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
1 | ||||
10 | ||||
12 | ||||
16 | ||||
18 | ||||
20 | ||||
21 | ||||
28 | ||||
42 | ||||
114 | ||||
136 |
Investment Results – (Unaudited)
Angel Oak Multi-Strategy Income Fund
Total Return Based on a $500,000 Investment
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
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
Investment Results – (Unaudited) (continued)
Angel Oak Financials Income Impact Fund
Total Return Based on a $500,000 Investment
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
Investment Results – (Unaudited) (continued)
Angel Oak High Yield Opportunities Fund
Total Return Based on a $500,000 Investment
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
Investment Results – (Unaudited) (continued)
Angel Oak UltraShort Income Fund
Total Return Based on a $500,000 Investment
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
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
Investment Results – (Unaudited) (continued)
Angel Oak Total Return Bond Fund
Total Return Based on a $500,000 Investment
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
Investment Results – (Unaudited) (continued)
Angel Oak UltraShort Income ETF
Total Return Based on a $10,000 Investment
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
Investment Results – (Unaudited) (continued)
Angel Oak Income ETF
Total Return Based on a $10,000 Investment
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
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
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.
11
Portfolio Holdings – (Unaudited)
The investment objective of Angel Oak Multi-Strategy Income Fund is current income.
The investment objective of Angel Oak Financials Income Impact Fund is to seek current income with a secondary objective of total return.
* 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
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.
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.
* 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
Portfolio Holdings – (Unaudited) (continued)
The investment objective of Angel Oak Total Return Bond Fund is to seek total return.
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.
* 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
Portfolio Holdings – (Unaudited) (continued)
The investment objective of Angel Oak Income ETF is current income.
* 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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, |
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, |
9,580,000 | 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, |
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, |
1,500,000 | 1,450,503 | ||||||
Continental
Finance Credit Card ABS Master Trust, Series 2020-1A, Class B, |
2,300,000 | 2,098,002 | ||||||
Continental
Finance Credit Card ABS Master Trust, Series 2020-1A, Class C, |
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
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, |
5,105,000 | 4,819,993 | ||||||
Foursight
Capital Automobile Receivables Trust, Series 2021-2, Class E, |
2,500,000 | 2,272,810 | ||||||
Foursight
Capital Automobile Receivables Trust, Series 2021-2, Class F, |
900,000 | 783,018 | ||||||
Foursight
Capital Automobile Receivables Trust, Series 2022-1, Class E, |
4,500,000 | 4,101,224 | ||||||
Foursight
Capital Automobile Receivables Trust, Series 2022-2, Class D, |
500,000 | 490,903 | ||||||
Foursight
Capital Automobile Receivables Trust, Series 2023-1, Class D, |
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, |
900,000 | 869,920 | ||||||
GoodLeap
Sustainable Home Solutions Trust, Series 2021-3CS, Class 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
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, |
1,750,000 | 1,598,705 | ||||||
Santander
Consumer Auto Receivables Trust, Series 2021-AA, Class F, |
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, |
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
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 |
$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 |
$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, |
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, |
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, |
4,500,000 | 4,368,222 | ||||||
Golub
Capital Partners CLO Ltd., Series 2013-17A, Class A1R, |
805,624 | 806,982 | ||||||
Golub
Capital Partners CLO Ltd., Series 2017-34A, Class B1R, |
1,550,000 | 1,526,865 |
See accompanying notes which are an integral part of these financial statements.
45
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, |
4,016,032 | 3,988,827 | ||||||
Madison
Park Funding Ltd., Series 2014-13A, Class BR2, |
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, |
4,080,000 | 3,855,718 | ||||||
Monroe
Capital MML CLO Ltd., Series 2019-2A, Class D, |
700,000 | 686,346 | ||||||
Monroe
Capital MML CLO Ltd., Series 2021-1A, Class E, |
3,000,000 | 2,779,860 | ||||||
Monroe
Capital MML CLO Ltd., Series 2019-1A, Class ER, |
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, |
2,400,000 | 2,265,444 | ||||||
Sound
Point CLO Ltd., Series 2014-1RA,
Class E, |
4,500,000 | 3,325,482 | ||||||
Steele
Creek CLO Ltd., Series 2016-1A,
Class CR, |
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, |
1,180,560 | 1,172,901 | ||||||
THL
Credit Wind River CLO Ltd., Series 2019-3A, Class E2R, |
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 |
$105,252,047 | |||||||
|
|
|||||||
Commercial Mortgage-Backed Securities – 2.56% |
||||||||
Capital
Funding Mortgage Trust, Series 2020-9, Class B, |
4,207,662 | 4,165,522 | ||||||
GS
Mortgage Securities Corp. Trust, Series 2018-TWR, Class G, |
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, |
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, |
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, |
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
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, |
4,415,390 | 4,284,580 | ||||||
X-Caliber Funding LLC, Series 2021-7, Class B1, |
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, |
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, |
5,129,931 | 5,060,523 | ||||||
X-Caliber Mortgage Trust, Series 2020-1, Class B1, |
1,995,666 | 1,953,286 | ||||||
X-Caliber Mortgage Trust, Series 2020-2, Class B1, |
6,765,846 | 6,721,037 | ||||||
X-Caliber Mortgage Trust, Series 2020-5, Class A, |
2,221,023 | 2,170,124 | ||||||
X-Caliber Mortgage Trust, Series 2020-5, Class B1, |
5,182,388 | 4,959,198 | ||||||
X-Caliber Mortgage Trust, Series 2021-10, Class B1, |
2,000,000 | 1,954,912 | ||||||
X-Caliber Mortgage Trust, Series 2021-9, Class B1, |
1,215,000 | 759,346 | ||||||
X-Caliber Mortgage Trust, Series 2021-WY4, Class B1, |
2,020,000 | 1,974,441 | ||||||
|
|
|||||||
TOTAL
COMMERCIAL MORTGAGE-BACKED SECURITIES |
$70,583,708 | |||||||
|
|
|||||||
Commercial Mortgage-Backed Securities – U.S. Government Agency – 0.61% |
||||||||
Federal
Home Loan Mortgage Corp., Series 2017-KF35, Class B, |
2,063,287 | 2,017,566 | ||||||
Federal
Home Loan Mortgage Corp., Series 2017-KF41, Class B, |
600,479 | 569,083 | ||||||
Federal
Home Loan Mortgage Corp., Series 2019-KF58, Class B, |
1,182,007 | 1,120,929 | ||||||
Federal
Home Loan Mortgage Corp., Series 2019-KF64, Class B, |
2,487,563 | 2,350,877 | ||||||
Federal
National Mortgage Association, Series 2019-01, Class B10, |
1,500,000 | 1,336,335 | ||||||
Federal
National Mortgage Association, Series 2019-01, Class CE, |
2,000,000 | 1,945,696 | ||||||
Federal
National Mortgage Association, Series 2020-01, Class CE, |
8,000,000 | 7,506,600 | ||||||
|
|
|||||||
TOTAL
COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY |
$16,847,086 | |||||||
|
|
See accompanying notes which are an integral part of these financial statements.
47
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 |
$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
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
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 |
$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 |
$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 |
$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, |
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
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, |
401,061 | 288,624 | ||||||
American
Home Mortgage Investment Trust, Series 2006-3, Class 22A1, |
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, |
150,765 | 101,349 | ||||||
American
Home Mortgage Investment Trust, Series 2007-2, Class 11A1, |
3,847,985 | 1,553,535 | ||||||
American
Home Mortgage Investment Trust, Series 2007-A, Class 13A1, |
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, |
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, |
2,255,015 | 1,444,854 | ||||||
Bank
of America Funding Trust, Series 2007-A, Class 2A5, |
987,127 | 732,026 | ||||||
Bank
of America Funding Trust, Series 2007-B, Class A1, |
2,845,927 | 2,284,004 | ||||||
Bank
of America Funding Trust, Series 2007-C, Class 7A4, |
2,073,760 | 1,740,474 | ||||||
Bank
of America Funding Trust, Series 2014-R1, Class A2, |
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
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, |
$ | 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, |
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, |
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, |
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, |
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, |
2,159,000 | 1,856,064 | ||||||
Chase
Mortgage Finance Corp., Series 2021-CL1, Class M3, |
2,330,818 | 1,987,812 | ||||||
Chase
Mortgage Finance Corp., Series 2021-CL1, Class M4, |
2,411,232 | 2,053,118 | ||||||
Chase
Mortgage Finance Corp., Series 2021-CL1, Class M5, |
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, |
16,651,116 | 193,353 | ||||||
Chevy
Chase Funding LLC Mortgage-Backed Certificates, Series 2006-1A, Class A1, |
2,852,656 | 1,811,728 | ||||||
Chevy
Chase Funding LLC Mortgage-Backed Certificates, Series 2006-2A, Class A1, |
7,885,744 | 6,897,360 | ||||||
Chevy
Chase Funding LLC Mortgage-Backed Certificates, Series 2006-4A, Class A2, |
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
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, |
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, |
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, |
1,994,508 | 1,595,309 | ||||||
CitiMortgage
Alternative Loan Trust, Series 2006-A7, Class 1A9, |
3,832,114 | 2,875,484 | ||||||
CitiMortgage
Alternative Loan Trust, Series 2007-A3, Class 1A2, |
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, |
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, |
3,729,623 | 2,790,683 | ||||||
CitiMortgage
Alternative Loan Trust, Series 2007-A6, Class 1A1, |
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, |
39,903,783 | 2,661,383 | ||||||
CountryWide
Alternative Loan Trust Resecuritization, Series 2005-59R, Class A, |
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, |
17,611,305 | 436,126 | ||||||
CountryWide
Alternative Loan Trust, Series 2005-16, Class X2, |
16,427,374 | 253,080 | ||||||
CountryWide
Alternative Loan Trust, Series 2005-24, Class 1AX, |
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
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, |
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, |
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, |
11,763,137 | 183,799 | ||||||
CountryWide
Alternative Loan Trust, Series 2005-51, Class 4X, |
16,836,403 | 290,209 | ||||||
CountryWide
Alternative Loan Trust, Series 2005-56, Class 4X, |
21,322,720 | 305,235 | ||||||
CountryWide
Alternative Loan Trust, Series 2005-70CB, Class A4, |
3,299,822 | 2,316,954 | ||||||
CountryWide
Alternative Loan Trust, Series 2005-85CB, Class 2A5, |
1,286,965 | 952,856 | ||||||
CountryWide
Alternative Loan Trust, Series 2005-J11, Class 1A4, |
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, |
2,719,464 | 37,170 | ||||||
CountryWide
Alternative Loan Trust, Series 2006-OA1, Class 1X, |
10,893,909 | 105,911 | ||||||
CountryWide
Alternative Loan Trust, Series 2006-OA10, Class XAD, |
22,047,707 | 56,023 | ||||||
CountryWide
Alternative Loan Trust, Series 2006-OA10, Class XNB, |
20,833,039 | 159,456 | ||||||
CountryWide
Alternative Loan Trust, Series 2006-OA10, Class XPP, |
12,642,354 | 67,548 | ||||||
CountryWide
Alternative Loan Trust, Series 2006-OA3, Class X, |
15,038,607 | 225,474 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2004-20, Class X, |
5,952,650 | 212,087 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 1X, |
12,001,066 | 121,283 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 2A3, |
1,302,025 | 1,080,613 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2004-29, Class 1X, |
2,769,664 | 34,997 |
See accompanying notes which are an integral part of these financial statements.
54
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, |
$ | 3,059,488 | $ | 79,672 | ||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 4X, |
4,827,539 | 34,942 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2005-2, Class 2X, |
7,973,036 | 141,808 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2005-7, Class 3A2, |
3,528,824 | 2,752,677 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2005-7, Class 3X, |
965,577 | 39,067 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2006-12, Class X, |
14,802,465 | 86,624 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2006-8, Class 1A1, |
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, |
1,877,909 | 1,091,007 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2007-4, Class 1A1, |
1,338,859 | 943,778 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2007-7, Class A3, |
697,142 | 409,547 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2007-8, Class 1A12, |
2,631,922 | 1,472,871 | ||||||
CountryWide
Home Loan Mortgage Pass-Through Trust, Series 2007-J2, Class 2A1, |
4,477,808 | 810,318 | ||||||
Credit
Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 6A12, |
2,279,036 | 1,137,585 | ||||||
Credit
Suisse Mortgage Trust, Series 2014-3R, Class 1A1, |
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, |
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
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, |
$ | 333,890,471 | $ | 612,355 | ||||
Credit
Suisse Mortgage Trust, Series 2021-INV2, Class AX1, |
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, |
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, |
3,389,956 | 1,968,445 | ||||||
Deutsche
Alt-A Securities, Inc. Mortgage
Loan Trust, Series 2005-5,
Class 2A7, |
221,332 | 161,577 | ||||||
Deutsche
Alt-A Securities, Inc. Mortgage
Loan Trust, Series 2005-6,
Class 1A4, |
368,688 | 327,269 | ||||||
Deutsche
Alt-A Securities, Inc. Mortgage
Loan Trust, Series 2006-AR1,
Class 2A1, |
391,631 | 287,305 | ||||||
Deutsche
Alt-A Securities, Inc. Mortgage
Loan Trust, Series 2006-AR5,
Class 1A1, |
7,273,072 | 2,258,456 | ||||||
Deutsche
Alt-A Securities, Inc. Mortgage
Loan Trust, Series 2007-AB1,
Class PO, |
442,473 | 251,563 | ||||||
Deutsche
Alt-A Securities, Inc. Mortgage
Loan Trust, Series 2007-AR1,
Class A1, |
5,562,313 | 5,030,161 | ||||||
Deutsche
Alt-A Securities, Inc. Mortgage
Loan Trust, Series 2007-AR1,
Class A2, |
966,038 | 658,415 | ||||||
Deutsche
Alt-A Securities, Inc. Mortgage
Loan Trust, Series 2007-BAR1, Class A4, |
76,432,950 | 4,633,365 | ||||||
Deutsche
Alt-A Securities, Inc. Mortgage
Loan Trust, Series 2007-OA2,
Class A1, |
649,234 | 558,946 | ||||||
Deutsche
Alt-A Securities, Inc. Mortgage
Loan Trust, Series 2007-OA5,
Class A1A, |
1,332,061 | 1,080,063 | ||||||
Deutsche
Alt-B Securities, Inc. Mortgage
Loan Trust, Series 2006-AB2,
Class A1, |
341,031 | 301,055 | ||||||
Deutsche
Alt-B Securities, Inc. Mortgage
Loan Trust, Series 2006-AB2,
Class A2, |
1,517,334 | 1,378,147 | ||||||
Deutsche
Alt-B Securities, Inc. Mortgage
Loan Trust, Series 2006-AB2,
Class A5B, |
332,018 | 287,038 | ||||||
Deutsche
Alt-B Securities, Inc. Mortgage
Loan Trust, Series 2006-AB2,
Class A8, |
2,830,021 | 2,557,541 |
See accompanying notes which are an integral part of these financial statements.
56
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, |
$ | 177,424 | $ | 148,153 | ||||
Deutsche
Alt-B Securities, Inc. Mortgage
Loan Trust, Series 2006-AB4,
Class A1C, |
4,385,633 | 3,939,500 | ||||||
Deutsche
Alt-B Securities, Inc. Mortgage
Loan Trust, Series 2006-AB4,
Class A4B, |
5,900,500 | 5,248,908 | ||||||
Deutsche
Mortgage Securities, Inc. REMIC Trust, Series 2009-RS6, Class A2B, |
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, |
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, |
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, |
139,055 | 99,748 | ||||||
DSLA
Mortgage Loan Trust, Series 2005-AR4, Class 2A1A, |
1,138,948 | 938,021 | ||||||
DSLA
Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, |
9,346,638 | 4,985,086 | ||||||
DSLA
Mortgage Loan Trust, Series 2006-AR1, Class 1A1A, |
7,786,063 | 5,423,218 | ||||||
DSLA
Mortgage Loan Trust, Series 2006-AR2, Class 2A1A, |
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, |
794,142 | 481,315 | ||||||
First
Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A18, |
6,064 | 4,694 | ||||||
First
Horizon Alternative Mortgage Securities Trust, Series 2006-AA2, Class 2A1, |
351,672 | 282,855 | ||||||
First
Horizon Alternative Mortgage Securities Trust, Series 2006-FA1, Class 1A12, |
213,180 | 130,807 | ||||||
First
Horizon Alternative Mortgage Securities Trust, Series 2006-FA1, Class 1A8, |
3,600,725 | 1,426,345 | ||||||
First
Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 4A3, |
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
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, |
52,156,637 | 48,181,518 | ||||||
Greenpoint
Mortgage Funding Trust, Series 2005-AR1, Class X1, |
15,458,183 | 285,683 | ||||||
Greenpoint
Mortgage Funding Trust, Series 2005-AR3, Class X1, |
22,073,963 | 1,155,726 | ||||||
GreenPoint
Mortgage Funding Trust, Series 2005-AR4, Class 4A1A, |
1,362,238 | 822,851 | ||||||
GreenPoint
Mortgage Funding Trust, Series 2005-AR4, Class X4, |
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, |
1,500,000 | 1,145,018 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2019-PJ1, Class B5, |
577,000 | 389,850 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2019-PJ3, Class AIOS, |
33,481,493 | 309,804 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2019-PJ3, Class B6, |
1,703,244 | 924,471 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2020-PJ5, Class B4, |
2,151,438 | 1,486,265 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2020-PJ5, Class B5, |
1,763,871 | 999,379 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class AX1, |
333,066,688 | 318,745 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class B4, |
1,799,815 | 1,181,015 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class B5, |
1,543,782 | 775,311 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class B6, |
1,699,134 | 541,144 |
See accompanying notes which are an integral part of these financial statements.
58
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, |
$ | 6,323,000 | $ | 4,766,922 | ||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B1, |
4,569,699 | 3,661,467 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B3, |
3,657,108 | 2,721,089 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B4, |
3,667,037 | 2,424,340 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B5, |
1,472,758 | 930,371 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B6, |
4,284,784 | 1,250,330 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-INV1,
Class B3, |
4,134,722 | 3,050,664 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-INV1,
Class B4, |
2,959,251 | 1,955,535 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-INV1,
Class B5, |
1,779,708 | 958,851 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-INV1,
Class B6, |
2,457,469 | 564,554 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ1, Class B4, |
2,356,442 | 1,424,717 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ1, Class B5, |
1,039,000 | 317,190 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ1, Class B6, |
2,074,101 | 490,682 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ3, Class B4, |
1,254,279 | 807,303 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ3, Class B5, |
1,261,818 | 538,932 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ3, Class B6, |
2,205,653 | 506,153 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class AX1, |
488,145,366 | 298,257 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B1, |
4,974,424 | 3,858,278 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B2, |
7,836,976 | 5,869,448 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B4, |
2,665,104 | 1,229,202 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B5, |
1,244,000 | 371,824 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B6, |
2,486,517 | 563,885 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ5, Class B4, |
3,710,830 | 2,020,250 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ5, Class B5, |
1,194,000 | 353,838 |
See accompanying notes which are an integral part of these financial statements.
59
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, |
$ | 2,977,725 | $ | 668,356 | ||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ6, Class AX1, |
837,574,579 | 912,119 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ6, Class B4, |
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, |
4,655,946 | 934,127 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B1, |
8,394,814 | 6,387,455 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B4, |
7,559,230 | 4,788,863 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B5, |
1,788,819 | 701,342 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B6, |
3,248,523 | 716,572 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ8, Class B4, |
3,851,683 | 2,268,557 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ8, Class B5, |
1,237,000 | 355,698 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ8, Class B6, |
3,082,062 | 632,510 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ9, Class B4, |
3,360,838 | 2,198,123 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ9, Class B5, |
1,265,529 | 651,902 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ9, Class B6, |
5,670,272 | 1,221,586 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1,
Class A1, |
5,408,866 | 4,823,589 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2021-MM1, Class B1, |
4,676,122 | 3,668,310 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2021-MM1, Class B2, |
4,680,984 | 3,556,476 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2021-MM1, Class B3, |
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, |
5,397,435 | 4,020,927 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2021-PJ2, Class B3, |
4,015,307 | 2,897,317 |
See accompanying notes which are an integral part of these financial statements.
60
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, |
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, |
59,557,500 | 46,334,484 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2022-LTV1,
Class A15X, |
14,704,634 | 562,629 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2022-LTV1,
Class AIOS, |
202,984,279 | 2,167,060 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2022-LTV1,
Class AX1, |
261,753,044 | 1,433,360 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2022-LTV1,
Class AX4, |
26,478,897 | 157,682 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2022-LTV1,
Class B1, |
12,182,231 | 9,630,833 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2022-LTV1,
Class B2, |
4,780,848 | 3,639,454 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2022-LTV1,
Class B4, |
4,934,255 | 3,238,934 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2022-LTV1,
Class B5, |
770,917 | 414,743 | ||||||
GS
Mortgage-Backed Securities Trust, Series 2022-LTV1,
Class B6, |
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, |
4,896,460 | 4,788,645 | ||||||
GSAA
Home Equity Trust, Series 2005-14, Class 2A2, |
1,347,235 | 748,089 | ||||||
GSAA
Home Equity Trust, Series 2005-14, Class 2A3, |
2,424,108 | 1,909,576 | ||||||
GSAA
Home Equity Trust, Series 2005-15, Class 2A2, |
1,766,280 | 815,663 | ||||||
GSAA
Home Equity Trust, Series 2006-16, Class A2, |
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, |
10,260,765 | 3,884,480 | ||||||
GSAA
Home Equity Trust, Series 2006-20, Class A4A, |
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, |
3,690,524 | 777,457 | ||||||
GSAA
Home Equity Trust, Series 2007-1,
Class 1A2, |
1,788,644 | 668,847 |
See accompanying notes which are an integral part of these financial statements.
61
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, |
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, |
2,004,054 | 1,663,678 | ||||||
GSMSC
Resecuritization Trust, Series 2014-5R, Class 3B1, |
2,052,654 | 1,788,642 | ||||||
GSMSC
Resecuritization Trust, Series 2014-5R, Class 3B2, |
5,707,000 | 4,698,242 | ||||||
GSMSC
Resecuritization Trust, Series 2014-5R, Class 3B3, |
5,707,000 | 4,383,278 | ||||||
GSMSC
Resecuritization Trust, Series 2014-5R, Class 3B4, |
5,709,149 | 3,908,786 | ||||||
GSR
Mortgage Loan Trust, Series 2005-6F, Class 3A1, |
550,913 | 411,677 | ||||||
GSR
Mortgage Loan Trust, Series 2005-6F, Class 3A6, |
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, |
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, |
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, |
2,544,649 | 1,811,958 | ||||||
HarborView
Mortgage Loan Trust, Series 2005-15, Class 3A11, |
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, |
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, |
15,077,194 | 11,297,733 | ||||||
HarborView
Mortgage Loan Trust, Series 2006-4, Class 1A2A, |
4,728,191 | 2,479,582 |
See accompanying notes which are an integral part of these financial statements.
62
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, |
$ | 11,926,594 | $ | 8,643,930 | ||||
HarborView
Mortgage Loan Trust, Series 2007-6, Class 2A1A, |
1,518,415 | 1,341,626 | ||||||
Home
RE Ltd., Series 2019-1,
Class M2, |
20,083,000 | 20,406,397 | ||||||
Home
RE Ltd., Series 2021-1,
Class B1, |
3,083,042 | 3,057,579 | ||||||
Home
RE Ltd., Series 2021-1,
Class M1C, |
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, |
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, |
3,940,928 | 2,500,314 | ||||||
IndyMac
Index Mortgage Loan Trust, Series 2004-AR12, Class AX2, |
1,944,857 | 1,622 | ||||||
IndyMac
Index Mortgage Loan Trust, Series 2004-AR14, Class 1A1B, |
926 | 1,578 | ||||||
IndyMac
Index Mortgage Loan Trust, Series 2004-AR2, Class AX2, |
6,465,559 | 5,535,954 | ||||||
IndyMac
Index Mortgage Loan Trust, Series 2005-16IP, Class AX, |
13,455,241 | 26,682 | ||||||
IndyMac
Index Mortgage Loan Trust, Series 2005-AR10, Class AX, |
28,326,973 | 161,011 | ||||||
IndyMac
Index Mortgage Loan Trust, Series 2005-AR12, Class AX2, |
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, |
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, |
10,647,864 | 5,430 | ||||||
IndyMac
Index Mortgage Loan Trust, Series 2005-AR4, Class AX2, |
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, |
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, |
2,198,767 | 1,946,729 | ||||||
IndyMac
Index Mortgage Loan Trust, Series 2005-AR8, Class AX2, |
17,791,921 | 136,909 | ||||||
IndyMac
Index Mortgage Loan Trust, Series 2006-AR25, Class 5A1, |
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
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, |
1,088,471 | 944,018 | ||||||
JP
Morgan Alternative Loan Trust, Series 2007-A2, Class 11A1, |
22,256,492 | 11,731,708 | ||||||
JP
Morgan Chase Bank, Series 2019-CL1, Class M2, |
3,865,580 | 3,681,644 | ||||||
JP
Morgan Chase Bank, Series 2019-CL1, Class M4, |
1,431,158 | 1,385,239 | ||||||
JP
Morgan Chase Bank, Series 2020-CL1, Class B, |
6,731,914 | 6,958,396 | ||||||
JP
Morgan Chase Bank, Series 2020-CL1, Class M2, |
3,443,967 | 3,469,143 | ||||||
JP
Morgan Chase Bank, Series 2020-CL1, Class M4, |
1,101,169 | 1,121,073 | ||||||
JP
Morgan Chase Bank, Series 2020-CL1, Class M5, |
2,114,968 | 2,149,865 | ||||||
JP
Morgan Chase Bank, Series 2021-CL1, Class B, |
1,151,000 | 1,075,415 | ||||||
JP
Morgan Chase Bank, Series 2021-CL1, Class M5, |
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
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, |
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
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, |
$ | 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, |
4,821 | 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, |
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, |
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, |
18,750,000 | 16,711,313 | ||||||
Merrill
Lynch Mortgage Backed Securities Trust, Series 2007-1, Class 1A1, |
1,527,677 | 1,325,107 | ||||||
Merrill
Lynch Mortgage Investors Trust, Series 2004-A, Class A1, |
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, |
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
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, |
$ | 4,645,261 | $ | 4,150,940 | ||||
Morgan
Stanley ABS Capital Inc. Trust, Series 2007-HE6, Class A3, |
13,491,559 | 11,965,947 | ||||||
Morgan
Stanley ABS Capital Inc. Trust, Series 2007-HE6, Class A4, |
1,942,785 | 1,698,920 | ||||||
Morgan
Stanley Mortgage Loan Trust, Series 2005-1, Class 4A1, |
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, |
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, |
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, |
15,825,003 | 355,983 | ||||||
Morgan
Stanley Mortgage Loan Trust, Series 2006-7, Class 4A2, |
3,254,136 | 1,044,073 | ||||||
Morgan
Stanley Mortgage Loan Trust, Series 2006-9AR, Class A1, |
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, |
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, |
799,154 | 354,942 | ||||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-1, Class B5, |
988,000 | 312,292 | ||||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-1, Class B6, |
1,124,310 | 274,404 | ||||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-3, Class B4, |
1,093,000 | 423,512 | ||||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-3, Class B5, |
781,000 | 233,507 | ||||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-3, Class B6, |
938,058 | 208,406 | ||||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B1, |
7,447,708 | 5,737,119 | ||||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B2, |
3,528,560 | 2,614,910 | ||||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B4, |
1,240,000 | 490,765 | ||||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B5, |
690,000 | 199,879 |
See accompanying notes which are an integral part of these financial statements.
67
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, |
$ | 827,000 | $ | 173,926 | ||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-5, Class B2, |
6,170,712 | 4,613,952 | ||||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-5, Class B4, |
2,057,222 | 994,895 | ||||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-5, Class B5, |
956,000 | 286,734 | ||||||
Morgan
Stanley Residential Mortgage Loan Trust, Series 2021-5, Class B6, |
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, |
14,684,907 | 1,252,050 | ||||||
New
Residential Mortgage Loan Trust, Series 2019-6A, Class B6, |
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, |
3,376,654 | 1,303,959 | ||||||
Nomura
Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AR4, Class A3, |
107,859 | 71,957 | ||||||
Nomura
Resecuritization Trust, Series 2014-3R, Class 4A15, |
3,994,743 | 2,967,479 | ||||||
Nomura
Resecuritization Trust, Series 2015-2R, Class 3A1, |
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, |
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, |
1,129,151 | 1,042,994 | ||||||
Pretium
Mortgage Credit Partners LLC, Series 2021-NPL4, Class A1, |
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
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, |
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, |
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, |
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, |
112,141 | 55,722 | ||||||
Residential
Accredit Loans, Inc. Trust, Series 2006-QA5, Class 1A2, |
6,063,453 | 2,681,938 | ||||||
Residential
Accredit Loans, Inc. Trust, Series 2006-QA5, Class 1A3, |
585,138 | 256,917 | ||||||
Residential
Accredit Loans, Inc. Trust, Series 2006-QA7, Class 2A1, |
5,057,356 | 3,981,080 | ||||||
Residential
Accredit Loans, Inc. Trust, Series 2006-QA8, Class A2, |
367,028 | 300,184 | ||||||
Residential
Accredit Loans, Inc. Trust, Series 2006-QA9, Class A1, |
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, |
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
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, |
$ 1,531,216 | $ 817,605 | ||||||
Residential
Accredit Loans, Inc. Trust, Series 2006-QS14, Class A25, |
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, |
6,817,815 | 5,157,207 | ||||||
Residential
Accredit Loans, Inc. Trust, Series 2006-QS16, Class AP, |
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, |
4,726,317 | 3,172,479 | ||||||
Residential
Accredit Loans, Inc. Trust, Series 2006-QS2, Class 1A5, |
661,081 | 395,835 | ||||||
Residential
Accredit Loans, Inc. Trust, Series 2006-QS3, Class 1A1, |
2,649,218 | 1,622,717 | ||||||
Residential
Accredit Loans, Inc. Trust, Series 2006-QS3, Class 1A8, |
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, |
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, |
14,951 | 3,924 | ||||||
Residential
Accredit Loans, Inc. Trust, Series 2007-QA2, Class A3, |
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, |
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, |
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, |
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
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, |
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, |
2,768,759 | 1,398,387 | ||||||
Residential
Asset Securitization Trust, Series 2006-A14C, Class 2A4, |
3,069,394 | 1,095,639 | ||||||
Residential
Asset Securitization Trust, Series 2006-A2, Class A5, |
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, |
10,293,480 | 3,403,508 | ||||||
Residential
Asset Securitization Trust, Series 2006-A8, Class 2A3, |
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, |
22,418 | 14,798 | ||||||
Residential
Funding Mortgage Securities Trust, Series 2006-S10, Class 1A3, |
413,509 | 358,352 | ||||||
Residential
Funding Mortgage Securities Trust, Series 2006-S10, Class 1AP, |
12,004 | 6,689 | ||||||
Residential
Funding Mortgage Securities Trust, Series 2006-S4, Class AP, |
113,096 | 80,414 | ||||||
Residential
Funding Mortgage Securities Trust, Series 2006-S5, Class A12, |
483,096 | 435,244 | ||||||
Residential
Funding Mortgage Securities Trust, Series 2006-S5, Class A4, |
32,422 | 18,608 | ||||||
Residential
Funding Mortgage Securities Trust, Series 2006-S5, Class A9, |
627,046 | 559,259 | ||||||
Residential
Funding Mortgage Securities Trust, Series 2006-S7, Class A7, |
54,792 | 46,996 | ||||||
Residential
Funding Mortgage Securities Trust, Series 2006-S9, Class A4, |
4,036,425 | 3,594,178 | ||||||
Residential
Funding Mortgage Securities Trust, Series 2006-SA1, Class 1A1, |
704,430 | 504,021 | ||||||
Residential
Funding Mortgage Securities Trust, Series 2007-S1, Class A7, |
1,267,364 | 1,135,355 | ||||||
Residential
Funding Mortgage Securities Trust, Series 2007-S5, Class AP, |
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
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, |
4,983,275 | 4,617,727 | ||||||
Saluda
Grade Alternative Mortgage Trust, Series 2020-SEQ1,
Class C, |
37,978,108 | 886,865 | ||||||
Saluda
Grade Alternative Mortgage Trust, Series 2021-FIG2,
Class C, |
149,483 | 546,496 | ||||||
Saluda
Grade Alternative Mortgage Trust, Series 2021-FIG2,
Class M1, |
1,449,524 | 1,681,037 | ||||||
Saluda
Grade Alternative Mortgage Trust, Series 2021-FIG2,
Class M2, |
1,159,619 | 1,345,710 | ||||||
Saluda
Grade Alternative Mortgage Trust, Series 2021-MF1, Class A1, |
14,000,000 | 12,682,824 | ||||||
Saluda
Grade Alternative Mortgage Trust, Series 2022-SEQ2,
Class B1, |
3,153,250 | 2,882,301 | ||||||
Saluda
Grade Alternative Mortgage Trust, Series 2022-SEQ2,
Class B2, |
2,011,000 | 1,824,011 | ||||||
Saluda
Grade Alternative Mortgage Trust, Series 2022-SEQ2,
Class B3, |
2,309,200 | 2,047,274 | ||||||
Saluda
Grade Alternative Mortgage Trust, Series 2022-SEQ2,
Class CERT, |
38,061,600 | 34,990,295 | ||||||
Saluda
Grade Alternative Mortgage Trust, Series 2022-SEQ2,
Class M1, |
5,213,750 | 4,932,244 | ||||||
Saluda
Grade Alternative Mortgage Trust, Series 2022-SEQ2,
Class XS, |
137,375,566 | 6,979,503 | ||||||
Saluda
Grade Alternative Mortgage Trust, Series 2023-SEQ3,
Class A2, |
4,250,000 | 4,196,212 | ||||||
Sequoia
Mortgage Trust, Series 2004-4,
Class A, |
575,282 | 466,216 | ||||||
Sequoia
Mortgage Trust, Series 2004-7,
Class A3B, |
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
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, |
$ | 8,539,660 | $ | 6,798,176 | ||||
Starwood
Mortgage Residential Trust, Series 2022-SFR3, Class A, |
1,991,594 | 1,990,960 | ||||||
Structured
Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 3A1, |
1,833,176 | 1,536,005 | ||||||
Structured
Adjustable Rate Mortgage Loan Trust, Series 2005-23, Class 4A1, |
299,085 | 233,671 | ||||||
Structured
Adjustable Rate Mortgage Loan Trust, Series 2007-5, Class 3A1, |
3,324,753 | 2,600,638 | ||||||
Structured
Adjustable Rate Mortgage Loan Trust, Series 2007-8, Class 1A2, |
776,863 | 523,501 | ||||||
Structured
Asset Mortgage Investments Trust, Series 2004-AR1, Class X, |
4,675,558 | 47 | ||||||
Structured
Asset Mortgage Investments Trust, Series 2004-AR7, Class X, |
7,000,516 | 130,714 | ||||||
Structured
Asset Mortgage Investments Trust, Series 2005-AR2, Class 1X, |
7,556,537 | 93,694 | ||||||
Structured
Asset Mortgage Investments Trust, Series 2005-AR3, Class 1X, |
10,636,044 | 135,652 | ||||||
Structured
Asset Mortgage Investments Trust, Series 2006-AR5, Class 1X, |
10,980,251 | 389,964 | ||||||
Structured
Asset Mortgage Investments Trust, Series 2006-AR5, Class 4X, |
35,333,664 | 1,134,670 | ||||||
Structured
Asset Mortgage Investments Trust, Series 2006-AR8, Class X, |
77,598,769 | 1,255,936 | ||||||
Structured
Asset Securities Corp. Mortgage Pass-Through Certificates, |
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, |
1,500,000 | 1,506,633 | ||||||
Triangle
Re Ltd., Series 2021-3,
Class M1B, |
8,400,000 | 8,328,163 | ||||||
Triangle
Re Ltd., Series 2021-3,
Class M2, |
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
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, |
12,526,911 | 11,486,876 | ||||||
Washington
Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR6, Class X, |
15,910,111 | 294,830 | ||||||
Washington
Mutual Mortgage Pass-Through Certificates Trust, |
1,836,731 | 1,627,540 | ||||||
Washington
Mutual Mortgage Pass-Through Certificates Trust, |
69,978,929 | 22,813 | ||||||
Washington
Mutual Mortgage Pass-Through Certificates Trust, |
59,643,838 | 1,730 | ||||||
Washington
Mutual Mortgage Pass-Through Certificates WMALT Trust, |
232 | 163 | ||||||
Washington
Mutual Mortgage Pass-Through Certificates WMALT Trust, |
3,224,958 | 2,859,615 | ||||||
Washington
Mutual Mortgage Pass-Through Certificates WMALT Trust, |
2,735,061 | 1,758,414 | ||||||
Washington
Mutual Mortgage Pass-Through Certificates WMALT Trust, |
493,373 | 285,491 | ||||||
Washington
Mutual Mortgage Pass-Through Certificates WMALT Trust, |
11,905,920 | 220,843 | ||||||
Washington
Mutual Mortgage Pass-Through Certificates WMALT Trust, |
20,869,039 | 52,131 | ||||||
Wells
Fargo Alternative Loan Trust, Series 2007-PA1, Class A1, |
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, |
136,117 | 98,783 | ||||||
Wells
Fargo Mortgage Backed Securities Trust, Series 2006-AR14,
Class 1A3, |
373,896 | 255,976 | ||||||
Wells
Fargo Mortgage Backed Securities Trust, Series 2007-17, Class APO, |
16,378 | 10,426 | ||||||
Wells
Fargo Mortgage Backed Securities Trust, Series 2019-3, Class B4, |
1,627,000 | 1,124,021 | ||||||
Wells
Fargo Mortgage Backed Securities Trust, Series 2019-4, Class B4, |
2,124,000 | 1,363,842 |
See accompanying notes which are an integral part of these financial statements.
74
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, |
$ 1,818,000 | $ 697,805 | ||||||
Wells
Fargo Mortgage Backed Securities Trust, Series 2021-1, Class B5, |
1,011,000 | 391,809 | ||||||
Wells
Fargo Mortgage Backed Securities Trust, Series 2021-1, Class B6, |
1,420,044 | 333,991 | ||||||
Wells
Fargo Mortgage Backed Securities Trust, Series 2022-1, Class B2, |
4,691,063 | 3,523,500 | ||||||
Wells
Fargo Mortgage Backed Securities Trust, Series 2022-1, Class B4, |
1,563,044 | 999,698 | ||||||
Wells
Fargo Mortgage Backed Securities Trust, Series 2022-1, Class B5, |
1,158,000 | 405,413 | ||||||
Wells
Fargo Mortgage Backed Securities Trust, Series 2022-1, Class B6, |
1,852,327 | 414,558 | ||||||
Wells
Fargo Mortgage Loan Trust, Series 2010-RR2, Class 1A4, |
3,768,497 | 3,099,495 | ||||||
Western
Mortgage Reference Notes, Series 2021-CL2, Class B, |
6,600,000 | 6,418,480 | ||||||
Western
Mortgage Reference Notes, Series 2021-CL2, Class M4, |
13,161,188 | 13,056,688 | ||||||
Western
Mortgage Reference Notes, Series 2021-CL2, Class M5, |
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 |
$372,206,169 | |||||||
|
|
|||||||
Residential
Mortgage-Backed Securities – U.S. Government Agency Credit
Risk |
||||||||
Connecticut
Avenue Securities Trust, Series 2019-R07, Class 1M2, |
273,981 | 274,810 |
See accompanying notes which are an integral part of these financial statements.
75
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 |
||||||||
Connecticut
Avenue Securities Trust, Series 2022-R08, Class 1M1, |
$ 683,788 | $ 700,047 | ||||||
Connecticut
Avenue Securities Trust, Series 2023-R06, Class 1M1, |
2,500,000 | 2,509,382 | ||||||
Federal
Home Loan Mortgage Corp., Series 2021-HQA1, Class B2, |
3,121,727 | 3,035,880 | ||||||
Federal
Home Loan Mortgage Corp., Series 2021-DNA6, Class B2, |
5,100,000 | 5,361,375 | ||||||
Federal
Home Loan Mortgage Corp., Series 2022-DNA1, Class B1, |
2,000,000 | 2,021,250 | ||||||
Federal
Home Loan Mortgage Corp., Series 2018-SPI4, Class B, |
20,395,427 | 12,729,928 | ||||||
|
|
|||||||
TOTAL
RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT
RISK TRANSFER |
$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, |
1,880,985 | 1,786,629 | ||||||
Savannah Grand, 10.010%, 8/6/2023 |
4,050,000 | 4,044,810 | ||||||
|
|
|||||||
TOTAL
WHOLE LOANS |
$6,291,914 | |||||||
|
|
|||||||
Warrants – 0.00% (q) | Shares | |||||||
Financial – 0.00% |
||||||||
Kingstone Cos, Inc. (a)(e) |
90,000 | 56,160 | ||||||
|
|
|||||||
TOTAL
WARRANTS |
$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 |
$ | 200,037,059 | ||||||
|
|
See accompanying notes which are an integral part of these financial statements.
76
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
July 31, 2023 (Unaudited)
|
Value | |||||||
TOTAL
INVESTMENTS – 117.48% |
$ | 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 $25 per bond. The principal balance disclosed above represents the issuer’s outstanding principal that corresponds to the bonds held in the Fund. |
(m) |
Security identified as in default as to the payment of interest. Income is not being accrued. |
(n) |
Auction rate security. Rate disclosed is the rate in effect as of July 31, 2023. |
(o) |
Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate disclosed is the rate in effect as of July 31, 2023. |
(p) |
Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor. |
(q) |
Less than 0.005%. |
(r) |
Rate disclosed is the effective yield as of July 31, 2023. |
(s) |
Rate disclosed is the seven day yield as of July 31, 2023. |
See accompanying notes which are an integral part of these financial statements.
77
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
July 31, 2023 (Unaudited)
Consolidated Schedule of Open Futures Contracts
Short Futures Contracts | Expiration Month | Number of Contracts |
Notional Value | Value & Unrealized Appreciation (Depreciation) |
||||||||||
10-Year U.S. Treasury Note Future |
September 2023 | (433 | ) | ($ | 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
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 |
$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
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 |
$79,448,084 | |||||||
|
|
|||||||
Preferred Stocks – 0.85% | Shares | |||||||
Financial – 0.85% |
||||||||
First Guaranty Bancshares, Inc., 6.750% |
40,000 | 732,800 | ||||||
|
|
|||||||
TOTAL
PREFERRED STOCKS |
$732,800 | |||||||
|
|
|||||||
Warrants – 0.14% |
||||||||
Financial – 0.14% |
||||||||
Kingstone Cos, Inc. (a)(c) |
195,750 | 122,148 | ||||||
|
|
|||||||
TOTAL
WARRANTS |
$122,148 | |||||||
|
|
See accompanying notes which are an integral part of these financial statements.
80
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 |
$3,201,961 | |||||||
|
|
|||||||
TOTAL
INVESTMENTS – 98.52% |
$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
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, |
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 |
$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
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
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
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 |
$47,527,314 | |||||||
|
|
|||||||
Residential Mortgage-Backed Securities – 16.79% |
||||||||
Bellemeade
Re Ltd., Series 2021-2A,
Class M2, |
710,000 | 708,477 | ||||||
Bellemeade
Re Ltd., Series 2021-1A,
Class M2, |
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, |
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 |
$11,212,776 | |||||||
|
|
|||||||
Residential
Mortgage-Backed Securities – U.S. Government Agency |
||||||||
Connecticut
Avenue Securities Trust, Series 2022-R04, Class 1M2, |
370,000 | 377,177 | ||||||
Federal
Home Loan Mortgage Corp., Series 2021-DNA2, Class B1, |
500,000 | 515,679 | ||||||
Federal
Home Loan Mortgage Corp., Series 2021-DNA6, Class B1, |
1,000,000 | 1,009,496 |
See accompanying notes which are an integral part of these financial statements.
85
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 |
||||||||
Federal
Home Loan Mortgage Corp., Series 2022-HQA1, Class M2, |
$ | 650,000 | $ | 693,522 | ||||
Federal
Home Loan Mortgage Corp., Series 2021-HQA1, Class B2, |
750,000 | 729,375 | ||||||
|
|
|||||||
TOTAL
RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT
RISK TRANSFER |
$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 |
$1,447,316 | |||||||
|
|
|||||||
TOTAL
INVESTMENTS – 99.09% |
$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
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, |
1,865,000 | 1,873,184 | ||||||
Consumer
Loan Underlying Bond CLUB Certificate Trust, Series 2019-33, Class PT, |
504,104 | 466,905 | ||||||
Consumer
Loan Underlying Bond CLUB Credit Trust, Series 2019-P2, Class C, |
52,936 | 52,836 | ||||||
Continental
Finance Credit Card ABS Master Trust, Series 2020-1A, Class A, |
500,000 | 483,501 | ||||||
Continental
Finance Credit Card ABS Master Trust, Series 2021-A, Class 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
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, |
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, |
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
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
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 |
$ | 250,355,159 | ||||||
|
|
|||||||
Collateralized Loan Obligations – 10.90% |
||||||||
Barings
Middle Market CLO Ltd., Series 2021-IA, Class X, |
2,285,714 | 2,283,504 | ||||||
Cathedral
Lake CLO Ltd., Series 2021-6A,
Class X, |
2,315,789 | 2,314,812 | ||||||
Cedar
Funding CLO Ltd., Series 2014-4A,
Class X, |
1,428,568 | 1,424,350 | ||||||
Cerberus
Loan Funding LP, Series 2021-6A,
Class A, |
968,528 | 963,281 | ||||||
CIFC
Funding Ltd., Series 2015-3A,
Class AR, |
4,166,721 | 4,149,996 | ||||||
Elevation
CLO Ltd., Series 2021-13A,
Class X, |
1,600,000 | 1,599,464 |
See accompanying notes which are an integral part of these financial statements.
90
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, |
5,182,628 | 5,156,741 | ||||||
Golub
Capital Partners CLO Ltd., Series 2018-36A, Class A, |
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, |
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, |
1,666,669 | 1,666,669 | ||||||
Lake
Shore MM CLO Ltd., Series 2021-1A, Class X, |
2,850,000 | 2,846,320 | ||||||
Madison
Park Funding Ltd., Series 12A, Class AR, |
2,703,839 | 2,692,175 | ||||||
Madison
Park Funding Ltd., Series 2018-30A, Class A, |
944,949 | 938,548 | ||||||
Marble
Point CLO Ltd., Series 2020-3A,
Class X, |
666,664 | 664,749 | ||||||
Monroe
Capital MML CLO Ltd., Series 2018-1A, Class A, |
1,751,998 | 1,733,639 | ||||||
Monroe
Capital MML CLO Ltd., Series 2021-2A, Class X, |
2,558,000 | 2,555,675 | ||||||
Mountain
View CLO LLC, Series 2016-1A,
Class XR, |
1,263,158 | 1,260,000 | ||||||
Mountain
View CLO Ltd., Series 2019-1A,
Class XR, |
543,750 | 542,317 | ||||||
Neuberger
Berman CLO Ltd., Series 2015-20A,
Class XR, |
3,000,000 | 2,998,611 | ||||||
Owl
Rock CLO Ltd., Series 2019-1A,
Class A, |
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, |
3,228,781 | 3,217,002 | ||||||
Symphony
CLO Ltd., Series 2021-25A,
Class X, |
250,000 | 249,334 | ||||||
TCW
CLO Ltd., Series 2020-1A,
Class XRR, |
1,714,286 | 1,713,542 | ||||||
TCW
CLO Ltd., Series 2021-2A,
Class X, |
2,133,333 | 2,132,640 | ||||||
TCW
CLO Ltd., Series 2019-1A,
Class XR, |
2,133,333 | 2,132,883 | ||||||
THL
Credit Lake Shore MM CLO Ltd., Series 2019-1A, Class X, |
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 |
$ | 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
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, |
$ 620,000 | $ 586,809 | ||||||
Greystone
CRE Notes Ltd., Series 2021-HC2,
Class A, |
4,000,000 | 3,894,284 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2018-TWR, Class B, |
775,000 | 664,471 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2018-HART,
Class B, |
683,000 | 648,160 | ||||||
JP
Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PTC, Class A, |
1,253,000 | 1,103,706 | ||||||
Natixis
Commercial Mortgage Securities Trust, Series 2019-MILE,
Class A, |
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 |
$ | 17,379,464 | ||||||
|
|
|||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency – 7.26% |
||||||||
Federal
Home Loan Mortgage Corp., Series K-F67, Class A, |
1,429,070 | 1,411,435 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F155, Class AS, |
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, |
1,197,440 | 1,196,616 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F51, Class A, |
1,471,501 | 1,466,590 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F60, Class A, |
1,102,723 | 1,097,317 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F62, Class A, |
759,819 | 750,461 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F64, Class A, |
282,464 | 278,596 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F68, Class A, |
6,235,205 | 6,187,655 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F74, Class AS, |
118,534 | 117,836 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F81, Class AS, |
1,359,777 | 1,352,785 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F86, Class AS, |
4,313,676 | 4,276,993 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F86, Class AL, |
1,315,851 | 1,295,951 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F93, Class AS, |
975,971 | 966,681 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F93, Class AL, |
1,141,487 | 1,122,566 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F100, Class AL, |
3,024,932 | 2,956,433 |
See accompanying notes which are an integral part of these financial statements.
92
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, |
$ | 2,290,674 | $ 2,256,529 | |||||
Federal
Home Loan Mortgage Corp., Series K-F43, Class A, |
2,126,080 | 2,085,414 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F48, Class A, |
828,851 | 809,456 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F84, Class AL, |
1,867,178 | 1,818,516 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F92, Class AS, |
438,110 | 427,716 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F91, Class AL, |
880,000 | 855,983 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F96, Class AS, |
389,230 | 378,557 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F94, Class AL, |
824,659 | 799,406 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F99, Class AS, |
1,421,770 | 1,397,428 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F114, Class AS, |
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 |
$ | 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 |
$ | 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 |
$4,931,063 | |||||||
|
|
See accompanying notes which are an integral part of these financial statements.
93
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, |
$461,889 | $ | 457,469 | |||||
Bellemeade
Re Ltd., Series 2019-1A,
Class M2, |
1,210,653 | 1,217,587 | ||||||
Bellemeade
Re Ltd., Series 2019-3A,
Class M1C, |
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, |
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, |
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, |
1,847,659 | 1,812,600 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2020-PJ2, Class A1, |
231,285 | 202,030 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ9, Class A8, |
8,189,783 | 7,015,589 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-PJ10,
Class A8, |
4,192,099 | 3,590,009 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1,
Class A1, |
600,985 | 535,954 | ||||||
GS
Mortgage-Backed Securities Corp. Trust, Series 2021-NQM1,
Class A3, |
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, |
1,626,029 | 1,549,530 | ||||||
JP
Morgan Mortgage Trust, Series 2019-5, Class A11, |
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, |
4,229,114 | 3,893,914 |
See accompanying notes which are an integral part of these financial statements.
94
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, |
$ | 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, |
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, |
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, |
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, |
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, |
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 |
$131,164,733 | |||||||
|
|
See accompanying notes which are an integral part of these financial statements.
95
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 |
$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, |
33,507 | 33,594 | ||||||
Connecticut
Avenue Securities Trust, Series 2020-R02, Class 2M2, |
481,823 | 483,330 | ||||||
Connecticut
Avenue Securities Trust, Series 2022-R08, Class 1M1, |
427,367 | 437,529 | ||||||
Federal
Home Loan Mortgage Corp., Series 2022-DNA1, Class M1A, |
787,192 | 781,526 | ||||||
Federal
Home Loan Mortgage Corp., Series 2022-DNA3, Class M1A, |
364,672 | 367,182 | ||||||
Federal
Home Loan Mortgage Corp., Series 2023-HQA1, Class M1A, |
947,108 | 954,072 | ||||||
Federal
Home Loan Mortgage Corp., Series 2016-SC02, Class M2, |
1,855,096 | 1,734,600 | ||||||
|
|
|||||||
TOTAL
RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT
RISK TRANSFER |
$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 |
$23,562,238 | |||||||
|
|
|||||||
TOTAL
INVESTMENTS – 100.11% |
$ | 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
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
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 |
$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, |
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 |
$1,355,074 | |||||||
|
|
|||||||
Commercial Mortgage-Backed Securities — U.S. Government Agency — 4.55% |
||||||||
Federal
Home Loan Mortgage Corp., Series 2019-KF58, Class 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 |
$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
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 |
$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 |
$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 |
$4,865,762 | |||||||
|
|
See accompanying notes which are an integral part of these financial statements.
99
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 |
$12,696,666 | |||||||
|
|
|||||||
Residential
Mortgage-Backed Securities — U.S. Government Agency Credit
Risk |
||||||||
Federal
Home Loan Mortgage Corp., Series 2021-DNA6, Class B1, |
500,000 | 504,748 | ||||||
|
|
|||||||
TOTAL
RESIDENTIAL MORTGAGE-BACKED SECURITIES — U.S. GOVERNMENT AGENCY CREDIT
RISK TRANSFER |
$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 |
$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
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 |
$1,289,009 | |||||||
|
|
|||||||
TOTAL
INVESTMENTS — 99.21% |
$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
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, |
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
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
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, |
200,000 | 200,379 | ||||||
|
|
|||||||
TOTAL
ASSET-BACKED SECURITIES |
$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, |
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, |
1,493,019 | 1,482,905 | ||||||
Madison
Park Funding Ltd., Series 2014-13A, Class BR2, |
800,000 | 794,701 | ||||||
Madison
Park Funding Ltd., Series 2017-23A, Class AR, |
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, |
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 |
$8,664,982 | |||||||
|
|
|||||||
Commercial Mortgage-Backed Securities – U.S. Government Agency – 8.54% |
||||||||
Federal
Home Loan Mortgage Corp., Series K-F67, Class A, |
519,662 | 513,249 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F155, Class AS, |
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, |
378,066 | 376,122 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F100, Class AS, |
416,486 | 410,278 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F46, Class A, |
160,100 | 156,128 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F61, Class A, |
921,733 | 902,576 | ||||||
Federal
Home Loan Mortgage Corp., Series KF75, Class AS, |
1,616,501 | 1,605,582 | ||||||
Federal
Home Loan Mortgage Corp., Series K-F114, Class AS, |
422,889 | 413,901 |
See accompanying notes which are an integral part of these financial statements.
104
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, |
$ | 1,258,446 | $ | 1,239,574 | ||||
Federal
Home Loan Mortgage Corp., Series K-F141, Class AS, |
1,319,415 | 1,311,800 | ||||||
|
|
|||||||
TOTAL
COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY |
$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 |
$4,534,352 | |||||||
|
|
See accompanying notes which are an integral part of these financial statements.
105
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, |
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, |
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, |
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, |
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, |
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 |
$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 |
$995,155 | |||||||
|
|
See accompanying notes which are an integral part of these financial statements.
106
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, |
$ | 220,214 | $ | 225,243 | ||||
Federal
Home Loan Mortgage Corp., Series 2023-HQA1, Class M1A, |
947,108 | 954,072 | ||||||
Federal
National Mortgage Association, Series 2014-C02, Class 2M2, |
119,764 | 121,379 | ||||||
Federal
National Mortgage Association, Series 2014-C03, Class 2M2, |
57,523 | 57,281 | ||||||
|
|
|||||||
TOTAL
RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT
RISK TRANSFER |
$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 |
$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 |
$5,345,157 | |||||||
|
|
|||||||
TOTAL
INVESTMENTS – 100.94% |
$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
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
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, |
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 |
$8,785,178 | |||||||
|
|
|||||||
Collateralized Loan Obligations – 9.50% |
||||||||
Anchorage
Capital CLO Ltd., Series 2014-3RA, Class B, |
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, |
550,000 | 534,172 |
See accompanying notes which are an integral part of these financial statements.
109
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, |
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 |
$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 |
$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
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, |
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, |
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, |
33,685 | 24,315 | ||||||
|
|
|||||||
TOTAL
RESIDENTIAL MORTGAGE-BACKED SECURITIES |
$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
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 |
$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, |
300,000 | 302,871 | ||||||
Federal
Home Loan Mortgage Corp., Series 2021-DNA6, Class B1, |
500,000 | 504,748 | ||||||
Federal
Home Loan Mortgage Corp., Series 2021-HQA4, Class B1, |
500,000 | 503,750 | ||||||
Federal
Home Loan Mortgage Corp., Series 2022-DNA2, Class M1B, |
500,000 | 501,877 | ||||||
Federal
Home Loan Mortgage Corp., Series 2022-HQA1, Class M2, |
350,000 | 373,435 | ||||||
Federal
Home Loan Mortgage Corp., Series 2022-DNA3, Class M1B, |
500,000 | 509,386 | ||||||
Federal
Home Loan Mortgage Corp., Series 2022-HQA3, Class M1B, |
500,000 | 515,487 | ||||||
Federal
Home Loan Mortgage Corp., Series 2021-HQA1, Class B2, |
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 |
$595,578 | |||||||
|
|
|||||||
TOTAL
INVESTMENTS – 100.47% |
$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.
112
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.
113
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.
114
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.”
115
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.
116
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. |
117
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. |
118
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 |
119
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. |
120
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. 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.
121
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.
122
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
123
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
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
124
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
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.
125
Angel Oak Funds Trust
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 | |||
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) |
126
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 |
($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 Futures |
Value of Unrealized Appreciation | ||||
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.
127
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 (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 | $– | $– |
128
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
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% |
129
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 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 Expenses |
Recoverable Expenses |
Recoverable Expenses |
Recoverable Expenses | ||||||
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 |
130
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 |
131
Angel Oak Funds Trust
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. |
132
Angel Oak Funds Trust
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 |
$– |
133
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
134
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 |
135
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.
136
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). |
137
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). |
138
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). |
139
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). |
140
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.
141
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