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We get asked this question all the time. Bricks have core holes or recesses (called “frogs”) for several reasons. The most important is a principle called “keying in.”
When bricks are laid in a bed of mortar, the mortar squeezes into the holes which, when dried, locks the bricks into place. When the entire wall is built, the individual bricks are part of a wall system where a single brick cannot move without putting tension on the surrounding bricks. This gives the entire structure great strength.