10/07/2024 | Press release | Distributed by Public on 10/07/2024 11:14
Management's Discussion of Fund Performance
|
1 | |||
Investment Results
|
2 | |||
Summary of Fund Expenses
|
3 | |||
Portfolio Holdings
|
4 | |||
Statement of Assets and Liabilities
|
5 | |||
Statement of Operations
|
6 | |||
Statements of Changes in Net Assets
|
7 | |||
Financial Highlights
|
8 | |||
Schedule of Investments
|
10 | |||
Notes to the Financial Statements
|
17 | |||
Additional Information
|
27 |
Annualized Expense Ratios
(1)
|
||
Institutional Class
|
2.14% | |
Class FI
|
2.14% |
Average Annual Returns
|
||||||||
One Year
|
Three Year
|
Five Year
|
Since Inception
(2)
|
|||||
Angel Oak Strategic Credit Fund - Institutional Class
|
12.56% | 8.04% | 6.92% | 6.70% | ||||
Angel Oak Strategic Credit Fund - Class FI without load
|
12.55% | N/A | N/A | 9.27% | ||||
Angel Oak Strategic Credit Fund - Class FI with load
|
9.55% | N/A | N/A | 7.93% | ||||
Bloomberg U.S. Aggregate Bond Index
(3)
|
5.10% | -2.63% | 0.19% |
1.14%
(4)
|
Beginning
Account Value |
Ending
Account Value |
Expenses Paid
During Period
(1)
|
Annualized
Expense Ratio |
|||||||
Institutional Class
|
Actual | $1,000.00 | $1,063.80 | $9.24 | 1.80% | |||||
Hypothetical
(2)
|
$1,000.00 | $1,015.91 | $9.02 | 1.80% | ||||||
Class FI
|
Actual | $1,000.00 | $1,063.70 | $9.24 | 1.80% | |||||
Hypothetical
(2)
|
$1,000.00 | $1,015.91 | $9.02 | 1.80% |
Assets
|
|||||
Investments in securities at fair value*
|
$ | 101,018,428 | |||
Deposit at broker for swaps*
|
1,800,847 | ||||
Dividends and interest receivable
|
521,198 | ||||
Deposit at broker for futures*
|
14,748 | ||||
Receivable for Fund shares sold
|
8,047 | ||||
Appreciation on swaps
|
43,384 | ||||
Prepaid expenses
|
26,889 | ||||
Total Assets
|
103,433,541
|
||||
Liabilities
|
|||||
Payable for reverse repurchase agreements
|
1,233,694 | ||||
Net swap premiums received
|
1,078,585 | ||||
Payable for investments purchased
|
489,568 | ||||
Payable for distributions to shareholders
|
398,066 | ||||
Payable to Adviser
|
104,962 | ||||
Payable to administrator, fund accountant, and transfer agent
|
27,419 | ||||
Interest payable for swaps
|
11,111 | ||||
Interest payable for reverse repurchase agreements
|
3,745 | ||||
Payable to custodian
|
1,166 | ||||
Other accrued expenses
|
27,419 | ||||
Total Liabilities
|
3,375,735
|
||||
Net Assets
|
$
|
100,057,806
|
|||
Net Assets consist of:
|
|||||
Paid-in
capital
|
$ | 101,074,866 | |||
Total distributable earnings (accumulated deficit)
|
(1,017,060 | ) | |||
Net Assets
|
$
|
100,057,806
|
|||
Class FI:
|
|||||
Net Assets
|
$19,681,250 | ||||
Shares outstanding (unlimited number of shares authorized, no par value)
|
917,970 | ||||
Net asset value ("NAV") and offering price per share
|
$21.44
|
||||
Institutional Class:
|
|||||
Net Assets
|
$80,376,556 | ||||
Shares outstanding (unlimited number of shares authorized, no par value)
|
3,751,234 | ||||
Net asset value ("NAV") and offering price per share
|
$21.43
|
||||
*Identified Cost:
|
|||||
Investments in securities
|
$ | 103,065,724 | |||
Required margin held as collateral for swaps
|
559,699 |
Investment Income
|
|||||
Interest
|
$ | 5,064,965 | |||
Swap income
|
61,990 | ||||
Dividends
|
2,464 | ||||
Total Investment Income
|
5,129,419
|
||||
Expenses
|
|||||
Investment Advisory (See Note 5)
|
606,254 | ||||
Interest expense
|
53,322 | ||||
Fund accounting
|
44,698 | ||||
Legal
|
38,471 | ||||
Transfer agent
|
27,330 | ||||
Registration
|
22,063 | ||||
Trustee
|
19,546 | ||||
Administration
|
19,369 | ||||
Audit & tax
|
15,118 | ||||
Printing
|
7,029 | ||||
Compliance
|
5,650 | ||||
Custodian
|
3,359 | ||||
Insurance
|
2,912 | ||||
Miscellaneous
|
9,988 | ||||
Total Expenses
|
875,109
|
||||
Net Investment Income (Loss)
|
4,254,310
|
||||
Realized and Unrealized Gain (Loss) on Investments
|
|||||
Net Realized gain (loss) from:
|
|||||
Investments
|
1,078,776 | ||||
Future Contracts
|
163 | ||||
Swaps
|
(292,612 | ) | |||
Net change in unrealized appreciation/depreciation on:
|
|||||
Investments
|
839,584 | ||||
Future Contracts
|
(94 | ) | |||
Swaps
|
146,274 | ||||
Net realized and unrealized gain (loss) on investments
|
1,772,091 | ||||
Net increase (decrease) in net assets resulting from operations
|
$
|
6,026,401
|
|||
For the Period Ended
July 31, 2024 (Unaudited) |
For the Year Ended
January 31, 2024 |
|||||||||
Increase (Decrease) in Net Assets due to:
|
||||||||||
Operations
|
||||||||||
Net investment income (loss)
|
$4,254,310 | $7,503,925 | ||||||||
Net realized gain (loss) on investment transactions, futures contracts, and swaps
|
786,327 | 653,013 | ||||||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, and swaps
|
985,764 | 419,598 | ||||||||
Net increase (decrease) in net assets resulting from operations
|
6,026,401
|
8,576,536
|
||||||||
Distributions to Shareholders
|
||||||||||
Distributions, Class FI
|
(680,273 | ) | (1,253,571 | ) | ||||||
Distributions, Institutional Class
|
(2,687,178 | ) | (6,139,297 | ) | ||||||
Total distributions to shareholders
|
(3,367,451
|
)
|
(7,392,868
|
)
|
||||||
Capital Transactions - Class FI
|
||||||||||
Proceeds from shares sold
|
- | 8,515,000 | ||||||||
Reinvestment of distributions
|
680,273 | 1,253,571 | ||||||||
Cost of shares redeemed (See Note 7)
|
(1,000,000 | ) | - | |||||||
Total Class FI
|
(319,727
|
)
|
9,768,571
|
|||||||
Capital Transactions - Institutional Class
|
||||||||||
Proceeds from shares sold
|
2,360,019 | 5,745,047 | ||||||||
Reinvestment of distributions
|
42,647 | 122,230 | ||||||||
Cost of shares redeemed (See Note 7)
|
(584,759 | ) | (1,369,686 | ) | ||||||
Total Institutional Class
|
1,817,907
|
4,497,591
|
||||||||
Net increase (decrease) in net assets resulting from capital transactions
|
1,498,180
|
14,266,162
|
||||||||
Total Increase (Decrease) in Net Assets
|
4,157,130
|
15,449,830
|
||||||||
Net Assets
|
||||||||||
Beginning of year or period
|
95,900,676 | 80,450,846 | ||||||||
End of year or period
|
$100,057,806
|
$95,900,676
|
||||||||
Share Transactions - Class FI
|
||||||||||
Shares sold
|
- | 414,029 | ||||||||
Shares issued in reinvestment of distributions
|
32,280 | 60,897 | ||||||||
Shares repurchased (See Note 7)
|
(47,081 | ) | - | |||||||
Total Class FI
|
(14,801
|
)
|
474,926
|
|||||||
Share Transactions - Institutional Class
|
||||||||||
Shares sold
|
111,811 | 280,103 | ||||||||
Shares issued in reinvestment of distributions
|
2,026 | 5,947 | ||||||||
Shares repurchased (See Note 7)
|
(27,787 | ) | (66,627 | ) | ||||||
Total Institutional Class
|
86,050
|
219,423
|
||||||||
Net increase (decrease) in share transactions
|
71,249
|
694,349
|
||||||||
For the Period
Ended July 31, 2024 (Unaudited) |
For the Year or Period
Ended January 31, |
||||||||||||||
2024
|
2023 (a)
|
||||||||||||||
Selected Per Share Data:
|
|||||||||||||||
Net asset value, beginning of year or period
|
$20.86
|
$20.62
|
$21.13
|
||||||||||||
Income from investment operations:
|
|||||||||||||||
Net investment income (loss)
|
0.92 | (b) | 1.75 | 0.98 | |||||||||||
Net realized and unrealized gain (loss) on investments (c)
|
0.39 | 0.20 | (0.46 | ) | |||||||||||
Total from investment operations
|
1.31 | 1.95 | 0.52 | ||||||||||||
Less distributions to shareholders:
|
|||||||||||||||
From net investment income
|
(0.73 | ) | (1.71 | ) | (1.03 | ) | |||||||||
Total distributions
|
(0.73 | ) | (1.71 | ) | (1.03 | ) | |||||||||
Net asset value, end of year or period
|
$21.44
|
$20.86
|
$20.62
|
||||||||||||
Total return (d)
|
6.37 | % | 9.92 | % | 2.58 | %(e) | |||||||||
Ratios and Supplemental Data:
|
|||||||||||||||
Net assets, end of year or period (000's omitted)
|
$19,681 | $19,462 | $9,439 | ||||||||||||
Interest expense to average net assets (e)
|
0.11 | % | 0.42 | % | 0.13 | % | |||||||||
Ratio of expenses to average net assets before waiver and reimbursement/recoupment (f)(g)
|
1.80 | % | 2.14 | % | 1.86 | % | |||||||||
Ratio of expenses to average net assets after waiver and reimbursement/recoupment (f)(g)
|
1.80 | % | 2.14 | % | 1.03 | %(h) | |||||||||
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (f)(g)
|
8.78 | % | 8.50 | % | 7.75 | % | |||||||||
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (f)(g)
|
8.78 | % | 8.50 | % | 8.58 | %(h) | |||||||||
Portfolio turnover rate (d)
|
35 | % | 49 | % | 29 | %(i) | |||||||||
Reverse repurchase agreements, end of period (000's omitted)
|
$1,234 | $1,549 | $6,796 | ||||||||||||
Asset coverage per $1,000 unit of senior indebtedness (j)
|
$82,104 | $62,896 | $12,838 |
(a) |
Class commenced operations on July 12, 2022.
|
(b) |
Calculated using the average shares outstanding method.
|
(c) |
Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain/(loss) in the Statement of Operations due to share transactions for the year or period.
|
(d) |
Not annualized for periods of less than one year.
|
(e) |
Total return assumes reinvest of dividends and would have been lower if no expense waiver was in place.
|
(f) |
Annualized for periods less than one year.
|
(g) |
Includes interest expense.
|
(h) |
Effective January 1, 2023, the expense limitation agreement was terminated. Prior to January 1, 2023, the expense cap was 0.75%. See Note 5.
|
(i) |
Figure presented represents turnover for the Fund as a whole for the entire fiscal period.
|
(j) |
Calculated by subtracting the Fund's total liabilities (not including borrowings) from the Fund's total assets and dividing by the total number of senior indebtedness, where one unit equals $1,000 of senior indebtedness.
|
For the Period
Ended July 31, 2024 (Unaudited) |
For the Year Ended January 31,
|
|||||||||||||||||||||||||||||
2024
|
2023
|
2022
|
2021
|
2020
|
||||||||||||||||||||||||||
Selected Per Share Data:
|
||||||||||||||||||||||||||||||
Net asset value, beginning of year or period
|
$20.86
|
$20.61
|
$22.76
|
$23.03
|
$24.73
|
$24.49
|
||||||||||||||||||||||||
Income from investment operations:
|
||||||||||||||||||||||||||||||
Net investment income (loss)
|
0.92 | (a) | 1.74 | 1.84 | 3.22 | (a) | 2.01 | 1.69 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments (b)
|
0.38 | 0.22 | (2.06 | ) | (0.32 | ) | (1.72 | ) | 0.22 | |||||||||||||||||||||
Total from investment operations
|
1.30 | 1.96 | (0.22 | ) | 2.90 | 0.29 | 1.91 | |||||||||||||||||||||||
Less distributions to shareholders:
|
||||||||||||||||||||||||||||||
From net investment income
|
(0.73 | ) | (1.71 | ) | (1.93 | ) | (3.17 | ) | (1.99 | ) | (1.67 | ) | ||||||||||||||||||
Total distributions
|
(0.73 | ) | (1.71 | ) | (1.93 | ) | (3.17 | ) | (1.99 | ) | (1.67 | ) | ||||||||||||||||||
Net asset value, end of year or period
|
$21.43
|
$20.86
|
$20.61
|
$22.76
|
$23.03
|
$24.73
|
||||||||||||||||||||||||
Total return (c)
|
6.38 | % | 9.98 | % | -0.78 | %(d) | 13.31 | % | 2.04 | % | 8.01 | % | ||||||||||||||||||
Ratios and Supplemental Data:
|
||||||||||||||||||||||||||||||
Net assets, end of year or period (000's omitted)
|
$80,377 | $76,438 | $71,012 | $14,948 | $14,086 | $12,347 | ||||||||||||||||||||||||
Interest expense to average net assets (e)
|
0.11 | % | 0.42 | % | 0.08 | % | N/A | N/A | N/A | |||||||||||||||||||||
Ratio of expenses to average net assets before waiver and reimbursement/recoupment (e)
|
1.80 | %(f) | 2.14 | %(f) | 1.96 | %(f) | 3.36 | % | 5.59 | % | 5.44 | % | ||||||||||||||||||
Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e)
|
1.80 | %(f) | 2.14 | %(f) | 0.93 | %(f)(g) | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e)
|
8.77 | %(f) | 8.48 | %(f) | 7.56 | %(f) | 11.27 | % | 4.47 | % | 2.25 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (e)
|
8.77 | %(f) | 8.48 | %(f) | 8.59 | %(f)(g) | 13.88 | % | 9.31 | % | 6.94 | % | ||||||||||||||||||
Portfolio turnover rate (c)
|
35 | % | 49 | % | 29 | % | 52 | % | 74 | % | 73 | % | ||||||||||||||||||
Reverse repurchase agreements, end of year or period (000s)
|
$1,234 | $1,549 | $6,796 | N/A | N/A | N/A | ||||||||||||||||||||||||
Asset coverage per $1,000 unit of senior indebtedness (h)
|
$82,104 | $62,896 | $12,838 | N/A | N/A | N/A |
(a) |
Calculated using the average shares outstanding method.
|
(b) |
Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statement of Operations due to share transactions for the year or period.
|
(c) |
Not annualized for periods of less than one year.
|
(d) |
Total return assumes reinvest of dividends and would have been lower if no expense waiver was in place.
|
(e) |
Annualized for periods less than one year.
|
(f) |
Includes interest expense.
|
(g) |
Effective January 1, 2023, the expense limitation agreement was terminated. Prior to January 1, 2023, the expense cap was 0.75%. See Note 5.
|
(h) |
Calculated by subtracting the Fund's total liabilities (not including borrowings) from the Fund's total assets and dividing by the total number of senior indebtedness, where one unit equals $1,000 of senior indebtedness.
|
Par
|
Value
|
|||||||
Residential Mortgage-Backed Securities - 46.8%
|
||||||||
A&D Mortgage LLC, Series 2024-NQM1, Class B1, 8.57%, 02/25/2069 (a)(b)
|
$ | 1,000,000 | $ | 1,025,999 | ||||
American Home Mortgage Assets LLC, Series
2006-6,
Class XP, 0.05%, 12/25/2046 (b)(c)
|
771,311 | 5,955 | ||||||
American Home Mortgage Investment Trust, Series
2006-3,
Class 3A2, 6.75%, 12/25/2036 (d)
|
309,057 | 88,180 | ||||||
Bellemeade Re Ltd., Series
2023-1,
Class B1,12.05% (30 day avg SOFR US + 6.70%), 10/25/2033 (a) |
400,000 | 444,528 | ||||||
BRAVO Residential Funding Trust, Series 2021-NQM2, Class A3, 1.44%, 03/25/2060 (a)(b)
|
285,602 | 269,061 | ||||||
Brean Asset Backed Securities Trust, Series
2024-RM8,
Class M3, 4.50%, 05/25/2064 (a)
|
600,000 | 438,605 | ||||||
Colony American Finance Ltd., Series
2020-4,
Class D, 2.71%, 12/15/2052 (a)
|
770,000 | 622,681 | ||||||
COLT Funding LLC
|
||||||||
Series
2021-1,
Class M1, 2.29%, 06/25/2066 (a)(b)
|
1,500,000 | 1,081,331 | ||||||
Series
2022-7,
Class B1, 6.29%, 04/25/2067 (a)(b)
|
1,000,000 | 965,633 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust, Series
2004-29,
Class 1X, 0.00%, 02/25/2035 (b)(c)
|
1,035,867 | 6 | ||||||
Credit Suisse Mortgage Capital Certificates
|
||||||||
Series 2017-RPL1, Class B4, 2.97%, 07/25/2057 (a)(b)
|
1,434,389 | 294,196 | ||||||
Series 2021-NQM2, Class M1, 2.28%, 02/25/2066 (a)(b)
|
1,215,000 | 854,242 | ||||||
Series 2022-ATH1, Class B1, 4.67%, 01/25/2067 (a)(b)
|
2,000,000 | 1,663,832 | ||||||
Series 2022-ATH1, Class B2, 4.67%, 01/25/2067 (a)(b)
|
2,000,000 | 1,597,208 | ||||||
Series 2022-NQM4, Class A3, 4.82%, 06/25/2067 (a)(d)(e)
|
850,826 | 841,657 | ||||||
Series 2022-NQM5, Class M1, 5.17%, 05/25/2067 (a)(b)
|
1,000,000 | 911,427 | ||||||
Series 2022-RPL3, Class A1, 3.89%, 03/25/2061 (a)(b)
|
2,818,132 | 2,845,282 | ||||||
Downey Savings & Loan Association Mortgage Loan Trust, Series
2004-AR2,
Class X2, 0.00%, 11/19/2044 (b)(c)
|
290,273 | 244 | ||||||
Eagle Re Ltd.
|
||||||||
Series
2021-2,
Class M2, 9.60% (30 day avg SOFR US + 4.25%), 04/25/2034 (a)
|
2,250,000 | 2,327,882 | ||||||
Series
2023-1,
Class M2, 10.55% (30 day avg SOFR US + 5.20%), 09/26/2033 (a)
|
500,000 | 525,343 | ||||||
Ellington Financial Mortgage Trust
|
||||||||
Series
2021-2,
Class B1, 3.20%, 06/25/2066 (a)(b)
|
2,000,000 | 1,369,896 | ||||||
Series
2021-2,
Class M1, 2.30%, 06/25/2066 (a)(b)
|
2,410,000 | 1,601,799 | ||||||
GCAT Trust, Series 2020-NQM2, Class M1, 3.59%, 04/25/2065 (a)(b)(e)
|
1,500,000 | 1,313,115 | ||||||
GS Mortgage-Backed Securities Trust
|
||||||||
Series 2020-NQM1, Class B2, 6.90%, 09/27/2060 (a)(b)
|
2,975,000 | 2,970,383 | ||||||
Series
2020-PJ3,
Class B6, 3.42%, 10/25/2050 (a)(b)
|
1,662,904 | 743,242 | ||||||
Series
2020-PJ6,
Class B6, 2.77%, 05/25/2051 (a)(b)
|
995,828 | 382,589 | ||||||
Series 2021-NQM1, Class B1, 3.21%, 07/25/2061 (a)(b)
|
2,000,000 | 1,478,270 | ||||||
Home Partners of America Trust, Series
2021-2,
Class F, 3.80%, 12/17/2026 (a)
|
384,405 | 352,422 | ||||||
Home RE Ltd., Series
2021-2,
Class B1, 9.50% (30 day avg SOFR US + 4.15%), 01/25/2034 (a)
|
760,000 | 767,741 | ||||||
JP Morgan Mortgage Trust
|
||||||||
Series
2021-11,
Class AX1, 0.22%, 01/25/2052 (a)(b)(c)
|
78,332,228 | 805,882 | ||||||
Series
2022-6,
Class B4, 3.30%, 11/25/2052 (a)(b)
|
3,030,175 | 1,603,269 | ||||||
Series
2022-6,
Class B5, 3.30%, 11/25/2052 (a)(b)
|
1,265,000 | 573,616 | ||||||
Series
2022-6,
Class B6, 2.67%, 11/25/2052 (a)(b)
|
1,265,736 | 483,547 | ||||||
Series
2023-6,
Class B4, 6.23%, 12/26/2053 (a)(b)
|
526,811 | 472,420 | ||||||
Series
2023-6,
Class B5, 6.23%, 12/26/2053 (a)(b)
|
411,000 | 315,633 | ||||||
Series
2023-6,
Class B6, 5.89%, 12/26/2053 (a)(b)
|
330,000 | 214,340 | ||||||
JPMorgan Chase Bank NA
|
||||||||
Series
2020-CL1,
Class M5, 11.06% (1 mo. Term SOFR + 5.71%), 10/25/2057 (a)
|
132,681 | 138,102 | ||||||
Series
2021-CL1,
Class B, 12.25% (30 day avg SOFR US + 6.90%), 03/25/2051 (a)
|
75,000 | 73,234 | ||||||
Series
2021-CL1,
Class M5, 9.20% (30 day avg SOFR US + 3.85%), 03/25/2051 (a)
|
44,272 | 40,612 |
Par
|
Value
|
|||||||
New Residential Mortgage Loan Trust, Series
2019-6A,
Class B6, 4.38%, 09/25/2059 (a)(b)
|
$ | 167,561 | $ | 92,629 | ||||
Oaktown Re, Series
2021-2,
Class B1, 9.75% (30 day avg SOFR US + 4.40%), 04/25/2034 (a)
|
1,500,000 | 1,540,260 | ||||||
Progress Residential Trust
|
||||||||
Series 2021-SFR1, Class F, 2.76%, 04/17/2038 (a)
|
1,400,000 | 1,302,767 | ||||||
Series 2021-SFR9, Class F, 4.05%, 11/17/2040 (a)
|
500,000 | 451,846 | ||||||
PRPM LLC, Series 2024-RCF1, Class M2, 4.00%, 01/25/2054 (a)(d)
|
550,000 | 455,982 | ||||||
Radnor RE Ltd., Series
2021-2,
Class B1,11.35% (30 day avg SOFR US + 6.00%), 11/25/2031 (a) |
1,000,000 | 1,070,357 | ||||||
Rithm Capital Corp., Series
2015-1A,
Class B6, 5.22%, 05/28/2052 (a)(b)
|
1,315,000 | 919,199 | ||||||
Saluda Grade Mortgage Funding LLC
|
||||||||
Series 2022-INV1, Class A3, 4.94%, 04/25/2067 (a)(b)
|
919,958 | 861,499 | ||||||
Series 2023-FIG3, Class B, 7.71%, 08/25/2053 (a)
|
841,709 | 871,371 | ||||||
Series 2023-FIG4, Class A, 6.72%, 11/25/2053 (a)(b)
|
1,790,161 | 1,844,229 | ||||||
Triangle Re Ltd., Series
2021-3,
Class M2,9.10% (30 day avg SOFR US + 3.75%), 02/25/2034 (a) |
1,600,000 | 1,664,440 | ||||||
Verus Securitization Trust
|
||||||||
Series
2021-5,
Class M1, 2.33%, 09/25/2066 (a)(b)
|
450,000 | 315,764 | ||||||
Series
2022-7,
Class M1, 5.37%, 07/25/2067 (a)(b)
|
750,000 | 739,727 | ||||||
Wells Fargo Credit Risk Transfer Securities Trust, Series
2015-WF1,
Class 1M2,10.71% (30 day avg SOFR US + 5.36%), 11/25/2025 (a) |
10,186 | 10,310 | ||||||
Western Alliance Bancorp
|
||||||||
Series
2021-CL2,
Class B, 13.85% (30 day avg SOFR US + 8.50%), 07/25/2059 (a)
|
400,000 | 397,394 | ||||||
Series
2021-CL2,
Class M3, 9.45% (30 day avg SOFR US + 4.10%), 07/25/2059 (a)
|
1,396,342 | 1,404,017 | ||||||
Series
2021-CL2,
Class M5, 11.85% (30 day avg SOFR US + 6.50%), 07/25/2059 (a)
|
407,129 | 397,095 | ||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $47,413,544)
|
46,842,290
|
|||||||
Asset-Backed Securities - 20.0%
|
||||||||
Automobile - 7.2%
|
||||||||
BOF URSA Funding Trust, Series 2024-CAR1, Class E,
8.95% (30 day avg SOFR US + 3.60%), 12/26/2031 (a) |
303,623 | 304,379 | ||||||
CAL Receivables LLC, Series
2022-1,
Class B,9.69% (30 day avg SOFR US + 4.35%), 10/15/2026 (a) |
519,546 | 521,204 | ||||||
CPS Auto Trust, Series
2024-B,
Class E, 8.36%, 11/17/2031 (a)
|
300,000 | 310,413 | ||||||
Exeter Automobile Receivables Trust, Series
2024-2A,
Class E, 7.98%, 10/15/2031 (a)
|
200,000 | 201,963 | ||||||
Flagship Credit Auto Trust, Series
2024-1,
Class E, 8.60%, 05/15/2031 (a)
|
200,000 | 205,748 | ||||||
GLS Auto Receivables Trust
|
||||||||
Series
2023-3A,
Class E, 9.27%, 08/15/2030 (a)
|
300,000 | 317,818 | ||||||
Series
2024-1A,
Class E, 7.94%, 10/15/2030 (a)
|
200,000 | 202,055 | ||||||
Hertz Global Holdings, Inc., Series
2022-4A,
Class D, 6.56%, 09/25/2026 (a)
|
265,000 | 259,527 | ||||||
Hertz Vehicle Financing LLC, Series
2022-1A,
Class D, 4.85%, 06/25/2026 (a)
|
1,040,000 | 1,011,820 | ||||||
Huntington Bank Auto Credit-Linked Notes Series, Series
2024-1,
Class D,10.59% (30 day avg SOFR US + 5.25%), 05/20/2032 (a) |
465,002 | 468,579 | ||||||
Prestige Auto Receivables Trust, Series
2024-1A,
Class E, 7.94%, 04/15/2031 (a)
|
200,000 | 203,599 | ||||||
Research-Driven Pagaya Motor Asset Trust, Series
2021-2A,
Class A, 2.65%, 03/25/2030 (a)
|
179,073 | 173,831 | ||||||
Santander Holdings USA, Inc., Series
2024-A,
Class F, 10.17%, 06/15/2032 (a)
|
200,000 | 202,387 | ||||||
SBNA Auto Receivables Trust, Series
2024-A,
Class E, 8.00%, 04/15/2032 (a)
|
300,000 | 302,525 | ||||||
Strike Acceptance Auto Funding Trust, Series
2023-1A,
Class A, 8.00%, 05/15/2026 (a)
|
443,213 | 437,308 |
Par
|
Value
|
|||||||
Tricolor Auto Securitization Trust
|
||||||||
Series
2022-1A,
Class F, 9.80%, 07/16/2029 (a)
|
$ | 100,000 | $ | 99,952 | ||||
Series
2023-1A,
Class F, 16.00%, 06/17/2030 (a)
|
500,000 | 526,200 | ||||||
United Auto Credit Securitization Trust, Series
2022-2,
Class D, 6.84%, 01/10/2028 (a)
|
1,000,000 | 979,232 | ||||||
US Auto Funding Trust
|
||||||||
Series
2022-1A,
Class A, 3.98%, 04/15/2025 (a)
|
29,446 | 29,104 | ||||||
Series
2022-1A,
Class D, 9.14%, 07/15/2027 (a)
|
1,450,000 | 145 | ||||||
Veros Automobile Receivables Trust
|
||||||||
Series
2023-1,
Class D, 11.46%, 08/15/2030 (a)
|
200,000 | 208,685 | ||||||
Series
2024-1,
Class D, 9.87%, 05/15/2031 (a)
|
250,000 | 254,322 | ||||||
7,220,796 | ||||||||
Consumer - 11.4%
|
||||||||
Affirm, Inc.
|
||||||||
Series
2023-B,
Class E, 11.32%, 09/15/2028 (a)
|
300,000 | 303,290 | ||||||
Series
2024-A,
Class E, 9.17%, 02/15/2029 (a)
|
200,000 | 201,220 | ||||||
Aqua Finance Trust, Series
2021-A,
Class C, 3.14%, 07/17/2046 (a)
|
300,000 | 250,707 | ||||||
Foundation Finance Trust
|
||||||||
Series
2021-2A,
Class D, 5.73%, 01/15/2042 (a)
|
100,000 | 95,390 | ||||||
Series
2023-1A,
Class D, 9.18%, 12/15/2043 (a)
|
377,255 | 380,915 | ||||||
Series
2024-1A,
Class D, 8.13%, 12/15/2049 (a)
|
200,000 | 203,785 | ||||||
GreenSky Home Improvement Trust, Series
2024-1,
Class E, 9.00%, 07/25/2059 (a)(f)
|
500,000 | 491,112 | ||||||
LendingClub Receivables Trust
|
||||||||
Series
2019-1,
Class CERT, 0.00%, 07/17/2045 (a)
|
17,660 | 5,121 | ||||||
Series
2019-3,
Class R1, 0.00%, 10/15/2025 (a)
|
5,200,000 | 151,302 | ||||||
Series
2019-7,
Class R1, 0.00%, 01/15/2027 (a)
|
3,000,000 | 162,933 | ||||||
Lendingpoint Asset Securitization Trust
|
||||||||
Series
2022-A,
Class E, 7.02%, 06/15/2029 (a)
|
100,000 | 10 | ||||||
Series
2022-B,
Class C, 8.45%, 10/15/2029 (a)
|
900,000 | 359,025 | ||||||
Marlette Funding Trust, Series
2023-2A,
Class D, 7.92%, 06/15/2033 (a)
|
500,000 | 502,242 | ||||||
Momnt Technologies Trust, Series
2023-1A,
Class B, 8.29%, 03/20/2045 (a)
|
500,000 | 507,390 | ||||||
Pagaya AI Debt Selection Trust
|
||||||||
Series
2021-1,
Class C, 4.09%, 11/15/2027 (a)
|
128,115 | 109,590 | ||||||
Series
2021-3,
Class C, 3.27%, 05/15/2029 (a)
|
179,568 | 165,055 | ||||||
Series
2021-5,
Class C, 3.93%, 08/15/2029 (a)
|
299,965 | 283,190 | ||||||
Series
2022-1,
Class C, 4.89%, 10/15/2029 (a)
|
99,987 | 89,874 | ||||||
Series
2022-2,
Class C, 7.50%, 01/15/2030 (a)
|
499,970 | 484,547 | ||||||
Series
2023-8,
Class D, 9.00%, 06/16/2031 (a)
|
299,807 | 298,007 | ||||||
Series
2024-1,
Class D, 9.00%, 07/15/2031 (a)
|
199,950 | 196,130 | ||||||
Series
2024-2,
Class D, 9.00%, 08/15/2031 (a)
|
399,822 | 395,405 | ||||||
Series
2024-3,
Class D, 9.00%, 10/15/2031 (a)
|
500,000 | 506,125 | ||||||
Series
2024-5,
Class D, 12.97%, 10/15/2031 (a)
|
300,000 | 311,696 | ||||||
Series
2024-6,
Class D, 11.35%, 11/15/2031 (a)
|
500,000 | 503,326 | ||||||
Powerpay Securitization Funding LLC, Series
2024-1A,
Class B, 8.46%, 02/18/2039 (a)
|
200,000 | 203,259 | ||||||
Prosper Marketplace Issuance Trust
|
||||||||
Series
2023-1A,
Class D, 11.24%, 07/16/2029 (a)
|
300,000 | 304,479 | ||||||
Series
2024-1A,
Class D, 10.98%, 08/15/2029 (a)
|
500,000 | 512,512 | ||||||
Purchasing Power Funding, Series
2024-A,
Class E, 10.18%, 08/15/2028 (a)
|
200,000 | 204,225 | ||||||
Reach Financial LLC, Series
2024-2A,
Class D, 8.83%, 07/15/2031 (a)
|
400,000 | 405,392 | ||||||
Republic Finance Issuance Trust
|
||||||||
Series
2021-A,
Class D, 5.23%, 12/22/2031 (a)
|
200,000 | 184,839 |
Par
|
Value
|
|||||||
Series
2024-A,
Class D, 9.49%, 08/20/2032 (a)
|
$ | 250,000 | $ | 250,791 | ||||
Upgrade Master Pass-Thru Trust, Series
2021-PT2,
Class A, 14.45%, 05/15/2027 (a)(b)
|
206,853 | 160,787 | ||||||
Upstart Pass-Through Trust
|
||||||||
Series
2021-ST9,
Class CERT, 0.00%, 11/20/2029 (a)
|
200,000 | 65,547 | ||||||
Series
2022-ST1,
Class CERT, 0.00%, 03/20/2030 (a)
|
100,000 | 30,020 | ||||||
Upstart Securitization Trust
|
||||||||
Series
2021-5,
Class C, 4.15%, 11/20/2031 (a)
|
1,100,000 | 1,032,897 | ||||||
Series
2022-1,
Class C, 5.71%, 03/20/2032 (a)
|
200,000 | 98,337 | ||||||
Series
2022-2,
Class C, 8.43%, 05/20/2032 (a)
|
500,000 | 434,306 | ||||||
Series
2023-1,
Class C, 11.10%, 02/20/2033 (a)
|
500,000 | 512,584 | ||||||
11,357,362 | ||||||||
Credit Card - 0.2%
|
||||||||
Continental Finance Credit Card ABS Master Trust, Series
2020-1A,
Class C,5.75%, 12/15/2028 (a) |
200,000 | 192,467 | ||||||
Equipment - 0.7%
|
||||||||
Octane Receivables Trust
|
||||||||
Series
2024-1A,
Class E, 7.82%, 08/20/2031 (a)
|
200,000 | 194,951 | ||||||
Series
2024-2A,
Class E, 9.04%, 07/20/2032 (a)
|
500,000 | 508,930 | ||||||
703,881 | ||||||||
Solar - 0.5%
|
||||||||
GoodLeap Sustainable Home Solutions Trust, Series
2023-2GS,
Class B,7.80%, 05/20/2055 (a) |
500,000 | 509,855 | ||||||
Mosaic Solar Loans LLC
|
||||||||
Series
2018-1A,
Class C, 0.00%, 06/22/2043 (a)(g)
|
29,010 | 27,048 | ||||||
Series
2019-1A,
Class B, 0.00%, 12/21/2043 (a)(g)
|
16,244 | 13,964 | ||||||
550,867 | ||||||||
TOTAL ASSET-BACKED SECURITIES (Cost $22,205,498)
|
20,025,373
|
|||||||
Collateralized Loan Obligations - 13.2%
|
||||||||
AMMC CDO, Series
2024-30A,
Class D, 9.79% (3 mo. Term SOFR + 4.50%), 01/15/2037 (a)
|
250,000 | 255,893 | ||||||
ARES CLO Ltd., Series
2024-71A,
Class E,12.00% (3 mo. Term SOFR + 6.70%), 04/20/2037 (a) |
1,000,000 | 1,039,165 | ||||||
Atlas Senior Loan Fund Ltd., Series
2023-21A,
Class D2,12.78% (3 mo. Term SOFR + 7.50%), 07/20/2035 (a) |
600,000 | 622,395 | ||||||
Blackrock CLO Ltd., Series
2023-1A,
Class VDN, 0.00%, 04/20/2035 (a)(b)
|
1,000,000 | 530,000 | ||||||
Carlyle Global Market Strategies, Series
2017-4A,
Class C,8.36% (3 mo. Term SOFR + 3.06%), 01/15/2030 (a) |
500,000 | 498,831 | ||||||
Franklin Park Place CLO LLC, Series
2022-1A,
Class E,12.80% (3 mo. Term SOFR + 7.50%), 04/14/2035 (a) |
1,000,000 | 1,005,286 | ||||||
Ivy Hill Middle Market Credit Fund Ltd., Series 9A, Class DRR,
9.23% (3 mo. Term SOFR + 3.95%), 04/23/2034 (a) |
500,000 | 493,100 | ||||||
KKR CLO Trust, Series
2022-43A,
Class ER,13.27% (3 mo. Term SOFR + 7.97%), 01/15/2036 (a) |
750,000 | 778,368 | ||||||
LCM LP, Series 40A, Class D2, 12.24% (3 mo. Term SOFR + 6.94%), 01/15/2036 (a)
|
1,000,000 | 1,022,273 | ||||||
Man GLG US CLO Ltd., Series
2024-1A,
Class D2,10.52% (3 mo. Term SOFR + 5.20%), 07/20/2037 (a) |
1,000,000 | 999,811 |
Par
|
Value
|
|||||||
MidOcean Credit CLO Ltd., Series
2022-11A,
Class ER,13.59% (3 mo. Term SOFR + 8.31%), 10/18/2033 (a) |
$ | 500,000 | $ | 505,529 | ||||
Neuberger Berman Loan Advisers Lasalle Street Lending CLO Ltd., Series
2024-2A,
Class E,12.80% (3 mo. Term SOFR + 7.50%), 04/20/2038 (a) |
1,000,000 | 1,010,935 | ||||||
Ocean Trails CLO Ltd., Series
2022-12A,
Class E,13.39% (3 mo. Term SOFR + 8.11%), 07/20/2035 (a) |
750,000 | 755,900 | ||||||
Park Blue CLO Ltd., Series
2022-1A,
Class E,13.83% (3 mo. Term SOFR + 8.55%), 10/20/2034 (a) |
1,150,000 | 1,166,630 | ||||||
Pikes Peak CLO Ltd., Series
2023-14A,
Class E,13.86% (3 mo. Term SOFR + 8.58%), 04/20/2036 (a) |
1,000,000 | 1,038,510 | ||||||
Trinitas CLO Ltd.
|
||||||||
Series
2020-14A,
Class D, 9.85% (3 mo. Term SOFR + 4.56%), 01/25/2034 (a)
|
500,000 | 500,966 | ||||||
Series
2022-21A,
Class D, 11.60% (3 mo. Term SOFR + 6.32%), 01/20/2036 (a)
|
500,000 | 509,499 | ||||||
Wind River CLO Ltd., Series
2018-1A,
Class E,11.06% (3 mo. Term SOFR + 5.76%), 07/15/2030 (a) |
500,000 | 485,543 | ||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $13,061,395)
|
13,218,634
|
|||||||
Corporate Obligations - 5.5%
|
||||||||
Communications - 0.4%
|
||||||||
Gray Television, Inc., 5.38%, 11/15/2031 (a)
|
600,000 | 385,063 | ||||||
Consumer, Cyclical - 0.5%
|
||||||||
Carnival Corp., 6.00%, 05/01/2029 (a)
|
500,000 | 499,140 | ||||||
Consumer,
Non-cyclical
- 0.5%
|
||||||||
Upbound Group, Inc., 6.38%, 02/15/2029 (a)
|
500,000 | 489,373 | ||||||
Energy - 1.1%
|
||||||||
Greenfire Resources Ltd., 12.00%, 10/01/2028 (a)
|
320,000 | 343,819 | ||||||
New Fortress Energy, Inc., 6.50%, 09/30/2026 (a)
|
500,000 | 464,678 | ||||||
Shelf Drilling Holdings Ltd., 9.63%, 04/15/2029 (a)
|
300,000 | 288,618 | ||||||
1,097,115 | ||||||||
Financial - 2.6%
|
||||||||
EverBank Financial Corp., 5.75%, 07/02/2025
|
500,000 | 489,667 | ||||||
Freedom Mortgage Corp., 6.63%, 01/15/2027 (a)
|
500,000 | 489,637 | ||||||
OneMain Finance Corp., 9.00%, 01/15/2029
|
500,000 | 530,446 | ||||||
PennyMac Financial Services, Inc., 5.75%, 09/15/2031 (a)
|
500,000 | 478,156 | ||||||
United Wholesale Mortgage LLC, 5.50%, 04/15/2029 (a)
|
700,000 | 675,884 | ||||||
2,663,790 | ||||||||
Industrial - 0.4%
|
||||||||
Great Lakes Dredge & Dock Corp., 5.25%, 06/01/2029 (a)
|
450,000 | 405,837 | ||||||
TOTAL CORPORATE OBLIGATIONS (Cost $5,192,660)
|
5,540,318
|
|||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer - 3.8%
|
||||||||
Connecticut Avenue Securities Trust, Series
2024-R02,
Class 1B2,9.05% (30 day avg SOFR US + 3.70%), 02/25/2044 (a) |
850,000 | 881,344 |
Par
|
Value
|
|||||||
Federal Home Loan Mortgage Corp.
|
||||||||
Series
2019-3,
Class M, 4.75%, 10/25/2058 (b)
|
$ | 1,760,774 | $ | 1,710,421 | ||||
Series 2022-HQA1, Class B2, 16.35% (30 day avg SOFR US + 11.00%), 03/25/2042 (a)
|
1,000,000 | 1,168,906 | ||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER (Cost $3,414,262)
|
3,760,671 | |||||||
Commercial Mortgage-Backed Securities - 1.5%
|
||||||||
Banc of America
Re-Remic
Trust, Series 2024-NASH, Class D,10.18% (1 mo. Term SOFR + 4.85%), 05/15/2039 (a) |
500,000 | 501,250 | ||||||
GS Mortgage Securities Corp., Series
2018-TWR,
Class G,9.55% (1 mo. Term SOFR + 4.22%), 07/15/2031 (a) |
311,000 | 7,452 | ||||||
HTL Commercial Mortgage Trust, Series
2024-T53,
Class F, 11.93%, 05/10/2039 (a)(b)
|
500,000 | 505,282 | ||||||
LBA Trust, Series 2024-BOLT, Class F, 9.77% (1 mo. Term SOFR + 4.44%), 06/15/2026 (a)
|
300,000 | 300,007 | ||||||
Morgan Stanley Capital I, Inc., Series 2014-150E, Class B, 4.26%, 09/09/2032 (a)
|
123,000 | 84,831 | ||||||
X-Caliber
Funding LLC
|
||||||||
Series
2020-1,
Class B1, 12.96% (1 mo. Term SOFR + 7.61%), 09/06/2024 (a)
|
47,766 | 47,516 | ||||||
Series
2021-9,
Class B1, 13.46% (1 mo. Term SOFR + 8.12%), 04/06/2026 (a)
|
50,000 | 8,607 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $1,774,057)
|
1,454,945
|
|||||||
Shares
|
||||||||
Common Stocks - 0.5%
|
||||||||
Financial - 0.5%
|
||||||||
Essent Group Ltd.
|
4,400 | 276,496 | ||||||
NMI Holdings, Inc. - Class A (h)
|
5,000 | 196,750 | ||||||
TOTAL COMMON STOCKS (Cost $299,270)
|
473,246
|
|||||||
Par
|
||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency - 0.1%
|
||||||||
Federal Home Loan Mortgage Corp., Series 2017-KF41, Class B,
7.95% (30 day avg SOFR US + 2.61%), 11/25/2024 (a) |
$ | 129,217 | 127,085 | |||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY (Cost $129,172)
|
127,085
|
|||||||
Shares
|
||||||||
Short-Term Investments - 9.6%
|
||||||||
Money Market Funds - 9.6%
|
||||||||
First American Government Obligations Fund - Class U, 5.25% (i)
|
9,575,866 | 9,575,866 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,575,866)
|
9,575,866
|
|||||||
TOTAL INVESTMENTS - 101.0% (Cost $103,065,724)
|
101,018,428
|
|||||||
Liabilities in Excess of Other Assets - (1.0%)
|
(960,622 | ) | ||||||
TOTAL NET ASSETS - 100.0%
|
$
|
100,057,806
|
||||||
(a) |
Security is 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. As of July 31, 2024, the value of these securities total $88,144,397 or 88.1% of the Fund's net assets.
|
(b) |
Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of July 31, 2024.
|
(c) |
Interest only security.
|
(d) |
Step coupon bond. The rate disclosed is as of July 31, 2024.
|
(e) |
All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. At July 31, 2024, the value of securities pledged amounted to $2,154,772.
|
(f) |
Security or a portion of the security purchased on a when-issued or delayed delivery basis.
|
(g) |
Principal only security.
|
(h) |
Non-income
producing security.
|
(i) |
The rate shown represents the
7-day
effective yield as of July 31, 2024.
|
Counterparty
|
Interest
Rate |
Trade Date
|
Maturity Date
|
Net Closing
Amount |
Face Value
|
|||||||||||||||
Goldman Sachs
|
7.28 | % | 07/17/2024 | 08/16/2024 | $ | 1,241,184 | $ | 1,233,694 |
Reference
Obligation |
Implied
Credit Spread at 7/31/2024 (b) |
Pay
(Receive) Fixed Rate |
Payment
Frequency |
Maturity
Date
|
Counterparty
|
Notional
Amount (c) |
Value
|
Premium Paid
(Received) |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||||||
Markit
CDX.NA.IG (d)
|
0.555 | % | 1.000 | % | Quarterly | 06/20/2029 |
Wells Fargo Securities, LLC |
$ | 50,000,000 | ($ | 1,035,201 | ) | ($ | 1,078,585 | ) | $ | 43,384 |
(a) |
If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
(b) |
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on U.S. municipal issues, corporate issues or sovereign issues of an emerging country as of year end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as "Defaulted" indicates a credit event has occurred for the referenced entity or obligation.
|
(c) |
The maximum potential amount the Fund could be required to pay as seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
|
(d) |
Centrally cleared swap, clearing agent: Intercontinental Exchange.
|
Ticker
|
Investment
Strategy |
Commencement of
Operations |
Front-End
Sales Charge |
Back-End
Sales Charge |
12b-1 Fees
|
|||||||||||||||||
Strategic Credit Fund
|
||||||||||||||||||||||
Class A
|
ASCAX | Total Return | N/A | 2.25 | % | N/A | 0.25 | % | ||||||||||||||
Class U
|
ASCUX | N/A | N/A | 1.50 | % | N/A | ||||||||||||||||
Class FI
|
ASCNX | 07/12/2022 | N/A | 3.00 | % | N/A | ||||||||||||||||
Institutional Class
|
ASCIX | 12/26/2017 | N/A | N/A | N/A |
• |
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 fair value of investments based on the best information available)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||
Assets
|
||||||||
Residential Mortgage-Backed Securities
|
$- | $46,842,290 | $- | $46,842,290 | ||||
Asset-Backed Securities
|
- | 20,025,373 | - | 20,025,373 | ||||
Collateralized Loan Obligations
|
- | 13,218,634 | - | 13,218,634 | ||||
Corporate Obligations
|
- | 5,540,318 | - | 5,540,318 | ||||
Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer
|
- | 3,760,671 | - | 3,760,671 | ||||
Commercial Mortgage-Backed Securities
|
- | 1,454,945 | - | 1,454,945 | ||||
Common Stocks
|
473,246 | - | - | 473,246 | ||||
Commercial Mortgage-Backed Securities - U.S. Government Agency
|
- | 127,085 | - | 127,085 | ||||
Short-Term Investments
|
9,575,866 | - | - | 9,575,866 | ||||
Total
|
$10,049,112 | $90,969,316 | $- | $101,018,428 | ||||
Other Financial Instruments
|
||||||||
Assets
|
||||||||
Swaps*
|
$- | $43,384 | $- | $43,384 | ||||
Liabilities
|
||||||||
Reverse Repurchase Agreements
|
- | (1,233,694) | - | (1,233,694) | ||||
Total
|
$- | ($1,190,310) | $- | ($1,190,310) |
* |
Swaps are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Schedule of Centrally Cleared Credit Default Swaps.
|
Reverse Repurchase Agreements
|
Overnight and Continuous
|
Up to 30 Days
|
30-90 Days
|
Greater than
90 Days |
Total
|
|||||
Residential Mortgage-Backed Securities | $- | ($1,233,694) | $- | $- | ($1,233,694) | |||||
Total
|
$- | ($1,233,694) | $- | $- | ($1,233,694) | |||||
Gross amount of reverse repurchase agreements in Balance Sheet Offsetting Information Table | ($1,233,694) | |||||||||
Amounts related to agreements not included in offsetting disclosure in Balance Sheet Offsetting Information Table | $- |
Derivatives
|
Type of
Derivative Risk |
Statement of Assets and Liabilities
Location |
Fair Value of
Deposit at Broker for Futures and Swaps |
Value of
Unrealized Appreciation (Depreciation)* |
||||
Futures Contracts
|
Interest Rate | Deposit at broker for futures | $14,748 | $- | ||||
Swaps
|
Credit | Deposit at broker for swaps | $1,800,847 | $43,384 |
* |
Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of Open Futures Contracts and Schedule of Centrally Cleared Credit Default Swaps.
|
Derivatives
|
Type of
Derivative Risk |
Location of Gain (Loss) on Derivatives
in Income |
Realized Gain (Loss)
on Derivatives |
|||
Futures Contracts
|
Interest Rate |
Net realized gain (loss) on futures contracts
|
$163 | |||
Swaps
|
Credit | Net realized gain (loss) on swaps | ($292,612) |
Derivatives
|
Type of
Derivative Risk |
Location of Gain (Loss) on Derivatives
in Income |
Change in Unrealized
Appreciation/Depreciation on Derivatives |
|||
Futures Contracts
|
Interest Rate |
Net change in unrealized appreciation/depreciation on futures contracts
|
($94) | |||
Swaps
|
Credit | Net change in unrealized appreciation/depreciation on swaps | $146,274 |
Gross Amounts Not Offset
in Statement of Assets and Liabilities
|
||||||||||||
Gross Amounts of
Recognized Assets/Liabilities |
Gross Amounts Offset in
Statement of Assets and Liabilities |
Net Amounts of
Assets/Liabilities Presented in Statement of Assets and Liabilities |
Financial
Instruments* |
Cash
Collateral Pledged* |
Net
Amount |
|||||||
Assets:
|
||||||||||||
Swaps
|
$43,384 | $- | $43,384** | $- | $43,384 | $- | ||||||
Liabilities:
|
||||||||||||
Reverse Repurchase Agreements
|
($1,233,694) | $- | ($1,233,694) | ($1,233,694) | $- | $- |
* |
The amount is limited to the net amounts of financial assets and liabilities and accordingly does not include excess collateral pledged.
|
** |
Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of Centrally Cleared Credit Default Swaps, which is included in appreciation for swaps on the Statement of Assets and Liabilities.
|
Total Waived
Expenses
Recoverable by the
Adviser as of
07/31/24
|
Recoverable
Expenses Subject to
36 Month Limit
During the Year
Ending 01/31/25
|
Recoverable
Expenses Subject to
36 Month Limit
During the Year
Ending 01/31/26
|
||
$716,830 | $111,042 | $605,788 |
Purchases
|
Sales
|
|
$33,756,024 | $39,246,852 |
Repurchase
Offer Date
|
Repurchase
Request Deadline |
NAV on
Repurchase Pricing Date |
Percentage of
Outstanding Shares the Fund Offered to Repurchase |
Number of
Shares the Fund Offered to Repurchase |
Percentage of
Shares Repurchased to
Outstanding
Shares
|
Number of
Shares Repurchased |
||||||
February 23, 2024
|
March 15, 2024 | $20.93 | 5.0% | 232,428 | 0.4% | 17,197 | ||||||
May 31, 2024
|
June 21, 2024 | $21.23 | 5.0% | 233,567 | 1.2% | 57,671 |
2024
|
2023
|
|||||||
Distributions paid from:
|
||||||||
Ordinary Income
|
$ | 7,392,868 | $ | 5,189,444 | ||||
Net Long-Term Capital Gain
|
- | - |
Tax Cost of Investments
|
$100,126,653 | |||
Unrealized Appreciation*
|
2,907,648 | |||
Unrealized Depreciation*
|
(5,794,528) | |||
Net Unrealized Appreciation (Depreciation
)*
|
($2,886,880) | |||
Undistributed Ordinary Income
|
424,096 | |||
Undistributed Long-Term Gain (Loss)
|
- | |||
Accumulated Gain (Loss)
|
$424,096 | |||
Other Accumulated Gain (Loss)
|
(1,213,226) | |||
Total Distributable Earnings (Accumulated Deficit)
|
($3,676,010) |
* |
Represents aggregated amounts of Fund's investments, reverse repurchase agreements, futures, and swaps.
|
No expiration short-term
|
$- | |
No expiration long-term
|
$812,853 | |
Total
|
$812,853 |
Repurchase
Offer Date
|
Repurchase Request
Deadline |
NAV on
Repurchase Pricing Date |
Percentage of
Outstanding Shares the Fund Offered to Repurchase |
Number of
Shares the Fund Offered to Repurchase |
Percentage of
Shares Repurchased to Outstanding
Shares
|
Number of
Shares Repurchased |
||||||
August 30, 2024
|
September 20, 2024 | $21.80 | 5.0% | 4,567 | 0.1% | 4,190 |
Name and
Year of Birth |
Position with
the Trust |
Term of Office
and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number of
Portfolios in Fund Complex
(1)
Overseen by Trustee |
Other Directorships Held
During the Past 5 Years |
|||||
Independent Trustees
(2)
|
||||||||||
Ira P. Cohen
1959
|
Independent Trustee, Chair |
Trustee since 2017,
Chair since 2017; indefinite term
|
Executive Vice President, Recognos Financial (investment industry data analysis provider) (2015-2021);
Independent financial services consultant (since 2005).
|
9 |
Trustee, Valued Advisers Trust (since 2010); Trustee, Apollo Diversified Real Estate Fund (formerly, Griffin Institutional Access Real Estate Fund) (since 2014); Trustee, Angel Oak Funds Trust (since 2014); Trustee, Angel Oak Financial Strategies Income Term Trust (since 2018); Trustee,
U.S. Fixed Income Trust (since 2019); Trustee, Angel Oak Credit Opportunities Term Trust (since 2021); Trustee, Angel Oak Dynamic Financial Strategies Income Term Trust (2019-2022); Trustee, Apollo Credit Fund (formerly, Griffin Institutional Access Credit Fund)
(2017-2022).
|
|||||
Alvin R. Albe, Jr.
1953
|
Independent Trustee | Since 2017; indefinite term | Retired. | 9 |
Trustee, Angel Oak Funds Trust (since 2014); Trustee, Angel Oak Financial Strategies Income Term Trust (since 2018); Trustee, Angel Oak Credit Opportunities Term Trust (since 2021); Trustee, Angel Oak Dynamic Financial Strategies Income Term Trust
(2019-2022).
|
Name and
Year of Birth |
Position with
the Trust |
Term of Office
and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number of
Portfolios in Fund Complex
(1)
Overseen by Trustee |
Other Directorships Held
During the Past 5 Years |
|||||
Keith M. Schappert
1951
|
Independent Trustee
|
Since 2017; indefinite term
|
President, Schappert Consulting LLC (investment industry consulting) (since 2008); Retired, President and CEO of JP Morgan Investment Management.
|
9
|
Trustee, Angel Oak Funds Trust (since 2014); Trustee, Angel Oak Financial Strategies Income Term Trust (since 2018); Trustee, Angel Oak Credit Opportunities Term Trust (since 2021); Trustee, Angel Oak Dynamic Financial Strategies Income Term Trust
(2019-2022);
Director, Commonfund Capital, Inc. (2015-2022); Trustee, Mirae Asset Discovery Funds (2010-2023).
|
|||||
Andrea N. Mullins
1967
|
Independent Trustee
|
Since 2019; indefinite term
|
Private Investor; Independent Contractor, SWM Advisors (since 2014).
|
9
|
Trustee and Audit Committee Chair, Valued Advisers Trust (since 2013, Chair
since 2017); Trustee, Angel Oak Funds Trust (since 2019); Trustee, Angel Oak Financial Strategies Income Term Trust (since 2019); Trustee, Angel Oak Credit Opportunities Term Trust (since 2021); Trustee and Audit Committee Chair, NXG Cushing Midstream Energy Fund (formerly, Cushing MLP & Infrastructure Fund) (since 2021); Trustee and Audit Committee Chair, NXG NextGen Infrastructure Income Fund (formerly, Cushing NextGen Infrastructure Income Fund) (since 2021); Trustee, Angel Oak Dynamic Financial Strategies Income Term Trust
(2019-2022);
Trustee and Audit Committee Chair, Cushing Mutual Funds Trust
(2021-2023).
|
Name and
Year of Birth |
Position
with the Trust |
Term of Office
and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number of
Portfolios in Fund Complex
(1)
Overseen by Trustee |
Other Directorships Held
During the Past 5 Years |
|||||
Interested Trustees
|
||||||||||
Cheryl M. Pate
1976
|
Interested Trustee | Since 2022; indefinite term | Senior Portfolio Manager, Angel Oak Capital Advisors, LLC (investment management) (since 2017). | 9 |
Trustee, Angel Oak Funds Trust (since 2022); Trustee, Angel Oak Credit Opportunities Term Trust (since 2022); Trustee, Angel Oak Financial Strategies Income Term Trust (since 2023); Trustee, Angel Oak Dynamic Financial Strategies Income Term Trust
(2022-2022).
|
|||||
Clayton Triick
(3)
1986
|
Interested Trustee | Since 2024; indefinite term | Head of Portfolio Management, Public Strategies, Angel Oak Capital Advisors, LLC (since 2024); Senior Portfolio Manager, Angel Oak Capital Advisors, LLC (2011-2024). | 9 | Trustee, Angel Oak Funds Trust (since 2024); Trustee, Angel Oak Credit Opportunities Term Trust (since 2024); Trustee, Angel Oak Financial Strategies Income Term Trust (since 2024). |
(1) |
The Fund Complex includes the Fund, each series of Angel Oak Funds Trust, Angel Oak Financial Strategies Income Term Trust, and Angel Oak Credit Opportunities Term Trust.
|
(2) |
The Trustees of the Trust who are not "interested persons" of the Trust as defined in the 1940 Act ("Independent Trustees").
|
(3) |
Mr. Triick was appointed Interested Trustee on May 30, 2024.
|
Name and Year of Birth
|
Position with the Trust
|
Term of Office and Length of Time Served
|
Principal Occupation(s) During Past 5 Years
|
|||
Officers
|
||||||
Adam Langley
1967
|
President | Since 2022; indefinite term (other offices held 2015-2022) |
Chief Operating Officer, Angel Oak Capital Advisors, LLC (since 2021); Chief Compliance Officer, Angel Oak Capital Advisors, LLC (2015-2022); Chief Compliance Officer of Falcons I, LLC (2018-2022); Chief Compliance Officer, Angel Oak Funds Trust (2015-2022); Chief Compliance Officer, Angel Oak Financial Strategies Income Term Trust (2018-2022); Chief Compliance Officer, Angel Oak Dynamic Financial Strategies Income Term Trust (2019-2022); Chief Compliance Officer, Angel Oak Credit Opportunities Term Trust (2021-2022); Chief Compliance Officer, Angel Oak Commercial Real Estate Solutions
(2021-2022);
Chief Compliance Officer, Buckhead One Financial Opportunities, LLC (2015-2022); Chief Compliance Officer, Angel Oak Capital Partners II, LLC (2016-2022); Chief Compliance Officer, Hawks I, LLC (2018-2022).
|
|||
Michael Colombo
1984
|
Secretary | Since 2023; indefinite term | Chief Risk Officer, Angel Oak Capital Advisors, LLC (since 2023); Director of Valuation, Angel Oak Capital Advisors, LLC (2022-2023); Director of Trade Operations, Intercontinental Exchange, Inc. (2022); Manager of Trade Operations, Intercontinental Exchange, Inc. (2019-2022); Lead Analyst, Trade Operations, Intercontinental Exchange, Inc. (2018-2019). | |||
Patrick Journy
1984
|
Treasurer | Since 2024; indefinite term |
Chief Accounting Officer, Angel Oak Mortgage REIT (since 2022); Chief Financial Officer, JFQ Lending Inc.
(2020-2022);
Chief Financial Officer, Mortgage Asset Management, LLC
(2018-2022).
|
|||
Chase Eldredge
1989
|
Chief Compliance Officer | Since 2022; indefinite term |
Chief Compliance Officer, Angel Oak Capital Advisors, LLC (since 2022); Chief Compliance Officer of Falcons I, LLC (since 2022); Chief Compliance Officer, Angel Oak Funds Trust (since 2022); Chief Compliance Officer, Angel Oak Financial Strategies Income Term Trust (since 2022); Chief Compliance Officer, Angel Oak Credit Opportunities Term Trust (since 2022); Senior Compliance Officer, Angel Oak Capital Advisors, LLC
(2020-2022);
Compliance Officer, Angel Oak Capital Advisors, LLC (2017-2020).
|
(b) |
Not applicable. |
Item 2. Code of Ethics.
Not applicable to semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable to semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable to semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3under the Securities Exchange Act of 1934).
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Financial Statements and Financial Highlights for Open-EndInvestment Companies.
Not applicable to closed-endinvestment companies.
Item 8. Changes in and Disagreements with Accountants for Open-EndInvestment Companies.
Not applicable to closed-endinvestment companies.
Item 9. Proxy Disclosure for Open-EndInvestment Companies.
Not applicable to closed-endinvestment companies.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-EndInvestment Companies.
Not applicable to closed-endinvestment companies.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Not applicable.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-EndManagement Investment Companies.
Not applicable for semi-annual reports.
Item 13. Portfolio Managers of Closed-EndManagement Investment Companies.
Not applicable for semi-annual reports.
Item 14. Purchases of Equity Securities by Closed-EndManagement Investment Company and Affiliated Purchasers.
Period |
(a) Total Number of Shares (or Units) Purchased |
(b) Average Price Paid per Share (or Unit) |
(c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs |
(d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs |
||||||||||||
Month #1 (02/01/24-02/29/24) |
- | - | - | - | ||||||||||||
Month #2 (03/01/24-03/31/24)(1) |
17,197 | $ | 20.93 | 17,197 | - | |||||||||||
Month #3 (04/01/24-04/30/24) |
- | - | - | - | ||||||||||||
Month #4 (05/01/24-05/31/24) |
- | - | - | - | ||||||||||||
Month #5 (06/01/24-06/30/24)(2) |
57,671 | $ | 21.23 | 57,671 | - | |||||||||||
Month #6 (07/01/24-07/31/24) |
- | - | - | - | ||||||||||||
Total |
74,868 | - | 74,868 | - |
(1) |
On February 23, 2024, the Registrant offered to repurchase up to 5.0% of the Registrant's total outstanding shares as of March 15, 2024 (the "Repurchase Request Deadline"). On the Repurchase Request Deadline, 17,197 shares representing 0.4% of the Registrant's total outstanding shares were repurchased. |
(2) |
On May 31, 2024, the Registrant offered to repurchase up to 5.0% of the Registrant's total outstanding shares as of June 21, 2024. On the Repurchase Request Deadline, 57,671 shares representing 1.2% of the Registrant's total outstanding shares were repurchased. |
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of trustees.
Item 16. Controls and Procedures.
(a) |
The Registrant's Principal Executive Officer and Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c)under the Investment Company Act of 1940 (the "Act")) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b)under the Act and Rules 13a-15(b)or 15d-15(b)under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant's service provider. |
(b) |
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d)under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 17. Disclosure of Securities Lending Activities for Closed-EndManagement Investment Companies
The registrant did not engage in securities lending activities during the fiscal period reported on this Form N-CSR.
Item 18. Recovery of Erroneously Awarded Compensation.
(a) |
Not Applicable. |
(b) |
Not Applicable. |
Item 19. Exhibits.
(a) |
(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable. |
(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1under the Exchange Act (17 CFR 240.10D-1)by the registered national securities exchange or registered national securities association upon which the registrant's securities are listed. Not Applicable.
(3) A separate certification for each Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)).Filed herewith. (4) Any written solicitation to purchase securities under Rule 23c-1under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not Applicable.
(5) |
Change in the registrant's independent public accountant. Provide the information called for by Item 4 of Form 8-Kunder the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period. There was no change in the registrant's independent public accountant for the period covered by this report. |
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Angel Oak Strategic Credit Fund | ||||
By (Signature and Title)* |
/s/ Adam Langley |
|||
Adam Langley, President (Principal Executive Officer) | ||||
Date October 1, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* |
/s/ Adam Langley |
||
Adam Langley, President (Principal Executive Officer) | |||
Date October 1, 2024 | |||
By (Signature and Title)* |
/s/ Patrick Journy |
||
Patrick Journy, Treasurer (Principal Financial Officer) | |||
Date October 1, 2024 |
* |
Print the name and title of each signing officer under his or her signature. |