(a) |
1 | ||||
2 | ||||
3 | ||||
4 | ||||
5 | ||||
6 | ||||
7 | ||||
9 | ||||
15 | ||||
25 |
Average Annual Returns | ||||||||
One Year | Three Year | Five Year | Since Inception (2) | |||||
Angel Oak Strategic Credit Fund – Institutional Class | 5.74% | 9.43% | 5.55% | 5.69% | ||||
Angel Oak Strategic Credit Fund – Class FI without load | 5.79% | N/A | N/A | 6.23% | ||||
Angel Oak Strategic Credit Fund – Class FI with load | 2.88% | N/A | N/A | 3.46% | ||||
Bloomberg U.S. Aggregate Bond Index (3) | -3.37% | -4.46% | 0.75% | 0.45% (4) |
Angel Oak Strategic Credit Fund | Beginning Account Value | Ending Account Value | Expenses Paid During Period (1) | Annualized Expense Ratio | ||||||
Institutional Class | Actual | $1,000.00 | $1,038.80 | $11.22 | 2.22% | |||||
Hypothetical (2) | $1,000.00 | $1,013.79 | $11.08 | 2.22% | ||||||
Class FI | Actual | $1,000.00 | $1,038.80 | $11.22 | 2.22% | |||||
Hypothetical (2) | $1,000.00 | $1,013.79 | $11.08 | 2.22% |
Assets | |||||
Investments in securities at fair value* | $94,586,661 | ||||
Deposit at broker for futures* | 14,051 | ||||
Receivable for Fund shares sold | 526,937 | ||||
Dividends and interest receivable | 359,405 | ||||
Prepaid expenses | 26,476 | ||||
Total Assets | 95,513,530 | ||||
Liabilities | |||||
Payable for reverse repurchase agreements | 4,083,320 | ||||
Payable for investments purchased | 2,124,643 | ||||
Payable for distributions to shareholders | 439,882 | ||||
Payable to Advisor | 92,358 | ||||
Payable to administrator, fund accountant, and transfer agent | 23,116 | ||||
Interest payable for reverse repurchase agreements | 13,897 | ||||
Payable to custodian | 1,230 | ||||
Other accrued expenses | 25,394 | ||||
Total Liabilities | 6,803,840 | ||||
Net Assets | $88,709,690 | ||||
Net Assets consist of: | |||||
Paid-in capital | $93,651,853 | ||||
Total distributable earnings (accumulated deficit) | (4,942,163 | ) | |||
Net Assets | $88,709,690 | ||||
Class FI: | |||||
Net Assets | $13,907,078 | ||||
Shares outstanding (unlimited number of shares authorized, no par value) | 675,517 | ||||
Net asset value (“NAV”) and offering price per share | $20.59 | ||||
Institutional Class: | |||||
Net Assets | $ 74,802,612 | ||||
Shares outstanding (unlimited number of shares authorized, no par value) | 3,635,053 | ||||
Net asset value (“NAV”) and offering price per share | $20.58 | ||||
*Cost of Investments: | |||||
Investments in securities | $98,038,318 | ||||
Required margin held as collateral for futures contracts | 200 |
Investment Income | |||||
Interest | $ | 4,415,136 | |||
Dividends | 2,200 | ||||
Total Investment Income | 4,417,336 | ||||
Expenses | |||||
Investment Advisory (See Note 5) | 518,492 | ||||
Interest expense | 219,039 | ||||
Fund accounting | 37,023 | ||||
Transfer agent | 26,970 | ||||
Legal | 24,734 | ||||
Registration | 18,978 | ||||
Trustee | 17,297 | ||||
Administration | 16,065 | ||||
Audit & tax | 14,874 | ||||
Printing | 6,338 | ||||
Compliance | 5,611 | ||||
Custodian | 3,051 | ||||
Insurance | 2,896 | ||||
Miscellaneous | 10,364 | ||||
Total Expenses | 921,732 | ||||
Net Investment Income (Loss) | 3,495,604 | ||||
Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) on investments | (220,645 | ) | |||
Net realized gain (loss) on futures contracts | 147 | ||||
Net change in unrealized appreciation/depreciation on investments | (42,903 | ) | |||
Net change in unrealized appreciation/depreciation on futures contracts | 647 | ||||
Net realized and unrealized gain (loss) on investments | (262,754 | ) | |||
Net increase (decrease) in net assets resulting from operations | $ | 3,232,850 | |||
For the Period Ended July 31, 2023 (Unaudited) | For the Year Ended January 31, 2023 (a) | |||||||||
Increase (Decrease) in Net Assets due to: | ||||||||||
Operations | ||||||||||
Net investment income (loss) | $3,495,604 | $5,136,432 | ||||||||
Net realized gain (loss) on investment transactions and futures contracts | (220,498 | ) | (214,652 | ) | ||||||
Net change in unrealized appreciation/depreciation on investments and futures contracts | (42,256 | ) | (3,557,022 | ) | ||||||
Net increase (decrease) in net assets resulting from operations | 3,232,850 | 1,364,758 | ||||||||
Distributions to Shareholders | ||||||||||
Distributions, Class FI | (463,898 | ) | (421,986 | ) | ||||||
Distributions, Institutional Class | (2,851,437 | ) | (4,767,458 | ) | ||||||
Total distributions to shareholders | (3,315,335 | ) | (5,189,444 | ) | ||||||
Capital Transactions – Class FI | ||||||||||
Proceeds from shares sold | 4,000,000 | 9,200,000 | ||||||||
Reinvestment of distributions | 463,898 | 421,986 | ||||||||
Total Class FI | 4,463,898 | 9,621,986 | ||||||||
Capital Transactions – Institutional Class | ||||||||||
Proceeds from shares sold | 4,468,221 | 68,506,156 | ||||||||
Reinvestment of distributions | 67,878 | 323,098 | ||||||||
Amount paid for shares redeemed (See Note 7) | (658,668 | ) | (9,123,500 | ) | ||||||
Total Institutional Class | 3,877,431 | 59,705,754 | ||||||||
Net increase (decrease) in net assets resulting from capital transactions | 8,341,329 | 69,327,740 | ||||||||
Total Increase (Decrease) in Net Assets | 8,258,844 | 65,503,054 | ||||||||
Net Assets | ||||||||||
Beginning of year or period | 80,450,846 | 14,947,792 | ||||||||
End of year or period | $ | 88,709,690 | $ | 80,450,846 | ||||||
Share Transactions – Class FI | ||||||||||
Shares sold | 195,032 | 437,236 | ||||||||
Shares issued in reinvestment of distributions | 22,640 | 20,609 | ||||||||
Total Class FI | 217,672 | 457,845 | ||||||||
Share Transactions – Institutional Class | ||||||||||
Shares sold | 218,136 | 3,205,714 | ||||||||
Shares issued in reinvestment of distributions | 3,204 | 15,243 | ||||||||
Shares redeemed (See Note 7) | (32,048 | ) | (432,053 | ) | ||||||
Total Institutional Class | 189,292 | 2,788,904 | ||||||||
Net increase (decrease) in share transactions | 406,964 | 3,246,749 | ||||||||
(a) Class FI commenced operations on July 12, 2022. |
For the Period Ended July 31, 2023 (Unaudited) | For the Period Ended January 31, 2023 (a) | |||||||||
Selected Per Share Data: | ||||||||||
Net asset value, beginning of period | $20.62 | $ | 21.13 | |||||||
Income from investment operations: | ||||||||||
Net investment income (loss) | 0.87 | 0.98 | ||||||||
Net realized and unrealized gain (loss) on investments (b) | (0.09 | ) | (0.46 | ) | ||||||
Total from investment operations | 0.78 | 0.52 | ||||||||
Less distributions to shareholders: | ||||||||||
From net investment income | (0.81 | ) | (1.03 | ) | ||||||
Total distributions | (0.81 | ) | (1.03 | ) | ||||||
Net asset value, end of period | $20.59 | $ | 20.62 | |||||||
Total return (c) | 3.88 | % | 2.58 | %(d) | ||||||
Ratios and Supplemental Data: | ||||||||||
Net assets, end of period (000’s omitted) | $13,90 | 7 | $9,43 | 9 | ||||||
Interest expense to average net assets (e) | 0.53 | % | 0.13 | % | ||||||
Ratio of expenses to average net assets before waiver and reimbursement/recoupment (e)(f) | 2.22 | % | 1.86 | % | ||||||
Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e)(f) | 2.22 | % | 1.03 | %(g) | ||||||
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e)(f) | 8.46 | % | 7.75 | % | ||||||
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (e)(f) | 8.46 | % | 8.58 | %(g) | ||||||
Portfolio turnover rate (c) | 14 | % | 29 | %(h) |
(a) | Class commenced operations on July 12, 2022. |
(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 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) | Figure presented represents turnover for the Fund as a whole for the entire fiscal period. |
For the Period Ended July 31, 2023 (Unaudited) | For the Year Ended January 31, 2023 | For the Year Ended January 31, 2022 | For the Year Ended January 31, 2021 | For the Year Ended January 31, 2020 | For the Year Ended January 31, 2019 | |||||||||||||||||||||||||
Selected Per Share Data: | ||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | $20.61 | $22.76 | $23.03 | $24.73 | $ | 24.49 | $25.23 | |||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | 0.85 | 1.84 | 3.22 | (a) | 2.01 | 1.69 | 1.76 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments (b) | (0.07 | ) | (2.06 | ) | (0.32 | ) | (1.72 | ) | 0.22 | (0.60 | ) | |||||||||||||||||||
Total from investment operations | 0.78 | (0.22 | ) | 2.90 | 0.29 | 1.91 | 1.16 | |||||||||||||||||||||||
Less distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.81 | ) | (1.93 | ) | (3.17 | ) | (1.99 | ) | (1.67 | ) | (1.85 | ) | ||||||||||||||||||
From net realized gain | – | – | – | – | – | (0.05 | ) | |||||||||||||||||||||||
Total distributions | (0.81 | ) | (1.93 | ) | (3.17 | ) | (1.99 | ) | (1.67 | ) | (1.90 | ) | ||||||||||||||||||
Net asset value, end of year or period | $20.58 | $20.61 | $22.76 | $23.03 | $24.73 | $24.49 | ||||||||||||||||||||||||
Total return (c) | 3.88 | % | -0.78 | %(d) | 13.31 | % | 2.04 | % | 8.01 | % | 4.72 | % | ||||||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||||||||
Net assets, end of year or period (000’s omitted) | $74,80 | 3 | $71,01 | 2 | $14,94 | 8 | $14,08 | 6 | $12,34 | 7 | $6,98 | 2 | ||||||||||||||||||
Interest expense to average net assets (e) | 0.53 | % | 0.08 | % | N/A | N/A | N/A | N/A | ||||||||||||||||||||||
Ratio of expenses to average net assets before waiver and reimbursement/recoupment (e) | 2.22 | %(f) | 1.96 | %(f) | 3.36 | % | 5.59 | % | 5.44 | % | 7.96 | % | ||||||||||||||||||
Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e) | 2.22 | %(f) | 0.93 | %(f)(g) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e) | 8.42 | %(f) | 7.56 | %(f) | 11.27 | % | 4.47 | % | 2.25 | % | 0.42 | % | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (e) | 8.42 | %(f) | 8.59 | %(f)(g) | 13.88 | % | 9.31 | % | 6.94 | % | 7.63 | % | ||||||||||||||||||
Portfolio turnover rate (c) | 14 | % | 29 | % | 52 | % | 74 | % | 73 | % | 64 | % | ||||||||||||||||||
(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 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. |
Principal Amount | Value | |||||||
Asset-Backed Securities — 18.37% | ||||||||
Affirm Asset Securitization Trust, Series 2021-B, Class E, 4.610%, 8/17/2026 (a) | $650,000 | $581,459 | ||||||
Aqua Finance Trust, Series 2021-A, Class C, 3.140%, 7/17/2046 (a) | 300,000 | 220,648 | ||||||
Avid Automobile Receivables Trust, Series 2021-1, Class D, 1.990%, 4/17/2028 (a) | 1,000,000 | 933,063 | ||||||
Avis Budget Rental Car Funding LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026 (a) | 500,000 | 439,592 | ||||||
CAL Receivables LLC, Series 2022-1, Class B, 9.418% (SOFR30A + 4.350%), 10/15/2026 (a)(b) | 600,000 | 591,119 | ||||||
Carvana Auto Receivables Trust, Series 2022-P2, Class D, 6.280%, 5/10/2029 | 923,000 | 913,246 | ||||||
Carvana Auto Receivables Trust, Series 2022-P3, Class D, 6.490%, 9/10/2029 | 453,000 | 446,390 | ||||||
Conn’s Receivables Funding LLC, Series 2022-A, Class B, 9.520%, 12/15/2026 (a) | 486,003 | 488,475 | ||||||
Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class C,5.750%, 12/15/2028 (a) | 200,000 | 169,420 | ||||||
Foundation Finance Trust, Series 2021-2A, Class D, 5.730%, 1/15/2042 (a) | 100,000 | 92,088 | ||||||
Foundation Finance Trust, Series 2023-1A, Class D, 9.180%, 12/15/2043 (a) | 400,000 | 409,735 | ||||||
Foursight Capital Automobile Receivables Trust, Series 2022-2, Class D,7.090%, 10/15/2029 (a) | 500,000 | 490,903 | ||||||
FREED ABS Trust, Series 2022-3FP, Class D, 7.360%, 8/20/2029 (a) | 500,000 | 496,806 | ||||||
Goodleap Sustainable Home Solutions Trust, Series 2023-2GS, Class B,7.800%, 5/20/2055 (a) | 500,000 | 483,289 | ||||||
Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026 (a) | 265,000 | 252,584 | ||||||
LendingClub Receivables Trust, Series 2019-1, Class CERT, 0.000%, 7/17/2045 (a) | 17,660 | 61,779 | ||||||
Lendingpoint Asset Securitization Trust, Series 2022-A, Class E, 7.020%, 6/15/2029 (a) | 100,000 | 41,524 | ||||||
Lendingpoint Asset Securitization Trust, Series 2022-B, Class C, 8.450%, 10/15/2029 (a) | 900,000 | 754,007 | ||||||
Marlette Funding Trust, Series 2022-2A, Class D, 7.500%, 8/15/2032 (a) | 500,000 | 496,539 | ||||||
Mosaic Solar Loan Trust, Series 2018-1A, Class C, 0.000%, 6/22/2043 (a)(c) | 68,232 | 62,854 | ||||||
Mosaic Solar Loan Trust, Series 2019-1A, Class B, 0.000%, 12/21/2043 (a)(c) | 26,341 | 20,867 | ||||||
Pagaya AI Debt Selection Trust, Series 2021-1, Class C, 4.090%, 11/15/2027 (a) | 249,897 | 219,356 | ||||||
Pagaya AI Debt Selection Trust, Series 2021-3, Class C, 3.270%, 5/15/2029 (a) | 199,989 | 166,401 | ||||||
Pagaya AI Debt Selection Trust, Series 2021-5, Class C, 3.930%, 8/15/2029 (a) | 299,965 | 257,873 | ||||||
Pagaya AI Debt Selection Trust, Series 2022-1, Class C, 4.888%, 10/15/2029 (a) | 99,987 | 83,739 | ||||||
Pagaya AI Debt Selection Trust, Series 2022-3, Class B, 8.050%, 3/15/2030 (a) | 499,951 | 497,757 | ||||||
Pagaya AI Debt Selection Trust, Series 2022-5, Class B, 10.310%, 6/17/2030 (a) | 499,981 | 511,451 | ||||||
Pagaya AI Debt Selection Trust, Series 2023-1, Class B, 9.435%, 7/15/2030 (a) | 399,944 | 407,686 | ||||||
Pagaya AI Debt Selection Trust, Series 2023-3, Class B, 9.570%, 12/16/2030 (a) | 400,000 | 406,500 | ||||||
Republic Finance Issuance Trust, Series 2020-A, Class D, 7.000%, 11/20/2030 (a) | 500,000 | 455,023 | ||||||
Research-Driven Pagaya Motor Asset Trust, Series 2021-2A, Class A, 2.650%, 3/25/2030 (a) | 296,999 | 250,451 | ||||||
Santander Consumer Auto Receivables Trust, Series 2021-AA, Class F, 5.790%, 8/15/2028 (a) | 250,000 | 224,980 | ||||||
Theorem Funding Trust, Series 2022-2A, Class B, 9.270%, 12/15/2028 (a) | 1,000,000 | 1,014,664 | ||||||
Tricolor Auto Securitization Trust, Series 2022-1A, Class F, 9.800%, 7/16/2029 (a) | 100,000 | 97,618 | ||||||
United Auto Credit Securitization Trust, Series 2022-2, Class D, 6.840%, 1/10/2028 (a) | 1,000,000 | 988,782 | ||||||
Upstart Pass-Through Trust, Series 2021-ST9, Class CERT, 0.000%, 11/20/2029 (a) | 200,000 | 66,182 | ||||||
Upstart Pass-Through Trust, Series 2022-ST1, Class CERT, 0.000%, 3/20/2030 (a) | 100,000 | 33,511 | ||||||
Upstart Securitization Trust, Series 2021-1, Class C, 4.060%, 3/20/2031 (a) | 500,000 | 482,529 | ||||||
Upstart Securitization Trust, Series 2021-3, Class C, 3.280%, 7/20/2031 (a) | 500,000 | 450,498 | ||||||
Upstart Securitization Trust, Series 2022-1, Class C, 5.710%, 3/20/2032 (a) | 200,000 | 153,378 | ||||||
Upstart Securitization Trust, Series 2022-2, Class C, 8.430%, 5/20/2032 (a) | 500,000 | 484,757 | ||||||
US Auto Funding Trust, Series 2022-1A, Class A, 3.980%, 4/15/2025 (a) | 90,940 | 88,021 | ||||||
US Auto Funding Trust, Series 2022-1A, Class D, 9.140%, 7/15/2027 (a) | 1,450,000 | 309,331 | ||||||
Veros Automobile Receivables Trust, Series 2023-1, Class D, 11.460%, 8/15/2030 (a) | 200,000 | 204,570 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost — $17,430,574) | $16,301,445 | |||||||
Principal Amount | Value | |||||||
Collateralized Loan Obligations — 3.09% | ||||||||
Allegro CLO Ltd., Series 2018-1X, Class D, 8.420% (TSFR3M + 3.112%), 6/13/2031 (b)(d) | $ | 500,000 | $ | 465,183 | ||||
Blackrock MT Hood CLO LLC, Series 2023-1A, Class VDN, 0.000%, 4/20/2035 (a)(e) | 1,000,000 | 470,000 | ||||||
CARLYLE US CLO Ltd., Series 2017-4A, Class C, 8.370% (TSFR3M + 3.062%), 1/15/2030 (a)(b) | 500,000 | 464,204 | ||||||
Ivy Hill Middle Market Credit Fund Ltd., Series 9A, Class DRR, 9.296% (TSFR3M + 3.950%), 4/23/2034 (a)(b) | 500,000 | 461,333 | ||||||
LCM Ltd., Series 23A, Class CR, 8.888% (TSFR3M + 3.562%), 10/20/2029 (a)(b) | 500,000 | 440,460 | ||||||
THL Credit Wind River CLO Ltd., Series 2018-1A, Class E, 11.070% (TSFR3M + 5.762%), 7/15/2030 (a)(b) | 500,000 | 439,915 | ||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost — $2,762,752) | $2,741,095 | |||||||
Commercial Mortgage-Backed Securities — 1.59% | ||||||||
Capital Funding Mortgage Trust, Series 2020-9, Class B,20.105% (TSFR1M + 14.900%), 11/19/2023 (a)(b) | 221,456 | 219,238 | ||||||
GS Mortgage Securities Corp. Trust, Series 2018-TWR, Class G,9.444% (TSFR1M + 4.222%), 7/15/2031 (a)(b) | 311,000 | 47,667 | ||||||
Med Trust, Series 2021-MDLN, Class G, 10.586% (TSFR1M + 5.364%), 11/15/2038 (a)(b) | 995,224 | 929,789 | ||||||
X-Caliber Mortgage Trust, Series2020-1, Class B1,12.727% (TSFR1M + 7.614%), 2/6/2024 (a)(b) | 184,784 | 180,860 | ||||||
X-Caliber Mortgage Trust, Series2021-9, Class B1,13.233% (TSFR1M + 8.120%), 3/1/2024 (a)(b) | 50,000 | 31,249 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost — $1,690,818) | $1,408,803 | |||||||
Commercial Mortgage-Backed Securities — U.S. Government Agency — 0.14% | ||||||||
Federal Home Loan Mortgage Corp., Series 2017-KF41, Class B, 7.718% (SOFR30A + 2.614%), 11/25/2024 (a)(b) | 129,217 | 122,461 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES — U.S. GOVERNMENT AGENCY (Cost — $127,965) | $122,461 | |||||||
Shares | ||||||||
Common Stocks — 0.40% | ||||||||
Financial — 0.40% | ||||||||
Essent Group Ltd. | 4,400 | 218,240 | ||||||
NMI Holdings, Inc. — Class A (f) | 5,000 | 133,550 | ||||||
TOTAL COMMON STOCKS (Cost — $299,270) | $351,790 | |||||||
Principal Amount | ||||||||
Corporate Obligations — 5.22% | ||||||||
Communications — 0.46% | ||||||||
Gray Escrow, Inc., 5.375%, 11/15/2031 (a) | $600,000 | 411,609 | ||||||
Consumer, Cyclical — 0.51% | ||||||||
Carnival Corp., 6.000%, 5/1/2029 (a) | 500,000 | 449,898 | ||||||
Consumer, Non-cyclical — 0.52% | ||||||||
Upbound Group, Inc., 6.375%, 2/15/2029 (a) | 500,000 | 459,223 | ||||||
Energy — 0.52% | ||||||||
New Fortress Energy, Inc., 6.500%, 9/30/2026 (a) | 500,000 | 459,387 | ||||||
Principal Amount | Value | |||||||
Financial — 2.79% | ||||||||
Freedom Mortgage Corp., 6.625%, 1/15/2027 (a) | $ | 500,000 | $ | 442,350 | ||||
OneMain Finance Corp., 7.125%, 3/15/2026 | 1,000,000 | 991,343 | ||||||
PennyMac Financial Services, Inc., 5.750%, 9/15/2031 (a) | 500,000 | 422,374 | ||||||
United Wholesale Mortgage LLC, 5.500%, 4/15/2029 (a) | 700,000 | 616,033 | ||||||
2,472,100 | ||||||||
Industrial — 0.42% | ||||||||
Great Lakes Dredge & Dock Corp., 5.250%, 6/1/2029 (a) | 450,000 | 376,344 | ||||||
TOTAL CORPORATE OBLIGATIONS (Cost — $4,453,721) | $4,628,561 | |||||||
Residential Mortgage-Backed Securities — 67.14% | ||||||||
American Home Mortgage Assets Trust, Series 2006-6, Class XP, 0.042%, 12/25/2046 (e)(g) | 836,797 | 15,246 | ||||||
American Home Mortgage Investment Trust, Series 2006-3, Class 3A2,6.750%, 12/25/2036 (h) | 317,258 | 123,649 | ||||||
Bellemeade Re Ltd., Series 2020-4A, Class B1,10.412% (TSFR1M + 5.114%), 6/25/2030 (a)(b) | 250,000 | 251,935 | ||||||
Bellemeade Re Ltd., Series 2021-3A, Class M2, 8.219% (SOFR30A + 3.150%), 9/25/2031 (a)(b) | 500,000 | 494,530 | ||||||
BRAVO Residential Funding Trust, Series 2021-A, Class A1, 1.991%, 10/25/2059 (a)(i)(h) | 512,904 | 479,573 | ||||||
COLT Mortgage Loan Trust, Series 2021-1, Class M1, 2.287%, 6/25/2066 (a)(e)(i) | 1,500,000 | 975,707 | ||||||
Corevest American Finance Ltd., Series 2020-4, Class D, 2.712%, 12/15/2052 (a) | 770,000 | 597,831 | ||||||
CountryWide Home Loan Mortgage Pass-Through Trust, Series 2004-29, Class 1X,0.004%, 2/25/2035 (e)(g) | 1,661,798 | 20,998 | ||||||
Credit Suisse Mortgage Trust, Series 2021-NQM2, Class M1, 2.282%, 2/25/2066 (a)(e)(i) | 1,215,000 | 743,152 | ||||||
Credit Suisse Mortgage Trust, Series 2022-NQM4, Class A3, 4.819%, 6/25/2067 (a)(i)(h) | 914,349 | 836,525 | ||||||
Credit Suisse Mortgage Trust, Series 2022-NQM5, Class M1, 5.169%, 6/25/2067 (a)(e) | 1,000,000 | 806,409 | ||||||
Credit Suisse Mortgage Trust, Series 2017-RPL1, Class B4, 2.961%, 7/25/2057 (a)(e) | 1,485,917 | 276,602 | ||||||
Credit Suisse Mortgage Trust, Series 2022-ATH1, Class B2, 4.675%, 1/25/2067 (a)(e) | 2,000,000 | 1,571,376 | ||||||
Credit Suisse Mortgage Trust, Series 2022-ATH1, Class B1, 4.675%, 1/25/2067 (a)(e) | 2,000,000 | 1,631,826 | ||||||
DSLA Mortgage Loan Trust, Series 2004-AR2, Class X2, 0.000%, 11/19/2044 (e)(g) | 343,299 | 3,503 | ||||||
Eagle RE Ltd., Series 2021-2, Class M2, 9.319% (SOFR30A + 4.250%), 4/25/2034 (a)(b) | 2,250,000 | 2,281,642 | ||||||
Ellington Financial Mortgage Trust, Series 2021-2, Class M1, 2.296%, 6/25/2066 (a)(e)(i) | 1,655,000 | 950,908 | ||||||
Ellington Financial Mortgage Trust, Series 2021-2, Class B1, 3.202%, 6/25/2066 (a)(e) | 2,000,000 | 1,050,492 | ||||||
GCAT Trust, Series 2020-NQM2, Class M1, 3.589%, 4/25/2065 (a)(e)(i) | 1,500,000 | 1,171,467 | ||||||
GSAA Home Equity Trust, Series 2006-15, Class AF6, 6.376%, 9/25/2036 (h) | 40,638 | 16,497 | ||||||
GSAA Home Equity Trust, Series 2006-18, Class AF3A, 5.772%, 11/25/2036 (e) | 124,301 | 36,528 | ||||||
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ3, Class B6,3.425%, 10/25/2050 (a)(e) | 1,659,934 | 602,033 | ||||||
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class B6,2.775%, 5/25/2051 (a)(e) | 992,436 | 316,073 | ||||||
GS Mortgage-Backed Securities Trust, Series 2020-NQM1, Class B1, 5.143%, 9/27/2060 (a)(e) | 2,408,000 | 1,980,710 | ||||||
GS Mortgage-Backed Securities Trust, Series 2020-NQM1, Class B2, 6.331%, 9/27/2060 (a)(e) | 2,000,000 | 1,693,204 | ||||||
Home Partners of America Trust, Series 2021-2, Class F, 3.799%, 12/17/2026 (a) | 385,514 | 324,201 | ||||||
Home RE Ltd., Series 2021-1, Class B1,9.062% (TSFR1M + 3.764%), 7/25/2033 (a)(b) | 2,300,000 | 2,281,004 | ||||||
Home RE Ltd., Series 2021-2, Class B1, 9.219% (SOFR30A + 4.150%), 1/25/2034 (a)(b) | 760,000 | 712,098 | ||||||
Home RE Ltd., Series 2022-1, Class M1C, 10.569% (SOFR30A + 5.500%), 10/25/2034 (a)(b)(i) | 2,000,000 | 2,052,536 | ||||||
Home RE Ltd., Series 2022-1, Class M2, 11.819% (SOFR30A + 6.750%), 10/25/2034 (a)(b) | 1,500,000 | 1,578,866 |
Principal Amount | Value | |||||||
Home RE Ltd., Series 2022-1, Class B1, 14.069% (SOFR30A + 9.000%), 10/25/2034 (a)(b) | $ | 1,500,000 | $ | 1,628,228 | ||||
JP Morgan Chase Bank, Series 2021-CL1, Class M5,8.719% (SOFR30A + 3.650%), 3/25/2051 (a)(b) | 47,531 | 41,437 | ||||||
JP Morgan Chase Bank, Series 2021-CL1, Class B,11.969% (SOFR30A + 6.900%), 3/25/2051 (a)(b) | 75,000 | 70,075 | ||||||
JP Morgan Chase Bank, Series 2020-CL1, Class M5,11.012% (TSFR1M + 5.714%), 10/25/2057 (a)(b) | 150,389 | 152,870 | ||||||
JP Morgan Mortgage Trust, Series 2019-1, Class B6, 2.608%, 5/25/2049 (a)(e) | 203,447 | 134,526 | ||||||
JP Morgan Mortgage Trust, Series 2019-8, Class B6, 4.171%, 3/25/2050 (a)(e) | 255,511 | 133,164 | ||||||
JP Morgan Mortgage Trust, Series 2022-6, Class B4, 3.303%, 11/25/2052 (a)(e) | 3,030,175 | 1,140,861 | ||||||
JP Morgan Mortgage Trust, Series 2022-6, Class B5, 3.303%, 11/25/2052 (a)(e) | 1,265,000 | 420,631 | ||||||
JP Morgan Mortgage Trust, Series 2022-6, Class B6, 3.303%, 11/25/2052 (a)(e) | 1,265,736 | 313,004 | ||||||
JP Morgan Mortgage Trust, Series 2023-6, Class B4, 6.292%, 12/25/2053 (a)(e) | 535,000 | 404,677 | ||||||
JP Morgan Mortgage Trust, Series 2023-6, Class B5, 6.292%, 12/25/2053 (a)(e) | 411,000 | 237,288 | ||||||
JP Morgan Mortgage Trust, Series 2023-6, Class B6, 6.292%, 12/25/2053 (a)(e) | 330,000 | 158,297 | ||||||
New Residential Mortgage Loan Trust, Series 2019-6A, Class B6, 4.415%, 9/25/2059 (a)(e) | 166,353 | 89,646 | ||||||
New Residential Mortgage Loan Trust, Series 2022-SFR2, Class E1, 4.000%, 9/4/2039 (a) | 850,000 | 734,807 | ||||||
Oaktown Re Ltd., Series 2021-1A, Class M2, 9.019% (SOFR30A + 3.950%), 10/25/2033 (a)(b) | 1,080,608 | 1,080,624 | ||||||
Oaktown Re Ltd., Series 2021-2, Class M2, 8.769% (SOFR30A + 3.700%), 4/25/2034 (a)(b) | 1,500,000 | 1,433,331 | ||||||
Oaktown Re Ltd., Series 2021-2, Class B1, 9.469% (SOFR30A + 4.400%), 4/25/2034 (a)(b) | 1,500,000 | 1,385,237 | ||||||
PRET LLC, Series 2022-NPL3, Class A2, 7.870%, 6/25/2052 (a)(h) | 2,000,000 | 1,921,510 | ||||||
Progress Residential Trust, Series 2021-SFR1, Class F, 2.757%, 4/17/2038 (a) | 1,400,000 | 1,217,252 | ||||||
Progress Residential Trust, Series 2021-SFR9, Class F, 4.053%, 11/17/2040 (a) | 500,000 | 412,108 | ||||||
PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026 (a)(e) | 2,809,456 | 2,649,418 | ||||||
PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027 (a)(h) | 1,889,896 | 1,866,661 | ||||||
Radnor RE Ltd., Series 2021-2, Class M2, 10.069% (SOFR30A + 5.000%), 11/25/2031 (a)(b) | 2,000,000 | 2,051,652 | ||||||
Radnor RE Ltd., Series 2021-2, Class B1, 11.069% (SOFR30A + 6.000%), 11/25/2031 (a)(b) | 1,000,000 | 1,051,802 | ||||||
Radnor RE Ltd., Series 2022-1, Class M1B, 11.819% (SOFR30A + 6.750%), 9/25/2032 (a)(b) | 1,000,000 | 1,089,932 | ||||||
Radnor RE Ltd., Series 2022-1, Class M2, 13.569% (SOFR30A + 8.500%), 9/25/2032 (a)(b) | 1,000,000 | 1,129,188 | ||||||
Radnor RE Ltd., Series 2023-1, Class M2, 10.917% (SOFR30A + 5.850%), 7/25/2033 (a)(b)(j) | 1,000,000 | 1,014,391 | ||||||
Radnor RE Ltd., Series 2023-1, Class B1, 12.317% (SOFR30A + 7.250%), 7/25/2033 (a)(b)(j) | 1,125,000 | 1,137,671 | ||||||
Radnor RE Ltd., Series 2021-1, Class M1C, 7.769% (SOFR30A + 2.700%), 12/27/2033 (a)(b) | 2,000,000 | 2,027,478 | ||||||
Saluda Grade Alternative Mortgage Trust, Series 2022-INV1, Class A3, 4.641%, 4/25/2067 (a)(e) | 973,751 | 882,062 | ||||||
Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M, 4.750%, 10/25/2058 (e) | 1,800,000 | 1,658,333 | ||||||
Traingle Re Ltd., Series 2021-3, Class M2, 8.819% (SOFR30A + 3.750%), 2/25/2034 (a)(b) | 1,600,000 | 1,592,075 | ||||||
Triangle Re Ltd., Series 2021-3, Class B1, 10.019% (SOFR30A + 4.950%), 2/25/2034 (a)(b) | 500,000 | 494,542 | ||||||
Unison Trust, Series 2021-1, Class A, 4.500%, 4/25/2050 (a)(e) | 226,628 | 196,077 | ||||||
Verus Securitization Trust, Series 2021-5, Class M1, 2.331%, 9/25/2066 (a)(e) | 450,000 | 276,088 | ||||||
Verus Securitization Trust, Series 2022-7, Class M1, 5.390%, 7/25/2067 (a)(e) | 750,000 | 637,175 | ||||||
Wells Fargo Credit Risk Transfer Securities Trust, Series 2015-WF1, Class 1M2,10.433% (SOFR30A + 5.364%), 11/25/2025 (a)(b) | 11,228 | 8,105 | ||||||
Western Mortgage Reference Notes, Series 2021-CL2, Class M5,11.569% (SOFR30A + 6.500%), 7/25/2059 (a)(b) | 432,817 | 420,331 | ||||||
Western Mortgage Reference Notes, Series 2021-CL2, Class B,13.569% (SOFR30A + 8.500%), 7/25/2059 (a)(b) | 400,000 | 388,999 | ||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost—$62,353,017) | $59,558,674 | |||||||
Principal Amount | Value | |||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer — 7.68% | ||||||||
Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1,8.169% (SOFR30A + 3.100%), 10/25/2041 (a)(b) | $ 700,000 | $ 706,699 | ||||||
Federal Home Loan Mortgage Corp., Series 2021-DNA5, Class B1, 8.119% (SOFR30A + 3.050%), 1/25/2034 (a)(b) | 1,000,000 | 1,010,313 | ||||||
Federal Home Loan Mortgage Corp., Series 2022-HQA1, Class M2, 10.319% (SOFR30A + 5.250%), 3/25/2042 (a)(b) | 1,000,000 | 1,066,957 | ||||||
Federal Home Loan Mortgage Corp., Series 2022-HQA1, Class B2, 16.069% (SOFR30A + 11.000%), 3/25/2042 (a)(b) | 1,000,000 | 1,111,875 | ||||||
Federal Home Loan Mortgage Corp., Series 2022-HQA3, Class M2, 10.419% (SOFR30A + 5.350%), 8/25/2042 (a)(b) | 500,000 | 534,417 | ||||||
Federal Home Loan Mortgage Corp., Series 2017-SPI1, Class B, 4.118%, 9/25/2047 (a)(e) | 273,443 | 162,411 | ||||||
Federal Home Loan Mortgage Corp., Series 2018-SPI3, Class B, 4.162%, 8/25/2048 (a)(e) | 31,041 | 21,767 | ||||||
Federal Home Loan Mortgage Corp., Series 2020-DNA1, Class B2, 10.433% (SOFR30A + 5.364%), 1/25/2050 (a)(b) | 500,000 | 500,848 | ||||||
Federal Home Loan Mortgage Corp., Series 2021-HQA1, Class B2, 10.069% (SOFR30A + 5.000%), 8/25/2033 (a)(b) | 1,750,000 | 1,701,875 | ||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER (Cost — $6,263,531) | $6,817,162 | |||||||
Shares | ||||||||
Short-Term Investments - 2.99% | ||||||||
Money Market Funds - 2.99% | ||||||||
First American Government Obligations Fund, Class U, 5.162% (k) | 2,656,670 | 2,656,670 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost – $2,656,670) | $2,656,670 | |||||||
TOTAL INVESTMENTS—106.62% (Cost – $98,038,318) | $94,586,661 | |||||||
Liabilities in Excess of Other Assets – (6.62%) | (5,876,971 | ) | ||||||
NET ASSETS – 100.00% | $88,709,690 | |||||||
(a) | Security exempt from registration under Rule 144A or Section 4(a)(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities are determined to be liquid by the Adviser, under the procedures established by the Fund’s Board of Trustees, unless otherwise denoted. At July 31, 2023, the value of these securities amounted to $86,887,285 or 97.95% of net assets. |
(b) | Variable or floating rate security based on a reference index and spread. Certain securities are fixed to variable and currently in the fixed phase. Securities that reference SOFR may have been subject to a credit spread adjustment, particularly legacy holdings that previously referenced LIBOR and have transitioned to SOFR as the base lending rate. Rate disclosed is the rate in effect as of July 31, 2023. |
(c) | Principal only security. |
(d) | Security exempt from registration under Regulation S of the Securities Act of 1933. Such securities are treated as liquid securities according to the Fund’s liquidity guidelines. At July 31, 2023, the value of securities pledged amounted to $465,183 or 0.52% of net assets. |
(e) | Variable rate security. The coupon is based on an underlying pool of assets. Rate disclosed is the rate in effect as of July 31, 2023. |
(f) | Non-income producing security. |
(g) | Interest only security. |
(h) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate disclosed is the rate in effect as of July 31, 2023. |
(i) | All or a portion of the security has been pledged as collateral in connection with open reverse repurchase agreements. At July 31, 2023, the value of securities pledged amounted to $7,209,868. |
(j) | Security issued on a when-issued basis. On July 31, 2023, the total value of investments purchased on a when-issued basis was $2,152,062 or 2.43% of net assets. |
(k) | Rate disclosed is the seven day yield as of July 31, 2023. |
Short Futures Contracts | Expiration Month | Number of Contracts | Notional Value | Value & Unrealized Appreciation (Depreciation) | ||||||||||
5 Year ERIS Aged Standard Swap Future | June 2024 | (1 | ) | ($ | 96,521 | ) | $127 |
Counterparty | Interest Rate | Trade Date | Maturity Date | Net Closing Amount | Face Value | ||||||||||||||||||||
Goldman Sachs & Co. | 7.515% | 7/10/2023 | 8/10/2023 | $986,341 | $980,000 | ||||||||||||||||||||
Goldman Sachs & Co. | 6.672% | 7/17/2023 | �� | 8/17/2023 | 318,219 | 316,401 | |||||||||||||||||||
Goldman Sachs & Co. | 7.172% | 7/17/2023 | 8/17/2023 | 1,278,084 | 1,270,239 | ||||||||||||||||||||
Goldman Sachs & Co. | 7.472% | 7/17/2023 | 8/17/2023 | 1,526,438 | 1,516,680 | ||||||||||||||||||||
Total | $4,083,320 |
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 | ||||||||
Asset-Backed Securities | $– | $16,301,445 | $– | $16,301,445 | ||||
Collateralized Loan Obligations | – | 2,741,095 | – | 2,741,095 | ||||
Commercial Mortgage-Backed Securities | – | 1,408,803 | – | 1,408,803 | ||||
Commercial Mortgage-Backed Securities – U.S. Government Agency | – | 122,461 | – | 122,461 | ||||
Common Stocks | 351,790 | – | – | 351,790 | ||||
Corporate Obligations | – | 4,628,561 | – | 4,628,561 | ||||
Residential Mortgage-Backed Securities | – | 59,558,674 | – | 59,558,674 | ||||
Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer | – | 6,817,162 | – | 6,817,162 | ||||
Short-Term Investments | 2,656,670 | – | – | 2,656,670 | ||||
Total | $3,008,460 | $91,578,201 | $– | $94,586,661 | ||||
Other Financial Instruments | ||||||||
Assets | ||||||||
Futures Contracts* | $127 | $– | $– | $127 | ||||
Liabilities | ||||||||
Reverse Repurchase Agreements | – | (4,083,320) | – | (4,083,320) | ||||
Total | $127 | ($4,083,320) | $– | ($4,083,193) |
* | Futures are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Schedule of Open Futures Contracts. |
Paid-in capital | Distributable earnings (accumulated deficit) | |
$1 | ($1) |
Reverse Repurchase Agreements | Overnight and Continuous | Up to 30 Days | 30-90 Days | Greater than 90 Days | Total | |||||
Residential Mortgage-Backed Securities | $– | $4,083,320 | $– | $– | $4,083,320 | |||||
Total | $– | $4,083,320 | $– | $– | $4,083,320 | |||||
Gross amount of reverse repurchase agreements in Balance Sheet Offsetting Information Table | $4,083,320 | |||||||||
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 | Value of Unrealized Appreciation (Depreciation)* | ||||
Futures Contracts | Interest Rate | Deposit at broker for futures | $14,051 | $127* |
* | Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of Open Futures Contracts. |
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 | $147 |
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 | $647 |
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: | ||||||||||||
Futures Contracts | $127 | $– | $127 | $– | $– | $127 | ||||||
Liabilities: | ||||||||||||
Reverse Repurchase Agreements | $4,083,320 | $– | $4,083,320 | $4,083,320 | $– | $– |
* | Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of Open Futures Contracts, which is included in deposit at broker for futures on the Statements of Assets and Liabilities. |
** | The amount is limited to the net amounts of financial assets and liabilities and accordingly does not include excess collateral pledged. |
Total Waived Expenses Recoverable by the Adviser as of 07/31/23 | Recoverable Expenses Subject to 36 Month Limit During the Year Ended 01/31/24 | Recoverable Expenses Subject to 36 Month Limit During the Year Ended 01/31/25 | Recoverable Expenses Subject to 36 Month Limit During the Year Ended 01/31/26 | |||
$1,297,454 | $324,799 | $366,867 | $605,788 |
Purchases | Sales | |
$17,701,074 | $12,352,857 |
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 24, 2023 | March 17, 2023 | $20.59 | 5.0% | 200,293 | 0.4% | 17,720 | ||||||
May 26, 2023 | June 16, 2023 | $20.35 | 5.0% | 209,447 | 0.3% | 14,328 |
2023 | 2022 | |||||||
Distributions paid from: | ||||||||
Ordinary Income | $ | 5,189,444 | $ | 1,933,676 | ||||
Net Long-Term Capital Gain | – | – |
Tax Cost of Investments | $90,908,063 | |
Unrealized Appreciation* | 1,062,198 | |
Unrealized Depreciation* | (4,470,952) | |
Net Unrealized Appreciation (Depreciation )* | ($3,408,754) | |
Undistributed Ordinary Income | 468,769 | |
Undistributed Long-Term Gain (Loss) | – | |
Accumulated Gain (Loss) | $468,769 | |
Other Accumulated Gain (Loss) | (1,919,693) | |
Distributable Earnings (Accumulated Deficit) | ($4,859,678) |
* | Represents aggregated amounts of Fund’s investments, reverse repurchase agreements, and futures. |
No expiration short-term | $289,765 | |
No expiration long-term | $1,178,563 | |
Total | $1,468,328 |
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 25, 2023 | September 15, 2023 | $20.61 | 5.0% | 228,319 | 0.5% | 24,873 |
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). | 10 | 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. | 10 | 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. | 10 | Director, The Commonfund (2012-2022); 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); Trustee, Mirae Asset Discovery Funds (2010 - June 2023). | |||||
Andrea N. Mullins 1967 | Independent Trustee | Since 2019; indefinite term | Private Investor; Independent Contractor, SWM Advisors (since 2014). | 10 | 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, Cushing Mutual Funds 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). |
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 | ||||||||||
Samuel R. Dunlap, III 1979 | Interested Trustee | Since 2019; indefinite term | Chief Investment Officer-Public Strategies, Angel Oak Capital Advisors, LLC (investment management) (since 2009). | 10 | Trustee, Angel Oak Funds Trust (since 2019); Trustee, Angel Oak Credit Opportunities Term Trust (since 2021): Trustee, Angel Oak Financial Strategies Income Term Trust (since 2022); Trustee, Angel Oak Dynamic Financial Strategies Income Term Trust (2019-2022). | |||||
Cheryl M. Pate 1976 | Interested Trustee | Since 2022; indefinite term | Senior Portfolio Manager, Angel Oak Capital Advisors, LLC (investment management) (since 2017). | 10 | 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). |
(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”). |
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). | |||
Kevin Sluss 1982 | Secretary | Since 2023; indefinite term (other offices held 2022-2023) | Chief Risk Officer, Angel Oak Capital Advisors, LLC (since 2022); Senior Quantitative Analytics & Model Development Manager, PNC Bank (2019-2022); Senior Quantitative Analytics & Model Development Consultant, PNC Bank (2016-2019). | |||
Daniel Fazioli 1981 | Treasurer | Since 2015; indefinite term | Chief Accounting Officer, Angel Oak Capital Advisors, LLC (since 2015). | |||
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-3 under 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. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable for semi-annual reports.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable for semi-annual reports.
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Item 9. Purchases of Equity Securities by Closed-End Management 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 (02/01/23-02/28/23) | — | — | — | — | ||||||||||||
Month #2 (03/01/23-03/31/23)(1) | 17,720 | $ | 20.59 | 17,720 | — | |||||||||||
Month #3 (04/01/23-04/30/23) | — | — | — | — | ||||||||||||
Month #4 (05/01/23-05/31/23) | — | — | — | — | ||||||||||||
Month #5 (06/01/23-06/30/23)(2) | 14,328 | $ | 20.35 | 14,328 | — | |||||||||||
Month #6 (07/01/23-07/31/23) | — | — | — | — | ||||||||||||
Total | 32,048 | — | 32,048 | — |
(1) | On February 24, 2023, the Registrant offered to repurchase up to 5.0% of the Registrant’s total outstanding shares as of March 17, 2022 (the “Repurchase Request Deadline”). On the Repurchase Request Deadline, 17,720 shares representing 0.4% of the Registrant’s total outstanding shares were repurchased. |
(2) | On May 26, 2023, the Registrant offered to repurchase up to 5.0% of the Registrant’s total outstanding shares as of June 16, 2023. On the Repurchase Request Deadline, 14,328 shares representing 0.3% of the Registrant’s total outstanding shares were repurchased. |
Item 10. 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 11. 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 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
The registrant did not engage in securities lending activities during the fiscal period reported on this Form N-CSR.
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Item 13. 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. |
(3) Any written solicitation to purchase securities under Rule 23c-1 under 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.
(4) Change in the registrant’s independent public accountant. 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. |
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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 September 29, 2023 |
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 September 29, 2023 | ||||
By (Signature and Title)* | /s/ Daniel Fazioli | |||
Daniel Fazioli, Treasurer (Principal Financial Officer) | ||||
Date September 29, 2023 |
* | Print the name and title of each signing officer under his or her signature. |
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