they are simple toroidal cores, maybe T-68/FT-50B in size, the core is pre-wound as a transformer and then placed in the cut out, epoxied in place and have the wires attached to the board.
EDIT: actually, it looks like they have a PCB routed to make the footprint, the transformer is would on the core, slid over the PCB,soldered to the carrier PCB, epoxied, then soldered down to the main PCB.