NPORT-EX 2 NPORT_V106_67641002_0921.htm

 

Value Line Capital Appreciation Fund, Inc.

Schedule of Investments (unaudited)   

 
 Shares      Value 
  COMMON STOCKS 83.8%     
      COMMUNICATION SERVICES 11.7%     
      INTERNET 9.1%     
  7,000   Alphabet, Inc. Class A(1)  $18,714,640 
  60,000   Facebook, Inc. Class A(1)   20,363,400 
  20,000   Netflix, Inc.(1)   12,206,800 
  76,000   Tencent Holdings Ltd. ADR(2)   4,542,520 
  150,000   Twitter, Inc.(1)   9,058,500 
          64,885,860 
      MEDIA 0.7%     
  32,000   Walt Disney Co.(1)   5,413,440 
      SOFTWARE 1.9%     
  175,000   Activision Blizzard, Inc.   13,543,250 
          83,842,550 
      CONSUMER DISCRETIONARY 13.3%     
      ENTERTAINMENT 1.9%     
  165,000   DraftKings, Inc. Class A(1)(2)   7,946,400 
  16,000   Vail Resorts, Inc.(1)   5,344,800 
          13,291,200 
      HOME BUILDERS 1.3%     
  100,000   Lennar Corp. Class A   9,368,000 
      INTERNET 4.1%     
  45,000   Alibaba Group Holding Ltd. ADR(1)   6,662,250 
  7,000   Amazon.com, Inc.(1)   22,995,280 
          29,657,530 
      LEISURE TIME 1.5%     
  125,000   Peloton Interactive, Inc. Class A(1)   10,881,250 
      LODGING 1.0%     
  54,000   Hilton Worldwide Holdings, Inc.(1)   7,133,940 
      RETAIL 3.5%     
  20,000   Home Depot, Inc.   6,565,200 
  75,000   Starbucks Corp.   8,273,250 
  28,000   Ulta Beauty, Inc.(1)   10,105,760 
          24,944,210 
          95,276,130 
      CONSUMER STAPLES 0.8%     
      BEVERAGES 0.8%     
  28,000   Constellation Brands, Inc. Class A   5,899,320 
      ENERGY 2.8%     
      OIL & GAS 2.8%     
  125,000   Diamondback Energy, Inc.   11,833,750 
  50,000   Pioneer Natural Resources Co.   8,325,500 
          20,159,250 
      FINANCIALS 6.4%     
      BANKS 5.0%     
  480,000   Bank of America Corp.   20,376,000 
  92,000   JPMorgan Chase & Co.   15,059,480 
          35,435,480 
      DIVERSIFIED FINANCIAL SERVICES 1.4%     
  86,000   Blackstone, Inc. Class A   10,005,240 
          45,440,720 
      HEALTHCARE 17.4%     
      BIOTECHNOLOGY 14.9%     
  1,700,000   Amarin Corp. PLC ADR(1)(2)   8,670,000 
  22,000   Biogen, Inc.(1)   6,225,780 
  170,000   Biohaven Pharmaceutical Holding Co. Ltd.(1)   23,614,700 
  195,000   Exact Sciences Corp.(1)   18,612,750 
  1,180,000   Exelixis, Inc.(1)   24,945,200 
  260,000   Global Blood Therapeutics, Inc.(1)   6,624,800 
  400,000   Intercept Pharmaceuticals, Inc.(1)(2)   5,940,000 
  64,000   Vertex Pharmaceuticals, Inc.(1)   11,608,960 
          106,242,190 
      HEALTHCARE PRODUCTS 0.9%     
  58,000   Edwards Lifesciences Corp.(1)   6,566,180 
      PHARMACEUTICALS 1.6%     
  21,500   DexCom, Inc.(1)   11,757,490 
          124,565,860 
      INDUSTRIALS 2.8%     
      AIRLINES 1.0%     
  170,000   Delta Air Lines, Inc.(1)   7,243,700 
      INTERNET 1.8%     
  245,000   Lyft, Inc. Class A(1)   13,129,550 
          20,373,250 
      INFORMATION TECHNOLOGY 27.7%     
      COMMERCIAL SERVICES 1.9%     
  53,000   PayPal Holdings, Inc.(1)   13,791,130 
      COMPUTERS 3.8%     
  125,000   Apple, Inc.   17,687,500 

 

1

 

 

September 30, 2021

 

  Shares         Value  
  COMMON STOCKS 83.8% (continued)     
      INFORMATION TECHNOLOGY 27.7% (continued)        
      COMPUTERS 3.8% (continued)     
  38,000   Crowdstrike Holdings, Inc. Class A(1)  $9,339,640 
          27,027,140 
      DIVERSIFIED FINANCIAL SERVICES 2.5%     
  80,000   Visa, Inc. Class A   17,820,000 
      INTERNET 1.4%     
  7,400   Shopify, Inc. Class A(1)   10,032,772 
      SEMICONDUCTORS 7.6%     
  15,000   Broadcom, Inc.   7,273,950 
  190,000   Micron Technology, Inc.   13,486,200 
  60,000   NVIDIA Corp.   12,429,600 
  44,000   NXP Semiconductors NV   8,618,280 
  100,000   QUALCOMM, Inc.   12,898,000 
          54,706,030 
      SOFTWARE 10.5%     
  11,000   Adobe, Inc.(1)   6,332,920 
  38,000   Microsoft Corp.   10,712,960 
  40,000   RingCentral, Inc. Class A(1)   8,700,000 
  44,000   Salesforce.com, Inc.(1)   11,933,680 
  17,000   ServiceNow, Inc.(1)   10,578,590 
  65,000   Splunk, Inc.(1)   9,406,150 
  30,000   Twilio, Inc. Class A(1)   9,571,500 
  31,000   Workday, Inc. Class A(1)   7,746,590 
          74,982,390 
          198,359,462 
      REAL ESTATE 0.9%     
      REITS 0.9%     
  23,000   American Tower Corp. REIT   6,104,430 
  TOTAL COMMON STOCKS
(Cost $416,788,295)		   600,020,972 

 

Principal
Amount		     Value 
 ASSET-BACKED SECURITIES 0.3%    
$208,000   Chase Issuance Trust, Series 2012-A7, Class A7, 2.16%, 9/15/24  $211,927 
 200,000   Ford Credit Auto Owner Trust, Series 2018-2, Class A, 3.47%, 1/15/30(3)   210,628 
 500,000   Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.19%, 7/15/31(3)   535,271 
 130,000   Ford Credit Floorplan Master Owner Trust, Series 2019-2, Class A, 3.06%, 4/15/26   137,600 
 500,000   GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A4, 1.90%, 3/17/25   511,477 
 500,000   Toyota Auto Loan Extended Note Trust, Series 2019-1A, Class A, 2.56%, 11/25/31(3)   524,192 
 150,000   Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 5/25/33(3)  151,965 
 TOTAL ASSET-BACKED SECURITIES
(Cost $2,311,884)		   2,283,060 
  COMMERCIAL MORTGAGE-BACKED SECURITIES 1.0%
 250,000   BANK, Series 2019-BN17, Class A4, 3.71%, 4/15/52   278,849 
 300,000   BANK, Series 2021-BN33, Class A3, 2.02%, 5/15/64   301,532 
 218,410   Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class AAB, 3.37%, 10/10/47   227,064 
 100,000   COMM Mortgage Trust, Series 2014-UBS2, Class AM, 4.20%, 3/10/47   106,403 
 550,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K728, Class A2, 3.06%, 8/25/24(4)   582,902 
 100,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K731, Class A2, 3.60%, 2/25/25(4)   107,318 
 350,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K052, Class A2, 3.15%, 11/25/25   378,473 
 250,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class A2, 2.67%, 3/25/26   266,878 
 250,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K058, Class A2, 2.65%, 8/25/26   267,414 
 100,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K062, Class A2, 3.41%, 12/25/26   110,672 
 100,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K063, Class A2, 3.43%, 1/25/27(4)   110,735 
 255,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K064, Class A2, 3.22%, 3/25/27   280,040 
 150,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K065, Class A2, 3.24%, 4/25/27   165,128 
 250,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K074, Class A2, 3.60%, 1/25/28   282,331 
 100,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K075, Class A2, 3.65%, 2/25/28(4)   113,265 
 250,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K084, Class A2, 3.78%, 10/25/28(4)   285,306 

 

2

 

 

Schedule of Investments (unaudited) (continued)

 

Principal
Amount		      Value 
  COMMERCIAL MORTGAGE-BACKED SECURITIES 1.0% (continued)      
$100,000   FHLMC Multifamily Structured Pass-Through Certificates, Series K089, Class A2, 3.56%, 1/25/29  $113,731 
 773,243   FHLMC Multifamily Structured Pass-Through Certificates, Series K101, Class A1, 2.19%, 7/25/29   810,577 
 250,000   FREMF Mortgage Trust, Series 2013-K24, Class B, 3.63%, 11/25/45(3)(4)   256,844 
 138,580   GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52   139,967 
 150,000   GNMA, Series 2013-12, Class B, 2.05%, 11/16/52(4)   151,931 
 47,715   GS Mortgage Securities Trust, Series 2012-GCJ7, Class A4, 3.38%, 5/10/45   47,827 
 93,967   Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class A3, 3.21%, 10/15/48   98,298 
 200,000   Morgan Stanley Capital I Trust, Series 2019-H6, Class A4, 3.42%, 6/15/52   218,549 
 250,000   UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5, 2.85%, 12/10/45   254,683 
 385,000   UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A4, 3.18%, 3/10/46   394,462 
 27,378   Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class A2, 2.63%, 5/15/48   27,371 
 200,000   Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class A4, 3.54%, 5/15/48   216,033 
 40,655   Wells Fargo Commercial Mortgage Trust, Series 2017-C40, Class A1, 2.11%, 10/15/50   40,779 
 150,000   Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class ASB, 3.64%, 5/15/52   165,104 
  TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $6,695,514)		   6,800,466 
  CORPORATE BONDS & NOTES 4.7%     
     BASIC MATERIALS 0.2%     
     CHEMICALS 0.1%     
 125,000   Air Products and Chemicals, Inc., Senior Unsecured Notes, 2.05%, 5/15/30   126,221 
 175,000   Celanese U.S. Holdings LLC, Guaranteed Notes, 4.63%, 11/15/22   182,965 
 150,000   Ecolab, Inc., Senior Unsecured Notes, 1.30%, 1/30/31   141,107 
$100,000   FMC Corp., Senior Unsecured Notes, 3.45%, 10/1/29  $107,820 
 150,000   LYB International Finance II B.V., Guaranteed Notes, 3.50%, 3/2/27   163,304 
 150,000   Nutrien Ltd., Senior Unsecured Notes, 4.20%, 4/1/29   170,858 
 100,000   Westlake Chemical Corp., Senior Unsecured Notes, 3.60%, 8/15/26   109,748 
         1,002,023 
     IRON & STEEL 0.0%     
 100,000   ArcelorMittal SA, Senior Unsecured Notes, 4.25%, 7/16/29(2)   109,830 
 190,000   Steel Dynamics, Inc., Senior Unsecured Notes, 3.25%, 1/15/31   203,289 
         313,119 
     MINING 0.1%     
 145,000   Rio Tinto Finance USA PLC, Guaranteed Notes, 4.13%, 8/21/42(2)   174,247 
 170,000   Teck Resources Ltd., Senior Unsecured Notes, 6.13%, 10/1/35   220,005 
         394,252 
     COMMUNICATIONS 0.4%     
     INTERNET 0.1%     
 100,000   Alibaba Group Holding Ltd., Senior Unsecured Notes, 3.60%, 11/28/24   107,121 
 130,000   Amazon.com, Inc., Senior Unsecured Notes, 4.80%, 12/5/34   165,607 
 100,000   Baidu, Inc., Senior Unsecured Notes, 4.38%, 5/14/24   108,116 
 190,000   Netflix, Inc., Senior Unsecured Notes, 4.88%, 4/15/28   218,975 
 150,000   VeriSign, Inc., Senior Unsecured Notes, 2.70%, 6/15/31   152,451 
         752,270 
     MEDIA 0.1%     
 175,000   Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.91%, 7/23/25   196,745 
 250,000   Comcast Corp., Guaranteed Notes, 3.95%, 10/15/25   277,230 
 150,000   Discovery Communications LLC, Guaranteed Notes, 4.90%, 3/11/26   170,399 
 150,000   Walt Disney Co., Guaranteed Notes, 2.65%, 1/13/31(2)   156,544 
         800,918 

 

3

 

 

September 30, 2021

 

Principal
Amount		      Value 
  CORPORATE BONDS & NOTES 4.7% (continued)    
    COMMUNICATIONS 0.4% (continued)
    TELECOMMUNICATIONS 0.2%
$228,000   AT&T, Inc., 2.55%, 12/1/33  $223,988 
 200,000   Motorola Solutions, Inc., Senior Unsecured Notes, 4.60%, 5/23/29   232,060 
 250,000   Verizon Communications, Inc., Senior Unsecured Notes, 4.50%, 8/10/33   297,287 
 150,000   Vodafone Group PLC, Senior Unsecured Notes, 4.25%, 9/17/50   172,450 
         925,785 
         2,478,973 
     CONSUMER, CYCLICAL 0.3%     
     APPAREL 0.0%     
 150,000   NIKE, Inc., Senior Unsecured Notes, 2.38%, 11/1/26   158,513 
     AUTO MANUFACTURERS 0.1%     
 150,000   American Honda Finance Corp., Senior Unsecured Notes, 1.00%, 9/10/25   149,225 
 150,000   Cummins, Inc., Senior Unsecured Notes, 1.50%, 9/1/30(2)   143,252 
 195,000   Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.38%, 11/13/25   200,363 
 200,000   General Motors Financial Co., Inc., Guaranteed Notes, 3.70%, 5/9/23   208,656 
         701,496 
     HOME BUILDERS 0.1%     
 225,000   D.R. Horton, Inc., Guaranteed Notes, 2.50%, 10/15/24   235,667 
 150,000   Lennar Corp., Guaranteed Notes, 4.88%, 12/15/23   161,817 
 162,000   PulteGroup, Inc., Guaranteed Notes, 5.00%, 1/15/27(2)   187,857 
         585,341 
     HOME FURNISHINGS 0.0%     
 200,000   Whirlpool Corp., Senior Unsecured Notes, 4.75%, 2/26/29(2)   233,893 
     HOUSEWARES 0.0%     
 150,000   Newell Brands, Inc., Senior Unsecured Notes, 4.70%, 4/1/26   165,379 
     RETAIL 0.1%     
 125,000   AutoZone, Inc., Senior Unsecured Notes, 3.75%, 6/1/27   139,315 
 150,000   Costco Wholesale Corp., Senior Unsecured Notes, 1.75%, 4/20/32   146,881 
 100,000   Dollar General Corp., Senior Unsecured Notes, 3.50%, 4/3/30   110,044 
 200,000   O'Reilly Automotive, Inc., Senior Unsecured Notes, 3.60%, 9/1/27   222,152 
         618,392 
         2,463,014 
     CONSUMER, NON-CYCLICAL 0.9%     
     AGRICULTURE 0.0%     
 150,000   Bunge Ltd. Finance Corp., Guaranteed Notes, 3.25%, 8/15/26   161,444 
     BEVERAGES 0.1%     
 150,000   Anheuser-Busch InBev Worldwide, Inc., Guaranteed Notes, 4.90%, 1/23/31(2)   181,944 
 150,000   Coca-Cola Co., Senior Unsecured Notes, 1.45%, 6/1/27(2)   151,339 
 150,000   Coca-Cola Femsa SAB de CV, Guaranteed Notes, 2.75%, 1/22/30   154,745 
 150,000   Constellation Brands, Inc., Guaranteed Notes, 5.25%, 11/15/48   196,052 
 100,000   Keurig Dr. Pepper, Inc., Guaranteed Notes, 3.20%, 5/1/30   107,587 
 100,000   PepsiCo, Inc., Senior Unsecured Notes, 2.88%, 10/15/49(2)   101,542 
         893,209 
     BIOTECHNOLOGY 0.1%     
 150,000   Amgen, Inc., Senior Unsecured Notes, 2.20%, 2/21/27   155,114 
 150,000   Illumina, Inc., Senior Unsecured Notes, 2.55%, 3/23/31   151,216 
 175,000   Regeneron Pharmaceuticals, Inc., Senior Unsecured Notes, 1.75%, 9/15/30   166,293 
         472,623 
     COMMERCIAL SERVICES 0.1%     
 150,000   Global Payments, Inc., Senior Unsecured Notes, 4.80%, 4/1/26   170,348 
 100,000   Global Payments, Inc., Senior Unsecured Notes, 2.90%, 5/15/30   103,072 
 200,000   PayPal Holdings, Inc., Senior Unsecured Notes, 2.65%, 10/1/26   213,597 
         487,017 
     FOOD 0.1%     
 100,000   Conagra Brands, Inc., Senior Unsecured Notes, 1.38%, 11/1/27   97,340 
 200,000   Kroger Co., Senior Unsecured Notes, 2.65%, 10/15/26   212,021 
 125,000   Mondelez International, Inc., Senior Unsecured Notes, 1.50%, 2/4/31(2)   117,501 

 

4

 

 

Schedule of Investments (unaudited) (continued)

 

Principal
Amount		      Value 
  CORPORATE BONDS & NOTES 4.7% (continued) 
    CONSUMER, NON-CYCLICAL 0.9% (continued)
     FOOD 0.1% (continued)     
$150,000   Sysco Corp., Guaranteed Notes, 5.65%, 4/1/25  $172,458 
         599,320 
     HEALTHCARE PRODUCTS 0.1%     
 100,000   Abbott Laboratories, Senior Unsecured Notes, 3.75%, 11/30/26   112,124 
 225,000   Boston Scientific Corp., Senior Unsecured Notes, 3.75%, 3/1/26   247,450 
 175,000   Thermo Fisher Scientific, Inc., Senior Unsecured Notes, 4.13%, 3/25/25   192,474 
         552,048 
     HEALTHCARE SERVICES 0.1%     
 135,000   Anthem, Inc., Senior Unsecured Notes, 3.35%, 12/1/24   144,698 
 100,000   Centene Corp., Senior Unsecured Notes, 4.63%, 12/15/29   109,000 
 150,000   HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25   167,625 
 200,000   Humana, Inc., Senior Unsecured Notes, 3.95%, 3/15/27   223,029 
 200,000   Laboratory Corp. of America Holdings, Senior Unsecured Notes, 2.95%, 12/1/29   211,641 
 175,000   UnitedHealth Group, Inc., Senior Unsecured Notes, 4.63%, 11/15/41   219,464 
         1,075,457 
     HOUSEHOLD PRODUCTS & WARES 0.0%     
 100,000   Clorox Co., Senior Unsecured Notes, 1.80%, 5/15/30(2)   97,244 
     PHARMACEUTICALS 0.3%     
 175,000   AbbVie, Inc., Senior Unsecured Notes, 2.95%, 11/21/26   187,416 
 150,000   AstraZeneca PLC, Senior Unsecured Notes, 1.38%, 8/6/30(2)   142,580 
 100,000   Becton Dickinson and Co., Senior Unsecured Notes, 3.70%, 6/6/27   110,685 
 150,000   Cigna Corp., Senior Unsecured Notes, 2.40%, 3/15/30   152,256 
 150,000   CVS Health Corp., Senior Unsecured Notes, 1.75%, 8/21/30   143,615 
 150,000   Johnson & Johnson, Senior Unsecured Notes, 1.30%, 9/1/30   144,520 
 100,000   McKesson Corp., Senior Unsecured Notes, 0.90%, 12/3/25   98,352 
 175,000   Merck & Co., Inc., Senior Unsecured Notes, 3.90%, 3/7/39   203,914 
 150,000   Novartis Capital Corp., Guaranteed Notes, 2.75%, 8/14/50   150,549 
 190,000   Takeda Pharmaceutical Co. Ltd., Senior Unsecured Notes, 3.03%, 7/9/40   192,535 
 100,000   Teva Pharmaceutical Finance Netherlands III BV, Guaranteed Notes, 2.80%, 7/21/23   99,404 
 150,000   Utah Acquisition Sub, Inc., Guaranteed Notes, 3.95%, 6/15/26   165,173 
 200,000   Zoetis, Inc., Senior Unsecured Notes, 4.50%, 11/13/25   225,037 
         2,016,036 
         6,354,398 
     ENERGY 0.4%     
     OIL & GAS 0.3%     
 175,000   Canadian Natural Resources Ltd., Senior Unsecured Notes, 2.05%, 7/15/25   179,109 
 225,000   ConocoPhillips Co., Guaranteed Notes, 4.95%, 3/15/26   258,603 
 175,000   Diamondback Energy, Inc., Guaranteed Notes, 2.88%, 12/1/24   183,721 
 100,000   EOG Resources, Inc., Senior Unsecured Notes, 4.38%, 4/15/30(2)   116,634 
 140,000   Hess Corp., Senior Unsecured Notes, 4.30%, 4/1/27(2)   155,420 
 100,000   Marathon Petroleum Corp., Senior Unsecured Notes, 5.13%, 12/15/26   116,232 
 100,000   Occidental Petroleum Corp., Senior Unsecured Notes, 5.50%, 12/1/25   110,750 
 150,000   Phillips 66, Guaranteed Notes, 3.90%, 3/15/28   166,198 
 150,000   Shell International Finance B.V., Guaranteed Notes, 2.38%, 11/7/29   155,609 
 175,000   Suncor Energy, Inc., Senior Unsecured Notes, 3.10%, 5/15/25   186,284 
 150,000   TotalEnergies Capital International SA, Guaranteed Notes, 3.46%, 2/19/29(2)   165,714 
         1,794,274 
     OIL & GAS SERVICES 0.0%     
 150,000   Schlumberger Finance Canada Ltd., Guaranteed Notes, 1.40%, 9/17/25(2)   151,539 
     PIPELINES 0.1%     
 175,000   Boardwalk Pipelines LP, Guaranteed Notes, 4.95%, 12/15/24   193,614 
 100,000   Enbridge, Inc., Guaranteed Notes, 2.50%, 8/1/33   100,290 

 

5

 

 

September 30, 2021

 

Principal
Amount		      Value 
  CORPORATE BONDS & NOTES 4.7% (continued) 
    ENERGY 0.4% (continued)
     PIPELINES 0.1% (continued)     
$100,000   Enterprise Products Operating LLC, Guaranteed Notes, 4.85%, 8/15/42  $120,594 
 200,000   Kinder Morgan, Inc., Guaranteed Notes, 4.30%, 3/1/28   226,522 
 100,000   Magellan Midstream Partners LP, Senior Unsecured Notes, 4.25%, 9/15/46   110,631 
 175,000   TransCanada PipeLines Ltd., Senior Unsecured Notes, 4.25%, 5/15/28   199,075 
         950,726 
         2,896,539 
     FINANCIAL 1.4%     
     BANKS 0.7%     
 100,000   Australia & New Zealand Banking Group Ltd., Subordinated Notes, 4.50%, 3/19/24(3)   108,532 
 125,000   Bank of America Corp., Senior Unsecured Notes, 3.50%, 4/19/26   136,528 
 100,000   Bank of Montreal, Series E, Senior Unsecured Notes, 3.30%, 2/5/24   106,325 
 175,000   Barclays PLC, Senior Unsecured Notes, 4.34%, 1/10/28(2)   195,649 
 250,000   Canadian Imperial Bank of Commerce, Senior Unsecured Notes, 2.25%, 1/28/25   259,607 
 145,000   Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44   192,737 
 150,000   Citigroup, Inc., Senior Unsecured Notes, (3-month LIBOR + 0.90)%, 3.35%, 4/24/25(4)   159,315 
 150,000   Cooperatieve Rabobank UA, Senior Unsecured Notes, 3.38%, 5/21/25   162,593 
 125,000   Fifth Third Bancorp, Senior Unsecured Notes, 3.65%, 1/25/24   133,354 
 100,000   Goldman Sachs Group, Inc., Subordinated Notes, 6.75%, 10/1/37   142,873 
 150,000   Goldman Sachs Group, Inc., Senior Unsecured Notes, 3.75%, 2/25/26   164,537 
 200,000   HSBC Holdings PLC, Senior Unsecured Notes, 3.90%, 5/25/26   220,198 
 100,000   Huntington Bancshares, Inc., Senior Unsecured Notes, 2.63%, 8/6/24   104,873 
 150,000   ING Groep NV, Senior Unsecured Notes, 4.10%, 10/2/23   160,542 
 100,000   ING Groep NV, Senior Unsecured Notes, 3.95%, 3/29/27   111,969 
 100,000   JPMorgan Chase & Co., Senior Unsecured Notes, (3-month LIBOR + 1.38)%, 3.96%, 11/15/48(4)   115,651 
 250,000   JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26   280,986 
 150,000   KeyCorp, Senior Unsecured Notes, 2.55%, 10/1/29   155,960 
 250,000   Lloyds Banking Group PLC, Senior Unsecured Notes, 3.90%, 3/12/24   268,744 
 250,000   Morgan Stanley, Subordinated Notes, 4.88%, 11/1/22   261,879 
 200,000   Morgan Stanley, Series F, Senior Unsecured Notes, 3.88%, 4/29/24   215,702 
 125,000   National Australia Bank Ltd., Senior Unsecured Notes, 2.50%, 7/12/26   132,544 
 150,000   Northern Trust Corp., Senior Unsecured Notes, 3.15%, 5/3/29   163,556 
 225,000   Royal Bank of Canada, Subordinated Notes, 4.65%, 1/27/26   255,196 
 150,000   Santander Holdings USA, Inc., Senior Unsecured Notes, 3.50%, 6/7/24   159,324 
 125,000   State Street Corp., Senior Unsecured Notes, 2.40%, 1/24/30   129,561 
 100,000   Sumitomo Mitsui Financial Group, Inc., Senior Unsecured Notes, 3.04%, 7/16/29   105,851 
 150,000   Toronto-Dominion Bank, Senior Unsecured Notes, 1.15%, 6/12/25   150,279 
 125,000   Truist Bank, Subordinated Notes, (5-year Treasury Constant Maturity Rate + 1.15%), 2.64%, 9/17/29(4)   130,651 
 150,000   US Bancorp, Subordinated Notes, 3.60%, 9/11/24   162,476 
 150,000   Zions Bancorp NA, Subordinated Notes, 3.25%, 10/29/29   155,783 
         5,203,775 
     DIVERSIFIED FINANCIAL SERVICES 0.2%     
 175,000   AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Guaranteed Notes, 1.75%, 1/30/26(2)   173,141 
 200,000   Air Lease Corp., Senior Unsecured Notes, 3.63%, 4/1/27   215,020 
 150,000   Ally Financial, Inc., Senior Unsecured Notes, 5.13%, 9/30/24   167,919 
 125,000   American Express Co., Senior Unsecured Notes, 3.13%, 5/20/26   135,315 
 125,000   Brookfield Finance, Inc., Guaranteed Notes, 2.72%, 4/15/31   127,703 
 185,000   Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24   200,352 
 100,000   Stifel Financial Corp., Senior Unsecured Notes, 4.25%, 7/18/24   108,801 
 100,000   Synchrony Financial, Senior Unsecured Notes, 4.25%, 8/15/24   108,046 
         1,236,297 
     INSURANCE 0.2%     
 125,000   Aflac, Inc., Senior Unsecured Notes, 3.60%, 4/1/30   139,644 

 

6

 

 

Schedule of Investments (unaudited) (continued)  

 

Principal
Amount		      Value 
  CORPORATE BONDS & NOTES 4.7% (continued) 
    FINANCIAL 1.4% (continued)
     INSURANCE 0.2% (continued)     
$140,000   Allstate Corp., Senior Unsecured Notes, 1.45%, 12/15/30(2)  $133,581 
 150,000   Aon Corp., Guaranteed Notes, 3.75%, 5/2/29   166,820 
 150,000   Berkshire Hathaway Finance Corp., Guaranteed Notes, 1.85%, 3/12/30   149,176 
 150,000   Chubb INA Holdings, Inc., Guaranteed Notes, 3.35%, 5/3/26   163,550 
 100,000   CNA Financial Corp., Senior Unsecured Notes, 3.95%, 5/15/24   107,457 
 125,000   Hartford Financial Services Group, Inc., Senior Unsecured Notes, 2.80%, 8/19/29(2)   130,499 
 175,000   PartnerRe Finance B LLC, Guaranteed Notes, 3.70%, 7/2/29(2)   192,575 
 150,000   Principal Financial Group, Inc., Guaranteed Notes, 3.70%, 5/15/29   167,681 
 200,000   Prudential Financial, Inc., Junior Subordinated Notes, (3-month LIBOR + 2.67)%, 5.70%, 9/15/48(2)(4)   233,890 
 100,000   Reinsurance Group of America, Inc., Senior Unsecured Notes, 3.90%, 5/15/29   111,618 
 100,000   Willis North America, Inc., Guaranteed Notes, 2.95%, 9/15/29   104,468 
         1,800,959 
     REITS 0.3%     
 150,000   American Tower Corp., Senior Unsecured Notes, 2.95%, 1/15/25   158,410 
 100,000   AvalonBay Communities, Inc., Senior Unsecured Notes, 3.45%, 6/1/25   107,961 
 100,000   AvalonBay Communities, Inc., Senior Unsecured Notes, 2.45%, 1/15/31   102,434 
 150,000   Digital Realty Trust LP, Guaranteed Notes, 3.60%, 7/1/29   163,961 
 125,000   Equinix, Inc., Senior Unsecured Notes, 2.50%, 5/15/31   125,706 
 100,000   Essex Portfolio LP, Guaranteed Notes, 3.00%, 1/15/30   105,089 
 125,000   Essex Portfolio LP, Guaranteed Notes, 4.00%, 3/1/29   140,059 
 100,000   Kimco Realty Corp., 2.25%, 12/1/31   97,568 
 125,000   Life Storage LP, Guaranteed Notes, 2.20%, 10/15/30   123,809 
 125,000   Prologis LP, Senior Unsecured Notes, 2.25%, 4/15/30   127,112 
 175,000   Sabra Health Care LP, Guaranteed Notes, 3.90%, 10/15/29   184,175 
 250,000   Welltower, Inc., Senior Unsecured Notes, 4.25%, 4/15/28   283,565 
 100,000   Weyerhaeuser Co., Senior Unsecured Notes, 6.95%, 10/1/27   127,731 
         1,847,580 
         10,088,611 
     INDUSTRIAL 0.4%     
     AEROSPACE & DEFENSE 0.0%     
 100,000   L3Harris Technologies, Inc., Senior Unsecured Notes, 4.40%, 6/15/28   114,021 
 125,000   Raytheon Technologies Corp., Senior Unsecured Notes, 4.13%, 11/16/28   142,154 
 170,000   Teledyne Technologies, Inc., Senior Unsecured Notes, 1.60%, 4/1/26   171,163 
         427,338 
     BUILDING MATERIALS 0.1%     
 125,000   Johnson Controls International PLC/Tyco Fire & Security Finance SCA, Senior Unsecured Notes, 1.75%, 9/15/30(2)   121,190 
 125,000   Masco Corp., Senior Unsecured Notes, 2.00%, 10/1/30   120,713 
 150,000   Owens Corning, Senior Unsecured Notes, 3.95%, 8/15/29   167,211 
 150,000   Vulcan Materials Co., Senior Unsecured Notes, 3.50%, 6/1/30   164,503 
         573,617 
     ELECTRONICS 0.1%     
 150,000   Amphenol Corp., 2.20%, 9/15/31   148,570 
 200,000   Flex Ltd., Senior Unsecured Notes, 4.75%, 6/15/25   221,917 
 150,000   Honeywell International, Inc., Senior Unsecured Notes, 1.95%, 6/1/30   150,013 
 150,000   Jabil, Inc., Senior Unsecured Notes, 1.70%, 4/15/26   150,711 
         671,211 
     MACHINERY - DIVERSIFIED 0.0%     
 100,000   John Deere Capital Corp., Senior Unsecured Notes, 2.45%, 1/9/30(2)   103,987 
     MISCELLANEOUS MANUFACTURERS 0.1%     
 250,000   Textron, Inc., Senior Unsecured Notes, 3.88%, 3/1/25   270,154 
 200,000   Trane Technologies Luxembourg Finance SA, Guaranteed Notes, 3.80%, 3/21/29   223,462 
         493,616 

 

7

 

 

September 30, 2021

 

Principal
Amount		      Value 
  CORPORATE BONDS & NOTES 4.7% (continued) 
    INDUSTRIAL 0.4% (continued)
     PACKAGING & CONTAINERS 0.1%     
$140,000   Ball Corp., Guaranteed Notes, 4.88%, 3/15/26  $154,700 
 150,000   Packaging Corp. of America, Senior Unsecured Notes, 3.65%, 9/15/24   160,911 
 100,000   WRKCo, Inc., Guaranteed Notes, 3.90%, 6/1/28   111,462 
         427,073 
     TRANSPORTATION 0.0%     
 100,000   CSX Corp., Senior Unsecured Notes, 3.35%, 9/15/49   104,900 
 175,000   United Parcel Service, Inc., Senior Unsecured Notes, 2.50%, 9/1/29   183,197 
         288,097 
         2,984,939 
     TECHNOLOGY 0.4%     
     COMPUTERS 0.1%     
 150,000   Apple, Inc., Senior Unsecured Notes, 1.25%, 8/20/30(2)   141,927 
 125,000   Dell International LLC / EMC Corp., 4.90%, 10/1/26   144,098 
 150,000   HP, Inc., Senior Unsecured Notes, 3.00%, 6/17/27   160,099 
 100,000   International Business Machines Corp., Senior Unsecured Notes, 1.70%, 5/15/27   101,382 
 175,000   NetApp, Inc., Senior Unsecured Notes, 1.88%, 6/22/25   179,163 
         726,669 
     SEMICONDUCTORS 0.1%     
 100,000   Analog Devices, Inc., 2.80%, 10/1/41   99,532 
 100,000   Applied Materials, Inc., Senior Unsecured Notes, 1.75%, 6/1/30   98,346 
 100,000   KLA Corp., Senior Unsecured Notes, 4.10%, 3/15/29   113,707 
 100,000   Lam Research Corp., Senior Unsecured Notes, 4.00%, 3/15/29(2)   114,679 
 225,000   Micron Technology, Inc., Senior Unsecured Notes, 2.50%, 4/24/23   231,588 
 125,000   NVIDIA Corp., Senior Unsecured Notes, 2.85%, 4/1/30   133,813 
 100,000   Xilinx, Inc., Senior Unsecured Notes, 2.38%, 6/1/30   101,919 
         893,584 
     SOFTWARE 0.2%     
 150,000   Electronic Arts, Inc., Senior Unsecured Notes, 4.80%, 3/1/26   170,576 
 100,000   Fiserv, Inc., Senior Unsecured Notes, 3.50%, 7/1/29   108,901 
 135,000   Intuit, Inc., Senior Unsecured Notes, 1.65%, 7/15/30   131,396 
 125,000   Microsoft Corp., Senior Unsecured Notes, 2.40%, 8/8/26   132,728 
 110,000   Oracle Corp., Senior Unsecured Notes, 2.95%, 4/1/30   115,112 
 150,000   Roper Technologies, Inc., Senior Unsecured Notes, 2.00%, 6/30/30   146,701 
 150,000   salesforce.com, Inc., Senior Unsecured Notes, 2.70%, 7/15/41   149,220 
         954,634 
         2,574,887 
     UTILITIES 0.3%     
     ELECTRIC 0.3%     
 100,000   CenterPoint Energy, Inc., Senior Unsecured Notes, 4.25%, 11/1/28   113,838 
 100,000   Consolidated Edison Co. of New York, Inc., Senior Unsecured Notes, 4.50%, 12/1/45   120,743 
 200,000   Dominion Energy, Inc., Senior Unsecured Notes, 4.25%, 6/1/28   227,019 
 150,000   DTE Electric Co., 3.95%, 3/1/49   176,687 
 125,000   Duke Energy Corp., Senior Unsecured Notes, 3.75%, 9/1/46   133,183 
 100,000   Eversource Energy, Series R, Senior Unsecured Notes, 1.65%, 8/15/30   94,867 
 200,000   Florida Power & Light Co., 4.05%, 6/1/42   237,545 
 100,000   ITC Holdings Corp., Senior Unsecured Notes, 3.25%, 6/30/26   107,842 
 125,000   Nevada Power Co., Series DD, 2.40%, 5/1/30(2)   126,618 
 125,000   Northern States Power Co., 2.90%, 3/1/50   125,234 
 150,000   Pinnacle West Capital Corp., Senior Unsecured Notes, 1.30%, 6/15/25   150,163 
 125,000   Public Service Enterprise Group, Inc., Senior Unsecured Notes, 1.60%, 8/15/30   118,136 
 150,000   WEC Energy Group, Inc., Senior Unsecured Notes, 1.80%, 10/15/30   143,470 
         1,875,345 
     GAS 0.0%     
 225,000   National Fuel Gas Co., Senior Unsecured Notes, 5.20%, 7/15/25   250,628 
     WATER 0.0%     
 175,000   American Water Capital Corp., Senior Unsecured Notes, 3.75%, 9/1/28   196,378 
         2,322,351 

 

8

 

 

Schedule of Investments (unaudited) (continued)  

 

Principal
Amount		      Value 
 CORPORATE BONDS & NOTES 4.7% (continued)     
 TOTAL CORPORATE BONDS & NOTES
(Cost $33,004,698)		   33,873,106 
 FOREIGN GOVERNMENT OBLIGATIONS 0.1%     
$100,000   European Bank for Reconstruction & Development, Senior Unsecured Notes, 2.75%, 3/7/23  $103,564 
 175,000   Export-Import Bank of Korea, Senior Unsecured Notes, 1.13%, 12/29/26   173,704 
 150,000   Panama Government International Bond, Senior Unsecured Notes, 4.00%, 9/22/24   161,064 
 TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost $427,018)		   438,332 
 LONG-TERM MUNICIPAL SECURITIES 0.4%     
     CALIFORNIA 0.1%     
 150,000   City of Pasadena CA, Refunding Revenue Bonds, Ser. B, 2.77%, 5/1/34   153,971 
 100,000   Municipal Improvement Corp. of Los Angeles Revenue Bonds, Series C, 1.88%, 11/1/30   99,134 
 100,000   San Marcos California Unified School District, Refunding Revenue Bonds, AGM Insured, 3.17%, 8/1/38   103,283 
 50,000   University of California Regents Medical Center Pooled Revenue, Revenue Bonds, Build America Bonds, Series H, 6.40%, 5/15/31   64,460 
         420,848 
     COLORADO 0.0%     
 125,000   Regional Transportation District Sales Tax Revenue, Revenue Bonds, Ser. A, 2.29%, 11/1/35   123,225 
     DELAWARE 0.0%     
 225,000   County of Sussex DE, General Obligation Limited, Series B, GO, 1.21%, 3/15/29   219,504 
     MASSACHUSETTS 0.1%     
 100,000   Boston Water & Sewer Commission, Refunding Revenue Bonds, Ser. A, 2.38%, 11/1/37   100,561 
 175,000   Massachusetts School Building Authority, Refunding Revenue Bonds, Ser. B, 3.40%, 10/15/40   183,973 
 275,000   Massachusetts Water Resources Authority, Green Bonds, Refunding Revenue Bonds, Ser. F, 3.10%, 8/1/39   289,709 
         574,243 
     NEW YORK 0.1%     
 100,000   New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate Bonds, Revenue Bonds, Ser. E-2, 2.63%, 2/1/23   103,170 
 250,000   New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate Bonds, Revenue Bonds, 3.00%, 2/1/26   266,484 
 135,000   New York Municipal Bond Bank Agency Revenue, Revenue Bonds, Build America Bonds, Ser. D2, 6.64%, 4/1/25   148,781 
         518,435 
     PENNSYLVANIA 0.0%     
 100,000   Pennsylvania Turnpike Commission, Motor License, Refunding Revenue Bonds, 3.29%, 12/1/36   104,785 
     RHODE ISLAND 0.0%     
 150,000   Narragansett Bay Commission, Wastewater System, Revenue Refunding Bonds, 2.46%, 9/1/35   153,101 
     TEXAS 0.1%     
 175,000   City of Houston TX Combined Utility System Revenue, Refunding Revenue Bonds, Series D, 1.97%, 11/15/34   171,219 
 250,000   Dallas Independent School District Qualified School Construction Notes, General Obligation Limited, 5.05%, 8/15/33   274,752 
 250,000   Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43   304,258 
 150,000   Tyler Independent School District, Texas Unlimited Tax, Refunding Revenue Bonds, PSF-GTD Insured, 1.68%, 2/15/32   147,651 
         897,880 
 TOTAL LONG-TERM MUNICIPAL SECURITIES
(Cost $2,921,800)		   3,012,021 

 

9

 

 

September 30, 2021

 

  Shares     Value 
 U.S. GOVERNMENT AGENCY OBLIGATIONS 0.1%     
$230,000   FHLB, 3.25%, 3/8/24  $245,827 
 250,000   FNMA, 2.38%, 1/19/23   257,067 
 TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $481,167)  		   502,894 
 RESIDENTIAL MORTGAGE-BACKED SECURITIES 2.0%     
     MORTGAGE SECURITIES 2.0%     
 103,526   FHLMC, Series 4151, Class PA, 2.00%, 1/15/33   107,240 
 32,429   FHLMC Gold PC Pool #A47613, 5.00%, 11/1/35   36,586 
 30,033   FHLMC Gold PC Pool #C09055, 4.00%, 12/1/43   32,969 
 49,503   FHLMC Gold PC Pool #J17969, 3.00%, 2/1/27   52,229 
 111,742   FHLMC Gold Pool #C09027, 3.00%, 2/1/43   119,276 
 20,624   FHLMC Gold Pool #G08521, 3.00%, 1/1/43   22,015 
 98,121   FHLMC Gold Pool #J13314, 3.50%, 10/1/25   104,655 
 41,964   FHLMC Gold Pool #Q06884, 3.50%, 3/1/42   45,712 
 47,196   FHLMC Gold Pool #Q11077, 3.50%, 9/1/42   51,398 
 37,930   FHLMC Gold Pool #Q34167, 4.00%, 6/1/45   41,855 
 138,867   FHLMC Gold Pool #Q41084, 3.50%, 6/1/46   148,978 
 84,462   FHLMC Pool #QB5314, 2.50%, 11/1/50   87,112 
 693,753   FHLMC Pool #SD8093, 3.50%, 9/1/50   733,488 
 1,620,853   FHLMC Pool #SD8108, 3.00%, 11/1/50   1,695,654 
 2,545,436   FHLMC Pool #SD8128, 2.00%, 2/1/51   2,552,516 
 49,374   FNMA Pool #254954, 4.50%, 10/1/23   53,247 
 64,700   FNMA Pool #745275, 5.00%, 2/1/36   73,849 
 68,923   FNMA Pool #844809, 5.00%, 11/1/35   78,686 
 31,160   FNMA Pool #AA0466, 4.50%, 2/1/39   34,623 
 75,142   FNMA Pool #AB1796, 3.50%, 11/1/40   81,311 
 34,753   FNMA Pool #AB3218, 3.50%, 7/1/31   36,900 
 95,361   FNMA Pool #AB3900, 3.00%, 11/1/26   100,422 
 24,914   FNMA Pool #AC5822, 4.50%, 5/1/40   27,579 
 58,913   FNMA Pool #AD7128, 4.50%, 7/1/40   66,039 
 34,845   FNMA Pool #AD8529, 4.50%, 8/1/40   38,920 
 400   FNMA Pool #AH3226, 5.00%, 2/1/41   455 
 80,496   FNMA Pool #AH4493, 4.50%, 2/1/41   90,207 
 47,604   FNMA Pool #AI1019, 4.50%, 5/1/41   53,361 
 157,656   FNMA Pool #AL0657, 5.00%, 8/1/41   180,174 
 121,888   FNMA Pool #AQ1853, 3.00%, 11/1/42   129,428 
 52,348   FNMA Pool #AS0560, 4.50%, 9/1/43   58,593 
 33,159   FNMA Pool #AS1529, 3.00%, 1/1/29   34,976 
 33,177   FNMA Pool #AS3789, 4.50%, 11/1/44   36,602 
 41,011   FNMA Pool #AS4503, 3.00%, 2/1/30   43,229 
 54,406   FNMA Pool #AS4928, 3.50%, 5/1/45   58,514 
 23,121   FNMA Pool #AS6205, 3.50%, 11/1/45   24,853 
 88,790   FNMA Pool #AS7188, 4.00%, 5/1/46   96,842 
 117,307   FNMA Pool #AS9459, 4.50%, 4/1/47   128,408 
 20,517   FNMA Pool #AT8849, 4.00%, 6/1/43   22,650 
 72,762   FNMA Pool #AU3621, 3.00%, 7/1/43   77,604 
 118,135   FNMA Pool #AU5409, 3.00%, 8/1/43   123,547 
 33,852   FNMA Pool #AU5653, 4.00%, 9/1/43   37,442 
 64,293   FNMA Pool #AU6562, 3.50%, 12/1/43   69,861 
 35,592   FNMA Pool #AU7025, 3.00%, 11/1/43   37,894 
 58,240   FNMA Pool #AV3310, 4.50%, 1/1/44   63,313 
 99,926   FNMA Pool #AY2728, 2.50%, 2/1/30   104,579 
 46,552   FNMA Pool #AZ2276, 4.00%, 6/1/45   50,833 
 98,212   FNMA Pool #BA6555, 3.00%, 1/1/46   103,793 
 34,508   FNMA Pool #BD8211, 4.00%, 4/1/47   37,179
 49,159   FNMA Pool #BK2040, 4.00%, 5/1/48   52,724 
 31,661   FNMA Pool #BK9648, 3.50%, 11/1/48   33,492 
 191,288   FNMA Pool #BM5793, 3.00%, 4/1/49   200,057 
 96,550   FNMA Pool #BN6248, 3.00%, 4/1/49   101,117 
 764,489   FNMA Pool #CA5540, 3.00%, 4/1/50   815,419 
 438,156   FNMA Pool #FM4140, 2.50%, 9/1/50   454,810 
 154,141   FNMA Pool #MA4077, 2.00%, 7/1/50   154,570 
 1,355,291   FNMA Pool #MA4119, 2.00%, 9/1/50   1,359,061 
 1,645,366   FNMA Pool #MA4159, 2.50%, 10/1/50   1,696,988 
 274,155   FNMA Pool #MA4222, 3.50%, 12/1/50   290,238 
 70,700   FNMA REMIC Trust Series 2013-18, Class AE, 2.00%, 3/25/28   72,782 
 31,115   GNMA I Pool #539285, 3.00%, 5/15/42   32,618 
 53,953   GNMA II Pool #MA1520, 3.00%, 12/20/43   57,102 
 72,379   GNMA II Pool #MA1521, 3.50%, 12/20/43   78,105 
 130,995   GNMA II Pool #MA1839, 4.00%, 4/20/44   143,106 
 154,636   GNMA II Pool #MA4836, 3.00%, 11/20/47   162,687 
 387,473   GNMA II Pool #MA7054, 3.50%, 12/20/50   407,465 
         14,199,937 
 TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost $14,227,049)  		   14,199,937 
 U.S. TREASURY OBLIGATIONS 1.9%     
 150,000   U.S. Treasury Bonds, 5.38%, 2/15/31   201,744 
 520,000   U.S. Treasury Bonds, 4.38%, 2/15/38   710,653 
 200,000   U.S. Treasury Bonds, 3.50%, 2/15/39   248,914 
 1,087,000   U.S. Treasury Bonds, 2.75%, 8/15/42   1,220,879 
 960,000   U.S. Treasury Bonds, 3.00%, 2/15/48   1,138,575 
 1,053,000   U.S. Treasury Bonds, 2.25%, 8/15/49   1,088,498 
 269,000   U.S. Treasury Notes, 2.13%, 7/31/24   281,410 
 275,000   U.S. Treasury Notes, 2.25%, 11/15/24   289,427 
 1,170,000   U.S. Treasury Notes, 0.50%, 3/31/25   1,163,190 
 1,260,000   U.S. Treasury Notes, 3.00%, 9/30/25   1,369,266 
 175,000   U.S. Treasury Notes, 2.13%, 5/31/26   184,475 
 25,000   U.S. Treasury Notes, 1.50%, 8/15/26   25,618 
 1,280,000   U.S. Treasury Notes, 0.63%, 3/31/27(2)   1,248,300 
 462,000   U.S. Treasury Notes, 2.25%, 8/15/27   490,749 
 175,000   U.S. Treasury Notes, 2.75%, 2/15/28   191,331 
 750,000   U.S. Treasury Notes, 1.25%, 3/31/28   749,473 
 360,000   U.S. Treasury Notes, 2.88%, 5/15/28   396,773 
 1,180,000   U.S. Treasury Notes, 1.63%, 8/15/29   1,200,788 
 1,200,000   U.S. Treasury Notes, 1.13%, 2/15/31(2)   1,161,187 
 TOTAL U.S. TREASURY OBLIGATIONS
(Cost $12,910,201)		   13,361,250 

 

10

 

 

Schedule of Investments (unaudited) (continued)

 

Shares          Value
  SHORT-TERM INVESTMENTS 6.5%
       MONEY MARKET FUNDS 6.5%     
  41,188,543    State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.03%(5)   41,188,543 
  5,621,099    State Street Navigator Securities Lending Government Money Market Portfolio(6)   5,621,099 
           46,809,642 
  TOTAL SHORT-TERM INVESTMENTS
(Cost $46,809,642)		   46,809,642 
  TOTAL INVESTMENTS IN SECURITIES 100.8%
(Cost $536,577,268)		  $721,301,680 
EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (0.8%)   (5,652,922)
NET ASSETS(7) 100%  $715,648,758 

 

(1) Non-income producing.
(2) A portion or all of the security was held on loan. As of September 30, 2021, the market value of the securities on loan was $27,294,095.
(3) Pursuant to Rule 144A under the Securities Act of 1933, this security can only be sold to qualified institutional investors.
(4) Floating or variable rate security. The rate disclosed is the rate in effect as of September 30, 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.
(5) Rate reflects 7 day yield as of September 30, 2021.
(6) Securities with an aggregate market value of $27,294,095 were out on loan in exchange for collateral including $5,621,099 of cash and securities collateral as of September 30, 2021. The collateral was invested in a cash collateral reinvestment vehicle.
(7) For federal income tax purposes, the aggregate cost was $536,577,267, aggregate gross unrealized appreciation was $223,500,289, aggregate gross unrealized depreciation was $38,775,876 and the net unrealized appreciation was $184,724,413.
ADR American Depositary Receipt.
FHLB Federal Home Loan Bank.
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.
REIT Real Estate Investment Trust.
REMIC Real Estate Mortgage Investment Conduit.

 

11

 

 

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 September 30, 2021:

 
Investments in Securities:  Level 1   Level 2   Level 3   Total 
Assets                
Common Stocks*  $600,020,972   $—   $—   $600,020,972 
Asset-Backed Securities   —    2,283,060    —    2,283,060 
Commercial Mortgage-Backed Securities   —    6,800,466    —    6,800,466 
Corporate Bonds & Notes*   —    33,873,106    —    33,873,106 
Foreign Government Obligations   —    438,332    —    438,332 
Long-Term Municipal Securities*   —    3,012,021    —    3,012,021 
U.S. Government Agency Obligations   —    502,894    —    502,894 
Residential Mortgage-Backed Securities   —    14,199,937    —    14,199,937 
U.S. Treasury Obligations   —    13,361,250    —    13,361,250 
Short-Term Investments   46,809,642    —    —    46,809,642 
Total Investments in Securities  $646,830,614   $74,471,066   $—   $721,301,680 

 

* 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, 2021, there were no Level 3 investments.