# EDGAR Filing Document

**Accession Number:** 0001716885
**File Stem:** 0001145549-23-017053
**Filing Date:** 2023-3
**Character Count:** 61176
**Document Hash:** f29aefb46e440796e652e6e8912ae6db
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-017053.hdr.sgml**: 20230321

**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

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Angel Oak Strategic Credit Fund

- **b. Investment Company Act file number:** 811-23289

- **c. CIK number of Registrant:** 0001716885

- **d. LEI of Registrant:** 549300KHR3RXXW4KTW47

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 3344 Peachtree Road NE

  - **City:** Atlanta

  - **State:** GA

  - **Foreign country:** US

  - **Zip / Postal Code:** 30326

  - **Telephone number:** 404-953-4900

**Item A.2. Information about the Series.**

- **a. Name of Series:** Angel Oak Strategic Credit Fund

- **c. LEI of Series:** 549300KHR3RXXW4KTW47

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-01-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $87893284.53

**Total Liabilities:** $7518477.27

**Net Assets:** $80374807.26

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 13.862501905351 | **1-Year:** 1218.586713313683 | **5-Year:** 3723.814508856782 | **10-Year:** 4447.079049734095 | **30-Year:** 739.317195900834

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 50.894171221076 | **1-Year:** 3890.162710074916 | **5-Year:** 8648.730221938808 | **10-Year:** 7191.419530326683 | **30-Year:** 7737.015210679632

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 1.06%                | 0.07%                | 3.21%                |
| Class ID N/A | 1.06%                | 0.12%                | 3.16%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $262562.20                                 |
| Month 2  | $-6761.17                | $-518252.87                                |
| Month 3  | $21486.49                | $1902048.96                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                           | Title                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| American Home Mortgage Assets  | American Home Mortgage Assets Trust 2006-6             | CUSIP: 008684AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    862069 | PA      | $17160.35     | 0.02%             | 2046-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-20                         | CUSIP: 02151LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216569 | PA      | $82327.11     | 0.10%             | 2047-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Avid Automobile Receivables Tr | Avid Automobile Receivables Trust 2021-1               | CUSIP: 05369LAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $918620.00    | 1.14%             | 2028-04-17      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO            | Capital Four US CLO III Ltd                            | CUSIP: 14016LAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $493750.00    | 0.61%             | 2035-01-21      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| Capital Funding Mortgage Trust | Capital Funding Mortgage Trust 2020-9                  | CUSIP: 14020FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242500 | PA      | $239176.30    | 0.30%             | 2023-11-15      | Floating      | 19.27%                | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                  | Carnival Corp                                          | CUSIP: 143658BR2<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    500000 | PA      | $395627.50    | 0.49%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2022-P3                 | CUSIP: 14686MAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453000 | PA      | $448362.53    | 0.56%             | 2029-09-10      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2021-1 Mortgage Loan Trust                        | CUSIP: 19688EAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1144737.00   | 1.42%             | 2066-06-25      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2019-HRP1          | CUSIP: 20754PAD2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $289548.90    | 0.36%             | 2039-11-25      | Floating      | 13.76%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2021-R01           | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $672219.10    | 0.84%             | 2041-10-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2020-R02           | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $234687.50    | 0.29%             | 2040-01-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P           | Conn's Receivables Funding 2022-A LLC                  | CUSIP: 20825YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $500790.50    | 0.62%             | 2026-12-15      | Fixed         | 9.52%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2017-RPL1 Trust                                   | CUSIP: 22945AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1487145 | PA      | $292194.23    | 0.36%             | 2057-07-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust       | DSLA Mortgage Loan Trust 2004-AR2                      | CUSIP: 23332UAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368407 | PA      | $4078.26      | 0.01%             | 2044-11-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                   | Eagle RE 2021-2 Ltd                                    | CUSIP: 26982AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2250000 | PA      | $2205522.00   | 2.74%             | 2034-04-25      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                   | Eagle RE 2020-1 Ltd                                    | CUSIP: 26982LAD2<br>LEI: 254900SAV74IHXQ8XY35 | Long             | ABS-MBS          | CORP              | BM        |   1250000 | PA      | $1216167.50   | 1.51%             | 2030-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                   | Eagle RE 2020-1 Ltd                                    | CUSIP: 26982LAH3<br>LEI: 254900SAV74IHXQ8XY35 | Long             | ABS-MBS          | CORP              | BM        |   1000000 | PA      | $923008.00    | 1.15%             | 2030-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                   | Eagle RE 2021-1 Ltd                                    | CUSIP: 26983BAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $502241.50    | 0.62%             | 2033-10-25      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 2017-KF41 Mortgage Trust                         | CUSIP: 30306KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129217 | PA      | $119429.38    | 0.15%             | 2024-11-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2020-PJ3      | CUSIP: 36258WBS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1662904 | PA      | $738061.76    | 0.92%             | 2050-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2020-NQM1          | CUSIP: 36259WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2408000 | PA      | $2058591.98   | 2.56%             | 2060-09-27      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2020-NQM1          | CUSIP: 36259WAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1744644.00   | 2.17%             | 2060-09-27      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust    | Legacy Mortgage Asset Trust 2020-GS3                   | CUSIP: 52474NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2752048 | PA      | $2747892.63   | 3.42%             | 2060-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| LendingClub Receivables Trust  | LendingClub Receivables Trust Series 2019-1            | CUSIP: 52604L104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17660 | PA      | $93331.73     | 0.12%             | 2045-07-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat | Lendingpoint 2022-A Asset Securitization Trust         | CUSIP: 52605AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $57948.80     | 0.07%             | 2029-06-15      | Fixed         | 7.02%                 | No            |                  2 | On Loan: No      |
| MCF CLO LLC                    | MCF CLO IX Ltd                                         | CUSIP: 55282EAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $458732.50    | 0.57%             | 2031-07-17      | Floating      | 12.69%                | No            |                  2 | On Loan: No      |
| Continental Credit Card llc    | Continental Finance Credit Card ABS Master Trust       | CUSIP: 66981PAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $183123.20    | 0.23%             | 2028-12-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Trust 2022-1                            | CUSIP: 69546MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99987 | PA      | $85013.96     | 0.11%             | 2029-10-15      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust 2021-1                  | CUSIP: 69547JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249897 | PA      | $218093.35    | 0.27%             | 2027-11-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | PAGAYA AI Debt Trust 2022-3                            | CUSIP: 69547MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502237.50    | 0.62%             | 2030-03-15      | Fixed         | 8.05%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC          | PennyMac Financial Services Inc                        | CUSIP: 70932MAC1<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    500000 | PA      | $420951.47    | 0.52%             | 2031-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | Pretium Mortgage Credit Partners LLC                   | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236095 | PA      | $212384.79    | 0.26%             | 2061-02-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | PRET 2022-NPL3 LLC                                     | CUSIP: 74143NAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1946478.00   | 2.42%             | 2052-06-25      | Variable      | 7.87%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR9 Trust                   | CUSIP: 74333QAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $411873.50    | 0.51%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                  | Radnor RE 2021-2 Ltd                                   | CUSIP: 75049GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2000000 | PA      | $1881418.00   | 2.34%             | 2031-11-25      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                  | Radnor RE 2021-2 Ltd                                   | CUSIP: 75049GAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1000000 | PA      | $875430.00    | 1.09%             | 2031-11-25      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| Radnor Re LTD                  | Radnor RE 2022-1 Ltd                                   | CUSIP: 75049XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1006778.00   | 1.25%             | 2032-09-25      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| Radnor Re LTD                  | Radnor RE 2022-1 Ltd                                   | CUSIP: 75049XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1033844.00   | 1.29%             | 2032-09-25      | Floating      | 12.81%                | No            |                  2 | On Loan: No      |
| Radnor Re LTD                  | Radnor RE 2021-1 Ltd                                   | CUSIP: 75279YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2000000 | PA      | $1908976.00   | 2.38%             | 2033-12-27      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A | Research-Driven Pagaya Motor Asset Trust IV            | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    363040 | PA      | $320562.49    | 0.40%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg | Saluda Grade Alternative Mortgage Trust 2022-INV1      | CUSIP: 79583VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998107 | PA      | $905718.79    | 1.13%             | 2032-10-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                | Saranac Clo VIII Ltd                                   | CUSIP: 80316RAA9<br>LEI: 5493002KTJG5M0SYTB50 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $210247.50    | 0.26%             | 2033-02-20      | Floating      | 12.80%                | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd             | THL Credit Wind River 2018-1 Clo Ltd                   | CUSIP: 88432WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $423200.50    | 0.53%             | 2030-07-15      | Floating      | 10.29%                | No            |                  2 | On Loan: No      |
| WT HOLDINGS INC                | WT Holdings Inc                                        | CUSIP: 98258PAA5<br>LEI: 5493003A5MRDVHNV6S26 | Long             | DBT              | CORP              | US        |    300000 | PA      | $296759.82    | 0.37%             | 2023-04-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| XCALI 2020-1 Mortgage Trust    | XCALI 2020-1 Mortgage Trust                            | CUSIP: 98370AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203125 | PA      | $202027.70    | 0.25%             | 2023-02-06      | Floating      | 11.87%                | No            |                  2 | On Loan: No      |
| x-caliber funding llc          | XCALI 2020-1 Mortgage Trust                            | CUSIP: 98402TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $48697.60     | 0.06%             | 2024-03-01      | Floating      | 12.44%                | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi | CARLYLE US CLO 2017-4 Ltd                              | CUSIP: 14315BAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $456829.00    | 0.57%             | 2030-01-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2022-P2                 | CUSIP: 14686JAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    923000 | PA      | $924533.10    | 1.15%             | 2029-05-10      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2022-P1                 | CUSIP: 14688DAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119907 | PA      | $119726.64    | 0.15%             | 2029-01-10      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables  | Exeter Automobile Receivables Trust 2022-4             | CUSIP: 30166BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $464516.50    | 0.58%             | 2030-03-15      | Fixed         | 8.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes   | CUSIP: 3137G1DF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     31030 | PA      | $23213.01     | 0.03%             | 2048-08-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes   | CUSIP: 3137G1DQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    303974 | PA      | $216699.10    | 0.27%             | 2048-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2020-NQM2 Trust                                   | CUSIP: 36166RAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1276521.00   | 1.59%             | 2065-04-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-15                         | CUSIP: 3622E8AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41601 | PA      | $18005.57     | 0.02%             | 2036-09-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-18                         | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126090 | PA      | $43972.26     | 0.05%             | 2036-11-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp Trust 2018-TWR             | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311000 | PA      | $278513.87    | 0.35%             | 2031-07-15      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                    | Home RE 2022-1 Ltd                                     | CUSIP: 43730GAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1461639.00   | 1.82%             | 2034-10-25      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-1                        | CUSIP: 46650HBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201402 | PA      | $150032.74    | 0.19%             | 2049-05-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-6                      | CUSIP: 46655KDG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3030175 | PA      | $1259359.04   | 1.57%             | 2052-11-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-6                      | CUSIP: 46655KDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1265736 | PA      | $304377.86    | 0.38%             | 2052-11-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat | Lendingpoint 2022-B Asset Securitization Trust         | CUSIP: 52606WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $926518.00    | 1.15%             | 2029-10-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust         | Marlette Funding Trust 2022-2                          | CUSIP: 57107LAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $494223.50    | 0.61%             | 2032-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MED Trust                      | Med Trust 2021-MDLN                                    | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    997038 | PA      | $929872.49    | 1.16%             | 2038-11-15      | Floating      | 9.71%                 | No            |                  2 | On Loan: No      |
| Monroe Capital MML CLO X LLC   | Monroe Capital Mml Clo X Ltd                           | CUSIP: 61034UAL9<br>LEI: 254900N1X9F88IDW7908 | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $462697.50    | 0.58%             | 2034-05-20      | Floating      | 11.55%                | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC         | Mosaic Solar Loan Trust 2019-1                         | CUSIP: 61946CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30820 | PA      | $27625.10     | 0.03%             | 2043-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC         | Mosaic Solar Loan Trust 2018-1                         | CUSIP: 61946FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90742 | PA      | $84287.11     | 0.10%             | 2043-06-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NMI Holdings Inc               | NMI Holdings Inc                                       | CUSIP: 629209305<br>LEI: 529900KNNGFXJX1C3Z08 | Long             | EC               | CORP              | US        |      5000 | NS      | $116150.00    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2019-6             | CUSIP: 64828GCT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165974 | PA      | $100198.37    | 0.12%             | 2059-09-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2022-SFR2          | CUSIP: 64830RAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $711889.45    | 0.89%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                 | Oaktown Re VII Ltd                                     | CUSIP: 67389JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1500000 | PA      | $1385898.00   | 1.72%             | 2034-04-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                 | Oaktown Re VII Ltd                                     | CUSIP: 67389JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1500000 | PA      | $1276564.50   | 1.59%             | 2034-04-25      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust 2021-3                  | CUSIP: 69546RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199989 | PA      | $173938.33    | 0.22%             | 2029-05-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus | Residential Mortgage Loan Trust 2020-1                 | CUSIP: 76119CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $339280.40    | 0.42%             | 2060-01-26      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receiv | Santander Consumer Auto Receivables Trust 2021-A       | CUSIP: 80282YAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $214622.94    | 0.27%             | 2028-08-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP           | OneMain Finance Corp                                   | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $994900.00    | 1.24%             | 2026-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust          | Theorem Funding Trust 2022-2                           | CUSIP: 88339FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1025931.00   | 1.28%             | 2028-12-15      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Co | Triangle Re 2021-3 Ltd                                 | CUSIP: 89600HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1600000 | PA      | $1475745.60   | 1.84%             | 2034-02-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization T | Tricolor Auto Securitization Trust 2022-1              | CUSIP: 89616BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $97756.90     | 0.12%             | 2029-07-16      | Fixed         | 9.80%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC          | US Auto Funding Trust 2022-1                           | CUSIP: 90355FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $441989.55    | 0.55%             | 2027-07-15      | Fixed         | 9.14%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-3                    | CUSIP: 91679LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $435184.00    | 0.54%             | 2031-07-20      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2022-ST1             | CUSIP: 91683NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $34930.28     | 0.04%             | 2030-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-5                      | CUSIP: 92538KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $336207.15    | 0.42%             | 2066-09-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2022-7                      | CUSIP: 92539NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $662874.75    | 0.82%             | 2067-07-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| L Street Securities            | Wells Fargo Credit Risk Transfer Securities Trust 2015 | CUSIP: 949771AC3<br>LEI: 549300T6W1U156OOG754 | Long             | ABS-MBS          | CORP              | US        |     11590 | PA      | $8609.17      | 0.01%             | 2025-11-25      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank          | Western Mortgage Reference Notes Series 2021-CL2       | CUSIP: 95763PES6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446574 | PA      | $431632.42    | 0.54%             | 2059-07-25      | Floating      | 10.81%                | No            |                  2 | On Loan: No      |
| Western Alliance Bank          | Western Mortgage Reference Notes Series 2021-CL2       | CUSIP: 95763PET4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $372894.40    | 0.46%             | 2059-07-25      | Floating      | 12.81%                | No            |                  2 | On Loan: No      |
| N/A                            | 5y Eris Swp Fut   Jun19                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $-520.20      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| REVREPO43730GAC5               | REVREPO43730GAC5                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -950000 | PA      | $-950000.00   | -1.18%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO36259WAE1               | REVREPO36259WAE1                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -910224 | PA      | $-910224.00   | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO36166RAE4               | REVREPO36166RAE4                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -745380 | PA      | $-745380.00   | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO19688EAD0               | REVREPO19688EAD0                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -547500 | PA      | $-547500.00   | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO12662EAD5               | REVREPO12662EAD5                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -458116 | PA      | $-458115.75   | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO52474NAA5               | REVREPO52474NAA5                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1801016 | PA      | $-1801015.97  | -2.24%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO31572LAD8               | REVREPO31572LAD8                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -511064 | PA      | $-511064.00   | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO12665EAE0               | REVREPO12665EAE0                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -546549 | PA      | $-546548.62   | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO105693AA3               | REVREPO105693AA3                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -326322 | PA      | $-326321.55   | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2006-3         | CUSIP: 026929AM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318113 | PA      | $127852.83    | 0.16%             | 2036-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding | Avis Budget Rental Car Funding AESOP LLC               | CUSIP: 05377REQ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $441354.00    | 0.55%             | 2026-08-20      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT               | Bellemeade Re 2020-4 Ltd                               | CUSIP: 07876UAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    250000 | PA      | $240598.50    | 0.30%             | 2030-06-25      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT               | Bellemeade RE 2021-3 Ltd                               | CUSIP: 078777AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $455407.50    | 0.57%             | 2031-09-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT               | Bellemeade Re 2019-2 Ltd                               | CUSIP: 07877BAG5<br>LEI: 254900I4ZKD8IMM1O953 | Long             | ABS-MBS          | CORP              | BM        |    748000 | PA      | $725182.26    | 0.90%             | 2029-04-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2021-A                 | CUSIP: 105693AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    542338 | PA      | $520451.18    | 0.65%             | 2059-10-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2022-ATH1                                         | CUSIP: 12660BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1668424.00   | 2.08%             | 2067-01-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2022-ATH1                                         | CUSIP: 12660BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1607974.00   | 2.00%             | 2067-01-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-NQM2                                         | CUSIP: 12662EAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1215000 | PA      | $928495.71    | 1.16%             | 2066-02-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2022-NQM5 Trust                                   | CUSIP: 12663DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $829730.00    | 1.03%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2022-NQM4 Trust                                   | CUSIP: 12665EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    962238 | PA      | $888532.48    | 1.11%             | 2067-06-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| CAL Receivables LLC            | CAL Receivables 2022-1 LLC                             | CUSIP: 12804BAB4<br>LEI: 549300GJW1JSYKS6S265 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $97970.20     | 0.12%             | 2026-10-15      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables  | Exeter Automobile Receivables Trust 2022-4             | CUSIP: 30166BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $246825.00    | 0.31%             | 2028-12-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Trust 2022-5                            | CUSIP: 69548HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $512400.50    | 0.64%             | 2030-06-17      | Fixed         | 10.31%                | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd | Palmer Square Loan Funding 2021-3 Ltd                  | CUSIP: 69702CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $459276.00    | 0.57%             | 2029-07-20      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2021-SFR1                         | CUSIP: 74331FAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1205299.20   | 1.50%             | 2038-04-17      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| RENT-A-CENTER INC              | Rent-A-Center Inc/TX                                   | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |    500000 | PA      | $425605.00    | 0.53%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XXIII Ltd                                          | CUSIP: 52111PAM3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $444763.00    | 0.55%             | 2029-10-20      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Unison Trust                   | Unison Trust 2021-1                                    | CUSIP: 90919VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229580 | PA      | $207871.27    | 0.26%             | 2050-04-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitizat | United Auto Credit Securitization Trust 2022-2         | CUSIP: 90944KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $975543.00    | 1.21%             | 2028-01-10      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL       | United Wholesale Mortgage LLC                          | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |    700000 | PA      | $602945.00    | 0.75%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2022-2                    | CUSIP: 91679TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $483535.00    | 0.60%             | 2032-05-20      | Fixed         | 8.43%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2022-1                    | CUSIP: 91679WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $158461.60    | 0.20%             | 2032-03-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-1                    | CUSIP: 91681NAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $465169.00    | 0.58%             | 2031-03-20      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-4                    | CUSIP: 91682NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460000 | PA      | $422751.50    | 0.53%             | 2031-09-20      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust     | Upstart Pass-Through Trust Series 2021-ST9             | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $62679.34     | 0.08%             | 2029-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                | Allegro CLO VII Ltd                                    | CUSIP: BCC2G7H70<br>LEI: 635400EBXLHIKFL2MP73 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $459030.00    | 0.57%             | 2031-06-13      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Essent Group Ltd               | Essent Group Ltd                                       | CUSIP: N/A<br>LEI: 254900QUO860OUT6ZF83       | Long             | EC               | CORP              | US        |      4400 | NS      | $193732.00    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Affirm Inc                     | Affirm Asset Securitization Trust 2021-B               | CUSIP: 00834DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $564764.85    | 0.70%             | 2026-08-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-29                | CUSIP: 12669GJA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921595 | PA      | $22765.13     | 0.03%             | 2035-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes   | CUSIP: 3137G1CG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    273443 | PA      | $189124.43    | 0.24%             | 2047-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | Ellington Financial Mortgage Trust 2021-2              | CUSIP: 31572LAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1655000 | PA      | $1039022.24   | 1.29%             | 2066-06-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | Ellington Financial Mortgage Trust 2021-2              | CUSIP: 31572LAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1111204.00   | 1.38%             | 2066-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund             | CUSIP: 31846V211<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |   1614255 | NS      | $1614254.76   | 2.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Flagship Credit Auto Trust     | Flagship Credit Auto Trust 2022-3                      | CUSIP: 33845PAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $492158.50    | 0.61%             | 2028-07-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R | Foursight Capital Automobile Receivables Trust 2022-2  | CUSIP: 34660DAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $507697.50    | 0.63%             | 2029-10-15      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT             | Seasoned Credit Risk Transfer Trust Series 2019-3      | CUSIP: 35563PLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1609657.20   | 2.00%             | 2058-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-HQA3                | CUSIP: 35564KE70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $494367.00    | 0.62%             | 2042-08-25      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-DNA5                | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $953750.00    | 1.19%             | 2034-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-HQA1                | CUSIP: 35564KTJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $999998.00    | 1.24%             | 2042-03-25      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-HQA1                | CUSIP: 35564KUL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $958750.00    | 1.19%             | 2042-03-25      | Floating      | 15.31%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Stacr Remic Trust 2020-DNA1                | CUSIP: 35565HBE4<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $434284.00    | 0.54%             | 2050-01-25      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| Freedom Financial              | FREED ABS Trust 2022-3FP                               | CUSIP: 35634EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502934.00    | 0.63%             | 2029-08-20      | Fixed         | 7.36%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP          | Freedom Mortgage Corp                                  | CUSIP: 35640YAG2<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    500000 | PA      | $415720.00    | 0.52%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp Trust 2020-PJ6      | CUSIP: 36260RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    995828 | PA      | $379477.14    | 0.47%             | 2051-05-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC    | Hertz Vehicle Financing LLC                            | CUSIP: 42806MBG3<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $251734.37    | 0.31%             | 2026-09-25      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                    | Home RE 2021-1 Ltd                                     | CUSIP: 437307AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2300000 | PA      | $2149437.40   | 2.67%             | 2033-07-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                    | Home RE 2022-1 Ltd                                     | CUSIP: 43730GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1963146.00   | 2.44%             | 2034-10-25      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                    | Home RE 2022-1 Ltd                                     | CUSIP: 43730GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1423590.00   | 1.77%             | 2034-10-25      | Floating      | 13.31%                | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | JPMorgan Chase Bank NA - CHASE                         | CUSIP: 46591HAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159994 | PA      | $158668.18    | 0.20%             | 2057-10-25      | Floating      | 10.11%                | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management  | JPMorgan Chase Bank NA - JPMWM                         | CUSIP: 46591HBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49409 | PA      | $42118.68     | 0.05%             | 2051-03-25      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management  | JPMorgan Chase Bank NA - JPMWM                         | CUSIP: 46591HBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $67091.03     | 0.08%             | 2051-03-25      | Floating      | 11.21%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-8                        | CUSIP: 46591KBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255511 | PA      | $155273.78    | 0.19%             | 2050-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Ivy Hill Middle Market Credit  | Ivy Hill Middle Market Credit Fund IX Ltd              | CUSIP: 46604EAN2<br>LEI: 549300UJCX58VC2FZI80 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $457411.00    | 0.57%             | 2034-04-23      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-6                      | CUSIP: 46655KDH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1265000 | PA      | $431944.37    | 0.54%             | 2052-11-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-07

**Name of Applicant:** Angel Oak Strategic Credit Fund

**Signature:** /s/ Daniel Fazioli

**Name of Signer:** Angel Oak Strategic Credit Fund

**Title:** Principal Financial Officer