UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file Number 811- 04471
Value Line Core Bond Fund
(Exact name of registrant as specified in charter)
7 Times Square, New York, N.Y. 10036
(Address of principal executive offices) (Zip Code)
Registrant’s telephone number, including area code:212-907-1900
Date of fiscal period end:December 31, 2019
Date of reporting period:December 31, 2019
Item I | Reports to Stockholders |
A copy of the Annual Report to Stockholders for the period ended 12/31/19 is included with this Form.
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Value Line Core Bond Fund
(VLHYX)
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prospective investors unless preceded or accompanied by a currently effective prospectus of the Funds
(obtainable from the Distributor).
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| Value Line Core Bond Fund: | | | | | | | |
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| The Value Line Tax Exempt Fund, Inc.: | | | | | | | |
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President of the Value Line Funds
Portfolio Highlights at December 31, 2019 (unaudited)
Issue | | | Principal Amount/ Shares | | | Value | | | Percentage of Net Assets | | |||||||||
U.S. Treasury Bonds, 3.00%, 2/15/48 | | | | $ | 1,889,000 | | | | | $ | 2,128,962 | | | | | | 3.9% | | |
U.S. Treasury Notes, 2.25%, 11/15/24 | | | | | 1,325,000 | | | | | | 1,359,730 | | | | | | 2.5% | | |
iShares iBoxx High Yield Corporate Bond ETF | | | | | 14,500 | | | | | | 1,275,130 | | | | | | 2.4% | | |
U.S. Treasury Notes, 2.75%, 2/15/28 | | | | | 815,000 | | | | | | 868,898 | | | | | | 1.6% | | |
U.S. Treasury Notes, 1.38%, 6/30/23 | | | | | 860,000 | | | | | | 852,509 | | | | | | 1.6% | | |
GNMA II Pool #MA5816, 3.50%, 3/20/49 | | | | | 723,666 | | | | | | 746,173 | | | | | | 1.4% | | |
U.S. Treasury Notes, 1.75%, 2/28/22 | | | | | 715,000 | | | | | | 717,681 | | | | | | 1.3% | | |
U.S. Treasury Bonds, 4.38%, 2/15/38 | | | | | 500,000 | | | | | | 666,016 | | | | | | 1.2% | | |
Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | | | | | 500,000 | | | | | | 572,245 | | | | | | 1.1% | | |
FNMA, 1.88%, 9/24/26 | | | | | 540,000 | | | | | | 539,033 | | | | | | 1.0% | | |
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| | | Percentage of Fund’s Investments | | |||
Less than 4% | | | | | 65.5% | | |
4 – 4.99% | | | | | 27.3% | | |
5 – 5.99% | | | | | 6.5% | | |
6 – 6.99% | | | | | 0.7% | | |
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| | | Average Annual Total Return | | | Growth of an Assumed Investment of $10,000 | | ||||||
1 year ended 12/31/19 | | | | | 8.51% | | | | | $ | 10,851 | | |
5 years ended 12/31/19 | | | | | 2.56% | | | | | $ | 11,347 | | |
10 years ended 12/31/19 | | | | | 3.99% | | | | | $ | 14,793 | | |
Schedule of Investments
| Principal Amount | | | | | | Value | | ||||||
| ASSET-BACKED SECURITIES (6.8%) | | ||||||||||||
| | $ | 325,000 | | | | Ally Auto Receivables Trust, Series 2017-3, Class A4, 2.01%, 3/15/22 | | | | $ | 325,074 | | |
| | | 170,000 | | | | BMW Vehicle Lease Trust, Series 2019-1, Class A4, 2.92%, 8/22/22 | | | | | 172,095 | | |
| | | 200,000 | | | | Capital One Multi-Asset Execution Trust, Series 2015-A2, Class A2, 2.08%, 3/15/23 | | | | | 200,136 | | |
| | | 84,513 | | | | CarMax Auto Owner Trust, Series 2016-4, Class A3, 1.40%, 8/15/21 | | | | | 84,376 | | |
| | | 225,000 | | | | Chase Issuance Trust, Series 2012-A7, Class A7, 2.16%, 9/15/24 | | | | | 226,549 | | |
| | | 300,000 | | | | Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1, 2.88%, 1/23/23 | | | | | 303,069 | | |
| | | 150,886 | | | | Daimler Trucks Retail Trust, Series 2018-1, Class A3, 2.85%, 7/15/21(1) | | | | | 151,230 | | |
| | | 200,000 | | | | Discover Card Execution Note Trust, Series 2015-A4, Class A4, 2.19%, 4/17/23 | | | | | 200,556 | | |
| | | 150,000 | | | | Ford Credit Auto Owner Trust, Series 2016-C, Class A4, 1.40%, 2/15/22 | | | | | 149,552 | | |
| | | 200,000 | | | | Ford Credit Auto Owner Trust, Series 2015-1, Class A, 2.12%, 7/15/26(1) | | | | | 199,988 | | |
| | | 100,000 | | | | Ford Credit Auto Owner Trust, Series 2015-2, Class A, 2.44%, 1/15/27(1) | | | | | 100,213 | | |
| | | 150,000 | | | | GMF Floorplan Owner Revolving Trust, Series 2017-2, Class A1, 2.13%, 7/15/22(1) | | | | | 150,047 | | |
| | | 330,000 | | | | GMF Floorplan Owner Revolving Trust, Series 2018-2, Class A1, 3.13%, 3/15/23(1) | | | | | 334,033 | | |
| Principal Amount | | | | | | Value | | ||||||
| ASSET-BACKED SECURITIES (6.8%) (continued) | | ||||||||||||
| | $ | 58,427 | | | | Honda Auto Receivables Owner Trust, Series 2017-4, Class A3, 2.05%, 11/22/21 | | | | $ | 58,460 | | |
| | | 450,000 | | | | Honda Auto Receivables Owner Trust, Series 2017-1, Class A4, 2.05%, 6/21/23 | | | | | 450,206 | | |
| | | 325,000 | | | | Hyundai Auto Lease Securitization Trust, Series 2017-C, Class A4, 2.21%, 9/15/21(1) | | | | | 325,159 | | |
| | | 200,000 | | | | Hyundai Auto Lease Securitization Trust, Series 2019-A, Class A4, 3.05%, 12/15/22(1) | | | | | 203,221 | | |
| | | 23,062 | | | | Nissan Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.18%, 1/15/21 | | | | | 23,049 | | |
| TOTAL ASSET-BACKED SECURITIES (Cost $3,615,947) (6.8%) | | | | | 3,657,013 | | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (12.1%) | | ||||||||||||
| | | 250,000 | | | | BANK, Series 2017-BNK8, Class A4, 3.49%, 11/15/50 | | | | | 266,062 | | |
| | | 150,000 | | | | BANK, Series 2019-BN17, Class A4, 3.71%, 4/15/52 | | | | | 162,774 | | |
| | | 339,045 | | | | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class AAB, 3.37%, 10/10/47 | | | | | 346,589 | | |
| | | 150,000 | | | | COMM Mortgage Trust, Series 2014-UBS2, Class AM, 4.20%, 3/10/47 | | | | | 157,813 | | |
| | | 150,000 | | | | COMM Mortgage Trust, Series 2015-PC1, Class AM, 4.29%, 7/10/50(2) | | | | | 160,949 | | |
| | | 200,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2, 3.32%, 2/25/23 | | | | | 207,461 | | |
| Principal Amount | | | | | | Value | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (12.1%) (continued) | | ||||||||||||
| | $ | 200,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K726, Class A2, 2.91%, 4/25/24 | | | | $ | 205,538 | | |
| | | 250,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K048, Class A2, 3.28%, 6/25/25(2) | | | | | 263,658 | | |
| | | 300,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K069, Class A2, 3.19%, 9/25/27(2) | | | | | 317,095 | | |
| | | 250,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class A2, 3.29%, 11/25/27 | | | | | 265,808 | | |
| | | 250,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K074, Class A2, 3.60%, 1/25/28 | | | | | 271,161 | | |
| | | 200,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K088, Class A2, 3.69%, 1/25/29 | | | | | 218,686 | | |
| | | 250,000 | | | | FREMF Mortgage Trust, Series 2013-K24, Class B, 3.50%, 11/25/45(1)(2) | | | | | 254,781 | | |
| | | 200,000 | | | | FREMF Mortgage Trust, Series 2013-K713, Class B, 3.17%, 4/25/46(1)(2) | | | | | 199,838 | | |
| | | 150,000 | | | | FREMF Mortgage Trust, Series 2013-K34, Class B, 3.73%, 9/25/46(1)(2) | | | | | 155,568 | | |
| | | 200,000 | | | | FREMF Mortgage Trust, Series 2014-K717, Class B, 3.63%, 11/25/47(1)(2) | | | | | 204,230 | | |
| Principal Amount | | | | | | Value | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (12.1%) (continued) | | ||||||||||||
| | $ | 200,000 | | | | FREMF Mortgage Trust, Series 2015-K43, Class B, 3.73%, 2/25/48(1)(2) | | | | $ | 205,913 | | |
| | | 244,371 | | | | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | | | | | 239,682 | | |
| | | 253,210 | | | | GNMA, Series 2012-125, Class AB, 2.11%, 2/16/53(2) | | | | | 243,975 | | |
| | | 203,900 | | | | GS Mortgage Securities Trust, Series 2012-GCJ7, Class A4, 3.38%, 5/10/45 | | | | | 206,742 | | |
| | | 130,000 | | | | GS Mortgage Securities Trust, Series 2015-GC32, Class A2, 3.06%, 7/10/48 | | | | | 130,202 | | |
| | | 250,000 | | | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4, 3.25%, 2/15/48 | | | | | 259,443 | | |
| | | 69,152 | | | | Sequoia Mortgage Trust, Series 2004-8, Class A1, 1-month LIBOR + 0.70%, 2.46%, 9/20/34(2) | | | | | 68,478 | | |
| | | 180,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2016-C34, Class A4, 3.10%, 6/15/49 | | | | | 185,228 | | |
| | | 280,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2016-LC24, Class A4, 2.94%, 10/15/49 | | | | | 287,372 | | |
| | | 156,443 | | | | Wells Fargo Commercial Mortgage Trust, Series 2017-C40, Class A1, 2.11%, 10/15/50 | | | | | 156,388 | | |
| | | 100,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class ASB, 3.64%, 5/15/52 | | | | | 106,789 | | |
| Principal Amount | | | | | | Value | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (12.1%) (continued) | | ||||||||||||
| | $ | 100,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class ASB, 3.46%, 7/15/58 | | | | $ | 103,217 | | |
| | | 250,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.43%, 3/15/59 | | | | | 263,290 | | |
| | | 200,000 | | | | WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4, 3.67%, 11/15/44 | | | | | 203,622 | | |
| | | 200,000 | | | | WFRBS Commercial Mortgage Trust, Series 2012-C6, Class A4, 3.44%, 4/15/45 | | | | | 203,329 | | |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $6,416,076) (12.1%) | | | | | 6,521,681 | | | ||||||
| CORPORATE BONDS & NOTES (39.3%) | | ||||||||||||
| BASIC MATERIALS (1.0%) | | ||||||||||||
| | | | | | | CHEMICALS (1.0%) | | ||||||
| | | 225,000 | | | | Celanese U.S. Holdings LLC, Guaranteed Notes, 4.63%, 11/15/22 | | | | | 238,346 | | |
| | | 125,000 | | | | FMC Corp., Senior Unsecured Notes, 3.45%, 10/1/29(3) | | | | | 129,248 | | |
| | | 175,000 | | | | LYB International Finance B.V., Guaranteed Notes, 4.00%, 7/15/23 | | | | | 185,117 | | |
| | | | | | | | | | | | 552,711 | | |
| COMMUNICATIONS (4.5%) | | ||||||||||||
| | | | | | | INTERNET (0.8%) | | ||||||
| | | 225,000 | | | | Amazon.com, Inc., Senior Unsecured Notes, 4.80%, 12/5/34 | | | | | 283,935 | | |
| | | 150,000 | | | | Netflix, Inc., Senior Unsecured Notes, 5.75%, 3/1/24 | | | | | 165,937 | | |
| | | | | | | | | | | | 449,872 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (39.3%) (continued) | | ||||||||||||
| | | | | | | MEDIA (1.2%) | | ||||||
| | $ | 175,000 | | | | Charter Communications Operating LLC/ Charter Communications Operating Capital, Senior Secured Notes, 4.91%, 7/23/25(3) | | | | $ | 192,706 | | |
| | | 275,000 | | | | Comcast Corp., Guaranteed Notes, 4.15%, 10/15/28 | | | | | 309,745 | | |
| | | 150,000 | | | | Discovery Communications LLC, Guaranteed Notes, 4.90%, 3/11/26 | | | | | 167,425 | | |
| | | | | | | | | | | | 669,876 | | |
| | | | | | | TELECOMMUNICATIONS (2.5%) | | ||||||
| | | 200,000 | | | | AT&T, Inc., Senior Unsecured Notes, 3.80%, 3/1/24 | | | | | 212,272 | | |
| | | 200,000 | | | | AT&T, Inc., Senior Unsecured Notes, 3.80%, 2/15/27 | | | | | 213,207 | | |
| | | 125,000 | | | | Corning, Inc., Senior Unsecured Notes, 5.35%, 11/15/48 | | | | | 156,890 | | |
| | | 200,000 | | | | Motorola Solutions, Inc., Senior Unsecured Notes, 4.60%, 5/23/29 | | | | | 218,329 | | |
| | | 150,000 | | | | Rogers Communications, Inc., Guaranteed Notes, 4.50%, 3/15/43 | | | | | 167,550 | | |
| | | 175,000 | | | | Verizon Communications, Inc., Senior Unsecured Notes, 4.50%, 8/10/33 | | | | | 204,279 | | |
| | | 150,000 | | | | Vodafone Group PLC, Senior Unsecured Notes, 4.25%, 9/17/50(3) | | | | | 156,570 | | |
| | | | | | | | | | | | 1,329,097 | | |
| | | | | | | | | | | | 2,448,845 | | |
| CONSUMER, CYCLICAL (2.8%) | | ||||||||||||
| | | | | | | AUTO MANUFACTURERS (0.8%) | | ||||||
| | | 250,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.35%, 11/1/22 | | | | | 252,544 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (39.3%) (continued) | | ||||||||||||
| | | | | | | AUTO MANUFACTURERS (0.8%) (continued) | | ||||||
| | $ | 200,000 | | | | General Motors Financial Co., Inc., Guaranteed Notes, 3.70%, 5/9/23 | | | | $ | 206,198 | | |
| | | | | | | | | | | | 458,742 | | |
| | | | | | | AUTO PARTS & EQUIPMENT (0.3%) | | ||||||
| | | 150,000 | | | | Dana, Inc., Senior Unsecured Notes, 5.50%, 12/15/24 | | | | | 154,188 | | |
| | | | | | | HOME BUILDERS (0.6%) | | ||||||
| | | 100,000 | | | | D.R. Horton, Inc., Guaranteed Notes, 4.00%, 2/15/20 | | | | | 100,222 | | |
| | | 100,000 | | | | D.R. Horton, Inc., Guaranteed Notes, 2.50%, 10/15/24 | | | | | 100,117 | | |
| | | 100,000 | | | | Toll Brothers Finance Corp., Guaranteed Notes, 4.88%, 11/15/25(3) | | | | | 109,000 | | |
| | | | | | | | | | | | 309,339 | | |
| | | | | | | HOME FURNISHINGS (0.4%) | | ||||||
| | | 200,000 | | | | Whirlpool Corp., Senior Unsecured Notes, 3.70%, 5/1/25 | | | | | 211,318 | | |
| | | | | | | LODGING (0.7%) | | ||||||
| | | 125,000 | | | | Choice Hotels International, Inc., Senior Unsecured Notes, 3.70%, 12/1/29 | | | | | 125,911 | | |
| | | 200,000 | | | | Marriott International, Inc., Series AA, Senior Unsecured Notes, 4.65%, 12/1/28 | | | | | 225,172 | | |
| | | | | | | | | | | | 351,083 | | |
| | | | | | | | | | | | 1,484,670 | | |
| CONSUMER, NON-CYCLICAL (4.1%) | | ||||||||||||
| | | | | | | BEVERAGES (0.9%) | | ||||||
| | | 250,000 | | | | Anheuser-Busch InBev Worldwide, Inc., Guaranteed Notes, 4.90%, 1/23/31 | | | | | 297,959 | | |
| | | 150,000 | | | | Constellation Brands, Inc., Guaranteed Notes, 5.25%, 11/15/48 | | | | | 182,459 | | |
| | | | | | | | | | | | 480,418 | | |
| | | | | | | COMMERCIAL SERVICES (0.4%) | | ||||||
| | | 200,000 | | | | Total System Services, Inc., Senior Unsecured Notes, 4.80%, 4/1/26 | | | | | 222,622 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (39.3%) (continued) | | ||||||||||||
| | | | | | | HEALTHCARE PRODUCTS (0.9%) | | ||||||
| | $ | 213,000 | | | | Abbott Laboratories, Senior Unsecured Notes, 3.75%, 11/30/26 | | | | $ | 232,735 | | |
| | | 225,000 | | | | Boston Scientific Corp., Senior Unsecured Notes, 3.75%, 3/1/26 | | | | | 241,185 | | |
| | | | | | | | | | | | 473,920 | | |
| | | | | | | HEALTHCARE SERVICES (1.0%) | | ||||||
| | | 50,000 | | | | Anthem, Inc., Senior Unsecured Notes, 3.35%, 12/1/24 | | | | | 52,192 | | |
| | | 150,000 | | | | Humana, Inc., Senior Unsecured Notes, 3.95%, 3/15/27 | | | | | 161,442 | | |
| | | 150,000 | | | | NYU Langone Hospitals, Secured Notes, 4.78%, 7/1/44 | | | | | 177,501 | | |
| | | 150,000 | | | | UnitedHealth Group, Inc., Senior Unsecured Notes, 2.88%, 12/15/21 | | | | | 153,010 | | |
| | | | | | | | | | | | 544,145 | | |
| | | | | | | PHARMACEUTICALS (0.9%) | | ||||||
| | | 100,000 | | | | AbbVie, Inc., Senior Unsecured Notes, 2.95%, 11/21/26(1) | | | | | 101,816 | | |
| | | 150,000 | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes, 5.25%, 8/15/43(1) | | | | | 194,649 | | |
| | | 200,000 | | | | Cigna Corp., Guaranteed Notes, 4.75%, 11/15/21(1) | | | | | 209,676 | | |
| | | | | | | | | | | | 506,141 | | |
| | | | | | | | | | | | 2,227,246 | | |
| ENERGY (2.4%) | | ||||||||||||
| | | | | | | OIL & GAS (1.3%) | | ||||||
| | | 150,000 | | | | Marathon Oil Corp., Senior Unsecured Notes, 3.85%, 6/1/25(3) | | | | | 158,864 | | |
| | | 100,000 | | | | Murphy Oil Corp., Senior Unsecured Notes, 5.75%, 8/15/25 | | | | | 104,595 | | |
| | | 200,000 | | | | Phillips 66, Guaranteed Notes, 4.30%, 4/1/22 | | | | | 209,949 | | |
| | | 150,000 | | | | Valero Energy Corp., Senior Unsecured Notes, 6.63%, 6/15/37 | | | | | 198,476 | | |
| | | | | | | | | | | | 671,884 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (39.3%) (continued) | | ||||||||||||
| | | | | | | PIPELINES (1.1%) | | ||||||
| | $ | 250,000 | | | | Kinder Morgan, Inc., Guaranteed Notes, 4.30%, 3/1/28(3) | | | | $ | 272,604 | | |
| | | 150,000 | | | | Magellan Midstream Partners L.P., Senior Unsecured Notes, 4.25%, 9/15/46 | | | | | 160,118 | | |
| | | 150,000 | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.88%, 6/30/26 | | | | | 172,429 | | |
| | | | | | | | | | | | 605,151 | | |
| | | | | | | | | | | | 1,277,035 | | |
| FINANCIAL (17.4%) | | ||||||||||||
| | | | | | | BANKS (9.6%) | | ||||||
| | | 200,000 | | | | Australia & New Zealand Banking Group, Ltd., Subordinated Notes, 4.50%, 3/19/24(1) | | | | | 212,950 | | |
| | | 175,000 | | | | Banco Bilbao Vizcaya Argentaria S.A., Senior Unsecured Notes, 3.00%, 10/20/20 | | | | | 176,130 | | |
| | | 200,000 | | | | Bank of America Corp. GMTN, Senior Unsecured Notes, 3.50%, 4/19/26 | | | | | 212,710 | | |
| | | 250,000 | | | | Bank of Nova Scotia (The), Senior Unsecured Notes, 2.70%, 8/3/26 | | | | | 254,457 | | |
| | | 150,000 | | | | Citigroup, Inc., Senior Unsecured Notes, 3-month LIBOR + 0.90%, 3.35%, 4/24/25(2) | | | | | 156,121 | | |
| | | 200,000 | | | | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | | | | | 255,164 | | |
| | | 250,000 | | | | Comerica, Inc., Senior Unsecured Notes, 4.00%, 2/1/29 | | | | | 273,141 | | |
| | | 200,000 | | | | Fifth Third Bancorp, Senior Unsecured Notes, 3.65%, 1/25/24 | | | | | 211,104 | | |
| | | 150,000 | | | | Goldman Sachs Group, Inc. (The), Senior Unsecured Notes, 3.75%, 2/25/26(3) | | | | | 158,777 | | |
| | | 100,000 | | | | Goldman Sachs Group, Inc. (The), Subordinated Notes, 6.75%, 10/1/37 | | | | | 138,913 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (39.3%) (continued) | | ||||||||||||
| | | | | | | BANKS (9.6%) (continued) | | ||||||
| | $ | 250,000 | | | | HSBC Holdings PLC, Senior Unsecured Notes, 4.00%, 3/30/22 | | | | $ | 260,546 | | |
| | | 250,000 | | | | Huntington Bancshares, Inc., Senior Unsecured Notes, 2.30%, 1/14/22 | | | | | 251,385 | | |
| | | 150,000 | | | | ING Groep N.V., Senior Unsecured Notes, 4.10%, 10/2/23 | | | | | 159,495 | | |
| | | 200,000 | | | | JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26(3) | | | | | 219,108 | | |
| | | 150,000 | | | | JPMorgan Chase & Co., Senior Unsecured Notes, 3-month LIBOR + 1.38%, 3.96%, 11/15/48(2) | | | | | 169,967 | | |
| | | 250,000 | | | | Kreditanstalt fuer Wiederaufbau, Guaranteed Notes, 2.63%, 4/12/21 | | | | | 253,017 | | |
| | | 100,000 | | | | Lloyds Bank PLC, Senior Unsecured Notes, 2.25%, 8/14/22(3) | | | | | 100,496 | | |
| | | 150,000 | | | | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.90%, 3/12/24 | | | | | 158,404 | | |
| | | 150,000 | | | | Morgan Stanley, Series F, Senior Unsecured Notes, 3.88%, 4/29/24(3) | | | | | 159,462 | | |
| | | 250,000 | | | | PNC Financial Services Group, Inc. (The), Senior Unsecured Notes, 5.13%, 2/8/20 | | | | | 250,703 | | |
| | | 150,000 | | | | Santander Holdings USA, Inc., Series FXD, Senior Unsecured Notes, 3.50%, 6/7/24 | | | | | 154,332 | | |
| | | 250,000 | | | | Societe Generale S.A., Senior Unsecured Notes, 5.20%, 4/15/21(3) | | | | | 260,015 | | |
| | | 200,000 | | | | Svenska Handelsbanken AB, Guaranteed Notes, 3.35%, 5/24/21 | | | | | 203,947 | | |
| | | 250,000 | | | | Wells Fargo & Co., Senior Unsecured Notes, 3.07%, 1/24/23 | | | | | 255,159 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (39.3%) (continued) | | ||||||||||||
| | | | | | | BANKS (9.6%) (continued) | | ||||||
| | $ | 250,000 | | | | Zions Bancorp NA, Subordinated Notes, 3.25%, 10/29/29 | | | | $ | 245,503 | | |
| | | | | | | | | | | | 5,151,006 | | |
| | | | | | | DIVERSIFIED FINANCIAL SERVICES (2.8%) | | ||||||
| | | 175,000 | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Guaranteed Notes, 4.45%, 4/3/26 | | | | | 187,875 | | |
| | | 175,000 | | | | Air Lease Corp., Senior Unsecured Notes, 3.63%, 4/1/27 | | | | | 181,501 | | |
| | | 150,000 | | | | Aircastle, Ltd., Senior Unsecured Notes, 4.40%, 9/25/23 | | | | | 158,603 | | |
| | | 150,000 | | | | Ally Financial, Inc., Senior Unsecured Notes, 4.63%, 3/30/25 | | | | | 162,375 | | |
| | | 250,000 | | | | Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24 | | | | | 265,539 | | |
| | | 200,000 | | | | ORIX Corp., Senior Unsecured Notes, 3.25%, 12/4/24 | | | | | 208,514 | | |
| | | 200,000 | | | | Stifel Financial Corp., Senior Unsecured Notes, 4.25%, 7/18/24(3) | | | | | 212,954 | | |
| | | 150,000 | | | | Synchrony Financial, Senior Unsecured Notes, 2.85%, 7/25/22 | | | | | 151,854 | | |
| | | | | | | | | | | | 1,529,215 | | |
| | | | | | | INSURANCE (2.0%) | | ||||||
| | | 200,000 | | | | American International Group, Inc., Senior Unsecured Notes, 4.88%, 6/1/22 | | | | | 213,525 | | |
| | | 150,000 | | | | Aon Corp., Guaranteed Notes, 3.75%, 5/2/29 | | | | | 160,511 | | |
| | | 225,000 | | | | CNA Financial Corp., Senior Unsecured Notes, 3.95%, 5/15/24 | | | | | 240,475 | | |
| | | 175,000 | | | | PartnerRe Finance B LLC, Guaranteed Notes, 3.70%, 7/2/29 | | | | | 181,919 | | |
| | | 150,000 | | | | Prudential Financial, Inc., Junior Subordinated Notes, 3-month LIBOR + 2.67%, 5.70%, 9/15/48(2)(3) | | | | | 171,375 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (39.3%) (continued) | | ||||||||||||
| | | | | | | INSURANCE (2.0%) (continued) | | ||||||
| | $ | 125,000 | | | | Willis North America, Inc., Guaranteed Notes, 2.95%, 9/15/29 | | | | $ | 123,895 | | |
| | | | | | | | | | | | 1,091,700 | | |
| | | | | | | REITS (3.0%) | | ||||||
| | | 150,000 | | | | American Tower Corp., Senior Unsecured Notes, 3.70%, 10/15/49 | | | | | 149,499 | | |
| | | 175,000 | | | | AvalonBay Communities, Inc. GMTN, Senior Unsecured Notes, 3.45%, 6/1/25 | | | | | 184,984 | | |
| | | 150,000 | | | | Digital Realty Trust L.P., Guaranteed Notes, 3.60%, 7/1/29 | | | | | 156,144 | | |
| | | 200,000 | | | | EPR Properties, Guaranteed Notes, 5.25%, 7/15/23 | | | | | 214,507 | | |
| | | 250,000 | | | | Essex Portfolio L.P., Guaranteed Notes, 3.38%, 1/15/23 | | | | | 257,209 | | |
| | | 125,000 | | | | iStar, Inc., Senior Unsecured Notes, 5.25%, 9/15/22 | | | | | 128,281 | | |
| | | 150,000 | | | | Sabra Health Care L.P./Sabra Capital Corp., Guaranteed Notes, 3.90%, 10/15/29 | | | | | 150,855 | | |
| | | 175,000 | | | | Ventas Realty L.P., Guaranteed Notes, 4.40%, 1/15/29(3) | | | | | 192,604 | | |
| | | 175,000 | | | | Welltower, Inc., Senior Unsecured Notes, 4.25%, 4/15/28 | | | | | 191,966 | | |
| | | | | | | | | | | | 1,626,049 | | |
| | | | | | | | | | | | 9,397,970 | | |
| INDUSTRIAL (2.5%) | | ||||||||||||
| | | | | | | AEROSPACE & DEFENSE (0.6%) | | ||||||
| | | 150,000 | | | | L3Harris Tech, Inc., Senior Unsecured Notes, 4.40%, 6/15/28 | | | | | 167,236 | | |
| | | 150,000 | | | | United Technologies Corp., Senior Unsecured Notes, 4.13%, 11/16/28 | | | | | 168,764 | | |
| | | | | | | | | | | | 336,000 | | |
| | | | | | | BUILDING MATERIALS (0.4%) | | ||||||
| | | 100,000 | | | | Owens Corning, Senior Unsecured Notes, 4.20%, 12/15/22 | | | | | 104,827 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (39.3%) (continued) | | ||||||||||||
| | | | | | | BUILDING MATERIALS (0.4%) (continued) | | ||||||
| | $ | 100,000 | | | | Owens Corning, Senior Unsecured Notes, 3.95%, 8/15/29 | | | | $ | 104,094 | | |
| | | | | | | | | | | | 208,921 | | |
| | | | | | | ELECTRONICS (0.3%) | | ||||||
| | | 150,000 | | | | Keysight Technologies, Inc., Senior Unsecured Notes, 3.00%, 10/30/29 | | | | | 150,499 | | |
| | | | | | | MISCELLANEOUS MANUFACTURERS (0.7%) | | ||||||
| | | 150,000 | | | | Ingersoll-Rand Luxembourg Finance S.A., Guaranteed Notes, 4.50%, 3/21/49 | | | | | 168,719 | | |
| | | 200,000 | | | | Textron, Inc., Senior Unsecured Notes, 3.88%, 3/1/25 | | | | | 212,030 | | |
| | | | | | | | | | | | 380,749 | | |
| | | | | | | PACKAGING & CONTAINERS (0.3%) | | ||||||
| | | 150,000 | | | | WRKCo, Inc., Guaranteed Notes, 3.90%, 6/1/28 | | | | | 159,180 | | |
| | | | | | | TRANSPORTATION (0.2%) | | ||||||
| | | 100,000 | | | | CSX Corp., Senior Unsecured Notes, 3.35%, 9/15/49 | | | | | 98,635 | | |
| | | | | | | | | | | | 1,333,984 | | |
| TECHNOLOGY (1.0%) | | ||||||||||||
| | | | | | | SEMICONDUCTORS (0.6%) | | ||||||
| | | 150,000 | | | | KLA Corp., Senior Unsecured Notes, 4.10%, 3/15/29 | | | | | 164,348 | | |
| | | 125,000 | | | | Lam Research Corp., Senior Unsecured Notes, 4.00%, 3/15/29(3) | | | | | 137,666 | | |
| | | | | | | | | | | | 302,014 | | |
| | | | | | | SOFTWARE (0.4%) | | ||||||
| | | 200,000 | | | | Fiserv, Inc., Senior Unsecured Notes, 3.50%, 7/1/29 | | | | | 210,215 | | |
| | | | | | | | | | | | 512,229 | | |
| UTILITIES (3.6%) | | ||||||||||||
| | | | | | | ELECTRIC (3.3%) | | ||||||
| | | 100,000 | | | | CenterPoint Energy, Inc., Senior Unsecured Notes, 2.95%, 3/1/30(3) | | | | | 98,598 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (39.3%) (continued) | | ||||||||||||
| | | | | | | ELECTRIC (3.3%) (continued) | | ||||||
| | $ | 200,000 | | | | Consolidated Edison Co. of New York, Inc., Senior Unsecured Notes, 4.50%, 12/1/45 | | | | $ | 235,366 | | |
| | | 200,000 | | | | Dominion Energy, Inc., Senior Unsecured Notes, 4.25%, 6/1/28 | | | | | 221,292 | | |
| | | 250,000 | | | | Florida Power & Light Co., 4.95%, 6/1/35 | | | | | 312,324 | | |
| | | 200,000 | | | | Indiana Michigan Power Co., Senior Unsecured Notes, 4.25%, 8/15/48(3) | | | | | 228,932 | | |
| | | 200,000 | | | | ITC Holdings Corp., Senior Unsecured Notes, 3.25%, 6/30/26 | | | | | 206,352 | | |
| | | 200,000 | | | | National Rural Utilities Cooperative Finance Corp., 3.70%, 3/15/29 | | | | | 219,197 | | |
| | | 150,000 | | | | Public Service Enterprise Group, Inc., Senior Unsecured Notes, 2.88%, 6/15/24 | | | | | 153,348 | | |
| | | 125,000 | | | | Southern Power Co., Series E, Senior Unsecured Notes, 2.50%, 12/15/21 | | | | | 126,301 | | |
| | | | | | | | | | | | 1,801,710 | | |
| | | | | | | GAS (0.3%) | | ||||||
| | | 150,000 | | | | National Fuel Gas Co., Senior Unsecured Notes, 5.20%, 7/15/25 | | | | | 165,966 | | |
| | | | | | | | | | | | 1,967,676 | | |
| TOTAL CORPORATE BONDS & NOTES (Cost $20,056,463) (39.3%) | | | | | 21,202,366 | | | ||||||
| FOREIGN GOVERNMENT OBLIGATIONS (1.3%) | | ||||||||||||
| | | 200,000 | | | | European Bank for Reconstruction & Development GMTN, Senior Unsecured Notes, 2.75%, 3/7/23 | | | | | 206,520 | | |
| | | 150,000 | | | | Export-Import Bank of Korea, Senior Unsecured Notes, 3.00%, 11/1/22(3) | | | | | 154,108 | | |
| | | 175,000 | | | | Mexico Government International Bond, Senior Unsecured Notes, 4.15%, 3/28/27 | | | | | 187,513 | | |
| Principal Amount | | | | | | Value | | ||||||
| FOREIGN GOVERNMENT OBLIGATIONS (1.3%) (continued) | | ||||||||||||
| | $ | 150,000 | | | | Panama Government International Bond, Senior Unsecured Notes, 4.00%, 9/22/24 | | | | $ | 160,650 | | |
| TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $676,768) (1.3%) | | | | | 708,791 | | | ||||||
| LONG-TERM MUNICIPAL SECURITIES (3.1%) | | ||||||||||||
| | | | | | | CALIFORNIA (0.2%) | | ||||||
| | | 85,000 | | | | University of California, Taxable General Revenue Bonds, Series AG, 4.06%, 5/15/33 | | | | | 89,496 | | |
| | | | | | | DISTRICT OF COLUMBIA (0.5%) | | ||||||
| | | 250,000 | | | | District of Columbia Income Tax Secured Revenue Bonds, Build America Bonds, 4.91%, 12/1/23 | | | | | 276,347 | | |
| | | | | | | MICHIGAN (0.4%) | | ||||||
| | | 200,000 | | | | Lincoln Consolidated School District, General Obligation Limited, Series B, 4.32%, 5/1/37 | | | | | 213,794 | | |
| | | | | | | NEW YORK (0.4%) | | ||||||
| | | 225,000 | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate Bonds, Revenue Bonds, 2.63%, 2/1/23 | | | | | 229,408 | | |
| | | | | | | TEXAS (1.6%) | | ||||||
| | | 250,000 | | | | Dallas Independent School District Qualified School Construction Notes, General Obligation Limited, 5.05%, 8/15/33 | | | | | 274,865 | | |
| | | 500,000 | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | | | | | 572,245 | | |
| | | | | | | | | | | | 847,110 | | |
| TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $1,533,114) (3.1%) | | | | | 1,656,155 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (18.5%) | | ||||||||||||
| | $ | 54,769 | | | | FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35 | | | | $ | 58,516 | | |
| | | 298,382 | | | | FHLMC Gold PC Pool #A95803, 4.00%, 12/1/40 | | | | | 320,546 | | |
| | | 62,682 | | | | FHLMC Gold PC Pool #A97264, 4.00%, 2/1/41 | | | | | 67,266 | | |
| | | 192,280 | | | | FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34 | | | | | 204,918 | | |
| | | 108,169 | | | | FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41 | | | | | 114,073 | | |
| | | 180,573 | | | | FHLMC Gold PC Pool #G08761, 3.50%, 5/1/47 | | | | | 187,565 | | |
| | | 75,416 | | | | FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25 | | | | | 78,642 | | |
| | | 57,909 | | | | FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42 | | | | | 61,065 | | |
| | | 75,328 | | | | FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42 | | | | | 80,635 | | |
| | | 95,536 | | | | FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42 | | | | | 100,766 | | |
| | | 225,096 | | | | FHLMC Gold PC Pool #Q11556, 3.00%, 10/1/42 | | | | | 228,460 | | |
| | | 245,345 | | | | FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43 | | | | | 252,953 | | |
| | | 326,582 | | | | FHLMC Gold Pool #Q34167, 4.00%, 6/1/45 | | | | | 342,285 | | |
| | | 426,370 | | | | FHLMC Gold Pool #Q57991, 4.00%, 8/1/48 | | | | | 444,756 | | |
| | | 280,001 | | | | FHLMC Pool #ZT1594, 4.00%, 1/1/49 | | | | | 290,991 | | |
| | | 250,000 | | | | FNMA, 2.38%, 1/19/23 | | | | | 255,645 | | |
| | | 250,000 | | | | FNMA, 2.63%, 9/6/24 | | | | | 260,267 | | |
| | | 540,000 | | | | FNMA, 1.88%, 9/24/26 | | | | | 539,033 | | |
| | | 135,761 | | | | FNMA Pool #AB2346, 4.50%, 2/1/41 | | | | | 147,416 | | |
| | | 103,015 | | | | FNMA Pool #AB5231, 2.50%, 5/1/27 | | | | | 104,389 | | |
| | | 110,886 | | | | FNMA Pool #AB5716, 3.00%, 7/1/27 | | | | | 113,797 | | |
| | | 176,946 | | | | FNMA Pool #AB8144, 5.00%, 4/1/37 | | | | | 195,243 | | |
| | | 119,840 | | | | FNMA Pool #AI4285, 5.00%, 6/1/41 | | | | | 131,860 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (18.5%) (continued) | | ||||||||||||
| | $ | 85,086 | | | | FNMA Pool #AJ5888, 4.50%, 11/1/41 | | | | $ | 91,565 | | |
| | | 185,125 | | | | FNMA Pool #AQ0287, 3.00%, 10/1/42 | | | | | 190,723 | | |
| | | 312,626 | | | | FNMA Pool #AR6394, 3.00%, 2/1/43 | | | | | 322,113 | | |
| | | 282,231 | | | | FNMA Pool #AS5892, 3.50%, 10/1/45 | | | | | 294,645 | | |
| | | 86,827 | | | | FNMA Pool #AS6102, 3.50%, 11/1/45 | | | | | 90,646 | | |
| | | 157,226 | | | | FNMA Pool #AS6205, 3.50%, 11/1/45 | | | | | 164,143 | | |
| | | 115,131 | | | | FNMA Pool #AS6385, 4.00%, 12/1/45 | | | | | 121,758 | | |
| | | 222,049 | | | | FNMA Pool #AS9459, 4.50%, 4/1/47 | | | | | 235,311 | | |
| | | 165,083 | | | | FNMA Pool #AS9562, 3.00%, 5/1/47 | | | | | 168,933 | | |
| | | 161,950 | | | | FNMA Pool #AU1847, 3.00%, 9/1/43 | | | | | 166,774 | | |
| | | 168,180 | | | | FNMA Pool #AU4279, 3.00%, 9/1/43 | | | | | 173,146 | | |
| | | 205,439 | | | | FNMA Pool #AV0703, 4.00%, 12/1/43 | | | | | 218,602 | | |
| | | 86,323 | | | | FNMA Pool #AW7362, 2.50%, 8/1/29 | | | | | 87,249 | | |
| | | 159,471 | | | | FNMA Pool #AX0416, 4.00%, 8/1/44 | | | | | 168,978 | | |
| | | 134,620 | | | | FNMA Pool #AX9013, 3.50%, 2/1/45 | | | | | 140,548 | | |
| | | 131,948 | | | | FNMA Pool #AY1670, 3.50%, 2/1/45 | | | | | 137,868 | | |
| | | 78,586 | | | | FNMA Pool #AY2728, 2.50%, 2/1/30 | | | | | 79,640 | | |
| | | 117,750 | | | | FNMA Pool #AY4195, 4.00%, 5/1/45 | | | | | 123,888 | | |
| | | 162,460 | | | | FNMA Pool #BA3885, 3.50%, 11/1/45 | | | | | 169,600 | | |
| | | 204,311 | | | | FNMA Pool #BD8213, 3.00%, 9/1/46 | | | | | 209,257 | | |
| | | 151,168 | | | | FNMA Pool #MA0641, 4.00%, 2/1/31 | | | | | 160,985 | | |
| | | 206,119 | | | | FNMA Pool #MA3238, 3.50%, 1/1/48 | | | | | 214,247 | | |
| | | 333,481 | | | | FNMA Pool #MA3614, 3.50%, 3/1/49 | | | | | 342,733 | | |
| | | 227,813 | | | | FNMA Pool #MA3637, 3.50%, 4/1/49 | | | | | 234,149 | | |
| | | 52,171 | | | | FNMA REMIC Trust Series 2013-18, Class AE, 2.00%, 3/25/28 | | | | | 52,045 | | |
| | | 723,666 | | | | GNMA II Pool #MA5816, 3.50%, 3/20/49 | | | | | 746,173 | | |
| | | 65,281 | | | | GNMA, Series 2011-136, Class GB, 2.50%, 5/20/40 | | | | | 65,529 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (18.5%) (continued) | | ||||||||||||
| | $ | 89,702 | | | | GNMA II Pool #5332, 4.00%, 3/20/42 | | | | $ | 95,210 | | |
| | | 95,504 | | | | GNMA II Pool #MA1520, 3.00%, 12/20/43 | | | | | 98,930 | | |
| | | 64,125 | | | | GNMA II Pool #MA2445, 3.50%, 12/20/44 | | | | | 66,903 | | |
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $9,912,500) (18.5%) | | | | | 10,013,378 | | | ||||||
| U.S. TREASURY OBLIGATIONS (15.0%) | | ||||||||||||
| | | | | | | U.S. TREASURY NOTES & BONDS (15.0%) | | ||||||
| | | 120,000 | | | | U.S. Treasury Bonds, 5.38%, 2/15/31 | | | | | 161,170 | | |
| | | 500,000 | | | | U.S. Treasury Bonds, 4.38%, 2/15/38 | | | | | 666,016 | | |
| | | 230,000 | | | | U.S. Treasury Bonds, 3.50%, 2/15/39 | | | | | 276,081 | | |
| | | 200,000 | | | | U.S. Treasury Bonds, 3.88%, 8/15/40 | | | | | 252,508 | | |
| | | 1,889,000 | | | | U.S. Treasury Bonds, 3.00%, 2/15/48 | | | | | 2,128,962 | | |
| | | 715,000 | | | | U.S. Treasury Notes, 1.75%, 2/28/22 | | | | | 717,681 | | |
| | | 860,000 | | | | U.S. Treasury Notes, 1.38%, 6/30/23 | | | | | 852,509 | | |
| | | 1,325,000 | | | | U.S. Treasury Notes, 2.25%, 11/15/24 | | | | | 1,359,730 | | |
| | | 400,000 | | | | U.S. Treasury Notes, 2.13%, 5/31/26 | | | | | 408,078 | | |
| | | 815,000 | | | | U.S. Treasury Notes, 2.75%, 2/15/28 | | | | | 868,898 | | |
| | | 150,000 | | | | U.S. Treasury Notes, 1.63%, 8/15/29 | | | | | 146,244 | | |
| | | 280,832 | | | | U.S. Treasury Notes TIPS, 0.13%, 10/15/24 | | | | | 282,448 | | |
| TOTAL U.S. TREASURY NOTES & BONDS (Cost $7,604,233) (15.0%) | | | | | 8,120,325 | | | ||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $7,604,233) (15.0%) | | | | | 8,120,325 | | |
| Shares | | | | | | Value | | ||||||
| EXCHANGE-TRADED FUND (2.4%) | | ||||||||||||
| | | 14,500 | | | | iShares iBoxx High Yield Corporate Bond ETF(3) | | | | $ | 1,275,130 | | |
| TOTAL EXCHANGE-TRADED FUND (Cost $1,242,610) (2.4%) | | | | | 1,275,130 | | | ||||||
| SHORT-TERM INVESTMENTS (8.3%) | | ||||||||||||
| | | | | | | MONEY MARKET FUNDS (8.3%) | | ||||||
| | | 597,018 | | | | State Street Institutional Liquid Reserves Fund, Premier Class, 1.734%(4) | | | | | 597,078 | | |
| | | 3,867,620 | | | | State Street Navigator Securities Lending Government Money Market Portfolio(5) | | | | | 3,867,620 | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $4,464,698) (8.3%) | | | | | 4,464,698 | | | ||||||
| TOTAL INVESTMENT SECURITIES (106.8%) (Cost $55,522,409) | | | | $ | 57,619,537 | | | ||||||
| EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (-6.8%) | | | | | (3,643,484) | | | ||||||
| NET ASSETS (100%) | | | | $ | 53,976,053 | | |
Investments in Securities: | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | $ | — | | | | | $ | 3,657,013 | | | | | $ | — | | | | | $ | 3,657,013 | | |
Commercial Mortgage-Backed Securities | | | | | — | | | | | | 6,521,681 | | | | | | — | | | | | | 6,521,681 | | |
Corporate Bonds & Notes* | | | | | — | | | | | | 21,202,366 | | | | | | — | | | | | | 21,202,366 | | |
Foreign Government Obligations | | | | | — | | | | | | 708,791 | | | | | | — | | | | | | 708,791 | | |
Long-Term Municipal Securities* | | | | | — | | | | | | 1,656,155 | | | | | | — | | | | | | 1,656,155 | | |
U.S. Government Agency Obligations | | | | | — | | | | | | 10,013,378 | | | | | | — | | | | | | 10,013,378 | | |
U.S. Treasury Obligations | | | | | — | | | | | | 8,120,325 | | | | | | — | | | | | | 8,120,325 | | |
Exchange-Traded Fund | | | | | 1,275,130 | | | | | | — | | | | | | — | | | | | | 1,275,130 | | |
Short-Term Investments | | | | | 4,464,698 | | | | | | — | | | | | | — | | | | | | 4,464,698 | | |
Total Investments in Securities | | | | $ | 5,739,828 | | | | | $ | 51,879,709 | | | | | $ | — | | | | | $ | 57,619,537 | | |
Portfolio Highlights at December 31, 2019 (unaudited)
Issue | | | Principal Amount | | | Value | | | Percentage of Net Assets | | |||||||||
New Jersey State Educational Facilities Authority Revenue, Revenue Bonds, Princeton University, Ser. B, 5.00%, 7/1/35 | | | | $ | 1,000,000 | | | | | $ | 1,054,570 | | | | | | 2.1% | | |
Massachusetts Health & Educational Facilities Authority Revenue, Revenue Bonds, Tufts University, Ser. M, 5.50%, 2/15/27 | | | | | 500,000 | | | | | | 641,035 | | | | | | 1.2% | | |
Delaware River Pennsylvania, Joint Toll Bridge Commission, Revenue Bonds, 5.00%, 7/1/36 | | | | | 500,000 | | | | | | 608,365 | | | | | | 1.2% | | |
Pennsylvania Higher Educational Facilities Authority, State System of Higher Education, Revenue Bonds, Ser. AS, 5.00%, 6/15/28 | | | | | 500,000 | | | | | | 599,295 | | | | | | 1.2% | | |
San Diego Unified School District, General Obligation Unlimited, Election 2012, Ser. I, 5.00%, 7/1/47 | | | | | 500,000 | | | | | | 598,785 | | | | | | 1.2% | | |
Metropolitan Transportation Authority, New York, Revenue Bonds, Subser. C-1, 5.00%, 11/15/34 | | | | | 500,000 | | | | | | 586,205 | | | | | | 1.1% | | |
Metropolitan Atlanta Rapid Transit Authority, Revenue Bonds, 3rd Ser., Ser. A, 4.00%, 7/1/36 | | | | | 500,000 | | | | | | 528,155 | | | | | | 1.0% | | |
Massachusetts Bay Transportation Authority, Revenue Assessment Bonds, Ser. A, 4.00%, 7/1/37 | | | | | 500,000 | | | | | | 524,810 | | | | | | 1.0% | | |
EL Dorado Irrigation District/EL Dorado County Water Agency, Revenue Bonds, Ser. C, 5.00%, 3/1/36 | | | | | 350,000 | | | | | | 415,642 | | | | | | 0.8% | | |
North Carolina Medical Care Commission, Refunding Revenue Bonds, Wakemed, Ser. A, 4.13%, 10/1/38 | | | | | 385,000 | | | | | | 405,717 | | | | | | 0.8% | | |
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| | | Percentage of Fund’s Investments | | |||
Aaa/AAA | | | | | 11.5% | | |
Aa1/AA+ | | | | | 17.0% | | |
Aa2/AA | | | | | 21.7% | | |
Aa3/AA- | | | | | 15.8% | | |
A1/A+ | | | | | 13.6% | | |
A2/A | | | | | 11.1% | | |
A3/A- | | | | | 2.4% | | |
Baa1/BBB+ | | | | | 2.8% | | |
Baa2/BBB | | | | | 1.1% | | |
NR | | | | | 1.1% | | |
Total Investments | | | | | 98.1% | | |
Cash and other assets in excess of liabilities | | | | | 1.9% | | |
Total Net Assets | | | | | 100.0% | | |
Portfolio Highlights at December 31, 2019 (unaudited) (continued)
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| | | Average Annual Total Return | | | Growth of an Assumed Investment of $10,000 | | ||||||
1 year ended 12/31/19 | | | | | 6.18% | | | | | $ | 10,618 | | |
5 years ended 12/31/19 | | | | | 2.44% | | | | | $ | 11,281 | | |
10 years ended 12/31/19 | | | | | 3.21% | | | | | $ | 13,710 | | |
Schedule of Investments | December 31, 2019 |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.1%) | | | | | | | | ||||||||||||
| | | | | | | ALABAMA (0.8%) | | ||||||||||||
| | $ | 125,000 | | | | Alabama Federal Aid Highway Finance Authority, Revenue Bonds, Ser. A, 5.00%, 9/1/30 | | | | | Aa1 | | | | | $ | 155,506 | | |
| | | 100,000 | | | | Birmingham-Jefferson Civic Center Authority, Revenue Bonds, Ser. A, 4.00%, 7/1/36 | | | | | Aa3 | | | | | | 111,696 | | |
| | | 125,000 | | | | Water Works Board of the City of Birmingham (The), Revenue Bonds, Subser. B, 5.00%, 1/1/33 | | | | | Aa3 | | | | | | 149,804 | | |
| | | | | | | | | | | | | | | | | | 417,006 | | |
| | | | | | | ARIZONA (1.0%) | | ||||||||||||
| | | 250,000 | | | | City of Scottsdale Arizona, General Obligation Unlimited, Project 2004-Preserve Acquisition, 3.00%, 7/1/30 | | | | | Aaa | | | | | | 257,043 | | |
| | | 200,000 | | | | Yuma Municipal Property Corp., Revenue Bonds, Senior Lien, 5.00%, 7/1/27 | | | | | A1 | | | | | | 236,474 | | |
| | | | | | | | | | | | | | | | | | 493,517 | | |
| | | | | | | CALIFORNIA (19.0%) | | ||||||||||||
| | | 40,000 | | | | Bay Area Toll Authority, Toll Bridge, Revenue Bonds, Ser. F-1, 5.00%, 4/1/56 | | | | | Aa3 | | | | | | 47,477 | | |
| | | 150,000 | | | | California Educational Facilities Authority Stanford University, Revenue Bonds, 5.25%, 4/1/40 | | | | | Aaa | | | | | | 224,472 | | |
| | | | | | | California Health Facilities Financing Authority, Providence Health & Services, Revenue Bonds, Ser. A: | | | | | | | | | | | | | |
| | | 90,000 | | | | 5.00%, 10/1/38 | | | | | Aa3 | | | | | | 103,055 | | |
| | | 65,000 | | | | 5.00%, 10/1/38 | | | | | NR** | | | | | | 76,918 | | |
| | | 90,000 | | | | California Health Facilities Financing Authority, Revenue Bonds, Lucile Packard Stanford Hospital, Ser. B, 5.00%, 8/15/55 | | | | | A1 | | | | | | 105,386 | | |
| | | 150,000 | | | | California Health Facilities Financing Authority, Revenue Bonds, Lucile Saltel Packard Children’s, Ser. A, 5.00%, 8/15/43 | | | | | A1 | | | | | | 168,660 | | |
| | | 100,000 | | | | California Health Facilities Financing Authority, Revenue Bonds, Stanford Health Care, Ser. A, 5.00%, 11/15/37 | | | | | Aa3 | | | | | | 122,280 | | |
| | | | | | | California State Public Works Board, Revenue Bonds: | | | | | | | | | | | | | |
| | | 100,000 | | | | Department of Education, Ser. H, 5.00%, 4/1/31 | | | | | Aa3 | | | | | | 122,966 | | |
| | | 200,000 | | | | Ser. H, 5.00%, 12/1/24 | | | | | Aa3 | | | | | | 237,378 | | |
| | | | | | | California State University Systemwide, Revenue Bonds, Ser. A: | | | | | | | | | | | | | |
| | | 150,000 | | | | 5.00%, 11/1/34 | | | | | Aa2 | | | | | | 185,243 | | |
| | | 300,000 | | | | 5.00%, 11/1/45 | | | | | Aa2 | | | | | | 352,791 | | |
| | | 200,000 | | | | California State, General Obligation Unlimited, 5.00%, 2/1/38 | | | | | Aa2 | | | | | | 215,798 | | |
| | | 180,000 | | | | California Statewide Communities Development Authority, Revenue Bonds, Adventist Health System/West, Ser. A, 4.38%, 3/1/44 | | | | | A* | | | | | | 197,559 | | |
| | | 250,000 | | | | Cupertino Union School District, General Obligation Unlimited, Election 2012, Ser. C, 4.00%, 8/1/40 | | | | | Aa1 | | | | | | 276,612 | | |
| | | 500,000 | | | | Dry Creek California Joint Elementary School District, General Obligation Unlimited, Capital Appreciation Election 2008, AGM Insured, 0.00%, 8/1/30(1) | | | | | A2 | | | | | | 396,875 | | |
| | | 75,000 | | | | East Bay Municipal Utility District Water System Revenue, Revenue Bonds, Ser. C, 4.00%, 6/1/40 | | | | | Aa1 | | | | | | 83,331 | | |
| | | 250,000 | | | | El Cajon Redevelopment Agency Successor Agency, Tax Allocation Refunding Bonds, BAM Insured, 5.00%, 10/1/35 | | | | | AA* | | | | | | 309,967 | | |
| | | 350,000 | | | | EL Dorado Irrigation District/EL Dorado County Water Agency, Revenue Bonds, Ser. C, 5.00%, 3/1/36 | | | | | Aa3 | | | | | | 415,642 | | |
| | | 150,000 | | | | Fresno Joint Powers Financing Authority Lease (Master Lease Projects), Revenue Refunding Bonds, Ser. A, AGM Insured, 5.00%, 4/1/34 | | | | | A2 | | | | | | 179,532 | | |
| | | | | | | Golden State Tobacco Securitization Corp.: | | | | | | | | | | | | | |
| | | 300,000 | | | | Asset-Backed Bonds, Ser. A, 5.00%, 6/1/32 | | | | | Aa3 | | | | | | 352,929 | | |
| | | 150,000 | | | | Ser. A-1, 5.00%, 6/1/22 | | | | | A* | | | | | | 162,293 | | |
| | | 150,000 | | | | Long Beach Community College District, General Obligation Unlimited, Ser. B, 3.00%, 8/1/32 | | | | | Aa2 | | | | | | 152,906 | | |
| | | 170,000 | | | | Long Beach Unified School District, General Obligation Unlimited, Ser. B, 3.00%, 8/1/48 | | | | | Aa2 | | | | | | 172,067 | | |
| | | 215,000 | | | | Long Beach Unified School District, General Obligation Unlimited, Ser. E, 5.00%, 8/1/41 | | | | | Aa2 | | | | | | 256,099 | | |
| | | 60,000 | | | | Los Angeles County Metropolitan Transportation Authority, Refunding Revenue Bonds, Proposition C, Senior Ser. B, 5.00%, 7/1/22 | | | | | Aa1 | | | | | | 66,099 | | |
| | | 200,000 | | | | Los Angeles County Public Works Financing Authority, Lease Revenue, Revenue Bonds, Ser. D, 4.00%, 12/1/40 | | | | | Aa2 | | | | | | 219,136 | | |
| | | 115,000 | | | | Los Angeles Unified School District, Election 2005, General Obligation Unlimited, Ser. M-1, 5.00%, 7/1/36 | | | | | Aa3 | | | | | | 142,042 | | |
| | | | | | | Metropolitan Water District of Southern California, Refunding Revenue Bonds: | | | | | | | | | | | | | |
| | | 330,000 | | | | Ser. C, 4.00%, 10/1/22 | | | | | Aa1 | | | | | | 347,770 | | |
| | | 60,000 | | | | Ser. F, 5.00%, 7/1/28 | | | | | Aa1 | | | | | | 65,896 | | |
| | | 150,000 | | | | Modesto Irrigation District Electric System, Revenue Bonds, Ser, 5.00%, 10/1/32 | | | | | A+* | | | | | | 182,160 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | | | |||||||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.1%) (continued) | | | | | |||||||||||||||||||||
| | | | | | | CALIFORNIA (19.0%) (continued) | | | | ||||||||||||||||
| | $ | 225,000 | | | | Napa Valley Unified School District, General Obligation Unlimited, Ser. A, 5.00%, 8/1/28 | | | | | A1 | | | | | $ | 275,870 | | | | | ||||
| | | 185,000 | | | | Oxnard Financing Authority, Revenue Bonds, BAM Insured, 5.00%, 6/1/35 | | | | | AA* | | | | | | 228,849 | | | | | ||||
| | | 65,000 | | | | Roseville Natural Gas Financing Authority, Revenue Bonds, 5.00%, 2/15/27 | | | | | A2 | | | | | | 78,631 | | | | | ||||
| | | 50,000 | | | | Sacramento City Financing Authority, Revenue Bonds, Master Lease Program Facilities, Ser. E, AMBAC Insured, 5.25%, 12/1/24 | | | | | Aa3 | | | | | | 60,074 | | | | | ||||
| | | 150,000 | | | | Sacramento Municipal Utility District, Revenue Bonds, Ser. A, 5.00%, 8/15/41 | | | | | Aa3 | | | | | | 169,436 | | | | | ||||
| | | 250,000 | | | | San Diego County Regional Transportation Commission, Revenue Bonds, Ser. A, 5.00%, 4/1/42 | | | | | Aa2 | | | | | | 273,072 | | | | | ||||
| | | 60,000 | | | | San Diego Redevelopment Agency Successor Agency, Tax Allocation Refunding Bonds, Ser. A, 5.00%, 9/1/35 | | | | | AA* | | | | | | 72,869 | | | | | ||||
| | | 500,000 | | | | San Diego Unified School District, General Obligation Unlimited, Election 2012, Ser. I, 5.00%, 7/1/47 | | | | | Aa2 | | | | | | 598,785 | | | | | ||||
| | | 100,000 | | | | San Francisco City & County Airport Commission San Francisco International Airport, Second Series Revenue Bonds, Ser. E, 5.00%, 5/1/48 | | | | | A1 | | | | | | 121,025 | | | | | ||||
| | | 200,000 | | | | San Francisco City & County Redevelopment Agency Successor Agency, Ser. A, 5.00%, 8/1/35 | | | | | A* | | | | | | 236,946 | | | | | ||||
| | | 200,000 | | | | San Jose Unified School District Santa Clara Country, General Obligation Unlimited, Election 2012, Ser. A, 3.80%, 8/1/37 | | | | | Aa1 | | | | | | 210,196 | | | | | ||||
| | | 130,000 | | | | San Marcos Redevelopment Agency Successor Agency, Tax Allocation, Refunding Bonds, Ser. A, 5.00%, 10/1/25 | | | | | AA-* | | | | | | 159,132 | | | | | ||||
| | | 220,000 | | | | Southern California Public Power Authority, Mead-Adelanto Project, Authority Interest, Revenue Bonds, Ser. A, 5.00%, 7/1/29 | | | | | Aa2 | | | | | | 267,131 | | | | | ||||
| | | 250,000 | | | | State of California, General Obligation Unlimited, Refunding Bonds, 5.25%, 2/1/29 | | | | | Aa2 | | | | | | 271,405 | | | | | ||||
| | | | | | | State of California, General Obligation Unlimited, Various Purpose Bonds: | | | | | | | | | | | | | | | | ||||
| | | 150,000 | | | | 5.00%, 8/1/26 | | | | | Aa2 | | | | | | 185,793 | | | | | ||||
| | | 250,000 | | | | 5.00%, 9/1/41 | | | | | Aa2 | | | | | | 266,125 | | | | | ||||
| | | 125,000 | | | | Union City Community Redevelopment Agency, Ser. B, 5.00%, 10/1/31 | | | | | AA-* | | | | | | 156,191 | | | | | ||||
| | | 150,000 | | | | University of California, Revenue Bonds, Ser. I, 5.00%, 5/15/28 | | | | | Aa3 | | | | | | 180,609 | | | | | ||||
| | | | | | | | | | | | | | | | | | 9,753,478 | | | | | ||||
| | | | | | | COLORADO (1.3%) | | | | ||||||||||||||||
| | | 175,000 | | | | Buffalo Ridge Metropolitan District, General Obligation Unlimited, Ser. A, BAM Insured, 4.00%, 12/1/47 | | | | | A3 | | | | | | 189,654 | | | | | ||||
| | | 200,000 | | | | Colorado Health Facilities Authority, Adventhealth Obligated Group, Refunding Bonds, 4.00%, 11/15/43 | | | | | Aa2 | | | | | | 223,280 | | | | | ||||
| | | 225,000 | | | | State of Colorado, Building Excellent Scholl, Certificate Participation, Ser. J, 5.00%, 3/15/37 | | | | | Aa2 | | | | | | 269,784 | | | | | ||||
| | | | | | | | | | | | | | | | | | 682,718 | | | | | ||||
| | | | | | | CONNECTICUT (1.3%) | | | | ||||||||||||||||
| | | 200,000 | | | | Connecticut Housing Finance Authority, Revenue Bonds, Subser. C-1, 3.75%, 11/15/35 | | | | | Aaa | | | | | | 202,818 | | | | | ||||
| | | 250,000 | | | | South Central Connecticut Regional Water Authority, Revenue Bonds, Twenty-Seventh Series, General Obligation of Authority Insured, 5.00%, 8/1/27 | | | | | Aa3 | | | | | | 274,710 | | | | | ||||
| | | 150,000 | | | | State of Connecticut Transportation Infrastructure Purposes, Special Tax Obligation, Revenue Bonds, Ser. B, 5.00%, 10/1/27 | | | | | A+* | | | | | | 186,589 | | | | | ||||
| | | | | | | | | | | | | | | | | | 664,117 | | | | | ||||
| | | | | | | DELAWARE (0.6%) | | | | ||||||||||||||||
| | | 265,000 | | | | Delaware Transportation Authority, US 301 Project, Revenue Bonds, 5.00%, 6/1/45 | | | | | Aa3 | | | | | | 301,872 | | | | | ||||
| | | | | | | DISTRICT OF COLUMBIA (0.6%) | | | | ||||||||||||||||
| | | 100,000 | | | | District of Columbia Income Tax Secured Revenue, Revenue Bonds, Ser. G, 5.00%, 12/1/36 | | | | | Aa1 | | | | | | 106,624 | | | | | ||||
| | | 145,000 | | | | District of Columbia Income, General Obligation Unlimited, Ser. A, 5.00%, 6/1/43 | | | | | Aaa | | | | | | 176,536 | | | | | ||||
| | | | | | | | | | | | | | | | | | 283,160 | | | | | ||||
| | | | | | | FLORIDA (4.6%) | | | | | | | | ||||||||||||
| | | 140,000 | | | | Central Florida Expressway Authority, Revenue Bonds, Ser. A, 4.00%, 7/1/37 | | | | | A1 | | | | | | 154,262 | | | | | ||||
| | | 180,000 | | | | City of Jacksonville, Florida Special Revenue, Revenue Bonds, Ser. A, 5.25%, 10/1/47 | | | | | A3 | | | | | | 215,706 | | | | | ||||
| | | 100,000 | | | | City of Marco Island, Florida Utility System Revenue, Revenue Bonds, 4.00%, 10/1/38 | | | | | Aa3 | | | | | | 109,735 | | | | | ||||
| | | 185,000 | | | | City of Miami Beach Florida Water & Sewer Revenue, Revenue Bonds, 5.00%, 9/1/36 | | | | | Aa3 | | | | | | 224,211 | | | | | ||||
| | | 180,000 | | | | County of Miami-Dade Florida Aviation Revenue, Revenue Bonds, 5.00%, 10/1/41 | | | | | A* | | | | | | 212,153 | | | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.1%) (continued) | | | |||||||||||||||||
| | | | | | | FLORIDA (4.6%) (continued) | | ||||||||||||
| | | | | | | County of Palm Beach, Florida Public Improvement, Revenue Bonds, Ser. D: | | | | | | | | | | | | | |
| | $ | 250,000 | | | | 5.00%, 12/1/40 | | | | | Aa1 | | | | | $ | 295,105 | | |
| | | 125,000 | | | | 5.00%, 12/1/45 | | | | | Aa1 | | | | | | 146,379 | | |
| | | 240,000 | | | | County of State Lucie, Florida Sales Tax Revenue, Refunding Revenue Bonds, Ser. A, AGM Insured, 5.00%, 10/1/24 | | | | | A1 | | | | | | 271,476 | | |
| | | 205,000 | | | | Florida Housing Finance Corp., Revenue Bonds, Ser. 1, (GNMA/FNMA/FHLMC), 4.00%, 7/1/49 | | | | | Aaa | | | | | | 221,429 | | |
| | | 125,000 | | | | Miami-Dade County Expressway Authority, Revenue Bonds, Ser. A, 5.00%, 7/1/23 | | | | | A3 | | | | | | 136,536 | | |
| | | 325,000 | | | | Orange County Health Facilities Authority, Revenue Bonds, Ser. A, 5.00%, 10/1/39 | | | | | A2 | | | | | | 381,053 | | |
| | | | | | | | | | | | | | | | | | 2,368,045 | | |
| | | | | | | GEORGIA (1.8%) | | ||||||||||||
| | | 500,000 | | | | Metropolitan Atlanta Rapid Transit Authority, Revenue Bonds, 3rd Ser., Ser. A, 4.00%, 7/1/36 | | | | | Aa2 | | | | | | 528,155 | | |
| | | 350,000 | | | | Valdosta & Lowndes County Hospital Authority, Revenue Bonds, South Medical Center Project, Ser. B, County Guaranteed Insured, 5.00%, 10/1/41 | | | | | Aa2 | | | | | | 373,264 | | |
| | | | | | | | | | | | | | | | | | 901,419 | | |
| | | | | | | GUAM (0.6%) | | ||||||||||||
| | | | | | | Guam Power Authority, Revenue Bonds, Ser. A, AGM Insured: | | | | ||||||||||
| | | 150,000 | | | | 5.00%, 10/1/20 | | | | | A2 | | | | | | 154,005 | | |
| | | 120,000 | | | | 5.00%, 10/1/39 | | | | | A2 | | | | | | 135,050 | | |
| | | | | | | | | | | | | | | | | | 289,055 | | |
| | | | | | | HAWAII (0.6%) | | ||||||||||||
| | | 100,000 | | | | City & County Honolulu Hawaii, General Obligation Unlimited, Ser. A, 5.00%, 10/1/38 | | | | | Aa1 | | | | | | 116,874 | | |
| | | 185,000 | | | | State of Hawaii, General Obligation Unlimited, Ser. FG, 4.00%, 10/1/35 | | | | | Aa1 | | | | | | 207,531 | | |
| | | | | | | | | | | | | | | | | | 324,405 | | |
| | | | | | | IDAHO (0.5%) | | ||||||||||||
| | | 250,000 | | | | Idaho State Building Authority, Revenue Bonds, 5.00%, 9/1/40 | | | | | Aa2 | | | | | | 275,498 | | |
| | | | | | | ILLINOIS (1.3%) | | ||||||||||||
| | | 100,000 | | | | Cook County Forest Preserve District, General Obligation Unlimited, Ser. C, 5.00%, 12/15/37 | | | | | A2 | | | | | | 105,373 | | |
| | | 250,000 | | | | Illinois Finance Authority, Revenue Bonds, Loyola University of Chicago, Ser. B, 5.00%, 7/1/26 | | | | | A1 | | | | | | 269,947 | | |
| | | 150,000 | | | | Illinois State Toll Highway Authority, Revenue Bonds, Ser. C, 5.00%, 1/1/37 | | | | | A1 | | | | | | 170,873 | | |
| | | 100,000 | | | | Metropolitan Water Reclamation District of Greater Chicago, General Obligation Unlimited, Ser. A, 5.00%, 12/1/44 | | | | | AA+* | | | | | | 111,666 | | |
| | | | | | | | | | | | | | | | | | 657,859 | | |
| | | | | | | INDIANA (0.3%) | | ||||||||||||
| | | 135,000 | | | | Indiana Municipal Power Agency, Revenue Bonds, Ser. A, 5.00%, 1/1/42 | | | | | A1 | | | | | | 156,963 | | |
| | | | | | | IOWA (0.1%) | | ||||||||||||
| | | 50,000 | | | | Iowa Finance Authority, Health Care Facility, Genesis Health System, Revenue Bonds, 5.00%, 7/1/22 | | | | | A1 | | | | | | 54,395 | | |
| | | | | | | KANSAS (0.6%) | | ||||||||||||
| | | 250,000 | | | | State of Kansas Department of Transportation, Revenue Bonds, Ser. A, 5.00%, 9/1/32 | | | | | Aa2 | | | | | | 308,900 | | |
| | | | | | | KENTUCKY (0.5%) | | ||||||||||||
| | | 110,000 | | | | Kentucky Economic Development Finance Authority, Revenue Bonds, Ser. A, AGM Insured, 4.00%, 6/1/37 | | | | | A2 | | | | | | 119,256 | | |
| | | 125,000 | | | | Louisville & Jefferson County Visitors and Convention Commission, Revenue Bonds, 4.00%, 6/1/23 | | | | | A2 | | | | | | 135,469 | | |
| | | | | | | | | | | | | | | | | | 254,725 | | |
| | | | | | | LOUISIANA (1.4%) | | ||||||||||||
| | | | | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds: | | | | | | | | | | | | | |
| | | 300,000 | | | | City of Bossier City, 5.00%, 11/1/26 | | | | | Aa3 | | | | | | 357,417 | | |
| | | 100,000 | | | | Women’s Hospitals Foundation Projects, 5.00%, 10/1/44 | | | | | A2 | | | | | | 116,203 | | |
| | | 145,000 | | | | State of Louisiana Gasoline & Fuels Tax Revenue, Revenue Bonds, Ser. C-1, 5.00%, 5/1/30 | | | | | Aa3 | | | | | | 161,025 | | |
| | | 85,000 | | | | State of Louisiana Highway Improvement Revenue, Revenue Bonds, Ser. A, 5.00%, 6/15/28 | | | | | A1 | | | | | | 97,592 | | |
| | | | | | | | | | | | | | | | | | 732,237 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.1%) (continued) | | | |||||||||||||||||
| | | | | | | MAINE (0.8%) | | ||||||||||||
| | $ | 200,000 | | | | Maine State Health & Higher Educational Facilities Authority Revenue, Refunding Revenue Bonds, Colby College, Ser. A, 5.00%, 7/1/39 | | | | | Aa2 | | | | | $ | 228,612 | | |
| | | 80,000 | | | | Maine State Housing Authority (Mortgage), Revenue Bonds, Ser. A, 3.80%, 11/15/39 | | | | | Aa1 | | | | | | 86,082 | | |
| | | 100,000 | | | | Maine Turnpike Authority, Revenue Bonds, Ser. A, 5.00%, 7/1/37 | | | | | Aa3 | | | | | | 108,842 | | |
| | | | | | | | | | | | | | | | | | 423,536 | | |
| | | | | | | MARYLAND (0.5%) | | ||||||||||||
| | | 130,000 | | | | City of Baltimore, Maryland Subordinate (Water Projects), Revenue Bonds, Ser. A, 5.00%, 7/1/31 | | | | | A1 | | | | | | 157,169 | | |
| | | 100,000 | | | | County of Anne Arundel, Maryland, General Obligation Limited, 5.00%, 10/1/36 | | | | | NR** | | | | | | 120,342 | | |
| | | | | | | | | | | | | | | | | | 277,511 | | |
| | | | | | | MASSACHUSETTS (5.4%) | | ||||||||||||
| | | 75,000 | | | | Commonwealth of Massachusetts, Revenue Bonds, 5.50%, 1/1/30 | | | | | A1 | | | | | | 99,855 | | |
| | | 500,000 | | | | Massachusetts Bay Transportation Authority, Revenue Assessment Bonds, Ser. A, 4.00%, 7/1/37 | | | | | Aa1 | | | | | | 524,810 | | |
| | | 175,000 | | | | Massachusetts Bay Transportation Authority, Revenue Bonds, Ser. A-1, 5.00%, 7/1/36 | | | | | Aa3 | | | | | | 212,928 | | |
| | | | | | | Massachusetts Development Finance Agency: | | | | | | | | | | | | | |
| | | 250,000 | | | | Boston Medical Center, Revenue Bonds, Ser. D, 5.00%, 7/1/44 | | | | | Baa2 | | | | | | 280,065 | | |
| | | 225,000 | | | | Harvard University, Revenue Bonds, Ser. B-2, 5.25%, 2/1/34 | | | | | Aaa | | | | | | 235,100 | | |
| | | 75,000 | | | | Revenue Bonds, 5.00%, 7/1/36 | | | | | NR** | | | | | | 79,324 | | |
| | | 250,000 | | | | Umass Memorial Health Care, Revenue Bonds, 3.63%, 7/1/37 | | | | | BBB+* | | | | | | 263,818 | | |
| | | 500,000 | | | | Massachusetts Health & Educational Facilities Authority Revenue, Revenue Bonds, Tufts University, Ser. M, 5.50%, 2/15/27 | | | | | Aa2 | | | | | | 641,035 | | |
| | | | | | | Massachusetts School Building Authority Sales Tax Revenue, Revenue Bonds, Senior Ser. B: | | | | | | | | | | | | | |
| | | 250,000 | | | | 5.00%, 10/15/41 | | | | | Aa2 | | | | | | 267,397 | | |
| | | 165,000 | | | | 5.00%, 11/15/46 | | | | | Aa2 | | | | | | 195,469 | | |
| | | | | | | | | | | | | | | | | | 2,799,801 | | |
| | | | | | | MICHIGAN (1.6%) | | ||||||||||||
| | | 200,000 | | | | Jackson Public Schools County of Jackson, Michigan 2018 School Building and Site Bonds, General Obligation Unlimited, 5.00%, 5/1/48 | | | | | Aa1 | | | | | | 237,532 | | |
| | | 250,000 | | | | Michigan Finance Authority, Henry Ford Health System, Revenue Bonds, 4.00%, 11/15/46 | | | | | A2 | | | | | | 268,973 | | |
| | | 120,000 | | | | Michigan State Building Authority, Revenue Bonds, Ser. I, 5.00%, 10/15/32 | | | | | Aa2 | | | | | | 144,314 | | |
| | | 150,000 | | | | Port Huron Area School District, General Obligation Unlimited, AGM Insured, 4.00%, 5/1/42 | | | | | A1 | | | | | | 163,101 | | |
| | | | | | | | | | | | | | | | | | 813,920 | | |
| | | | | | | MINNESOTA (0.6%) | | ||||||||||||
| | | 110,000 | | | | County of Jackson, Minnesota Capital Improvement Plan, General Obligation Unlimited, Ser. C, 3.00%, 2/1/38 | | | | | AA* | | | | | | 113,163 | | |
| | | 150,000 | | | | State of Minnesota Public Facilities Authority Revenue, Refunding Revenue Bonds, Ser. B, 5.00%, 3/1/28 | | | | | Aaa | | | | | | 182,142 | | |
| | | | | | | | | | | | | | | | | | 295,305 | | |
| | | | | | | MISSISSIPPI (0.8%) | | ||||||||||||
| | | 90,000 | | | | Mississippi Development Bank, Jackson Public School District Limited, Revenue, Refunding Revenue Bonds, Ser. A, 5.00%, 4/1/27 | | | | | A+* | | | | | | 107,816 | | |
| | | 300,000 | | | | Mississippi Hospital Equipment & Facilities Authority, Revenue Bonds, Forest County General Hospital, 5.25%, 1/1/28 | | | | | A2 | | | | | | 300,000 | | |
| | | | | | | | | | | | | | | | | | 407,816 | | |
| | | | | | | MISSOURI (0.9%) | | ||||||||||||
| | | 120,000 | | | | Health & Educational Facilities Authority of the State of Missouri (Mercy Health), Refunding Revenue Bonds, Ser. C, 4.00%, 11/15/37 | | | | | Aa3 | | | | | | 132,932 | | |
| | | 150,000 | | | | Metropolitan State Louis Sewer District, Waste Water System Improvement, Refunding Revenue Bonds, Ser. B, 5.00%, 5/1/31 | | | | | Aa1 | | | | | | 176,871 | | |
| | | 140,000 | | | | Missouri Housing Development Commission Single Family Mortgage (First Place Homeownership Loan Program), Revenue Bonds, (GNMA/FNMA/FHLMC), 4.25%, 5/1/49 | | | | | AA+* | | | | | | 153,939 | | |
| | | | | | | | | | | | | | | | | | 463,742 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.1%) (continued) | | | |||||||||||||||||
| | | | | | | NEBRASKA (1.3%) | | ||||||||||||
| | $ | 285,000 | | | | Central Plains Energy Project, Revenue Bonds, Project No. 3, 5.00%, 9/1/21 | | | | | A3 | | | | | $ | 301,051 | | |
| | | 95,000 | | | | Public Power Generation Agency, Revenue Bonds, Ser. A, 5.00%, 1/1/38 | | | | | A2 | | | | | | 110,704 | | |
| | | 250,000 | | | | University of Nebraska, Lincoln Student, Revenue Bonds, 4.00%, 7/1/33 | | | | | Aa1 | | | | | | 267,790 | | |
| | | | | | | | | | | | | | | | | | 679,545 | | |
| | | | | | | NEVADA (2.6%) | | ||||||||||||
| | | 250,000 | | | | City of Henderson, Nevada Refunding, General Obligation Limited, 4.00%, 6/1/31 | | | | | Aa2 | | | | | | 265,947 | | |
| | | | | | | Clark County School District, General Obligation Unlimited: | | | | | | | | | | | | | |
| | | 250,000 | | | | Ser. A, 4.00%, 6/15/35 | | | | | A1 | | | | | | 280,535 | | |
| | | 230,000 | | | | Ser. C, 5.00%, 6/15/29 | | | | | A1 | | | | | | 284,034 | | |
| | | 200,000 | | | | County of Clark, Stadium Improvement, General Obligation Limited, Ser. A, 5.00%, 5/1/48 | | | | | Aa1 | | | | | | 240,564 | | |
| | | 240,000 | | | | Las Vegas Valley Water District, General Obligation Limited, Ser. A, 3.38%, 6/1/38 | | | | | NR** | | | | | | 254,256 | | |
| | | | | | | | | | | | | | | | | | 1,325,336 | | |
| | | | | | | NEW HAMPSHIRE (0.6%) | | ||||||||||||
| | | 95,000 | | | | New Hampshire Health and Education Facilities Authority Act, University System of New Hampshire Issue, Refunding Revenue Bonds, Ser. A, 5.00%, 7/1/37 | | | | | Aa3 | | | | | | 114,949 | | |
| | | 200,000 | | | | New Hampshire Housing Finance Authority, Revenue Bonds, Ser. 1, 3.75%, 7/1/54 | | | | | Aaa | | | | | | 209,330 | | |
| | | | | | | | | | | | | | | | | | 324,279 | | |
| | | | | | | NEW JERSEY (5.4%) | | ||||||||||||
| | | 135,000 | | | | County of Essex NJ, General Obligation Limited, Ser. A, 4.00%, 9/1/29 | | | | | Aaa | | | | | | 157,653 | | |
| | | 170,000 | | | | New Jersey Economic Development Authority, Refunding Revenue Bonds, Ser. B, 5.00%, 11/1/27 | | | | | Baa1 | | | | | | 202,849 | | |
| | | 270,000 | | | | New Jersey Economic Development Authority, Revenue Bonds, Ser. AAA, 5.50%, 6/15/27 | | | | | Baa1 | | | | | | 326,662 | | |
| | | 150,000 | | | | New Jersey Economic Development Authority, Revenue Bonds, Ser. B, 5.00%, 6/15/38 | | | | | Baa1 | | | | | | 175,275 | | |
| | | | | | | New Jersey Institute of Technology, Revenue Bonds: | | | | | | | | | | | | | |
| | | 30,000 | | | | Prerefunded, Ser. A, 5.00%, 7/1/42 | | | | | NR** | | | | | | 32,871 | | |
| | | 70,000 | | | | Unrefunded, Ser. A, 5.00%, 7/1/42 | | | | | A1 | | | | | | 75,651 | | |
| | | 1,000,000 | | | | New Jersey State Educational Facilities Authority Revenue, Revenue Bonds, Princeton University, Ser. B, 5.00%, 7/1/35 | | | | | Aaa | | | | | | 1,054,570 | | |
| | | 150,000 | | | | New Jersey State Health Care Facilities Financing Authority, Revenue Bonds, Ser. A, 4.00%, 7/1/26 | | | | | A1 | | | | | | 159,305 | | |
| | | | | | | New Jersey State Turnpike Authority, Revenue Bonds: | | | | | | | | | | | | | |
| | | 165,000 | | | | Ser. A, 5.00%, 1/1/29 | | | | | A2 | | | | | | 181,005 | | |
| | | 100,000 | | | | Ser. F, 5.00%, 1/1/35 | | | | | A2 | | | | | | 110,144 | | |
| | | 110,000 | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Ser. B, AMBAC Insured, 5.25%, 12/15/23 | | | | | Baa1 | | | | | | 125,135 | | |
| | | 150,000 | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Ser. BB, 4.00%, 6/15/36 | | | | | Baa1 | | | | | | 160,069 | | |
| | | | | | | | | | | | | | | | | | 2,761,189 | | |
| | | | | | | NEW MEXICO (0.5%) | | ||||||||||||
| | | 200,000 | | | | State of New Mexico, Severance Tax Permanent Fund, Revenue Bonds, Ser. A, 5.00%, 7/1/24 | | | | | Aa2 | | | | | | 233,330 | | |
| | | | | | | NEW YORK (8.7%) | | ||||||||||||
| | | 210,000 | | | | Battery Park City Authority, Revenue Bonds, Ser. B, 4.00%, 11/1/41 | | | | | Aaa | | | | | | 242,959 | | |
| | | 175,000 | | | | Long Island Power Authority, Revenue Bonds, Ser. B, 5.00%, 9/1/41 | | | | | A2 | | | | | | 206,174 | | |
| | | | | | | Metropolitan Transportation Authority, New York: | | | | | | | | | | | | | |
| | | 200,000 | | | | Revenue Bonds, Ser. A, AGM Insured, 5.00%, 11/15/36 | | | | | A1 | | | | | | 215,142 | | |
| | | 150,000 | | | | Revenue Bonds, Ser. C-1, 5.00%, 11/15/29 | | | | | A1 | | | | | | 186,027 | | |
| | | 500,000 | | | | Revenue Bonds, Subser. C-1, 5.00%, 11/15/34 | | | | | A1 | | | | | | 586,205 | | |
| | | 100,000 | | | | New York City Transitional Finance Authority Building Aid Revenue, Revenue Bonds, Ser. 1, 4.00%, 7/15/36 | | | | | Aa2 | | | | | | 110,553 | | |
| | | 170,000 | | | | New York Convention Center Development Corp., Hotel Unit Fee Secured, Refunding Revenue Bonds, 5.00%, 11/15/40 | | | | | Aa3 | | | | | | 200,156 | | |
| | | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | | | | | | | | | | |
| | | 100,000 | | | | Barnard College, Ser. A, 5.00%, 7/1/30 | | | | | A1 | | | | | | 117,991 | | |
| | | 100,000 | | | | Cornell University, Ser. A, 5.00%, 7/1/40 | | | | | Aa1 | | | | | | 101,839 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.1%) (continued) | | | |||||||||||||||||
| | | | | | | NEW YORK (8.7%) (continued) | | ||||||||||||
| | $ | 50,000 | | | | Memorial Sloan-Kettering Cancer Center, 5.00%, 7/1/25 | | | | | Aa3 | | | | | $ | 53,940 | | |
| | | 150,000 | | | | State Personal Income Tax Revenues General Purpose, Ser. A, 4.50%, 3/15/35 | | | | | Aa1 | | | | | | 155,102 | | |
| | | 250,000 | | | | State Personal Income Tax Revenues General Purpose, Ser. A, 5.00%, 2/15/23 | | | | | Aa1 | | | | | | 279,755 | | |
| | | 125,000 | | | | State Personal Income Tax Revenues, Ser. 1, 5.00%, 1/15/31 | | | | | Aa2 | | | | | | 156,404 | | |
| | | 150,000 | | | | State Personal Income Tax Revenues, Ser. B, Group C, 5.00%, 2/15/38 | | | | | Aa1 | | | | | | 172,928 | | |
| | | 200,000 | | | | New York State Urban Development Corp., Refunding Revenue Bonds, Ser. A, 4.00%, 3/15/44 | | | | | Aa1 | | | | | | 225,530 | | |
| | | 250,000 | | | | New York State Urban Development Corp., State Personal Income Tax Revenue, Revenue Bonds, Ser. A, 5.00%, 3/15/28 | | | | | Aa1 | | | | | | 299,367 | | |
| | | 150,000 | | | | New York State, General Obligation Unlimited, Fiscal 2015, Ser. A, 5.00%, 8/1/26 | | | | | Aa1 | | | | | | 174,777 | | |
| | | 100,000 | | | | Port Authority of New York & New Jersey, Consolidated Bonds, Revenue Bonds, One Hundred Seventy-First Series, 4.00%, 7/15/38 | | | | | Aa3 | | | | | | 104,273 | | |
| | | 100,000 | | | | Port Authority of New York & New Jersey, Consolidated Bonds, Revenue Bonds, One Hundred Sixty-Sixth Series, General Obligation of Authority Insured, 5.00%, 7/15/33 | | | | | Aa3 | | | | | | 103,756 | | |
| | | 325,000 | | | | Port Authority of New York & New Jersey, Revenue Bonds, 194th Series, 5.00%, 10/15/41 | | | | | Aa3 | | | | | | 385,161 | | |
| | | 250,000 | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds, Ser. B, 5.00%, 11/15/36 | | | | | Aa3 | | | | | | 303,620 | | |
| | | 85,000 | | | | Utility Debt Securitization Authority, Restructuring Refunding Revenue Bonds, Ser. A, 5.00%, 12/15/35 | | | | | Aaa | | | | | | 102,673 | | |
| | | | | | | | | | | | | | | | | | 4,484,332 | | |
| | | | | | | NEW YORK CITY (4.8%) | | ||||||||||||
| | | 250,000 | | | | City of New York, General Obligation Unlimited, Fiscal 2012, Ser. A-1, 5.00%, 8/1/32 | | | | | Aa1 | | | | | | 264,793 | | |
| | | 250,000 | | | | Housing Development Corp., Revenue Bonds, Ser. D-1-B, 4.20%, 5/1/37 | | | | | Aa2 | | | | | | 259,575 | | |
| | | | | | | Municipal Water Finance Authority, Water and Sewer System Revenue, Revenue Bonds: | | | | | | | | | | | | | |
| | | 100,000 | | | | Ser. DD, 5.00%, 6/15/34 | | | | | Aa1 | | | | | | 112,057 | | |
| | | 65,000 | | | | Ser. EE, 5.00%, 6/15/45 | | | | | Aa1 | | | | | | 73,753 | | |
| | | 60,000 | | | | Ser. FF, 5.00%, 6/15/45 | | | | | Aa1 | | | | | | 64,890 | | |
| | | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | | | | | | | | | | | |
| | | 300,000 | | | | Fiscal 2011, Ser. D, 5.00%, 2/1/35 | | | | | Aa1 | | | | | | 311,904 | | |
| | | 120,000 | | | | Subordinated Future Tax Secured, Subser. A-1, 5.00%, 8/1/26 | | | | | Aa1 | | | | | | 140,462 | | |
| | | 150,000 | | | | Subordinated Future Tax Secured, Subser. B-1, 5.00%, 8/1/32 | | | | | Aa1 | | | | | | 181,280 | | |
| | | 200,000 | | | | Subser. A-1, 5.00%, 8/1/31 | | | | | Aa1 | | | | | | 231,824 | | |
| | | 200,000 | | | | Subser. B-1, 5.00%, 8/1/39 | | | | | Aa1 | | | | | | 228,614 | | |
| | | 250,000 | | | | Subser. E-1, 5.00%, 2/1/32 | | | | | Aa1 | | | | | | 298,730 | | |
| | | 245,000 | | | | Subser. E-1, 5.00%, 2/1/40 | | | | | Aa1 | | | | | | 290,060 | | |
| | | | | | | | | | | | | | | | | | 2,457,942 | | |
| | | | | | | NORTH CAROLINA (2.9%) | | ||||||||||||
| | | | | | | City of Charlotte NC Airport Revenue, Revenue Bonds: | | | | | | | | | | | | | |
| | | 100,000 | | | | Ser. A, 5.00%, 7/1/31 | | | | | Aa3 | | | | | | 123,319 | | |
| | | 135,000 | | | | Ser. C, 4.00%, 6/1/36 | | | | | Aa2 | | | | | | 155,650 | | |
| | | 305,000 | | | | Nash Health Care Systems Health Care Facilities Revenue, Revenue Bonds, 4.50%, 11/1/37 | | | | | BBB* | | | | | | 316,233 | | |
| | | 385,000 | | | | North Carolina Medical Care Commission, Refunding Revenue Bonds, Wakemed, Ser. A, 4.13%, 10/1/38 | | | | | A2 | | | | | | 405,717 | | |
| | | 150,000 | | | | North Carolina Medical Care Commission, Revenue Bonds, Duke University Health System, Ser. A, 5.00%, 6/1/42 | | | | | Aa2 | | | | | | 161,415 | | |
| | | 315,000 | | | | State of North Carolina Capital Improvement Obligation, Revenue Bonds, Ser. C, 3.50%, 5/1/27 | | | | | Aa1 | | | | | | 324,935 | | |
| | | | | | | | | | | | | | | | | | 1,487,269 | | |
| | | | | | | NORTH DAKOTA (0.9%) | | ||||||||||||
| | | 290,000 | | | | City of Fargo, North Dakota, Improvement Refunding Bonds, General Obligation Unlimited, Ser. E, 5.00%, 5/1/25 | | | | | Aa1 | | | | | | 336,284 | | |
| | | 135,000 | | | | North Dakota Public Finance Authority, State Revolving Fund Program, Revenue Bonds, Ser. A, 5.00%, 10/1/26 | | | | | Aaa | | | | | | 144,091 | | |
| | | | | | | | | | | | | | | | | | 480,375 | | |
| | | | | | | OHIO (2.2%) | | ||||||||||||
| | | 200,000 | | | | City of Akron, Ohio Community Learning Centers, Refunding Revenue Bonds, Ser. A, 5.00%, 12/1/28 | | | | | AA* | | | | | | 217,548 | | |
| | | 250,000 | | | | City of Cleveland, Ohio Water Pollution Control, Green Bonds, Revenue Bonds, 5.00%, 11/15/45 | | | | | Aa3 | | | | | | 287,080 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.1%) (continued) | | | |||||||||||||||||
| | | | | | | OHIO (2.2%) (continued) | | ||||||||||||
| | $ | 325,000 | | | | Cleveland Department of Public Utilities Division of Water Revenue, Revenue Bonds, Senior Lien Ser. X, 3.63%, 1/1/37 | | | | | Aa2 | | | | | $ | 332,680 | | |
| | | 250,000 | | | | Country of Franklin, Ohio Hospital Facilities Revenue, Revenue Bonds, 5.00%, 5/15/45 | | | | | Aa2 | | | | | | 283,445 | | |
| | | | | | | | | | | | | | | | | | 1,120,753 | | |
| | | | | | | OKLAHOMA (0.8%) | | ||||||||||||
| | | 135,000 | | | | Grand River Dam Authority, Revenue Bonds, Ser. A, 5.00%, 6/1/27 | | | | | A1 | | | | | | 166,591 | | |
| | | 250,000 | | | | Oklahoma Capital Improvement Authority, Revenue Bonds, 5.00%, 10/1/23 | | | | | AA-* | | | | | | 266,430 | | |
| | | | | | | | | | | | | | | | | | 433,021 | | |
| | | | | | | OREGON (1.0%) | | ||||||||||||
| | | 280,000 | | | | County of Multnomah Oregon, General Obligation Unlimited, 4.00%, 6/1/42 | | | | | Aaa | | | | | | 311,030 | | |
| | | 150,000 | | | | Oregon State Department of Administrative Services Lottery Revenue, Revenue Bonds, Ser. D, 5.00%, 4/1/28 | | | | | Aa2 | | | | | | 177,729 | | |
| | | | | | | | | | | | | | | | | | 488,759 | | |
| | | | | | | PENNSYLVANIA (4.2%) | | ||||||||||||
| | | 200,000 | | | | Central Bradford Progress Authority, Guthrie Healthcare System, Revenue Bonds, 5.00%, 12/1/31 | | | | | A+* | | | | | | 214,314 | | |
| | | 160,000 | | | | City of Philadelphia Pennsylvania, General Obligation Unlimited, Ser. A, 5.00%, 8/1/37 | | | | | A2 | | | | | | 191,272 | | |
| | | 500,000 | | | | Delaware River Pennsylvania, Joint Toll Bridge Commission, Revenue Bonds, 5.00%, 7/1/36 | | | | | A1 | | | | | | 608,365 | | |
| | | 500,000 | | | | Pennsylvania Higher Educational Facilities Authority, State System of Higher Education, Revenue Bonds, Ser. AS, 5.00%, 6/15/28 | | | | | Aa3 | | | | | | 599,295 | | |
| | | 100,000 | | | | Pennsylvania Infrastructure Investment Authority, Revenue Bonds, Ser. A, 4.00%, 5/15/32 | | | | | AAA* | | | | | | 110,920 | | |
| | | 250,000 | | | | Pennsylvania Turnpike Commission, Motor License, Refunding Revenue Bonds, 5.00%, 12/1/35 | | | | | A2 | | | | | | 302,725 | | |
| | | 100,000 | | | | Pennsylvania Turnpike Commission, Revenue Bonds, Ser. A-2, 5.00%, 12/1/24 | | | | | A1 | | | | | | 117,693 | | |
| | | | | | | | | | | | | | | | | | 2,144,584 | | |
| | | | | | | RHODE ISLAND (0.3%) | | ||||||||||||
| | | 135,000 | | | | Rhode Island Health & Educational Building Corp. Public School, Revenue Bonds, 5.00%, 5/15/28 | | | | | A1 | | | | | | 165,864 | | |
| | | | | | | SOUTH CAROLINA (1.8%) | | ||||||||||||
| | | 250,000 | | | | Charleston County South Carolina, Capital Improvement Transportation Sales Tax, General Obligation Unlimited, State Aid Withholding Insured, 4.00%, 11/1/29 | | | | | Aaa | | | | | | 263,315 | | |
| | | 75,000 | | | | Fort Mill School District No. 4, General Obligation Unlimited, Ser. B, 5.00%, 3/1/27 | | | | | Aa1 | | | | | | 93,597 | | |
| | | 325,000 | | | | South Carolina Public Service Authority, Revenue Bonds, Ser. A, 5.00%, 12/1/38 | | | | | A2 | | | | | | 378,245 | | |
| | | 210,000 | | | | South Carolina Transportation Infrastructure Bank, Revenue Bonds, Ser. A, 3.00%, 10/1/36 | | | | | Aa3 | | | | | | 214,735 | | |
| | | | | | | | | | | | | | | | | | 949,892 | | |
| | | | | | | TENNESSEE (0.9%) | | ||||||||||||
| | | 100,000 | | | | City Of Memphis, Tennessee Gas System Revenue Bonds, 5.00%, 12/1/26 | | | | | Aa1 | | | | | | 124,172 | | |
| | | 250,000 | | | | Shelby County Health Educational & Housing Facilities Board, Revenue Bonds, Methodist Le Bonheur Healthcare, 5.00%, 5/1/42 | | | | | A1 | | | | | | 265,255 | | |
| | | 80,000 | | | | Tennessee Housing Development Agency, Revenue Bonds, Ser. 1C, 3.05%, 1/1/24 | | | | | Aa1 | | | | | | 84,092 | | |
| | | | | | | | | | | | | | | | | | 473,519 | | |
| | | | | | | TEXAS (6.9%) | | ||||||||||||
| | | 170,000 | | | | Brushy Creek Regional Utility Authority, Inc., Water Treatment & Distributions Project, Revenue Bonds, 5.00%, 8/1/34 | | | | | AA-* | | | | | | 201,382 | | |
| | | 120,000 | | | | City of Arlington, Subordinate Lien Special Tax, Revenue Bonds, Ser. C, BAM Insured, 5.00%, 2/15/33 | | | | | A3 | | | | | | 145,891 | | |
| | | 65,000 | | | | City of Houston Texas, Combined Utility System Revenue, Revenue Bonds, Ser. D, 5.00%, 11/15/42 | | | | | AA* | | | | | | 72,231 | | |
| | | 125,000 | | | | City of Leander, Texas Certificates of Obligation, Parking Facility Improvements, General Obligation Limited, 5.00%, 8/15/32 | | | | | Aa2 | | | | | | 144,655 | | |
| | | 70,000 | | | | City of Lubbock, Texas Certificates of Obligation, Waterworks System, General Obligation Limited, 5.00%, 2/15/23 | | | | | Aa2 | | | | | | 78,260 | | |
| | | 90,000 | | | | City of McAllen Texas, General Obligation Limited, 5.00%, 2/15/32 | | | | | AA+* | | | | | | 111,723 | | |
| | | 150,000 | | | | City of San Antonio Texas, Electric & Gas Systems Revenue, Revenue Bonds, 5.00%, 2/1/39 | | | | | Aa1 | | | | | | 179,037 | | |
| | | 200,000 | | | | City of San Antonio Texas, Water System Revenue, Junior Lien, Refunding Revenue Bonds, Ser. B, 5.00%, 5/15/32 | | | | | Aa2 | | | | | | 234,130 | | |
| | | 275,000 | | | | Dallas Area Rapid Transit, Revenue Bonds, Ser. A, 5.00%, 12/1/36 | | | | | Aa2 | | | | | | 325,638 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.1%) (continued) | | | |||||||||||||||||
| | | | | | | TEXAS (6.9%) (continued) | | ||||||||||||
| | $ | 200,000 | | | | El Paso Independent School District, General Obligation Limited, (PSF-GTD), 4.00%, 8/15/43 | | | | | Aaa | | | | | $ | 221,536 | | |
| | | | | | | Lower Colorado River Authority, Revenue Bonds: | | | | | | | | | | | | | |
| | | 250,000 | | | | Ser. A, 5.00%, 5/15/31 | | | | | A1 | | | | | | 277,650 | | |
| | | 250,000 | | | | Ser. B, 5.00%, 5/15/23 | | | | | A2 | | | | | | 280,878 | | |
| | | 200,000 | | | | Olmos Park Higher Education Facilities Corp., Refunding Revenue Bonds, University of the Incarnate Word, 5.00%, 12/1/23 | | | | | A3 | | | | | | 220,456 | | |
| | | 110,000 | | | | Spring Independent School District, General Obligation Unlimited, PSF-GTD Insured, 4.00%, 8/15/34 | | | | | Aaa | | | | | | 123,911 | | |
| | | 100,000 | | | | State of Texas, Transportation Commission, Highway Improvement, 5.00%, 4/1/25 | | | | | Aaa | | | | | | 115,907 | | |
| | | 150,000 | | | | State of Texas, Water Financial Assistance, General Obligation Unlimited, Ser. A, 3.00%, 8/1/35 | | | | | Aaa | | | | | | 155,070 | | |
| | | 275,000 | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Ser. A, 5.00%, 11/15/38 | | | | | Aa3 | | | | | | 302,932 | | |
| | | 200,000 | | | | Texas Water Development Board, Revenue Bonds, Ser. A, 5.00%, 10/15/27 | | | | | AAA* | | | | | | 239,906 | | |
| | | 100,000 | | | | Trinity River Authority Central Regional Wastewater System Revenue, Revenue Bonds, 5.00%, 8/1/33 | | | | | AAA* | | | | | | 122,740 | | |
| | | | | | | | | | | | | | | | | | 3,553,933 | | |
| | | | | | | VERMONT (0.7%) | | ||||||||||||
| | | 200,000 | | | | Vermont Educational & Health Buildings Financing Agency, Revenue Bonds, Saint Michael’s College, 5.00%, 10/1/42 | | | | | Baa1 | | | | | | 211,212 | | |
| | | 135,000 | | | | Vermont Educational & Health Buildings Financing Agency, University of Vermont Medical Center Project, Green Bonds, Revenue Bonds, 5.00%, 12/1/46 | | | | | A2 | | | | | | 155,401 | | |
| | | | | | | | | | | | | | | | | | 366,613 | | |
| | | | | | | WASHINGTON (3.5%) | | ||||||||||||
| | | 250,000 | | | | City of Seattle Washington, Limited Tax Improvement Bonds, General Obligation Limited, 4.25%, 3/1/28 | | | | | Aaa | | | | | | 258,550 | | |
| | | 200,000 | | | | City of Spokane Washington, General Obligation Unlimited, 4.00%, 12/1/40 | | | | | Aa2 | | | | | | 224,054 | | |
| | | 75,000 | | | | County of King Washington Refunding Limited Tax, General Obligation Limited, Ser. E, 4.00%, 7/1/31 | | | | | Aaa | | | | | | 86,259 | | |
| | | 165,000 | | | | County of King Washington Refunding, General Obligation Limited, Ser. E, 5.00%, 12/1/30 | | | | | Aaa | | | | | | 197,853 | | |
| | | 100,000 | | | | County of Pierce Washington, Sewer Revenue, Revenue Bonds, 4.00%, 8/1/37 | | | | | Aa3 | | | | | | 104,776 | | |
| | | 250,000 | | | | Port of Seattle Washington, Revenue Refunding Bonds, Ser. A, 5.00%, 8/1/33 | | | | | A1 | | | | | | 271,963 | | |
| | | 350,000 | | | | Washington Health Care Facilities Authority, Revenue Bonds, Providence Health & Services, Ser. A, 4.25%, 10/1/37 | | | | | Aa3 | | | | | | 370,475 | | |
| | | 250,000 | | | | Washington State, Water Utility Improvements, General Obligation Unlimited, Ser. A, 5.00%, 8/1/37 | | | | | Aaa | | | | | | 297,930 | | |
| | | | | | | | | | | | | | | | | | 1,811,860 | | |
| | | | | | | WISCONSIN (0.2%) | | ||||||||||||
| | | 100,000 | | | | City of Stoughton, General Obligation Unlimited, Ser. A, 3.38%, 4/1/38 | | | | | Aa2 | | | | | | 105,877 | | |
| | | | | | | WYOMING (0.4%) | | ||||||||||||
| | | 220,000 | | | | Laramie County Wyoming, Revenue Bonds, Cheyenne Regional Medical Center Project, 5.00%, 5/1/42 | | | | | A* | | | | | | 229,011 | | |
| | | | | | | TOTAL LONG-TERM MUNICIPAL SECURITIES (98.1%) (Cost $48,111,617) | | | | | | | | | | $ | 50,478,283 | | |
| | | | | | | CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES (1.9%) | | | | | | | | | | | 955,495 | | |
| | | | | | | NET ASSETS (100.0%) | | | | | | | | | | $ | 51,433,778 | | |
Investments in Securities: | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Long-Term Municipal Securities* | | | | $ | — | | | | | $ | 50,478,283 | | | | | $ | — | | | | | $ | 50,478,283 | | |
Total Investments in Securities | | | | $ | — | | | | | $ | 50,478,283 | | | | | $ | — | | | | | $ | 50,478,283 | | |
at December 31, 2019
| | | Value Line Core Bond Fund | | | The Value Line Tax Exempt Fund, Inc. | | ||||||
Assets: | | | | | | | | | | | | | |
Investments in securities, at value* | | | | $ | 57,619,537 | | | | | $ | 50,478,283 | | |
Cash | | | | | — | | | | | | 447,803 | | |
Dividends and interest receivable | | | | | 337,779 | | | | | | 588,568 | | |
Prepaid expenses | | | | | 23,625 | | | | | | 18,306 | | |
Receivable for securities lending income | | | | | 363 | | | | | | — | | |
Receivable for securities sold | | | | | — | | | | | | 5,000 | | |
Total Assets | | | | | 57,981,304 | | | | | | 51,537,960 | | |
Liabilities: | | | | | | | | | | | | | |
Payable upon return of securities on loan (Note 1F) | | | | | 3,867,620 | | | | | | — | | |
Dividends payable to shareholders | | | | | 9,351 | | | | | | 19,669 | | |
Payable for capital shares redeemed | | | | | 8,437 | | | | | | 7,308 | | |
Accrued expenses: | | | | | | | | | | | | | |
Advisory fee | | | | | 14,395 | | | | | | 15,831 | | |
Service and distribution plan fees | | | | | 11,518 | | | | | | — | | |
Custody and accounting fees payable | | | | | 16,994 | | | | | | 19,432 | | |
Printing fee payable | | | | | 19,303 | | | | | | 12,890 | | |
Directors’ fees and expenses | | | | | 297 | | | | | | 294 | | |
Other | | | | | 57,336 | | | | | | 28,758 | | |
Total Liabilities | | | | | 4,005,251 | | | | | | 104,182 | | |
Net Assets | | | | $ | 53,976,053 | | | | | $ | 51,433,778 | | |
Net assets consist of: | | | | | | | | | | | | | |
Capital stock, at $0.01 par value (authorized unlimited shares and 65,000,000 shares, respectively) | | | | $ | 35,379 | | | | | $ | 51,740 | | |
Additional paid-in capital | | | | | 52,927,275 | | | | | | 50,056,643 | | |
Total Distributable Earnings (Loss) | | | | | 1,013,399 | | | | | | 1,325,395 | | |
Net Assets | | | | $ | 53,976,053 | | | | | $ | 51,433,778 | | |
Net Asset Value Per Share | | | | | | | | | | | | | |
Net Assets | | | | $ | 53,976,053 | | | | | $ | 51,433,778 | | |
Shares Outstanding | | | | | 3,537,905 | | | | | | 5,173,980 | | |
Net Asset Value, Offering and Redemption Price per Outstanding Share | | | | $ | 15.26 | | | | | $ | 9.94 | | |
* Includes securities on loan of | | | | $ | 4,141,533 | | | | | $ | — | | |
Cost of investments | | | | $ | 55,522,409 | | | | | $ | 48,111,617 | | |
| | | Value Line Core Bond Fund | | | The Value Line Tax Exempt Fund, Inc. | | ||||||
Investment Income: | | | | | | | | | | | | | |
Interest | | | | $ | 1,647,926 | | | | | $ | 1,530,130 | | |
Dividends | | | | | 95,182 | | | | | | — | | |
Securities lending income | | | | | 6,151 | | | | | | — | | |
Total Income | | | | | 1,749,259 | | | | | $ | 1,530,130 | | |
Expenses: | | | | | | | | | | | | | |
Advisory fees | | | | | 206,322 | | | | | | 192,302 | | |
Service and distribution plan fees | | | | | 137,123 | | | | | | 130,113 | | |
Custody and accounting fees | | | | | 74,650 | | | | | | 85,147 | | |
Transfer agent fees | | | | | 64,039 | | | | | | 35,794 | | |
Fund administration fees | | | | | 35,425 | | | | | | 35,425 | | |
Printing and postage fees | | | | | 26,043 | | | | | | 21,676 | | |
Auditing and legal fees | | | | | 22,091 | | | | | | 19,657 | | |
Registration and filing fees | | | | | 22,057 | | | | | | 24,627 | | |
Directors’ fees and expenses | | | | | 8,488 | | | | | | 8,174 | | |
Compliance and tax service fees | | | | | 4,516 | | | | | | 4,366 | | |
Insurance fees | | | | | 3,602 | | | | | | 3,416 | | |
Other | | | | | 20,823 | | | | | | 21,167 | | |
Total Expenses Before Fees Waived (See Note 5) | | | | | 625,179 | | | | | | 581,864 | | |
Less: Advisory Fees Waived | | | | | (115,377) | | | | | | — | | |
Less: Service and Distribution Plan Fees Waived | | | | | — | | | | | | (130,113) | | |
Net Expenses | | | | | 509,802 | | | | | | 451,751 | | |
Net Investment Income | | | | | 1,239,457 | | | | | | 1,078,379 | | |
Net Realized and Unrealized Gain/(Loss) on Investments: | | | | | | | | | | | | | |
Net Realized Gain/(Loss) From: | | | | | | | | | | | | | |
Investments | | | | | 435,378 | | | | | | 211,211 | | |
Change in Net Unrealized Appreciation/(Depreciation) of: | | | | | | | | | | | | | |
Investments | | | | | 2,769,139 | | | | | | 1,820,970 | | |
Net Realized Gain/(Loss) and Change in Net Unrealized Appreciation/(Depreciation) on Investments | | | | | 3,204,517 | | | | | | 2,032,181 | | |
Net Increase in Net Assets from Operations | | | | $ | 4,443,974 | | | | | $ | 3,110,560 | | |
| | | Value Line Core Bond Fund | | |||||||||
| | | Year Ended December 31, 2019 | | | Year Ended December 31, 2018 | | ||||||
Operations: | | | | | | | | | | | | | |
Net investment income | | | | $ | 1,239,457 | | | | | $ | 1,285,861 | | |
Net realized gain/(loss) on investments | | | | | 435,378 | | | | | | (640,868) | | |
Change in net unrealized appreciation/(depreciation) on investments | | | | | 2,769,139 | | | | | | (1,467,674) | | |
Net increase/(decrease) in net assets from operations | | | | | 4,443,974 | | | | | | (822,681) | | |
Distributions to Shareholders from: | | | | | | | | | | | | | |
Distributable Earnings | | | | | (1,297,862) | | | | | | (1,348,320) | | |
Share Transactions: | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 2,540,869 | | | | | | 2,103,889 | | |
Proceeds from reinvestment of dividends to shareholders | | | | | 1,170,292 | | | | | | 1,211,676 | | |
Cost of shares redeemed | | | | | (7,464,338) | | | | | | (8,147,471) | | |
Net decrease in net assets from capital share transactions | | | | | (3,753,177) | | | | | | (4,831,906) | | |
Total decrease in net assets | | | | | (607,065) | | | | | | (7,002,907) | | |
Net Assets: | | | | | | | | | | | | | |
Beginning of year | | | | | 54,583,118 | | | | | | 61,586,025 | | |
End of year | | | | $ | 53,976,053 | | | | | $ | 54,583,118 | | |
Capital Share Transactions: | | | | | | | | | | | | | |
Shares sold | | | | | 169,769 | | | | | | 145,623 | | |
Shares issued to shareholders in reinvestment of dividends | | | | | 77,887 | | | | | | 83,888 | | |
Shares redeemed | | | | | (499,146) | | | | | | (563,650) | | |
Net decrease | | | | | (251,490) | | | | | | (334,139) | | |
| | | The Value Line Tax Exempt Fund, Inc. | | |||||||||
| | | Year Ended December 31, 2019 | | | Year Ended December 31, 2018 | | ||||||
Operations: | | | | | | | | | | | | | |
Net investment income | | | | $ | 1,078,379 | | | | | $ | 1,457,106 | | |
Net realized loss on investments | | | | | 211,211 | | | | | | (56,338) | | |
Change in net unrealized appreciation/(depreciation) on investments | | | | | 1,820,970 | | | | | | (1,332,983) | | |
Net increase in net assets from operations | | | | | 3,110,560 | | | | | | 67,785 | | |
Distributions to Shareholders from: | | | | | | | | | | | | | |
Distributable Earnings | | | | | (1,364,597) | | | | | | (1,457,107) | | |
Share Transactions: | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 2,033,638 | | | | | | 411,865 | | |
Proceeds from reinvestment of dividends to shareholders | | | | | 1,111,987 | | | | | | 1,178,912 | | |
Cost of shares redeemed | | | | | (5,306,212) | | | | | | (4,515,925) | | |
Net decrease in net assets from capital share transactions | | | | | (2,160,587) | | | | | | (2,925,148) | | |
Total decrease in net assets | | | | | (414,624) | | | | | | (4,314,470) | | |
Net Assets: | | | | | | | | | | | | | |
Beginning of year | | | | | 51,848,402 | | | | | | 56,162,872 | | |
End of year | | | | $ | 51,433,778 | | | | | $ | 51,848,402 | | |
Capital Share Transactions: | | | | | | | | | | | | | |
Shares sold | | | | | 205,732 | | | | | | 42,639 | | |
Shares issued to shareholders in reinvestment of dividends | | | | | 112,657 | | | | | | 122,522 | | |
Shares redeemed | | | | | (538,164) | | | | | | (468,219) | | |
Net decrease | | | | | (219,775) | | | | | | (303,058) | | |
| | | Value Line Core Bond Fund Years Ended December 31, | | |||||||||||||||||||||||||||
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | |||||||||||||||
Net asset value, beginning of year | | | | $ | 14.40 | | | | | $ | 14.94 | | | | | $ | 14.77 | | | | | $ | 14.71 | | | | | $ | 14.94 | | |
Income/(loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | 0.36 | | | | | | 0.32 | | | | | | 0.34 | | | | | | 0.26 | | | | | | 0.26 | | |
Net gains/(losses) on securities (both realized and unrealized) | | | | | 0.86 | | | | | | (0.52) | | | | | | 0.17 | | | | | | 0.06 | | | | | | (0.23) | | |
Total from investment operations | | | | | 1.22 | | | | | | (0.20) | | | | | | 0.51 | | | | | | 0.32 | | | | | | 0.03 | | |
Less distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | | | (0.36) | | | | | | (0.34) | | | | | | (0.34) | | | | | | (0.26) | | | | | | (0.26) | | |
Net asset value, end of year | | | | $ | 15.26 | | | | | $ | 14.40 | | | | | $ | 14.94 | | | | | $ | 14.77 | | | | | $ | 14.71 | | |
Total return | | | | | 8.51% | | | | | | (1.31)% | | | | | | 3.47% | | | | | | 2.16% | | | | | | 0.22% | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in thousands) | | | | $ | 53,976 | | | | | $ | 54,583 | | | | | $ | 61,586 | | | | | $ | 66,429 | | | | | $ | 72,074 | | |
Ratio of gross expenses to average net assets(1) | | | | | 1.14% | | | | | | 1.21% | | | | | | 1.22% | | | | | | 1.20% | | | | | | 1.17% | | |
Ratio of net expenses to average net assets(2) | | | | | 0.93% | | | | | | 0.99% | | | | | | 0.99% | | | | | | 0.99% | | | | | | 0.89% | | |
Ratio of net investment income to average net assets | | | | | 2.26% | | | | | | 2.24% | | | | | | 2.01% | | | | | | 1.74% | | | | | | 1.75% | | |
Portfolio turnover rate | | | | | 39% | | | | | | 84% | | | | | | 35% | | | | | | 32% | | | | | | 34% | | |
| | | The Value Line Tax Exempt Fund, Inc. Years Ended December 31, | | |||||||||||||||||||||||||||
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | |||||||||||||||
Net asset value, beginning of year | | | | $ | 9.61 | | | | | $ | 9.86 | | | | | $ | 9.75 | | | | | $ | 10.06 | | | | | $ | 10.08 | | |
Income/(loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | 0.20 | | | | | | 0.26 | | | | | | 0.26 | | | | | | 0.28 | | | | | | 0.27 | | |
Net gains/(losses) on securities (both realized and unrealized) | | | | | 0.39 | | | | | | (0.25) | | | | | | 0.11 | | | | | | (0.31) | | | | | | (0.02) | | |
Total from investment operations | | | | | 0.59 | | | | | | 0.01 | | | | | | 0.37 | | | | | | (0.03) | | | | | | 0.25 | | |
Less distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.28) | | | | | | (0.27) | | |
Net asset value, end of year | | | | $ | 9.94 | | | | | $ | 9.61 | | | | | $ | 9.86 | | | | | $ | 9.75 | | | | | $ | 10.06 | | |
Total return | | | | | 6.18% | | | | | | 0.17% | | | | | | 3.86% | | | | | | (0.38)% | | | | | | 2.54% | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in thousands) | | | | $ | 51,434 | | | | | $ | 51,848 | | | | | $ | 56,163 | | | | | $ | 62,797 | | | | | $ | 69,039 | | |
Ratio of gross expenses to average net assets(1) | | | | | 1.12% | | | | | | 1.12% | | | | | | 1.10% | | | | | | 0.99% | | | | | | 1.11% | | |
Ratio of net expenses to average net assets(2) | | | | | 0.87% | | | | | | 0.87% | | | | | | 0.85% | | | | | | 0.74% | | | | | | 0.86% | | |
Ratio of net investment income to average net assets | | | | | 2.07% | | | | | | 2.74% | | | | | | 2.67% | | | | | | 2.75% | | | | | | 2.71% | | |
Portfolio turnover rate | | | | | 15% | | | | | | 12% | | | | | | 10% | | | | | | 18% | | | | | | 6% | | |
Fund | | | Value of Securities Loaned | | | Value of Collateral* | | | Total Collateral (including Calculated Mark)** | | |||||||||
Value Line Core Bond Fund | | | | $ | 4,141,533 | | | | | $ | 4,231,620 | | | | | $ | 4,228,183 | | |
| | | Remaining Contractual Maturity of the Agreements As of December 31, 2019 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | <30 days | | | Between 30 & 90 days | | | >90 days | | | Total | | |||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange Traded Funds | | | | $ | 1,301,375 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,301,375 | | |
Corporate Bonds & Notes | | | | | 2,566,245 | | | | | | | | | | | | | | | | | | | | | | | | 2,566,245 | | |
Total Borrowings | | | | $ | 3,867,620 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,867,620 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 3,867,620 | | |
Fund | | | Purchases of Investment Securities excluding U.S. Government | | | Sales of Investment Securities excluding U.S. Government | | | Purchases of U.S. Government Obligations | | | Sales of U.S. Government Obligations | | ||||||||||||
Value Line Core Bond Fund | | | | $ | 12,824,761 | | | | | $ | 11,804,819 | | | | | $ | 8,416,839 | | | | | $ | 10,324,720 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 7,604,896 | | | | | | 9,125,874 | | | | | | — | | | | | | — | | |
Fund | | | Cost of investments for tax purposes | | | Gross tax unrealized appreciation | | | Gross tax unrealized depreciation | | | Net tax unrealized appreciation (depreciation) on investments | | | Undistributed ordinary income | | | Undistributed long-term gain | | | Undistributed tax exempt income | | |||||||||||||||||||||
Value Line Core Bond Fund | | | | $ | 55,538,428 | | | | | $ | 2,307,778 | | | | | $ | (226,669) | | | | | $ | 2,081,109 | | | | | $ | 30,395 | | | | | $ | — | | | | | $ | — | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 49,070,552 | | | | | | 2,506,932 | | | | | | (1,099,201) | | | | | | 1,407,731 | | | | | | — | | | | | | — | | | | | | — | | |
Fund | | | Unlimited Short-Term Losses | | | Unlimited Long-Term Losses | | ||||||
Value Line Core Bond Fund | | | | $ | 873,691 | | | | | $ | 215,063 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 11,940 | | | | | | 50,727 | | |
Fund | | | Undistributed Net Investment Income/(Loss) | | | Accumulated Net Realized Gains/(Losses) | | | Additional Paid-In Capital | | |||||||||
Value Line Core Bond Fund | | | | $ | 66,893 | | | | | $ | (63,676) | | | | | $ | (3,217) | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 1,272 | | | | | | — | | | | | | (1,272) | | |
Value Line Core Bond Fund | | | Year Ended December 31, 2019 | | | Year Ended December 31, 2018 | | ||||||
Distributions Paid From: | | | | | | | | | | | | | |
Ordinary income | | | | $ | 1,297,862 | | | | | $ | 1,348,320 | | |
Long-term capital gain | | | | | — | | | | | | — | | |
Total distributions paid | | | | $ | 1,297,862 | | | | | $ | 1,348,320 | | |
The Value Line Tax Exempt Fund, Inc. | | | Year Ended December 31, 2019 | | | Year Ended December 31, 2018 | | ||||||
Distributions Paid From: | | | | | | | | | | | | | |
Tax exempt income | | | | $ | 1,363,401 | | | | | $ | 1,455,727 | | |
Taxable ordinary income | | | | | 1,196 | | | | | | 1,380 | | |
Total | | | | $ | 1,364,597 | | | | | $ | 1,457,107 | | |
Fund | | | Advisory Fee | | | Waived Amount | | ||||||
Value Line Core Bond Fund | | | | $ | 206,322 | | | | | $ | 115,377 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 192,302 | | | | | | — | | |
Fund | | | Distribution & Service Fees | | | Waived Amount | | ||||||
Value Line Core Bond Fund | | | | $ | 137,123 | | | | | $ | — | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 130,113 | | | | | | 130,113 | | |
Expiration | | | Fees Waived and Reimbursed by the Adviser/Distributor | | | Recovery of Previously Waived Fees/Expenses Assumed | �� | ||||||
Year of 2020 | | | | $ | 146,933 | | | | | $ | — | | |
Year of 2021 | | | | | 124,410 | | | | | | — | | |
Year of 2022 | | | | | 115,377 | | | | | | — | | |
New York, New York
February 26, 2020
| | | Beginning Account Value July 1, 2019 | | | Ending Account Value December 31, 2019 | | | Expenses Paid During Period* | | |||||||||
Actual | | | | | | | | | | | | | | | | | | | |
Value Line Core Bond Fund | | | | $ | 1,000.00 | | | | | $ | 1,021.70 | | | | | $ | 4.59 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 1,000.00 | | | | | | 1,016.90 | | | | | | 4.42 | | |
Hypothetical (5% return before expenses) | | | | | | | | | | | | | | | | | | | |
Value Line Core Bond Fund | | | | $ | 1,000.00 | | | | | $ | 1,020.67 | | | | | $ | 4.58 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 1,000.00 | | | | | | 1,020.82 | | | | | | 4.43 | | |
Fund | | | % of Qualifying Dividend Income | | | % of Dividends Eligible for the Corporate Dividends Received Deduction | | | Exempt Interest Dividends | | | Long-Term Capital Gains | | ||||||||||||
Value Line Core Bond Fund | | | | | 0.00% | | | | | | 0.00% | | | | | | 0.00% | | | | | $ | 0.00 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 0.00 | | | | | | 0.00 | | | | | | 99.93 | | | | | | 0.00 | | |
Name, Address, and Age | | | Position | | | Length of Time Served | | | Principal Occupations During the Past 5 Years | | | Number of Portfolios in Fund Complex Overseen by Director | | | Other Directorships Held by Director During the Past 5 Years | |
Interested Director* | | | | | | | | | | | | | | | | |
Mitchell E. Appel Age: 49 | | | Director | | | Since 2010 | | | President of each of the Value Line Funds since June 2008; Chief Financial Officer of the Distributor since April 2008 and President since February 2009; President of the Adviser since February 2009, Trustee since December 2010 and Treasurer since January 2011. | | | 11 | | | Forethought Variable Insurance Trust | |
Non-Interested Directors | | | | | | | | | | | | | | | | |
Joyce E. Heinzerling Age: 63 | | | Director | | | Since 2008 | | | Managing Member, Meridian Fund Advisers LLC (consultants). | | | 11 | | | None | |
James E. Hillman Age: 63 | | | Director (Chair of the Board of the Value Line Funds since April 2016) | | | Since 2015 | | | Chief Financial Officer, Notre Dame School of Manhattan since 2011; Director and Principal Financial Officer, Merrill Lynch Global Wealth Management, 2006-2011. | | | 11 | | | Miller/Howard Funds Trust; Miller/Howard High Income Equity Fund | |
Paul Craig Roberts Age: 81 | | | Director | | | Since 2000 | | | Chairman, Institute for Political Economy. | | | 11 | | | None | |
Nancy-Beth Sheerr Age: 71 | | | Director | | | Since 1996 | | | Independent Trustee and Managing Member, NBS Consulting LLC since November 2014; Senior Financial Adviser, Veritable, L.P. (investment advisor) until December 2013. | | | 11 | | | None | |
Name, Address, and Age | | | Position | | | Length of Time Served | | | Principal Occupations During the Past 5 Years | |
Officers | | | | | ||||||
Mitchell E. Appel Age: 49 | | | President | | | Since 2008 | | | President of each of the Value Line Funds since June 2008; Chief Financial Officer of the Distributor since April 2008 and President since February 2009; President of the Adviser since February 2009, Trustee since December 2010 and Treasurer since January 2011. | |
Michael J. Wagner Age: 69 | | | Chief Compliance Officer | | | Since 2009 | | | Chief Compliance Officer of each of the Value Line Funds since 2009; President of Northern Lights Compliance Services, LLC (formerly Fund Compliance Services, LLC) (2006-2019). | |
Emily D. Washington Age: 41 | | | Treasurer and Chief Financial Officer; Secretary | | | Since 2008 | | | Treasurer and Chief Financial Officer (Principal Financial and Accounting Officer) of each of the Value Line Funds since 2008 and Secretary since 2010; Secretary of the Adviser since 2011. | |
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Item 2 | Code of Ethics |
(a) The Registrant has adopted a Code of Ethics that applies to its principal executive officer, and principal financial officer and principal accounting officer.
(f) Pursuant to item 12(a), the Registrant is attaching as an exhibit a copy of its Code of Ethics that applies to its principal executive officer, and principal financial officer and principal accounting officer.
Item 3 | Audit Committee Financial Expert |
((a)(1)The Registrant has an Audit Committee Financial Expert serving on its Audit Committee.
(2) The Registrant’s Board has designated James Hillman, member of the Registrant’s Audit Committee, as the Registrant’s Audit Committee Financial Expert. Mr. Hillman is an are independent director. Mr. Hillman currently serves as the Chief Financial Officer at Notre Dame School of Manhattan since 2011.
A person who is designated as an “audit committee financial expert” shall not make such person an "expert" for any purpose, including without limitation under Section 11 of the Securities Act of 1933 or under applicable fiduciary laws, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.
Item 4 | Principal Accountant Fees and Services |
(a) | Audit Fees 2019 - $11,944 |
Audit Fees 2018 - $10,183
(b) | Audit-Related fees – None. |
(c) | Tax Preparation 2019 - $1,634 |
Tax Preparation 2018 - $2,067
(d) | All Other Fees – None |
(e) | (1) | Audit Committee Pre-Approval Policy. All services to be performed for the Registrant by PricewaterhouseCoopers LLP must be pre-approved by the audit committee. All services performed were pre-approved by the committee. |
(e) | (2) | Not applicable. |
(f) | Not applicable. |
(g) | Aggregate Non-Audit 2019 - None |
Aggregate Non-Audit 2018 - None
(h) | Not applicable. |
Item 5. | Audit Committee of Listed Registrants |
Not Applicable.
Item 6. | Investments |
Not Applicable
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10 | Submission of Matters to a Vote of Security Holders |
Not Applicable
Item 11 | Controls and Procedures |
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in rule 30a-2(c) under the Act (17 CFR 270.30a-2(c) ) based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report, are appropriately designed to ensure that material information relating to the registrant is made known to such officers and are operating effectively. |
(b) | The registrant’s principal executive officer and principal financial officer have determined that there have been no significant changes in the registrant’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including corrective actions with regard to significant deficiencies and material weaknesses. |
Item 12. | Exhibits. |
(a) | Code of Business Conduct and Ethics for Principal Executive and Senior Financial Officers attached hereto as Exhibit 100.COE |
(b) | (1) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2) attached hereto as Exhibit 99.CERT. |
(2) | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
By | /s/Mitchell E. Appel | |
Mitchell E. Appel, President |
Date: | March 9, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Mitchell E. Appel | |
Mitchell E. Appel, President, Principal Executive Officer |
By: | /s/ Emily D. Washington | |
Emily D. Washington, Treasurer, Principal Financial Officer |
Date: | March 9, 2020 |