Value Line Core Bond Fund
Schedule of Investments (unaudited)
Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES 2.4% | ||||||||
170,000 | BMW Vehicle Lease Trust, Series 2019-1, Class A4, 2.92%, 8/22/22 | $ | 170,835 | |||||
100,000 | Chase Issuance Trust, Series 2012-A7, Class A7, 2.16%, 9/15/24 | 102,780 | ||||||
220,000 | Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.19%, 7/15/31 (1) | 237,040 | ||||||
200,000 | Hyundai Auto Lease Securitization Trust, Series 2019-A, Class A4, 3.05%, 12/15/22 (1) | 201,811 | ||||||
68,000 | Mercedes-Benz Auto Lease Trust, Series 2020-A, Class A3, 1.84%, 12/15/22 | 68,730 | ||||||
450,000 | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 5/25/33 (1) | 456,394 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost $1,246,861) | 1,237,590 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 10.6% | ||||||||
250,000 | BANK, Series 2017-BNK8, Class A4, 3.49%, 11/15/50 | 272,981 | ||||||
150,000 | BANK, Series 2019-BN17, Class A4, 3.71%, 4/15/52 | 164,914 | ||||||
252,585 | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class AAB, 3.37%, 10/10/47 | 263,262 | ||||||
150,000 | COMM Mortgage Trust, Series 2014-UBS2, Class AM, 4.20%, 3/10/47 | 161,604 | ||||||
200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2, 3.32%, 2/25/23 (2) | 210,141 | ||||||
180,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K058, Class A2, 2.65%, 8/25/26 | 192,776 | ||||||
250,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K061, Class A2, 3.35%, 11/25/26 (2) | 276,879 | ||||||
300,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K069, Class A2, 3.19%, 9/25/27 (2) | 330,375 | ||||||
250,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class A2, 3.29%, 11/25/27 | 276,832 | ||||||
250,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K074, Class A2, 3.60%, 1/25/28 | 281,674 | ||||||
200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K092, Class A2, 3.30%, 4/25/29 | 221,481 | ||||||
450,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K103, Class A2, 2.65%, 11/25/29 | 478,232 | ||||||
250,000 | FREMF Mortgage Trust, Series 2013-K24, Class B, 3.51%, 11/25/45 (1)(2) | 259,933 | ||||||
150,000 | FREMF Mortgage Trust, Series 2013-K34, Class B, 3.73%, 9/25/46 (1)(2) | 159,565 | ||||||
200,000 | FREMF Mortgage Trust, Series 2014-K717, Class B, 3.63%, 11/25/47 (1)(2) | 202,103 | ||||||
200,000 | FREMF Mortgage Trust, Series 2015-K43, Class B, 3.73%, 2/25/48 (1)(2) | 215,326 | ||||||
212,527 | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | 215,563 | ||||||
209,481 | GNMA, Series 2012-125, Class AB, 2.11%, 2/16/53 (2) | 213,682 | ||||||
151,764 | GS Mortgage Securities Trust, Series 2012-GCJ7, Class A4, 3.38%, 5/10/45 | 152,706 | ||||||
12,995 | GS Mortgage Securities Trust, Series 2015-GC32, Class A2, 3.06%, 7/10/48 | 12,993 | ||||||
53,314 | Sequoia Mortgage Trust, Series 2004-8, Class A1, (1-month LIBOR + 0.70)%, 0.81%, 9/20/34 (2) | 53,467 | ||||||
180,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C34, Class A4, 3.10%, 6/15/49 | 188,625 | ||||||
71,053 | Wells Fargo Commercial Mortgage Trust, Series 2017-C40, Class A1, 2.11%, 10/15/50 | 71,452 | ||||||
100,000 | Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class ASB, 3.64%, 5/15/52 | 110,384 | ||||||
80,706 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class ASB, 3.46%, 7/15/58 | 84,844 | ||||||
180,244 | WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4, 3.67%, 11/15/44 | 181,495 | ||||||
186,268 | WFRBS Commercial Mortgage Trust, Series 2012-C6, Class A4, 3.44%, 4/15/45 | 187,948 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $5,332,901) | 5,441,237 | |||||||
CORPORATE BONDS & NOTES 47.4% | ||||||||
BASIC MATERIALS 2.3% | ||||||||
CHEMICALS 1.3% | ||||||||
125,000 | Air Products and Chemicals, Inc., Senior Unsecured Notes, 2.05%, 5/15/30 | 122,942 | ||||||
175,000 | Celanese U.S. Holdings LLC, Guaranteed Notes, 4.63%, 11/15/22 | 185,438 | ||||||
100,000 | FMC Corp., Senior Unsecured Notes, 3.45%, 10/1/29 | 105,205 | ||||||
175,000 | LYB International Finance B.V., Guaranteed Notes, 4.00%, 7/15/23 | 188,144 | ||||||
100,000 | Nutrien, Ltd., Senior Unsecured Notes, 1.90%, 5/13/23 | 102,555 | ||||||
704,284 | ||||||||
IRON & STEEL 0.3% | ||||||||
150,000 | Steel Dynamics, Inc., Senior Unsecured Notes, 3.25%, 1/15/31 | 158,633 | ||||||
MINING 0.7% | ||||||||
120,000 | Rio Tinto Finance USA PLC, Guaranteed Notes, 4.13%, 8/21/42 (3) | 137,148 |
1
March 31, 2021
175,000 | Teck Resources, Ltd., Senior Unsecured Notes, 6.13%, 10/1/35 | $ | 214,343 | |||||
351,491 | ||||||||
1,214,408 | ||||||||
COMMUNICATIONS 4.0% | ||||||||
INTERNET 0.7% | ||||||||
100,000 | Alibaba Group Holding, Ltd., Senior Unsecured Notes, 3.60%, 11/28/24 | 108,557 | ||||||
100,000 | Expedia Group, Inc., Guaranteed Notes, 3.25%, 2/15/30 | 100,716 | ||||||
150,000 | Netflix, Inc., Senior Unsecured Notes, 4.88%, 4/15/28 | 170,537 | ||||||
379,810 | ||||||||
MEDIA 1.4% | ||||||||
175,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.91%, 7/23/25 | 198,478 | ||||||
175,000 | Comcast Corp., Guaranteed Notes, 4.15%, 10/15/28 | 200,218 | ||||||
125,000 | Discovery Communications LLC, Guaranteed Notes, 4.90%, 3/11/26 | 142,397 | ||||||
175,000 | Walt Disney Co. (The), Guaranteed Notes, 2.65%, 1/13/31 | 177,922 | ||||||
719,015 | ||||||||
TELECOMMUNICATIONS 1.9% | ||||||||
228,000 | AT&T, Inc., Senior Unsecured Notes, 2.55%, 12/1/33 (1) | 216,147 | ||||||
200,000 | Motorola Solutions, Inc., Senior Unsecured Notes, 4.60%, 5/23/29 | 226,726 | ||||||
165,000 | T-Mobile USA, Inc., Guaranteed Notes, 2.25%, 2/15/26 | 166,186 | ||||||
175,000 | Verizon Communications, Inc., Senior Unsecured Notes, 4.50%, 8/10/33 | 203,091 | ||||||
150,000 | Vodafone Group PLC, Senior Unsecured Notes, 4.25%, 9/17/50 | 164,752 | ||||||
976,902 | ||||||||
2,075,727 | ||||||||
CONSUMER, CYCLICAL 3.9% | ||||||||
AUTO MANUFACTURERS 1.0% | ||||||||
150,000 | Cummins, Inc., Senior Unsecured Notes, 1.50%, 9/1/30 (3) | 139,246 | ||||||
150,000 | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.38%, 11/13/25 | 152,550 | ||||||
200,000 | General Motors Financial Co., Inc., Guaranteed Notes, 3.70%, 5/9/23 | 210,643 | ||||||
502,439 | ||||||||
AUTO PARTS & EQUIPMENT 0.3% | ||||||||
150,000 | Dana, Inc., Senior Unsecured Notes, 5.50%, 12/15/24 | 153,030 | ||||||
HOME BUILDERS 1.3% | ||||||||
150,000 | D.R. Horton, Inc., Guaranteed Notes, 2.50%, 10/15/24 | 157,507 | ||||||
150,000 | Lennar Corp., Guaranteed Notes, 4.88%, 12/15/23 | 163,850 | ||||||
127,000 | PulteGroup, Inc., Guaranteed Notes, 5.00%, 1/15/27 (3) | 146,050 | ||||||
200,000 | Toll Brothers Finance Corp., Guaranteed Notes, 4.88%, 11/15/25 | 222,750 | ||||||
690,157 | ||||||||
HOME FURNISHINGS 0.4% | ||||||||
200,000 | Whirlpool Corp., Senior Unsecured Notes, 3.70%, 5/1/25 | 217,485 | ||||||
LODGING 0.3% | ||||||||
150,000 | Choice Hotels International, Inc., Senior Unsecured Notes, 3.70%, 12/1/29 | 157,194 | ||||||
Retail 0.6% | ||||||||
100,000 | AutoZone, Inc., Senior Unsecured Notes, 3.75%, 6/1/27 | 110,319 | ||||||
100,000 | Lowe's Cos., Inc., Senior Unsecured Notes, 1.70%, 10/15/30 | 93,858 | ||||||
100,000 | Walgreen Co., Guaranteed Notes, 3.10%, 9/15/22 | 103,648 | ||||||
307,825 | ||||||||
2,028,130 | ||||||||
CONSUMER, NON-CYCLICAL 10.8% | ||||||||
AGRICULTURE 0.4% | ||||||||
200,000 | Bunge, Ltd. Finance Corp., Guaranteed Notes, 3.25%, 8/15/26 (3) | 212,879 | ||||||
BEVERAGES 1.6% | ||||||||
125,000 | Anheuser-Busch InBev Worldwide, Inc., Guaranteed Notes, 4.90%, 1/23/31 (3) | 149,380 | ||||||
150,000 | Coca-Cola Co. (The), Senior Unsecured Notes, 1.45%, 6/1/27 (3) | 149,387 | ||||||
125,000 | Coca-Cola Femsa S.A.B. de C.V., Guaranteed Notes, 2.75%, 1/22/30 | 126,627 | ||||||
150,000 | Constellation Brands, Inc., Guaranteed Notes, 5.25%, 11/15/48 | 189,672 | ||||||
200,000 | Keurig Dr. Pepper, Inc., Guaranteed Notes, 3.20%, 5/1/30 | 211,480 | ||||||
826,546 | ||||||||
BIOTECHNOLOGY 0.8% | ||||||||
150,000 | Amgen, Inc., Senior Unsecured Notes, 2.20%, 2/21/27 | 153,789 | ||||||
100,000 | Illumina, Inc., Senior Unsecured Notes, 2.55%, 3/23/31 | 99,063 | ||||||
150,000 | Regeneron Pharmaceuticals, Inc., Senior Unsecured Notes, 1.75%, 9/15/30 | 138,617 | ||||||
391,469 | ||||||||
COMMERCIAL SERVICES 1.1% | ||||||||
200,000 | Global Payments, Inc., Senior Unsecured Notes, 4.80%, 4/1/26 | 228,718 |
2
Schedule of Investments (unaudited) (continued)
150,000 | PayPal Holdings, Inc., Senior Unsecured Notes, 2.65%, 10/1/26 (3) | $ | 158,644 | |||||
150,000 | United Rentals North America, Inc., Guaranteed Notes, 5.50%, 5/15/27 | 159,975 | ||||||
547,337 | ||||||||
FOOD 1.0% | ||||||||
150,000 | Conagra Brands, Inc., Senior Unsecured Notes, 1.38%, 11/1/27 | 144,407 | ||||||
175,000 | Kroger Co. (The), Senior Unsecured Notes, 2.65%, 10/15/26 | 184,499 | ||||||
150,000 | Sysco Corp., Guaranteed Notes, 5.65%, 4/1/25 | 174,361 | ||||||
503,267 | ||||||||
HEALTHCARE PRODUCTS 1.3% | ||||||||
213,000 | Abbott Laboratories, Senior Unsecured Notes, 3.75%, 11/30/26 | 238,970 | ||||||
125,000 | Baxter International, Inc., Senior Unsecured Notes, 2.60%, 8/15/26 | 132,707 | ||||||
150,000 | Boston Scientific Corp., Senior Unsecured Notes, 3.75%, 3/1/26 | 165,545 | ||||||
125,000 | Thermo Fisher Scientific, Inc., Senior Unsecured Notes, 4.13%, 3/25/25 | 138,757 | ||||||
675,979 | ||||||||
HEALTHCARE SERVICES 2.1% | ||||||||
150,000 | Anthem, Inc., Senior Unsecured Notes, 3.35%, 12/1/24 | 162,207 | ||||||
150,000 | Centene Corp., Senior Unsecured Notes, 4.63%, 12/15/29 | 162,346 | ||||||
150,000 | HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25 | 167,327 | ||||||
150,000 | Humana, Inc., Senior Unsecured Notes, 3.95%, 3/15/27 | 167,165 | ||||||
150,000 | Laboratory Corp. of America Holdings, Senior Unsecured Notes, 2.95%, 12/1/29 (3) | 154,466 | ||||||
100,000 | Quest Diagnostics, Inc., Senior Unsecured Notes, 2.80%, 6/30/31 | 101,608 | ||||||
150,000 | UnitedHealth Group, Inc., Senior Unsecured Notes, 2.88%, 12/15/21 | 152,755 | ||||||
1,067,874 | ||||||||
HOUSEHOLD PRODUCTS 0.4% | ||||||||
125,000 | Clorox Co. (The), Senior Unsecured Notes, 3.05%, 9/15/22 | 128,945 | ||||||
100,000 | Clorox Co. (The), Senior Unsecured Notes, 1.80%, 5/15/30 | 95,069 | ||||||
224,014 | ||||||||
PHARMACEUTICALS 2.1% | ||||||||
100,000 | AbbVie, Inc., Senior Unsecured Notes, 2.95%, 11/21/26 | 106,472 | ||||||
150,000 | Becton Dickinson and Co., Senior Unsecured Notes, 3.36%, 6/6/24 | 161,073 | ||||||
125,000 | Cigna Corp., Guaranteed Notes, 3.40%, 3/1/27 | 135,541 | ||||||
100,000 | Merck & Co., Inc., Senior Unsecured Notes, 2.75%, 2/10/25 (3) | 106,431 | ||||||
140,000 | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 3.03%, 7/9/40 | 135,170 | ||||||
175,000 | Teva Pharmaceutical Finance Netherlands III BV, Guaranteed Notes, 2.80%, 7/21/23 | 174,440 | ||||||
150,000 | Utah Acquisition Sub, Inc., Guaranteed Notes, 3.95%, 6/15/26 | 165,151 | ||||||
100,000 | Zoetis, Inc., Senior Unsecured Notes, 4.50%, 11/13/25 | 113,302 | ||||||
1,097,580 | ||||||||
5,546,945 | ||||||||
ENERGY 4.0% | ||||||||
OIL & GAS 1.9% | ||||||||
150,000 | Canadian Natural Resources, Ltd., Senior Unsecured Notes, 2.05%, 7/15/25 | 151,620 | ||||||
125,000 | Diamondback Energy, Inc., Guaranteed Notes, 2.88%, 12/1/24 | 131,806 | ||||||
125,000 | EOG Resources, Inc., Senior Unsecured Notes, 4.38%, 4/15/30 (3) | 143,407 | ||||||
150,000 | Occidental Petroleum Corp., Senior Unsecured Notes, 5.50%, 12/1/25 | 158,324 | ||||||
150,000 | Phillips 66, Guaranteed Notes, 1.30%, 2/15/26 (3) | 148,258 | ||||||
150,000 | Shell International Finance B.V., Guaranteed Notes, 2.38%, 11/7/29 | 150,997 | ||||||
100,000 | Suncor Energy, Inc., Senior Unsecured Notes, 3.10%, 5/15/25 (3) | 106,754 | ||||||
991,166 | ||||||||
OIL & GAS SERVICES 0.3% | ||||||||
150,000 | Schlumberger Finance Canada, Ltd., Guaranteed Notes, 1.40%, 9/17/25 (3) | 150,083 | ||||||
PIPELINES 1.8% | ||||||||
175,000 | Boardwalk Pipelines L.P., Guaranteed Notes, 4.95%, 12/15/24 | 195,934 | ||||||
250,000 | Kinder Morgan, Inc., Guaranteed Notes, 4.30%, 3/1/28 | 279,373 | ||||||
130,000 | Magellan Midstream Partners L.P., Senior Unsecured Notes, 4.25%, 9/15/46 | 131,942 | ||||||
150,000 | Spectra Energy Partners L.P., Guaranteed Notes, 4.75%, 3/15/24 | 164,979 | ||||||
125,000 | TransCanada PipeLines, Ltd., Senior Unsecured Notes, 4.25%, 5/15/28 | 140,431 | ||||||
912,659 | ||||||||
2,053,908 |
3
March 31, 2021
FINANCIAL 14.3% | ||||||||
BANKS 8.0% | ||||||||
200,000 | Australia & New Zealand Banking Group, Ltd., Subordinated Notes, 4.50%, 3/19/24 (1) | $ | 219,684 | |||||
200,000 | Bank of America Corp. GMTN, Senior Unsecured Notes, 3.50%, 4/19/26 | 219,151 | ||||||
150,000 | Bank of Montreal, Series E, Senior Unsecured Notes, 3.30%, 2/5/24 (3) | 160,699 | ||||||
100,000 | Barclays PLC, Senior Unsecured Notes, 4.34%, 1/10/28 | 110,921 | ||||||
125,000 | CIT Group, Inc., Senior Unsecured Notes, (SOFR + 3.83)%, 3.93%, 6/19/24 (2) | 132,187 | ||||||
150,000 | Citigroup, Inc., Senior Unsecured Notes, (3-month LIBOR + 0.90)%, 3.35%, 4/24/25 (2) | 160,307 | ||||||
130,000 | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | 164,105 | ||||||
150,000 | Comerica, Inc., Senior Unsecured Notes, 3.70%, 7/31/23 | 160,381 | ||||||
175,000 | Fifth Third Bancorp, Senior Unsecured Notes, 3.65%, 1/25/24 | 188,534 | ||||||
175,000 | Goldman Sachs Group, Inc. (The), Senior Unsecured Notes, 3.75%, 2/25/26 | 191,935 | ||||||
150,000 | HSBC Holdings PLC, Senior Unsecured Notes, 3.90%, 5/25/26 | 165,321 | ||||||
125,000 | ING Groep N.V., Senior Unsecured Notes, 3.95%, 3/29/27 | 138,435 | ||||||
200,000 | JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26 | 225,093 | ||||||
100,000 | JPMorgan Chase & Co., Senior Unsecured Notes, (3-month LIBOR + 1.38)%, 3.96%, 11/15/48 (2) | 109,956 | ||||||
100,000 | KeyCorp MTN, Senior Unsecured Notes, 2.55%, 10/1/29 | 101,172 | ||||||
250,000 | Kreditanstalt fuer Wiederaufbau, Guaranteed Notes, 2.63%, 4/12/21 | 250,122 | ||||||
150,000 | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.90%, 3/12/24 | 162,732 | ||||||
200,000 | Morgan Stanley, Series F, Senior Unsecured Notes, 3.88%, 4/29/24 | 218,371 | ||||||
125,000 | National Australia Bank, Ltd., Senior Unsecured Notes, 2.50%, 7/12/26 | 131,194 | ||||||
150,000 | Societe Generale S.A., Senior Unsecured Notes, 5.20%, 4/15/21 (3) | 150,205 | ||||||
200,000 | Svenska Handelsbanken AB, Guaranteed Notes, 3.35%, 5/24/21 | 200,856 | ||||||
550,000 | Zions Bancorp NA, Subordinated Notes, 3.25%, 10/29/29 | 556,014 | ||||||
4,117,375 | ||||||||
DIVERSIFIED FINANCIAL SERVICES 2.6% | ||||||||
175,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Guaranteed Notes, 1.75%, 1/30/26 | 169,896 | ||||||
175,000 | Air Lease Corp., Senior Unsecured Notes, 3.63%, 4/1/27 (3) | 184,005 | ||||||
150,000 | Ally Financial, Inc., Senior Unsecured Notes, 5.13%, 9/30/24 | 169,074 | ||||||
150,000 | American Express Co., Senior Unsecured Notes, 3.13%, 5/20/26 | 161,220 | ||||||
175,000 | Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24 (3) | 190,641 | ||||||
200,000 | Stifel Financial Corp., Senior Unsecured Notes, 4.25%, 7/18/24 | 221,311 | ||||||
120,000 | Synchrony Financial, Senior Unsecured Notes, 4.25%, 8/15/24 | 130,605 | ||||||
100,000 | Visa, Inc., Senior Unsecured Notes, 2.05%, 4/15/30 | 99,750 | ||||||
1,326,502 | ||||||||
INSURANCE 1.5% | ||||||||
100,000 | Allstate Corp. (The), Senior Unsecured Notes, 1.45%, 12/15/30 | 91,507 | ||||||
100,000 | American International Group, Inc., Senior Unsecured Notes, 4.88%, 6/1/22 | 105,011 | ||||||
150,000 | Aon Corp., Guaranteed Notes, 3.75%, 5/2/29 | 164,945 | ||||||
200,000 | CNA Financial Corp., Senior Unsecured Notes, 3.95%, 5/15/24 | 217,248 | ||||||
175,000 | Prudential Financial, Inc., Junior Subordinated Notes, (3-month LIBOR + 2.67)%, 5.70%, 9/15/48 (2) | 199,858 | ||||||
778,569 | ||||||||
REITS 2.2% | ||||||||
100,000 | American Tower Corp., Senior Unsecured Notes, 2.95%, 1/15/25 | 106,246 | ||||||
100,000 | AvalonBay Communities, Inc. GMTN, Senior Unsecured Notes, 3.45%, 6/1/25 | 108,774 | ||||||
100,000 | Crown Castle International Corp., Senior Unsecured Notes, 3.80%, 2/15/28 | 108,845 | ||||||
150,000 | Digital Realty Trust L.P., Guaranteed Notes, 3.60%, 7/1/29 | 161,078 | ||||||
250,000 | Essex Portfolio L.P., Guaranteed Notes, 3.38%, 1/15/23 | 260,069 | ||||||
100,000 | Prologis L.P., Senior Unsecured Notes, 2.25%, 4/15/30 | 98,806 | ||||||
100,000 | Sabra Health Care L.P., Guaranteed Notes, 3.90%, 10/15/29 | 101,976 | ||||||
175,000 | Welltower, Inc., Senior Unsecured Notes, 4.25%, 4/15/28 | 194,749 | ||||||
1,140,543 | ||||||||
7,362,989 | ||||||||
INDUSTRIAL 3.2% | ||||||||
AEROSPACE & DEFENSE 0.9% | ||||||||
150,000 | L3Harris Technologies, Inc., Senior Unsecured Notes, 4.40%, 6/15/28 | 170,120 | ||||||
120,000 | Teledyne Technologies, Inc., Senior Unsecured Notes, 1.60%, 4/1/26 | 119,081 | ||||||
150,000 | United Technologies Corp., Senior Unsecured Notes, 4.13%, 11/16/28 | 168,823 | ||||||
458,024 | ||||||||
BUILDING MATERIALS 0.5% | ||||||||
125,000 | Masco Corp., Senior Unsecured Notes, 2.00%, 10/1/30 | 118,773 | ||||||
125,000 | Owens Corning, Senior Unsecured Notes, 3.95%, 8/15/29 | 137,470 |
4
Schedule of Investments (unaudited) (continued)
$ | 256,243 | |||||||
ELECTRONICS 0.5% | ||||||||
100,000 | Agilent Technologies, Inc., Senior Unsecured Notes, 2.10%, 6/4/30 | 97,766 | ||||||
150,000 | Flex, Ltd., Senior Unsecured Notes, 4.75%, 6/15/25 | 167,276 | ||||||
265,042 | ||||||||
MISCELLANEOUS MANUFACTURERS 0.8% | ||||||||
150,000 | Ingersoll-Rand Luxembourg Finance S.A., Guaranteed Notes, 4.50%, 3/21/49 | 174,517 | ||||||
200,000 | Textron, Inc., Senior Unsecured Notes, 3.88%, 3/1/25 | 215,903 | ||||||
390,420 | ||||||||
PACKAGING & CONTAINERS 0.5% | ||||||||
145,000 | Ball Corp., Guaranteed Notes, 4.00%, 11/15/23 | 154,153 | ||||||
100,000 | WRKCo, Inc., Guaranteed Notes, 3.90%, 6/1/28 | 110,258 | ||||||
264,411 | ||||||||
1,634,140 | ||||||||
TECHNOLOGY 2.5% | ||||||||
COMPUTERS 0.7% | ||||||||
150,000 | HP, Inc., Senior Unsecured Notes, 3.00%, 6/17/27 | 158,437 | ||||||
175,000 | NetApp, Inc., Senior Unsecured Notes, 1.88%, 6/22/25 | 178,564 | ||||||
337,001 | ||||||||
SEMICONDUCTORS 0.5% | ||||||||
150,000 | Micron Technology, Inc., Senior Unsecured Notes, 2.50%, 4/24/23 | 155,421 | ||||||
100,000 | Xilinx, Inc., Senior Unsecured Notes, 2.38%, 6/1/30 | 97,324 | ||||||
252,745 | ||||||||
SOFTWARE 1.3% | ||||||||
150,000 | Citrix Systems, Inc., Senior Unsecured Notes, 4.50%, 12/1/27 | 170,702 | ||||||
150,000 | Electronic Arts, Inc., Senior Unsecured Notes, 4.80%, 3/1/26 (3) | 172,932 | ||||||
125,000 | Fiserv, Inc., Senior Unsecured Notes, 3.50%, 7/1/29 | 134,741 | ||||||
100,000 | Intuit, Inc., Senior Unsecured Notes, 1.65%, 7/15/30 | 94,774 | ||||||
100,000 | Oracle Corp., Senior Unsecured Notes, 2.95%, 4/1/30 | 103,044 | ||||||
676,193 | ||||||||
1,265,939 | ||||||||
UTILITIES 2.4% | ||||||||
ELECTRIC 2.0% | ||||||||
100,000 | CenterPoint Energy, Inc., Senior Unsecured Notes, 2.95%, 3/1/30 | 102,533 | ||||||
100,000 | Consolidated Edison Co. of New York, Inc., Senior Unsecured Notes, 4.50%, 12/1/45 | 115,141 | ||||||
100,000 | Dominion Energy, Inc., Senior Unsecured Notes, 4.25%, 6/1/28 | 112,878 | ||||||
150,000 | Duke Energy Carolinas LLC, 2.45%, 2/1/30 | 150,879 | ||||||
150,000 | Florida Power & Light Co., 4.95%, 6/1/35 | 187,287 | ||||||
100,000 | ITC Holdings Corp., Senior Unsecured Notes, 3.25%, 6/30/26 | 107,782 | ||||||
125,000 | Pinnacle West Capital Corp., Senior Unsecured Notes, 1.30%, 6/15/25 | 124,218 | ||||||
125,000 | Southern Power Co., Series E, Senior Unsecured Notes, 2.50%, 12/15/21 (3) | 126,638 | ||||||
1,027,356 | ||||||||
GAS 0.4% | ||||||||
175,000 | National Fuel Gas Co., Senior Unsecured Notes, 5.20%, 7/15/25 | 196,322 | ||||||
1,223,678 | ||||||||
TOTAL CORPORATE BONDS & NOTES (Cost $23,830,148) | 24,405,864 | |||||||
FOREIGN GOVERNMENT OBLIGATIONS 1.0% | ||||||||
200,000 | European Bank for Reconstruction & Development GMTN, Senior Unsecured Notes, 2.75%, 3/7/23 | 209,567 | ||||||
150,000 | Export-Import Bank of Korea, Senior Unsecured Notes, 3.00%, 11/1/22 | 155,865 | ||||||
150,000 | Panama Government International Bond, Senior Unsecured Notes, 4.00%, 9/22/24 | 163,375 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $501,620) | 528,807 | |||||||
LONG-TERM MUNICIPAL SECURITIES 3.7% | ||||||||
CALIFORNIA 0.4% | ||||||||
200,000 | San Marcos California Unified School District, Refunding Revenue Bonds, 3.17%, 8/1/38 | 207,429 | ||||||
DISTRICT OF COLUMBIA 0.5% | ||||||||
250,000 | District of Columbia Income Tax Secured Revenue Bonds, Build America Bonds, 4.91%, 12/1/23 | 278,856 |
5
March 31, 2021
MICHIGAN 0.4% | ||||||||
200,000 | Lincoln Consolidated School District, General Obligation Limited, Series B, 4.32%, 5/1/37 | $ | 218,835 | |||||
NEW YORK 0.5% | ||||||||
225,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate Bonds, Revenue Bonds, 2.63%, 2/1/23 | 234,342 | ||||||
TEXAS 1.6% | ||||||||
250,000 | Dallas Independent School District Qualified School Construction Notes, General Obligation Limited, 5.05%, 8/15/33 | 270,201 | ||||||
500,000 | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | 573,874 | ||||||
844,075 | ||||||||
WASHINGTON 0.3% | ||||||||
125,000 | Grant County Public Utility District No 2 Priest Rapids Hydroelectric Project, Revenue Bonds, 3.31%, 1/1/43 | 129,827 | ||||||
TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $1,785,323) | 1,913,364 | |||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES 15.1% | ||||||||
24,290 | FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35 | 26,900 | ||||||
139,058 | FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34 | 152,584 | ||||||
63,223 | FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41 | 68,329 | ||||||
36,411 | FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25 | 38,752 | ||||||
30,941 | FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42 | 33,445 | ||||||
34,696 | FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42 | 38,249 | ||||||
57,680 | FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42 | 62,360 | ||||||
196,210 | FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43 | 208,717 | ||||||
226,249 | FHLMC Gold Pool #Q34167, 4.00%, 6/1/45 | 248,788 | ||||||
152,415 | FHLMC Gold Pool #Q57991, 4.00%, 8/1/48 | 163,638 | ||||||
309,342 | FHLMC Pool #QB2958, 3.00%, 9/1/50 | 322,704 | ||||||
239,183 | FHLMC Pool #QB3856, 2.00%, 9/1/50 | 238,646 | ||||||
271,037 | FHLMC Pool #QB5314, 2.50%, 11/1/50 | 278,248 | ||||||
328,892 | FHLMC Pool #QB8153, 2.50%, 1/1/51 | 337,753 | ||||||
241,745 | FHLMC Pool #SB8078, 1.50%, 12/1/35 | 242,991 | ||||||
253,576 | FHLMC Pool #SD8023, 2.50%, 11/1/49 | 260,272 | ||||||
617,043 | FHLMC Pool #SD8098, 2.00%, 10/1/50 | 615,651 | ||||||
299,276 | FHLMC Pool #SD8134, 2.00%, 3/1/51 | 298,600 | ||||||
77,670 | FNMA Pool #AB2346, 4.50%, 2/1/41 | 86,470 | ||||||
67,566 | FNMA Pool #AB5231, 2.50%, 5/1/27 | 70,566 | ||||||
72,652 | FNMA Pool #AB5716, 3.00%, 7/1/27 | 76,795 | ||||||
105,928 | FNMA Pool #AB8144, 5.00%, 4/1/37 | 121,743 | ||||||
85,423 | FNMA Pool #AI4285, 5.00%, 6/1/41 | 98,160 | ||||||
66,247 | FNMA Pool #AJ5888, 4.50%, 11/1/41 | 74,769 | ||||||
299,918 | FNMA Pool #AR6394, 3.00%, 2/1/43 | 318,787 | ||||||
130,930 | FNMA Pool #AS5892, 3.50%, 10/1/45 | 140,023 | ||||||
40,344 | FNMA Pool #AS6102, 3.50%, 11/1/45 | 43,138 | ||||||
72,346 | FNMA Pool #AS6205, 3.50%, 11/1/45 | 77,358 | ||||||
50,692 | FNMA Pool #AS6385, 4.00%, 12/1/45 | 55,358 | ||||||
106,799 | FNMA Pool #AS9459, 4.50%, 4/1/47 | 117,238 | ||||||
102,579 | FNMA Pool #AS9562, 3.00%, 5/1/47 | 107,716 | ||||||
120,894 | FNMA Pool #AU4279, 3.00%, 9/1/43 | 129,716 | ||||||
115,978 | FNMA Pool #AV0703, 4.00%, 12/1/43 | 127,235 | ||||||
53,036 | FNMA Pool #AW7362, 2.50%, 8/1/29 | 55,339 | ||||||
106,426 | FNMA Pool #AX0416, 4.00%, 8/1/44 | 117,774 | ||||||
74,663 | FNMA Pool #AY1670, 3.50%, 2/1/45 | 80,197 | ||||||
67,471 | FNMA Pool #AY2728, 2.50%, 2/1/30 | 70,466 | ||||||
63,717 | FNMA Pool #AY4195, 4.00%, 5/1/45 | 69,820 | ||||||
78,888 | FNMA Pool #BA3885, 3.50%, 11/1/45 | 84,589 | ||||||
219,259 | FNMA Pool #CA2320, 3.50%, 9/1/48 | 237,495 | ||||||
107,115 | FNMA Pool #CA5540, 3.00%, 4/1/50 | 113,220 | ||||||
106,066 | FNMA Pool #MA0641, 4.00%, 2/1/31 | 114,787 | ||||||
131,480 | FNMA Pool #MA4012, 2.00%, 5/1/35 | 135,327 | ||||||
101,712 | FNMA Pool #MA4016, 2.50%, 5/1/40 | 104,588 | ||||||
217,745 | FNMA Pool #MA4077, 2.00%, 7/1/50 | 217,256 | ||||||
187,553 | FNMA Pool #MA4119, 2.00%, 9/1/50 | 187,129 | ||||||
393,503 | FNMA Pool #MA4208, 2.00%, 12/1/50 | 393,421 | ||||||
34,644 | FNMA REMIC Trust Series 2013-18, Class AE, 2.00%, 3/25/28 | 35,799 | ||||||
22,824 | GNMA, Series 2011-136, Class GB, 2.50%, 5/20/40 | 23,328 | ||||||
59,489 | GNMA II Pool #5332, 4.00%, 3/20/42 | 66,401 | ||||||
64,605 | GNMA II Pool #MA1520, 3.00%, 12/20/43 | 68,766 | ||||||
37,382 | GNMA II Pool #MA2445, 3.50%, 12/20/44 | 40,073 | ||||||
246,988 | GNMA II Pool #MA7054, 3.50%, 12/20/50 | 263,106 | ||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $7,713,411) | 7,760,580 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS 2.1% | ||||||||
250,000 | FNMA, 2.38%, 1/19/23 | 259,947 | ||||||
250,000 | FNMA, 2.63%, 9/6/24 | 268,653 | ||||||
540,000 | FNMA, 1.88%, 9/24/26 | 563,546 | ||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $1,017,943) | 1,092,146 | |||||||
U.S. TREASURY OBLIGATIONS 14.2% | ||||||||
U.S. TREASURY NOTES & BONDS 14.2% | ||||||||
120,000 | U.S. Treasury Bonds, 5.38%, 2/15/31 (3) | 160,355 | ||||||
395,000 | U.S. Treasury Bonds, 4.38%, 2/15/38 | 521,523 | ||||||
140,000 | U.S. Treasury Bonds, 3.50%, 2/15/39 | 167,524 | ||||||
155,000 | U.S. Treasury Bonds, 1.13%, 5/15/40 | 126,107 | ||||||
654,000 | U.S. Treasury Bonds, 3.00%, 2/15/48 | 730,871 | ||||||
452,000 | U.S. Treasury Bonds, 2.25%, 8/15/49 | 435,703 | ||||||
100,000 | U.S. Treasury Notes, 1.75%, 2/28/22 | 101,516 |
6
Schedule of Investments (unaudited) (continued)
990,000 | U.S. Treasury Notes, 1.38%, 6/30/23 | $ | 1,015,949 | |||||
1,505,000 | U.S. Treasury Notes, 2.25%, 11/15/24 | 1,596,593 | ||||||
400,000 | U.S. Treasury Notes, 2.13%, 5/31/26 | 423,016 | ||||||
350,000 | U.S. Treasury Notes, 1.50%, 8/15/26 | 358,299 | ||||||
350,000 | U.S. Treasury Notes, 1.13%, 2/28/27 | 348,824 | ||||||
100,000 | U.S. Treasury Notes, 0.63%, 11/30/27 | 95,289 | ||||||
790,000 | U.S. Treasury Notes, 2.75%, 2/15/28 | 861,100 | ||||||
350,000 | U.S. Treasury Notes, 1.63%, 8/15/29 | 350,998 | ||||||
TOTAL U.S. TREASURY NOTES & BONDS (Cost $7,106,507) | 7,293,667 |
Shares | Value | |||||||
SHORT-TERM INVESTMENTS 5.6% | ||||||||
MONEY MARKET FUNDS 5.6% | ||||||||
1,564,764 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.04% (4) | 1,564,764 | ||||||
1,302,395 | State Street Navigator Securities Lending Government Money Market Portfolio (5) | 1,302,395 | ||||||
2,867,159 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,867,159) | 2,867,159 | |||||||
TOTAL INVESTMENTS IN SECURITIES 102.1% (Cost $51,401,873) | $ | 52,540,414 | ||||||
EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (2.1)% | (1,085,117 | ) | ||||||
NET ASSETS (6) 100% | $ | 51,455,297 |
(1) | Pursuant to Rule 144A under the Securities Act of 1933, this security can only be sold to qualified institutional investors. |
(2) | Floating or variable rate security. The rate disclosed is the rate in effect as of March 31, 2021. The information in parentheses represents the benchmark and reference rate for each relevant security and the rate adjusts based upon the reference rate and spread. The security may be further subject to interest rate floor and caps. For securities which do not indicate a reference rate and spread in their descriptions, the interest rate adjusts periodically based on current interest rates and, for mortgage-backed securities, prepayments in the underlying pool of assets. |
(3) | A portion or all of the security was held on loan. As of March 31, 2021, the market value of the securities on loan was $3,017,161. |
(4) | Rate reflects 7 day yield as of March 31, 2021. |
(5) | Securities with an aggregate market value of $3,017,161 were out on loan in exchange for collateral including $1,302,395 of cash collateral as of March 31, 2021. The collateral was invested in a cash collateral reinvestment vehicle. |
(6) | For federal income tax purposes, the aggregate cost was $51,401,873, aggregate gross unrealized appreciation was $1,729,109, aggregate gross unrealized depreciation was $590,568 and the net unrealized appreciation was $1,138,541. |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association. |
FREMF | Freddie Mac Multifamily. |
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. |
SOFR | Secured Overnight Financing Rate. |
7
The Fund follows fair 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, 2021:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 1,237,590 | $ | — | $ | 1,237,590 | ||||||||
Commercial Mortgage-Backed Securities | — | 5,441,237 | — | 5,441,237 | ||||||||||||
Corporate Bonds & Notes* | — | 24,405,864 | — | 24,405,864 | ||||||||||||
Foreign Government Obligations | — | 528,807 | — | 528,807 | ||||||||||||
Long-Term Municipal Securities* | — | 1,913,364 | — | 1,913,364 | ||||||||||||
Residential Mortgage-Backed Securities | — | 7,760,580 | — | 7,760,580 | ||||||||||||
U.S. Government Agency Obligations | — | 1,092,146 | — | 1,092,146 | ||||||||||||
U.S. Treasury Obligations | — | 7,293,667 | — | 7,293,667 | ||||||||||||
Short-Term Investments | 2,867,159 | — | — | 2,867,159 | ||||||||||||
Total Investments in Securities | $ | 2,867,159 | $ | 49,673,255 | $ | — | $ | 52,540,414 |
* | See Schedule of Investments for further breakdown by category. |
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, 2021, there were no Level 3 investments. The Schedule of Investments includes a breakdown of the Fund’s investments by category.