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