FOR VALIDATION PURPOSES ONLY - [872937.QUALITY]

NPORT-EX 2 SI15SITQualityIncomeFund.htm FOR VALIDATION PURPOSES ONLY - [872937.QUALITY]

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2019

Sit Quality Income Fund



Name of Issuer	Principal Amount ($)		Coupon Rate (%)		Maturity Date		Fair Value ($)

Asset-Backed Securities - 9.5%
Agency - 1.5%
FNMA Grantor Trust, Series 2004-T5, Class A11 ¹		639,825		2.29		5/28/35		628,801
FNMA REMICS, Series 2001-W2, Class AS5 ¹⁴		3,014		6.47		10/25/31		3,084
Small Business Administration, Series 2000-20D		12,406		7.47		4/1/20		12,441
Small Business Administration, Series 2006-20D, Class 1		206,195		5.64		4/1/26		218,101
Small Business Administration, Series 2007-20B, Class 1		181,898		5.49		2/1/27		193,226
Small Business Administration, Series 2007-20J, Class 1		266,635		5.57		10/1/27		280,813


								1,336,466


Non-Agency - 8.0%
ACE Securities Corp. Manufactured Housing Trust, Series 2003-MH1, Class M2 ^1,⁴		499,642		6.50		8/15/30		534,530
Aegis Asset Backed Securities Corp., Series 2003-2, Class M1, 1 Mo. Libor + 1.13% ¹		747,206		2.92		11/25/33		745,560
Bayview Opportunity Master Fund, Series 2017-SPL5, Class A ^1,⁴		356,020		3.50		6/28/57		361,604
Centex Home Equity Loan Trust, Series 2004-A, Class AF4 ¹⁴		102,684		5.01		8/25/32		106,346
Centex Home Equity Loan Trust, Series 2004-A, Class AF5 ¹⁴		310,000		5.43		1/25/34		314,849
Centex Home Equity Loan Trust, Series 2004-D, Class AF6 ¹⁴		2,066		5.17		9/25/34		2,070
CIT Home Equity Loan Trust, Series 2003-1, Class A6 ¹⁴		852		4.56		10/20/32		853
Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3 ¹⁴		90,222		5.12		2/25/35		90,024
Credit Acceptance Auto Loan Trust, Series 2018-2A, Class B ⁴		500,000		3.94		7/15/27		512,735
GSAMP Trust, Series 2004-FM1, Class M1, 1 Mo. Libor + 0.98% ¹		181,981		2.77		11/25/33		180,255
Home Equity Mortgage Loan Asset-Backed Trust, Series 2003-A, Class AV2, 1 Mo. Libor + 0.86% ¹		329,242		2.65		10/25/33		327,752
Irwin Whole Loan Home Equity Trust, Series 2005-A, Class M1, 1 Mo. Libor + 0.86% ¹		26,157		2.65		6/25/34		26,146
Mill City Mortgage Loan Trust, Series 2017-3, Class A1 ^1,⁴		295,489		2.75		1/25/61		296,809
New Century Home Equity Loan Trust, Series 2003-5, Class AI7 ¹		3,309		5.04		11/25/33		3,368
NovaStar Mortgage Funding Trust, Series 2004-2, Class M2, 1 Mo. Libor + 1.02% ¹		44,812		2.81		9/25/34		44,602
OSCAR US Funding Trust IX, LLC, Series 2018-2A, Class A4 ⁴		500,000		3.63		9/10/25		515,802
OSCAR US Funding Trust VI, LLC, Series 2017-1A, Class A3 ⁴		279,210		2.82		6/10/21		279,529
OSCAR US Funding Trust VI, LLC, Series 2017-1A, Class A4 ⁴		940,000		3.30		5/10/24		950,532
OSCAR US Funding Trust VIII, LLC, Series 2018-1A, Class A2A ⁴		46,389		2.91		4/12/21		46,426
OSCAR US Funding Trust VIII, LLC, Series 2018-1A, Class A2B, 1 Mo. Libor + 0.49% ^1,⁴		159,048		2.21		4/12/21		159,074
Towd Point Mortgage Trust, Series 2019-MH1, Class A2 ^1,⁴		800,000		3.00		11/25/58		800,841
Towd Point Mortgage Trust, Series 2019-SJ3, Class A1 ^{1, 4}		732,177		3.00		11/25/59		733,449


								7,033,156

Total Asset-Backed Securities (cost: $8,353,176)								8,369,622


Collateralized Mortgage Obligations - 15.5%
Agency - 9.8%
FHLMC Multifamily Structured Pass Through Certificates, Series K007, Class A2		57,577		4.22		3/25/20		57,554
FHLMC REMICS, Series 2528, Class KM		27,976		5.50		11/15/22		28,813
FHLMC REMICS, Series 3104, Class BY		109,627		5.50		1/15/26		116,822
FHLMC REMICS, Series 3806, Class JA		271,612		3.50		2/15/26		277,508
FHLMC REMICS, Series 4759, Class NA		838,608		3.00		8/15/44		853,873
FHLMC REMICS, Series 4776, Class QG		855,556		3.00		9/15/42		861,397
FNMA Grantor Trust, Series 2004-T1, Class 2A ¹		460,220		3.87		8/25/43		474,137
FNMA REMICS, Series 2003-52, Class NA		33,681		4.00		6/25/23		34,091
FNMA REMICS, Series 2005-19, Class PA		11,604		5.50		7/25/34		11,648
FNMA REMICS, Series 2005-68, Class PC		3,853		5.50		7/25/35		3,885
FNMA REMICS, Series 2008-65, Class CD		1,430		4.50		8/25/23		1,430
FNMA REMICS, Series 2009-13, Class NX		10,390		4.50		3/25/24		10,402
FNMA REMICS, Series 2009-71, Class MB		34,118		4.50		9/25/24		35,447


DECEMBER 31, 2019				1

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2019

Sit Quality Income Fund (Continued)



Name of Issuer	Principal Amount ($)		Coupon Rate (%)		Maturity Date		Fair Value ($)

FNMA REMICS, Series 2009-88, Class DA		634		4.50		10/25/20		635
FNMA REMICS, Series 2012-19, Class GH		27,787		3.00		11/25/30		28,198
FNMA REMICS, Series 2013-74, Class AD		122,272		2.00		7/25/23		122,075
FNMA REMICS, Series 2017-97, Class DP		943,383		3.50		10/25/46		970,314
FNMA REMICS, Series 2018-1, Class TE		542,672		3.50		3/25/44		553,930
FNMA REMICS, Series 2018-25, Class AG		649,222		3.50		4/25/47		667,648
FRESB Mortgage Trust, Series 2018-SB45, Class A5H ¹		811,569		2.96		11/25/37		829,560
FRESB Mortgage Trust, Series 2018-SB46, Class A5H ¹		851,230		2.89		12/25/37		864,913
NCUA Guaranteed Notes Trust, Series 2010-R1, Class 1A, 1 Mo. Libor + 0.45% ¹		239,489		2.16		10/7/20		239,931
NCUA Guaranteed Notes Trust, Series 2010-R3, Class 2A, 1 Mo. Libor + 0.56% ¹		954,880		2.27		12/8/20		955,335
Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D		493,224		4.00		2/25/59		519,311
Vendee Mortgage Trust, Series 1993-1, Class ZB		53,237		7.25		2/15/23		56,725


								8,575,582


Non-Agency - 5.7%
COLT Mortgage Loan Trust, Series 2019-1, Class A1 ^1,⁴		333,093		3.71		3/25/49		335,042
GSR Mortgage Loan Trust, Series 2005-5F, Class 8A1, 1 Mo. Libor + 0.50% ¹		35,236		2.29		6/25/35		33,384
JPMorgan Mortgage Trust, Series 2019-1, Class A6 ^1,⁴		219,615		4.00		5/25/49		219,175
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1 ¹		162,032		4.70		11/21/34		165,901
MASTR Alternative Loan Trust, Series 2003-4, Class 2A1		67,951		6.25		6/25/33		70,061
MASTR Alternative Loan Trust, Series 2003-5, Class 4A1		90,120		5.50		7/25/33		92,354
MASTR Alternative Loan Trust, Series 2003-8, Class 3A1		71,629		5.50		12/25/33		73,470
MASTR Asset Securitization Trust, Series 2005-2, Class 1A3		34,000		5.35		11/25/35		35,432
New Residential Mortgage Loan Trust, Series 2017-2A, Class A4 ^1,⁴		532,401		4.00		3/25/57		554,258
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1 ^1,⁴		565,957		4.00		4/25/57		588,066
New Residential Mortgage Loan Trust, Series 2017-5A, Class A1, 1 Mo. Libor + 1.50% ^1,⁴		240,167		3.29		6/25/57		243,147
New Residential Mortgage Loan Trust, Series 2018-1A, Class A1A ^1,⁴		383,950		4.00		12/25/57		397,970
New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S, 1 Mo. Libor + 0.75% ^1,⁴		642,606		2.54		1/25/48		640,856
Prime Mortgage Trust, Series 2004-CL1, Class 1A1		65,063		6.00		2/25/34		69,274
RAAC Trust, Series 2004-SP3, Class AI5 ¹		278		4.89		12/25/32		283
Sequoia Mortgage Trust, Series 2012-2, Class B1 ¹		577,334		4.22		4/25/42		595,896
Sequoia Mortgage Trust, Series 2017-4, Class A4 ^1,⁴		286,865		3.50		7/25/47		291,227
Sequoia Mortgage Trust, Series 2018-3, Class A4 ^1,⁴		509,202		3.50		3/25/48		515,138
Structured Asset Securities, Corp. Mtg Pass-Through Certificates, Series 2003-22A, Class 3A ¹		55,521		4.23		6/25/33		56,920
WaMu Mortgage Pass Through Certificates, Series 2002-AR2 Class A, US FED + 1.25% ¹		64,340		2.35		2/27/34		64,113


								5,041,967

Total Collateralized Mortgage Obligations (cost: $13,465,682)								13,617,549


Corporate Bonds - 22.8%
Allied World Assurance Co. Holdings, Ltd.		800,000		4.35		10/29/25		844,717
Arrow Electronics, Inc.		1,000,000		4.00		4/1/25		1,054,329
Booking Holdings		800,000		3.65		3/15/25		854,204
Brown & Brown, Inc.		1,000,000		4.20		9/15/24		1,063,831
Citizens Financial Group, Inc. (Subordinated)		464,000		3.75		7/1/24		481,930
Comcast Corp.		400,000		3.38		2/15/25		422,101
Credit Suisse Group Funding Guernsey, Ltd. ⁴		400,000		3.75		3/26/25		423,421
CVS Health Corp.		900,000		4.10		3/25/25		966,298
Delta Air Lines 2015-1 Class A Pass Through Trust		620,096		3.88		7/30/27		649,950
Doric Nimrod Air Finance Alpha 2012-1 Trust ⁴		380,158		5.13		11/30/22		388,922
Duke Energy Florida, LLC		1,000,000		1.73		9/1/22		994,199
Equifax, Inc.		1,000,000		2.60		12/1/24		1,006,286
Glencore Finance Canada, Ltd. ⁴		1,000,000		4.95		11/15/21		1,045,771


2

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2019

Sit Quality Income Fund (Continued)



Name of Issuer	Principal Amount ($)		Coupon Rate (%)		Maturity Date		Fair Value ($)

Hawaiian Airlines Pass Through Certificates, Series 2013-1, Class A		700,251		3.90		1/15/26		708,971
Kraft Heinz Foods Co. ⁴		684,000		4.88		2/15/25		702,791
Liberty Mutual Insurance Co. (Subordinated) ⁴		700,000		8.50		5/15/25		871,908
Marathon Petroleum Corp.		650,000		5.38		10/1/22		656,910
Nationwide Mutual Insurance Co. (Subordinated), 3 Mo. Libor + 2.29% ^1,⁴		725,000		4.18		12/15/24		724,026
Prudential Insurance Co. of America (Subordinated) ⁴		400,000		8.30		7/1/25		513,603
RenaissanceRe Finance, Inc.		500,000		3.70		4/1/25		528,932
Sherwin-Williams Co.		800,000		3.30		2/1/25		812,629
Silversea Cruise Finance, Ltd. ⁴		800,000		7.25		2/1/25		846,000
TCF National Bank (Subordinated), 3 Mo. Libor + 2.38% ¹		750,000		4.13		7/2/29		753,211
Toronto-Dominion Bank		1,000,000		4.03		2/15/29		1,000,129
United Airlines 2013-1 Class A Pass Through Trust		820,386		4.30		8/15/25		879,192
US Airways 2012-2 Class A Pass Through Trust		147,525		4.63		6/3/25		159,146
US Airways 2013-1 Class A Pass Through Trust		652,360		3.95		11/15/25		686,182


Total Corporate Bonds (cost: $19,732,981)								20,039,589


Mortgage Pass-Through Securities - 6.8%
Federal Home Loan Mortgage Corporation - 0.7%
Freddie Mac		129,362		3.00		9/1/27		133,373
Freddie Mac		27,334		3.50		7/1/26		28,337
Freddie Mac		172,143		4.00		7/1/26		180,055
Freddie Mac		185,551		4.00		1/1/27		195,832
Freddie Mac		5,404		4.50		12/1/21		5,581
Freddie Mac		8,353		4.50		7/1/26		8,639
Freddie Mac		12,308		5.00		10/1/25		13,151
Freddie Mac		577		5.50		5/1/20		578
Freddie Mac		119		5.50		7/1/20		119
Freddie Mac		249		5.50		12/1/20		249
Freddie Mac		6,832		5.50		3/1/21		6,903
Freddie Mac		6,490		5.50		3/1/21		6,520


								579,337

Federal National Mortgage Association - 3.0%
Fannie Mae		297,551		2.50		6/1/23		300,191
Fannie Mae		213,824		3.00		8/1/28		219,435
Fannie Mae		1,321,496		3.23		11/1/20		1,323,335
Fannie Mae		501,205		3.50		1/1/26		519,291
Fannie Mae		14,492		4.00		9/1/24		15,105
Fannie Mae		106,574		4.00		6/1/25		111,119
Fannie Mae		19,384		4.00		10/1/31		20,645
Fannie Mae		91,194		4.50		4/1/25		95,461
Fannie Mae		13,449		5.00		9/1/20		13,894
Fannie Mae		960		5.50		1/1/21		962
Fannie Mae		885		5.50		10/1/21		888


								2,620,326

Government National Mortgage Association - 0.1%
Ginnie Mae, US Treasury + 1.50% ¹		35,482		3.88		4/20/33		36,861
Ginnie Mae, US Treasury + 1.50% ¹		8,484		3.88		4/20/42		8,738


DECEMBER 31, 2019				3

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2019

Sit Quality Income Fund (Continued)



Name of Issuer	Principal Amount ($)		Coupon Rate (%)		Maturity Date		Fair Value ($)

Ginnie Mae		18,240		5.00		12/20/23		19,438
Ginnie Mae		11,936		5.00		9/15/24		12,317
Ginnie Mae		38,354		5.00		6/20/26		41,980


								119,334

Other Federal Agency Securities - 3.0%
Small Business Administration Pools, PRIME - 2.50% ¹		655,875		2.50		5/25/43		655,979
Small Business Administration Pools, PRIME + 0.77% ¹		489,365		5.77		3/25/30		528,443
Small Business Administration Pools, PRIME + 0.80% ¹		1,343,371		5.80		2/25/28		1,443,337


								2,627,759


Total Mortgage Pass-Through Securities (cost: $5,935,236)								5,946,756


Taxable Municipal Bonds - 7.2%
Atlanta Downtown Development Authority ¹⁷		435,000		6.88		2/1/21		447,937
Berks County Industrial Development Authority		270,000		3.20		5/15/21		270,759
City of Wilkes-Barre PA ¹⁷		1,000,000		3.24		11/15/21		1,025,990
City of Worcester MA ¹⁷		250,000		6.75		11/1/34		260,340
Colorado Housing & Finance Authority		10,000		4.00		11/1/31		10,288
Kentucky Higher Education Student Loan Corp.		605,000		3.92		6/1/32		638,904
Massachusetts Educational Financing Authority		480,000		4.00		1/1/32		495,408
Massachusetts Educational Financing Authority		750,000		4.41		7/1/34		794,033
New Hampshire Housing Finance Authority		375,000		4.00		7/1/35		382,965
New Hampshire Housing Finance Authority		10,000		4.00		1/1/37		10,347
New Jersey Economic Development Authority		365,000		4.43		12/1/21		374,005
New Jersey Economic Development Authority		500,000		2.88		6/15/24		494,785
Patoka Lake Regional Water & Sewer District		705,000		2.33		1/1/25		704,020
Tennessee Housing Development Agency		85,000		3.50		7/1/31		86,280
Wisconsin Public Finance Authority (Statler Hilton) ⁶		500,000		3.50		12/15/27		378,370


Total Taxable Municipal Bonds (cost: $6,307,694)								6,374,431


U.S. Treasury / Federal Agency Securities - 34.9%
Federal Agency Issues - 1.5%
Federal Agricultural Mortgage Corp., 3 Mo. Libor + 0.37% ¹		250,000		2.26		3/9/23		252,074
Pershing Road Development Co., LLC, 3 Mo. Libor + 0.40% ^1,⁴		275,000		2.31		9/15/21		275,000
U.S. Department of Housing and Urban Development		800,000		4.28		8/1/27		810,629


								1,337,703

U.S. Treasury - 33.4%
U.S. Treasury Bill ⁶		4,000,000		1.44		1/14/20		3,998,043
U.S. Treasury Floating Rate Note, 3 Mo. Libor + 0.04% ¹		2,500,000		1.57		7/31/20		2,499,348
U.S. Treasury Floating Rate Note, 3 Mo. Libor + 0.05% ¹		4,000,000		1.57		10/31/20		3,998,077
U.S. Treasury Inflation Indexed Bonds		1,769,328		0.38		7/15/23		1,793,771
U.S. Treasury Note		3,500,000		1.25		1/31/20		3,498,874
U.S. Treasury Note		1,500,000		1.50		8/31/21		1,497,656
U.S. Treasury Note		4,000,000		1.75		7/31/21		4,009,688
U.S. Treasury Note		4,000,000		2.00		2/28/21		4,016,406
U.S. Treasury Note		4,000,000		2.25		11/15/24		4,104,844


								29,416,707


Total U.S. Treasury / Federal Agency Securities (cost: $30,591,322)								30,754,410


4

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2019

Sit Quality Income Fund (Continued)

Name of Issuer

Principal
Amount ($)

Fair

Value ($)

Short-Term Securities - 2.8%

Fidelity Inst. Money Mkt. Gvt. Fund, 1.49%

2,456,852

(cost: $2,456,852)

Total Investments in Securities - 99.5%
(cost: $86,842,943)

87,559,209

Other Assets and Liabilities, net - 0.5%

482,550

Total Net Assets - 100.0%

$88,041,759

Variable rate security. Rate disclosed is as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions.

⁴	144A Restricted Security. The total value of such securities as of December 31, 2019 was $14,767,652 and represented 16.8% of net assets. These securities have been determined to be liquid by the Adviser in accordance with guidelines established by the Board of Directors.

⁶	Zero coupon or convertible capital appreciation bond, for which the rate disclosed is either the effective yield on purchase date or the coupon rate to be paid upon conversion to coupon paying.

¹⁴	Step Coupon: A bond that pays a coupon rate that increases on a specified date(s). Rate disclosed is as of December 31, 2019.

¹⁷	Security that is either an absolute and unconditional obligation of the United States Government or is collateralized by securities, loans, or leases guaranteed by the U.S. Government or its agencies or instrumentalities.

Numeric footnotes not disclosed are not applicable to this Schedule of Investments.


DECEMBER 31, 2019				5

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2019

Sit Quality Income Fund (Continued)

Short futures contracts outstanding as of December 31, 2019 were as follows:

Type

Contracts

Expiration
Date

Notional
Amount ($)

Value/
Unrealized
Appreciation
(Depreciation) ($)

Short Futures: ¹⁰

U.S. Treasury 5-Year

160

March 2020

(18,977,501)

72,889

¹⁰	The amount of $500,000 in cash was segregated with the broker to cover margin requirements for derivative transactions as of December 31, 2019.

A summary of the levels for the Fund’s investments as of December 31, 2019 is as follows:


	Investment in Securities
	Level 1		Level 2		Level 3
	Quoted Price ($)		Other Significant Observable Inputs ($)		Other Significant Observable Inputs ($)		Total ($)
Assets
Asset-Backed Securities		—		8,369,622		—		8,369,622
Collateralized Mortgage Obligations		—		13,617,549		—		13,617,549
Corporate Bonds		—		20,039,589		—		20,039,589
Mortgage Pass-Through Securities		—		5,946,756		—		5,946,756
Taxable Municipal Bonds		—		6,374,431		—		6,374,431
U.S. Treasury / Federal Agency Securities		—		30,754,410		—		30,754,410
Short-Term Securities		2,456,852		—		—		2,456,852
Futures		72,889		—		—		72,889
.		2,529,741		85,102,357		—		87,632,098

There were no transfers into or out of level 3 during the reporting period.

For additional information about significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual report.


6