IMS Health, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 10/15/2026 3,596,625
15,900,000 1,2 Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Sr. Unsecd. Note, Series 144A, 6.375%, 8/1/2023 16,575,750
1,250,000 1,2 Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Series 144A, 4.875%, 4/15/2020 1,281,250
5,825,000   Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, 4.75%, 4/15/2023 5,271,625
9
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Pharmaceuticals—continued  
$4,425,000 1,2 Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, Series 144A, 5.50%, 4/15/2025 $4,225,875
4,175,000 1,2 Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Sr. Unsecd. Note, Series 144A, 5.625%, 10/15/2023 4,018,438
4,025,000 1,2 Valeant Pharmaceuticals International, Inc., Series 144A, 5.625%, 12/1/2021 3,612,437
5,750,000 1,2 Valeant Pharmaceuticals International, Inc., Series 144A, 7.50%, 7/15/2021 5,584,687
2,200,000 1,2 Valeant Pharmaceuticals International, Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 3/1/2023 1,892,000
7,725,000 1,2 Valeant Pharmaceuticals International, Inc., Sr. Unsecd. Note, Series 144A, 6.125%, 4/15/2025 6,672,469
2,250,000 1,2 Valeant Pharmaceuticals International, Inc., Sr. Unsecd. Note, Series 144A, 7.25%, 7/15/2022 2,098,125
8,075,000 1,2 Vrx Escrow Corp., Series 144A, 5.875%, 5/15/2023 7,020,647
    TOTAL 80,177,959
    Refining—0.7%  
5,725,000   CVR Refining LLC/Coffeyville Finance, Inc., 6.50%, 11/1/2022 5,209,750
3,775,000   Northern Tier Energy LLC/Northern Tier Finance Corp., Bond, 7.125%, 11/15/2020 3,878,813
6,300,000   Tesoro Petroleum Corp., 5.125%, 4/1/2024 6,520,500
    TOTAL 15,609,063
    Restaurants—1.1%  
13,525,000 1,2 1011778 BC Unltd. Liability Co./New Red Finance, Inc., Series 144A, 6.00%, 4/1/2022 14,201,250
1,950,000   NPC INTL/OPER Co. A&B, Inc., 10.50%, 1/15/2020 2,047,500
2,400,000 1,2 Yum! Brands, Inc., Sr. Unsecd. Note, Series 144A, 5.00%, 6/1/2024 2,514,000
4,825,000 1,2 Yum! Brands, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 6/1/2026 5,114,500
    TOTAL 23,877,250
    Retailers—1.5%  
12,575,000 1,2 Argos Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 7.125%, 3/15/2023 13,235,187
1,475,000 1,2 Hanesbrands, Inc., Sr. Unsecd. Note, Series 144A, 4.875%, 5/15/2026 1,515,563
5,500,000 1,2 Michaels Stores, Inc., Series 144A, 5.875%, 12/15/2020 5,713,125
2,800,000 1,2 Neiman-Marcus Group, Inc., Series 144A, 8.75%, 10/15/2021 2,226,000
1,525,000 1,2 Penney (J.C.) Co., Inc., Series 144A, 5.875%, 7/1/2023 1,589,813
7,450,000 1,2 Rite Aid Corp., Sr. Unsecd. Note, Series 144A, 6.125%, 4/1/2023 8,055,312
775,000   Sally Holdings LLC/Sally Capital, Inc., 5.625%, 12/1/2025 837,969
    TOTAL 33,172,969
    Supermarkets—0.3%  
3,300,000 1,2 Albertsons Cos., LLC/SAFEW, Sr. Unsecd. Note, Series 144A, 5.75%, 3/15/2025 3,300,000
3,800,000 1,2 Albertsons Cos., LLC/SAFEW, Sr. Unsecd. Note, Series 144A, 6.625%, 6/15/2024 3,961,500
    TOTAL 7,261,500
    Technology—9.8%  
1,650,000   Advanced Micro Devices, Inc., 7.00%, 7/1/2024 1,629,375
12,000,000 1,2 BMC Software, Inc., Series 144A, 8.125%, 7/15/2021 10,950,000
1,900,000   CDW LLC/CDW Finance, 6.00%, 8/15/2022 2,030,625
6,425,000   CDW LLC/CDW Finance, Sr. Unsecd. Note, 5.50%, 12/1/2024 6,890,812
5,700,000 1,2 CommScope Technologies Finance LLC, Series 144A, 6.00%, 6/15/2025 6,106,125
2,675,000 1,2 CommScope, Inc., Series 144A, 5.50%, 6/15/2024 2,832,156
1,325,000 1,2 Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Secd. Note, Series 144A, 5.875%, 6/15/2021 1,408,380
7,075,000 1,2 Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Unsecd. Note, Series 144A, 7.125%, 6/15/2024 7,785,903
8,225,000 1,2 Ensemble S Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 9.00%, 9/30/2023 8,677,375
1,900,000 1,2 First Data Corp., Series 144A, 5.375%, 8/15/2023 1,961,750
22,800,000 1,2 First Data Corp., Series 144A, 5.75%, 1/15/2024 23,512,500
3,350,000 1,2 First Data Corp., Sr. Unsecd. Note, Series 144A, 7.00%, 12/1/2023 3,551,000
12,800,000 1,2 Infor Software Parent, Inc., Series 144A, 7.125%, 5/1/2021 12,480,000
11,825,000   Infor US, Inc., 6.50%, 5/15/2022 12,031,937
10,125,000 1,2 Italics Merger Sub, Inc., Sr. Unsecd. Note, Series 144A, 7.125%, 7/15/2023 9,466,875
10
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Technology—continued  
$4,550,000 1,2 JDA Escrow LLC/JDA Bond Finance, Inc., Series 144A, 7.375%, 10/15/2024 $4,686,500
4,750,000 1,2 MSCI, Inc., Series 144A, 5.75%, 8/15/2025 5,094,375
950,000 1,2 MSCI, Inc., Sr. Unsecd. Note, Series 144A, 4.75%, 8/1/2026 964,250
975,000   Micron Technology, Inc., Sr. Unsecd. Note, 5.50%, 2/1/2025 960,375
2,050,000 1,2 Micron Technology, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 1/15/2024 2,003,875
4,850,000 1,2 Micron Technology, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 8/1/2023 4,777,250
4,150,000 1,2 Microsemi Corp., Sr. Unsecd. Note, Series 144A, 9.125%, 4/15/2023 4,751,750
4,100,000   NCR Corp., 6.375%, 12/15/2023 4,356,250
3,350,000   NCR Corp., Sr. Unsecd. Note, 4.625%, 2/15/2021 3,396,063
4,250,000   NCR Corp., Sr. Unsecd. Note, 5.00%, 7/15/2022 4,366,875
1,800,000   NCR Corp., Sr. Unsecd. Note, 5.875%, 12/15/2021 1,901,250
8,650,000 1,2 Nuance Communications, Inc., Series 144A, 5.375%, 8/15/2020 8,887,875
1,750,000 1,2 Nuance Communications, Inc., Sr. Unsecd. Note, Series 144A, 6.00%, 7/1/2024 1,828,750
1,300,000   PTC, Inc., Sr. Unsecd. Note, 6.00%, 5/15/2024 1,394,250
5,925,000   Qorvo, Inc., Sr. Unsecd. Note, 7.00%, 12/1/2025 6,450,844
2,650,000 1,2 Riverbed Technology, Inc., Sr. Unsecd. Note, Series 144A, 8.875%, 3/1/2023 2,845,438
5,300,000   SS&C Technologies Holdings, Inc., 5.875%, 7/15/2023 5,604,750
1,150,000 1,2 Sabre GLBL, Inc., Series 144A, 5.25%, 11/15/2023 1,175,875
5,325,000 1,2 Sabre GLBL, Inc., Series 144A, 5.375%, 4/15/2023 5,498,062
600,000   Seagate HDD Cayman, 4.75%, 6/1/2023 594,375
1,200,000   Seagate HDD Cayman, Sr. Unsecd. Note, 4.75%, 1/1/2025 1,134,750
2,625,000 1,2 Sensata Technologies B.V., Series 144A, 5.625%, 11/1/2024 2,782,500
1,775,000 1,2 Sensata Technologies B.V., Sr. Unsecd. Note, Series 144A, 5.00%, 10/1/2025 1,823,813
1,300,000 1,2 Sensata Technologies UK Financing Co. PLC, Sr. Unsecd. Note, Series 144A, 6.25%, 2/15/2026 1,417,000
8,375,000 1,2 Solera LLC/Solera Finance, Inc., Series 144A, 10.50%, 3/1/2024 9,380,000
4,900,000   Syniverse Holdings, Inc., Company Guarantee, 9.125%, 1/15/2019 3,724,000
3,450,000   Verisign, Inc., 4.625%, 5/1/2023 3,514,687
800,000   Verisign, Inc., Sr. Unsecd. Note, 5.25%, 4/1/2025 844,000
1,550,000 1,2 Versum Materials, Inc., Sr. Unsecd. Note, Series 144A, 5.50%, 9/30/2024 1,596,500
8,875,000   Zebra Technologies Corp., Sr. Note, 7.25%, 10/15/2022 9,673,750
    TOTAL 218,744,845
    Transportation Services—1.1%  
1,425,000   Avis Budget Group, Inc., Sr. Unsecd. Note, 5.50%, 4/1/2023 1,444,594
2,550,000 1,2 Avis Budget Group, Inc., Sr. Unsecd. Note, Series 144A, 5.25%, 3/15/2025 2,457,563
6,050,000 1,2 Avis Budget Group, Inc., Sr. Unsecd. Note, Series 144A, 6.375%, 4/1/2024 6,201,250
5,925,000   HDTFS, Inc., 6.25%, 10/15/2022 6,132,375
4,075,000   Hertz Corp., 5.875%, 10/15/2020 4,212,531
2,100,000   Hertz Corp., Company Guarantee, 6.75%, 4/15/2019 2,148,804
1,100,000 1,2 Hertz Corp., Sr. Unsecd. Note, Series 144A, 5.50%, 10/15/2024 1,097,250
    TOTAL 23,694,367
    Utility - Electric—1.7%  
9,800,000   Calpine Corp., 5.75%, 1/15/2025 9,702,000
500,000 1,2 Calpine Corp., Bond, Series 144A, 6.00%, 1/15/2022 524,062
2,025,000 1,2 Calpine Corp., Series 144A, 5.875%, 1/15/2024 2,149,031
56,559 1 FPL Energy National Wind, Note, Series 144A, 6.125%, 3/25/2019 56,984
3,850,000   NRG Energy, Inc., 6.25%, 5/1/2024 3,927,000
1,058,000   NRG Energy, Inc., Company Guarantee, 7.625%, 1/15/2018 1,132,060
3,700,000   NRG Energy, Inc., Sr. Unsecd. Note, 6.625%, 3/15/2023 3,755,500
6,200,000 1,2 NRG Energy, Inc., Sr. Unsecd. Note, Series 144A, 6.625%, 1/15/2027 6,083,750
11
Principal
Amount
or Shares 		    Value
    CORPORATE BONDS—continued  
    Utility - Electric—continued  
$2,850,000 1,2 NRG Energy, Inc., Sr. Unsecd. Note, Series 144A, 7.25%, 5/15/2026 $2,914,125
5,150,000 1,2 TerraForm Power Operating LLC, Sr. Unsecd. Note, Series 144A, 9.375%, 2/1/2023 5,330,250
2,675,000 1,2 TerraForm Power Operating LLC, Sr. Unsecd. Note, Series 144A, 9.625%, 6/15/2025 2,822,125
    TOTAL 38,396,887
    Wireless Communications—5.0%  
7,100,000 1,2 Altice Luxembourg SA, Series 144A, 7.75%, 5/15/2022 7,605,875
7,225,000 1,2 Altice Luxembourg SA, Sr. Unsecd. Note, Series 144A, 7.625%, 2/15/2025 7,459,812
2,075,000 1,2 Digicel Ltd., Series 144A, 6.00%, 4/15/2021 1,857,125
10,100,000 1,2 Digicel Ltd., Sr. Unsecd. Note, Series 144A, 8.25%, 9/30/2020 8,824,875
5,375,000   MetroPCS Wireless, Inc., 6.731%, 4/28/2022 5,663,906
6,450,000   MetroPCS Wireless, Inc., Sr. Note, 6.625%, 11/15/2020 6,635,437
325,000   MetroPCS Wireless, Inc., Sr. Note, 6.633%, 4/28/2021 343,281
4,750,000 1,2 Numericable Group SA, Series 144A, 6.00%, 5/15/2022 4,862,812
4,375,000 1,2 Numericable Group SA, Series 144A, 6.25%, 5/15/2024 4,362,759
4,350,000 1,2 Numericable-SFR SAS, Series 144A, 7.375%, 5/1/2026 4,451,964
9,075,000   Sprint Capital Corp., Company Guarantee, 6.875%, 11/15/2028 8,587,219
8,125,000   Sprint Corp., 7.125%, 6/15/2024 7,962,500
10,000,000   Sprint Corp., 7.875%, 9/15/2023 10,150,000
2,850,000   Sprint Corp., Sr. Unsecd. Note, 7.625%, 2/15/2025 2,835,750
3,425,000 1,2 Sprint Nextel Corp., Series 144A, 7.00%, 3/1/2020 3,707,563
3,900,000   Sprint Nextel Corp., Sr. Unsecd. Note, 6.00%, 11/15/2022 3,670,875
1,100,000   T-Mobile USA, Inc., 6.25%, 4/1/2021 1,158,438
4,075,000   T-Mobile USA, Inc., 6.625%, 4/1/2023 4,390,812
1,625,000   T-Mobile USA, Inc., Sr. Unsecd. Note, 6.00%, 3/1/2023 1,742,098
4,475,000   T-Mobile USA, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2025 4,877,750
5,475,000   T-Mobile USA, Inc., Sr. Unsecd. Note, 6.50%, 1/15/2024 5,943,496
4,275,000   T-Mobile USA, Inc., Sr. Unsecd. Note, 6.50%, 1/15/2026 4,750,594
    TOTAL 111,844,941
    Wireline Communications—0.6%  
3,350,000   Level 3 Communications, Inc., Sr. Unsecd. Note, 5.75%, 12/1/2022 3,509,125
500,000 1,2 Level 3 Financing, Inc., Series 144A, 5.25%, 3/15/2026 517,500
1,700,000   Level 3 Financing, Inc., Sr. Unsecd. Note, 5.375%, 1/15/2024 1,775,438
6,350,000   Level 3 Financing, Inc., Sr. Unsecd. Note, 5.375%, 5/1/2025 6,643,687
1,225,000   Level 3 Financing, Inc., Sr. Unsecd. Note, 6.125%, 1/15/2021 1,272,469
    TOTAL 13,718,219
    TOTAL CORPORATE BONDS
(IDENTIFIED COST $2,143,484,366) 		2,169,581,194
    COMMON STOCKS—0.0%  
    Independent Energy—0.0%  
53,011 1,3,5 Lone Pine Resources Canada Ltd. 0
425,000 1,3,5 Lone Pine Resources, Inc., Escrow Shares 0
29,390 3 Prairie Provident Resources, Inc. 19,776
    TOTAL COMMON STOCKS
(IDENTIFIED COST $420,961) 		19,776
12
Principal
Amount
or Shares 		    Value
    INVESTMENT COMPANY—2.2%  
49,687,438 7 Federated Institutional Prime Value Obligations Fund, Institutional Shares, 0.36%8
(AT NET ASSET VALUE) 		$49,687,438
    TOTAL INVESTMENTS—99.4%
(IDENTIFIED COST $2,193,592,765)9 		2,219,288,408
    OTHER ASSETS AND LIABILITIES - NET—0.6%10 12,433,109
    TOTAL NET ASSETS—100% $2,231,721,517
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, 2016, these restricted securities amounted to $1,145,808,864, which represented 51.3% 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, 2016, these liquid restricted securities amounted to $1,145,751,880, which represented 51.3% 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, 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 $51,641 $56,984
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.
Transactions involving the affiliated holding during the period ended September 30, 2016, were as follows:
  Federated Institutional
Prime Value Obligations
Fund, Institutional Shares
Balance of Shares Held 12/31/2015 25,270,048
Purchases/Additions 438,843,023
Sales/Reductions (414,425,633)
Balance of Shares Held 9/30/2016 49,687,438
Value $49,687,438
Dividend Income $86,936
8 7-day net yield.
9 At September 30, 2016, the cost of investments for federal tax purposes was $2,196,971,946. The net unrealized appreciation of investments for federal tax purposes was $22,316,462. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $77,616,779 and net unrealized depreciation from investments for those securities having an excess of cost over value of $55,300,317.
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, 2016.
13
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.
14
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 September 30, 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 $— $2,169,581,194 $0 $2,169,581,194
Equity Securities:        
Common Stocks        
 International 19,776 — 0 19,776
Investment Company 49,687,438 — — 49,687,438
TOTAL SECURITIES $49,707,214 $2,169,581,194 $0 $2,219,288,408
15
Federated Mortgage Core Portfolio
Portfolio of Investments
September 30, 2016 (unaudited)
Principal
Amount 		    Value
    ADJUSTABLE RATE MORTGAGE—0.6%  
    Federal National Mortgage Association ARM—0.6%  
$12,935,806   3.006%, 1/1/2044
(IDENTIFIED COST $13,305,689) 		$13,640,387
    ASSET-BACKED SECURITIES—8.7%  
    Auto Receivables—6.9%  
22,345,000   AmeriCredit Automobile Receivables Trust 2014-4, Class D, 3.070%, 11/9/2020 22,691,049
12,960,000   AmeriCredit Automobile Receivables Trust 2015-2, Class D, 3.000%, 6/8/2021 13,210,420
15,500,000   AmeriCredit Automobile Receivables Trust 2015-3, Class D, 3.340%, 8/8/2021 15,963,308
15,000,000   AmeriCredit Automobile Receivables Trust 2016—2, Class D, 3.650%, 5/9/2022 15,413,550
13,322,000   Capital Auto Receivables Asset Trust 2015-2, Class D, 3.160%, 11/20/2020 13,553,401
7,400,000   Capital Auto Receivables Asset Trust 2015-3, Class D, 3.340%, 3/22/2021 7,560,754
19,940,000   Santander Drive Auto Receivables Trust 2015-1, Class D, 3.240%, 4/15/2021 20,387,946
18,140,000   Santander Drive Auto Receivables Trust 2015-2, Class D, 3.020%, 4/15/2021 18,507,629
14,580,000   Santander Drive Auto Receivables Trust 2015-3, Class D, 3.490%, 5/17/2021 14,995,032
12,672,000   Santander Drive Auto Receivables Trust 2016-2, Class D, 3.390%, 4/15/2022 12,976,345
    TOTAL 155,259,434
    Other—1.1%  
8,421,940 1,2 Sofi Consumer Loan Program Trust 2016-1A, Class A, 3.260%, 8/25/2025 8,469,791
14,750,000 1,2 Sofi Consumer Loan Program Trust 2016-2A, Class A, 3.090%, 10/27/2025 14,833,602
    TOTAL 23,303,393
    Single Family Rental Securities—0.5%  
11,300,000 1,2 Invitation Homes Trust 2014-SFR1, Class C, 2.631%, 6/17/2031 11,350,921
    Student Loans—0.2%  
4,100,160 1,2 Social Professional Loan Program LLC 2014-A, Class A2, 3.020%, 10/25/2027 4,181,369
    TOTAL ASSET-BACKED SECURITIES
(IDENTIFIED COST $190,432,545) 		194,095,117
    COMMERCIAL MORTGAGE-BACKED SECURITIES—6.6%  
    Agency Commercial Mortgage-Backed Securities—5.0%  
8,818,506   FHLMC REMIC K050 A1, 2.802%, 1/25/2025 9,291,913
16,195,283   FHLMC REMIC K055 A1, 2.263%, 4/25/2025 16,616,854
20,250,000   FHLMC REMIC K720 A2, 2.716%, 6/25/2022 21,380,296
24,000,000   FNMA REMIC 2015-M4 AV2, 2.509%, 7/25/2022 24,949,918
18,950,000 1,2 FREMF Mortgage Trust 2011-K12, 4.492%, 1/25/2046 20,378,584
12,475,000 1,2 FREMF Mortgage Trust 2013-K712, 3.485%, 5/25/2045 12,739,283
7,000,000 1,2 FREMF Mortgage Trust 2014-K714, 3.981%, 1/25/2047 7,302,977
    TOTAL 112,659,825
    Non-Agency Commercial Mortgage-Backed Securities—1.6%  
22,300,000 1,2 UBS-Barclays Commercial Mortgage Trust 2013-C6, Class A3FL, 1.308%, 4/10/2046 22,266,632
12,500,000 1,2 Wells Fargo Commercial Mortgage Trust 2013-LC12, Class A3FL, 1.580%, 7/15/2046 12,461,659
    TOTAL 34,728,291
    TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $144,818,565) 		147,388,116
    COLLATERALIZED MORTGAGE OBLIGATIONS—7.2%  
    Government National Mortgage Association—0.8%  
17,143,632 3 REMIC 2013-H20 FA, 1.094%, 8/20/2063 17,166,953
    Non-Agency Mortgage-Backed Securities—6.4%  
1,421,500   Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 1,412,078
730,791   Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 573,769
1
Principal
Amount 		    Value
    COLLATERALIZED MORTGAGE OBLIGATIONS—continued  
    Non-Agency Mortgage-Backed Securities—continued  
$19,992,592 1,2,3 Credit Suisse Mortgage Trust 2013-IVR3, Class A2, 3.000%, 5/25/2043 $20,254,749
15,606,721 1,2,3 Credit Suisse Mortgage Trust 2013-TH1, Class A1, 2.130%, 2/25/2043 15,095,610
5,276,629 1,2,3 Credit Suisse Mortgage Trust 2014-WIN2, Class A2, 3.500%, 10/25/2044 5,456,670
11,534,716 1,2,3 Credit Suisse Mortgage Trust 2015-WIN1, Class A6, 3.500%, 12/25/2044 11,905,656
976,617   Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 3.327%, 8/25/2035 923,507
3,961,406   Sequoia Mortgage Trust 2012-1, Class 2A1, 3.474%, 1/25/2042 4,031,243
12,931,475   Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 12,708,387
11,761,211   Sequoia Mortgage Trust 2013-1, Class 2A1, 1.855%, 2/25/2043 11,543,748
21,942,992 3 Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 21,566,461
15,359,201   Sequoia Mortgage Trust 2013-6, Class A2, 3.000%, 5/25/2043 15,682,965
5,315,535 1,2 Sequoia Mortgage Trust 2014-1, Class 2A5, 4.000%, 4/25/2044 5,471,737
17,028,059 1,2 Sequoia Mortgage Trust 2014-4, Class A5, 3.500%, 11/25/2044 17,591,381
    TOTAL 144,217,961
    TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $161,987,907) 		161,384,914
    MORTGAGE-BACKED SECURITIES—74.0%  
    Federal Home Loan Mortgage Corporation—25.7%  
98,763,725 4 2.500%, 1/1/2031 - 10/1/2031 102,340,239
147,179,966 3,4 3.000%, 6/1/2031 - 10/1/2046 153,819,599
148,337,055 3,4 3.500%, 6/1/2026 - 10/1/2046 156,955,627
67,657,560   4.000%, 2/1/2020 - 9/1/2045 72,623,719
38,242,490   4.500%, 6/1/2019 - 7/1/2041 41,877,711
27,805,579   5.000%, 7/1/2019 - 5/1/2041 30,917,150
10,323,911   5.500%, 3/1/2021 - 5/1/2040 11,617,708
1,148,632   6.000%, 7/1/2029 - 9/1/2037 1,320,640
1,796,101   6.500%, 3/1/2022 - 4/1/2038 2,095,720
466,509   7.000%, 10/1/2020 - 9/1/2037 555,065
198,640   7.500%, 8/1/2029 - 5/1/2031 238,856
192,379   8.000%, 3/1/2030 - 3/1/2031 234,687
5,345   8.500%, 9/1/2025 6,346
17   9.500%, 4/1/2021 17
    TOTAL 574,603,084
    Federal National Mortgage Association—32.2%  
21,817,419 4 2.500%, 1/1/2030 - 10/1/2031 22,634,131
175,966,053 3,4 3.000%, 10/1/2027 - 10/1/2046 183,403,101
200,587,205 3 3.500%, 11/1/2025 - 11/1/2045 213,954,675
149,298,429 3 4.000%, 12/1/2025 - 5/1/2044 162,390,578
83,520,377   4.500%, 12/1/2019 - 6/1/2044 92,108,314
15,897,621   5.000%, 5/1/2023 - 10/1/2041 17,684,662
13,092,306   5.500%, 12/1/2016 - 4/1/2041 14,897,606
8,185,500   6.000%, 1/1/2029 - 2/1/2039 9,456,528
2,150,670   6.500%, 11/1/2016 - 10/1/2038 2,507,698
1,989,131   7.000%, 7/1/2023 - 6/1/2037 2,365,369
192,013   7.500%, 1/1/2030 - 6/1/2033 231,079
26,649   8.000%, 7/1/2023 - 3/1/2030 31,546
1,269   9.000%, 11/1/2021 - 6/1/2025 1,492
    TOTAL 721,666,779
    Government National Mortgage Association—16.1%  
108,059,294 4 3.000%, 11/20/2045 - 10/20/2046 113,214,799
144,534,546 4 3.500%, 12/15/2040 - 10/20/2046 153,575,188
2
Principal
Amount 		    Value
    MORTGAGE-BACKED SECURITIES—continued  
    Government National Mortgage Association—continued  
$38,053,816 3 4.000%, 9/15/2040 - 12/20/2044 $41,010,276
25,711,735   4.500%, 1/15/2039 - 11/15/2043 28,261,881
17,656,684   5.000%, 1/15/2039 - 7/15/2040 19,763,507
2,719,207   5.500%, 12/15/2038 - 2/15/2039 3,094,163
933,952   6.000%, 10/15/2028 - 6/15/2037 1,072,898
247,511   6.500%, 10/15/2028 - 2/15/2032 290,715
454,524   7.000%, 11/15/2027 - 12/15/2031 540,708
166,571   7.500%, 7/15/2029 - 1/15/2031 202,020
252,167   8.000%, 1/15/2022 - 11/15/2030 308,407
10,543   8.500%, 3/15/2022 - 5/15/2029 12,250
962   9.500%, 10/15/2020 1,076
    TOTAL 361,347,888
    TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $1,609,529,158) 		1,657,617,751
    REPURCHASE AGREEMENT—24.7%  
553,364,000   Interest in $1,135,000,000 joint repurchase agreement 0.50%, dated 9/30/2016 under which Bank of America, N.A. will repurchase securities provided as collateral for $1,135,047,292 on 10/3/2016. 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 $1,169,098,711
(IDENTIFIED COST $553,364,000) 		553,364,000
    TOTAL INVESTMENTS—121.8%
(IDENTIFIED COST $2,673,437,864)5 		2,727,490,285
    OTHER ASSETS AND LIABILITIES - NET—(21.8)%6 (489,251,213)
    TOTAL NET ASSETS—100% $2,238,239,072
At September 30, 2016, the Fund had the following outstanding futures contracts:
Description Number of
Contracts 		Notional
Value 		Expiration
Date 		Unrealized
Depreciation
7United States Treasury Notes 5-Year Short Futures 200 $24,303,125 December 2016 $(34,843)
The average notional value of short futures contracts held by the Fund throughout the period was $5,394,792. This is based on the amounts held as of each month-end throughout the nine-month fiscal period.
Unrealized Depreciation 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, 2016, these restricted securities amounted to $189,549,907, which represented 8.5% 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 September 30, 2016, these liquid restricted securities amounted to $189,549,907, which represented 8.5% of total net assets.
3 All or a portion of these securities are segregated pending settlement of dollar-roll transactions.
4 All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions.
5 At September 30, 2016, the cost of investments for federal tax purposes was $2,673,437,864. The net unrealized appreciation of investments for federal tax purposes excluding any unrealized depreciation resulting from futures contracts was $53,841,707. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $55,433,702 and net unrealized, depreciation from investments for those securities having an excess of cost over value of $1,591,995.
6 Assets, other than investments in securities, less liabilities.
7 Non-income-producing security.
Note: The categories of investments are shown as a percentage of total net assets at September 30, 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.
4
The following is a summary of the inputs used, as of September 30, 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:        
Adjustable Rate Mortgages $— $13,640,387 $— $13,640,387
Asset-Backed Securities — 194,095,117 — 194,095,117
Commercial Mortgage-Backed Securities — 147,388,116 — 147,388,116
Collateralized Mortgage Obligations — 161,384,914 — 161,384,914
Mortgage-Backed Securities — 1,657,617,751 — 1,657,617,751
Repurchase Agreement — 553,364,000 — 553,364,000
TOTAL SECURITIES $— $2,727,490,285 $— $2,727,490,285
Other Financial Instruments*        
Asset $— $— $— $—
Liability (34,843) — — (34,843)
TOTAL OTHER FINANCIAL INSTRUMENTS $(34,843) $— $— $(34,843)
* Other financial instruments include futures contracts.
The following acronyms are used throughout this portfolio:
ARM —Adjustable Rate Mortgage
FHLMC —Federal Home Loan Mortgage Corporation
FNMA —Federal National Mortgage Association
FREMF —Freddie Mac Multifamily K-Deals
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 22, 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/ John B. Fisher

 

John B. Fisher

Principal Executive Officer

 

Date November 22, 2016

 

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date November 22, 2016