0001145549-23-017053.txt : 20230321
0001145549-23-017053.hdr.sgml : 20230321
20230321144920
ACCESSION NUMBER: 0001145549-23-017053
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230131
FILED AS OF DATE: 20230321
DATE AS OF CHANGE: 20230321
PERIOD START: 20230131
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Angel Oak Strategic Credit Fund
CENTRAL INDEX KEY: 0001716885
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0131
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23289
FILM NUMBER: 23749323
BUSINESS ADDRESS:
STREET 1: ONE BUCKHEAD PLAZA
STREET 2: 3060 PEACHTREE RD. NW, SUITE 500
CITY: ATLANTA
STATE: GA
ZIP: 30305
BUSINESS PHONE: 404-953-4900
MAIL ADDRESS:
STREET 1: ONE BUCKHEAD PLAZA
STREET 2: 3060 PEACHTREE RD. NW, SUITE 500
CITY: ATLANTA
STATE: GA
ZIP: 30305
NPORT-P
1
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NPORT-P
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0001716885
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Angel Oak Strategic Credit Fund
811-23289
0001716885
549300KHR3RXXW4KTW47
3344 Peachtree Road NE
Suite 1725
Atlanta
30326
404-953-4900
Angel Oak Strategic Credit Fund
549300KHR3RXXW4KTW47
2023-01-31
2023-01-31
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0.000000000000
0.000000000000
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0.000000000000
0.000000000000
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N/A
N/A
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust 2006-6
008684AF9
862069.180000000000
PA
USD
17160.350000000000
0.0213504089
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Variable
.035082000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-20
02151LAA4
216568.790000000000
PA
USD
82327.110000000000
0.1024289983
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
5.005860000000
N
N
N
N
N
N
Avid Automobile Receivables Tr
N/A
Avid Automobile Receivables Trust 2021-1
05369LAD9
1000000.000000000000
PA
USD
918620.000000000000
1.1429203146
Long
ABS-O
CORP
US
N
2
2028-04-17
Fixed
1.990000000000
N
N
N
N
N
N
Capital Four US CLO
N/A
Capital Four US CLO III Ltd
14016LAJ5
500000.000000000000
PA
USD
493750.000000000000
0.6143094047
Long
ABS-CBDO
CORP
KY
N
2
2035-01-21
Floating
10.431200000000
N
N
N
N
N
N
Capital Funding Mortgage Trust
N/A
Capital Funding Mortgage Trust 2020-9
14020FAB9
242500.000000000000
PA
USD
239176.300000000000
0.2975762035
Long
ABS-MBS
CORP
US
N
2
2023-11-15
Floating
19.269000000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BR2
500000.000000000000
PA
USD
395627.500000000000
0.4922282410
Long
DBT
CORP
PA
N
2
2029-05-01
Fixed
6.000000000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
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Carvana Auto Receivables Trust 2022-P3
14686MAG8
453000.000000000000
PA
USD
448362.530000000000
0.5578396332
Long
ABS-O
CORP
US
N
2
2029-09-10
Fixed
6.490000000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-1 Mortgage Loan Trust
19688EAD0
1500000.000000000000
PA
USD
1144737.000000000000
1.4242485164
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
2.287000000000
N
N
N
N
N
N
Fannie Mae - CAS
549300Z5THZ1JXIHVK60
Connecticut Avenue Securities Trust 2019-HRP1
20754PAD2
300000.000000000000
PA
USD
289548.900000000000
0.3602483289
Long
ABS-MBS
CORP
US
N
2
2039-11-25
Floating
13.755860000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAF3
700000.000000000000
PA
USD
672219.100000000000
0.8363554737
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
7.410110000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R02
20754WAC9
250000.000000000000
PA
USD
234687.500000000000
0.2919913689
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
7.505860000000
N
N
N
N
N
N
Conn Funding II, L.P
N/A
Conn's Receivables Funding 2022-A LLC
20825YAB2
500000.000000000000
PA
USD
500790.500000000000
0.6230689902
Long
ABS-O
CORP
US
N
2
2026-12-15
Fixed
9.520000000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2017-RPL1 Trust
22945AAH2
1487144.890000000000
PA
USD
292194.230000000000
0.3635395716
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
2.951420000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2004-AR2
23332UAU8
368406.650000000000
PA
USD
4078.260000000000
0.0050740526
Long
ABS-MBS
CORP
US
N
2
2044-11-19
Variable
.006504000000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-2 Ltd
26982AAG9
2250000.000000000000
PA
USD
2205522.000000000000
2.7440463936
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
8.560110000000
N
N
N
N
N
N
Eagle Re Ltd
254900SAV74IHXQ8XY35
Eagle RE 2020-1 Ltd
26982LAD2
1250000.000000000000
PA
USD
1216167.500000000000
1.5131202692
Long
ABS-MBS
CORP
BM
N
2
2030-01-25
Floating
6.505860000000
N
N
N
N
N
N
Eagle Re Ltd
254900SAV74IHXQ8XY35
Eagle RE 2020-1 Ltd
26982LAH3
1000000.000000000000
PA
USD
923008.000000000000
1.1483797367
Long
ABS-MBS
CORP
BM
N
2
2030-01-25
Floating
7.355860000000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-1 Ltd
26983BAD3
500000.000000000000
PA
USD
502241.500000000000
0.6248742823
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
8.760110000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-KF41 Mortgage Trust
30306KAC7
129217.060000000000
PA
USD
119429.380000000000
0.1485905647
Long
ABS-MBS
CORP
US
N
2
2024-11-25
Floating
6.891570000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2020-PJ3
36258WBS0
1662904.250000000000
PA
USD
738061.760000000000
0.9182749983
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
3.421954000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2020-NQM1
36259WAE1
2408000.000000000000
PA
USD
2058591.980000000000
2.5612403316
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
5.143000000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2020-NQM1
36259WAF8
2000000.000000000000
PA
USD
1744644.000000000000
2.1706353763
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
6.102190000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2020-GS3
52474NAA5
2752048.220000000000
PA
USD
2747892.630000000000
3.4188481735
Long
ABS-MBS
CORP
US
N
2
2060-05-25
Variable
3.250000000000
N
N
N
N
N
N
LendingClub Receivables Trust
N/A
LendingClub Receivables Trust Series 2019-1
52604L104
17660.000000000000
PA
USD
93331.730000000000
0.1161206268
Long
ABS-O
CORP
US
N
2
2045-07-17
Fixed
.000000000000
N
N
N
N
N
N
LendingPoint Asset Securitizat
N/A
Lendingpoint 2022-A Asset Securitization Trust
52605AAE7
100000.000000000000
PA
USD
57948.800000000000
0.0720982133
Long
ABS-O
CORP
US
N
2
2029-06-15
Fixed
7.020000000000
N
N
N
N
N
N
MCF CLO LLC
N/A
MCF CLO IX Ltd
55282EAA0
500000.000000000000
PA
USD
458732.500000000000
0.5707416486
Long
ABS-CBDO
CORP
KY
N
2
2031-07-17
Floating
12.692430000000
N
N
N
N
N
N
Continental Credit Card llc
N/A
Continental Finance Credit Card ABS Master Trust
66981PAC2
200000.000000000000
PA
USD
183123.200000000000
0.2278365650
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
5.750000000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Trust 2022-1
69546MAC1
99986.780000000000
PA
USD
85013.960000000000
0.1057718991
Long
ABS-O
CORP
US
N
2
2029-10-15
Fixed
4.888000000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Selection Trust 2021-1
69547JAC7
249896.990000000000
PA
USD
218093.350000000000
0.2713454096
Long
ABS-O
CORP
US
N
2
2027-11-15
Fixed
4.090000000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
PAGAYA AI Debt Trust 2022-3
69547MAB2
500000.000000000000
PA
USD
502237.500000000000
0.6248693056
Long
ABS-O
CORP
US
N
2
2030-03-15
Fixed
8.050000000000
N
N
N
N
N
N
PENNYMAC FIN SVCS INC
549300W1D516HBDEU871
PennyMac Financial Services Inc
70932MAC1
500000.000000000000
PA
USD
420951.470000000000
0.5237355887
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
5.750000000000
N
N
N
N
N
N
Pretium Mortgage Credit Partne
N/A
Pretium Mortgage Credit Partners LLC
74140QAA6
236095.330000000000
PA
USD
212384.790000000000
0.2642429851
Long
ABS-MBS
CORP
US
N
2
2061-02-25
Variable
1.991700000000
N
N
N
N
N
N
Pretium Mortgage Credit Partne
N/A
PRET 2022-NPL3 LLC
74143NAB8
2000000.000000000000
PA
USD
1946478.000000000000
2.4217513750
Long
ABS-MBS
CORP
US
N
2
2052-06-25
Variable
7.870100000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR9 Trust
74333QAN5
500000.000000000000
PA
USD
411873.500000000000
0.5124410422
Long
ABS-O
CORP
US
N
2
2040-11-17
Fixed
4.053000000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2021-2 Ltd
75049GAC3
2000000.000000000000
PA
USD
1881418.000000000000
2.3408056133
Long
ABS-MBS
CORP
BM
N
2
2031-11-25
Floating
9.310110000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2021-2 Ltd
75049GAD1
1000000.000000000000
PA
USD
875430.000000000000
1.0891845714
Long
ABS-MBS
CORP
BM
N
2
2031-11-25
Floating
10.310110000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2022-1 Ltd
75049XAB8
1000000.000000000000
PA
USD
1006778.000000000000
1.2526039369
Long
ABS-MBS
CORP
US
N
2
2032-09-25
Floating
11.060110000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2022-1 Ltd
75049XAC6
1000000.000000000000
PA
USD
1033844.000000000000
1.2862786677
Long
ABS-MBS
CORP
US
N
2
2032-09-25
Floating
12.810110000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2021-1 Ltd
75279YAC5
2000000.000000000000
PA
USD
1908976.000000000000
2.3750924762
Long
ABS-MBS
CORP
BM
N
2
2033-12-27
Floating
7.010110000000
N
N
N
N
N
N
Research-Driven Pagaya Motor A
N/A
Research-Driven Pagaya Motor Asset Trust IV
76088LAA6
363039.980000000000
PA
USD
320562.490000000000
0.3988345365
Long
ABS-O
CORP
US
N
2
2030-03-25
Fixed
2.650000000000
N
N
N
N
N
N
Saluda Grade Alternative Mortg
N/A
Saluda Grade Alternative Mortgage Trust 2022-INV1
79583VAC4
998106.520000000000
PA
USD
905718.790000000000
1.1268690040
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Variable
4.647026000000
N
N
N
N
N
N
Saranac CLO LTD
5493002KTJG5M0SYTB50
Saranac Clo VIII Ltd
80316RAA9
250000.000000000000
PA
USD
210247.500000000000
0.2615838310
Long
ABS-CBDO
CORP
JE
N
2
2033-02-20
Floating
12.795430000000
N
N
N
N
N
N
Wind River CLO Ltd
N/A
THL Credit Wind River 2018-1 Clo Ltd
88432WAA0
500000.000000000000
PA
USD
423200.500000000000
0.5265337665
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
10.292430000000
N
N
N
N
N
N
WT HOLDINGS INC
5493003A5MRDVHNV6S26
WT Holdings Inc
98258PAA5
300000.000000000000
PA
USD
296759.820000000000
0.3692199460
Long
DBT
CORP
US
N
2
2023-04-30
Fixed
7.000000000000
N
N
N
N
N
N
XCALI 2020-1 Mortgage Trust
N/A
XCALI 2020-1 Mortgage Trust
98370AAB9
203125.000000000000
PA
USD
202027.700000000000
0.2513569947
Long
ABS-MBS
CORP
US
N
2
2023-02-06
Floating
11.868710000000
N
N
N
N
N
N
x-caliber funding llc
N/A
XCALI 2020-1 Mortgage Trust
98402TAC8
50000.000000000000
PA
USD
48697.600000000000
0.0605881391
Long
ABS-MBS
CORP
US
N
2
2024-03-01
Floating
12.443040000000
N
N
N
N
N
N
Carlyle Global Market Strategi
N/A
CARLYLE US CLO 2017-4 Ltd
14315BAG1
500000.000000000000
PA
USD
456829.000000000000
0.5683733692
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
7.592430000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-P2
14686JAG5
923000.000000000000
PA
USD
924533.100000000000
1.1502772218
Long
ABS-O
CORP
US
N
2
2029-05-10
Fixed
6.280000000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-P1
14688DAH4
119907.100000000000
PA
USD
119726.640000000000
0.1489604070
Long
ABS-O
CORP
US
N
2
2029-01-10
Fixed
4.350000000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2022-4
30166BAG7
500000.000000000000
PA
USD
464516.500000000000
0.5779379333
Long
ABS-O
CORP
US
N
2
2030-03-15
Fixed
8.230000000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1DF1
31029.740000000000
PA
USD
23213.010000000000
0.0288809526
Long
ABS-MBS
CORP
US
N
2
2048-08-25
Variable
4.161421000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1DQ7
303973.550000000000
PA
USD
216699.100000000000
0.2696107243
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
4.511771000000
N
N
N
N
N
N
GCAT
N/A
GCAT 2020-NQM2 Trust
36166RAE4
1500000.000000000000
PA
USD
1276521.000000000000
1.5882103404
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
3.589000000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-15
3622E8AF2
41600.970000000000
PA
USD
18005.570000000000
0.0224020071
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
6.375650000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-18
3622ELAC0
126089.670000000000
PA
USD
43972.260000000000
0.0547090083
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
5.772340000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-TWR
36251SAU2
311000.000000000000
PA
USD
278513.870000000000
0.3465188652
Long
ABS-MBS
CORP
US
N
2
2031-07-15
Floating
8.633660000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2022-1 Ltd
43730GAD3
1500000.000000000000
PA
USD
1461639.000000000000
1.8185287776
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
11.060110000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-1
46650HBB3
201402.450000000000
PA
USD
150032.740000000000
0.1866663761
Long
ABS-MBS
CORP
US
N
2
2049-05-25
Variable
3.421463000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2022-6
46655KDG8
3030175.320000000000
PA
USD
1259359.040000000000
1.5668579284
Long
ABS-MBS
CORP
US
N
2
2052-11-25
Variable
3.307027000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2022-6
46655KDJ2
1265736.000000000000
PA
USD
304377.860000000000
0.3786980901
Long
ABS-MBS
CORP
US
N
2
2052-11-25
Variable
3.307027000000
N
N
N
N
N
N
LendingPoint Asset Securitizat
N/A
Lendingpoint 2022-B Asset Securitization Trust
52606WAC2
1000000.000000000000
PA
USD
926518.000000000000
1.1527467767
Long
ABS-O
CORP
US
N
2
2029-10-15
Fixed
8.450000000000
N
N
N
N
N
N
Marlette Funding Trust
N/A
Marlette Funding Trust 2022-2
57107LAD7
500000.000000000000
PA
USD
494223.500000000000
0.6148985196
Long
ABS-O
CORP
US
N
2
2032-08-15
Fixed
7.500000000000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YBA3
997037.950000000000
PA
USD
929872.490000000000
1.1569203357
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
9.710000000000
N
N
N
N
N
N
Monroe Capital MML CLO X LLC
254900N1X9F88IDW7908
Monroe Capital Mml Clo X Ltd
61034UAL9
500000.000000000000
PA
USD
462697.500000000000
0.5756747864
Long
ABS-CBDO
CORP
US
N
2
2034-05-20
Floating
11.549670000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2019-1
61946CAB8
30819.860000000000
PA
USD
27625.100000000000
0.0343703468
Long
ABS-O
CORP
US
N
2
2043-12-21
Fixed
.000000000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2018-1
61946FAC9
90741.750000000000
PA
USD
84287.110000000000
0.1048675734
Long
ABS-O
CORP
US
N
2
2043-06-22
Fixed
.000000000000
N
N
N
N
N
N
NMI Holdings Inc
529900KNNGFXJX1C3Z08
NMI Holdings Inc
629209305
5000.000000000000
NS
USD
116150.000000000000
0.1445104554
Long
EC
CORP
US
N
1
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-6
64828GCT5
165973.500000000000
PA
USD
100198.370000000000
0.1246639008
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
4.441196000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2022-SFR2
64830RAJ1
850000.000000000000
PA
USD
711889.450000000000
0.8857121706
Long
ABS-O
CORP
US
N
2
2039-09-04
Fixed
4.000000000000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VII Ltd
67389JAD0
1500000.000000000000
PA
USD
1385898.000000000000
1.7242940260
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
8.010110000000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VII Ltd
67389JAE8
1500000.000000000000
PA
USD
1276564.500000000000
1.5882644619
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
8.710110000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Selection Trust 2021-3
69546RAC0
199989.110000000000
PA
USD
173938.330000000000
0.2164090166
Long
ABS-O
CORP
US
N
2
2029-05-15
Fixed
3.270000000000
N
N
N
N
N
N
Residential Mortgage Loan Trus
N/A
Residential Mortgage Loan Trust 2020-1
76119CAF8
400000.000000000000
PA
USD
339280.400000000000
0.4221228163
Long
ABS-MBS
CORP
US
N
2
2060-01-26
Variable
4.665000000000
N
N
N
N
N
N
Santander Consumer Auto Receiv
N/A
Santander Consumer Auto Receivables Trust 2021-A
80282YAJ5
250000.000000000000
PA
USD
214622.940000000000
0.2670276263
Long
ABS-O
CORP
US
N
2
2028-08-15
Fixed
5.790000000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAN9
1000000.000000000000
PA
USD
994900.000000000000
1.2378256744
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
7.125000000000
N
N
N
N
N
N
Theorem Funding Trust
N/A
Theorem Funding Trust 2022-2
88339FAB9
1000000.000000000000
PA
USD
1025931.000000000000
1.2764335430
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
9.270000000000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Triangle Re 2021-3 Ltd
89600HAE9
1600000.000000000000
PA
USD
1475745.600000000000
1.8360797995
Long
ABS-MBS
CORP
BM
N
2
2034-02-25
Floating
8.060110000000
N
N
N
N
N
N
Tricolor Auto Securitization T
N/A
Tricolor Auto Securitization Trust 2022-1
89616BAF1
100000.000000000000
PA
USD
97756.900000000000
0.1216262948
Long
ABS-O
CORP
US
N
2
2029-07-16
Fixed
9.800000000000
N
N
N
N
N
N
USASF Receivables LLC
N/A
US Auto Funding Trust 2022-1
90355FAD0
450000.000000000000
PA
USD
441989.550000000000
0.5499105566
Long
ABS-O
CORP
US
N
2
2027-07-15
Fixed
9.140000000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2021-3
91679LAC6
500000.000000000000
PA
USD
435184.000000000000
0.5414432891
Long
ABS-O
CORP
US
N
2
2031-07-20
Fixed
3.280000000000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2022-ST1
91683NAB8
100000.000000000000
PA
USD
34930.280000000000
0.0434592395
Long
ABS-O
CORP
US
N
2
2030-03-20
Fixed
.000000000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-5
92538KAD5
450000.000000000000
PA
USD
336207.150000000000
0.4182991679
Long
ABS-MBS
CORP
US
N
2
2066-09-25
Variable
2.331000000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2022-7
92539NAD8
750000.000000000000
PA
USD
662874.750000000000
0.8247295049
Long
ABS-MBS
CORP
US
N
2
2067-07-25
Variable
5.413156000000
N
N
N
N
N
N
L Street Securities
549300T6W1U156OOG754
Wells Fargo Credit Risk Transfer Securities Trust 2015
949771AC3
11589.570000000000
PA
USD
8609.170000000000
0.0107112792
Long
ABS-MBS
CORP
US
N
2
2025-11-25
Floating
9.755860000000
N
N
N
N
N
N
Western Alliance Bank
N/A
Western Mortgage Reference Notes Series 2021-CL2
95763PES6
446573.890000000000
PA
USD
431632.420000000000
0.5370245164
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Floating
10.810110000000
N
N
N
N
N
N
Western Alliance Bank
N/A
Western Mortgage Reference Notes Series 2021-CL2
95763PET4
400000.000000000000
PA
USD
372894.400000000000
0.4639443785
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Floating
12.810110000000
N
N
N
N
N
N
N/A
N/A
5y Eris Swp Fut Jun19
N/A
-1.000000000000
NC
USD
-520.200000000000
-0.0006472177
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year Eris Swap
5 Year Eris Swap
2024-06-18
-103226.500000000000
USD
-520.200000000000
N
N
N
REVREPO43730GAC5
N/A
REVREPO43730GAC5
N/A
-950000.000000000000
PA
USD
-950000.000000000000
-1.1819623989
Short
RA
CORP
US
N
2
Reverse repurchase
Y
6.713880000000
2023-02-06
2000000
USD
2000040
USD
PLCMO
N
N
N
REVREPO36259WAE1
N/A
REVREPO36259WAE1
N/A
-910224.000000000000
PA
USD
-910224.000000000000
-1.1324742553
Short
RA
CORP
US
N
2
Reverse repurchase
Y
6.713880000000
2023-02-06
2408000
USD
2036156.64
USD
PLCMO
N
N
N
REVREPO36166RAE4
N/A
REVREPO36166RAE4
N/A
-745380.000000000000
PA
USD
-745380.000000000000
-0.9273801399
Short
RA
CORP
US
N
2
Reverse repurchase
Y
6.279510000000
2023-02-13
1500000
USD
1272765
USD
PLCMO
N
N
N
REVREPO19688EAD0
N/A
REVREPO19688EAD0
N/A
-547500.000000000000
PA
USD
-547500.000000000000
-0.6811835930
Short
RA
CORP
US
N
2
Reverse repurchase
Y
6.579510000000
2023-02-13
1500000
USD
928200
USD
PLCMO
N
N
N
REVREPO12662EAD5
N/A
REVREPO12662EAD5
N/A
-458115.750000000000
PA
USD
-458115.750000000000
-0.5699743062
Short
RA
CORP
US
N
2
Reverse repurchase
Y
6.579510000000
2023-02-13
1215000
USD
747200.7
USD
PLCMO
N
N
N
REVREPO52474NAA5
N/A
REVREPO52474NAA5
N/A
-1801015.970000000000
PA
USD
-1801015.970000000000
-2.2407717435
Short
RA
CORP
US
N
2
Reverse repurchase
Y
5.779510000000
2023-02-13
2752048.23
USD
2746571.65
USD
PLCMO
N
N
N
REVREPO31572LAD8
N/A
REVREPO31572LAD8
N/A
-511064.000000000000
PA
USD
-511064.000000000000
-0.6358509805
Short
RA
CORP
US
N
2
Reverse repurchase
Y
6.579510000000
2023-02-13
1655000
USD
1046737.85
USD
PLCMO
N
N
N
REVREPO12665EAE0
N/A
REVREPO12665EAE0
N/A
-546548.620000000000
PA
USD
-546548.620000000000
-0.6799999137
Short
RA
CORP
US
N
2
Reverse repurchase
Y
6.279510000000
2023-02-13
962237.97
USD
931071.08
USD
PLCMO
N
N
N
REVREPO105693AA3
N/A
REVREPO105693AA3
N/A
-326321.550000000000
PA
USD
-326321.550000000000
-0.4059997916
Short
RA
CORP
US
N
2
Reverse repurchase
Y
5.779510000000
2023-02-13
542337.75
USD
517270.9
USD
PLCMO
N
N
N
American Home Mortgage Investm
N/A
American Home Mortgage Investment Trust 2006-3
026929AM1
318113.090000000000
PA
USD
127852.830000000000
0.1590707765
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
6.750000000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377REQ3
500000.000000000000
PA
USD
441354.000000000000
0.5491198238
Long
ABS-O
CORP
US
N
2
2026-08-20
Fixed
3.340000000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-4 Ltd
07876UAC3
250000.000000000000
PA
USD
240598.500000000000
0.2993456634
Long
ABS-MBS
CORP
BM
N
2
2030-06-25
Floating
9.505860000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade RE 2021-3 Ltd
078777AE9
500000.000000000000
PA
USD
455407.500000000000
0.5666047802
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
7.460110000000
N
N
N
N
N
N
BELLEMEADE RE LT
254900I4ZKD8IMM1O953
Bellemeade Re 2019-2 Ltd
07877BAG5
748000.000000000000
PA
USD
725182.260000000000
0.9022506986
Long
ABS-MBS
CORP
BM
N
2
2029-04-25
Floating
7.605860000000
N
N
N
N
N
N
BRAVO Residential Funding Trus
N/A
BRAVO Residential Funding Trust 2021-A
105693AA3
542337.760000000000
PA
USD
520451.180000000000
0.6475302371
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
1.991000000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-ATH1
12660BAE1
2000000.000000000000
PA
USD
1668424.000000000000
2.0758046668
Long
ABS-MBS
CORP
US
N
2
2067-01-25
Variable
4.830021000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-ATH1
12660BAF8
2000000.000000000000
PA
USD
1607974.000000000000
2.0005945331
Long
ABS-MBS
CORP
US
N
2
2067-01-25
Variable
4.830021000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM2
12662EAD5
1215000.000000000000
PA
USD
928495.710000000000
1.1552073861
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
2.282000000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-NQM5 Trust
12663DAF1
1000000.000000000000
PA
USD
829730.000000000000
1.0323259592
Long
ABS-MBS
CORP
US
N
2
2067-05-25
Variable
5.169000000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-NQM4 Trust
12665EAE0
962237.980000000000
PA
USD
888532.480000000000
1.1054862964
Long
ABS-MBS
CORP
US
N
2
2067-06-25
Variable
4.819000000000
N
N
N
N
N
N
CAL Receivables LLC
549300GJW1JSYKS6S265
CAL Receivables 2022-1 LLC
12804BAB4
100000.000000000000
PA
USD
97970.200000000000
0.1218916764
Long
ABS-O
CORP
US
N
2
2026-10-15
Floating
8.645440000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2022-4
30166BAF9
250000.000000000000
PA
USD
246825.000000000000
0.3070924938
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
5.980000000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Trust 2022-5
69548HAB2
500000.000000000000
PA
USD
512400.500000000000
0.6375138149
Long
ABS-O
CORP
US
N
2
2030-06-17
Fixed
10.310000000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2021-3 Ltd
69702CAA7
500000.000000000000
PA
USD
459276.000000000000
0.5714178555
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
9.807710000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR1
74331FAL5
1400000.000000000000
PA
USD
1205299.200000000000
1.4995982461
Long
ABS-O
CORP
US
N
2
2038-04-17
Fixed
2.757000000000
N
N
N
N
N
N
RENT-A-CENTER INC
529900QUHE15UQNCCJ63
Rent-A-Center Inc/TX
76009NAL4
500000.000000000000
PA
USD
425605.000000000000
0.5295253756
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6.375000000000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM XXIII Ltd
52111PAM3
500000.000000000000
PA
USD
444763.000000000000
0.5533612025
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
8.107710000000
N
N
N
N
N
N
Unison Trust
N/A
Unison Trust 2021-1
90919VAA0
229579.890000000000
PA
USD
207871.270000000000
0.2586273947
Long
ABS-MBS
CORP
US
N
2
2050-04-25
Variable
4.500000000000
N
N
N
N
N
N
United Auto Credit Securitizat
N/A
United Auto Credit Securitization Trust 2022-2
90944KAE5
1000000.000000000000
PA
USD
975543.000000000000
1.2137422574
Long
ABS-O
CORP
US
N
2
2028-01-10
Fixed
6.840000000000
N
N
N
N
N
N
UNITED WHOLESALE MTGE LL
549300HW662MN1WU8550
United Wholesale Mortgage LLC
913229AA8
700000.000000000000
PA
USD
602945.000000000000
0.7501666512
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.500000000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2022-2
91679TAC9
500000.000000000000
PA
USD
483535.000000000000
0.6016001985
Long
ABS-O
CORP
US
N
2
2032-05-20
Fixed
8.430000000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2022-1
91679WAC2
200000.000000000000
PA
USD
158461.600000000000
0.1971533188
Long
ABS-O
CORP
US
N
2
2032-03-20
Fixed
5.710000000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2021-1
91681NAC8
500000.000000000000
PA
USD
465169.000000000000
0.5787497549
Long
ABS-O
CORP
US
N
2
2031-03-20
Fixed
4.060000000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2021-4
91682NAB9
460000.000000000000
PA
USD
422751.500000000000
0.5259751338
Long
ABS-O
CORP
US
N
2
2031-09-20
Fixed
1.840000000000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2021-ST9
91683MAB0
200000.000000000000
PA
USD
62679.340000000000
0.0779838138
Long
ABS-O
CORP
US
N
2
2029-11-20
Fixed
.000000000000
N
N
N
N
N
N
Allegro CLO Ltd
635400EBXLHIKFL2MP73
Allegro CLO VII Ltd
BCC2G7H70
500000.000000000000
PA
USD
459030.000000000000
0.5711117894
Long
ABS-CBDO
CORP
KY
N
2
2031-06-13
Floating
7.642430000000
N
N
N
N
N
N
Essent Group Ltd
254900QUO860OUT6ZF83
Essent Group Ltd
N/A
4400.000000000000
NS
USD
193732.000000000000
0.2410357258
Long
EC
CORP
US
N
1
N
N
N
Affirm Inc
N/A
Affirm Asset Securitization Trust 2021-B
00834DAE3
650000.000000000000
PA
USD
564764.850000000000
0.7026640178
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
4.610000000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-29
12669GJA0
1921594.740000000000
PA
USD
22765.130000000000
0.0283237133
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
.053405000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CG0
273442.660000000000
PA
USD
189124.430000000000
0.2353031210
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Variable
4.116713000000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2021-2
31572LAD8
1655000.000000000000
PA
USD
1039022.240000000000
1.2927212835
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
2.296000000000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2021-2
31572LAE6
2000000.000000000000
PA
USD
1111204.000000000000
1.3825277321
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
3.202000000000
N
N
N
N
N
N
First American Government Obli
549300R5MYM6VZF1RM44
First American Government Obligations Fund
31846V211
1614254.760000000000
NS
USD
1614254.760000000000
2.0084088722
Long
STIV
RF
US
N
1
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2022-3
33845PAJ3
500000.000000000000
PA
USD
492158.500000000000
0.6123293066
Long
ABS-O
CORP
US
N
2
2028-07-17
Fixed
6.000000000000
N
N
N
N
N
N
Foursight Capital Automobile R
N/A
Foursight Capital Automobile Receivables Trust 2022-2
34660DAF8
500000.000000000000
PA
USD
507697.500000000000
0.6316624790
Long
ABS-O
CORP
US
N
2
2029-10-15
Fixed
7.090000000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLU1
1800000.000000000000
PA
USD
1609657.200000000000
2.0026887216
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.750000000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-HQA3
35564KE70
500000.000000000000
PA
USD
494367.000000000000
0.6150770582
Long
ABS-MBS
CORP
US
N
2
2042-08-25
Floating
9.660110000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJA8
1000000.000000000000
PA
USD
953750.000000000000
1.1866280399
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
7.360110000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-HQA1
35564KTJ8
1000000.000000000000
PA
USD
999998.000000000000
1.2441684579
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
9.560110000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-HQA1
35564KUL1
1000000.000000000000
PA
USD
958750.000000000000
1.1928488947
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
15.310110000000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HBE4
500000.000000000000
PA
USD
434284.000000000000
0.5403235352
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
9.755860000000
N
N
N
N
N
N
Freedom Financial
N/A
FREED ABS Trust 2022-3FP
35634EAD1
500000.000000000000
PA
USD
502934.000000000000
0.6257358707
Long
ABS-O
CORP
US
N
2
2029-08-20
Fixed
7.360000000000
N
N
N
N
N
N
FREEDOM MORTGAGE CORP
549300LYRWPSYPK6S325
Freedom Mortgage Corp
35640YAG2
500000.000000000000
PA
USD
415720.000000000000
0.5172267458
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.625000000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2020-PJ6
36260RBJ7
995827.870000000000
PA
USD
379477.140000000000
0.4721344323
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.776586000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
5493004IHDYOZ9K9WF47
Hertz Vehicle Financing LLC
42806MBG3
265000.000000000000
PA
USD
251734.370000000000
0.3132005893
Long
ABS-O
CORP
US
N
2
2026-09-25
Fixed
6.560000000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2021-1 Ltd
437307AE1
2300000.000000000000
PA
USD
2149437.400000000000
2.6742675638
Long
ABS-MBS
CORP
BM
N
2
2033-07-25
Floating
8.155860000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2022-1 Ltd
43730GAC5
2000000.000000000000
PA
USD
1963146.000000000000
2.4424892164
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
9.810110000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2022-1 Ltd
43730GAE1
1500000.000000000000
PA
USD
1423590.000000000000
1.7711893173
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
13.310110000000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
JPMorgan Chase Bank NA - CHASE
46591HAL4
159993.890000000000
PA
USD
158668.180000000000
0.1974103396
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Floating
10.105860000000
N
N
N
N
N
N
J.P. Morgan Wealth Management
N/A
JPMorgan Chase Bank NA - JPMWM
46591HBP4
49408.570000000000
PA
USD
42118.680000000000
0.0524028379
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Floating
7.960110000000
N
N
N
N
N
N
J.P. Morgan Wealth Management
N/A
JPMorgan Chase Bank NA - JPMWM
46591HBQ2
75000.000000000000
PA
USD
67091.030000000000
0.0834727103
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Floating
11.210110000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-8
46591KBY8
255511.420000000000
PA
USD
155273.780000000000
0.1931871258
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.997131000000
N
N
N
N
N
N
Ivy Hill Middle Market Credit
549300UJCX58VC2FZI80
Ivy Hill Middle Market Credit Fund IX Ltd
46604EAN2
500000.000000000000
PA
USD
457411.000000000000
0.5690974767
Long
ABS-CBDO
CORP
KY
N
2
2034-04-23
Floating
8.603470000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2022-6
46655KDH6
1265000.000000000000
PA
USD
431944.370000000000
0.5374126355
Long
ABS-MBS
CORP
US
N
2
2052-11-25
Variable
3.307027000000
N
N
N
N
N
N
2023-03-07
Angel Oak Strategic Credit Fund
/s/ Daniel Fazioli
Angel Oak Strategic Credit Fund
Principal Financial Officer