UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file Number 811- 04471
Value Line Core Bond Fund
(Exact name of registrant as specified in charter)
7 Times Square, New York, N.Y. 10036
(Address of principal executive offices) (Zip Code)
Registrant’s telephone number, including area code: 212-907-1900
Date of fiscal period end: December 31, 2015
Date of reporting period: December 31, 2015
Item I. Reports to Stockholders
A copy of the Annual Report to Stockholders for the period ended 12/31/15 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
Portfolio Highlights at December 31, 2015 (unaudited)
Issue | | | Principal Amount | | | Value | | | Percentage of Net Assets | | |||||||||
FNMA Pool #MA1107, 3.50%, 7/1/32 | | | | $ | 1,039,679 | | | | | $ | 1,086,980 | | | | | | 1.5% | | |
U.S. Treasury Bonds, 5.25%, 11/15/28 | | | | | 825,000 | | | | | | 1,077,881 | | | | | | 1.5% | | |
U.S. Treasury Notes, 1.50%, 1/31/22 | | | | | 1,000,000 | | | | | | 972,109 | | | | | | 1.4% | | |
U.S. Treasury Bonds, 3.63%, 8/15/43 | | | | | 625,000 | | | | | | 703,882 | | | | | | 1.0% | | |
U.S. Treasury Bonds, 4.38%, 2/15/38 | | | | | 550,000 | | | | | | 694,074 | | | | | | 1.0% | | |
U.S. Treasury Notes, 1.38%, 3/31/20 | | | | | 700,000 | | | | | | 691,387 | | | | | | 1.0% | | |
FNMA Pool #AS5906, 3.50%, 10/1/45 | | | | | 646,509 | | | | | | 667,511 | | | | | | 0.9% | | |
U.S. Treasury Bonds, 2.00%, 1/15/26 | | | | | 599,165 | | | | | | 665,682 | | | | | | 0.9% | | |
FHLMC Gold PC Pool #A95803, 4.00%, 12/1/40 | | | | | 572,983 | | | | | | 608,615 | | | | | | 0.8% | | |
U.S. Treasury Notes, 2.13%, 6/30/21 | | | | | 600,000 | | | | | | 607,547 | | | | | | 0.8% | | |
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Portfolio Highlights at December 31, 2015 (unaudited) (continued)
| | | Percentage of Fund’s Investments | | |||
Less than 4% | | | | | 57.0% | | |
4 – 4.99% | | | | | 19.1% | | |
5 – 5.99% | | | | | 16.8% | | |
6 – 6.99% | | | | | 4.3% | | |
7 – 7.99% | | | | | 2.8% | | |
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| | | Average Annual Total Return | | | Growth of an Assumed Investment of $10,000 | | ||||||
1 year ended 12/31/15 | | | | | 0.22% | | | | | $ | 10,022 | | |
5 years ended 12/31/15 | | | | | 3.38% | | | | | $ | 11,810 | | |
10 years ended 12/31/15 | | | | | 4.97% | | | | | $ | 16,236 | | |
Schedule of Investments
| Principal Amount | | | | | | Value | | ||||||
| ASSET-BACKED SECURITIES (4.9%) | | ||||||||||||
| | $ | 231,000 | | | | Ally Master Owner Trust, Series 2012-5, Class A, 1.54%, 9/15/19 | | | | $ | 229,618 | | |
| | | 140,000 | | | | Americredit Automobile Receivables Trust, Series 2014-4, Class A3, 1.27%, 7/8/19 | | | | | 139,516 | | |
| | | 270,000 | | | | Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 1.92%, 9/20/19(1) | | | | | 267,976 | | |
| | | 150,000 | | | | Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.46%, 7/20/20(1) | | | | | 150,475 | | |
| | | 194,000 | | | | Capital Auto Receivables Asset Trust, Series 2014-2, Class A3, 1.26%, 5/21/18 | | | | | 193,759 | | |
| | | 275,000 | | | | Capital Auto Receivables Asset Trust, Series 2014-2, Class A4, 1.62%, 10/22/18 | | | | | 274,567 | | |
| | | 200,000 | | | | CarMax Auto Owner Trust, Series 2015-1, Class A4, 1.83%, 7/15/20 | | | | | 199,007 | | |
| | | 150,000 | | | | Chrysler Capital Auto Receivables Trust, Series 2014-BA, Class A3, 1.27%, 5/15/19(1) | | | | | 149,555 | | |
| | | 190,000 | | | | Chrysler Capital Auto Receivables Trust, Series 2015-AA, Class A4, 1.55%, 2/18/20(1) | | | | | 188,189 | | |
| | | 200,000 | | | | Citibank Credit Card Issuance Trust, Series 2014-A8, Class A8, 1.73%, 4/9/20 | | | | | 200,468 | | |
| | | 350,000 | | | | Ford Credit Auto Lease Trust, Series 2014-B, Class A4, 1.10%, 11/15/17 | | | | | 348,926 | | |
| | | 150,000 | | | | Ford Credit Auto Owner Trust, Series 2014-A, Class A4, 1.29%, 4/15/19 | | | | | 149,600 | | |
| | | 200,000 | | | | Ford Credit Auto Owner Trust, Series 2015-1, Class A, 2.12%, 7/15/26(1) | | | | | 197,477 | | |
| Principal Amount | | | | | | Value | | ||||||
| ASSET-BACKED SECURITIES (4.9%) (continued) | | ||||||||||||
| | $ | 245,000 | | | | Ford Credit Floorplan Master Owner Trust A, Series 2013-1, Class A1, 0.85%, 1/15/18 | | | | $ | 244,985 | | |
| | | 300,000 | | | | Synchrony Credit Card Master Note Trust, Series 2012-2, Class A, 2.22%, 1/15/22 | | | | | 300,804 | | |
| | | 110,000 | | | | Synchrony Credit Card Master Note Trust, Series 2012-7, Class A, 1.76%, 9/15/22 | | | | | 107,710 | | |
| | | 200,000 | | | | World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.14%, 1/17/23 | | | | | 205,941 | | |
| TOTAL ASSET-BACKED SECURITIES (Cost $3,578,183) (4.9%) | | | | | 3,548,573 | | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (5.7%) | | ||||||||||||
| | | 145,531 | | | | Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class A4, 5.69%, 6/11/50(2) | | | | | 151,784 | | |
| | | 346,527 | | | | Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.43%, 10/15/49 | | | | | 351,167 | | |
| | | 337,581 | | | | Commercial Mortgage Trust, Series 2007-GG9, Class A4, 5.44%, 3/10/39 | | | | | 345,103 | | |
| | | 200,000 | | | | FREMF Mortgage Trust, Series 2012-K711, Class B, 3.56%, 8/25/45(1)(2) | | | | | 202,244 | | |
| | | 88,104 | | | | FREMF Mortgage Trust, Series 2013-KF02, Class B, 3.42%, 12/25/45(1)(2) | | | | | 90,501 | | |
| | | 200,000 | | | | FREMF Mortgage Trust, Series 2013-K713, Class B, 3.16%, 4/25/46(1)(2) | | | | | 198,842 | | |
| | | 297,374 | | | | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | | | | | 288,408 | | |
| | | 600,000 | | | | GNMA, Series 2013-12, Class B, 2.19%, 11/16/52(2) | | | | | 578,452 | | |
| | | 342,712 | | | | GNMA, Series 2012-125, Class AB, 2.11%, 2/16/53(2) | | | | | 330,453 | | |
| Principal Amount | | | | | | Value | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (5.7%) (continued) | | ||||||||||||
| | $ | 255,000 | | | | GS Mortgage Securities Trust, Series 2012-GCJ7, Class A4, 3.38%, 5/10/45 | | | | $ | 260,945 | | |
| | | 238,975 | | | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class A1A, 5.75%, 2/12/51(2) | | | | | 249,900 | | |
| | | 150,000 | | | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A2, 3.00%, 10/15/46 | | | | | 153,153 | | |
| | | 400,000 | | | | Morgan Stanley Capital I Trust, Series 2012-C4, Class A4, 3.24%, 3/15/45 | | | | | 408,156 | | |
| | | 153,078 | | | | Sequoia Mortgage Trust, Series 2004-8, Class A1, 1.10%, 9/20/34(2) | | | | | 145,694 | | |
| | | 153,923 | | | | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 4A2, 2.55%, 6/25/34(2) | | | | | 143,968 | | |
| | | 206,222 | | | | Thornburg Mortgage Securities Trust, Series 2005-1, Class A3, 2.27%, 4/25/45(2) | | | | | 206,020 | | |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $4,278,099) (5.7%) | | | | | 4,104,790 | | | ||||||
| CORPORATE BONDS & NOTES (42.6%) | | ||||||||||||
| | | | | | | BASIC MATERIALS (1.0%) | | ||||||
| | | 100,000 | | | | ArcelorMittal, Senior Unsecured Notes, 5.50%, 2/25/17 | | | | | 96,590 | | |
| | | 150,000 | | | | Celanese U.S. Holdings LLC, Guaranteed Notes, 4.63%, 11/15/22 | | | | | 147,750 | | |
| | | 200,000 | | | | LYB International Finance B.V., Guaranteed Notes, 4.00%, 7/15/23(3) | | | | | 199,373 | | |
| | | 150,000 | | | | Mosaic Co. (The), Senior Unsecured Notes, 5.45%, 11/15/33 | | | | | 151,602 | | |
| | | 150,000 | | | | Steel Dynamics, Inc., Guaranteed Notes, 6.13%, 8/15/19(3) | | | | | 151,125 | | |
| | | | | | | | | | | | 746,440 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (42.6%) (continued) | | ||||||||||||
| | | | | | | COMMUNICATIONS (3.9%) | | ||||||
| | $ | 175,000 | | | | Amazon.com, Inc., Senior Unsecured Notes, 4.80%, 12/5/34 | | | | $ | 184,253 | | |
| | | 100,000 | | | | Baidu, Inc., Senior Unsecured Notes, 2.75%, 6/9/19 | | | | | 99,130 | | |
| | | 150,000 | | | | CBS Corp., Guaranteed Notes, 3.70%, 8/15/24 | | | | | 145,876 | | |
| | | 150,000 | | | | Comcast Corp., Guaranteed Notes, 6.45%, 3/15/37 | | | | | 186,687 | | |
| | | 250,000 | | | | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Guaranteed Notes, 3.80%, 3/15/22 | | | | | 251,581 | | |
| | | 250,000 | | | | Expedia, Inc., Guaranteed Notes, 4.50%, 8/15/24 | | | | | 241,287 | | |
| | | 250,000 | | | | Netflix, Inc., Senior Unsecured Notes, 5.75%, 3/1/24 | | | | | 256,875 | | |
| | | 200,000 | | | | Scripps Networks Interactive, Inc., Senior Unsecured Notes, 2.80%, 6/15/20 | | | | | 195,105 | | |
| | | 250,000 | | | | T-Mobile USA, Inc., Guaranteed Notes, 6.63%, 11/15/20 | | | | | 259,872 | | |
| | | 250,000 | | | | Telefonica Emisiones SAU, Guaranteed Notes, 5.88%, 7/15/19 | | | | | 274,758 | | |
| | | 300,000 | | | | Tencent Holdings, Ltd., Senior Unsecured Notes, 3.38%, 5/2/19(1) | | | | | 305,054 | | |
| | | 209,000 | | | | Verizon Communications, Inc., Senior Unsecured Notes, 2.50%, 9/15/16 | | | | | 210,631 | | |
| | | 150,000 | | | | Verizon Communications, Inc., Senior Unsecured Notes, 6.55%, 9/15/43 | | | | | 178,082 | | |
| | | | | | | | | | | | 2,789,191 | | |
| | | | | | | CONSUMER, CYCLICAL (4.9%) | | ||||||
| | | 200,000 | | | | CalAtlantic Group, Inc., Guaranteed Notes, 6.63%, 5/1/20 | | | | | 218,000 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (42.6%) (continued) | | ||||||||||||
| | | | | | | CONSUMER, CYCLICAL (4.9%) (continued) | | ||||||
| | $ | 300,000 | | | | CVS Health Corp., Senior Unsecured Notes, 6.60%, 3/15/19 | | | | $ | 339,251 | | |
| | | 150,000 | | | | D.R. Horton, Inc., Guaranteed Notes, 4.00%, 2/15/20(3) | | | | | 150,855 | | |
| | | 250,000 | | | | Ford Motor Co., Senior Unsecured Notes, 7.45%, 7/16/31 | | | | | 308,503 | | |
| | | 300,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 1.72%, 12/6/17 | | | | | 295,379 | | |
| | | 250,000 | | | | General Motors Financial Co., Inc., Guaranteed Notes, 2.75%, 5/15/16 | | | | | 250,731 | | |
| | | 250,000 | | | | General Motors Financial Co., Inc., Guaranteed Notes, 2.40%, 4/10/18 | | | | | 248,773 | | |
| | | 100,000 | | | | Goodyear Tire & Rubber Co. (The), Guaranteed Notes, 6.50%, 3/1/21 | | | | | 105,125 | | |
| | | 275,000 | | | | Kia Motors Corp., Senior Unsecured Notes, 3.63%, 6/14/16(1) | | | | | 277,252 | | |
| | | 200,000 | | | | L Brands, Inc., Guaranteed Notes, 6.63%, 4/1/21(3) | | | | | 221,500 | | |
| | | 200,000 | | | | Magna International, Inc., Senior Unsecured Notes, 4.15%, 10/1/25(3) | | | | | 203,609 | | |
| | | 150,000 | | | | NIKE, Inc., Senior Unsecured Notes, 3.88%, 11/1/45 | | | | | 144,750 | | |
| | | 100,000 | | | | Nissan Motor Acceptance Corp., Senior Unsecured Notes, 2.35%, 3/4/19(1) | | | | | 99,629 | | |
| | | 100,000 | | | | Nordstrom, Inc., Senior Unsecured Notes, 5.00%, 1/15/44 | | | | | 103,357 | | |
| | | 150,000 | | | | Royal Caribbean Cruises, Ltd., Senior Unsecured Notes, 5.25%, 11/15/22 | | | | | 153,750 | | |
| | | 150,000 | | | | Toll Brothers Finance Corp., Guaranteed Notes, 4.88%, 11/15/25 | | | | | 147,375 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (42.6%) (continued) | | ||||||||||||
| | | | | | | CONSUMER, CYCLICAL (4.9%) (continued) | | ||||||
| | $ | 250,000 | | | | Wyndham Worldwide Corp., Senior Unsecured Notes, 3.90%, 3/1/23 | | | | $ | 243,246 | | |
| | | | | | | | | | | | 3,511,085 | | |
| | | | | | | CONSUMER, NON-CYCLICAL (6.2%) | | ||||||
| | | 150,000 | | | | AbbVie, Inc., Senior Unsecured Notes, 4.70%, 5/14/45 | | | | | 146,620 | | |
| | | 125,000 | | | | Actavis Funding SCS, Guaranteed Notes, 2.35%, 3/12/18 | | | | | 125,130 | | |
| | | 200,000 | | | | Actavis Funding SCS, Guaranteed Notes, 2.45%, 6/15/19 | | | | | 197,838 | | |
| | | 200,000 | | | | AmerisourceBergen Corp., Senior Unsecured Notes, 3.25%, 3/1/25 | | | | | 193,638 | | |
| | | 250,000 | | | | Amgen, Inc., Senior Unsecured Notes, 3.88%, 11/15/21 | | | | | 260,469 | | |
| | | 250,000 | | | | Celgene Corp., Senior Unsecured Notes, 4.00%, 8/15/23(3) | | | | | 256,512 | | |
| | | 200,000 | | | | Constellation Brands, Inc., Guaranteed Notes, 4.25%, 5/1/23 | | | | | 200,000 | | |
| | | 300,000 | | | | Edwards Lifesciences Corp., Senior Unsecured Notes, 2.88%, 10/15/18 | | | | | 303,480 | | |
| | | 250,000 | | | | Express Scripts Holding Co., Guaranteed Notes, 4.75%, 11/15/21 | | | | | 268,065 | | |
| | | 150,000 | | | | Gilead Sciences, Inc., Senior Unsecured Notes, 2.35%, 2/1/20 | | | | | 150,101 | | |
| | | 150,000 | | | | HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25 | | | | | 148,125 | | |
| | | 200,000 | | | | JM Smucker Co. (The), Guaranteed Notes, 4.38%, 3/15/45 | | | | | 194,712 | | |
| | | 150,000 | | | | Kroger Co. (The), Senior Unsecured Notes, 2.95%, 11/1/21 | | | | | 148,467 | | |
| | | 350,000 | | | | Kroger Co. (The), Senior Unsecured Notes, 5.15%, 8/1/43 | | | | | 366,666 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (42.6%) (continued) | | ||||||||||||
| | | | | | | CONSUMER, NON-CYCLICAL (6.2%) (continued) | | ||||||
| | $ | 150,000 | | | | LifePoint Health, Inc., Guaranteed Notes, 5.50%, 12/1/21(3) | | | | $ | 152,625 | | |
| | | 250,000 | | | | Mylan, Inc., Guaranteed Notes, 1.35%, 11/29/16 | | | | | 247,904 | | |
| | | 150,000 | | | | NYU Hospitals Center, Unsecured Notes, 4.78%, 7/1/44 | | | | | 149,735 | | |
| | | 100,000 | | | | Quest Diagnostics, Inc., Senior Unsecured Notes, 3.50%, 3/30/25 | | | | | 96,612 | | |
| | | 250,000 | | | | Service Corp. International, Senior Unsecured Notes, 7.00%, 6/15/17 | | | | | 266,875 | | |
| | | 250,000 | | | | Sysco Corp., Guaranteed Notes, 3.75%, 10/1/25 | | | | | 253,429 | | |
| | | 100,000 | | | | UnitedHealth Group, Inc., Senior Unsecured Notes, 2.88%, 12/15/21 | | | | | 101,387 | | |
| | | 244,000 | | | | Wm Wrigley Jr Co., Senior Unsecured Notes, 2.00%, 10/20/17(1) | | | | | 244,395 | | |
| | | | | | | | | | | | 4,472,785 | | |
| | | | | | | ENERGY (2.1%) | | ||||||
| | | 250,000 | | | | Anadarko Petroleum Corp., Senior Unsecured Notes, 6.38%, 9/15/17 | | | | | 262,156 | | |
| | | 150,000 | | | | DCP Midstream Operating L.P., Guaranteed Notes, 2.50%, 12/1/17 | | | | | 134,985 | | |
| | | 200,000 | | | | Enterprise Products Operating LLC, Guaranteed Notes, 4.85%, 8/15/42 | | | | | 159,897 | | |
| | | 200,000 | | | | Kinder Morgan Energy Partners L.P., Guaranteed Notes, 2.65%, 2/1/19 | | | | | 184,895 | | |
| | | 100,000 | | | | Marathon Oil Corp., Senior Unsecured Notes, 3.85%, 6/1/25(3) | | | | | 80,485 | | |
| | | 100,000 | | | | Occidental Petroleum Corp., Senior Unsecured Notes, 4.63%, 6/15/45(3) | | | | | 96,999 | | |
| | | 200,000 | | | | Phillips 66, Guaranteed Notes, 4.30%, 4/1/22 | | | | | 205,759 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (42.6%) (continued) | | ||||||||||||
| | | | | | | ENERGY (2.1%) (continued) | | ||||||
| | $ | 250,000 | | | | Spectra Energy Partners L.P., Senior Unsecured Notes, 4.75%, 3/15/24 | | | | $ | 242,169 | | |
| | | 150,000 | | | | Valero Energy Corp., Senior Unsecured Notes, 6.63%, 6/15/37 | | | | | 150,813 | | |
| | | | | | | | | | | | 1,518,158 | | |
| | | | | | | FINANCIAL (19.7%) | | ||||||
| | | 100,000 | | | | Aflac, Inc., Senior Unsecured Notes, 3.25%, 3/17/25 | | | | | 98,686 | | |
| | | 250,000 | | | | Aircastle Ltd., Senior Unsecured Notes, 4.63%, 12/15/18 | | | | | 255,625 | | |
| | | 200,000 | | | | Ally Financial, Inc., Guaranteed Notes, 4.75%, 9/10/18 | | | | | 204,750 | | |
| | | 250,000 | | | | American Express Co., Senior Unsecured Notes, 0.97%, 5/22/18(2) | | | | | 248,451 | | |
| | | 300,000 | | | | Australia & New Zealand Banking Group Ltd., Subordinated Notes, 4.50%, 3/19/24(1) | | | | | 301,066 | | |
| | | 200,000 | | | | AvalonBay Communities, Inc. GMTN, Senior Unsecured Notes, 3.45%, 6/1/25 | | | | | 197,481 | | |
| | | 150,000 | | | | Banco Bilbao Vizcaya Argentaria S.A., Senior Unsecured Notes, 3.00%, 10/20/20(3) | | | | | 149,356 | | |
| | | 200,000 | | | | Bancolombia S.A., Senior Unsecured Notes, 5.95%, 6/3/21 | | | | | 206,250 | | |
| | | 250,000 | | | | Bank of America Corp. MTN, Subordinated Notes, 4.20%, 8/26/24 | | | | | 248,045 | | |
| | | 250,000 | | | | Bank of America Corp., Series L, Senior Unsecured Notes, 1.35%, 11/21/16 | | | | | 249,671 | | |
| | | 300,000 | | | | Bank of China Hong Kong Ltd., Senior Unsecured Notes, 3.75%, 11/8/16(1) | | | | | 305,217 | | |
| | | 500,000 | | | | BlackRock, Inc., Series 2, Senior Unsecured Notes, 5.00%, 12/10/19 | | | | | 552,849 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (42.6%) (continued) | | ||||||||||||
| | | | | | | FINANCIAL (19.7%) (continued) | | ||||||
| | $ | 250,000 | | | | BPCE S.A., Guaranteed Notes, 2.50%, 12/10/18 | | | | $ | 252,118 | | |
| | | 200,000 | | | | Capital One Financial Corp., Senior Unsecured Notes, 3.75%, 4/24/24 | | | | | 201,295 | | |
| | | 150,000 | | | | CIT Group, Inc., Senior Unsecured Notes, 5.00%, 8/15/22(3) | | | | | 154,032 | | |
| | | 200,000 | | | | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | | | | | 208,035 | | |
| | | 350,000 | | | | CNA Financial Corp., Senior Unsecured Notes, 3.95%, 5/15/24 | | | | | 348,424 | | |
| | | 250,000 | | | | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, Guaranteed Notes, 3.95%, 11/9/22 | | | | | 253,056 | | |
| | | 250,000 | | | | Credit Agricole S.A., Senior Unsecured Notes, 2.13%, 4/17/18(1)(3) | | | | | 250,613 | | |
| | | 200,000 | | | | Deutsche Bank AG, Senior Unsecured Notes, 1.88%, 2/13/18 | | | | | 198,299 | | |
| | | 200,000 | | | | Digital Realty Trust L.P., Guaranteed Notes, 5.25%, 3/15/21 | | | | | 215,960 | | |
| | | 250,000 | | | | Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24 | | | | | 246,440 | | |
| | | 350,000 | | | | EPR Properties, Guaranteed Notes, 5.25%, 7/15/23 | | | | | 356,429 | | |
| | | 250,000 | | | | Essex Portfolio L.P., Guaranteed Notes, 3.38%, 1/15/23 | | | | | 245,169 | | |
| | | 250,000 | | | | Fifth Third Bancorp, Senior Unsecured Notes, 2.88%, 7/27/20 | | | | | 249,722 | | |
| | | 272,000 | | | | Goldman Sachs Group, Inc. (The), Senior Unsecured Notes, 5.75%, 10/1/16 | | | | | 280,524 | | |
| | | 100,000 | | | | Goldman Sachs Group, Inc. (The), Subordinated Notes, 6.75%, 10/1/37 | | | | | 116,894 | | |
| | | 350,000 | | | | Hospitality Properties Trust, Senior Unsecured Notes, 4.65%, 3/15/24 | | | | | 344,488 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (42.6%) (continued) | | ||||||||||||
| | | | | | | FINANCIAL (19.7%) (continued) | | ||||||
| | $ | 350,000 | | | | Host Hotels & Resorts L.P., Senior Unsecured Notes, 5.25%, 3/15/22 | | | | $ | 375,702 | | |
| | | 250,000 | | | | HSBC Holdings PLC, Senior Unsecured Notes, 4.00%, 3/30/22 | | | | | 262,442 | | |
| | | 250,000 | | | | Huntington National Bank (The), Senior Unsecured Notes, 2.20%, 11/6/18 | | | | | 249,309 | | |
| | | 200,000 | | | | International Lease Finance Corp., Senior Secured Notes, 7.13%, 9/1/18(1) | | | | | 219,250 | | |
| | | 200,000 | | | | JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26 | | | | | 199,449 | | |
| | | 300,000 | | | | JPMorgan Chase Bank NA, Subordinated Notes, 6.00%, 10/1/17 | | | | | 320,748 | | |
| | | 250,000 | | | | Korea Development Bank (The), Senior Unsecured Notes, 4.00%, 9/9/16 | | | | | 254,643 | | |
| | | 250,000 | | | | Lloyds Bank PLC, Guaranteed Notes, 3.50%, 5/14/25(3) | | | | | 250,821 | | |
| | | 160,000 | | | | Macquarie Bank Ltd., Senior Unsecured Notes, 5.00%, 2/22/17(1) | | | | | 165,481 | | |
| | | 250,000 | | | | Macquarie Bank Ltd., Senior Unsecured Notes, 2.60%, 6/24/19(1) | | | | | 249,751 | | |
| | | 400,000 | | | | Morgan Stanley, Senior Unsecured Notes, 4.75%, 3/22/17 | | | | | 414,328 | | |
| | | 300,000 | | | | Nomura Holdings, Inc. GMTN, Senior Unsecured Notes, 2.75%, 3/19/19(3) | | | | | 301,618 | | |
| | | 250,000 | | | | PNC Funding Corp., Guaranteed Notes, 5.13%, 2/8/20(3) | | | | | 274,927 | | |
| | | 350,000 | | | | ProLogis L.P., Guaranteed Notes, 2.75%, 2/15/19 | | | | | 353,660 | | |
| | | 250,000 | | | | Regions Financial Corp., Senior Unsecured Notes, 2.00%, 5/15/18 | | | | | 248,233 | | |
| | | 166,000 | | | | Royal Bank of Scotland Group PLC, Senior Unsecured Notes, 1.88%, 3/31/17 | | | | | 165,305 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (42.6%) (continued) | | ||||||||||||
| | | | | | | FINANCIAL (19.7%) (continued) | | ||||||
| | $ | 300,000 | | | | Santander Holdings USA, Inc., Senior Unsecured Notes, 2.65%, 4/17/20 | | | | $ | 294,320 | | |
| | | 250,000 | | | | Societe Generale S.A., Senior Unsecured Notes, 5.20%, 4/15/21 | | | | | 280,557 | | |
| | | 300,000 | | | | Standard Chartered PLC, Senior Unsecured Notes, 1.50%, 9/8/17(1) | | | | | 298,065 | | |
| | | 350,000 | | | | Stifel Financial Corp., Senior Unsecured Notes, 4.25%, 7/18/24 | | | | | 347,741 | | |
| | | 150,000 | | | | Synchrony Financial, Senior Unsecured Notes, 3.00%, 8/15/19 | | | | | 149,792 | | |
| | | 200,000 | | | | Synchrony Financial, Senior Unsecured Notes, 3.75%, 8/15/21 | | | | | 199,781 | | |
| | | 150,000 | | | | UBS AG MTN, Senior Unsecured Notes, 2.35%, 3/26/20 | | | | | 149,824 | | |
| | | 250,000 | | | | US Bancorp MTN, Subordinated Notes, 3.60%, 9/11/24 | | | | | 254,048 | | |
| | | 350,000 | | | | Wells Fargo & Co., Senior Unsecured Notes, 5.63%, 12/11/17(3) | | | | | 375,494 | | |
| | | 300,000 | | | | Weyerhaeuser Co., Senior Unsecured Notes, 7.38%, 10/1/19 | | | | | 344,567 | | |
| | | 250,000 | | | | XLIT Ltd., Guaranteed Notes, 5.75%, 10/1/21 | | | | | 278,586 | | |
| | | | | | | | | | | | 14,217,387 | | |
| | | | | | | INDUSTRIAL (2.0%) | | ||||||
| | | 175,000 | | | | Ball Corp., Guaranteed Notes, 5.25%, 7/1/25 | | | | | 178,937 | | |
| | | 200,000 | | | | Briggs & Stratton Corp., Guaranteed Notes, 6.88%, 12/15/20 | | | | | 217,000 | | |
| | | 250,000 | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes, 3.05%, 3/15/22 | | | | | 250,648 | | |
| | | 100,000 | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes, 4.15%, 4/1/45 | | | | | 90,633 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (42.6%) (continued) | | ||||||||||||
| | | | | | | INDUSTRIAL (2.0%) (continued) | | ||||||
| | $ | 250,000 | | | | Masco Corp., Senior Unsecured Notes, 7.13%, 3/15/20 | | | | $ | 288,750 | | |
| | | 8,000 | | | | Owens Corning, Inc., Guaranteed Notes, 6.50%, 12/1/16 | | | | | 8,231 | | |
| | | 250,000 | | | | Packaging Corp. of America, Senior Unsecured Notes, 3.65%, 9/15/24 | | | | | 242,972 | | |
| | | 200,000 | | | | Textron, Inc., Senior Unsecured Notes, 3.88%, 3/1/25 | | | | | 196,096 | | |
| | | | | | | | | | | | 1,473,267 | | |
| | | | | | | TECHNOLOGY (0.8%) | | ||||||
| | | 100,000 | | | | Analog Devices, Inc., Senior Unsecured Notes, 3.90%, 12/15/25(3) | | | | | 100,956 | | |
| | | 150,000 | | | | Cadence Design Systems, Inc., Senior Unsecured Notes, 4.38%, 10/15/24 | | | | | 148,922 | | |
| | | 150,000 | | | | Microsoft Corp., Senior Unsecured Notes, 4.45%, 11/3/45 | | | | | 154,683 | | |
| | | 150,000 | | | | QUALCOMM, Inc., Senior Unsecured Notes, 3.45%, 5/20/25 | | | | | 143,874 | | |
| | | | | | | | | | | | 548,435 | | |
| | | | | | | UTILITIES (2.0%) | | ||||||
| | | 100,000 | | | | Consolidated Edison Co. of New York, Inc., Senior Unsecured Notes, 4.50%, 12/1/45 | | | | | 101,228 | | |
| | | 200,000 | | | | Consumers Energy Co., 3.13%, 8/31/24 | | | | | 199,632 | | |
| | | 300,000 | | | | Exelon Generation Co. LLC, Senior Unsecured Notes, 5.20%, 10/1/19 | | | | | 323,186 | | |
| | | 380,000 | | | | Florida Power & Light Co., 4.95%, 6/1/35 | | | | | 417,234 | | |
| | | 150,000 | | | | National Fuel Gas Co., Senior Unsecured Notes, 5.20%, 7/15/25 | | | | | 137,595 | | |
| | | 250,000 | | | | Southern Co. (The), Senior Unsecured Notes, 2.75%, 6/15/20 | | | | | 247,459 | | |
| | | | | | | | | | | | 1,426,334 | | |
| TOTAL CORPORATE BONDS & NOTES (Cost $30,842,253) (42.6%) | | | | | 30,703,082 | | |
| Principal Amount | | | | | | Value | | ||||||
| FOREIGN GOVERNMENT OBLIGATIONS (0.8%) | | ||||||||||||
| | $ | 300,000 | | | | Mexico Government International Bond, Senior Unsecured Notes, 5.13%, 1/15/20 | | | | $ | 327,000 | | |
| | | 250,000 | | | | Poland Government International Bond, Senior Unsecured Notes, 4.00%, 1/22/24 | | | | | 263,000 | | |
| TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $569,971) (0.8%) | | | | | 590,000 | | | ||||||
| LONG-TERM MUNICIPAL SECURITIES (2.6%) | | ||||||||||||
| | | | | | | CALIFORNIA (0.9%) | | ||||||
| | | 125,000 | | | | Los Angeles Unified School District, General Obligation Unlimited, Qualified School Construction Bonds, Series J-1, 5.98%, 5/1/27 | | | | | 149,440 | | |
| | | 85,000 | | | | University of California, Taxable General Revenue Bonds, Series AG, 4.06%, 5/15/33 | | | | | 86,760 | | |
| | | 200,000 | | | | California Educational Facilities Authority, Revenue Bonds, Loyola Marymount University, Series A, 2.96%, 10/1/21 | | | | | 201,434 | | |
| | | 200,000 | | | | State of California, Build America Bond, General Obligation Unlimited, 5.70%, 11/1/21 | | | | | 234,274 | | |
| | | | | | | | | | | | 671,908 | | |
| | | | | | | NEW YORK (0.4%) | | ||||||
| | | 300,000 | | | | City of New York, General Obligation Unlimited, Subser. D2, 2.60%, 8/1/20 | | | | | 304,698 | | |
| | | | | | | TEXAS (1.1%) | | ||||||
| | | 500,000 | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | | | | | 492,215 | | |
| Principal Amount | | | | | | Value | | ||||||
| LONG-TERM MUNICIPAL SECURITIES (2.6%) (continued) | | ||||||||||||
| | | | | | | TEXAS (1.1%) (continued) | | ||||||
| | $ | 250,000 | | | | Dallas Independent School District Qualified School Construction Notes, General Obligation Limited, 5.05%, 8/15/33 | | | | $ | 268,383 | | |
| | | | | | | | | | | | 760,598 | | |
| | | | | | | VIRGINIA (0.2%) | | ||||||
| | | 100,000 | | | | City of Norfolk, Taxable Build America Bonds, General Obligation Unlimited, Series B, 5.91%, 3/1/29 | | | | | 121,483 | | |
| TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $1,832,627) (2.6%) | | | | | 1,858,687 | | | ||||||
| SHORT-TERM MUNICIPAL SECURITIES (0.4%) | | ||||||||||||
| | | | | | | ILLINOIS (0.4%) | | ||||||
| | | 250,000 | | | | Illinois State, General Obligation Unlimited, 4.96%, 3/1/16 | | | | | 251,452 | | |
| TOTAL SHORT-TERM MUNICIPAL SECURITIES (Cost $251,601) (0.4%) | | | | | 251,452 | | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (23.3%) | | ||||||||||||
| | | 67,761 | | | | FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35 | | | | | 73,937 | | |
| | | 55,380 | | | | FHLMC Gold PC Pool #A29633, 5.00%, 1/1/35 | | | | | 60,648 | | |
| | | 33,495 | | | | FHLMC Gold PC Pool #A56491, 5.00%, 1/1/37 | | | | | 36,605 | | |
| | | 572,983 | | | | FHLMC Gold PC Pool #A95803, 4.00%, 12/1/40 | | | | | 608,615 | | |
| | | 131,640 | | | | FHLMC Gold PC Pool #A97264, 4.00%, 2/1/41 | | | | | 139,504 | | |
| | | 13,502 | | | | FHLMC Gold PC Pool #B12822, 5.00%, 3/1/19 | | | | | 13,964 | | |
| | | 5,308 | | | | FHLMC Gold PC Pool #B17398, 4.50%, 12/1/19 | | | | | 5,526 | | |
| | | 31,235 | | | | FHLMC Gold PC Pool #B18034, 4.50%, 4/1/20 | | | | | 32,270 | | |
| | | 84,163 | | | | FHLMC Gold PC Pool #C09004, 3.50%, 7/1/42 | | | | | 86,743 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (23.3%) (continued) | | ||||||||||||
| | $ | 17,488 | | | | FHLMC Gold PC Pool #C91413, 3.50%, 12/1/31 | | | | $ | 18,286 | | |
| | | 400,119 | | | | FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34 | | | | | 428,092 | | |
| | | 717 | | | | FHLMC Gold PC Pool #E92226, 5.00%, 11/1/17 | | | | | 741 | | |
| | | 848 | | | | FHLMC Gold PC Pool #E92829, 5.00%, 12/1/17 | | | | | 877 | | |
| | | 10,439 | | | | FHLMC Gold PC Pool #E93499, 5.00%, 12/1/17 | | | | | 10,797 | | |
| | | 1,763 | | | | FHLMC Gold PC Pool #E98960, 5.00%, 9/1/18 | | | | | 1,823 | | |
| | | 207,502 | | | | FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41 | | | | | 214,043 | | |
| | | 25,681 | | | | FHLMC Gold PC Pool #G08184, 5.00%, 1/1/37 | | | | | 28,044 | | |
| | | 3,313 | | | | FHLMC Gold PC Pool #G11986, 5.00%, 4/1/21 | | | | | 3,552 | | |
| | | 4,764 | | | | FHLMC Gold PC Pool #G12319, 5.00%, 6/1/21 | | | | | 5,105 | | |
| | | 25,848 | | | | FHLMC Gold PC Pool #G18044, 4.50%, 3/1/20 | | | | | 26,897 | | |
| | | 5,849 | | | | FHLMC Gold PC Pool #J00118, 5.00%, 10/1/20 | | | | | 6,068 | | |
| | | 84,488 | | | | FHLMC Gold PC Pool #J00139, 5.00%, 10/1/20 | | | | | 87,452 | | |
| | | 22,779 | | | | FHLMC Gold PC Pool #J03233, 5.00%, 8/1/21 | | | | | 24,038 | | |
| | | 250,896 | | | | FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25 | | | | | 266,731 | | |
| | | 26,129 | | | | FHLMC Gold PC Pool #Q01181, 4.50%, 6/1/41 | | | | | 28,198 | | |
| | | 108,011 | | | | FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42 | | | | | 111,331 | | |
| | | 200,775 | | | | FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42 | | | | | 212,477 | | |
| | | 173,310 | | | | FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42 | | | | | 178,624 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (23.3%) (continued) | | ||||||||||||
| | $ | 444,484 | | | | FHLMC Gold PC Pool #Q11556, 3.00%, 10/1/42 | | | | $ | 444,727 | | |
| | | 399,029 | | | | FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43 | | | | | 399,144 | | |
| | | 500,000 | | | | FNMA, 1.63%, 11/27/18 | | | | | 503,639 | | |
| | | 12,580 | | | | FNMA Pool #254383, 7.50%, 6/1/32 | | | | | 15,325 | | |
| | | 31,037 | | | | FNMA Pool #254476, 5.50%, 9/1/32 | | | | | 34,816 | | |
| | | 16,564 | | | | FNMA Pool #254684, 5.00%, 3/1/18 | | | | | 17,156 | | |
| | | 66,888 | | | | FNMA Pool #255496, 5.00%, 11/1/34 | | | | | 73,688 | | |
| | | 5,436 | | | | FNMA Pool #255580, 5.50%, 2/1/35 | | | | | 6,130 | | |
| | | 2,873 | | | | FNMA Pool #258149, 5.50%, 9/1/34 | | | | | 3,199 | | |
| | | 23,521 | | | | FNMA Pool #412682, 6.00%, 3/1/28 | | | | | 26,827 | | |
| | | 480 | | | | FNMA Pool #511823, 5.50%, 5/1/16 | | | | | 481 | | |
| | | 177 | | | | FNMA Pool #568625, 7.50%, 1/1/31 | | | | | 182 | | |
| | | 28,829 | | | | FNMA Pool #571090, 7.50%, 1/1/31 | | | | | 29,236 | | |
| | | 882 | | | | FNMA Pool #573935, 7.50%, 3/1/31 | | | | | 902 | | |
| | | 5,304 | | | | FNMA Pool #622373, 5.50%, 12/1/16 | | | | | 5,367 | | |
| | | 7,819 | | | | FNMA Pool #623503, 6.00%, 2/1/17 | | | | | 7,934 | | |
| | | 85,282 | | | | FNMA Pool #626440, 7.50%, 2/1/32 | | | | | 96,603 | | |
| | | 3,717 | | | | FNMA Pool #631328, 5.50%, 2/1/17 | | | | | 3,772 | | |
| | | 416 | | | | FNMA Pool #638247, 5.50%, 5/1/17 | | | | | 419 | | |
| | | 420 | | | | FNMA Pool #643277, 5.50%, 4/1/17 | | | | | 426 | | |
| | | 5,227 | | | | FNMA Pool #685183, 5.00%, 3/1/18 | | | | | 5,432 | | |
| | | 1,075 | | | | FNMA Pool #688539, 5.50%, 3/1/33 | | | | | 1,202 | | |
| | | 11,064 | | | | FNMA Pool #703936, 5.00%, 5/1/18 | | | | | 11,488 | | |
| | | 22,441 | | | | FNMA Pool #726889, 5.50%, 7/1/33 | | | | | 25,239 | | |
| | | 66,472 | | | | FNMA Pool #735224, 5.50%, 2/1/35 | | | | | 74,826 | | |
| | | 23,377 | | | | FNMA Pool #763393, 5.50%, 2/1/34 | | | | | 26,028 | | |
| | | 3,093 | | | | FNMA Pool #769682, 5.00%, 3/1/34 | | | | | 3,402 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (23.3%) (continued) | | ||||||||||||
| | $ | 66,570 | | | | FNMA Pool #769862, 5.50%, 2/1/34 | | | | $ | 74,906 | | |
| | | 1,037 | | | | FNMA Pool #778141, 5.00%, 5/1/34 | | | | | 1,147 | | |
| | | 821 | | | | FNMA Pool #789150, 5.00%, 10/1/34 | | | | | 905 | | |
| | | 9,637 | | | | FNMA Pool #797154, 5.50%, 11/1/34 | | | | | 10,818 | | |
| | | 25,896 | | | | FNMA Pool #801063, 5.50%, 11/1/34 | | | | | 28,835 | | |
| | | 18,187 | | | | FNMA Pool #803675, 5.50%, 12/1/34 | | | | | 20,492 | | |
| | | 27,780 | | | | FNMA Pool #804683, 5.50%, 12/1/34 | | | | | 30,930 | | |
| | | 9,023 | | | | FNMA Pool #910242, 5.00%, 3/1/37 | | | | | 9,924 | | |
| | | 139,629 | | | | FNMA Pool #919584, 6.00%, 6/1/37 | | | | | 157,886 | | |
| | | 42,093 | | | | FNMA Pool #975116, 5.00%, 5/1/38 | | | | | 46,297 | | |
| | | 17,531 | | | | FNMA Pool #AA2531, 4.50%, 3/1/39 | | | | | 18,962 | | |
| | | 64,480 | | | | FNMA Pool #AB2053, 3.50%, 1/1/26 | | | | | 67,658 | | |
| | | 311,405 | | | | FNMA Pool #AB2346, 4.50%, 2/1/41 | | | | | 337,059 | | |
| | | 227,406 | | | | FNMA Pool #AB5231, 2.50%, 5/1/27 | | | | | 231,067 | | |
| | | 295,117 | | | | FNMA Pool #AB5716, 3.00%, 7/1/27 | | | | | 305,654 | | |
| | | 479,327 | | | | FNMA Pool #AB8144, 5.00%, 4/1/37 | | | | | 528,508 | | |
| | | 26,316 | | | | FNMA Pool #AD1035, 4.50%, 2/1/40 | | | | | 28,484 | | |
| | | 109,356 | | | | FNMA Pool #AD8536, 5.00%, 8/1/40 | | | | | 120,670 | | |
| | | 161,424 | | | | FNMA Pool #AE1853, 4.00%, 8/1/40 | | | | | 171,214 | | |
| | | 151,977 | | | | FNMA Pool #AH3226, 5.00%, 2/1/41 | | | | | 167,815 | | |
| | | 119,638 | | | | FNMA Pool #AH8932, 4.50%, 4/1/41 | | | | | 129,494 | | |
| | | 39,596 | | | | FNMA Pool #AI0620, 4.50%, 5/1/41 | | | | | 42,848 | | |
| | | 227,096 | | | | FNMA Pool #AI4285, 5.00%, 6/1/41 | | | | | 250,729 | | |
| | | 183,698 | | | | FNMA Pool #AJ5888, 4.50%, 11/1/41 | | | | | 199,201 | | |
| | | 54,692 | | | | FNMA Pool #AJ9278, 3.50%, 12/1/41 | | | | | 56,565 | | |
| | | 143,718 | | | | FNMA Pool #AL3272, 5.00%, 2/1/25 | | | | | 158,069 | | |
| | | 6,306 | | | | FNMA Pool #AL5259, 3.50%, 5/1/29 | | | | | 6,610 | | |
| | | 330,521 | | | | FNMA Pool #AQ0287, 3.00%, 10/1/42 | | | | | 331,825 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (23.3%) (continued) | | ||||||||||||
| | $ | 112,785 | | | | FNMA Pool #AR2174, 3.00%, 4/1/43 | | | | $ | 113,029 | | |
| | | 400,260 | | | | FNMA Pool #AR6394, 3.00%, 2/1/43 | | | | | 401,681 | | |
| | | 434,114 | | | | FNMA Pool #AS2337, 4.50%, 5/1/44 | | | | | 468,855 | | |
| | | 154,553 | | | | FNMA Pool #AS3155, 4.00%, 8/1/44 | | | | | 163,600 | | |
| | | 110,905 | | | | FNMA Pool #AS3157, 4.00%, 8/1/44 | | | | | 117,397 | | |
| | | 646,509 | | | | FNMA Pool #AS5906, 3.50%, 10/1/45 | | | | | 667,511 | | |
| | | 287,979 | | | | FNMA Pool #AU1847, 3.00%, 9/1/43 | | | | | 288,548 | | |
| | | 163,626 | | | | FNMA Pool #AU2135, 2.50%, 8/1/28 | | | | | 165,790 | | |
| | | 268,220 | | | | FNMA Pool #AU4279, 3.00%, 9/1/43 | | | | | 268,759 | | |
| | | 491,514 | | | | FNMA Pool #AW5055, 3.50%, 7/1/44 | | | | | 507,985 | | |
| | | 157,055 | | | | FNMA Pool #AW6645, 3.00%, 6/1/29 | | | | | 162,022 | | |
| | | 166,710 | | | | FNMA Pool #AW7362, 2.50%, 8/1/29 | | | | | 168,590 | | |
| | | 406,414 | | | | FNMA Pool #AX0416, 4.00%, 8/1/44 | | | | | 430,204 | | |
| | | 293,751 | | | | FNMA Pool #AX1138, 3.50%, 9/1/44 | | | | | 303,294 | | |
| | | 267,925 | | | | FNMA Pool #AX9013, 3.50%, 2/1/45 | | | | | 276,628 | | |
| | | 464,592 | | | | FNMA Pool #AY2728, 2.50%, 2/1/30 | | | | | 468,802 | | |
| | | 299,970 | | | | FNMA Pool #BA3885, 3.50%, 11/1/45 | | | | | 309,719 | | |
| | | 352,741 | | | | FNMA Pool #MA0641, 4.00%, 2/1/31 | | | | | 377,385 | | |
| | | 1,039,679 | | | | FNMA Pool #MA1107, 3.50%, 7/1/32 | | | | | 1,086,980 | | |
| | | 11,096 | | | | FNMA REMIC Trust Series 2003-38, Class TC, 5.00%, 3/25/23 | | | | | 11,262 | | |
| | | 141,140 | | | | FNMA REMIC Trust Series 2013-18, Class AE, 2.00%, 3/25/28 | | | | | 139,510 | | |
| | | 288,329 | | | | GNMA, Series 2011-136, Class GB, 2.50%, 5/20/40 | | | | | 290,531 | | |
| | | 1,486 | | | | GNMA I Pool #429786, 6.00%, 12/15/33 | | | | | 1,716 | | |
| | | 30,088 | | | | GNMA I Pool #548880, 6.00%, 12/15/31 | | | | | 33,752 | | |
| | | 26,654 | | | | GNMA I Pool #551762, 6.00%, 4/15/32 | | | | | 30,511 | | |
| | | 2,959 | | | | GNMA I Pool #557681, 6.00%, 8/15/31 | | | | | 3,320 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (23.3%) (continued) | | ||||||||||||
| | $ | 12,065 | | | | GNMA I Pool #582415, 6.00%, 11/15/32 | | | | $ | 13,937 | | |
| | | 45,231 | | | | GNMA I Pool #583008, 5.50%, 6/15/34 | | | | | 51,455 | | |
| | | 36,606 | | | | GNMA I Pool #605025, 6.00%, 2/15/34 | | | | | 41,602 | | |
| | | 17,494 | | | | GNMA I Pool #605245, 5.50%, 6/15/34 | | | | | 19,629 | | |
| | | 31,223 | | | | GNMA I Pool #622603, 6.00%, 11/15/33 | | | | | 35,481 | | |
| | | 4,514 | | | | GNMA I Pool #626480, 6.00%, 2/15/34 | | | | | 5,191 | | |
| | | 18,776 | | | | GNMA II Pool #3645, 4.50%, 12/20/19 | | | | | 19,435 | | |
| | | 210,167 | | | | GNMA II Pool #5332, 4.00%, 3/20/42 | | | | | 224,671 | | |
| | | 191,278 | | | | GNMA II Pool #MA1520, 3.00%, 12/20/43 | | | | | 194,624 | | |
| | | 165,920 | | | | GNMA II Pool #MA1678, 4.00%, 2/20/44 | | | | | 176,883 | | |
| | | 473,677 | | | | GNMA II Pool #MA1922, 5.00%, 5/20/44 | | | | | 518,499 | | |
| | | 165,002 | | | | GNMA II Pool #MA2445, 3.50%, 12/20/44 | | | | | 172,260 | | |
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $16,709,099) (23.3%) | | | | | 16,794,198 | | | ||||||
| U.S. TREASURY OBLIGATIONS (19.0%) | | ||||||||||||
| | | | | | | U.S. TREASURY NOTES & BONDS (19.0%) | | ||||||
| | | 350,000 | | | | U.S. Treasury Bonds, 7.88%, 2/15/21 | | | | | 453,127 | | |
| | | 599,165 | | | | U.S. Treasury Bonds, 2.00%, 1/15/26(4) | | | | | 665,682 | | |
| | | 825,000 | | | | U.S. Treasury Bonds, 5.25%, 11/15/28 | | | | | 1,077,881 | | |
| | | 550,000 | | | | U.S. Treasury Bonds, 4.38%, 2/15/38(3) | | | | | 694,074 | | |
| | | 300,000 | | | | U.S. Treasury Bonds, 4.38%, 5/15/40 | | | | | 377,484 | | |
| | | 625,000 | | | | U.S. Treasury Bonds, 3.63%, 8/15/43 | | | | | 703,882 | | |
| | | 430,000 | | | | U.S. Treasury Bonds, 3.38%, 5/15/44 | | | | | 461,477 | | |
| | | 150,000 | | | | U.S. Treasury Bonds, 2.50%, 2/15/45 | | | | | 134,584 | | |
| | | 250,000 | | | | U.S. Treasury Notes, 0.50%, 11/30/16 | | | | | 249,336 | | |
| | | 450,000 | | | | U.S. Treasury Notes, 0.88%, 12/31/16 | | | | | 450,281 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 0.75%, 3/15/17 | | | | | 199,711 | | |
| | | 150,000 | | | | U.S. Treasury Notes, 0.88%, 10/15/17 | | | | | 149,549 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. TREASURY OBLIGATIONS (19.0%) (continued) | | ||||||||||||
| | | | | | | U.S. TREASURY NOTES & BONDS (19.0%) (continued) | | ||||||
| | $ | 300,000 | | | | U.S. Treasury Notes, 0.88%, 11/15/17 | | | | $ | 298,957 | | |
| | | 500,000 | | | | U.S. Treasury Notes, 0.75%, 12/31/17 | | | | | 496,621 | | |
| | | 300,000 | �� | | | U.S. Treasury Notes, 1.00%, 2/15/18 | | | | | 299,063 | | |
| | | 600,000 | | | | U.S. Treasury Notes, 1.38%, 12/31/18 | | | | | 600,445 | | |
| | | 600,000 | | | | U.S. Treasury Notes, 1.50%, 3/31/19 | | | | | 601,711 | | |
| | | 500,000 | | | | U.S. Treasury Notes, 3.13%, 5/15/19 | | | | | 527,481 | | |
| | | 450,000 | | | | U.S. Treasury Notes, 1.63%, 6/30/19 | | | | | 452,021 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 1.63%, 12/31/19 | | | | | 200,008 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 1.25%, 1/31/20 | | | | | 196,922 | | |
| | | 700,000 | | | | U.S. Treasury Notes, 1.38%, 3/31/20 | | | | | 691,387 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 1.13%, 4/30/20 | | | | | 195,430 | | |
| | | 300,000 | | | | U.S. Treasury Notes, 2.25%, 4/30/21 | | | | | 305,953 | | |
| | | 600,000 | | | | U.S. Treasury Notes, 2.13%, 6/30/21 | | | | | 607,547 | | |
| | | 100,000 | | | | U.S. Treasury Notes, 2.00%, 10/31/21 | | | | | 100,277 | | |
| | | 1,000,000 | | | | U.S. Treasury Notes, 1.50%, 1/31/22 | | | | | 972,109 | | |
| | | 150,000 | | | | U.S. Treasury Notes, 1.75%, 2/28/22 | | | | | 147,867 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 2.50%, 8/15/23 | | | | | 205,195 | | |
| | | 450,000 | | | | U.S. Treasury Notes, 2.75%, 2/15/24 | | | | | 468,721 | | |
| | | 350,000 | | | | U.S. Treasury Notes, 2.25%, 11/15/24 | | | | | 349,822 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 2.00%, 2/15/25 | | | | | 195,508 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 2.13%, 5/15/25 | | | | | 197,391 | | |
| TOTAL U.S. TREASURY NOTES & BONDS (Cost $13,767,628) (19.0%) | | | | | 13,727,504 | | | ||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $13,767,628) (19.0%) | | | | | 13,727,504 | | |
| Shares | | | | | | Value | | ||||||
| SHORT-TERM INVESTMENTS (5.3%) | | ||||||||||||
| | | | | | | MONEY MARKET FUNDS (5.3%) | | ||||||
| | | 3,519,753 | | | | State Street Navigator Securities Lending Prime Portfolio(5) | | | | | 3,519,753 | | |
| Shares | | | | | | Value | | ||||||
| | | 308,332 | | | | State Street Institutional Liquid Reserves Fund | | | | $ | 308,332 | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $3,828,085) (5.3%) | | | | | 3,828,085 | | | ||||||
| TOTAL INVESTMENT SECURITIES (104.6%) (Cost $75,657,546) | | | | $ | 75,406,371 | | | ||||||
| EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (-4.6%) | | | | | (3,332,289) | | | ||||||
| NET ASSETS (100%) | | | | $ | 72,074,082 | | | ||||||
| NET ASSET VALUE OFFERING AND REDEMPTION PRICE, PER OUTSTANDING SHARE ($72,074,082 ÷ 4,899,887 shares outstanding) | | | | $ | 14.71 | | |
Type | | | Number of Contracts | | | Expiration Date | | | Original Value | | | Value at December 31, 2015 | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||||||||||
Short Future | | | | | | | ||||||||||||||||||||||||||||||
10yr Mini JGB | | | | | 13 | | | | | | 03/11/16 | | | | | $ | (1,608,736) | | | | | $ | (1,612,197) | | | | | $ | (3,461) | | | |||||
|
Investments in Securities: | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | $ | — | | | | | $ | 3,548,573 | | | | | $ | — | | | | | $ | 3,548,573 | | |
Commercial Mortgage-Backed Securities | | | | | — | | | | | | 4,104,790 | | | | | | — | | | | | | 4,104,790 | | |
Corporate Bonds & Notes* | | | | | — | | | | | | 30,703,082 | | | | | | — | | | | | | 30,703,082 | | |
Foreign Government Obligations | | | | | — | | | | | | 590,000 | | | | | | — | | | | | | 590,000 | | |
Long-Term Municipal Securities* | | | | | — | | | | | | 1,858,687 | | | | | | — | | | | | | 1,858,687 | | |
Short-Term Municipal Securities | | | | | — | | | | | | 251,452 | | | | | | — | | | | | | 251,452 | | |
U.S. Government Agency Obligations | | | | | — | | | | | | 16,794,198 | | | | | | — | | | | | | 16,794,198 | | |
U.S. Treasury Obligations | | | | | — | | | | | | 13,727,504 | | | | | | — | | | | | | 13,727,504 | | |
Short-Term Investments | | | | | 3,828,085 | | | | | | — | | | | | | — | | | | | | 3,828,085 | | |
Total Investments in Securities | | | | | 3,828,085 | | | | | | 71,578,286 | | | | | | — | | | | | | 75,406,371 | | |
Liabilities | | | | | | ||||||||||||||||||||
Futures | | | | | (3,461) | | | | | | — | | | | | | — | | | | | | (3,461) | | |
Total | | | | $ | 3,824,624 | | | | | $ | 71,578,286 | | | | | $ | — | | | | | $ | 75,402,910 | | |
Portfolio Highlights at December 31, 2015 (unaudited)
Issue | | | Principal Amount | | | Value | | | Percentage of Net Assets | | |||||||||
Harris County Texas, Revenue Bonds, Senior Lien-Toll Road, Ser. A, 5.00%, 8/15/32 | | | | $ | 1,170,000 | | | | | $ | 1,308,856 | | | | | | 1.9% | | |
New Jersey State Educational Facilities Authority Revenue, Revenue Bonds, Princeton University, Ser. B, 5.00%, 7/1/35 | | | | | 1,000,000 | | | | | | 1,166,570 | | | | | | 1.7% | | |
Leander Independent School District, Prefunded Bonds, General Obligation Unlimited, PSF-GTD Insured, 0.00%, 8/15/41 | | | | | 4,805,000 | | | | | | 1,141,956 | | | | | | 1.7% | | |
Santa Clara County California Financing Authority Lease Revenue, Multiple Facilities Projects, Revenue Bonds, Ser. K, AMBAC Insured, 5.00%, 5/15/25 | | | | | 855,000 | | | | | | 903,564 | | | | | | 1.3% | | |
Arlington Texas, Special Tax, 5.00%, 8/15/28 | | | | | 825,000 | | | | | | 893,203 | | | | | | 1.3% | | |
Miami-Dade County Florida Double Barreled Aviation, General Obligation Unlimited, 5.00%, 7/1/27 | | | | | 750,000 | | | | | | 859,245 | | | | | | 1.3% | | |
Wisconsin State, General Obligation Unlimited, Ser. C, 4.50%, 5/1/20 | | | | | 750,000 | | | | | | 850,912 | | | | | | 1.2% | | |
Saint Joseph County Indiana Educational Facilities Revenue, University of Notre Dame Du Lac Project, Revenue Bonds, 5.00%, 3/1/36 | | | | | 750,000 | | | | | | 809,820 | | | | | | 1.2% | | |
Valdosta & Lowndes County Hospital Authority, Revenue Bonds, South Medical Center Project, Ser. B, County Guaranteed Insured, 5.00%, 10/1/41 | | | | | 630,000 | | | | | | 695,715 | | | | | | 1.0% | | |
Cape Coral Florida Utility Special Assessment, Southwest 4 Area, NATL-RE Insured, 4.50%, 7/1/18 | | | | | 650,000 | | | | | | 676,253 | | | | | | 1.0% | | |
![[MISSING IMAGE: t1600251_pie-vltef.jpg]](https://capedge.com/proxy/N-CSR/0001571049-16-012885/t1600251_pie-vltef.jpg)
![[MISSING IMAGE: t1600251_bar-vltef.jpg]](https://capedge.com/proxy/N-CSR/0001571049-16-012885/t1600251_bar-vltef.jpg)
| | | Percentage of Fund’s Investments | | |||
Aaa/AAA | | | | | 13.2% | | |
Aa1/AA+ | | | | | 23.5% | | |
Aa2/AA | | | | | 23.4% | | |
Aa3/AA- | | | | | 13.2% | | |
A1/A+ | | | | | 8.6% | | |
A2/A | | | | | 8.9% | | |
A3/A- | | | | | 5.1% | | |
Baa1 | | | | | 0.8% | | |
NR | | | | | 2.1% | | |
Total Investments | | | | | 98.8% | | |
Cash and other assets in excess of liabilities | | | | | 1.2% | | |
Total Net Assets | | | | | 100.0% | | |
Portfolio Highlights at December 31, 2015 (unaudited) (continued)
![[MISSING IMAGE: t1600251_line-tef.jpg]](https://capedge.com/proxy/N-CSR/0001571049-16-012885/t1600251_line-tef.jpg)
| | | Average Annual Total Return | | | Growth of an Assumed Investment of $10,000 | | ||||||
1 year ended 12/31/15 | | | | | 2.54% | | | | | $ | 10,254 | | |
5 years ended 12/31/15 | | | | | 4.27% | | | | | $ | 12,324 | | |
10 years ended 12/31/15 | | | | | 3.02% | | | | | $ | 13,470 | | |
Schedule of Investments
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.8%) | | | |||||||||||||||||
| | | | | | | ALABAMA (0.5%) | | ||||||||||||
| | $ | 310,000 | | | | University of Alabama (The), Revenue Bonds, Ser. A, 4.50%, 10/1/40 | | | | | Aa2 | | | | | $ | 329,865 | | |
| | | | | | | ALASKA (0.3%) | | ||||||||||||
| | | 200,000 | | | | North Slope Boro Alaska, General Obligation Unlimited, NATL-RE Insured, Ser. A, 5.00%, 6/30/17 | | | | | Aa2 | | | | | | 212,596 | | |
| | | | | | | ARIZONA (1.0%) | | ||||||||||||
| | | 150,000 | | | | Arizona State Transportation Board Highway Revenue, Revenue Bonds, Ser. A, 5.00%, 7/1/38 | | | | | Aa2 | | | | | | 174,072 | | |
| | | 250,000 | | | | City of Scottsdale Arizona, General Obligation Unlimited, Project 2004-Preserve Acquisition, 3.00%, 7/1/30 | | | | | Aaa | | | | | | 255,645 | | |
| | | 200,000 | | | | Yuma Municipal Property Corp., Revenue Bonds, Senior Lien, 5.00%, 7/1/27 | | | | | A1 | | | | | | 242,994 | | |
| | | | | | | | | | | | | | | | | | 672,711 | | |
| | | | | | | ARKANSAS (0.8%) | | ||||||||||||
| | | 500,000 | | | | Arkansas State Water, Waste Disposal and Pollution, General Obligation Unlimited, Extraordinary Redemption Provision, Ser. A, 4.00%, 7/1/26 | | | | | Aa1 | | | | | | 539,145 | | |
| | | | | | | CALIFORNIA (14.5%) | | ||||||||||||
| | | 150,000 | | | | Berkeley Joint Powers Financing Authority, Revenue Bonds, 5.00%, 10/1/20 | | | | | AA* | | | | | | 173,067 | | |
| | | 100,000 | | | | California Educational Facilities Authority, Revenue Bonds, Pepperdine University, 5.00%, 9/1/33 | | | | | Aa3 | | | | | | 116,798 | | |
| | | 500,000 | | | | California Educational Facilities Authority, Revenue Bonds, University of Southern California, Ser. A, 5.25%, 10/1/38 | | | | | Aa1 | | | | | | 556,265 | | |
| | | 250,000 | | | | California Health Facilities Financing Authority, Revenue Bonds, Lucile Packard Children’s Hospital, Ser. B, 5.00%, 8/15/26 | | | | | Aa3 | | | | | | 291,742 | | |
| | | 270,000 | | | | California Health Facilities Financing Authority, Revenue Bonds, Scripps Health, Ser. A, 4.50%, 11/15/35 | | | | | Aa3 | | | | | | 292,253 | | |
| | | 225,000 | | | | California State Department of Water Resources Center Valley Project Water System, Ser. AG, Refunding Revenue Bonds, 4.38%, 12/1/29 | | | | | Aa1 | | | | | | 241,796 | | |
| | | | | | | California State Public Works Board, Revenue Bonds: | | | | ||||||||||
| | | 500,000 | | | | Department of Corrections and Rehabilitation, 5.00%, 6/1/27 | | | | | A1 | | | | | | 595,655 | | |
| | | 250,000 | | | | Judicial Council Projects, Ser. D, 5.00%, 12/1/18 | | | | | A1 | | | | | | 278,072 | | |
| | | 200,000 | | | | Ser. H, 5.00%, 12/1/24 | | | | | A1 | | | | | | 249,082 | | |
| | | | | | | California State, General Obligation Unlimited: | | | | ||||||||||
| | | 565,000 | | | | 5.00%, 2/1/38 | | | | | Aa3 | | | | | | 650,439 | | |
| | | 500,000 | | | | 5.25%, 11/1/40 | | | | | Aa3 | | | | | | 583,535 | | |
| | | 250,000 | | | | City of Pasadena, California Certificate of Participation, Ser. C, 4.75%, 2/1/38 | | | | | AA+* | | | | | | 270,008 | | |
| | | 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 | | | | | | 293,775 | | |
| | | 230,000 | | | | Inglewood Unified School District, School Facilities Financing Authority, Revenue Bonds, AGM Insured, 5.25%, 10/15/21 | | | | | A2 | | | | | | 268,543 | | |
| | | 150,000 | | | | Long Beach Community College District, General Obligation Unlimited, Ser. B, 3.00%, 8/1/32 | | | | | Aa2 | | | | | | 144,659 | | |
| | | | | | | Los Angeles County Metropolitan Transportation Authority, Refunding Revenue Bonds, Proposition C: | | | | ||||||||||
| | | 60,000 | | | | Senior Ser. B, 5.00%, 7/1/22 | | | | | Aa2 | | | | | | 73,189 | | |
| | | 75,000 | | | | Senior Ser. C, 5.00%, 7/1/21 | | | | | AA+* | | | | | | 89,664 | | |
| | | 125,000 | | | | Los Angeles Unified School District, General Obligation Unlimited, Refunding Bonds, Ser. A, 5.00%, 7/1/23 | | | | | Aa2 | | | | | | 154,233 | | |
| | | 135,000 | | | | Los Angeles Unified School District, General Obligation Unlimited, Ser. B, AMBAC Insured, 5.00%, 7/1/18(2) | | | | | Aa2 | | | | | | 143,563 | | |
| | | 220,000 | | | | Marin Community College District, General Obligation Unlimited, Election 2004, Ser. B, 4.75%, 8/1/34 | | | | | Aa1 | | | | | | 244,303 | | |
| | | | | | | Metropolitan Water District of Southern California, Refunding Revenue Bonds: | | | | ||||||||||
| | | 330,000 | | | | Ser. C, 4.00%, 10/1/22 | | | | | Aa1 | | | | | | 374,355 | | |
| | | 60,000 | | | | Ser. F, 5.00%, 7/1/28 | | | | | Aa1 | | | | | | 72,424 | | |
| | | 150,000 | | | | Sacramento Municipal Utility District, Revenue Bonds, Ser. A, 5.00%, 8/15/41 | | | | | Aa3 | | | | | | 173,508 | | |
| | | 250,000 | | | | San Diego County Regional Transportation Commission, Revenue Bonds, Ser. A, 5.00%, 4/1/42 | | | | | Aa2 | | | | | | 281,782 | | |
| | | 150,000 | | | | San Diego Public Facilities Financing Authority Water Revenue, Revenue Bonds, Ser. A, 5.25%, 8/1/38 | | | | | Aa2 | | | | | | 164,006 | | |
| | | 150,000 | | | | San Francisco Bay Area Rapid Transit District, General Obligation Unlimited, Election 2004, Ser. D, 4.00%, 8/1/24 | | | | | Aaa | | | | | | 176,810 | | |
| | | 200,000 | | | | San Jose Unified School District Santa Clara Country, General Obligation Unlimited, Election 2012, Ser. A, 3.80%, 8/1/37 | | | | | Aa1 | | | | | | 206,196 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.8%) (continued) | | | |||||||||||||||||
| | | | | | | CALIFORNIA (14.5%) (continued) | | ||||||||||||
| | $ | 130,000 | | | | San Marcos Redevelopment Agency Successor Agency, Tax Allocation, Refunding Bonds, Ser. A, 5.00%, 10/1/25 | | | | | AA-* | | | | | $ | 160,241 | | |
| | | 855,000 | | | | Santa Clara County California Financing Authority Lease Revenue, Multiple Facilities Projects, Revenue Bonds, Ser. K, AMBAC Insured, 5.00%, 5/15/25(2) | | | | | A1 | | | | | | 903,564 | | |
| | | 150,000 | | | | Santa Monica Public Financing Authority, Lease Revenue Bonds, Ser. A, 4.00%, 6/1/18 | | | | | Aa2 | | | | | | 160,854 | | |
| | | 200,000 | | | | State of California, General Obligation Unlimited, 4.00%, 3/1/25 | | | | | Aa3 | | | | | | 232,318 | | |
| | | | | | | State of California, General Obligation Unlimited, Refunding Bonds: | | | | ||||||||||
| | | 105,000 | | | | 5.00%, 2/1/24 | | | | | Aa3 | | | | | | 125,392 | | |
| | | 250,000 | | | | 5.25%, 2/1/29 | | | | | Aa3 | | | | | | 296,475 | | |
| | | | | | | State of California, General Obligation Unlimited, Various Purpose Bonds: | | | | ||||||||||
| | | 250,000 | | | | 5.00%, 9/1/41 | | | | | Aa3 | | | | | | 285,805 | | |
| | | 260,000 | | | | 5.50%, 4/1/21 | | | | | Aa3 | | | | | | 297,768 | | |
| | | 150,000 | | | | University of California Limited Project, Revenue Bonds, Ser. G, 5.00%, 5/15/37 | | | | | Aa3 | | | | | | 174,486 | | |
| | | 150,000 | | | | University of California, Revenue Bonds, Ser. I, 5.00%, 5/15/28 | | | | | Aa3 | | | | | | 184,362 | | |
| | | | | | | | | | | | | | | | | | 9,980,987 | | |
| | | | | | | COLORADO (0.8%) | | ||||||||||||
| | | 500,000 | | | | University of Colorado, Enterprise Revenue Bonds, 5.00%, 6/1/30 | | | | | Aa2 | | | | | | 576,845 | | |
| | | | | | | CONNECTICUT (0.7%) | | ||||||||||||
| | | 200,000 | | | | Connecticut Housing Finance Authority, Revenue Bonds, Subser. C-1, 3.75%, 11/15/35 | | | | | Aaa | | | | | | 203,798 | | |
| | | 250,000 | | | | South Central Connecticut Regional Water Authority, Revenue Bonds, Twenty-Seventh Series, General Obligation of Authority Insured, 5.00%, 8/1/27 | | | | | Aa3 | | | | | | 288,948 | | |
| | | | | | | | | | | | | | | | | | 492,746 | | |
| | | | | | | DELAWARE (0.3%) | | ||||||||||||
| | | 200,000 | | | | University of Delaware Revenue, Revenue Bonds, Ser. B, 4.00%, 11/1/19 | | | | | AA+* | | | | | | 220,412 | | |
| | | | | | | DISTRICT OF COLUMBIA (0.2%) | | ||||||||||||
| | | 100,000 | | | | District of Columbia Income Tax Secured Revenue, Revenue Bonds, Ser. G, 5.00%, 12/1/36 | | | | | Aa1 | | | | | | 116,414 | | |
| | | | | | | FLORIDA (5.2%) | | ||||||||||||
| | | 650,000 | | | | Cape Coral Florida Utility Special Assessment, Southwest 4 Area, NATL-RE Insured, 4.50%, 7/1/18 | | | | | A2 | | | | | | 676,253 | | |
| | | 250,000 | | | | City of Cape Coral, Florida Water & Sewer Revenue, Revenue Bonds, Ser. A, AGM Insured, 5.00%, 10/1/23 | | | | | A1 | | | | | | 291,795 | | |
| | | 250,000 | | | | City of Jacksonville, Florida Special Revenue, Revenue Bonds, Ser. A, 5.25%, 10/1/30 | | | | | Aa3 | | | | | | 293,583 | | |
| | | 240,000 | | | | County of State Lucie, Florida Sales Tax Revenue, Refunding Revenue Bonds, Ser. A, AGM Insured, 5.00%, 10/1/24 | | | | | A2 | | | | | | 288,154 | | |
| | | 75,000 | | | | Hillsborough County Industrial Development Authority, Hospital Revenue Refunding Bonds, Tampa General Hospital Project, Ser. A, 5.00%, 10/1/20 | | | | | A3 | | | | | | 85,355 | | |
| | | 415,000 | | | | Hillsborough County School Board Certificates of Participation, Master Lease Program, NATL-RE Insured, 5.00%, 7/1/22 | | | | | Aa2 | | | | | | 439,107 | | |
| | | 300,000 | | | | Miami-Dade County Expressway Authority, Revenue Bonds, Ser. A, 5.00%, 7/1/23 | | | | | A2 | | | | | | 356,820 | | |
| | | 750,000 | | | | Miami-Dade County Florida Double Barreled Aviation, General Obligation Unlimited, 5.00%, 7/1/27 | | | | | Aa2 | | | | | | 859,245 | | |
| | | 250,000 | | | | State of Florida, Department of Transportation, General Obligation Unlimited, 5.00%, 7/1/22 | | | | | Aa1 | | | | | | 299,387 | | |
| | | | | | | | | | | | | | | | | | 3,589,699 | | |
| | | | | | | GEORGIA (3.0%) | | ||||||||||||
| | | 150,000 | | | | Augusta Georgia Water & Sewerage Revenue, Revenue Bonds, 4.00%, 10/1/28 | | | | | A1 | | | | | | 162,556 | | |
| | | 500,000 | | | | City of Atlanta, Georgia Water & Wastewater Revenue, Revenue Bonds, Ser. B, AGM Insured, 5.25%, 11/1/34 | | | | | Aa3 | | | | | | 560,345 | | |
| | | | | | | Metropolitan Atlanta Rapid Transit Authority, Revenue Bonds, 3rd Ser.: | | | | ||||||||||
| | | 125,000 | | | | 5.25%, 7/1/36 | | | | | Aa2 | | | | | | 140,223 | | |
| | | 500,000 | | | | Ser. A, 4.00%, 7/1/36 | | | | | Aa2 | | | | | | 526,310 | | |
| | | 630,000 | | | | Valdosta & Lowndes County Hospital Authority, Revenue Bonds, South Medical Center Project, Ser. B, County Guaranteed Insured, 5.00%, 10/1/41 | | | | | Aa2 | | | | | | 695,715 | | |
| | | | | | | | | | | | | | | | | | 2,085,149 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.8%) (continued) | | | |||||||||||||||||
| | | | | | | GUAM (0.5%) | | ||||||||||||
| | | | | | | Guam Power Authority, Revenue Bonds, Ser. A, AGM Insured: | | | | ||||||||||
| | $ | 150,000 | | | | 5.00%, 10/1/20 | | | | | A2 | | | | | $ | 173,402 | | |
| | | 120,000 | | | | 5.00%, 10/1/39 | | | | | A2 | | | | | | 137,449 | | |
| | | | | | | | | | | | | | | | | | 310,851 | | |
| | | | | | | HAWAII (1.0%) | | ||||||||||||
| | | 485,000 | | | | City & County Honolulu Hawaii Wastewater System Revenue, Revenue Bonds, Senior Ser. A, 5.25%, 7/1/36 | | | | | Aa2 | | | | | | 551,804 | | |
| | | 100,000 | | | | City & County Honolulu Hawaii, General Obligation Unlimited, Ser. A, 5.00%, 10/1/38 | | | | | Aa1 | | | | | | 117,906 | | |
| | | | | | | | | | | | | | | | | | 669,710 | | |
| | | | | | | IDAHO (0.8%) | | ||||||||||||
| | | 250,000 | | | | Idaho Housing & Finance Association, Grant & Revenue Anticipation Bonds, Federal Highway - A, 5.00%, 7/15/29 | | | | | A2 | | | | | | 284,198 | | |
| | | 250,000 | | | | Idaho State Building Authority, Revenue Bonds, 5.00%, 9/1/40 | | | | | Aa2 | | | | | | 282,740 | | |
| | | | | | | | | | | | | | | | | | 566,938 | | |
| | | | | | | ILLINOIS (2.4%) | | ||||||||||||
| | | 100,000 | | | | Cook County Forest Preserve District, General Obligation Unlimited, Ser. C, 5.00%, 12/15/37 | | | | | A2 | | | | | | 109,142 | | |
| | | 200,000 | | | | Cook County, General Obligation Unlimited, Ser. C, 4.25%, 11/15/19 | | | | | A2 | | | | | | 214,328 | | |
| | | 250,000 | | | | Illinois Finance Authority, Revenue Bonds, Loyola University of Chicago, Ser. B, 5.00%, 7/1/26 | | | | | A2 | | | | | | 281,612 | | |
| | | 150,000 | | | | Illinois State Toll Highway Authority, Revenue Bonds, Ser. C, 5.00%, 1/1/37 | | | | | Aa3 | | | | | | 171,474 | | |
| | | 190,000 | | | | Kane Kendall Etc Counties Community College District No. 516, General Obligation Unlimited, Ser. A, 5.00%, 12/15/20 | | | | | Aa1 | | | | | | 221,396 | | |
| | | 500,000 | | | | Northern Illinois Municipal Power Agency, Revenue Bonds, Prairie State Project, Ser. A, NATL-RE Insured, 5.00%, 1/1/20 | | | | | A2 | | | | | | 534,455 | | |
| | | 150,000 | | | | University of Illinois, Revenue Bonds, Auxiliary Facilities System, Ser. A, 5.00%, 4/1/17 | | | | | Aa3 | | | | | | 157,626 | | |
| | | | | | | | | | | | | | | | | | 1,690,033 | | |
| | | | | | | INDIANA (1.2%) | | ||||||||||||
| | | 750,000 | | | | Saint Joseph County Indiana Educational Facilities Revenue, University of Notre Dame Du Lac Project, Revenue Bonds, 5.00%, 3/1/36 | | | | | Aaa | | | | | | 809,820 | | |
| | | | | | | IOWA (0.8%) | | ||||||||||||
| | | 500,000 | | | | Iowa Finance Authority, State Revolving Fund, Revenue Bonds, 3.38%, 8/1/29 | | | | | Aaa | | | | | | 521,135 | | |
| | | | | | | KANSAS (0.7%) | | ||||||||||||
| | | 500,000 | | | | Johnson County Kansas Unified School District No. 512 Shawnee Mission, General Obligation Unlimited, Ser. A, 4.50%, 10/1/27 | | | | | Aaa | | | | | | 509,850 | | |
| | | | | | | KENTUCKY (0.7%) | | ||||||||||||
| | | 450,000 | | | | Kentucky State Turnpike Authority Economic Development Road Revenue, Revenue Bonds, Revitalization Projects, Ser. A, 5.00%, 7/1/19 | | | | | Aa2 | | | | | | 507,119 | | |
| | | | | | | LOUISIANA (0.8%) | | ||||||||||||
| | | 250,000 | | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds, Parish of East Baton Rouge Road Improvements, 5.00%, 8/1/24 | | | | | Aa3 | | | | | | 293,612 | | |
| | | 145,000 | | | | State of Louisiana Gasoline & Fuels Tax Revenue, Revenue Bonds, Ser. C-1, 5.00%, 5/1/30 | | | | | Aa2 | | | | | | 170,598 | | |
| | | 85,000 | | | | State of Louisiana Highway Improvement Revenue, Revenue Bonds, Ser. A, 5.00%, 6/15/28 | | | | | Aa3 | | | | | | 101,482 | | |
| | | | | | | | | | | | | | | | | | 565,692 | | |
| | | | | | | MAINE (1.0%) | | ||||||||||||
| | | | | | | Maine Municipal Bond Bank, Revenue Bonds: | | | | ||||||||||
| | | 225,000 | | | | Ser. D, 4.00%, 11/1/20 | | | | | AA+* | | | | | | 251,662 | | |
| | | 100,000 | | | | Ser. E, 5.00%, 11/1/18 | | | | | Aa2 | | | | | | 107,582 | | |
| | | 200,000 | | | | Maine State Health & Higher Educational Facilities Authority Revenue, Refunding Revenue Bonds, Colby College, Ser. A, 5.00%, 7/1/39 | | | | | Aa2 | | | | | | 229,170 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.8%) (continued) | | | |||||||||||||||||
| | | | | | | MAINE (1.0%) (continued) | | ||||||||||||
| | $ | 100,000 | | | | Maine Turnpike Authority, Revenue Bonds, Ser. A, 5.00%, 7/1/37 | | | | | Aa3 | | | | | $ | 115,434 | | |
| | | | | | | | | | | | | | | | | | 703,848 | | |
| | | | | | | MARYLAND (0.9%) | | ||||||||||||
| | | 500,000 | | | | Howard County Maryland Consolidated Public Improvement, General Obligation Unlimited, Ser. A, 4.00%, 2/15/23 | | | | | Aaa | | | | | | 547,160 | | |
| | | 50,000 | | | | University System of Maryland, Auxiliary Facilities & Tuition Revenue, Revenue Bonds, Ser. A, 5.00%, 10/1/16 | | | | | Aa1 | | | | | | 51,718 | | |
| | | | | | | | | | | | | | | | | | 598,878 | | |
| | | | | | | MASSACHUSETTS (4.6%) | | ||||||||||||
| | | 245,000 | | | | Martha’s Vineyard Land Bank, Revenue Bonds, AMBAC Insured, 4.25%, 5/1/36(2) | | | | | A-* | | | | | | 248,560 | | |
| | | 500,000 | | | | Massachusetts Bay Transportation Authority, Revenue Assessment Bonds, Ser. A, 4.00%, 7/1/37 | | | | | Aa1 | | | | | | 524,505 | | |
| | | | | | | Massachusetts Development Finance Agency: | | | | ||||||||||
| | | 500,000 | | | | Harvard University, Revenue Bonds, Ser. B-2, 5.25%, 2/1/34 | | | | | Aaa | | | | | | 587,345 | | |
| | | 75,000 | | | | Partners Healthcare, Revenue Bonds, Ser. L, 5.00%, 7/1/36 | | | | | Aa3 | | | | | | 86,032 | | |
| | | 250,000 | | | | Massachusetts Health & Educational Facilities Authority Revenue, Revenue Bonds, Harvard University, Ser. A, 5.00%, 12/15/30 | | | | | Aaa | | | | | | 288,070 | | |
| | | 500,000 | | | | Massachusetts Health & Educational Facilities Authority Revenue, Revenue Bonds, Tufts University, Ser. M, 5.50%, 2/15/27 | | | | | Aa2 | | | | | | 643,310 | | |
| | | 250,000 | | | | Massachusetts School Building Authority Sales Tax Revenue, Revenue Bonds, Senior Ser. B, 5.00%, 10/15/41 | | | | | Aa2 | | | | | | 292,655 | | |
| | | 350,000 | | | | Massachusetts State, General Obligation Limited, AMBAC Insured, Consolidated Loan, Ser. C, 5.00%, 8/1/37(2) | | | | | Aa1 | | | | | | 373,030 | | |
| | | 115,000 | | | | Town of Nantucket, Massachusetts Municipal Purpose Loan, General Obligation Limited, 4.13%, 2/15/24 | | | | | Aa1 | | | | | | 121,440 | | |
| | | | | | | | | | | | | | | | | | 3,164,947 | | |
| | | | | | | MICHIGAN (0.2%) | | ||||||||||||
| | | 145,000 | | | | Michigan Finance Authority, State Revolving Fund Revenue, Clean Water, Refunding Revenue Bonds, 5.00%, 10/1/20 | | | | | AAA* | | | | | | 169,614 | | |
| | | | | | | MISSISSIPPI (0.5%) | | ||||||||||||
| | | 300,000 | | | | Mississippi Hospital Equipment & Facilities Authority, Revenue Bonds, Forest County General Hospital, 5.25%, 1/1/28 | | | | | A2 | | | | | | 328,464 | | |
| | | | | | | NEBRASKA (0.9%) | | ||||||||||||
| | | 285,000 | | | | Central Plains Energy Project, Revenue Bonds, Project No. 3, 5.00%, 9/1/21 | | | | | A3 | | | | | | 327,778 | | |
| | | 250,000 | | | | University of Nebraska, Lincoln Student, Revenue Bonds, 4.00%, 7/1/33 | | | | | Aa1 | | | | | | 267,103 | | |
| | | | | | | | | | | | | | | | | | 594,881 | | |
| | | | | | | NEVADA (0.8%) | | ||||||||||||
| | | 250,000 | | | | City of Henderson, Nevada Refunding, General Obligation Limited, 4.00%, 6/1/31 | | | | | Aa2 | | | | | | 269,230 | | |
| | | 200,000 | | | | County of Clark, Nevada Refunding, General Obligation Limited, Ser. B, 4.00%, 7/1/17 | | | | | Aa1 | | | | | | 209,524 | | |
| | | 100,000 | | | | County of Washoe, Nevada Refunding, General Obligation Limited, Ser. A, 4.00%, 3/1/17 | | | | | Aa2 | | | | | | 103,773 | | |
| | | | | | | | | | | | | | | | | | 582,527 | | |
| | | | | | | NEW HAMPSHIRE (0.8%) | | ||||||||||||
| | | 500,000 | | | | New Hampshire State, General Obligation Unlimited, Ser. B, 4.00%, 2/1/30 | | | | | Aa1 | | | | | | 541,780 | | |
| | | | | | | NEW JERSEY (3.8%) | | ||||||||||||
| | | 100,000 | | | | New Jersey Institute of Technology, Revenue Bonds, Ser. A, General Obligation of Institution Insured, 5.00%, 7/1/42 | | | | | A1 | | | | | | 111,419 | | |
| | | 1,000,000 | | | | New Jersey State Educational Facilities Authority Revenue, Revenue Bonds, Princeton University, Ser. B, 5.00%, 7/1/35 | | | | | Aaa | | | | | | 1,166,570 | | |
| | | | | | | New Jersey State Health Care Facilities Financing Authority, Revenue Bonds: | | | | ||||||||||
| | | 125,000 | | | | AHS Hospital Corp., 5.00%, 7/1/17 | | | | | A1 | | | | | | 132,118 | | |
| | | 245,000 | | | | Hospital Asset Transformation, Ser. A, 5.25%, 10/1/18 | | | | | A3 | | | | | | 262,549 | | |
| | | 150,000 | | | | Ser. A, 4.00%, 7/1/26 | | | | | A3 | | | | | | 159,529 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.8%) (continued) | | | |||||||||||||||||
| | | | | | | NEW JERSEY (3.8%) (continued) | | ||||||||||||
| | | | | | | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Transportation System: | | | | ||||||||||
| | $ | 245,000 | | | | Ser. A, AMBAC Insured, 4.75%, 12/15/37(2) | | | | | A3 | | | | | $ | 250,130 | | |
| | | 250,000 | | | | Ser. B, 5.00%, 6/15/18 | | | | | A3 | | | | | | 264,965 | | |
| | | | | | | New Jersey State Turnpike Authority, Revenue Bonds: | | | | ||||||||||
| | | 165,000 | | | | Ser. A, 5.00%, 1/1/29 | | | | | A3 | | | | | | 192,080 | | |
| | | 100,000 | | | | Ser. F, 5.00%, 1/1/35 | | | | | A3 | | | | | | 113,489 | | |
| | | | | | | | | | | | | | | | | | 2,652,849 | | |
| | | | | | | NEW MEXICO (0.6%) | | ||||||||||||
| | | 140,000 | | | | County of Santa Fe New Mexico Gross Receipts Tax Revenue, Revenue Bonds, Ser. A, 4.00%, 6/1/20 | | | | | Aa3 | | | | | | 155,435 | | |
| | | 250,000 | | | | New Mexico Finance Authority, State Transportation Revenue, Refunding Revenue Bonds, 5.00%, 6/15/18 | | | | | Aa1 | | | | | | 274,765 | | |
| | | | | | | | | | | | | | | | | | 430,200 | | |
| | | | | | | NEW YORK (9.0%) | | ||||||||||||
| | | 150,000 | | | | County of Saratoga, New York Public Improvement Bonds, General Obligation Unlimited, Ser. A, 4.00%, 7/15/21 | | | | | Aa2 | | | | | | 159,668 | | |
| | | 400,000 | | | | County of Westchester, General Obligation Unlimited, Ser. B, 3.00%, 6/1/21 | | | | | Aa1 | | | | | | 421,932 | | |
| | | 400,000 | | | | Housing Finance Agency, Revenue Bonds, Ser. A, 5.00%, 3/15/39 | | | | | Aa1 | | | | | | 441,396 | | |
| | | 110,000 | | | | Long Island Power Authority, Revenue Bonds, Ser. B, 5.00%, 9/1/23 | | | | | Baa1 | | | | | | 130,900 | | |
| | | 200,000 | | | | Metropolitan Transportation Authority, New York, Revenue Bonds, Ser. A, AGM Insured, 5.00%, 11/15/36 | | | | | A1 | | | | | | 231,210 | | |
| | | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | ||||||||||
| | | 115,000 | | | | Albany Medical Center, Ser. A-1, AGM/FHA Insured, 5.00%, 8/15/18 | | | | | A2 | | | | | | 115,451 | | |
| | | 100,000 | | | | Cornell University, Ser. A, 5.00%, 7/1/40 | | | | | Aa1 | | | | | | 113,565 | | |
| | | 50,000 | | | | Memorial Sloan-Kettering Cancer Center, 5.00%, 7/1/25 | | | | | Aa3 | | | | | | 59,062 | | |
| | | 500,000 | | | | State Personal Income Tax Education, Ser. B, 5.00%, 3/15/28 | | | | | Aa1 | | | | | | 556,670 | | |
| | | 150,000 | | | | State Personal Income Tax Revenues General Purpose, Ser. A, 4.50%, 3/15/35 | | | | | Aa1 | | | | | | 162,796 | | |
| | | 250,000 | | | | State Personal Income Tax Revenues General Purpose, Ser. A, 5.00%, 2/15/23 | | | | | Aa1 | | | | | | 304,067 | | |
| | | 150,000 | | | | State Personal Income Tax Revenues, Ser. B, Group C, 5.00%, 2/15/38 | | | | | Aa1 | | | | | | 174,432 | | |
| | | 400,000 | | | | New York State Environmental Facilities Corp., Revenue Bonds, Ser. A, 5.00%, 12/15/16 | | | | | Aa1 | | | | | | 416,860 | | |
| | | | | | | New York State Environmental Facilities Corp., Revolving Funds Revenue Bonds: | | | | ||||||||||
| | | 500,000 | | | | Ser. B, 5.00%, 6/15/28 | | | | | Aaa | | | | | | 546,490 | | |
| | | 125,000 | | | | Ser. C, 4.13%, 6/15/22 | | | | | Aaa | | | | | | 129,755 | | |
| | | 150,000 | | | | New York State Urban Development Corp., State Personal Income Tax Revenue, Revenue Bonds, Ser. C, 5.00%, 12/15/17 | | | | | Aa1 | | | | | | 161,952 | | |
| | | 100,000 | | | | Port Authority of New York & New Jersey, Consolidated Bonds, Revenue Bonds, One Hundred Seventy-First Series, 4.00%, 7/15/38 | | | | | Aa3 | | | | | | 104,752 | | |
| | | 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 | | | | | | 115,082 | | |
| | | 325,000 | | | | Port Authority of New York & New Jersey, Revenue Bonds, 194th Series, 5.00%, 10/15/41 | | | | | Aa3 | | | | | | 378,570 | | |
| | | | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds: | | | | ||||||||||
| | | 250,000 | | | | FSA-CR AGM-CR MBIA Insured, 5.50%, 11/15/19 | | | | | A1 | | | | | | 291,690 | | |
| | | 500,000 | | | | Subser. D, 5.00%, 11/15/26 | | | | | A1 | | | | | | 550,785 | | |
| | | 100,000 | | | | Unrefunded, Ser. C, 5.00%, 11/15/19 | | | | | Aa3 | | | | | | 110,904 | | |
| | | 500,000 | | | | Urban Development Corp., Refunding Service Contract, Revenue Bonds, Ser. B, 5.00%, 1/1/20 | | | | | AA* | | | | | | 500,000 | | |
| | | | | | | | | | | | | | | | | | 6,177,989 | | |
| | | | | | | NEW YORK CITY (6.7%) | | ||||||||||||
| | | | | | | City of New York, General Obligation Unlimited: | | | | ||||||||||
| | | 350,000 | | | | Fiscal 2008, Subser. C-1, AGM Insured, 5.00%, 10/1/24 | | | | | Aa2 | | | | | | 375,312 | | |
| | | 250,000 | | | | Fiscal 2012, Ser. A-1, 5.00%, 8/1/32 | | | | | Aa2 | | | | | | 291,335 | | |
| | | 250,000 | | | | Housing Development Corp., Revenue Bonds, Ser. D-1-B, 4.20%, 5/1/37 | | | | | Aa2 | | | | | | 258,618 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.8%) (continued) | | | |||||||||||||||||
| | | | | | | NEW YORK CITY (6.7%) (continued) | | ||||||||||||
| | | | | | | Municipal Water Finance Authority, Water and Sewer System Revenue, Revenue Bonds: | | | | ||||||||||
| | $ | 500,000 | | | | Ser. C, 4.75%, 6/15/33 | | | | | Aa1 | | | | | $ | 508,745 | | |
| | | 250,000 | | | | Ser. DD, 4.50%, 6/15/38 | | | | | Aa1 | | | | | | 259,110 | | |
| | | 100,000 | | | | Ser. DD, 5.00%, 6/15/34 | | | | | Aa1 | | | | | | 116,243 | | |
| | | 65,000 | | | | Ser. EE, 5.00%, 6/15/45 | | | | | Aa1 | | | | | | 74,645 | | |
| | | 60,000 | | | | Ser. FF, 5.00%, 6/15/45 | | | | | Aa1 | | | | | | 67,745 | | |
| | | | | | | 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 | | | | | | 224,290 | | |
| | | 150,000 | | | | Ser. GG-1, 5.25%, 6/15/32 | | | | | Aa1 | | | | | | 169,695 | | |
| | | 500,000 | | | | New York City Municipal Water Finance Authority, Water and Sewer Second General Resolution Fiscal 2008, Revenue Bonds, Ser. DD, 4.75%, 6/15/36 | | | | | Aa1 | | | | | | 525,095 | | |
| | | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | | ||||||||||
| | | 300,000 | | | | Fiscal 2011, Ser. D, 5.00%, 2/1/35 | | | | | Aa1 | | | | | | 346,548 | | |
| | | 265,000 | | | | Prerefunded, Ser. B, 5.00%, 11/1/23 | | | | | ** | | | | | | 279,901 | | |
| | | 150,000 | | | | Subordinated Future Tax Secured, Ser. A, 5.00%, 5/1/30 | | | | | Aa1 | | | | | | 167,472 | | |
| | | 120,000 | | | | Subordinated Future Tax Secured, Subser. A-1, 5.00%, 8/1/26 | | | | | Aa1 | | | | | | 147,386 | | |
| | | 160,000 | | | | Subser. F-1, 5.00%, 5/1/23 | | | | | Aa1 | | | | | | 195,085 | | |
| | | 135,000 | | | | Unrefunded, Ser. B, 5.00%, 11/1/23 | | | | | Aa1 | | | | | | 142,498 | | |
| | | 200,000 | | | | Transitional Finance Authority, Building Aid Revenue Bonds, Fiscal 2012, Subser. S-1A, State Aid Withholding Insured, 4.00%, 7/15/21 | | | | | Aa2 | | | | | | 225,862 | | |
| | | 250,000 | | | | Trust for Cultural Resources Revenue, Refunding Bonds, Museum of Modern Art, Ser. 1A, 5.00%, 4/1/28 | | | | | Aa2 | | | | | | 273,882 | | |
| | | | | | | | | | | | | | | | | | 4,649,467 | | |
| | | | | | | NORTH CAROLINA (2.9%) | | ||||||||||||
| | | 305,000 | | | | Nash Health Care Systems Health Care Facilities Revenue, Revenue Bonds, 4.50%, 11/1/37 | | | | | A-* | | | | | | 317,776 | | |
| | | 385,000 | | | | North Carolina Medical Care Commission, Refunding Revenue Bonds, Wakemed, Ser. A, 4.13%, 10/1/38 | | | | | A2 | | | | | | 398,283 | | |
| | | 300,000 | | | | North Carolina Medical Care Commission, Revenue Bonds, Duke University Health System, Ser. A, 5.00%, 6/1/42 | | | | | Aa2 | | | | | | 337,572 | | |
| | | 85,000 | | | | North Carolina Medical Care Commission, Revenue Bonds, Wake Forest Baptist Obligated Group, Ser. B, 5.00%, 12/1/24 | | | | | A2 | | | | | | 98,985 | | |
| | | | | | | Raleigh Durham Airport Authority, Revenue Bonds: | | | | ||||||||||
| | | 195,000 | | | | Ser. A, 5.00%, 5/1/36 | | | | | Aa3 | | | | | | 219,049 | | |
| | | 250,000 | | | | Ser. B-1, 5.00%, 11/1/28 | | | | | Aa3 | | | | | | 285,333 | | |
| | | 315,000 | | | | State of North Carolina Capital Improvement Obligation, Revenue Bonds, Ser. C, 3.50%, 5/1/27 | | | | | Aa1 | | | | | | 331,383 | | |
| | | | | | | | | | | | | | | | | | 1,988,381 | | |
| | | | | | | NORTH DAKOTA (0.7%) | | ||||||||||||
| | | 290,000 | | | | City of Fargo, North Dakota, Improvement Refunding Bonds, General Obligation Unlimited, Ser. E, 5.00%, 5/1/25 | | | | | Aa1 | | | | | | 356,973 | | |
| | | 135,000 | | | | North Dakota Public Finance Authority, State Revolving Fund Program, Revenue Bonds, Ser. A, 5.00%, 10/1/26 | | | | | Aaa | | | | | | 157,970 | | |
| | | | | | | | | | | | | | | | | | 514,943 | | |
| | | | | | | OHIO (2.9%) | | ||||||||||||
| | | 200,000 | | | | City of Akron, Ohio Community Learning Centers, Refunding Revenue Bonds, Ser. A, 5.00%, 12/1/28 | | | | | AA+* | | | | | | 231,974 | | |
| | | 325,000 | | | | Cleveland Department of Public Utilities Division of Water Revenue, Revenue Bonds, Senior Lien Ser. X, 3.63%, 1/1/37 | | | | | Aa1 | | | | | | 329,222 | | |
| | | 500,000 | | | | Cleveland Ohio Airport System Revenue, Revenue Bonds, Ser. C, Assured GTY Insured, 5.00%, 1/1/22 | | | | | A3 | | | | | | 542,855 | | |
| | | 350,000 | | | | Cleveland-Cuyahoga County Port Authority, Revenue Bonds, The Cleveland Museum Art Project, 5.00%, 10/1/19 | | | | | AA+* | | | | | | 396,137 | | |
| | | 150,000 | | | | Columbus Ohio Metropolitan Library Special Obligation, Revenue Bonds, Ser. 1, 5.00%, 12/1/23 | | | | | Aa2 | | | | | | 172,669 | | |
| | | 300,000 | | | | Ohio State Water Development Authority Revenue, Revenue Bonds, Water Pollution Control Loan-C, 5.00%, 12/1/18 | | | | | Aaa | | | | | | 334,404 | | |
| | | | | | | | | | | | | | | | | | 2,007,261 | | |
| | | | | | | OKLAHOMA (0.4%) | | ||||||||||||
| | | 250,000 | | | | Oklahoma Capital Improvement Authority, Revenue Bonds, 5.00%, 10/1/23 | | | | | AA* | | | | | | 292,948 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.8%) (continued) | | | |||||||||||||||||
| | | | | | | OREGON (0.9%) | | ||||||||||||
| | $ | 500,000 | | | | Oregon State, General Obligation Unlimited, Refunding Revenue Bonds, Ser. N, 5.00%, 12/1/21 | | | | | Aa1 | | | | | $ | 600,020 | | |
| | | | | | | PENNSYLVANIA (4.0%) | | ||||||||||||
| | | 500,000 | | | | Centennial School District Bucks County, General Obligation Limited, Ser. A, State Aid Withholding Insured, 5.00%, 12/15/34 | | | | | Aa2 | | | | | | 575,995 | | |
| | | 200,000 | | | | Central Bradford Progress Authority, Guthrie Healthcare System, Revenue Bonds, 5.00%, 12/1/31 | | | | | AA-* | | | | | | 226,426 | | |
| | | 495,000 | | | | City of Philadelphia Pennsylvania, General Obligation Unlimited, Refunding Bonds, Ser. A, AGM Insured, 5.25%, 12/15/32 | | | | | A2 | | | | | | 541,901 | | |
| | | 600,000 | | | | Delaware Valley Regional Finance Authority, Permanently Fixed Revenue Bonds, AMBAC Insured, 5.50%, 8/1/18(2) | | | | | A2 | | | | | | 657,876 | | |
| | | 300,000 | | | | Pittsburgh Public Schools, General Obligation Limited, Ser. B, State Aid Withholding Insured, 4.00%, 9/1/22 | | | | | Aa3 | | | | | | 329,844 | | |
| | | | | | | University of Pittsburgh-of the Commonwealth System of Higher Education, Capital Project Revenue Bonds, Ser. B: | | | | ||||||||||
| | | 100,000 | | | | 5.00%, 9/15/19 | | | | | Aa1 | | | | | | 112,878 | | |
| | | 50,000 | | | | 5.00%, 9/15/31 | | | | | Aa1 | | | | | | 55,413 | | |
| | | 225,000 | | | | York County Pennsylvania, General Obligation Unlimited, 4.75%, 3/1/36 | | | | | AA* | | | | | | 250,868 | | |
| | | | | | | | | | | | | | | | | | 2,751,201 | | |
| | | | | | | RHODE ISLAND (0.8%) | | ||||||||||||
| | | 500,000 | | | | Rhode Island State & Providence Plantations, General Obligation Unlimited, Consolidated Capital Development Loan, Ser. C, NATL-RE Insured, 5.00%, 11/15/16 | | | | | Aa2 | | | | | | 519,565 | | |
| | | | | | | SOUTH CAROLINA (2.3%) | | ||||||||||||
| | | 500,000 | | | | Charleston County South Carolina, Capital Improvement Transportation Sales Tax, General Obligation Unlimited, State Aid Withholding Insured, 4.00%, 11/1/29 | | | | | Aaa | | | | | | 550,590 | | |
| | | 350,000 | | | | Charleston South Carolina Waterworks & Sewer Revenue, Refunding and Capital Improvement Revenue Bonds, 5.00%, 1/1/35 | | | | | Aaa | | | | | | 400,081 | | |
| | | 150,000 | | | | Clemson University South Carolina Athletic Facilities, Refunding Revenue Bonds, 3.00%, 5/1/20 | | | | | Aa3 | | | | | | 160,340 | | |
| | | 195,000 | | | | South Carolina Jobs-Economic Development Authority, Refunding and Improvement Revenue Bonds, Palmetto Health, 5.75%, 8/1/39 | | | | | Baa1 | | | | | | 211,497 | | |
| | | 250,000 | | | | South Carolina Jobs-Economic Development Authority, Revenue Bonds, Georgetown Hospital, Ser. B, 3.50%, 2/1/25 | | | | | A3 | | | | | | 251,407 | | |
| | | | | | | | | | | | | | | | | | 1,573,915 | | |
| | | | | | | TENNESSEE (0.5%) | | ||||||||||||
| | | 250,000 | | | | Shelby County Health Educational & Housing Facilities Board, Revenue Bonds, Methodist Le Bonheur Healthcare, 5.00%, 5/1/42 | | | | | A1 | | | | | | 272,163 | | |
| | | 90,000 | | | | Tennessee Housing Development Agency, Revenue Bonds, Ser. 1C, 3.05%, 1/1/24 | | | | | Aa1 | | | | | | 95,516 | | |
| | | | | | | | | | | | | | | | | | 367,679 | | |
| | | | | | | TEXAS (10.3%) | | ||||||||||||
| | | 825,000 | | | | Arlington Texas, Special Tax, 5.00%, 8/15/28 | | | | | A1 | | | | | | 893,203 | | |
| | | 65,000 | | | | City of Austin Texas, Water & Wastewater System Revenue, Revenue Bonds, 5.00%, 11/15/32 | | | | | Aa2 | | | | | | 76,081 | | |
| | | 160,000 | | | | City of Corpus Christi, Texas General Improvement Bonds, 5.00%, 3/1/24 | | | | | Aa2 | | | | | | 195,392 | | |
| | | 100,000 | | | | City of Dallas, Unrefunded General Obligation Limited, Refunding Bonds, 5.00%, 2/15/23 | | | | | Aa2 | | | | | | 119,302 | | |
| | | 160,000 | | | | City of El Paso Texas, Water & Sewer Revenue, Improvement Refunding Revenue Bonds, Ser. A, 5.00%, 3/1/23 | | | | | AA+* | | | | | | 190,310 | | |
| | | 150,000 | | | | City of Houston Texas, Public Improvement Refunding Bonds, General Obligation Limited, Ser. A, 5.00%, 3/1/25 | | | | | Aa2 | | | | | | 167,100 | | |
| | | 70,000 | | | | City of Lubbock, Texas Certificates of Obligation, Waterworks System, General Obligation Limited, 5.00%, 2/15/23 | | | | | Aa2 | | | | | | 85,172 | | |
| | | 200,000 | | | | City of San Antonio Texas, Water System Revenue, Junior Lien, Refunding Revenue Bonds, Ser. B, 5.00%, 5/15/32 | | | | | Aa2 | | | | | | 238,774 | | |
| | | 250,000 | | | | Fort Worth Independent School District, School Building, General Obligation Unlimited, PSF-GTD Insured, 5.00%, 2/15/20 | | | | | Aa1 | | | | | | 287,620 | | |
| | | 1,170,000 | | | | Harris County Texas, Revenue Bonds, Senior Lien-Toll Road, Ser. A, 5.00%, 8/15/32 | | | | | Aa2 | | | | | | 1,308,856 | | |
| | | 500,000 | | | | Hays Texas Consolidated Independent School District, General Obligation Unlimited, Serial CIB, PSF-GTD Insured, 4.50%, 8/15/32 | | | | | AAA* | | | | | | 512,720 | | |
| | | | | | | Leander Independent School District, Prefunded Bonds, General Obligation Unlimited: | | | | ||||||||||
| | | 4,805,000 | | | | PSF-GTD Insured,0.00%, 8/15/41(1) | | | | | ** | | | | | | 1,141,956 | | |
| | | 195,000 | | | | PSF-GTD Insured,0.00%, 8/15/41(1) | | | | | AAA* | | | | | | 45,872 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | ||||||||||||
| LONG-TERM MUNICIPAL SECURITIES (98.8%) (continued) | | | ||||||||||||||||||||
| | | | | | | TEXAS (10.3%) (continued) | | |||||||||||||||
| | $ | 250,000 | | | | Lower Colorado River Authority, Revenue Bonds, Ser. A, 5.00%, 5/15/31 | | | | | A1 | | | | | $ | 286,578 | | | |||
| | | 135,000 | | | | North Fort Bend Water Authority, Revenue Bonds, AGM Insured, Ser. A, 3.00%, 12/15/19 | | | | | A2 | | | | | | 143,159 | | | |||
| | | 200,000 | | | | Olmos Park Higher Education Facilities Corp., Refunding Revenue Bonds, University of the Incarnate Word, 5.00%, 12/1/23 | | | | | A3 | | | | | | 234,482 | | | |||
| | | 100,000 | | | | State of Texas, Transportation Commission, Highway Improvement, 5.00%, 4/1/25 | | | | | Aaa | | | | | | 123,180 | | | |||
| | | 250,000 | | | | State of Texas, Water Financial Assistance, General Obligation Unlimited, Ser. B, 5.00%, 8/1/16 | | | | | Aaa | | | | | | 256,790 | | | |||
| | | 275,000 | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Ser. A, 5.00%, 11/15/38 | | | | | Aa3 | | | | | | 310,156 | | | |||
| | | 125,000 | | | | University of Texas Financing System, Revenue Bonds, Ser. D, 4.25%, 8/15/19 | | | | | Aaa | | | | | | 138,956 | | | |||
| | | 375,000 | | | | Ysleta Texas Independent School District, General Obligation Unlimited, PSF-GTD Insured, 5.00%, 8/15/30 | | | | | AAA* | | | | | | 385,451 | | | |||
| | | | | | | | | | | | | | | | | | 7,141,110 | | | |||
| | | | | | | VERMONT (0.7%) | | |||||||||||||||
| | | 200,000 | | | | Vermont Educational & Health Buildings Financing Agency, Revenue Bonds, Saint Michael’s College, 5.00%, 10/1/42 | | | | | Baa1 | | | | | | 217,760 | | | |||
| | | 250,000 | | | | Vermont Municipal Bond Bank, Revenue Bonds, Ser. 1, 5.00%, 12/1/29 | | | | | Aa2 | | | | | | 289,305 | | | |||
| | | | | | | | | | | | | | | | | | 507,065 | | | |||
| | | | | | | VIRGINIA (0.4%) | | |||||||||||||||
| | | 250,000 | | | | Virginia State Resources Authority, Revenue Bonds, Virginia Pooled Financing Program, Ser. C, 5.00%, 11/1/18 | | | | | Aaa | | | | | | 277,713 | | | |||
| | | | | | | WASHINGTON (3.1%) | | |||||||||||||||
| | | 250,000 | | | | City of Seattle Washington, Limited Tax Improvement Bonds, General Obligation Limited, 4.25%, 3/1/28 | | | | | Aa1 | | | | | | 271,583 | | | |||
| | | 100,000 | | | | County of Pierce Washington, Sewer Revenue, Revenue Bonds, 4.00%, 8/1/37 | | | | | Aa3 | | | | | | 104,170 | | | |||
| | | | | | | Energy Northwest Washington Electric Refunding-Project 3, Revenue Bonds: | | | | |||||||||||||
| | | 300,000 | | | | Ser. A, 5.00%, 7/1/17 | | | | | Aa1 | | | | | | 318,888 | | | |||
| | | 120,000 | | | | Ser. D, 5.00%, 7/1/16 | | | | | Aa1 | | | | | | 122,791 | | | |||
| | | 250,000 | | | | Port of Seattle Washington, Revenue Refunding Bonds, Ser. A, 5.00%, 8/1/33 | | | | | A1 | | | | | | 289,262 | | | |||
| | | 200,000 | | | | Seattle Museum Development Authority, Special Obligation Refunding Bonds, Municipal Government Guaranteed, 5.00%, 4/1/26 | | | | | Aa1 | | | | | | 241,534 | | | |||
| | | 350,000 | | | | Washington Health Care Facilities Authority, Revenue Bonds, Providence Health & Services, Ser. A, 4.25%, 10/1/37 | | | | | Aa3 | | | | | | 364,360 | | | |||
| | | 100,000 | | | | Washington State, Motor Vehicle Fuel Tax, General Obligation Unlimited, Ser. B, 5.00%, 7/1/24 | | | | | Aa1 | | | | | | 124,006 | | | |||
| | | 250,000 | | | | Washington State, Motor Vehicle Tax - Senior 520, General Obligation Unlimited, Ser. C, 5.00%, 6/1/32 | | | | | Aa1 | | | | | | 288,978 | | | |||
| | | | | | | | | | | | | | | | | | 2,125,572 | | | |||
| | | | | | | WEST VIRGINIA (0.3%) | | |||||||||||||||
| | | 175,000 | | | | West Virginia School Building Authority, Revenue Bonds, 5.00%, 7/1/17 | | | | | A1 | | | | | | 186,018 | | | |||
| | | | | | | WISCONSIN (2.2%) | | |||||||||||||||
| | | 150,000 | | | | City of Madison Wisconsin Water Utility Revenue, Revenue Bonds, 4.00%, 1/1/32 | | | | | Aa2 | | | | | | 160,149 | | | |||
| | | 200,000 | | | | Wisconsin State Health & Educational Facilities Authority, Revenue Bonds, Froedtert Health, Ser. A, 5.00%, 4/1/23 | | | | | AA-* | | | | | | 234,606 | | | |||
| | | 250,000 | | | | Wisconsin State Health & Educational Facilities Authority, Revenue Bonds, Marshfield Clinic, Ser. B, 5.00%, 2/15/24 | | | | | A-* | | | | | | 289,420 | | | |||
| | | 750,000 | | | | Wisconsin State, General Obligation Unlimited, Ser. C, 4.50%, 5/1/20 | | | | | Aa2 | | | | | | 850,912 | | | |||
| | | | | | | | | | | | | | | | | | 1,535,087 | | | |||
| | | | | | | WYOMING (0.4%) | | |||||||||||||||
| | | 220,000 | | | | Laramie County Wyoming, Revenue Bonds, Cheyenne Regional Medical Center Project, 5.00%, 5/1/42 | | | | | A* | | | | | | 241,527 | | | |||
| | | | | | | TOTAL LONG-TERM MUNICIPAL SECURITIES (98.8%) (Cost $65,249,994) | | | | | | | | | | $ | 68,193,166 | | | |||
| | | | | | | CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES (1.2%) | | | | | | | | | | | 845,774 | | | |||
| | | | | | | NET ASSETS (100.0%) | | | | | | | | | | $ | 69,038,940 | | | |||
| | | | | | | NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER OUTSTANDING SHARE ($69,038,940 ÷ 6,865,958 shares outstanding) | | | | | | | | | | $ | 10.06 | | | |||
|
Investments in Securities: | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | ||||||||||||||||||||
Long-Term Municipal Securities* | | | | $ | — | | | | | $ | 68,193,166 | | | | | $ | — | | | | | $ | 68,193,166 | | |
Total Investments in Securities | | | | $ | — | | | | | $ | 68,193,166 | | | | | $ | — | | | | | $ | 68,193,166 | | |
at December 31, 2015
| | | Value Line Core Bond Fund | | | The Value Line Tax Exempt Fund, Inc. | | ||||||
Assets: | | | | ||||||||||
Investments in securities, at value* | | | | $ | 75,406,371 | | | | | $ | 68,193,166 | | |
Cash | | | | | — | | | | | | 159,395 | | |
Cash at broker | | | | | 7,137 | | | | | | — | | |
Interest receivable | | | | | 484,401 | | | | | | 821,548 | | |
Receivable for capital shares sold | | | | | 505 | | | | | | 25,006 | | |
Prepaid expenses | | | | | 13,238 | | | | | | 2,691 | | |
Receivable for securities lending income | | | | | 855 | | | | | | — | | |
Total Assets | | | | | 75,912,507 | | | | | | 69,201,806 | | |
Liabilities: | | | | ||||||||||
Payable upon return of securities on loan (Note 1G) | | | | | 3,519,753 | | | | | | — | | |
Payable for capital shares redeemed | | | | | 212,412 | | | | | | 7,984 | | |
Dividends payable to shareholders | | | | | 12,252 | | | | | | 30,465 | | |
Payable to broker - variation margin on open future contracts | | | | | 466 | | | | | | — | | |
Accrued expenses: | | | | ||||||||||
Advisory fee | | | | | 17,712 | | | | | | 52,224 | | |
Service and distribution plan fees | | | | | 15,516 | | | | | | — | | |
Directors’ fees and expenses | | | | | 868 | | | | | | 812 | | |
Other | | | | | 59,446 | | | | | | 71,381 | | |
Total Liabilities | | | | | 3,838,425 | | | | | | 162,866 | | |
Net Assets | | | | $ | 72,074,082 | | | | | $ | 69,038,940 | | |
Net assets consist of: | | | | ||||||||||
Capital stock, at $0.01 par value (authorized unlimited shares and 65,000,000 shares, respectively) | | | | $ | 48,999 | | | | | $ | 68,660 | | |
Additional paid-in capital | | | | | 73,121,330 | | | | | | 72,765,169 | | |
Undistributed/(distributions in excess of) net investment income | | | | | 35,107 | | | | | | (21,329) | | |
Accumulated net realized loss on investments and futures | | | | | (876,718) | | | | | | (6,716,732) | | |
Net unrealized appreciation (depreciation) of: | | | | ||||||||||
Investments | | | | | (251,175) | | | | | | 2,943,172 | | |
Futures contracts | | | | | (3,461) | | | | | | — | | |
Net Assets | | | | $ | 72,074,082 | | | | | $ | 69,038,940 | | |
Shares Outstanding | | | | | 4,899,887 | | | | | | 6,865,958 | | |
Net Asset Value, Offering and Redemption Price per Outstanding Share | | | | $ | 14.71 | | | | | $ | 10.06 | | |
* Includes securities on loan of | | | | $ | 3,454,024 | | | | | $ | — | | |
Cost of investments | | | | $ | 75,657,546 | | | | | $ | 65,249,994 | | |
for the Year Ended December 31, 2015
| | | Value Line Core Bond Fund | | | The Value Line Tax Exempt Fund, Inc. | | ||||||
Investment Income: | | | | ||||||||||
Interest | | | | $ | 2,033,417 | | | | | $ | 2,597,307 | | |
Securities lending income | | | | | 4,623 | | | | | | — | | |
Total Income | | | | | 2,038,040 | | | | | | 2,597,307 | | |
Expenses: | | | | ||||||||||
Advisory fee | | | | | 385,393 | | | | | | 363,905 | | |
Service and distribution plan fees | | | | | 192,696 | | | | | | 181,953 | | |
Transfer agent fees | | | | | 117,439 | | | | | | 52,011 | | |
Custodian fees | | | | | 68,596 | | | | | | 58,761 | | |
Auditing and legal fees | | | | | 54,301 | | | | | | 66,272 | | |
Tax expense | | | | | 8,311 | | | | | | 8,288 | | |
Registration and filing fees | | | | | 30,783 | | | | | | 29,061 | | |
Directors’ fees and expenses | | | | | 17,283 | | | | | | 17,325 | | |
Printing and postage | | | | | 17,166 | | | | | | 19,671 | | |
Insurance | | | | | 10,119 | | | | | | 9,617 | | |
Other | | | | | 3,523 | | | | | | 1,430 | | |
Total Expenses Before Fees Waived (Note 5) | | | | | 905,610 | | | | | | 808,294 | | |
Less: Service and Distribution Plan Fees Waived | | | | | (63,383) | | | | | | (181,953) | | |
Less: Advisory Fees Waived and Expenses Reimbursed | | | | | (156,701) | | | | | | — | | |
Net Expenses | | | | | 685,526 | | | | | | 626,341 | | |
Net Investment Income | | | | | 1,352,514 | | | | | | 1,970,966 | | |
Net Realized and Unrealized Gain/(Loss) on Investments and Futures: | | | | ||||||||||
Net Realized Gain/(Loss) From: | | | | ||||||||||
Investments | | | | | 51,316 | | | | | | 293,194 | | |
Futures contracts | | | | | 8,352 | | | | | | — | | |
| | | | | 59,668 | | | | | | 293,194 | | |
Change in Net Unrealized Appreciation/(Depreciation) of: | | | | ||||||||||
Investments | | | | | (1,222,550) | | | | | | (541,176) | | |
Futures contracts | | | | | (3,461) | | | | | | — | | |
| | | | | (1,226,011) | | | | | | (541,176) | | |
Net Realized Loss and Change in Net Unrealized Appreciation/(Depreciation) on Investments and Futures | | | | | (1,166,343) | | | | | | (247,982) | | |
Net Increase in Net Assets from Operations | | | | $ | 186,171 | | | | | $ | 1,722,984 | | |
for the Years Ended December 31, 2015 and 2014
| | | Value Line Core Bond Fund | | |||||||||
| | | Year Ended December 31, 2015 | | | Year Ended December 31, 2014 | | ||||||
Operations: | | | | ||||||||||
Net investment income | | | | $ | 1,352,514 | | | | | $ | 1,494,047 | | |
Net realized gain/(loss) on investments and futures | | | | | 59,668 | | | | | | (64,745) | | |
Change in net unrealized appreciation/(depreciation) on investments and futures | | | | | (1,226,011) | | | | | | 2,217,396 | | |
Net increase in net assets from operations | | | | | 186,171 | | | | | | 3,646,698 | | |
Distributions to Shareholders from: | | | | ||||||||||
Net investment income | | | | | (1,356,570) | | | | | | (1,444,033) | | |
Total distributions | | | | | (1,356,570) | | | | | | (1,444,033) | | |
Share Transactions: | | | | ||||||||||
Proceeds from sale of shares | | | | | 5,783,577 | | | | | | 1,879,189 | | |
Proceeds from reinvestment of dividends to shareholders | | | | | 1,193,509 | | | | | | 1,279,870 | | |
Cost of shares redeemed | | | | | (13,029,832) | | | | | | (11,109,656) | | |
Net decrease in net assets from capital share transactions | | | | | (6,052,746) | | | | | | (7,950,597) | | |
Total decrease in net assets | | | | | (7,223,145) | | | | | | (5,747,932) | | |
Net Assets: | | | | ||||||||||
Beginning of year | | | | | 79,297,227 | | | | | | 85,045,159 | | |
End of year | | | | $ | 72,074,082 | | | | | $ | 79,297,227 | | |
Undistributed net investment income included in net assets, at end of year | | | | $ | 35,107 | | | | | $ | 40,791 | | |
Capital Share Transactions: | | | | ||||||||||
Shares sold* | | | | | 386,881 | | | | | | 126,373 | | |
Shares issued to shareholders in reinvestment of dividends* | | | | | 80,024 | | | | | | 86,095 | | |
Shares redeemed* | | | | | (874,910) | | | | | | (747,721) | | |
Net decrease | | | | | (408,005) | | | | | | (535,253) | | |
for the Year Ended December 31, 2015 and
for the Periods Ended December 31, 2014 and February 28, 2014
| | | The Value Line Tax Exempt Fund, Inc. | | |||||||||||||||
| | | Year Ended December 31, 2015 | | | Period from March 1, 2014 to December 31, 2014* | | | Year Ended February 28, 2014 | | |||||||||
Operations: | | | | | |||||||||||||||
Net investment income | | | | $ | 1,970,966 | | | | | $ | 1,681,279 | | | | | $ | 2,278,417 | | |
Net realized gain/(loss) on investments | | | | | 293,194 | | | | | | 77,137 | | | | | | (181,468) | | |
Change in net unrealized appreciation/(depreciation) on investments | | | | | (541,176) | | | | | | 1,580,221 | | | | | | (3,840,197) | | |
Net increase/(decrease) in net assets from operations | | | | | 1,722,984 | | | | | | 3,338,637 | | | | | | (1,743,248) | | |
Distributions to Shareholders from: | | | | | |||||||||||||||
Net investment income | | | | | (1,970,966) | | | | | | (1,681,279) | | | | | | (2,278,417) | | |
Total distributions | | | | | (1,970,966) | | | | | | (1,681,279) | | | | | | (2,278,417) | | |
Share Transactions: | | | | | |||||||||||||||
Proceeds from sale of shares | | | | | 583,401 | | | | | | 1,151,787 | | | | | | 1,760,117 | | |
Proceeds from reinvestment of dividends to shareholders | | | | | 1,584,284 | | | | | | 1,327,768 | | | | | | 1,769,627 | | |
Cost of shares redeemed | | | | | (8,413,879) | | | | | | (6,648,898) | | | | | | (12,587,402) | | |
Net decrease in net assets from capital share transactions | | | | | (6,246,194) | | | | | | (4,169,343) | | | | | | (9,057,658) | | |
Total decrease in net assets | | | | | (6,494,176) | | | | | | (2,511,985) | | | | | | (13,079,323) | | |
Net Assets: | | | | | |||||||||||||||
Beginning of year | | | | | 75,533,116 | | | | | | 78,045,101 | | | | | | 91,124,424 | | |
End of year | | | | $ | 69,038,940 | | | | | $ | 75,533,116 | | | | | $ | 78,045,101 | | |
Distributions in excess of net investment income included in net assets, at end of year | | | | $ | (21,329) | | | | | $ | (21,604) | | | | | $ | (21,879) | | |
Capital Share Transactions: | | | | | |||||||||||||||
Shares sold | | | | | 58,258 | | | | | | 114,945 | | | | | | 179,399 | | |
Shares issued to shareholders in reinvestment of dividends | | | | | 157,849 | | | | | | 132,584 | | | | | | 180,304 | | |
Shares redeemed | | | | | (840,668) | | | | | | (664,917) | | | | | | (1,288,893) | | |
Net decrease | | | | | (624,561) | | | | | | (417,388) | | | | | | (929,190) | | |
| | | Income/(loss) from investment operations: | | | | Less distributions: | | ||||||||||||||||||||||||||||||||||||||||||||||||
| | | Net Asset value beginning of year | | | Net investment income/ (loss) | | | Net gains/ (losses) on securities (both realized and unrealized) | | | Total from investment operations | | | Redemption fees | | | | Dividends from net investment income | | | Distributions from net realized gains | | | Distributions from return of capital | | | Total distributions | | |||||||||||||||||||||||||||
Value Line Core Bond Fund(1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year ended December 31, 2015 | | | | $ | 14.94 | | | | | | 0.26 | | | | | | (0.23) | | | | | | 0.03 | | | | | | — | | | | | | | (0.26) | | | | | | — | | | | | | — | | | | | | (0.26) | | |
Year ended December 31, 2014 | | | | | 14.55 | | | | | | 0.27 | | | | | | 0.38 | | | | | | 0.65 | | | | | | — | | | | | | | (0.26) | | | | | | — | | | | | | — | | | | | | (0.26) | | |
Period ended December 31, 2013(2) | | | | | 15.21 | | | | | | 0.18 | | | | | | (0.66) | | | | | | (0.48) | | | | | | — | | | | | | | (0.15) | | | | | | — | | | | | | (0.03) | | | | | | (0.18) | | |
Year ended January 31, 2013 | | | | | 14.76 | | | | | | 0.78 | | | | | | 0.45 | | | | | | 1.23 | | | | | | 0.00(5) | | | | | | | (0.78) | | | | | | (0.00)(5) | | | | | | — | | | | | | (0.78) | | |
Year ended January 31, 2012 | | | | | 14.85 | | | | | | 0.87 | | | | | | (0.09) | | | | | | 0.78 | | | | | | 0.00(5) | | | | | | | (0.87) | | | | | | — | | | | | | — | | | | | | (0.87) | | |
Year ended January 31, 2011 | | | | | 14.10 | | | | | | 0.90 | | | | | | 0.75 | | | | | | 1.65 | | | | | | 0.00(5) | | | | | | | (0.90) | | | | | | — | | | | | | — | | | | | | (0.90) | | |
The Value Line Tax Exempt Fund, Inc. | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | | | | | 10.08 | | | | | | 0.27 | | | | | | (0.02) | | | | | | 0.25 | | | | | | — | | | | | | | (0.27) | | | | | | — | | | | | | — | | | | | | (0.27) | | |
Period ended December 31, 2014(8) | | | | | 9.87 | | | | | | 0.22 | | | | | | 0.21 | | | | | | 0.43 | | | | | | — | | | | | | | (0.22) | | | | | | — | | | | | | — | | | | | | (0.22) | | |
Year ended February 28, 2014 | | | | | 10.31 | | | | | | 0.27 | | | | | | (0.44) | | | | | | (0.17) | | | | | | — | | | | | | | (0.27) | | | | | | — | | | | | | — | | | | | | (0.27) | | |
Year ended February 28, 2013 | | | | | 10.14 | | | | | | 0.26 | | | | | | 0.17 | | | | | | 0.43 | | | | | | — | | | | | | | (0.26) | | | | | | — | | | | | | — | | | | | | (0.26) | | |
Year ended February 29, 2012 | | | | | 9.43 | | | | | | 0.29 | | | | | | 0.71 | | | | | | 1.00 | | | | | | — | | | | | | | (0.29) | | | | | | — | | | | | | — | | | | | | (0.29) | | |
Year ended February 28, 2011 | | | | | 9.60 | | | | | | 0.33 | | | | | | (0.17) | | | | | | 0.16 | | | | | | — | | | | | | | (0.33) | | | | | | — | | | | | | — | | | | | | (0.33) | | |
| | | Ratios/Supplemental Data: | | |||||||||||||||||||||||||||||||||||||||
| | | Net asset value, end of year | | | Total return | | | Net assets, end of year (in thousands) | | | Ratio of gross expenses to average net assets* | | | Ratio of net expenses to average net assets** | | | Ratio of net investment income/(loss) to average net assets | | | Portfolio turnover rate | | |||||||||||||||||||||
Value Line Core Bond Fund(1) | | | | | | | | | |||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | | | | $ | 14.71 | | | | | | 0.22% | | | | | $ | 72,074 | | | | | | 1.17% | | | | | | 0.89% | | | | | | 1.75% | | | | | | 34% | | |
Year ended December 31, 2014 | | | | | 14.94 | | | | | | 4.49% | | | | | | 79,297 | | | | | | 1.26% | | | | | | 1.01% | | | | | | 1.96% | | | | | | 111% | | |
Year ended December 31, 2013(2) | | | | | 14.55 | | | | | | (3.13)%(3) | | | | | | 85,045 | | | | | | 1.30%(4) | | | | | | 1.15%(4) | | | | | | 1.17%(4) | | | | | | 61%(3) | | |
Year ended January 31, 2013 | | | | | 15.21 | | | | | | 8.49% | | | | | | 30,550 | | | | | | 1.62% | | | | | | 1.32% | | | | | | 5.18% | | | | | | 103% | | |
Year ended January 31, 2012 | | | | | 14.76 | | | | | | 5.48% | | | | | | 32,203 | | | | | | 1.55% | | | | | | 1.25% | | | | | | 5.95% | | | | | | 50% | | |
Year ended January 31, 2011 | | | | | 14.85 | | | | | | 12.01% | | | | | | 34,885 | | | | | | 1.48%(6) | | | | | | 1.13%(7) | | | | | | 6.20% | | | | | | 42% | | |
The Value Line Tax Exempt Fund, Inc. | | | | | | | | | |||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | | | | | 10.06 | | | | | | 2.54% | | | | | | 69,039 | | | | | | 1.11% | | | | | | 0.86% | | | | | | 2.71% | | | | | | 6% | | |
Year ended December 31, 2014(8) | | | | | 10.08 | | | | | | 4.38%(3) | | | | | | 75,533 | | | | | | 1.19%(4) | | | | | | 0.94%(4) | | | | | | 2.61%(4) | | | | | | 4%(3) | | |
Year ended February 28, 2014 | | | | | 9.87 | | | | | | (1.55)% | | | | | | 78,045 | | | | | | 1.08% | | | | | | 0.83% | | | | | | 2.79% | | | | | | 11% | | |
Year ended February 28, 2013 | | | | | 10.31 | | | | | | 4.33% | | | | | | 91,124 | | | | | | 1.24% | | | | | | 0.99% | | | | | | 2.58% | | | | | | 28% | | |
Year ended February 29, 2012 | | | | | 10.14 | | | | | | 10.77% | | | | | | 95,405 | | | | | | 1.13% | | | | | | 0.88% | | | | | | 2.95% | | | | | | 24% | | |
Year ended February 28, 2011 | | | | | 9.43 | | | | | | 1.67% | | | | | | 76,972 | | | | | | 1.01%(6) | | | | | | 0.74%(7) | | | | | | 3.45% | | | | | | 36% | | |
| | | Year Ended December 31, 2015 | | | Year Ended December 31, 2014 | | ||||||
Value Line Core Bond Fund | | | | ||||||||||
Dividends per share from net investment income | | | | $ | 0.2639 | | | | | $ | 0.2601 | | |
The Value Line Tax Exempt Fund, Inc. | | | | ||||||||||
Dividends per share from net investment income | | | | $ | 0.2717 | | | | | $ | 0.2187* | | |
Fund | | | Value of Securities Loaned | | | Value of Collateral | | | Total Collateral (including Calculated Mark)* | | |||||||||
Value Line Core Bond Fund | | | | $ | 3,454,024 | | | | | $ | 3,519,753 | | | | | $ | 3,525,655 | | |
| | | Remaining Contractual Maturity of the Agreements As of December 31, 2015 | | |||||||||||||||||||||||||||
Value Line Core Bond Fund | | | Overnight and Continuous | | | <30 days | | | Between 30 & 90 days | | | >90 days | | | Total | | |||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 2,804,913 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 2,804,913 | | |
U.S. Treasury Obligations | | | | | 714,840 | | | | | | — | | | | | | — | | | | | | — | | | | | | 714,840 | | |
Total | | | | $ | 3,519,753 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,519,753 | | |
Total Borrowings | | | | $ | 3,519,753 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3,519,753 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 3,519,753 | | |
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 | | | | $ | 16,307,224 | | | | | $ | 14,411,314 | | | | | $ | 9,846,443 | | | | | $ | 10,758,215 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 4,407,819 | | | | | | 9,780,502 | | | | | | — | | | | | | — | | |
Fund | | | Cost of investments for tax purposes | | | Gross tax unrealized appreciation | | | Gross tax unrealized depreciation | | | Net tax unrealized appreciation (depreciation) on investments | | | Undistributed ordinary income | | | Undistributed long-term gain | | | Undistributed tax exempt income | | |||||||||||||||||||||
Value Line Core Bond Fund | | | | $ | 75,672,997 | | | | | $ | 775,129 | | | | | $ | (1,041,755) | | | | | $ | (266,626) | | | | | $ | 47,359 | | | | | $ | — | | | | | $ | — | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 65,249,994 | | | | | | 3,019,024 | | | | | | (75,852) | | | | | | 2,943,172 | | | | | | — | | | | | | — | | | | | | 9,136 | | |
Fund | | | Expiring December 31, 2016 | | | Expiring December 31, 2017 | | | Unlimited Short-Term Losses | | | Unlimited Long-Term Losses | | ||||||||||||
Value Line Core Bond Fund | | | | $ | — | | | | | $ | — | | | | | $ | 861,267 | | | | | $ | — | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 5,639,721 | | | | | | 1,077,011 | | | | | | — | | | | | | — | | |
Fund | | | Amount | | |||
Value Line Core Bond Fund | | | | $ | 52,177 | | |
The Value Line Tax Exempt Fund, Inc. | | | | $ | 292,919 | | |
Fund | | | Undistributed Net Investment Income/(Loss) | | | Accumulated Net Realized Gains/(Losses) | | | Additional Paid-In Capital | | |||||||||
Value Line Core Bond Fund | | | | $ | (1,628) | | | | | $ | 1,627 | | | | | $ | 1 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 275 | | | | | | (273) | | | | | | (2) | | |
Value Line Core Bond Fund | | | Year Ended December 31, 2015 | | | Year Ended December 31, 2014 | | ||||||
Distributions Paid From: | | | | ||||||||||
Ordinary income | | | | $ | 1,356,570 | | | | | $ | 1,444,033 | | |
Long-term capital gain | | | | | — | | | | | | — | | |
Total distributions paid | | | | $ | 1,356,570 | | | | | $ | 1,444,033 | | |
The Value Line Tax Exempt Fund, Inc. | | | Year Ended December 31, 2015 | | | Period Ended December 31, 2014* | | | Year Ended February 28, 2014 | | |||||||||
Distributions Paid From: | | | | | |||||||||||||||
Tax exempt income | | | | $ | 1,968,370 | | | | | $ | 1,677,225 | | | | | $ | 2,273,751 | | |
Taxable ordinary income | | | | | 2,596 | | | | | | 4,054 | | | | | | 4,666 | | |
Total | | | | $ | 1,970,966 | | | | | $ | 1,681,279 | | | | | $ | 2,278,417 | | |
Derivative Type | | | Asset Derivatives Location | | | Fair Value | | | Liability Derivatives Location | | | Fair Value | | |||
Interest rate contracts | | | | | | | | | Net unrealized depreciation on futures contracts | | | | $ | 3,461* | | |
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 | | | | $ | 8,352 | | | | | $ | (3,461) | | |
| | | Average Notional Amount | | |||
Futures contracts – short | | | | $ | 3,311,480 | | |
New York, New York
| | | Beginning account value 7/1/15 | | | Ending account value 12/31/15 | | | Expenses paid during the period 7/1/15 thru 12/31/15* | | |||||||||
Actual | | | | | |||||||||||||||
Value Line Core Bond Fund | | | | $ | 1,000.00 | | | | | $ | 1,004.00 | | | | | $ | 4.95 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 1,000.00 | | | | | | 1,026.00 | | | | | | 4.24 | | |
Hypothetical (5% return before expenses) | | | | | |||||||||||||||
Value Line Core Bond Fund | | | | | 1,000.00 | | | | | | 1,020.27 | | | | | | 4.99 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 1,000.00 | | | | | | 1,021.02 | | | | | | 4.23 | | |
Name, Address, and Age | | | Position | | | Length of Time Served | | | Principal Occupations During the Past 5 Years | | | Number of Portfolios in Fund Complex Overseen by Director | | | Other Directorships Held by Director During the Past 5 Years | |
Interested Director* | | | | | | | ||||||||||
Mitchell E. Appel Age: 45 | | | Director | | | Since 2010 | | | President of each of the Value Line Funds since June 2008; Chief Financial Officer of the Distributor since April 2008 and President since February 2009; President of the Adviser since February 2009, Trustee since December 2010 and Treasurer since January 2011. | | | 12 | | | Forethought Variable Insurance Trust (September 2013-present) | |
Non-Interested Directors | | | | | | |||||||||||
Joyce E. Heinzerling Age: 59 | | | Director | | | Since 2008 | | | President, Meridian Fund Advisers LLC (consultants) since 2009. | | | 12 | | | None | |
James E. Hillman Age: 58 | | | Director | | | Since 2015 | | | Chief Financial Officer, Notre Dame School of Manhattan since 2011; Director and Principal Financial Officer, Merrill Lynch Global Wealth Management, (2006-2011). | | | 12 | | | Miller/Howard High Income Equity Fund (November 2014 to present) | |
Michael Kuritzkes Age: 55 | | | Director | | | Since 2015 | | | Consultant, Coronado Advisors LLC since June 2014; Executive Vice President and General Counsel, Harbinger Group Inc. (public holding company), (2013-2014); Executive Vice President and General Counsel, Philadelphia Media LLC, (2010-2013). | | | 12 | | | None | |
Francis C. Oakley Age: 84 | | | Director | | | Since 2000 | | | Professor of History, Williams College, (1961-2002), Professor Emeritus since 2002, President Emeritus since 1994 and President, (1985-1994); Chairman (1993-1997) and Interim President (2002-2003) of the America Council of Learned Societies; Trustee since 1997 and Chairman of the Board since 2005, National Humanities Center. | | | 12 | | | None | |
David H. Porter Age: 80 | | | Director (Chairman of the Board of the Value Line Funds since 2014) | | | Since 1997 | | | Professor, Skidmore College (2008-2013); Visiting Professor of Classics, Williams College, (1999-2008); President Emeritus, Skidmore College since 1999 and President, (1987-1998). | | | 12 | | | None | |
Name, Address, and Age | | | Position | | | Length of Time Served | | | Principal Occupations During the Past 5 Years | | | Number of Portfolios in Fund Complex Overseen by Director | | | Other Directorships Held by Director During the Past 5 Years | |
Paul Craig Roberts Age: 76 | | | Director | | | Since 1984 with respect to Value Tax Line Exempt Fund and since 1986 with respect to Value Line Core Bond Fund | | | Chairman, Institute for Political Economy. | | | 12 | | | None | |
Nancy-Beth Sheerr Age: 66 | | | Director | | | Since 1996 | | | Senior Financial Consultant, Veritable, L.P. (investment advisor) until December 2013. | | | 12 | | | None | |
Officers | | | | | | | ||||||||||
Mitchell E. Appel Age: 45 | | | President | | | Since 2008 | | | President of each of the Value Line Funds since June 2008; Chief Financial Officer of the Distributor since April 2008 and President since February 2009; President of the Adviser since February 2009, Trustee since December 2010 and Treasurer since January 2011. | | | | | | | |
Michael J. Wagner Age: 65 | | | Chief Compliance Officer | | | Since 2009 | | | Chief Compliance Officer of each of the Value Line Funds since 2009; President of Northern Lights Compliance Services, LLC (formerly Fund Compliance Services, LLC) (2006-present). | | | | | | | |
Emily D. Washington Age: 37 | | | Treasurer and Chief Financial Officer; Secretary | | | Since 2009 | | | Treasurer and Chief Financial Officer (Principal Financial and Accounting Officer) of each of the Value Line Funds since 2008 and Secretary since 2010; Secretary of the Adviser since 2011. | | | | | | | |
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Item 2. Code of Ethics
(a) The Registrant has adopted a Code of Ethics that applies to its principal executive officer, and principal financial officer and principal accounting officer.
(f) Pursuant to item 12(a), the Registrant is attaching as an exhibit a copy of its Code of Ethics that applies to its principal executive officer, and principal financial officer and principal accounting officer.
Item 3 Audit Committee Financial Expert
((a)(1)The Registrant has an Audit Committee Financial Expert serving on its Audit Committee.
(2) The Registrant’s Board has designated both James Hillman and Michael Kuritzkes, members of the Registrant’s Audit Committee, as the Registrant’s Audit Committee Financial Experts. Mr. Hillman and Mr. Kuritzkes are independent directors. Mr. Hillman currently serves as the Chief Financial Officer at Notre Dame School of Manhattan since 2011. Mr. Kuritzkes currently serves as a consultant at Caronado Advisors LLC since June 2014 and previously served as Executive Vice President and General Counsel at Harbinger Group, Inc. (2013 – 2014)
A person who is designated as an “audit committee financial expert” shall not make such person an "expert" for any purpose, including without limitation under Section 11 of the Securities Act of 1933 or under applicable fiduciary laws, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services
(a) | Audit Fees for the year ended December 2015 - $23,208 Audit Fees for the year ended December 2014 - $5,479 |
(b) | Audit-Related fees – None. |
(c) | Tax Preparation for the year ended December Fees 2015 - $7,226 Tax Preparation for the year ended December Fees 2014 - $8,552 |
(d) | All Other Fees – None |
(e)(1) | Audit Committee Pre-Approval Policy. All services to be performed for the Registrant by PricewaterhouseCoopers LLP must be pre-approved by the audit committee. All services performed were pre-approved by the committee. |
(e)(2) | Not applicable. |
(f) | Not applicable. |
(g) | Aggregate Non-Audit for the year ended December Fees 2015 - None Aggregate Non-Audit for the year ended December Fees 2014 - None |
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants
Not Applicable.
Item 6. Investments
Not Applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not Applicable
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not Applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not Applicable
Item 10. Submission of Matters to a Vote of Security Holders
Not Applicable
Item 11. Controls and Procedures
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in rule 30a-2(c) under the Act (17 CFR 270.30a-2(c)) based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report, are appropriately designed to ensure that material information relating to the registrant is made known to such officers and are operating effectively. |
(b) | The registrant’s principal executive officer and principal financial officer have determined that there have been no significant changes in the registrant’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including corrective actions with regard to significant deficiencies and material weaknesses. |
Item 12. Exhibits.
(a) | Code of Business Conduct and Ethics for Principal Executive and Senior Financial Officers attached hereto as Exhibit 100.COE |
(b) | (1) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2) attached hereto as Exhibit 99.CERT. |
(2) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
By /s/ Mitchell E. Appel
Mitchell E. Appel, President
Date: March 10, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ Mitchell E. Appel
Mitchell E. Appel, President, Principal Executive Officer
By: /s/ Emily D. Washington
Emily D. Washington, Treasurer, Principal Financial Officer
Date: March 10, 2016