Value Line Core Bond Fund
Schedule of Investments (unaudited)
March 31, 2023
Principal Amount | Value | |
COLLATERALIZED MORTGAGE OBLIGATIONS 1.6% | ||
$ 330,830 | FHLMC, Series 2023-DNA1, Class 2023-M1A, REMIC, (SOFR30A + 2.10%), 6.66%, 3/25/43(1)(2) | $ 331,287 |
325,051 | FNMA, Series 2023-R02, Class 1M1, (SOFR30A + 2.30%), 6.87%, 1/25/43(1)(2) | 324,691 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $658,950) | 655,978 | |
COMMERCIAL MORTGAGE-BACKED SECURITIES 5.1% | ||
150,000 | COMM Mortgage Trust, Series 2014-UBS2, Class AM, 4.20%, 3/10/47 | 146,360 |
180,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K058, Class A2, 2.65%, 8/25/26 | 170,661 |
250,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K061, Class A2, 3.35%, 11/25/26(2) | 241,060 |
200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K063, Class A2, 3.43%, 1/25/27(2) | 194,017 |
300,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K069, Class A2, 3.19%, 9/25/27(2) | 287,603 |
200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K092, Class A2, 3.30%, 4/25/29 | 190,485 |
450,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K103, Class A2, 2.65%, 11/25/29 | 409,941 |
175,000 | FREMF Mortgage Trust, Series 2015-K43, Class B, 3.73%, 2/25/48(1)(2) | 169,569 |
138,847 | GNMA, Series 2012-125, Class AB, 2.11%, 2/16/53(2) | 119,210 |
104,546 | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | 97,815 |
36,751 | Sequoia Mortgage Trust, Series 2004-8, Class A1, (1-month LIBOR + 0.70%), 5.46%, 9/20/34(2) | 31,163 |
39,507 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class ASB, 3.46%, 7/15/58 | 38,447 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $2,403,514) | 2,096,331 | |
CORPORATE BONDS & NOTES 32.8% | ||
BASIC MATERIALS 1.0% | ||
CHEMICALS 0.3% | ||
150,000 | Nutrien Ltd., Senior Unsecured Notes, 4.20%, 4/1/29 | 144,476 |
IRON/STEEL 0.4% | ||
165,000 | Steel Dynamics, Inc., Senior Unsecured Notes, 3.25%, 1/15/31 | 146,875 |
MINING 0.3% | ||
145,000 | Freeport-McMoRan, Inc., Guaranteed Notes, 4.63%, 8/1/30 | 136,960 |
428,311 | ||
COMMUNICATIONS 2.8% | ||
INTERNET 0.7% | ||
150,000 | Expedia Group, Inc., Guaranteed Notes, 3.25%, 2/15/30 | 129,990 |
Principal Amount | Value | |
CORPORATE BONDS & NOTES 32.8% (continued) | ||
COMMUNICATIONS 2.8% (continued) | ||
INTERNET 0.7% (continued) | ||
$ 145,000 | Netflix, Inc., Senior Unsecured Notes, 4.88%, 4/15/28 | $ 144,275 |
274,265 | ||
MEDIA 0.8% | ||
150,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.91%, 7/23/25 | 148,503 |
175,000 | Comcast Corp., Guaranteed Notes, 4.15%, 10/15/28 | 173,114 |
321,617 | ||
TELECOMMUNICATIONS 1.3% | ||
150,000 | AT&T, Inc., Senior Unsecured Notes, 2.55%, 12/1/33 | 120,653 |
150,000 | Motorola Solutions, Inc., Senior Unsecured Notes, 4.60%, 5/23/29 | 145,915 |
150,000 | T-Mobile USA, Inc., Guaranteed Notes, 3.50%, 4/15/31 | 134,875 |
175,000 | Vodafone Group PLC, Senior Unsecured Notes, 4.25%, 9/17/50 | 143,066 |
544,509 | ||
1,140,391 | ||
CONSUMER, CYCLICAL 4.2% | ||
AUTO MANUFACTURERS 1.1% | ||
175,000 | Cummins, Inc., Senior Unsecured Notes, 1.50%, 9/1/30 | 143,175 |
170,000 | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.38%, 11/13/25 | 159,339 |
150,000 | General Motors Financial Co., Inc., Senior Unsecured Notes, 5.00%, 4/9/27 | 148,225 |
450,739 | ||
HOME BUILDERS 0.7% | ||
142,000 | PulteGroup, Inc., Guaranteed Notes, 5.00%, 1/15/27 | 140,822 |
150,000 | Toll Brothers Finance Corp., Guaranteed Notes, 4.88%, 11/15/25 | 147,139 |
287,961 | ||
LODGING 0.6% | ||
125,000 | Hyatt Hotels Corp., Senior Unsecured Notes, 1.80%, 10/1/24 | 118,343 |
150,000 | Marriott International, Inc., 4.90%, 4/15/29 | 148,686 |
267,029 | ||
RETAIL 1.8% | ||
150,000 | AutoZone, Inc., Senior Unsecured Notes, 3.75%, 6/1/27 | 145,107 |
175,000 | Costco Wholesale Corp., Senior Unsecured Notes, 1.75%, 4/20/32 | 143,868 |
150,000 | Dollar General Corp., Senior Unsecured Notes, 3.50%, 4/3/30 | 137,780 |
150,000 | McDonald's Corp., Senior Unsecured Notes, 4.60%, 9/9/32(3) | 151,784 |
See Supplementary Notes to Financial Statements.
1
Schedule of Investments (unaudited) (continued)
Principal Amount | Value | |
CORPORATE BONDS & NOTES 32.8% (continued) | ||
CONSUMER, CYCLICAL 4.2% (continued) | ||
RETAIL 1.8% (continued) | ||
$ 150,000 | O'Reilly Automotive, Inc., Senior Unsecured Notes, 3.60%, 9/1/27 | $ 144,802 |
723,341 | ||
1,729,070 | ||
CONSUMER, NON-CYCLICAL 6.6% | ||
BEVERAGES 1.3% | ||
150,000 | Anheuser-Busch InBev Worldwide, Inc., Guaranteed Notes, 4.90%, 1/23/31(3) | 154,538 |
150,000 | Constellation Brands, Inc., 2.25%, 8/1/31 | 123,232 |
160,000 | Constellation Brands, Inc., Guaranteed Notes, 5.25%, 11/15/48 | 154,296 |
125,000 | Diageo Capital PLC, Guaranteed Notes, 2.00%, 4/29/30 | 106,498 |
538,564 | ||
BIOTECHNOLOGY 0.6% | ||
150,000 | Amgen, Inc., Senior Unsecured Notes, 2.20%, 2/21/27(3) | 138,203 |
150,000 | Regeneron Pharmaceuticals, Inc., Senior Unsecured Notes, 1.75%, 9/15/30 | 121,389 |
259,592 | ||
COMMERCIAL SERVICES 0.7% | ||
150,000 | PayPal Holdings, Inc., Senior Unsecured Notes, 2.65%, 10/1/26 | 141,441 |
155,000 | Service Corp. International, Senior Unsecured Notes, 4.00%, 5/15/31 | 136,121 |
277,562 | ||
HEALTHCARE SERVICES 1.8% | ||
150,000 | Centene Corp., Senior Unsecured Notes, 4.63%, 12/15/29 | 141,036 |
150,000 | Elevance Health, Inc., 4.75%, 2/15/33 | 150,753 |
150,000 | HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25 | 150,063 |
150,000 | Laboratory Corp. of America Holdings, Senior Unsecured Notes, 2.95%, 12/1/29 | 133,876 |
150,000 | UnitedHealth Group, Inc., Senior Unsecured Notes, 4.63%, 11/15/41 | 144,237 |
719,965 | ||
PHARMACEUTICALS 2.2% | ||
150,000 | AbbVie, Inc., Senior Unsecured Notes, 2.95%, 11/21/26 | 142,723 |
150,000 | AstraZeneca PLC, Senior Unsecured Notes, 1.38%, 8/6/30 | 122,278 |
150,000 | Becton Dickinson and Co., Senior Unsecured Notes, 3.70%, 6/6/27(3) | 144,923 |
150,000 | CVS Health Corp., Senior Unsecured Notes, 1.75%, 8/21/30 | 121,942 |
175,000 | Merck & Co., Inc., Senior Unsecured Notes, 3.90%, 3/7/39 | 160,374 |
160,000 | Novartis Capital Corp., Guaranteed Notes, 2.75%, 8/14/50(3) | 118,363 |
140,000 | Takeda Pharmaceutical Co. Ltd., Senior Unsecured Notes, 3.03%, 7/9/40 | 106,806 |
917,409 | ||
2,713,092 |
Principal Amount | Value | |
CORPORATE BONDS & NOTES 32.8% (continued) | ||
ENERGY 3.4% | ||
OIL & GAS 1.5% | ||
$ 150,000 | Canadian Natural Resources Ltd., Senior Unsecured Notes, 2.05%, 7/15/25 | $ 140,135 |
165,000 | EOG Resources, Inc., Senior Unsecured Notes, 4.38%, 4/15/30 | 164,478 |
150,000 | Hess Corp., Senior Unsecured Notes, 4.30%, 4/1/27 | 146,419 |
150,000 | Occidental Petroleum Corp., Senior Unsecured Notes, 5.50%, 12/1/25 | 149,831 |
600,863 | ||
PIPELINES 1.9% | ||
125,000 | Boardwalk Pipelines LP, Guaranteed Notes, 4.95%, 12/15/24 | 124,247 |
150,000 | Enbridge, Inc., Guaranteed Notes, 2.50%, 8/1/33 | 120,874 |
140,000 | Enterprise Products Operating LLC, Guaranteed Notes, 4.85%, 8/15/42 | 130,510 |
140,000 | Magellan Midstream Partners LP, Senior Unsecured Notes, 4.25%, 9/15/46 | 111,365 |
150,000 | Targa Resources Corp., Guaranteed Notes, 5.20%, 7/1/27 | 148,746 |
150,000 | TransCanada PipeLines Ltd., Senior Unsecured Notes, 4.25%, 5/15/28 | 145,541 |
781,283 | ||
1,382,146 | ||
FINANCIAL 11.2% | ||
BANKS 5.6% | ||
150,000 | Bank of New York Mellon Corp., (SOFR + 1.51%), 4.71%, 2/1/34(2) | 148,469 |
150,000 | Citigroup, Inc., Senior Unsecured Notes, (3-month LIBOR + 1.16%), 3.35%, 4/24/25(2) | 146,190 |
155,000 | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | 147,420 |
175,000 | Goldman Sachs Group, Inc., Senior Unsecured Notes, 3.75%, 2/25/26 | 170,113 |
125,000 | JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26 | 122,041 |
175,000 | JPMorgan Chase & Co., Senior Unsecured Notes, (3-month LIBOR + 1.38%), 3.96%, 11/15/48(2) | 144,658 |
150,000 | KeyCorp, Senior Unsecured Notes, 2.55%, 10/1/29(3) | 119,855 |
175,000 | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.90%, 3/12/24 | 171,558 |
150,000 | Morgan Stanley, (SOFR + 2.56%), 6.34%, 10/18/33(2) | 163,829 |
150,000 | NatWest Group PLC, (1 yr. CMT + 1.30%), 5.85%, 3/2/27(2) | 150,383 |
150,000 | Northern Trust Corp., Senior Unsecured Notes, 1.95%, 5/1/30(3) | 125,072 |
150,000 | PNC Financial Services Group, Inc. (The), Senior Unsecured Notes, (SOFR + 0.98%), 2.31%, 4/23/32(2) | 122,779 |
160,000 | Royal Bank of Canada, 5.00%, 2/1/33 | 161,899 |
150,000 | Synovus Bank, 5.63%, 2/15/28 | 134,625 |
See Supplementary Notes to Financial Statements.
2
March 31, 2023
Principal Amount | Value | |
CORPORATE BONDS & NOTES 32.8% (continued) | ||
FINANCIAL 11.2% (continued) | ||
BANKS 5.6% (continued) | ||
$ 200,000 | Wells Fargo & Co., Senior Unsecured Notes, (SOFR + 1.32%), 5.96%, 4/25/26(2) | $ 199,794 |
150,000 | Zions Bancorp NA, Subordinated Notes, 3.25%, 10/29/29 | 104,823 |
2,333,508 | ||
DIVERSIFIED FINANCIALS 1.5% | ||
175,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Guaranteed Notes, 1.75%, 1/30/26 | 156,698 |
175,000 | Air Lease Corp., Senior Unsecured Notes, 3.63%, 4/1/27 | 162,260 |
160,000 | Ally Financial, Inc., Senior Unsecured Notes, 4.75%, 6/9/27 | 149,000 |
165,000 | Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24 | 157,332 |
625,290 | ||
INSURANCE 1.0% | ||
150,000 | Aflac, Inc., Senior Unsecured Notes, 3.60%, 4/1/30 | 141,111 |
125,000 | Allstate Corp., Senior Unsecured Notes, 1.45%, 12/15/30 | 97,224 |
175,000 | Prudential Financial, Inc., Junior Subordinated Notes, (3-month LIBOR + 2.67%), 5.70%, 9/15/48(2) | 163,188 |
401,523 | ||
REITS 3.1% | ||
150,000 | American Tower Corp., 5.50%, 3/15/28 | 152,930 |
125,000 | AvalonBay Communities, Inc., Senior Unsecured Notes, 2.45%, 1/15/31 | 105,323 |
150,000 | Crown Castle, Inc., Senior Unsecured Notes, 3.80%, 2/15/28 | 142,352 |
125,000 | Digital Realty Trust LP, Guaranteed Notes, 3.60%, 7/1/29 | 112,227 |
150,000 | Equinix, Inc., Senior Unsecured Notes, 2.50%, 5/15/31 | 123,513 |
150,000 | Kimco Realty Corp., Senior Unsecured Notes, 2.25%, 12/1/31 | 117,512 |
150,000 | Life Storage LP, Guaranteed Notes, 2.20%, 10/15/30 | 123,069 |
140,000 | Prologis LP, Senior Unsecured Notes, 2.25%, 4/15/30 | 118,767 |
155,000 | Sabra Health Care LP, Guaranteed Notes, 3.90%, 10/15/29 | 128,163 |
150,000 | Welltower, Inc., Senior Unsecured Notes, 4.25%, 4/15/28 | 143,451 |
1,267,307 | ||
4,627,628 | ||
INDUSTRIAL 1.9% | ||
BUILDING MATERIALS 0.3% | ||
150,000 | Vulcan Materials Co., Senior Unsecured Notes, 3.50%, 6/1/30 | 137,081 |
ELECTRONICS 0.7% | ||
160,000 | Amphenol Corp., Senior Unsecured Notes, 2.20%, 9/15/31 | 132,712 |
Principal Amount | Value | |
CORPORATE BONDS & NOTES 32.8% (continued) | ||
INDUSTRIAL 1.9% (continued) | ||
ELECTRONICS 0.7% (continued) | ||
$ 150,000 | Flex Ltd., Senior Unsecured Notes, 4.75%, 6/15/25 | $ 147,260 |
279,972 | ||
MACHINERY - DIVERSIFIED 0.3% | ||
150,000 | John Deere Capital Corp., Senior Unsecured Notes, 2.45%, 1/9/30 | 133,394 |
TRANSPORTATION 0.6% | ||
175,000 | CSX Corp., Senior Unsecured Notes, 3.35%, 9/15/49 | 131,783 |
150,000 | Union Pacific Corp., Senior Unsecured Notes, 3.25%, 2/5/50 | 114,000 |
245,783 | ||
796,230 | ||
TECHNOLOGY 1.3% | ||
SEMICONDUCTORS 0.6% | ||
140,000 | Analog Devices, Inc., Senior Unsecured Notes, 2.80%, 10/1/41 | 106,877 |
140,000 | Broadcom, Inc., 4.30%, 11/15/32 | 128,988 |
235,865 | ||
SOFTWARE 0.7% | ||
150,000 | Adobe, Inc., Senior Unsecured Notes, 2.30%, 2/1/30(3) | 133,221 |
150,000 | Oracle Corp., 6.25%, 11/9/32 | 161,332 |
294,553 | ||
530,418 | ||
UTILITIES 0.4% | ||
ELECTRIC 0.4% | ||
150,000 | Duke Energy Corp., Senior Unsecured Notes, 4.50%, 8/15/32 | 145,020 |
TOTAL CORPORATE BONDS & NOTES (Cost $14,887,827) | 13,492,306 | |
LONG-TERM MUNICIPAL SECURITIES 2.5% | ||
CALIFORNIA 0.4% | ||
200,000 | San Marcos California Unified School District, Refunding Revenue Bonds, 3.17%, 8/1/38 | 159,520 |
CONNECTICUT 0.2% | ||
125,000 | Hartford County Metropolitan District Clean Water Project Revenue, Series B, 2.17%, 4/1/34 | 99,160 |
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 | 199,926 |
OREGON 0.3% | ||
145,000 | State of Oregon, Series C, GO, 2.38%, 5/1/36 | 112,396 |
TEXAS 1.1% | ||
500,000 | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, Series C, 4.45%, 11/15/43 | 458,907 |
TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $1,178,829) | 1,029,909 |
See Supplementary Notes to Financial Statements.
3
Schedule of Investments (unaudited) (continued)
Principal Amount | Value | |
U.S. GOVERNMENT AGENCY OBLIGATIONS 0.6% | ||
$ 250,000 | FNMA, 2.63%, 9/6/24(3) | $ 244,058 |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $250,439) | 244,058 | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES 27.8% | ||
20,763 | FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35 | 20,898 |
88,262 | FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34 | 86,261 |
35,295 | FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41 | 33,714 |
9,712 | FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25 | 9,767 |
17,499 | FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42 | 16,713 |
19,333 | FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42 | 18,940 |
37,344 | FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42 | 35,667 |
120,271 | FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43 | 111,046 |
155,802 | FHLMC Gold Pool #Q34167, 4.00%, 6/1/45 | 152,063 |
49,897 | FHLMC Gold Pool #Q57991, 4.00%, 8/1/48 | 48,514 |
177,938 | FHLMC Pool #QB2958, 3.00%, 9/1/50 | 160,420 |
189,876 | FHLMC Pool #QB5314, 2.50%, 11/1/50 | 164,033 |
233,839 | FHLMC Pool #QB8153, 2.50%, 1/1/51 | 202,615 |
140,170 | FHLMC Pool #SD8023, 2.50%, 11/1/49 | 121,481 |
154,966 | FHLMC Pool #SD8163, 3.50%, 8/1/51 | 144,409 |
443,187 | FHLMC Pool #SD8173, 2.50%, 10/1/51 | 382,393 |
809,147 | FHLMC Pool, #QF1236, 4.50%, 10/1/52 | 792,743 |
1,042,396 | FHLMC Pool, #SD8256, 4.00%, 10/1/52 | 996,945 |
1,038,202 | FHLMC Pool, #SD8300, 5.50%, 2/1/53 | 1,048,641 |
50,503 | FNMA Pool #AB2346, 4.50%, 2/1/41 | 50,789 |
31,830 | FNMA Pool #AB5231, 2.50%, 5/1/27 | 30,685 |
31,152 | FNMA Pool #AB5716, 3.00%, 7/1/27 | 30,263 |
49,943 | FNMA Pool #AI4285, 5.00%, 6/1/41 | 51,010 |
216,898 | FNMA Pool #AR6394, 3.00%, 2/1/43 | 200,051 |
61,690 | FNMA Pool #AS5892, 3.50%, 10/1/45 | 58,243 |
20,111 | FNMA Pool #AS6102, 3.50%, 11/1/45 | 18,987 |
36,322 | FNMA Pool #AS6205, 3.50%, 11/1/45 | 34,293 |
27,349 | FNMA Pool #AS6385, 4.00%, 12/1/45 | 26,665 |
68,740 | FNMA Pool #AS9562, 3.00%, 5/1/47 | 62,783 |
77,001 | FNMA Pool #AU4279, 3.00%, 9/1/43 | 71,017 |
62,240 | FNMA Pool #AV0703, 4.00%, 12/1/43 | 60,874 |
27,642 | FNMA Pool #AW7362, 2.50%, 8/1/29 | 26,213 |
71,757 | FNMA Pool #AX0416, 4.00%, 8/1/44 | 69,694 |
42,970 | FNMA Pool #AY1670, 3.50%, 2/1/45 | 40,675 |
25,754 | FNMA Pool #AY4195, 4.00%, 5/1/45 | 25,117 |
33,380 | FNMA Pool #BA3885, 3.50%, 11/1/45 | 31,514 |
1,070,000 | FNMA Pool #BX7762, 5.00%, 3/1/53 | 1,067,052 |
133,663 | FNMA Pool #CA2320, 3.50%, 9/1/48 | 126,592 |
67,222 | FNMA Pool #CA5540, 3.00%, 4/1/50 | 60,856 |
727,500 | FNMA Pool #CB0856, 3.00%, 6/1/51 | 654,524 |
834,030 | FNMA Pool #CB5892, 4.50%, 3/1/53 | 817,538 |
1,140,469 | FNMA Pool #FM9834, 3.50%, 6/1/49 | 1,069,925 |
59,209 | FNMA Pool #MA0641, 4.00%, 2/1/31 | 57,808 |
76,940 | FNMA Pool #MA4012, 2.00%, 5/1/35 | 69,836 |
466,774 | FNMA Pool #MA4548, 2.50%, 2/1/52 | 402,666 |
1,050,000 | FNMA Pool #MA4979, 5.50%, 4/1/53 | 1,060,558 |
15,027 | FNMA REMIC Trust Series 2013-18, Series 2013-18, Class AE, 2.00%, 3/25/28 | 14,303 |
Principal Amount | Value | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES 27.8% (continued) | ||
$ 8,253 | GNMA, Series 2011-136, Class GB, 2.50%, 5/20/40 | $ 8,209 |
1,373,113 | GNMA, Series 2021-98, Class 2021-IG, IO, 3.00%, 6/20/51 | 206,678 |
35,810 | GNMA II Pool #5332, 4.00%, 3/20/42 | 35,358 |
133,586 | GNMA II Pool #MA3937, 3.50%, 9/20/46 | 127,125 |
122,811 | GNMA II Pool #MA7054, 3.50%, 12/20/50 | 116,131 |
129,829 | GNMA II Pool #MA7651, 3.50%, 10/20/51 | 121,695 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $12,190,914) | 11,452,990 | |
U.S. TREASURY OBLIGATIONS 25.8% | ||
120,000 | U.S. Treasury Bonds, 5.38%, 2/15/31(3) | 135,220 |
250,000 | U.S. Treasury Bonds, 4.38%, 2/15/38 | 273,750 |
650,000 | U.S. Treasury Bonds, 3.50%, 2/15/39 | 642,129 |
350,000 | U.S. Treasury Bonds, 1.13%, 5/15/40 | 232,900 |
750,000 | U.S. Treasury Bonds, 2.88%, 5/15/43 | 648,018 |
964,000 | U.S. Treasury Bonds, 3.00%, 2/15/48 | 840,864 |
1,930,000 | U.S. Treasury Bonds, 2.25%, 8/15/49 | 1,451,194 |
200,000 | U.S. Treasury Bonds, 2.88%, 5/15/52 | 171,094 |
111,593 | U.S. Treasury Inflation Indexed Note, 0.13%, 7/15/31 | 102,767 |
550,000 | U.S. Treasury Notes, 1.25%, 7/31/23 | 543,641 |
550,000 | U.S. Treasury Notes, 0.13%, 8/31/23 | 539,731 |
1,335,000 | U.S. Treasury Notes, 2.25%, 11/15/24 | 1,293,125 |
300,000 | U.S. Treasury Notes, 3.00%, 9/30/25 | 293,402 |
1,075,000 | U.S. Treasury Notes, 2.75%, 2/15/28 | 1,032,588 |
675,000 | U.S. Treasury Notes, 1.63%, 8/15/29 | 602,068 |
200,000 | U.S. Treasury Notes, 3.50%, 1/31/30 | 199,188 |
700,000 | U.S. Treasury Notes, 1.50%, 2/15/30 | 613,648 |
625,000 | U.S. Treasury Notes, 1.13%, 2/15/31 | 526,294 |
525,000 | U.S. Treasury Notes, 2.75%, 8/15/32 | 494,074 |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $11,871,093) | 10,635,695 |
Shares | Value | |
SHORT-TERM INVESTMENTS 18.4% | ||
MONEY MARKET FUNDS 18.4% | ||
7,020,753 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.70%(4) | 7,020,753 |
561,688 | State Street Navigator Securities Lending Government Money Market Portfolio(5) | 561,688 |
7,582,441 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,582,441) | 7,582,441 | |
TOTAL INVESTMENTS IN SECURITIES 114.6% (Cost $51,024,007) | $47,189,708 | |
EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (14.6)% | (6,013,332) | |
NET ASSETS(6) 100.0% | $41,176,376 |
See Supplementary Notes to Financial Statements.
4
March 31, 2023
(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, 2023. 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, 2023, the market value of the securities on loan was $1,463,490. |
(4) | Rate reflects 7 day yield as of March 31, 2023. |
(5) | Securities with an aggregate market value of $1,463,490 were out on loan in exchange for $561,688 of cash collateral as of March 31, 2023. The collateral was invested in a cash collateral reinvestment vehicle. |
(6) | For federal income tax purposes, the aggregate cost was $51,024,007, aggregate gross unrealized appreciation was $75,768, aggregate gross unrealized depreciation was $3,910,067 and the net unrealized depreciation was $3,834,299. |
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. |
REMIC | Real Estate Mortgage Investment Conduit. |
SOFR | Secured Overnight Financing Rate. |
See Supplementary Notes to Financial Statements.
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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 March 31, 2023:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total |
Assets | ||||
Collateralized Mortgage Obligations | $— | $655,978 | $— | $655,978 |
Commercial Mortgage-Backed Securities | — | 2,096,331 | — | 2,096,331 |
Corporate Bonds & Notes* | — | 13,492,306 | — | 13,492,306 |
Long-Term Municipal Securities* | — | 1,029,909 | — | 1,029,909 |
U.S. Government Agency Obligations | — | 244,058 | — | 244,058 |
Residential Mortgage-Backed Securities | — | 11,452,990 | — | 11,452,990 |
U.S. Treasury Obligations | — | 10,635,695 | — | 10,635,695 |
Short-Term Investments | 7,582,441 | — | — | 7,582,441 |
Total Investments in Securities | $7,582,441 | $39,607,267 | $— | $47,189,708 |
* | 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, 2023, there were no Level 3 investments.
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