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As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 4/06/23 Angel Oak Funds Trust N-CSR 1/31/23 4:5.5M Donnelley … Solutions/FA → Angel Oak Financials Income Impact Fund ⇒ Class A (ANFLX) — Class C (AFLCX) — Institutional Class (ANFIX) → Angel Oak High Yield Opportunities Fund ⇒ Class A (ANHAX) — Class C (ANHCX) — Institutional Class (ANHIX) → Angel Oak Income ETF ⇒ CARY → Angel Oak Multi-Strategy Income Fund ⇒ Class A (ANGLX) — Class C (ANGCX) — Institutional Class (ANGIX) → Angel Oak Total Return Bond Fund ⇒ Class A (AOIMX) — Class C (AOICX) — Institutional Class (AOIIX) → Angel Oak UltraShort Income ETF ⇒ UYLD → Angel Oak UltraShort Income Fund ⇒ Class A (AOUAX) — Class A1 (AOUNX) — Institutional Class (AOUIX) |
Document/Exhibit Description Pages Size 1: N-CSR Angel Oak Funds AR - Aoft HTML 3.79M 4: EX-99.906 CERT Certification -- §906 - SOA'02 HTML 7K 3: EX-99.CERT Certification -- §302 - SOA'02 HTML 21K 2: EX-99.CODE ETH Code of Ethics HTML 41K
| Angel Oak Funds AR - AOFT |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22980
Angel Oak Funds Trust
(Exact name of registrant as specified in charter)
3344 Peachtree Rd. NE, Suite 1725
(Address of principal executive offices) (Zip code)
Adam Langley, President
3344 Peachtree Rd. NE, Suite 1725
(Name and address of agent for service)
Copy to:
Douglas P. Dick
Stephen T. Cohen
Dechert LLP
1900 K Street NW
404-953-4900
Registrant’s telephone number, including area code
Date of fiscal year end: January 31
Date of reporting period: January 31, 2023
Item 1. Reports to Stockholders.
(a)
Annual Report
Angel Oak Multi-Strategy Income Fund
Angel Oak Financials Income Impact Fund
(formerly “Angel Oak Financials Income Fund”)
Angel Oak High Yield Opportunities Fund
Angel Oak UltraShort Income Fund
Angel Oak Total Return Bond Fund
(formerly “Angel Oak Core Impact Fund”)
Angel Oak UltraShort Income ETF
Angel Oak Income ETF
Angel Oak Capital Advisors, LLC
3344 Peachtree Road NE
Suite 1725
(404) 953-4900
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The great bond bear market of 2022 left a swath of destruction in financial assets, especially in long-duration fixed income. Market participants around the globe were completely offsides for the parabolic inflation experienced in 2022, leading to a surge in rates, a spike in interest rate volatility, wider credit spreads, significant fixed-income outflows, and the worst performance of the traditional 60/40 portfolio since 1931. A Federal Reserve (the “Fed”) that was supposed to be on hold at zero until 2023 hiked rates 17 times in 2022, humbling market participants in a historic policy panic. Not only did implied interest rate volatility spike, but it also has remained elevated for the longest period of time since the Global Financial Crisis. While we expected higher inflation, a higher target rate, and quantitative tightening (QT), we did not foresee the Russian invasion of Ukraine, the subsequent food and energy shock, the historic policy panic of the Federal Open Market Committee, or the volatility storm that ensued.
While shorter-duration areas of securitized credit, which we focused on, outperformed areas of traditional fixed income for most of 2022, persistently elevated interest rate volatility, QT, and a buyer’s strike by banks and money managers led to an eventual spread blowout in securitized credit. The sharp move wider in credit spreads began at the end of the third quarter of 2022 and bled into the fourth quarter, weighing on performance heading into year-end.
The interest rate volatility storm of 2022 put immense pressure on mortgage-backed securities and our favored areas of securitized credit, but we believe encouraging signs are emerging to indicate we are nearing peak policy and can expect declining volatility in 2023. In our view, a decline in interest rate volatility will be very supportive for mortgage and securitized product spreads in 2023. In addition, while we expect the Fed and banks will remain largely absent from purchase activity in 2023 because QT will continue for most of the year, we believe money manager and pension allocations back into fixed income (in order to take advantage of the opportunities in securitized credit) will be enough to offset the lack of demand, particularly in the most risk-remote areas of the capital structure.
Pandemics and wars are difficult to anticipate using our typical macroeconomic indicators, but we believe our focus on sustainable fundamentals in high-quality areas of securitized credit positions us to outperform over the long-run credit cycle, as the bond bear market of 2022 created years of total return potential. For most investors, loss-adjusted yields have potentially reached equity-like return hurdles, ranging from 6% to 15% in senior secured cash flows. In our view, bonds are the new stocks in 2023, and we encourage investors to take note of that when they assess the carnage of the 2022 bond bear market. We believe the relative value of securitized credit stands out across risk assets when considering the new 40/60 portfolio in 2023.
As we move into 2023, we leave behind a year that marked the worst performance of the traditional 60/40 portfolio since 1931. While investors spent 2022 focused on weathering the storm, investors will spend 2023 taking advantage of the opportunities it created. Most fixed-income asset classes look cheap today, but we believe that very few exhibit the sustainable fundamentals, robust structural protections, and crisis-level credit spreads that we see in U.S. securitized credit. Presenting the possibility of equity-like returns, we believe securitized credit should be a focal point of fixed-income portfolios as the era of the 40/60 portfolio begins.
Thank you for your continued support.
Respectfully yours,
Sam Dunlap
Chief Investment Officer, Public Strategies
The opinions expressed are subject to change at any time, are not guaranteed, and should not be considered investment advice. Please refer to the Schedule of Investments in this report for a complete list of Funds’ holdings.
Must be accompanied or preceded by a prospectus.
Mutual fund investing involves risk. Principal loss is possible.
The Angel Oak Funds are distributed by Quasar Distributors, LLC.
1
Angel Oak Multi-Strategy Income Fund
How did the Fund perform during the period?
For the 12-month period that ended January 31, 2023, the Fund’s Institutional Shares (ANGIX) returned -10.98%, while the Fund’s A Shares (ANGLX) and C Shares (ANGCX) returned -11.28% and -11.88%, respectively.1 During the same period, the Fund’s benchmark, the Bloomberg U.S. Aggregate Bond Index, returned -8.36%.
What were the main contributors to and detractors from the Fund’s performance during the period?
Non-agency residential mortgage-backed securities (NA RMBS) currently stand at approximately 68% of the Fund and produced a total return of -12.27% during the period, detracting 8.64% from Fund performance. From a dollar price perspective, NA RMBS prices in our strategy are at levels last seen in 2011, and loss-adjusted yields range from 6% to 15% in high-quality cash flows with robust structural credit protection and backed by U.S. homes. We favor most subsectors of NA RMBS due to deeply discounted dollar prices with prepayment and call upside potential, as the market is currently priced for maximum extension. The opportunity to own very attractive loss-adjusted yields is available in most NA RMBS subsectors, but in the current environment, we prefer the following subsectors: senior and mezzanine tranches of prime jumbo 2.0, senior and mezzanine tranches of non-qualified mortgages, senior legacy NA RMBS, mortgage insurance, and reperforming loan securitizations. These sectors have been under significant pressure, particularly in the second half of 2022, but in our view offer extraordinarily attractive total return potential from here. We expect NA RMBS spreads to tighten on the heels of declining implied volatility and peak policy in 2023. Spread tightening coupled with current loss-adjusted yields approaching 10% in our strategy increase the potential for double-digit total return opportunities on the heels of the prior volatility storms.
Stable fundamentals have been evident in NA RMBS over the past several years, but the technical picture has been challenging due to robust issuance in 2021 and 2022. However, we expect the technical picture to improve in 2023, as the bond bear market of 2022 made securitization and mortgage origination dynamics extraordinarily challenging. Not only is mortgage origination expected to decline dramatically, but NA RMBS supply also is expected to plummet in 2023 after years of significant gross issuance. In fact, we expect gross issuance to decline by 60% in 2023. Given our expectations of improving demand from money managers and pensions in 2023, the lack of supply in a shrinking market with stable fundamentals presents a favorable technical backdrop for potential spread tightening.
Asset-backed securities (ABS) are the Fund’s second-largest exposure, at 10%, and they produced a total return of -6.64% during the period, detracting 0.17% from Fund performance. Delinquency rates on consumer loan products such as credit cards and auto loans are also starting to normalize, increasing from historically low levels. While we are cautious about subprime versus prime consumer areas of ABS, often the perceived credit weakness ahead is less than what is priced into current valuations. ABS spreads are near their widest levels since April/May 2020. In our view, even the bottom tranches of the subprime auto and consumer loan ABS sectors should hold up well, as the cushions are sufficient for a slow deterioration to a mild recession. Diversification with respect to issuers, deals, and tenure shows attractive value within the space. Seasoning and robust structural support coupled with the deeply discounted prices of most areas of consumer ABS more than compensate investors for the perceived credit risk ahead, considering our expectations of a mild recession in 2023.
What is your outlook for 2023, and how is the Fund positioned?
Looking to 2023, we believe equity earnings will begin to come under pressure as the Fed rate hikes take hold. We think this will be beneficial to fixed-income flows, and we see them turning positive in the first quarter of 2023, considering how under-allocated U.S. households are to fixed income and how enticing yield levels are. Also, we expect interest rate volatility to decline as the Fed reaches the end of this hiking cycle, and we expect issuance volumes to slow, which should be very supportive of mortgage and structured product spreads. We believe structured credit will be a primary focus for allocators, as some areas of AAA structured credit trade wider than BBB corporate bonds, and current coupon agency mortgage-backed securities spreads are comparable to the entire Bloomberg U.S. Corporate Investment Grade Index and come with government backing.
1 Returns presented are without load. Please reference the investments results section of the report for with load returns.
2
Past performance is not a guarantee of future results.
Investing involves risk; principal loss is possible. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in lower-rated and nonrated securities present a greater risk of loss to principal and interest than higher-rated securities do. Investments in asset-backed and mortgage-backed securities include additional risks that investors should be aware of, including credit risk, prepayment risk, possible illiquidity, and default, as well as increased susceptibility to adverse economic developments. Derivatives involve risks different from – and in certain cases, greater than – the risks presented by more traditional investments. Derivatives may involve certain costs and risks such as illiquidity, interest rate, market, credit, management, and the risk that a position could not be closed when most advantageous. Investing in derivatives could lead to losses that are greater than the amount invested. The Fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested. The Fund may use leverage, which may exaggerate the effect of any increase or decrease in the value of securities in the Fund’s portfolio or higher and duplicative expenses when it invests in mutual funds, ETFs, and other investment companies. For more information on these risks and other risks of the Fund, please see the Prospectus.
Bond ratings are grades given to the bonds to indicate their credit quality as determined by rating agencies including, but not limited to, S&P and Moody’s. The firm evaluates a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. Ratings are expressed as letters ranging from AAA, which is the highest grade, to D, which is the lowest grade. In limited situations, when a rating agency has not issued a formal rating, the adviser will classify the security as nonrated.
Definitions:
Agency Mortgage-Backed Securities (AMBS): Securities issued or guaranteed by the U.S. government or a government-sponsored enterprise (GSE).
Asset-Backed Securities (ABS): Securities created by buying and bundling loans – such as residential mortgage loans, commercial loans or student loans – and creating securities backed by those assets, which are then sold to investors.
Bloomberg U.S. Aggregate Bond Index: An unmanaged index that measures the performance of the investment-grade universe of bonds issued in the United States. The index includes institutionally traded U.S. Treasury, government-sponsored, mortgage, and corporate securities. It is not possible to invest directly in an index.
Bloomberg U.S. Corporate Investment Grade Index: An index that measures the investment grade, fixed-rate, taxable corporate bond market. It includes USD-denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers.
Cash Flow: Periodic coupons received by the bondholder during their holding period.
Non-Agency Residential Mortgage-Backed Securities (NA RMBS): Securities issued by private institutions such as trusts and special-purpose vehicles. These bonds are not guaranteed by the U.S. government or GSEs. They typically have a more sophisticated subordination structure, which redirects the aggregate principal and interest cash flow of the underlying collateral to the individual RMBS bonds based on a set of rules, which are designed to create tranches with specific risk, coupon, and maturity characteristics.
Non-Qualified Mortgage (Non-QM): A loan that does not meet the standards of a qualified mortgage and uses non-traditional methods of income verification to help a borrower get approved for a home loan.
Prime Jumbo: Prime jumbo mortgages are non-agency loans typically because the lending amount exceeds the conforming loan limits. These tend to be high-quality mortgages with high credit scores that, for the most part, comply with agency mortgage underwriting guidelines.
Reperforming Loan (RPL): A mortgage that had become delinquent because the borrower fell behind on payments by at least 90 days but returned to “performing” status because the borrower has resumed making payments.
Spread: The difference in yield between two bonds of similar maturity but different credit quality.
Subprime: Subprime mortgages are extended to borrowers with low credit scores. In general, these borrowers have damaged credit or limited credit history along with minimal income and asset verification. Due to the higher default risk associated with these borrowers, lenders tend to charge a higher interest rate on subprime loans.
Tranche: A portion of debt or structured financing. Each portion, or tranche, is one of several related securities offered at the same time but with different risks, rewards, and maturities.
3
Angel Oak Financials Income Impact Fund
How did the Fund perform during the period?
For the 12-month period that ended January 31, 2023, the Fund’s Institutional Shares (ANFIX) returned -5.37% while the Fund’s A Shares (ANFLX) and C Shares (AFLCX) returned -5.59% and -6.79%, respectively.1 During the same period, the Fund’s benchmark, the Bloomberg U.S. Aggregate 3-5 Year Index, returned -4.85%.
What were the main contributors to and detractors from the Fund’s performance during the period?
The financial sector accounts for substantially all of the Fund’s assets. There are three areas of primary focus within the financial sector: community bank debt, nonbank financials debt, and community bank equity. The Fund’s financial sector asset allocation comprises 72% of assets in community bank debt, 20% of assets in nonbank financials, and 6% of assets in community bank equities. In addition, 1% of Fund assets are in cash and other assets.
Financials debt modestly underperformed the benchmark due to the rally in rates in January 2023. Community bank sub-debt in particular tends to lag broader corporate credit spread tightening and widening given the niche market characteristics of the asset class and its low duration profile.
Despite the significant volatility of 2022, banks have proven resilient, helped by top line growth, strong credit quality, and higher earnings. Net interest margin (NIM) expanded rapidly as the Fed raised rates faster than anticipated, and loan demand surged post-pandemic. As a minor offset, fee income declined, with mortgage refinancings grinding to a halt as interest rates rose, posing only a modest headwind when compared with the growth in net interest income.
By contrast, the normalization of liquidity proved more of a trial than anticipated. The unprecedented deposit inflows from the Paycheck Protection Program and negligible loan growth during COVID-19 drove historically low loan-to-deposit ratios and rapid growth in banks’ securities portfolios. As rates rose, unrealized losses began accruing in investment portfolios, impacting accumulated other comprehensive income (AOCI) and tangible capital levels. Given the conservative nature of banks’ securities portfolios, we do not expect material permanent impairments, but the unrealized losses have caused banks to become more prudent in terms of capital management (pausing share buybacks) as well as to take steps to minimize further volatility (moving parts of portfolios from “available for sale” to “held to maturity”). While the subsequent rate moves should help alleviate some of the AOCI pressure, these constraints could negatively impact banks that are running on thinner levels of capital and liquidity.
What is your outlook for 2023, and how is the Fund positioned?
As we sit late in the Fed rate hike cycle, banks are nearing peak NIM expansion while credit remains early cycle. We believe 2023 is setting up to be a more difficult year from a fundamental earnings perspective, as banks hit peak NIM early in 2023 and top-line slows while credit costs increase over the balance of the year. Underlying balance sheet strength, including historically low levels of credit losses, coupled with tighter underwriting and high levels of capital, drives our positive view on bank debt in the year ahead. By contrast, we expect bank equities will generally be under pressure from slowing earnings growth, though there are pockets of opportunity in the community bank space, particularly as mergers and acquisitions (M&A) rebound.
We expect banks are near peak NIM expansion and higher funding costs will supersede higher loan yields going forward. Concurrently, we expect loan growth will decelerate in the face of tighter financial conditions (tighter underwriting, wider spreads, and slowing demand).
Additionally, we expect pandemic-related stimulus programs will make for a credit cycle unlike any other. Consumers and businesses benefited from these government stimulus programs throughout the COVID-19 period, resulting in higher levels of liquidity and historically low credit losses for the banking sector. As inflation eats into excess savings, higher interest rates impact loan affordability, and unemployment rises, loan losses will rise from today’s trough levels. Lower-income consumers in particular will increasingly have to prioritize their payments, focusing first on food, shelter, and energy. The good news? Banks are well equipped to handle the coming credit normalization given high levels of reserves and capital. We also note that banks have significantly de-risked their lending portfolios post-Global Financial Crisis (GFC).
1Returns presented are without load. Please reference the investments results section of the report for with load returns.
4
We believe 2023 could experience heightened M&A activity. Expenses remain high against the current inflationary backdrop, and we expect M&A will accelerate as rate hikes run their course and funding costs move higher. Compensation costs account for the bulk of banks’ expense bases, and technology remains a necessary investment, both from a cybersecurity and a competitive perspective. Bank M&A is a value-enhancing proposition to both the acquirer and acquiree, as cost savings are material and measurable.
We prefer traditional spread-based business models (community banks) versus regional and money center banks at this point in the cycle. We expect community banks will benefit from their relationship-driven business models, strong core deposit franchises, and lower consumer exposure.
We expect credit normalization over the course of 2023, from levels that are currently better than 2019/pre-COVID-19. Nonperforming asset levels remain strong, sitting at the lowest level since the GFC. Industry profitability and capital levels remain strong, providing a sizable cushion for any adverse credit events. We remain disciplined in our underwriting, with particular emphasis on credit, liquidity, and interest rate risks.
Across the financial services landscape more broadly, we see select opportunities for investment-grade small-cap insurance senior debt and residential mortgage REIT common and preferred equities. We do not anticipate our subsector allocations within financial services will change materially in 2023.
Past performance is not a guarantee of future results.
Investing involves risk; principal loss is possible. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in lower-rated and nonrated securities present a greater risk of loss to principal and interest than higher-rated securities do. Investments in asset-backed and mortgage-backed securities include additional risks that investors should be aware of, including credit risk, prepayment risk, possible illiquidity, and default, as well as increased susceptibility to adverse economic developments. Derivatives involve risks different from – and in certain cases, greater than – the risks presented by more traditional investments. Derivatives may involve certain costs and risks such as illiquidity, interest rate, market, credit, management, and the risk that a position could not be closed when most advantageous. Investing in derivatives could lead to losses that are greater than the amount invested. The Fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested. The Fund may use leverage, which may exaggerate the effect of any increase or decrease in the value of securities in the Fund’s portfolio or higher and duplicative expenses when it invests in mutual funds, ETFs, and other investment companies. The Fund will invest in high-yield securities (also known as “junk bonds”), and securities that are not rated by any rating agencies. These high-yield securities will generally be rated BB or lower by Standard & Poor’s Rating Group or will be of equivalent quality rating from another Nationally Recognized Statistical Ratings Organization. The Fund’s ESG impact investment strategy limits the universe of investment opportunities available to the Fund and will affect the Fund’s exposure to certain issuers, sectors, regions and types of investments, which may result in the Fund forgoing opportunities to buy or sell certain securities when it might otherwise be advantageous to do so. For more information on these risks and other risks of the Fund, please see the Prospectus.
On September 22, 2022, the Fund’s name was changed to “Angel Oak Financials Income Impact Fund,” and certain changes were made to the Fund’s investment strategies. As a result, the Fund’s performance during periods prior to this date may have differed had the Fund’s current investment policies and strategies been in place at those times.
Definitions:
Bloomberg U.S. Aggregate 3-5 Year Index: An index that tracks bonds with 3-to-5-year maturities within the Bloomberg U.S. Aggregate Bond Index.
Community Bank Sub-Debt: Subordinated debentures of financial institutions with total assets of less than $20 billion.
Credit Spread: The difference in yield between two bonds of similar maturity but different credit quality.
Duration: Measures a portfolio’s sensitivity to changes in interest rates. Generally, the longer the duration, the greater the price change relative to interest rate movements.
Net Interest Margin (NIM): NIM is an industry-specific profitability ratio for banks and other financial institutions. It is a measure of the spread a bank earns between interest income and the amount of interest paid out to its depositors, expressed as a percentage of earning assets.
Spread: The difference in yield between two bonds of similar maturity but different credit quality.
5
Angel Oak High Yield Opportunities Fund
How did the Fund perform during the period?
For the 12-month period that ended January 31, 2023, the Fund’s Institutional Shares (ANHIX) returned -2.89% while the Fund’s A Shares (ANHAX) returned -3.13%.1 During the same period, the Fund’s benchmark, the Bloomberg U.S. High Yield Corporate Bond Index, returned -5.22%.
What were the main contributors to and detractors from the Fund’s performance during the period?
The corporate bond allocation, which accounted for 78.4% of the Fund’s asset allocation as of January 31, 2023, returned -2.26%, outperforming the benchmark return of -5.22%, and accounted for -313 basis points of the total return of the Fund. The largest positive contributor to performance was the energy sector, which was primarily driven by investment selection. The contribution was broad-based across holdings, with the biggest contribution from a position in an offshore jack-up driller that is benefiting from the favorable supply-demand fundamentals for oil and gas, strong demand for drilling rigs, and rising day rates.
Consumer noncyclical was the second-largest positive contributor to performance. The positive attribution was also driven primarily by investment selection. The largest contribution was from a position in a global meat processor and packager that has benefited from an improved supply-demand balance, partly driven by the pandemic, and was upgraded to investment grade.
The largest detractor from performance was the electrics sector. The negative attribution was due to investment selection and entirely attributable to an independent power producer whose primary market is the PJM (Pennsylvania, New Jersey, Maryland), where capacity prices had been weak. The issuer’s financial stress, arising from weak power prices and unexpected losses due to winter storm Uri, was compounded by the need to post additional collateral related to existing hedges that were underwater as forward prices rose.
The Fund initiated its repositioning to include a minimum allocation of 20% to structured products as described in the Fund’s prospectus dated December 31, 2022. The repositioning is taking advantage of the multiple standard deviation widening of non-agency residential mortgage-backed securities (NA RMBS). The structured production allocation contributed 24 basis points to the total return of the Fund.
What is your outlook for 2023, and how is the Fund positioned?
Corporate operating performance has remained relatively positive, with corporations able to raise prices, offsetting inflationary pressures, and maintain margins and cash flow. However, early economic indicators are flashing caution. As a result of tightening monetary policy, economic fundamentals as measured by weakening Institute for Supply Management surveys, sharply tighter commercial and industrial lending standards, and early signs that loan growth has peaked are pointing to weaker aggregate demand and slowing economic growth. Although the Fed has reduced its pace of interest rate increases and could potentially engineer a soft landing, the cumulative interest rate increases to date are having an impact. Corporate credit valuations potentially are not reflective of the impact on corporate credit fundamentals and credit profiles associated with a weaker economic environment. Interest rate-sensitive sectors such as housing, which is also under pressure from the Fed’s quantitative tightening program, have significantly underperformed. Given the recent underperformance of structured products, including NA RMBS and asset-backed securities, relative to corporate credit and in conjunction with the focus on risk and reward, the Fund will increase its allocation to structured products and reduce its allocation to corporate bonds while continuing to emphasize high-quality issuers that generate positive free cash flow and have improving credit profiles.
Past performance is not a guarantee of future results.
Investing involves risk; principal loss is possible. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in lower-rated and nonrated securities present a greater risk of loss to principal and interest than higher-rated securities do. Investments in asset-backed and mortgage-backed securities include additional risks that investors should be aware of, including credit risk, prepayment risk, possible illiquidity, and default, as well as increased susceptibility to adverse economic developments. Derivatives involve risks different from – and in certain cases, greater than – the risks presented by more traditional investments. Derivatives may involve certain costs and risks such as illiquidity, interest rate, market, credit, management, and the risk that a position could not be closed when most advantageous. Investing in derivatives could lead to losses that are greater than the amount invested. For more information on these risks and other risks of the Fund, please see the Prospectus.
Definitions:
Basis point (bps): One hundredth of one percent. Used to denote the percentage change in a financial instrument.
Bloomberg U.S. High Yield Corporate Bond Index: An unmanaged market value-weighted index that covers the universe of fixed-rate, non-investment-grade debt. It is not possible to invest directly in an index.
1Returns presented are without load. Please reference the investments results section of the report for with load returns.
6
Free Cash Flow: A financial performance calculation that measures how much operating cash flows exceed capital expenditures.
Institute for Supply Management (ISM): A nonprofit supply management association that publishes three Purchase Managers’ Indexes as part of its ISM Manufacturing Report on Business, which is considered a leading economic indicator.
Non-Agency Residential Mortgage-Backed Securities (NA RMBS): Securities issued by private institutions such as trusts and special purpose vehicles. These bonds are not guaranteed by the U.S. government or GSEs. They typically have a more sophisticated subordination structure, which redirects the aggregate principal and interest cash flows of the underlying collateral to the individual RMBS bonds based on a set of rules, which are designed to create tranches with specific risk, coupon, and maturity characteristics.
Standard Deviation: A statistical measure of portfolio risk used to measure variability of total return around an average, over a specified period of time. The greater the standard deviation over the period, the wider the variability or range of returns and hence, the greater the fund’s volatility – calculated since inception.
7
Angel Oak UltraShort Income Fund
How did the Fund perform during the period?
For the 12-month period that ended January 31, 2023, the Fund’s Institutional Shares (AOUIX) returned -2.24%, while the Fund’s A Shares (AOUAX) returned -2.42%. During the same period, the Fund’s benchmark, the Bloomberg Short Treasury: 9-12 Months Index, returned 0.18%. Additionally, since inception on July 22, 2022, the Fund’s A1 Shares (AOUNX) returned -0.25% for the period ended January 31, 2023.1 The Fund’s benchmark, the Bloomberg Short Treasury: 9-12 Months Index, was up 0.86% over the same period.
What were the main contributors to and detractors from the Fund’s performance during the period?
The primary contributors to annual performance were income, collateralized loan obligations (CLOs), asset-backed securities (ABS), and Treasuries. The primary detractors were a longer spread duration and higher allocation to securitized credit than the benchmark. The Fund maintained an effective duration similar to the benchmark during the year, while widening credit spreads were the primary cause of underperformance, given the higher allocation to securitized credit and a longer spread duration in credit. Given current valuations, the Fund is set up well to potentially benefit from this much higher-yielding environment and the wide spread basis between securitized and corporate credit.
The government/credit allocation was decreased, as securitized spreads ended the year wider relative to government assets. Government/credit ended the period at 10%/90%. As credit underperformed rates for the period, the Fund looked to make allocation changes in each sector to better position the portfolio for 2023. The government allocation continues to focus on a diversified mix of primarily fixed- and floating-rate agency commercial mortgage-backed securities (CMBS), Treasuries, and cash. The cash allocation was reduced, as the government allocation focused on floating-rate agency CMBS as spreads underperformed and the average price of that allocation reached $98.50, to end the year with an average spread of 76 basis points (bps). The duration of the government allocation is approximately four months.
Shareholder outflows across the entire industry looked to be a headwind for securitized spreads in the fourth quarter of 2022, setting up for a much better technical environment in the first quarter of 2023. Seasonal technicals have the potential to drive spread performance in the first half of the year. We believe markets are beginning to price in peak Fed policy, which would set up an attractive opportunity to own 1-year, fixed-rate, high-quality assets.
The ABS allocation produced a total return of 0.10%, contributing 9 bps to Fund performance. ABS spreads remained volatile throughout the year, ending at +266 in the Fund. The Fund continued to reposition into more-attractive, short-duration ABS bonds throughout the year. The average spread in ABS auto increased to an approximate maximum of 300 bps in the fourth quarter of 2022 but started to tighten in January 2023. Spreads ended the period well wide of the since-inception average.
The residential mortgage credit allocation continued to be under pressure but appears to offer the best relative value in short-duration credit. Residential mortgage credit detracted 2.84% from Fund performance for the period. Agency mortgage spreads reached their widest levels of the cycle at the beginning of the fourth quarter of 2022, putting upward pressure on short-duration AAA non-agency spreads as well. The mortgage credit allocation widened in the fourth quarter of 2022, to an average nominal spread wide of 300 in the Fund but ended the period at 251 bps. Issuance finally eased in the fourth quarter of 2022, and buy axes started to appear late in the quarter after agency mortgage-backed securities (AMBS) spreads started to normalize. From a positioning perspective, the Fund looked to effectively maintain exposure in short-duration, investment-grade tranches of non-QM and prime jumbo floating-rate bonds, as the portfolio management team became more convicted within non-agency residential mortgage-backed securities (NA RMBS) spreads heading into 2023. The allocation to NA RMBS overall decreased to 25% of Fund assets to right-size the allocation amid current levels of high volatility. As volatility subsides over the coming months and quarters, in addition to an expected sharp fall in supply, we believe the NA RMBS allocation should outperform, given current valuations.
CLOs returned 3.32% for the period, contributing 34 bps to Fund performance. CLOs were the star performer in the Fund for the period. The floating-rate component has been a major contributor to performance in 2022. Underlying bank loan performance outperformed fixed-rate, high-yield corporate credit. The Fund’s focus on very-short-maturity, primarily AAA-rated tranches helped reduce the impact of market volatility on prices. Given spread widening and the rapid run-up in front-end rates, short-duration AAA-rated CLO yields are now in the 6%-7% range, providing investors with historically attractive return potential in very high-quality assets that should act like a buffer in uncertain times. The CLO allocation was maintained during the year to end the period at 12% of Fund assets. As of the end of the period, the average price was $99.6 and the yield to effective maturity was 6.2% (a 150 spread). Corporate bonds and CMBS continue to be minor, tactical allocations within the Fund, at approximately 7% of Fund assets in total.
1Returns presented are without load. Please reference the investments results section of the report for with load returns.
8
What is your outlook for 2023, and how is the Fund positioned?
Looking to 2023, we believe equity earnings will begin to come under pressure as the Fed rate hikes take hold. We think this will be beneficial to fixed-income flows, and we see them turning positive in the first quarter of 2023, considering how under-allocated U.S. households are to fixed income and how enticing yield levels are. Also, we expect interest rate volatility to decline as the Fed reaches the end of this hiking cycle, and we expect issuance volumes to slow, which should be very supportive of mortgage and structured product spreads. We believe structured credit will be a primary focus for allocators, as some areas of AAA structured credit trade wider than BBB corporate bonds and current coupon AMBS spreads are comparable to the entire Bloomberg U.S. Corporate Investment Grade Index and come with government backing.
Past performance is not a guarantee of future results.
Investing involves risk; principal loss is possible. The Fund’s derivative investments have risks, including the imperfect correlation between the value of such instruments and the underlying asset, rate or index, which creates the possibility that the loss on such instruments may be greater than the gain in the value of the underlying asset, rate or index; the loss of principal; the possible default of the other party to the transaction; and illiquidity of the derivative investments. The Fund may invest in illiquid securities and restricted securities. Investments in restricted securities could have the effect of increasing the amount of the Fund’s assets invested in illiquid securities if qualified institutional buyers are unwilling to purchase these securities. Changes in interest rates generally will cause the value of fixed-income instruments held by the Fund to vary inversely to such changes. Below investment grade instruments are commonly referred to as “junk” or high-yield instruments and are regarded as predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal. Lower grade instruments may be particularly susceptible to economic downturns. The price paid by the Fund for asset-backed securities, including CLOs, the yield the Fund expects to receive from such securities and the average life of such securities are based on a number of factors, including the anticipated rate of prepayment of the underlying assets. Mortgage-backed securities are subject to the general risks associated with investing in real estate securities; that is, they may lose value if the value of the underlying real estate to which a pool of mortgages relates declines. For more information on these risks and other risks of the Fund, please see the Prospectus.
Bond ratings are grades given to the bonds to indicate their credit quality as determined by rating agencies including, but not limited to, S&P and Moody’s. The firm evaluates a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. Ratings are expressed as letters ranging from AAA, which is the highest grade, to D, which is the lowest grade. In limited situations, when a rating agency has not issued a formal rating, the adviser will classify the security as nonrated.
Definitions:
Non-Qualified Mortgage (Non-QM): A loan that does not meet the standards of a qualified mortgage and uses non-traditional methods of income verification to help a borrower get approved for a home loan.
Agency Commercial Mortgage-Backed Security (Agency CMBS): A type of mortgage-backed security that is secured by loans on commercial properties that are issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae, or another United States federal government-sponsored enterprise (GSE) or a United States federal government agency.
Agency Mortgage-Backed Securities (AMBS): Securities issued or guaranteed by the U.S. government or a GSE.
Basis Point (bps): One hundredth of one percent and is used to denote the percentage change in a financial instrument.
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.
Bloomberg U.S. Corporate Investment Grade Index: An index that measures the investment grade, fixed-rate, taxable corporate bond market. It includes USD-denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers.
Collateralized Loan Obligation (CLO): A single security backed by a pool of debt.
Credit Spread: The difference in yield between two bonds of similar maturity but different credit quality.
Current Coupon: Refers to a security that is trading closest to its par value without going over par. In other words, the bond’s market price is at or near to its issued face value.
Duration: Measures a portfolio’s sensitivity to changes in interest rates. Generally, the longer the duration, the greater the price change relative to interest rate movements.
Floating Rate: A floating-rate security is an investment with interest payments that float or adjust periodically based upon a predetermined benchmark.
Non-Agency Residential Mortgage-Backed Securities (NA RMBS): Securities issued by private institutions such as trusts and special purpose vehicles. These bonds are not guaranteed by the U.S. government or GSEs. They typically have a more sophisticated subordination structure, which redirects the aggregate principal and interest cash flows of the underlying collateral to the individual RMBS bonds based on a set of rules, which are designed to create tranches with specific risk, coupon, and maturity characteristics.
Prime Jumbo: Prime jumbo mortgages are non-agency loans typically because the lending amount exceeds the conforming loan limits. These tend to be high-quality mortgages with high credit scores that, for the most part, comply with agency mortgage underwriting guidelines.
Spread: The difference in yield between two bonds of similar maturity but different credit quality.
Spread Duration: A bond’s price sensitivity to spread changes.
Tranche: A portion of debt or structured financing. Each portion, or tranche, is one of several related securities offered at the same time but with different risks, rewards and maturities.
Yield-to-Maturity (YTM): The total rate of return that will have been earned by a bond when it makes all interest payments and repays the original principal.
9
Angel Oak Total Return Bond Fund
How did the Fund perform during the period?
For the 12-month period that ended January 31, 2023, the Fund’s Institutional Shares (AOIIX) returned -8.32%. During the same period, the Fund’s benchmark, the Bloomberg U.S. Aggregate Bond Index, returned -8.36%. The Fund outperformed the benchmark by 4 basis points (bps) during the period.
What were the main contributors to and detractors from the Fund’s performance during the period?
The positive contribution from income and the Fund’s more than 150 bps yield advantage over the benchmark was more than offset by the negative contribution from price performance. Within the credit strategies, the securitized bonds overweight versus corporate bonds was a detractor, as corporate bond spreads outperformed securitized bond spreads. The Fund’s duration was shorter than the benchmark for most of the fourth quarter of 2022 during a period when the yield curve bear flattened significantly, with the 3s/10s curve flattening 276 bps and the 2s/10s curve flattening 130 bps. Duration strategies were a positive contributor to performance, while the underweight to longer-spread-duration corporate credit was a primary detractor.
The Fund’s yield-to-maturity increased to end the period at 6.3%, rising approximately 350 bps over the year, from 2.8%. The effective duration of the Fund increased to a more neutral position as the portfolio management team became more constructive on duration heading into 2023. The average duration ended the year at 6.5, longer than the benchmark of 6.3, and with an average spread of 249 bps. The Fund ended the quarter positioned with a longer duration and a higher yield than the benchmark.
GOVERNMENT ATTRIBUTION
The government and cash allocation increased year over year, from 32% to 38%. The U.S. agency mortgage-backed securities (AMBS) allocation ended the period at 35%, with an overweight to agency residential mortgage-backed securities (RMBS) at 31%, versus agency commercial mortgage-backed securities (CMBS) at 4%. The agency RMBS allocation increased sharply year over year, from 5% to 31%. Agency RMBS are at historically attractive spreads, as rate volatility remains elevated. Agency CMBS was reduced sharply year over year from 17% to 4%. The contribution from the agency RMBS allocation was 15 bps, while the attribution from agency CMBS was -2.68%. The Treasury allocation attribution was -1.12%, while the cash and equivalents attribution was 5 bps.
CREDIT ATTRIBUTION
For the year, the corporate credit allocation decreased 4%, to 21% of Fund assets. The corporate credit allocation had a contribution of -1.19% for the period. The contribution from corporate bonds outperformed the benchmark, primarily due to the underweight duration positioning, in the 4-to-5-year range versus over 7 years for the benchmark. The corporate credit allocation ended the period with a spread advantage of 319 bps versus the benchmark of 117 bps.
Securitized credit underperformed corporate credit for the period, but the spread duration was much shorter than investment-grade corporate bonds in the benchmark. Sharp widening of agency RMBS spreads at the end of the third quarter of 2022 and widening liquidity premiums versus corporate bonds were the main drivers of spread underperformance in the period. The securitized credit allocation had a negative contribution of 2.94% for the period.
What is your outlook for 2023, and how is the Fund positioned?
Looking to 2023, we believe equity earnings will begin to come under pressure as the Fed rate hikes take hold. We think this will be beneficial to fixed-income flows, and we see them turning positive in the first quarter of 2023, considering how under-allocated U.S. households are to fixed income and how enticing yield levels are. Also, we expect interest rate volatility to decline as the Fed reaches the end of this hiking cycle, and we expect issuance volumes to slow, which should be very supportive of mortgage and structured product spreads. We believe structured credit will be a primary focus for allocators, as some areas of AAA structured credit trade wider than BBB corporate bonds, and current coupon AMBS spreads are comparable to the entire Bloomberg U.S. Corporate Investment Grade Index and come with government backing.
Past performance is not a guarantee of future results.
Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in lower rated and non-rated securities present a greater risk of loss to principal and interest than higher rated securities. Investments in asset-backed and mortgage-backed securities include additional risks that investors should be aware of including credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. Derivatives involve risks different from, and in certain cases, greater than the risks presented by more traditional investments. Derivatives may involve certain costs and risks such as illiquidity, interest rate, market, credit, management and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amount invested. The Fund may use leverage, which may exaggerate the effect of any increase or decrease in the value of securities in the Fund’s portfolio or higher and duplicative expenses when it invests in mutual funds, ETFs, and other investment companies. For more information on these risks and other risks of the Fund, please see the Prospectus.
10
Bond ratings are grades given to the bonds to indicate their credit quality as determined by rating agencies including, but not limited to, S&P and Moody’s. The firm evaluates a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. Ratings are expressed as letters ranging from AAA, which is the highest grade, to D, which is the lowest grade. In limited situations, when a rating agency has not issued a formal rating, the adviser will classify the security as nonrated.
On December 31, 2022, the Fund’s name was changed from the “Angel Oak Core Impact Fund” to the “Angel Oak Total Return Bond Fund,” and certain changes were made to the Fund’s investment strategies and management team. As a result, the Fund’s performance during periods prior to this date may have differed had the Fund’s current investment policies and strategies been in place at those times.
Definitions:
2s/10s Curve: The difference between the 10-year Treasury rate and the 2-year Treasury rate.
3s/10s Curve: The difference between the 10-year Treasury rate and the 3-month Treasury rate.
Agency Commercial Mortgage-Backed Security (Agency CMBS): A type of mortgage-backed security that is secured by loans on commercial properties that are issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae, or another United States federal government- sponsored enterprise (GSE) or a United States federal government agency.
Agency Mortgage-Backed Securities (AMBS): Securities issued or guaranteed by the U.S. government or a GSE.
Agency Residential Mortgage-Backed Securities (Agency RMBS): Securities issued or guaranteed by the U.S. government or a government-sponsored enterprise, such as the Government National Mortgage Association (GNMA or Ginnie Mae), Federal National Mortgage Association (FNMA or Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac). GNMA bonds are backed by the full faith and credit of the U.S. government and thus are free from default risk. While FNMA and Freddie Mac securities lack this same backing, the risk of default is negligible.
Basis Point (bps): One hundredth of one percent and is used to denote the percentage change in a financial instrument.
Bloomberg U.S. Aggregate Bond Index: An unmanaged index that measures the performance of the investment-grade universe of bonds issued in the United States. The index includes institutionally traded U.S. Treasury, government-sponsored, mortgage, and corporate securities. It is not possible to invest directly in an index.
Bloomberg U.S. Corporate Investment Grade Index: An index that measures the investment grade, fixed-rate, taxable corporate bond market. It includes USD-denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers.
Duration: Measures a portfolio’s sensitivity to changes in interest rates. Generally, the longer the duration, the greater the price change relative to interest rate movements.
Spread: The difference in yield between two bonds of similar maturity but different credit quality.
Yield-to-Maturity (YTM): The total rate of return that will have been earned by a bond when it makes all interest payments and repays the original principal.
Yield Curve: The U.S. Treasury yield curve refers to a line chart that depicts the yields of short-term Treasury bills compared to the yields of long-term Treasury notes and bonds. The slope, shape, and level of yield curves may vary over time with changes in interest rates.
11
Angel Oak UltraShort Income ETF
How did the Fund perform during the period?
Since inception on October 24, 2022, the Angel Oak UltraShort Income ETF (the Fund) returned 1.90% based on market price and 1.92% based on net asset value for the period ended January 31, 2023. The Fund’s benchmark, the Bloomberg U.S. Treasury Bills Index, was up 1.10% over the same period. The Fund, which launched during the fourth quarter of 2022, was focused on ramping up the allocation toward the strategic allocation.
What were the main contributors to and detractors from the Fund’s performance during the period?
The primary contributors to performance were income return from asset-backed securities (ABS) and Treasuries and price return from ABS. The Fund maintained an effective duration in the range of 3-10 months since Fund inception. Given current valuations, the Fund is set up well to potentially benefit from this much higher-yielding environment and the wide basis between securitized and corporate credit.
The government/credit allocation continued to decrease since inception as opportunities were identified in securitized credit, corporate credit, and agencies. Government/credit ended the period at 20%/80%. The portfolio was initially allocated to Treasury bills with a yield north of 4%. By the end of the period, the 20% allocation to government exposure was allocated 67% to Treasuries, 22% to agency commercial mortgage-backed securities (CMBS), and 11% to agency residential mortgage-backed securities (RMBS). The duration of the government allocation is approximately 12 months.
The ABS allocation produced a total return of 2.79%, contributing 1.03% to Fund performance. ABS spreads remained volatile in the fourth quarter of 2022 but started to tighten in January 2023, ending the period at 142 bps (basis points) in the Fund. The Fund continued to reposition into more-attractive, short-duration ABS opportunities. Shareholder outflows across the entire industry looked to be a headwind for securitized spreads in 2022, setting up for a much better technical environment in the first quarter of 2023. Seasonal technicals have the potential to drive spread performance in the first half of 2023. We believe markets are beginning to price in peak Fed policy, setting up an attractive opportunity to own 1-year, fixed-rate, high-quality assets.
The residential mortgage credit allocation continued to be under pressure in the fourth quarter of 2022 but appears to offer the best relative value in short-duration credit. Residential mortgage credit has contributed 18 bps to Fund performance since inception. Agency mortgage spreads reached their widest levels of the cycle at the beginning of the fourth quarter of 2022, putting upward pressure on short-duration AAA non-agency spreads as well. The mortgage credit allocation widened in the fourth quarter of 2022 but started to improve in January 2023. Issuance finally eased in the fourth quarter of 2022, and buy axes started to appear late in the quarter after agency mortgage-backed securities (AMBS) spreads started to normalize. From a positioning perspective, the Fund ramped up exposure in a diversified mix of primarily investment-grade tranches of non-qualified mortgage, nonperforming loans, reperforming loans, prime jumbo, and single-family rental. The portfolio management team believes non-agency mortgage-backed securities spreads are at the most attractive level since the summer of 2020. The allocation ended the year at 19% of Fund assets, with an average spread of 399 bps.
Collateralized loan obligations (CLOs) returned 2.53% since inception, contributing 20 bps to Fund performance. The floating-rate component was a major contributor to CLO performance in 2022 overall. Underlying bank loan performance outperformed fixed-rate, high-yield corporate credit. The Fund’s focus was on very-short-maturity, AAA-rated tranches. The rapid run-up in front-end rates in 2022 had led to short-duration AAA-rated CLO yields in the 6%-7% range, providing investors with historically attractive return potential in very high-quality assets. The CLO allocation ended the period at 8% of Fund assets, with an average price of $99.2 and a yield to effective maturity of 6.2% (a 165 spread). Corporate bonds are a minor, tactical allocation within the Fund, at approximately 4% of Fund assets.
What is your outlook for 2023, and how is the Fund positioned?
Looking to 2023, we believe equity earnings will begin to come under pressure as the Fed rate hikes take hold. We think this will be beneficial to fixed-income flows, and we see them turning positive in the first quarter of 2023, considering how under-allocated U.S. households are to fixed income and how enticing yield levels are. Also, we expect interest rate volatility to decline as the Fed reaches the end of this hiking cycle, and we expect issuance volumes to slow, which should be very supportive of mortgage and structured product spreads. We believe structured credit will be a primary focus for allocators, as some areas of AAA structured credit trade wider than BBB corporate bonds and current coupon AMBS spreads are comparable to the entire Bloomberg U.S. Corporate Investment Grade Index and come with government backing.
12
Past performance is not a guarantee of future results.
Investing involves risk; principal loss is possible. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in lower-rated and nonrated securities present a greater risk of loss to principal and interest than higher-rated securities do. Investments in asset-backed and mortgage-backed securities include additional risks that investors should be aware of, including credit risk, prepayment risk, possible illiquidity, and default, as well as increased susceptibility to adverse economic developments. The Fund is a recently organized investment company with limited operating history. As a result, prospective investors have a limited track record or history on which to base their investment decisions. Derivatives involve risks different from — and in certain cases, greater than — the risks presented by more traditional investments. Derivatives may involve certain costs and risks such as illiquidity, interest rate, market, credit, management, and the risk that a position could not be closed when most advantageous. Investing in derivatives could lead to losses that are greater than the amount invested. The Fund may use leverage, which may exaggerate the effect of any increase or decrease in the value of securities in the Fund’s portfolio or higher and duplicative expenses when it invests in mutual funds, ETFs, and other investment companies. For more information on these risks and other risks of the Fund, please see the Prospectus.
ETFs may trade at a premium or discount to NAV. Shares of any ETF are bought and sold at market prices (not NAV) and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. The Fund is an actively managed ETF, which is a fund that trades like other publicly traded securities. The Fund is not an index fund and does not seek to replicate the performance of a specified index.
Bond ratings are grades given to the bonds to indicate their credit quality as determined by rating agencies including, but not limited to, S&P and Moody’s. The firm evaluates a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. Ratings are expressed as letters ranging from AAA, which is the highest grade, to D, which is the lowest grade. In limited situations, when a rating agency has not issued a formal rating, the adviser will classify the security as nonrated.
Definitions:
Agency Commercial Mortgage-Backed Security (Agency CMBS): A type of mortgage-backed security that is secured by loans on commercial properties that are issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae, or another United States federal government-sponsored enterprise (GSE) or a United States federal government agency.
Agency Mortgage-Backed Securities (AMBS): Securities issued or guaranteed by the U.S. government or a GSE.
Agency Residential Mortgage-Backed Securities (Agency RMBS): Securities issued or guaranteed by the U.S. government or a GSE, such as the Government National Mortgage Association (GNMA or Ginnie Mae), Federal National Mortgage Association (FNMA or Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac). GNMA bonds are backed by the full faith and credit of the U.S. government and thus are free from default risk. While FNMA and Freddie Mac securities lack this same backing, the risk of default is negligible.
Asset-Backed Securities (ABS): Securities created by buying and bundling loans – such as residential mortgage loans, commercial loans or student loans – and creating securities backed by those assets, which are then sold to investors.
Basis Point (bps): One hundredth of one percent and is used to denote the percentage change in a financial instrument.
Bloomberg U.S. Corporate Investment Grade Index: An index that measures the investment grade, fixed-rate, taxable corporate bond market. It includes USD-denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers.
Bloomberg U.S. Treasury Bills Index: The Index tracks the market for treasury bills issued by the U.S. government.
Collateralized Loan Obligation (CLO): A single security backed by a pool of debt.
Current Coupon: Refers to a security that is trading closest to its par value without going over par. In other words, the bond’s market price is at or near to its issued face value.
Duration: Measures a portfolio’s sensitivity to changes in interest rates. Generally, the longer the duration, the greater the price change relative to interest rate movements.
Nonperforming Loan (NPL): A loan in which the borrower is in default and has not made any scheduled payments of principal or interest for a certain period of time.
Non-Qualified Mortgage (Non-QM): A loan that does not meet the standards of a qualified mortgage and uses non-traditional methods of income verification to help a borrower get approved for a home loan.
Prime Jumbo: Prime jumbo mortgages are non-agency loans typically because the lending amount exceeds the conforming loan limits. These tend to be high-quality mortgages with high credit scores that, for the most part, comply with agency mortgage underwriting guidelines.
Reperforming Loan (RPL): A mortgage that had become delinquent because the borrower fell behind on payments by at least 90 days but returned to “performing” status because the borrower has resumed making payments.
Single-Family Rental (SFR): Houses or apartments that are designed to be rented by a single family or individual.
Spread: The difference in yield between two bonds of similar maturity but different credit quality.
Tranche: A portion of debt or structured financing. Each portion, or tranche, is one of several related securities offered at the same time but with different risks, rewards and maturities.
Yield-to-Maturity (YTM): The total rate of return that will have been earned by a bond when it makes all interest payments and repays the original principal.
13
Angel Oak Income ETF
How did the Fund perform during the period?
Since inception on November 7, 2022, the Angel Oak Income ETF (the Fund) returned 2.49% based on market price and 2.41% based on net asset value for the period ending January 31, 2023. The Fund’s benchmark, the Bloomberg U.S. Aggregate Bond Index, was up 7.07% over the same period. The Fund, which launched during the fourth quarter of 2022, was focused on ramping up the allocation toward the strategic allocation.
What were the main contributors to and detractors from the Fund’s performance during the period?
The primary contributors to performance were price return from collateralized loan obligations, interest return from Treasuries, and both price and interest return from non-agency residential mortgage-backed securities (NA RMBS). The Fund maintained an effective duration of around three years once ramping up from Fund inception. Inflation data remained challenging and continued to result in dramatically more-hawkish Fed rhetoric and expectations. Structured credit spreads, notably NA RMBS, also continued to widen, while agency mortgage-backed securities (AMBS) reversed course slightly as interest rate volatility continued to soar.
NA RMBS currently stands at approximately 45% of the Fund and produced a total return of 4.00% during the period, contributing 0.87% to Fund performance. From a dollar price perspective, NA RMBS prices in our strategy are at levels last seen in 2011, and loss-adjusted yields range from 6% to 15% in high-quality cash flows, with robust structural credit protection, and are backed by U.S. homes. We favor most subsectors of NA RMBS due to deeply discounted dollar prices with prepayment and call upside potential, as the market is currently priced for maximum extension. The opportunity to own very attractive loss-adjusted yields is available in most NA RMBS subsectors, but in the current environment, we prefer the following subsectors: senior and mezzanine tranches of prime jumbo 2.0, senior and mezzanine tranches of non-qualified mortgages, senior legacy NA RMBS, mortgage insurance, and reperforming loan securitizations. These sectors have been under significant pressure, particularly in the second half of 2022, but in our view offer extraordinarily attractive total return potential from here. We expect NA RMBS spreads to tighten on the heels of declining implied volatility and peak policy in 2023. Spread tightening coupled with current loss-adjusted yields approaching 10% in our strategy increase the potential for double-digit total return opportunities on the heels of the prior volatility storms.
Stable fundamentals have been evident in NA RMBS over the past several years, but the technical picture has been challenging due to robust issuance in 2021 and 2022. However, we expect the technical picture to improve in 2023, as the bond bear market of 2022 made securitization and mortgage origination dynamics extraordinarily challenging. Not only is mortgage origination expected to decline dramatically, but NA RMBS supply also is expected to plummet in 2023 after years of significant gross issuance. In fact, we expect gross issuance to decline by 60% in 2023. Given our expectations of improving demand from money managers and pensions in 2023, the lack of supply in a shrinking market with stable fundamentals presents a favorable technical backdrop for potential spread tightening.
Asset-backed securities (ABS) are the second-largest credit exposure, at 18%, and they produced a total return of 4.45% during the period, contributing 0.38% to Fund performance. Delinquency rates on consumer loan products, such as credit cards and auto loans, are also starting to normalize, increasing from historically low levels. While we are cautious about subprime versus prime consumer areas of ABS, often the perceived credit weakness ahead is less than what is priced into current valuations. ABS spreads are near their widest levels since April/May 2020. In our view, even the bottom tranches of the subprime auto and consumer loan ABS sectors should hold up well, as the cushions are sufficient for a slow deterioration to a mild recession. Diversification with respect to issuers, deals, and tenure shows attractive value within the space. Seasoning and robust structural support coupled with the deeply discounted prices of most areas of consumer ABS more than compensate investors for the perceived credit risk ahead, considering our expectations of a mild recession in 2023.
What is your outlook for 2023, and how is the Fund positioned?
Looking to 2023, we believe equity earnings will begin to come under pressure as the Fed rate hikes take hold. We think this will be beneficial to fixed-income flows, and we see them turning positive in the first quarter of 2023, considering how under-allocated U.S. households are to fixed income and how enticing yield levels are. Also, we expect interest rate volatility to decline as the Fed reaches the end of this hiking cycle, and we expect issuance volumes to slow, which should be very supportive of mortgage and structured product spreads. We believe structured credit will be a primary focus for allocators, as some areas of AAA structured credit trade wider than BBB corporate bonds, and current coupon AMBS spreads are comparable to the entire Bloomberg U.S. Corporate Investment Grade Index and come with government backing.
14
Past performance is not a guarantee of future results.
Investing involves risk; principal loss is possible. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in lower- rated and non-rated securities present a greater risk of loss to principal and interest than higher rated securities. Investments in asset-backed and mortgage-backed securities include additional risks that investors should be aware of including credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. The Fund is a recently organized investment company with limited operating history. As a result, prospective investors have a limited track record or history on which to base their investment decisions. Derivatives involve risks different from, and in certain cases, greater than the risks presented by more traditional investments. Derivatives may involve certain costs and risks such as illiquidity, interest rate, market, credit, management and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amount invested. The Fund may use leverage, which may exaggerate the effect of any increase or decrease in the value of securities in the Fund’s portfolio or higher and duplicative expenses when it invests in mutual funds, ETFs, and other investment companies. For more information on these risks and other risks of the Fund, please see the Prospectus.
ETFs may trade at a premium or discount to NAV. Shares of any ETF are bought and sold at market prices (not NAV) and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. The Fund is an actively managed ETF, which is a fund that trades like other publicly traded securities. The Fund is not an index fund and does not seek to replicate the performance of a specified index.
Bond ratings are grades given to the bonds to indicate their credit quality as determined by rating agencies including, but not limited to, S&P and Moody’s. The firm evaluates a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. Ratings are expressed as letters ranging from AAA, which is the highest grade, to D, which is the lowest grade. In limited situations, when a rating agency has not issued a formal rating, the adviser will classify the security as nonrated.
Definitions:
Agency Mortgage-Backed Securities (AMBS): Securities issued or guaranteed by the U.S. government or a government-sponsored enterprise (GSE).
Asset-Backed Securities (ABS): Securities created by buying and bundling loans – such as residential mortgage loans, commercial loans or student loans – and creating securities backed by those assets, which are then sold to investors.
Bloomberg U.S. Aggregate Bond Index: An unmanaged index that measures the performance of the investment-grade universe of bonds issued in the United States. The index includes institutionally traded U.S. Treasury, government sponsored, mortgage and corporate securities.
Bloomberg U.S. Corporate Investment Grade Index: An index that measures the investment grade, fixed-rate, taxable corporate bond market. It includes USD-denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers.
Cash Flow: Periodic coupons received by the bondholder during their holding period.
Collateralized Loan Obligation (CLO): A single security backed by a pool of debt.
Credit Spread: The difference in yield between two bonds of similar maturity but different credit quality.
Current Coupon: Refers to a security that is trading closest to its par value without going over par. In other words, the bond’s market price is at or near to its issued face value.
Duration: Measures a portfolio’s sensitivity to changes in interest rates. Generally, the longer the duration, the greater the price change relative to interest rate movements.
Non-Agency Residential Mortgage-Backed Securities (NA RMBS): Securities issued by private institutions such as trusts and special-purpose vehicles. These bonds are not guaranteed by the U.S. government or GSEs. They typically have a more sophisticated subordination structure, which redirects the aggregate principal and interest cash flow of the underlying collateral to the individual RMBS bonds based on a set of rules, which are designed to create tranches with specific risk, coupon, and maturity characteristics.
Non-Qualified Mortgage (Non-QM): A loan that does not meet the standards of a qualified mortgage and uses non-traditional methods of income verification to help a borrower get approved for a home loan.
Prime Jumbo: Prime jumbo mortgages are non-agency loans typically because the lending amount exceeds the conforming loan limits. These tend to be high-quality mortgages with high credit scores that, for the most part, comply with agency mortgage underwriting guidelines.
Reperforming Loan (RPL): A mortgage that had become delinquent because the borrower fell behind on payments by at least 90 days but returned to “performing” status because the borrower has resumed making payments.
Spread: The difference in yield between two bonds of similar maturity but different credit quality.
Subprime: Subprime mortgages are extended to borrowers with low credit scores. In general, these borrowers have damaged credit or limited credit history along with minimal income and asset verification. Due to the higher default risk associated with these borrowers, lenders tend to charge a higher interest rate on subprime loans.
Tranche: A portion of debt or structured financing. Each portion, or tranche, is one of several related securities offered at the same time but with different risks, rewards, and maturities.
15
Investment Results – (Unaudited)
Angel Oak Multi-Strategy Income Fund
Multi-Strategy 10 Year Plot Points
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 January 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. 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 year ended January 31, 2023)
| Average Annual Returns | ||||||||||||||||||
| One Year | Three Year | Five Year | Ten Year | Since Inception(2) | ||||||||||||||
| Angel Oak Multi-Strategy Income Fund, Institutional Class |
(10.98%) | (3.41 | %) | (0.42 | %) | 1.78 | % | 2.43 | % | |||||||||
| Angel Oak Multi-Strategy Income Fund, Class A without load |
(11.28%) | (3.62 | %) | (0.68 | %) | 1.51 | % | 3.86 | % | |||||||||
| Angel Oak Multi-Strategy Income Fund, Class A with load |
(13.31%) | (4.36 | %) | (1.14 | %) | 1.29 | % | 3.66 | % | |||||||||
| Angel Oak Multi-Strategy Income Fund, Class C without load |
(11.88%) | (4.34 | %) | (1.41 | %) | N/A | (0.11 | %) | ||||||||||
| Angel Oak Multi-Strategy Income Fund, Class C with load |
(12.72%) | (4.34 | %) | (1.41 | %) | N/A | (0.11 | %) | ||||||||||
| Bloomberg U.S. Aggregate Bond Index(3) |
(8.36%) | (2.35 | %) | 0.86 | % | 1.43 | % | 1.45 | %(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.
16
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 1.94% and for Class C Shares is 1.24%.
17
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. 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 year ended January 31, 2023)
| Average Annual Returns | ||||||||||||||
| One Year | Three Year | Five Year | Since Inception(2) | |||||||||||
| Angel Oak Financials Income Impact Fund, Institutional Class |
(5.37%) | (1.30 | %) | 1.39 | % | 1.99 | % | |||||||
| Angel Oak Financials Income Impact Fund, Class A without load |
(5.59%) | (1.54 | %) | 1.16 | % | 1.76 | % | |||||||
| Angel Oak Financials Income Impact Fund, Class A with load |
(7.75%) | (2.28 | %) | 0.70 | % | 1.48 | % | |||||||
| Angel Oak Financials Income Impact Fund, Class C without load |
(6.79%) | (2.44 | %) | 0.33 | % | 0.40 | % | |||||||
| Angel Oak Financials Income Impact Fund, Class C with load |
(7.69%) | (2.44 | %) | 0.33 | % | 0.40 | % | |||||||
| Bloomberg U.S. Aggregate 3-5 Year Index(3) |
(4.85%) | (1.20 | %) | 1.13 | % | 1.25 | %(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 1.15%.
18
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 January 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. 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 year ended January 31, 2023)
| Average Annual Returns | ||||||||||||||||||
| One Year | Three Year | Five Year | Ten Year | Since Inception(2) | ||||||||||||||
| Angel Oak High Yield Opportunities Fund, Institutional Class |
(2.89%) | 2.16 | % | 3.26 | % | 4.61 | % | 7.44 | % | |||||||||
| Angel Oak High Yield Opportunities Fund, Class A without load |
(3.13%) | 1.89 | % | 2.99 | % | 4.36 | % | 4.69 | % | |||||||||
| Angel Oak High Yield Opportunities Fund, Class A with load |
(5.34%) | 1.13 | % | 2.51 | % | 4.12 | % | 4.47 | % | |||||||||
| Bloomberg U.S. High Yield Corporate Bond Index(3) |
(5.22%) | 1.29 | % | 2.96 | % | 4.28 | % | 8.82 | %(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 4.78%.
19
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. 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 year ended January 31, 2023)
| Average Annual Returns | ||||||||||||
| One Year | Three Year | Since Inception(2) | ||||||||||
| Angel Oak UltraShort Income Fund, Institutional Class |
(2.24 | %) | 0.03 | % | 1.41 | % | ||||||
| Angel Oak UltraShort Income Fund, Class A |
(2.42 | %) | (0.22 | %) | 1.12 | % | ||||||
| Angel Oak UltraShort Income Fund, Class A1 without load |
N/A | N/A | (0.25 | %)(3) | ||||||||
| Angel Oak UltraShort Income Fund, Class A1 with load |
N/A | N/A | (2.25 | %)(3) | ||||||||
| Bloomberg Short Treasury: 9-12 Months Index(4) |
0.18 | % | 0.47 | % | 1.26 | %(5) | ||||||
| Bloomberg Short Term Government/Corporate Index(6) |
1.17 | % | 0.77 | % | 1.41 | %(7) | ||||||
(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) Less than one year of activity, figure presented is a cumulative return.
(4) 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.
(5) 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 1.27% and for Class A1 Shares is 0.86%.
20
Investment Results – (Unaudited) (continued)
(6) 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.
(7) 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 1.41% and for Class A1 Shares is 1.38%.
21
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. 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 year ended January 31, 2023)
| Average Annual Returns | ||||||||
| One Year | Since Inception(2) | |||||||
| Angel Oak Total Return Bond Fund, Institutional Class |
(8.32 | %) | (5.83 | %) | ||||
| Bloomberg U.S. Aggregate Bond Index(3) |
(8.36 | %) | (6.00 | %) | ||||
(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.
22
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. 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 January 31, 2023)
| Since Inception(2) | ||||
| Angel Oak UltraShort Income ETF – NAV |
1.92 | % | ||
| Angel Oak UltraShort Income ETF – Market Price |
1.90 | % | ||
| Bloomberg U.S. Treasury Bills Index(3) |
1.10 | % | ||
| Bloomberg Short Term Government/Corporate Index(4) |
1.19 | % | ||
(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.
23
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. 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 January 31, 2023)
| Since Inception(2) | ||||
| Angel Oak Income ETF – NAV |
2.41 | % | ||
| Angel Oak Income ETF – Market Price |
2.49 | % | ||
| Bloomberg U.S. Aggregate Bond Index(3) |
7.07 | % | ||
(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.
24
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 | $945.60 | $10.79 | 2.20% | |||||
| Hypothetical(2) | $1,000.00 | $1,014.12 | $11.17 | 2.20% | ||||||
|
Class C |
Actual | $1,000.00 | $942.40 | $14.54 | 2.97% | |||||
| Hypothetical(2) | $1,000.00 | $1,010.23 | $15.05 | 2.97% | ||||||
| Institutional Class |
Actual | $1,000.00 | $946.70 | $9.47 | 1.93% | |||||
| Hypothetical(2) | $1,000.00 | $1,015.48 | $9.80 | 1.93% | ||||||
| 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 | $962.40 | $4.70 | 0.95% | |||||
| Hypothetical(2) | $1,000.00 | $1,020.42 | $4.84 | 0.95% | ||||||
|
Class C |
Actual | $1,000.00 | $958.10 | $8.39 | 1.70% | |||||
| Hypothetical(2) | $1,000.00 | $1,016.64 | $8.64 | 1.70% | ||||||
| Institutional Class |
Actual | $1,000.00 | $963.60 | $3.46 | 0.70% | |||||
| Hypothetical(2) | $1,000.00 | $1,021.68 | $3.57 | 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 | $1,027.70 | $4.55 | 0.89% | |||||
| Hypothetical(2) | $1,000.00 | $1,020.72 | $4.53 | 0.89% | ||||||
| Institutional Class |
Actual | $1,000.00 | $1,029.10 | $3.22 | 0.63% | |||||
| Hypothetical(2) | $1,000.00 | $1,022.03 | $3.21 | 0.63% | ||||||
25
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 | $997.00 | $3.02 | 0.60% | |||||
| Hypothetical(2) | $1,000.00 | $1,022.18 | $3.06 | 0.60% | ||||||
|
Class A1 |
Actual | $1,000.00 | $997.30 | $3.02 | 0.60% | |||||
| Hypothetical(2) | $1,000.00 | $1,022.18 | $3.06 | 0.60% | ||||||
| Institutional Class |
Actual | $1,000.00 | $998.40 | $1.76 | 0.35% | |||||
| Hypothetical(2) | $1,000.00 | $1,023.44 | $1.79 | 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 | $962.90 | $2.82 | 0.57% | |||||
| Hypothetical(2) | $1,000.00 | $1,022.33 | $2.91 | 0.57% | ||||||
| Angel Oak UltraShort Income ETF | Beginning Account Value |
Ending Account Value |
Expenses Paid During Period |
Annualized Expense Ratio | ||||||
| Actual | $1,000.00 | $1,019.20 | $0.79(3) | 0.29% | ||||||
| Hypothetical(2) | $1,000.00 | $1,023.74 | $1.48(1) | 0.29% | ||||||
| Angel Oak Income ETF | Beginning Account Value |
Ending Account Value |
Expenses Paid During Period |
Annualized Expense Ratio | ||||||
| Actual | $1,000.00 | $1,024.10 | $1.86(4) | 0.79% | ||||||
| Hypothetical(2) | $1,000.00 | $1,021.22 | $4.02(1) | 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 (184) 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.
(3) 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 (99) in the most recent period beginning October 24, 2022, 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.
(4) 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 (85) in the most recent period beginning November 7, 2022, 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.
26
Portfolio Holdings – (Unaudited)
The investment objective of Angel Oak Multi-Strategy Income Fund is to seek 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%
27
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 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.
28
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 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.
29
Portfolio Holdings – (Unaudited) (continued)
The investment objective of Angel Oak Income ETF is to seek 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.
30
Statements of Assets and Liabilities
| 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* |
$3,560,520,959 | $100,451,016 | $63,432,926 | $688,650,356 | $34,425,521 | ||||||||||||||||||||
| Investments in affiliated securities at fair value* |
126,463,589 | — | — | 4,880,005 | — | ||||||||||||||||||||
| Cash |
356,683 | — | — | — | — | ||||||||||||||||||||
| Due from Adviser |
— | 9,488 | 51,384 | — | 55,244 | ||||||||||||||||||||
| Deposit at broker for reverse repurchase agreements |
3,907,000 | — | — | — | — | ||||||||||||||||||||
| Deposit at broker for futures* |
8,981,067 | — | — | 979,526 | 326,000 | ||||||||||||||||||||
| Deposit at broker for swaps |
240,419 | — | — | — | — | ||||||||||||||||||||
| Receivable for Fund shares sold |
53,989,716 | 279,268 | 6,917 | 978,896 | — | ||||||||||||||||||||
| Receivable for investments sold |
9,495,294 | 1,956,056 | — | 689,950 | — | ||||||||||||||||||||
| Dividends and interest receivable |
17,082,734 | 1,035,363 | 930,838 | 1,525,528 | 145,831 | ||||||||||||||||||||
| Prepaid expenses |
77,715 | 30,944 | 20,907 | 46,308 | 16,117 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total Assets |
3,781,115,176 | 103,762,135 | 64,442,972 | 697,750,569 | 34,968,713 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Liabilities |
|||||||||||||||||||||||||
| Payable for credit agreements |
300,000,000 | — | — | — | — | ||||||||||||||||||||
| Payable for reverse repurchase agreements (net of unamortized deferred issuance costs of $157,551) |
249,842,609 | — | — | — | — | ||||||||||||||||||||
| Payable for investments purchased |
222,284,602 | — | 980,152 | 1,133,782 | — | ||||||||||||||||||||
| Payable for Fund shares redeemed |
5,927,810 | 156,415 | 39,475 | 1,907,413 | — | ||||||||||||||||||||
| Payable for distributions to shareholders |
5,326,803 | 193,425 | 230,236 | 526,569 | 108,315 | ||||||||||||||||||||
| Interest payable for credit and reverse repurchase agreements |
3,962,288 | — | — | — | — | ||||||||||||||||||||
| Payable to Adviser |
2,151,222 | — | — | 121,540 | — | ||||||||||||||||||||
| Payable to administrator, fund accountant, and transfer agent |
356,709 | 24,715 | 16,259 | 86,890 | 10,837 | ||||||||||||||||||||
| 12b-1 fees accrued |
71,258 | 20,838 | 664 | 8,734 | — | ||||||||||||||||||||
| Payable to custodian |
33,903 | 949 | 1,500 | 8,499 | 548 | ||||||||||||||||||||
| Other accrued expenses |
232,072 | 44,511 | 63,456 | 59,874 | 63,351 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total Liabilities |
790,189,276 | 440,853 | 1,331,742 | 3,853,301 | 183,051 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net Assets |
$2,990,925,900 | $103,321,282 | $63,111,230 | $693,897,268 | $34,785,662 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net Assets consist of: |
|||||||||||||||||||||||||
| Paid-in capital |
$4,926,802,063 | $163,847,080 | $72,223,919 | $763,320,378 | $40,114,189 | ||||||||||||||||||||
| Total distributable earnings (accumulated deficit) |
(1,935,876,163 | ) | (60,525,798 | ) | (9,112,689 | ) | (69,423,110 | ) | (5,328,527 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net Assets |
$2,990,925,900 | $103,321,282 | $63,111,230 | $693,897,268 | $34,785,662 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Class A: |
|||||||||||||||||||||||||
| Net Assets |
$150,449,905 | $5,893,440 | $3,416,850 | $39,535,947 | $— | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Shares outstanding (unlimited number of shares authorized, no par value) |
17,425,567 | 723,628 | 321,451 | 4,134,469 | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value (“NAV”) per share |
$8.63 | $8.14 | $10.63 | $9.56 | $— | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Offering price per share (NAV/0.9775) (b) |
$8.83 | $8.33 | $10.87 | $9.78 | $— | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Class C: |
|||||||||||||||||||||||||
| Net Assets |
$46,512,313 | $4,437,195 | $— | $— | $— | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Shares outstanding (unlimited number of shares authorized, no par value) |
5,444,667 | 553,803 | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value (“NAV”) and offering price per share |
$8.54 | $8.01 | $— | $— | $— | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Minimum redemption price per share (NAV*0.99) (c) |
$8.45 | $7.93 | $— | $— | $— | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Institutional Class: |
|||||||||||||||||||||||||
| Net Assets |
$2,793,963,682 | $92,990,647 | $59,694,380 | $653,847,901 | $34,785,662 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Shares outstanding (unlimited number of shares authorized, no par value) |
324,411,989 | 11,454,484 | 5,641,855 | 68,383,148 | 3,995,616 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value (“NAV”) and offering price per share |
$8.61 | $8.12 | $10.58 | $9.56 | $8.71 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Class A1: |
|||||||||||||||||||||||||
| Net Assets |
$— | $— | $— | $513,420 | $— | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Shares outstanding (unlimited number of shares authorized, no par value) |
— | — | — | 53,788 | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value (“NAV”) per share |
$— | $— | $— | $9.55 | $— | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Offering price per share (NAV/0.985) (d) |
$— | $— | $— | $9.70 | $— | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Minimum redemption price per share (NAV*0.995) (e) |
$— | $— | $— | $9.50 | $— | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| *Identified Cost: |
|||||||||||||||||||||||||
| Investments in unaffiliated securities |
$4,283,722,132 | $109,617,400 | $68,078,848 | $719,345,684 | $36,947,873 | ||||||||||||||||||||
| Investments in affiliated securities |
140,994,876 | — | — | 4,829,286 | — | ||||||||||||||||||||
| Required margin held as collateral for futures contracts |
9,672,680 | — | — | 894,050 | 215,700 | ||||||||||||||||||||
| (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.
31
Statements of Assets and Liabilities
| UltraShort Income ETF |
Income ETF | |||||||||
| Assets |
||||||||||
| Investments in securities at fair value* |
$47,630,624 | $34,038,694 | ||||||||
| Receivable for investments sold |
4,961 | 297,689 | ||||||||
| Dividends and interest receivable |
110,413 | 109,006 | ||||||||
|
|
|
|
|
|||||||
| Total Assets |
47,745,998 | 34,445,389 | ||||||||
|
|
|
|
|
|||||||
| Liabilities |
||||||||||
| Payable for investments purchased |
1,200,402 | 787,436 | ||||||||
| Payable to Adviser |
11,099 | 21,654 | ||||||||
|
|
|
|
|
|||||||
| Total Liabilities |
1,211,501 | 809,090 | ||||||||
|
|
|
|
|
|||||||
| Net Assets |
$46,534,497 | $33,636,299 | ||||||||
|
|
|
|
|
|||||||
| Net Assets consist of: |
||||||||||
| Paid-in capital |
$46,090,044 | $33,148,155 | ||||||||
| Total distributable earnings (accumulated deficit) |
444,453 | 488,144 | ||||||||
|
|
|
|
|
|||||||
| Net Assets |
$46,534,497 | $33,636,299 | ||||||||
|
|
|
|
|
|||||||
| Shares outstanding (unlimited number of shares authorized, no par value) |
920,000 | 1,650,000 | ||||||||
|
|
|
|
|
|||||||
| Net asset value (“NAV”) and offering price per share |
$50.58 | $20.39 | ||||||||
|
|
|
|
|
|||||||
| *Identified Cost: |
||||||||||
| Investments in securities |
$47,408,013 | $33,749,623 | ||||||||
See accompanying notes which are an integral part of these financial statements.
32
For the Year Ended January 31, 2023
| Multi-Strategy Income Fund (a) |
Financials Income Impact Fund |
High Yield Opportunities Fund |
UltraShort Income Fund |
Total Return Bond Fund | |||||||||||||||||||||
| Investment Income |
|||||||||||||||||||||||||
| Interest |
$312,392,328 | $6,378,710 | $4,131,501 | $26,829,199 | $1,164,632 | ||||||||||||||||||||
| Dividends from unaffiliated investments |
4,203,959 | 354,171 | 137,366 | 12 | 4,564 | ||||||||||||||||||||
| Dividends from affiliated investments |
4,884,807 | — | — | 35,975 | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total Investment Income |
321,481,094 | 6,732,881 | 4,268,867 | 26,865,186 | 1,169,196 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Expenses |
|||||||||||||||||||||||||
| Investment Advisory (See Note 5) |
43,551,583 | 1,277,665 | 373,742 | 5,010,365 | 179,908 | ||||||||||||||||||||
| Interest expense |
27,083,966 | 11,780 | 25 | 2,530 | 217 | ||||||||||||||||||||
| 12b-1 – Class A |
569,799 | 18,551 | 10,279 | 225,133 | — | ||||||||||||||||||||
| 12b-1 – Class A1 |
— | — | — | 653 | — | ||||||||||||||||||||
| 12b-1 – Class C |
590,959 | 67,506 | — | — | — | ||||||||||||||||||||
| Fund accounting |
1,340,010 | 26,407 | 34,374 | 313,260 | 18,491 | ||||||||||||||||||||
| Administration |
565,259 | 40,484 | 25,949 | 147,930 | 21,593 | ||||||||||||||||||||
| Transfer agent |
541,710 | 85,023 | 29,097 | 117,364 | 13,888 | ||||||||||||||||||||
| Legal |
486,019 | 73,064 | 62,567 | 112,292 | 60,623 | ||||||||||||||||||||
| Custodian |
287,367 | 5,825 | 8,895 | 60,587 | 2,760 | ||||||||||||||||||||
| Trustee |
277,070 | 40,517 | 36,743 | 89,908 | 35,225 | ||||||||||||||||||||
| Registration |
253,168 | 64,879 | 43,091 | 203,933 | 39,735 | ||||||||||||||||||||
| Printing |
228,229 | 24,851 | 7,343 | 29,854 | 5,104 | ||||||||||||||||||||
| Audit & tax |
112,996 | 31,972 | 28,202 | 37,504 | 27,979 | ||||||||||||||||||||
| Insurance |
54,224 | 1,330 | 631 | 11,771 | 340 | ||||||||||||||||||||
| Compliance |
12,686 | 12,686 | 12,686 | 12,686 | 12,678 | ||||||||||||||||||||
| Miscellaneous |
104,868 | 12,842 | 5,991 | 28,989 | 1,782 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total Expenses |
76,059,913 | 1,795,382 | 679,615 | 6,404,759 | 420,323 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Fees contractually recouped by Adviser (See Note 5) |
17,063 | — | — | — | — | ||||||||||||||||||||
| Fees contractually waived by Adviser (See Note 5) |
(714,385 | ) | (91,469 | ) | (233,113 | ) | (2,190,925 | ) | (212,352 | ) | |||||||||||||||
| Fees voluntarily waived by Adviser (See Note 5) |
— | (615,523 | ) | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net Expenses |
75,362,591 | 1,088,390 | 446,502 | 4,213,834 | 207,971 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net Investment Income (Loss) |
246,118,503 | 5,644,491 | 3,822,365 | 22,651,352 | 961,225 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Realized and Unrealized Gain (Loss) on Investments |
|||||||||||||||||||||||||
| Net realized gain (loss) on investments in unaffiliated securities |
(354,718,540 | ) | (3,058,652 | ) | (1,967,678 | ) | (36,420,380 | ) | (2,275,300 | ) | |||||||||||||||
| Net realized gain (loss) on investments on TBA sale commitments |
5,722,656 | — | — | — | — | ||||||||||||||||||||
| Net realized gain (loss) on futures contracts |
12,489,421 | — | — | 6,169,368 | (526,553 | ) | |||||||||||||||||||
| Net realized gain (loss) on swaps |
6,353,207 | — | — | — | — | ||||||||||||||||||||
| Net realized gain (loss) on swaptions |
220,000 | — | — | — | — | ||||||||||||||||||||
| Net change in unrealized appreciation/depreciation on unaffiliated investments |
(552,212,571 | ) | (11,304,317 | ) | (4,234,264 | ) | (27,689,567 | ) | (1,506,612 | ) | |||||||||||||||
| Net change in unrealized appreciation/depreciation on affiliated investments |
(11,434,871 | ) | — | — | 50,719 | — | |||||||||||||||||||
| Net change in unrealized appreciation/depreciation on TBA sale commitments |
(4,430,900 | ) | — | — | — | — | |||||||||||||||||||
| Net change in unrealized appreciation/depreciation on futures contracts |
32,843,845 | — | — | (411,506 | ) | 79,580 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments |
(865,167,753 | ) | (14,362,969 | ) | (6,201,942 | ) | (58,301,366 | ) | (4,228,885 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net increase (decrease) in net assets resulting from operations |
($619,049,250 | ) | ($8,718,478 | ) | ($2,379,577 | ) | ($35,650,014 | ) | ($3,267,660 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| (a) | Statement has been consolidated. See Notes 1 in the Notes to Financial Statements for basis of consolidation. |
See accompanying notes which are an integral part of these financial statements.
33
Statements of Operations
For the Period Ended January 31, 2023
| UltraShort Income ETF (a) |
Income ETF (b) | |||||||||
| Investment Income |
||||||||||
| Interest |
$557,337 | $362,478 | ||||||||
|
|
|
|
|
|||||||
| Total Investment Income |
557,337 | 362,478 | ||||||||
|
|
|
|
|
|||||||
| Expenses |
||||||||||
| Investment Advisory (See Note 5) |
57,341 | 55,848 | ||||||||
|
|
|
|
|
|||||||
| Total Expenses |
57,341 | 55,848 | ||||||||
|
|
|
|
|
|||||||
| Fees contractually recouped (waived) by Adviser (See Note 5) |
(27,107 | ) | (11,283 | ) | ||||||
|
|
|
|
|
|||||||
| Net Expenses |
30,234 | 44,565 | ||||||||
|
|
|
|
|
|||||||
| Net Investment Income (Loss) |
527,103 | 317,913 | ||||||||
|
|
|
|
|
|||||||
| Realized and Unrealized Gain (Loss) on Investments |
||||||||||
| Net realized gain (loss) on investments |
11,525 | 29,404 | ||||||||
| Net change in unrealized appreciation/depreciation on investments |
222,611 | 289,071 | ||||||||
|
|
|
|
|
|||||||
| Net Realized and Unrealized Gain (Loss) on Investments |
234,136 | 318,475 | ||||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets resulting from operations |
$761,239 | $636,388 | ||||||||
|
|
|
|
|
|||||||
| (a) | Fund commenced operations on October 24, 2022. |
| (b) | Fund commenced operations on November 7, 2022. |
See accompanying notes which are an integral part of these financial statements.
34
Angel Oak Multi-Strategy Income Fund
Consolidated Statement of Cash Flows (a)
For the Year Ended January 31, 2023
| CASH FLOWS FROM OPERATING ACTIVITIES: |
|||||
| Net increase (decrease) in net assets resulting from operations |
($619,049,250 | ) | |||
| Net adjustments to reconcile net increase (decrease) 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 |
(16,694,957 | ) | |||
| Net realized paydown gains on mortgage backed and other asset backed securities |
(25,379,318 | ) | |||
| Sales of short-term investments, net |
333,263,459 | ||||
| Purchases of investments |
(732,625,670 | ) | |||
| Proceeds from sales of long-term investments |
3,821,332,769 | ||||
| Net realized (gain) loss on investments |
354,718,540 | ||||
| Net change in unrealized appreciation/depreciation on investments |
563,647,442 | ||||
| Proceeds from TBA sale commitments |
197,062,500 | ||||
| Repayments of TBA sale commitments |
(395,527,344 | ) | |||
| Net realized (gain) loss on investments on TBA sale commitments |
(5,722,656 | ) | |||
| Net change in unrealized appreciation/depreciation on TBA sale commitments |
4,430,900 | ||||
| Change in: |
|||||
| Receivable for investments sold |
209,544,347 | ||||
| Dividends and interest receivable |
8,729,697 | ||||
| Prepaid expenses |
75,946 | ||||
| Payable for investments purchased |
(145,631,841 | ) | |||
| Interest payable for credit and reverse repurchase agreements |
3,067,230 | ||||
| Payable to Adviser |
(3,163,413 | ) | |||
| Payable to administrator, fund accountant, and transfer agent |
(72,090 | ) | |||
| Payable to custodian |
(20,943 | ) | |||
| 12b-1 fees accrued |
(62,085 | ) | |||
| Other accrued expenses |
10,759 | ||||
|
|
|
||||
| Net cash provided by (used in) operating activities |
3,551,934,022 | ||||
|
|
|
||||
| CASH FLOWS FROM FINANCING ACTIVITIES: |
|||||
| Proceeds from shares sold |
1,956,902,926 | ||||
| Payment on shares redeemed |
(5,535,435,491 | ) | |||
| Distributions paid to shareholders |
(82,317,786 | ) | |||
| Proceeds from reverse repurchase agreements |
249,842,609 | ||||
| Repayments of reverse repurchase agreements |
(134,796,000 | ) | |||
|
|
|
||||
| Net cash provided by (used in) financing activities |
(3,545,803,742 | ) | |||
|
|
|
||||
| Net change in cash |
6,130,280 | ||||
|
|
|
||||
| CASH AND RESTRICTED CASH: |
|||||
| Beginning Balance |
7,354,889 | ||||
|
|
|
||||
| Ending Balance |
$13,485,169 | ||||
|
|
|
||||
| SUPPLEMENTAL DISCLOSURES: |
|||||
| Cash paid for interest |
$24,016,736 | ||||
| Cash held in money market investments |
119,722,714 | ||||
| Non-cash financing activities - distributions reinvested |
171,013,360 | ||||
| Non-cash financing activities - (increase) decrease in receivable for fund shares sold |
(23,774,830 | ) | |||
| Non-cash financing activities - increase (decrease) in payable for fund shares redeemed |
(17,792,520 | ) | |||
| RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE BEGINNING OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES: |
|||||
| Cash |
$1,331,676 | ||||
| Deposit at broker for reverse repurchase agreements |
2,742,000 | ||||
| Deposit at broker for futures |
3,311,696 | ||||
| Variation margin on futures contracts |
(30,483 | ) | |||
|
|
|
||||
| $7,354,889 | |||||
|
|
|
||||
| RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF YEAR 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 | |||||
|
|
|
| (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.
35
Angel Oak Multi-Strategy Income Fund
Consolidated Statements of Changes in Net Assets
| For the Year Ended January 31, 2023 (a) |
For the Year Ended January 31, 2022 (a) | |||||||||
| Increase (Decrease) in Net Assets due to: |
||||||||||
| Operations |
||||||||||
| Net investment income (loss) |
$246,118,503 | $323,269,065 | ||||||||
| Net realized gain (loss) on investment transactions, futures contracts, TBA sale commitments, and swaps |
(329,933,256 | ) | 10,939,721 | |||||||
| Net change in unrealized appreciation/depreciation on investments, TBA sale commitments, and futures contracts |
(535,234,497 | ) | (140,395,761 | ) | ||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets resulting from operations |
(619,049,250 | ) | 193,813,025 | |||||||
|
|
|
|
|
|||||||
| Distributions to Shareholders |
||||||||||
| Distributions, Class A |
(11,252,681 | ) | (17,292,024 | ) | ||||||
| Distributions, Class C |
(2,543,601 | ) | (3,008,479 | ) | ||||||
| Distributions, Institutional Class |
(237,275,677 | ) | (308,374,494 | ) | ||||||
|
|
|
|
|
|||||||
| Total distributions to shareholders |
(251,071,959 | ) | (328,674,997 | ) | ||||||
|
|
|
|
|
|||||||
| Capital Transactions – Class A |
||||||||||
| Proceeds from shares sold |
55,165,501 | 113,767,630 | ||||||||
| Reinvestment of distributions |
8,235,003 | 13,013,210 | ||||||||
| Amount paid for shares redeemed |
(207,857,948 | ) | (181,260,631 | ) | ||||||
|
|
|
|
|
|||||||
| Total Class A |
(144,457,444 | ) | (54,479,791 | ) | ||||||
|
|
|
|
|
|||||||
| Capital Transactions – Class C |
||||||||||
| Proceeds from shares sold |
2,927,281 | 8,258,202 | ||||||||
| Reinvestment of distributions |
1,916,694 | 2,240,601 | ||||||||
| Amount paid for shares redeemed |
(19,468,158 | ) | (25,344,980 | ) | ||||||
|
|
|
|
|
|||||||
| Total Class C |
(14,624,183 | ) | (14,846,177 | ) | ||||||
|
|
|
|
|
|||||||
| Capital Transactions – Institutional Class |
||||||||||
| Proceeds from shares sold |
1,922,584,974 | 3,512,961,877 | ||||||||
| Reinvestment of distributions |
160,861,663 | 224,826,130 | ||||||||
| Amount paid for shares redeemed |
(5,290,316,865 | ) | (2,718,565,354 | ) | ||||||
|
|
|
|
|
|||||||
| Total Institutional Class |
(3,206,870,228 | ) | 1,019,222,653 | |||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets resulting from capital transactions |
(3,365,951,855 | ) | 949,896,685 | |||||||
|
|
|
|
|
|||||||
| Total Increase (Decrease) in Net Assets |
(4,236,073,064 | ) | 815,034,713 | |||||||
|
|
|
|
|
|||||||
| Net Assets |
||||||||||
| Beginning of year |
7,226,998,964 | 6,411,964,251 | ||||||||
|
|
|
|
|
|||||||
| End of year |
$2,990,925,900 | $7,226,998,964 | ||||||||
|
|
|
|
|
|||||||
| Share Transactions – Class A |
||||||||||
| Shares sold |
5,945,445 | 10,926,212 | ||||||||
| Shares issued in reinvestment of distributions |
886,923 | 1,252,277 | ||||||||
| Shares redeemed |
(22,171,642 | ) | (17,436,419 | ) | ||||||
|
|
|
|
|
|||||||
| Total Class A |
(15,339,274 | ) | (5,257,930 | ) | ||||||
|
|
|
|
|
|||||||
| Share Transactions – Class C |
||||||||||
| Shares sold |
326,745 | 803,571 | ||||||||
| Shares issued in reinvestment of distributions |
210,355 | 217,730 | ||||||||
| Shares redeemed |
(2,142,240 | ) | (2,459,811 | ) | ||||||
|
|
|
|
|
|||||||
| Total Class C |
(1,605,140 | ) | (1,438,510 | ) | ||||||
|
|
|
|
|
|||||||
| Share Transactions – Institutional Class |
||||||||||
| Shares sold |
206,660,021 | 338,829,057 | ||||||||
| Shares issued in reinvestment of distributions |
17,289,202 | 21,692,531 | ||||||||
| Shares redeemed |
(567,448,144 | ) | (262,126,642 | ) | ||||||
|
|
|
|
|
|||||||
| Total Institutional Class |
(343,498,921 | ) | 98,394,946 | |||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in share transactions |
(360,443,335 | ) | 91,698,506 | |||||||
|
|
|
|
|
|||||||
| (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.
36
Angel Oak Financials Income Impact Fund
Statements of Changes in Net Assets
| For the Year Ended January 31, 2023 |
For the Year Ended January 31, 2022 | |||||||||
| Increase (Decrease) in Net Assets due to: |
||||||||||
| Operations |
||||||||||
| Net investment income (loss) |
$5,644,491 | $5,942,390 | ||||||||
| Net realized gain (loss) on investment transactions |
(3,058,652 | ) | 963,613 | |||||||
| Net change in unrealized appreciation/depreciation on investments |
(11,304,317 | ) | 1,603,657 | |||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets resulting from operations |
(8,718,478 | ) | 8,509,660 | |||||||
|
|
|
|
|
|||||||
| Distributions to Shareholders |
||||||||||
| Distributions, Class A |
(285,634 | ) | (111,005 | ) | ||||||
| Distributions, Class C |
(214,360 | ) | (114,065 | ) | ||||||
| Distributions, Institutional Class |
(5,252,982 | ) | (5,723,833 | ) | ||||||
|
|
|
|
|
|||||||
| Total distributions to shareholders |
(5,752,976 | ) | (5,948,903 | ) | ||||||
|
|
|
|
|
|||||||
| Capital Transactions – Class A |
||||||||||
| Proceeds from shares sold |
7,686,268 | 2,220,664 | ||||||||
| Reinvestment of distributions |
274,647 | 102,282 | ||||||||
| Amount paid for shares redeemed |
(5,545,874 | ) | (913,442 | ) | ||||||
|
|
|
|
|
|||||||
| Total Class A |
2,415,041 | 1,409,504 | ||||||||
|
|
|
|
|
|||||||
| Capital Transactions – Class C |
||||||||||
| Proceeds from shares sold |
6,121,420 | 463,088 | ||||||||
| Reinvestment of distributions |
167,176 | 82,346 | ||||||||
| Amount paid for shares redeemed |
(4,609,226 | ) | (2,734,308 | ) | ||||||
|
|
|
|
|
|||||||
| Total Class C |
1,679,370 | (2,188,874 | ) | |||||||
|
|
|
|
|
|||||||
| Capital Transactions – Institutional Class |
||||||||||
| Proceeds from shares sold |
36,906,252 | 60,879,854 | ||||||||
| Reinvestment of distributions |
2,707,443 | 3,282,293 | ||||||||
| Amount paid for shares redeemed |
(92,662,779 | ) | (41,849,423 | ) | ||||||
|
|
|
|
|
|||||||
| Total Institutional Class |
(53,049,084 | ) | 22,312,724 | |||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets resulting from capital transactions |
(48,954,673 | ) | 21,533,354 | |||||||
|
|
|
|
|
|||||||
| Total Increase (Decrease) in Net Assets |
(63,426,127 | ) | 24,094,111 | |||||||
|
|
|
|
|
|||||||
| Net Assets |
||||||||||
| Beginning of year |
166,747,409 | 142,653,298 | ||||||||
|
|
|
|
|
|||||||
| End of year |
$103,321,282 | $166,747,409 | ||||||||
|
|
|
|
|
|||||||
| Share Transactions – Class A |
||||||||||
| Shares sold |
891,756 | 246,833 | ||||||||
| Shares issued in reinvestment of distributions |
32,705 | 11,405 | ||||||||
| Shares redeemed |
(671,454 | ) | (102,033 | ) | ||||||
|
|
|
|
|
|||||||
| Total Class A |
253,007 | 156,205 | ||||||||
|
|
|
|
|
|||||||
| Share Transactions – Class C |
||||||||||
| Shares sold |
713,037 | 52,396 | ||||||||
| Shares issued in reinvestment of distributions |
20,128 | 9,286 | ||||||||
| Shares redeemed |
(568,783 | ) | (309,154 | ) | ||||||
|
|
|
|
|
|||||||
| Total Class C |
164,382 | (247,472 | ) | |||||||
|
|
|
|
|
|||||||
| Share Transactions – Institutional Class |
||||||||||
| Shares sold |
4,286,387 | 6,814,124 | ||||||||
| Shares issued in reinvestment of distributions |
319,221 | 366,628 | ||||||||
| Shares redeemed |
(10,940,708 | ) | (4,675,741 | ) | ||||||
|
|
|
|
|
|||||||
| Total Institutional Class |
(6,335,100 | ) | 2,505,011 | |||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in share transactions |
(5,917,711 | ) | 2,413,744 | |||||||
|
|
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
37
Angel Oak High Yield Opportunities Fund
Statements of Changes in Net Assets
| For the Year Ended January 31, 2023 |
For the Year Ended January 31, 2022 | |||||||||
| Increase (Decrease) in Net Assets due to: |
||||||||||
| Operations |
||||||||||
| Net investment income (loss) |
$3,822,365 | $3,780,159 | ||||||||
| Net realized gain (loss) on investment transactions |
(1,967,678 | ) | 636,570 | |||||||
| Net change in unrealized appreciation/depreciation on investments |
(4,234,264 | ) | (1,827,827 | ) | ||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets resulting from operations |
(2,379,577 | ) | 2,588,902 | |||||||
|
|
|
|
|
|||||||
| Distributions to Shareholders |
||||||||||
| Distributions, Class A |
(220,212 | ) | (198,482 | ) | ||||||
| Distributions, Institutional Class |
(3,644,808 | ) | (3,642,787 | ) | ||||||
|
|
|
|
|
|||||||
| Total distributions to shareholders |
(3,865,020 | ) | (3,841,269 | ) | ||||||
|
|
|
|
|
|||||||
| Capital Transactions – Class A |
||||||||||
| Proceeds from shares sold |
5,670,162 | 2,916,252 | ||||||||
| Reinvestment of distributions |
218,084 | 197,215 | ||||||||
| Amount paid for shares redeemed |
(6,869,415 | ) | (2,181,125 | ) | ||||||
|
|
|
|
|
|||||||
| Total Class A |
(981,169 | ) | 932,342 | |||||||
|
|
|
|
|
|||||||
| Capital Transactions – Institutional Class |
||||||||||
| Proceeds from shares sold |
8,512,748 | 4,653,761 | ||||||||
| Reinvestment of distributions |
738,044 | 757,305 | ||||||||
| Amount paid for shares redeemed |
(13,251,255 | ) | (2,985,257 | ) | ||||||
|
|
|
|
|
|||||||
| Total Institutional Class |
(4,000,463 | ) | 2,425,809 | |||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets resulting from capital transactions |
(4,981,632 | ) | 3,358,151 | |||||||
|
|
|
|
|
|||||||
| Total Increase (Decrease) in Net Assets |
(11,226,229 | ) | 2,105,784 | |||||||
|
|
|
|
|
|||||||
| Net Assets |
||||||||||
| Beginning of year |
74,337,459 | 72,231,675 | ||||||||
|
|
|
|
|
|||||||
| End of year |
$63,111,230 | $74,337,459 | ||||||||
|
|
|
|
|
|||||||
| Share Transactions – Class A |
||||||||||
| Shares sold |
535,154 | 245,813 | ||||||||
| Shares issued in reinvestment of distributions |
20,440 | 16,652 | ||||||||
| Shares redeemed |
(651,218 | ) | (183,742 | ) | ||||||
|
|
|
|
|
|||||||
| Total Class A |
(95,624 | ) | 78,723 | |||||||
|
|
|
|
|
|||||||
| Share Transactions – Institutional Class |
||||||||||
| Shares sold |
817,887 | 392,064 | ||||||||
| Shares issued in reinvestment of distributions |
69,592 | 64,201 | ||||||||
| Shares redeemed |
(1,266,858 | ) | (252,371 | ) | ||||||
|
|
|
|
|
|||||||
| Total Institutional Class |
(379,379 | ) | 203,894 | |||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in share transactions |
(475,003 | ) | 282,617 | |||||||
|
|
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
38
Angel Oak UltraShort Income Fund
Statements of Changes in Net Assets
| For the Year Ended January 31, 2023 (a) |
For the Year Ended January 31, 2022 | |||||||||
| Increase (Decrease) in Net Assets due to: |
||||||||||
| Operations |
||||||||||
| Net investment income (loss) |
$22,651,352 | $13,744,383 | ||||||||
| Net realized gain (loss) on investment transactions and futures contracts |
(30,251,012 | ) | (396,109 | ) | ||||||
| Net change in unrealized appreciation/depreciation on investments and futures contracts |
(28,050,354 | ) | (7,982,855 | ) | ||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets resulting from operations |
(35,650,014 | ) | 5,365,419 | |||||||
|
|
|
|
|
|||||||
| Distributions to Shareholders |
||||||||||
| Distributions, Class A |
(1,613,505 | ) | (1,370,158 | ) | ||||||
| Distributions, Class A1 |
(7,019 | ) | — | |||||||
| Distributions, Institutional Class |
(22,436,611 | ) | (15,915,163 | ) | ||||||
|
|
|
|
|
|||||||
| Total distributions to shareholders |
(24,057,135 | ) | (17,285,321 | ) | ||||||
|
|
|
|
|
|||||||
| Capital Transactions – Class A |
||||||||||
| Proceeds from shares sold |
79,194,866 | 173,304,337 | ||||||||
| Reinvestment of distributions |
1,461,291 | 1,266,990 | ||||||||
| Amount paid for shares redeemed |
(207,385,738 | ) | (68,418,315 | ) | ||||||
|
|
|
|
|
|||||||
| Total Class A |
(126,729,581 | ) | 106,153,012 | |||||||
|
|
|
|
|
|||||||
| Capital Transactions – Class A1 |
||||||||||
| Proceeds from shares sold |
515,011 | — | ||||||||
| Reinvestment of distributions |
7,018 | — | ||||||||
|
|
|
|
|
|||||||
| Total Class A1 |
522,029 | — | ||||||||
|
|
|
|
|
|||||||
| Capital Transactions – Institutional Class |
||||||||||
| Proceeds from shares sold |
629,850,657 | 1,725,634,613 | ||||||||
| Reinvestment of distributions |
17,077,383 | 12,276,225 | ||||||||
| Amount paid for shares redeemed |
(1,430,986,089 | ) | (1,031,046,901 | ) | ||||||
|
|
|
|
|
|||||||
| Total Institutional Class |
(784,058,049 | ) | 706,863,937 | |||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets resulting from capital transactions |
(910,265,601 | ) | 813,016,949 | |||||||
|
|
|
|
|
|||||||
| Total Increase (Decrease) in Net Assets |
(969,972,750 | ) | 801,097,047 | |||||||
|
|
|
|
|
|||||||
| Net Assets |
||||||||||
| Beginning of year or period |
1,663,870,018 | 862,772,971 | ||||||||
|
|
|
|
|
|||||||
| End of year or period |
$693,897,268 | $1,663,870,018 | ||||||||
|
|
|
|
|
|||||||
| Share Transactions – Class A |
||||||||||
| Shares sold |
8,128,678 | 17,237,092 | ||||||||
| Shares issued in reinvestment of distributions |
151,093 | 126,149 | ||||||||
| Shares redeemed |
(21,282,811 | ) | (6,810,400 | ) | ||||||
|
|
|
|
|
|||||||
| Total Class A |
(13,003,040 | ) | 10,552,841 | |||||||
|
|
|
|
|
|||||||
| Share Transactions – Class A1 |
||||||||||
| Shares sold |
53,053 | — | ||||||||
| Shares issued in reinvestment of distributions |
735 | — | ||||||||
|
|
|
|
|
|||||||
| Total Class A1 |
53,788 | — | ||||||||
|
|
|
|
|
|||||||
| Share Transactions – Institutional Class |
||||||||||
| Shares sold |
64,427,692 | 171,455,363 | ||||||||
| Shares issued in reinvestment of distributions |
1,764,255 | 1,220,931 | ||||||||
| Shares redeemed |
(146,914,639 | ) | (102,493,351 | ) | ||||||
|
|
|
|
|
|||||||
| Total Institutional Class |
(80,722,692 | ) | 70,182,943 | |||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in share transactions |
(93,671,944 | ) | 80,735,784 | |||||||
|
|
|
|
|
|||||||
| (a) | Class A1 commenced operations on July 22, 2022. |
See accompanying notes which are an integral part of these financial statements.
39
Angel Oak Total Return Bond Fund
Statements of Changes in Net Assets
| For the Year Ended January 31, 2023 |
For the Period Ended January 31, 2022 (a) | |||||||||
| Increase (Decrease) in Net Assets due to: |
||||||||||
| Operations |
||||||||||
| Net investment income (loss) |
$961,225 | $330,201 | ||||||||
| Net realized gain (loss) on investment transactions and futures contracts |
(2,801,853 | ) | (11,870 | ) | ||||||
| Net change in unrealized appreciation/depreciation on investments and futures contracts |
(1,427,032 | ) | (1,015,740 | ) | ||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets resulting from operations |
(3,267,660 | ) | (697,409 | ) | ||||||
|
|
|
|
|
|||||||
| Distributions to Shareholders |
||||||||||
| Distributions, Institutional Class |
(994,943 | ) | (368,515 | ) | ||||||
|
|
|
|
|
|||||||
| Total distributions to shareholders |
(994,943 | ) | (368,515 | ) | ||||||
|
|
|
|
|
|||||||
| Capital Transactions – Institutional Class |
||||||||||
| Proceeds from shares sold |
31,250 | 40,197,500 | ||||||||
| Reinvestment of distributions |
558 | 1,018 | ||||||||
| Amount paid for shares redeemed |
(116,137 | ) | — | |||||||
|
|
|
|
|
|||||||
| Total Institutional Class |
(84,329 | ) | 40,198,518 | |||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in net assets resulting from capital transactions |
(84,329 | ) | 40,198,518 | |||||||
|
|
|
|
|
|||||||
| Total Increase (Decrease) in Net Assets |
(4,346,932 | ) | 39,132,594 | |||||||
|
|
|
|
|
|||||||
| Net Assets |
||||||||||
| Beginning of year or period |
39,132,594 | — | ||||||||
|
|
|
|
|
|||||||
| End of year or period |
$34,785,662 | $39,132,594 | ||||||||
|
|
|
|
|
|||||||
| Share Transactions – Institutional Class |
||||||||||
| Shares sold |
3,235 | 4,004,770 | ||||||||
| Shares issued in reinvestment of distributions |
59 | 102 | ||||||||
| Shares redeemed |
(12,550 | ) | — | |||||||
|
|
|
|
|
|||||||
| Total Institutional Class |
(9,256 | ) | 4,004,872 | |||||||
|
|
|
|
|
|||||||
| Net increase (decrease) in share transactions |
(9,256 | ) | 4,004,872 | |||||||
|
|
|
|
|
|||||||
| (a) | Fund commenced operations on June 4, 2021. |
See accompanying notes which are an integral part of these financial statements.
40
Angel Oak UltraShort Income ETF
Statement of Changes in Net Assets
| For the Period Ended January 31, 2023 (a) | |||||
| Increase (Decrease) in Net Assets due to: |
|||||
| Operations |
|||||
| Net investment income (loss) |
$527,103 | ||||
| Net realized gain (loss) on investment transactions |
11,525 | ||||
| Net change in unrealized appreciation/depreciation on investments |
222,611 | ||||
|
|
|
||||
| Net increase (decrease) in net assets resulting from operations |
761,239 | ||||
|
|
|
||||
| Distributions to Shareholders |
|||||
| Distributions |
(316,786 | ) | |||
|
|
|
||||
| Total distributions to shareholders |
(316,786 | ) | |||
|
|
|
||||
| Capital Transactions |
|||||
| Proceeds from shares sold |
46,090,044 | ||||
|
|
|
||||
| Net increase (decrease) in net assets resulting from capital transactions |
46,090,044 | ||||
|
|
|
||||
| Total Increase (Decrease) in Net Assets |
46,534,497 | ||||
|
|
|
||||
| Net Assets |
|||||
| Beginning of period |
— | ||||
|
|
|
||||
| End of period |
$46,534,497 | ||||
|
|
|
||||
| Share Transactions |
|||||
| Shares sold |
920,000 | ||||
|
|
|
||||
| Net increase (decrease) in share transactions |
920,000 | ||||
|
|
|
||||
| (a) | Fund commenced operations on October 24, 2022. |
See accompanying notes which are an integral part of these financial statements.
41
Angel Oak Income ETF
Statement of Changes in Net Assets
| For the Period Ended January 31, 2023 (a) | |||||
| Increase (Decrease) in Net Assets due to: |
|||||
| Operations |
|||||
| Net investment income (loss) |
$317,913 | ||||
| Net realized gain (loss) on investment transactions |
29,404 | ||||
| Net change in unrealized appreciation/depreciation on investments |
289,071 | ||||
|
|
|
||||
| Net increase (decrease) in net assets resulting from operations |
636,388 | ||||
|
|
|
||||
| Distributions to Shareholders |
|||||
| Distributions |
(148,244 | ) | |||
|
|
|
||||
| Total distributions to shareholders |
(148,244 | ) | |||
|
|
|
||||
| Capital Transactions |
|||||
| Proceeds from shares sold |
33,148,155 | ||||
|
|
|
||||
| Net increase (decrease) in net assets resulting from capital transactions |
33,148,155 | ||||
|
|
|
||||
| Total Increase (Decrease) in Net Assets |
33,636,299 | ||||
|
|
|
||||
| Net Assets |
|||||
| Beginning of period |
— | ||||
|
|
|
||||
| End of period |
$33,636,299 | ||||
|
|
|
||||
| Share Transactions |
|||||
| Shares sold |
1,650,000 | ||||
|
|
|
||||
| Net increase (decrease) in share transactions |
1,650,000 | ||||
|
|
|
||||
| (a) | Fund commenced operations on November 7, 2022. |
See accompanying notes which are an integral part of these financial statements.
42
Angel Oak Multi-Strategy Income Fund – Class A
Consolidated Financial Highlights (a)
(For a share outstanding during each year)
| 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 |
$10.24 | $10.43 | $11.10 | $11.04 | $11.26 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Income from investment operations: |
|||||||||||||||||||||||||
| Net investment income (loss) |
0.48 | 0.47 | 0.46 | 0.50 | 0.52 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) on investments (b) |
(1.62 | ) | (0.19 | ) | (0.68 | ) | 0.06 | (0.22 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total from investment operations |
(1.14 | ) | 0.28 | (0.22 | ) | 0.56 | 0.30 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Less distributions to shareholders: |
|||||||||||||||||||||||||
| From net investment income |
(0.47 | ) | (0.47 | ) | (0.45 | ) | (0.50 | ) | (0.52 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total distributions |
(0.47 | ) | (0.47 | ) | (0.45 | ) | (0.50 | ) | (0.52 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value, end of year |
$8.63 | $10.24 | $10.43 | $11.10 | $11.04 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total return (c)(d) |
(11.28 | %) | 2.71 | % | (1.76 | %) | 5.08 | % | 2.72 | % | |||||||||||||||
| Ratios and Supplemental Data: |
|||||||||||||||||||||||||
| Net assets, end of year (000’s omitted) |
$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) |
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) |
1.23 | % | 1.20 | % | 1.21 | % | 1.20 | % | 1.20 | % | |||||||||||||||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e) |
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) |
1.21 | % | 1.19 | % | 1.19 | % | 1.19 | % | 1.22 | % | |||||||||||||||
| Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e) |
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) |
4.85 | % | 4.43 | % | 4.43 | % | 4.47 | % | 4.67 | % | |||||||||||||||
| Portfolio turnover rate (d) |
14.14 | % | 55.99 | % | 67.45 | % | 62.94 | % | 71.49 | % | |||||||||||||||
| (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 period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the 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.
43
Angel Oak Multi-Strategy Income Fund – Class C
Consolidated Financial Highlights (a)
(For a share outstanding during each year)
| 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 |
$10.13 | $10.34 | $11.00 | $10.95 | $11.17 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Income from investment operations: |
|||||||||||||||||||||||||
| Net investment income (loss) |
0.39 | 0.38 | 0.37 | 0.41 | 0.44 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) on investments (b) |
(1.58 | ) | (0.20 | ) | (0.66 | ) | 0.06 | (0.22 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total from investment operations |
(1.19 | ) | 0.18 | (0.29 | ) | 0.47 | 0.22 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Less distributions to shareholders: |
|||||||||||||||||||||||||
| From net investment income |
(0.40 | ) | (0.39 | ) | (0.37 | ) | (0.42 | ) | (0.44 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total distributions |
(0.40 | ) | (0.39 | ) | (0.37 | ) | (0.42 | ) | (0.44 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value, end of year |
$8.54 | $10.13 | $10.34 | $11.00 | $10.95 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total return (c)(d) |
(11.88 | %) | 1.78 | % | (2.41 | %) | 4.27 | % | 2.04 | % | |||||||||||||||
| Ratios and Supplemental Data: |
|||||||||||||||||||||||||
| Net assets, end of year (000’s omitted) |
$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) |
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) |
1.98 | % | 1.95 | % | 1.96 | % | 1.95 | % | 1.95 | % | |||||||||||||||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e) |
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) |
1.96 | % | 1.94 | % | 1.94 | % | 1.94 | % | 1.97 | % | |||||||||||||||
| Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e) |
4.17 | % | 3.69 | % | 3.67 | % | 3.70 | % | 3.94 | % | |||||||||||||||
| Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (e) |
4.19 | % | 3.70 | % | 3.69 | % | 3.71 | % | 3.92 | % | |||||||||||||||
| Portfolio turnover rate (d) |
14.14 | % | 55.99 | % | 67.45 | % | 62.94 | % | 71.49 | % | |||||||||||||||
| (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 period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the 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.
44
Angel Oak Multi-Strategy Income Fund – Institutional Class
Consolidated Financial Highlights (a)
(For a share outstanding during each year)
| 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 |
$10.21 | $10.41 | $11.08 | $11.02 | $11.23 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Income from investment operations: |
|||||||||||||||||||||||||
| Net investment income (loss) |
0.49 | 0.49 | 0.48 | 0.53 | 0.55 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) on investments (b) |
(1.59 | ) | (0.19 | ) | (0.68 | ) | 0.06 | (0.21 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total from investment operations |
(1.10 | ) | 0.30 | (0.20 | ) | 0.59 | 0.34 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Less distributions to shareholders: |
|||||||||||||||||||||||||
| From net investment income |
(0.50 | ) | (0.50 | ) | (0.47 | ) | (0.53 | ) | (0.55 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total distributions |
(0.50 | ) | (0.50 | ) | (0.47 | ) | (0.53 | ) | (0.55 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value, end of year |
$8.61 | $10.21 | $10.41 | $11.08 | $11.02 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total return (c) |
(10.98 | %) | 2.87 | % | (1.60 | %) | 5.45 | % | 3.05 | % | |||||||||||||||
| Ratios and Supplemental Data: |
|||||||||||||||||||||||||
| Net assets, end of year (000’s omitted) |
$2,793, | 964 | $6,820, | 115 | $5,927, | 510 | $7,153, | 385 | $6,555, | 291 | |||||||||||||||
| Ratio of expenses to average net assets before waiver and reimbursement/recoupment (d) |
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) |
0.98 | % | 0.95 | % | 0.96 | % | 0.95 | % | 0.95 | % | |||||||||||||||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d) |
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) |
0.96 | % | 0.94 | % | 0.94 | % | 0.94 | % | 0.97 | % | |||||||||||||||
| Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (d) |
5.03 | % | 4.69 | % | 4.65 | % | 4.70 | % | 4.94 | % | |||||||||||||||
| Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (d) |
5.05 | % | 4.70 | % | 4.67 | % | 4.71 | % | 4.92 | % | |||||||||||||||
| Portfolio turnover rate (c) |
14.14 | % | 55.99 | % | 67.45 | % | 62.94 | % | 71.49 | % | |||||||||||||||
| (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 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) | Annualized for periods less than one year. |
See accompanying notes which are an integral part of these financial statements.
45
Angel Oak Financials Income Impact Fund – Class A
Financial Highlights
(For a share outstanding during each year)
| 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 |
$8.96 | $8.80 | $9.60 | $9.33 | $9.45 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Income from investment operations: |
|||||||||||||||||||||||||
| Net investment income (loss) |
0.33 | 0.33 | 0.34 | 0.40 | 0.44 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) on investments (a) |
(0.82 | ) | 0.15 | (0.75 | ) | 0.27 | (0.13 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total from investment operations |
(0.49 | ) | 0.48 | (0.41 | ) | 0.67 | 0.31 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Less distributions to shareholders: |
|||||||||||||||||||||||||
| From net investment income |
(0.33 | ) | (0.32 | ) | (0.38 | ) | (0.40 | ) | (0.43 | ) | |||||||||||||||
| Return of capital |
— | — | (0.01 | ) | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total distributions |
(0.33 | ) | (0.32 | ) | (0.39 | ) | (0.40 | ) | (0.43 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value, end of year |
$8.14 | $8.96 | $8.80 | $9.60 | $9.33 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total return (b)(c) |
(5.59 | %) | 5.48 | % | (4.16 | %) | 7.39 | % | 3.36 | % | |||||||||||||||
| Ratios and Supplemental Data: |
|||||||||||||||||||||||||
| Net assets, end of year (000’s omitted) |
$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) |
1.44 | % | 1.35 | % | 1.39 | % | 1.34 | % | 1.42 | % | |||||||||||||||
| Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (d) |
1.43 | % | 1.35 | % | 1.37 | % | 1.34 | % | 1.42 | % | |||||||||||||||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d) |
0.95 | % | 0.94 | % | 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 | % | |||||||||||||||
| Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (d) |
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) |
3.78 | % | 3.55 | % | 4.06 | % | 4.18 | % | 4.70 | % | |||||||||||||||
| Portfolio turnover rate (c) |
11.00 | % | 32.33 | % | 29.83 | % | 35.55 | % | 45.27 | % | |||||||||||||||
| (a) | 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. |
| (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.
46
Angel Oak Financials Income Impact Fund – Class C
Financial Highlights
(For a share outstanding during each year)
| 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 |
$8.87 | $8.72 | $9.51 | $9.25 | $9.37 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Income from investment operations: |
|||||||||||||||||||||||||
| Net investment income (loss) |
0.25 | 0.24 | 0.30 | 0.34 | 0.37 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) on investments (a) |
(0.85 | ) | 0.16 | (0.76 | ) | 0.26 | (0.12 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total from investment operations |
(0.60 | ) | 0.40 | (0.46 | ) | 0.60 | 0.25 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Less distributions to shareholders: |
|||||||||||||||||||||||||
| From net investment income |
(0.26 | ) | (0.25 | ) | (0.32 | ) | (0.34 | ) | (0.37 | ) | |||||||||||||||
| Return of capital |
— | — | (0.01 | ) | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total distributions |
(0.26 | ) | (0.25 | ) | (0.33 | ) | (0.34 | ) | (0.37 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value, end of year |
$8.01 | $8.87 | $8.72 | $9.51 | $9.25 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total return (b)(c) |
(6.79 | %) | 4.63 | % | (4.79 | %) | 6.59 | % | 2.69 | % | |||||||||||||||
| Ratios and Supplemental Data: |
|||||||||||||||||||||||||
| Net assets, end of year (000’s omitted) |
$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) |
2.19 | % | 2.10 | % | 2.15 | % | 2.09 | % | 2.17 | % | |||||||||||||||
| Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (d) |
2.18 | % | 2.10 | % | 2.12 | % | 2.09 | % | 2.17 | % | |||||||||||||||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d) |
1.70 | % | 1.69 | % | 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 | % | |||||||||||||||
| Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (d) |
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) |
3.00 | % | 2.79 | % | 3.40 | % | 3.42 | % | 3.97 | % | |||||||||||||||
| Portfolio turnover rate (c) |
11.00 | % | 32.33 | % | 29.83 | % | 35.55 | % | 45.27 | % | |||||||||||||||
| (a) | 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. |
| (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.
47
Angel Oak Financials Income Impact Fund – Institutional Class
Financial Highlights
(For a share outstanding during each year)
| 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 |
$8.94 | $8.79 | $9.58 | $9.32 | $9.44 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Income from investment operations: |
|||||||||||||||||||||||||
| Net investment income (loss) |
0.34 | 0.34 | 0.38 | 0.43 | 0.46 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) on investments (a) |
(0.81 | ) | 0.15 | (0.76 | ) | 0.26 | (0.13 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total from investment operations |
(0.47 | ) | 0.49 | (0.38 | ) | 0.69 | 0.33 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Less distributions to shareholders: |
|||||||||||||||||||||||||
| From net investment income |
(0.35 | ) | (0.34 | ) | (0.40 | ) | (0.43 | ) | (0.45 | ) | |||||||||||||||
| Return of capital |
— | — | (0.01 | ) | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total distributions |
(0.35 | ) | (0.34 | ) | (0.41 | ) | (0.43 | ) | (0.45 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value, end of year |
$8.12 | $8.94 | $8.79 | $9.58 | $9.32 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total return (b) |
(5.37 | %) | 5.64 | % | (3.81 | %) | 7.55 | % | 3.61 | % | |||||||||||||||
| Ratios and Supplemental Data: |
|||||||||||||||||||||||||
| Net assets, end of year (000’s omitted) |
$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) |
1.19 | % | 1.10 | % | 1.14 | % | 1.09 | % | 1.17 | % | |||||||||||||||
| Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense (c) |
1.18 | % | 1.10 | % | 1.12 | % | 1.09 | % | 1.17 | % | |||||||||||||||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (c) |
0.70 | % | 0.69 | % | 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 | % | |||||||||||||||
| Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (c) |
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) |
3.99 | % | 3.79 | % | 4.34 | % | 4.42 | % | 4.96 | % | |||||||||||||||
| Portfolio turnover rate (b) |
11.00 | % | 32.33 | % | 29.83 | % | 35.55 | % | 45.27 | % | |||||||||||||||
| (a) | 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. |
| (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.
48
Angel Oak High Yield Opportunities Fund – Class A
Financial Highlights
(For a share outstanding during each year)
| 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 |
$11.59 | $11.78 | $11.76 | $11.39 | $12.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Income from investment operations: |
|||||||||||||||||||||||||
| Net investment income (loss) |
0.58 | 0.58 | 0.58 | 0.64 | 0.65 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) on investments (a) |
(0.96 | ) | (0.19 | ) | 0.03 | 0.37 | (0.61 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total from investment operations |
(0.38 | ) | 0.39 | 0.61 | 1.01 | 0.04 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Less distributions to shareholders: |
|||||||||||||||||||||||||
| From net investment income |
(0.58 | ) | (0.58 | ) | (0.59 | ) | (0.64 | ) | (0.65 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total distributions |
(0.58 | ) | (0.58 | ) | (0.59 | ) | (0.64 | ) | (0.65 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value, end of year |
$10.63 | $11.59 | $11.78 | $11.76 | $11.39 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total return (b)(c) |
(3.13 | %) | 3.34 | % | 5.68 | % | 9.08 | % | 0.41 | % | |||||||||||||||
| Ratios and Supplemental Data: |
|||||||||||||||||||||||||
| Net assets, end of year (000’s omitted) |
$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) |
1.23 | % | 1.14 | % | 1.14 | % | 1.14 | % | 1.24 | % | |||||||||||||||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d) |
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) |
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) |
5.36 | % | 4.84 | % | 5.42 | % | 5.44 | % | 5.62 | % | |||||||||||||||
| Portfolio turnover rate (c) |
33.48 | % | 38.15 | % | 58.02 | % | 35.80 | % | 33.27 | % | |||||||||||||||
| (a) | 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. |
| (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.
49
Angel Oak High Yield Opportunities Fund – Institutional Class
Financial Highlights
(For a share outstanding during each year)
| 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 |
$11.54 | $11.73 | $11.71 | $11.35 | $11.95 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Income from investment operations: |
|||||||||||||||||||||||||
| Net investment income (loss) |
0.60 | 0.60 | 0.63 | 0.67 | 0.69 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) on investments (a) |
(0.95 | ) | (0.18 | ) | 0.01 | 0.36 | (0.61 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total from investment operations |
(0.35 | ) | 0.42 | 0.64 | 1.03 | 0.08 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Less distributions to shareholders: |
|||||||||||||||||||||||||
| From net investment income |
(0.61 | ) | (0.61 | ) | (0.62 | ) | (0.67 | ) | (0.68 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total distributions |
(0.61 | ) | (0.61 | ) | (0.62 | ) | (0.67 | ) | (0.68 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value, end of year |
$10.58 | $11.54 | $11.73 | $11.71 | $11.35 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total return (b) |
(2.89 | %) | 3.62 | % | 5.97 | % | 9.28 | % | 0.74 | % | |||||||||||||||
| Ratios and Supplemental Data: |
|||||||||||||||||||||||||
| Net assets, end of year (000’s omitted) |
$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) |
0.98 | % | 0.89 | % | 0.89 | % | 0.89 | % | 0.99 | % | |||||||||||||||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (c) |
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) |
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) |
5.64 | % | 5.10 | % | 5.65 | % | 5.76 | % | 5.93 | % | |||||||||||||||
| Portfolio turnover rate (b) |
33.48 | % | 38.15 | % | 58.02 | % | 35.80 | % | 33.27 | % | |||||||||||||||
| (a) | 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. |
| (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.
50
Angel Oak UltraShort Income Fund – Class A
Financial Highlights
(For a share outstanding during each year or period)
| 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 |
$10.00 | $10.08 | $10.12 | $10.02 | $10.01 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Income from investment operations: |
|||||||||||||||||||||||||
| Net investment income (loss) |
0.12 | 0.08 | 0.19 | 0.29 | 0.20 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) on investments (b) |
(0.36 | ) | (0.05 | ) | (0.04 | ) | 0.10 | 0.01 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total from investment operations |
(0.24 | ) | 0.03 | 0.15 | 0.39 | 0.21 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Less distributions to shareholders: |
|||||||||||||||||||||||||
| From net investment income |
(0.20 | ) | (0.11 | ) | (0.19 | ) | (0.29 | ) | (0.20 | ) | |||||||||||||||
| From net realized gain |
— | — | — | — | — | (c) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total distributions |
(0.20 | ) | (0.11 | ) | (0.19 | ) | (0.29 | ) | (0.20 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value, end of year or period |
$9.56 | $10.00 | $10.08 | $10.12 | $10.02 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total return (d) |
(2.42 | %) | 0.27 | % | 1.52 | % | 3.92 | % | 2.12 | % | |||||||||||||||
| Ratios and Supplemental Data: |
|||||||||||||||||||||||||
| Net assets, end of year or period (000’s omitted) |
$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) |
0.79 | % | 0.78 | % | 0.79 | % | 0.84 | % | 0.94 | % | |||||||||||||||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e) |
0.60 | % | 0.56 | % | 0.51 | % | 0.50 | % | 0.50 | % | |||||||||||||||
| Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e) |
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) |
1.70 | % | 0.78 | % | 1.73 | % | 2.56 | % | 2.76 | % | |||||||||||||||
| Portfolio turnover rate (d) |
30.51 | % | 91.83 | % | 81.48 | % | 156.42 | % | 178.59 | % | |||||||||||||||
| (a) | Class commenced operations on April 30, 2018. |
| (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) | 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.
51
Angel Oak UltraShort Income Fund – Class A1
Financial Highlights
(For a share outstanding during each period)
| For the Period Ended January 31, 2023 (a) | |||||
| Selected Per Share Data: |
|||||
| Net asset value, beginning of period |
$9.70 | ||||
|
|
|
||||
| Income from investment operations: |
|||||
| Net investment income (loss) |
0.13 | ||||
| Net realized and unrealized gain (loss) on investments (b) |
(0.14 | ) | |||
|
|
|
||||
| Total from investment operations |
(0.01 | ) | |||
|
|
|
||||
| Less distributions to shareholders: |
|||||
| From net investment income |
(0.14 | ) | |||
|
|
|
||||
| Total distributions |
(0.14 | ) | |||
|
|
|
||||
| Net asset value, end of period |
$9.55 | ||||
|
|
|
||||
| Total return (c)(d) |
(0.25 | %) | |||
| Ratios and Supplemental Data: |
|||||
| Net assets, end of period (000’s omitted) |
$513 | ||||
| Ratio of expenses to average net assets before waiver and reimbursement/recoupment (e) |
0.79 | % | |||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e) |
0.60 | % | |||
| Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e) |
2.32 | % | |||
| Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (e) |
2.51 | % | |||
| Portfolio turnover rate |
30.51 | % (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 year. |
See accompanying notes which are an integral part of these financial statements.
52
Angel Oak UltraShort Income Fund – Institutional Class
Financial Highlights
(For a share outstanding during each year or period)
| 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 |
$10.01 | $10.09 | $10.12 | $10.02 | $10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Income from investment operations: |
|||||||||||||||||||||||||
| Net investment income (loss) |
0.19 | 0.11 | 0.21 | 0.31 | 0.24 | ||||||||||||||||||||
| Net realized and unrealized gain (loss) on investments (b) |
(0.41 | ) | (0.06 | ) | (0.03 | ) | 0.10 | 0.02 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total from investment operations |
(0.22 | ) | 0.05 | 0.18 | 0.41 | 0.26 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Less distributions to shareholders: |
|||||||||||||||||||||||||
| From net investment income |
(0.23 | ) | (0.13 | ) | (0.21 | ) | (0.31 | ) | (0.24 | ) | |||||||||||||||
| From net realized gain |
— | — | — | — | — | (c) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total distributions |
(0.23 | ) | (0.13 | ) | (0.21 | ) | (0.31 | ) | (0.24 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Net asset value, end of year or period |
$9.56 | $10.01 | $10.09 | $10.12 | $10.02 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
| Total return (d) |
(2.24 | %) | 0.51 | % | 1.87 | % | 4.16 | % | 2.60 | % | |||||||||||||||
| Ratios and Supplemental Data: |
|||||||||||||||||||||||||
| Net assets, end of year or period (000’s omitted) |
$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) |
0.54 | % | 0.53 | % | 0.54 | % | 0.59 | % | 0.77 | % | |||||||||||||||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (e) |
0.35 | % | 0.31 | % | 0.26 | % | 0.25 | % | 0.26 | % | |||||||||||||||
| Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (e) |
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) |
2.01 | % | 1.04 | % | 1.95 | % | 2.92 | % | 2.88 | % | |||||||||||||||
| Portfolio turnover rate (d) |
30.51 | % | 91.83 | % | 81.48 | % | 156.42 | % | 178.59 | % | |||||||||||||||
| (a) | Class commenced operations on April 2, 2018. |
| (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) | 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.
53
Angel Oak Total Return Bond Fund – Institutional Class
Financial Highlights
(For a share outstanding during each year or period)
| 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 |
$9.77 | $10.00 | ||||||||
|
|
|
|
|
|||||||
| Income from investment operations: |
||||||||||
| Net investment income (loss) |
0.24 | 0.09 | ||||||||
| Net realized and unrealized gain (loss) on investments (b) |
(1.05 | ) | (0.22 | ) | ||||||
|
|
|
|
|
|||||||
| Total from investment operations |
(0.81 | ) | (0.13 | ) | ||||||
|
|
|
|
|
|||||||
| Less distributions to shareholders: |
||||||||||
| From net investment income |
(0.25 | ) | (0.10 | ) | ||||||
|
|
|
|
|
|||||||
| Total distributions |
(0.25 | ) | (0.10 | ) | ||||||
|
|
|
|
|
|||||||
| Net asset value, end of year or period |
$8.71 | $9.77 | ||||||||
|
|
|
|
|
|||||||
| Total return (c) |
(8.32 | %) | (1.28 | %) | ||||||
| Ratios and Supplemental Data: |
||||||||||
| Net assets, end of year or period (000’s omitted) |
$34,7 | 86 | $39,1 | 33 | ||||||
| Ratio of expenses to average net assets before waiver and reimbursement/recoupment (d) |
1.17 | % | 0.97 | % | ||||||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (d) |
0.58 | % | 0.59 | % | ||||||
| Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (d) |
2.08 | % | 1.06 | % | ||||||
| Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (d) |
2.67 | % | 1.44 | % | ||||||
| Portfolio turnover rate (c) |
52.65 | % | 21.55 | % | ||||||
| (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 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) | Annualized for periods less than one year. |
See accompanying notes which are an integral part of these financial statements.
54
Angel Oak UltraShort Income ETF
Financial Highlights
(For a share outstanding during each period)
| For the Period Ended January 31, 2023 (a) | |||||
| Selected Per Share Data: |
|||||
| Net asset value, beginning of period |
$50.00 | ||||
|
|
|
||||
| Income from investment operations: |
|||||
| Net investment income (loss) |
0.69 | (b) | |||
| Net realized and unrealized gain (loss) on investments (c) |
0.27 | ||||
|
|
|
||||
| Total from investment operations |
0.96 | ||||
|
|
|
||||
| Less distributions to shareholders: |
|||||
| From net investment income |
(0.38 | ) | |||
|
|
|
||||
| Total distributions |
(0.38 | ) | |||
|
|
|
||||
| Net asset value, end of period |
$50.58 | ||||
|
|
|
||||
| Total return on net asset value (d)(e) |
1.92 | % | |||
| Total return on market value (d)(f) |
1.90 | % | |||
| Ratios and Supplemental Data: |
|||||
| Net assets, end of period (000’s omitted) |
$46,5 | 34 | |||
| Ratio of expenses to average net assets before waiver and reimbursement/recoupment (g) |
0.55 | % | |||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (g) |
0.29 | % | |||
| Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (g) |
4.80 | % | |||
| Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (g) |
5.06 | % | |||
| Portfolio turnover rate (d) |
22.80 | % | |||
| (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.
55
Angel Oak Income ETF
Financial Highlights
(For a share outstanding during each period)
| For the Period Ended January 31, 2023 (a) | |||||
| Selected Per Share Data: |
|||||
| Net asset value, beginning of period |
$20.00 | ||||
|
|
|
||||
| Income from investment operations: |
|||||
| Net investment income (loss) |
0.26 | (b) | |||
| Net realized and unrealized gain (loss) on investments (c) |
0.23 | ||||
|
|
|
||||
| Total from investment operations |
0.49 | ||||
|
|
|
||||
| Less distributions to shareholders: |
|||||
| From net investment income |
(0.10 | ) | |||
|
|
|
||||
| Total distributions |
(0.10 | ) | |||
|
|
|
||||
| Net asset value, end of period |
$20.39 | ||||
|
|
|
||||
| Total return on net asset value (d)(e) |
2.41 | % | |||
| Total return on market value (d)(f) |
2.49 | % | |||
| Ratios and Supplemental Data: |
|||||
| Net assets, end of period (000’s omitted) |
$33,6 | 36 | |||
| Ratio of expenses to average net assets before waiver and reimbursement/recoupment (g) |
0.99 | % | |||
| Ratio of expenses to average net assets after waiver and reimbursement/recoupment (g) |
0.79 | % | |||
| Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment (g) |
5.44 | % | |||
| Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (g) |
5.64 | % | |||
| Portfolio turnover rate (d) |
59.43 | % | |||
| (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 Statement 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.
56
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – 12.31% |
||||||||
| ACC Trust, Series 2022-1, Class D, 6.650%, 10/20/2028 (a) |
$1,500,000 | $1,434,528 | ||||||
| Affirm Asset Securitization Trust, Series 2021-B, Class D, 2.540%, 8/17/2026 (a) |
4,500,000 | 3,984,907 | ||||||
| Affirm Asset Securitization Trust, Series 2021-B, Class E, 4.610%, 8/17/2026 (a) |
2,900,000 | 2,519,720 | ||||||
| American Credit Acceptance Receivables Trust, Series 2021-1,
Class F, |
650,000 | 612,810 | ||||||
| American Credit Acceptance Receivables Trust, Series 2021-4,
Class E, |
1,000,000 | 853,644 | ||||||
| American Credit Acceptance Receivables Trust, Series 2022-1,
Class F, |
1,540,000 | 1,278,554 | ||||||
| American Credit Acceptance Receivables Trust, Series 2023-1,
Class D, |
750,000 | 750,940 | ||||||
| Aqua Finance Trust, Series 2021-A, Class C, 3.140%, 7/17/2046 (a) |
1,700,000 | 1,327,341 | ||||||
| Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A,
Class D, |
500,000 | 457,295 | ||||||
| Avant Credit Card Master Trust, Series 2021-1A, Class C, 2.160%, 4/15/2027 (a) |
2,500,000 | 2,291,520 | ||||||
| Avant Loans Funding Trust, Series 2021-REV1, Class B, 1.640%, 7/15/2030 (a) |
1,793,000 | 1,691,825 | ||||||
| Avid Automobile Receivables Trust, Series 2021-1, Class D, 1.990%, 4/17/2028 (a) |
1,570,000 | 1,442,233 | ||||||
| Avis Budget Rental Car Funding LLC, Series 2019-2A, Class D, 3.040%, 9/20/2025 (a)(c) |
5,250,000 | 4,822,671 | ||||||
| Avis Budget Rental Car Funding LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026 (a)(c) |
5,250,000 | 4,634,217 | ||||||
| Avis Budget Rental Car Funding LLC, Series 2023-1A, Class B, 6.080%, 4/20/2029 (a) |
700,000 | 707,929 | ||||||
| BHG Securitization Trust, Series 2021-B, Class D, 3.170%, 10/17/2034 (a) |
1,170,000 | 961,751 | ||||||
| CAL Receivables LLC, Series 2022-1, Class B, |
8,080,000 | 7,915,992 | ||||||
| CarMax Auto Owner Trust, Series 2023-1, Class D, 6.270%, 11/15/2029 |
1,750,000 | 1,751,666 | ||||||
| Carvana Auto Receivables Trust, Series 2021-N1, Class E, 2.880%, 1/10/2028 (a) |
3,300,000 | 2,958,358 | ||||||
| Carvana Auto Receivables Trust, Series 2021-N1, Class F, 4.550%, 1/10/2028 (a) |
2,500,000 | 2,183,440 | ||||||
| Carvana Auto Receivables Trust, Series 2021-N2, Class E, 2.900%, 3/10/2028 (a)(c) |
30,900,000 | 26,635,985 | ||||||
| Carvana Auto Receivables Trust, Series 2021-P2, Class D, 2.020%, 5/10/2028 (c) |
5,000,000 | 4,253,425 | ||||||
| Carvana Auto Receivables Trust, Series 2021-N3, Class E, 3.160%, 6/12/2028 (a) |
7,310,000 | 6,202,023 | ||||||
| Carvana Auto Receivables Trust, Series 2021-N4, Class E, 4.530%, 9/10/2028 (a) |
6,870,000 | 5,992,309 | ||||||
| Carvana Auto Receivables Trust, Series 2022-N1, Class E, 6.010%, 12/10/2028 (a) |
1,650,000 | 1,480,197 | ||||||
| Carvana Auto Receivables Trust, Series 2022-P2, Class D, 6.280%, 5/10/2029 |
1,500,000 | 1,502,491 | ||||||
| Chase Auto Credit Linked Notes, Series 2021-2, Class E, 2.280%, 12/25/2028 (a) |
503,415 | 483,759 | ||||||
| Conn’s Receivables Funding LLC, Series 2022-A, Class B, 9.520%, 12/15/2026 (a) |
500,000 | 500,791 | ||||||
| Consumer Loan Underlying Bond Credit Trust, Series 2017-P2, Class CL1, 1/15/2024 (a)(e) |
125,000 | 43,823 | ||||||
| Continental Credit Card ABS LLC, Series 2019-1A, Class B, 4.950%, 8/15/2026 (a) |
3,700,000 | 3,456,000 | ||||||
| Continental Finance Credit Card ABS Master Trust, Series 2020-1A,
Class A, |
1,500,000 | 1,428,794 | ||||||
| Continental Finance Credit Card ABS Master Trust, Series 2020-1A,
Class B, |
1,500,000 | 1,377,384 | ||||||
| Continental Finance Credit Card ABS Master Trust, Series 2020-1A,
Class C, |
1,700,000 | 1,556,547 | ||||||
| CPS Auto Receivables Trust, Series 2021-B, Class E, 3.410%, 6/15/2028 (a) |
7,750,000 | 6,689,219 | ||||||
| CPS Auto Receivables Trust, Series 2022-A, Class E, 4.880%, 4/16/2029 (a)(c) |
5,400,000 | 4,597,096 | ||||||
| CPS Auto Receivables Trust, Series 2023-A, Class D, 6.440%, 4/16/2029 (a) |
1,000,000 | 1,001,450 | ||||||
| DT Auto Owner Trust, Series 2022-2A, Class D, 5.460%, 3/15/2028 (a) |
700,000 | 684,895 | ||||||
| DT Auto Owner Trust, Series 2021-4A, Class E, 3.340%, 7/17/2028 (a) |
3,000,000 | 2,536,398 | ||||||
| DT Auto Owner Trust, Series 2021-3A, Class E, 2.650%, 9/15/2028 (a)(c) |
5,250,000 | 4,356,335 | ||||||
| DT Auto Owner Trust, Series 2023-1A, Class D, 8.080%, 11/15/2028 (a) |
750,000 | 747,657 | ||||||
See accompanying notes which are an integral part of these financial statements.
57
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – (continued) |
||||||||
| Exeter Automobile Receivables Trust, Series 2021-4A, Class E, 4.020%, 1/17/2028 (a)(c) |
$ | 7,550,000 | $ | 6,673,347 | ||||
| Exeter Automobile Receivables Trust, Series 2022-4A, Class D, 5.980%, 12/15/2028 |
1,000,000 | 987,300 | ||||||
| Exeter Automobile Receivables Trust, Series 2022-1A, Class E, 5.020%, 10/15/2029 (a) |
2,000,000 | 1,662,740 | ||||||
| Exeter Automobile Receivables Trust, Series 2022-4A, Class E, 8.230%, 3/15/2030 (a) |
1,200,000 | 1,114,840 | ||||||
| Fat Brands Fazoli’s Native LLC, Series 2021-1, Class A2, 6.000%, 7/25/2051 (a) |
2,000,000 | 1,755,756 | ||||||
| First Investors Auto Owner Trust, Series 2021-1A, Class E, 3.350%, 4/15/2027 (a) |
1,000,000 | 861,351 | ||||||
| First Investors Auto Owner Trust, Series 2022-1A, Class E, 5.410%, 6/15/2029 (a) |
1,750,000 | 1,533,385 | ||||||
| Flagship Credit Auto Trust, Series 2020-1, Class E, 3.520%, 6/15/2027 (a) |
839,000 | 709,563 | ||||||
| Flagship Credit Auto Trust, Series 2020-4, Class E, 3.840%, 7/17/2028 (a)(c) |
10,700,000 | 10,043,940 | ||||||
| Flagship Credit Auto Trust, Series 2022-3, Class D, 6.000%, 7/17/2028 (a) |
2,000,000 | 1,968,634 | ||||||
| Flagship Credit Auto Trust, Series 2021-2, Class E, 3.160%, 9/15/2028 (a) |
4,100,000 | 3,416,797 | ||||||
| Flagship Credit Auto Trust, Series 2021-4, Class E, 4.030%, 3/15/2029 (a) |
4,000,000 | 3,255,068 | ||||||
| Flagship Credit Auto Trust, Series 2022-1, Class E, 5.370%, 6/15/2029 (a) |
1,500,000 | 1,297,427 | ||||||
| Foundation Finance Trust, Series 2021-1A, Class A, 1.270%, 5/15/2041 (a) |
1,463,145 | 1,305,367 | ||||||
| Foundation Finance Trust, Series 2021-1A, Class B, 1.870%, 5/15/2041 (a)(c) |
5,000,000 | 4,306,060 | ||||||
| Foundation Finance Trust, Series 2021-2A, Class D, 5.730%, 1/15/2042 (a) |
1,590,000 | 1,451,538 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2021-1,
Class E, |
5,105,000 | 4,336,100 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2020-1,
Class F, |
1,250,000 | 1,228,646 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2021-2,
Class E, |
2,500,000 | 2,072,465 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2021-2,
Class F, |
900,000 | 755,481 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2022-1,
Class E, |
4,500,000 | 3,814,722 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2022-2,
Class D, |
1,300,000 | 1,320,014 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2023-1, Class D, 2/15/2030 |
2,380,000 | 2,379,137 | ||||||
| FREED ABS Trust, Series 2022-3FP, Class D, 7.360%, 8/20/2029 (a) |
500,000 | 502,934 | ||||||
| GLS Auto Receivables Issuer Trust, Series 2021-2A, Class E, 2.870%, 5/15/2028 (a) |
2,000,000 | 1,664,808 | ||||||
| GLS Auto Receivables Issuer Trust, Series 2021-3A, Class E, 3.200%, 10/16/2028 (a) |
7,500,000 | 6,554,370 | ||||||
| GLS Auto Receivables Issuer Trust, Series 2021-4A, Class E, 4.430%, 10/16/2028 (a)(c) |
5,000,000 | 4,211,415 | ||||||
| Goldman Home Improvement Trust, Series 2021-GRN2, Class D, 4.000%, 6/25/2051 (a) |
2,621,000 | 2,302,121 | ||||||
| Goldman Home Improvement Trust, Series 2021-GRN2, Class C, 2.770%, 6/26/2051 (a) |
9,644,000 | 8,488,668 | ||||||
| Goodgreen Trust, Series 2017-2A, Class A, 3.260%, 10/15/2053 (a) |
3,951,483 | 3,588,966 | ||||||
| GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS,
Class A, |
1,216,364 | 973,035 | ||||||
| Helios Issuer LLC, Series 2021-B, Class A, 1.620%, 7/20/2048 (a) |
2,385,077 | 1,961,120 | ||||||
| Hertz Vehicle Financing LLC, Series 2021-1A, Class D, 3.980%, 12/25/2025 (a)(c) |
18,000,000 | 16,550,118 | ||||||
| Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026 (a) |
3,800,000 | 3,609,776 | ||||||
| Hertz Vehicle Financing LLC, Series 2022-2A, Class B, 2.650%, 6/25/2028 (a) |
650,000 | 580,472 | ||||||
| Hertz Vehicle Financing LP, Series 2021-2A, Class D, 4.340%, 12/25/2027 (a) |
4,185,000 | 3,610,517 | ||||||
| JP Morgan Chase Bank, Series 2020-1, Class E, 3.715%, 1/25/2028 (a) |
128,225 | 127,208 | ||||||
| LendingClub Receivables Trust, Series 2019-7, Class R2, 1/15/2027 (a)(e) |
1,779,730 | 293,746 | ||||||
| LendingClub Receivables Trust, Series 2019-7, Class R1, 1/15/2027 (a)(e) |
8,702,377 | 1,436,335 | ||||||
| LendingClub Receivables Trust, Series 2019-1, Class CERT, 6.000%, 7/17/2045 (a) |
932,340 | 4,927,344 | ||||||
| LendingClub Receivables Trust, Series 2020-6A, Class A, 2.750%, 11/15/2047 (a) |
173,761 | 173,487 | ||||||
| Lendingpoint Asset Securitization Trust, Series 2022-A, Class E, 7.020%, 6/15/2029 (a)(e) |
3,320,000 | 1,923,900 | ||||||
See accompanying notes which are an integral part of these financial statements.
58
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – (continued) |
||||||||
| Lendingpoint Asset Securitization Trust, Series 2022-B, Class C, 8.450%, 10/15/2029 (a) |
$ | 1,800,000 | $ | 1,667,732 | ||||
| LendingPoint Asset Securitization Trust, Series 2021-B, Class C, 3.210%, 2/15/2029 (a) |
2,000,000 | 1,820,302 | ||||||
| LendingPoint Pass-Through Trust, Series 2022-ST3, Class CERT, 5/15/2028 (a)(e) |
1,576,000 | 1,006,692 | ||||||
| Marlette Funding Trust, Series 2022-2A, Class D, 7.500%, 8/15/2032 (a) |
500,000 | 494,224 | ||||||
| Marlette Funding Trust, Series 2022-3A, Class D, 7.800%, 11/15/2032 (a) |
1,000,000 | 1,008,388 | ||||||
| Mosaic Solar Loan Trust, Series 2019-1A, Class B, 12/21/2043 (a)(f) |
1,245,122 | 1,116,054 | ||||||
| Mosaic Solar Loan Trust, Series 2021-2A, Class B, 2.090%, 4/22/2047 (a) |
1,029,750 | 762,723 | ||||||
| Newtek Small Business Loan Trust, Series 2018-1,
Class B, |
1,090,303 | 1,097,729 | ||||||
| Oportun Issuance Trust, Series 2022-A, Class C, 7.400%, 6/9/2031 (a) |
400,000 | 381,623 | ||||||
| Pagaya AI Debt Selection Trust, Series 2021-1, Class C, 4.090%, 11/15/2027 (a) |
8,596,456 | 7,502,411 | ||||||
| Pagaya AI Debt Selection Trust, Series 2021-3, Class C, 3.270%, 5/15/2029 (a) |
3,299,820 | 2,869,982 | ||||||
| Pagaya AI Debt Selection Trust, Series 2022-1, Class B, 3.344%, 10/15/2029 (a)(c) |
6,999,074 | 6,401,633 | ||||||
| Pagaya AI Debt Selection Trust, Series 2022-1, Class C, 4.888%, 10/15/2029 (a) |
7,099,061 | 6,035,991 | ||||||
| Pagaya AI Debt Selection Trust, Series 2022-3, Class B, 8.050%, 3/15/2030 (a) |
1,200,000 | 1,205,370 | ||||||
| Pagaya AI Debt Trust, Series 2022-5, Class B, 10.310%, 6/17/2030 (a) |
1,400,000 | 1,434,721 | ||||||
| Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B, 5.281%, 5/17/2032 (a) |
1,079,486 | 1,052,694 | ||||||
| Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class C, 6.986%, 12/15/2032 (a) |
1,820,238 | 1,837,618 | ||||||
| Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class D, 8.197%, 12/15/2032 (a) |
1,341,228 | 1,358,903 | ||||||
| Santander Consumer Auto Receivables Trust, Series 2021-AA, Class E, 3.280%, 3/15/2027 (a) |
1,750,000 | 1,582,928 | ||||||
| Santander Consumer Auto Receivables Trust, Series 2021-AA, Class F, 5.790%, 8/15/2028 (a) |
500,000 | 429,246 | ||||||
| Skopos Auto Receivables Trust, Series 2019-1A, Class E, 7.820%, 6/15/2026 (a) |
2,650,000 | 2,608,845 | ||||||
| Stone Street Receivables Funding LLC, Series 2015-1A, Class C, 5.600%, 12/15/2054 (a) |
648,024 | 563,496 | ||||||
| Theorem Funding Trust, Series 2022-2A, Class B, 9.270%, 12/15/2028 (a) |
3,700,000 | 3,795,945 | ||||||
| Tricolor Auto Securitization Trust, Series 2022-1A, Class F, 9.800%, 7/16/2029 (a) |
2,520,000 | 2,463,474 | ||||||
| UNIFY Auto Receivables Trust, Series 2021-1A, Class B, 1.290%, 11/16/2026 (a) |
5,000,000 | 4,610,380 | ||||||
| United Auto Credit Securitization Trust, Series 2021-1, Class F, 4.300%, 9/10/2027 (a) |
1,035,000 | 942,301 | ||||||
| Upgrade Master Pass-Thru Trust, Series 2019-ST3, Class A, 3.750%, 11/15/2025 (a) |
294,576 | 294,602 | ||||||
| Upgrade Master Pass-Thru Trust, Series 2019-ST4, Class A, 3.750%, 12/15/2025 (a) |
28,862 | 28,891 | ||||||
| Upgrade Master Pass-Thru Trust, Series 2021-PT2, Class A, 4.971%, 5/15/2027 (a)(g) |
7,753,437 | 6,833,174 | ||||||
| Upstart Pass-Through Trust, Series 2020-ST4, Class CERT, 11/20/2026 (a)(e) |
3,500,000 | 931,315 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST4, Class CERT, 7/20/2027 (a)(e) |
1,475,000 | 549,088 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST6, Class CERT, 9.000%, 8/20/2027 (a)(e) |
5,450,000 | 2,186,428 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST7, Class CERT, 6.500%, 9/20/2029 (a)(e) |
1,500,000 | 656,275 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST8, Class CERT, 6.500%, 10/20/2029 (a)(e) |
2,370,000 | 707,457 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST9, Class CERT, 4.500%, 11/20/2029 (a)(e) |
1,629,000 | 510,523 | ||||||
| Upstart Pass-Through Trust, Series 2022-ST1, Class CERT, 3/20/2030 (a)(e) |
2,400,000 | 838,327 | ||||||
| Upstart Pass-Through Trust, Series 2022-ST2, Class CERT, 4/20/2030 (a)(e) |
1,500,000 | 642,826 | ||||||
| Upstart Securitization Trust, Series 2019-1, Class CERT, 4/20/2026 (a) |
20,143 | 1,307,840 | ||||||
| Upstart Securitization Trust, Series 2019-3, Class CERT, 6.500%, 1/21/2030 (a)(h) |
17,192 | 1,614,738 | ||||||
| Upstart Securitization Trust, Series 2021-1, Class C, 4.060%, 3/20/2031 (a)(c) |
3,600,000 | 3,349,217 | ||||||
| Upstart Securitization Trust, Series 2021-2, Class C, 3.610%, 6/20/2031 (a) |
5,500,000 | 4,898,053 | ||||||
| Upstart Securitization Trust, Series 2021-3, Class C, 3.280%, 7/20/2031 (a)(c) |
15,276,000 | 13,295,742 | ||||||
| Upstart Securitization Trust, Series 2021-4, Class C, 3.190%, 9/20/2031 (a) |
5,250,000 | 4,266,539 | ||||||
| Upstart Securitization Trust, Series 2021-5, Class C, 4.150%, 11/20/2031 (a) |
9,400,000 | 8,048,891 | ||||||
| Upstart Securitization Trust, Series 2022-1, Class C, 5.710%, 3/20/2032 (a) |
1,800,000 | 1,426,154 | ||||||
| Upstart Securitization Trust, Series 2022-2, Class C, 8.430%, 5/20/2032 (a) |
1,500,000 | 1,450,605 | ||||||
| US Auto Funding Trust, Series 2022-1A, Class B, 5.130%, 12/15/2025 (a) |
1,300,000 | 1,284,937 | ||||||
| US Auto Funding Trust, Series 2022-1A, Class D, 9.140%, 7/15/2027 (a) |
1,000,000 | 982,199 | ||||||
See accompanying notes which are an integral part of these financial statements.
59
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – (continued) |
||||||||
| Veros Auto Receivables Trust, Series 2022-1, Class D, 7.230%, 7/16/2029 (a) |
$ | 500,000 | $ | 471,159 | ||||
| Veros Automobile Receivables Trust, Series 2020-1, Class D, 5.640%, 2/15/2027 (a) |
6,755,000 | 6,315,972 | ||||||
| Westlake Automobile Receivables Trust, Series 2021-1A, Class F, 3.910%, 9/15/2027 (a) |
4,000,000 | 3,371,496 | ||||||
| Westlake Automobile Receivables Trust, Series 2021-3A, Class F, 4.250%, 6/15/2028 (a) |
3,000,000 | 2,485,800 | ||||||
| Westlake Automobile Receivables Trust, Series 2023-1A, Class D, 6.790%, 11/15/2028 (a) |
1,500,000 | 1,519,835 | ||||||
|
|
|
|||||||
| TOTAL ASSET-BACKED SECURITIES |
$368,157,425 | |||||||
|
|
|
|||||||
| Collateralized Debt Obligations – 0.09% |
||||||||
| Anchorage Credit Funding Ltd., Series 2020-11A, Class E, 7.050%, 4/25/2038 (a) |
3,500,000 | 2,842,819 | ||||||
|
|
|
|||||||
| TOTAL COLLATERALIZED DEBT OBLIGATIONS |
$2,842,819 | |||||||
|
|
|
|||||||
| Collateralized Loan Obligations – 3.88% |
||||||||
| Allegro CLO Ltd., Series 2014-1RX, Class SUB, 13.000%, 10/21/2028 (e)(g)(i) |
4,000,000 | 280,000 | ||||||
| ALM CLO Ltd., Series 2020-1A, Class SUB, 0.000%, 10/15/2029 (a)(e)(g) |
6,000,000 | 3,300,000 | ||||||
| Ares CLO Ltd., Series 2015-4A, Class SUB, 0.000%, 10/15/2026 (a)(e)(g) |
3,000,000 | 900,000 | ||||||
| Barings CLO Ltd., Series 2015-2A, Class DR, |
1,250,000 | 1,183,907 | ||||||
| Barings CLO Ltd., Series 2019-3A, Class ER, |
3,000,000 | 2,756,223 | ||||||
| Barings Middle Market CLO Ltd., Series 2018-II, Class COM, 0.000%, 1/15/2031 (e)(g) |
1,500,000 | 1,231,837 | ||||||
| Barings Middle Market CLO Ltd., Series 2021-IA,
Class D, |
1,000,000 | 924,006 | ||||||
| Capital Four US CLO Ltd., Series 2022-2A, Class D1, |
1,000,000 | 987,500 | ||||||
| Carlyle CLO Ltd., Series 2017-3A, Class SUB, 0.000% 7/20/2029 (a)(e)(g) |
5,525,000 | 1,491,750 | ||||||
| CBAM Ltd., Series 2018-6A, Class B1R, 7.019% (TSFR3M + 2.362%), 1/15/2031 (a)(d) |
5,000,000 | 4,887,525 | ||||||
| CIFC Funding Ltd., Series 2015-2X, Class INC, 0.000%, 4/15/2030 (e)(g)(i)(j) |
5,000,000 | 50,000 | ||||||
| East West Investment Management CLO Ltd., Series 2019-FAL,
Class D, |
5,000,000 | 4,908,090 | ||||||
| Eaton Vance CLO Ltd., Series 2019-1A, Class SUB, 0.000%, 4/15/2031 (a)(e)(g) |
5,000,000 | 3,500,000 | ||||||
| Garrison Funding Ltd., Series 2018-2RA,
Class BR, |
4,500,000 | 4,310,329 | ||||||
| Generate CLO Ltd, Series 4A, Class SUB, 0.000% 1/22/2030 (a)(e)(g) |
5,500,000 | 2,585,000 | ||||||
| Golub Capital Partners CLO Ltd., Series 2017-34A,
Class B1R, |
1,550,000 | 1,522,689 | ||||||
| Great Lakes CLO Ltd., Series 2021-5A, Class E, |
9,950,000 | 8,599,437 | ||||||
| ICG US CLO Ltd., Series 2021-1A, Class E, |
2,000,000 | 1,783,960 | ||||||
| Jay Park CLO Ltd., Series 2016-1X, Class SUB, 0.000%, 10/20/2027 (e)(g)(i) |
4,000,000 | 1,120,000 | ||||||
| Magnetite Ltd., Series 2015-14RA, Class B, |
1,710,000 | 1,679,078 | ||||||
| MCF CLO LLC, Series 2017-3A, Class ER, |
3,000,000 | 2,845,074 | ||||||
| Monroe Capital MML CLO Ltd., Series 2018-2A,
Class E, |
8,150,000 | 7,591,497 | ||||||
See accompanying notes which are an integral part of these financial statements.
60
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Collateralized Loan Obligations – (continued) |
||||||||
| Monroe Capital MML CLO Ltd., Series 2019-2A, Class D, |
$ | 700,000 | $ | 674,060 | ||||
| Monroe Capital MML CLO Ltd., Series 2021-1A,
Class E, |
3,486,461 | 3,221,873 | ||||||
| Monroe Capital MML CLO Ltd., Series 2019-1A,
Class ER, |
4,440,000 | 4,020,900 | ||||||
| Northwoods Capital Ltd., Series 2018-17A, Class SUB, 0.000%, 4/22/2031 (a)(e)(g) |
2,650,000 | 1,298,500 | ||||||
| Oaktree CLO Ltd., Series 2019-4A, Class SUB, 0.000%, 10/20/2032 (a)(e)(g) |
3,500,000 | 2,345,000 | ||||||
| OZLM Ltd., Series 2017-17A, Class SUB, 0.000%, 7/22/2030 (a)(e)(g) |
7,000,000 | 1,400,000 | ||||||
| Regatta Funding Ltd., Series 2017-3A, Class SUB, 0.000%, 1/17/2031 (a)(e)(g) |
2,500,000 | 1,250,000 | ||||||
| Rockford Tower CLO Ltd., Series 2019-1A, Class ER, |
5,000,000 | 3,845,905 | ||||||
| RR Ltd., Series 2019-6A, Class DR, |
2,000,000 | 1,767,932 | ||||||
| Saranac CLO Ltd., Series 2020-8A, Class E, |
5,250,000 | 4,415,198 | ||||||
| Sound Point CLO Ltd., Series 2017-3A, Class D, |
3,800,000 | 2,896,413 | ||||||
| Sound Point CLO Ltd., Series 2013-1A, Class A3R, |
400,000 | 371,503 | ||||||
| Sound Point CLO Ltd., Series 2014-1RA, Class E, |
4,500,000 | 3,186,779 | ||||||
| Steele Creek CLO Ltd., Series 2016-1A, Class CR, |
17,756,577 | 16,627,791 | ||||||
| Strata CLO Ltd., Series 2021-1A, Class SUB, 0.000%, 10/20/2033 (a)(e)(g) |
3,000,000 | 1,590,000 | ||||||
| TCP Whitney CLO Ltd., Series 2017-1A, Class ER, |
4,000,000 | 3,662,464 | ||||||
| THL Credit Wind River CLO Ltd., Series 2019-3A,
Class E2R, |
1,500,000 | 1,335,098 | ||||||
| Voya CLO Ltd., Series 2019-1A, Class SUB, 0.000%, 4/16/2029 (a)(e)(g) |
4,900,000 | 2,646,000 | ||||||
| Wellfleet CLO Ltd., Series 2015-1A, Class SUB, 0.000%, 10/20/2027 (a)(e)(g) |
4,900,000 | 931,000 | ||||||
|
|
|
|||||||
| TOTAL COLLATERALIZED LOAN OBLIGATIONS |
$115,924,318 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities – 2.76% |
||||||||
| Capital Funding Mortgage Trust, Series 2020-9,
Class B, |
4,607,500 | 4,544,350 | ||||||
| Commercial Mortgage Trust, Series 2013-CR8,
Class ASFL, |
206,774 | 207,735 | ||||||
| GS Mortgage Securities Corp. Trust, Series 2018-TWR,
Class G, |
500,000 | 447,771 | ||||||
| Harvest SBA Loan Trust, Series 2018-1, Class A, |
688,024 | 667,480 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust, Series
2018-PTC, Class A, |
3,500,000 | 3,248,217 | ||||||
| Med Trust, Series 2021-MDLN, Class F, |
3,489,633 | 3,305,321 | ||||||
| Med Trust, Series 2021-MDLN, Class G, |
2,148,617 | 2,003,875 | ||||||
See accompanying notes which are an integral part of these financial statements.
61
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Commercial Mortgage-Backed Securities – (continued) |
||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7,
Class G, |
$ | 1,000,000 | $ | 63,242 | ||||
| SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/17/2041 (a) |
500,000 | 420,724 | ||||||
| Sutherland Commercial Mortgage Loans, Series 2017-SBC6, Class B, |
5,810,578 | 5,646,801 | ||||||
| X-Caliber Funding LLC, 7.000%, 4/15/2023 (a) |
3,621,300 | 3,419,181 | ||||||
| X-Caliber Funding LLC, Series
2021-GA5, Class B1, |
1,025,000 | 1,004,018 | ||||||
| X-Caliber Funding LLC, 7.108% (TSFR1M + 2.750%), 3/15/2024 (a)(d) |
4,532,394 | 4,450,906 | ||||||
| X-Caliber Funding LLC, 11.500% (TSFR1M + 7.750%), 3/15/2024 (a)(d) |
849,824 | 836,676 | ||||||
| X-Caliber Funding LLC, 5.000%, 10/15/2024 (a) |
300,000 | 270,687 | ||||||
| X-Caliber Funding LLC, 11.000%, 10/15/2024 (a) |
4,000,000 | 3,604,076 | ||||||
| X-Caliber Funding LLC, 10.869% (1 Month LIBOR USD + 6.500%), 11/6/2024 (a)(d) |
1,628,000 | 1,625,586 | ||||||
| X-Caliber Funding LLC, Series 2021-7, Class B2, 1/6/2026 (a) |
1,788,000 | 1,789,008 | ||||||
| X-Caliber Funding LLC, Series 2021-CT6, Class B2, 5.250%, 1/6/2026 (a) |
2,180,000 | 2,179,235 | ||||||
| X-Caliber Funding LLC, Series
2021-CT6, Class B1, |
9,375,000 | 8,900,906 | ||||||
| X-Caliber Funding LLC, Series
2021-7, Class A, |
3,950,000 | 3,815,819 | ||||||
| X-Caliber Funding LLC, Series
2021-7, Class B1, |
165,000 | 156,640 | ||||||
| X-Caliber Mortgage Trust, Series
2020-2, Class B1, |
6,765,846 | 6,562,519 | ||||||
| X-Caliber Mortgage Trust, Series
2020-1, Class B1, |
2,193,750 | 2,181,899 | ||||||
| X-Caliber Mortgage Trust, Series
2021-CT2, Class B1, |
1,237,000 | 1,205,487 | ||||||
| X-Caliber Mortgage Trust, Series
2020-5, Class A, |
3,000,000 | 2,922,135 | ||||||
| X-Caliber Mortgage Trust, Series
2020-5, Class B1, |
7,000,000 | 6,699,980 | ||||||
| X-Caliber Mortgage Trust, Series
2019-1, Class B1, |
5,129,931 | 5,135,846 | ||||||
| X-Caliber Mortgage Trust, Series
2021-9, Class B1, |
1,215,000 | 1,183,352 | ||||||
| X-Caliber Mortgage Trust, Series
2021-WY4, Class B1, |
2,020,000 | 1,959,451 | ||||||
| X-Caliber Mortgage Trust, Series
2021-10, Class B1, |
2,000,000 | 1,943,376 | ||||||
|
|
|
|||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
$82,402,299 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities – U.S. Government Agency – 0.68% |
||||||||
| Federal Home Loan Mortgage Corp., Series 2016-KF25, Class B, |
130,091 | 129,641 | ||||||
| Federal Home Loan Mortgage Corp., Series 2017-KF35, Class B, |
2,063,287 | 1,998,871 | ||||||
| Federal Home Loan Mortgage Corp., Series 2017-KF41, Class B, |
600,479 | 554,995 | ||||||
See accompanying notes which are an integral part of these financial statements.
62
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Commercial Mortgage-Backed Securities – U.S. Government Agency – (continued) |
||||||||
| Federal Home Loan Mortgage Corp., Series 2019-KF58, Class B, |
$ | 1,182,007 | $ | 1,089,687 | ||||
| Federal Home Loan Mortgage Corp., Series 2019-KF64, Class B, |
2,487,563 | 2,340,143 | ||||||
| Federal Home Loan Mortgage Corp., Series 2017-KF33, Class B, |
921,939 | 851,558 | ||||||
| Federal Home Loan Mortgage Corp., Series 2018-KF50, Class B, |
1,860,398 | 1,609,892 | ||||||
| Federal Home Loan Mortgage Corp., Series 2019-KF61, Class B, |
921,839 | 845,541 | ||||||
| Federal National Mortgage Association, Series 2019-01,
Class B10, |
1,500,000 | 1,355,421 | ||||||
| Federal National Mortgage Association, Series 2019-01,
Class CE, |
2,000,000 | 2,032,760 | ||||||
| Federal National Mortgage Association, Series 2020-01,
Class CE, |
8,000,000 | 7,626,984 | ||||||
|
|
|
|||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY |
$20,435,493 | |||||||
|
|
|
|||||||
| Common Stocks – 0.50% | Shares | |||||||
| Real Estate Investment Trust – 0.50% |
||||||||
| Annaly Capital Management, Inc. |
84,833 | 1,991,031 | ||||||
| Ellington Financial, Inc. |
103,500 | 1,421,055 | ||||||
| PennyMac Mortgage Investment Trust |
81,182 | 1,238,025 | ||||||
| Redwood Trust, Inc. |
929,117 | 7,767,418 | ||||||
| Rithm Capital Corp. |
258,870 | 2,435,967 | ||||||
|
|
|
|||||||
| TOTAL COMMON STOCKS |
$14,853,496 | |||||||
|
|
|
|||||||
| Corporate Obligations – 4.07% | Principal Amount |
|||||||
| Basic Materials – 0.58% |
||||||||
| Clearwater Paper Corp., 4.750%, 8/15/2028 (a) |
$1,400,000 | 1,244,382 | ||||||
| Copper Mountain Mining Corp., 8.000%, 4/9/2026 (a)(e)(i) |
2,301,441 | 2,278,427 | ||||||
| CVR Partners LP / CVR Nitrogen Finance Corp., 6.125%, 6/15/2028 (a) |
1,700,000 | 1,533,365 | ||||||
| Mercer International, Inc., 5.500%, 1/15/2026 |
650,000 | 629,544 | ||||||
| Mercer International, Inc., 5.125%, 2/1/2029 |
1,400,000 | 1,199,513 | ||||||
| Sylvamo Corp., 7.000%, 9/1/2029 (a) |
8,750,000 | 8,380,356 | ||||||
| Taseko Mines Ltd., 7.000%, 2/15/2026 (a) |
2,300,000 | 2,182,574 | ||||||
|
|
|
|||||||
| 17,448,161 | ||||||||
|
|
|
|||||||
| Communications – 0.25% |
||||||||
| Consolidated Communications, Inc., 6.500%, 10/1/2028 (a) |
2,400,000 | 1,960,511 | ||||||
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc., 5.875%, 8/15/2027 (a) |
1,900,000 | 1,723,832 | ||||||
| Gray Escrow, Inc., 5.375%, 11/15/2031 (a) |
3,900,000 | 2,960,480 | ||||||
| Townsquare Media, Inc., 6.875%, 2/1/2026 (a) |
1,000,000 | 938,666 | ||||||
|
|
|
|||||||
| 7,583,489 | ||||||||
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
63
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Corporate Obligations – (continued) |
||||||||
| Consumer, Cyclical – 0.32% |
||||||||
| American Axle & Manufacturing, Inc., 5.000%, 10/1/2029 |
$ | 1,900,000 | $ | 1,568,061 | ||||
| FirstCash, Inc., 4.625%, 9/1/2028 (a) |
1,500,000 | 1,341,911 | ||||||
| Ford Motor Credit Co. LLC, 2.900%, 2/16/2028 |
500,000 | 430,924 | ||||||
| Goodyear Tire & Rubber Co., 5.000%, 7/15/2029 |
1,500,000 | 1,323,352 | ||||||
| Hawaiian Brand Intellectual Property Ltd., 5.750%, 1/20/2026 (a) |
1,300,000 | 1,243,119 | ||||||
| NCL Corp Ltd., 8.375%, 2/1/2028 (a)(b) |
300,000 | 305,217 | ||||||
| Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd., 8.000%, 9/20/2025 (a) |
400,000 | 409,518 | ||||||
| White Cap Buyer LLC, 6.875%, 10/15/2028 (a) |
3,100,000 | 2,826,823 | ||||||
|
|
|
|||||||
| 9,448,925 | ||||||||
|
|
|
|||||||
| Consumer, Non-cyclical – 0.14% |
||||||||
| Mozart Debt Merger Sub, Inc., 5.250%, 10/1/2029 (a) |
900,000 | 764,442 | ||||||
| NESCO Holdings, Inc., 5.500%, 4/15/2029 (a) |
1,700,000 | 1,529,039 | ||||||
| Rent-A-Center, Inc., 6.375%, 2/15/2029 (a) |
2,100,000 | 1,787,541 | ||||||
|
|
|
|||||||
| 4,081,022 | ||||||||
|
|
|
|||||||
| Energy – 0.09% |
||||||||
| Enviva Partners LP / Enviva Partners Finance Corp., 6.500%, 1/15/2026 (a) |
200,000 | 186,910 | ||||||
| New Fortress Energy, Inc., 6.500%, 9/30/2026 (a) |
200,000 | 184,302 | ||||||
| SunCoke Energy, Inc., 4.875%, 6/30/2029 (a) |
2,550,000 | 2,242,861 | ||||||
|
|
|
|||||||
| 2,614,073 | ||||||||
|
|
|
|||||||
| Financial – 2.60% |
||||||||
| Arbor Realty Trust, Inc., 5.750%, 4/1/2024 (a) |
3,000,000 | 2,923,781 | ||||||
| Arbor Realty Trust, Inc., 4.500%, 3/15/2027 (a) |
5,000,000 | 4,249,668 | ||||||
| B. Riley Financial, Inc., 6.375%, 2/28/2025 (l) |
7,000,000 | 6,672,400 | ||||||
| Banc of California, Inc., 5.250%, 4/15/2025 |
4,650,000 | 4,548,362 | ||||||
| Bank of Commerce Holdings, 8.165% (3 Month LIBOR USD + 5.260%), 12/10/2025 (a)(d) |
2,500,000 | 2,502,378 | ||||||
| Customers Bank, 6.125% (3 Month LIBOR USD + 3.443%), 6/26/2029 (a)(d) |
1,000,000 | 965,363 | ||||||
| Fidelity Bank, 5.875% (3 Month LIBOR USD + 3.630%), 5/31/2030 (d) |
1,000,000 | 965,628 | ||||||
| First Bancshares, Inc., 6.400% (3 Month LIBOR USD + 3.390%), 5/1/2033 (d) |
1,000,000 | 969,304 | ||||||
| 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 | 1,673,782 | ||||||
| Georgia Banking Co. Inc., 4.125% (TSFR3M + 3.400%), 6/15/2031 (a)(d) |
4,000,000 | 3,611,358 | ||||||
| Hanmi Financial Corp., 3.750% (TSFR3M + 3.100%), 9/1/2031 (d) |
3,300,000 | 2,963,189 | ||||||
| Jacksonville Bancorp, Inc., 8.519% (3 Month LIBOR USD + 3.750%), 9/15/2038 (a)(d) |
1,200,000 | 1,199,924 | ||||||
| Kingstone Cos, Inc., 12.000%, 12/30/2024 (a)(e) |
1,852,000 | 1,852,000 | ||||||
| LD Holdings Group LLC, 6.125%, 4/1/2028 (a) |
800,000 | 522,912 | ||||||
| Luther Burbank Corp., 6.500%, 9/30/2024 (a) |
3,300,000 | 3,291,009 | ||||||
| Midland States Bancorp, Inc., 5.000% (TSFR3M + 3.610%), 9/30/2029 (d) |
750,000 | 712,382 | ||||||
| Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028 (a) |
2,500,000 | 2,187,225 | ||||||
| NMI Holdings, Inc., 7.375%, 6/1/2025 (a) |
1,900,000 | 1,931,920 | ||||||
| Northern Bancorp, Inc., 4.750% (TSFR3M + 3.275%), 12/30/2029 (a)(d) |
1,000,000 | 938,600 | ||||||
| OneMain Finance Corp., 4.000%, 9/15/2030 |
800,000 | 638,976 | ||||||
| PennyMac Financial Services, Inc., 4.250%, 2/15/2029 (a) |
900,000 | 741,078 | ||||||
| PennyMac Financial Services, Inc., 5.750%, 9/15/2031 (a) |
900,000 | 757,713 | ||||||
| PHH Mortgage Corp., 7.875%, 3/15/2026 (a) |
2,500,000 | 2,284,375 | ||||||
| PRA Group, Inc., 5.000%, 10/1/2029 (a) |
2,600,000 | 2,236,224 | ||||||
See accompanying notes which are an integral part of these financial statements.
64
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Corporate Obligations – (continued) |
||||||||
| Financial – (continued) |
||||||||
| Preferred Bank, 3.375% (TSFR3M + 2.780%), 6/15/2031 (d) |
$ | 1,500,000 | $ | 1,321,021 | ||||
| Preferred Pass-Through Trust, 2.047% (N/A + 0.000%), 12/29/2049 (a)(e)(n) |
1,000,000 | 700,000 | ||||||
| Ready Capital Corp., 6.200%, 7/30/2026 (l) |
8,000,000 | 7,385,600 | ||||||
| Sterling Bancorp, Inc., 10.650% (3 Month LIBOR USD + 5.820%), 4/15/2026 (a)(d) |
2,050,000 | 2,031,103 | ||||||
| StoneX Group, Inc., 8.625%, 6/15/2025 (a) |
2,700,000 | 2,717,199 | ||||||
| TIAA FSB Holdings, Inc., 4.381%, 1/7/2035 (e)(g) |
5,000,000 | 3,975,000 | ||||||
| Trinitas Capital Management LLC, 6.000%, 7/30/2026 (a) |
2,000,000 | 1,799,366 | ||||||
| Trinity Capital, Inc., 7.000%, 1/16/2025 (e)(l) |
2,500,000 | 2,487,500 | ||||||
| United Wholesale Mortgage LLC, 5.500%, 4/15/2029 (a) |
2,800,000 | 2,411,780 | ||||||
| Zais Group LLC, 7.000%, 11/15/2023 (a) |
263,200 | 262,213 | ||||||
|
|
|
|||||||
| 77,742,533 | ||||||||
|
|
|
|||||||
| Industrial – 0.09% |
||||||||
| Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/1/2026 (a) |
1,400,000 | 1,336,433 | ||||||
| Covanta Holding Corp., 4.875%, 12/1/2029 (a) |
200,000 | 174,721 | ||||||
| Seaspan Corp., 5.500%, 8/1/2029 (a) |
1,350,000 | 1,027,660 | ||||||
| SRM Escrow Issuer LLC, 6.000%, 11/1/2028 (a) |
200,000 | 182,198 | ||||||
|
|
|
|||||||
| 2,721,012 | ||||||||
|
|
|
|||||||
| TOTAL CORPORATE OBLIGATIONS |
$121,639,215 | |||||||
|
|
|
|||||||
| Investment Companies – 4.23% | Shares | |||||||
| Affiliated Exchange Traded Funds – 0.49% |
||||||||
| Angel Oak Income ETF |
480,700 | 9,806,280 | ||||||
| Angel Oak Ultrashort Income ETF |
95,900 | 4,849,663 | ||||||
|
|
|
|||||||
| 14,655,943 | ||||||||
|
|
|
|||||||
| Affiliated Mutual Funds – 3.74% |
||||||||
| Angel Oak Financials Income Impact Fund, Institutional Class |
5,147,772 | 41,799,908 | ||||||
| Angel Oak High Yield Opportunities Fund, Institutional Class |
3,336,241 | 35,297,429 | ||||||
| Angel Oak Total Return Bond Fund, Institutional Class |
3,985,110 | 34,710,309 | ||||||
|
|
|
|||||||
| 111,807,646 | ||||||||
|
|
|
|||||||
| TOTAL INVESTMENT COMPANIES |
$126,463,589 | |||||||
|
|
|
|||||||
| Preferred Stocks – 0.24% |
||||||||
| Real Estate Investment Trust – 0.24% |
||||||||
| AGNC Investment Corp., 6.500% (3 Month LIBOR USD + 4.993%) (d) |
66,529 | 1,490,249 | ||||||
| Dynex Capital, Inc., 6.900% (3 Month LIBOR USD + 5.461%) (d) |
173,425 | 3,980,104 | ||||||
| MFA Financial, Inc., 6.500% (3 Month LIBOR USD + 5.345%) (d) |
92,942 | 1,816,087 | ||||||
|
|
|
|||||||
| TOTAL PREFERRED STOCKS |
$7,286,440 | |||||||
|
|
|
|||||||
| |
Principal Amount |
|
||||||
| Residential Mortgage-Backed Securities – 80.17% |
||||||||
| Accredited Mortgage Loan Trust, Series 2005-4,
Class M1, |
$22,156 | 22,097 | ||||||
See accompanying notes which are an integral part of these financial statements.
65
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Adjustable Rate Mortgage Trust, Series 2005-3, Class 7A1, 3.829%, 7/25/2035 (g) |
$ | 308,486 | $ | 256,906 | ||||
| Adjustable Rate Mortgage Trust, Series 2005-10, Class 3A12, 3.296%, 1/25/2036 (g) |
11,117 | 3,136 | ||||||
| Adjustable Rate Mortgage Trust, Series 2005-11, Class 2A3, 3.768%, 2/25/2036 (g)(k) |
5,874,166 | 4,863,827 | ||||||
| Adjustable Rate Mortgage Trust, Series 2005-12, Class 2A1, 3.737%, 3/25/2036 (g) |
1,455,376 | 1,122,239 | ||||||
| Adjustable Rate Mortgage Trust, Series 2006-1, Class 2A1, 4.608%, 3/25/2036 (g) |
762,691 | 441,924 | ||||||
| Adjustable Rate Mortgage Trust, Series 2006-3,
Class 4A11, |
1,442,621 | 720,233 | ||||||
| Adjustable Rate Mortgage Trust, Series 2007-1, Class 3A22, 4.380%, 3/25/2037 (g) |
289,194 | 237,882 | ||||||
| Adjustable Rate Mortgage Trust, Series 2007-1, Class 2A1, 4.534%, 3/25/2037 (g)(k) |
2,897,594 | 2,614,479 | ||||||
| Adjustable Rate Mortgage Trust, Series 2007-2, Class 1A1, 4.238%, 6/25/2037 (g)(k) |
1,684,115 | 1,383,396 | ||||||
| Adjustable Rate Mortgage Trust, Series 2007-2, Class 1A21, 4.238%, 6/25/2037 (g) |
1,774,849 | 1,333,421 | ||||||
| Agate Bay Mortgage Trust, Series 2015-4, Class B4, 3.523%, 6/25/2045 (a)(g) |
2,018,000 | 1,648,212 | ||||||
| American Home Mortgage Assets Trust, Series 2007-3, Class 22A1, 6.750%, 6/25/2037 (o) |
290,423 | 277,688 | ||||||
| American Home Mortgage Assets Trust, Series 2006-1,
Class XC, |
15,970,314 | 475,165 | ||||||
| American Home Mortgage Assets Trust, Series 2006-1,
Class 1A2, |
1,586,659 | 1,272,009 | ||||||
| American Home Mortgage Assets Trust, Series 2006-2,
Class 1A1, |
1,011,566 | 823,096 | ||||||
| American Home Mortgage Assets Trust, Series 2006-6,
Class XP, |
62,397,599 | 1,242,087 | ||||||
| American Home Mortgage Assets Trust, Series 2007-5,
Class XP, |
17,169,235 | 892,234 | ||||||
| American Home Mortgage Investment Trust, Series 2005-2,
Class 5A4A, |
4,000,483 | 2,822,325 | ||||||
| American Home Mortgage Investment Trust, Series 2006-3,
Class 3A2, |
6,279,834 | 2,523,928 | ||||||
| American Home Mortgage Investment Trust, Series 2006-3,
Class 22A1, |
3,909,309 | 3,291,537 | ||||||
| American Home Mortgage Investment Trust, Series 2007-A,
Class 13A1, |
2,211,292 | 925,485 | ||||||
| American Home Mortgage Investment Trust, Series 2005-2,
Class 2A1, |
425,356 | 331,087 | ||||||
| American Home Mortgage Investment Trust, Series 2007-2,
Class 11A1, |
3,861,783 | 1,671,028 | ||||||
| American Home Mortgage Investment Trust, Series 2007-1,
Class GA1A, |
17,751,083 | 10,444,631 | ||||||
| American Home Mortgage Investment Trust, Series 2007-1,
Class GA1C, |
10,788,700 | 5,954,758 | ||||||
| Arroyo Mortgage Trust, Series 2022-1, Class M1, 3.650%, 12/25/2056 (a) |
2,000,000 | 1,575,212 | ||||||
| Banc of America Funding Trust, Series 2009-R14A, Class 2A, |
299,746 | 291,110 | ||||||
| Banc of America Funding Trust, Series 2015-R8, Class 3A2, 3.832%, 8/28/2035 (a)(g) |
1,849,945 | 1,438,151 | ||||||
| Banc of America Funding Trust, Series 2007-8, Class 2A1, 7.000%, 10/25/2037 (k) |
3,812,878 | 2,952,281 | ||||||
| Bank of America Alternative Loan Trust, Series 2005-10, Class 1CB4, 5.500%, 11/25/2035 |
333,311 | 317,253 | ||||||
| Bank of America Alternative Loan Trust, Series 2006-7, Class A2, 5.707%, 10/25/2036 (g) |
3,488,311 | 1,101,315 | ||||||
| Bank of America Alternative Loan Trust, Series 2006-7, Class A4, 6.498%, 10/25/2036 (k)(o) |
10,264,556 | 3,550,335 | ||||||
| Bank of America Alternative Loan Trust, Series 2006-9, Class 30PO, 1/25/2037 (f) |
152,023 | 85,627 | ||||||
| Bank of America Funding Trust, Series 2005-F, Class 4A1, 3.634%, 9/20/2035 (g) |
1,652,762 | 1,305,824 | ||||||
See accompanying notes which are an integral part of these financial statements.
66
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Bank of America Funding Trust, Series 2007-2,
Class 1A16, |
$ | 2,327,170 | $ | 1,548,650 | ||||
| Bank of America Funding Trust, Series 2014-R1,
Class A2, |
4,475,561 | 3,602,348 | ||||||
| Bank of America Funding Trust, Series 2007-A,
Class 2A5, |
1,063,940 | 820,604 | ||||||
| Bank of America Funding Trust, Series 2007-B,
Class A1, |
2,948,785 | 2,206,626 | ||||||
| Bank of America Funding Trust, Series 2007-C,
Class 7A4, |
2,152,208 | 1,848,289 | ||||||
| Bank of America Mortgage Trust, Series 2007-1, Class 1A4, 6.000%, 3/25/2037 |
855,418 | 765,856 | ||||||
| Bayview Financial Mortgage Pass-Through Trust, Series 2005-D,
Class APO, |
274,022 | 215,743 | ||||||
| BCAP LLC Trust, Series 2012-RR1, Class 3A4, 5.500%, 10/26/2035 (a)(g) |
1,559,945 | 1,278,635 | ||||||
| BCAP LLC Trust, Series 2010-RR6, Class 1410, 3.919%, 12/27/2035 (a)(g)(k) |
4,680,580 | 3,701,393 | ||||||
| BCAP LLC Trust, Series 2012-RR4, Class 4A7, |
1,921,725 | 1,188,942 | ||||||
| BCAP LLC Trust, Series 2010-RR7, Class 9A12, 3.674%, 5/28/2036 (a)(g) |
964,262 | 623,167 | ||||||
| BCAP LLC Trust, Series 2013-RR1, Class 6A2, 3.889%, 5/28/2036 (a)(g) |
3,044,326 | 2,304,673 | ||||||
| BCAP LLC Trust, Series 2012-RR11, Class 1A2, 3.074%, 1/27/2037 (a)(g) |
943,390 | 819,390 | ||||||
| BCAP LLC Trust, Series 2010-RR9, Class 7A2, 3.407%, 1/28/2037 (a)(g)(k) |
5,904,426 | 5,447,789 | ||||||
| BCAP LLC Trust, Series 2007-AA3, Class 1A1A, |
1,002,719 | 862,639 | ||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-6,
Class 1A1, |
1,562,912 | 1,335,516 | ||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-2,
Class 3A1, |
414,001 | 330,993 | ||||||
| Bear Stearns ALT-A Trust, Series 2004-5, Class 4A1, 4.144%, 6/25/2034 (g) |
488,407 | 469,980 | ||||||
| Bear Stearns ALT-A Trust, Series 2005-5, Class 21A1, 4.146%, 7/25/2035 (g) |
446,318 | 412,034 | ||||||
| Bear Stearns ALT-A Trust, Series 2005-7, Class 21A1, 4.004%, 9/25/2035 (g)(k) |
2,624,917 | 2,320,726 | ||||||
| Bear Stearns Asset Backed Securities Trust, Series 2005-AC5,
Class 1A2, |
1,482,869 | 962,197 | ||||||
| Bear Stearns Asset Backed Securities Trust, Series 2007-SD3,
Class A, |
21,512 | 19,285 | ||||||
| Bear Stearns Asset Backed Securities Trust, Series 2007-AC6, Class A1, 6.500%, 10/25/2037 |
2,162,270 | 1,194,624 | ||||||
| Bear Stearns Mortgage Funding Trust, Series 2006-AR1,
Class 1A1, |
473,767 | 347,099 | ||||||
| Bellemeade Re Ltd., Series 2019-2A, Class B1, |
9,180,000 | 8,687,980 | ||||||
| Bellemeade Re Ltd., Series 2020-4A, Class B1, |
2,500,000 | 2,405,985 | ||||||
| Bellemeade Re Ltd., Series 2021-2A, Class M2, |
8,250,000 | 7,588,432 | ||||||
| Bellemeade Re Ltd., Series 2021-3A, Class M2, |
2,900,000 | 2,641,363 | ||||||
| Bellemeade Re Ltd., Series 2022-1, Class M1C, |
2,500,000 | 2,362,182 | ||||||
| Bellemeade Re Ltd., Series 2022-1, Class M2, |
3,750,000 | 3,289,939 | ||||||
See accompanying notes which are an integral part of these financial statements.
67
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| BNC Mortgage Loan Trust, Series 2006-2, Class A5, |
$ | 33,000,000 | $ | 16,640,976 | ||||
| Boston Lending Trust, Series 2021-1, Class A, 2.000%, 7/25/2061 (a)(g) |
4,060,977 | 3,529,919 | ||||||
| BRAVO Residential Funding Trust, Series 2021-A, Class A1, 1.991%, 10/25/2059 (a)(o) |
3,099,073 | 2,974,007 | ||||||
| BRAVO Residential Funding Trust, Series 2021-NQM3, Class A2, |
2,744,656 | 2,583,468 | ||||||
| Cascade MH Asset Trust, Series 2021-MH1, Class B3, 7.595%, 2/25/2046 (a)(g) |
3,000,000 | 2,346,417 | ||||||
| Chase Mortgage Finance Corp., Series 2021-CL1,
Class M3, |
2,399,647 | 2,007,547 | ||||||
| Chase Mortgage Finance Corp., Series 2021-CL1,
Class M4, |
2,482,435 | 2,066,439 | ||||||
| Chase Mortgage Finance Corp., Series 2021-CL1,
Class M5, |
992,852 | 807,070 | ||||||
| Chase Mortgage Finance Corp., Series 2021-CL1,
Class B, |
2,159,000 | 1,768,197 | ||||||
| Chase Mortgage Finance Trust, Series 2006-A1, Class 2A2, 4.003%, 9/25/2036 (g) |
985,055 | 872,330 | ||||||
| Chase Mortgage Finance Trust, Series 2006-S2, Class 2A6, 6.000%, 10/25/2036 |
761,571 | 366,753 | ||||||
| ChaseFlex Trust, Series 2005-2, Class 5A6, 5.000%, 6/25/2035 |
1,411,653 | 894,756 | ||||||
| ChaseFlex Trust, Series 2007-1, Class 2A10, |
2,303,390 | 619,455 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2004-3A, Class A1, |
1,381,802 | 1,035,616 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2004-4A, Class A2, |
2,382,136 | 1,887,683 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2005-1A, Class A1, |
1,757,440 | 1,426,465 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2005-AA, Class A1, |
1,258,152 | 845,520 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2005-1A, Class A2, |
1,959,931 | 1,598,649 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2005-4A, Class NIO, |
17,200,387 | 187,295 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2005-CA, Class A1, |
252,310 | 182,002 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2006-1A, Class A1, |
3,247,059 | 2,274,000 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2006-2A, Class A1, |
8,317,083 | 7,448,988 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2006-2A, Class A2, |
4,182,045 | 3,168,606 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2006-4A, Class A1, |
894,246 | 701,112 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2006-4A, Class A2, |
3,709,537 | 2,852,931 | ||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, Series
2007-1A, Class A1, |
7,446,447 | 6,270,393 | ||||||
| CIM Trust, Series 2019-J1, Class B5, 3.947%, 8/25/2049 (a)(g) |
613,000 | 401,576 | ||||||
| CIM Trust, Series 2021-J1, Class B4, 2.658%, 3/25/2051 (a)(g) |
1,349,893 | 608,449 | ||||||
| CIM Trust, Series 2021-J1, Class B5, 2.658%, 3/25/2051 (a)(g) |
810,000 | 238,679 | ||||||
| CIM Trust, Series 2021-J1, Class B6, 2.658%, 3/25/2051 (a)(g) |
1,416,978 | 312,642 | ||||||
See accompanying notes which are an integral part of these financial statements.
68
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| CIM Trust, Series 2021-J2, Class B4, 2.673%, 4/25/2051 (a)(g) |
$ | 1,602,688 | $ | 727,777 | ||||
| CIM Trust, Series 2021-J2, Class B6, 2.673%, 4/25/2051 (a)(g) |
1,438,139 | 316,005 | ||||||
| CIM Trust, Series 2021-J2, Class B5, 2.673%, 4/25/2051 (a)(g) |
718,000 | 212,224 | ||||||
| CIM Trust, Series 2021-J3, Class B6, 2.618%, 6/25/2051 (a)(g) |
800,773 | 172,072 | ||||||
| CIM Trust, Series 2021-J3, Class B4, 2.618%, 6/25/2051 (a)(g) |
1,281,000 | 502,280 | ||||||
| CIM Trust, Series 2021-J3, Class B5, 2.618%, 6/25/2051 (a)(g) |
481,000 | 139,117 | ||||||
| Citicorp. Mortgage Securities, Inc., Series 2005-2, Class 1APO, 0.000%, 3/25/2035 (f) |
35,713 | 22,181 | ||||||
| Citigroup Mortgage Loan Trust, Series 2005-3, Class 2A2, 3.885%, 8/25/2035 (g) |
291,193 | 273,427 | ||||||
| Citigroup Mortgage Loan Trust, Series 2005-12,
Class 2A1, |
1,317,529 | 1,148,182 | ||||||
| Citigroup Mortgage Loan Trust, Series 2005-9, Class 22A3, 6.000%, 10/25/2035 |
1,363,039 | 1,142,982 | ||||||
| Citigroup Mortgage Loan Trust, Series 2005-7, Class 2A2A, 4.114%, 11/25/2035 (g) |
1,709,813 | 1,151,157 | ||||||
| Citigroup Mortgage Loan Trust, Series 2006-4, Class 2A1A, 6.000%, 12/25/2035 |
405,755 | 392,048 | ||||||
| CitiMortgage Alternative Loan Trust, Series 2006-A4,
Class 1A5, |
1,605,662 | 1,258,083 | ||||||
| CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A3, 6.000%, 9/25/2036 (k) |
3,000,045 | 2,816,226 | ||||||
| CitiMortgage Alternative Loan Trust, Series 2006-A6, Class 1APO, 0.000%, 11/25/2036 (f) |
74,882 | 36,904 | ||||||
| CitiMortgage Alternative Loan Trust, Series 2006-A7,
Class 1A9, |
4,089,598 | 3,186,590 | ||||||
| CitiMortgage Alternative Loan Trust, Series 2006-A7, Class 1A1, 6.000%, 12/25/2036 (g)(k) |
2,128,521 | 1,767,171 | ||||||
| CitiMortgage Alternative Loan Trust, Series 2007-A3, Class APO, 0.000%, 3/25/2037 (f) |
121,736 | 56,706 | ||||||
| CitiMortgage Alternative Loan Trust, Series 2007-A3,
Class 1A2, |
2,375,094 | 1,895,462 | ||||||
| CitiMortgage Alternative Loan Trust, Series 2007-A4, Class APO, 0.000% 4/25/2037 (f) |
105,674 | 50,904 | ||||||
| CitiMortgage Alternative Loan Trust, Series 2007-A4,
Class 1A9, |
1,521,223 | 1,177,002 | ||||||
| CitiMortgage Alternative Loan Trust, Series 2007-A5,
Class 1A3, |
3,963,662 | 3,111,451 | ||||||
| CitiMortgage Alternative Loan Trust, Series 2007-A6,
Class 1A1, |
1,685,571 | 1,299,097 | ||||||
| COLT Funding LLC, Series 2021-3R, Class M1, 2.355%, 12/26/2064 (a)(g) |
2,862,000 | 2,224,990 | ||||||
| COLT Mortgage Loan Trust, Series 2020-2R, Class B1, 4.118%, 10/26/2065 (a)(g) |
3,605,000 | 2,965,873 | ||||||
| CountryWide Alternative Loan Trust, Series 2004-32CB, Class 2A2, |
544,716 | 368,480 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-3CB, Class 1A4, 5.250%, 3/25/2035 |
370,463 | 349,281 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-14, Class 2X, 0.039%, 5/25/2035 (e)(g)(h) |
17,953,543 | 416,863 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-16, Class X2, 0.102%, 6/25/2035 (e)(g)(h) |
18,109,038 | 304,866 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-24, Class 1AX, 0.791%, 7/20/2035 (e)(g)(h) |
8,030,155 | 101,188 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-24,
Class 2A1A, |
452,662 | 325,274 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-26CB, Class A7, |
4,321,112 | 3,068,646 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-27, Class 2X1, 0.308%, 8/25/2035 (e)(g)(h) |
22,459,308 | 163,459 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-27, Class 1A4, 2.893%, 8/25/2035 (g) |
563,948 | 469,806 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-27, Class 1A5, 2.983%, 8/25/2035 (g) |
483,627 | 461,091 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-J9, Class 1A6, 5.500%, 8/25/2035 |
624,188 | 484,173 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-38, Class X, 0.000%, 9/25/2035 (e)(g)(h) |
44,348,959 | 514,714 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-41, Class 2X2, 0.004%, 9/25/2035 (e)(g)(h) |
3,672,580 | 119,697 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-44, Class 1X, 0.019%, 10/25/2035 (e)(g)(h) |
18,696,918 | 357,579 | ||||||
See accompanying notes which are an integral part of these financial statements.
69
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| CountryWide Alternative Loan Trust, Series 2005-42CB, Class A4, |
$ | 1,134,312 | $ | 645,009 | ||||
| CountryWide Alternative Loan Trust, Series 2005-51, Class 4X, 0.023%, 11/20/2035 (e)(g)(h) |
17,779,991 | 334,833 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-51, Class 3X2, 0.038%, 11/20/2035 (e)(g)(h) |
12,268,445 | 209,459 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-51, Class 1X, 1.007%, 11/20/2035 (e)(g)(h) |
16,069,651 | 1,026,336 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-56, Class 4X, 0.057%, 11/25/2035 (e)(g)(h) |
21,916,327 | 342,881 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-J11,
Class 1A4, |
2,675,484 | 1,385,288 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-56,
Class 3A1, |
14,648 | 15,151 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-61,
Class 1A1, |
1,297,293 | 996,844 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-J14, Class A8, 5.500%, 12/25/2035 |
1,572,267 | 1,069,836 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-70CB, Class A4, 5.500%, 12/25/2035 (k) |
3,418,530 | 2,428,332 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-75CB, Class A3, 5.500%, 1/25/2036 |
1,273,681 | 957,097 | ||||||
| CountryWide Alternative Loan Trust, Series 2005-85CB, Class 2A5, |
1,354,392 | 1,031,597 | ||||||
| CountryWide Alternative Loan Trust, Series 2006-OA3, Class X, 0.137%, 5/25/2036 (e)(g)(h) |
15,909,034 | 285,790 | ||||||
| CountryWide Alternative Loan Trust, Series 2006-HY10, Class 1X, |
2,923,180 | 37,186 | ||||||
| CountryWide Alternative Loan Trust, Series 2006-26CB, Class A15, |
686,184 | 378,112 | ||||||
| CountryWide Alternative Loan Trust, Series 2006-29T1, Class 2A13, |
1,585,838 | 778,391 | ||||||
| CountryWide Alternative Loan Trust, Series 2006-27CB, Class A4, 6.000%, 11/25/2036 |
646,305 | 531,649 | ||||||
| CountryWide Alternative Loan Trust, Series 2006-36T2, Class 1A4, 5.750%, 12/25/2036 (k) |
6,613,400 | 2,983,410 | ||||||
| CountryWide Alternative Loan Trust, Series 2006-40T1, Class 1A5, 6.000%, 1/25/2037 |
534,686 | 437,524 | ||||||
| CountryWide Alternative Loan Trust, Series 2006-J8, Class A2, 6.000%, 2/25/2037 |
2,753,100 | 1,310,979 | ||||||
| CountryWide Alternative Loan Trust, Series 2007-22, Class 2A16, 6.500%, 9/25/2037 (k) |
8,778,558 | 3,669,946 | ||||||
| CountryWide Alternative Loan Trust, Series 2006-OA1, Class 1X, 0.097%, 3/20/2046 (e)(g)(h) |
11,622,962 | 223,661 | ||||||
| CountryWide Alternative Loan Trust, Series 2006-OA10, Class XAD, |
22,979,540 | 370,040 | ||||||
| CountryWide Alternative Loan Trust, Series 2006-OA10, Class XNB, |
21,791,193 | 182,283 | ||||||
| CountryWide Alternative Loan Trust, Series 2006-OA10, Class XPP, |
13,176,676 | 77,018 | ||||||
| CountryWide Alternative Loan Trust, Series 2007-20,
Class A1, |
3,248,532 | 1,234,907 | ||||||
| CountryWide Alternative Loan Trust Resecuritization, Series
2005-58R, Class A, |
40,289,763 | 2,722,903 | ||||||
| CountryWide Alternative Loan Trust Resecuritization, Series
2005-59R, Class A, |
10,867,621 | 288,894 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2004-20,
Class X, |
6,333,705 | 246,489 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2004-29,
Class 1X, |
3,202,658 | 37,942 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2004-25,
Class 1X, |
13,247,805 | 146,243 | ||||||
See accompanying notes which are an integral part of these financial statements.
70
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2004-25,
Class 2A3, |
$ | 1,370,963 | $ | 1,198,989 | ||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2005-2,
Class 2X, |
8,515,235 | 165,425 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2005-1, Class 1X, 0.127%, 3/25/2035 (e)(g)(h) |
3,311,782 | 94,210 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2005-7, Class 3X, 0.860%, 3/25/2035 (e)(g)(h) |
974,654 | 34,477 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2005-7, Clas 3A2, 3.018%, 3/25/2035 (g)(k) |
3,593,877 | 2,878,264 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2005-2,
Class 1A1, |
671,716 | 489,499 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 4X, 0.034%, 4/25/2035 (g)(h) |
4,957,701 | 42,373 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2006-HYB1, Class 3A1, 3.536%, 3/20/2036 (g)(k) |
4,733,784 | 4,380,403 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2006-8, Class 1A1, 6.000%, 5/25/2036 |
1,266,174 | 870,892 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2006-12, Class X, 0.154%, 7/25/2036 (e)(g)(h) |
15,343,095 | 84,172 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2007-4, Class 1A1, 6.000%, 5/25/2037 |
1,338,659 | 963,015 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2007-7, Class A3, 5.750%, 6/25/2037 |
714,020 | 440,806 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2007-J2,
Class 2A1, |
4,503,269 | 876,102 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2007-18, Class 2A1, 6.500%, 11/25/2037 |
1,877,909 | 1,111,993 | ||||||
| CountryWide Home Loan Mortgage Pass-Through Trust, Series 2007-8, Class 1A12, 5.875%, 1/25/2038 |
2,645,930 | 1,511,734 | ||||||
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-7, Class 2A1, 5.250%, 8/25/2035 (k) |
7,791,601 | 4,703,891 | ||||||
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 6A12, 5.500%, 11/25/2035 (k) |
2,279,036 | 1,181,329 | ||||||
| Credit Suisse Mortgage Trust, Series 2015-6R, Class 1A2, 3.306%, 7/27/2035 (a)(g) |
6,829,178 | 5,226,622 | ||||||
| Credit Suisse Mortgage Trust, Series 2014-3R,
Class 1A1, |
391,142 | 320,029 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-AFC1, Class A1, 0.830%, 3/25/2056 (a)(g) |
736,448 | 625,120 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-AFC1, Class B1, 3.251%, 3/25/2056 (a)(g) |
3,031,450 | 2,291,676 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-AFC1, Class B2, 4.255%, 3/25/2056 (a)(g) |
1,539,950 | 1,246,359 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV1, Class AIOS, 0.040%, 7/25/2056 (a)(g)(h) |
119,568,179 | 249,658 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV1, Class AX4, 0.400%, 7/25/2056 (a)(g)(h) |
8,106,734 | 145,021 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV1, Class B3, 3.082%, 7/25/2056 (a)(g) |
4,318,387 | 3,222,000 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV1, Class B1, 3.082%, 7/25/2056 (a)(g)(k) |
5,715,887 | 4,660,471 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV1, Class B6, 3.082%, 7/25/2056 (a)(g) |
1,323,281 | 331,111 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV1, Class B5, 3.082%, 7/25/2056 (a)(g) |
1,651,094 | 794,880 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV1, Class B4, 3.082%, 7/25/2056 (a)(g) |
2,412,787 | 1,582,708 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV2, Class AIOS, 0.040%, 11/25/2056 (a)(g)(h) |
348,497,402 | 649,599 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV2, Class AX1, 0.136%, 11/25/2056 (a)(g)(h) |
313,476,279 | 1,945,120 | ||||||
See accompanying notes which are an integral part of these financial statements.
71
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Credit Suisse Mortgage Trust, Series 2021-INV2, Class AX4, 0.150%, 11/25/2056 (a)(g)(h) |
$ | 20,185,226 | $ | 136,170 | ||||
| Credit Suisse Mortgage Trust, Series 2021-INV2, Class A11X, |
21,996,829 | 994,785 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV2, Class A15X, 0.500%, 11/25/2056 (a)(g)(h) |
13,178,884 | 295,405 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV2, Class A3X, 0.500%, 11/25/2056 (a)(g)(h) |
180,413,289 | 4,043,964 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV2, Class A5A, 2.500%, 11/25/2056 (a)(c)(g) |
19,210,526 | 12,980,610 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV2, Class B5, 3.286%, 11/25/2056 (a)(g) |
2,864,595 | 1,643,968 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV2, Class B6, 3.286%, 11/25/2056 (a)(g) |
2,364,325 | 629,412 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV2, Class B3, 3.286%, 11/25/2056 (a)(c)(g) |
7,830,262 | 5,850,600 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-INV2, Class B4, 3.286%, 11/25/2056 (a)(g) |
4,392,204 | 2,898,552 | ||||||
| Credit Suisse Mortgage Trust, Series 2017-RPL3, Class B5, 4.408%, 8/25/2057 (a)(g) |
10,048,129 | 8,973,070 | ||||||
| Credit Suisse Mortgage Trust, Series 2020-RPL4, Class XS, 1.590%, 1/25/2060 (a)(g)(h) |
199,165,223 | 8,208,396 | ||||||
| Credit Suisse Mortgage Trust, Series 2020-RPL4, Class B4, 3.978%, 1/25/2060 (a)(g) |
10,125,738 | 7,163,301 | ||||||
| Credit Suisse Mortgage Trust, Series 2020-RPL4, Class B3, 3.978%, 1/25/2060 (a)(g) |
10,124,150 | 8,108,989 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-NQM2, Class M1, 2.282%, 2/25/2066 (a)(g) |
1,000,000 | 764,194 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-NQM7, Class A2, 1.961%, 10/25/2066 (a)(g) |
2,930,537 | 2,526,217 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-NQM8, Class A2, 2.303%, 10/25/2066 (a)(g) |
1,847,678 | 1,584,238 | ||||||
| Credit Suisse Mortgage Trust, Series 2022-NQM4, Class A3, 4.819%, 6/25/2067 (a)(o) |
2,886,714 | 2,665,597 | ||||||
| Credit Suisse Mortgage Trust, Series 2022-NQM4, Class A2, 4.819%, 6/25/2067 (a)(c)(o) |
4,330,071 | 4,086,829 | ||||||
| Credit Suisse Mortgage Trust, Series 2022-NQM5, Class M1, 5.169%, 6/25/2067 (a)(g) |
500,000 | 414,865 | ||||||
| Credit Suisse Mortgage-Backed Trust, Series 2006-4,
Class 1A1, |
1,725,869 | 862,608 | ||||||
| Credit Suisse Mortgage-Backed Trust, Series 2006-4, Class 1A3, 6.000%, 5/25/2036 |
1,128,100 | 821,092 | ||||||
| CSMCM Trust, Series 2018-RPL3, Class CERT, 2.741%, 7/25/2050 (a)(e)(g) |
10,303,488 | 8,943,191 | ||||||
| CSMCM Trust, Series 2018-RPL1, Class CERT, 1.815%, 7/25/2057 (a)(e)(g) |
12,727,369 | 11,256,734 | ||||||
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-5, Class 2A7, 5.500%, 11/25/2035 |
232,711 | 178,993 | ||||||
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-5, Class 2A4, 5.500%, 11/25/2035 (k) |
3,564,236 | 2,344,230 | ||||||
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 1A4, 5.500%, 12/25/2035 |
380,529 | 353,644 | ||||||
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 2A1, 3.287%, 2/25/2036 (g) |
393,657 | 308,309 | ||||||
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR5, Class 1A1, |
7,439,716 | 2,452,592 | ||||||
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series
2007-BAR1, Class A4, |
76,432,950 | 5,194,613 | ||||||
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2007-AB1, Class PO, 0.000%, 4/25/2037 (f) |
464,705 | 276,897 | ||||||
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2007-AR1, Class A1, |
5,833,439 | 5,008,433 | ||||||
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2007-AR1, Class A2, |
1,013,126 | 722,368 | ||||||
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2007-OA2, Class A1, |
669,536 | 600,922 | ||||||
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2007-OA5, Class A1A, |
1,343,067 | 1,119,836 | ||||||
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB1, Class A2B, 5.600%, 2/25/2036 (g)(k) |
3,677,810 | 3,487,233 | ||||||
See accompanying notes which are an integral part of these financial statements.
72
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB1, Class A2D, 5.720%, 2/25/2036 (g)(k) |
$ | 3,664,553 | $ | 3,430,707 | ||||
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A8, 5.734%, 6/25/2036 (g)(k) |
2,904,641 | 2,669,559 | ||||||
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A1, 5.888%, 6/25/2036 (g) |
350,023 | 324,052 | ||||||
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A2, 6.160%, 6/25/2036 (g) |
1,557,341 | 1,438,999 | ||||||
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A5B, 6.593%, 6/25/2036 (o) |
340,773 | 307,227 | ||||||
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB3, Class A2, 6.420%, 7/25/2036 (g)(k) |
1,952,688 | 1,576,677 | ||||||
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB3, Class A5B, 6.800%, 7/25/2036 (o) |
189,400 | 165,945 | ||||||
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4, Classs A1C, 6.000%, 10/25/2036 (g)(k) |
4,683,846 | 4,291,949 | ||||||
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4, Class A4B, 6.500%, 10/25/2036 (k)(o) |
6,301,762 | 5,721,187 | ||||||
| Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2009-RS6, Class A2B, 3.284%, 8/25/2037 (a)(g)(k) |
7,844,396 | 7,501,933 | ||||||
| DSLA Mortgage Loan Trust, Series 2005-AR2, Class C, 0.000%, 3/19/2045 |
1 | 496,869 | ||||||
| DSLA Mortgage Loan Trust, Series 2006-AR2,
Class 2A1A, |
19,578,847 | 15,954,822 | ||||||
| DSLA Mortgage Loan Trust, Series 2007-AR1,
Class 1A1A, |
34,372,197 | 27,791,261 | ||||||
| DSLA Mortgage Loan Trust, Series 2004-AR1, Class X2, 0.007%, 9/19/2044 (e)(g)(h) |
13,611,218 | 157,482 | ||||||
| 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, 0.007%, 11/19/2044 (e)(g)(h) |
13,551,571 | 150,016 | ||||||
| DSLA Mortgage Loan Trust, Series 2004-AR4, Class X2, 0.162%, 1/19/2045 (e)(g)(h) |
11,504,083 | 70,578 | ||||||
| DSLA Mortgage Loan Trust, Series 2004-AR4,
Class 1A1A, |
7,694,300 | 6,014,196 | ||||||
| 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%, 3/19/2045 (e)(g)(h) |
21,473,338 | 233,565 | ||||||
| DSLA Mortgage Loan Trust, Series 2005-AR1, Class 1A, |
18,907,487 | 16,928,667 | ||||||
| DSLA Mortgage Loan Trust, Series 2005-AR2,
Class 2A1C, |
1,435,221 | 1,272,813 | ||||||
| DSLA Mortgage Loan Trust, Series 2005-AR4, Class 1A, |
144,302 | 109,542 | ||||||
| DSLA Mortgage Loan Trust, Series 2005-AR4,
Class 2A1A, |
1,155,726 | 979,148 | ||||||
| DSLA Mortgage Loan Trust, Series 2005-AR5,
Class 2A1A, |
9,380,687 | 5,057,194 | ||||||
| DSLA Mortgage Loan Trust, Series 2006-AR1,
Class 1A1A, |
8,450,812 | 6,233,285 | ||||||
| Eagle RE Ltd., Series 2019-1, Class M2, |
10,903,000 | 10,916,520 | ||||||
| Eagle RE Ltd., Series 2019-1, Class B1, |
7,909,125 | 7,897,404 | ||||||
See accompanying notes which are an integral part of these financial statements.
73
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Eagle RE Ltd., Series 2020-1, Class M2, |
$ | 23,461,850 | $ | 22,826,832 | ||||
| Eagle RE Ltd., Series 2020-1, Class B1, |
3,600,000 | 3,322,829 | ||||||
| Eagle RE Ltd., Series 2021-1, Class M2, 8.760% (SOFR30A + 4.450%), 10/25/2033 (a)(d) |
9,900,000 | 9,944,382 | ||||||
| Eagle RE Ltd., Series 2021-2, Class M2, 8.560% (SOFR30A + 4.250%), 4/25/2034 (a)(d) |
3,000,000 | 2,940,696 | ||||||
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 3A1, 3.834%, 11/25/2035 (g) |
864,428 | 713,643 | ||||||
| First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A18, 5.500%, 11/25/2035 |
6,194 | 5,058 | ||||||
| First Horizon Alternative Mortgage Securities Trust, Series
2006-FA1, Class 1A8, |
3,606,169 | 1,498,341 | ||||||
| First Horizon Alternative Mortgage Securities Trust, Series 2006-FA1, Class 1A12, 6.000%, 4/25/2036 |
213,502 | 138,145 | ||||||
| First Horizon Alternative Mortgage Securities Trust, Series 2006-AA2, Class 2A1, 3.776%, 5/25/2036 (g) |
376,041 | 315,257 | ||||||
| First Horizon Mortgage Pass-Through Trust, Series 2005-AR4,
Class 4A3, |
40,615 | 30,706 | ||||||
| Flagstar Mortgage Trust, Series 2021-9INV, Class AX1, 0.497%, 10/25/2041 (a)(g)(h) |
244,706,826 | 3,700,701 | ||||||
| Flagstar Mortgage Trust, Series 2021-9INV, Class B6C, 2.703%, 10/25/2041 (a)(g) |
1,827,125 | 548,324 | ||||||
| Flagstar Mortgage Trust, Series 2021-9INV, Class B4, 2.997%, 10/25/2041 (a)(g) |
557,124 | 416,265 | ||||||
| Flagstar Mortgage Trust, Series 2021-9INV, Class B5, 2.997%, 10/25/2041 (a)(g) |
1,393,244 | 651,197 | ||||||
| Flagstar Mortgage Trust, Series 2017-2, Class B5, 4.038%, 10/25/2047 (a)(g) |
1,153,000 | 799,296 | ||||||
| Flagstar Mortgage Trust, Series 2018-2, Class B5, 4.027%, 4/25/2048 (a)(g) |
2,849,187 | 2,212,955 | ||||||
| Flagstar Mortgage Trust, Series 2018-6RR, Class B5, 4.922%, 10/25/2048 (a)(g) |
2,478,000 | 1,921,833 | ||||||
| Flagstar Mortgage Trust, Series 2021-1, Class B6C, 2.984%, 2/27/2051 (a)(g) |
2,932,342 | 724,851 | ||||||
| Flagstar Mortgage Trust, Series 2021-1, Class B5, 3.130%, 2/27/2051 (a)(g) |
1,222,000 | 403,650 | ||||||
| Flagstar Mortgage Trust, Series 2021-1, Class B4, 3.130%, 2/27/2051 (a)(g) |
2,786,498 | 1,821,060 | ||||||
| Flagstar Mortgage Trust, Series 2021-2, Class B4, 2.782%, 4/25/2051 (a)(g) |
1,340,188 | 548,059 | ||||||
| Flagstar Mortgage Trust, Series 2021-2, Class B5, 2.782%, 4/25/2051 (a)(g) |
1,343,000 | 408,210 | ||||||
| Flagstar Mortgage Trust, Series 2021-2, Class B6C, 2.782%, 4/25/2051 (a)(g) |
1,792,016 | 405,071 | ||||||
| Flagstar Mortgage Trust, Series 2021-6INV, Class B6C, 3.283%, 8/25/2051 (a)(g) |
10,564,264 | 4,240,062 | ||||||
| Flagstar Mortgage Trust, Series 2021-6INV, Class B3, 3.494%, 8/25/2051 (a)(c)(g) |
11,944,572 | 8,972,548 | ||||||
| Flagstar Mortgage Trust, Series 2021-6INV, Class B4, 3.494%, 8/25/2051 (a)(g) |
8,530,915 | 5,712,002 | ||||||
| Flagstar Mortgage Trust, Series 2021-6INV, Class B5, 3.494%, 8/25/2051 (a)(g) |
3,071,461 | 1,794,265 | ||||||
| Flagstar Mortgage Trust, Series 2021-10IN, Class B6C, 3.290%, 10/25/2051 (a)(g) |
13,900,063 | 6,298,174 | ||||||
| Flagstar Mortgage Trust, Series 2021-10IN, Class B4, 3.518%, 10/25/2051 (a)(c)(g) |
8,957,819 | 5,835,759 | ||||||
| Flagstar Mortgage Trust, Series 2021-10IN, Class B5, 3.518%, 10/25/2051 (a)(g) |
1,235,657 | 697,484 | ||||||
| GCAT Trust, Series 2020-NQM2, Class M1, 3.589%, 4/25/2065 (a)(g) |
1,500,000 | 1,276,521 | ||||||
| GMAC Mortgage Corp. Loan Trust, Series 2005-AR5, Class 5A1, 3.559%, 9/19/2035 (g) |
27,722 | 22,503 | ||||||
| GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1, 3.110%, 4/19/2036 (g) |
719,807 | 581,134 | ||||||
| Goldman Sachs Mortgage Pass-Through Trust, Series 2022-1,
Class PT, |
52,615,753 | 50,559,372 | ||||||
| Greenpoint Mortgage Funding Trust, Series 2005-AR1,
Class X1, |
15,668,381 | 316,282 | ||||||
| Greenpoint Mortgage Funding Trust, Series 2005-AR3,
Class X1, |
22,396,893 | 1,280,677 | ||||||
| GreenPoint Mortgage Funding Trust, Series 2006-AR3,
Class 4X, |
22,422,390 | 459,816 | ||||||
See accompanying notes which are an integral part of these financial statements.
74
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| GreenPoint Mortgage Funding Trust, Series 2005-AR4,
Class X4, |
$ | 11,895,826 | $ | 239,118 | ||||
| GreenPoint Mortgage Funding Trust, Series 2005-AR4,
Class 4A1A, |
1,383,601 | 913,972 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6,
Class AX1, |
342,575,810 | 325,447 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6,
Class B4, |
1,803,754 | 1,219,659 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6,
Class B5, |
1,547,161 | 848,919 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ1,
Class B5, |
577,000 | 458,956 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ1,
Class B4, |
1,500,000 | 1,269,546 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ3,
Class AIOS, |
35,607,177 | 315,408 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ3,
Class B6, |
1,703,244 | 1,027,560 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ5, Class B4, 3.276%, 3/25/2051 (a)(g) |
2,160,887 | 1,579,207 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ5, Class B5, 3.276%, 3/25/2051 (a)(g) |
1,767,480 | 1,127,896 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class B6, 2.777%, 5/25/2051 (a)(g) |
1,704,942 | 649,697 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ1, Class B4, 2.755%, 6/25/2051 (a)(g) |
2,369,213 | 1,386,989 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ1, Class B5, 2.755%, 6/25/2051 (a)(g) |
1,039,000 | 317,483 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ1, Class B6, 2.755%, 6/25/2051 (a)(g) |
2,079,428 | 465,191 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ3, Class B4, 2.653%, 8/25/2051 (a)(g) |
1,264,648 | 804,275 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ3, Class B5, 2.653%, 8/25/2051 (a)(g) |
1,264,648 | 543,646 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ3, Class B6, 2.653%, 8/25/2051 (a)(g) |
2,208,829 | 482,455 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class AX1, 0.018%, 9/25/2051 (a)(g)(h) |
502,788,591 | 312,735 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B6, 2.618%, 9/25/2051 (a)(g) |
2,474,328 | 535,843 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B5, 2.618%, 9/25/2051 (a)(g) |
1,244,000 | 363,080 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B4, 2.618%, 9/25/2051 (a)(g) |
2,675,625 | 1,277,266 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B2, 2.618%, 9/25/2051 (a)(c)(g) |
7,963,784 | 6,064,127 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class B1, 2.618%, 9/25/2051 (a)(g)(k) |
5,054,914 | 4,108,372 | ||||||
See accompanying notes which are an integral part of these financial statements.
75
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ5, Class B6, 2.589%, 10/25/2051 (a)(g) |
$ | 2,987,778 | $ | 639,128 | ||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ5, Class B5, 2.589%, 10/25/2051 (a)(g) |
1,194,000 | 345,733 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ5, Class B4, 2.589%, 10/25/2051 (a)(g) |
3,719,291 | 2,040,693 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ6, Class AX1, 0.024%, 11/25/2051 (a)(e)(g)(h) |
860,676,208 | 811,618 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ6, Class B4, 2.680%, 11/25/2051 (a)(g) |
5,483,199 | 3,466,056 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ6, Class B5, 2.680%, 11/25/2051 (a)(g) |
1,038,000 | 309,336 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ6, Class B6, 2.680%, 11/25/2051 (a)(g) |
4,670,429 | 1,031,460 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-INV1, Class B3, 3.034%, 12/25/2051 (a)(g) |
4,182,524 | 3,053,376 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-INV1, Class B1, 3.034%, 12/25/2051 (a)(g)(k) |
4,032,700 | 3,219,514 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-INV1, Class B2, 3.034%, 12/25/2051 (a)(g)(k) |
4,032,700 | 3,112,841 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-INV1, Class B6, 3.046%, 12/25/2051 (a)(g) |
2,472,259 | 517,708 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-INV1, Class B5, 3.046%, 12/25/2051 (a)(g) |
1,793,063 | 985,740 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-INV1, Class B4, 3.046%, 12/25/2051 (a)(g) |
2,987,793 | 1,910,049 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B1, 2.724%, 1/25/2052 (a)(c)(g) |
8,516,176 | 6,866,993 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B2, 2.724%, 1/25/2052 (a)(c)(g) |
12,998,577 | 9,348,902 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B4, 2.724%, 1/25/2052 (a)(g) |
7,619,889 | 4,820,753 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B5, 2.724%, 1/25/2052 (a)(g) |
1,792,575 | 783,472 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ7, Class B6, 2.724%, 1/25/2052 (a)(g) |
3,252,733 | 832,602 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ8, Class B6, 2.770%, 1/25/2052 (a)(g) |
3,091,101 | 700,499 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ8, Class B4, 2.770%, 1/25/2052 (a)(g) |
3,879,113 | 2,263,583 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ8, Class B5, 2.770%, 1/25/2052 (a)(g) |
1,237,000 | 377,513 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B4, 3.218%, 1/25/2052 (a)(g) |
3,706,671 | 2,429,007 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B5, 3.218%, 1/25/2052 (a)(g) |
1,482,863 | 846,046 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B6, 3.218%, 1/25/2052 (a)(g) |
4,285,203 | 1,368,330 | ||||||
See accompanying notes which are an integral part of these financial statements.
76
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B1, 3.218%, 1/25/2052 (a)(g)(k) |
$ | 4,632,608 | $ | 3,911,311 | ||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-HP1, Class B3, 3.218%, 1/25/2052 (a)(g)(k) |
3,706,671 | 2,727,454 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ9, Class B6, 2.891%, 2/25/2052 (a)(g) |
5,673,304 | 1,355,035 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ9, Class B4, 2.936%, 2/25/2052 (a)(g) |
3,381,066 | 2,180,734 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ9, Class B5, 2.936%, 2/25/2052 (a)(g) |
1,268,263 | 673,401 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2020-RPL1, Class B1, |
6,323,000 | 5,278,523 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-PJ2, Class B1,
2.731%, |
6,093,930 | 4,972,239 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-PJ2, Class B2,
2.731%, |
5,484,917 | 4,140,674 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-PJ2, Class B3,
2.731%, |
4,062,620 | 2,917,652 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-PJ11, Class A2, 2.500%, |
1,362,810 | 1,113,385 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-MM1, Class B3, 2.733%, 4/25/2052 (a)(g)(k) |
2,624,611 | 1,900,072 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-MM1, Class B1, 2.733%, 4/25/2052 (a)(g)(k) |
4,756,383 | 3,832,109 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-MM1, Class B5,
2.733%, |
849,000 | 240,795 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-MM1, Class B6,
2.733%, |
2,037,580 | 427,354 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-MM1, Class B2, 2.733%, 4/25/2052 (a)(g)(k) |
4,757,350 | 3,663,749 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-MM1, Class B4,
2.733%, |
1,523,773 | 621,428 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-PJ11, Class B4, 2.863%, |
1,300,000 | 554,243 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-PJ11, Class B6, 2.863%, |
2,938,523 | 684,497 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2021-PJ11, Class B5, 2.863%, |
1,606,000 | 501,451 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class AX4, 0.125%, 6/25/2052 (a)(g)(h) |
27,235,435 | 155,324 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class AX1, 0.126%, 6/25/2052 (a)(g)(h) |
269,231,689 | 1,429,082 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class AIOS, 0.220%, 6/25/2052 (a)(g)(h) |
209,054,025 | 2,193,604 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class A15X, 0.222% (-1 x SOFR30A + 4.150%), |
15,124,766 | 653,965 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class A14, 3.000%, 6/25/2052 (a)(c)(g) |
59,557,500 | 48,275,225 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-GR1,
Class B5, |
1,208,238 | 733,104 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-GR1,
Class B4, |
3,866,753 | 2,800,055 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-GR1,
Class B2, |
10,636,020 | 7,951,840 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-GR1,
Class B3, |
4,350,832 | 3,068,942 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-GR1,
Class B1, |
6,525,268 | 5,516,455 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-GR1,
Class B6, |
5,561,561 | 1,908,277 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class B1, |
12,320,142 | 9,720,062 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class B4, |
4,990,114 | 3,163,138 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class B3, 3.251%, 6/25/2052 (a)(g)(k) |
5,770,740 | 3,845,863 | ||||||
See accompanying notes which are an integral part of these financial statements.
77
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| GS Mortgage-Backed Securities Trust, Series 2022-LTV1,
Class B2, |
$ | 4,834,971 | $ | 3,612,893 | ||||
| GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class B6, 3.251%, 6/25/2052 (a)(g) |
5,604,637 | 1,926,415 | ||||||
| GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class B5, 3.251%, 6/25/2052 (a)(g) |
779,644 | 446,645 | ||||||
| GSAA Home Equity Trust, Series 2005-14, Class 2A2, |
1,425,459 | 824,932 | ||||||
| GSAA Home Equity Trust, Series 2005-14, Class 2A3, |
2,678,374 | 2,179,942 | ||||||
| GSAA Home Equity Trust, Series 2005-15, Class 2A2, |
1,815,763 | 883,083 | ||||||
| GSAA Home Equity Trust, Series 2006-4, Class 4A3, 3.430%, 3/25/2036 (g)(k) |
5,369,555 | 3,322,562 | ||||||
| GSAA Home Equity Trust, Series 2006-8, Class 2A2, |
3,707,788 | 860,974 | ||||||
| GSAA Home Equity Trust, Series 2006-10, Class AF2, 5.825%, 6/25/2036 (g) |
5,276,832 | 1,411,426 | ||||||
| GSAA Home Equity Trust, Series 2006-16, Class A2, |
1,451,917 | 639,477 | ||||||
| GSAA Home Equity Trust, Series 2006-18, Class AF3A, 5.772%, 11/25/2036 (g)(k) |
6,304,484 | 2,198,613 | ||||||
| GSAA Home Equity Trust, Series 2006-18, Class AF5A, 6.502%, 11/25/2036 (o) |
2,087,018 | 850,308 | ||||||
| GSAA Home Equity Trust, Series 2006-20, Class 1A2, |
10,428,036 | 4,189,797 | ||||||
| GSAA Home Equity Trust, Series 2006-20, Class A4A, |
2,449,036 | 1,157,174 | ||||||
| GSAA Home Equity Trust, Series 2007-1, Class 1A2, |
1,823,983 | 726,671 | ||||||
| GSAA Home Equity Trust, Series 2007-2, Class AV1, |
3,404,199 | 720,032 | ||||||
| GSAA Home Equity Trust, Series 2007-2, Class AF4A, 6.483%, 3/25/2037 (o) |
2,100,357 | 921,880 | ||||||
| GSAA Home Equity Trust, Series 2007-5, Class 2A1A, |
2,166,863 | 1,850,702 | ||||||
| GSAA Home Equity Trust, Series 2007-5, Class 1F4A, 6.032%, 5/25/2037 (k)(o) |
4,677,934 | 2,562,895 | ||||||
| GSAA Home Equity Trust, Series 2007-10, Class A2A, 6.500%, 11/25/2037 |
2,368,299 | 1,352,524 | ||||||
| GSMSC Resecuritization Trust, Series 2014-5R,
Class 3B4, |
5,709,149 | 4,039,320 | ||||||
| GSMSC Resecuritization Trust, Series 2014-5R,
Class 3B3, |
5,707,000 | 4,507,343 | ||||||
| GSMSC Resecuritization Trust, Series 2014-5R,
Class 3B2, |
5,707,000 | 4,815,903 | ||||||
| GSMSC Resecuritization Trust, Series 2014-5R,
Class 3B1, |
3,048,332 | 2,715,677 | ||||||
| GSR Mortgage Loan Trust, Series 2005-AR3, Class 8A1, 2.417%, 5/25/2035 (g) |
617,818 | 549,697 | ||||||
| GSR Mortgage Loan Trust, Series 2005-AR3, Class 5A1, 3.161%, 5/25/2035 (g) |
990,715 | 894,281 | ||||||
| GSR Mortgage Loan Trust, Series 2005-6F, Class 3A6, |
1,840,014 | 1,554,512 | ||||||
| GSR Mortgage Loan Trust, Series 2005-6F, Class 3A1, |
555,280 | 438,804 | ||||||
| GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 3.570%, 10/25/2035 (g) |
859,696 | 625,237 | ||||||
| GSR Mortgage Loan Trust, Series 2006-1F, Class 2A5, 6.000%, 2/25/2036 |
902,388 | 505,440 | ||||||
| GSR Mortgage Loan Trust, Series 2006-2F, Class 3A4, 6.000%, 2/25/2036 |
292,163 | 178,147 | ||||||
| GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1, 3.536%, 3/25/2037 (g)(k) |
5,221,116 | 3,856,097 | ||||||
| GSR Mortgage Loan Trust, Series 2007-2F, Class 3A7, 6.000%, 3/25/2037 (k) |
6,318,423 | 3,883,859 | ||||||
See accompanying notes which are an integral part of these financial statements.
78
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| GSR Mortgage Loan Trust, Series 2007-2F, Class 3A3, 6.000%, 3/25/2037 |
$ | 290,746 | $ | 172,522 | ||||
| GSR Mortgage Loan Trust, Series 2007-3F, Class 4A1, |
4,599,501 | 1,109,064 | ||||||
| HarborView Mortgage Loan Trust, Series 2004-7, Class X1, 0.500%, 11/19/2034 (e)(g)(h) |
1,633,439 | 12,543 | ||||||
| HarborView Mortgage Loan Trust, Series 2004-9,
Class 4A2, |
2,245,787 | 1,674,353 | ||||||
| HarborView Mortgage Loan Trust, Series 2004-11, Class X1, 0.330%, 1/19/2035 (e)(g)(h) |
7,051,165 | 67,691 | ||||||
| HarborView Mortgage Loan Trust, Series 2005-1, Class X, 0.530%, 3/19/2035 (e)(g)(h) |
5,852,284 | 211,788 | ||||||
| HarborView Mortgage Loan Trust, Series 2005-3, Class X2, 0.028%, 6/19/2035 (e)(g)(h) |
43,843,738 | 332,862 | ||||||
| HarborView Mortgage Loan Trust, Series 2005-4, Class 3A1, 3.306%, 7/19/2035 (g) |
818,693 | 585,627 | ||||||
| HarborView Mortgage Loan Trust, Series 2005-8, Class 2XA1, 0.185%, 9/19/2035 (e)(g)(h) |
22,769,902 | 1,230 | ||||||
| HarborView Mortgage Loan Trust, Series 2005-8,
Class 2A2A, |
1,156,791 | 973,250 | ||||||
| HarborView Mortgage Loan Trust, Series 2005-12, Class X2B, 0.082%, 10/19/2035 (e)(g)(h) |
8,543,612 | 49,929 | ||||||
| HarborView Mortgage Loan Trust, Series 2005-10, Class X, 0.079%, 11/19/2035 (e)(g)(h) |
30,553,606 | 275 | ||||||
| HarborView Mortgage Loan Trust, Series 2005-13, Class X, 0.776%, 2/19/2036 (e)(g)(h) |
14,460,623 | 163,579 | ||||||
| HarborView Mortgage Loan Trust, Series 2006-9,
Class 2A1A, |
661,128 | 537,638 | ||||||
| HarborView Mortgage Loan Trust, Series 2006-14,
Class 2A1A, |
15,857,729 | 12,466,015 | ||||||
| HarborView Mortgage Loan Trust, Series 2007-6,
Class 2A1A, |
1,596,252 | 1,435,631 | ||||||
| HarborView Mortgage Loan Trust, Series 2007-6,
Class 1A1A, |
12,566,705 | 9,354,228 | ||||||
| HarborView Mortgage Loan Trust, Series 2007-7,
Class 1A1, |
14,245,247 | 10,704,591 | ||||||
| HarborView Mortgage Loan Trust, Series 2005-11, Class X, 0.307%, 8/19/2045 (e)(g)(h) |
9,026,552 | 38,643 | ||||||
| HarborView Mortgage Loan Trust, Series 2005-15,
Class 3A11, |
2,963,839 | 2,551,827 | ||||||
| HarborView Mortgage Loan Trust, Series 2005-15,
Class 2A11, |
2,578,581 | 1,955,230 | ||||||
| HarborView Mortgage Loan Trust, Series 2006-4,
Class 1A2A, |
4,860,831 | 2,658,165 | ||||||
| Home RE Ltd., Series 2019-1, Class M2, |
20,083,000 | 20,328,193 | ||||||
| Home RE Ltd., Series 2021-1, Class M1C, |
9,182,587 | 8,923,757 | ||||||
| Home RE Ltd., Series 2021-1, Class B1, |
3,083,042 | 2,881,220 | ||||||
| Home RE Ltd., Series 2021-2, Class M2, 7.560% (SOFR30A + 3.250%), 1/25/2034 (a)(d) |
8,250,000 | 7,745,513 | ||||||
| Home RE Ltd., Series 2022-1, Class M2, 11.060% (SOFR30A + 6.750%), 10/25/2034 (a)(d) |
500,000 | 487,213 | ||||||
| Home RE Ltd., Series 2022-1, Class B1, 13.310% (SOFR30A + 9.000%), 10/25/2034 (a)(d) |
500,000 | 474,530 | ||||||
| HomeBanc Mortgage Trust, Series 2005-1, Class A1, |
3,970,195 | 2,933,184 | ||||||
| HomeBanc Mortgage Trust, Series 2005-1, Class A2, |
631,292 | 466,798 | ||||||
| HomeBanc Mortgage Trust, Series 2005-5, Class A1, |
1,474,429 | 1,248,847 | ||||||
| HomeBanc Mortgage Trust, Series 2006-1, Class 3A2, 2.842%, 4/25/2037 (g)(k) |
3,613,021 | 3,354,690 | ||||||
See accompanying notes which are an integral part of these financial statements.
79
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| HSI Asset Loan Obligation Trust, Series 2007-AR1, Class 2A1, 4.083%, 1/25/2037 (g) |
$ | 418,988 | $ | 298,118 | ||||
| IMPAC CMB Trust, Series 2005-6, Class 1A1, |
16,659,664 | 14,274,216 | ||||||
| IMPAC CMB Trust, Series 2005-7, Class A2, |
1,372,287 | 1,083,336 | ||||||
| IMPAC CMB Trust, Series 2005-7, Class A1, |
12,322,579 | 10,429,005 | ||||||
| IMPAC CMB Trust, Series 2005-8, Class 1M1, |
1,437,782 | 1,201,714 | ||||||
| IMPAC Secured Assets Trust, Series 2005-2, Class A2D, |
541,640 | 437,123 | ||||||
| IMPAC Secured Assets Trust, Series 2006-2,
Class 1A2B, |
4,198,956 | 3,415,637 | ||||||
| IMPAC Secured Assets Trust, Series 2006-2,
Class 1A2C, |
4,098,211 | 2,680,169 | ||||||
| IMPAC Secured Assets Trust, Series 2006-4, Class A1, |
6,247,752 | 4,972,448 | ||||||
| IMPAC Secured Assets Trust, Series 2006-4, Class A2C, |
18,751,333 | 15,045,601 | ||||||
| IMPAC Secured Assets Trust, Series 2007-1, Class A3, |
4,179,951 | 3,015,956 | ||||||
| IMPAC Secured Assets Trust, Series 2007-2,
Class 1A1C, |
12,105,837 | 9,156,141 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2004-AR2,
Class AX2, |
6,764,557 | 6,278,706 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class AX2, |
2,023,433 | 1,858 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2004-AR14, Class 1A1B, |
861 | 1,528 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR2,
Class AX2, |
11,035,242 | 6,158 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR4,
Class AX2, |
13,660,444 | 237,419 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR6,
Class 2A1, |
2,115,576 | 1,812,363 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR8,
Class AX2, |
18,340,955 | 154,247 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR5, Class 2A1, 2.803%, 5/25/2035 (g) |
998,680 | 886,252 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR8,
Class 2A1A, |
2,302,821 | 2,049,699 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR10, Class AX, |
28,910,019 | 179,878 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR7, Class 4A1, 3.645%, 6/25/2035 (g) |
844,273 | 765,758 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR12, Class AX2, |
45,058,645 | 86,107 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR14, Class 2X, |
21,455,410 | 253,152 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR13, Class 1A1, 3.325%, 8/25/2035 (g) |
2,092,145 | 980,486 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1, |
4,613,960 | 4,058,499 | ||||||
See accompanying notes which are an integral part of these financial statements.
80
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR25, Class 5A1, |
$ | 4,370,330 | $ | 3,726,305 | ||||
| IndyMac Index Mortgage Loan Trust, Series 2007-AR1, Class 3A1, 2.826%, 3/25/2037 (g) |
918,520 | 761,610 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2007-AR9, Class 2A1, 3.251%, 6/25/2037 (g)(k) |
3,507,049 | 2,488,833 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2007-AR2, Class A1, 3.431%, 6/25/2037 (g) |
387,389 | 313,085 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2007-AR13, Class 4A1, |
3,407,495 | 2,580,663 | ||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class AX, |
13,798,488 | 29,888 | ||||||
| JP Morgan Alternative Loan Trust, Series 2006-A4, Class A7, 3.509%, 9/25/2036 (g)(k) |
8,602,182 | 7,208,904 | ||||||
| JP Morgan Alternative Loan Trust, Series 2006-A7,
Class 1A4, |
1,173,377 | 1,041,006 | ||||||
| JP Morgan Alternative Loan Trust, Series 2007-A2,
Class 11A1, |
22,714,539 | 12,239,502 | ||||||
| JP Morgan Chase Bank, Series 2019-CL1, Class M2, |
4,055,497 | 3,768,015 | ||||||
| JP Morgan Chase Bank, Series 2019-CL1, Class M4, |
1,501,471 | 1,362,207 | ||||||
| JP Morgan Chase Bank, Series 2021-CL1, Class M5, |
451,265 | 384,684 | ||||||
| JP Morgan Chase Bank, Series 2021-CL1, Class B, |
1,151,000 | 1,029,624 | ||||||
| JP Morgan Chase Bank, Series 2020-CL1, Class M2, |
3,663,928 | 3,634,206 | ||||||
| JP Morgan Chase Bank, Series 2020-CL1, Class M4, |
1,171,499 | 1,164,728 | ||||||
| JP Morgan Chase Bank, Series 2020-CL1, Class M5, |
2,250,047 | 2,231,403 | ||||||
| JP Morgan Chase Bank, Series 2020-CL1, Class B, |
6,746,057 | 6,656,348 | ||||||
| JP Morgan Mortgage Trust, Series 2005-A6, Class 7A1, 3.959%, 8/25/2035 (g) |
4,911 | 4,007 | ||||||
| JP Morgan Mortgage Trust, Series 2005-ALT1, Class 2A1, 3.652%, 10/25/2035 (g)(k) |
6,042,148 | 4,970,978 | ||||||
| JP Morgan Mortgage Trust, Series 2005-A8, Class 3A1, 3.927%, 11/25/2035 (g) |
1,506,574 | 1,205,470 | ||||||
| JP Morgan Mortgage Trust, Series 2005-S3, Class 1A14, 5.500%, 1/25/2036 |
1,155,779 | 956,618 | ||||||
| JP Morgan Mortgage Trust, Series 2006-A6, Class 1A4L, 3.599%, 10/25/2036 (g) |
1,658,043 | 1,426,943 | ||||||
| JP Morgan Mortgage Trust, Series 2006-A6, Class 3A2, 3.672%, 10/25/2036 (g) |
516,940 | 373,330 | ||||||
| JP Morgan Mortgage Trust, Series 2006-A6, Class 2A4L, 3.804%, 10/25/2036 (g) |
550,977 | 432,761 | ||||||
| JP Morgan Mortgage Trust, Series 2006-A7, Class 2A3, 3.849%, 1/25/2037 (g) |
1,128,217 | 1,034,381 | ||||||
| JP Morgan Mortgage Trust, Series 2007-A4, Class 3A3, 3.169%, 6/25/2037 (g) |
1,391,995 | 1,084,652 | ||||||
| JP Morgan Mortgage Trust, Series 2018-1, Class B1, 3.614%, 6/25/2048 (a)(g)(k) |
2,656,518 | 2,427,930 | ||||||
| JP Morgan Mortgage Trust, Series 2019-1, Class B6, 3.421%, 5/25/2049 (a)(g) |
3,491,723 | 2,601,124 | ||||||
| JP Morgan Mortgage Trust, Series 2019-1, Class B5, 4.508%, 5/25/2049 (a)(g) |
1,711,835 | 1,329,240 | ||||||
| JP Morgan Mortgage Trust, Series 2019-LTV1, Class B6, 4.321%, 6/25/2049 (a)(g) |
2,823,096 | 2,044,763 | ||||||
| JP Morgan Mortgage Trust, Series 2019-LTV1, Class B5, 4.544%, 6/25/2049 (a)(g) |
2,000,096 | 1,562,553 | ||||||
| JP Morgan Mortgage Trust, Series 2019-LTV1, Class B4, 4.544%, 6/25/2049 (a)(g) |
5,415,084 | 4,784,405 | ||||||
| JP Morgan Mortgage Trust, Series 2019-6, Class B5, 4.236%, 12/25/2049 (a)(g) |
1,879,931 | 1,325,730 | ||||||
| JP Morgan Mortgage Trust, Series 2019-7, Class AX1, 0.028%, 2/25/2050 (a)(e)(g)(h) |
23,849,243 | 9,659 | ||||||
| JP Morgan Mortgage Trust, Series 2019-7, Class B6, 3.768%, 2/25/2050 (a)(g) |
1,370,924 | 754,909 | ||||||
| JP Morgan Mortgage Trust, Series 2019-7, Class B5, 4.028%, 2/25/2050 (a)(g) |
1,199,000 | 835,033 | ||||||
| JP Morgan Mortgage Trust, Series 2019-7, Class B4, 4.028%, 2/25/2050 (a)(g) |
2,955,329 | 2,263,740 | ||||||
| JP Morgan Mortgage Trust, Series 2019-8, Class AX1, 0.167%, 3/25/2050 (a)(g)(h) |
55,860,317 | 273,827 | ||||||
See accompanying notes which are an integral part of these financial statements.
81
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| JP Morgan Mortgage Trust, Series 2019-8, Class B6, 3.997%, 3/25/2050 (a)(g) |
$ | 2,555,114 | $ | 1,552,738 | ||||
| JP Morgan Mortgage Trust, Series 2019-8, Class B5, 4.167%, 3/25/2050 (a)(g) |
1,834,999 | 1,310,378 | ||||||
| JP Morgan Mortgage Trust, Series 2019-LTV3, Class B5, 4.380%, 3/25/2050 (a)(g) |
1,818,801 | 1,583,473 | ||||||
| JP Morgan Mortgage Trust, Series 2019-9, Class B5, 3.811%, 5/25/2050 (a)(g) |
2,562,081 | 2,010,406 | ||||||
| JP Morgan Mortgage Trust, Series 2019-9, Class B6, 3.811%, 5/25/2050 (a)(g) |
4,917,839 | 2,878,165 | ||||||
| JP Morgan Mortgage Trust, Series 2019-9, Class B4, 3.811%, 5/25/2050 (a)(g) |
2,881,871 | 2,337,800 | ||||||
| JP Morgan Mortgage Trust, Series 2020-1, Class B6, 3.516%, 6/25/2050 (a)(g) |
3,545,901 | 2,215,993 | ||||||
| JP Morgan Mortgage Trust, Series 2020-1, Class B4, 3.841%, 6/25/2050 (a)(g) |
3,949,734 | 3,049,017 | ||||||
| JP Morgan Mortgage Trust, Series 2020-1, Class B5, 3.841%, 6/25/2050 (a)(g) |
2,189,543 | 1,642,772 | ||||||
| JP Morgan Mortgage Trust, Series 2020-LTV1, Class B6, 4.061%, 6/25/2050 (a)(g) |
9,374,522 | 7,524,750 | ||||||
| JP Morgan Mortgage Trust, Series 2020-LTV1, Class B5, 4.278%, 6/25/2050 (a)(g) |
2,859,640 | 2,517,227 | ||||||
| JP Morgan Mortgage Trust, Series 2020-2, Class B4, 3.824%, 7/25/2050 (a)(g) |
294,019 | 234,151 | ||||||
| JP Morgan Mortgage Trust, Series 2020-3, Class B4, 3.847%, 8/25/2050 (a)(g) |
211,110 | 167,234 | ||||||
| JP Morgan Mortgage Trust, Series 2020-3, Class B5, 3.847%, 8/25/2050 (a)(g) |
1,675,737 | 1,321,402 | ||||||
| JP Morgan Mortgage Trust, Series 2020-LTV2, Class B5, 4.029%, 11/25/2050 (a)(g) |
3,112,763 | 2,675,654 | ||||||
| JP Morgan Mortgage Trust, Series 2020-LTV2, Class B4, 4.029%, 11/25/2050 (a)(g) |
7,587,480 | 6,281,053 | ||||||
| JP Morgan Mortgage Trust, Series 2020-LTV2, Class B6, 4.029%, 11/25/2050 (a)(g) |
8,560,711 | 6,146,368 | ||||||
| JP Morgan Mortgage Trust, Series 2020-5, Class B5, 3.582%, 12/25/2050 (a)(g) |
1,771,726 | 1,359,810 | ||||||
| JP Morgan Mortgage Trust, Series 2020-5, Class B6, 3.582%, 12/25/2050 (a)(g) |
4,062,829 | 2,504,141 | ||||||
| JP Morgan Mortgage Trust, Series 2020-5, Class B4, 3.582%, 12/25/2050 (a)(g) |
3,545,342 | 2,772,323 | ||||||
| JP Morgan Mortgage Trust, Series 2020-9, Class B6, 2.837%, 5/25/2051 (a)(g) |
1,075,745 | 458,578 | ||||||
| JP Morgan Mortgage Trust, Series 2021-3, Class B6, 2.944%, 7/25/2051 (a)(g) |
3,146,493 | 822,132 | ||||||
| JP Morgan Mortgage Trust, Series 2021-3, Class B5, 2.967%, 7/25/2051 (a)(g) |
2,531,771 | 993,181 | ||||||
| JP Morgan Mortgage Trust, Series 2021-3, Class B4, 2.967%, 7/25/2051 (a)(g) |
2,102,317 | 1,365,680 | ||||||
| JP Morgan Mortgage Trust, Series 2021-6, Class B6, 2.785%, 10/25/2051 (a)(g) |
4,624,991 | 1,069,219 | ||||||
| JP Morgan Mortgage Trust, Series 2021-6, Class B4, 2.863%, 10/25/2051 (a)(g) |
3,752,990 | 2,381,366 | ||||||
| JP Morgan Mortgage Trust, Series 2021-6, Class B5, 2.863%, 10/25/2051 (a)(g) |
3,002,584 | 1,653,826 | ||||||
| JP Morgan Mortgage Trust, Series 2021-7, Class B6, 2.801%, 11/25/2051 (a)(g) |
2,822,635 | 643,603 | ||||||
| JP Morgan Mortgage Trust, Series 2021-7, Class B5, 2.803%, 11/25/2051 (a)(g) |
1,840,012 | 736,347 | ||||||
| JP Morgan Mortgage Trust, Series 2021-7, Class B4, 2.803%, 11/25/2051 (a)(g) |
1,840,012 | 1,167,841 | ||||||
| JP Morgan Mortgage Trust, Series 2021-10, Class B5, 2.827%, 12/25/2051 (a)(g) |
2,450,689 | 1,226,911 | ||||||
| JP Morgan Mortgage Trust, Series 2021-10, Class B6, 2.827%, 12/25/2051 (a)(g) |
3,977,976 | 1,038,228 | ||||||
| JP Morgan Mortgage Trust, Series 2021-8, Class B4, 2.849%, 12/25/2051 (a)(g) |
3,137,145 | 1,995,914 | ||||||
| JP Morgan Mortgage Trust, Series 2021-8, Class B6, 2.849%, 12/25/2051 (a)(g) |
3,172,877 | 733,839 | ||||||
| JP Morgan Mortgage Trust, Series 2021-8, Class B5, 2.849%, 12/25/2051 (a)(g) |
2,240,405 | 1,007,136 | ||||||
| JP Morgan Mortgage Trust, Series 2021-INV6, Class A5A, 2.500%, 4/25/2052 (a)(g) |
1,277,890 | 1,051,706 | ||||||
| JP Morgan Mortgage Trust, Series 2021-15, Class B6, 3.054%, 6/25/2052 (a)(g) |
8,349,373 | 2,596,805 | ||||||
| JP Morgan Mortgage Trust, Series 2021-15, Class B3, 3.129%, 6/25/2052 (a)(c)(g) |
8,969,948 | 6,543,165 | ||||||
| JP Morgan Mortgage Trust, Series 2021-15, Class B4, 3.129%, 6/25/2052 (a)(g) |
5,218,541 | 3,258,196 | ||||||
| JP Morgan Mortgage Trust, Series 2021-15, Class B5, 3.129%, 6/25/2052 (a)(g) |
4,173,660 | 2,288,781 | ||||||
| JP Morgan Mortgage Trust, Series 2022-1, Class B6, 2.329%, 7/25/2052 (a)(g) |
6,033,683 | 1,454,480 | ||||||
| JP Morgan Mortgage Trust, Series 2022-1, Class B5, 3.095%, 7/25/2052 (a)(g) |
6,898,149 | 3,914,720 | ||||||
| JP Morgan Mortgage Trust, Series 2022-1, Class B4, 3.095%, 7/25/2052 (a)(c)(g) |
14,180,973 | 9,473,315 | ||||||
| Lake Summit Mortgage Trust, 8.882%, 8/15/2049 (e)(g) |
4,112,464 | 4,101,710 | ||||||
| Lake Summit Mortgage Trust, 6.680%, 8/28/2049 (g) |
147,021,684 | 143,556,089 | ||||||
| Lake Summit Mortgage Trust, 7.850%, 6/25/2051 (g) |
1,480,000 | 1,401,233 | ||||||
| Legacy Mortgage Asset Trust, Series 2020-GS3, Class A1, 3.250%, 5/25/2060 (a)(o) |
4,816,084 | 4,808,812 | ||||||
| Lehman Mortgage Trust, Series 2007-5, Class PO1, 0.000%, 6/25/2037 (f) |
17,667 | 12,753 | ||||||
| Lehman Mortgage Trust, Series 2007-9, Class AP, 0.000%, 10/25/2037 (f) |
14,907 | 11,129 | ||||||
See accompanying notes which are an integral part of these financial statements.
82
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Lehman XS Trust, Series 2005-3, Class 3A3A, 4.945%, 9/25/2035 (o) |
$ | 1,115,247 | $ | 1,032,147 | ||||
| Lehman XS Trust, Series 2007-9, Class WFIO, 0.550%, 4/25/2037 (e)(h) |
18,143,423 | 51,074 | ||||||
| Lehman XS Trust, Series 2006-10N, Class 1A3A, |
1,412,150 | 1,305,729 | ||||||
| Lehman XS Trust, Series 2006-GP4, Class 3A4, |
3,501,621 | 2,180,274 | ||||||
| Luminent Mortgage Trust, Series 2006-1, Class X, 0.021%, 4/25/2036 (e)(g)(h) |
26,557,428 | 310,244 | ||||||
| Luminent Mortgage Trust, Series 2006-1, Class A1, |
3,780,101 | 3,294,596 | ||||||
| Luminent Mortgage Trust, Series 2006-3, Class 12X, 1.000%, 5/25/2036 (e)(h) |
8,415,365 | 194,530 | ||||||
| Luminent Mortgage Trust, Series 2006-5, Class X, 0.773%, 7/25/2036 (e)(g)(h) |
27,783,491 | 45,537 | ||||||
| Luminent Mortgage Trust, Series 2006-2, Class X, 0.057%, 2/25/2046 (e)(g)(h) |
31,532,772 | 114,811 | ||||||
| MASTR Adjustable Rate Mortgages Trust, Series 2004-15,
Class 2A2, |
5,432 | 4,431 | ||||||
| MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 3.726%, 3/25/2035 (g) |
14,651 | 12,635 | ||||||
| MASTR Adjustable Rate Mortgages Trust, Series 2005-7, Class 2A1, 3.595%, 9/25/2035 (g) |
1,372,612 | 1,275,519 | ||||||
| MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 3.703%, 1/25/2036 (g) |
708,009 | 653,947 | ||||||
| MASTR Alternative Loan Trust, Series 2007-1, Class 15PO, 0.000%, 10/1/2033 (e)(f) |
2,913 | 928 | ||||||
| MASTR Alternative Loan Trust, Series 2004-6, Class 30PO, 0.000%, 7/25/2034 (f) |
79,672 | 70,676 | ||||||
| MASTR Alternative Loan Trust, Series 2006-1,
Class A2, |
2,008,892 | 558,751 | ||||||
| MASTR Alternative Loan Trust, Series 2007-HF1, Class 4A1, 7.000%, 10/25/2047 (k) |
9,655,770 | 4,982,763 | ||||||
| MASTR Asset Securitization Trust, Series 2005-2, Class PO, 0.000%, 11/25/2035 (f) |
11,396 | 7,883 | ||||||
| MASTR Asset Securitization Trust, Series 2007-1, Class AP, 0.000%, 11/25/2037 (e)(f) |
403 | 320 | ||||||
| MASTR Resecuritization Trust, Series 2008-4, Class A1, 6.000%, 6/27/2036 (a)(g) |
1,459,949 | 1,265,440 | ||||||
| Mello Mortgage Capital Acceptance, Series 2018-MTG1, Class B4, 3.741%, 3/25/2048 (a)(g) |
1,799,000 | 1,548,540 | ||||||
| Mello Mortgage Capital Acceptance, Series 2018-MTG1, Class B5, 3.741%, 3/25/2048 (a)(g) |
1,499,000 | 1,183,186 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-MTG1, Class B6, 2.647%, 4/25/2051 (a)(g) |
1,514,186 | 331,681 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-MTG1, Class B4, 2.647%, 4/25/2051 (a)(g) |
1,098,148 | 670,225 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-MTG1, Class B5, 2.647%, 4/25/2051 (a)(g) |
548,596 | 250,891 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-MTG2, Class B4, 2.673%, 6/25/2051 (a)(g) |
1,678,280 | 1,009,950 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-MTG2, Class B6, 2.673%, 6/25/2051 (a)(g) |
1,209,493 | 266,549 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-MTG2, Class B5, 2.673%, 6/25/2051 (a)(g) |
349,000 | 102,838 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-MTG3, Class B6, 2.900%, 7/25/2051 (a)(g) |
1,137,709 | 266,626 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-MTG3, Class B5, 2.900%, 7/25/2051 (a)(g) |
488,000 | 152,754 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-INV4, Class B6, 2.742%, 12/26/2051 (a)(g) |
3,959,186 | 1,422,164 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-INV4,
Class B1, |
5,674,285 | 4,550,471 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-INV4,
Class B2, |
9,113,601 | 7,036,858 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-INV4, Class B4, |
3,095,775 | 1,928,454 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-INV4, Class B5, |
1,203,370 | 680,668 | ||||||
| Mello Mortgage Capital Acceptance, Series 2021-INV4,
Class B3, |
2,750,281 | 2,003,641 | ||||||
| Mello Warehouse Securitization Trust, Series 2021-3,
Class F, |
18,750,000 | 17,069,831 | ||||||
| Merrill Lynch Mortgage Backed Securities Trust, Series 2007-1,
Class 1A1, |
1,600,894 | 1,410,321 | ||||||
| Merrill Lynch Mortgage Investors Trust, Series 2003-B,
Class A1, |
974,561 | 796,846 | ||||||
See accompanying notes which are an integral part of these financial statements.
83
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Merrill Lynch Mortgage Investors Trust, Series 2004-A,
Class A1, |
$ | 673,008 | $ | 520,000 | ||||
| Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 3A1, 3.322%, 5/25/2036 (g) |
469,882 | 396,400 | ||||||
| Merrill Lynch Mortgage Investors Trust, Series 2007-MLN1, Class A1, |
24,016,231 | 20,448,548 | ||||||
| Merrill Lynch Mortgage Investors Trust, Series 2006-AF2,
Class AV2B, |
5,472,695 | 3,392,961 | ||||||
| Merrill Lynch Mortgage Investors Trust, Series 2006-AF2,
Class AV1, |
5,006,497 | 3,106,742 | ||||||
| Merrill Lynch Mortgage Investors Trust, Series 2006-AF2,
Class AV2C, |
10,048,857 | 5,249,724 | ||||||
| MFA Trust, Series 2021-AEI2, Class B6, 2.941%, 10/25/2051 (a)(g) |
4,104,268 | 1,407,538 | ||||||
| MFA Trust, Series 2021-AEI2, Class B5, 3.289%, 10/25/2051 (a)(g) |
2,050,667 | 1,166,226 | ||||||
| MFA Trust, Series 2021-AEI2, Class B4, 3.289%, 10/25/2051 (a)(g) |
2,841,191 | 1,776,554 | ||||||
| MFA Trust, Series 2021-AEI2, Class B2, 3.289%, 10/25/2051 (a)(g)(k) |
5,895,667 | 4,582,778 | ||||||
| MFA Trust, Series 2021-AEI2, Class B1, 3.289%, 10/25/2051 (a)(g)(k) |
3,213,950 | 2,591,668 | ||||||
| MFA Trust, Series 2021-RPL1, Class A2, 2.072%, 7/25/2060 (a)(g) |
4,106,000 | 3,291,513 | ||||||
| MFA Trust, Series 2021-RPL1, Class M2, 2.855%, 7/25/2060 (a)(g) |
4,500,000 | 3,382,925 | ||||||
| Morgan Stanley ABS Capital Inc. Trust, Series 2007-HE6,
Class A1, |
4,866,369 | 4,416,468 | ||||||
| Morgan Stanley ABS Capital Inc. Trust, Series 2007-HE6,
Class A3, |
14,133,738 | 12,741,112 | ||||||
| Morgan Stanley ABS Capital Inc. Trust, Series 2007-HE6,
Class A4, |
2,035,258 | 1,807,904 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2005-1,
Class 4A1, |
723,803 | 624,902 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 1A, 3.205%, 7/25/2035 (g)(k) |
7,522,461 | 4,599,217 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 3A, 3.562%, 7/25/2035 (g) |
746,954 | 661,515 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 5A1, 3.755%, 11/25/2035 (g) |
2,138,258 | 1,255,023 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2005-9AR,
Class 1A, |
1,617,128 | 1,108,512 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 1AX, 0.073%, 3/25/2036 (e)(g)(h) |
14,973,257 | 1,266,663 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A1, 3.772%, 3/25/2036 (g)(k) |
5,672,045 | 4,212,792 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3, 3.772%, 3/25/2036 (g)(k) |
2,882,946 | 2,133,472 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-3AR,
Class 1A1, |
1,992,550 | 1,295,923 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-3AR,
Class 1A3, |
1,203,968 | 782,260 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-5AR,
Class AX, |
16,106,778 | 339,772 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-7,
Class 4A2, |
3,503,449 | 1,222,844 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-9AR,
Class A1, |
1,947,981 | 664,384 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-11, Class 2A3, 6.000%, 8/25/2036 |
2,315,553 | 1,300,810 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-11, Class 1A6, 6.731%, 8/25/2036 (o) |
2,666,433 | 930,945 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-11, Class 1A3, 6.924%, 8/25/2036 (o) |
3,322,752 | 1,157,158 | ||||||
See accompanying notes which are an integral part of these financial statements.
84
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-8XS,
Class A5, |
$ | 17,107,262 | $ | 6,042,371 | ||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-8XS,
Class A9, |
17,107,262 | 5,960,666 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-8XS,
Class A2, |
17,592,403 | 6,975,669 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-12,
Class 3A22, |
2,564,515 | 1,518,752 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-15AR, Class 2A1, |
5,489,732 | 4,368,317 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-3XS,
Class 2A3S, |
1,517,061 | 878,103 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-3XS,
Class 2A4S, |
5,734,070 | 2,859,380 | ||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-6XS,
Class 2A5S, |
2,572,046 | 1,163,023 | ||||||
| Morgan Stanley Resecuritization Trust, Series 2015-R4,
Class CB3, |
1,010,309 | 697,715 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-1, Class B6, 2.952%, 3/25/2051 (a)(g) |
1,124,310 | 267,804 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-1, Class B4, 2.952%, 3/25/2051 (a)(g) |
810,060 | 387,166 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-1, Class B5, 2.952%, 3/25/2051 (a)(g) |
988,000 | 314,624 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-3, Class B6, 2.797%, 6/25/2051 (a)(g) |
938,058 | 211,943 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-3, Class B5, 2.823%, 6/25/2051 (a)(g) |
781,000 | 236,286 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-3, Class B4, 2.823%, 6/25/2051 (a)(g) |
1,093,000 | 444,967 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B6, 2.928%, 7/25/2051 (a)(g) |
827,000 | 195,155 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B4, 2.932%, 7/25/2051 (a)(g) |
1,240,000 | 522,865 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B5, 2.932%, 7/25/2051 (a)(g) |
690,000 | 216,540 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-4, Class B1, 2.932%, 7/25/2051 (a)(c)(g) |
7,552,550 | 6,159,452 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-4,
Class B2, |
3,578,232 | 2,699,300 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-4,
Class B3, |
2,119,829 | 1,436,209 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-5,
Class B6, |
1,196,715 | 287,055 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-5,
Class B5, |
956,000 | 305,445 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-5,
Class B3, |
4,396,091 | 3,163,611 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-5,
Class B2, |
6,247,789 | 4,756,998 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-5,
Class B1, |
12,957,051 | 10,569,196 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-5,
Class B4, |
2,082,919 | 1,054,807 | ||||||
| Mortgage Insurance-Linked Notes, Series 2020-1,
Class M2A, |
11,731,174 | 11,279,336 | ||||||
See accompanying notes which are an integral part of these financial statements.
85
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Mortgage Insurance-Linked Notes, Series 2021-2,
Class M1B, |
$ | 850,541 | $ | 805,369 | ||||
| Mortgage Insurance-Linked Notes, Series 2021-1,
Class M2, |
3,250,000 | 3,009,035 | ||||||
| MortgageIT Mortgage Loan Trust, Series 2006-1, Class 1X, 0.342%, 4/25/2036 (e)(g)(h) |
8,771,109 | 84,159 | ||||||
| New Residential Mortgage Loan Trust, Series 2022-SFR2, Class E2, 4.000%, 9/4/2039 (a) |
2,554,000 | 2,212,129 | ||||||
| New Residential Mortgage Loan Trust, Series 2019-1A, Class B6B, 3.174%, 9/25/2057 (a)(g) |
5,949,139 | 5,177,066 | ||||||
| New Residential Mortgage Loan Trust, Series 2019-6A,
Class B5IA, |
15,155,010 | 1,566,770 | ||||||
| New Residential Mortgage Loan Trust, Series 2019-6A,
Class B6, |
20,373,248 | 12,299,350 | ||||||
| Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AP1, Class A3, 5.654%, 1/25/2036 (g) |
3,403,219 | 1,358,218 | ||||||
| Nomura Asset Acceptance Corp. Alternative Loan Trust, Series
2006-AR3, Class A1A, |
777,738 | 646,833 | ||||||
| Nomura Asset Acceptance Corp. Alternative Loan Trust, Series
2006-AR4, Class A3, |
115,514 | 84,431 | ||||||
| Nomura Resecuritization Trust, Series 2014-6R,
Class 3A2, |
1,994,703 | 1,336,365 | ||||||
| Nomura Resecuritization Trust, Series 2015-2R,
Class 3A1, |
779,981 | 784,582 | ||||||
| Nomura Resecuritization Trust, Series 2014-3R,
Class 4A15, |
4,229,388 | 3,252,987 | ||||||
| Oaktown Re Ltd., Series 2019-1A, Class B1B, |
1,620,000 | 1,574,998 | ||||||
| OBX Trust, Series 2021-INV3, Class A3, 2.500%, 10/25/2051 (a)(g) |
1,340,791 | 1,105,076 | ||||||
| Oceanview Mortgage Trust, Series 2021-5, Class B4, 2.976%, 10/25/2051 (a)(g) |
1,715,000 | 623,372 | ||||||
| Oceanview Mortgage Trust, Series 2021-5, Class B5, 2.976%, 10/25/2051 (a)(g) |
734,000 | 237,295 | ||||||
| PFCA Home Equity Investment Trust, Series 2003-GP1,
Class A, |
3,666,990 | 3,487,619 | ||||||
| PFCA Home Equity Investment Trust, Series 2003-IFC4, Class A, |
2,387,417 | 2,289,617 | ||||||
| PHH Alternative Mortgage Trust, Series 2007-1, Class 21PO, 0.000%, 2/25/2037 (f) |
13,078 | 9,780 | ||||||
| PHH Alternative Mortgage Trust, Series 2007-1,
Class 1A1, |
4,137,844 | 3,123,332 | ||||||
| PHH Alternative Mortgage Trust, Series 2007-2,
Class 2A5, |
1,642,340 | 1,150,948 | ||||||
| PHH Alternative Mortgage Trust, Series 2007-2, Class 2A2, 6.000%, 5/25/2037 |
1,265,003 | 1,056,655 | ||||||
| PHH Alternative Mortgage Trust, Series 2007-2,
Class 1A3, |
910,304 | 712,356 | ||||||
| PRET LLC, Series 2022-NPL3, Class A2, 7.870%, 6/25/2052 (a)(o) |
1,000,000 | 973,239 | ||||||
| Prime Mortgage Trust, Series 2007-2, Class A2, 6.000%, 4/25/2037 (k) |
2,788,076 | 2,222,707 | ||||||
| PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026 (a)(o) |
616,370 | 579,308 | ||||||
| PRPM LLC, Series 2021-RPL1, Class M1, 2.680%, 7/25/2051 (a)(g) |
6,167,000 | 5,220,705 | ||||||
| Radnor RE Ltd., Series 2021-2, Class M2, 9.310% (SOFR30A + 5.000%), 11/25/2031 (a)(d) |
3,214,672 | 3,024,071 | ||||||
| Radnor RE Ltd., Series 2022-1, Class M1B, |
1,000,000 | 1,006,778 | ||||||
| RAMP Trust, Series 2006-RS2, Class A3A, |
605,018 | 577,357 | ||||||
| Rate Mortgage Trust, Series 2021-J1, Class B6, 2.717%, 7/25/2051 (a)(g) |
737,919 | 162,519 | ||||||
| Rate Mortgage Trust, Series 2021-J1, Class B5, 2.717%, 7/25/2051 (a)(g) |
922,000 | 272,469 | ||||||
See accompanying notes which are an integral part of these financial statements.
86
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Rate Mortgage Trust, Series 2021-J1, Class B4, 2.717%, 7/25/2051 (a)(g) |
$ | 1,291,000 | $ | 514,662 | ||||
| Rate Mortgage Trust, Series 2021-HB1, Class B5, 2.706%, 12/25/2051 (a)(g) |
575,000 | 169,725 | ||||||
| Rate Mortgage Trust, Series 2021-HB1, Class B4, 2.706%, 12/25/2051 (a)(g) |
2,605,831 | 1,414,742 | ||||||
| Rate Mortgage Trust, Series 2021-HB1, Class B6, 2.706%, 12/25/2051 (a)(g) |
1,340,138 | 294,761 | ||||||
| Rate Mortgage Trust, Series 2022-J1, Class B6, 2.750%, 1/25/2052 (a)(g) |
1,112,723 | 230,053 | ||||||
| Rate Mortgage Trust, Series 2022-J1, Class B5, 2.750%, 1/25/2052 (a)(g) |
632,000 | 219,128 | ||||||
| Rate Mortgage Trust, Series 2022-J1, Class B4, 2.750%, 1/25/2052 (a)(g) |
3,699,017 | 2,032,473 | ||||||
| RBSSP Resecuritization Trust, Series 2009-3, Class 3A3, 5.750%, 9/26/2035 (a)(g) |
1,583,493 | 1,395,441 | ||||||
| RBSSP Resecuritization Trust, Series 2009-12, Class 19A2, 3.718%, 12/27/2035 (a)(g)(k) |
7,651,231 | 6,835,204 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QS7, Class A1, 5.500%, 6/25/2035 |
1,435,525 | 1,294,292 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QA8, Class CB21, 4.376%, 7/25/2035 (g) |
482,022 | 362,407 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QS11, Class A2, |
224,583 | 129,841 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QS10, Class 3A3, 5.500%, 8/25/2035 |
786,732 | 660,669 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QS13, Class AP, 0.000%, 9/25/2035 (f) |
215,226 | 115,199 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QS13, Class 1A6, 5.500%, 9/25/2035 |
453,007 | 409,122 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QS13, Class 2A4, 5.750%, 9/25/2035 (k) |
1,868,992 | 1,722,489 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QS14, Class 2A1, 6.000%, 9/25/2035 (k) |
6,278,789 | 2,828,167 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QS15, Class 3A, 6.000%, 10/25/2035 (k) |
5,366,830 | 5,045,770 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QS16, Class A1, |
395,216 | 261,374 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QS17, Class AP, 0.000%, 12/25/2035 (f) |
351,424 | 214,863 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QA13, Class 2A1, |
3,880,028 | 3,528,156 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QS17, Class A1, 6.000%, 12/25/2035 (k) |
2,052,460 | 1,892,889 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS1,
Class A5, |
3,736,096 | 2,560,776 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS2, Class 1A9, 5.500%, 2/25/2036 (k) |
2,896,544 | 2,451,461 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS2,
Class 1A5, |
711,795 | 454,029 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS3, Class 2AP, 0.000%, 3/25/2036 (f) |
527,578 | 292,600 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS3,
Class 1A8, |
1,520,842 | 946,277 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS3,
Class 1A1, |
2,818,915 | 1,807,857 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QA3,
Class A2, |
18,965,619 | 13,978,003 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS4, Class A2, 6.000%, 4/25/2036 |
1,213,743 | 967,960 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS5, Class AP, 0.000%, 5/25/2036 (f) |
30,965 | 18,898 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS5, Class A9, 6.000%, 5/25/2036 |
1,253,267 | 1,099,071 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS5, Class A1, 6.000%, 5/25/2036 |
877,189 | 769,241 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS9, Class 1AP, 0.000%, 7/25/2036 (f) |
36,846 | 22,334 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS9, Class 2AP, 0.000%, 7/25/2036 (e)(f) |
14,951 | 4,261 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QA5,
Class 1A1, |
112,655 | 58,988 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QA5,
Class 1A2, |
6,091,242 | 2,818,978 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QA6,
Class A3, |
1,498,283 | 1,425,934 | ||||||
See accompanying notes which are an integral part of these financial statements.
87
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QA6,
Class A1, |
$ | 677,277 | $ | 541,038 | ||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QA5,
Class 1A3, |
587,820 | 270,750 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS9,
Class 1A8, |
1,040,421 | 620,627 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS9, Class 1A10, 6.500%, 7/25/2036 |
1,496,325 | 1,339,027 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QA7,
Class 2A1, |
5,279,621 | 4,292,416 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS10, Class A4, 5.750%, 8/25/2036 |
1,335,383 | 1,169,850 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS10, Class A10, 6.000%, 8/25/2036 |
191,437 | 164,073 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS10, Class A15, 6.000%, 8/25/2036 |
249,884 | 214,401 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS11, Class 1A2, 6.000%, 8/25/2036 (k) |
2,360,203 | 2,146,919 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS11, Class 1A8, 6.000%, 8/25/2036 (k) |
2,351,469 | 2,093,177 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS11, Class 1A1, 6.500%, 8/25/2036 (k) |
3,347,897 | 3,026,723 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS12, Class AP, 0.000%, 9/25/2036 (f) |
83,381 | 51,729 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QA8,
Class A2, |
385,707 | 334,266 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS12, Class 2A7, |
2,873,918 | 1,966,763 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS12, Class 2A18, 5.750%, 9/25/2036 |
293,384 | 254,977 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS12, Class 2A4, 6.000%, 9/25/2036 (k) |
2,963,101 | 2,604,551 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS15, Class AP, 0.000%, 10/25/2036 (f) |
123,744 | 63,866 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS15, Class A5, 6.500%, 10/25/2036 |
1,100,713 | 1,004,353 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS16, Class AP, 0.000%, 11/25/2036 (f) |
105,021 | 51,830 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS14, Class A15, |
1,644,523 | 916,851 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QA9,
Class A1, |
1,551,598 | 851,880 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS16, Class A3, |
7,059,321 | 5,519,154 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS14, Class A1, 6.500%, 11/25/2036 |
848,634 | 735,866 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS14, Class A13, 6.500%, 11/25/2036 |
863,299 | 747,891 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS14, Class A25, |
5,611,171 | 5,040,476 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QA10, Class A2, |
423,634 | 346,405 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QA10, Class A1, |
5,712,543 | 4,638,048 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS18, Class 2A1, |
4,931,504 | 3,427,326 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QS17, Class A6, 6.250%, 12/25/2036 (k) |
4,477,057 | 3,945,084 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS1, Class 1AP, 0.000%, 1/25/2037 (f) |
29,609 | 16,152 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS1, Class 2AP, 0.000%, 1/25/2037 (f) |
821,383 | 435,124 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS1, Class 2A10, 6.000%, 1/25/2037 |
1,608,862 | 1,424,459 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS3, Class AP, 0.000%, 2/25/2037 (f) |
425,251 | 206,168 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QA2,
Class A3, |
5,329,643 | 4,562,452 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS3, Class A2, 6.000%, 2/25/2037 (k) |
10,686,005 | 8,582,155 | ||||||
See accompanying notes which are an integral part of these financial statements.
88
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS5, Class AP, 0.000%, 3/25/2037 (f) |
$ | 189,109 | $ | 96,220 | ||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS5, Class A7, 0.000%, 3/25/2037 (f) |
175,840 | 90,618 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS4, Class 4A3, 0.000%, 3/25/2037 (f) |
548,026 | 30,427 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS5, Class A1, 5.500%, 3/25/2037 |
179,790 | 135,954 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS6, Class AP, 0.000%, 4/25/2037 (f) |
351,628 | 170,988 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS6,
Class A1, |
3,132,768 | 1,979,706 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QA3,
Class A3, |
11,432,217 | 9,362,654 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS7,
Class 1A7, |
509,360 | 352,792 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS8, Class A13, 6.000%, 6/25/2037 |
1,786,063 | 1,627,146 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS7, Class 2A1, 6.750%, 6/25/2037 (k) |
29,585,673 | 12,262,551 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS9, Class AP, 0.000%, 7/25/2037 (f) |
941,667 | 421,469 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QS10, Class A1, 6.500%, 9/25/2037 (k) |
6,748,685 | 6,039,736 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2005-QO5,
Class X, |
23,687,318 | 1,722,021 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2006-QO7, Class X3, 1.500%, 9/25/2046 (e)(h) |
14,582,095 | 407,759 | ||||||
| Residential Accredit Loans, Inc. Trust, Series 2007-QO5,
Class A, |
23,595,566 | 4,513,407 | ||||||
| Residential Asset Securitization Trust, Series 2005-A4,
Class A1, |
2,831,980 | 1,523,580 | ||||||
| Residential Asset Securitization Trust, Series 2005-A10, Class A3, 5.500%, 9/25/2035 (k) |
4,098,665 | 2,432,000 | ||||||
| Residential Asset Securitization Trust, Series 2005-A10, Class A4, 5.500%, 9/25/2035 |
1,116,120 | 825,823 | ||||||
| Residential Asset Securitization Trust, Series 2005-A11, Class PO, 0.000%, 10/25/2035 (f) |
539,046 | 324,814 | ||||||
| Residential Asset Securitization Trust, Series 2005-A11,
Class 1A1, |
1,798,047 | 1,019,088 | ||||||
| Residential Asset Securitization Trust, Series 2005-A11, Class 1A3, 5.500%, 10/25/2035 |
1,614,385 | 1,385,817 | ||||||
| Residential Asset Securitization Trust, Series 2005-A12,
Class A10, |
940,563 | 433,679 | ||||||
| Residential Asset Securitization Trust, Series 2005-A12,
Class A6, |
3,945,913 | 2,155,858 | ||||||
| Residential Asset Securitization Trust, Series 2005-A14, Class A3, 5.500%, 12/25/2035 |
612,911 | 454,145 | ||||||
| Residential Asset Securitization Trust, Series 2006-A2,
Class A5, |
1,849,874 | 476,552 | ||||||
| Residential Asset Securitization Trust, Series 2006-A8, Class 2A3, 6.000%, 8/25/2036 (k) |
6,289,015 | 1,947,821 | ||||||
| Residential Asset Securitization Trust, Series 2006-A8, Class 2A1, 6.500%, 8/25/2036 |
1,634,212 | 549,778 | ||||||
| Residential Asset Securitization Trust, Series 2006-A8, Class 2A4, 6.500%, 8/25/2036 (k) |
10,330,348 | 3,400,957 | ||||||
| Residential Asset Securitization Trust, Series 2006-A8, Class 2A2, 6.750%, 8/25/2036 (k) |
10,400,948 | 3,562,429 | ||||||
| Residential Asset Securitization Trust, Series 2006-A14C, Class 2A4, 6.000%, 12/25/2036 |
3,071,444 | 1,125,460 | ||||||
| Residential Asset Securitization Trust, Series 2006-A16, Class 2A1, 6.000%, 2/25/2037 (k) |
7,893,656 | 1,856,754 | ||||||
| Residential Asset Securitization Trust, Series 2006-A16, Class 2A3, 6.609%, 2/25/2037 (g)(k) |
21,194,584 | 5,396,883 | ||||||
| Residential Asset Securitization Trust, Series 2007-A6,
Class 1A4, |
2,191,871 | 1,734,748 | ||||||
| Residential Asset Securitization Trust, Series 2007-A7, Class A6, 6.000%, 7/25/2037 (k) |
3,975,116 | 2,191,358 | ||||||
| Residential Funding Mortgage Securities Trust, Series 2005-S7,
Class AP, |
28,047 | 19,462 | ||||||
| Residential Funding Mortgage Securities Trust, Series 2006-SA1, Class 1A1, 4.473%, 2/25/2036 (g) |
725,484 | 552,105 | ||||||
See accompanying notes which are an integral part of these financial statements.
89
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Residential Funding Mortgage Securities Trust, Series 2006-S4,
Class AP, |
$ | 116,008 | $ | 86,639 | ||||
| Residential Funding Mortgage Securities Trust, Series 2006-S5,
Class A4, |
34,552 | 20,892 | ||||||
| Residential Funding Mortgage Securities Trust, Series 2006-S5, Class A9, 6.000%, 6/25/2036 |
668,231 | 614,746 | ||||||
| Residential Funding Mortgage Securities Trust, Series 2006-S5, Class A12, 6.000%, 6/25/2036 |
514,826 | 480,865 | ||||||
| Residential Funding Mortgage Securities Trust, Series 2006-S7, Class A7, 6.250%, 8/25/2036 |
56,712 | 50,945 | ||||||
| Residential Funding Mortgage Securities Trust, Series 2006-S9,
Class A4, |
4,198,850 | 3,794,824 | ||||||
| Residential Funding Mortgage Securities Trust, Series 2006-S10,
Class 1AP, |
12,073 | 7,090 | ||||||
| Residential Funding Mortgage Securities Trust, Series 2006-S10, Class 1A3, 6.000%, 10/25/2036 |
425,911 | 386,119 | ||||||
| Residential Funding Mortgage Securities Trust, Series 2007-S1, Class A7, 6.000%, 1/25/2037 |
1,322,918 | 1,202,645 | ||||||
| Residential Funding Mortgage Securities Trust, Series 2007-S5,
Class AP, |
193,172 | 128,128 | ||||||
| Residential Mortgage Loan Trust, Series 2020-1, Class B2, 4.665%, 1/25/2060 (a)(g) |
1,075,000 | 911,816 | ||||||
| Rocket Mortgage Trust, Series 2021-2, Class B5, 2.564%, 6/25/2051 (a)(g) |
1,566,000 | 448,299 | ||||||
| Rocket Mortgage Trust, Series 2021-2, Class B4, 2.564%, 6/25/2051 (a)(g) |
2,509,174 | 1,320,568 | ||||||
| Rocket Mortgage Trust, Series 2021-2, Class B6, 2.564%, 6/25/2051 (a)(g) |
870,254 | 183,832 | ||||||
| Rocket Mortgage Trust, Series 2021-4, Class B6, 3.008%, 9/25/2051 (a)(g) |
6,294,411 | 1,539,783 | ||||||
| Rocket Mortgage Trust, Series 2021-4, Class B5, 3.008%, 9/25/2051 (a)(g) |
7,984,024 | 3,919,980 | ||||||
| Rocket Mortgage Trust, Series 2021-4, Class B3, 3.008%, 9/25/2051 (a)(c)(g) |
7,513,634 | 5,446,964 | ||||||
| Rocket Mortgage Trust, Series 2021-4, Class B2A, 3.008%, 9/25/2051 (a)(c)(g) |
8,208,066 | 6,297,006 | ||||||
| Rocket Mortgage Trust, Series 2021-4, Class B4, 3.008%, 9/25/2051 (a)(c)(g) |
9,391,315 | 6,101,782 | ||||||
| Rocket Mortgage Trust, Series 2021-6, Class B4, 2.796%, 12/25/2051 (a)(g) |
4,746,679 | 2,682,301 | ||||||
| Rocket Mortgage Trust, Series 2021-6, Class B6, 2.796%, 12/25/2051 (a)(g) |
1,947,847 | 443,737 | ||||||
| Rocket Mortgage Trust, Series 2021-6, Class B5, 2.796%, 12/25/2051 (a)(g) |
1,948,000 | 595,765 | ||||||
| Rocket Mortgage Trust, Series 2022-1, Class B5, 2.755%, 1/25/2052 (a)(g) |
2,245,000 | 785,099 | ||||||
| Rocket Mortgage Trust, Series 2022-1, Class B4, 2.755%, 1/25/2052 (a)(g) |
5,197,193 | 3,113,207 | ||||||
| Rocket Mortgage Trust, Series 2022-1, Class B3, 2.755%, 1/25/2052 (a)(c)(g) |
9,279,922 | 5,853,728 | ||||||
| Rocket Mortgage Trust, Series 2022-1, Class B6, 2.755%, 1/25/2052 (a)(g) |
2,244,537 | 462,902 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2021-MF1, Class A1, 2.805%, 11/25/2029 (a)(g) |
14,000,000 | 13,283,172 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2020-SEQ1, Class C, 0.000%, 5/25/2050 (a)(e)(g)(h) |
39,778,851 | 1,429,254 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2020-SEQ1, Class A1, 3.321%, 5/25/2050 (a)(g) |
5,610,338 | 5,410,161 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2020-SEQ1, Class M1, 7.500%, 5/25/2050 (a)(g) |
7,318,000 | 7,380,393 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2020-FIG1, Class A1, 3.568%, 9/25/2050 (a) |
2,299,337 | 2,274,566 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2020-FIG1, Class M1, 7.000%, 9/25/2050 (a) |
15,056,668 | 14,470,949 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2021-FIG2, Class C, 0.000%, 10/25/2051 (a)(g)(h) |
149,483 | 671,036 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2021-FIG2, Class M1, 4.250%, 10/25/2051 (a)(g) |
1,449,524 | 1,722,600 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2021-FIG2, Class M2, 6.000%, 10/25/2051 (a)(g) |
1,159,619 | 1,379,146 | ||||||
See accompanying notes which are an integral part of these financial statements.
90
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class XS, 3.008%, 2/25/2052 (a)(e)(g)(h) |
$ | 147,868,709 | $ | 6,020,474 | ||||
| Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class A1, 3.500%, 2/25/2052 (a)(c)(g) |
13,565,075 | 13,246,757 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class M1, 5.000%, 2/25/2052 (a)(g) |
5,213,750 | 5,031,524 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class M2, 5.500%, 2/25/2052 (a)(g) |
3,153,250 | 2,947,797 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class B2, 6.000%, 2/25/2052 (a)(g) |
2,011,000 | 1,862,305 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class B3, 7.363%, 2/25/2052 (a)(g) |
2,309,200 | 2,095,437 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class CERT, |
38,061,600 | 35,740,756 | ||||||
| Saluda Grade Fund Trust, Series 2022-SG2, Class A, 5.000%, 5/15/2052 (a) |
15,000,000 | 14,529,030 | ||||||
| Sequoia Mortgage Trust, Series 2004-4, Class A, |
659,675 | 555,752 | ||||||
| Sequoia Mortgage Trust, Series 2004-7, Class A3B, |
29,923 | 22,774 | ||||||
| Sequoia Mortgage Trust, Series 2005-2, Class XA, 0.305%, 3/20/2035 (e)(g)(h) |
5,626,783 | 39,950 | ||||||
| Sequoia Mortgage Trust, Series 2007-1, Class 5A1, 3.491%, 10/20/2046 (g)(k) |
2,213,018 | 1,661,985 | ||||||
| Sequoia Mortgage Trust, Series 2020-3, Class B4, 3.327%, 4/25/2050 (a)(g) |
2,385,146 | 1,670,418 | ||||||
| Sequoia Mortgage Trust, Series 2021-1, Class B4, 2.673%, 3/25/2051 (a)(g) |
2,516,099 | 1,277,607 | ||||||
| Sequoia Mortgage Trust, Series 2021-7, Class B4, 2.866%, 11/25/2051 (a)(g) |
1,624,858 | 684,699 | ||||||
| SG Residential Mortgage Trust, Series 2021-2, Class A2, 1.942%, 12/25/2061 (a)(c)(g) |
8,860,113 | 7,629,975 | ||||||
| Shellpoint Asset Funding Trust, Series 2013-1, Class B4, 3.863%, 7/25/2043 (a)(g) |
782,566 | 729,433 | ||||||
| Shellpoint Asset Funding Trust, Series 2013-1, Class B5, 3.863%, 7/25/2043 (a)(g)(k) |
2,733,914 | 1,784,543 | ||||||
| Spruce Hill Mortgage Loan Trust, Series 2020-SH1, Class B2, 4.676%, 1/28/2050 (a)(c)(g) |
6,000,000 | 5,015,454 | ||||||
| Starwood Mortgage Residential Trust, Series 2021-5, Class A3, 2.436%, 9/25/2066 (a)(c)(g) |
8,901,678 | 7,760,394 | ||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 3A1, 3.802%, 9/25/2035 (g)(k) |
1,977,286 | 1,695,707 | ||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-23, Class 4A1, 3.824%, 1/25/2036 (g) |
307,234 | 254,966 | ||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-5, Class 3A1, 3.446%, 6/25/2037 (g)(k) |
3,486,400 | 2,789,995 | ||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-8,
Class 1A2, |
915,343 | 672,840 | ||||||
| Structured Asset Mortgage Investments Trust, Series 2004-AR1,
Class X, |
5,481,963 | 20,322 | ||||||
| Structured Asset Mortgage Investments Trust, Series 2004-AR7, Class X, 0.009%, 4/19/2035 (e)(g)(h) |
8,030,507 | 140,582 | ||||||
| Structured Asset Mortgage Investments Trust, Series 2005-AR3, Class 1X, 0.010%, 7/25/2035 (e)(g)(h) |
11,148,659 | 154,231 | ||||||
| Structured Asset Mortgage Investments Trust, Series 2006-AR5, Class 1X, 0.449%, 5/25/2036 (e)(g)(h) |
11,074,874 | 426,460 | ||||||
| Structured Asset Mortgage Investments Trust, Series 2006-AR5, Class 4X, 0.997%, 5/25/2036 (e)(g)(h) |
35,797,820 | 1,256,038 | ||||||
| Structured Asset Mortgage Investments Trust, Series 2006-AR8, Class X, 0.400%, 10/25/2036 (e)(h) |
81,203,491 | 1,435,921 | ||||||
See accompanying notes which are an integral part of these financial statements.
91
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Structured Asset Mortgage Investments Trust, Series 2005-AR2,
Class 1X, |
$ | 7,656,954 | $ | 103,775 | ||||
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-6A, Class 2A1, 4.617%, 3/25/2033 (g) |
14,092 | 13,617 | ||||||
| TBW Mortgage-Backed Trust, Series 2006-3, Class 2A1, 6.500%, 7/25/2036 |
3,158,008 | 1,293,466 | ||||||
| Terwin Mortgage Trust, Series 2005-18AL, Class PX, 0.434%, 1/25/2037 (a)(e)(g)(h) |
23,877,800 | 1,260,963 | ||||||
| TH MSR Issuer Trust, Series 2019-FT1, Class A, |
2,000,000 | 1,803,606 | ||||||
| Traingle Re Ltd., Series 2021-1, Class B1, |
1,500,000 | 1,509,809 | ||||||
| Traingle Re Ltd., Series 2021-3, Class M1B, 7.210% (SOFR30A + 2.900%), 2/25/2034 (a)(d) |
8,400,000 | 7,958,756 | ||||||
| Traingle Re Ltd., Series 2021-3, Class M2, 8.060% (SOFR30A + 3.750%), 2/25/2034 (a)(d) |
2,200,000 | 2,029,150 | ||||||
| Unison Trust, Series 2021-1, Class A, 4.500%, 4/25/2050 (a)(g) |
8,953,616 | 8,106,980 | ||||||
| Unlock Hea Trust, Series 2022-1, Class A, 7.000%, 9/25/2035 (a)(c)(o) |
23,550,879 | 23,168,861 | ||||||
| Unlock Hea Trust, Series 2022-1, Class B, 8.000%, 9/25/2035 (a)(o) |
10,000,000 | 9,555,770 | ||||||
| UWM Mortgage Trust, Series 2021-INV1, Class B6, 3.092%, 8/25/2051 (a)(g) |
3,438,310 | 1,016,897 | ||||||
| UWM Mortgage Trust, Series 2021-INV1, Class B5, 3.161%, 8/25/2051 (a)(g) |
1,631,514 | 929,654 | ||||||
| UWM Mortgage Trust, Series 2021-INV1, Class B3, 3.161%, 8/25/2051 (a)(g) |
4,351,673 | 3,190,781 | ||||||
| UWM Mortgage Trust, Series 2021-INV1, Class B2, 3.161%, 8/25/2051 (a)(g)(k) |
7,435,360 | 5,765,229 | ||||||
| UWM Mortgage Trust, Series 2021-INV1, Class B1, 3.161%, 8/25/2051 (a)(c)(g) |
6,347,684 | 5,095,908 | ||||||
| UWM Mortgage Trust, Series 2021-INV1, Class B4, 3.161%, 8/25/2051 (a)(g) |
2,176,321 | 1,380,388 | ||||||
| UWM Mortgage Trust, Series 2021-INV2, Class B6, 3.144%, 9/25/2051 (a)(g) |
4,448,865 | 1,658,137 | ||||||
| UWM Mortgage Trust, Series 2021-INV2, Class B1, 3.252%, 9/25/2051 (a)(c)(g) |
6,416,201 | 5,084,563 | ||||||
| UWM Mortgage Trust, Series 2021-INV2, Class B2, 3.252%, 9/25/2051 (a)(c)(g) |
8,944,178 | 6,926,381 | ||||||
| UWM Mortgage Trust, Series 2021-INV2, Class B5, 3.252%, 9/25/2051 (a)(g) |
2,139,058 | 1,215,778 | ||||||
| UWM Mortgage Trust, Series 2021-INV2, Class B4, 3.252%, 9/25/2051 (a)(g) |
2,915,925 | 1,849,699 | ||||||
| UWM Mortgage Trust, Series 2021-INV2, Class B3, 3.252%, 9/25/2051 (a)(g)(k) |
5,250,415 | 3,837,292 | ||||||
| UWM Mortgage Trust, Series 2021-INV3, Class B6, 3.117%, 11/25/2051 (a)(g) |
10,091,187 | 3,893,715 | ||||||
| UWM Mortgage Trust, Series 2021-INV3, Class B5, 3.241%, 11/25/2051 (a)(g) |
4,440,239 | 2,501,617 | ||||||
| UWM Mortgage Trust, Series 2021-INV3, Class B3, 3.241%, 11/25/2051 (a)(c)(g) |
8,475,934 | 6,164,784 | ||||||
| UWM Mortgage Trust, Series 2021-INV3, Class B4, 3.241%, 11/25/2051 (a)(g) |
6,054,517 | 3,797,962 | ||||||
| Verus Securitization Trust, Series 2022-3, Class M1, 4.105%, 2/25/2067 (a)(g) |
2,500,000 | 1,994,550 | ||||||
| Verus Securitization Trust, Series 2022-7, Class M1, 5.413%, 7/25/2067 (a)(g) |
750,000 | 662,875 | ||||||
| Verus Securitization Trust, Series 2022-8, Class A3, 6.127%, 9/25/2067 (a)(o) |
689,042 | 691,606 | ||||||
| Wachovia Mortgage Loan Trust LLC, Series 2006-ALT1, Class A1, |
6,664,072 | 2,736,401 | ||||||
| Wachovia Mortgage Loan Trust LLC, Series 2006-ALT1, Class A2, |
2,146,246 | 1,110,876 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class B1, 3.104%, 6/25/2034 (g) |
560,262 | 532,129 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR18, Class 1A2, 3.968%, 1/25/2036 (g)(k) |
11,701,284 | 11,191,974 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR18, Class 3A1, 3.288%, 1/25/2037 (g) |
326,444 | 263,521 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY6, Class 1A1, 3.227%, 6/25/2037 (g)(k) |
1,894,583 | 1,704,414 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2004-AR10, Class X, 0.001%, 7/25/2044 (e)(g)(h) |
9,329,097 | 54,127 | ||||||
See accompanying notes which are an integral part of these financial statements.
92
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR6, Class X, 0.035%, 4/25/2045 (e)(g)(h) |
$ | 16,852,605 | $ | 338,552 | ||||
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA4, Class 1XPP, 0.166%, 5/25/2047 (e)(g)(h) |
72,142,837 | 30,877 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA5, Class 1XPP, 0.126%, 6/25/2047 (e)(g)(h) |
62,359,729 | 5,051 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2003-MS7, Class P, 0.000%, 3/25/2033 (f) |
241 | 178 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-5, Class CB11, 5.906% (1 Month LIBOR USD + 1.400%), 7/25/2035 (d)(k) |
3,445,110 | 2,934,417 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-9, Class 5A3, 5.856% (1 Month LIBOR USD + 1.350%), 11/25/2035 (d) |
1,767,427 | 1,097,648 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-AR1, Class A1A, 5.026% (1 Month LIBOR USD + 0.520%), 12/25/2035 (d)(k) |
2,833,438 | 1,971,574 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-11, Class A7, 5.750%, 1/25/2036 (k) |
6,231,839 | 5,596,460 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-5, Class 2CB2, 5.106% (1 Month LIBOR USD + 0.600%), 7/25/2036 (d) |
503,996 | 306,897 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-AR8, Class 3X1, 0.256%, 10/25/2046 (e)(g)(h) |
12,189,500 | 247,032 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2007-OA4, Class XPPP, 0.389%, 4/25/2047 (e)(g)(h) |
22,283,086 | 84,832 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2007-OA3, Class 5A, 3.677% (12 Month US Treasury Average + 1.250%), 4/25/2047 (d)(k) |
3,313,659 | 2,347,482 | ||||||
| Wells Fargo Alternative Loan Trust, Series 2007-PA1,
Class A1, |
3,115,876 | 2,065,695 | ||||||
| Wells Fargo Alternative Loan Trust, Series 2007-PA2, Class 1A1, 6.000%, 6/25/2037 |
864,084 | 804,520 | ||||||
| Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class 4A1, 6.500%, 7/25/2037 |
1,574,084 | 1,349,009 | ||||||
| Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class 4A3, 6.500%, 7/25/2037 |
1,726,766 | 1,479,859 | ||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR11, Class A1, 4.046%, 8/25/2036 (g) |
145,071 | 113,481 | ||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR14, Class 1A3, 4.481%, 10/25/2036 (g) |
396,934 | 296,861 | ||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2007-17, Class APO, 0.000%, 1/25/2038 (f) |
16,741 | 11,194 | ||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class B4, 3.731%, 7/25/2049 (a)(g) |
1,627,000 | 1,248,736 | ||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2019-4, Class B4, 3.510%, 9/25/2049 (a)(g) |
2,124,000 | 1,520,361 | ||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2021-1, Class B6, 2.711%, 12/25/2050 (a)(g) |
1,542,691 | 350,942 | ||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2021-1, Class B4, 2.711%, 12/25/2050 (a)(g) |
1,818,000 | 754,401 | ||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2021-1, Class B5, 2.711%, 12/25/2050 (a)(g) |
1,011,000 | 304,682 | ||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2022-1, Class B6, 2.779%, 8/25/2051 (a)(g) |
1,852,327 | 435,554 | ||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2022-1, Class B5, 2.976%, 8/25/2051 (a)(g) |
1,158,000 | 484,413 | ||||||
See accompanying notes which are an integral part of these financial statements.
93
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2022-1, Class B2, 2.976%, 8/25/2051 (a)(g)(k) |
$ | 4,742,364 | $ | 3,719,094 | ||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2022-1, Class B4, 2.976%, 8/25/2051 (a)(g) |
1,580,138 | 1,073,056 | ||||||
| Wells Fargo Mortgage Loan Trust, Series 2010-RR2,
Class 1A4, |
3,934,246 | 3,292,535 | ||||||
| Western Mortgage Reference Notes, Series 2021-CL2,
Class M4, |
17,969,350 | 17,342,777 | ||||||
| Western Mortgage Reference Notes, Series 2021-CL2,
Class M5, |
7,932,045 | 7,666,655 | ||||||
| Western Mortgage Reference Notes, Series 2021-CL2,
Class B, |
6,600,000 | 6,152,758 | ||||||
| WinWater Mortgage Loan Trust, Series 2014-1, Class B5, 3.918%, 6/20/2044 (a)(g)(k) |
2,370,000 | 1,840,701 | ||||||
| WinWater Mortgage Loan Trust, Series 2014-2, Class B5, 4.085%, 9/20/2044 (a)(g) |
1,938,000 | 1,426,163 | ||||||
| WinWater Mortgage Loan Trust, Series 2015-A, Class B5, 3.837%, 6/20/2045 (a)(g) |
3,901,122 | 2,134,323 | ||||||
| ZeroDown LLC, Series 2021-SFR1, Class A, 3.861%, 9/25/2024 (a)(g) |
13,637,142 | 13,241,119 | ||||||
| ZeroDown LLC, Series 2021-SFR1, Class B, 7.677%, 9/25/2024 (a) |
3,636,532 | 3,453,519 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
$2,397,755,472 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency – 8.86% |
||||||||
| Federal National Mortgage Association, 4.500%, 8/1/2052 |
3,475,267 | 3,431,805 | ||||||
| Government National Mortgage Association, 4.500%, 2/15/2041 |
30,000,000 | 29,756,070 | ||||||
| Government National Mortgage Association, 5.000%, 2/15/2041 |
119,750,000 | 120,469,578 | ||||||
| Government National Mortgage Association, 5.000%, 11/20/2052 (c) |
24,892,790 | 25,042,371 | ||||||
| Government National Mortgage Association, 5.500%, 11/20/2052 (c) |
9,964,873 | 10,120,514 | ||||||
| Government National Mortgage Association, 6.000%, 11/20/2052 (c) |
9,966,598 | 10,212,972 | ||||||
| Government National Mortgage Association, 5.500%, 2/15/2053 |
65,000,000 | 66,015,235 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY |
$265,048,545 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk |
||||||||
| Connecticut Avenue Securities Trust, Series 2019-R07,
Class 1M2, |
570,899 | 571,612 | ||||||
| Connecticut Avenue Securities Trust, Series 2019-HRP1, Class B1, |
2,500,000 | 2,412,908 | ||||||
| Connecticut Avenue Securities Trust, Series 2022-R08,
Class 1M1, |
734,340 | 742,611 | ||||||
| Federal Home Loan Mortgage Corp., Series 2021-DNA6, Class B2, |
5,100,000 | 4,650,563 | ||||||
| Federal Home Loan Mortgage Corp., Series 2022-DNA1, Class B1, |
2,000,000 | 1,895,000 | ||||||
| Federal Home Loan Mortgage Corp., Series 2018-SPI2, Class B, |
5,331,877 | 3,849,647 | ||||||
| Federal Home Loan Mortgage Corp., Series 2018-SPI3, Class B, |
10,185,056 | 7,619,329 | ||||||
| Federal Home Loan Mortgage Corp., Series 2018-SPI4, Class B, |
22,418,049 | 15,981,558 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER |
$37,723,228 | |||||||
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
94
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Whole Loans – 0.22% |
||||||||
| Agency High Balance Residential Mortgages, 5.125%, 05/24/2048 |
$487,047 | $470,922 | ||||||
| Agency High Balance Residential Mortgages, 4.500%, 04/26/2037 to 08/24/2037 (e) |
2,005,054 | 1,616,481 | ||||||
| Savannah Grand, 9.110%, 02/06/2023 |
4,600,000 | 4,597,092 | ||||||
|
|
|
|||||||
| TOTAL WHOLE LOANS |
$6,684,495 | |||||||
|
|
|
|||||||
| Warrants – 0.00% (q) |
||||||||
| Financial – 0.00% |
Shares | |||||||
| Kingstone Cos, Inc. (a)(e) |
90,000 | 45,000 | ||||||
|
|
|
|||||||
| TOTAL WARRANTS |
$45,000 | |||||||
|
|
|
|||||||
| Short-Term Investments – 4.00% |
||||||||
| Money Market Funds – 4.00% |
||||||||
| First American Government Obligations Fund, Class U, 4.158% (r) |
119,722,714 | 119,722,714 | ||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS |
$119,722,714 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS – 123.27% |
$3,686,984,548 | |||||||
| Liabilities in Excess of Other Assets – (23.27%) |
(696,058,649 | ) | ||||||
|
|
|
|||||||
| NET ASSETS – 100.00% |
$2,990,925,900 | |||||||
|
|
|
|||||||
LIBOR: London Inter-Bank Offered 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 January 31, 2023, the value of these securities amounted to $2,055,727,714 or 68.73% of net assets. |
| (b) | Security issued on a when-issued basis. On January 31, 2023, the total value of investments purchased on a when-issued basis was $1,056,157 or 0.04% of net assets. |
| (c) | All or a portion of the security has been pledged as collateral in connection with open reverse repurchase agreements. At January 31, 2023, the value of securities pledged amounted to $533,615,104. |
| (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. Rate disclosed is the rate in effect as of January 31, 2023. |
| (e) | Illiquid security. At January 31, 2023, the value of these securities amounted to $145,576,882 or 4.87% 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 January 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 January 31, 2023, the value of securities pledged amounted to $3,728,427 or 0.12% of net assets. |
See accompanying notes which are an integral part of these financial statements.
95
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments – (continued)
| (j) | As of January 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 $1,372,201 or 0.05% 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 January 31, 2023, the value of securities pledged amounted to $878,354,815. |
| (l) | Security issued as a “Baby Bond”, with a par value of $25 per bond. The principal balance disclosed above represents the issuer’s outstanding principal that corresponds to the bonds held in the Fund. |
| (m) | Security identified as in default as to the payment of interest. Income is not being accrued. |
| (n) | Auction rate security. Rate disclosed is the rate in effect as of January 31, 2023. |
| (o) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate disclosed is the rate in effect as of January 31, 2023. |
| (p) | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor. |
| (q) | Less than 0.005%. |
| (r) | Rate disclosed is the seven day yield as of January 31, 2023. |
Consolidated Schedule of Open Futures Contracts
| Short Futures Contracts | Expiration Month | Number of Contracts |
Notional Value | Value & Unrealized Appreciation (Depreciation) |
||||||||||
| 7 Year ERIS Aged Standard Swap Future |
March 2029 | (2,528 | ) | ($ | 222,180,864 | ) | $ | 22,775,368 | ||||||
| 10 Year ERIS Aged Standard Swap Fututure |
December 2030 | (600 | ) | (49,676,940 | ) | 7,830,960 | ||||||||
| 10 Year ERIS Aged Standard Swap Future |
March 2032 | (559 | ) | (48,063,658 | ) | 5,794,035 | ||||||||
| 10 Year ERIS SOFR Aged Standard Swap Future |
September 2032 | (1,067 | ) | (95,600,106 | ) | 3,072,320 | ||||||||
|
Total |
$ | 39,472,683 | ||||||||||||
| Long Futures Contracts | ||||||||||||||
| 3 Year ERIS Aged Standard Swap Future |
December 2024 | 674 | 62,020,941 | (4,981,062 | ) | |||||||||
| Long/Short Total |
$ | 34,491,621 | ||||||||||||
Consolidated Schedule of Open Reverse Repurchase Agreements
| Counterparty | Interest Rate |
Trade Date |
Maturity Date | Net Closing Amount |
Face Value | |||||||||||||||
| Barclays Capital, Inc. |
6.108% | 12/21/2022 | 3/20/2023 | $242,831,714 | $239,219,712 | |||||||||||||||
| Barclays Capital, Inc. |
6.108% | 1/19/2023 | 3/20/2023 | 6,961,460 | 6,891,313 | |||||||||||||||
| Barclays Capital, Inc. |
6.108% | 1/27/2023 | 3/20/2023 | 3,923,445 | 3,889,135 | |||||||||||||||
|
Total |
$250,000,160 | |||||||||||||||||||
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.
See accompanying notes which are an integral part of these financial statements.
96
Angel Oak Financials Income Impact Fund
Schedule of Investments
| Shares | Value | |||||||
| Common Stocks – 4.16% |
||||||||
| Financial – 4.16% |
||||||||
| AmeriServ Financial, Inc. |
89,566 | $360,951 | ||||||
| Arrow Financial Corp. |
17,613 | 579,644 | ||||||
| Bank7 Corp. |
17,000 | 468,520 | ||||||
| Eagle Bancorp Montana, Inc. |
25,700 | 429,961 | ||||||
| Financial Institutions, Inc. |
16,594 | 410,038 | ||||||
| First United Corp. |
36,500 | 709,560 | ||||||
| Greene County Bancorp, Inc. |
6,500 | 318,175 | ||||||
| Pinnacle Financial Partners, Inc. |
6,000 | 472,380 | ||||||
| Sterling Bancorp, Inc. (a) |
89,800 | 546,882 | ||||||
|
|
|
|||||||
| TOTAL COMMON STOCKS |
$4,296,111 | |||||||
|
|
|
|||||||
| Corporate Obligations – 89.94% |
|
Principal Amount |
|
|||||
| Financial – 89.94% |
||||||||
| A10 Capital LLC, 5.875%, 8/17/2026 (b) |
$1,000,000 | 930,043 | ||||||
| Arbor Realty Trust, Inc., 5.750%, 4/1/2024 (b) |
1,500,000 | 1,461,891 | ||||||
| Banc of California, Inc., 5.250%, 4/15/2025 |
500,000 | 489,071 | ||||||
| Bancorp Bank, 4.750%, 8/15/2025 |
2,000,000 | 1,908,679 | ||||||
| BankFinancial Corp., 3.750% (TSFR3M + 2.990%), 5/15/2031 (b)(c) |
2,000,000 | 1,793,394 | ||||||
| BankGuam Holding Co., 4.750% (TSFR3M + 4.130%), 7/1/2031 (b)(c) |
2,000,000 | 1,826,589 | ||||||
| CB Financial Services, Inc., 3.875% (TSFR3M + 2.800%), 12/15/2031 (b)(c) |
1,000,000 | 882,145 | ||||||
| Central Pacific Financial Corp., 4.750% (TSFR3M + 4.560%), 11/1/2030 (c) |
1,000,000 | 932,678 | ||||||
| Citizens Community Bancorp, Inc., 4.750% (TSFR3M + 3.290%), 4/1/2032 (b)(c) |
1,300,000 | 1,169,372 | ||||||
| Civista Bancshares, Inc., 3.250% (SOFR + 2.190%), 12/1/2031 (c) |
2,500,000 | 2,213,144 | ||||||
| Clear Street Holdings LLC, 5.875%, 5/15/2026 (b) |
2,000,000 | 1,870,585 | ||||||
| Colony Bankcorp, Inc., 5.250% (TSFR3M + 2.650%), 5/20/2032 (b)(c) |
1,000,000 | 915,014 | ||||||
| Cowen, Inc., 7.250%, 5/6/2024 (b) |
1,000,000 | 1,013,246 | ||||||
| Dickinson Financial Corp., 4.250% (TSFR3M + 4.030%), 11/15/2030 (b)(c) |
1,250,000 | 1,149,581 | ||||||
| Dime Community Bancshares, Inc., 5.000% (TSFR3M + 2.180%), 5/15/2032 (c) |
1,000,000 | 902,122 | ||||||
| Equity Bancshares, Inc., 7.000% (TSFR3M + 6.880%), 6/30/2030 (c) |
1,000,000 | 989,180 | ||||||
| FedNat Holding Co., 7.750%, 3/15/2029 (d)(e)(f) |
2,500,000 | 775,000 | ||||||
| Fidelity Bank, 5.875% (3 Month LIBOR USD + 3.630%), 5/31/2030 (c) |
2,000,000 | 1,931,257 | ||||||
| Fidelity Financial Corp., 5.000% (TSFR3M + 2.470%), 4/30/2032 (b)(c) |
3,000,000 | 2,720,697 | ||||||
| Financial Institutions, Inc., 6.000% (3 Month LIBOR USD + 3.944%), 4/15/2030 (c) |
1,500,000 | 1,467,947 | ||||||
| First Bancshares, Inc., 6.400% (3 Month LIBOR USD + 3.390%), 5/1/2033 (c) |
2,500,000 | 2,423,259 | ||||||
| First Business Financial Services, Inc., 5.500% (SOFR + 4.332%), 8/15/2029 (b)(c) |
750,000 | 731,347 | ||||||
| First Foundation, Inc., 3.500% (SOFR + 2.040%), 2/1/2032 (c) |
1,000,000 | 860,570 | ||||||
| First Internet Bancorp, 3.750% (SOFR + 3.110%), 9/1/2031 (c) |
1,000,000 | 885,928 | ||||||
| First Northwest Bancorp, 3.750% (SOFR + 3.000%), 3/30/2031 (c) |
1,500,000 | 1,346,623 | ||||||
| Firstsun Capital Bancorp, 6.000% (TSFR3M + 5.890%), 7/1/2030 (b)(c) |
2,000,000 | 1,930,289 | ||||||
| Flushing Financial Corp., 3.125% (TSFR3M + 2.035%), 12/1/2031 (c) |
3,000,000 | 2,580,357 | ||||||
| Flushing Financial Corp., 6.000% (TSFR3M + 3.130%), 9/1/2032 (c) |
500,000 | 477,225 | ||||||
| FS Bancorp, Inc., 3.750% (TSFR3M + 3.370%), 2/15/2031 (c) |
1,000,000 | 878,806 | ||||||
| Happy Bancshares, Inc., 5.500% (TSFR3M + 5.345%), 7/31/2030 (b)(c) |
1,000,000 | 955,304 | ||||||
| Homestreet, Inc., 6.500%, 6/1/2026 |
3,000,000 | 2,912,380 | ||||||
| Independent Bank Corp., 5.950% (TSFR3M + 5.825%), 5/31/2030 (b)(c) |
750,000 | 724,009 | ||||||
| Independent Bank Group, Inc., 7.584% (3 Month LIBOR USD + 2.830%), 12/31/2027 (c) |
1,000,000 | 991,015 | ||||||
| Jamesmark Bancshares, Inc., 3.750% (TSFR3M + 3.050%), 10/1/2031 (b)(c) |
850,000 | 751,080 | ||||||
See accompanying notes which are an integral part of these financial statements.
97
Angel Oak Financials Income Impact Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Corporate Obligations – (continued) |
||||||||
| Financial – (continued) |
||||||||
| Kingstone Cos, Inc., 12.000%, 12/30/2024 (b)(d) |
$ | 4,028,000 | $ | 4,028,000 | ||||
| Limestone Bancorp, Inc., 5.750% (3 Month LIBOR USD + 3.950%), 7/31/2029 (b)(c) |
1,000,000 | 965,049 | ||||||
| Malvern Bancorp, Inc., 5.286% (3 Month LIBOR USD + 4.145%), 2/15/2027 (c) |
500,000 | 494,887 | ||||||
| Marble Point Loan Financing Ltd. / MPLF Funding I LLC, 7.500%, 10/16/2025 (b) |
3,500,000 | 3,364,375 | ||||||
| Mercantile Bank Corp., 3.250% (SOFR + 2.120%), 1/30/2032 (c) |
3,000,000 | 2,556,913 | ||||||
| Midwest Bankcentre, Inc., 3.625% (TSFR3M + 2.950%), 6/15/2031 (b)(c) |
1,500,000 | 1,332,287 | ||||||
| Millennium Consolidated Holdings LLC, 7.500%, 6/30/2023 (b) |
1,000,000 | 994,853 | ||||||
| Narragansett Financial Corp., 3.875% (TSFR3M + 3.190%), 5/15/2031 (b)(c) |
2,000,000 | 1,795,524 | ||||||
| New York Community Bancorp, Inc., 5.900% (3 Month LIBOR USD + 2.780%), 11/6/2028 (c) |
1,000,000 | 985,043 | ||||||
| NexBank Capital, Inc., 4.000% (TSFR3M + 3.390%), 8/15/2031 (b)(c) |
3,000,000 | 2,684,442 | ||||||
| NexBank Capital, Inc., 6.000%, 7/15/2032 (b)(g) |
1,000,000 | 940,180 | ||||||
| Northpointe Bancshares, Inc., 6.000% (TSFR3M + 4.905%), 9/30/2029 (b)(c) |
1,000,000 | 961,387 | ||||||
| Oakstar Bancshares, Inc., 4.250% (TSFR3M + 3.516%), 4/15/2031 (b)(c) |
1,000,000 | 910,599 | ||||||
| Olney Bancshares of Texas, Inc., 4.000% (TSFR3M + 3.320%), 3/15/2031 (b)(c) |
1,250,000 | 1,132,288 | ||||||
| Preferred Bank, 3.375% (TSFR3M + 2.780%), 6/15/2031 (c) |
4,000,000 | 3,522,723 | ||||||
| Primis Financial Corp., 8.752% (3 Month LIBOR USD + 3.950%), 1/31/2027 (b)(c) |
1,000,000 | 999,520 | ||||||
| RBB Bancorp, 4.000% (TSFR3M + 3.290%), 4/1/2031 (c) |
3,000,000 | 2,713,738 | ||||||
| River Financial Corp., 4.000% (TSFR3M + 3.420%), 3/15/2031 (b)(c) |
1,000,000 | 905,812 | ||||||
| SmartFinancial, Inc., 5.625% (3 Month LIBOR USD + 2.550%), 10/2/2028 (b)(c) |
1,250,000 | 1,242,080 | ||||||
| South Street Securities Funding LLC, 6.250%, 12/30/2026 (b) |
1,000,000 | 929,338 | ||||||
| Stellar Bancorp, Inc., 4.700% (SOFR + 3.392%), 10/1/2029 (c) |
1,000,000 | 945,163 | ||||||
| Sterling Bancorp, Inc., 10.650% (3 Month LIBOR USD + 5.820%), 4/15/2026 (b)(c) |
2,000,000 | 1,981,564 | ||||||
| Sterling Bancorp, Inc., 4.000% (TSFR3M + 2.530%), 12/30/2029 (c) |
50,000 | 47,070 | ||||||
| Summit Financial Group, Inc., 3.250% (TSFR3M + 2.300%), 12/1/2031 (c) |
1,000,000 | 864,266 | ||||||
| Texas State Bankshares, Inc., 5.750% (3 Month LIBOR USD + 3.550%), 6/15/2029 (b)(c) |
2,000,000 | 1,935,069 | ||||||
| Trinitas Capital Management LLC, 6.000%, 7/30/2026 (b) |
2,000,000 | 1,799,366 | ||||||
| Trinity Capital, Inc., 4.250%, 12/15/2026 |
2,000,000 | 1,718,274 | ||||||
| United Insurance Holdings Corp., 7.250%, 12/15/2027 |
490,000 | 245,613 | ||||||
| Valley National Bancorp, 6.250% (TSFR3M + 2.780%), 9/30/2032 (c) |
1,000,000 | 982,795 | ||||||
| Western Alliance Bancorp, 3.000% (TSFR3M + 2.250%), 6/15/2031 (c) |
2,000,000 | 1,746,279 | ||||||
| WhiteHorse Finance, Inc., 4.000%, 12/15/2026 |
1,000,000 | 856,957 | ||||||
| Zais Group LLC, 7.000%, 11/15/2023 (b) |
560,000 | 557,900 | ||||||
|
|
|
|||||||
| TOTAL CORPORATE OBLIGATIONS |
$92,929,181 | |||||||
|
|
|
|||||||
| Preferred Stocks – 1.98% |
Shares | |||||||
| Financial – 1.98% |
||||||||
| First Guaranty Bancshares, Inc., 6.750% |
40,000 | 1,006,000 | ||||||
| PacWest Bancorp, 7.750% (H15T5Y + 4.820%) (c) |
40,000 | 1,035,200 | ||||||
|
|
|
|||||||
| TOTAL PREFERRED STOCKS |
$2,041,200 | |||||||
|
|
|
|||||||
| Warrants – 0.09% |
||||||||
| Financial – 0.09% |
||||||||
| Kingstone Cos, Inc. (b)(d) |
195,750 | 97,875 | ||||||
|
|
|
|||||||
| TOTAL WARRANTS |
$97,875 | |||||||
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
98
Angel Oak Financials Income Impact Fund
Schedule of Investments – (continued)
| Shares | Value | |||||||
| Short-Term Investments – 1.05% |
||||||||
| Money Market Funds – 1.05% |
||||||||
| First American Government Obligations Fund, Class U, 4.158% (h) |
1,086,649 | $1,086,649 | ||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS |
$1,086,649 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS – 97.22% |
$100,451,016 | |||||||
| Other Assets in Excess of Liabilities – 2.78% |
2,870,266 | |||||||
|
|
|
|||||||
| NET ASSETS – 100.00% |
$103,321,282 | |||||||
|
|
|
|||||||
LIBOR: London Inter-Bank Offered Rate
SOFR: Secured Overnight Financing Rate
TSFR3M: 3 Month Term Secured Overnight Financing Rate
H15T5Y: 5 Year Treasury Note Constant Maturity Rate
| (a) | Non-income producing security. |
| (b) | 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 January 31, 2023, the value of these securities amounted to $50,382,094 or 48.76% 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. Rate disclosed is the rate in effect as of January 31, 2023. |
| (d) | Illiquid security. At January 31, 2023, the value of these securities amounted to $4,900,875 or 4.74% of net assets. |
| (e) | Security identified as in default as to the payment of interest. Income is not being accrued. |
| (f) | As of January 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 0.75% of net assets. Value determined using significant unobservable inputs. |
| (g) | Variable rate security. The coupon is based on an underlying pool of assets. Rate disclosed is the rate in effect as of January 31, 2023. |
| (h) | Rate disclosed is the seven day yield as of January 31, 2023. |
See accompanying notes which are an integral part of these financial statements.
99
Angel Oak High Yield Opportunities Fund
Schedule of Investments
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – 0.86% |
||||||||
| Foursight Capital Automobile Receivables Trust, Series 2023-1,
Class D, |
$200,000 | $199,928 | ||||||
| Skopos Auto Receivables Trust, Series 2019-1A,
Class E, |
350,000 | 344,564 | ||||||
|
|
|
|||||||
| TOTAL ASSET-BACKED SECURITIES |
$544,492 | |||||||
|
|
|
|||||||
| Corporate Obligations – 77.26% |
||||||||
| Basic Materials – 8.46% |
||||||||
| Cleveland-Cliffs, Inc., 5.875%, 6/1/2027 |
400,000 | 393,874 | ||||||
| Compass Minerals International, Inc., 6.750%, 12/1/2027 (a) |
500,000 | 488,372 | ||||||
| Copper Mountain Mining Corp., 8.000%, 4/9/2026 (a)(b)(c) |
523,055 | 517,824 | ||||||
| CVR Partners LP / CVR Nitrogen Finance Corp., 6.125%, 6/15/2028 (a) |
1,000,000 | 901,980 | ||||||
| Hecla Mining Co., 7.250%, 2/15/2028 |
500,000 | 498,390 | ||||||
| Mativ, Inc., 6.875%, 10/1/2026 (a) |
500,000 | 463,185 | ||||||
| Mercer International, Inc., 5.125%, 2/1/2029 |
750,000 | 642,596 | ||||||
| Sylvamo Corp., 7.000%, 9/1/2029 (a) |
1,000,000 | 957,755 | ||||||
| Taseko Mines Ltd., 7.000%, 2/15/2026 (a) |
500,000 | 474,473 | ||||||
|
|
|
|||||||
| 5,338,449 | ||||||||
|
|
|
|||||||
| Communications – 8.75% |
||||||||
| AMC Networks, Inc., 4.750%, 8/1/2025 |
500,000 | 428,267 | ||||||
| Cars.com, Inc., 6.375%, 11/1/2028 (a) |
500,000 | 465,120 | ||||||
| Consolidated Communications, Inc., 6.500%, 10/1/2028 (a) |
500,000 | 408,440 | ||||||
| CSC Holdings LLC, 5.500%, 4/15/2027 (a) |
500,000 | 441,000 | ||||||
| Cumulus Media New Holdings, Inc., 6.750%, 7/1/2026 (a) |
542,000 | 453,191 | ||||||
| DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.875%, 8/15/2027 (a) |
1,000,000 | 907,280 | ||||||
| Entercom Media Corp., 6.500%, 5/1/2027 (a) |
100,000 | 16,618 | ||||||
| Entercom Media Corp., 6.750%, 3/31/2029 (a) |
200,000 | 34,278 | ||||||
| Gray Escrow, Inc., 5.375%, 11/15/2031 (a) |
1,000,000 | 759,097 | ||||||
| Lamar Media Corp., 4.875%, 1/15/2029 |
250,000 | 235,558 | ||||||
| Nexstar Broadcasting, Inc., 5.625%, 7/15/2027 (a) |
250,000 | 239,133 | ||||||
| Outfront Media Capital LLC / Outfront Media Capital Corp., 5.000%, 8/15/2027 (a) |
250,000 | 230,304 | ||||||
| Terrier Media Buyer, Inc., 8.875%, 12/15/2027 (a) |
250,000 | 195,404 | ||||||
| Townsquare Media, Inc., 6.875%, 2/1/2026 (a) |
300,000 | 281,600 | ||||||
| Univision Communications, Inc., 6.625%, 6/1/2027 (a) |
250,000 | 245,316 | ||||||
| Urban One, Inc., 7.375%, 2/1/2028 (a) |
200,000 | 182,167 | ||||||
|
|
|
|||||||
| 5,522,773 | ||||||||
|
|
|
|||||||
| Consumer, Cyclical – 12.27% |
||||||||
| American Airlines, Inc. / AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026 (a) |
500,000 | 490,566 | ||||||
| American Axle & Manufacturing, Inc., 5.000%, 10/1/2029 |
1,000,000 | 825,295 | ||||||
| Aramark Services, Inc., 6.375%, 5/1/2025 (a) |
500,000 | 500,737 | ||||||
| Beacon Roofing Supply, Inc., 4.500%, 11/15/2026 (a) |
250,000 | 238,589 | ||||||
| Carnival Corp., 6.000%, 5/1/2029 (a) |
350,000 | 276,939 | ||||||
| Clarios Global LP, 6.750%, 5/15/2025 (a) |
226,000 | 227,632 | ||||||
| Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 (a) |
500,000 | 486,733 | ||||||
| FirstCash, Inc., 4.625%, 9/1/2028 (a) |
500,000 | 447,304 | ||||||
| Ford Motor Co., 6.100%, 8/19/2032 |
1,000,000 | 982,029 | ||||||
See accompanying notes which are an integral part of these financial statements.
100
Angel Oak High Yield Opportunities Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Corporate Obligations – (continued) |
||||||||
| Consumer, Cyclical – (continued) |
||||||||
| Goodyear Tire & Rubber Co., 5.000%, 7/15/2029 |
$ | 500,000 | $ | 441,117 | ||||
| Hawaiian Brand Intellectual Property Ltd., 5.750%, 1/20/2026 (a) |
500,000 | 478,123 | ||||||
| Installed Building Products, Inc., 5.750%, 2/1/2028 (a) |
100,000 | 92,255 | ||||||
| Lithia Motors, Inc., 4.625%, 12/15/2027 (a) |
250,000 | 232,791 | ||||||
| Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028 |
500,000 | 451,750 | ||||||
| New Red Finance, Inc., 4.375%, 1/15/2028 (a) |
250,000 | 230,706 | ||||||
| Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 8.000%, 9/20/2025 (a) |
300,000 | 305,850 | ||||||
| Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.000%, 6/1/2031 (a) |
100,000 | 87,136 | ||||||
| TRI Pointe Group, Inc. / TRI Pointe Homes, Inc., 5.875%, 6/15/2024 |
250,000 | 249,329 | ||||||
| Univar Solutions USA, Inc., 5.125%, 12/1/2027 (a) |
250,000 | 241,817 | ||||||
| White Cap Buyer LLC, 6.875%, 10/15/2028 (a) |
500,000 | 455,939 | ||||||
|
|
|
|||||||
| 7,742,637 | ||||||||
|
|
|
|||||||
| Consumer, Non-cyclical – 8.15% |
||||||||
| Arrow Bidco LLC, 9.500%, 3/15/2024 (a) |
750,000 | 750,872 | ||||||
| CPI CG, Inc., 8.625%, 3/15/2026 (a) |
234,000 | 231,316 | ||||||
| Korn Ferry, 4.625%, 12/15/2027 (a) |
250,000 | 235,261 | ||||||
| Mozart Debt Merger Sub, Inc., 5.250%, 10/1/2029 (a) |
500,000 | 424,690 | ||||||
| NESCO Holdings, Inc., 5.500%, 4/15/2029 (a) |
100,000 | 89,943 | ||||||
| Performance Food Group, Inc., 4.250%, 8/1/2029 (a) |
500,000 | 445,970 | ||||||
| Prime Security Services Borrower LLC / Prime Finance, Inc., 3.375%, 8/31/2027 (a) |
250,000 | 222,185 | ||||||
| Primo Water Holdings, Inc., 4.375%, 4/30/2029 (a) |
500,000 | 436,885 | ||||||
| Rent-A-Center, Inc., 6.375%, 2/15/2029 (a) |
500,000 | 425,605 | ||||||
| Select Medical Corp., 6.250%, 8/15/2026 (a) |
500,000 | 488,827 | ||||||
| Simmons Foods, Inc., 4.625%, 3/1/2029 (a) |
250,000 | 211,276 | ||||||
| Sotheby’s, 7.375%, 10/15/2027 (a) |
300,000 | 290,385 | ||||||
| Sotheby’s / Bidfair Holdings, Inc., 5.875%, 6/1/2029 (a) |
500,000 | 428,293 | ||||||
| TreeHouse Foods, Inc., 4.000%, 9/1/2028 |
250,000 | 208,808 | ||||||
| US Foods, Inc., 6.250%, 4/15/2025 (a) |
250,000 | 250,769 | ||||||
|
|
|
|||||||
| 5,141,085 | ||||||||
|
|
|
|||||||
| Energy – 20.76% |
||||||||
| Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.750%, 1/15/2028 (a) |
1,250,000 | 1,196,931 | ||||||
| Archrock Partners LP / Archrock Partners Finance Corp., 6.875%, 4/1/2027 (a) |
700,000 | 686,815 | ||||||
| Atlantica Sustainable Infrastructure PLC, 4.125%, 6/15/2028 (a) |
250,000 | 222,806 | ||||||
| Calumet Specialty Products Partners LP / Calumet Finance Corp., 8.125%, 1/15/2027 (a) |
600,000 | 579,757 | ||||||
| CITGO Petroleum Corp., 7.000%, 6/15/2025 (a) |
500,000 | 496,345 | ||||||
| Comstock Resources, Inc., 6.750%, 3/1/2029 (a) |
100,000 | 91,939 | ||||||
| Comstock Resources, Inc., 5.875%, 1/15/2030 (a) |
100,000 | 87,334 | ||||||
| CrownRock LP / CrownRock Finance, Inc., 5.000%, 5/1/2029 (a) |
250,000 | 232,419 | ||||||
| Encino Acquisition Partners Holdings LLC, 8.500%, 5/1/2028 (a) |
250,000 | 234,246 | ||||||
| Enviva Partners LP / Enviva Partners Finance Corp., 6.500%, 1/15/2026 (a) |
750,000 | 700,912 | ||||||
| Hilcorp Energy I LP / Hilcorp Finance Co., 5.750%, 2/1/2029 (a) |
900,000 | 838,107 | ||||||
| Kinetik Holdings LP, 5.875%, 6/15/2030 (a) |
250,000 | 237,834 | ||||||
| New Fortress Energy, Inc., 6.750%, 9/15/2025 (a) |
250,000 | 239,667 | ||||||
| New Fortress Energy, Inc., 6.500%, 9/30/2026 (a) |
500,000 | 460,755 | ||||||
| PBF Holding Co. LLC / PBF Finance Corp., 6.000%, 2/15/2028 |
500,000 | 472,107 | ||||||
| PBF Logistics LP / PBF Logistics Finance Corp., 6.875%, 5/15/2023 |
250,000 | 250,266 | ||||||
| Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025 (a) |
1,500,000 | 1,415,625 | ||||||
See accompanying notes which are an integral part of these financial statements.
101
Angel Oak High Yield Opportunities Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Corporate Obligations – (continued) |
||||||||
| Energy – (continued) |
||||||||
| SunCoke Energy, Inc., 4.875%, 6/30/2029 (a) |
$ | 500,000 | $ | 439,777 | ||||
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 7.500%, 10/1/2025 (a) |
500,000 | 508,428 | ||||||
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 6.000%, 12/31/2030 (a) |
500,000 | 456,008 | ||||||
| Transocean, Inc., 11.500%, 1/30/2027 (a) |
113,000 | 118,068 | ||||||
| USA Compression Partners LP / USA Compression Finance Corp., 6.875%, 9/1/2027 |
750,000 | 728,344 | ||||||
| Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (a) |
250,000 | 222,001 | ||||||
| Venture Global Calcasieu Pass LLC, 3.875%, 11/1/2033 (a) |
250,000 | 212,688 | ||||||
| Warrior Met Coal, Inc., 7.875%, 12/1/2028 (a) |
2,000,000 | 1,972,990 | ||||||
|
|
|
|||||||
| 13,102,169 | ||||||||
|
|
|
|||||||
| Financial – 11.42% |
||||||||
| Coinbase Global, Inc., 3.375%, 10/1/2028 (a) |
600,000 | 388,158 | ||||||
| Enact Holdings, Inc., 6.500%, 8/15/2025 (a) |
500,000 | 493,467 | ||||||
| Freedom Mortgage Corp., 7.625%, 5/1/2026 (a) |
500,000 | 440,469 | ||||||
| Global Aircraft Leasing Co. Ltd., 6.50% Cash or 7.250% PIK, 9/15/2024 (a) |
433,620 | 396,198 | ||||||
| goeasy Ltd., 4.375%, 5/1/2026 (a) |
500,000 | 446,920 | ||||||
| HAT Holdings I LLC / HAT Holdings II LLC, 3.375%, 6/15/2026 (a) |
750,000 | 666,578 | ||||||
| LD Holdings Group LLC, 6.125%, 4/1/2028 (a) |
400,000 | 261,456 | ||||||
| LPL Holdings, Inc., 4.625%, 11/15/2027 (a) |
500,000 | 476,375 | ||||||
| MPT Operating Partnership LP / MPT Finance Corp., 3.500%, 3/15/2031 |
500,000 | 350,689 | ||||||
| Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027 (a) |
650,000 | 603,909 | ||||||
| NMI Holdings, Inc., 7.375%, 6/1/2025 (a) |
250,000 | 254,200 | ||||||
| PennyMac Financial Services, Inc., 5.750%, 9/15/2031 (a) |
250,000 | 210,476 | ||||||
| PRA Group, Inc., 7.375%, 9/1/2025 (a) |
250,000 | 248,237 | ||||||
| PRA Group, Inc., 5.000%, 10/1/2029 (a) |
500,000 | 430,043 | ||||||
| Realogy Group LLC / Realogy Co-Issuer Corp., 5.250%, 4/15/2030 (a) |
500,000 | 374,420 | ||||||
| Starwood Property Trust, Inc., 5.500%, 11/1/2023 (a) |
500,000 | 498,250 | ||||||
| StoneX Group, Inc., 8.625%, 6/15/2025 (a) |
100,000 | 100,637 | ||||||
| United Wholesale Mortgage LLC, 5.500%, 4/15/2029 (a) |
500,000 | 430,675 | ||||||
| Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 6.500%, 2/15/2029 (a) |
200,000 | 139,274 | ||||||
|
|
|
|||||||
| 7,210,431 | ||||||||
|
|
|
|||||||
| Industrial – 7.45% |
||||||||
| Bombardier, Inc., 7.500%, 12/1/2024 (a) |
160,000 | 163,220 | ||||||
| Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/1/2026 (a) |
250,000 | 238,649 | ||||||
| Builders FirstSource, Inc., 5.000%, 3/1/2030 (a) |
250,000 | 233,471 | ||||||
| Cargo Aircraft Management, Inc., 4.750%, 2/1/2028 (a) |
500,000 | 453,082 | ||||||
| Cloud Crane LLC, 10.125%, 8/1/2024 (a) |
220,000 | 212,744 | ||||||
| Covanta Holding Corp., 5.000%, 9/1/2030 |
250,000 | 213,389 | ||||||
| Fortress Transportation and Infrastructure Investors LLC, 9.750%, 8/1/2027 (a) |
250,000 | 257,350 | ||||||
| Great Lakes Dredge & Dock Corp., 5.250%, 6/1/2029 (a) |
100,000 | 84,404 | ||||||
| II-VI, Inc., 5.000%, 12/15/2029 (a) |
500,000 | 454,857 | ||||||
| Matthews International Corp., 5.250%, 12/1/2025 (a) |
250,000 | 238,594 | ||||||
| MIWD Holdco LLC / MIWD Finance Corp., 5.500%, 2/1/2030 (a) |
100,000 | 83,365 | ||||||
| Moog, Inc., 4.250%, 12/15/2027 (a) |
250,000 | 232,679 | ||||||
| Mueller Water Products, Inc., 4.000%, 6/15/2029 (a) |
300,000 | 266,439 | ||||||
| Roller Bearing Co. of America, Inc., 4.375%, 10/15/2029 (a) |
200,000 | 180,437 | ||||||
| Seaspan Corp., 5.500%, 8/1/2029 (a) |
500,000 | 380,615 | ||||||
See accompanying notes which are an integral part of these financial statements.
102
Angel Oak High Yield Opportunities Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Corporate Obligations – (continued) |
||||||||
| Industrial – (continued) |
||||||||
| Sensata Technologies BV, 5.875%, 9/1/2030 (a) |
$ | 250,000 | $ | 245,624 | ||||
| Spirit AeroSystems, Inc., 7.500%, 4/15/2025 (a) |
100,000 | 100,462 | ||||||
| SRM Escrow Issuer LLC, 6.000%, 11/1/2028 (a) |
250,000 | 227,747 | ||||||
| Vertiv Group Corp., 4.125%, 11/15/2028 (a) |
500,000 | 433,776 | ||||||
|
|
|
|||||||
| 4,700,904 | ||||||||
|
|
|
|||||||
| TOTAL CORPORATE OBLIGATIONS |
$48,758,448 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – 11.46% |
||||||||
| Bellemeade Re Ltd., Series 2021-1A, Class M2, |
640,000 | 646,365 | ||||||
| Bellemeade Re Ltd., Series 2021-2A, Class M2, |
710,000 | 653,065 | ||||||
| GCAT Trust, Series 2023-NQM2, Class B1, 6.905%, 11/25/2067 (a)(e) |
850,000 | 774,030 | ||||||
| GS Mortgage-Backed Securities Corp Trust, Series 2019-PJ1,
Class B6, |
511,534 | 292,198 | ||||||
| JP Morgan Mortgage Trust, Series 2020-2, Class B4, 3.824%, 7/25/2050 (a)(e) |
725,624 | 577,873 | ||||||
| JP Morgan Mortgage Trust, Series 2020-3, Class B4, 3.847%, 8/25/2050 (a)(e) |
722,464 | 572,311 | ||||||
| New Residential Mortgage Loan Trust, Series 2022-SFR2, Class E1, 4.000%, 9/19/2039 (a) |
760,000 | 636,513 | ||||||
| Oaktown Re Ltd., Series 2021-2, Class B1, 8.710% (SOFR30A + 4.400%), 4/25/2034 (a)(d) |
1,000,000 | 851,043 | ||||||
| Progress Residential Trust, Series 2021-SFR1, Class F, 2.757%, 4/17/2038 (a) |
765,000 | 658,610 | ||||||
| Progress Residential Trust, Series 2021-SFR9, Class F, 4.053%, 11/19/2040 (a) |
500,000 | 411,873 | ||||||
| Radnor RE Ltd., Series 2021-2, Class B1, 10.310% (SOFR30A + 6.000%), 11/25/2031 (a)(d) |
750,000 | 656,572 | ||||||
| Verus Securitization Trust, Series 2021-1, Class M1, 1.968%, 1/25/2066 (a)(e) |
726,000 | 501,497 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
$7,231,950 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk |
||||||||
| Federal Home Loan Mortgage Corp., Series 2021-DNA2, Class B1, |
500,000 | 478,125 | ||||||
| Federal Home Loan Mortgage Corp., Series 2021-DNA6, Class B1, |
1,000,000 | 958,750 | ||||||
| Federal Home Loan Mortgage Corp., Series 2022-HQA1, Class M2, |
650,000 | 649,999 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER |
$2,086,874 | |||||||
|
|
|
|||||||
| Short-Term Investments – 7.62% |
Shares | |||||||
| Money Market Funds – 7.62% |
||||||||
| First American Government Obligations Fund, Class U, 4.158% (f) |
4,811,162 | 4,811,162 | ||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS |
$4,811,162 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS – 100.51% |
$63,432,926 | |||||||
| Liabilities in Excess of Other Assets – (0.51%) |
(321,696 | ) | ||||||
|
|
|
|||||||
| NET ASSETS – 100.00% |
$63,111,230 | |||||||
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
103
Angel Oak High Yield Opportunities Fund
Schedule of Investments – (continued)
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 January 31, 2023, the value of these securities amounted to $51,249,956 or 81.21% of net assets. |
| (b) | Illiquid security. At January 31, 2023, the value of these securities amounted to $517,824 or 0.82% 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 January 31, 2023, the value of securities pledged amounted to $517,824 or 0.82% 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. Rate disclosed is the rate in effect as of January 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 January 31, 2023. |
| (f) | Rate disclosed is the seven day yield as of January 31, 2023. |
See accompanying notes which are an integral part of these financial statements.
104
Angel Oak UltraShort Income Fund
Schedule of Investments
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – 45.20% |
||||||||
| ACC Auto Trust, Series 2021-A, Class A, 1.080%, 4/15/2027 (a) |
$640,978 | $634,689 | ||||||
| ACC Auto Trust, Series 2021-A, Class B, 1.790%, 4/15/2027 (a) |
4,776,000 | 4,611,175 | ||||||
| ACC Trust, Series 2021-1, Class B, 1.430%, 7/22/2024 (a) |
287,051 | 286,438 | ||||||
| ACC Trust, Series 2022-1, Class B, 2.550%, 2/20/2025 (a) |
2,400,000 | 2,328,943 | ||||||
| ACHV ABS TRUST, Series 2023-1PL, Class A, 6.420%, 3/18/2030 (a) |
200,000 | 200,526 | ||||||
| Affirm Asset Securitization Trust, Series 2021-B, Class B, 1.240%, 8/17/2026 (a) |
150,000 | 139,423 | ||||||
| Affirm Asset Securitization Trust, Series 2021-B, Class D, 2.540%, 8/17/2026 (a) |
250,000 | 221,384 | ||||||
| Affirm Asset Securitization Trust, Series 2022-Z1, Class A, 4.550%, 6/15/2027 (a) |
679,941 | 668,079 | ||||||
| Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028 (a) |
600,000 | 600,783 | ||||||
| Ally Auto Receivables Trust, Series 2022-3, Class A2, 5.290%, 8/15/2025 |
1,000,000 | 1,002,917 | ||||||
| American Credit Acceptance Receivables Trust, Series 2022-4, Class B, 6.750%, 10/13/2026 (a) |
600,000 | 609,965 | ||||||
| American Express Credit Account Master Trust, Series 2018-3,
Class A, |
1,795,000 | 1,799,870 | ||||||
| Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A, Class A, 1.190%, 1/15/2027 (a) |
459,788 | 446,899 | ||||||
| Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A, Class C, 3.770%, 3/15/2027 (a) |
150,000 | 135,383 | ||||||
| Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class A, 3.930%, 5/15/2028 (a) |
1,255,545 | 1,224,655 | ||||||
| Arivo Acceptance Auto Loan Receivables Trust, Series 2022-2A, Class A, 6.900%, 1/16/2029 (a) |
563,757 | 570,346 | ||||||
| Avant Credit Card Master Trust, Series 2021-1A, Class A, 1.370%, 4/15/2027 (a) |
3,500,000 | 3,196,525 | ||||||
| Avant Credit Card Master Trust, Series 2021-1A, Class B, 1.620%, 4/15/2027 (a) |
2,250,000 | 2,048,602 | ||||||
| Avant Loans Funding Trust, Series 2021-REV1, Class A, 1.210%, 7/15/2030 (a) |
2,000,000 | 1,932,644 | ||||||
| Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026 (a) |
1,000,000 | 969,636 | ||||||
| Avid Automobile Receivables Trust, Series 2021-1, Class D, 1.990%, 4/17/2028 (a) |
1,000,000 | 918,620 | ||||||
| BHG Securitization Trust, Series 2021-B, Class A, 0.900%, 10/17/2034 (a) |
1,718,408 | 1,643,235 | ||||||
| BHG Securitization Trust, Series 2022-B, Class A, 3.750%, 6/18/2035 (a) |
1,639,074 | 1,621,390 | ||||||
| CARDS II Trust, Series 2021-1A, Class A, 0.602%, 4/15/2027 (a) |
325,000 | 308,832 | ||||||
| CarNow Auto Receivables Trust, Series 2021-1A, Class D, 3.640%, 2/17/2026 (a) |
1,250,000 | 1,195,699 | ||||||
| CarNow Auto Receivables Trust, Series 2022-1A, Class B, 4.890%, 3/16/2026 (a) |
1,250,000 | 1,245,351 | ||||||
| Carvana Auto Receivables Trust, Series 2019-4A, Class D, 3.070%, 7/15/2025 (a) |
500,000 | 494,125 | ||||||
| Carvana Auto Receivables Trust, Series 2020-N1A, Class D, 3.430%, 1/15/2026 (a) |
2,000,000 | 1,966,236 | ||||||
| Carvana Auto Receivables Trust, Series 2021-P2, Class A3, 0.490%, 3/10/2026 |
1,298,856 | 1,254,386 | ||||||
| Carvana Auto Receivables Trust, Series 2021-N1, Class B, 1.090%, 1/10/2028 |
2,542,034 | 2,393,549 | ||||||
| Carvana Auto Receivables Trust, Series 2021-N1, Class C, 1.300%, 1/10/2028 |
1,823,671 | 1,727,027 | ||||||
| Carvana Auto Receivables Trust, Series 2021-N2, Class C, 1.070%, 3/10/2028 |
624,449 | 572,973 | ||||||
| Carvana Auto Receivables Trust, Series 2021-N3, Class C, 1.020%, 6/12/2028 |
3,545,479 | 3,389,520 | ||||||
| Carvana Auto Receivables Trust, Series 2022-N1, Class N, 4.600%, 12/10/2028 (a) |
805,852 | 805,837 | ||||||
| Carvana Auto Receivables Trust, Series 2022-P1, Class N, 4.350%, 1/10/2029 (a) |
120,202 | 120,022 | ||||||
| CFMT Issuer Trust, Series 2021-GRN1, Class A, 1.100%, 3/20/2041 (a) |
1,960,359 | 1,799,445 | ||||||
| Chase Auto Credit Linked Notes, Series 2020-1, Class B, 0.991%, 1/25/2028 (a) |
128,225 | 126,413 | ||||||
| Chase Auto Credit Linked Notes, Series 2020-1, Class C, 1.389%, 1/25/2028 (a) |
352,617 | 348,185 | ||||||
| Chase Auto Credit Linked Notes, Series 2020-2, Class B, 0.840%, 2/25/2028 (a) |
212,544 | 207,816 | ||||||
| Chase Auto Credit Linked Notes, Series 2020-2, Class C, 1.139%, 2/25/2028 (a) |
212,544 | 207,382 | ||||||
| Chase Auto Credit Linked Notes, Series 2021-2, Class D, 1.138%, 12/25/2028 (a) |
644,371 | 617,499 | ||||||
| Citibank Credit Card Issuance Trust, Series 2017-A5,
Class A5, |
1,865,000 | 1,872,688 | ||||||
| Conn’s Receivables Funding LLC, Series 2022-A, Class A, 5.870%, 12/15/2026 (a) |
2,096,802 | 2,102,031 | ||||||
| Consumer Loan Underlying Bond CLUB Certificate Trust, Series
2019-33, Class PT, |
812,830 | 756,831 | ||||||
| Consumer Loan Underlying Bond CLUB Credit Trust, Series 2019-P2,
Class C, |
264,123 | 263,294 | ||||||
See accompanying notes which are an integral part of these financial statements.
105
Angel Oak UltraShort Income Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – (continued) |
||||||||
| Continental Finance Credit Card ABS Master Trust, Series 2020-1A,
Class A, |
$ | 500,000 | $ | 476,264 | ||||
| Continental Finance Credit Card ABS Master Trust, Series 2021-A,
Class A, |
2,000,000 | 1,821,366 | ||||||
| CPS Auto Receivables Trust, Series 2019-C, Class D, 3.170%, 6/16/2025 (a) |
58,422 | 58,394 | ||||||
| CPS Auto Receivables Trust, Series 2023-A, Class B, 5.470%, 11/16/2026 (a) |
750,000 | 750,161 | ||||||
| CPS Auto Receivables Trust, Series 2022-D, Class A, 6.090%, 1/15/2027 (a) |
1,773,688 | 1,778,990 | ||||||
| CPS Auto Receivables Trust, Series 2021-D, Class D, 2.310%, 10/15/2027 (a) |
2,000,000 | 1,861,774 | ||||||
| CPS Auto Receivables Trust, Series 2021-B, Class E, 3.410%, 6/15/2028 (a) |
500,000 | 431,562 | ||||||
| CPS Auto Receivables Trust, Series 2022-C, Class B, 4.880%, 4/15/2030 (a) |
1,170,000 | 1,162,172 | ||||||
| Credit Suisse ABS Trust, Series 2020-AT1, Class A, 2.610%, 10/15/2026 (a) |
232,283 | 224,392 | ||||||
| Donlen Fleet Lease Funding LLC, Series 2021-2, Class B, 0.980%, 12/11/2034 (a) |
1,500,000 | 1,406,217 | ||||||
| DT Auto Owner Trust, Series 2022-2A, Class B, 4.220%, 1/15/2027 (a) |
1,700,000 | 1,675,743 | ||||||
| DT Auto Owner Trust, Series 2022-1A, Class C, 2.960%, 11/15/2027 (a) |
2,000,000 | 1,933,404 | ||||||
| DT Auto Owner Trust, Series 2022-3A, Class B, 6.740%, 7/17/2028 (a) |
2,700,000 | 2,771,736 | ||||||
| DT Auto Owner Trust, Series 2021-3A, Class E, 2.650%, 9/15/2028 (a) |
500,000 | 414,889 | ||||||
| FHF Trust, Series 2021-2A, Class A, 0.830%, 12/15/2026 (a) |
1,533,779 | 1,473,836 | ||||||
| FHF Trust, Series 2021-1A, Class A, 1.270%, 3/15/2027 (a) |
1,965,567 | 1,893,522 | ||||||
| FHF Trust, Series 2022-2A, Class A, 6.140%, 12/15/2027 (a) |
963,226 | 959,224 | ||||||
| First Investors Auto Owner Trust, Series 2019-2A, Class F, 5.690%, 7/15/2026 (a) |
500,000 | 461,147 | ||||||
| First Investors Auto Owner Trust, Series 2019-1A, Class F, 6.150%, 7/15/2026 (a) |
450,000 | 445,524 | ||||||
| First Investors Auto Owner Trust, Series 2021-1A, Class B, 0.890%, 3/15/2027 (a) |
1,690,000 | 1,640,845 | ||||||
| First Investors Auto Owner Trust, Series 2021-2A, Class C, 1.470%, 11/15/2027 (a) |
2,402,000 | 2,211,562 | ||||||
| Flagship Credit Auto Trust, Series 2019-4, Class D, 3.120%, 1/15/2026 (a) |
950,000 | 917,362 | ||||||
| Foundation Finance Trust, Series 2020-1A, Class A, 3.540%, 7/15/2040 (a) |
987,803 | 935,716 | ||||||
| Foundation Finance Trust, Series 2021-1A, Class A, 1.270%, 5/15/2041 (a) |
975,430 | 870,245 | ||||||
| Foundation Finance Trust, Series 2021-2A, Class A, 2.190%, 1/15/2042 (a) |
1,161,492 | 1,059,817 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2023-1, Class A2, 10/15/2026 (a)(c) |
750,000 | 749,937 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2019-1,
Class F, |
2,600,000 | 2,598,164 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2020-1,
Class F, |
1,400,000 | 1,376,084 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2021-2,
Class B, |
3,000,000 | 2,858,343 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2022-2,
Class B, |
1,200,000 | 1,200,820 | ||||||
| FREED ABS Trust, Series 2022-4FP, Class A, 6.490%, 12/18/2029 (a) |
704,267 | 707,349 | ||||||
| FREED ABS Trust, Series 2022-4FP, Class B, 7.580%, 12/18/2029 (a) |
2,000,000 | 2,007,456 | ||||||
| Genesis Sales Finance Master Trust, Series 2021-AA, Class A, 1.200%, 12/20/2026 (a) |
2,000,000 | 1,839,606 | ||||||
| GLS Auto Receivables Issuer Trust, Series 2019-1, Class D, 4.940%, 12/15/2025 (a) |
5,875,000 | 5,852,975 | ||||||
| GLS Auto Receivables Issuer Trust, Series 2019-4A, Class D, 4.090%, 8/15/2026 (a) |
1,750,000 | 1,702,435 | ||||||
| GLS Auto Receivables Issuer Trust, Series 2020-1A, Class D, 3.680%, 11/16/2026 (a) |
450,000 | 434,335 | ||||||
| GLS Auto Receivables Issuer Trust, Series 2020-2A, Class D, 7.480%, 4/15/2027 (a) |
625,000 | 636,447 | ||||||
| GLS Auto Receivables Issuer Trust, Series 2021-4A, Class C, 1.940%, 10/15/2027 (a) |
2,000,000 | 1,886,824 | ||||||
| GMF Floorplan Owner Revolving Trust, Series 2020-2, Class A, 0.690%, 10/15/2025 (a) |
600,000 | 583,144 | ||||||
| Goldman Home Improvement Trust, Series 2021-GRN2, Class A, 1.150%, 6/26/2051 (a) |
2,191,651 | 2,029,922 | ||||||
| Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 1.210%, 12/25/2025 (a) |
810,000 | 754,300 | ||||||
| LAD Auto Receivables Trust, Series 2022-1A, Class A, 5.210%, 6/15/2027 (a) |
763,957 | 757,988 | ||||||
| Lendbuzz Securitization Trust, Series 2022-1A, Class A, 4.220%, 5/17/2027 (a) |
5,152,179 | 5,010,932 | ||||||
See accompanying notes which are an integral part of these financial statements.
106
Angel Oak UltraShort Income Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – (continued) |
||||||||
| LendingClub Receivables Trust, Series 2020-6A, Class A, 2.750%, 11/15/2047 (a) |
$ | 115,841 | $ | 115,658 | ||||
| Lendingpoint Asset Securitization Trust, Series 2021-A, Class B, 1.460%, 12/15/2028 (a) |
3,364,832 | 3,337,530 | ||||||
| Lendingpoint Asset Securitization Trust, Series 2021-B, Class B, 1.680%, 2/15/2029 (a) |
1,000,000 | 960,989 | ||||||
| Lendingpoint Asset Securitization Trust, Series 2022-A, Class B, 2.410%, 6/15/2029 (a) |
1,750,000 | 1,700,939 | ||||||
| Lendingpoint Asset Securitization Trust, Series 2022-B, Class A, 4.770%, 10/15/2029 (a) |
647,896 | 640,417 | ||||||
| Lendingpoint Asset Securitization Trust, Series 2022-C, Class B, 7.460%, 2/15/2030 (a) |
2,000,000 | 2,000,716 | ||||||
| LendingPoint Asset Securitization Trust, Series 2020-REV1, Class A, 2.731%, 10/15/2028 (a) |
1,318,666 | 1,305,469 | ||||||
| LendingPoint Pass-Through Trust, Series 2022-ST1, Class A, 2.500%, 3/15/2028 (a) |
1,122,188 | 1,073,904 | ||||||
| LendingPoint Pass-Through Trust, Series 2022-ST2, Class A, 3.250%, 4/15/2028 (a) |
1,282,647 | 1,241,357 | ||||||
| LL ABS Trust, Series 2020-1A, Class C, 6.540%, 1/17/2028 (a) |
2,129,692 | 2,106,348 | ||||||
| LL ABS Trust, Series 2021-1A, Class A, 1.070%, 5/15/2029 (a) |
1,795,691 | 1,744,112 | ||||||
| LL ABS Trust, Series 2021-1A, Class B, 2.170%, 5/15/2029 (a) |
1,000,000 | 918,305 | ||||||
| Marlette Funding Trust, Series 2019-4A, Class C, 3.760%, 12/15/2029 (a) |
4,098,526 | 4,033,302 | ||||||
| Marlette Funding Trust, Series 2020-1A, Class D, 3.540%, 3/15/2030 (a) |
8,396,860 | 8,152,687 | ||||||
| Marlette Funding Trust, Series 2021-1A, Class D, 2.470%, 6/16/2031 (a) |
1,000,000 | 923,851 | ||||||
| Marlette Funding Trust, Series 2021-3A, Class B, 1.300%, 12/15/2031 (a) |
3,000,000 | 2,838,438 | ||||||
| Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026 (a) |
14,562,000 | 14,093,351 | ||||||
| Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.500%, 9/21/2026 (a) |
5,000,000 | 4,636,140 | ||||||
| Mercury Financial Credit Card Master Trust, Series 2023-1, Class A, 9/20/2027 (a) |
700,000 | 699,920 | ||||||
| Mission Lane Credit Card Master Trust, Series 2021-A, Class A, 1.590%, 9/15/2026 (a) |
2,000,000 | 1,939,078 | ||||||
| Octane Receivables Trust, Series 2021-2A, Class A, 1.210%, 9/20/2028 (a) |
1,164,239 | 1,112,648 | ||||||
| Oportun Funding LLC, Series 2022-1, Class A, 3.250%, 6/15/2029 (a) |
887,151 | 873,066 | ||||||
| Oportun Issuance Trust, Series 2021-C, Class A, 2.180%, 10/8/2031 (a) |
2,000,000 | 1,779,782 | ||||||
| Pagaya AI Debt Selection Trust, Series 2020-3, Class C, 6.430%, 5/17/2027 (a) |
2,000,000 | 1,982,520 | ||||||
| Pagaya AI Debt Selection Trust, Series 2021-1, Class A, 1.180%, 11/15/2027 (a) |
1,687,155 | 1,671,055 | ||||||
| Pagaya AI Debt Selection Trust, Series 2021-1, Class B, 2.130%, 11/15/2027 (a) |
10,045,859 | 9,534,665 | ||||||
| Pagaya AI Debt Selection Trust, Series 2021-1, Class C, 4.090%, 11/15/2027 (a) |
199,918 | 174,475 | ||||||
| Pagaya AI Debt Selection Trust, Series 2021-HG1, Class A, 1.220%, 1/16/2029 (a) |
3,968,060 | 3,753,963 | ||||||
| Pagaya AI Debt Selection Trust, Series 2021-HG1, Class B, 1.820%, 1/16/2029 (a) |
1,562,772 | 1,473,336 | ||||||
| Pagaya AI Debt Selection Trust, Series 2021-3, Class B, 1.740%, 5/15/2029 (a) |
2,999,837 | 2,763,123 | ||||||
| Pagaya AI Debt Selection Trust, Series 2021-5, Class B, 2.630%, 8/15/2029 (a) |
999,882 | 911,797 | ||||||
| Pagaya AI Debt Selection Trust, Series 2022-1, Class A, 2.030%, 10/15/2029 (a) |
4,417,390 | 4,284,223 | ||||||
| Pagaya AI Debt Selection Trust, Series 2022-1, Class B, 3.344%, 10/15/2029 (a) |
2,499,669 | 2,286,298 | ||||||
| Pagaya AI Debt Selection Trust, Series 2022-3, Class A, 6.060%, 3/15/2030 (a) |
2,525,231 | 2,504,822 | ||||||
| Pagaya AI Debt Selection Trust, Series 2022-5, Class A, 8.096%, 6/17/2030 (a) |
1,477,082 | 1,493,570 | ||||||
| Prestige Auto Receivables Trust, Series 2022-1A, Class B, 6.550%, 7/17/2028 (a) |
1,160,000 | 1,176,920 | ||||||
| Purchasing Power Funding LLC, Series 2021-A, Class A, 1.570%, 10/15/2025 (a) |
2,500,000 | 2,448,322 | ||||||
| Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B, 5.281%, 5/17/2032 (a) |
269,871 | 263,173 | ||||||
| Santander Drive Auto Receivables Trust, Series 2022-7, Class A2, 5.810%, 1/15/2026 |
500,000 | 502,428 | ||||||
| Skopos Auto Receivables Trust, Series 2019-1A, Class D, 5.240%, 4/15/2025 (a) |
3,945,572 | 3,930,863 | ||||||
| Skopos Auto Receivables Trust, Series 2019-1A, Class E, 7.820%, 6/15/2026 (a) |
500,000 | 492,235 | ||||||
| SoFi Consumer Loan Program Trust, Series 2022-1S, Class A, 6.210%, 4/15/2031 (a) |
1,340,061 | 1,344,335 | ||||||
| SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037 (a) |
10,363,595 | 9,536,518 | ||||||
| Theorem Funding Trust, Series 2021-1A, Class B, 1.840%, 12/15/2027 (a) |
2,000,000 | 1,878,832 | ||||||
| Theorem Funding Trust, Series 2022-1A, Class A, 1.850%, 2/15/2028 (a) |
2,102,119 | 2,047,809 | ||||||
| Theorem Funding Trust, Series 2022-2A, Class A, 6.060%, 12/15/2028 (a) |
766,445 | 763,654 | ||||||
| Theorem Funding Trust, Series 2022-3A, Class A, 7.600%, 4/15/2029 (a) |
4,152,831 | 4,199,816 | ||||||
| Theorem Funding Trust, Series 2022-3A, Class B, 8.950%, 4/15/2029 (a) |
1,400,000 | 1,413,790 | ||||||
| Tricolor Auto Securitization Trust, Series 2022-1A, Class B, 4.340%, 5/15/2025 (a) |
800,000 | 792,627 | ||||||
See accompanying notes which are an integral part of these financial statements.
107
Angel Oak UltraShort Income Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – (continued) |
||||||||
| U.S. Auto Funding Receivables LLC, Series 2020-1A, Class C, 5.940%, 8/15/2024 (a) |
$ | 2,000,000 | $ | 1,997,798 | ||||
| U.S. Auto Funding Receivables LLC, Series 2020-1A, Class D, 9.350%, 3/15/2027 (a) |
5,828,000 | 5,904,749 | ||||||
| UNIFY Auto Receivables Trust, Series 2021-1A, Class B, 1.290%, 11/16/2026 (a) |
1,450,000 | 1,337,010 | ||||||
| United Auto Credit Securitization Trust, Series 2023-1, Class A, 6.320%, 7/10/2025 (a) |
700,000 | 701,010 | ||||||
| United Auto Credit Securitization Trust, Series 2022-2, Class B, 5.410%, 12/10/2025 (a) |
1,000,000 | 997,537 | ||||||
| United Auto Credit Securitization Trust, Series 2022-1, Class C, 2.610%, 6/10/2027 (a) |
2,000,000 | 1,955,896 | ||||||
| Upgrade Master Pass-Thru Trust, Series 2019-ST1, Class A, 4.000%, 7/15/2025 (a) |
35,107 | 35,051 | ||||||
| Upgrade Master Pass-Thru Trust, Series 2019-ST3, Class A, 3.750%, 11/15/2025 (a) |
259,183 | 259,206 | ||||||
| Upgrade Master Pass-Thru Trust, Series 2019-ST4, Class A, 3.750%, 12/15/2025 (a) |
927 | 928 | ||||||
| Upstart Pass-Through Trust, Series 2020-ST5, Class A, 3.000%, 12/20/2026 (a) |
910,403 | 872,135 | ||||||
| Upstart Pass-Through Trust, Series 2020-ST6, Class A, 3.000%, 1/20/2027 (a) |
643,698 | 614,069 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST1, Class A, 2.750%, 2/20/2027 (a) |
2,586,825 | 2,469,042 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST2, Class A, 2.500%, 4/20/2027 (a) |
5,333,654 | 5,098,818 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST3, Class A, 2.000%, 5/20/2027 (a) |
3,825,098 | 3,608,961 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST4, Class A, 2.000%, 7/20/2027 (a) |
4,114,167 | 3,846,141 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST6, Class A, 1.850%, 8/20/2027 (a) |
4,429,725 | 4,149,944 | ||||||
| Upstart Pass-Through Trust, Series 2020-ST1, Class A, 3.750%, 2/20/2028 (a) |
1,475,735 | 1,446,424 | ||||||
| Upstart Pass-Through Trust, Series 2020-ST2, Class A, 3.500%, 3/20/2028 (a) |
1,273,744 | 1,247,348 | ||||||
| Upstart Pass-Through Trust, Series 2020-ST3, Class A, 3.350%, 4/20/2028 (a) |
2,150,069 | 2,102,494 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST7, Class A, 1.850%, 9/20/2029 (a) |
1,168,166 | 1,128,330 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST8, Class A, 1.750%, 10/20/2029 (a) |
2,838,839 | 2,665,139 | ||||||
| Upstart Pass-Through Trust, Series 2021-ST10, Class A, 2.250%, 1/20/2030 (a) |
2,846,109 | 2,728,784 | ||||||
| Upstart Pass-Through Trust, Series 2022-ST1, Class A, 2.600%, 3/20/2030 (a) |
2,526,775 | 2,385,167 | ||||||
| Upstart Pass-Through Trust, Series 2022-2A, Class A, 4.250%, 6/17/2030 (a) |
761,605 | 733,176 | ||||||
| Upstart Pass-Through Trust, Series 2022-4A, Class A, 7.010%, 10/15/2030 (a) |
3,697,359 | 3,692,475 | ||||||
| Upstart Securitization Trust, Series 2019-2, Class C, 4.783%, 9/20/2029 (a) |
2,196,532 | 2,189,574 | ||||||
| Upstart Securitization Trust, Series 2019-3, Class C, 5.381%, 1/21/2030 (a) |
1,185,386 | 1,172,863 | ||||||
| Upstart Securitization Trust, Series 2020-2, Class A, 2.309%, 11/20/2030 (a) |
2,453,156 | 2,390,487 | ||||||
| Upstart Securitization Trust, Series 2021-1, Class C, 4.060%, 3/20/2031 (a) |
900,000 | 837,304 | ||||||
| Upstart Securitization Trust, Series 2021-2, Class C, 3.610%, 6/20/2031 (a) |
250,000 | 222,639 | ||||||
| Upstart Securitization Trust, Series 2021-3, Class B, 1.660%, 7/20/2031 (a) |
1,350,000 | 1,269,571 | ||||||
| Upstart Securitization Trust, Series 2021-4, Class B, 1.840%, 9/20/2031 (a) |
4,000,000 | 3,676,100 | ||||||
| Upstart Securitization Trust, Series 2021-5, Class A, 1.310%, 11/20/2031 (a) |
209,803 | 204,409 | ||||||
| Upstart Securitization Trust, Series 2021-5, Class B, 2.490%, 11/20/2031 (a) |
1,000,000 | 910,832 | ||||||
| Upstart Securitization Trust, Series 2022-2, Class A, 4.370%, 5/20/2032 (a) |
335,112 | 330,335 | ||||||
| Upstart Securitization Trust, Series 2022-4, Class A, 5.980%, 8/20/2032 (a) |
1,751,706 | 1,733,979 | ||||||
| US Auto Funding Trust, Series 2022-1A, Class B, 5.130%, 12/15/2025 (a) |
500,000 | 494,207 | ||||||
| Veros Automobile Receivables Trust, Series 2022-1, Class A, 3.470%, 12/15/2025 (a) |
957,619 | 941,619 | ||||||
| Veros Automobile Receivables Trust, Series 2021-1, Class A, 0.920%, 10/15/2026 (a) |
315,109 | 310,888 | ||||||
| Westlake Automobile Receivables Trust, Series 2022-3A, Class A2, 5.240%, 7/15/2025 (a) |
4,000,000 | 4,004,156 | ||||||
| Westlake Automobile Receivables Trust, Series 2020-3A, Class C, 1.240%, 11/17/2025 (a) |
835,000 | 818,408 | ||||||
| Westlake Automobile Receivables Trust, Series 2020-2A, Class D, 2.760%, 1/15/2026 (a) |
1,000,000 | 979,665 | ||||||
| Westlake Automobile Receivables Trust, Series 2023-1A, Class A2A, 5.510%, 6/15/2026 (a) |
1,000,000 | 1,001,904 | ||||||
| Westlake Automobile Receivables Trust, Series 2021-2A, Class E, 2.380%, 3/15/2027 (a) |
2,250,000 | 2,086,180 | ||||||
|
|
|
|||||||
| TOTAL ASSET-BACKED SECURITIES |
$313,616,121 | |||||||
|
|
|
|||||||
| Collateralized Loan Obligations – 11.81% |
||||||||
| Atrium CLO Ltd., Series 12A, Class AR, |
2,946,631 | 2,921,877 | ||||||
See accompanying notes which are an integral part of these financial statements.
108
Angel Oak UltraShort Income Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Collateralized Loan Obligations – (continued) |
||||||||
| Barings Middle Market CLO Ltd., Series 2021-IA,
Class X, |
$ | 2,857,143 | $ | 2,852,671 | ||||
| Cathedral Lake CLO Ltd., Series 2021-6A, Class X, |
2,736,842 | 2,735,452 | ||||||
| Cedar Funding CLO Ltd., Series 2014-4A, Class X, |
1,666,664 | 1,665,759 | ||||||
| Cerberus Loan Funding LP, Series 2021-6A, Class A, |
1,611,406 | 1,602,401 | ||||||
| CIFC Funding Ltd., Series 2015-3A, Class AR, |
4,362,822 | 4,329,228 | ||||||
| Elevation CLO Ltd., Series 2021-13A, Class X, |
2,000,000 | 1,999,176 | ||||||
| Elevation CLO Ltd., Series 2021-14A, Class X, |
2,750,000 | 2,748,776 | ||||||
| First Eagle Commercial Loan Funding LLC, Series 2016-1A,
Class A1AR, |
6,402,485 | 6,365,165 | ||||||
| Gallatin CLO Ltd., Series 2018-1A, Class A, |
904,686 | 901,286 | ||||||
| Golub Capital Partners CLO Ltd., Series 2015-24A,
Class AR, |
1,200,000 | 1,187,428 | ||||||
| Great Lakes CLO Ltd., Series 2021-5A, Class AX, |
2,134,286 | 2,115,807 | ||||||
| Hayfin Kingsland Ltd., Series 2019-2A, Class XR, |
2,100,000 | 2,099,158 | ||||||
| Highbridge Loan Management Ltd., Series 2015-7A,
Class BR, |
4,000,000 | 3,976,632 | ||||||
| ICG US CLO Ltd., Series 2015-1X, Class A1R, |
1,777,225 | 1,764,191 | ||||||
| Jamestown CLO Ltd., Series 2016-9A, Class XRR, |
2,333,350 | 2,332,426 | ||||||
| Lake Shore MM CLO Ltd., Series 2021-1A, Class X, |
3,483,333 | 3,477,923 | ||||||
| Marble Point CLO Ltd., Series 2020-3A, Class X, |
999,998 | 999,604 | ||||||
| Monroe Capital MML CLO Ltd., Series 2017-1A,
Class AR, |
2,100,600 | 2,083,518 | ||||||
| Monroe Capital MML CLO Ltd., Series 2018-1A, Class A, |
1,985,306 | 1,966,562 | ||||||
| Monroe Capital MML CLO Ltd., Series 2021-2A, Class X, |
3,372,000 | 3,368,139 | ||||||
| Mountain View CLO Ltd., Series 2016-1A, Class XR, |
1,684,210 | 1,684,210 | ||||||
| Mountain View CLO Ltd., Series 2019-1A, Class XR, |
1,631,250 | 1,630,839 | ||||||
| Neuberger Berman CLO Ltd., Series 2015-20A, Class XR, |
3,500,000 | 3,498,086 | ||||||
| Owl Rock CLO Ltd., Series 2019-1A, Class A, |
3,000,000 | 2,978,445 | ||||||
See accompanying notes which are an integral part of these financial statements.
109
Angel Oak UltraShort Income Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Collateralized Loan Obligations – (continued) |
||||||||
| OZLM Ltd., Series 2015-14A, Class X, 5.792% (3 Month LIBOR USD
+ 1.000%), |
$ | 600,000 | $ | 599,774 | ||||
| Saranac CLO Ltd., Series 2014-2A, Class A1AR, |
5,074,838 | 5,041,801 | ||||||
| Sculptor CLO Ltd., Series 25A, Class X, |
500,000 | 499,925 | ||||||
| Symphony CLO Ltd., Series 2021-25A, Class X, |
500,000 | 499,873 | ||||||
| TCW CLO Ltd., Series 2020-1A, Class XRR, |
2,285,714 | 2,284,450 | ||||||
| TCW CLO Ltd., Series 2021-2A, Class X, |
2,666,667 | 2,665,584 | ||||||
| TCW CLO Ltd., Series 2019-1A, Class XR, |
2,666,667 | 2,666,000 | ||||||
| THL Credit Lake Shore MM CLO Ltd., Series 2019-1A,
Class X, |
1,666,667 | 1,663,177 | ||||||
| Wellfleet CLO Ltd., Series 2019-XA, Class X, |
2,727,273 | 2,726,051 | ||||||
|
|
|
|||||||
| TOTAL COLLATERALIZED LOAN OBLIGATIONS |
$81,931,394 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities – 4.16% |
||||||||
| ACRES Commercial Realty Ltd., Series 2021-FL1,
Class A, |
2,000,000 | 1,950,686 | ||||||
| BDS Ltd., Series 2021-FL8, Class B, 5.820% (1 Month LIBOR USD + 1.350%), 1/18/2036 (a)(b) |
2,000,000 | 1,881,562 | ||||||
| BX Commercial Mortgage Trust, Series 2021-VOLT, Class B, |
2,000,000 | 1,937,554 | ||||||
| BXP Trust, Series 2017-CQHP, Class A, |
1,000,000 | 990,036 | ||||||
| BXP Trust, Series 2017-CQHP, Class C, |
3,000,000 | 2,935,020 | ||||||
| CSMC Trust, Series 2017-PFHP, Class A, |
620,000 | 618,419 | ||||||
| Extended Stay America Trust, Series 2021-ESH,
Class B, |
1,366,669 | 1,328,050 | ||||||
| Greystone CRE Notes Ltd., Series 2021-HC2, Class A, |
5,000,000 | 4,892,990 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2018-TWR,
Class B, |
775,000 | 747,174 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2018-HART, Class B, |
683,000 | 667,545 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust, Series
2018-PTC, Class A, |
1,253,000 | 1,162,862 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust, Series
2019-MFP, Class A, |
351,748 | 352,892 | ||||||
| Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class A, |
1,000,000 | 979,151 | ||||||
| Ready Capital Mortgage Financing LLC, Series 2021-FL6,
Class B, |
1,950,000 | 1,817,373 | ||||||
| Velocity Commercial Capital Loan Trust, Series 2021-2,
Class A, |
3,902,956 | 3,284,424 | ||||||
See accompanying notes which are an integral part of these financial statements.
110
Angel Oak UltraShort Income Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Commercial Mortgage-Backed Securities – (continued) |
||||||||
| Velocity Commercial Capital Loan Trust, Series 2021-3, Class A, 1.960%, 10/25/2051 (a)(c) |
$ | 2,556,314 | $ | 2,200,884 | ||||
| Velocity Commercial Capital Loan Trust, Series 2021-4, Class A, 2.520%, 12/25/2051 (a)(c) |
1,239,243 | 1,099,854 | ||||||
|
|
|
|||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
$ | 28,846,476 | ||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities – U.S. Government Agency – 6.28% |
||||||||
| Federal Home Loan Mortgage Corp., Series K-036, Class A2, 3.527%, 10/25/2023 (c) |
1,599,114 | 1,583,241 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F29,
Class A, |
1,198,546 | 1,197,018 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F51,
Class A, |
2,131,922 | 2,124,379 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F60,
Class A, |
1,184,460 | 1,182,381 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F62,
Class A, |
761,483 | 758,660 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F64,
Class A, |
283,349 | 281,913 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F68,
Class A, |
6,267,829 | 6,245,033 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F74,
Class AS, |
119,046 | 118,429 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F81,
Class AS, |
1,713,064 | 1,696,336 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F86,
Class AS, |
5,040,148 | 4,976,233 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F86,
Class AL, |
1,537,455 | 1,515,222 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F93,
Class AS, |
1,256,001 | 1,236,965 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F93,
Class AL, |
1,469,007 | 1,446,048 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F100,
Class AL, |
4,660,110 | 4,562,817 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F100,
Class AS, |
2,295,344 | 2,246,607 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F43,
Class A, |
2,369,114 | 2,339,695 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F48,
Class A, |
829,867 | 820,761 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F84,
Class AL, |
2,472,939 | 2,423,299 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F92,
Class AS, |
511,034 | 500,288 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F91,
Class AL, |
1,072,278 | 1,047,983 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F96,
Class AS, |
528,473 | 513,560 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F94,
Class AL, |
1,102,928 | 1,075,414 | ||||||
See accompanying notes which are an integral part of these financial statements.
111
Angel Oak UltraShort Income Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Commercial Mortgage-Backed Securities – U.S. Government Agency – (continued) |
||||||||
| Federal Home Loan Mortgage Corp., Series K-F99,
Class AS, |
$ | 1,496,401 | $ | 1,448,722 | ||||
| Federal Home Loan Mortgage Corp., Series K-F114,
Class AS, |
354,337 | 341,302 | ||||||
| Federal National Mortgage Association, 2.500%, 9/1/2024 |
1,955,894 | 1,885,071 | ||||||
|
|
|
|||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY |
$43,567,377 | |||||||
|
|
|
|||||||
| Corporate Obligations – 2.72% |
||||||||
| Basic Materials – 0.49% |
||||||||
| Compass Minerals International, Inc., 4.875%, 7/15/2024 (a) |
3,000,000 | 2,909,310 | ||||||
| FMG Resources Ltd., 5.125%, 5/15/2024 (a) |
500,000 | 497,130 | ||||||
|
|
|
|||||||
| 3,406,440 | ||||||||
|
|
|
|||||||
| Consumer, Cyclical – 0.40% |
||||||||
| Ford Motor Credit Co LLC, 3.370%, 11/17/2023 |
800,000 | 786,202 | ||||||
| Ford Motor Credit Co LLC, 5.584%, 3/18/2024 |
2,000,000 | 1,988,028 | ||||||
|
|
|
|||||||
| 2,774,230 | ||||||||
|
|
|
|||||||
| Consumer, Non-cyclical – 0.50% |
||||||||
| Prime Security Services Borrower LLC / Prime Finance, Inc., 5.250%, 4/15/2024 (a) |
3,500,000 | 3,466,505 | ||||||
|
|
|
|||||||
| Energy – 0.15% |
||||||||
| Occidental Petroleum Corp., 6.950%, 7/1/2024 |
472,000 | 481,083 | ||||||
| PBF Logistics LP / PBF Logistics Finance Corp., 6.875%, 5/15/2023 |
550,000 | 550,585 | ||||||
|
|
|
|||||||
| 1,031,668 | ||||||||
|
|
|
|||||||
| Financial – 1.18% |
||||||||
| goeasy Ltd., 5.375%, 12/1/2024 (a) |
1,000,000 | 958,680 | ||||||
| Millennium Consolidated Holdings LLC, 7.500%, 6/30/2023 (a) |
2,000,000 | 1,989,705 | ||||||
| OneMain Finance Corp., 6.125%, 3/15/2024 |
1,275,000 | 1,265,693 | ||||||
| Starwood Property Trust, Inc., 5.500%, 11/1/2023 (a) |
4,000,000 | 3,986,000 | ||||||
|
|
|
|||||||
| 8,200,078 | ||||||||
|
|
|
|||||||
| TOTAL CORPORATE OBLIGATIONS |
$18,878,921 | |||||||
|
|
|
|||||||
| Investment Companies – 0.71% |
Shares | |||||||
| Affiliated Exchange Traded Funds – 0.71% |
||||||||
| Angel Oak Ultrashort Income ETF |
96,500 | 4,880,005 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENT COMPANIES |
$4,880,005 | |||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Residential Mortgage-Backed Securities – 23.81% |
||||||||
| Banc of America Funding Corp., Series 2015-R3,
Class 7A1, |
$1,583,955 | 1,488,987 | ||||||
See accompanying notes which are an integral part of these financial statements.
112
Angel Oak UltraShort Income Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Bellemeade Re Ltd., Series 2018-3A, Class M1B, |
$ | 164,331 | $ | 164,235 | ||||
| Bellemeade Re Ltd., Series 2019-1A, Class M2, |
1,500,000 | 1,511,736 | ||||||
| Bellemeade Re Ltd., Series 2019-3A, Class M1C, |
1,397,350 | 1,384,867 | ||||||
| BRAVO Residential Funding Trust, Series 2021-A, Class A1, 1.991%, 10/25/2059 (a)(e) |
387,384 | 371,751 | ||||||
| BRAVO Residential Funding Trust, Series 2020-NQM1, Class A2, 1.789%, 5/25/2060 (a)(c) |
824,600 | 794,735 | ||||||
| BRAVO Residential Funding Trust, Series 2020-NQM1, Class A3, 2.406%, 5/25/2060 (a)(c) |
571,166 | 545,096 | ||||||
| Bunker Hill Loan Depositary Trust, Series 2019-3, Class A3, 3.135%, 11/25/2059 (a)(e) |
1,427,018 | 1,367,330 | ||||||
| Cascade Funding Mortgage Trust, Series 2021-HB6, Class A, 0.898%, 6/25/2036 (a)(c) |
1,243,310 | 1,182,686 | ||||||
| Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A11, |
1,462,309 | 1,394,437 | ||||||
| CIM Trust, Series 2019-INV2, Class A11, |
203,437 | 190,780 | ||||||
| CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059 (a)(e) |
2,887,779 | 2,616,030 | ||||||
| COLT Funding LLC, Series 2021-3R, Class A3, 1.513%, 12/26/2064 (a)(c) |
831,323 | 676,503 | ||||||
| COLT Mortgage Loan Trust, Series 2020-2, Class A1, 1.853%, 3/25/2065 (a)(c) |
245,302 | 242,943 | ||||||
| COLT Mortgage Loan Trust, Series 2020-2, Class A3, 3.698%, 3/25/2065 (a)(c) |
1,710,000 | 1,586,926 | ||||||
| COLT Mortgage Loan Trust, Series 2020-3, Class A1, 1.506%, 4/27/2065 (a)(c) |
977,053 | 930,400 | ||||||
| COLT Mortgage Loan Trust, Series 2020-3, Class A3, 2.380%, 4/27/2065 (a)(c) |
286,270 | 277,368 | ||||||
| COLT Mortgage Loan Trust, Series 2021-2, Class A2, 1.130%, 8/25/2066 (a)(c) |
778,731 | 652,013 | ||||||
| COLT Mortgage Loan Trust, Series 2022-7, Class A3, 6.250%, 7/25/2067 (a)(c) |
642,627 | 625,900 | ||||||
| COLT Mortgage Pass-Through Certificates, Series 2021-1R, Class A3, 1.421%, 5/25/2065 (a)(c) |
792,981 | 702,020 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-NQM3, Class A3, 1.632%, 4/25/2066 (a)(c) |
5,967,218 | 4,989,483 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-NQM7, Class A2, 1.961%, 10/25/2066 (a)(c) |
3,619,064 | 3,119,749 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-NQM8, Class A2, 2.303%, 10/25/2066 (a)(c) |
4,272,487 | 3,663,320 | ||||||
| CSMC Trust, Series 2019-AFC1, Class A2, 2.776%, 8/25/2049 (a)(e) |
762,079 | 727,696 | ||||||
| CSMC Trust, Series 2019-AFC1, Class A3, 2.877%, 8/25/2049 (a)(e) |
1,701,527 | 1,620,746 | ||||||
| CSMC Trust, Series 2020-AFC1, Class A3, 2.514%, 2/25/2050 (a)(c) |
493,091 | 471,360 | ||||||
| CSMC Trust, Series 2019-NQM1, Class A1, 2.656%, 10/25/2059 (a)(e) |
1,452,306 | 1,402,716 | ||||||
| CSMC Trust, Series 2021-NQM1, Class A1, 0.809%, 5/25/2065 (a)(c) |
1,814,735 | 1,572,037 | ||||||
| CSMC Trust, Series 2021-NQM5, Class A3, 1.349%, 5/25/2066 (a)(c) |
3,410,578 | 2,722,552 | ||||||
| Deephaven Residential Mortgage Trust, Series 2021-1, Class A1, 0.715%, 5/25/2065 (a)(c) |
1,284,123 | 1,203,325 | ||||||
| Deephaven Residential Mortgage Trust, Series 2021-2, Class A3, 1.260%, 4/25/2066 (a)(c) |
925,735 | 751,274 | ||||||
| Flagstar Mortgage Trust, Series 2018-6RR, Class 1A2, |
1,134,576 | 1,059,482 | ||||||
| FWD Securitization Trust, Series 2019-INV1, Class A2, 3.010%, 6/25/2049 (a)(c) |
580,762 | 549,855 | ||||||
| Galton Funding Mortgage Trust, Series 2017-1, Class A21, 3.500%, 7/25/2056 (a)(c) |
39,024 | 37,414 | ||||||
| GCAT Trust, Series 2020-NQM1, Class A3, 2.554%, 1/25/2060 (a)(e) |
353,467 | 338,722 | ||||||
| GCAT Trust, Series 2020-NQM2, Class A1, 1.555%, 4/25/2065 (a)(e) |
1,206,065 | 1,081,743 | ||||||
| GCAT Trust, Series 2022-NQM4, Class A3, 5.730%, 8/25/2067 (a)(e) |
629,685 | 605,631 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2014-EB1A, Class B2, |
2,167,446 | 2,145,166 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ1, Class A1, 3.500%, 5/25/2050 (a)(c) |
210,961 | 192,472 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ2, Class A1, 3.500%, 7/25/2050 (a)(c) |
247,170 | 224,029 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ4, Class A6, 2.500%, 9/25/2051 (a)(c) |
2,978,460 | 2,615,615 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ9, Class A8, 2.500%, 2/25/2052 (a)(c) |
8,536,170 | 7,643,424 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ10, Class A8, 2.500%, 3/25/2052 (a)(c) |
4,371,708 | 3,787,866 | ||||||
See accompanying notes which are an integral part of these financial statements.
113
Angel Oak UltraShort Income Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2020-NQM1, Class A2, |
$ | 446,848 | $ | 422,484 | ||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-NQM1, Class A3, |
1,672,102 | 1,413,744 | ||||||
| Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A3, 1.617%, 6/25/2056 (a)(c) |
1,450,820 | 1,233,728 | ||||||
| JP Morgan Mortgage Trust, Series 2018-1, Class B1, 3.614%, 6/25/2048 (a)(c) |
885,506 | 809,310 | ||||||
| JP Morgan Mortgage Trust, Series 2019-1, Class A11, |
110,405 | 102,076 | ||||||
| JP Morgan Mortgage Trust, Series 2019-2, Class A11, |
363,364 | 353,489 | ||||||
| JP Morgan Mortgage Trust, Series 2019-5, Class A11, |
882,560 | 847,230 | ||||||
| JP Morgan Mortgage Trust, Series 2019-6, Class A3, 3.500%, 12/25/2049 (a)(c) |
1,922,553 | 1,744,921 | ||||||
| JP Morgan Mortgage Trust, Series 2019-LTV3, Class A3, 3.500%, 3/25/2050 (a)(c) |
233,709 | 230,789 | ||||||
| JP Morgan Mortgage Trust, Series 2019-INV3, Class A11, |
620,592 | 572,250 | ||||||
| JP Morgan Mortgage Trust, Series 2020-LTV1, Class A11, |
598,047 | 591,909 | ||||||
| JP Morgan Mortgage Trust, Series 2020-7, Class A11, |
917,210 | 852,247 | ||||||
| JP Morgan Mortgage Trust, Series 2021-1, Class A11, |
4,358,417 | 3,984,090 | ||||||
| JP Morgan Mortgage Trust, Series 2021-6, Class A6, 2.500%, 10/25/2051 (a)(c) |
2,831,289 | 2,594,961 | ||||||
| Mello Mortgage Capital Accepatance, Series 2021-MTG2, Class A10, 2.500%, 6/25/2051 (a)(c) |
3,814,665 | 3,307,936 | ||||||
| METLIFE Securitization Trust, Series 2020-INV1, Class A5, 3.000%, 5/25/2050 (a)(c) |
1,929,825 | 1,654,704 | ||||||
| MFA Trust, Series 2021-INV1, Class A2, 1.057%, 1/25/2056 (a)(c) |
694,620 | 650,657 | ||||||
| MFA Trust, Series 2020-NQM3, Class A2, 1.324%, 1/26/2065 (a)(c) |
631,320 | 595,418 | ||||||
| MFA Trust, Series 2020-NQM1, Class A3, 2.300%, 3/25/2065 (a)(c) |
904,474 | 845,261 | ||||||
| Mill City Mortgage Loan Trust, Series 2019-GS2, Class A1, 2.750%, 8/25/2059 (a)(c) |
377,117 | 350,122 | ||||||
| Mill City Mortgage Loan Trust, Series 2021-NMR1, Class A1, 1.125%, 11/25/2060 (a)(c) |
1,232,145 | 1,135,498 | ||||||
| New Residential Mortgage Loan Trust, Series 2021-INV1, Class A6, 2.500%, 6/25/2051 (a)(c) |
2,424,629 | 2,171,051 | ||||||
| New Residential Mortgage Loan Trust, Series 2021-NQ2R, Class A1, 0.941%, |
359,628 | 321,682 | ||||||
| New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1, 2.710%, |
502,884 | 478,087 | ||||||
| New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A3, 3.065%, |
378,212 | 356,715 | ||||||
| New Residential Mortgage Loan Trust, Series 2020-NQM2, Class A1, 1.650%, |
663,187 | 636,873 | ||||||
| NLT Trust, Series 2021-INV2, Class A3, 1.520%, 8/25/2056 (a)(c) |
2,036,046 | 1,657,631 | ||||||
| NMLT Trust, Series 2021-INV1, Class A3, 1.797%, 5/25/2056 (a)(c) |
1,529,631 | 1,255,365 | ||||||
| OBX Trust, Series 2018-EXP1, Class 2A2, |
133,444 | 130,097 | ||||||
| OBX Trust, Series 2020-EXP1, Class 2A1, |
549,553 | 508,383 | ||||||
| OBX Trust, Series 2021-NQM1, Class A3, 1.329%, 2/25/2066 (a)(c) |
4,850,898 | 4,005,246 | ||||||
| Pepper Residential Securities Trust, Series 21A, Class A1U, |
10,531 | 10,539 | ||||||
| Pepper Residential Securities Trust, Series 23A, Class A1U, |
31,101 | 31,121 | ||||||
| PNMAC Issuer Trust, Series 2018-FT1, Class A, |
5,000,000 | 4,991,130 | ||||||
| Pretium Mortgage Credit Partners LLC, Series 2021-NPL3, Class A1, 1.868%, 7/25/2051 (a)(e) |
5,150,465 | 4,591,032 | ||||||
See accompanying notes which are an integral part of these financial statements.
114
Angel Oak UltraShort Income Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026 (a)(e) |
$ | 106,035 | $ | 99,659 | ||||
| PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026 (a)(e) |
110,129 | 102,092 | ||||||
| PRPM LLC, Series 2021-6, Class A1, 1.793%, 7/25/2026 (a)(e) |
3,212,171 | 2,997,759 | ||||||
| PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026 (a)(e) |
2,180,256 | 2,040,187 | ||||||
| PRPM LLC, Series 2022-NQM1, Class A3, 5.500%, 8/25/2067 (a)(e) |
2,430,567 | 2,278,120 | ||||||
| RCO Mortgage LLC, Series 2022-1, Class A1, 2.981%, 1/25/2027 (a)(e) |
3,679,839 | 3,491,137 | ||||||
| Residential Mortgage Loan Trust, Series 2019-2, Class A3, 3.220%, 5/25/2059 (a)(c) |
294,464 | 286,873 | ||||||
| Residential Mortgage Loan Trust, Series 2020-1, Class A3, 2.684%, 1/25/2060 (a)(c) |
599,143 | 574,320 | ||||||
| RESIMAC Bastille Trust, Series 2018-1NCA, Class A1, |
21,830 | 21,872 | ||||||
| Saluda Grade Alternative Mortgage Trust, Series 2021-MF1,
Class A1, |
5,000,000 | 4,743,990 | ||||||
| SG Residential Mortgage Trust, Series 2019-3, Class A1, 2.703%, 9/25/2059 (a)(c) |
1,066,587 | 1,039,169 | ||||||
| SG Residential Mortgage Trust, Series 2019-3, Class A2, 2.877%, 9/25/2059 (a)(c) |
206,834 | 201,911 | ||||||
| SG Residential Mortgage Trust, Series 2021-2, Class A2, 1.942%, 12/25/2061 (a)(c) |
4,294,771 | 3,698,485 | ||||||
| SG Residential Mortgage Trust, Series 2022-2, Class A3, 5.353%, 9/25/2067 (a)(c) |
970,608 | 917,343 | ||||||
| Spruce Hill Mortgage Loan Trust, Series 2020-SH1, Class A1, 2.521%, 1/28/2050 (a)(c) |
140,238 | 139,026 | ||||||
| Spruce Hill Mortgage Loan Trust, Series 2020-SH1, Class A2, 2.624%, 1/28/2050 (a)(c) |
74,136 | 73,403 | ||||||
| Starwood Mortgage Residential Trust, Series 2020-1, Class A1, 2.275%, 2/25/2050 (a)(c) |
553,287 | 526,935 | ||||||
| Starwood Mortgage Residential Trust, Series 2020-INV1, Class A3, 1.593%, 11/25/2055 (a)(c) |
1,543,960 | 1,393,839 | ||||||
| Starwood Mortgage Residential Trust, Series 2021-3, Class A3, 1.518%, 6/25/2056 (a)(c) |
3,426,902 | 2,826,852 | ||||||
| Starwood Mortgage Residential Trust, Series 2021-2, Class A3, 1.431%, 5/25/2065 (a)(c) |
565,395 | 520,683 | ||||||
| Starwood Mortgage Residential Trust, Series 2021-5, Class A2, 2.178%, 9/25/2066 (a)(c) |
4,394,214 | 3,825,788 | ||||||
| Starwood Mortgage Residential Trust, Series 2021-5, Class A3, 2.436%, 9/25/2066 (a)(c) |
3,878,389 | 3,381,140 | ||||||
| Towd Point Mortgage Trust, Series 2017-2, Class A1, 2.750%, 4/25/2057 (a)(c) |
597,456 | 591,656 | ||||||
| Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.750%, 10/25/2057 (a)(c) |
134,927 | 124,084 | ||||||
| Towd Point Mortgage Trust, Series 2019-HY3,
Class A1A, |
1,338,509 | 1,322,504 | ||||||
| Tricon American Homes Trust, Series 2017-SFR2, Class A, 2.928%, 1/18/2036 (a) |
2,657,734 | 2,591,700 | ||||||
| TRK Trust, Series 2022-INV1, Class A1, 2.577%, 2/25/2057 (a)(c) |
3,594,721 | 3,182,148 | ||||||
| Verus Securitization Trust, Series 2019-INV3, Class A2, 2.947%, 11/25/2059 (a)(c) |
1,276,548 | 1,233,275 | ||||||
| Verus Securitization Trust, Series 2019-INV3, Class M1, 3.279%, 11/25/2059 (a)(c) |
2,513,000 | 2,208,364 | ||||||
| Verus Securitization Trust, Series 2020-5, Class A2, 1.578%, 5/25/2065 (a)(e) |
1,006,261 | 944,580 | ||||||
| Verus Securitization Trust, Series 2021-3, Class A2, 1.283%, 6/25/2066 (a)(c) |
932,211 | 808,497 | ||||||
| Verus Securitization Trust, Series 2021-4, Class A2, 1.247%, 7/25/2066 (a)(c) |
1,754,047 | 1,470,811 | ||||||
| Verus Securitization Trust, Series 2021-5, Class A3, 1.373%, 9/25/2066 (a)(c) |
2,570,949 | 2,047,219 | ||||||
| Verus Securitization Trust, Series 2021-8, Class A3, 2.491%, 11/25/2066 (a)(c) |
1,853,758 | 1,602,431 | ||||||
| Verus Securitization Trust, Series 2022-3, Class A3, 4.130%, 2/25/2067 (a)(c) |
2,717,868 | 2,519,907 | ||||||
| Verus Securitization Trust, Series 2022-5, Class A3, 3.800%, 4/25/2067 (a)(c) |
969,884 | 829,322 | ||||||
| Visio Trust, Series 2021-1R, Class A3, 1.688%, 5/25/2056 (a) |
1,766,000 | 1,609,393 | ||||||
| Wells Fargo Mortgage-Backed Securities Trust, Series 2020-2,
Class A3, |
232,449 | 224,050 | ||||||
| WinWater Mortgage Loan Trust, Series 2015-A,
Class AX1, |
6,598,909 | 77,022 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
$165,237,742 | |||||||
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
115
Angel Oak UltraShort Income Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency – 0.57% |
||||||||
| Federal Home Loan Mortgage Corp., Series 5078, Class AB, 2.000%, 9/25/2035 |
$2,765,322 | $2,687,351 | ||||||
| Federal Home Loan Mortgage Corp., Series 4776, Class QM, 3.000%, 6/15/2045 |
553,690 | 542,968 | ||||||
| Federal National Mortgage Association, Series 2017-61, Class K, 3.500%, 8/25/2046 |
772,654 | 737,332 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY |
$3,967,651 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk |
||||||||
| Connecticut Avenue Securities Trust, Series 2019-R03,
Class 1M2, |
117,558 | 117,705 | ||||||
| Connecticut Avenue Securities Trust, Series 2020-R02,
Class 2M2, |
562,255 | 561,111 | ||||||
| Connecticut Avenue Securities Trust, Series 2022-R03,
Class 1M1, |
2,563,332 | 2,600,180 | ||||||
| Connecticut Avenue Securities Trust, Series 2022-R08,
Class 1M1, |
458,963 | 464,132 | ||||||
| Federal Home Loan Mortgage Corp., Series 2022-DNA1, Class M1A, |
873,577 | 860,893 | ||||||
| Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1A, |
410,723 | 412,521 | ||||||
| Federal Home Loan Mortgage Corp., Series 2018-HRP1, Class M2, |
87,869 | 87,978 | ||||||
| Federal Home Loan Securities Trust, Series 2016-SC02, Class M2, |
2,099,712 | 1,925,926 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER |
$7,030,446 | |||||||
|
|
|
|||||||
| U.S. Treasury Notes – 0.55% |
||||||||
| 0.125%, 1/15/2024 |
4,000,000 | 3,828,459 | ||||||
|
|
|
|||||||
| TOTAL U.S. TREASURY NOTES |
$3,828,459 | |||||||
|
|
|
|||||||
| Short-Term Investments – 3.13% |
||||||||
| U.S. Treasury Bills – 2.27% |
||||||||
| 4.455%, 4/27/2023 (h) |
5,000,000 | 4,946,787 | ||||||
| 4.550%, 5/23/2023 (h) |
5,000,000 | 4,929,218 | ||||||
| 4.472%, 6/15/2023 (h) |
1,000,000 | 983,228 | ||||||
| 4.551%, 7/20/2023 (h) |
5,000,000 | 4,892,556 | ||||||
|
|
|
|||||||
| 15,751,789 | ||||||||
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
116
Angel Oak UltraShort Income Fund
Schedule of Investments – (continued)
| Shares | Value | |||||||
| Money Market Funds — 0.86% |
||||||||
| First American Government Obligations Fund, Class U, 4.158% (i) |
5,993,980 | $5,993,980 | ||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS |
$21,745,769 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS – 99.95% |
$693,530,361 | |||||||
| Other Assets in Excess of Liabilities – 0.05% |
366,907 | |||||||
|
|
|
|||||||
| NET ASSETS – 100.00% |
$693,897,268 | |||||||
|
|
|
|||||||
LIBOR: London Inter-Bank Offered Rate
SOFR30A: Secured Overnight Financing Rate 30 Day Average
TSFR1M: 1 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 January 31, 2023, the value of these securities amounted to $592,264,034 or 85.35% 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. Rate disclosed is the rate in effect as of January 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 January 31, 2023. |
| (d) | Security exempt from registration under Regulation S of the Securities Act of 1933. Such securities are treated as liquid securities according to the Fund’s liquidity guidelines. At January 31, 2023, the value of securities pledged amounted to $1,764,191 or 0.25% of net assets. |
| (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 January 31, 2023. |
| (f) | Illiquid security. At January 31, 2023, the value of these securities amounted to $4,991,130 or 0.72% of net assets. |
| (g) | Interest only security. |
| (h) | Rate disclosed is the effective yield as of January 31, 2023. |
| (i) | Rate disclosed is the seven day yield as of January 31, 2023. |
Schedule of Open Futures Contracts
| Short Futures Contracts | Expiration Month | Number of Contracts |
Notional Value |
Value & |
||||||||||||
| 3 Year ERIS Aged Standard Swap Future |
September 2025 | (333 | ) | ($31,538,996 | ) | $852,300 | ||||||||||
| 3 Year ERIS Aged Standard Swap Future |
December 2025 | (293 | ) | (28,601,195 | ) | 75,958 | ||||||||||
| 4 Year ERIS Aged Standard Swap Future |
September 2026 | (55 | ) | (5,119,109 | ) | 154,924 | ||||||||||
| 4 Year ERIS Aged Standard Swap Future |
December 2026 | (300 | ) | (29,053,710 | ) | (506,810 | ) | |||||||||
|
Total |
$576,372 | |||||||||||||||
See accompanying notes which are an integral part of these financial statements.
117
Angel Oak Total Return Bond Fund
Schedule of Investments
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – 16.19% |
||||||||
| Foundation Finance Trust, Series 2021-1A, Class B, 1.870%, 5/15/2041 (a) |
$596,000 | $513,282 | ||||||
| Foundation Finance Trust, Series 2021-2A, Class D, 5.730%, 1/15/2042 (a) |
500,000 | 456,458 | ||||||
| Goldman Home Improvement Trust, Series 2021-GRN2, Class D, 4.000%, 6/25/2051 (a) |
500,000 | 439,168 | ||||||
| GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class A, 2.100%, 5/20/2048 (a) |
405,455 | 324,345 | ||||||
| Helios Issuer LLC, Series 2021-B, Class A, 1.620%, 7/20/2048 (a) |
867,301 | 713,135 | ||||||
| Loanpal Solar Loan Ltd., Series 2021-1GS, Class A, 2.290%, 1/20/2048 (a) |
340,902 | 262,651 | ||||||
| Marlette Funding Trust, Series 2019-4A, Class C, 3.760%, 12/15/2029 (a) |
552,530 | 543,737 | ||||||
| Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026 (a) |
400,000 | 387,127 | ||||||
| Mission Lane Credit Card Master Trust, Series 2021-A, Class A, 1.590%, 9/15/2026 (a) |
1,500,000 | 1,454,309 | ||||||
| Mosaic Solar Loan Trust, Series 2021-2A, Class B, 2.090%, 4/22/2047 (a) |
381,672 | 282,699 | ||||||
| Mosaic Solar Loans LLC, Series 2017-2A, Class A, 3.820%, 6/22/2043 (a) |
61,927 | 57,745 | ||||||
| Tricolor Auto Securitization Trust, Series 2022-1A, Class F, 9.800%, 7/16/2029 (a) |
200,000 | 195,514 | ||||||
|
|
|
|||||||
| TOTAL ASSET-BACKED SECURITIES |
$5,630,170 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities – 8.68% |
||||||||
| BX Commercial Mortgage Trust, Series 2021-VOLT, Class F, |
1,000,000 | 944,857 | ||||||
| Greystone CRE Notes Ltd., Series 2021-HC2, Class C, |
250,000 | 231,953 | ||||||
| Med Trust, Series 2021-MDLN, Class D, |
997,038 | 969,751 | ||||||
| SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/17/2041 (a) |
500,000 | 420,725 | ||||||
| X-Caliber Funding LLC, 5.000%, 10/15/2024 (a) |
500,000 | 451,145 | ||||||
|
|
|
|||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
$3,018,431 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities – U.S. Government Agency – 4.51% |
||||||||
| Federal Home Loan Mortgage Corp., Series 2019-KF58, Class B, |
253,287 | 233,504 | ||||||
| Federal Home Loan Mortgage Corp., Series K-G05, Class A2, 2.000%, 1/25/2031 |
250,000 | 214,815 | ||||||
| Federal Home Loan Mortgage Corp., Series 2022-KSG3, Class A2, 2.650%, 5/25/2032 (d) |
200,000 | 177,683 | ||||||
| Federal Home Loan Mortgage Corp., Series K-SG4, Class A2, 3.400%, 8/25/2032 (d) |
1,000,000 | 943,225 | ||||||
|
|
|
|||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY |
$1,569,227 | |||||||
|
|
|
|||||||
| Corporate Obligations – 16.04% |
||||||||
| Basic Materials – 0.70% |
||||||||
| Compass Minerals International, Inc., 6.750%, 12/1/2027 (a) |
250,000 | 244,186 | ||||||
|
|
|
|||||||
| Consumer, Cyclical – 3.06% |
||||||||
| American Axle & Manufacturing, Inc., 5.000%, 10/1/2029 |
500,000 | 412,648 | ||||||
| Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.000%, 6/1/2031 (a) |
750,000 | 653,516 | ||||||
|
|
|
|||||||
| 1,066,164 | ||||||||
|
|
|
|||||||
| Energy – 2.36% |
||||||||
| New Fortress Energy, Inc., 6.750%, 9/15/2025 (a) |
625,000 | 599,168 | ||||||
| Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (a) |
250,000 | 222,001 | ||||||
|
|
|
|||||||
| 821,169 | ||||||||
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
118
Angel Oak Total Return Bond Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Corporate Obligations – (continued) |
||||||||
| Financial – 8.20% |
||||||||
| Amalgamated Financial Corp., 3.250% (TSFR3M + 2.300%), 11/15/2031 (b) |
$400,000 | $353,363 | ||||||
| Congressional Bancshares, Inc., 4.000% (TSFR3M + 2.890%), 1/1/2032 (a)(b) |
500,000 | 436,764 | ||||||
| Dime Community Bancshares, Inc., 5.000% (TSFR3M + 2.180%), 5/15/2032 (b) |
500,000 | 451,061 | ||||||
| HAT Holdings I LLC / HAT Holdings II LLC, 3.375%, 6/15/2026 (a) |
500,000 | 444,385 | ||||||
| Mercantile Bank Corp., 3.250% (SOFR + 2.120%), 1/30/2032 (b) |
500,000 | 426,152 | ||||||
| OneMain Finance Corp., 3.500%, 1/15/2027 |
300,000 | 261,395 | ||||||
| Preferred Bank, 3.375% (TSFR3M + 2.780%), 6/15/2031 (b) |
250,000 | 220,170 | ||||||
| Renasant Corp., 3.000% (TSFR3M + 1.910%), 12/1/2031 (b) |
300,000 | 259,635 | ||||||
|
|
|
|||||||
| 2,852,925 | ||||||||
|
|
|
|||||||
| Industrial – 1.72% |
||||||||
| Covanta Holding Corp., 4.875%, 12/1/2029 (a) |
250,000 | 218,401 | ||||||
| Seaspan Corp., 5.500%, 8/1/2029 (a) |
500,000 | 380,615 | ||||||
|
|
|
|||||||
| 599,016 | ||||||||
|
|
|
|||||||
| TOTAL CORPORATE OBLIGATIONS |
$5,583,460 | |||||||
|
|
|
|||||||
| Exchange Traded Funds – 4.37% |
Shares | |||||||
| Goldman Sachs Access Investment Grade Corporate Bond ETF |
10,900 | 503,907 | ||||||
| iShares iBoxx Investment Grade Corporate Bond ETF |
4,585 | 508,339 | ||||||
| SPDR Portfolio Corporate Bond ETF |
17,100 | 506,673 | ||||||
|
|
|
|||||||
| TOTAL EXCHANGE TRADED FUNDS |
$1,518,919 | |||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Residential Mortgage-Backed Securities – 13.57% |
||||||||
| BRAVO Residential Funding Trust, Series 2021-A, Class A1, 1.991%, 10/25/2059 (a)(e) |
$309,907 | 297,401 | ||||||
| COLT Mortgage Loan Trust, Series 2021-3, Class M1, 2.304%, 9/27/2066 (a)(d) |
135,000 | 88,023 | ||||||
| Credit Suisse Mortgage Trust, Series 2021-NQM2, Class M1, 2.282%, 2/25/2066 (a)(d) |
50,000 | 38,210 | ||||||
| Deephaven Residential Mortgage Trust, Series 2021-2, Class M1, 2.217%, 4/25/2066 (a)(d) |
100,000 | 66,000 | ||||||
| Ellington Financial Mortgage Trust, Series 2021-2, Class M1, 2.296%, 6/25/2066 (a)(d) |
139,000 | 87,265 | ||||||
| Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A3, 1.617%, 6/25/2056 (a)(d) |
290,164 | 246,746 | ||||||
| JP Morgan Mortgage Trust, Series 2020-2, Class B4, 3.824%, 7/25/2050 (a)(d) |
358,100 | 285,184 | ||||||
| JP Morgan Mortgage Trust, Series 2020-3, Class B4, 3.847%, 8/25/2050 (a)(d) |
356,541 | 282,439 | ||||||
| MFA Trust, Series 2021-RPL1, Class A2, 2.072%, 7/25/2060 (a)(d) |
500,000 | 400,817 | ||||||
| MFA Trust, Series 2021-RPL1, Class M2, 2.855%, 7/25/2060 (a)(d) |
500,000 | 375,881 | ||||||
| Mill City Mortgage Loan Trust, Series 2017-2, Class M3, 3.250%, 7/25/2059 (a)(d) |
160,000 | 137,362 | ||||||
| Oaktown Re Ltd., Series 2018-1A, Class M1, |
330,485 | 319,166 | ||||||
| OBX Trust, Series 2022-INV1, Class A18, 3.000%, 12/25/2051 (a)(d) |
195,283 | 158,919 | ||||||
| PRPM LLC, Series 2021-RPL1, Class M1, 2.680%, 7/25/2051 (a)(d) |
1,000,000 | 846,555 | ||||||
| SG Residential Mortgage Trust, Series 2019-3, Class A1, 2.703%, 9/25/2059 (a)(d) |
103,938 | 101,266 | ||||||
| Towd Point Mortgage Trust, Series 2020-4, Class M1, 2.875%, 10/25/2060 (a) |
565,000 | 430,672 | ||||||
| Verus Securitization Trust, Series 2021-R3, Class A3, 1.380%, 4/25/2064 (a)(d) |
68,739 | 62,698 | ||||||
See accompanying notes which are an integral part of these financial statements.
119
Angel Oak Total Return Bond Fund
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Verus Securitization Trust, Series 2021-5, Class M1, 2.331%, 9/25/2066 (a)(d) |
$ | 250,000 | $ | 186,782 | ||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2021-2,
Class A3, |
362,528 | 310,003 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
$4,721,389 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency – 30.78% |
||||||||
| Federal Home Loan Mortgage Corp., 2.000%, 6/1/2036 |
399,917 | 364,859 | ||||||
| Federal Home Loan Mortgage Corp., 3.000%, 1/1/2052 |
934,571 | 848,118 | ||||||
| Federal Home Loan Mortgage Corp., 5.000%, 7/1/2052 |
391,215 | 393,077 | ||||||
| Federal Home Loan Mortgage Corp., 5.000%, 8/1/2052 |
975,921 | 979,285 | ||||||
| Federal National Mortgage Association, 4.000%, 4/1/2042 |
531,956 | 523,516 | ||||||
| Federal National Mortgage Association, 4.500%, 7/1/2052 |
392,125 | 387,221 | ||||||
| Federal National Mortgage Association, 4.500%, 8/1/2052 |
992,933 | 980,516 | ||||||
| Federal National Mortgage Association, 5.000%, 8/1/2052 |
976,438 | 981,085 | ||||||
| Federal National Mortgage Association, 5.000%, 9/20/2052 |
1,012,372 | 1,018,455 | ||||||
| Federal National Mortgage Association, 5.500%, 9/20/2052 |
525,371 | 533,576 | ||||||
| Federal National Mortgage Association, 5.000%, 10/20/2052 |
496,584 | 499,568 | ||||||
| Federal National Mortgage Association, 5.500%, 10/20/2052 |
943,796 | 959,422 | ||||||
| Government National Mortgage Association, 2.000%, 5/20/2036 |
228,488 | 206,065 | ||||||
| Government National Mortgage Association, 2.500%, 2/20/2051 |
230,024 | 206,211 | ||||||
| Government National Mortgage Association, 2.500%, 4/20/2051 |
249,742 | 224,201 | ||||||
| Government National Mortgage Association, 2.500%, 4/20/2051 |
252,082 | 225,986 | ||||||
| Government National Mortgage Association, 2.500%, 4/20/2051 |
264,521 | 236,641 | ||||||
| Government National Mortgage Association, 2.500%, 4/20/2051 |
152,272 | 136,223 | ||||||
| Government National Mortgage Association, 5.500%, 8/20/2052 |
494,526 | 502,250 | ||||||
| Government National Mortgage Association, 5.000%, 11/20/2052 |
497,856 | 500,847 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY |
$10,707,122 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk |
||||||||
| Federal National Mortgage Association, Series 2021-DNA6, Class B1, |
500,000 | 479,375 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER |
$479,375 | |||||||
|
|
|
|||||||
| U.S. Treasury Notes – 2.64% |
||||||||
| 2.250%, 12/31/2024 |
500,000 | 481,582 | ||||||
| 1.500%, 2/15/2030 |
500,000 | 438,028 | ||||||
|
|
|
|||||||
| TOTAL U.S. TREASURY NOTES |
$919,610 | |||||||
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
120
Angel Oak Total Return Bond Fund
Schedule of Investments – (continued)
| Shares | Value | |||||||
| Short-Term Investments – 0.80% |
||||||||
| Money Market Funds – 0.80% |
||||||||
| First American Government Obligations Fund, Class U, 4.158% (f) |
277,818 | $277,818 | ||||||
|
|
|
|||||||
| TOTAL SHORT TERM INVESTMENTS |
$277,818 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS – 98.96% |
$34,425,521 | |||||||
| Other Assets in Excess of Liabilities – 1.04% |
360,141 | |||||||
|
|
|
|||||||
| NET ASSETS – 100.00% |
$34,785,662 | |||||||
|
|
|
|||||||
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 January 31, 2023, the value of these securities amounted to $17,281,905 or 49.68% 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. Rate disclosed is the rate in effect as of January 31, 2023. |
| (c) | Illiquid security. At January 31, 2023, the value of these securities amounted to $231,953 or 0.67% 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 January 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 January 31, 2023. |
| (f) | Rate disclosed is the seven day yield as of January 31, 2023. |
Schedule of Open Futures Contracts
| Long Futures Contracts | Expiration Month |
Number of Contracts |
Notional Value |
Value & |
||||||||||
| 10-Year U.S. Treasury Note Future |
March 2023 | 74 | $ | 8,474,156 | $ | 81,639 | ||||||||
| U.S. Treasury Bond Future |
March 2023 | 17 | 2,207,875 | (2,059 | ) | |||||||||
|
Total |
$ | 79,580 | ||||||||||||
See accompanying notes which are an integral part of these financial statements.
121
Angel Oak UltraShort Income ETF
Schedule of Investments
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – 49.70% |
||||||||
| ACC Auto Trust, Series 2021-A, Class A, 1.080%, 4/15/2027 (a) |
$20,832 | $20,627 | ||||||
| ACC Auto Trust, Series 2021-A, Class B, 1.790%, 4/15/2027 (a) |
100,000 | 96,549 | ||||||
| ACC Trust, Series 2022-1, Class B, 2.550%, 2/20/2025 (a) |
300,000 | 291,118 | ||||||
| ACHV ABS Trust, Series 2023-1PL, Class A, 6.420%, 3/18/2030 (a) |
300,000 | 300,790 | ||||||
| Affirm Asset Securitization Trust, Series 2021-B, Class B, 1.240%, 8/17/2026 (a) |
100,000 | 92,948 | ||||||
| Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028 (a) |
400,000 | 400,522 | ||||||
| American Credit Acceptance Receivables Trust, Series 2020-3, Class C, 1.850%, 6/15/2026 (a) |
58,578 | 58,336 | ||||||
| American Credit Acceptance Receivables Trust, Series 2022-4, Class B, 6.750%, 10/13/2026 (a) |
400,000 | 406,643 | ||||||
| American Express Credit Account Master Trust, Series 2018-3,
Class A, |
1,150,000 | 1,153,120 | ||||||
| Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A, Class C, 3.770%, 3/15/2027 (a) |
150,000 | 135,383 | ||||||
| Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class A, 3.930%, 5/15/2028 (a) |
199,293 | 194,390 | ||||||
| Arivo Acceptance Auto Loan Receivables Trust, Series 2022-2A, Class A, 6.900%, 1/16/2029 (a) |
375,838 | 380,230 | ||||||
| BHG Securitization Trust, Series 2022-B, Class A, 3.750%, 6/18/2035 (a) |
341,474 | 337,790 | ||||||
| Capital One Multi-Asset Execution Trust, Series 2018-A2,
Class A2, |
550,000 | 550,686 | ||||||
| Cards II Trust, Series 2021-1A, Class A, 0.602%, 4/15/2027 (a) |
300,000 | 285,076 | ||||||
| Carvana Auto Receivables Trust, Series 2021-P2, Class A3, 0.490%, 3/10/2026 |
335,189 | 323,713 | ||||||
| Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028 |
109,076 | 100,352 | ||||||
| Citibank Credit Card Issuance Trust, Series 2017-A5,
Class A5, |
900,000 | 903,710 | ||||||
| Conn’s Receivables Funding LLC, Series 2022-A, Class A, 5.870%, 12/15/2026 (a) |
470,711 | 471,885 | ||||||
| CPS Auto Receivables Trust, Series 2023-A, Class B, 5.470%, 11/16/2026 (a) |
250,000 | 250,054 | ||||||
| DT Auto Owner Trust, Series 2022-2A, Class B, 4.220%, 1/15/2027 (a) |
800,000 | 788,585 | ||||||
| DT Auto Owner Trust, Series 2022-3A, Class B, 6.740%, 7/17/2028 (a) |
300,000 | 307,971 | ||||||
| First Investors Auto Owner Trust, Series 2021-1A, Class B, 0.890%, 3/15/2027 (a) |
250,000 | 242,728 | ||||||
| First Investors Auto Owner Trust, Series 2021-2A, Class C, 1.470%, 11/15/2027 (a) |
260,000 | 239,386 | ||||||
| Flagship Credit Auto Trust, Series 2019-4, Class D, 3.120%, 1/15/2026 (a) |
400,000 | 386,258 | ||||||
| Flagship Credit Auto Trust, Series 2020-3, Class B, 1.410%, 9/15/2026 (a) |
881,078 | 872,393 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2023-1, Class D, 10/15/2026 (a)(c) |
250,000 | 249,979 | ||||||
| GLS Auto Receivables Issuer Trust, Series 2020-2A, Class D, 7.480%, 4/15/2027 (a) |
400,000 | 407,326 | ||||||
| GLS Auto Receivables Trust, Series 2021-2A, Class B, 0.770%, 9/15/2025 (a) |
27,947 | 27,781 | ||||||
| GMF Floorplan Owner Revolving Trust, Series 2020-2, Class A, 0.690%, 10/15/2025 (a) |
400,000 | 388,762 | ||||||
| Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 1.210%, 12/25/2025 (a) |
200,000 | 186,247 | ||||||
| Lendbuzz Securitization Trust, Series 2022-1A, Class A, 4.220%, 5/17/2027 (a) |
286,232 | 278,385 | ||||||
| Lendingpoint Asset Securitization Trust, Series 2021-A, Class B, 1.460%, 12/15/2028 (a) |
475,035 | 471,181 | ||||||
| Mercury Financial Credit Card Master Trust, Series 2023-1, Class A, 9/20/2027 (a) |
300,000 | 299,966 | ||||||
| Octane Receivables Trust, Series 2021-2A, Class A, 1.210%, 9/20/2028 (a) |
388,080 | 370,883 | ||||||
| Oportun Funding LLC, Series 2021-A, Class A, 1.210%, 3/8/2028 (a) |
315,000 | 296,338 | ||||||
| Pagaya AI Debt Selection Trust, Series 2021-1, Class A, 1.180%, 11/15/2027 (a) |
174,563 | 172,897 | ||||||
| Pagaya AI Debt Selection Trust, Series 2021-3, Class A, 1.150%, 5/15/2029 (a) |
377,905 | 370,630 | ||||||
| Pagaya AI Debt Selection Trust, Series 2022-1, Class A, 2.030%, 10/15/2029 (a) |
99,416 | 96,419 | ||||||
| Pagaya AI Debt Selection Trust, Series 2022-1, Class B, 3.344%, 10/15/2029 (a) |
199,974 | 182,904 | ||||||
| Pagaya AI Debt Selection Trust, Series 2022-5, Class A, 8.096%, 6/17/2030 (a) |
492,361 | 497,857 | ||||||
| Santander Drive Auto Receivables Trust, Series 2022-7, Class A2, 5.810%, 1/15/2026 |
500,000 | 502,428 | ||||||
| Skopos Auto Receivables Trust, Series 2019-1A, Class D, 5.240%, 4/15/2025 (a) |
384,934 | 383,499 | ||||||
| Skopos Auto Receivables Trust, Series 2019-1A, Class E, 7.820%, 6/15/2026 (a) |
100,000 | 98,447 | ||||||
| SoFi Consumer Loan Program Trust, Series 2022-1S, Class A, 6.210%, 4/15/2031 (a) |
446,687 | 448,111 | ||||||
| Theorem Funding Trust, Series 2022-3A, Class A, 7.600%, 4/15/2029 (a) |
353,432 | 357,431 | ||||||
See accompanying notes which are an integral part of these financial statements.
122
Angel Oak UltraShort Income ETF
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – (continued) |
||||||||
| Theorem Funding Trust, Series 2022-3A, Class B, 8.950%, 4/15/2029 (a) |
$ | 200,000 | $ | 201,970 | ||||
| U.S. Auto Funding Receivables LLC, Series 2020-1A, Class D, 9.350%, 3/15/2027 (a) |
1,100,000 | 1,114,486 | ||||||
| United Auto Credit Securitization Trust, Series 2023-1, Class A, 6.320%, 7/10/2025 (a) |
300,000 | 300,433 | ||||||
| Upstart Pass-Through Trust, Series 2020-ST1, Class A, 3.750%, 2/20/2028 (a) |
449,599 | 440,669 | ||||||
| Upstart Pass-Through Trust, Series 2020-ST2, Class A, 3.500%, 3/20/2028 (a) |
500,227 | 489,860 | ||||||
| Upstart Pass-Through Trust, Series 2022-4A, Class A, 7.010%, 10/15/2030 (a) |
821,635 | 820,550 | ||||||
| Upstart Securitization Trust, Series 2021-3, Class B, 1.660%, 7/20/2031 (a) |
200,000 | 188,085 | ||||||
| Upstart Securitization Trust, Series 2021-4, Class B, 1.840%, 9/20/2031 (a) |
600,000 | 551,415 | ||||||
| Upstart Securitization Trust, Series 2021-5, Class A, 1.310%, 11/20/2031 (a) |
881,173 | 858,517 | ||||||
| Upstart Securitization Trust, Series 2022-2, Class A, 4.370%, 5/20/2032 (a) |
377,237 | 371,859 | ||||||
| Veros Automobile Receivables Trust, Series 2021-1, Class A, 0.920%, 10/15/2026 (a) |
102,197 | 100,828 | ||||||
| Westlake Automobile Receivables Trust, Series 2020-3A, Class C, 1.240%, 11/17/2025 (a) |
400,000 | 392,052 | ||||||
| Westlake Automobile Receivables Trust, Series 2020-2A, Class D, 2.760%, 1/15/2026 (a) |
570,000 | 558,409 | ||||||
| Westlake Automobile Receivables Trust, Series 2023-1A, Class A2A, 5.510%, 6/15/2026 (a) |
1,000,000 | 1,001,904 | ||||||
| World Omni Automobile Lease Securitization Trust, Series 2020-B,
Class A3, |
57,828 | 57,668 | ||||||
|
|
|
|||||||
| TOTAL ASSET-BACKED SECURITIES |
$23,127,419 | |||||||
|
|
|
|||||||
| Collateralized Loan Obligations – 7.81% |
||||||||
| Golub Capital Partners CLO Ltd., Series 2015-24A,
Class AR, |
400,000 | 395,809 | ||||||
| ICG US CLO Ltd., Series 2015-1A, Class A1R, |
561,229 | 557,113 | ||||||
| Madison Park Funding Ltd., Series 2018-30A, Class A, |
1,030,117 | 1,021,021 | ||||||
| Madison Park Funding Ltd., Series 2017-23A, Class AR, |
800,000 | 794,470 | ||||||
| Voya CLO Ltd., Series 2014-2A, Class A1RR, |
873,218 | 866,453 | ||||||
|
|
|
|||||||
| TOTAL COLLATERALIZED LOAN OBLIGATIONS |
$3,634,866 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities – U.S. Government Agency – 4.24% |
||||||||
| Federal Home Loan Mortgage Corp., Series K-036, Class A2, 3.527%, 10/25/2023 (c) |
399,778 | 395,810 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F81,
Class AS, |
476,292 | 471,641 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F100,
Class AS, |
417,335 | 408,474 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F46,
Class A, |
207,574 | 204,829 | ||||||
| Federal Home Loan Mortgage Corp., Series K-F114,
Class AS, |
512,658 | 493,799 | ||||||
|
|
|
|||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY |
$1,974,553 | |||||||
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
123
Angel Oak UltraShort Income ETF
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Corporate Obligations – 3.86% |
||||||||
| Communications – 0.66% |
||||||||
| Sprint Corp., 7.875%, 9/15/2023 |
$300,000 | $304,805 | ||||||
|
|
|
|||||||
| Consumer, Cyclical – 1.07% |
||||||||
| Ford Motor Credit Co LLC, 3.370%, 11/17/2023 |
200,000 | 196,550 | ||||||
| General Motors Co., 4.875%, 10/2/2023 |
300,000 | 299,715 | ||||||
|
|
|
|||||||
| 496,265 | ||||||||
|
|
|
|||||||
| Energy – 0.43% |
||||||||
| PBF Logistics LP / PBF Logistics Finance Corp., 6.875%, 5/15/2023 |
200,000 | 200,213 | ||||||
|
|
|
|||||||
| Financial – 1.06% |
||||||||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 1.150%, 10/29/2023 |
300,000 | 291,192 | ||||||
| Starwood Property Trust, Inc., 5.500%, 11/1/2023 (a) |
200,000 | 199,300 | ||||||
|
|
|
|||||||
| 490,492 | ||||||||
|
|
|
|||||||
| Technology – 0.64% |
||||||||
| Seagate HDD Cayman, 4.750%, 6/1/2023 |
300,000 | 299,135 | ||||||
|
|
|
|||||||
| TOTAL CORPORATE OBLIGATIONS |
$1,790,910 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – 18.26% |
||||||||
| AMSR Trust, Series 2020-SFR1, Class D, 2.619%, 4/17/2037 (a) |
446,000 | 399,920 | ||||||
| Bellemeade Re Ltd., Series 2019-1A, Class M2, |
200,000 | 201,565 | ||||||
| BRAVO Residential Funding Trust, Series 2021-A, Class A1, 1.991%, 10/25/2059 (a)(d) |
154,954 | 148,700 | ||||||
| CIM Trust, Series 2018-R3, Class A1, 5.000%, 12/25/2057 (a)(c) |
372,683 | 356,961 | ||||||
| Citigroup Mortgage Loan Trust, Series 2021-INV3, Class A11, |
338,900 | 307,899 | ||||||
| CoreVest American Finance Trust, Series 2019-1, Class A, 3.324%, 3/15/2052 (a) |
313,555 | 298,049 | ||||||
| FirstKey Homes Trust, Series 2020-SFR2, Class B, 1.567%, 10/19/2037 (a)(e) |
425,000 | 371,170 | ||||||
| GCAT Trust, Series 2023-NQM2, Class A3, 6.598%, 11/25/2067 (a)(d) |
500,000 | 503,699 | ||||||
| JPMorgan Wealth Management, Series 2020-ATR1, Class A4, 3.000%, 2/25/2050 (a)(c) |
858,115 | 815,128 | ||||||
| Legacy Mortgage Asset Trust, Series 2020-GS3, Class A1, 3.250%, 5/25/2060 (a)(d) |
447,208 | 446,533 | ||||||
| MFA Trust, Series 2020-NQM3, Class A3, 1.632%, 1/26/2065 (a)(c) |
252,528 | 219,547 | ||||||
| New Residential Mortgage Loan Trust, Series 2021-NQ2R, Class A1, 0.941%, 10/25/2058 (a)(c) |
294,895 | 263,779 | ||||||
| OBX Trust, Series 2023-NQM1, Class A3, 6.500%, 11/25/2062 (a)(c) |
499,141 | 497,505 | ||||||
| Progress Residential Trust, Series 2019-SFR4, Class A, 2.687%, 10/17/2036 (a) |
155,000 | 148,257 | ||||||
| PRPM LLC, Series 2020-4, Class A1, 2.610%, 10/25/2025 (a)(d) |
515,975 | 503,323 | ||||||
| PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026 (a)(d) |
53,359 | 50,151 | ||||||
| PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026 (a)(d) |
55,472 | 51,424 | ||||||
| Towd Point Mortgage Trust, Series 2015-3, Class A4B, 3.500%, 3/25/2054 (a)(c) |
172,278 | 167,411 | ||||||
| Towd Point Mortgage Trust, Series 2017-5, Class A1, |
87,266 | 84,454 | ||||||
| Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.750%, 10/25/2057 (a)(c) |
220,155 | 202,464 | ||||||
| Towd Point Mortgage Trust, Series 2019-HY3,
Class A1A, |
805,320 | 795,691 | ||||||
| Tricon American Homes Trust, Series 2017-SFR2, Class A, 2.928%, 1/18/2036 (a) |
509,399 | 496,742 | ||||||
| Verus Securitization Trust, Series 2022-8, Class A3, 6.127%, 9/25/2067 (a)(d) |
393,738 | 395,204 | ||||||
See accompanying notes which are an integral part of these financial statements.
124
Angel Oak UltraShort Income ETF
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Verus Securitization Trust, Series 2023-1, Class A2, 6.560%, 12/25/2067 (a)(d) |
$ | 625,000 | $ | 629,024 | ||||
| Visio Trust, Series 2019-2, Class A3, 3.076%, 11/25/2054 (a)(c) |
157,519 | 143,369 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
$8,497,969 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency – 2.27% |
||||||||
| Federal Home Loan Mortgage Corp., Series 5149, Class BD, 2.000%, 2/25/2031 |
478,425 | 465,062 | ||||||
| Federal Home Loan Mortgage Corp., Series 4776, Class QM, 3.000%, 6/15/2045 |
553,690 | 542,968 | ||||||
| Government National Mortgage Association, 9.000%, 12/15/2024 |
7,152 | 7,219 | ||||||
| Government National Mortgage Association, Series 2015-56, Class LB, 1.500%, 4/16/2040 |
41,131 | 40,262 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY |
$1,055,511 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk |
||||||||
| Federal Home Loan Mortgage Corp., Series 2022-HAQ2, Class M1A, |
239,706 | 235,716 | ||||||
| Federal National Mortgage Association, Series 2014-C02,
Class 2M2, |
136,921 | 139,326 | ||||||
| Federal National Mortgage Association, Series 2014-C03,
Class 2M2, |
67,489 | 68,249 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER |
$443,291 | |||||||
|
|
|
|||||||
| U.S. Treasury Notes – 9.37% |
||||||||
| 2.250%, 3/31/2024 |
1,500,000 | 1,458,633 | ||||||
| 2.500%, 1/31/2025 |
3,000,000 | 2,901,914 | ||||||
|
|
|
|||||||
| TOTAL U.S. TREASURY NOTES |
$4,360,547 | |||||||
|
|
|
|||||||
| Short-Term Investments – 5.90% |
||||||||
| U.S. Treasury Bills – 4.22% |
||||||||
| 4.525%, 6/8/2023 (f) |
1,000,000 | 983,913 | ||||||
| 4.551%, 7/20/2023 (f) |
1,000,000 | 978,511 | ||||||
|
|
|
|||||||
| 1,962,424 | ||||||||
|
|
|
|||||||
| Shares | ||||||||
| Money Market Funds – 1.68% |
||||||||
| First American Government Obligations Fund, Class U, 4.158% (g) |
783,134 | 783,134 | ||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS |
$2,745,558 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS – 102.36% |
$47,630,624 | |||||||
| Liabilities in Excess of Other Assets – (2.36%) |
(1,096,127 | ) | ||||||
|
|
|
|||||||
| NET ASSETS – 100.00% |
$46,534,497 | |||||||
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
125
Angel Oak UltraShort Income ETF
Schedule of Investments – (continued)
LIBOR: London Inter-Bank Offered Rate
SOFR30A: Secured Overnight Financing Rate 30 Day Average
| (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 January 31, 2023, the value of these securities amounted to $32,103,593 or 68.99% 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. Rate disclosed is the rate in effect as of January 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 January 31, 2023. |
| (d) | 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 January 31, 2023. |
| (e) | Illiquid security. At January 31, 2023, the value of these securities amounted to $371,170 or 0.80% of net assets. |
| (f) | Rate disclosed is the effective yield as of January 31, 2023. |
| (g) | Rate disclosed is the seven day yield as of January 31, 2023. |
See accompanying notes which are an integral part of these financial statements.
126
Angel Oak Income ETF
Schedule of Investments
| Principal Amount |
Value | |||||||
| Asset-Backed Securities – 17.87% |
||||||||
| American Credit Acceptance Receivables Trust, Series 2023-1,
Class D, |
$250,000 | $250,313 | ||||||
| Avis Budget Rental Car Funding LLC, Series 2023-1A, Class B, 6.080%, 4/20/2029 (a) |
300,000 | 303,398 | ||||||
| CarMax Auto Owner Trust, Series 2023-1, Class D, 6.270%, 11/15/2029 |
250,000 | 250,238 | ||||||
| CPS Auto Receivables Trust, Series 2019-D, Class E, 3.860%, 10/15/2025 (a) |
100,000 | 97,379 | ||||||
| CPS Auto Receivables Trust, Series 2023-A, Class D, 6.440%, 4/16/2029 (a) |
250,000 | 250,363 | ||||||
| DT Auto Owner Trust, Series 2023-1A, Class D, 8.080%, 11/15/2028 (a) |
250,000 | 249,219 | ||||||
| Foursight Capital Automobile Receivables Trust, Series 2023-1, Class D, 2/15/2030 (a) |
250,000 | 249,909 | ||||||
| GLS Auto Receivables Issuer Trust, Series 2020-2A, Class D, 7.480%, 4/15/2027 (a) |
200,000 | 203,663 | ||||||
| Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026 (a) |
200,000 | 189,988 | ||||||
| Hertz Vehicle Financing LLC, Series 2022-2A, Class B, 2.650%, 6/25/2028 (a) |
350,000 | 312,562 | ||||||
| Lendbuzz Securitization Trust, Series 2022-1A, Class A, 4.220%, 5/17/2027 (a) |
286,232 | 278,385 | ||||||
| Pagaya AI Debt Selection Trust, Series 2021-1, Class C, 4.090%, 11/15/2027 (a) |
49,979 | 43,619 | ||||||
| Pagaya AI Debt Selection Trust, Series 2022-1, Class B, 3.344%, 10/15/2029 (a) |
99,987 | 91,452 | ||||||
| Pagaya AI Debt Selection Trust, Series 2022-5, Class B, 10.310%, 6/17/2030 (a) |
100,000 | 102,480 | ||||||
| Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class C, 6.986%, 12/15/2032 (a) |
95,802 | 96,717 | ||||||
| Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class D, 8.197%, 12/15/2032 (a) |
95,802 | 97,064 | ||||||
| Skopos Auto Receivables Trust, Series 2019-1A, Class E, 7.820%, 6/15/2026 (a) |
400,000 | 393,788 | ||||||
| Theorem Funding Trust, Series 2022-3A, Class B, 8.950%, 4/15/2029 (a) |
400,000 | 403,940 | ||||||
| U.S. Auto Funding Receivables LLC, Series 2020-1A, Class D, 9.350%, 3/15/2027 (a) |
690,000 | 699,087 | ||||||
| Upstart Pass-Through Trust, Series 2020-ST2, Class A, 3.500%, 3/20/2028 (a) |
166,742 | 163,287 | ||||||
| Upstart Pass-Through Trust, Series 2022-4A, Class A, 7.010%, 10/15/2030 (a) |
410,818 | 410,275 | ||||||
| Upstart Securitization Trust, Series 2021-4, Class B, 1.840%, 9/20/2031 (a) |
400,000 | 367,610 | ||||||
| Westlake Automobile Receivables Trust, Series 2023-1A, Class D, 6.790%, 11/15/2028 (a) |
500,000 | 506,612 | ||||||
|
|
|
|||||||
| TOTAL ASSET-BACKED SECURITIES |
$6,011,348 | |||||||
|
|
|
|||||||
| Collateralized Loan Obligations – 9.66% |
||||||||
| Anchorage Capital CLO Ltd., Series 2014-3RA, Class B, |
500,000 | 489,803 | ||||||
| Apidos CLO, Series 2018-29A, Class A2, |
500,000 | 491,185 | ||||||
| Canyon Capital CLO Ltd., Series 2019-1A, Class BR, |
550,000 | 533,275 | ||||||
| Golub Capital Partners CLO Ltd., Series 2017-34A,
Class B1R, |
250,000 | 245,595 | ||||||
| Magnetite Ltd., Series 2019-24R, Class BR, 6.382% (TSFR3M + 1.750%), 4/16/2035 (a)(c) |
250,000 | 245,438 | ||||||
| OZLM Ltd., Series 2018-20A, Class A2, 6.458% (3 Month LIBOR USD + 1.650%), 4/21/2031 (a)(c) |
550,000 | 526,909 | ||||||
| Symphony CLO Ltd., Series 2015-16A, Class AR, |
725,000 | 716,373 | ||||||
|
|
|
|||||||
| TOTAL COLLATERALIZED LOAN OBLIGATIONS |
$3,248,578 | |||||||
|
|
|
|||||||
| Corporate Obligations – 4.66% |
||||||||
| Communications – 0.45% |
||||||||
| Gray Escrow, Inc., 5.375%, 11/15/2031 (a) |
200,000 | 151,820 | ||||||
|
|
|
|||||||
| Consumer, Cyclical – 1.21% |
||||||||
| NCL Corp Ltd., 8.375%, 2/1/2028 (a)(b) |
300,000 | 305,217 | ||||||
| Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd., 8.000%, 9/20/2025 (a) |
100,000 | 102,380 | ||||||
|
|
|
|||||||
| 407,597 | ||||||||
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
127
Angel Oak Income ETF
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Corporate Obligations – (continued) |
||||||||
| Energy – 1.38% |
||||||||
| Enviva Partners LP / Enviva Partners Finance Corp., 6.500%, 1/15/2026 (a) |
$300,000 | $280,365 | ||||||
| New Fortress Energy, Inc., 6.500%, 9/30/2026 (a) |
200,000 | 184,302 | ||||||
|
|
|
|||||||
| 464,667 | ||||||||
|
|
|
|||||||
| Industrial – 1.62% |
||||||||
| Covanta Holding Corp., 4.875%, 12/1/2029 (a) |
200,000 | 174,721 | ||||||
| Great Lakes Dredge & Dock Corp., 5.250%, 6/1/2029 (a) |
100,000 | 84,404 | ||||||
| Mauser Packaging Solutions Holding Co., 7.875%, 8/15/2026 (a)(b) |
100,000 | 101,000 | ||||||
| SRM Escrow Issuer LLC, 6.000%, 11/1/2028 (a) |
200,000 | 182,197 | ||||||
|
|
|
|||||||
| 542,322 | ||||||||
|
|
|
|||||||
| TOTAL CORPORATE OBLIGATIONS |
$1,566,406 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – 34.98% |
||||||||
| Bellemeade Re Ltd., Series 2021-1A, Class M2, 9.160% (SOFR30A + 4.850%), 3/25/2031 (a)(c) |
248,400 | 250,870 | ||||||
| Bellemeade Re Ltd., Series 2021-2A, Class M2, 7.210% (SOFR30A + 2.900%), 6/25/2031 (a)(c) |
290,000 | 266,745 | ||||||
| Bellemeade RE Ltd., Series 2021-3A, Class M1B, 5.710% (SOFR30A + 1.400%), 9/25/2031 (a)(c) |
150,000 | 139,003 | ||||||
| Citigroup Mortgage Loan Trust, Series 2021-INV3, Class A11, |
169,450 | 153,950 | ||||||
| CSMC Trust, Series 2021-NQM6, Class A3, 1.585%, 7/25/2066 (a)(d) |
204,271 | 151,707 | ||||||
| CSMC Trust, Series 2021-NQM6, Class B1, 3.286%, 7/25/2066 (a)(d) |
500,000 | 257,532 | ||||||
| Deephaven Residential Mortgage Trust, Series 2022-3, Class A3, 5.300%, 7/25/2067 (a)(d) |
368,293 | 354,208 | ||||||
| Eagle RE Ltd., Series 2020-1, Class M2, |
250,000 | 243,234 | ||||||
| Ellington Financial Mortgage Trust, Series 2021-2, Class M1, 2.296%, 6/25/2066 (a)(d) |
700,000 | 439,466 | ||||||
| Ellington Financial Mortgage Trust, Series 2021-2, Class B1, 3.202%, 6/25/2066 (a)(d) |
315,000 | 175,015 | ||||||
| Ellington Financial Mortgage Trust, Series 2022-4, Class A3, 5.900%, 9/25/2067 (a)(e) |
149,092 | 146,354 | ||||||
| GCAT Trust, Series 2020-NQM2, Class M1, 3.589%, 4/25/2065 (a)(d) |
500,000 | 425,507 | ||||||
| GCAT Trust, Series 2023-NQM2, Class B1, 6.905%, 11/25/2067 (a)(d) |
150,000 | 136,593 | ||||||
| GS Mortgage-Backed Securities Corp Trust, Series 2019-PJ1, Class B6, 4.077%, 8/25/2049 (a)(d) |
511,533 | 292,197 | ||||||
| JP Morgan Mortgage Trust, Series 2014-2, Class B2, 3.416%, 6/25/2029 (a)(d) |
21,186 | 18,452 | ||||||
| JP Morgan Mortgage Trust, Series 2018-6, Class 1A7, 3.500%, 12/25/2048 (a)(d) |
262,095 | 231,838 | ||||||
| JP Morgan Mortgage Trust, Series 2020-2, Class B4, 3.824%, 7/25/2050 (a)(d) |
358,100 | 285,184 | ||||||
| JP Morgan Mortgage Trust, Series 2020-3, Class B4, 3.847%, 8/25/2050 (a)(d) |
356,541 | 282,439 | ||||||
| JP Morgan Mortgage Trust, Series 2020-4, Class B2, 3.650%, 11/25/2050 (a)(d) |
283,681 | 233,445 | ||||||
| Legacy Mortgage Asset Trust, Series 2020-GS3, Class A1, 3.250%, 5/25/2060 (a)(e) |
206,404 | 206,092 | ||||||
| MFA Trust, Series 2020-NQM1, Class A3, 2.300%, 3/25/2065 (a)(d) |
80,979 | 75,678 | ||||||
| New Residential Mortgage Loan Trust, Series 2022-SFR2, Class E2, 4.000%, 9/4/2039 (a) |
700,000 | 606,300 | ||||||
| New Residential Mortgage Loan Trust, Series 2022-SFR2, Class E1, 4.000%, 9/19/2039 (a) |
290,000 | 242,880 | ||||||
| New Residential Mortgage Loan Trust, Series 2017-5A, Class B4, 4.058%, 6/25/2057 (a)(d) |
355,213 | 328,512 | ||||||
| Oaktown Re Ltd., Series 2021-2, Class B1, 8.710% (SOFR30A + 4.400%), 4/25/2034 (a)(c) |
500,000 | 425,522 | ||||||
| OBX Trust, Series 2019-EXP1, Class A1, 4.000%, 1/25/2059 (a)(d) |
302,674 | 276,940 | ||||||
| OBX Trust, Series 2023-NQM1, Class A3, 6.500%, 11/25/2062 (a)(d) |
499,141 | 497,505 | ||||||
| Pretium Mortgage Credit Partners I LLC, Series 2021-NPL4, Class A1, |
230,726 | 208,922 | ||||||
| Progress Residential Trust, Series 2021-SFR1, Class F, 2.757%, 4/17/2038 (a) |
235,000 | 202,318 | ||||||
| PRPM LLC, Series 2020-4, Class A1, 2.610%, 10/25/2025 (a)(e) |
515,975 | 503,323 | ||||||
See accompanying notes which are an integral part of these financial statements.
128
Angel Oak Income ETF
Schedule of Investments – (continued)
| Principal Amount |
Value | |||||||
| Residential Mortgage-Backed Securities – (continued) |
||||||||
| Radnor RE Ltd., Series 2021-2, Class B1, 10.310% (SOFR30A + 6.000%), 11/25/2031 (a)(c) |
$ | 250,000 | $ | 218,858 | ||||
| Saluda Grade Alternative Mortgage Trust, Series 2022-INV1, Class A3, |
499,053 | 452,859 | ||||||
| Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M, 4.750%, 10/25/2058 (d) |
300,000 | 268,276 | ||||||
| Sequoia Mortgage Trust, Series 2018-2, Class A19, 3.500%, 2/25/2048 (a)(d) |
167,851 | 143,762 | ||||||
| Starwood Mortgage Residential Trust, Series 2019-INV1, Class B1, 3.657%, 9/25/2049 (a)(d) |
500,000 | 434,623 | ||||||
| Triangle Re Ltd., Series 2021-2, Class B1, |
86,000 | 79,446 | ||||||
| Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038 (a) |
200,000 | 173,965 | ||||||
| Verus Securitization Trust, Series 2021-1, Class M1, 1.968%, 1/25/2066 (a)(d) |
1,074,000 | 741,884 | ||||||
| Verus Securitization Trust, Series 2022-8, Class A3, 6.127%, 9/25/2067 (a)(e) |
393,738 | 395,204 | ||||||
| Verus Securitization Trust, Series 2023-1, Class A2, 6.560%, 12/25/2067 (a)(e) |
625,000 | 629,024 | ||||||
| Visio Trust, Series 2019-2, Class A3, 3.076%, 11/25/2054 (a)(d) |
157,519 | 143,369 | ||||||
| Wells Fargo Credit Risk Transfer Securities Trust, Series 2015-WF1,
Class 1M2, |
34,768 | 25,827 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
$11,764,828 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency – 21.22% |
||||||||
| Federal Home Loan Mortgage Corp., 4.500%, 7/1/2052 |
966,909 | 953,909 | ||||||
| Federal National Mortgage Association, 5.000%, 11/1/2052 |
990,431 | 994,525 | ||||||
| Government National Mortgage Association, 4.500%, 9/20/2052 |
495,426 | 491,397 | ||||||
| Government National Mortgage Association, 5.500%, 9/20/2052 |
992,542 | 1,008,045 | ||||||
| Government National Mortgage Association, 5.000%, 10/20/2052 |
993,168 | 999,137 | ||||||
| Government National Mortgage Association, 4.500%, 11/20/2052 |
995,142 | 987,051 | ||||||
| Government National Mortgage Association, 5.000%, 11/20/2052 |
696,998 | 701,186 | ||||||
| Government National Mortgage Association, 5.000%, 12/20/2052 |
998,219 | 1,004,218 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY |
$7,139,468 | |||||||
|
|
|
|||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk |
||||||||
| Connecticut Avenue Securities Trust, Series 2021-R01,
Class 1B1, |
300,000 | 288,094 | ||||||
| Federal Home Loan Mortgage Corp., Series 2021-DNA6, Class B1, |
500,000 | 479,375 | ||||||
| Federal Home Loan Mortgage Corp., Series 2021-HQA4, Class B1, |
500,000 | 458,907 | ||||||
| Federal Home Loan Mortgage Corp., Series 2022-DNA2, Class M1B, |
500,000 | 491,551 | ||||||
| Federal Home Loan Mortgage Corp., Series 2022-HQA1, Class M2, |
350,000 | 349,999 | ||||||
| Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1B, |
500,000 | 502,268 | ||||||
| Federal Home Loan Mortgage Corp., Series 2022-HQA3, Class M1B, |
500,000 | 501,172 | ||||||
|
|
|
|||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER |
$3,071,366 | |||||||
|
|
|
|||||||
See accompanying notes which are an integral part of these financial statements.
129
Angel Oak Income ETF
Schedule of Investments – (continued)
| Shares | Value | |||||||
| Short-Term Investments – 3.68% |
||||||||
| Money Market Funds – 3.68% |
||||||||
| First American Government Obligations Fund, Class U, 4.158% (f) |
1,236,700 | $1,236,700 | ||||||
|
|
|
|||||||
| TOTAL SHORT-TERM INVESTMENTS |
$1,236,700 | |||||||
|
|
|
|||||||
| TOTAL INVESTMENTS – 101.20% |
$34,038,694 | |||||||
| Liabilities in Excess of Other Assets – (1.20%) |
(402,395 | ) | ||||||
|
|
|
|||||||
| NET ASSETS – 100.00% |
$33,636,299 | |||||||
|
|
|
|||||||
LIBOR: London Inter-Bank Offered 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 January 31, 2023, the value of these securities amounted to $25,144,012 or 74.75% of net assets. |
| (b) | Security issued on a when-issued basis. On January 31, 2023, the total value of investments purchased on a when-issued basis was $656,530 or 1.95% 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. Rate disclosed is the rate in effect as of January 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 January 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 January 31, 2023. |
| (f) | Rate disclosed is the seven day yield as of January 31, 2023. |
See accompanying notes which are an integral part of these financial statements.
130
Angel Oak Funds Trust
Notes to the Financial Statements
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 | 07/12/2022 | 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.
131
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
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 January 31, 2023, investments in Hyperion and Titan represented 0.22% 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 January 31, 2023, investments held by Hyperion and Titan included whole loans, valued at $6,684,495 and $–, respectively. In addition, Hyperion and Titan held $104,320 and $252,363 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.”
132
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
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 (“NOCP”). 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 (“OTC”) 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.
133
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
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 January 31, 2023:
| Multi-Strategy Income Fund | ||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||
|
Assets |
||||||||||||||
| Asset-Backed Securities |
$– | $368,157,425 | $– | $368,157,425 | ||||||||||
| Collateralized Debt Obligations |
– | 2,842,819 | – | 2,842,819 | ||||||||||
| Collateralized Loan Obligations |
– | 115,874,318 | 50,000 | 115,924,318 | ||||||||||
| Commercial Mortgage-Backed Securities |
– | 82,402,299 | – | 82,402,299 | ||||||||||
| Commercial Mortgage-Backed Securities – U.S. Government Agency |
– | 20,435,493 | – | 20,435,493 | ||||||||||
| Common Stocks |
14,853,496 | – | – | 14,853,496 | ||||||||||
| Corporate Obligations |
– | 120,327,015 | 1,312,200 | 121,639,215 | ||||||||||
| Investment Companies – Affiliated Exchange Traded & Mutual Funds |
126,463,589 | – | – | 126,463,589 | ||||||||||
| Preferred Stocks |
7,286,440 | – | – | 7,286,440 | ||||||||||
| Residential Mortgage-Backed Securities |
– | 2,397,745,471 | 10,001 | 2,397,755,472 | ||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency |
– | 265,048,545 | – | 265,048,545 | ||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer |
– | 37,723,228 | – | 37,723,228 | ||||||||||
| Whole Loans |
– | 6,684,495 | – | 6,684,495 | ||||||||||
| Warrants |
– | 45,000 | – | 45,000 | ||||||||||
| Short-Term Investments |
119,722,714 | – | – | 119,722,714 | ||||||||||
|
Total |
$268,326,239 | $3,417,286,108 | $1,372,201 | $3,686,984,548 | ||||||||||
| Other Financial Instruments |
||||||||||||||
|
Assets |
||||||||||||||
| Futures Contracts* |
$39,472,683 | $– | $– | $39,472,683 | ||||||||||
|
Liabilities |
||||||||||||||
| Futures Contracts* |
(4,981,062) | – | – | (4,981,062) | ||||||||||
| Reverse Repurchase Agreements |
– | (250,000,160) | – | (250,000,160) | ||||||||||
|
Total |
$ | 34,491,621 | ($ | 250,000,160 | ) | $– | ($ | 215,508,539 | ) | |||||
| * | Futures are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Consolidated Schedule of Investments. |
134
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES – (continued)
See the Consolidated Schedule of Investments for further disaggregation of investment categories. During the year ended January 31, 2023, the Fund recognized $50,000 of transfers from Level 2 to Level 3 for securities lacking observable market data due to a decrease in relevant market activity. During the year ended January 31, 2023, the Fund recognized $1,552,738 of transfers from Level 3 to Level 2 due to an increase 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 01/31/22 |
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 01/31/23 | ||||||||||
| Collateralized Loan Obligations |
$– | $– | $– | $– | $– | $– | $50,000 | $– | $50,000 | |||||||||
| Corporate Obligations |
$1,312,200 | $– | $– | $– | $– | $– | $– | $– | $1,312,200 | |||||||||
| Residential Mortgage- Backed Securities |
$47,155,113 | $120,383 | $– | ($712,757) | $– | ($45,000,000) | $– | ($1,552,738) | $10,001 |
The total change in unrealized appreciation/depreciation included in the Consolidated Statement of Operations attributable to Level 3 investments still held at January 31, 2023, is ($1,936,901).
The following is a summary of quantitative information about Level 3 Fair Value Measurements:
| Fair Value as of 01/31/23 |
Valuation Techniques | Unobservable Input* | Range | Weighted
Average Unobservable Input | ||||||
| Collateralized Loan Obligations | $50,000 | Model Valuation |
Projected cash contribution to equity |
$1.00** | 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 call rights and underlying collateral of security |
$0.10-$1.00 | $1.00 |
| * | 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 January 31, 2023. |
| Financials Income Impact Fund | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
Assets |
||||||||||||||||
| Common Stocks |
$4,296,111 | $– | $– | $4,296,111 | ||||||||||||
| Corporate Obligations |
– | 92,154,181 | 775,000 | 92,929,181 | ||||||||||||
| Preferred Stocks |
1,035,200 | 1,006,000 | – | 2,041,200 | ||||||||||||
| Warrants |
– | 97,875 | – | 97,875 | ||||||||||||
| Short-Term Investments |
1,086,649 | – | – | 1,086,649 | ||||||||||||
|
Total |
$6,417,960 | $93,258,056 | $775,000 | $100,451,016 | ||||||||||||
See the Schedule of Investments for further disaggregation of investment categories. During the year ended January 31, 2023, the Fund recognized $775,000 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.
135
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES – (continued)
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
| Balance as of 01/31/22 |
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 01/31/23 | ||||||||||
| Corporate Obligations | $– | $– | $– | $– | $– | $– | $775,000 | $– | $775,000 |
The total change in unrealized appreciation/depreciation attributable to Level 3 investments still held at January 31, 2023, is ($1,862,149).
The following is a summary of quantitative information about Level 3 Fair Value Measurements:
| Fair Value as of 01/31/23 |
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 valued at $31.00 as of January 31, 2023. |
| High Yield Opportunities Fund | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
Assets |
||||||||||||||||
| Asset-Backed Securities |
$– | $544,492 | $– | $544,492 | ||||||||||||
| Corporate Obligations |
– | 48,758,448 | – | 48,758,448 | ||||||||||||
| Residential Mortgage-Backed Securities |
– | 7,231,950 | – | 7,231,950 | ||||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer |
– | 2,086,874 | – | 2,086,874 | ||||||||||||
| Short-Term Investments |
4,811,162 | – | – | 4,811,162 | ||||||||||||
|
Total |
$4,811,162 | $58,621,764 | $– | $63,432,926 | ||||||||||||
See the Schedule of Investments for further disaggregation of investment categories. For the year ended January 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 01/31/22 |
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 01/31/23 | ||||||||||
| Common Stocks | $27,780 | $– | ($386,926) | $462,690 | $– | ($103,544) | $– | $– | $– |
136
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES – (continued)
| UltraShort Income Fund | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
Assets |
||||||||||||||||
| Asset-Backed Securities |
$– | $313,616,121 | $– | $313,616,121 | ||||||||||||
| Collateralized Loan Obligations |
– | 81,931,394 | – | 81,931,394 | ||||||||||||
| Commercial Mortgage-Backed Securities |
– | 28,846,476 | – | 28,846,476 | ||||||||||||
| Commercial Mortgage-Backed Securities – U.S. Government Agency |
– | 43,567,377 | – | 43,567,377 | ||||||||||||
| Corporate Obligations |
– | 18,878,921 | – | 18,878,921 | ||||||||||||
| Investment Companies – Affiliated Exchange Traded Funds |
4,880,005 | – | – | 4,880,005 | ||||||||||||
| Residential Mortgage-Backed Securities |
– | 165,237,742 | – | 165,237,742 | ||||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency |
– | 3,967,651 | – | 3,967,651 | ||||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer |
– | 7,030,446 | – | 7,030,446 | ||||||||||||
| U.S. Treasury Notes |
– | 3,828,459 | – | 3,828,459 | ||||||||||||
| Short-Term Investments |
5,993,980 | 15,751,789 | – | 21,745,769 | ||||||||||||
|
Total |
$10,873,985 | $682,656,376 | $– | $693,530,361 | ||||||||||||
| Other Financial Instruments |
||||||||||||||||
|
Assets |
||||||||||||||||
| Futures Contracts* |
$1,083,182 | $– | $– | $1,083,182 | ||||||||||||
|
Liabilities |
||||||||||||||||
| Futures Contracts* |
(506,810) | – | – | (506,810) | ||||||||||||
|
Total |
$576,372 | $– | $– | $576,372 | ||||||||||||
| * | Futures are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Schedule of Investments. |
See the Schedule of Investments for further disaggregation of investment categories. During the year ended January 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 |
$– | $5,630,170 | $– | $5,630,170 | ||||||||||||
| Commercial Mortgage-Backed Securities |
– | 3,018,431 | – | 3,018,431 | ||||||||||||
| Commercial Mortgage-Backed Securities – U.S. Government Agency |
– | 1,569,227 | – | 1,569,227 | ||||||||||||
| Corporate Obligations |
– | 5,583,460 | – | 5,583,460 | ||||||||||||
| Exchange Traded Funds |
1,518,919 | – | – | 1,518,919 | ||||||||||||
| Residential Mortgage-Backed Securities |
– | 4,721,389 | – | 4,721,389 | ||||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency |
– | 10,707,122 | – | 10,707,122 | ||||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer |
– | 479,375 | – | 479,375 | ||||||||||||
| U.S. Treasury Notes |
– | 919,610 | – | 919,610 | ||||||||||||
| Short-Term Investments |
277,818 | – | – | 277,818 | ||||||||||||
|
Total |
$1,796,737 | $32,628,784 | $– | $34,425,521 | ||||||||||||
| Other Financial Instruments |
||||||||||||||||
|
Assets |
||||||||||||||||
| Futures Contracts* |
$81,639 | $– | $– | $81,639 | ||||||||||||
|
Liabilities |
||||||||||||||||
| Futures Contracts* |
(2,059) | – | – | (2,059) | ||||||||||||
|
Total |
$79,580 | $– | $– | $79,580 | ||||||||||||
| * | Futures are reflected at the unrealized appreciation/depreciation on the instrument as presented in the Schedule of Investments. |
137
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES – (continued)
See the Schedule of Investments for further disaggregation of investment categories. During the year ended January 31, 2023, the Fund recognized $436,764 of transfers from Level 3 to Level 2 due to an increase in relevant market activity.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
| Balance as of 01/31/22 |
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 01/31/23 | ||||||||||
| Corporate Obligations | $500,000 | $– | $– | ($63,236) | $– | $– | $– | ($436,764) | $– |
| UltraShort Income ETF | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
Assets |
||||||||||||||||
| Asset-Backed Securities |
$– | $23,127,419 | $– | $23,127,419 | ||||||||||||
| Collateralized Loan Obligations |
– | 3,634,866 | – | 3,634,866 | ||||||||||||
| Commercial Mortgage-Backed Securities – U.S. Government Agency |
– | 1,974,553 | – | 1,974,553 | ||||||||||||
| Corporate Obligations |
– | 1,790,910 | – | 1,790,910 | ||||||||||||
| Residential Mortgage-Backed Securities |
– | 8,497,969 | – | 8,497,969 | ||||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency |
– | 1,055,511 | – | 1,055,511 | ||||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer |
– | 443,291 | – | 443,291 | ||||||||||||
| U.S. Treasury Notes |
– | 4,360,547 | – | 4,360,547 | ||||||||||||
| Short-Term Investments |
783,134 | 1,962,424 | – | 2,745,558 | ||||||||||||
|
Total |
$783,134 | $46,847,490 | $– | $47,630,624 | ||||||||||||
See the Schedule of Investments for further disaggregation of investment categories. During the period ended January 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 |
$– | $6,011,348 | $– | $6,011,348 | ||||||||||||
| Collateralized Loan Obligations |
– | 3,248,578 | – | 3,248,578 | ||||||||||||
| Corporate Obligations |
– | 1,566,406 | – | 1,566,406 | ||||||||||||
| Residential Mortgage-Backed Securities |
– | 11,764,828 | – | 11,764,828 | ||||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency |
– | 7,139,468 | – | 7,139,468 | ||||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer |
– | 3,071,366 | – | 3,071,366 | ||||||||||||
| Short-Term Investments |
1,236,700 | – | – | 1,236,700 | ||||||||||||
|
Total |
$1,236,700 | $32,801,994 | $– | $34,038,694 | ||||||||||||
See the Schedule of Investments for further disaggregation of investment categories. During the period ended January 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.
138
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
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 year or period ended January 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 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 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.
139
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
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 |
$119,722,714 | |
| Financials Income Impact Fund |
$1,086,649 | |
| High Yield Opportunities Fund |
$4,811,162 | |
| UltraShort Income Fund |
$5,993,980 | |
| Total Return Bond Fund |
$277,818 | |
| UltraShort Income ETF |
$783,134 | |
| Income ETF |
$1,236,700 | |
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 |
$ | – | $ | – | $ | 58,899,138 | $ | – | $ | 58,899,138 | ||||||||||
| Collateralized Loan Obligations |
– | – | 15,440,083 | – | 15,440,083 | |||||||||||||||
| Residential Mortgage-Backed Securities |
– | – | 141,768,811 | – | 141,768,811 | |||||||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency |
– | – | 20,898,054 | – | 20,898,054 | |||||||||||||||
| Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer |
– | – | 12,994,074 | – | 12,994,074 | |||||||||||||||
|
Total |
$– | $– | $250,000,160 | $– | $250,000,160 | |||||||||||||||
| Gross amount of reverse repurchase agreements in Balance Sheet Offsetting Information Table |
|
$250,000,160 | ||||||||||||||||||
| Amounts related to agreements not included in offsetting disclosure in Balance Sheet Offsetting Information Table |
|
$– | ||||||||||||||||||
140
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
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 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 exchange-traded funds (“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
141
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
NOTE 3. RISKS ASSOCIATED WITH PORTFOLIO ASSETS – (continued)
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 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 year ended January 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.
142
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
NOTE 3. RISKS ASSOCIATED WITH PORTFOLIO ASSETS – (continued)
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 January 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 |
Value of
Unrealized Appreciation (Depreciation)* | ||||
| Futures Contracts | Interest Rate | Deposit at broker for futures | $8,981,067 | $34,491,621 |
| * | Represents the value of unrealized appreciation (depreciation) as presented in the Consolidated Schedule of Open Futures Contracts. |
The effect of derivative instruments on the Consolidated Statement of Operations for the year ended January 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 | $12,489,421 | |||
| Swaps | Interest Rate | Net realized gain (loss) on swaps | $6,353,207 | |||
| Swaptions |
Interest Rate | Net realized gain (loss) on swaptions |
$220,000 |
| 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 | $32,843,845 |
The average monthly notional value of long and short futures contracts during the year ended January 31, 2023, was $63,330,611 and ($405,471,316), respectively. The average monthly notional value of long swap contracts during the year ended January 31, 2023, was $110,384,615. The average monthly notional value of long and short swaption contracts during the year ended January 31, 2023, was $46,153,846 and ($92,307,692), respectively.
The value and effect of derivative instruments on the Statements of Assets and Liabilities as of January 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 | $979,526 | $576,372 |
| * | Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of Open Futures Contracts. |
143
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
NOTE 4. DERIVATIVE TRANSACTIONS – (continued)
The effect of derivative instruments on the Statements of Operations for the year ended January 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 | $6,169,368 |
| 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 | ($411,506) |
The average monthly notional value of long and short futures contracts during the year ended January 31, 2023, was $1,828,058 and ($172,306,615), respectively.
The value and effect of derivative instruments on the Statements of Assets and Liabilities as of January 31, 2023, for the Total Return Bond Fund was as follows:
| Derivatives | Type of Derivative Risk |
Statements of Assets and Liabilities Location |
Fair Value of Deposit at Broker for Futures |
Value of
Unrealized Appreciation (Depreciation)* | ||||
| Futures Contracts | Interest Rate | Deposit at broker for futures | $326,000 | $79,580 |
| * | 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 year ended January 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 | ($526,553) |
| 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 | $79,580 |
The average monthly notional value of long futures contracts during the year ended January 31, 2023, was $4,849,865.
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 January 31, 2023, the Funds were not subject to any netting agreements.
144
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
NOTE 4. DERIVATIVE TRANSACTIONS – (continued)
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 January 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 |
$39,472,683 | ($4,981,062) | $34,491,621 | $– | $– | $34,491,621 | ||||||
|
Liabilities: |
||||||||||||
| Reverse Repurchase Agreements |
$249,842,609 | $– | $249,842,609 | $249,842,609 | $– | $– | ||||||
| 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 |
$ | 1,083,182 | ($ | 506,810 | ) | $ | 576,372 | $ | – | $ | – | $ | 576,372 | |||||||||||
| Total Return Bond 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 |
$ | 81,639 | ($ | 2,059 | ) | $ | 79,580 | $ | – | $ | – | $ | 79,580 | |||||||||||
| * | 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. |
| ** | The amount is limited to the net amounts of financial assets and liabilities and accordingly does not include excess collateral pledged. |
| *** | Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of 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, 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 are obligated to pay the Adviser a fee computed and accrued daily and paid monthly at an annual rate of 0.89%, 0.89%, 0.55%, 0.44%, 0.50%, 0.55%, and 0.99%, respectively, of the average daily net assets of each Fund.
The Adviser contractually agreed through May 31, 2024, to waive or limit its fees and to assume other expenses of 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 so that Total Annual Fund Operating Expenses of each Fund does not exceed 0.99%, 0.69%, 0.55%, 0.35%, 0.44%, 0.29%, and 0.79%, respectively. These arrangements 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
145
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
NOTE 5. FEES AND OTHER RELATED PARTY TRANSACTIONS – (continued)
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.
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.
During the year ended January 31, 2023, the Adviser voluntarily waived $615,523 of the Financial Income Impact Fund’s expenses. Fees waived under these voluntary waivers are not subject to recoupment by the Adviser. These operating expense limitations do not apply to front-end sales loads, brokerage fees and commissions, borrowing costs (such as interest and dividend expenses on securities sold short), taxes, 12b-1 fees, extraordinary expenses and indirect expenses (such as “acquired funds fees and expenses”).
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 year or period ended January 31, 2023, the Adviser waived $17,063 of the Multi-Strategy Income Fund’s expenses, $91,469 of the Financial Income Impact Fund’s expenses, $233,113 of the High Yield Opportunities Fund’s expenses, $2,187,213 of the UltraShort Income Fund’s expenses, $212,352 of the Total Return Bond Fund’s expenses, $27,107 of the UltraShort Income ETF’s expenses, and $11,283 of the Income ETF’s expenses. Additionally, during the year ended January 31, 2023, the Multi-Strategy Income Fund repaid $17,063 of previously waived expenses to the Adviser. During the year ended January 31, 2023, the High Yield Opportunities Fund had $166,530 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 January 31, 2023, are included in the table below.
| Total Waived Expenses Recoverable by the Adviser as of 01/31/23 |
Recoverable Expenses Subject to 36 Month Limit During the Year Ended 01/31/24 |
Recoverable Expenses Subject to 36 Month Limit During the Year Ended 01/31/25 |
Recoverable Expenses | |||||
| Multi-Strategy Income Fund | $– | $– | $– | $– | ||||
| Financials Income Impact Fund | $91,469 | $– | $– | $91,469 | ||||
| High Yield Opportunities Fund | $579,968 | $170,565 | $176,290 | $233,113 | ||||
| UltraShort Income Fund | $2,485,553 | $– | $298,340 | $2,187,213 | ||||
| Total Return Bond Fund | $299,584 | $– | $87,232 | $212,352 | ||||
| UltraShort Income ETF | $27,107 | $– | $– | $27,107 | ||||
| Income ETF | $11,283 | $– | $– | $11,283 |
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 year ended January 31, 2023, the Adviser waived $697,322 and $3,712 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.
146
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
NOTE 5. FEES AND OTHER RELATED PARTY TRANSACTIONS – (continued)
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 year or period ended January 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 | $732,625,670 | $3,821,332,769 | ||
| Financials Income Impact Fund | $15,212,278 | $59,858,940 | ||
| High Yield Opportunities Fund | $21,311,232 | $29,856,971 | ||
| UltraShort Income Fund | $323,338,854 | $1,119,576,320 | ||
| Total Return Bond Fund | $19,483,963 | $18,280,350 | ||
| UltraShort Income ETF | $48,563,533 | $6,032,851 | ||
| Income ETF | $46,388,986 | $14,011,609 |
For the year or period ended January 31, 2023, purchases and sales of long-term U.S. Government securities, were as follows:
| Purchases | Sales | |||
| Multi-Strategy Income Fund | $232,100,886 | $625,934,235 | ||
| Financials Income Impact Fund | $– | $– | ||
| High Yield Opportunities Fund | $2,049,563 | $– | ||
| UltraShort Income Fund | $13,301,555 | $95,903,763 | ||
| Total Return Bond Fund | $12,863,899 | $8,270,055 | ||
| UltraShort Income ETF | $8,297,467 | $476,674 | ||
| Income ETF | $22,682,153 | $24,719 |
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.
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Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
NOTE 7. TRANSACTIONS WITH AFFILIATES – (continued)
The Multi-Strategy Income Fund had the following investments in affiliates during the year ended January 31, 2023:
| Security Name | Value as of January 31, 2022 |
Purchases | Sales | Net Realized Gain (Loss) on Investments in Affiliates |
Net Change in Unrealized Appreciation/ Depreciation on Investments in Affiliates |
Value as of January 31, 2023 |
Share Balance |
Dividend Income | ||||||||
| Financials Income Impact Fund | $46,021,081 | $– | $– | $– | ($4,221,173) | $41,799,908 | 5,147,772 | $1,782,415 | ||||||||
| High Yield Opportunities Fund | 38,500,220 | – | – | – | (3,202,791) | 35,297,429 | 3,336,241 | 2,032,411 | ||||||||
| Income ETF | – | 9,643,764 | – | – | 162,516 | 9,806,280 | 480,700 | 45,955 | ||||||||
| Total Return Bond Fund | 38,934,526 | – | – | – | (4,224,217) | 34,710,309 | 3,985,110 | 988,014 | ||||||||
| UltraShort Income ETF | – | 4,798,869 | – | – | 50,794 | 4,849,663 | 95,900 | 36,012 | ||||||||
|
Total |
$123,455,827 | $14,442,633 | $– | $– | ($11,434,871) | $126,463,589 | 13,045,723 | $4,884,807 |
The UltraShort Income Fund had the following investments in affiliates during the year ended January 31, 2023:
| Security Name | Value as of January 31, 2022 |
Purchases | Sales | Net Realized Gain (Loss) on Investments in Affiliates |
Net Change in Unrealized Appreciation/ Depreciation on Investments in Affiliates |
Value as of January 31, 2023 |
Share Balance |
Dividend Income | ||||||||
| UltraShort Income ETF | $– | $4,829,286 | $– | $– | $50,719 | $4,880,005 | 96,500 | $35,975 |
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 January 31, 2023, the Multi-Strategy Income Fund owned, as beneficial shareholder, 56% of the outstanding shares of the High Yield Opportunities Fund, 40% of the outstanding shares of the Financials Income Impact Fund, over 99% of the outstanding shares of the Total Return Bond Fund, and 29% of the Income ETF. It is not known whether any underlying beneficial owners owned or controlled 25% or more of the voting securities of the Funds. At January 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. |
148
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
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 |
$– | |
149
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
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 August 19, 2022, the Multi-Strategy Income Fund entered into a $400 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. 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 6.15% as of January 31, 2023. Prior to August 19, 2022, interest was charged a floating rate based on the 3-month LIBOR rate plus 1.60%. For the year ended January 31, 2023, the average principal balance and interest rate was approximately $309,582,418 and 3.96%, 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 January 31, 2023. For the year ended January 31, 2023, these expense and commitment fees, amounted to $12,751,493 and is included in the Interest expense line item that is reflected in the Consolidated Statements 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 January 31, 2023, the outstanding principal balance under the Facility was $300 million. The amount of the maximum loan outstanding during the period was $400 million from December 28, 2022, through January 31, 2023.
U.S. Bank, N.A. has made available to the Multi-Strategy Income Fund, Financials Income Impact Fund, High Yield Opportunities Fund, UltraShort Income Fund, and Total Return Bond Fund a $600,000,000 secured credit facility, pursuant to a Loan Agreement (“Agreement”) effective June 8, 2016, expiring on April 28, 2023, for the purposes of having cash available to satisfy redemption requests. Advances under the Agreement would be limited to the lesser of $600,000,000 or 20% of the unencumbered assets of the Financials Income Impact Fund, the UltraShort Income Fund, or the Total Return Bond Fund; 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, which was 7.50% as of January 31, 2023, minus 1.00%. Prior to April 29, 2022, the Funds paid an interest rate on outstanding borrowings equal to the one-month LIBOR, plus 1.75%. For the year ended January 31, 2023, the Funds’ activity under the credit facility was as follows:
| Average Principal Balance |
Average Interest Rate |
Maximum Loan Outstanding | ||||
| Multi-Strategy Income Fund |
$226,027 | 6.00% | $33,100,000 | |||
|
Financials Income Impact Fund |
$390,482 | 3.61% | $10,000,000 | |||
|
High Yield Opportunities Fund |
$1,288 | 1.93% | $110,000 | |||
| UltraShort Income Fund |
$46,203 | 5.40% | $4,488,000 | |||
| Total Return Bond Fund |
$3,562 | 6.00% | $1,300,000 |
As of January 31, 2023, the Funds had no outstanding borrowings under this agreement.
150
Angel Oak Funds Trust
Notes to the Financial Statements - (continued)
NOTE 11. ACCOUNTING PRONOUNCEMENTS
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 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.
NOTE 12. SUBSEQUENT EVENT
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 January 31, 2023, the UltraShort Income ETF and Income ETF declared ordinary income distributions to shareholders of record as of February 2, 2023, payable February 3, 2023, as follows:
| UltraShort Income ETF |
Income ETF | |||
| Distribution Paid | $207,197 | $166,786 | ||
| Distribution Paid Per Share | $0.22521402 | $0.10108238 |
Management has considered the effects of the current volatility in the banking sector on the portfolio assets of the Financials Income Impact Fund. Management expects the sector to continue to experience volatility in the near term but the measures taken by regulators such as the Bank Term Funding Program and implicit guarantee on deposits have helped reassure the market of the stability of the sector. The Adviser remains confident in the fundamentals of the broader banking sector and community bank sector in particular and expects attractive relative-value investment opportunities in the future.
151
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of
Angel Oak Funds Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, open futures contracts, and open reverse repurchase agreements (as applicable), of Angel Oak Funds Trust comprising the funds listed below (the “Funds”) as of January 31, 2023, the related statements of operations, changes in net assets, the related notes, and the financial highlights (consolidated for the Angel Oak Multi-Strategy Income Fund), and the consolidated statement of cash flows of Angel Oak Multi-Strategy Income Fund, for each of the periods indicated below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of January 31, 2023, the results of their operations, the changes in net assets, and the financial highlights, and the cash flows of Angel Oak Multi-Strategy Income Fund for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
| Fund Name |
Consolidated Statements of Operations and Cash Flows |
Consolidated Statements of Changes in Net Assets |
Consolidated Financial Highlights | |||
| Angel Oak Multi-Strategy Income Fund |
For the year ended January 31, 2023 | For the years ended January 31, 2023 and 2022 | For the years ended January 31, 2023, 2022, 2021, 2020, and 2019 |
| Fund Name |
Statements of Operations and Cash Flows (where applicable) |
Statements of Changes in Net Assets | Financial Highlights | |||
| Angel Oak Financials Income Impact Fund (formerly Angel Oak Financials Income Fund) and Angel Oak High Yield Opportunities Fund |
For the year ended January 31, 2023 | For the years ended January 31, 2023 and 2022 | For the years ended January 31, 2023, 2022, 2021, 2020, and 2019 | |||
| Angel Oak UltraShort Income Fund |
For the year ended January 31, 2023 | For the years ended January 31, 2023 and 2022 | For the years ended January 31, 2023, 2022, 2021 and 2020, and for the period from April 2, 2018 (commencement of operations) through January 31, 2019 |
| Fund Name |
Statements of Operations and Cash Flows (where applicable) |
Statements of Changes in Net Assets | Financial Highlights | |||
| Angel Oak Total Return Bond Fund (formerly Angel Oak Core Impact Fund) |
For the year ended January 31, 2023 | For the year ended January 31, 2023 and for the period from June 4, 2021 (commencement of operations) through January 31, 2022 | ||||
| Angel Oak UltraShort Income ETF |
For the period from October 24, 2022 (commencement of operations) through January 31, 2023 | |||||
| Angel Oak Income ETF |
For the period from November 7, 2022 (commencement of operations) through January 31, 2023 | |||||
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
152
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of January 31, 2023, by correspondence with the custodian, issuers, counterparties, and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more funds advised by Angel Oak Capital Advisors, LLC since 2011.
COHEN & COMPANY, LTD.
Cleveland, Ohio
153
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 Securities and Exchange Commission (“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. Statement Regarding the Basis for the Approval of the Continuance of Investment Advisory Agreement
Pursuant to Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), at a telephonic meeting held on August 18, 2022, and an in-person meeting held on September 28-29, 2022 (the “Meetings”), the Board of Trustees (the “Board”) of Angel Oak Funds Trust (the “Trust”) considered the approval of the continuance of the Investment Advisory Agreement (the “Investment Advisory Agreement” or the “Agreement”) between the Trust, on behalf of the Angel Oak Multi-Strategy Income Fund (the “Multi-Strategy Income Fund”), the Angel Oak Financials Income Impact Fund (the “Financials Income Impact Fund”) (formerly the Angel Oak Financials Income Fund), the Angel Oak High Yield Opportunities Fund (the “High Yield Opportunities Fund”), the Angel Oak UltraShort Income Fund (the “UltraShort Income Fund”), and the Angel Oak Total Return Bond Fund (the “Total Return Bond Fund”) (formerly the Angel Oak Core Impact Fund) (each, a “Fund” and, collectively, the “Funds”), and Angel Oak Capital Advisors, LLC (the “Adviser” or “Angel Oak”) for a one-year period. The Multi-Strategy Income Fund is the successor in interest to a fund having the same name and investment objective that was included as a series of another investment company, Valued Advisers Trust, and that was also advised by Angel Oak (the “Predecessor Multi-Strategy
154
Income Fund”). The Predecessor Multi-Strategy Income Fund was reorganized into the Fund on April 10, 2015. The High Yield Opportunities 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.
The relevant provisions of the 1940 Act specifically provide that it is the duty of the Board to request and evaluate such information as the Board determines is necessary to allow it to properly consider the renewal of the Agreement, and it is the duty of the Adviser to furnish the Trustees with information that is responsive to their request. Accordingly, in determining whether to renew the Investment Advisory Agreement between the Adviser and the Trust with respect to the Funds, the Board requested, and the Adviser provided, information and data relevant to the Board’s consideration. This included materials prepared by the Adviser, the Funds’ administrator and an independent third-party data provider (the “Outside Data Provider”) that provided the Board with information regarding the fees and expenses of each Fund, as compared to other similar mutual funds.
Following their review and consideration, the Trustees determined that the Investment Advisory Agreement with respect to the Funds would enable shareholders of the Funds to obtain high quality services at a cost that is appropriate, reasonable, and in the best interests of the Funds and their shareholders. Accordingly, the Board, including those Trustees who are not considered to be “interested persons” of the Trust, as that term is defined in the 1940 Act (the “Independent Trustees”), unanimously approved the continuance of the Investment Advisory Agreement. In reaching their decision, the Trustees requested and obtained from the Adviser such information as they deemed reasonably necessary to evaluate the Investment Advisory Agreement. The Trustees also carefully considered profitability data and the comparative fee and expense information prepared by the Adviser. In considering the Investment Advisory Agreement with respect to the Funds, the Trustees evaluated a number of factors that they believed, in light of their reasonable business judgment, to be relevant. They based their decision on the following considerations, among others, although they did not identify any one specific consideration or any particular information that was controlling of their decision:
The nature, extent and quality of the advisory services to be provided. The Trustees concluded that Angel Oak is capable of providing high quality services to each Fund, as indicated by the nature and quality of services provided in the past to each Fund, Angel Oak’s management capabilities demonstrated with respect to each Fund, the professional qualifications and experience of the portfolio managers of each Fund, Angel Oak’s investment and management oversight processes, and the competitive investment performance of the Funds. The Trustees also determined that Angel Oak proposed to provide investment advisory services that were of the same quality as services it provided to each Fund in the past, and that these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. On the basis of the Trustees’ assessment of the nature, extent and quality of the advisory services provided by Angel Oak, the Trustees concluded that Angel Oak is capable of continuing to generate a level of long-term investment performance that is appropriate in light of each Fund’s investment objective, policies and strategies and competitive with many other comparable investment companies.
The investment performance of the Funds. With respect to each Fund, the Trustees concluded on the basis of information derived from independent third-party data that Angel Oak had achieved investment performance that was competitive relative to the Fund’s category, as established by the Outside Data Provider (the “Category”), and a smaller peer group of comparable funds (the “Peer Group”) over longer-term trailing periods, and the Trustees took into consideration the fact that Angel Oak focuses on long-term performance results with respect to its management of the Funds and the Funds may have periods of underperformance when measured on a more short-term basis. In considering the performance of the Funds, the Trustees reviewed reports comparing each Fund’s performance to: (i) a Peer Group of comparable mutual funds; (ii) the Fund’s Category; and (iii) the Fund’s benchmark index.
With respect to the Multi-Strategy Income Fund (which commenced operations in June 2011), the Trustees observed that the Fund’s Institutional Class shares had ranked in the third quartile of the Fund’s Peer Group over the one- and three-year periods ended June 30, 2022, in the second quartile over the five-year period ended June 30, 2022, and in the first quartile over the ten-year period ended June 30, 2022, and for the period since the inception of the Institutional Class shares. They noted that the Fund’s Institutional Class shares had ranked in the third quartile of the Fund’s Category over the three- and five-year periods ended June 30, 2022, and in the first quartile over the one- and ten-year periods ended June 30, 2022, and for the period since the Fund’s inception. The Trustees further noted that the Multi-Strategy Income Fund’s Institutional Class shares had outperformed the Fund’s benchmark index, the Bloomberg U.S. Aggregate Bond Index, over the one-, three-, five-, and ten-year periods ended June 30, 2022, and for the period since the inception of the Institutional Class shares.
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With respect to the Financials Income Impact Fund (which commenced operations in November 2014), the Trustees observed that the Fund’s Institutional Class shares had ranked in the first quartile of the Fund’s Peer Group for the one-, three-, and five-year periods ended June 30, 2022, and for the period since the Fund’s inception. They noted that the Fund’s Institutional Class shares had ranked in the first quartile of the Fund’s Category over the one-, three-, and five-year periods ended June 30, 2022, and for the period since the Fund’s inception. The Trustees further noted that the Fund’s Institutional Class shares had outperformed the Fund’s benchmark index, the Bloomberg U.S. Aggregate 3-5 Year Index, over the one-, three-, and five -year periods ended June 30, 2022, and for the period since the Fund’s inception.
With respect to the High Yield Opportunities Fund (which commenced operations in March 2009), the Trustees observed that the Fund’s Institutional Class shares had ranked in the first quartile of the Fund’s Peer Group over the one-, five-, and ten-year periods ended June 30, 2022, in the second quartile over the three-year period ended June 30, 2022, and the period since the Fund’s inception. They noted that the Fund’s Institutional Class shares had ranked in the first quartile of the Fund’s Category over the one-, three-, five-, and ten-year periods ended June 30, 2022, and in the fourth quartile for the period since the Fund’s inception. The Trustees further noted that the Fund’s Institutional Class shares had outperformed the Fund’s benchmark index, the Bloomberg U.S. Corporate High Yield Bond Index, over the one-, three-, five-, and ten-year periods ended June 30, 2022, and underperformed the benchmark index during the period since the Fund’s inception.
With respect to the UltraShort Income Fund (which commenced operations in April 2018), the Trustees observed that the Fund’s Institutional Class shares had ranked in the third quartile of the Fund’s Peer Group over the one-year period ended June 30, 2022, in the second quartile over the three-year period ended June 30, 2022, and in the first quartile for the period since the Fund’s inception. They noted that the Fund’s Institutional Class shares had ranked in the third quartile of the Fund’s Category over the one-year period ended June 30, 2022, in the second quartile for the three-year period ended June 30, 2022, and in the first quartile for the period since the Fund’s inception. The Trustees further noted that the Fund’s Institutional Class shares had outperformed the Fund’s benchmark index, the Bloomberg U.S. Short Treasury: 9-12 Months Index, over the three-year period ended June 30, 2022, and for the period since the Fund’s inception, and underperformed the benchmark index during the one-year period ended June 30, 2022.
With respect to the Total Return Bond Fund (which commenced operations in June 2021), the Trustees observed that the Fund’s Institutional Class shares had ranked in the first quartile of the Fund’s Peer Group over the one-year period ended June 30, 2022, and for the period since the Fund’s inception. They noted that the Fund’s Institutional Class shares had ranked in the first quartile of the Fund’s Category over the one-year period ended June 30, 2022, and for the period since the Fund’s inception. The Trustees further noted that the Fund’s Institutional Class shares had outperformed the Fund’s benchmark index, the Bloomberg U.S. Aggregate Bond Index, over the one-year period ended June 30, 2022, and for the period since the Fund’s inception.
On the basis of the Trustees’ assessment of the nature, extent and quality of advisory services provided by Angel Oak, the Trustees concluded that Angel Oak is capable of generating a level of long-term investment performance that is appropriate in light of each Fund’s investment objectives, policies and strategies and competitive with many other investment companies.
The cost of advisory services provided and the level of profitability. On the basis of comparative information derived from the expense data provided to the Board, the Trustees determined that the management fee of each of the Financials Income Impact Fund, UltraShort Income Fund, Multi-Strategy Income Fund, and Total Return Bond Fund was higher than the median management fee in their respective Peer Groups. They further observed that the management fees of the High Yield Opportunities Fund was equal to the median management fee in its Peer Group. The Trustees also determined that the net expense ratio of the Multi-Strategy Income Fund, Financials Income Impact Fund, and Total Return Bond Fund was higher than the median net expense ratio in its Peer Group. They noted that the net expense ratio of each of the UltraShort Income Fund and the High Yield Opportunities Fund was lower than the median net expense ratio for funds in their respective Peer Groups. The Board noted that the quality of services provided by Angel Oak and the past long-term performance of the Funds demonstrated that the advisory fee still offered an appropriate value for the Funds and their shareholders. In addition, the Trustees noted that Angel Oak had agreed to limit the operating expenses of each of the classes of shares of the Funds through May 31, 2023.
The Board also reviewed the fees that Angel Oak charges its other clients for discretionary portfolio management services, noting that the firm has a variety of account types with different fee arrangements, including non-U.S. registered funds (UCITS funds) and sub-advised funds that have investment strategies similar to certain of the Funds. The Board considered the fee rates charged by Angel Oak to manage such funds and accounts. The Board took into account the unique management requirements involved in managing a registered investment company as opposed to other types of client accounts.
The Board also reviewed detailed profitability information and considered Angel Oak’s current level of profitability with respect to each Fund, and noted that Angel Oak’s profitability was acceptable and not excessive and consistent with applicable industry
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averages and that Angel Oak is committed to using its own resources to help improve the services it provides for the benefit of the Funds. The Trustees also noted that Angel Oak had provided information regarding its methodology for attributing profitability to each Fund, as opposed to its other lines of business. The Trustees also took into consideration the nature and extent of expenses that are borne directly by Angel Oak from its own financial resources to help to market and promote the Funds. Accordingly, on the basis of the Board’s review of the fees to be charged by Angel Oak for investment advisory services, the investment advisory and other services provided to the Funds by Angel Oak, and the estimated profitability of Angel Oak’s relationship with each Fund, the Board concluded that the level of investment advisory fees and Angel Oak’s profitability are appropriate in light of the investment advisory fees, overall expense ratio and investment performance of comparable investment companies and the historical profitability of the relationship between each Fund and Angel Oak. The Trustees considered the profitability of Angel Oak both before and after the impact of the marketing-related expenses that Angel Oak incurs out of its own resources in connection with its management of the Funds.
The extent to which economies of scale may be realized as the Funds grow and whether the advisory fees reflect possible economies of scale. While it was noted that each Fund’s investment advisory fee will not decrease as the Fund’s assets grow because the Funds are not subject to investment advisory fee breakpoints, the Trustees concluded that each Fund’s investment advisory fee was appropriate in light of the projected size of the Fund and appropriately reflected the current economic environment for Angel Oak and the competitive nature of the mutual fund market. The Trustees then noted that they would have the opportunity to periodically re-examine whether each Fund had achieved economies of scale and the appropriateness of investment advisory fees payable to Angel Oak with respect to each Fund, in the future, at which time the implementation of fee breakpoints could be considered. Finally, the Trustees noted the continued improvements made to the Adviser’s infrastructure and services provided to each Fund, which had been funded by the advisory fees received by the Adviser.
Benefits to Angel Oak from its relationship with the Funds (and any corresponding benefits to the Funds). The Trustees concluded that other benefits derived by Angel Oak from its relationship with the Funds are reasonable and fair and consistent with industry practice and the best interests of the Funds and their shareholders.
Other Considerations. In approving the Investment Advisory Agreement, the Trustees determined that Angel Oak has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Funds in a professional manner that is consistent with the best interests of each Fund and its shareholders. The Trustees also concluded that Angel Oak has made a significant entrepreneurial commitment to the management and success of the Funds, which entails a substantial financial and professional commitment, including the Operating Expense Limitation Agreement under which Angel Oak has undertaken to waive a portion of its fees to the benefit of Fund shareholders to the extent necessary in accordance with the terms of the Operating Expense Limitation Agreement. The Trustees observed that those waivers were subject to recoupment under the terms of the Operating Expense Limitation. The Board also considered matters with respect to the brokerage practices of Angel Oak, including its best-execution procedures, and noted that these were reasonable and consistent with standard industry practice.
Following further discussion and the consideration of questions raised by the Independent Trustees, the Trustees determined that they had received sufficient information relating to each Fund in order to consider the approval of the Investment Advisory Agreement. It was noted that, in making their determinations, the Trustees had considered and relied upon not only the materials provided to them for use at the Meetings with respect to the proposed contract renewal, but also the information about the Funds and Angel Oak that had been provided to them at the Meetings and throughout the past year in connection with their regular Board meetings. In reaching their conclusion with respect to the continuation of the Investment Advisory Agreement and the level of fees paid under the Investment Advisory Agreement, the Trustees did not identify any one single factor as being controlling, but, rather, the Board took note of a combination of factors that had influenced their decision-making process. They noted the level and quality of investment advisory services provided by the Adviser to each of the Funds, and they found that these services continued to benefit the shareholders of the Funds and also reflected management’s overall commitment to the continued growth and development of the Funds.
Statement Regarding the Basis for the Approval of the Investment Advisory Agreement
Pursuant to Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), at the organizational meeting held on September 28, 2022 (the “Meeting”), the Board of Trustees (the “Board”) of Angel Oak Funds Trust (the “Trust”) considered and approved the Investment Advisory Agreement (the “Investment Advisory Agreement” or the “Agreement”) between the Trust, on behalf of the Angel Oak UltraShort Income ETF (the “UltraShort Income ETF”) and the Angel Oak Income ETF (the “Income ETF”) (each a “Fund” and collectively, the “Funds”), and Angel Oak Capital Advisors, LLC (the “Adviser” or “Angel Oak”) for an initial two-year period. The relevant provisions of the 1940 Act specifically provide that it is the duty of the Board to request and evaluate such information as the Board determines is necessary to allow it to properly consider the
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adoption of the Agreement, and it is the duty of the Adviser to furnish the Trustees with information that is responsive to their request.
Accordingly, in determining whether to adopt the Investment Advisory Agreement between the Adviser and the Funds, the Board requested, and the Adviser provided, information and data relevant to the Board’s consideration. This included materials prepared by the Adviser and by the Funds’ administrator that provided the Board with information regarding the estimated fees and expenses of the Funds, as compared to other similar funds.
Following their review and consideration, the Trustees determined that the Investment Advisory Agreement with respect to each Fund would enable shareholders of such Fund to obtain high quality services at a cost that is appropriate, reasonable, and in the best interests of the Fund and its shareholders. Accordingly, the Board, including those Trustees who are not considered to be “interested persons” of the Funds, as that term is defined in the 1940 Act (the “Independent Trustees”), unanimously approved the adoption of the Investment Advisory Agreement. In reaching their decision, the Trustees requested and obtained from the Adviser such information as they deemed reasonably necessary to evaluate the Investment Advisory Agreement. The Trustees also carefully considered the projected profitability data and comparative fee and expense information prepared by Fund management. In considering the Investment Advisory Agreement with respect to the Funds, the Trustees evaluated a number of factors that they believed, in light of their reasonable business judgment, to be relevant. They based their decision on the following considerations, among others, although they did not identify any one specific consideration or any particular information that was controlling of their decision:
The nature, extent and quality of the advisory services to be provided. The Trustees concluded that Angel Oak is capable of providing high quality services to the Funds, as indicated by the nature and quality of services provided in the past to the existing series of the Trust, as well as the Angel Oak Strategic Credit Fund (a registered closed-end management investment company that is operated as an “interval fund”) and Angel Oak Financial Strategies Income Term Trust (a closed-end management investment company listed on the New York Stock Exchange) (the “Existing Funds”), Angel Oak’s management capabilities demonstrated with respect to the Existing Funds, the professional qualifications and experience of each of the portfolio managers of the Funds, Angel Oak’s investment and management oversight processes, and the competitive investment performance of the Existing Funds. The Trustees also determined that Angel Oak proposed to provide investment advisory services that were of the same quality as services provided to the Existing Funds, and that these services are appropriate in scope and extent in light of the Funds’ proposed operations, the competitive landscape of the investment company business and investor needs. On the basis of the Trustees’ assessment of the nature, extent and quality of the advisory services to be provided by Angel Oak, the Trustees concluded that Angel Oak is capable of generating a level of long-term investment performance that is appropriate in light of each Fund’s investment objective, policies and strategies and competitive with many other comparable investment companies, including other exchange-traded funds (“ETFs”).
The investment performance of the Funds. The Trustees noted that the Funds had not yet commenced operations, and consequently, the Funds’ performance was not relevant to their considerations. The Board considered the past performance of the Existing Funds based on materials provided by Angel Oak and information obtained from an independent third-party data provider. In particular, the Board considered the past performance of the Angel Oak Multi-Strategy Income Fund and the Angel Oak UltraShort Income Fund, which have investment strategies similar to those of the Income ETF and the UltraShort Income ETF, respectively. The Board noted that the performance of the Existing Funds reflected positively on Angel Oak’s experience and ability to successfully implement each Fund’s strategies, and the Trustees observed that the portfolio management team for the Funds would include individuals currently responsible for the Existing Funds.
The cost of advisory services to be provided and the level of profitability. On the basis of comparative information derived from the expense data that was provided to the Board, the Trustees determined that the overall projected expense ratio of each Fund is generally higher than the median expense ratio for funds in its peer group. However, the Board noted that the quality of services provided by Angel Oak and the past performance of the Existing Funds demonstrated that the proposed advisory fees still offered an appropriate value for each Fund and its shareholders. The Trustees also noted that Angel Oak had proposed to contractually limit each Fund’s total operating expenses through at least May 31, 2024.
The Board also reviewed the fees that Angel Oak charges its other clients for discretionary portfolio management services, noting that Angel Oak has a variety of account types with different fee arrangements, noting in particular the Angel Oak Multi-Strategy Income Fund and the Angel Oak UltraShort Income Fund have investment strategies similar to those of the Funds, respectively, as well as certain unregistered funds and accounts that are comparable to the Funds. The Trustees took into account the unique management requirements involved in managing a registered investment company as opposed to other types of client accounts. The Trustees further considered that, unlike the Angel Oak Multi-Strategy Income Fund and the Angel Oak UltraShort Income Fund, each of the Funds would operate pursuant to a unitary fee arrangement, which covers expenses not
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covered by the Angel Oak Multi-Strategy Income Fund and the Angel Oak UltraShort Income Fund’s investment advisory fees. The Board also noted that, due to the proposed expense limitation agreement, the anticipated net expense ratios of the Funds were considerably lower than those of the Angel Oak Multi-Strategy Income Fund and the Angel Oak UltraShort Income Fund, respectively.
The Board also focused on Angel Oak’s projected level of profitability with respect to the Funds and noted that Angel Oak did not expect to experience profitability with respect to either of the Funds during their first year of operations. Accordingly, on the basis of the Board’s review of the proposed fees to be charged by Angel Oak for the investment advisory and other services to be provided to the Funds by Angel Oak, and the estimated level of profitability from Angel Oak’s relationship with each Fund, the Board concluded that the proposed level of investment advisory fees and Angel Oak’s projected profitability were appropriate in light of the investment advisory fees, overall expense ratios and investment performance of comparable investment companies and the historical profitability of the relationship between the Existing Funds and Angel Oak. The Trustees considered the profitability of Angel Oak both before and after the impact of the marketing-related expenses that Angel Oak expected to incur out of its own resources in connection with its management of the Funds.
The extent to which economies of scale may be realized as the Funds grow and whether the proposed advisory fee reflects possible economies of scale. Although it was noted that each Fund’s investment advisory fee will not decrease as the Fund’s assets grow because it will not be subject to investment advisory fee breakpoints, the Trustees concluded that each Fund’s proposed investment advisory fee is appropriate and appropriately reflects the current economic environment for Angel Oak and the competitive nature of the market. In this regard, they observed that nearly all of the ETFs in the Funds’ peer groups operate without advisory fee breakpoints and that most of the ETFs in the Funds’ peer groups operate pursuant to a unitary advisory fee structure. The Trustees then noted that they will have the opportunity to periodically re-examine whether the Funds have achieved economies of scale, and the appropriateness of the investment advisory fee payable to Angel Oak with respect to the Funds, in the future, at which time the implementation of fee breakpoints on the Funds could be considered.
Benefits to Angel Oak from its relationship with the Funds (and any corresponding benefits to the Funds). The Trustees concluded that other benefits that will be derived by Angel Oak from its relationship with the Funds are reasonable and fair and consistent with industry practice and the best interests of the Funds and their shareholders.
Other Considerations. In approving the Investment Advisory Agreement, the Trustees determined that Angel Oak has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Funds in a professional manner that is consistent with the best interests of the Funds and their shareholders. The Trustees also concluded that Angel Oak has made a significant entrepreneurial commitment to the management and success of each Fund, which entails a substantial financial and professional commitment. The Board also considered matters with respect to the brokerage practices of Angel Oak, including its best-execution procedures, and noted that these were reasonable and consistent with standard industry practice.
Following further discussion and the consideration of questions raised by the Independent Trustees, the Trustees determined that they had received sufficient information relating to the Funds in order to consider the approval of the Investment Advisory Agreement. It was noted that, in making their determinations, the Trustees had considered and relied upon the materials provided to them for use at the Meeting with respect to the proposed contract and the presentation of the representatives of Angel Oak. In reaching their conclusion with respect to the approval of the Investment Advisory Agreement and the level of fees to be paid under the Agreement, the Trustees did not identify any one single factor as being controlling; rather, the Trustees took note of a combination of factors that had influenced their decision-making process. They noted the level and quality of investment advisory services provided by Angel Oak to the Existing Funds, and they found that these services will benefit the Funds and their shareholders and also reflected management’s overall commitment to the growth and development of the Funds.
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.
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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, Chairman | Trustee since 2014, Chairman since 2017; indefinite terms |
Executive Vice President, Recognos Financial (2015-2021); Independent financial services consultant (since 2005). |
10 | Trustee, Valued Advisers Trust (since 2010); Trustee, Apollo Diversified Real Estate Fund (formerly, Griffin Institutional Access Real Estate Fund) (since 2014); Trustee, Angel Oak Strategic Credit Fund (since 2017); Trustee, Angel Oak Financial Strategies Income Term Trust (since 2018); Trustee, U.S. Fixed Income Trust (since 2019); Trustee, Angel Oak Credit Opportunities Term Trust (since 2021); Trustee, Angel Oak Dynamic Financial Strategies Income Term Trust (2019-2022); Trustee, Apollo Credit Fund (formerly, Griffin Institutional Access Credit Fund) (2017-2022). | |||||
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| Name and Year of Birth |
Position with the Trust |
Term of Office and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex(1) Overseen by Trustee |
Other Directorships Held During the Past 5 Years | |||||
| Alvin R. Albe, Jr. 1953 |
Independent Trustee | Since 2014; indefinite term | Retired. | 10 | Trustee, Angel Oak Strategic Credit Fund (since 2017); Trustee, Angel Oak Financial Strategies Income Term Trust (since 2018); Trustee, Angel Oak Credit Opportunities Term Trust (since 2021); Trustee, Angel Oak Dynamic Financial Strategies Income Term Trust (2019-2022). | |||||
| Keith M. Schappert 1951 |
Independent Trustee | Since 2014; indefinite term | President, Schappert Consulting LLC (since 2008); Retired, President and CEO of JP Morgan Investment Management. | 10 | Trustee, Mirae Asset Discovery Funds (since 2010); 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). |
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| Name and Year of Birth |
Position with the Trust |
Term of Office and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex(1) Overseen by Trustee |
Other Directorships Held During the Past 5 Years | |||||
| Andrea N. Mullins 1967 |
Independent Trustee | Since 2019; indefinite term | Private Investor; Independent Contractor, SWM Advisors (since 2014). | 10 | Trustee, Valued Advisors Trust (since 2013, Chairperson 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, Cushing MLP & Infrastructure Fund (since 2021); Trustee and Audit Committee Chair, NXG NextGen Infrastructure Income Fund (formerly, Cushing NextGen Infrastructure Income Fund) (since 2021); Trustee, Angel Oak Dynamic Financial Strategies Income Term Trust (2019-2022). | |||||
|
Interested Trustees of the Trust | ||||||||||
| Samuel R. Dunlap, III 1979 |
Interested Trustee | Since 2019; indefinite term | Chief Investment Officer-Public Strategies, Angel Oak Capital Advisors, LLC (since 2009). | 10 | Trustee, Angel Oak Strategic Credit Fund (since 2019); Trustee, Angel Oak Credit Opportunities Term Trust (since 2021); Trustee, Angel Oak Financial Strategies Income Term Trust (since 2022); Trustee, Angel Oak Dynamic Financial Strategies Income Term Trust (2019-2022). | |||||
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| Name and Year of Birth |
Position with the Trust |
Term of Office and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex(1) Overseen by Trustee |
Other Directorships Held During the Past 5 Years | |||||
| Cheryl M. Pate(3) 1976 |
Interested Trustee | Since 2022; indefinite term | Senior Portfolio Manager, Angel Oak Capital Advisors, LLC (since 2017). | 9 | Trustee, Angel Oak Strategic Credit Fund (since 2022); Trustee, Angel Oak Credit Opportunities Term Trust (since 2022); 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”). |
| (3) | Ms. Pate was appointed Interested Trustee on February 4, 2022. |
|
Name and Year of Birth |
Position with the Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||
|
Officers | ||||||
|
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). | |||
|
Daniel Fazioli 1981 |
Treasurer | Since 2015; indefinite term | Chief Accounting Officer, Angel Oak Capital Advisors, LLC (since 2015). | |||
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|
Name and Year of Birth |
Position with the Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||
|
Chase Eldredge 1989 |
Chief Compliance Officer | Since 2022; indefinite term | Chief Compliance Officer, Angel Oak Capital Advisors, LLC (since 2022); Chief Compliance Officer of Falcons I, LLC (since 2022); Chief Compliance Officer, Angel Oak Strategic Credit Fund (since 2022); Chief Compliance Officer, Angel Oak Financial Strategies Income Term Trust (since 2022); Chief Compliance Officer, Angel Oak Credit Opportunities Term Trust (since 2022); Senior Compliance Officer, Angel Oak Capital Advisors, LLC (2020-2022); Compliance Officer, Angel Oak Capital Advisors, LLC (2017-2020). |
Each Trustee holds office for an indefinite term and until the earlier of: the Trust’s next meeting of shareholders and the election and qualification of his/her successor; or until the date a trustee dies, resigns or is removed in accordance with the Trust’s Declaration of Trust and By-laws. Each Trustee shall serve during the lifetime of the Trust until he or she: (a) dies; (b) resigns; (c) has reached the mandatory retirement age, if any, as set by the Trustees; (d) is declared incompetent by a court of appropriate jurisdiction; or (e) is removed, or, if sooner, until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor. Each officer holds office at the pleasure of the Board.
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ANGEL OAK FUNDS TRUST
Notice of Privacy Policy & Practices
Your privacy is important to us. We are committed to maintaining the confidentiality, integrity and security of your personal information. When you provide personal information, we believe that you should be aware of policies to protect confidentiality of that information.
We collect the following nonpublic personal information about you:
| • | Information we receive from you on or in applications or other forms, correspondence, or conversations, including, but not limited to, your name, address, phone number, social security number, assets, income and date of birth; and |
| • | Information about your transactions with us, our affiliates, or others, including, but not limited to, your account number and balance, payments history, parties to transactions, cost basis information, and other financial information. |
We do not disclose any nonpublic personal information about our current or former shareholders to nonaffiliated third parties, except as permitted by law. For example, we are permitted by law to disclose all of the information we collect, as described above, to our transfer agent to process your transactions. Furthermore, we restrict access to your nonpublic personal information to those persons who require such information to provide products or services to you. We maintain physical, electronic, and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
In the event that you hold shares of the Fund through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your nonpublic personal information would be shared with nonaffiliated third parties.
165
INVESTMENT ADVISER
Angel Oak Capital Advisors, LLC
3344 Peachtree Road NE, Suite 1725
DISTRIBUTOR
Quasar Distributors, LLC
111 East Kilbourn Avenue, Suite 2200
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
LEGAL COUNSEL
Dechert LLP
1900 K Street NW
CUSTODIAN
U.S. Bank National Association
1555 North Rivercenter Drive, Suite 302
ADMINISTRATOR, TRANSFER AGENT, AND FUND ACCOUNTANT
U.S Bancorp Fund Services, LLC
615 East Michigan Street
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.
AR-AOFT
(b) Not applicable.
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s Principal Executive Officer and Principal Financial Officer. The registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
A copy of the registrant’s Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Mr. Alvin R. Albe, Jr. is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. “Audit services” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
| FYE 01/31/2023 | FYE 01/31/2022 | |||||||
| (a) Audit Fees |
$ | 250,330 | $ | 182,500 | ||||
| (b) Audit-Related Fees |
$ | 0 | $ | 0 | ||||
| (c) Tax Fees |
$ | 28,000 | $ | 20,000 | ||||
| (d) All Other Fees |
$ | 0 | $ | 0 | ||||
The Audit, Financial and Administrative Oversight Committee has not adopted written pre-approval policies and procedures. Instead, the Committee has the duty and responsibility to pre-approve all auditing services and permissible non-auditing services to be provided to the Funds in accordance with its Charter and the 1940 Act. In addition, the Committee considers matters with respect to the principal accountant’s independence each year. The Committee did not approve any of the audit- related, tax or other non-audit fees described above pursuant to the “de minimis exceptions” set forth in Rule 2-01(c)(7)(i)(C) and Rule 2-01(c)(7)(ii) of Regulation S-X.
The Audit, Financial and Administrative Oversight Committee also has the duty and responsibility to pre-approve those non-audit services provided to the Funds’ investment adviser (and entities controlling, controlled by or under common control with the investment adviser that provide ongoing services to the Funds) where the engagement relates directly to the operations or financial reporting of the Funds in accordance with the Charter of the Committee and the 1940 Act. The Committee considered whether the provision of any non-audit services rendered to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Funds that were not pre-approved by the Committee because the engagement did not relate directly to the operations and financial reporting of the Funds is compatible with maintaining the principal accountant’s independence.
The percentage of fees billed by Cohen & Company, Ltd. applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
| FYE 01/31/2023 | FYE 01/31/2022 | |||||||
| Audit-Related Fees |
0 | % | 0 | % | ||||
| Tax Fees |
0 | % | 0 | % | ||||
| All Other Fees |
0 | % | 0 | % | ||||
The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent.
The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity) for the last two years. The audit committee of the board of Trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser is compatible with maintaining the principal accountant’s independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.
| Non-Audit Related Fees |
FYE 01/31/2023 | FYE 01/31/2022 | ||||||
| Registrant |
$ | 28,000 | $ | 20,000 | ||||
| Registrant’s Investment Adviser |
$ | 0 | $ | 0 | ||||
The registrant has not been identified by the U.S. Securities and Exchange Commission as having filed an annual report issued by a registered public accounting firm branch or office that is located in a foreign jurisdiction where the Public Company Accounting Oversight Board is unable to inspect or completely investigate because of a position taken by an authority in that jurisdiction.
The registrant is not a foreign issuer.
Item 5. Audit Committee of Listed Registrants.
The registrant is an issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934, (the “Act”) and has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Act. The independent members of the committee, consisting of the entire Board, are as follows: Alvin R. Albe, Jr., Keith M. Schappert, Ira P. Cohen, and Andrea N. Mullins.
(b) Not applicable.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
| (a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 13. Exhibits.
| (a) | (1) | Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Filed herewith. | ||
| (2) | A separate certification for each Principal Executive Officer and Principal Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith. | |||
| (3) | Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies. | |||
| (4) | Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report. | |||
| (b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. | |||
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) Angel Oak Funds Trust |
| By (Signature and Title)* /s/ Adam Langley |
|
Adam Langley, President (Principal Executive Officer) |
| Date 04/03/2023 |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
| By (Signature and Title)* /s/ Adam Langley |
||
|
Adam Langley, President (Principal Executive Officer) | ||
|
Date 04/03/2023 |
||
| By (Signature and Title)* /s/ Daniel Fazioli |
||
|
Daniel Fazioli, Treasurer (Principal Financial Officer) | ||
|
Date 04/03/2023 |
||
| * | Print the name and title of each signing officer under his or her signature. |
| This ‘N-CSR’ Filing | Date | Other Filings | ||
|---|---|---|---|---|
 | ||||
| 5/31/24 | ||||
| 12/15/23 | ||||
| 5/31/23 | ||||
| 4/28/23 | ||||
| Filed on / Effective on: | 4/6/23 | |||
| 3/31/23 | ||||
| 2/3/23 | ||||
| 2/2/23 | ||||
| For Period end: | 1/31/23 | NPORT-P | ||
| 1/3/23 | 497J | |||
| 12/31/22 | 485BPOS | |||
| 12/30/22 | 485BPOS, 497K | |||
| 12/28/22 | ||||
| 11/7/22 | ||||
| 10/24/22 | 497J | |||
| 9/28/22 | ||||
| 9/22/22 | 485BPOS, 497K | |||
| 8/19/22 | ||||
| 8/18/22 | ||||
| 7/22/22 | 485APOS | |||
| 6/30/22 | N-PX | |||
| 4/29/22 | ||||
| 2/4/22 | ||||
| 1/31/22 | 24F-2NT, N-CEN, N-CSR, NPORT-P | |||
| 6/4/21 | ||||
| 1/31/21 | 24F-2NT, N-CEN, N-CSR, NPORT-P | |||
| 1/31/20 | 24F-2NT, N-CEN, N-CSR, NPORT-P | |||
| 1/31/19 | 24F-2NT, N-CEN, N-CEN/A, N-CSR | |||
| 12/16/18 | ||||
| 8/2/18 | 497 | |||
| 4/30/18 | 40-17G/A | |||
| 4/2/18 | 497K | |||
| 12/1/16 | 497 | |||
| 6/8/16 | ||||
| 4/15/16 | 497J, 497K, EFFECT | |||
| 3/16/16 | 497 | |||
| 8/4/15 | 485BPOS, 497J, 497K | |||
| 4/10/15 | 485BPOS, 497J, 497K | |||
| 11/3/14 | ||||
| 6/20/14 | ||||
| 1/31/13 | ||||
| 8/16/12 | ||||
| 7/31/12 | ||||
| 6/28/11 | ||||
| 3/31/09 | ||||
| List all Filings | ||||
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 2/20/24 Angel Oak Funds Trust 497 2/20/24 13:4.5M US Bancorp Fund Svcs LLC 1/29/24 Angel Oak Funds Trust 497 1/29/24 1:1.7M US Bancorp Fund Svcs LLC 1/22/24 Angel Oak Funds Trust 485BPOS 1/22/24 21:4.9M US Bancorp Fund Svcs LLC 12/29/23 Angel Oak Funds Trust N-14 11:1.9M US Bancorp Fund Svcs LLC 10/27/23 Angel Oak Funds Trust 485APOS 1:2.1M US Bancorp Fund Svcs LLC 5/25/23 Angel Oak Funds Trust 485BPOS 5/31/23 20:12M US Bancorp Fund Svcs LLC |