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, 2017
Date of reporting period: June 30, 2017
Item I. Reports to Stockholders.
A copy of the Semi-Annual Report to Stockholders for the period ended 6/30/17 is included with this Form.
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Value Line Core Bond Fund
(VAGIX)
(VLHYX)
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prospective investors unless preceded or accompanied by a currently effective prospectus of the Funds
(obtainable from the Distributor).
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| Value Line Core Bond Fund: | | | |||||
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| The Value Line Tax Exempt Fund, Inc.: | | | |||||
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President of the Value Line Funds
Issue | | | Shares | | | Value | | | Percentage of Net Assets | | |||||||||
U.S. Treasury Notes, 1.50%, 1/31/22 | | | | | 665,000 | | | | | $ | 654,921 | | | | | | 1.0% | | |
GNMA, Series 2013-12, Class B, 2.15%, 11/16/52 | | | | | 600,000 | | | | | | 569,974 | | | | | | 0.9% | | |
FNMA Pool #MA1107, 3.50%, 7/1/32 | | | | | 495,578 | | | | | | 517,595 | | | | | | 0.8% | | |
FNMA, 1.88%, 9/24/26 | | | | | 540,000 | | | | | | 511,998 | | | | | | 0.8% | | |
Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | | | | | 500,000 | | | | | | 506,195 | | | | | | 0.8% | | |
FNMA Pool #AS5906, 3.50%, 10/1/45 | | | | | 491,910 | | | | | | 505,535 | | | | | | 0.8% | | |
U.S. Treasury Bonds, 3.38%, 5/15/44 | | | | | 430,000 | | | | | | 475,033 | | | | | | 0.7% | | |
U.S. Treasury Bonds, 4.38%, 2/15/38 | | | | | 370,000 | | | | | | 471,418 | | | | | | 0.7% | | |
U.S. Treasury Bonds, 3.63%, 8/15/43 | | | | | 400,000 | | | | | | 460,156 | | | | | | 0.7% | | |
FHLMC Gold PC Pool #A95803, 4.00%, 12/1/40 | | | | | 433,152 | | | | | | 459,058 | | | | | | 0.7% | | |
Total | | | | | | | | | | | | | | | | | 7.9% | | |
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Portfolio Highlights at June 30, 2017 (unaudited) (continued)
| | | Percentage of Fund’s Investments | | |||
Less than 4% | | | | | 58.0% | | |
4 – 4.99% | | | | | 25.8% | | |
5 – 5.99% | | | | | 11.5% | | |
6 – 6.99% | | | | | 2.8% | | |
7 – 7.99% | | | | | 1.9% | | |
Schedule of Investments (unaudited) | June 30, 2017 |
| Principal Amount | | | | | | Value | | ||||||
| ASSET-BACKED SECURITIES (4.1%) | | ||||||||||||
| | $ | 81,000 | | | | Ally Master Owner Trust, Series 2012-5, Class A, 1.54%, 9/15/19 | | | | $ | 81,016 | | |
| | | 250,000 | | | | Ally Master Owner Trust, Series 2015-2, Class A2, 1.83%, 1/15/21 | | | | | 250,042 | | |
| | | 200,000 | | | | CarMax Auto Owner Trust, Series 2015-1, Class A4, 1.83%, 7/15/20 | | | | | 200,282 | | |
| | | 190,000 | | | | Chrysler Capital Auto Receivables Trust, Series 2015-AA, Class A4, 1.55%, 2/18/20(1) | | | | | 189,983 | | |
| | | 100,000 | | | | Chrysler Capital Auto Receivables Trust, Series 2016-AA, Class A3, 1.77%, 10/15/20(1) | | | | | 100,110 | | |
| | | 200,000 | | | | Ford Credit Auto Owner Trust, Series 2015-1, Class A, 2.12%, 7/15/26(1) | | | | | 200,790 | | |
| | | 100,000 | | | | Ford Credit Auto Owner Trust, Series 2015-2, Class A, 2.44%, 1/15/27(1) | | | | | 101,077 | | |
| | | 150,000 | | | | Ford Credit Auto Owner Trust, Series 2016-C, Class A4, 1.40%, 2/15/22 | | | | | 148,243 | | |
| | | 150,000 | | | | GM Financial Automobile Leasing Trust, Series 2016-1, Class B, 2.59%, 3/20/20 | | | | | 151,013 | | |
| | | 188,000 | | | | GM Financial Automobile Leasing Trust, Series 2016-2, Class A4, 1.76%, 3/20/20 | | | | | 187,799 | | |
| | | 200,000 | | | | GMF Floorplan Owner Revolving Trust, Series 2016-1, Class B, 2.41%, 5/17/21(1) | | | | | 201,204 | | |
| | | 170,000 | | | | Hyundai Auto Lease Securitization Trust, Series 2016-B, Class A4, 1.68%, 4/15/20(1) | | | | | 169,875 | | |
| | | 300,000 | | | | Synchrony Credit Card Master Note Trust, Series 2012-2, Class A, 2.22%, 1/15/22 | | | | | 302,240 | | |
| Principal Amount | | | | | | Value | | ||||||
| ASSET-BACKED SECURITIES (4.1%) (continued) | | ||||||||||||
| | $ | 110,000 | | | | Synchrony Credit Card Master Note Trust, Series 2012-7, Class A, 1.76%, 9/15/22 | | | | $ | 109,698 | | |
| | | 200,000 | | | | World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.14%, 1/17/23 | | | | | 204,383 | | |
| | | 50,000 | | | | World Financial Network Credit Card Master Trust, Series 2013-A, Class A, 1.61%, 12/15/21 | | | | | 50,002 | | |
| TOTAL ASSET-BACKED SECURITIES (Cost $2,658,111) (4.1%) | | | | | 2,647,757 | | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (7.2%) | | ||||||||||||
| | | 44,616 | | | | Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class A4, 5.69%, 6/11/50(2) | | | | | 44,786 | | |
| | | 150,000 | | | | COMM Mortgage Trust, Series 2014-UBS2, Class AM, 4.20%, 3/10/47 | | | | | 158,402 | | |
| | | 150,000 | | | | COMM Mortgage Trust, Series 2015-PC1, Class AM, 4.29%, 7/10/50(2) | | | | | 159,182 | | |
| | | 150,000 | | | | FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2, 3.06%, 7/25/23(2) | | | | | 155,256 | | |
| | | 250,000 | | | | FREMF Mortgage Trust, Series 2013-K24, Class B, 3.62%, 11/25/45(1)(2) | | | | | 258,107 | | |
| | | 65,818 | | | | FREMF Mortgage Trust, Series 2013-KF02, Class B, 4.00%, 12/25/45(1)(2) | | | | | 66,899 | | |
| | | 200,000 | | | | FREMF Mortgage Trust, Series 2013-K713, Class B, 3.27%, 4/25/46(1)(2) | | | | | 203,731 | | |
| | | 150,000 | | | | FREMF Mortgage Trust, Series 2013-K34, Class B, 3.86%, 9/25/46(1)(2) | | | | | 155,983 | | |
| | | 200,000 | | | | FREMF Mortgage Trust, Series 2014-K717, Class B, 3.75%, 11/25/47(1)(2) | | | | | 204,714 | | |
| Principal Amount | | | | | | Value | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (7.2%) (continued) | | ||||||||||||
| | $ | 280,159 | | | | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | | | | $ | 269,666 | | |
| | | 600,000 | | | | GNMA, Series 2013-12, Class B, 2.15%, 11/16/52(2) | | | | | 569,974 | | |
| | | 300,241 | | | | GNMA, Series 2012-125, Class AB, 2.11%, 2/16/53(2) | | | | | 291,775 | | |
| | | 250,385 | | | | GS Mortgage Securities Trust, Series 2012-GCJ7, Class A4, 3.38%, 5/10/45 | | | | | 260,322 | | |
| | | 130,000 | | | | GS Mortgage Securities Trust, Series 2015-GC32, Class A2, 3.06%, 7/10/48 | | | | | 133,058 | | |
| | | 150,000 | | | | Morgan Stanley Capital I Trust, Series 2012-C4, Class A4, 3.24%, 3/15/45 | | | | | 154,517 | | |
| | | 122,017 | | | | Sequoia Mortgage Trust, Series 2004-8, Class A1, 1.91%, 9/20/34(2) | | | | | 116,491 | | |
| | | 83,507 | | | | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 4A2, 3.44%, 6/25/34(2) | | | | | 82,929 | | |
| | | 152,551 | | | | Thornburg Mortgage Securities Trust, Series 2005-1, Class A3, 3.11%, 4/25/45(2) | | | | | 152,945 | | |
| | | 13,863 | | | | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A2, 2.11%, 5/10/63 | | | | | 13,856 | | |
| | | 100,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A2, 2.66%, 2/15/48 | | | | | 101,480 | | |
| | | 250,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class ASB, 3.40%, 6/15/48 | | | | | 260,444 | | |
| | | 180,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2016-C34, Class A4, 3.10%, 6/15/49 | | | | | 179,333 | | |
| Principal Amount | | | | | | Value | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (7.2%) (continued) | | ||||||||||||
| | $ | 100,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class ASB, 3.46%, 7/15/58 | | | | $ | 104,101 | | |
| | | 250,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class ASB, 3.57%, 9/15/58 | | | | | 261,972 | | |
| | | 200,000 | | | | WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4, 3.67%, 11/15/44 | | | | | 209,859 | | |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $4,672,615) (7.2%) | | | | | 4,569,782 | | | ||||||
| CORPORATE BONDS & NOTES (48.2%) | | ||||||||||||
| BASIC MATERIALS (1.6%) | | ||||||||||||
| | | | | | | CHEMICALS (1.1%) | | ||||||
| | | 225,000 | | | | Celanese U.S. Holdings LLC, Guaranteed Notes, 4.63%, 11/15/22 | | | | | 242,362 | | |
| | | 175,000 | | | | LYB International Finance B.V., Guaranteed Notes, 4.00%, 7/15/23 | | | | | 185,409 | | |
| | | 125,000 | | | | NOVA Chemicals Corp., Senior Unsecured Notes, 5.25%, 6/1/27(1) | | | | | 124,375 | | |
| | | 150,000 | | | | Sherwin-Williams Co. (The), Senior Unsecured Notes, 4.50%, 6/1/47 | | | | | 157,174 | | |
| | | | | | | | | | | | 709,320 | | |
| | | | | | | IRON/STEEL (0.3%) | | ||||||
| | | 175,000 | | | | Vale Overseas, Ltd., Guaranteed Notes, 4.38%, 1/11/22 | | | | | 178,115 | | |
| | | | | | | MINING (0.2%) | | ||||||
| | | 150,000 | | | | Glencore Funding LLC, Guaranteed Notes, 4.13%, 5/30/23(1) | | | | | 153,913 | | |
| | | | | | | | | | | | 1,041,348 | | |
| COMMUNICATIONS (5.1%) | | ||||||||||||
| | | | | | | INTERNET (1.4%) | | ||||||
| | | 125,000 | | | | Alibaba Group Holding, Ltd., Senior Unsecured Notes, 3.60%, 11/28/24 | | | | | 128,963 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| | | | | | | INTERNET (1.4%) (continued) | | ||||||
| | $ | 225,000 | | | | Amazon.com, Inc., Senior Unsecured Notes, 4.80%, 12/5/34 | | | | $ | 259,020 | | |
| | | 150,000 | | | | Expedia, Inc., Guaranteed Notes, 4.50%, 8/15/24 | | | | | 157,852 | | |
| | | 150,000 | | | | Netflix, Inc., Senior Unsecured Notes, 5.75%, 3/1/24 | | | | | 163,687 | | |
| | | 200,000 | | | | Tencent Holdings, Ltd., Senior Unsecured Notes, 3.38%, 5/2/19(1) | | | | | 204,597 | | |
| | | | | | | | | | | | 914,119 | | |
| | | | | | | MEDIA (2.6%) | | ||||||
| | | 200,000 | | | | CBS Corp., Guaranteed Notes, 3.70%, 8/15/24 | | | | | 205,228 | | |
| | | 175,000 | | | | Charter Communications Operating LLC/ Charter Communications Operating Capital, Senior Secured Notes, 4.91%, 7/23/25 | | | | | 189,056 | | |
| | | 150,000 | | | | Comcast Corp., Guaranteed Notes, 6.45%, 3/15/37 | | | | | 199,588 | | |
| | | 250,000 | | | | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Guaranteed Notes, 3.80%, 3/15/22 | | | | | 258,758 | | |
| | | 200,000 | | | | Discovery Communications LLC, Guaranteed Notes, 4.90%, 3/11/26 | | | | | 211,996 | | |
| | | 200,000 | | | | Scripps Networks Interactive, Inc., Senior Unsecured Notes, 2.80%, 6/15/20 | | | | | 202,343 | | |
| | | 100,000 | | | | Thomson Reuters Corp., Senior Unsecured Notes, 3.35%, 5/15/26 | | | | | 99,839 | | |
| | | 100,000 | | | | Time Warner, Inc., Guaranteed Notes, 3.60%, 7/15/25 | | | | | 99,773 | | |
| | | 150,000 | | | | Time Warner, Inc., Guaranteed Notes, 3.80%, 2/15/27 | | | | | 151,014 | | |
| | | | | | | | | | | | 1,617,595 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| | | | | | | TELECOMMUNICATIONS (1.1%) | | ||||||
| | $ | 200,000 | | | | AT&T, Inc., Senior Unsecured Notes, 3.80%, 3/1/24 | | | | $ | 204,521 | | |
| | | 100,000 | | | | Orange SA, Senior Unsecured Notes, 1.63%, 11/3/19 | | | | | 99,128 | | |
| | | 250,000 | | | | Telefonica Emisiones SAU, Guaranteed Notes, 5.88%, 7/15/19 | | | | | 268,606 | | |
| | | 125,000 | | | | Verizon Communications, Inc., Senior Unsecured Notes, 2.45%, 11/1/22 | | | | | 122,527 | | |
| | | | | | | | | | | | 694,782 | | |
| | | | | | | | | | | | 3,226,496 | | |
| CONSUMER, CYCLICAL (5.3%) | | ||||||||||||
| | | | | | | AUTO MANUFACTURERS (1.3%) | | ||||||
| | | 250,000 | | | | Ford Motor Co., Senior Unsecured Notes, 7.45%, 7/16/31 | | | | | 316,085 | | |
| | | 175,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 1.72%, 12/6/17 | | | | | 175,012 | | |
| | | 200,000 | | | | General Motors Financial Co., Inc., Guaranteed Notes, 3.70%, 5/9/23 | | | | | 203,092 | | |
| | | 125,000 | | | | General Motors Financial Co., Inc., Guaranteed Notes, 4.30%, 7/13/25 | | | | | 127,494 | | |
| | | | | | | | | | | | 821,683 | | |
| | | | | | | AUTO PARTS & EQUIPMENT (0.6%) | | ||||||
| | | 175,000 | | | | Goodyear Tire & Rubber Co. (The), Guaranteed Notes, 5.00%, 5/31/26 | | | | | 181,125 | | |
| | | 200,000 | | | | Magna International, Inc., Senior Unsecured Notes, 4.15%, 10/1/25 | | | | | 212,605 | | |
| | | | | | | | | | | | 393,730 | | |
| | | | | | | HOME BUILDERS (1.3%) | | ||||||
| | | 200,000 | | | | CalAtlantic Group, Inc., Guaranteed Notes, 6.63%, 5/1/20 | | | | | 221,500 | | |
| | | 150,000 | | | | D.R. Horton, Inc., Guaranteed Notes, 4.00%, 2/15/20 | | | | | 155,767 | | |
| | | 125,000 | | | | Lennar Corp., Guaranteed Notes, 4.88%, 12/15/23 | | | | | 132,891 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| | | | | | | HOME BUILDERS (1.3%) (continued) | | ||||||
| | $ | 150,000 | | | | PulteGroup, Inc., Guaranteed Notes, 4.25%, 3/1/21 | | | | $ | 156,375 | | |
| | | 175,000 | | | | Toll Brothers Finance Corp., Guaranteed Notes, 4.88%, 11/15/25 | | | | | 181,562 | | |
| | | | | | | | | | | | 848,095 | | |
| | | | | | | HOUSEWARES (0.2%) | | ||||||
| | | 29,000 | | | | Newell Brands, Inc., Senior Unsecured Notes, 2.60%, 3/29/19 | | | | | 29,283 | | |
| | | 100,000 | | | | Newell Brands, Inc., Senior Unsecured Notes, 5.50%, 4/1/46 | | | | | 120,403 | | |
| | | | | | | | | | | | 149,686 | | |
| | | | | | | LEISURE TIME (0.3%) | | ||||||
| | | 150,000 | | | | Royal Caribbean Cruises, Ltd., Senior Unsecured Notes, 5.25%, 11/15/22 | | | | | 166,188 | | |
| | | | | | | LODGING (0.6%) | | ||||||
| | | 101,000 | | | | Choice Hotels International, Inc., Guaranteed Notes, 5.75%, 7/1/22 | | | | | 112,363 | | |
| | | 250,000 | | | | Wyndham Worldwide Corp., Senior Unsecured Notes, 3.90%, 3/1/23 | | | | | 257,723 | | |
| | | | | | | | | | | | 370,086 | | |
| | | | | | | RETAIL (1.0%) | | ||||||
| | | 175,000 | | | | CVS Health Corp., Senior Unsecured Notes, 2.75%, 12/1/22 | | | | | 175,218 | | |
| | | 100,000 | | | | Dollar General Corp., Senior Unsecured Notes, 4.15%, 11/1/25 | | | | | 105,548 | | |
| | | 225,000 | | | | McDonald’s Corp. MTN, Senior Unsecured Notes, 4.45%, 3/1/47 | | | | | 236,675 | | |
| | | 100,000 | | | | Sally Holdings LLC/Sally Capital, Inc., Guaranteed Notes, 5.75%, 6/1/22 | | | | | 102,875 | | |
| | | | | | | | | | | | 620,316 | | |
| | | | | | | | | | | | 3,369,784 | | |
| CONSUMER, NON-CYCLICAL (6.8%) | | ||||||||||||
| | | | | | | BEVERAGES (0.9%) | | ||||||
| | | 200,000 | | | | Anheuser-Busch InBev Finance, Inc., Guaranteed Notes, 4.90%, 2/1/46 | | | | | 225,728 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| | | | | | | BEVERAGES (0.9%) (continued) | | ||||||
| | $ | 200,000 | | | | Constellation Brands, Inc., Guaranteed Notes, 4.25%, 5/1/23(3) | | | | $ | 212,919 | | |
| | | 150,000 | | | | Dr. Pepper Snapple Group, Inc., Guaranteed Notes, 3.43%, 6/15/27 | | | | | 151,231 | | |
| | | | | | | | | | | | 589,878 | | |
| | | | | | | BIOTECHNOLOGY (0.8%) | | ||||||
| | | 100,000 | | | | Amgen, Inc., Senior Unsecured Notes, 4.40%, 5/1/45 | | | | | 102,715 | | |
| | | 250,000 | | | | Celgene Corp., Senior Unsecured Notes, 4.00%, 8/15/23(3) | | | | | 265,148 | | |
| | | 150,000 | | | | Gilead Sciences, Inc., Senior Unsecured Notes, 2.35%, 2/1/20 | | | | | 151,432 | | |
| | | | | | | | | | | | 519,295 | | |
| | | | | | | COMMERCIAL SERVICES (0.2%) | | ||||||
| | | 100,000 | | | | Service Corp. International, Senior Unsecured Notes, 5.38%, 1/15/22 | | | | | 103,000 | | |
| | | | | | | FOOD (1.5%) | | ||||||
| | | 200,000 | | | | JM Smucker Co. (The), Guaranteed Notes, 4.38%, 3/15/45 | | | | | 209,049 | | |
| | | 100,000 | | | | Kellogg Co., Senior Unsecured Notes, 3.25%, 4/1/26 | | | | | 99,711 | | |
| | | 100,000 | | | | Kroger Co. (The), Senior Unsecured Notes, 5.15%, 8/1/43 | | | | | 104,071 | | |
| | | 200,000 | | | | Sysco Corp., Guaranteed Notes, 3.75%, 10/1/25 | | | | | 207,334 | | |
| | | 100,000 | | | | Tyson Foods, Inc., Senior Unsecured Notes, 3.55%, 6/2/27 | | | | | 101,167 | | |
| | | 244,000 | | | | Wm Wrigley Jr Co., Senior Unsecured Notes, 2.00%, 10/20/17(1) | | | | | 244,431 | | |
| | | | | | | | | | | | 965,763 | | |
| | | | | | | HEALTHCARE PRODUCTS (0.3%) | | ||||||
| | | 125,000 | | | | Becton Dickinson and Co., Senior Unsecured Notes, 2.89%, 6/6/22 | | | | | 125,391 | | |
| | | 100,000 | | | | Edwards Lifesciences Corp., Senior Unsecured Notes, 2.88%, 10/15/18 | | | | | 100,934 | | |
| | | | | | | | | | | | 226,325 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| | | | | | | HEALTHCARE SERVICES (1.5%) | | ||||||
| | $ | 100,000 | | | | DaVita, Inc., Guaranteed Notes, 5.75%, 8/15/22 | | | | $ | 102,750 | | |
| | | 150,000 | | | | HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25 | | | | | 158,220 | | |
| | | 150,000 | | | | Humana, Inc., Senior Unsecured Notes, 3.95%, 3/15/27 | | | | | 156,323 | | |
| | | 150,000 | | | | LifePoint Health, Inc., Guaranteed Notes, 5.50%, 12/1/21 | | | | | 155,250 | | |
| | | 150,000 | | | | NYU Hospitals Center, Secured Notes, 4.78%, 7/1/44 | | | | | 165,050 | | |
| | | 100,000 | | | | Quest Diagnostics, Inc., Senior Unsecured Notes, 3.50%, 3/30/25 | | | | | 101,564 | | |
| | | 100,000 | | | | UnitedHealth Group, Inc., Senior Unsecured Notes, 2.88%, 12/15/21 | | | | | 102,211 | | |
| | | | | | | | | | | | 941,368 | | |
| | | | | | | PHARMACEUTICALS (1.6%) | | ||||||
| | | 200,000 | | | | AbbVie, Inc., Senior Unsecured Notes, 3.60%, 5/14/25 | | | | | 204,013 | | |
| | | 200,000 | | | | Allergan Funding SCS, Guaranteed Notes, 2.45%, 6/15/19 | | | | | 201,214 | | |
| | | 100,000 | | | | AmerisourceBergen Corp., Senior Unsecured Notes, 3.25%, 3/1/25 | | | | | 101,150 | | |
| | | 200,000 | | | | Express Scripts Holding Co., Guaranteed Notes, 4.75%, 11/15/21 | | | | | 216,129 | | |
| | | 100,000 | | | | Shire Acquisitions Investments Ireland DAC, Guaranteed Notes, 2.88%, 9/23/23 | | | | | 99,117 | | |
| | | 200,000 | | | | Teva Pharmaceutical Finance Netherlands III B.V., Guaranteed Notes, 2.20%, 7/21/21 | | | | | 196,332 | | |
| | | | | | | | | | | | 1,017,955 | | |
| | | | | | | | | | | | 4,363,584 | | |
| ENERGY (4.6%) | | ||||||||||||
| | | | | | | OIL & GAS (2.3%) | | ||||||
| | | 250,000 | | | | Chevron Corp., Senior Unsecured Notes, 2.57%, 5/16/23 | | | | | 250,422 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| | | | | | | OIL & GAS (2.3%) (continued) | | ||||||
| | $ | 100,000 | | | | Concho Resources, Inc., Guaranteed Notes, 5.50%, 4/1/23 | | | | $ | 102,750 | | |
| | | 175,000 | | | | Devon Energy Corp., Senior Unsecured Notes, 4.75%, 5/15/42 | | | | | 169,668 | | |
| | | 100,000 | | | | Occidental Petroleum Corp., Senior Unsecured Notes, 3.40%, 4/15/26 | | | | | 100,904 | | |
| | | 126,000 | | | | Occidental Petroleum Corp., Senior Unsecured Notes, 4.63%, 6/15/45 | | | | | 133,568 | | |
| | | 200,000 | | | | Phillips 66, Guaranteed Notes, 4.30%, 4/1/22 | | | | | 214,308 | | |
| | | 125,000 | | | | Shell International Finance B.V., Guaranteed Notes, 2.50%, 9/12/26 | | | | | 119,509 | | |
| | | 125,000 | | | | Tesoro Corp., Guaranteed Notes, 5.13%, 12/15/26(1) | | | | | 136,028 | | |
| | | 200,000 | | | | Valero Energy Corp., Senior Unsecured Notes, 6.63%, 6/15/37 | | | | | 247,020 | | |
| | | | | | | | | | | | 1,474,177 | | |
| | | | | | | PIPELINES (2.3%) | | ||||||
| | | 137,000 | | | | Enbridge, Inc., Senior Unsecured Notes, 3.50%, 6/10/24(3) | | | | | 136,940 | | |
| | | 200,000 | | | | Enterprise Products Operating LLC, Guaranteed Notes, 4.85%, 8/15/42 | | | | | 211,676 | | |
| | | 200,000 | | | | Kinder Morgan Energy Partners L.P., Guaranteed Notes, 2.65%, 2/1/19 | | | | | 201,359 | | |
| | | 150,000 | | | | Magellan Midstream Partners L.P., Senior Unsecured Notes, 4.25%, 9/15/46 | | | | | 146,465 | | |
| | | 250,000 | | | | MPLX L.P., Senior Unsecured Notes, 4.13%, 3/1/27 | | | | | 250,851 | | |
| | | 150,000 | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.88%, 6/30/26 | | | | | 167,646 | | |
| | | 200,000 | | | | Spectra Energy Partners L.P., Senior Unsecured Notes, 4.75%, 3/15/24 | | | | | 214,891 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| | | | | | | PIPELINES (2.3%) (continued) | | ||||||
| | $ | 125,000 | | | | Williams Partners L.P., Senior Unsecured Notes, 3.75%, 6/15/27 | | | | $ | 123,728 | | |
| | | | | | | | | | | | 1,453,556 | | |
| | | | | | | | | | | | 2,927,733 | | |
| FINANCIAL (17.7%) | | ||||||||||||
| | | | | | | BANKS (9.6%) | | ||||||
| | | 300,000 | | | | Australia & New Zealand Banking Group Ltd., Subordinated Notes, 4.50%, 3/19/24(1) | | | | | 313,383 | | |
| | | 150,000 | | | | Banco Bilbao Vizcaya Argentaria S.A., Senior Unsecured Notes, 3.00%, 10/20/20 | | | | | 152,852 | | |
| | | 125,000 | | | | Bancolombia S.A., Senior Unsecured Notes, 5.95%, 6/3/21 | | | | | 138,013 | | |
| | | 250,000 | | | | Bank of America Corp. MTN, Subordinated Notes, 4.20%, 8/26/24 | | | | | 259,526 | | |
| | | 150,000 | | | | Barclays PLC, Senior Unsecured Notes, 4.34%, 1/10/28 | | | | | 154,202 | | |
| | | 100,000 | | | | BPCE S.A., Guaranteed Notes, 2.50%, 12/10/18 | | | | | 100,890 | | |
| | | 100,000 | | | | Canadian Imperial Bank of Commerce, Senior Unsecured Notes, 2.55%, 6/16/22 | | | | | 99,784 | | |
| | | 200,000 | | | | Capital One Financial Corp., Senior Unsecured Notes, 3.75%, 4/24/24 | | | | | 204,366 | | |
| | | 150,000 | | | | Citigroup, Inc., Senior Unsecured Notes, 2.90%, 12/8/21 | | | | | 151,520 | | |
| | | 174,000 | | | | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | | | | | 196,895 | | |
| | | 250,000 | | | | Cooperatieve Rabobank UA, Guaranteed Notes, 3.95%, 11/9/22 | | | | | 261,103 | | |
| | | 150,000 | | | | Credit Agricole S.A., Senior Unsecured Notes, 2.13%, 4/17/18(1) | | | | | 150,424 | | |
| | | 150,000 | | | | Fifth Third Bancorp, Senior Unsecured Notes, 2.88%, 7/27/20 | | | | | 153,117 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| | | | | | | BANKS (9.6%) (continued) | | ||||||
| | $ | 200,000 | | | | Goldman Sachs Group, Inc. (The), Senior Unsecured Notes, 3.75%, 2/25/26 | | | | $ | 203,650 | | |
| | | 150,000 | | | | Goldman Sachs Group, Inc. (The), Subordinated Notes, 6.75%, 10/1/37 | | | | | 194,706 | | |
| | | 250,000 | | | | HSBC Holdings PLC, Senior Unsecured Notes, 4.00%, 3/30/22 | | | | | 263,675 | | |
| | | 250,000 | | | | Huntington Bancshares, Inc., Senior Unsecured Notes, 2.30%, 1/14/22 | | | | | 246,245 | | |
| | | 200,000 | | | | JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26 | | | | | 207,157 | | |
| | | 300,000 | | | | JPMorgan Chase Bank NA, Subordinated Notes, 6.00%, 10/1/17 | | | | | 303,075 | | |
| | | 100,000 | | | | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.75%, 1/11/27 | | | | | 100,396 | | |
| | | 250,000 | | | | Macquarie Bank Ltd., Senior Unsecured Notes, 2.60%, 6/24/19(1) | | | | | 252,114 | | |
| | | 250,000 | | | | Morgan Stanley, Senior Unsecured Notes, 2.80%, 6/16/20 | | | | | 253,635 | | |
| | | 250,000 | | | | PNC Financial Services Group, Inc. (The), Senior Unsecured Notes, 5.13%, 2/8/20(3) | | | | | 268,928 | | |
| | | 200,000 | | | | Santander Holdings USA, Inc., Senior Unsecured Notes, 2.65%, 4/17/20 | | | | | 199,489 | | |
| | | 250,000 | | | | Societe Generale S.A., Senior Unsecured Notes, 5.20%, 4/15/21 | | | | | 274,662 | | |
| | | 300,000 | | | | Standard Chartered PLC, Senior Unsecured Notes, 1.50%, 9/8/17(1) | | | | | 299,841 | | |
| | | 100,000 | | | | UBS AG GMTN, Senior Unsecured Notes, 2.35%, 3/26/20 | | | | | 100,594 | | |
| | | 250,000 | | | | US Bancorp MTN, Subordinated Notes, 3.60%, 9/11/24 | | | | | 259,679 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| | | | | | | BANKS (9.6%) (continued) | | ||||||
| | $ | 350,000 | | | | Wells Fargo & Co., Senior Unsecured Notes, 3.07%, 1/24/23 | | | | $ | 354,903 | | |
| | | | | | | | | | | | 6,118,824 | | |
| | | | | | | DIVERSIFIED FINANCIAL SERVICES (3.4%) | | ||||||
| | | 210,000 | | | | Ally Financial, Inc., Senior Unsecured Notes, 4.13%, 2/13/22 | | | | | 215,250 | | |
| | | 250,000 | | | | American Express Co., Senior Unsecured Notes, 1.76%, 5/22/18(2) | | | | | 250,972 | | |
| | | 150,000 | | | | Ameriprise Financial, Inc., Senior Unsecured Notes, 2.88%, 9/15/26 | | | | | 145,641 | | |
| | | 200,000 | | | | BlackRock, Inc., Series 2, Senior Unsecured Notes, 5.00%, 12/10/19 | | | | | 214,744 | | |
| | | 150,000 | | | | CIT Group, Inc., Senior Unsecured Notes, 5.00%, 8/15/22 | | | | | 161,625 | | |
| | | 250,000 | | | | Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24 | | | | | 253,872 | | |
| | | 200,000 | | | | International Lease Finance Corp., Senior Secured Notes, 7.13%, 9/1/18(1) | | | | | 211,669 | | |
| | | 100,000 | | | | Nomura Holdings, Inc. GMTN, Senior Unsecured Notes, 2.75%, 3/19/19 | | | | | 101,001 | | |
| | | 250,000 | | | | Stifel Financial Corp., Senior Unsecured Notes, 4.25%, 7/18/24 | | | | | 254,520 | | |
| | | 150,000 | | | | Synchrony Financial, Senior Unsecured Notes, 3.00%, 8/15/19 | | | | | 152,115 | | |
| | | 200,000 | | | | Synchrony Financial, Senior Unsecured Notes, 3.75%, 8/15/21 | | | | | 205,425 | | |
| | | | | | | | | | | | 2,166,834 | | |
| | | | | | | INSURANCE (0.8%) | | ||||||
| | | 150,000 | | | | American International Group, Inc., Senior Unsecured Notes, 4.88%, 6/1/22 | | | | | 164,588 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| | | | | | | INSURANCE (0.8%) (continued) | | ||||||
| | $ | 200,000 | | | | CNA Financial Corp., Senior Unsecured Notes, 3.95%, 5/15/24 | | | | $ | 207,461 | | |
| | | 150,000 | | | | XLIT Ltd., Guaranteed Notes, 5.75%, 10/1/21 | | | | | 167,890 | | |
| | | | | | | | | | | | 539,939 | | |
| | | | | | | REITS (3.9%) | | ||||||
| | | 100,000 | | | | American Tower Corp., Senior Unsecured Notes, 3.38%, 10/15/26(3) | | | | | 97,839 | | |
| | | 200,000 | | | | AvalonBay Communities, Inc. GMTN, Senior Unsecured Notes, 3.45%, 6/1/25 | | | | | 203,348 | | |
| | | 200,000 | | | | Boston Properties L.P., Senior Unsecured Notes, 2.75%, 10/1/26 | | | | | 188,834 | | |
| | | 150,000 | | | | Crown Castle International Corp., Senior Unsecured Notes, 4.45%, 2/15/26 | | | | | 159,325 | | |
| | | 200,000 | | | | Digital Realty Trust L.P., Guaranteed Notes, 5.25%, 3/15/21 | | | | | 216,610 | | |
| | | 350,000 | | | | EPR Properties, Guaranteed Notes, 5.25%, 7/15/23 | | | | | 374,136 | | |
| | | 250,000 | | | | Essex Portfolio L.P., Guaranteed Notes, 3.38%, 1/15/23 | | | | | 252,412 | | |
| | | 350,000 | | | | Hospitality Properties Trust, Senior Unsecured Notes, 4.65%, 3/15/24 | | | | | 364,244 | | |
| | | 350,000 | | | | Host Hotels & Resorts L.P., Senior Unsecured Notes, 5.25%, 3/15/22 | | | | | 380,615 | | |
| | | 200,000 | | | | Weyerhaeuser Co., Senior Unsecured Notes, 7.38%, 10/1/19 | | | | | 221,856 | | |
| | | | | | | | | | | | 2,459,219 | | |
| | | | | | | | | | | | 11,284,816 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| INDUSTRIAL (2.4%) | | ||||||||||||
| | | | | | | BUILDING MATERIALS (0.3%) | | ||||||
| | $ | 33,000 | | | | Masco Corp., Senior Unsecured Notes, 7.13%, 3/15/20 | | | | $ | 36,995 | | |
| | | 150,000 | | | | Owens Corning, Guaranteed Notes, 3.40%, 8/15/26 | | | | | 147,766 | | |
| | | | | | | | | | | | 184,761 | | |
| | | | | | | ELECTRONICS (0.3%) | | ||||||
| | | 100,000 | | | | Allegion PLC, Guaranteed Notes, 5.88%, 9/15/23 | | | | | 107,250 | | |
| | | 100,000 | | | | Amphenol Corp., Senior Unsecured Notes, 4.00%, 2/1/22 | | | | | 105,944 | | |
| | | | | | | | | | | | 213,194 | | |
| | | | | | | MACHINERY DIVERSIFIED (0.3%) | | ||||||
| | | 200,000 | | | | Briggs & Stratton Corp., Guaranteed Notes, 6.88%, 12/15/20 | | | | | 220,500 | | |
| | | | | | | MISCELLANEOUS MANUFACTURER (0.3%) | | ||||||
| | | 200,000 | | | | Textron, Inc., Senior Unsecured Notes, 3.88%, 3/1/25 | | | | | 205,445 | | |
| | | | | | | PACKAGING & CONTAINERS (0.5%) | | ||||||
| | | 150,000 | | | | Ball Corp., Guaranteed Notes, 5.25%, 7/1/25(3) | | | | | 165,562 | | |
| | | 150,000 | | | | Packaging Corp. of America, Senior Unsecured Notes, 3.65%, 9/15/24 | | | | | 152,955 | | |
| | | | | | | | | | | | 318,517 | | |
| | | | | | | TRANSPORTATION (0.7%) | | ||||||
| | | 250,000 | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes, 3.05%, 3/15/22 | | | | | 258,189 | | |
| | | 150,000 | | | | FedEx Corp., Guaranteed Notes, 4.55%, 4/1/46 | | | | | 157,564 | | |
| | | | | | | | | | | | 415,753 | | |
| | | | | | | | | | | | 1,558,170 | | |
| TECHNOLOGY (1.2%) | | ||||||||||||
| | | | | | | SEMICONDUCTORS (0.5%) | | ||||||
| | | 100,000 | | | | Intel Corp., Senior Unsecured Notes, 4.25%, 12/15/42 | | | | | 105,811 | | |
| | | 100,000 | | | | Intel Corp., Senior Unsecured Notes, 4.10%, 5/11/47 | | | | | 103,524 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| | | | | | | SEMICONDUCTORS (0.5%) (continued) | | ||||||
| | $ | 100,000 | | | | QUALCOMM, Inc., Senior Unsecured Notes, 3.45%, 5/20/25 | | | | $ | 102,785 | | |
| | | | | | | | | | | | 312,120 | | |
| | | | | | | SOFTWARE (0.7%) | | ||||||
| | | 150,000 | | | | Cadence Design Systems, Inc., Senior Unsecured Notes, 4.38%, 10/15/24 | | | | | 155,809 | | |
| | | 150,000 | | | | Microsoft Corp., Senior Unsecured Notes, 2.40%, 8/8/26 | | | | | 144,357 | | |
| | | 150,000 | | | | Microsoft Corp., Senior Unsecured Notes, 4.45%, 11/3/45 | | | | | 166,901 | | |
| | | | | | | | | | | | 467,067 | | |
| | | | | | | | | | | | 779,187 | | |
| UTILITIES (3.5%) | | ||||||||||||
| | | | | | | ELECTRIC (3.2%) | | ||||||
| | | 100,000 | | | | Consolidated Edison Co. of New York, Inc., Senior Unsecured Notes, 4.50%, 12/1/45 | | | | | 110,022 | | |
| | | 200,000 | | | | Consumers Energy Co., 3.13%, 8/31/24 | | | | | 202,753 | | |
| | | 150,000 | | | | Exelon Corp., Senior Unsecured Notes, 4.45%, 4/15/46 | | | | | 155,029 | | |
| | | 150,000 | | | | Exelon Generation Co. LLC, Senior Unsecured Notes, 5.20%, 10/1/19 | | | | | 159,324 | | |
| | | 100,000 | | | | FirstEnergy Corp., Series A, Senior Unsecured Notes, 2.85%, 7/15/22 | | | | | 99,905 | | |
| | | 380,000 | | | | Florida Power & Light Co., 4.95%, 6/1/35 | | | | | 440,527 | | |
| | | 200,000 | | | | ITC Holdings Corp., Senior Unsecured Notes, 3.25%, 6/30/26 | | | | | 196,737 | | |
| | | 100,000 | | | | Pacific Gas & Electric Co., Senior Unsecured Notes, 2.95%, 3/1/26 | | | | | 99,307 | | |
| | | 100,000 | | | | PSEG Power LLC, Guaranteed Notes, 3.00%, 6/15/21(3) | | | | | 101,537 | | |
| | | 150,000 | | | | PSEG Power LLC, Guaranteed Notes, 4.30%, 11/15/23(3) | | | | | 158,103 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (48.2%) (continued) | | ||||||||||||
| | | | | | | ELECTRIC (3.2%) (continued) | | ||||||
| | $ | 125,000 | | | | Southern Co. (The), Senior Unsecured Notes, 2.75%, 6/15/20 | | | | $ | 126,454 | | |
| | | 200,000 | | | | Southern Co. (The), Senior Unsecured Notes, 2.95%, 7/1/23 | | | | | 198,718 | | |
| | | | | | | | | | | | 2,048,416 | | |
| | | | | | | GAS (0.3%) | | ||||||
| | | 150,000 | | | | National Fuel Gas Co., Senior Unsecured Notes, 5.20%, 7/15/25 | | | | | 159,753 | | |
| | | | | | | | | | | | 2,208,169 | | |
| TOTAL CORPORATE BONDS & NOTES (Cost $29,966,454) (48.2%) | | | | | 30,759,287 | | | ||||||
| FOREIGN GOVERNMENT OBLIGATIONS (1.6%) | | ||||||||||||
| | | 125,000 | | | | Indonesia Government International Bond, Senior Unsecured Notes, 4.13%, 1/15/25(1) | | | | | 128,885 | | |
| | | 300,000 | | | | Mexico Government International Bond, Senior Unsecured Notes, 4.15%, 3/28/27 | | | | | 310,650 | | |
| | | 150,000 | | | | Panama Government International Bond, Senior Unsecured Notes, 4.00%, 9/22/24 | | | | | 157,500 | | |
| | | 150,000 | | | | Petroleos Mexicanos, Guaranteed Notes, 6.75%, 9/21/47 | | | | | 151,482 | | |
| | | 250,000 | | | | Republic of Poland Government International Bond, Senior Unsecured Notes, 4.00%, 1/22/24 | | | | | 267,376 | | |
| TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $983,854) (1.6%) | | | | | 1,015,893 | | | ||||||
| LONG-TERM MUNICIPAL SECURITIES (2.6%) | | ||||||||||||
| | | | | | | CALIFORNIA (0.7%) | | ||||||
| | | 125,000 | | | | Los Angeles Unified School District, General Obligation Unlimited, Qualified School Construction Bonds, Series J-1, 5.98%, 5/1/27 | | | | | 154,289 | | |
| | | 85,000 | | | | University of California, Taxable General Revenue Bonds, Series AG, 4.06%, 5/15/33 | | | | | 88,281 | | |
| Principal Amount | | | | | | Value | | ||||||
| LONG-TERM MUNICIPAL SECURITIES (2.6%) (continued) | | ||||||||||||
| | | | | | | CALIFORNIA (0.7%) (continued) | | ||||||
| | $ | 200,000 | | | | California Educational Facilities Authority, Revenue Bonds, Loyola Marymount University, Series A, 2.96%, 10/1/21 | | | | $ | 205,204 | | |
| | | | | | | | | | | | 447,774 | | |
| | | | | | | NEW YORK (0.5%) | | ||||||
| | | 300,000 | | | | City of New York, General Obligation Unlimited, Subser. D2, 2.60%, 8/1/20 | | | | | 305,517 | | |
| | | | | | | TEXAS (1.2%) | | ||||||
| | | 500,000 | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Healthcare System Project, Series C, 4.45%, 11/15/43 | | | | | 506,195 | | |
| | | 250,000 | | | | Dallas Independent School District Qualified School Construction Notes, General Obligation Limited, 5.05%, 8/15/33 | | | | | 282,485 | | |
| | | | | | | | | | | | 788,680 | | |
| | | | | | | VIRGINIA (0.2%) | | ||||||
| | | 100,000 | | | | City of Norfolk, Taxable Build America Bonds, General Obligation Unlimited, Series B, 5.91%, 3/1/29 | | | | | 123,731 | | |
| TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $1,597,109) (2.6%) | | | | | 1,665,702 | | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (21.7%) | | ||||||||||||
| | | 63,762 | | | | FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35 | | | | | 69,215 | | |
| | | 38,333 | | | | FHLMC Gold PC Pool #A29633, 5.00%, 1/1/35 | | | | | 41,611 | | |
| | | 17,154 | | | | FHLMC Gold PC Pool #A56491, 5.00%, 1/1/37 | | | | | 18,652 | | |
| | | 433,152 | | | | FHLMC Gold PC Pool #A95803, 4.00%, 12/1/40 | | | | | 459,058 | | |
| | | 91,300 | | | | FHLMC Gold PC Pool #A97264, 4.00%, 2/1/41 | | | | | 96,410 | | |
| | | 7,529 | | | | FHLMC Gold PC Pool #B12822, 5.00%, 3/1/19 | | | | | 7,721 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (21.7%) (continued) | | ||||||||||||
| | $ | 2,344 | | | | FHLMC Gold PC Pool #B17398, 4.50%, 12/1/19 | | | | $ | 2,398 | | |
| | | 12,136 | | | | FHLMC Gold PC Pool #B18034, 4.50%, 4/1/20 | | | | | 12,405 | | |
| | | 65,174 | | | | FHLMC Gold PC Pool #C09004, 3.50%, 7/1/42 | | | | | 67,250 | | |
| | | 12,486 | | | | FHLMC Gold PC Pool #C91413, 3.50%, 12/1/31 | | | | | 13,036 | | |
| | | 300,112 | | | | FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34 | | | | | 318,975 | | |
| | | 65 | | | | FHLMC Gold PC Pool #E92226, 5.00%, 11/1/17 | | | | | 66 | | |
| | | 144 | | | | FHLMC Gold PC Pool #E92829, 5.00%, 12/1/17 | | | | | 148 | | |
| | | 1,361 | | | | FHLMC Gold PC Pool #E93499, 5.00%, 12/1/17 | | | | | 1,396 | | |
| | | 523 | | | | FHLMC Gold PC Pool #E98960, 5.00%, 9/1/18 | | | | | 537 | | |
| | | 153,586 | | | | FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41 | | | | | 158,500 | | |
| | | 1,914 | | | | FHLMC Gold PC Pool #G11986, 5.00%, 4/1/21 | | | | | 2,004 | | |
| | | 2,592 | | | | FHLMC Gold PC Pool #G12319, 5.00%, 6/1/21 | | | | | 2,710 | | |
| | | 3,220 | | | | FHLMC Gold PC Pool #J00118, 5.00%, 10/1/20 | | | | | 3,302 | | |
| | | 56,682 | | | | FHLMC Gold PC Pool #J00139, 5.00%, 10/1/20 | | | | | 58,126 | | |
| | | 11,595 | | | | FHLMC Gold PC Pool #J03233, 5.00%, 8/1/21 | | | | | 11,957 | | |
| | | 167,407 | | | | FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25 | | | | | 176,954 | | |
| | | 18,189 | | | | FHLMC Gold PC Pool #Q01181, 4.50%, 6/1/41 | | | | | 19,557 | | |
| | | 79,334 | | | | FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42 | | | | | 81,861 | | |
| | | 101,597 | | | | FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42 | | | | | 107,030 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (21.7%) (continued) | | ||||||||||||
| | $ | 132,894 | | | | FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42 | | | | $ | 137,126 | | |
| | | 332,378 | | | | FHLMC Gold PC Pool #Q11556, 3.00%, 10/1/42 | | | | | 333,444 | | |
| | | 324,134 | | | | FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43 | | | | �� | 325,240 | | |
| | | 250,000 | | | | FNMA, 2.63%, 9/6/24 | | | | | 256,492 | | |
| | | 540,000 | | | | FNMA, 1.88%, 9/24/26 | | | | | 511,998 | | |
| | | 9,158 | | | | FNMA Pool #254383, 7.50%, 6/1/32 | | | | | 10,831 | | |
| | | 3,054 | | | | FNMA Pool #254684, 5.00%, 3/1/18 | | | | | 3,127 | | |
| | | 43,780 | | | | FNMA Pool #255496, 5.00%, 11/1/34 | | | | | 48,026 | | |
| | | 3,771 | | | | FNMA Pool #255580, 5.50%, 2/1/35 | | | | | 4,227 | | |
| | | 2,726 | | | | FNMA Pool #258149, 5.50%, 9/1/34 | | | | | 3,017 | | |
| | | 18,408 | | | | FNMA Pool #412682, 6.00%, 3/1/28 | | | | | 20,847 | | |
| | | 148 | | | | FNMA Pool #568625, 7.50%, 1/1/31 | | | | | 151 | | |
| | | 27,219 | | | | FNMA Pool #571090, 7.50%, 1/1/31 | | | | | 27,526 | | |
| | | 834 | | | | FNMA Pool #573935, 7.50%, 3/1/31 | | | | | 849 | | |
| | | 80,347 | | | | FNMA Pool #626440, 7.50%, 2/1/32 | | | | | 90,115 | | |
| | | 1,011 | | | | FNMA Pool #685183, 5.00%, 3/1/18 | | | | | 1,035 | | |
| | | 589 | | | | FNMA Pool #688539, 5.50%, 3/1/33 | | | | | 655 | | |
| | | 2,876 | | | | FNMA Pool #703936, 5.00%, 5/1/18 | | | | | 2,945 | | |
| | | 45,476 | | | | FNMA Pool #735224, 5.50%, 2/1/35 | | | | | 50,934 | | |
| | | 2,185 | | | | FNMA Pool #769682, 5.00%, 3/1/34 | | | | | 2,398 | | |
| | | 726 | | | | FNMA Pool #778141, 5.00%, 5/1/34 | | | | | 793 | | |
| | | 565 | | | | FNMA Pool #789150, 5.00%, 10/1/34 | | | | | 616 | | |
| | | 5,425 | | | | FNMA Pool #910242, 5.00%, 3/1/37 | | | | | 5,923 | | |
| | | 68,828 | | | | FNMA Pool #919584, 6.00%, 6/1/37 | | | | | 77,516 | | |
| | | 27,302 | | | | FNMA Pool #975116, 5.00%, 5/1/38 | | | | | 29,806 | | |
| | | 10,491 | | | | FNMA Pool #AA2531, 4.50%, 3/1/39 | | | | | 11,276 | | |
| | | 43,904 | | | | FNMA Pool #AB2053, 3.50%, 1/1/26 | | | | | 45,710 | | |
| | | 213,347 | | | | FNMA Pool #AB2346, 4.50%, 2/1/41 | | | | | 230,369 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (21.7%) (continued) | | ||||||||||||
| | $ | 170,280 | | | | FNMA Pool #AB5231, 2.50%, 5/1/27 | | | | $ | 172,301 | | |
| | | 200,433 | | | | FNMA Pool #AB5716, 3.00%, 7/1/27 | | | | | 206,259 | | |
| | | 321,124 | | | | FNMA Pool #AB8144, 5.00%, 4/1/37 | | | | | 352,303 | | |
| | | 17,271 | | | | FNMA Pool #AD1035, 4.50%, 2/1/40 | | | | | 18,648 | | |
| | | 73,017 | | | | FNMA Pool #AD8536, 5.00%, 8/1/40 | | | | | 79,829 | | |
| | | 116,075 | | | | FNMA Pool #AE1853, 4.00%, 8/1/40 | | | | | 122,555 | | |
| | | 71,563 | | | | FNMA Pool #AH3226, 5.00%, 2/1/41 | | | | | 78,213 | | |
| | | 89,717 | | | | FNMA Pool #AH8932, 4.50%, 4/1/41 | | | | | 97,052 | | |
| | | 28,679 | | | | FNMA Pool #AI0620, 4.50%, 5/1/41 | | | | | 30,995 | | |
| | | 180,370 | | | | FNMA Pool #AI4285, 5.00%, 6/1/41 | | | | | 197,340 | | |
| | | 149,693 | | | | FNMA Pool #AJ5888, 4.50%, 11/1/41 | | | | | 161,656 | | |
| | | 41,048 | | | | FNMA Pool #AJ9278, 3.50%, 12/1/41 | | | | | 42,356 | | |
| | | 94,910 | | | | FNMA Pool #AL3272, 5.00%, 2/1/25 | | | | | 103,613 | | |
| | | 4,509 | | | | FNMA Pool #AL5259, 3.50%, 5/1/29 | | | | | 4,695 | | |
| | | 265,056 | | | | FNMA Pool #AQ0287, 3.00%, 10/1/42 | | | | | 266,180 | | |
| | | 95,565 | | | | FNMA Pool #AR2174, 3.00%, 4/1/43 | | | | | 95,961 | | |
| | | 385,295 | | | | FNMA Pool #AR6394, 3.00%, 2/1/43 | | | | | 386,919 | | |
| | | 94,437 | | | | FNMA Pool #AS3155, 4.00%, 8/1/44 | | | | | 99,321 | | |
| | | 69,553 | | | | FNMA Pool #AS3157, 4.00%, 8/1/44 | | | | | 73,150 | | |
| | | 105,698 | | | | FNMA Pool #AS4177, 4.50%, 12/1/44 | | | | | 113,416 | | |
| | | 407,229 | | | | FNMA Pool #AS5892, 3.50%, 10/1/45 | | | | | 418,509 | | |
| | | 491,910 | | | | FNMA Pool #AS5906, 3.50%, 10/1/45 | | | | | 505,535 | | |
| | | 129,148 | | | | FNMA Pool #AS6102, 3.50%, 11/1/45 | | | | | 132,726 | | |
| | | 230,453 | | | | FNMA Pool #AS6205, 3.50%, 11/1/45 | | | | | 236,836 | | |
| | | 204,293 | | | | FNMA Pool #AS6385, 4.00%, 12/1/45 | | | | | 214,858 | | |
| | | 246,312 | | | | FNMA Pool #AU1847, 3.00%, 9/1/43 | | | | | 247,280 | | |
| | | 125,071 | | | | FNMA Pool #AU2135, 2.50%, 8/1/28 | | | | | 126,512 | | |
| | | 225,161 | | | | FNMA Pool #AU4279, 3.00%, 9/1/43 | | | | | 226,058 | | |
| | | 107,578 | | | | FNMA Pool #AU4290, 4.00%, 9/1/43 | | | | | 113,231 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (21.7%) (continued) | | ||||||||||||
| | $ | 317,247 | | | | FNMA Pool #AV0703, 4.00%, 12/1/43 | | | | $ | 333,812 | | |
| | | 385,119 | | | | FNMA Pool #AW5055, 3.50%, 7/1/44 | | | | | 397,386 | | |
| | | 115,141 | | | | FNMA Pool #AW6645, 3.00%, 6/1/29 | | | | | 118,258 | | |
| | | 131,364 | | | | FNMA Pool #AW7362, 2.50%, 8/1/29 | | | | | 132,512 | | |
| | | 260,124 | | | | FNMA Pool #AX0416, 4.00%, 8/1/44 | | | | | 273,576 | | |
| | | 232,797 | | | | FNMA Pool #AX1138, 3.50%, 9/1/44 | | | | | 239,245 | | |
| | | 187,552 | | | | FNMA Pool #AX9013, 3.50%, 2/1/45 | | | | | 192,747 | | |
| | | 210,260 | | | | FNMA Pool #AY1670, 3.50%, 2/1/45 | | | | | 216,084 | | |
| | | 204,303 | | | | FNMA Pool #AY2728, 2.50%, 2/1/30 | | | | | 206,093 | | |
| | | 229,431 | | | | FNMA Pool #AY4195, 4.00%, 5/1/45 | | | | | 241,296 | | |
| | | 77,578 | | | | FNMA Pool #AZ7793, 3.50%, 8/1/45 | | | | | 79,727 | | |
| | | 239,090 | | | | FNMA Pool #BA3885, 3.50%, 11/1/45 | | | | | 245,712 | | |
| | | 284,404 | | | | FNMA Pool #BC4443, 3.50%, 4/1/46 | | | | | 292,282 | | |
| | | 97,036 | | | | FNMA Pool #BC9708, 3.00%, 10/1/46 | | | | | 96,974 | | |
| | | 241,795 | | | | FNMA Pool #BD8213, 3.00%, 9/1/46 | | | | | 241,639 | | |
| | | 243,017 | | | | FNMA Pool #MA0641, 4.00%, 2/1/31 | | | | | 257,701 | | |
| | | 495,578 | | | | FNMA Pool #MA1107, 3.50%, 7/1/32 | | | | | 517,595 | | |
| | | 104,031 | | | | FNMA REMIC Trust Series 2013-18, Class AE, 2.00%, 3/25/28 | | | | | 103,100 | | |
| | | 161,258 | | | | GNMA, Series 2011-136, Class GB, 2.50%, 5/20/40 | | | | | 161,950 | | |
| | | 1,129 | | | | GNMA I Pool #429786, 6.00%, 12/15/33 | | | | | 1,291 | | |
| | | 28,189 | | | | GNMA I Pool #548880, 6.00%, 12/15/31 | | | | | 31,777 | | |
| | | 13,233 | | | | GNMA I Pool #551762, 6.00%, 4/15/32 | | | | | 14,917 | | |
| | | 2,776 | | | | GNMA I Pool #557681, 6.00%, 8/15/31 | | | | | 3,129 | | |
| | | 10,809 | | | | GNMA I Pool #582415, 6.00%, 11/15/32 | | | | | 12,314 | | |
| | | 31,759 | | | | GNMA I Pool #583008, 5.50%, 6/15/34 | | | | | 35,756 | | |
| | | 21,117 | | | | GNMA I Pool #605025, 6.00%, 2/15/34 | | | | | 23,806 | | |
| | | 16,650 | | | | GNMA I Pool #605245, 5.50%, 6/15/34 | | | | | 18,614 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (21.7%) (continued) | | ||||||||||||
| | $ | 29,551 | | | | GNMA I Pool #622603, 6.00%, 11/15/33 | | | | $ | 33,451 | | |
| | | 4,283 | | | | GNMA I Pool #626480, 6.00%, 2/15/34 | | | | | 4,922 | | |
| | | 7,975 | | | | GNMA II Pool #3645, 4.50%, 12/20/19 | | | | | 8,033 | | |
| | | 143,125 | | | | GNMA II Pool #5332, 4.00%, 3/20/42 | | | | | 151,387 | | |
| | | 144,289 | | | | GNMA II Pool #MA1520, 3.00%, 12/20/43 | | | | | 146,304 | | |
| | | 106,667 | | | | GNMA II Pool #MA2445, 3.50%, 12/20/44 | | | | | 110,658 | | |
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $13,856,003) (21.7%) | | | | | 13,832,226 | | | ||||||
| U.S. TREASURY OBLIGATIONS (12.8%) | | ||||||||||||
| | | | | | | U.S. TREASURY NOTES & BONDS (12.8%) | | ||||||
| | | 200,000 | | | | U.S. Treasury Bonds, 7.88%, 2/15/21 | | | | | 243,258 | | |
| | | 35,000 | | | | U.S. Treasury Bonds, 5.50%, 8/15/28 | | | | | 45,764 | | |
| | | 50,000 | | | | U.S. Treasury Bonds, 5.25%, 11/15/28 | | | | | 64,367 | | |
| | | 370,000 | | | | U.S. Treasury Bonds, 4.38%, 2/15/38 | | | | | 471,418 | | |
| | | 300,000 | | | | U.S. Treasury Bonds, 4.38%, 5/15/40 | | | | | 382,875 | | |
| | | 400,000 | | | | U.S. Treasury Bonds, 3.63%, 8/15/43 | | | | | 460,156 | | |
| | | 430,000 | | | | U.S. Treasury Bonds, 3.38%, 5/15/44 | | | | | 475,033 | | |
| | | 220,000 | | | | U.S. Treasury Bonds, 2.50%, 2/15/45 | | | | | 205,313 | | |
| | | 280,000 | | | | U.S. Treasury Bonds, 2.50%, 2/15/46 | | | | | 260,619 | | |
| | | 407,000 | | | | U.S. Treasury Bonds, 2.50%, 5/15/46 | | | | | 378,653 | | |
| | | 50,000 | | | | U.S. Treasury Bonds, 2.88%, 11/15/46 | | | | | 50,275 | | |
| | | 307,970 | | | | U.S. Treasury Bonds TIPS, 2.00%, 1/15/26 | | | | | 345,114 | | |
| | | 50,000 | | | | U.S. Treasury Notes, 0.75%, 12/31/17 | | | | | 49,900 | | |
| | | 250,000 | | | | U.S. Treasury Notes, 1.00%, 2/15/18 | | | | | 249,649 | | |
| | | 250,000 | | | | U.S. Treasury Notes, 3.13%, 5/15/19 | | | | | 258,066 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 1.63%, 6/30/19 | | | | | 200,891 | | |
| | | 100,000 | | | | U.S. Treasury Notes, 1.38%, 12/15/19 | | | | | 99,789 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 1.63%, 12/31/19 | | | | | 200,750 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 1.25%, 1/31/20 | | | | | 198,773 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. TREASURY OBLIGATIONS (12.8%) (continued) | | ||||||||||||
| | | | | | | U.S. TREASURY NOTES & BONDS (12.8%) (continued) | | ||||||
| | $ | 450,000 | | | | U.S. Treasury Notes, 1.38%, 3/31/20 | | | | $ | 448,330 | | |
| | | 150,000 | | | | U.S. Treasury Notes, 1.13%, 4/30/20 | | | | | 148,348 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 2.25%, 4/30/21 | | | | | 203,883 | | |
| | | 400,000 | | | | U.S. Treasury Notes, 2.13%, 6/30/21 | | | | | 405,750 | | |
| | | 100,000 | | | | U.S. Treasury Notes, 2.00%, 10/31/21 | | | | | 100,801 | | |
| | | 665,000 | | | | U.S. Treasury Notes, 1.50%, 1/31/22 | | | | | 654,921 | | |
| | | 150,000 | | | | U.S. Treasury Notes, 1.75%, 2/28/22 | | | | | 149,361 | | |
| | | 50,000 | | | | U.S. Treasury Notes, 1.88%, 5/31/22 | | | | | 49,998 | | |
| | | 300,000 | | | | U.S. Treasury Notes, 1.38%, 6/30/23 | | | | | 288,832 | | |
| | | 150,000 | | | | U.S. Treasury Notes, 2.75%, 2/15/24 | | | | | 156,070 | | |
| | | 300,000 | | | | U.S. Treasury Notes, 2.00%, 4/30/24 | | | | | 297,762 | | |
| | | 150,000 | | | | U.S. Treasury Notes, 2.25%, 11/15/24 | | | | | 150,826 | | |
| | | 50,000 | | | | U.S. Treasury Notes, 2.13%, 5/15/25 | | | | | 49,686 | | |
| | | 100,000 | | | | U.S. Treasury Notes, 1.63%, 5/15/26 | | | | | 94,805 | | |
| | | 350,000 | | | | U.S. Treasury Notes, 2.38%, 5/15/27 | | | | | 352,215 | | |
| TOTAL U.S. TREASURY NOTES & BONDS (Cost $8,152,597) (12.8%) | | | | | 8,192,251 | | | ||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $8,152,597) (12.8%) | | | | | 8,192,251 | | |
| Shares | | | | | | Value | | ||||||
| SHORT-TERM INVESTMENTS (2.6%) | | ||||||||||||
| | | | | | | MONEY MARKET FUNDS (2.6%) | | ||||||
| | | 839,245 | | | | State Street Institutional U.S. Government Money Market Fund, Premier Class | | | | | 839,245 | | |
| | | 823,565 | | | | State Street Navigator Securities Lending Government Money Market Portfolio(4) | | | | | 823,565 | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $1,662,810) (2.6%) | | | | | 1,662,810 | | | ||||||
| TOTAL INVESTMENT SECURITIES (100.8%) (Cost $63,549,553) | | | | $ | 64,345,708 | | | ||||||
| EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (-0.8%) | | | | | (489,211) | | | ||||||
| NET ASSETS (100%) | | | | $ | 63,856,497 | | |
Investments in Securities: | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | ||||||||||||||||||||
Asset-Backed Securities | | | | $ | — | | | | | $ | 2,647,757 | | | | | $ | — | | | | | $ | 2,647,757 | | |
Commercial Mortgage-Backed Securities | | | | | — | | | | | | 4,569,782 | | | | | | — | | | | | | 4,569,782 | | |
Corporate Bonds & Notes* | | | | | — | | | | | | 30,759,287 | | | | | | — | | | | | | 30,759,287 | | |
Foreign Government Obligations | | | | | — | | | | | | 1,015,893 | | | | | | — | | | | | | 1,015,893 | | |
Long-Term Municipal Securities* | | | | | — | | | | | | 1,665,702 | | | | | | — | | | | | | 1,665,702 | | |
U.S. Government Agency Obligations | | | | | — | | | | | | 13,832,226 | | | | | | — | | | | | | 13,832,226 | | |
U.S. Treasury Obligations | | | | | — | | | | | | 8,192,251 | | | | | | — | | | | | | 8,192,251 | | |
Short-Term Investments | | | | | 1,662,810 | | | | | | — | | | | | | — | | | | | | 1,662,810 | | |
Total Investments in Securities | | | | $ | 1,662,810 | | | | | $ | 62,682,898 | | | | | $ | — | | | | | $ | 64,345,708 | | |
Portfolio Highlights at June 30, 2017 (unaudited)
Issue | | | Principal Amount | | | Value | | | Percentage of Net Assets | | |||||||||
New Jersey State Educational Facilities Authority Revenue, Revenue Bonds, Princeton University, Ser. B, 5.00%, 7/1/35 | | | | $ | 1,000,000 | | | | | $ | 1,130,290 | | | | | | 2.0% | | |
Valdosta & Lowndes County Hospital Authority, Revenue Bonds, South Medical Center Project, Ser. B, County Guaranteed Insured, 5.00%, 10/1/41 | | | | | 630,000 | | | | | | 685,705 | | | | | | 1.2% | | |
Massachusetts Health & Educational Facilities Authority Revenue, Revenue Bonds, Tufts University, Ser. M, 5.50%, 2/15/27 | | | | | 500,000 | | | | | | 644,420 | | | | | | 1.1% | | |
California State, General Obligation Unlimited, 5.00%, 2/1/38 | | | | | 565,000 | | | | | | 636,275 | | | | | | 1.1% | | |
Pennsylvania Higher Educational Facilities Authority, State System of Higher Education, Revenue Bonds, Ser. AS, 5.00%, 6/15/28 | | | | | 500,000 | | | | | | 592,390 | | | | | | 1.0% | | |
Delaware River Pennsylvania, Joint Toll Bridge Commission, Revenue Bonds, 5.00%, 7/1/36 | | | | | 500,000 | | | | | | 583,510 | | | | | | 1.0% | | |
Metropolitan Transportation Authority, New York, Revenue Bonds, Subser. C-1, 5.00%, 11/15/34 | | | | | 500,000 | | | | | | 579,980 | | | | | | 1.0% | | |
California State Public Works Board, Revenue Bonds, Department of Corrections and Rehabilitation, 5.00%, 6/1/27 | | | | | 500,000 | | | | | | 576,610 | | | | | | 1.0% | | |
University of Colorado, Enterprise Revenue Bonds, 5.00%, 6/1/30 | | | | | 500,000 | | | | | | 571,700 | | | | | | 1.0% | | |
Massachusetts Development Finance Agency, Harvard University, Revenue Bonds, Ser. B-2, 5.25%, 2/1/34 | | | | | 500,000 | | | | | | 571,430 | | | | | | 1.0% | | |
Total | | | | | | | | | | | | | | | | | 11.4% | | |
![[MISSING IMAGE: t1702192_pie-vltef.jpg]](https://capedge.com/proxy/N-CSRS/0001144204-17-047280/t1702192_pie-vltef.jpg)
![[MISSING IMAGE: t1702192_bar-vltef.jpg]](https://capedge.com/proxy/N-CSRS/0001144204-17-047280/t1702192_bar-vltef.jpg)
June 30, 2017
| | | Percentage of Fund’s Investments | | |||
Aaa/AAA | | | | | 10.9% | | |
Aa1/AA+ | | | | | 19.8% | | |
Aa2/AA | | | | | 19.5% | | |
Aa3/AA- | | | | | 16.0% | | |
A1/A+ | | | | | 10.6% | | |
A2/A | | | | | 9.2% | | |
A3/A- | | | | | 1.7% | | |
Baa1 | | | | | 1.9% | | |
NR | | | | | 7.9% | | |
Total Investments | | | | | 97.5% | | |
Cash and other assets in excess of liabilities | | | | | 2.5% | | |
Total Net Assets | | | | | 100.0% | | |
Schedule of Investments (unaudited)
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.5%) | | | |||||||||||||||||
| | | | | | | ALABAMA (0.6%) | | ||||||||||||
| | $ | 310,000 | | | | University of Alabama (The), Revenue Bonds, Ser. A, 4.50%, 10/1/40 | | | | | Aa2 | | | | | $ | 333,241 | | |
| | | | | | | ARIZONA (1.1%) | | ||||||||||||
| | | 150,000 | | | | Arizona State Transportation Board Highway Revenue, Revenue Bonds, Ser. A, 5.00%, 7/1/38 | | | | | Aa2 | | | | | | 171,093 | | |
| | | 250,000 | | | | City of Scottsdale Arizona, General Obligation Unlimited, Project 2004-Preserve Acquisition, 3.00%, 7/1/30 | | | | | Aaa | | | | | | 254,840 | | |
| | | 200,000 | | | | Yuma Municipal Property Corp., Revenue Bonds, Senior Lien, 5.00%, 7/1/27 | | | | | A1 | | | | | | 239,430 | | |
| | | | | | | | | | | | | | | | | | 665,363 | | |
| | | | | | | ARKANSAS (0.9%) | | ||||||||||||
| | | 500,000 | | | | Arkansas State Water, Waste Disposal and Pollution, General Obligation Unlimited, Extraordinary Redemption Provision, Ser. A, 4.00%, 7/1/26 | | | | | Aa1 | | | | | | 540,705 | | |
| | | | | | | CALIFORNIA (16.4%) | | ||||||||||||
| | | 40,000 | | | | Bay Area Toll Authority, Toll Bridge Revenue Bonds, Ser. F-1, 5.00%, 4/1/56 | | | | | Aa3 | | | | | | 45,809 | | |
| | | 150,000 | | | | Berkeley Joint Powers Financing Authority, Revenue Bonds, 5.00%, 10/1/20 | | | | | AA* | | | | | | 166,350 | | |
| | | 150,000 | | | | California Educational Facilities Authority Stanford University, Revenue Bonds, 5.25%, 4/1/40 | | | | | Aaa | | | | | | 201,472 | | |
| | | 100,000 | | | | California Educational Facilities Authority, Revenue Bonds, Pepperdine University, 5.00%, 9/1/33 | | | | | Aa3 | | | | | | 115,192 | | |
| | | 250,000 | | | | California Health Facilities Financing Authority, Revenue Bonds, Lucile Packard Children’s Hospital, Ser. B, 5.00%, 8/15/26 | | | | | Aa3 | | | | | | 287,297 | | |
| | | 270,000 | | | | California Health Facilities Financing Authority, Revenue Bonds, Scripps Health, Ser. A, 4.50%, 11/15/35 | | | | | Aa3 | | | | | | 290,382 | | |
| | | 45,000 | | | | California State Department of Water Resources Center Valley Project Water System, Unrefunding Revenue Bonds, Ser. AG, 4.38%, 12/1/29 | | | | | Aa1 | | | | | | 48,303 | | |
| | | | | | | California State Public Works Board, Revenue Bonds: | | | | ||||||||||
| | | 500,000 | | | | Department of Corrections and Rehabilitation, 5.00%, 6/1/27 | | | | | A1 | | | | | | 576,610 | | |
| | | 200,000 | | | | Ser. H, 5.00%, 12/1/24 | | | | | A1 | | | | | | 243,200 | | |
| | | 150,000 | | | | California State University Systemwide, Revenue Bonds, Ser. A, 5.00%, 11/1/34 | | | | | Aa2 | | | | | | 179,193 | | |
| | | | | | | California State, General Obligation Unlimited: | | | | ||||||||||
| | | 565,000 | | | | 5.00%, 2/1/38 | | | | | Aa3 | | | | | | 636,275 | | |
| | | 500,000 | | | | 5.25%, 11/1/40 | | | | | Aa3 | | | | | | 562,660 | | |
| | | 250,000 | | | | City of Pasadena, California Certificate of Participation, Ser. C, 4.75%, 2/1/38 | | | | | AA+* | | | | | | 255,702 | | |
| | | 250,000 | | | | Cupertino Union School District, General Obligation Unlimited, Election 2012, Ser. C, 4.00%, 8/1/40 | | | | | Aa1 | | | | | | 264,642 | | |
| | | 500,000 | | | | Dry Creek California Joint Elementary School District, General Obligation Unlimited, Capital Appreciation Election 2008, AGM Insured, 0.00%, 8/1/30(1) | | | | | A2 | | | | | | 330,560 | | |
| | | 300,000 | | | | Golden State Tobacco Securitization Corp., Asset-Backed Bonds, Ser. A, 5.00%, 6/1/32 | | | | | A1 | | | | | | 347,274 | | |
| | | 230,000 | | | | Inglewood Unified School District, School Facilities Financing Authority, Revenue Bonds, AGM Insured, 5.25%, 10/15/21 | | | | | A2 | | | | | | 263,865 | | |
| | | 150,000 | | | | Long Beach Community College District, General Obligation Unlimited, Ser. B, 3.00%, 8/1/32 | | | | | Aa2 | | | | | | 147,101 | | |
| | | | | | | Los Angeles County Metropolitan Transportation Authority, Refunding Revenue Bonds, Proposition C: | | | | ||||||||||
| | | 60,000 | | | | Senior Ser. B, 5.00%, 7/1/22 | | | | | Aa2 | | | | | | 70,561 | | |
| | | 75,000 | | | | Senior Ser. C, 5.00%, 7/1/21 | | | | | AA+* | | | | | | 86,042 | | |
| | | 200,000 | | | | Los Angeles County Public Works Financing Authority, Lease Revenue, Revenue Bonds, Ser. D, 4.00%, 12/1/40 | | | | | Aa2 | | | | | | 208,420 | | |
| | | | | | | Metropolitan Water District of Southern California, Refunding Revenue Bonds: | | | | ||||||||||
| | | 330,000 | | | | Ser. C, 4.00%, 10/1/22 | | | | | Aa1 | | | | | | 365,297 | | |
| | | 60,000 | | | | Ser. F, 5.00%, 7/1/28 | | | | | Aa1 | | | | | | 70,023 | | |
| | | 225,000 | | | | Napa Valley Unified School District, General Obligation Unlimited, Ser. A, 5.00%, 8/1/28 | | | | | Aa2 | | | | | | 275,654 | | |
| | | 50,000 | | | | Sacramento City Financing Authority, Revenue Bonds, Master Lease Program Facilities, Ser. E, AMBAC Insured, 5.25%, 12/1/24(2) | | | | | A1 | | | | | | 60,889 | | |
| | | 150,000 | | | | Sacramento Municipal Utility District, Revenue Bonds, Ser. A, 5.00%, 8/15/41 | | | | | Aa3 | | | | | | 172,364 | | |
| | | 250,000 | | | | San Diego County Regional Transportation Commission, Revenue Bonds, Ser. A, 5.00%, 4/1/42 | | | | | Aa2 | | | | | | 283,837 | | |
| | | 150,000 | | | | San Diego Public Facilities Financing Authority Water Revenue, Revenue Bonds, Ser. A, 5.25%, 8/1/38 | | | | | Aa2 | | | | | | 157,122 | | |
| | | 60,000 | | | | San Diego Redevelopment Agency Successor Agency, Tax Allocation Refunding Bonds, Ser. A, 5.00%, 9/1/35 | | | | | AA* | | | | | | 69,712 | | |
| | | 200,000 | | | | San Jose Unified School District Santa Clara Country, General Obligation Unlimited, Election 2012, Ser. A, 3.80%, 8/1/37 | | | | | Aa1 | | | | | | 205,418 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.5%) (continued) | | | |||||||||||||||||
| | | | | | | CALIFORNIA (16.4%) (continued) | | ||||||||||||
| | $ | 130,000 | | | | San Marcos Redevelopment Agency Successor Agency, Tax Allocation, Refunding Bonds, Ser. A, 5.00%, 10/1/25 | | | | | AA-* | | | | | $ | 159,725 | | |
| | | 150,000 | | | | Santa Monica Public Financing Authority, Lease Revenue Bonds, Ser. A, 4.00%, 6/1/18 | | | | | Aa2 | | | | | | 154,217 | | |
| | | 220,000 | | | | Southern California Public Power Authority, Mead-Adelanto Project, Authority Interest, Revenue Bonds, Ser. A, 5.00%, 7/1/29 | | | | | Aa2 | | | | | | 264,510 | | |
| | | 200,000 | | | | State of California, General Obligation Unlimited, 4.00%, 3/1/25 | | | | | Aa3 | | | | | | 230,878 | | |
| | | | | | | State of California, General Obligation Unlimited, Refunding Bonds: | | | | ||||||||||
| | | 300,000 | | | | 5.00%, 11/1/23 | | | | | Aa3 | | | | | | 360,717 | | |
| | | 105,000 | | | | 5.00%, 2/1/24 | | | | | Aa3 | | | | | | 121,227 | | |
| | | 250,000 | | | | 5.25%, 2/1/29 | | | | | Aa3 | | | | | | 287,087 | | |
| | | | | | | State of California, General Obligation Unlimited, Various Purpose Bonds: | | | | ||||||||||
| | | 115,000 | | | | 5.00%, 11/1/23 | | | | | Aa3 | | | | | | 138,275 | | |
| | | 150,000 | | | | 5.00%, 8/1/26 | | | | | Aa3 | | | | | | 186,572 | | |
| | | 250,000 | | | | 5.00%, 9/1/41 | | | | | Aa3 | | | | | | 279,532 | | |
| | | 150,000 | | | | University of California Limited Project, Revenue Bonds, Ser. G, 5.00%, 5/15/37 | | | | | Aa3 | | | | | | 171,104 | | |
| | | 150,000 | | | | University of California, Revenue Bonds, Ser. I, 5.00%, 5/15/28 | | | | | Aa3 | | | | | | 180,143 | | |
| | | | | | | | | | | | | | | | | | 9,521,213 | | |
| | | | | | | COLORADO (1.0%) | | ||||||||||||
| | | 500,000 | | | | University of Colorado, Enterprise Revenue Bonds, 5.00%, 6/1/30 | | | | | Aa1 | | | | | | 571,700 | | |
| | | | | | | CONNECTICUT (0.8%) | | ||||||||||||
| | | 200,000 | | | | Connecticut Housing Finance Authority, Revenue Bonds, Subser. C-1, 3.75%, 11/15/35 | | | | | Aaa | | | | | | 203,098 | | |
| | | 250,000 | | | | South Central Connecticut Regional Water Authority, Revenue Bonds, Twenty - Seventh Series, General Obligation of Authority Insured, 5.00%, 8/1/27 | | | | | Aa3 | | | | | | 289,240 | | |
| | | | | | | | | | | | | | | | | | 492,338 | | |
| | | | | | | DELAWARE (0.9%) | | ||||||||||||
| | | 265,000 | | | | Delaware Transportation Authority, US 301 Project, Revenue Bonds, 5.00%, 6/1/45 | | | | | A1 | | | | | | 295,578 | | |
| | | 200,000 | | | | University of Delaware Revenue, Revenue Bonds, Ser. B, 4.00%, 11/1/19 | | | | | AA+* | | | | | | 213,320 | | |
| | | | | | | | | | | | | | | | | | 508,898 | | |
| | | | | | | DISTRICT OF COLUMBIA (0.2%) | | ||||||||||||
| | | 100,000 | | | | District of Columbia Income Tax Secured Revenue, Revenue Bonds, Ser. G, 5.00%, 12/1/36 | | | | | Aa1 | | | | | | 114,025 | | |
| | | | | | | FLORIDA (4.9%) | | ||||||||||||
| | | 395,000 | | | | Cape Coral Florida Utility Special Assessment, Southwest 4 Area, NATL-RE Insured, 4.50%, 7/1/18 | | | | | A2 | | | | | | 395,039 | | |
| | | 140,000 | | | | Central Florida Expressway Authority, Revenue Bonds, Ser. A, 4.00%, 7/1/37 | | | | | A2 | | | | | | 146,579 | | |
| | | 250,000 | | | | City of Cape Coral, Florida Water & Sewer Revenue, Revenue Bonds, Ser. A, AGM Insured, 5.00%, 10/1/23 | | | | | A1 | | | | | | 282,850 | | |
| | | 250,000 | | | | City of Jacksonville, Florida Special Revenue, Revenue Bonds, Ser. A, 5.25%, 10/1/30 | | | | | Aa3 | | | | | | 288,060 | | |
| | | 100,000 | | | | City of Marco Island, Florida Utility System Revenue, Revenue Bonds, 4.00%, 10/1/38 | | | | | Aa3 | | | | | | 105,294 | | |
| | | 125,000 | | | | City of Tampa, Florida Baycare Health System, Revenue Bonds, Ser. A, 5.00%, 11/15/24 | | | | | Aa2 | | | | | | 144,116 | | |
| | | | | | | County of Palm Beach, Florida Public Improvement, Revenue Bonds, Ser. D: Value | | | | ||||||||||
| | | 250,000 | | | | 5.00%, 12/1/40 | | | | | Aa1 | | | | | | 288,560 | | |
| | | 125,000 | | | | 5.00%, 12/1/45 | | | | | Aa1 | | | | | | 143,676 | | |
| | | 240,000 | | | | County of State Lucie, Florida Sales Tax Revenue, Refunding Revenue Bonds, Ser. A, AGM Insured, 5.00%, 10/1/24 | | | | | A1 | | | | | | 282,576 | | |
| | | 75,000 | | | | Hillsborough County Industrial Development Authority, Hospital Revenue Refunding Bonds, Tampa General Hospital Project, Ser. A, 5.00%, 10/1/20 | | | | | A3 | | | | | | 83,251 | | |
| | | 300,000 | | | | Miami-Dade County Expressway Authority, Revenue Bonds, Ser. A, 5.00%, 7/1/23 | | | | | A2 | | | | | | 351,615 | | |
| | | 325,000 | | | | Orange County Health Facilities Authority, Revenue Bonds, Ser. A, 5.00%, 10/1/39 | | | | | A2 | | | | | | 367,348 | | |
| | | | | | | | | | | | | | | | | | 2,878,964 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.5%) (continued) | | | |||||||||||||||||
| | | | | | | GEORGIA (3.2%) | | ||||||||||||
| | | | | | | City of Atlanta, Georgia Water & Wastewater Revenue, Revenue Bonds: | | | | ||||||||||
| | $ | 325,000 | | | | Prerefunded, Ser. A, AGM Insured, 5.25%, 11/1/34 | | | | | Aa2 | | | | | $ | 355,751 | | |
| | | 175,000 | | | | Unrefunded, Ser. A, AGM Insured, 5.25%, 11/1/34 | | | | | Aa2 | | | | | | 191,375 | | |
| | | | | | | Metropolitan Atlanta Rapid Transit Authority, Revenue Bonds, 3rd Ser.: | | | | ||||||||||
| | | 125,000 | | | | 5.25%, 7/1/36 | | | | | Aa2 | | | | | | 134,395 | | |
| | | 500,000 | | | | Ser. A, 4.00%, 7/1/36 | | | | | Aa2 | | | | | | 520,940 | | |
| | | 630,000 | | | | Valdosta & Lowndes County Hospital Authority, Revenue Bonds, South Medical Center Project, Ser. B, County Guaranteed Insured, 5.00%, 10/1/41 | | | | | Aa2 | | | | | | 685,705 | | |
| | | | | | | | | | | | | | | | | | 1,888,166 | | |
| | | | | | | GUAM (0.5%) | | ||||||||||||
| | | | | | | Guam Power Authority, Revenue Bonds, Ser. A, AGM Insured: | | | | ||||||||||
| | | 150,000 | | | | 5.00%, 10/1/20 | | | | | A2 | | | | | | 165,370 | | |
| | | 120,000 | | | | 5.00%, 10/1/39 | | | | | A2 | | | | | | 134,124 | | |
| | | | | | | | | | | | | | | | | | 299,494 | | |
| | | | | | | | | ||||||||||||
| | | | | | | HAWAII (1.2%) | | ||||||||||||
| | | 485,000 | | | | City & County Honolulu Hawaii Wastewater System Revenue, Revenue Bonds, Senior Ser. A, 5.25%, 7/1/36 | | | | | Aa2 | | | | | | 560,514 | | |
| | | 100,000 | | | | City & County Honolulu Hawaii, General Obligation Unlimited, Ser. A, 5.00%, 10/1/38 | | | | | Aa1 | | | | | | 116,347 | | |
| | | | | | | | | | | | | | | | | | 676,861 | | |
| | | | | | | IDAHO (1.0%) | | ||||||||||||
| | | 250,000 | | | | Idaho Housing & Finance Association, Grant & Revenue Anticipation Bonds, Federal Highway - A, 5.00%, 7/15/29 | | | | | A2 | | | | | | 276,340 | | |
| | | 250,000 | | | | Idaho State Building Authority, Revenue Bonds, 5.00%, 9/1/40 | | | | | Aa2 | | | | | | 284,150 | | |
| | | | | | | | | | | | | | | | | | 560,490 | | |
| | | | | | | ILLINOIS (2.7%) | | ||||||||||||
| | | 100,000 | | | | Cook County Forest Preserve District, General Obligation Unlimited, Ser. C, 5.00%, 12/15/37 | | | | | A2 | | | | | | 106,491 | | |
| | | 200,000 | | | | Cook County, General Obligation Unlimited, Ser. C, 4.25%, 11/15/19 | | | | | A2 | | | | | | 210,836 | | |
| | | 250,000 | | | | Illinois Finance Authority, Revenue Bonds, Loyola University of Chicago, Ser. B, 5.00%, 7/1/26 | | | | | A2 | | | | | | 280,410 | | |
| | | 150,000 | | | | Illinois State Toll Highway Authority, Revenue Bonds, Ser. C, 5.00%, 1/1/37 | | | | | Aa3 | | | | | | 168,201 | | |
| | | 190,000 | | | | Kane Kendall Etc Counties Community College District No. 516, General Obligation Unlimited, Ser. A, 5.00%, 12/15/20 | | | | | Aa1 | | | | | | 212,916 | | |
| | | 100,000 | | | | Metropolitan Water Reclamation District of Greater Chicago, General Obligation Unlimited, Ser. A, 5.00%, 12/1/44 | | | | | AA+* | | | | | | 110,827 | | |
| | | 500,000 | | | | Northern Illinois Municipal Power Agency, Revenue Bonds, Prairie State Project, Ser. A, NATL-RE Insured, 5.00%, 1/1/20 | | | | | A2 | | | | | | 510,285 | | |
| | | | | | | | | | | | | | | | | | 1,599,966 | | |
| | | | | | | IOWA (0.1%) | | ||||||||||||
| | | 50,000 | | | | Iowa Finance Authority, Health Care Facility, Genesis Health System, Revenue Bonds, 5.00%, 7/1/22 | | | | | A1 | | | | | | 58,116 | | |
| | | | | | | KENTUCKY (1.1%) | | ||||||||||||
| | | 450,000 | | | | Kentucky State Turnpike Authority Economic Development Road Revenue, Revenue Bonds, Revitalization Projects, Ser. A, 5.00%, 7/1/19 | | | | | Aa2 | | | | | | 483,368 | | |
| | | 125,000 | | | | Louisville & Jefferson County Visitors and Convention Commission, Revenue Bonds, 4.00%, 6/1/23 | | | | | A2 | | | | | | 138,246 | | |
| | | | | | | | | | | | | | | | | | 621,614 | | |
| | | | | | | LOUISIANA (1.6%) | | ||||||||||||
| | | | | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds: | | | | ||||||||||
| | | 300,000 | | | | City of Bossier City, 5.00%, 11/1/26 | | | | | Aa3 | | | | | | 359,853 | | |
| | | 250,000 | | | | Parish of East Baton Rouge Road Improvements, 5.00%, 8/1/24 | | | | | Aa3 | | | | | | 288,842 | | |
| | | 145,000 | | | | State of Louisiana Gasoline & Fuels Tax Revenue, Revenue Bonds, Ser. C-1, 5.00%, 5/1/30 | | | | | Aa3 | | | | | | 167,807 | | |
| | | 85,000 | | | | State of Louisiana Highway Improvement Revenue, Revenue Bonds, Ser. A, 5.00%, 6/15/28 | | | | | A1 | | | | | | 99,668 | | |
| | | | | | | | | | | | | | | | | | 916,170 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.5%) (continued) | | | |||||||||||||||||
| | | | | | | MAINE (0.6%) | | ||||||||||||
| | $ | 200,000 | | | | Maine State Health & Higher Educational Facilities Authority Revenue, Refunding Revenue Bonds, Colby College, Ser. A, 5.00%, 7/1/39 | | | | | Aa2 | | | | | $ | 228,214 | | |
| | | 100,000 | | | | Maine Turnpike Authority, Revenue Bonds, Ser. A, 5.00%, 7/1/37 | | | | | Aa3 | | | | | | 112,440 | | |
| | | | | | | | | | | | | | | | | | 340,654 | | |
| | | | | | | MARYLAND (0.5%) | | ||||||||||||
| | | 130,000 | | | | City of Baltimore, Maryland Subordinate (Water Projects), Revenue Bonds, Ser. A, 5.00%, 7/1/31 | | | | | Aa3 | | | | | | 154,674 | | |
| | | 100,000 | | | | County of Anne Arundel, Maryland, General Obligation Limited, 5.00%, 10/1/36 | | | | | NAp | | | | | | 118,626 | | |
| | | | | | | | | | | | | | | | | | 273,300 | | |
| | | | | | | MASSACHUSETTS (4.3%) | | ||||||||||||
| | | 500,000 | | | | Massachusetts Bay Transportation Authority, Revenue Assessment Bonds, Ser. A, 4.00%, 7/1/37 | | | | | Aa1 | | | | | | 522,830 | | |
| | | | | | | Massachusetts Development Finance Agency: | | | | ||||||||||
| | | 500,000 | | | | Harvard University, Revenue Bonds, Ser. B-2, 5.25%, 2/1/34 | | | | | Aaa | | | | | | 571,430 | | |
| | | 75,000 | | | | Partners Healthcare, Revenue Bonds, Ser. L, 5.00%, 7/1/36 | | | | | Aa3 | | | | | | 83,278 | | |
| | | 250,000 | | | | Massachusetts Health & Educational Facilities Authority Revenue, Revenue Bonds, Harvard University, Ser. A, 5.00%, 12/15/30 | | | | | Aaa | | | | | | 274,057 | | |
| | | 500,000 | | | | Massachusetts Health & Educational Facilities Authority Revenue, Revenue Bonds, Tufts University, Ser. M, 5.50%, 2/15/27 | | | | | Aa2 | | | | | | 644,420 | | |
| | | 250,000 | | | | Massachusetts School Building Authority Sales Tax Revenue, Revenue Bonds, Senior Ser. B, 5.00%, 10/15/41 | | | | | Aa2 | | | | | | 282,440 | | |
| | | 115,000 | | | | Town of Nantucket, Massachusetts Municipal Purpose Loan, General Obligation Limited, 4.13%, 2/15/24 | | | | | Aa1 | | | | | | 117,266 | | |
| | | | | | | | | | | | | | | | | | 2,495,721 | | |
| | | | | | | MICHIGAN (0.3%) | | ||||||||||||
| | | 145,000 | | | | Michigan Finance Authority, State Revolving Fund Revenue, Clean Water, Refunding Revenue Bonds, 5.00%, 10/1/20 | | | | | AAA* | | | | | | 162,472 | | |
| | | | | | | MINNESOTA (0.3%) | | ||||||||||||
| | | 150,000 | | | | State of Minnesota Public Facilities Authority Revenue, Refunding Revenue Bonds, Ser. B, 5.00%, 3/1/28 | | | | | Aaa | | | | | | 184,401 | | |
| | | | | | | MISSISSIPPI (0.5%) | | ||||||||||||
| | | 300,000 | | | | Mississippi Hospital Equipment & Facilities Authority, Revenue Bonds, Forest County General Hospital, 5.25%, 1/1/28 | | | | | A2 | | | | | | 320,874 | | |
| | | | | | | MISSOURI (0.3%) | | ||||||||||||
| | | 150,000 | | | | Metropolitan State Louis Sewer District, Waste Water System Improvement, Refunding Revenue Bonds, Ser. B, 5.00%, 5/1/31 | | | | | Aa1 | | | | | | 177,351 | | |
| | | | | | | NEBRASKA (1.2%) | | ||||||||||||
| | | 285,000 | | | | Central Plains Energy Project, Revenue Bonds, Project No. 3, 5.00%, 9/1/21 | | | | | A3 | | | | | | 318,305 | | |
| | | 95,000 | | | | Public Power Generation Agency, Revenue Bonds, Ser. A, 5.00%, 1/1/38 | | | | | A2 | | | | | | 107,728 | | |
| | | 250,000 | | | | University of Nebraska, Lincoln Student, Revenue Bonds, 4.00%, 7/1/33 | | | | | Aa1 | | | | | | 262,958 | | |
| | | | | | | | | | | | | | | | | | 688,991 | | |
| | | | | | | NEVADA (0.5%) | | ||||||||||||
| | | 250,000 | | | | City of Henderson, Nevada Refunding, General Obligation Limited, 4.00%, 6/1/31 | | | | | Aa2 | | | | | | 266,930 | | |
| | | | | | | NEW JERSEY (4.2%) | | ||||||||||||
| | | | | | | New Jersey Institute of Technology, Revenue Bonds: | | | | ||||||||||
| | | 30,000 | | | | Prerefunded, Ser. A, 5.00%, 7/1/42 | | | | | ** | | | | | | 35,177 | | |
| | | 70,000 | | | | Unrefunded, Ser. A, 5.00%, 7/1/42 | | | | | A1 | | | | | | 77,764 | | |
| | | 1,000,000 | | | | New Jersey State Educational Facilities Authority Revenue, Revenue Bonds, Princeton University, Ser. B, 5.00%, 7/1/35 | | | | | Aaa | | | | | | 1,130,290 | | |
| | | | | | | New Jersey State Health Care Facilities Financing Authority, Hospital Asset Transformation Program, Revenue Bonds: | | | | ||||||||||
| | | 55,000 | | | | Prerefunded, Ser. A, 5.25%, 10/1/18 | | | | | ** | | | | | | 57,930 | | |
| | | 190,000 | | | | Unrefunded, Ser. A, 5.25%, 10/1/18 | | | | | Baa1 | | | | | | 197,380 | | |
| | | 150,000 | | | | New Jersey State Health Care Facilities Financing Authority, Revenue Bonds, Ser. A, 4.00%, 7/1/26 | | | | | A1 | | | | | | 160,778 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.5%) (continued) | | | |||||||||||||||||
| | | | | | | NEW JERSEY (4.2%) (continued) | | ||||||||||||
| | | | | | | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Transportation System: | | | | ||||||||||
| | $ | 245,000 | | | | Ser. A, AMBAC Insured, 4.75%, 12/15/37 | | | | | Baa1 | | | | | $ | 247,974 | | |
| | | 250,000 | | | | Ser. B, 5.00%, 6/15/18 | | | | | Baa1 | | | | | | 257,035 | | |
| | | | | | | New Jersey State Turnpike Authority, Revenue Bonds: | | | | ||||||||||
| | | 165,000 | | | | Ser. A, 5.00%, 1/1/29 | | | | | A2 | | | | | | 187,950 | | |
| | | 100,000 | | | | Ser. F, 5.00%, 1/1/35 | | | | | A2 | | | | | | 111,634 | | |
| | | | | | | | | | | | | | | | | | 2,463,912 | | |
| | �� | | | | | NEW MEXICO (0.7%) | | ||||||||||||
| | | 140,000 | | | | County of Santa Fe New Mexico Gross Receipts Tax Revenue, Revenue Bonds, Ser. A, 4.00%, 6/1/20 | | | | | Aa3 | | | | | | 150,835 | | |
| | | 200,000 | | | | State of New Mexico, Severance Tax Permanent Fund, Revenue Bonds, Ser. A, 5.00%, 7/1/24 | | | | | Aa2 | | | | | | 242,008 | | |
| | | | | | | | | | | | | | | | | | 392,843 | | |
| | | | | | | NEW YORK (10.2%) | | ||||||||||||
| | | 150,000 | | | | County of Saratoga, New York Public Improvement Bonds, General Obligation Unlimited, Ser. A, 4.00%, 7/15/21 | | | | | Aa2 | | | | | | 154,692 | | |
| | | 400,000 | | | | Housing Finance Agency, Revenue Bonds, Ser. A, 5.00%, 3/15/39 | | | | | Aa1 | | | | | | 427,000 | | |
| | | | | | | Long Island Power Authority, Revenue Bonds: | | | | ||||||||||
| | | 110,000 | | | | Ser. B, 5.00%, 9/1/23 | | | | | A3 | | | | | | 127,652 | | |
| | | 175,000 | | | | Ser. B, 5.00%, 9/1/41 | | | | | A3 | | | | | | 200,302 | | |
| | | | | | | Metropolitan Transportation Authority, New York: | | | | ||||||||||
| | | 200,000 | | | | Revenue Bonds, Ser. A, AGM Insured, 5.00%, 11/15/36 | | | | | A1 | | | | | | 225,828 | | |
| | | 500,000 | | | | Revenue Bonds, Subser. C-1, 5.00%, 11/15/34 | | | | | A1 | | | | | | 579,980 | | |
| | | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | ||||||||||
| | | 100,000 | | | | Barnard College, Ser. A, 5.00%, 7/1/30 | | | | | A1 | | | | | | 116,651 | | |
| | | 100,000 | | | | Cornell University, Ser. A, 5.00%, 7/1/40 | | | | | Aa1 | | | | | | 110,348 | | |
| | | 50,000 | | | | Memorial Sloan-Kettering Cancer Center, 5.00%, 7/1/25 | | | | | Aa3 | | | | | | 57,558 | | |
| | | 500,000 | | | | State Personal Income Tax Education, Ser. B, 5.00%, 3/15/28 | | | | | Aa1 | | | | | | 532,355 | | |
| | | 150,000 | | | | State Personal Income Tax Revenues General Purpose, Ser. A, 4.50%, 3/15/35 | | | | | Aa1 | | | | | | 159,954 | | |
| | | 250,000 | | | | State Personal Income Tax Revenues General Purpose, Ser. A, 5.00%, 2/15/23 | | | | | Aa1 | | | | | | 295,805 | | |
| | | 150,000 | | | | State Personal Income Tax Revenues, Ser. B, Group C, 5.00%, 2/15/38 | | | | | Aa1 | | | | | | 174,188 | | |
| | | 500,000 | | | | New York State Environmental Facilities Corp., Revolving Funds Revenue Bonds, Ser. B, 5.00%, 6/15/28 | | | | | Aaa | | | | | | 519,065 | | |
| | | | | | | New York State Urban Development Corp., State Personal Income Tax Revenue: | | | | ||||||||||
| | | 250,000 | | | | Revenue Bonds, Ser. A, 5.00%, 3/15/28 | | | | | Aa1 | | | | | | 302,630 | | |
| | | 135,000 | | | | Revenue Bonds, Ser. A, 5.00%, 3/15/29 | | | | | Aa1 | | | | | | 159,336 | | |
| | | | | | | New York State, General Obligation Unlimited: | | | | ||||||||||
| | | 150,000 | | | | Fiscal 2015, Ser. A, 5.00%, 8/1/26 | | | | | Aa2 | | | | | | 179,547 | | |
| | | 335,000 | | | | Prerefunded Fiscal 2008, Subser. C-1, AGM Insured, 5.00%, 10/1/24 | | | | | Aa2 | | | | | | 338,544 | | |
| | | 15,000 | | | | Prerefunded Fiscal 2008, Subser. C-1, AGM Insured, 5.00%, 10/1/24 | | | | | Aa2 | | | | | | 15,155 | | |
| | | 100,000 | | | | Port Authority of New York & New Jersey, Consolidated Bonds, Revenue Bonds, One Hundred Seventy - First Series, 4.00%, 7/15/38 | | | | | Aa3 | | | | | | 103,956 | | |
| | | 100,000 | | | | Port Authority of New York & New Jersey, Consolidated Bonds, Revenue Bonds, One Hundred Sixty - Sixth Series, General Obligation of Authority Insured, 5.00%, 7/15/33 | | | | | Aa3 | | | | | | 111,429 | | |
| | | 325,000 | | | | Port Authority of New York & New Jersey, Revenue Bonds, 194th Series, 5.00%, 10/15/41 | | | | | Aa3 | | | | | | 375,225 | | |
| | | | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds: | | | | ||||||||||
| | | 250,000 | | | | FSA-CR AGM-CR MBIA Insured, 5.50%, 11/15/19 | | | | | A1 | | | | | | 276,275 | | |
| | | 250,000 | | | | Ser. B, 5.00%, 11/15/36 | | | | | Aa3 | | | | | | 294,792 | | |
| | | 85,000 | | | | Utility Debt Securitization Authority, Restructuring Refunding Revenue Bonds, Ser. A, 5.00%, 12/15/35 | | | | | Aaa | | | | | | 101,508 | | |
| | | | | | | | | | | | | | | | | | 5,939,775 | | |
| | | | | | | NEW YORK CITY (6.4%) | | ||||||||||||
| | | 250,000 | | | | City of New York, General Obligation Unlimited, Fiscal 2012, Ser. A-1, 5.00%, 8/1/32 | | | | | Aa2 | | | | | | 282,297 | | |
| | | 250,000 | | | | Housing Development Corp., Revenue Bonds, Ser. D-1-B, 4.20%, 5/1/37 | | | | | Aa2 | | | | | | 260,655 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.5%) (continued) | | | |||||||||||||||||
| | | | | | | NEW YORK CITY (6.4%) (continued) | | ||||||||||||
| | | | | | | Municipal Water Finance Authority, Water and Sewer System Revenue, Revenue Bonds: | | | | ||||||||||
| | $ | 250,000 | | | | Ser. DD, 4.50%, 6/15/38 | | | | | Aa1 | | | | | $ | 257,082 | | |
| | | 100,000 | | | | Ser. DD, 5.00%, 6/15/34 | | | | | Aa1 | | | | | | 115,676 | | |
| | | 65,000 | | | | Ser. EE, 5.00%, 6/15/45 | | | | | Aa1 | | | | | | 74,381 | | |
| | | 60,000 | | | | Ser. FF, 5.00%, 6/15/45 | | | | | Aa1 | | | | | | 67,430 | | |
| | | | | | | Municipal Water Finance Authority, Water and Sewer System Revenue, Second General Resolution Revenue Bonds: | | | | ||||||||||
| | | 200,000 | | | | Ser. GG-1, 5.00%, 6/15/39 | | | | | Aa1 | | | | | | 214,610 | | |
| | | 150,000 | | | | Ser. GG-1, 5.25%, 6/15/32 | | | | | Aa1 | | | | | | 161,834 | | |
| | | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | | ||||||||||
| | | 300,000 | | | | Fiscal 2011, Ser. D, 5.00%, 2/1/35 | | | | | Aa1 | | | | | | 332,775 | | |
| | | 150,000 | | | | Subordinated Future Tax Secured, Ser. A, 5.00%, 5/1/30 | | | | | Aa1 | | | | | | 160,793 | | |
| | | 120,000 | | | | Subordinated Future Tax Secured, Subser. A-1, 5.00%, 8/1/26 | | | | | Aa1 | | | | | | 145,135 | | |
| | | 150,000 | | | | Subordinated Future Tax Secured, Subser. B-1, 5.00%, 8/1/32 | | | | | Aa1 | | | | | | 177,896 | | |
| | | 200,000 | | | | Subser. A-1, 5.00%, 8/1/31 | | | | | Aa1 | | | | | | 234,834 | | |
| | | 200,000 | | | | Subser. B-1, 5.00%, 8/1/39 | | | | | Aa1 | | | | | | 230,458 | | |
| | | 250,000 | | | | Subser. E-1, 5.00%, 2/1/32 | | | | | Aa1 | | | | | | 294,217 | | |
| | | 245,000 | | | | Subser. E-1, 5.00%, 2/1/40 | | | | | Aa1 | | | | | | 283,448 | | |
| | | 160,000 | | | | Subser. F-1, 5.00%, 5/1/23 | | | | | Aa1 | | | | | | 190,114 | | |
| | | 250,000 | | | | Trust for Cultural Resources Revenue, Refunding Bonds, Museum of Modern Art, Ser. 1A, 5.00%, 4/1/28 | | | | | Aa2 | | | | | | 262,752 | | |
| | | | | | | | | | | | | | | | | | 3,746,387 | | |
| | | | | | | NORTH CAROLINA (3.4%) | | ||||||||||||
| | | 305,000 | | | | Nash Health Care Systems Health Care Facilities Revenue, Revenue Bonds, 4.50%, 11/1/37 | | | | | BBB+* | | | | | | 315,019 | | |
| | | 385,000 | | | | North Carolina Medical Care Commission, Refunding Revenue Bonds, Wakemed, Ser. A, 4.13%, 10/1/38 | | | | | A2 | | | | | | 399,153 | | |
| | | 300,000 | | | | North Carolina Medical Care Commission, Revenue Bonds, Duke University Health System, Ser. A, 5.00%, 6/1/42 | | | | | Aa2 | | | | | | 334,362 | | |
| | | 85,000 | | | | North Carolina Medical Care Commission, Revenue Bonds, Wake Forest Baptist Obligated Group, Ser. B, 5.00%, 12/1/24 | | | | | A2 | | | | | | 98,697 | | |
| | | | | | | Raleigh Durham Airport Authority, Revenue Bonds: | | | | ||||||||||
| | | 195,000 | | | | Ser. A, 5.00%, 5/1/36 | | | | | Aa3 | | | | | | 212,419 | | |
| | | 250,000 | | | | Ser. B-1, 5.00%, 11/1/28 | | | | | Aa3 | | | | | | 275,328 | | |
| | | 315,000 | | | | State of North Carolina Capital Improvement Obligation, Revenue Bonds, Ser. C, 3.50%, 5/1/27 | | | | | Aa1 | | | | | | 327,543 | | |
| | | | | | | | | | | | | | | | | | 1,962,521 | | |
| | | | | | | NORTH DAKOTA (0.9%) | | ||||||||||||
| | | 290,000 | | | | City of Fargo, North Dakota, Improvement Refunding Bonds, General Obligation Unlimited, Ser. E, 5.00%, 5/1/25 | | | | | Aa1 | | | | | | 349,856 | | |
| | | 135,000 | | | | North Dakota Public Finance Authority, State Revolving Fund Program, Revenue Bonds, Ser. A, 5.00%, 10/1/26 | | | | | Aaa | | | | | | 154,964 | | |
| | | | | | | | | | | | | | | | | | 504,820 | | |
| | | | | | | OHIO (2.2%) | | ||||||||||||
| | | 200,000 | | | | City of Akron, Ohio Community Learning Centers, Refunding Revenue Bonds, Ser. A, 5.00%, 12/1/28 | | | | | AA+* | | | | | | 232,860 | | |
| | | 250,000 | | | | City of Cleveland, Ohio Water Pollution Control, Green Bonds, Revenue Bonds, 5.00%, 11/15/45 | | | | | Aa3 | | | | | | 283,017 | | |
| | | | | | | City of Columbus, Ohio Library Fund Facilities Notes, Revenue Bonds: | | | | ||||||||||
| | | 70,000 | | | | Prerefunded, Ser. 1, 5.00%, 12/1/23 | | | | | NAp | | | | | | 78,935 | | |
| | | 80,000 | | | | Unrefunded, Ser. 1, 5.00%, 12/1/23 | | | | | NAp | | | | | | 89,487 | | |
| | | 325,000 | | | | Cleveland Department of Public Utilities Division of Water Revenue, Revenue Bonds, Senior Lien Ser. X, 3.63%, 1/1/37 | | | | | Aa1 | | | | | | 327,961 | | |
| | | 250,000 | | | | Country of Franklin, Ohio Hospital Facilities Revenue, Revenue Bonds, 5.00%, 5/15/45 | | | | | Aa2 | | | | | | 279,620 | | |
| | | | | | | | | | | | | | | | | | 1,291,880 | | |
| | | | | | | OKLAHOMA (0.5%) | | ||||||||||||
| | | 250,000 | | | | Oklahoma Capital Improvement Authority, Revenue Bonds, 5.00%, 10/1/23 | | | | | AA-* | | | | | | 285,192 | | |
| | | | | | | OREGON (0.3%) | | ||||||||||||
| | | 150,000 | | | | Oregon State Department of Administrative Services Lottery Revenue, Revenue Bonds, Ser. D, 5.00%, 4/1/28 | | | | | Aa2 | | | | | | 180,522 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.5%) (continued) | | | |||||||||||||||||
| | | | | | | PENNSYLVANIA (3.7%) | | ||||||||||||
| | $ | 200,000 | | | | Central Bradford Progress Authority, Guthrie Healthcare System, Revenue Bonds, 5.00%, 12/1/31 | | | | | AA-* | | | | | $ | 222,922 | | |
| | | 500,000 | | | | Delaware River Pennsylvania, Joint Toll Bridge Commission, Revenue Bonds, 5.00%, 7/1/36 | | | | | A1 | | | | | | 583,510 | | |
| | | 500,000 | | | | Pennsylvania Higher Educational Facilities Authority, State System of Higher Education, Revenue Bonds, Ser. AS, 5.00%, 6/15/28 | | | | | Aa3 | | | | | | 592,390 | | |
| | | 100,000 | | | | Pennsylvania Infrastructure Investment Authority, Revenue Bonds, Ser. A, 4.00%, 5/15/32 | | | | | AAA* | | | | | | 107,546 | | |
| | | 300,000 | | | | Pittsburgh Public Schools, General Obligation Limited, Ser. B, State Aid Withholding Insured, 4.00%, 9/1/22 | | | | | Aa2 | | | | | | 325,803 | | |
| | | 100,000 | | | | University of Pittsburgh-of the Commonwealth System of Higher Education, Capital Project Revenue Bonds, Ser. B, 5.00%, 9/15/19 | | | | | Aa1 | | | | | | 106,697 | | |
| | | 225,000 | | | | York County Pennsylvania, General Obligation Unlimited, 4.75%, 3/1/36 | | | | | AA* | | | | | | 244,892 | | |
| | | | | | | | | | | | | | | | | | 2,183,760 | | |
| | | | | | | SOUTH CAROLINA (2.6%) | | ||||||||||||
| | | 500,000 | | | | Charleston County South Carolina, Capital Improvement Transportation Sales Tax, General Obligation Unlimited, State Aid Withholding Insured, 4.00%, 11/1/29 | | | | | Aaa | | | | | | 539,880 | | |
| | | 350,000 | | | | Charleston South Carolina Waterworks & Sewer Revenue, Refunding and Capital Improvement Revenue Bonds, 5.00%, 1/1/35 | | | | | Aaa | | | | | | 396,134 | | |
| | | 195,000 | | | | South Carolina Jobs-Economic Development Authority, Refunding and Improvement Revenue Bonds, Palmetto Health, 5.75%, 8/1/39 | | | | | Baa1 | | | | | | 205,477 | | |
| | | 325,000 | | | | South Carolina Public Service Authority, Revenue Bonds, Ser. A, 5.00%, 12/1/38 | | | | | A1 | | | | | | 360,227 | | |
| | | | | | | | | | | | | | | | | | 1,501,718 | | |
| | | | | | | TENNESSEE (0.8%) | | ||||||||||||
| | | 100,000 | | | | City Of Memphis, Tennessee Gas System Revenue Bonds, 5.00%, 12/1/26 | | | | | Aa1 | | | | | | 124,262 | | |
| | | 250,000 | | | | Shelby County Health Educational & Housing Facilities Board, Revenue Bonds, Methodist Le Bonheur Healthcare, 5.00%, 5/1/42 | | | | | A1 | | | | | | 271,170 | | |
| | | 80,000 | | | | Tennessee Housing Development Agency, Revenue Bonds, Ser. 1C, 3.05%, 1/1/24 | | | | | Aa1 | | | | | | 84,348 | | |
| | | | | | | | | | | | | | | | | | 479,780 | | |
| | | | | | | TEXAS (8.4%) | | ||||||||||||
| | | | | | | City of Arlington, Texas Special Tax Revenue, Refunding Bonds: | | | | ||||||||||
| | | 125,000 | | | | Prerefunded, 5.00%, 8/15/28 | | | | | ** | | | | | | 132,923 | | |
| | | 60,000 | | | | Prerefunded, 5.00%, 8/15/28 | | | | | ** | | | | | | 63,813 | | |
| | | 140,000 | | | | Unrefunded, 5.00%, 8/15/28 | | | | | A1 | | | | | | 147,134 | | |
| | | 65,000 | | | | City of Austin Texas, Water & Wastewater System Revenue, Revenue Bonds, 5.00%, 11/15/32 | | | | | Aa2 | | | | | | 73,980 | | |
| | | 160,000 | | | | City of Corpus Christi, Texas General Improvement Bonds, 5.00%, 3/1/24 | | | | | Aa2 | | | | | | 191,653 | | |
| | | 100,000 | | | | City of Dallas, Unrefunded General Obligation Limited, Refunding Bonds, 5.00%, 2/15/23 | | | | | A1 | | | | | | 114,551 | | |
| | | 160,000 | | | | City of El Paso Texas, Water & Sewer Revenue, Improvement Refunding Revenue Bonds, Ser. A, 5.00%, 3/1/23 | | | | | AA+* | | | | | | 184,864 | | |
| | | 65,000 | | | | City of Houston Texas, Combined Utility System Revenue, Revenue Bonds, Ser. D, 5.00%, 11/15/42 | | | | | AA* | | | | | | 73,718 | | |
| | | | | | | City of Houston, Texas Public Improvement, General Obligation Limited: | | | | ||||||||||
| | | 135,000 | | | | 5.00%, 3/1/25 | | | | | ** | | | | | | 143,732 | | |
| | | 15,000 | | | | 5.00%, 3/1/25 | | | | | Aa3 | | | | | | 15,956 | | |
| | | 125,000 | | | | City of Leander, Texas Certificates of Obligation, Parking Facility Improvements, General Obligation Limited, 5.00%, 8/15/32 | | | | | Aa2 | | | | | | 143,693 | | |
| | | 70,000 | | | | City of Lubbock, Texas Certificates of Obligation, Waterworks System, General Obligation Limited, 5.00%, 2/15/23 | | | | | Aa2 | | | | | | 82,573 | | |
| | | 200,000 | | | | City of San Antonio Texas, Water System Revenue, Junior Lien, Refunding Revenue Bonds, Ser. B, 5.00%, 5/15/32 | | | | | Aa2 | | | | | | 233,202 | | |
| | | 275,000 | | | | Dallas Area Rapid Transit, Revenue Bonds, Ser. A, 5.00%, 12/1/36 | | | | | Aa2 | | | | | | 318,530 | | |
| | | 250,000 | | | | Fort Worth Independent School District, School Building, General Obligation Unlimited, PSF-GTD Insured, 5.00%, 2/15/20 | | | | | Aa1 | | | | | | 274,782 | | |
| | | 200,000 | | | | Harris County, Texas Unlimited Tax Road, General Obligation Unlimited, Ser. A, 5.00%, 10/1/28 | | | | | Aaa | | | | | | 241,668 | | |
| | | | | | | Leander Independent School District, Prefunded Bonds, General Obligation Unlimited: | | | | ||||||||||
| | | 555,000 | | | | PSF-GTD Insured,0.00%, 8/15/41(1) | | | | | ** | | | | | | 134,138 | | |
| | | 195,000 | | | | PSF-GTD Insured,0.00%, 8/15/41(1) | | | | | AAA* | | | | | | 47,135 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.5%) (continued) | | | |||||||||||||||||
| | | | | | | TEXAS (8.4%) (continued) | | ||||||||||||
| | | | | | | Lower Colorado River Authority, Revenue Bonds: | | | | ||||||||||
| | $ | 250,000 | | | | Ser. A, 5.00%, 5/15/31 | | | | | A1 | | | | | $ | 281,905 | | |
| | | 250,000 | | | | Ser. B, 5.00%, 5/15/23 | | | | | A2 | | | | | | 294,302 | | |
| | | 135,000 | | | | North Fort Bend Water Authority, Revenue Bonds, AGM Insured, Ser. A, 3.00%, 12/15/19 | | | | | A2 | | | | | | 140,613 | | |
| | | 200,000 | | | | Olmos Park Higher Education Facilities Corp., Refunding Revenue Bonds, University of the Incarnate Word, 5.00%, 12/1/23 | | | | | A3 | | | | | | 229,430 | | |
| | | 100,000 | | | | State of Texas, Transportation Commission, Highway Improvement, 5.00%, 4/1/25 | | | | | Aaa | | | | | | 120,827 | | |
| | | 150,000 | | | | State of Texas, Water Financial Assistance, General Obligation Unlimited, Ser. A, 3.00%, 8/1/35 | | | | | Aaa | | | | | | 144,939 | | |
| | | 275,000 | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Ser. A, 5.00%, 11/15/38 | | | | | Aa3 | | | | | | 305,352 | | |
| | | 300,000 | | | | Texas City Independent School District, General Obligation Unlimited, PSF-GTD Insured, 5.00%, 8/15/24 | | | | | Aaa | | | | | | 364,293 | | |
| | | 200,000 | | | | Texas Water Development Board, Revenue Bonds, Ser. A, 5.00%, 10/15/27 | | | | | AAA* | | | | | | 243,020 | | |
| | | 125,000 | | | | University of Texas Financing System, Revenue Bonds, Ser. D, 4.25%, 8/15/19 | | | | | Aaa | | | | | | 133,110 | | |
| | | | | | | | | | | | | | | | | | 4,875,836 | | |
| | | | | | | VERMONT (0.9%) | | ||||||||||||
| | | 200,000 | | | | Vermont Educational & Health Buildings Financing Agency, Revenue Bonds, Saint Michael’s College, 5.00%, 10/1/42 | | | | | Baa1 | | | | | | 217,472 | | |
| | | 250,000 | | | | Vermont Municipal Bond Bank, Revenue Bonds, Ser. 1, 5.00%, 12/1/29 | | | | | Aa1 | | | | | | 281,835 | | |
| | | | | | | | | | | | | | | | | | 499,307 | | |
| | | | | | | VIRGINIA (0.2%) | | ||||||||||||
| | | 100,000 | | | | Virginia State Resources Authority, Revenue Bonds, Virginia Pooled Financing Program, Ser. C, 5.00%, 11/1/18 | | | | | Aaa | | | | | | 105,326 | | |
| | | | | | | WASHINGTON (3.2%) | | ||||||||||||
| | | 250,000 | | | | City of Seattle Washington, Limited Tax Improvement Bonds, General Obligation Limited, 4.25%, 3/1/28 | | | | | Aaa | | | | | | 268,410 | | |
| | | 165,000 | | | | County of King Washington Refunding, General Obligation Limited, Ser. E, 5.00%, 12/1/30 | | | | | Aaa | | | | | | 198,117 | | |
| | | 100,000 | | | | County of Pierce Washington, Sewer Revenue, Revenue Bonds, 4.00%, 8/1/37 | | | | | Aa3 | | | | | | 104,346 | | |
| | | 250,000 | | | | Port of Seattle Washington, Revenue Refunding Bonds, Ser. A, 5.00%, 8/1/33 | | | | | A1 | | | | | | 282,648 | | |
| | | 200,000 | | | | Seattle Museum Development Authority, Special Obligation Refunding Bonds, Municipal Government Guaranteed, 5.00%, 4/1/26 | | | | | Aaa | | | | | | 237,514 | | |
| | | 350,000 | | | | Washington Health Care Facilities Authority, Revenue Bonds, Providence Health & Services, Ser. A, 4.25%, 10/1/37 | | | | | Aa3 | | | | | | 366,590 | | |
| | | 100,000 | | | | Washington State, Motor Vehicle Fuel Tax, General Obligation Unlimited, Ser. B, 5.00%, 7/1/24 | | | | | Aa1 | | | | | | 121,224 | | |
| | | 250,000 | | | | Washington State, Water Utility Improvements, General Obligation Unlimited, Ser. A, 5.00%, 8/1/37 | | | | | Aa1 | | | | | | 292,535 | | |
| | | | | | | | | | | | | | | | | | 1,871,384 | | |
| | | | | | | WEST VIRGINIA (0.3%) | | ||||||||||||
| | | 175,000 | | | | West Virginia School Building Authority, Revenue Bonds, 5.00%, 7/1/17 | | | | | A1 | | | | | | 175,021 | | |
| | | | | | | WISCONSIN (1.5%) | | ||||||||||||
| | | 150,000 | | | | City of Madison Wisconsin Water Utility Revenue, Revenue Bonds, 4.00%, 1/1/32 | | | | | Aa2 | | | | | | 157,090 | | |
| | | 165,000 | | | | Wisconsin Department of Transportation, Revenue Bonds, Ser. 2, 5.00%, 7/1/24 | | | | | Aa2 | | | | | | 193,212 | | |
| | | 200,000 | | | | Wisconsin State Health & Educational Facilities Authority, Revenue Bonds, Froedtert Health, Ser. A, 5.00%, 4/1/23 | | | | | AA-* | | | | | | 231,232 | | |
| | | 250,000 | | | | Wisconsin State Health & Educational Facilities Authority, Revenue Bonds, Marshfield Clinic, Ser. B, 5.00%, 2/15/24 | | | | | A-* | | | | | | 280,795 | | |
| | | | | | | | | | | | | | | | | | 862,329 | | |
| | | | | | | WYOMING (0.4%) | | ||||||||||||
| | | 220,000 | | | | Laramie County Wyoming, Revenue Bonds, Cheyenne Regional Medical Center Project, 5.00%, 5/1/42 | | | | | A* | | | | | | 238,733 | | |
| | | | | | | TOTAL LONG-TERM MUNICIPAL SECURITIES (97.5%) (Cost $55,527,091) | | | | | | | | | | $ | 56,719,064 | | |
| | | | | | | CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES (2.5%) | | | | | | | | | | | 1,459,754 | | |
| | | | | | | NET ASSETS (100.0%) | | | | | | | | | | $ | 58,178,818 | | |
Investments in Securities: | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | ||||||||||||||||||||
Long-Term Municipal Securities* | | | | $ | — | | | | | $ | 56,719,064 | | | | | $ | — | | | | | $ | 56,719,064 | | |
Total Investments in Securities | | | | $ | — | | | | | $ | 56,719,064 | | | | | $ | — | | | | | $ | 56,719,064 | | |
| | | Value Line Core Bond Fund | | | The Value Line Tax Exempt Fund, Inc. | | ||||||
Assets: | | | | ||||||||||
Investments in securities, at value* | | | | $ | 64,345,708 | | | | | $ | 56,719,064 | | |
Cash | | | | | — | | | | | | 858,831 | | |
Interest and dividends receivable | | | | | 449,510 | | | | | | 695,063 | | |
Receivable for securities sold | | | | | 137,903 | | | | | | — | | |
Prepaid expenses | | | | | 6,207 | | | | | | 9,034 | | |
Receivable for securities lending income | | | | | 678 | | | | | | — | | |
Receivable for capital shares sold | | | | | 569 | | | | | | — | | |
Receivable from broker – variation margin on open futures contracts | | | | | 4 | | | | | | — | | |
Total Assets | | | | | 64,940,579 | | | | | | 58,281,992 | | |
Liabilities: | | | | ||||||||||
Payable upon return of securities on loan (Note 1G) | | | | | 823,565 | | | | | | — | | |
Payable for securities purchased | | | | | 156,797 | | | | | | — | | |
Payable for capital shares redeemed | | | | | 17,606 | | | | | | 7,282 | | |
Dividends payable to shareholders | | | | | 10,328 | | | | | | 23,573 | | |
Accrued expenses: | | | | ||||||||||
Advisory fee | | | | | 10,758 | | | | | | 24,064 | | |
Service and distribution plan fees | | | | | 13,252 | | | | | | — | | |
Transfer Agent Fees | | | | | 16,424 | | | | | | 7,158 | | |
Custody and Accounting Fees | | | | | 12,862 | | | | | | 10,184 | | |
Printing and postage Fees | | | | | 11,763 | | | | | | 6,079 | | |
Directors’ fees and expenses | | | | | 3,166 | | | | | | 3,077 | | |
Auditing and Legal Fees | | | | | 3,161 | | | | | | 19,628 | | |
Other | | | | | 4,400 | | | | | | 2,129 | | |
Total Liabilities | | | | | 1,084,082 | | | | | | 103,174 | | |
Net Assets | | | | $ | 63,856,497 | | | | | $ | 58,178,818 | | |
Net assets consist of: | | | | ||||||||||
Capital stock, at $0.01 par value (authorized unlimited shares and 65,000,000 shares, respectively) | | | | $ | 42,682 | | | | | $ | 58,844 | | |
Additional paid-in capital | | | | | 63,677,979 | | | | | | 57,916,395 | | |
Undistributed/(distributions in excess of) net investment income | | | | | 28,238 | | | | | | (20,939) | | |
Accumulated net realized loss on investments and futures | | | | | (688,557) | | | | | | (967,455) | | |
Net unrealized appreciation (depreciation) of: | | | | ||||||||||
Investments | | | | | 796,155 | | | | | | 1,191,973 | | |
Net Assets | | | | $ | 63,856,497 | | | | | $ | 58,178,818 | | |
Net Asset Value Per Share | | | | ||||||||||
Net Assets | | | | $ | 63,856,497 | | | | | $ | 58,178,818 | | |
Shares Outstanding | | | | | 4,268,163 | | | | | | 5,884,410 | | |
Net Asset Value, Offering and Redemption Price per Outstanding Share | | | | $ | 14.96 | | | | | $ | 9.89 | | |
* Includes securities on loan of | | | | $ | 805,881 | | | | | $ | — | | |
Cost of investments | | | | $ | 63,549,553 | | | | | $ | 55,527,091 | | |
for the Six Months Ended June 30, 2017 (unaudited)
| | | Value Line Core Bond Fund | | | The Value Line Tax Exempt Fund, Inc. | | ||||||
Investment Income: | | | | ||||||||||
Dividends | | | | $ | 2,854 | | | | | $ | — | | |
Interest | | | | | 956,800 | | | | | | 1,066,380 | | |
Securities lending income | | | | | 3,686 | | | | | | — | | |
Total Income | | | | | 963,340 | | | | | | 1,066,380 | | |
Expenses: | | | | ||||||||||
Advisory fees | | | | | 161,876 | | | | | | 149,606 | | |
Service and distribution plan fees | | | | | 80,938 | | | | | | 74,803 | | |
Transfer agent fees | | | | | 47,011 | | | | | | 23,757 | | |
Custody and accounting fees | | | | | 35,923 | | | | | | 29,947 | | |
Auditing and legal fees | | | | | 31,178 | | | | | | 19,715 | | |
Registration and filing fees | | | | | 18,501 | | | | | | 16,509 | | |
Printing and postage | | | | | 11,853 | | | | | | 6,475 | | |
Directors’ fees and expenses | | | | | 5,339 | | | | | | 5,074 | | |
Professional fees | | | | | 2,298 | | | | | | 2,149 | | |
Insurance | | | | | 2,136 | | | | | | 2,016 | | |
Other | | | | | 3,428 | | | | | | 1,737 | | |
Total Expenses Before Fees Waived (See Note 5) | | | | | 400,481 | | | | | | 331,788 | | |
Less: Advisory Fees Waived and Expenses Reimbursed | | | | | (79,967) | | | | | | — | | |
Less: Service and Distribution Plan Fees Waived | | | | | — | | | | | | (74,803) | | |
Net Expenses | | | | | 320,514 | | | | | | 256,985 | | |
Net Investment Income | | | | | 642,826 | | | | | | 809,395 | | |
Net Realized and Unrealized Gain/(Loss) on Investments and Futures: | | | | ||||||||||
Net Realized Gain/(Loss) From: | | | | ||||||||||
Investments | | | | | (70,090) | | | | | | 109,556 | | |
Futures contracts | | | | | 11,866 | | | | | | — | | |
| | | | | (58,224) | | | | | | 109,556 | | |
Change in Net Unrealized Appreciation/(Depreciation) of: | | | | ||||||||||
Investments | | | | | 908,884 | | | | | | 755,047 | | |
Futures contracts | | | | | (11,907) | | | | | | — | | |
| | | | | 896,977 | | | | | | 755,047 | | |
Net Realized Gain and Change in Net Unrealized Appreciation/(Depreciation) on Investments and Futures | | | | | 838,753 | | | | | | 864,603 | | |
Net Increase in Net Assets from Operations | | | | $ | 1,481,579 | | | | | $ | 1,673,998 | | |
| | | Value Line Core Bond Fund | | |||||||||
| | | Six Months Ended June 30, 2017 (unaudited) | | | Year Ended December 31, 2016 | | ||||||
Operations: | | | | ||||||||||
Net investment income | | | | $ | 642,826 | | | | | $ | 1,238,845 | | |
Net realized gain/(loss) on investments and futures | | | | | (58,224) | | | | | | 212,665 | | |
Change in net unrealized appreciation/(depreciation) on investments and futures | | | | | 896,977 | | | | | | 153,814 | | |
Net increase in net assets from operations | | | | | 1,481,579 | | | | | | 1,605,324 | | |
Distributions to Shareholders from: | | | | ||||||||||
Net investment income | | | | | (626,338) | | | | | | (1,228,482) | | |
Total distributions | | | | | (626,338) | | | | | | (1,228,482) | | |
Share Transactions: | | | | ||||||||||
Proceeds from sale of shares | | | | | 842,491 | | | | | | 3,020,608 | | |
Proceeds from reinvestment of dividends to shareholders | | | | | 558,169 | | | | | | 1,091,648 | | |
Cost of shares redeemed | | | | | (4,828,112) | | | | | | (10,134,472) | | |
Net decrease in net assets from capital share transactions | | | | | (3,427,452) | | | | | | (6,022,216) | | |
Total decrease in net assets | | | | | (2,572,211) | | | | | | (5,645,374) | | |
Net Assets: | | | | ||||||||||
Beginning of period | | | | | 66,428,708 | | | | | | 72,074,082 | | |
End of period | | | | $ | 63,856,497 | | | | | $ | 66,428,708 | | |
Undistributed net investment income included in net assets, at end of period | | | | $ | 28,238 | | | | | $ | 11,750 | | |
Capital Share Transactions: | | | | ||||||||||
Shares sold | | | | | 56,613 | | | | | | 199,855 | | |
Shares issued to shareholders in reinvestment of dividends | | | | | 37,507 | | | | | | 72,455 | | |
Shares redeemed | | | | | (324,377) | | | | | | (673,777) | | |
Net decrease | | | | | (230,257) | | | | | | (401,467) | | |
for the Six Months Ended June 30, 2017 (unaudited)
and for the Year Ended December 31, 2016
| | | The Value Line Tax Exempt Fund, Inc. | | |||||||||
| | | Six Months Ended June 30, 2017 (unaudited) | | | Year Ended December 31, 2016 | | ||||||
Operations: | | | | ||||||||||
Net investment income | | | | $ | 809,395 | | | | | $ | 1,860,300 | | |
Net realized gain on investments | | | | | 109,556 | | | | | | 518,792 | | |
Change in net unrealized appreciation/(depreciation) on investments | | | | | 755,047 | | | | | | (2,506,246) | | |
Net increase/(decrease) in net assets from operations | | | | | 1,673,998 | | | | | | (127,154) | | |
Distributions to Shareholders from: | | | | ||||||||||
Net investment income | | | | | (809,395) | | | | | | (1,859,910) | | |
Total distributions | | | | | (809,395) | | | | | | (1,859,910) | | |
Share Transactions: | | | | ||||||||||
Proceeds from sale of shares | | | | | 647,768 | | | | | | 536,053 | | |
Proceeds from reinvestment of dividends to shareholders | | | | | 654,637 | | | | | | 1,514,607 | | |
Cost of shares redeemed | | | | | (6,784,869) | | | | | | (6,305,857) | | |
Net increase/(decrease) in net assets from capital share transactions | | | | | (5,482,464) | | | | | | 4,255,197 | | |
Total decrease in net assets | | | | | (4,617,861) | | | | | | (6,242,261) | | |
Net Assets: | | | | ||||||||||
Beginning of period | | | | | 62,796,679 | | | | | | 69,038,940 | | |
End of period | | | | $ | 58,178,818 | | | | | $ | 62,796,679 | | |
Distributions in excess of net investment income included in net assets, at end of period | | | | $ | (20,939) | | | | | $ | (20,939) | | |
Capital Share Transactions: | | | | ||||||||||
Shares sold | | | | | 65,977 | | | | | | 52,851 | | |
Shares issued to shareholders in reinvestment of dividends | | | | | 66,581 | | | | | | 150,231 | | |
Shares redeemed | | | | | (691,665) | | | | | | (625,523) | | |
Net decrease | | | | | (559,107) | | | | | | (422,441) | | |
| | | Value Line Core Bond Fund | | |||||||||||||||||||||||||||||||||||||||
| | | Six Months Ended June 30, 2017 (unaudited) | | | Years Ended December 31, | | | Period ended December 31, | | | Year Ended January 31, | | ||||||||||||||||||||||||||||||
| | | 2016 | | | 2015 | | | 2014(1) | | | 2013(2) | | | 2013 | | | 2012 | | ||||||||||||||||||||||||
Net asset value, beginning of period | | | | $ | 14.77 | | | | | $ | 14.71 | | | | | $ | 14.94 | | | | | $ | 14.55 | | | | | $ | 15.21 | | | | | $ | 14.76 | | | | | $ | 14.85 | | |
Income/(loss) from investment operations: | | | | | | | | | |||||||||||||||||||||||||||||||||||
Net investment income | | | | | 0.15 | | | | | | 0.26 | | | | | | 0.26 | | | | | | 0.27 | | | | | | 0.18 | | | | | | 0.78 | | | | | | 0.87 | | |
Net gains/(losses) on securities (both realized and unrealized) | | | | | 0.18 | | | | | | 0.06 | | | | | | (0.23) | | | | | | 0.38 | | | | | | (0.66) | | | | | | 0.45 | | | | | | (0.09) | | |
Total from investment operations | | | | | 0.33 | | | | | | 0.32 | | | | | | 0.03 | | | | | | 0.65 | | | | | | (0.48) | | | | | | 1.23 | | | | | | 0.78 | | |
Redemption fees | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.00(3) | | | | | | 0.00(3) | | |
Less distributions: | | | | | | | | | |||||||||||||||||||||||||||||||||||
Dividends from net investment income | | | | | (0.14) | | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.15) | | | | | | (0.78) | | | | | | (0.87) | | |
Distributions from net realized gains | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.00)(3) | | | | | | — | | |
Distributions from return of capital | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.03) | | | | | | — | | | | | | — | | |
Total distributions | | | | | (0.14) | | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.18) | | | | | | (0.78) | | | | | | (0.87) | | |
Net asset value, end of period | | | | $ | 14.96 | | | | | $ | 14.77 | | | | | $ | 14.71 | | | | | $ | 14.94 | | | | | $ | 14.55 | | | | | $ | 15.21 | | | | | $ | 14.76 | | |
Total return | | | | | 2.27%(4) | | | | | | 2.16% | | | | | | 0.22% | | | | | | 4.49% | | | | | | (3.13)%(4) | | | | | | 8.49% | | | | | | 5.48% | | |
Ratios/Supplemental Data: | | | | | | | | | |||||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | | | | $ | 63,856 | | | | | $ | 66,429 | | | | | $ | 72,074 | | | | | $ | 79,297 | | | | | $ | 85,045 | | | | | $ | 30,550 | | | | | $ | 32,203 | | |
Ratio of gross expenses to average net assets* | | | | | 1.24%(5) | | | | | | 1.20% | | | | | | 1.17% | | | | | | 1.26% | | | | | | 1.30%(5) | | | | | | 1.62% | | | | | | 1.55% | | |
Ratio of net expenses to average net assets** | | | | | 0.99%(5) | | | | | | 0.99% | | | | | | 0.89% | | | | | | 1.01% | | | | | | 1.15%(5) | | | | | | 1.32% | | | | | | 1.25% | | |
Ratio of net investment income to average net assets | | | | | 1.99%(5) | | | | | | 1.74% | | | | | | 1.75% | | | | | | 1.96% | | | | | | 1.17%(5) | | | | | | 5.18% | | | | | | 5.95% | | |
Portfolio turnover rate | | | | | 17%(4) | | | | | | 32% | | | | | | 34% | | | | | | 111% | | | | | | 61%(4) | | | | | | 103% | | | | | | 50% | | |
| | | The Value Line Tax Exempt Fund, Inc. | | |||||||||||||||||||||||||||||||||||||||
| | | Six Months Ended June 30, 2017 (unaudited) | | | Years Ended December 31, | | | Period Ended December 31, | | | Year Ended February 28, | | | Year Ended February 29, | | |||||||||||||||||||||||||||
| | | 2016 | | | 2015 | | | 2014(1) | | | 2014 | | | 2013 | | | 2012 | | ||||||||||||||||||||||||
Net asset value, beginning of period | | | | $ | 9.75 | | | | | $ | 10.06 | | | | | $ | 10.08 | | | | | $ | 9.87 | | | | | $ | 10.31 | | | | | $ | 10.14 | | | | | $ | 9.43 | | |
Income/(loss) from investment operations: | | | | | | | | | |||||||||||||||||||||||||||||||||||
Net investment income | | | | | 0.13 | | | | | | 0.28 | | | | | | 0.27 | | | | | | 0.22 | | | | | | 0.27 | | | | | | 0.26 | | | | | | 0.29 | | |
Net gains/(losses) on securities (both realized and unrealized) | | | | | 0.14 | | | | | | (0.31) | | | | | | (0.02) | | | | | | 0.21 | | | | | | (0.44) | | | | | | 0.17 | | | | | | 0.71 | | |
Total from investment operations | | | | | 0.27 | | | | | | (0.03) | | | | | | 0.25 | | | | | | 0.43 | | | | | | (0.17) | | | | | | 0.43 | | | | | | 1.00 | | |
Less distributions: | | | | | | | | | |||||||||||||||||||||||||||||||||||
Dividends from net investment income | | | | | (0.13) | | | | | | (0.28) | | | | | | (0.27) | | | | | | (0.22) | | | | | | (0.27) | | | | | | (0.26) | | | | | | (0.29) | | |
Net asset value, end of period | | | | $ | 9.89 | | | | | $ | 9.75 | | | | | $ | 10.06 | | | | | $ | 10.08 | | | | | $ | 9.87 | | | | | $ | 10.31 | | | | | $ | 10.14 | | |
Total return | | | | | 2.80%(2) | | | | | | (0.38)% | | | | | | 2.54% | | | | | | 4.38%(2) | | | | | | (1.55)% | | | | | | 4.33% | | | | | | 10.77% | | |
Ratios/Supplemental Data: | | | | | | | | | |||||||||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | | | | $ | 58,179 | | | | | $ | 62,797 | | | | | $ | 69,039 | | | | | $ | 75,533 | | | | | $ | 78,045 | | | | | $ | 91,124 | | | | | $ | 95,405 | | |
Ratio of gross expenses to average net assets* | | | | | 1.11%(3) | | | | | | 0.99% | | | | | | 1.11% | | | | | | 1.19%(3) | | | | | | 1.08% | | | | | | 1.24% | | | | | | 1.13% | | |
Ratio of net expenses to average net assets** | | | | | 0.86%(3) | | | | | | 0.74% | | | | | | 0.86% | | | | | | 0.94%(3) | | | | | | 0.83% | | | | | | 0.99% | | | | | | 0.88% | | |
Ratio of net investment income to average net assets | | | | | 2.71%(3) | | | | | | 2.75% | | | | | | 2.71% | | | | | | 2.61%(3) | | | | | | 2.79% | | | | | | 2.58% | | | | | | 2.95% | | |
Portfolio turnover rate | | | | | 4%(2) | | | | | | 18% | | | | | | 6% | | | | | | 4%(2) | | | | | | 11% | | | | | | 28% | | | | | | 24% | | |
Notes to Financial Statements | June 30, 2017 |
| | | Six Months Ended June 30, 2017 (unaudited) | | | Year Ended December 31, 2016 | | ||||||
Value Line Core Bond Fund | | | | ||||||||||
Dividends per share from net investment income . . | | | | $ | 0.1436 | | | | | $ | 0.2611 | | |
The Value Line Tax Exempt Fund, Inc. | | | | ||||||||||
Dividends per share from net investment income . . | | | | $ | 0.1317 | | | | | $ | 0.2779 | | |
Fund | | | Value of Securities Loaned | | | Value of Collateral | | | Total Collateral (including Calculated Mark)* | | |||||||||
Value Line Core Bond Fund | | | | $ | 805,881 | | | | | $ | 823,565 | | | | | $ | 822,880 | | |
| | | Remaining Contractual Maturity of the Agreements As of June 30, 2017 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | <30 days | | | Between 30 & 90 days | | | >90 days | | | Total | | |||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 823,565 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 823,565 | | |
Total Borrowings | | | | $ | 823,565 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 823,565 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 823,565 | | |
Fund | | | Purchases of Investment Securities | | | Sales of Investment Securities | | | Purchases of U.S. Government Agency Obligations | | | Sales of U.S. Government Agency Obligations | | ||||||||||||
Value Line Core Bond Fund | | | | $ | 8,824,396 | | | | | $ | 6,848,315 | | | | | $ | 3,506,856 | | | | | $ | 4,153,138 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 2,585,777 | | | | | | 7,090,382 | | | | | | — | | | | | | — | | |
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 | | | | $ | 63,549,553 | | | | | $ | 1,255,331 | | | | | $ | (459,176) | | | | | $ | 796,155 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 55,527,091 | | | | | | 1,635,096 | | | | | | (443,123) | | | | | | 1,191,973 | | |
Fund | | | Advisory Fee | | | Waived Amount | | ||||||
Value Line Core Bond Fund | | | | $ | 161,876 | | | | | $ | 79,967 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 149,606 | | | | | | — | | |
Fund | | | Distribution & Service Fees | | | Waived Amount | | ||||||
Value Line Core Bond Fund | | | | $ | 80,938 | | | | | $ | — | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 74,803 | | | | | | 74,803 | | |
Expiration | | | Fees Waived and Reimbursed by the Adviser | | |||
December 31, 2018 | | | | $ | 78,033 | | |
December 31, 2019 | | | | | 146,308 | | |
December 31, 2020 | | | | | 79,967 | | |
Derivative Type | | | Location of Gain or (Loss) on Derivatives | | | Realized Gain or (Loss) on Derivatives | | | Change in Unrealized Appreciation or (Depreciation) | | ||||||
Interest rate contracts | | | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | | | | $ | 11,866 | | | | | $ | (11,907) | | |
| | | Average Notional Amount | | |||
Futures contracts – Long | | | | $ | 108,884 | | |
Futures contracts – Short | | | | $ | 511,110 | | |
| | | Beginning Account Value 1/1/17 | | | Ending Account Value 6/30/17 | | | Expenses Paid During Period 1/1/17 thru 6/30/17* | | |||||||||
Actual | | | | | |||||||||||||||
Value Line Core Bond Fund | | | | $ | 1,000.00 | | | | | $ | 1,022.70 | | | | | $ | 4.97 | | |
The Value Line Tax Exempt Fund, Inc | | | | | 1,000.00 | | | | | | 1,028.00 | | | | | | 4.32 | | |
Hypothetical (5% return before expenses) | | | | | |||||||||||||||
Value Line Core Bond Fund | | | | | 1,000.00 | | | | | | 1,019.89 | | | | | | 4.96 | | |
The Value Line Tax Exempt Fund, Inc | | | | | 1,000.00 | | �� | | | | 1,020.53 | | | | | | 4.31 | | |
CONTINUANCE OF THE INVESTMENT ADVISORY AGREEMENT FOR
VALUE LINE CORE BOND FUND AND THE VALUE LINE TAX EXEMPT FUND, INC.
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Item 5. Audit Committee of Listed Registrants
Not Applicable.
Item 6. Investments
Not Applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not Applicable
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not Applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not Applicable
Item 10. Submission of Matters to a Vote of Security Holders
Not Applicable
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in rule 30a-2(c) under the Act (17 CFR 270.30a-2(c) ) based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report, are appropriately designed to ensure that material information relating to the registrant is made known to such officers and are operating effectively. |
(b) | The registrant’s principal executive officer and principal financial officer have determined that there have been no significant changes in the registrant’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including corrective actions with regard to significant deficiencies and material weaknesses. |
Item 12. Exhibits.
(a) | (1) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2) attached hereto as Exhibit 99.CERT. |
(2) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
By | /s/ Mitchell E. Appel | |
Mitchell E. Appel, President | ||
Date: | September 7, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Mitchell E. Appel | |
Mitchell E. Appel, President, Principal Executive Officer | ||
By: | /s/ Emily D. Washington | |
Emily D. Washington, Treasurer, Principal Financial Officer | ||
Date: | September 7, 2017 |