Value Line Core Bond Fund
Schedule of Investments (unaudited)
March 31, 2024
Principal Amount | Value | |
COLLATERALIZED MORTGAGE OBLIGATIONS 2.3% | ||
$ 277,454 | FHLMC, Series 2023-DNA1, Class M1A, REMIC, (SOFR30A + 2.10%), 7.42%, 3/25/43(1)(2) | $283,075 |
276,913 | FNMA, Series 2023-R02, Class 1M1, (SOFR30A + 2.30%), 7.62%, 1/25/43(1)(2) | 283,488 |
286,022 | FNMA, Series 2023-R04, Class 1M1, (SOFR30A + 2.30%), 7.62%, 5/25/43(1)(2) | 291,912 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $843,079) | 858,475 | |
COMMERCIAL MORTGAGE-BACKED SECURITIES 1.6% | ||
200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K092, Class A2, 3.30%, 4/25/29 | 188,399 |
175,000 | FREMF Mortgage Trust, Series 2015-K43, Class B, 3.73%, 2/25/48(1)(2) | 171,659 |
127,647 | GNMA, Series 2012-125, Class AB, 2.11%, 2/16/53(2) | 104,800 |
96,241 | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | 88,741 |
29,661 | Sequoia Mortgage Trust, Series 2004-8, Class A1, (SOFR + 0.81%), 6.14%, 9/20/34(2) | 25,637 |
17,987 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class ASB, 3.46%, 7/15/58 | 17,776 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $683,086) | 597,012 | |
CORPORATE BONDS & NOTES 35.6% | ||
BASIC MATERIALS 1.9% | ||
CHEMICALS 0.4% | ||
150,000 | Eastman Chemical Co., Senior Unsecured Notes, 5.63%, 2/20/34 | 150,832 |
IRON/STEEL 0.8% | ||
150,000 | ArcelorMittal SA, Senior Unsecured Notes, 4.25%, 7/16/29 | 143,135 |
150,000 | Steel Dynamics, Inc., Senior Unsecured Notes, 3.25%, 1/15/31 | 133,572 |
276,707 | ||
MINING 0.7% | ||
145,000 | Freeport-McMoRan, Inc., Guaranteed Notes, 4.63%, 8/1/30(3) | 139,267 |
150,000 | Newmont Corp., Guaranteed Notes, 2.60%, 7/15/32 | 125,541 |
264,808 | ||
692,347 | ||
COMMUNICATIONS 3.4% | ||
INTERNET 0.8% | ||
150,000 | Expedia Group, Inc., Guaranteed Notes, 3.25%, 2/15/30(3) | 135,027 |
150,000 | Netflix, Inc., Senior Unsecured Notes, 4.88%, 4/15/28 | 149,789 |
284,816 | ||
MEDIA 0.8% | ||
150,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.91%, 7/23/25 | 148,174 |
Principal Amount | Value | |
CORPORATE BONDS & NOTES 35.6% (continued) | ||
COMMUNICATIONS 3.4% (continued) | ||
MEDIA 0.8% (continued) | ||
$ 150,000 | Comcast Corp., Guaranteed Notes, 4.15%, 10/15/28 | $146,401 |
294,575 | ||
TELECOMMUNICATIONS 1.8% | ||
150,000 | AT&T, Inc., Senior Unsecured Notes, 2.55%, 12/1/33 | 120,146 |
150,000 | Cisco Systems, Inc., 5.50%, 1/15/40 | 157,863 |
150,000 | Motorola Solutions, Inc., Senior Unsecured Notes, 2.30%, 11/15/30 | 125,913 |
150,000 | T-Mobile USA, Inc., Guaranteed Notes, 3.50%, 4/15/31 | 135,462 |
150,000 | Vodafone Group PLC, Senior Unsecured Notes, 4.25%, 9/17/50 | 121,080 |
660,464 | ||
1,239,855 | ||
CONSUMER, CYCLICAL 3.5% | ||
AUTO MANUFACTURERS 1.2% | ||
150,000 | Cummins, Inc., Senior Unsecured Notes, 1.50%, 9/1/30 | 122,685 |
150,000 | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 6.05%, 3/5/31 | 151,067 |
150,000 | General Motors Financial Co., Inc., 5.80%, 1/7/29 | 152,642 |
426,394 | ||
HOME BUILDERS 0.4% | ||
152,000 | PulteGroup, Inc., Guaranteed Notes, 5.00%, 1/15/27 | 151,388 |
LODGING 0.8% | ||
150,000 | Hyatt Hotels Corp., Senior Unsecured Notes, 1.80%, 10/1/24 | 146,843 |
150,000 | Marriott International, Inc., 4.90%, 4/15/29(3) | 148,817 |
295,660 | ||
RETAIL 1.1% | ||
150,000 | Costco Wholesale Corp., Senior Unsecured Notes, 1.75%, 4/20/32 | 121,519 |
150,000 | McDonald's Corp., Senior Unsecured Notes, 4.60%, 9/9/32 | 147,588 |
150,000 | TJX Cos., Inc. (The), 2.25%, 9/15/26(3) | 141,355 |
410,462 | ||
1,283,904 | ||
CONSUMER, NON-CYCLICAL 6.7% | ||
BEVERAGES 0.7% | ||
150,000 | Constellation Brands, Inc., 2.25%, 8/1/31 | 123,898 |
150,000 | Constellation Brands, Inc., Guaranteed Notes, 5.25%, 11/15/48 | 143,240 |
267,138 | ||
BIOTECHNOLOGY 1.1% | ||
160,000 | Amgen, Inc., Senior Unsecured Notes, 2.20%, 2/21/27 | 148,158 |
150,000 | Gilead Sciences, Inc., 4.60%, 9/1/35 | 143,727 |
See Supplementary Notes to Financial Statements.
1
Schedule of Investments (unaudited) (continued)
Principal Amount | Value | |
CORPORATE BONDS & NOTES 35.6% (continued) | ||
CONSUMER, NON-CYCLICAL 6.7% (continued) | ||
BIOTECHNOLOGY 1.1% (continued) | ||
$ 150,000 | Regeneron Pharmaceuticals, Inc., Senior Unsecured Notes, 1.75%, 9/15/30 | $122,761 |
414,646 | ||
COMMERCIAL SERVICES 0.8% | ||
150,000 | PayPal Holdings, Inc., Senior Unsecured Notes, 2.65%, 10/1/26 | 141,593 |
155,000 | Service Corp. International, Senior Unsecured Notes, 4.00%, 5/15/31 | 137,323 |
278,916 | ||
HEALTHCARE PRODUCTS 0.7% | ||
150,000 | Smith & Nephew PLC, Senior Unsecured Notes, 2.03%, 10/14/30 | 123,784 |
150,000 | Stryker Corp., 3.38%, 11/1/25 | 145,667 |
269,451 | ||
HEALTHCARE SERVICES 0.8% | ||
150,000 | Elevance Health, Inc., 4.75%, 2/15/33 | 146,383 |
150,000 | HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25 | 149,564 |
295,947 | ||
PHARMACEUTICALS 2.6% | ||
150,000 | AbbVie, Inc., Senior Unsecured Notes, 2.95%, 11/21/26 | 142,860 |
150,000 | Becton Dickinson and Co., Senior Unsecured Notes, 3.70%, 6/6/27 | 144,111 |
150,000 | CVS Health Corp., Senior Unsecured Notes, 1.75%, 8/21/30 | 123,211 |
150,000 | Eli Lilly & Co., 4.70%, 2/27/33 | 149,613 |
150,000 | Merck & Co., Inc., Senior Unsecured Notes, 3.90%, 3/7/39 | 132,559 |
150,000 | Pfizer Investment Enterprises Pte. Ltd., 4.65%, 5/19/30 | 148,545 |
165,000 | Takeda Pharmaceutical Co. Ltd., Senior Unsecured Notes, 3.03%, 7/9/40 | 124,343 |
965,242 | ||
2,491,340 | ||
ENERGY 4.8% | ||
OIL & GAS 2.0% | ||
150,000 | BP Capital Markets America, Inc., Guaranteed Notes, 4.70%, 4/10/29 | 149,624 |
150,000 | Hess Corp., Senior Unsecured Notes, 4.30%, 4/1/27 | 147,077 |
150,000 | Marathon Oil Corp., Senior Unsecured Notes, 4.40%, 7/15/27 | 145,761 |
150,000 | Occidental Petroleum Corp., Senior Unsecured Notes, 5.50%, 12/1/25 | 149,896 |
150,000 | Phillips 66 Co., Guaranteed Notes, 5.25%, 6/15/31 | 152,000 |
744,358 | ||
PIPELINES 2.8% | ||
150,000 | Boardwalk Pipelines LP, Guaranteed Notes, 4.95%, 12/15/24 | 149,134 |
150,000 | Cheniere Energy, Inc., Senior Unsecured Notes, 4.63%, 10/15/28 | 145,342 |
Principal Amount | Value | |
CORPORATE BONDS & NOTES 35.6% (continued) | ||
ENERGY 4.8% (continued) | ||
PIPELINES 2.8% (continued) | ||
$ 150,000 | Enbridge, Inc., Guaranteed Notes, 2.50%, 8/1/33 | $120,864 |
150,000 | Energy Transfer LP, 5.25%, 4/15/29 | 150,166 |
150,000 | Enterprise Products Operating LLC, Guaranteed Notes, 4.85%, 8/15/42 | 140,768 |
150,000 | Kinder Morgan, Inc., 5.20%, 6/1/33(3) | 147,723 |
150,000 | Targa Resources Corp., 6.50%, 3/30/34 | 161,171 |
1,015,168 | ||
1,759,526 | ||
FINANCIAL 9.1% | ||
BANKS 4.4% | ||
150,000 | Bank of America Corp., (SOFR + 2.16%), 5.02%, 7/22/33(2)(3) | 147,639 |
150,000 | Bank of New York Mellon Corp., (SOFR + 1.51%), 4.71%, 2/1/34(2) | 144,736 |
150,000 | Citigroup, Inc., Senior Unsecured Notes, (SOFR + 2.09%), 4.91%, 5/24/33(2) | 144,610 |
165,000 | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | 160,263 |
175,000 | Goldman Sachs Group, Inc., Senior Unsecured Notes, 3.75%, 2/25/26 | 170,853 |
150,000 | JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26 | 146,258 |
150,000 | JPMorgan Chase & Co., Senior Unsecured Notes, (SOFR + 1.64%), 3.96%, 11/15/48(2) | 122,677 |
150,000 | Morgan Stanley, (SOFR + 2.56%), 6.34%, 10/18/33(2) | 160,492 |
150,000 | NatWest Group PLC, (1 yr. CMT + 1.35%), 5.85%, 3/2/27(2) | 150,720 |
160,000 | Royal Bank of Canada, 5.00%, 2/1/33 | 159,428 |
150,000 | Wells Fargo & Co., (SOFR + 2.13%), 4.61%, 4/25/53(2)(3) | 132,540 |
1,640,216 | ||
DIVERSIFIED FINANCIALS 2.0% | ||
175,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Guaranteed Notes, 1.75%, 1/30/26 | 163,399 |
150,000 | Ally Financial, Inc., Senior Unsecured Notes, 4.75%, 6/9/27 | 145,715 |
150,000 | American Express Co., Senior Unsecured Notes, (SOFR + 1.28%), 5.28%, 7/27/29(2) | 150,933 |
150,000 | Discover Financial Services, Senior Unsecured Notes, 4.10%, 2/9/27 | 144,714 |
150,000 | Synchrony Financial, 4.88%, 6/13/25 | 147,768 |
752,529 | ||
INSURANCE 0.4% | ||
150,000 | Aflac, Inc., Senior Unsecured Notes, 3.60%, 4/1/30 | 139,527 |
REITS 2.3% | ||
150,000 | American Tower Corp., 5.50%, 3/15/28 | 151,256 |
150,000 | Crown Castle, Inc., Senior Unsecured Notes, 3.80%, 2/15/28 | 142,007 |
See Supplementary Notes to Financial Statements.
2
March 31, 2024
Principal Amount | Value | |
CORPORATE BONDS & NOTES 35.6% (continued) | ||
FINANCIAL 9.1% (continued) | ||
REITS 2.3% (continued) | ||
$ 150,000 | Equinix, Inc., Senior Unsecured Notes, 2.50%, 5/15/31 | $125,123 |
150,000 | Kimco Realty Corp., Senior Unsecured Notes, 2.25%, 12/1/31 | 120,950 |
150,000 | Welltower, Inc., Senior Unsecured Notes, 4.25%, 4/15/28 | 145,429 |
150,000 | Weyerhaeuser Co., 4.75%, 5/15/26 | 148,605 |
833,370 | ||
3,365,642 | ||
INDUSTRIAL 2.1% | ||
AEROSPACE/DEFENSE 0.4% | ||
150,000 | RTX Corp., 4.50%, 6/1/42 | 133,836 |
ELECTRONICS 0.7% | ||
160,000 | Amphenol Corp., Senior Unsecured Notes, 2.20%, 9/15/31 | 132,424 |
150,000 | Flex Ltd., Senior Unsecured Notes, 4.75%, 6/15/25 | 148,240 |
280,664 | ||
MISCELLANEOUS MANUFACTURERS 0.4% | ||
150,000 | Teledyne Technologies, Inc., 2.25%, 4/1/28 | 134,884 |
TRANSPORTATION 0.6% | ||
150,000 | CSX Corp., Senior Unsecured Notes, 3.35%, 9/15/49 | 107,960 |
150,000 | Union Pacific Corp., Senior Unsecured Notes, 3.25%, 2/5/50 | 109,324 |
217,284 | ||
766,668 | ||
TECHNOLOGY 3.3% | ||
COMPUTERS 1.1% | ||
150,000 | Apple, Inc., 4.65%, 2/23/46 | 144,287 |
150,000 | Dell International LLC/EMC Corp., Senior Unsecured Notes, 4.90%, 10/1/26 | 149,074 |
150,000 | Kyndryl Holdings, Inc., Senior Unsecured Notes, 3.15%, 10/15/31 | 126,219 |
419,580 | ||
SEMICONDUCTORS 1.4% | ||
150,000 | Analog Devices, Inc., Senior Unsecured Notes, 2.80%, 10/1/41 | 108,893 |
150,000 | Broadcom, Inc., 4.30%, 11/15/32 | 140,941 |
150,000 | Micron Technology, Inc., Senior Unsecured Notes, 5.30%, 1/15/31 | 150,868 |
150,000 | NVIDIA Corp., 3.50%, 4/1/40 | 127,002 |
527,704 | ||
SOFTWARE 0.8% | ||
150,000 | Adobe, Inc., Senior Unsecured Notes, 2.30%, 2/1/30 | 132,007 |
150,000 | Oracle Corp., 6.25%, 11/9/32 | 160,491 |
292,498 | ||
1,239,782 |
Principal Amount | Value | |
CORPORATE BONDS & NOTES 35.6% (continued) | ||
UTILITIES 0.8% | ||
ELECTRIC 0.8% | ||
$ 150,000 | Duke Energy Corp., Senior Unsecured Notes, 4.50%, 8/15/32 | $142,193 |
150,000 | Southern Co., 5.70%, 3/15/34 | 154,702 |
296,895 | ||
TOTAL CORPORATE BONDS & NOTES (Cost $13,730,083) | 13,135,959 | |
LONG-TERM MUNICIPAL SECURITIES 2.3% | ||
CALIFORNIA 0.8% | ||
150,000 | Regents of the University of California Medical Center Pooled Revenue, Series Q, 4.13%, 5/15/32 | 143,727 |
150,000 | State of California, GO, 5.70%, 10/1/32 | 160,142 |
303,869 | ||
OREGON 0.3% | ||
145,000 | State of Oregon, Series C, GO, 2.38%, 5/1/36 | 112,313 |
TEXAS 1.2% | ||
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 | 448,627 |
TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $944,052) | 864,809 | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES 27.7% | ||
74,787 | FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34 | 72,434 |
31,430 | FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41 | 29,034 |
3,071 | FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25 | 3,042 |
16,053 | FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42 | 14,802 |
15,624 | FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42 | 14,738 |
34,437 | FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42 | 31,737 |
108,595 | FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43 | 97,528 |
126,710 | FHLMC Gold Pool #Q34167, 4.00%, 6/1/45 | 120,162 |
28,329 | FHLMC Gold Pool #Q57991, 4.00%, 8/1/48 | 26,800 |
173,850 | FHLMC Pool #QB2958, 3.00%, 9/1/50 | 150,766 |
181,377 | FHLMC Pool #QB5314, 2.50%, 11/1/50 | 150,966 |
221,126 | FHLMC Pool #QB8153, 2.50%, 1/1/51 | 184,155 |
778,857 | FHLMC Pool #QF1236, 4.50%, 10/1/52 | 741,610 |
130,080 | FHLMC Pool #SD8023, 2.50%, 11/1/49 | 108,505 |
133,000 | FHLMC Pool #SD8163, 3.50%, 8/1/51 | 119,621 |
412,967 | FHLMC Pool #SD8173, 2.50%, 10/1/51 | 342,630 |
990,454 | FHLMC Pool #SD8256, 4.00%, 10/1/52 | 917,213 |
46,679 | FNMA Pool #AB2346, 4.50%, 2/1/41 | 45,779 |
20,778 | FNMA Pool #AB5231, 2.50%, 5/1/27 | 19,997 |
20,807 | FNMA Pool #AB5716, 3.00%, 7/1/27 | 20,132 |
45,562 | FNMA Pool #AI4285, 5.00%, 6/1/41 | 45,409 |
202,135 | FNMA Pool #AR6394, 3.00%, 2/1/43 | 180,489 |
55,767 | FNMA Pool #AS5892, 3.50%, 10/1/45 | 50,851 |
18,619 | FNMA Pool #AS6102, 3.50%, 11/1/45 | 16,978 |
32,543 | FNMA Pool #AS6205, 3.50%, 11/1/45 | 29,674 |
23,834 | FNMA Pool #AS6385, 4.00%, 12/1/45 | 22,574 |
61,694 | FNMA Pool #AS9562, 3.00%, 5/1/47 | 54,166 |
70,860 | FNMA Pool #AU4279, 3.00%, 9/1/43 | 63,268 |
See Supplementary Notes to Financial Statements.
3
Schedule of Investments (unaudited) (continued)
Principal Amount | Value | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES 27.7% (continued) | ||
$ 55,830 | FNMA Pool #AV0703, 4.00%, 12/1/43 | $52,896 |
21,612 | FNMA Pool #AW7362, 2.50%, 8/1/29 | 20,410 |
59,378 | FNMA Pool #AX0416, 4.00%, 8/1/44 | 55,996 |
39,100 | FNMA Pool #AY1670, 3.50%, 2/1/45 | 35,724 |
24,361 | FNMA Pool #AY4195, 4.00%, 5/1/45 | 23,081 |
31,178 | FNMA Pool #BA3885, 3.50%, 11/1/45 | 28,429 |
999,267 | FNMA Pool #BX7762, 5.00%, 3/1/53 | 977,302 |
129,825 | FNMA Pool #CA2320, 3.50%, 9/1/48 | 119,313 |
62,100 | FNMA Pool #CA5540, 3.00%, 4/1/50 | 54,264 |
712,173 | FNMA Pool #CB0856, 3.00%, 6/1/51 | 614,928 |
789,076 | FNMA Pool #CB5892, 4.50%, 3/1/53 | 751,718 |
1,024,345 | FNMA Pool #FM9834, 3.50%, 6/1/49 | 932,424 |
47,172 | FNMA Pool #MA0641, 4.00%, 2/1/31 | 45,834 |
67,090 | FNMA Pool #MA4012, 2.00%, 5/1/35 | 59,887 |
438,598 | FNMA Pool #MA4548, 2.50%, 2/1/52 | 363,525 |
769,751 | FNMA Pool #MA5106, 5.00%, 8/1/53 | 750,987 |
9,791 | FNMA REMIC Trust Series 2013-18, Series 2013-18, Class AE, 2.00%, 3/25/28 | 9,329 |
6,039 | GNMA, Series 2011-136, Class GB, 2.50%, 5/20/40 | 5,778 |
1,254,135 | GNMA, Series 2021-98, Class IG, IO, 3.00%, 6/20/51 | 200,776 |
32,531 | GNMA II Pool #5332, 4.00%, 3/20/42 | 31,279 |
120,212 | GNMA II Pool #MA3937, 3.50%, 9/20/46 | 110,554 |
110,756 | GNMA II Pool #MA7054, 3.50%, 12/20/50 | 101,678 |
119,155 | GNMA II Pool #MA7651, 3.50%, 10/20/51 | 108,641 |
849,410 | GNMA II Pool #MA7705, MBS, 2.50%, 11/20/51 | 723,814 |
398,368 | GNMA II Pool #MA8945, 4.00%, 6/20/53 | 372,685 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $11,148,502) | 10,226,312 | |
U.S. TREASURY OBLIGATIONS 27.8% | ||
250,000 | U.S. Treasury Bonds, 4.38%, 2/15/38 | 255,020 |
500,000 | U.S. Treasury Bonds, 3.50%, 2/15/39 | 459,355 |
760,000 | U.S. Treasury Bonds, 1.13%, 5/15/40 | 474,852 |
1,000,000 | U.S. Treasury Bonds, 2.88%, 5/15/43 | 794,570 |
1,050,000 | U.S. Treasury Bonds, 3.00%, 2/15/48 | 821,256 |
1,400,000 | U.S. Treasury Bonds, 2.25%, 8/15/49 | 933,570 |
500,000 | U.S. Treasury Bonds, 2.25%, 2/15/52 | 328,887 |
750,000 | U.S. Treasury Notes, 2.25%, 11/15/24 | 736,406 |
150,000 | U.S. Treasury Notes, 3.00%, 9/30/25 | 146,098 |
350,000 | U.S. Treasury Notes, 4.63%, 2/28/26(3) | 349,713 |
575,000 | U.S. Treasury Notes, 4.50%, 7/15/26 | 574,147 |
1,826,300 | U.S. Treasury Notes, 2.25%, 8/15/27 | 1,705,236 |
350,000 | U.S. Treasury Notes, 2.75%, 2/15/28 | 330,395 |
600,000 | U.S. Treasury Notes, 1.50%, 2/15/30 | 515,836 |
500,000 | U.S. Treasury Notes, 1.13%, 2/15/31 | 410,020 |
450,000 | U.S. Treasury Notes, 2.75%, 8/15/32 | 403,611 |
825,000 | U.S. Treasury Notes, 3.38%, 5/15/33 | 772,857 |
250,000 | U.S. Treasury Notes, 3.88%, 8/15/33 | 243,359 |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $11,380,445) | 10,255,188 |
Shares | Value | |
SHORT-TERM INVESTMENTS 3.6% | ||
MONEY MARKET FUNDS 3.6% | ||
819,043 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 5.26%(4) | $819,043 |
513,563 | State Street Navigator Securities Lending Government Money Market Portfolio(5) | 513,563 |
1,332,606 | ||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,332,606) | 1,332,606 | |
TOTAL INVESTMENTS IN SECURITIES 100.9% (Cost $40,061,853) | $37,270,361 | |
EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (0.9)% | (325,953 ) | |
NET ASSETS(6) 100.0% | $36,944,408 |
(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, 2024. 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, 2024, the market value of the securities on loan was $1,352,878. |
(4) | Rate reflects 7 day yield as of March 31, 2024. |
(5) | Securities with an aggregate market value of $1,352,878 were out on loan in exchange for $513,563 of cash collateral as of March 31, 2024. The collateral was invested in a cash collateral reinvestment vehicle. |
(6) | For federal income tax purposes, the aggregate cost was $40,061,853, aggregate gross unrealized appreciation was $118,748, aggregate gross unrealized depreciation was $2,910,240 and the net unrealized depreciation was $2,791,492. |
CMT | Constant Maturity Treasury. |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association. |
FREMF | Freddie Mac Multifamily. |
GNMA | Government National Mortgage Association. |
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 March 31, 2024:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total |
Assets | ||||
Collateralized Mortgage Obligations | $— | $858,475 | $— | $858,475 |
Commercial Mortgage-Backed Securities | — | 597,012 | — | 597,012 |
Corporate Bonds & Notes* | — | 13,135,959 | — | 13,135,959 |
Long-Term Municipal Securities* | — | 864,809 | — | 864,809 |
Residential Mortgage-Backed Securities | — | 10,226,312 | — | 10,226,312 |
U.S. Treasury Obligations | — | 10,255,188 | — | 10,255,188 |
Short-Term Investments | 1,332,606 | — | — | 1,332,606 |
Total Investments in Securities | $1,332,606 | $35,937,755 | $— | $37,270,361 |
* | 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, 2024, there were no Level 3 investments.
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