NPORT-EX 2 SI15SitQualityIncFd.htm HTML

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2020

 

Sit Quality Income Fund

 

         
Name of Issuer

Principal

Amount ($)

Coupon

Rate (%)

Maturity

Date

Fair      

Value ($)  

Asset-Backed Securities - 7.0%

Agency - 1.0%

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

  561,454          0.73   5/28/35         552,902

FNMA REMICS, Series 2001-W2, Class AS5 14

  170          6.47   10/25/31         166

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

   149,061          5.64   4/1/26         159,924

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

   139,035          5.49   2/1/27         150,081

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

   205,515          5.57   10/1/27         220,879

 

 

  
  1,083,952

 

 

  

Non-Agency - 6.0%

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

   499,642          6.50   8/15/30         531,514

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

  747,206          1.27   11/25/33         738,126

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

   273,335          3.50   6/28/57         282,615

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

   102,684          5.01   8/25/32         107,077

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

   310,000          5.43   1/25/34         315,782

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

  65,799          5.12   2/25/35         65,700

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

  152,222          1.12   11/25/33         150,694

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

  279,542          1.01   10/25/33         278,095

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

   219,913          2.75   1/25/61         225,585

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

  500,000          3.63   9/10/25         521,012

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

  487,963          3.30   5/10/24         493,195

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

   800,000          3.00   11/25/58         826,565

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

   403,193          3.75   11/25/58         405,190

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

   457,842          3.00   11/25/59         462,896

Towd Point Mortgage Trust, Series 2020-MH1, Class A1A 1, 4

   818,913          2.18   2/25/60         833,502

 

 

  
        6,237,548

 

 

  

Total Asset-Backed Securities
(cost: $7,218,793)

   7,321,500

 

 

  

Collateralized Mortgage Obligations - 11.3%

Agency - 5.9%

FHLMC REMICS, Series 2528, Class KM

   14,371          5.50   11/15/22         14,794

FHLMC REMICS, Series 2968, Class EG

   35,629          6.00   10/15/34         35,621

FHLMC REMICS, Series 3104, Class BY

   82,001          5.50   1/15/26         88,274

FHLMC REMICS, Series 3806, Class JA

   169,014          3.50   2/15/26         175,308

FHLMC REMICS, Series 4246, Class PT

   404,424          6.50   2/15/36         480,939

FHLMC REMICS, Series 4759, Class NA

   495,215          3.00   8/15/44         508,500

FHLMC REMICS, Series 4776, Class QG

   311,247          3.00   9/15/42         315,055

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

   718,319          7.00   3/25/44         865,833

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

  397,023          3.39   8/25/43         422,838

FNMA REMICS, Series 2003-52, Class NA

   14,415          4.00   6/25/23         14,600

FNMA REMICS, Series 2009-13, Class NX

   628          4.50   3/25/24         643

FNMA REMICS, Series 2009-71, Class MB

   18,301          4.50   9/25/24         18,839

FNMA REMICS, Series 2012-19, Class GH

   13,844          3.00   11/25/30         14,107

FNMA REMICS, Series 2013-74, Class AD

   59,843          2.00   7/25/23         60,389

FNMA REMICS, Series 2017-97, Class DP

   316,017          3.50   10/25/46         322,123

FNMA REMICS, Series 2018-1, Class TE

   264,659          3.50   3/25/44         273,017

FNMA REMICS, Series 2018-25, Class AG

   437,812          3.50   4/25/47         460,187

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

   710,888          2.96   11/25/37         732,365

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

   811,891          2.89   12/25/37         846,973

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

   412,134          4.00   2/25/59         456,445

Vendee Mortgage Trust, Series 1993-1, Class ZB

   28,556          7.25   2/15/23         30,074

 

 

  
  6,136,924

 

 

  

 

DECEMBER 31, 2020   1

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2020

 

Sit Quality Income Fund (Continued)

 

         
Name of Issuer

Principal

Amount ($)

Coupon

Rate (%)

Maturity

Date

Fair      

Value ($)  

Non-Agency - 5.4%

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

   170,828          3.71   3/25/49         172,497

JP Morgan Mortgage Trust, Series 2019-9, Class A8 1, 4

   750,000          3.50   5/25/50         767,591

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

   501,255          3.50   7/25/50         508,486

JP Morgan Mortgage Trust, Series 2020-8, Class A4 1, 4

   231,273          3.00   3/25/51         236,527

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

   422,039          4.00   3/25/57         454,852

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

   446,024          4.00   4/25/57         474,319

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

   171,849          1.65   6/25/57         173,887

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

   312,856          4.00   12/25/57         338,308

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

   474,469          0.90   1/25/48         474,906

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

  274,420          4.22   4/25/42         282,002

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

   39,258          3.50   7/25/47         39,393

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

   138,551          3.50   3/25/48         138,646

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

   541,298          3.50   3/25/50         550,627

Sequoia Mortgage Trust, Series 2020-4, Class A5 1, 4

   569,397          2.50   11/25/50         584,922

Wells Fargo Mortgaged Backed Securities Trust, Series 2020-5, Class A3 1, 4

   481,443          2.50   9/25/50         494,852

 

 

  
      5,691,815

 

 

  

Total Collateralized Mortgage Obligations
(cost: $11,574,456)

   11,828,739

 

 

  

Corporate Bonds - 25.8%

AmSouth Bancorp. (Subordinated)

   750,000          6.75   11/1/25         920,869

British Airways 2013-1 Class A Pass Through Trust 4

  374,909          4.63   6/20/24         372,815

Cabot Corp.

   500,000          3.40   9/15/26         541,172

Capital One Financial Corp. (Subordinated)

   1,000,000          3.75   7/28/26         1,134,466

Comerica Bank (Subordinated)

   500,000          4.00   7/27/25         564,191

Continental Airlines 2012-1 Class A Pass Through Trust

   220,801          4.15   4/11/24         222,215

Credit Suisse Group Funding Guernsey, Ltd. 4

  450,000          3.75   3/26/25         499,594

Delta Air Lines 2015-1 Class A Pass Through Trust

   587,222          3.88   7/30/27         601,530

Delta Air Lines 2019-1 Class A Pass Through Trust

   306,000          3.40   4/25/24         301,211

Delta Air Lines, Inc./SkyMiles 4

  850,000          4.50   10/20/25         908,530

Doric Nimrod Air Finance Alpha 2012-1 Trust 4

  259,643          5.13   11/30/22         245,597

Duke Energy Florida Project Finance, LLC

   743,680          1.73   9/1/22         750,604

Equifax, Inc.

   750,000          3.25   6/1/26         826,801

Fidelity & Guaranty Life Holdings, Inc. 4

  1,035,000          5.50   5/1/25         1,207,845

Flex, Ltd.

   600,000          3.75   2/1/26         671,135

Fulton Financial Corp. (Subordinated)

   900,000          4.50   11/15/24         996,592

Georgia-Pacific, LLC

   645,000          7.38   12/1/25         840,812

JetBlue 2019-1 Class B Pass Through Trust

   944,339          8.00   11/15/27         1,022,275

John Hancock Life Insurance Co. (Subordinated) 4

   900,000          7.38   2/15/24         1,060,966

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

  900,000          1.01   5/10/23         901,557

Liberty Mutual Insurance Co. (Subordinated) 4

  700,000          8.50   5/15/25         875,901

Marathon Petroleum Corp.

   800,000          4.70   5/1/25         916,444

Metropolitan Life Insurance Co. (Subordinated) 4

  750,000          7.80   11/1/25         970,779

Minnesota Life Insurance Co. (Subordinated) 4

  750,000          8.25   9/15/25         941,901

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

   975,000          2.51   12/15/24         974,267

Prudential Insurance Co. of America (Subordinated) 4

  615,000          8.30   7/1/25         797,170

RenaissanceRe Finance, Inc.

   500,000          3.70   4/1/25         548,176

SBA Tower Trust 4

  500,000          2.84   1/15/25         532,324

SBA Tower Trust, Series 2014-2A, Class C 4, 14

   750,000          3.87   10/8/24         801,970

TIAA FSB Holdings, Inc. (Subordinated)

   780,000          5.75   7/2/25         852,937

United Airlines 2013-1 Class A Pass Through Trust

   210,842          4.30   8/15/25         212,945

 

2

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2020

 

Sit Quality Income Fund (Continued)

 

         
Name of Issuer

Principal

Amount ($)

Coupon

Rate (%)

Maturity

Date

Fair      

Value ($)  

United Airlines 2014-1 Class A Pass Through Trust

   975,293          4.00   4/11/26         986,113

United Airlines 2015-1 Class A Pass Through Trust

   100,000          3.70   12/1/22         99,103

Valero Energy Partners LP

   1,000,000          4.38   12/15/26         1,157,557

Wachovia Corp. (Subordinated) 14

  661,000          7.57   8/1/26         870,562

Webster Financial Corp.

   950,000          4.38   2/15/24         1,016,342

 

 

  

Total Corporate Bonds
(cost: $26,297,359)

   27,145,268

 

 

  

Mortgage Pass-Through Securities - 18.0%

Federal Home Loan Mortgage Corporation - 3.5%

Freddie Mac

   526,927          2.00   11/1/31         553,400

Freddie Mac

   673,700          2.00   8/1/32         707,184

Freddie Mac

   96,001          3.00   9/1/27         102,191

Freddie Mac

   904,083          3.00   1/1/35         967,124

Freddie Mac

   19,366          3.50   7/1/26         20,562

Freddie Mac

   520,069          3.50   9/1/32         556,697

Freddie Mac

   123,983          4.00   7/1/26         131,949

Freddie Mac

   134,623          4.00   1/1/27         143,332

Freddie Mac

   9          4.50   12/1/21         9

Freddie Mac

   4,959          4.50   7/1/26         5,212

Freddie Mac

   8,902          5.00   10/1/25         9,840

Freddie Mac

   425,346          5.00   5/1/28         474,424

Freddie Mac

   159          5.50   3/1/21         160

Freddie Mac

   23          5.50   3/1/21         23

 

 

  
      3,672,107

 

 

  

Federal National Mortgage Association - 11.8%

Fannie Mae

   1,254,756          2.35   5/1/23         1,295,726

Fannie Mae

   1,035,775          2.50   2/1/35         1,091,685

Fannie Mae

   1,646,872          2.99   3/1/22         1,675,257

Fannie Mae

   153,859          3.00   8/1/28         161,360

Fannie Mae

   801,089          3.00   9/1/32         847,000

Fannie Mae

   1,703,068          3.00   6/1/40         1,856,583

Fannie Mae

   340,472          3.50   1/1/26         361,271

Fannie Mae

   879,718          3.50   2/1/32         937,517

Fannie Mae

   730,169          3.50   5/1/35         787,186

Fannie Mae

   10,100          4.00   9/1/24         10,714

Fannie Mae

   72,793          4.00   6/1/25         77,266

Fannie Mae

   15,001          4.00   10/1/31         16,383

Fannie Mae

   1,239,405          4.00   10/1/34         1,320,633

Fannie Mae

   60,274          4.50   4/1/25         64,098

Fannie Mae

   12          5.50   10/1/21         12

Fannie Mae

   682,747          5.50   8/1/40         804,072

Fannie Mae

   906,960          5.50   2/1/42           1,066,186

 

 

  
      12,372,949

 

 

  

Government National Mortgage Association - 0.7%

Ginnie Mae, US Treasury + 1.50% 1

  28,278          2.88   4/20/33         29,516

Ginnie Mae, US Treasury + 1.50% 1

  5,556          2.88   4/20/42         5,775

Ginnie Mae

   5,613          5.00   12/20/23         5,769

Ginnie Mae

   5,261          5.00   9/15/24         5,527

 

DECEMBER 31, 2020   3

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2020

 

Sit Quality Income Fund (Continued)

 

         
Name of Issuer

Principal

Amount ($)

Coupon

Rate (%)

Maturity

Date

Fair      

Value ($)  

Ginnie Mae

   25,893          5.00   6/20/26         27,956

Ginnie Mae

   618,574          6.00   7/20/37         739,599

 

 

  
  814,142

 

 

  

Other Federal Agency Securities - 2.0%

Small Business Administration Pools, PRIME - 2.50% 1

  565,034          0.75   5/25/43         563,253

Small Business Administration Pools, PRIME + 0.80% 1

  1,071,066          4.04   2/25/28         1,139,696

Small Business Administration Pools, PRIME + 0.76% 1

  364,788          4.07   3/25/30         388,943

 

 

  
      2,091,892

 

 

  

Total Mortgage Pass-Through Securities
(cost: $18,651,031)

   18,951,090

 

 

  

Taxable Municipal Bonds - 7.9%

Berks County Industrial Development Authority

   140,000          3.20   5/15/21         140,283

Colorado Housing & Finance Authority

   5,000          4.00   11/1/31         5,137

County of Yamhill OR

   500,000          4.50   10/1/30         512,325

Financial Consulting Services Group, LLC 4

  1,000,000          5.50   2/1/21         1,000,000

Florida Capital Projects Finance Authority

   1,000,000          4.00   10/1/24         1,000,370

Kansas City Industrial Development Authority

   1,000,000          1.75   3/1/26         1,028,840

Massachusetts Educational Financing Authority

   370,000          4.00   1/1/32         377,071

Massachusetts Educational Financing Authority

   750,000          4.41   7/1/34         809,520

New Hampshire Housing Finance Authority

   240,000          4.00   7/1/35         244,334

New Hampshire Housing Finance Authority

   5,000          4.00   1/1/37         5,190

New Jersey Economic Development Authority

   365,000          4.43   12/1/21         370,475

New Jersey Turnpike Authority 4

  1,000,000          3.22   1/1/35         1,060,230

New York City Transitional Finance Authority Future Tax Secured Revenue

   750,000          6.27   8/1/39         753,458

Tennessee Housing Development Agency

   55,000          3.50   7/1/31         55,876

Wisconsin Housing & Economic Development Authority 8

  655,000          3.50   3/1/46         686,938

Wisconsin Public Finance Authority (Statler Hilton) 6

  355,000          3.50   12/15/27         267,833

 

 

  

Total Taxable Municipal Bonds
(cost: $8,198,099)

   8,317,880

 

 

  

U.S. Treasury / Federal Agency Securities - 26.0%

Federal Agency Issues - 0.9%

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

  250,000          0.60   3/9/23         251,877

U.S. Department of Housing and Urban Development

   690,000          4.28   8/1/27         692,042

 

 

  
  943,919

 

 

  

U.S. Treasury - 25.1%

U.S. Treasury Bill 6

  3,550,000          0.08   1/21/21         3,549,843

U.S. Treasury Bill 6

  3,000,000          0.08   2/4/21         2,999,772

U.S. Treasury Inflation Indexed Bonds

   2,746,625          0.13   4/15/21         2,756,120

U.S. Treasury Inflation Indexed Bonds

   4,512,360          0.13   1/15/23         4,687,331

U.S. Treasury Inflation Indexed Bonds

   907,272          0.13   4/15/25         975,979

U.S. Treasury Inflation Indexed Bonds

   2,888,275          0.63   7/15/21         2,925,845

U.S. Treasury Note

   4,500,000          0.13   4/30/22         4,501,055

U.S. Treasury Note

   4,000,000          2.00   2/28/21         4,011,234

 

 

  
      26,407,179

 

 

  

Total U.S. Treasury / Federal Agency Securities
(cost: $27,228,530)

   27,351,098

 

 

  

 

4

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2020

 

Sit Quality Income Fund (Continued)

 

     
Name of Issuer    Quantity       

Fair

Value ($)

  

Short-Term Securities - 4.3%

        

Fidelity Inst. Money Mkt. Gvt. Fund, 0.01%
(cost: $4,474,623)

      4,474,623                 4,474,623  
       

 

 

  

Total Investments in Securities - 100.3%
(cost: $103,642,891)

           105,390,198  
       

 

 

  

Other Assets and Liabilities, net - (0.3%)

           (319,577 ) 
       

 

 

  

Total Net Assets - 100.0%

             $ 105,070,621  
       

 

 

  

 

 

 

1 

Variable rate security. Rate disclosed is as of December 31, 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 December 31, 2020 was $22,241,776 and represented 21.2% 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 December 31, 2020, 0.7% 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 December 31, 2020.

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

Short futures contracts outstanding as of December 31, 2020 were as follows:

 

    Type      Contracts       

Expiration

Date

       

Notional

Amount ($)

     

Value/

Unrealized

Appreciation

(Depreciation) ($)

  

    Short Futures: 10

                  

    U.S. Treasury 5-Year

        225          March 2021          (28,386,914 )       (78,829)  

 

10 

The amount of $500,000 in cash was segregated with the broker to cover margin requirements for derivative transactions as of December 31, 2020.

 

DECEMBER 31, 2020   5

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2020

 

Sit Quality Income Fund (Continued)

 

A summary of the levels for the Fund’s investments as of December 31, 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

      —       7,321,500             —      7,321,500  

Collateralized Mortgage Obligations

      —       11,828,739             —      11,828,739  

Corporate Bonds

      —       27,145,268             —      27,145,268  

Mortgage Pass-Through Securities

      —       18,951,090             —      18,951,090  

Taxable Municipal Bonds

      1,000,000       7,317,880             —      8,317,880  

U.S. Treasury / Federal Agency Securities

      —       27,351,098             —      27,351,098  

Short-Term Securities

      4,474,623       —             —      4,474,623  
     5,474,623       99,915,575             —      105,390,198  

Liabilities

           

Futures

      (78,829 )      —             —      (78,829 ) 
                              

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.

 

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