0001752724-23-042381.txt : 20230227 0001752724-23-042381.hdr.sgml : 20230227 20230227135418 ACCESSION NUMBER: 0001752724-23-042381 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20221230 FILED AS OF DATE: 20230227 DATE AS OF CHANGE: 20230227 PERIOD START: 20230331 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: 23672893 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 - Class S SQIFX C000235257 Sit Quality Income Fund - Class Y SQIYX NPORT-P 1 primary_doc.xml NPORT-P false 0000746601 XXXXXXXX S000039473 C000235257 C000121593 SIT MUTUAL FUNDS II INC 811-04033 0000746601 2549002D9C8PNDJXIE31 80 S. 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USD 509180.00000000 0.351649789424 Long DBT MUN US N 2 2029-07-01 Fixed 5.85000000 N N N N N N OKLAHOMA ST DEV FIN AUTH 549300PXGPHUWC32DJ91 Oklahoma Development Finance Authority 6789084C5 500000.00000000 PA USD 473505.00000000 0.327011928083 Long ABS-O MUN US N 2 2037-05-01 Fixed 3.87700000 N N N N N N CLEVELAND OH INCOME TAX REVENU N/A City of Cleveland OH Income Tax Revenue 186387YK6 125000.00000000 PA USD 108933.75000000 0.075231804565 Long DBT MUN US N 2 2026-10-01 Fixed 1.28000000 N N N N N N JERSEY CITY NJ N/A City of Jersey City NJ 476576RL9 335000.00000000 PA USD 290455.05000000 0.200594008346 Long DBT MUN US N 2 2026-09-01 Fixed 1.13000000 N N N N N N COLORADO ST HSG & FIN AUTH 5493005GIROYQAWBMC18 Colorado Housing and Finance Authority 196479XN4 5000.00000000 PA USD 4947.05000000 0.003416530678 Long DBT MUN US N 2 2031-11-01 Fixed 4.00000000 N N N N N N 2023-02-22 SIT MUTUAL FUNDS II INC Paul Rasmussen Paul Rasmussen VP, Treasurer & Chief Compliance Officer XXXX NPORT-EX 2 SI15SIT123122.htm HTML
    

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Sit Quality Income Fund

 

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

Fair

Value ($)

  

Asset-Backed Securities - 1.7%

            

Agency - 0.4%

            

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

     412,711        4.58        5/28/35        384,497  

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

      67,541        5.64        4/1/26        67,150  

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

      64,930        5.49        2/1/27        64,104  

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

      111,285        5.57        10/1/27        110,259  
           

 

 

  
              626,010  
           

 

 

  

Non-Agency - 1.3%

            

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

     102,684        5.01        8/25/32        99,388  

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

     310,000        5.43        1/25/34        292,902  

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

     108,981        4.13        10/25/33        107,665  

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

      67,659        2.75        1/25/61        65,407  

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

     89,570        3.63        9/10/25        89,091  

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

      800,000        3.00        11/25/58        758,378  

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

      459,544        2.18        2/25/60        427,291  
           

 

 

  
              1,840,122  
           

 

 

  

Total Asset-Backed Securities
(cost: $2,609,412)

               2,466,132  
           

 

 

  

Collateralized Mortgage Obligations - 16.4%

            

Agency - 11.9%

            

FHLMC REMICS, Series 3104, Class BY

      34,218        5.50        1/15/26        34,074  

FHLMC REMICS, Series 3806, Class JA

      42,750        3.50        2/15/26        42,145  

FHLMC REMICS, Series 3982, Class LA

      685,677        2.50        12/15/39        667,142  

FHLMC REMICS, Series 4210, Class AD

      536,540        4.00        3/15/40        532,513  

FHLMC REMICS, Series 4246, Class PT

      241,231        6.50        2/15/36        251,844  

FHLMC REMICS, Series 4390, Class CA

      1,004,845        3.50        6/15/50        981,391  

FHLMC REMICS, Series 4523, Class VB

      2,549,464        3.50        8/15/34        2,527,021  

FHLMC REMICS, Series 4717, Class KV

      1,728,221        3.50        8/15/40        1,694,745  

FHLMC REMICS, Series 4759, Class NA

      65,347        3.00        8/15/44        63,900  

FHLMC REMICS, Series 5252, Class BT

      986,978        6.00        9/25/52        1,021,235  

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

      546,673        7.00        3/25/44        545,541  

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

     261,825        3.26        8/25/43        241,519  

FNMA REMICS, Series 2009-13, Class NX

      13        4.50        3/25/24        13  

FNMA REMICS, Series 2009-71, Class MB

      685        4.50        9/25/24        682  

FNMA REMICS, Series 2011-146, Class LX

      1,446,189        3.50        10/25/40        1,402,775  

FNMA REMICS, Series 2013-74, Class AD

      712        2.00        7/25/23        707  

FNMA REMICS, Series 2017-97, Class DP

      21,176        3.50        10/25/46        20,505  

FNMA REMICS, Series 2018-25, Class AG

      191,706        3.50        4/25/47        183,418  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K036, Class A2 1

     1,600,000        3.53        10/25/23        1,581,922  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K037, Class A2

      1,600,000        3.49        1/25/24        1,575,894  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K723, Class A2

      1,194,284        2.45        8/25/23        1,176,296  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K724, Class A2 1

     1,667,432        3.06        11/25/23        1,639,831  

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

     176,203        4.84        11/25/37        175,048  

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

     575,450        4.84        12/25/37        571,129  

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

      267,201        4.00        2/25/59        254,342  

Vendee Mortgage Trust, Series 1993-1, Class ZB

      3,128        7.25        2/15/23        3,123  
           

 

 

  
              17,188,755  
           

 

 

  

Non-Agency - 4.5%

            

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

      646,243        2.50        6/25/51        569,123  

JP Morgan Mortgage Trust, Series 2021-14, Class A4 1, 4

      868,573        2.50        5/25/52        745,650  

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

      1,483,199        2.50        10/25/51        1,273,292  

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

      515,935        2.50        11/25/51        442,918  

JP Morgan Mortgage Trust, Series 2022-1, Class A11 1, 4

      2,329,664        4.37        7/25/52        2,127,733  

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

      236,792        4.00        3/25/57        220,132  

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

      251,395        4.00        4/25/57        237,554  

 

   
DECEMBER 31, 2022    1

    

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Sit Quality Income Fund (Continued)

 

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

Fair

Value ($)

  

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

      83,106        5.89        6/25/57        81,264  

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

      183,869        4.00        12/25/57        172,565  

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

      239,133        5.14        1/25/48        229,263  

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

      269,018        2.50        11/25/50        241,136  

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

      241,811        2.50        9/25/50        212,275  
           

 

 

  
              6,552,905  
           

 

 

  

Total Collateralized Mortgage Obligations
(cost: $24,768,764)

               23,741,660  
           

 

 

  

Corporate Bonds - 17.7%

            

American Equity Investment Life Holding Co.

      1,000,000        5.00        6/15/27        948,273  

Bank of America Corp. 1

     750,000        4.95        7/22/28        733,592  

BGC Partners, Inc.

      900,000        4.38        12/15/25        843,963  

British Airways 2020-1 Class B Pass Through Trust 4

     327,911        8.38        11/15/28        322,031  

Cadence Bank (Subordinated), 3 Mo. Libor + 3.03% 1

     1,200,000        4.75        6/30/29        1,151,330  

CenterState Bank Corp. (Subordinated) 1

     650,000        5.75        6/1/30        622,583  

CVS Pass-Through Trust Series 2009 4

     853,208        8.35        7/10/31        934,010  

Delta Air Lines 2015-1 Class AA Pass Through Trust

      347,646        3.63        7/30/27        317,765  

Dollar Tree, Inc.

      600,000        4.20        5/15/28        574,965  

El Paso Natural Gas Co., LLC

      500,000        7.50        11/15/26        531,393  

Equinor ASA

      224,000        7.15        11/15/25        235,857  

F&G Global Funding 4

     900,000        0.90        9/20/24        822,783  

F&G Global Funding 4

     1,600,000        5.15        7/7/25        1,567,867  

Fairfax US, Inc. 4

     600,000        4.88        8/13/24        585,501  

First Midwest Bancorp, Inc. (Subordinated)

      1,000,000        5.88        9/29/26        1,011,837  

First-Citizens Bank & Trust Co. (Subordinated) 1

     1,250,000        4.13        11/13/29        1,181,457  

KeyBank NA 1

     630,000        2.37        1/3/24        629,869  

M&T Bank Corp. (Subordinated)

      450,000        4.00        7/15/24        441,980  

Metropolitan Life Insurance Co. (Subordinated) 4

     900,000        7.80        11/1/25        953,928  

Minnesota Life Insurance Co. (Subordinated) 4

     925,000        8.25        9/15/25        976,898  

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

      1,300,000        7.06        12/15/24        1,296,577  

Orange & Rockland Utilities, Inc.

      700,000        6.50        12/1/27        731,806  

Public Service Co. of Colorado

      1,000,000        2.90        5/15/25        953,295  

Reliant Bancorp, Inc. (Subordinated) 1

     1,250,000        5.13        12/15/29        1,176,353  

SC Johnson & Son, Inc. 4

     700,000        6.75        2/15/28        744,762  

TIAA FSB Holdings, Inc. (Subordinated)

      1,455,000        5.75        7/2/25        1,429,343  

Tosco Corp.

      740,000        7.80        1/1/27        808,527  

Truist Bank, 3 Mo. Libor + 0.74% 1

     200,000        3.69        8/2/24        198,209  

United Airlines 2014-1 Class A Pass Through Trust

      824,095        4.00        4/11/26        766,297  

United Financial Bancorp, Inc. (Subordinated)

      300,000        5.75        10/1/24        295,267  

VeriSign, Inc.

      550,000        4.75        7/15/27        531,672  

West Loop BC (Subordinated), 3 Mo. Libor + 1.87% 1

     1,300,000        6.63        12/1/27        1,298,288  
           

 

 

  

Total Corporate Bonds
(cost: $27,273,131)

               25,618,278  
           

 

 

  

Mortgage Pass-Through Securities - 15.8%

            

Federal Home Loan Mortgage Corporation - 5.2%

            

Freddie Mac

      2,808,497        2.50        8/1/30        2,636,381  

Freddie Mac

      43,572        3.00        9/1/27        42,090  

Freddie Mac

      2,801,711        3.00        4/1/33        2,641,223  

Freddie Mac

      8,348        3.50        7/1/26        8,210  

Freddie Mac

      687,247        3.50        8/1/31        672,409  

Freddie Mac

      258,387        3.50        9/1/32        250,263  

Freddie Mac

      58,286        4.00        7/1/26        56,979  

Freddie Mac

      56,528        4.00        1/1/27        55,260  

Freddie Mac

      649,676        4.00        4/1/29        640,981  

Freddie Mac

      134,863        4.00        10/1/31        130,890  

Freddie Mac

      1,619        4.50        7/1/26        1,619  

 

   
2   

    

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Sit Quality Income Fund (Continued)

 

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

Fair

Value ($)

  

Freddie Mac

      286,125        4.50        10/1/34        284,520  

Freddie Mac

      3,555        5.00        10/1/25        3,545  

Freddie Mac

      241,187        5.00        5/1/28        242,629  
           

 

 

  
              7,666,999  
           

 

 

  

Federal National Mortgage Association - 8.4%

            

Fannie Mae

      1,179,938        2.35        5/1/23        1,166,222  

Fannie Mae

      64,228        3.00        8/1/28        61,768  

Fannie Mae

      816,363        3.00        5/1/30        776,692  

Fannie Mae

      127,703        3.50        1/1/26        124,755  

Fannie Mae

      472,609        3.50        2/1/32        458,291  

Fannie Mae

      1,133,834        3.50        8/1/33        1,088,236  

Fannie Mae

      451,294        3.50        11/1/38        432,035  

Fannie Mae

      1,932        4.00        9/1/24        1,905  

Fannie Mae

      26,339        4.00        6/1/25        25,722  

Fannie Mae

      8,306        4.00        10/1/31        8,049  

Fannie Mae

      490,490        4.00        10/1/34        480,031  

Fannie Mae

      16,175        4.50        4/1/25        16,153  

Fannie Mae

      2,115,543        4.50        3/1/29        2,112,692  

Fannie Mae

      115,545        4.50        7/1/31        114,769  

Fannie Mae

      2,373,586        4.50        4/1/39        2,357,659  

Fannie Mae

      437,809        5.50        8/1/40        459,848  

Fannie Mae

      529,396        5.50        2/1/42        549,354  

Fannie Mae

      1,940,735        6.00        9/1/29        1,971,047  
           

 

 

  
              12,205,228  
           

 

 

  

Government National Mortgage Association - 1.5%

            

Ginnie Mae, US Treasury + 1.50% 1

     18,728        2.88        4/20/33        18,353  

Ginnie Mae, US Treasury + 1.50% 1

     4,451        2.88        4/20/42        4,398  

Ginnie Mae

      1,723,890        4.00        7/20/26        1,678,413  

Ginnie Mae

      679        5.00        12/20/23        681  

Ginnie Mae

      950        5.00        9/15/24        958  

Ginnie Mae

      8,137        5.00        6/20/26        8,156  

Ginnie Mae

      389,149        6.00        7/20/37        411,137  
           

 

 

  
              2,122,096  
           

 

 

  

Other Federal Agency Securities - 0.7%

            

Small Business Administration Pools, PRIME - 2.50% 1

     260,167        3.75        5/25/43        259,819  

Small Business Administration Pools, PRIME + 0.80% 1

     190,691        7.05        3/25/30        201,671  

Small Business Administration Pools, PRIME + 0.82% 1

     475,646        7.07        2/25/28        497,681  
           

 

 

  
              959,171  
           

 

 

  

Total Mortgage Pass-Through Securities
(cost: $23,655,503)

               22,953,494  
           

 

 

  

Taxable Municipal Bonds - 17.4%

            

Benton & Polk School District No. 17J

      1,300,000        5.47        6/15/27        1,338,935  

Borough of Naugatuck CT G.O.

      190,000        1.40        9/15/27        162,746  

Cape Girardeau School District No. 63

      1,000,000        5.35        3/1/27        1,005,606  

City of Cleveland OH

      125,000        1.28        10/1/26        108,934  

City of Kansas MO 9

     1,245,000        3.27        4/1/25        1,188,440  

City of Salt Lake UT

      550,000        4.88        10/1/27        547,888  

Clark County School District Finance Corp.

      1,000,000        5.20        6/1/26        1,018,360  

Colorado Housing & Finance Authority

      750,000        6.50        5/1/48        790,342  

Colorado Housing & Finance Authority

      5,000        4.00        11/1/31        4,947  

Commonwealth of Massachusetts

      1,500,000        4.11        7/15/31        1,448,205  

County of Cook IL

      1,200,000        5.79        11/15/29        1,220,592  

County of Yamhill OR

      415,000        4.50        10/1/30        400,732  

Dallas Center-Grimes Community School District

      500,000        5.85        7/1/29        509,180  

District of Columbia 9

     1,000,000        3.85        2/28/25        962,020  

Duluth Independent School District No. 709

      250,000        2.00        2/1/24        242,392  

 

   
DECEMBER 31, 2022    3

    

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Sit Quality Income Fund (Continued)

 

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

Fair

Value ($)

  

Florida Capital Projects Finance Authority

      605,000        4.00        10/1/24        577,000  

Jersey City, NJ G.O.

      335,000        1.13        9/1/26        290,455  

Kentucky Higher Education Student Loan Corp.

      1,000,000        2.52        6/1/35        872,650  

Louisiana Local Government Environmental Facilities & Community Development Authority

      1,500,000        3.62        2/1/29        1,454,010  

Maryland Community Development Administration

      315,000        3.95        3/1/27        300,834  

Maryland Community Development Administration

      500,000        4.40        3/1/53        480,760  

Massachusetts Educational Financing Authority

      120,000        4.00        1/1/32        115,954  

Massachusetts Educational Financing Authority

      205,000        4.41        7/1/34        201,472  

Massachusetts Educational Financing Authority

      1,000,000        2.64        7/1/37        902,250  

Miami University of Ohio

      1,075,000        6.67        9/1/28        1,145,187  

Michigan State Housing Development Authority

      455,000        2.90        6/1/52        422,072  

Minnesota Housing Finance Agency

      275,000        4.17        1/1/25        270,952  

Mount Diablo Unified School District

      1,000,000        5.55        8/1/27        1,017,571  

New Hampshire Housing Finance Authority

      20,000        4.00        7/1/35        19,981  

New Mexico Educational Assistance Foundation

      1,000,000        2.11        9/1/51        951,940  

North Dakota Housing Finance Agency

      565,000        2.86        7/1/24        546,344  

Oklahoma Development Finance Authority

      500,000        3.88        5/1/37        473,505  

Oklahoma Development Finance Authority

      1,000,000        4.14        12/1/33        963,440  

Rhode Island Convention Center Authority 9

     700,000        3.58        5/15/26        667,702  

South Dakota Housing Development Authority

      1,000,000        5.46        5/1/53        1,005,510  

St. Charles Parish School District No. 1

      250,000        2.00        3/1/27        223,450  

State Public School Building Authority

      1,000,000        5.00        9/15/27        1,001,220  

Wisconsin Housing & Economic Development Authority 8

     335,000        3.50        3/1/46        331,231  
           

 

 

  

Total Taxable Municipal Bonds
(cost: $26,146,411)

               25,184,809  
           

 

 

  

U.S. Treasury / Federal Agency Securities - 16.1%

            

Federal Agency Issues - 10.1%

            

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

     250,000        5.09        3/9/23        250,143  

Federal Farm Credit Banks Funding Corp.

      1,350,000        4.92        1/12/26        1,346,001  

Federal Farm Credit Banks Funding Corp.

      1,000,000        5.65        10/27/25        998,292  

Federal Home Loan Banks

      2,800,000        4.13        8/28/25        2,756,155  

Federal Home Loan Mortgage Corp.

      1,900,000        4.05        7/21/25        1,865,127  

Federal Home Loan Mortgage Corp.

      4,200,000        4.63        9/29/25        4,169,052  

Federal National Mortgage Association

      2,800,000        4.13        8/28/25        2,748,570  

U.S. Department of Housing and Urban Development

      530,000        4.28        8/1/27        530,040  
           

 

 

  
              14,663,380  
           

 

 

  

U.S. Treasury - 6.0%

            

U.S. Treasury Bill 6

     5,450,000        3.40        9/7/23        5,286,312  

U.S. Treasury Bill 6

     1,000,000        4.31        3/14/23        991,877  

U.S. Treasury Notes

      2,500,000        2.88        10/31/23        2,462,598  
           

 

 

  
              8,740,787  
           

 

 

  

Total U.S. Treasury / Federal Agency Securities
(cost: $23,594,982)

               23,404,167  
           

 

 

  

 

   
4   

    

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2022

Sit Quality Income Fund (Continued)

 

Name of Issuer    Quantity                                        

Fair

Value ($)

  

Short-Term Securities - 13.9%

         

Fidelity Inst. Money Mkt. Gvt. Fund, 4.06

         

(cost: $20,233,227)

      20,233,227           20,233,227  
        

 

 

  

Total Investments in Securities - 99.0%

         

(cost: $148,281,430)

            143,601,767  
        

 

 

  

Other Assets and Liabilities, net - 1.0%

            1,479,080  
        

 

 

  

Net Assets - 100.0%

          $ 145,080,847  
        

 

 

  

 

1

Variable rate security. Rate disclosed is as of December 31, 2022. 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, 2022 was $16,097,430 and represented 11.1% 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, 2022, 0.2% of net assets in the Fund was invested in such securities.

9

Municipal Lease Security. The total value of such securities as of December 31, 2022 was $2,818,162 and represented 1.9% of net assets. These securities have 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 December 31, 2022.

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

Short futures contracts outstanding as of December 31, 2022 were as follows:

 

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

Short Futures: 10

          

U.S. Treasury 5-Year

      117        March 2023        (12,627,774 )      120,577  

 

10 

The amount of $500,000 in cash was segregated with the broker to cover margin requirements for derivative transactions as of December 31, 2022.

A summary of the levels for the Fund’s investments as of December 31, 2022 is as follows:

 

     Investment in Securities  
     Level 1      Level 2      Level 3         
     Quoted Prices ($)      Other significant
observable inputs ($)		      Significant
unobservable inputs ($)		      Total ($)  

Asset-Backed Securities

      —        2,466,132        —        2,466,132  

Collateralized Mortgage Obligations

      —        23,741,660        —        23,741,660  

Corporate Bonds

      —        25,618,278        —        25,618,278  

Mortgage Pass-Through Securities

      —        22,953,494        —        22,953,494  

Taxable Municipal Bonds

      —        25,184,809        —        25,184,809  

U.S. Treasury / Federal Agency Securities

      —        23,404,167        —        23,404,167  

Short-Term Securities

      20,233,227        —        —        20,233,227  

Futures

      120,577        —        —        120,577  

Total:

      20,353,804        123,368,540        —        143,722,344  

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.

 

   
DECEMBER 31, 2022    5