NPORT-EX 2 SI15SIT123123.htm HTML

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Sit Quality Income Fund

 

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

Fair

     Value ($)     

Asset-Backed Securities - 2.5%

            

Agency - 0.4%

            

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

     370,674        6.21        5/28/35        363,620   

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

      46,762        5.64        4/1/26        46,432  

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

      44,621        5.49        2/1/27        44,063  

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

      83,432        5.57        10/1/27        82,764  
           

 

 

 

              536,879  
           

 

 

 

Non-Agency - 2.1%

            

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

     102,684        5.01        8/25/32        100,750  

Home Equity Mortgage Loan Asset-Backed Trust, Series 2003-A, Class AV2, TSFR1M + 0.97% 1

      69,341        4.69        10/25/33        69,078  

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

      37,295        2.75        1/25/61        36,524  

RCKT Mortgage Trust, Series 2023-CES3, Class A1A 4

     992,783        7.11        11/25/43        1,012,775  

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

      800,000        3.00        11/25/58        786,013  

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

      324,074        2.18        2/25/60        308,395  

Towd Point Mortgage Trust, Series 2023-CES2, Class A1A 1, 4

      490,740        7.29        10/25/63        502,329  
           

 

 

 

              2,815,864  
           

 

 

 

Total Asset-Backed Securities
(cost: $3,371,664)

               3,352,743  
           

 

 

 

Collateralized Mortgage Obligations - 22.9%

            

Agency - 17.5%

            

FHLMC REMICS, Series 3104, Class BY

      17,766        5.50        1/15/26        17,675  

FHLMC REMICS, Series 3418, Class DF

      389,720        6.00        3/15/32        399,864  

FHLMC REMICS, Series 3806, Class JA

      11,041        3.50        2/15/26        10,957  

FHLMC REMICS, Series 3982, Class LA

      230,953        2.50        12/15/39        228,014  

FHLMC REMICS, Series 4246, Class PT

      203,489        6.50        2/15/36        211,738  

FHLMC REMICS, Series 4390, Class CA

      836,535        3.50        6/15/50        819,170  

FHLMC REMICS, Series 4717, Class KV

      1,027,533        3.50        8/15/40        1,009,738  

FHLMC REMICS, Series 4759, Class NA

      22,500        3.00        8/15/44        22,228  

FHLMC REMICS, Series 5226, Class D

      413,848        3.50        12/15/45        399,827  

FHLMC REMICS, Series 5252, Class BT

      915,445        6.00        9/25/52        950,886  

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

      483,869        7.00        3/25/44        480,127  

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

     230,615        3.73        8/25/43        214,855  

FNMA REMICS, Series 2002-W1, Class 2A 1

     810,582        4.66        2/25/42        786,264  

FNMA REMICS, Series 2004-W5, Class A1

      1,536,205        6.00        2/25/47        1,540,853  

FNMA REMICS, Series 2011-10, Class AC

      1,664,680        3.00        2/25/41        1,580,181  

FNMA REMICS, Series 2011-146, Class LX

      974,475        3.50        10/25/40        946,431  

FNMA REMICS, Series 2015-61, Class VB

      871,000        3.50        6/25/34        846,357  

FNMA REMICS, Series 2017-97, Class DP

      10,732        3.50        10/25/46        10,483  

FNMA REMICS, Series 2018-25, Class AG

      163,469        3.50        4/25/47        156,539  

FNMA REMICS, Series 2023-64, Class HA

      3,394,949        5.50        9/25/50        3,401,655  

FNMA Trust, Series 2004-W9, Class 1A3

      646,399        6.05        2/25/44        644,286  

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

      74,099        3.49        1/25/24        73,815  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K728, Class A2 1

     2,467,911        3.06        8/25/24        2,429,811  

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K730, Class A2 1

     2,948,077        3.59        1/25/25        2,901,098  

FRESB Mortgage Trust, Series 2018-SB45, Class A5H, SOFRRATE 30 Day Average + 0.81% 1

     149,661        6.15        11/25/37        148,670  

FRESB Mortgage Trust, Series 2018-SB46, Class A5H, SOFRRATE 30 Day Average + 0.81% 1

     513,053        6.15        12/25/37        497,200  

Government National Mortgage Association, Series 2020-149, Class AW

      1,626,139        5.50        10/20/50        1,674,780  

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

      242,378        4.00        2/25/59        225,321  

Seasoned Credit Risk Transfer Trust, Series 2022-2, Class M5TU

      1,370,188        4.00        4/25/62        1,269,655  
           

 

 

 

              23,898,478  
           

 

 

 

Non-Agency - 5.4%

            

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

      585,011        2.50        6/25/51        521,386  

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

      786,057        2.50        5/25/52        682,325  

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

      1,387,564        2.50        10/25/51        1,212,432  

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

      478,392        2.50        11/25/51        417,372  

 

 

DECEMBER 31, 2023

   

 

1

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Sit Quality Income Fund (Continued)

 

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

Fair

     Value ($)     

JP Morgan Mortgage Trust, Series 2022-1, Class A11, SOFRRATE 30 Day Average + 0.85% 1, 4

      2,545,873        5.00        7/25/52        2,345,067   

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

      201,536        4.00        3/25/57        190,433  

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

      212,973        4.00        4/25/57        201,580  

New Residential Mortgage Loan Trust, Series 2017-5A, Class A1, TSFR1M + 1.61% 1, 4

      67,650        6.97        6/25/57        67,172  

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

      155,329        4.00        12/25/57        147,700  

New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S, TSFR1M + 0.86% 1, 4

      185,172        6.22        1/25/48        178,362  

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

      239,628        2.50        11/25/50        215,573  

Sequoia Mortgage Trust, Series 2023-4, Class A10 1, 4

      938,606        6.00        11/25/53        937,958  

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

      216,706        2.50        9/25/50        194,140  
           

 

 

 

              7,311,500  
           

 

 

 

Total Collateralized Mortgage Obligations
(cost: $32,039,617)

               31,209,978  
           

 

 

 

Corporate Bonds - 15.7%

            

American Tower Trust 4

     1,300,000        5.49        3/15/28        1,319,572  

BGC Group, Inc.

      900,000        4.38        12/15/25        863,924  

Booz Allen Hamilton, Inc. 4

     1,500,000        3.88        9/1/28        1,414,666  

British Airways 2020-1 Class B Pass Through Trust 4

     277,951        8.38        11/15/28        287,226  

Cabot Corp.

      583,000        4.00        7/1/29        553,475  

Cadence Bank (Subordinated), 3 Mo. Libor + 2.47% 1

     1,565,000        4.13        11/20/29        1,456,402  

Comerica Bank

      500,000        2.50        7/23/24        489,674  

Comerica Bank (Subordinated)

      750,000        7.88        9/15/26        768,384  

CVS Pass-Through Trust Series 2009 4

     780,961        8.35        7/10/31        843,793  

Delta Air Lines 2015-1 Class AA Pass Through Trust

      325,730        3.63        7/30/27        306,916  

DTE Electric Securitization Funding II, LLC

      875,000        5.97        3/1/32        919,053  

Equitable Financial Life Global Funding 4

     800,000        1.80        3/8/28        701,621  

F&G Global Funding 4

     1,600,000        5.15        7/7/25        1,576,826  

Fairfax US, Inc. 4

     600,000        4.88        8/13/24        598,774  

First-Citizens Bank & Trust Co. (Subordinated), US Treasury + 2.37% 1

     1,500,000        4.13        11/13/29        1,448,069  

Minnesota Life Insurance Co. (Subordinated) 4

     1,020,000        8.25        9/15/25        1,059,100  

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

      1,400,000        7.94        12/15/24        1,398,620  

Old National Bancorp, Inc. (Subordinated)

      607,000        5.88        9/29/26        607,750  

Prudential Insurance Co. of America (Subordinated) 4

     325,000        8.30        7/1/25        335,591  

Reliant Bancorp, Inc. (Subordinated), TSFR3M + 3.77% 1

     1,250,000        5.13        12/15/29        1,162,582  

SBA Tower Trust 4

     1,300,000        6.60        1/15/28        1,337,027  

SouthState Corp. (Subordinated), TSFR3M + 5.62% 1

     650,000        5.75        6/1/30        609,696  

Tennessee Gas Pipeline Co., LLC

      555,000        7.00        10/15/28        601,452  

US Bancorp, SOFRRATE + 2.02% 1

     700,000        5.78        6/12/29        719,698  
           

 

 

 

Total Corporate Bonds
(cost: $21,613,432)

               21,379,891  
           

 

 

 

Mortgage Pass-Through Securities - 28.3%

            

Federal Home Loan Mortgage Corporation - 5.1%

            

Freddie Mac

      2,248,190        2.50        8/1/30        2,129,901  

Freddie Mac

      29,842        3.00        9/1/27        29,002  

Freddie Mac

      2,388,092        3.00        4/1/33        2,265,002  

Freddie Mac

      4,982        3.50        7/1/26        4,895  

Freddie Mac

      32,284        4.00        7/1/26        31,691  

Freddie Mac

      34,199        4.00        1/1/27        33,757  

Freddie Mac

      527,898        4.00        4/1/29        518,719  

Freddie Mac

      112,876        4.00        10/1/31        110,713  

Freddie Mac

      745        4.50        7/1/26        742  

Freddie Mac

      395,978        4.50        6/1/39        393,401  

Freddie Mac

      1,860        5.00        10/1/25        1,844  

Freddie Mac

      1,326,638        5.00        8/1/38        1,334,232  
           

 

 

 

              6,853,899  
           

 

 

 

 

 

2

     

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Sit Quality Income Fund (Continued)

 

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

Fair

     Value ($)     

Federal National Mortgage Association - 20.3%

            

Fannie Mae

      388,324        3.00        10/1/27        376,769   

Fannie Mae

      41,703        3.00        8/1/28        40,508  

Fannie Mae

      551,467        3.00        5/1/30        530,835  

Fannie Mae

      396,038        3.00        11/1/31        384,565  

Fannie Mae

      1,492,114        3.00        10/1/32        1,415,465  

Fannie Mae

      68,098        3.50        1/1/26        66,888  

Fannie Mae

      1,697,600        3.50        4/1/32        1,637,260  

Fannie Mae

      389,716        3.50        11/1/38        374,257  

Fannie Mae

      327        4.00        9/1/24        324  

Fannie Mae

      12,594        4.00        6/1/25        12,442  

Fannie Mae

      6,767        4.00        10/1/31        6,628  

Fannie Mae

      407,067        4.00        10/1/34        401,212  

Fannie Mae

      913,328        4.00        6/1/38        894,646  

Fannie Mae

      5,987        4.50        4/1/25        5,955  

Fannie Mae

      912,664        4.50        3/1/29        907,729  

Fannie Mae

      95,202        4.50        7/1/31        94,769  

Fannie Mae

      1,922,414        4.50        4/1/39        1,911,480  

Fannie Mae

      2,619,025        5.00        3/1/43        2,628,548  

Fannie Mae

      544,929        5.50        12/1/35        561,636  

Fannie Mae

      750,000        5.50        12/1/38        760,742  

Fannie Mae

      852,265        5.50        1/1/40        878,461  

Fannie Mae

      376,792        5.50        8/1/40        400,501  

Fannie Mae

      591,738        5.50        2/1/42        609,899  

Fannie Mae

      880,567        5.50        5/1/49        897,392  

Fannie Mae

      550,958        5.50        9/1/49        567,859  

Fannie Mae

      1,828,585        5.50        8/1/56        1,891,701  

Fannie Mae

      1,267,368        6.00        9/1/29        1,287,821  

Fannie Mae

      531,432        6.00        7/1/37        554,862  

Fannie Mae

      954,534        6.00        11/1/38        976,970  

Fannie Mae

      1,145,838        6.00        10/1/53        1,164,329  

Fannie Mae

      1,297,314        6.00        10/1/53        1,320,116  

Fannie Mae

      592,924        6.50        5/1/40        618,677  

Fannie Mae

      742,445        7.00        1/1/40        766,016  

Fannie Mae

      587,640        7.00        1/1/40        606,295  

Fannie Mae

      2,156,447        7.50        10/1/38        2,238,629  
           

 

 

 

              27,792,186  
           

 

 

 

Government National Mortgage Association - 2.5%

            

Ginnie Mae, US Treasury + 1.50% 1

     14,595        3.88        4/20/33        14,497  

Ginnie Mae, US Treasury + 1.50% 1

     4,281        3.88        4/20/42        4,280  

Ginnie Mae

      795,423        4.00        7/20/26        780,848  

Ginnie Mae

      142        5.00        9/15/24        141  

Ginnie Mae

      2,748        5.00        6/20/26        2,715  

Ginnie Mae

      512,637        6.00        2/20/34        526,094  

Ginnie Mae

      344,228        6.00        7/20/37        363,541  

Ginnie Mae

      1,668,150        6.00        9/20/38        1,697,605  
           

 

 

 

              3,389,721  
           

 

 

 

Other Federal Agency Securities - 0.4%

            

Small Business Administration Pools, PRIME - 2.50% 1

     147,041        6.00        5/25/43        146,459  

Small Business Administration Pools, PRIME + 0.79% 1

     290,401        9.29        2/25/28        300,541  

Small Business Administration Pools, PRIME + 0.89% 1

     131,915        9.39        3/25/30        138,222  
           

 

 

 

              585,222  
           

 

 

 

Total Mortgage Pass-Through Securities
(cost: $38,925,692)

               38,621,028  
           

 

 

 

Taxable Municipal Bonds - 23.5%

            

Alief Independent School District G.O.

      800,000        5.20        2/15/27        800,336  

 

 

DECEMBER 31, 2023

   

 

3

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Sit Quality Income Fund (Continued)

 

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

Fair

     Value ($)     

Arizona School Facilities Board 9

     1,010,000        6.00        9/1/27        1,050,087   

City of San Francisco CA

      105,000        5.50        11/1/25        105,956  

Colorado Housing & Finance Authority

      745,000        6.50        5/1/48        780,499  

Colorado Housing & Finance Authority

      5,000        4.00        11/1/31        4,956  

County of Yamhill OR

      370,000        4.50        10/1/30        353,043  

Florida Capital Projects Finance Authority

      250,000        4.00        10/1/24        246,643  

Florida Housing Finance Corp.

      1,000,000        6.50        1/1/55        1,062,320  

Idaho Housing & Finance Association

      1,000,000        6.50        7/1/53        1,060,090  

Idaho Housing & Finance Association

      1,000,000        6.00        1/1/48        1,037,820  

Illinois Housing Development Authority

      995,000        5.75        10/1/53        1,021,357  

Illinois Housing Development Authority

      1,000,000        6.50        4/1/54        1,047,530  

Kentucky Higher Education Student Loan Corp. 8

     960,000        2.52        6/1/35        820,963  

Kentucky Higher Education Student Loan Corp.

      1,000,000        5.95        6/1/37        989,370  

Kindred Public School District No. 2

      1,000,000        6.00        8/1/27        1,037,600  

Louisiana Local Government Environmental Facilities & Community Development Authority

      1,191,407        3.62        2/1/29        1,164,743  

Maine Municipal Bond Bank

      500,000        6.12        11/1/26        516,100  

Maryland Community Development Administration

      315,000        3.95        3/1/27        307,916  

Maryland Community Development Administration

      490,000        4.40        3/1/53        477,118  

Maryland Community Development Administration

      500,000        3.24        9/1/48        485,360  

Maryland Community Development Administration

      1,000,000        6.00        9/1/53        1,029,080  

Massachusetts Educational Financing Authority

      90,000        4.00        1/1/32        87,985  

Massachusetts Educational Financing Authority

      180,000        4.41        7/1/34        176,171  

Massachusetts Educational Financing Authority

      1,000,000        2.64        7/1/37        914,460  

Massachusetts Housing Finance Agency

      1,000,000        6.50        12/1/52        1,058,330  

Massachusetts State College Building Authority

      500,000        5.83        5/1/30        520,760  

Miami University of Ohio

      1,075,000        6.67        9/1/28        1,144,445  

Michigan Municipal Bond Authority

      500,000        6.70        5/1/27        501,720  

Minnesota Housing Finance Agency

      1,000,000        6.25        7/1/53        1,040,930  

Minnesota Housing Finance Agency

      270,000        4.17        1/1/25        267,732  

New Hampshire Housing Finance Authority

      5,000        4.00        7/1/35        5,000  

North Carolina Housing Finance Agency

      500,000        6.50        1/1/55        526,495  

North Dakota Housing Finance Agency

      565,000        2.86        7/1/24        559,124  

Oklahoma Development Finance Authority

      441,036        3.88        5/1/37        426,424  

Oklahoma Development Finance Authority

      931,996        4.14        12/1/33        910,700  

Rhode Island Convention Center Authority 9

     700,000        3.58        5/15/26        679,959  

Rhode Island Housing & Mortgage Finance Corp.

      500,000        6.50        10/1/52        535,090  

Rhode Island Student Loan Authority

      1,000,000        4.00        12/1/38        979,410  

South Dakota Housing Development Authority

      975,000        5.46        5/1/53        979,719  

St. Louis School District

      1,000,000        6.45        4/1/28        1,069,500  

State of Oregon Housing & Community Services Department

      1,000,000        6.25        7/1/53        1,045,920  

State Public School Building Authority

      1,000,000        5.00        9/15/27        1,012,910  

State Public School Building Authority

      1,000,000        5.49        9/15/29        1,022,370  

Utah Housing Corp.

      1,000,000        6.25        1/1/54        1,033,090  

Wisconsin Housing & Economic Development Authority 8

     200,000        3.50        3/1/46        198,150  
           

 

 

 

Total Taxable Municipal Bonds
(cost: $32,115,304)

               32,095,281  
           

 

 

 

U.S. Treasury / Federal Agency Securities - 5.6%

            

Federal Agency Issues - 5.6%

            

Federal Home Loan Banks

      1,400,000        5.40        2/23/26        1,399,464  

Federal Home Loan Banks

      2,000,000        5.80        8/10/26        1,999,084  

Federal Home Loan Banks

      2,000,000        5.88        8/10/26        1,998,861  

Federal Home Loan Mortgage Corp.

      1,300,000        5.95        7/20/26        1,299,964  

Federal Home Loan Mortgage Corp.

      900,000        6.00        2/26/27        898,436  
           

 

 

 

              7,595,809  
           

 

 

 

Total U.S. Treasury / Federal Agency Securities
(cost: $7,596,989)

               7,595,809  
           

 

 

 

 

 

4

     

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Sit Quality Income Fund (Continued)

 

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

Fair

     Value ($)     

Put Options Purchased 19 - 0.1%
(cost: $180,931)

               104,297   
                              
         
Name of Issuer    Quantity                     

Fair

Value ($)

Short-Term Securities - 2.1%

            

Fidelity Inst. Money Mkt. Gvt. Fund, 5.29%
(cost: $2,887,075)

      2,887,075              2,887,075  
           

 

 

 

Total Investments in Securities - 100.7%
(cost: $138,730,704)

               137,246,102  
           

 

 

 

Other Assets and Liabilities, net - (0.7)%

               (978,187 ) 
           

 

 

 

Net Assets - 100.0%

               $136,267,915  
           

 

 

 

 

 

1 

Variable rate security. Rate disclosed is as of December 31, 2023. 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, 2023 was $20,830,352 and represented 15.3% of net assets. These securities have been determined to be liquid by the Adviser in accordance with guidelines established by the Board of Directors.

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, 2023, 0.7% 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, 2023 was $1,730,046 and represented 1.3% 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, 2023.

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

Short futures contracts outstanding as of December 31, 2023 were as follows:

 

Type           Contracts                    Expiration        
Date		    Notional  
        Amount ($)         		     

Value/

Unrealized

Appreciation
        (Depreciation) ($)        

 

Short Futures: 10

          

U.S. Treasury 5-Year

   120    March 2024      (13,052,813)        (158,057)  

 

10 

The amount of $400,000 in cash was segregated with the broker to cover margin requirements for derivative transactions as of December 31, 2023.

 

19 

Options outstanding as of December 31, 2023 were as follows:

 

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

Put Options Purchased - U.S. Treasury Futures:

 

               

5-Year

      160        107.00        February 2024      StoneX Financial, Inc.      17,120,000        95,611        43,750        

5-Year

      125        107.75        February 2024      StoneX Financial, Inc.      13,468,750        85,320        60,547        
              

 

 

  

Total

                       30,588,750        180,931        104,297        
              

 

 

  

 

 

DECEMBER 31, 2023

   

 

5

 

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Sit Quality Income Fund (Continued)

 

A summary of the levels for the Fund’s investments as of December 31, 2023 is as follows:

 

    Investment in Securities  
   

Level 1

Quoted

      Prices ($)      

    

Level 2

Other significant

      observable inputs ($)      

    

Level 3

Significant
    unobservable inputs ($)    

           Total ($)        

Assets

        

Asset-Backed Securities

     —       3,352,743       —       3,352,743    

Collateralized Mortgage Obligations

     —       31,209,978       —       31,209,978  

Corporate Bonds

     —       21,379,891       —       21,379,891  

Mortgage Pass-Through Securities

     —       38,621,028       —       38,621,028  

Taxable Municipal Bonds

     —       32,095,281       —       32,095,281  

U.S. Treasury / Federal Agency Securities

     —       7,595,809       —       7,595,809  

Put Options Purchased

     104,297                   —       —       104,297  

Short-Term Securities

     2,887,075                   —       —       2,887,075  

Total:

     2,991,372       134,254,730       —       137,246,102  

Liabilities

        

Futures

     (158,057 )                  —       —       (158,057 ) 

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