0001752724-20-164387.txt : 20200824 0001752724-20-164387.hdr.sgml : 20200824 20200824092515 ACCESSION NUMBER: 0001752724-20-164387 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20200630 FILED AS OF DATE: 20200824 PERIOD START: 20210331 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SIT MUTUAL FUNDS II INC CENTRAL INDEX KEY: 0000746601 IRS NUMBER: 000000000 STATE OF INCORPORATION: MN FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04033 FILM NUMBER: 201124850 BUSINESS ADDRESS: STREET 1: 3300 IDS CTR, 80 S. 8TH STREET CITY: MINNEAPOLIS STATE: MN ZIP: 55402 BUSINESS PHONE: 612-332-3223 MAIL ADDRESS: STREET 1: 3300 IDS CTR, 80 S. 8TH STREET CITY: MINNEAPOLIS STATE: MN ZIP: 55402 FORMER COMPANY: FORMER CONFORMED NAME: SIT NEW BEGINNING TAX FREE INCOME FUND INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: SIT NEW BEGINNING YIELD FUND INC DATE OF NAME CHANGE: 19880929 FORMER COMPANY: FORMER CONFORMED NAME: NEW BEGINNING YIELD FUND INC DATE OF NAME CHANGE: 19870907 0000746601 S000039473 Sit Quality Income Fund C000121593 Sit Quality Income Fund SQIFX NPORT-P 1 primary_doc.xml NPORT-P false 0000746601 XXXXXXXX S000039473 C000121593 SIT MUTUAL FUNDS II INC 811-04033 0000746601 2549002D9C8PNDJXIE31 80 S. 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935558.41000000 0.968106761984 Long ABS-MBS USGSE US N 2 2044-03-25 Fixed 7.00000000 N N N N N N MINNESOTA LIFE INSURANCE 9KZ0AU45N94Q59NRQD91 Minnesota Life Insurance Co 604074AA2 750000.00000000 PA USD 962819.93000000 0.996316718275 Long DBT CORP US N 2 2025-09-15 Fixed 8.25000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137B4PT7 458717.90000000 PA USD 552648.88000000 0.571875696923 Long ABS-MBS USGSE US N 2 2036-02-15 Fixed 6.50000000 N N N N N N MASTR Alternative Loans Trust N/A MASTR Alternative Loan Trust 2003-4 576434EK6 66872.26000000 PA USD 71146.23000000 0.073621428247 Long ABS-MBS CORP US N 2 2033-06-25 Fixed 6.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36225CXQ4 33982.92000000 PA USD 35543.81000000 0.036780389593 Long ABS-MBS USGA US N 2 2033-04-20 Floating 3.87500000 N N N N N N NEW JERSEY ST ECON DEV AUTH RE 5493006JS6QWDVU4R678 New Jersey Economic Development Authority 64577B8A5 500000.00000000 PA USD 486690.00000000 0.503622088106 Long DBT MUN US N 2 2024-06-15 Fixed 2.88100000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128PVWH9 144869.13000000 PA USD 153593.84000000 0.158937414824 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.00000000 N N N N N N US TREASURY FRN 254900HROIFWPRGM1V77 United States Treasury Floating Rate Note 9128285H9 2250000.00000000 PA USD 2250246.96000000 2.328533712941 Long DBT UST US N 2 2020-10-31 Floating 0.20006075 N N N N N N FannieMae Grantor Trust N/A Fannie Mae Grantor Trust 2004-T1 31393XFZ5 427541.03000000 PA USD 455923.64000000 0.471785357402 Long ABS-MBS USGSE US N 2 2043-08-25 Variable 3.67465000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUN N/A Bayview Opportunity Master Fund IVa Trust 2017-SPL5 07331UAA6 314093.97000000 PA USD 323615.01000000 0.334873671287 Long ABS-MBS CORP US N 2 2057-06-28 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31381TYB0 1670486.28000000 PA USD 1717434.98000000 1.777185047597 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 2.99000000 N N N N N N Sequoia Mortgage Trust N/A Sequoia Mortgage Trust 2018-3 81746VAD2 376654.94000000 PA USD 383056.34000000 0.396382982624 Long ABS-MBS CORP US N 2 2048-03-25 Variable 3.50000000 N N N N N N MASTR Alternative Loans Trust N/A MASTR Alternative Loan Trust 2003-8 576434JU9 57888.21000000 PA USD 59034.70000000 0.061088534559 Long ABS-MBS CORP US N 2 2033-12-25 Fixed 5.50000000 N N N N N N SBA TOWER TRUST N/A SBA Tower Trust 78403DAH3 750000.00000000 PA USD 792024.38000000 0.819579140905 Long DBT CORP US N 2 2024-10-08 Fixed 3.86900000 N N N N N N Towd Point Mortgage Trust N/A Towd Point Mortgage Trust 2019-MH1 89177WAB5 800000.00000000 PA USD 814115.84000000 0.842439169289 Long ABS-MBS CORP US N 2 2058-11-25 Variable 3.00000000 N N N N N N New Residential Mortgage Loan N/A New Residential Mortgage Loan Trust 2017-2 64829KBW9 482232.45000000 PA USD 517678.17000000 0.535688345646 Long ABS-MBS CORP US N 2 2057-03-25 Variable 4.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137F4R20 642711.25000000 PA USD 653607.84000000 0.676347048806 Long ABS-MBS USGSE US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128MMWW9 660892.05000000 PA USD 699214.20000000 0.723540067472 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3.50000000 N N N N N N New Residential Mortgage Loan N/A New Residential Mortgage Loan Trust 2017-3 64828MAA5 503284.12000000 PA USD 538274.04000000 0.557000752015 Long ABS-MBS CORP US N 2 2057-04-25 Variable 4.00000000 N N N N N N MASTR Asset Securitization Tru N/A MASTR Asset Securitization Trust 2005-2 57643MLC6 29000.00000000 PA USD 29137.68000000 0.030151388448 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.35000000 N N N N N N NEW HAMPSHIRE ST HSG FIN AUTHS N/A New Hampshire Housing Finance Authority 64469DYM7 5000.00000000 PA USD 5192.75000000 0.005373407298 Long DBT MUN US N 2 2037-01-01 Fixed 4.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136B0DR4 654951.80000000 PA USD 670371.26000000 0.693693673114 Long ABS-MBS USGSE US N 2 2046-10-25 Fixed 3.50000000 N N N N N N LIBERTY MUTUAL INSURANCE CNC20I6IOMGF7KY49D67 Liberty Mutual Insurance Co 53079QAB3 700000.00000000 PA USD 900999.16000000 0.932345185522 Long DBT CORP US N 2 2025-05-15 Fixed 8.50000000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A New York City Transitional Finance Authority Future Tax Secured Revenue 64971MZH8 750000.00000000 PA USD 751905.00000000 0.778063995886 Long DBT MUN US N 2 2039-08-01 Fixed 6.26700000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2019-4 35563PMT3 459283.26000000 PA USD 511188.47000000 0.528972867076 Long ABS-MBS USGSE US N 2 2059-02-25 Fixed 4.00000000 N N N N N N NEW JERSEY ST ECON DEV AUTH SC 5493006JS6QWDVU4R678 New Jersey Economic Development Authority 645912FP6 365000.00000000 PA USD 375179.85000000 0.388232467222 Long DBT MUN US N 2 2021-12-01 Fixed 4.43000000 N N N N N N MASSACHUSETTS ST EDUCTNL FING 5493007K5OP7V6CL0Y88 Massachusetts Educational Financing Authority 57563RPQ6 750000.00000000 PA USD 837420.00000000 0.866554087863 Long DBT MUN US N 2 2034-07-01 Fixed 4.40800000 N N N N N N DELTA AIR LINES 2015-1A N/A Delta Air Lines 2015-1 Class A Pass Through Trust 24736YAA4 603658.38960000 PA USD 531150.26000000 0.549629133616 Long DBT CORP US N 2 2027-07-30 Fixed 3.87500000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AE6K8 88331.16000000 PA USD 89188.41000000 0.092291300990 Long ABS-MBS USGSE US N 2 2023-07-25 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416WH62 90953.23000000 PA USD 96224.26000000 0.099571930279 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.00000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 9127962J7 4500000.00000000 PA USD 4498217.51000000 4.654711818909 Long DBT UST US N 2 2020-10-01 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J5FF1 1022949.32000000 PA USD 1174347.61000000 1.215203508417 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ENX3 732767.09000000 PA USD 867901.75000000 0.898096306903 Long ABS-MBS USGA US N 2 2037-07-20 Fixed 6.00000000 N N N N N N OSCAR US Funding Trust 3538001UYSCP1K1A1R98 OSCAR US Funding Trust VI LLC 687846AE5 822857.20000000 PA USD 832070.00000000 0.861017959791 Long ABS-O CORP JP N 2 2024-05-10 Fixed 3.30000000 N N N N N N TENNESSEE HSG DEV AGY RSDL FIN N/A Tennessee Housing Development Agency 880461MM7 70000.00000000 PA USD 71229.20000000 0.073707284797 Long DBT MUN US N 2 2031-07-01 Fixed 3.50000000 N N N N N N Vendee Mortgage Trust N/A Vendee Mortgage Trust 1993-1 911760BX3 41353.01000000 PA USD 43993.41000000 0.045523953660 Long ABS-MBS USGA US N 2 2023-02-15 Fixed 7.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418ACN6 1062758.67000000 PA USD 1137006.09000000 1.176562865964 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138L3U37 1272596.64000000 PA USD 1321266.49000000 1.367233739422 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 2.35000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36241LYH3 31847.20000000 PA USD 34443.29000000 0.035641582179 Long ABS-MBS USGA US N 2 2026-06-20 Fixed 5.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31394E6X1 1373.26000000 PA USD 1379.17000000 0.001427151729 Long ABS-MBS USGSE US N 2 2035-07-25 Fixed 5.50000000 N N N N N N CAPITAL ONE BANK USA NA LKE37K2B8CFZUR7F9816 Capital One Bank USA NA 14042TCT2 175000.00000000 PA USD 177595.45000000 0.183774047889 Long DBT CORP US N 2 2026-01-28 Fixed 2.28000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QDY99 1795309.51000000 PA USD 1925069.45000000 1.992043181819 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 3.00000000 N N N N N N PRUDENTIAL INSURANCE CO X574KRZ6V5A7UBU45C31 Prudential Insurance Co of America/The 743917AH9 700000.00000000 PA USD 908322.08000000 0.939922872060 Long DBT CORP US N 2 2025-07-01 Fixed 8.30000000 N N N N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 Georgia-Pacific LLC 373298BN7 645000.00000000 PA USD 824297.43000000 0.852974979797 Long DBT CORP US N 2 2025-12-01 Fixed 7.37500000 N N N N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2020-2 46591TAF1 882551.07000000 PA USD 904657.92000000 0.936131234857 Long ABS-MBS CORP US N 2 2050-07-25 Variable 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828B90 4000000.00000000 PA USD 4047812.48000000 4.188637065571 Long DBT UST US N 2 2021-02-28 Fixed 2.00000000 N N N N N N FIDELITY INVESTMENTS MONEY MARKET FUNDS - GOVERNMENT PORTFOLIO N/A FIDELITY GOVERNMENT PORT-I 316175108 16352553.55000000 NS USD 16352553.55000000 16.92146369296 Long STIV RF US N 1 N N N Freddie Mac N/A Freddie Mac Gold Pool 3128P7AZ6 10529.55000000 PA USD 11484.54000000 0.011884090521 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 5.00000000 N N N N N N Sequoia Mortgage Trust N/A Sequoia Mortgage Trust 2017-4 81745XAD9 158313.44000000 PA USD 160281.93000000 0.165858185441 Long ABS-MBS CORP US N 2 2047-07-25 Variable 3.50000000 N N N N N N FINANCIAL CONSULTING SERVICES GROUP LLC N/A FINANCIAL CONSULTING SERVICES GROUP LLC 31742PAA0 1000000.00000000 PA USD 1010497.60000000 1.045653108424 Long DBT CORP US N 2 2021-02-01 Fixed 5.50000000 N N N N N N NCUA Guaranteed Notes N/A NCUA Guaranteed Notes Trust 2010-R3 62888WAB2 890046.56000000 PA USD 890046.47000000 0.921011448218 Long ABS-MBS USGA US N 2 2020-12-08 Floating 0.73363000 N N N N N N COLORADO ST HSG & FIN AUTH 5493005GIROYQAWBMC18 Colorado Housing and Finance Authority 196479XN4 5000.00000000 PA USD 5148.30000000 0.005327410869 Long DBT MUN US N 2 2031-11-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137A6YN6 218821.25000000 PA USD 227297.16000000 0.235204894984 Long ABS-MBS USGSE US N 2 2026-02-15 Fixed 3.50000000 N N N N N N Centex Home Equity N/A Centex Home Equity Loan Trust 2004-A 152314HZ6 310000.00000000 PA USD 315157.19000000 0.326121601244 Long ABS-MBS CORP US N 2 2034-01-25 Variable 5.43000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137FDKH4 698667.92000000 PA USD 719719.06000000 0.744758297576 Long ABS-MBS USGSE US N 2 2044-08-15 Fixed 3.00000000 N N N N N N 2020-08-20 SIT MUTUAL FUNDS II INC Paul Rasmussen Paul Rasmussen VP, Treasurer & Chief Compliance Officer XXXX NPORT-EX 2 SI15SitQualityIncomeFund.htm HTML

 

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2020

Sit Quality Income Fund

 

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

Asset-Backed Securities - 8.8%

            

Agency - 1.2%

            

FNMA Grantor Trust, Series 2004-T5, Class A11 1

     597,740        0.75        5/28/35        583,335  

FNMA REMICS, Series 2001-W2, Class AS5 14

     1,860        6.47        10/25/31        1,895  

Small Business Administration, Series 2006-20D, Class 1

      170,625        5.64        4/1/26        183,791  

Small Business Administration, Series 2007-20B, Class 1

      155,686        5.49        2/1/27        168,693  

Small Business Administration, Series 2007-20J, Class 1

      225,335        5.57        10/1/27        242,945  
           

 

 

  
                    1,180,659  
           

 

 

  

Non-Agency - 7.6%

            

ACE Securities Corp. Manufactured Housing Trust, Series 2003-MH1, Class M2 1, 4

      499,642        6.50        8/15/30        531,920  

Aegis Asset Backed Securities Corp., Series 2003-2, Class M1, 1 Mo. Libor + 1.13% 1

     747,206        1.31        11/25/33        703,406  

Bayview Opportunity Master Fund, Series 2017-SPL5, Class A 1, 4

      314,094        3.50        6/28/57        323,615  

Centex Home Equity Loan Trust, Series 2004-A, Class AF4 14

     102,684        5.01        8/25/32        106,619  

Centex Home Equity Loan Trust, Series 2004-A, Class AF5 14

     310,000        5.43        1/25/34        315,157  

Centex Home Equity Loan Trust, Series 2004-D, Class AF6 14

     1,149        5.17        9/25/34        1,155  

CIT Home Equity Loan Trust, Series 2003-1, Class A6 14

     141        4.56        10/20/32        141  

Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3 14

     78,008        5.12        2/25/35        77,894  

GSAMP Trust, Series 2004-FM1, Class M1, 1 Mo. Libor + 0.98% 1

     161,810        1.16        11/25/33        156,544  

Home Equity Mortgage Loan Asset-Backed Trust, Series 2003-A, Class AV2, 1 Mo. Libor + 0.86% 1

     316,892        1.04        10/25/33        310,190  

Mill City Mortgage Loan Trust, Series 2017-3, Class A1 1, 4

      257,753        2.75        1/25/61        263,720  

New Century Home Equity Loan Trust, Series 2003-5, Class AI7 1

     2,576        5.04        11/25/33        2,651  

OSCAR US Funding Trust IX, LLC, Series 2018-2A, Class A4 4

     500,000        3.63        9/10/25        517,901  

OSCAR US Funding Trust VI, LLC, Series 2017-1A, Class A4 4

     822,857        3.30        5/10/24        832,070  

Towd Point Mortgage Trust, Series 2019-MH1, Class A1A 1, 4

      928,616        2.18        2/25/60        940,395  

Towd Point Mortgage Trust, Series 2019-MH1, Class A2 1, 4

      800,000        3.00        11/25/58        814,116  

Towd Point Mortgage Trust, Series 2019-SJ1, Class A1 1, 4

      836,161        3.75        11/25/58        843,237  

Towd Point Mortgage Trust, Series 2019-SJ3, Class A1 1, 4

      600,596        3.00        11/25/59        610,079  
           

 

 

  
              7,350,810  
           

 

 

  

Total Asset-Backed Securities
(cost: $8,458,172)

               8,531,469  
           

 

 

  

Collateralized Mortgage Obligations - 15.9%

            

Agency - 9.1%

            

FHLMC REMICS, Series 2528, Class KM

      20,811        5.50        11/15/22        21,557  

FHLMC REMICS, Series 3104, Class BY

      95,166        5.50        1/15/26        102,897  

FHLMC REMICS, Series 3806, Class JA

      218,821        3.50        2/15/26        227,297  

FHLMC REMICS, Series 4246, Class PT

      458,718        6.50        2/15/36        552,649  

FHLMC REMICS, Series 4759, Class NA

      698,668        3.00        8/15/44        719,719  

FHLMC REMICS, Series 4776, Class QG

      642,711        3.00        9/15/42        653,608  

FHLMC Structured Pass-Through Certificates, Series T-60, Class 1A2

      764,998        7.00        3/25/44        935,558  

FNMA Grantor Trust, Series 2004-T1, Class 2A 1

     427,541        3.67        8/25/43        455,924  

FNMA REMICS, Series 2003-52, Class NA

      23,116        4.00        6/25/23        23,532  

FNMA REMICS, Series 2005-68, Class PC

      1,373        5.50        7/25/35        1,379  

FNMA REMICS, Series 2008-65, Class CD

      93        4.50        8/25/23        93  

FNMA REMICS, Series 2009-13, Class NX

      938        4.50        3/25/24        961  

FNMA REMICS, Series 2009-71, Class MB

      26,061        4.50        9/25/24        26,961  

FNMA REMICS, Series 2009-88, Class DA

      83        4.50        10/25/20        83  

FNMA REMICS, Series 2012-19, Class GH

      22,127        3.00        11/25/30        22,709  

FNMA REMICS, Series 2013-74, Class AD

      88,331        2.00        7/25/23        89,188  

FNMA REMICS, Series 2017-97, Class DP

      654,952        3.50        10/25/46        670,371  

FNMA REMICS, Series 2018-1, Class TE

      421,014        3.50        3/25/44        436,065  

FNMA REMICS, Series 2018-25, Class AG

      560,796        3.50        4/25/47        599,304  

 

 

JUNE 30, 2020    1

 

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2020

Sit Quality Income Fund (Continued)

 

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

FRESB Mortgage Trust, Series 2018-SB45, Class A5H 1

     777,184        2.96        11/25/37        817,385  

FRESB Mortgage Trust, Series 2018-SB46, Class A5H 1

     822,240        2.89        12/25/37        865,164  

NCUA Guaranteed Notes Trust, Series 2010-R1, Class 1A, 1 Mo. Libor + 0.45% 1

     185,237        0.62        10/7/20        184,978  

NCUA Guaranteed Notes Trust, Series 2010-R3, Class 2A, 1 Mo. Libor + 0.56% 1

     890,047        0.73        12/8/20        890,046  

Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D

      459,283        4.00        2/25/59        511,188  

Vendee Mortgage Trust, Series 1993-1, Class ZB

      41,353        7.25        2/15/23        43,993  
           

 

 

  
                    8,852,609  
           

 

 

  

Non-Agency - 6.8%

            

Bear Stearns ALT-A Trust, Series 2004-12, Class 1A1, 1 Mo. Libor + 0.70% 1

     423,895        0.88        1/25/35        421,639  

COLT Mortgage Loan Trust, Series 2019-1, Class A1 1, 4

      229,934        3.71        3/25/49        232,253  

GSR Mortgage Loan Trust, Series 2005-5F, Class 8A1, 1 Mo. Libor + 0.50% 1

     30,275        0.68        6/25/35        28,061  

JP Morgan Mortgage Trust, Series 2020-2, Class A4 1, 4

      882,551        3.50        7/25/50        904,658  

MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1 1

     140,281        4.09        11/21/34        140,285  

MASTR Alternative Loan Trust, Series 2003-4, Class 2A1

      66,872        6.25        6/25/33        71,146  

MASTR Alternative Loan Trust, Series 2003-5, Class 4A1

      81,623        5.50        7/25/33        84,533  

MASTR Alternative Loan Trust, Series 2003-8, Class 3A1

      57,888        5.50        12/25/33        59,035  

MASTR Asset Securitization Trust, Series 2005-2, Class 1A3

      29,000        5.35        11/25/35        29,138  

New Residential Mortgage Loan Trust, Series 2017-2A, Class A4 1, 4

      482,232        4.00        3/25/57        517,678  

New Residential Mortgage Loan Trust, Series 2017-3A, Class A1 1, 4

      503,284        4.00        4/25/57        538,274  

New Residential Mortgage Loan Trust, Series 2017-5A, Class A1, 1 Mo. Libor + 1.50% 1, 4

      212,306        1.68        6/25/57        212,610  

New Residential Mortgage Loan Trust, Series 2018-1A, Class A1A 1, 4

      346,576        4.00        12/25/57        367,245  

New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S, 1 Mo. Libor + 0.75% 1, 4

      554,809        0.93        1/25/48        549,098  

Oaks Mortgage Trust, Series 2015-1, Class A9 1, 4

      401,950        3.00        4/25/46        401,475  

Prime Mortgage Trust, Series 2004-CL1, Class 1A1

      53,654        6.00        2/25/34        56,834  

RAAC Trust, Series 2004-SP3, Class AI5 1

     157        4.89        12/25/32        159  

Sequoia Mortgage Trust, Series 2012-2, Class B1 1

     478,317        4.21        4/25/42        490,207  

Sequoia Mortgage Trust, Series 2017-4, Class A4 1, 4

      158,313        3.50        7/25/47        160,282  

Sequoia Mortgage Trust, Series 2018-3, Class A4 1, 4

      376,655        3.50        3/25/48        383,056  

Sequoia Mortgage Trust, Series 2020-2, Class A4 1, 4

      789,269        3.50        3/25/50        813,380  

Structured Asset Securities, Corp. Mtg Pass-Through Certificates, Series 2003-22A, Class 3A 1

     51,498        3.22        6/25/33        51,545  

WaMu Mortgage Pass Through Certificates, Series 2002-AR2 Class A, US FED + 1.25% 1

     77,218        1.99        2/27/34        73,561  
           

 

 

  
              6,586,152  
           

 

 

  

Total Collateralized Mortgage Obligations
(cost: $15,054,226)

               15,438,761  
           

 

 

  

Corporate Bonds - 20.4%

            

AmSouth Bancorp. (Subordinated)

      750,000        6.75        11/1/25        910,423  

Bank of America Corp., SOFRRATE + 1.15% 1

     600,000        1.32        6/19/26        601,561  

Capital One Bank USA NA, SOFRRATE + 0.91% 1

     175,000        2.28        1/28/26        177,595  

Citizens Financial Group, Inc. (Subordinated)

      900,000        3.75        7/1/24        967,517  

Comerica Bank (Subordinated)

      500,000        4.00        7/27/25        541,941  

Credit Suisse Group Funding Guernsey, Ltd. 4

     450,000        3.75        3/26/25        496,054  

Delta Air Lines 2015-1 Class A Pass Through Trust

      603,658        3.88        7/30/27        531,150  

Discover Bank

      400,000        4.25        3/13/26        449,614  

Doric Nimrod Air Finance Alpha 2012-1 Trust 4

     320,644        5.13        11/30/22        296,647  

Duke Energy Florida Project Finance, LLC

      891,480        1.73        9/1/22        892,155  

Fidelity & Guaranty Life Holdings, Inc. 4

     900,000        5.50        5/1/25        972,000  

Fulton Financial Corp. (Subordinated)

      900,000        4.50        11/15/24        964,187  

Georgia-Pacific, LLC

      645,000        7.38        12/1/25        824,297  

John Hancock Life Insurance Co. (Subordinated) 4

     900,000        7.38        2/15/24        1,044,752  

JPMorgan Chase & Co., 3 Mo. Libor + 0.80% 1

     900,000        1.25        5/10/23        896,841  

 

 

2   

 

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2020

Sit Quality Income Fund (Continued)

 

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

KeyBank (Subordinated)

      500,000        3.40        5/20/26        551,548  

Liberty Mutual Insurance Co. (Subordinated) 4

     700,000        8.50        5/15/25        900,999  

Metropolitan Life Insurance Co. (Subordinated) 4

     750,000        7.80        11/1/25        972,604  

Minnesota Life Insurance Co. (Subordinated) 4

     750,000        8.25        9/15/25        962,820  

Nationwide Mutual Insurance Co. (Subordinated), 3 Mo. Libor + 2.29% 1, 4

      725,000        2.60        12/15/24        721,826  

NetApp, Inc.

      300,000        1.88        6/22/25        304,275  

Prudential Insurance Co. of America (Subordinated) 4

     700,000        8.30        7/1/25        908,322  

RenaissanceRe Finance, Inc.

      500,000        3.70        4/1/25        532,660  

SBA Tower Trust, Series 2014-2A, Class C 4

     750,000        3.87        10/8/24        792,024  

TIAA FSB Holdings, Inc. (Subordinated)

      750,000        5.75        7/2/25        824,589  

United Airlines 2014-2 Class B Pass Through Trust

      580,877        4.63        9/3/22        512,042  

Upjohn, Inc. 4

     200,000        1.65        6/22/25        203,926  

Webster Financial Corp.

      950,000        4.38        2/15/24        998,145  
           

 

 

  

Total Corporate Bonds
(cost: $19,563,849)

                   19,752,514  
           

 

 

  

Mortgage Pass-Through Securities - 20.3%

            

Federal Home Loan Mortgage Corporation - 3.9%

            

Freddie Mac

      620,444        2.00        11/1/31        645,060  

Freddie Mac

      781,560        2.00        8/1/32        812,718  

Freddie Mac

      112,751        3.00        9/1/27        119,220  

Freddie Mac

      1,044,659        3.00        1/1/35        1,109,752  

Freddie Mac

      23,320        3.50        7/1/26        24,520  

Freddie Mac

      660,892        3.50        9/1/32        699,214  

Freddie Mac

      144,869        4.00        7/1/26        153,594  

Freddie Mac

      159,473        4.00        1/1/27        169,223  

Freddie Mac

      443        4.50        12/1/21        466  

Freddie Mac

      6,103        4.50        7/1/26        6,427  

Freddie Mac

      10,530        5.00        10/1/25        11,485  

Freddie Mac

      2        5.50        12/1/20        2  

Freddie Mac

      2,747        5.50        3/1/21        2,766  

Freddie Mac

      1,004        5.50        3/1/21        1,008  
           

 

 

  
              3,755,455  
           

 

 

  

Federal National Mortgage Association - 13.0%

            

Fannie Mae

      1,272,597        2.35        5/1/23        1,321,266  

Fannie Mae

      1,171,634        2.50        2/1/35        1,233,835  

Fannie Mae

      1,670,486        2.99        3/1/22        1,717,435  

Fannie Mae

      189,832        3.00        8/1/28        199,647  

Fannie Mae

      966,267        3.00        9/1/32        1,026,916  

Fannie Mae

      1,795,310        3.00        6/1/40        1,925,069  

Fannie Mae

      1,302,756        3.23        11/1/20        1,301,868  

Fannie Mae

      419,741        3.50        1/1/26        441,388  

Fannie Mae

      1,062,759        3.50        2/1/32        1,137,006  

Fannie Mae

      12,267        4.00        9/1/24        12,967  

Fannie Mae

      90,953        4.00        6/1/25        96,224  

Fannie Mae

      17,437        4.00        10/1/31        18,778  

Fannie Mae

      74,978        4.50        4/1/25        79,969  

Fannie Mae

      2,805        5.00        9/1/20        2,947  

Fannie Mae

      42        5.50        1/1/21        42  

Fannie Mae

      197        5.50        10/1/21        198  

 

 

JUNE 30, 2020    3

 

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2020

Sit Quality Income Fund (Continued)

 

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

Fannie Mae

      749,257        5.50        8/1/40        879,495  

Fannie Mae

      1,022,949        5.50        2/1/42        1,174,348  
           

 

 

  
                  12,569,398  
           

 

 

  

Government National Mortgage Association - 1.0%

            

Ginnie Mae, US Treasury + 1.50% 1

     33,983        3.88        4/20/33        35,544  

Ginnie Mae, US Treasury + 1.50% 1

     5,645        3.88        4/20/42        5,847  

Ginnie Mae

      11,442        5.00        12/20/23        12,049  

Ginnie Mae

      7,486        5.00        9/15/24        7,942  

Ginnie Mae

      31,847        5.00        6/20/26        34,443  

Ginnie Mae

      732,767        6.00        7/20/37        867,902  
           

 

 

  
              963,727  
           

 

 

  

Other Federal Agency Securities - 2.4%

            

Small Business Administration Pools, PRIME - 2.50% 1

     576,633        0.75        5/25/43        574,959  

Small Business Administration Pools, PRIME + 0.76% 1

     433,201        4.01        3/25/30        463,724  

Small Business Administration Pools, PRIME + 0.80% 1

     1,224,080        4.05        2/25/28        1,307,221  
           

 

 

  
              2,345,904  
           

 

 

  

Total Mortgage Pass-Through Securities
(cost: $19,470,915)

               19,634,484  
           

 

 

  

Taxable Municipal Bonds - 7.1%

            

Berks County Industrial Development Authority

      140,000        3.20        5/15/21        140,479  

City of San Antonio TX

      1,000,000        6.04        8/1/33        1,004,080  

City of Worcester MA 17

     250,000        6.75        11/1/34        254,738  

Colorado Housing & Finance Authority

      5,000        4.00        11/1/31        5,148  

Financial Consulting Services Group, LLC 4

     1,000,000        5.50        2/1/21        1,010,498  

Massachusetts Educational Financing Authority

      430,000        4.00        1/1/32        444,637  

Massachusetts Educational Financing Authority

      750,000        4.41        7/1/34        837,420  

New Hampshire Housing Finance Authority

      300,000        4.00        7/1/35        306,291  

New Hampshire Housing Finance Authority

      5,000        4.00        1/1/37        5,193  

New Jersey Economic Development Authority

      365,000        4.43        12/1/21        375,180  

New Jersey Economic Development Authority

      500,000        2.88        6/15/24        486,690  

New York City Transitional Finance Authority Future Tax Secured Revenue

      750,000        6.27        8/1/39        751,905  

Tennessee Housing Development Agency

      70,000        3.50        7/1/31        71,229  

Wisconsin Housing & Economic Development Authority 8

     750,000        3.50        3/1/46        785,370  

Wisconsin Public Finance Authority (Statler Hilton) 6

     500,000        3.50        12/15/27        371,520  
           

 

 

  

Total Taxable Municipal Bonds
(cost: $6,748,930)

               6,850,378  
           

 

 

  

U.S. Treasury / Federal Agency Securities - 19.2%

            

Federal Agency Issues - 1.1%

            

Federal Agricultural Mortgage Corp., 3 Mo. Libor + 0.37% 1

     250,000        0.68        3/9/23        251,805  

U.S. Department of Housing and Urban Development

      800,000        4.28        8/1/27        802,407  
           

 

 

  
              1,054,212  
           

 

 

  

U.S. Treasury - 18.1%

            

U.S. Treasury Bill 6

     2,300,000        0.10        7/21/20        2,299,853  

U.S. Treasury Bill 6

     3,500,000        0.10        7/28/20        3,499,654  

U.S. Treasury Bill 6

     4,500,000        0.13        10/1/20        4,498,218  

U.S. Treasury Floating Rate Note, 3 Mo. Libor + 0.05% 1

     2,250,000        0.20        10/31/20        2,250,247  

 

 

4   

 

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2020

Sit Quality Income Fund (Continued)

 

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

U.S. Treasury Inflation Indexed Bonds

      893,340        0.13        4/15/25        935,871  

U.S. Treasury Note

      4,000,000        2.00        2/28/21        4,047,812  
           

 

 

  
              17,531,655  
           

 

 

  

Total U.S. Treasury / Federal Agency Securities
(cost: $18,529,103)

               18,585,867  
           

 

 

  

Short-Term Securities - 15.7%

            

Fidelity Inst. Money Mkt. Gvt. Fund, 0.06%

      15,240,793              15,240,793  
           

 

 

  

(cost: $15,240,793)

            

Total Investments in Securities - 107.4%
(cost: $103,065,988)

               104,034,266  
           

 

 

  

Other Assets and Liabilities, net - (7.4%)

               (7,149,552 ) 
           

 

 

  

Total Net Assets - 100.0%

               $   96,884,714  
           

 

 

  

 

 

1 

Variable rate security. Rate disclosed is as of June 30, 2020. 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 June 30, 2020 was $20,039,534 and represented 20.7% 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.

 

8 

Securities the income from which is treated as a tax preference that is included in alternative minimum taxable income for purposes of computing federal alternative minimum tax (AMT). At June 30, 2020, 0.8% of net assets in the Fund was invested in such securities.

 

14 

Step Coupon: A bond that pays a coupon rate that increases on a specified date(s). Rate disclosed is as of June 30, 2020.

 

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.

 

 

JUNE 30, 2020    5

 

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2020

Sit Quality Income Fund (Continued)

 

A summary of the levels for the Fund’s investments as of June 30, 2020 is as follows:

 

     Investment in Securities
    

Level 1

Quoted
Price ($)

   

Level 2

Other Significant
Observable Inputs ($)

   

Level 3

Other Significant
Observable Inputs ($)

    Total ($)

Assets

                    

Asset-Backed Securities

        —        8,531,469        —        8,531,469

Collateralized Mortgage Obligations

        —        15,438,761        —        15,438,761

Corporate Bonds

        —        19,752,514        —        19,752,514

Mortgage Pass-Through Securities

        —        19,634,484        —        19,634,484

Taxable Municipal Bonds

        —        6,850,378        —        6,850,378

U.S. Treasury / Federal Agency Securities

        —        18,585,867        —        18,585,867

Short-Term Securities

        15,240,793        —        —        15,240,793
       15,240,793        88,793,473        —        104,034,266

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