NPORT-EX 2 aostrategiccreditfund-nport.htm N-PORT EX

Angel Oak Strategic Credit Fund
            
Schedule of Investments
            
April 30, 2022 (Unaudited)
            
   
Principal
        
   
Amount
    
Value
  
Asset-Backed Securities ― 19.94%
            
Affirm Asset Securitization Trust, Series 2021-A, Class D, 3.490%, 8/15/2025 (a)
  
$
150,000
    
$
145,846
  
Affirm Asset Securitization Trust, Series 2021-A, Class E, 5.650%, 8/15/2025 (a)
    
500,000
      
486,594
  
Affirm Asset Securitization Trust, Series 2021-B, Class E, 4.610%, 8/17/2026 (a)
    
500,000
      
467,345
  
CAL Receivables LLC, Series 2022-1, Class B, 0.000% (SOFR30A + 4.350%), 10/15/2022 (a)(b)(c)
    
100,000
      
98,000
  
Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class C, 5.750%, 12/15/2028 (a)
    
200,000
      
190,338
  
CPS Auto Receivables Trust, Series 2021-D, Class E, 4.060%, 12/15/2028 (a)
    
250,000
      
237,740
  
LendingClub Receivables Trust, Series 2019-1, Class CERT, 6.000%, 7/17/2045 (a)
    
17,660
      
103,705
  
Lendingpoint Asset Securitization Trust, Series 2022-A, Class E, 7.020%, 6/15/2029 (a)
    
100,000
      
94,199
  
Mosaic Solar Loan Trust, Series 2018-1A, Class C, 0.000%, 6/22/2043 (a)(d)
    
129,777
      
122,165
  
Mosaic Solar Loan Trust, Series 2019-1A, Class B, 0.000%, 12/21/2043 (a)(d)
    
36,193
      
33,698
  
Pagaya AI Debt Trust, Series 2022-1, Class C, 4.888%, 10/15/2029 (a)
    
100,000
      
93,473
  
Santander Consumer Auto Receivables Trust, Series 2021-AA, Class F, 5.790%, 8/15/2028 (a)
    
250,000
      
247,826
  
Tricolor Auto Securitization Trust, Series 2022-1A, Class F, 9.800%, 7/16/2029 (a)(c)
    
100,000
      
99,502
  
Upstart Pass-Through Trust, Series 2021-ST9, Class CERT, 4.500%, 11/20/2029 (a)
    
200,000
      
160,917
  
Upstart Pass-Through Trust, Series 2022-ST1, Class CERT, 0.000%, 3/20/2030 (a)
    
100,000
      
88,918
  
TOTAL ASSET-BACKED SECURITIES (Cost ― $2,926,432)
          
$
2,670,266
  
                 
Collateralized Loan Obligations ― 11.94%
                
AIMCO CLO Ltd., Series 2017-AA, Class SUB, 0.000%, 7/20/2029 (a)(e)
    
250,000
      
170,000
  
Monroe Capital MML CLO Ltd., Series 2020-1A, Class E, 9.330% (3 Month LIBOR USD + 8.850%), 8/20/2031 (a)(b)
    
500,000
      
500,000
  
Monroe Capital MML CLO Ltd., Series 2020-1A, Class ER, 8.750% (TSFR3M + 8.750%), 5/20/2034 (a)(b)(c)
    
500,000
      
467,500
  
Rockford Tower CLO Ltd., Series 2019-1A, Class SUB, 0.000%, 4/20/2032 (a)(e)
    
300,000
      
228,000
  
Saranac CLO Ltd., Series 2020-8A, Class E, 8.600% (3 Month LIBOR USD + 8.120%), 2/22/2033 (a)(b)
    
250,000
      
233,567
  
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost ― $1,629,914)
          
$
1,599,067
  
                 
Commercial Mortgage-Backed Securities ― 11.78%
                
Capital Funding Mortgage Trust, Series 2020-9, Class B, 15.900% (1 Month LIBOR USD + 14.900%), 11/28/2022 (a)(b)
    
250,000
      
248,557
  
Capital Funding Mortgage Trust, Series 2021-19, Class B, 16.460% (1 Month LIBOR USD + 15.210%), 11/6/2023 (a)(b)
    
175,000
      
172,761
  
GS Mortgage Securities Corp. Trust, Series 2018-TWR, Class G, 4.479% (1 Month LIBOR USD + 3.925%), 7/15/2031 (a)(b)
    
311,000
      
273,175
  
X-CALI Mortgage Trust, Series 2020-1, Class B1, 9.150% (1 Month LIBOR USD + 7.500%), 2/15/2023 (a)(b)
    
250,000
      
244,296
  
X-CALI Mortgage Trust, Series 2021-9, Class B1, 9.000% (1 Month LIBOR USD + 8.000%), 3/15/2024 (a)(b)
    
50,000
      
48,917
  
X-Caliber Funding LLC, Series 2021-MI3, Class B1, 8.000% (1 Month LIBOR USD + 7.000%), 4/17/2023 (a)(b)
    
500,000
      
489,092
  
X-Caliber Funding LLC, 18.900%, 10/15/2024 (a)(e)
    
100,000
      
99,767
  
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost ― $1,614,980)
          
$
1,576,565
  
                 
Commercial Mortgage-Backed Securities - U.S. Government Agency ― 0.95%
                
Federal Home Loan Mortgage Corp., Series 2017-KF41, Class B, 2.952% (1 Month LIBOR USD + 2.500%), 11/25/2024 (a)(b)
    
138,540
      
126,612
  
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY (Cost ― $131,651)
          
$
126,612
  
                 
Common Stocks ― 1.35%
  
Shares
          
Financial ― 1.35%
                
Essent Group Ltd.
    
2,200
      
89,166
  
NMI Holdings, Inc. (f)
    
5,000
      
91,900
  
TOTAL COMMON STOCKS (Cost ― $205,753)
          
$
181,066
  
   
Principal
          
Corporate Obligations ― 2.23%
  
Amount
          
Financial ― 2.23%
                
WT Holdings, Inc., 7.000%, 4/30/2023 (a)
    
300,000
      
299,077
  
TOTAL CORPORATE OBLIGATIONS (Cost ― $300,000)
          
$
299,077
  
                 
Residential Mortgage-Backed Securities ― 41.06%
                
American Home Mortgage Assets Trust, Series 2006-6, Class XP, 2.054%, 12/25/2046 (e)(g)
    
910,770
      
32,016
  
American Home Mortgage Investment Trust, Series 2006-3, Class 3A2, 6.750%, 12/25/2036 (h)
    
318,982
      
138,404
  
Bayview Opportunity Master Fund Trust, Series 2017-SPL2, Class B1, 4.250%, 6/28/2054 (a)(e)
    
100,000
      
99,927
  
Bellemeade Re Ltd., Series 2020-4A, Class B1, 5.668% (1 Month LIBOR USD + 5.000%), 6/25/2030 (a)(b)
    
250,000
      
244,197
  
Bellemeade Re Ltd., Series 2021-3A, Class M2, 3.439% (SOFR30A + 3.150%), 9/25/2031 (a)(b)
    
500,000
      
460,859
  
CountryWide Alternative Loan Trust, Series 2007-20, Class A1, 1.168% (1 Month LIBOR USD + 0.500%), 8/25/2047 (b)
    
222,408
      
101,039
  
CountryWide Home Loan Mortgage Pass-Through Trust, Series 2004-29, Class 1X, 1.222%, 2/25/2035 (e)(g)
    
2,185,577
      
51,302
  
CSMC Trust, Series 2017-RPL1, Class B4, 2.968%, 7/25/2057 (a)(e)
    
1,515,307
      
328,914
  
DSLA Mortgage Loan Trust, Series 2004-AR2, Class X2, 1.984%, 11/19/2044 (e)(g)
    
420,169
      
10,336
  
GS Mortgage Securities Corp. Trust, Series 2020-PJ3, Class B6, 3.429%, 10/25/2050 (a)(e)(i)
    
1,661,770
      
1,104,058
  
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class B6, 2.783%, 5/25/2051 (a)(e)(i)
    
998,383
      
536,158
  
GSAA Home Equity Trust, Series 2006-15, Class AF6, 6.376%, 9/25/2036 (h)
    
42,184
      
19,254
  
GSAA Home Equity Trust, Series 2006-18, Class AF3A, 5.772%, 11/25/2036 (e)
    
131,962
      
56,217
  
JP Morgan Chase Bank, Series 2021-CL1, Class M5, 3.939% (SOFR30A + 3.650%), 3/27/2051 (a)(b)
    
53,853
      
53,007
  
JP Morgan Chase Bank, Series 2021-CL1, Class B, 7.189% (SOFR30A + 6.900%), 3/27/2051 (a)(b)
    
75,000
      
74,385
  
JP Morgan Chase Bank, Series 2020-CL1, Class M5, 6.268% (1 Month LIBOR USD + 5.600%), 10/25/2057 (a)(b)
    
181,169
      
187,994
  
JP Morgan Mortgage Trust, Series 2019-1, Class B6, 3.431%, 5/25/2049 (a)(e)(i)
    
209,042
      
202,380
  
JP Morgan Mortgage Trust, Series 2019-8, Class B6, 3.906%, 3/25/2050 (a)(e)(i)
    
252,209
      
211,660
  
New Residential Mortgage Loan Trust, Series 2019-6A, Class B6, 4.504%, 9/25/2059 (a)(e)
    
168,742
      
112,815
  
Residential Mortgage Loan Trust, Series 2020-1, Class B2, 4.665%, 1/25/2060 (a)(e)
    
400,000
      
379,376
  
Unison Trust, Series 2021-1, Class A, 4.500%, 4/25/2050 (a)(e)
    
243,171
      
228,755
  
Wells Fargo Credit Risk Transfer Securities Trust, Series 2015-WF1, Class 1M2, 5.918% (1 Month LIBOR USD + 5.250%), 11/25/2025 (a)(b)
    
13,305
      
10,450
  
Western Mortgage Reference Notes, Series 2021-CL2, Class M5, 6.789% (SOFR30A + 6.500%), 7/25/2059 (a)(b)
    
477,130
      
464,448
  
Western Mortgage Reference Notes, Series 2021-CL2, Class B, 8.789% (SOFR30A + 8.500%), 7/25/2059 (a)(b)
    
400,000
      
388,746
  
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost ― $5,752,547)
          
$
5,496,697
  
                 
Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer ― 12.71%
                
Connecticut Avenue Securities Trust, Series 2019-HRP1, Class B1, 9.918% (1 Month LIBOR USD + 9.250%), 11/25/2039 (a)(b)
    
300,000
      
307,125
  
Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1, 3.668% (1 Month LIBOR USD + 3.000%), 1/25/2040 (a)(b)
    
250,000
      
227,813
  
Federal Home Loan Mortgage Corp., Series 2018-HRP1, Class B2, 12.418% (1 Month LIBOR USD + 11.750%), 4/25/2043 (a)(b)
    
95,825
      
103,786
  
Federal Home Loan Mortgage Corp., Series 2017-SPI1, Class B, 4.043%, 9/25/2047 (a)(e)
    
275,332
      
261,498
  
Federal Home Loan Mortgage Corp., Series 2018-SPI3, Class B, 4.148%, 8/25/2048 (a)(e)
    
31,033
      
28,687
  
Federal Home Loan Mortgage Corp., Series 2018-SPI4, Class B, 4.504%, 11/25/2048 (a)(e)
    
306,068
      
302,782
  
Federal Home Loan Mortgage Corp., Series 2020-DNA1, Class B2, 5.918% (1 Month LIBOR USD + 5.250%), 1/25/2050 (a)(b)
    
500,000
      
470,000
  
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER (Cost ― $1,739,600)
          
$
1,701,691
  
                 
   
Shares
          
Short-Term Investments ― 3.11%
                
Money Market Funds ― 3.11%
                
First American Government Obligations Fund, Class U, 0.237% (j)
    
415,999
      
415,999
  
TOTAL SHORT-TERM INVESTMENTS (Cost ― $415,999)
          
$
415,999
  
TOTAL INVESTMENTS ― 105.07% (Cost ― $14,716,876)
          
$
14,067,040
  
Liabilities in Excess of Other Assets ― (5.07%)
            
(679,182
)
NET ASSETS ― 100.00%
          
$
13,387,858
  


LIBOR:
  
London Inter-Bank Offered Rate
          
TSFR3M:
  
3 Month Term Secured Overnight Financing Rate
          
SOFR30A:
  
Secured Overnight Financing Rate 30 Day Average
          
 
              
(a)
  
Security exempt from registration under Rule 144A or Section 4(a)(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities are determined to be liquid by the Adviser, under the procedures established by the Fund's Board of Trustees, unless otherwise denoted. At April 30, 2022,
the value of these securities amounted to $13,061,407 or 97.56% of net assets.
        
(b)
  
Variable or floating rate security based on a reference index and spread. Certain securities are fixed to variable and currently in the fixed phase. Rate disclosed is the rate in effect as of April 30, 2022.
(c)
  
Security issued on a when-issued basis. On April 30, 2022, the total value of investments purchased on a when-issued basis was $665,002 or 4.97% of net assets.
(d)
  
Principal only security.
          
(e)
  
Variable rate security. The coupon is based on an underlying pool of assets. Rate disclosed is the rate in effect as of April 30, 2022.
(f)
  
Non-income producing security.
          
(g)
  
Interest only security.
          
(h)
  
Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate disclosed is the rate in effect as of April 30, 2022.
(i)
  
As of April 30, 2022, the Fund has fair valued these securities. The value of these securities amounted to $2,054,256 or 15.34% of net assets. Value determined using significant unobservable inputs.
(j)
  
Rate disclosed is the seven day yield as of April 30, 2022.
          


Schedule of Open Futures Contracts
                      
 
   
   
   
Value & Unrealized
 
Short Futures Contracts
 Expiration Month    
Number of
Contracts
     Notional Value     Appreciation (Depreciation)  
5 Year ERIS Aged Standard Swap Future
June 2024
      
(1)

 
$
(105,963)

 
$
(2,737)

 
                            


Securities Valuation and Fair Value Measurements (Unaudited)
              
                     
The Fund records its investments at fair value and in accordance with fair valuation accounting standards. The Fund has adopted fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs, if any, during the period. In addition, these standards require expanded disclosure for each major category of assets. These inputs are summarized in the three broad levels listed below:
                     
Level 1 - quoted prices in active markets for identical securities
        
Level 2 - other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments based on the best information available)
                     
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
                     
Investments in registered open-end management investment companies, including money market funds, will be valued based upon the net asset value ("NAV") of such investments and are categorized as Level 1 of the fair value hierarchy.
                     
Fair values for long-term debt securities, including asset-backed securities ("ABS"), collateralized loan obligations ("CLOs"), collateralized mortgage obligations ("CMOs"), corporate obligations, and mortgage-backed securities ("MBS") are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs, including but not limited to, benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and pricing models such as yield measurers calculated using factors such as cash flows, financial or collateral performance and other reference data. In addition to these inputs, MBS and ABS may utilize cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information. Securities that use similar valuation techniques and inputs are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable; the values generally would be categorized as Level 3.
                     
Equity securities, including preferred stocks, that are traded on a national securities exchange, except those listed on the Nasdaq Global Market®, Nasdaq Global Select Market® and the Nasdaq Capital Market® exchanges (collectively, “Nasdaq”), are valued at the last sale price at the close of that exchange. Securities traded on Nasdaq will be valued at the Nasdaq Official Closing Price (“NOCP”). If, on a particular day, an exchange-listed or Nasdaq security does not trade, then: (i) the security shall be valued at the mean between the most recent quoted bid and asked prices at the close of the exchange; or (ii) the security shall be valued at the latest sales price on the Composite Market (defined below) for the day such security is being valued. “Composite Market” means a consolidation of the trade information provided by national securities and foreign exchanges and over-the-counter markets (“OTC”) as published by a pricing service. In the event market quotations or Composite Market pricing are not readily available, Fair Value will be determined in accordance with the procedures adopted by the Board of Trustees (“Board”). All equity securities that are not traded on a listed exchange are valued at the last sale price at the close of the over-the counter market. If a non-exchange listed security does not trade on a particular day, then the mean between the last quoted bid and asked price will be used as long as it continues to reflect the value of the security. If the mean is not available, then bid price can be used as long as the bid price continues to reflect the value of the security. Otherwise Fair Value will be determined in accordance with the procedures adopted by the Board. These securities will generally be categorized as Level 3 securities. When using the market quotations or close prices provided by the pricing service and when the market is considered active, the security will be classified as a Level 1 security. Sometimes, an equity security owned by the Fund will be valued by the pricing service with factors other than market quotations or when the market is considered inactive. When this happens, the security will be classified as a Level 2 security.
                     
Short term debt securities having a maturity of 60 days or less are generally valued at amortized cost, which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.  Reverse repurchase agreements and repurchase agreements are priced at their acquisition cost, and assessed for credit adjustments, which represents fair value.  These securities will generally be categorized as Level 2 securities.
                     
Financial derivative instruments, such as futures contracts, that are traded on a national securities or commodities exchange are typically valued at the settlement price determined by the relevant exchange. Swaps, such as credit default swaps, interest-rate swaps and currency swaps, are valued by a pricing service. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.  Over-the-counter financial derivative instruments, such as certain futures contracts or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of evaluations provided by independent pricing services or broker dealer quotations. Derivatives that use similar valuation techniques as described above are typically categorized as Level 2 of the fair value hierarchy.
                     
Securities may be fair valued in accordance with the fair valuation procedures approved by the Board. The Valuation and Risk Management Oversight Committee is generally responsible for overseeing the Funds' valuation processes and reports quarterly to the Board. The Valuation and Risk Management Oversight Committee has delegated to the Valuation Committee of Angel Oak Capital Advisors, LLC (the"Adviser") the day to day responsibilities for making all necessary determinations of the fair value of portfolio securities and other assets for which market quotations are not readily available or if the prices obtained from independent pricing services are deemed to be unreliable indicators of market or fair value. Representatives of the Adviser's Valuation Committee report quarterly to the Valuation and Risk Management Oversight Committee.
                     
The following is a summary of the investments by their inputs used to value the Fund's net assets as of April 30, 2022:

Assets
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Asset-Backed Securities
  
$
-
    
$
2,670,266
    
$
-
    
$
2,670,266
  
Collateralized Loan Obligations
    
-
      
1,599,067
      
-
      
1,599,067
  
Commercial Mortgage-Backed Securities
    
-
      
1,576,565
      
-
      
1,576,565
  
Commercial Mortgage-Backed Securities - U.S. Government Agency
    
-
      
126,612
      
-
      
126,612
  
 Common Stocks
    
181,066
      
-
      
-
      
181,066
  
 Corporate Obligations
    
-
      
299,077
      
-
      
299,077
  
 Residential Mortgage-Backed Securities
    
-
      
3,442,441
      
2,054,256
      
5,496,697
  
 Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer
    
-
      
1,701,691
      
-
      
1,701,691
  
 Short-Term Investments
    
415,999
      
-
      
-
      
415,999
  
 Total
  
$
597,065
    
$
11,415,719
    
$
2,054,256
    
$
14,067,040
  
 Other Financial Instruments
                                
 Liabilities
                                
 Futures Contracts*
  
$
2,737
    
$
-
    
$
-
    
$
2,737
  

*Futures are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Schedule of Investments.
                     
See the Schedule of Investments for further disaggregation of investment categories. During the period ended April 30, 2022, the Fund recognized $1,842,596 of transfers from Level 2 to Level 3 for securities lacking observable market data due to a decrease in relevant market activity. See the summary of quantitative information about Level 3 Fair Value Measurements for more information.
                     
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

   
Balance as of 01/31/22
    
Amortization/
Accretion
    
Net Realized
Gain (Loss)
    
Change in Net Unrealized Appreciation (Depreciation)
    
Purchases
    
Sales
    
Transfers Into
Level 3
    
Transfers Out of
Level 3
    
Balance as of 04/30/22
  
Residential Mortgage-Backed Securities
  
$
214,560
    
$
17,168
    
$
-
    
$
(20,068)

 
$
-
    
$
-
    
$
1,842,596
    
$
-
    
$
2,054,256
  

The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at April 30, 2022, is ($183,772).
                     
The following is a summary of quantitative information about Level 3 Fair Value Measurements:

   
Fair Value as
of 4/30/22
  
Valuation Techniques
Unobservable Input
  
Range
    
Weighted Average Unobservable Input
    
Residential Mortgage-Backed Securities
  
$
2,054,256
  
Model Technique
Limited trading of callable first loss pieces
  

$53.70 - $96.81
    
$
65.81
    

The average monthly notional value of short futures contracts during the period ended April 30, 2022, was ($415,474).