Value Line Core Bond Fund
Schedule of Investments (unaudited)
September 30, 2022
Principal Amount | Value | |
ASSET-BACKED SECURITIES 0.8% | ||
$ $200,000 | Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.19%, 7/15/31(1) | $ 192,324 |
150,000 | Ford Credit Floorplan Master Owner Trust, Series 2019-2, Class A, 3.06%, 4/15/26 | 145,816 |
TOTAL ASSET-BACKED SECURITIES (Cost $380,957) | 338,140 | |
COMMERCIAL MORTGAGE-BACKED SECURITIES 5.2% | ||
150,000 | COMM Mortgage Trust, Series 2014-UBS2, Class AM, 4.20%, 3/10/47 | 146,166 |
180,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K058, Class A2, 2.65%, 8/25/26 | 167,682 |
250,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K061, Class A2, 3.35%, 11/25/26(2) | 239,417 |
200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K063, Class A2, 3.43%, 1/25/27(2) | 191,278 |
300,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K069, Class A2, 3.19%, 9/25/27(2) | 282,436 |
200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K092, Class A2, 3.30%, 4/25/29 | 186,531 |
450,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K103, Class A2, 2.65%, 11/25/29 | 400,761 |
175,000 | FREMF Mortgage Trust, Series 2015-K43, Class B, 3.86%, 2/25/48(1)(2) | 168,250 |
142,404 | GNMA, Series 2012-125, Class AB, 2.11%, 2/16/53(2) | 125,133 |
136,622 | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | 129,142 |
39,456 | Sequoia Mortgage Trust, Series 2004-8, Class A1, (1-month LIBOR + 0.70%), 3.69%, 9/20/34(2) | 35,322 |
50,132 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class ASB, 3.46%, 7/15/58 | 49,047 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $2,453,195) | 2,121,165 | |
CORPORATE BONDS & NOTES 35.4% | ||
BASIC MATERIALS 1.6% | ||
CHEMICALS 0.8% | ||
200,000 | Celanese U.S. Holdings LLC, Guaranteed Notes, 4.63%, 11/15/22 | 199,998 |
125,000 | Nutrien Ltd., Senior Unsecured Notes, 4.20%, 4/1/29 | 115,627 |
315,625 | ||
IRON/STEEL 0.6% | ||
135,000 | ArcelorMittal SA, Senior Unsecured Notes, 4.25%, 7/16/29(3) | 120,826 |
165,000 | Steel Dynamics, Inc., Senior Unsecured Notes, 3.25%, 1/15/31 | 134,508 |
255,334 |
Principal Amount | Value | |
CORPORATE BONDS & NOTES 35.4% (continued) | ||
BASIC MATERIALS 1.6% (continued) | ||
MINING 0.2% | ||
$ 120,000 | Freeport-McMoRan, Inc., Guaranteed Notes, 4.63%, 8/1/30(3) | $ 105,188 |
676,147 | ||
COMMUNICATIONS 3.3% | ||
INTERNET 0.8% | ||
125,000 | Expedia Group, Inc., Guaranteed Notes, 3.25%, 2/15/30 | 101,337 |
120,000 | Netflix, Inc., Senior Unsecured Notes, 4.88%, 4/15/28 | 112,178 |
125,000 | VeriSign, Inc., Senior Unsecured Notes, 2.70%, 6/15/31(3) | 96,918 |
310,433 | ||
MEDIA 1.1% | ||
175,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.91%, 7/23/25 | 170,678 |
175,000 | Comcast Corp., Guaranteed Notes, 4.15%, 10/15/28 | 165,422 |
125,000 | Discovery Communications LLC, Guaranteed Notes, 4.90%, 3/11/26(3) | 120,981 |
457,081 | ||
TELECOMMUNICATIONS 1.4% | ||
190,000 | AT&T, Inc., Senior Unsecured Notes, 2.55%, 12/1/33 | 140,587 |
200,000 | Motorola Solutions, Inc., Senior Unsecured Notes, 4.60%, 5/23/29 | 184,109 |
150,000 | T-Mobile USA, Inc., Guaranteed Notes, 3.50%, 4/15/31 | 126,586 |
175,000 | Vodafone Group PLC, Senior Unsecured Notes, 4.25%, 9/17/50 | 125,259 |
576,541 | ||
1,344,055 | ||
CONSUMER, CYCLICAL 3.7% | ||
AUTO MANUFACTURERS 1.0% | ||
175,000 | Cummins, Inc., Senior Unsecured Notes, 1.50%, 9/1/30 | 134,731 |
170,000 | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.38%, 11/13/25 | 150,224 |
150,000 | General Motors Financial Co., Inc., Senior Unsecured Notes, 5.00%, 4/9/27 | 142,248 |
427,203 | ||
HOME BUILDERS 1.2% | ||
200,000 | Lennar Corp., Guaranteed Notes, 4.88%, 12/15/23 | 199,249 |
142,000 | PulteGroup, Inc., Guaranteed Notes, 5.00%, 1/15/27(3) | 137,767 |
140,000 | Toll Brothers Finance Corp., Guaranteed Notes, 4.88%, 11/15/25 | 134,577 |
471,593 | ||
LODGING 0.3% | ||
135,000 | Marriott International, Inc., Senior Unsecured Notes, 5.00%, 10/15/27 | 130,436 |
See Supplementary Notes to Financial Statements.
1
Schedule of Investments (unaudited) (continued)
Principal Amount | Value | |
CORPORATE BONDS & NOTES 35.4% (continued) | ||
CONSUMER, CYCLICAL 3.7% (continued) | ||
RETAIL 1.2% | ||
$ 150,000 | AutoZone, Inc., Senior Unsecured Notes, 3.75%, 6/1/27 | $ 141,051 |
175,000 | Costco Wholesale Corp., Senior Unsecured Notes, 1.75%, 4/20/32(3) | 134,835 |
150,000 | Dollar General Corp., Senior Unsecured Notes, 3.50%, 4/3/30(3) | 131,514 |
100,000 | O'Reilly Automotive, Inc., Senior Unsecured Notes, 3.60%, 9/1/27 | 92,901 |
500,301 | ||
1,529,533 | ||
CONSUMER, NON-CYCLICAL 6.9% | ||
AGRICULTURE 0.3% | ||
150,000 | Bunge Ltd. Finance Corp., Guaranteed Notes, 3.25%, 8/15/26(3) | 137,940 |
BEVERAGES 0.9% | ||
125,000 | Anheuser-Busch InBev Worldwide, Inc., Guaranteed Notes, 4.90%, 1/23/31(3) | 122,857 |
150,000 | Constellation Brands, Inc., Guaranteed Notes, 5.25%, 11/15/48 | 134,426 |
125,000 | Diageo Capital PLC, Guaranteed Notes, 2.00%, 4/29/30 | 100,122 |
357,405 | ||
BIOTECHNOLOGY 0.6% | ||
150,000 | Amgen, Inc., Senior Unsecured Notes, 2.20%, 2/21/27(3) | 133,247 |
150,000 | Regeneron Pharmaceuticals, Inc., Senior Unsecured Notes, 1.75%, 9/15/30 | 113,480 |
246,727 | ||
COMMERCIAL SERVICES 0.6% | ||
150,000 | PayPal Holdings, Inc., Senior Unsecured Notes, 2.65%, 10/1/26(3) | 137,717 |
155,000 | Service Corp. International, Senior Unsecured Notes, 4.00%, 5/15/31 | 124,822 |
262,539 | ||
FOOD 0.4% | ||
175,000 | Kroger Co., Senior Unsecured Notes, 2.65%, 10/15/26 | 159,446 |
HEALTHCARE PRODUCTS 0.2% | ||
100,000 | Baxter International, Inc., Senior Unsecured Notes, 1.73%, 4/1/31 | 74,046 |
HEALTHCARE SERVICES 1.3% | ||
150,000 | Centene Corp., Senior Unsecured Notes, 4.63%, 12/15/29 | 134,790 |
150,000 | HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25 | 148,168 |
150,000 | Laboratory Corp. of America Holdings, Senior Unsecured Notes, 2.95%, 12/1/29(3) | 127,455 |
125,000 | UnitedHealth Group, Inc., Senior Unsecured Notes, 4.63%, 11/15/41 | 111,500 |
521,913 | ||
PHARMACEUTICALS 2.6% | ||
150,000 | AbbVie, Inc., Senior Unsecured Notes, 2.95%, 11/21/26 | 137,481 |
Principal Amount | Value | |
CORPORATE BONDS & NOTES 35.4% (continued) | ||
CONSUMER, NON-CYCLICAL 6.9% (continued) | ||
PHARMACEUTICALS 2.6% (continued) | ||
$ 125,000 | AstraZeneca PLC, Senior Unsecured Notes, 1.38%, 8/6/30(3) | $ 96,431 |
150,000 | Becton Dickinson and Co., Senior Unsecured Notes, 3.70%, 6/6/27(3) | 139,653 |
125,000 | CVS Health Corp., Senior Unsecured Notes, 1.75%, 8/21/30 | 95,330 |
165,000 | Merck & Co., Inc., Senior Unsecured Notes, 3.90%, 3/7/39 | 140,365 |
160,000 | Novartis Capital Corp., Guaranteed Notes, 2.75%, 8/14/50 | 108,088 |
140,000 | Takeda Pharmaceutical Co. Ltd., Senior Unsecured Notes, 3.03%, 7/9/40 | 98,885 |
125,000 | Teva Pharmaceutical Finance Netherlands III BV, Guaranteed Notes, 3.15%, 10/1/26 | 102,563 |
165,000 | Utah Acquisition Sub, Inc., Guaranteed Notes, 3.95%, 6/15/26 | 150,483 |
1,069,279 | ||
2,829,295 | ||
ENERGY 4.2% | ||
OIL & GAS 1.7% | ||
150,000 | Canadian Natural Resources Ltd., Senior Unsecured Notes, 2.05%, 7/15/25(3) | 136,786 |
165,000 | EOG Resources, Inc., Senior Unsecured Notes, 4.38%, 4/15/30 | 157,070 |
135,000 | Hess Corp., Senior Unsecured Notes, 4.30%, 4/1/27 | 127,053 |
150,000 | Occidental Petroleum Corp., Senior Unsecured Notes, 5.50%, 12/1/25 | 150,750 |
125,000 | TotalEnergies Capital International SA, Guaranteed Notes, 3.46%, 2/19/29(3) | 113,919 |
685,578 | ||
OIL & GAS SERVICES 0.3% | ||
150,000 | Schlumberger Finance Canada Ltd., Guaranteed Notes, 1.40%, 9/17/25(3) | 136,151 |
PIPELINES 2.2% | ||
125,000 | Boardwalk Pipelines LP, Guaranteed Notes, 4.95%, 12/15/24 | 123,727 |
150,000 | Enbridge, Inc., Guaranteed Notes, 2.50%, 8/1/33(3) | 112,270 |
125,000 | Enterprise Products Operating LLC, Guaranteed Notes, 4.85%, 8/15/42 | 105,953 |
200,000 | Kinder Morgan, Inc., Guaranteed Notes, 4.30%, 3/1/28 | 187,266 |
125,000 | Magellan Midstream Partners LP, Senior Unsecured Notes, 4.25%, 9/15/46 | 93,543 |
125,000 | Targa Resources Corp., Guaranteed Notes, 5.20%, 7/1/27 | 120,321 |
150,000 | TransCanada PipeLines Ltd., Senior Unsecured Notes, 4.25%, 5/15/28 | 138,933 |
882,013 | ||
1,703,742 |
See Supplementary Notes to Financial Statements.
2
September 30, 2022
Principal Amount | Value | |
CORPORATE BONDS & NOTES 35.4% (continued) | ||
FINANCIAL 12.4% | ||
BANKS 5.2% | ||
$ 200,000 | Bank of America Corp. MTN, Senior Unsecured Notes, (SOFR + 1.33%), 4.30%, 4/2/26(2)(3) | $ 198,862 |
100,000 | Barclays PLC, Senior Unsecured Notes, 4.34%, 1/10/28 | 89,142 |
170,000 | Citigroup, Inc., Senior Unsecured Notes, (3-month LIBOR + 0.90%), 3.35%, 4/24/25(2) | 163,979 |
130,000 | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | 113,300 |
150,000 | First-Citizens Bank & Trust Co., Senior Unsecured Notes, (SOFR + 3.83%), 3.93%, 6/19/24(2) | 147,990 |
175,000 | Goldman Sachs Group, Inc., Senior Unsecured Notes, 3.75%, 2/25/26 | 165,815 |
175,000 | JPMorgan Chase & Co., Senior Unsecured Notes, (3-month LIBOR + 1.38%), 3.96%, 11/15/48(2) | 131,073 |
150,000 | KeyCorp, Senior Unsecured Notes, 2.55%, 10/1/29(3) | 122,526 |
175,000 | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.90%, 3/12/24 | 171,287 |
150,000 | Morgan Stanley, Subordinated Notes, 4.88%, 11/1/22 | 150,029 |
125,000 | Morgan Stanley, Series F, Senior Unsecured Notes, 3.88%, 4/29/24 | 122,742 |
125,000 | Northern Trust Corp., Senior Unsecured Notes, 1.95%, 5/1/30 | 98,985 |
150,000 | PNC Financial Services Group, Inc. (The), Senior Unsecured Notes, (SOFR + 0.98%), 2.31%, 4/23/32(2)(3) | 117,864 |
200,000 | Wells Fargo & Co., Senior Unsecured Notes, (SOFR + 1.32%), 3.77%, 4/25/26(2) | 198,978 |
175,000 | Zions Bancorp NA, Subordinated Notes, 3.25%, 10/29/29(3) | 143,690 |
2,136,262 | ||
DIVERSIFIED FINANCIALS 3.0% | ||
175,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Guaranteed Notes, 1.75%, 1/30/26(3) | 149,710 |
175,000 | Air Lease Corp., Senior Unsecured Notes, 3.63%, 4/1/27 | 155,121 |
150,000 | Ally Financial, Inc., Senior Unsecured Notes, 4.75%, 6/9/27 | 138,448 |
175,000 | American Express Co., Senior Unsecured Notes, (SOFR + 0.72%), 3.31%, 5/3/24(2) | 174,418 |
175,000 | Charles Schwab Corp., Senior Unsecured Notes, (SOFR + 1.05%), 3.86%, 3/3/27(2) | 173,714 |
165,000 | Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24 | 160,915 |
100,000 | Stifel Financial Corp., Senior Unsecured Notes, 4.25%, 7/18/24 | 98,261 |
190,000 | Synchrony Financial, Senior Unsecured Notes, 4.25%, 8/15/24 | 185,309 |
1,235,896 |
Principal Amount | Value | |
CORPORATE BONDS & NOTES 35.4% (continued) | ||
FINANCIAL 12.4% (continued) | ||
INSURANCE 1.5% | ||
$ 150,000 | Aflac, Inc., Senior Unsecured Notes, 3.60%, 4/1/30 | $ 134,943 |
135,000 | Allstate Corp., Senior Unsecured Notes, 1.45%, 12/15/30 | 101,918 |
200,000 | CNA Financial Corp., Senior Unsecured Notes, 3.95%, 5/15/24 | 196,242 |
175,000 | Prudential Financial, Inc., Junior Subordinated Notes, (3-month LIBOR + 2.67%), 5.70%, 9/15/48(2)(3) | 163,406 |
596,509 | ||
REITS 2.7% | ||
125,000 | AvalonBay Communities, Inc., Senior Unsecured Notes, 2.45%, 1/15/31 | 101,923 |
150,000 | Crown Castle, Inc., Senior Unsecured Notes, 3.80%, 2/15/28 | 135,793 |
125,000 | Digital Realty Trust LP, Guaranteed Notes, 3.60%, 7/1/29(3) | 109,532 |
100,000 | Duke Realty LP, Senior Unsecured Notes, 4.00%, 9/15/28(3) | 92,535 |
150,000 | Equinix, Inc., Senior Unsecured Notes, 2.50%, 5/15/31(3) | 115,508 |
150,000 | Kimco Realty Corp., Senior Unsecured Notes, 2.25%, 12/1/31(3) | 112,470 |
150,000 | Life Storage LP, Guaranteed Notes, 2.20%, 10/15/30 | 113,978 |
125,000 | Prologis LP, Senior Unsecured Notes, 2.25%, 4/15/30 | 102,061 |
155,000 | Sabra Health Care LP, Guaranteed Notes, 3.90%, 10/15/29 | 126,433 |
125,000 | Welltower, Inc., Senior Unsecured Notes, 4.25%, 4/15/28(3) | 116,251 |
1,126,484 | ||
5,095,151 | ||
INDUSTRIAL 1.8% | ||
BUILDING MATERIALS 0.6% | ||
160,000 | Masco Corp., Senior Unsecured Notes, 2.00%, 10/1/30 | 120,427 |
150,000 | Vulcan Materials Co., Senior Unsecured Notes, 3.50%, 6/1/30 | 128,254 |
248,681 | ||
ELECTRONICS 0.7% | ||
160,000 | Amphenol Corp., Senior Unsecured Notes, 2.20%, 9/15/31(3) | 123,906 |
150,000 | Flex Ltd., Senior Unsecured Notes, 4.75%, 6/15/25 | 146,553 |
270,459 | ||
MACHINERY - DIVERSIFIED 0.2% | ||
125,000 | John Deere Capital Corp., Senior Unsecured Notes, 2.45%, 1/9/30 | 105,468 |
TRANSPORTATION 0.3% | ||
175,000 | CSX Corp., Senior Unsecured Notes, 3.35%, 9/15/49 | 123,005 |
747,613 |
See Supplementary Notes to Financial Statements.
3
Schedule of Investments (unaudited) (continued)
Principal Amount | Value | |
CORPORATE BONDS & NOTES 35.4% (continued) | ||
TECHNOLOGY 1.2% | ||
COMPUTERS 0.3% | ||
$ 135,000 | Dell International LLC / EMC Corp., Senior Unsecured Notes, 4.90%, 10/1/26 | $ 130,100 |
SEMICONDUCTORS 0.2% | ||
140,000 | Analog Devices, Inc., Senior Unsecured Notes, 2.80%, 10/1/41 | 99,007 |
SOFTWARE 0.7% | ||
150,000 | Adobe, Inc., Senior Unsecured Notes, 2.30%, 2/1/30 | 124,844 |
150,000 | Electronic Arts, Inc., Senior Unsecured Notes, 4.80%, 3/1/26 | 148,934 |
273,778 | ||
502,885 | ||
UTILITIES 0.3% | ||
ELECTRIC 0.3% | ||
150,000 | Duke Energy Corp., Senior Unsecured Notes, 4.50%, 8/15/32 | 135,585 |
TOTAL CORPORATE BONDS & NOTES (Cost $16,867,605) | 14,564,006 | |
FOREIGN GOVERNMENT OBLIGATIONS 0.4% | ||
150,000 | European Bank for Reconstruction & Development, Senior Unsecured Notes, 2.75%, 3/7/23 | 149,232 |
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $149,963) | 149,232 | |
LONG-TERM MUNICIPAL SECURITIES 2.4% | ||
CALIFORNIA 0.4% | ||
200,000 | San Marcos California Unified School District, Refunding Revenue Bonds, 3.17%, 8/1/38 | 151,327 |
CONNECTICUT 0.2% | ||
125,000 | Hartford County Metropolitan District Clean Water Project Revenue, Series B, 2.17%, 4/1/34 | 93,850 |
DISTRICT OF COLUMBIA 0.5% | ||
200,000 | District of Columbia Income Tax Secured Revenue Bonds, Build America Bonds, Series F, 4.91%, 12/1/23 | 201,484 |
OREGON 0.3% | ||
145,000 | State of Oregon, Series C, GO, 2.38%, 5/1/36 | 108,092 |
TEXAS 1.0% | ||
500,000 | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | 435,740 |
TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $1,181,192) | 990,493 | |
U.S. GOVERNMENT AGENCY OBLIGATIONS 1.1% | ||
250,000 | FNMA, 2.63%, 9/6/24 | 242,929 |
240,000 | FNMA, 1.88%, 9/24/26(3) | 219,432 |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $483,516) | 462,361 | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES 24.6% | ||
1,065,000 | Fannie Mae, 4.00%, 10/1/52 | 988,453 |
1,250,000 | Fannie Mae, 4.50%, 10/1/52 | 1,191,016 |
Principal Amount | Value | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES 24.6% (continued) | ||
$2,100,000 | Fannie Mae, 5.50%, 10/1/52 | $ 2,089,188 |
21,676 | FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35 | 21,195 |
94,059 | FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34 | 89,852 |
37,385 | FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41 | 34,519 |
13,299 | FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25 | 12,900 |
19,085 | FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42 | 17,563 |
19,686 | FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42 | 18,677 |
40,111 | FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42 | 36,887 |
135,481 | FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43 | 121,616 |
161,577 | FHLMC Gold Pool #Q34167, 4.00%, 6/1/45 | 153,708 |
67,173 | FHLMC Gold Pool #Q57991, 4.00%, 8/1/48 | 63,544 |
206,526 | FHLMC Pool #QB2958, 3.00%, 9/1/50 | 181,178 |
198,021 | FHLMC Pool #QB5314, 2.50%, 11/1/50 | 167,765 |
243,963 | FHLMC Pool #QB8153, 2.50%, 1/1/51 | 206,617 |
145,852 | FHLMC Pool #SD8023, 2.50%, 11/1/49 | 123,564 |
164,853 | FHLMC Pool #SD8163, 3.50%, 8/1/51 | 148,944 |
457,019 | FHLMC Pool #SD8173, 2.50%, 10/1/51 | 386,016 |
53,232 | FNMA Pool #AB2346, 4.50%, 2/1/41 | 52,169 |
38,162 | FNMA Pool #AB5231, 2.50%, 5/1/27 | 36,670 |
36,951 | FNMA Pool #AB5716, 3.00%, 7/1/27 | 35,796 |
50,779 | FNMA Pool #AI4285, 5.00%, 6/1/41 | 51,165 |
221,518 | FNMA Pool #AR6394, 3.00%, 2/1/43 | 198,912 |
64,596 | FNMA Pool #AS5892, 3.50%, 10/1/45 | 59,364 |
21,249 | FNMA Pool #AS6102, 3.50%, 11/1/45 | 19,527 |
38,571 | FNMA Pool #AS6205, 3.50%, 11/1/45 | 35,446 |
29,565 | FNMA Pool #AS6385, 4.00%, 12/1/45 | 28,060 |
70,218 | FNMA Pool #AS9562, 3.00%, 5/1/47 | 62,314 |
80,517 | FNMA Pool #AU4279, 3.00%, 9/1/43 | 72,078 |
65,283 | FNMA Pool #AV0703, 4.00%, 12/1/43 | 61,764 |
30,552 | FNMA Pool #AW7362, 2.50%, 8/1/29 | 28,386 |
77,242 | FNMA Pool #AX0416, 4.00%, 8/1/44 | 72,776 |
44,940 | FNMA Pool #AY1670, 3.50%, 2/1/45 | 41,298 |
28,207 | FNMA Pool #AY4195, 4.00%, 5/1/45 | 26,705 |
37,169 | FNMA Pool #BA3885, 3.50%, 11/1/45 | 34,128 |
151,313 | FNMA Pool #CA2320, 3.50%, 9/1/48 | 138,384 |
70,252 | FNMA Pool #CA5540, 3.00%, 4/1/50 | 61,774 |
735,167 | FNMA Pool #CB0856, 3.00%, 6/1/51 | 644,223 |
1,200,840 | FNMA Pool #FM9834, 3.50%, 6/1/49 | 1,093,062 |
66,042 | FNMA Pool #MA0641, 4.00%, 2/1/31 | 63,030 |
82,162 | FNMA Pool #MA4012, 2.00%, 5/1/35 | 72,756 |
478,977 | FNMA Pool #MA4548, 2.50%, 2/1/52 | 404,194 |
18,247 | FNMA REMIC Trust Series 2013-18, Series 2013-18, Class AE, 2.00%, 3/25/28 | 17,320 |
9,581 | GNMA, Series 2011-136, Class GB, 2.50%, 5/20/40 | 9,495 |
1,424,945 | GNMA, Series 2021-98, Class 2021-IG, IO, 3.00%, 6/20/51 | 216,724 |
38,027 | GNMA II Pool #5332, 4.00%, 3/20/42 | 36,560 |
141,980 | GNMA II Pool #MA3937, 3.50%, 9/20/46 | 131,215 |
129,138 | GNMA II Pool #MA7054, 3.50%, 12/20/50 | 118,547 |
135,524 | GNMA II Pool #MA7651, 3.50%, 10/20/51 | 123,887 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $11,123,020) | 10,100,931 |
See Supplementary Notes to Financial Statements.
4
September 30, 2022
Principal Amount | Value | |
U.S. TREASURY OBLIGATIONS 24.8% | ||
$ 120,000 | U.S. Treasury Bonds, 5.38%, 2/15/31 | $ 132,623 |
425,000 | U.S. Treasury Bonds, 4.38%, 2/15/38 | 452,094 |
650,000 | U.S. Treasury Bonds, 3.50%, 2/15/39 | 618,592 |
350,000 | U.S. Treasury Bonds, 1.13%, 5/15/40 | 218,750 |
380,000 | U.S. Treasury Bonds, 2.88%, 5/15/43 | 313,396 |
964,000 | U.S. Treasury Bonds, 3.00%, 2/15/48 | 812,434 |
2,056,000 | U.S. Treasury Bonds, 2.25%, 8/15/49 | 1,504,896 |
150,000 | U.S. Treasury Bonds, 2.88%, 5/15/52 | 125,813 |
110,543 | U.S. Treasury Inflation Indexed Note, 0.13%, 7/15/31 | 96,227 |
500,000 | U.S. Treasury Notes, 0.13%, 7/15/23 | 484,355 |
550,000 | U.S. Treasury Notes, 0.13%, 8/31/23 | 529,676 |
340,000 | U.S. Treasury Notes, 0.25%, 11/15/23 | 324,992 |
1,085,000 | U.S. Treasury Notes, 2.25%, 11/15/24 | 1,041,134 |
200,000 | U.S. Treasury Notes, 3.00%, 9/30/25 | 193,063 |
620,000 | U.S. Treasury Notes, 1.50%, 8/15/26 | 560,930 |
350,000 | U.S. Treasury Notes, 1.13%, 2/28/27 | 308,328 |
100,000 | U.S. Treasury Notes, 0.63%, 11/30/27 | 84,125 |
790,000 | U.S. Treasury Notes, 2.75%, 2/15/28 | 740,224 |
175,000 | U.S. Treasury Notes, 1.25%, 6/30/28 | 150,056 |
500,000 | U.S. Treasury Notes, 1.63%, 8/15/29 | 431,328 |
675,000 | U.S. Treasury Notes, 1.50%, 2/15/30 | 573,038 |
625,000 | U.S. Treasury Notes, 1.13%, 2/15/31 | 505,981 |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $12,002,968) | 10,202,055 |
Shares | Value | |
SHORT-TERM INVESTMENTS 20.1% | ||
MONEY MARKET FUNDS 20.1% | ||
6,610,478 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.94%(4) | 6,610,478 |
1,641,347 | State Street Navigator Securities Lending Government Money Market Portfolio(5) | 1,641,347 |
8,251,825 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,251,825) | 8,251,825 | |
TOTAL INVESTMENTS IN SECURITIES 114.8% (Cost $52,894,241) | $47,180,208 | |
EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (14.8)% | (6,082,485) | |
NET ASSETS(6) 100.0% | $41,097,723 |
(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 September 30, 2022. 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 September 30, 2022, the market value of the securities on loan was $2,535,135. |
(4) | Rate reflects 7 day yield as of September 30, 2022. |
(5) | Securities with an aggregate market value of $2,535,135 were out on loan in exchange for $1,641,347 of cash collateral as of September 30, 2022. The collateral was invested in a cash collateral reinvestment vehicle. |
(6) | For federal income tax purposes, the aggregate cost was $52,894,241, aggregate gross unrealized appreciation was $13,470, aggregate gross unrealized depreciation was $5,727,503 and the net unrealized depreciation was $5,714,033. |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association. |
FREMF | Freddie Mac Multifamily. |
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. |
See Supplementary Notes to Financial Statements.
5
Supplementary Notes to Schedule of Investments
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 are 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 the 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 September 30, 2022:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total |
Assets | ||||
Asset-Backed Securities | $— | $338,140 | $— | $338,140 |
Commercial Mortgage-Backed Securities | — | 2,121,165 | — | 2,121,165 |
Corporate Bonds & Notes* | — | 14,564,006 | — | 14,564,006 |
Foreign Government Obligations | — | 149,232 | — | 149,232 |
Long-Term Municipal Securities* | — | 990,493 | — | 990,493 |
U.S. Government Agency Obligations | — | 462,361 | — | 462,361 |
Residential Mortgage-Backed Securities | — | 10,100,931 | — | 10,100,931 |
U.S. Treasury Obligations | — | 10,202,055 | — | 10,202,055 |
Short-Term Investments | 8,251,825 | — | — | 8,251,825 |
Total Investments in Securities | $8,251,825 | $38,928,383 | $— | $47,180,208 |
* | See Schedule of Investments for further breakdown by category. |
An investments asset or liability 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 September 30, 2022, there were no Level 3 investments.
6