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 year end: December 31, 2021
Date of reporting period: June 30, 2021
Item I. | Reports to Stockholders. |
(a) | A copy of the Semi-Annual Report to Stockholders for the period ended 6/30/21 is included with this Form. |
Value Line Core Bond Fund
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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Portfolio Highlights at June 30, 2021 (unaudited)
Issue | | | Principal Amount | | | Value | | | Percentage of Net Assets | | |||||||||
U.S. Treasury Notes, 2.25%, 11/15/24 | | | | $ | 1,305,000 | | | | | $ | 1,379,681 | | | | | | 2.7% | | |
U.S. Treasury Notes, 2.75%, 2/15/28 | | | | | 790,000 | | | | | | 870,975 | | | | | | 1.7% | | |
U.S. Treasury Notes, 1.38%, 6/30/23 | | | | | 840,000 | | | | | | 858,834 | | | | | | 1.7% | | |
U.S. Treasury Bonds, 3.00%, 2/15/48 | | | | | 654,000 | | | | | | 779,921 | | | | | | 1.5% | | |
Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | | | | | 500,000 | | | | | | 610,303 | | | | | | 1.2% | | |
FHLMC Pool #SD8098, 2.00%, 10/1/50 | | | | | 593,697 | | | | | | 600,657 | | | | | | 1.2% | | |
FNMA, 1.88%, 9/24/26 | | | | | 540,000 | | | | | | 566,415 | | | | | | 1.1% | | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K103, Class A2, 2.65%, 11/25/29 | | | | | 450,000 | | | | | | 491,054 | | | | | | 1.0% | | |
U.S. Treasury Bonds, 2.25%, 8/15/49 | | | | | 452,000 | | | | | | 468,509 | | | | | | 0.9% | | |
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 5/25/33 | | | | | 450,000 | | | | | | 457,639 | | | | | | 0.9% | | |
Portfolio Highlights at June 30, 2021 (unaudited) (continued)
| | | Percentage of Total Investments In Securities^ | | |||
Less than 4% | | | | | 74.4% | | |
4 – 4.99% | | | | | 20.5% | | |
5 – 5.99% | | | | | 4.7% | | |
6 – 6.99% | | | | | 0.4% | | |
Total | | | | | 100% | | |
| | | 6 Mos | | | 1 Yr | | | 5 Yrs | | | 10 Yrs | | ||||||||||||
Value Line Core Bond Fund | | | | | (1.57)% | | | | | | (0.28)% | | | | | | 2.43% | | | | | | 3.02% | | |
Bloomberg Barclays US Aggregate Bond Index | | | | | (1.60)% | | | | | | (0.33)% | | | | | | 3.03% | | | | | | 3.39% | | |
Schedule of Investments (unaudited)
| Principal Amount | | | | | | Value | | ||||||
| ASSET-BACKED SECURITIES 2.3% | | ||||||||||||
| | $ | 100,000 | | | | Chase Issuance Trust, Series 2012-A7, Class A7, 2.16%, 9/15/24 | | | | $ | 102,360 | | |
| | | 220,000 | | | | Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.19%, 7/15/31(1) | | | | | 237,401 | | |
| | | 150,000 | | | | Ford Credit Floorplan Master Owner Trust, Series 2019-2, Class A, 3.06%, 4/15/26 | | | | | 160,026 | | |
| | | 148,802 | | | | Hyundai Auto Lease Securitization Trust, Series 2019-A, Class A4, 3.05%, 12/15/22(1) | | | | | 149,089 | | |
| | | 68,000 | | | | Mercedes-Benz Auto Lease Trust, Series 2020-A, Class A3, 1.84%, 12/15/22 | | | | | 68,498 | | |
| | | 450,000 | | | | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 5/25/33(1) | | | | | 457,639 | | |
| TOTAL ASSET-BACKED SECURITIES (Cost $1,183,315) | | | | | 1,175,013 | | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES 10.1% | | ||||||||||||
| | | 250,000 | | | | BANK, Series 2017-BNK8, Class A4, 3.49%, 11/15/50 | | | | | 277,099 | | |
| | | 150,000 | | | | BANK, Series 2019-BN17, Class A4, 3.71%, 4/15/52 | | | | | 169,040 | | |
| | | 235,442 | | | | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class AAB, 3.37%, 10/10/47 | | | | | 245,764 | | |
| | | 150,000 | | | | COMM Mortgage Trust, Series 2014-UBS2, Class AM, 4.20%, 3/10/47 | | | | | 160,687 | | |
| | | 180,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K058, Class A2, 2.65%, 8/25/26 | | | | | 193,570 | | |
| Principal Amount | | | | | | Value | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES 10.1% (continued) | | ||||||||||||
| | $ | 250,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K061, Class A2, 3.35%, 11/25/26(2) | | | | $ | 277,842 | | |
| | | 200,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K063, Class A2, 3.43%, 1/25/27(2) | | | | | 223,267 | | |
| | | 300,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K069, Class A2, 3.19%, 9/25/27(2) | | | | | 333,604 | | |
| | | 250,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class A2, 3.29%, 11/25/27 | | | | | 279,573 | | |
| | | 250,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K074, Class A2, 3.60%, 1/25/28 | | | | | 285,098 | | |
| | | 200,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K092, Class A2, 3.30%, 4/25/29 | | | | | 226,192 | | |
| | | 450,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K103, Class A2, 2.65%, 11/25/29 | | | | | 491,054 | | |
| | | 250,000 | | | | FREMF Mortgage Trust, Series 2013-K24, Class B, 3.63%, 11/25/45(1)(2) | | | | | 258,476 | | |
| | | 150,000 | | | | FREMF Mortgage Trust, Series 2013-K34, Class B, 3.86%, 9/25/46(1)(2) | | | | | 158,677 | | |
| Principal Amount | | | | | | Value | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES 10.1% (continued) | | ||||||||||||
| | $ | 200,000 | | | | FREMF Mortgage Trust, Series 2014-K717, Class B, 3.71%, 11/25/47(1)(2) | | | | $ | 200,468 | | |
| | | 200,000 | | | | FREMF Mortgage Trust, Series 2015-K43, Class B, 3.86%, 2/25/48(1)(2) | | | | | 216,872 | | |
| | | 211,136 | | | | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | | | | | 213,893 | | |
| | | 192,376 | | | | GNMA, Series 2012-125, Class AB, 2.11%, 2/16/53(2) | | | | | 196,090 | | |
| | | 53,700 | | | | GS Mortgage Securities Trust, Series 2012-GCJ7, Class A4, 3.38%, 5/10/45 | | | | | 54,057 | | |
| | | 12,874 | | | | GS Mortgage Securities Trust, Series 2015-GC32, Class A2, 3.06%, 7/10/48 | | | | | 13,172 | | |
| | | 45,861 | | | | Sequoia Mortgage Trust, Series 2004-8, Class A1, (1-month LIBOR + 0.70)%, 0.79%, 9/20/34(2) | | | | | 45,445 | | |
| | | 180,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2016-C34, Class A4, 3.10%, 6/15/49 | | | | | 189,362 | | |
| | | 55,530 | | | | Wells Fargo Commercial Mortgage Trust, Series 2017-C40, Class A1, 2.11%, 10/15/50 | | | | | 55,781 | | |
| | | 100,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class ASB, 3.64%, 5/15/52 | | | | | 110,947 | | |
| | | 75,814 | | | | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class ASB, 3.46%, 7/15/58 | | | | | 79,433 | | |
| | | 111,934 | | | | WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4, 3.67%, 11/15/44 | | | | | 112,139 | | |
| Principal Amount | | | | | | Value | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES 10.1% (continued) | | ||||||||||||
| | $ | 86,437 | | | | WFRBS Commercial Mortgage Trust, Series 2012-C6, Class A4, 3.44%, 4/15/45 | | | | $ | 86,652 | | |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $5,008,378) | | | | | 5,154,254 | | | ||||||
| CORPORATE BONDS & NOTES 48.4% | | ||||||||||||
| BASIC MATERIALS 2.9% | | ||||||||||||
| | | | | | | CHEMICALS 1.7% | | ||||||
| | | 125,000 | | | | Air Products and Chemicals, Inc., Senior Unsecured Notes, 2.05%, 5/15/30 | | | | | 127,553 | | |
| | | 175,000 | | | | Celanese U.S. Holdings LLC, Guaranteed Notes, 4.63%, 11/15/22 | | | | | 184,314 | | |
| | | 150,000 | | | | Ecolab, Inc., Senior Unsecured Notes, 1.30%, 1/30/31 | | | | | 141,534 | | |
| | | 100,000 | | | | FMC Corp., Senior Unsecured Notes, 3.45%, 10/1/29 | | | | | 108,818 | | |
| | | 57,000 | | | | LYB International Finance B.V., Guaranteed Notes, 4.00%, 7/15/23 | | | | | 60,903 | | |
| | | 125,000 | | | | LYB International Finance II B.V., Guaranteed Notes, 3.50%, 3/2/27 | | | | | 136,532 | | |
| | | 100,000 | | | | Nutrien, Ltd., Senior Unsecured Notes, 4.20%, 4/1/29 | | | | | 115,115 | | |
| | | | | | | | | | | | 874,769 | | |
| | | | | | | IRON & STEEL 0.4% | | ||||||
| | | 165,000 | | | | Steel Dynamics, Inc., Senior Unsecured Notes, 3.25%, 1/15/31 | | | | | 177,231 | | |
| | | | | | | MINING 0.8% | | ||||||
| | | 140,000 | | | | Rio Tinto Finance USA PLC, Guaranteed Notes, 4.13%, 8/21/42(3) | | | | | 171,173 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES 48.4% (continued) | | ||||||||||||
| | | | | | | MINING 0.8% (continued) | | ||||||
| | $ | 175,000 | | | | Teck Resources, Ltd., Senior Unsecured Notes, 6.13%, 10/1/35 | | | | $ | 225,608 | | |
| | | | | | | | | | | | 396,781 | | |
| | | | | | | | | | | | 1,448,781 | | |
| COMMUNICATIONS 4.4% | | ||||||||||||
| | | | | | | INTERNET 1.1% | | ||||||
| | | 100,000 | | | | Alibaba Group Holding, Ltd., Senior Unsecured Notes, 3.60%, 11/28/24 | | | | | 108,809 | | |
| | | 135,000 | | | | Expedia Group, Inc., Guaranteed Notes, 3.25%, 2/15/30 | | | | | 141,153 | | |
| | | 160,000 | | | | Netflix, Inc., Senior Unsecured Notes, 4.88%, 4/15/28 | | | | | 185,800 | | |
| | | 125,000 | | | | VeriSign, Inc., Senior Unsecured Notes, 2.70%, 6/15/31 | | | | | 126,991 | | |
| | | | | | | | | | | | 562,753 | | |
| | | | | | | MEDIA 1.4% | | ||||||
| | | 175,000 | | | | Charter Communications Operating LLC/ Charter Communications Operating Capital, Senior Secured Notes, 4.91%, 7/23/25 | | | | | 198,327 | | |
| | | 175,000 | | | | Comcast Corp., Guaranteed Notes, 4.15%, 10/15/28 | | | | | 202,890 | | |
| | | 125,000 | | | | Discovery Communications LLC, Guaranteed Notes, 4.90%, 3/11/26 | | | | | 142,583 | | |
| | | 175,000 | | | | Walt Disney Co. (The), Guaranteed Notes, 2.65%, 1/13/31 | | | | | 183,888 | | |
| | | | | | | | | | | | 727,688 | | |
| | | | | | | TELECOMMUNICATIONS 1.9% | | ||||||
| | | 228,000 | | | | AT&T, Inc., Senior Unsecured Notes, 2.55%, 12/1/33(1) | | | | | 226,189 | | |
| | | 200,000 | | | | Motorola Solutions, Inc., Senior Unsecured Notes, 4.60%, 5/23/29 | | | | | 233,393 | | |
| | | 130,000 | | | | T-Mobile USA, Inc., Guaranteed Notes, 2.25%, 2/15/26 | | | | | 130,975 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES 48.4% (continued) | | ||||||||||||
| | | | | | | TELECOMMUNICATIONS 1.9% (continued) | | ||||||
| | $ | 175,000 | | | | Verizon Communications, Inc., Senior Unsecured Notes, 4.50%, 8/10/33 | | | | $ | 209,342 | | |
| | | 150,000 | | | | Vodafone Group PLC, Senior Unsecured Notes, 4.25%, 9/17/50 | | | | | 175,336 | | |
| | | | | | | | | | | | 975,235 | | |
| | | | | | | | | | | | 2,265,676 | | |
| CONSUMER, CYCLICAL 3.5% | | ||||||||||||
| | | | | | | AUTO MANUFACTURERS 1.3% | | ||||||
| | | 100,000 | | | | American Honda Finance Corp. MTN, Senior Unsecured Notes, 1.00%, 9/10/25 | | | | | 99,903 | | |
| | | 150,000 | | | | Cummins, Inc., Senior Unsecured Notes, 1.50%, 9/1/30 | | | | | 144,910 | | |
| | | 185,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.38%, 11/13/25 | | | | | 191,706 | | |
| | | 200,000 | | | | General Motors Financial Co., Inc., Guaranteed Notes, 3.70%, 5/9/23 | | | | | 209,948 | | |
| | | | | | | | | | | | 646,467 | | |
| | | | | | | HOME BUILDERS 1.3% | | ||||||
| | | 150,000 | | | | D.R. Horton, Inc., Guaranteed Notes, 2.50%, 10/15/24 | | | | | 157,237 | | |
| | | 150,000 | | | | Lennar Corp., Guaranteed Notes, 4.88%, 12/15/23 | | | | | 163,274 | | |
| | | 142,000 | | | | PulteGroup, Inc., Guaranteed Notes, 5.00%, 1/15/27(3) | | | | | 165,765 | | |
| | | 140,000 | | | | Toll Brothers Finance Corp., Guaranteed Notes, 4.88%, 11/15/25 | | | | | 157,131 | | |
| | | | | | | | | | | | 643,407 | | |
| | | | | | | HOME FURNISHINGS 0.4% | | ||||||
| | | 200,000 | | | | Whirlpool Corp., Senior Unsecured Notes, 3.70%, 5/1/25 | | | | | 218,607 | | |
| | | | | | | LODGING 0.3% | | ||||||
| | | 150,000 | | | | Choice Hotels International, Inc., Senior Unsecured Notes, 3.70%, 12/1/29 | | | | | 162,377 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES 48.4% (continued) | | ||||||||||||
| | | | | | | RETAIL 0.2% | | ||||||
| | $ | 100,000 | | | | AutoZone, Inc., Senior Unsecured Notes, 3.75%, 6/1/27 | | | | $ | 111,734 | | |
| | | | | | | | | | | | 1,782,592 | | |
| CONSUMER, NON-CYCLICAL 10.8% | | ||||||||||||
| | | | | | | AGRICULTURE 0.4% | | ||||||
| | | 200,000 | | | | Bunge, Ltd. Finance Corp., Guaranteed Notes, 3.25%, 8/15/26 | | | | | 216,150 | | |
| | | | | | | BEVERAGES 1.5% | | ||||||
| | | 125,000 | | | | Anheuser-Busch InBev Worldwide, Inc., Guaranteed Notes, 4.90%, 1/23/31(3) | | | | | 153,931 | | |
| | | 150,000 | | | | Coca-Cola Co. (The), Senior Unsecured Notes, 1.45%, 6/1/27 | | | | | 151,546 | | |
| | | 125,000 | | | | Coca-Cola Femsa S.A.B. de C.V., Guaranteed Notes, 2.75%, 1/22/30 | | | | | 130,441 | | |
| | | 150,000 | | | | Constellation Brands, Inc., Guaranteed Notes, 5.25%, 11/15/48 | | | | | 200,709 | | |
| | | 125,000 | | | | Keurig Dr. Pepper, Inc., Guaranteed Notes, 3.20%, 5/1/30 | | | | | 135,254 | | |
| | | | | | | | | | | | 771,881 | | |
| | | | | | | BIOTECHNOLOGY 0.8% | | ||||||
| | | 150,000 | | | | Amgen, Inc., Senior Unsecured Notes, 2.20%, 2/21/27 | | | | | 155,847 | | |
| | | 100,000 | | | | Illumina, Inc., Senior Unsecured Notes, 2.55%, 3/23/31 | | | | | 101,625 | | |
| | | 150,000 | | | | Regeneron Pharmaceuticals, Inc., Senior Unsecured Notes, 1.75%, 9/15/30 | | | | | 142,289 | | |
| | | | | | | | | | | | 399,761 | | |
| | | | | | | COMMERCIAL SERVICES 1.4% | | ||||||
| | | 200,000 | | | | Global Payments, Inc., Senior Unsecured Notes, 4.80%, 4/1/26 | | | | | 228,801 | | |
| | | 150,000 | | | | PayPal Holdings, Inc., Senior Unsecured Notes, 2.65%, 10/1/26 | | | | | 161,160 | | |
| | | 135,000 | | | | Service Corp. International, Senior Unsecured Notes, 4.00%, 5/15/31 | | | | | 137,791 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES 48.4% (continued) | | ||||||||||||
| | | | | | | COMMERCIAL SERVICES 1.4% (continued) | | ||||||
| | $ | 150,000 | | | | United Rentals North America, Inc., Guaranteed Notes, 5.50%, 5/15/27 | | | | $ | 159,000 | | |
| | | | | | | | | | | | 686,752 | | |
| | | | | | | FOOD 1.0% | | ||||||
| | | 150,000 | | | | Conagra Brands, Inc., Senior Unsecured Notes, 1.38%, 11/1/27 | | | | | 146,463 | | |
| | | 175,000 | | | | Kroger Co. (The), Senior Unsecured Notes, 2.65%, 10/15/26 | | | | | 185,827 | | |
| | | 150,000 | | | | Sysco Corp., Guaranteed Notes, 5.65%, 4/1/25 | | | | | 173,825 | | |
| | | | | | | | | | | | 506,115 | | |
| | | | | | | HEALTHCARE PRODUCTS 1.3% | | ||||||
| | | 213,000 | | | | Abbott Laboratories, Senior Unsecured Notes, 3.75%, 11/30/26 | | | | | 240,657 | | |
| | | 125,000 | | | | Baxter International, Inc., Senior Unsecured Notes, 2.60%, 8/15/26 | | | | | 133,105 | | |
| | | 150,000 | | | | Boston Scientific Corp., Senior Unsecured Notes, 3.75%, 3/1/26 | | | | | 166,384 | | |
| | | 125,000 | | | | Thermo Fisher Scientific, Inc., Senior Unsecured Notes, 4.13%, 3/25/25 | | | | | 138,635 | | |
| | | | | | | | | | | | 678,781 | | |
| | | | | | | HEALTHCARE SERVICES 1.8% | | ||||||
| | | 150,000 | | | | Anthem, Inc., Senior Unsecured Notes, 3.35%, 12/1/24 | | | | | 161,850 | | |
| | | 150,000 | | | | Centene Corp., Senior Unsecured Notes, 4.63%, 12/15/29 | | | | | 164,965 | | |
| | | 150,000 | | | | HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25 | | | | | 169,200 | | |
| | | 150,000 | | | | Humana, Inc., Senior Unsecured Notes, 3.95%, 3/15/27 | | | | | 168,311 | | |
| | | 125,000 | | | | Laboratory Corp. of America Holdings, Senior Unsecured Notes, 2.95%, 12/1/29 | | | | | 131,751 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES 48.4% (continued) | | ||||||||||||
| | | | | | | HEALTHCARE SERVICES 1.8% (continued) | | ||||||
| | $ | 100,000 | | | | UnitedHealth Group, Inc., Senior Unsecured Notes, 4.63%, 11/15/41 | | | | $ | 127,543 | | |
| | | | | | | | | | | | 923,620 | | |
| | | | | | | HOUSEHOLD PRODUCTS 0.4% | | ||||||
| | | 100,000 | | | | Clorox Co. (The), Senior Unsecured Notes, 3.05%, 9/15/22 | | | | | 102,558 | | |
| | | 125,000 | | | | Clorox Co. (The), Senior Unsecured Notes, 1.80%, 5/15/30 | | | | | 122,901 | | |
| | | | | | | | | | | | 225,459 | | |
| | | | | | | PHARMACEUTICALS 2.2% | | ||||||
| | | 115,000 | | | | AbbVie, Inc., Senior Unsecured Notes, 2.95%, 11/21/26 | | | | | 123,703 | | |
| | | 150,000 | | | | Becton Dickinson and Co., Senior Unsecured Notes, 3.70%, 6/6/27 | | | | | 166,760 | | |
| | | 125,000 | | | | Cigna Corp., Senior Unsecured Notes, 2.40%, 3/15/30 | | | | | 127,653 | | |
| | | 100,000 | | | | Merck & Co., Inc., Senior Unsecured Notes, 2.75%, 2/10/25 | | | | | 106,568 | | |
| | | 140,000 | | | | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 3.03%, 7/9/40 | | | | | 141,587 | | |
| | | 150,000 | | | | Teva Pharmaceutical Finance Netherlands III BV, Guaranteed Notes, 2.80%, 7/21/23 | | | | | 149,474 | | |
| | | 150,000 | | | | Utah Acquisition Sub, Inc., Guaranteed Notes, 3.95%, 6/15/26 | | | | | 165,299 | | |
| | | 100,000 | | | | Zoetis, Inc., Senior Unsecured Notes, 4.50%, 11/13/25 | | | | | 113,362 | | |
| | | | | | | | | | | | 1,094,406 | | |
| | | | | | | | | | | | 5,502,925 | | |
| ENERGY 5.1% | | ||||||||||||
| | | | | | | OIL & GAS 2.6% | | ||||||
| | | 150,000 | | | | Canadian Natural Resources, Ltd., Senior Unsecured Notes, 2.05%, 7/15/25 | | | | | 154,171 | | |
| | | 125,000 | | | | Diamondback Energy, Inc., Guaranteed Notes, 2.88%, 12/1/24 | | | | | 132,025 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES 48.4% (continued) | | ||||||||||||
| | | | | | | OIL & GAS 2.6% (continued) | | ||||||
| | $ | 125,000 | | | | EOG Resources, Inc., Senior Unsecured Notes, 4.38%, 4/15/30 | | | | $ | 148,122 | | |
| | | 135,000 | | | | Hess Corp., Senior Unsecured Notes, 4.30%, 4/1/27 | | | | | 150,321 | | |
| | | 100,000 | | | | Marathon Oil Corp., Senior Unsecured Notes, 3.85%, 6/1/25 | | | | | 108,944 | | |
| | | 150,000 | | | | Occidental Petroleum Corp., Senior Unsecured Notes, 5.50%, 12/1/25 | | | | | 165,628 | | |
| | | 150,000 | | | | Phillips 66, Guaranteed Notes, 1.30%, 2/15/26 | | | | | 149,960 | | |
| | | 150,000 | | | | Shell International Finance B.V., Guaranteed Notes, 2.38%, 11/7/29 | | | | | 155,736 | | |
| | | 150,000 | | | | Suncor Energy, Inc., Senior Unsecured Notes, 3.10%, 5/15/25 | | | | | 160,326 | | |
| | | | | | | | | | | | 1,325,233 | | |
| | | | | | | OIL & GAS SERVICES 0.3% | | ||||||
| | | 150,000 | | | | Schlumberger Finance Canada, Ltd., Guaranteed Notes, 1.40%, 9/17/25(3) | | | | | 151,715 | | |
| | | | | | | PIPELINES 2.2% | | ||||||
| | | 175,000 | | | | Boardwalk Pipelines L.P., Guaranteed Notes, 4.95%, 12/15/24 | | | | | 195,584 | | |
| | | 145,000 | | | | Enterprise Products Operating LLC, Guaranteed Notes, 4.85%, 8/15/42 | | | | | 177,577 | | |
| | | 250,000 | | | | Kinder Morgan, Inc., Guaranteed Notes, 4.30%, 3/1/28 | | | | | 285,580 | | |
| | | 155,000 | | | | Magellan Midstream Partners L.P., Senior Unsecured Notes, 4.25%, 9/15/46 | | | | | 175,051 | | |
| | | 150,000 | | | | Spectra Energy Partners L.P., Guaranteed Notes, 4.75%, 3/15/24 | | | | | 164,639 | | |
| | | 125,000 | | | | TransCanada PipeLines, Ltd., Senior Unsecured Notes, 4.25%, 5/15/28 | | | | | 143,693 | | |
| | | | | | | | | | | | 1,142,124 | | |
| | | | | | | | | | | | 2,619,072 | | |
| | | | | | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES 48.4% (continued) | | ||||||||||||
| FINANCIAL 12.9% | | ||||||||||||
| | | | | | | BANKS 6.5% | | ||||||
| | $ | 200,000 | | | | Australia & New Zealand Banking Group, Ltd., Subordinated Notes, 4.50%, 3/19/24(1) | | | | $ | 218,836 | | |
| | | 200,000 | | | | Bank of America Corp. GMTN, Senior Unsecured Notes, 3.50%, 4/19/26 | | | | | 220,147 | | |
| | | 100,000 | | | | Bank of Montreal, Series E, Senior Unsecured Notes, 3.30%, 2/5/24 | | | | | 107,092 | | |
| | | 100,000 | | | | Barclays PLC, Senior Unsecured Notes, 4.34%, 1/10/28 | | | | | 111,866 | | |
| | | 125,000 | | | | CIT Group, Inc., Senior Unsecured Notes, (SOFR + 3.83)%, 3.93%, 6/19/24(2) | | | | | 131,719 | | |
| | | 150,000 | | | | Citigroup, Inc., Senior Unsecured Notes, (3-month LIBOR + 0.90)%, 3.35%, 4/24/25(2) | | | | | 159,844 | | |
| | | 130,000 | | | | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | | | | | 175,063 | | |
| | | 150,000 | | | | Comerica, Inc., Senior Unsecured Notes, 4.00%, 2/1/29 | | | | | 172,246 | | |
| | | 175,000 | | | | Fifth Third Bancorp, Senior Unsecured Notes, 3.65%, 1/25/24 | | | | | 187,453 | | |
| | | 175,000 | | | | Goldman Sachs Group, Inc. (The), Senior Unsecured Notes, 3.75%, 2/25/26 | | | | | 193,677 | | |
| | | 150,000 | | | | HSBC Holdings PLC, Senior Unsecured Notes, 3.90%, 5/25/26 | | | | | 166,892 | | |
| | | 125,000 | | | | ING Groep N.V., Senior Unsecured Notes, 3.95%, 3/29/27 | | | | | 140,730 | | |
| | | 200,000 | | | | JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26 | | | | | 226,377 | | |
| | | 100,000 | | | | JPMorgan Chase & Co., Senior Unsecured Notes, (3-month LIBOR + 1.38)%, 3.96%, 11/15/48(2) | | | | | 117,437 | | |
| | | 100,000 | | | | KeyCorp MTN, Senior Unsecured Notes, 2.55%, 10/1/29 | | | | | 104,746 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES 48.4% (continued) | | ||||||||||||
| | | | | | | BANKS 6.5% (continued) | | ||||||
| | $ | 150,000 | | | | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.90%, 3/12/24 | | | | $ | 162,558 | | |
| | | 200,000 | | | | Morgan Stanley, Series F, Senior Unsecured Notes, 3.88%, 4/29/24 | | | | | 217,551 | | |
| | | 125,000 | | | | National Australia Bank, Ltd., Senior Unsecured Notes, 2.50%, 7/12/26 | | | | | 133,080 | | |
| | | 350,000 | | | | Zions Bancorp NA, Subordinated Notes, 3.25%, 10/29/29 | | | | | 367,166 | | |
| | | | | | | | | | | | 3,314,480 | | |
| | | | | | | DIVERSIFIED FINANCIAL SERVICES 2.4% | | ||||||
| | | 175,000 | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Guaranteed Notes, 1.75%, 1/30/26 | | | | | 172,915 | | |
| | | 175,000 | | | | Air Lease Corp., Senior Unsecured Notes, 3.63%, 4/1/27 | | | | | 187,953 | | |
| | | 150,000 | | | | Ally Financial, Inc., Senior Unsecured Notes, 5.13%, 9/30/24 | | | | | 169,000 | | |
| | | 150,000 | | | | American Express Co., Senior Unsecured Notes, 3.13%, 5/20/26 | | | | | 163,979 | | |
| | | 175,000 | | | | Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24 | | | | | 190,730 | | |
| | | 100,000 | | | | Stifel Financial Corp., Senior Unsecured Notes, 4.25%, 7/18/24 | | | | | 109,570 | | |
| | | 140,000 | | | | Synchrony Financial, Senior Unsecured Notes, 4.25%, 8/15/24 | | | | | 152,993 | | |
| | | 100,000 | | | | Visa, Inc., Senior Unsecured Notes, 2.05%, 4/15/30 | | | | | 102,858 | | |
| | | | | | | | | | | | 1,249,998 | | |
| | | | | | | INSURANCE 1.6% | | ||||||
| | | 125,000 | | | | Allstate Corp. (The), Senior Unsecured Notes, 1.45%, 12/15/30 | | | | | 119,237 | | |
| | | 100,000 | | | | American International Group, Inc., Senior Unsecured Notes, 4.88%, 6/1/22 | | | | | 104,089 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES 48.4% (continued) | | ||||||||||||
| | | | | | | INSURANCE 1.6% (continued) | | ||||||
| | $ | 150,000 | | | | Aon Corp., Guaranteed Notes, 3.75%, 5/2/29 | | | | $ | 168,942 | | |
| | | 200,000 | | | | CNA Financial Corp., Senior Unsecured Notes, 3.95%, 5/15/24 | | | | | 216,415 | | |
| | | 175,000 | | | | Prudential Financial, Inc., Junior Subordinated Notes, (3-month LIBOR + 2.67)%, 5.70%, 9/15/48(2)(3) | | | | | 205,283 | | |
| | | | | | | | | | | | 813,966 | | |
| | | | | | | REITS 2.4% | | ||||||
| | | 100,000 | | | | American Tower Corp., Senior Unsecured Notes, 2.95%, 1/15/25 | | | | | 106,352 | | |
| | | 100,000 | | | | AvalonBay Communities, Inc. GMTN, Senior Unsecured Notes, 3.45%, 6/1/25 | | | | | 109,400 | | |
| | | 150,000 | | | | Crown Castle International Corp., Senior Unsecured Notes, 3.80%, 2/15/28 | | | | | 166,791 | | |
| | | 150,000 | | | | Digital Realty Trust L.P., Guaranteed Notes, 3.60%, 7/1/29 | | | | | 166,789 | | |
| | | 100,000 | | | | Equinix, Inc., Senior Unsecured Notes, 2.50%, 5/15/31 | | | | | 101,820 | | |
| | | 125,000 | | | | Life Storage L.P., Guaranteed Notes, 2.20%, 10/15/30 | | | | | 123,589 | | |
| | | 100,000 | | | | Prologis L.P., Senior Unsecured Notes, 2.25%, 4/15/30 | | | | | 102,247 | | |
| | | 130,000 | | | | Sabra Health Care L.P., Guaranteed Notes, 3.90%, 10/15/29 | | | | | 137,514 | | |
| | | 175,000 | | | | Welltower, Inc., Senior Unsecured Notes, 4.25%, 4/15/28 | | | | | 200,763 | | |
| | | | | | | | | | | | 1,215,265 | | |
| | | | | | | | | | | | 6,593,709 | | |
| INDUSTRIAL 3.9% | | ||||||||||||
| | | | | | | AEROSPACE & DEFENSE 0.9% | | ||||||
| | | 150,000 | | | | L3Harris Technologies, Inc., Senior Unsecured Notes, 4.40%, 6/15/28 | | | | | 174,267 | | |
| | | 120,000 | | | | Teledyne Technologies, Inc., Senior Unsecured Notes, 1.60%, 4/1/26 | | | | | 120,325 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES 48.4% (continued) | | ||||||||||||
| | | | | | | AEROSPACE & DEFENSE 0.9% (continued) | | ||||||
| | $ | 150,000 | | | | United Technologies Corp., Senior Unsecured Notes, 4.13%, 11/16/28 | | | | $ | 172,730 | | |
| | | | | | | | | | | | 467,322 | | |
| | | | | | | BUILDING MATERIALS 0.9% | | ||||||
| | | 160,000 | | | | Masco Corp., Senior Unsecured Notes, 2.00%, 10/1/30 | | | | | 156,076 | | |
| | | 125,000 | | | | Owens Corning, Senior Unsecured Notes, 3.95%, 8/15/29 | | | | | 141,341 | | |
| | | 150,000 | | | | Vulcan Materials Co., Senior Unsecured Notes, 3.50%, 6/1/30 | | | | | 165,513 | | |
| | | | | | | | | | | | 462,930 | | |
| | | | | | | ELECTRONICS 0.5% | | ||||||
| | | 150,000 | | | | Flex, Ltd., Senior Unsecured Notes, 4.75%, 6/15/25 | | | | | 167,446 | | |
| | | 100,000 | | | | Jabil, Inc., Senior Unsecured Notes, 1.70%, 4/15/26 | | | | | 100,802 | | |
| | | | | | | | | | | | 268,248 | | |
| | | | | | | MISCELLANEOUS MANUFACTURERS 0.8% | | ||||||
| | | 150,000 | | | | Ingersoll-Rand Luxembourg Finance S.A., Guaranteed Notes, 4.50%, 3/21/49 | | | | | 188,512 | | |
| | | 200,000 | | | | Textron, Inc., Senior Unsecured Notes, 3.88%, 3/1/25 | | | | | 217,740 | | |
| | | | | | | | | | | | 406,252 | | |
| | | | | | | PACKAGING & CONTAINERS 0.5% | | ||||||
| | | 130,000 | | | | Ball Corp., Guaranteed Notes, 4.88%, 3/15/26 | | | | | 144,789 | | |
| | | 100,000 | | | | WRKCo, Inc., Guaranteed Notes, 3.90%, 6/1/28 | | | | | 112,997 | | |
| | | | | | | | | | | | 257,786 | | |
| | | | | | | TRANSPORTATION 0.3% | | ||||||
| | | 125,000 | | | | United Parcel Service, Inc., Senior Unsecured Notes, 2.50%, 9/1/29 | | | | | 132,701 | | |
| | | | | | | | | | | | 1,995,239 | | |
| TECHNOLOGY 2.7% | | ||||||||||||
| | | | | | | COMPUTERS 0.7% | | ||||||
| | | 150,000 | | | | HP, Inc., Senior Unsecured Notes, 3.00%, 6/17/27 | | | | | 160,716 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES 48.4% (continued) | | ||||||||||||
| | | | | | | COMPUTERS 0.7% (continued) | | ||||||
| | $ | 175,000 | | | | NetApp, Inc., Senior Unsecured Notes, 1.88%, 6/22/25 | | | | $ | 180,100 | | |
| | | | | | | | | | | | 340,816 | | |
| | | | | | | SEMICONDUCTORS 0.5% | | ||||||
| | | 150,000 | | | | Micron Technology, Inc., Senior Unsecured Notes, 2.50%, 4/24/23 | | | | | 155,027 | | |
| | | 100,000 | | | | Xilinx, Inc., Senior Unsecured Notes, 2.38%, 6/1/30 | | | | | 101,758 | | |
| | | | | | | | | | | | 256,785 | | |
| | | | | | | SOFTWARE 1.5% | | ||||||
| | | 100,000 | | | | Citrix Systems, Inc., Senior Unsecured Notes, 4.50%, 12/1/27 | | | | | 113,407 | | |
| | | 150,000 | | | | Electronic Arts, Inc., Senior Unsecured Notes, 4.80%, 3/1/26 | | | | | 172,923 | | |
| | | 125,000 | | | | Fiserv, Inc., Senior Unsecured Notes, 3.50%, 7/1/29 | | | | | 137,670 | | |
| | | 100,000 | | | | Intuit, Inc., Senior Unsecured Notes, 1.65%, 7/15/30 | | | | | 98,249 | | |
| | | 125,000 | | | | Oracle Corp., Senior Unsecured Notes, 2.95%, 4/1/30 | | | | | 131,811 | | |
| | | 100,000 | | | | salesforce.com, Inc., 2.70%, 7/15/41 | | | | | 100,732 | | |
| | | | | | | | | | | | 754,792 | | |
| | | | | | | | | | | | 1,352,393 | | |
| UTILITIES 2.2% | | ||||||||||||
| | | | | | | ELECTRIC 1.8% | | ||||||
| | | 100,000 | | | | CenterPoint Energy, Inc., Senior Unsecured Notes, 2.95%, 3/1/30 | | | | | 105,159 | | |
| | | 100,000 | | | | Consolidated Edison Co. of New York, Inc., Senior Unsecured Notes, 4.50%, 12/1/45 | | | | | 120,754 | | |
| | | 100,000 | | | | Dominion Energy, Inc., Senior Unsecured Notes, 4.25%, 6/1/28 | | | | | 114,890 | | |
| | | 150,000 | | | | Duke Energy Carolinas LLC, 2.45%, 2/1/30 | | | | | 155,077 | | |
| | | 150,000 | | | | Florida Power & Light Co., 4.95%, 6/1/35 | | | | | 197,385 | | |
| | | 10,000 | | | | Florida Power & Light Co., 4.05%, 6/1/42 | | | | | 12,174 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES 48.4% (continued) | | ||||||||||||
| | | | | | | ELECTRIC 1.8% (continued) | | ||||||
| | $ | 100,000 | | | | ITC Holdings Corp., Senior Unsecured Notes, 3.25%, 6/30/26 | | | | $ | 108,353 | | |
| | | 125,000 | | | | Pinnacle West Capital Corp., Senior Unsecured Notes, 1.30%, 6/15/25 | | | | | 125,779 | | |
| | | | | | | | | | | | 939,571 | | |
| | | | | | | GAS 0.4% | | ||||||
| | | 175,000 | | | | National Fuel Gas Co., Senior Unsecured Notes, 5.20%, 7/15/25 | | | | | 197,209 | | |
| | | | | | | | | | | | 1,136,780 | | |
| TOTAL CORPORATE BONDS & NOTES (Cost $23,728,848) | | | | | 24,697,167 | | | ||||||
| FOREIGN GOVERNMENT OBLIGATIONS 0.9% | | ||||||||||||
| | | 200,000 | | | | European Bank for Reconstruction & Development GMTN, Senior Unsecured Notes, 2.75%, 3/7/23 | | | | | 208,270 | | |
| | | 100,000 | | | | Export-Import Bank of Korea, Senior Unsecured Notes, 1.13%, 12/29/26 | | | | | 99,593 | | |
| | | 150,000 | | | | Panama Government International Bond, Senior Unsecured Notes, 4.00%, 9/22/24 | | | | | 163,314 | | |
| TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $452,068) | | | | | 471,177 | | | ||||||
| LONG-TERM MUNICIPAL SECURITIES 3.8% | | ||||||||||||
| | | | | | | CALIFORNIA 0.4% | | ||||||
| | | 200,000 | | | | San Marcos California Unified School District, Refunding Revenue Bonds, 3.17%, 8/1/38 | | | | | 206,927 | | |
| | | | | | | DISTRICT OF COLUMBIA 0.5% | | ||||||
| | | 250,000 | | | | District of Columbia Income Tax Secured Revenue Bonds, Build America Bonds, 4.91%, 12/1/23 | | | | | 276,364 | | |
| | | | | | | MICHIGAN 0.4% | | ||||||
| | | 200,000 | | | | Lincoln Consolidated School District, General Obligation Limited, Series B, 4.32%, 5/1/37 | | | | | 224,249 | | |
| Principal Amount | | | | | | Value | | ||||||
| LONG-TERM MUNICIPAL SECURITIES 3.8% (continued) | | ||||||||||||
| | | | | | | NEW YORK 0.5% | | ||||||
| | $ | 225,000 | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate Bonds, Revenue Bonds, 2.63%, 2/1/23 | | | | $ | 233,242 | | |
| | | | | | | TEXAS 1.7% | | ||||||
| | | 250,000 | | | | Dallas Independent School District Qualified School Construction Notes, General Obligation Limited, 5.05%, 8/15/33 | | | | | 276,289 | | |
| | | 500,000 | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | | | | | 610,303 | | |
| | | | | | | | | | | | 886,592 | | |
| | | | | | | WASHINGTON 0.3% | | ||||||
| | | 125,000 | | | | Grant County Public Utility District No 2 Priest Rapids Hydroelectric Project, Revenue Bonds, 3.31%, 1/1/43 | | | | | 131,757 | | |
| TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $1,783,414) | | | | | 1,959,131 | | | ||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES 14.1% | | ||||||||||||
| | | | | | | MORTGAGE SECURITIES 14.1% | | ||||||
| | | 23,853 | | | | FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35 | | | | | 26,199 | | |
| | | 129,751 | | | | FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34 | | | | | 141,432 | | |
| | | 54,905 | | | | FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41 | | | | | 59,177 | | |
| | | 30,200 | | | | FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25 | | | | | 32,087 | | |
| | | 27,080 | | | | FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42 | | | | | 29,196 | | |
| | | 27,705 | | | | FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42 | | | | | 30,194 | | |
| Principal Amount | | | | | | Value | | ||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES 14.1% (continued) | | ||||||||||||
| | | | | | | MORTGAGE SECURITIES 14.1% (continued) | | ||||||
| | $ | 51,462 | | | | FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42 | | | | $ | 55,649 | | |
| | | 178,723 | | | | FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43 | | | | | 190,583 | | |
| | | 209,349 | | | | FHLMC Gold Pool #Q34167, 4.00%, 6/1/45 | | | | | 229,631 | | |
| | | 151,636 | | | | FHLMC Gold Pool #Q57991, 4.00%, 8/1/48 | | | | | 161,680 | | |
| | | 252,480 | | | | FHLMC Pool #QB2958, 3.00%, 9/1/50 | | | | | 263,590 | | |
| | | 233,497 | | | | FHLMC Pool #QB3856, 2.00%, 9/1/50 | | | | | 236,232 | | |
| | | 263,290 | | | | FHLMC Pool #QB5314, 2.50%, 11/1/50 | | | | | 272,828 | | |
| | | 320,026 | | | | FHLMC Pool #QB8153, 2.50%, 1/1/51 | | | | | 331,771 | | |
| | | 232,255 | | | | FHLMC Pool #SB8078, 1.50%, 12/1/35 | | | | | 235,360 | | |
| | | 218,477 | | | | FHLMC Pool #SD8023, 2.50%, 11/1/49 | | | | | 226,327 | | |
| | | 593,697 | | | | FHLMC Pool #SD8098, 2.00%, 10/1/50 | | | | | 600,657 | | |
| | | 294,903 | | | | FHLMC Pool #SD8134, 2.00%, 3/1/51 | | | | | 298,360 | | |
| | | 69,710 | | | | FNMA Pool #AB2346, 4.50%, 2/1/41 | | | | | 77,511 | | |
| | | 60,531 | | | | FNMA Pool #AB5231, 2.50%, 5/1/27 | | | | | 63,421 | | |
| | | 62,406 | | | | FNMA Pool #AB5716, 3.00%, 7/1/27 | | | | | 65,935 | | |
| | | 91,583 | | | | FNMA Pool #AB8144, 5.00%, 4/1/37 | | | | | 103,610 | | |
| | | 82,566 | | | | FNMA Pool #AI4285, 5.00%, 6/1/41 | | | | | 93,711 | | |
| | | 60,262 | | | | FNMA Pool #AJ5888, 4.50%, 11/1/41 | | | | | 67,310 | | |
| | | 297,326 | | | | FNMA Pool #AR6394, 3.00%, 2/1/43 | | | | | 316,242 | | |
| | | 108,771 | | | | FNMA Pool #AS5892, 3.50%, 10/1/45 | | | | | 116,034 | | |
| | | 33,452 | | | | FNMA Pool #AS6102, 3.50%, 11/1/45 | | | | | 35,679 | | |
| | | 61,033 | | | | FNMA Pool #AS6205, 3.50%, 11/1/45 | | | | | 65,101 | | |
| | | 41,469 | | | | FNMA Pool #AS6385, 4.00%, 12/1/45 | | | | | 44,889 | | |
| | | 94,455 | | | | FNMA Pool #AS9459, 4.50%, 4/1/47 | | | | | 102,822 | | |
| | | 92,020 | | | | FNMA Pool #AS9562, 3.00%, 5/1/47 | | | | | 96,785 | | |
| Principal Amount | | | | | | Value | | ||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES 14.1% (continued) | | ||||||||||||
| | | | | | | MORTGAGE SECURITIES 14.1% (continued) | | ||||||
| | $ | 108,348 | | | | FNMA Pool #AU4279, 3.00%, 9/1/43 | | | | $ | 114,995 | | |
| | | 100,225 | | | | FNMA Pool #AV0703, 4.00%, 12/1/43 | | | | | 109,206 | | |
| | | 49,940 | | | | FNMA Pool #AW7362, 2.50%, 8/1/29 | | | | | 52,314 | | |
| | | 100,111 | | | | FNMA Pool #AX0416, 4.00%, 8/1/44 | | | | | 110,053 | | |
| | | 64,920 | | | | FNMA Pool #AY1670, 3.50%, 2/1/45 | | | | | 69,557 | | |
| | | 64,453 | | | | FNMA Pool #AY2728, 2.50%, 2/1/30 | | | | | 67,533 | | |
| | | 50,091 | | | | FNMA Pool #AY4195, 4.00%, 5/1/45 | | | | | 54,439 | | |
| | | 65,588 | | | | FNMA Pool #BA3885, 3.50%, 11/1/45 | | | | | 70,155 | | |
| | | 203,273 | | | | FNMA Pool #CA2320, 3.50%, 9/1/48 | | | | | 221,771 | | |
| | | 98,749 | | | | FNMA Pool #CA5540, 3.00%, 4/1/50 | | | | | 104,844 | | |
| | | 96,427 | | | | FNMA Pool #MA0641, 4.00%, 2/1/31 | | | | | 103,664 | | |
| | | 117,351 | | | | FNMA Pool #MA4012, 2.00%, 5/1/35 | | | | | 121,458 | | |
| | | 205,339 | | | | FNMA Pool #MA4077, 2.00%, 7/1/50 | | | | | 207,737 | | |
| | | 178,820 | | | | FNMA Pool #MA4119, 2.00%, 9/1/50 | | | | | 180,913 | | |
| | | 384,065 | | | | FNMA Pool #MA4208, 2.00%, 12/1/50 | | | | | 388,563 | | |
| | | 99,731 | | | | FNMA Pool #MA4355, 2.00%, 6/1/51 | | | | | 100,900 | | |
| | | 31,068 | | | | FNMA REMIC Trust Series 2013-18, Class AE, 2.00%, 3/25/28 | | | | | 32,058 | | |
| | | 19,054 | | | | GNMA, Series 2011-136, Class GB, 2.50%, 5/20/40 | | | | | 19,420 | | |
| | | 53,906 | | | | GNMA II Pool #5332, 4.00%, 3/20/42 | | | | | 59,437 | | |
| | | 59,801 | | | | GNMA II Pool #MA1520, 3.00%, 12/20/43 | | | | | 63,598 | | |
| | | 32,840 | | | | GNMA II Pool #MA2445, 3.50%, 12/20/44 | | | | | 35,176 | | |
| | | 238,449 | | | | GNMA II Pool #MA7054, 3.50%, 12/20/50 | | | | | 250,407 | | |
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $7,146,754) | | | | | 7,208,201 | | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS 2.1% | | ||||||||||||
| | | 250,000 | | | | FNMA, 2.38%, 1/19/23 | | | | | 258,428 | | |
| | | 250,000 | | | | FNMA, 2.63%, 9/6/24(3) | | | | | 267,169 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS 2.1% (continued) | | ||||||||||||
| | $ | 540,000 | | | | FNMA, 1.88%, 9/24/26(3) | | | | $ | 566,415 | | |
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $1,018,997) | | | | | 1,092,012 | | | ||||||
| U.S. TREASURY OBLIGATIONS 14.6% | | ||||||||||||
| | | | | | | U.S. TREASURY NOTES & BONDS 14.6% | | ||||||
| | | 120,000 | | | | U.S. Treasury Bonds, 5.38%, 2/15/31 | | | | | 163,294 | | |
| | | 245,000 | | | | U.S. Treasury Bonds, 4.38%, 2/15/38 | | | | | 337,488 | | |
| | | 140,000 | | | | U.S. Treasury Bonds, 3.50%, 2/15/39 | | | | | 175,213 | | |
| | | 155,000 | | | | U.S. Treasury Bonds, 1.13%, 5/15/40 | | | | | 133,942 | | |
| | | 180,000 | | | | U.S. Treasury Bonds, 2.88%, 5/15/43 | | | | | 207,148 | | |
| | | 654,000 | | | | U.S. Treasury Bonds, 3.00%, 2/15/48 | | | | | 779,921 | | |
| | | 452,000 | | | | U.S. Treasury Bonds, 2.25%, 8/15/49 | | | | | 468,509 | | |
| | | 100,000 | | | | U.S. Treasury Notes, 1.75%, 2/28/22 | | | | | 101,109 | | |
| | | 840,000 | | | | U.S. Treasury Notes, 1.38%, 6/30/23 | | | | | 858,834 | | |
| | | 1,305,000 | | | | U.S. Treasury Notes, 2.25%, 11/15/24 | | | | | 1,379,681 | | |
| | | 400,000 | | | | U.S. Treasury Notes, 2.13%, 5/31/26 | | | | | 424,406 | | |
| | | 350,000 | | | | U.S. Treasury Notes, 1.50%, 8/15/26 | | | | | 360,555 | | |
| | | 350,000 | | | | U.S. Treasury Notes, 1.13%, 2/28/27 | | | | | 352,693 | | |
| | | 100,000 | | | | U.S. Treasury Notes, 0.63%, 11/30/27 | | | | | 96,863 | | |
| | | 790,000 | | | | U.S. Treasury Notes, 2.75%, 2/15/28 | | | | | 870,975 | | |
| | | 350,000 | | | | U.S. Treasury Notes, 1.63%, 8/15/29 | | | | | 358,244 | | |
| | | 390,000 | | | | U.S. Treasury Notes, 1.13%, 2/15/31(3) | | | | | 378,970 | | |
| TOTAL U.S. TREASURY NOTES & BONDS (Cost $7,157,705) | | | | | 7,447,845 | | |
| Shares | | | | | | Value | | ||||||
| SHORT-TERM INVESTMENTS 5.6% | | ||||||||||||
| | | | | | | MONEY MARKET FUNDS 5.6% | | ||||||
| | | 1,791,119 | | | | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.03%(4) | | | | | 1,791,119 | | |
| Shares | | | | | | Value | | ||||||
| SHORT-TERM INVESTMENTS 5.6% (continued) | | ||||||||||||
| | | | | | | MONEY MARKET FUNDS 5.6% (continued) | | ||||||
| | | 1,042,843 | | | | State Street Navigator Securities Lending Government Money Market Portfolio(5) | | | | $ | 1,042,843 | | |
| | | | | | | | | | | | 2,833,962 | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $2,833,962) | | | | | 2,833,962 | | | ||||||
| TOTAL INVESTMENTS IN SECURITIES 101.9% (Cost $50,313,441) | | | | $ | 52,038,762 | | | ||||||
| EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (1.9)% | | | | | (966,085) | | | ||||||
| NET ASSETS 100% | | | | $ | 51,072,677 | | |
Investments in Securities: | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | $ | — | | | | | $ | 1,175,013 | | | | | $ | — | | | | | $ | 1,175,013 | | |
Commercial Mortgage-Backed Securities | | | | | — | | | | | | 5,154,254 | | | | | | — | | | | | | 5,154,254 | | |
Corporate Bonds & Notes* | | | | | — | | | | | | 24,697,167 | | | | | | — | | | | | | 24,697,167 | | |
Foreign Government Obligations | | | | | — | | | | | | 471,177 | | | | | | — | | | | | | 471,177 | | |
Long-Term Municipal Securities* | | | | | — | | | | | | 1,959,131 | | | | | | — | | | | | | 1,959,131 | | |
Residential Mortgage-Backed Securities | | | | | — | | | | | | 7,208,201 | | | | | | — | | | | | | 7,208,201 | | |
U.S. Government Agency Obligations | | | | | — | | | | | | 1,092,012 | | | | | | — | | | | | | 1,092,012 | | |
U.S. Treasury Obligations | | | | | — | | | | | | 7,447,845 | | | | | | — | | | | | | 7,447,845 | | |
Short-Term Investments | | | | | 2,833,962 | | | | | | — | | | | | | — | | | | | | 2,833,962 | | |
Total Investments in Securities | | | | $ | 2,833,962 | | | | | $ | 49,204,800 | | | | | $ | — | | | | | $ | 52,038,762 | | |
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 | | | | | $ | 1,000,000 | | | | | | 2.1% | | |
Massachusetts Health & Educational Facilities Authority Revenue, Revenue Bonds, Tufts University, Ser. M, 5.50%, 2/15/27 | | | | | 500,000 | | | | | | 633,850 | | | | | | 1.3% | | |
San Diego Unified School District, General Obligation Unlimited, Election 2012, Ser. I, 5.00%, 7/1/47 | | | | | 500,000 | | | | | | 614,877 | | | | | | 1.3% | | |
Delaware River Pennsylvania, Joint Toll Bridge Commission, Revenue Bonds, 5.00%, 7/1/36 | | | | | 500,000 | | | | | | 611,520 | | | | | | 1.3% | | |
Pennsylvania Higher Educational Facilities Authority, State System of Higher Education, Revenue Bonds, Ser. AS, 5.00%, 6/15/28 | | | | | 500,000 | | | | | | 601,293 | | | | | | 1.2% | | |
Metropolitan Transportation Authority, New York, Revenue Bonds, Subser. C-1, 5.00%, 11/15/34 | | | | | 500,000 | | | | | | 580,663 | | | | | | 1.2% | | |
Dry Creek California Joint Elementary School District, General Obligation Unlimited, Capital Appreciation Election 2008, AGM Insured, 0.00%, 8/1/30 | | | | | 500,000 | | | | | | 423,378 | | | | | | 0.9% | | |
North Carolina Medical Care Commission, Refunding Revenue Bonds, Wakemed, Ser. A, 4.13%, 10/1/38 | | | | | 385,000 | | | | | | 396,772 | | | | | | 0.8% | | |
Orange County Health Facilities Authority, Revenue Bonds, Ser. A, 5.00%, 10/1/39 | | | | | 325,000 | | | | | | 390,767 | | | | | | 0.8% | | |
South Carolina Public Service Authority, Revenue Bonds, Ser. A, 5.00%, 12/1/38 | | | | | 325,000 | | | | | | 386,382 | | | | | | 0.8% | | |
| | | Percentage of Total Investments In Securities | | |||
Aaa/AAA | | | | | 11.8% | | |
Aa1/AA+ | | | | | 12.5% | | |
Aa2/AA | | | | | 24.0% | | |
Aa3/AA- | | | | | 21.1% | | |
A1/A+ | | | | | 11.2% | | |
A2/A | | | | | 10.9% | | |
A3/A- | | | | | 3.5% | | |
Baa1/BBB | | | | | 2.9% | | |
Baa2/BBB+ | | | | | 1.7% | | |
NR | | | | | 0.4% | | |
Total | | | | | 100.0% | | |
| | | 6 Mos | | | 1 Yr | | | 5 Yrs | | | 10 Yrs | | ||||||||||||
The Value Line Tax Exempt Fund, Inc. | | | | | 0.53% | | | | | | 2.62% | | | | | | 2.09% | | | | | | 3.11% | | |
Bloomberg Barclays Municipal Bond Index | | | | | 1.06% | | | | | | 4.17% | | | | | | 3.25% | | | | | | 4.28% | | |
Schedule of Investments (unaudited)
| Principal Amount | | | | | | Rating(1) (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES 94.0% | | | | | | | | ||||||||||||
| | | | | | | ALABAMA 0.9% | | ||||||||||||
| | $ | 125,000 | | | | Alabama Federal Aid Highway Finance Authority, Revenue Bonds, Ser. A, 5.00%, 9/1/30 | | | | | Aa1 | | | | | $ | 155,533 | | |
| | | 100,000 | | | | Birmingham-Jefferson Civic Center Authority, Revenue Bonds, Ser. A, 4.00%, 7/1/36 | | | | | Aa3 | | | | | | 114,251 | | |
| | | 125,000 | | | | Water Works Board of the City of Birmingham (The), Revenue Bonds, Subser. B, 5.00%, 1/1/33 | | | | | Aa3 | | | | | | 152,352 | | |
| | | | | | | | | | | | | | | | | | 422,136 | | |
| | | | | | | ALASKA 0.6% | | ||||||||||||
| | | 250,000 | | | | Alaska Housing Finance Corp., State Capital Project, Refunding Revenue Bonds, Ser. B, 4.00%, 12/1/36 | | | | | Aa2 | | | | | | 297,055 | | |
| | | | | | | ARIZONA 1.5% | | ||||||||||||
| | | 175,000 | | | | Arizona Industrial Development Authority (Phoenix Children’s Hospital), Revenue Bonds, 5.00%, 2/1/33 | | | | | A1 | | | | | | 227,682 | | |
| | | 250,000 | | | | City of Scottsdale Arizona, General Obligation Unlimited, Project 2004-Preserve Acquisition, 3.00%, 7/1/30 | | | | | Aaa | | | | | | 257,046 | | |
| | | 200,000 | | | | Yuma Municipal Property Corp., Revenue Bonds, Senior Lien, 5.00%, 7/1/27 | | | | | A1 | | | | | | 234,139 | | |
| | | | | | | | | | | | | | | | | | 718,867 | | |
| | | | | | | CALIFORNIA 17.9% | | ||||||||||||
| | | 40,000 | | | | Bay Area Toll Authority, Toll Bridge, Revenue Bonds, Ser. F-1, 5.00%, 4/1/56 | | | | | Aa3 | | | | | | 49,902 | | |
| | | 150,000 | | | | California Educational Facilities Authority Stanford University, Revenue Bonds, 5.25%, 4/1/40 | | | | | Aaa | | | | | | 230,504 | | |
| | | 65,000 | | | | California Health Facilities Financing Authority, Providence Health & Services, Revenue Bonds, Ser. A, 5.00%, 10/1/38 | | | | | NR(2) | | | | | | 74,887 | | |
| | | 90,000 | | | | California Health Facilities Financing Authority, Providence Health & Services, Revenue Bonds, Ser. A, 5.00%, 10/1/38 | | | | | Aa3 | | | | | | 102,536 | | |
| | | 90,000 | | | | California Health Facilities Financing Authority, Revenue Bonds, Lucile Packard Stanford Hospital, Ser. B, 5.00%, 8/15/55 | | | | | A1 | | | | | | 106,600 | | |
| | | 150,000 | | | | California Health Facilities Financing Authority, Revenue Bonds, Lucile Saltel Packard Children’s, Ser. A, 5.00%, 8/15/43 | | | | | A1 | | | | | | 166,704 | | |
| | | 100,000 | | | | California Health Facilities Financing Authority, Revenue Bonds, Stanford Health Care, Ser. A, 5.00%, 11/15/37 | | | | | Aa3 | | | | | | 125,133 | | |
| | | 100,000 | | | | California State Public Works Board, Revenue Bonds, Department of Education, Ser. H, 5.00%, 4/1/31 | | | | | Aa3 | | | | | | 123,172 | | |
| | | 200,000 | | | | California State Public Works Board, Revenue Bonds, Ser. H, 5.00%, 12/1/24 | | | | | Aa3 | | | | | | 231,408 | | |
| | | 150,000 | | | | California State University Systemwide, Revenue Bonds, Ser. A, 5.00%, 11/1/34 | | | | | Aa2 | | | | | | 184,524 | | |
| | | 180,000 | | | | California Statewide Communities Development Authority, Revenue Bonds, Adventist Health System/West, Ser. A, 4.38%, 3/1/44 | | | | | A(3) | | | | | | 202,731 | | |
| | | 250,000 | | | | City of San Francisco CA Public Utilities Commission Water Revenue, Revenue Bonds, Ser. D, 3.00%, 11/1/45 | | | | | Aa2 | | | | | | 270,815 | | |
| | | 250,000 | | | | Cupertino Union School District, General Obligation Unlimited, Election 2012, Ser. C, 4.00%, 8/1/40 | | | | | Aa1 | | | | | | 281,648 | | |
| | | 500,000 | | | | Dry Creek California Joint Elementary School District, General Obligation Unlimited, Capital Appreciation Election 2008, AGM Insured, 0.00%, 8/1/30(4) | | | | | A2 | | | | | | 423,378 | | |
| | | 75,000 | | | | East Bay Municipal Utility District Water System Revenue, Revenue Bonds, Ser. C, 4.00%, 6/1/40 | | | | | Aa1 | | | | | | 84,355 | | |
| | | 250,000 | | | | El Cajon Redevelopment Agency Successor Agency, Tax Allocation Refunding Bonds, BAM Insured, 5.00%, 10/1/35 | | | | | AA(3) | | | | | | 311,897 | | |
| | | 150,000 | | | | Fresno Joint Powers Financing Authority Lease (Master Lease Projects), Revenue Refunding Bonds, Ser. A, AGM Insured, 5.00%, 4/1/34 | | | | | A2 | | | | | | 180,738 | | |
| | | 300,000 | | | | Golden State Tobacco Securitization Corp., Asset-Backed Bonds, Ser. A, 5.00%, 6/1/32 | | | | | Aa3 | | | | | | 354,223 | | |
| | | 170,000 | | | | Long Beach Unified School District, General Obligation Unlimited, Ser. B, 3.00%, 8/1/48 | | | | | Aa2 | | | | | | 181,465 | | |
| | | 215,000 | | | | Long Beach Unified School District, General Obligation Unlimited, Ser. E, 5.00%, 8/1/41 | | | | | Aa2 | | | | | | 255,161 | | |
| | | 200,000 | | | | Los Angeles County Public Works Financing Authority, Lease Revenue, Revenue Bonds, Ser. D, 4.00%, 12/1/40 | | | | | Aa2 | | | | | | 225,297 | | |
| | | 115,000 | | | | Los Angeles Unified School District, Election 2005, General Obligation Unlimited, Ser. M-1, 5.00%, 7/1/36 | | | | | Aa3 | | | | | | 143,199 | | |
| | | 330,000 | | | | Metropolitan Water District of Southern California, Refunding Revenue Bonds, Ser. C, 4.00%, 10/1/22 | | | | | Aa1 | | | | | | 333,180 | | |
| | | 60,000 | | | | Metropolitan Water District of Southern California, Refunding Revenue Bonds, Ser. F, 5.00%, 7/1/28 | | | | | Aa1 | | | | | | 62,911 | | |
| | | 150,000 | | | | Modesto Irrigation District Electric System, Revenue Bonds, Ser, 5.00%, 10/1/32 | | | | | A+(3) | | | | | | 182,237 | | |
| | | 225,000 | | | | Napa Valley Unified School District, General Obligation Unlimited, Ser. A, 5.00%, 8/1/28 | | | | | A1 | | | | | | 273,596 | | |
| | | 200,000 | | | | Oxnard Financing Authority, Green Bonds, Refunding Revenue Bonds, Ser. A, BAM Insured, 4.00%, 6/1/51 | | | | | AA(3) | | | | | | 234,695 | | |
| | | 185,000 | | | | Oxnard Financing Authority, Revenue Bonds, BAM Insured, 5.00%, 6/1/35 | | | | | AA(3) | | | | | | 229,352 | | |
| | | 100,000 | | | | Pomona Unified School District, General Obligation Unlimited, Ser. D, 4.00%, 8/1/38 | | | | | Aa3 | | | | | | 121,940 | | |
| | | 65,000 | | | | Roseville Natural Gas Financing Authority, Revenue Bonds, 5.00%, 2/15/27 | | | | | A2 | | | | | | 79,205 | | |
| | | 50,000 | | | | Sacramento City Financing Authority, Revenue Bonds, Master Lease Program Facilities, Ser. E, AMBAC Insured, 5.25%, 12/1/24 | | | | | Aa3 | | | | | | 58,480 | | |
| Principal Amount | | | | | | Rating(1) (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES 94.0% (continued) | | | |||||||||||||||||
| | | | | | | CALIFORNIA 17.9% (continued) | | ||||||||||||
| | $ | 150,000 | | | | Sacramento Municipal Utility District, Revenue Bonds, Ser. A, 5.00%, 8/15/41 | | | | | Aa3 | | | | | $ | 163,974 | | |
| | | 250,000 | | | | San Diego County Regional Transportation Commission, Revenue Bonds, Ser. A, 5.00%, 4/1/42 | | | | | Aa2 | | | | | | 259,147 | | |
| | | 60,000 | | | | San Diego Redevelopment Agency Successor Agency, Tax Allocation Refunding Bonds, Ser. A, 5.00%, 9/1/35 | | | | | AA(3) | | | | | | 72,005 | | |
| | | 500,000 | | | | San Diego Unified School District, General Obligation Unlimited, Election 2012, Ser. I, 5.00%, 7/1/47 | | | | | Aa2 | | | | | | 614,877 | | |
| | | 100,000 | | | | San Francisco City & County Airport Commission San Francisco International Airport, Second Series Revenue Bonds, Ser. E, 5.00%, 5/1/48 | | | | | A1 | | | | | | 123,603 | | |
| | | 200,000 | | | | San Francisco City & County Redevelopment Agency Successor Agency, Ser. A, 5.00%, 8/1/35 | | | | | A(3) | | | | | | 235,081 | | |
| | | 200,000 | | | | San Jose Unified School District Santa Clara Country, General Obligation Unlimited, Election 2012, Ser. A, 3.80%, 8/1/37 | | | | | Aa1 | | | | | | 215,028 | | |
| | | 130,000 | | | | San Marcos Redevelopment Agency Successor Agency, Tax Allocation, Refunding Bonds, Ser. A, 5.00%, 10/1/25 | | | | | AA-(3) | | | | | | 154,589 | | |
| | | 220,000 | | | | Southern California Public Power Authority, Mead-Adelanto Project, Authority Interest, Revenue Bonds, Ser. A, 5.00%, 7/1/29 | | | | | Aa2 | | | | | | 263,619 | | |
| | | 150,000 | | | | State of California, General Obligation Unlimited, Various Purpose Bonds, 5.00%, 8/1/26 | | | | | Aa2 | | | | | | 183,575 | | |
| | | 125,000 | | | | Union City Community Redevelopment Agency, Ser. B, 5.00%, 10/1/31 | | | | | AA-(3) | | | | | | 155,099 | | |
| | | 150,000 | | | | University of California, Revenue Bonds, Ser. I, 5.00%, 5/15/28 | | | | | Aa3 | | | | | | 176,526 | | |
| | | 175,000 | | | | Whittier City School District, General Obligation Limited, Ser. D, 3.00%, 8/1/44 | | | | | Aa3 | | | | | | 190,219 | | |
| | | | | | | | | | | | | | | | | | 8,693,215 | | |
| | | | | | | COLORADO 1.5% | | ||||||||||||
| | | 175,000 | | | | Buffalo Ridge Metropolitan District, General Obligation Unlimited, Ser. A, BAM Insured, 4.00%, 12/1/47 | | | | | A3 | | | | | | 200,189 | | |
| | | 200,000 | | | | Colorado Health Facilities Authority, Adventhealth Obligated Group, Refunding Bonds, 4.00%, 11/15/43 | | | | | Aa2 | | | | | | 236,425 | | |
| | | 225,000 | | | | State of Colorado, Building Excellent Scholl, Certificate Participation, Ser. J, 5.00%, 3/15/37 | | | | | Aa2 | | | | | | 271,889 | | |
| | | | | | | | | | | | | | | | | | 708,503 | | |
| | | | | | | CONNECTICUT 1.4% | | ||||||||||||
| | | 250,000 | | | | South Central Connecticut Regional Water Authority, Revenue Bonds, Twenty-Seventh Series, General Obligation of Authority Insured, 5.00%, 8/1/27 | | | | | Aa3 | | | | | | 263,114 | | |
| | | 150,000 | | | | State of Connecticut Transportation Infrastructure Purposes, Special Tax Obligation, Revenue Bonds, Ser. B, 5.00%, 10/1/27 | | | | | AA-(3) | | | | | | 189,102 | | |
| | | 210,000 | | | | State of Connecticut, General Obligation Unlimited, Ser. C, 4.00%, 6/1/39 | | | | | Aa3 | | | | | | 253,310 | | |
| | | | | | | | | | | | | | | | | | 705,526 | | |
| | | | | | | DELAWARE 0.6% | | ||||||||||||
| | | 265,000 | | | | Delaware Transportation Authority, US 301 Project, Revenue Bonds, 5.00%, 6/1/45 | | | | | Aa3 | | | | | | 303,871 | | |
| | | | | | | DISTRICT OF COLUMBIA 0.5% | | ||||||||||||
| | | 70,000 | | | | District of Columbia, Ser. G, 5.00%, 12/1/36 | | | | | AAA(3) | | | | | | 71,336 | | |
| | | 145,000 | | | | District of Columbia Income, General Obligation Unlimited, Ser. A, 5.00%, 6/1/43 | | | | | Aaa | | | | | | 180,798 | | |
| | | | | | | | | | | | | | | | | | 252,134 | | |
| | | | | | | FLORIDA 4.9% | | ||||||||||||
| | | 140,000 | | | | Central Florida Expressway Authority, Revenue Bonds, Ser. A, 4.00%, 7/1/37 | | | | | A1 | | | | | | 158,180 | | |
| | | 180,000 | | | | City of Jacksonville, Florida Special Revenue, Revenue Bonds, Ser. A, 5.25%, 10/1/47 | | | | | A1 | | | | | | 226,108 | | |
| | | 100,000 | | | | City of Marco Island, Florida Utility System Revenue, Revenue Bonds, 4.00%, 10/1/38 | | | | | Aa3 | | | | | | 112,533 | | |
| | | 185,000 | | | | City of Miami Beach Florida Water & Sewer Revenue, Revenue Bonds, 5.00%, 9/1/36 | | | | | Aa3 | | | | | | 228,732 | | |
| | | 180,000 | | | | County of Miami-Dade Florida Aviation Revenue, Revenue Bonds, 5.00%, 10/1/41 | | | | | A-(3) | | | | | | 216,698 | | |
| | | 250,000 | | | | County of Palm Beach, Florida Public Improvement, Revenue Bonds, Ser. D, 5.00%, 12/1/40 | | | | | Aa1 | | | | | | 299,778 | | |
| | | 125,000 | | | | County of Palm Beach, Florida Public Improvement, Revenue Bonds, Ser. D, 5.00%, 12/1/45 | | | | | Aa1 | | | | | | 149,889 | | |
| | | 240,000 | | | | County of State Lucie, Florida Sales Tax Revenue, Refunding Revenue Bonds, Ser. A, AGM Insured, 5.00%, 10/1/24 | | | | | A1 | | | | | | 265,223 | | |
| | | 170,000 | | | | Florida Housing Finance Corp., Revenue Bonds, Ser. 1, (GNMA/FNMA/FHLMC), 4.00%, 7/1/49 | | | | | Aaa | | | | | | 185,458 | | |
| | | 125,000 | | | | Miami-Dade County Expressway Authority, Revenue Bonds, Ser. A, 5.00%, 7/1/23 | | | | | A3 | | | | | | 130,976 | | |
| | | 325,000 | | | | Orange County Health Facilities Authority, Revenue Bonds, Ser. A, 5.00%, 10/1/39 | | | | | A2 | | | | | | 390,767 | | |
| | | | | | | | | | | | | | | | | | 2,364,342 | | |
| Principal Amount | | | | | | Rating(1) (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES 94.0% (continued) | | | |||||||||||||||||
| | | | | | | GEORGIA 0.7% | | ||||||||||||
| | $ | 350,000 | | | | Valdosta & Lowndes County Hospital Authority, Revenue Bonds, South Medical Center Project, Ser. B, County Guaranteed Insured, 5.00%, 10/1/41 | | | | | Aa2 | | | | | $ | 354,238 | | |
| | | | | | | GUAM 0.3% | | ||||||||||||
| | | 120,000 | | | | Guam Power Authority, Revenue Bonds, Ser. A, AGM Insured, 5.00%, 10/1/39 | | | | | A2 | | | | | | 133,513 | | |
| | | | | | | HAWAII 0.7% | | ||||||||||||
| | | 100,000 | | | | City & County Honolulu Hawaii, General Obligation Unlimited, Ser. A, 5.00%, 10/1/38 | | | | | Aa1 | | | | | | 117,165 | | |
| | | 185,000 | | | | State of Hawaii, General Obligation Unlimited, Ser. FG, 4.00%, 10/1/35 | | | | | Aa2 | | | | | | 214,370 | | |
| | | | | | | | | | | | | | | | | | 331,535 | | |
| | | | | | | ILLINOIS 1.6% | | ||||||||||||
| | | 100,000 | | | | Cook County Forest Preserve District, General Obligation Unlimited, Ser. C, 5.00%, 12/15/37 | | | | | A2 | | | | | | 104,273 | | |
| | | 100,000 | | | | County of Cook IL Sales Tax Revenue, Refunding Revenue Bonds, 4.00%, 11/15/40 | | | | | AA-(3) | | | | | | 113,768 | | |
| | | 100,000 | | | | County of Cook IL Sales Tax Revenue, Refunding Revenue Bonds, Ser. A, 4.00%, 11/15/41 | | | | | AA-(3) | | | | | | 119,254 | | |
| | | 130,000 | | | | Illinois Finance Authority, Green Bonds, Revenue Bonds, 5.00%, 7/1/34 | | | | | AAA(3) | | | | | | 167,811 | | |
| | | 150,000 | | | | Illinois State Toll Highway Authority, Revenue Bonds, Ser. C, 5.00%, 1/1/37 | | | | | A1 | | | | | | 171,591 | | |
| | | 100,000 | | | | Metropolitan Water Reclamation District of Greater Chicago, General Obligation Unlimited, Ser. A, 5.00%, 12/1/44 | | | | | AA(3) | | | | | | 114,018 | | |
| | | | | | | | | | | | | | | | | | 790,715 | | |
| | | | | | | INDIANA 0.3% | | ||||||||||||
| | | 135,000 | | | | Indiana Municipal Power Agency, Revenue Bonds, Ser. A, 5.00%, 1/1/42 | | | | | A1 | | | | | | 162,387 | | |
| | | | | | | KANSAS 0.6% | | ||||||||||||
| | | 250,000 | | | | State of Kansas Department of Transportation, Revenue Bonds, Ser. A, 5.00%, 9/1/32 | | | | | Aa2 | | | | | | 310,874 | | |
| | | | | | | KENTUCKY 0.5% | | ||||||||||||
| | | 110,000 | | | | Kentucky Economic Development Finance Authority, Revenue Bonds, Ser. A, AGM Insured, 4.00%, 6/1/37 | | | | | A2 | | | | | | 123,273 | | |
| | | 125,000 | | | | Louisville & Jefferson County Visitors and Convention Commission, Revenue Bonds, 4.00%, 6/1/23 | | | | | Aa3 | | | | | | 132,691 | | |
| | | | | | | | | | | | | | | | | | 255,964 | | |
| | | | | | | LOUISIANA 1.2% | | ||||||||||||
| | | 300,000 | | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds, City of Bossier City, 5.00%, 11/1/26 | | | | | Aa3 | | | | | | 357,933 | | |
| | | 100,000 | | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds, Women’s Hospitals Foundation Projects, 5.00%, 10/1/44 | | | | | A2 | | | | | | 120,617 | | |
| | | 85,000 | | | | State of Louisiana Highway Improvement Revenue, Revenue Bonds, Ser. A, 5.00%, 6/15/28 | | | | | A1 | | | | | | 96,682 | | |
| | | | | | | | | | | | | | | | | | 575,232 | | |
| | | | | | | MAINE 0.9% | | ||||||||||||
| | | 200,000 | | | | Maine State Health & Higher Educational Facilities Authority Revenue, Refunding Revenue Bonds, Colby College, Ser. A, 5.00%, 7/1/39 | | | | | Aa2 | | | | | | 228,156 | | |
| | | 80,000 | | | | Maine State Housing Authority (Mortgage), Revenue Bonds, Ser. A, 3.80%, 11/15/39 | | | | | Aa1 | | | | | | 88,185 | | |
| | | 100,000 | | | | Maine Turnpike Authority, Revenue Bonds, Ser. A, 5.00%, 7/1/37 | | | | | Aa3 | | | | | | 104,502 | | |
| | | | | | | | | | | | | | | | | | 420,843 | | |
| | | | | | | MARYLAND 0.6% | | ||||||||||||
| | | 130,000 | | | | City of Baltimore, Maryland Subordinate (Water Projects), Revenue Bonds, Ser. A, 5.00%, 7/1/31 | | | | | Aa3 | | | | | | 158,655 | | |
| | | 100,000 | | | | County of Anne Arundel, Maryland, General Obligation Limited, 5.00%, 10/1/36 | | | | | Aa1 | | | | | | 121,644 | | |
| | | | | | | | | | | | | | | | | | 280,299 | | |
| | | | | | | MASSACHUSETTS 5.5% | | ||||||||||||
| | | 100,000 | | | | City of Fall River MA, General Obligation Limited, 5.00%, 12/1/28 | | | | | Aa2 | | | | | | 129,748 | | |
| | | 75,000 | | | | Commonwealth of Massachusetts, Revenue Bonds, 5.50%, 1/1/30 | | | | | A1 | | | | | | 99,964 | | |
| | | 250,000 | | | | Massachusetts Bay Transportation Authority, Revenue Assessment Bonds, Ser. A, 4.00%, 7/1/37 | | | | | Aa1 | | | | | | 258,522 | | |
| | | 175,000 | | | | Massachusetts Bay Transportation Authority, Revenue Bonds, Ser. A-1, 5.00%, 7/1/36 | | | | | Aa3 | | | | | | 216,089 | | |
| | | 250,000 | | | | Massachusetts Development Finance Agency, Boston Medical Center, Revenue Bonds, Ser. D, 5.00%, 7/1/44 | | | | | Baa2 | | | | | | 284,901 | | |
| | | 75,000 | | | | Massachusetts Development Finance Agency, Revenue Bonds, 5.00%, 7/1/36 | | | | | NR(2) | | | | | | 75,000 | | |
| Principal Amount | | | | | | Rating(1) (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES 94.0% (continued) | | | |||||||||||||||||
| | | | | | | MASSACHUSETTS 5.5% (continued) | | ||||||||||||
| | $ | 250,000 | | | | Massachusetts Development Finance Agency, Umass Memorial Health Care, Revenue Bonds, 3.63%, 7/1/37 | | | | | BBB+(3) | | | | | $ | 271,861 | | |
| | | 500,000 | | | | Massachusetts Health & Educational Facilities Authority Revenue, Revenue Bonds, Tufts University, Ser. M, 5.50%, 2/15/27 | | | | | Aa3 | | | | | | 633,850 | | |
| | | 250,000 | | | | Massachusetts School Building Authority Sales Tax Revenue, Revenue Bonds, Senior Ser. B, 5.00%, 10/15/41 | | | | | Aa2 | | | | | | 253,503 | | |
| | | 165,000 | | | | Massachusetts School Building Authority Sales Tax Revenue, Revenue Bonds, Senior Ser. B, 5.00%, 11/15/46 | | | | | Aa2 | | | | | | 201,079 | | |
| | | 250,000 | | | | Massachusetts School Building Authority, Refunding Revenue Bonds, Ser. B, 3.40%, 10/15/40 | | | | | Aa3 | | | | | | 268,556 | | |
| | | | | | | | | | | | | | | | | | 2,693,073 | | |
| | | | | | | MICHIGAN 2.0% | | ||||||||||||
| | | 200,000 | | | | Jackson Public Schools County of Jackson, Michigan 2018 School Building and Site Bonds, General Obligation Unlimited, 5.00%, 5/1/48 | | | | | Aa1 | | | | | | 242,554 | | |
| | | 250,000 | | | | Michigan Finance Authority, Henry Ford Health System, Revenue Bonds, 4.00%, 11/15/46 | | | | | A2 | | | | | | 280,095 | | |
| | | 120,000 | | | | Michigan State Building Authority, Revenue Bonds, Ser. I, 5.00%, 10/15/32 | | | | | Aa2 | | | | | | 145,252 | | |
| | | 150,000 | | | | Port Huron Area School District, General Obligation Unlimited, AGM Insured, 4.00%, 5/1/42 | | | | | A2 | | | | | | 164,503 | | |
| | | 105,000 | | | | Southfield Public Schools, Refunding, General Obligation Unlimited, 5.00%, 5/1/28 | | | | | Aa1 | | | | | | 131,342 | | |
| | | | | | | | | | | | | | | | | | 963,746 | | |
| | | | | | | MINNESOTA 1.0% | | ||||||||||||
| | | 110,000 | | | | County of Jackson, Minnesota Capital Improvement Plan, General Obligation Unlimited, Ser. C, 3.00%, 2/1/38 | | | | | AA(3) | | | | | | 118,251 | | |
| | | 165,000 | | | | Minnesota Housing Finance Agency, Revenue Bonds, Ser. I, 2.15%, 7/1/45 | | | | | Aa1 | | | | | | 163,883 | | |
| | | 150,000 | | | | State of Minnesota Public Facilities Authority Revenue, Refunding Revenue Bonds, Ser. B, 5.00%, 3/1/28 | | | | | Aaa | | | | | | 180,759 | | |
| | | | | | | | | | | | | | | | | | 462,893 | | |
| | | | | | | MISSISSIPPI 0.2% | | ||||||||||||
| | | 90,000 | | | | Mississippi Development Bank, Jackson Public School District Limited, Revenue, Refunding Revenue Bonds, Ser. A, 5.00%, 4/1/27 | | | | | A+(3) | | | | | | 107,220 | | |
| | | | | | | 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 | | | | | A1 | | | | | | 138,180 | | |
| | | 150,000 | | | | Metropolitan State Louis Sewer District, Waste Water System Improvement, Refunding Revenue Bonds, Ser. B, 5.00%, 5/1/31 | | | | | Aa1 | | | | | | 174,560 | | |
| | | 125,000 | | | | Missouri Housing Development Commission Single Family Mortgage (First Place Homeownership Loan Program), Revenue Bonds, (GNMA/FNMA/FHLMC), 4.25%, 5/1/49 | | | | | AA+(3) | | | | | | 139,008 | | |
| | | | | | | | | | | | | | | | | | 451,748 | | |
| | | | | | | NEBRASKA 0.2% | | ||||||||||||
| | | 95,000 | | | | Public Power Generation Agency, Revenue Bonds, Ser. A, 5.00%, 1/1/38 | | | | | A2 | | | | | | 113,291 | | |
| | | | | | | NEVADA 2.2% | | ||||||||||||
| | | 250,000 | | | | Clark County School District, General Obligation Unlimited, Ser. A, 4.00%, 6/15/35 | | | | | A1 | | | | | | 290,466 | | |
| | | 230,000 | | | | Clark County School District, General Obligation Unlimited, Ser. C, 5.00%, 6/15/29 | | | | | A1 | | | | | | 287,617 | | |
| | | 200,000 | | | | County of Clark, Stadium Improvement, General Obligation Limited, Ser. A, 5.00%, 5/1/48 | | | | | Aa1 | | | | | | 244,067 | | |
| | | 240,000 | | | | Las Vegas Valley Water District, General Obligation Limited, Ser. A, 3.38%, 6/1/38 | | | | | Aa1 | | | | | | 268,000 | | |
| | | | | | | | | | | | | | | | | | 1,090,150 | | |
| | | | | | | NEW HAMPSHIRE 0.7% | | ||||||||||||
| | | 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 | | | | | | 115,478 | | |
| | | 200,000 | | | | New Hampshire Housing Finance Authority, Revenue Bonds, Ser. 1, 3.75%, 7/1/54 | | | | | Aaa | | | | | | 216,689 | | |
| | | | | | | | | | | | | | | | | | 332,167 | | |
| | | | | | | NEW JERSEY 5.5% | | ||||||||||||
| | | 135,000 | | | | County of Essex NJ, General Obligation Limited, Ser. A, 4.00%, 9/1/29 | | | | | Aaa | | | | | | 159,714 | | |
| | | 170,000 | | | | New Jersey Economic Development Authority, Refunding Revenue Bonds, Ser. B, 5.00%, 11/1/27 | | | | | Baa1 | | | | | | 211,581 | | |
| | | 270,000 | | | | New Jersey Economic Development Authority, Revenue Bonds, Ser. AAA, 5.50%, 6/15/27 | | | | | Baa1 | | | | | | 336,438 | | |
| | | 150,000 | | | | New Jersey Economic Development Authority, Revenue Bonds, Ser. B, 5.00%, 6/15/38 | | | | | Baa1 | | | | | | 188,328 | | |
| Principal Amount | | | | | | Rating(1) (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES 94.0% (continued) | | | |||||||||||||||||
| | | | | | | NEW JERSEY 5.5% (continued) | | ||||||||||||
| | $ | 30,000 | | | | New Jersey Institute of Technology, Revenue Bonds, Prerefunded, Ser. A, 5.00%, 7/1/42 | | | | | NR(2) | | | | | $ | 31,421 | | |
| | | 1,000,000 | | | | New Jersey State Educational Facilities Authority Revenue, Revenue Bonds, Princeton University, Ser. B, 5.00%, 7/1/35 | | | | | Aaa | | | | | | 1,000,000 | | |
| | | 165,000 | | | | New Jersey State Turnpike Authority, Revenue Bonds, Ser. A, 5.00%, 1/1/29 | | | | | A2 | | | | | | 172,988 | | |
| | | 100,000 | | | | New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, 5.00%, 1/1/35 | | | | | A2 | | | | | | 107,235 | | |
| | | 110,000 | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Ser. B, AMBAC Insured, 5.25%, 12/15/23 | | | | | Baa1 | | | | | | 123,379 | | |
| | | 150,000 | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Ser. BB, 4.00%, 6/15/36 | | | | | Baa1 | | | | | | 173,210 | | |
| | | 150,000 | | | | North Bergen Township Board of Education, General Obligation Limited, BAM Insured, 2.50%, 2/1/40 | | | | | AA(3) | | | | | | 151,462 | | |
| | | | | | | | | | | | | | | | | | 2,655,756 | | |
| | | | | | | NEW MEXICO 0.6% | | ||||||||||||
| | | 250,000 | | | | State of New Mexico, Severance Tax Permanent Fund, Revenue Bonds, Ser. A, 5.00%, 7/1/24 | | | | | Aa2 | | | | | | 284,648 | | |
| | | | | | | NEW YORK 13.2% | | ||||||||||||
| | | 210,000 | | | | Battery Park City Authority, Revenue Bonds, Ser. B, 4.00%, 11/1/41 | | | | | Aaa | | | | | | 252,212 | | |
| | | 250,000 | | | | City of New York, General Obligation Unlimited, Fiscal 2012, Ser. A-1, 5.00%, 8/1/32 | | | | | Aa2 | | | | | | 250,986 | | |
| | | 105,000 | | | | County of Nassau NY, General Obligation Limited, BAM Insured, 5.00%, 10/1/29 | | | | | A2 | | | | | | 127,446 | | |
| | | 250,000 | | | | Housing Development Corp., Revenue Bonds, Ser. D-1-B, 4.20%, 5/1/37 | | | | | Aa2 | | | | | | 251,955 | | |
| | | 175,000 | | | | Long Island Power Authority, Revenue Bonds, Ser. B, 5.00%, 9/1/41 | | | | | A2 | | | | | | 209,570 | | |
| | | 200,000 | | | | Metropolitan Transportation Authority, New York, Revenue Bonds, Ser. A, AGM Insured, 5.00%, 11/15/36 | | | | | A2 | | | | | | 203,619 | | |
| | | 150,000 | | | | Metropolitan Transportation Authority, New York, Revenue Bonds, Ser. C-1, 5.00%, 11/15/29 | | | | | A3 | | | | | | 188,474 | | |
| | | 500,000 | | | | Metropolitan Transportation Authority, New York, Revenue Bonds, Subser. C-1, 5.00%, 11/15/34 | | | | | A3 | | | | | | 580,663 | | |
| | | 100,000 | | | | Municipal Water Finance Authority, Water and Sewer System Revenue, Revenue Bonds, Ser. DD, 5.00%, 6/15/34 | | | | | Aa1 | | | | | | 109,150 | | |
| | | 65,000 | | | | Municipal Water Finance Authority, Water and Sewer System Revenue, Revenue Bonds, Ser. EE, 5.00%, 6/15/45 | | | | | Aa1 | | | | | | 73,086 | | |
| | | 60,000 | | | | Municipal Water Finance Authority, Water and Sewer System Revenue, Revenue Bonds, Ser. FF, 5.00%, 6/15/45 | | | | | Aa1 | | | | | | 62,764 | | |
| | | 140,000 | | | | New York City Housing Development Corp., Revenue Bonds, Series C, 2.40%, 8/1/40 | | | | | Aa2 | | | | | | 141,561 | | |
| | | 100,000 | | | | New York City Transitional Finance Authority Building Aid Revenue, Revenue Bonds, Ser. 1, 4.00%, 7/15/36 | | | | | Aa3 | | | | | | 112,601 | | |
| | | 120,000 | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Subordinated Future Tax Secured, Subser. A-1, 5.00%, 8/1/26 | | | | | Aa1 | | | | | | 137,012 | | |
| | | 150,000 | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Subordinated Future Tax Secured, Subser. B-1, 5.00%, 8/1/32 | | | | | Aa1 | | | | | | 182,397 | | |
| | | 200,000 | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Subser. A-1, 5.00%, 8/1/31 | | | | | Aa1 | | | | | | 227,956 | | |
| | | 200,000 | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Subser. B-1, 5.00%, 8/1/39 | | | | | Aa1 | | | | | | 226,506 | | |
| | | 250,000 | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Subser. E-1, 5.00%, 2/1/32 | | | | | Aa1 | | | | | | 299,476 | | |
| | | 245,000 | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Subser. E-1, 5.00%, 2/1/40 | | | | | Aa1 | | | | | | 290,800 | | |
| | | 170,000 | | | | New York Convention Center Development Corp., Hotel Unit Fee Secured, Refunding Revenue Bonds, 5.00%, 11/15/40 | | | | | A1 | | | | | | 199,651 | | |
| | | 100,000 | | | | New York State Dormitory Authority, Revenue Bonds, Barnard College, Ser. A, 5.00%, 7/1/30 | | | | | A2 | | | | | | 116,295 | | |
| | | 50,000 | | | | New York State Dormitory Authority, Revenue Bonds, Memorial Sloan-Kettering Cancer Center, 5.00%, 7/1/25 | | | | | Aa3 | | | | | | 51,218 | | |
| | | 250,000 | | | | New York State Dormitory Authority, Revenue Bonds, State Personal Income Tax Revenues General Purpose, Ser. A, 5.00%, 2/15/23 | | | | | Aa2 | | | | | | 269,629 | | |
| | | 125,000 | | | | New York State Dormitory Authority, Revenue Bonds, State Personal Income Tax Revenues, Ser. 1, 5.00%, 1/15/31 | | | | | Aa3 | | | | | | 156,498 | | |
| | | 200,000 | | | | New York State Urban Development Corp., Refunding Revenue Bonds, Ser. A, 4.00%, 3/15/44 | | | | | Aa2 | | | | | | 235,129 | | |
| | | 250,000 | | | | New York State Urban Development Corp., State Personal Income Tax Revenue, Revenue Bonds, Ser. A, 5.00%, 3/15/28 | | | | | Aa2 | | | | | | 295,934 | | |
| | | 150,000 | | | | New York State, General Obligation Unlimited, Fiscal 2015, Ser. A, 5.00%, 8/1/26 | | | | | Aa2 | | | | | | 170,967 | | |
| | | 100,000 | | | | Port Authority of New York & New Jersey, Consolidated Bonds, Revenue Bonds, One Hundred Seventy-First Series, 4.00%, 7/15/38 | | | | | Aa3 | | | | | | 101,841 | | |
| | | 325,000 | | | | Port Authority of New York & New Jersey, Revenue Bonds, 194th Series, 5.00%, 10/15/41 | | | | | Aa3 | | | | | | 381,817 | | |
| | | 250,000 | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds, Ser. B, 5.00%, 11/15/36 | | | | | Aa3 | | | | | | 308,444 | | |
| Principal Amount | | | | | | Rating(1) (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES 94.0% (continued) | | | |||||||||||||||||
| | | | | | | NEW YORK 13.2% (continued) | | ||||||||||||
| | $ | 185,000 | | | | Utility Debt Securitization Authority, Restructuring Refunding Revenue Bonds, Ser. A, 5.00%, 12/15/35 | | | | | Aaa | | | | | $ | 222,810 | | |
| | | | | | | | | | | | | | | | | | 6,438,467 | | |
| | | | | | | NORTH CAROLINA 2.4% | | ||||||||||||
| | | 100,000 | | | | City of Charlotte NC Airport Revenue, Revenue Bonds, Ser. A, 5.00%, 7/1/31 | | | | | Aa3 | | | | | | 123,599 | | |
| | | 135,000 | | | | City of Charlotte NC Airport Revenue, Revenue Bonds, Ser. C, 4.00%, 6/1/36 | | | | | Aa2 | | | | | | 162,084 | | |
| | | 305,000 | | | | Nash Health Care Systems Health Care Facilities Revenue, Revenue Bonds, 4.50%, 11/1/37 | | | | | BBB(3) | | | | | | 311,321 | | |
| | | 385,000 | | | | North Carolina Medical Care Commission, Refunding Revenue Bonds, Wakemed, Ser. A, 4.13%, 10/1/38 | | | | | A2 | | | | | | 396,772 | | |
| | | 150,000 | | | | North Carolina Medical Care Commission, Revenue Bonds, Duke University Health System, Ser. A, 5.00%, 6/1/42 | | | | | Aa2 | | | | | | 156,670 | | |
| | | | | | | | | | | | | | | | | | 1,150,446 | | |
| | | | | | | NORTH DAKOTA 0.3% | | ||||||||||||
| | | 135,000 | | | | North Dakota Public Finance Authority, State Revolving Fund Program, Revenue Bonds, Ser. A, 5.00%, 10/1/26 | | | | | Aaa | | | | | | 136,611 | | |
| | | | | | | OHIO 2.3% | | ||||||||||||
| | | 200,000 | | | | City of Akron, Ohio Community Learning Centers, Refunding Revenue Bonds, Ser. A, 5.00%, 12/1/28 | | | | | AA-(3) | | | | | | 207,915 | | |
| | | 250,000 | | | | City of Cleveland, Ohio Water Pollution Control, Green Bonds, Revenue Bonds, 5.00%, 11/15/45 | | | | | Aa3 | | | | | | 290,803 | | |
| | | 325,000 | | | | Cleveland Department of Public Utilities Division of Water Revenue, Revenue Bonds, Senior Lien Ser. X, 3.63%, 1/1/37 | | | | | Aa2 | | | | | | 330,628 | | |
| | | 250,000 | | | | Country of Franklin, Ohio Hospital Facilities Revenue, Revenue Bonds, 5.00%, 5/15/45 | | | | | Aa2 | | | | | | 287,544 | | |
| | | | | | | | | | | | | | | | | | 1,116,890 | | |
| | | | | | | OKLAHOMA 0.9% | | ||||||||||||
| | | 135,000 | | | | Grand River Dam Authority, Revenue Bonds, Ser. A, 5.00%, 6/1/27 | | | | | A1 | | | | | | 166,551 | | |
| | | 250,000 | | | | Oklahoma Capital Improvement Authority, Revenue Bonds, 5.00%, 10/1/23 | | | | | AA-(3) | | | | | | 253,027 | | |
| | | | | | | | | | | | | | | | | | 419,578 | | |
| | | | | | | OREGON 1.5% | | ||||||||||||
| | | 210,000 | | | | City of Portland OR Sewer System Revenue, Revenue Bonds, Ser. A, 3.00%, 3/1/38 | | | | | Aa2 | | | | | | 234,651 | | |
| | | 280,000 | | | | County of Multnomah Oregon, General Obligation Unlimited, 4.00%, 6/1/42 | | | | | Aaa | | | | | | 322,802 | | |
| | | 150,000 | | | | Oregon State Department of Administrative Services Lottery Revenue, Revenue Bonds, Ser. D, 5.00%, 4/1/28 | | | | | Aa2 | | | | | | 174,745 | | |
| | | | | | | | | | | | | | | | | | 732,198 | | |
| | | | | | | PENNSYLVANIA 4.4% | | ||||||||||||
| | | 200,000 | | | | Central Bradford Progress Authority, Guthrie Healthcare System, Revenue Bonds, 5.00%, 12/1/31 | | | | | A(3) | | | | | | 204,012 | | |
| | | 160,000 | | | | City of Philadelphia Pennsylvania, General Obligation Unlimited, Ser. A, 5.00%, 8/1/37 | | | | | A2 | | | | | | 195,159 | | |
| | | 500,000 | | | | Delaware River Pennsylvania, Joint Toll Bridge Commission, Revenue Bonds, 5.00%, 7/1/36 | | | | | A1 | | | | | | 611,520 | | |
| | | 500,000 | | | | Pennsylvania Higher Educational Facilities Authority, State System of Higher Education, Revenue Bonds, Ser. AS, 5.00%, 6/15/28 | | | | | Aa3 | | | | | | 601,293 | | |
| | | 100,000 | | | | Pennsylvania Infrastructure Investment Authority, Revenue Bonds, Ser. A, 4.00%, 5/15/32 | | | | | AAA(3) | | | | | | 112,841 | | |
| | | 250,000 | | | | Pennsylvania Turnpike Commission, Motor License, Refunding Revenue Bonds, 5.00%, 12/1/35 | | | | | A2 | | | | | | 310,016 | | |
| | | 100,000 | | | | Pennsylvania Turnpike Commission, Revenue Bonds, Ser. A-2, 5.00%, 12/1/24 | | | | | A1 | | | | | | 115,815 | | |
| | | | | | | | | | | | | | | | | | 2,150,656 | | |
| | | | | | | RHODE ISLAND 0.3% | | ||||||||||||
| | | 135,000 | | | | Rhode Island Health & Educational Building Corp. Public School, Revenue Bonds, 5.00%, 5/15/28 | | | | | A1 | | | | | | 167,203 | | |
| | | | | | | SOUTH CAROLINA 1.4% | | ||||||||||||
| | | 75,000 | | | | Fort Mill School District No. 4, General Obligation Unlimited, Ser. B, 5.00%, 3/1/27 | | | | | Aa1 | | | | | | 93,319 | | |
| | | 325,000 | | | | South Carolina Public Service Authority, Revenue Bonds, Ser. A, 5.00%, 12/1/38 | | | | | A2 | | | | | | 386,382 | | |
| | | 210,000 | | | | South Carolina Transportation Infrastructure Bank, Revenue Bonds, Ser. A, 3.00%, 10/1/36 | | | | | Aa3 | | | | | | 222,898 | | |
| | | | | | | | | | | | | | | | | | 702,599 | | |
| | | | | | | TENNESSEE 1.0% | | ||||||||||||
| | | 100,000 | | | | City Of Memphis, Tennessee Gas System Revenue Bonds, 5.00%, 12/1/26 | | | | | Aa1 | | | | | | 123,478 | | |
| | | 250,000 | | | | Shelby County Health Educational & Housing Facilities Board, Revenue Bonds, Methodist Le Bonheur Healthcare, 5.00%, 5/1/42 | | | | | A1 | | | | | | 259,803 | | |
| Principal Amount | | | | | | Rating(1) (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES 94.0% (continued) | | | |||||||||||||||||
| | | | | | | TENNESSEE 1.0% (continued) | | ||||||||||||
| | $ | 80,000 | | | | Tennessee Housing Development Agency, Revenue Bonds, Ser. 1C, 3.05%, 1/1/24 | | | | | Aa1 | | | | | $ | 84,425 | | |
| | | | | | | | | | | | | | | | | | 467,706 | | |
| | | | | | | TEXAS 6.7% | | ||||||||||||
| | | 170,000 | | | | Brushy Creek Regional Utility Authority, Inc., Water Treatment & Distributions Project, Revenue Bonds, 5.00%, 8/1/34 | | | | | AA-(3) | | | | | | 204,734 | | |
| | | 120,000 | | | | City of Arlington, Subordinate Lien Special Tax, Revenue Bonds, Ser. C, BAM Insured, 5.00%, 2/15/33 | | | | | A3 | | | | | | 145,399 | | |
| | | 125,000 | | | | City of Leander, Texas Certificates of Obligation, Parking Facility Improvements, General Obligation Limited, 5.00%, 8/15/32 | | | | | Aa2 | | | | | | 142,170 | | |
| | | 70,000 | | | | City of Lubbock, Texas Certificates of Obligation, Waterworks System, General Obligation Limited, 5.00%, 2/15/23 | | | | | Aa2 | | | | | | 75,377 | | |
| | | 90,000 | | | | City of McAllen Texas, General Obligation Limited, 5.00%, 2/15/32 | | | | | AA+(3) | | | | | | 112,897 | | |
| | | 150,000 | | | | City of San Antonio Texas, Electric & Gas Systems Revenue, Revenue Bonds, 5.00%, 2/1/39 | | | | | Aa1 | | | | | | 180,790 | | |
| | | 200,000 | | | | City of San Antonio Texas, Water System Revenue, Junior Lien, Refunding Revenue Bonds, Ser. B, 5.00%, 5/15/32 | | | | | Aa2 | | | | | | 233,518 | | |
| | | 150,000 | | | | Corpus Christi Independent School District, General Obligation Unlimited, (PSF-GTD), 3.00%, 8/15/40 | | | | | Aaa | | | | | | 168,001 | | |
| | | 275,000 | | | | Dallas Area Rapid Transit, Revenue Bonds, Ser. A, 5.00%, 12/1/36 | | | | | Aa2 | | | | | | 325,740 | | |
| | | 200,000 | | | | El Paso Independent School District, General Obligation Limited, (PSF-GTD), 4.00%, 8/15/43 | | | | | Aaa | | | | | | 232,900 | | |
| | | 170,000 | | | | Harris County Municipal Utility District No. 82, General Obligation Unlimited, BAM Insured, 2.00%, 10/1/30 | | | | | AA(3) | | | | | | 176,547 | | |
| | | 250,000 | | | | Lower Colorado River Authority, Revenue Bonds, Ser. A, 5.00%, 5/15/31 | | | | | A1 | | | | | | 270,887 | | |
| | | 110,000 | | | | Spring Independent School District, General Obligation Unlimited, PSF-GTD Insured, 4.00%, 8/15/34 | | | | | Aaa | | | | | | 126,882 | | |
| | | 100,000 | | | | State of Texas, Transportation Commission, Highway Improvement, 5.00%, 4/1/25 | | | | | Aaa | | | | | | 113,076 | | |
| | | 150,000 | | | | State of Texas, Water Financial Assistance, General Obligation Unlimited, Ser. A, 3.00%, 8/1/35 | | | | | Aaa | | | | | | 159,179 | | |
| | | 275,000 | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Ser. A, 5.00%, 11/15/38 | | | | | Aa3 | | | | | | 299,455 | | |
| | | 150,000 | | | | Texas Water Development Board, Revenue Bonds, 3.00%, 10/15/38 | | | | | AAA(3) | | | | | | 169,621 | | |
| | | 100,000 | | | | Trinity River Authority Central Regional Wastewater System Revenue, Revenue Bonds, 5.00%, 8/1/33 | | | | | AAA(3) | | | | | | 124,450 | | |
| | | | | | | | | | | | | | | | | | 3,261,623 | | |
| | | | | | | VERMONT 0.8% | | ||||||||||||
| | | 200,000 | | | | Vermont Educational & Health Buildings Financing Agency, Revenue Bonds, Saint Michael’s College, 5.00%, 10/1/42 | | | | | Baa2 | | | | | | 208,168 | | |
| | | 135,000 | | | | Vermont Educational & Health Buildings Financing Agency, University of Vermont Medical Center Project, Green Bonds, Revenue Bonds, 5.00%, 12/1/46 | | | | | A3 | | | | | | 158,998 | | |
| | | | | | | | | | | | | | | | | | 367,166 | | |
| | | | | | | WASHINGTON 2.6% | | ||||||||||||
| | | 200,000 | | | | City of Spokane Washington, General Obligation Unlimited, 4.00%, 12/1/40 | | | | | Aa2 | | | | | | 232,161 | | |
| | | 75,000 | | | | County of King Washington Refunding Limited Tax, General Obligation Limited, Ser. E, 4.00%, 7/1/31 | | | | | Aaa | | | | | | 88,289 | | |
| | | 165,000 | | | | County of King Washington Refunding, General Obligation Limited, Ser. E, 5.00%, 12/1/30 | | | | | Aaa | | | | | | 197,350 | | |
| | | 100,000 | | | | County of Pierce Washington, Sewer Revenue, Revenue Bonds, 4.00%, 8/1/37 | | | | | AA(3) | | | | | | 104,166 | | |
| | | 350,000 | | | | Washington Health Care Facilities Authority, Revenue Bonds, Providence Health & Services, Ser. A, 4.25%, 10/1/37 | | | | | Aa3 | | | | | | 363,005 | | |
| | | 250,000 | | | | Washington State, Water Utility Improvements, General Obligation Unlimited, Ser. A, 5.00%, 8/1/37 | | | | | Aaa | | | | | | 302,186 | | |
| | | | | | | | | | | | | | | | | | 1,287,157 | | |
| | | | | | | WISCONSIN 0.2% | | ||||||||||||
| | | 100,000 | | | | City of Stoughton, General Obligation Unlimited, Ser. A, 3.38%, 4/1/38 | | | | | Aa2 | | | | | | 109,986 | | |
| | | | | | | TOTAL LONG-TERM MUNICIPAL SECURITIES 94.0% (Cost $42,886,452) | | | | | | | | | | $ | 45,744,227 | | |
| | | | | | | CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES 6.0% | | | | | | | | | | | 2,900,856 | | |
| | | | | | | NET ASSETS 100.0% | | | | | | | | | | $ | 48,645,083 | | |
Investments in Securities: | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Long-Term Municipal Securities* | | | | $ | — | | | | | $ | 45,744,227 | | | | | $ | — | | | | | $ | 45,744,227 | | |
Total Investments in Securities | | | | $ | — | | | | | $ | 45,744,227 | | | | | $ | — | | | | | $ | 45,744,227 | | |
at June 30, 2021 (unaudited)
| | | Value Line Core Bond Fund | | | The Value Line Tax Exempt Fund, Inc. | | ||||||
Assets: | | | | | | | | | | | | | |
Investments in securities, at value* | | | | $ | 52,038,762 | | | | | $ | 45,744,227 | | |
Cash | | | | | — | | | | | | 2,573,347 | | |
Receivable for securities sold | | | | | 342,780 | | | | | | 15,000 | | |
Dividends and interest receivable | | | | | 289,940 | | | | | | 496,728 | | |
Prepaid expenses | | | | | 44,422 | | | | | | 33,866 | | |
Receivable for capital shares sold | | | | | 1,002 | | | | | | — | | |
Receivable for securities lending income | | | | | 110 | | | | | | — | | |
Total Assets | | | | | 52,717,016 | | | | | | 48,863,168 | | |
Liabilities: | | | | | | | | | | | | | |
Payable upon return of securities on loan (See Note 1(G)) | | | | | 1,042,843 | | | | | | — | | |
Payable for securities purchased | | | | | 461,273 | | | | | | — | | |
Dividends payable to shareholders | | | | | 5,812 | | | | | | 13,798 | | |
Payable for capital shares redeemed | | | | | 3,026 | | | | | | 68,019 | | |
Accrued expenses: | | | | | | | | | | | | | |
Advisory fee | | | | | 2,968 | | | | | | 8,078 | | |
Service and distribution plan fees | | | | | 10,541 | | | | | | — | | |
Printing fee payable | | | | | 37,848 | | | | | | 26,603 | | |
Custody and accounting fees payable | | | | | 32,096 | | | | | | 36,024 | | |
Auditing and legal fees payable | | | | | 12,352 | | | | | | 19,288 | | |
Directors’ fees and expenses | | | | | 607 | | | | | | 595 | | |
Other | | | | | 34,973 | | | | | | 45,680 | | |
Total Liabilities | | | | | 1,644,339 | | | | | | 218,085 | | |
Net Assets | | | | | 51,072,677 | | | | | | 48,645,083 | | |
Net assets consist of: | | | | | | | | | | | | | |
Capital stock, at $0.01 par value (authorized unlimited shares and 65,000,000 shares, respectively) | | | | $ | 33,008 | | | | | $ | 48,657 | | |
Additional paid-in capital | | | | | 49,238,317 | | | | | | 46,982,960 | | |
Total Distributable Earnings/(Loss) | | | | | 1,801,352 | | | | | | 1,613,466 | | |
Net Assets | | | | | 51,072,677 | | | | | | 48,645,083 | | |
Net Asset Value Per Share | | | | | | | | | | | | | |
Net Assets | | | | $ | 51,072,677 | | | | | $ | 48,645,083 | | |
Shares Outstanding | | | | | 3,300,792 | | | | | | 4,865,686 | | |
Net Asset Value, Offering and Redemption Price per Outstanding Share | | | | $ | 15.47 | | | | | $ | 10.00 | | |
* Includes securities on loan of | | | | $ | 1,871,998 | | | | | $ | — | | |
Cost of investments | | | | $ | 50,313,441 | | | | | $ | 42,886,452 | | |
| | | Value Line Core Bond Fund | | | The Value Line Tax Exempt Fund, Inc. | | ||||||
Investment Income: | | | | | | | | | | | | | |
Interest | | | | $ | 640,079 | | | | | $ | 787,607 | | |
Dividends | | | | | 276 | | | | | | — | | |
Securities lending income (Net) | | | | | 1,056 | | | | | | — | | |
Total Income | | | | | 641,411 | | | | | | 787,607 | | |
Expenses: | | | | | | | | | | | | | |
Advisory fees | | | | | 93,972 | | | | | | 86,552 | | |
Service and distribution plan fees | | | | | 64,590 | | | | | | 60,880 | | |
Custody and accounting fees | | | | | 40,141 | | | | | | 44,630 | | |
Transfer agent fees | | | | | 26,489 | | | | | | 15,275 | | |
Printing and postage fees | | | | | 18,367 | | | | | | 13,835 | | |
Fund administration fees | | | | | 15,372 | | | | | | 15,372 | | |
Auditing and legal fees | | | | | 13,554 | | | | | | 26,093 | | |
Registration and filing fees | | | | | 11,453 | | | | | | 11,271 | | |
Compliance and tax service fees | | | | | 5,751 | | | | | | 5,550 | | |
Directors’ fees and expenses | | | | | 2,914 | | | | | | 2,795 | | |
Insurance fees | | | | | 564 | | | | | | 518 | | |
Other | | | | | 12,613 | | | | | | 12,575 | | |
Total Expenses Before Fees Waived (See Note 5) | | | | | 305,780 | | | | | | 295,346 | | |
Less: Advisory Fees Waived | | | | | (73,256) | | | | | | — | | |
Less: Service and Distribution Plan Fees Waived | | | | | — | | | | | | (60,880) | | |
Net Expenses | | | | | 232,524 | | | | | | 234,466 | | |
Net Investment Income/(Loss) | | | | | 408,887 | | | | | | 553,141 | | |
Net Realized and Unrealized Gain/(Loss) on Investments: | | | | | | | | | | | | | |
Net Realized Gain/(Loss) From: | | | | | | | | | | | | | |
Investments in securities | | | | | 330,407 | | | | | | (22,419) | | |
Change in Net Unrealized Appreciation/(Depreciation) of: | | | | | | | | | | | | | |
Investments in securities | | | | | (1,567,874) | | | | | | (282,461) | | |
Net Realized Gain/(Loss) and Change in Net Unrealized Appreciation/(Depreciation) on Investments | | | | | (1,237,467) | | | | | | (304,880) | | |
Net Increase/(Decrease) in Net Assets from Operations | | | | $ | (828,580) | | | | | $ | 248,261 | | |
| | | Value Line Core Bond Fund | | |||||||||
| | | Six Months Ended June 30, 2021 (Unaudited) | | | Year Ended December 31, 2020 | | ||||||
Operations: | | | | | | | | | | | | | |
Net investment income/(loss) | | | | $ | 408,887 | | | | | $ | 883,376 | | |
Net realized gain/(loss) on investments | | | | | 330,407 | | | | | | 969,002 | | |
Change in net unrealized appreciation/(depreciation) on investments | | | | | (1,567,874) | | | | | | 1,196,067 | | |
Net increase/(decrease) in net assets from operations | | | | | (828,580) | | | | | | 3,048,445 | | |
Distributions to Shareholders from: | | | | | | | | | | | | | |
Distributable Earnings | | | | | (406,055) | | | | | | (1,025,857) | | |
Share Transactions: | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 633,807 | | | | | | 3,523,006 | | |
Proceeds from reinvestment of distributions to shareholders | | | | | 372,184 | | | | | | 936,701 | | |
Cost of shares redeemed | | | | | (2,552,243) | | | | | | (6,604,784) | | |
Net increase/(decrease) in net assets from capital share transactions | | | | | (1,546,252) | | | | | | (2,145,077) | | |
Total increase/(decrease) in net assets | | | | | (2,780,887) | | | | | | (122,489) | | |
Net Assets: | | | | | | | | | | | | | |
Beginning of period | | | | | 53,853,564 | | | | | | 53,976,053 | | |
End of period | | | | $ | 51,072,677 | | | | | $ | 53,853,564 | | |
Capital Share Transactions: | | | | | | | | | | | | | |
Shares sold | | | | | 40,852 | | | | | | 225,921 | | |
Shares issued to shareholders in reinvestment of dividends | | | | | 24,098 | | | | | | 59,660 | | |
Shares redeemed | | | | | (164,854) | | | | | | (422,790) | | |
Net increase/(decrease) | | | | | (99,904) | | | | | | (137,209) | | |
| | | The Value Line Tax Exempt Fund, Inc. | | |||||||||
| | | Six Months Ended June 30, 2021 (Unaudited) | | | Year Ended December 31, 2020 | | ||||||
Operations: | | | | | | | | | | | | | |
Net investment income/(loss) | | | | $ | 553,141 | | | | | $ | 931,260 | | |
Net realized gain/(loss) on investments | | | | | (22,419) | | | | | | 100,438 | | |
Change in net unrealized appreciation/(depreciation) on investments | | | | | (282,461) | | | | | | 773,570 | | |
Net increase/(decrease) in net assets from operations | | | | | 248,261 | | | | | | 1,805,268 | | |
Distributions to Shareholders from: | | | | | | | | | | | | | |
Distributable Earnings | | | | | (553,141) | | | | | | (1,214,710) | | |
Share Transactions: | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 876,099 | | | | | | 1,244,944 | | |
Proceeds from reinvestment of distributions to shareholders | | | | | 453,470 | | | | | | 986,316 | | |
Cost of shares redeemed | | | | | (1,856,985) | | | | | | (4,778,217) | | |
Net increase/(decrease) in net assets from capital share transactions | | | | | (527,416) | | | | | | (2,546,957) | | |
Total increase/(decrease) in net assets | | | | | (832,296) | | | | | | (1,956,399) | | |
Net Assets: | | | | | | | | | | | | | |
Beginning of period | | | | | 49,477,379 | | | | | | 51,433,778 | | |
End of period | | | | $ | 48,645,083 | | | | | $ | 49,477,379 | | |
Capital Share Transactions: | | | | | | | | | | | | | |
Shares sold | | | | | 87,334 | | | | | | 127,837 | | |
Shares issued to shareholders in reinvestment of dividends | | | | | 45,404 | | | | | | 98,768 | | |
Shares redeemed | | | | | (185,677) | | | | | | (481,960) | | |
Net increase/(decrease) | | | | | (52,939) | | | | | | (255,355) | | |
| | | Value Line Core Bond Fund | | |||||||||||||||||||||||||||||||||
| | | Six Months Ended June 30, 2021 (unaudited) | | | Years Ended December 31, | | ||||||||||||||||||||||||||||||
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | |||||||||||||||||||||
Net asset value, beginning of period | | | | $ | 15.84 | | | | | $ | 15.26 | | | | | $ | 14.40 | | | | | $ | 14.94 | | | | | $ | 14.77 | | | | | $ | 14.71 | | |
Income/(loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | 0.12(1) | | | | | | 0.25(1) | | | | | | 0.36 | | | | | | 0.32 | | | | | | 0.34 | | | | | | 0.26 | | |
Net gains/(losses) on securities (both realized and unrealized) | | | | | (0.37) | | | | | | 0.63 | | | | | | 0.86 | | | | | | (0.52) | | | | | | 0.17 | | | | | | 0.06 | | |
Total from investment operations | | | | | (0.25) | | | | | | 0.88 | | | | | | 1.22 | | | | | | (0.20) | | | | | | 0.51 | | | | | | 0.32 | | |
Less distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | | | (0.12) | | | | | | (0.30) | | | | | | (0.36) | | | | | | (0.34) | | | | | | (0.34) | | | | | | (0.26) | | |
Total distributions | | | | | (0.12) | | | | | | (0.30) | | | | | | (0.36) | | | | | | (0.34) | | | | | | (0.34) | | | | | | (0.26) | | |
Net asset value, end of period | | | | $ | 15.47 | | | | | $ | 15.84 | | | | | $ | 15.26 | | | | | $ | 14.40 | | | | | $ | 14.94 | | | | | $ | 14.77 | | |
Total return | | | | | (1.57)%(2) | | | | | | 5.77% | | | | | | 8.51% | | | | | | (1.31)% | | | | | | 3.47% | | | | | | 2.16% | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | | $ | 51,073 | | | | | $ | 53,854 | | | | | $ | 53,976 | | | | | $ | 54,583 | | | | | $ | 61,586 | | | | | $ | 66,429 | | |
Ratio of gross expenses to average net assets(3) | | | | | 1.18%(4) | | | | | | 1.19% | | | | | | 1.14% | | | | | | 1.21% | | | | | | 1.22% | | | | | | 1.20% | | |
Ratio of net expenses to average net assets(5) | | | | | 0.90%(4) | | | | | | 0.90% | | | | | | 0.93% | | | | | | 0.99% | | | | | | 0.99% | | | | | | 0.99% | | |
Ratio of net investment income to average net assets(5) | | | | | 1.58%(4) | | | | | | 1.62% | | | | | | 2.26% | | | | | | 2.24% | | | | | | 2.01% | | | | | | 1.74% | | |
Portfolio turnover rate | | | | | 29%(2) | | | | | | 70% | | | | | | 39% | | | | | | 84% | | | | | | 35% | | | | | | 32% | | |
| | | The Value Line Tax Exempt Fund, Inc. | | |||||||||||||||||||||||||||||||||
| | | Six Months Ended June 30, 2021 (unaudited) | | | Years Ended December 31, | | ||||||||||||||||||||||||||||||
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | |||||||||||||||||||||
Net asset value, beginning of period | | | | $ | 10.06 | | | | | $ | 9.94 | | | | | $ | 9.61 | | | | | $ | 9.86 | | | | | $ | 9.75 | | | | | $ | 10.06 | | |
Income/(loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income/(loss) | | | | | 0.11(1) | | | | | | 0.18(1) | | | | | | 0.20 | | | | | | 0.26 | | | | | | 0.26 | | | | | | 0.28 | | |
Net gains/(losses) on securities (both realized and unrealized) | | | | | (0.06) | | | | | | 0.18 | | | | | | 0.39 | | | | | | (0.25) | | | | | | 0.11 | | | | | | (0.31) | | |
Total from investment operations | | | | | 0.05 | | | | | | 0.36 | | | | | | 0.59 | | | | | | 0.01 | | | | | | 0.37 | | | | | | (0.03) | | |
Less distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends from net investment income | | | | | (0.11) | | | | | | (0.24) | | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.28) | | |
Total distributions | | | | | (0.11) | | | | | | (0.24) | | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.28) | | |
Net asset value, end of period | | | | $ | 10.00 | | | | | $ | 10.06 | | | | | $ | 9.94 | | | | | $ | 9.61 | | | | | $ | 9.86 | | | | | $ | 9.75 | | |
Total return | | | | | 0.53%(2) | | | | | | 3.68% | | | | | | 6.18% | | | | | | 0.17% | | | | | | 3.86% | | | | | | (0.38)% | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | | $ | 48,645 | | | | | $ | 49,477 | | | | | $ | 51,434 | | | | | $ | 51,848 | | | | | $ | 56,163 | | | | | $ | 62,797 | | |
Ratio of gross expenses to average net assets(3) | | | | | 1.21%(4) | | | | | | 1.16% | | | | | | 1.12% | | | | | | 1.12% | | | | | | 1.10% | | | | | | 0.99% | | |
Ratio of net expenses to average net assets(5) | | | | | 0.96%(4) | | | | | | 0.91% | | | | | | 0.87% | | | | | | 0.87% | | | | | | 0.85% | | | | | | 0.74% | | |
Ratio of net investment income to average net assets(5) | | | | | 2.27%(4) | | | | | | 1.85% | | | | | | 2.07% | | | | | | 2.74% | | | | | | 2.67% | | | | | | 2.75% | | |
Portfolio turnover rate | | | | | 5%(2) | | | | | | 3% | | | | | | 15% | | | | | | 12% | | | | | | 10% | | | | | | 18% | | |
Fund | | | Value of Securities Loaned | | | Value of Collateral* | | ||||||
Value Line Core Bond Fund | | | | $ | 1,871,998 | | | | | $ | 1,908,256 | | |
Fund | | | Purchases of Investment Securities Excluding U.S. Government Obligations | | | Sales of Investment Securities Excluding U.S. Government Obligations | | | Purchases of U.S. Government Obligations | | | Sales of U.S. Government Obligations | | ||||||||||||
Value Line Core Bond Fund | | | | $ | 12,012,400 | | | | | $ | 12,543,413 | | | | | $ | 3,414,951 | | | | | $ | 2,417,209 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 2,483,467 | | | | | | 3,781,655 | | | | | | — | | | | | | — | | |
Fund | | | Cost of investments for tax purposes | | | Gross tax unrealized appreciation | | | Gross tax unrealized depreciation | | | Net tax unrealized appreciation (depreciation) on investments | | ||||||||||||
Value Line Core Bond Fund | | | | $ | 50,315,950 | | | | | $ | 2,017,562 | | | | | $ | 294,750 | | | | | $ | 1,722,812 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 44,021,617 | | | | | | 1,980,695 | | | | | | 258,085 | | | | | | 1,722,610 | | |
Fund | | | Undistributed ordinary income | | | Undistributed long-term gain | | | Other Timing Differences | | | Unrealized Appreciation | | | Capital Loss Carryforwards | | | Late Year Deferrals | | | Distributable Earnings (Loss) | | |||||||||||||||||||||
Value Line Core Bond Fund | | | | $ | 8,675 | | | | | $ | — | | | | | $ | (6,775) | | | | | $ | 3,280,310 | | | | | $ | (246,223) | | | | | $ | — | | | | | $ | 3,035,987 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | — | | | | | | — | | | | | | (17,245) | | | | | | 2,005,075 | | | | | | (69,484) | | | | | | — | | | | | | 1,918,346 | | |
| | | Year Ended December 31, 2020 Distributions Paid from | | |||||||||||||||||||||||||||
Fund | | | Ordinary Income | | | Long-Term Capital Gain | | | Tax exempt income | | | Taxable ordinary income | | | Total Distributions Paid | | |||||||||||||||
Value Line Core Bond Fund | | | | $ | 1,025,857 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,025,857 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | — | | | | | | — | | | | | | 1,213,535 | | | | | | 1,175 | | | | | | 1,214,710 | | |
| | | Year Ended December 31, 2019 Distributions Paid from | | |||||||||||||||||||||||||||
Fund | | | Ordinary Income | | | Long-Term Capital Gain | | | Tax exempt income | | | Taxable ordinary income | | | Total Distributions Paid | | |||||||||||||||
Value Line Core Bond Fund | | | | $ | 1,297,862 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,297,862 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | — | | | | | | — | | | | | | 1,363,401 | | | | | | 1,196 | | | | | | 1,364,597 | | |
Fund | | | Advisory Fee | | | Waived Amount | | ||||||
Value Line Core Bond Fund | | | | $ | 93,972 | | | | | $ | 73,256 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 86,552 | | | | | | — | | |
Fund | | | Distribution & Service Fees | | | Waived Amount | | ||||||
Value Line Core Bond Fund | | | | $ | 64,590 | | | | | $ | — | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 60,880 | | | | | | 60,880 | | |
Expiration for the 12 months ended | | | Fees Waived and Reimbursed by the Adviser | | |||
June 30, 2022 | | | | $ | 127,098 | | |
June 30, 2023 | | | | | 118,241 | | |
June 30, 2024 | | | | | 169,838 | | |
| | | Beginning Account Value January 1, 2021 | | | Ending Account Value June 30, 2021 | | | Expenses Paid During Period* | | | Annualized Expense Ratio | | ||||||||||||
Actual | | | | | | ||||||||||||||||||||
Value Line Core Bond Fund | | | | $ | 1,000.00 | | | | | $ | 984.30 | | | | | $ | 4.43 | | | | | | 0.90% | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 1,000.00 | | | | | | 1,005.30 | | | | | | 4.77 | | | | | | 0.96% | | |
Hypothetical (5% return before expenses) | | | | | | | | | | | | | | | | | | | | | | | | | |
Value Line Core Bond Fund | | | | $ | 1,000.00 | | | | | $ | 1,020.33 | | | | | $ | 4.51 | | | | | | 0.90% | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 1,000.00 | | | | | | 1,020.03 | | | | | | 4.81 | | | | | | 0.96% | | |
(b) | Not Applicable |
Item 2 | Code of Ethics |
Not applicable.
Item 3 | Audit Committee Financial Expert |
Not applicable.
Item 4 | Principal Accountant Fees and Services |
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. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Exhibits. |
(a) | (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. |
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: | August 31, 2021 |
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/ Christopher W. Roleke | |
Christopher W. Roleke, Treasurer, Principal Financial Officer |
Date: | August 31, 2021 |