Value Line Capital Appreciation Fund, Inc.
Schedule of Investments (unaudited)
| Shares | Value | |||||||
| COMMON STOCKS 81.7% | ||||||||
| COMMUNICATION SERVICES 11.5% | ||||||||
| INTERNET 9.1% | ||||||||
| 8,400 | Alphabet, Inc. Class A * | $ | 12,311,040 | |||||
| 58,000 | Facebook, Inc. Class A * | 15,190,200 | ||||||
| 20,000 | Netflix, Inc. * | 10,000,600 | ||||||
| 85,000 | Tencent Holdings, Ltd. ADR (1) | 5,750,250 | ||||||
| 200,000 | Twitter, Inc. * | 8,900,000 | ||||||
| 52,152,090 | ||||||||
| MEDIA 0.8% | ||||||||
| 37,000 | Walt Disney Co. (The) | 4,590,960 | ||||||
| SOFTWARE 1.6% | ||||||||
| 113,000 | Activision Blizzard, Inc. | 9,147,350 | ||||||
| 65,890,400 | ||||||||
| CONSUMER DISCRETIONARY 13.1% | ||||||||
| ENTERTAINMENT 0.7% | ||||||||
| 18,000 | Vail Resorts, Inc. | 3,851,460 | ||||||
| HOME BUILDERS 1.1% | ||||||||
| 78,000 | Lennar Corp. Class A | 6,371,040 | ||||||
| INTERNET 5.3% | ||||||||
| 23,000 | Alibaba Group Holding, Ltd. ADR * | 6,761,540 | ||||||
| 7,400 | Amazon.com, Inc. * | 23,300,602 | ||||||
| 30,062,142 | ||||||||
| LEISURE TIME 1.7% | ||||||||
| 98,000 | Peloton Interactive, Inc. Class A * | 9,725,520 | ||||||
| LODGING 0.8% | ||||||||
| 55,000 | Hilton Worldwide Holdings, Inc. | 4,692,600 | ||||||
| RETAIL 3.5% | ||||||||
| 15,000 | Home Depot, Inc. | 4,165,650 | ||||||
| 80,000 | Starbucks Corp. | 6,873,600 | ||||||
| 45,000 | TJX Companies, Inc. (The) | 2,504,250 | ||||||
| 29,000 | Ulta Beauty, Inc. * | 6,495,420 | ||||||
| 20,038,920 | ||||||||
| 74,741,682 | ||||||||
| CONSUMER STAPLES 1.4% | ||||||||
| BEVERAGES 0.9% | ||||||||
| 28,000 | Constellation Brands, Inc. Class A | 5,306,280 | ||||||
| COSMETICS/PERSONAL CARE 0.5% | ||||||||
| 13,000 | Estee Lauder Companies, Inc. (The) Class A | 2,837,250 | ||||||
| 8,143,530 | ||||||||
| ENERGY 1.4% | ||||||||
| OIL & GAS 1.4% | ||||||||
| 135,000 | Diamondback Energy, Inc. | 4,066,200 | ||||||
| 48,000 | Pioneer Natural Resources Co. | 4,127,520 | ||||||
| 8,193,720 | ||||||||
| FINANCIALS 3.4% | ||||||||
| BANKS 2.6% | ||||||||
| 320,000 | Bank of America Corp. | 7,708,800 | ||||||
| 70,000 | JPMorgan Chase & Co. | 6,738,900 | ||||||
| 14,447,700 | ||||||||
| DIVERSIFIED FINANCIAL SERVICES 0.8% | ||||||||
| 90,000 | Blackstone Group, Inc. (The) Class A | 4,698,000 | ||||||
| 19,145,700 | ||||||||
| HEALTHCARE 19.5% | ||||||||
| BIOTECHNOLOGY 15.3% | ||||||||
| 138,000 | Alexion Pharmaceuticals, Inc. * | 15,791,340 | ||||||
| 1,275,000 | Amarin Corp. PLC ADR *(1) | 5,367,750 | ||||||
| 225,213 | Biohaven Pharmaceutical Holding Co., Ltd. * | 14,641,097 | ||||||
| 80,000 | BioMarin Pharmaceutical, Inc. * | 6,086,400 | ||||||
| 145,000 | Exact Sciences Corp. *(1) | 14,782,750 | ||||||
| 850,000 | Exelixis, Inc. * | 20,782,500 | ||||||
| 86,000 | Intercept Pharmaceuticals, Inc. *(1) | 3,565,560 | ||||||
| 24,500 | Vertex Pharmaceuticals, Inc. * | 6,666,940 | ||||||
| 87,684,337 | ||||||||
| HEALTHCARE PRODUCTS 1.0% | ||||||||
| 68,000 | Edwards Lifesciences Corp. * | 5,427,760 | ||||||
| PHARMACEUTICALS 3.2% | ||||||||
| 100,000 | Bristol-Myers Squibb Co. | 6,029,000 | ||||||
| 18,500 | DexCom, Inc. * | 7,626,255 | ||||||
| 27,000 | Zoetis, Inc. | 4,464,990 | ||||||
| 18,120,245 | ||||||||
| 111,232,342 | ||||||||
| INDUSTRIALS 1.0% | ||||||||
| INTERNET 1.0% | ||||||||
| 200,000 | Lyft, Inc. Class A *(1) | 5,510,000 | ||||||
| INFORMATION TECHNOLOGY 29.8% | ||||||||
| COMMERCIAL SERVICES 1.9% | ||||||||
| 55,000 | PayPal Holdings, Inc. * | 10,836,650 | ||||||
| COMPUTERS 4.2% | ||||||||
| 132,000 | Apple, Inc. | 15,286,920 | ||||||
1
September 30, 2020
| Shares | Value | |||||||
| 65,000 | Crowdstrike Holdings, Inc. Class A * | $ | 8,925,800 | |||||
| 24,212,720 | ||||||||
| DIVERSIFIED FINANCIALS 1.6% | ||||||||
| 44,000 | Visa, Inc. Class A | 8,798,680 | ||||||
| INTERNET 2.8% | ||||||||
| 8,000 | Shopify, Inc. Class A * | 8,183,760 | ||||||
| 77,000 | Zendesk, Inc. * | 7,924,840 | ||||||
| 16,108,600 | ||||||||
| SEMICONDUCTORS 6.9% | ||||||||
| 15,000 | Broadcom, Inc. | 5,464,800 | ||||||
| 170,000 | Micron Technology, Inc. * | 7,983,200 | ||||||
| 18,000 | NVIDIA Corp. | 9,741,960 | ||||||
| 63,000 | NXP Semiconductors N.V. | 7,863,030 | ||||||
| 73,000 | QUALCOMM, Inc. | 8,590,640 | ||||||
| 39,643,630 | ||||||||
| SOFTWARE 12.4% | ||||||||
| 14,000 | Adobe, Inc. * | 6,866,020 | ||||||
| 32,000 | Microsoft Corp. | 6,730,560 | ||||||
| 25,000 | RingCentral, Inc. Class A * | 6,865,250 | ||||||
| 31,000 | Salesforce.com, Inc. * | 7,790,920 | ||||||
| 21,500 | ServiceNow, Inc. * | 10,427,500 | ||||||
| 290,000 | Slack Technologies, Inc. Class A *(1) | 7,789,400 | ||||||
| 49,000 | Splunk, Inc. * | 9,218,370 | ||||||
| 31,000 | Twilio, Inc. Class A * | 7,659,790 | ||||||
| 34,000 | Workday, Inc. Class A * | 7,314,420 | ||||||
| 70,662,230 | ||||||||
| 170,262,510 | ||||||||
| REAL ESTATE 0.6% | ||||||||
| REITS 0.6% | ||||||||
| 15,000 | American Tower Corp. REIT | 3,625,950 | ||||||
| TOTAL COMMON STOCKS (Cost $331,637,302) | 466,745,834 | |||||||
| Principal Amount | Value | |||||||
| ASSET-BACKED SECURITIES 0.5% | ||||||||
| $ | 121,640 | Ally Auto Receivables Trust, Series 2018-2, Class A3, 2.92%, 11/15/22 | $ | 123,054 | ||||
| 150,000 | BMW Vehicle Lease Trust, Series 2019-1, Class A4, 2.92%, 8/22/22 | 152,404 | ||||||
| 208,000 | Chase Issuance Trust, Series 2012-A7, Class A7, 2.16%, 9/15/24 | 215,675 | ||||||
| 255,000 | Citibank Credit Card Issuance Trust, Series 2018-A1, Class A1, 2.49%, 1/20/23 | 256,740 | ||||||
| 232,208 | Honda Auto Receivables Owner Trust, Series 2018-1I, Class A3, 2.60%, 2/15/22 | 234,175 | ||||||
| 250,000 | Honda Auto Receivables Owner Trust, Series 2017-2, Class A4, 1.87%, 9/15/23 | 250,727 | ||||||
| 425,000 | Hyundai Auto Receivables Trust, Series 2017-B, Class A4, 1.96%, 2/15/23 | 428,301 | ||||||
| 500,000 | Toyota Auto Loan Extended Note Trust, Series 2019-1A, Class A, 2.56%, 11/25/31 (2) | 533,583 | ||||||
| 150,000 | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 5/25/33 (2) | 153,961 | ||||||
| 400,000 | World Omni Automobile Lease Securitization Trust, Series 2019-B, Class A3, 2.03%, 11/15/22 | 408,173 | ||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $2,734,759) | 2,756,793 | |||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES 1.3% | ||||||||
| 250,000 | BANK, Series 2019-BN17, Class A4, 3.71%, 4/15/52 | 290,408 | ||||||
| 288,889 | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class AAB, 3.37%, 10/10/47 | 302,495 | ||||||
| 100,000 | COMM Mortgage Trust, Series 2014-UBS2, Class AM, 4.20%, 3/10/47 | 108,832 | ||||||
| 76,021 | FHLMC Multifamily Structured Pass-Through Certificates, Series K715, Class A2, 2.86%, 1/25/21 | 76,305 | ||||||
| 100,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2, 3.32%, 2/25/23 | 106,039 | ||||||
| 242,406 | FHLMC Multifamily Structured Pass-Through Certificates, Series K726, Class A2, 2.91%, 4/25/24 | 259,361 | ||||||
| 250,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K728, Class A2, 3.06%, 8/25/24 (3) | 270,680 | ||||||
| 100,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K043, Class A2, 3.06%, 12/25/24 | 109,717 | ||||||
| 100,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K731, Class A2, 3.60%, 2/25/25 (3) | 110,218 | ||||||
| 500,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K052, Class A2, 3.15%, 11/25/25 | 556,775 | ||||||
| 250,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class A2, 2.67%, 3/25/26 | 273,929 | ||||||
| 100,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K062, Class A2, 3.41%, 12/25/26 | 115,086 | ||||||
| 255,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K064, Class A2, 3.22%, 3/25/27 | 291,158 | ||||||
| 150,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K065, Class A2, 3.24%, 4/25/27 | 171,554 | ||||||
2
Schedule of Investments (unaudited) (continued)
| Principal Amount | Value | |||||||
| $ | 250,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K074, Class A2, 3.60%, 1/25/28 | $ | 292,706 | ||||
| 250,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K084, Class A2, 3.78%, 10/25/28 (3) | 295,708 | ||||||
| 100,000 | FHLMC Multifamily Structured Pass-Through Certificates, Series K089, Class A2, 3.56%, 1/25/29 | 118,480 | ||||||
| 790,428 | FHLMC Multifamily Structured Pass-Through Certificates, Series K101, Class A1, 2.19%, 7/25/29 | 849,329 | ||||||
| 250,000 | FREMF Mortgage Trust, Series 2013-K24, Class B, 3.63%, 11/25/45 (2)(3) | 261,946 | ||||||
| 250,000 | FREMF Mortgage Trust, Series 2014-K717, Class B, 3.75%, 11/25/47 (2)(3) | 254,789 | ||||||
| 159,486 | GNMA, Series 2013-12, Class AB, 1.83%, 11/16/52 | 161,889 | ||||||
| 150,000 | GNMA, Series 2013-12, Class B, 2.11%, 11/16/52 (3) | 153,910 | ||||||
| 162,061 | GS Mortgage Securities Trust, Series 2012-GCJ7, Class A4, 3.38%, 5/10/45 | 164,666 | ||||||
| 189,890 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class A3, 3.21%, 10/15/48 | 201,545 | ||||||
| 200,000 | Morgan Stanley Capital I Trust, Series 2019-H6, Class A4, 3.42%, 6/15/52 | 227,555 | ||||||
| 250,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5, 2.85%, 12/10/45 | 259,166 | ||||||
| 385,000 | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A4, 3.18%, 3/10/46 | 401,718 | ||||||
| 27,378 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class A2, 2.63%, 5/15/48 | 27,368 | ||||||
| 200,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class A4, 3.54%, 5/15/48 | 220,463 | ||||||
| 106,550 | Wells Fargo Commercial Mortgage Trust, Series 2017-C40, Class A1, 2.11%, 10/15/50 | 107,317 | ||||||
| 150,000 | Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class ASB, 3.64%, 5/15/52 | 171,930 | ||||||
| 194,386 | WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4, 3.67%, 11/15/44 | 197,729 | ||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $7,130,225) | 7,410,771 | |||||||
| CORPORATE BONDS & NOTES 5.1% | ||||||||
| BASIC MATERIALS 0.2% | ||||||||
| CHEMICALS 0.2% | ||||||||
| 125,000 | Air Products and Chemicals, Inc., Senior Unsecured Notes, 2.05%, 5/15/30 | 131,207 | ||||||
| 175,000 | Celanese U.S. Holdings LLC, Guaranteed Notes, 4.63%, 11/15/22 | 188,207 | ||||||
| 125,000 | DuPont de Nemours, Inc., Senior Unsecured Notes, 2.17%, 5/1/23 | 126,289 | ||||||
| 150,000 | Ecolab, Inc., Senior Unsecured Notes, 1.30%, 1/30/31 (1) | 146,872 | ||||||
| 100,000 | FMC Corp., Senior Unsecured Notes, 3.45%, 10/1/29 | 111,370 | ||||||
| 200,000 | LYB International Finance B.V., Guaranteed Notes, 4.00%, 7/15/23 | 216,669 | ||||||
| 920,614 | ||||||||
| COMMUNICATIONS 0.5% | ||||||||
| INTERNET 0.2% | ||||||||
| 150,000 | Alibaba Group Holding, Ltd., Senior Unsecured Notes, 3.60%, 11/28/24 | 164,749 | ||||||
| 255,000 | Amazon.com, Inc., Senior Unsecured Notes, 4.80%, 12/5/34 | 351,555 | ||||||
| 200,000 | Baidu, Inc., Senior Unsecured Notes, 4.38%, 5/14/24 | 219,205 | ||||||
| 175,000 | Netflix, Inc., Senior Unsecured Notes, 4.88%, 4/15/28 | 195,562 | ||||||
| 931,071 | ||||||||
| MEDIA 0.1% | ||||||||
| 175,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.91%, 7/23/25 | 202,339 | ||||||
| 250,000 | Comcast Corp., Guaranteed Notes, 3.95%, 10/15/25 | 286,948 | ||||||
| 150,000 | Discovery Communications LLC, Guaranteed Notes, 4.90%, 3/11/26 | 175,174 | ||||||
| 150,000 | Walt Disney Co. (The), Guaranteed Notes, 2.65%, 1/13/31 (1) | 161,951 | ||||||
| 826,412 | ||||||||
| TELECOMMUNICATIONS 0.2% | ||||||||
| 200,000 | AT&T, Inc., Senior Unsecured Notes, 3.80%, 2/15/27 | 225,647 | ||||||
| 200,000 | Motorola Solutions, Inc., Senior Unsecured Notes, 4.60%, 5/23/29 | 236,195 | ||||||
| 150,000 | Rogers Communications, Inc., Guaranteed Notes, 4.50%, 3/15/43 | 184,188 | ||||||
| 250,000 | Verizon Communications, Inc., Senior Unsecured Notes, 4.50%, 8/10/33 | 317,084 | ||||||
3
September 30, 2020
| Principal Amount | Value | |||||||
| $ | 100,000 | Vodafone Group PLC, Senior Unsecured Notes, 4.25%, 9/17/50 (1) | $ | 115,981 | ||||
| 1,079,095 | ||||||||
| 2,836,578 | ||||||||
| CONSUMER, CYCLICAL 0.3% | ||||||||
| AUTO MANUFACTURERS 0.0% | ||||||||
| 150,000 | Cummins, Inc., Senior Unsecured Notes, 1.50%, 9/1/30 | 149,146 | ||||||
| AUTO PARTS & EQUIPMENT 0.0% | ||||||||
| 175,000 | Dana, Inc., Senior Unsecured Notes, 5.50%, 12/15/24 (1) | 178,500 | ||||||
| HOME BUILDERS 0.1% | ||||||||
| 125,000 | D.R. Horton, Inc., Guaranteed Notes, 2.50%, 10/15/24 | 132,000 | ||||||
| 125,000 | Lennar Corp., Guaranteed Notes, 4.88%, 12/15/23 | 134,532 | ||||||
| 266,532 | ||||||||
| HOME FURNISHINGS 0.1% | ||||||||
| 200,000 | Whirlpool Corp., Senior Unsecured Notes, 4.75%, 2/26/29 (1) | 243,205 | ||||||
| RETAIL 0.1% | ||||||||
| 125,000 | AutoZone, Inc., Senior Unsecured Notes, 3.75%, 6/1/27 | 142,241 | ||||||
| 100,000 | Costco Wholesale Corp., Senior Unsecured Notes, 1.75%, 4/20/32 | 102,597 | ||||||
| 125,000 | O'Reilly Automotive, Inc., Senior Unsecured Notes, 3.60%, 9/1/27 | 142,192 | ||||||
| 150,000 | Walgreen Co., Guaranteed Notes, 3.10%, 9/15/22 (1) | 157,039 | ||||||
| 544,069 | ||||||||
| 1,381,452 | ||||||||
| CONSUMER, NON-CYCLICAL 1.0% | ||||||||
| AGRICULTURE 0.0% | ||||||||
| 150,000 | Bunge, Ltd. Finance Corp., Guaranteed Notes, 3.25%, 8/15/26 | 161,753 | ||||||
| BEVERAGES 0.2% | ||||||||
| 150,000 | Anheuser-Busch InBev Worldwide, Inc., Guaranteed Notes, 4.90%, 1/23/31 | 188,707 | ||||||
| 150,000 | Coca-Cola Co. (The), Senior Unsecured Notes, 1.45%, 6/1/27 | 154,408 | ||||||
| 150,000 | Coca-Cola Femsa S.A.B. de C.V., Guaranteed Notes, 2.75%, 1/22/30 | 159,531 | ||||||
| 150,000 | Constellation Brands, Inc., Guaranteed Notes, 5.25%, 11/15/48 | 201,866 | ||||||
| 125,000 | Keurig Dr. Pepper, Inc., Guaranteed Notes, 3.20%, 5/1/30 | 140,243 | ||||||
| 100,000 | PepsiCo, Inc., Senior Unsecured Notes, 2.88%, 10/15/49 | 107,502 | ||||||
| 952,257 | ||||||||
| BIOTECHNOLOGY 0.1% | ||||||||
| 150,000 | Amgen, Inc., Senior Unsecured Notes, 2.20%, 2/21/27 (1) | 158,944 | ||||||
| 100,000 | Biogen, Inc., Senior Unsecured Notes, 2.25%, 5/1/30 (1) | 102,408 | ||||||
| 150,000 | Gilead Sciences, Inc., Senior Unsecured Notes, 2.60%, 10/1/40 | 149,154 | ||||||
| 125,000 | Gilead Sciences, Inc., Senior Unsecured Notes, 3.25%, 9/1/22 | 130,894 | ||||||
| 541,400 | ||||||||
| COMMERCIAL SERVICES 0.0% | ||||||||
| 150,000 | Global Payments, Inc., Senior Unsecured Notes, 4.80%, 4/1/26 | 175,125 | ||||||
| 100,000 | Global Payments, Inc., Senior Unsecured Notes, 2.90%, 5/15/30 (1) | 107,001 | ||||||
| 282,126 | ||||||||
| FOOD 0.1% | ||||||||
| 150,000 | Hershey Co. (The), Senior Unsecured Notes, 2.65%, 6/1/50 | 154,058 | ||||||
| 125,000 | Mondelez International, Inc., Senior Unsecured Notes, 1.50%, 2/4/31 | 121,850 | ||||||
| 150,000 | Sysco Corp., Guaranteed Notes, 5.65%, 4/1/25 (1) | 177,390 | ||||||
| 453,298 | ||||||||
| HEALTHCARE PRODUCTS 0.1% | ||||||||
| 235,000 | Abbott Laboratories, Senior Unsecured Notes, 3.75%, 11/30/26 | 272,810 | ||||||
| 125,000 | Boston Scientific Corp., Senior Unsecured Notes, 3.75%, 3/1/26 | 142,447 | ||||||
| 100,000 | Danaher Corp., Senior Unsecured Notes, 3.35%, 9/15/25 | 111,636 | ||||||
| 526,893 | ||||||||
| HEALTHCARE SERVICES 0.2% | ||||||||
| 150,000 | Anthem, Inc., Senior Unsecured Notes, 3.35%, 12/1/24 | 164,789 | ||||||
| 125,000 | HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25 | 136,875 | ||||||
| 200,000 | Humana, Inc., Senior Unsecured Notes, 3.95%, 3/15/27 | 228,448 | ||||||
| 125,000 | Laboratory Corp. of America Holdings, Senior Unsecured Notes, 2.95%, 12/1/29 (1) | 137,505 | ||||||
| 125,000 | Quest Diagnostics, Inc., Senior Unsecured Notes, 2.80%, 6/30/31 | 134,635 | ||||||
| 150,000 | UnitedHealth Group, Inc., Senior Unsecured Notes, 4.63%, 11/15/41 | 196,812 | ||||||
| 999,064 | ||||||||
| HOUSEHOLD PRODUCTS 0.0% | ||||||||
| 150,000 | Clorox Co. (The), Senior Unsecured Notes, 1.80%, 5/15/30 | 154,424 | ||||||
4
Schedule of Investments (unaudited) (continued)
| Principal Amount | Value | |||||||
| PHARMACEUTICALS 0.3% | ||||||||
| $ | 125,000 | AbbVie, Inc., Senior Unsecured Notes, 2.95%, 11/21/26 (2) | $ | 136,153 | ||||
| 150,000 | AstraZeneca PLC, Senior Unsecured Notes, 1.38%, 8/6/30 | 145,904 | ||||||
| 150,000 | Becton Dickinson and Co., Senior Unsecured Notes, 3.36%, 6/6/24 | 162,334 | ||||||
| 100,000 | Bristol-Myers Squibb Co., Senior Unsecured Notes, 5.25%, 8/15/43 | 141,120 | ||||||
| 150,000 | Cigna Corp., Senior Unsecured Notes, 2.40%, 3/15/30 | 155,568 | ||||||
| 150,000 | CVS Health Corp., Senior Unsecured Notes, 1.75%, 8/21/30 (1) | 146,586 | ||||||
| 150,000 | Johnson & Johnson, Senior Unsecured Notes, 1.30%, 9/1/30 | 151,236 | ||||||
| 150,000 | Merck & Co., Inc., Senior Unsecured Notes, 3.90%, 3/7/39 | 186,122 | ||||||
| 150,000 | Mylan N.V., Guaranteed Notes, 3.95%, 6/15/26 | 168,755 | ||||||
| 100,000 | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 3.03%, 7/9/40 | 103,632 | ||||||
| 200,000 | Zoetis, Inc., Senior Unsecured Notes, 4.50%, 11/13/25 | 233,955 | ||||||
| 1,731,365 | ||||||||
| 5,802,580 | ||||||||
| ENERGY 0.3% | ||||||||
| OIL & GAS 0.2% | ||||||||
| 125,000 | ConocoPhillips Co., Guaranteed Notes, 4.95%, 3/15/26 | 149,354 | ||||||
| 100,000 | Continental Resources, Inc., Guaranteed Notes, 4.50%, 4/15/23 | 95,300 | ||||||
| 150,000 | Marathon Petroleum Corp., Senior Unsecured Notes, 5.13%, 12/15/26 (1) | 173,902 | ||||||
| 200,000 | Phillips 66, Guaranteed Notes, 4.30%, 4/1/22 (1) | 210,938 | ||||||
| 150,000 | Shell International Finance B.V., Guaranteed Notes, 2.38%, 11/7/29 | 158,322 | ||||||
| 150,000 | Total Capital International SA, Guaranteed Notes, 3.46%, 2/19/29 (1) | 172,423 | ||||||
| 175,000 | Valero Energy Corp., Senior Unsecured Notes, 6.63%, 6/15/37 | 220,130 | ||||||
| 1,180,369 | ||||||||
| OIL & GAS SERVICES 0.0% | ||||||||
| 150,000 | Schlumberger Finance Canada, Ltd., Guaranteed Notes, 1.40%, 9/17/25 (1) | 151,357 | ||||||
| PIPELINES 0.1% | ||||||||
| 200,000 | Enterprise Products Operating LLC, Guaranteed Notes, 4.85%, 8/15/42 | 226,646 | ||||||
| 200,000 | Kinder Morgan, Inc., Guaranteed Notes, 4.30%, 3/1/28 (1) | 227,593 | ||||||
| 100,000 | Magellan Midstream Partners L.P., Senior Unsecured Notes, 4.25%, 9/15/46 | 104,721 | ||||||
| 558,960 | ||||||||
| 1,890,686 | ||||||||
| FINANCIAL 1.6% | ||||||||
| BANKS 0.9% | ||||||||
| 150,000 | Australia & New Zealand Banking Group, Ltd., Subordinated Notes, 4.50%, 3/19/24 (2) | 164,903 | ||||||
| 100,000 | Banco Bilbao Vizcaya Argentaria S.A., Senior Unsecured Notes, 3.00%, 10/20/20 | 100,133 | ||||||
| 150,000 | Bank of America Corp. GMTN, Senior Unsecured Notes, 3.50%, 4/19/26 | 168,067 | ||||||
| 200,000 | Bank of Nova Scotia (The), Senior Unsecured Notes, 2.70%, 8/3/26 | 219,052 | ||||||
| 125,000 | Barclays PLC, Senior Unsecured Notes, 4.34%, 1/10/28 | 139,195 | ||||||
| 250,000 | Canadian Imperial Bank of Commerce, Senior Unsecured Notes, 2.25%, 1/28/25 | 263,673 | ||||||
| 175,000 | Citigroup, Inc., Subordinated Notes, 5.30%, 5/6/44 | 233,357 | ||||||
| 150,000 | Citigroup, Inc., Senior Unsecured Notes, (3-month LIBOR + 0.90%), 3.35%, 4/24/25 (3) | 162,289 | ||||||
| 150,000 | Cooperatieve Rabobank UA MTN, Senior Unsecured Notes, 3.38%, 5/21/25 | 168,597 | ||||||
| 100,000 | Credit Suisse AG, Senior Unsecured Notes, 2.95%, 4/9/25 | 109,176 | ||||||
| 150,000 | Fifth Third Bancorp, Senior Unsecured Notes, 3.65%, 1/25/24 | 163,635 | ||||||
| 100,000 | Goldman Sachs Group, Inc. (The), Subordinated Notes, 6.75%, 10/1/37 | 145,293 | ||||||
| 100,000 | Huntington Bancshares, Inc., Senior Unsecured Notes, 2.63%, 8/6/24 | 106,510 | ||||||
| 200,000 | ING Groep N.V., Senior Unsecured Notes, 4.10%, 10/2/23 | 219,143 | ||||||
| 150,000 | JPMorgan Chase & Co., Subordinated Notes, 4.13%, 12/15/26 | 174,288 | ||||||
| 150,000 | KeyCorp MTN, Senior Unsecured Notes, 2.55%, 10/1/29 | 159,590 | ||||||
| 250,000 | Kreditanstalt fuer Wiederaufbau, Guaranteed Notes, 2.63%, 4/12/21 | 253,208 | ||||||
| 125,000 | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.90%, 3/12/24 | 135,815 | ||||||
| 250,000 | Morgan Stanley, Subordinated Notes, 4.88%, 11/1/22 | 270,250 | ||||||
| 250,000 | Morgan Stanley, Series F, Senior Unsecured Notes, 3.88%, 4/29/24 | 275,885 | ||||||
| 150,000 | Northern Trust Corp., Senior Unsecured Notes, 3.15%, 5/3/29 (1) | 171,065 | ||||||
5
September 30, 2020
| Principal Amount | Value | ||||||||
| $ | 200,000 | PNC Financial Services Group, Inc. (The), Senior Unsecured Notes, 3.30%, 3/8/22 | $ | 207,920 | |||||
| 150,000 | Societe Generale S.A., Senior Unsecured Notes, 5.20%, 4/15/21 | 154,038 | |||||||
| 250,000 | Svenska Handelsbanken AB, Guaranteed Notes, 3.35%, 5/24/21 | 255,035 | |||||||
| 150,000 | Toronto-Dominion Bank (The) MTN, Senior Unsecured Notes, 1.15%, 6/12/25 | 152,435 | |||||||
| 125,000 | Truist Bank, Subordinated Notes, (5-year Treasury Constant Maturity Rate + 1.15%), 2.64%, 9/17/29 (3) | 129,678 | |||||||
| 150,000 | US Bancorp MTN, Subordinated Notes, 3.60%, 9/11/24 | 166,162 | |||||||
| 250,000 | Wells Fargo & Co. MTN, Senior Unsecured Notes, 3.50%, 3/8/22 | 260,581 | |||||||
| 5,128,973 | |||||||||
| DIVERSIFIED FINANCIAL SERVICES 0.1% | |||||||||
| 125,000 | American Express Co., Senior Unsecured Notes, 3.13%, 5/20/26 | 139,391 | |||||||
| 125,000 | BlackRock, Inc., Senior Unsecured Notes, 2.40%, 4/30/30 (1) | 136,343 | |||||||
| 200,000 | Discover Financial Services, Senior Unsecured Notes, 3.95%, 11/6/24 | 220,080 | |||||||
| 200,000 | Stifel Financial Corp., Senior Unsecured Notes, 4.25%, 7/18/24 | 224,318 | |||||||
| 720,132 | |||||||||
| INSURANCE 0.3% | |||||||||
| 125,000 | Aflac, Inc., Senior Unsecured Notes, 3.60%, 4/1/30 (1) | 146,692 | |||||||
| 250,000 | American International Group, Inc., Senior Unsecured Notes, 4.88%, 6/1/22 | 267,986 | |||||||
| 150,000 | Aon Corp., Guaranteed Notes, 3.75%, 5/2/29 | 173,021 | |||||||
| 250,000 | Berkshire Hathaway, Inc., Senior Unsecured Notes, 3.75%, 8/15/21 (1) | 257,306 | |||||||
| 150,000 | Chubb INA Holdings, Inc., Guaranteed Notes, 3.35%, 5/3/26 | 169,981 | |||||||
| 100,000 | CNA Financial Corp., Senior Unsecured Notes, 3.95%, 5/15/24 | 110,805 | |||||||
| 100,000 | Hartford Financial Services Group, Inc. (The), Senior Unsecured Notes, 2.80%, 8/19/29 | 108,433 | |||||||
| 175,000 | PartnerRe Finance B LLC, Guaranteed Notes, 3.70%, 7/2/29 | 195,047 | |||||||
| 150,000 | Principal Financial Group, Inc., Guaranteed Notes, 3.70%, 5/15/29 | 175,776 | |||||||
| 175,000 | Prudential Financial, Inc., Junior Subordinated Notes, (3-month LIBOR + 2.67%), 5.70%, 9/15/48 (3) | 197,846 | |||||||
| 1,802,893 | |||||||||
| REITS 0.3% | |||||||||
| 150,000 | American Tower Corp., Senior Unsecured Notes, 2.95%, 1/15/25 (1) | 162,041 | |||||||
| 100,000 | AvalonBay Communities, Inc. GMTN, Senior Unsecured Notes, 3.45%, 6/1/25 | 110,807 | |||||||
| 150,000 | Digital Realty Trust L.P., Guaranteed Notes, 3.60%, 7/1/29 | 172,092 | |||||||
| 100,000 | Essex Portfolio L.P., Guaranteed Notes, 3.00%, 1/15/30 | 107,475 | |||||||
| 125,000 | Essex Portfolio L.P., Guaranteed Notes, 4.00%, 3/1/29 | 144,731 | |||||||
| 125,000 | Life Storage L.P., Guaranteed Notes, 2.20%, 10/15/30 | 124,681 | |||||||
| 125,000 | Prologis L.P., Senior Unsecured Notes, 2.25%, 4/15/30 (1) | 132,860 | |||||||
| 125,000 | Sabra Health Care L.P., Guaranteed Notes, 3.90%, 10/15/29 | 121,767 | |||||||
| 100,000 | Ventas Realty L.P., Guaranteed Notes, 4.40%, 1/15/29 (1) | 113,599 | |||||||
| 250,000 | Welltower, Inc., Senior Unsecured Notes, 4.25%, 4/15/28 | 283,120 | |||||||
| 100,000 | Weyerhaeuser Co., Senior Unsecured Notes, 6.95%, 10/1/27 | 126,129 | |||||||
| 1,599,302 | |||||||||
| 9,251,300 | |||||||||
| INDUSTRIAL 0.4% | |||||||||
| AEROSPACE & DEFENSE 0.1% | |||||||||
| 200,000 | L3Harris Technologies, Inc., Senior Unsecured Notes, 4.40%, 6/15/28 | 238,403 | |||||||
| 175,000 | United Technologies Corp., Senior Unsecured Notes, 4.13%, 11/16/28 | 207,222 | |||||||
| 445,625 | |||||||||
| BUILDING MATERIALS 0.1% | |||||||||
| 125,000 | Johnson Controls International PLC/Tyco Fire & Security Finance SCA, Senior Unsecured Notes, 1.75%, 9/15/30 (1) | 125,791 | |||||||
| 125,000 | Masco Corp., Senior Unsecured Notes, 2.00%, 10/1/30 | 125,047 | |||||||
| 100,000 | Owens Corning, Senior Unsecured Notes, 3.95%, 8/15/29 | 113,279 | |||||||
| 364,117 | |||||||||
| ELECTRONICS 0.1% | |||||||||
| 150,000 | Agilent Technologies, Inc., Senior Unsecured Notes, 2.10%, 6/4/30 | 154,183 | |||||||
| 125,000 | Keysight Technologies, Inc., Senior Unsecured Notes, 3.00%, 10/30/29 | 136,644 | |||||||
| 125,000 | Roper Technologies, Inc., Senior Unsecured Notes, 2.00%, 6/30/30 | 127,424 | |||||||
| 418,251 | |||||||||
| MISCELLANEOUS MANUFACTURERS 0.1% | |||||||||
| 100,000 | 3M Co., Senior Unsecured Notes, 2.38%, 8/26/29 | 108,155 | |||||||
| 200,000 | Ingersoll-Rand Luxembourg Finance S.A., Guaranteed Notes, 3.80%, 3/21/29 | 234,486 | |||||||
6
Schedule of Investments (unaudited) (continued)
| Principal Amount | Value | |||||||
| $ | 250,000 | Textron, Inc., Senior Unsecured Notes, 3.88%, 3/1/25 | $ | 273,952 | ||||
| 616,593 | ||||||||
| PACKAGING & CONTAINERS 0.0% | ||||||||
| 150,000 | Packaging Corp. of America, Senior Unsecured Notes, 3.65%, 9/15/24 | 164,389 | ||||||
| 150,000 | WRKCo, Inc., Guaranteed Notes, 3.90%, 6/1/28 | 170,965 | ||||||
| 335,354 | ||||||||
| TRANSPORTATION 0.0% | ||||||||
| 100,000 | CSX Corp., Senior Unsecured Notes, 3.35%, 9/15/49 | 110,597 | ||||||
| 150,000 | United Parcel Service, Inc., Senior Unsecured Notes, 2.50%, 9/1/29 | 164,004 | ||||||
| 274,601 | ||||||||
| 2,454,541 | ||||||||
| TECHNOLOGY 0.4% | ||||||||
| COMPUTERS 0.1% | ||||||||
| 150,000 | Apple, Inc., Senior Unsecured Notes, 1.25%, 8/20/30 (1) | 149,504 | ||||||
| 150,000 | HP, Inc., Senior Unsecured Notes, 3.00%, 6/17/27 | 162,164 | ||||||
| 100,000 | International Business Machines Corp., Senior Unsecured Notes, 1.70%, 5/15/27 | 103,383 | ||||||
| 150,000 | NetApp, Inc., Senior Unsecured Notes, 1.88%, 6/22/25 | 155,370 | ||||||
| 570,421 | ||||||||
| SEMICONDUCTORS 0.1% | ||||||||
| 225,000 | KLA Corp., Senior Unsecured Notes, 4.10%, 3/15/29 | 270,030 | ||||||
| 100,000 | Lam Research Corp., Senior Unsecured Notes, 4.00%, 3/15/29 | 119,821 | ||||||
| 100,000 | Micron Technology, Inc., Senior Unsecured Notes, 2.50%, 4/24/23 | 103,845 | ||||||
| 125,000 | NVIDIA Corp., Senior Unsecured Notes, 2.85%, 4/1/30 (1) | 140,438 | ||||||
| 125,000 | Xilinx, Inc., Senior Unsecured Notes, 2.38%, 6/1/30 | 131,224 | ||||||
| 765,358 | ||||||||
| SOFTWARE 0.2% | ||||||||
| 150,000 | Adobe, Inc., Senior Unsecured Notes, 2.30%, 2/1/30 | 161,371 | ||||||
| 150,000 | Electronic Arts, Inc., Senior Unsecured Notes, 4.80%, 3/1/26 (1) | 177,874 | ||||||
| 125,000 | Fiserv, Inc., Senior Unsecured Notes, 3.50%, 7/1/29 (1) | 142,489 | ||||||
| 150,000 | Intuit, Inc., Senior Unsecured Notes, 1.65%, 7/15/30 | 152,392 | ||||||
| 100,000 | j2 Cloud Services LLC/j2 Global Co-Obligor, Inc., Guaranteed Notes, 6.00%, 7/15/25 (2) | 104,000 | ||||||
| 125,000 | Microsoft Corp., Senior Unsecured Notes, 2.40%, 8/8/26 (1) | 136,544 | ||||||
| 100,000 | Oracle Corp., Senior Unsecured Notes, 2.95%, 4/1/30 | 111,806 | ||||||
| 986,476 | ||||||||
| 2,322,255 | ||||||||
| UTILITIES 0.4% | ||||||||
| ELECTRIC 0.3% | ||||||||
| 100,000 | CenterPoint Energy, Inc., Senior Unsecured Notes, 4.25%, 11/1/28 | 119,222 | ||||||
| 125,000 | Consolidated Edison Co. of New York, Inc., Senior Unsecured Notes, 4.50%, 12/1/45 | 157,037 | ||||||
| 200,000 | Dominion Energy, Inc., Senior Unsecured Notes, 4.25%, 6/1/28 | 235,515 | ||||||
| 150,000 | DTE Electric Co., 3.95%, 3/1/49 | 189,268 | ||||||
| 125,000 | Duke Energy Corp., Senior Unsecured Notes, 3.75%, 9/1/46 | 142,702 | ||||||
| 150,000 | Entergy Corp., Senior Unsecured Notes, 0.90%, 9/15/25 | 149,398 | ||||||
| 250,000 | Florida Power & Light Co., 4.05%, 6/1/42 | 310,835 | ||||||
| 150,000 | Georgia Power Co., Series B, Senior Unsecured Notes, 2.65%, 9/15/29 (1) | 160,724 | ||||||
| 175,000 | ITC Holdings Corp., Senior Unsecured Notes, 3.25%, 6/30/26 | 195,394 | ||||||
| 125,000 | Northern States Power Co., 2.90%, 3/1/50 | 133,855 | ||||||
| 125,000 | Public Service Enterprise Group, Inc., Senior Unsecured Notes, 1.60%, 8/15/30 | 122,907 | ||||||
| 1,916,857 | ||||||||
| GAS 0.0% | ||||||||
| 100,000 | National Fuel Gas Co., Senior Unsecured Notes, 5.20%, 7/15/25 | 110,521 | ||||||
| WATER 0.1% | ||||||||
| 175,000 | American Water Capital Corp., Senior Unsecured Notes, 3.75%, 9/1/28 | 204,467 | ||||||
| 2,231,845 | ||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost $27,153,369) | 29,091,851 | |||||||
| FOREIGN GOVERNMENT OBLIGATIONS 0.1% | ||||||||
| 200,000 | European Bank for Reconstruction & Development GMTN, Senior Unsecured Notes, 2.75%, 3/7/23 | 212,038 | ||||||
7
September 30, 2020
| Principal Amount | Value | |||||||
| $ | 150,000 | Export-Import Bank of Korea, Senior Unsecured Notes, 3.00%, 11/1/22 | $ | 157,261 | ||||
| 225,000 | Mexico Government International Bond, Senior Unsecured Notes, 4.15%, 3/28/27 (1) | 250,312 | ||||||
| 150,000 | Panama Government International Bond, Senior Unsecured Notes, 4.00%, 9/22/24 | 164,027 | ||||||
| TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $729,461) | 783,638 | |||||||
| 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 | 158,518 | ||||||
| 80,000 | Los Angeles County Public Works Financing Authority, Build America Bonds, Revenue Bonds, 5.84%, 8/1/21 | 83,540 | ||||||
| 100,000 | San Marcos California Unified School District, Refunding Revenue Bonds, 3.17%, 8/1/38 | 110,222 | ||||||
| 50,000 | University of California Regents Medical Center Pooled Revenue, Revenue Bonds, Build America Bonds, Series H, 6.40%, 5/15/31 | 67,838 | ||||||
| 420,118 | ||||||||
| NEW YORK 0.1% | ||||||||
| 100,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, Build America Bonds, Revenue Bonds, 4.53%, 11/1/22 | 108,206 | ||||||
| 200,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate Bonds, Revenue Bonds, 2.63%, 2/1/23 | 209,084 | ||||||
| 250,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate Bonds, Revenue Bonds, 3.00%, 2/1/26 | 274,743 | ||||||
| 135,000 | New York Municipal Bond Bank Agency Revenue, Revenue Bonds, Build America Bonds, Ser. D2, 6.64%, 4/1/25 | 154,761 | ||||||
| 746,794 | ||||||||
| PENNSYLVANIA 0.0% | ||||||||
| 100,000 | Pennsylvania Turnpike Commission, Motor License, Refunding Revenue Bonds, 3.29%, 12/1/36 | 105,684 | ||||||
| TEXAS 0.2% | ||||||||
| 175,000 | City of Houston TX Combined Utility System Revenue, Refunding Revenue Bonds, Series D, 1.97%, 11/15/34 | 175,527 | ||||||
| 250,000 | Dallas Independent School District Qualified School Construction Notes, General Obligation Limited, 5.05%, 8/15/33 | 279,000 | ||||||
| 250,000 | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Baylor Health Care System Project, Series C, 4.45%, 11/15/43 | 300,152 | ||||||
| 150,000 | Tyler Independent School District, Texas Unlimited Tax, Refunding Revenue Bonds, 1.68%, 2/15/32 | 152,904 | ||||||
| 907,583 | ||||||||
| VIRGINIA 0.0% | ||||||||
| 100,000 | Hampton Roads Sanitation District, Refunding Revenue Bonds, Ser. A, 2.11%, 2/1/29 | 103,183 | ||||||
| TOTAL LONG-TERM MUNICIPAL SECURITIES (Cost $2,131,700) | 2,283,362 | |||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS 2.5% | ||||||||
| 250,000 | FHLB, 3.00%, 10/12/21 | 257,369 | ||||||
| 230,000 | FHLB, 3.25%, 3/8/24 | 253,228 | ||||||
| 131,539 | FHLMC, Series 4151, Class PA, 2.00%, 1/15/33 | 137,577 | ||||||
| 53,753 | FHLMC Gold PC Pool #A47613, 5.00%, 11/1/35 | 60,575 | ||||||
| 53,050 | FHLMC Gold PC Pool #C09055, 4.00%, 12/1/43 | 58,230 | ||||||
| 73,528 | FHLMC Gold PC Pool #J17969, 3.00%, 2/1/27 | 77,323 | ||||||
| 96,370 | FHLMC Gold Pool #A97264, 4.00%, 2/1/41 | 106,147 | ||||||
| 176,917 | FHLMC Gold Pool #C09027, 3.00%, 2/1/43 | 188,518 | ||||||
| 32,310 | FHLMC Gold Pool #G08521, 3.00%, 1/1/43 | 34,426 | ||||||
| 162,556 | FHLMC Gold Pool #J13314, 3.50%, 10/1/25 | 172,165 | ||||||
| 65,879 | FHLMC Gold Pool #Q06884, 3.50%, 3/1/42 | 71,243 | ||||||
| 56,148 | FHLMC Gold Pool #Q11077, 3.50%, 9/1/42 | 60,936 | ||||||
| 56,976 | FHLMC Gold Pool #Q34167, 4.00%, 6/1/45 | 62,377 | ||||||
| 245,930 | FHLMC Gold Pool #Q41084, 3.50%, 6/1/46 | 261,855 | ||||||
| 250,000 | FNMA, 2.38%, 1/19/23 (1) | 262,263 | ||||||
| 96,874 | FNMA Pool #254954, 4.50%, 10/1/23 | 104,547 | ||||||
| 86,675 | FNMA Pool #745275, 5.00%, 2/1/36 | 99,704 | ||||||
| 90,189 | FNMA Pool #844809, 5.00%, 11/1/35 | 103,477 | ||||||
| 50,762 | FNMA Pool #AA0466, 4.50%, 2/1/39 | 57,042 | ||||||
| 131,499 | FNMA Pool #AB1796, 3.50%, 11/1/40 | 141,866 | ||||||
| 51,002 | FNMA Pool #AB3218, 3.50%, 7/1/31 | 54,220 | ||||||
| 142,029 | FNMA Pool #AB3900, 3.00%, 11/1/26 | 149,196 | ||||||
| 62,003 | FNMA Pool #AC5822, 4.50%, 5/1/40 | 69,569 | ||||||
| 87,172 | FNMA Pool #AD7128, 4.50%, 7/1/40 | 97,779 | ||||||
| 56,066 | FNMA Pool #AD8529, 4.50%, 8/1/40 | 62,853 | ||||||
| 445 | FNMA Pool #AH3226, 5.00%, 2/1/41 | 510 | ||||||
| 97,338 | FNMA Pool #AH4493, 4.50%, 2/1/41 | 109,491 | ||||||
| 61,956 | FNMA Pool #AI1019, 4.50%, 5/1/41 | 69,308 | ||||||
8
Schedule of Investments (unaudited) (continued)
| Principal Amount | Value | |||||||
| $ | 209,529 | FNMA Pool #AL0657, 5.00%, 8/1/41 | $ | 240,820 | ||||
| 197,718 | FNMA Pool #AQ1853, 3.00%, 11/1/42 | 210,162 | ||||||
| 85,624 | FNMA Pool #AS0560, 4.50%, 9/1/43 | 96,050 | ||||||
| 50,435 | FNMA Pool #AS1529, 3.00%, 1/1/29 | 52,978 | ||||||
| 36,223 | FNMA Pool #AS3789, 4.50%, 11/1/44 | 39,883 | ||||||
| 65,612 | FNMA Pool #AS4503, 3.00%, 2/1/30 | 68,928 | ||||||
| 108,365 | FNMA Pool #AS4928, 3.50%, 5/1/45 | 115,508 | ||||||
| 45,977 | FNMA Pool #AS6205, 3.50%, 11/1/45 | 48,995 | ||||||
| 161,570 | FNMA Pool #AS7188, 4.00%, 5/1/46 | 176,225 | ||||||
| 210,545 | FNMA Pool #AS9459, 4.50%, 4/1/47 | 229,282 | ||||||
| 32,475 | FNMA Pool #AT8849, 4.00%, 6/1/43 | 35,884 | ||||||
| 97,234 | FNMA Pool #AU3621, 3.00%, 7/1/43 | 103,635 | ||||||
| 214,510 | FNMA Pool #AU5409, 3.00%, 8/1/43 | 224,683 | ||||||
| 54,665 | FNMA Pool #AU5653, 4.00%, 9/1/43 | 60,287 | ||||||
| 94,299 | FNMA Pool #AU6562, 3.50%, 12/1/43 | 101,912 | ||||||
| 50,750 | FNMA Pool #AU7025, 3.00%, 11/1/43 | 54,027 | ||||||
| 59,581 | FNMA Pool #AV3310, 4.50%, 1/1/44 | 64,623 | ||||||
| 116,452 | FNMA Pool #AY2728, 2.50%, 2/1/30 | 121,881 | ||||||
| 101,189 | FNMA Pool #AZ2276, 4.00%, 6/1/45 | 110,262 | ||||||
| 157,455 | FNMA Pool #BA6555, 3.00%, 1/1/46 | 165,770 | ||||||
| 79,640 | FNMA Pool #BD8211, 4.00%, 4/1/47 | 85,483 | ||||||
| 121,622 | FNMA Pool #BK2040, 4.00%, 5/1/48 | 129,722 | ||||||
| 470,358 | FNMA Pool #BK9648, 3.50%, 11/1/48 | 496,086 | ||||||
| 481,405 | FNMA Pool #BM5793, 3.00%, 4/1/49 | 504,076 | ||||||
| 230,265 | FNMA Pool #BN6248, 3.00%, 4/1/49 | 241,174 | ||||||
| 977,210 | FNMA Pool #CA5540, 3.00%, 4/1/50 | 1,039,634 | ||||||
| 496,953 | FNMA Pool #FM4140, 2.50%, 9/1/50 | 528,537 | ||||||
| 197,618 | FNMA Pool #MA4077, 2.00%, 7/1/50 | 204,358 | ||||||
| 2,955,862 | FNMA Pool #MA4078, 2.50%, 7/1/50 | 3,102,994 | ||||||
| 1,595,796 | FNMA Pool #MA4119, 2.00%, 9/1/50 | 1,650,221 | ||||||
| 103,397 | FNMA REMIC Trust Series 2013-18, Class AE, 2.00%, 3/25/28 | 106,587 | ||||||
| 58,432 | GNMA I Pool #539285, 3.00%, 5/15/42 | 60,988 | ||||||
| 75,297 | GNMA II Pool #MA1520, 3.00%, 12/20/43 | 79,246 | ||||||
| 113,735 | GNMA II Pool #MA1521, 3.50%, 12/20/43 | 123,240 | ||||||
| 200,542 | GNMA II Pool #MA1839, 4.00%, 4/20/44 | 218,602 | ||||||
| 300,717 | GNMA II Pool #MA4836, 3.00%, 11/20/47 | 317,690 | ||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $14,054,025) | 14,394,227 | |||||||
| U.S. TREASURY OBLIGATIONS 2.7% | ||||||||
| 150,000 | U.S. Treasury Bonds, 5.38%, 2/15/31 (1) | 221,150 | ||||||
| 520,000 | U.S. Treasury Bonds, 4.38%, 2/15/38 | 800,963 | ||||||
| 350,000 | U.S. Treasury Bonds, 3.50%, 2/15/39 | 491,955 | ||||||
| 1,087,000 | U.S. Treasury Bonds, 2.75%, 8/15/42 | 1,395,394 | ||||||
| 960,000 | U.S. Treasury Bonds, 3.00%, 2/15/48 | 1,307,700 | ||||||
| 550,000 | U.S. Treasury Notes, 2.00%, 11/30/22 | 572,193 | ||||||
| 1,500,000 | U.S. Treasury Notes, 0.25%, 4/15/23 | 1,504,043 | ||||||
| 589,000 | U.S. Treasury Notes, 2.13%, 7/31/24 | 632,278 | ||||||
| 425,000 | U.S. Treasury Notes, 2.25%, 11/15/24 | 460,295 | ||||||
| 2,100,000 | U.S. Treasury Notes, 0.50%, 3/31/25 | 2,124,363 | ||||||
| 1,560,000 | U.S. Treasury Notes, 3.00%, 9/30/25 | 1,770,600 | ||||||
| 175,000 | U.S. Treasury Notes, 2.13%, 5/31/26 | 192,500 | ||||||
| 1,292,000 | U.S. Treasury Notes, 2.25%, 8/15/27 | 1,449,412 | ||||||
| 1,100,000 | U.S. Treasury Notes, 0.50%, 8/31/27 | 1,103,094 | ||||||
| 575,000 | U.S. Treasury Notes, 2.75%, 2/15/28 | 669,134 | ||||||
| 360,000 | U.S. Treasury Notes, 2.88%, 5/15/28 | 423,731 | ||||||
| 380,000 | U.S. Treasury Notes, 1.63%, 8/15/29 | 413,844 | ||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $13,996,932) | 15,532,649 | |||||||
| Shares | Value | |||||||
| SHORT-TERM INVESTMENTS 8.4% | ||||||||
| MONEY MARKET FUNDS 8.4% | ||||||||
| 29,309,288 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.027% (4) | 29,309,288 | ||||||
| 18,598,364 | State Street Navigator Securities Lending Government Money Market Portfolio (5) | 18,598,364 | ||||||
| 47,907,652 | ||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $47,907,652) | 47,907,652 | |||||||
| TOTAL INVESTMENT SECURITIES (6) 102.7% (Cost $447,475,425) | $ | 586,906,777 | ||||||
| EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS (2.7)% | (15,247,528 | ) | ||||||
| NET ASSETS 100.0% | $ | 571,659,249 | ||||||
| * | Non-income producing. | |
| (1) | A portion or all of the security was held on loan. As of September 30, 2020, the market value of the securities on loan was $27,137,534. | |
| (2) | Pursuant to Rule 144A under the Securities Act of 1933, this security can only be sold to qualified institutional investors. | |
| (3) |
Floating or variable rate security. The rate disclosed is the rate in effect as of September 30, 2020. 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. | |
| (4) | Rate reflects 7 day yield as of September 30, 2020. | |
| (5) | Securities with an aggregate market value of $27,137,534 were out on loan in exchange for collateral including $18,598,364 of cash collateral as of September 30, 2020. The collateral was invested in a cash collateral reinvestment vehicle. |
9
September 30, 2020
| (6) | For federal income tax purposes, the aggregate cost was $447,475,425, aggregate gross unrealized appreciation was $167,948,018, aggregate gross unrealized depreciation was $28,516,666 and the net unrealized appreciation was $139,431,352. | |
| ADR | American Depositary Receipt. | |
| FHLB | Federal Home Loan Bank. | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| FNMA | Federal National Mortgage Association. | |
| FREMF | Freddie Mac Multifamily. | |
| GMTN | Global Medium Term Note. | |
| GNMA | Government National Mortgage Association. | |
| LIBOR | London Interbank Offered Rate. | |
| MTN | Medium Term Note. | |
| REIT | Real Estate Investment Trust. | |
| REMIC | Real Estate Mortgage Investment Conduit. |
10
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, 2020:
| Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Common Stocks* | $ | 466,745,834 | $ | — | $ | — | $ | 466,745,834 | ||||||||
| Asset-Backed Securities | — | 2,756,793 | — | 2,756,793 | ||||||||||||
| Commercial Mortgage-Backed Securities | — | 7,410,771 | — | 7,410,771 | ||||||||||||
| Corporate Bonds & Notes* | — | 29,091,851 | — | 29,091,851 | ||||||||||||
| Foreign Government Obligations | — | 783,638 | — | 783,638 | ||||||||||||
| Long-Term Municipal Securities* | — | 2,283,362 | — | 2,283,362 | ||||||||||||
| U.S. Government Agency Obligations | — | 14,394,227 | — | 14,394,227 | ||||||||||||
| U.S. Treasury Obligations | — | 15,532,649 | — | 15,532,649 | ||||||||||||
| Short-Term Investments | 47,907,652 | — | — | 47,907,652 | ||||||||||||
| Total Investments in Securities | $ | 514,653,486 | $ | 72,253,291 | $ | — | $ | 586,906,777 | ||||||||
* 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, 2020, there were no Level 3 investments. The Schedule of Investments includes a breakdown of the Fund’s investments by category.