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,
2000. If you have any questions or comments, please contact your investment
representative.
FEDERATED MORTGAGE CORE PORTFOLIO
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX
MONTHS PERIOD
ENDED ENDED
(UNAUDITED)DECEMBER
JUNE 30, 31,
2000 1999 (1)
NET ASSET VALUE, BEGINNING OF $9.55 $10.00
PERIOD
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.34 0.55
Net realized and unrealized
gain (loss) on investments ------ --- ------ )
0.00 (2) (0.45
Total from investment 0.34 0.10
operations
LESS DISTRIBUTIONS
Distributions from net (0.34 ) (0.55 )
investment income
NET ASSET VALUE, END OF PERIOD $9.55 $9.55
TOTAL RETURN (3) 3.59 % 1.07 %
RATIOS TO AVERAGE NET ASSETS
Expenses 0.05 %(4) 0.05 %(4)
Net investment income 7.16 %(4) 6.66 %(4)
Expense waiver/reimbursement 0.08 %(4) 0.08 %(4)
(5)
SUPPLEMENTAL DATA
Net assets, end of period $314,629 $258,304
(000 omitted)
Portfolio turnover 37 % 153 %
--------------------------------------------------------------------------------
(1)Reflects operations for the period from February 22, 1999 (date of initial
investment) to December 31, 1999.
(2) Amount represents less than $0.01 per share.
(3) Based on net asset value, which does not reflect the sales charge or
contingent deferred sales charge, if applicable.
(4) Computed on an annualized basis.
(5) This voluntary expense decrease is reflected in both the expense and the net
investment income ratios shown above.
See Notes which are an integral part of the Financial Statements
FEDERATED MORTGAGE CORE PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000 ( UNAUDITED)
--------------------------------------------------------------------------------
1. ORGANIZATION
Federated Core Trust (the "Trust") is registered under the Investment Company
Act of 1940, as amended (the "Act"), as a open-end management investment
company. The Trust consists of two diversified 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
was created through the purchase of securities from other Federated Funds. The
Fund's investment objective is to provide total return by investing in U.S.
Treasury Bills, Notes, Bonds, Discount Notes and Mortgage Backed Securities
issued or guaranteed by the U.S. government. The Fund is an investment vehicle
used by other Federated Funds that invest some portion of their assets in
mortgage backed securities. Currently, the Fund is only available for purchase
by other Federated Funds and their affiliates.
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 VALUATION
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.
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. The Fund,
along with other affiliated investment companies, may utilize a joint trading
account for the purpose of entering into one or more repurchase agreement.
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.
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 provision for federal tax is
necessary.
At December 31, 1999, the Fund, for federal tax purposes, had a capital loss
carryforward of $4,071,741, which will reduce taxable income arising from
future net realized gain on investments, if any, to the extent permitted by
the Code, and thus will reduce the amount of the distributions to
shareholders which would otherwise be necessary to relieve the Fund in 2007
of any liability for federal tax. Pursuant to the Code, such capital loss
carry forward will expire in 2007.
Additionally, the Fund's net capital losses of $172,394 attributable to
security transactions incurred after October 31, 1999 were treated as arising
on January 1, 2000, the first day of the Fund's next taxable year.
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. Losses may occur on these transactions due
to changes in market conditions or the failure of counterparties to perform
under the contract.
DOLLAR ROLL TRANSACTIONS
The Fund may engage in dollar roll transactions, with respect to mortgage
securities issued by GNMA, FNMA, and FHLMC, in which the Fund sells the
mortgage securities to financial institutions and simultaneously agrees to
accept substantially similar (same type, coupon and maturity) securities at a
later date at an agreed upon price. Dollar roll transactions involve "to be
announced" securities and are treated as short-term financing arrangements
which will not exceed twelve months. The Fund will use the proceeds generated
from the transactions to invest in short-term investments, which may enhance
the current yield and total return.
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 a trade date basis.
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:
SIX MONTHS ENDED PERIOD ENDED
JUNE 30, 2000 DECEMBER 31, 1999
(1)
Shares sold 9,128,200 37,597,363
Shares issued to shareholders in 905,607 1,475,968
payment of distribution declared
Shares redeemed (4,128,640) (12,031,972)
----------- ------------
Net change resulting from share 5,905,167 27,041,359
========= ==========
transactions
(1) Reflects operations for the period from February 22, 1999 (date of initial
investment) to December 31, 1999.
4. INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISER FEE
Federated Investment Management Company is the Portfolio's investment adviser
(the "Adviser"), subject to direction of the Trustees. The Adviser provides
investment adviser services at no fee.
ADMINISTRATIVE FEE - Federated Services Company ("FServ"), a subsidiary of
Federated Investors, Inc., provides administrative personnel and services
(including certain legal and financial reporting services) necessary to
operate the Fund. FServ, provides these services at an annual rate that
ranges from 0.15% to 0.075% of the average aggregate daily net assets of all
funds advise by affiliates of Federated Investors, Inc. FServ may voluntarily
waive all or a portion of the administrative fee paid by the Fund. FServ may
terminate this voluntary waiver at any time.
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 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 (and in-kind
contributions), for six months ended June 30, 2000, were as follows:
PURCHASES $174,070,229
-------------------------------------------------
SALES $109,726,249
-------------------------------------------------
FEDERATED MORTGAGE CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
------------- ------------------------------------------------- -------------
AMOUNT VALUE
MORTGAGE BACKED SECURITIES--100.4%
FEDERAL HOME LOAN MORTGAGE CORPORATION--12.3%
$ (1) 6.000%, 5/1/2014 $
(1) 6.500%, 7/1/2014 - 6/1/2029
4,105,721 7.000%, 12/1/2011 - 9/1/2029 3,980,849
4,800,475 7.500%, 12/1/2022 - 1/1/2030 4,740,847
3,922,385 8.000%, 5/1/2006 - 3/1/2030 3,945,282
224,440 8.500%, 9/1/2025 - 1/1/2026 228,989
247,571 9.000%, 5/1/2017 254,226
40,435 9.500%, 4/1/2021 41,939
Total
FEDERAL NATIONAL MORTGAGE ASSOCIATION--64.4%
45,650,906 6.000%, 7/1/2006 - 6/1/2029 42,449,539
62,972,752 6.500%, 5/1/2006 - 4/1/2030 59,751,652
59,369,622 7.000%, 7/1/2010 - 1/1/2030 57,543,297
35,873,886 7.500%, 6/1/2011 - 4/1/2030 35,393,801
(1) 8.000%, 7/1/2023 - 8/1/2027
235,663 8.500%, 3/1/2030 239,933
352,987 9.000%, 11/1/2021 - 6/1/2025 362,969
Total
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--23.7%
3,593,096 6.000%, 3/15/2029 - 6/15/2029 3,309,667
15,567,598 6.500%, 10/15/2028 - 3/15/2029 14,774,097
20,623,056 (1) 7.000%, 11/15/2027 - 2/15/2030 20,053,846
10,635,572 7.500%, 6/20/2007 - 10/15/2029 10,559,650
14,106,313 8.000%, 2/15/2010 - 4/20/2030 14,236,866
6,488,209 8.500%, 11/15/2021 - 11/15/2029 6,641,450
209,211 9.000%, 10/15/2016 - 6/15/2025 216,365
(1) 9.500%, 1/15/2019 - 5/15/2030
1,812,283 12.000%, 4/15/2015 - 6/15/2015 2,016,165
Total
TOTAL MORTGAGE BACKED SECURITIES (IDENTIFIED
COST $320,407,062) 315,760,718
REPURCHASE AGREEMENTS (2)--6.9%
21,600,000 (3) Credit Suisse First Boston, Inc., 6.460%,
dated 6/13/2000, due 7/17/2000 21,600,000
175,000 Warburg Dillon Reed LLC, 6.900%, dated
6/30/2000, due 7/3/2000 175,000
TOTAL REPURCHASE AGREEMENTS (AT AMORTIZED 21,775,000
COST)
TOTAL INVESTMENTS (IDENTIFIED COST $337,535,718
$342,182,062)(4)
(1) This represents a TBA security. All or a portion of these
securities may be subject to dollar roll transactions.
(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) 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 if the creditworthiness of the issuer is
downgraded.
(4) The cost of investments for federal tax purposes amounts to $342,182,062.
The net unrealized depreciation of investments on a federal tax basis
amounts to $(4,646,344) which is comprised of $513,457 appreciation and
$(5,159,801) depreciation at June 30, 2000.
================================================================================
Note: The categories of investments are shown as a percentage of net
assets ($314,629,157) at June 30, 2000.
The following acronym is used throughout this portfolio:
TBA --To Be Announced
See Notes which are an integral part of the Financial Statements
FEDERATED MORTGAGE CORE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS:
Total investments in securities, at value (identified 337,535,718 $
and tax cost $342,182,062)
Cash 29
Income receivable 1,848,795
Receivable for investments sold 4,750,414
Total assets 344,134,956
LIABILITIES:
Payable for investments purchased $ 5,891,994
Income distribution payable 1,931,221
Payable for dollar roll transactions 21,642,099
Accrued expenses 40,485
Total liabilities 29,505,799
Net Assets for 32,946,526 shares outstanding 314,629,157 $
NET ASSETS CONSIST OF:
Paid in capital 325,111,231 $
Net unrealized depreciation of investments (4,646,34)
Accumulated net realized loss on investments (5,943,38)
Undistributed net investment income 107,656
Total Net Assets 314,629,157 $
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION
PROCEEDS PER SHARE:
$314,629,157 / 32,946,526 shares outstanding $9.55
See Notes which are an integral part of the Financial Statements
=======================================================================================
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,
2000. If you have any questions or comments, please contact your investment
representative.
HIGH YIELD BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
---------------------------------------------------------------------------------------
</TABLE>
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX
MONTHS YEAR PERIOD
ENDED ENDED ENDED
(UNAUDITED) DECEMBER
JUNE 30, DECEMBER 31,
31,
2000 1999 1998 (1)
NET ASSET VALUE, BEGINNING OF $8.72 $9.30 $10.00
PERIOD
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.46 0.91 0.84
Net realized and unrealized (0.62 ) (0.56 ) (0.65 )
loss on investments
Total from investment (0.16 ) 0.35 0.19
operations
LESS DISTRIBUTIONS
Distributions from net (0.46 ) (0.91 ) (0.84 )
investment income
Distributions from net
realized gain on investments ------ ----- ) ------ --
-- (0.02 (0.05 )
Total distributions (0.46 ) (0.93 ) (0.89 )
NET ASSET VALUE, END OF PERIOD $8.10 $8.72 $9.30
TOTAL RETURN (2) (1.74 %) 3.83 % 1.96 %
RATIOS TO AVERAGE NET ASSETS
Expenses 0.04 %(3) 0.03 % 0.04 %(3)
Net investment income 11.20 %(3) 10.07 % 9.60 %(3)
Expense waiver/reimbursement 0.08 %(3) 0.08 % 0.08 %(3)
(4)
SUPPLEMENTAL DATA
Net assets, end of period $626,028 $699,088 $561,806
(000 omitted)
Portfolio turnover 9 % 49 % 55 %
--------------------------------------------------------------------------------
(1)Reflects operations for the period from January 31, 1998 (date of initial
investment) to December 31, 1998.
(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.
(4)This voluntary expense decrease is reflected in both the expense and the net
investment income ratios shown above.
See Notes which are an integral part of the Financial Statements
HIGH YIELD BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000 (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 those 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). Currently, the Fund is only
available for purchase by other Federated Funds and their affiliates.
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 VALUATION - 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.
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. The Fund,
along with other affiliated investment companies, may utilize a joint trading
account for the purpose of entering into one or more repurchase agreements.
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. Non-cash dividends included in dividend income, if any, are recorded at
fair value.
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
provision for federal tax is necessary.
At December 31, 1999, the Fund, for federal tax purposes, had a capital loss
carryforward of $1,148,442, which will reduce taxable income arising from
future net realized gain on investments, if any, to the extent permitted by
the Code, and thus will reduce the amount of the distributions to
shareholders which would otherwise be necessary to relieve the Fund of any
liability for federal tax. Pursuant to the Code, such capital loss
carryforward will expire in 2007.
Additionally, the Fund's net capital losses of $1,397,877 attributable to
security transaction s incurred after October 31, 1999, were treated as
arising on January 1, 2000, the first day of the Fund's next taxable year.
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.
RESTRICTED SECURITIES - Restricted securities are securities that may only be
resold upon registration under federal securities laws or in transactions
exempt from such registration. In some cases, the issuer of restricted
securities has agreed to register such securities for resale, at the issuer's
expense either upon demand by the Fund or in connection with another
registered offering of the securities. Many restricted securities may be
resold in the secondary market in transactions exempt from registration. Such
restricted securities may be determined to be liquid under criteria
established by the Trustees. The Fund will not incur any registration costs
upon such resales. The Fund's restricted securities are valued at the price
provided by dealers in the secondary market or, if no market prices are
available, at the fair value as determined by the Fund's pricing committee.
Additional information on each restricted security held at June 30, 2000 is
as follows:
SECURITY ACQUISITION DATE ACQUISITION COST
-------------------------------------------------------------------------
-------------------------------------------------------------------------
AmeriTruck Distribution Corp. 11/10/1995 - $1,080,586
10/22/1997
Clark Material Handling Corp. 11/22/1996 - 1,845,420
11/12/1997
Dyersburg Corp. 9/3/1997 - 711,591
9/15/1997
Electronic Retailing Systems 1/21/1997 555,202
International, Inc.
Glenoit Corp. 3/26/1997 - 1,685,113
5/20/1998
Royal Oaks Mines, Inc. 2/24/1999 6,392
US Xchange, LLC 6/22/1998 - 2,972,000
8/26/1999
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 a trade date basis.
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:
SIX MONTH ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31,
1999
Shares sold 4,624,258 23,276,427
Shares issued to shareholders in 3,570,134 7,494,091
payment of distributions declared
Shares redeemed (11,118,597) (10,972,164)
------------ ------------
Net change resulting from share (2,924,205) 19,798,354
=========== ==========
transactions
4. INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISER FEE - Federated Investment Management Company, is the
Fund's investment adviser (the "Adviser"), subject to direction of the
Trustees. The Adviser provides investment adviser services at no fee.
ADMINISTRATIVE FEE - Federated Services Company ("FServ"), a subsidiary of
Federated Investors, Inc., provides administrative personnel and services
(including certain legal and financial reporting services) necessary to
operate the Fund. FServ provides these services at an annual rate that ranges
from 0.15% to 0.075% of average aggregate daily net assets of all funds
advise by affiliates of Federated Investors. FServ may voluntarily waive all
or a portion of the administrative fee paid by the Fund. FServ may terminate
this voluntary waiver at any time.
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 (and in-kind
contributions) for the six months ended June 30, 2000, were as follows:
PURCHASES $ 55,499,560
------------
-------------------------------------------------
SALES $ 95,440,834
------------
-------------------------------------------------
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
PRINCIPAL
------------- ------------------------------------------------- -------------
AMOUNT VALUE
CORPORATE BONDS--92.6%
AEROSPACE & DEFENSE--0.3%
$1,850,000 Anteon Corp., Sr. Sub. Note, 12.00%, 5/15/2009 $1,702,000
500,000 (1)(2) Condor Systems, Inc., Sr. Sub. Note, 245,000
11.875%, 5/1/2009
Total 1,947,000
AUTOMOBILE--3.6%
2,175,000 Accuride Corp., Sr. Sub. Note, Series B, 9.25%, 1,859,625
2/1/2008
1,701,000 Aftermarket Technology Co., Sr. Sub. Note, 1,709,505
12.00%, 8/1/2004
380,000 Aftermarket Technology Co., Sr. Sub. Note,
Series D, 12.00%, 8/1/2004 381,900
4,000,000 American Axle & Manufacturing, Inc., Company
Guarantee, 9.75%, 3/1/2009 3,770,000
1,900,000 Collins & Aikman Products Co., Sr. Sub. Note,
11.50%, 4/15/2006 1,828,750
1,700,000 HDA Parts System, Inc., Sr. Sub. Note, 12.00%, 1,232,500
8/1/2005
2,200,000 (1)(2) J.L. French Automotive Castings, Inc.,
Sr. Sub. Note, Series B, 11.50%, 6/1/2009 2,013,000
5,575,000 Lear Corp., Company Guarantee, 8.11%, 5/15/2009 5,105,250
600,000 Lear Corp., Sub. Note, 9.50%, 7/15/2006 585,000
2,500,000 Motor Coach Industries International, Inc.,
Company Guarantee, 11.25%, 5/1/2009 2,187,500
1,975,000 Oxford Automotive, Inc., Company Guarantee,
10.125%, 6/15/2007 1,826,875
Total 22,499,905
BANKING--1.1%
7,500,000 GS Escrow Corp., Sr. Note, 7.125%, 8/1/2005 6,682,350
BEVERAGE & TOBACCO--0.1%
850,000 National Wine & Spirits, Inc., Company
Guarantee, 10.125%, 1/15/2009 822,375
BROADCAST RADIO & TV--5.9%
2,525,000 (3) ACME Television, LLC, Company Guarantee,
0/10.875%, 9/30/2004 -------------
2,424,000
239,300 AMFM, Inc., Deb., 12.625%, 10/31/2006 276,391
3,150,000 (3) Big City Radio, Inc., Company Guarantee,
0/11.25%, 3/15/2005 1,779,750
1,236,000 Capstar Broadcasting Partners, Inc., Bond, 1,430,670
12.00%, 7/1/2009
1,150,000 Capstar Broadcasting Partners, Inc., Sr. Sub.
Note, 9.25%, 7/1/2007 1,158,625
2,000,000 Chancellor Media Corp., Company Guarantee, 2,020,000
8.00%, 11/1/2008
2,375,000 Chancellor Media Corp., Company Guarantee, 2,434,375
9.00%, 10/1/2008
6,550,000 Chancellor Media Corp., Sr. Sub. Note, 8.125%, 6,607,312
12/15/2007
1,675,000 Chancellor Media Corp., Sr. Sub. Note, 8.75%, 1,700,125
6/15/2007
6,550,000 (3) Fox/Liberty Networks, LLC, Sr. Disc. Note,
0/9.75%, 8/15/2007 5,125,375
1,300,000 Fox/Liberty Networks, LLC, Sr. Note, 8.875%, 1,290,250
8/15/2007
1,300,000 Lamar Media Corp., Sr. Sub. Note, 9.625%, 1,309,750
12/1/2006
2,900,000 Orion Network Systems, Sr. Note, 11.25%, 1,696,500
1/15/2007
1,175,000 Sinclair Broadcast Group, Inc., Sr. Sub. Note, 1,132,406
10.00%, 9/30/2005
5,250,000 Sinclair Broadcast Group, Inc., Sr. Sub. Note, 4,646,250
8.75%, 12/15/2007
1,800,000 (1)(2) XM Satellite Radio, Inc., Unit, 14.00%, 1,597,500
3/15/2010
Total 36,629,279
BUILDING & DEVELOPMENT--0.7%
1,375,000 American Builders & Contractors Supply Co.,
Inc., Sr. Sub. Note, 10.625%, 5/15/2007 1,134,375
2,175,000 Formica Corp., Sr. Sub. Note, Series B, 10.875%, 1,685,625
3/1/2009
925,000 Juno Lighting, Inc., Company Guarantee, 11.875%, 772,375
7/1/2009
1,000,000 NCI Building System, Inc., Sr. Sub. Note, Series
B, 9.25%, 5/1/2009 945,000
Total 4,537,375
BUSINESS EQUIPMENT & SERVICES--1.8%
2,750,000 Buhrmann US, Inc., Company Guarantee, 12.25%, 2,873,750
11/1/2009
750,000 (1) Electronic Retailing Systems International,
Inc., Sr. Disc. Note, 13.25%, 2/1/2004 159,375
4,675,000 Fisher Scientific International, Inc., Sr. Sub.
Note, 9.00%, 2/1/2008 4,359,437
2,725,000 Fisher Scientific International, Inc., Sr. Sub.
Note, 9.00%, 2/1/2008 2,541,062
5,325,000 U.S. Office Products Co., Sr. Sub. Note, 9.75%, 1,198,125
6/15/2008
Total 11,131,749
CABLE TELEVISION--10.7%
8,979 (4) Australis Media Ltd., Sr. Disc. Note, 135
5/15/2003
525,000 (4) Australis Media Ltd., Unit, 15.75%, 5/15/2003 7,875
900,000 CSC Holdings, Inc., Sr. Note, 7.875%, 12/15/2007 872,577
3,350,000 CSC Holdings, Inc., Sr. Sub. Deb., 9.875%, 3,400,250
2/15/2013
2,300,000 CSC Holdings, Inc., Sr. Sub. Note, 9.25%, 2,311,500
11/1/2005
475,000 CSC Holdings, Inc., Sr. Sub. Note, 9.875%, 479,750
5/15/2006
12,000,000 (3) Charter Communications Holdings Capital
Corp., Sr. Disc. Note, 0/9.92%, 4/1/2011 6,870,000
4,675,000 (3) Diamond Cable Communications PLC, Sr. Disc.
Note, 0/10.75%, 2/15/2007 3,588,062
1,925,000 (3) Diamond Cable Communications PLC, Sr. Disc.
Note, 0/11.75%, 12/15/2005 1,838,375
7,075,000 Echostar DBS Corp., Sr. Note, 9.375%, 2/1/2009 6,898,125
4,250,000 (3) International Cabletel, Inc., Sr. Defd. Cpn.
Note, 0/11.50%, 2/1/2006 3,931,250
2,350,000 Lenfest Communications, Inc., Sr. Sub. Note, 2,328,074
8.25%, 2/15/2008
5,600,000 (3) NTL, Inc., Sr. Disc. Note, 0/12.375%, 3,640,000
10/1/2008
9,800,000 (3) NTL, Inc., Sr. Note, 0/9.75%, 4/1/2008 6,174,000
2,475,000 NTL, Inc., Sr. Note, 11.50%, 10/1/2008 2,487,375
2,150,000 Pegasus Communications Corp., Sr. Note, 9.625%, 2,085,500
10/15/2005
2,250,000 Pegasus Communications Corp., Sr. Note, 9.75%, 2,182,500
12/1/2006
825,000 Pegasus Media, Note, 12.50%, 7/1/2005 862,125
1,600,000 (3) RCN Corp., Sr. Disc. Note, 0/11.125%, 984,000
10/15/2007
2,750,000 (3) RCN Corp., Sr. Note, 0/11.00%, 7/1/2008 1,498,750
1,400,000 Rogers Cablesystems Ltd., Sr. Sub. GTD Note, 1,505,000
11.00%, 12/1/2015
1,000,000 (3) TeleWest PLC, Sr. Disc. Note, 0/9.25%, 545,000
4/15/2009
750,000 TeleWest PLC, Sr. Note, 11.25%, 11/1/2008 765,000
2,700,000 (3) UIH Australia/Pacific, Sr. Disc. Note, 2,470,500
0/14.00%, 5/15/2006
3,900,000 (1)(2)(3) United International Holdings, Inc.,
Sr. Secd. Disc. Note, 0/10.75%, 2/15/2008 2,710,500
8,900,000 (3) United Pan-Europe Communications NV, Sr.
Disc. Note, Series B, 0/12.50%, 8/1/2009 4,405,500
4,700,000 (3) United Pan-Europe Communications NV, Sr.
Disc. Note, Series B, 0/13.375%, 11/1/2009 2,303,000
Total 67,144,723
CHEMICALS & PLASTICS--4.3%
1,600,000 Buckeye Cellulose Corp., Sr. Sub. Note, 9.25%, 1,588,000
9/15/2008
400,000 Foamex LP, Sr. Sub. Note, 13.50%, 8/15/2005 344,000
1,200,000 General Chemical Industrial Products, Inc., Sr.
Sub. Note, 10.625%, 5/1/2009 1,050,000
825,000 Georgia Gulf Corp., Company Guarantee, 10.375%, 858,000
11/1/2007
2,425,000 (1)(2) Huntsman Corp., Sr. Sub. Note, 9.50%, 2,194,625
7/1/2007
2,200,000 Huntsman ICI Chemicals LLC, Sr. Sub. Note, 2,222,000
10.125%, 7/1/2009
1,575,000 ISP Holding, Inc., Sr. Note, 9.00%, 10/15/2003 1,464,750
1,108,000 ISP Holding, Inc., Sr. Note, 9.75%, 2/15/2002 1,074,760
6,775,000 Lyondell Chemical Co., Sr. Sub. Note, Series B,
10.875%, 5/1/2009 6,741,125
3,650,000 Polymer Group, Inc., Sr. Sub. Note, 8.75%, 3,084,250
3/1/2008
2,750,000 Polymer Group, Inc., Sr. Sub. Note, 9.00%, 2,351,250
7/1/2007
1,700,000 (3) Sterling Chemicals Holdings, Inc., Sr. Disc.
Note, 0/13.50%, 8/15/2008 637,500
1,500,000 Sterling Chemicals Holdings, Inc., Sr. Sub. 1,237,500
Note, 11.75%, 8/15/2006
2,500,000 Texas Petrochemicals Corp., Sr. Sub. Note, 2,137,500
11.125%, 7/1/2006
Total 26,985,260
CLOTHING & TEXTILES--0.7%
1,000,000 Collins & Aikman Floorcoverings, Inc., Sr. Sub.
Note, 10.00%, 1/15/2007 975,000
675,000 (1) Dyersburg Corp., Sr. Sub. Note, 9.75%, 70,875
9/1/2007
2,650,000 GFSI, Inc., Sr. Sub. Note, 9.625%, 3/1/2007 1,921,250
1,625,000 (1)(4) Glenoit Corp., Sr. Sub. Note, 11.00%, 235,625
4/15/2007
1,875,000 Pillowtex Corp., Sr. Sub. Note, 10.00%, 684,375
11/15/2006
2,150,000 Pillowtex Corp., Sr. Sub. Note, 9.00%, 12/15/2007 763,250
Total 4,650,375
CONGLOMERATES--0.5%
3,350,000 Eagle Picher Industries, Inc., Sr. Sub. Note, 2,847,500
9.375%, 3/1/2008
CONSUMER PRODUCTS--4.0%
3,350,000 Albecca, Inc., Company Guarantee, 10.75%, 2,830,750
8/15/2008
975,000 American Safety Razor Co., Sr. Note, 9.875%, 940,875
8/1/2005
1,850,000 Amscan Holdings, Inc., Sr. Sub. Note, 9.875%, 1,526,250
12/15/2007
1,300,000 Boyds Collection, Ltd., Sr. Sub. Note, Series B, 1,144,000
9.00%, 5/15/2008
3,200,000 Chattem, Inc., Sr. Sub. Note, 8.875%, 4/1/2008 2,576,000
325,000 Diamond Brands Operating Corp., Sr. Sub. Note,
10.125%, 4/15/2008 173,875
925,000 (3) Diamond Brands, Inc., Sr. Disc. Deb., 87,875
0/12.875%, 4/15/2009
2,000,000 (1)(2) Jostens, Inc., Unit, 12.75%, 5/1/2010 1,990,000
950,000 NBTY, Inc., Sr. Sub. Note, 8.625%, 9/15/2007 831,250
1,000,000 Revlon Consumer Products Corp., Sr. Note, 725,000
8.125%, 2/1/2006
7,450,000 Revlon Consumer Products Corp., Sr. Sub. Note,
8.625%, 2/1/2008 3,799,500
1,100,000 (1)(2) Scotts Co., Sr. Sub. Note, 8.625%, 1,050,500
1/15/2009
1,400,000 (3) Sealy Mattress Co., Company Guarantee,
0/10.875%, 12/15/2007 1,015,000
425,000 Sealy Mattress Co., Sr. Sub. Note, 9.875%, 412,250
12/15/2007
1,250,000 Sleepmaster LLC, Company Guarantee, Series B,
11.00%, 5/15/2009 1,181,250
1,725,000 True Temper Sports, Inc., Sr. Sub. Note, Series
B, 10.875%, 12/1/2008 1,699,125
1,675,000 United Industries Corp., Sr. Sub. Note, Series
B, 9.875%, 4/1/2009 1,013,375
2,100,000 Volume Services America, Inc., Sr. Sub. Note, 1,932,000
11.25%, 3/1/2009
Total 24,928,875
CONTAINER & GLASS PRODUCTS--1.2%
1,000,000 (1)(2) Huntsman Packaging Corp., Unit, 13.00%, 1,030,000
6/1/2010
3,500,000 Owens-Illinois, Inc., Sr. Note, 7.35%, 5/15/2008 3,102,015
2,850,000 Russell Stanley Holdings, Inc., Sr. Sub. Note, 1,952,250
10.875%, 2/15/2009
1,450,000 (1)(2) Tekni-Plex, Inc., Sr. Sub. Note, 12.75%, 1,453,625
6/15/2010
Total 7,537,890
ECOLOGICAL SERVICES & EQUIPMENT--2.4%
10,500,000 Allied Waste North America, Inc., Company
Guarantee, 7.875%, 1/1/2009 9,030,000
7,000,000 Allied Waste North America, Inc., Sr. Sub. Note,
10.00%, 8/1/2009 5,880,000
Total 14,910,000
ELECTRONICS--2.0%
2,100,000 (1)(2) Exodus Communications, Inc., Sr. Note,
11.625%, 7/15/2010 -------------
2,121,000
1,600,000 (1)(2) Fairchild Semiconductor Corp., Sr. Sub.
Note, 10.375%, 10/1/2007 1,624,000
1,100,000 (1)(2) Flextronics International Ltd., Sr. Sub.
Note, 9.875%, 7/1/2010 1,119,250
1,300,000 SCG Holding Corp. / Semiconductor Components
Industries, LLC, Sr. Sub. Note, 12.00%, 8/1/2009 1,397,500
6,875,000 Telecommunications Techniques Co., LLC, Sr. Sub.
Note, 9.75%, 5/15/2008 6,359,375
Total 12,621,125
FARMING & AGRICULTURE--0.1%
1,175,000 Royster-Clark, Inc., 1st Mtg. Note, 10.25%, 957,625
4/1/2009
FOOD & DRUG RETAILERS--0.4%
825,000 Community Distributors, Inc., Sr. Note, 10.25%, 655,875
10/15/2004
2,100,000 (3) Del Monte Foods Co., Sr. Disc. Note, 1,601,250
0/12.50%, 12/15/2007
2,125,000 (4) Jitney-Jungle Stores of America, Inc., Sr.
Sub. Note, 10.375%, 9/15/2007 26,562
Total 2,283,687
FOOD PRODUCTS--1.7%
3,150,000 Agrilink Foods, Inc., Company Guarantee, 2,535,750
11.875%, 11/1/2008
1,325,000 Aurora Foods, Inc., Sr. Sub. Note, 9.875%, 788,375
2/15/2007
2,550,000 Eagle Family Foods, Inc., Sr. Sub. Note, 8.75%, 1,517,250
1/15/2008
2,725,000 International Home Foods, Inc., Sr. Sub. Note,
10.375%, 11/1/2006 2,929,375
2,975,000 Triarc Consumer Products Group, LLC, Sr. Sub.
Note, 10.25%, 2/15/2009 2,885,750
Total 10,656,500
FOOD SERVICES--0.8%
1,750,000 Advantica Restaurant Group, Sr. Note, 11.25%, 1,163,750
1/15/2008
500,000 CKE Restaurants, Inc., Sr. Sub. Note, 9.125%, 347,500
5/1/2009
2,100,000 Carrols Corp., Company Guarantee, 9.50%, 1,753,500
12/1/2008
2,150,000 Domino's, Inc., Company Guarantee, 10.375%, 2,004,875
1/15/2009
100,000 (3)(4) Nebco Evans Holding Co., Sr. Disc. Note,
0/12.375%, 7/15/2007 0
Total 5,269,625
FOREST PRODUCTS--0.5%
600,000 Container Corp. of America, Sr. Note, 11.25%, 612,000
5/1/2004
1,175,000 Stone Container Corp., Sr. Note, 11.50%, 1,222,000
10/1/2004
1,100,000 Stone Container Corp., Sr. Note, 12.58%, 8/1/2016 1,138,500
250,000 Stone Container Corp., Unit 12.25%, 4/1/2002 254,375
Total 3,226,875
HEALTH CARE--5.0%
3,000,000 Conmed Corp., Sr. Sub. Note, 9.00%, 3/15/2008 2,760,000
1,650,000 Columbia/HCA Healthcare Corp., Sr. Note, 6.91%, 1,508,991
6/15/2005
2,925,000 Dade International, Inc., Sr. Sub. Note, 1,652,625
11.125%, 5/1/2006
1,200,000 Everest Healthcare Services Corp., Sr. Sub.
Note, 9.75%, 5/1/2008 1,014,000
650,000 (4) Genesis Health Ventures, Inc., Sr. Sub.
Note, 9.25%, 10/1/2006 -------------
61,750
1,850,000 (4) Genesis Health Ventures, Inc., Sr. Sub.
Note, 9.875%, 1/15/2009 -------------
231,250
1,700,000 Hanger Orthopedic Group, Inc., Sr. Sub. Note,
11.25%, 6/15/2009 1,487,500
650,000 Hudson Respiratory Care, Inc., Sr. Sub. Note, 458,250
9.125%, 4/15/2008
4,300,000 Kinetic Concepts, Inc., Company Guarantee, 3,203,500
9.625%, 11/1/2007
500,000 Tenet Healthcare Corp., Sr. Note, 7.625%, 461,250
6/1/2008
1,800,000 Tenet Healthcare Corp., Sr. Note, 8.00%, 1,741,500
1/15/2005
6,250,000 (1)(2) Tenet Healthcare Corp., Sr. Note, 9.25%, 6,328,125
9/1/2010
8,850,000 Tenet Healthcare Corp., Sr. Sub. Note, 8.125%, 8,186,250
12/1/2008
2,400,000 Tenet Healthcare Corp., Sr. Sub. Note, 8.625%, 2,310,000
1/15/2007
Total 31,404,991
HOTELS, MOTELS, INNS & CASINOS--2.2%
975,000 Courtyard by Marriott II LP, Sr. Note, 10.75%, 962,812
2/1/2008
4,400,000 Florida Panthers Holdings, Inc., Company
Guarantee, 9.875%, 4/15/2009 4,147,000
6,600,000 HMH Properties, Inc., Sr. Note, Series B, 5,964,750
7.875%, 8/1/2008
3,175,000 HMH Properties, Inc., Sr. Note, Series C, 8.45%, 2,936,875
12/1/2008
Total 14,011,437
INDUSTRIAL PRODUCTS & EQUIPMENT--3.4%
1,305,000 Amphenol Corp., Sr. Sub. Note, 9.875%, 5/15/2007 1,324,575
1,500,000 Blount, Inc., Company Guarantee, 13.00%, 8/1/2009 1,537,500
1,600,000 Cabot Safety Acquisition Corp., Sr. Sub. Note,
12.50%, 7/15/2005 1,608,000
1,650,000 Continental Global Group, Inc., Sr. Note, 437,250
11.00%, 4/1/2007
1,775,000 Euramax International PLC, Sr. Sub. Note, 1,695,125
11.25%, 10/1/2006
1,375,000 Hexcel Corporation, Sr. Sub. Note, Series B, 1,258,125
9.75%, 1/15/2009
1,600,000 ISG Resources, Inc., Sr. Sub. Note, 10.00%, 1,468,000
4/15/2008
750,000 International Utility Structures, Inc., Sr. Sub.
Note, 10.75%, 2/1/2008 618,750
3,000,000 MMI Products, Inc., Sr. Sub. Note, 11.25%, 2,955,000
4/15/2007
650,000 Neenah Corp., Sr. Sub. Note, 11.125%, 5/1/2007 500,500
1,975,000 Neenah Corp., Sr. Sub. Note, 11.125%, 5/1/2007 1,520,750
2,250,000 Unifrax Investment Corp., Sr. Note, 10.50%, 2,103,750
11/1/2003
4,900,000 WESCO Distribution, Inc., Sr. Sub. Note, 9.125%, 4,508,000
6/1/2008
Total 21,535,325
LEISURE & ENTERTAINMENT--1.8%
3,392,000 (3) AMF Bowling Worldwide, Sr. Disc. Note,
0/12.25%, 3/15/2006 -------------
695,360
8,975,000 (3) Premier Parks, Inc., Sr. Disc. Note, 6,170,312
0/10.00%, 4/1/2008
575,000 Premier Parks, Inc., Sr. Note, 9.25%, 4/1/2006 547,688
2,600,000 Premier Parks, Inc., Sr. Note, 9.75%, 6/15/2007 2,522,000
5,450,000 Regal Cinemas, Inc., Sr. Sub. Note, 9.50%, 1,335,250
6/1/2008
Total 11,270,610
MACHINERY & EQUIPMENT--2.6%
1,775,000 (1)(4) Clark Material Handling Corp., Sr. Note,
10.75%, 11/15/2006 -------------
275,125
1,425,000 Columbus McKinnon Corp., Sr. Sub. Note, 8.50%, 1,261,125
4/1/2008
2,075,000 Fairchild Corp., Sr. Sub. Note, 10.75%, 4/15/2009 1,400,625
750,000 National Equipment Services, Inc., Sr. Sub.
Note, 10.00%, 11/30/2004 626,250
2,575,000 National Equipment Services, Inc., Sr. Sub.
Note, Series C, 10.00%, 11/30/2004 2,150,125
2,800,000 NationsRent, Inc., Company Guarantee, 10.375%, 1,806,000
12/15/2008
1,000,000 Simonds Industries, Inc., Sr. Sub. Note, 10.25%, 795,000
7/1/2008
3,600,000 United Rentals, Inc., Company Guarantee, 9.25%, 3,258,000
1/15/2009
3,525,000 United Rentals, Inc., Company Guarantee, Series
B, 9.00%, 4/1/2009 3,137,250
1,525,000 WEC Co., Sr. Note, 12.00%, 7/15/2009 1,288,625
Total 15,998,125
METALS & MINING--0.2%
3,250,000 (1)(2) AEI Holding Co., Inc., Sr. Note, 10.50%, 666,250
12/15/2005
3,300,000 (1)(2) AEI Resources, Inc., Sr. Sub. Note, 346,500
11.50%, 12/15/2006
650,000 Murrin Murrin Holdings Property Ltd., Sr. Secd.
Note, 9.375%, 8/31/2007 572,000
Total 1,584,750
OIL & GAS--2.4%
675,000 Comstock Resources, Inc., Sr. Note, 11.25%, 688,500
5/1/2007
4,000,000 Continental Resources, Inc., Sr. Sub. Note, 3,600,000
10.25%, 8/1/2008
475,000 Grey Wolf Inc., Sr. Note, 8.875%, 7/1/2007 453,625
1,500,000 Pogo Producing Co., Sr. Sub. Note, Series B, 1,537,500
10.375%, 2/15/2009
1,500,000 Pride Petroleum Services, Inc., Sr. Note, 1,507,500
9.375%, 5/1/2007
4,450,000 R&B Falcon Corp., Sr. Note, 12.25%, 3/15/2006 4,917,250
1,050,000 RBF Finance Co., Company Guarantee, 11.375%, 1,139,250
3/15/2009
875,000 Triton Energy Corp., Sr. Note, 8.75%, 4/15/2002 870,625
Total 14,714,250
PRINTING & PUBLISHING--0.7%
1,875,000 Garden State Newspapers, Inc., Sr. Sub. Note, 1,715,625
8.75%, 10/1/2009
1,000,000 Hollinger International Publishing, Inc., Sr.
Sub. Note, 9.25%, 2/1/2006 975,000
900,000 Hollinger International Publishing, Inc., Sr.
Sub. Note, 9.25%, 3/15/2007 893,250
900,000 K-III Communications Corp., Company Guarantee,
Series B, 8.50%, 2/1/2006 864,000
Total 4,447,875
REAL ESTATE--0.2%
1,156,000 Trizec Finance Ltd., Sr. Note, 10.875%, 1,167,560
10/15/2005
SERVICES--2.8%
1,300,000 Coinmach Corp., Sr. Note, 11.75%, 11/15/2005 1,254,500
7,700,000 (3) Crown Castle International Corp., Sr. Disc.
Note, 0/10.375%, 5/15/2011 4,735,500
2,950,000 (3) Crown Castle International Corp., Sr. Disc.
Note, 0/11.25%, 8/1/2011 1,843,750
1,100,000 Crown Castle International Corp., Sr. Note, 1,122,000
10.75%, 8/1/2011
700,000 Metricom, Inc., Company Guarantee, 13.00%, 472,500
2/15/2010
1,850,000 (1)(2) NATG Holdings LLC/Orius Capital Corp.,
Sr. Sub. Note, 12.75%, 2/1/2010 -------------
1,914,750
2,750,000 SITEL Corp., Sr. Sub. Note, 9.25%, 3/15/2006 2,516,250
2,500,000 (1)(2)(3) SpectraSite Holdings, Inc., Sr. Disc.
Note, 0/12.875%, 3/15/2010 1,387,500
2,250,000 (1)(2) URS Corp., Sr. Sub. Note, Series B, 2,283,750
12.25%, 5/1/2009
Total 17,530,500
STEEL--0.6%
2,400,000 Metals USA, Inc., Sr. Sub. Note, 8.625%, 2,052,000
2/15/2008
2,000,000 Republic Technologies International, Inc.,
Company Guarantee, 13.75%, 7/15/2009 260,000
1,350,000 Ryerson Tull, Inc., Sr. Note, 9.125%, 7/15/2006 1,289,021
Total 3,601,021
SURFACE TRANSPORTATION--2.1%
1,850,000 Allied Holdings, Inc., Sr. Note, 8.625%, 1,646,500
10/1/2007
1,025,000 (1)(4) AmeriTruck Distribution Corp., Sr. Sub.
Note, 12.25%, 11/15/2005 25,625
2,875,000 Gearbulk Holding Ltd., Sr. Note, 11.25%, 2,910,938
12/1/2004
1,400,000 Railworks Corp., Company Guarantee, 11.50%, 1,351,000
4/15/2009
4,375,000 Stena AB, Sr. Note, 10.50%, 12/15/2005 4,309,375
2,275,000 Stena AB, Sr. Note, 8.75%, 6/15/2007 2,002,000
1,000,000 Stena Line AB, Sr. Note, 10.625%, 6/1/2008 590,000
1,050,000 The Holt Group, Inc., Company Guarantee, 9.75%, 110,250
1/15/2006
Total 12,945,688
TELECOMMUNICATIONS & CELLULAR--24.7%
1,200,000 Arch Communications, Inc., Sr. Note, Series B, 966,000
12.75%, 7/1/2007
6,250,000 (3) Call-Net Enterprises, Inc., Sr. Disc. Note, 2,463,563
0/8.94%, 8/15/2008
3,025,000 (3) Call-Net Enterprises, Inc., Sr. Disc. Note, 1,448,068
0/9.27%, 8/15/2007
4,000,000 (3) Call-Net Enterprises, Inc., Sr. Disc. Note,
0/10.80%, 5/15/2009 1,540,000
2,000,000 Centennial Cellular Corp., Sr. Sub. Note, 2,010,000
10.75%, 12/15/2008
3,500,000 (3) Dolphin Telecom PLC, Sr. Disc. Note, 1,242,500
0/14.00%, 5/15/2009
1,550,000 (3) E.Spire Communications, Inc., Sr. Disc.
Note, 0/12.75%, 4/1/2006 670,375
9,200,000 Global Crossing Holdings Ltd., Company
Guarantee, 9.50%, 11/15/2009 8,878,000
2,800,000 Hermes Europe Railtel B.V., Sr. Note, 10.375%, 2,338,000
1/15/2009
3,675,000 Hermes Europe Railtel B.V., Sr. Note, 11.50%, 3,234,000
8/15/2007
1,400,000 (3) Intermedia Communications, Inc., Sr. Disc.
Note, 0/11.25%, 7/15/2007 1,113,000
3,575,000 (3) Intermedia Communications, Inc., Sr. Disc.
Note, 0/12.50%, 5/15/2006 3,414,125
3,400,000 (3) Intermedia Communications, Inc., Sr. Disc.
Note, Series B, 0/12.25%, 3/1/2009 2,023,000
3,100,000 Intermedia Communications, Inc., Sr. Note, 2,867,500
8.60%, 6/1/2008
575,000 Intermedia Communications, Inc., Sr. Note, 541,938
8.875%, 11/1/2007
10,500,000 (3) Level 3 Communications, Inc., Sr. Disc.
Note, 0/10.50%, 12/1/2008 6,300,000
11,150,000 Level 3 Communications, Inc., Sr. Note, 9.125%, 10,062,875
5/1/2008
4,100,000 (3) McLeodUSA, Inc., Sr. Disc. Note, 0/10.50%, 3,403,000
3/1/2007
1,900,000 McLeodUSA, Inc., Sr. Note, 8.125%, 2/15/2009 1,719,500
350,000 McLeodUSA, Inc., Sr. Note, 8.375%, 3/15/2008 322,000
1,050,000 McLeodUSA, Inc., Sr. Note, 9.25%, 7/15/2007 1,018,500
2,300,000 McLeodUSA, Inc., Sr. Note, 9.50%, 11/1/2008 2,242,500
2,925,000 Metromedia Fiber Network, Inc., Sr. Note, 2,881,125
10.00%, 12/15/2009
5,675,000 (3) Millicom International Cellular SA, Sr.
Disc. Note, 0/13.50%, 6/1/2006 4,852,125
7,775,000 (3) NEXTEL Communications, Inc., Sr. Disc. Note,
0/9.95%, 2/15/2008 5,734,063
2,500,000 (3) NEXTEL Communications, Inc., Sr. Disc. Note,
0/10.65%, 9/15/2007 1,975,000
9,550,000 NEXTEL Communications, Inc., Sr. Note, 9.375%, 9,215,750
11/15/2009
13,300,000 (3) NEXTLINK Communications, Inc., Sr. Disc.
Note, 0/12.25%, 6/1/2009 8,312,500
4,100,000 (3) NEXTLINK Communications, Inc., Sr. Disc.
Note, 0/9.45%, 4/15/2008 2,583,000
2,200,000 NEXTLINK Communications, Inc., Sr. Note, 9.00%, 2,029,500
3/15/2008
1,450,000 NEXTLINK Communications, Inc., Sr. Note, 10.75%, 1,439,125
6/1/2009
1,400,000 (3) Nextel International, Inc., Sr. Disc. Note,
0/12.125%, 4/15/2008 919,422
1,121,000 (3) Nextel Partners, Inc., Sr. Disc. Note, 784,700
0/14.00%, 2/1/2009
2,750,000 Northpoint Communications Group, Inc., Sr. Note,
12.875%, 2/15/2010 1,993,750
3,000,000 PsiNet, Inc., Sr. Note, 10.00%, 2/15/2005 2,790,000
3,000,000 PsiNet, Inc., Sr. Note, 11.00%, 8/1/2009 2,820,000
1,125,000 PsiNet, Inc., Sr. Note, 11.50%, 11/1/2008 1,074,375
175,000 (3) Qwest Communications International, Inc.,
Sr. Disc. Note, 0/8.29%, 2/1/2008 135,188
3,300,000 (3)Qwest Communications International, Inc., Sr.
Disc. Note, 0/9.47%, 10/15/2007 2,689,500
1,750,000 (1)(2) Rhythms NetConnections, Inc., Sr. Note,
14.00%, 2/15/2010 -------------
1,268,750
5,125,000 Rogers Cantel Mobile, Inc., Sr. Sub. Note, 5,125,000
8.80%, 10/1/2007
575,000 (3) Telesystem International Wireless, Inc., Sr.
Disc. Note, 0/10.50%, 11/1/2007 347,875
5,525,000 (3) Telesystem International Wireless, Inc., Sr.
Disc. Note, 0/13.25%, 6/30/2007 3,895,125
3,700,000 (3) Teligent AB, Sr. Disc. Note, 0/11.50%, 1,794,500
3/1/2008
3,275,000 Teligent AB, Sr. Note, 11.50%, 12/1/2007 2,603,625
4,350,000 (3) Triton PCS, Inc., Sr. Disc. Note, 0/11.00%, 3,197,250
5/1/2008
2,125,000 (3) US Unwired, Inc., Company Guarantee, Series
B, 0/13.375%, 11/1/2009 1,179,375
PRINCIPAL
------------- -------------------------------------------------
AMOUNT OR -------------
SHARES VALUE
1,750,000 (1) US Xchange, LLC, Sr. Note, 15.00%, 7/1/2008 1,911,875
1,000,000 USA Mobile Communications, Inc., Sr. Note, 745,000
9.50%, 2/1/2004
1,700,000 Verio, Inc., Sr. Note, 10.625%, 11/15/2009 1,878,500
925,000 Verio, Inc., Sr. Note, 11.25%, 12/1/2008 1,031,375
750,000 Viatel, Inc., Sr. Note, 11.50%, 3/15/2009 573,750
4,100,000 (3) Viatel, Inc., Unit, 0/12.50%, 4/15/2008 1,906,500
1,825,000 Viatel, Inc., Unit, 11.25%, 4/15/2008 1,377,875
8,000,000 (3) VoiceStream Wireless Corp., Sr. Disc. Note,
0/11.875%, 11/15/2009 5,400,000
1,375,000 VoiceStream Wireless Corp., Sr. Note, 10.375%, 1,436,875
11/15/2009
2,350,000 Williams Communications Group, Inc., Sr. Note,
10.875%, 10/1/2009 2,303,000
5,592,000 (1)(2)(3) WinStar Communications, Inc., Sr. Sub.
Defd. Deb., 0/14.75%, 4/15/2010 2,684,160
1,909,000 (1)(2) WinStar Communications, Inc., Sr. Sub.
Defd. Deb., 12.75%, 4/15/2010 1,851,730
Total 154,559,707
UTILITIES--1.1%
1,000,000 CMS Energy Corp., Sr. Note, 7.50%, 1/15/2009 896,440
2,250,000 Caithness Coso Funding Corp., Sr. Secd. Note,
Series B, 9.05%, 12/15/2009 2,205,000
1,700,000 El Paso Electric Co., 1st Mtg. Note, 9.40%, 1,792,684
5/1/2011
2,200,000 (3) Niagara Mohawk Power Corp., Sr. Disc. Note,
Series H, 0/8.50%, 7/1/2010 1,682,846
Total 6,576,970
TOTAL CORPORATE BONDS (IDENTIFIED COST 579,618,902
$670,813,918)
COMMON STOCK--0.0%
CABLE TELEVISION--0.0%
27 (1)(2)(4) CS Wireless Systems, Inc. 4
METALS & MINING--0.0%
57,533 (1)(4) Royal Oak Mines, Inc. 288
PRINTING & PUBLISHING--0.0%
500 (1)(2)(4) Medianews Group, Inc. 75,000
TOTAL COMMON STOCK (IDENTIFIED COST $16,023) 75,292
PREFERRED STOCK--3.0%
BANKING--0.1%
27,000 California Federal Preferred Capital Corp., REIT
Perpetual Pfd. Stock, Series A, $2.28 572,063
BROADCAST RADIO & TV--0.4%
1,250 Benedek Communications Corp., Sr. Exchangeable 818,750
PIK
17,550 Sinclair Broadcast Group, Inc., Cumulative Pfd., 1,658,475
$11.63
Total 2,477,225
CABLE TELEVISION--0.3%
1,940 Pegasus Communications Corp., Cumulative PIK
Pfd., Series A, 12.75% 1,959,683
FOOD SERVICES--0.0%
6,362 (4) Nebco Evans Holding Co., Exchangeable Pfd. 3,976
Stock
HEALTH CARE--0.1%
4,386 River Holding Corp., Sr. Exchangeable PIK 309,213
INDUSTRIAL PRODUCTS & EQUIPMENT--0.1%
1,050 Fairfield Manufacturing Co., Inc., Cumulative
Exchangeable Pfd. Stock 897,750
OIL & GAS--0.6%
3,108 R&B Falcon Corp., PIK Pfd., 13.875% 3,558,531
PRINTING & PUBLISHING--1.2%
22,750 Primedia, Inc., Cumulative Pfd., Series D, $10.00 2,206,750
39,650 Primedia, Inc., Exchangeable Pfd. Stock, Series 3,390,075
G, $2.16
17,450 Primedia, Inc., Pfd., $9.20 1,596,675
Total 7,193,500
TELECOMMUNICATIONS & CELLULAR--0.2%
563 NEXTEL Communications, Inc., Cumulative PIK
Pfd., Series D, 13.00% 602,410
928 NEXTEL Communications, Inc., Exchangeable Pfd.
Stock, Series E 900,160
Total 1,502,570
TOTAL PREFERRED STOCK (IDENTIFIED COST 18,474,511
$20,063,692)
WARRANTS--0.1%
BUSINESS EQUIPMENT & SERVICES--0.0%
750 (1)(2)(4) Electronic Retailing Systems 750
International, Inc., Warrants
CABLE TELEVISION--0.0%
600 (1)(2)(4) Australis Holdings Property Ltd., 0
Warrants
2,400 (4) UIH Australia/Pacific, Warrants 36,600
Total 36,600
CHEMICALS & PLASTICS--0.0%
875 (4) Sterling Chemicals Holdings, Inc., Warrants 7,656
OIL & GAS--0.1%
1,400 (1)(2)(4) R&B Falcon Corp., Warrants 735,350
SERVICES--0.0%
1,500 (4) Metricom, Inc., Warrants 30,375
STEEL--0.0%
250 (1)(2)(4) Bar Technologies, Inc., Warrants 281
2,000 (4) Republic Technologies International, Inc., 20
Warrants
Total 301
TELECOMMUNICATIONS & CELLULAR--0.0%
1,025 (1)(2)(4) MetroNet Communications Corp., Warrants 133,250
TOTAL WARRANTS (IDENTIFIED COST $579,005) 944,282
REPURCHASE AGREEMENT (5)--3.9%
$24,455,000 Warburg Dillon Reed LLC, 6.90%, dated 6/30/2000,
due 7/3/2000 (AT AMORTIZED COST) 24,455,000
TOTAL INVESTMENTS (IDENTIFIED COST $623,567,987
$715,927,638) (6)
(1) Denotes a restricted security which is subject to restrictions on resale
under Federal Securities laws. At June 30, 2000, these securities
amounted to $41,503,938 which represents 6.6% of net assets. Included in
these amounts, securities which have been deemed liquid amounted to
$38,825,150 which represents 6.2% of net assets.
(2) Denotes a restricted security that has been deemed liquid by criteria
approved by the fund's Board of Trustees.
(3) Denotes a Zero Coupon bond with effective rate at time of purchase.
(4) Non-income producing security.
(5) 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 a joint account with other Federated funds.
(6) The cost of investments for federal tax purposes amounts to $715,927,638.
The net unrealized depreciation of investments on a federal tax basis
amounts to $(92,359,651) which is comprised of $5,296,571 appreciation
and $97,656,222 depreciation at June 30, 2000.
================================================================================
Note: The categories of investments are shown as a percentage of net
assets ($626,027,541) at June 30, 2000.
The following acronyms are used throughout this portfolio:
GTD --Guaranteed
PIK --Payment in Kind
REIT --Real Estate Investment Trust
See Notes which are an integral part of the Financial Statements
HIGH YIELD BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS:
Total investments in securities, at value (identified 623,567,987 $
and tax cost $715,927,638)
Income receivable 12,306,250
Total assets 635,874,237
LIABILITIES:
Payable for investments purchased $ 4,000,712
Income distribution payable 5,831,493
Payable to bank 14,491
Total liabilities 9,846,696
Net Assets for 77,259,269 shares outstanding 626,027,541 $
NET ASSETS CONSIST OF:
Paid in capital 731,208,672 $
Net unrealized depreciation of investments (92,359,6)1
Accumulated net realized loss on investments (13,038,8)4
Undistributed net investment income 217,324
Total Net Assets 626,027,541 $
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION
PROCEEDS PER SHARE:
$626,027,541 / 77,259,269 shares outstanding $8.10
See Notes which are an integral part of the Financial Statements
=======================================================================================
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