Value Line Core Bond Fund
Schedule of Investments (unaudited)
| Principal Amount | Value | |||||||
| ASSET-BACKED SECURITIES 1.9% | ||||||||
| $ | 100,000 | Chase Issuance Trust, Series 2012-A7, Class A7, 2.16%, 9/15/24 | $ | 100,348 | ||||
| 200,000 | Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.19%, 7/15/31 (1) | 199,443 | ||||||
| 150,000 | Ford Credit Floorplan Master Owner Trust, Series 2019-2, Class A, 3.06%, 4/15/26 | 150,598 | ||||||
| 8,313 | Mercedes-Benz Auto Lease Trust, Series 2020-A, Class A3, 1.84%, 12/15/22 | 8,315 | ||||||
| 450,000 | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 5/25/33 (1) | 426,832 | ||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $948,459) | 885,536 | |||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES 6.4% | ||||||||
| 150,000 | BANK, Series 2019-BN17, Class A4, 3.71%, 4/15/52 | 153,281 | ||||||
| 150,000 | COMM Mortgage Trust, Series 2014-UBS2, Class AM, 4.20%, 3/10/47 | 151,301 | ||||||
| 180,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K058, Class A2, 2.65%, 8/25/26 | 179,388 | ||||||
| 250,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K061, Class A2, 3.35%, 11/25/26 (2) | 256,960 | ||||||
| 200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K063, Class A2, 3.43%, 1/25/27 (2) | 205,858 | ||||||
| 300,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K069, Class A2, 3.19%, 9/25/27 (2) | 306,153 | ||||||
| 200,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K092, Class A2, 3.30%, 4/25/29 | 205,959 | ||||||
| 450,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K103, Class A2, 2.65%, 11/25/29 | 445,315 | ||||||
| 250,000 | FREMF Mortgage Trust, Series 2013-K24, Class B, 3.51%, 11/25/45 (1)(2) | 251,341 | ||||||
| 175,000 | FREMF Mortgage Trust, Series 2015-K43, Class B, 3.73%, 2/25/48 (1)(2) | 174,935 | ||||||
| 190,977 | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | 183,513 | ||||||
| 165,378 | GNMA, Series 2012-125, Class AB, 2.11%, 2/16/53 (2) | 157,578 | ||||||
| 12,744 | GS Mortgage Securities Trust, Series 2015-GC32, Class A2, 3.06%, 7/10/48 | 12,785 | ||||||
| 42,793 | Sequoia Mortgage Trust, Series 2004-8, Class A1, (1-month LIBOR + 0.70%), 1.15%, 9/20/34 (2) | 40,791 | ||||||
| 200,000 | UBS Commercial Mortgage Trust, Series 2018-C10, Class A2, 3.56%, 5/15/51 | 200,831 | ||||||
| 60,441 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class ASB, 3.46%, 7/15/58 | 60,915 | ||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $3,172,778) | 2,986,904 | |||||||
| CORPORATE BONDS & NOTES 38.4% | ||||||||
| BASIC MATERIALS 2.5% | ||||||||
| CHEMICALS 0.7% | ||||||||
| 200,000 | Celanese U.S. Holdings LLC, Guaranteed Notes, 4.63%, 11/15/22 | 203,007 | ||||||
| 125,000 | Nutrien Ltd., Senior Unsecured Notes, 4.20%, 4/1/29 | 130,633 | ||||||
| 333,640 | ||||||||
| IRON/STEEL 0.7% | ||||||||
| 135,000 | ArcelorMittal SA, Senior Unsecured Notes, 4.25%, 7/16/29 (3) | 137,097 | ||||||
| 165,000 | Steel Dynamics, Inc., Senior Unsecured Notes, 3.25%, 1/15/31 | 159,985 | ||||||
| 297,082 | ||||||||
| MINING 1.1% | ||||||||
| 120,000 | Freeport-McMoRan, Inc., Guaranteed Notes, 4.63%, 8/1/30 | 122,700 | ||||||
| 140,000 | Rio Tinto Finance USA PLC, Guaranteed Notes, 4.13%, 8/21/42 | 150,308 | ||||||
| 200,000 | Teck Resources Ltd., Senior Unsecured Notes, 6.13%, 10/1/35 | 236,166 | ||||||
| 509,174 | ||||||||
| COMMUNICATIONS 3.5% | ||||||||
| INTERNET 0.6% | ||||||||
| 160,000 | Netflix, Inc., Senior Unsecured Notes, 4.88%, 4/15/28 | 167,801 | ||||||
| 125,000 | VeriSign, Inc., Senior Unsecured Notes, 2.70%, 6/15/31 | 113,125 | ||||||
| 280,926 | ||||||||
| MEDIA 1.4% | ||||||||
| 175,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.91%, 7/23/25 | 181,678 | ||||||
| 175,000 | Comcast Corp., Guaranteed Notes, 4.15%, 10/15/28 | 184,065 | ||||||
| 125,000 | Discovery Communications LLC, Guaranteed Notes, 4.90%, 3/11/26 (3) | 130,239 | ||||||
| 150,000 | Walt Disney Co., Guaranteed Notes, 2.65%, 1/13/31 | 143,262 | ||||||
| 639,244 | ||||||||
| 1 |
March 31, 2022
| Principal Amount | Value | |||||||
| CORPORATE BONDS & NOTES 38.4% (continued) | ||||||||
| COMMUNICATIONS 3.5% (continued) | ||||||||
| TELECOMMUNICATIONS 1.5% | ||||||||
| $ | 228,000 | AT&T, Inc., Senior Unsecured Notes, 2.55%, 12/1/33 | $ | 202,376 | ||||
| 200,000 | Motorola Solutions, Inc., Senior Unsecured Notes, 4.60%, 5/23/29 | 207,999 | ||||||
| 150,000 | T-Mobile USA, Inc., Guaranteed Notes, 3.50%, 4/15/31 | 141,375 | ||||||
| 175,000 | Vodafone Group PLC, Senior Unsecured Notes, 4.25%, 9/17/50 | 174,326 | ||||||
| 726,076 | ||||||||
| 1,646,246 | ||||||||
| CONSUMER, CYCLICAL 3.6% | ||||||||
| AUTO MANUFACTURERS 1.0% | ||||||||
| 100,000 | American Honda Finance Corp., Senior Unsecured Notes, 1.00%, 9/10/25 | 93,226 | ||||||
| 170,000 | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.38%, 11/13/25 | 164,900 | ||||||
| 200,000 | General Motors Financial Co., Inc., Guaranteed Notes, 3.70%, 5/9/23 | 202,067 | ||||||
| 460,193 | ||||||||
| HOME BUILDERS 1.4% | ||||||||
| 175,000 | D.R. Horton, Inc., Guaranteed Notes, 2.50%, 10/15/24 | 172,713 | ||||||
| 200,000 | Lennar Corp., Guaranteed Notes, 4.88%, 12/15/23 | 205,547 | ||||||
| 142,000 | PulteGroup, Inc., Guaranteed Notes, 5.00%, 1/15/27 (3) | 149,809 | ||||||
| 140,000 | Toll Brothers Finance Corp., Guaranteed Notes, 4.88%, 11/15/25 | 144,340 | ||||||
| 672,409 | ||||||||
| HOUSEWARES 0.3% | ||||||||
| 165,000 | Newell Brands, Inc., Senior Unsecured Notes, 4.45%, 4/1/26 | 165,774 | ||||||
| LODGING 0.3% | ||||||||
| 125,000 | Hyatt Hotels Corp., Senior Unsecured Notes, 1.80%, 10/1/24 | 120,378 | ||||||
| RETAIL 0.6% | ||||||||
| 150,000 | AutoZone, Inc., Senior Unsecured Notes, 3.75%, 6/1/27 | 153,529 | ||||||
| 125,000 | Dollar General Corp., Senior Unsecured Notes, 3.50%, 4/3/30 (3) | 124,360 | ||||||
| 277,889 | ||||||||
| 1,696,643 | ||||||||
| CONSUMER, NON-CYCLICAL 8.1% | ||||||||
| AGRICULTURE 0.3% | ||||||||
| 125,000 | Bunge Ltd. Finance Corp., Guaranteed Notes, 3.25%, 8/15/26 | 124,547 | ||||||
| BEVERAGES 0.9% | ||||||||
| 125,000 | Anheuser-Busch InBev Worldwide, Inc., Guaranteed Notes, 4.90%, 1/23/31 | 138,782 | ||||||
| 150,000 | Constellation Brands, Inc., Guaranteed Notes, 5.25%, 11/15/48 | 167,554 | ||||||
| 125,000 | Diageo Capital PLC, Guaranteed Notes, 2.00%, 4/29/30 | 113,997 | ||||||
| 420,333 | ||||||||
| BIOTECHNOLOGY 0.8% | ||||||||
| 150,000 | Amgen, Inc., Senior Unsecured Notes, 2.20%, 2/21/27 | 144,658 | ||||||
| 100,000 | Gilead Sciences, Inc., Senior Unsecured Notes, 3.25%, 9/1/22 | 100,444 | ||||||
| 150,000 | Regeneron Pharmaceuticals, Inc., Senior Unsecured Notes, 1.75%, 9/15/30 | 130,185 | ||||||
| 375,287 | ||||||||
| COMMERCIAL SERVICES 0.9% | ||||||||
| 150,000 | PayPal Holdings, Inc., Senior Unsecured Notes, 2.65%, 10/1/26 | 147,801 | ||||||
| 155,000 | Service Corp. International, Senior Unsecured Notes, 4.00%, 5/15/31 | 144,201 | ||||||
| 125,000 | United Rentals North America, Inc., Guaranteed Notes, 5.50%, 5/15/27 | 129,287 | ||||||
| 421,289 | ||||||||
| FOOD 0.5% | ||||||||
| 100,000 | Conagra Brands, Inc., Senior Unsecured Notes, 1.38%, 11/1/27 | 88,897 | ||||||
| 175,000 | Kroger Co., Senior Unsecured Notes, 2.65%, 10/15/26 | 170,837 | ||||||
| 259,734 | ||||||||
| HEALTHCARE PRODUCTS 0.5% | ||||||||
| 125,000 | Abbott Laboratories, Senior Unsecured Notes, 3.75%, 11/30/26 | 129,895 | ||||||
| 100,000 | Baxter International, Inc., Senior Unsecured Notes, 1.73%, 4/1/31 | 86,262 | ||||||
| 216,157 | ||||||||
| HEALTHCARE SERVICES 1.6% | ||||||||
| 150,000 | Centene Corp., Senior Unsecured Notes, 4.63%, 12/15/29 | 151,800 | ||||||
| 150,000 | HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25 | 156,195 | ||||||
| 150,000 | Humana, Inc., Senior Unsecured Notes, 3.95%, 3/15/27 | 152,586 | ||||||
| 150,000 | Laboratory Corp. of America Holdings, Senior Unsecured Notes, 2.95%, 12/1/29 | 144,310 | ||||||
| 2 |
Schedule of Investments (unaudited) (continued)
| Principal Amount | Value | |||||||
| CORPORATE BONDS & NOTES 38.4% (continued) | ||||||||
| CONSUMER, NON-CYCLICAL 8.1% (continued) | ||||||||
| HEALTHCARE SERVICES 1.6% (continued) | ||||||||
| $ | 125,000 | UnitedHealth Group, Inc., Senior Unsecured Notes, 4.63%, 11/15/41 | $ | 142,130 | ||||
| 747,021 | ||||||||
| HOUSEHOLD PRODUCTS 0.4% | ||||||||
| 175,000 | Clorox Co., Senior Unsecured Notes, 3.05%, 9/15/22 | 175,620 | ||||||
| PHARMACEUTICALS 2.2% | ||||||||
| 150,000 | AbbVie, Inc., Senior Unsecured Notes, 2.95%, 11/21/26 | 149,012 | ||||||
| 125,000 | AstraZeneca PLC, Senior Unsecured Notes, 1.38%, 8/6/30 | 108,968 | ||||||
| 150,000 | Becton Dickinson & Co., Senior Unsecured Notes, 3.70%, 6/6/27 | 152,401 | ||||||
| 165,000 | Merck & Co., Inc., Senior Unsecured Notes, 3.90%, 3/7/39 | 175,462 | ||||||
| 150,000 | Novartis Capital Corp., Guaranteed Notes, 2.75%, 8/14/50 (3) | 134,202 | ||||||
| 140,000 | Takeda Pharmaceutical Co. Ltd., Senior Unsecured Notes, 3.03%, 7/9/40 | 124,815 | ||||||
| 165,000 | Utah Acquisition Sub, Inc., Guaranteed Notes, 3.95%, 6/15/26 | 163,930 | ||||||
| 1,008,790 | ||||||||
| 3,748,778 | ||||||||
| ENERGY 4.2% | ||||||||
| OIL & GAS 2.1% | ||||||||
| 150,000 | Canadian Natural Resources Ltd., Senior Unsecured Notes, 2.05%, 7/15/25 | 144,005 | ||||||
| 140,000 | EOG Resources, Inc., Senior Unsecured Notes, 4.38%, 4/15/30 (3) | 151,597 | ||||||
| 135,000 | Hess Corp., Senior Unsecured Notes, 4.30%, 4/1/27 | 138,844 | ||||||
| 150,000 | Occidental Petroleum Corp., Senior Unsecured Notes, 5.50%, 12/1/25 | 157,845 | ||||||
| 100,000 | Shell International Finance B.V., Guaranteed Notes, 2.38%, 11/7/29 | 94,798 | ||||||
| 150,000 | Suncor Energy, Inc., Senior Unsecured Notes, 3.10%, 5/15/25 | 149,161 | ||||||
| 125,000 | TotalEnergies Capital International SA, Guaranteed Notes, 3.46%, 2/19/29 | 126,974 | ||||||
| 963,224 | ||||||||
| OIL & GAS SERVICES 0.3% | ||||||||
| 150,000 | Schlumberger Finance Canada Ltd., Guaranteed Notes, 1.40%, 9/17/25 (3) | 142,551 | ||||||
| PIPELINES 1.8% | ||||||||
| 125,000 | Boardwalk Pipelines LP, Guaranteed Notes, 4.95%, 12/15/24 | 129,176 | ||||||
| 150,000 | Enbridge, Inc., Guaranteed Notes, 2.50%, 8/1/33 | 133,387 | ||||||
| 100,000 | Enterprise Products Operating LLC, Guaranteed Notes, 4.85%, 8/15/42 | 105,976 | ||||||
| 200,000 | Kinder Morgan, Inc., Guaranteed Notes, 4.30%, 3/1/28 | 207,143 | ||||||
| 125,000 | Magellan Midstream Partners LP, Senior Unsecured Notes, 4.25%, 9/15/46 | 123,252 | ||||||
| 125,000 | TransCanada PipeLines Ltd., Senior Unsecured Notes, 4.25%, 5/15/28 | 130,092 | ||||||
| 829,026 | ||||||||
| 1,934,801 | ||||||||
| FINANCIAL 11.3% | ||||||||
| BANKS 5.1% | ||||||||
| 100,000 | Barclays PLC, Senior Unsecured Notes, 4.34%, 1/10/28 | 101,773 | ||||||
| 150,000 | Citigroup, Inc., Senior Unsecured Notes, (3-month LIBOR + 0.90%), 3.35%, 4/24/25 (2) | 150,475 | ||||||
| 130,000 | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | 148,064 | ||||||
| 125,000 | Fifth Third Bancorp, Senior Unsecured Notes, 3.65%, 1/25/24 | 126,621 | ||||||
| 150,000 | First-Citizens Bank & Trust Co., Senior Unsecured Notes, (SOFR + 3.83%), 3.93%, 6/19/24 (2) | 151,583 | ||||||
| 175,000 | Goldman Sachs Group, Inc., Senior Unsecured Notes, 3.75%, 2/25/26 (3) | 177,959 | ||||||
| 125,000 | ING Groep NV, Senior Unsecured Notes, 3.95%, 3/29/27 | 126,712 | ||||||
| 130,000 | JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26 | 134,710 | ||||||
| 150,000 | JPMorgan Chase & Co., Senior Unsecured Notes, (3-month LIBOR + 1.38%), 3.96%, 11/15/48 (2) | 153,405 | ||||||
| 150,000 | KeyCorp, Senior Unsecured Notes, 2.55%, 10/1/29 | 141,845 | ||||||
| 175,000 | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.90%, 3/12/24 | 177,798 | ||||||
| 150,000 | Morgan Stanley, Subordinated Notes, 4.88%, 11/1/22 | 152,552 | ||||||
| 125,000 | Morgan Stanley, Series F, Senior Unsecured Notes, 3.88%, 4/29/24 | 127,590 | ||||||
| 150,000 | PNC Bank NA, Subordinated Notes, 2.95%, 1/30/23 | 151,221 | ||||||
| 350,000 | Zions Bancorp NA, Subordinated Notes, 3.25%, 10/29/29 | 334,512 | ||||||
| 2,356,820 | ||||||||
| 3 |
March 31, 2022
| Principal Amount | Value | |||||||
| CORPORATE BONDS & NOTES 38.4% (continued) | ||||||||
| FINANCIAL 11.3% (continued) | ||||||||
| DIVERSIFIED FINANCIAL SERVICES 2.1% | ||||||||
| $ | 175,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Guaranteed Notes, 1.75%, 1/30/26 | $ | 160,189 | ||||
| 175,000 | Air Lease Corp., Senior Unsecured Notes, 3.63%, 4/1/27 (3) | 171,928 | ||||||
| 175,000 | Ally Financial, Inc., Senior Unsecured Notes, 5.13%, 9/30/24 | 182,817 | ||||||
| 165,000 | Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24 | 168,035 | ||||||
| 100,000 | Stifel Financial Corp., Senior Unsecured Notes, 4.25%, 7/18/24 | 102,096 | ||||||
| 190,000 | Synchrony Financial, Senior Unsecured Notes, 4.25%, 8/15/24 | 192,798 | ||||||
| 977,863 | ||||||||
| INSURANCE 1.3% | ||||||||
| 125,000 | Aflac, Inc., Senior Unsecured Notes, 3.60%, 4/1/30 (3) | 129,030 | ||||||
| 135,000 | Allstate Corp., Senior Unsecured Notes, 1.45%, 12/15/30 | 116,721 | ||||||
| 200,000 | CNA Financial Corp., Senior Unsecured Notes, 3.95%, 5/15/24 | 203,245 | ||||||
| 175,000 | Prudential Financial, Inc., Junior Subordinated Notes, (3-month LIBOR + 2.67%), 5.70%, 9/15/48 (2)(3) | 178,531 | ||||||
| 627,527 | ||||||||
| REITS 2.8% | ||||||||
| 125,000 | AvalonBay Communities, Inc., Senior Unsecured Notes, 2.45%, 1/15/31 | 117,600 | ||||||
| 150,000 | Crown Castle International Corp., Senior Unsecured Notes, 3.80%, 2/15/28 | 150,030 | ||||||
| 125,000 | Digital Realty Trust LP, Guaranteed Notes, 3.60%, 7/1/29 | 124,448 | ||||||
| 100,000 | Duke Realty LP, Senior Unsecured Notes, 4.00%, 9/15/28 | 102,256 | ||||||
| 125,000 | Equinix, Inc., Senior Unsecured Notes, 2.50%, 5/15/31 | 112,297 | ||||||
| 150,000 | Kimco Realty Corp., Senior Unsecured Notes, 2.25%, 12/1/31 | 134,360 | ||||||
| 150,000 | Life Storage LP, Guaranteed Notes, 2.20%, 10/15/30 | 132,715 | ||||||
| 125,000 | Prologis LP, Senior Unsecured Notes, 2.25%, 4/15/30 | 116,146 | ||||||
| 155,000 | Sabra Health Care LP, Guaranteed Notes, 3.90%, 10/15/29 | 148,964 | ||||||
| 175,000 | Welltower, Inc., Senior Unsecured Notes, 4.25%, 4/15/28 (3) | 181,742 | ||||||
| 1,320,558 | ||||||||
| 5,282,768 | ||||||||
| INDUSTRIAL 2.3% | ||||||||
| AEROSPACE/DEFENSE 0.3% | ||||||||
| 120,000 | Teledyne Technologies, Inc., Senior Unsecured Notes, 1.60%, 4/1/26 | 111,930 | ||||||
| BUILDING MATERIALS 0.6% | ||||||||
| 160,000 | Masco Corp., Senior Unsecured Notes, 2.00%, 10/1/30 | 138,598 | ||||||
| 150,000 | Vulcan Materials Co., Senior Unsecured Notes, 3.50%, 6/1/30 | 148,791 | ||||||
| 287,389 | ||||||||
| ELECTRONICS 0.7% | ||||||||
| 160,000 | Amphenol Corp., Senior Unsecured Notes, 2.20%, 9/15/31 | 142,309 | ||||||
| 150,000 | Flex Ltd., Senior Unsecured Notes, 4.75%, 6/15/25 (3) | 154,938 | ||||||
| 297,247 | ||||||||
| MISCELLANEOUS MANUFACTURERS 0.4% | ||||||||
| 200,000 | Textron, Inc., Senior Unsecured Notes, 3.88%, 3/1/25 | 203,696 | ||||||
| PACKAGING & CONTAINERS 0.3% | ||||||||
| 150,000 | Ball Corp., Guaranteed Notes, 4.88%, 3/15/26 (3) | 156,277 | ||||||
| 1,056,539 | ||||||||
| TECHNOLOGY 2.1% | ||||||||
| COMPUTERS 0.9% | ||||||||
| 125,000 | Dell International LLC / EMC Corp., Senior Unsecured Notes, 4.90%, 10/1/26 | 131,279 | ||||||
| 150,000 | HP, Inc., Senior Unsecured Notes, 3.00%, 6/17/27 | 146,154 | ||||||
| 150,000 | Western Digital Corp., Senior Unsecured Notes, 3.10%, 2/1/32 (3) | 134,306 | ||||||
| 411,739 | ||||||||
| SEMICONDUCTORS 0.3% | ||||||||
| 140,000 | Analog Devices, Inc., Senior Unsecured Notes, 2.80%, 10/1/41 (3) | 125,748 | ||||||
| SOFTWARE 0.9% | ||||||||
| 150,000 | Adobe, Inc., Senior Unsecured Notes, 2.30%, 2/1/30 | 141,937 | ||||||
| 150,000 | Electronic Arts, Inc., Senior Unsecured Notes, 4.80%, 3/1/26 | 158,455 | ||||||
| 170,000 | salesforce.com, Inc., Senior Unsecured Notes, 2.70%, 7/15/41 (3) | 150,737 | ||||||
| 451,129 | ||||||||
| 988,616 | ||||||||
| 4 |
Schedule of Investments (unaudited) (continued)
| Principal Amount | Value | |||||||
| CORPORATE BONDS & NOTES 38.4% (continued) | ||||||||
| UTILITIES 0.8% | ||||||||
| ELECTRIC 0.8% | ||||||||
| $ | 100,000 | Dominion Energy, Inc., Senior Unsecured Notes, 4.25%, 6/1/28 | $ | 103,457 | ||||
| 150,000 | Duke Energy Carolinas LLC, 2.45%, 2/1/30 | 140,504 | ||||||
| 125,000 | Pinnacle West Capital Corp., Senior Unsecured Notes, 1.30%, 6/15/25 | 117,071 | ||||||
| 361,032 | ||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost $18,857,820) | 17,855,319 | |||||||
| FOREIGN GOVERNMENT OBLIGATIONS 0.3% | ||||||||
| 150,000 | European Bank for Reconstruction & Development, Senior Unsecured Notes, 2.75%, 3/7/23 | 151,218 | ||||||
TOTAL
FOREIGN GOVERNMENT OBLIGATIONS | 151,218 | |||||||
| LONG-TERM MUNICIPAL SECURITIES 2.8% | ||||||||
| CALIFORNIA 0.4% | ||||||||
| 200,000 | San Marcos California Unified School District, Refunding Revenue Bonds, 3.17%, 8/1/38 | 184,990 | ||||||
| CONNECTICUT 0.2% | ||||||||
| 125,000 | Hartford County Metropolitan District Clean Water Project Revenue, 2.17%, 4/1/34 | 109,210 | ||||||
| DISTRICT OF COLUMBIA 0.5% | ||||||||
| 200,000 | District of Columbia Income Tax Secured Revenue Bonds, Build America Bonds, Ser. F, 4.91%, 12/1/23 | 207,869 | ||||||
| HAWAII 0.2% | ||||||||
| 120,000 | State of Hawaii, GO, 1.71%, 8/1/28 | 111,400 | ||||||
| OREGON 0.3% | ||||||||
| 145,000 | State of Oregon, General Obligation Unlimited, 2.38%, 5/1/36 | 134,657 | ||||||
| TEXAS 1.2% | ||||||||
| 500,000 | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | 543,463 | ||||||
| TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $1,301,838) | 1,291,589 | |||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES 18.6% | ||||||||
| MORTGAGE SECURITIES 18.6% | ||||||||
| 22,564 | FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35 | 23,769 | ||||||
| 104,509 | FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34 | 108,993 | ||||||
| 41,215 | FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41 | 42,098 | ||||||
| 17,220 | FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25 | 17,728 | ||||||
| 21,343 | FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42 | 21,802 | ||||||
| 20,010 | FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42 | 20,942 | ||||||
| 43,830 | FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42 | 44,776 | ||||||
| 141,264 | FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43 | 141,327 | ||||||
| 172,217 | FHLMC Gold PC Pool #Q34167, 4.00%, 6/1/45 | 179,966 | ||||||
| 82,735 | FHLMC Gold PC Pool #Q57991, 4.00%, 8/1/48 | 84,816 | ||||||
| 232,951 | FHLMC Pool #QB2958, 3.00%, 9/1/50 | 228,398 | ||||||
| 208,251 | FHLMC Pool #QB3856, 2.00%, 9/1/50 | 194,031 | ||||||
| 200,684 | FHLMC Pool #QB5314, 2.50%, 11/1/50 | 192,142 | ||||||
| 254,190 | FHLMC Pool #QB8153, 2.50%, 1/1/51 | 243,291 | ||||||
| 196,722 | FHLMC Pool #SB8078, 1.50%, 12/1/35 | 186,831 | ||||||
| 158,560 | FHLMC Pool #SD8023, 2.50%, 11/1/49 | 152,004 | ||||||
| 520,366 | FHLMC Pool #SD8098, 2.00%, 10/1/50 | 484,898 | ||||||
| 267,508 | FHLMC Pool #SD8134, 2.00%, 3/1/51 | 249,129 | ||||||
| 189,921 | FHLMC Pool #SD8163, 3.50%, 8/1/51 | 190,588 | ||||||
| 480,737 | FHLMC Pool #SD8173, MBS, 2.50%, 10/1/51 | 459,894 | ||||||
| 55,998 | FNMA Pool #AB2346, 4.50%, 2/1/41 | 59,622 | ||||||
| 44,915 | FNMA Pool #AB5231, 2.50%, 5/1/27 | 44,510 | ||||||
| 44,788 | FNMA Pool #AB5716, 3.00%, 7/1/27 | 45,248 | ||||||
| 61,412 | FNMA Pool #AI4285, 5.00%, 6/1/41 | 66,336 | ||||||
| 226,032 | FNMA Pool #AR6394, 3.00%, 2/1/43 | 226,069 | ||||||
| 71,850 | FNMA Pool #AS5892, 3.50%, 10/1/45 | 72,956 | ||||||
| 23,157 | FNMA Pool #AS6102, 3.50%, 11/1/45 | 23,550 | ||||||
| 43,802 | FNMA Pool #AS6205, 3.50%, 11/1/45 | 44,546 | ||||||
| 32,499 | FNMA Pool #AS6385, 4.00%, 12/1/45 | 33,931 | ||||||
| 76,721 | FNMA Pool #AS9562, 3.00%, 5/1/47 | 76,170 | ||||||
| 86,597 | FNMA Pool #AU4279, 3.00%, 9/1/43 | 86,353 | ||||||
| 71,958 | FNMA Pool #AV0703, 4.00%, 12/1/43 | 74,877 | ||||||
| 39,143 | FNMA Pool #AW7362, 2.50%, 8/1/29 | 38,791 | ||||||
| 87,274 | FNMA Pool #AX0416, 4.00%, 8/1/44 | 90,370 | ||||||
| 48,725 | FNMA Pool #AY1670, 3.50%, 2/1/45 | 49,466 | ||||||
| 34,324 | FNMA Pool #AY4195, 4.00%, 5/1/45 | 35,597 | ||||||
| 45,319 | FNMA Pool #BA3885, 3.50%, 11/1/45 | 46,087 | ||||||
| 161,181 | FNMA Pool #CA2320, 3.50%, 9/1/48 | 164,078 | ||||||
| 77,136 | FNMA Pool #CA5540, 3.00%, 4/1/50 | 75,844 | ||||||
| 803,714 | FNMA Pool #CB0856, 3.00%, 6/1/51 | 787,955 | ||||||
| 1,366,042 | FNMA Pool #FM9834, 3.50%, 6/1/49 | 1,378,078 | ||||||
| 75,176 | FNMA Pool #MA0641, 4.00%, 2/1/31 | 77,404 | ||||||
| 89,340 | FNMA Pool #MA4012, 2.00%, 5/1/35 | 87,155 | ||||||
| 5 |
March 31, 2022
| Principal Amount | Value | |||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES18.6% (continued) | ||||||||
| MORTGAGE SECURITIES 18.6% (continued) | ||||||||
| $ | 173,162 | FNMA Pool #MA4077, 2.00%, 7/1/50 | $ | 161,431 | ||||
| 153,797 | FNMA Pool #MA4119, 2.00%, 9/1/50 | 143,368 | ||||||
| 337,725 | FNMA Pool #MA4208, 2.00%, 12/1/50 | 314,749 | ||||||
| 93,722 | FNMA Pool #MA4355, 2.00%, 6/1/51 | 87,220 | ||||||
| 495,699 | FNMA Pool #MA4548, MBS, 2.50%, 2/1/52 | 474,207 | ||||||
| 23,187 | FNMA REMIC Trust Series 2013-18, Class AE, 2.00%, 3/25/28 | 22,789 | ||||||
| 11,944 | GNMA, Series 2011-136, Class GB, 2.50%, 5/20/40 | 11,953 | ||||||
| 41,713 | GNMA II Pool #5332, 4.00%, 3/20/42 | 44,124 | ||||||
| 161,782 | GNMA II Pool #MA3937, 3.50%, 9/20/46 | 164,642 | ||||||
| 144,491 | GNMA II Pool #MA7054, 3.50%, 12/20/50 | 145,744 | ||||||
| 145,186 | GNMA II Pool #MA7651, 3.50%, 10/20/51 | 146,399 | ||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $9,186,108) | 8,669,042 | |||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS 2.2% | ||||||||
| 250,000 | FNMA, 2.38%, 1/19/23 | 251,662 | ||||||
| 250,000 | FNMA, 2.63%, 9/6/24 (3) | 251,615 | ||||||
| 540,000 | FNMA, 1.88%, 9/24/26 | 526,420 | ||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $1,022,225) | 1,029,697 | |||||||
| U.S. TREASURY OBLIGATIONS 22.8% | ||||||||
| U.S. TREASURY NOTES & BONDS 22.8% | ||||||||
| 120,000 | U.S. Treasury Bonds, 5.38%, 2/15/31 | 149,231 | ||||||
| 425,000 | U.S. Treasury Bonds, 4.38%, 2/15/38 | 537,442 | ||||||
| 415,000 | U.S. Treasury Bonds, 3.50%, 2/15/39 | 475,532 | ||||||
| 155,000 | U.S. Treasury Bonds, 1.13%, 5/15/40 | 122,262 | ||||||
| 180,000 | U.S. Treasury Bonds, 2.88%, 5/15/43 | 186,609 | ||||||
| 654,000 | U.S. Treasury Bonds, 3.00%, 2/15/48 | 713,013 | ||||||
| 1,756,000 | U.S. Treasury Bonds, 2.25%, 8/15/49 | 1,670,738 | ||||||
| 104,870 | U.S. Treasury Inflation Indexed Note, 0.13%, 7/15/31 | 112,128 | ||||||
| 170,000 | U.S. Treasury Notes, 1.38%, 6/30/23 | 168,838 | ||||||
| 500,000 | U.S. Treasury Notes, 0.13%, 7/15/23 | 488,223 | ||||||
| 800,000 | U.S. Treasury Notes, 0.13%, 8/31/23 | 778,687 | ||||||
| 590,000 | U.S. Treasury Notes, 0.25%, 11/15/23 | 572,023 | ||||||
| 1,185,000 | U.S. Treasury Notes, 2.25%, 11/15/24 | 1,178,566 | ||||||
| 620,000 | U.S. Treasury Notes, 1.50%, 8/15/26 | 594,958 | ||||||
| 350,000 | U.S. Treasury Notes, 0.75%, 8/31/26 | 324,844 | ||||||
| 350,000 | U.S. Treasury Notes, 1.13%, 2/28/27 | 328,891 | ||||||
| 100,000 | U.S. Treasury Notes, 0.63%, 11/30/27 | 90,395 | ||||||
| 790,000 | U.S. Treasury Notes, 2.75%, 2/15/28 | 803,146 | ||||||
| 100,000 | U.S. Treasury Notes, 1.25%, 6/30/28 | 93,125 | ||||||
| 350,000 | U.S. Treasury Notes, 1.63%, 8/15/29 | 332,254 | ||||||
| 600,000 | U.S. Treasury Notes, 1.50%, 2/15/30 | 562,922 | ||||||
| 390,000 | U.S. Treasury Notes, 1.13%, 2/15/31 | 352,325 | ||||||
| TOTAL U.S. TREASURY NOTES & BONDS (Cost $11,200,950) | 10,636,152 | |||||||
| Shares | Value | |||||||
| SHORT-TERM INVESTMENTS 10.1% | ||||||||
| MONEY MARKET FUNDS 10.1% | ||||||||
| 3,042,045 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.25% (4) | 3,042,045 | ||||||
| 1,668,392 | State Street Navigator Securities Lending Government Money Market Portfolio (5) | 1,668,392 | ||||||
| 4,710,437 | ||||||||
| Total Short-Term Investments (Cost $4,710,437) | 4,710,437 | |||||||
| TOTAL INVESTMENTS IN SECURITIES 103.5% (Cost $50,550,535) | $ | 48,215,894 | ||||||
| EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (3.5%) | (1,649,910 | ) | ||||||
| NET ASSETS 100% | $ | 46,565,984 | ||||||
| (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, 2022. 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, 2022, the market value of the securities on loan was $2,569,237. |
| (4) | Rate reflects 7 day yield as of March 31, 2022. |
| (5) | Securities with an aggregate market value of $2,569,237 were out on loan in exchange for collateral including $1,668,392 of cash collateral as of March 31, 2022. The collateral was invested in a cash collateral reinvestment vehicle. |
| 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. |
| 6 |
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 March 31, 2022:
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Asset-Backed Securities | $ | — | $ | 885,536 | $ | — | $ | 885,536 | ||||||||
| Commercial Mortgage-Backed Securities | — | 2,986,904 | — | 2,986,904 | ||||||||||||
| Corporate Bonds & Notes* | — | 17,855,319 | — | 17,855,319 | ||||||||||||
| Foreign Government Obligations | — | 151,218 | — | 151,218 | ||||||||||||
| Long-Term Municipal Securities* | — | 1,291,589 | — | 1,291,589 | ||||||||||||
| Residential Mortgage-Backed Securities | — | 8,669,042 | — | 8,669,042 | ||||||||||||
| U.S. Government Agency Obligations | — | 1,029,697 | — | 1,029,697 | ||||||||||||
| U.S. Treasury Obligations | — | 10,636,152 | — | 10,636,152 | ||||||||||||
| Short-Term Investments | 4,710,437 | — | — | 4,710,437 | ||||||||||||
| Total Investments in Securities | $ | 4,710,437 | $ | 43,505,457 | $ | — | $ | 48,215,894 | ||||||||
* See Schedule of Investments for further breakdown by category.
An investments asset or liability 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, 2022, there were no Level 3 investments.
| 7 |