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)

 

 

Peter J. Germain, 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: 10/31/18

 

 

Date of Reporting Period: Quarter ended 01/31/18

 

 

 

 

 

 

 

Item 1.Schedule of Investments

 

 

 

Emerging Markets Core Fund
Portfolio of Investments
January 31, 2018 (unaudited)
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    CORPORATE BONDS—61.1%  
    Aerospace & Defense—0.2%  
$1,800,000   Embraer Netherlands Finance BV, Sr. Unsecd. Note, 5.40%, 2/1/2027 $1,916,820
    Agency—0.1%  
500,000   Banco Nacional de Comercio Exterior, Series 144A, 3.80%, 8/11/2026 500,625
    Air Transportation—0.2%  
1,600,000   Gol Finance, Sr. Unsecd. Note, Series 144A, 7.00%, 1/31/2025 1,608,000
    Airport—0.4%  
2,200,000   Mexico City Airport Trust, Sec. Fac. Bond, Series 144A, 5.50%, 10/31/2046 2,123,550
1,400,000   Mexico City Airport Trust, Series 144A, 5.50%, 7/31/2047 1,361,500
    TOTAL 3,485,050
    Automotive—0.4%  
2,100,000   Hyundai Capital America, Sr. Unsecd. Note, Series 144A, 3.10%, 4/5/2022 2,075,500
800,000   Hyundai Capital Services, Inc., Sr. Unsecd. Note, Series 144A, 3.00%, 8/29/2022 782,867
300,000   Nemak SAB de CV, Sr. Unsecd. Note, Series 144A, 4.75%, 1/23/2025 305,703
300,000   Tata Motors Ltd., Sr. Unsecd. Note, 4.625%, 4/30/2020 306,354
    TOTAL 3,470,424
    Banking—16.3%  
1,000,000   Access Bank PLC, Sr. Unsecd. Note, Series REGS, 10.50%, 10/19/2021 1,135,000
460,000   BBVA Banco Continental, Series REGS, 5.00%, 8/26/2022 493,350
860,000   BBVA Bancomer SA Mexico, Jr. Sub. Note, Series 144A, 5.35%, 11/12/2029 864,300
466,000   BBVA Bancomer SA Texas, Jr. Sub. Note, Series 144A, 7.25%, 4/22/2020 501,532
1,200,000   BBVA Bancomer SA Texas, Sub. Note, Series REGS, 6.50%, 3/10/2021 1,296,000
1,250,000   BBVA Bancomer SA Texas, Sub. Note, Series REGS, 6.75%, 9/30/2022 1,398,125
2,000,000   Banco Bilbao Vizcaya Argentaria SA, Jr. Sub. Note, 6.125%, 2/16/2066 2,086,000
300,000   Banco Bradesco SA, Sub. Note, Series 144A, 5.90%, 1/16/2021 315,420
400,000   Banco Bradesco SA, Sub., Series 144A, 6.75%, 9/29/2019 423,000
1,200,000   Banco Bradesco SA, Sub., Series REGS, 5.75%, 3/1/2022 1,272,840
500,000   Banco Credito del Peru, Sr. Note, Series 144A, 5.375%, 9/16/2020 531,000
400,000   Banco De Bogota S.A., Sr. Unsecd. Note, Series 144A, 4.375%, 8/3/2027 401,500
800,000   Banco De Bogota S.A., Sub., Series REGS, 6.25%, 5/12/2026 870,000
730,000   Banco de Credito del Peru, Series REGS, 6.125%, 4/24/2027 803,912
1,445,000   Banco Do Brasil S.A., 3.875%, 10/10/2022 1,429,033
400,000   Banco Do Brasil S.A., Jr. Sub. Note, Series REGS, 8.50%, 4/20/2066 438,404
400,000   Banco Do Brasil S.A., Sr. Unsecd. Note, Series 144A, 4.625%, 1/15/2025 393,400
500,000   Banco Do Brasil S.A., Sub. Note, Series REGS, 5.875%, 1/19/2023 523,000
300,000   Banco do Estado do Rio Grande do Sul SA, Sub., Series 144A, 7.375%, 2/2/2022 321,000
400,000   Banco General SA, Sr. Unsecd. Note, Series 144A, 4.125%, 8/7/2027 403,400
ARS 29,600,000 1 Banco Hipotecario SA, Sr. Unsecd. Note, Series REGS, 23.7083%, (30-35 Day Argentina Dep Rates BADLAR Priv Bks ARS +2.500%), 1/12/2020 1,490,922
18,200,000 1 Banco Hipotecario SA, Unsecd. Note, Series 144A, 25.9375%, (30-35 Day Argentina Dep Rates BADLAR Priv Bks ARS +4.000%), 11/7/2022 986,801
$700,000   Banco Inbursa SA Institucion de Banca Multiple, Sr. Unsecd. Note, Series 144A, 4.375%, 4/11/2027 700,350
1,000,000   Banco Internacional del Peru, Jr. Sub. Note, Series 144A, 8.50%, 4/23/2070 1,095,505
ARS 31,300,000   Banco Macro SA, Sr. Unsecd. Note, Series 144A, 17.50%, 5/8/2022 1,522,358
1
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    CORPORATE BONDS—continued  
    Banking—continued  
$500,000   Banco Mercantil Del Nort, Jr. Sub. Note, Series 144A, 6.875%, 10/6/2066 $528,750
400,000   Banco Mercantil Del Nort, Sub., Series REGS, 5.75%, 10/4/2031 407,000
500,000   Banco Reservas Rep Domin, Series 144A, 7.00%, 2/1/2023 532,517
250,000   Banco Reservas Rep Domin, Series REGS, 7.00%, 2/1/2023 266,259
1,000,000   Bancolombia S.A., 5.95%, 6/3/2021 1,085,400
800,000   Bangkok Bank PCL, Sr. Unsecd. Note, Series REGS, 3.875%, 9/27/2022 821,146
2,200,000   Bank of China (Hong Kong) Ltd., Sr. Unsecd. Note, Series EMTN, 2.875%, 6/30/2020 2,196,370
2,630,000   Bank of China Ltd., Series 144A, 5.00%, 11/13/2024 2,776,404
5,600,000   Bank of China Ltd., Sub. Note, Series REGS, 5.00%, 11/13/2024 5,911,735
2,000,000   Bank of East Asia Ltd./The, Sub., 4.00%, 11/3/2026 1,992,920
400,000   CBQ Finance Ltd., Sub., Series REGS, 7.50%, 11/18/2019 427,652
750,000   Caixa Economica Federal, Sr. Unsecd. Note, Series REGS, 4.50%, 10/3/2018 757,875
2,000,000   China Construction Bank Corp., Sub., Series EMTN, 4.25%, 8/20/2024 2,024,836
675,000   Compania General de Combustibles SA, Sr. Unsecd. Note, Series REGS, 9.50%, 11/7/2021 723,516
530,000   Corpbanca, Series 144A, 3.875%, 9/22/2019 539,134
250,000   CorpGroup Banking SA, Sr. Unsecd. Note, Series 144A, 6.75%, 3/15/2023 252,438
1,400,000   Credit Bank of Moscow Via CBOM Finance PLC, Sub. Note, Series 144A, 7.50%, 10/5/2027 1,335,173
2,400,000   DIB Tier 1 Sukuk 2 Ltd., Jr. Sub. Note, 6.75%, 7/20/2166 2,481,000
1,200,000   Emirates NBD Tier 1 Ltd., Jr. Sub. Note, 5.75%, 11/30/2066 1,221,139
600,000   Export Credit Bank of Turkey, Sr. Unsecd. Note, Series 144A, 4.25%, 9/18/2022 583,992
7,800,000   Export-Import Bank Korea, Sr. Unsecd. Note, 2.625%, 12/30/2020 7,721,641
200,000   Export-Import Bank of China/The via Avi Funding Co. Ltd., Sr. Unsecd. Note, Series REGS, 3.80%, 9/16/2025 200,971
1,300,000   Export-Import Bank of India, Sr. Unsecd. Note, Series 144A, 3.875%, 2/1/2028 1,291,043
2,000,000   Export-Import Bank of India, Sr. Unsecd. Note, Series EMTN, 3.875%, 10/2/2019 2,030,646
1,000,000   Export-Import Bank of India, Sr. Unsecd. Note, Series EMTN, 4.00%, 1/14/2023 1,026,097
600,000   Global Bank Corp., Sr. Unsecd. Note, Series 144A, 5.125%, 10/30/2019 622,500
1,600,000   HSBC Holdings PLC, Jr. Sub. Note, 6.00%, 11/22/2066 1,678,000
1,600,000   Hazine Mustesarligi Varlik Kiralama A.S., Sr. Unsecd. Note, Series 144A, 5.004%, 4/6/2023 1,633,315
200,000   ICICI Bank Ltd., Series REGS, 5.75%, 11/16/2020 213,686
2,000,000   ICICI Bank Ltd., Sr. Unsecd. Note, Series 144A, 5.75%, 11/16/2020 2,136,864
1,000,000   ICICI Bank Ltd./Dubai, Sr. Unsecd. Note, Series 144A, 3.80%, 12/14/2027 971,945
500,000   IDBI Bank Ltd., Sr. Unsecd. Note, Series EMTN, 5.00%, 9/25/2019 511,475
1,000,000   Industrial & Commercial Bank of China, Sr. Unsecd. Note, 3.538%, 11/8/2027 975,335
1,750,000   Industrial & Commercial Bank of China, Sr. Unsecd. Note, Series MTN, 2.905%, 11/13/2020 1,738,828
4,600,000   Industrial and Commercial Bank of China, Ltd., Jr. Sub. Note, Series REGS, 6.00%, 12/10/2066 4,762,486
3,050,000   Industrial and Commercial Bank of China, Ltd., Series 144A, 6.00%, 12/10/2066 3,157,735
2,300,000   Industrial Bank of Korea, Sr. Unsecd. Note, Series 144A, 2.00%, 4/23/2020 2,247,703
200,000   Industrial Senior Trust, Sr. Unsecd. Note, Series REGS, 5.50%, 11/1/2022 202,750
1,800,000   Intesa Sanpaolo SpA, Sr. Unsecd. Note, 3.875%, 1/12/2028 1,764,581
700,000   Itau Unibanco Holding SA, Sub. Note, Series REGS, 5.65%, 3/19/2022 732,375
1,500,000   Itau Unibanco Holding SA, Sub., Series REGS, 5.50%, 8/6/2022 1,559,550
1,400,000   Itau Unibanco Holding SA, Sub., Series REGS, 6.20%, 12/21/2021 1,501,780
500,000   Itau Unibanco Holding SA, Sub., Series REGS, 6.20%, 4/15/2020 528,750
400,000   Krung Thai Bank PCL/Cayman Islands, Sub., Series EMTN, 5.20%, 12/26/2024 410,747
1,663,000   MTN Mauritius Investment Ltd., Sr. Unsecd. Note, Series 144A, 5.373%, 2/13/2022 1,720,410
521,070   Medjool Ltd., 3.875%, 3/19/2023 521,148
2,000,000   Multibank, Inc., Sr. Unsecd. Note, Series 144A, 4.375%, 11/9/2022 2,012,500
2
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    CORPORATE BONDS—continued  
    Banking—continued  
$3,000,000   National Bank of Abu Dhabi, Jr. Sub. Note, 5.25%, 12/17/2066 $3,024,888
2,500,000   Ojsc Russ Agric Bk(Rshb), Sub. Note, Series REGS, 8.50%, 10/16/2023 2,805,170
2,350,000   Pampa Energia SA, Sr. Unsecd. Note, Series 144A, 7.50%, 1/24/2027 2,573,250
1,000,000 1 QIB Sukuk Ltd., Sr. Unsecd. Note, 2.9356%, (3-month USLIBOR +1.500%), 8/18/2019 993,318
550,000   Sberbank (Sb Cap Sa), Sr. Unsecd. Note, Series 7, 5.717%, 6/16/2021 587,233
600,000   Sberbank (Sb Cap Sa), Sub. Note, Series REGS, 5.50%, 2/26/2024 612,163
2,300,000   Sberbank of Russia, Series REGS, 5.125%, 10/29/2022 2,385,689
1,000,000   Shinhan Bank, Series REGS, 2.25%, 4/15/2020 982,771
1,300,000   Shinhan Bank, Sub., Series 144A, 3.875%, 3/24/2026 1,292,755
700,000   Siam Commercial Bank PLC, Sr. Unsecd. Note, Series REGS, 3.50%, 4/7/2019 706,028
300,000   Sibur Securities DAC, Sr. Unsecd. Note, Series 144A, 4.125%, 10/5/2023 299,045
700,000   T.C. Ziraat Bankasi A.S., Sr. Unsecd. Note, Series 144A, 5.125%, 9/29/2023 691,160
2,200,000   Turkiye Garanti Bankasi AS, Sr. Unsecd. Note, Series 144A, 5.875%, 3/16/2023 2,285,404
3,200,000   Turkiye Garanti Bankasi AS, Sub., Series 144A, 6.125%, 5/24/2027 3,210,262
2,000,000   Turkiye Is Bankasi (Isbank) A.S., Series REGS, 5.50%, 4/21/2019 2,041,126
2,000,000   Turkiye Is Bankasi (Isbank) A.S., Sub., Series 144A, 7.00%, 6/29/2028 2,022,050
1,000,000   Turkiye Vakiflar Bankasi T.A.O., Series 144A, 5.00%, 10/31/2018 1,008,860
1,900,000   Turkiye Vakiflar Bankasi T.A.O., Sr. Unsecd. Note, Series 144A, 5.75%, 1/30/2023 1,893,567
1,000,000   United Bank for Africa PLC, Sr. Unsecd. Note, Series REGS, 7.75%, 6/8/2022 1,047,360
1,200,000   VTB Bank OJSC, Sub. Note, Series REGS, 9.50%, 12/6/2066 1,339,116
2,850,000   VTB Capital SA, Sub., Series REGS, 6.95%, 10/17/2022 3,086,920
2,000,000   Vnesheconombank (VEB), Bank Guarantee, Series REGS, 6.80%, 11/22/2025 2,294,940
1,000,000   Vnesheconombank (VEB), Series REGS, 6.025%, 7/5/2022 1,083,700
300,000   Wanda Properties International Co., Sr. Unsecd. Note, 7.25%, 1/29/2024 317,219
800,000   Woori Bank, Jr. Sub. Deb., Series 144A, 5.25%, 11/16/2166 814,534
300,000   Woori Bank, Series REGS, 5.00%, 6/10/2045 305,839
500,000   Woori Bank, Sr. Unsecd. Note, Series 144A, 2.625%, 7/20/2021 491,248
800,000   Woori Bank, Sub. Note, Series 144A, 5.875%, 4/13/2021 863,388
1,500,000   Yapi ve Kredi Bankasi A.S., Sr. Unsecd. Note, Series 144A, 5.85%, 6/21/2024 1,501,981
1,000,000   Zenith Bank Ltd., Sr. Unsecd. Note, Series 144A, 7.375%, 5/30/2022 1,056,400
    TOTAL 136,053,653
    Beverage & Tobacco—0.2%  
500,000   Becle SA de CV, Sr. Unsecd. Note, Series 144A, 3.75%, 5/13/2025 494,937
700,000   Embotelladora Andina S.A., Sr. Unsecd. Note, Series REGS, 5.00%, 10/1/2023 762,992
    TOTAL 1,257,929
    Broadcast Radio & TV—0.1%  
430,000   Grupo Televisa S.A., Sr. Note, 8.50%, 3/11/2032 572,103
    Building & Development—0.1%  
300,000   Doosan Heavy Industries and Construction Co. Ltd., Sr. Unsecd. Note, Series REGS, 2.125%, 4/27/2020 293,250
400,000   Odebrecht SA, Company Guarantee, Series 144A, 7.50%, 12/14/2066 159,004
700,000   Turkiye Sise ve Cam Fabrikalari A.S., Sr. Unsecd. Note, Series REGS, 4.25%, 5/9/2020 705,072
    TOTAL 1,157,326
    Building Materials—0.2%  
800,000   Cemex, Sab De Cv, Series 144A, 7.75%, 4/16/2026 908,000
800,000   Cemex, Sab De Cv, Series REGS, 6.125%, 5/5/2025 855,000
300,000   West China Cement Ltd., Sr. Unsecd. Note, 6.50%, 9/11/2019 307,359
    TOTAL 2,070,359
3
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    CORPORATE BONDS—continued  
    Business Equipment & Services—0.2%  
$1,400,000   GNL Quintero SA, Sr. Unsecd. Note, Series REGS, 4.634%, 7/31/2029 $1,468,250
    Cable & Wireless Television—0.2%  
1,400,000   VTR Finance Bv, Series REGS, 6.875%, 1/15/2024 1,477,000
    Chemicals & Plastics—1.0%  
500,000   Alpek Sa De Cv, Sr. Unsecd. Note, Series 144A, 5.375%, 8/8/2023 527,500
200,000   Braskem Finance Ltd., 6.45%, 2/3/2024 227,140
1,900,000   Braskem Netherlands Finance BV, Sr. Unsecd. Note, Series 144A, 4.50%, 1/10/2028 1,923,275
600,000   Cydsa SAB de CV, Sr. Unsecd. Note, Series 144A, 6.25%, 10/4/2027 607,800
1,600,000   Mexichem SA de CV, Sr. Unsecd. Note, Series 144A, 5.50%, 1/15/2048 1,564,000
1,200,000   OCP SA, Sr. Unsecd. Note, Series REGS, 4.50%, 10/22/2025 1,212,173
900,000   PTT Global Chemical PCL, Series REGS, 4.25%, 9/19/2022 933,366
1,000,000   Petkim Petrokimya Holding A.S., Sr. Unsecd. Note, Series 144A, 5.875%, 1/26/2023 1,015,570
    TOTAL 8,010,824
    Conglomerates—0.0%  
200,000   Arcos Dorados Holdings, Inc., Sr. Unsecd. Note, Series 144A, 5.875%, 4/4/2027 210,738
    Consumer Products—0.3%  
2,280,000   Fomento Economico Mexicano, SA de C.V., 2.875%, 5/10/2023 2,241,910
420,000   Mastellone Hermanos SA, Sr. Unsecd. Note, Series REGS, 12.625%, 7/3/2021 463,050
    TOTAL 2,704,960
    Corporate—0.4%  
3,000,000   1MDB Global Investments Ltd., Sr. Unsecd. Note, Series REGS, 4.40%, 3/9/2023 2,939,019
    Farming & Agriculture—0.6%  
4,840,000   Kazagro Natl Mgmt Hldng., Series 144A, 4.625%, 5/24/2023 4,925,668
    Finance—1.6%  
1,000,000   Corp Financi De Desarrol, Sr. Unsecd. Note, Series 144A, 4.75%, 2/8/2022 1,048,700
1,700,000   Corp Financi De Desarrol, Sr. Unsecd. Note, Series 144A, 4.75%, 7/15/2025 1,806,420
400,000   Corp Financi De Desarrol, Sub. Note, Series 144A, 5.25%, 7/15/2029 419,000
300,000   Credito Real, S.A.B. de C.V., SOFOM, E.R., Jr. Sub. Note, Series 144A, 9.125%, 5/29/2166 312,600
2,600,000   Gazprombk (GPB Finance), Sub. Note, 7.496%, 12/28/2023 2,650,664
500,000   Grupo Aval Ltd., Sr. Unsecd. Note, Series 144A, 4.75%, 9/26/2022 511,250
500,000   Gruposura Finance, Sr. Unsecd. Note, Series 144A, 5.50%, 4/29/2026 546,200
1,500,000   ICD Sukuk Co. Ltd., Sr. Unsecd. Note, Series EMTN, 5.00%, 2/1/2027 1,549,053
1,700,000   Latam Finance Ltd., Sr. Unsecd. Note, Series 144A, 6.875%, 4/11/2024 1,806,250
1,300,000   MAF Global Securities, Jr. Sub. Note, 5.50%, 9/7/2066 1,328,860
650,000   SURA Asset Management SA, Sr. Unsecd. Note, Series 144A, 4.375%, 4/11/2027 656,500
800,000   Unifin Finaciera, S.A.B. de C.V. S.O.F.O.M. E.N.R, Sr. Unsecd. Note, Series 144A, 7.00%, 1/15/2025 821,000
    TOTAL 13,456,497
    Finance - Retail—0.0%  
300,000   Alpha Holding SA, Sr. Unsecd. Note, Series 144A, 10.00%, 12/19/2022 291,750
    Financial Intermediaries—1.2%  
2,300,000   ADIB Capital Invest 1 Ltd., Jr. Sub. Note, 6.375%, 4/16/2066 2,340,480
1,500,000   Huarong Finance II Co. Ltd., Sr. Unsecd. Note, Series EMTN, 3.25%, 6/3/2021 1,483,032
2,500,000   Ooredoo International Finance Ltd., Series REGS, 3.875%, 1/31/2028 2,482,060
2,500,000   Ooredoo International Finance Ltd., Sr. Unsecd. Note, Series REGS, 5.00%, 10/19/2025 2,680,825
1,000,000   Trust F/1401, Sr. Unsecd. Note, Series 144A, 6.95%, 1/30/2044 1,094,000
    TOTAL 10,080,397
4
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    CORPORATE BONDS—continued  
    Food & Drug Retailers—0.1%  
$300,000   Cencosud SA, Sr. Unsecd. Note, Series 144A, 6.625%, 2/12/2045 $332,570
650,000   SMU SA, Sr. Unsecd. Note, Series 144A, 7.75%, 2/8/2020 663,526
    TOTAL 996,096
    Food Products—1.0%  
1,000,000   BFF International Ltd., Sr. Unsecd. Note, Series 144A, 7.25%, 1/28/2020 1,075,000
300,000   ESAL GmbH, Sr. Unsecd. Note, Series REGS, 6.25%, 2/5/2023 292,500
800,000   JBS Investments GmbH, Series REGS, 7.75%, 10/28/2020 825,000
1,000,000   JBS Investments GmbH, Sr. Unsecd. Note, Series 144A, 7.25%, 4/3/2024 1,006,250
300,000   JGSH Philippines Ltd., Sr. Unsecd. Note, 4.375%, 1/23/2023 306,918
350,000   MHP SA, Sr. Unsecd. Note, Series 144A, 7.75%, 5/10/2024 384,886
1,400,000   Marfrig Holding Europe BV, Sr. Unsecd. Note, Series 144A, 7.00%, 3/15/2024 1,407,700
700,000   Minerva Luxembourg SA, Sr. Unsecd. Note, Series 144A, 5.875%, 1/19/2028 677,565
500,000   Minerva Luxembourg SA, Sr. Unsecd. Note, Series 144A, 8.75%, 7/3/2066 524,375
750,000   Sigma Alimentos SA, Sr. Unsecd. Note, Series 144A, 4.125%, 5/2/2026 752,625
1,300,000   Sigma Alimentos SA, Sr. Unsecd. Note, Series REGS, 4.125%, 5/2/2026 1,304,550
    TOTAL 8,557,369
    Food Services—0.1%  
1,000,000   MARB BondCo PLC, Sr. Unsecd. Note, Series 144A, 6.875%, 1/19/2025 986,500
    Forest Products—0.2%  
500,000   Bahia SUL Holdings GmbH, Sr. Unsecd. Note, Series 144A, 5.75%, 7/14/2026 545,000
300,000   Inversiones CMPC SA, Sr. Unsecd. Note, Series 144A, 4.50%, 4/25/2022 314,088
1,000,000   Suzano Austria GmbH, Sr. Unsecd. Note, Series 144A, 7.00%, 3/16/2047 1,165,000
    TOTAL 2,024,088
    Health Care—0.0%  
300,000   Rede D'Or Finance Sarl, Sr. Unsecd. Note, Series 144A, 4.95%, 1/17/2028 296,813
    Home Products & Furnishings—0.1%  
1,000,000   Arcelik AS, Sr. Unsecd. Note, Series REGS, 5.00%, 4/3/2023 1,015,415
    Industrial Products & Equipment—0.1%  
200,000   Cemex Finance LLC, Series REGS, 6.00%, 4/1/2024 210,600
650,000   Grupo Kuo SAB DE CV, Sr. Unsecd. Note, Series 144A, 5.75%, 7/7/2027 668,038
    TOTAL 878,638
    Metals & Mining—5.1%  
400,000   Abja Investment Co., 5.95%, 7/31/2024 421,144
750,000   Anglogold Ashanti Holdings PLC, Sr. Unsecd. Note, 5.125%, 8/1/2022 782,813
900,000   CSN Islands XII Corp., Sr. Unsecd. Note, Series 144A, 7.00%, 12/23/2066 805,500
1,800,000   Chinalco Capital Holdings Ltd., Sr. Unsecd. Note, 4.00%, 8/25/2021 1,791,148
2,200,000   Codelco, Inc., Sr. Unsecd. Note, Series 144A, 4.25%, 7/17/2042 2,252,310
500,000   Codelco, Inc., Sr. Unsecd. Note, Series 144A, 4.50%, 8/1/2047 527,135
1,933,000   Codelco, Inc., Sr. Unsecd. Note, Series 144A, 4.50%, 9/16/2025 2,051,688
500,000   Codelco, Inc., Sr. Unsecd. Note, Series 144A, 4.875%, 11/4/2044 554,321
400,000   Codelco, Inc., Sr. Unsecd. Note, Series 144A, 6.15%, 10/24/2036 503,714
500,000   Evraz Group SA, Sr. Unsecd. Note, 8.25%, 1/28/2021 556,900
3,000,000   Evraz Group SA, Sr. Unsecd. Note, Series 144A, 5.375%, 3/20/2023 3,098,400
1,000,000   Fresnillo PLC, Series REGS, 5.50%, 11/13/2023 1,090,150
500,000   GTL Trade Finance, Inc., Sr. Unsecd. Note, Series 144A, 5.893%, 4/29/2024 542,875
1,100,000   GTL Trade Finance, Inc., Sr. Unsecd. Note, Series 144A, 7.25%, 4/16/2044 1,262,250
500,000   GTL Trade Finance, Inc., Sr. Unsecd. Note, Series REGS, 5.893%, 4/29/2024 542,875
5
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    CORPORATE BONDS—continued  
    Metals & Mining—continued  
$1,050,000   Gerdau Trade, Inc., Sr. Unsecd. Note, Series 144A, 4.875%, 10/24/2027 $1,061,498
400,000   JSW Steel Ltd., Sr. Unsecd. Note, 4.75%, 11/12/2019 405,248
1,200,000   JSW Steel Ltd., Sr. Unsecd. Note, 5.25%, 4/13/2022 1,225,651
1,800,000   Metalloinvest Finance DAC, Sr. Unsecd. Note, Series 144A, 4.85%, 5/2/2024 1,821,375
2,500,000   Minmetals Bounteous Finance BVI Ltd., Sr. Unsecd. Note, 4.20%, 7/27/2026 2,511,330
1,600,000   Rusal, Sr. Unsecd. Note, Series 144A, 4.85%, 2/1/2023 1,604,000
300,000   Severstal OAO Via Steel Capital SA, Sr. Unsecd. Note, Series REGS, 5.90%, 10/17/2022 326,667
410,000   Southern Copper Corp., Sr. Unsecd. Note, 3.875%, 4/23/2025 422,350
2,000,000   Southern Copper Corp., Sr. Unsecd. Note, 5.25%, 11/8/2042 2,274,744
1,140,000   Southern Copper Corp., Sr. Unsecd. Note, 5.875%, 4/23/2045 1,401,346
800,000   VM Holding S.A., Sr. Unsecd. Note, Series 144A, 5.375%, 5/4/2027 850,000
3,000,000   Vale Overseas Ltd., 4.375%, 1/11/2022 3,120,000
290,000   Vale Overseas Ltd., 6.875%, 11/21/2036 366,125
420,000   Vale Overseas Ltd., Sr. Unsecd. Note, 5.875%, 6/10/2021 457,590
780,000   Vale Overseas Ltd., Sr. Unsecd. Note, 6.25%, 8/10/2026 906,586
1,000,000   Vale Overseas Ltd., Sr. Unsecd. Note, 6.875%, 11/10/2039 1,268,450
650,000   Vale Overseas Ltd., Sr. Unsecd. Note, 8.25%, 1/17/2034 878,313
950,000   Vale SA, 5.625%, 9/11/2042 1,074,687
550,000   Vedanta Resources PLC, Series REGS, 8.25%, 6/7/2021 607,090
1,900,000   Vedanta Resources PLC, Sr. Unsecd. Note, Series 144A, 6.125%, 8/9/2024 1,921,787
400,000   Vedanta Resources PLC, Sr. Unsecd. Note, Series REGS, 7.125%, 5/31/2023 428,000
900,000   Volcan Compania Minera S.A.A., Series 144A, 5.375%, 2/2/2022 943,875
    TOTAL 42,659,935
    Oil & Gas—14.8%  
1,400,000   Abu Dhabi Crude Oil Pipeline, Series 144A, 4.60%, 11/2/2047 1,410,030
800,000   Bharat Petroleum Corp. Ltd., Sr. Unsecd. Note, Series EMTN, 4.00%, 5/8/2025 805,347
3,000,000   CNOOC Finance 2013 Ltd., 4.25%, 5/9/2043 3,022,053
8,500,000   CNOOC Finance 2014 ULC, 4.25%, 4/30/2024 8,803,671
1,000,000   CNPC General Capital Ltd., Sr. Unsecd. Note, Series EMTN, 2.70%, 11/25/2019 997,633
60,000   Ecopetrol SA, 4.25%, 9/18/2018 60,690
1,475,000   Ecopetrol SA, Sr. Unsecd. Note, 5.375%, 6/26/2026 1,584,740
1,000,000   Ecopetrol SA, Sr. Unsecd. Note, 5.875%, 5/28/2045 1,058,750
1,883,000   Ecopetrol SA, Sr. Unsecd. Note, 5.875%, 9/18/2023 2,067,873
900,000   Empresa Nacional del Petroleo, Note, Series 144A, 5.25%, 8/10/2020 957,825
1,170,000   Equate Petrochemical BV, Sr. Unsecd. Note, Series 144A, 3.00%, 3/3/2022 1,150,982
1,500,000   Gaz Capital SA, Sr. Unsecd. Note, Series REGS, 4.95%, 2/6/2028 1,566,960
2,000,000   Gazprom Via Gaz Capital SA, Sr. Unsecd. Note, Series 144A, 4.95%, 3/23/2027 2,085,400
2,000,000   Gazprom Via Gaz Capital SA, Sr. Unsecd. Note, Series REGS, 4.95%, 7/19/2022 2,085,624
700,000   Geopark Ltd., Series 144A, 6.50%, 9/21/2024 724,500
2,800,000   Harvest Operations Corp., Sr. Unsecd. Note, Series 144A, 3.00%, 9/21/2022 2,748,262
1,300,000   KazMunayGas National Co JSC, Sr. Unsecd. Note, Series 144A, 4.75%, 4/19/2027 1,357,509
1,700,000   KazMunayGas National Co JSC, Sr. Unsecd. Note, Series 144A, 5.75%, 4/19/2047 1,815,413
1,000,000   Lukoil International Finance BV, Series REGS, 4.563%, 4/24/2023 1,032,725
3,163,000   ONGC Videsh Ltd., 3.75%, 5/7/2023 3,184,002
672,000   Odebrecht Drill VIII/IX, Series 144A, 6.35%, 12/1/2021 667,296
350,000   Offshore Drilling Holding SA, Series 144A, 8.375%, 9/20/2020 158,375
2,100,000   Oil & Gas Holdings, Sr. Unsecd. Note, Series 144A, 7.50%, 10/25/2027 2,164,585
6
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    CORPORATE BONDS—continued  
    Oil & Gas—continued  
$826,000   PTTEP Treasury Center Co. Ltd., Jr. Sub. Note, Series REGS, 4.875%, 12/18/2066 $834,293
3,150,000   Pertamina Persero PT, Sr. Unsecd. Note, Series REGS, 5.625%, 5/20/2043 3,401,209
351,000   Pertamina PT, Note, Series REGS, 5.25%, 5/23/2021 374,398
1,700,000   Pertamina PT, Series 144A, 4.30%, 5/20/2023 1,763,668
500,000   Perusahaan Gas Negara PT, Sr. Unsecd. Note, Series REGS, 5.125%, 5/16/2024 536,672
900,000   Petrobras Global Finance BV, Sec. Fac. Bond, 7.25%, 3/17/2044 959,625
800,000   Petrobras Global Finance BV, Sr. Unsecd. Note, 4.375%, 5/20/2023 797,600
2,550,000   Petrobras Global Finance BV, Sr. Unsecd. Note, 5.75%, 2/1/2029 2,525,392
3,100,000   Petrobras Global Finance BV, Sr. Unsecd. Note, 6.25%, 3/17/2024 3,317,000
200,000   Petrobras Global Finance BV, Sr. Unsecd. Note, 6.85%, 6/5/2115 198,350
3,000,000   Petrobras Global Finance BV, Sr. Unsecd. Note, 7.375%, 1/17/2027 3,333,450
1,340,000   Petrobras Global Finance BV, Sr. Unsecd. Note, 8.75%, 5/23/2026 1,615,370
906,000   Petrobras Global Finance BV, Sr. Unsecd. Note, Series 144A, 5.299%, 1/27/2025 913,928
8,105,000   Petrobras Global Finance BV, Sr. Unsecd. Note, Series 144A, 5.999%, 1/27/2028 8,196,181
500,000   Petrobras International Finance Co., 6.875%, 1/20/2040 516,380
1,400,000   Petrobras International Finance Co., Sr. Unsecd. Note, 5.375%, 1/27/2021 1,460,900
500,000   Petroleos del Peru SA, Sr. Unsecd. Note, Series 144A, 4.75%, 6/19/2032 511,350
200,000   Petroleos Mexicanos, 5.50%, 6/27/2044 184,282
500,000   Petroleos Mexicanos, 6.50%, 6/2/2041 518,125
2,000,000   Petroleos Mexicanos, Sr. Unsecd. Note, 4.25%, 1/15/2025 1,985,400
1,000,000   Petroleos Mexicanos, Sr. Unsecd. Note, 4.875%, 1/24/2022 1,042,750
3,760,000   Petroleos Mexicanos, Sr. Unsecd. Note, 6.75%, 9/21/2047 3,948,000
6,410,000   Petroleos Mexicanos, Sr. Unsecd. Note, 6.875%, 8/4/2026 7,281,760
2,000,000   Petroleos Mexicanos, Sr. Unsecd. Note, Series 144A, 6.50%, 3/13/2027 2,187,500
6,250,000   Petroleos Mexicanos, Sr. Unsecd. Note, Series 144A, 6.50%, 3/13/2027 6,835,937
500,000   Petroleum Co. of Trinidad and Tobago Ltd., Sr. Unsecd. Note, Series REGS, 9.75%, 8/14/2019 537,500
600,000   Petronas Capital Ltd., Sr. Unsecd. Note, Series REGS, 4.50%, 3/18/2045 658,214
1,000,000   Puma International Financing SA, Sr. Unsecd. Note, Series 144A, 5.125%, 10/6/2024 1,020,612
1,000,000   Reliance Industries Ltd., Sr. Unsecd. Note, Series 144A, 3.667%, 11/30/2027 970,690
250,000   Reliance Industries Ltd., Sr. Unsecd. Note, Series 144A, 4.125%, 1/28/2025 255,334
1,500,000   Reliance Industries Ltd., Sr. Unsecd. Note, Series 144A, 4.875%, 2/10/2045 1,626,279
1,900,000   Rosneft Oil Co., Series 144A, 4.199%, 3/6/2022 1,906,945
1,800,000   Saka Energi Indonesia PT, Sr. Unsecd. Note, Series 144A, 4.45%, 5/5/2024 1,826,239
2,000,000   Sinochem Offshore Capital Co. Ltd., Sr. Unsecd. Note, Series REGS, 3.25%, 4/29/2019 2,007,771
1,400,000   Sinopec Group Overseas Development 2015 Ltd., Sr. Unsecd. Note, Series 144A, 3.25%, 4/28/2025 1,363,613
2,100,000   Sinopec Group Overseas Development 2017 Ltd., Sr. Unsecd. Note, Series 144A, 3.625%, 4/12/2027 2,072,011
1,400,000   Southern Gas Corridor CJSC, Unsecd. Note, Series 144A, 6.875%, 3/24/2026 1,604,029
1,000,000   State Oil Co. Of The Azer, Series EMTN, 4.75%, 3/13/2023 1,025,285
300,000   Thai Oil PCL, Series 144A, 4.875%, 1/23/2043 320,988
900,000   Transport de Gas Peru, Series 144A, 4.25%, 4/30/2028 927,000
500,000   Trinidad Generation Unlimited, Sr. Unsecd. Note, Series 144A, 5.25%, 11/4/2027 511,400
1,500,000   Tullow Oil PLC, Sr. Unsecd. Note, Series 144A, 6.25%, 4/15/2022 1,545,000
2,500,000   Turkiye Petrol Rafinerileri AS, Sr. Unsecd. Note, Series 144A, 4.50%, 10/18/2024 2,464,340
2,800,000   YPF Sociedad Anonima, Series 144A, 8.75%, 4/4/2024 3,181,500
800,000   YPF Sociedad Anonima, Sr. Unsecd. Note, Series 144A, 6.95%, 7/21/2027 829,760
400,000   YPF Sociedad Anonima, Sr. Unsecd. Note, Series 144A, 7.00%, 12/15/2047 381,160
    TOTAL 123,785,435
7
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    CORPORATE BONDS—continued  
    Paper Products—0.3%  
$1,300,000   Fibria Overseas Finance, Sr. Unsecd. Note, 4.00%, 1/14/2025 $1,305,674
800,000   Fibria Overseas Finance, Sr. Unsecd. Note, 5.50%, 1/17/2027 865,000
    TOTAL 2,170,674
    Pharmaceuticals—0.2%  
1,400,000   Teva Pharmaceutical Industries Ltd., Sr. Unsecd. Note, 2.95%, 12/18/2022 1,278,142
    Printing & Publishing—0.1%  
600,000   Myriad International Holdings BV, Sr. Unsecd. Note, Series 144A, 4.85%, 7/6/2027 627,000
    Rail Industry—0.0%  
200,000   Georgian Railway JSC, Sr. Unsecd. Note, Series REGS, 7.75%, 7/11/2022 224,400
    Real Estate—2.5%  
1,000,000   Alpha Star Holding Ltd., 4.97%, 4/9/2019 1,010,248
5,300,000   China Overseas Finance Cayman V Ltd., Sr. Unsecd. Note, Series A, 3.95%, 11/15/2022 5,401,283
2,000,000   Country Garden Holdings Co., Sr. Unsecd. Note, 7.50%, 3/9/2020 2,077,328
2,000,000   DIFC Sukuk Ltd., Sr. Unsecd. Note, 4.325%, 11/12/2024 2,063,290
600,000   EMG Sukuk LTD., Sr. Unsecd. Note, 4.564%, 6/18/2024 622,657
4,300,000   Franshion Brilliant Ltd., 5.75%, 3/19/2019 4,416,861
2,500,000   Franshion Brilliant Ltd., Sub. Note, 5.75%, 7/17/2066 2,540,438
1,200,000   Shimao Property Holdings Ltd., Sr. Unsecd. Note, 4.75%, 7/3/2022 1,201,500
1,311,000   Yanlord Land Group Ltd., Sr. Unsecd. Note, 5.875%, 1/23/2022 1,342,088
    TOTAL 20,675,693
    Retailers—0.4%  
900,000   Golden Eagle Retail Group Ltd., Sr. Unsecd. Note, Series REGS, 4.625%, 5/21/2023 844,920
200,000   InRetail Consumer, Sr. Unsecd. Note, Series 144A, 5.25%, 10/10/2021 207,250
1,200,000   JD.com, Inc., Sr. Unsecd. Note, 3.875%, 4/29/2026 1,186,045
400,000   SM Investments Corp., Sr. Unsecd. Note, 4.25%, 10/17/2019 412,046
800,000   Saci Falabella, Series REGS, 3.75%, 4/30/2023 818,152
    TOTAL 3,468,413
    Sovereign—0.3%  
2,000,000   Kazakhstan Temir Zholy, Sr. Unsecd. Note, Series 144A, 4.85%, 11/17/2027 2,089,506
500,000   Kazakhstan Temir Zholy, Sr. Unsecd. Note, Series REGS, 6.95%, 7/10/2042 594,966
    TOTAL 2,684,472
    State/Provincial—2.3%  
4,600,000   Buenos Aires, City of, Sr. Unsecd. Note, Series 144A, 8.95%, 2/19/2021 5,002,500
400,000   Province of Santa Fe, Sr. Unsecd. Note, Series 144A, 6.90%, 11/1/2027 410,332
1,100,000   Province of Santa Fe, Sr. Unsecd. Note, Series 144A, 7.00%, 3/23/2023 1,171,390
4,800,000   Provincia De Buenos Aires, Series REGS, 10.875%, 1/26/2021 5,340,000
5,200,000   Provincia De Buenos Aires, Sr. Unsecd. Note, Series 144A, 7.875%, 6/15/2027 5,538,000
1,300,000   Provincia De Cordoba, Sr. Unsecd. Note, Series 144A, 7.45%, 9/1/2024 1,385,306
    TOTAL 18,847,528
    Steel—0.0%  
200,000   OJSC Novo (Steel Funding), Sr. Unsecd. Note, Series REGS, 4.00%, 9/21/2024 199,430
    Technology Services—1.5%  
1,100,000   Alibaba Group Holding Ltd., Sr. Unsecd. Note, 3.40%, 12/6/2027 1,068,994
4,000,000   Alibaba Group Holding Ltd., Sr. Unsecd. Note, 3.60%, 11/28/2024 4,051,865
1,600,000   Baidu, Inc., Sr. Unsecd. Note, 3.625%, 7/6/2027 1,557,029
2,000,000   Lenovo Group Ltd., Sr. Unsecd. Note, Series EMTN, 3.875%, 3/16/2022 1,981,862
1,000,000   Tencent Holdings Ltd., Sr. Unsecd. Note, Series 144A, 3.595%, 1/19/2028 984,484
8
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    CORPORATE BONDS—continued  
    Technology Services—continued  
$2,500,000   Tencent Holdings Ltd., Sr. Unsecd. Note, Series 144A, 3.80%, 2/11/2025 $2,544,242
    TOTAL 12,188,476
    Telecommunications & Cellular—3.0%  
500,000   America Movil S.A.B. de C.V., 3.125%, 7/16/2022 500,584
400,000   America Movil S.A.B. de C.V., 6.125%, 3/30/2040 498,018
1,025,000   America Movil S.A.B. de C.V., Company Guarantee, 5.00%, 3/30/2020 1,074,451
MXN 84,500,000   America Movil S.A.B. de C.V., Sr. Secd. Note, 6.00%, 6/9/2019 4,383,508
$500,000   Bharti Airtel Ltd., Sr. Unsecd. Note, Series 144A, 4.375%, 6/10/2025 500,351
1,800,000   Bharti Airtel Ltd., Sr. Unsecd. Note, Series REGS, 4.375%, 6/10/2025 1,801,262
1,500,000   Colombia Telecomunicaciones SA ESP, Sr. Unsecd. Note, Series REGS, 5.375%, 9/27/2022 1,528,125
1,000,000   Comcel Trust, Series REGS, 6.875%, 2/6/2024 1,059,200
1,100,000   Digicel Group Ltd., Sr. Unsecd. Note, Series REGS, 7.125%, 4/1/2022 1,040,875
500,000   Digicel Group Ltd., Sr. Unsecd. Note, Series REGS, 8.25%, 9/30/2020 496,925
750,000   Digicel Ltd., Sr. Unsecd. Note, Series 144A, 6.00%, 4/15/2021 745,313
800,000   GTH Finance B.V., Sr. Unsecd. Note, Series 144A, 6.25%, 4/26/2020 835,072
1,000,000   GTH Finance B.V., Sr. Unsecd. Note, Series 144A, 7.25%, 4/26/2023 1,116,675
1,200,000   HTA Group Ltd., Sr. Unsecd. Note, Series 144A, 9.125%, 3/8/2022 1,283,820
500,000   IHS Netherlands Holdco BV, Sr. Unsecd. Note, Series REGS, 9.50%, 10/27/2021 534,419
600,000   Liquid Telecommunications Financing PLC, Sec. Fac. Bond, Series 144A, 8.50%, 7/13/2022 642,630
3,100,000   Proven Honour Capital, Sr. Unsecd. Note, 4.125%, 5/19/2025 3,125,950
200,000   Telfon Celuar Del Paraguay, Sr. Unsecd. Note, Series REGS, 6.75%, 12/13/2022 206,194
700,000   Turkcell Iletisim Hizmetleri A.S., Unsecd. Note, Series 144A, 5.75%, 10/15/2025 752,937
500,000   Veon Holdings BV, Sr. Unsecd. Note, Series REGS, 5.95%, 2/13/2023 533,500
2,000,000   Vimpelcom, Sr. Unsecd. Note, Series 144A, 4.95%, 6/16/2024 2,013,000
    TOTAL 24,672,809
    Transportation—0.8%  
2,000,000   Adani Ports and Special, Sr. Unsecd. Note, Series 144A, 3.95%, 1/19/2022 2,026,822
200,000   DP World Ltd., Series REGS, 6.85%, 7/2/2037 250,471
500,000   Empresa De Transporte ME, Sr. Unsecd. Note, Series 144A, 5.00%, 1/25/2047 541,250
310,000   Global Ports (Finance) PLC, Sr. Unsecd. Note, Series REGS, 6.50%, 9/22/2023 326,356
500,000   JSL Europe SA, Series 144A, 7.75%, 7/26/2024 526,500
1,800,000   Lima Metro Line 2 Finance Ltd., Series 144A, 5.875%, 7/5/2034 1,956,150
500,000   Rumo Luxembourg Sarl, Sr. Unsecd. Note, Series 144A, 5.875%, 1/18/2025 507,187
400,000   Rumo Luxembourg Sarl, Sr. Unsecd. Note, Series 144A, 7.375%, 2/9/2024 437,500
    TOTAL 6,572,236
    Utilities—4.5%  
400,000   AES Argentina Generacion SA, Sr. Unsecd. Note, Series 144A, 7.75%, 2/2/2024 430,164
2,600,000   Abu Dhabi National Energy Co. PJSC, Sr. Unsecd. Note, Series REGS, 4.375%, 6/22/2026 2,674,945
1,300,000   Azure Power Energy Ltd., Series 144A, 5.50%, 11/3/2022 1,309,815
600,000   Centrais Eletricas Brasileiras SA, Sr. Unsecd. Note, Series 144A, 5.75%, 10/27/2021 622,500
600,000   Centrais Eletricas Brasileiras SA, Sr. Unsecd. Note, Series REGS, 6.875%, 7/30/2019 630,000
1,951,000   China Oil & Gas Group Ltd., Sr. Unsecd. Note, 5.00%, 5/7/2020 1,985,142
1,100,000   Colbun SA, Sr. Unsecd. Note, Series 144A, 3.95%, 10/11/2027 1,093,813
200,000   Comision Federal de Electricidad, Sr. Unsecd. Note, Series 144A, 4.75%, 2/23/2027 207,350
1,650,000   Comision Federal de Electricidad, Sr. Unsecd. Note, Series REGS, 4.875%, 1/15/2024 1,734,562
300,000   Empresa Electrica Guarcolda SA, Sr. Unsecd. Note, Series REGS, 4.56%, 4/30/2025 288,483
515,000   Enersis Americas SA, Sr. Unsecd. Note, 4.00%, 10/25/2026 521,232
9
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    CORPORATE BONDS—continued  
    Utilities—continued  
$3,100,000   Eskom Holdings Ltd., Sr. Unsecd. Note, Series REGS, 5.75%, 1/26/2021 $3,134,453
250,000   Genneia SA, Sr. Unsecd. Note, Series 144A, 8.75%, 1/20/2022 273,625
500,000   Greenko Investment Co,, Sr. Secd. Note, Series REGS, 4.875%, 8/16/2023 488,791
1,600,000   Hrvatska Elektroprivreda, Sr. Unsecd. Note, Series 144A, 5.875%, 10/23/2022 1,762,000
700,000   Indo Energy Finance II, Series REGS, 6.375%, 1/24/2023 715,849
550,000   Infraestructura Energetica Nova, S.A.B. de C.V, Sr. Unsecd. Note, Series 144A, 3.75%, 1/14/2028 536,305
400,000   Inkia Energy Ltd., Series 144A, 5.875%, 11/9/2027 403,880
600,000   Instituto Costarricense de Electricidad, Sr. Unsecd. Note, Series REGS, 6.375%, 5/15/2043 549,000
4,200,000   Israel Electric Corp. Ltd., Series REGS, 7.25%, 1/15/2019 4,378,710
200,000   Majapahit Holding BV, Series REGS, 7.875%, 6/29/2037 269,000
750,000   Minejesa Capital BV, Sec. Fac. Bond, Series 144A, 4.625%, 8/10/2030 758,393
1,050,000   Minejesa Capital BV, Sec. Fac. Bond, Series 144A, 5.625%, 8/10/2037 1,104,122
1,800,000   NTPC Ltd., Series EMTN, 4.375%, 11/26/2024 1,877,366
1,000,000   Neerg Energy Ltd., Sr. Secd. Note, Series 144A, 6.00%, 2/13/2022 1,018,856
3,000,000   Perusahaan Listrik Negara PT, Sr. Unsecd. Note, Series 144A, 4.125%, 5/15/2027 2,998,282
3,000,000   State Grid Overseas Investment 2016 Ltd., Series 144A, 3.50%, 5/4/2027 2,950,188
3,000,000   TNB Global Ventures Capital Bhd, Sr. Unsecd. Note, Series EMTN, 3.244%, 10/19/2026 2,868,267
300,000   Yingde Gases Investment Ltd., Series 144A, 6.25%, 1/19/2023 302,191
    TOTAL 37,887,284
    TOTAL CORPORATE BONDS
(IDENTIFIED COST $497,960,771) 		510,354,238
    FOREIGN GOVERNMENTS/AGENCIES—32.4%  
    Banking—0.1%  
500,000   Banque Centrale de Tunisia International Bond, Sr. Unsecd. Note, Series REGS, 5.75%, 1/30/2025 495,300
    Sovereign—32.3%  
437,500   Angola, Government of, Sr. Unsecd. Note, 7.00%, 8/17/2019 449,269
1,000,000   Angola, Government of, Sr. Unsecd. Note, Series REGS, 9.50%, 11/12/2025 1,170,840
1,000,000   Argentina, Government of, Sr. Unsecd. Note, 4.625%, 1/11/2023 977,000
1,630,000   Argentina, Government of, Sr. Unsecd. Note, 5.625%, 1/26/2022 1,671,565
1,000,000   Argentina, Government of, Sr. Unsecd. Note, 5.875%, 1/11/2028 973,000
1,000,000   Argentina, Government of, Sr. Unsecd. Note, 6.875%, 1/11/2048 968,500
3,755,000   Argentina, Government of, Sr. Unsecd. Note, 6.875%, 1/26/2027 3,957,808
7,000,000   Argentina, Government of, Sr. Unsecd. Note, 7.50%, 4/22/2026 7,717,500
200,000   Armenia, Government of, Sr. Unsecd. Note, Series REGS, 7.15%, 3/26/2025 229,100
400,000   Bahrain, Government of, Sr. Unsecd. Note, Series 144A, 6.75%, 9/20/2029 394,600
2,650,000   Bahrain, Government of, Sr. Unsecd. Note, Series 144A, 7.00%, 10/12/2028 2,699,099
2,300,000   Bahrain, Government of, Sr. Unsecd. Note, Series REGS, 7.00%, 1/26/2026 2,409,250
1,500,000   Bahrain, Government of, Sr. Unsecd. Note, Series REGS, 7.00%, 10/12/2028 1,527,792
200,000   Bahrain, Government of, Unsecd. Note, Series REGS, 6.00%, 9/19/2044 172,000
600,000   Belarus, Government of, Sr. Unsecd. Note, Series 144A, 7.625%, 6/29/2027 697,560
270,000   Belize, Government of, Sr. Unsecd. Note, Series 144A, 4.9375%, 2/20/2034 160,650
1,300,000   Bermuda, Government of, Sr. Unsecd. Note, Series 144A, 4.138%, 1/3/2023 1,356,368
1,200,000   Bolivia, Government of, Sr. Unsecd. Note, Series 144A, 4.50%, 3/20/2028 1,185,000
1,100,000   Brazil, Government of, Sr. Secd. Note, 5.625%, 2/21/2047 1,102,750
1,700,000   Brazil, Government of, Sr. Unsecd. Note, 4.625%, 1/13/2028 1,688,100
1,200,000   Brazil, Government of, Sr. Unsecd. Note, 5.00%, 1/27/2045 1,111,800
1,500,000   Brazil, Government of, Sr. Unsecd. Note, 5.625%, 1/7/2041 1,509,750
10
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    FOREIGN GOVERNMENTS/AGENCIES—continued  
    Sovereign—continued  
$5,400,000   Brazil, Government of, Sr. Unsecd. Note, 6.00%, 4/7/2026 $5,988,600
1,800,000   Cameroon, Government of, Sr. Unsecd. Note, Series 144A, 9.50%, 11/19/2025 2,134,188
1,100,000   Chile, Government of, Sr. Unsecd. Note, 3.24%, 2/6/2028 1,095,050
2,000,000   Colombia, Government of, Sr. Unsecd. Note, 3.875%, 4/25/2027 2,018,000
600,000   Colombia, Government of, Sr. Unsecd. Note, 4.375%, 7/12/2021 630,000
600,000   Colombia, Government of, Sr. Unsecd. Note, 5.00%, 6/15/2045 631,200
3,000,000   Colombia, Government of, Sr. Unsecd. Note, 5.625%, 2/26/2044 3,426,000
COP 5,900,000,000   Colombia, Government of, Sr. Unsecd. Note, 6.00%, 4/28/2028 2,001,839
$1,500,000   Costa Rica, Government of, Series 144A, 4.25%, 1/26/2023 1,455,000
830,000   Costa Rica, Government of, Series REGS, 4.375%, 4/30/2025 798,875
1,200,000   Costa Rica, Government of, Sr. Unsecd. Note, Series 144A, 7.158%, 3/12/2045 1,278,000
1,200,000   Dominican Republic, Government of, Series 144A, 5.875%, 4/18/2024 1,284,000
2,400,000   Dominican Republic, Government of, Sr. Unsecd. Note, Series 144A, 5.50%, 1/27/2025 2,508,000
1,000,000   Dominican Republic, Government of, Sr. Unsecd. Note, Series 144A, 6.85%, 1/27/2045 1,112,500
1,000,000   Dominican Republic, Government of, Sr. Unsecd. Note, Series REGS, 7.45%, 4/30/2044 1,182,500
1,200,000   Dominican Republic, Government of, Sr. Unsecd. Note, Series REGS, 7.50%, 5/6/2021 1,302,600
800,000   Dubai, Government of, 5.25%, 1/30/2043 813,317
500,000   Ecuador, Government of, Series 144A, 7.95%, 6/20/2024 528,750
1,600,000   Ecuador, Government of, Series REGS, 7.95%, 6/20/2024 1,692,000
600,000   Ecuador, Government of, Sr. Unsecd. Note, Series 144A, 10.50%, 3/24/2020 658,500
1,400,000   Ecuador, Government of, Sr. Unsecd. Note, Series 144A, 8.875%, 10/23/2027 1,524,250
400,000   Ecuador, Government of, Sr. Unsecd. Note, Series 144A, 9.625%, 6/2/2027 454,000
1,700,000   Egypt, Government of, Sr. Unsecd. Note, Series 144A, 8.50%, 1/31/2047 1,947,350
EGP 56,600,000 2 Egypt, Government of, Unsecd. Note, 19.00%, 2/6/2018 3,203,329
60,800,000 2 Egypt, Government of, Unsecd. Note, 18.10%, 3/13/2018 3,381,124
106,300,000 2 Egypt, Government of, Unsecd. Note, 18.10%, 4/10/2018 5,832,945
83,200,000 2 Egypt, Government of, Unsecd. Note, 18.45%, 5/8/2018 4,506,665
$1,150,000   El Salvador, Government of, Sr. Unsecd. Note, Series 144A, 8.625%, 2/28/2029 1,354,125
300,000   El Salvador, Government of, Sr. Unsecd. Note, Series REGS, 7.65%, 6/15/2035 329,250
200,000   El Salvador, Government of, Sr. Unsecd. Note, Series REGS, 8.625%, 2/28/2029 235,500
300,000   Ethiopia, Government of, Sr. Unsecd. Note, Series REGS, 6.625%, 12/11/2024 316,938
3,000,000   Gabon, Government of, Series REGS, 6.375%, 12/12/2024 3,030,600
4,000,000   Ghana, Government of, Series REGS, 7.875%, 8/7/2023 4,352,000
900,000   Ghana, Government of, Sr. Unsecd. Note, Series REGS, 9.25%, 9/15/2022 1,017,162
500,000   Ghana, Government of, Unsecd. Note, Series REGS, 10.75%, 10/14/2030 680,350
1,000,000   Guatemala, Government of, Sr. Unsecd. Note, Series REGS, 5.75%, 6/6/2022 1,066,590
700,000   Honduras, Government of, Sr. Unsecd. Note, Series REGS, 7.50%, 3/15/2024 787,500
970,000   Hungary, Government of, 5.75%, 11/22/2023 1,096,178
250,000   Hungary, Government of, 6.375%, 3/29/2021 275,250
1,300,000   Indonesia, Government of, Series REGS, 5.375%, 10/17/2023 1,431,739
1,050,000   Indonesia, Government of, Sr. Unsecd. Note, Series 144A, 3.85%, 7/18/2027 1,066,646
800,000   Indonesia, Government of, Sr. Unsecd. Note, Series 144A, 4.15%, 3/29/2027 816,000
3,500,000   Indonesia, Government of, Sr. Unsecd. Note, Series 144A, 4.55%, 3/29/2026 3,667,650
250,000   Indonesia, Government of, Sr. Unsecd. Note, Series 144A, 4.75%, 7/18/2047 259,623
7,200,000   Indonesia, Government of, Sr. Unsecd. Note, Series REGS, 4.75%, 1/8/2026 7,718,789
1,300,000   Indonesia, Government of, Sr. Unsecd. Note, Series REGS, 5.25%, 1/17/2042 1,430,274
6,600,000   Indonesia, Government of, Unsecd. Note, Series 144A, 4.35%, 9/10/2024 6,862,614
11
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    FOREIGN GOVERNMENTS/AGENCIES—continued  
    Sovereign—continued  
$2,500,000   Iraq, Government of, Unsecd. Note, Series REGS, 5.80%, 1/15/2028 $2,474,050
2,400,000   Israel, Government of, Sr. Unsecd. Note, 2.875%, 3/16/2026 2,340,432
1,000,000   Ivory Coast, Government of, Sr. Unsecd. Note, Series 144A, 6.125%, 6/15/2033 1,024,012
1,942,920   Ivory Coast, Government of, Sr. Unsecd. Note, Series REGS, 5.75%, 12/31/2032 1,926,794
2,800,000   Jamaica, Government of, Sr. Unsecd. Note, 6.75%, 4/28/2028 3,206,000
450,000   Jordan, Government of, Sr. Unsecd. Note, Series 144A, 7.375%, 10/10/2047 483,583
2,500,000   Kazakhstan, Government of, Series REGS, 4.875%, 10/14/2044 2,655,335
700,000   Kazakhstan, Government of, Sr. Unsecd. Note, Series 144A, 5.125%, 7/21/2025 777,000
300,000   Kenya, Government of, Series 144A, 6.875%, 6/24/2024 316,035
2,500,000   Kenya, Government of, Series REGS, 6.875%, 6/24/2024 2,633,625
2,200,000   Lebanon, Government of, Sr. Secd. Note, 6.10%, 10/4/2022 2,197,070
4,200,000   Lebanon, Government of, Sr. Unsecd. Note, 5.45%, 11/28/2019 4,185,594
1,500,000   Lebanon, Government of, Sr. Unsecd. Note, 6.25%, 11/4/2024 1,469,670
650,000   Lebanon, Government of, Sr. Unsecd. Note, 6.75%, 11/29/2027 635,726
3,000,000   Lebanon, Government of, Sr. Unsecd. Note, Series REGS, 8.25%, 4/12/2021 3,195,360
1,700,000   Mexico, Government of, 3.75%, 1/11/2028 1,667,700
400,000   Mexico, Government of, 4.00%, 10/2/2023 413,200
5,200,000   Mexico, Government of, 4.125%, 1/21/2026 5,356,000
1,500,000   Mexico, Government of, 4.75%, 3/8/2044 1,498,500
3,200,000   Mexico, Government of, Sr. Secd. Note, 4.35%, 1/15/2047 3,035,200
4,200,000   Mexico, Government of, Sr. Unsecd. Note, 3.60%, 1/30/2025 4,204,200
700,000   Mexico, Government of, Sr. Unsecd. Note, 4.15%, 3/28/2027 716,800
1,200,000   Mexico, Government of, Sr. Unsecd. Note, 4.60%, 1/23/2046 1,173,000
1,500,000   Mongolia, Government of, Sr. Unsecd. Note, Series REGS, 5.125%, 12/5/2022 1,503,756
1,000,000   Nigeria, Government of, Sr. Unsecd. Note, Series 144A, 6.50%, 11/28/2027 1,037,580
1,200,000   Nigeria, Government of, Sr. Unsecd. Note, Series REGS, 6.375%, 7/12/2023 1,275,360
1,000,000   Nigeria, Government of, Sr. Unsecd. Note, Series REGS, 6.50%, 11/28/2027 1,037,580
600,000   Nigeria, Government of, Unsecd. Note, Series 144A, 7.875%, 2/16/2032 677,460
1,000,000   Oman, Government of, Sr. Unsecd. Note, Series 144A, 5.625%, 1/17/2028 1,006,930
1,600,000   Oman, Government of, Sr. Unsecd. Note, Series 144A, 6.50%, 3/8/2047 1,598,080
400,000   Oman, Government of, Sr. Unsecd. Note, Series 144A, 6.75%, 1/17/2048 406,800
500,000   Pakistan, Government of, Sr. Unsecd. Note, Series 144A, 6.875%, 12/5/2027 504,826
1,000,000   Pakistan, Government of, Unsecd. Note, Series 144A, 6.75%, 12/3/2019 1,035,530
4,300,000   Panama, Government of, Sr. Unsecd. Note, 3.75%, 3/16/2025 4,441,900
700,000   Panama, Government of, Sr. Unsecd. Note, 4.30%, 4/29/2053 722,050
1,600,000   Paraguay, Government of, Series 144A, 6.10%, 8/11/2044 1,828,000
600,000   Paraguay, Government of, Sr. Unsecd. Note, Series 144A, 4.70%, 3/27/2027 623,250
400,000   Peru, Government of, 6.55%, 3/14/2037 534,600
600,000   Peru, Government of, Bond, 8.75%, 11/21/2033 944,100
1,500,000   Peru, Government of, Sr. Unsecd. Note, 4.125%, 8/25/2027 1,603,500
2,300,000   Philippines, Government of, 6.375%, 1/15/2032 2,952,958
3,400,000   Philippines, Government of, Sr. Unsecd. Note, 3.95%, 1/20/2040 3,446,430
2,100,000   Poland, Government of, Sr. Unsecd. Note, 3.25%, 4/6/2026 2,113,167
400,000   Qatar, Government of, Sr. Unsecd. Note, Series REGS, 4.625%, 6/2/2046 404,288
600,000   Romania, Government of, Series REGS, 4.375%, 8/22/2023 633,900
1,600,000   Russia, Government of, Series REGS, 5.625%, 4/4/2042 1,792,000
800,000   Russia, Government of, Sr. Unsecd. Note, Series 144A, 4.75%, 5/27/2026 850,200
12
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    FOREIGN GOVERNMENTS/AGENCIES—continued  
    Sovereign—continued  
$3,200,000   Russia, Government of, Sr. Unsecd. Note, Series 144A, 5.25%, 6/23/2047 $3,368,000
1,000,000   Russia, Government of, Sr. Unsecd. Note, Series REGS, 5.25%, 6/23/2047 1,052,500
3,700,000   Saudi Arabia, Government of, Sr. Unsecd. Note, Series 144A, 3.625%, 3/4/2028 3,616,750
1,200,000   Saudi Arabia, Government of, Sr. Unsecd. Note, Series REGS, 4.50%, 10/26/2046 1,169,304
200,000   Senegal, Government of, Unsecd. Note, Series 144A, 6.25%, 5/23/2033 209,124
600,000   Serbia, Government of, Series REGS, 7.25%, 9/28/2021 678,685
1,800,000   South Africa, Government of, Sr. Unsecd. Note, 4.665%, 1/17/2024 1,843,351
500,000   South Africa, Government of, Sr. Unsecd. Note, 5.65%, 9/27/2047 513,515
ZAR 53,910,000   South Africa, Government of, Unsecd. Note, 8.25%, 3/31/2032 4,217,110
$3,700,000   Sri Lanka, Government of, Series REGS, 6.85%, 11/3/2025 4,046,938
200,000   Suriname, Government of, Sr. Unsecd. Note, Series 144A, 9.25%, 10/26/2026 211,000
1,900,000   Turkey, Government of, 3.25%, 3/23/2023 1,795,994
1,600,000   Turkey, Government of, 5.125%, 2/17/2028 1,570,544
5,000,000   Turkey, Government of, Sr. Unsecd. Note, 4.25%, 4/14/2026 4,718,850
6,000,000   Turkey, Government of, Sr. Unsecd. Note, 4.875%, 4/16/2043 5,143,200
TRY 6,750,000   Turkey, Government of, Unsecd. Note, 8.50%, 7/10/2019 1,697,562
$3,700,000   Ukraine, Government of, Sr. Unsecd. Note, Series REGS, 7.75%, 9/1/2022 4,031,520
1,500,000   Ukraine, Government of, Sr. Unsecd. Note, Series REGS, 7.75%, 9/1/2023 1,629,645
2,600,000   Ukraine, Government of, Sr. Unsecd. Note, Series REGS, 7.75%, 9/1/2024 2,813,408
412,000   Ukraine, Government of, Unsecd. Note, Series 144A, 7.75%, 9/1/2019 434,962
1,505,000 4 Ukraine, Government of, Unsecd. Note, Series GDP, Series 144A, 0.00%, 5/31/2040 1,022,097
700,000   Ukraine, Government of, Unsecd. Note, Series REGS, 7.75%, 9/1/2019 739,012
430,970   Uruguay, Government of, 4.375%, 10/27/2027 457,906
UYU 20,600,000   Uruguay, Government of, Series 144A, 9.875%, 6/20/2022 752,259
27,672,056   Uruguay, Government of, Sr. Unsecd. Note, 4.375%, 12/15/2028 1,092,446
$5,400,000   Uruguay, Government of, Sr. Unsecd. Note, 5.10%, 6/18/2050 5,864,400
UYU 12,000,000   Uruguay, Government of, Sr. Unsecd. Note, Series 144A, 8.50%, 3/15/2028 410,322
$1,500,000 3,4 Venezuela, Government of, 8.25%, 10/13/2024 390,000
5,000,000 3,4 Venezuela, Government of, Note, 7.65%, 4/21/2025 1,300,000
700,000   Vietnam, Government of, Sr. Unsecd. Note, Series 144A, 6.75%, 1/29/2020 746,837
2,800,000   Zambia, Government of, Series 144A, 8.97%, 7/30/2027 3,105,844
3,700,000   Zambia, Government of, Series REGS, 5.375%, 9/20/2022 3,600,766
    TOTAL 270,115,643
    TOTAL FOREIGN GOVERNMENTS/AGENCIES
(IDENTIFIED COST $263,416,016) 		270,610,943
    U.S. TREASURY—0.1%  
    U.S. Treasury Notes—0.1%  
600,000   United States Treasury Note, 0.75%, 2/28/2018
(IDENTIFIED COST $598,711) 		599,672
    PURCHASED PUT OPTIONS—0.0%  
19,519,250 5 CITI EUR PUT/USD CALL, Notional Amount $ 19,519,250, Exercise Price $1.20, Expiration Date 2/1/2018 0
24,733,710   CITI EUR PUT/USD CALL, Notional Amount $ 24,733,710, Exercise Price $1.24, Expiration Date 2/9/2018 133,958
    TOTAL PURCHASED PUT OPTIONS
(IDENTIFIED COST $250,761) 		133,958
13
Principal,
Foreign
Currency
Par Amount,
Contracts
or Shares 		    Value in
U.S. Dollars
    INVESTMENT COMPANY—6.5%  
54,223,640 6 Federated Institutional Prime Value Obligations Fund, Institutional Shares, 1.51%7
(IDENTIFIED COST $54,223,640) 		$54,223,640
    TOTAL INVESTMENT IN SECURITIES—100.1%
(IDENTIFIED COST $816,449,889) 		835,922,451
    OTHER ASSETS AND LIABILITIES - NET—(0.1)%8 (488,287)
    TOTAL NET ASSETS—100% $835,434,164
At January 31, 2018, the Fund had the following outstanding futures contracts:
Description Number of
Contracts 		Notional
Value 		Expiration
Date 		Value and
Unrealized
Appreciation
(Depreciation)
4United States Treasury Ultra 10-Year Long Futures 126 $16,405,594 March 2018 $(114,482)
The average notional value of long futures contracts held by the Fund throughout the period was $4,101,398. This is based on amounts held as of each month-end throughout the three-month fiscal period.
At January 31, 2018, the Fund had the following outstanding foreign exchange contracts:
Settlement Date Counterparty Currency
Units to
Deliver/Receive 		In
Exchange
For 		Unrealized
Appreciation
(Depreciation)
Contracts Purchased:
2/8/2018 JPMorgan Chase 6,720,000 EUR 513,811,200 INR $273,777
2/8/2018 JPMorgan Chase 86,400,396 MXN $4,452,767 $173,550
2/23/2018 BNP Paribas SA 72,504,000 ARS $3,800,000 $(254,604)
4/25/2018 BNP Paribas SA 50,568,300 ARS $2,430,000 $(3,523)
5/31/2018 BNP Paribas SA 127,050,000 ARS $6,084,770 $11,615
Contracts Sold:
2/8/2018 JPMorgan Chase 6,720,000 EUR 511,056,000 INR $(317,065)
2/23/2018 JPMorgan Chase 42,657,000 MXN $2,263,391 $(20,682)
2/23/2018 JPMorgan Chase 43,743,396 MXN $2,318,821 $(23,423)
3/20/2018 BNP Paribas SA 49,000,000 ZAR $3,767,347 $(340,609)
4/30/2018 Bank of America N.A. 5,860,000,000 COP $2,066,546 $13,716
NET UNREALIZED DEPRECIATION ON FOREIGN EXCHANGE CONTRACTS $(487,248)
The average value at settlement date payable and receivable of foreign exchange contracts purchased and sold by the Fund throughout the period was $660,270 and $870,201, respectively. This is based on the contracts held as of each month-end throughout the three-month fiscal period.
At January 31, 2018, the Fund had the following open swap contracts:
Credit Default Swap
Counterparty Reference
Entity 		Buy/
Sell 		Pay/Receive
Fixed Rate 		Expiration
Date 		Implied Credit
Spread at
1/31/20189 		Notional
Amount 		Market
Value 		Upfront
Premiums
Paid
(Received) 		Unrealized
Appreciation
(Depreciation)
OTC Swaps:
Barclays Capital, Inc. CDX Index EM Series 28 Buy 1.00% 12/20/2022 1.45% $43,650,000 $285,908 $1,668,905 $(1,382,997)
Barclays Capital, Inc. Government of South Korea Buy 1.00% 12/20/2022 0.49% $4,300,000 $(100,879) $(59,178) $(41,701)
Barclays Capital, Inc. Government of Turkey Buy 1.00% 12/20/2022 1.65% $2,100,000 $59,830 $80,102 $(20,272)
Barclays Capital, Inc. Republic of South Africa Buy 1.00% 12/20/2022 1.15% $4,200,000 $82,308 $162,012 $(79,704)
TOTAL CREDIT DEFAULT SWAPS $(1,524,674)
The average notional amount of credit default swap contracts held by the Fund throughout the period was $54,925,000. This is based on amounts held as of each month-end throughout the three-month fiscal period.
14
Net Unrealized Appreciation (Depreciation) on Futures Contracts, Foreign Exchange Contracts and the value of Swap Contracts is included in “Other Assets and Liabilities—Net”.
1 Floating/variable note with current rate and current maturity or next reset date shown. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
2 Discount rate at time of purchase.
3 Issuer in default.
4 Non-income-producing security.
5 Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund's Board of Trustees (the “Trustees”).
6 Affiliated holding.
Affiliated fund holdings are investment companies which are managed by the Adviser or an affiliate of the Adviser. Transactions with affiliated fund holdings during the period ended January 31, 2018, were as follows:
  Federated Institutional
Prime Value Obligations Fund,
Institutional Shares
Balance of Shares Held 10/31/2017 25,428,708
Purchases/Additions 163,476,143
Sales/Reductions (134,681,211)
Balance of Shares Held 1/31/2018 54,223,640
Value $54,223,640
Change in Unrealized Appreciation/Depreciation $—
Net Realized Gain/(Loss) $(3,065)
Dividend Income $88,476
7 7-day net yield.
8 Assets, other than investments in securities, less liabilities.
9 Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.
Note: The categories of investments are shown as a percentage of total net assets at January 31, 2018.
Investment Valuation
In calculating its net asset value (NAV), the Fund generally values investments as follows:
■ Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Trustees.
■ 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.
■ Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs.
■ 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, 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, or if information furnished by a pricing service, in the opinion of the valuation committee (“Valuation Committee”), is deemed not representative of the fair value of such security, 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.
15
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 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
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.
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The following is a summary of the inputs used, as of January 31, 2018, 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 $— $510,354,238 $— $510,354,238
Foreign Governments/Agencies — 270,610,943 — 270,610,943
U.S. Treasury — 599,672 — 599,672
Purchased Put Options — 133,958 0 133,958
Investment Company 54,223,640 — — 54,223,640
TOTAL SECURITIES $54,223,640 $781,698,811 $0 $835,922,451
Other Financial Instruments        
Assets        
Futures Contracts $— $— $— $—
Foreign Exchange Contracts — 472,658 — 472,658
Swap Contracts — 428,046 — 428,046
Liabilities        
Futures Contracts (114,482) — — (114,482)
Foreign Exchange Contracts — (959,906) — (959,906)
Swap Contracts — (100,879) — (100,879)
TOTAL OTHER FINANCIAL INSTRUMENTS $(114,482) $(160,081) $— $(274,563)
The following acronyms are used throughout this portfolio:
ARS —Argentine Peso
BADLAR —Buenos Aires Deposits Large Amount Rates
CJSC —Closed Joint Stock Company
COP —Colombian Peso
EGP —Egyptian Pound
EMTN —Euro Medium Term Note
EUR —Euro Currency
INR —Indonesian Rupiah
JSC —Joint Stock Company
LIBOR —London Interbank Offered Rate
MTN —Medium Term Note
MXN —Mexican Peso
OJSC —Open Joint Stock Company
TRY —Turkish Lira
UYU —Uruguayan Peso
ZAR —South African Rand
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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 March 23, 2018

 

 

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 March 23, 2018

 

 

By /S/ Lori A. Hensler

 

Lori A. Hensler

Principal Financial Officer

 

Date March 23, 2018