Sit U.S. Government Securities Fund (SNGVX) NPORT-P Sit U S Government Securities Fund Inc (Jun 2022 report)

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2022

Sit U.S. Government Securities Fund

Principal Amount ($)		Coupon Rate (%)	Maturity Date			Fair Value ($)
	Mortgage Pass-Through Securities - 24.5%
	Federal Home Loan Mortgage Corporation - 2.9%
	358,356	3.00		1/1/44			344,133
	34,728	4.00		7/1/25			35,151
	324,750	5.00		5/1/42			334,000
	1,020,414	5.50		8/1/49			1,098,838
	47,945	5.82		10/1/37			50,287
	252,301	6.50		12/1/34			264,987
	191,570	6.88		2/17/31			201,273
	28,462	7.00		8/1/27			28,589
	311,253	7.00		4/1/28			321,202
	2,317,017	7.00		12/1/31			2,471,472
	355,332	7.00		2/1/37			369,838
	234,130	7.00		4/1/37			259,781
	3,315,741	7.00		10/1/37			3,599,640
	1,799,804	7.00		10/1/38			2,005,147
	11,049	7.38		12/17/24			11,037
	30,218	7.50		1/1/31			30,331
	228,733	7.50		1/1/32			247,061
	181,177	7.50		8/1/32			188,429
	4,128	7.95		10/1/25			4,139
	11,761	8.00		5/1/31			11,794
	47,149	8.00		11/1/36			51,690
	81,335	8.00		1/1/37			90,104
	56,064	8.50		6/20/27			59,627
	12,643	8.50		12/1/29			13,210
	62,234	8.50		3/1/31			67,009
	9,054	9.00		3/20/27			9,092
	24,862	9.00		2/17/31			24,522
	13,966	9.00		5/1/31			14,065
	705	10.00		7/1/30			707
							12,207,155
	Federal National Mortgage Association - 13.8%
	4,334,000	1.19		5/1/32	1		4,333,009
	6,275,000	1.22		4/1/32	1		6,273,841
	3,100,000	2.48		2/1/35			2,716,849
	3,100,000	2.68		2/1/35			2,759,770
	1,658,288	4.50		4/1/48			1,684,713
	1,084,931	5.00		9/1/43			1,162,036
	7,761,779	5.00		2/1/49			8,152,930
	396,596	5.00		6/1/51			426,522
	340,902	5.50		6/1/33			353,137
	3,621,184	5.50		12/1/41			3,945,777
	2,007,498	5.50		1/1/49			2,150,662
	1,077,113	5.50		5/1/49			1,127,939
	572,240	5.50		4/1/50			602,453
	815,156	5.93		5/1/35			814,305
	324,084	6.00		11/1/34			348,907
	144,974	6.00		1/1/36			155,699
	61,729	6.00		5/1/37			64,974
	50,557	6.00		9/1/37			51,898
	1,200,772	6.00		4/1/38			1,317,178
	394,517	6.00		2/1/40			422,149
	3,382,881	6.00		5/1/41			3,708,507
	777,546	6.50		2/1/29			816,378
	105,637	6.50		3/1/29			107,620
	107,891	6.50		6/1/31			113,423
	47,350	6.50		8/1/34			49,598
	219,346	6.50		11/1/34			225,677
	159,749	6.50		1/1/39			164,170

Principal Amount ($)		Coupon Rate (%)	Maturity Date		Fair Value ($)
	338,042	6.50		6/1/40		364,762
	746,499	6.75		6/1/32		809,389
	529,911	6.86		6/1/40		563,537
	14,350	7.00		2/1/26		14,691
	39,259	7.00		9/1/27		40,451
	20,114	7.00		10/1/27		20,769
	83,261	7.00		11/1/27		86,691
	18,884	7.00		1/1/28		19,491
	14,751	7.00		10/1/32		15,249
	2,410,177	7.00		12/1/32		2,667,268
	74,639	7.00		7/1/33		78,635
	58,676	7.00		7/1/34		61,336
	10,419	7.00		12/1/37		10,938
	2,938,765	7.00		1/1/40		3,181,419
	446,037	7.00		9/1/47		447,903
	1,489	7.50		12/1/22		1,492
	38,498	7.50		4/1/32		39,371
	115,891	7.50		1/1/34		122,703
	2,091,655	7.50		10/1/38		2,287,241
	892,942	7.50		11/1/38		985,047
	6,342	7.77		7/20/30		6,395
	3,224	7.98		8/20/25		3,247
	64,155	8.00		6/1/25		65,776
	3,017	8.00		7/20/28		3,039
	48,050	8.00		2/1/31		51,439
	98,774	8.00		1/1/32		103,700
	50,427	8.00		11/1/37		55,491
	279,078	8.00		3/1/38		311,881
	43,669	8.16		11/15/31		46,796
	53,395	8.50		11/1/26		54,616
	39,634	8.50		3/1/28		40,044
	22,088	8.50		10/1/28		23,276
	64,599	8.50		4/1/29		68,173
	28,169	8.50		10/1/29		28,226
	54,076	8.50		7/1/30		58,710
	34,912	8.50		8/1/30		38,766
	119,950	8.50		4/1/32		135,220
	71,667	8.50		1/1/37		74,709
	1,302	9.00		6/15/25		1,313
	17,836	9.00		5/15/28		17,972
	13,071	9.00		6/1/30		13,192
	6,612	9.00		10/1/30		6,810
	64,487	9.00		2/1/31		65,809
	17,946	9.00		7/1/31		17,980
	22,185	9.00		10/1/31		23,929
	55,198	9.00		8/1/37		56,627
	153,383	9.00		2/1/38		161,754
	10,954	9.50		8/1/24		11,009
	89,778	9.50		5/1/29		96,286
	8,294	9.50		4/1/30		8,697
	29,140	9.50		8/1/31		29,450
	12,328	10.00		2/1/28		12,355
	65,570	10.00		6/1/30		70,257
						57,631,448
	Government National Mortgage Association - 7.3%
	69,796	4.00		12/15/24		71,064
	349,738	4.00		10/20/30		362,357
	6,231,363	4.00		8/20/31		6,355,106
	640,241	4.00		12/20/31		663,677
	504,166	4.25		10/20/31		524,352
	318,501	4.25		3/20/37		325,787

JUNE 30, 2022 1

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2022

Sit U.S. Government Securities Fund (Continued)

Principal Amount ($)		Coupon Rate (%)	Maturity Date			Fair Value ($)
	1,523,945	4.75		9/20/31			1,627,360
	5,362,783	5.00		12/15/45			5,819,902
	429,296	5.00		7/20/49			441,630
	41,974	5.50		9/15/25			41,862
	548,070	5.50		5/15/29			582,729
	459,650	5.50		7/20/37			501,073
	1,414,665	5.75		2/15/29			1,483,364
	523,577	5.75		10/20/31			555,205
	345,299	6.00		9/15/33			361,838
	187,871	6.00		2/20/47			203,748
	2,008,437	6.00		7/20/47			2,198,062
	12,955	6.25		12/15/23			12,634
	471,854	6.25		4/15/29			495,505
	26,426	6.50		11/15/23			26,700
	77,800	6.50		4/15/24			78,621
	501,021	6.50		2/20/28			529,049
	189,978	6.50		2/20/29			194,346
	316,592	6.50		7/20/34			342,287
	15,863	6.50		12/20/38			16,219
	175,000	6.50		1/20/39			190,236
	98,988	6.50		2/20/39			109,094
	216,446	6.50		4/20/39			238,385
	207,923	6.50		6/20/39			227,916
	394,028	6.50		8/20/39			434,089
	225,830	6.50		4/20/43			242,552
	2,348,439	7.00		8/15/29			2,514,881
	2,554,876	7.00		10/15/29			2,738,043
	108,869	7.00		10/15/36			111,496
							30,621,169
	Small Business Administration - 0.5%
	1,270,229	5.33		8/25/36			1,268,505
	648,742	5.33		9/25/36			648,088
							1,916,593
	Total Mortgage Pass-Through Securities (cost: $106,412,792)						102,376,365
	U.S. Treasury / Federal Agency Securities - 9.0%
	U.S. Treasury Inflation Indexed Bonds:
	30,937,244	0.13		1/15/23			31,461,727
	U.S. Treasury Notes:
	600,000	1.88		2/28/27			570,422
	1,400,000	2.88		5/15/32			1,388,406
	U.S. Treasury Strip Principal:
	10,350,000	3.40		11/15/50	6		4,255,229
	Total U.S. Treasury / Federal Agency Securities (cost: $37,546,177)						37,675,784
	Collateralized Mortgage Obligations - 62.3%
	Federal Home Loan Mortgage Corporation - 10.4%
	27,255	5.00		2/15/23			27,263
	2,798,254	5.00		11/25/50			3,038,583
	2,191,755	5.00		11/25/50	1		2,281,083
	5,435,767	5.50		6/25/51			6,043,092
	322,346	5.53		5/15/38	1		325,199
	1,448,551	6.00		1/15/33			1,562,817
	1,382,330	6.00		5/15/36			1,490,062
	1,153,541	6.00		9/15/42			1,229,739
	13,099	6.25		5/15/29			13,327
	21,556	6.50		9/15/23			21,904

Principal Amount ($)		Coupon Rate (%)	Maturity Date			Fair Value ($)
	11,368	6.50		3/15/24			11,627
	258,255	6.50		7/15/27			273,851
	262,757	6.50		2/15/28			276,167
	336,967	6.50		3/15/29			358,036
	9,210	6.50		2/15/30			9,734
	271,765	6.50		1/15/31			289,785
	528,830	6.50		8/15/31			563,324
	131,863	6.50		1/15/32			141,649
	47,045	6.50		3/15/32			50,982
	304,830	6.50		6/25/32			326,382
	145,727	6.50		7/15/32			158,025
	3,225,711	6.50		5/15/33			3,491,962
	684,391	6.50		5/15/35			757,346
	317,589	6.50		8/15/39			346,268
	708,493	6.50		2/25/43			774,674
	408,994	6.50		3/25/43			444,778
	562,289	6.50		7/25/43			612,402
	499,857	6.50		10/25/43			528,295
	284,351	6.50		11/15/43			312,863
	1,771,564	6.50		8/15/45			2,010,330
	299,940	6.50		2/15/49			327,165
	2,946	6.70		9/15/23			2,983
	300,739	6.75		3/15/28			320,495
	267,409	6.95		3/15/28			283,547
	638	7.00		10/15/22			639
	268	7.00		11/15/22			269
	8,109	7.00		3/25/23			8,150
	1,284	7.00		4/15/23			1,297
	7,716	7.00		7/15/23			7,834
	25,482	7.00		1/15/24			25,966
	13,585	7.00		3/15/24			13,829
	30,174	7.00		8/15/25			31,203
	27,622	7.00		9/15/26			28,867
	68,150	7.00		6/15/29			73,441
	177,974	7.00		8/15/29			191,853
	231,620	7.00		10/20/29			251,133
	37,979	7.00		1/15/30			41,619
	119,784	7.00		10/15/30			131,622
	100,446	7.00		7/15/31			109,687
	48,086	7.00		4/15/32			51,459
	343,991	7.00		5/15/32			380,098
	1,708,081	7.00		8/15/41			1,839,534
	3,033,318	7.00		2/25/43			3,249,158
	541,110	7.00		3/25/43			592,793
	753,446	7.00		7/25/43			834,391
	528,674	7.00		3/15/49			579,256
	9,666	7.50		3/15/23			9,779
	46,469	7.50		4/15/23			47,010
	21,638	7.50		9/20/26			22,810
	113,133	7.50		3/15/28			121,804
	205,217	7.50		9/15/29			225,527
	64,914	7.50		12/15/29			70,072
	120,515	7.50		6/15/30			132,647
	194,528	7.50		8/15/30			212,970
	234,492	7.50		9/15/30			260,979
	66,546	7.50		11/15/30			73,140
	1,940,070	7.50		6/15/34			2,208,276
	407,405	7.50		2/25/42			456,304
	1,189,953	7.50		8/25/42	1		1,268,317
	664,897	7.50		9/25/43			711,645
	44,372	8.00		2/15/23			44,835

2

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2022

Sit U.S. Government Securities Fund (Continued)

Principal Amount ($)		Coupon Rate (%)		Maturity Date			Fair Value ($)
	5,675		8.00		4/25/24			5,791
	69,878		8.00		2/15/27			75,219
	89,277		8.00		11/20/29			98,086
	97,529		8.00		1/15/30			107,912
	42,676		8.50		3/15/25			45,165
	17,180		8.50		3/15/32			19,258
								43,367,383
	Federal National Mortgage Association - 16.3%
	340,468		1.71		7/25/37	1		310,953
	399,375		2.97		8/25/43	1		385,199
	176,981		4.55		6/25/43			179,030
	1,887,605		5.00		2/25/42	1		1,913,752
	1,591,348		5.00		7/25/40			1,617,506
	302,908		5.00		11/25/41			315,652
	506,281		5.00		6/25/43			517,457
	2,025,159		5.00		11/25/50			2,113,804
	3,979,208		5.00		12/25/50			4,304,766
	1,269,462		5.16		10/25/42	1		1,344,676
	2,257,213		5.35		12/25/42	1		2,283,321
	485,472		5.36		6/25/42			506,498
	578,031		5.50		9/25/33			612,782
	2,776,146		5.50		6/25/40			2,866,981
	771,356		5.61		12/25/53	1		835,135
	591,845		5.81		8/25/43			612,091
	810,775		6.00		5/25/30			854,961
	138,831		6.00		11/25/32			148,818
	257,300		6.00		7/25/33			277,102
	1,506,151		6.00		5/25/36			1,633,287
	199,529		6.00		6/25/36			214,540
	1,624,209		6.00		11/25/43			1,713,771
	709,724		6.00		9/25/46			733,002
	911,003		6.00		2/25/48			995,349
	211,691		6.00		12/25/49			223,331
	805,036		6.28		8/25/47	1		838,941
	142,325		6.50		8/20/28			147,851
	850,753		6.50		1/25/32			914,203
	145,300		6.50		3/25/32			155,471
	218,164		6.50		6/25/32			236,384
	179,215		6.50		7/25/36			197,665
	41,601		6.50		9/25/36			45,565
	1,566,951		6.50		11/25/41			1,674,591
	179,202		6.50		3/25/42			189,997
	874,385		6.50		5/25/42			957,792
	2,047,594		6.50		7/25/42			2,144,084
	222,086		6.50		9/25/42			236,763
	533,412		6.50		11/25/42			570,775
	2,508,167		6.50		12/25/43			2,696,261
	280,928		6.50		7/25/44			289,423
	183,571		6.51		2/25/45	1		201,583
	284,136		6.64		9/25/37	1		322,192
	1,635,863		6.75		6/25/32			1,802,966
	411,504		6.75		4/25/37			428,392
	291,809		6.84		8/25/37	1		294,994
	39,824		6.85		12/18/27			41,435
	1,125		7.00		11/25/22			1,105
	305		7.00		12/25/22			306
	2,607		7.00		6/25/23			2,638
	115,242		7.00		4/25/24			116,978
	92,716		7.00		9/18/27			98,514
	958,703		7.00		5/25/31			979,207
	1,093,313		7.00		12/25/33			1,195,747

Principal Amount ($)		Coupon Rate (%)		Maturity Date			Fair Value ($)
	65,442		7.00		9/25/40			69,612
	339,635		7.00		10/25/41			361,672
	121,653		7.00		11/25/41			135,511
	247,136		7.00		12/25/41			268,193
	798,152		7.00		7/25/42			873,304
	1,688,032		7.00		2/25/44			1,835,570
	73,852		7.00		8/25/44			80,935
	17,800		7.50		8/20/27			18,943
	165,288		7.50		10/25/40			173,627
	1,156,238		7.50		11/25/40			1,170,553
	633,932		7.50		6/19/41	1		676,338
	1,114,212		7.50		7/25/41			1,224,507
	643,220		7.50		8/25/41			687,870
	227,492		7.50		11/25/41			255,236
	410,177		7.50		1/25/42			450,523
	2,841,570		7.50		5/25/42			3,135,891
	262,396		7.50		6/25/42			287,585
	2,644,100		7.50		8/25/42	1		2,982,978
	895,809		7.50		2/25/44			978,977
	381,834		7.50		3/25/44			415,246
	562,016		7.50		5/25/44			628,899
	37,491		7.50		10/25/44			41,449
	3,627,022		7.50		1/25/48			4,031,799
	203,520		7.85		6/25/44	1		211,971
	163		8.00		7/25/22			163
	19,854		8.00		7/18/27			21,124
	274,908		8.00		7/25/44			294,746
	345,535		8.01		11/25/37	1		385,020
	175,465		8.11		11/25/37	1		194,917
	33,882		8.24		10/25/42	1		38,019
	3,295		8.50		1/25/25			3,441
	314,682		8.50		6/25/30			354,251
	33,478		9.00		11/25/28			36,704
	234,621		9.00		6/25/30			268,979
	43,462		9.00		10/25/30			49,714
	53,372		9.43		6/25/32	1		59,596
	52,548		9.50		11/25/31			59,580
	168,398		9.50		12/25/41			189,105
	750,313		11.28		9/25/42	1		894,907
	11,400		22.50		3/25/39	1		16,403
								68,159,445
	Government National Mortgage Association - 34.5%
	2,079,982		4.76		5/20/51	1		2,188,932
	2,561,048		4.78		5/20/51	1		2,702,024
	4,997,687		4.83		8/20/51	1		5,208,192
	2,482,644		4.90		7/20/51	1		2,595,882
	4,170,972		4.92		4/20/51	1		4,369,832
	3,203,595		5.00		12/20/50			3,409,690
	3,779,958		5.00		1/20/51			4,041,705
	19,982,936		5.00		2/20/51			21,349,431
	3,723,161		5.00		2/20/51	1		4,005,628
	500,000		5.50		9/20/39			545,702
	6,912,655		5.50		10/20/50			7,428,891
	1,894,061		5.50		11/20/50			2,094,644
	3,310,063		5.50		1/20/51			3,619,306
	16,070,901		5.50		5/20/51			17,593,032
	5,089,387		5.50		6/20/51			5,550,287
	12,125,677		5.50		7/20/51			13,200,622
	5,749,068		5.50		11/20/51			6,259,534
	258,775		5.55		4/20/48	1		271,485
	3,666,703		5.60		4/20/40	1		3,908,657

JUNE 30, 2022 3

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2022

Sit U.S. Government Securities Fund (Continued)

Principal Amount ($)		Coupon Rate (%)		Maturity Date			Fair Value ($)
	3,824,612		5.80		3/20/45	1		4,059,685
	8,219,145		5.85		2/20/51	1		9,200,020
	611,900		5.89		10/20/40	1		660,458
	351,359		5.99		11/20/43	1		380,461
	1,290,836		6.00		11/20/33			1,334,757
	388,052		6.00		12/20/35			417,297
	245,270		6.00		3/20/42			264,665
	332,668		6.00		3/20/48			357,208
	1,582,289		6.00		3/20/49			1,667,666
	468,693		6.00		5/20/49			490,761
	1,515,404		6.14		1/20/39	1		1,648,912
	254,456		6.45		4/20/37	1		267,271
	1,299,013		6.45		6/20/41	1		1,404,637
	938,955		6.50		7/20/32			937,358
	930,143		6.50		2/20/37			993,134
	179,315		6.50		9/16/38			189,766
	1,569,231		6.50		8/20/48			1,715,173
	668,858		6.50		10/20/48			724,741
	1,074,620		6.50		1/20/49			1,133,729
	435,782		6.54		7/20/39	1		471,556
	395,491		6.65		4/20/39	1		431,626
	652,981		6.85		8/20/40	1		713,681
	324,832		6.99		6/20/45	1		349,858
	93,805		7.00		9/16/33			97,468
	251,512		7.00		5/20/42			276,717
	663,290		7.00		10/20/48			727,577
	380,023		7.09		2/20/45	1		425,606
	794,522		7.10		12/20/38	1		874,320
	427,329		7.14		12/20/33	1		463,352
	1,083,917		7.31		8/20/38	1		1,190,605
								144,213,541
	Vendee Mortgage Trust - 1.1%
	862,424		6.02		3/15/25	1		909,695
	459,989		6.50		2/15/24			468,047
	1,196,997		6.50		8/15/31			1,236,001
	577,374		6.50		10/15/31			623,474
	398,134		6.75		2/15/26			418,311
	461,016		7.00		3/15/28			478,349
	12,547		7.25		9/15/22			12,529
	106,361		7.25		9/15/25			111,439
	259,514		7.50		2/15/27			273,830
	115,823		7.75		9/15/24			119,377
	54,111		8.00		2/15/25			55,644
	49,917		8.29		12/15/26			52,709
								4,759,405
	Total Collateralized Mortgage Obligations (cost: $273,955,981)							260,499,774
	Asset-Backed Securities - 1.1%
	Federal Home Loan Mortgage Corporation - 0.1%
	316		6.09		9/25/29	1		310
	586,423		7.16		7/25/29			625,591
								625,901
	Federal National Mortgage Association - 0.6%
	8,784		1 Mo. Libor + 0.17%, 1.26		11/25/32	1		8,624
	420,259		4.40		11/25/33	14		413,975
	302,495		4.55		9/26/33	14		301,849
	96,360		4.82		10/25/33	14		102,051
	1,507,101		5.74		2/25/33	14		1,516,933

Principal Amount ($)		Coupon Rate (%)		Maturity Date			Fair Value ($)
	1,999		6.00		5/25/32	14		1,969
	64,872		6.09		10/25/31	14		66,779
	2,708		7.80		6/25/26	1		2,835
								2,415,015
	Small Business Administration - 0.4%
	161,776		5.78		8/1/27			164,870
	713,189		5.87		7/1/28			727,857
	638,664		6.02		8/1/28			656,141
								1,548,868
	Total Asset-Backed Securities (cost: $4,631,590)							4,589,784
	Put Options Purchased 19 - 0.3% (cost: $1,405,847)							1,163,750

Quantity		Name of Issuer		Fair Value ($)
	Short-Term Securities - 1.1%
			Fidelity Inst. Money Mkt. Gvt. Fund,
	4,395,276		1.21%		4,395,276
	(cost: $4,395,276)
	Total Investments in Securities - 98.3% (cost: $428,347,663)				410,700,733
	Call Options Written 19 - (0.2%) (Premium received: $1,262,222)				(684,063	)
	Other Assets and Liabilities - 1.9%				7,996,809
	Net Assets - 100.0%			$	418,013,479

¹  Variable rate security. Rate disclosed is as of June 30, 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.

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.

¹⁴  Step Coupon: A bond that pays a coupon rate that increases on a specified date(s). Rate disclosed is as of June 30, 2022.

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

4

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2022

Sit U.S. Government Securities Fund (Continued)

¹⁹ Options outstanding as of June 30, 2022 were as follows:

Description	Contracts		Exercise     Price ($)		Expiration Date		Counterparty		Notional Amount ($)		Cost/ Premiums ($)			Value ($)
Put Options Purchased - U.S. Treasury Futures:
5-Year		434		111.50		August 2022		StoneX Financial, Inc.		48,391,000		392,052			311,938
10-Year		413		119.50		August 2022		StoneX Financial, Inc.		49,353,500		1,013,795			851,812
Total										97,744,500		1,405,847			1,163,750
Call Options Written - U.S. Treasury Futures:
5-Year		1,000		113.50		August 2022		StoneX Financial, Inc.		113,500,000		(990,176	)		(539,063	)
10-Year		160		120.00		August 2022		StoneX Financial, Inc.		19,200,000		(272,046	)		(145,000	)
Total										132,700,000		(1,262,222	)		(684,063	)

A summary of the levels for the Fund’s investments as of June 30, 2022 is  as follows:

	Investment in Securities
	Level 1			Level 2		Level 3
	Quoted       Prices ($)			Other significant observable inputs ($)		Significant unobservable inputs ($)		Total ($)
Assets
Mortgage Pass-Through Securities		—			102,376,365		—		102,376,365
U.S. Treasury / Federal Agency Securities		—			37,675,784		—		37,675,784
Collateralized Mortgage Obligations		—			260,499,774		—		260,499,774
Asset-Backed Securities		—			4,589,784		—		4,589,784
Put Options Purchased		1,163,750			—		—		1,163,750
Short-Term Securities		4,395,276			—		—		4,395,276
Total:		5,559,026			405,141,707		—		410,700,733
Liabilities
Call Options Written		(684,063	)		—		—		(684,063	)

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.

JUNE 30, 2022 5