0001145549-23-057036.txt : 20230925
0001145549-23-057036.hdr.sgml : 20230925
20230925104256
ACCESSION NUMBER: 0001145549-23-057036
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230731
FILED AS OF DATE: 20230925
DATE AS OF CHANGE: 20230925
PERIOD START: 20240131
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: 231273508
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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Angel Oak Strategic Credit Fund
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3344 Peachtree Road NE
Suite 1725
Atlanta
30326
404-953-4900
Angel Oak Strategic Credit Fund
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2024-01-31
2023-07-31
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American Home Mortgage Investm
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2028-04-17
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2030-06-25
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USD
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2031-09-25
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2035-04-20
Variable
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BRAVO Residential Funding Trus
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USD
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2059-10-25
Variable
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Credit Suisse Mortgage Trust
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USD
1631826.000000000000
1.8524314751
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ABS-MBS
CORP
US
N
2
2067-01-25
Variable
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N
N
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Credit Suisse Mortgage Trust
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CSMC 2022-ATH1
12660BAF8
2000000.000000000000
PA
USD
1571376.000000000000
1.7838092797
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ABS-MBS
CORP
US
N
2
2067-01-25
Variable
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N
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Credit Suisse Mortgage Trust
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CSMC 2021-NQM2
12662EAD5
1215000.000000000000
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USD
743152.320000000000
0.8436185895
Long
ABS-MBS
CORP
US
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2
2066-02-25
Variable
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N
N
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N
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Credit Suisse Mortgage Trust
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CSMC 2022-NQM5 Trust
12663DAF1
1000000.000000000000
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USD
806409.000000000000
0.9154268981
Long
ABS-MBS
CORP
US
N
2
2067-05-25
Variable
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N
N
N
N
N
N
Credit Suisse Mortgage Trust
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CSMC 2022-NQM4 Trust
12665EAE0
914349.430000000000
PA
USD
836524.580000000000
0.9496137834
Long
ABS-MBS
CORP
US
N
2
2067-06-25
Variable
4.819000000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-29
12669GJA0
1661798.430000000000
PA
USD
20998.480000000000
0.0238372506
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
.004231000000
N
N
N
N
N
N
CAL Receivables LLC
549300GJW1JSYKS6S265
CAL Receivables 2022-1 LLC
12804BAB4
600000.000000000000
PA
USD
591119.400000000000
0.6710324398
Long
ABS-O
CORP
US
N
2
2026-10-15
Floating
9.417940000000
N
N
N
N
N
N
First American Government Obli
549300R5MYM6VZF1RM44
First American Government Obligations Fund
31846V211
2656669.850000000000
NS
USD
2656669.850000000000
3.0158232858
Long
STIV
RF
US
N
1
N
N
N
Foursight Capital Automobile R
N/A
Foursight Capital Automobile Receivables Trust 2022-2
34660DAF8
500000.000000000000
PA
USD
490903.000000000000
0.5572678511
Long
ABS-O
CORP
US
N
2
2029-10-15
Fixed
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N
N
N
N
N
N
Foundation Finance Trust
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Foundation Finance Trust 2023-1
35042AAD5
400000.000000000000
PA
USD
409734.800000000000
0.4651265760
Long
ABS-O
CORP
US
N
2
2043-12-15
Fixed
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N
N
N
N
N
N
Foundation Finance Trust
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Foundation Finance Trust 2021-2
35042PAD2
100000.000000000000
PA
USD
92088.000000000000
0.1045373157
Long
ABS-O
CORP
US
N
2
2042-01-15
Fixed
5.730000000000
N
N
N
N
N
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Freddie Mac - SCRT
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Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLU1
1800000.000000000000
PA
USD
1658332.800000000000
1.8825217118
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
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N
N
N
N
N
N
Freddie Mac - STACR
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Freddie Mac STACR REMIC Trust 2021-HQA1
35564KCP2
1750000.000000000000
PA
USD
1701875.000000000000
1.9319503530
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
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N
N
N
N
N
N
Freddie Mac - STACR
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Freddie Mac STACR REMIC Trust 2022-HQA3
35564KE70
500000.000000000000
PA
USD
534417.000000000000
0.6066644799
Long
ABS-MBS
CORP
US
N
2
2042-08-25
Floating
10.419010000000
N
N
N
N
N
N
Freddie Mac - STACR
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Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJA8
1000000.000000000000
PA
USD
1010313.000000000000
1.1468965447
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
8.119010000000
N
N
N
N
N
N
Freddie Mac - STACR
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Freddie Mac STACR REMIC Trust 2022-HQA1
35564KTJ8
1000000.000000000000
PA
USD
1066957.000000000000
1.2111982095
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
10.319010000000
N
N
N
N
N
N
Freddie Mac - STACR
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Freddie Mac STACR REMIC Trust 2022-HQA1
35564KUL1
1000000.000000000000
PA
USD
1111875.000000000000
1.2621886441
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
16.069010000000
N
N
N
N
N
N
Freddie Mac - STACR
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Freddie Mac Stacr Remic Trust 2020-DNA1
35565HBE4
500000.000000000000
PA
USD
500848.000000000000
0.5685573091
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
10.433490000000
N
N
N
N
N
N
Freedom Financial
N/A
FREED ABS Trust 2022-3FP
35634EAD1
500000.000000000000
PA
USD
496806.000000000000
0.5639688738
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
35640YAJ6
500000.000000000000
PA
USD
442350.000000000000
0.5021510032
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.625000000000
N
N
N
N
N
N
GCAT
N/A
GCAT 2020-NQM2 Trust
36166RAE4
1500000.000000000000
PA
USD
1171467.000000000000
1.3298368471
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
40637.850000000000
PA
USD
16496.570000000000
0.0187267304
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
124301.340000000000
PA
USD
36527.940000000000
0.0414661280
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
47666.970000000000
0.0541110361
Long
ABS-MBS
CORP
US
N
2
2031-07-15
Floating
9.443660000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2020-PJ3
36258WBS0
1659933.990000000000
PA
USD
602033.160000000000
0.6834216238
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
3.425324000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2020-NQM1
36259WAE1
2408000.000000000000
PA
USD
1980710.030000000000
2.2484809058
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
1693204.000000000000
1.9221071262
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
6.331240000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2020-PJ6
36260RBJ7
992435.560000000000
PA
USD
316072.860000000000
0.3588025404
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.775434000000
N
N
N
N
N
N
GoodLeap Sustainable Home Impr
N/A
Goodleap Sustainable Home Solutions Trust 2023-2
38237AAB8
500000.000000000000
PA
USD
483289.000000000000
0.5486245195
Long
ABS-O
CORP
US
N
2
2055-05-20
Fixed
7.800000000000
N
N
N
N
N
N
GRAY ESCROW II INC
N/A
Gray Escrow II Inc
389286AA3
600000.000000000000
PA
USD
411609.000000000000
0.4672541478
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
5.375000000000
N
N
N
N
N
N
GREAT LAKES DREDGE&DOCK
549300H65E3MZ1CX0P05
Great Lakes Dredge & Dock Corp
390607AF6
450000.000000000000
PA
USD
376344.000000000000
0.4272216959
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.250000000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
5493004IHDYOZ9K9WF47
Hertz Vehicle Financing LLC
42806MBG3
265000.000000000000
PA
USD
252584.490000000000
0.2867312198
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
2281004.300000000000
2.5893717591
Long
ABS-MBS
CORP
BM
N
2
2033-07-25
Floating
9.062470000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2022-1 Ltd
43730GAC5
2000000.000000000000
PA
USD
2052536.000000000000
2.3300169811
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
10.569010000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2022-1 Ltd
43730GAD3
1500000.000000000000
PA
USD
1578865.500000000000
1.7923112802
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
11.819010000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2022-1 Ltd
43730GAE1
1500000.000000000000
PA
USD
1628227.500000000000
1.8483464963
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
14.069010000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2021-2 Ltd
43730VAE8
760000.000000000000
PA
USD
712097.960000000000
0.8083660111
Long
ABS-MBS
CORP
BM
N
2
2034-01-25
Floating
9.219010000000
N
N
N
N
N
N
Home Partners of America Trust
N/A
Home Partners of America 2021-2 Trust
43732VAL0
385513.760000000000
PA
USD
324201.100000000000
0.3680296318
Long
ABS-O
CORP
US
N
2
2026-12-17
Fixed
3.799000000000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
JPMorgan Chase Bank NA - CHASE
46591HAL4
150388.790000000000
PA
USD
152870.210000000000
0.1735366323
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Floating
11.012470000000
N
N
N
N
N
N
Capital Funding Mortgage Trust
N/A
Capital Funding Mortgage Trust 2020-9
14020FAB9
221455.900000000000
PA
USD
219238.020000000000
0.2488766626
Long
ABS-MBS
CORP
US
N
2
2023-11-15
Floating
20.105000000000
N
N
N
N
N
N
Carlyle Global Market Strategi
N/A
CARLYLE US CLO 2017-4 Ltd
14315BAG1
500000.000000000000
PA
USD
464204.000000000000
0.5269594310
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
8.369570000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BR2
500000.000000000000
PA
USD
449897.600000000000
0.5107189583
Long
DBT
CORP
PA
N
2
2029-05-01
Fixed
6.000000000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-P2
14686JAG5
923000.000000000000
PA
USD
913245.740000000000
1.0367068261
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-P3
14686MAG8
453000.000000000000
PA
USD
446390.490000000000
0.5067377244
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
975706.500000000000
1.1076116149
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
2.287000000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAF3
700000.000000000000
PA
USD
706699.000000000000
0.8022371693
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
8.169010000000
N
N
N
N
N
N
Conn Funding II, L.P
N/A
Conn's Receivables Funding 2022-A LLC
20825YAB2
486002.750000000000
PA
USD
488474.560000000000
0.5545111119
Long
ABS-O
CORP
US
N
2
2026-12-15
Fixed
9.520000000000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2020-4 Trust
21873AAL1
770000.000000000000
PA
USD
597831.080000000000
0.6786514674
Long
ABS-O
CORP
US
N
2
2052-12-15
Fixed
2.712000000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2017-RPL1 Trust
22945AAH2
1485916.690000000000
PA
USD
276601.910000000000
0.3139955388
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
2.961360000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2004-AR2
23332UAU8
343299.440000000000
PA
USD
3503.030000000000
0.0039766023
Long
ABS-MBS
CORP
US
N
2
2044-11-19
Variable
.000000000000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-2 Ltd
26982AAG9
2250000.000000000000
PA
USD
2281641.750000000000
2.5900953856
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
9.319010000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-KF41 Mortgage Trust
30306KAC7
129217.060000000000
PA
USD
122460.920000000000
0.1390163306
Long
ABS-MBS
CORP
US
N
2
2024-11-25
Floating
7.717710000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CG0
273442.660000000000
PA
USD
162410.850000000000
0.1843670651
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Variable
4.117946000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1DF1
31040.780000000000
PA
USD
21767.350000000000
0.0247100636
Long
ABS-MBS
CORP
US
N
2
2048-08-25
Variable
4.161982000000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2021-2
31572LAD8
1655000.000000000000
PA
USD
950908.390000000000
1.0794610648
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
1050492.000000000000
1.1925073171
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
3.202000000000
N
N
N
N
N
N
J.P. Morgan Wealth Management
N/A
JPMorgan Chase Bank NA - JPMWM
46591HBP4
47530.980000000000
PA
USD
41436.610000000000
0.0470383978
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Floating
8.719010000000
N
N
N
N
N
N
J.P. Morgan Wealth Management
N/A
JPMorgan Chase Bank NA - JPMWM
46591HBQ2
75000.000000000000
PA
USD
70074.830000000000
0.0795481998
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Floating
11.969010000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-8
46591KBY8
255511.420000000000
PA
USD
133164.120000000000
0.1511664891
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
4.171324000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2023-5
465989AN1
535000.000000000000
PA
USD
404677.340000000000
0.4593854013
Long
ABS-MBS
CORP
US
N
2
2053-12-25
Variable
6.292152000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2023-5
465989AP6
411000.000000000000
PA
USD
237288.280000000000
0.2693671253
Long
ABS-MBS
CORP
US
N
2
2053-12-25
Variable
6.292152000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2023-5
465989AQ4
330000.000000000000
PA
USD
158296.880000000000
0.1796969303
Long
ABS-MBS
CORP
US
N
2
2053-12-25
Variable
6.292152000000
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
461333.000000000000
0.5237003024
Long
ABS-CBDO
CORP
KY
N
2
2034-04-23
Floating
9.295570000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-1
46650HBB3
203446.960000000000
PA
USD
134526.250000000000
0.1527127646
Long
ABS-MBS
CORP
US
N
2
2049-05-25
Variable
2.607581000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2022-6
46655KDG8
3030175.320000000000
PA
USD
1140861.010000000000
1.2950932536
Long
ABS-MBS
CORP
US
N
2
2052-11-25
Variable
3.303183000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2022-6
46655KDH6
1265000.000000000000
PA
USD
420631.480000000000
0.4774963709
Long
ABS-MBS
CORP
US
N
2
2052-11-25
Variable
3.303183000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2022-6
46655KDJ2
1265736.000000000000
PA
USD
313003.860000000000
0.3553186443
Long
ABS-MBS
CORP
US
N
2
2052-11-25
Variable
3.303183000000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM XXIII Ltd
52111PAM3
500000.000000000000
PA
USD
440459.500000000000
0.5000049278
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
8.887750000000
N
N
N
N
N
N
LendingClub Receivables Trust
N/A
LendingClub Receivables Trust Series 2019-1
52604L104
17660.000000000000
PA
USD
61779.020000000000
0.0701308848
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
41524.000000000000
0.0471376020
Long
ABS-O
CORP
US
N
2
2029-06-15
Fixed
7.020000000000
N
N
N
N
N
N
LendingPoint Asset Securitizat
N/A
Lendingpoint 2022-B Asset Securitization Trust
52606WAC2
900000.000000000000
PA
USD
754006.500000000000
0.8559401389
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
496539.500000000000
0.5636663458
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
995223.690000000000
PA
USD
929789.720000000000
1.0554873758
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
10.586480000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2019-1
61946CAB8
26341.310000000000
PA
USD
20866.740000000000
0.0236877007
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
68231.580000000000
PA
USD
62853.580000000000
0.0713507138
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
133550.000000000000
0.1516045360
Long
EC
CORP
US
N
1
N
N
N
NEW FORTRESS ENERGY INC
254900EICTYTCHA5X705
New Fortress Energy Inc
644393AB6
500000.000000000000
PA
USD
459387.480000000000
0.5214917689
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
6.500000000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-6
64828GCT5
166353.140000000000
PA
USD
89645.880000000000
0.1017650471
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
4.414721000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2022-SFR2
64830RAJ1
850000.000000000000
PA
USD
734807.150000000000
0.8341452415
Long
ABS-O
CORP
US
N
2
2039-09-04
Fixed
4.000000000000
N
N
N
N
N
N
Continental Credit Card llc
N/A
Continental Finance Credit Card ABS Master Trust
66981PAC2
200000.000000000000
PA
USD
169420.400000000000
0.1923242316
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
5.750000000000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VII Ltd
67389JAD0
1500000.000000000000
PA
USD
1433331.000000000000
1.6271020677
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
8.769010000000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VII Ltd
67389JAE8
1500000.000000000000
PA
USD
1385236.500000000000
1.5725057041
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
9.469010000000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VI Ltd
67401FAE0
1080608.000000000000
PA
USD
1080624.210000000000
1.2267130805
Long
ABS-MBS
CORP
BM
N
2
2033-10-25
Floating
9.019010000000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2021-1 LLC
693577AA6
2809455.860000000000
PA
USD
2649418.020000000000
3.0075910857
Long
ABS-MBS
CORP
US
N
2
2026-01-25
Variable
2.115000000000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2022-5 LLC
69377VAA9
1889895.530000000000
PA
USD
1866661.150000000000
2.1190138334
Long
ABS-MBS
CORP
US
N
2
2027-09-27
Variable
6.900000000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Trust 2022-1
69546MAC1
99986.780000000000
PA
USD
83739.430000000000
0.0950601080
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 2021-3
69546RAC0
199989.110000000000
PA
USD
166400.940000000000
0.1888965728
Long
ABS-O
CORP
US
N
2
2029-05-15
Fixed
3.270000000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Selection Trust 2021-5
69547EAC8
299964.650000000000
PA
USD
257873.310000000000
0.2927350318
Long
ABS-O
CORP
US
N
2
2029-08-15
Fixed
3.930000000000
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
219355.830000000000
0.2490103992
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
499951.480000000000
PA
USD
497756.690000000000
0.5650480869
Long
ABS-O
CORP
US
N
2
2030-03-15
Fixed
8.050000000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Trust 2023-3
69548BAB5
400000.000000000000
PA
USD
406500.400000000000
0.4614549196
Long
ABS-O
CORP
US
N
2
2030-12-16
Fixed
9.570000000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Trust 2022-5
69548HAB2
499981.440000000000
PA
USD
511451.010000000000
0.5805937330
Long
ABS-O
CORP
US
N
2
2030-06-17
Fixed
10.310000000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Trust 2023-1
69548JAB8
399944.410000000000
PA
USD
407685.730000000000
0.4628004936
Long
ABS-O
CORP
US
N
2
2030-07-15
Fixed
9.435000000000
N
N
N
N
N
N
PENNYMAC FIN SVCS INC
549300W1D516HBDEU871
PennyMac Financial Services Inc
70932MAC1
500000.000000000000
PA
USD
422374.350000000000
0.4794748584
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
5.750000000000
N
N
N
N
N
N
Pretium Mortgage Credit Partne
N/A
PRET 2022-NPL3 LLC
74143NAB8
2000000.000000000000
PA
USD
1921510.000000000000
2.1812776630
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-SFR1
74331FAL5
1400000.000000000000
PA
USD
1217252.400000000000
1.3818119450
Long
ABS-O
CORP
US
N
2
2038-04-17
Fixed
2.757000000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR9 Trust
74333QAN5
500000.000000000000
PA
USD
412108.500000000000
0.4678211749
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
2051652.000000000000
2.3290134737
Long
ABS-MBS
CORP
BM
N
2
2031-11-25
Floating
10.069010000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2021-2 Ltd
75049GAD1
1000000.000000000000
PA
USD
1051802.000000000000
1.1939944151
Long
ABS-MBS
CORP
BM
N
2
2031-11-25
Floating
11.069010000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2022-1 Ltd
75049XAB8
1000000.000000000000
PA
USD
1089932.000000000000
1.2372791845
Long
ABS-MBS
CORP
US
N
2
2032-09-25
Floating
11.819010000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2022-1 Ltd
75049XAC6
1000000.000000000000
PA
USD
1129188.000000000000
1.2818421771
Long
ABS-MBS
CORP
US
N
2
2032-09-25
Floating
13.569010000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2023-1 Ltd
75050KAC0
1000000.000000000000
PA
USD
1014391.000000000000
1.1515258468
Long
ABS-MBS
CORP
BM
N
2
2033-07-25
Floating
10.916550000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2023-1 Ltd
75050KAD8
1125000.000000000000
PA
USD
1137670.880000000000
1.2914718520
Long
ABS-MBS
CORP
BM
N
2
2033-07-25
Floating
12.316550000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2021-1 Ltd
75279YAC5
2000000.000000000000
PA
USD
2027478.000000000000
2.3015714067
Long
ABS-MBS
CORP
BM
N
2
2033-12-27
Floating
7.769010000000
N
N
N
N
N
N
UPBOUND GROUP INC
529900QUHE15UQNCCJ63
Upbound Group Inc
76009NAL4
500000.000000000000
PA
USD
459222.500000000000
0.5213044853
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6.375000000000
N
N
N
N
N
N
Republic Finance Issuance Trus
N/A
Republic Finance Issuance Trust 2020-A
76042EAD1
500000.000000000000
PA
USD
455022.500000000000
0.5165366901
Long
ABS-O
CORP
US
N
2
2030-11-20
Fixed
7.000000000000
N
N
N
N
N
N
Veros Auto Receivables Trust
N/A
Veros Auto Receivables Trust 2023-1
924933AD6
200000.000000000000
PA
USD
204569.800000000000
0.2322254556
Long
ABS-O
CORP
US
N
2
2030-08-15
Fixed
11.460000000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-5
92538KAD5
450000.000000000000
PA
USD
276088.500000000000
0.3134127213
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
637174.500000000000
0.7233136982
Long
ABS-MBS
CORP
US
N
2
2067-07-25
Variable
5.390161000000
N
N
N
N
N
N
L Street Securities
549300T6W1U156OOG754
Wells Fargo Credit Risk Transfer Securities Trust 2015
949771AC3
11228.400000000000
PA
USD
8105.180000000000
0.0092009139
Long
ABS-MBS
CORP
US
N
2
2025-11-25
Floating
10.433490000000
N
N
N
N
N
N
Western Alliance Bank
N/A
Western Mortgage Reference Notes Series 2021-CL2
95763PNG2
432816.840000000000
PA
USD
420330.510000000000
0.4771547130
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Floating
11.569010000000
N
N
N
N
N
N
Western Alliance Bank
N/A
Western Mortgage Reference Notes Series 2021-CL2
95763PNH0
400000.000000000000
PA
USD
388998.800000000000
0.4415872899
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Floating
13.569010000000
N
N
N
N
N
N
XCALI 2020-1 Mortgage Trust
N/A
XCALI 2020-1 Mortgage Trust
98370AAB9
184783.880000000000
PA
USD
180859.810000000000
0.2053101278
Long
ABS-MBS
CORP
US
N
2
2024-02-06
Floating
12.727480000000
N
N
N
N
N
N
x-caliber funding llc
N/A
XCALI 2020-1 Mortgage Trust
98402TAC8
50000.000000000000
PA
USD
31248.800000000000
0.0354733046
Long
ABS-MBS
CORP
US
N
2
2024-03-01
Floating
13.233000000000
N
N
N
N
N
N
Allegro CLO Ltd
635400EBXLHIKFL2MP73
Allegro CLO VII Ltd
BCC2G7H70
500000.000000000000
PA
USD
465183.000000000000
0.5280707814
Long
ABS-CBDO
CORP
KY
N
2
2031-06-13
Floating
8.419570000000
N
N
N
N
N
N
Essent Group Ltd
254900QUO860OUT6ZF83
Essent Group Ltd
N/A
4400.000000000000
NS
USD
218240.000000000000
0.2477437209
Long
EC
CORP
US
N
1
N
N
N
REVREPO43730GAC5
N/A
REVREPO43730GAC5
N/A
-980000.000000000000
PA
USD
-980000.000000000000
-1.1124855503
Short
RA
CORP
US
N
2
Reverse repurchase
Y
7.514790000000
2023-08-10
2000000
USD
2049660
USD
PLCMO
N
N
N
REVREPO36166RAE4
N/A
REVREPO36166RAE4
N/A
-745380.000000000000
PA
USD
-745380.000000000000
-0.8461474280
Short
RA
CORP
US
N
2
Reverse repurchase
Y
7.171640000000
2023-08-17
1500000
USD
1269915
USD
PLCMO
N
N
N
REVREPO12662EAD5
N/A
REVREPO12662EAD5
N/A
-458115.750000000000
PA
USD
-458115.750000000000
-0.5200481145
Short
RA
CORP
US
N
2
Reverse repurchase
Y
7.471640000000
2023-08-17
1215000
USD
727663.5
USD
PLCMO
N
N
N
REVREPO19688EAD0
N/A
REVREPO19688EAD0
N/A
-547500.000000000000
PA
USD
-547500.000000000000
-0.6215161620
Short
RA
CORP
US
N
2
Reverse repurchase
Y
7.471640000000
2023-08-17
1500000
USD
983505
USD
PLCMO
N
N
N
REVREPO31572LAD8
N/A
REVREPO31572LAD8
N/A
-511064.000000000000
PA
USD
-511064.000000000000
-0.5801544033
Short
RA
CORP
US
N
2
Reverse repurchase
Y
7.471640000000
2023-08-17
1655000
USD
968224.65
USD
PLCMO
N
N
N
REVREPO12665EAE0
N/A
REVREPO12665EAE0
N/A
-524859.230000000000
PA
USD
-524859.230000000000
-0.5958146013
Short
RA
CORP
US
N
2
Reverse repurchase
Y
7.171640000000
2023-08-17
914349.43
USD
867333.58
USD
PLCMO
N
N
N
REVREPO105693AA3
N/A
REVREPO105693AA3
N/A
-316401.200000000000
PA
USD
-316401.200000000000
-0.3591752685
Short
RA
CORP
US
N
2
Reverse repurchase
Y
6.671640000000
2023-08-17
512904.31
USD
490572.46
USD
PLCMO
N
N
N
N/A
N/A
ERIS SOFR 5yr Jun19
N/A
-1.000000000000
NC
USD
126.500000000000
0.0001436015
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Eris SOFR 5 Year Swap
Eris SOFR 5 Year Swap
2024-06-20
-96647.700000000000
USD
126.500000000000
N
N
N
Research-Driven Pagaya Motor A
N/A
Research-Driven Pagaya Motor Asset Trust IV
76088LAA6
296999.190000000000
PA
USD
250450.640000000000
0.2843088960
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
973751.330000000000
PA
USD
882061.930000000000
1.0013072975
Long
ABS-MBS
CORP
US
N
2
2067-04-25
Variable
4.641300000000
N
N
N
N
N
N
Santander Consumer Auto Receiv
N/A
Santander Consumer Auto Receivables Trust 2021-A
80282YAJ5
250000.000000000000
PA
USD
224980.250000000000
0.2553951808
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
991342.400000000000
1.1253613218
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
1014664.000000000000
1.1518357535
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
9.270000000000
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
439915.000000000000
0.4993868172
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
11.069570000000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Triangle Re 2021-3 Ltd
89600HAE9
1600000.000000000000
PA
USD
1592075.200000000000
1.8073067908
Long
ABS-MBS
CORP
BM
N
2
2034-02-25
Floating
8.819010000000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Triangle Re 2021-3 Ltd
89600HAG4
500000.000000000000
PA
USD
494542.000000000000
0.5613988051
Long
ABS-MBS
CORP
BM
N
2
2034-02-25
Floating
10.019010000000
N
N
N
N
N
N
Tricolor Auto Securitization T
N/A
Tricolor Auto Securitization Trust 2022-1
89616BAF1
100000.000000000000
PA
USD
97618.000000000000
0.1108149127
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
90355FAA6
90939.820000000000
PA
USD
88020.560000000000
0.0999200012
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
3.980000000000
N
N
N
N
N
N
USASF Receivables LLC
N/A
US Auto Funding Trust 2022-1
90355FAD0
1450000.000000000000
PA
USD
309331.400000000000
0.3511497069
Long
ABS-O
CORP
US
N
2
2027-07-15
Fixed
9.140000000000
N
N
N
N
N
N
Unison Trust
N/A
Unison Trust 2021-1
90919VAA0
226628.240000000000
PA
USD
196077.390000000000
0.2225849624
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
988782.000000000000
1.1224547831
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
616033.250000000000
0.6993143767
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 2021-3
91679LAC6
500000.000000000000
PA
USD
450498.500000000000
0.5114010936
Long
ABS-O
CORP
US
N
2
2031-07-20
Fixed
3.280000000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2022-2
91679TAC9
500000.000000000000
PA
USD
484757.500000000000
0.5502915451
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
153378.400000000000
0.1741135242
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
482528.500000000000
0.5477612080
Long
ABS-O
CORP
US
N
2
2031-03-20
Fixed
4.060000000000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2021-ST9
91683MAB0
200000.000000000000
PA
USD
66182.120000000000
0.0751292369
Long
ABS-O
CORP
US
N
2
2029-11-20
Fixed
.000000000000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2022-ST1
91683NAB8
100000.000000000000
PA
USD
33510.900000000000
0.0380412164
Long
ABS-O
CORP
US
N
2
2030-03-20
Fixed
.000000000000
N
N
N
N
N
N
2023-08-31
Angel Oak Strategic Credit Fund
/s/ Daniel Fazioli
Angel Oak Strategic Credit Fund
Principal Financial Officer