Value Line Core Bond Fund
Schedule of Investments (unaudited)
September 30, 2023
Principal Amount | Value | |
COLLATERALIZED MORTGAGE OBLIGATIONS 2.5% | ||
$ 300,761 | FHLMC, Series 2023-DNA1, Class M1A, REMIC, (SOFR30A + 2.10%), 7.42%, 3/25/43(1)(2) | $303,523 |
299,396 | FNMA, Series 2023-R02, Class 1M1, (SOFR30A + 2.30%), 7.62%, 1/25/43(1)(2) | 303,327 |
311,422 | FNMA, Series 2023-R04, Class 1M1, (SOFR30A + 2.30%), 7.62%, 5/25/43(1)(2) | 315,348 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $914,491) | 922,198 | |
COMMERCIAL MORTGAGE-BACKED SECURITIES 2.8% | ||
150,000 | COMM Mortgage Trust, Series 2014-UBS2, Class AM, 4.20%, 3/10/47 | 148,275 |
300,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K069, Class A2, 3.19%, 9/25/27(2) | 278,717 |
200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K092, Class A2, 3.30%, 4/25/29 | 182,418 |
175,000 | FREMF Mortgage Trust, Series 2015-K43, Class B, 3.86%, 2/25/48(1)(2) | 168,498 |
134,135 | GNMA, Series 2012-125, Class AB, 2.11%, 2/16/53(2) | 104,435 |
100,418 | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | 91,166 |
32,298 | Sequoia Mortgage Trust, Series 2004-8, Class A1, (SOFR + 0.70%), 6.14%, 9/20/34(2) | 28,134 |
28,441 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class ASB, 3.46%, 7/15/58 | 27,765 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $1,167,573) | 1,029,408 | |
CORPORATE BONDS & NOTES 32.9% | ||
BASIC MATERIALS 0.7% | ||
IRON/STEEL 0.4% | ||
165,000 | Steel Dynamics, Inc., Senior Unsecured Notes, 3.25%, 1/15/31 | 139,661 |
MINING 0.3% | ||
145,000 | Freeport-McMoRan, Inc., Guaranteed Notes, 4.63%, 8/1/30 | 130,642 |
270,303 | ||
COMMUNICATIONS 3.3% | ||
INTERNET 0.7% | ||
150,000 | Expedia Group, Inc., Guaranteed Notes, 3.25%, 2/15/30(3) | 126,870 |
150,000 | Netflix, Inc., Senior Unsecured Notes, 4.88%, 4/15/28(3) | 145,338 |
272,208 | ||
MEDIA 0.8% | ||
150,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.91%, 7/23/25 | 146,573 |
150,000 | Comcast Corp., Guaranteed Notes, 4.15%, 10/15/28(3) | 142,088 |
288,661 |
Principal Amount | Value | |
CORPORATE BONDS & NOTES 32.9% (continued) | ||
COMMUNICATIONS 3.3% (continued) | ||
TELECOMMUNICATIONS 1.8% | ||
$ 150,000 | AT&T, Inc., Senior Unsecured Notes, 2.55%, 12/1/33 | $110,173 |
150,000 | Bell Canada Co. (The), 5.10%, 5/11/33 | 140,222 |
150,000 | Cisco Systems, Inc., 2.50%, 9/20/26 | 139,251 |
150,000 | T-Mobile USA, Inc., Guaranteed Notes, 3.50%, 4/15/31 | 126,836 |
175,000 | Vodafone Group PLC, Senior Unsecured Notes, 4.25%, 9/17/50 | 126,877 |
643,359 | ||
1,204,228 | ||
CONSUMER, CYCLICAL 3.8% | ||
AUTO MANUFACTURERS 1.1% | ||
150,000 | Cummins, Inc., Senior Unsecured Notes, 1.50%, 9/1/30 | 117,139 |
170,000 | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.38%, 11/13/25 | 157,729 |
150,000 | General Motors Financial Co., Inc., Senior Unsecured Notes, 5.00%, 4/9/27 | 143,981 |
418,849 | ||
HOME BUILDERS 0.4% | ||
152,000 | PulteGroup, Inc., Guaranteed Notes, 5.00%, 1/15/27 | 148,601 |
LODGING 0.8% | ||
150,000 | Hyatt Hotels Corp., Senior Unsecured Notes, 1.80%, 10/1/24 | 143,902 |
150,000 | Marriott International, Inc., 4.90%, 4/15/29 | 143,018 |
286,920 | ||
RETAIL 1.5% | ||
150,000 | AutoZone, Inc., Senior Unsecured Notes, 3.75%, 6/1/27 | 141,342 |
150,000 | Costco Wholesale Corp., Senior Unsecured Notes, 1.75%, 4/20/32(3) | 114,824 |
150,000 | McDonald's Corp., Senior Unsecured Notes, 4.60%, 9/9/32(3) | 141,107 |
150,000 | O'Reilly Automotive, Inc., Senior Unsecured Notes, 3.60%, 9/1/27(3) | 140,078 |
537,351 | ||
1,391,721 | ||
CONSUMER, NON-CYCLICAL 7.5% | ||
BEVERAGES 1.3% | ||
125,000 | Anheuser-Busch InBev Worldwide, Inc., Guaranteed Notes, 4.90%, 1/23/31(3) | 121,702 |
150,000 | Constellation Brands, Inc., 2.25%, 8/1/31 | 116,849 |
150,000 | Constellation Brands, Inc., Guaranteed Notes, 5.25%, 11/15/48 | 132,950 |
135,000 | Diageo Capital PLC, Guaranteed Notes, 2.00%, 4/29/30 | 109,519 |
481,020 | ||
BIOTECHNOLOGY 1.1% | ||
160,000 | Amgen, Inc., Senior Unsecured Notes, 2.20%, 2/21/27 | 143,631 |
150,000 | Gilead Sciences, Inc., 4.60%, 9/1/35 | 137,264 |
See Supplementary Notes to Financial Statements.
1
Schedule of Investments (unaudited) (continued)
Principal Amount | Value | |
CORPORATE BONDS & NOTES 32.9% (continued) | ||
CONSUMER, NON-CYCLICAL 7.5% (continued) | ||
BIOTECHNOLOGY 1.1% (continued) | ||
$ 150,000 | Regeneron Pharmaceuticals, Inc., Senior Unsecured Notes, 1.75%, 9/15/30 | $115,417 |
396,312 | ||
COMMERCIAL SERVICES 0.7% | ||
150,000 | PayPal Holdings, Inc., Senior Unsecured Notes, 2.65%, 10/1/26 | 138,342 |
155,000 | Service Corp. International, Senior Unsecured Notes, 4.00%, 5/15/31 | 127,252 |
265,594 | ||
HEALTHCARE PRODUCTS 0.4% | ||
150,000 | Stryker Corp., 3.38%, 11/1/25 | 143,560 |
HEALTHCARE SERVICES 1.2% | ||
150,000 | Centene Corp., Senior Unsecured Notes, 4.63%, 12/15/29 | 135,094 |
150,000 | Elevance Health, Inc., 4.75%, 2/15/33 | 139,618 |
150,000 | HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25 | 148,413 |
423,125 | ||
PHARMACEUTICALS 2.8% | ||
150,000 | AbbVie, Inc., Senior Unsecured Notes, 2.95%, 11/21/26 | 139,201 |
150,000 | Astrazeneca Finance LLC, 4.88%, 3/3/28 | 147,371 |
150,000 | Becton Dickinson and Co., Senior Unsecured Notes, 3.70%, 6/6/27 | 140,571 |
150,000 | CVS Health Corp., Senior Unsecured Notes, 1.75%, 8/21/30 | 115,425 |
150,000 | Eli Lilly & Co., 4.70%, 2/27/33 | 144,400 |
150,000 | Merck & Co., Inc., Senior Unsecured Notes, 3.90%, 3/7/39 | 124,712 |
140,000 | Takeda Pharmaceutical Co. Ltd., Senior Unsecured Notes, 3.03%, 7/9/40 | 97,205 |
125,000 | Teva Pharmaceutical Finance Netherlands III BV, Guaranteed Notes, 3.15%, 10/1/26 | 111,409 |
1,020,294 | ||
2,729,905 | ||
ENERGY 3.0% | ||
OIL & GAS 1.2% | ||
150,000 | Canadian Natural Resources Ltd., Senior Unsecured Notes, 2.05%, 7/15/25 | 139,982 |
150,000 | Hess Corp., Senior Unsecured Notes, 4.30%, 4/1/27 | 142,482 |
150,000 | Occidental Petroleum Corp., Senior Unsecured Notes, 5.50%, 12/1/25(3) | 148,038 |
430,502 | ||
PIPELINES 1.8% | ||
150,000 | Boardwalk Pipelines LP, Guaranteed Notes, 4.95%, 12/15/24 | 147,795 |
150,000 | Enbridge, Inc., Guaranteed Notes, 2.50%, 8/1/33 | 111,264 |
150,000 | Energy Transfer LP, 5.25%, 4/15/29 | 143,825 |
150,000 | Enterprise Products Operating LLC, Guaranteed Notes, 4.85%, 8/15/42 | 129,401 |
Principal Amount | Value | |
CORPORATE BONDS & NOTES 32.9% (continued) | ||
ENERGY 3.0% (continued) | ||
PIPELINES 1.8% (continued) | ||
$ 150,000 | Targa Resources Corp., Guaranteed Notes, 5.20%, 7/1/27(3) | $146,988 |
679,273 | ||
1,109,775 | ||
FINANCIAL 9.7% | ||
BANKS 4.8% | ||
150,000 | Bank of America Corp., (SOFR + 2.16%), 5.02%, 7/22/33(2)(3) | 138,007 |
160,000 | Citigroup, Inc., Senior Unsecured Notes, (SOFR + 1.16%), 3.35%, 4/24/25(2) | 157,146 |
155,000 | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | 132,416 |
175,000 | Goldman Sachs Group, Inc., Senior Unsecured Notes, 3.75%, 2/25/26 | 166,360 |
150,000 | JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26 | 142,566 |
175,000 | JPMorgan Chase & Co., Senior Unsecured Notes, (SOFR + 1.64%), 3.96%, 11/15/48(2) | 127,684 |
175,000 | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.90%, 3/12/24 | 173,246 |
150,000 | Morgan Stanley, (SOFR + 2.56%), 6.34%, 10/18/33(2) | 150,855 |
150,000 | NatWest Group PLC, (1 yr. CMT + 1.35%), 5.85%, 3/2/27(2) | 148,045 |
150,000 | Northern Trust Corp., Senior Unsecured Notes, 1.95%, 5/1/30(3) | 119,438 |
160,000 | Royal Bank of Canada, 5.00%, 2/1/33 | 149,081 |
150,000 | Wells Fargo & Co., Senior Unsecured Notes, (SOFR + 1.32%), 6.64%, 4/25/26(2)(3) | 150,855 |
1,755,699 | ||
DIVERSIFIED FINANCIALS 2.1% | ||
175,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Guaranteed Notes, 1.75%, 1/30/26 | 157,932 |
150,000 | Air Lease Corp., Senior Unsecured Notes, 3.63%, 4/1/27 | 135,719 |
160,000 | Ally Financial, Inc., Senior Unsecured Notes, 4.75%, 6/9/27(3) | 147,491 |
155,000 | American Express Co., 4.90%, 2/13/26 | 152,068 |
165,000 | Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24 | 160,459 |
753,669 | ||
INSURANCE 0.7% | ||
150,000 | Aflac, Inc., Senior Unsecured Notes, 3.60%, 4/1/30 | 132,841 |
125,000 | Prudential Financial, Inc., Junior Subordinated Notes, (3-month LIBOR + 2.67%), 5.70%, 9/15/48(2) | 114,587 |
247,428 | ||
REITS 2.1% | ||
150,000 | American Tower Corp., 5.50%, 3/15/28 | 147,163 |
150,000 | Equinix, Inc., Senior Unsecured Notes, 2.50%, 5/15/31 | 117,090 |
See Supplementary Notes to Financial Statements.
2
September 30, 2023
Principal Amount | Value | |
CORPORATE BONDS & NOTES 32.9% (continued) | ||
FINANCIAL 9.7% (continued) | ||
REITS 2.1% (continued) | ||
$ 150,000 | Extra Space Storage LP, 2.20%, 10/15/30 | $116,312 |
150,000 | Kimco Realty Corp., Senior Unsecured Notes, 2.25%, 12/1/31 | 112,593 |
150,000 | Welltower, Inc., Senior Unsecured Notes, 4.25%, 4/15/28 | 139,741 |
150,000 | Weyerhaeuser Co., 4.75%, 5/15/26 | 146,381 |
779,280 | ||
3,536,076 | ||
INDUSTRIAL 1.6% | ||
ELECTRONICS 0.7% | ||
160,000 | Amphenol Corp., Senior Unsecured Notes, 2.20%, 9/15/31 | 125,114 |
150,000 | Flex Ltd., Senior Unsecured Notes, 4.75%, 6/15/25 | 146,350 |
271,464 | ||
MISCELLANEOUS MANUFACTURERS 0.4% | ||
150,000 | Teledyne Technologies, Inc., 2.25%, 4/1/28 | 129,051 |
TRANSPORTATION 0.5% | ||
150,000 | CSX Corp., Senior Unsecured Notes, 3.35%, 9/15/49 | 100,030 |
150,000 | Union Pacific Corp., Senior Unsecured Notes, 3.25%, 2/5/50 | 101,016 |
201,046 | ||
601,561 | ||
TECHNOLOGY 2.5% | ||
COMPUTERS 0.8% | ||
150,000 | Apple, Inc., 4.65%, 2/23/46 | 133,655 |
150,000 | Dell International LLC/EMC Corp., Senior Unsecured Notes, 4.90%, 10/1/26 | 146,348 |
280,003 | ||
SEMICONDUCTORS 0.9% | ||
140,000 | Analog Devices, Inc., Senior Unsecured Notes, 2.80%, 10/1/41 | 93,454 |
150,000 | Broadcom, Inc., 4.30%, 11/15/32 | 130,866 |
150,000 | NVIDIA Corp., 3.50%, 4/1/40 | 118,098 |
342,418 | ||
SOFTWARE 0.8% | ||
150,000 | Adobe, Inc., Senior Unsecured Notes, 2.30%, 2/1/30(3) | 126,218 |
150,000 | Oracle Corp., 6.25%, 11/9/32(3) | 151,853 |
278,071 | ||
900,492 | ||
UTILITIES 0.8% | ||
ELECTRIC 0.8% | ||
150,000 | Duke Energy Corp., Senior Unsecured Notes, 4.50%, 8/15/32 | 134,934 |
150,000 | Southern Co., 5.70%, 3/15/34 | 146,901 |
281,835 | ||
TOTAL CORPORATE BONDS & NOTES (Cost $13,378,452) | 12,025,896 |
Principal Amount | Value | |
LONG-TERM MUNICIPAL SECURITIES 2.3% | ||
CALIFORNIA 0.4% | ||
$ 150,000 | Regents of the University of California Medical Center Pooled Revenue, Series Q, 4.13%, 5/15/32 | $136,343 |
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 | 199,722 |
OREGON 0.3% | ||
145,000 | State of Oregon, Series C, GO, 2.38%, 5/1/36 | 103,279 |
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 | 416,490 |
TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $988,713) | 855,834 | |
U.S. GOVERNMENT AGENCY OBLIGATIONS 0.7% | ||
250,000 | FNMA, 2.63%, 9/6/24(3) | 243,515 |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $250,288) | 243,515 | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES 33.2% | ||
19,826 | FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35 | 18,944 |
79,964 | FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34 | 74,328 |
33,188 | FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41 | 29,499 |
5,427 | FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25 | 5,263 |
16,976 | FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42 | 15,088 |
18,992 | FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42 | 17,296 |
35,424 | FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42 | 31,467 |
112,659 | FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43 | 96,446 |
136,558 | FHLMC Gold Pool #Q34167, 4.00%, 6/1/45 | 124,859 |
28,823 | FHLMC Gold Pool #Q57991, 4.00%, 8/1/48 | 26,184 |
175,908 | FHLMC Pool #QB2958, 3.00%, 9/1/50 | 146,238 |
187,451 | FHLMC Pool #QB5314, 2.50%, 11/1/50 | 149,929 |
224,045 | FHLMC Pool #QB8153, 2.50%, 1/1/51 | 179,202 |
787,212 | FHLMC Pool #QF1236, 4.50%, 10/1/52 | 723,149 |
134,527 | FHLMC Pool #SD8023, 2.50%, 11/1/49 | 107,702 |
143,735 | FHLMC Pool #SD8163, 3.50%, 8/1/51 | 124,028 |
426,320 | FHLMC Pool #SD8173, 2.50%, 10/1/51 | 339,293 |
1,014,358 | FHLMC Pool #SD8256, 4.00%, 10/1/52 | 903,546 |
993,127 | FHLMC Pool #SD8300, 5.50%, 2/1/53 | 960,121 |
49,098 | FNMA Pool #AB2346, 4.50%, 2/1/41 | 46,384 |
25,787 | FNMA Pool #AB5231, 2.50%, 5/1/27 | 24,641 |
25,339 | FNMA Pool #AB5716, 3.00%, 7/1/27 | 24,366 |
46,399 | FNMA Pool #AI4285, 5.00%, 6/1/41 | 45,034 |
206,313 | FNMA Pool #AR6394, 3.00%, 2/1/43 | 176,390 |
57,929 | FNMA Pool #AS5892, 3.50%, 10/1/45 | 50,850 |
19,319 | FNMA Pool #AS6102, 3.50%, 11/1/45 | 16,952 |
34,337 | FNMA Pool #AS6205, 3.50%, 11/1/45 | 30,134 |
25,550 | FNMA Pool #AS6385, 4.00%, 12/1/45 | 23,243 |
65,332 | FNMA Pool #AS9562, 3.00%, 5/1/47 | 55,083 |
73,896 | FNMA Pool #AU4279, 3.00%, 9/1/43 | 63,167 |
59,084 | FNMA Pool #AV0703, 4.00%, 12/1/43 | 54,082 |
24,329 | FNMA Pool #AW7362, 2.50%, 8/1/29 | 22,133 |
See Supplementary Notes to Financial Statements.
3
Schedule of Investments (unaudited) (continued)
Principal Amount | Value | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES 33.2% (continued) | ||
$ 70,723 | FNMA Pool #AX0416, 4.00%, 8/1/44 | $64,264 |
41,115 | FNMA Pool #AY1670, 3.50%, 2/1/45 | 36,158 |
24,752 | FNMA Pool #AY4195, 4.00%, 5/1/45 | 22,586 |
32,882 | FNMA Pool #BA3885, 3.50%, 11/1/45 | 28,843 |
1,052,661 | FNMA Pool #BX7762, 5.00%, 3/1/53 | 993,927 |
131,761 | FNMA Pool #CA2320, 3.50%, 9/1/48 | 116,232 |
64,461 | FNMA Pool #CA5540, 3.00%, 4/1/50 | 53,982 |
719,996 | FNMA Pool #CB0856, 3.00%, 6/1/51 | 597,397 |
803,050 | FNMA Pool #CB5892, 4.50%, 3/1/53 | 737,764 |
1,068,723 | FNMA Pool #FM9834, 3.50%, 6/1/49 | 933,907 |
53,050 | FNMA Pool #MA0641, 4.00%, 2/1/31 | 49,256 |
71,573 | FNMA Pool #MA4012, 2.00%, 5/1/35 | 62,003 |
451,366 | FNMA Pool #MA4548, 2.50%, 2/1/52 | 358,969 |
1,001,630 | FNMA Pool #MA4979, 5.50%, 4/1/53 | 968,341 |
790,386 | FNMA Pool #MA5106, 5.00%, 8/1/53 | 746,049 |
750,000 | FNMA Pool #MA5166, 6.00%, 10/1/53 | 740,413 |
12,541 | FNMA REMIC Trust Series 2013-18, Series 2013-18, Class AE, 2.00%, 3/25/28 | 11,842 |
7,042 | GNMA, Series 2011-136, Class GB, 2.50%, 5/20/40 | 6,678 |
1,307,914 | GNMA, Series 2021-98, Class IG, IO, 3.00%, 6/20/51 | 194,903 |
34,087 | GNMA II Pool #5332, 4.00%, 3/20/42 | 31,531 |
126,047 | GNMA II Pool #MA3937, 3.50%, 9/20/46 | 112,062 |
115,999 | GNMA II Pool #MA7054, 3.50%, 12/20/50 | 102,212 |
123,697 | GNMA II Pool #MA7651, 3.50%, 10/20/51 | 108,608 |
407,174 | GNMA II Pool #MA8945, 4.00%, 6/20/53 | 366,902 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $13,556,789) | 12,149,870 | |
U.S. TREASURY OBLIGATIONS 23.4% | ||
120,000 | U.S. Treasury Bonds, 5.38%, 2/15/31 | 125,798 |
250,000 | U.S. Treasury Bonds, 4.38%, 2/15/38 | 242,236 |
650,000 | U.S. Treasury Bonds, 3.50%, 2/15/39 | 561,514 |
425,000 | U.S. Treasury Bonds, 1.13%, 5/15/40 | 243,943 |
800,000 | U.S. Treasury Bonds, 2.88%, 5/15/43 | 592,688 |
800,000 | U.S. Treasury Bonds, 3.00%, 2/15/48 | 585,313 |
1,550,000 | U.S. Treasury Bonds, 2.25%, 8/15/49 | 964,875 |
300,000 | U.S. Treasury Notes, 2.25%, 3/31/24 | 295,301 |
150,000 | U.S. Treasury Notes, 2.38%, 8/15/24 | 146,033 |
1,235,000 | U.S. Treasury Notes, 2.25%, 11/15/24 | 1,193,029 |
300,000 | U.S. Treasury Notes, 3.00%, 9/30/25 | 288,363 |
550,000 | U.S. Treasury Notes, 4.50%, 7/15/26 | 544,930 |
150,000 | U.S. Treasury Notes, 2.25%, 8/15/27 | 137,074 |
450,000 | U.S. Treasury Notes, 2.75%, 2/15/28 | 416,180 |
200,000 | U.S. Treasury Notes, 3.50%, 1/31/30 | 187,461 |
300,000 | U.S. Treasury Notes, 1.50%, 2/15/30 | 248,672 |
700,000 | U.S. Treasury Notes, 1.13%, 2/15/31 | 552,125 |
525,000 | U.S. Treasury Notes, 2.75%, 8/15/32 | 454,617 |
850,000 | U.S. Treasury Notes, 3.38%, 5/15/33 | 770,844 |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $10,173,297) | 8,550,996 |
Shares | Value | |
SHORT-TERM INVESTMENTS 2.7% | ||
MONEY MARKET FUNDS 2.5% | ||
508,090 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 5.29%(4) | $508,090 |
400,690 | State Street Navigator Securities Lending Government Money Market Portfolio(5) | 400,690 |
908,780 |
Principal Amount | ||
U.S. TREASURY OBLIGATIONS 0.2% | ||
100,000 | U.S. Treasury Bills, 0.10%, 11/21/23 | 99,254 |
TOTAL SHORT-TERM INVESTMENTS (Cost $1,008,034) | 1,008,034 | |
TOTAL INVESTMENTS IN SECURITIES 100.5% (Cost $41,437,637) | $36,785,751 | |
EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (0.5)% | (194,053 ) | |
NET ASSETS(6) 100.0% | $36,591,698 |
(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, 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 September 30, 2023, the market value of the securities on loan was $2,234,419. |
(4) | Rate reflects 7 day yield as of September 30, 2023. |
(5) | Securities with an aggregate market value of $2,234,419 were out on loan in exchange for $400,690 of cash collateral as of September 30, 2023. The collateral was invested in a cash collateral reinvestment vehicle. |
(6) | For federal income tax purposes, the aggregate cost was $41,437,637, aggregate gross unrealized appreciation was $8,509, aggregate gross unrealized depreciation was $4,660,395 and the net unrealized depreciation was $4,651,886. |
CMT | Constant Maturity Treasury |
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. |
REITS | Real Estate Investment Trusts. |
REMIC | Real Estate Mortgage Investment Conduit. |
SOFR | Secured Overnight Financing Rate. |
See Supplementary Notes to Financial Statements.
4
Supplementary Notes to Schedule of Investments
The Fund follows fair valuation accounting standards (FASB ASC 820-10) which establish 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 September 30, 2023:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total |
Assets | ||||
Collateralized Mortgage Obligations | $— | $922,198 | $— | $922,198 |
Commercial Mortgage-Backed Securities | — | 1,029,408 | — | 1,029,408 |
Corporate Bonds & Notes* | — | 12,025,896 | — | 12,025,896 |
Long-Term Municipal Securities* | — | 855,834 | — | 855,834 |
U.S. Government Agency Obligations | — | 243,515 | — | 243,515 |
Residential Mortgage-Backed Securities | — | 12,149,870 | — | 12,149,870 |
U.S. Treasury Obligations | — | 8,550,996 | — | 8,550,996 |
Short-Term Investments | 908,780 | 99,254 | — | 1,008,034 |
Total Investments in Securities | $908,780 | $35,876,971 | $— | $36,785,751 |
* | 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 September 30, 2023, there were no Level 3 investments.
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