Table of Contents

LOGO

 

Semi-Annual Report

July 31, 2023

Angel Oak Multi-Strategy Income Fund

Angel Oak Financials Income Impact Fund

Angel Oak High Yield Opportunities Fund

Angel Oak UltraShort Income Fund

Angel Oak Total Return Bond Fund

Angel Oak UltraShort Income ETF

Angel Oak Income ETF

 

Angel Oak Capital Advisors, LLC

3344 Peachtree Road NE

Suite 1725

Atlanta, GA 30326

(404) 953-4900


Table of Contents

Table of Contents

 

Investment Results

     1  

Summary of Funds’ Expenses

     10  

Portfolio Holdings

     12  

Statements of Assets and Liabilities

     16  

Statements of Operations

     18  

Statement of Cash Flows

     20  

Statements of Changes in Net Assets

     21  

Financial Highlights

     28  

Schedules of Investments

     42  

Notes to the Financial Statements

     114  

Additional Information

     136  


Table of Contents

Investment Results – (Unaudited)

Angel Oak Multi-Strategy Income Fund

Total Return Based on a $500,000 Investment

 

LOGO

The Fund is the successor to the investment performance of the Angel Oak Multi-Strategy Income Fund (the “Predecessor Multi-Strategy Income Fund”) as a result of the reorganization of the Predecessor Multi-Strategy Income Fund into the Fund on April 10, 2015. Accordingly, the performance information shown in the chart above and table below for periods prior to April 10, 2015, is that of the Predecessor Multi-Strategy Income Fund. The Predecessor Multi-Strategy Income Fund was also advised by the Fund’s investment adviser, Angel Oak Capital Advisors, LLC (the “Adviser”), and had the same investment objective, policies, and strategies as the Fund.

The chart above assumes an initial investment of $500,000 made on July 31, 2013. Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Total Returns(1)

(For the period ended July 31, 2023)

 

      Average Annual Returns  
      One
Year
   Three Year      Five Year      Ten Year      Since Inception(2)  

Angel Oak Multi-Strategy Income Fund, Institutional Class

   -4.55%      -1.06      -0.63      2.05      2.39

Angel Oak Multi-Strategy Income Fund, Class A without load

   -4.79%      -1.34      -0.86      1.79      3.76

Angel Oak Multi-Strategy Income Fund, Class A with load

   -6.97%      -2.08      -1.32      1.56      3.57

Angel Oak Multi-Strategy Income Fund, Class C without load

   -5.47%      -2.07      -1.61      N/A        -0.07

Angel Oak Multi-Strategy Income Fund, Class C with load

   -6.37%      -2.07      -1.61      N/A        -0.07

Bloomberg U.S. Aggregate Bond Index(3)

   -3.37%      -4.46      0.75      1.50      1.29 %(4) 

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions. Total returns for Class A Shares, with load, include the maximum 2.25% sales charge. Total returns for Class C Shares, with load, include the maximum 1.00% deferred sales charge.

(2) Inception date is August 16, 2012, for Institutional Class Shares, June 28, 2011, for Class A Shares, and August 4, 2015, for Class C Shares.

(3) The Bloomberg U.S. Aggregate Bond Index measures the performance of the investment-grade, fixed-rate bond market, including government and credit securities, agency pass-through securities, asset-backed securities and commercial mortgage-backed securities. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

 

1


Table of Contents

Investment Results – (Unaudited) (continued)

(4) The return shown for the Bloomberg U.S. Aggregate Bond Index is from the inception date of the Institutional Class Shares. The Bloomberg U.S. Aggregate Bond Index return from the inception date of Class A Shares is 1.78% and for Class C Shares is 1.04%.

 

2


Table of Contents

Investment Results – (Unaudited) (continued)

Angel Oak Financials Income Impact Fund

Total Return Based on a $500,000 Investment

 

LOGO

The chart above assumes an initial investment of $500,000 made on November 3, 2014 (commencement of operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Total Returns(1)

(For the period ended July 31, 2023)

 

      Average Annual Returns  
      One Year    Three Year      Five Year      Since Inception(2)  

Angel Oak Financials Income Impact Fund, Institutional Class

   -7.97%      -0.19      0.17      1.34

Angel Oak Financials Income Impact Fund, Class A without load

   -8.08%      -0.33      -0.06      1.12

Angel Oak Financials Income Impact Fund, Class A with load

   -10.16%      -1.08      -0.52      0.86

Angel Oak Financials Income Impact Fund, Class C without load

   -8.91%      -1.32      -0.90      -0.26

Angel Oak Financials Income Impact Fund, Class C with load

   -9.79%      -1.32      -0.90      -0.26

Bloomberg U.S. Aggregate 3-5 Year Index(3)

   -1.67%      -2.55      1.07      1.15 %(4) 

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions. Total returns for Class A Shares, with load, include the maximum 2.25% sales charge. Total returns for Class C Shares, with load, include the maximum 1.00% deferred sales charge.

(2) Inception date is November 3, 2014, for Institutional Class and Class A Shares and August 4, 2015, for Class C Shares.

(3) The Bloomberg U.S. Aggregate 3-5 Year Index tracks bonds with 3-5 year maturities within the Bloomberg U.S. Aggregate Bond Index. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

(4) The return shown for the Bloomberg U.S. Aggregate 3-5 Year Index is from the inception date of the Institutional Class and Class A Shares. The Bloomberg U.S. Aggregate 3-5 Year Index return from the inception date of the Class C Shares is 1.05%.

 

3


Table of Contents

Investment Results – (Unaudited) (continued)

Angel Oak High Yield Opportunities Fund

Total Return Based on a $500,000 Investment

 

LOGO

The Fund is the successor to the investment performance of the Rainier High Yield Fund (the “Predecessor High Yield Fund”) as a result of the reorganization of the Predecessor High Yield Fund into the Fund on April 15, 2016. Accordingly, the performance information shown in the chart above and table below for periods prior to April 15, 2016, is that of the Predecessor High Yield Fund’s Institutional Shares and Original Shares for the Fund’s Institutional Class and Class A shares, respectively. The Predecessor High Yield Fund was managed by the same portfolio managers as the Fund and when the Predecessor High Yield Fund was reorganized into the Fund had substantially the same investment objectives, policies, and strategies as the Fund.

The chart above assumes an initial investment of $500,000 made on July 31, 2013. Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Total Returns(1)

(For the period ended July 31, 2023)

 

      Average Annual Returns  
      One Year    Three Year      Five Year      Ten Year      Since Inception(2)  

Angel Oak High Yield Opportunities Fund, Institutional Class

   6.64%      3.75      3.94      4.80      7.44

Angel Oak High Yield Opportunities Fund, Class A without load

   6.24%      3.44      3.65      4.54      4.79

Angel Oak High Yield Opportunities Fund, Class A with load

   3.81%      2.66      3.17      4.30      4.58

Bloomberg U.S. High Yield Corporate Bond Index(3)

   4.41%      2.04      3.42      4.38      8.72 %(4) 

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions. Total returns for Class A Shares, with load, include the maximum 2.25% sales charge.

(2) Inception date is March 31, 2009, for Institutional Class Shares and July 31, 2012, for Class A Shares.

(3) The Bloomberg U.S. High Yield Corporate Bond Index is an unmanaged market value-weighted index that covers the universe of fixed-rate, non-investment grade debt. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

(4) The return shown for the Bloomberg U.S. High Yield Corporate Bond Index is from the inception date of the Institutional Class Shares. The Bloomberg U.S. High Yield Corporate Bond Index return from the inception date of Class A Shares is 4.83%.

 

4


Table of Contents

Investment Results – (Unaudited) (continued)

Angel Oak UltraShort Income Fund

Total Return Based on a $500,000 Investment

 

LOGO

The chart above assumes an initial investment of $500,000 made on April 2, 2018 (commencement of operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Total Returns(1)

(For the period ended July 31, 2023)

 

      Average Annual Returns  
      One Year    Three Year     

Five Year

     Since Inception(2)  

Angel Oak UltraShort Income Fund, Institutional Class

   2.53%      0.85      1.69      1.78

Angel Oak UltraShort Income Fund, Class A

   2.25%      0.63      1.43      1.50

Angel Oak UltraShort Income Fund, Class A1 without load

   2.18%      N/A        N/A        2.16

Angel Oak UltraShort Income Fund, Class A1 with load

   0.14%      N/A        N/A        0.64

Bloomberg Short Treasury: 9-12 Months Index(3)

   2.76%      0.67      1.50      1.51 %(4) 

Bloomberg Short Term Government/Corporate Index(5)

   3.58%      1.18      1.68      1.70 %(6) 

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions. Total returns for Class A1 Shares, with load, include the maximum 1.50% sales charge and the maximum 0.50% deferred sales charge.

(2) Inception date is April 2, 2018, for Institutional Class, April 30, 2018, for Class A Shares, and July 22, 2022, for Class A1 Shares.

(3) The Bloomberg Short Treasury: 9-12 Months Index measures the performance of U.S. Treasury bills, notes, and bonds with a remaining maturity between 9-12 months. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

(4) The return shown for the Bloomberg Short Treasury: 9-12 Months Index is from the inception date of the Institutional Class Shares. The Bloomberg Short Treasury: 9-12 Months Index return from the inception date of the Class A Shares is 1.52% and for Class A1 Shares is 2.78%.

 

5


Table of Contents

Investment Results – (Unaudited) (continued)

(5) The Bloomberg Short Term Government/Corporate Index is an unmanaged index that represents securities that have fallen out of the U.S. Government/Corporate Index because of the standard minimum one year maturity constraint. Sectors include treasuries, agencies, industrials, utilities and financial institutions. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

(6) The return shown for the Bloomberg Short Term Government/Corporate Index is from the inception date of the Institutional Class Shares. The Bloomberg Short Term Government/Corporate Index return from the inception date of the Class A Shares is 1.70% and for Class A1 Shares is 3.57%.

 

6


Table of Contents

Investment Results – (Unaudited) (continued)

Angel Oak Total Return Bond Fund

Total Return Based on a $500,000 Investment

 

LOGO

The chart above assumes an initial investment of $500,000 made on June 4, 2021 (commencement of operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Total Returns(1)

(For the period ended July 31, 2023)

 

      Average Annual Returns  
      One Year      Since Inception(2)  

Angel Oak Total Return Bond Fund, Institutional Class

     -5.23      -5.22

Bloomberg U.S. Aggregate Bond Index(3)

     -3.37      -5.10

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions.

(2) Inception date is June 4, 2021.

(3) The Bloomberg U.S. Aggregate Bond Index measures the performance of the investment-grade, fixed-rate bond market, including government and credit securities, agency pass-through securities, asset-backed securities and commercial mortgage-backed securities. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

 

7


Table of Contents

Investment Results – (Unaudited) (continued)

Angel Oak UltraShort Income ETF

Total Return Based on a $10,000 Investment

 

 

LOGO

The chart above assumes an initial investment of $10,000 made on October 24, 2022 (commencement of operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Cumulative Returns(1)

(For the period ended July 31, 2023)

 

      Since  Inception(2)  

Angel Oak UltraShort Income ETF – NAV

     4.71

Angel Oak UltraShort Income ETF – Market Price

     4.73

Bloomberg U.S. Treasury Bills Index(3)

     3.50

Bloomberg Short Term Government/Corporate Index(4)

     3.48

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions.

(2) Inception date is October 24, 2022.

(3) The Bloomberg U.S. Treasury Bills Index tracks the market for treasury bills issued by the U.S. government. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

(4) The Bloomberg Short Term Government/Corporate Total Return Index is an unmanaged index that represents securities that have fallen out of the U.S. Government/Corporate Index because of the standard minimum one year maturity constraint. Sectors include treasuries, agencies, industrials, utilities and financial institutions. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

 

8


Table of Contents

Investment Results – (Unaudited) (continued)

Angel Oak Income ETF

Total Return Based on a $10,000 Investment

 

 

LOGO

The chart above assumes an initial investment of $10,000 made on November 7, 2022 (commencement of operations). Returns shown include the reinvestment of all dividends. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. In the absence of fee waivers and reimbursements, when they are necessary to keep expenses at the expense cap, total return would be reduced. Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than the original cost. Performance data current to the most recent month-end can be obtained by calling (855) 751-4324. Index returns do not reflect the effects of fees or expenses. It is not possible to invest directly in an index.

Cumulative Returns(1)

(For the period ended July 31, 2023)

 

      Since Inception(2)

Angel Oak Income ETF – NAV

   4.97%

Angel Oak Income ETF – Market Price

   5.00%

Bloomberg U.S. Aggregate Bond Index(3)

   5.98%

(1) Return figures reflect any change in price per share and assume the reinvestment of all distributions.

(2) Inception date is November 7, 2022.

(3) The Bloomberg U.S. Aggregate Bond Index measures the performance of the investment-grade, fixed-rate bond market, including government and credit securities, agency pass-through securities, asset-backed securities and commercial mortgage-backed securities. Performance figures include the change in value of the bonds in the index and the reinvestment of interest. The index return does not reflect expenses. You cannot invest directly in an index; however, an individual can invest in exchange-traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

 

9


Table of Contents

Summary of Funds’ Expenses – (Unaudited)

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other expenses of the Funds. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period.

Actual Expenses

The first lines of the tables below provide information about actual account values and actual expenses. You may use the information in these lines, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the numbers in the first lines under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second lines of the tables below provide information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees or exchange fees. Therefore, the second lines of the tables below are useful in comparing ongoing costs only and will not help you determine the relative costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

Angel Oak Multi-Strategy Income Fund    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

Class A

   Actual    $1,000.00    $1,006.90    $11.59    2.33%
     Hypothetical(2)    $1,000.00    $1,013.24    $11.63    2.33%

Class C

   Actual    $1,000.00    $1,003.10    $15.30    3.08%
     Hypothetical(2)    $1,000.00    $1,009.52    $15.35    3.08%

Institutional Class

   Actual    $1,000.00    $1,008.20    $10.36    2.08%
     Hypothetical(2)    $1,000.00    $1,014.48    $10.39    2.08%

 

Angel Oak Financials Income Impact Fund    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

Class A

   Actual    $1,000.00    $955.10    $4.61    0.95%
     Hypothetical(2)    $1,000.00    $1,020.08    $4.76    0.95%

Class C

   Actual    $1,000.00    $950.70    $8.22    1.70%
     Hypothetical(2)    $1,000.00    $1,016.36    $8.50    1.70%

Institutional Class

   Actual    $1,000.00    $955.10    $3.39    0.70%
     Hypothetical(2)    $1,000.00    $1,021.32    $3.51    0.70%

 

Angel Oak High Yield Opportunities Fund    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

Class A

   Actual    $1,000.00    $1,033.80    $4.03    0.80%
     Hypothetical(2)    $1,000.00    $1,020.83    $4.01    0.80%

Institutional Class

   Actual    $1,000.00    $1,036.20    $2.78    0.55%
     Hypothetical(2)    $1,000.00    $1,022.07    $2.76    0.55%

 

10


Table of Contents

Summary of Funds’ Expenses – (Unaudited) (continued)

 

Angel Oak UltraShort Income Fund    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

Class A

   Actual    $1,000.00    $1,025.60    $3.01    0.60%
     Hypothetical(2)    $1,000.00    $1,021.82    $3.01    0.60%

Class A1

   Actual    $1,000.00    $1,024.60    $3.01    0.60%
     Hypothetical(2)    $1,000.00    $1,021.82    $3.01    0.60%

Institutional Class

   Actual    $1,000.00    $1,026.90    $1.76    0.35%
     Hypothetical(2)    $1,000.00    $1,023.06    $1.76    0.35%

 

Angel Oak Total Return Bond Fund    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

Institutional Class

   Actual    $1,000.00    $984.20    $2.16    0.44%
     Hypothetical(2)    $1,000.00    $1,022.61    $2.21    0.44%

 

Angel Oak UltraShort Income ETF    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

     Actual    $1,000.00    $1,027.40    $1.46    0.29%
     Hypothetical(2)    $1,000.00    $1,023.36    $1.45    0.29%

 

Angel Oak Income ETF    Beginning
Account Value
   Ending
Account Value
  

Expenses Paid

During Period(1)

  

Annualized

Expense Ratio

     Actual    $1,000.00    $1,025.00    $3.97    0.79%
     Hypothetical(2)    $1,000.00    $1,020.88    $3.96    0.79%

(1) Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent six month period and divided by the number of days in the most recent twelve month period (365). The annualized expense ratios reflect fee waiver and expense limitation arrangements, including interest expense, in effect during the period. The “Financial Highlights” tables in the Funds’ financial statements, included in the report, also show the gross expense ratios, without such reimbursements.

(2) Hypothetical assumes 5% annual return before expenses.

 

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Table of Contents

Portfolio Holdings – (Unaudited)

The investment objective of Angel Oak Multi-Strategy Income Fund is current income.

 

LOGO

The investment objective of Angel Oak Financials Income Impact Fund is to seek current income with a secondary objective of total return.

 

LOGO

* As a percentage of total investments. The percentages presented in the table above may differ from those in the Schedule of Investments because the percentages in the Schedule of Investments are calculated based on net assets.

(a) Less than 0.005%.

 

12


Table of Contents

Portfolio Holdings – (Unaudited) (continued)

The investment objective of Angel Oak High Yield Opportunities Fund is to earn a high level of current income with a secondary objective of capital appreciation.

 

LOGO

The investment objective of Angel Oak UltraShort Income Fund is to seek to provide current income while seeking to minimize price volatility and maintain liquidity.

 

LOGO

* As a percentage of total investments. The percentages presented in the table above may differ from those in the Schedule of Investments because the percentages in the Schedule of Investments are calculated based on net assets.

 

13


Table of Contents

Portfolio Holdings – (Unaudited) (continued)

The investment objective of Angel Oak Total Return Bond Fund is to seek total return.

 

 

LOGO

The investment objective of Angel Oak UltraShort Income ETF is to seek to provide current income while seeking to minimize price volatility and maintain liquidity.

 

 

LOGO

* As a percentage of total investments. The percentages presented in the table above may differ from those in the Schedule of Investments because the percentages in the Schedule of Investments are calculated based on net assets.

 

14


Table of Contents

Portfolio Holdings – (Unaudited) (continued)

The investment objective of Angel Oak Income ETF is current income.

 

 

LOGO

* As a percentage of total investments. The percentages presented in the table above may differ from those in the Schedule of Investments because the percentages in the Schedule of Investments are calculated based on net assets.

 

15


Table of Contents

Statements of Assets and Liabilities

July 31, 2023 (Unaudited)

 

    Multi-Strategy
Income Fund (a)
  Financials Income
Impact Fund
  High Yield
Opportunities Fund
  UltraShort
Income Fund
  Total Return
Bond Fund

Assets

                   

Investments in unaffiliated securities at fair value*

      $3,119,235,927       $85,090,715       $66,170,634       $543,299,936       $33,227,975

Investments in affiliated securities at fair value*

      122,385,177       —        —        4,931,063       — 

Cash

      584,396       —        —        —        — 

Due from Adviser

      —        —        —        —        4,582

Deposit at broker for futures*

      4,229,561       —        —        733,925       220,278

Deposit at broker for swaps*

      2,746,448       —        —        —        — 

Receivable for Fund shares sold

      4,266,728       752,051       84,599       222,342       — 

Receivable for investments sold

      29,780,953       —        —        —        — 

Dividends and interest receivable

      14,813,899       926,923       906,012       1,336,201       159,155

Prepaid expenses

      115,517       24,278       21,054       54,117       32,785
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Assets

      3,298,158,606       86,793,967       67,182,299       550,577,584       33,644,775
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Liabilities

                   

Payable for credit agreements

      100,000,000       —        —        —        — 

Payable for reverse repurchase agreements

      100,000,000       —        —        —        — 

Payable for investments purchased

      324,558,250       —        41,667       1,237,142       — 

Payable for Fund shares redeemed

      4,877,960       112,043       24,602       926,255       — 

Payable for distributions to shareholders

      4,950,893       199,431       288,931       538,193       127,793

Payable to Adviser

      2,029,350       27,106       9,842       94,370       — 

Interest payable for credit agreements

      981,750       —        —        —        — 

Interest payable for reverse repurchase agreements

      731,743       —        —        —        — 

Payable to administrator, fund accountant, and transfer agent

      366,000       24,782       14,204       84,691       8,666

12b-1 fees accrued

      99,213       25,430       3,661       16,431       — 

Payable to custodian

      51,294       650       1,380       9,293       570

Other accrued expenses

      185,303       34,388       17,347       48,847       16,077
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Liabilities

      538,831,756       423,830       401,634       2,955,222       153,106
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Assets

      $2,759,326,850       $86,370,137       $66,780,665       $547,622,362       $33,491,669
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Assets consist of:

                   

Paid-in capital

      $4,760,791,473       $153,231,436       $75,512,606       $614,269,716       $40,114,189

Total distributable earnings (accumulated deficit)

      (2,001,464,623 )       (66,861,299 )       (8,731,941 )       (66,647,354 )       (6,622,520 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Assets

      $2,759,326,850       $86,370,137       $66,780,665       $547,622,362       $33,491,669
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Class A:

                   

Net Assets

      $151,288,831       $1,931,784       $3,486,635       $26,769,926       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Shares outstanding (unlimited number of shares authorized, no par value)

      17,910,154       254,565       326,471       2,786,214       — 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value (“NAV”) per share

      $8.45       $7.59       $10.68       $9.61       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Offering price per share (NAV/0.9775) (b)

      $8.64       $7.76       $10.93       $9.61       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Class C:

                   

Net Assets

      $40,462,001       $3,719,097       $—        $—        $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Shares outstanding (unlimited number of shares authorized, no par value)

      4,843,631       498,208       —        —        — 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value (“NAV”) and offering price per share

      $8.35       $7.46       $—        $—        $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Minimum redemption price per share (NAV*0.99) (c)

      $8.27       $7.39       $—        $—        $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Institutional Class:

                   

Net Assets

      $2,567,576,018       $80,719,256       $63,294,030       $520,326,217       $33,491,669
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Shares outstanding (unlimited number of shares authorized, no par value)

      304,859,687       10,673,633       5,947,808       54,166,102       3,995,616
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value (“NAV”) and offering price per share

      $8.42       $7.56       $10.64       $9.61       $8.38
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Class A1:

                   

Net Assets

      $—        $—        $—        $526,219       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Shares outstanding (unlimited number of shares authorized, no par value)

      —        —        —        54,875       — 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value (“NAV”) per share

      $—        $—        $—        $9.59       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Offering price per share (NAV/0.985) (d)

      $—        $—        $—        $9.74       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Minimum redemption price per share (NAV*0.995) (e)

      $—        $—        $—        $9.54       $— 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

*Cost of Investments:

                   

Investments in unaffiliated securities

      $3,703,269,846       $98,272,335       $70,320,853       $567,926,484       $36,096,518

Investments in affiliated securities

      141,005,038       —        —        4,879,821       — 

Required margin held as collateral for futures contracts

      4,495,600       —        —        616,975       162,400

Required margin held as collateral for swaps

      2,492,518       —        —        —        — 

 

(a)

Statement has been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation.

(b)

Class A shares impose a maximum 2.25% sales charge on purchases. This fee is not charged to shareholders of the UltraShort Income Fund.

(c)

A contingent deferred sales charge (“CDSC”) of 1.00% may be charged.

(d)

Class A1 shares impose a maximum 1.50% sales charge on purchases.

(e)

A contingent deferred sales charge (“CDSC”) of 0.50% may be charged.

 

See accompanying notes which are an integral part of these financial statements.

 

16


Table of Contents

Statements of Assets and Liabilities

July 31, 2023 (Unaudited)

 

     UltraShort
Income ETF
   Income ETF

Assets

         

Investments in securities at fair value*

       $89,832,204        $39,580,091

Deposit at broker for futures*

       —         124,954

Dividends and interest receivable

       250,856        167,325
    

 

 

      

 

 

 

Total Assets

       90,083,060        39,872,370
    

 

 

      

 

 

 

Liabilities

         

Payable for investments purchased

       1,067,942        450,588

Payable to Adviser

       21,797        25,701
    

 

 

      

 

 

 

Total Liabilities

       1,089,739        476,289
    

 

 

      

 

 

 

Net Assets

       $88,993,321        $39,396,081
    

 

 

      

 

 

 

Net Assets consist of:

         

Paid-in capital

       $88,417,178        $39,169,725

Total distributable earnings (accumulated deficit)

       576,143        226,356
    

 

 

      

 

 

 

Net Assets

       $88,993,321        $39,396,081
    

 

 

      

 

 

 

Shares outstanding (unlimited number of shares authorized, no par value)

       1,760,000        1,950,000
    

 

 

      

 

 

 

Net asset value (“NAV”) and offering price per share

       $50.56        $20.20
    

 

 

      

 

 

 

*Cost of Investments:

         

Investments in securities

       $89,785,504        $39,726,708

Required margin held as collateral for futures contracts

       —         21,950

 

See accompanying notes which are an integral part of these financial statements.

 

17


Table of Contents

Statements of Operations

For the Period Ended July 31, 2023 (Unaudited)

 

    Multi-Strategy
Income Fund (a)
  Financials Income
Impact Fund
  High Yield
Opportunities Fund
  UltraShort
Income Fund
  Total Return
Bond Fund

Investment Income

                   

Interest

      $111,265,824       $2,482,210       $2,379,726       $13,858,723       $801,211

Dividends from unaffiliated investments

      1,597,457       88,357       —        —        29,842

Dividends from affiliated investments

      3,297,177       —        —        133,910       — 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Investment Income

      116,160,458       2,570,567       2,379,726       13,992,633       831,053
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Expenses

                   

Interest expense

      15,782,478       4,635       240       —        — 

Investment Advisory (See Note 5)

      12,831,921       396,587       177,923       1,349,371       84,618

Fund accounting

      574,088       9,605       18,123       118,153       9,497

Administration

      239,833       17,846       14,783       63,736       12,741

Legal

      231,490       14,911       4,374       54,452       2,199

Transfer agent

      224,573       33,896       15,196       54,777       7,059

12b-1 – Class A

      201,087       3,938       4,336       40,992       — 

12b-1 – Class A1

      —        —        —        643       — 

12b-1 – Class C

      215,262       19,909       —        —        — 

Trustee

      129,252       18,299       16,647       41,041       15,637

Custodian

      119,241       2,912       4,441       21,344       1,917

Printing

      97,423       6,428       2,849       14,146       1,819

Registration

      71,675       32,096       21,323       56,619       27,135

Audit & tax

      56,852       16,303       14,609       18,882       14,513

Insurance

      23,401       724       362       5,409       181

Compliance

      5,611       5,611       5,611       5,611       5,611

Miscellaneous

      42,431       5,313       2,800       11,743       809
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Expenses

      30,846,618       589,013       303,617       1,856,919       183,736
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Fees contractually recouped by Adviser (See Note 5)

      3,729       —        —        —        — 

Fees contractually waived by Adviser (See Note 5)

      (377,810 )       (253,066 )       (121,118 )       (741,921 )       (109,272 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Expenses

      30,472,537       335,947       182,499       1,114,998       74,464
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Investment Income (Loss)

      85,687,921       2,234,620       2,197,227       12,877,635       756,589
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Realized and Unrealized Gain (Loss) on Investments

                   

Net realized gain (loss) on investments in unaffiliated securities

      (207,041,340 )       (2,308,506 )       (356,244 )       (5,139,666 )       (536,883 )

Net realized gain (loss) on futures contracts

      36,513,927       —        —        2,187,002       (115,385 )

Net realized gain (loss) on securities sold short

      (1,165,785 )       —        —        —        — 

Net realized gain (loss) on swaps

      (189,023 )       —        —        —        — 

Net change in unrealized appreciation/depreciation on unaffiliated investments

      139,167,254       (4,015,236 )       495,703       6,068,780       (346,191 )

Net change in unrealized appreciation/depreciation on affiliated investments

      (4,088,574 )       —        —        523       — 

Net change in unrealized appreciation/depreciation on swaps

      (2,745,770 )       —        —        —        — 

Net change in unrealized appreciation/depreciation on futures contracts

      (23,721,546 )       —        —        (103,245 )       (278,655 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Realized and Unrealized Gain (Loss) on Investments

      (63,270,857 )       (6,323,742 )       139,459       3,013,394       (1,277,114 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

      $22,417,064       ($4,089,122 )       $2,336,686       $15,891,029       ($520,525 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

(a)

Statement has been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation.

 

See accompanying notes which are an integral part of these financial statements.

 

18


Table of Contents

Statements of Operations

For the Period Ended July 31, 2023 (Unaudited)

 

     UltraShort
Income ETF
  Income ETF

Investment Income

        

Interest

       $1,856,096       $1,330,065
    

 

 

     

 

 

 

Total Investment Income

       1,856,096       1,330,065
    

 

 

     

 

 

 

Expenses

        

Investment Advisory (See Note 5)

       159,762       169,392
    

 

 

     

 

 

 

Total Expenses

       159,762       169,392
    

 

 

     

 

 

 

Fees contractually recouped (waived) by Adviser (See Note 5)

       (75,524 )       (34,220 )
    

 

 

     

 

 

 

Net Expenses

       84,238       135,172
    

 

 

     

 

 

 

Net Investment Income (Loss)

       1,771,858       1,194,893
    

 

 

     

 

 

 

Realized and Unrealized Gain (Loss) on Investments

        

Net realized gain (loss) on investments

       43,286       50,419

Net realized gain (loss) on futures contracts

       —         34,578

Net change in unrealized appreciation/depreciation on investments

       (175,911 )       (435,688 )

Net change in unrealized appreciation/depreciation on futures contracts

       —         36,431
    

 

 

     

 

 

 

Net Realized and Unrealized Gain (Loss) on Investments

       (132,625 )       (314,260 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       $1,639,233       $880,633
    

 

 

     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

19


Table of Contents

Multi-Strategy Income Fund

Consolidated Statement of Cash Flows (a)

For the Period Ended July 31, 2023 (Unaudited)

 

CASH FLOWS FROM OPERATING ACTIVITIES:

    

Net increase (decrease) in net assets resulting from operations

       $22,417,064

Net adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities:

    

Net amortization and accretion of premium and discount on investments and other cost adjustments

       (4,134,286 )

Net realized paydown gains on mortgage backed and other asset backed securities

       (5,033,981 )

Purchases of short-term investments, net

       (124,815,649 )

Purchases of investments

       (341,356,676 )

Proceeds from sales of long-term investments

       848,741,376

Net realized (gain) loss on investments

       207,041,340

Net change in unrealized appreciation/depreciation on investments

       (135,078,680 )

Net payments for securities sold short

       (1,165,785 )

Net realized (gain) loss on securities sold short

       1,165,785

Change in:

    

Receivable for investments sold

       (20,285,659 )

Dividends and interest receivable

       2,268,835

Prepaid expenses

       (37,802 )

Payable for investments purchased

       102,273,648

Interest payable for credit agreements

       (1,257,500 )

Interest payable for reverse repurchase agreements

       (991,295 )

Payable to Adviser

       (121,872 )

Payable to administrator, fund accountant and transfer agent

       9,291

Payable to custodian

       17,391

12b-1 fees accrued

       27,955

Other accrued expenses

       (46,769 )
    

 

 

 

Net cash provided by (used in) operating activities

       549,636,731
    

 

 

 

CASH FLOWS FROM FINANCING ACTIVITIES:

    

Proceeds from shares sold

       672,828,054

Payment on shares redeemed

       (847,849,789 )

Distributions paid to shareholders

       (30,697,151 )

Proceeds from reverse repurchase agreements

       100,000,000

Repayments of reverse repurchase agreements

       (249,842,609 )

Increase (decrease) in borrowings

       (200,000,000 )
    

 

 

 

Net cash provided by (used in) financing activities

       (555,561,495 )
    

 

 

 

Net change in cash

       (5,924,764 )
    

 

 

 

CASH AND RESTRICTED CASH:

    

Beginning Balance

       13,485,169
    

 

 

 

Ending Balance

       $7,560,405
    

 

 

 

SUPPLEMENTAL DISCLOSURES:

    

Cash paid for interest

       $18,031,273

Cash held in money market investments

       130,645,748

Non-cash financing activities - distributions reinvested

       57,684,283

Non-cash financing activities - (increase) decrease in receivable for Fund shares sold

       49,722,988

Non-cash financing activities - increase (decrease) in payable for Fund shares redeemed

       (1,049,850 )

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE BEGINNING OF YEAR OR PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES:

    

Cash

       $356,683

Deposit at broker for reverse repurchase agreements

       3,907,000

Deposit at broker for futures

       8,981,067

Deposit at broker for swaps

       240,419
    

 

 

 
       $13,485,169
    

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF YEAR OR PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES:

    

Cash

       $584,396

Deposit at broker for futures

       4,229,561

Deposit at broker for swaps

       2,746,448
    

 

 

 
       $7,560,405
    

 

 

 

 

(a)

Statement has been consolidated. See Note 1 in the notes to Financial Statements for basis of consolidation.

 

See accompanying notes which are an integral part of these financial statements.

 

20


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited) (a)
  For the Year Ended
January 31, 2023 (a)

Increase (Decrease) in Net Assets due to:

        

Operations

        

Net investment income (loss)

       $85,687,921       $246,118,503

Net realized gain (loss) on investment transactions, futures contracts, swaps, and securities sold short

       (171,882,221 )       (329,933,256 )

Net change in unrealized appreciation/depreciation on investments and futures contracts

       108,611,364       (535,234,497 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       22,417,064       (619,049,250 )
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions, Class A

       (4,716,984 )       (11,252,681 )

Distributions, Class C

       (1,109,412 )       (2,543,601 )

Distributions, Institutional Class

       (82,179,128 )       (237,275,677 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (88,005,524 )       (251,071,959 )
    

 

 

     

 

 

 

Capital Transactions – Class A

        

Proceeds from shares sold

       39,154,244       55,165,501

Reinvestment of distributions

       3,544,903       8,235,003

Amount paid for shares redeemed

       (38,218,680 )       (207,857,948 )
    

 

 

     

 

 

 

Total Class A

       4,480,467       (144,457,444 )
    

 

 

     

 

 

 

Capital Transactions – Class C

        

Proceeds from shares sold

       2,752,191       2,927,281

Reinvestment of distributions

       834,256       1,916,694

Amount paid for shares redeemed

       (8,639,242 )       (19,468,158 )
    

 

 

     

 

 

 

Total Class C

       (5,052,795 )       (14,624,183 )
    

 

 

     

 

 

 

Capital Transactions – Institutional Class

        

Proceeds from shares sold

       581,198,631       1,922,584,974

Reinvestment of distributions

       53,305,124       160,861,663

Amount paid for shares redeemed

       (799,942,017 )       (5,290,316,865 )
    

 

 

     

 

 

 

Total Institutional Class

       (165,438,262 )       (3,206,870,228 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       (166,010,590 )       (3,365,951,855 )
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       (231,599,050 )       (4,236,073,064 )
    

 

 

     

 

 

 

Net Assets

        

Beginning of year or period

       2,990,925,900       7,226,998,964
    

 

 

     

 

 

 

End of year or period

       $2,759,326,850       $2,990,925,900
    

 

 

     

 

 

 

Share Transactions – Class A

        

Shares sold

       4,566,530       5,945,445

Shares issued in reinvestment of distributions

       417,922       886,923

Shares redeemed

       (4,499,865 )       (22,171,642 )
    

 

 

     

 

 

 

Total Class A

       484,587       (15,339,274 )
    

 

 

     

 

 

 

Share Transactions – Class C

        

Shares sold

       328,108       326,745

Shares issued in reinvestment of distributions

       99,418       210,355

Shares redeemed

       (1,028,562 )       (2,142,240 )
    

 

 

     

 

 

 

Total Class C

       (601,036 )       (1,605,140 )
    

 

 

     

 

 

 

Share Transactions – Institutional Class

        

Shares sold

       68,446,019       206,660,021

Shares issued in reinvestment of distributions

       6,301,212       17,289,202

Shares redeemed

       (94,299,533 )       (567,448,144 )
    

 

 

     

 

 

 

Total Institutional Class

       (19,552,302 )       (343,498,921 )
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       (19,668,751 )       (360,443,335 )
    

 

 

     

 

 

 

 

(a)

Statement has been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation.

 

See accompanying notes which are an integral part of these financial statements.

 

21


Table of Contents

Angel Oak Financials Income Impact Fund

Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited)
  For the Year Ended
January 31, 2023

Increase (Decrease) in Net Assets due to:

        

Operations

        

Net investment income (loss)

       $2,234,620       $5,644,491

Net realized gain (loss) on investment transactions

       (2,308,506 )       (3,058,652 )

Net change in unrealized appreciation/depreciation on investments

       (4,015,236 )       (11,304,317 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       (4,089,122 )       (8,718,478 )
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions, Class A

       (73,741 )       (285,634 )

Distributions, Class C

       (81,877 )       (214,360 )

Distributions, Institutional Class

       (2,090,761 )       (5,252,982 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (2,246,379 )       (5,752,976 )
    

 

 

     

 

 

 

Capital Transactions – Class A

        

Proceeds from shares sold

       109,508       7,686,268

Reinvestment of distributions

       63,051       274,647

Amount paid for shares redeemed

       (3,885,689 )       (5,545,874 )
    

 

 

     

 

 

 

Total Class A

       (3,713,130 )       2,415,041
    

 

 

     

 

 

 

Capital Transactions – Class C

        

Proceeds from shares sold

       104,719       6,121,420

Reinvestment of distributions

       59,090       167,176

Amount paid for shares redeemed

       (590,729 )       (4,609,226 )
    

 

 

     

 

 

 

Total Class C

       (426,920 )       1,679,370
    

 

 

     

 

 

 

Capital Transactions – Institutional Class

        

Proceeds from shares sold

       13,572,420       36,906,252

Reinvestment of distributions

       930,476       2,707,443

Amount paid for shares redeemed

       (20,978,490 )       (92,662,779 )
    

 

 

     

 

 

 

Total Institutional Class

       (6,475,594 )       (53,049,084 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       (10,615,644 )       (48,954,673 )
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       (16,951,145 )       (63,426,127 )
    

 

 

     

 

 

 

Net Assets

        

Beginning of year or period

       103,321,282       166,747,409
    

 

 

     

 

 

 

End of year or period

       $86,370,137       $103,321,282
    

 

 

     

 

 

 

Share Transactions – Class A

        

Shares sold

       14,521       891,756

Shares issued in reinvestment of distributions

       8,072       32,705

Shares redeemed

       (491,656 )       (671,454 )
    

 

 

     

 

 

 

Total Class A

       (469,063 )       253,007
    

 

 

     

 

 

 

Share Transactions – Class C

        

Shares sold

       13,912       713,037

Shares issued in reinvestment of distributions

       7,761       20,128

Shares redeemed

       (77,268 )       (568,783 )
    

 

 

     

 

 

 

Total Class C

       (55,595 )       164,382
    

 

 

     

 

 

 

Share Transactions – Institutional Class

        

Shares sold

       1,775,226       4,286,387

Shares issued in reinvestment of distributions

       120,620       319,221

Shares redeemed

       (2,676,697 )       (10,940,708 )
    

 

 

     

 

 

 

Total Institutional Class

       (780,851 )       (6,335,100 )
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       (1,305,509 )       (5,917,711 )
    

 

 

     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

22


Table of Contents

Angel Oak High Yield Opportunities Fund

Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited)
  For the Year Ended
January 31, 2023

Increase (Decrease) in Net Assets due to:

 

   

Operations

        

Net investment income (loss)

       $2,197,227       $3,822,365

Net realized gain (loss) on investment transactions

       (356,244 )       (1,967,678 )

Net change in unrealized appreciation/depreciation on investments

       495,703       (4,234,264 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       2,336,686       (2,379,577 )
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions, Class A

       (99,681 )       (220,212 )

Distributions, Institutional Class

       (1,856,257 )       (3,644,808 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (1,955,938 )       (3,865,020 )
    

 

 

     

 

 

 

Capital Transactions – Class A

        

Proceeds from shares sold

       1,693,259       5,670,162

Reinvestment of distributions

       98,700       218,084

Amount paid for shares redeemed

       (1,739,360 )       (6,869,415 )
    

 

 

     

 

 

 

Total Class A

       52,599       (981,169 )
    

 

 

     

 

 

 

Capital Transactions – Institutional Class

 

   

Proceeds from shares sold

       10,760,584       8,512,748

Reinvestment of distributions

       346,031       738,044

Amount paid for shares redeemed

       (7,870,527 )       (13,251,255 )
    

 

 

     

 

 

 

Total Institutional Class

       3,236,088       (4,000,463 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       3,288,687       (4,981,632 )
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       3,669,435       (11,226,229 )
    

 

 

     

 

 

 

Net Assets

        

Beginning of year or period

       63,111,230       74,337,459
    

 

 

     

 

 

 

End of year or period

       $66,780,665       $63,111,230
    

 

 

     

 

 

 

Share Transactions – Class A

        

Shares sold

       160,896       535,154

Shares issued in reinvestment of distributions

       9,349       20,440

Shares redeemed

       (165,225 )       (651,218 )
    

 

 

     

 

 

 

Total Class A

       5,020       (95,624 )
    

 

 

     

 

 

 

Share Transactions – Institutional Class

 

   

Shares sold

       1,024,460       817,887

Shares issued in reinvestment of distributions

       32,878       69,592

Shares redeemed

       (751,385 )       (1,266,858 )
    

 

 

     

 

 

 

Total Institutional Class

       305,953       (379,379 )
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       310,973       (475,003 )
    

 

 

     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

23


Table of Contents

Angel Oak UltraShort Income Fund

Statements of Changes in Net Assets

 

     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)

       $12,877,635       $22,651,352

Net realized gain (loss) on investment transactions and futures contracts

       (2,952,664 )       (30,251,012 )

Net change in unrealized appreciation/depreciation on investments and futures contracts

       5,966,058       (28,050,354 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       15,891,029       (35,650,014 )
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions, Class A

       (657,626 )       (1,613,505 )

Distributions, Class A1

       (10,466 )       (7,019 )

Distributions, Institutional Class

       (12,447,181 )       (22,436,611 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (13,115,273 )       (24,057,135 )
    

 

 

     

 

 

 

Capital Transactions – Class A

        

Proceeds from shares sold

       2,993,164       79,194,866

Reinvestment of distributions

       611,335       1,461,291

Amount paid for shares redeemed

       (16,516,341 )       (207,385,738 )
    

 

 

     

 

 

 

Total Class A

       (12,911,842 )       (126,729,581 )
    

 

 

     

 

 

 

Capital Transactions – Class A1

        

Proceeds from shares sold

       —         515,011

Reinvestment of distributions

       10,391       7,018
    

 

 

     

 

 

 

Total Class A1

       10,391       522,029
    

 

 

     

 

 

 

Capital Transactions – Institutional Class

        

Proceeds from shares sold

       67,320,291       629,850,657

Reinvestment of distributions

       9,430,032       17,077,383

Amount paid for shares redeemed

       (212,899,534 )       (1,430,986,089 )
    

 

 

     

 

 

 

Total Institutional Class

       (136,149,211 )       (784,058,049 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       (149,050,662 )       (910,265,601 )
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       (146,274,906 )       (969,972,750 )
    

 

 

     

 

 

 

Net Assets

        

Beginning of year or period

       693,897,268       1,663,870,018
    

 

 

     

 

 

 

End of year or period

     $ 547,622,362     $ 693,897,268
    

 

 

     

 

 

 

Share Transactions – Class A

        

Shares sold

       312,576       8,128,678

Shares issued in reinvestment of distributions

       63,796       151,093

Shares redeemed

       (1,724,627 )       (21,282,811 )
    

 

 

     

 

 

 

Total Class A

       (1,348,255 )       (13,003,040 )
    

 

 

     

 

 

 

Share Transactions – Class A1

        

Shares sold

       —         53,053

Shares issued in reinvestment of distributions

       1,087       735
    

 

 

     

 

 

 

Total Class A1

       1,087       53,788
    

 

 

     

 

 

 

Share Transactions – Institutional Class

        

Shares sold

       7,027,589       64,427,692

Shares issued in reinvestment of distributions

       984,343       1,764,255

Shares redeemed

       (22,228,978 )       (146,914,639 )
    

 

 

     

 

 

 

Total Institutional Class

       (14,217,046 )       (80,722,692 )
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       (15,564,214 )       (93,671,944 )
    

 

 

     

 

 

 

 

(a)

Class A1 commenced operations on July 12, 2022.

 

See accompanying notes which are an integral part of these financial statements.

 

24


Table of Contents

Angel Oak Total Return Bond Fund

Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited)
  For the Year Ended
January 31, 2023

Increase (Decrease) in Net Assets due to:

        

Operations

        

Net investment income (loss)

       $756,589       $961,225

Net realized gain (loss) on investment transactions and futures contracts

       (652,268 )       (2,801,853 )

Net change in unrealized appreciation/depreciation on investments and futures contracts

       (624,846 )       (1,427,032 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       (520,525 )       (3,267,660 )
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions, Institutional Class

       (773,468 )       (994,943 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (773,468 )       (994,943 )
    

 

 

     

 

 

 

Capital Transactions – Institutional Class

        

Proceeds from shares sold

       —         31,250

Reinvestment of distributions

       —         558

Amount paid for shares redeemed

       —         (116,137 )
    

 

 

     

 

 

 

Total Institutional Class

       —         (84,329 )
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       —         (84,329 )
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       (1,293,993 )       (4,346,932 )
    

 

 

     

 

 

 

Net Assets

        

Beginning of year or period

       34,785,662       39,132,594
    

 

 

     

 

 

 

End of year or period

     $ 33,491,669     $ 34,785,662
    

 

 

     

 

 

 

Share Transactions – Institutional Class

        

Shares sold

       —         3,235

Shares issued in reinvestment of distributions

       —         59

Shares redeemed

       —         (12,550 )
    

 

 

     

 

 

 

Total Institutional Class

       —         (9,256 )
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       —         (9,256 )
    

 

 

     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

25


Table of Contents

Angel Oak UltraShort Income ETF

Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited)
  For the Period Ended
January 31, 2023 (a)

Increase (Decrease) in Net Assets due to:

        

Operations

        

Net investment income (loss)

       $1,771,858       $527,103

Net realized gain (loss) on investment transactions

       43,286       11,525

Net change in unrealized appreciation/depreciation on investments

       (175,911 )       222,611
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       1,639,233       761,239
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions

       (1,507,543 )       (316,786 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (1,507,543 )       (316,786 )
    

 

 

     

 

 

 

Capital Transactions

        

Proceeds from shares sold

       42,327,134       46,090,044
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       42,327,134       46,090,044
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       42,458,824       46,534,497
    

 

 

     

 

 

 

Net Assets

        

Beginning of period

       46,534,497       —  
    

 

 

     

 

 

 

End of period

     $ 88,993,321     $ 46,534,497
    

 

 

     

 

 

 

Share Transactions

        

Shares sold

       840,000       920,000
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       840,000       920,000
    

 

 

     

 

 

 

 

(a)

Fund commenced operations on October 24, 2022.

 

See accompanying notes which are an integral part of these financial statements.

 

26


Table of Contents

Angel Oak Income ETF

Statements of Changes in Net Assets

 

     For the Period Ended
July 31, 2023 (Unaudited)
  For the Period Ended
January 31, 2023 (a)

Increase (Decrease) in Net Assets due to:

        

Operations

        

Net investment income (loss)

       $1,194,893       $317,913

Net realized gain (loss) on investment transactions and futures contracts

       84,997       29,404

Net change in unrealized appreciation/depreciation on investments and futures contracts

       (399,257 )       289,071
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

       880,633       636,388
    

 

 

     

 

 

 

Distributions to Shareholders

        

Distributions

       (1,142,421 )       (148,244 )
    

 

 

     

 

 

 

Total distributions to shareholders

       (1,142,421 )       (148,244 )
    

 

 

     

 

 

 

Capital Transactions

        

Proceeds from shares sold

       7,028,705       33,148,155

Amount paid for shares redeemed

       (1,007,135 )       —  
    

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

       6,021,570       33,148,155
    

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

       5,759,782       33,636,299
    

 

 

     

 

 

 

Net Assets

        

Beginning of period

       33,636,299       —  
    

 

 

     

 

 

 

End of period

     $ 39,396,081     $ 33,636,299
    

 

 

     

 

 

 

Share Transactions

        

Shares sold

       350,000       1,650,000

Shares redeemed

       (50,000 )       —  
    

 

 

     

 

 

 

Net increase (decrease) in share transactions

       300,000       1,650,000
    

 

 

     

 

 

 

 

(a)

Fund commenced operations on November 7, 2022.

 

See accompanying notes which are an integral part of these financial statements.

 

27


Table of Contents

Angel Oak Multi-Strategy Income Fund – Class A

Consolidated Financial Highlights (a)

(For a share outstanding during each year or 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

      $8.63       $10.24       $10.43       $11.10       $11.04       $11.26
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.24       0.48       0.47       0.46       0.50       0.52

Net realized and unrealized gain (loss) on investments (b)

      (0.17 )       (1.62 )       (0.19 )       (0.68 )       0.06       (0.22 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      0.07       (1.14 )       0.28       (0.22 )       0.56       0.30
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.25 )       (0.47 )       (0.47 )       (0.45 )       (0.50 )       (0.52 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.25 )       (0.47 )       (0.47 )       (0.45 )       (0.50 )       (0.52 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $8.45       $8.63       $10.24       $10.43       $11.10       $11.04
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (c)(d)

      0.69 %       -11.28 %       2.71 %       -1.76 %       5.08 %       2.72 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $151,2 89       $150,4 50       $335,4 39       $396,7 11       $496,1 14       $590,3 86

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (e)

      2.36 %       1.79 %       1.29 %       1.40 %       1.37 %       1.35 %

Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (e)

      1.27 %       1.23 %       1.20 %       1.21 %       1.20 %       1.20 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e)

      2.33 %       1.77 %       1.28 %       1.38 %       1.36 %       1.37 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense (e)

      1.24 %       1.21 %       1.19 %       1.19 %       1.19 %       1.22 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e)

      5.70 %       4.83 %       4.42 %       4.41 %       4.46 %       4.69 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (e)

      5.73 %       4.85 %       4.43 %       4.43 %       4.47 %       4.67 %

Portfolio turnover rate (d)

      11 %       14 %       56 %       67 %       63 %       71 %

 

(a)

Financial Highlights have been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation.

(b)

Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(c)

Total return does not include the effect of sales charges.

(d)

Not annualized for periods less than one year.

(e)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

28


Table of Contents

Angel Oak Multi-Strategy Income Fund – Class C

Consolidated Financial Highlights (a)

(For a share outstanding during each year or 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

      $8.54       $10.13       $10.34       $11.00       $10.95       $11.17
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.21       0.39       0.38       0.37       0.41       0.44

Net realized and unrealized gain (loss) on investments (b)

      (0.18 )       (1.58 )       (0.20 )       (0.66 )       0.06       (0.22 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      0.03       (1.19 )       0.18       (0.29 )       0.47       0.22
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.22 )       (0.40 )       (0.39 )       (0.37 )       (0.42 )       (0.44 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.22 )       (0.40 )       (0.39 )       (0.37 )       (0.42 )       (0.44 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $8.35       $8.54       $10.13       $10.34       $11.00       $10.95
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (c)(d)

      0.31 %       -11.88 %       1.78 %       -2.41 %       4.27 %       2.04 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $40,4 62       $46,5 12       $71,4 45       $87,7 43       $116,3 28       $102,4 87

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (e)

      3.11 %       2.54 %       2.04 %       2.15 %       2.12 %       2.10 %

Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (e)

      2.02 %       1.98 %       1.95 %       1.96 %       1.95 %       1.95 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e)

      3.08 %       2.52 %       2.03 %       2.13 %       2.11 %       2.12 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense (e)

      1.99 %       1.96 %       1.94 %       1.94 %       1.94 %       1.97 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e)

      4.95 %       4.17 %       3.69 %       3.67 %       3.70 %       3.94 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (e)

      4.98 %       4.19 %       3.70 %       3.69 %       3.71 %       3.92 %

Portfolio turnover rate (d)

      11 %       14 %       56 %       67 %       63 %       71 %

 

(a)

Financial Highlights have been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation.

(b)

Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(c)

Total return does not include the effect of sales charges.

(d)

Not annualized for periods less than one year.

(e)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

29


Table of Contents

Angel Oak Multi-Strategy Income Fund – Institutional Class

Consolidated Financial Highlights (a)

(For a share outstanding during each year or 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

      $8.61       $10.21       $10.41       $11.08       $11.02       $11.23
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.25       0.49       0.49       0.48       0.53       0.55

Net realized and unrealized gain (loss) on investments (b)

      (0.18 )       (1.59 )       (0.19 )       (0.68 )       0.06       (0.21 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      0.07       (1.10 )       0.30       (0.20 )       0.59       0.34
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.26 )       (0.50 )       (0.50 )       (0.47 )       (0.53 )       (0.55 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.26 )       (0.50 )       (0.50 )       (0.47 )       (0.53 )       (0.55 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $8.42       $8.61       $10.21       $10.41       $11.08       $11.02
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (c)

      0.82 %       -10.98 %       2.87 %       -1.60 %       5.45 %       3.05 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $2,567,5 76       $2,793,9 64       $6,820,1 15       $5,927,5 10       $7,153,3 85       $6,555,2 91

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (d)

      2.11 %       1.54 %       1.04 %       1.15 %       1.12 %       1.10 %

Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (d)

      1.02 %       0.98 %       0.95 %       0.96 %       0.95 %       0.95 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d)

      2.08 %       1.52 %       1.03 %       1.13 %       1.11 %       1.12 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense (d)

      0.99 %       0.96 %       0.94 %       0.94 %       0.94 %       0.97 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (d)

      5.94 %       5.03 %       4.69 %       4.65 %       4.70 %       4.94 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (d)

      5.97 %       5.05 %       4.70 %       4.67 %       4.71 %       4.92 %

Portfolio turnover rate (c)

      11 %       14 %       56 %       67 %       63 %       71 %

 

(a)

Financial Highlights have been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation.

(b)

Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(c)

Not annualized for periods less than one year.

(d)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

30


Table of Contents

Angel Oak Financials Income Impact Fund – Class A

Financial Highlights

(For a share outstanding during each year or 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

      $8.14       $8.96       $8.80       $9.60       $9.33       $9.45
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.17       0.33       0.33       0.34       0.40       0.44

Net realized and unrealized gain (loss) on investments (a)

      (0.53 )       (0.82 )       0.15       (0.75 )       0.27       (0.13 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      (0.36 )       (0.49 )       0.48       (0.41 )       0.67       0.31
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.19 )       (0.33 )       (0.32 )       (0.38 )       (0.40 )       (0.43 )

Return of capital

                        (0.01 )            
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.19 )       (0.33 )       (0.32 )       (0.39 )       (0.40 )       (0.43 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $7.59       $8.14       $8.96       $8.80       $9.60       $9.33
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (b)(c)

      -4.49 %       -5.59 %       5.48 %       -4.16 %       7.39 %       3.36 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $1,9 32       $5,8 93       $4,2 17       $2,7 65       $13,7 20       $7,0 86

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (d)

      1.52 %       1.44 %       1.35 %       1.39 %       1.34 %       1.42 %

Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (d)

      1.51 %       1.43 %       1.35 %       1.37 %       1.34 %       1.42 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d)

      0.95 %       0.95 %       0.94 %       0.96 %       0.94 %       0.94 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense (d)

      0.94 %       0.94 %       0.94 %       0.94 %       0.94 %       0.94 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (d)

      4.18 %       3.29 %       3.14 %       3.63 %       3.78 %       4.22 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (d)

      4.75 %       3.78 %       3.55 %       4.06 %       4.18 %       4.70 %

Portfolio turnover rate (c)

      8 %       11 %       32 %       30 %       36 %       45 %

 

(a)

Net realized and unrealized gain (loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(b)

Total return does not include the effect of sales charges.

(c)

Not annualized for periods less than one year.

(d)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

31


Table of Contents

Angel Oak Financials Income Impact Fund – Class C

Financial Highlights

(For a share outstanding during each year or 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

      $8.01       $8.87       $8.72       $9.51       $9.25       $9.37
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.15       0.25       0.24       0.30       0.34       0.37

Net realized and unrealized gain (loss) on investments (a)

      (0.54 )       (0.85 )       0.16       (0.76 )       0.26       (0.12 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      (0.39 )       (0.60 )       0.40       (0.46 )       0.60       0.25
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.16 )       (0.26 )       (0.25 )       (0.32 )       (0.34 )       (0.37 )

Return of capital

                        (0.01 )            
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.16 )       (0.26 )       (0.25 )       (0.33 )       (0.34 )       (0.37 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $7.46       $8.01       $8.87       $8.72       $9.51       $9.25
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (b)(c)

      -4.93 %       -6.79 %       4.63 %       -4.79 %       6.59 %       2.69 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $3,7 19       $4,4 37       $3,4 52       $5,5 53       $6,1 62       $2,0 39

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (d)

      2.27 %       2.19 %       2.10 %       2.15 %       2.09 %       2.17 %

Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (d)

      2.26 %       2.18 %       2.10 %       2.12 %       2.09 %       2.17 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d)

      1.70 %       1.70 %       1.69 %       1.72 %       1.69 %       1.69 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense (d)

      1.69 %       1.69 %       1.69 %       1.69 %       1.69 %       1.69 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (d)

      3.50 %       2.51 %       2.38 %       2.97 %       3.02 %       3.49 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (d)

      4.07 %       3.00 %       2.79 %       3.40 %       3.42 %       3.97 %

Portfolio turnover rate (c)

      8 %       11 %       32 %       30 %       36 %       45 %

 

(a)

Net realized and unrealized gain (loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(b)

Total return does not include the effect of sales charges.

(c)

Not annualized for periods less than one year.

(d)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

32


Table of Contents

Angel Oak Financials Income Impact Fund – Institutional Class

Financial Highlights

(For a share outstanding during each year or 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

      $8.12       $8.94       $8.79       $9.58       $9.32       $9.44
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.20       0.34       0.34       0.38       0.43       0.46

Net realized and unrealized gain (loss) on investments (a)

      (0.56 )       (0.81 )       0.15       (0.76 )       0.26       (0.13 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      (0.36 )       (0.47 )       0.49       (0.38 )       0.69       0.33
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.20 )       (0.35 )       (0.34 )       (0.40 )       (0.43 )       (0.45 )

Return of capital

                        (0.01 )            
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.20 )       (0.35 )       (0.34 )       (0.41 )       (0.43 )       (0.45 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $7.56       $8.12       $8.94       $8.79       $9.58       $9.32
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (b)

      -4.49 %       -5.37 %       5.64 %       -3.81 %       7.55 %       3.61 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $80,7 19       $92,9 91       $159,0 78       $134,3 35       $258,3 92       $122,3 63

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (c)

      1.27 %       1.19 %       1.10 %       1.14 %       1.09 %       1.17 %

Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (c)

      1.26 %       1.18 %       1.10 %       1.12 %       1.09 %       1.17 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (c)

      0.70 %       0.70 %       0.69 %       0.71 %       0.69 %       0.69 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense (c)

      0.69 %       0.69 %       0.69 %       0.69 %       0.69 %       0.69 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (c)

      4.50 %       3.50 %       3.38 %       3.91 %       4.02 %       4.48 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (c)

      5.07 %       3.99 %       3.79 %       4.34 %       4.42 %       4.96 %

Portfolio turnover rate (b)

      8 %       11 %       32 %       30 %       36 %       45 %

 

(a)

Net realized and unrealized gain (loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(b)

Not annualized for periods less than one year.

(c)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

33


Table of Contents

Angel Oak High Yield Opportunities Fund — Class A

Financial Highlights

(For a share outstanding during each year or 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

     $ 10.63     $ 11.59     $ 11.78     $ 11.76     $ 11.39     $ 12.00
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                        

Net investment income (loss)

       0.34       0.58       0.58       0.58       0.64       0.65

Net realized and unrealized gain (loss) on investments (a)

       0.01       (0.96 )       (0.19 )       0.03       0.37       (0.61 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       0.35       (0.38 )       0.39       0.61       1.01       0.04
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                        

From net investment income

       (0.30 )       (0.58 )       (0.58 )       (0.59 )       (0.64 )       (0.65 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (0.30 )       (0.58 )       (0.58 )       (0.59 )       (0.64 )       (0.65 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

     $ 10.68     $ 10.63     $ 11.59     $ 11.78     $ 11.76     $ 11.39
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (b)(c)

       3.38 %       -3.13 %       3.34 %       5.68 %       9.08 %       0.41 %

Ratios and Supplemental Data:

                        

Net assets, end of year or period (000’s omitted)

       $3,48 7       $3,41 7       $4,83 4       $3,98 6       $7,77 1       $2,75 4

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (d)

       1.18 %       1.23 %       1.14 %       1.14 %       1.14 %       1.24 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d)

       0.80 %       0.89 %       0.90 %       0.90 %       0.90 %       0.90 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (d)

       6.16 %       5.02 %       4.60 %       5.18 %       5.20 %       5.28 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (d)

       6.54 %       5.36 %       4.84 %       5.42 %       5.44 %       5.62 %

Portfolio turnover rate (c)

       7 %       33 %       38 %       58 %       36 %       33 %

 

(a)

Net realized and unrealized gain (loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(b)

Total return does not include the effect of sales charges.

(c)

Not annualized for periods less than one year.

(d)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

34


Table of Contents

Angel Oak High Yield Opportunities Fund – Institutional Class

Financial Highlights

(For a share outstanding during each year or 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

       $10.58       $11.54       $11.73       $11.71       $11.35       $11.95
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                        

Net investment income (loss)

       0.36       0.60       0.60       0.63       0.67       0.69

Net realized and unrealized gain (loss) on investments (a)

       0.02       (0.95 )       (0.18 )       0.01       0.36       (0.61 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

       0.38       (0.35 )       0.42       0.64       1.03       0.08
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                        

From net investment income

       (0.32 )       (0.61 )       (0.61 )       (0.62 )       (0.67 )       (0.68 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

       (0.32 )       (0.61 )       (0.61 )       (0.62 )       (0.67 )       (0.68 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

       $10.64       $10.58       $11.54       $11.73       $11.71       $11.35
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (b)

       3.62 %       -2.89 %       3.62 %       5.97 %       9.28 %       0.74 %

Ratios and Supplemental Data:

                        

Net assets, end of year or period (000’s omitted)

       $63,2 94       $59,6 94       $69,5 03       $68,2 45       $64,7 97       $48,4 26

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (c)

       0.93 %       0.98 %       0.89 %       0.89 %       0.89 %       0.99 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (c)

       0.55 %       0.64 %       0.65 %       0.65 %       0.65 %       0.65 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (c)

       6.43 %       5.30 %       4.86 %       5.41 %       5.52 %       5.59 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (c)

       6.81 %       5.64 %       5.10 %       5.65 %       5.76 %       5.93 %

Portfolio turnover rate (b)

       7 %       33 %       38 %       58 %       36 %       33 %

 

(a)

Net realized and unrealized gain (loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(b)

Not annualized for periods less than one year.

(c)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

35


Table of Contents

Angel Oak UltraShort Income Fund – Class A

Financial Highlights

(For a share outstanding during each year or 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

Period Ended
January 31, 2019 (a)

Selected Per Share Data:

                       

Net asset value, beginning of year or period

      $9.56       $10.00       $10.08       $10.12       $10.02       $10.01
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.14       0.12       0.08       0.19       0.29       0.20

Net realized and unrealized gain (loss) on investments (b)

      0.10       (0.36 )       (0.05 )       (0.04 )       0.10       0.01
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      0.24       (0.24 )       0.03       0.15       0.39       0.21
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.19 )       (0.20 )       (0.11 )       (0.19 )       (0.29 )       (0.20 )

From net realized gain

                                    –   (c)
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.19 )       (0.20 )       (0.11 )       (0.19 )       (0.29 )       (0.20 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $9.61       $9.56       $10.00       $10.08       $10.12       $10.02
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (d)

      2.56 %       -2.42 %       0.27 %       1.52 %       3.92 %       2.12 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $26,7 70       $39,5 36       $171,3 28       $66,3 66       $51,5 29       $7,9 03

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (e)

      0.84 %       0.79 %       0.78 %       0.79 %       0.84 %       0.94 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e)

      0.60 %       0.60 %       0.56 %       0.51 %       0.50 %       0.50 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e)

      3.71 %       1.51 %       0.56 %       1.45 %       2.22 %       2.32 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (e)

      3.95 %       1.70 %       0.78 %       1.73 %       2.56 %       2.76 %

Portfolio turnover rate (d)

      23 %       31 %       92 %       81 %       156 %       179 %

 

(a)

Class commenced operations on April 30, 2018.

(b)

Net realized and unrealized gain (loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(c)

Less than (0.005).

(d)

Not annualized for periods less than one year.

(e)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

36


Table of Contents

Angel Oak UltraShort Income Fund – Class A1

Financial Highlights

(For a share outstanding during each period)

 

     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

       $9.55       $9.70
    

 

 

     

 

 

 

Income from investment operations:

        

Net investment income (loss)

       0.19       0.13

Net realized and unrealized gain (loss) on investments (b)

       0.04       (0.14 )
    

 

 

     

 

 

 

Total from investment operations

       0.23       (0.01 )
    

 

 

     

 

 

 

Less distributions to shareholders:

        

From net investment income

       (0.19 )       (0.14 )
    

 

 

     

 

 

 

Total distributions

       (0.19 )       (0.14 )
    

 

 

     

 

 

 

Net asset value, end of period

       $9.59       $9.55
    

 

 

     

 

 

 

Total return (c)(d)

       2.46 %       -0.25 %

Ratios and Supplemental Data:

        

Net assets, end of period (000’s omitted)

       $526       $513

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (e)

       0.84 %       0.79 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e)

       0.60 %       0.60 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e)

       3.75 %       2.32 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (e)

       3.99 %       2.51 %

Portfolio turnover rate (c)

       23 %       31 % (f)

 

(a)

Class commenced operations on July 22, 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 Statements of Operations due to share transactions for the period.

(c)

Not annualized for periods less than one year.

(d)

Total return does not include the effect of sales charges.

(e)

Annualized for periods less than one year.

(f)

Figure presented represents turnover for the Fund as a whole for the entire fiscal period.

 

See accompanying notes which are an integral part of these financial statements.

 

37


Table of Contents

Angel Oak UltraShort Income Fund – Institutional Class

Financial Highlights

(For a share outstanding during each year or 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
Period Ended
January 31, 2019 (a)

Selected Per Share Data:

                       

Net asset value, beginning of year or period

      $9.56       $10.01       $10.09       $10.12       $10.02       $10.00
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Income from investment operations:

                       

Net investment income (loss)

      0.19       0.19       0.11       0.21       0.31       0.24

Net realized and unrealized gain (loss) on investments (b)

      0.07       (0.41 )       (0.06 )       (0.03 )       0.10       0.02
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from investment operations

      0.26       (0.22 )       0.05       0.18       0.41       0.26
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

                       

From net investment income

      (0.21 )       (0.23 )       (0.13 )       (0.21 )       (0.31 )       (0.24 )

From net realized gain

                                    –   (c)
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (0.21 )       (0.23 )       (0.13 )       (0.21 )       (0.31 )       (0.24 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

      $9.61       $9.56       $10.01       $10.09       $10.12       $10.02
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total return (d)

      2.69 %       -2.24 %       0.51 %       1.87 %       4.16 %       2.60 %

Ratios and Supplemental Data:

                       

Net assets, end of year or period (000’s omitted)

      $520,3 26       $653,8 48       $1,492,5 42       $796,4 07       $357,3 03       $106,5 96

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (e)

      0.59 %       0.54 %       0.53 %       0.54 %       0.59 %       0.77 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e)

      0.35 %       0.35 %       0.31 %       0.26 %       0.25 %       0.26 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e)

      3.97 %       1.82 %       0.82 %       1.67 %       2.58 %       2.37 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (e)

      4.21 %       2.01 %       1.04 %       1.95 %       2.92 %       2.88 %

Portfolio turnover rate (d)

      23 %       31 %       92 %       81 %       156 %       179 %

 

(a)

Class commenced operations on April 2, 2018.

(b)

Net realized and unrealized gain (loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(c)

Less than (0.005).

(d)

Not annualized for periods less than one year.

(e)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

38


Table of Contents

Angel Oak Total Return Bond Fund – Institutional Class

Financial Highlights

(For a share outstanding during each year or period)

 

     For the
Period Ended
July 31, 2023 (Unaudited)
  For the
Year Ended
January 31, 2023
  For the
Period Ended
January 31, 2022 (a)

Selected Per Share Data:

            

Net asset value, beginning of year or period

       $8.71       $9.77       $10.00
    

 

 

     

 

 

     

 

 

 

Income from investment operations:

            

Net investment income (loss)

       0.19       0.24       0.09

Net realized and unrealized gain (loss) on investments (b)

       (0.33 )       (1.05 )       (0.22 )
    

 

 

     

 

 

     

 

 

 

Total from investment operations

       (0.14 )       (0.81 )       (0.13 )
    

 

 

     

 

 

     

 

 

 

Less distributions to shareholders:

            

From net investment income

       (0.19 )       (0.25 )       (0.10 )
    

 

 

     

 

 

     

 

 

 

Total distributions

       (0.19 )       (0.25 )       (0.10 )
    

 

 

     

 

 

     

 

 

 

Net asset value, end of year or period

       $8.38       $8.71       $9.77
    

 

 

     

 

 

     

 

 

 

Total return (c)

       -1.58 %       -8.32 %       -1.28 %

Ratios and Supplemental Data:

            

Net assets, end of year or period (000’s omitted)

       $33,4 92       $34,7 86       $39,1 33

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (d)

       1.09 %       1.17 %       0.97 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d)

       0.44 %       0.58 %       0.59 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (d)

       3.82 %       2.08 %       1.06 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (d)

       4.47 %       2.67 %       1.44 %

Portfolio turnover rate (c)

       25 %       53 %       22 %

 

(a)

Class commenced operations on June 4, 2021.

(b)

Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.

(c)

Not annualized for periods less than one year.

(d)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

39


Table of Contents

Angel Oak UltraShort Income ETF

Financial Highlights

(For a share outstanding during each period)

 

     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

       $50.58       $50.00
    

 

 

     

 

 

 

Income from investment operations:

        

Net investment income (loss) (b)

       1.53       0.69

Net realized and unrealized gain (loss) on investments (c)

       (0.17 )       0.27
    

 

 

     

 

 

 

Total from investment operations

       1.36       0.96
    

 

 

     

 

 

 

Less distributions to shareholders:

        

From net investment income

       (1.38 )       (0.38 )
    

 

 

     

 

 

 

Total distributions

       (1.38 )       (0.38 )
    

 

 

     

 

 

 

Net asset value, end of period

       $50.56       $50.58
    

 

 

     

 

 

 

Total return on net asset value (d)(e)

       2.74 %       1.92 %

Total return on market value (d)(f)

       2.78 %       1.90 %

Ratios and Supplemental Data:

        

Net assets, end of period (000’s omitted)

       $88,9 93       $46,5 34

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (g)

       0.55 %       0.55 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (g)

       0.29 %       0.29 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (g)

       5.84 %       4.80 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (g)

       6.10 %       5.06 %

Portfolio turnover rate (d)

       45 %       23 %

 

(a)

Fund commenced operations on October 24, 2022.

(b)

Net investment income/(loss) per share has been calculated based on average shares outstanding during the period.

(c)

Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the period.

(d)

Not annualized for periods less than one year.

(e)

Total return on net asset value is computed based upon the net asset value of common stock on the first business day and the closing net asset value on the last business day of the period. Dividends and distributions are assumed to be reinvested.

(f)

Total return on market value is computed based upon the New York Stock Exchange market price of the Fund’s shares and excludes the effect of brokerage commissions. Dividends and distributions are assumed to be reinvested.

(g)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

40


Table of Contents

Angel Oak Income ETF

Financial Highlights

(For a share outstanding during each period)

 

     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

       $20.39       $20.00
    

 

 

     

 

 

 

Income from investment operations:

        

Net investment income (loss) (b)

       0.70       0.26

Net realized and unrealized gain (loss) on investments (c)

       (0.21 )       0.23
    

 

 

     

 

 

 

Total from investment operations

       0.49       0.49
    

 

 

     

 

 

 

Less distributions to shareholders:

        

From net investment income

       (0.68 )       (0.10 )
    

 

 

     

 

 

 

Total distributions

       (0.68 )       (0.10 )
    

 

 

     

 

 

 

Net asset value, end of period

       $20.20       $20.39
    

 

 

     

 

 

 

Total return on net asset value (d)(e)

       2.50 %       2.41 %

Total return on market value (d)(f)

       2.45 %       2.49 %

Ratios and Supplemental Data:

        

Net assets, end of period (000’s omitted)

       $39,3 96       $33,6 36

Ratio of expenses to average net assets before waiver and reimbursement/recoupment (g)

       0.99 %       0.99 %

Ratio of expenses to average net assets after waiver and reimbursement/recoupment (g)

       0.79 %       0.79 %

Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (g)

       6.78 %       5.44 %

Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (g)

       6.98 %       5.64 %

Portfolio turnover rate (d)

       18 %       59 %

 

(a)

Fund commenced operations on November 7, 2022.

(b)

Net investment income/(loss) per share has been calculated based on average shares outstanding during the period.

(c)

Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the period.

(d)

Not annualized for periods less than one year.

(e)

Total return on net asset value is computed based upon the net asset value of common stock on the first business day and the closing net asset value on the last business day of the period. Dividends and distributions are assumed to be reinvested.

(f)

Total return on market value is computed based upon the New York Stock Exchange market price of the Fund’s shares and excludes the effect of brokerage commissions. Dividends and distributions are assumed to be reinvested.

(g)

Annualized for periods less than one year.

 

See accompanying notes which are an integral part of these financial statements.

 

41


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities – 14.43%

     

ACC Trust, Series 2022-1, Class D, 6.650%, 10/20/2028 (a)

     $1,500,000        $1,417,386  

ACHV TRUST, Series 2023-1PL, Class B, 6.800%, 3/18/2030 (a)

     1,500,000        1,503,983  

ACHV TRUST, Series 2023-1PL, Class D, 8.470%, 3/18/2030 (a)

     4,800,000        4,881,893  

ACHV TRUST, Series 2023-3PL, Class B, 7.170%, 8/19/2030 (a)(b)

     1,000,000        1,005,032  

ACHV TRUST, Series 2023-3PL, Class C, 7.350%, 8/19/2030 (a)(b)

     1,250,000        1,256,255  

ACHV TRUST, Series 2023-3PL, Class D, 8.360%, 8/19/2030 (a)(b)

     800,000        812,506  

Affirm Asset Securitization Trust, Series 2021-B, Class D, 2.540%, 8/17/2026 (a)

     4,500,000        4,137,048  

Affirm Asset Securitization Trust, Series 2021-B, Class E, 4.610%, 8/17/2026 (a)

     2,900,000        2,594,201  

American Credit Acceptance Receivables Trust, Series 2022-1, Class F, 4.870%, 11/13/2028 (a)

     1,540,000        1,290,015  

Aqua Finance Trust, Series 2021-A, Class C, 3.140%, 7/17/2046 (a)

     2,220,000        1,632,794  

Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class D,
7.380%, 9/17/2029 (a)

     500,000        457,977  

Avant Credit Card Master Trust, Series 2021-1A, Class C, 2.160%, 4/15/2027 (a)

     2,500,000        2,323,953  

Avant Loans Funding Trust, Series 2021-REV1, Class B, 1.640%, 7/15/2030 (a)

     1,793,000        1,722,338  

Avid Automobile Receivables Trust, Series 2021-1, Class D, 1.990%, 4/17/2028 (a)

     1,570,000        1,464,909  

Avis Budget Rental Car Funding LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025 (a)

     4,500,000        4,204,233  

Avis Budget Rental Car Funding LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026 (a)

     4,500,000        3,956,328  

BHG Securitization Trust, Series 2021-B, Class D, 3.170%, 10/17/2034 (a)

     1,170,000        942,477  

CAL Receivables LLC, Series 2022-1, Class B,
9.418% (SOFR30A + 4.350%), 10/15/2026 (a)(c)

     9,580,000        9,438,206  

Carvana Auto Receivables Trust, Series 2021-N1, Class F, 4.550%, 1/10/2028 (a)

     2,500,000        2,293,160  

Carvana Auto Receivables Trust, Series 2021-N2, Class E, 2.900%, 3/10/2028 (a)(d)

     26,900,000        24,306,248  

Carvana Auto Receivables Trust, Series 2021-P2, Class D, 2.020%, 5/10/2028

     5,000,000        4,273,250  

Carvana Auto Receivables Trust, Series 2021-N3, Class E, 3.160%, 6/12/2028 (a)

     3,310,000        2,904,177  

Carvana Auto Receivables Trust, Series 2021-N4, Class E, 4.530%, 9/11/2028 (a)

     3,120,000        2,819,113  

Carvana Auto Receivables Trust, Series 2022-P2, Class D, 6.280%, 5/10/2029

     1,300,000        1,286,262  

Chase Auto Credit Linked Notes, Series 2021-2, Class E, 2.280%, 12/26/2028 (a)

     316,145        307,972  

Conn’s Receivables Funding LLC, Series 2022-A, Class B, 9.520%, 12/15/2026 (a)

     486,003        488,475  

Consumer Loan Underlying Bond Credit Trust, Series 2017-P2, Class CL1,
0.000%, 1/15/2024 (a)(e)

     125,000        1,144  

Continental Credit Card ABS LLC, Series 2019-1A, Class B, 4.950%, 8/15/2026 (a)

     3,700,000        3,556,599  

Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class A,
2.240%, 12/15/2028 (a)

     1,500,000        1,450,503  

Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class B,
3.660%, 12/15/2028 (a)

     2,300,000        2,098,002  

Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class C,
5.750%, 12/15/2028 (a)

     1,700,000        1,440,073  

CPS Auto Receivables Trust, Series 2021-B, Class E, 3.410%, 6/15/2028 (a)

     7,750,000        7,246,839  

CPS Auto Receivables Trust, Series 2022-A, Class E, 4.880%, 4/16/2029 (a)

     5,400,000        4,792,716  

DT Auto Owner Trust, Series 2021-4A, Class E, 3.340%, 7/17/2028 (a)

     3,000,000        2,643,246  

DT Auto Owner Trust, Series 2021-3A, Class E, 2.650%, 9/15/2028 (a)

     5,250,000        4,685,342  

Exeter Automobile Receivables Trust, Series 2021-4A, Class E, 4.020%, 1/17/2028 (a)

     5,750,000        5,097,024  

Exeter Automobile Receivables Trust, Series 2021-3A, Class E, 3.040%, 12/15/2028 (a)

     1,700,000        1,508,954  

Exeter Automobile Receivables Trust, Series 2023-3A, Class D, 6.680%, 4/16/2029

     700,000        712,847  

Exeter Automobile Receivables Trust, Series 2022-1A, Class E, 5.020%, 10/15/2029 (a)

     2,000,000        1,777,362  

Exeter Automobile Receivables Trust, Series 2023-2A, Class E, 9.750%, 11/15/2030 (a)

     600,000        602,611  

Fat Brands Fazoli’s Native LLC, Series 2021-1, Class A2, 6.000%, 7/25/2051 (a)

     2,000,000        1,783,236  

Flagship Credit Auto Trust, Series 2020-4, Class E, 3.840%, 7/17/2028 (a)(d)

     10,700,000        9,903,310  

Flagship Credit Auto Trust, Series 2021-2, Class E, 3.160%, 9/15/2028 (a)

     4,100,000        3,412,081  

 

See accompanying notes which are an integral part of these financial statements.

 

42


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities – (continued)

     

Flagship Credit Auto Trust, Series 2021-4, Class E, 4.030%, 3/15/2029 (a)

   $ 4,000,000      $ 3,410,820  

Flagship Credit Auto Trust, Series 2022-1, Class E, 5.370%, 6/15/2029 (a)

     1,500,000        1,330,394  

Foundation Finance Trust, Series 2021-1A, Class A, 1.270%, 5/15/2041 (a)

     1,204,791        1,067,405  

Foundation Finance Trust, Series 2021-1A, Class B, 1.870%, 5/15/2041 (a)

     5,000,000        4,480,670  

Foundation Finance Trust, Series 2021-2A, Class D, 5.730%, 1/15/2042 (a)

     1,740,000        1,602,331  

Foundation Finance Trust, Series 2023-1A, Class D, 9.180%, 12/15/2043 (a)

     1,200,000        1,229,204  

Foursight Capital Automobile Receivables Trust, Series 2021-1, Class E,
2.980%, 4/15/2027 (a)

     5,105,000        4,819,993  

Foursight Capital Automobile Receivables Trust, Series 2021-2, Class E,
3.350%, 10/15/2027 (a)

     2,500,000        2,272,810  

Foursight Capital Automobile Receivables Trust, Series 2021-2, Class F,
4.190%, 2/15/2029 (a)

     900,000        783,018  

Foursight Capital Automobile Receivables Trust, Series 2022-1, Class E,
4.690%, 8/15/2029 (a)

     4,500,000        4,101,224  

Foursight Capital Automobile Receivables Trust, Series 2022-2, Class D,
7.090%, 10/15/2029 (a)

     500,000        490,903  

Foursight Capital Automobile Receivables Trust, Series 2023-1, Class D,
7.410%, 2/15/2030 (a)

     2,380,000        2,382,228  

FREED ABS Trust, Series 2022-3FP, Class D, 7.360%, 8/20/2029 (a)

     500,000        496,806  

GLS Auto Receivables Issuer Trust, Series 2021-2A, Class E, 2.870%, 5/15/2028 (a)

     2,000,000        1,831,506  

GLS Auto Receivables Issuer Trust, Series 2021-3A, Class E, 3.200%, 10/16/2028 (a)

     7,500,000        6,789,420  

GLS Auto Receivables Issuer Trust, Series 2021-4A, Class E, 4.430%, 10/16/2028 (a)

     5,000,000        4,581,165  

Goldman Home Improvement Trust, Series 2021-GRN2, Class C, 2.770%, 6/25/2051 (a)

     9,644,000        8,600,413  

Goldman Home Improvement Trust, Series 2021-GRN2, Class D, 4.000%, 6/25/2051 (a)

     2,621,000        2,332,818  

Goodgreen Trust, Series 2017-2A, Class A, 3.260%, 10/15/2053 (a)

     3,762,210        3,241,072  

Goodleap Sustainable Home Solutions Trust, Series 2023-2GS, Class B,
7.800%, 5/20/2055 (a)

     900,000        869,920  

GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class A,
2.100%, 5/20/2048 (a)

     1,162,840        901,084  

Helios Issuer LLC, Series 2021-B, Class A, 1.620%, 7/20/2048 (a)

     2,306,761        1,861,053  

Hertz Vehicle Financing LLC, Series 2021-1A, Class D, 3.980%, 12/26/2025 (a)(d)

     13,000,000        12,218,388  

Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026 (a)

     3,800,000        3,621,966  

Hertz Vehicle Financing LP, Series 2021-2A, Class D, 4.340%, 12/27/2027 (a)

     4,185,000        3,639,222  

JP Morgan Chase Bank, Series 2020-1, Class E, 3.715%, 1/25/2028 (a)

     20,143        20,049  

LendingClub Receivables Trust, Series 2019-7, Class R1, 0.000%, 1/15/2027 (a)(e)

     8,702,377        1,424,543  

LendingClub Receivables Trust, Series 2019-7, Class R2, 0.000%, 1/15/2027 (a)(e)

     1,779,730        291,334  

LendingClub Receivables Trust, Series 2019-1, Class CERT, 0.000%, 7/17/2045 (a)

     932,340        3,261,554  

Lendingpoint Asset Securitization Trust, Series 2022-A, Class E, 7.020%, 6/15/2029 (a)(e)

     3,320,000        1,378,597  

Lendingpoint Asset Securitization Trust, Series 2022-B, Class C, 8.450%, 10/15/2029 (a)

     1,500,000        1,256,677  

LendingPoint Asset Securitization Trust, Series 2021-B, Class C, 3.210%, 2/15/2029 (a)

     2,000,000        1,894,106  

LendingPoint Pass-Through Trust, Series 2022-ST3, Class CERT, 0.000%, 5/15/2028 (a)(e)

     1,576,000        607,954  

Lobel Automobile Receivables Trust, Series 2023-1, Class C, 8.310%, 10/16/2028 (a)

     800,000        788,429  

LP LMS Asset Securitization Trust, Series 2023-1A, Class B, 7.484%, 10/17/2033 (a)

     800,000        755,779  

Marlette Funding Trust, Series 2022-2A, Class D, 7.500%, 8/15/2032 (a)

     500,000        496,540  

Marlette Funding Trust, Series 2022-3A, Class D, 7.800%, 11/15/2032 (a)

     1,000,000        998,664  

Marlette Funding Trust, Series 2023-2A, Class D, 7.920%, 6/15/2033 (a)

     2,500,000        2,513,505  

Marlette Funding Trust, Series 2023-3A, Class B, 6.710%, 9/15/2033 (a)

     3,000,000        3,007,089  

Mosaic Solar Loan Trust, Series 2019-1A, Class B, 0.000%, 12/21/2043 (a)(f)

     1,064,189        843,016  

Mosaic Solar Loan Trust, Series 2021-2A, Class B, 2.090%, 4/22/2047 (a)

     971,298        712,160  

 

See accompanying notes which are an integral part of these financial statements.

 

43


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities – (continued)

     

Octane Receivables Trust, Series 2023-2A, Class D, 7.380%, 6/20/2031 (a)

   $ 2,259,000      $ 2,245,487  

Oportun Financial Corp., Series 2022-3, Class C, 10.147%, 1/8/2030 (a)

     2,100,000        2,155,505  

Pagaya AI Debt Selection Trust, Series 2020-3, Class C, 6.430%, 5/17/2027 (a)

     1,537,139        1,536,286  

Pagaya AI Debt Selection Trust, Series 2021-1, Class C, 4.090%, 11/15/2027 (a)

     8,596,456        7,545,840  

Pagaya AI Debt Selection Trust, Series 2021-3, Class B, 1.740%, 5/15/2029 (a)

     4,499,755        4,376,259  

Pagaya AI Debt Selection Trust, Series 2021-3, Class C, 3.270%, 5/15/2029 (a)

     3,299,820        2,745,616  

Pagaya AI Debt Selection Trust, Series 2021-5, Class C, 3.930%, 8/15/2029 (a)

     2,399,717        2,062,986  

Pagaya AI Debt Selection Trust, Series 2022-1, Class B, 3.344%, 10/15/2029 (a)(d)

     6,999,074        6,526,651  

Pagaya AI Debt Selection Trust, Series 2022-1, Class C, 4.888%, 10/15/2029 (a)

     6,299,167        5,275,584  

Pagaya AI Debt Selection Trust, Series 2022-3, Class B, 8.050%, 3/15/2030 (a)

     1,199,884        1,194,616  

Pagaya AI Debt Selection Trust, Series 2022-5, Class B, 10.310%, 6/17/2030 (a)

     1,399,948        1,432,063  

Pagaya AI Debt Selection Trust, Series 2023-1, Class B, 9.435%, 7/15/2030 (a)

     1,599,778        1,630,743  

Pagaya AI Debt Selection Trust, Series 2023-3, Class B, 9.570%, 12/16/2030 (a)

     1,200,000        1,219,501  

Pagaya AI Debt Selection Trust, Series 2023-5, Class B, 7.625%, 4/15/2031 (a)

     4,000,000        4,014,496  

Pagaya AI Debt Selection Trust, Series 2023-5, Class C, 9.099%, 4/15/2031 (a)

     750,000        759,910  

Reach Financial LLC, Series 2022-2A, Class C, 8.400%, 5/15/2030 (a)

     1,600,000        1,618,205  

Reach Financial LLC, Series 2023-1A, Class A, 7.050%, 2/18/2031 (a)

     4,000,000        4,012,592  

Reach Financial LLC, Series 2023-1A, Class C, 8.450%, 2/18/2031 (a)

     600,000        600,098  

Republic Finance Issuance Trust, Series 2020-A, Class D, 7.000%, 11/20/2030 (a)

     1,150,000        1,046,552  

Saluda Grade Fund Trust, Series 2022-SG2, Class A, 5.000%, 5/15/2052 (a)

     15,000,000        14,021,820  

Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B, 5.281%, 5/15/2032 (a)

     765,371        756,787  

Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class C, 6.986%, 12/15/2032 (a)

     1,348,605        1,352,678  

Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class D, 8.197%, 12/15/2032 (a)

     993,709        1,007,064  

Santander Consumer Auto Receivables Trust, Series 2021-AA, Class E,
3.280%, 3/15/2027 (a)

     1,750,000        1,598,705  

Santander Consumer Auto Receivables Trust, Series 2021-AA, Class F,
5.790%, 8/15/2028 (a)

     500,000        449,961  

Skopos Auto Receivables Trust, Series 2019-1A, Class E, 7.820%, 6/15/2026 (a)

     2,650,000        2,649,815  

Stone Street Receivables Funding LLC, Series 2015-1A, Class C, 5.600%, 12/15/2054 (a)

     606,307        513,932  

TH MSR Issuer Trust, Series 2019-FT1, Class A,
8.212% (TSFR1M + 2.914%), 6/25/2024 (a)(c)

     2,000,000        1,953,290  

Theorem Funding Trust, Series 2022-2A, Class B, 9.270%, 12/15/2028 (a)

     3,700,000        3,754,257  

Tricolor Auto Securitization Trust, Series 2022-1A, Class F, 9.800%, 7/16/2029 (a)

     2,520,000        2,459,974  

UNIFY Auto Receivables Trust, Series 2021-1A, Class B, 1.290%, 11/16/2026 (a)

     5,000,000        4,670,600  

United Auto Credit Securitization Trust, Series 2021-1, Class F, 4.300%, 9/10/2027 (a)

     1,035,000        1,006,574  

Upgrade Master Pass-Thru Trust, Series 2019-ST3, Class A, 3.750%, 11/15/2025 (a)

     16,715        16,682  

Upgrade Master Pass-Thru Trust, Series 2021-PT2, Class A, 14.922%, 5/15/2027 (a)(g)

     5,112,797        4,623,262  

Upstart Pass-Through Trust, Series 2020-ST4, Class CERT, 0.000%, 11/20/2026 (a)(e)

     3,500,000        643,433  

Upstart Pass-Through Trust, Series 2021-ST4, Class CERT, 0.000%, 7/20/2027 (a)(e)

     1,475,000        369,138  

Upstart Pass-Through Trust, Series 2021-ST6, Class CERT, 0.000%, 8/20/2027 (a)(e)

     5,450,000        1,671,321  

Upstart Pass-Through Trust, Series 2021-ST7, Class CERT, 0.000%, 9/20/2029 (a)(e)

     1,500,000        706,589  

Upstart Pass-Through Trust, Series 2021-ST8, Class CERT, 0.000%, 10/20/2029 (a)(e)

     2,370,000        820,036  

Upstart Pass-Through Trust, Series 2021-ST8, Class A, 1.750%, 10/20/2029 (a)

     1,549,874        1,496,115  

Upstart Pass-Through Trust, Series 2021-ST9, Class CERT, 0.000%, 11/20/2029 (a)(e)

     1,629,000        539,053  

Upstart Pass-Through Trust, Series 2022-ST1, Class CERT, 0.000%, 3/20/2030 (a)(e)

     2,400,000        804,262  

Upstart Pass-Through Trust, Series 2022-ST2, Class CERT, 0.000%, 4/20/2030 (a)(e)

     1,500,000        436,276  

Upstart Securitization Trust, Series 2019-1, Class CERT, 0.000%, 4/20/2026 (a)

     20,143        884,250  

Upstart Securitization Trust, Series 2019-3, Class CERT, 0.000%, 1/21/2030 (a)(h)

     25,442        2,272,716  

Upstart Securitization Trust, Series 2021-1, Class C, 4.060%, 3/20/2031 (a)

     8,000,000        7,720,456  

 

See accompanying notes which are an integral part of these financial statements.

 

44


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities – (continued)

     

Upstart Securitization Trust, Series 2021-2, Class C, 3.610%, 6/20/2031 (a)

   $ 5,500,000      $ 5,099,000  

Upstart Securitization Trust, Series 2021-3, Class C, 3.280%, 7/20/2031 (a)

     13,476,000        12,141,836  

Upstart Securitization Trust, Series 2021-4, Class C, 3.190%, 9/20/2031 (a)

     5,250,000        4,541,476  

Upstart Securitization Trust, Series 2021-5, Class C, 4.150%, 11/20/2031 (a)

     9,100,000        7,839,750  

Upstart Securitization Trust, Series 2022-1, Class C, 5.710%, 3/20/2032 (a)

     1,800,000        1,380,406  

Upstart Securitization Trust, Series 2022-2, Class C, 8.430%, 5/20/2032 (a)

     1,500,000        1,454,273  

Upstart Securitization Trust, Series 2023-1, Class C, 11.100%, 2/20/2033 (a)

     800,000        782,242  

Upstart Securitization Trust, Series 2023-2, Class B, 7.920%, 6/20/2033 (a)

     1,000,000        999,298  

US Auto Funding Trust, Series 2022-1A, Class A, 3.980%, 4/15/2025 (a)

     2,137,086        2,068,483  

US Auto Funding Trust, Series 2022-1A, Class B, 5.130%, 12/15/2025 (a)

     1,300,000        1,238,887  

US Auto Funding Trust, Series 2022-1A, Class D, 9.140%, 7/15/2027 (a)(e)

     2,053,000        437,971  

Veros Auto Receivables Trust, Series 2022-1, Class D, 7.230%, 7/16/2029 (a)

     500,000        478,899  

Veros Automobile Receivables Trust, Series 2020-1, Class D, 5.640%, 2/16/2027 (a)

     5,970,000        5,733,630  

Veros Automobile Receivables Trust, Series 2023-1, Class D, 11.460%, 8/15/2030 (a)

     700,000        715,994  

Westlake Automobile Receivables Trust, Series 2021-1A, Class F, 3.910%, 9/15/2027 (a)

     4,000,000        3,670,560  

Westlake Automobile Receivables Trust, Series 2021-3A, Class F, 4.250%, 6/15/2028 (a)

     3,000,000        2,660,820  
     

 

 

 

TOTAL ASSET-BACKED SECURITIES
(Cost – $455,334,513)

        $398,079,470  
     

 

 

 

Collateralized Debt Obligations – 0.10%

     

Anchorage Credit Funding Ltd., Series 2020-11A, Class E, 7.050%, 4/25/2038 (a)

     3,500,000        2,844,618  
     

 

 

 

TOTAL COLLATERALIZED DEBT OBLIGATIONS
(Cost – $3,410,470)

        $2,844,618  
     

 

 

 

Collateralized Loan Obligations – 3.81%

     

Allegro CLO Ltd., Series 2014-1RX, Class SUB, 0.000%, 10/21/2028 (e)(g)(i)

     4,000,000        120,000  

ALM CLO Ltd., Series 2020-1A, Class SUB, 0.000%, 10/15/2029 (a)(e)(g)

     6,000,000        2,160,000  

Ares CLO Ltd., Series 2020-58A, Class BR, 7.158% (TSFR3M + 1.850%), 1/15/2035 (a)(c)

     5,000,000        4,854,665  

AUF Funding LLC, Series 2022-1A, Class A1LN,
7.826% (TSFR3M + 2.500%), 1/20/2031 (a)(c)

     4,482,115        4,491,738  

Barings CLO Ltd., Series 2018-4A, Class D, 8.470% (TSFR3M + 3.162%), 10/15/2030 (a)(c)

     2,750,000        2,649,955  

Barings CLO Ltd., Series 2015-2A, Class DR, 8.538% (TSFR3M + 3.212%), 10/20/2030 (a)(c)

     1,250,000        1,192,051  

Barings Middle Market CLO Ltd., Series 2018-II, Class COM, 0.000%, 1/15/2031 (e)(g)

     1,500,000        1,222,345  

Blackrock MT Hood CLO LLC, Series 2023-1A, Class VDN, 0.000%, 4/20/2035 (a)(e)(g)

     2,000,000        940,000  

Carbone CLO Ltd., Series 2017-1A, Class A1, 6.728% (TSFR3M + 1.402%), 1/20/2031 (a)(c)

     1,566,606        1,558,775  

Carlyle CLO Ltd., Series 2017-3A, Class SUB, 0.000%, 7/20/2029 (a)(e)(g)

     5,525,000        607,750  

CBAM Ltd., Series 2018-6A, Class B1R, 7.670% (TSFR3M + 2.362%), 1/15/2031 (a)(c)

     5,000,000        4,906,275  

CIFC Funding Ltd., Series 2015-2X, Class INC, 0.000%, 4/15/2030 (g)(i)(j)

     5,000,000        —    

CIFC Funding Ltd., Series 2021-6A, Class B, 7.220% (TSFR3M + 1.912%), 10/15/2034 (a)(c)

     1,000,000        980,486  

East West Investment Management CLO Ltd., Series 2019-FAL, Class D,
10.298% (TSFR3M + 4.972%), 1/20/2033 (a)(c)

     5,000,000        4,775,730  

Eaton Vance CLO Ltd., Series 2019-1A, Class SUB, 0.000%, 4/15/2031 (a)(e)(g)

     5,000,000        2,600,000  

Garrison Funding Ltd., Series 2018-2RA, Class BR,
8.549% (3 Month LIBOR USD + 3.170%), 11/20/2029 (a)(c)

     4,500,000        4,368,222  

Golub Capital Partners CLO Ltd., Series 2013-17A, Class A1R,
7.263% (TSFR3M + 1.912%), 10/25/2030 (a)(c)

     805,624        806,982  

Golub Capital Partners CLO Ltd., Series 2017-34A, Class B1R,
7.926% (3 Month LIBOR USD + 2.600%), 3/14/2031 (a)(c)

     1,550,000        1,526,865  

 

See accompanying notes which are an integral part of these financial statements.

 

45


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Collateralized Loan Obligations – (continued)

     

ICG US CLO Ltd., Series 2021-1A, Class E, 11.900% (TSFR3M + 6.592%), 4/17/2034 (a)(c)

   $ 2,000,000      $ 1,823,266  

Jay Park CLO Ltd., Series 2016-1X, Class SUB, 0.000%, 10/20/2027 (e)(g)(i)

     4,000,000        600,000  

LJV MM CLO LLC, Series 2022-1A, Class A1, 7.219% (TSFR3M + 1.850%), 4/28/2034 (a)(c)

     5,000,000        4,907,100  

Madison Park Funding Ltd., Series 2018-30A, Class A,
6.320% (TSFR3M + 1.012%), 4/15/2029 (a)(c)

     4,016,032        3,988,827  

Madison Park Funding Ltd., Series 2014-13A, Class BR2,
7.082% (TSFR3M + 1.762%), 4/19/2030 (a)(c)

     4,200,000        4,172,179  

Magnetite Ltd., Series 2015-14RA, Class B, 7.172% (TSFR3M + 1.862%), 10/18/2031 (a)(c)

     7,710,000        7,642,815  

MCF CLO LLC, Series 2017-3A, Class ER, 14.738% (TSFR3M + 9.412%), 7/20/2033 (a)(c)(e)

     3,000,000        2,891,304  

Monroe Capital MML CLO Ltd., Series 2018-2A, Class E,
12.629% (3 Month LIBOR USD + 7.250%), 11/22/2030 (a)(c)(e)

     4,080,000        3,855,718  

Monroe Capital MML CLO Ltd., Series 2019-2A, Class D,
10.607% (TSFR3M + 5.262%), 10/22/2031 (a)(c)

     700,000        686,346  

Monroe Capital MML CLO Ltd., Series 2021-1A, Class E,
13.919% (3 Month LIBOR USD + 8.540%), 5/20/2033 (a)(c)(e)

     3,000,000        2,779,860  

Monroe Capital MML CLO Ltd., Series 2019-1A, Class ER,
13.739% (3 Month LIBOR USD + 8.360%), 11/22/2033 (a)(c)(e)

     4,440,000        3,968,223  

Northwoods Capital Ltd., Series 2018-17A, Class SUB, 0.000%, 4/22/2031 (a)(e)(g)

     2,650,000        901,000  

Sound Point CLO Ltd., Series 2013-1A, Class A3R,
7.462% (TSFR3M + 2.112%), 1/26/2031 (a)(c)

     2,400,000        2,265,444  

Sound Point CLO Ltd., Series 2014-1RA, Class E,
11.672% (TSFR3M + 6.362%), 7/18/2031 (a)(c)

     4,500,000        3,325,482  

Steele Creek CLO Ltd., Series 2016-1A, Class CR,
7.452% (3 Month LIBOR USD + 1.900%), 6/15/2031 (a)(c)(k)

     17,756,577        16,942,953  

Strata CLO Ltd., Series 2021-1A, Class SUB, 0.000%, 10/20/2033 (a)(e)(g)

     3,000,000        1,470,000  

TCI-Flatiron CLO Ltd., Series 2017-1A, Class AR,
6.290% (3 Month LIBOR USD + 0.960%), 11/18/2030 (a)(c)

     1,180,560        1,172,901  

THL Credit Wind River CLO Ltd., Series 2019-3A, Class E2R,
12.320% (TSFR3M + 7.012%), 4/15/2031 (a)(c)

     1,500,000        1,361,790  

Wellfleet CLO Ltd., Series 2015-1A, Class SUB, 0.000%, 7/20/2029 (a)(e)(g)

     4,900,000        735,000  
     

 

 

 

TOTAL COLLATERALIZED LOAN OBLIGATIONS
(Cost – $123,707,021)

        $105,252,047  
     

 

 

 

Commercial Mortgage-Backed Securities – 2.56%

     

Capital Funding Mortgage Trust, Series 2020-9, Class B,
20.105% (TSFR1M + 14.900%), 11/19/2023 (a)(c)

     4,207,662        4,165,522  

GS Mortgage Securities Corp. Trust, Series 2018-TWR, Class G,
9.444% (TSFR1M + 4.222%), 7/15/2031 (a)(c)

     500,000        76,635  

Harvest SBA Loan Trust, Series 2018-1, Class A, 7.400% (TSFR1M + 2.364%), 8/25/2044 (a)(c)

     556,182        551,146  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PTC, Class A,
6.719% (TSFR1M + 1.497%), 4/15/2031 (a)(c)(k)

     3,500,000        3,082,978  

Med Trust, Series 2021-MDLN, Class G, 10.586% (TSFR1M + 5.364%), 11/15/2038 (a)(c)

     2,144,707        2,003,697  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class G,
4.184%, 2/15/2046 (a)(e)(g)

     1,000,000        51,250  

Newtek Small Business Loan Trust, Series 2018-1, Class B, 9.000% (PRIME + 0.750%), 2/25/2044 (a)(c)

     900,586        903,537  

Sutherland Commercial Mortgage Loans, Series 2017-SBC6, Class B,
5.031%, 5/25/2037 (a)(g)

     3,521,628        3,459,682  

X-Caliber Funding LLC, 11.000%, 10/15/2024 (a)

     4,000,000        3,721,524  

 

See accompanying notes which are an integral part of these financial statements.

 

46


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Commercial Mortgage-Backed Securities – (continued)

     

X-Caliber Funding LLC, 11.705% (TSFR1M + 6.614%), 11/6/2024 (a)(c)

   $ 1,628,000      $ 1,625,063  

X-Caliber Funding LLC, 12.090% (TSFR1M + 7.750%), 3/15/2024 (a)(c)

     748,203        724,067  

X-Caliber Funding LLC, 5.000%, 10/15/2024 (a)

     300,000        280,040  

X-Caliber Funding LLC, 7.000%, 9/30/2023 (a)

     3,621,300        3,238,945  

X-Caliber Funding LLC, 7.891% (TSFR1M + 2.750%), 3/15/2024 (a)(c)

     3,990,418        3,936,515  

X-Caliber Funding LLC, Series 2021-7, Class A,
8.205% (TSFR1M + 3.114%), 1/6/2026 (a)(c)

     4,415,390        4,284,580  

X-Caliber Funding LLC, Series 2021-7, Class B1,
11.205% (TSFR1M + 6.114%), 1/6/2026 (a)(c)

     165,000        156,221  

X-Caliber Funding LLC, Series 2021-7, Class B2, 0.000%, 1/6/2026 (a)

     1,788,000        1,758,233  

X-Caliber Funding LLC, Series 2021-CT6, Class B1,
11.205% (TSFR1M + 6.114%), 1/6/2026 (a)(c)

     9,375,000        8,875,959  

X-Caliber Funding LLC, Series 2021-CT6, Class B2, 5.250%, 1/6/2026 (a)

     2,180,000        2,135,247  

X-Caliber Mortgage Trust, Series 2019-1, Class B1,
20.867% (TSFR1M + 15.754%), 11/6/2023 (a)(c)

     5,129,931        5,060,523  

X-Caliber Mortgage Trust, Series 2020-1, Class B1,
12.727% (TSFR1M + 7.614%), 2/6/2024 (a)(c)

     1,995,666        1,953,286  

X-Caliber Mortgage Trust, Series 2020-2, Class B1,
12.705% (1 Month LIBOR USD + 7.500%), 3/6/2024 (a)(c)

     6,765,846        6,721,037  

X-Caliber Mortgage Trust, Series 2020-5, Class A,
8.483% (TSFR1M + 3.370%), 10/15/2023 (a)(c)

     2,221,023        2,170,124  

X-Caliber Mortgage Trust, Series 2020-5, Class B1,
13.483% (TSFR1M + 8.370%), 10/15/2023 (a)(c)

     5,182,388        4,959,198  

X-Caliber Mortgage Trust, Series 2021-10, Class B1,
13.233% (TSFR1M + 8.120%), 6/6/2024 (a)(c)

     2,000,000        1,954,912  

X-Caliber Mortgage Trust, Series 2021-9, Class B1,
13.233% (TSFR1M + 8.120%), 3/1/2024 (a)(c)

     1,215,000        759,346  

X-Caliber Mortgage Trust, Series 2021-WY4, Class B1,
13.233% (TSFR1M + 8.120%), 2/15/2024 (a)(c)

     2,020,000        1,974,441  
     

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost – $74,916,600)

        $70,583,708  
     

 

 

 

Commercial Mortgage-Backed Securities – U.S. Government Agency – 0.61%

     

Federal Home Loan Mortgage Corp., Series 2017-KF35, Class B,
7.968% (SOFR30A + 2.864%), 8/25/2024 (a)(c)

     2,063,287        2,017,566  

Federal Home Loan Mortgage Corp., Series 2017-KF41, Class B,
7.718% (SOFR30A + 2.614%), 11/25/2024 (a)(c)

     600,479        569,083  

Federal Home Loan Mortgage Corp., Series 2019-KF58, Class B,
7.368% (SOFR30A + 2.264%), 1/25/2026 (a)(c)

     1,182,007        1,120,929  

Federal Home Loan Mortgage Corp., Series 2019-KF64, Class B,
7.518% (SOFR30A + 2.414%), 6/25/2026 (a)(c)

     2,487,563        2,350,877  

Federal National Mortgage Association, Series 2019-01, Class B10,
10.683% (SOFR30A + 5.614%), 10/25/2049 (a)(c)

     1,500,000        1,336,335  

Federal National Mortgage Association, Series 2019-01, Class CE,
13.933% (SOFR30A + 8.864%), 10/25/2049 (a)(c)

     2,000,000        1,945,696  

Federal National Mortgage Association, Series 2020-01, Class CE,
12.683% (SOFR30A + 7.614%), 3/25/2050 (a)(c)

     8,000,000        7,506,600  
     

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY
(Cost – $17,818,030)

        $16,847,086  
     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

47


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Shares      Value  

Common Stocks – 0.50%

     

Real Estate Investment Trust – 0.50%

     

Annaly Capital Management, Inc.

     84,833      $ 1,704,295  

Ellington Financial, Inc.

     103,500        1,399,320  

PennyMac Mortgage Investment Trust

     81,182        1,037,506  

Redwood Trust, Inc.

     929,117        6,996,251  

Rithm Capital Corp.

     258,870        2,609,410  
     

 

 

 

TOTAL COMMON STOCKS
(Cost – $20,753,415)

        $13,746,782  
     

 

 

 
Corporate Obligations – 3.80%    Principal
Amount
        

Basic Materials – 0.28%

     

Copper Mountain Mining Corp., 8.000%, 4/9/2026 (a)(e)(i)

     $2,223,690        2,257,045  

CVR Partners LP / CVR Nitrogen Finance Corp., 6.125%, 6/15/2028 (a)

     1,700,000        1,536,837  

Mercer International, Inc., 5.500%, 1/15/2026

     650,000        627,951  

Mercer International, Inc., 5.125%, 2/1/2029

     1,400,000        1,144,499  

Taseko Mines Ltd., 7.000%, 2/15/2026 (a)

     2,300,000        2,122,393  
     

 

 

 
        7,688,725  
     

 

 

 

Communications – 0.28%

     

Consolidated Communications, Inc., 6.500%, 10/1/2028 (a)

     2,400,000        1,873,627  

DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.875%, 8/15/2027 (a)

     1,900,000        1,715,753  

EquipmentShare.com, Inc., 9.000%, 5/15/2028 (a)

     500,000        496,104  

Gray Escrow, Inc., 5.375%, 11/15/2031 (a)

     3,900,000        2,675,459  

Townsquare Media, Inc., 6.875%, 2/1/2026 (a)

     1,000,000        964,680  
     

 

 

 
        7,725,623  
     

 

 

 

Consumer, Cyclical – 0.32%

     

American Axle & Manufacturing, Inc., 5.000%, 10/1/2029

     1,700,000        1,452,058  

FirstCash, Inc., 4.625%, 9/1/2028 (a)

     1,500,000        1,340,078  

Goodyear Tire & Rubber Co., 5.000%, 7/15/2029

     1,500,000        1,384,787  

Hawaiian Brand Intellectual Property Ltd., 5.750%, 1/20/2026 (a)

     1,300,000        1,226,854  

NCL Corp Ltd., 8.375%, 2/1/2028 (a)

     300,000        313,028  

Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd., 8.000%, 9/20/2025 (a)

     400,000        403,802  

White Cap Buyer LLC, 6.875%, 10/15/2028 (a)

     3,100,000        2,796,484  
     

 

 

 
        8,917,091  
     

 

 

 

Consumer, Non-cyclical – 0.15%

     

Medline Borrower LP, 5.250%, 10/1/2029 (a)

     900,000        796,039  

NESCO Holdings, Inc., 5.500%, 4/15/2029 (a)

     1,700,000        1,547,850  

Upbound Group, Inc., 6.375%, 2/15/2029 (a)

     2,100,000        1,928,735  
     

 

 

 
        4,272,624  
     

 

 

 

Energy – 0.11%

     

Calumet Specialty Products Partners LP / Calumet Finance Corp., 9.750%, 7/15/2028 (a)

     200,000        199,743  

CITGO Petroleum Corp., 7.000%, 6/15/2025 (a)

     100,000        98,902  

Enviva Partners LP / Enviva Partners Finance Corp., 6.500%, 1/15/2026 (a)

     200,000        169,982  

New Fortress Energy, Inc., 6.500%, 9/30/2026 (a)

     200,000        183,755  

 

See accompanying notes which are an integral part of these financial statements.

 

48


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Corporate Obligations – (continued)

     

Energy – (continued)

     

SunCoke Energy, Inc., 4.875%, 6/30/2029 (a)

   $ 2,550,000      $ 2,199,483  

Venture Global LNG, Inc., 8.375%, 6/1/2031 (a)

     250,000        253,948  
     

 

 

 
        3,105,813  
     

 

 

 

Financial – 2.49%

     

Arbor Realty Trust, Inc., 4.500%, 3/15/2027 (a)

     5,000,000        4,237,090  

B. Riley Financial, Inc., 6.375%, 2/28/2025 (l)

     7,000,000        6,661,200  

Banc of California, Inc., 5.250%, 4/15/2025

     3,650,000        3,389,603  

Columbia Banking System, Inc., 10.581% (TSFR3M + 5.522%), 12/10/2025 (a)(c)

     2,500,000        2,473,943  

Customers Bank, 6.125% (3 Month LIBOR USD + 3.443%), 6/26/2029 (a)(c)

     1,000,000        871,620  

First Bancshares, Inc., 6.400% (3 Month LIBOR USD + 3.390%), 5/1/2033 (c)

     1,000,000        858,679  

First NBC Bank Holding Co., 5.750%, 2/18/2025 (e)(j)(m)

     13,500,000        1,312,200  

Freedom Mortgage Corp., 7.625%, 5/1/2026 (a)

     1,900,000        1,741,969  

Georgia Banking Co., Inc., 4.125% (TSFR3M + 3.400%), 6/15/2031 (a)(c)

     4,000,000        3,381,984  

Hanmi Financial Corp., 3.750% (TSFR3M + 3.100%), 9/1/2031 (c)

     3,300,000        2,652,945  

HAT Holdings I LLC / HAT Holdings II LLC, 6.000%, 4/15/2025 (a)

     200,000        197,006  

Jacksonville Bancorp, Inc., 9.302% (3 Month LIBOR USD + 3.750%), 9/15/2038 (a)(c)

     1,200,000        1,140,421  

Kingstone Cos, Inc., 12.000%, 12/30/2024 (a)(e)

     1,852,000        1,768,660  

LD Holdings Group LLC, 6.125%, 4/1/2028 (a)

     800,000        516,908  

Luther Burbank Corp., 6.500%, 9/30/2024 (a)

     3,300,000        3,146,572  

Midland States Bancorp, Inc., 5.000% (TSFR3M + 3.610%), 9/30/2029 (c)

     750,000        665,696  

Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028 (a)

     2,500,000        2,266,500  

NMI Holdings, Inc., 7.375%, 6/1/2025 (a)

     1,900,000        1,920,495  

Northern Bancorp, Inc., 4.750% (TSFR3M + 3.275%), 12/30/2029 (a)(c)

     1,000,000        858,563  

OneMain Finance Corp., 4.000%, 9/15/2030

     800,000        629,214  

PennyMac Financial Services, Inc., 4.250%, 2/15/2029 (a)

     900,000        743,543  

PennyMac Financial Services, Inc., 5.750%, 9/15/2031 (a)

     900,000        760,274  

PHH Mortgage Corp., 7.875%, 3/15/2026 (a)

     2,500,000        2,253,401  

PRA Group, Inc., 5.000%, 10/1/2029 (a)

     2,600,000        1,985,620  

Preferred Bank, 3.375% (TSFR3M + 2.780%), 6/15/2031 (c)

     1,500,000        1,177,699  

Preferred Pass-Through Trust, 6.697% (N/A + 0.000%), 12/29/2049 (a)(e)(n)

     1,000,000        720,000  

Ready Capital Corp., 6.200%, 7/30/2026 (l)

     8,000,000        7,555,200  

StoneX Group, Inc., 8.625%, 6/15/2025 (a)

     2,700,000        2,732,495  

TIAA FSB Holdings, Inc., 4.381%, 1/7/2035 (e)(g)

     5,000,000        3,150,000  

Trinitas Capital Management LLC, 6.000%, 7/30/2026 (a)

     2,000,000        1,862,500  

Trinity Capital, Inc., 7.000%, 1/16/2025 (e)(l)

     2,500,000        2,462,500  

United Wholesale Mortgage LLC, 5.500%, 4/15/2029 (a)

     2,800,000        2,464,133  

Zais Group LLC, 7.000%, 11/15/2023 (a)

     169,200        168,988  
     

 

 

 
        68,727,621  
     

 

 

 

Industrial – 0.17%

     

Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/1/2026 (a)

     1,400,000        1,346,079  

Clearwater Paper Corp., 4.750%, 8/15/2028 (a)

     1,400,000        1,233,922  

Covanta Holding Corp., 4.875%, 12/1/2029 (a)

     200,000        176,812  

Owens-Brockway Glass Container, Inc., 7.250%, 5/15/2031 (a)

     225,000        228,931  

Seaspan Corp., 5.500%, 8/1/2029 (a)

     1,350,000        1,102,099  

 

See accompanying notes which are an integral part of these financial statements.

 

49


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Corporate Obligations – (continued)

     

Industrial – (continued)

     

Smyrna Ready Mix Concrete LLC, 6.000%, 11/1/2028 (a)

   $ 200,000      $ 190,855  

XPO, Inc., 7.125%, 6/1/2031 (a)

     250,000        253,202  
     

 

 

 
        4,531,900  
     

 

 

 

TOTAL CORPORATE OBLIGATIONS
(Cost – $130,165,904)

        $104,969,397  
     

 

 

 
Investment Companies – 4.44%    Shares         

Affiliated Exchange Traded Funds – 0.53%

     

Angel Oak Income ETF

     481,200        9,725,052  

Angel Oak Ultrashort Income ETF

     95,900        4,850,143  
     

 

 

 
        14,575,195  
     

 

 

 

Affiliated Mutual Funds – 3.91%

     

Angel Oak Financials Income Impact Fund, Institutional Class

     5,147,772        38,917,156  

Angel Oak High Yield Opportunities Fund, Institutional Class

     3,336,241        35,497,603  

Angel Oak Total Return Bond Fund, Institutional Class

     3,985,110        33,395,223  
     

 

 

 
        107,809,982  
     

 

 

 

TOTAL INVESTMENT COMPANIES
(Cost – $141,005,038)

        $122,385,177  
     

 

 

 

Preferred Stocks – 0.26%

     

Real Estate Investment Trust – 0.26%

     

AGNC Investment Corp., 6.500% (3 Month LIBOR + 4.993%) (c)

     66,529        1,541,477  

Dynex Capital, Inc., 6.900% (3 Month LIBOR USD + 5.461%) (c)

     173,425        3,888,189  

MFA Financial, Inc., 6.500% (3 Month LIBOR USD + 5.345%) (c)

     92,942        1,826,310  
     

 

 

 

TOTAL PREFERRED STOCKS
(Cost – $7,802,601)

        $7,255,976  
     

 

 

 
     Principal
Amount
        

Residential Mortgage-Backed Securities – 65.03%

     

A&D Mortgage Trust, Series 2023-NQM2, Class A1, 6.132%, 5/25/2068 (a)(o)

     $9,683,669        9,566,555  

A&D Mortgage LLC, Series 2023-NQM3, Class A3, 7.341%, 7/25/2068 (a)(o)

     12,796,000        12,894,197  

Adjustable Rate Mortgage Trust, Series 2005-10, Class 3A12, 3.526%, 1/25/2036 (g)

     10,779        3,035  

Adjustable Rate Mortgage Trust, Series 2005-11, Class 2A3, 4.151%, 2/25/2036 (g)(k)

     5,718,951        4,408,671  

Adjustable Rate Mortgage Trust, Series 2005-12, Class 2A1, 4.097%, 3/25/2036 (g)

     1,444,109        1,077,207  

Adjustable Rate Mortgage Trust, Series 2005-3, Class 7A1, 4.960%, 7/25/2035 (g)

     287,259        223,410  

Adjustable Rate Mortgage Trust, Series 2007-1, Class 2A1, 4.708%, 3/25/2037 (g)(k)

     2,868,646        2,548,591  

Adjustable Rate Mortgage Trust, Series 2007-1, Class 3A22, 4.602%, 3/25/2037 (g)

     278,449        212,115  

Adjustable Rate Mortgage Trust, Series 2007-2, Class 1A1, 4.622%, 6/25/2037 (g)(k)

     1,679,065        1,326,574  

Adjustable Rate Mortgage Trust, Series 2007-2, Class 1A21, 4.622%, 6/25/2037 (g)

     1,769,528        1,265,779  

Agate Bay Mortgage Trust, Series 2015-4, Class B4, 3.513%, 6/25/2045 (a)(g)

     2,018,000        1,479,820  

American Home Mortgage Assets Trust, Series 2006-1, Class 1A2,
5.602% (TSFR1M + 0.304%), 5/25/2046 (c)

     1,502,822        1,156,875  

American Home Mortgage Assets Trust, Series 2006-1, Class XC, 0.009%, 5/25/2046 (e)(g)(h)

     14,815,515        403,426  

 

See accompanying notes which are an integral part of these financial statements.

 

50


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

American Home Mortgage Assets Trust, Series 2006-6, Class XP, 0.042%, 12/25/2046 (e)(g)(h)

   $ 60,568,362      $ 1,103,556  

American Home Mortgage Assets Trust, Series 2007-3, Class 22A1, 6.750%, 6/25/2037 (o)

     268,328        245,554  

American Home Mortgage Assets Trust, Series 2007-5, Class XP, 0.065%, 6/25/2047 (e)(g)(h)

     16,523,929        786,076  

American Home Mortgage Investment Trust, Series 2005-2, Class 2A1,
7.985% (TSFR1M + 3.254%), 9/25/2045 (c)

     401,061        288,624  

American Home Mortgage Investment Trust, Series 2006-3, Class 22A1,
7.490% (6 Month LIBOR USD + 1.750%), 12/25/2036 (c)(k)

     3,613,340        2,996,857  

American Home Mortgage Investment Trust, Series 2006-3, Class 3A2, 6.750%, 12/25/2036 (k)(o)

     6,262,946        2,440,933  

American Home Mortgage Investment Trust, Series 2007-1, Class GA1A,
5.572% (TSFR1M + 0.274%), 5/25/2047 (c)

     150,765        101,349  

American Home Mortgage Investment Trust, Series 2007-2, Class 11A1,
5.642% (TSFR1M + 0.574%), 3/25/2047 (c)(e)

     3,847,985        1,553,535  

American Home Mortgage Investment Trust, Series 2007-A, Class 13A1,
6.600%, 1/25/2037 (a)(e)(o)

     2,211,292        919,092  

AMSR Trust, Series 2023-SFR1, Class C, 4.000%, 4/17/2040 (a)

     1,000,000        899,476  

Arroyo Mortgage Trust, Series 2022-1, Class M1, 3.650%, 12/25/2056 (a)

     2,000,000        1,359,956  

Banc of America Funding Trust, Series 2007-8, Class 2A1, 7.000%, 10/25/2037 (k)

     3,720,037        2,356,141  

Banc of America Funding Trust, Series 2009-R14A, Class 2A,
5.500% (-2 x TSFR1M + 15.127%), 7/26/2035 (a)(c)(p)

     287,677        260,584  

Banc of America Funding Trust, Series 2015-R8, Class 3A2, 4.088%, 8/26/2035 (a)(g)

     1,841,364        1,364,797  

Bank of America Alternative Loan Trust, Series 2005-10, Class 1CB4, 5.500%, 11/25/2035

     308,106        282,355  

Bank of America Alternative Loan Trust, Series 2006-7, Class A2, 5.707%, 10/25/2036 (g)

     3,438,222        1,032,959  

Bank of America Alternative Loan Trust, Series 2006-7, Class A4, 6.498%, 10/25/2036 (k)(o)

     10,117,169        3,347,427  

Bank of America Alternative Loan Trust, Series 2006-9, Class 30PO, 0.000%, 1/25/2037 (f)

     147,661        78,848  

Bank of America Funding Trust, Series 2007-2, Class 1A16,
6.000% (TSFR1M + 0.714%), 3/25/2037 (c)

     2,255,015        1,444,854  

Bank of America Funding Trust, Series 2007-A, Class 2A5,
5.829% (TSFR1M + 0.574%), 2/20/2047 (c)

     987,127        732,026  

Bank of America Funding Trust, Series 2007-B, Class A1,
5.789% (TSFR1M + 0.534%), 4/20/2047 (c)(k)

     2,845,927        2,284,004  

Bank of America Funding Trust, Series 2007-C, Class 7A4,
5.809% (TSFR1M + 0.554%), 5/20/2047 (c)(k)

     2,073,760        1,740,474  

Bank of America Funding Trust, Series 2014-R1, Class A2,
4.084% (1 Month LIBOR USD + 0.150%), 6/26/2037 (a)(c)(k)

     3,948,445        3,111,789  

Bank of America Mortgage Trust, Series 2007-1, Class 1A4, 6.000%, 3/25/2037

     825,463        730,794  

Bayview Financial Mortgage Pass-Through Trust, Series 2005-D, Class APO, 0.000%, 12/28/2035 (f)

     246,068        182,716  

BCAP LLC Trust, Series 2007-AA3, Class 1A1A, 5.832% (TSFR1M + 0.534%), 4/25/2037 (c)

     930,989        791,451  

BCAP LLC Trust, Series 2010-RR6, Class 1410, 3.912%, 12/26/2035 (a)(g)(k)

     4,534,244        3,533,337  

BCAP LLC Trust, Series 2010-RR7, Class 9A12, 4.775%, 5/26/2036 (a)(g)

     876,046        497,821  

BCAP LLC Trust, Series 2010-RR9, Class 7A2, 3.407%, 1/27/2037 (a)(g)(k)

     5,546,922        5,074,485  

BCAP LLC Trust, Series 2012-RR1, Class 3A4, 6.344%, 10/26/2035 (a)(g)

     1,538,312        1,203,232  

BCAP LLC Trust, Series 2012-RR11, Class 1A2, 3.547%, 1/26/2037 (a)(g)

     922,008        789,213  

BCAP LLC Trust, Series 2012-RR4, Class 4A7, 5.945%, 2/26/2036 (a)(g)

     1,904,701        1,143,920  

BCAP LLC Trust, Series 2013-RR1, Class 6A2, 6.203%, 5/26/2036 (a)(g)

     2,943,586        2,152,223  

Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-6, Class 1A1, 4.883%, 8/25/2035 (g)

     1,430,760        1,200,264  

 

See accompanying notes which are an integral part of these financial statements.

 

51


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-2, Class 3A1,
4.219%, 7/25/2036 (g)

   $ 402,716      $ 299,732  

Bear Stearns ALT-A Trust, Series 2005-5, Class 21A1, 4.857%, 7/25/2035 (g)

     413,915        383,611  

Bear Stearns Asset Backed Securities Trust, Series 2005-AC5, Class 1A2,
5.500% (TSFR1M + 1.114%), 8/25/2035 (c)

     1,226,152        760,066  

Bear Stearns Asset Backed Securities Trust, Series 2007-AC6, Class A1, 6.500%, 10/25/2037

     2,162,086        1,161,466  

Bear Stearns Asset Backed Securities Trust, Series 2007-SD3, Class A,
5.912% (TSFR1M + 0.614%), 5/25/2037 (c)

     20,270        17,162  

Bear Stearns Mortgage Funding Trust, Series 2006-AR1, Class 1A1, 5.832% (TSFR1M + 0.534%), 7/25/2036 (c)

     447,430        298,132  

Bellemeade Re Ltd., Series 2020-4A, Class B1,
10.412% (TSFR1M + 5.114%), 6/25/2030 (a)(c)

     2,500,000        2,519,347  

Bellemeade Re Ltd., Series 2021-1A, Class M2, 9.919% (SOFR30A + 4.850%), 3/25/2031 (a)(c)

     500,000        517,563  

Bellemeade Re Ltd., Series 2021-2A, Class M2,
7.969% (SOFR30A + 2.900%), 6/25/2031 (a)(c)

     8,250,000        8,232,304  

Bellemeade Re Ltd., Series 2021-3A, Class M2, 8.219% (SOFR30A + 3.150%), 9/25/2031 (a)(c)

     2,900,000        2,868,274  

Bellemeade Re Ltd., Series 2022-1, Class M1C, 8.769% (SOFR30A + 3.700%), 1/26/2032 (a)(c)

     2,500,000        2,481,278  

Bellemeade Re Ltd., Series 2022-1, Class M2, 9.669% (SOFR30A + 4.600%), 1/26/2032 (a)(c)

     3,750,000        3,754,635  

Boston Lending Trust, Series 2021-1, Class A, 2.000%, 7/25/2061 (a)(g)

     3,966,995        3,358,593  

BRAVO Residential Funding Trust, Series 2021-A, Class A1, 1.991%, 10/25/2059 (a)(o)

     2,930,882        2,740,418  

BRAVO Residential Funding Trust, Series 2021-NQM3, Class A2, 1.853%, 4/25/2060 (a)(g)

     2,501,885        2,177,623  

Cascade MH Asset Trust, Series 2021-MH1, Class B3, 7.595%, 2/25/2046 (a)(g)

     3,000,000        2,254,173  

Chase Mortgage Finance Corp., Series 2021-CL1, Class B,
11.569% (SOFR30A + 6.500%), 2/25/2050 (a)(c)

     2,159,000        1,856,064  

Chase Mortgage Finance Corp., Series 2021-CL1, Class M3,
6.619% (SOFR30A + 1.550%), 2/25/2050 (a)(c)

     2,330,818        1,987,812  

Chase Mortgage Finance Corp., Series 2021-CL1, Class M4,
7.719% (SOFR30A + 2.650%), 2/25/2050 (a)(c)

     2,411,232        2,053,118  

Chase Mortgage Finance Corp., Series 2021-CL1, Class M5,
8.319% (SOFR30A + 3.250%), 2/25/2050 (a)(c)

     964,374        802,394  

Chase Mortgage Finance Trust, Series 2006-A1, Class 2A2, 4.460%, 9/25/2036 (g)

     957,369        833,962  

Chase Mortgage Finance Trust, Series 2006-S2, Class 2A6, 6.000%, 10/25/2036

     746,921        312,085  

ChaseFlex Trust, Series 2005-2, Class 5A6, 5.000%, 6/25/2035

     1,372,119        858,721  

ChaseFlex Trust, Series 2007-1, Class 2A10, 5.912% (TSFR1M + 0.614%), 2/25/2037 (c)(e)

     2,319,365        556,239  

Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2005-4A, Class NIO,
0.414%, 4/25/2037 (a)(e)(g)(h)

     16,651,116        193,353  

Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2006-1A, Class A1,
5.562% (TSFR1M + 0.264%), 12/25/2046 (a)(c)(k)

     2,852,656        1,811,728  

Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2006-2A, Class A1,
5.542% (TSFR1M + 0.244%), 4/25/2047 (a)(c)(k)

     7,885,744        6,897,360  

Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2006-4A, Class A2,
5.592% (TSFR1M + 0.294%), 11/25/2047 (a)(c)(k)

     3,460,601        2,580,916  

CIM Trust, Series 2019-J1, Class B5, 3.944%, 8/25/2049 (a)(g)

     613,000        336,280  

CIM Trust, Series 2021-J1, Class B4, 2.657%, 3/25/2051 (a)(g)

     1,334,350        584,432  

CIM Trust, Series 2021-J1, Class B5, 2.657%, 3/25/2051 (a)(g)

     810,000        232,937  

CIM Trust, Series 2021-J1, Class B6, 2.657%, 3/25/2051 (a)(g)

     1,413,945        327,429  

CIM Trust, Series 2021-J2, Class B4, 2.673%, 4/25/2051 (a)(g)

     1,595,955        702,677  

CIM Trust, Series 2021-J2, Class B5, 2.673%, 4/25/2051 (a)(g)

     718,000        212,701  

 

See accompanying notes which are an integral part of these financial statements.

 

52


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

CIM Trust, Series 2021-J2, Class B6, 2.673%, 4/25/2051 (a)(g)

   $ 1,437,424      $ 326,502  

CIM Trust, Series 2021-J3, Class B4, 2.617%, 6/25/2051 (a)(g)

     1,281,000        470,095  

CIM Trust, Series 2021-J3, Class B5, 2.617%, 6/25/2051 (a)(g)

     481,000        125,756  

CIM Trust, Series 2021-J3, Class B6, 2.617%, 6/25/2051 (a)(g)

     800,773        153,058  

Citicorp. Mortgage Securities, Inc., Series 2005-2, Class 1APO, 0.000%, 3/25/2035 (f)

     35,290        20,801  

Citigroup Mortgage Loan Trust, Series 2005-12, Class 2A1,
6.212% (TSFR1M + 0.914%), 8/25/2035 (a)(c)

     1,127,528        955,429  

Citigroup Mortgage Loan Trust, Series 2005-3, Class 2A2, 4.764%, 8/25/2035 (g)

     270,708        242,946  

Citigroup Mortgage Loan Trust, Series 2005-7, Class 2A2A, 4.680%, 9/25/2035 (g)

     1,619,603        1,033,932  

Citigroup Mortgage Loan Trust, Series 2006-4, Class 2A1A, 6.000%, 12/25/2035

     377,312        347,804  

CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A3, 6.000%, 9/25/2036 (k)

     2,907,936        2,697,334  

CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A5,
6.000% (TSFR1M + 0.764%), 9/25/2036 (c)

     1,556,364        1,170,840  

CitiMortgage Alternative Loan Trust, Series 2006-A6, Class 1APO, 0.000%, 11/25/2036 (f)

     74,445        34,629  

CitiMortgage Alternative Loan Trust, Series 2006-A7, Class 1A1,
6.000%, 12/25/2036 (g)(k)

     1,994,508        1,595,309  

CitiMortgage Alternative Loan Trust, Series 2006-A7, Class 1A9,
6.000% (TSFR1M + 0.764%), 12/25/2036 (c)(k)

     3,832,114        2,875,484  

CitiMortgage Alternative Loan Trust, Series 2007-A3, Class 1A2,
6.000% (TSFR1M + 0.714%), 3/25/2037 (c)(k)

     2,289,049        1,782,446  

CitiMortgage Alternative Loan Trust, Series 2007-A3, Class APO, 0.000%, 3/25/2037 (f)

     119,274        52,438  

CitiMortgage Alternative Loan Trust, Series 2007-A4, Class 1A9,
6.000% (TSFR1M + 0.714%), 4/25/2037 (c)

     1,461,680        1,096,523  

CitiMortgage Alternative Loan Trust, Series 2007-A4, Class APO, 0.000%, 4/25/2037 (f)

     103,628        48,566  

CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A3,
5.912% (TSFR1M + 0.614%), 5/25/2037 (c)(k)

     3,729,623        2,790,683  

CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A1,
6.000% (TSFR1M + 0.714%), 6/25/2037 (c)

     1,586,203        1,187,831  

COLT Funding LLC, Series 2021-3R, Class M1, 2.355%, 12/25/2064 (a)(g)

     2,862,000        1,992,370  

COLT Mortgage Loan Trust, Series 2020-2R, Class B1, 4.118%, 10/26/2065 (a)(g)

     3,605,000        2,693,267  

COLT Mortgage Loan Trust, Series 2023-1, Class A1, 6.048%, 4/25/2068 (a)(o)

     2,833,759        2,788,595  

CountryWide Alternative Loan Trust Resecuritization, Series 2005-58R, Class A,
0.060%, 12/20/2035 (a)(g)(h)

     39,903,783        2,661,383  

CountryWide Alternative Loan Trust Resecuritization, Series 2005-59R, Class A,
2.210%, 12/20/2035 (a)(g)(h)

     10,470,688        254,815  

CountryWide Alternative Loan Trust, Series 2004-32CB, Class 2A2, 5.500% (TSFR1M + 0.514%), 2/25/2035 (c)

     484,307        302,911  

CountryWide Alternative Loan Trust, Series 2005-14, Class 2X,
0.043%, 5/25/2035 (e)(g)(h)

     17,611,305        436,126  

CountryWide Alternative Loan Trust, Series 2005-16, Class X2,
0.102%, 6/25/2035 (e)(g)(h)

     16,427,374        253,080  

CountryWide Alternative Loan Trust, Series 2005-24, Class 1AX,
0.005%, 7/20/2035 (e)(g)(h)

     7,906,063        91,086  

CountryWide Alternative Loan Trust, Series 2005-24, Class 2A1A, 5.524% (12 Month US Treasury Average + 1.310%), 7/20/2035 (c)

     371,639        244,800  

CountryWide Alternative Loan Trust, Series 2005-27, Class 1A4, 3.726%, 8/25/2035 (g)

     496,464        399,043  

CountryWide Alternative Loan Trust, Series 2005-27, Class 1A5, 3.816%, 8/25/2035 (g)

     452,033        414,998  

CountryWide Alternative Loan Trust, Series 2005-27, Class 2X1, 0.078%, 8/25/2035 (e)(g)(h)

     20,492,494        136,501  

 

See accompanying notes which are an integral part of these financial statements.

 

53


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

CountryWide Alternative Loan Trust, Series 2005-38, Class X, 0.000%, 9/25/2035 (e)(g)(h)

   $ 42,510,140      $ 451,543  

CountryWide Alternative Loan Trust, Series 2005-3CB, Class 1A4, 5.250%, 3/25/2035

     348,443        318,026  

CountryWide Alternative Loan Trust, Series 2005-41, Class 2X2,
0.005%, 9/25/2035 (e)(g)(h)

     3,616,803        107,911  

CountryWide Alternative Loan Trust, Series 2005-42CB, Class A4, 5.500% (TSFR1M + 0.794%), 10/25/2035 (c)(e)

     1,091,585        584,107  

CountryWide Alternative Loan Trust, Series 2005-44, Class 1X,
0.022%, 10/25/2035 (e)(g)(h)

     18,288,579        322,483  

CountryWide Alternative Loan Trust, Series 2005-51, Class 1X, 1.312%, 11/20/2035 (e)(g)(h)

     14,707,285        859,994  

CountryWide Alternative Loan Trust, Series 2005-51, Class 3X2,
0.045%, 11/20/2035 (e)(g)(h)

     11,763,137        183,799  

CountryWide Alternative Loan Trust, Series 2005-51, Class 4X,
0.026%, 11/20/2035 (e)(g)(h)

     16,836,403        290,209  

CountryWide Alternative Loan Trust, Series 2005-56, Class 4X,
0.062%, 11/25/2035 (e)(g)(h)

     21,322,720        305,235  

CountryWide Alternative Loan Trust, Series 2005-70CB, Class A4,
5.500%, 12/25/2035 (k)

     3,299,822        2,316,954  

CountryWide Alternative Loan Trust, Series 2005-85CB, Class 2A5,
6.512% (TSFR1M + 1.214%), 2/25/2036 (c)

     1,286,965        952,856  

CountryWide Alternative Loan Trust, Series 2005-J11, Class 1A4,
5.500% (TSFR1M + 0.514%), 11/25/2035 (c)(e)

     2,659,096        1,313,423  

CountryWide Alternative Loan Trust, Series 2005-J14, Class A8, 5.500%, 12/25/2035

     1,511,486        1,007,706  

CountryWide Alternative Loan Trust, Series 2005-J9, Class 1A6, 5.500%, 8/25/2035

     592,296        440,012  

CountryWide Alternative Loan Trust, Series 2006-26CB, Class A15, 6.000% (TSFR1M + 0.664%), 9/25/2036 (c)

     682,152        348,524  

CountryWide Alternative Loan Trust, Series 2006-27CB, Class A4, 6.000%, 11/25/2036 (e)

     624,251        491,166  

CountryWide Alternative Loan Trust, Series 2006-29T1, Class 2A13, 5.712% (TSFR1M + 0.414%), 10/25/2036 (c)

     1,571,170        738,689  

CountryWide Alternative Loan Trust, Series 2006-40T1, Class 1A5, 6.000%, 1/25/2037

     478,433        378,836  

CountryWide Alternative Loan Trust, Series 2006-HY10, Class 1X,
0.476%, 5/25/2036 (e)(g)(h)

     2,719,464        37,170  

CountryWide Alternative Loan Trust, Series 2006-OA1, Class 1X,
0.047%, 3/20/2046 (e)(g)(h)

     10,893,909        105,911  

CountryWide Alternative Loan Trust, Series 2006-OA10, Class XAD,
0.027%, 8/25/2046 (e)(h)(o)

     22,047,707        56,023  

CountryWide Alternative Loan Trust, Series 2006-OA10, Class XNB,
0.103%, 8/25/2046 (e)(g)(h)

     20,833,039        159,456  

CountryWide Alternative Loan Trust, Series 2006-OA10, Class XPP,
0.136%, 8/25/2046 (e)(g)(h)

     12,642,354        67,548  

CountryWide Alternative Loan Trust, Series 2006-OA3, Class X,
0.137%, 5/25/2036 (e)(g)(h)

     15,038,607        225,474  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2004-20, Class X,
0.196%, 10/25/2034 (e)(g)(h)

     5,952,650        212,087  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 1X,
0.114%, 2/25/2035 (e)(g)(h)

     12,001,066        121,283  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 2A3,
6.152% (TSFR1M + 0.854%), 2/25/2035 (c)

     1,302,025        1,080,613  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2004-29, Class 1X,
0.004%, 2/25/2035 (e)(g)(h)

     2,769,664        34,997  

 

See accompanying notes which are an integral part of these financial statements.

 

54


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2005-1, Class 1X,
0.127%, 3/25/2035 (e)(g)(h)

   $ 3,059,488      $ 79,672  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 4X,
0.043%, 4/25/2035 (g)(h)

     4,827,539        34,942  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2005-2, Class 2X,
0.123%, 3/25/2035 (e)(g)(h)

     7,973,036        141,808  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2005-7, Class 3A2,
3.369%, 3/25/2035 (g)(k)

     3,528,824        2,752,677  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2005-7, Class 3X,
0.861%, 3/25/2035 (e)(g)(h)

     965,577        39,067  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2006-12, Class X,
0.143%, 7/25/2036 (e)(g)(h)

     14,802,465        86,624  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2006-8, Class 1A1,
6.000%, 5/25/2036

     1,204,766        812,725  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2006-HYB1, Class 3A1, 3.815%, 3/20/2036 (g)(k)

     4,198,761        3,832,314  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2007-18, Class 2A1,
6.500%, 11/25/2037

     1,877,909        1,091,007  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2007-4, Class 1A1,
6.000%, 5/25/2037

     1,338,859        943,778  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2007-7, Class A3,
5.750%, 6/25/2037

     697,142        409,547  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2007-8, Class 1A12,
5.875%, 1/25/2038 (e)

     2,631,922        1,472,871  

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2007-J2, Class 2A1,
6.000% (TSFR1M + 0.764%), 7/25/2037 (c)(e)

     4,477,808        810,318  

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 6A12,
5.500%, 11/25/2035 (e)(k)

     2,279,036        1,137,585  

Credit Suisse Mortgage Trust, Series 2014-3R, Class 1A1,
2.468% (TSFR1M + 0.564%), 3/27/2036 (a)(c)

     391,142        295,051  

Credit Suisse Mortgage Trust, Series 2015-6R, Class 1A2, 4.215%, 7/27/2035 (a)(g)

     6,674,449        4,808,480  

Credit Suisse Mortgage Trust, Series 2017-RPL3, Class B5, 4.453%, 8/1/2057 (a)(g)

     9,680,413        8,389,337  

Credit Suisse Mortgage Trust, Series 2020-RPL4, Class B3, 3.989%, 1/25/2060 (a)(g)

     10,124,150        7,170,794  

Credit Suisse Mortgage Trust, Series 2020-RPL4, Class B4, 3.989%, 1/25/2060 (a)(g)

     10,125,738        6,440,486  

Credit Suisse Mortgage Trust, Series 2020-RPL4, Class XS, 1.584%, 1/25/2060 (a)(g)(h)

     191,745,014        8,933,975  

Credit Suisse Mortgage Trust, Series 2021-AFC1, Class B1, 3.251%, 3/25/2056 (a)(g)

     3,031,450        1,859,140  

Credit Suisse Mortgage Trust, Series 2021-AFC1, Class B2, 4.255%, 3/25/2056 (a)(g)

     1,539,950        1,051,978  

Credit Suisse Mortgage Trust, Series 2021-INV1, Class AIOS, 0.040%, 7/25/2056 (a)(g)(h)

     115,170,922        210,417  

Credit Suisse Mortgage Trust, Series 2021-INV1, Class AX4, 0.400%, 7/25/2056 (a)(g)(h)

     7,790,283        139,859  

Credit Suisse Mortgage Trust, Series 2021-INV1, Class B1, 3.082%, 7/25/2056 (a)(g)(k)

     5,628,558        4,532,756  

Credit Suisse Mortgage Trust, Series 2021-INV1, Class B3, 3.082%, 7/25/2056 (a)(g)

     4,252,409        3,197,395  

Credit Suisse Mortgage Trust, Series 2021-INV1, Class B4, 3.082%, 7/25/2056 (a)(g)

     2,375,923        1,607,711  

Credit Suisse Mortgage Trust, Series 2021-INV1, Class B5, 3.082%, 7/25/2056 (a)(g)

     1,625,868        756,825  

Credit Suisse Mortgage Trust, Series 2021-INV1, Class B6, 3.082%, 7/25/2056 (a)(g)

     1,323,281        311,142  

Credit Suisse Mortgage Trust, Series 2021-INV2, Class A11X,
0.222% (SOFR30A + 4.100%), 11/25/2056 (a)(c)(e)(h)

     21,003,853        782,352  

Credit Suisse Mortgage Trust, Series 2021-INV2, Class A15X, 0.500%, 11/25/2056 (a)(g)(h)

     12,583,966        283,504  

Credit Suisse Mortgage Trust, Series 2021-INV2, Class A3X, 0.500%, 11/25/2056 (a)(g)(h)

     172,269,110        3,878,811  

 

See accompanying notes which are an integral part of these financial statements.

 

55


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Credit Suisse Mortgage Trust, Series 2021-INV2, Class AIOS,
0.040%, 11/25/2056 (a)(e)(g)(h)

   $ 333,890,471      $ 612,355  

Credit Suisse Mortgage Trust, Series 2021-INV2, Class AX1,
0.137%, 11/25/2056 (a)(e)(g)(h)

     299,325,398        1,931,846  

Credit Suisse Mortgage Trust, Series 2021-INV2, Class AX4, 0.150%, 11/25/2056 (a)(g)(h)

     19,274,028        130,023  

Credit Suisse Mortgage Trust, Series 2021-INV2, Class B4, 3.287%, 11/25/2056 (a)(g)

     4,330,867        2,926,493  

Credit Suisse Mortgage Trust, Series 2021-INV2, Class B5, 3.287%, 11/25/2056 (a)(g)

     2,826,731        1,561,543  

Credit Suisse Mortgage Trust, Series 2021-INV2, Class B6, 3.287%, 11/25/2056 (a)(g)

     2,362,185        594,441  

Credit Suisse Mortgage Trust, Series 2021-NQM2, Class M1, 2.282%, 2/25/2066 (a)(g)

     1,000,000        611,648  

Credit Suisse Mortgage Trust, Series 2021-NQM7, Class A2, 1.961%, 10/25/2066 (a)(g)

     2,771,362        2,245,155  

Credit Suisse Mortgage Trust, Series 2021-NQM8, Class A2, 2.303%, 10/25/2066 (a)(g)

     1,749,811        1,424,291  

Credit Suisse Mortgage Trust, Series 2022-NQM4, Class A2, 4.819%, 6/25/2067 (a)(o)

     4,114,572        3,872,158  

Credit Suisse Mortgage Trust, Series 2022-NQM4, Class A3, 4.819%, 6/25/2067 (a)(o)

     7,314,795        6,692,197  

Credit Suisse Mortgage Trust, Series 2022-NQM5, Class M1, 5.169%, 6/25/2067 (a)(g)

     500,000        403,205  

Credit Suisse Mortgage-Backed Trust, Series 2006-4, Class 1A1,
6.000% (TSFR1M + 0.814%), 5/25/2036 (c)

     1,724,439        836,256  

CSMCM Trust, Series 2018-RPL1, Class CERT, 2.778%, 7/25/2057 (a)(e)(g)

     12,443,160        9,560,080  

CSMCM Trust, Series 2018-RPL3, Class C, 2.741%, 7/25/2050 (a)(e)(g)

     10,080,464        8,098,120  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-5, Class 2A4,
5.500%, 11/25/2035 (k)

     3,389,956        1,968,445  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-5, Class 2A7,
5.500%, 11/25/2035

     221,332        161,577  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 1A4,
5.500%, 12/25/2035

     368,688        327,269  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 2A1,
3.500%, 2/25/2036 (g)

     391,631        287,305  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR5, Class 1A1,
5.672% (TSFR1M + 0.374%), 10/25/2036 (c)(e)(k)

     7,273,072        2,258,456  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2007-AB1, Class PO,
0.000%, 4/25/2037 (f)

     442,473        251,563  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2007-AR1, Class A1,
5.652% (TSFR1M + 0.354%), 1/25/2047 (c)(k)

     5,562,313        5,030,161  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2007-AR1, Class A2,
5.772% (TSFR1M + 0.474%), 1/25/2047 (c)

     966,038        658,415  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2007-BAR1, Class A4,
5.892% (TSFR1M + 0.594%), 3/25/2037 (c)(e)(k)

     76,432,950        4,633,365  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2007-OA2, Class A1,
4.984% (12 Month US Treasury Average + 0.770%), 4/25/2047 (c)

     649,234        558,946  

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2007-OA5, Class A1A,
5.612% (TSFR1M + 0.314%), 8/25/2047 (c)

     1,332,061        1,080,063  

Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A1,
5.888%, 6/25/2036 (g)

     341,031        301,055  

Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A2,
6.160%, 6/25/2036 (g)

     1,517,334        1,378,147  

Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A5B,
4.804%, 6/25/2036 (o)

     332,018        287,038  

Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A8,
5.734%, 6/25/2036 (g)(k)

     2,830,021        2,557,541  

 

See accompanying notes which are an integral part of these financial statements.

 

56


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB3, Class A5B,
6.800%, 7/25/2036 (o)

   $ 177,424      $ 148,153  

Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4, Class A1C,
6.000%, 10/25/2036 (g)(k)

     4,385,633        3,939,500  

Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4, Class A4B,
6.500%, 10/25/2036 (k)(o)

     5,900,500        5,248,908  

Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2009-RS6, Class A2B,
3.835%, 8/25/2037 (a)(g)(k)

     7,728,363        7,340,461  

DSLA Mortgage Loan Trust, Series 2004-AR1, Class X2, 0.009%, 9/19/2044 (e)(g)(h)

     13,313,131        140,986  

DSLA Mortgage Loan Trust, Series 2004-AR2, Class C, 0.000%, 11/19/2044 (e)(j)

     1,000        1  

DSLA Mortgage Loan Trust, Series 2004-AR2, Class X2, 0.000%, 11/19/2044 (e)(g)(h)

     12,628,020        128,856  

DSLA Mortgage Loan Trust, Series 2004-AR4, Class X2, 0.162%, 1/19/2045 (e)(g)(h)

     11,149,976        62,596  

DSLA Mortgage Loan Trust, Series 2005-AR1, Class 1A,
5.901% (TSFR1M + 0.654%), 2/19/2045 (c)(k)

     18,102,378        16,188,595  

DSLA Mortgage Loan Trust, Series 2005-AR1, Class C, 0.000%, 2/19/2045 (e)(j)

     1,000,000        10,000  

DSLA Mortgage Loan Trust, Series 2005-AR1, Class X2, 0.293%, 2/19/2045 (e)(g)(h)

     20,278,792        201,835  

DSLA Mortgage Loan Trust, Series 2005-AR2, Class 2A1C,
5.801% (TSFR1M + 0.554%), 3/19/2045 (c)(k)

     1,280,274        1,124,716  

DSLA Mortgage Loan Trust, Series 2005-AR2, Class C, 0.000%, 3/19/2045

     1        310,287  

DSLA Mortgage Loan Trust, Series 2005-AR4, Class 1A,
5.881% (TSFR1M + 0.634%), 8/19/2045 (c)

     139,055        99,748  

DSLA Mortgage Loan Trust, Series 2005-AR4, Class 2A1A,
5.881% (TSFR1M + 0.634%), 8/19/2045 (c)

     1,138,948        938,021  

DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A,
6.021% (TSFR1M + 0.774%), 9/19/2045 (c)(k)

     9,346,638        4,985,086  

DSLA Mortgage Loan Trust, Series 2006-AR1, Class 1A1A,
5.134% (12 Month US Treasury Average + 0.920%), 3/19/2046 (c)(k)

     7,786,063        5,423,218  

DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A,
5.561% (TSFR1M + 0.314%), 10/19/2036 (c)(k)

     19,158,358        15,347,818  

DSLA Mortgage Loan Trust, Series 2007-AR1, Class 1A1A,

5.501% (TSFR1M + 0.254%), 4/19/2047 (c)(k)

     33,028,881        26,006,478  

Eagle RE Ltd., Series 2021-1, Class M2, 9.519% (SOFR30A + 4.450%), 10/25/2033 (a)(c)

     6,900,000        7,218,525  

Eagle RE Ltd., Series 2021-2, Class B1, 10.069% (SOFR30A + 5.000%), 4/25/2034 (a)(c)

     1,489,000        1,465,179  

Eagle RE Ltd., Series 2021-2, Class M2, 9.319% (SOFR30A + 4.250%), 4/25/2034 (a)(c)

     3,000,000        3,042,189  

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 3A1,
4.754%, 11/25/2035 (g)

     794,142        481,315  

First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A18,
5.500%, 11/25/2035

     6,064        4,694  

First Horizon Alternative Mortgage Securities Trust, Series 2006-AA2, Class 2A1,
4.855%, 5/25/2036 (g)

     351,672        282,855  

First Horizon Alternative Mortgage Securities Trust, Series 2006-FA1, Class 1A12,
6.000%, 4/25/2036

     213,180        130,807  

First Horizon Alternative Mortgage Securities Trust, Series 2006-FA1, Class 1A8,
5.500% (TSFR1M + 0.614%), 4/25/2036 (c)(e)

     3,600,725        1,426,345  

First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 4A3,
4.626%, 9/25/2035 (g)

     39,252        27,549  

Flagstar Mortgage Trust, Series 2017-2, Class B5, 4.012%, 10/25/2047 (a)(g)

     1,153,000        674,413  

Flagstar Mortgage Trust, Series 2018-2, Class B5, 4.012%, 4/25/2048 (a)(g)

     2,810,546        2,195,831  

Flagstar Mortgage Trust, Series 2018-6RR, Class B5, 4.921%, 10/25/2048 (a)(g)

     2,478,000        1,725,855  

 

See accompanying notes which are an integral part of these financial statements.

 

57


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Flagstar Mortgage Trust, Series 2021-1, Class B4, 3.130%, 2/1/2051 (a)(g)

   $ 2,746,737      $ 1,793,037  

Flagstar Mortgage Trust, Series 2021-1, Class B5, 3.130%, 2/1/2051 (a)(g)

     1,222,000        499,721  

Flagstar Mortgage Trust, Series 2021-1, Class B6C, 2.789%, 2/1/2051 (a)(e)(g)

     2,932,342        743,422  

Flagstar Mortgage Trust, Series 2021-10IN, Class B5, 3.516%, 10/25/2051 (a)(g)

     1,222,885        663,835  

Flagstar Mortgage Trust, Series 2021-10IN, Class B6C, 3.322%, 10/25/2051 (a)(g)

     13,749,948        5,753,473  

Flagstar Mortgage Trust, Series 2021-2, Class B4, 2.780%, 4/25/2051 (a)(g)

     1,340,188        516,366  

Flagstar Mortgage Trust, Series 2021-2, Class B5, 2.780%, 4/25/2051 (a)(g)

     1,343,000        523,077  

Flagstar Mortgage Trust, Series 2021-2, Class B6C, 2.780%, 4/25/2051 (a)(g)

     1,792,016        409,784  

Flagstar Mortgage Trust, Series 2021-6INV, Class B5, 3.492%, 8/25/2051 (a)(g)

     3,039,305        1,712,645  

Flagstar Mortgage Trust, Series 2021-6INV, Class B6C, 3.288%, 8/25/2051 (a)(g)

     10,453,662        4,002,916  

Flagstar Mortgage Trust, Series 2021-9INV, Class AX1, 0.490%, 9/25/2041 (a)(g)(h)

     230,574,291        3,479,597  

Flagstar Mortgage Trust, Series 2021-9INV, Class B4, 2.990%, 9/25/2041 (a)(g)

     536,840        413,184  

Flagstar Mortgage Trust, Series 2021-9INV, Class B5, 2.990%, 9/25/2041 (a)(g)

     1,342,518        574,203  

Flagstar Mortgage Trust, Series 2021-9INV, Class B6C, 2.828%, 9/25/2041 (a)(g)

     1,827,125        496,138  

GCAT Trust, Series 2020-NQM2, Class M1, 3.589%, 4/25/2065 (a)(g)

     1,500,000        1,171,467  

GMAC Mortgage Corp. Loan Trust, Series 2005-AR5, Class 5A1, 3.581%, 9/19/2035 (g)

     23,488        17,917  

GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1, 3.280%, 4/19/2036 (g)

     711,151        568,693  

Goldman Sachs Mortgage Pass-Through Trust, Series 2022-1, Class PT,
4.272%, 2/25/2053 (a)(g)

     52,156,637        48,181,518  

Greenpoint Mortgage Funding Trust, Series 2005-AR1, Class X1,
0.219%, 6/25/2045 (e)(g)(h)

     15,458,183        285,683  

Greenpoint Mortgage Funding Trust, Series 2005-AR3, Class X1,
0.319%, 8/25/2045 (e)(g)(h)

     22,073,963        1,155,726  

GreenPoint Mortgage Funding Trust, Series 2005-AR4, Class 4A1A,
6.032% (TSFR1M + 0.734%), 10/25/2045 (c)

     1,362,238        822,851  

GreenPoint Mortgage Funding Trust, Series 2005-AR4, Class X4,
0.124%, 10/25/2045 (e)(g)(h)

     11,712,153        215,492  

GreenPoint Mortgage Funding Trust, Series 2006-AR3, Class 4X, 1.000%, 4/25/2036 (e)(h)

     21,793,760        411,967  

GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ1, Class B4,
4.072%, 8/25/2049 (a)(g)

     1,500,000        1,145,018  

GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ1, Class B5,
4.072%, 8/25/2049 (a)(g)

     577,000        389,850  

GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ3, Class AIOS,
0.220%, 3/25/2050 (a)(g)(h)

     33,481,493        309,804  

GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ3, Class B6,
3.958%, 3/25/2050 (a)(g)

     1,703,244        924,471  

GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ5, Class B4,
3.268%, 3/27/2051 (a)(g)

     2,151,438        1,486,265  

GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ5, Class B5,
3.268%, 3/27/2051 (a)(g)

     1,763,871        999,379  

GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class AX1,
0.025%, 1/25/2043 (a)(e)(g)(h)

     333,066,688        318,745  

GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class B4,
2.775%, 3/25/2044 (a)(g)

     1,799,815        1,181,015  

GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class B5,
2.775%, 4/25/2045 (a)(g)

     1,543,782        775,311  

GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class B6,
2.775%, 5/25/2051 (a)(g)

     1,699,134        541,144  

 

See accompanying notes which are an integral part of these financial statements.

 

58


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

GS Mortgage-Backed Securities Corp. Trust, Series 2020-RPL1, Class B1,
3.841%, 7/25/2059 (a)(g)

   $ 6,323,000      $ 4,766,922  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B1,
3.218%, 1/25/2052 (a)(g)(k)

     4,569,699        3,661,467  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B3,
3.218%, 1/25/2052 (a)(g)(k)

     3,657,108        2,721,089  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B4,
3.218%, 1/25/2052 (a)(g)

     3,667,037        2,424,340  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B5,
3.218%, 1/25/2052 (a)(g)

     1,472,758        930,371  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B6,
3.218%, 1/25/2052 (a)(g)

     4,284,784        1,250,330  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-INV1, Class B3,
3.031%, 12/25/2051 (a)(g)

     4,134,722        3,050,664  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-INV1, Class B4,
3.031%, 12/25/2051 (a)(g)

     2,959,251        1,955,535  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-INV1, Class B5,
3.031%, 12/25/2051 (a)(g)

     1,779,708        958,851  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-INV1, Class B6,
2.933%, 12/25/2051 (a)(g)

     2,457,469        564,554  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ1, Class B4,
2.751%, 6/25/2051 (a)(g)

     2,356,442        1,424,717  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ1, Class B5,
2.751%, 6/25/2051 (a)(g)

     1,039,000        317,190  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ1, Class B6,
2.751%, 6/25/2051 (a)(g)

     2,074,101        490,682  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ3, Class B4,
2.651%, 8/25/2051 (a)(g)

     1,254,279        807,303  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ3, Class B5,
2.651%, 8/25/2051 (a)(g)

     1,261,818        538,932  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ3, Class B6,
2.651%, 8/25/2051 (a)(g)

     2,205,653        506,153  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class AX1,
0.017%, 9/25/2051 (a)(g)(h)

     488,145,366        298,257  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B1,
2.617%, 9/25/2051 (a)(g)(k)

     4,974,424        3,858,278  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B2,
2.617%, 9/25/2051 (a)(g)

     7,836,976        5,869,448  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B4,
2.617%, 9/25/2051 (a)(g)

     2,665,104        1,229,202  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B5,
2.617%, 9/25/2051 (a)(g)

     1,244,000        371,824  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B6,
2.617%, 9/25/2051 (a)(g)

     2,486,517        563,885  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ5, Class B4,
2.588%, 10/25/2051 (a)(g)

     3,710,830        2,020,250  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ5, Class B5,
2.588%, 10/25/2051 (a)(g)

     1,194,000        353,838  

 

See accompanying notes which are an integral part of these financial statements.

 

59


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ5, Class B6,
2.588%, 10/25/2051 (a)(g)

   $ 2,977,725      $ 668,356  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ6, Class AX1,
0.025%, 11/25/2051 (a)(e)(g)(h)

     837,574,579        912,119  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ6, Class B4,
2.681%, 11/25/2051 (a)(g)

     5,471,057        3,475,237  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ6, Class B5,

2.681%, 11/25/2051 (a)(g)

     1,038,000        302,829  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ6, Class B6,
2.681%, 11/25/2051 (a)(g)

     4,655,946        934,127  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B1,
2.722%, 1/25/2052 (a)(d)(g)

     8,394,814        6,387,455  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B4,
2.722%, 1/25/2052 (a)(g)

     7,559,230        4,788,863  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B5,
2.722%, 1/25/2052 (a)(g)

     1,788,819        701,342  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B6,
2.722%, 1/25/2052 (a)(g)

     3,248,523        716,572  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ8, Class B4,
2.768%, 1/25/2052 (a)(g)

     3,851,683        2,268,557  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ8, Class B5,
2.768%, 1/25/2052 (a)(g)

     1,237,000        355,698  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ8, Class B6,
2.768%, 1/25/2052 (a)(g)

     3,082,062        632,510  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ9, Class B4,
2.934%, 2/26/2052 (a)(g)

     3,360,838        2,198,123  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ9, Class B5,
2.934%, 2/26/2052 (a)(g)

     1,265,529        651,902  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ9, Class B6,
2.890%, 2/26/2052 (a)(g)

     5,670,272        1,221,586  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1,
1.750%, 12/25/2060 (a)(g)

     5,408,866        4,823,589  

GS Mortgage-Backed Securities Trust, Series 2021-MM1, Class B1,
2.732%, 4/25/2052 (a)(g)(k)

     4,676,122        3,668,310  

GS Mortgage-Backed Securities Trust, Series 2021-MM1, Class B2,
2.732%, 4/25/2052 (a)(g)(k)

     4,680,984        3,556,476  

GS Mortgage-Backed Securities Trust, Series 2021-MM1, Class B3,
2.732%, 4/25/2052 (a)(g)(k)

     2,593,560        1,910,564  

GS Mortgage-Backed Securities Trust, Series 2021-MM1, Class B4, 2.732%, 4/25/2052 (a)(g)

     1,523,773        579,895  

GS Mortgage-Backed Securities Trust, Series 2021-MM1, Class B5, 2.732%, 4/25/2052 (a)(g)

     849,000        222,711  

GS Mortgage-Backed Securities Trust, Series 2021-MM1, Class B6, 2.732%, 4/25/2052 (a)(g)

     2,030,944        378,968  

GS Mortgage-Backed Securities Trust, Series 2021-PJ11, Class A2, 2.500%, 4/25/2052 (a)(g)

     1,341,570        1,063,467  

GS Mortgage-Backed Securities Trust, Series 2021-PJ11, Class B4, 2.861%, 4/25/2052 (a)(g)

     1,300,000        514,025  

GS Mortgage-Backed Securities Trust, Series 2021-PJ11, Class B5, 2.861%, 4/25/2052 (a)(g)

     1,606,000        476,568  

GS Mortgage-Backed Securities Trust, Series 2021-PJ11, Class B6, 2.861%, 4/25/2052 (a)(g)

     2,938,523        626,099  

GS Mortgage-Backed Securities Trust, Series 2021-PJ2, Class B2,
2.731%, 7/25/2051 (a)(g)(k)

     5,397,435        4,020,927  

GS Mortgage-Backed Securities Trust, Series 2021-PJ2, Class B3,
2.731%, 7/25/2051 (a)(g)(k)

     4,015,307        2,897,317  

 

See accompanying notes which are an integral part of these financial statements.

 

60


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

GS Mortgage-Backed Securities Trust, Series 2022-GR1, Class B1, 3.200%, 6/25/2052 (a)(g)

   $ 6,443,243      $ 5,069,009  

GS Mortgage-Backed Securities Trust, Series 2022-GR1, Class B2,
3.200%, 6/25/2052 (a)(d)(g)

     10,502,322        8,012,663  

GS Mortgage-Backed Securities Trust, Series 2022-GR1, Class B4, 3.200%, 6/25/2052 (a)(g)

     3,825,747        2,494,884  

GS Mortgage-Backed Securities Trust, Series 2022-GR1, Class B5, 3.200%, 6/25/2052 (a)(g)

     1,200,599        669,417  

GS Mortgage-Backed Securities Trust, Series 2022-GR1, Class B6, 3.200%, 6/25/2052 (a)(g)

     5,539,576        1,872,698  

GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class A14,
3.000%, 6/25/2052 (a)(d)(g)

     59,557,500        46,334,484  

GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class A15X,
0.222% (SOFR30A + 4.150%), 6/25/2052 (a)(c)(e)(h)

     14,704,634        562,629  

GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class AIOS,
0.220%, 6/25/2052 (a)(g)(h)

     202,984,279        2,167,060  

GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class AX1,
0.123%, 6/25/2052 (a)(g)(h)

     261,753,044        1,433,360  

GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class AX4,
0.125%, 6/25/2052 (a)(g)(h)

     26,478,897        157,682  

GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class B1,
3.248%, 6/25/2052 (a)(d)(g)

     12,182,231        9,630,833  

GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class B2,
3.248%, 6/25/2052 (a)(g)(k)

     4,780,848        3,639,454  

GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class B4,
3.248%, 6/25/2052 (a)(g)

     4,934,255        3,238,934  

GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class B5,
3.248%, 6/25/2052 (a)(g)

     770,917        414,743  

GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class B6,
3.203%, 6/25/2052 (a)(g)

     5,582,181        1,976,315  

GS Mortgage-Backed Securities Trust, Series 2023-CCM1, Class A1, 6.650%, 8/25/2053 (g)

     4,687,831        4,690,071  

GS Mortgage-Backed Securities Trust, Series 2023-CCM1, Class B1, 7.525%, 8/25/2053 (g)

     2,300,000        2,128,015  

GS Mortgage-Backed Securities Trust, Series 2023-PJ3, Class A16,
5.500%, 10/27/2053 (a)(g)

     4,896,460        4,788,645  

GSAA Home Equity Trust, Series 2005-14, Class 2A2,
5.912% (TSFR1M + 0.614%),12/25/2035 (c)

     1,347,235        748,089  

GSAA Home Equity Trust, Series 2005-14, Class 2A3,
6.112% (TSFR1M + 0.814%), 12/25/2035 (c)(k)

     2,424,108        1,909,576  

GSAA Home Equity Trust, Series 2005-15, Class 2A2,
5.912% (TSFR1M + 0.614%), 1/25/2036 (c)

     1,766,280        815,663  

GSAA Home Equity Trust, Series 2006-16, Class A2,
5.752% (TSFR1M + 0.454%), 10/25/2036 (c)

     1,434,542        619,579  

GSAA Home Equity Trust, Series 2006-18, Class AF3A, 5.772%, 11/25/2036 (g)(k)

     6,215,067        1,826,397  

GSAA Home Equity Trust, Series 2006-18, Class AF5A, 6.502%, 11/25/2036 (o)

     2,046,781        796,118  

GSAA Home Equity Trust, Series 2006-20, Class 1A2,
5.772% (TSFR1M + 0.474%), 12/25/2046 (c)(k)

     10,260,765        3,884,480  

GSAA Home Equity Trust, Series 2006-20, Class A4A,
5.872% (TSFR1M + 0.574%), 12/25/2046 (c)

     2,391,929        1,102,950  

GSAA Home Equity Trust, Series 2006-4, Class 4A3, 3.779%, 3/25/2036 (g)(k)

     5,282,827        3,168,840  

GSAA Home Equity Trust, Series 2006-8, Class 2A2,
5.772% (TSFR1M + 0.474%), 5/25/2036 (c)

     3,690,524        777,457  

GSAA Home Equity Trust, Series 2007-1, Class 1A2,
5.752% (TSFR1M + 0.454%), 2/25/2037 (c)

     1,788,644        668,847  

 

See accompanying notes which are an integral part of these financial statements.

 

61


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

GSAA Home Equity Trust, Series 2007-10, Class A2A, 6.500%, 11/25/2037

   $ 2,370,686      $ 1,241,391  

GSAA Home Equity Trust, Series 2007-2, Class AF4A, 6.483%, 3/25/2037 (o)

     2,051,355        875,143  

GSAA Home Equity Trust, Series 2007-2, Class AV1,
5.492% (TSFR1M + 0.194%), 3/25/2037 (c)(e)

     3,354,128        675,350  

GSAA Home Equity Trust, Series 2007-5, Class 1F4A, 6.032%, 5/25/2037 (k)(o)

     4,585,813        2,401,590  

GSAA Home Equity Trust, Series 2007-5, Class 2A1A,
5.652% (TSFR1M + 0.354%), 4/25/2047 (c)(k)

     2,004,054        1,663,678  

GSMSC Resecuritization Trust, Series 2014-5R, Class 3B1,
5.446% (TSFR1M + 0.264%), 2/26/2037 (a)(c)

     2,052,654        1,788,642  

GSMSC Resecuritization Trust, Series 2014-5R, Class 3B2,
5.446% (TSFR1M + 0.264%), 2/26/2037 (a)(c)

     5,707,000        4,698,242  

GSMSC Resecuritization Trust, Series 2014-5R, Class 3B3,
5.446% (TSFR1M + 0.264%), 2/26/2037 (a)(c)(k)

     5,707,000        4,383,278  

GSMSC Resecuritization Trust, Series 2014-5R, Class 3B4,
5.446% (TSFR1M + 0.264%), 2/26/2037 (a)(c)(k)

     5,709,149        3,908,786  

GSR Mortgage Loan Trust, Series 2005-6F, Class 3A1,
5.912% (TSFR1M + 0.614%), 7/25/2035 (c)

     550,913        411,677  

GSR Mortgage Loan Trust, Series 2005-6F, Class 3A6,
5.742% (TSFR1M + 0.444%), 7/25/2035 (c)

     1,812,804        1,478,659  

GSR Mortgage Loan Trust, Series 2005-AR3, Class 5A1, 4.982%, 5/25/2035 (g)

     953,037        846,851  

GSR Mortgage Loan Trust, Series 2005-AR3, Class 8A1, 3.622%, 5/25/2035 (g)

     600,768        509,307  

GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 4.462%, 10/25/2035 (g)

     855,084        592,936  

GSR Mortgage Loan Trust, Series 2006-1F, Class 2A5, 6.000%, 2/25/2036

     886,235        471,917  

GSR Mortgage Loan Trust, Series 2006-2F, Class 3A4, 6.000%, 2/25/2036

     285,308        163,946  

GSR Mortgage Loan Trust, Series 2007-2F, Class 3A3, 6.000%, 3/25/2037

     281,066        158,541  

GSR Mortgage Loan Trust, Series 2007-2F, Class 3A7, 6.000%, 3/25/2037 (k)

     6,108,050        3,658,007  

GSR Mortgage Loan Trust, Series 2007-3F, Class 4A1,
5.712% (TSFR1M + 0.414%), 5/25/2037 (c)(e)

     4,541,203        992,534  

HarborView Mortgage Loan Trust, Series 2004-11, Class X1, 0.000%, 1/19/2035 (e)(g)(h)

     6,945,177        60,993  

HarborView Mortgage Loan Trust, Series 2004-7, Class X1, 0.500%, 11/19/2034 (e)(g)(h)

     1,633,439        13,373  

HarborView Mortgage Loan Trust, Series 2004-9, Class 4A2,
6.141% (TSFR1M + 0.894%), 12/19/2034 (c)(k)

     1,842,385        1,320,778  

HarborView Mortgage Loan Trust, Series 2005-1, Class X, 0.530%, 3/19/2035 (e)(g)(h)

     5,609,744        185,851  

HarborView Mortgage Loan Trust, Series 2005-10, Class X, 0.079%, 11/19/2035 (e)(g)(h)

     28,801,184        259  

HarborView Mortgage Loan Trust, Series 2005-11, Class X, 0.307%, 8/19/2045 (e)(g)(h)

     8,528,611        33,372  

HarborView Mortgage Loan Trust, Series 2005-12, Class X2B, 0.092%, 10/19/2035 (e)(g)(h)

     8,271,763        44,229  

HarborView Mortgage Loan Trust, Series 2005-13, Class X, 0.776%, 2/19/2036 (e)(g)(h)

     13,858,202        167,158  

HarborView Mortgage Loan Trust, Series 2005-15, Class 2A11,
5.909% (TSFR1M + 0.654%), 10/20/2045 (c)(k)

     2,544,649        1,811,958  

HarborView Mortgage Loan Trust, Series 2005-15, Class 3A11,
6.214% (12 Month US Treasury Average + 2.000%), 10/20/2045 (c)(k)

     2,850,444        2,418,428  

HarborView Mortgage Loan Trust, Series 2005-3, Class X2, 0.035%, 6/19/2035 (e)(g)(h)

     40,694,478        253,364  

HarborView Mortgage Loan Trust, Series 2005-8, Class 2A2A,
5.714% (12 Month US Treasury Average + 1.500%), 9/19/2035 (c)

     1,000,719        820,740  

HarborView Mortgage Loan Trust, Series 2005-8, Class 2XA1, 0.035%, 9/19/2035 (e)(g)(h)

     22,309,495        1,138  

HarborView Mortgage Loan Trust, Series 2006-14, Class 2A1A,
5.661% (TSFR1M + 0.414%), 1/25/2047 (c)(k)

     15,077,194        11,297,733  

HarborView Mortgage Loan Trust, Series 2006-4, Class 1A2A,
5.741% (TSFR1M + 0.494%), 5/19/2046 (c)(k)

     4,728,191        2,479,582  

 

See accompanying notes which are an integral part of these financial statements.

 

62


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

HarborView Mortgage Loan Trust, Series 2007-6, Class 1A1A,
5.561% (TSFR1M + 0.314%), 8/19/2037 (c)(k)

   $ 11,926,594      $ 8,643,930  

HarborView Mortgage Loan Trust, Series 2007-6, Class 2A1A,
5.551% (TSFR1M + 0.304%), 8/19/2037 (c)

     1,518,415        1,341,626  

Home RE Ltd., Series 2019-1, Class M2,
8.662% (TSFR1M + 3.364%),5/25/2029 (a)(c)

     20,083,000        20,406,397  

Home RE Ltd., Series 2021-1, Class B1,
9.062% (TSFR1M + 3.764%), 7/25/2033 (a)(c)

     3,083,042        3,057,579  

Home RE Ltd., Series 2021-1, Class M1C,
7.712% (TSFR1M + 15.014%), 7/25/2033 (a)(c)

     9,182,587        9,118,823  

Home RE Ltd., Series 2021-2, Class M2, 8.319% (SOFR30A + 3.250%), 1/25/2034 (a)(c)

     8,250,000        8,042,521  

Home RE Ltd., Series 2022-1, Class B1, 14.069% (SOFR30A + 9.000%), 10/25/2034 (a)(c)

     500,000        542,743  

Home RE Ltd., Series 2022-1, Class M2, 11.819% (SOFR30A + 6.750%), 10/25/2034 (a)(c)

     500,000        526,289  

HomeBanc Mortgage Trust, Series 2005-1, Class A2,
6.032% (TSFR1M + 0.734%), 3/25/2035 (c)

     565,673        393,373  

HSI Asset Loan Obligation Trust, Series 2007-AR1, Class 2A1, 4.182%, 1/25/2037 (g)

     389,957        259,156  

IMPAC Secured Assets Trust, Series 2006-2, Class 1A2C,
5.972% (TSFR1M + 0.674%), 8/25/2036 (c)(k)

     3,940,928        2,500,314  

IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class AX2,
0.543%, 12/25/2034 (e)(g)(h)

     1,944,857        1,622  

IndyMac Index Mortgage Loan Trust, Series 2004-AR14, Class 1A1B,
6.272% (TSFR1M + 0.974%), 1/25/2035 (c)

     926        1,578  

IndyMac Index Mortgage Loan Trust, Series 2004-AR2, Class AX2,
4.308%, 6/25/2034 (e)(g)(h)(k)

     6,465,559        5,535,954  

IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class AX,
0.001%, 7/25/2045 (e)(g)(h)

     13,455,241        26,682  

IndyMac Index Mortgage Loan Trust, Series 2005-AR10, Class AX,
0.897%, 6/25/2035 (e)(g)(h)

     28,326,973        161,011  

IndyMac Index Mortgage Loan Trust, Series 2005-AR12, Class AX2,
0.197%, 7/25/2035 (e)(g)(h)

     43,511,416        76,014  

IndyMac Index Mortgage Loan Trust, Series 2005-AR13, Class 1A1, 3.923%, 8/25/2035 (g)

     2,075,364        902,476  

IndyMac Index Mortgage Loan Trust, Series 2005-AR14, Class 2X,
0.012%, 7/25/2035 (e)(g)(h)

     20,801,928        226,283  

IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1, 3.263%, 10/25/2035 (g)(k)

     4,398,426        3,790,893  

IndyMac Index Mortgage Loan Trust, Series 2005-AR2, Class AX2,
0.648%, 2/25/2035 (e)(g)(h)

     10,647,864        5,430  

IndyMac Index Mortgage Loan Trust, Series 2005-AR4, Class AX2,
0.733%, 3/25/2035 (e)(g)(h)

     13,241,168        210,680  

IndyMac Index Mortgage Loan Trust, Series 2005-AR5, Class 2A1, 3.261%, 5/25/2035 (g)

     983,664        865,568  

IndyMac Index Mortgage Loan Trust, Series 2005-AR6, Class 2A1,
5.892% (TSFR1M + 0.594%), 4/25/2035 (c)(k)

     2,013,857        1,705,125  

IndyMac Index Mortgage Loan Trust, Series 2005-AR7, Class 4A1, 4.031%, 6/25/2035 (g)

     803,351        719,371  

IndyMac Index Mortgage Loan Trust, Series 2005-AR8, Class 2A1A,
5.872% (TSFR1M + 0.574%), 4/25/2035 (c)(k)

     2,198,767        1,946,729  

IndyMac Index Mortgage Loan Trust, Series 2005-AR8, Class AX2,
0.036%, 5/25/2035 (e)(g)(h)

     17,791,921        136,909  

IndyMac Index Mortgage Loan Trust, Series 2006-AR25, Class 5A1,
3.268%, 9/25/2036 (g)(k)

     4,182,946        3,531,829  

IndyMac Index Mortgage Loan Trust, Series 2007-AR1, Class 3A1, 2.828%, 3/25/2037 (g)

     907,682        725,531  

 

See accompanying notes which are an integral part of these financial statements.

 

63


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

IndyMac Index Mortgage Loan Trust, Series 2007-AR13, Class 4A1, 3.351%, 7/25/2037 (g)(k)

   $ 3,361,304      $ 2,497,983  

IndyMac Index Mortgage Loan Trust, Series 2007-AR9, Class 2A1, 3.664%, 4/25/2037 (g)(k)

     3,489,165        2,428,996  

JP Morgan Alternative Loan Trust, Series 2006-A7, Class 1A4,
5.872% (TSFR1M + 0.574%), 12/25/2036 (c)

     1,088,471        944,018  

JP Morgan Alternative Loan Trust, Series 2007-A2, Class 11A1,
5.772% (TSFR1M + 0.474%), 6/25/2037 (c)(k)

     22,256,492        11,731,708  

JP Morgan Chase Bank, Series 2019-CL1, Class M2,
7.112% (TSFR1M + 1.814%), 4/25/2047 (a)(c)

     3,865,580        3,681,644  

JP Morgan Chase Bank, Series 2019-CL1, Class M4,
8.012% (TSFR1M + 2.714%), 4/25/2047 (a)(c)

     1,431,158        1,385,239  

JP Morgan Chase Bank, Series 2020-CL1, Class B,
15.412% (TSFR1M + 10.114%), 10/25/2057 (a)(c)(d)

     6,731,914        6,958,396  

JP Morgan Chase Bank, Series 2020-CL1, Class M2,
7.912% (TSFR1M + 2.614%), 10/25/2057 (a)(c)

     3,443,967        3,469,143  

JP Morgan Chase Bank, Series 2020-CL1, Class M4,
9.762% (TSFR1M + 4.464%), 10/25/2057 (a)(c)

     1,101,169        1,121,073  

JP Morgan Chase Bank, Series 2020-CL1, Class M5,
11.012% (TSFR1M + 5.714%), 10/25/2057 (a)(c)

     2,114,968        2,149,865  

JP Morgan Chase Bank, Series 2021-CL1, Class B,
11.969% (SOFR30A + 6.900%), 3/25/2051 (a)(c)

     1,151,000        1,075,415  

JP Morgan Chase Bank, Series 2021-CL1, Class M5,
8.719% (SOFR30A + 3.650%), 3/25/2051 (a)(c)

     434,116        378,454  

JP Morgan Mortgage Trust, Series 2005-A6, Class 7A1, 4.181%, 8/25/2035 (g)

     4,263        3,216  

JP Morgan Mortgage Trust, Series 2005-A8, Class 3A1, 3.927%, 11/25/2035 (e)(g)

     1,444,635        1,109,265  

JP Morgan Mortgage Trust, Series 2005-ALT1, Class 2A1, 4.310%, 10/25/2035 (g)(k)

     5,551,502        4,468,926  

JP Morgan Mortgage Trust, Series 2005-S3, Class 1A14, 5.500%, 1/25/2036 (e)

     1,155,779        941,057  

JP Morgan Mortgage Trust, Series 2006-A6, Class 1A4L, 3.775%, 10/25/2036 (g)

     1,516,475        1,280,437  

JP Morgan Mortgage Trust, Series 2006-A6, Class 3A2, 4.221%, 10/25/2036 (g)

     413,709        279,364  

JP Morgan Mortgage Trust, Series 2006-A7, Class 2A3, 3.899%, 1/25/2037 (g)

     1,037,038        943,442  

JP Morgan Mortgage Trust, Series 2007-A4, Class 3A3, 4.288%, 6/25/2037 (g)

     1,324,298        988,489  

JP Morgan Mortgage Trust, Series 2018-1, Class B1, 3.611%, 6/25/2048 (a)(g)(k)

     2,588,491        2,269,902  

JP Morgan Mortgage Trust, Series 2019-1, Class B5, 4.493%, 5/25/2049 (a)(g)

     1,691,330        1,396,675  

JP Morgan Mortgage Trust, Series 2019-1, Class B6, 2.608%, 5/25/2049 (a)(g)

     3,527,169        2,332,288  

JP Morgan Mortgage Trust, Series 2019-6, Class B5, 4.242%, 12/25/2049 (a)(g)

     1,859,478        1,155,286  

JP Morgan Mortgage Trust, Series 2019-7, Class AX1, 0.012%, 2/25/2050 (a)(e)(g)(h)

     21,729,615        217  

JP Morgan Mortgage Trust, Series 2019-7, Class B4, 3.996%, 2/25/2050 (a)(g)

     2,914,688        2,017,850  

JP Morgan Mortgage Trust, Series 2019-7, Class B5, 3.996%, 2/25/2050 (a)(g)

     1,199,000        700,065  

JP Morgan Mortgage Trust, Series 2019-7, Class B6, 3.996%, 2/25/2050 (a)(g)

     1,554,174        744,589  

JP Morgan Mortgage Trust, Series 2019-8, Class AX1, 0.171%, 3/25/2050 (a)(e)(g)(h)

     53,019,867        309,053  

JP Morgan Mortgage Trust, Series 2019-8, Class B5, 4.171%, 3/25/2050 (a)(g)

     1,834,999        1,190,454  

JP Morgan Mortgage Trust, Series 2019-8, Class B6, 4.171%, 3/25/2050 (a)(g)

     2,555,114        1,331,641  

JP Morgan Mortgage Trust, Series 2019-9, Class B4, 3.808%, 5/25/2050 (a)(g)

     2,848,150        2,255,307  

JP Morgan Mortgage Trust, Series 2019-9, Class B5, 3.808%, 5/25/2050 (a)(g)

     2,532,102        1,950,334  

JP Morgan Mortgage Trust, Series 2019-9, Class B6, 3.642%, 5/25/2050 (a)(g)

     4,860,294        2,488,670  

JP Morgan Mortgage Trust, Series 2019-LTV1, Class B4, 4.616%, 6/25/2049 (a)(g)

     4,971,902        4,329,770  

JP Morgan Mortgage Trust, Series 2019-LTV1, Class B5, 4.616%, 6/25/2049 (a)(g)

     1,836,404        1,436,751  

JP Morgan Mortgage Trust, Series 2019-LTV1, Class B6, 4.221%, 6/25/2049 (a)(g)

     2,833,219        1,830,713  

JP Morgan Mortgage Trust, Series 2019-LTV3, Class B5, 4.387%, 3/25/2050 (a)(g)

     1,801,244        1,423,833  

JP Morgan Mortgage Trust, Series 2020-1, Class B4, 3.830%, 6/25/2050 (a)(g)

     3,900,647        2,905,678  

 

See accompanying notes which are an integral part of these financial statements.

 

64


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

JP Morgan Mortgage Trust, Series 2020-1, Class B5, 3.830%, 6/25/2050 (a)(g)

   $ 2,162,332      $ 1,475,032  

JP Morgan Mortgage Trust, Series 2020-1, Class B6, 3.511%, 6/25/2050 (a)(g)

     3,536,254        1,901,518  

JP Morgan Mortgage Trust, Series 2020-2, Class B4, 3.825%, 7/25/2050 (a)(g)

     290,442        224,051  

JP Morgan Mortgage Trust, Series 2020-3, Class B4, 3.845%, 8/25/2050 (a)(g)

     208,426        157,144  

JP Morgan Mortgage Trust, Series 2020-3, Class B5, 3.845%, 8/25/2050 (a)(g)

     1,654,436        1,224,978  

JP Morgan Mortgage Trust, Series 2020-5, Class B4, 3.578%, 12/25/2050 (a)(g)

     3,500,961        2,689,596  

JP Morgan Mortgage Trust, Series 2020-5, Class B5, 3.578%, 12/25/2050 (a)(g)

     1,749,547        1,205,307  

JP Morgan Mortgage Trust, Series 2020-5, Class B6, 3.578%, 12/25/2050 (a)(e)(g)

     4,062,829        2,046,626  

JP Morgan Mortgage Trust, Series 2020-9, Class B6, 2.836%, 5/25/2051 (a)(g)

     1,075,745        382,687  

JP Morgan Mortgage Trust, Series 2020-LTV1, Class B5, 4.252%, 6/25/2050 (a)(g)

     2,830,660        2,293,078  

JP Morgan Mortgage Trust, Series 2020-LTV1, Class B6, 4.016%, 6/25/2050 (a)(g)

     9,222,197        6,702,167  

JP Morgan Mortgage Trust, Series 2020-LTV2, Class B4, 4.025%, 11/25/2050 (a)(g)

     7,509,265        5,719,424  

JP Morgan Mortgage Trust, Series 2020-LTV2, Class B5, 4.025%, 11/25/2050 (a)(g)

     3,080,675        2,399,061  

JP Morgan Mortgage Trust, Series 2020-LTV2, Class B6, 4.025%, 11/25/2050 (a)(g)

     8,425,835        5,354,980  

JP Morgan Mortgage Trust, Series 2021-10, Class B5, 2.827%, 12/25/2051 (a)(g)

     2,419,865        1,164,887  

JP Morgan Mortgage Trust, Series 2021-10, Class B6, 2.809%, 12/25/2051 (a)(g)

     3,959,004        951,202  

JP Morgan Mortgage Trust, Series 2021-15, Class B3, 3.129%, 6/25/2052 (a)(d)(g)

     8,871,586        6,513,749  

JP Morgan Mortgage Trust, Series 2021-15, Class B4, 3.129%, 6/25/2052 (a)(g)

     5,161,316        3,406,866  

JP Morgan Mortgage Trust, Series 2021-15, Class B5, 3.129%, 6/25/2052 (a)(g)

     4,127,893        2,271,749  

JP Morgan Mortgage Trust, Series 2021-15, Class B6, 3.054%, 6/25/2052 (a)(g)

     8,181,469        2,206,084  

JP Morgan Mortgage Trust, Series 2021-3, Class B4, 2.967%, 7/25/2051 (a)(g)

     2,076,219        1,362,236  

JP Morgan Mortgage Trust, Series 2021-3, Class B5, 2.967%, 7/25/2051 (a)(e)(g)

     2,500,342        985,900  

JP Morgan Mortgage Trust, Series 2021-3, Class B6, 2.943%, 7/25/2051 (a)(e)(g)

     3,146,493        834,249  

JP Morgan Mortgage Trust, Series 2021-6, Class B4, 2.863%, 10/25/2051 (a)(g)

     3,705,989        2,371,644  

JP Morgan Mortgage Trust, Series 2021-6, Class B5, 2.863%, 10/25/2051 (a)(g)

     2,964,981        1,643,694  

JP Morgan Mortgage Trust, Series 2021-6, Class B6, 2.785%, 10/25/2051 (a)(g)

     4,632,025        1,099,689  

JP Morgan Mortgage Trust, Series 2021-7, Class B4, 2.803%, 11/25/2051 (a)(g)

     1,816,904        1,165,193  

JP Morgan Mortgage Trust, Series 2021-7, Class B5, 2.803%, 11/25/2051 (a)(g)

     1,816,904        718,740  

JP Morgan Mortgage Trust, Series 2021-7, Class B6, 2.801%, 11/25/2051 (a)(g)

     2,822,635        672,775  

JP Morgan Mortgage Trust, Series 2021-8, Class B4, 2.847%, 12/25/2051 (a)(g)

     3,097,744        1,970,577  

JP Morgan Mortgage Trust, Series 2021-8, Class B5, 2.847%, 12/25/2051 (a)(g)

     2,212,267        942,536  

JP Morgan Mortgage Trust, Series 2021-8, Class B6, 2.847%, 12/25/2051 (a)(g)

     3,172,877        660,675  

JP Morgan Mortgage Trust, Series 2021-INV6, Class A5A, 2.500%, 4/25/2052 (a)(g)

     1,228,130        966,523  

JP Morgan Mortgage Trust, Series 2022-1, Class B4, 3.093%, 7/25/2052 (a)(d)(g)

     14,016,751        8,948,995  

JP Morgan Mortgage Trust, Series 2022-1, Class B5, 3.093%, 7/25/2052 (a)(g)

     6,818,265        3,555,903  

JP Morgan Mortgage Trust, Series 2022-1, Class B6, 2.397%, 7/25/2052 (a)(g)

     5,942,917        1,370,740  

JP Morgan Mortgage Trust, Series 2023-6, Class B3, 6.292%, 12/25/2053 (a)(g)

     4,935,000        4,631,767  

JP Morgan Mortgage Trust, Series 2023-6, Class B4, 6.292%, 12/25/2053 (a)(g)

     1,604,000        1,213,276  

JP Morgan Mortgage Trust, Series 2023-6, Class B5, 6.292%, 12/25/2053 (a)(g)

     1,234,000        712,442  

JP Morgan Mortgage Trust, Series 2023-6, Class B6, 6.292%, 12/25/2053 (a)(g)

     986,203        473,069  

Lake Summit Mortgage Trust, 6.680%, 8/28/2049 (g)

     139,786,410        135,251,599  

Lake Summit Mortgage Trust, 8.882%, 8/15/2049 (e)(g)

     3,665,334        3,624,685  

Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1, 1.892%, 10/25/2066 (a)(o)

     5,614,099        5,247,363  

Lehman Mortgage Trust, Series 2007-5, Class PO1, 0.000%, 6/25/2037 (f)

     17,177        11,798  

Lehman Mortgage Trust, Series 2007-9, Class AP, 0.000%, 10/25/2037 (f)

     14,008        9,971  

Lehman XS Trust, Series 2005-3, Class 3A3A, 4.896%, 9/25/2035 (o)

     1,035,079        944,226  

Lehman XS Trust, Series 2006-GP4, Class 3A4,
6.112% (TSFR1M + 0.814%), 8/25/2046 (c)(k)

     3,504,087        1,948,255  

Lehman XS Trust, Series 2007-9, Class WFIO, 0.550%, 4/25/2037 (e)(h)

     17,039,570        51,528  

 

See accompanying notes which are an integral part of these financial statements.

 

65


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Luminent Mortgage Trust, Series 2006-1, Class A1,
6.132% (TSFR1M + 0.834%), 4/25/2036 (c)(k)

   $ 3,693,154      $ 3,226,727  

Luminent Mortgage Trust, Series 2006-1, Class X, 0.023%, 4/25/2036 (e)(g)(h)

     25,946,579        277,369  

Luminent Mortgage Trust, Series 2006-2, Class X, 0.057%, 2/25/2046 (e)(g)(h)

     31,226,153        104,046  

Luminent Mortgage Trust, Series 2006-3, Class 12X, 1.000%, 5/25/2036 (e)(h)

     7,596,767        188,567  

Luminent Mortgage Trust, Series 2006-5, Class X, 0.773%, 7/25/2036 (e)(g)(h)

     27,183,947        40,939  

MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 2A2,
4.006%, 12/25/2034 (g)

     4,821        3,649  

MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 4.037%, 3/25/2035 (g)

     13,747        11,086  

MASTR Adjustable Rate Mortgages Trust, Series 2005-7, Class 2A1, 4.277%, 9/25/2035 (g)

     1,316,014        1,199,507  

MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 4.035%, 1/25/2036 (g)

     599,387        534,113  

MASTR Alternative Loan Trust, Series 2004-6, Class 30PO, 0.000%, 7/25/2034 (f)

     78,147        66,276  

MASTR Alternative Loan Trust, Series 2006-1, Class A2,
6.000% (TSFR1M + 0.814%), 2/25/2036 (c)

     1,934,301        692,312  

MASTR Alternative Loan Trust, Series 2007-1, Class 15PO, 0.000%, 10/1/2033 (e)(f)

     2,913        862  

MASTR Alternative Loan Trust, Series 2007-HF1, Class 4A1, 7.000%, 10/25/2047 (k)

     9,655,769        4,901,336  

MASTR Asset Securitization Trust, Series 2005-2, Class PO, 0.000%, 11/25/2035 (f)

     10,929        7,191  

MASTR Asset Securitization Trust, Series 2007-1, Class AP, 0.000%, 11/25/2037 (e)(f)

     403        306  

MASTR Resecuritization Trust, Series 2008-4, Class A1, 6.000%, 6/27/2036 (a)(g)

     1,384,014        1,179,603  

Mello Mortgage Capital Acceptance, Series 2018-MTG1, Class B4, 3.674%, 3/25/2048 (a)(g)

     1,799,000        1,388,357  

Mello Mortgage Capital Acceptance, Series 2018-MTG1, Class B5, 3.674%, 3/25/2048 (a)(g)

     1,499,000        1,071,461  

Mello Mortgage Capital Acceptance, Series 2021-INV4, Class B4, 3.205%, 12/25/2051 (a)(g)

     3,061,891        2,006,439  

Mello Mortgage Capital Acceptance, Series 2021-INV4, Class B5, 3.205%, 12/25/2051 (a)(g)

     1,190,199        645,723  

Mello Mortgage Capital Acceptance, Series 2021-INV4, Class B6,
2.985%, 12/25/2051 (a)(e)(g)

     3,918,247        1,337,948  

Mello Mortgage Capital Acceptance, Series 2021-MTG1, Class B4, 2.643%, 4/25/2051 (a)(g)

     1,083,749        706,106  

Mello Mortgage Capital Acceptance, Series 2021-MTG1, Class B5, 2.643%, 4/25/2051 (a)(g)

     541,403        228,620  

Mello Mortgage Capital Acceptance, Series 2021-MTG1, Class B6, 2.643%, 4/25/2051 (a)(g)

     1,514,186        338,171  

Mello Mortgage Capital Acceptance, Series 2021-MTG2, Class B4, 2.665%, 6/25/2051 (a)(g)

     1,656,252        988,567  

Mello Mortgage Capital Acceptance, Series 2021-MTG2, Class B5, 2.665%, 6/25/2051 (a)(g)

     349,000        94,137  

Mello Mortgage Capital Acceptance, Series 2021-MTG2, Class B6, 2.665%, 6/25/2051 (a)(g)

     1,209,493        238,889  

Mello Mortgage Capital Acceptance, Series 2021-MTG3, Class B5, 2.902%, 7/1/2051 (a)(g)

     488,000        140,579  

Mello Mortgage Capital Acceptance, Series 2021-MTG3, Class B6, 2.902%, 7/1/2051 (a)(g)

     1,137,709        251,409  

Mello Warehouse Securitization Trust, Series 2021-3, Class F,
10.562% (TSFR1M + 5.264%), 11/25/2055 (a)(c)(e)

     18,750,000        16,711,313  

Merrill Lynch Mortgage Backed Securities Trust, Series 2007-1, Class 1A1,
3.700%, 4/25/2037 (g)

     1,527,677        1,325,107  

Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A1,
5.872% (TSFR1M + 0.574%), 4/25/2029 (c)

     595,218        539,799  

Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 3A1, 4.082%, 5/25/2036 (g)

     446,986        357,817  

Merrill Lynch Mortgage Investors Trust, Series 2006-AF2, Class AV1,
5.732% (TSFR1M + 0.434%), 9/25/2037 (c)(k)

     4,357,802        2,587,611  

MFA Trust, Series 2021-AEI2, Class B1, 3.285%, 10/25/2051 (a)(g)(k)

     3,180,034        2,534,627  

MFA Trust, Series 2021-AEI2, Class B2, 3.285%, 10/25/2051 (a)(g)(k)

     5,833,450        4,477,966  

MFA Trust, Series 2021-AEI2, Class B4, 3.285%, 10/25/2051 (a)(g)

     2,811,208        1,866,406  

MFA Trust, Series 2021-AEI2, Class B5, 3.285%, 10/25/2051 (a)(g)

     2,029,026        1,112,945  

MFA Trust, Series 2021-AEI2, Class B6, 3.285%, 10/25/2051 (a)(g)

     4,060,956        1,333,797  

MFA Trust, Series 2021-RPL1, Class A2, 2.072%, 7/25/2060 (a)(g)

     4,106,000        3,274,638  

MFA Trust, Series 2021-RPL1, Class M2, 2.855%, 7/25/2060 (a)(g)

     4,500,000        3,368,948  

 

See accompanying notes which are an integral part of these financial statements.

 

66


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Morgan Stanley ABS Capital Inc. Trust, Series 2007-HE6, Class A1,
5.472% (TSFR1M + 0.174%), 5/25/2037 (c)(k)

   $ 4,645,261      $ 4,150,940  

Morgan Stanley ABS Capital Inc. Trust, Series 2007-HE6, Class A3,
5.592% (TSFR1M + 0.294%), 5/25/2037 (c)(k)

     13,491,559        11,965,947  

Morgan Stanley ABS Capital Inc. Trust, Series 2007-HE6, Class A4,
5.662% (TSFR1M + 0.364%), 5/25/2037 (c)(k)

     1,942,785        1,698,920  

Morgan Stanley Mortgage Loan Trust, Series 2005-1, Class 4A1,
5.712% (TSFR1M + 0.414%), 3/25/2035 (c)

     711,174        594,282  

Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 1A, 3.938%, 7/25/2035 (g)(k)

     7,337,292        4,222,347  

Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 3A, 4.500%, 7/25/2035 (g)

     651,041        565,923  

Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 5A1,
3.729%, 11/25/2035 (e)(g)

     2,065,825        1,177,272  

Morgan Stanley Mortgage Loan Trust, Series 2006-11, Class 1A3, 6.424%, 8/25/2036 (e)(o)

     3,290,757        1,120,328  

Morgan Stanley Mortgage Loan Trust, Series 2006-11, Class 1A6, 6.231%, 8/25/2036 (e)(o)

     2,640,758        901,991  

Morgan Stanley Mortgage Loan Trust, Series 2006-11, Class 2A3, 6.000%, 8/25/2036 (e)

     2,312,130        1,114,039  

Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 1AX,
0.029%, 3/25/2036 (e)(g)(h)

     14,527,384        1,320,597  

Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A1, 4.169%, 3/25/2036 (g)(k)

     5,185,535        3,705,433  

Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3, 4.169%, 3/25/2036 (g)(k)

     2,635,688        1,874,457  

Morgan Stanley Mortgage Loan Trust, Series 2006-5AR, Class AX,
0.406%, 4/25/2036 (e)(g)(h)

     15,825,003        355,983  

Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 4A2,
6.000% (TSFR1M + 0.864%), 6/25/2036 (c)(e)

     3,254,136        1,044,073  

Morgan Stanley Mortgage Loan Trust, Series 2006-9AR, Class A1,
5.752% (TSFR1M + 0.454%), 8/25/2036 (c)

     1,920,518        626,532  

Morgan Stanley Mortgage Loan Trust, Series 2007-12, Class 3A22, 6.000%, 8/25/2037

     2,562,618        1,287,085  

Morgan Stanley Mortgage Loan Trust, Series 2007-6XS, Class 2A5S,
6.500%, 2/25/2047 (e)(o)

     2,511,010        991,698  

Morgan Stanley Resecuritization Trust, Series 2015-R4, Class CB3, 4.388%, 8/26/2047 (a)(g)

     1,010,309        679,750  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-1, Class B4,
2.949%, 3/25/2051 (a)(g)

     799,154        354,942  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-1, Class B5,
2.949%, 3/25/2051 (a)(g)

     988,000        312,292  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-1, Class B6,
2.949%, 3/25/2051 (a)(g)

     1,124,310        274,404  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-3, Class B4,
2.823%, 6/25/2051 (a)(g)

     1,093,000        423,512  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-3, Class B5,
2.823%, 6/25/2051 (a)(g)

     781,000        233,507  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-3, Class B6,
2.793%, 6/25/2051 (a)(g)

     938,058        208,406  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B1,
2.932%, 7/25/2051 (a)(g)

     7,447,708        5,737,119  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B2,
2.932%, 7/25/2051 (a)(g)(k)

     3,528,560        2,614,910  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B4,
2.932%, 7/25/2051 (a)(g)

     1,240,000        490,765  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B5,
2.932%, 7/25/2051 (a)(g)

     690,000        199,879  

 

See accompanying notes which are an integral part of these financial statements.

 

67


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B6,
2.930%, 7/25/2051 (a)(g)

   $ 827,000      $ 173,926  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-5, Class B2,
2.997%, 8/25/2051 (a)(g)(k)

     6,170,712        4,613,952  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-5, Class B4,
2.997%, 8/25/2051 (a)(g)

     2,057,222        994,895  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-5, Class B5,
2.987%, 8/25/2051 (a)(g)

     956,000        286,734  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-5, Class B6,
2.987%, 8/25/2051 (a)(g)

     1,196,665        255,596  

MortgageIT Mortgage Loan Trust, Series 2006-1, Class 1X, 0.009%, 4/25/2036 (e)(g)(h)

     8,166,033        83,530  

New Residential Mortgage Loan Trust, Series 2019-6A, Class B5IA,
1.750%, 9/25/2059 (a)(e)(g)(h)

     14,684,907        1,252,050  

New Residential Mortgage Loan Trust, Series 2019-6A, Class B6,
4.415%, 9/25/2059 (a)(d)(g)

     20,419,848        11,004,031  

New Residential Mortgage Loan Trust, Series 2022-SFR2, Class E2, 4.000%, 9/4/2039 (a)

     2,554,000        2,071,179  

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AP1, Class A3,
5.654%, 1/25/2036 (e)(g)

     3,376,654        1,303,959  

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AR4, Class A3,
5.752% (TSFR1M + 0.454%), 12/25/2036 (c)

     107,859        71,957  

Nomura Resecuritization Trust, Series 2014-3R, Class 4A15,
1.986% (TSFR1M + 0.274%), 3/26/2037 (a)(c)(k)

     3,994,743        2,967,479  

Nomura Resecuritization Trust, Series 2015-2R, Class 3A1,
4.789% (TSFR1M + 0.264%), 11/26/2036 (a)(c)

     633,190        619,351  

Oaktown Re Ltd., Series 2019-1A, Class B1B, 9.533% (SOFR30A + 4.464%), 7/25/2029 (a)(c)

     1,620,000        1,640,691  

OBX Trust, Series 2021-INV3, Class A3, 2.500%, 10/25/2051 (a)(g)

     1,298,465        1,028,653  

Oceanview Mortgage Trust, Series 2021-5, Class B4, 2.975%, 10/25/2051 (a)(g)

     1,715,000        701,687  

Oceanview Mortgage Trust, Series 2021-5, Class B5, 2.975%, 10/25/2051 (a)(g)

     734,000        224,095  

PHH Alternative Mortgage Trust, Series 2007-1, Class 21PO, 0.000%, 2/25/2037 (f)

     12,666        9,019  

PHH Alternative Mortgage Trust, Series 2007-2, Class 1A3,
6.072% (TSFR1M + 0.774%), 5/25/2037 (c)

     778,599        576,650  

PHH Alternative Mortgage Trust, Series 2007-2, Class 2A2, 6.000%, 5/25/2037

     1,194,099        975,313  

PRET LLC, Series 2022-NPL3, Class A2, 7.870%, 6/25/2052 (a)(o)

     1,000,000        960,755  

Pretium Mortgage Credit Partners LLC, Series 2021-NPL2, Class A1,
1.992%, 6/27/2060 (a)(o)

     1,129,151        1,042,994  

Pretium Mortgage Credit Partners LLC, Series 2021-NPL4, Class A1,
2.363%, 10/27/2060 (a)(o)

     2,431,635        2,274,194  

Pretium Mortgage Credit Partners LLC, Series 2021-NPL6, Class A1, 2.487%, 7/25/2051 (a)(o)

     4,627,219        4,364,444  

PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026 (a)(g)

     596,431        563,512  

PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026 (a)(o)

     523,966        489,362  

PRPM LLC, Series 2021-7, Class A1, 1.867%, 8/25/2026 (a)(o)

     2,520,855        2,318,693  

PRPM LLC, Series 2021-RPL1, Class M1, 2.680%, 7/25/2051 (a)(g)

     6,167,000        4,853,133  

PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027 (a)(o)

     3,611,989        3,567,583  

Radnor RE Ltd., Series 2021-1, Class M2, 8.219% (SOFR30A + 3.150%), 12/27/2033 (a)(c)

     3,250,000        3,192,335  

Radnor RE Ltd., Series 2021-2, Class M2, 10.069% (SOFR30A + 5.000%), 11/25/2031 (a)(c)

     3,214,672        3,297,694  

Radnor RE Ltd., Series 2022-1, Class M1B, 11.819% (SOFR30A + 6.750%), 9/25/2032 (a)(c)

     300,000        326,980  

Radnor RE Ltd., Series 2023-1, Class M1A, 7.767% (SOFR30A + 2.700%), 7/25/2033 (a)(b)(c)

     4,500,000        4,525,335  

Radnor RE Ltd., Series 2023-1, Class M2, 10.917% (SOFR30A + 5.850%), 7/25/2033 (a)(b)(c)

     1,000,000        1,014,391  

Rate Mortgage Trust, Series 2021-HB1, Class B4, 2.705%, 12/25/2051 (a)(g)

     2,573,051        1,457,903  

 

See accompanying notes which are an integral part of these financial statements.

 

68


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Rate Mortgage Trust, Series 2021-HB1, Class B5, 2.705%, 12/25/2051 (a)(g)

   $ 575,000      $ 156,166  

Rate Mortgage Trust, Series 2021-HB1, Class B6, 2.705%, 12/25/2051 (a)(g)

     1,340,138        265,113  

Rate Mortgage Trust, Series 2021-J1, Class B4, 2.717%, 7/25/2051 (a)(g)

     1,291,000        483,214  

Rate Mortgage Trust, Series 2021-J1, Class B5, 2.717%, 7/25/2051 (a)(g)

     922,000        252,861  

Rate Mortgage Trust, Series 2021-J1, Class B6, 2.717%, 7/25/2051 (a)(g)

     737,919        145,273  

Rate Mortgage Trust, Series 2022-J1, Class B4, 2.748%, 1/25/2052 (a)(g)

     3,650,812        1,748,458  

RBSSP Resecuritization Trust, Series 2009-12, Class 19A2, 3.803%, 12/25/2035 (a)(g)(k)

     7,445,628        6,572,732  

RBSSP Resecuritization Trust, Series 2009-3, Class 3A3, 5.750%, 9/26/2035 (a)(g)

     1,511,932        1,327,221  

Residential Accredit Loans, Inc. Trust, Series 2005-QA13, Class 2A1,
4.852%, 12/25/2035 (g)(k)

     3,619,988        3,233,185  

Residential Accredit Loans, Inc. Trust, Series 2005-QA8, Class CB21, 4.920%, 7/25/2035 (g)

     458,482        327,183  

Residential Accredit Loans, Inc. Trust, Series 2005-QO5, Class X,
1.743%, 1/25/2046 (e)(g)(h)

     22,856,338        1,432,978  

Residential Accredit Loans, Inc. Trust, Series 2005-QS10, Class 3A3, 5.500%, 8/25/2035

     755,053        611,406  

Residential Accredit Loans, Inc. Trust, Series 2005-QS13, Class 1A6, 5.500%, 9/25/2035

     429,299        370,162  

Residential Accredit Loans, Inc. Trust, Series 2005-QS13, Class AP, 0.000%, 9/25/2035 (f)

     209,680        106,295  

Residential Accredit Loans, Inc. Trust, Series 2005-QS14, Class 2A1, 6.000%, 9/25/2035 (k)

     6,139,636        2,672,338  

Residential Accredit Loans, Inc. Trust, Series 2005-QS15, Class 3A, 6.000%, 10/25/2035 (k)

     5,061,870        4,272,491  

Residential Accredit Loans, Inc. Trust, Series 2005-QS16, Class A1,
5.500% (TSFR1M + 0.814%), 11/25/2035 (c)

     372,675        229,050  

Residential Accredit Loans, Inc. Trust, Series 2005-QS17, Class A1, 6.000%, 12/25/2035 (k)

     1,887,729        1,722,367  

Residential Accredit Loans, Inc. Trust, Series 2005-QS17, Class AP, 0.000%, 12/25/2035 (f)

     290,975        168,268  

Residential Accredit Loans, Inc. Trust, Series 2005-QS7, Class A1, 5.500%, 6/25/2035

     1,243,365        1,096,997  

Residential Accredit Loans, Inc. Trust, Series 2006-QA5, Class 1A1,
5.772% (TSFR1M + 0.474%), 7/25/2036 (c)

     112,141        55,722  

Residential Accredit Loans, Inc. Trust, Series 2006-QA5, Class 1A2,
5.772% (TSFR1M + 0.474%), 7/25/2036 (c)(k)

     6,063,453        2,681,938  

Residential Accredit Loans, Inc. Trust, Series 2006-QA5, Class 1A3,
5.852% (TSFR1M + 0.554%), 7/25/2036 (c)

     585,138        256,917  

Residential Accredit Loans, Inc. Trust, Series 2006-QA7, Class 2A1,
5.782% (TSFR1M + 0.484%), 8/25/2036 (c)(k)

     5,057,356        3,981,080  

Residential Accredit Loans, Inc. Trust, Series 2006-QA8, Class A2,
5.772% (TSFR1M + 0.474%), 9/25/2036 (c)

     367,028        300,184  

Residential Accredit Loans, Inc. Trust, Series 2006-QA9, Class A1,
5.772% (TSFR1M + 0.474%), 11/25/2036 (c)

     1,514,733        807,763  

Residential Accredit Loans, Inc. Trust, Series 2006-QO7, Class X3, 1.500%, 9/25/2046 (e)(h)

     14,156,764        425,354  

Residential Accredit Loans, Inc. Trust, Series 2006-QS10, Class A10, 6.000%, 8/25/2036

     185,560        151,102  

Residential Accredit Loans, Inc. Trust, Series 2006-QS10, Class A15, 6.000%, 8/25/2036

     242,214        197,690  

Residential Accredit Loans, Inc. Trust, Series 2006-QS10, Class A4, 5.750%, 8/25/2036

     1,294,390        1,112,912  

Residential Accredit Loans, Inc. Trust, Series 2006-QS11, Class 1A1, 6.500%, 8/25/2036 (k)

     3,237,822        2,882,454  

Residential Accredit Loans, Inc. Trust, Series 2006-QS11, Class 1A2, 6.000%, 8/25/2036 (k)

     2,282,602        2,054,422  

Residential Accredit Loans, Inc. Trust, Series 2006-QS11, Class 1A8, 6.000%, 8/25/2036 (k)

     2,274,156        1,987,633  

Residential Accredit Loans, Inc. Trust, Series 2006-QS12, Class 2A18, 5.750%, 9/25/2036

     280,447        231,946  

Residential Accredit Loans, Inc. Trust, Series 2006-QS12, Class 2A4, 6.000%, 9/25/2036 (k)

     2,832,442        2,186,432  

Residential Accredit Loans, Inc. Trust, Series 2006-QS12, Class 2A7,
6.062% (TSFR1M + 0.764%), 9/25/2036 (c)(k)

     2,747,191        1,803,701  

Residential Accredit Loans, Inc. Trust, Series 2006-QS12, Class AP, 0.000%, 9/25/2036 (f)

     79,371        46,720  

Residential Accredit Loans, Inc. Trust, Series 2006-QS14, Class A1, 6.500%, 11/25/2036

     790,164        658,479  

Residential Accredit Loans, Inc. Trust, Series 2006-QS14, Class A13, 6.500%, 11/25/2036

     803,818        668,807  

 

See accompanying notes which are an integral part of these financial statements.

 

69


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Residential Accredit Loans, Inc. Trust, Series 2006-QS14, Class A15,
5.712% (TSFR1M + 0.414%), 11/25/2036 (c)

     $ 1,531,216        $ 817,605  

Residential Accredit Loans, Inc. Trust, Series 2006-QS14, Class A25,
6.500%, 11/25/2036 (k)

     5,224,566        4,603,689  

Residential Accredit Loans, Inc. Trust, Series 2006-QS15, Class A5, 6.500%, 10/25/2036

     1,045,081        945,010  

Residential Accredit Loans, Inc. Trust, Series 2006-QS15, Class AP, 0.000%, 10/25/2036 (f)

     119,279        58,110  

Residential Accredit Loans, Inc. Trust, Series 2006-QS16, Class A3,
6.000% (TSFR1M + 0.664%), 11/25/2036 (c)(k)

     6,817,815        5,157,207  

Residential Accredit Loans, Inc. Trust, Series 2006-QS16, Class AP,
0.000%, 11/25/2036 (f)

     103,680        48,374  

Residential Accredit Loans, Inc. Trust, Series 2006-QS17, Class A6, 6.250%, 12/25/2036 (k)

     4,325,354        3,737,759  

Residential Accredit Loans, Inc. Trust, Series 2006-QS18, Class 2A1,
5.862% (TSFR1M + 0.564%), 12/25/2036 (c)(k)

     4,726,317        3,172,479  

Residential Accredit Loans, Inc. Trust, Series 2006-QS2, Class 1A5,
6.412% (TSFR1M + 1.114%), 2/25/2036 (c)

     661,081        395,835  

Residential Accredit Loans, Inc. Trust, Series 2006-QS3, Class 1A1,
5.500% (TSFR1M + 0.814%), 3/25/2036 (c)(k)

     2,649,218        1,622,717  

Residential Accredit Loans, Inc. Trust, Series 2006-QS3, Class 1A8,
5.812% (TSFR1M + 0.514%), 3/25/2036 (c)

     1,429,289        845,927  

Residential Accredit Loans, Inc. Trust, Series 2006-QS3, Class 2AP, 0.000%, 3/25/2036 (f)

     508,957        268,507  

Residential Accredit Loans, Inc. Trust, Series 2006-QS4, Class A2, 6.000%, 4/25/2036

     1,166,494        908,242  

Residential Accredit Loans, Inc. Trust, Series 2006-QS5, Class A1, 6.000%, 5/25/2036

     830,011        699,095  

Residential Accredit Loans, Inc. Trust, Series 2006-QS5, Class A9, 6.000%, 5/25/2036

     1,185,862        1,019,617  

Residential Accredit Loans, Inc. Trust, Series 2006-QS5, Class AP, 0.000%, 5/25/2036 (f)

     30,558        17,667  

Residential Accredit Loans, Inc. Trust, Series 2006-QS9, Class 1A10, 6.500%, 7/25/2036

     1,410,521        1,238,056  

Residential Accredit Loans, Inc. Trust, Series 2006-QS9, Class 1A8,
6.062% (TSFR1M + 0.764%), 7/25/2036 (c)

     980,760        696,030  

Residential Accredit Loans, Inc. Trust, Series 2006-QS9, Class 1AP, 0.000%, 7/25/2036 (f)

     36,356        20,920  

Residential Accredit Loans, Inc. Trust, Series 2006-QS9, Class 2AP,
0.000%, 7/25/2036 (e)(f)

     14,951        3,924  

Residential Accredit Loans, Inc. Trust, Series 2007-QA2, Class A3,
5.712% (TSFR1M + 0.414%), 2/25/2037 (c)(k)

     5,284,422        4,404,006  

Residential Accredit Loans, Inc. Trust, Series 2007-QS1, Class 1AP, 0.000%, 1/25/2037 (f)

     26,656        13,775  

Residential Accredit Loans, Inc. Trust, Series 2007-QS1, Class 2A10, 6.000%, 1/25/2037

     1,518,655        1,321,017  

Residential Accredit Loans, Inc. Trust, Series 2007-QS1, Class 2AP, 0.000%, 1/25/2037 (f)

     794,238        400,250  

Residential Accredit Loans, Inc. Trust, Series 2007-QS10, Class A1, 6.500%, 9/25/2037 (k)

     6,366,442        5,574,393  

Residential Accredit Loans, Inc. Trust, Series 2007-QS3, Class A2, 6.000%, 2/25/2037 (k)

     10,108,598        8,031,473  

Residential Accredit Loans, Inc. Trust, Series 2007-QS3, Class AP, 0.000%, 2/25/2037 (f)

     400,705        183,482  

Residential Accredit Loans, Inc. Trust, Series 2007-QS4, Class 4A3,
0.000%, 3/25/2037 (e)(f)

     541,694        22,485  

Residential Accredit Loans, Inc. Trust, Series 2007-QS5, Class A1, 5.500%, 3/25/2037

     172,905        124,785  

Residential Accredit Loans, Inc. Trust, Series 2007-QS5, Class A7, 0.000%, 3/25/2037 (f)

     169,106        82,441  

Residential Accredit Loans, Inc. Trust, Series 2007-QS5, Class AP, 0.000%, 3/25/2037 (f)

     185,759        89,400  

Residential Accredit Loans, Inc. Trust, Series 2007-QS6, Class A1,
5.742% (TSFR1M + 0.444%), 4/25/2037 (c)(k)

     3,011,667        1,834,352  

Residential Accredit Loans, Inc. Trust, Series 2007-QS6, Class AP, 0.000%, 4/25/2037 (f)

     339,777        155,907  

Residential Accredit Loans, Inc. Trust, Series 2007-QS7, Class 1A7,
5.962% (TSFR1M + 0.664%), 5/25/2037 (c)

     497,559        328,992  

Residential Accredit Loans, Inc. Trust, Series 2007-QS7, Class 2A1, 6.750%, 6/25/2037 (k)

     29,475,372        12,147,213  

 

See accompanying notes which are an integral part of these financial statements.

 

70


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Residential Accredit Loans, Inc. Trust, Series 2007-QS8, Class A13, 6.000%, 6/25/2037

     $ 1,724,135        $ 1,541,357  

Residential Accredit Loans, Inc. Trust, Series 2007-QS9, Class AP, 0.000%, 7/25/2037 (f)

     883,722        376,577  

Residential Asset Securitization Trust, Series 2005-A10, Class A3, 5.500%, 9/25/2035 (k)

     4,053,722        2,333,837  

Residential Asset Securitization Trust, Series 2005-A10, Class A4, 5.500%, 9/25/2035

     1,103,882        807,878  

Residential Asset Securitization Trust, Series 2005-A11, Class 1A1,
5.500% (TSFR1M + 0.564%), 10/25/2035 (c)

     1,768,079        942,445  

Residential Asset Securitization Trust, Series 2005-A11, Class 1A3, 5.500%, 10/25/2035

     1,591,997        1,342,746  

Residential Asset Securitization Trust, Series 2005-A11, Class PO, 0.000%, 10/25/2035 (f)

     531,149        307,164  

Residential Asset Securitization Trust, Series 2005-A14, Class A3, 5.500%, 12/25/2035

     612,607        434,831  

Residential Asset Securitization Trust, Series 2005-A4, Class A1,
5.500% (TSFR1M + 0.564%), 4/25/2035 (c)

     2,768,759        1,398,387  

Residential Asset Securitization Trust, Series 2006-A14C, Class 2A4,
6.000%, 12/25/2036 (e)

     3,069,394        1,095,639  

Residential Asset Securitization Trust, Series 2006-A2, Class A5,
6.000% (TSFR1M + 0.814%), 1/25/2046 (c)

     1,852,515        427,764  

Residential Asset Securitization Trust, Series 2006-A8, Class 2A1, 6.500%, 8/25/2036

     1,617,326        515,363  

Residential Asset Securitization Trust, Series 2006-A8, Class 2A2,
6.750%, 8/25/2036 (e)(k)

     10,293,480        3,403,508  

Residential Asset Securitization Trust, Series 2006-A8, Class 2A3,
6.000%, 8/25/2036 (e)(k)

     6,224,034        1,879,216  

Residential Asset Securitization Trust, Series 2006-A8, Class 2A4, 6.500%, 8/25/2036 (k)

     10,223,636        3,266,391  

Residential Asset Securitization Trust, Series 2007-A6, Class 1A4, 6.000%, 6/25/2037 (k)

     2,156,327        1,692,329  

Residential Funding Mortgage Securities Trust, Series 2005-S7, Class AP,
0.000%, 11/25/2035 (f)

     22,418        14,798  

Residential Funding Mortgage Securities Trust, Series 2006-S10, Class 1A3,
6.000%, 10/25/2036

     413,509        358,352  

Residential Funding Mortgage Securities Trust, Series 2006-S10, Class 1AP,
0.000%, 10/25/2036 (f)

     12,004        6,689  

Residential Funding Mortgage Securities Trust, Series 2006-S4, Class AP,
0.000%, 4/25/2036 (f)

     113,096        80,414  

Residential Funding Mortgage Securities Trust, Series 2006-S5, Class A12,
6.000%, 6/25/2036

     483,096        435,244  

Residential Funding Mortgage Securities Trust, Series 2006-S5, Class A4,
0.000%, 6/25/2036 (f)

     32,422        18,608  

Residential Funding Mortgage Securities Trust, Series 2006-S5, Class A9,
6.000%, 6/25/2036

     627,046        559,259  

Residential Funding Mortgage Securities Trust, Series 2006-S7, Class A7,
6.250%, 8/25/2036

     54,792        46,996  

Residential Funding Mortgage Securities Trust, Series 2006-S9, Class A4,
5.750%, 9/25/2036 (k)

     4,036,425        3,594,178  

Residential Funding Mortgage Securities Trust, Series 2006-SA1, Class 1A1,
4.637%, 2/25/2036 (g)

     704,430        504,021  

Residential Funding Mortgage Securities Trust, Series 2007-S1, Class A7,
6.000%, 1/25/2037

     1,267,364        1,135,355  

Residential Funding Mortgage Securities Trust, Series 2007-S5, Class AP,
0.000%, 5/25/2037 (f)

     188,771        119,190  

Rocket Mortgage Trust, Series 2021-2, Class B4, 2.563%, 6/25/2051 (a)(g)

     2,474,764        1,379,297  

Rocket Mortgage Trust, Series 2021-2, Class B5, 2.563%, 6/25/2051 (a)(g)

     1,566,000        419,405  

Rocket Mortgage Trust, Series 2021-2, Class B6, 2.563%, 6/25/2051 (a)(g)

     870,254        162,764  

 

See accompanying notes which are an integral part of these financial statements.

 

71


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Rocket Mortgage Trust, Series 2021-4, Class B4, 3.007%, 9/25/2051 (a)(d)(g)

     $ 9,272,357        $ 6,053,820  

Rocket Mortgage Trust, Series 2021-4, Class B5, 3.007%, 9/25/2051 (a)(g)

     7,949,274        3,716,603  

Rocket Mortgage Trust, Series 2021-4, Class B6, 3.007%, 9/25/2051 (a)(g)

     6,252,521        1,367,958  

Rocket Mortgage Trust, Series 2021-6, Class B5, 2.794%, 12/25/2051 (a)(g)

     1,948,000        567,974  

Rocket Mortgage Trust, Series 2021-6, Class B6, 2.794%, 12/25/2051 (a)(g)

     1,947,847        402,873  

Rocket Mortgage Trust, Series 2022-1, Class B3, 2.757%, 1/25/2052 (a)(d)(g)

     9,279,922        6,475,316  

Rocket Mortgage Trust, Series 2022-1, Class B4, 2.757%, 1/25/2052 (a)(g)

     5,197,193        3,257,055  

Rocket Mortgage Trust, Series 2022-1, Class B5, 2.757%, 1/25/2052 (a)(g)

     2,245,000        697,016  

Rocket Mortgage Trust, Series 2022-1, Class B6, 2.757%, 1/25/2052 (a)(g)

     2,093,380        440,514  

Saluda Grade Alternative Mortgage Trust, Series 2020-SEQ1, Class A1,
3.321%, 5/25/2050 (a)(g)

     4,983,275        4,617,727  

Saluda Grade Alternative Mortgage Trust, Series 2020-SEQ1, Class C,
3.111%, 5/25/2050 (a)(e)(g)(h)

     37,978,108        886,865  

Saluda Grade Alternative Mortgage Trust, Series 2021-FIG2, Class C,
0.000%, 10/25/2051 (a)(g)(h)

     149,483        546,496  

Saluda Grade Alternative Mortgage Trust, Series 2021-FIG2, Class M1,
4.250%, 10/25/2051 (a)(g)

     1,449,524        1,681,037  

Saluda Grade Alternative Mortgage Trust, Series 2021-FIG2, Class M2,
6.000%, 10/25/2051 (a)(g)

     1,159,619        1,345,710  

Saluda Grade Alternative Mortgage Trust, Series 2021-MF1, Class A1,
2.805%, 11/25/2029 (a)(g)

     14,000,000        12,682,824  

Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class B1,
5.500%, 5/25/2055 (a)(g)

     3,153,250        2,882,301  

Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class B2,
6.000%, 5/25/2055 (a)(g)

     2,011,000        1,824,011  

Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class B3,
7.769%, 5/25/2055 (a)(g)

     2,309,200        2,047,274  

Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class CERT,
5.530%, 5/25/2055 (a)

     38,061,600        34,990,295  

Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class M1,
5.000%, 5/25/2055 (a)(g)

     5,213,750        4,932,244  

Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class XS,
3.325%, 5/25/2055 (a)(e)(g)(h)

     137,375,566        6,979,503  

Saluda Grade Alternative Mortgage Trust, Series 2023-SEQ3, Class A2,
6.889%, 6/1/2053 (a)(g)

     4,250,000        4,196,212  

Sequoia Mortgage Trust, Series 2004-4, Class A,
5.931% (6 Month LIBOR USD + 0.520%), 5/20/2034 (c)

     575,282        466,216  

Sequoia Mortgage Trust, Series 2004-7, Class A3B,
6.280% (6 Month LIBOR USD + 1.100%), 8/20/2034 (c)

     26,667        18,737  

Sequoia Mortgage Trust, Series 2005-2, Class XA, 0.022%, 3/20/2035 (e)(g)(h)

     4,641,333        35,140  

Sequoia Mortgage Trust, Series 2007-1, Class 5A1, 4.018%, 10/20/2046 (g)(k)

     2,005,266        1,443,988  

Sequoia Mortgage Trust, Series 2020-3, Class B4, 3.322%, 4/25/2050 (a)(g)

     2,353,881        1,495,120  

Sequoia Mortgage Trust, Series 2021-1, Class B4, 2.673%, 3/25/2051 (a)(g)

     2,482,964        1,224,809  

Sequoia Mortgage Trust, Series 2021-7, Class B4, 2.866%, 11/25/2051 (a)(g)

     1,624,858        643,805  

SG Residential Mortgage Trust, Series 2021-2, Class A2, 1.942%, 12/25/2061 (a)(d)(g)

     8,429,534        6,744,521  

Shellpoint Asset Funding Trust, Series 2013-1, Class B4, 3.848%, 7/25/2043 (a)(g)

     782,566        668,273  

Shellpoint Asset Funding Trust, Series 2013-1, Class B5, 3.848%, 7/25/2043 (a)(g)(k)

     2,733,914        1,583,103  

Spruce Hill Mortgage Loan Trust, Series 2020-SH1, Class B2, 4.676%, 1/28/2050 (a)(g)

     6,000,000        4,682,532  

STAR Trust, Series 2021-1, Class B1, 3.520%, 5/25/2065 (a)(g)

     1,158,500        841,691  

 

See accompanying notes which are an integral part of these financial statements.

 

72


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Starwood Mortgage Residential Trust, Series 2021-5, Class A3,
2.436%, 9/25/2066 (a)(d)(g)

   $ 8,539,660      $ 6,798,176  

Starwood Mortgage Residential Trust, Series 2022-SFR3, Class A,
6.880% (TSFR1M + 1.650%), 5/17/2024 (a)(c)

     1,991,594        1,990,960  

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 3A1,
4.226%, 9/25/2035 (g)(k)

     1,833,176        1,536,005  

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-23, Class 4A1,
3.858%, 1/25/2036 (g)

     299,085        233,671  

Structured Adjustable Rate Mortgage Loan Trust, Series 2007-5, Class 3A1,
4.142%, 6/25/2037 (g)(k)

     3,324,753        2,600,638  

Structured Adjustable Rate Mortgage Loan Trust, Series 2007-8, Class 1A2,
6.727% (TSFR1M + 1.614%), 9/25/2037 (c)

     776,863        523,501  

Structured Asset Mortgage Investments Trust, Series 2004-AR1, Class X,
0.000%, 3/19/2034 (e)(g)(h)

     4,675,558        47  

Structured Asset Mortgage Investments Trust, Series 2004-AR7, Class X,
0.126%, 4/19/2035 (e)(g)(h)

     7,000,516        130,714  

Structured Asset Mortgage Investments Trust, Series 2005-AR2, Class 1X,
0.009%, 5/25/2045 (e)(g)(h)

     7,556,537        93,694  

Structured Asset Mortgage Investments Trust, Series 2005-AR3, Class 1X,
0.011%, 8/25/2035 (e)(g)(h)

     10,636,044        135,652  

Structured Asset Mortgage Investments Trust, Series 2006-AR5, Class 1X,
0.000%, 5/25/2046 (e)(g)(h)

     10,980,251        389,964  

Structured Asset Mortgage Investments Trust, Series 2006-AR5, Class 4X,
0.000%, 5/25/2046 (e)(g)(h)

     35,333,664        1,134,670  

Structured Asset Mortgage Investments Trust, Series 2006-AR8, Class X,
0.400%, 10/25/2036 (e)(h)

     77,598,769        1,255,936  

Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2003-6A, Class 2A1, 6.574%, 3/25/2033 (g)

     13,423        12,391  

Terwin Mortgage Trust, Series 2005-18AL, Class PX, 0.434%, 1/25/2037 (a)(e)(g)(h)

     23,706,779        1,345,028  

Triangle Re Ltd., Series 2021-1, Class B1,
9.912% (TSFR1M + 0.274%), 8/25/2033 (a)(c)

     1,500,000        1,506,633  

Triangle Re Ltd., Series 2021-3, Class M1B,
7.969% (SOFR30A + 2.900%), 2/25/2034 (a)(c)

     8,400,000        8,328,163  

Triangle Re Ltd., Series 2021-3, Class M2,
8.819% (SOFR30A + 3.750%), 2/25/2034 (a)(c)

     2,200,000        2,189,103  

Unison Trust, Series 2021-1, Class A, 4.500%, 4/25/2050 (a)(g)

     8,838,501        7,647,018  

Unlock Hea Trust, Series 2022-1, Class A, 7.000%, 9/25/2035 (a)(d)(o)

     23,039,634        22,193,780  

Unlock Hea Trust, Series 2022-1, Class B, 8.000%, 9/25/2035 (a)(o)

     10,000,000        9,334,460  

UWM Mortgage Trust, Series 2021-INV1, Class B2, 3.160%, 8/25/2051 (a)(g)

     7,353,798        5,649,144  

UWM Mortgage Trust, Series 2021-INV1, Class B4, 3.160%, 8/25/2051 (a)(g)

     2,152,448        1,425,517  

UWM Mortgage Trust, Series 2021-INV1, Class B5, 3.160%, 8/25/2051 (a)(g)

     1,613,617        1,024,064  

UWM Mortgage Trust, Series 2021-INV1, Class B6, 3.160%, 8/25/2051 (a)(e)(g)

     3,400,594        954,571  

UWM Mortgage Trust, Series 2021-INV2, Class B2, 3.248%, 9/25/2051 (a)(d)(g)

     8,845,403        6,781,806  

UWM Mortgage Trust, Series 2021-INV2, Class B3, 3.248%, 9/25/2051 (a)(g)(k)

     5,192,431        3,831,485  

UWM Mortgage Trust, Series 2021-INV2, Class B4, 3.248%, 9/25/2051 (a)(g)

     2,883,722        1,897,106  

UWM Mortgage Trust, Series 2021-INV2, Class B5, 3.248%, 9/25/2051 (a)(g)

     2,115,435        1,330,158  

UWM Mortgage Trust, Series 2021-INV2, Class B6, 2.934%, 9/25/2051 (a)(e)(g)

     4,380,896        1,575,423  

UWM Mortgage Trust, Series 2021-INV3, Class B4, 3.238%, 11/25/2051 (a)(g)

     5,989,444        3,900,422  

UWM Mortgage Trust, Series 2021-INV3, Class B5, 3.238%, 11/25/2051 (a)(g)

     4,392,516        2,574,542  

 

See accompanying notes which are an integral part of these financial statements.

 

73


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

UWM Mortgage Trust, Series 2021-INV3, Class B6, 2.966%, 11/25/2051 (a)(g)

     $ 9,982,729        $ 4,189,891  

Verus Securitization Trust, Series 2022-3, Class M1, 4.096%, 2/25/2067 (a)(g)

     2,500,000        1,807,818  

Verus Securitization Trust, Series 2022-7, Class M1, 5.390%, 7/25/2067 (a)(g)

     750,000        637,175  

Verus Securitization Trust, Series 2022-8, Class A3, 6.127%, 9/25/2067 (a)(o)

     661,586        645,283  

Verus Securitization Trust, Series 2023-2, Class A2, 6.599%, 3/25/2068 (a)(o)

     3,271,135        3,227,838  

Verus Securitization Trust, Series 2023-INV1, Class A2, 6.556%, 2/25/2068 (a)(o)

     1,592,579        1,592,154  

Verus Securitization Trust, Series 2023-INV1, Class M1, 7.627%, 2/25/2068 (a)(g)

     2,300,000        2,287,794  

Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2004-AR10, Class X, 0.002%, 7/25/2044 (e)(g)(h)

     8,827,891        65,326  

Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class B1, 4.519%, 6/25/2034 (g)

     519,372        475,942  

Washington Mutual Mortgage Pass-Through Certificates Trust,
Series 2005-AR18, Class 1A2, 3.974%, 1/25/2036 (g)(k)

     12,526,911        11,486,876  

Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR6, Class X,
0.047%, 4/25/2045 (e)(g)(h)

     15,910,111        294,830  

Washington Mutual Mortgage Pass-Through Certificates Trust,
Series 2007-HY6, Class 1A1, 3.783%, 6/25/2037 (g)(k)

     1,836,731        1,627,540  

Washington Mutual Mortgage Pass-Through Certificates Trust,
Series 2007-OA4, Class 1XPP, 0.166%, 5/25/2047 (e)(g)(h)

     69,978,929        22,813  

Washington Mutual Mortgage Pass-Through Certificates Trust,
Series 2007-OA5, Class 1XPP, 0.126%, 6/25/2047 (e)(g)(h)

     59,643,838        1,730  

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust,
Series 2003-MS7, Class P, 0.000%, 3/25/2033 (f)

     232        163  

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust,
Series 2005-5, Class CB11, 6.000% (TSFR1M + 1.514%), 7/25/2035 (c)(k)

     3,224,958        2,859,615  

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust,
Series 2005-AR1, Class A1A, 5.932% (TSFR1M + 0.634%), 12/25/2035 (c)(k)

     2,735,061        1,758,414  

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust,
Series 2006-5, Class 2CB2, 6.000% (TSFR1M + 0.714%), 7/25/2036 (c)

     493,373        285,491  

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust,
Series 2006-AR8, Class 3X1, 0.036%, 10/25/2046 (e)(g)(h)

     11,905,920        220,843  

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust,
Series 2007-OA4, Class XPPP, 0.000%, 4/25/2047 (e)(g)(h)

     20,869,039        52,131  

Wells Fargo Alternative Loan Trust, Series 2007-PA1, Class A1,
5.732% (TSFR1M + 0.434%), 3/25/2037 (c)(k)

     3,015,103        1,899,494  

Wells Fargo Alternative Loan Trust, Series 2007-PA2, Class 1A1, 6.000%, 6/25/2037

     813,871        728,041  

Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class 4A1, 6.500%, 7/25/2037

     1,524,578        1,284,524  

Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class 4A3, 6.500%, 7/25/2037

     1,672,458        1,409,120  

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR11, Class A1,
5.680%, 8/25/2036 (g)

     136,117        98,783  

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR14, Class 1A3,
4.570%, 10/25/2036 (g)

     373,896        255,976  

Wells Fargo Mortgage Backed Securities Trust, Series 2007-17, Class APO,
0.000%, 1/25/2038 (f)

     16,378        10,426  

Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class B4,
3.729%, 7/25/2049 (a)(g)

     1,627,000        1,124,021  

Wells Fargo Mortgage Backed Securities Trust, Series 2019-4, Class B4,
3.521%, 9/25/2049 (a)(g)

     2,124,000        1,363,842  

 

See accompanying notes which are an integral part of these financial statements.

 

74


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

Wells Fargo Mortgage Backed Securities Trust, Series 2021-1, Class B4,
2.708%, 12/25/2050 (a)(g)

     $ 1,818,000        $ 697,805  

Wells Fargo Mortgage Backed Securities Trust, Series 2021-1, Class B5,
2.708%, 12/25/2050 (a)(g)

     1,011,000        391,809  

Wells Fargo Mortgage Backed Securities Trust, Series 2021-1, Class B6,
2.708%, 12/25/2050 (a)(g)

     1,420,044        333,991  

Wells Fargo Mortgage Backed Securities Trust, Series 2022-1, Class B2,
2.975%, 8/25/2051 (a)(g)(k)

     4,691,063        3,523,500  

Wells Fargo Mortgage Backed Securities Trust, Series 2022-1, Class B4,
2.975%, 8/25/2051 (a)(g)

     1,563,044        999,698  

Wells Fargo Mortgage Backed Securities Trust, Series 2022-1, Class B5,
2.975%, 8/25/2051 (a)(g)

     1,158,000        405,413  

Wells Fargo Mortgage Backed Securities Trust, Series 2022-1, Class B6,
2.975%, 8/25/2051 (a)(g)

     1,852,327        414,558  

Wells Fargo Mortgage Loan Trust, Series 2010-RR2, Class 1A4,
3.619%, 9/27/2035 (a)(g)

     3,768,497        3,099,495  

Western Mortgage Reference Notes, Series 2021-CL2, Class B,
13.569% (SOFR30A + 8.500%), 7/25/2059 (a)(c)

     6,600,000        6,418,480  

Western Mortgage Reference Notes, Series 2021-CL2, Class M4,
10.419% (SOFR30A + 5.350%), 7/25/2059 (a)(c)

     13,161,188        13,056,688  

Western Mortgage Reference Notes, Series 2021-CL2, Class M5,
11.569% (SOFR30A + 6.500%), 7/25/2059 (a)(c)

     7,687,693        7,465,910  

WinWater Mortgage Loan Trust, Series 2014-1, Class B5, 3.919%, 6/20/2044 (a)(g)(k)

     2,370,000        1,689,936  

WinWater Mortgage Loan Trust, Series 2014-2, Class B5, 4.052%, 9/20/2044 (a)(g)

     1,938,000        1,313,415  

WinWater Mortgage Loan Trust, Series 2015-A, Class B5, 3.839%, 6/20/2045 (a)(g)

     3,901,062        1,828,187  

ZeroDown LLC, Series 2021-SFR1, Class A, 3.861%, 9/25/2024 (a)(g)(j)

     12,188,053        11,844,350  

ZeroDown LLC, Series 2021-SFR1, Class B, 7.677%, 9/25/2024 (a)(j)

     3,250,112        3,089,231  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost – $2,254,655,720)

      $ 1,794,432,869  
     

 

 

 

Residential Mortgage-Backed Securities – U.S. Government Agency – 13.49%

     

Federal National Mortgage Association, 4.500%, 8/1/2052

     3,413,538        3,270,310  

Government National Mortgage Association, 5.000%, 8/15/2040

     169,750,000        166,340,741  

Government National Mortgage Association, 4.500%, 8/20/2052

     8,773,093        8,440,961  

Government National Mortgage Association, 5.000%, 8/20/2052

     23,773,519        23,303,468  

Government National Mortgage Association, 4.500%, 9/20/2052

     15,717,177        15,122,157  

Government National Mortgage Association, 4.500%, 11/20/2052

     24,433,401        23,508,401  

Government National Mortgage Association, 5.500%, 11/20/2052

     10,363,034        10,298,203  

Government National Mortgage Association, 6.000%, 11/20/2052

     9,666,684        9,713,065  

Government National Mortgage Association, 5.500%, 12/20/2052

     10,642,966        10,576,383  

Government National Mortgage Association, 5.500%, 3/20/2053

     90,000,000        89,436,960  

Government National Mortgage Association, 4.500%, 5/20/2053

     10,305,130        9,914,998  

Government National Mortgage Association, 5.500%, 6/20/2053

     2,294,879        2,280,522  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY
(Cost – $375,060,924)

        $372,206,169  
     

 

 

 

Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk
Transfer –0.97%

     

Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M2,
7.283% (SOFR30A + 2.214%), 10/25/2039 (a)(c)

     273,981        274,810  

 

See accompanying notes which are an integral part of these financial statements.

 

75


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – U.S. Government Agency
Credit Risk Transfer – (continued)

     

Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1,
7.619% (SOFR30A + 2.550%), 7/25/2042 (a)(c)

     $ 683,788        $ 700,047  

Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M1,
6.769% (SOFR30A + 1.700%), 7/25/2043 (a)(c)

     2,500,000        2,509,382  

Federal Home Loan Mortgage Corp., Series 2021-HQA1, Class B2,
10.069% (SOFR30A + 5.000%), 8/25/2033 (a)(c)

     3,121,727        3,035,880  

Federal Home Loan Mortgage Corp., Series 2021-DNA6, Class B2,
12.569% (SOFR30A + 7.500%), 10/25/2041 (a)(c)

     5,100,000        5,361,375  

Federal Home Loan Mortgage Corp., Series 2022-DNA1, Class B1,
8.469% (SOFR30A + 3.400%), 1/25/2042 (a)(c)

     2,000,000        2,021,250  

Federal Home Loan Mortgage Corp., Series 2018-SPI4, Class B,
4.514%, 11/25/2048 (a)(d)(g)

     20,395,427        12,729,928  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER
(Cost – $33,198,372)

        $26,632,672  
     

 

 

 

Whole Loans – 0.23%

     

Agency High Balance Residential Mortgages, 5.125%, 5/24/2048

     482,326        460,475  

Agency High Balance Residential Mortgages,
4.000% to 4.500%, 4/26/2037 to 8/24/2037 (e)

     1,880,985        1,786,629  

Savannah Grand, 10.010%, 8/6/2023

     4,050,000        4,044,810  
     

 

 

 

TOTAL WHOLE LOANS
(Cost – $6,360,147)

        $6,291,914  
     

 

 

 
Warrants – 0.00% (q)    Shares         

Financial – 0.00%

     

Kingstone Cos, Inc. (a)(e)

     90,000        56,160  
     

 

 

 

TOTAL WARRANTS
(Cost – $0)

        $56,160  
     

 

 

 
Short-Term Investments – 7.25%    Principal
Amount
        

U.S. Treasury Bills – 2.52%

     

4.286%, 8/24/2023 (r)

     $20,000,000        19,942,851  

5.181%, 10/5/2023 (r)

     25,000,000        24,762,559  

5.199%, 10/26/2023 (r)

     25,000,000        24,685,901  
     

 

 

 
        69,391,311  
     

 

 

 
     Shares         

Money Market Funds – 4.73%

     

First American Government Obligations Fund, Class U, 5.162% (s)

     130,645,748        130,645,748  
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(Cost – $200,086,129)

      $ 200,037,059  
     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

76


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

    

            

     Value  

TOTAL INVESTMENTS – 117.48%
(Cost – $3,844,274,884)

      $ 3,241,621,104  

Liabilities in Excess of Other Assets – (17.48%)

        (482,294,253
     

 

 

 

NET ASSETS – 100.00%

      $ 2,759,326,850  
     

 

 

 

LIBOR: London Inter-Bank Offered Rate

SOFR: Secured Overnight Financing Rate

SOFR30A: Secured Overnight Financing Rate 30 Day Average

TSFR1M: 1 Month Term Secured Overnight Financing Rate

TSFR3M: 3 Month Term Secured Overnight Financing Rate

 

(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 $1,793,037,254 or 64.98% of net assets.

(b)

Security issued on a when-issued basis. On July 31, 2023, the total value of investments purchased on a when-issued basis was $8,613,519 or 0.31% of net assets.

(c)

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.

(d)

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 $224,522,550.

(e)

Illiquid security. At July 31, 2023, the value of these securities amounted to $171,005,745 or 6.20% of net assets.

(f)

Principal only security.

(g)

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.

(h)

Interest only security.

(i)

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 $2,977,045 or 0.11% of net assets.

(j)

As of July 31, 2023, the Fund has fair valued these securities under the procedures established by Angel Oak Capital Advisors, LLC as Valuation Designee pursuant to Rule 2a-5 under the Investment Company Act of 1940. The value of these securities amounted to $16,255,783 or 0.59% of net assets. Value determined using significant unobservable inputs.

(k)

All or a portion of the security has been pledged as collateral in connection with open credit agreements. At July 31, 2023, the value of securities pledged amounted to $514,298,799.

(l)

Security issued as a “Baby Bond”, with a par value of $25 per bond. The principal balance disclosed above represents the issuer’s outstanding principal that corresponds to the bonds held in the Fund.

(m)

Security identified as in default as to the payment of interest. Income is not being accrued.

(n)

Auction rate security. Rate disclosed is the rate in effect as of July 31, 2023.

(o)

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.

(p)

Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.

(q)

Less than 0.005%.

(r)

Rate disclosed is the effective yield as of July 31, 2023.

(s)

Rate disclosed is the seven day yield as of July 31, 2023.

 

See accompanying notes which are an integral part of these financial statements.

 

77


Table of Contents

Angel Oak Multi-Strategy Income Fund

Consolidated Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

Consolidated Schedule of Open Futures Contracts

 

Short Futures Contracts    Expiration Month    Number of
Contracts
     Notional Value      Value &
Unrealized
Appreciation
(Depreciation)
 

10-Year U.S. Treasury Note Future

   September 2023      (433    ($ 48,238,906    $ 1,341,461  

10 Year ERIS SOFR Swap Future

   December 2030      (600      (46,104,720      843,660  

10 Year ERIS SOFR Swap Future

   March 2032      (559      (45,849,739      918,772  

10 Year ERIS SOFR Swap Future

   September 2032      (1,067      (91,006,244      7,666,182  

Total

                          $ 10,770,075  

Consolidated Schedule of Open Reverse Repurchase Agreements

 

Counterparty    Interest
Rate
     Trade Date      Maturity Date      Net Closing
Amount
     Face Value  

Barclays Capital, Inc.

     6.966      6/20/2023        9/20/2023      $ 81,812,252      $ 80,381,270  

Barclays Capital, Inc.

     6.966      7/10/2023        9/20/2023        13,276,304        13,093,875  

Barclays Capital, Inc.

     6.966      7/14/2023        9/20/2023        6,610,711        6,524,855  

Total

                                       $ 100,000,000  

A reverse repurchase agreement, although structured as a sale and repurchase obligation, acts as a financing transaction under which the Fund will effectively pledge certain assets as collateral to secure a short-term loan. Generally, the other party to the agreement makes the loan in an amount less than the fair value of the pledged collateral. At the maturity of the reverse repurchase agreement, the Fund will be required to repay the loan and interest and correspondingly receive back its collateral. While used as collateral, the pledged assets continue to pay principal and interest which are for the benefit of the Fund.

 

Consolidated Schedule of Centrally Cleared Credit Default Swaps – Buy Protection

 

Reference Obligation    Pay (Receive) 
Fixed Rate
  Payment
Frequency
   Maturity Date    Counterparty   Notional
Amount
  Value   Premium
Paid
(Received)
  Unrealized
Appreciation
(Depreciation)

Markit CDX.NA.HY

  5.000%   Quarterly   12/20/2027   Wells Fargo Securities, LLC   $49,500,000   ($2,167,142)   $578,628   ($2,745,770)

 

See accompanying notes which are an integral part of these financial statements.

 

78


Table of Contents

Angel Oak Financials Income Impact Fund

Schedule of Investments

July 31, 2023 (Unaudited)

 

     Shares      Value  

Common Stocks – 1.84%

     

Financial – 1.84%

     

AmeriServ Financial, Inc.

     21,000        $69,300  

Bank7 Corp.

     7,000        185,220  

Eagle Bancorp Montana, Inc.

     13,800        181,884  

Financial Institutions, Inc.

     2,100        40,278  

First United Corp.

     28,700        492,492  

Greene County Bancorp, Inc.

     8,800        303,248  

Independent Bank Corp.

     5,200        313,300  
     

 

 

 

TOTAL COMMON STOCKS
(Cost – $1,545,951)

        $1,585,722  
     

 

 

 
Corporate Obligations – 91.98%    Principal
Amount
        

Financial – 91.98%

     

A10 Capital LLC, 5.875%, 8/17/2026 (a)

     $1,000,000        931,080  

Banc of California, Inc., 5.250%, 4/15/2025

     500,000        464,329  

BankFinancial Corp., 3.750% (TSFR3M + 2.990%), 5/15/2031 (a)(b)

     2,000,000        1,689,852  

BankGuam Holding Co., 4.750% (TSFR3M + 4.130%), 7/1/2031 (a)(b)

     2,000,000        1,717,981  

Brookline Bancorp, Inc., 6.000% (3 Month LIBOR USD + 3.315%), 9/15/2029 (b)

     500,000        467,359  

CB Financial Services, Inc., 3.875% (TSFR3M + 2.800%), 12/15/2031 (a)(b)

     1,000,000        816,189  

Central Pacific Financial Corp., 4.750% (TSFR3M + 4.560%), 11/1/2030 (b)

     1,000,000        867,584  

Citizens Community Bancorp, Inc., 4.750% (TSFR3M + 3.290%), 4/1/2032 (a)(b)

     1,300,000        1,071,470  

Civista Bancshares, Inc., 3.250% (SOFR + 2.190%), 12/1/2031 (b)

     2,500,000        2,087,942  

Clear Street Holdings LLC, 5.875%, 5/15/2026 (a)

     2,000,000        1,874,049  

Colony Bankcorp, Inc., 5.250% (TSFR3M + 2.650%), 5/20/2032 (a)(b)

     1,000,000        834,356  

Dickinson Financial Corp., 4.250% (TSFR3M + 4.030%), 11/15/2030 (a)(b)

     1,250,000        1,083,200  

Dime Community Bancshares, Inc., 5.000% (TSFR3M + 2.180%), 5/15/2032 (b)

     1,000,000        826,806  

Equity Bancshares, Inc., 7.000% (TSFR3M + 6.880%), 6/30/2030 (b)

     1,000,000        908,843  

FedNat Holding Co., 7.750%, 3/15/2029 (c)(d)(e)

     2,500,000        775,000  

Fidelity Bank, 5.875% (TSFR3M + 3.892%), 5/31/2030 (b)

     2,000,000        1,809,676  

Fidelity Financial Corp., 5.000% (TSFR3M + 2.470%), 4/30/2032 (a)(b)

     3,000,000        2,483,021  

Financial Institutions, Inc., 6.000% (3 Month LIBOR USD + 3.944%), 4/15/2030 (b)

     1,500,000        1,369,494  

First Bancshares, Inc., 6.400% (3 Month LIBOR USD + 3.390%), 5/1/2033 (b)

     2,500,000        2,146,698  

First Business Financial Services, Inc., 5.500% (SOFR + 4.332%), 8/15/2029 (a)(b)

     750,000        698,996  

First Foundation, Inc., 3.500% (SOFR + 2.040%), 2/1/2032 (b)

     1,000,000        619,736  

First Internet Bancorp, 3.750% (SOFR + 3.110%), 9/1/2031 (b)

     1,000,000        826,179  

First Northwest Bancorp, 3.750% (SOFR + 3.000%), 3/30/2031 (b)

     1,500,000        1,270,136  

Firstsun Capital Bancorp, 6.000% (TSFR3M + 5.890%), 7/1/2030 (a)(b)

     2,000,000        1,807,726  

Flushing Financial Corp., 3.125% (TSFR3M + 2.035%), 12/1/2031 (b)

     3,000,000        2,420,237  

Flushing Financial Corp., 6.000% (TSFR3M + 3.130%), 9/1/2032 (b)

     500,000        424,311  

FS Bancorp, Inc., 3.750% (TSFR3M + 3.370%), 2/15/2031 (b)

     1,000,000        853,045  

Home Bancshares, Inc., 5.500% (TSFR3M + 5.345%), 7/31/2030 (a)(b)

     1,000,000        891,257  

Homestreet, Inc., 6.500%, 6/1/2026

     750,000        534,970  

Independent Bank Corp., 5.950% (TSFR3M + 5.825%), 5/31/2030 (a)(b)

     750,000        680,144  

Jamesmark Bancshares, Inc., 3.750% (TSFR3M + 3.050%), 10/1/2031 (a)(b)

     850,000        698,954  

Kingstone Cos, Inc., 12.000%, 12/30/2024 (a)(c)

     4,028,000        3,846,740  

Limestone Bancorp, Inc., 5.750% (TSFR3M + 4.212%), 7/31/2029 (a)(b)

     1,000,000        936,560  

Malvern Bancorp, Inc., 9.466% (3 Month LIBOR USD + 4.145%), 2/15/2027 (b)

     500,000        495,007  

Marble Point Loan Financing Ltd. / MPLF Funding LLC, 7.500%, 10/16/2025 (a)

     3,500,000        3,320,625  

Mercantile Bank Corp., 3.250% (SOFR + 2.120%), 1/30/2032 (b)

     3,000,000        2,399,164  

 

See accompanying notes which are an integral part of these financial statements.

 

79


Table of Contents

Angel Oak Financials Income Impact Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Corporate Obligations – (continued)

     

Financial – (continued)

     

Midwest Bankcentre, Inc., 3.625% (TSFR3M + 2.950%), 6/15/2031 (a)(b)

   $ 1,500,000      $ 1,250,231  

Narragansett Financial Corp., 3.875% (TSFR3M + 3.190%), 5/15/2031 (a)(b)

     2,000,000        1,686,808  

New York Community Bancorp, Inc., 5.900% (TSFR3M + 3.042%), 11/6/2028 (b)

     1,000,000        945,269  

NexBank Capital, Inc., 4.000% (TSFR3M + 3.390%), 8/15/2031 (a)(b)

     3,000,000        2,424,922  

NexBank Capital, Inc., 6.000%, 7/15/2032 (a)(f)

     1,000,000        851,635  

Northpointe Bancshares, Inc., 6.000% (TSFR3M + 4.905%), 9/30/2029 (a)(b)

     1,000,000        929,532  

Oakstar Bancshares, Inc., 4.250% (TSFR3M + 3.516%), 4/15/2031 (a)(b)

     1,000,000        856,192  

OceanFirst Financial Corp., 5.250% (TSFR3M + 5.095%), 5/15/2030 (b)

     1,000,000        901,339  

Olney Bancshares of Texas, Inc., 4.000% (TSFR3M + 3.320%), 3/15/2031 (a)(b)

     1,250,000        1,068,103  

Peapack Gladstone Financial Corp., 8.092% (3 Month LIBOR USD + 2.540%), 12/15/2027 (b)

     1,000,000        969,200  

Preferred Bank, 3.375% (TSFR3M + 2.780%), 6/15/2031 (b)

     4,000,000        3,140,530  

Primis Financial Corp., 9.581% (3 Month LIBOR USD + 3.950%), 1/31/2027 (a)(b)

     1,000,000        981,388  

RBB Bancorp, 4.000% (TSFR3M + 3.290%), 4/1/2031 (b)

     3,000,000        2,610,784  

River Financial Corp., 4.000% (TSFR3M + 3.420%), 3/15/2031 (a)(b)

     1,000,000        854,482  

SmartFinancial, Inc., 5.625% (TSFR3M + 2.812%), 10/2/2028 (a)(b)

     1,250,000        1,239,390  

South Street Securities Funding LLC, 6.250%, 12/30/2026 (a)

     1,000,000        928,864  

Stellar Bancorp, Inc., 4.700% (SOFR + 3.392%), 10/1/2029 (b)

     1,000,000        911,902  

Summit Financial Group, Inc., 3.250% (TSFR3M + 2.300%), 12/1/2031 (b)

     1,000,000        800,561  

Texas State Bankshares, Inc., 5.750% (3 Month LIBOR USD + 3.550%), 6/15/2029 (a)(b)

     2,000,000        1,888,295  

TIAA FSB Holdings, Inc., 10.256% (3 Month LIBOR USD + 4.704%), 3/15/2026 (b)

     1,000,000        998,527  

Trinitas Capital Management LLC, 6.000%, 7/30/2026 (a)

     2,000,000        1,862,500  

Trinity Capital, Inc., 4.250%, 12/15/2026

     2,000,000        1,713,174  

Truist Bank, 3.625%, 9/16/2025

     1,000,000        946,293  

Truist Financial Corp., 6.047% (SOFR + 2.050%), 6/8/2027 (b)

     500,000        501,095  

Valley National Bancorp, 6.250% (TSFR3M + 2.780%), 9/30/2032 (b)

     1,000,000        832,395  

Webster Financial Corp., 4.000% (TSFR3M + 2.530%), 12/30/2029 (b)

     50,000        46,406  

Zais Group LLC, 7.000%, 11/15/2023 (a)

     360,000        359,551  
     

 

 

 

TOTAL CORPORATE OBLIGATIONS
(Cost – $92,524,423)

        $79,448,084  
     

 

 

 
Preferred Stocks – 0.85%    Shares         

Financial – 0.85%

     

First Guaranty Bancshares, Inc., 6.750%

     40,000        732,800  
     

 

 

 

TOTAL PREFERRED STOCKS
(Cost – $1,000,000)

        $732,800  
     

 

 

 

Warrants – 0.14%

     

Financial – 0.14%

     

Kingstone Cos, Inc. (a)(c)

     195,750        122,148  
     

 

 

 

TOTAL WARRANTS
(Cost – $0)

        $122,148  
     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

80


Table of Contents

Angel Oak Financials Income Impact Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Shares      Value  

Short-Term Investments – 3.71%

     

Money Market Funds – 3.71%

     

First American Government Obligations Fund, Class U, 5.162% (g)

     3,201,961        $3,201,961  
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(Cost – $3,201,961)

        $3,201,961  
     

 

 

 

TOTAL INVESTMENTS – 98.52%
(Cost – $98,272,335)

        $85,090,715  

Other Assets in Excess of Liabilities – 1.48%

        1,279,422  
     

 

 

 

NET ASSETS – 100.00%

        $86,370,137  
     

 

 

 

LIBOR: London Inter-Bank Offered Rate

SOFR: Secured Overnight Financing Rate

TSFR3M: 3 Month Term Secured Overnight Financing Rate

 

(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 $42,686,240 or 49.42% 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)

Illiquid security. At July 31, 2023, the value of these securities amounted to $4,743,888 or 5.49% of net assets.

(d)

As of July 31, 2023, the Fund has fair valued these securities under the procedures established by Angel Oak Capital Advisors, LLC as Valuation Designee pursuant to Rule 2a-5 under the Investment Company Act of 1940. The value of these securities amounted to $775,000 or 0.90% of net assets. Value determined using significant unobservable inputs.

(e)

Security identified as in default as to the payment of interest. Income is not being accrued.

(f)

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.

(g)

Rate disclosed is the seven day yield as of July 31, 2023.

 

See accompanying notes which are an integral part of these financial statements.

 

81


Table of Contents

Angel Oak High Yield Opportunities Fund

Schedule of Investments

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities – 3.98%

     

Exeter Automobile Receivables Trust, Series 2023-2A, Class E, 9.750%, 11/15/2030 (a)

     $200,000        $200,870  

Foundation Finance Trust, Series 2017-1A, Class C, 5.400%, 7/15/2033 (a)

     200,000        190,883  

Foundation Finance Trust, Series 2023-1A, Class D, 9.180%, 12/15/2043 (a)

     200,000        204,868  

Foursight Capital Automobile Receivables Trust, Series 2023-1, Class D,
7.410%, 2/15/2030 (a)

     200,000        200,187  

Lobel Automobile Receivables Trust, Series 2023-1, Class C, 8.310%, 10/16/2028 (a)

     200,000        197,107  

Octane Receivables Trust, Series 2023-2A, Class D, 7.380%, 6/20/2031 (a)

     200,000        198,804  

Oportun Financial Corp., Series 2022-3, Class C, 10.147%, 1/8/2030 (a)

     200,000        205,286  

Pagaya AI Debt Selection Trust, Series 2023-1, Class B, 9.435%, 7/15/2030 (a)

     299,958        305,764  

Pagaya AI Debt Selection Trust, Series 2023-3, Class B, 9.570%, 12/16/2030 (a)

     200,000        203,250  

Pagaya AI Debt Selection Trust, Series 2023-5, Class C, 9.099%, 4/15/2031 (a)

     100,000        101,321  

Skopos Auto Receivables Trust, Series 2019-1A, Class E, 7.820%, 6/15/2026 (a)

     350,000        349,976  

Upstart Securitization Trust, Series 2023-1, Class C, 11.100%, 2/20/2033 (a)

     100,000        97,780  

USASF Receivables LLC, Series 2020-1A, Class D, 9.350%, 3/15/2027 (a)

     200,000        201,883  
     

 

 

 

TOTAL ASSET-BACKED SECURITIES
(Cost – $2,641,136)

        $2,657,979  
     

 

 

 

Corporate Obligations – 71.17%

     

Basic Materials – 6.52%

     

Cleveland-Cliffs, Inc., 5.875%, 6/1/2027

     400,000        393,133  

Cleveland-Cliffs, Inc., 6.750%, 4/15/2030 (a)

     500,000        487,077  

Compass Minerals International, Inc., 6.750%, 12/1/2027 (a)

     500,000        487,691  

Copper Mountain Mining Corp., 8.000%, 4/9/2026 (a)(b)(c)

     505,384        512,965  

CVR Partners LP / CVR Nitrogen Finance Corp., 6.125%, 6/15/2028 (a)

     1,000,000        904,021  

Hecla Mining Co., 7.250%, 2/15/2028

     500,000        495,668  

Mercer International, Inc., 5.125%, 2/1/2029

     750,000        613,125  

Taseko Mines Ltd., 7.000%, 2/15/2026 (a)

     500,000        461,390  
     

 

 

 
        4,355,070  
     

 

 

 

Communications – 8.74%

     

AMC Networks, Inc., 4.750%, 8/1/2025

     500,000        443,419  

Audacy Capital Corp., 6.500%, 5/1/2027 (a)(b)

     100,000        1,613  

Audacy Capital Corp., 6.750%, 3/31/2029 (a)(b)

     200,000        4,500  

Cars.com, Inc., 6.375%, 11/1/2028 (a)

     500,000        472,058  

CMG Media Corp., 8.875%, 12/15/2027 (a)

     250,000        193,410  

Consolidated Communications, Inc., 6.500%, 10/1/2028 (a)

     500,000        390,339  

CSC Holdings LLC, 5.500%, 4/15/2027 (a)

     500,000        429,484  

Cumulus Media New Holdings, Inc., 6.750%, 7/1/2026 (a)

     542,000        408,465  

DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.875%, 8/15/2027 (a)

     1,000,000        903,028  

EquipmentShare.com, Inc., 9.000%, 5/15/2028 (a)

     500,000        496,104  

Gray Escrow, Inc., 5.375%, 11/15/2031 (a)

     1,000,000        686,015  

Lamar Media Corp., 4.875%, 1/15/2029

     250,000        233,350  

Nexstar Media, Inc., 5.625%, 7/15/2027 (a)

     250,000        235,290  

Outfront Media Capital LLC / Outfront Media Capital Corp., 5.000%, 8/15/2027 (a)

     250,000        230,000  

Townsquare Media, Inc., 6.875%, 2/1/2026 (a)

     300,000        289,404  

Univision Communications, Inc., 6.625%, 6/1/2027 (a)

     250,000        243,690  

Urban One, Inc., 7.375%, 2/1/2028 (a)

     200,000        176,800  
     

 

 

 
        5,836,969  
     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

82


Table of Contents

Angel Oak High Yield Opportunities Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Corporate Obligations – (continued)

     

Consumer, Cyclical – 11.09%

     

American Airlines, Inc. / AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026 (a)

   $ 500,000      $ 493,008  

American Axle & Manufacturing, Inc., 5.000%, 10/1/2029

     1,000,000        854,152  

Aramark Services, Inc., 6.375%, 5/1/2025 (a)

     500,000        500,434  

Beacon Roofing Supply, Inc., 4.500%, 11/15/2026 (a)

     250,000        238,272  

Carnival Corp., 6.000%, 5/1/2029 (a)

     350,000        314,928  

Clarios Global LP, 6.750%, 5/15/2025 (a)

     226,000        226,752  

Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 (a)

     500,000        484,118  

FirstCash, Inc., 4.625%, 9/1/2028 (a)

     500,000        446,692  

Ford Motor Co., 6.100%, 8/19/2032

     1,000,000        967,970  

Goodyear Tire & Rubber Co., 5.000%, 7/15/2029

     500,000        461,596  

Hawaiian Brand Intellectual Property Ltd., 5.750%, 1/20/2026 (a)

     500,000        471,867  

Installed Building Products, Inc., 5.750%, 2/1/2028 (a)

     100,000        94,786  

Lithia Motors, Inc., 4.625%, 12/15/2027 (a)

     250,000        231,634  

Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028

     500,000        452,685  

New Red Finance, Inc., 4.375%, 1/15/2028 (a)

     250,000        231,223  

Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 8.000%, 9/20/2025 (a)

     300,000        302,844  

Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.000%, 6/1/2031 (a)

     100,000        85,738  

VistaJet Malta Finance PLC / Vista Management Holding, Inc., 9.500%, 6/1/2028 (a)

     100,000        95,627  

White Cap Buyer LLC, 6.875%, 10/15/2028 (a)

     500,000        451,046  
     

 

 

 
        7,405,372  
     

 

 

 

Consumer, Non-cyclical – 6.98%

     

Arrow Bidco LLC, 9.500%, 3/15/2024 (a)

     470,000        471,936  

CPI CG, Inc., 8.625%, 3/15/2026 (a)

     234,000        226,168  

Korn Ferry, 4.625%, 12/15/2027 (a)

     250,000        235,306  

Matthews International Corp., 5.250%, 12/1/2025 (a)

     250,000        240,982  

Medline Borrower LP, 5.250%, 10/1/2029 (a)

     500,000        442,244  

NESCO Holdings, Inc., 5.500%, 4/15/2029 (a)

     100,000        91,050  

Performance Food Group, Inc., 4.250%, 8/1/2029 (a)

     500,000        444,612  

Prime Security Services Borrower LLC / Prime Finance, Inc., 3.375%, 8/31/2027 (a)

     250,000        220,978  

Select Medical Corp., 6.250%, 8/15/2026 (a)

     500,000        496,177  

Simmons Foods, Inc., 4.625%, 3/1/2029 (a)

     250,000        208,995  

Sotheby’s, 7.375%, 10/15/2027 (a)

     300,000        266,114  

Sotheby’s / Bidfair Holdings, Inc., 5.875%, 6/1/2029 (a)

     500,000        388,399  

TreeHouse Foods, Inc., 4.000%, 9/1/2028

     250,000        218,538  

Upbound Group, Inc., 6.375%, 2/15/2029 (a)

     500,000        459,223  

US Foods, Inc., 6.250%, 4/15/2025 (a)

     250,000        250,868  
     

 

 

 
        4,661,590  
     

 

 

 

Energy – 19.47%

     

Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.750%, 1/15/2028 (a)

     1,250,000        1,203,094  

Archrock Partners LP / Archrock Partners Finance Corp., 6.875%, 4/1/2027 (a)

     700,000        683,120  

Atlantica Sustainable Infrastructure PLC, 4.125%, 6/15/2028 (a)

     250,000        226,639  

Calumet Specialty Products Partners LP / Calumet Finance Corp., 8.125%, 1/15/2027 (a)

     600,000        577,431  

Calumet Specialty Products Partners LP / Calumet Finance Corp., 9.750%, 7/15/2028 (a)

     200,000        199,743  

CITGO Petroleum Corp., 7.000%, 6/15/2025 (a)

     500,000        494,512  

Comstock Resources, Inc., 6.750%, 3/1/2029 (a)

     100,000        93,385  

Comstock Resources, Inc., 5.875%, 1/15/2030 (a)

     100,000        88,609  

CrownRock LP / CrownRock Finance, Inc., 5.000%, 5/1/2029 (a)

     250,000        235,375  

 

See accompanying notes which are an integral part of these financial statements.

 

83


Table of Contents

Angel Oak High Yield Opportunities Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Corporate Obligations –(continued)

     

Energy – (continued)

     

Encino Acquisition Partners Holdings LLC, 8.500%, 5/1/2028 (a)

   $ 250,000      $ 229,692  

Enviva Partners LP / Enviva Partners Finance Corp., 6.500%, 1/15/2026 (a)

     750,000        637,433  

Hilcorp Energy I LP / Hilcorp Finance Co., 5.750%, 2/1/2029 (a)

     900,000        833,310  

Kinetik Holdings LP, 5.875%, 6/15/2030 (a)

     250,000        240,556  

New Fortress Energy, Inc., 6.750%, 9/15/2025 (a)

     250,000        238,607  

New Fortress Energy, Inc., 6.500%, 9/30/2026 (a)

     500,000        459,387  

PBF Holding Co. LLC / PBF Finance Corp., 6.000%, 2/15/2028

     500,000        472,610  

Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025 (a)

     1,500,000        1,434,203  

SunCoke Energy, Inc., 4.875%, 6/30/2029 (a)

     500,000        431,271  

Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 7.500%, 10/1/2025 (a)

     500,000        501,327  

Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 6.000%, 12/31/2030 (a)

     500,000        444,280  

Transocean, Inc., 11.500%, 1/30/2027 (a)

     113,000        118,624  

USA Compression Partners LP / USA Compression Finance Corp., 6.875%, 9/1/2027

     750,000        723,174  

Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (a)

     250,000        212,298  

Venture Global Calcasieu Pass LLC, 3.875%, 11/1/2033 (a)

     250,000        203,517  

Warrior Met Coal, Inc., 7.875%, 12/1/2028 (a)

     2,000,000        2,022,738  
     

 

 

 
        13,004,935  
     

 

 

 

Financial – 10.70%

     

Enact Holdings, Inc., 6.500%, 8/15/2025 (a)

     500,000        495,525  

Freedom Mortgage Corp., 7.625%, 5/1/2026 (a)

     500,000        458,413  

Global Aircraft Leasing Co. Ltd., 6.50% Cash or 7.250% PIK, 9/15/2024 (a)

     433,620        408,321  

goeasy Ltd., 4.375%, 5/1/2026 (a)

     500,000        457,736  

HAT Holdings I LLC / HAT Holdings II LLC, 3.375%, 6/15/2026 (a)

     750,000        679,208  

LD Holdings Group LLC, 6.125%, 4/1/2028 (a)

     400,000        258,454  

LPL Holdings, Inc., 4.625%, 11/15/2027 (a)

     500,000        471,688  

MPT Operating Partnership LP / MPT Finance Corp., 3.500%, 3/15/2031

     500,000        360,660  

Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027 (a)

     650,000        621,764  

NMI Holdings, Inc., 7.375%, 6/1/2025 (a)

     250,000        252,697  

PennyMac Financial Services, Inc., 5.750%, 9/15/2031 (a)

     250,000        211,187  

PRA Group, Inc., 7.375%, 9/1/2025 (a)

     250,000        241,010  

PRA Group, Inc., 5.000%, 10/1/2029 (a)

     500,000        381,850  

Realogy Group LLC / Realogy Co-Issuer Corp., 5.250%, 4/15/2030 (a)

     500,000        360,841  

Starwood Property Trust, Inc., 5.500%, 11/1/2023 (a)

     500,000        496,955  

StoneX Group, Inc., 8.625%, 6/15/2025 (a)

     400,000        404,814  

United Wholesale Mortgage LLC, 5.500%, 4/15/2029 (a)

     500,000        440,024  

Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 6.500%, 2/15/2029 (a)

     200,000        139,318  
     

 

 

 
        7,140,465  
     

 

 

 

Industrial – 7.67%

     

Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/1/2026 (a)

     250,000        240,371  

Builders FirstSource, Inc., 5.000%, 3/1/2030 (a)

     250,000        234,000  

Cargo Aircraft Management, Inc., 4.750%, 2/1/2028 (a)

     500,000        445,194  

Coherent Corp., 5.000%, 12/15/2029 (a)

     500,000        450,508  

Covanta Holding Corp., 5.000%, 9/1/2030

     250,000        216,794  

Fortress Transportation and Infrastructure Investors LLC, 9.750%, 8/1/2027 (a)

     250,000        260,522  

Great Lakes Dredge & Dock Corp., 5.250%, 6/1/2029 (a)

     100,000        83,632  

Knife River Holding Co., 7.750%, 5/1/2031 (a)

     500,000        510,468  

MIWD Holdco LLC / MIWD Finance Corp., 5.500%, 2/1/2030 (a)

     100,000        84,609  

 

See accompanying notes which are an integral part of these financial statements.

 

84


Table of Contents

Angel Oak High Yield Opportunities Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Corporate Obligations –(continued)

     

Industrial – (continued)

     

Moog, Inc., 4.250%, 12/15/2027 (a)

   $ 250,000      $ 231,305  

Mueller Water Products, Inc., 4.000%, 6/15/2029 (a)

     300,000        267,611  

Owens-Brockway Glass Container, Inc., 7.250%, 5/15/2031 (a)

     225,000        228,931  

Roller Bearing Co. of America, Inc., 4.375%, 10/15/2029 (a)

     200,000        178,500  

Seaspan Corp., 5.500%, 8/1/2029 (a)

     500,000        408,185  

Sensata Technologies BV, 5.875%, 9/1/2030 (a)

     250,000        241,153  

Smyrna Ready Mix Concrete LLC, 6.000%, 11/1/2028 (a)

     250,000        238,569  

Spirit AeroSystems, Inc., 7.500%, 4/15/2025 (a)

     100,000        100,062  

Vertiv Group Corp., 4.125%, 11/15/2028 (a)

     500,000        449,298  

XPO, Inc., 7.125%, 6/1/2031 (a)

     250,000        253,201  
     

 

 

 
        5,122,913  
     

 

 

 

TOTAL CORPORATE OBLIGATIONS
(Cost – $51,990,832)

        $47,527,314  
     

 

 

 

Residential Mortgage-Backed Securities – 16.79%

     

Bellemeade Re Ltd., Series 2021-2A, Class M2,
7.969% (SOFR30A + 2.900%), 6/25/2031 (a)(d)

     710,000        708,477  

Bellemeade Re Ltd., Series 2021-1A, Class M2,
9.919% (SOFR30A + 4.850%), 3/25/2031 (a)(d)

     640,000        662,480  

GCAT Trust, Series 2023-NQM2, Class B1, 7.031%, 11/25/2067 (a)(e)

     850,000        746,846  

GS Mortgage-Backed Securities Corp Trust, Series 2019-PJ1, Class B6,
4.072%, 8/25/2049 (a)(e)

     511,534        289,996  

Home RE Ltd., Series 2021-2, Class B1, 9.219% (SOFR30A + 4.150%), 1/25/2034 (a)(d)

     800,000        749,577  

JP Morgan Mortgage Trust, Series 2020-2, Class B4, 3.825%, 7/25/2050 (a)(e)

     716,795        552,947  

JP Morgan Mortgage Trust, Series 2020-3, Class B4, 3.845%, 8/25/2050 (a)(e)

     713,281        537,782  

New Residential Mortgage Loan Trust, Series 2022-SFR2, Class E1, 4.000%, 9/4/2039 (a)

     760,000        657,004  

Oaktown Re Ltd., Series 2021-2, Class B1, 9.469% (SOFR30A + 4.400%), 4/25/2034 (a)(d)

     1,000,000        923,491  

Progress Residential Trust, Series 2021-SFR1, Class F, 2.757%, 4/17/2038 (a)

     765,000        665,141  

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)

     508,824        479,839  

Radnor RE Ltd., Series 2021-2, Class B1, 11.069% (SOFR30A + 6.000%), 11/25/2031 (a)(d)

     750,000        788,852  

Radnor RE Ltd., Series 2021-1, Class M2, 8.219% (SOFR30A + 3.150%), 12/27/2033 (a)(d)

     750,000        736,693  

STAR Trust, Series 2021-1, Class B1, 3.520%, 5/25/2065 (a)(e)

     1,000,000        726,535  

Verus Securitization Trust, Series 2021-1, Class M1, 1.968%, 1/25/2066 (a)(e)

     726,000        465,171  

Verus Securitization Trust, Series 2023-INV1, Class B1, 7.627%, 2/25/2068 (a)(e)

     750,000        698,993  

Verus Securitization Trust, Series 2023-3, Class B1, 7.987%, 3/25/2068 (a)(e)

     450,000        410,844  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost – $11,191,205)

        $11,212,776  
     

 

 

 

Residential Mortgage-Backed Securities – U.S. Government Agency
Credit Risk Transfer – 4.98%

     

Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M2,
8.169% (SOFR30A + 3.100%), 3/25/2042 (a)(d)

     370,000        377,177  

Federal Home Loan Mortgage Corp., Series 2021-DNA2, Class B1,
8.469% (SOFR30A + 3.400%), 8/25/2033 (a)(d)

     500,000        515,679  

Federal Home Loan Mortgage Corp., Series 2021-DNA6, Class B1,
8.469% (SOFR30A + 3.400%), 10/25/2041 (a)(d)

     1,000,000        1,009,496  

 

See accompanying notes which are an integral part of these financial statements.

 

85


Table of Contents

Angel Oak High Yield Opportunities Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – U.S. Government Agency
Credit Risk Transfer –(continued)

     

Federal Home Loan Mortgage Corp., Series 2022-HQA1, Class M2,
10.319% (SOFR30A + 5.250%), 3/25/2042 (a)(d)

   $ 650,000      $ 693,522  

Federal Home Loan Mortgage Corp., Series 2021-HQA1, Class B2,
10.069% (SOFR30A + 5.000%), 8/25/2033 (a)(d)

     750,000        729,375  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER
(Cost – $3,050,364)

        $3,325,249  
     

 

 

 

Short-Term Investments – 2.17%

     Shares     

Money Market Funds – 2.17%

     

First American Government Obligations Fund, Class U, 5.162% (f)

     1,447,316        1,447,316  
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(Cost – $1,447,316)

        $1,447,316  
     

 

 

 

TOTAL INVESTMENTS – 99.09%
(Cost – $70,320,853)

        $66,170,634  

Other Assets in Excess of Liabilities – 0.91%

        610,031  
     

 

 

 

NET ASSETS – 100.00%

        $66,780,665  
     

 

 

 

LIBOR: London Inter-Bank Offered Rate

SOFR: Secured Overnight Financing Rate

SOFR30A: Secured Overnight Financing Rate 30 Day Average

PIK: Payment In-Kind

 

(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 $57,816,444 or 86.58% of net assets.

(b)

Illiquid security. At July 31, 2023, the value of these securities amounted to $519,078 or 0.78% of net assets.

(c)

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 $512,965 or 0.77% of net assets.

(d)

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.

(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)

Rate disclosed is the seven day yield as of July 31, 2023.

 

See accompanying notes which are an integral part of these financial statements.

 

86


Table of Contents

Angel Oak UltraShort Income Fund

Schedule of Investments

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities – 45.72%

     

ACC Trust, Series 2022-1, Class B, 2.550%, 2/20/2025 (a)

   $ 2,400,000      $ 2,363,736  

ACHV TRUST, Series 2023-2PL, Class B, 6.880%, 5/20/2030 (a)

     1,200,000        1,189,350  

ACM Auto Trust, Series 2023-2A, Class A, 7.970%, 6/20/2030 (a)

     1,123,418        1,127,330  

Affirm Asset Securitization Trust, Series 2021-B, Class B, 1.240%, 8/17/2026 (a)

     150,000        141,980  

Affirm Asset Securitization Trust, Series 2021-B, Class D, 2.540%, 8/17/2026 (a)

     250,000        229,836  

Affirm Asset Securitization Trust, Series 2023-A, Class 1A, 6.610%, 1/18/2028 (a)

     400,000        399,147  

Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028 (a)

     600,000        598,052  

Ally Auto Receivables Trust, Series 2022-3, Class A2, 5.290%, 6/16/2025

     816,120        816,153  

American Credit Acceptance Receivables Trust, Series 2023-2, Class A, 5.890%, 10/13/2026 (a)

     602,748        602,647  

American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028 (a)

     2,335,000        2,203,143  

Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A, Class C, 3.770%, 3/15/2027 (a)

     150,000        140,530  

Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class A, 3.930%, 5/15/2028 (a)

     937,399        915,161  

Arivo Acceptance Auto Loan Receivables Trust, Series 2022-2A, Class A, 6.900%, 1/16/2029 (a)

     471,791        473,954  

Avant Credit Card Master Trust, Series 2021-1A, Class A, 1.370%, 4/15/2027 (a)

     3,500,000        3,209,776  

Avant Credit Card Master Trust, Series 2021-1A, Class B, 1.620%, 4/15/2027 (a)

     2,250,000        2,111,470  

Avant Loans Funding Trust, Series 2021-REV1, Class A, 1.210%, 7/15/2030 (a)

     1,729,056        1,701,897  

Avid Automobile Receivables Trust, Series 2021-1, Class C, 1.550%, 5/15/2026 (a)

     1,500,000        1,468,159  

Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026 (a)

     1,000,000        1,000,482  

Avid Automobile Receivables Trust, Series 2023-1, Class B, 7.120%, 3/15/2027 (a)

     2,600,000        2,607,972  

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 AESOP LLC, Series 2018-1A, Class B, 4.000%, 9/20/2024 (a)

     500,000        500,111  

BA Credit Card Trust, Series 2021-A1, Class A1, 0.440%, 9/15/2026

     2,638,000        2,547,809  

BHG Securitization Trust, Series 2022-B, Class A, 3.750%, 6/18/2035 (a)

     965,981        955,367  

CARDS II Trust, Series 2021-1A, Class A, 0.602%, 4/15/2027 (a)

     325,000        313,846  

CarNow Auto Receivables Trust, Series 2021-1A, Class D, 3.640%, 2/17/2026 (a)

     1,250,000        1,222,375  

CarNow Auto Receivables Trust, Series 2022-1A, Class B, 4.890%, 3/16/2026 (a)

     957,796        953,106  

Carvana Auto Receivables Trust, Series 2019-4A, Class D, 3.070%, 7/15/2025 (a)

     240,271        238,353  

Carvana Auto Receivables Trust, Series 2021-P2, Class A3, 0.490%, 3/10/2026

     807,785        789,007  

Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.360%, 4/12/2027 (a)

     1,357,113        1,347,332  

Carvana Auto Receivables Trust, Series 2020-N1A, Class E, 5.200%, 7/15/2027 (a)

     1,450,000        1,396,317  

Carvana Auto Receivables Trust, Series 2021-N1, Class C, 1.300%, 1/10/2028

     1,475,746        1,383,155  

Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028

     1,972,258        1,826,970  

Carvana Auto Receivables Trust, Series 2021-N2, Class C, 1.070%, 3/10/2028

     585,395        539,843  

Carvana Auto Receivables Trust, Series 2021-N3, Class C, 1.020%, 6/12/2028

     1,519,520        1,416,398  

CFMT Issuer Trust, Series 2021-GRN1, Class A, 1.100%, 3/20/2041 (a)

     1,487,572        1,377,346  

Chase Auto Credit Linked Notes, Series 2020-1, Class B, 0.991%, 1/25/2028 (a)

     20,143        19,994  

Chase Auto Credit Linked Notes, Series 2020-1, Class C, 1.389%, 1/25/2028 (a)

     55,394        55,058  

Chase Auto Credit Linked Notes, Series 2021-2, Class D, 1.138%, 12/26/2028 (a)

     404,666        393,112  

Citibank Credit Card Issuance Trust, Series 2017-A5, Class A5,
6.026% (TSFR1M + 0.734%), 4/22/2026 (b)

     1,865,000        1,873,184  

Consumer Loan Underlying Bond CLUB Certificate Trust, Series 2019-33, Class PT,
11.173%, 10/17/2044 (a)(c)(d)

     504,104        466,905  

Consumer Loan Underlying Bond CLUB Credit Trust, Series 2019-P2, Class C,
4.410%, 10/15/2026 (a)

     52,936        52,836  

Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class A,
2.240%, 12/15/2028 (a)

     500,000        483,501  

Continental Finance Credit Card ABS Master Trust, Series 2021-A, Class A,
2.550%, 12/17/2029 (a)

     2,000,000        1,841,680  

CPS Auto Receivables Trust, Series 2023-A, Class B, 5.470%, 11/16/2026 (a)

     750,000        741,340  
     

 

See accompanying notes which are an integral part of these financial statements.

 

87


Table of Contents

Angel Oak UltraShort Income Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities – (continued)

     

CPS Auto Receivables Trust, Series 2023-B, Class A, 5.910%, 8/16/2027 (a)

   $ 1,955,115      $ 1,954,995  

CPS Auto Receivables Trust, Series 2021-B, Class E, 3.410%, 6/15/2028 (a)

     500,000        467,538  

CPS Auto Receivables Trust, Series 2022-C, Class B, 4.880%, 4/15/2030 (a)

     1,170,000        1,158,618  

Credit Suisse ABS Trust, Series 2020-AT1, Class A, 2.610%, 10/15/2026 (a)

     155,471        152,002  

Donlen Fleet Lease Funding LLC, Series 2021-2, Class B, 0.980%, 12/11/2034 (a)

     1,500,000        1,422,993  

DT Auto Owner Trust, Series 2022-2A, Class B, 4.220%, 1/15/2027 (a)

     1,700,000        1,675,908  

DT Auto Owner Trust, Series 2023-2A, Class A, 5.880%, 4/15/2027 (a)

     832,460        831,037  

DT Auto Owner Trust, Series 2022-3A, Class B, 6.740%, 7/17/2028 (a)

     2,700,000        2,702,128  

DT Auto Owner Trust, Series 2021-3A, Class E, 2.650%, 9/15/2028 (a)

     500,000        446,223  

Exeter Automobile Receivables Trust, Series 2023-2A, Class A2, 5.870%, 11/17/2025

     850,000        850,535  

Exeter Automobile Receivables Trust, Series 2023-1A, Class A3, 5.580%, 4/15/2026

     700,000        697,534  

FHF Trust, Series 2021-2A, Class A, 0.830%, 12/15/2026 (a)

     1,093,368        1,044,922  

FHF Trust, Series 2021-1A, Class A, 1.270%, 3/15/2027 (a)

     1,401,474        1,353,301  

FHF Trust, Series 2022-2A, Class A, 6.140%, 12/15/2027 (a)

     733,508        725,013  

First Investors Auto Owner Trust, Series 2019-2A, Class F, 5.690%, 7/15/2026 (a)

     500,000        491,935  

First Investors Auto Owner Trust, Series 2019-1A, Class F, 6.150%, 7/15/2026 (a)

     450,000        448,963  

Flagship Credit Auto Trust, Series 2019-4, Class D, 3.120%, 1/15/2026 (a)

     950,000        923,521  

Flagship Credit Auto Trust, Series 2022-4, Class A2, 6.150%, 9/15/2026 (a)

     1,310,300        1,311,809  

Foundation Finance Trust, Series 2017-1A, Class C, 5.400%, 7/15/2033 (a)

     1,300,000        1,240,738  

Foundation Finance Trust, Series 2020-1A, Class A, 3.540%, 7/16/2040 (a)

     772,313        748,987  

Foundation Finance Trust, Series 2021-1A, Class A, 1.270%, 5/15/2041 (a)

     803,194        711,604  

Foundation Finance Trust, Series 2021-2A, Class A, 2.190%, 1/15/2042 (a)

     987,961        900,958  

Foursight Capital Automobile Receivables Trust, Series 2023-1, Class A2,
5.430%, 10/15/2026 (a)

     731,580        728,620  

Foursight Capital Automobile Receivables Trust, Series 2020-1, Class F, 4.620%, 6/15/2027 (a)

     1,750,000        1,746,335  

Foursight Capital Automobile Receivables Trust, Series 2022-2, Class B,
5.190%, 10/15/2027 (a)

     1,200,000        1,176,160  

FREED ABS Trust, Series 2022-4FP, Class B, 7.580%, 12/18/2029 (a)

     2,000,000        2,014,966  

Genesis Sales Finance Master Trust, Series 2021-AA, Class A, 1.200%, 12/21/2026 (a)

     2,000,000        1,870,592  

GLS Auto Receivables Issuer Trust, Series 2020-1A, Class D, 3.680%, 11/16/2026 (a)

     450,000        434,909  

GLS Auto Receivables Issuer Trust, Series 2023-1A, Class B, 6.190%, 6/15/2027 (a)

     2,493,000        2,486,695  

GLS Auto Receivables Issuer Trust, Series 2021-1A, Class E, 3.140%, 1/18/2028 (a)

     2,400,000        2,254,598  

Goldman Home Improvement Trust, Series 2021-GRN2, Class A, 1.150%, 6/25/2051 (a)

     1,635,813        1,516,441  

Hertz Vehicle Financing LLC, Series 2022-3A, Class A, 3.370%, 3/25/2025 (a)

     1,850,000        1,834,338  

Hertz Vehicle Financing LLC, Series 2022-3A, Class C, 4.350%, 3/25/2025 (a)

     800,000        791,466  

LAD Auto Receivables Trust, Series 2023-1A, Class A2, 5.680%, 10/15/2026 (a)

     1,617,269        1,613,968  

LAD Auto Receivables Trust, Series 2022-1A, Class A, 5.210%, 6/15/2027 (a)

     567,011        561,524  

Lendbuzz Securitization Trust, Series 2022-1A, Class A, 4.220%, 5/17/2027 (a)

     3,952,458        3,833,406  

Lendbuzz Securitization Trust, Series 2023-1A, Class A2, 6.920%, 8/15/2028 (a)

     1,000,000        994,464  

LendingPoint Asset Securitization Trust, Series 2021-B, Class B, 1.680%, 2/15/2029 (a)

     601,839        599,079  

LendingPoint Asset Securitization Trust, Series 2022-A, Class B, 2.410%, 6/15/2029 (a)

     1,362,824        1,355,943  

LendingPoint Asset Securitization Trust, Series 2022-B, Class A, 4.770%, 10/15/2029 (a)

     392,056        387,171  

LendingPoint Asset Securitization Trust, Series 2022-C, Class B, 7.460%, 2/15/2030 (a)

     2,000,000        1,996,106  

LendingPoint Pass-Through Trust, Series 2022-ST1, Class A, 2.500%, 3/15/2028 (a)

     771,337        747,917  

LendingPoint Pass-Through Trust, Series 2022-ST2, Class A, 3.250%, 4/15/2028 (a)

     1,082,322        1,042,653  

LL ABS Trust, Series 2020-1A, Class C, 6.540%, 1/17/2028 (a)

     1,328,612        1,329,644  

LL ABS Trust, Series 2021-1A, Class A, 1.070%, 5/15/2029 (a)

     2,751,538        2,706,003  

LL ABS Trust, Series 2021-1A, Class B, 2.170%, 5/15/2029 (a)

     1,000,000        938,409  

Lobel Automobile Receivables Trust, Series 2023-1, Class A, 6.970%, 7/15/2026 (a)

     586,749        584,690  

Marlette Funding Trust, Series 2021-1A, Class D, 2.470%, 6/16/2031 (a)

     1,000,000        939,366  

 

See accompanying notes which are an integral part of these financial statements.

 

88


Table of Contents

Angel Oak UltraShort Income Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities – (continued)

     

Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.500%, 9/21/2026 (a)

   $ 5,000,000      $ 4,740,650  

Mercury Financial Credit Card Master Trust, Series 2023-1A, Class A, 8.040%, 9/20/2027 (a)

     700,000        705,453  

Octane Receivables Trust, Series 2020-1A, Class D, 5.450%, 3/20/2028 (a)

     3,100,000        3,024,499  

Octane Receivables Trust, Series 2023-2A, Class A2, 5.880%, 6/20/2031 (a)

     1,500,000        1,493,943  

Oportun Funding LLC, Series 2021-A, Class A, 1.210%, 3/8/2028 (a)(d)

     615,549        590,951  

Oportun Funding LLC, Series 2022-1, Class A, 3.250%, 6/15/2029 (a)

     414,088        410,844  

Oportun Issuance Trust, Series 2021-C, Class A, 2.180%, 10/8/2031 (a)

     2,000,000        1,817,672  

Pagaya AI Debt Selection Trust, Series 2020-3, Class C, 6.430%, 5/17/2027 (a)

     3,789,560        3,787,456  

Pagaya AI Debt Selection Trust, Series 2021-1, Class A, 1.180%, 11/15/2027 (a)

     52,082        52,086  

Pagaya AI Debt Selection Trust, Series 2021-1, Class B, 2.130%, 11/15/2027 (a)

     5,047,919        4,982,675  

Pagaya AI Debt Selection Trust, Series 2021-1, Class C, 4.090%, 11/15/2027 (a)

     199,918        175,485  

Pagaya AI Debt Selection Trust, Series 2021-HG1, Class A, 1.220%, 1/16/2029 (a)

     4,899,091        4,718,354  

Pagaya AI Debt Selection Trust, Series 2021-HG1, Class B, 1.820%, 1/16/2029 (a)

     1,069,465        1,009,409  

Pagaya AI Debt Selection Trust, Series 2021-3, Class B, 1.740%, 5/15/2029 (a)

     3,499,810        3,403,757  

Pagaya AI Debt Selection Trust, Series 2021-5, Class B, 2.630%, 8/15/2029 (a)

     999,882        940,975  

Pagaya AI Debt Selection Trust, Series 2022-1, Class A, 2.030%, 10/15/2029 (a)

     2,060,446        2,011,463  

Pagaya AI Debt Selection Trust, Series 2022-1, Class B, 3.344%, 10/15/2029 (a)

     4,699,379        4,382,180  

Pagaya AI Debt Selection Trust, Series 2022-3, Class A, 6.060%, 3/15/2030 (a)

     1,733,520        1,731,225  

Pagaya AI Debt Selection Trust, Series 2022-5, Class A, 8.096%, 6/17/2030 (a)

     2,895,565        2,927,433  

Pagaya AI Debt Selection Trust, Series 2023-1, Class A, 7.556%, 7/15/2030 (a)

     1,193,289        1,197,748  

Pagaya AI Debt Selection Trust, Series 2023-3, Class A, 7.600%, 12/16/2030 (a)

     2,370,675        2,383,308  

Pagaya AI Debt Selection Trust, Series 2023-5, Class B, 7.625%, 4/15/2031 (a)

     2,000,000        2,007,248  

Prestige Auto Receivables Trust, Series 2023-1A, Class A2, 5.880%, 3/16/2026 (a)

     800,000        798,343  

Prestige Auto Receivables Trust, Series 2022-1A, Class B, 6.550%, 7/17/2028 (a)

     1,160,000        1,165,284  

Purchasing Power Funding LLC, Series 2021-A, Class A, 1.570%, 10/15/2025 (a)

     1,189,101        1,185,279  

Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B, 5.281%, 5/15/2032 (a)

     191,343        189,197  

Santander Drive Auto Receivables Trust, Series 2022-7, Class A2, 5.810%, 1/15/2026

     302,685        302,935  

Santander Drive Auto Receivables Trust, Series 2023-2, Class A2, 5.870%, 3/16/2026

     1,350,000        1,351,103  

Skopos Auto Receivables Trust, Series 2019-1A, Class D, 5.240%, 4/15/2025 (a)

     2,064,703        2,067,445  

Skopos Auto Receivables Trust, Series 2019-1A, Class E, 7.820%, 6/15/2026 (a)

     500,000        499,965  

SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037 (a)

     8,878,851        8,074,640  

Tesla Auto Lease Trust, Series 2023-A, Class A2, 5.860%, 8/20/2025 (a)

     1,000,000        1,000,587  

Tesla Auto Lease Trust, Series 2021-B, Class D, 1.320%, 9/22/2025 (a)

     2,105,000        1,993,454  

Theorem Funding Trust, Series 2021-1A, Class B, 1.840%, 12/15/2027 (a)

     2,000,000        1,959,188  

Theorem Funding Trust, Series 2022-1A, Class A, 1.850%, 2/15/2028 (a)

     862,154        853,020  

Theorem Funding Trust, Series 2023-1A, Class A, 7.580%, 4/15/2029 (a)

     3,364,096        3,383,934  

Theorem Funding Trust, Series 2022-3A, Class A, 7.600%, 4/15/2029 (a)

     3,077,482        3,099,231  

Theorem Funding Trust, Series 2022-3A, Class B, 8.950%, 4/15/2029 (a)

     1,400,000        1,438,101  

Tricolor Auto Securitization Trust, Series 2022-1A, Class B, 4.340%, 5/15/2025 (a)

     800,000        794,978  

Tricolor Auto Securitization Trust, Series 2023-1A, Class A, 6.480%, 8/17/2026 (a)

     453,355        452,914  

UNIFY Auto Receivables Trust, Series 2021-1A, Class B, 1.290%, 11/16/2026 (a)

     1,450,000        1,354,474  

United Auto Credit Securitization Trust, Series 2023-1, Class A, 5.570%, 7/10/2025 (a)

     349,528        349,527  

United Auto Credit Securitization Trust, Series 2022-2, Class B, 5.410%, 12/10/2025 (a)

     1,000,000        995,589  

United Auto Credit Securitization Trust, Series 2022-1, Class C, 2.610%, 6/10/2027 (a)

     2,000,000        1,977,340  

Upgrade Master Pass-Thru Trust, Series 2019-ST3, Class A, 3.750%, 11/15/2025 (a)

     14,707        14,678  

Upstart Pass-Through Trust, Series 2020-ST5, Class A, 3.000%, 12/20/2026 (a)

     2,178,421        2,108,952  

Upstart Pass-Through Trust, Series 2020-ST6, Class A, 3.000%, 1/20/2027 (a)

     443,164        427,749  

Upstart Pass-Through Trust, Series 2021-ST1, Class A, 2.750%, 2/20/2027 (a)

     1,770,263        1,708,097  

Upstart Pass-Through Trust, Series 2021-ST2, Class A, 2.500%, 4/20/2027 (a)

     3,739,254        3,602,962  

Upstart Pass-Through Trust, Series 2021-ST3, Class A, 2.000%, 5/20/2027 (a)

     2,654,577        2,536,966  

 

See accompanying notes which are an integral part of these financial statements.

 

89


Table of Contents

Angel Oak UltraShort Income Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities – (continued)

     

Upstart Pass-Through Trust, Series 2021-ST4, Class A, 2.000%, 7/20/2027 (a)

   $ 4,444,438        $ 4,226,790  

Upstart Pass-Through Trust, Series 2021-ST6, Class A, 1.850%, 8/20/2027 (a)

     3,037,360        2,894,376  

Upstart Pass-Through Trust, Series 2020-ST1, Class A, 3.750%, 2/20/2028 (a)

     977,850        970,212  

Upstart Pass-Through Trust, Series 2020-ST3, Class A, 3.350%, 4/20/2028 (a)

     1,387,426        1,369,974  

Upstart Pass-Through Trust, Series 2021-ST7, Class A, 1.850%, 9/20/2029 (a)

     598,387        588,098  

Upstart Pass-Through Trust, Series 2021-ST8, Class A, 1.750%, 10/20/2029 (a)

     2,473,203        2,387,417  

Upstart Pass-Through Trust, Series 2021-ST10, Class A, 2.250%, 1/20/2030 (a)

     1,901,815        1,843,998  

Upstart Pass-Through Trust, Series 2022-ST1, Class A, 2.600%, 3/20/2030 (a)

     1,765,627        1,707,148  

Upstart Pass-Through Trust, Series 2022-2A, Class A, 4.250%, 6/17/2030 (a)

     579,359        557,710  

Upstart Pass-Through Trust, Series 2022-4A, Class A, 7.010%, 11/15/2030 (a)

     562,972        563,990  

Upstart Securitization Trust, Series 2019-3, Class C, 5.381%, 1/21/2030 (a)

     541,614        538,101  

Upstart Securitization Trust, Series 2021-1, Class C, 4.060%, 3/20/2031 (a)

     2,000,000        1,930,114  

Upstart Securitization Trust, Series 2021-2, Class B, 1.750%, 6/20/2031 (a)

     3,751,215        3,697,670  

Upstart Securitization Trust, Series 2021-2, Class C, 3.610%, 6/20/2031 (a)

     250,000        231,773  

Upstart Securitization Trust, Series 2021-3, Class A, 0.830%, 7/20/2031 (a)

     43,425        42,691  

Upstart Securitization Trust, Series 2021-3, Class B, 1.660%, 7/20/2031 (a)

     1,350,000        1,313,816  

Upstart Securitization Trust, Series 2021-4, Class A, 0.840%, 9/20/2031 (a)

     47,209        46,671  

Upstart Securitization Trust, Series 2021-4, Class B, 1.840%, 9/20/2031 (a)

     4,000,000        3,801,956  

Upstart Securitization Trust, Series 2021-5, Class A, 1.310%, 11/20/2031 (a)

     143,569        141,941  

Upstart Securitization Trust, Series 2022-2, Class A, 4.370%, 5/20/2032 (a)

     191,975        190,441  

Upstart Securitization Trust, Series 2022-4, Class A, 5.980%, 8/20/2032 (a)

     1,291,103        1,284,096  

Upstart Securitization Trust, Series 2023-1, Class A, 6.590%, 2/20/2033 (a)

     663,824        663,071  

Upstart Securitization Trust, Series 2023-2, Class A, 6.770%, 6/20/2033 (a)

     1,000,000        1,001,715  

Upstart Structured Pass-Through Trust, Series 2022-1A, Class A, 3.400%, 4/15/2030 (a)

     621,289        610,167  

US Auto Funding Trust, Series 2022-1A, Class A, 3.980%, 4/15/2025 (a)

     1,818,796        1,760,411  

US Auto Funding Trust, Series 2022-1A, Class B, 5.130%, 12/15/2025 (a)

     750,000        714,742  

USASF Receivables LLC, Series 2020-1A, Class D, 9.350%, 3/15/2027 (a)

     6,578,000        6,639,912  

Veros Automobile Receivables Trust, Series 2020-1, Class C, 2.990%, 6/16/2025 (a)

     557,083        555,932  

Veros Automobile Receivables Trust, Series 2022-1, Class A, 3.470%, 12/15/2025 (a)

     917,033        910,253  

Veros Automobile Receivables Trust, Series 2023-1, Class A, 7.120%, 11/15/2028 (a)

     1,766,986        1,768,143  

Westlake Automobile Receivables Trust, Series 2022-3A, Class A2, 5.240%, 7/15/2025 (a)

     3,225,434        3,223,015  

Westlake Automobile Receivables Trust, Series 2020-2A, Class D, 2.760%, 1/15/2026 (a)

     993,868        983,251  

Westlake Automobile Receivables Trust, Series 2023-1A, Class A2A, 5.510%, 6/15/2026 (a)

     1,000,000        998,742  

Westlake Automobile Receivables Trust, Series 2023-2A, Class A2B, 5.818% (SOFR30A + 0.750%), 7/15/2026 (a)(b)

     300,000        300,568  
     

 

 

 

TOTAL ASSET-BACKED SECURITIES
(Cost – $254,497,106)

      $ 250,355,159  
     

 

 

 

Collateralized Loan Obligations – 10.90%

     

Barings Middle Market CLO Ltd., Series 2021-IA, Class X,
6.838% (TSFR3M + 1.512%), 7/20/2033 (a)(b)

     2,285,714        2,283,504  

Cathedral Lake CLO Ltd., Series 2021-6A, Class X,
6.613% (TSFR3M + 1.262%), 4/25/2034 (a)(b)

     2,315,789        2,314,812  

Cedar Funding CLO Ltd., Series 2014-4A, Class X,
6.507% (TSFR3M + 1.162%), 7/23/2034 (a)(b)

     1,428,568        1,424,350  

Cerberus Loan Funding LP, Series 2021-6A, Class A,
6.970% (TSFR3M + 1.662%), 11/22/2033 (a)(b)

     968,528        963,281  

CIFC Funding Ltd., Series 2015-3A, Class AR,
6.452% (TSFR3M + 1.132%), 4/19/2029 (a)(b)

     4,166,721        4,149,996  

Elevation CLO Ltd., Series 2021-13A, Class X,
6.570% (TSFR3M + 1.262%), 7/15/2034 (a)(b)

     1,600,000        1,599,464  

 

See accompanying notes which are an integral part of these financial statements.

 

90


Table of Contents

Angel Oak UltraShort Income Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Collateralized Loan Obligations – (continued)

     

Elevation CLO Ltd., Series 2021-14A, Class X, 6.538% (TSFR3M + 1.212%), 10/20/2034 (a)(b)

   $ 2,250,000        $ 2,249,177  

First Eagle Commercial Loan Funding LLC, Series 2016-1A, Class A1AR,
7.303% (3 Month LIBOR USD + 1.690%), 1/25/2032 (a)(b)

     5,182,628        5,156,741  

Golub Capital Partners CLO Ltd., Series 2018-36A, Class A,
6.626% (3 Month LIBOR USD + 1.300%), 2/5/2031 (a)(b)

     1,676,524        1,667,345  

Great Lakes CLO Ltd., Series 2021-5A, Class AX, 6.520% (TSFR3M + 1.212%), 4/15/2033 (a)(b)

     1,660,000        1,652,462  

Hayfin Kingsland Ltd., Series 2019-2A, Class XR,
6.538% (TSFR3M + 1.212%), 10/20/2034 (a)(b)

     1,500,000        1,499,544  

ICG US CLO Ltd., Series 2015-1X, Class A1R, 6.722% (TSFR3M + 1.402%), 10/19/2028 (b)(e)

     899,631        893,806  

Jamestown CLO Ltd., Series 2016-9A, Class XRR,
6.513% (TSFR3M + 1.162%), 7/25/2034 (a)(b)

     1,666,669        1,666,669  

Lake Shore MM CLO Ltd., Series 2021-1A, Class X,
6.750% (TSFR3M + 1.442%), 10/15/2033 (a)(b)

     2,850,000        2,846,320  

Madison Park Funding Ltd., Series 12A, Class AR,
6.437% (TSFR3M + 1.092%), 4/22/2027 (a)(b)

     2,703,839        2,692,175  

Madison Park Funding Ltd., Series 2018-30A, Class A,
6.320% (TSFR3M + 1.012%), 4/15/2029 (a)(b)

     944,949        938,548  

Marble Point CLO Ltd., Series 2020-3A, Class X,
6.432% (TSFR3M + 1.112%), 1/19/2034 (a)(b)

     666,664        664,749  

Monroe Capital MML CLO Ltd., Series 2018-1A, Class A,
7.020% (3 Month LIBOR USD + 1.450%), 4/15/2030 (a)(b)

     1,751,998        1,733,639  

Monroe Capital MML CLO Ltd., Series 2021-2A, Class X,
6.557% (3 Month LIBOR USD + 1.000%), 9/14/2033 (a)(b)

     2,558,000        2,555,675  

Mountain View CLO LLC, Series 2016-1A, Class XR,
6.373% (TSFR3M + 1.062%), 4/14/2033 (a)(b)

     1,263,158        1,260,000  

Mountain View CLO Ltd., Series 2019-1A, Class XR,
6.320% (TSFR3M + 1.012%), 10/15/2034 (a)(b)

     543,750        542,317  

Neuberger Berman CLO Ltd., Series 2015-20A, Class XR,
6.520% (TSFR3M + 1.212%), 7/15/2034 (a)(b)

     3,000,000        2,998,611  

Owl Rock CLO Ltd., Series 2019-1A, Class A,
7.179% (3 Month LIBOR USD + 1.800%), 5/20/2031 (a)(b)

     3,000,000        2,991,147  

OZLM Ltd., Series 2015-14A, Class X, 6.570% (TSFR3M + 1.262%), 7/15/2034 (a)(b)

     466,667        465,359  

Saranac CLO Ltd., Series 2014-2A, Class A1AR,
6.609% (3 Month LIBOR USD + 1.230%), 11/20/2029 (a)(b)

     3,228,781        3,217,002  

Symphony CLO Ltd., Series 2021-25A, Class X,
6.282% (TSFR3M + 0.962%), 4/19/2034 (a)(b)

     250,000        249,334  

TCW CLO Ltd., Series 2020-1A, Class XRR,
6.438% (3 Month LIBOR USD + 0.850%), 4/20/2034 (a)(b)

     1,714,286        1,713,542  

TCW CLO Ltd., Series 2021-2A, Class X,
6.613% (3 Month LIBOR USD + 1.000%), 7/25/2034 (a)(b)

     2,133,333        2,132,640  

TCW CLO Ltd., Series 2019-1A, Class XR,
6.318% (3 Month LIBOR USD + 1.000%), 8/16/2034 (a)(b)

     2,133,333        2,132,883  

THL Credit Lake Shore MM CLO Ltd., Series 2019-1A, Class X,
6.570% (TSFR3M + 1.262%), 4/15/2033 (a)(b)

     1,000,000        996,120  

Wellfleet CLO Ltd., Series 2019-XA, Class X, 6.588% (TSFR3M + 1.262%), 7/20/2032 (a)(b)

     2,045,455        2,044,728  
     

 

 

 

TOTAL COLLATERALIZED LOAN OBLIGATIONS
(Cost – $59,734,260)

      $ 59,695,940  
     

 

 

 

Commercial Mortgage-Backed Securities – 3.17%

     

BXP Trust, Series 2017-CQHP, Class A, 6.119% (TSFR1M + 0.897%), 11/15/2034 (a)(b)

     1,000,000        966,079  

BXP Trust, Series 2017-CQHP, Class C, 6.519% (TSFR1M + 1.297%), 11/15/2034 (a)(b)

     3,000,000        2,750,844  

 

See accompanying notes which are an integral part of these financial statements.

 

91


Table of Contents

Angel Oak UltraShort Income Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Commercial Mortgage-Backed Securities – (continued)

     

Credit Suisse Mortgage Trust, Series 2017-PFHP, Class A,
6.219% (TSFR1M + 0.997%), 12/15/2030 (a)(b)

     $ 620,000        $ 586,809  

Greystone CRE Notes Ltd., Series 2021-HC2, Class A,
7.136% (TSFR1M + 1.914%), 12/15/2039 (a)(b)

     4,000,000        3,894,284  

GS Mortgage-Backed Securities Corp. Trust, Series 2018-TWR, Class B,
6.719% (TSFR1M + 1.497%), 7/15/2031 (a)(b)

     775,000        664,471  

GS Mortgage-Backed Securities Corp. Trust, Series 2018-HART, Class B,
6.583% (TSFR1M + 1.353%), 10/15/2031 (a)(b)

     683,000        648,160  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PTC, Class A,
6.719% (TSFR1M + 1.497%), 4/15/2031 (a)(b)

     1,253,000        1,103,706  

Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class A,
6.801% (TSFR1M + 1.579%), 7/15/2036 (a)(b)

     848,857        808,231  

Velocity Commercial Capital Loan Trust, Series 2021-2, Class A, 1.520%, 8/25/2051 (a)(c)

     3,607,460        3,049,245  

Velocity Commercial Capital Loan Trust, Series 2021-3, Class A, 1.960%, 10/25/2051 (a)(c)

     2,355,161        1,945,914  

Velocity Commercial Capital Loan Trust, Series 2021-4, Class A, 2.520%, 12/26/2051 (a)(c)

     1,140,930        961,721  
     

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost – $19,244,003)

      $ 17,379,464  
     

 

 

 

Commercial Mortgage-Backed Securities - U.S. Government Agency – 7.26%

     

Federal Home Loan Mortgage Corp., Series K-F67, Class A,
5.738% (SOFR30A + 0.634%), 8/25/2029 (b)

     1,429,070        1,411,435  

Federal Home Loan Mortgage Corp., Series K-F155, Class AS,
5.735% (SOFR30A + 0.670%), 2/25/2030 (b)

     1,000,000        1,001,245  

Federal Home Loan Mortgage Corp., Series K-036, Class A2, 3.527%, 10/25/2023 (c)

     1,288,241        1,282,656  

Federal Home Loan Mortgage Corp., Series K-F29, Class A,
5.578% (SOFR30A + 0.474%), 2/25/2024 (b)

     1,197,440        1,196,616  

Federal Home Loan Mortgage Corp., Series K-F51, Class A,
5.618% (SOFR30A + 0.514%), 8/25/2025 (b)

     1,471,501        1,466,590  

Federal Home Loan Mortgage Corp., Series K-F60, Class A,
5.708% (SOFR30A + 0.604%), 2/25/2026 (b)

     1,102,723        1,097,317  

Federal Home Loan Mortgage Corp., Series K-F62, Class A,
5.698% (SOFR30A + 0.594%), 4/25/2026 (b)

     759,819        750,461  

Federal Home Loan Mortgage Corp., Series K-F64, Class A,
5.658% (SOFR30A + 0.554%), 6/25/2026 (b)

     282,464        278,596  

Federal Home Loan Mortgage Corp., Series K-F68, Class A,
5.708% (SOFR30A + 0.604%), 7/25/2026 (b)

     6,235,205        6,187,655  

Federal Home Loan Mortgage Corp., Series K-F74, Class AS,
5.596% (MSOFR1MC + 0.530%), 1/25/2027 (b)

     118,534        117,836  

Federal Home Loan Mortgage Corp., Series K-F81, Class AS,
5.465% (SOFR30A + 0.400%), 6/25/2027 (b)

     1,359,777        1,352,785  

Federal Home Loan Mortgage Corp., Series K-F86, Class AS,
5.385% (SOFR30A + 0.320%), 8/25/2027 (b)

     4,313,676        4,276,993  

Federal Home Loan Mortgage Corp., Series K-F86, Class AL,
5.508% (SOFR30A + 0.404%), 8/25/2027 (b)

     1,315,851        1,295,951  

Federal Home Loan Mortgage Corp., Series K-F93, Class AS,
5.375% (SOFR30A + 0.310%), 10/25/2027 (b)

     975,971        966,681  

Federal Home Loan Mortgage Corp., Series K-F93, Class AL,
5.498% (SOFR30 + 0.394%), 10/25/2027 (b)

     1,141,487        1,122,566  

Federal Home Loan Mortgage Corp., Series K-F100, Class AL,
5.348% (SOFR30A + 0.244%), 11/25/2027 (b)

     3,024,932        2,956,433  

 

See accompanying notes which are an integral part of these financial statements.

 

92


Table of Contents

Angel Oak UltraShort Income Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Commercial Mortgage-Backed Securities - U.S. Government Agency – (continued)

     

Federal Home Loan Mortgage Corp., Series K-F100, Class AS,
5.245% (SOFR30A + 0.180%), 1/25/2028 (b)

   $ 2,290,674        $ 2,256,529  

Federal Home Loan Mortgage Corp., Series K-F43, Class A,
5.458% (SOFR30A + 0.354%), 1/25/2028 (b)

     2,126,080        2,085,414  

Federal Home Loan Mortgage Corp., Series K-F48, Class A,
5.508% (SOFR30A + 0.404%), 6/25/2028 (b)

     828,851        809,456  

Federal Home Loan Mortgage Corp., Series K-F84, Class AL,
5.518% (SOFR30A + 0.414%), 7/25/2030 (b)

     1,867,178        1,818,516  

Federal Home Loan Mortgage Corp., Series K-F92, Class AS,
5.425% (SOFR30A + 0.360%), 10/25/2030 (b)

     438,110        427,716  

Federal Home Loan Mortgage Corp., Series K-F91, Class AL,
5.548% (SOFR30A + 0.444%), 10/25/2030 (b)

     880,000        855,983  

Federal Home Loan Mortgage Corp., Series K-F96, Class AS,
5.365% (SOFR30A + 0.300%), 11/25/2030 (b)

     389,230        378,557  

Federal Home Loan Mortgage Corp., Series K-F94, Class AL,
5.518% (SOFR30A + 0.414%), 11/25/2030 (b)

     824,659        799,406  

Federal Home Loan Mortgage Corp., Series K-F99, Class AS,
5.265% (SOFR30A + 0.200%), 12/25/2030 (b)

     1,421,770        1,397,428  

Federal Home Loan Mortgage Corp., Series K-F114, Class AS,
5.285% (SOFR30A + 0.220%), 5/25/2031 (b)

     292,291        286,079  

Federal National Mortgage Association, 2.500%, 9/1/2024

     1,938,330        1,869,450  
     

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY
(Cost – $40,301,715)

      $ 39,746,350  
     

 

 

 

Corporate Obligations – 2.15%

     

Consumer, Cyclical – 0.42%

     

Ford Motor Credit Co. LLC, 3.370%, 11/17/2023

     300,000        297,260  

Ford Motor Credit Co. LLC, 5.584%, 3/18/2024

     2,000,000        1,987,512  
     

 

 

 
        2,284,772  
     

 

 

 

Consumer, Non-cyclical – 0.51%

     

Prime Security Services Borrower LLC / Prime Finance, Inc., 5.250%, 4/15/2024 (a)

     2,802,000        2,776,594  
     

 

 

 

Energy – 0.09%

     

Occidental Petroleum Corp., 6.950%, 7/1/2024

     472,000        475,611  
     

 

 

 
     

Financial – 1.13%

     

goeasy Ltd., 5.375%, 12/1/2024 (a)

     1,000,000        975,917  

OneMain Finance Corp., 6.125%, 3/15/2024

     1,275,000        1,272,895  

Starwood Property Trust, Inc., 5.500%, 11/1/2023 (a)

     4,000,000        3,975,640  
     

 

 

 
        6,224,452  
     

 

 

 

TOTAL CORPORATE OBLIGATIONS
(Cost – $11,906,097)

      $ 11,761,429  
     

 

 

 
Investment Companies – 0.90%    Shares         

Affiliated Exchange Traded Funds – 0.90%

     

Angel Oak Ultrashort Income ETF

     97,500        4,931,063  
     

 

 

 

TOTAL INVESTMENT COMPANIES
(Cost – $4,879,821)

        $4,931,063  
     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

93


Table of Contents

Angel Oak UltraShort Income Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – 23.95%

     

Banc of America Funding Corp., Series 2015-R3, Class 7A1,
5.617% (1 Month LIBOR USD + 0.205%), 4/29/2037 (a)(b)

     $461,889      $ 457,469  

Bellemeade Re Ltd., Series 2019-1A, Class M2,
8.112% (TSFR1M + 2.814%), 3/25/2029 (a)(b)

     1,210,653        1,217,587  

Bellemeade Re Ltd., Series 2019-3A, Class M1C,
7.362% (TSFR1M + 2.064%), 7/25/2029 (a)(b)

     975,930        979,010  

BRAVO Residential Funding Trust, Series 2021-A, Class A1, 1.991%, 10/25/2059 (a)(f)

     366,360        342,552  

Bunker Hill Loan Depositary Trust, Series 2019-3, Class A3, 3.135%, 11/25/2059 (a)(f)

     1,074,877        1,020,731  

Cascade Funding Mortgage Trust, Series 2021-HB6, Class A, 0.898%, 6/25/2036 (a)(c)

     1,052,404        991,438  

CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059 (a)(f)

     2,413,791        2,298,571  

Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A11,
6.050% (TSFR1M + 1.014%), 7/25/2049 (a)(b)

     1,380,951        1,306,438  

CIM Trust, Series 2019-INV2, Class A11, 6.100% (SOFR30A + 1.064%), 5/25/2049 (a)(b)

     191,121        179,177  

COLT Funding LLC, Series 2021-3R, Class A3, 1.513%, 12/25/2064 (a)(c)

     752,570        623,825  

COLT Mortgage Loan Trust, Series 2020-2, Class A3, 3.698%, 3/25/2065 (a)(c)

     1,710,000        1,570,599  

COLT Mortgage Loan Trust, Series 2022-7, Class A3, 6.250%, 4/25/2067 (a)(c)

     611,628        584,676  

Credit Suisse Mortgage Trust, Series 2019-AFC1, Class A3, 2.877%, 7/25/2049 (a)(f)

     1,589,907        1,442,521  

Credit Suisse Mortgage Trust, Series 2019-NQM1, Class A1, 2.656%, 10/25/2059 (a)(f)

     1,204,451        1,145,238  

Credit Suisse Mortgage Trust, Series 2021-NQM1, Class A1, 0.809%, 5/25/2065 (a)(c)

     1,642,495        1,392,652  

Credit Suisse Mortgage Trust, Series 2021-NQM3, Class A3, 1.632%, 4/25/2066 (a)(c)

     5,494,060        4,402,231  

Credit Suisse Mortgage Trust, Series 2021-NQM5, Class A3, 1.349%, 5/25/2066 (a)(c)

     3,207,612        2,464,790  

Credit Suisse Mortgage Trust, Series 2021-NQM7, Class A2, 1.961%, 10/25/2066 (a)(c)

     3,422,491        2,772,652  

Credit Suisse Mortgage Trust, Series 2021-NQM8, Class A2, 2.303%, 10/25/2066 (a)(c)

     4,046,185        3,293,465  

Flagstar Mortgage Trust, Series 2018-6RR, Class 1A2,
6.112% (TSFR1M + 0.814%), 10/25/2048 (a)(b)

     1,113,728        1,054,236  

Galton Funding Mortgage Trust, Series 2017-1, Class A21, 3.500%, 7/25/2056 (a)(c)

     36,802        32,954  

GCAT Trust, Series 2020-NQM2, Class A1, 1.555%, 4/25/2065 (a)(f)

     1,167,911        1,046,159  

GCAT Trust, Series 2022-NQM4, Class A3, 5.730%, 8/25/2067 (a)(f)

     598,860        578,278  

GS Mortgage-Backed Securities Corp. Trust, Series 2014-EB1A, Class B2,
4.286%, 7/25/2044 (a)(c)

     1,847,659        1,812,600  

GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ2, Class A1,
3.500%, 7/25/2050 (a)(c)

     231,285        202,030  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ9, Class A8,
2.500%, 2/26/2052 (a)(c)

     8,189,783        7,015,589  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ10, Class A8,
2.500%, 3/25/2052 (a)(c)

     4,192,099        3,590,009  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1,
1.750%, 12/25/2060 (a)(c)

     600,985        535,954  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-NQM1, Class A3,
1.532%, 7/25/2061 (a)(c)

     1,577,762        1,293,761  

Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A3, 1.617%, 6/25/2056 (a)(c)

     1,323,104        1,089,878  

JP Morgan Mortgage Trust, Series 2018-1, Class B1, 3.611%, 6/25/2048 (a)(c)

     862,830        756,634  

JP Morgan Mortgage Trust, Series 2019-1, Class A11,
6.362% (TSFR1M + 1.064%), 5/25/2049 (a)(b)

     1,626,029        1,549,530  

JP Morgan Mortgage Trust, Series 2019-5, Class A11,
6.050% (TSFR1M + 1.014%), 11/25/2049 (a)(b)

     771,090        725,041  

JP Morgan Mortgage Trust, Series 2019-6, Class A3, 3.500%, 12/25/2049 (a)(c)

     1,715,883        1,555,925  

JP Morgan Mortgage Trust, Series 2019-LTV3, Class A3, 3.500%, 3/25/2050 (a)(c)

     171,493        159,721  

JP Morgan Mortgage Trust, Series 2021-1, Class A11,
5.717% (SOFR30A + 0.650%), 6/25/2051 (a)(b)

     4,229,114        3,893,914  

 

See accompanying notes which are an integral part of these financial statements.

 

94


Table of Contents

Angel Oak UltraShort Income Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

JP Morgan Mortgage Trust, Series 2023-HE1, Class A1,
6.818% (SOFR30A + 1.750%), 11/25/2053 (a)(b)

   $ 956,496      $ 952,768  

Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1, 1.892%, 10/25/2066 (a)(f)

     552,367        516,284  

Mello Mortgage Capital Acceptance, Series 2021-MTG2, Class A10, 2.500%, 6/25/2051 (a)(c)

     3,673,058        3,120,700  

METLIFE Securitization Trust, Series 2020-INV1, Class A5, 3.000%, 5/25/2050 (a)(c)

     1,825,834        1,544,188  

MFA Trust, Series 2023-INV1, Class A3, 6.600%, 2/25/2058 (a)(f)

     1,435,391        1,429,938  

Mill City Mortgage Loan Trust, Series 2021-NMR1, Class A1, 1.125%, 11/25/2060 (a)(c)

     1,093,800        994,971  

New Residential Mortgage Loan Trust, Series 2021-INV1, Class A6, 2.500%, 6/25/2051 (a)(c)

     2,329,071        2,020,956  

NLT Trust, Series 2021-INV2, Class A3, 1.520%, 8/25/2056 (a)(c)

     1,909,415        1,539,418  

NMLT Trust, Series 2021-INV1, Class A3, 1.797%, 5/25/2056 (a)(c)

     1,436,245        1,175,656  

OBX Trust, Series 2018-EXP1, Class 2A2, 6.412% (TSFR1M + 1.114%), 4/25/2048 (a)(b)

     70,407        68,044  

OBX Trust, Series 2020-EXP1, Class 2A1, 6.162% (TSFR1M + 0.864%), 2/25/2060 (a)(b)

     494,185        453,109  

OBX Trust, Series 2021-NQM1, Class A3, 1.329%, 2/25/2066 (a)(c)

     4,576,841        3,640,813  

Pepper Residential Securities Trust, Series 23A, Class A1U,
6.122% (SOFR + 1.064%), 8/18/2060 (a)(b)

     15,889        15,527  

Pretium Mortgage Credit Partners LLC, Series 2021-NPL3, Class A1, 1.868%, 7/25/2051 (a)(f)

     4,770,388        4,380,256  

PRKCM Trust, Series 2023-AFC1, Class A3, 7.304%, 2/25/2058 (a)(f)

     1,457,524        1,464,717  

PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026 (a)(f)

     90,138        84,185  

PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026 (a)(f)

     102,905        91,289  

PRPM LLC, Series 2021-6, Class A1, 1.793%, 7/25/2026 (a)(f)

     2,988,455        2,731,636  

PRPM LLC, Series 2021-7, Class A1, 1.867%, 8/25/2026 (a)(f)

     837,675        770,497  

PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026 (a)(f)

     2,003,362        1,882,135  

PRPM LLC, Series 2022-NQM1, Class A3, 5.500%, 8/25/2067 (a)(f)

     2,358,726        2,174,391  

RCO Mortgage LLC, Series 2022-1, Class A1, 2.981%, 1/25/2027 (a)(f)

     2,710,795        2,563,552  

Saluda Grade Alternative Mortgage Trust, Series 2021-MF1, Class A1,
2.805%, 11/25/2029 (a)(c)

     5,000,000        4,529,580  

SG Residential Mortgage Trust, Series 2021-2, Class A2, 1.942%, 12/25/2061 (a)(c)

     4,086,056        3,269,278  

Starwood Mortgage Residential Trust, Series 2020-INV1, Class A3,
1.593%, 11/25/2055 (a)(c)

     2,176,435        1,919,381  

Starwood Mortgage Residential Trust, Series 2021-3, Class A3, 1.518%, 6/25/2056 (a)(c)

     3,295,938        2,597,529  

Starwood Mortgage Residential Trust, Series 2021-5, Class A2, 2.178%, 9/25/2066 (a)(c)

     4,215,509        3,354,702  

Starwood Mortgage Residential Trust, Series 2021-5, Class A3, 2.436%, 9/25/2066 (a)(c)

     3,720,661        2,961,910  

Towd Point Mortgage Trust, Series 2019-HY3, Class A1A,
6.412% (TSFR1M + 1.114%), 10/25/2059 (a)(b)

     1,237,602        1,239,430  

Tricon American Homes Trust, Series 2017-SFR2, Class A, 2.928%, 1/17/2036 (a)

     2,356,424        2,324,393  

Tricon American Homes Trust, Series 2017-SFR2, Class D, 3.672%, 1/17/2036 (a)

     2,000,000        1,976,204  

TRK Trust, Series 2022-INV1, Class A1, 2.577%, 2/25/2057 (a)(c)

     3,389,445        2,969,737  

Verus Securitization Trust, Series 2019-INV3, Class A2, 2.947%, 11/25/2059 (a)(c)

     1,000,314        942,161  

Verus Securitization Trust, Series 2019-INV3, Class M1, 3.279%, 11/25/2059 (a)(c)

     2,513,000        2,091,839  

Verus Securitization Trust, Series 2021-4, Class A2, 1.247%, 7/25/2066 (a)(c)

     1,683,464        1,343,878  

Verus Securitization Trust, Series 2021-5, Class A3, 1.373%, 9/25/2066 (a)(c)

     2,414,926        1,929,975  

Verus Securitization Trust, Series 2021-8, Class A3, 2.491%, 11/25/2066 (a)(c)

     1,776,052        1,454,601  

Verus Securitization Trust, Series 2022-3, Class A3, 4.130%, 2/25/2067 (a)(c)

     3,445,715        3,038,641  

Verus Securitization Trust, Series 2022-5, Class A3, 3.800%, 4/25/2067 (a)(c)

     926,143        772,057  

Verus Securitization Trust, Series 2023-3, Class A3, 6.743%, 3/25/2068 (a)(f)

     958,703        947,662  

Verus Securitization Trust, Series 2023-2, Class A3, 6.852%, 3/25/2068 (a)(f)

     934,610        923,525  

Visio Trust, Series 2021-1R, Class A3, 1.688%, 5/25/2056 (a)

     1,582,481        1,379,659  

Wells Fargo Mortgage-Backed Securities Trust, Series 2020-2, Class A3,
3.000%, 12/25/2049 (a)(c)

     130,428        123,591  

WinWater Mortgage Loan Trust, Series 2015-A, Class AX1, 0.339%, 6/20/2045 (a)(c)(g)

     6,339,027        82,135  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost – $148,726,121)

        $131,164,733  
     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

95


Table of Contents

Angel Oak UltraShort Income Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage - Backed Securities-U.S. Government Agency – 0.88%

     

Federal Home Loan Mortgage Corp., Series 5078, Class AB, 2.000%, 9/25/2035

   $ 2,333,764        $ 2,225,708  

Federal Home Loan Mortgage Corp., Series 4776, Class QM, 3.000%, 6/15/2045

     319,091        312,306  

Federal National Mortgage Association, 2.919%, 10/1/2025 (c)

     1,693,966        1,612,952  

Federal National Mortgage Association, Series 2017-61, Class K, 3.500%, 8/25/2046

     736,190        691,824  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY
(Cost – $5,061,825)

        $4,842,790  
     

 

 

 

Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer – 0.88%

 

  

Connecticut Avenue Securities Trust, Series 2019-R03, Class 1M2,
7.333% (SOFR30A + 2.264%), 9/25/2031 (a)(b)

     33,507        33,594  

Connecticut Avenue Securities Trust, Series 2020-R02, Class 2M2,
7.183% (SOFR30A + 2.114%), 1/25/2040 (a)(b)

     481,823        483,330  

Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1,
7.619% (SOFR30A + 2.550%), 7/25/2042 (a)(b)

     427,367        437,529  

Federal Home Loan Mortgage Corp., Series 2022-DNA1, Class M1A,
6.069% (SOFR30A + 1.000%), 1/25/2042 (a)(b)

     787,192        781,526  

Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1A,
7.069% (SOFR30A + 2.000%), 4/25/2042 (a)(b)

     364,672        367,182  

Federal Home Loan Mortgage Corp., Series 2023-HQA1, Class M1A,
7.069% (SOFR30A + 2.000%), 5/25/2043 (a)(b)

     947,108        954,072  

Federal Home Loan Mortgage Corp., Series 2016-SC02, Class M2,
3.647%, 10/25/2046 (c)

     1,855,096        1,734,600  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER
(Cost – $4,892,388)

        $4,791,833  
     

 

 

 

Short-Term Investments – 4.30%

     

U.S. Treasury Bills – 2.70%

     

5.113%, 9/19/2023 (h)

     5,000,000        4,964,492  

5.199%, 10/26/2023 (h)

     5,000,000        4,937,180  

5.218%, 11/30/2023 (h)

     5,000,000        4,911,586  
     

 

 

 
        $14,813,258  
     

 

 

 
Money Market Funds – 1.60%    Shares         

First American Government Obligations Fund, Class U, 5.162% (i)

     8,748,980        8,748,980  
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(Cost – $23,562,969)

        $23,562,238  
     

 

 

 

TOTAL INVESTMENTS – 100.11%
(Cost – $572,806,305)

      $ 548,230,999  

Liabilities in Excess of Other Assets – (0.11%)

        (608,637
     

 

 

 

NET ASSETS – 100.00%

      $ 547,622,362  
     

 

 

 

LIBOR: London Inter-Bank Offered Rate

SOFR: Secured Overnight Financing Rate

SOFR30A: Secured Overnight Financing Rate 30 Day Average

TSFR1M: 1 Month Term Secured Overnight Financing Rate

TSFR3M: 3 Month Term Secured Overnight Financing Rate

MSOFR1MC: 1 Month Secured Overnight Financing Rate Index

 

See accompanying notes which are an integral part of these financial statements.

 

96


Table of Contents

Angel Oak UltraShort Income Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

(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 $454,092,248 or 82.92% 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)

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.

(d)

Illiquid security. At July 31, 2023, the value of these securities amounted to $1,057,856 or 0.19% of net assets.

(e)

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 $893,806 or 0.16% of net assets.

(f)

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.

(g)

Interest only security.

(h)

Rate disclosed is the effective yield as of July 31, 2023.

(i)

Rate disclosed is the seven day yield as of July 31, 2023.

Schedule of Open Futures Contracts

 

Short Futures Contracts    Expiration Month    Number of
Contracts
     Notional Value      Value &
Unrealized
Appreciation
(Depreciation)
 

3 Year ERIS SOFR Swap Future

   September 2025      (166      ($15,372,264      $82,917  

3 Year ERIS SOFR Swap Future

   December 2025      (293      (27,940,744      164,490  

4 Year ERIS SOFR Swap Future

   December 2026      (300      (28,238,730      225,720  

Total

                          $ 473,127  

 

See accompanying notes which are an integral part of these financial statements.

 

97


Table of Contents

Angel Oak Total Return Bond Fund

Schedule of Investments

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities — 10.01%

     

Carvana Auto Receivables Trust, Series 2020-N1A, Class E, 5.200%, 7/15/2027 (a)

     $150,000        $144,447  

Foundation Finance Trust, Series 2021-1A, Class B, 1.870%, 5/15/2041 (a)

     596,000        534,096  

Foundation Finance Trust, Series 2021-2A, Class D, 5.730%, 1/15/2042 (a)

     500,000        460,440  

Goldman Home Improvement Trust, Series 2021-GRN2, Class D, 4.000%, 6/25/2051 (a)

     500,000        445,024  

GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class A, 2.100%, 5/20/2048 (a)

     387,613        300,361  

Helios Issuer LLC, Series 2021-B, Class A, 1.620%, 7/20/2048 (a)

     838,822        676,746  

Loanpal Solar Loan Ltd., Series 2021-1GS, Class A, 2.290%, 1/20/2048 (a)

     325,364        243,335  

Mosaic Solar Loans LLC, Series 2021-2A, Class B, 2.090%, 4/22/2047 (a)

     360,007        263,959  

Mosaic Solar Loans LLC, Series 2017-2A, Class A, 3.820%, 6/22/2043 (a)

     100,577        90,220  

Tricolor Auto Securitization Trust, Series 2022-1A, Class F, 9.800%, 7/16/2029 (a)

     200,000        195,236  
     

 

 

 

TOTAL ASSET-BACKED SECURITIES
(Cost — $3,944,621)

        $3,353,864  
     

 

 

 

Commercial Mortgage-Backed Securities — 4.04%

     

BBCMS Mortgage Trust, Series 2022-C17, Class A5, 4.441%, 9/15/2055

     200,000        181,353  

Greystone CRE Notes Ltd., Series 2021-HC2, Class C,
8.586% (TSFR1M + 3.364%), 12/15/2039 (a)(b)(c)

     250,000        229,609  

Med Trust, Series 2021-MDLN, Class D, 7.336% (TSFR1M + 2.114%), 11/15/2038 (a)(b)

     497,612        477,380  

X-Caliber Funding LLC, 5.000%, 10/15/2024 (a)

     500,000        466,732  
     

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost — $1,407,498)

        $1,355,074  
     

 

 

 

Commercial Mortgage-Backed Securities — U.S. Government Agency — 4.55%

     

Federal Home Loan Mortgage Corp., Series 2019-KF58, Class B,
7.368% (SOFR30A + 2.264%), 1/25/2026 (a)(b)

     253,287        240,199  

Federal Home Loan Mortgage Corp., Series K-G05, Class A2, 2.000%, 1/25/2031

     250,000        207,881  

Federal Home Loan Mortgage Corp., Series 2022-KSG3, Class A2, 2.650%, 5/25/2032 (d)

     200,000        170,877  

Federal Home Loan Mortgage Corp., Series K-SG4, Class A2, 3.400%, 8/25/2032 (d)

     1,000,000        904,271  
     

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES — U.S. GOVERNMENT AGENCY
(Cost — $1,623,894)

        $1,523,228  
     

 

 

 

Corporate Obligations — 13.99%

     

Basic Materials — 0.73%

     

Compass Minerals International, Inc., 6.750%, 12/1/2027 (a)

     250,000        243,846  
     

 

 

 

Consumer, Cyclical — 1.15%

     

Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.000%, 6/1/2031 (a)

     450,000        385,821  
     

 

 

 

Energy — 2.42%

     

New Fortress Energy, Inc., 6.750%, 9/15/2025 (a)

     625,000        596,517  

Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (a)

     250,000        212,298  
     

 

 

 
        808,815  
     

 

 

 

Financial — 8.06%

     

Bank of America Corp., 5.288% (SOFR + 1.910%), 4/25/2034 (b)

     200,000        198,268  

Dime Community Bancshares, Inc., 5.000% (TSFR3M + 2.180%), 5/15/2032 (b)

     500,000        413,403  

Forbright, Inc., 4.000% (TSFR3M + 2.890%), 1/1/2032 (a)(b)

     500,000        406,630  

 

See accompanying notes which are an integral part of these financial statements.

 

98


Table of Contents

Angel Oak Total Return Bond Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Corporate Obligations – (continued)

     

Financial – (continued)

     

HAT Holdings I LLC / HAT Holdings II LLC, 3.375%, 6/15/2026 (a)

   $ 400,000      $ 362,244  

Mercantile Bank Corp., 3.250% (SOFR + 2.120%), 1/30/2032 (b)

     500,000        399,861  

Morgan Stanley, 5.250% (SOFR + 1.870%), 4/21/2034 (b)

     200,000        197,244  

Preferred Bank, 3.375% (TSFR3M + 2.780%), 6/15/2031 (b)

     250,000        196,283  

Renasant Corp., 3.000% (TSFR3M + 1.910%), 12/1/2031 (b)

     300,000        227,019  

Wells Fargo & Co., 5.389% (SOFR + 2.020%), 4/24/2034 (b)

     300,000        297,552  
     

 

 

 
        2,698,504  
     

 

 

 

Industrial — 1.63%

     

Covanta Holding Corp., 4.875%, 12/1/2029 (a)

     250,000        221,014  

Seaspan Corp., 5.500%, 8/1/2029 (a)

     400,000        326,548  
     

 

 

 
        547,562  
     

 

 

 

TOTAL CORPORATE OBLIGATIONS
(Cost — $5,367,848)

        $4,684,548  
     

 

 

 
Exchange Traded Funds — 4.42%    Shares         

Goldman Sachs Access Investment Grade Corporate Bond ETF

     10,900        492,379  

iShares iBoxx Investment Grade Corporate Bond ETF

     4,585        494,492  

SPDR Portfolio Corporate Bond ETF

     17,100        492,993  
     

 

 

 

TOTAL EXCHANGE TRADED FUNDS
(Cost — $1,495,082)

        $1,479,864  
     

 

 

 
Residential Mortgage-Backed Securities — 14.53%    Principal
Amount
        

BRAVO Residential Funding Trust, Series 2021-A, Class A1, 1.991%, 10/25/2059 (a)(e)

     $293,088        274,042  

Corevest American Finance Trust, Series 2020-4, Class D, 2.712%, 12/15/2052 (a)

     300,000        232,921  

COLT Mortgage Loan Trust, Series 2021-3, Class M1, 2.304%, 9/27/2066 (a)(d)

     135,000        74,841  

Credit Suisse Mortgage Trust, Series 2021-AFC1, Class M1, 2.193%, 3/25/2056 (a)(d)

     1,000,000        570,000  

Credit Suisse Mortgage Trust, Series 2021-NQM2, Class M1, 2.282%, 2/25/2066 (a)(d)

     50,000        30,582  

Deephaven Residential Mortgage Trust, Series 2021-2, Class M1, 2.217%, 4/25/2066 (a)(d)

     100,000        63,970  

Ellington Financial Mortgage Trust, Series 2021-2, Class M1, 2.296%, 6/25/2066 (a)(d)

     139,000        79,865  

Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A3, 1.617%, 6/25/2056 (a)(d)

     264,621        217,976  

JP Morgan Mortgage Trust, Series 2020-2, Class B4, 3.825%, 7/25/2050 (a)(d)

     353,743        272,883  

JP Morgan Mortgage Trust, Series 2020-3, Class B4, 3.845%, 8/25/2050 (a)(d)

     352,009        265,399  

MFA Trust, Series 2021-RPL1, Class A2, 2.072%, 7/25/2060 (a)(d)

     500,000        398,763  

MFA Trust, Series 2021-RPL1, Class M2, 2.855%, 7/25/2060 (a)(d)

     500,000        374,328  

Mill City Mortgage Loan Trust, Series 2017-2, Class M3, 3.250%, 7/25/2059 (a)(d)

     160,000        141,099  

OBX Trust, Series 2022-INV1, Class A18, 3.000%, 12/25/2051 (a)(d)

     189,162        152,063  

PRPM LLC, Series 2021-RPL1, Class M1, 2.680%, 7/25/2051 (a)(d)

     1,000,000        786,952  

Towd Point Mortgage Trust, Series 2020-4, Class M1, 2.875%, 10/25/2060 (a)

     565,000        432,736  

Verus Securitization Trust, Series 2021-R3, Class A3, 1.380%, 4/25/2064 (a)(d)

     61,334        53,141  

Verus Securitization Trust, Series 2021-5, Class M1, 2.331%, 9/25/2066 (a)(d)

     250,000        153,383  

Wells Fargo Mortgage Backed Securities, Series 2021-2, Class A3, 2.500%, 6/25/2051 (a)(d)

     349,327        290,818  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost — $5,769,704)

        $4,865,762  
     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

99


Table of Contents

Angel Oak Total Return Bond Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities — U.S. Government Agency — 37.91%

     

Federal Home Loan Mortgage Corp., 2.000%, 6/1/2036

     $379,175        $335,049  

Federal Home Loan Mortgage Corp., 3.000%, 1/1/2052

     902,056        789,434  

Federal Home Loan Mortgage Corp., 5.000%, 7/1/2052

     382,614        376,558  

Federal Home Loan Mortgage Corp., 5.000%, 8/1/2052

     940,038        919,873  

Federal Home Loan Mortgage Corp., 3.500%, 9/1/2052

     336,560        304,769  

Federal National Mortgage Association, 4.000%, 4/1/2042

     494,072        470,928  

Federal National Mortgage Association, 4.500%, 7/1/2052

     382,459        366,412  

Federal National Mortgage Association, 4.500%, 8/1/2052

     975,297        934,374  

Federal National Mortgage Association, 5.000%, 8/1/2052

     927,639        907,739  

Government National Mortgage Association, 2.000%, 5/20/2036

     210,523        184,305  

Government National Mortgage Association, 2.500%, 2/20/2051

     216,252        187,453  

Government National Mortgage Association, 2.500%, 4/20/2051

     239,859        207,917  

Government National Mortgage Association, 2.500%, 4/20/2051

     145,055        125,828  

Government National Mortgage Association, 2.500%, 4/20/2051

     237,827        203,926  

Government National Mortgage Association, 2.500%, 4/20/2051

     251,553        217,582  

Government National Mortgage Association, 4.500%, 8/20/2052

     825,026        793,792  

Government National Mortgage Association, 5.500%, 8/20/2052

     449,601        446,788  

Government National Mortgage Association, 5.000%, 9/20/2052

     978,623        958,968  

Government National Mortgage Association, 5.500%, 9/20/2052

     491,919        488,841  

Government National Mortgage Association, 5.000%, 10/20/2052

     482,279        473,195  

Government National Mortgage Association, 5.500%, 10/20/2052

     890,051        884,483  

Government National Mortgage Association, 5.000%, 11/20/2052

     486,723        476,947  

Government National Mortgage Association, 5.500%, 11/20/2052

     340,569        338,439  

Government National Mortgage Association, 5.500%, 12/20/2052

     488,708        485,651  

Government National Mortgage Association, 4.500%, 2/20/2053

     849,578        817,415  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES — U.S. GOVERNMENT AGENCY
(Cost – $13,228,750)

        $12,696,666  
     

 

 

 

Residential Mortgage-Backed Securities — U.S. Government Agency Credit Risk
Transfer — 1.51%

     

Federal Home Loan Mortgage Corp., Series 2021-DNA6, Class B1,
8.469% (SOFR30A + 3.400%), 10/25/2041 (a)(b)

     500,000        504,748  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES — U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER
(Cost – $476,558)

        $504,748  
     

 

 

 

U.S. Treasury Notes — 4.40%

     

0.375%, 4/15/2024

     500,000        482,771  

4.625%, 2/28/2025

     1,000,000        992,441  
     

 

 

 

TOTAL U.S. TREASURY NOTES
(Cost – $1,493,064)

        $1,475,212  
     

 

 

 

Short-Term Investments — 3.85%

     

U.S. Treasury Bills — 1.48%

     

5.181%, 10/5/2023 (f)

     250,000        247,626  

5.199%, 10/26/2023 (f)

     250,000        246,859  
     

 

 

 
        494,485  
     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

100


Table of Contents

Angel Oak Total Return Bond Fund

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Shares      Value  

Money Market Funds — 2.37%

     

First American Government Obligations Fund, Class U, 5.162% (g)

     794,524      $ 794,524  
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(Cost — $1,289,499)

        $1,289,009  
     

 

 

 

TOTAL INVESTMENTS — 99.21%
(Cost — $36,096,518)

        $33,227,975  

Other Assets in Excess of Liabilities — 0.79%

        263,694  
     

 

 

 

NET ASSETS — 100.00%

        $33,491,669  
     

 

 

 

LIBOR: London Inter-Bank Offered Rate

SOFR: Secured Overnight Financing Rate

SOFR30A: Secured Overnight Financing Rate 30 Day Average

TSFR1M: 1 Month Term Secured Overnight Financing Rate

TSFR3M: 3 Month Term Secured Overnight Financing Rate

 

(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 $12,893,212 or 38.50% 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)

Illiquid security. At July 31, 2023, the value of these securities amounted to $229,609 or 0.69% of net assets.

(d)

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.

(e)

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.

(f)

Rate disclosed is the effective yield as of July 31, 2023.

(g)

Rate disclosed is the seven day yield as of July 31, 2023.

Schedule of Open Futures Contracts

 

Long Futures Contracts    Expiration Month    Number of
Contracts
     Notional Value      Value &
Unrealized
Appreciation
(Depreciation)
 

10-Year U.S. Treasury Note Future

   September 2023      50      $ 5,570,313      ($ 152,519

U.S. Treasury Bond Future

   September 2023      16        1,991,000        (46,556

Total

                          ($ 199,075

 

See accompanying notes which are an integral part of these financial statements.

 

101


Table of Contents

Angel Oak UltraShort Income ETF

Schedule of Investments

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities – 51.97%

     

ACC Trust, Series 2022-1, Class B, 2.550%, 2/20/2025 (a)

     $300,000        $295,467  

ACHV TRUST, Series 2023-1PL, Class B, 6.800%, 3/18/2030 (a)

     550,000        551,460  

ACHV TRUST, Series 2023-2PL, Class B, 6.880%, 5/20/2030 (a)

     300,000        297,338  

ACHV TRUST, Series 2023-3PL, Class B, 7.170%, 8/19/2030 (a)(b)

     750,000        753,774  

ACM Auto Trust, Series 2023-2A, Class A, 7.970%, 6/20/2030 (a)

     187,236        187,888  

Affirm Asset Securitization Trust, Series 2021-B, Class B, 1.240%, 8/17/2026 (a)

     100,000        94,653  

Affirm Asset Securitization Trust, Series 2023-A, Class 1A, 6.610%, 1/18/2028 (a)

     200,000        199,574  

Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028 (a)

     400,000        398,701  

American Credit Acceptance Receivables Trust, Series 2023-2, Class A, 5.890%, 10/13/2026 (a)

     258,320        258,277  

American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028 (a)

     250,000        235,883  

Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A, Class C, 3.770%, 3/15/2027 (a)

     150,000        140,531  

Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class A, 3.930%, 5/15/2028 (a)

     148,794        145,264  

Arivo Acceptance Auto Loan Receivables Trust, Series 2022-2A, Class A, 6.900%, 1/16/2029 (a)

     314,527        315,970  

Avid Automobile Receivables Trust, Series 2021-1, Class C, 1.550%, 5/15/2026 (a)

     1,000,000        978,773  

Avid Automobile Receivables Trust, Series 2023-1, Class B, 7.120%, 3/15/2027 (a)

     400,000        401,226  

Avis Budget Rental Car Funding AESOP LLC, Series 2018-1A, Class B, 4.000%, 9/20/2024 (a)

     500,000        500,111  

BA Credit Card Trust, Series 2021-A1, Class A1, 0.440%, 9/15/2026

     400,000        386,324  

Bank of Montreal, Series 2021-1A, Class A, 0.530%, 11/21/2025 (a)

     1,000,000        959,796  

BHG Securitization Trust, Series 2022-B, Class A, 3.750%, 6/18/2035 (a)

     201,246        199,035  

CARDS II Trust, Series 2021-1A, Class A, 0.602%, 4/15/2027 (a)

     300,000        289,704  

Carvana Auto Receivables Trust, Series 2021-P2, Class A3, 0.490%, 3/10/2026

     208,461        203,615  

Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.360%, 4/12/2027 (a)

     339,278        336,833  

Carvana Auto Receivables Trust, Series 2020-N1A, Class E, 5.200%, 7/15/2027 (a)

     400,000        385,191  

Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028

     980,927        908,666  

Carvana Auto Receivables Trust, Series 2021-N2, Class C, 1.070%, 3/10/2028

     192,976        177,960  

Carvana Auto Receivables Trust, Series 2021-N3, Class C, 1.020%, 6/12/2028

     3,143        2,930  

Citibank Credit Card Issuance Trust, Series 2017-A5, Class A5,
6.026% (TSFR1M + 0.734%), 4/22/2026 (c)

     900,000        903,949  

CPS Auto Receivables Trust, Series 2023-A, Class B, 5.470%, 11/16/2026 (a)

     250,000        247,113  

CPS Auto Receivables Trust, Series 2023-B, Class A, 5.910%, 8/16/2027 (a)

     481,720        481,691  

DT Auto Owner Trust, Series 2022-2A, Class B, 4.220%, 1/15/2027 (a)

     800,000        788,662  

DT Auto Owner Trust, Series 2023-2A, Class A, 5.880%, 4/15/2027 (a)

     216,440        216,070  

DT Auto Owner Trust, Series 2023-3A, Class A, 6.290%, 8/16/2027 (a)

     1,000,000        1,001,613  

DT Auto Owner Trust, Series 2022-3A, Class B, 6.740%, 7/17/2028 (a)

     300,000        300,236  

Exeter Automobile Receivables Trust, Series 2023-3A, Class A2, 6.110%, 9/15/2025

     1,250,000        1,251,989  

Exeter Automobile Receivables Trust, Series 2023-2A, Class A2, 5.870%, 11/17/2025

     150,000        150,095  

Exeter Automobile Receivables Trust, Series 2023-1A, Class A3, 5.580%, 4/15/2026

     300,000        298,943  

Flagship Credit Auto Trust, Series 2019-4, Class D, 3.120%, 1/15/2026 (a)

     400,000        388,851  

Flagship Credit Auto Trust, Series 2022-4, Class A2, 6.150%, 9/15/2026 (a)

     245,681        245,964  

Foundation Finance Trust, Series 2017-1A, Class C, 5.400%, 7/15/2033 (a)

     300,000        286,324  

Foursight Capital Automobile Receivables Trust, Series 2023-1, Class A2, 5.430%, 10/15/2026 (a)

     243,860        242,873  

GLS Auto Receivables Issuer Trust, Series 2021-2A, Class B, 0.770%, 9/15/2025 (a)

     2,396        2,368  

GLS Auto Receivables Issuer Trust, Series 2021-1A, Class E, 3.140%, 1/18/2028 (a)

     600,000        563,650  

Hertz Vehicle Financing LLC, Series 2022-3A, Class A, 3.370%, 3/25/2025 (a)

     150,000        148,730  

Hertz Vehicle Financing LLC, Series 2022-3A, Class C, 4.350%, 3/25/2025 (a)

     200,000        197,866  

Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 1.210%, 12/26/2025 (a)

     1,000,000        941,633  

Lendbuzz Securitization Trust, Series 2022-1A, Class A, 4.220%, 5/17/2027 (a)

     219,581        212,967  

Lendbuzz Securitization Trust, Series 2023-1A, Class A2, 6.920%, 8/15/2028 (a)

     500,000        497,232  

LendingPoint Pass-Through Trust, Series 2022-ST2, Class A, 3.250%, 4/15/2028 (a)

     180,387        173,775  

 

See accompanying notes which are an integral part of these financial statements.

 

102


Table of Contents

Angel Oak UltraShort Income ETF

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities – (continued)

     

LL ABS Trust, Series 2020-1A, Class C, 6.540%, 1/17/2028 (a)

   $ 101,090      $ 101,169  

Lobel Automobile Receivables Trust, Series 2023-1, Class A, 6.970%, 7/15/2026 (a)

     251,464        250,581  

Marlette Funding Trust, Series 2023-3A, Class B, 6.710%, 9/15/2033 (a)

     500,000        501,182  

Mercury Financial Credit Card Master Trust, Series 2023-1A, Class A, 8.040%, 9/20/2027 (a)

     300,000        302,337  

Nissan Auto Lease Trust, Series 2023-B, Class A2A, 5.740%, 8/15/2025

     1,000,000        1,002,845  

Octane Receivables Trust, Series 2020-1A, Class D, 5.450%, 3/20/2028 (a)

     700,000        682,952  

Octane Receivables Trust, Series 2023-2A, Class A2, 5.880%, 6/20/2031 (a)

     500,000        497,981  

Oportun Funding LLC, Series 2021-A, Class A, 1.210%, 3/8/2028 (a)(d)

     377,638        362,546  

Pagaya AI Debt Selection Trust, Series 2020-3, Class C, 6.430%, 5/17/2027 (a)

     1,024,759        1,024,191  

Pagaya AI Debt Selection Trust, Series 2021-1, Class A, 1.180%, 11/15/2027 (a)

     5,972        5,972  

Pagaya AI Debt Selection Trust, Series 2021-HG1, Class A, 1.220%, 1/16/2029 (a)

     627,958        604,791  

Pagaya AI Debt Selection Trust, Series 2022-1, Class B, 3.344%, 10/15/2029 (a)

     999,868        932,379  

Pagaya AI Debt Selection Trust, Series 2022-5, Class A, 8.096%, 6/17/2030 (a)

     648,261        655,396  

Pagaya AI Debt Selection Trust, Series 2023-1, Class A, 7.556%, 7/15/2030 (a)

     511,410        513,320  

Pagaya AI Debt Selection Trust, Series 2023-3, Class A, 7.600%, 12/16/2030 (a)

     474,135        476,662  

Pagaya AI Debt Selection Trust, Series 2023-5, Class A, 7.179%, 4/15/2031 (a)

     1,000,000        1,003,772  

Pagaya AI Debt Selection Trust, Series 2023-5, Class B, 7.625%, 4/15/2031 (a)

     500,000        501,812  

Prestige Auto Receivables Trust, Series 2023-1A, Class A2, 5.880%, 3/16/2026 (a)

     200,000        199,586  

Reach Financial LLC, Series 2022-2A, Class C, 8.400%, 5/15/2030 (a)

     400,000        404,551  

Reach Financial LLC, Series 2023-1A, Class A, 7.050%, 2/18/2031 (a)

     750,000        752,361  

Santander Drive Auto Receivables Trust, Series 2022-7, Class A2, 5.810%, 1/15/2026

     302,685        302,935  

Santander Drive Auto Receivables Trust, Series 2023-2, Class A2, 5.870%, 3/16/2026

     150,000        150,123  

Skopos Auto Receivables Trust, Series 2019-1A, Class D, 5.240%, 4/15/2025 (a)

     201,434        201,702  

Skopos Auto Receivables Trust, Series 2019-1A, Class E, 7.820%, 6/15/2026 (a)

     100,000        99,993  

Tesla Auto Lease Trust, Series 2021-B, Class D, 1.320%, 9/22/2025 (a)

     450,000        426,154  

Theorem Funding Trust, Series 2023-1A, Class A, 7.580%, 4/15/2029 (a)

     1,261,536        1,268,975  

Theorem Funding Trust, Series 2022-3A, Class A, 7.600%, 4/15/2029 (a)

     261,913        263,764  

Theorem Funding Trust, Series 2022-3A, Class B, 8.950%, 4/15/2029 (a)

     200,000        205,443  

Tricolor Auto Securitization Trust, Series 2023-1A, Class A, 6.480%, 8/17/2026 (a)

     755,591        754,856  

United Auto Credit Securitization Trust, Series 2023-1, Class A, 5.570%, 7/10/2025 (a)

     149,798        149,797  

Upstart Pass-Through Trust, Series 2020-ST5, Class A, 3.000%, 12/20/2026 (a)

     1,089,211        1,054,476  

Upstart Pass-Through Trust, Series 2021-ST1, Class A, 2.750%, 2/20/2027 (a)

     927,932        895,346  

Upstart Pass-Through Trust, Series 2021-ST4, Class A, 2.000%, 7/20/2027 (a)

     398,009        378,519  

Upstart Pass-Through Trust, Series 2020-ST1, Class A, 3.750%, 2/20/2028 (a)

     297,913        295,586  

Upstart Pass-Through Trust, Series 2021-ST8, Class A, 1.750%, 10/20/2029 (a)

     280,296        270,574  

Upstart Pass-Through Trust, Series 2022-4A, Class A, 7.010%, 11/15/2030 (a)

     562,972        563,990  

Upstart Securitization Trust, Series 2020-2, Class A, 2.309%, 11/20/2030 (a)

     1,571,240        1,536,655  

Upstart Securitization Trust, Series 2021-2, Class B, 1.750%, 6/20/2031 (a)

     468,902        462,209  

Upstart Securitization Trust, Series 2021-3, Class A, 0.830%, 7/20/2031 (a)

     14,045        13,808  

Upstart Securitization Trust, Series 2021-3, Class B, 1.660%, 7/20/2031 (a)

     200,000        194,639  

Upstart Securitization Trust, Series 2021-4, Class A, 0.840%, 9/20/2031 (a)

     15,839        15,658  

Upstart Securitization Trust, Series 2021-4, Class B, 1.840%, 9/20/2031 (a)

     600,000        570,293  

Upstart Securitization Trust, Series 2021-5, Class A, 1.310%, 11/20/2031 (a)

     470,479        465,143  

Upstart Securitization Trust, Series 2022-2, Class A, 4.370%, 5/20/2032 (a)

     252,125        250,110  

Upstart Securitization Trust, Series 2023-1, Class A, 6.590%, 2/20/2033 (a)

     219,084        218,835  

Upstart Securitization Trust, Series 2023-2, Class A, 6.770%, 6/20/2033 (a)

     1,000,000        1,001,715  

Upstart Structured Pass-Through Trust, Series 2022-1A, Class A, 3.400%, 4/15/2030 (a)

     266,267        261,500  

US Auto Funding Trust, Series 2022-1A, Class A, 3.980%, 4/15/2025 (a)

     204,615        198,046  

US Auto Funding Trust, Series 2022-1A, Class B, 5.130%, 12/15/2025 (a)

     50,000        47,650  

 

See accompanying notes which are an integral part of these financial statements.

 

103


Table of Contents

Angel Oak UltraShort Income ETF

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities – (continued)

     

USASF Receivables LLC, Series 2020-1A, Class D, 9.350%, 3/15/2027 (a)

   $ 1,150,000      $ 1,160,824  

Verizon Master Trust, Series 2023-4, Class A1B, 5.919% (SOFR30A + 0.850%), 6/20/2029 (c)

     1,000,000        1,005,193  

Veros Automobile Receivables Trust, Series 2020-1, Class C, 2.990%, 6/16/2025 (a)

     79,206        79,042  

Veros Automobile Receivables Trust, Series 2022-1, Class A, 3.470%, 12/15/2025 (a)

     131,005        130,036  

Veros Automobile Receivables Trust, Series 2023-1, Class A, 7.120%, 11/15/2028 (a)

     176,699        176,814  

Westlake Automobile Receivables Trust, Series 2020-2A, Class D, 2.760%, 1/15/2026 (a)

     566,505        560,453  

Westlake Automobile Receivables Trust, Series 2023-1A, Class A2A, 5.510%, 6/15/2026 (a)

     500,000        499,371  

Westlake Automobile Receivables Trust, Series 2023-2A, Class A2B,
5.818% (SOFR30A + 0.750%), 7/15/2026 (a)(c)

     200,000        200,379  
     

 

 

 

TOTAL ASSET-BACKED SECURITIES
(Cost – $46,072,565)

        $46,254,530  
     

 

 

 

Collateralized Loan Obligations — 9.74%

     

Apidos CLO, Series 2015-20A, Class A1RA, 6.670% (TSFR3M + 1.362%), 7/16/2031 (a)(c)

     1,100,000        1,093,167  

Carbone Clo Ltd., Series 2017-1A, Class A1, 6.728% (TSFR3M + 1.402%), 1/20/2031 (a)(c)

     921,533        916,926  

Golub Capital Partners CLO Ltd., Series 2013-17A, Class A1R,
7.263% (TSFR3M + 1.912%), 10/25/2030 (a)(c)

     805,624        806,982  

ICG US CLO Ltd., Series 2015-1A, Class A1R, 6.722% (TSFR3M + 1.402%), 10/19/2028 (a)(c)

     284,094        282,255  

Madison Park Funding Ltd., Series 2018-30A, Class A,
6.320% (TSFR3M + 1.012%), 4/15/2029 (a)(c)

     1,493,019        1,482,905  

Madison Park Funding Ltd., Series 2014-13A, Class BR2,
7.082% (TSFR3M + 1.762%), 4/19/2030 (a)(c)

     800,000        794,701  

Madison Park Funding Ltd., Series 2017-23A, Class AR,
6.589% (TSFR3M + 1.232%), 7/27/2031 (a)(c)

     781,828        776,538  

MCF CLO, Series 2018-1A, Class A1, 6.942% (3 Month LIBOR USD + 1.370%), 7/18/2030 (a)(c)

     916,404        909,542  

TCI-Flatiron CLO Ltd., Series 2017-1A, Class AR,
6.290% (3 Month LIBOR USD + 0.960%), 11/18/2030 (a)(c)

     855,478        849,928  

Voya CLO Ltd., Series 2014-2A, Class A1RR, 6.590% (TSFR3M + 1.282%), 4/17/2030 (a)(c)

     757,219        752,038  
     

 

 

 

TOTAL COLLATERALIZED LOAN OBLIGATIONS
(Cost – $8,632,124)

        $8,664,982  
     

 

 

 

Commercial Mortgage-Backed Securities – U.S. Government Agency – 8.54%

     

Federal Home Loan Mortgage Corp., Series K-F67, Class A,
5.738% (SOFR30A + 0.634%), 8/25/2029 (c)

     519,662        513,249  

Federal Home Loan Mortgage Corp., Series K-F155, Class AS,
5.735% (SOFR30A + 0.670%), 2/25/2030 (c)

     250,000        250,311  

Federal Home Loan Mortgage Corp., Series K-043, Class A1, 2.532%, 10/25/2023

     98,201        97,117  

Federal Home Loan Mortgage Corp., Series K-036, Class A2, 3.527%, 10/25/2023 (e)

     322,060        320,664  

Federal Home Loan Mortgage Corp., Series K-F81, Class AS,
5.465% (SOFR30A + 0.400%), 6/25/2027 (c)

     378,066        376,122  

Federal Home Loan Mortgage Corp., Series K-F100, Class AS,
5.245% (SOFR30A + 0.180%), 1/25/2028 (c)

     416,486        410,278  

Federal Home Loan Mortgage Corp., Series K-F46, Class A,
5.438% (SOFR30A + 0.334%), 3/25/2028 (c)

     160,100        156,128  

Federal Home Loan Mortgage Corp., Series K-F61, Class A,
5.748% (SOFR30A + 0.644%), 3/25/2029 (c)

     921,733        902,576  

Federal Home Loan Mortgage Corp., Series KF75, Class AS,
5.616% (MSOFR1MC + 0.550%), 12/25/2029 (c)

     1,616,501        1,605,582  

Federal Home Loan Mortgage Corp., Series K-F114, Class AS,
5.285% (SOFR30A + 0.220%), 5/25/2031 (c)

     422,889        413,901  

 

See accompanying notes which are an integral part of these financial statements.

 

104


Table of Contents

Angel Oak UltraShort Income ETF

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Commercial Mortgage-Backed Securities – U.S. Government Agency – (continued)

     

Federal Home Loan Mortgage Corp., Series K-F136, Class AS,
5.475% (SOFR30A + 0.410%), 4/25/2032 (c)

   $ 1,258,446      $ 1,239,574  

Federal Home Loan Mortgage Corp., Series K-F141, Class AS,
5.635% (SOFR30A + 0.570%), 7/25/2032 (c)

     1,319,415        1,311,800  
     

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY
(Cost – $7,645,916)

        $7,597,302  
     

 

 

 

Corporate Obligations – 5.09%

     

Communications – 0.34%

     

Sprint LLC, 7.875%, 9/15/2023

     300,000        300,503  
     

 

 

 

Consumer, Cyclical – 0.32%

     

Ford Motor Credit Co. LLC, 3.370%, 11/17/2023

     200,000        198,173  

General Motors Financial Co., Inc., 2.900%, 2/26/2025

     100,000        95,655  
     

 

 

 
        293,828  
     

 

 

 

Consumer, Non-cyclical – 0.44%

     

Mondelez International Holdings Netherlands BV, 2.250%, 9/19/2024 (a)

     200,000        192,045  

Teva Pharmaceutical Finance Netherlands III BV, 6.000%, 4/15/2024

     200,000        199,293  
     

 

 

 
        391,338  
     

 

 

 

Energy – 0.89%

     

DCP Midstream Operating LP, 5.375%, 7/15/2025

     100,000        99,448  

MPLX LP, 4.875%, 12/1/2024

     100,000        98,785  

Occidental Petroleum Corp., 6.950%, 7/1/2024

     100,000        100,765  

PBF Holding Co. LLC / PBF Finance Corp., 7.250%, 6/15/2025

     300,000        299,520  

Western Midstream Operating LP, 3.950%, 6/1/2025

     100,000        96,533  

Williams Companies, Inc., 4.550%, 6/24/2024

     100,000        98,890  
     

 

 

 
        793,941  
     

 

 

 

Financial – 2.88%

     

AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 1.150%, 10/29/2023

     300,000        296,330  

American Express Co., 2.500%, 7/30/2024

     100,000        96,922  

American Tower Corp., 2.400%, 3/15/2025

     100,000        94,818  

Bank of America Corp., 3.950%, 4/21/2025

     100,000        96,886  

Capital One Financial Corp., 3.300%, 10/30/2024

     100,000        96,608  

Crown Castle, Inc., 3.200%, 9/1/2024

     100,000        97,147  

Enact Holdings, Inc., 6.500%, 8/15/2025 (a)

     200,000        198,210  

Goldman Sachs Group, Inc., 3.500%, 4/1/2025

     100,000        96,491  

HAT Holdings I LLC / HAT Holdings II LLC, 6.000%, 4/15/2025 (a)

     300,000        295,508  

JPMorgan Chase & Co., 3.875%, 9/10/2024

     100,000        98,055  

OneMain Finance Corp., 6.125%, 3/15/2024

     300,000        299,505  

PRA Group, Inc., 7.375%, 9/1/2025 (a)

     200,000        192,808  

Radian Group, Inc., 6.625%, 3/15/2025

     200,000        200,000  

Starwood Property Trust, Inc., 5.500%, 11/1/2023 (a)

     200,000        198,782  

StoneX Group, Inc., 8.625%, 6/15/2025 (a)

     200,000        202,407  
     

 

 

 
        2,560,477  
     

 

 

 

Utilites – 0.22%

     

AmeriGas Partners LP / AmeriGas Finance Corp., 5.500%, 5/20/2025

     200,000        194,265  
     

 

 

 

TOTAL CORPORATE OBLIGATIONS
(Cost – $4,532,143)

        $4,534,352  
     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

105


Table of Contents

Angel Oak UltraShort Income ETF

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – 14.79%

     

AMSR Trust, Series 2020-SFR1, Class D, 2.619%, 4/17/2037 (a)

   $ 446,000      $ 402,967  

BRAVO Residential Funding Trust, Series 2021-A, Class A1, 1.991%, 10/25/2059 (a)(f)

     146,544        137,021  

Bellemeade Re Ltd., Series 2019-1A, Class M2,
8.112% (TSFR1M + 2.814%), 3/25/2029 (a)(c)

     161,420        162,345  

CIM Trust, Series 2018-R3, Class A1, 5.000%, 12/25/2057 (a)(e)

     304,179        289,051  

CoreVest American Finance Trust, Series 2019-1, Class A, 3.324%, 3/15/2052 (a)

     210,019        203,254  

Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1, 3.046%, 12/26/2059 (a)(e)

     218,801        206,963  

FirstKey Homes Trust, Series 2020-SFR2, Class B, 1.567%, 10/19/2037 (a)

     425,000        374,978  

GCAT Trust, Series 2023-NQM2, Class A3, 6.598%, 11/25/2067 (a)(f)

     458,792        440,093  

JP Morgan Mortgage Trust, Series 2023-HE1, Class A1,
6.818% (SOFR30A + 1.750%), 11/25/2053 (a)(c)

     621,723        619,299  

JPMorgan Wealth Management, Series 2020-ATR1, Class A4, 3.000%, 2/25/2050 (a)(e)

     637,777        609,575  

Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1, 1.892%, 10/25/2066 (a)(f)

     263,750        246,520  

MFA Trust, Series 2023-INV1, Class A3, 6.600%, 2/25/2058 (a)(f)

     526,310        524,311  

OBX Trust, Series 2023-NQM1, Class A3, 6.500%, 11/25/2062 (a)(e)

     469,459        459,795  

PRKCM Trust, Series 2023-AFC1, Class A3, 7.304%, 2/25/2058 (a)(f)

     364,381        366,179  

Preston Ridge Partners Mortgage LLC, Series 2020-4, Class A1, 2.951%, 10/25/2025 (a)(f)

     478,918        476,087  

Progress Residential Trust, Series 2019-SFR4, Class A, 2.687%, 10/17/2036 (a)

     154,303        144,582  

Preston Ridge Partners Mortgage LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026 (a)(e)

     477,995        451,613  

Preston Ridge Partners Mortgage LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026 (a)(f)

     103,514        96,678  

Preston Ridge Partners Mortgage LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026 (a)(f)

     51,834        45,983  

Preston Ridge Partners Mortgage LLC, Series 2021-7, Class A1, 1.867%, 8/25/2026 (a)(f)

     193,310        177,807  

SG Residential Mortgage Trust, Series 2019-3, Class A1, 2.703%, 9/25/2059 (a)(e)

     822,689        789,789  

STAR Trust, Series 2021-SFR2, Class F, 8.186% (TSFR1M + 2.964%), 1/17/2024 (a)(c)

     401,400        368,878  

Starwood Mortgage Residential Trust, Series 2022-SFR3, Class A,
6.880% (TSFR1M + 1.650%), 5/17/2024 (a)(c)

     995,797        995,480  

Starwood Mortgage Residential Trust, Series 2021-2, Class A3, 1.431%, 5/25/2065 (a)(e)

     1,057,617        927,140  

Tricon American Homes Trust, Series 2017-SFR2, Class A, 2.928%, 1/17/2036 (a)

     451,648        445,509  

Tricon American Homes Trust, Series 2017-SFR2, Class D, 3.672%, 1/17/2036 (a)

     250,000        247,026  

Towd Point Mortgage Trust, Series 2017-5, Class A1,
4.984% (TSFR1M + 0.714%), 2/25/2057 (a)(c)

     68,793        67,521  

Towd Point Mortgage Trust, Series 2017-2, Class A2, 3.250%, 4/25/2057 (a)(e)

     127,000        122,944  

Towd Point Mortgage Trust, Series 2019-HY3, Class A1A,
6.412% (TSFR1M + 1.114%), 10/25/2059 (a)(c)

     709,058        710,105  

Verus Securitization Trust, Series 2022-3, Class A3, 4.130%, 2/25/2067 (a)(e)

     215,357        189,915  

Verus Securitization Trust, Series 2022-8, Class A3, 6.127%, 9/25/2067 (a)(f)

     378,049        368,733  

Verus Securitization Trust, Series 2023-1, Class A2, 6.560%, 12/25/2067 (a)(f)

     578,327        568,816  

Verus Securitization Trust, Series 2023-2, Class A2, 6.599%, 3/25/2068 (a)(f)

     934,610        922,239  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost – $13,258,745)

        $13,159,196  
     

 

 

 

Residential Mortgage-Backed Securities – U.S. Government Agency – 1.12%

     

Federal Home Loan Mortgage Corp., Series 5149, Class BD, 2.000%, 2/25/2031

     390,988        377,294  

Federal Home Loan Mortgage Corp., Series 4776, Class QM, 3.000%, 6/15/2045

     319,091        312,306  

Federal National Mortgage Association, 2.919%, 10/1/2025 (e)

     298,935        284,639  

Government National Mortgage Association, 9.000%, 12/15/2024

     5,261        5,272  

Government National Mortgage Association, Series 2015-56, Class LB, 1.500%, 4/16/2040

     15,834        15,644  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY
(Cost – $1,002,038)

        $995,155  
     

 

 

 

 

See accompanying notes which are an integral part of these financial statements.

 

106


Table of Contents

Angel Oak UltraShort Income ETF

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer – 1.52%

 

  

Federal Home Loan Mortgage Corp., Series 2022-HQA2, Class M1A,
7.719% (SOFR30A + 2.650%), 7/25/2042 (a)(c)

   $ 220,214      $ 225,243  

Federal Home Loan Mortgage Corp., Series 2023-HQA1, Class M1A,
7.069% (SOFR30A + 2.000%), 5/25/2043 (a)(c)

     947,108        954,072  

Federal National Mortgage Association, Series 2014-C02, Class 2M2,
7.783% (SOFR30A + 2.714%), 5/25/2024 (c)

     119,764        121,379  

Federal National Mortgage Association, Series 2014-C03, Class 2M2,
8.083% (SOFR30A + 3.014%), 7/25/2024 (c)

     57,523        57,281  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER
(Cost – $1,345,607)

        $1,357,975  
     

 

 

 

U.S. Treasury Notes – 2.16%

     

2.500%, 1/31/2025

     2,000,000        1,923,555  
     

 

 

 

TOTAL U.S. TREASURY NOTES
(Cost – $1,950,294)

        $1,923,555  
     

 

 

 

Short-Term Investments – 6.01%

     

U.S. Treasury Bills – 5.56%

     

4.587%, 9/14/2023 (g)

     1,000,000        994,266  

5.184%, 10/10/2023 (g)

     2,000,000        1,979,554  

5.225%, 11/9/2023 (g)

     2,000,000        1,970,681  
     

 

 

 
        4,944,501  
     

 

 

 
Money Market Funds – 0.45%    Shares         

First American Government Obligations Fund, Class U, 5.162% (h)

     400,656        400,656  
     

 

 

 

SHORT-TERM INVESTMENTS
(Cost – $5,346,072)

        $5,345,157  
     

 

 

 

TOTAL INVESTMENTS – 100.94%
(Cost – $89,785,504)

        $89,832,204  

Liabilities in Excess of Other Assets – (0.94%)

        (838,883
     

 

 

 

NET ASSETS – 100.00%

        $88,993,321  
     

 

 

 

LIBOR: London Inter-Bank Offered Rate

SOFR: Secured Overnight Financing Rate

SOFR30A: Secured Overnight Financing Rate 30 Day Average

TSFR1M: 1 Month Term Secured Overnight Financing Rate

TSFR3M: 3 Month Term Secured Overnight Financing Rate

MSOFR1MC: 1 Month Secured Overnight Financing Rate Index

 

(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 $63,792,216 or 71.68% of net assets.

(b)

Security issued on a when-issued basis. On July 31, 2023, the total value of investments purchased on a when-issued basis was $753,774 or 0.85% of net assets.

 

See accompanying notes which are an integral part of these financial statements.

 

107


Table of Contents

Angel Oak UltraShort Income ETF

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

(c)

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.

(d)

Illiquid security. At July 31, 2023, the value of these securities amounted to $362,546 or 0.41% 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)

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.

(g)

Rate disclosed is the effective yield as of July 31, 2023.

(h)

Rate disclosed is the seven day yield as of July 31, 2023.

 

See accompanying notes which are an integral part of these financial statements.

 

108


Table of Contents

Angel Oak Income ETF

Schedule of Investments

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities — 22.30%

     

ACHV TRUST, Series 2023-1PL, Class D, 8.470%, 3/18/2030 (a)

     $200,000        $203,412  

ACHV TRUST, Series 2023-3PL, Class C, 7.350%, 8/19/2030 (a)(b)

     250,000        251,251  

ACHV TRUST, Series 2023-3PL, Class D, 8.360%, 8/19/2030 (a)(b)

     200,000        203,127  

ACM Auto Trust, Series 2023-2A, Class A, 7.970%, 6/20/2030 (a)

     93,618        93,944  

Aqua Finance Trust, Series 2021-A, Class C, 3.140%, 7/17/2046 (a)

     180,000        132,389  

Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class B,
3.660%, 12/15/2028 (a)

     200,000        182,435  

Exeter Automobile Receivables Trust, Series 2021-3A, Class E, 3.040%, 12/15/2028 (a)

     300,000        266,286  

Exeter Automobile Receivables Trust, Series 2023-3A, Class D, 6.680%, 4/16/2029

     300,000        305,506  

Exeter Automobile Receivables Trust, Series 2023-2A, Class E, 9.750%, 11/15/2030 (a)

     200,000        200,870  

Foundation Finance Trust, Series 2017-1A, Class C, 5.400%, 7/15/2033 (a)

     200,000        190,883  

Foundation Finance Trust, Series 2021-1A, Class D, 4.960%, 5/15/2041 (a)

     125,000        108,164  

Foundation Finance Trust, Series 2023-1A, Class D, 9.180%, 12/15/2043 (a)

     200,000        204,867  

Foursight Capital Automobile Receivables Trust, Series 2023-1, Class D, 7.410%, 2/15/2030 (a)

     250,000        250,234  

Goodleap Sustainable Home Solutions Trust, Series 2023-2GS, Class B, 7.800%, 5/20/2055 (a)

     100,000        96,658  

Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026 (a)

     200,000        190,630  

Lendbuzz Securitization Trust, Series 2022-1A, Class A, 4.220%, 5/17/2027 (a)

     219,581        212,967  

Lobel Automobile Receivables Trust, Series 2023-1, Class C, 8.310%, 10/16/2028 (a)

     250,000        246,384  

LP LMS Asset Securitization Trust, Series 2023-1A, Class B, 7.484%, 10/17/2033 (a)

     200,000        188,945  

Marlette Funding Trust, Series 2023-2A, Class D, 7.920%, 6/15/2033 (a)

     250,000        251,351  

Octane Receivables Trust, Series 2020-1A, Class D, 5.450%, 3/20/2028 (a)

     200,000        195,129  

Octane Receivables Trust, Series 2023-2A, Class D, 7.380%, 6/20/2031 (a)

     150,000        149,103  

Oportun Financial Corp., Series 2022-3, Class C, 10.147%, 1/8/2030 (a)

     200,000        205,286  

Pagaya AI Debt Selection Trust, Series 2021-1, Class C, 4.090%, 11/15/2027 (a)

     49,979        43,871  

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 B, 3.344%, 10/15/2029 (a)

     99,987        93,238  

Pagaya AI Debt Selection Trust, Series 2022-5, Class B, 10.310%, 6/17/2030 (a)

     99,996        102,290  

Pagaya AI Debt Selection Trust, Series 2023-1, Class B, 9.435%, 7/15/2030 (a)

     299,958        305,764  

Pagaya AI Debt Selection Trust, Series 2023-3, Class B, 9.570%, 12/16/2030 (a)

     200,000        203,250  

Pagaya AI Debt Selection Trust, Series 2023-5, Class C, 9.099%, 4/15/2031 (a)

     150,000        151,982  

Reach Financial LLC, Series 2023-1A, Class C, 8.450%, 2/18/2031 (a)

     200,000        200,033  

Republic Finance Issuance Trust, Series 2020-A, Class D, 7.000%, 11/20/2030 (a)

     350,000        318,516  

Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class C, 6.986%, 12/15/2032 (a)

     70,979        71,194  

Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class D, 8.197%, 12/15/2032 (a)

     70,979        71,933  

Skopos Auto Receivables Trust, Series 2019-1A, Class E, 7.820%, 6/15/2026 (a)

     400,000        399,972  

Theorem Funding Trust, Series 2022-3A, Class B, 8.950%, 4/15/2029 (a)

     400,000        410,886  

Upstart Securitization Trust, Series 2021-4, Class B, 1.840%, 9/20/2031 (a)

     400,000        380,196  

Upstart Securitization Trust, Series 2023-1, Class C, 11.100%, 2/20/2033 (a)

     100,000        97,780  

Upstart Securitization Trust, Series 2023-2, Class B, 7.920%, 6/20/2033 (a)

     350,000        349,754  

US Auto Funding Trust, Series 2022-1A, Class A, 3.980%, 4/15/2025 (a)

     204,615        198,046  

USASF Receivables LLC, Series 2020-1A, Class D, 9.350%, 3/15/2027 (a)

     690,000        696,494  

Veros Automobile Receivables Trust, Series 2023-1, Class D, 11.460%, 8/15/2030 (a)

     100,000        102,285  
     

 

 

 

TOTAL ASSET-BACKED SECURITIES
(Cost – $8,735,549)

        $8,785,178  
     

 

 

 

Collateralized Loan Obligations – 9.50%

     

Anchorage Capital CLO Ltd., Series 2014-3RA, Class B,
7.127% (TSFR3M + 1.762%), 1/28/2031 (a)(c)

     500,000        489,342  

Apidos CLO, Series 2018-29A, Class A2, 7.163% (TSFR3M + 1.812%), 7/25/2030 (a)(c)

     500,000        489,518  

Canyon Capital CLO Ltd., Series 2019-1A, Class BR,
7.270% (TSFR3M + 1.962%), 4/15/2032 (a)(c)

     550,000        534,172  

 

See accompanying notes which are an integral part of these financial statements.

 

109


Table of Contents

Angel Oak Income ETF

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Collateralized Loan Obligations – (continued)

     

CIFC Funding Ltd., Series 2021-6A, Class B, 7.220% (TSFR3M + 1.912%), 10/15/2034 (a)(c)

   $ 500,000      $ 490,243  

Golub Capital Partners CLO Ltd., Series 2017-34A, Class B1R,
7.926% (3 Month LIBOR USD + 2.600%), 3/14/2031 (a)(c)

     250,000        246,269  

Magnetite Ltd., Series 2019-24A, Class BR, 7.058% (TSFR3M + 1.750%), 4/15/2035 (a)(c)

     250,000        245,930  

OZLM Ltd., Series 2018-20A, Class A2, 7.238% (TSFR3M + 1.912%), 4/20/2031 (a)(c)

     550,000        530,853  

Symphony CLO Ltd., Series 2015-16A, Class AR, 6.720% (TSFR3M + 1.412%), 10/15/2031 (a)(c)

     725,000        716,334  
     

 

 

 

TOTAL COLLATERALIZED LOAN OBLIGATIONS
(Cost – $3,703,932)

        $3,742,661  
     

 

 

 

Corporate Obligations – 4.29%

     

Communications – 0.35%

     

Gray Escrow, Inc., 5.375%, 11/15/2031 (a)

     200,000        137,203  
     

 

 

 

Consumer, Cyclical – 1.05%

     

NCL Corp Ltd., 8.375%, 2/1/2028 (a)

     300,000        313,028  

Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd., 8.000%, 9/20/2025 (a)

     100,000        100,950  
     

 

 

 
        413,978  
     

 

 

 

Energy – 1.36%

     

Calumet Specialty Products Partners LP / Calumet Finance Corp., 9.750%, 7/15/2028 (a)

     100,000        99,872  

Enviva Partners LP / Enviva Partners Finance Corp., 6.500%, 1/15/2026 (a)

     300,000        254,973  

New Fortress Energy, Inc., 6.500%, 9/30/2026 (a)

     200,000        183,755  
     

 

 

 
        538,600  
     

 

 

 

Industrial – 1.53%

     

Covanta Holding Corp., 4.875%, 12/1/2029 (a)

     200,000        176,812  

Great Lakes Dredge & Dock Corp., 5.250%, 6/1/2029 (a)

     100,000        83,632  

Mauser Packaging Solutions Holding Co., 7.875%, 8/15/2026 (a)

     100,000        99,524  

Owens-Brockway Glass Container, Inc., 7.250%, 5/15/2031 (a)

     50,000        50,873  

Smyrna Ready Mix Concrete LLC, 6.000%, 11/1/2028 (a)

     200,000        190,855  
     

 

 

 
        601,696  
     

 

 

 

TOTAL CORPORATE OBLIGATIONS
(Cost – $1,705,954)

        $1,691,477  
     

 

 

 

Residential Mortgage-Backed Securities – 35.87%

     

Bellemeade RE Ltd., Series 2021-3A, Class M1B, 6.469% (SOFR30A + 1.400%), 9/25/2031 (a)(c)

     150,000        144,001  

Bellemeade Re Ltd., Series 2021-2A, Class M2, 7.969% (SOFR30A + 2.900%), 6/25/2031 (a)(c)

     290,000        289,378  

Bellemeade Re Ltd., Series 2021-1A, Class M2, 9.919% (SOFR30A + 4.850%), 3/25/2031 (a)(c)

     348,400        360,638  

Corevest American Finance Trust, Series 2020-4, Class D, 2.712%, 12/15/2052 (a)

     300,000        232,921  

Credit Suisse Mortgage Trust, Series 2021-NQM6, Class A3, 1.585%, 7/25/2066 (a)(d)

     192,652        137,496  

Credit Suisse Mortgage Trust, Series 2021-NQM6, Class B1, 3.286%, 7/25/2066 (a)(d)

     500,000        247,567  

Credit Suisse Mortgage Trust, Series 2022-NQM4, Class A3, 4.819%, 6/25/2067 (a)(e)

     235,262        215,238  

Deephaven Residential Mortgage Trust, Series 2022-3, Class A3, 5.300%, 7/25/2067 (a)(d)

     342,845        320,824  

Ellington Financial Mortgage Trust, Series 2021-2, Class M1, 2.296%, 6/25/2066 (a)(d)

     700,000        402,197  

Ellington Financial Mortgage Trust, Series 2021-2, Class B1, 3.202%, 6/25/2066 (a)(d)

     315,000        165,452  

Ellington Financial Mortgage Trust, Series 2022-4, Class A3, 5.900%, 9/25/2067 (a)(e)

     139,287        136,237  

 

See accompanying notes which are an integral part of these financial statements.

 

110


Table of Contents

Angel Oak Income ETF

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – (continued)

     

FirstKey Homes Trust, Series 2022-SFR2, Class D, 4.500%, 7/17/2039 (a)

   $ 250,000      $ 228,726  

GCAT Trust, Series 2020-NQM2, Class M1, 3.589%, 4/25/2065 (a)(d)

     500,000        390,489  

GCAT Trust, Series 2023-NQM2, Class B1, 7.031%, 11/25/2067 (a)(d)

     150,000        131,796  

GS Mortgage-Backed Securities Corp Trust, Series 2019-PJ1, Class B6,
4.072%, 8/25/2049 (a)(d)

     511,533        289,995  

JP Morgan Mortgage Trust, Series 2014-2, Class B2, 3.414%, 6/25/2029 (a)(d)

     21,186        18,205  

JP Morgan Mortgage Trust, Series 2020-2, Class B4, 3.825%, 7/25/2050 (a)(d)

     353,743        272,883  

JP Morgan Mortgage Trust, Series 2020-3, Class B4, 3.845%, 8/25/2050 (a)(d)

     352,009        265,399  

JP Morgan Mortgage Trust, Series 2020-4, Class B2, 3.648%, 11/25/2050 (a)(d)

     280,243        246,388  

JP Morgan Mortgage Trust, Series 2023-6, Class B6, 6.292%, 12/25/2053 (a)(d)

     330,000        158,297  

JP Morgan Mortgage Trust, Series 2023-6, Class B4, 6.292%, 12/25/2053 (a)(d)

     535,000        404,677  

JP Morgan Mortgage Trust, Series 2023-6, Class B5, 6.292%, 12/25/2053 (a)(d)

     411,000        237,288  

New Residential Mortgage Loan Trust, Series 2022-SFR2, Class E2, 4.000%, 9/4/2039 (a)

     700,000        567,669  

New Residential Mortgage Loan Trust, Series 2022-SFR2, Class E1, 4.000%, 9/4/2039 (a)

     290,000        250,699  

New Residential Mortgage Loan Trust, Series 2017-5A, Class B4, 5.336%, 6/25/2057 (a)(d)

     335,869        293,055  

Oaktown Re Ltd., Series 2021-2, Class B1, 9.469% (SOFR30A + 4.400%), 4/25/2034 (a)(c)

     500,000        461,746  

OBX Trust, Series 2019-EXP1, Class 1A3, 4.000%, 1/25/2059 (a)(d)

     218,296        202,625  

OBX Trust, Series 2023-NQM1, Class A3, 6.500%, 11/25/2062 (a)(d)

     469,459        459,795  

Pretium Mortgage Credit Partners LLC, Series 2021-NPL3, Class A1, 1.868%, 7/25/2051 (a)(e)

     79,772        73,248  

Pretium Mortgage Credit Partners LLC, Series 2021-NPL4, Class A1, 2.363%, 10/27/2060 (a)(e)

     203,649        190,464  

Progress Residential Trust, Series 2021-SFR1, Class F, 2.757%, 4/17/2038 (a)

     235,000        204,325  

PRPM LLC, Series 2020-4, Class A1, 2.951%, 10/25/2025 (a)(e)

     478,918        476,087  

PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027 (a)(e)

     236,237        233,333  

Radnor RE Ltd., Series 2021-2, Class B1, 11.069% (SOFR30A + 6.000%), 11/25/2031 (a)(c)

     250,000        262,951  

Radnor RE Ltd., Series 2021-1, Class M2, 8.219% (SOFR30A + 3.150%), 12/27/2033 (a)(c)

     500,000        491,129  

Saluda Grade Alternative Mortgage Trust, Series 2022-INV1, Class A3,
4.641%, 4/25/2067 (a)(d)

     486,876        441,031  

Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M, 4.750%, 10/25/2058 (d)

     300,000        276,389  

Sequoia Mortgage Trust, Series 2018-2, Class A19, 3.500%, 2/25/2048 (a)(d)

     158,629        137,850  

STAR Trust, Series 2021-1, Class B1, 3.520%, 5/25/2065 (a)(d)

     600,000        435,921  

Starwood Mortgage Residential Trust, Series 2019-INV1, Class B1, 3.657%, 9/27/2049 (a)(d)

     500,000        400,899  

Triangle Re Ltd., Series 2021-3, Class B1, 10.019% (SOFR30A + 4.950%), 2/25/2034 (a)(c)

     500,000        494,542  

Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038 (a)

     200,000        174,657  

Verus Securitization Trust, Series 2021-1, Class M1, 1.968%, 1/25/2066 (a)(d)

     1,074,000        688,145  

Verus Securitization Trust, Series 2022-8, Class A3, 6.127%, 9/25/2067 (a)(e)

     378,049        368,733  

Verus Securitization Trust, Series 2023-1, Class A2, 6.560%, 12/25/2067 (a)(e)

     578,327        568,816  

Verus Securitization Trust, Series 2023-INV1, Class A2, 6.556%, 2/25/2068 (a)(e)

     655,768        655,593  

Wells Fargo Credit Risk Transfer Securities Trust, Series 2015-WF1, Class 1M2,
10.433% (SOFR30A + 5.364%), 11/25/2025 (a)(c)

     33,685        24,315  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost – $14,461,233)

        $14,130,109  
     

 

 

 

Residential Mortgage-Backed Securities – U.S. Government Agency – 18.23%

     

Federal Home Loan Mortgage Corp., 4.500%, 7/1/2052

     942,869        903,012  

Federal National Mortgage Association, 5.000%, 11/1/2052

     947,696        926,774  

Government National Mortgage Association, 4.500%, 9/20/2052

     482,967        464,683  

Government National Mortgage Association, 5.000%, 10/20/2052

     964,557        946,391  

Government National Mortgage Association, 4.500%, 11/20/2052

     977,336        940,336  

Government National Mortgage Association, 5.000%, 11/20/2052

     681,412        667,726  

 

See accompanying notes which are an integral part of these financial statements.

 

111


Table of Contents

Angel Oak Income ETF

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

     Principal
Amount
     Value  

Residential Mortgage-Backed Securities – U.S. Government Agency – (continued)

     

Government National Mortgage Association, 5.000%, 12/20/2052

   $ 978,285      $ 958,637  

Government National Mortgage Association, 5.500%, 12/20/2052

     195,483        194,260  

Government National Mortgage Association, 5.000%, 3/20/2053

     494,449        484,518  

Government National Mortgage Association, 5.500%, 6/20/2053

     698,441        694,072  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY
(Cost – $7,313,890)

        $7,180,409  
     

 

 

 

Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer – 8.77%

     

Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1,
8.169% (SOFR30A + 3.100%), 10/25/2041 (a)(c)

     300,000        302,871  

Federal Home Loan Mortgage Corp., Series 2021-DNA6, Class B1,
8.469% (SOFR30A + 3.400%), 10/25/2041 (a)(c)

     500,000        504,748  

Federal Home Loan Mortgage Corp., Series 2021-HQA4, Class B1,
8.819% (SOFR30A + 3.750%), 12/25/2041 (a)(c)

     500,000        503,750  

Federal Home Loan Mortgage Corp., Series 2022-DNA2, Class M1B,
7.469% (SOFR30A + 2.400%), 2/25/2042 (a)(c)

     500,000        501,877  

Federal Home Loan Mortgage Corp., Series 2022-HQA1, Class M2,
10.319% (SOFR30A + 5.250%), 3/25/2042 (a)(c)

     350,000        373,435  

Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1B,
7.969% (SOFR30A + 2.900%), 4/25/2042 (a)(c)

     500,000        509,386  

Federal Home Loan Mortgage Corp., Series 2022-HQA3, Class M1B,
8.619% (SOFR30A + 3.550%), 8/25/2042 (a)(c)

     500,000        515,487  

Federal Home Loan Mortgage Corp., Series 2021-HQA1, Class B2,
10.069% (SOFR30A + 5.000%), 8/25/2033 (a)(c)

     250,000        243,125  
     

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER (Cost – $3,210,572)

        $3,454,679  
     

 

 

 

Short-Term Investments – 1.51%

     Shares     

Money Market Funds – 1.51%

     

First American Government Obligations Fund,Class U, 5.162% (f)

     595,578        595,578  
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(Cost – $595,578)

        $595,578  
     

 

 

 

TOTAL INVESTMENTS – 100.47%
(Cost – $39,726,708)

        $39,580,091  

Liabilities in Excess of Other Assets – (0.47%)

        (184,010
     

 

 

 

NET ASSETS – 100.00%

        $39,396,081  
     

 

 

 

LIBOR: London Inter-Bank Offered Rate

SOFR: Secured Overnight Financing Rate

SOFR30A: Secured Overnight Financing Rate 30 Day Average

TSFR3M 3 Month Term Secured Overnight Financing Rate

 

(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 $31,222,209 or 79.25% of net assets.

 

See accompanying notes which are an integral part of these financial statements.

 

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Angel Oak Income ETF

Schedule of Investments – (continued)

July 31, 2023 (Unaudited)

 

(b)

Security issued on a when-issued basis. On July 31, 2023, the total value of investments purchased on a when-issued basis was $454,378 or 1.15% of net assets.

(c)

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.

(d)

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.

(e)

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.

(f)

Rate disclosed is the seven day yield as of July 31, 2023.

Schedule of Open Futures Contracts

 

Short Futures Contracts    Expiration
Month
   Number of
Contracts
     Notional
Value
     Value &
Unrealized
Appreciation
(Depreciation)
 

10-Year U.S. Treasury Note Future

   September 2023      (7      ($779,844      $21,686  

5-Year U.S. Treasury Note Future

   September 2023      (6      (640,922      14,745  

Total

                            $36,431  

 

See accompanying notes which are an integral part of these financial statements.

 

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Angel Oak Funds Trust

Notes to the Financial Statements

July 31, 2023 (Unaudited)

NOTE 1. ORGANIZATION

Angel Oak Funds Trust (the “Trust”) is a Delaware statutory trust organized on June 20, 2014, and registered with the U.S. Securities and Exchange Commission as an open-end management investment company, as defined in the Investment Company Act of 1940 as amended (the “1940 Act”). The Trust consists of seven series, Angel Oak Multi-Strategy Income Fund (the “Multi- Strategy Income Fund”), Angel Oak Financials Income Impact Fund (the “Financials Income Impact Fund”), Angel Oak High Yield Opportunities Fund (the “High Yield Opportunities Fund”), Angel Oak UltraShort Income Fund (the “UltraShort Income Fund”), Angel Oak Total Return Bond Fund (the “Total Return Bond Fund”), Angel Oak UltraShort Income ETF (the "UltraShort Income ETF"), and Angel Oak Income ETF (the “Income ETF”) (together, the “Funds”). Please see the table below for a summary of class specific information:

 

      Ticker      Investment Objective      Commencement of
Operations
   Front-End
Sales Charge
     Back-End
Sales Charge
     12b-1 Fees  

Multi-Strategy Income Fund

                        

Class A

     ANGLX        Current Income      06/28/2011      2.25      N/A        0.25

Class C

     ANGCX      08/04/2015      N/A        1.00      1.00

Institutional Class

     ANGIX      08/16/2012      N/A        N/A        N/A  

Financials Income Impact Fund

                        

Class A

     ANFLX       
Current Income & Total
Return
 
 
   11/03/2014      2.25      N/A        0.25

Class C

     AFLCX      08/04/2015      N/A        1.00      1.00

Institutional Class

     ANFIX      11/03/2014      N/A        N/A        N/A  

High Yield Opportunities Fund

                        

Class A

     ANHAX       
Current Income & Capital
Appreciation
 
 
   07/31/2012      2.25      N/A        0.25

Class C

     ANHCX      N/A      N/A        1.00      1.00

Institutional Class

     ANHIX      03/31/2009      N/A        N/A        N/A  

UltraShort Income Fund

                        

Class A

     AOUAX       

Current Income, Minimize
Price Volatility, and
Maintain Liquidity
 
 
 
   04/30/2018      N/A        N/A        0.25

Class A1

     AOUNX      07/22/2022      1.50      0.50      0.25

Institutional Class

     AOUIX      04/02/2018      N/A        N/A        N/A  

Total Return Bond Fund

                        

Class A

     AOIMX        Total Return      N/A      2.25      N/A        0.25

Class C

     AOICX      N/A      N/A        1.00      1.00

Institutional Class

     AOIIX      06/04/2021      N/A        N/A        N/A  

UltraShort Income ETF

                        
       UYLD       

Current Income, Minimize
Price Volatility, and
Maintain Liquidity
 
 
 
   10/24/2022      N/A        N/A        N/A  

Income ETF

                        
       CARY        Current Income      11/07/2022      N/A        N/A        N/A  

The Multi-Strategy Income Fund, Financials Income Impact Fund, High Yield Opportunities Fund, and UltraShort Income Fund are diversified series of the Trust. The Total Return Bond Fund, UltraShort Income ETF, and Income ETF are non-diversified series of the Trust, which means that they can invest a higher percentage of assets in any one issuer. Investing in a non-diversified fund may entail greater risks than is normally associated with more widely diversified funds.

The Financials Income Impact Fund commenced operations on November 3, 2014, under the name “Angel Oak Flexible Income Fund.” On March 16, 2016, shareholders approved a change to the Fund’s fundamental investment policy on the concentration of investments. On December 16, 2018, the Fund’s name was changed to “Angel Oak Financials Income Fund,” and the Fund adopted a new investment policy pursuant to Rule 35d-1 under the 1940 Act and made certain other changes to the Fund’s investment strategies. On September 22, 2022, the Fund’s name was changed to “Angel Oak Financials Income Impact Fund.” As a result, the Fund’s performance during periods prior to these dates may have differed had the Fund’s current investment policies and strategies been in place at those times.

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 1. ORGANIZATION – (continued)

 

The Total Return Bond Fund commenced operations on June 4, 2021, under the name “Angel Oak Core Impact Fund.” On January 3, 2023, the Fund’s name was changed to “Angel Oak Total Return Bond Fund,” and the Fund adopted certain changes to its investment objective and principal investment strategies. As a result, the Fund’s performance during periods prior to these dates may have differed had the Fund’s current investment policies and strategies been in place at those times.

The UltraShort Income ETF and Income ETF (alone, an “ETF”, together, the “ETFs”) list and principally trade their shares on the New York Stock Exchange Arca (“NYSE”) (“Exchange”). Shares of the ETFs trade on the Exchange at market prices that may be below, at, or above the ETFs’ net asset value (“NAV”). The UltraShort Income ETF, will issue and redeem shares on a continuous basis at NAV only in large blocks of shares, typically 20,000 shares, called “Creation Units.” The Income ETF will issue and redeem shares on a continuous basis at NAV only in creation units of, typically 50,000 shares. Creation Units will be issued and redeemed in exchange for a portfolio of securities and/or a designated amount of U.S. cash, all of which were in cash during the period. Once created, shares generally will trade in the secondary market at market prices that change throughout the day in quantities less than a Creation Unit. Except when aggregated in Creation Units, shares are not redeemable securities of an ETF.

Shares of the ETFs may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed an Authorized Participant Agreement with Quasar Distributors, LLC, a wholly-owned subsidiary of Foreside Financial Group, LLC (doing business as ACA Group) (the “Distributor”). Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the ETFs. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees. A purchase or redemption (i.e. creation or redemption) transaction fee of $300, payable by the Authorized Participant or Adviser, is imposed for the transfer and other transaction costs associated with the purchase or redemption of Creation Units

Wholly-Owned Subsidiaries – As part of its investment strategy, the Multi-Strategy Income Fund invests directly or, to comply with certain regulations, through its wholly owned and controlled subsidiaries, Hyperion Loan Funding Trust (“Hyperion”) and Titan Loan Funding Trust (“Titan”), each a statutory trust organized under the laws of the state of Delaware and incorporated on August 2, 2018. Hyperion and Titan act as investment vehicles in order to purchase residential and commercial real estate whole loans, participations in such loans, or instruments representing the right to receive interest payments and principal due on such loans. The allocation of the Multi-Strategy Income Fund’s investments, if any, in Hyperion or Titan will vary over time and might not include all of the types of investments described below.

On July 31, 2023, investments in Hyperion and Titan represented 0.23% and 0.00% of the total net assets of the Multi-Strategy Income Fund, respectively.

The consolidated financial statements of the Multi-Strategy Income Fund include the investment activity and financial statements of Hyperion and Titan. All intercompany accounts and transactions have been eliminated in consolidation. Because the Multi-Strategy Income Fund may invest a substantial portion of its assets in its respective subsidiaries, the Multi-Strategy Income Fund may be considered to be investing indirectly in some of those investments through its subsidiary. For that reason, references to the Multi-Strategy Income Fund may also encompass its subsidiaries.

At July 31, 2023, investments held by Hyperion and Titan included whole loans, valued at $6,291,914 and $–, respectively. In addition, Hyperion and Titan held $583,396 and $1,000 in cash, respectively.

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements in accordance with the accounting principles generally accepted in the United States of America (“GAAP”). The Funds follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Codification Topic 946 “Financial Services-Investment Companies.”

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES – (continued)

 

Securities Valuation and Fair Value Measurements: The Funds record their investments at fair value in accordance with fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs, if any, during the period. In addition, these standards require expanded disclosure for each major category of assets. These inputs are summarized in the three broad levels listed below:

 

   

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 Funds’ own assumptions in determining fair value of investments based on the best information available)

The inputs or methodology used for valuing securities are not an indication of the risks associated with investing in those securities.

Investments in registered open-end management investment companies, including money market funds, will be valued based upon the NAV of such investments and are categorized as Level 1 of the fair value hierarchy.

Fair values for long-term debt securities, including asset-backed securities (“ABS”), collateralized loan obligations (“CLO”), collateralized mortgage obligations (“CMO”), corporate obligations, whole loans, and mortgage-backed securities (“MBS”) are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs, including but not limited to, benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and pricing models such as yield measurers calculated using factors such as cash flows, financial or collateral performance and other reference data. In addition to these inputs, MBS and ABS may utilize cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information. Securities that use similar valuation techniques and inputs are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable; the values generally would be categorized as Level 3.

Equity securities, including preferred stocks, that are traded on a national securities exchange, except those listed on the Nasdaq Global Market®, Nasdaq Global Select Market® and the Nasdaq Capital Market® exchanges (collectively, “Nasdaq”), are valued at the last sale price at the close of that exchange. Securities traded on Nasdaq will be valued at the Nasdaq Official Closing Price. If, on a particular day, an exchange-listed or Nasdaq security does not trade, then: (i) the security shall be valued at the mean between the most recent quoted bid and asked prices at the close of the exchange; or (ii) the security shall be valued at the latest sales price on the Composite Market (defined below) for the day such security is being valued. “Composite Market” means a consolidation of the trade information provided by national securities and foreign exchanges and over-the-counter markets as published by a pricing service. In the event market quotations or Composite Market pricing are not readily available, fair value will be determined in accordance with the procedures adopted by the Board of Trustees (“Board”). All equity securities that are not traded on a listed exchange are valued at the last sale price at the close of the over- the counter market. If a non-exchange listed security does not trade on a particular day, then the mean between the last quoted bid and asked price will be used as long as it continues to reflect the value of the security. If the mean is not available, then bid price can be used as long as the bid price continues to reflect the value of the security. Otherwise, fair value will be determined in accordance with the procedures adopted by the Board. These securities will generally be categorized as Level 3 securities. When using the market quotations or close prices provided by the pricing service and when the market is considered active, the security will be classified as a Level 1 security. Sometimes, an equity security owned by the Funds will be valued by the pricing service with factors other than market quotations or when the market is considered inactive. When this happens, the security will be classified as a Level 2 security.

Short term debt securities having a maturity of 60 days or less are generally valued at amortized cost, which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy. Reverse repurchase agreements and repurchase agreements are priced at their acquisition cost, and assessed for credit adjustments, which represents fair value. These securities will generally be categorized as Level 2 securities.

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES – (continued)

 

Financial derivative instruments, such as futures contracts, that are traded on a national securities or commodities exchange are typically valued at the settlement price determined by the relevant exchange. Swaps, such as credit default swaps, interest-rate swaps and currency swaps, are valued by a pricing service. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Over-the-counter financial derivative instruments, such as certain futures contracts or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of evaluations provided by independent pricing services or broker dealer quotations. Derivatives that use similar valuation techniques as described above are typically categorized as Level 2 of the fair value hierarchy.

Securities may be fair valued in accordance with the fair valuation procedures approved by the Board. The Valuation and Risk Management Oversight Committee is generally responsible for overseeing the Funds’ valuation processes and reports quarterly to the Board. The Board has selected Angel Oak Capital Advisors, LLC (the “Adviser”) as the Valuation Designee. As such, the Valuation Committee of the Adviser has been delegated the day-to-day responsibilities for making all necessary determinations of the fair value of portfolio securities and other assets for which market quotations are not readily available or if the prices obtained from independent pricing services are deemed to be unreliable indicators of market or fair value. Representatives of the Valuation Designee’s Valuation Committee report quarterly to the Valuation and Risk Management Oversight Committee.

The following is a summary of the investments by their inputs used to value each Fund’s net assets as of July 31, 2023:

 

Multi-Strategy Income Fund  
      Level 1      Level 2      Level 3    Total  

Assets

                               

Asset-Backed Securities

     $–        $398,079,470      $–      $398,079,470  

Collateralized Debt Obligations

            2,844,618           2,844,618  

Collateralized Loan Obligations

            105,252,047           105,252,047  

Commercial Mortgage-Backed Securities

            70,583,708           70,583,708  

Commercial Mortgage-Backed Securities – U.S. Government Agency

            16,847,086           16,847,086  

Common Stocks

     13,746,782                  13,746,782  

Corporate Obligations

            103,657,197      1,312,200      104,969,397  

Investment Companies – Affiliated Exchange Traded & Mutual Funds

     122,385,177                  122,385,177  

Preferred Stocks

     7,255,976                  7,255,976  

Residential Mortgage-Backed Securities

            1,779,489,287      14,943,582      1,794,432,869  

Residential Mortgage-Backed Securities – U.S. Government Agency

            372,206,169           372,206,169  

Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer

            26,632,672           26,632,672  

Whole Loans

            6,291,914           6,291,914  

Warrants

            56,160           56,160  

Short-Term Investments

     130,645,748        69,391,311           200,037,059  

Total

     $274,033,683        $2,951,331,639      $16,255,782      $3,241,621,104  

Other Financial Instruments

                               

Assets

                               

Futures Contracts*

     $10,770,075        $–      $–      $10,770,075  

Liabilities

                               

Swaps*

            (2,745,770)           (2,745,770)  

Reverse Repurchase Agreements

            (100,000,000)           (100,000,000)  

Total

     $10,770,075        ($102,745,770)      $–      ($91,975,695)  

 

*

Futures and swaps are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Consolidated Schedule of Open Futures Contracts and Consolidated Schedule of Centrally Cleared Credit Default Swaps.

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES – (continued)

 

See the Consolidated Schedule of Investments for further disaggregation of investment categories. During the period ended July 31, 2023, the Fund recognized $14,933,581 of transfers from Level 2 to Level 3 for securities lacking observable market data due to a decrease in relevant market activity. See the summary of quantitative information about Level 3 Fair Value Measurements for more information.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Balance as of
01/31/23
  Amortization/
Accretion/
Paydowns
  Net Realized
Gain (Loss)
  Change in Net
Unrealized
Appreciation/
Depreciation
  Purchases   Sales   Transfers Into
Level 3
   Transfers
Out of
Level 3
  Balance as  of
07/31/23

Collateralized Loan Obligations

  $50,000   $–   $–
  ($50,000)   $–   $–   $–    $–   $–

Corporate Obligations

  $1,312,200   $–   $–   $–   $–   $–   $–    $–   $1,312,200

Residential Mortgage- Backed Securities

  $10,001   ($34,536)   $–   $34,536   $–   $–   $14,933,581    $–   $14,943,582

The total change in unrealized appreciation/depreciation included in the Consolidated Statement of Operations attributable to Level 3 investments still held at July 31, 2023, is $58,950.

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

 

     Fair Value as of
07/31/23
  Valuation Techniques   Unobservable Input*   Range   Weighted Average
Unobservable  Input
Collateralized Loan Obligations   $–   Model Valuation   Projected cash contribution to equity   $0.00**   N/A
Corporate Obligations   $1,312,200   Model Valuation   Projected cash flow from liquidation   $9.72**   N/A
Residential Mortgage-Backed Securities   $10,001   Model Valuation   Discounted value of the call rights and underlying collateral of security   $0.10-$1.00   $1.00
Residential Mortgage-Backed Securities   $14,933,581   Consensus Pricing   Trading colors of comparable securities and other deals with similar coupons and characteristics   $95.05-$97.18   $96.74

 

*

Significant increases and decreases in the unobservable inputs used to determine fair value of Level 3 assets could result in significantly higher or lower fair value measurements. An increase to the unobservable input would result in an increase to the fair value. A decrease to the unobservable input would have the opposite effect.

**

Each input presents information for one security and reflects the value as of July 31, 2023.

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES – (continued)

 

Financials Income Impact Fund  
      Level 1      Level 2      Level 3      Total  

Assets

                                   

Common Stocks

     $1,585,722        $–        $–        $1,585,722  

Corporate Obligations

            78,673,084        775,000        79,448,084  

Preferred Stocks

     732,800                      732,800  

Warrants

            122,148               122,148  

Short-Term Investments

     3,201,961                      3,201,961  

Total

     $5,520,483        $78,795,232        $775,000        $85,090,715  

See the Schedule of Investments for further disaggregation of investment categories. During the period ended July 31, 2023, the Fund did not recognize any transfers to or from Level 3. See the summary of quantitative information about Level 3 Fair Value Measurements for more information.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Balance as of
01/31/23
  Amortization/
Accretion
  Net Realized
Gain (Loss)
  Change in Net
Unrealized
Appreciation/
Depreciation
  Purchases   Sales   Transfers Into
Level 3
  Transfers
Out of
Level 3
  Balance as  of
07/31/23

Corporate Obligations

  $775,000   $–   $–   $–   $–   $–   $–   $–   $775,000

The total change in unrealized appreciation/depreciation included in the Statement of Operations attributable to Level 3 investments still held at July 31, 2023, is $–.

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

 

      Fair Value as of
07/31/23
  

Valuation

Techniques

  

Unobservable

Input*

   Range/Weighted Average
Unobservable  Input**
Corporate Obligations    $775,000    Model Valuation    Debt recovery estimate
based on 2023 and 2024
projected earnings, and
EBITDA multiples
  

Recovery Estimate: 31%

EBITDA Multiples: 6x-9x

 

*

Significant increases and decreases in the unobservable inputs used to determine fair value of Level 3 assets could result in significantly higher or lower fair value measurements. An increase to the unobservable input would result in an increase to the fair value. A decrease to the unobservable input would have the opposite effect.

**Table

presents information for one security, which is priced at $31.00 as of July 31, 2023.

 

High Yield Opportunities Fund  
      Level 1    Level 2      Level 3      Total  

Assets

                               

Asset-Backed Securities

   $–       $2,657,979      $ –         $2,657,979  

Corporate Obligations

   –       47,527,314        –         47,527,314  

Residential Mortgage-Backed Securities

   –       11,212,776        –         11,212,776  

Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer

   –       3,325,249        –         3,325,249  

Short-Term Investments

   1,447,316      –         –         1,447,316  

Total

   $1,447,316    $ 64,723,318      $ –       $ 66,170,634  

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES – (continued)

 

See the Schedule of Investments for further disaggregation of investment categories. For the period ended July 31, 2023, the Fund did not recognize any transfers to or from Level 3.

 

UltraShort Income Fund  
      Level 1      Level 2      Level 3      Total  

Assets

                                   

Asset-Backed Securities

     $–        $250,355,159        $–        $250,355,159  

Collateralized Loan Obligations

            59,695,940               59,695,940  

Commercial Mortgage-Backed Securities

            17,379,464               17,379,464  

Commercial Mortgage-Backed Securities – U.S. Government Agency

            39,746,350               39,746,350  

Corporate Obligations

            11,761,429               11,761,429  

Investment Companies – Affiliated Exchange Traded Funds

     4,931,063                      4,931,063  

Residential Mortgage-Backed Securities

            131,164,733               131,164,733  

Residential Mortgage-Backed Securities – U.S. Government Agency

            4,842,790               4,842,790  

Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer

            4,791,833               4,791,833  

Short-Term Investments

     8,748,980        14,813,258               23,562,238  

Total

     $13,680,043        $534,550,956        $–        $548,230,999  

Other Financial Instruments

                                   

Assets

                                   

Futures Contracts*

     $473,127        $–        $–        $473,127  

 

*

Futures are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Schedule of Open Futures Contracts.

See the Schedule of Investments for further disaggregation of investment categories. During the period ended July 31, 2023, the Fund did not recognize any transfers to or from Level 3.

 

Total Return Bond Fund  
      Level 1      Level 2      Level 3      Total  

Assets

                                   

Asset-Backed Securities

     $–        $3,353,864        $–        $3,353,864  

Commercial Mortgage-Backed Securities

            1,355,074               1,355,074  

Commercial Mortgage-Backed Securities – U.S. Government Agency

            1,523,228               1,523,228  

Corporate Obligations

            4,684,548               4,684,548  

Exchange Traded Funds

     1,479,864                      1,479,864  

Residential Mortgage-Backed Securities

            4,865,762               4,865,762  

Residential Mortgage-Backed Securities – U.S. Government Agency

            12,696,666               12,696,666  

Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer

            504,748               504,748  

U.S. Treasury Notes

            1,475,212               1,475,212  

Short-Term Investments

     794,524        494,485               1,289,009  

Total

     $2,274,388        $30,953,587        $–        $33,227,975  

Other Financial Instruments

                                   

Liabilities

                                   

Futures Contracts*

     ($199,075)        $–        $–        ($199,075)  

 

*

Futures are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Schedule of Open Futures Contracts.

 

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July 31, 2023 (Unaudited)

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES – (continued)

 

See the Schedule of Investments for further disaggregation of investment categories. During the period ended July 31, 2023, the Fund did not recognize any transfers to or from Level 3.

 

UltraShort Income ETF  
      Level 1      Level 2      Level 3    Total  

Assets

                               

Asset-Backed Securities

     $–        $46,254,530      $–      $46,254,530  

Collateralized Loan Obligations

            8,664,982           8,664,982  

Commercial Mortgage-Backed Securities – U.S. Government Agency

            7,597,302           7,597,302  

Corporate Obligations

            4,534,352           4,534,352  

Residential Mortgage-Backed Securities

            13,159,196           13,159,196  

Residential Mortgage-Backed Securities – U.S. Government Agency

            995,155           995,155  

Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer

            1,357,975           1,357,975  

U.S. Treasury Notes

            1,923,555           1,923,555  

Short-Term Investments

     400,656        4,944,501           5,345,157  

Total

   $ 400,656      $ 89,431,548      $–    $ 89,832,204  

See the Schedule of Investments for further disaggregation of investment categories. During the period ended July 31, 2023, the Fund did not recognize any transfers to or from Level 3.

 

Income ETF
      Level 1    Level 2    Level 3    Total

Assets

                   

Asset-Backed Securities

   $–    $8,785,178    $–    $8,785,178

Collateralized Loan Obligations

      3,742,661       3,742,661

Corporate Obligations

      1,691,477       1,691,477

Residential Mortgage-Backed Securities

      14,130,109       14,130,109

Residential Mortgage-Backed Securities – U.S. Government Agency

      7,180,409       7,180,409

Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer

      3,454,679       3,454,679

Short-Term Investments

   595,578          595,578

Total

   $595,578    $38,984,513    $–    $39,580,091

Other Financial Instruments

                   

Assets

                   

Futures Contracts*

   $36,431    $–    $–    $36,431

 

*

Futures are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Schedule of Open Futures Contracts.

See the Schedule of Investments for further disaggregation of investment categories. During the period ended July 31, 2023, the Fund did not recognize any transfers to or from Level 3.

Federal Income Taxes: The Funds intend to elect and continue to qualify to be taxed as “regulated investment companies” under Subchapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the Funds generally will not be subject to federal income tax to the extent they distribute substantially all of their net investment income and capital gains to shareholders. The Funds generally intend to operate in a manner such that they will not be liable for federal income or excise taxes.

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES – (continued)

 

The Funds have adopted financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the period ended July 31, 2023, the Funds did not incur any interest or penalties. The Funds have reviewed all open tax years and major jurisdictions and concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ Federal and state income and Federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Security Transactions and Income Recognition: Investment security transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Interest income and expense is recorded on an accrual basis. Discounts and premiums on securities purchased are accreted or amortized using the effective yield method, based on each security’s estimated life and recoverable principal and recorded in interest income on the Statements of Operations. Dividend income and corporate transactions, if any, are recorded on the ex-date. Paydown gains and losses on mortgage-related and other ABS are recorded as components of interest income on the Statements of Operations. Payments received from certain investments held by the Funds may be comprised of dividends, capital gains and return of capital. The Funds originally estimate the expected classification of such payments. The amounts may subsequently be reclassified upon receipt of the information from the issuer. The actual character of distributions to the Funds’ shareholders will be reflected in the Form 1099 received by shareholders after the end of the calendar year.

Expenses: Expenses incurred by the Trust that do not relate to a specific Fund are allocated to the individual Funds based on each Fund’s relative net assets or another appropriate basis. Expenses attributable to any class are borne by that class. Income, realized gains and losses, unrealized appreciation and depreciation and expenses are allocated to each class based on the net assets in relation to the relative net assets of each Fund.

Dividends and Distributions: Distributions from each Fund’s net investment income are accrued daily and typically paid monthly. The Funds intend to distribute their net realized long term capital gains and their net realized short term capital gains, if any, at least annually. Distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. The treatment for financial reporting purposes of distributions made to shareholders during the period from net investment income or net realized capital gains may differ from their ultimate treatment for federal income tax purposes. These differences are caused primarily by differences in the timing of the recognition of certain components of income, expense or realized capital gain for federal income tax purposes. Where such differences are permanent in nature, they are reclassified in the components of the net assets based on their ultimate characterization for federal income tax purposes. Any such reclassifications will have no effect on net assets, results of operations or NAV per share of the Funds. For the year or period ended January 31, 2023, there were no reclassifications.

Share Valuation: The NAV per share of a class of shares of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and other assets, attributable to that class, minus all liabilities (including estimated accrued expenses) attributable to that class by the total number of shares of that class outstanding, rounded to the nearest cent. The Funds’ NAV will not be calculated on the days on which the New York Stock Exchange is closed for trading.

Use of Estimates: The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of income and expenses during the period. Actual results could differ from those estimates.

Indemnifications: Under the Trust’s organizational documents, the Trust will indemnify its officers and trustees for certain liabilities that may arise from performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred.

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES – (continued)

 

Cash and Cash Equivalents: Cash and cash equivalents are highly liquid assets including coin, currency and short-term investments that typically mature in 30-90 days. Short-term investments can include U.S. Government and government agency securities, investment grade money market instruments, investment grade fixed-income securities, repurchase agreements, commercial paper and cash equivalents. Cash equivalents are extremely low risk assets that are liquid and easily converted into cash. These investments are only considered equivalents if they are readily available and are not restricted by some agreement. When the Adviser believes market, economic or political conditions are unfavorable for investors, the Adviser may invest up to 100% of a Fund’s net assets in cash, cash equivalents or other short-term investments. Unfavorable market or economic conditions may include excessive volatility or a prolonged general decline in the securities markets or the U.S. economy. The Adviser also may invest in these types of securities or hold cash while looking for suitable investment opportunities or to maintain liquidity. Included in Investments in unaffiliated securities at fair value on the Statements of Assets and Liabilities are investments in First American money market funds held at major financial institutions as follows:

 

  

Multi-Strategy Income Fund

   $130,645,748

Financials Income Impact Fund

   $3,201,961

High Yield Opportunities Fund

   $1,447,316

UltraShort Income Fund

   $8,748,980

Total Return Bond Fund

   $794,524

UltraShort Income ETF

   $400,656

Income ETF

   $595,578

Reverse Repurchase Agreements: A reverse repurchase agreement is the sale by the Funds of a security to a party for a specified price, with the simultaneous agreement by the Funds to repurchase that security from that party on a future date at a higher price. Proceeds from securities sold under reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made are recorded as a component of interest expense on the Statements of Operations. Reverse repurchase agreements involve the risk that the counterparty will become subject to bankruptcy or other insolvency proceedings or fail to return a security to the Funds. In such situations, the Funds may incur losses as a result of a possible decline in the value of the underlying security during the period while the Funds seek to enforce their rights, a possible lack of access to income on the underlying security during this period, or expenses of enforcing its rights.

The gross obligations for secured borrowing by the type of collateral pledged and remaining time to maturity on reverse repurchase contracts is as follows:

 

Multi-Strategy Income Fund  
Reverse Repurchase Agreements    Overnight and
Continuous
     Up to 30 Days      30-90 Days      Greater than
90 Days
     Total  

Asset-Backed Securities

     $–        $–        $26,077,923        $–        $26,077,923  

Residential Mortgage-Backed Securities

                   68,007,358               68,007,358  

Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer

                   5,914,719               5,914,719  

Total

     $–        $–        $100,000,000        $–        $100,000,000  

Gross amount of reverse repurchase agreements in Balance Sheet Offsetting Information Table

 

     $100,000,000  

Amounts related to agreements not included in offsetting disclosure in Balance Sheet Offsetting Information Table

 

     $–  

NOTE 3. RISKS ASSOCIATED WITH PORTFOLIO ASSETS

Asset-Backed and Mortgage-Backed Securities and Whole Loan Risks: Prepayment risk is associated with mortgage-backed and ABS, including CLOs, and whole loans. If interest rates fall, the underlying debt may be repaid ahead of schedule, reducing the value of the Funds’ investments. If interest rates rise, there may be fewer prepayments, which would cause the average bond maturity to rise, increasing the potential for the Funds to lose money. The value of these securities may be significantly affected by changes in interest rates, the market’s perception of issuers, and the creditworthiness of the parties involved. The ability of the Funds to successfully utilize these instruments may depend on the ability of the Funds’ Adviser to forecast interest rates and

 

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July 31, 2023 (Unaudited)

 

NOTE 3. RISKS ASSOCIATED WITH PORTFOLIO ASSETS – (continued)

 

other economic factors correctly. These securities may have a structure that makes their reaction to interest rate changes and other factors difficult to predict, making their value highly volatile. Certain MBS may be secured by pools of mortgages on single-family, multi-family properties, as well as commercial properties. Similarly, ABS may be secured by pools of loans, such as corporate loans, student loans, automobile loans and credit card receivables. Whole loans are sold in their entirety rather than being pooled with other mortgages. Whole loans are mortgage loans sold to an investor in a secondary market. The investor purchasing the loan assumes full responsibility of the loan and all the contractual terms and rights associated with the funds. The credit risk on such loans is affected by homeowners or borrowers defaulting on their loans. The values of assets underlying mortgage-backed and ABS, including CLOs, may decline and therefore may not be adequate to cover underlying investors. To the extent the Funds focus their investments in particular types of mortgage-backed or ABS, including CLOs, and whole loans, the Funds may be more susceptible to risk factors affecting such types of investments.

Subordinated Debt of Banks and Diversified Financial Companies: The Funds may invest in subordinated debt securities, sometimes also called “junior debt”, which are debt securities for which the issuer’s obligations to make principal and interest payments are secondary to the issuer’s payment obligations to more senior debt securities. Such investments will consist primarily of debt issued by community banks or savings institutions (or their holding companies), which are subordinated to senior debt issued by the banks and deposits held by the bank, but are senior to trust preferred obligations, preferred stock and common stock issued by the bank.

Investment Company Securities: The Funds may invest in the securities of other investment companies, including ETFs, closed-end funds and open-end (mutual) funds (also called underlying funds). When a Fund invests in underlying funds it will indirectly bear its proportionate share of any fees and expenses payable directly by the underlying fund. In connection with its investments in other investment companies, a Fund will incur higher expenses, many of which may be duplicative. Furthermore, because the Funds may invest in shares of ETFs and underlying funds, their performances are directly related to the ability of the ETFs and underlying funds to meet their respective investment objectives as well as the allocation of each Fund’s assets among the ETFs and underlying funds by the Adviser. Accordingly, the Funds’ investment performance will be influenced by the investment strategies of, and risks associated with, the ETFs and underlying funds in direct proportion to the amount of assets the Funds allocate to the ETFs and underlying funds utilizing such strategies. The Adviser may be subject to potential conflicts of interest in allocating a Fund’s assets to underlying funds, such as a potential conflict in selecting affiliated underlying funds over unaffiliated underlying funds. In addition, a Fund’s portfolio managers may be subject to potential conflicts of interest in allocating the Fund’s assets among underlying funds, as certain of the Fund’s portfolio managers may also manage an affiliated underlying fund in which the Fund may invest. Both the Adviser and a Fund’s portfolio managers have a fiduciary duty to the Fund to act in the Fund’s best interest when selecting underlying funds. Under the oversight of the Board of Trustees, the Adviser will carefully analyze any such potential conflicts of interest and will take steps to minimize and, where possible, eliminate them.

High Yield Securities: The Funds may invest in below investment grade securities. These “high-yield” securities, also known as “junk bonds,” will generally be rated BB or lower by S&P or will be of equivalent quality rating from another Nationally Recognized Statistical Ratings Organization, or if unrated, considered by the Adviser to be of comparable quality.

Structured Products: The Funds may invest in certain structured products. Normally, structured products are privately offered and sold (that is, they are not registered under the securities laws); however, an active dealer market may exist for structured products that qualify for Rule 144A transactions. The risks of an investment in a structured product depend largely on the type of the collateral securities and the class of the structured product in which the Funds invest. In addition to the normal interest rate, default and other risks of fixed-income securities, structured products carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in structured products that are subordinate to other classes, values may be volatile and disputes with the issuer may produce unexpected investment results.

Common and Preferred Stocks: The Funds may invest in common stock and preferred stock. Common stock represents an equity (ownership) interest in a company, and usually possesses voting rights and earns dividends. Dividends on common stock are not fixed but are declared at the discretion of the issuer. Common stock generally represents the riskiest investment in a company. In addition, common stock generally has the greatest appreciation and depreciation potential because increases and decreases in earnings are usually reflected in a company’s stock price. The Funds may also invest in preferred stock. Preferred stock is a

 

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July 31, 2023 (Unaudited)

 

NOTE 3. RISKS ASSOCIATED WITH PORTFOLIO ASSETS – (continued)

 

class of stock having a preference over common stock as to the payment of dividends and the recovery of investment should a company be liquidated, although preferred stock is usually junior to the debt securities of the issuer. Preferred stock typically does not possess voting rights and its market value may change based on changes in interest rates.

The fundamental risk of investing in stock is the risk that the value of the stock might decrease. Stock values fluctuate in response to the activities of an individual company or in response to general market and/or economic conditions. Historically, common stocks have provided greater long-term returns and have entailed greater short-term risks than preferred stocks, fixed-income and money market investments. The market values of all securities, including common and preferred stocks, is based upon the market’s perception of value and not necessarily the book value of an issuer or other objective measures of a company’s worth. If you invest in the Funds, you should be willing to accept the risks of the stock market (to the extent that a Fund invests in common stock) and should consider an investment in the Funds only as a part of your overall investment portfolio.

Warrants: The Funds may invest in warrants. Warrants are securities, typically issued with preferred stock or bonds that give the holder the right to purchase a given number of shares of common stock at a specified price and time. The price of the warrant usually represents a premium over the applicable market value of the common stock at the time of the warrant’s issuance. Warrants have no voting rights with respect to the common stock, receive no dividends and have no rights with respect to the assets of the issuer. Investments in warrants involve certain risks, including the possible lack of a liquid market for the resale of the warrants, potential price fluctuations due to adverse market conditions or other factors and failure of the price of the common stock to rise. If the warrant is not exercised within the specified time period, it becomes worthless.

Futures Contracts: The Funds may enter into futures contracts to hedge various investments for risk management as well as speculative purposes. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. Secondary margin limits are required to be maintained while futures are held, as defined by each contract.

During the period a futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking-to-market” on a daily basis to reflect the fair value of the contract at the end of each day’s trading. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from the closing transaction and the Fund’s cost of entering into a contract. The use of futures contracts involves the risk of illiquid markets or imperfect correlation between the value of the instruments and the underlying securities, or that the counterparty will fail to perform its obligations.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Should market conditions move unexpectedly, the Funds may not achieve the anticipated benefits of the futures contract and may realize a loss. See Note 4 for information on futures contract activity during the period ended July 31, 2023.

Swaps: The Funds may invest in credit default swaps, total return swaps, interest rate swaps, equity swaps, currency swaps and other types of swaps. Such transactions are subject to market risk, liquidity risk, risk of default by the other party to the transaction, known as “counterparty risk,” regulatory risk and risk of imperfect correlation between the value of such instruments and the underlying assets and may involve commissions or other costs.

A credit default swap agreement may reference one or more debt securities or obligations that are not currently held by the Funds. The Funds are permitted to enter into a credit default swap as either the protection buyer or seller in the discretion of the Adviser. When buying protection under a credit default swap, the Fund is generally obligated to pay the protection seller an upfront or periodic stream of payments over the term of the contract until a credit event occurs, such as a default of the reference obligation. If no credit event occurs, the Fund may recover nothing if the swap is held through the termination date. However, if a credit event does occur, the Fund may receive the full notional value of the swap in exchange for the face amount of the obligations underlying the swap, the value of which may have significantly decreased. When selling protection under a credit default swap, the Fund receives an upfront or periodic stream of payments over the term of the contract provided that a credit event does not occur. However, as the seller of protection, the Fund effectively adds leverage to its portfolio because it gains exposure to the notional amount of the swap. Entering into a credit default swap may subject a Fund to greater risk than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps also involve illiquidity risk, counter-party risk (for OTC swaps) and credit risk.

 

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Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 3. RISKS ASSOCIATED WITH PORTFOLIO ASSETS – (continued)

 

Swap agreements are primarily entered into by institutional investors and the value of such agreements may be extremely volatile. Certain swap agreements are traded OTC between two parties, while other more standardized swaps must be transacted through a Futures Commission Merchant and centrally cleared and exchange traded. While central clearing and exchange-trading are intended to reduce counterparty credit and liquidity risk, they do not make a swap transaction risk-free. The current regulatory environment regarding swap agreements is subject to change. The Adviser will continue to monitor these developments, particularly to the extent regulatory changes affect the Funds’ ability to enter into swap agreements. See Note 4 for information on swap activity during the period ended July 31, 2023.

To Be Announced Securities: The Funds may invest in to-be-announced securities (“TBAs”). TBAs is a term that is generally used to describe forward-settling MBS. These TBAs are generally issued by U.S. Government Agencies or U.S. Government Sponsored Entities such as Freddie Mac, Fannie Mae and Ginnie Mae. The actual mortgage-backed security that will be delivered to the buyer at the time TBA trades are entered is not known, however, the terms of the acceptable pools of loans that will comprise the mortgage-backed security are determined at the time the trade is entered into (coupon rate, maturity, credit quality, etc.). Investment in TBAs will generally increase the Funds’ exposure to interest rate risk and could also expose the Funds to counterparty default risk. In order to mitigate counterparty default risk, the Funds only enter TBAs with counterparties for which the risk of default is determined to be remote.

Macroeconomic Risks: The COVID-19 pandemic, the Russian-Ukrainian war, rising interest rates, heightened inflation, supply chain disruptions, geopolitical risks, and economic sanctions have disrupted economic markets and the prolonged economic impact is uncertain. The operational and financial performance of the issuers of securities in which the Funds invests depends on future developments, including the duration, spread, and conclusion of these global events, and such uncertainty may in turn impact the value of the Funds’ investments.

NOTE 4. DERIVATIVE TRANSACTIONS

The value and effect of derivative instruments on the Consolidated Statement of Assets and Liabilities as of July 31, 2023, for the Multi-Strategy Income Fund was as follows:

 

Derivatives    Type of
Derivative Risk
  

 Consolidated Statement of Assets and 

Liabilities Location

   Fair Value of Deposit
at Broker for
Futures and
Swaps
   Value of  Unrealized
Appreciation
(Depreciation)*
Futures Contracts    Interest Rate    Deposit at broker for futures    $4,229,561    $10,770,075
Swaps    Interest Rate    Deposit at broker for swaps    $2,746,448    ($2,745,770)

 

*

Represents the value of unrealized appreciation (depreciation) as presented in the Consolidated Schedule of Open Futures Contracts and the Consolidated Schedule of Centrally Cleared Credit Default Swaps.

The effect of derivative instruments on the Consolidated Statement of Operations for the period ended July 31, 2023, for the Multi-Strategy Income Fund was as follows:

 

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    $36,513,927
Swaps    Interest Rate    Net realized gain (loss) on swaps    ($189,023)

 

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    ($23,721,546)
Swaps    Interest Rate    Net change in unrealized appreciation (depreciation) on swaps    ($2,745,770)

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 4. DERIVATIVE TRANSACTIONS – (continued)

 

The average monthly notional value of long and short futures contracts during the period ended July 31, 2023, was $30,817,134 and ($302,371,128), respectively. The average monthly notional value of long swap contracts during the period ended July 31, 2023, was $35,428,571.

The value and effect of derivative instruments on the Statements of Assets and Liabilities as of July 31, 2023, for the UltraShort Income Fund was as follows:

 

Derivatives    Type of
Derivative Risk
  

Statements 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    $733,925    $473,127

 

*

Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of Open Futures Contracts.

The effect of derivative instruments on the Statements of Operations for the period ended July 31, 2023, for the UltraShort Income Fund was as follows:

 

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    $2,187,002

 

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

   ($103,245)

The average monthly notional value of short futures contracts during the period ended July 31, 2023, was ($78,463,910).

The value and effect of derivative instruments on the Statements of Assets and Liabilities as of July 31, 2023, for the Total Return Bond Fund was as follows:

 

Derivatives    Type of
Derivative Risk
   Statements 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    $220,278    ($199,075)

 

*

Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of Open Futures Contracts.

The effect of derivative instruments on the Statements of Operations for the period ended July 31, 2023, for the Total Return Bond Fund was as follows:

 

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    ($115,385)

 

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
   ($278,655)

The average monthly notional value of long futures contracts during the period ended July 31, 2023, was $8,701,801.

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 4. DERIVATIVE TRANSACTIONS – (continued)

 

The value and effect of derivative instruments on the Statements of Assets and Liabilities as of July 31, 2023, for the Income ETF was as follows:

 

Derivatives   

Type of

Derivative Risk

   Statements 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    $124,954    $36,431

 

*

Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of Open Futures Contracts.

The effect of derivative instruments on the Statements of Operations for the period ended July 31, 2023, for the Income ETF was as follows:

 

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    $34,578

 

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    $36,431

The average monthly notional value of short futures contracts during the period ended July 31, 2023, was $1,057,055.

Balance Sheet Offsetting Information

During the ordinary course of business, the Funds may enter into transactions subject to enforceable netting agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Funds to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreement. Generally, the Funds manage their cash collateral and securities collateral on a counterparty basis. As of July 31, 2023, the Funds were not subject to any netting agreements.

The following table provides a summary of offsetting financial liabilities and derivatives and the effect of derivative instruments on the Statements of Assets and Liabilities as of July 31, 2023.

 

Multi-Strategy Income Fund
                     Gross Amounts Not Offset in Consolidated
Statement of Assets and Liabilities
      Gross Amounts of
Recognized
Assets/Liabilities
  Gross Amounts Offset in
Consolidated
Statement of Assets
and Liabilities
  Net Amounts of
Assets/Liabilities
Presented in
Consolidated
Statement of
Assets and Liabilities
  Financial
Instruments*
  Cash Collateral
Pledged*
  Net Amount

Assets:

                        

Futures Contracts

   $10,770,075   $–   $10,770,075**   $–   $–   $10,770,075

Liabilities:

                        

Swaps

   $2,745,770   $–   $2,745,770***   $–   $2,745,770   $–

Reverse Repurchase Agreements

   $100,000,000   $–   $100,000,000   $100,000,000   $–   $–

 

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July 31, 2023 (Unaudited)

 

NOTE 4. DERIVATIVE TRANSACTIONS – (continued)

 

UltraShort Income Fund  
                         

Gross Amounts Not Offset in

Statements of Assets and Liabilities

 
     Gross Amounts of
Recognized Assets
    Gross Amounts Offset in
Statements of Assets
and Liabilities
    Net Amounts of
Assets Presented in
Statements of
Assets and Liabilities****
    Financial
Instruments*
    Cash Collateral
Pledged*
    Net Amount  

Futures Contracts

  $ 473,127     $     $ 473,127     $     $     $ 473,127  

 

Total Return Bond Fund  
                         

Gross Amounts Not Offset in

Statements of Assets and Liabilities

 
     Gross Amounts of
Recognized Liabilities
    Gross Amounts Offset in
Statements of Assets
and Liabilities
    Net Amounts of
Liabilities Presented in
Statements of
Assets and Liabilities****
    Financial
Instruments*
    Cash Collateral
Pledged*
    Net Amount  

Futures Contracts

  $ 199,075     $ –      $ 199,075     $ –      $ 199,075     $ –   

 

Income ETF  
                         

Gross Amounts Not Offset in

Statements of Assets and Liabilities

 
     Gross Amounts of
Recognized Assets
    Gross Amounts Offset in
Statements of Assets
and Liabilities
    Net Amounts of
Assets Presented in
Statements of
Assets and Liabilities****
    Financial
Instruments*
    Cash Collateral
Pledged*
    Net Amount  

Futures Contracts

  $ 36,431     $     $ 36,431     $     $     $ 36,431  

 

*

The amount is limited to the net amounts of financial assets and liabilities and accordingly does not include excess collateral pledged.

**

Represents the value of unrealized appreciation (depreciation) as presented in the Consolidated Schedule of Open Futures Contracts, which is included in deposit at broker for futures on the Consolidated Statements of Assets and Liabilities.

***

Represents the value of unrealized appreciation (depreciation) as presented in the Consolidated Schedule of Centrally Cleared Credit Default Swaps, which is included in deposit at broker for swaps on the Consolidated Statements of Assets and Liabilities.

****

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.

In some instances, the actual collateral received/pledged may be more than the amounts disclosed herein.

NOTE 5. FEES AND OTHER RELATED PARTY TRANSACTIONS

Under the terms of the investment advisory agreement, on behalf of the Funds (the “Agreement”), the Adviser manages the Funds’ investments subject to oversight of the Trustees. As compensation for its management services, the Funds’ are obligated to pay the Adviser a fee computed and accrued daily and paid monthly at an annual rate of the average daily net assets of each Fund as follows:

 

        

Multi-Strategy Income Fund

   0.89%

Financials Income Impact Fund

   0.89%

High Yield Opportunities Fund

   0.55%

UltraShort Income Fund

   0.44%

Total Return Bond Fund

   0.50%

UltraShort Income ETF

   0.55%

Income ETF

   0.99%

 

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July 31, 2023 (Unaudited)

 

NOTE 5. FEES AND OTHER RELATED PARTY TRANSACTIONS – (continued)

 

The Adviser contractually agreed through May 31, 2024, to waive or limit its fees and to assume other expenses of the Funds’ so that the ratio of each Fund’s Total Annual Fund Operating Expenses to average net assets does not exceed the following:

 

        

Multi-Strategy Income Fund

   0.99%

Financials Income Impact Fund

   0.69%

High Yield Opportunities Fund

   0.55%

UltraShort Income Fund

   0.35%

Total Return Bond Fund

   0.44%

UltraShort Income ETF

   0.29%

Income ETF

   0.79%

These operating expense limitations do not apply to front-end sales loads, brokerage fees and commissions, interest on borrowings, dividends on securities sold short, taxes, 12b-1 fees, extraordinary expenses and indirect expenses (such as “acquired funds fees and expenses”) and may only be changed or eliminated by the Board of Trustees upon 60 days’ written notice to the Adviser.

Prior to December 31, 2022, Total Annual Fund Operating Expenses of the Financials Income Impact Fund, the High Yield Opportunities Fund, and Total Return Bond Fund were limited to 0.85%, 0.65%, and 0.59%, respectively. Additionally, effective December 1, 2016, through December 30, 2022, the Adviser voluntarily agreed to waive its fees and/or reimburse certain expenses to limit the total annual fund operating expenses after Fee Waiver/Expense Reimbursement to 0.69% of the Financials Income Impact Fund’s average daily net assets. This voluntary waiver was in addition to the contractual fee waiver/expense limitation agreement discussed above.

The contractual waiver and/or reimbursement by the Adviser with respect to the Funds is subject to repayment by the Funds within 36 months following the month in which that particular waiver and/or reimbursement occurred, provided that the Funds are able to make the repayment without exceeding the expense limitations described above or the expense limitation in effect at the time of the reimbursement (whichever is lower). During the period ended July 31, 2023, the Adviser waived $15,996 of the Multi-Strategy Income Fund’s expenses, $253,066 of the Financial Income Impact Fund’s expenses, $121,118 of the High Yield Opportunities Fund’s expenses, $734,880 of the UltraShort Income Fund’s expenses, $109,272 of the Total Return Bond Fund’s expenses, $75,524 of the UltraShort Income ETF’s expenses, and $34,220 of the Income ETF’s expenses. Additionally, during the period ended July 31, 2023, the Multi-Strategy Income Fund repaid $3,729 of previously waived expenses to the Adviser. During the period ended July 31, 2023, the High Yield Opportunities Fund had $84,101 of previously waived expenses expire. The expense limitation agreement specifically refers to amounts that are contractually waived, see Statements of Operations. The amounts subject to repayment by the Funds, pursuant to the aforementioned conditions at July 31, 2023, are included in the table below.

 

    

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

 

Recoverable

Expenses
Subject to 36 Month
Limit During the Year
Ended 01/31/27

Multi-Strategy Income Fund   $12,267   $–   $–   $–   $12,267
Financials Income Impact Fund   $344,534   $–   $–   $91,468   $253,066
High Yield Opportunities Fund   $616,985   $86,464   $176,290   $233,113   $121,118
UltraShort Income Fund   $3,220,433   $–   $298,340   $2,187,213   $734,880
Total Return Bond Fund   $408,856   $–   $87,232   $212,352   $109,272
UltraShort Income ETF   $102,631   $–   $–   $27,107   $75,524
Income ETF   $45,503   $–   $–   $11,283   $34,220

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 5. FEES AND OTHER RELATED PARTY TRANSACTIONS – (continued)

 

The Adviser has contractually agreed to waive the amount of the Multi-Strategy Income Fund and UltraShort Income Fund’s management fees to the extent necessary to offset the proportionate share of the management fees incurred by the Funds through its investment in underlying funds for which the Adviser also serves as investment adviser (affiliated investments). This contractual waiver is not subject to recoupment by the Adviser. This arrangement may only be changed or eliminated by the Board of Trustees upon 60 days’ written notice to the Adviser. During the period ended July 31, 2023, the Adviser waived $361,814 and $7,041 of the Multi-Strategy Income Fund and UltraShort Income Fund’s management fees of underlying funds, respectively.

The Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares. The Funds have adopted a Distribution Plan in accordance with Rule 12b-1 under the 1940 Act with respect to the Class A shares, Class A1 shares, Class C shares, and the ETFs, as applicable. The Distribution Plan provides that the Funds will pay a fee to the Distributor at an annual rate of up to 0.25% of the average daily net assets of Class A shares and Class A1 shares and at an annual rate of up to 1.00% of the average daily net assets of Class C shares. The Distribution Plan for the ETFs has not been activated. No distribution fees are paid by Institutional Class shares. These fees may be used by the Distributor to provide compensation for sales support, distribution activities or shareholder servicing activities.

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), an indirect wholly-owned subsidiary of U.S. Bancorp, serves as the Funds’ Administrator (“Administrator”) and, in that capacity, performs various administrative and accounting services for the Funds. Fund Services also serves as the Funds’ fund accountant and transfer agent. The Administrator prepares various federal and state regulatory filings, reports and returns for the Funds; prepares reports and materials to be supplied to the Trustees; monitors the activities of the Funds’ custodian; coordinates the preparation and payment of the Funds’ expenses and reviews the Funds’ expense accruals. As compensation for its services, the Administrator is entitled to a monthly fee at an annual rate based upon the average daily net assets of the Funds. U.S. Bank, N.A. (the “Custodian”) serves as custodian to the Funds.

Certain officers, Trustees and shareholders of the Funds are also owners or employees of the Adviser and may be compensated by the Funds.

NOTE 6. INVESTMENT TRANSACTIONS

For the period ended July 31, 2023, purchases and sales of investment securities, other than short-term investments and short-term U.S. Government securities, were as follows:

 

      Purchases    Sales
Multi-Strategy Income Fund    $341,356,676    $848,741,376
Financials Income Impact Fund    $7,230,612    $18,334,930
High Yield Opportunities Fund    $10,105,262    $4,303,680
UltraShort Income Fund    $135,946,100    $284,305,127
Total Return Bond Fund    $8,352,236    $9,744,398
UltraShort Income ETF    $62,770,738    $24,571,832
Income ETF    $12,473,894    $6,185,088

For the period ended July 31, 2023, purchases and sales of long-term U.S. Government securities (included in the aggregate purchases and sales of investment securities displayed in the table above) were as follows:

 

      Purchases    Sales
Multi-Strategy Income Fund    $126,955,077    $68,840,356
Financials Income Impact Fund    $–    $–
High Yield Opportunities Fund    $989,269    $–
UltraShort Income Fund    $5,033,556    $14,151,252
Total Return Bond Fund    $4,622,907    $1,741,333
UltraShort Income ETF    $7,571,376    $3,498,645
Income ETF    $1,603,049    $1,164,346

 

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Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 7. TRANSACTIONS WITH AFFILIATES

 

The Funds’ ownership of shares of affiliates represents holdings for which the Funds’ and the underlying investee fund have the same investment adviser or where the investee fund’s investment adviser is under common control with the Funds’ investment adviser.

The Multi-Strategy Income Fund had the following investments in affiliates during the period ended July 31, 2023:

 

Security Name   Value as of
January 31, 2023
  Purchases   Sales   Net Realized
Gain (Loss) on
Investments in
Affiliates
  Net Change in
Unrealized
Appreciation
/Depreciation on
Investments in
Affiliates
  Value as of
July 31, 2023
  Share
Balance
  Dividend
Income
Financials Income Impact Fund   $41,799,908   $–   $–   $–   ($2,882,752)   $38,917,156   5,147,772   $1,013,916
High Yield Opportunities Fund   35,297,429         200,174   35,497,603   3,336,241   1,052,764
Income ETF   9,806,280   10,162       (91,390)   9,725,052   481,200   326,666
Total Return Bond Fund   34,710,309         (1,315,086)   33,395,223   3,985,110   771,434
UltraShort Income ETF   4,849,663         480   4,850,143   95,900   132,397

Total

  $126,463,589   $10,162   $–   $–   ($4,088,574)   $122,385,177   13,046,223   $3,297,177

The UltraShort Income Fund had the following investments in affiliates during the period ended July 31, 2023:

 

Security Name   Value as of
January 31, 2023
   Purchases   Sales   Net Realized
Gain (Loss) on
Investments in
Affiliates
  Net Change in
Unrealized
Appreciation
/Depreciation on
Investments in
Affiliates
   Value as of
July 31, 2023
     Share
Balance
   Dividend
Income
UltraShort Income ETF   $4,880,005    $50,535   $–   $–   $523    $4,931,063      97,500    $133,910

NOTE 8. BENEFICIAL OWNERSHIP

The beneficial ownership, either directly or indirectly, of 25% or more of the voting securities of a fund creates a presumption of control of a fund, under Section 2(a)(9) of the 1940 Act. At July 31, 2023, the Multi-Strategy Income Fund owned, as beneficial shareholder, 53% of the outstanding shares of the High Yield Opportunities Fund, 45% of the outstanding shares of the Financials Income Impact Fund, and over 99% of the outstanding shares of the Total Return Bond Fund. It is not known whether any underlying beneficial owners owned or controlled 25% or more of the voting securities of the Funds. At July 31, 2023, no shareholder held more than 25% of the outstanding shares of the Multi-Strategy Income Fund or the UltraShort Income Fund.

NOTE 9. FEDERAL TAX INFORMATION

The tax characterization of distributions paid for the year or period ended January 31, 2023, and January 31, 2022, were as follows:

 

     Multi-Strategy
Income Fund
    Financials Income
Impact Fund
    High Yield
Opportunities Fund
    UltraShort
Income Fund
 
     2023     2022     2023     2022     2023     2022     2023     2022  

Distributions paid from:

                                                               

Ordinary Income

    $251,071,959       $328,674,997       $5,752,976       $5,948,903       $3,865,020       $3,841,269       $24,057,135       $17,285,321  

Net Long-Term Capital Gain

                                               

Total

    $251,071,959       $328,674,997       $5,752,976       $5,948,903       $3,865,020       $3,841,269       $24,057,135       $17,285,321  

 

      Total Return Bond Fund      UltraShort Income ETF      Income ETF  
      2023    2022      2023 (a)      2022      2023 (b)      2022  

Distributions paid from:

                                                 

Ordinary Income

   $994,943      $368,515        $316,786        N/A        $148,244        N/A  

Net Long-Term Capital Gain

                      N/A               N/A  

Total

   $994,943      $368,515        $316,786        N/A        $148,244        N/A  

 

(a)

Fund commenced operations on October 24, 2022.

(b)

Fund commenced operations on November 7, 2022.

 

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Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 9. FEDERAL TAX INFORMATION – (continued)

 

At January 31, 2023, the components of distributable earnings (accumulated deficit) on a tax basis were as follows:

 

     Multi-Strategy
Income Fund
  Financials Income
Impact Fund
  High Yield
Opportunities
Fund
  UltraShort
Income Fund
  Total Return
Bond Fund
  UltraShort
Income ETF
  Income ETF

Tax Cost of Investments

  $4,461,317,015   $109,907,635   $68,162,938   $724,832,694   $37,034,340   $47,408,013   $33,749,623

Unrealized Appreciation*

  17,215,874   532,975   246,433   987,887   158,786   291,689   393,991

Unrealized Depreciation*

  (757,056,720)   (9,989,594)   (4,976,445)   (31,713,848)   (2,688,025)   (69,078)   (104,920)

Net Unrealized Appreciation (Depreciation)*

  ($739,840,846)   ($9,456,619)   ($4,730,012)   ($30,725,961)   ($2,529,239)   $222,611   $289,071

Undistributed Ordinary Income

  5,236,022   197,404   262,755   505,824   108,627   221,839   199,069

Undistributed Long-Term Gain (Loss)

            3   4

Accumulated Gain (Loss)

  $5,236,022   $197,404   $262,755   $505,824   $108,627   $221,842   $199,073

Other Accumulated Gain (Loss)

  (1,201,271,339)   (51,266,583)   (4,645,432)   (39,202,973)   (2,907,915)    

Distributable Earnings (Accumulated Deficit)

  ($1,935,876,163)   ($60,525,798)   ($9,112,689)   ($69,423,110)   ($5,328,527)   $444,453   $488,144

 

*

Represents aggregated amounts of Funds’ investments, reverse repurchase agreements, and futures.

The temporary differences between book basis and tax basis in the Funds are primarily attributable to distributions payable, wash sales, partnership adjustments, amortization of callable bonds, and mark to market on futures contracts.

As of January 31, 2023, the Funds had available for federal tax purposes an unused capital loss carryforward, which is available for offset against future taxable net capital gains, as follows:

 

  

Multi-Strategy Income Fund

   $1,195,937,965

Financials Income Impact Fund

   $51,073,158

High Yield Opportunities Fund

   $4,415,196

UltraShort Income Fund

   $38,676,404

Total Return Bond Fund

   $2,799,600

UltraShort Income ETF

   $–

Income ETF

   $–

For the year or period ended January 31, 2023, the Funds’ utilization of capital loss carryforward was as follows:

 

  

Multi-Strategy Income Fund

   $–

Financials Income Impact Fund

   $–

High Yield Opportunities Fund

   $223,759

UltraShort Income Fund

   $–

Total Return Bond Fund

   $–

UltraShort Income ETF

   $–

Income ETF

   $–

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 9. FEDERAL TAX INFORMATION – (continued)

 

To the extent these carryforwards are used to offset futures gains, it is probable that the amount offset will not be distributed to shareholders. The carryforward expires as follows:

 

     Multi-Strategy
Income Fund
    Financials Income
Impact Fund
    High Yield
Opportunities
Fund
    UltraShort
Income Fund
    Total Return
Bond Fund
    UltraShort
Income ETF
    Income ETF  

No expiration short-term

    $485,272,063     $ 34,738,212     $ 1,293,466     $ 30,809,686       $557,001     $     $  

No expiration long-term

    $710,665,902     $ 16,334,946     $ 3,121,730       $7,866,718     $ 2,242,599     $     $  

Total

  $ 1,195,937,965     $ 51,073,158     $ 4,415,196     $ 38,676,404     $ 2,799,600     $     $  

Certain capital losses incurred after October 31 and within the current taxable year, are deemed to arise on the first business day of the Funds’ following taxable year. For the tax year ended January 31, 2023, the Funds’ did not defer any post- October losses.

NOTE 10. CREDIT AGREEMENTS

In August 2015, as amended July 26, 2023, the Multi-Strategy Income Fund entered into a $200 million secured, committed, margin facility (the “Facility”) with Société Générale, which expires in August 2024, but can be terminated prior to this date by either party with 90 days’ notice. Prior to July 26, 2023, the maximum commitment of the Facility was $400 million. Under the Facility, interest is charged a floating rate based on the SOFR rate plus 1.85% and is payable on the last day of each interest period, which was 7.15% as of July 31, 2023. For the period ended July 31, 2023, the average principal balance and interest rate was approximately $239,226,519 and 6.66%, respectively. The Multi-Strategy Income Fund is required to pay a commitment fee under the Facility on undrawn amounts, and an additional fee if the level of debt outstanding falls below a certain percentage. During the reporting period the Multi-Strategy Income Fund was required to pay these commitment fees on undrawn amounts, which was 0.40% as of July 31, 2023. For the period ended July 31, 2023, these expense and commitment fees, amounted to $8,250,667 and are included in the Interest expense line item that is reflected in the Consolidated Statement of Operations. Under the terms of the Facility, the Multi-Strategy Income Fund is also required to satisfy certain collateral requirements and maintain a certain level of net assets. For additional information, see the Consolidated Schedule of Investments. As of July 31, 2023, the outstanding principal balance under the Facility was $100 million. The amount of the maximum loan outstanding during the period was $300 million from February 1, 2023, through April 23, 2023.

U.S. Bank, N.A. has made available to the Funds’ a $350 million unsecured credit facility, pursuant to a Loan Agreement (“Agreement”) effective June 8, 2016, expiring on April 28, 2024, for the purposes of having cash available to satisfy redemption requests. Prior to April 28, 2023, the credit facility was secured and had a maximum principal availability of $600 million. Advances under the Agreement would be limited to the lesser of $350 million or 20% of the unencumbered assets of the Financials Income Impact Fund, the UltraShort Income Fund, the Total Return Bond Fund, the UltraShort Income ETF, and Income ETF; or 15% of the unencumbered assets of the High Yield Opportunities Fund; or 10% of the unencumbered assets of the Multi-Strategy Income Fund. Principal is due 45 days after the initial advance and at the maturity. Interest is payable monthly in arrears. Under the credit facility, the interest rate paid by the Funds on outstanding borrowings is equal to the lender’s prime rate, minus 1.00% which was 7.50% as of July 31, 2023. For the period ended July 31, 2023, the Funds’ activity under the credit facility was as follows:

 

      Average
Principal
Balance
   Average
Interest
Rate
   Maximum
Loan
Outstanding
   Period Loan
was
Outstanding

Financials Income Impact Fund

   $60,111    6.97%    $1,800,000    March 14, 2023

High Yield Opportunities Fund

   $6,591    7.25%    $183,000    June 14, 2023

UltraShort Income Fund

   $44,530    7.25%    $8,060,000    July 10, 2023

As of July 31, 2023, the Funds had no outstanding borrowings under this agreement.

NOTE 11. ACCOUNTING PRONOUNCEMENTS AND/OR REGULATORY UPDATES

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new

 

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Angel Oak Funds Trust

Notes to the Financial Statements - (continued)

July 31, 2023 (Unaudited)

 

NOTE 11. ACCOUNTING PRONOUNCEMENTS AND/OR REGULATORY UPDATES – (continued)

 

disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023, and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates and which was effective as of March 12, 2020, through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.

In October 2022, the Securities and Exchange Commission (the “SEC”) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month transition period after the effective date of the amendment.

NOTE 12. SUBSEQUENT EVENTS

Management of the Funds has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments other than the following:

On July 31, 2023, the UltraShort Income ETF and Income ETF declared ordinary income distributions to shareholders of record as of August 2, 2023, payable August 3, 2023, as follows:

 

      UltraShort
Income ETF
   Income ETF
Distribution Paid    $469,067    $219,627
Distribution Paid Per Share    $0.26651536    $0.11262913

 

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Additional Information (Unaudited)

1. Shareholder Notification of Federal Tax Status

For the taxable year ended January 31, 2023, certain dividends paid by the Funds may be subject to a maximum tax rate of 23.80% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The Funds intend to designate the maximum amount allowable as taxed at a maximum rate of 23.80%.

For the taxable year ended January 31, 2023, the Multi-Strategy Income Fund, Financials Income Impact Fund, High Yield Opportunities Fund, UltraShort Income Fund, Total Return Bond Fund, UltraShort Income ETF, and Income ETF paid qualified dividend income of 0.00%, 0.00%, 0.00%, 0.00%, 0.00%, 0.00%, and 0.00%, respectively.

For the taxable year ended January 31, 2023, the percentage of ordinary income dividends paid by the Multi-Strategy Income Fund, Financials Income Impact Fund, High Yield Opportunities Fund, UltraShort Income Fund, Total Return Bond Fund, UltraShort Income ETF, and Income ETF that qualifies for the dividends received deduction available to corporations was 0.00%, 0.00%, 0.00%, 0.00%, 0.00%, 0.00%, and 0.00%, respectively.

For the taxable year ended January 31, 2023, the Multi-Strategy Income Fund, Financials Income Impact Fund, High Yield Opportunities Fund, UltraShort Income Fund, Total Return Bond Fund, UltraShort Income ETF, and Income ETF did not pay any ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)2(c).

For the taxable year ended January 31, 2023, the percentage of taxable ordinary income distributions for the Multi-Strategy Income Fund, Financials Income Impact Fund, High Yield Opportunities Fund, UltraShort Income Fund, Total Return Bond Fund, UltraShort Income ETF, and Income ETF that are designated as interest related dividends under Internal Revenue 871(k)1(c) was 82.87%, 94.01%, 95.63%, 89.59%, 100.00%, 79.34%, and 75.85%, respectively.

2. Disclosure of Portfolio Holdings

The Funds will file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Part F of Form N-PORT. The Funds’ Part F of Form N-PORT is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0230.

3. Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies related to portfolio securities and information regarding how the Funds voted those proxies during the most recent twelve month period ended June 30, is available without charge upon request by (1) calling the Funds at (855) 751-4324 and (2) from Trust documents filed with the SEC on the SEC’s website at www.sec.gov.

4. Distribution of Premiums and Discounts

Information regarding how often shares of the UltraShort Income ETF and Income ETF trade on the Exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available on the Funds’ website at www.angeloakcapital.com.

5. Liquidity Risk Management Program

The Funds have adopted and implemented a written liquidity risk management program (the "Program") as required by Rule 22e-4 under the 1940 Act (the "Liquidity Rule"). The board has designated the Adviser’s Enterprise Risk Management Committee as the administrator of the Program (the "Administrator"). The Administrator conducts the day-to-day operation of the Program.

In accordance with the Program, the Funds’ liquidity risk is assessed no less frequently than annually taking into consideration certain factors, as applicable, such as (i) investment strategy and liquidity of portfolio investments both during normal and reasonably foreseeable stressed conditions, (ii) short-term and long-term cash flow projections and (iii) holdings of cash and cash equivalents and borrowing arrangements and other funding sources.

At a meeting of the Board held on June 28-29, 2023, the Administrator provided the Board with a written report addressing the Program’s operation, adequacy and effectiveness of implementation for the Funds’ fiscal year ended January 31, 2023. It was noted, among other items, that the Administrator concluded that the Administrator believes (i) the Program operated effectively to assess and manage each Fund’s liquidity risk and (ii) the Program has been adequately and effectively implemented to monitor and, as applicable, respond to the Funds’ liquidity developments.

 

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There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s liquidity risk and other principal risks to which an investment in the Fund may be subject.

6. Compensation of Trustees

Each Trustee who is not an “interested person” (i.e., an “Independent Trustee”) of the Fund Complex (which includes affiliated registrants not disclosed in this report) receives an annual retainer of $65,000 (pro-rated for any periods less than one year) paid quarterly as well as $12,000 for attending each regularly scheduled meeting in connection with his or her service on the Board of the Fund Complex. In addition, each Committee Chair as well as the Chair of the Board receive additional annual compensation of $12,000 (pro-rated for any periods less than one year). Independent Trustees are eligible for reimbursement of out-of-pocket expenses incurred in connection with attendance at meetings. The Funds’ Statement of Additional Information includes additional information about the Trustees and is available upon request by calling toll free (855) 751-4324.

7. Trustees and Officers

The business of each Fund is managed under the oversight of the Board. The Board meets periodically to review each Fund’s performance, monitor investment activities and practices, and discuss other matters affecting the Funds. The Trustees are fiduciaries for each Fund’s shareholders and are governed by the laws of the State of Delaware in this regard. The names and addresses of the Trustees and officers of the Trust are listed below along with a description of their principal occupations over at least the last five years. The address of each Trustee and Officer of the Trust is c/o Angel Oak Capital Advisors, LLC, 3344 Peachtree Road NE, Suite 1725, Atlanta, GA 30326. The Funds’ Statement of Additional Information includes additional information about the Trustees and is available upon request by calling toll free (855) 751-4324.

 

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 of the Trust(2)

Ira P. Cohen

1959

  Independent Trustee, Chair  

Trustee since 2014,

Chair since 2017; indefinite terms

 

Executive Vice President, Recognos Financial (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 Strategic Credit Fund (since 2017); 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).

 

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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

Alvin R. Albe, Jr.

1953

  Independent Trustee   Since 2014; indefinite term   Retired.   10   Trustee, Angel Oak Strategic Credit Fund (since 2017); 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).

Keith M. Schappert

1951

  Independent Trustee   Since 2014; indefinite term   President, Schappert Consulting LLC (since 2008); Retired, President and CEO of JP Morgan Investment Management.   10   Director, Commonfund Capital, Inc. (2015-2022); Director, The Commonfund (2012-2022); Trustee, Angel Oak Strategic Credit Fund (since 2017); 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).

 

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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

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 Strategic Credit Fund (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).

Interested Trustees of the Trust

Samuel R. Dunlap, III

1979

  Interested Trustee   Since 2019; indefinite term   Chief Investment Officer-Public Strategies, Angel Oak Capital Advisors, LLC (since 2009).   10   Trustee, Angel Oak Strategic Credit Fund (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).

 

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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

Cheryl M. Pate

1976

  Interested Trustee   Since 2022; indefinite term   Senior Portfolio Manager, Angel Oak Capital Advisors, LLC (since 2017).   10   Trustee, Angel Oak Strategic Credit Fund (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 each series of the Trust, Angel Oak Strategic Credit Fund, 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 Strategic Credit Fund (2017-2022); 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).

 

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Name and

Year of Birth

  Position with the Trust   Term of Office and Length of Time Served   Principal Occupation(s) During Past 5 Years

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 Strategic Credit Fund (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).

Each Trustee holds office for an indefinite term and until the earlier of: the Trust’s next meeting of shareholders and the election and qualification of his/her successor; or until the date a trustee dies, resigns or is removed in accordance with the Trust’s Declaration of Trust and By-laws. Each Trustee shall serve during the lifetime of the Trust until he or she: (a) dies; (b) resigns; (c) has reached the mandatory retirement age, if any, as set by the Trustees; (d) is declared incompetent by a court of appropriate jurisdiction; or (e) is removed, or, if sooner, until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor. Each officer holds office at the pleasure of the Board.

 

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INVESTMENT ADVISER

Angel Oak Capital Advisors, LLC

3344 Peachtree Road NE, Suite 1725

Atlanta, GA 30326

DISTRIBUTOR

Quasar Distributors, LLC

111 East Kilbourn Avenue, Suite 2200

Milwaukee, WI 53202

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Cohen & Company, Ltd.

1350 Euclid Avenue, Suite 800

Cleveland, OH 44115

LEGAL COUNSEL

Dechert LLP

1900 K Street NW

Washington, DC 20006

CUSTODIAN

U.S. Bank National Association

1555 North Rivercenter Drive, Suite 302

Milwaukee, WI 53212

ADMINISTRATOR, TRANSFER AGENT, AND FUND ACCOUNTANT

U.S Bancorp Fund Services, LLC

615 East Michigan Street

Milwaukee, WI 53202

This report is intended only for the information of shareholders or those who have received the Funds’ prospectus which contains information about the Funds’ management fee and expenses. Please read the prospectus carefully before investing.

 

SAR-AOFT