NPORT-EX 2 SI15SitQualityIncFd.htm HTML

 

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2021

Sit Quality Income Fund

 

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

Asset-Backed Securities - 4.6%

            

Agency - 0.9%

            

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

     527,059        0.67        5/28/35        520,011  

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

      123,165        5.64        4/1/26        132,022  

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

      116,986        5.49        2/1/27        125,634  

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

      182,634        5.57        10/1/27        199,476  
           

 

 

  
              977,143  
           

 

 

  

Non-Agency - 3.7%

            

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

      499,642        6.50        8/15/30        524,417  

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

      229,475        3.50        6/28/57        234,680  

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

     102,684        5.01        8/25/32        105,539  

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

     310,000        5.43        1/25/34        312,959  

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

     136,828        1.07        11/25/33        136,266  

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

     269,035        0.95        10/25/33        266,125  

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

      166,133        2.75        1/25/61        168,679  

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

     500,000        3.63        9/10/25        513,182  

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

      800,000        3.00        11/25/58        823,507  

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

      294,763        3.00        11/25/59        296,642  

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

      713,997        2.18        2/25/60        721,599  
           

 

 

  
                    4,103,595  
           

 

 

  

Total Asset-Backed Securities
(cost: $5,035,724)

               5,080,738  
           

 

 

  

Collateralized Mortgage Obligations - 10.3%

            

Agency - 4.3%

            

FHLMC REMICS, Series 2528, Class KM

      8,955        5.50        11/15/22        9,153  

FHLMC REMICS, Series 3104, Class BY

      68,077        5.50        1/15/26        73,165  

FHLMC REMICS, Series 3806, Class JA

      126,289        3.50        2/15/26        131,068  

FHLMC REMICS, Series 4246, Class PT

      353,617        6.50        2/15/36        417,953  

FHLMC REMICS, Series 4759, Class NA

      322,803        3.00        8/15/44        329,766  

FHLMC REMICS, Series 4776, Class QG

      96,974        3.00        9/15/42        97,453  

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

      672,088        7.00        3/25/44        791,001  

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

     342,343        3.17        8/25/43        362,304  

FNMA REMICS, Series 2003-52, Class NA

      6,475        4.00        6/25/23        6,524  

FNMA REMICS, Series 2009-13, Class NX

      371        4.50        3/25/24        379  

FNMA REMICS, Series 2009-71, Class MB

      11,659        4.50        9/25/24        11,969  

FNMA REMICS, Series 2012-19, Class GH

      6,467        3.00        11/25/30        6,556  

FNMA REMICS, Series 2013-74, Class AD

      37,379        2.00        7/25/23        37,693  

FNMA REMICS, Series 2017-97, Class DP

      143,437        3.50        10/25/46        145,867  

FNMA REMICS, Series 2018-1, Class TE

      154,420        3.50        3/25/44        158,365  

FNMA REMICS, Series 2018-25, Class AG

      324,517        3.50        4/25/47        340,407  

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

     661,204        2.96        11/25/37        675,798  

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

     783,028        2.89        12/25/37        805,966  

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

      367,921        4.00        2/25/59        404,438  

Vendee Mortgage Trust, Series 1993-1, Class ZB

      18,788        7.25        2/15/23        19,571  
           

 

 

  
              4,825,396  
           

 

 

  

 

 

JUNE 30, 2021    1

 

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2021

Sit Quality Income Fund (Continued)

 

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

Non-Agency - 6.0%

            

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

      494,246        3.50        5/25/50        495,375  

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

      124,780        3.50        7/25/50        125,284  

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

      141,542        3.00        3/25/51        142,863  

JP Morgan Mortgage Trust, Series 2021-1, Class A4 1, 4

      944,920        2.50        6/25/51        970,596  

JP Morgan Mortgage Trust, Series 2021-6, Class A4 1, 4

      1,462,336        2.50        10/25/51        1,497,392  

JP Morgan Mortgage Trust, Series 2021-7, Class A4 1, 4

      638,217        2.50        11/25/51        653,549  

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

      357,222        4.00        3/25/57        380,214  

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

      385,012        4.00        4/25/57        412,139  

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

      143,171        1.59        6/25/57        145,006  

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

      274,213        4.00        12/25/57        293,705  

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

      400,457        0.84        1/25/48        401,199  

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

      220,188        3.50        3/25/50        221,949  

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

      457,784        2.50        11/25/50        470,784  

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

      399,216        2.50        9/25/50        404,190  
           

 

 

  
                    6,614,245  
           

 

 

  

Total Collateralized Mortgage Obligations
(cost: $11,305,079)

               11,439,641  
           

 

 

  

Corporate Bonds - 29.0%

            

Alaska Airlines 2020-1 Class B Pass-Through Trust 4

     904,078        8.00        8/15/25        1,014,033  

American Equity Investment Life Holding Co.

      950,000        5.00        6/15/27        1,075,318  

AmSouth Bancorp. (Subordinated)

      750,000        6.75        11/1/25        907,792  

BGC Partners, Inc.

      900,000        4.38        12/15/25        974,231  

British Airways 2013-1 Class A Pass Through Trust 4

     620,028        4.63        6/20/24        653,730  

British Airways 2020-1 Class B Pass Through Trust 4

     402,850        8.38        11/15/28        465,859  

Broadcom Corp./Broadcom Cayman Finance, Ltd.

      850,000        3.88        1/15/27        939,092  

Cabot Corp.

      850,000        3.40        9/15/26        910,256  

Cigna Corp.

      350,000        7.88        5/15/27        469,731  

Continental Airlines 2012-1 Class A Pass Through Trust

      212,188        4.15        4/11/24        225,405  

Delta Air Lines 2015-1 Class A Pass Through Trust

      570,785        3.88        7/30/27        596,586  

Delta Air Lines 2015-1 Class AA Pass Through Trust

      380,519        3.63        7/30/27        408,810  

Delta Air Lines 2019-1 Class A Pass Through Trust

      306,000        3.40        4/25/24        313,969  

Delta Air Lines, Inc./SkyMiles 4

     750,000        4.75        10/20/28        834,305  

Doric Nimrod Air Finance Alpha 2012-1 Trust 4

     197,116        5.13        11/30/22        198,038  

Duke Energy Florida Project Finance, LLC

      540,942        1.73        9/1/22        544,742  

El Paso Natural Gas Co., LLC

      500,000        7.50        11/15/26        639,776  

Equifax, Inc.

      500,000        3.25        6/1/26        537,791  

Equinor ASA

      224,000        7.15        11/15/25        278,915  

Flex, Ltd.

      600,000        3.75        2/1/26        655,666  

Fulton Financial Corp. (Subordinated)

      429,000        4.50        11/15/24        472,148  

Georgia-Pacific, LLC

      645,000        7.38        12/1/25        816,626  

JetBlue 2019-1 Class B Pass Through Trust

      888,677        8.00        11/15/27        1,048,531  

John Hancock Life Insurance Co. (Subordinated) 4

     900,000        7.38        2/15/24        1,047,231  

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

     900,000        1.00        5/10/23        906,454  

Liberty Mutual Insurance Co. (Subordinated) 4

     700,000        8.50        5/15/25        860,965  

Mercury General Corp.

      1,000,000        4.40        3/15/27        1,129,161  

Metropolitan Life Insurance Co. (Subordinated) 4

     750,000        7.80        11/1/25        948,077  

Minnesota Life Insurance Co. (Subordinated) 4

     750,000        8.25        9/15/25        916,456  

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

      975,000        2.41        12/15/24        975,806  

Prudential Insurance Co. of America (Subordinated) 4

     615,000        8.30        7/1/25        772,898  

RenaissanceRe Finance, Inc.

      500,000        3.70        4/1/25        544,536  

Ross Stores, Inc.

      833,000        4.70        4/15/27        963,291  

 

 

2   

 

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2021

Sit Quality Income Fund (Continued)

 

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

SBA Tower Trust 4

     500,000        2.84        1/15/25        524,673  

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

      750,000        3.87        10/15/49        788,088  

TIAA FSB Holdings, Inc. (Subordinated)

      780,000        5.75        7/2/25        836,644  

Tosco Corp.

      500,000        7.80        1/1/27        653,593  

Tyco Intl. Finance

      1,000,000        3.90        2/14/26        1,066,545  

United Airlines 2013-1 Class A Pass Through Trust

      203,365        4.30        8/15/25        215,134  

United Airlines 2014-1 Class A Pass Through Trust

      937,362        4.00        4/11/26        988,543  

United Airlines 2015-1 Class A Pass Through Trust

      100,000        3.70        12/1/22        102,951  

Valero Energy Partners LP

      1,000,000        4.38        12/15/26        1,133,541  

Wachovia Corp. (Subordinated) 14

     661,000        7.57        8/1/26        847,161  

Webster Financial Corp.

      950,000        4.38        2/15/24        1,013,189  
           

 

 

  

Total Corporate Bonds
(cost: $31,482,109)

                   32,216,287  
           

 

 

  

Mortgage Pass-Through Securities - 24.0%

            

Federal Home Loan Mortgage Corporation - 6.0%

            

Freddie Mac

      441,640        2.00        11/1/31        457,446  

Freddie Mac

      562,016        2.00        8/1/32        581,984  

Freddie Mac

      80,305        3.00        9/1/27        85,055  

Freddie Mac

      798,099        3.00        1/1/35        851,227  

Freddie Mac

      1,846,317        3.00        1/1/36        1,965,178  

Freddie Mac

      16,031        3.50        7/1/26        17,138  

Freddie Mac

      1,061,855        3.50        8/1/31        1,154,492  

Freddie Mac

      433,248        3.50        9/1/32        468,205  

Freddie Mac

      103,257        4.00        7/1/26        110,111  

Freddie Mac

      110,075        4.00        1/1/27        117,318  

Freddie Mac

      3,917        4.50        7/1/26        4,107  

Freddie Mac

      447,804        4.50        10/1/34        488,368  

Freddie Mac

      6,973        5.00        10/1/25        7,650  

Freddie Mac

      371,526        5.00        5/1/28        407,798  
           

 

 

  
              6,716,077  
           

 

 

  

Federal National Mortgage Association - 15.7%

            

Fannie Mae

      1,236,479        2.35        5/1/23        1,268,572  

Fannie Mae

      2,129,109        2.50        6/1/31        2,235,340  

Fannie Mae

      817,365        2.50        2/1/35        855,772  

Fannie Mae

      1,622,600        2.99        3/1/22        1,633,000  

Fannie Mae

      123,081        3.00        8/1/28        129,822  

Fannie Mae

      657,575        3.00        9/1/32        695,861  

Fannie Mae

      1,531,059        3.00        6/1/40        1,639,122  

Fannie Mae

      269,846        3.50        1/1/26        288,386  

Fannie Mae

      716,701        3.50        2/1/32        764,373  

Fannie Mae

      1,621,550        3.50        8/1/33        1,747,928  

Fannie Mae

      621,861        3.50        5/1/35        668,157  

Fannie Mae

      8,205        4.00        9/1/24        8,714  

Fannie Mae

      58,859        4.00        6/1/25        62,595  

Fannie Mae

      12,531        4.00        10/1/31        13,656  

Fannie Mae

      908,767        4.00        10/1/34        967,466  

Fannie Mae

      2,502,122        4.00        1/1/39        2,751,832  

Fannie Mae

      46,365        4.50        4/1/25        48,897  

Fannie Mae

      1        5.50        10/1/21        1  

 

 

JUNE 30, 2021    3

 

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2021

Sit Quality Income Fund (Continued)

 

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

Fannie Mae

      604,690        5.50        8/1/40        723,048  

Fannie Mae

      772,822        5.50        2/1/42        896,154  
           

 

 

  
                  17,398,696  
           

 

 

  

Government National Mortgage Association - 0.6%

            

Ginnie Mae, US Treasury + 1.50% 1

     24,038        2.88        4/20/33        25,082  

Ginnie Mae, US Treasury + 1.50% 1

     5,459        2.88        4/20/42        5,692  

Ginnie Mae

      3,248        5.00        12/20/23        3,319  

Ginnie Mae

      4,219        5.00        9/15/24        4,376  

Ginnie Mae

      20,622        5.00        6/20/26        22,246  

Ginnie Mae

      547,585        6.00        7/20/37        638,485  
           

 

 

  
              699,200  
           

 

 

  

Other Federal Agency Securities - 1.7%

            

Small Business Administration Pools, PRIME - 2.50% 1

     508,199        0.75        5/25/43        518,229  

Small Business Administration Pools, PRIME + 0.80% 1

     943,815        4.05        2/25/28        1,000,427  

Small Business Administration Pools, PRIME + 0.76% 1

     329,470        4.06        3/25/30        354,801  
           

 

 

  
              1,873,457  
           

 

 

  

Total Mortgage Pass-Through Securities
(cost: $26,535,011)

               26,687,430  
           

 

 

  

Taxable Municipal Bonds - 7.0%

            

Bay Area Toll Authority

      500,000        1.43        4/1/27        502,060  

Chino, CA Public Financing Authority

      215,000        1.70        9/1/26        219,655  

Colorado Housing & Finance Authority

      5,000        4.00        11/1/31        5,167  

County of Yamhill OR

      500,000        4.50        10/1/30        547,455  

Florida Capital Projects Finance Authority

      1,000,000        4.00        10/1/24        995,370  

Jersey City, NJ G.O.

      335,000        1.13        9/1/26        329,707  

Kansas City Industrial Development Authority

      500,000        1.75        3/1/26        502,730  

Massachusetts Educational Financing Authority

      285,000        4.00        1/1/32        292,621  

Massachusetts Educational Financing Authority

      595,000        4.41        7/1/34        651,799  

New Hampshire Housing Finance Authority

      175,000        4.00        7/1/35        179,979  

New Jersey Economic Development Authority

      365,000        4.43        12/1/21        367,643  

New Jersey Turnpike Authority 4

     1,000,000        3.22        1/1/35        1,040,950  

Pueblo County, CO C.O.P. 9

     700,000        1.07        9/15/26        689,017  

St. Charles, LA Parish School District No. 1

      250,000        2.00        3/1/27        257,000  

Tennessee Housing Development Agency

      40,000        3.50        7/1/31        40,944  

Wisconsin Housing & Economic Development Authority 8

     565,000        3.50        3/1/46        594,442  

Wisconsin Public Finance Authority (Statler Hilton) 6

     355,000        3.50        12/15/27        276,052  

Zachary Community School District No. 1

      285,000        2.00        3/1/27        293,844  
           

 

 

  

Total Taxable Municipal Bonds
(cost: $7,682,286)

               7,786,435  
           

 

 

  

U.S. Treasury / Federal Agency Securities - 22.3%

            

Federal Agency Issues - 2.5%

            

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

     250,000        0.49        3/9/23        251,323  

Pershing Road Development Co., LLC, 3 Mo. Libor + 0.40% 1, 4

      1,916,115        0.53        9/1/26        1,841,796  

U.S. Department of Housing and Urban Development

      690,000        4.28        8/1/27        692,177  
           

 

 

  
              2,785,296  
           

 

 

  

 

 

4   

 

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2021

Sit Quality Income Fund (Continued)

 

Name of Issuer   

Principal
Amount ($)/

Quantity

      Coupon
Rate (%)		      Maturity
Date		      Fair
Value ($)		  

U.S. Treasury - 19.8%

            

U.S. Treasury Inflation Indexed Bonds

      7,686,700        0.13        4/15/22        7,884,572  

U.S. Treasury Inflation Indexed Bonds

      3,019,354        0.13        7/15/22        3,129,100  

U.S. Treasury Inflation Indexed Bonds

      9,464,015        0.13        1/15/23        9,887,677  

U.S. Treasury Inflation Indexed Bonds

      930,501        0.13        4/15/25        1,004,311  
           

 

 

  
              21,905,660  
           

 

 

  

Total U.S. Treasury / Federal Agency Securities
(cost: $24,512,684)

               24,690,956  
           

 

 

  

Short-Term Securities - 4.0%

            

Fidelity Inst. Money Mkt. Gvt. Fund, 0.01%

      4,480,076              4,480,076  
           

 

 

  

(cost: $4,480,076)

            

Total Investments in Securities - 101.2%
(cost: $111,032,969)

               112,381,563  
           

 

 

  

Call Options Written 19 - 0.0%

            

(premiums received: $14,124)

               (14,773 ) 

Other Assets and Liabilities, net - (1.2%)

               (1,323,067 ) 
           

 

 

  

Total Net Assets - 100.0%

               $ 111,043,723  
           

 

 

  

 

 

1 

Variable rate security. Rate disclosed is as of June 30, 2021. 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, 2021 was $22,779,856 and represented 20.5% 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, 2021, 0.5% of net assets in the Fund was invested in such securities.

 

9 

Municipal Lease Security. The total value of such security as of June 30, 2021 was $689,017 and represented 0.6% of net assets. This security has been determined to be liquid by the Adviser in accordance with guidelines established by the Board of Directors.

 

14

Step Coupon: A bond that pays a coupon rate that increases on a specified date(s). Rate disclosed is as of June 30, 2021.

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

(19) Options outstanding as of June 30, 2021 were as follows:

 

          Strike    Expiration         Notional    Cost/     
Description    Contracts    Price ($)    Date    Counterparty    Amount ($)    Premiums ($)    Value ($)

Call Options Written - U.S. Treasury Futures:

 

               

5-Year

        61        123.50        July 2021        StoneX Financial, Inc.        7,533,500        (14,124 )        (14,773 )

 

 

JUNE 30, 2021    5

 

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2021

Sit Quality Income Fund (Continued)

 

Short futures contracts outstanding as of June 30, 2021 were as follows:

 

  Type    Contracts    Expiration
Date		    Notional
Amount ($)		   Value/
Unrealized
Appreciation
(Depreciation) ($)

  Short Futures: 10

                  

  U.S. Treasury 5-Year

        224        September 2021        (27,648,251 )               29,548

  U.S. Treasury 2-Year

        155        September 2021        (34,149,648 )       (4,039 )
                  

 

 

  
                     25,509

 

10

The amount of $800,000 in cash was segregated with the broker to cover margin requirements for derivative transactions as of June 30, 2021.

A summary of the levels for the Fund’s investments as of June 30, 2021 is as follows:

 

     Investment in Securities
     Level 1   Level 2    Level 3     
     Quoted   Other Significant    Other Significant     
     Price ($)   Observable Inputs ($)    Observable Inputs ($)    Total ($)

Assets

                   

Asset-Backed Securities

        —       5,080,738        —        5,080,738

Collateralized Mortgage Obligations

        —       9,942,249        —        9,942,249

Corporate Bonds

        —       33,713,679        —        33,713,679

Mortgage Pass-Through Securities

        —       26,687,430        —        26,687,430

Taxable Municipal Bonds

        —       7,786,435        —        7,786,435

U.S. Treasury / Federal Agency Securities

        —       24,690,956        —        24,690,956

Short-Term Securities

        4,480,076       —        —        4,480,076

Futures

        29,548       —        —        29,548
       4,509,624       107,901,487        —        112,411,111

Liabilities

                   

Call Options Written

        (14,773 )       —        —        (132,188 )

Futures

        (4,039 )       —        —        (4,039 )
       (18,812 )       —        —        (18,812 )

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