N-Q 1 e39248nq.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY

Investment Company Act file number       811-3070

Hilliard-Lyons Government Fund, Inc.
(Exact name of registrant as specified in charter)

P.O. Box 32760
Louisville, Kentucky 40232-2760
(Address of principal executive offices) (Zip code)

Joseph C. Curry, Jr.
Hilliard-Lyons Government Fund, Inc.
P.O. Box 32760
Louisville, Kentucky 40232-2760
(Name and address of agent for service)

Registrant's telephone number, including area code: 502-588-8400

Date of fiscal year end: August 31

Date of reporting period: May 31, 2010

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


Item 1. Schedule of Investments.

HILLIARD-LYONS GOVERNMENT FUND, INC.
SCHEDULE OF INVESTMENTS
(UNAUDITED)
May 31, 2010

        Cash
Equivalent
Yield
               
Principal
Amount
          Maturity
Date
       
              Value
 
      U.S. GOVERNMENT SPONSORED ENTERPRISES* -- 63.5%***                
 
$
44,000,000
   Federal Home Loan Bank
0.061
 %     06/01/2010    
$
 44,000,000
 
15,300,000
   Federal Home Loan Bank
0.091
       06/01/2010       15,300,000
 
50,000,000
   Federal Home Loan Bank
0.112
       06/01/2010       50,000,000
 
40,000,000
   Federal Home Loan Bank
0.122
       06/02/2010       39,999,867
 
25,000,000
   Federal Home Loan Bank
0.157
       06/02/2010       24,999,892
 
55,000,000
   Federal Farm Credit Bank
0.368
   (a)   06/03/2010 (b)     55,000,000
 
50,000,000
   Federal Home Loan Bank
0.117
       06/04/2010       49,999,521
 
64,500,000
   Federal Farm Credit Bank
0.528
   (a)   06/04/2010 (b)     64,492,871
 
30,000,000
   Federal Home Loan Bank
0.112
       06/07/2010       29,999,450
 
30,000,000
   Federal Home Loan Bank
0.147
       06/09/2010       29,999,033
 
35,000,000
   Federal Home Loan Bank
0.157
       06/11/2010       34,998,493
 
20,000,000
   Federal Home Loan Bank
0.122
       06/14/2010       19,999,133
 
25,000,000
   Federal Farm Credit Bank
0.830
   (a)   06/15/2010 (b)     25,000,000
 
40,000,000
   Federal Home Loan Bank
0.172
       06/16/2010       39,997,167
 
54,000,000
   Federal Farm Credit Bank
0.430
   (a)   06/20/2010 (b)     54,026,210
 
50,000,000
   Federal Home Loan Bank
0.162
       06/23/2010       49,995,111
 
40,000,000
   Federal Home Loan Bank
0.122
       06/30/2010       39,996,133
 
90,000,000
   Federal Home Loan Bank
0.198
   (a)   07/13/2010 (b)     90,002,041
 
78,000,000
   Federal Home Loan Bank
0.253
   (a)   07/15/2010 (b)     77,998,347
 
90,000,000
   Federal Home Loan Bank
0.251
   (a)   07/27/2010 (b)     89,999,733
 
55,000,000
   Federal Home Loan Bank
0.274
   (a)   07/28/2010 (b)     55,001,143
 
25,000,000
   Federal Farm Credit Bank
0.230
   (a)   08/04/2010 (b)     24,999,277
   30,000,000   Federal Farm Credit Bank
0.750
   (a)   08/12/2010 (b)      30,000,000
        
           
      TOTAL U.S. GOVERNMENT SPONSORED ENTERPRISES                
      (at amortized cost -- $1,035,803,422)               1,035,803,422
        
           
      U.S. TREASURY SECURITIES -- 9.8%***
               
        
               
  40,000,000   United States Treasury Bill
0.130
       06/04/2010       39,999,711
  35,000,000   United States Treasury Bill
0.145
       06/10/2010       34,998,731
  45,000,000   United States Treasury Bill
0.140
       06/17/2010       44,997,200
  40,000,000   United States Treasury Bill
0.145
       06/24/2010       39,996,295
        
           
      TOTAL U.S. TREASURY SECURITIES                
      (at amortized cost -- $159,991,937)               159,991,937
       
           
      REPURCHASE AGREEMENTS -- 6.1%***                
        
               
  100,000,000   JP Morgan Securities, Inc. Repurchase
Agreement, dated 5/28/10, collateralized by
$102,118,000 market value U.S. Treasury
Bills, 0.22%, due 11/26/10 with a repurchase
price of $100,001,111
0.100
       06/01/2010       100,000,000
     
           
     
               
     
               
     
               
        
               
      TOTAL REPURCHASE AGREEMENTS                
      (at cost -- $100,000,000)               100,000,000
                     



HILLIARD-LYONS GOVERNMENT FUND, INC.
SCHEDULE OF INVESTMENTS - continued
(UNAUDITED)
May 31, 2010

        Cash
Equivalent
Yield
               
Principal
Amount
          Maturity
Date
       
              Value
 
      FDIC GUARANTEED CORPORATE FLOATING RATE NOTES** -- 20.6%***          
 
$
22,000,000
   Bank of America NA 0.378 %
(a)
   07/29/2010 (b)  
$
 22,013,310
 
42,000,000
   Citigroup Funding Inc. 0.438  
(a)
   07/30/2010 (b)     42,007,508
 
30,000,000
   Bank of America NA 0.287  
(a)
   09/13/2010 (b)     30,009,916
 
48,600,000
   American Express Bank, FSB 1.147  
(a)
   12/10/2010 (b)     48,790,424
 
17,500,000
   KeyCorp 0.907  
(a)
   12/15/2010 (b)     17,514,943
 
10,000,000
   SunTrust Bank 0.907  
(a)
   12/16/2010 (b)     10,008,086
 
64,400,000
   General Electric Capital Corp. 0.336  
(a)
   03/11/2011 (b)     64,465,294
 
20,000,000
   Goldman Sachs Group Inc. 0.337  
(a)
   03/15/2011 (b)     20,037,005
 
22,000,000
   Goldman Sachs Group Inc. 0.624  
(a)
   11/09/2011 (b)     22,058,478
 
58,000,000
   General Electric Capital Corp. 1.184  
(a)
   12/09/2011 (b)     58,757,441
                   
      TOTAL FDIC GUARANTEED CORPORATE FLOATING RATE NOTES          
      (at amortized cost -- $335,662,405)                 335,662,405
                       
      TOTAL INVESTMENTS – 100.0%                  
      (at cost -- $1,631,457,764****)                 1,631,457,764
                     
      OTHER ASSETS LESS LIABILITIES – 0.0%                 909,212
                     
      NET ASSETS - 100.0%              
$
 1,632,366,976
                     

*      Obligations of U.S. Government sponsored enterprises are not issued or guaranteed by the United States Treasury.
**      This debt is guaranteed under the Federal Deposit Insurance Corporation's ("FDIC") Temporary Liquidity Guarantee Program ("TLGP") and is backed by the full faith and credit of the United States. Details of the TLGP can be found on the FDIC's website, www.fdic.gov/tlgp.
*** The percentage shown for each investment category is the total value of that category as a percentage of the total net assets of the Fund.
**** Also represents cost for federal income tax purposes.
(a)      Floating or variable rate security. The interest rate shown is the rate in effect as of May 31, 2010.
(b)      The maturity date shown is either the readjustment date of the interest rate or the stated maturity date on the security.

Item 2. Controls and Procedures.

(a)      The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on an evaluation of those controls and procedures made as of a date within 90 days of the filing date of this report as required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934.
 
(b)      There have been no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Exhibit 99. CERT     Certifications pursuant to Section 302 of the Sarbanes Oxley Act of 2002. Filed herewith.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)
Hilliard-Lyons Government Fund, Inc.
    
By (Signature and Title) /s/ Joseph C. Curry, Jr.
 
  Joseph C. Curry, Jr., President
  (principal executive officer)

Date: July 8, 2010

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title) /s/ Dianna P. Wengler
 
  Dianna P. Wengler, Senior Vice President and Treasurer
  (principal financial officer)

Date: July 8, 2010

By (Signature and Title) /s/ Joseph C. Curry, Jr.
 
  Joseph C. Curry, Jr., President
  (principal executive officer)

Date: July 8, 2010