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, 2016
Date of reporting period: December 31, 2016
Item I Reports to Stockholders
A copy of the Annual Report to Stockholders for the period ended 12/31/16 is included with this Form.
Value Line Core Bond Fund
(VAGIX)
(VLHYX)
prospective investors unless preceded or accompanied by a currently effective prospectus of the Funds
(obtainable from the Distributor).
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| Value Line Core Bond Fund: | | | |||||
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| The Value Line Tax Exempt Fund, Inc.: | | | |||||
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President of the Value Line Funds
Issue | | | Shares | | | Value | | | Percentage of Net Assets | | |||||||||
U.S. Treasury Notes, 1.50%, 1/31/22 | | | | | 1,050,000 | | | | | $ | 1,026,293 | | | | | | 1.5% | | |
U.S. Treasury Bonds, 2.00%, 1/15/26 | | | | | 608,935 | | | | | | 686,004 | | | | | | 1.0% | | |
GNMA, Series 2013-12, Class B, 2.19%, 11/16/52 | | | | | 600,000 | | | | | | 570,690 | | | | | | 0.9% | | |
FNMA Pool #MA1107, 3.50%, 7/1/32 | | | | | 541,283 | | | | | | 562,975 | | | | | | 0.8% | | |
U.S. Treasury Bonds, 4.38%, 2/15/38 | | | | | 440,000 | | | | | | 546,769 | | | | | | 0.8% | | |
FNMA Pool #AS5906, 3.50%, 10/1/45 | | | | | 520,579 | | | | | | 533,927 | | | | | | 0.8% | | |
U.S. Treasury Notes, 3.13%, 5/15/19 | | | | | 500,000 | | | | | | 521,309 | | | | | | 0.8% | | |
FNMA, 1.63%, 11/27/18 | | | | | 500,000 | | | | | | 503,769 | | | | | | 0.8% | | |
Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | | | | | 500,000 | | | | | | 491,055 | | | | | | 0.8% | | |
FHLMC Gold PC Pool #A95803, 4.00%, 12/1/40 | | | | | 465,640 | | | | | | 493,678 | | | | | | 0.7% | | |
Total | | | | | | | | | | | | | | | | | 8.9% | | |
Portfolio Highlights at December 31, 2016 (unaudited) (continued)
| | | Percentage of Fund’s Investments | | |||
Less than 4% | | | | | 59.3% | | |
4 – 4.99% | | | | | 21.7% | | |
5 – 5.99% | | | | | 13.5% | | |
6 – 6.99% | | | | | 3.0% | | |
7 – 7.99% | | | | | 2.5% | | |
| | | Average Annual Total Return | | | Growth of an Assumed Investment of $10,000 | | ||||||
1 year ended 12/31/16 | | | | | 2.16% | | | | | $ | 10,216 | | |
5 years ended 12/31/16 | | | | | 2.90% | | | | | $ | 11,535 | | |
10 years ended 12/31/16 | | | | | 4.30% | | | | | $ | 15,233 | | |
Schedule of Investments | December 31, 2016 |
| Principal Amount | | | | | | Value | | ||||||
| ASSET-BACKED SECURITIES (4.1%) | | ||||||||||||
| | $ | 231,000 | | | | Ally Master Owner Trust, Series 2012-5, Class A, 1.54%, 9/15/19 | | | | $ | 231,328 | | |
| | | 21,088 | | | | Capital Auto Receivables Asset Trust, Series 2014-2, Class A3, 1.26%, 5/21/18 | | | | | 21,090 | | |
| | | 200,000 | | | | CarMax Auto Owner Trust, Series 2015-1, Class A4, 1.83%, 7/15/20 | | | | | 200,359 | | |
| | | 190,000 | | | | Chrysler Capital Auto Receivables Trust, Series 2015-AA, Class A4, 1.55%, 2/18/20(1) | | | | | 189,859 | | |
| | | 100,000 | | | | Chrysler Capital Auto Receivables Trust, Series 2016-AA, Class A3, 1.77%, 10/15/20(1) | | | | | 100,089 | | |
| | | 200,000 | | | | Ford Credit Auto Owner Trust, Series 2015-1, Class A, 2.12%, 7/15/26(1) | | | | | 200,394 | | |
| | | 100,000 | | | | Ford Credit Auto Owner Trust, Series 2015-2, Class A, 2.44%, 1/15/27(1) | | | | | 100,879 | | |
| | | 188,000 | | | | GM Financial Automobile Leasing Trust, Series 2016-2, Class A4, 1.76%, 3/20/20 | | | | | 186,721 | | |
| | | 400,000 | | | | GM Financial Automobile Leasing Trust, Series 2015-2, Class A3, 1.68%, 12/20/18 | | | | | 401,084 | | |
| | | 250,000 | | | | Hyundai Auto Lease Securitization Trust, Series 2015-B, Class A3, 1.40%, 11/15/18(1) | | | | | 250,311 | | |
| | | 170,000 | | | | Hyundai Auto Lease Securitization Trust, Series 2016-B, Class A4, 1.68%, 4/15/20(1) | | | | | 169,877 | | |
| | | 300,000 | | | | Synchrony Credit Card Master Note Trust, Series 2012-2, Class A, 2.22%, 1/15/22 | | | | | 302,281 | | |
| | | 110,000 | | | | Synchrony Credit Card Master Note Trust, Series 2012-7, Class A, 1.76%, 9/15/22 | | | | | 109,213 | | |
| Principal Amount | | | | | | Value | | ||||||
| ASSET-BACKED SECURITIES (4.1%) (continued) | | ||||||||||||
| | $ | 200,000 | | | | World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.14%, 1/17/23 | | | | $ | 205,435 | | |
| | | 50,000 | | | | World Financial Network Credit Card Master Trust, Series 2013-A, Class A, 1.61%, 12/15/21 | | | | | 50,091 | | |
| TOTAL ASSET-BACKED SECURITIES (Cost $2,733,492) (4.1%) | | | | | 2,719,011 | | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (6.9%) | | ||||||||||||
| | | 125,756 | | | | Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class A4, 5.69%, 6/11/50(2) | | | | | 127,929 | | |
| | | 150,000 | | | | COMM Mortgage Trust, Series 2014-UBS2, Class AM, 4.20%, 3/10/47 | | | | | 156,461 | | |
| | | 150,000 | | | | COMM Mortgage Trust, Series 2015-PC1, Class AM, 4.29%, 7/10/50(2) | | | | | 154,818 | | |
| | | 65,819 | | | | FREMF Mortgage Trust, Series 2013-KF02, Class B, 3.53%, 12/25/45(1)(2) | | | | | 66,028 | | |
| | | 200,000 | | | | FREMF Mortgage Trust, Series 2013-K713, Class B, 3.17%, 4/25/46(1)(2) | | | | | 201,587 | | |
| | | 150,000 | | | | FREMF Mortgage Trust, Series 2013-K34, Class B, 3.74%, 9/25/46(1)(2) | | | | | 152,727 | | |
| | | 200,000 | | | | FREMF Mortgage Trust, Series 2014-K717, Class B, 3.63%, 11/25/47(1)(2) | | | | | 203,723 | | |
| | | 284,768 | | | | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | | | | | 274,673 | | |
| | | 600,000 | | | | GNMA, Series 2013-12, Class B, 2.19%, 11/16/52(2) | | | | | 570,690 | | |
| | | 325,898 | | | | GNMA, Series 2012-125, Class AB, 2.11%, 2/16/53(2) | | | | | 311,665 | | |
| | | 255,000 | | | | GS Mortgage Securities Trust, Series 2012-GCJ7, Class A4, 3.38%, 5/10/45 | | | | | 265,588 | | |
| Principal Amount | | | | | | Value | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (6.9%) (continued) | | ||||||||||||
| | $ | 130,000 | | | | GS Mortgage Securities Trust, Series 2015-GC32, Class A2, 3.06%, 7/10/48 | | | | $ | 133,443 | | |
| | | 226,925 | | | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class A1A, 5.75%, 2/12/51(2) | | | | | 231,391 | | |
| | | 150,000 | | | | Morgan Stanley Capital I Trust, Series 2012-C4, Class A4, 3.24%, 3/15/45 | | | | | 154,918 | | |
| | | 133,902 | | | | Sequoia Mortgage Trust, Series 2004-8, Class A1, 1.44%, 9/20/34(2) | | | | | 127,024 | | |
| | | 104,872 | | | | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 4A2, 3.24%, 6/25/34(2) | | | | | 98,047 | | |
| | | 164,689 | | | | Thornburg Mortgage Securities Trust, Series 2005-1, Class A3, 2.63%, 4/25/45(2) | | | | | 165,085 | | |
| | | 229,113 | | | | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A2, 2.11%, 5/10/63 | | | | | 229,365 | | |
| | | 200,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class A2, 2.95%, 12/15/47 | | | | | 204,661 | | |
| | | 100,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A2, 2.66%, 2/15/48 | | | | | 101,549 | | |
| | | 150,000 | | | | Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class A2, 3.00%, 9/15/58 | | | | | 153,614 | | |
| | | 200,000 | | | | WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4, 3.67%, 11/15/44 | | | | | 210,910 | | |
| Principal Amount | | | | | | Value | | ||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (6.9%) (continued) | | ||||||||||||
| | $ | 250,000 | | | | WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A2, 2.90%, 3/15/47 | | | | $ | 255,057 | | |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $4,720,056) (6.9%) | | | | | 4,550,953 | | | ||||||
| CORPORATE BONDS & NOTES (47.4%) | | ||||||||||||
| BASIC MATERIALS (0.8%) | | ||||||||||||
| | | | | | | CHEMICALS (0.8%) | | ||||||
| | | 225,000 | | | | Celanese U.S. Holdings LLC, Guaranteed Notes, 4.63%, 11/15/22 | | | | | 237,046 | | |
| | | 175,000 | | | | LYB International Finance B.V., Guaranteed Notes, 4.00%, 7/15/23 | | | | | 182,839 | | |
| | | 125,000 | | | | Mosaic Co. (The), Senior Unsecured Notes, 5.45%, 11/15/33 | | | | | 123,976 | | |
| | | | | | | | | | | | 543,861 | | |
| COMMUNICATIONS (5.0%) | | ||||||||||||
| | | | | | | INTERNET (1.6%) | | ||||||
| | | 100,000 | | | | Amazon.com, Inc., Senior Unsecured Notes, 3.30%, 12/5/21 | | | | | 103,625 | | |
| | | 125,000 | | | | Amazon.com, Inc., Senior Unsecured Notes, 4.80%, 12/5/34 | | | | | 137,582 | | |
| | | 200,000 | | | | Baidu, Inc., Senior Unsecured Notes, 2.75%, 6/9/19 | | | | | 202,099 | | |
| | | 150,000 | | | | Expedia, Inc., Guaranteed Notes, 4.50%, 8/15/24 | | | | | 152,434 | | |
| | | 150,000 | | | | Netflix, Inc., Senior Unsecured Notes, 5.75%, 3/1/24 | | | | | 160,500 | | |
| | | 300,000 | | | | Tencent Holdings, Ltd., Senior Unsecured Notes, 3.38%, 5/2/19(1) | | | | | 306,773 | | |
| | | | | | | | | | | | 1,063,013 | | |
| | | | | | | MEDIA (2.1%) | | ||||||
| | | 200,000 | | | | CBS Corp., Guaranteed Notes, 3.70%, 8/15/24 | | | | | 201,462 | | |
| | | 150,000 | | | | Comcast Corp., Guaranteed Notes, 6.45%, 3/15/37 | | | | | 193,672 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (47.4%) (continued) | | ||||||||||||
| | | | | | | MEDIA (2.1%) (continued) | | ||||||
| | $ | 250,000 | | | | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Guaranteed Notes, 3.80%, 3/15/22 | | | | $ | 256,285 | | |
| | | 200,000 | | | | Discovery Communications LLC, Guaranteed Notes, 4.90%, 3/11/26 | | | | | 210,604 | | |
| | | 200,000 | | | | Scripps Networks Interactive, Inc., Senior Unsecured Notes, 2.80%, 6/15/20 | | | | | 200,442 | | |
| | | 100,000 | | | | Thomson Reuters Corp., Senior Unsecured Notes, 3.35%, 5/15/26 | | | | | 97,142 | | |
| | | 100,000 | | | | Time Warner, Inc., Guaranteed Notes, 3.60%, 7/15/25 | | | | | 99,440 | | |
| | | 150,000 | | | | Time Warner, Inc., Guaranteed Notes, 3.80%, 2/15/27 | | | | | 149,148 | | |
| | | | | | | | | | | | 1,408,195 | | |
| | | | | | | TELECOMMUNICATIONS (1.3%) | | ||||||
| | | 200,000 | | | | Orange SA, Senior Unsecured Notes, 1.63%, 11/3/19 | | | | | 196,820 | | |
| | | 250,000 | | | | T-Mobile USA, Inc., Guaranteed Notes, 6.63%, 11/15/20 | | | | | 255,625 | | |
| | | 250,000 | | | | Telefonica Emisiones SAU, Guaranteed Notes, 5.88%, 7/15/19 | | | | | 270,959 | | |
| | | 125,000 | | | | Verizon Communications, Inc., Senior Unsecured Notes, 2.45%, 11/1/22 | | | | | 120,739 | | |
| | | | | | | | | | | | 844,143 | | |
| | | | | | | | | | | | 3,315,351 | | |
| CONSUMER, CYCLICAL (4.8%) | | ||||||||||||
| | | | | | | AUTO MANUFACTURERS (1.4%) | | ||||||
| | | 250,000 | | | | Ford Motor Co., Senior Unsecured Notes, 7.45%, 7/16/31 | | | | | 313,761 | | |
| | | 300,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 1.72%, 12/6/17 | | | | | 299,773 | | |
| | | 200,000 | | | | General Motors Financial Co., Inc., Guaranteed Notes, 3.70%, 5/9/23 | | | | | 196,797 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (47.4%) (continued) | | ||||||||||||
| | | | | | | AUTO MANUFACTURERS (1.4%) (continued) | | ||||||
| | $ | 100,000 | | | | Nissan Motor Acceptance Corp., Senior Unsecured Notes, 2.35%, 3/4/19(1) | | | | $ | 100,501 | | |
| | | | | | | | | | | | 910,832 | | |
| | | | | | | AUTO PARTS & EQUIPMENT (0.5%) | | ||||||
| | | 150,000 | | | | Goodyear Tire & Rubber Co. (The), Guaranteed Notes, 5.00%, 5/31/26 | | | | | 149,316 | | |
| | | 200,000 | | | | Magna International, Inc., Senior Unsecured Notes, 4.15%, 10/1/25 | | | | | 207,202 | | |
| | | | | | | | | | | | 356,518 | | |
| | | | | | | HOME BUILDERS (1.1%) | | ||||||
| | | 200,000 | | | | CalAtlantic Group, Inc., Guaranteed Notes, 6.63%, 5/1/20 | | | | | 219,500 | | |
| | | 175,000 | | | | D.R. Horton, Inc., Guaranteed Notes, 4.00%, 2/15/20 | | | | | 179,812 | | |
| | | 150,000 | | | | PulteGroup, Inc., Guaranteed Notes, 4.25%, 3/1/21 | | | | | 153,375 | | |
| | | 175,000 | | | | Toll Brothers Finance Corp., Guaranteed Notes, 4.88%, 11/15/25 | | | | | 171,938 | | |
| | | | | | | | | | | | 724,625 | | |
| | | | | | | HOUSEWARES (0.4%) | | ||||||
| | | 150,000 | | | | Newell Brands, Inc., Senior Unsecured Notes, 2.60%, 3/29/19 | | | | | 151,646 | | |
| | | 100,000 | | | | Newell Brands, Inc., Senior Unsecured Notes, 5.50%, 4/1/46 | | | | | 114,803 | | |
| | | | | | | | | | | | 266,449 | | |
| | | | | | | LEISURE TIME (0.2%) | | ||||||
| | | 150,000 | | | | Royal Caribbean Cruises, Ltd., Senior Unsecured Notes, 5.25%, 11/15/22 | | | | | 160,312 | | |
| | | | | | | LODGING (0.4%) | | ||||||
| | | 250,000 | | | | Wyndham Worldwide Corp., Senior Unsecured Notes, 3.90%, 3/1/23 | | | | | 249,554 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (47.4%) (continued) | | ||||||||||||
| | | | | | | RETAIL (0.8%) | | ||||||
| | $ | 175,000 | | | | CVS Health Corp., Senior Unsecured Notes, 2.75%, 12/1/22 | | | | $ | 172,397 | | |
| | | 100,000 | | | | L Brands, Inc., Guaranteed Notes, 6.63%, 4/1/21 | | | | | 112,250 | | |
| | | 100,000 | | | | Nordstrom, Inc., Senior Unsecured Notes, 5.00%, 1/15/44 | | | | | 98,537 | | |
| | | 150,000 | | | | Sally Holdings LLC/Sally Capital, Inc., Guaranteed Notes, 5.75%, 6/1/22 | | | | | 155,813 | | |
| | | | | | | | | | | | 538,997 | | |
| | | | | | | | | | | | 3,207,287 | | |
| CONSUMER, NON-CYCLICAL (7.2%) | | ||||||||||||
| | | | | | | BEVERAGES (0.8%) | | ||||||
| | | 200,000 | | | | Anheuser-Busch InBev Finance, Inc., Guaranteed Notes, 4.90%, 2/1/46 | | | | | 216,174 | | |
| | | 200,000 | | | | Constellation Brands, Inc., Guaranteed Notes, 4.25%, 5/1/23 | | | | | 207,378 | | |
| | | 150,000 | | | | Dr. Pepper Snapple Group, Inc., Guaranteed Notes, 3.43%, 6/15/27 | | | | | 149,531 | | |
| | | | | | | | | | | | 573,083 | | |
| | | | | | | BIOTECHNOLOGY (0.8%) | | ||||||
| | | 100,000 | | | | Amgen, Inc., Senior Unsecured Notes, 4.40%, 5/1/45 | | | | | 95,855 | | |
| | | 250,000 | | | | Celgene Corp., Senior Unsecured Notes, 4.00%, 8/15/23 | | | | | 260,664 | | |
| | | 150,000 | | | | Gilead Sciences, Inc., Senior Unsecured Notes, 2.35%, 2/1/20 | | | | | 150,779 | | |
| | | | | | | | | | | | 507,298 | | |
| | | | | | | COMMERCIAL SERVICES (0.3%) | | ||||||
| | | 100,000 | | | | Ecolab, Inc., Senior Unsecured Notes, 3.25%, 1/14/23 | | | | | 101,826 | | |
| | | 100,000 | | | | Service Corp. International, Senior Unsecured Notes, 5.38%, 1/15/22 | | | | | 104,000 | | |
| | | | | | | | | | | | 205,826 | | |
| | | | | | | FOOD (1.7%) | | ||||||
| | | 200,000 | | | | JM Smucker Co. (The), Guaranteed Notes, 4.38%, 3/15/45 | | | | | 198,440 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (47.4%) (continued) | | ||||||||||||
| | | | | | | FOOD (1.7%) (continued) | | ||||||
| | $ | 100,000 | | | | Kellogg Co., Senior Unsecured Notes, 3.25%, 4/1/26 | | | | $ | 97,617 | | |
| | | 150,000 | | | | Kroger Co. (The), Senior Unsecured Notes, 2.95%, 11/1/21 | | | | | 150,931 | | |
| | | 225,000 | | | | Kroger Co. (The), Senior Unsecured Notes, 5.15%, 8/1/43 | | | | | 242,571 | | |
| | | 200,000 | | | | Sysco Corp., Guaranteed Notes, 3.75%, 10/1/25 | | | | | 202,412 | | |
| | | 244,000 | | | | Wm Wrigley Jr Co., Senior Unsecured Notes, 2.00%, 10/20/17(1) | | | | | 245,227 | | |
| | | | | | | | | | | | 1,137,198 | | |
| | | | | | | HEALTHCARE PRODUCTS (0.4%) | | ||||||
| | | 250,000 | | | | Edwards Lifesciences Corp., Senior Unsecured Notes, 2.88%, 10/15/18 | | | | | 253,755 | | |
| | | | | | | HEALTHCARE SERVICES (1.4%) | | ||||||
| | | 100,000 | | | | Aetna, Inc., Senior Unsecured Notes, 4.25%, 6/15/36 | | | | | 100,265 | | |
| | | 150,000 | | | | DaVita, Inc., Guaranteed Notes, 5.75%, 8/15/22 | | | | | 156,750 | | |
| | | 150,000 | | | | HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25 | | | | | 150,375 | | |
| | | 150,000 | | | | LifePoint Health, Inc., Guaranteed Notes, 5.50%, 12/1/21 | | | | | 156,000 | | |
| | | 150,000 | | | | NYU Hospitals Center, Secured Notes, 4.78%, 7/1/44 | | | | | 156,400 | | |
| | | 100,000 | | | | Quest Diagnostics, Inc., Senior Unsecured Notes, 3.50%, 3/30/25 | | | | | 98,810 | | |
| | | 100,000 | | | | UnitedHealth Group, Inc., Senior Unsecured Notes, 2.88%, 12/15/21 | | | | | 101,365 | | |
| | | | | | | | | | | | 919,965 | | |
| | | | | | | PHARMACEUTICALS (1.8%) | | ||||||
| | | 200,000 | | | | AbbVie, Inc., Senior Unsecured Notes, 3.60%, 5/14/25 | | | | | 198,097 | | |
| | | 125,000 | | | | Actavis Funding SCS, Guaranteed Notes, 2.35%, 3/12/18 | | | | | 125,723 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (47.4%) (continued) | | ||||||||||||
| | | | | | | PHARMACEUTICALS (1.8%) (continued) | | ||||||
| | $ | 200,000 | | | | Actavis Funding SCS, Guaranteed Notes, 2.45%, 6/15/19 | | | | $ | 200,847 | | |
| | | 100,000 | | | | AmerisourceBergen Corp., Senior Unsecured Notes, 3.25%, 3/1/25 | | | | | 99,175 | | |
| | | 250,000 | | | | Express Scripts Holding Co., Guaranteed Notes, 4.75%, 11/15/21 | | | | | 268,518 | | |
| | | 100,000 | | | | Shire Acquisitions Investments Ireland DAC, Guaranteed Notes, 2.88%, 9/23/23 | | | | | 95,045 | | |
| | | 200,000 | | | | Teva Pharmaceutical Finance Netherlands III B.V., Guaranteed Notes, 2.20%, 7/21/21 | | | | | 191,337 | | |
| | | | | | | | | | | | 1,178,742 | | |
| | | | | | | | | | | | 4,775,867 | | |
| ENERGY (3.6%) | | ||||||||||||
| | | | | | | OIL & GAS (2.0%) | | ||||||
| | | 250,000 | | | | Chevron Corp., Senior Unsecured Notes, 2.57%, 5/16/23 | | | | | 246,472 | | |
| | | 50,000 | | | | Concho Resources, Inc., Guaranteed Notes, 5.50%, 4/1/23 | | | | | 51,815 | | |
| | | 175,000 | | | | Devon Energy Corp., Senior Unsecured Notes, 4.75%, 5/15/42 | | | | | 165,322 | | |
| | | 100,000 | | | | Occidental Petroleum Corp., Senior Unsecured Notes, 3.40%, 4/15/26 | | | | | 100,754 | | |
| | | 126,000 | | | | Occidental Petroleum Corp., Senior Unsecured Notes, 4.63%, 6/15/45 | | | | | 131,104 | | |
| | | 200,000 | | | | Phillips 66, Guaranteed Notes, 4.30%, 4/1/22 | | | | | 214,743 | | |
| | | 125,000 | | | | Shell International Finance B.V., Guaranteed Notes, 2.50%, 9/12/26 | | | | | 117,283 | | |
| | | 125,000 | | | | Tesoro Corp., Guaranteed Notes, 5.13%, 12/15/26(1) | | | | | 126,425 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (47.4%) (continued) | | ||||||||||||
| | | | | | | OIL & GAS (2.0%) (continued) | | ||||||
| | $ | 150,000 | | | | Valero Energy Corp., Senior Unsecured Notes, 6.63%, 6/15/37 | | | | $ | 175,555 | | |
| | | | | | | | | | | | 1,329,473 | | |
| | | | | | | PIPELINES (1.6%) | | ||||||
| | | 150,000 | | | | DCP Midstream Operating L.P., Guaranteed Notes, 2.50%, 12/1/17 | | | | | 149,250 | | |
| | | 200,000 | | | | Enterprise Products Operating LLC, Guaranteed Notes, 4.85%, 8/15/42 | | | | | 199,964 | | |
| | | 200,000 | | | | Kinder Morgan Energy Partners L.P., Guaranteed Notes, 2.65%, 2/1/19 | | | | | 201,052 | | |
| | | 150,000 | | | | Magellan Midstream Partners L.P., Senior Unsecured Notes, 4.25%, 9/15/46 | | | | | 140,935 | | |
| | | 150,000 | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.88%, 6/30/26(1) | | | | | 161,625 | | |
| | | 200,000 | | | | Spectra Energy Partners L.P., Senior Unsecured Notes, 4.75%, 3/15/24 | | | | | 212,330 | | |
| | | | | | | | | | | | 1,065,156 | | |
| | | | | | | | | | | | 2,394,629 | | |
| FINANCIAL (18.7%) | | ||||||||||||
| | | | | | | BANKS (9.5%) | | ||||||
| | | 300,000 | | | | Australia & New Zealand Banking Group Ltd., Subordinated Notes, 4.50%, 3/19/24(1) | | | | | 307,187 | | |
| | | 150,000 | | | | Banco Bilbao Vizcaya Argentaria S.A., Senior Unsecured Notes, 3.00%, 10/20/20 | | | | | 150,759 | | |
| | | 150,000 | | | | Bancolombia S.A., Senior Unsecured Notes, 5.95%, 6/3/21 | | | | | 162,795 | | |
| | | 250,000 | | | | Bank of America Corp. MTN, Subordinated Notes, 4.20%, 8/26/24 | | | | | 254,676 | | |
| | | 175,000 | | | | Bank of Nova Scotia (The), Senior Unsecured Notes, 2.80%, 7/21/21 | | | | | 176,324 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (47.4%) (continued) | | ||||||||||||
| | | | | | | BANKS (9.5%) (continued) | | ||||||
| | $ | 250,000 | | | | BPCE S.A., Guaranteed Notes, 2.50%, 12/10/18 | | | | $ | 252,193 | | |
| | | 200,000 | | | | Capital One Financial Corp., Senior Unsecured Notes, 3.75%, 4/24/24 | | | | | 202,604 | | |
| | | 150,000 | | | | Citigroup, Inc., Senior Unsecured Notes, 2.90%, 12/8/21 | | | | | 149,595 | | |
| | | 174,000 | | | | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | | | | | 187,428 | | |
| | | 250,000 | | | | Cooperatieve Rabobank UA, Guaranteed Notes, 3.95%, 11/9/22 | | | | | 257,180 | | |
| | | 250,000 | | | | Credit Agricole S.A., Senior Unsecured Notes, 2.13%, 4/17/18(1) | | | | | 250,486 | | |
| | | 250,000 | | | | Fifth Third Bancorp, Senior Unsecured Notes, 2.88%, 7/27/20 | | | | | 252,750 | | |
| | | 200,000 | | | | Goldman Sachs Group, Inc. (The), Senior Unsecured Notes, 3.75%, 2/25/26 | | | | | 200,588 | | |
| | | 150,000 | | | | Goldman Sachs Group, Inc. (The), Subordinated Notes, 6.75%, 10/1/37 | | | | | 185,227 | | |
| | | 250,000 | | | | HSBC Holdings PLC, Senior Unsecured Notes, 4.00%, 3/30/22 | | | | | 258,587 | | |
| | | 250,000 | | | | Huntington National Bank (The), Senior Unsecured Notes, 2.20%, 11/6/18 | | | | | 250,708 | | |
| | | 200,000 | | | | JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26 | | | | | 204,131 | | |
| | | 300,000 | | | | JPMorgan Chase Bank NA, Subordinated Notes, 6.00%, 10/1/17 | | | | | 309,595 | | |
| | | 250,000 | | | | Macquarie Bank Ltd., Senior Unsecured Notes, 2.60%, 6/24/19(1) | | | | | 251,743 | | |
| | | 250,000 | | | | Morgan Stanley, Senior Unsecured Notes, 2.80%, 6/16/20 | | | | | 252,046 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (47.4%) (continued) | | ||||||||||||
| | | | | | | BANKS (9.5%) (continued) | | ||||||
| | $ | 250,000 | | | | PNC Financial Services Group, Inc. (The), Senior Unsecured Notes, 5.13%, 2/8/20 | | | | $ | 270,489 | | |
| | | 200,000 | | | | Santander Holdings USA, Inc., Senior Unsecured Notes, 2.65%, 4/17/20 | | | | | 198,226 | | |
| | | 250,000 | | | | Societe Generale S.A., Senior Unsecured Notes, 5.20%, 4/15/21 | | | | | 274,456 | | |
| | | 300,000 | | | | Standard Chartered PLC, Senior Unsecured Notes, 1.50%, 9/8/17(1) | | | | | 298,804 | | |
| | | 100,000 | | | | UBS AG GMTN, Senior Unsecured Notes, 2.35%, 3/26/20 | | | | | 99,591 | | |
| | | 250,000 | | | | US Bancorp MTN, Subordinated Notes, 3.60%, 9/11/24 | | | | | 254,768 | | |
| | | 250,000 | | | | Wells Fargo & Co., Senior Unsecured Notes, 5.63%, 12/11/17 | | | | | 259,190 | | |
| | | 150,000 | | | | Wells Fargo & Co., Senior Unsecured Notes, 2.10%, 7/26/21 | | | | | 145,958 | | |
| | | | | | | | | | | | 6,318,084 | | |
| | | | | | | DIVERSIFIED FINANCIAL SERVICES (4.1%) | | ||||||
| | | 175,000 | | | | Aircastle Ltd., Senior Unsecured Notes, 4.63%, 12/15/18(3) | | | | | 182,656 | | |
| | | 200,000 | | | | Ally Financial, Inc., Guaranteed Notes, 4.75%, 9/10/18 | | | | | 206,000 | | |
| | | 250,000 | | | | American Express Co., Senior Unsecured Notes, 1.51%, 5/22/18(2) | | | | | 250,517 | | |
| | | 150,000 | | | | Ameriprise Financial, Inc., Senior Unsecured Notes, 2.88%, 9/15/26 | | | | | 143,160 | | |
| | | 350,000 | | | | BlackRock, Inc., Series 2, Senior Unsecured Notes, 5.00%, 12/10/19 | | | | | 380,117 | | |
| | | 150,000 | | | | CIT Group, Inc., Senior Unsecured Notes, 5.00%, 8/15/22 | | | | | 156,375 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (47.4%) (continued) | | ||||||||||||
| | | | | | | DIVERSIFIED FINANCIAL SERVICES (4.1%) (continued) | | ||||||
| | $ | 250,000 | | | | Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24 | | | | $ | 247,765 | | |
| | | 200,000 | | | | International Lease Finance Corp., Senior Secured Notes, 7.13%, 9/1/18(1) | | | | | 215,500 | | |
| | | 300,000 | | | | Nomura Holdings, Inc. GMTN, Senior Unsecured Notes, 2.75%, 3/19/19 | | | | | 302,839 | | |
| | | 250,000 | | | | Stifel Financial Corp., Senior Unsecured Notes, 4.25%, 7/18/24 | | | | | 248,283 | | |
| | | 150,000 | | | | Synchrony Financial, Senior Unsecured Notes, 3.00%, 8/15/19 | | | | | 151,944 | | |
| | | 200,000 | | | | Synchrony Financial, Senior Unsecured Notes, 3.75%, 8/15/21 | | | | | 205,563 | | |
| | | | | | | | | | | | 2,690,719 | | |
| | | | | | | INSURANCE (0.8%) | | ||||||
| | | 150,000 | | | | American International Group, Inc., Senior Unsecured Notes, 4.88%, 6/1/22 | | | | | 163,916 | | |
| | | 200,000 | | | | CNA Financial Corp., Senior Unsecured Notes, 3.95%, 5/15/24 | | | | | 202,863 | | |
| | | 150,000 | | | | XLIT Ltd., Guaranteed Notes, 5.75%, 10/1/21(3) | | | | | 166,700 | | |
| | | | | | | | | | | | 533,479 | | |
| | | | | | | REAL ESTATE (0.5%) | | ||||||
| | | 350,000 | | | | ProLogis L.P., Guaranteed Notes, 2.75%, 2/15/19 | | | | | 355,066 | | |
| | | | | | | REITS (3.8%) | | ||||||
| | | 100,000 | | | | American Tower Corp., Senior Unsecured Notes, 3.38%, 10/15/26 | | | | | 94,669 | | |
| | | 200,000 | | | | AvalonBay Communities, Inc. GMTN, Senior Unsecured Notes, 3.45%, 6/1/25 | | | | | 200,230 | | |
| | | 200,000 | | | | Boston Properties L.P., Senior Unsecured Notes, 2.75%, 10/1/26 | | | | | 182,865 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (47.4%) (continued) | | ||||||||||||
| | | | | | | REITS (3.8%) (continued) | | ||||||
| | $ | 150,000 | | | | Crown Castle International Corp., Senior Unsecured Notes, 4.45%, 2/15/26 | | | | $ | 155,189 | | |
| | | 200,000 | | | | Digital Realty Trust L.P., Guaranteed Notes, 5.25%, 3/15/21 | | | | | 217,322 | | |
| | | 350,000 | | | | EPR Properties, Guaranteed Notes, 5.25%, 7/15/23 | | | | | 363,771 | | |
| | | 250,000 | | | | Essex Portfolio L.P., Guaranteed Notes, 3.38%, 1/15/23 | | | | | 250,244 | | |
| | | 350,000 | | | | Hospitality Properties Trust, Senior Unsecured Notes, 4.65%, 3/15/24 | | | | | 348,839 | | |
| | | 350,000 | | | | Host Hotels & Resorts L.P., Senior Unsecured Notes, 5.25%, 3/15/22 | | | | | 378,579 | | |
| | | 125,000 | | | | Kimco Realty Corp., Senior Unsecured Notes, 4.13%, 12/1/46 | | | | | 116,697 | | |
| | | 200,000 | | | | Weyerhaeuser Co., Senior Unsecured Notes, 7.38%, 10/1/19 | | | | | 224,517 | | |
| | | | | | | | | | | | 2,532,922 | | |
| | | | | | | | | | | | 12,430,270 | | |
| INDUSTRIAL (2.5%) | | ||||||||||||
| | | | | | | BUILDING MATERIALS (0.6%) | | ||||||
| | | 250,000 | | | | Masco Corp., Senior Unsecured Notes, 7.13%, 3/15/20 | | | | | 281,250 | | |
| | | 150,000 | | | | Owens Corning, Guaranteed Notes, 3.40%, 8/15/26 | | | | | 142,490 | | |
| | | | | | | | | | | | 423,740 | | |
| | | | | | | ELECTRONICS (0.1%) | | ||||||
| | | 75,000 | | | | Allegion PLC, Guaranteed Notes, 5.88%, 9/15/23 | | | | | 79,500 | | |
| | | | | | | MACHINERY DIVERSIFIED (0.3%) | | ||||||
| | | 200,000 | | | | Briggs & Stratton Corp., Guaranteed Notes, 6.88%, 12/15/20 | | | | | 219,062 | | |
| | | | | | | MISCELLANEOUS MANUFACTURER (0.3%) | | ||||||
| | | 200,000 | | | | Textron, Inc., Senior Unsecured Notes, 3.88%, 3/1/25 | | | | | 201,099 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (47.4%) (continued) | | ||||||||||||
| | | | | | | PACKAGING & CONTAINERS (0.5%) | | ||||||
| | $ | 150,000 | | | | Ball Corp., Guaranteed Notes, 5.25%, 7/1/25 | | | | $ | 156,750 | | |
| | | 150,000 | | | | Packaging Corp. of America, Senior Unsecured Notes, 3.65%, 9/15/24 | | | | | 150,616 | | |
| | | | | | | | | | | | 307,366 | | |
| | | | | | | TRANSPORTATION (0.7%) | | ||||||
| | | 250,000 | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes, 3.05%, 3/15/22 | | | | | 256,113 | | |
| | | 100,000 | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes, 4.15%, 4/1/45 | | | | | 101,410 | | |
| | | 100,000 | | | | FedEx Corp., Guaranteed Notes, 4.55%, 4/1/46 | | | | | 100,771 | | |
| | | | | | | | | | | | 458,294 | | |
| | | | | | | | | | | | 1,689,061 | | |
| TECHNOLOGY (1.1%) | | ||||||||||||
| | | | | | | SEMICONDUCTORS (0.3%) | | ||||||
| | | 150,000 | | | | QUALCOMM, Inc., Senior Unsecured Notes, 3.45%, 5/20/25 | | | | | 152,628 | | |
| | | | | | | SOFTWARE (0.8%) | | ||||||
| | | 150,000 | | | | Cadence Design Systems, Inc., Senior Unsecured Notes, 4.38%, 10/15/24 | | | | | 147,081 | | |
| | | 250,000 | | | | Microsoft Corp., Senior Unsecured Notes, 2.40%, 8/8/26 | | | | | 236,174 | | |
| | | 150,000 | | | | Microsoft Corp., Senior Unsecured Notes, 4.45%, 11/3/45 | | | | | 159,813 | | |
| | | | | | | | | | | | 543,068 | | |
| | | | | | | | | | | | 695,696 | | |
| UTILITIES (3.7%) | | ||||||||||||
| | | | | | | ELECTRIC (3.1%) | | ||||||
| | | 100,000 | | | | Consolidated Edison Co. of New York, Inc., Senior Unsecured Notes, 4.50%, 12/1/45 | | | | | 106,036 | | |
| | | 200,000 | | | | Consumers Energy Co., 3.13%, 8/31/24 | | | | | 201,465 | | |
| | | 150,000 | | | | Exelon Corp., Senior Unsecured Notes, 4.45%, 4/15/46 | | | | | 146,839 | | |
| Principal Amount | | | | | | Value | | ||||||
| CORPORATE BONDS & NOTES (47.4%) (continued) | | ||||||||||||
| | | | | | | ELECTRIC (3.1%) (continued) | | ||||||
| | $ | 150,000 | | | | Exelon Generation Co. LLC, Senior Unsecured Notes, 5.20%, 10/1/19 | | | | $ | 160,764 | | |
| | | 380,000 | | | | Florida Power & Light Co., 4.95%, 6/1/35 | | | | | 433,533 | | |
| | | 200,000 | | | | ITC Holdings Corp., Senior Unsecured Notes, 3.25%, 6/30/26 | | | | | 194,290 | | |
| | | 100,000 | | | | Pacific Gas & Electric Co., Senior Unsecured Notes, 2.95%, 3/1/26(3) | | | | | 97,971 | | |
| | | 100,000 | | | | PSEG Power LLC, Guaranteed Notes, 3.00%, 6/15/21 | | | | | 100,307 | | |
| | | 150,000 | | | | PSEG Power LLC, Guaranteed Notes, 4.30%, 11/15/23(3) | | | | | 155,043 | | |
| | | 250,000 | | | | Southern Co. (The), Senior Unsecured Notes, 2.75%, 6/15/20 | | | | | 252,142 | | |
| | | 200,000 | | | | Southern Co. (The), Senior Unsecured Notes, 2.95%, 7/1/23 | | | | | 197,418 | | |
| | | | | | | | | | | | 2,045,808 | | |
| | | | | | | GAS (0.2%) | | ||||||
| | | 150,000 | | | | National Fuel Gas Co., Senior Unsecured Notes, 5.20%, 7/15/25 | | | | | 155,790 | | |
| | | | | | | WATER (0.4%) | | ||||||
| | | 250,000 | | | | American Water Capital Corp., Senior Unsecured Notes, 3.00%, 12/1/26 | | | | | 245,744 | | |
| | | | | | | | | | | | 2,447,342 | | |
| TOTAL CORPORATE BONDS & NOTES (Cost $31,256,678) (47.4%) | | | | | 31,499,364 | | | ||||||
| FOREIGN GOVERNMENT OBLIGATIONS (1.1%) | | ||||||||||||
| | | 300,000 | | | | Mexico Government International Bond, Senior Unsecured Notes, 5.13%, 1/15/20 | | | | | 322,050 | | |
| | | 125,000 | | | | Peruvian Government International Bond, Senior Unsecured Notes, 4.13%, 8/25/27(3) | | | | | 129,844 | | |
| Principal Amount | | | | | | Value | | ||||||
| FOREIGN GOVERNMENT OBLIGATIONS (1.1%) (continued) | | ||||||||||||
| | $ | 250,000 | | | | Republic of Poland Government International Bond, Senior Unsecured Notes, 4.00%, 1/22/24 | | | | $ | 255,689 | | |
| TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $706,621) (1.1%) | | | | | 707,583 | | | ||||||
| LONG-TERM MUNICIPAL SECURITIES (2.8%) | | ||||||||||||
| | | | | | | CALIFORNIA (1.0%) | | ||||||
| | | 125,000 | | | | Los Angeles Unified School District, General Obligation Unlimited, Qualified School Construction Bonds, Series J-1, 5.98%, 5/1/27 | | | | | 155,050 | | |
| | | 85,000 | | | | University of California, Taxable General Revenue Bonds, Series AG, 4.06%, 5/15/33 | | | | | 87,473 | | |
| | | 200,000 | | | | California Educational Facilities Authority, Revenue Bonds, Loyola Marymount University, Series A, 2.96%, 10/1/21 | | | | | 204,536 | | |
| | | 200,000 | | | | State of California, Build America Bond, General Obligation Unlimited, 5.70%, 11/1/21 | | | | | 229,464 | | |
| | | | | | | | | | | | 676,523 | | |
| | | | | | | NEW YORK (0.4%) | | ||||||
| | | 300,000 | | | | City of New York, General Obligation Unlimited, Subser. D2, 2.60%, 8/1/20 | | | | | 304,338 | | |
| | | | | | | TEXAS (1.2%) | | ||||||
| | | 500,000 | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | | | | | 491,055 | | |
| | | 250,000 | | | | Dallas Independent School District Qualified School Construction Notes, General Obligation Limited, 5.05%, 8/15/33 | | | | | 279,065 | | |
| | | | | | | | | | | | 770,120 | | |
| Principal Amount | | | | | | Value | | ||||||
| LONG-TERM MUNICIPAL SECURITIES (2.8%) (continued) | | ||||||||||||
| | | | | | | VIRGINIA (0.2%) | | ||||||
| | $ | 100,000 | | | | City of Norfolk, Taxable Build America Bonds, General Obligation Unlimited, Series B, 5.91%, 3/1/29 | | | | $ | 116,591 | | |
| TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $1,825,649) (2.8%) | | | | | 1,867,572 | | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (21.3%) | | ||||||||||||
| | | 65,104 | | | | FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35 | | | | | 70,844 | | |
| | | 52,845 | | | | FHLMC Gold PC Pool #A29633, 5.00%, 1/1/35 | | | | | 57,705 | | |
| | | 26,743 | | | | FHLMC Gold PC Pool #A56491, 5.00%, 1/1/37 | | | | | 29,104 | | |
| | | 465,640 | | | | FHLMC Gold PC Pool #A95803, 4.00%, 12/1/40 | | | | | 493,678 | | |
| | | 98,570 | | | | FHLMC Gold PC Pool #A97264, 4.00%, 2/1/41 | | | | | 103,564 | | |
| | | 9,607 | | | | FHLMC Gold PC Pool #B12822, 5.00%, 3/1/19 | | | | | 9,842 | | |
| | | 3,190 | | | | FHLMC Gold PC Pool #B17398, 4.50%, 12/1/19 | | | | | 3,334 | | |
| | | 18,548 | | | | FHLMC Gold PC Pool #B18034, 4.50%, 4/1/20 | | | | | 19,030 | | |
| | | 69,928 | | | | FHLMC Gold PC Pool #C09004, 3.50%, 7/1/42 | | | | | 72,018 | | |
| | | 13,636 | | | | FHLMC Gold PC Pool #C91413, 3.50%, 12/1/31 | | | | | 14,089 | | |
| | | 327,818 | | | | FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34 | | | | | 348,689 | | |
| | | 205 | | | | FHLMC Gold PC Pool #E92226, 5.00%, 11/1/17 | | | | | 210 | | |
| | | 339 | | | | FHLMC Gold PC Pool #E92829, 5.00%, 12/1/17 | | | | | 347 | | |
| | | 3,370 | | | | FHLMC Gold PC Pool #E93499, 5.00%, 12/1/17 | | | | | 3,453 | | |
| | | 786 | | | | FHLMC Gold PC Pool #E98960, 5.00%, 9/1/18 | | | | | 805 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (21.3%) (continued) | | ||||||||||||
| | $ | 166,396 | | | | FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41 | | | | $ | 171,392 | | |
| | | 2,354 | | | | FHLMC Gold PC Pool #G11986, 5.00%, 4/1/21 | | | | | 2,500 | | |
| | | 3,224 | | | | FHLMC Gold PC Pool #G12319, 5.00%, 6/1/21 | | | | | 3,419 | | |
| | | 3,643 | | | | FHLMC Gold PC Pool #J00118, 5.00%, 10/1/20 | | | | | 3,732 | | |
| | | 65,593 | | | | FHLMC Gold PC Pool #J00139, 5.00%, 10/1/20 | | | | | 67,200 | | |
| | | 13,669 | | | | FHLMC Gold PC Pool #J03233, 5.00%, 8/1/21 | | | | | 14,004 | | |
| | | 194,572 | | | | FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25 | | | | | 205,366 | | |
| | | 19,544 | | | | FHLMC Gold PC Pool #Q01181, 4.50%, 6/1/41 | | | | | 21,100 | | |
| | | 88,684 | | | | FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42 | | | | | 91,337 | | |
| | | 126,723 | | | | FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42 | | | | | 133,212 | | |
| | | 141,472 | | | | FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42 | | | | | 145,729 | | |
| | | 336,379 | | | | FHLMC Gold PC Pool #Q11556, 3.00%, 10/1/42 | | | | | 335,965 | | |
| | | 362,699 | | | | FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43 | | | | | 362,551 | | |
| | | 500,000 | | | | FNMA, 1.63%, 11/27/18 | | | | | 503,769 | | |
| | | 10,128 | | | | FNMA Pool #254383, 7.50%, 6/1/32 | | | | | 12,047 | | |
| | | 6,655 | | | | FNMA Pool #254684, 5.00%, 3/1/18 | | | | | 6,811 | | |
| | | 48,914 | | | | FNMA Pool #255496, 5.00%, 11/1/34 | | | | | 53,526 | | |
| | | 4,191 | | | | FNMA Pool #255580, 5.50%, 2/1/35 | | | | | 4,685 | | |
| | | 2,773 | | | | FNMA Pool #258149, 5.50%, 9/1/34 | | | | | 3,079 | | |
| | | 19,502 | | | | FNMA Pool #412682, 6.00%, 3/1/28 | | | | | 22,290 | | |
| | | 157 | | | | FNMA Pool #568625, 7.50%, 1/1/31 | | | | | 161 | | |
| | | 27,777 | | | | FNMA Pool #571090, 7.50%, 1/1/31 | | | | | 28,142 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (21.3%) (continued) | | ||||||||||||
| | $ | 851 | | | | FNMA Pool #573935, 7.50%, 3/1/31 | | | | $ | 868 | | |
| | | 259 | | | | FNMA Pool #623503, 6.00%, 2/1/17 | | | | | 259 | | |
| | | 82,123 | | | | FNMA Pool #626440, 7.50%, 2/1/32 | | | | | 92,323 | | |
| | | 344 | | | | FNMA Pool #631328, 5.50%, 2/1/17 | | | | | 344 | | |
| | | 51 | | | | FNMA Pool #638247, 5.50%, 5/1/17 | | | | | 52 | | |
| | | 87 | | | | FNMA Pool #643277, 5.50%, 4/1/17 | | | | | 87 | | |
| | | 2,187 | | | | FNMA Pool #685183, 5.00%, 3/1/18 | | | | | 2,240 | | |
| | | 751 | | | | FNMA Pool #688539, 5.50%, 3/1/33 | | | | | 836 | | |
| | | 4,934 | | | | FNMA Pool #703936, 5.00%, 5/1/18 | | | | | 5,049 | | |
| | | 51,806 | | | | FNMA Pool #735224, 5.50%, 2/1/35 | | | | | 58,102 | | |
| | | 2,494 | | | | FNMA Pool #769682, 5.00%, 3/1/34 | | | | | 2,716 | | |
| | | 996 | | | | FNMA Pool #778141, 5.00%, 5/1/34 | | | | | 1,090 | | |
| | | 575 | | | | FNMA Pool #789150, 5.00%, 10/1/34 | | | | | 626 | | |
| | | 6,318 | | | | FNMA Pool #910242, 5.00%, 3/1/37 | | | | | 6,879 | | |
| | | 106,874 | | | | FNMA Pool #919584, 6.00%, 6/1/37 | | | | | 120,998 | | |
| | | 31,655 | | | | FNMA Pool #975116, 5.00%, 5/1/38 | | | | | 34,465 | | |
| | | 11,654 | | | | FNMA Pool #AA2531, 4.50%, 3/1/39 | | | | | 12,534 | | |
| | | 49,882 | | | | FNMA Pool #AB2053, 3.50%, 1/1/26 | | | | | 52,038 | | |
| | | 247,293 | | | | FNMA Pool #AB2346, 4.50%, 2/1/41 | | | | | 266,501 | | |
| | | 186,554 | | | | FNMA Pool #AB5231, 2.50%, 5/1/27 | | | | | 187,126 | | |
| | | 229,581 | | | | FNMA Pool #AB5716, 3.00%, 7/1/27 | | | | | 236,117 | | |
| | | 355,551 | | | | FNMA Pool #AB8144, 5.00%, 4/1/37 | | | | | 387,925 | | |
| | | 19,279 | | | | FNMA Pool #AD1035, 4.50%, 2/1/40 | | | | | 20,760 | | |
| | | 82,012 | | | | FNMA Pool #AD8536, 5.00%, 8/1/40 | | | | | 89,535 | | |
| | | 128,992 | | | | FNMA Pool #AE1853, 4.00%, 8/1/40 | | | | | 136,036 | | |
| | | 88,563 | | | | FNMA Pool #AH3226, 5.00%, 2/1/41 | | | | | 96,851 | | |
| | | 97,286 | | | | FNMA Pool #AH8932, 4.50%, 4/1/41 | | | | | 105,045 | | |
| | | 30,060 | | | | FNMA Pool #AI0620, 4.50%, 5/1/41 | | | | | 32,453 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (21.3%) (continued) | | ||||||||||||
| | $ | 194,252 | | | | FNMA Pool #AI4285, 5.00%, 6/1/41 | | | | $ | 212,560 | | |
| | | 163,141 | | | | FNMA Pool #AJ5888, 4.50%, 11/1/41 | | | | | 176,230 | | |
| | | 44,178 | | | | FNMA Pool #AJ9278, 3.50%, 12/1/41 | | | | | 45,554 | | |
| | | 108,684 | | | | FNMA Pool #AL3272, 5.00%, 2/1/25 | | | | | 118,331 | | |
| | | 4,999 | | | | FNMA Pool #AL5259, 3.50%, 5/1/29 | | | | | 5,214 | | |
| | | 270,306 | | | | FNMA Pool #AQ0287, 3.00%, 10/1/42 | | | | | 270,229 | | |
| | | 99,154 | | | | FNMA Pool #AR2174, 3.00%, 4/1/43 | | | | | 99,126 | | |
| | | 390,618 | | | | FNMA Pool #AR6394, 3.00%, 2/1/43 | | | | | 390,386 | | |
| | | 106,167 | | | | FNMA Pool #AS3155, 4.00%, 8/1/44 | | | | | 111,628 | | |
| | | 79,500 | | | | FNMA Pool #AS3157, 4.00%, 8/1/44 | | | | | 83,587 | | |
| | | 132,853 | | | | FNMA Pool #AS4177, 4.50%, 12/1/44 | | | | | 142,897 | | |
| | | 433,339 | | | | FNMA Pool #AS5892, 3.50%, 10/1/45 | | | | | 444,455 | | |
| | | 520,579 | | | | FNMA Pool #AS5906, 3.50%, 10/1/45 | | | | | 533,927 | | |
| | | 138,604 | | | | FNMA Pool #AS6102, 3.50%, 11/1/45 | | | | | 142,164 | | |
| | | 245,067 | | | | FNMA Pool #AS6205, 3.50%, 11/1/45 | | | | | 251,352 | | |
| | | 225,210 | | | | FNMA Pool #AS6385, 4.00%, 12/1/45 | | | | | 236,876 | | |
| | | 264,061 | | | | FNMA Pool #AU1847, 3.00%, 9/1/43 | | | | | 263,986 | | |
| | | 135,552 | | | | FNMA Pool #AU2135, 2.50%, 8/1/28 | | | | | 135,967 | | |
| | | 236,908 | | | | FNMA Pool #AU4279, 3.00%, 9/1/43 | | | | | 236,840 | | |
| | | 120,527 | | | | FNMA Pool #AU4290, 4.00%, 9/1/43 | | | | | 126,774 | | |
| | | 349,965 | | | | FNMA Pool #AV0703, 4.00%, 12/1/43 | | | | | 367,864 | | |
| | | 419,430 | | | | FNMA Pool #AW5055, 3.50%, 7/1/44 | | | | | 431,586 | | |
| | | 139,394 | | | | FNMA Pool #AW6645, 3.00%, 6/1/29 | | | | | 143,168 | | |
| | | 140,278 | | | | FNMA Pool #AW7362, 2.50%, 8/1/29 | | | | | 140,621 | | |
| | | 271,179 | | | | FNMA Pool #AX0416, 4.00%, 8/1/44 | | | | | 285,140 | | |
| | | 235,178 | | | | FNMA Pool #AX1138, 3.50%, 9/1/44 | | | | | 241,258 | | |
| | | 193,765 | | | | FNMA Pool #AX9013, 3.50%, 2/1/45 | | | | | 198,726 | | |
| | | 233,354 | | | | FNMA Pool #AY1670, 3.50%, 2/1/45 | | | | | 239,313 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (21.3%) (continued) | | ||||||||||||
| | $ | 214,400 | | | | FNMA Pool #AY2728, 2.50%, 2/1/30 | | | | $ | 214,927 | | |
| | | 82,093 | | | | FNMA Pool #AZ7793, 3.50%, 8/1/45 | | | | | 84,201 | | |
| | | 258,586 | | | | FNMA Pool #BA3885, 3.50%, 11/1/45 | | | | | 265,250 | | |
| | | 99,644 | | | | FNMA Pool #BC9708, 3.00%, 10/1/46 | | | | | 99,097 | | |
| | | 248,375 | | | | FNMA Pool #BD8213, 3.00%, 9/1/46 | | | | | 247,012 | | |
| | | 272,823 | | | | FNMA Pool #MA0641, 4.00%, 2/1/31 | | | | | 289,395 | | |
| | | 541,283 | | | | FNMA Pool #MA1107, 3.50%, 7/1/32 | | | | | 562,975 | | |
| | | 2,647 | | | | FNMA REMIC Trust Series 2003-38, Class TC, 5.00%, 3/25/23 | | | | | 2,654 | | |
| | | 112,944 | | | | FNMA REMIC Trust Series 2013-18, Class AE, 2.00%, 3/25/28 | | | | | 111,517 | | |
| | | 203,560 | | | | GNMA, Series 2011-136, Class GB, 2.50%, 5/20/40 | | | | | 204,166 | | |
| | | 1,241 | | | | GNMA I Pool #429786, 6.00%, 12/15/33 | | | | | 1,437 | | |
| | | 28,842 | | | | GNMA I Pool #548880, 6.00%, 12/15/31 | | | | | 32,702 | | |
| | | 13,495 | | | | GNMA I Pool #551762, 6.00%, 4/15/32 | | | | | 15,299 | | |
| | | 2,839 | | | | GNMA I Pool #557681, 6.00%, 8/15/31 | | | | | 3,218 | | |
| | | 11,110 | | | | GNMA I Pool #582415, 6.00%, 11/15/32 | | | | | 12,884 | | |
| | | 33,936 | | | | GNMA I Pool #583008, 5.50%, 6/15/34 | | | | | 38,182 | | |
| | | 24,030 | | | | GNMA I Pool #605025, 6.00%, 2/15/34 | | | | | 27,276 | | |
| | | 16,941 | | | | GNMA I Pool #605245, 5.50%, 6/15/34 | | | | | 19,011 | | |
| | | 30,140 | | | | GNMA I Pool #622603, 6.00%, 11/15/33 | | | | | 34,573 | | |
| | | 4,362 | | | | GNMA I Pool #626480, 6.00%, 2/15/34 | | | | | 5,049 | | |
| | | 11,046 | | | | GNMA II Pool #3645, 4.50%, 12/20/19 | | | | | 11,373 | | |
| | | 159,547 | | | | GNMA II Pool #5332, 4.00%, 3/20/42 | | | | | 169,924 | | |
| | | 158,734 | | | | GNMA II Pool #MA1520, 3.00%, 12/20/43 | | | | | 161,401 | | |
| | | 119,826 | | | | GNMA II Pool #MA2445, 3.50%, 12/20/44 | | | | | 124,796 | | |
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $14,234,459) (21.3%) | | | | | 14,182,662 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. TREASURY OBLIGATIONS (14.0%) | | ||||||||||||
| | | | | | | U.S. TREASURY NOTES & BONDS (14.0%) | | ||||||
| | $ | 350,000 | | | | U.S. Treasury Bonds, 7.88%, 2/15/21 | | | | $ | 434,191 | | |
| | | 608,935 | | | | U.S. Treasury Bonds, 2.00%, 1/15/26(4) | | | | | 686,004 | | |
| | | 35,000 | | | | U.S. Treasury Bonds, 5.50%, 8/15/28 | | | | | 45,314 | | |
| | | 50,000 | | | | U.S. Treasury Bonds, 5.25%, 11/15/28 | | | | | 63,652 | | |
| | | 440,000 | | | | U.S. Treasury Bonds, 4.38%, 2/15/38 | | | | | 546,769 | | |
| | | 300,000 | | | | U.S. Treasury Bonds, 4.38%, 5/15/40 | | | | | 370,652 | | |
| | | 400,000 | | | | U.S. Treasury Bonds, 3.63%, 8/15/43 | | | | | 443,578 | | |
| | | 330,000 | | | | U.S. Treasury Bonds, 3.38%, 5/15/44 | | | | | 349,942 | | |
| | | 300,000 | | | | U.S. Treasury Bonds, 2.50%, 2/15/46 | | | | | 266,578 | | |
| | | 400,000 | | | | U.S. Treasury Bonds, 2.50%, 5/15/46 | | | | | 355,469 | | |
| | | 50,000 | | | | U.S. Treasury Bonds, 2.88%, 11/15/46 | | | | | 48,273 | | |
| | | 100,000 | | | | U.S. Treasury Notes, 0.88%, 11/15/17 | | | | | 100,004 | | |
| | | 150,000 | | | | U.S. Treasury Notes, 0.75%, 12/31/17 | | | | | 149,754 | | |
| | | 100,000 | | | | U.S. Treasury Notes, 0.75%, 1/31/18 | | | | | 99,789 | | |
| | | 100,000 | | | | U.S. Treasury Notes, 1.00%, 2/15/18 | | | | | 100,035 | | |
| | | 500,000 | | | | U.S. Treasury Notes, 3.13%, 5/15/19 | | | | | 521,309 | | |
| | | 350,000 | | | | U.S. Treasury Notes, 1.63%, 6/30/19 | | | | | 352,611 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 1.63%, 12/31/19 | | | | | 200,984 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 1.25%, 1/31/20 | | | | | 198,531 | | |
| | | 450,000 | | | | U.S. Treasury Notes, 1.38%, 3/31/20 | | | | | 447,645 | | |
| | | 150,000 | | | | U.S. Treasury Notes, 1.13%, 4/30/20 | | | | | 147,932 | | |
| | | 200,000 | | | | U.S. Treasury Notes, 2.25%, 4/30/21 | | | | | 203,508 | | |
| | | 400,000 | | | | U.S. Treasury Notes, 2.13%, 6/30/21 | | | | | 404,312 | | |
| | | 100,000 | | | | U.S. Treasury Notes, 2.00%, 10/31/21 | | | | | 100,289 | | |
| | | 1,050,000 | | | | U.S. Treasury Notes, 1.50%, 1/31/22 | | | | | 1,026,293 | | |
| | | 150,000 | | | | U.S. Treasury Notes, 1.75%, 2/28/22 | | | | | 148,207 | | |
| | | 50,000 | | | | U.S. Treasury Notes, 1.88%, 5/31/22 | | | | | 49,598 | | |
| Principal Amount | | | | | | Value | | ||||||
| U.S. TREASURY OBLIGATIONS (14.0%) (continued) | | ||||||||||||
| | | | | | | U.S. TREASURY NOTES & BONDS (14.0%) (continued) | | ||||||
| | $ | 300,000 | | | | U.S. Treasury Notes, 1.38%, 6/30/23 | | | | $ | 284,977 | | |
| | | 300,000 | | | | U.S. Treasury Notes, 2.75%, 2/15/24 | | | | | 309,844 | | |
| | | 250,000 | | | | U.S. Treasury Notes, 2.50%, 5/15/24 | | | | | 253,740 | | |
| | | 150,000 | | | | U.S. Treasury Notes, 2.25%, 11/15/24 | | | | | 149,080 | | |
| | | 50,000 | | | | U.S. Treasury Notes, 2.13%, 5/15/25 | | | | | 49,016 | | |
| | | 100,000 | | | | U.S. Treasury Notes, 1.63%, 5/15/26 | | | | | 93,250 | | |
| | | 302,526 | | | | U.S. Treasury Notes, 0.13%, 7/15/26 TIPS | | | | | 292,543 | | |
| TOTAL U.S. TREASURY NOTES & BONDS (Cost $9,456,480) (14.0%) | | | | | 9,293,673 | | | ||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,456,480) (14.0%) | | | | | 9,293,673 | | |
| Shares | | | | | | Value | | ||||||
| SHORT-TERM INVESTMENTS (2.9%) | | ||||||||||||
| | | | | | | MONEY MARKET FUNDS (2.9%) | | ||||||
| | | 1,305,544 | | | | State Street Institutional Liquid Reserves Fund | | | | | 1,305,544 | | |
| | | 602,675 | | | | State Street Navigator Securities Lending Government Money Market Portfolio(4) | | | | | 602,675 | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $1,908,331) (2.9%) | | | | | 1,908,219 | | | ||||||
| TOTAL INVESTMENT SECURITIES (100.5%) (Cost $66,841,766) | | | | $ | 66,729,037 | | | ||||||
| EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (-0.5%) | | | | | (300,329) | | | ||||||
| NET ASSETS (100%) | | | | $ | 66,428,708 | | |
Type | | | Number of Contracts | | | Expiration Date | | | Original Value | | | Value at December 31, 2016 | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||
Long Gilt Future | | | | | 5 | | | | | | 03/29/17 | | | | | $ | 762,187 | | | | | $ | 775,364 | | | | | $ | 13,177 | | |
Short Future | | | | | | | |||||||||||||||||||||||||
Euro-Bund Future | | | | | 3 | | | | | | 03/08/17 | | | | | $ | (517,108) | | | | | $ | (518,378) | | | | | $ | (1,270) | | |
|
Investments in Securities: | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | ||||||||||||||||||||
Asset-Backed Securities | | | | $ | — | | | | | $ | 2,719,011 | | | | | $ | — | | | | | $ | 2,719,011 | | |
Commercial Mortgage-Backed Securities | | | | | — | | | | | | 4,550,953 | | | | | | — | | | | | | 4,550,953 | | |
Corporate Bonds & Notes* | | | | | — | | | | | | 31,499,364 | | | | | | — | | | | | | 31,499,364 | | |
Foreign Government Obligations | | | | | — | | | | | | 707,583 | | | | | | — | | | | | | 707,583 | | |
Long-Term Municipal Securities* | | | | | — | | | | | | 1,867,572 | | | | | | — | | | | | | 1,867,572 | | |
U.S. Government Agency Obligations | | | | | — | | | | | | 14,182,662 | | | | | | — | | | | | | 14,182,662 | | |
U.S. Treasury Obligations | | | | | — | | | | | | 9,293,673 | | | | | | — | | | | | | 9,293,673 | | |
Short-Term Investments | | | | | 1,908,219 | | | | | | — | | | | | | — | | | | | | 1,908,219 | | |
Future | | | | | 13,177 | | | | | | — | | | | | | — | | | | | | 13,177 | | |
Total Investments in Securities | | | | $ | 1,921,396 | | | | | $ | 64,820,818 | | | | | $ | — | | | | | $ | 66,742,214 | | |
Liabilities | | | | | | ||||||||||||||||||||
Future | | | | | (1,270) | | | | | | — | | | | | | — | | | | | | (1,270) | | |
Total | | | | $ | 1,920,126 | | | | | $ | 64,820,818 | | | | | $ | — | | | | | $ | 66,740,944 | | |
Portfolio Highlights at December 31, 2016 (unaudited)
Issue | | | Principal Amount | | | Value | | | Percentage of Net Assets | | |||||||||
New Jersey State Educational Facilities Authority Revenue, Revenue Bonds, Princeton University, Ser. B, 5.00%, 7/1/35 | | | | $ | 1,000,000 | | | | | $ | 1,119,190 | | | | | | 1.8% | | |
Miami-Dade County Florida Double Barreled Aviation, General Obligation Unlimited, 5.00%, 7/1/27 | | | | | 750,000 | | | | | | 826,020 | | | | | | 1.3% | | |
Saint Joseph County Indiana Educational Facilities Revenue, University of Notre Dame Du Lac Project, Revenue Bonds, 5.00%, 3/1/36 | | | | | 750,000 | | | | | | 778,897 | | | | | | 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 | | | | | | 681,043 | | | | | | 1.1% | | |
California State, General Obligation Unlimited, 5.00%, 2/1/38 | | | | | 565,000 | | | | | | 619,596 | | | | | | 1.0% | | |
Massachusetts Health & Educational Facilities Authority Revenue, Revenue Bonds, Tufts University, Ser. M, 5.50%, 2/15/27 | | | | | 500,000 | | | | | | 616,925 | | | | | | 1.0% | | |
Pennsylvania Higher Educational Facilities Authority, State System of Higher Education, Revenue Bonds, Ser. AS, 5.00%, 6/15/28 | | | | | 500,000 | | | | | | 581,240 | | | | | | 0.9% | | |
Oregon State, General Obligation Unlimited, Refunding Revenue Bonds, Ser. N, 5.00%, 12/1/21 | | | | | 500,000 | | | | | | 573,725 | | | | | | 0.9% | | |
California State Public Works Board, Revenue Bonds, Department of Corrections and Rehabilitation, 5.00%, 6/1/27 | | | | | 500,000 | | | | | | 568,730 | | | | | | 0.9% | | |
Massachusetts Development Finance Agency, Harvard University, Revenue Bonds, Ser. B-2, 5.25%, 2/1/34 | | | | | 500,000 | | | | | | 568,605 | | | | | | 0.9% | | |
Total | | | | | | | | | | | | | | | | | 11.0% | | |
| | | Percentage of Fund’s Investments | | |||
Aaa/AAA | | | | | 11.8% | | |
Aa1/AA+ | | | | | 23.1% | | |
Aa2/AA | | | | | 21.4% | | |
Aa3/AA- | | | | | 16.8% | | |
A1/A+ | | | | | 9.2% | | |
A2/A | | | | | 9.6% | | |
A3/A- | | | | | 3.6% | | |
Baa1 | | | | | 0.7% | | |
NR | | | | | 1.7% | | |
Total Investments | | | | | 97.9% | | |
Cash and other assets in excess of liabilities | | | | | 2.1% | | |
Total Net Assets | | | | | 100.0% | | |
Portfolio Highlights at December 31, 2016 (unaudited) (continued)
| | | Average Annual Total Return | | | Growth of an Assumed Investment of $10,000 | | ||||||
1 year ended 12/31/16 | | | | | -0.38% | | | | | $ | 9,962 | | |
5 years ended 12/31/16 | | | | | 2.26% | | | | | $ | 11,183 | | |
10 years ended 12/31/16 | | | | | 2.56% | | | | | $ | 12,873 | | |
Schedule of Investments | December 31, 2016 |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.9%) | | | |||||||||||||||||
| | | | | | | ALABAMA (0.5%) | | ||||||||||||
| | $ | 310,000 | | | | University of Alabama (The), Revenue Bonds, Ser. A, 4.50%, 10/1/40 | | | | | Aa2 | | | | | $ | 330,891 | | |
| | | | | | | ALASKA (0.3%) | | ||||||||||||
| | | | | | | North Slope Boro Alaska, General Obligation Unlimited: | | | | ||||||||||
| | | 130,000 | | | | Prerefunded, Ser. A, NATL-RE Insured, 5.00%, 6/30/17 | | | | | Aa2 | | | | | | 132,600 | | |
| | | 70,000 | | | | Unrefunded, Ser. A, NATL-RE Insured, 5.00%, 6/30/17 | | | | | Aa2 | | | | | | 71,429 | | |
| | | | | | | | | | | | | | | | | | 204,029 | | |
| | | | | | | ARIZONA (1.0%) | | ||||||||||||
| | | 150,000 | | | | Arizona State Transportation Board Highway Revenue, Revenue Bonds, Ser. A, 5.00%, 7/1/38 | | | | | Aa2 | | | | | | 167,533 | | |
| | | 250,000 | | | | City of Scottsdale Arizona, General Obligation Unlimited, Project 2004-Preserve Acquisition, 3.00%, 7/1/30 | | | | | Aaa | | | | | | 250,630 | | |
| | | 200,000 | | | | Yuma Municipal Property Corp., Revenue Bonds, Senior Lien, 5.00%, 7/1/27 | | | | | A1 | | | | | | 231,370 | | |
| | | | | | | | | | | | | | | | | | 649,533 | | |
| | | | | | | 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 | | | | | | 530,270 | | |
| | | | | | | CALIFORNIA (15.2%) | | ||||||||||||
| | | 150,000 | | | | Berkeley Joint Powers Financing Authority, Revenue Bonds, 5.00%, 10/1/20 | | | | | AA* | | | | | | 165,870 | | |
| | | 100,000 | | | | California Educational Facilities Authority, Revenue Bonds, Pepperdine University, 5.00%, 9/1/33 | | | | | Aa3 | | | | | | 112,572 | | |
| | | 250,000 | | | | California Health Facilities Financing Authority, Revenue Bonds, Lucile Packard Children’s Hospital, Ser. B, 5.00%, 8/15/26 | | | | | Aa3 | | | | | | 284,010 | | |
| | | 270,000 | | | | California Health Facilities Financing Authority, Revenue Bonds, Scripps Health, Ser. A, 4.50%, 11/15/35 | | | | | Aa3 | | | | | | 283,478 | | |
| | | 180,000 | | | | California State Department of Water Resources Center Valley Project Water System, Prerefunded Revenue Bonds, Ser. AG, 4.38%, 12/1/29 | | | | | ** | | | | | | 194,931 | | |
| | | 45,000 | | | | California State Department of Water Resources Center Valley Project Water System, Unrefunding Revenue Bonds, Ser. AG, 4.38%, 12/1/29 | | | | | Aa1 | | | | | | 48,213 | | |
| | | | | | | California State Public Works Board, Revenue Bonds: | | | | ||||||||||
| | | 500,000 | | | | Department of Corrections and Rehabilitation, 5.00%, 6/1/27 | | | | | A1 | | | | | | 568,730 | | |
| | | 200,000 | | | | Ser. H, 5.00%, 12/1/24 | | | | | A1 | | | | | | 237,296 | | |
| | | | | | | California State, General Obligation Unlimited: | | | | ||||||||||
| | | 565,000 | | | | 5.00%, 2/1/38 | | | | | Aa3 | | | | | | 619,596 | | |
| | | 500,000 | | | | 5.25%, 11/1/40 | | | | | Aa3 | | | | | | 555,755 | | |
| | | 250,000 | | | | City of Pasadena, California Certificate of Participation, Ser. C, 4.75%, 2/1/38 | | | | | AA+* | | | | | | 259,775 | | |
| | | 250,000 | | | | Cupertino Union School District, General Obligation Unlimited, Election 2012, Ser. C, 4.00%, 8/1/40 | | | | | Aa1 | | | | | | 257,222 | | |
| | | 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 | | | | | | 293,495 | | |
| | | 300,000 | | | | Golden State Tobacco Securitization Corp., Asset-Backed Bonds, Ser. A, 5.00%, 6/1/32 | | | | | A1 | | | | | | 337,452 | | |
| | | 230,000 | | | | Inglewood Unified School District, School Facilities Financing Authority, Revenue Bonds, AGM Insured, 5.25%, 10/15/21 | | | | | A2 | | | | | | 261,547 | | |
| | | 150,000 | | | | Long Beach Community College District, General Obligation Unlimited, Ser. B, 3.00%, 8/1/32 | | | | | Aa2 | | | | | | 139,334 | | |
| | | | | | | Los Angeles County Metropolitan Transportation Authority, Refunding Revenue Bonds, Proposition C: | | | | ||||||||||
| | | 60,000 | | | | Senior Ser. B, 5.00%, 7/1/22 | | | | | Aa2 | | | | | | 69,692 | | |
| | | 75,000 | | | | Senior Ser. C, 5.00%, 7/1/21 | | | | | AA+* | | | | | | 85,720 | | |
| | | 200,000 | | | | Los Angeles County Public Works Financing Authority, Lease Revenue, Revenue Bonds, Ser. D, 4.00%, 12/1/40 | | | | | Aa3 | | | | | | 202,846 | | |
| | | | | | | Metropolitan Water District of Southern California, Refunding Revenue Bonds: | | | | ||||||||||
| | | 330,000 | | | | Ser. C, 4.00%, 10/1/22 | | | | | Aa1 | | | | | | 360,677 | | |
| | | 60,000 | | | | Ser. F, 5.00%, 7/1/28 | | | | | Aa1 | | | | | | 68,999 | | |
| | | 225,000 | | | | Napa Valley Unified School District, General Obligation Unlimited, Ser. A, 5.00%, 8/1/28 | | | | | Aa2 | | | | | | 270,711 | | |
| | | 50,000 | | | | Sacramento City Financing Authority, Revenue Bonds, Master Lease Program Facilities, Ser. E, AMBAC Insured, 5.25%, 12/1/24(2) | | | | | A1 | | | | | | 59,506 | | |
| | | 150,000 | | | | Sacramento Municipal Utility District, Revenue Bonds, Ser. A, 5.00%, 8/15/41 | | | | | Aa3 | | | | | | 166,850 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.9%) (continued) | | | |||||||||||||||||
| | | | | | | CALIFORNIA (15.2%) (continued) | | ||||||||||||
| | $ | 250,000 | | | | San Diego County Regional Transportation Commission, Revenue Bonds, Ser. A, 5.00%, 4/1/42 | | | | | Aa2 | | | | | $ | 277,460 | | |
| | | 150,000 | | | | San Diego Public Facilities Financing Authority Water Revenue, Revenue Bonds, Ser. A, 5.25%, 8/1/38 | | | | | Aa2 | | | | | | 159,608 | | |
| | | 150,000 | | | | San Francisco Bay Area Rapid Transit District, General Obligation Unlimited, Election 2004, Ser. D, 4.00%, 8/1/24 | | | | | Aaa | | | | | | 168,963 | | |
| | | 200,000 | | | | San Jose Unified School District Santa Clara Country, General Obligation Unlimited, Election 2012, Ser. A, 3.80%, 8/1/37 | | | | | Aa1 | | | | | | 201,016 | | |
| | | 130,000 | | | | San Marcos Redevelopment Agency Successor Agency, Tax Allocation, Refunding Bonds, Ser. A, 5.00%, 10/1/25 | | | | | AA-* | | | | | | 155,488 | | |
| | | 355,000 | | | | Santa Clara County California Financing Authority Lease Revenue, Multiple Facilities Projects, Revenue Bonds, Ser. K, AMBAC Insured, 5.00%, 5/15/25 (2) | | | | | Aa3 | | | | | | 360,478 | | |
| | | 150,000 | | | | Santa Monica Public Financing Authority, Lease Revenue Bonds, Ser. A, 4.00%, 6/1/18 | | | | | Aa2 | | | | | | 156,000 | | |
| | | 220,000 | | | | Southern California Public Power Authority, Mead-Adelanto Project, Authority Interest, Revenue Bonds, Ser. A, 5.00%, 7/1/29 | | | | | Aa2 | | | | | | 259,912 | | |
| | | 200,000 | | | | State of California, General Obligation Unlimited, 4.00%, 3/1/25 | | | | | Aa3 | | | | | | 223,508 | | |
| | | | | | | State of California, General Obligation Unlimited, Refunding Bonds: | | | | ||||||||||
| | | 300,000 | | | | 5.00%, 11/1/23 | | | | | Aa3 | | | | | | 353,760 | | |
| | | 105,000 | | | | 5.00%, 2/1/24 | | | | | Aa3 | | | | | | 118,969 | | |
| | | 250,000 | | | | 5.25%, 2/1/29 | | | | | Aa3 | | | | | | 282,892 | | |
| | | | | | | State of California, General Obligation Unlimited, Various Purpose Bonds: | | | | ||||||||||
| | | 115,000 | | | | 5.00%, 11/1/23 | | | | | Aa3 | | | | | | 135,608 | | |
| | | 150,000 | | | | 5.00%, 8/1/26 | | | | | Aa3 | | | | | | 181,977 | | |
| | | 250,000 | | | | 5.00%, 9/1/41 | | | | | Aa3 | | | | | | 276,330 | | |
| | | 150,000 | | | | University of California Limited Project, Revenue Bonds, Ser. G, 5.00%, 5/15/37 | | | | | Aa3 | | | | | | 168,832 | | |
| | | 150,000 | | | | University of California, Revenue Bonds, Ser. I, 5.00%, 5/15/28 | | | | | Aa3 | | | | | | 176,242 | | |
| | | | | | | | | | | | | | | | | | 9,561,320 | | |
| | | | | | | COLORADO (0.9%) | | ||||||||||||
| | | 500,000 | | | | University of Colorado, Enterprise Revenue Bonds, 5.00%, 6/1/30 | | | | | Aa2 | | | | | | 568,470 | | |
| | | | | | | CONNECTICUT (0.8%) | | ||||||||||||
| | | 200,000 | | | | Connecticut Housing Finance Authority, Revenue Bonds, Subser. C-1, 3.75%, 11/15/35 | | | | | Aaa | | | | | | 201,360 | | |
| | | 250,000 | | | | South Central Connecticut Regional Water Authority, Revenue Bonds, Twenty -Seventh Series, General Obligation of Authority Insured, 5.00%, 8/1/27 | | | | | Aa3 | | | | | | 285,085 | | |
| | | | | | | | | | | | | | | | | | 486,445 | | |
| | | | | | | DELAWARE (0.3%) | | ||||||||||||
| | | 200,000 | | | | University of Delaware Revenue, Revenue Bonds, Ser. B, 4.00%, 11/1/19 | | | | | AA+* | | | | | | 213,864 | | |
| | | | | | | DISTRICT OF COLUMBIA (0.2%) | | ||||||||||||
| | | 100,000 | | | | District of Columbia Income Tax Secured Revenue, Revenue Bonds, Ser. G, 5.00%, 12/1/36 | | | | | Aa1 | | | | | | 111,785 | | |
| | | | | | | FLORIDA (6.1%) | | ||||||||||||
| | | 395,000 | | | | Cape Coral Florida Utility Special Assessment, Southwest 4 Area, NATL-RE Insured, 4.50%, 7/1/18 | | | | | A2 | | | | | | 400,056 | | |
| | | 140,000 | | | | Central Florida Expressway Authority, Revenue Bonds, Ser. A, 4.00%, 7/1/37 | | | | | A2 | | | | | | 140,882 | | |
| | | 250,000 | | | | City of Cape Coral, Florida Water & Sewer Revenue, Revenue Bonds, Ser. A, AGM Insured, 5.00%, 10/1/23 | | | | | A1 | | | | | | 279,470 | | |
| | | 250,000 | | | | City of Jacksonville, Florida Special Revenue, Revenue Bonds, Ser. A, 5.25%, 10/1/30 | | | | | Aa3 | | | | | | 280,410 | | |
| | | 125,000 | | | | City of Tampa, Florida Baycare Health System, Revenue Bonds, Ser. A, 5.00%, 11/15/24 | | | | | Aa2 | | | | | | 142,233 | | |
| | | | | | | County of Palm Beach, Florida Public Improvement, Revenue Bonds, Ser. D: | | | | ||||||||||
| | | 250,000 | | | | 5.00%, 12/1/40 | | | | | Aa1 | | | | | | 281,983 | | |
| | | 125,000 | | | | 5.00%, 12/1/45 | | | | | Aa1 | | | | | | 140,376 | | |
| | | 240,000 | | | | County of State Lucie, Florida Sales Tax Revenue, Refunding Revenue Bonds, Ser. A, AGM Insured, 5.00%, 10/1/24 | | | | | A1 | | | | | | 276,857 | | |
| | | 75,000 | | | | Hillsborough County Industrial Development Authority, Hospital Revenue Refunding Bonds, Tampa General Hospital Project, Ser. A, 5.00%, 10/1/20 | | | | | A3 | | | | | | 83,021 | | |
| | | 300,000 | | | | Miami-Dade County Expressway Authority, Revenue Bonds, Ser. A, 5.00%, 7/1/23 | | | | | A2 | | | | | | 348,123 | | |
| | | 750,000 | | | | Miami-Dade County Florida Double Barreled Aviation, General Obligation Unlimited, 5.00%, 7/1/27 | | | | | Aa2 | | | | | | 826,020 | | |
| | | 325,000 | | | | Orange County Health Facilities Authority, Revenue Bonds, Ser. A, 5.00%, 10/1/39 | | | | | A2 | | | | | | 353,476 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.9%) (continued) | | | |||||||||||||||||
| | | | | | | FLORIDA (6.1%) (continued) | | ||||||||||||
| | $ | 250,000 | | | | State of Florida, Department of Transportation, General Obligation Unlimited, 5.00%, 7/1/22 | | | | | Aa1 | | | | | $ | 283,065 | | |
| | | | | | | | | | | | | | | | | | 3,835,972 | | |
| | | | | | | GEORGIA (3.2%) | | ||||||||||||
| | | 150,000 | | | | Augusta Georgia Water & Sewerage Revenue, Revenue Bonds, 4.00%, 10/1/28 | | | | | A1 | | | | | | 157,663 | | |
| | | 500,000 | | | | City of Atlanta, Georgia Water & Wastewater Revenue, Revenue Bonds, Ser. B, AGM Insured, 5.25%, 11/1/34 | | | | | Aa3 | | | | | | 546,015 | | |
| | | | | | | Metropolitan Atlanta Rapid Transit Authority, Revenue Bonds, 3rd Ser.: | | | | ||||||||||
| | | 125,000 | | | | 5.25%, 7/1/36 | | | | | Aa2 | | | | | | 134,649 | | |
| | | 500,000 | | | | Ser. A, 4.00%, 7/1/36 | | | | | Aa2 | | | | | | 516,465 | | |
| | | 630,000 | | | | Valdosta & Lowndes County Hospital Authority, Revenue Bonds, South Medical Center Project, Ser. B, County Guaranteed Insured, 5.00%, 10/1/41 | | | | | Aa2 | | | | | | 681,043 | | |
| | | | | | | | | | | | | | | | | | 2,035,835 | | |
| | | | | | | GUAM (0.5%) | | ||||||||||||
| | | | | | | Guam Power Authority, Revenue Bonds, Ser. A, AGM Insured: | | | | ||||||||||
| | | 150,000 | | | | 5.00%, 10/1/20 | | | | | A2 | | | | | | 163,993 | | |
| | | 120,000 | | | | 5.00%, 10/1/39 | | | | | A2 | | | | | | 131,952 | | |
| | | | | | | | | | | | | | | | | | 295,945 | | |
| | | | | | | HAWAII (1.1%) | | ||||||||||||
| | | 485,000 | | | | City & County Honolulu Hawaii Wastewater System Revenue, Revenue Bonds, Senior Ser. A, 5.25%, 7/1/36 | | | | | Aa2 | | | | | | 557,512 | | |
| | | 100,000 | | | | City & County Honolulu Hawaii, General Obligation Unlimited, Ser. A, 5.00%, 10/1/38 | | | | | Aa1 | | | | | | 114,051 | | |
| | | | | | | | | | | | | | | | | | 671,563 | | |
| | | | | | | IDAHO (0.9%) | | ||||||||||||
| | | 250,000 | | | | Idaho Housing & Finance Association, Grant & Revenue Anticipation Bonds, Federal Highway - A, 5.00%, 7/15/29 | | | | | A2 | | | | | | 275,355 | | |
| | | 250,000 | | | | Idaho State Building Authority, Revenue Bonds, 5.00%, 9/1/40 | | | | | Aa2 | | | | | | 279,890 | | |
| | | | | | | | | | | | | | | | | | 555,245 | | |
| | | | | | | ILLINOIS (2.8%) | | ||||||||||||
| | | 100,000 | | | | Cook County Forest Preserve District, General Obligation Unlimited, Ser. C, 5.00%, 12/15/37 | | | | | A2 | | | | | | 106,167 | | |
| | | 200,000 | | | | Cook County, General Obligation Unlimited, Ser. C, 4.25%, 11/15/19 | | | | | A2 | | | | | | 210,944 | | |
| | | 250,000 | | | | Illinois Finance Authority, Revenue Bonds, Loyola University of Chicago, Ser. B, 5.00%, 7/1/26 | | | | | A2 | | | | | | 277,197 | | |
| | | 150,000 | | | | Illinois State Toll Highway Authority, Revenue Bonds, Ser. C, 5.00%, 1/1/37 | | | | | Aa3 | | | | | | 164,598 | | |
| | | 190,000 | | | | Kane Kendall Etc Counties Community College District No. 516, General Obligation Unlimited, Ser. A, 5.00%, 12/15/20 | | | | | Aa1 | | | | | | 212,429 | | |
| | | 100,000 | | | | Metropolitan Water Reclamation District of Greater Chicago, General Obligation Unlimited, Ser. A, 5.00%, 12/1/44 | | | | | AA+* | | | | | | 110,658 | | |
| | | 500,000 | | | | Northern Illinois Municipal Power Agency, Revenue Bonds, Prairie State Project, Ser. A, NATL-RE Insured, 5.00%, 1/1/20 | | | | | A2 | | | | | | 519,445 | | |
| | | 150,000 | | | | University of Illinois, Revenue Bonds, Auxiliary Facilities System, Ser. A, 5.00%, 4/1/17 | | | | | Aa3 | | | | | | 151,454 | | |
| | | | | | | | | | | | | | | | | | 1,752,892 | | |
| | | | | | | 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 | | | | | | 778,897 | | |
| | | | | | | IOWA (0.9%) | | ||||||||||||
| | | 50,000 | | | | Iowa Finance Authority, Health Care Facility, Genesis Health System, Revenue Bonds, 5.00%, 7/1/22 | | | | | A1 | | | | | | 57,289 | | |
| | | 500,000 | | | | Iowa Finance Authority, State Revolving Fund, Revenue Bonds, 3.38%, 8/1/29 | | | | | Aaa | | | | | | 511,420 | | |
| | | | | | | | | | | | | | | | | | 568,709 | | |
| | | | | | | KENTUCKY (1.0%) | | ||||||||||||
| | | 450,000 | | | | Kentucky State Turnpike Authority Economic Development Road Revenue, Revenue Bonds, Revitalization Projects, Ser. A, 5.00%, 7/1/19 | | | | | Aa2 | | | | | | 486,468 | | |
| | | 125,000 | | | | Louisville & Jefferson County Visitors and Convention Commission, Revenue Bonds, 4.00%, 6/1/23 | | | | | A2 | | | | | | 132,430 | | |
| | | | | | | | | | | | | | | | | | 618,898 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.9%) (continued) | | | |||||||||||||||||
| | | | | | | LOUISIANA (1.4%) | | ||||||||||||
| | | | | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds: | | | | ||||||||||
| | $ | 300,000 | | | | City of Bossier City, 5.00%, 11/1/26 | | | | | Aa3 | | | | | $ | 351,204 | | |
| | | 250,000 | | | | Parish of East Baton Rouge Road Improvements, 5.00%, 8/1/24 | | | | | Aa3 | | | | | | 285,073 | | |
| | | 145,000 | | | | State of Louisiana Gasoline & Fuels Tax Revenue, Revenue Bonds, Ser. C-1, 5.00%, 5/1/30 | | | | | Aa3 | | | | | | 164,569 | | |
| | | 85,000 | | | | State of Louisiana Highway Improvement Revenue, Revenue Bonds, Ser. A, 5.00%, 6/15/28 | | | | | A1 | | | | | | 98,550 | | |
| | | | | | | | | | | | | | | | | | 899,396 | | |
| | | | | | | MAINE (0.9%) | | ||||||||||||
| | | 225,000 | | | | Maine Municipal Bond Bank, Revenue Bonds, Ser. D, 4.00%, 11/1/20 | | | | | AA+* | | | | | | 243,202 | | |
| | | 200,000 | | | | Maine State Health & Higher Educational Facilities Authority Revenue, Refunding Revenue Bonds, Colby College, Ser. A, 5.00%, 7/1/39 | | | | | Aa2 | | | | | | 224,552 | | |
| | | 100,000 | | | | Maine Turnpike Authority, Revenue Bonds, Ser. A, 5.00%, 7/1/37 | | | | | Aa3 | | | | | | 111,041 | | |
| | | | | | | | | | | | | | | | | | 578,795 | | |
| | | | | | | MASSACHUSETTS (4.3%) | | ||||||||||||
| | | 245,000 | | | | Martha’s Vineyard Land Bank, Revenue Bonds, AMBAC Insured, 4.25%, 5/1/36 (2) | | | | | A-* | | | | | | 245,615 | | |
| | | 500,000 | | | | Massachusetts Bay Transportation Authority, Revenue Assessment Bonds, Ser. A, 4.00%, 7/1/37 | | | | | Aa1 | | | | | | 515,445 | | |
| | | | | | | Massachusetts Development Finance Agency: | | | | ||||||||||
| | | 500,000 | | | | Harvard University, Revenue Bonds, Ser. B-2, 5.25%, 2/1/34 | | | | | Aaa | | | | | | 568,605 | | |
| | | 75,000 | | | | Partners Healthcare, Revenue Bonds, Ser. L, 5.00%, 7/1/36 | | | | | Aa3 | | | | | | 83,208 | | |
| | | 250,000 | | | | Massachusetts Health & Educational Facilities Authority Revenue, Revenue Bonds, Harvard University, Ser. A, 5.00%, 12/15/30 | | | | | Aaa | | | | | | 275,265 | | |
| | | 500,000 | | | | Massachusetts Health & Educational Facilities Authority Revenue, Revenue Bonds, Tufts University, Ser. M, 5.50%, 2/15/27 | | | | | Aa2 | | | | | | 616,925 | | |
| | | 250,000 | | | | Massachusetts School Building Authority Sales Tax Revenue, Revenue Bonds, Senior Ser. B, 5.00%, 10/15/41 | | | | | Aa2 | | | | | | 279,235 | | |
| | | 115,000 | | | | Town of Nantucket, Massachusetts Municipal Purpose Loan, General Obligation Limited, 4.13%, 2/15/24 | | | | | Aa1 | | | | | | 118,865 | | |
| | | | | | | | | | | | | | | | | | 2,703,163 | | |
| | | | | | | MICHIGAN (0.3%) | | ||||||||||||
| | | 145,000 | | | | Michigan Finance Authority, State Revolving Fund Revenue, Clean Water, Refunding Revenue Bonds, 5.00%, 10/1/20 | | | | | AAA* | | | | | | 162,488 | | |
| | | | | | | MINNESOTA (0.3%) | | ||||||||||||
| | | 150,000 | | | | State of Minnesota Public Facilities Authority Revenue, Refunding Revenue Bonds, Ser. B, 5.00%, 3/1/28 | | | | | Aaa | | | | | | 181,491 | | |
| | | | | | | MISSISSIPPI (0.5%) | | ||||||||||||
| | | 300,000 | | | | Mississippi Hospital Equipment & Facilities Authority, Revenue Bonds, Forest County General Hospital, 5.25%, 1/1/28 | | | | | A2 | | | | | | 320,937 | | |
| | | | | | | MISSOURI (0.3%) | | ||||||||||||
| | | 150,000 | | | | Metropolitan State Louis Sewer District, Waste Water System Improvement, Refunding Revenue Bonds, Ser. B, 5.00%, 5/1/31 | | | | | Aa1 | | | | | | 175,961 | | |
| | | | | | | NEBRASKA (1.1%) | | ||||||||||||
| | | 285,000 | | | | Central Plains Energy Project, Revenue Bonds, Project No. 3, 5.00%, 9/1/21 | | | | | A3 | | | | | | 317,006 | | |
| | | 95,000 | | | | Public Power Generation Agency, Revenue Bonds, Ser. A, 5.00%, 1/1/38 | | | | | A2 | | | | | | 103,942 | | |
| | | 250,000 | | | | University of Nebraska, Lincoln Student, Revenue Bonds, 4.00%, 7/1/33 | | | | | Aa1 | | | | | | 260,660 | | |
| | | | | | | | | | | | | | | | | | 681,608 | | |
| | | | | | | NEVADA (0.4%) | | ||||||||||||
| | | 250,000 | | | | City of Henderson, Nevada Refunding, General Obligation Limited, 4.00%, 6/1/31 | | | | | Aa2 | | | | | | 263,185 | | |
| | | | | | | NEW HAMPSHIRE (0.8%) | | ||||||||||||
| | | 500,000 | | | | New Hampshire State, General Obligation Unlimited, Ser. B, 4.00%, 2/1/30 | | | | | Aa1 | | | | | | 531,910 | | |
| | | | | | | NEW JERSEY (3.9%) | | ||||||||||||
| | | 100,000 | | | | New Jersey Institute of Technology, Revenue Bonds, Ser. A, General Obligation of Institution Insured, 5.00%, 7/1/42 | | | | | A1 | | | | | | 109,703 | | |
| | | 1,000,000 | | | | New Jersey State Educational Facilities Authority Revenue, Revenue Bonds, Princeton University, Ser. B, 5.00%, 7/1/35 | | | | | Aaa | | | | | | 1,119,190 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.9%) (continued) | | | |||||||||||||||||
| | | | | | | NEW JERSEY (3.9%) (continued) | | ||||||||||||
| | | | | | | New Jersey State Health Care Facilities Financing Authority, Hospital Asset Transformation Program, Revenue Bonds: | | | | ||||||||||
| | $ | 55,000 | | | | Prerefunded, Ser. A, 5.25%, 10/1/18 | | | | | ** | | | | | $ | 58,816 | | |
| | | 190,000 | | | | Unrefunded, Ser. A, 5.25%, 10/1/18 | | | | | A3 | | | | | | 198,563 | | |
| | | 150,000 | | | | New Jersey State Health Care Facilities Financing Authority, Revenue Bonds, Ser. A, 4.00%, 7/1/26 | | | | | A1 | | | | | | 157,326 | | |
| | | | | | | New Jersey State Transportation Trust Fund Authority, Revenue Bonds, Transportation System: | | | | ||||||||||
| | | 245,000 | | | | Ser. A, AMBAC Insured, 4.75%, 12/15/37 | | | | | A3 | | | | | | 245,289 | | |
| | | 250,000 | | | | Ser. B, 5.00%, 6/15/18 | | | | | A3 | | | | | | 258,868 | | |
| | | | | | | New Jersey State Turnpike Authority, Revenue Bonds: | | | | ||||||||||
| | | 165,000 | | | | Ser. A, 5.00%, 1/1/29 | | | | | A2 | | | | | | 186,628 | | |
| | | 100,000 | | | | Ser. F, 5.00%, 1/1/35 | | | | | A2 | | | | | | 110,738 | | |
| | | | | | | | | | | | | | | | | | 2,445,121 | | |
| | | | | | | 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 | | | | | | 150,555 | | |
| | | 200,000 | | | | State of New Mexico, Severance Tax Permanent Fund, Revenue Bonds, Ser. A, 5.00%, 7/1/24 | | | | | Aa2 | | | | | | 237,248 | | |
| | | | | | | | | | | | | | | | | | 387,803 | | |
| | | | | | | NEW YORK (9.2%) | | ||||||||||||
| | | 150,000 | | | | County of Saratoga, New York Public Improvement Bonds, General Obligation Unlimited, Ser. A, 4.00%, 7/15/21 | | | | | Aa2 | | | | | | 156,477 | | |
| | | 200,000 | | | | County of Westchester, General Obligation Unlimited, Ser. B, 3.00%, 6/1/21 | | | | | Aa1 | | | | | | 207,608 | | |
| | | 400,000 | | | | Housing Finance Agency, Revenue Bonds, Ser. A, 5.00%, 3/15/39 | | | | | Aa1 | | | | | | 426,000 | | |
| | | 110,000 | | | | Long Island Power Authority, Revenue Bonds, Ser. B, 5.00%, 9/1/23 | | | | | A3 | | | | | | 125,740 | | |
| | | | | | | Metropolitan Transportation Authority, New York: | | | | ||||||||||
| | | 200,000 | | | | Revenue Bonds, Ser. A, AGM Insured, 5.00%, 11/15/36 | | | | | A1 | | | | | | 223,016 | | |
| | | 500,000 | | | | Revenue Bonds, Subser. C-1, 5.00%, 11/15/34 | | | | | A1 | | | | | | 564,095 | | |
| | | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | ||||||||||
| | | 10,000 | | | | Albany Medical Center, Ser. A-1, AGM/FHA Insured, 5.00%, 8/15/18 | | | | | A2 | | | | | | 10,032 | | |
| | | 100,000 | | | | Barnard College, Ser. A, 5.00%, 7/1/30 | | | | | A1 | | | | | | 114,106 | | |
| | | 100,000 | | | | Cornell University, Ser. A, 5.00%, 7/1/40 | | | | | Aa1 | | | | | | 109,161 | | |
| | | 50,000 | | | | Memorial Sloan-Kettering Cancer Center, 5.00%, 7/1/25 | | | | | Aa3 | | | | | | 56,815 | | |
| | | 500,000 | | | | State Personal Income Tax Education, Ser. B, 5.00%, 3/15/28 | | | | | Aa1 | | | | | | 536,505 | | |
| | | 150,000 | | | | State Personal Income Tax Revenues General Purpose, Ser. A, 4.50%, 3/15/35 | | | | | Aa1 | | | | | | 159,132 | | |
| | | 250,000 | | | | State Personal Income Tax Revenues General Purpose, Ser. A, 5.00%, 2/15/23 | | | | | Aa1 | | | | | | 292,167 | | |
| | | 150,000 | | | | State Personal Income Tax Revenues, Ser. B, Group C, 5.00%, 2/15/38 | | | | | Aa1 | | | | | | 169,293 | | |
| | | | | | | New York State Environmental Facilities Corp., Revolving Funds Revenue Bonds: | | | | ||||||||||
| | | 500,000 | | | | Ser. B, 5.00%, 6/15/28 | | | | | Aaa | | | | | | 527,495 | | |
| | | 125,000 | | | | Ser. C, 4.13%, 6/15/22 | | | | | Aaa | | | | | | 126,563 | | |
| | | | | | | New York State Urban Development Corp., State Personal Income Tax Revenue: | | | | ||||||||||
| | | 250,000 | | | | Revenue Bonds, Ser. A, 5.00%, 3/15/28 | | | | | Aa1 | | | | | | 297,290 | | |
| | | 135,000 | | | | Revenue Bonds, Ser. A, 5.00%, 3/15/29 | | | | | Aa1 | | | | | | 157,325 | | |
| | | | | | | New York State, General Obligation Unlimited: | | | | ||||||||||
| | | 150,000 | | | | Fiscal 2015, Ser. A, 5.00%, 8/1/26 | | | | | Aa2 | | | | | | 176,368 | | |
| | | 65,000 | | | | Prerefunded Fiscal 2008, Subser. C-1, AGM Insured, 5.00%, 10/1/24 | | | | | Aa2 | | | | | | 66,951 | | |
| | | 285,000 | | | | Prerefunded Fiscal 2008, Subser. C-1, AGM Insured, 5.00%, 10/1/24 | | | | | Aa2 | | | | | | 293,197 | | |
| | | 100,000 | | | | Port Authority of New York & New Jersey, Consolidated Bonds, Revenue Bonds, One Hundred Seventy-First Series, 4.00%, 7/15/38 | | | | | Aa3 | | | | | | 103,038 | | |
| | | 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 | | | | | | 110,634 | | |
| | | 325,000 | | | | Port Authority of New York & New Jersey, Revenue Bonds, 194th Series, 5.00%, 10/15/41 | | | | | Aa3 | | | | | | 368,706 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.9%) (continued) | | | |||||||||||||||||
| | | | | | | NEW YORK (9.2%) (continued) | | ||||||||||||
| | | | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds: | | | | ||||||||||
| | $ | 250,000 | | | | FSA-CR AGM-CR MBIA Insured, 5.50%, 11/15/19 | | | | | A1 | | | | | $ | 278,837 | | |
| | | 100,000 | | | | Unrefunded, Ser. C, 5.00%, 11/15/19 | | | | | Aa3 | | | | | | 106,811 | | |
| | | | | | | | | | | | | | | | | | 5,763,362 | | |
| | | | | | | NEW YORK CITY (6.7%) | | ||||||||||||
| | | 250,000 | | | | City of New York, General Obligation Unlimited, Fiscal 2012, Ser. A-1, 5.00%, 8/1/32 | | | | | Aa2 | | | | | | 278,957 | | |
| | | 250,000 | | | | Housing Development Corp., Revenue Bonds, Ser. D-1-B, 4.20%, 5/1/37 | | | | | Aa2 | | | | | | 257,715 | | |
| | | | | | | Municipal Water Finance Authority, Water and Sewer System Revenue, Revenue Bonds: | | | | ||||||||||
| | | 250,000 | | | | Ser. DD, 4.50%, 6/15/38 | | | | | Aa1 | | | | | | 258,910 | | |
| | | 100,000 | | | | Ser. DD, 5.00%, 6/15/34 | | | | | Aa1 | | | | | | 114,503 | | |
| | | 65,000 | | | | Ser. EE, 5.00%, 6/15/45 | | | | | Aa1 | | | | | | 73,029 | | |
| | | 60,000 | | | | Ser. FF, 5.00%, 6/15/45 | | | | | Aa1 | | | | | | 66,542 | | |
| | | | | | | 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 | | | | | | 213,816 | | |
| | | 150,000 | | | | Ser. GG-1, 5.25%, 6/15/32 | | | | | Aa1 | | | | | | 161,481 | | |
| | | 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 | | | | | | 506,850 | | |
| | | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | | ||||||||||
| | | 300,000 | | | | Fiscal 2011, Ser. D, 5.00%, 2/1/35 | | | | | Aa1 | | | | | | 330,210 | | |
| | | 150,000 | | | | Subordinated Future Tax Secured, Ser. A, 5.00%, 5/1/30 | | | | | Aa1 | | | | | | 161,145 | | |
| | | 120,000 | | | | Subordinated Future Tax Secured, Subser. A-1, 5.00%, 8/1/26 | | | | | Aa1 | | | | | | 142,373 | | |
| | | 150,000 | | | | Subordinated Future Tax Secured, Subser. B-1, 5.00%, 8/1/32 | | | | | Aa1 | | | | | | 175,509 | | |
| | | 200,000 | | | | Subser. A-1, 5.00%, 8/1/31 | | | | | Aa1 | | | | | | 231,954 | | |
| | | 200,000 | | | | Subser. B-1, 5.00%, 8/1/39 | | | | | Aa1 | | | | | | 226,086 | | |
| | | 250,000 | | | | Subser. E-1, 5.00%, 2/1/32 | | | | | Aa1 | | | | | | 290,580 | | |
| | | 135,000 | | | | Subser. E-1, 5.00%, 2/1/40 | | | | | Aa1 | | | | | | 153,454 | | |
| | | 160,000 | | | | Subser. F-1, 5.00%, 5/1/23 | | | | | Aa1 | | | | | | 184,354 | | |
| | | 135,000 | | | | Unrefunded, Ser. B, 5.00%, 11/1/23 | | | | | Aa1 | | | | | | 136,800 | | |
| | | 250,000 | | | | Trust for Cultural Resources Revenue, Refunding Bonds, Museum of Modern Art, Ser. 1A, 5.00%, 4/1/28 | | | | | Aa2 | | | | | | 266,355 | | |
| | | | | | | | | | | | | | | | | | 4,230,623 | | |
| | | | | | | NORTH CAROLINA (3.1%) | | ||||||||||||
| | | 305,000 | | | | Nash Health Care Systems Health Care Facilities Revenue, Revenue Bonds, 4.50%, 11/1/37 | | | | | A-* | | | | | | 310,926 | | |
| | | 385,000 | | | | North Carolina Medical Care Commission, Refunding Revenue Bonds, Wakemed, Ser. A, 4.13%, 10/1/38 | | | | | A2 | | | | | | 391,094 | | |
| | | 300,000 | | | | North Carolina Medical Care Commission, Revenue Bonds, Duke University Health System, Ser. A, 5.00%, 6/1/42 | | | | | Aa2 | | | | | | 331,854 | | |
| | | 85,000 | | | | North Carolina Medical Care Commission, Revenue Bonds, Wake Forest Baptist Obligated Group, Ser. B, 5.00%, 12/1/24 | | | | | A2 | | | | | | 96,915 | | |
| | | | | | | Raleigh Durham Airport Authority, Revenue Bonds: | | | | ||||||||||
| | | 195,000 | | | | Ser. A, 5.00%, 5/1/36 | | | | | Aa3 | | | | | | 210,918 | | |
| | | 250,000 | | | | Ser. B-1, 5.00%, 11/1/28 | | | | | Aa3 | | | | | | 274,025 | | |
| | | 315,000 | | | | State of North Carolina Capital Improvement Obligation, Revenue Bonds, Ser. C, 3.50%, 5/1/27 | | | | | Aa1 | | | | | | 323,981 | | |
| | | | | | | | | | | | | | | | | | 1,939,713 | | |
| | | | | | | NORTH DAKOTA (0.8%) | | ||||||||||||
| | | 290,000 | | | | City of Fargo, North Dakota, Improvement Refunding Bonds, General Obligation Unlimited, Ser. E, 5.00%, 5/1/25 | | | | | Aa1 | | | | | | 343,293 | | |
| | | 135,000 | | | | North Dakota Public Finance Authority, State Revolving Fund Program, Revenue Bonds, Ser. A, 5.00%, 10/1/26 | | | | | Aaa | | | | | | 151,608 | | |
| | | | | | | | | | | | | | | | | | 494,901 | | |
| | | | | | | OHIO (2.0%) | | ||||||||||||
| | | 200,000 | | | | City of Akron, Ohio Community Learning Centers, Refunding Revenue Bonds, Ser. A, 5.00%, 12/1/28 | | | | | AA+* | | | | | | 227,754 | | |
| | | 250,000 | | | | City of Cleveland, Ohio Water Pollution Control, Green Bonds, Revenue Bonds, 5.00%, 11/15/45 | | | | | Aa3 | | | | | | 277,380 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.9%) (continued) | | | |||||||||||||||||
| | | | | | | OHIO (2.0%) (continued) | | ||||||||||||
| | | | | | | City of Columbus, Ohio Library Fund Facilities Notes, Revenue Bonds: | | | | ||||||||||
| | $ | 70,000 | | | | Prerefunded, Ser. 1, 5.00%, 12/1/23 | | | | | ** | | | | | $ | 78,632 | | |
| | | 80,000 | | | | Unrefunded, Ser. 1, 5.00%, 12/1/23 | | | | | ** | | | | | | 88,673 | | |
| | | 325,000 | | | | Cleveland Department of Public Utilities Division of Water Revenue, Revenue Bonds, Senior Lien Ser. X, 3.63%, 1/1/37 | | | | | Aa1 | | | | | | 320,895 | | |
| | | 250,000 | | | | Country of Franklin, Ohio Hospital Facilities Revenue, Revenue Bonds, 5.00%, 5/15/45 | | | | | Aa2 | | | | | | 275,672 | | |
| | | | | | | | | | | | | | | | | | 1,269,006 | | |
| | | | | | | OKLAHOMA (0.5%) | | ||||||||||||
| | | 250,000 | | | | Oklahoma Capital Improvement Authority, Revenue Bonds, 5.00%, 10/1/23 | | | | | AA* | | | | | | 282,140 | | |
| | | | | | | OREGON (1.2%) | | ||||||||||||
| | | 150,000 | | | | Oregon State Department of Administrative Services Lottery Revenue, Revenue Bonds, Ser. D, 5.00%, 4/1/28 | | | | | Aa2 | | | | | | 177,588 | | |
| | | 500,000 | | | | Oregon State, General Obligation Unlimited, Refunding Revenue Bonds, Ser. N, 5.00%, 12/1/21 | | | | | Aa1 | | | | | | 573,725 | | |
| | | | | | | | | | | | | | | | | | 751,313 | | |
| | | | | | | PENNSYLVANIA (4.8%) | | ||||||||||||
| | | 500,000 | | | | Centennial School District Bucks County, General Obligation Limited, Ser. A, State Aid Withholding Insured, 5.00%, 12/15/34 | | | | | Aa2 | | | | | | 550,095 | | |
| | | 200,000 | | | | Central Bradford Progress Authority, Guthrie Healthcare System, Revenue Bonds, 5.00%, 12/1/31 | | | | | AA-* | | | | | | 220,182 | | |
| | | 495,000 | | | | City of Philadelphia Pennsylvania, General Obligation Unlimited, Refunding Bonds, Ser. A, AGM Insured, 5.25%, 12/15/32 | | | | | A2 | | | | | | 525,813 | | |
| | | 300,000 | | | | Delaware Valley Regional Finance Authority, Permanently Fixed Revenue Bonds, AMBAC Insured, 5.50%, 8/1/18 | | | | | A1 | | | | | | 316,974 | | |
| | | 500,000 | | | | Pennsylvania Higher Educational Facilities Authority, State System of Higher Education, Revenue Bonds, Ser. AS, 5.00%, 6/15/28 | | | | | Aa3 | | | | | | 581,240 | | |
| | | 100,000 | | | | Pennsylvania Infrastructure Investment Authority, Revenue Bonds, Ser. A, 4.00%, 5/15/32 | | | | | AAA* | | | | | | 105,985 | | |
| | | 300,000 | | | | Pittsburgh Public Schools, General Obligation Limited, Ser. B, State Aid Withholding Insured, 4.00%, 9/1/22 | | | | | Aa2 | | | | | | 319,434 | | |
| | | | | | | University of Pittsburgh-of the Commonwealth System of Higher Education, Capital Project Revenue Bonds, Ser. B: | | | | ||||||||||
| | | 100,000 | | | | 5.00%, 9/15/19 | | | | | Aa1 | | | | | | 108,185 | | |
| | | 50,000 | | | | 5.00%, 9/15/31 | | | | | Aa1 | | | | | | 53,259 | | |
| | | 225,000 | | | | York County Pennsylvania, General Obligation Unlimited, 4.75%, 3/1/36 | | | | | AA* | | | | | | 243,430 | | |
| | | | | | | | | | | | | | | | | | 3,024,597 | | |
| | | | | | | SOUTH CAROLINA (2.8%) | | ||||||||||||
| | | 500,000 | | | | Charleston County South Carolina, Capital Improvement Transportation Sales Tax, General Obligation Unlimited, State Aid Withholding Insured, 4.00%, 11/1/29 | | | | | Aaa | | | | | | 536,780 | | |
| | | 350,000 | | | | Charleston South Carolina Waterworks & Sewer Revenue, Refunding and Capital Improvement Revenue Bonds, 5.00%, 1/1/35 | | | | | Aaa | | | | | | 392,780 | | |
| | | 195,000 | | | | South Carolina Jobs-Economic Development Authority, Refunding and Improvement Revenue Bonds, Palmetto Health, 5.75%, 8/1/39 | | | | | Baa1 | | | | | | 205,653 | | |
| | | 250,000 | | | | South Carolina Jobs-Economic Development Authority, Revenue Bonds, Georgetown Hospital, Ser. B, 3.50%, 2/1/25 | | | | | ** | | | | | | 250,575 | | |
| | | 325,000 | | | | South Carolina Public Service Authority, Revenue Bonds, Ser. A, 5.00%, 12/1/38 | | | | | A1 | | | | | | 361,342 | | |
| | | | | | | | | | | | | | | | | | 1,747,130 | | |
| | | | | | | TENNESSEE (0.6%) | | ||||||||||||
| | | 250,000 | | | | Shelby County Health Educational & Housing Facilities Board, Revenue Bonds, Methodist Le Bonheur Healthcare, 5.00%, 5/1/42 | | | | | A1 | | | | | | 267,470 | | |
| | | 80,000 | | | | Tennessee Housing Development Agency, Revenue Bonds, Ser. 1C, 3.05%, 1/1/24 | | | | | Aa1 | | | | | | 81,213 | | |
| | | | | | | | | | | | | | | | | | 348,683 | | |
| | | | | | | TEXAS (7.7%) | | ||||||||||||
| | | | | | | City of Arlington, Texas Special Tax Revenue, Refunding Bonds: | | | | ||||||||||
| | | 125,000 | | | | Prerefunded, 5.00%, 8/15/28 | | | | | ** | | | | | | 134,504 | | |
| | | 200,000 | | | | Unrefunded, 5.00%, 8/15/28 | | | | | A1 | | | | | | 210,866 | | |
| | | 65,000 | | | | City of Austin Texas, Water & Wastewater System Revenue, Revenue Bonds, 5.00%, 11/15/32 | | | | | Aa2 | | | | | | 72,480 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.9%) (continued) | | | |||||||||||||||||
| | | | | | | TEXAS (7.7%) (continued) | | ||||||||||||
| | $ | 160,000 | | | | City of Corpus Christi, Texas General Improvement Bonds, 5.00%, 3/1/24 | | | | | Aa2 | | | | | $ | 188,150 | | |
| | | 100,000 | | | | City of Dallas, Unrefunded General Obligation Limited, Refunding Bonds, 5.00%, 2/15/23 | | | | | A1 | | | | | | 113,486 | | |
| | | 160,000 | | | | City of El Paso Texas, Water & Sewer Revenue, Improvement Refunding Revenue Bonds, Ser. A, 5.00%, 3/1/23 | | | | | AA+* | | | | | | 182,912 | | |
| | | 65,000 | | | | City of Houston Texas, Combined Utility System Revenue, Revenue Bonds, Ser. D, 5.00%, 11/15/42 | | | | | AA* | | | | | | 72,471 | | |
| | | | | | | City of Houston, Texas Public Improvement, General Obligation Limited: | | | | ||||||||||
| | | 135,000 | | | | 5.00%, 3/1/25 | | | | | ** | | | | | | 145,109 | | |
| | | 15,000 | | | | 5.00%, 3/1/25 | | | | | Aa3 | | | | | | 16,091 | | |
| | | 125,000 | | | | City of Leander, Texas Certificates of Obligation, Parking Facility Improvements, General Obligation Limited, 5.00%, 8/15/32 | | | | | Aa2 | | | | | | 142,654 | | |
| | | 70,000 | | | | City of Lubbock, Texas Certificates of Obligation, Waterworks System, General Obligation Limited, 5.00%, 2/15/23 | | | | | Aa2 | | | | | | 80,820 | | |
| | | 200,000 | | | | City of San Antonio Texas, Water System Revenue, Junior Lien, Refunding Revenue Bonds, Ser. B, 5.00%, 5/15/32 | | | | | Aa2 | | | | | | 230,222 | | |
| | | 275,000 | | | | Dallas Area Rapid Transit, Revenue Bonds, Ser. A, 5.00%, 12/1/36 | | | | | Aa2 | | | | | | 314,286 | | |
| | | 250,000 | | | | Fort Worth Independent School District, School Building, General Obligation Unlimited, PSF-GTD Insured, 5.00%, 2/15/20 | | | | | Aa1 | | | | | | 275,845 | | |
| | | 200,000 | | | | Harris County, Texas Unlimited Tax Road, General Obligation Unlimited, Ser. A, 5.00%, 10/1/28 | | | | | Aaa | | | | | | 237,308 | | |
| | | | | | | Leander Independent School District, Prefunded Bonds, General Obligation Unlimited: | | | | ||||||||||
| | | 555,000 | | | | PSF-GTD Insured,0.00%, 8/15/41 (1) | | | | | ** | | | | | | 133,167 | | |
| | | 195,000 | | | | PSF-GTD Insured,0.00%, 8/15/41 (1) | | | | | AAA* | | | | | | 46,523 | | |
| | | | | | | Lower Colorado River Authority, Revenue Bonds: | | | | ||||||||||
| | | 250,000 | | | | Ser. A, 5.00%, 5/15/31 | | | | | A1 | | | | | | 280,195 | | |
| | | 250,000 | | | | Ser. B, 5.00%, 5/15/23 | | | | | A2 | | | | | | 286,547 | | |
| | | 135,000 | | | | North Fort Bend Water Authority, Revenue Bonds, AGM Insured, Ser. A, 3.00%, 12/15/19 | | | | | A2 | | | | | | 139,609 | | |
| | | 200,000 | | | | Olmos Park Higher Education Facilities Corp., Refunding Revenue Bonds, University of the Incarnate Word, 5.00%, 12/1/23 | | | | | A3 | | | | | | 225,938 | | |
| | | 100,000 | | | | State of Texas, Transportation Commission, Highway Improvement, 5.00%, 4/1/25 | | | | | Aaa | | | | | | 118,674 | | |
| | | 150,000 | | | | State of Texas, Water Financial Assistance, General Obligation Unlimited, Ser. A, 3.00%, 8/1/35 | | | | | Aaa | | | | | | 138,725 | | |
| | | 275,000 | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Ser. A, 5.00%, 11/15/38 | | | | | Aa3 | | | | | | 300,842 | | |
| | | 300,000 | | | | Texas City Independent School District, General Obligation Unlimited, PSF-GTD Insured, 5.00%, 8/15/24 | | | | | Aaa | | | | | | 357,738 | | |
| | | 200,000 | | | | Texas Water Development Board, Revenue Bonds, Ser. A, 5.00%, 10/15/27 | | | | | AAA* | | | | | | 238,202 | | |
| | | 125,000 | | | | University of Texas Financing System, Revenue Bonds, Ser. D, 4.25%, 8/15/19 | | | | | Aaa | | | | | | 134,025 | | |
| | | | | | | | | | | | | | | | | | 4,817,389 | | |
| | | | | | | VERMONT (0.8%) | | ||||||||||||
| | | 200,000 | | | | Vermont Educational & Health Buildings Financing Agency, Revenue Bonds, Saint Michael’s College, 5.00%, 10/1/42 | | | | | Baa1 | | | | | | 215,390 | | |
| | | 250,000 | | | | Vermont Municipal Bond Bank, Revenue Bonds, Ser. 1, 5.00%, 12/1/29 | | | | | Aa2 | | | | | | 280,745 | | |
| | | | | | | | | | | | | | | | | | 496,135 | | |
| | | | | | | VIRGINIA (0.2%) | | ||||||||||||
| | | 100,000 | | | | Virginia State Resources Authority, Revenue Bonds, Virginia Pooled Financing Program, Ser. C, 5.00%, 11/1/18 | | | | | Aaa | | | | | | 106,815 | | |
| | | | | | | WASHINGTON (2.9%) | | ||||||||||||
| | | 250,000 | | | | City of Seattle Washington, Limited Tax Improvement Bonds, General Obligation Limited, 4.25%, 3/1/28 | | | | | Aa1 | | | | | | 267,300 | | |
| | | 165,000 | | | | County of King Washington Refunding, General Obligation Limited, Ser. E, 5.00%, 12/1/30 | | | | | Aa1 | | | | | | 194,471 | | |
| | | 100,000 | | | | County of Pierce Washington, Sewer Revenue, Revenue Bonds, 4.00%, 8/1/37 | | | | | Aa3 | | | | | | 102,924 | | |
| | | 250,000 | | | | Port of Seattle Washington, Revenue Refunding Bonds, Ser. A, 5.00%, 8/1/33 | | | | | A1 | | | | | | 279,122 | | |
| | | 200,000 | | | | Seattle Museum Development Authority, Special Obligation Refunding Bonds, Municipal Government Guaranteed, 5.00%, 4/1/26 | | | | | Aa1 | | | | | | 234,096 | | |
| | | 350,000 | | | | Washington Health Care Facilities Authority, Revenue Bonds, Providence Health & Services, Ser. A, 4.25%, 10/1/37 | | | | | Aa3 | | | | | | 360,241 | | |
| | | 100,000 | | | | Washington State, Motor Vehicle Fuel Tax, General Obligation Unlimited, Ser. B, 5.00%, 7/1/24 | | | | | Aa1 | | | | | | 118,624 | | |
| | | 250,000 | | | | Washington State, Water Utility Improvements, General Obligation Unlimited, Ser. A, 5.00%, 8/1/37 | | | | | Aa1 | | | | | | 286,890 | | |
| | | | | | | | | | | | | | | | | | 1,843,668 | | |
| Principal Amount | | | | | | Rating (unaudited) | | | Value | | |||||||||
| LONG-TERM MUNICIPAL SECURITIES (97.9%) (continued) | | | |||||||||||||||||
| | | | | | | WEST VIRGINIA (0.3%) | | ||||||||||||
| | $ | 175,000 | | | | West Virginia School Building Authority, Revenue Bonds, 5.00%, 7/1/17 | | | | | A1 | | | | | $ | 178,591 | | |
| | | | | | | WISCONSIN (1.4%) | | ||||||||||||
| | | 150,000 | | | | City of Madison Wisconsin Water Utility Revenue, Revenue Bonds, 4.00%, 1/1/32 | | | | | Aa2 | | | | | | 156,425 | | |
| | | 165,000 | | | | Wisconsin Department of Transportation, Revenue Bonds, Ser. 2, 5.00%, 7/1/24 | | | | | Aa2 | | | | | | 190,813 | | |
| | | 200,000 | | | | Wisconsin State Health & Educational Facilities Authority, Revenue Bonds, Froedtert Health, Ser. A, 5.00%, 4/1/23 | | | | | AA-* | | | | | | 226,518 | | |
| | | 250,000 | | | | Wisconsin State Health & Educational Facilities Authority, Revenue Bonds, Marshfield Clinic, Ser. B, 5.00%, 2/15/24 | | | | | A-* | | | | | | 277,817 | | |
| | | | | | | | | | | | | | | | | | 851,573 | | |
| | | | | | | WYOMING (0.4%) | | ||||||||||||
| | | 220,000 | | | | Laramie County Wyoming, Revenue Bonds, Cheyenne Regional Medical Center Project, 5.00%, 5/1/42 | | | | | A* | | | | | | 234,802 | | |
| | | | | | | TOTAL LONG-TERM MUNICIPAL SECURITIES (97.9%) (Cost $61,045,936) | | | | | | | | | | $ | 61,482,862 | | |
| | | | | | | CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES (2.1%) | | | | | | | | | | | 1,313,817 | | |
| | | | | | | NET ASSETS (100.0%) | | | | | | | | | | $ | 62,796,679 | | |
Investments in Securities: | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | ||||||||||||||||||||
Long-Term Municipal Securities* | | | | $ | — | | | | | $ | 61,482,862 | | | | | $ | — | | | | | $ | 61,482,862 | | |
Total Investments in Securities | | | | $ | — | | | | | $ | 61,482,862 | | | | | $ | — | | | | | $ | 61,482,862 | | |
at December 31, 2016
| | | Value Line Core Bond Fund | | | The Value Line Tax Exempt Fund, Inc. | | ||||||
Assets: | | | | ||||||||||
Investments in securities, at value* | | | | $ | 66,729,037 | | | | | $ | 61,482,862 | | |
Cash at broker | | | | | 22,303 | | | | | | — | | |
Interest receivable | | | | | 466,110 | | | | | | 756,589 | | |
Dividends receivable | | | | | 1,000 | | | | | | — | | |
Receivable for Investments Sold | | | | | — | | | | | | 739,077 | | |
Receivable from broker – variation margin on open futures contracts | | | | | 4,954 | | | | | | — | | |
Receivable for securities lending income | | | | | 720 | | | | | | — | | |
Receivable for capital shares sold | | | | | 200 | | | | | | — | | |
Total Assets | | | | | 67,224,324 | | | | | | 62,978,528 | | |
Liabilities: | | | | ||||||||||
Due to custodian | | | | | — | | | | | | 47,968 | | |
Payable upon return of securities on loan (Note 1G) | | | | | 602,675 | | | | | | — | | |
Payable for capital shares redeemed | | | | | 82,867 | | | | | | 37,027 | | |
Dividends payable to shareholders | | | | | 8,750 | | | | | | 29,649 | | |
Accrued expenses: | | | | ||||||||||
Advisory fee | | | | | 23,532 | | | | | | 26,723 | | |
Transfer Agent Fees | | | | | 19,189 | | | | | | 9,658 | | |
Custody and Accounting Fees | | | | | 18,478 | | | | | | 15,301 | | |
Auditing and Legal Fees | | | | | 10,328 | | | | | | 8,681 | | |
Service and distribution plan fees | | | | | 14,121 | | | | | | — | | |
Directors’ fees and expenses | | | | | 3,706 | | | | | | 3,475 | | |
Other | | | | | 11,970 | | | | | | 3,367 | | |
Total Liabilities | | | | | 795,616 | | | | | | 181,849 | | |
Net Assets | | | | $ | 66,428,708 | | | | | $ | 62,796,679 | | |
Net assets consist of: | | | | ||||||||||
Capital stock, at $0.01 par value (authorized unlimited shares and 65,000,000 shares, respectively) | | | | $ | 44,984 | | | | | $ | 64,435 | | |
Additional paid-in capital | | | | | 67,103,129 | | | | | | 63,393,268 | | |
Undistributed/(distributions in excess of) net investment income | | | | | 11,750 | | | | | | (20,939) | | |
Accumulated net realized loss on investments and futures | | | | | (630,333) | | | | | | (1,077,011) | | |
Net unrealized appreciation /(depreciation) of: | | | | ||||||||||
Investments | | | | | (112,729) | | | | | | 436,926 | | |
Futures contracts | | | | | 11,907 | | | | | | — | | |
Net Assets | | | | $ | 66,428,708 | | | | | $ | 62,796,679 | | |
Net Asset Value Per Share | | | | | | | | | | | | | |
Net Assets | | | | $ | 66,428,708 | | | | | $ | 62,796,679 | | |
Shares Outstanding | | | | | 4,498,420 | | | | | | 6,443,517 | | |
Net Asset Value, Offering and Redemption Price per Outstanding Share | | | | $ | 14.77 | | | | | $ | 9.75 | | |
* Includes securities on loan of | | | | $ | 591,067 | | | | | $ | — | | |
Cost of investments | | | | $ | 66,841,766 | | | | | $ | 61,045,936 | | |
| | | Value Line Core Bond Fund | | | The Value Line Tax Exempt Fund, Inc. | | ||||||
Investment Income: | | | | ||||||||||
Dividends | | | | $ | 2,088 | | | | | $ | — | | |
Interest | | | | | 1,935,842 | | | | | | 2,363,648 | | |
Securities lending income | | | | | 6,063 | | | | | | — | | |
Total Income | | | | | 1,943,993 | | | | | | 2,363,648 | | |
Expenses: | | | | ||||||||||
Advisory fees | | | | | 356,135 | | | | | | 338,304 | | |
Service and distribution plan fees | | | | | 178,068 | | | | | | 169,152 | | |
Transfer agent fees | | | | | 95,338 | | | | | | 50,456 | | |
Auditing and legal fees | | | | | 69,654 | | | | | | 16,021 | | |
Custody and accounting fees | | | | | 64,017 | | | | | | 52,380 | | |
Registration and filing fees | | | | | 27,909 | | | | | | 26,771 | | |
Printing and postage | | | | | 20,735 | | | | | | 8,800 | | |
Directors’ fees and expenses | | | | | 19,137 | | | | | | 18,521 | | |
Professional fees | | | | | 8,827 | | | | | | 5,368 | | |
Insurance | | | | | 5,018 | | | | | | 4,717 | | |
Other | | | | | 6,618 | | | | | | 4,987 | | |
Total Expenses Before Fees Waived (See Note 5) | | | | | 851,456 | | | | | | 695,477 | | |
Less: Advisory Fees Waived and Expenses Reimbursed | | | | | (146,308) | | | | | | (22,977) | | |
Less: Service and Distribution Plan Fees Waived | | | | | — | | | | | | (169,152) | | |
Net Expenses | | | | | 705,148 | | | | | | 503,348 | | |
Net Investment Income | | | | | 1,238,845 | | | | | | 1,860,300 | | |
Net Realized and Unrealized Gain/(Loss) on Investments and Futures: | | | | ||||||||||
Net Realized Gain/(Loss) From: | | | | ||||||||||
Investments | | | | | 230,820 | | | | | | 518,792 | | |
Futures contracts | | | | | (18,155) | | | | | | — | | |
| | | | | 212,665 | | | | | | 518,792 | | |
Change in Net Unrealized Appreciation/(Depreciation) of: | | | | ||||||||||
Investments | | | | | 138,446 | | | | | | (2,506,246) | | |
Futures contracts | | | | | 15,368 | | | | | | — | | |
| | | | | 153,814 | | | | | | (2,506,246) | | |
Net Realized Gain/(Loss) on Investments and Futures | | | | | 366,479 | | | | | | (1,987,454) | | |
Increase /(Decrease) in Net Assets from Operations | | | | $ | 1,605,324 | | | | | $ | (127,154) | | |
for the Years Ended December 31, 2016 and 2015
| | | Value Line Core Bond Fund | | |||||||||
| | | Year Ended December 31, 2016 | | | Year Ended December 31, 2015 | | ||||||
Operations: | | | | ||||||||||
Net investment income | | | | $ | 1,238,845 | | | | | $ | 1,352,514 | | |
Net realized gain on investments and futures | | | | | 212,665 | | | | | | 59,668 | | |
Change in net unrealized appreciation/(depreciation) on investments and futures | | | | | 153,814 | | | | | | (1,226,011) | | |
Net increase in net assets from operations | | | | | 1,605,324 | | | | | | 186,171 | | |
Distributions to Shareholders from: | | | | ||||||||||
Net investment income | | | | | (1,228,482) | | | | | | (1,356,570) | | |
Total distributions | | | | | (1,228,482) | | | | | | (1,356,570) | | |
Share Transactions: | | | | ||||||||||
Proceeds from sale of shares | | | | | 3,020,608 | | | | | | 5,783,577 | | |
Proceeds from reinvestment of dividends to shareholders | | | | | 1,091,648 | | | | | | 1,193,509 | | |
Cost of shares redeemed | | | | | (10,134,472) | | | | | | (13,029,832) | | |
Net decrease in net assets from capital share transactions | | | | | (6,022,216) | | | | | | (6,052,746) | | |
Total decrease in net assets | | | | | (5,645,374) | | | | | | (7,223,145) | | |
Net Assets: | | | | ||||||||||
Beginning of year | | | | | 72,074,082 | | | | | | 79,297,227 | | |
End of year | | | | $ | 66,428,708 | | | | | $ | 72,074,082 | | |
Undistributed net investment income included in net assets, at end of year | | | | $ | 11,750 | | | | | $ | 35,107 | | |
Capital Share Transactions: | | | | ||||||||||
Shares sold | | | | | 199,855 | | | | | | 386,881 | | |
Shares issued to shareholders in reinvestment of dividends | | | | | 72,455 | | | | | | 80,024 | | |
Shares redeemed | | | | | (673,777) | | | | | | (874,910) | | |
Net decrease | | | | | (401,467) | | | | | | (408,005) | | |
| | | The Value Line Tax Exempt Fund, Inc. | | |||||||||
| | | Year Ended December 31, 2016 | | | Year Ended December 31, 2015 | | ||||||
Operations: | | | | ||||||||||
Net investment income | | | | $ | 1,860,300 | | | | | $ | 1,970,966 | | |
Net realized gain on investments | | | | | 518,792 | | | | | | 293,194 | | |
Change in net unrealized appreciation/(depreciation) on investments | | | | | (2,506,246) | | | | | | (541,176) | | |
Net increase/(decrease) in net assets from operations | | | | | (127,154) | | | | | | 1,722,984 | | |
Distributions to Shareholders from: | | | | ||||||||||
Net investment income | | | | | (1,859,910) | | | | | | (1,970,966) | | |
Total distributions | | | | | (1,859,910) | | | | | | (1,970,966) | | |
Share Transactions: | | | | ||||||||||
Proceeds from sale of shares | | | | | 536,053 | | | | | | 583,401 | | |
Proceeds from reinvestment of dividends to shareholders | | | | | 1,514,607 | | | | | | 1,584,284 | | |
Cost of shares redeemed | | | | | (6,305,857) | | | | | | (8,413,879) | | |
Net decrease in net assets from capital share transactions | | | | | (4,255,197) | | | | | | (6,246,194) | | |
Total decrease in net assets | | | | | (6,242,261) | | | | | | (6,494,176) | | |
Net Assets: | | | | ||||||||||
Beginning of year | | | | | 69,038,940 | | | | | | 75,533,116 | | |
End of year | | | | $ | 62,796,679 | | | | | $ | 69,038,940 | | |
Distributions in excess of net investment income included in net assets, at end of year | | | | $ | (20,939) | | | | | $ | (21,329) | | |
Capital Share Transactions: | | | | ||||||||||
Shares sold | | | | | 52,851 | | | | | | 58,258 | | |
Shares issued to shareholders in reinvestment of dividends | | | | | 150,231 | | | | | | 157,849 | | |
Shares redeemed | | | | | (625,523) | | | | | | (840,668) | | |
Net decrease | | | | | (422,441) | | | | | | (624,561) | | |
| | | Value Line Core Bond Fund | | |||||||||||||||||||||||||||||||||
| | | Years Ended December 31, | | | Period ended December 31, | | | Year Ended January 31, | | |||||||||||||||||||||||||||
| | | 2016 | | | 2015 | | | 2014(1) | | | 2013(2) | | | 2013 | | | 2012 | | ||||||||||||||||||
Net asset value, beginning of year | | | | $ | 14.71 | | | | | $ | 14.94 | | | | | $ | 14.55 | | | | | $ | 15.21 | | | | | $ | 14.76 | | | | | $ | 14.85 | | |
Income/(loss) from investment operations: | | | | | | | | ||||||||||||||||||||||||||||||
Net investment income | | | | | 0.26 | | | | | | 0.26 | | | | | | 0.27 | | | | | | 0.18 | | | | | | 0.78 | | | | | | 0.87 | | |
Net gains/(losses) on securities (both realized and unrealized) | | | | | 0.06 | | | | | | (0.23) | | | | | | 0.38 | | | | | | (0.66) | | | | | | 0.45 | | | | | | (0.09) | | |
Total from investment operations | | | | | 0.32 | | | | | | 0.03 | | | | | | 0.65 | | | | | | (0.48) | | | | | | 1.23 | | | | | | 0.78 | | |
Redemption fees | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.00(3) | | | | | | 0.00(3) | | |
Less distributions: | | | | | | | | ||||||||||||||||||||||||||||||
Dividends from net investment income | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.15) | | | | | | (0.78) | | | | | | (0.87) | | |
Distributions from net realized gains | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.00)(3) | | | | | | — | | |
Distributions from return of capital | | | | | — | | | ��� | | | — | | | | | | — | | | | | | (0.03) | | | | | | — | | | | | | — | | |
Total distributions | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.26) | | | | | | (0.18) | | | | | | (0.78) | | | | | | (0.87) | | |
Net asset value, end of year | | | | $ | 14.77 | | | | | $ | 14.71 | | | | | $ | 14.94 | | | | | $ | 14.55 | | | | | $ | 15.21 | | | | | $ | 14.76 | | |
Total return | | | | | 2.16% | | | | | | 0.22% | | | | | | 4.49% | | | | | | (3.13)%(4) | | | | | | 8.49% | | | | | | 5.48% | | |
Ratios/Supplemental Data: | | | | | | | | ||||||||||||||||||||||||||||||
Net assets, end of year (in thousands) | | | | $ | 66,429 | | | | | $ | 72,074 | | | | | $ | 79,297 | | | | | $ | 85,045 | | | | | $ | 30,550 | | | | | $ | 32,203 | | |
Ratio of gross expenses to average net assets* | | | | | 1.20% | | | | | | 1.17% | | | | | | 1.26% | | | | | | 1.30%(5) | | | | | | 1.62% | | | | | | 1.55% | | |
Ratio of net expenses to average net assets** | | | | | 0.99% | | | | | | 0.89% | | | | | | 1.01% | | | | | | 1.15%(5) | | | | | | 1.32% | | | | | | 1.25% | | |
Ratio of net investment income to average net assets | | | | | 1.74% | | | | | | 1.75% | | | | | | 1.96% | | | | | | 1.17%(5) | | | | | | 5.18% | | | | | | 5.95% | | |
Portfolio turnover rate | | | | | 32% | | | | | | 34% | | | | | | 111% | | | | | | 61%(4) | | | | | | 103% | | | | | | 50% | | |
| | | The Value Line Tax Exempt Fund, Inc. | | |||||||||||||||||||||||||||||||||
| | | Years Ended December 31, | | | Period Ended December 31, | | | Year Ended February 28, | | | Year Ended February 29, | | ||||||||||||||||||||||||
| | | 2016 | | | 2015 | | | 2014(1) | | | 2014 | | | 2013 | | | 2012 | | ||||||||||||||||||
Net asset value, beginning of year | | | | $ | 10.06 | | | | | $ | 10.08 | | | | | $ | 9.87 | | | | | $ | 10.31 | | | | | $ | 10.14 | | | | | $ | 9.43 | | |
Income/(loss) from investment operations: | | | | | | | | ||||||||||||||||||||||||||||||
Net investment income | | | | | 0.28 | | | | | | 0.27 | | | | | | 0.22 | | | | | | 0.27 | | | | | | 0.26 | | | | | | 0.29 | | |
Net gains/(losses) on securities (both realized and unrealized) | | | | | (0.31) | | | | | | (0.02) | | | | | | 0.21 | | | | | | (0.44) | | | | | | 0.17 | | | | | | 0.71 | | |
Total from investment operations | | | | | (0.03) | | | | | | 0.25 | | | | | | 0.43 | | | | | | (0.17) | | | | | | 0.43 | | | | | | 1.00 | | |
Less distributions: | | | | | | | | ||||||||||||||||||||||||||||||
Dividends from net investment income | | | | | (0.28) | | | | | | (0.27) | | | | | | (0.22) | | | | | | (0.27) | | | | | | (0.26) | | | | | | (0.29) | | |
Net asset value, end of year | | | | $ | 9.75 | | | | | $ | 10.06 | | | | | $ | 10.08 | | | | | $ | 9.87 | | | | | $ | 10.31 | | | | | $ | 10.14 | | |
Total return | | | | | (0.38)% | | | | | | 2.54% | | | | | | 4.38%(2) | | | | | | (1.55)% | | | | | | 4.33% | | | | | | 10.77% | | |
Ratios/Supplemental Data: | | | | | | | | ||||||||||||||||||||||||||||||
Net assets, end of year (in thousands) | | | | $ | 62,797 | | | | | $ | 69,039 | | | | | $ | 75,533 | | | | | $ | 78,045 | | | | | $ | 91,124 | | | | | $ | 95,405 | | |
Ratio of gross expenses to average net assets* | | | | | 0.99% | | | | | | 1.11% | | | | | | 1.19%(3) | | | | | | 1.08% | | | | | | 1.24% | | | | | | 1.13% | | |
Ratio of net expenses to average net assets** | | | | | 0.74% | | | | | | 0.86% | | | | | | 0.94%(3) | | | | | | 0.83% | | | | | | 0.99% | | | | | | 0.88% | | |
Ratio of net investment income to average net assets | | | | | 2.75% | | | | | | 2.71% | | | | | | 2.61%(3) | | | | | | 2.79% | | | | | | 2.58% | | | | | | 2.95% | | |
Portfolio turnover rate | | | | | 18% | | | | | | 6% | | | | | | 4%(2) | | | | | | 11% | | | | | | 28% | | | | | | 24% | | |
| | | Year Ended December 31, 2016 | | | Year Ended December 31, 2015 | | ||||||
Value Line Core Bond Fund | | | | ||||||||||
Dividends per share from net investment income | | | | $ | 0.2611 | | | | | $ | 0.2639 | | |
The Value Line Tax Exempt Fund, Inc. | | | | ||||||||||
Dividends per share from net investment income | | | | $ | 0.2779 | | | | | $ | 0.2717 | | |
Fund | | | Value of Securities Loaned | | | Value of Collateral | | | Total Collateral (including Calculated Mark)* | | |||||||||
Value Line Core Bond Fund | | | | $ | 591,067 | | | | | $ | 602,675 | | | | | $ | 603,338 | | |
| | | Remaining Contractual Maturity of the Agreements As of December 31, 2016 | | |||||||||||||||||||||||||||
Value Line Core Bond Fund | | | Overnight and Continuous | | | <30 days | | | Between 30 & 90 days | | | >90 days | | | Total | | |||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 602,675 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 602,675 | | |
Total Borrowings | | | | $ | 602,675 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 602,675 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 602,675 | | |
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 | | | | $ | 15,092,056 | | | | | $ | 12,239,142 | | | | | $ | 7,519,770 | | | | | $ | 11,017,365 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 11,814,631 | | | | | | 15,186,891 | | | | | | — | | | | | | — | | |
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 | | | | $ | 66,850,573 | | | | | $ | 860,750 | | | | | $ | (982,286) | | | | | $ | (121,536) | | | | | $ | 20,500 | | | | | $ | — | | | | | $ | — | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 61,045,936 | | | | | | 1,272,333 | | | | | | (835,407) | | | | | | 436,926 | | | | | | — | | | | | | — | | | | | | 8,710 | | |
Fund | | | Expiring December 31, 2017 | | | Unlimited Short-Term Losses | | | Unlimited Long-Term Losses | | |||||||||
Value Line Core Bond Fund | | | | $ | — | | | | | $ | 621,526 | | | | | $ | — | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 1,077,011 | | | | | | — | | | | | | — | | |
Fund | | | Amount | | |||
Value Line Core Bond Fund | | | | $ | 239,741 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 518,792 | | |
Fund | | | Undistributed Net Investment Income/(Loss) | | | Accumulated Net Realized Gains/(Losses) | | | Additional Paid-In Capital | | |||||||||
Value Line Core Bond Fund | | | | $ | (33,720) | | | | | $ | 33,720 | | | | | $ | — | | |
The Value Line Tax Exempt Fund, Inc. | | | | | — | | | | | | 5,120,929 | | | | | | (5,120,929) | | |
Value Line Core Bond Fund | | | Year Ended December 31, 2016 | | | Year Ended December 31, 2015 | | ||||||
Distributions Paid From: | | | | ||||||||||
Ordinary income | | | | $ | 1,228,482 | | | | | $ | 1,356,570 | | |
Long-term capital gain | | | | | — | | | | | | — | | |
Total distributions paid | | | | $ | 1,228,482 | | | | | $ | 1,356,570 | | |
The Value Line Tax Exempt Fund, Inc. | | | Year Ended December 31, 2016 | | | Year Ended December 31, 2015 | | ||||||
Distributions Paid From: | | | | ||||||||||
Tax exempt income | | | | $ | 1,858,077 | | | | | $ | 1,968,370 | | |
Taxable ordinary income | | | | | 1,833 | | | | | | 2,596 | | |
Total | | | | $ | 1,859,910 | | | | | $ | 1,970,966 | | |
Fund | | | Advisory Fee | | | Waived Amount | | ||||||
Value Line Core Bond Fund | | | | $ | 356,135 | | | | | $ | 146,308 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 338,304 | | | | | | 22,977 | | |
Fund | | | Distribution & Service Fees | | | Waived Amount | | ||||||
Value Line Core Bond Fund | | | | $ | 178,068 | | | | | $ | — | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 169,152 | | | | | | 169,152 | | |
Expiration | | | Fees Waived and Reimbursed by the Adviser | | |||
December 31, 2018 | | | | $ | 78,033 | | |
December 31, 2019 | | | | | 146,308 | | |
Derivative Type | | | Unrealized appreciation on futures contracts | | | Unrealized depreciation on futures contracts | | ||||||
Interest rate contracts | | | | $ | 13,177* | | | | | $ | (1,270) | | |
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 | | | | $ | (18,155) | | | | | $ | 15,368 | | |
| | | Average Notional Amount | | |||
Futures contracts – Long | | | | $ | 1,377,501 | | |
Futures contracts – Short | | | | $ | 3,578,241 | | |
New York, New York
| | | Beginning account value 7/1/16 | | | Ending account value 12/31/16 | | | Expenses paid during the period 7/1/16 thru 12/31/16* | | |||||||||
Actual | | | | | |||||||||||||||
Value Line Core Bond Fund | | | | $ | 1,000.00 | | | | | $ | 977.20 | | | | | $ | 4.92 | | |
The Value Line Tax Exempt Fund, Inc | | | | | 1,000.00 | | | | | | 963.10 | | | | | | 2.96 | | |
Hypothetical (5% return before expenses) | | | | | |||||||||||||||
Value Line Core Bond Fund | | | | | 1,000.00 | | | | | | 1,020.16 | | | | | | 5.03 | | |
The Value Line Tax Exempt Fund, Inc | | | | | 1,000.00 | | | | | | 1,022.12 | | | | | | 3.05 | | |
Fund | | | % of Qualifying Dividend Income | | | % of Dividends Eligible for the Corporate Dividends Received Deduction | | | Exempt Interest Dividends | | | Long-Term Capital Gains | | ||||||||||||
Value Line Core Bond Fund | | | | | 0.00% | | | | | | 0.00% | | | | | | 0.00% | | | | | $ | 0.00 | | |
The Value Line Tax Exempt Fund, Inc. | | | | | 0.00 | | | | | | 0.00 | | | | | | 99.90 | | | | | | 0.00 | | |
Name, Address, and Age | | | Position | | | Length of Time Served | | | Principal Occupations During the Past 5 Years | | | Number of Portfolios in Fund Complex Overseen by Director | | | Other Directorships Held by Director During the Past 5 Years | |
Interested Director* | | | | | | | ||||||||||
Mitchell E. Appel Age: 46 | | | 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: 60 | | | Director | | | Since 2008 | | | President, Meridian Fund Advisers LLC (consultants) since 2009. | | | 12 | | | None | |
James E. Hillman Age: 59 | | | Director (Chair of the Board of the Value Line Funds since April 2016) | | | Since 2015 | | | Chief Financial Officer, Notre Dame School of Manhattan since 2011; Director and Principal Financial Officer, Merrill Lynch Global Wealth Management, 2006-2011. | | | 13 | | | Miller/Howard Funds Trust (2014–present) | |
Michael Kuritzkes Age: 56 | | | 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, Digital First Media, LLC, 2012-2013. Executive Vice President and General Counsel, Philadelphia Media LLC, 2010-2012. | | | 12 | | | None | |
Paul Craig Roberts Age: 77 | | | 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: 67 | | | Director | | | Since 1996 | | | Independent Trustee and Managing Member, NBS Consulting LLC since November 2014; Senior Financial Consultant, Veritable, L.P. (investment advisor) until December 2013. | | | 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 | |
Officers | | | | | | | ||||||||||
Mitchell E. Appel Age: 46 | | | 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: 66 | | | 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: 38 | | | 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. | | | | | | | |
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 2016 - $15,053 |
Audit Fees for the year ended December 2015 - $23,208
(b) | Audit-Related fees – None. |
(c) | Tax Preparation for the year ended December Fees 2016 - $7,631 |
Tax Preparation for the year ended December Fees 2015 - $7,226
(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 2016 - None |
Aggregate Non-Audit for the year ended December Fees 2015 - 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 99.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 8, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Mitchell E. Appel | |
Mitchell E. Appel, President, Principal Executive Officer | ||
By: | /s/ Emily D. Washington | |
Emily D. Washington, Treasurer, Principal Financial Officer |
Date: | March 8, 2017 |