The following is the Semi-Annual Report for High Yield Bond Portfolio, a
portfolio of Federated Core Trust, covering the six-month period ended June 30,
1999. If you have any questions or comments, please contact your investment
representative.
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PRINCIPAL
AMOUNT VALUE
CORPORATE BONDS--95.7%
AEROSPACE & DEFENSE--0.3%
$1,850,000 (1)(2) Anteon Corp., Sr. Sub. Note, 12.00%, 5/15/2009 $1,831,500
500,000 (1)(2) Condor Systems, Inc., Sr. Sub. Note, 11.875%, 5/1/2009 487,500
Total 2,319,000
AUTO/TRUCK--0.5%
1,450,000 (1)(2) HDA Parts System, Inc., Sr. Sub. Note, 12.00%, 8/1/2005 1,471,750
2,100,000 (1)(2) J.L. French Automotive Castings, Inc., Sr. Sub. Note, 2,152,500
11.50%, 6/1/2009
Total 3,624,250
AUTOMOBILE--3.1%
2,875,000 Accuride Corp., Sr. Sub. Note, 9.25%, 2/1/2008 2,831,875
1,701,000 Aftermarket Technology Co., Sr. Sub. Note, 12.00%, 8/1/2004 1,777,545
155,000 Aftermarket Technology Co., Sr. Sub. Note, Series D, 12.00%, 161,975
8/1/2004
3,000,000 American Axle & Manufacturing, Inc., Company Guarantee, 9.75%,
3/1/2009 3,022,500
4,650,000 Collins & Aikman Products Co., Sr. Sub. Note, 11.50%, 4/15/2006 4,719,750
2,175,000 (1)(2) Lear Corp., Sr. Note, 8.11%, 5/15/2009 2,113,991
600,000 Lear Corp., Sub. Note, 9.50%, 7/15/2006 619,500
750,000 Lear Seating Corp., Sub. Note, 8.25%, 2/1/2002 738,750
2,500,000 (1)(2) Motor Coach Industries International, Inc., Sr. Sub. Note,
11.25%, 5/1/2009 2,512,500
1,975,000 Oxford Automotive, Inc., Sr. Sub. Note, 10.125%, 6/15/2007 2,004,625
Total
BANKING--0.9%
6,300,000 GS Escrow Corp., Sr. Note, 7.125%, 8/1/2005 6,113,205
BEVERAGE & TOBACCO--0.5%
1,200,000 Canandaigua Brands, Inc., Sr. Sub. Note, 8.50%, 3/1/2009 1,161,000
1,800,000 Dimon, Inc., Sr. Note, 8.875%, 6/1/2006 1,593,000
850,000 (1)(2) National Wine & Spirits, Inc., Sr. Note, 10.125%, 1/15/2009 877,625
Total 3,631,625
BROADCAST RADIO & TV--7.3%
4,175,000 (3) ACME Television, LLC, Sr. Disc. Note, 0/10.875%, 9/30/2004 3,486,125
1,600,000 (2)(3) Benedek Communications Corp., Sr. Sub. Note, 0/13.25%, 1,336,000
5/15/2006
3,150,000 (3) Big City Radio, Inc., Company Guarantee, 0/11.25%, 3/15/2005 2,244,375
1,150,000 Capstar Broadcasting Partners, Inc., Sr. Sub. Note, 9.25%, 7/1/2007 1,207,500
1,850,000 Chancellor Media Corp., Company Guarantee, 10.50%, 1/15/2007 2,025,750
2,000,000 Chancellor Media Corp., Company Guarantee, 8.00%, 11/1/2008 1,960,000
2,375,000 Chancellor Media Corp., Company Guarantee, 9.00%, 10/1/2008 2,422,500
5,900,000 Chancellor Media Corp., Sr. Sub. Note, 8.125%, 12/15/2007 5,723,000
1,675,000 Chancellor Media Corp., Sr. Sub. Note, 8.75%, 6/15/2007 1,675,000
1,250,000 Chancellor Media Corp., Sr. Sub. Note, 9.375%, 10/1/2004 1,278,125
1,750,000 Cumulus Media, Inc., Sr. Sub. Note, 10.375%, 7/1/2008 1,863,750
6,550,000 (3) Fox/Liberty Networks, LLC, Sr. Disc. Note, 0/9.75%, 8/15/2007 5,141,750
1,300,000 Fox/Liberty Networks, LLC, Sr. Note, 8.875%, 8/15/2007 1,352,000
550,000 Lamar Advertising Co., Sr. Sub. Note, 8.625%, 9/15/2007 555,500
1,300,000 Lamar Advertising Co., Sr. Sub. Note, 9.625%, 12/1/2006 1,332,500
3,850,000 Outdoor Systems, Inc., Sr. Sub. Note, 8.875%, 6/15/2007 4,037,688
822,000 SFX Broadcasting, Inc., Sr. Sub. Note, 10.75%, 5/15/2006 875,430
2,000,000 Sinclair Broadcast Group, Inc., Sr. Sub. Note, 10.00%, 9/30/2005 2,050,000
4,650,000 Sinclair Broadcast Group, Inc., Sr. Sub. Note, 8.75%, 12/15/2007 4,545,375
2,400,000 Sinclair Broadcast Group, Inc., Sr. Sub. Note, 9.00%, 7/15/2007 2,370,000
1,050,000 Young Broadcasting, Inc., Sr. Sub. Note, 9.00%, 1/15/2006 1,029,000
Total 48,511,368
BUILDING & DEVELOPMENT--1.2%
650,000 American Architectural Products Corp., Sr. Note, 11.75%, 12/1/2007 490,750
1,375,000 American Builders & Contractors Supply Co., Inc., Sr. Sub. Note,
10.625%, 5/15/2007 1,299,375
500,000 Building Materials Corp. of America, Sr. Note, 8.00%, 10/15/2007 468,750
1,350,000 Building Materials Corp. of America, Sr. Note, 8.625%, 12/15/2006 1,326,375
2,425,000 (1)(2) Formica Corp., Sr. Sub. Note, 10.875%, 3/1/2009 2,352,250
925,000 (1)(2) Juno Lighting, Inc., Sr. Sub. Note, 11.875%, 7/1/2009 941,188
1,000,000 (1)(2) NCI Building System, Inc., Sr. Sub. Note, 9.25%, 5/1/2009 970,000
Total 7,848,688
BUSINESS EQUIPMENT & SERVICES--2.1%
1,800,000 (1)(2) Avis Rent A Car, Inc., Sr. Sub. Note, 11.00%, 5/1/2009 1,836,000
2,375,000 Dialog Corp., Sr. Sub. Note, 11.00%, 11/15/2007 2,161,250
750,000 (3) Electronic Retailing Systems International, Inc., Sr. Disc.
Note, 0/13.25%, 2/1/2004 213,750
3,625,000 Fisher Scientific International, Inc., Sr. Sub. Note, 9.00%, 3,461,875
2/1/2008
2,225,000 Fisher Scientific International, Inc., Sr. Sub. Note, 9.00%, 2,124,875
2/1/2008
3,800,000 U.S. Office Products Co., Sr. Sub. Note, 9.75%, 6/15/2008 2,413,000
951,000 United Stationers Supply Co., Sr. Sub. Note, 12.75%, 5/1/2005 1,046,100
550,000 United Stationers Supply Co., Sr. Sub. Note, 8.375%, 4/15/2008 525,250
Total 13,782,100
CABLE TELEVISION--10.6%
8,979 (3) Australis Media Ltd., Sr. Disc. Note, 0/15.75%, 5/15/2003 90
525,000 (3) Australis Media Ltd., Unit, 0/14.00%, 5/15/2003 5,250
900,000 CSC Holdings, Inc., Sr. Note, 7.875%, 12/15/2007 906,768
3,350,000 CSC Holdings, Inc., Sr. Sub. Deb., 9.875%, 2/15/2013 3,618,000
2,300,000 CSC Holdings, Inc., Sr. Sub. Note, 9.25%, 11/1/2005 2,380,500
325,000 CSC Holdings, Inc., Sr. Sub. Note, 9.875%, 5/15/2006 347,750
6,050,000 (1)(2)(3) Charter Communications Holdings Capital Corp., Sr. Disc.
Note, 0/9.92%, 4/1/2011 3,781,250
4,675,000 (3) Diamond Cable Communications PLC, Sr. Disc. Note, 0/10.75%,
2/15/2007 3,669,875
1,925,000 (3) Diamond Cable Communications PLC, Sr. Disc. Note, 0/11.75%,
12/15/2005 1,742,125
1,425,000 (3) Diva Systems Corp., Sr. Disc. Note, 0/12.625%, 3/1/2008 420,375
7,525,000 (1)(2) Echostar DBS Corp., Sr. Note, 9.375%, 2/1/2009 7,656,688
4,250,000 (3) International Cabletel, Inc., Sr. Defd. Cpn. Note, 0/11.50%, 3,729,375
2/1/2006
400,000 (3) International Cabletel, Inc., Sr. Disc. Note, 0/12.75%, 387,000
4/15/2005
1,400,000 Lenfest Communications, Inc., Sr. Note, 8.375%, 11/1/2005 1,466,500
2,350,000 Lenfest Communications, Inc., Sr. Sub. Note, 8.25%, 2/15/2008 2,426,375
5,600,000 (3) NTL, Inc., 0/12.375%, 10/1/2008 3,864,000
9,125,000 (3) NTL, Inc., Sr. Note, 0/9.75%, 4/1/2008 6,296,250
2,475,000 NTL, Inc., Sr. Note, 11.50%, 10/1/2008 2,741,063
2,200,000 Pegasus Communications Corp., Sr. Note, 9.625%, 10/15/2005 2,189,000
1,900,000 Pegasus Communications Corp., Sr. Note, 9.75%, 12/1/2006 1,871,500
825,000 Pegasus Media, Note, 12.50%, 7/1/2005 916,781
2,750,000 (3) RCN Corp., Sr. Note, 0/11.00%, 7/1/2008 1,725,625
675,000 Rogers Cablesystems Ltd., Sr. Secd. 2nd Priority Note, 10.00%, 732,375
12/1/2007
1,525,000 Rogers Cablesystems Ltd., Sr. Secd. 2nd Priority Note, 10.00%, 1,654,625
3/15/2005
1,400,000 Rogers Cablesystems Ltd., Sr. Sub. Gtd. Note, 11.00%, 12/1/2015 1,617,000
350,000 Rogers Communications, Inc., Sr. Note, 8.875%, 7/15/2007 354,375
8,475,000 (3) TeleWest PLC, Sr. Disc. Deb., 0/11.00%, 10/1/2007 7,606,313
1,000,000 (1)(2)(3) TeleWest PLC, Sr. Disc. Note, 0/9.25%, 4/15/2009 665,000
750,000 TeleWest PLC, Sr. Note, 11.25%, 11/1/2008 847,500
3,350,000 (3) UIH Australia/Pacific, Sr. Disc. Note, 0/14.00%, 5/15/2006 2,378,500
3,900,000 (3) United International Holdings, Inc., Sr. Secd. Disc. Note,
0/10.75%, 2/15/2008 2,613,000
Total 70,610,828
CHEMICALS & PLASTICS--4.1%
600,000 Buckeye Cellulose Corp., Sr. Sub. Note, 8.50%, 12/15/2005 594,000
1,600,000 Buckeye Cellulose Corp., Sr. Sub. Note, 9.25%, 9/15/2008 1,658,528
400,000 Foamex LP, Sr. Sub. Note, 13.50%, 8/15/2005 362,000
150,000 Foamex LP, Sr. Sub. Note, 9.875%, 6/15/2007 128,250
300,000 (1)(2) General Chemical Industrial Products, Inc., Sr. Sub. Note,
10.625%, 5/1/2009 303,750
3,575,000 (1)(2) Huntsman Corp., Sr. Sub. Note, 9.50%, 7/1/2007 3,414,125
2,200,000 (1)(2) Huntsman ICI Chemicals LLC, Sr. Sub. Note, 10.125%, 7/1/2009 2,230,250
1,825,000 ISP Holding, Inc., Sr. Note, 9.00%, 10/15/2003 1,820,438
1,108,000 ISP Holding, Inc., Sr. Note, 9.75%, 2/15/2002 1,121,850
4,350,000 (1)(2) Lyondell Chemical Co., Sr. Sub. Note, 10.875%, 5/1/2009 4,502,250
3,650,000 Polymer Group, Inc., Sr. Sub. Note, 8.75%, 3/1/2008 3,476,625
3,550,000 Polymer Group, Inc., Sr. Sub. Note, 9.00%, 7/1/2007 3,416,875
1,700,000 (3) Sterling Chemicals Holdings, Inc., Sr. Disc. Note, 0/13.50%, 501,500
8/15/2008
2,025,000 Sterling Chemicals, Inc., Sr. Sub. Note, 11.75%, 8/15/2006 1,569,375
2,500,000 Texas Petrochemicals Corp., Sr. Sub. Note, 11.125%, 7/1/2006 2,237,500
Total 27,337,316
CLOTHING & TEXTILES--1.2%
1,000,000 Collins & Aikman Floorcoverings, Inc., Sr. Sub. Note, 10.00%, 1,005,000
1/15/2007
675,000 Dyersburg Corp., Sr. Sub. Note, 9.75%, 9/1/2007 280,125
1,550,000 GFSI, Inc., Sr. Sub. Note, 9.625%, 3/1/2007 1,309,750
1,625,000 Glenoit Corp., Sr. Sub. Note, 11.00%, 4/15/2007 1,438,125
1,575,000 Pillowtex Corp., Sr. Sub. Note, 10.00%, 11/15/2006 1,496,250
2,150,000 Pillowtex Corp., Sr. Sub. Note, 9.00%, 12/15/2007 2,166,125
Total 7,695,375
CONGLOMERATE--0.5%
3,350,000 Eagle Picher Industries, Inc., Sr. Sub. Note, 9.375%, 3/1/2008 3,199,250
CONSUMER PRODUCTS--4.7%
3,350,000 Albecca, Inc., Company Guarantee, 10.75%, 8/15/2008 2,763,750
1,150,000 American Safety Razor Co., Sr. Note, 9.875%, 8/1/2005 1,167,250
1,850,000 Amscan Holdings, Inc., Sr. Sub. Note, 9.875%, 12/15/2007 1,535,500
3,200,000 Chattem, Inc., Sr. Sub. Note, 8.875%, 4/1/2008 3,088,000
325,000 Diamond Brands Operating Corp., Sr. Sub. Note, 10.125%, 4/15/2008 261,625
925,000 (3) Diamond Brands, Inc., Sr. Disc. Deb., 0/12.875%, 4/15/2009 189,625
950,000 NBTY, Inc., Sr. Sub. Note, 8.625%, 9/15/2007 821,750
2,920,000 Playtex Family Products Corp., Sr. Sub. Note, 9.00%, 12/15/2003 2,978,400
1,000,000 Revlon Consumer Products Corp., Sr. Note, 8.125%, 2/1/2006 985,000
7,750,000 Revlon Consumer Products Corp., Sr. Sub. Note, 8.625%, 2/1/2008 7,362,500
1,100,000 (1)(2) Scotts Co., Sr. Sub. Note, 8.625%, 1/15/2009 1,083,500
1,100,000 (2)(3) Sealy Mattress Co., Company Guarantee, 0/10.875%, 12/15/2007 720,500
425,000 Sealy Mattress Co., Sr. Sub. Note, 9.875%, 12/15/2007 418,625
1,000,000 (1)(2) Simmons Co., Sr. Sub. Note, 10.25%, 3/15/2009 1,022,500
675,000 (1)(2) Sleepmaster LLC, Sr. Sub. Note, 11.00%, 5/15/2009 695,250
1,300,000 (1)(2) The Boyds Collection, Ltd., Sr. Sub. Note, 9.00%, 5/15/2008 1,287,000
1,375,000 (1)(2) True Temper Sports, Inc., Sr. Sub. Note, 10.875%, 12/1/2008 1,175,625
1,300,000 (1)(2) United Industries Corp., Sr. Sub. Note, 9.875%, 4/1/2009 1,179,750
2,100,000 (1)(2) Volume Services America, Inc., Sr. Sub. Note, 11.25%, 2,320,500
3/1/2009
Total 31,056,650
CONTAINER & GLASS PRODUCTS--1.0%
650,000 (1)(2) Consolidated Container Company LLC, Sr. Sub. Note, 10.125%,
7/15/2009 662,188
1,000,000 Plastic Containers, Inc., Sr. Secd. Note, 10.00%, 12/15/2006 1,133,050
2,850,000 (1)(2) Russell Stanley Holdings, Inc., Sr. Sub. Note, 10.875%, 2,793,000
2/15/2009
2,100,000 Tekni-Plex, Inc., Sr. Sub. Note, 9.25%, 3/1/2008 2,047,500
Total 6,635,738
ECOLOGICAL SERVICES & EQUIPMENT--1.5%
10,500,000 Allied Waste North America, Inc., Company Guarantee, 7.875%, 9,765,000
1/1/2009
ELECTRONICS--1.1%
675,000 (1)(2) Cherokee International, LLC, Sr. Sub. Note, 10.50%, 5/1/2009 675,000
975,000 (1)(2) Fairchild Semiconductor Corp., Sr. Sub. Note, 10.375%, 960,375
10/1/2007
4,625,000 Telecommunications Techniques Co., LLC, Sr. Sub. Note, 9.75%, 4,578,750
5/15/2008
1,300,000 Viasystems, Inc., Sr. Sub. Note, 9.75%, 6/1/2007 1,144,000
Total 7,358,125
FARMING & AGRICULTURE--0.1%
600,000 (1)(2) Royster-Clark, Inc., 1st Mtg. Note, 10.25%, 4/1/2009 597,000
FOOD & DRUG RETAILERS--0.2%
825,000 Community Distributors, Inc., Sr. Note, 10.25%, 10/15/2004 730,125
2,125,000 Jitney-Jungle Stores of America, Inc., Sr. Sub. Note, 10.375%, 754,375
9/15/2007
Total 1,484,500
FOOD PRODUCTS--1.8%
3,150,000 Agrilink Foods, Inc., Company Guarantee, 11.875%, 11/1/2008 3,268,125
1,325,000 Aurora Foods, Inc., Sr. Sub. Note, 9.875%, 2/15/2007 1,378,000
2,550,000 Eagle Family Foods, Inc., Sr. Sub. Note, 8.75%, 1/15/2008 2,282,250
2,375,000 International Home Foods, Inc., Sr. Sub. Note, 10.375%, 11/1/2006 2,517,500
2,575,000 (1)(2) Triarc Consumer Products Group, LLC, Sr. Sub. Note, 10.25%,
2/15/2009 2,549,250
Total 11,995,125
FOOD SERVICES--1.8%
1,750,000 Advantica Restaurant Group, Sr. Note, 11.25%, 1/15/2008 1,706,250
1,100,000 AmeriServe Food Distribution, Inc., Sr. Note, 8.875%, 10/15/2006 1,017,500
5,200,000 AmeriServe Food Distribution, Inc., Sr. Sub. Note, 10.125%, 4,446,000
7/15/2007
2,000,000 Carrols Corp., Company Guarantee, 9.50%, 12/1/2008 1,885,000
2,700,000 Domino's, Inc., Company Guarantee, 10.375%, 1/15/2009 2,733,750
100,000 (3) Nebco Evans Holding Co., Sr. Disc. Note, 0/12.375%, 7/15/2007 50,500
Total 11,839,000
FOREST PRODUCTS--0.8%
600,000 Container Corp. of America, Sr. Note, 11.25%, 5/1/2004 632,250
950,000 (1)(2) Packaging Corp. of America, Sr. Sub. Note, 9.625%, 4/1/2009 969,000
1,250,000 S. D. Warren Co., Sr. Sub. Note, 12.00%, 12/15/2004 1,346,875
1,175,000 Stone Container Corp., Sr. Note, 11.50%, 10/1/2004 1,239,625
1,100,000 Stone Container Corp., Sr. Note, 12.58%, 8/1/2016 1,193,500
250,000 Stone Container Corp., Unit, 9.875%, 4/1/2002 251,875
Total 5,633,125
HEALTHCARE--3.9%
500,000 Alliance Imaging, Inc., Sr. Sub. Note, 9.232%, 12/15/2005 455,000
1,900,000 Alliance Imaging, Inc., Sr. Sub. Note, 9.625%, 12/15/2005 1,805,000
3,000,000 CONMED Corp., Sr. Sub. Note, 9.00%, 3/15/2008 2,985,000
2,925,000 Dade International, Inc., Sr. Sub. Note, 11.125%, 5/1/2006 3,100,500
1,200,000 Everest Healthcare Services Corp., Sr. Sub. Note, 9.75%, 5/1/2008 1,158,000
650,000 Genesis Health Ventures, Inc., Sr. Sub. Note, 9.25%, 10/1/2006 516,750
1,850,000 Genesis Health Ventures, Inc., Sr. Sub. Note, 9.875%, 1/15/2009 1,489,250
1,000,000 (1)(2) Hanger Orthopedic Group, Inc., Sr. Sub. Note, 11.25%, 1,020,000
6/15/2009
650,000 Hudson Respiratory Care, Inc., Sr. Sub. Note, 9.125%, 4/15/2008 542,750
1,000,000 Kinetic Concepts, Inc., Company Guarantee, 9.625%, 11/1/2007 885,000
500,000 Tenet Healthcare Corp., Sr. Note, 7.625%, 6/1/2008 468,750
1,800,000 Tenet Healthcare Corp., Sr. Note, 8.00%, 1/15/2005 1,764,000
6,100,000 Tenet Healthcare Corp., Sr. Sub. Note, 8.125%, 12/1/2008 5,795,000
2,400,000 Tenet Healthcare Corp., Sr. Sub. Note, 8.625%, 1/15/2007 2,364,000
1,350,000 (1)(2) Triad Hospitals Holdings, Inc., Sr. Sub. Note, 11.00%, 1,380,375
5/15/2009
Total 25,729,375
HOME PRODUCTS & FURNISHINGS--0.4%
3,225,000 (2)(3) Falcon Building Products, Inc., Sr. Sub. Disc. Note,
0/10.50%, 6/15/2007 2,193,000
375,000 Falcon Building Products, Inc., Sr. Sub. Note, 9.50%, 6/15/2007 358,125
Total 2,551,125
HOTELS, MOTELS, INNS & CASINOS--1.9%
975,000 Courtyard by Marriott II LP, Sr. Note, 10.75%, 2/1/2008 999,375
3,600,000 Florida Panthers Holdings, Inc., Company Guarantee, 9.875%, 3,438,000
4/15/2009
6,600,000 HMH Properties, Inc., Sr. Note, Series B, 7.875%, 8/1/2008 6,121,500
2,175,000 HMH Properties, Inc., Sr. Note, Series C, 8.45%, 12/1/2008 2,077,125
Total 12,636,000
INDUSTRIAL PRODUCTS & EQUIPMENT--3.6%
2,175,000 Amphenol Corp., Sr. Sub. Note, 9.875%, 5/15/2007 2,229,375
1,600,000 Cabot Safety Acquisition Corp., Sr. Sub. Note, 12.50%, 7/15/2005 1,720,000
1,650,000 Continental Global Group, Inc., Sr. Note, 11.00%, 4/1/2007 1,361,250
2,175,000 Euramax International PLC, Sr. Sub. Note, 11.25%, 10/1/2006 2,207,625
520,000 Hawk Corp., Sr. Note, 10.25%, 12/1/2003 538,200
1,850,000 (1)(2) Hexcel Corporation, Sr. Sub. Note, 9.75%, 1/15/2009 1,822,250
1,600,000 ISG Resources, Inc., Sr. Sub. Note, 10.00%, 4/15/2008 1,648,000
750,000 International Utility Structures, Inc., Sr. Sub. Note, 10.75%, 755,625
2/1/2008
650,000 Johnstown America Industries, Inc., Sr. Sub. Note, 11.75%, 689,000
8/15/2005
575,000 Johnstown America Industries, Inc., Sr. Sub. Note, 11.75%, 609,500
8/15/2005
3,000,000 MMI Products, Inc., Sr. Sub. Note, 11.25%, 4/15/2007 3,090,000
1,975,000 Neenah Corp., Sr. Sub. Note, 11.125%, 5/1/2007 1,945,375
650,000 (1)(2) Neenah Corp., Sr. Sub. Note, 11.125%, 5/1/2007 640,250
1,200,000 Unifrax Investment Corp., Sr. Note, 10.50%, 11/1/2003 1,245,000
3,800,000 WESCO Distribution, Inc., Sr. Sub. Note, 9.125%, 6/1/2008 3,695,500
Total 24,196,950
LEISURE & ENTERTAINMENT--3.4%
3,392,000 (3) AMF Group, Inc., Sr. Sub. Disc. Note, 0/12.25%, 3/15/2006 2,086,080
2,400,000 Loews Cineplex Entertainment Corp., Sr. Sub. Note, 8.875%, 8/1/2008 2,304,000
5,925,000 (3) Premier Parks, Inc., Sr. Disc. Note, 0/10.00%, 4/1/2008 3,962,344
1,325,000 Premier Parks, Inc., Sr. Note, 12.00%, 8/15/2003 1,420,851
575,000 Premier Parks, Inc., Sr. Note, 9.25%, 4/1/2006 579,313
2,600,000 Premier Parks, Inc., Sr. Note, 9.75%, 6/15/2007 2,639,000
6,450,000 Regal Cinemas, Inc., Sr. Sub. Note, 9.50%, 6/1/2008 6,095,250
2,925,000 Six Flags Theme Parks, Sr. Sub. Disc. Note, 12.25%, 6/15/2005 3,276,000
Total 22,362,838
MACHINERY & EQUIPMENT--2.9%
1,147,000 Alvey Systems, Inc., Sr. Sub. Note, 11.375%, 1/31/2003 1,164,205
1,775,000 Clark Material Handling Corp., Sr. Note, 10.75%, 11/15/2006 1,553,125
1,425,000 Columbus McKinnon Corp., Sr. Sub. Note, 8.50%, 4/1/2008 1,389,375
1,675,000 (1)(2) Fairchild Corp., Sr. Sub. Note, 10.75%, 4/15/2009 1,658,250
1,050,000 National Equipment Services, Inc., Sr. Sub. Note, 10.00%, 1,071,000
11/30/2004
3,425,000 National Equipment Services, Inc., Sr. Sub. Note, Series C,
10.00%, 11/30/2004 3,493,500
2,800,000 NationsRent, Inc., Company Guarantee, 10.375%, 12/15/2008 2,800,000
3,300,000 United Rentals, Inc., Company Guarantee, 9.25%, 1/15/2009 3,267,000
2,800,000 (1)(2) United Rentals, Inc., Sr. Sub. Note, 9.00%, 4/1/2009 2,765,000
Total 19,161,455
METALS & MINING--1.1%
3,250,000 (1)(2) AEI Holding Co., Inc., Sr. Note, 10.50%, 12/15/2005 3,241,875
3,300,000 (1)(2) AEI Resources, Inc., Sr. Sub. Note, 11.50%, 12/15/2006 3,258,750
650,000 Murrin Murrin Holdings Pty Ltd., Sr. Secd. Note, 9.375%, 8/31/2007 572,000
Total 7,072,625
OIL & GAS--3.1%
1,500,000 Chiles Offshore, LLC, Sr. Note, 10.00%, 5/1/2008 1,282,500
675,000 (1)(2) Comstock Resources, Inc., Sr. Note, 11.25%, 5/1/2007 688,500
4,000,000 Continental Resources, Inc., Sr. Sub. Note, 10.25%, 8/1/2008 2,950,000
475,000 DI Industries, Inc., Sr. Note, 8.875%, 7/1/2007 422,750
3,250,000 (4) Dailey Petroleum Services Corp., Company Guarantee, 9.50%, 2,080,000
2/15/2008
1,775,000 Forcenergy, Inc., Sr. Sub. Note, 8.50%, 2/15/2007 1,251,375
1,325,000 Forcenergy, Inc., Sr. Sub. Note, 9.50%, 11/1/2006 934,125
1,075,000 Nuevo Energy Co., Sr. Sub. Note, 8.875%, 6/1/2008 1,048,125
300,000 Ocean Rig Norway AS, Company Guarantee, 10.25%, 6/1/2008 211,500
1,500,000 Pogo Producing Co., Sr. Sub. Note, Series B, 10.375%, 2/15/2009 1,567,500
2,225,000 Pride Petroleum Services, Inc., Sr. Note, 9.375%, 5/1/2007 2,213,875
2,000,000 (1)(2) R&B Falcon Corp., Sr. Note, 12.25%, 3/15/2006 2,060,000
850,000 (1)(2) RBF Finance Co., Sr. Note, 11.375%, 3/15/2009 888,250
900,000 The Houston Exploration Co., Sr. Sub. Note, 8.625%, 1/1/2008 877,500
600,000 (3) Universal Compression Holdings, Inc., Sr. Disc. Note,
0/11.375%, 2/15/2009 364,500
3,100,000 (3) Universal Compression Holdings, Inc., Sr. Disc. Note,
0/9.875%, 2/15/2008 1,960,750
Total
PRINTING & PUBLISHING--1.2%
1,000,000 (1)(2) Cadmus Communications Corp., Sr. Sub. Note, 9.75%, 6/1/2009 1,007,500
1,875,000 Garden State Newspapers, Inc., Sr. Sub. Note, 8.75%, 10/1/2009 1,828,125
1,000,000 Hollinger International Publishing, Inc., Sr. Sub. Note, 9.25%, 1,032,500
2/1/2006
1,900,000 Hollinger International Publishing, Inc., Sr. Sub. Note, 9.25%, 1,957,000
3/15/2007
900,000 K-III Communications Corp., Company Guarantee, Series B, 8.50%,
2/1/2006 868,500
1,200,000 Ziff-Davis, Inc., Sr. Sub. Note, 8.50%, 5/1/2008 1,128,000
Total
REAL ESTATE--0.2%
1,156,000 Trizec Finance Ltd., Sr. Note, 10.875%, 10/15/2005 1,254,260
RETAILERS--0.2%
975,000 Leslie's Poolmart, Inc., Sr. Note, 10.375%, 7/15/2004 996,938
SERVICES--1.6%
1,300,000 Coinmach Corp., Sr. Note, 11.75%, 11/15/2005 1,430,000
7,700,000 (3) Crown Castle International Corp., Sr. Disc. Note, 0/10.375%, 4,552,625
5/15/2011
2,750,000 SITEL Corp., Sr. Sub. Note, 9.25%, 3/15/2006 2,351,250
2,000,000 (1)(2) URS Corp., Sr. Sub. Note, 12.25%, 5/1/2009 2,030,000
Total 10,363,875
STEEL--0.9%
2,900,000 Metals USA, Inc., Sr. Sub. Note, 8.625%, 2/15/2008 2,718,750
1,700,000 National Steel Corp., 1st Mtg. Bond, 9.875%, 3/1/2009 1,742,500
1,350,000 Ryerson Tull, Inc., Sr. Note, 9.125%, 7/15/2006 1,417,568
Total
SURFACE TRANSPORTATION--1.9%
1,850,000 Allied Holdings, Inc., Sr. Note, 8.625%, 10/1/2007 1,766,750
1,025,000 (4) AmeriTruck Distribution Corp., Sr. Sub. Note, 12.25%, 61,500
11/15/2005
2,075,000 Gearbulk Holding Ltd., Sr. Note, 11.25%, 12/1/2004 2,142,438
1,100,000 (1)(2) Railworks Corp., Sr. Sub. Note, 11.50%, 4/15/2009 1,108,250
3,750,000 Stena AB, Sr. Note, 10.50%, 12/15/2005 3,768,750
2,275,000 Stena AB, Sr. Note, 8.75%, 6/15/2007 2,087,313
1,000,000 Stena Line AB, Sr. Note, 10.625%, 6/1/2008 757,500
1,050,000 (1)(2) The Holt Group, Inc., Sr. Note, 9.75%, 1/15/2006 698,250
Total
TELECOMMUNICATIONS & CELLULAR--23.1%
3,350,000 American Cellular Corp., Sr. Note, 10.50%, 5/15/2008 3,450,500
1,200,000 Arch Communications, Inc., Sr. Note, Series B, 12.75%, 7/1/2007 1,032,000
3,400,000 (3) Call-Net Enterprises, Inc., Sr. Disc. Note, 0/10.80%, 5/15/2009 1,887,000
6,250,000 (3) Call-Net Enterprises, Inc., Sr. Disc. Note, 0/8.94%, 8/15/2008 3,531,250
2,725,000 (3) Call-Net Enterprises, Inc., Sr. Disc. Note, 0/9.27%, 8/15/2007 1,744,000
2,550,000 (1)(2) Centennial Cellular Corp., Sr. Sub. Note, 10.75%, 12/15/2008 2,658,375
3,500,000 (1)(2)(3) Dolphin Telecom PLC, Sr. Disc. Note, 0/14.00%, 5/15/2009 1,732,500
1,550,000 (3) E.Spire Communications, Inc., Sr. Disc. Note, 0/12.75%, 813,750
4/1/2006
575,000 (3) E.Spire Communications, Inc., Sr. Disc. Note, 0/13.00%, 313,375
11/1/2005
2,500,000 Hermes Europe Railtel B.V., Sr. Note, 10.375%, 1/15/2009 2,537,500
3,775,000 Hermes Europe Railtel B.V., Sr. Note, 11.50%, 8/15/2007 3,973,188
500,000 (3) ICG Holdings, Inc., Sr. Disc. Note, 0/11.625%, 3/15/2007 338,580
5,200,000 (3) ICG Holdings, Inc., Sr. Disc. Note, 0/12.50%, 5/1/2006 4,058,132
3,200,000 IXC Communications, Inc., Sr. Sub. Note, 9.00%, 4/15/2008 3,076,000
5,325,000 (3) Intermedia Communications, Inc., Sr. Disc. Note, 0/11.25%, 3,860,625
7/15/2007
3,575,000 (3) Intermedia Communications, Inc., Sr. Disc. Note, 0/12.50%, 2,985,125
5/15/2006
3,400,000 (3) Intermedia Communications, Inc., Sr. Disc. Note, Series B,
0/12.25%, 3/1/2009 1,946,500
3,100,000 Intermedia Communications, Inc., Sr. Note, 8.60%, 6/1/2008 2,898,500
575,000 Intermedia Communications, Inc., Sr. Note, 8.875%, 11/1/2007 547,688
10,500,000 (3) Level 3 Communications, Inc., Sr. Disc. Note, 0/10.50%, 6,523,125
12/1/2008
9,950,000 Level 3 Communications, Inc., Sr. Note, 9.125%, 5/1/2008 9,862,938
4,100,000 (3) McLeod, Inc., Sr. Disc. Note, 0/10.50%, 3/1/2007 3,167,250
1,900,000 (1)(2) McLeod, Inc., Sr. Note, 8.125%, 2/15/2009 1,757,500
350,000 McLeod, Inc., Sr. Note, 8.375%, 3/15/2008 331,625
1,050,000 McLeod, Inc., Sr. Note, 9.25%, 7/15/2007 1,050,000
2,300,000 McLeod, Inc., Sr. Note, 9.50%, 11/1/2008 2,311,500
2,450,000 (3) MetroNet Communications Corp., Sr. Disc. Note, 0/10.75%, 1,960,000
11/1/2007
1,025,000 MetroNet Communications Corp., Sr. Note, 12.00%, 8/15/2007 1,186,438
6,050,000 (3) MetroNet Escrow Corp., Sr. Disc. Note, 0/9.95%, 6/15/2008 4,507,250
1,375,000 (1)(2) MetroNet Escrow Corp., Sr. Note, 10.625%, 11/1/2008 1,557,188
5,425,000 (3) Millicom International Cellular S.A., Sr. Disc. Note, 3,992,875
0/13.50%, 6/1/2006
5,375,000 (3) NEXTEL Communications, Inc., Sr. Disc. Note, 0/10.65%, 3,950,625
9/15/2007
12,950,000 (3) NEXTEL Communications, Inc., Sr. Disc. Note, 0/9.95%, 2/15/2008 8,967,875
7,200,000 (3) NEXTLINK Communications, Inc., Sr. Disc. Note, 0/12.25%, 4,248,000
6/1/2009
3,500,000 (3) NEXTLINK Communications, Inc., Sr. Disc. Note, 0/9.45%, 2,117,500
4/15/2008
1,900,000 NEXTLINK Communications, Inc., Sr. Note, 10.75%, 6/1/2009 1,961,750
2,200,000 NEXTLINK Communications, Inc., Sr. Note, 9.00%, 3/15/2008 2,084,500
50,000 NEXTLINK Communications, Inc., Sr. Note, 9.625%, 10/1/2007 48,750
1,400,000 (3) Nextel International, Inc., Sr. Disc. Note, 0/12.125%, 712,250
4/15/2008
1,725,000 (1)(2)(3) Nextel Partners, Inc., Sr. Disc. Note, 0/14.00%, 2/1/2009 996,188
2,850,000 Orange PLC, Sr. Note, 8.00%, 8/1/2008 2,721,750
3,750,000 Paging Network, Inc., Sr. Sub. Note, 10.00%, 10/15/2008 2,906,250
500,000 Paging Network, Inc., Sr. Sub. Note, 10.125%, 8/1/2007 387,500
1,750,000 Pathnet, Inc., Unit, 12.25%, 4/15/2008 866,250
3,000,000 PsiNet, Inc., Sr. Note, 10.00%, 2/15/2005 3,000,000
1,725,000 PsiNet, Inc., Sr. Note, 11.50%, 11/1/2008 1,819,875
175,000 (3) Qwest Communications International, Inc., Sr. Disc. Note,
0/8.29%, 2/1/2008 130,375
3,525,000 (3) Qwest Communications International, Inc., Sr. Disc. Note,
0/9.47%, 10/15/2007 2,740,688
1,625,000 Qwest Communications International, Inc., Sr. Note, 10.875%, 1,844,375
4/1/2007
3,500,000 Qwest Communications International, Inc., Sr. Note, Series B,
7.50%, 11/1/2008 3,430,000
5,125,000 Rogers Cantel Mobile, Inc., Sr. Sub. Note, 8.80%, 10/1/2007 5,137,813
825,000 (1)(2) Tele1 Europe B.V., Unit, 13.00%, 5/15/2009 866,250
575,000 (3) Telesystem International Wireless, Inc., Sr. Disc. Note,
0/10.50%, 11/1/2007 255,875
5,525,000 (3) Telesystem International Wireless, Inc., Sr. Disc. Note,
0/13.25%, 6/30/2007 2,845,375
3,700,000 (3) Teligent, Inc., Sr. Disc. Note, 0/11.50%, 3/1/2008 2,275,500
2,700,000 Teligent, Inc., Sr. Note, 11.50%, 12/1/2007 2,713,500
2,000,000 (1)(2)(3) Tritel PCS, Inc., Sr. Sub. Disc. Note, 0/12.75%, 1,100,000
5/15/2009
4,350,000 (3) Triton PCS, Inc., Sr. Disc. Note, 0/11.00%, 5/1/2008 2,827,500
1,400,000 US Xchange, LLC, Sr. Note, 15.00%, 7/1/2008 1,459,500
1,000,000 USA Mobile Communications, Inc., Sr. Note, 9.50%, 2/1/2004 815,000
1,675,000 Verio, Inc., Sr. Note, 11.25%, 12/1/2008 1,762,934
750,000 (1)(2) Viatel, Inc., Sr. Note, 11.50%, 3/15/2009 776,250
3,850,000 (3) Viatel, Inc., Unit, 0/12.50%, 4/15/2008 2,483,250
1,825,000 Viatel, Inc., Unit, 11.25%, 4/15/2008 1,870,620
Total
UTILITIES--1.0%
1,000,000 CMS Energy Corp., Sr. Note, 7.50%, 1/15/2009 942,890
2,250,000 (1)(2)(4) Caithness Coso Funding Corp., Sr. Secd. Note, 9.05%, 2,238,750
12/15/2009
1,700,000 El Paso Electric Co., 1st Mtg. Note, 9.40%, 5/1/2011 1,911,327
2,200,000 (3) Niagara Mohawk Power Corp., Sr. Disc. Note, Series H, 0/8.50%,
7/1/2010 1,654,024
Total
TOTAL CORPORATE BONDS (IDENTIFIED COST $660,649,139) 635,221,300
COMMON STOCKS--0.0%
CABLE TELEVISION--0.0%
676 (4) Pegasus Communications Corp. Class A 26,660
METALS & MINING--0.0%
57,533 (4) Royal Oak Mines, Inc. 575
PRINTING & PUBLISHING--0.0%
500 (4) Affiliated Newspaper Investments, Inc. 75,000
TOTAL COMMON STOCKS (IDENTIFIED COST $17,273) 102,235
PREFERRED STOCKS--3.0%
BANKING--0.1%
27,000 California Federal Preferred Capital Corp., REIT Perpetual Pfd.
Stock, Series A, $2.28 708,750
BROADCAST RADIO & TV--0.9%
1,250 Benedek Communications Corp., Sr. Exchangeable PIK 956,250
2,251 Capstar Broadcasting Corp., Cumulative Exchangeable Pfd. Stock, 273,497
Series E
12,360 Capstar Broadcasting Partners, Inc., Sr. Pfd., $12.00 1,436,933
1,428 Cumulus Media, Inc., Cumulative Sr. Red. Pfd. Stk., Series A, $3.44 1,582,068
16,550 Sinclair Broadcast Group, Inc., Cumulative Pfd., $11.63 1,746,025
Total 5,994,773
CABLE TELEVISION--0.3%
1,715 Pegasus Communications Corp., Cumulative PIK Pfd., Series A, 12.75% 1,775,883
FOOD SERVICES--0.0%
6,019 Nebco Evans Holding Co., Exchangeable Pfd. Stock 237,751
FOREST PRODUCTS--0.1%
5,250 (1)(2)(4) Packaging Corp. of America, Sr. Exchangeable PIK 555,188
HEALTHCARE--0.0%
3,923 River Holding Corp., Sr. Exchangeable PIK 275,591
INDUSTRIAL PRODUCTS & EQUIPMENT--0.2%
1,050 Fairfield Manufacturing Co., Inc., Cumulative Exchangeable Pfd. 1,080,188
Stock
OIL & GAS--0.2%
1,400 (1)(2)(4) R&B Falcon Corp., Unit, 13.875% 1,428,700
PRINTING & PUBLISHING--1.0%
9,750 Primedia, Inc., Cumulative Pfd., Series D, $10.00 1,001,813
39,650 Primedia, Inc., Exchangeable Pfd. Stock, Series G, $2.16 3,647,800
17,450 Primedia, Inc., Pfd., $9.20 1,736,275
Total 6,385,888
TELECOMMUNICATIONS & CELLULAR--0.2%
495 NEXTEL Communications, Inc., Cumulative PIK Pfd., Series D, 13.00% 537,075
830 NEXTEL Communications, Inc., Exchangeable Pfd. Stock, Series E 834,150
Total 1,371,225
TOTAL PREFERRED STOCKS (IDENTIFIED COST $20,189,103) 19,813,937
WARRANTS --0.0%
BUSINESS EQUIPMENT & SERVICES--0.0%
750 (1)(2)(4) Electronic Retailing Systems International, Inc., 3,750
Warrants
CABLE TELEVISION--0.0%
600 (1)(2)(4) Australis Holdings Property Ltd., Warrants 0
27 (1)(2)(4) CS Wireless Systems, Inc. 4
4,275 Diva Systems Corp., Warrants 51,300
1,000 Pegasus Communications Corp., Warrants 60,500
2,400 UIH Australia/Pacific, Warrants 2,700
900 (4) Wireless One, Inc., Warrants 0
Total
CHEMICALS & PLASTICS--0.0%
875 (4) Sterling Chemicals Holdings, Inc., Warrants 13,125
CONSUMER PRODUCTS--0.0%
500 (1)(2)(4) IHF Capital, Inc., Warrants 250
STEEL--0.0%
250 (1)(2)(4) Bar Technologies, Inc., Warrants 5,000
TELECOMMUNICATIONS & CELLULAR--0.0%
1,025 (1)(2)(4) MetroNet Communications Corp., Warrants 76,872
1,750 (1)(2)(4) Pathnet, Inc., Warrants 17,719
Total
TOTAL WARRANTS (IDENTIFIED COST $52,254) 231,220
REPURCHASE AGREEMENT (5)--1.1%
$7,050,000 Goldman Sachs Group, LP, 5.25%, dated 6/30/1999, due 7/1/1999
(AT AMORTIZED COST) 7,050,000
TOTAL INVESTMENTS (IDENTIFIED COST $687,957,769)(6) $662,418,692
</TABLE>
(1) Denotes a restricted security which is subject to restrictions on
resale under federal securities laws. At June 30, 1999, these
securities amounted to $98,108,039 which represents 14.8% of net
assets.
(2) Denotes a restricted security that has been deemed liquid by criteria
approved by the fund's board of directors.
(3) Denotes a Zero Coupon bond with effective rate at time of purchase.
(4) Non-income producing security. (5) The repurchase agreement is fully
collateralized by U.S. government and/or
agency obligations based on market prices at the date of the
portfolio. The investment in the repurchase agreement is through
participation in a joint account with other Federated funds.
(6) The cost of investments for federal tax purposes amounts to
$687,957,769. The net unrealized depreciation of investments on a
federal tax basis amounts to $(25,539,077) which is comprised of
$9,452,448 appreciation and $(34,991,525) depreciation at June 30,
1999.
Note: The categories of investments are shown as a percentage of net assets
($664,085,851) at June 30, 1999.
The following acronyms are used throughout this portfolio:
GTD --Guaranty
PIK --Payment in Kind
PLC --Public Limited Company
REIT --Real Estate Investment Trust
(See Notes which are an integral part of the Financial Statements)
<TABLE>
<CAPTION>
HIGH YIELD BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (UNAUDITED)
ASSETS:
<S> <C> <C>
Total investments in securities, at value (identified and tax 662,418,692 $
cost $687,957,769)
Cash 2,231
Income receivable 12,009,739
Total assets 674,430,662
LIABILITIES:
Payable for investments purchased $ 4,782,230
Income distribution payable 5,551,795
Accrued expenses 10,786
Total liabilities 10,344,811
Net Assets for 72,629,373 shares outstanding 664,085,851 $
NET ASSETS CONSIST OF:
Paid in capital 689,297,678 $
Net unrealized depreciation of investments (25,539,077 )
Accumulated net realized gain on investments 297,440
Undistributed net investment income 29,810
Total Net Assets 664,085,851 $
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PROCEEDS PER
SHARE:
$664,085,851 / 72,629,373 shares outstanding $9.14
(See Notes which are an integral part of the Financial Statements) INVESTMENT
INCOME:
Dividends 1,054,694 $
Interest 29,754,030
Total income 30,808,724
EXPENSES:
Custodian fees $ 7,836
Transfer and dividend disbursing agent fees and expenses 8,460
Directors'/Trustees' fees 1,909
Auditing fees 15,941
Portfolio accounting fees 48,658
Insurance premiums 1,985
Miscellaneous 292
Total expenses 85,081
Net investment income 30,723,643
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments (1,115,519)
Net change in unrealized depreciation of investments (11,510,15)
Net realized and unrealized loss on investments (12,625,67)
Change in net assets resulting from operations 18,097,967 $
(See Notes which are an integral part of the Financial Statements)
Six Months
Ended Period Ended
(unaudited) December 31,
June 30, 1998 (1)
1999
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS--
Net investment income 30,723,643 38,806,486
Net realized gain (loss) on investments
($(1,115,519) and $4,105,121, respectively, as (1,115,519 ) 4,134,201
computed for federal tax purposes)
Net change in unrealized depreciation (11,510,157 ) (14,028,920 )
Change in net assets resulting from operations 18,097,967 28,911,767
DISTRIBUTIONS TO SHAREHOLDERS--
Distributions from net investment income (30,723,643 ) (38,806,486 )
Distributions from net realized gains -- (2,691,432 )
Change in net assets resulting from
distributions to (30,723,643 ) (41,497,918 )
shareholders
SHARE TRANSACTIONS--
Proceeds from sale of shares 131,300,000 736,754,432
Net asset value of shares issued to shareholders in
payment of distributions declared 25,186,345 41,468,846
Cost of shares redeemed (41,580,728 ) (203,831,217 )
Change in net assets resulting from share 114,905,617 574,392,061
transactions
Change in net assets 102,279,941 561,805,910
NET ASSETS:
Beginning of period 561,805,910 --
End of period 664,085,851 561,805,910
</TABLE>
(1) For the period from February 2, 1998 (start of business) to December 31,
1998. The Fund had no public investment. (See Notes which are an integral part
of the Financial Statements)
PERIOD
ENDED
(UNAUDITED)
JUNE 30,
1999 (1)
NET ASSET VALUE, BEGINNING OF PERIOD $10.00
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.23
Net realized and unrealized loss on (0.26 )
investments
Total from investment operations (0.03 )
LESS DISTRIBUTIONS
Distributions from net investment (0.23 )
income
NET ASSET VALUE, END OF PERIOD $9.74
TOTAL RETURN (2) (0.35 )%
RATIOS TO AVERAGE NET ASSETS
Expenses 0.05 %(3)
Net investment income 6.46 %(3)
SUPPLEMENTAL DATA
Net assets, end of period (000 $227,901
omitted)
Portfolio turnover 103 %
(1) For the period from February 22, 1999 (start of business) to June 30, 1999.
The Fund had no public investment. (2) Based on net asset value, which does not
reflect the sales charge or contingent deferred sales charge, if applicable.
(3) Computed on an annualized basis.
(See Notes which are an integral part of the Financial Statements)
HIGH YIELD BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999 (UNAUDITED)
1. ORGANIZATION
Federated Core Trust (the "Trust") is registered under the Investment Company
Act of 1940, as amended (the "Act"), as a diversified, open-end management
investment company. The Trust was created through the purchase of securities
from other Federated Funds and consists of two portfolios, the High Yield Bond
Portfolio (the "Fund") and the Federated Mortgage Core Portfolio. The financial
statements included herein are only for the Fund. The financial statements of
the other portfolio are presented separately. The Fund's investment objective is
to seek high current income by investing primarily in a professionally managed,
diversified portfolio of fixed income securities. The Fund's portfolio of
investments consists primarily of lower rated corporate debt obligations. These
lower rated debt obligations may be more susceptible to real or perceived
adverse economic conditions than investment grade bonds. These lower rated debt
obligations are regarded as predominantly speculative with respect to each
issuer's continuing ability to make interest and principal payments (i.e., the
obligations are subject to the risk of default).
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. These
policies are in conformity with generally accepted accounting principles.
INVESTMENT VALUATIONS - Listed corporate bonds, other fixed income and
asset-backed securities, and unlisted securities and private placement
securities are generally valued at the mean of the latest bid and asked
price as furnished by an independent pricing service. Short-term securities
are valued at the prices provided by an independent pricing service.
However, short-term securities with remaining maturities of sixty days or
less at the time of purchase may be valued at amortized cost, which
approximates fair market value. Investments in other open-ended regulated
investment companies are valued at net asset value.
REPURCHASE AGREEMENTS - It is the policy of the Fund to require the
custodian bank to take possession, to have legally segregated in the Federal
Reserve Book Entry System, or to have segregated within the custodian bank's
vault, all securities held as collateral under repurchase agreement
transactions. Additionally, procedures have been established by the Fund to
monitor, on a daily basis, the market value of each repurchase agreement's
collateral to ensure that the value of collateral at least equals the
repurchase price to be paid under the repurchase agreement transaction.
The Fund will only enter into repurchase agreements with banks and other
recognized financial institutions, such as broker/dealers, which are deemed
by the Fund's adviser to be creditworthy pursuant to the guidelines and/or
standards reviewed or established by the Board of Trustees (the "Trustees").
Risks may arise from the potential inability of counterparties to honor the
terms of the repurchase agreement. Accordingly, the Fund could receive less
than the repurchase price on the sale of collateral securities.
INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS - Interest income and expenses
are accrued daily. Bond premium and discount, if applicable, are amortized
as required by the Internal Revenue Code, as amended (the "Code"). Dividend
income and distributions to shareholders are recorded on the ex-dividend
date. Distributions are determined in accordance with income tax regulations
which may differ from generally accepted accounting principles.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to market discount
reclasses.
FEDERAL TAXES - It is the Fund's policy to comply with the provisions of the
Code applicable to regulated investment companies and to distribute to
shareholders each year substantially all of its income. Accordingly, no
provisions for federal tax are necessary.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS - The Fund may engage in
when-issued or delayed delivery transactions. The Fund records when-issued
securities on the trade date and maintains security positions such that
sufficient liquid assets will be available to make payment for the
securities purchased. Securities purchased on a when-issued or delayed
delivery basis are marked to market daily and begin earning interest on the
settlement date.
USE OF ESTIMATES - The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the amounts of assets, liabilities,
expenses and revenues reported in the financial statements. Actual results
could differ from those estimated.
OTHER - Investment transactions are accounted for on the trade date.
3. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value).
Transactions in shares were as follows:
<TABLE>
<CAPTION>
SIX MONTHS
ENDED PERIOD ENDED
JUNE 30, DECEMBER 31,
<S> <C> <C>
1999 1998 (1)
---- --------
Shares sold 14,036,128 76,779,274
Shares issued to shareholders in payment of 2,683,351 4,340,172
distributions declared
Shares redeemed (4,475,226) (20,734,326)
----------- ------------
Net change resulting from share transactions 12,244,253 60,385,120
========== ==========
</TABLE>
(1) For the period from February 2, 1998 (date of initial public investment) to
December 31, 1998. The Fund had no public investment.
4. INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE - Federated Investment Management Company, is the
Portfolio's investment adviser (the "Adviser"), subject to direction of the
Trustees. The Adviser provides investment advisory services at no fee.
ADMINISTRATIVE FEE - Federated Services Company ("FServ"), a subsidiary of
Federated Investors, Inc. ("Federated") provides administrative personnel
and services (including certain legal and financial reporting services)
necessary to operate the Portfolio. FServ provides these services at an
annual rate which relates to the average aggregate daily net assets of all
funds advised by affiliates of Federated. For the period ended June 30,
1999, the Fund did not pay or accrue an administrative fee.
TRANSFER AND DIVIDEND DISBURSING AGENT FEES AND EXPENSES - FServ, through
its subsidiary, Federated Shareholder Services Company ("FSSC") serves as
transfer and dividend disbursing agent for the Fund. The fee paid to FSSC is
based on the size, type, and number of accounts and transactions made by
shareholders.
PORTFOLIO ACCOUNTING FEES - FServ maintains the Fund's accounting records
for which it receives a fee. The fee is based on the level of the Fund's
average daily net assets for the period, plus out-of-pocket expenses.
GENERAL - Certain of the Officers and Trustees of the Trust are Officers and
Directors or Trustees of the above companies.
5. INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding short-term securities for the
period ended June 30, 1999, were as follows:
PURCHASES $ 296,107,650
-------------
---------------------------
SALES $ 149,465,964
-------------
---------------------------
6. YEAR 2000
Similar to other financial organizations, the Fund could be adversely affected
if the computer systems used by the Fund's service providers do not properly
process and calculate date-related information and data from and after January
1, 2000. The Fund's Adviser and administrator are taking measures that they
believe are reasonably designed to address the Year 2000 issue with respect to
computer systems that they use and to obtain reasonable assurances that
comparable steps are being taken by each of the Fund's other service providers.
At this time, however, there can be no assurance that these steps will be
sufficient to avoid any adverse impact to the Fund.
The following is the Semi-Annual Report for Federated Mortgage Core Portfolio, a
portfolio of Federated Core Trust, covering the six-month period ended June 30,
1999. If you have any questions or comments, please contact your investment
representative.
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C>
MORTGAGE BACKED SECURITIES--100.0%
FEDERAL HOME LOAN MORTGAGE CORPORATION -10.4%
$17,915,307 6.500%, 4/1/2029 17,310,666
1,838,885 7.000%, 12/1/2011 - 7/1/2013 1,849,317
3,028,510 7.500%, 12/1/2022 3,064,997
727,202 8.000%, 5/1/2006 - 10/1/2010 748,231
310,106 8.500%, 9/1/2025 - 1/1/2026 324,143
275,252 9.000%, 5/1/2017 293,402
55,946 9.500%, 4/1/2021 59,583
Total
FEDERAL NATIONAL MORTGAGE ASSOCIATION -43.8%
29,926,434 6.000%, 12/1/2013 -8/1/2029 28,646,303
43,537,606 6.500%, 2/1/2009 - 4/1/2029 42,070,006
13,201,445 7.000%, 7/1/2010 - 7/1/2029 13,112,621
10,026,173 7.500%, 6/1/2011 - 9/1/2029 10,149,535
4,972,484 8.000%, 7/1/2023 - 8/1/2027 5,103,827
280,653 8.500%, 8/1/2023 - 2/1/2025 294,063
460,604 9.000%, 11/1/2021 - 6/1/2025 490,021
Total
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -45.8%
8,839,637 6.000%, 6/15/2028 - 6/15/2029 8,272,031
13,573,102 6.500%, 10/15/2028 - 5/15/2029 13,059,903
49,954,138 7.000%, 9/15/2027 - 8/15/2029 49,318,778
16,157,173 7.500%, 6/20/2007 -8/15/2029 16,336,198
9,809,666 8.000%, 2/15/2010 - 8/15/2029 10,101,519
6,422,714 8.500%, 10/15/2017 - 6/15/2029 6,733,151
258,403 9.000%, 10/15/2016 - 6/15/2025 274,907
313,848 9.500%, 1/15/2019 - 12/15/2025 339,142
Total
TOTAL MORTGAGE BACKED SECURITIES (IDENTIFIED COST
$231,369,460)
REPURCHASE AGREEMENTS (1) --20.8%
5,460,000 (2) Goldman Sachs Group, LP, 4.940%, dated 6/16/1999,
due 7/14/1999 5,460,000
37,509,000 (2) J.P. Morgan & Co., Inc., 4.920%, dated 6/22/1999,
due 7/22/1999 37,509,000
1,925,000 (2) Morgan Stanley Group, Inc., 4.900%, dated 6/14/1999,
due 7/14/1999 1,925,000
2,600,000 Societe Generale Securities Corp., 4.900%, dated
6/30/1999, due 7/1/1999 2,600,000
TOTAL REPURCHASE AGREEMENTS 47,494,000
TOTAL INVESTMENTS (IDENTIFIED COST $278,863,460)(3) $275,446,344
</TABLE>
(1) Although final maturity falls beyond seven days, a liquidity feature
is included in each transaction to permit termination of the
repurchase agreement within seven days.
(2) The repurchase agreements are fully collateralized by U.S. government
and/or agency obligations based on market prices at the date of the
portfolio. The investments in the repurchase agreements are through
participation in joint accounts with other Federated funds.
(3) The cost of investments for federal tax purposes amounts to
$278,863,460. The net unrealized depreciation of investments on a
federal tax basis amounts to $3,417,116 which is comprised of $376,936
appreciation and $3,794,052 depreciation at June 30, 1999.
Note: The categories of investments are shown as a percentage of net assets
($227,901,085) at June 30, 1999.
The following acronym is used throughout this portfolio:
LP --Limited Partnership
(See Notes which are an integral part of the Financial Statements)
<TABLE>
<CAPTION>
FEDERATED MORTGAGE CORE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (UNAUDITED)
ASSETS:
<S> <C> <C>
Investments in repurchase agreements $ 47,494,000
Investments in securities 227,952,344
Total investments in securities, at value (identified cost and 275,446,344
tax cost $278,863,460)
Cash 178
Income receivable 1,282,450
Receivable for investments sold 1,905,126
Total assets 278,634,098
LIABILITIES:
Payable for investments purchased $ 49,522,419
Income distribution payable 1,199,069
Accrued expenses 11,525
Total liabilities 50,733,013
Net Assets for 23,407,277 shares outstanding 227,901,085
NET ASSETS CONSIST OF:
Paid in capital 233,644,866
Net unrealized depreciation of investments (3,417,116 )
Accumulated net realized loss on investments (2,274,183 )
Net operating loss (52,482 )
Total Net Assets 227,901,085
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PROCEEDS PER SHARE:
$227,901,085 / 23,407,277 shares outstanding $9.74
(See Notes which are an integral part of the Financial Statements) INVESTMENT
INCOME:
Interest (net of dollar roll expense of $40,795) 5,561,600
EXPENSES:
Custodian fees $ 3,855
Transfer and dividend disbursing agent fees and expenses 4,931
Directors'/Trustees' fees 822
Auditing fees 9,864
Legal fees 2,877
Portfolio accounting fees 13,974
Insurance premiums 1,233
Miscellaneous 3,647
Total expenses
Net investment income 5,520,397
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments (2,274,183)
Net change in unrealized depreciation of investments (3,417,116)
Net realized and unrealized loss on investments (5,691,299)
Change in net assets resulting from operations (170,902 )
(a) For the period from February 22, 1999 (start of business) to June 30, 1999.
The Fund had no public investment.
(See Notes which are an integral part of the Financial Statements)
Period Ended
(unaudited)
June 30, 1999
(a)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS--
Net investment income 5,520,397
Net realized loss on investments ($(2,274,183) as
computed for federal tax purposes) (2,274,183 )
Net change in unrealized depreciation (3,417,116 )
Change in net assets resulting from operations (170,902 )
DISTRIBUTIONS TO SHAREHOLDERS--
Distributions from net investment income (5,572,879 )
SHARE TRANSACTIONS--
Proceeds from sale of shares 306,459,858
Net asset value of shares issued to shareholders in
payment of distributions declared 4,366,465
Cost of shares redeemed (77,181,457 )
Change in net assets resulting from share 233,644,866
transactions
Change in net assets 227,901,085
NET ASSETS:
Beginning of period --
End of period 227,901,085
</TABLE>
(a) For the period from February 22, 1999 (start of business) to June 30,
1999. The Fund had no public investment.
(See Notes which are an integral part of the Financial Statements)
PERIOD
ENDED
(UNAUDITED)
JUNE 30,
1999 (1)
NET ASSET VALUE, BEGINNING OF PERIOD $10.00
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.23
Net realized and unrealized loss on (0.26 )
investments
Total from investment operations (0.03 )
LESS DISTRIBUTIONS
Distributions from net investment (0.23 )
income
NET ASSET VALUE, END OF PERIOD $9.74
TOTAL RETURN (2) (0.35 )%
RATIOS TO AVERAGE NET ASSETS
Expenses 0.05 %(3)
Net investment income 6.46 %(3)
SUPPLEMENTAL DATA
Net assets, end of period (000 $227,901
omitted)
Portfolio turnover 103 %
(1) For the period from February 22, 1999 (start of business) to June 30, 1999.
The Fund had no public investment. (2) Based on net asset value, which does not
reflect the sales charge or contingent deferred sales charge, if applicable.
(3) Computed on an annualized basis.
(See Notes which are an integral part of the Financial Statements)
FEDERATED MORTGAGE CORE PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999 (UNAUDITED)
1. ORGANIZATION
Federated Core Trust (the "Trust") is registered under the Investment Company
Act of 1940, as amended (the "Act"), as a diversified, open-end management
investment company. The Trust was created through the purchase of securities
from other Federated Funds and consists of two portfolios, the Federated
Mortgage Core Portfolio (the "Fund") and the Federated High Yield Bond
Portfolio. The financial statements included herein are only for the Fund. The
financial statements of the other portfolio are presented separately. The Fund's
investment objective, which is to provide total return, is intended for use by
other Federated Funds that utilize some portion of mortgage backed securities.
The Fund's portfolio of investments consists primarily of U.S. Treasury Bills,
Notes, Bonds, Discount Notes and Mortgage Backed Securities issued or guaranteed
by the U.S. Government.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. These
policies are in conformity with generally accepted accounting principles.
INVESTMENT VALUATIONS
Listed corporate bonds, other fixed income and asset-backed securities, and
unlisted securities and private placement securities are generally valued at
the mean of the latest bid and asked price as furnished by an independent
pricing service. Short-term securities are valued at the prices provided by
an independent pricing service. However, short-term securities with
remaining maturities of sixty days or less at the time of purchase may be
valued at amortized cost, which approximates fair market value. Investments
in otther open-ended regulated investment companies are valued at net asset
value.
REPURCHASE AGREEMENTS
It is the policy of the Fund to require the custodian bank to take
possession, to have legally segregated in the Federal Reserve Book Entry
System, or to have segregated within the custodian bank's vault, all
securities held as collateral under repurchase agreement transactions.
Additionally, procedures have been established by the Fund to monitor, on a
daily basis, the market value of each repurchase agreement's collateral to
ensure that the value of collateral at least equals the repurchase price to
be paid under the repurchase agreement transaction.
The Fund will only enter into repurchase agreements with banks and other
recognized financial institutions, such as broker/dealers, which are deemed
by the Fund's adviser to be creditworthy pursuant to the guidelines and/or
standards reviewed or established by the Board of Trustees (the "Trustees").
Risks may arise from the potential inability of counterparties to honor the
terms of the repurchase agreement. Accordingly, the Fund could receive less
than the repurchase price on the sale of collateral securities.
INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS
Interest income and expenses are accrued daily. Bond premium and discount,
if applicable, are amortized as required by the Internal Revenue Code, as
amended (the "Code"). Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Distributions are determined in accordance
with income tax regulations which may differ from generally accepted
accounting principles.
FEDERAL TAXES
It is the Fund's policy to comply with the provisions of the Code applicable
to regulated investment companies and to distribute to shareholders each
year substantially all of its income. Accordingly, no provisions for federal
tax are necessary.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS
The Fund may engage in when-issued or delayed delivery transactions. The
Fund records when-issued securities on the trade date and maintains security
positions such that sufficient liquid assets will be available to make
payment for the securities purchased. Securities purchased on a when-issued
or delayed delivery basis are marked to market daily and begin earning
interest on the settlement date.
USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts of assets, liabilities, expenses and
revenues reported in the financial statements. Actual results could differ
from those estimated.
OTHER
Investment transactions are accounted for on the trade date.
3. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value).
Transactions in shares were as follows:
PERIOD ENDED
JUNE 30,
1999 (1)
Shares sold 30,728,926
Shares issued to shareholders in payment of 439,432
distributions declared
Shares redeemed (7,761,081)
-----------
Net change resulting from share transactions 23,407,277
(1) For the period from February 22, 1999 (start of business) to June 30, 1999.
The Fund had no public investment.
4. INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE
Federated Investment Management Company is the Portfolio's investment
adviser (the "Adviser"), subject to direction of the Trustees. The Adviser
provides investment advisory services at no fee.
Kathleen M. Foody-Malus has been the Fund's portfolio manager since 1999.
Ms. Foody-Malus joined Federated in 1983 and has been a Senior Portfolio Manager
since 1996 and a Vice President of the Fund's Adviser since 1993. She was a
Portfolio Manager and a Vice President of the Fund's Adviser from 1993 to 1996.
Ms. Foody-Malus received her M.B.A. in Accounting/Finance from the University of
Pittsburgh.
Todd A. Abraham has been the Fund's portfolio manager since 1999. Mr.
Abraham has been a Portfolio Manager since 1995 and a Vice President of the
Fund's Adviser since 1997. Mr. Abraham joined Federated in 1993 as an Investment
Analyst and served as Assistant Vice President from 1995 to 1997. Mr. Abraham
served as a Portfolio Analyst at Ryland Mortgage Co. from 1992 to 1993. Mr.
Abraham is a Chartered Financial Analyst and received his M.B.A. in Finance from
Loyola College.
Donald T. Ellenberger has been the Fund's portfolio manager since 1999. Mr.
Ellenberger joined Federated in 1996 as a Portfolio Manager and a Vice President
of a Federated advisory subsidiary. He has been a Vice President of the Fund's
Adviser since 1997. From 1986 to 1996, he served as a Trader/Portfolio Manager
for Mellon Bank, N.A. Mr. Ellenberger received his M.B.A. in Finance from
Stanford University.
ADMINISTRATIVE FEE
Federated Services Company ("FServ"), a subsidiary of Federated Investors,
Inc. ("Federated"), provides administrative personnel and services
(including certain legal and financial reporting services) necessary to
operate the Portfolio. FServ provides these services at an annual rate which
relates to the average aggregate daily net assets of all funds advised by
affiliates of Federated. For the period ended June 30, 1999, the Fund did
not pay or accrue an administrative fee.
TRANSFER AND DIVIDEND DISBURSING AGENT FEES AND EXPENSES
FServ, through its subsidiary, Federated Shareholder Services Company
("FSSC") serves as transfer and dividend disbursing agent for the Trust. The
fee paid to FSSC is based on the size, type, and number of accounts and
transactions made by shareholders.
PORTFOLIO ACCOUNTING FEES
FServ maintains the Trust's accounting records for which it receives a fee.
The fee is based on the level of the Trust's average daily net assets for the
period, plus out-of-pocket expenses.
GENERAL
Certain of the Officers and Trustees of the Trust are Officers and Directors
or Trustees of the above companies.
5. INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding short-term securities, for the
period ended June 30, 1999, were as follows:
PURCHASES $497,039,369
-------------------------------
SALES $249,979,557
-------------------------------
6. YEAR 2000
Similar to other financial organizations, the Fund could be adversely affected
if the computer systems used by the Fund's service providers do not properly
process and calculate date-related information and data from and after January
1, 2000. The Fund's Adviser and administrator are taking measures that they
believe are reasonably designed to address the Year 2000 issue with respect to
computer systems that they use and to obtain reasonable assurances that
comparable steps are being taken by each of the Fund's other service providers.
At this time, however, there can be no assurance that these steps will be
sufficient to avoid any adverse impact to the Fund.
