Value Line Core Bond Fund
Schedule of Investments (unaudited)
Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (5.1%) | ||||||||
325,000 | Ally Auto Receivables Trust, Series 2017-3, Class A4, 2.01%, 3/15/22 | 324,855 | ||||||
170,000 | BMW Vehicle Lease Trust, Series 2019-1, Class A4, 2.92%, 8/22/22 | 171,907 | ||||||
200,000 | Capital One Multi-Asset Execution Trust, Series 2015-A2, Class A2, 2.08%, 3/15/23 | 199,868 | ||||||
41,732 | CarMax Auto Owner Trust, Series 2016-4, Class A3, 1.40%, 8/15/21 | 41,641 | ||||||
225,000 | Chase Issuance Trust, Series 2012-A7, Class A7, 2.16%, 9/15/24 | 229,692 | ||||||
300,000 | Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1, 2.88%, 1/23/23 | 302,607 | ||||||
87,321 | Daimler Trucks Retail Trust, Series 2018-1, Class A3, 2.85%, 7/15/21 (1) | 87,164 | ||||||
200,000 | Discover Card Execution Note Trust, Series 2015-A4, Class A4, 2.19%, 4/17/23 | 197,660 | ||||||
132,894 | Ford Credit Auto Owner Trust, Series 2016-C, Class A4, 1.40%, 2/15/22 | 132,534 | ||||||
100,000 | Ford Credit Auto Owner Trust, Series 2015-2, Class A, 2.44%, 1/15/27 (1) | 99,070 | ||||||
150,000 | GMF Floorplan Owner Revolving Trust, Series 2017-2, Class A1, 2.13%, 7/15/22 (1) | 149,545 | ||||||
330,000 | GMF Floorplan Owner Revolving Trust, Series 2018-2, Class A1, 3.13%, 3/15/23 (1) | 329,348 | ||||||
42,683 | Honda Auto Receivables Owner Trust, Series 2017-4, Class A3, 2.05%, 11/22/21 | 42,676 | ||||||
211,812 | Hyundai Auto Lease Securitization Trust, Series 2017-C, Class A4, 2.21%, 9/15/21 (1) | 211,679 | ||||||
200,000 | Hyundai Auto Lease Securitization Trust, Series 2019-A, Class A4, 3.05%, 12/15/22 (1) | 198,645 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost $2,697,298) (5.1%) | 2,718,891 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (10.8%) | ||||||||
250,000 | BANK, Series 2017-BNK8, Class A4, 3.49%, 11/15/50 | 267,950 | ||||||
150,000 | BANK, Series 2019-BN17, Class A4, 3.71%, 4/15/52 | 164,001 | ||||||
322,228 | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class AAB, 3.37%, 10/10/47 | 328,480 | ||||||
150,000 | COMM Mortgage Trust, Series 2014-UBS2, Class AM, 4.20%, 3/10/47 | 153,571 | ||||||
150,000 | COMM Mortgage Trust, Series 2015-PC1, Class AM, 4.29%, 7/10/50 (2) | 155,042 | ||||||
200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2, 3.32%, 2/25/23 | 210,786 | ||||||
200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K726, Class A2, 2.91%, 4/25/24 | 210,130 | ||||||
300,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K069, Class A2, 3.19%, 9/25/27 (2) | 337,291 | ||||||
250,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class A2, 3.29%, 11/25/27 | 283,334 | ||||||
250,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K074, Class A2, 3.60%, 1/25/28 | 288,109 | ||||||
200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K088, Class A2, 3.69%, 1/25/29 | 234,807 | ||||||
250,000 | FREMF Mortgage Trust, Series 2013-K24, Class B, 3.50%, 11/25/45 (1)(2) | 246,576 | ||||||
36,919 | FREMF Mortgage Trust, Series 2013-K713, Class B, 3.49%, 4/25/46 (1)(2) | 36,831 | ||||||
150,000 | FREMF Mortgage Trust, Series 2013-K34, Class B, 3.73%, 9/25/46 (1)(2) | 147,571 | ||||||
200,000 | FREMF Mortgage Trust, Series 2014-K717, Class B, 3.63%, 11/25/47 (1)(2) | 198,620 | ||||||
200,000 | FREMF Mortgage Trust, Series 2015-K43, Class B, 3.73%, 2/25/48 (1)(2) | 194,090 | ||||||
239,986 | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | 238,441 | ||||||
247,477 | GNMA, Series 2012-125, Class AB, 2.11%, 2/16/53 (2) | 246,580 | ||||||
197,976 | GS Mortgage Securities Trust, Series 2012-GCJ7, Class A4, 3.38%, 5/10/45 | 199,856 | ||||||
57,459 | GS Mortgage Securities Trust, Series 2015-GC32, Class A2, 3.06%, 7/10/48 | 57,359 | ||||||
250,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4, 3.25%, 2/15/48 | 254,641 | ||||||
65,329 | Sequoia Mortgage Trust, Series 2004-8, Class A1, 1-month LIBOR + 0.70%, 1.47%, 9/20/34 (2) | 58,703 | ||||||
180,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C34, Class A4, 3.10%, 6/15/49 | 185,668 | ||||||
280,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-LC24, Class A4, 2.94%, 10/15/49 | 288,731 | ||||||
142,122 | Wells Fargo Commercial Mortgage Trust, Series 2017-C40, Class A1, 2.11%, 10/15/50 | 141,847 | ||||||
100,000 | Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class ASB, 3.64%, 5/15/52 | 107,259 | ||||||
100,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class ASB, 3.46%, 7/15/58 | 102,710 | ||||||
198,179 | WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4, 3.67%, 11/15/44 | 201,230 |
1
March 31, 2020
Principal Amount | Value | |||||||
197,107 | WFRBS Commercial Mortgage Trust, Series 2012-C6, Class A4, 3.44%, 4/15/45 | 198,543 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $5,617,935) (10.8%) | 5,738,757 | |||||||
CORPORATE BONDS & NOTES (32.8%) | ||||||||
BASIC MATERIALS (0.8%) | ||||||||
CHEMICALS (0.8%) | ||||||||
125,000 | Celanese U.S. Holdings LLC, Guaranteed Notes, 4.63%, 11/15/22 | 121,704 | ||||||
125,000 | FMC Corp., Senior Unsecured Notes, 3.45%, 10/1/29 | 118,060 | ||||||
175,000 | LYB International Finance B.V., Guaranteed Notes, 4.00%, 7/15/23 | 178,724 | ||||||
418,488 | ||||||||
COMMUNICATIONS (3.9%) | ||||||||
ADVERTISING (0.2%) | ||||||||
125,000 | Omnicom Group, Inc., Senior Unsecured Notes, 2.45%, 4/30/30 | 113,496 | ||||||
INTERNET (0.3%) | ||||||||
150,000 | Netflix, Inc., Senior Unsecured Notes, 4.88%, 4/15/28 (3) | 154,500 | ||||||
MEDIA (1.2%) | ||||||||
175,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.91%, 7/23/25 | 185,779 | ||||||
275,000 | Comcast Corp., Guaranteed Notes, 4.15%, 10/15/28 | 308,773 | ||||||
150,000 | Discovery Communications LLC, Guaranteed Notes, 4.90%, 3/11/26 | 156,055 | ||||||
650,607 | ||||||||
TELECOMMUNICATIONS (2.2%) | ||||||||
200,000 | AT&T, Inc., Senior Unsecured Notes, 3.80%, 3/1/24 | 209,046 | ||||||
200,000 | AT&T, Inc., Senior Unsecured Notes, 3.80%, 2/15/27 | 208,703 | ||||||
200,000 | Motorola Solutions, Inc., Senior Unsecured Notes, 4.60%, 5/23/29 | 201,720 | ||||||
150,000 | Rogers Communications, Inc., Guaranteed Notes, 4.50%, 3/15/43 | 170,981 | ||||||
175,000 | Verizon Communications, Inc., Senior Unsecured Notes, 4.50%, 8/10/33 | 206,275 | ||||||
150,000 | Vodafone Group PLC, Senior Unsecured Notes, 4.25%, 9/17/50 (3) | 154,176 | ||||||
1,150,901 | ||||||||
2,069,504 | ||||||||
CONSUMER, CYCLICAL (1.3%) | ||||||||
AUTO MANUFACTURERS (0.3%) | ||||||||
200,000 | General Motors Financial Co., Inc., Guaranteed Notes, 3.70%, 5/9/23 | 179,898 | ||||||
AUTO PARTS & EQUIPMENT (0.2%) | ||||||||
150,000 | Dana, Inc., Senior Unsecured Notes, 5.50%, 12/15/24 | 130,876 | ||||||
HOME BUILDERS (0.2%) | ||||||||
100,000 | Toll Brothers Finance Corp., Guaranteed Notes, 4.88%, 11/15/25 | 95,000 | ||||||
HOME FURNISHINGS (0.4%) | ||||||||
200,000 | Whirlpool Corp., Senior Unsecured Notes, 3.70%, 5/1/25 | 194,248 | ||||||
LODGING (0.2%) | ||||||||
125,000 | Choice Hotels International, Inc., Senior Unsecured Notes, 3.70%, 12/1/29 | 100,000 | ||||||
700,022 | ||||||||
CONSUMER, NON-CYCLICAL (3.3%) | ||||||||
BEVERAGES (0.9%) | ||||||||
125,000 | Anheuser-Busch InBev Worldwide, Inc., Guaranteed Notes, 4.90%, 1/23/31 | 138,536 | ||||||
175,000 | Coca-Cola Femsa S.A.B. de C.V., Guaranteed Notes, 2.75%, 1/22/30 | 170,971 | ||||||
150,000 | Constellation Brands, Inc., Guaranteed Notes, 5.25%, 11/15/48 | 158,710 | ||||||
468,217 | ||||||||
COMMERCIAL SERVICES (0.4%) | ||||||||
200,000 | Global Payments, Inc., Senior Unsecured Notes, 4.80%, 4/1/26 | 199,006 | ||||||
HEALTHCARE PRODUCTS (0.9%) | ||||||||
213,000 | Abbott Laboratories, Senior Unsecured Notes, 3.75%, 11/30/26 | 237,709 | ||||||
225,000 | Boston Scientific Corp., Senior Unsecured Notes, 3.75%, 3/1/26 | 235,959 | ||||||
473,668 | ||||||||
HEALTHCARE SERVICES (0.6%) | ||||||||
150,000 | Humana, Inc., Senior Unsecured Notes, 3.95%, 3/15/27 (3) | 152,190 | ||||||
150,000 | UnitedHealth Group, Inc., Senior Unsecured Notes, 2.88%, 12/15/21 (3) | 152,892 | ||||||
305,082 | ||||||||
PHARMACEUTICALS (0.5%) | ||||||||
100,000 | AbbVie, Inc., Senior Unsecured Notes, 2.95%, 11/21/26 (1) | 100,459 | ||||||
150,000 | Bristol-Myers Squibb Co., Senior Unsecured Notes, 5.25%, 8/15/43 (1) | 203,743 | ||||||
304,202 | ||||||||
1,750,175 | ||||||||
ENERGY (1.1%) | ||||||||
OIL & GAS (0.4%) | ||||||||
100,000 | Murphy Oil Corp., Senior Unsecured Notes, 5.75%, 8/15/25 | 53,510 | ||||||
150,000 | Valero Energy Corp., Senior Unsecured Notes, 6.63%, 6/15/37 | 157,269 | ||||||
210,779 |
2
Schedule of Investments (unaudited) (continued)
Principal Amount | Value | |||||||
PIPELINES (0.7%) | ||||||||
250,000 | Kinder Morgan, Inc., Guaranteed Notes, 4.30%, 3/1/28 (3) | 245,143 | ||||||
150,000 | Magellan Midstream Partners L.P., Senior Unsecured Notes, 4.25%, 9/15/46 | 124,816 | ||||||
369,959 | ||||||||
580,738 | ||||||||
FINANCIAL (14.8%) | ||||||||
BANKS (8.1%) | ||||||||
200,000 | Australia & New Zealand Banking Group, Ltd., Subordinated Notes, 4.50%, 3/19/24 (1)(3) | 206,471 | ||||||
175,000 | Banco Bilbao Vizcaya Argentaria S.A., Senior Unsecured Notes, 3.00%, 10/20/20 | 173,823 | ||||||
200,000 | Bank of America Corp. GMTN, Senior Unsecured Notes, 3.50%, 4/19/26 | 212,430 | ||||||
250,000 | Bank of Nova Scotia (The), Senior Unsecured Notes, 2.70%, 8/3/26 | 252,071 | ||||||
150,000 | Citigroup, Inc., Senior Unsecured Notes, 3-month LIBOR + 0.90%, 3.35%, 4/24/25 (2) | 153,705 | ||||||
200,000 | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | 234,841 | ||||||
150,000 | Cooperatieve Rabobank UA MTN, Senior Unsecured Notes, 3.38%, 5/21/25 | 158,022 | ||||||
200,000 | Fifth Third Bancorp, Senior Unsecured Notes, 3.65%, 1/25/24 | 207,951 | ||||||
150,000 | Goldman Sachs Group, Inc. (The), Senior Unsecured Notes, 3.75%, 2/25/26 | 154,964 | ||||||
250,000 | HSBC Holdings PLC, Senior Unsecured Notes, 4.00%, 3/30/22 | 255,750 | ||||||
250,000 | Huntington Bancshares, Inc., Senior Unsecured Notes, 2.30%, 1/14/22 | 247,847 | ||||||
150,000 | ING Groep N.V., Senior Unsecured Notes, 4.10%, 10/2/23 | 153,945 | ||||||
200,000 | JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26 (3) | 215,083 | ||||||
150,000 | JPMorgan Chase & Co., Senior Unsecured Notes, 3-month LIBOR + 1.38%, 3.96%, 11/15/48 (2) | 173,556 | ||||||
250,000 | Kreditanstalt fuer Wiederaufbau, Guaranteed Notes, 2.63%, 4/12/21 | 255,325 | ||||||
150,000 | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.90%, 3/12/24 | 151,796 | ||||||
150,000 | Morgan Stanley, Series F, Senior Unsecured Notes, 3.88%, 4/29/24 | 157,587 | ||||||
250,000 | Societe Generale S.A., Senior Unsecured Notes, 5.20%, 4/15/21 (3) | 255,124 | ||||||
200,000 | Svenska Handelsbanken AB, Guaranteed Notes, 3.35%, 5/24/21 | 202,403 | ||||||
250,000 | Wells Fargo & Co., Senior Unsecured Notes, 3.07%, 1/24/23 | 252,645 | ||||||
250,000 | Zions Bancorp NA, Subordinated Notes, 3.25%, 10/29/29 | 211,864 | ||||||
4,287,203 | ||||||||
DIVERSIFIED FINANCIAL SERVICES (2.0%) | ||||||||
175,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Guaranteed Notes, 4.45%, 4/3/26 | 143,071 | ||||||
100,000 | Air Lease Corp., Senior Unsecured Notes, 3.63%, 4/1/27 | 83,991 | ||||||
150,000 | Aircastle, Ltd., Senior Unsecured Notes, 4.40%, 9/25/23 | 143,447 | ||||||
100,000 | BlackRock, Inc., Senior Unsecured Notes, 2.40%, 4/30/30 | 99,631 | ||||||
150,000 | Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24 | 152,296 | ||||||
100,000 | ORIX Corp., Senior Unsecured Notes, 3.25%, 12/4/24 | 104,563 | ||||||
200,000 | Stifel Financial Corp., Senior Unsecured Notes, 4.25%, 7/18/24 (3) | 203,458 | ||||||
150,000 | Synchrony Financial, Senior Unsecured Notes, 2.85%, 7/25/22 | 142,419 | ||||||
1,072,876 | ||||||||
INSURANCE (2.0%) | ||||||||
200,000 | American International Group, Inc., Senior Unsecured Notes, 4.88%, 6/1/22 | 205,283 | ||||||
150,000 | Aon Corp., Guaranteed Notes, 3.75%, 5/2/29 | 158,071 | ||||||
225,000 | CNA Financial Corp., Senior Unsecured Notes, 3.95%, 5/15/24 | 232,683 | ||||||
175,000 | PartnerRe Finance B LLC, Guaranteed Notes, 3.70%, 7/2/29 | 196,893 | ||||||
150,000 | Prudential Financial, Inc., Junior Subordinated Notes, 3-month LIBOR + 2.67%, 5.70%, 9/15/48 (2)(3) | 138,750 | ||||||
125,000 | Willis North America, Inc., Guaranteed Notes, 2.95%, 9/15/29 | 118,686 | ||||||
1,050,366 | ||||||||
REITS (2.7%) | ||||||||
150,000 | American Tower Corp., Senior Unsecured Notes, 3.70%, 10/15/49 | 138,284 | ||||||
100,000 | AvalonBay Communities, Inc. GMTN, Senior Unsecured Notes, 3.45%, 6/1/25 | 102,590 | ||||||
150,000 | Digital Realty Trust L.P., Guaranteed Notes, 3.60%, 7/1/29 | 146,205 | ||||||
200,000 | EPR Properties, Guaranteed Notes, 5.25%, 7/15/23 | 186,307 | ||||||
250,000 | Essex Portfolio L.P., Guaranteed Notes, 3.38%, 1/15/23 | 250,294 | ||||||
125,000 | iStar, Inc., Senior Unsecured Notes, 5.25%, 9/15/22 | 115,312 | ||||||
150,000 | Sabra Health Care L.P., Guaranteed Notes, 3.90%, 10/15/29 | 134,048 | ||||||
175,000 | Ventas Realty L.P., Guaranteed Notes, 4.40%, 1/15/29 | 174,682 | ||||||
175,000 | Welltower, Inc., Senior Unsecured Notes, 4.25%, 4/15/28 | 176,322 | ||||||
1,424,044 | ||||||||
7,834,489 |
3
March 31, 2020
Principal Amount | Value | |||||||
INDUSTRIAL (2.2%) | ||||||||
AEROSPACE & DEFENSE (0.6%) | ||||||||
150,000 | L3Harris Technologies, Inc., Senior Unsecured Notes, 4.40%, 6/15/28 | 159,674 | ||||||
150,000 | United Technologies Corp., Senior Unsecured Notes, 4.13%, 11/16/28 | 164,663 | ||||||
324,337 | ||||||||
BUILDING MATERIALS (0.3%) | ||||||||
100,000 | Owens Corning, Senior Unsecured Notes, 4.20%, 12/15/22 | 99,317 | ||||||
100,000 | Owens Corning, Senior Unsecured Notes, 3.95%, 8/15/29 | 94,400 | ||||||
193,717 | ||||||||
ELECTRONICS (0.3%) | ||||||||
150,000 | Keysight Technologies, Inc., Senior Unsecured Notes, 3.00%, 10/30/29 | 141,553 | ||||||
MISCELLANEOUS MANUFACTURERS (0.7%) | ||||||||
150,000 | Ingersoll-Rand Luxembourg Finance S.A., Guaranteed Notes, 4.50%, 3/21/49 | 167,514 | ||||||
200,000 | Textron, Inc., Senior Unsecured Notes, 3.88%, 3/1/25 | 199,980 | ||||||
367,494 | ||||||||
PACKAGING & CONTAINERS (0.3%) | ||||||||
150,000 | WRKCo, Inc., Guaranteed Notes, 3.90%, 6/1/28 | 149,542 | ||||||
1,176,643 | ||||||||
TECHNOLOGY (1.7%) | ||||||||
SEMICONDUCTORS (0.6%) | ||||||||
150,000 | KLA Corp., Senior Unsecured Notes, 4.10%, 3/15/29 | 157,562 | ||||||
125,000 | Lam Research Corp., Senior Unsecured Notes, 4.00%, 3/15/29 | 138,231 | ||||||
295,793 | ||||||||
SOFTWARE (1.1%) | ||||||||
100,000 | Adobe, Inc., Senior Unsecured Notes, 2.30%, 2/1/30 | 100,134 | ||||||
125,000 | Electronic Arts, Inc., Senior Unsecured Notes, 4.80%, 3/1/26 | 132,131 | ||||||
200,000 | Fiserv, Inc., Senior Unsecured Notes, 3.50%, 7/1/29 | 208,038 | ||||||
150,000 | Oracle Corp., Senior Unsecured Notes, 2.95%, 4/1/30 | 151,033 | ||||||
591,336 | ||||||||
887,129 | ||||||||
UTILITIES (3.7%) | ||||||||
ELECTRIC (3.4%) | ||||||||
175,000 | CenterPoint Energy, Inc., Senior Unsecured Notes, 2.95%, 3/1/30 | 165,568 | ||||||
200,000 | Consolidated Edison Co. of New York, Inc., Senior Unsecured Notes, 4.50%, 12/1/45 | 221,321 | ||||||
200,000 | Dominion Energy, Inc., Senior Unsecured Notes, 4.25%, 6/1/28 | 208,998 | ||||||
250,000 | Florida Power & Light Co., 4.95%, 6/1/35 | 307,059 | ||||||
200,000 | Indiana Michigan Power Co., Senior Unsecured Notes, 4.25%, 8/15/48 | 226,012 | ||||||
200,000 | ITC Holdings Corp., Senior Unsecured Notes, 3.25%, 6/30/26 | 203,228 | ||||||
200,000 | National Rural Utilities Cooperative Finance Corp., 3.70%, 3/15/29 | 224,022 | ||||||
150,000 | Public Service Enterprise Group, Inc., Senior Unsecured Notes, 2.88%, 6/15/24 (3) | 149,529 | ||||||
125,000 | Southern Power Co., Series E, Senior Unsecured Notes, 2.50%, 12/15/21 | 122,951 | ||||||
1,828,688 | ||||||||
GAS (0.3%) | ||||||||
150,000 | National Fuel Gas Co., Senior Unsecured Notes, 5.20%, 7/15/25 | 134,742 | ||||||
1,963,430 | ||||||||
TOTAL CORPORATE BONDS & NOTES (Cost $17,448,282) (32.8%) | 17,380,618 | |||||||
FOREIGN GOVERNMENT OBLIGATIONS (1.3%) | ||||||||
200,000 | European Bank for Reconstruction & Development GMTN, Senior Unsecured Notes, 2.75%, 3/7/23 | 211,932 | ||||||
150,000 | Export-Import Bank of Korea, Senior Unsecured Notes, 3.00%, 11/1/22 | 155,917 | ||||||
175,000 | Mexico Government International Bond, Senior Unsecured Notes, 4.15%, 3/28/27 | 177,537 | ||||||
150,000 | Panama Government International Bond, Senior Unsecured Notes, 4.00%, 9/22/24 | 155,250 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $676,737) (1.3%) | 700,636 | |||||||
LONG-TERM MUNICIPAL SECURITIES (4.0%) | ||||||||
CALIFORNIA (0.6%) | ||||||||
200,000 | San Marcos California Unified School District, Refunding Revenue Bonds, 3.17%, 8/1/38 | 207,594 | ||||||
85,000 | University of California, Taxable General Revenue Bonds, Series AG, 4.06%, 5/15/33 | 90,093 | ||||||
297,687 | ||||||||
DISTRICT OF COLUMBIA (0.5%) | ||||||||
250,000 | District of Columbia Income Tax Secured Revenue Bonds, Build America Bonds, 4.91%, 12/1/23 | 280,443 | ||||||
KANSAS (0.2%) | ||||||||
125,000 | Leavenworth County Unified School District No. 469, General Obligation Limited, BAM Insured, 2.87%, 9/1/38 | 122,815 |
4
Schedule of Investments (unaudited) (continued)
Principal Amount | Value | |||||||
MICHIGAN (0.4%) | ||||||||
200,000 | Lincoln Consolidated School District, General Obligation Limited, Series B, 4.32%, 5/1/37 | 216,592 | ||||||
NEW YORK (0.4%) | ||||||||
225,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate Bonds, Revenue Bonds, 2.63%, 2/1/23 | 231,399 | ||||||
TEXAS (1.6%) | ||||||||
250,000 | Dallas Independent School District Qualified School Construction Notes, General Obligation Limited, 5.05%, 8/15/33 | 277,197 | ||||||
500,000 | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | 583,800 | ||||||
860,997 | ||||||||
WASHINGTON (0.3%) | ||||||||
125,000 | Grant County Public Utility District No 2 Priest Rapids Hydroelectric Project, Revenue Bonds, 3.31%, 1/1/43 | 126,626 | ||||||
TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $2,008,588) (4.0%) | 2,136,559 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (19.6%) | ||||||||
53,853 | FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35 | 58,027 | ||||||
281,092 | FHLMC Gold PC Pool #A95803, 4.00%, 12/1/40 | 303,566 | ||||||
58,575 | FHLMC Gold PC Pool #A97264, 4.00%, 2/1/41 | 63,222 | ||||||
183,128 | FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34 | 199,800 | ||||||
102,910 | FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41 | 110,295 | ||||||
168,001 | FHLMC Gold PC Pool #G08761, 3.50%, 5/1/47 | 177,974 | ||||||
69,328 | FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25 | 72,918 | ||||||
55,057 | FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42 | 59,020 | ||||||
61,804 | FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42 | 66,423 | ||||||
93,240 | FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42 | 100,047 | ||||||
223,518 | FHLMC Gold PC Pool #Q11556, 3.00%, 10/1/42 | 234,843 | ||||||
234,588 | FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43 | 248,024 | ||||||
313,961 | FHLMC Gold Pool #Q34167, 4.00%, 6/1/45 | 337,814 | ||||||
370,841 | FHLMC Gold Pool #Q57991, 4.00%, 8/1/48 | 395,355 | ||||||
289,592 | FHLMC Pool #SD8000, 3.00%, 7/1/49 | 303,333 | ||||||
449,955 | FHLMC Pool #SD8023, 2.50%, 11/1/49 | 466,179 | ||||||
240,414 | FHLMC Pool #ZT1594, 4.00%, 1/1/49 | 256,002 | ||||||
353,104 | FHLMC Pool #ZT1951, 3.50%, 5/1/49 | 372,459 | ||||||
250,000 | FNMA, 2.38%, 1/19/23 | 263,475 | ||||||
250,000 | FNMA, 2.63%, 9/6/24 | 272,663 | ||||||
540,000 | FNMA, 1.88%, 9/24/26 | 574,471 | ||||||
129,094 | FNMA Pool #AB2346, 4.50%, 2/1/41 | 141,417 | ||||||
96,828 | FNMA Pool #AB5231, 2.50%, 5/1/27 | 100,500 | ||||||
103,152 | FNMA Pool #AB5716, 3.00%, 7/1/27 | 108,113 | ||||||
168,569 | FNMA Pool #AB8144, 5.00%, 4/1/37 | 187,272 | ||||||
119,024 | FNMA Pool #AI4285, 5.00%, 6/1/41 | 131,559 | ||||||
76,146 | FNMA Pool #AJ5888, 4.50%, 11/1/41 | 82,737 | ||||||
175,953 | FNMA Pool #AQ0287, 3.00%, 10/1/42 | 185,993 | ||||||
310,235 | FNMA Pool #AR6394, 3.00%, 2/1/43 | 327,940 | ||||||
267,389 | FNMA Pool #AS5892, 3.50%, 10/1/45 | 284,756 | ||||||
82,024 | FNMA Pool #AS6102, 3.50%, 11/1/45 | 87,351 | ||||||
146,964 | FNMA Pool #AS6205, 3.50%, 11/1/45 | 156,509 | ||||||
101,962 | FNMA Pool #AS6385, 4.00%, 12/1/45 | 109,605 | ||||||
211,493 | FNMA Pool #AS9459, 4.50%, 4/1/47 | 230,211 | ||||||
160,593 | FNMA Pool #AS9562, 3.00%, 5/1/47 | 169,233 | ||||||
154,792 | FNMA Pool #AU1847, 3.00%, 9/1/43 | 163,616 | ||||||
162,290 | FNMA Pool #AU4279, 3.00%, 9/1/43 | 173,145 | ||||||
193,986 | FNMA Pool #AV0703, 4.00%, 12/1/43 | 209,628 | ||||||
83,675 | FNMA Pool #AW7362, 2.50%, 8/1/29 | 86,860 | ||||||
143,971 | FNMA Pool #AX0416, 4.00%, 8/1/44 | 155,609 | ||||||
129,065 | FNMA Pool #AX9013, 3.50%, 2/1/45 | 137,465 | ||||||
123,536 | FNMA Pool #AY1670, 3.50%, 2/1/45 | 131,873 | ||||||
76,883 | FNMA Pool #AY2728, 2.50%, 2/1/30 | 79,821 | ||||||
107,965 | FNMA Pool #AY4195, 4.00%, 5/1/45 | 116,693 | ||||||
151,164 | FNMA Pool #BA3885, 3.50%, 11/1/45 | 160,981 | ||||||
198,081 | FNMA Pool #BD8213, 3.00%, 9/1/46 | 209,126 | ||||||
249,975 | FNMA Pool #CA4073, 3.00%, 9/1/49 | 261,890 | ||||||
143,701 | FNMA Pool #MA0641, 4.00%, 2/1/31 | 156,691 | ||||||
195,222 | FNMA Pool #MA3238, 3.50%, 1/1/48 | 206,101 | ||||||
295,611 | FNMA Pool #MA3614, 3.50%, 3/1/49 | 311,940 | ||||||
206,445 | FNMA Pool #MA3637, 3.50%, 4/1/49 | 217,824 | ||||||
49,835 | FNMA REMIC Trust Series 2013-18, Class AE, 2.00%, 3/25/28 | 51,115 | ||||||
14 | GNAM II Pool #MA5816, 3.50%, 3/20/49 | 15 | ||||||
60,530 | GNMA, Series 2011-136, Class GB, 2.50%, 5/20/40 | 62,395 | ||||||
85,892 | GNMA II Pool #5332, 4.00%, 3/20/42 | 93,636 | ||||||
92,215 | GNMA II Pool #MA1520, 3.00%, 12/20/43 | 99,003 | ||||||
60,370 | GNMA II Pool #MA2445, 3.50%, 12/20/44 | 64,184 | ||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $10,030,501) (19.6%) | 10,388,717 | |||||||
U.S. TREASURY OBLIGATIONS (19.2%) | ||||||||
U.S. TREASURY NOTES & BONDS (19.2%) | ||||||||
120,000 | U.S. Treasury Bonds, 5.38%, 2/15/31 (3) | 178,266 | ||||||
500,000 | U.S. Treasury Bonds, 4.38%, 2/15/38 | 779,863 | ||||||
230,000 | U.S. Treasury Bonds, 3.50%, 2/15/39 | 327,678 | ||||||
321,000 | U.S. Treasury Bonds, 3.88%, 8/15/40 | 481,788 | ||||||
1,589,000 | U.S. Treasury Bonds, 3.00%, 2/15/48 | 2,205,979 |
5
March 31, 2020
Principal Amount | Value | |||||||
325,000 | U.S. Treasury Bonds, 2.25%, 8/15/49 (3) | 395,929 | ||||||
600,000 | U.S. Treasury Notes, 1.75%, 2/28/22 | 617,531 | ||||||
860,000 | U.S. Treasury Notes, 1.38%, 6/30/23 | 889,630 | ||||||
1,605,000 | U.S. Treasury Notes, 2.25%, 11/15/24 | 1,742,804 | ||||||
400,000 | U.S. Treasury Notes, 2.13%, 5/31/26 | 439,063 | ||||||
250,000 | U.S. Treasury Notes, 1.50%, 8/15/26 | 265,400 | ||||||
350,000 | U.S. Treasury Notes, 1.13%, 2/28/27 (3) | 363,658 | ||||||
815,000 | U.S. Treasury Notes, 2.75%, 2/15/28 | 950,112 | ||||||
500,000 | U.S. Treasury Notes, 1.63%, 8/15/29 | 542,676 | ||||||
TOTAL U.S. TREASURY NOTES & BONDS (Cost $8,724,388) (19.2%) | 10,180,377 | |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $8,724,388) (19.2%) | 10,180,377 |
Shares | Value | |||||||
SHORT-TERM INVESTMENTS (11.3%) | ||||||||
MONEY MARKET FUNDS (11.3%) | ||||||||
3,690,804 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.321% (4) | 3,690,804 | ||||||
2,319,910 | State Street Navigator Securities Lending Government Money Market Portfolio (5) | 2,319,910 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,010,714) (11.3%) | 6,010,714 | |||||||
TOTAL INVESTMENT SECURITIES (104.1%) (Cost $53,214,443) | $ | 55,255,269 | ||||||
EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (-4.1%) | (2,163,624 | ) | ||||||
NET ASSETS (6) (100%) | $ | 53,091,645 |
(1) | Pursuant to Rule 144A under the Securities Act of 1933, this security can only be sold to qualified institutional investors. | |
(2) | The rate shown on floating rate and discount securities represents the yield or rate at the end of the reporting period. | |
(3) | A portion or all of the security was held on loan. As of March 31, 2020, the market value of the securities on loan was $2,287,906. | |
(4) | Rate reflects 7 day yield as of March 31, 2020. | |
(5) | Securities with an aggregate market value of $2,287,906 were out on loan in exchange for collateral including $2,319,910 of cash collateral as of March 31, 2020. The collateral was invested in a cash collateral reinvestment vehicle. | |
(6) | For federal income tax purposes, the aggregate cost was $53,214,443, aggregate gross unrealized appreciation was $2,690,572, aggregate gross unrealized depreciation was $649,746 and the net unrealized appreciation was $2,040,826. | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association. | |
FREMF | Finnish Real Estate Management Federation. | |
GMTN | Global Medium Term Note. | |
GNMA | Government National Mortgage Association. | |
LIBOR | London Interbank Offered Rate. | |
MTN | Medium Term Note. | |
REMIC | Real Estate Mortgage Investment Conduit. |
6
The Fund followsfair valuation accounting standards (FASB ASC 820-10) which establishes a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
• Level 1 – Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access at the measurement date;
• Level 2 – Inputs other than quoted prices that are observable for the asset or liability either directly or indirectly, including inputs in markets that are not considered to be active;
• Level 3 – Inputs that are unobservable.
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Fund's investments in securities as of March 31, 2020:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Asset-Backed Securities | $ | — | $ | 2,718,891 | $ | — | $ | 2,718,891 | |||||||||
Commercial Mortgage-Backed Securities | — | 5,738,757 | — | 5,738,757 | |||||||||||||
Corporate Bonds & Notes* | — | 17,380,618 | — | 17,380,618 | |||||||||||||
Foreign Government Obligations | — | 700,636 | — | 700,636 | |||||||||||||
Long-Term Municipal Securities* | — | 2,136,559 | — | 2,136,559 | |||||||||||||
U.S. Government Agency Obligations | — | 10,388,717 | — | 10,388,717 | |||||||||||||
U.S. Treasury Obligations | — | 10,180,377 | — | 10,180,377 | |||||||||||||
Short-Term Investments | 6,010,714 | — | — | 6,010,714 | |||||||||||||
Total Investments in Securities | $ | 6,010,714 | $ | 49,244,555 | $ | — | $ | 55,255,269 |
* See Schedule of Investments for further classification.
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation techniques used.
During the period ended March 31, 2020, there were no Level 3 investments. The Schedule of Investments includes a breakdown of the Fund’s investments by category.